Education Corner

  • Posted by:

    ThaiBMA
  • Posted on:

    June 16, 2017
????????????? ?????? Credit Spread ( ?????? 1)

????????? Bond &Ben the series#10 ??? “Yield Curve ???????????????????????????” ???????????? Yield Curve ??????????????? Government Bond Yield Curve ??????????????????????????????????????????????????????????????????????????????????????????????? (Risk-free rate)?????????????????????????????????????????????????????????????????????????? (Risk-free asset)

Yield Curve ??????????????????????????????????????????? (YTM: Yield to Maturity)?????????????????? ? (TTM: Time to Maturity) ?????????????? ??????????????????????????????3 ?? (TTM 3 ??) Yield ??????? 1.90% ??????????? ??????????????????????????????????????3 ?? ???????????????????????????????????? 1.90%?????????????3 ?? ???????????????????? ?????????????????????????????????????? 3 ??????????????????????????????? 1.90%

????????????????????????????????????????????????????????????? 3 ?????????????????????????????????????????????????????????????1.90% ?????????????????????????????????????????????????????????? ????????????????????????????????????????? (Issuer Credit Rating)?????????????????????????? (Issue Credit Rating)??????????????????????????????????????????????????? ????????????????????? Investment grade?????????? BBB- ?????????????????????????AAA ??????????????????? “???????????????????????????????????????????????????????????????????????????????? ????????????????????????????????” ???????? ???????????????????????????????????????????????????????????????????? Credit Spread

Credit Spread ??? ??????????????????????????????????????????????????????????????????????? ???????????????????????? ????????????????????????????????? ????????????????????????????????????????????? ??????????????????????????????????????????????? (Risk premium)??????????????????????????????????????????????????????? ??????????????????????????? Credit Spread ??????????????????

?????? ????????????????????????????????????????? (TTM) ????????????? 1 ?????????? 10 ?? ?????????????????????????????????????????????????? (Yield) ??????????????????????? ?????????????????????????? 5 ?? ?????????????????????????????????????????????????? 5 ????????? 2.15% ????????????????????????? AAA ??????? 5 ?? ??????????????? 2.76% ??????????????? 2.76% ??? 2.15% ?????? Credit Spread ??????????? 0.61% ???? 61 bps (??????????? Spread) ??????????????????????????????????? AAA ????????? Spread ?????????????????????????????????????????????????????????????????????????????? Credit Spread ????????? ???????????????????????????? Credit Spread ??? ??????????????????????????????????????????????????????????????????????????????????? ???????????????????????? BBB ???? 5 ?? ??????? Spread ?????? 2.37% ???? 237 bps(4.52% - 2.15%)???????????????????????????????????????????? Credit Spread ???????????????? ?????????????????????????????????????????????????????????????????????????????????????????????????????????????

????Credit Spread ??????????????????????????????????????????????? ??????????????????????

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