Unterschied zwischen Spread-Duration & IR-Duration für eine festverzinsliche Anleihe

What is effective spread duration?

Spread duration is the sensitivity of the price of a security to changes in its credit spread. The credit spread is the difference between the yield of a security and the yield of a benchmark rate, such as a cash interest rate or government bond yield.

Is spread duration equal to duration?

Credit Spread is the difference in yield between securities with similar maturity but different credit quality. Duration measures a bond price’s sensitivity to changes in interest rates.

How do you calculate spread duration?

You can find bond spread duration formulas in advanced economics texts and on the web. where P = bond price, C = semiannual coupon interest (in dollars), y = one-half the yield to maturity and n = number of semiannual periods and M equals value at maturity.

What is spread duration CFA?

Spread duration measures the change in a bond’s price for a given change in yield spread, while spread changes for lower-rated bonds tend to be proportional on a percentage rather than an absolute basis.

What does duration spread mean?

Duration Times Spread (DTS) is the market standard method for measuring the credit volatility of a corporate bond. It is calculated by simply multiplying two readily available bond characteristics: the spread-durations and the credit spread.

What is effective duration CFA?

The effective duration is defined as the sensitivity of the price of a bond against a change in a benchmark yield curve.

What is mortgage spread duration?

Mortgage Spread Duration – Option adjusted spread (OAS) is the net spread over the Treasury curve that optionable securities offer, in addition to compensating for the embedded option.

What is the unit of spread duration?

Spread duration : (roughly) the (negative of the) percentage change in a bond’s price for a 1% change in its spread over a Treasury of the same maturity; although nobody ever says so, you can have modified spread duration (assuming that its cash flows don’t change) and effective spread duration (allowing that its cash …

How is credit spread calculated?

Credit Spread = (1 – Recovery Rate) (Default Probability)



The formula simply states that credit spread on a bond is simply the product of the issuer’s probability of default times 1 minus possibility of recovery on the respective transaction.

What is spread risk?

Spread risk is risk (usually market risk or earnings risk) due to exposure to some spread. It often arises with a long-short position or with derivatives. A synonym for spread risk is basis risk. Suppose a bank lends at prime and finances itself at Libor.

What does credit spread tightening mean?

Credit spreads widen (increase) during market sell-offs, and spreads tighten (decrease) during market rallies. Tighter spreads mean investors expect lower default and downgrade risk, but corporate bonds offer less additional yield. Wider spreads mean there is more expected risk alongside higher yields.

What is credit spread in finance?

A credit spread is the difference in yield between a U.S. Treasury bond and another debt security of the same maturity but different credit quality.

What happens when credit spread widens?

Credit spreads are widening, increasing the gap between interest rates on corporate bonds and risk-free government bonds. That happens when bond investors demand a higher yield on corporate bonds as compensation for increasing risk that a company cannot repay its debts.

What is 10 2 year Treasury yield spread?

The 10-2 Treasury Yield Spread is the difference between the 10 year treasury rate and the 2 year treasury rate. A 10-2 treasury spread that approaches 0 signifies a „flattening“ yield curve. A negative 10-2 yield spread has historically been viewed as a precursor to a recessionary period.

How put credit spreads work?

A credit spread involves selling, or writing, a high-premium option and simultaneously buying a lower premium option. The premium received from the written option is greater than the premium paid for the long option, resulting in a premium credited into the trader or investor’s account when the position is opened.

Do you let credit spreads expire?

Spread is completely out-of-the-money (OTM)*



Spreads that expire out-of-the-money (OTM) typically become worthless and are removed from your account the next business day. There is no fee associated with options that expire worthless in your portfolio.

Can credit spread be sold before expiration?

Most of the time puts will not be exercised before expiration, but if the strike price of the put option you sold is in-the-money (or above the share price) at expiration then it will be auto assigned by your broker.

When can you cancel a credit spread?

Just because the credit has declined to a nice profit doesn’t mean it’s a good idea to close the short leg and leave yourself hanging with a long option that has a huge value that could quickly drop. If the underlying premiums are still high, then you are better off to close the entire spread.

How do you exit a spread option?

Zitieren: The position and closing it out is as simple as just reversing the trade.

When should a bull put spread be closed?

Exiting a Bull Put Credit Spread



If the spread is purchased for less than it was sold, a profit will be realized. If the stock price is above the short put option at expiration, both options will expire worthless, and the entire credit will be realized as profit.

Can you close debit spreads early?

The lesson: just because you’re in a less volatile Debit Spread, the stock can still force you to exit early or potentially risk a total loss if you hold on amid adverse volatility.

When should I sell my vertical spread?

Traders will use a vertical spread when they expect a moderate move in the price of the underlying asset. Vertical spreads are mainly directional plays and can be tailored to reflect the trader’s view, bearish or bullish, on the underlying asset.

Are vertical spreads profitable?

In a vertical spread, an individual simultaneously purchases one option and sells another at a higher strike price using both calls or both puts. A bull vertical spread profits when the underlying price rises; a bear vertical spread profits when it falls.

What is a long vertical spread?

A long put vertical spread is a bearish, defined-risk strategy made up of a short and long put at different strikes in the same expiration cycle. The strike price of the long put is higher than the short put and the value of a long put vertical spread will increase when there’s a drop in the underlying asset’s price.