Nominal Yield Spread

外汇网2021-06-19 20:55:23 109

The spad, expssed in percent or basis points, that when added to the yield at one point on the Treasury yield curve equals the discount factor that will make a security's cash flows equal to its current market price.

|||Nominal yield spads are a convention frequently used in pricing certain types of mortgage-backed securities (抵押贷款支持债券). These 抵押贷款支持债券s are priced at a spad over the interpolated Treasury curve at the point equal to their weighted average life.

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