Can you please further explain Q3 answer: "If corporate bond yields fall relative to Treasury yields (ie, the spread narrows), the hedge might overcompensate because the assets or futures may appreciate more than the corporate liabilities." Why are not the corporate liabilities appreciate more than the assets due to the narrowed spread?

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同同学2025-01-05 03:29:04

Can you please further explain Q3 answer: "If corporate bond yields fall relative to Treasury yields (ie, the spread narrows), the hedge might overcompensate because the assets or futures may appreciate more than the corporate liabilities." Why are not the corporate liabilities appreciate more than the assets due to the narrowed spread?

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回答（1）

Simon2025-01-29 14:16:29

同学，上午好。这段解析有问题的，逻辑上是不通顺，已经删掉了。就答题而言，这一段是basis risk里的举例，不用写出来的。写完basis risk，然后能表达出corporate bonds and Treasury bonds are influenced by distinct factors，such as credit risk, liquidity conditions, or overall market sentiment 即可得分。