Fixed Income Analysis Workbook. Barbara S. Petitt

a spread.

      ● Changes in benchmark rates capture macroeconomic factors that affect all bonds in the market – inflation, economic growth, foreign exchange rates, and monetary and fiscal policy.

      ● Changes in spreads typically capture microeconomic factors that affect the particular bond – credit risk, liquidity, and tax effects.

      ● Benchmark rates are usually yields-to-maturity on government bonds or fixed rates on interest rate swaps.

      ● A G-spread is the spread over or under a government bond rate, and an I-spread is the spread over or under an interest rate swap rate.