Debt Price Spread
Debt Price Spread. The difference between the [what?] of a security and the fair price value of a different security which is used as a point of reference. The spread is used to determine the price of the instrument. (draft definition)
Issues and Challenges
This was "Spread" in the Debt pricing reviews, however that word has at least 2 other uses (spread between equity bid and offer prices; spread for derivatives). Detailed notes from Debt Pricing Review session 5 Aug: Identify what the spread is in relation to e.g. LIBOR. ALSO If fixed of floating. So if it's a FRN, For a fixed rate bond, it's priced off the on-the-run, e.g. a 30 year bond is priced as a spread wrt a 30 year treasury bond. So e..g spread would be something like 10bp+the value of the 30 year on the run Treasury. On the Run: definition needed. Also class of Thing and where this should go.
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