Hi,
I have a question concerning the I-Spread and CDS Spread? Can we consider that they are equal?
The definition of I-spread are defined page 14:
“The I-spread for a credit-risky bond is the amount by which the yield on the risky bond exceeds the swap rate for the same maturity”.
I-Spread = YTM-Swap(T).
But, the Swap Rate are quoted on the LIBOR for maturitites greater than 1Y.
Now, on page 118, the say: CDSSpread= YTM-LIBOR
And the LIBOR is exactly the swap Rate for long maturities.
So my conclusion is CDS-Spread ~ I-Spread
Thank you.