What is static propagation?

The static spread method takes the yield of different maturities on the yield to maturity curve of national debt plus a fixed spread as the discount rate, and then discounts the cash flow of future maturities to calculate the price of asset securitization products. This pricing method takes into account the different discount rates of different maturities, reflecting the difference in risk premium between securitization products and national debt. Therefore, the static cash flow yield method determines the bond price according to the average yield of bonds, while the static spread method determines the price of securitized bonds according to the whole yield to maturity curve.

There is little difference between static spread method and static cash flow rate of return method in the case of concentrated cash flow, but there will be great difference in the case of scattered cash flow. Generally, the maximum cash flow of corporate bonds is concentrated on the maturity date, so the pricing methods of static spread method and static cash flow yield method have little difference for the price of corporate bonds, but not necessarily for securitization products. Many bonds produced by securitization are debt-paying bonds, which are characterized by the fact that the inflow of cash flows is evenly distributed in various periods rather than concentrated in a certain period, so it will be more accurate to evaluate them by static spread method.

Generally speaking, the flat yield to maturity curve is rare, and the spot yield to maturity increases with the extension of the term, reflecting the long-term uncertain risk premium. Therefore, the static cash flow rate of return method is only applicable to the pricing of securitization products with short-term and concentrated cash flow; The static spread rule is applicable to the pricing of securitization products with long-term and unified cash inflows. But in any case, a mature national debt market that can provide spot yield curves with different maturities is the premise of its correct pricing.