Credit Spreads Between German and Italian Sovereign Bonds

- Do AÆne Models Work?

ullmann
Klaus D Marc Windfuhry
Chair of Finance Graduiertenkolleg "Finanz- und Gutermarkte"
University of Mannheim University of Mannheim
D-68131 Mannheim, Germany D-68131 Mannheim, Germany
February 2000

 Phone: +49 621-181-1526, Fax: +49 621-181-1519, e-mail: k.duellmann@uni-mannheim.de

y email: windfuhr@rumms.uni-mannheim.de

1
 Abstract
In this paper we analyze the credit spread between Italian and German Government
bonds after the exchange-rate agreement in May 1998. We estimate the parameters
of two mean-reverting aÆne models for the German term structure and the spread
process - the Gaussian Vasicek and the square-root Cox-Ingersoll-Ross (CIR) model.
Similar to Pearson and Sun [1994] we combine cross-sectional and time-series informa-
tion of daily observations to estimate the process parameters employing a maximum
likelihood method. Our empirical results show that the Vasicek and CIR model de-
scribe the German term structure dynamics equally well. Both models fail to account
for all observed shapes of the credit spread structure whereas the spread residuals in
the Vasicek case seem to be less volatile. Our results suggest application in the area
of pricing credit-sensitive instruments such as credit derivatives or the management
of credit risk, especially for European Government debt.

2
1 Introduction
In the beginning of May 1998 the Council of Ministers of the European Union selected
the member states of the European Monetary Union (EMU) and conrmed the starting
date of January 1999. With this decision the exchange rates between the member states
were essentially xed because the Euro-currency was linked to the ECU. We analyze the
development of interest-rate spreads between the Government debt of two selected EMU
member states, Germany and Italy, and attribute the persistent and volatile spreads to
dierent market opinions of their respective credit quality. Two aÆne diusion models, a
Gaussian and a square-root mean-reversion process, are employed to model the Sovereign
credit spreads. These two models were introduced by Vasicek [1977] and Cox-Ingersoll-
Ross [1985] with many later renements and have proven a exible and parsimonious
approach in xed income analysis. However, their usefullness for credit spreads still re-
mains an open question. New directions in default risk research provide a rm theoretic
foundation which justies applying aÆne models as well in the area of pricing default risky
instruments. DuÆe and Singleton [1999] have shown for so-called intensity-based models
that under fairly general assumptions one can value default-risky securities by discount-
ing the promised pay-o using risk-adjusted discount rates thereby employing traditional
interest-rate theory, e.g. aÆne models. Although there exists an extensive empirical lit-
erature on estimating the dynamics of interest rates there are as yet relatively few studies
which apply a continuous-time diusion framework to the analysis of credit spreads. See,
for example, DuÆe and Singleton [1997] who analyze the term structure of interest-rate
swap yields with a multi-factor CIR-model or Duee [1998] who investigates the US cor-
porate bond market. Whereas in these studies a single model is chosen and estimated we
compare two well-known aÆne models with each other and explore to what extend they
are capable of explaining the dierences in default risk re ected by the Government bond
prices of these two countries.
Our analysis oers the following important advantages: To our knowledge this study
provides the rst analysis of the German-Italian credit spreads since the EMU agreement
in May 1998. Both countries, together with France, are known to possess the most liquid
and high-volume Government bond markets in Europe which provide observations for
the whole maturity range. Liquidity premiums in their prices are expected to play, in
general, a minor role compared to studies of corporate bonds especially in lower rating
categories. Additionally, the credit spreads are derived from estimated pure-discount bond
prices, thereby using the term structure of interest rates instead of coupon bond yield-to-
maturities.
Our results provide useful guidelines especially in the following three research and ap-
plication areas:
Firstly, even if portfolio managers view European government debt from a Euroland per-

3
spective default-risk spreads must still be accounted for in the area of bond valuation and
in devising portfolio strategies. Risk management provides a second rich eld of appli-
cations. If the use of aÆne models can be justied empirically, a "value-at-risk" can be
calculated from the known factor distributions. Thirdly, an important reason for the lack
of convenient derivatives for hedging changes in credit perceptions is the still unanswered
question of their valuation. An empirical justication for using aÆne models may greatly
help to overcome this problem.
This paper is structured as follows. Section 2 provides a brief review of default-risk
models and explains how aÆne models can be useful in this context. The estimation
procedure for credit spreads is carried out in two steps:
In section 3 we pre-estimate as a rst step the term structures of the two selected
government bond markets for each single observation day with the Nelson-Siegel [1987]
model. Our analysis covers a one-year period starting from the Euro exchange-rate agree-
ment in May 1998. It is based on daily quotes of bonds collected from the highly-liquid
over-the-counter Euro-bond market. The spot rates of selected maturities calculated from
this model allow us to derive the maturity-dependent credit spreads between the two is-
suers. Section 4 contains an informal description of the observed credit spreads between
Germany and Italy and a brief statistical analysis of their dynamics. For the purpose
of bond valuation default-free interest rates and their default-risk adjustment must be
determined. One straightforward specication is the choice of the German as a proxy
of the default-risk free term structure and to model the default-adjustment rate by the
German-Italian credit spreads. Such a valuation model with at least two factors needs as
input the German spot rates and credit spreads.
In the second estimation step we estimate the Vasicek and CIR model parameters
from our pre-estimated Government term structure and credit spread structure. The
estimation methodology and the empirical results of this step are presented in section 5 and
6 which constitute the central part of our analysis. Following Pearson and Sun [1994] we
employ cross-sectional and time-series information in our maximum-likelihood estimation
procedure. The seventh section concludes this paper and oers several perspectives for
future research.

2 Models of Default Risk

In the literature there are two dierent model classes for describing the dynamic behaviour
of default risk. In the so-called rm-value models default is triggered when the value of
the rm's assets falls below or hits a specied boundary. In the classical Merton [1974]
model this boundary is given by the face value of the rm's zerobond debt which is
by assumption the only source of debt nancing. This model has been extended along

4
several dimensions, for example, to account for more complex capital structures or for the
violation of the absolute priority rule. Since in most models the rm value is described as a
1

continuous diusion process the default time is predictable. Therefore, credit spreads tend
to zero for the short-term debt of a solvent rm. This feature obviously violates empirical
observations where credit spreads for short-term maturities of highly-rated rms remain
strictly positive.
2

On the contrary, in intensity-based models there is always a positive probability that

the rm might default at each instant and pay o a (possibly stochastic) recovery amount.
In these models spreads are positive even for innitesimal short maturities. In an early
version Jarrow and Turnbull [1995] model the default event as a Poisson process which
can only jump once to the default state and specify a xed exogeneous recovery fraction.
The deterministic default intensity and recovery fraction in this model cause spreads to be
non-stochastic as well. Corresponding to the fact that in the real world spread movements
are stochastic many authors have modelled either the default intensity (e.g., Lando [1998]),
the recovery fraction (e.g., Das and Tufano [1996]), or the product of both (e.g., DuÆe and
Singleton [1999]) as stochastic processes. However, relatively few papers have attempted to
specify an explicit model for the spread process and to estimate its parameters accordingly.
The most notable exceptions are the work of Duee [1998] and DuÆe and Singleton [1997]
who are both estimating the parameters of multi-factor versions of the CIR model using
monthly data.
For our empirical investigation we use two simple two-factor versions of well-known
models in the interest-rate area, the Vasicek and the CIR model. The rst factor is
the short rate r which drives the dynamic behaviour of the risk-free term structure. Our
assumption that German bonds are approximately risk-free allows us to use them as proxy
for the default-free term structure. The second factor is assumed to be the instantaneous
spread s between credit-risky and risk-free zerobonds maturing in the next instant. Note,
that we do not separate the spread into an intensity and recovery component but model the
product of both. This procedure is consistent with the fractional recovery assumption of
DuÆe and Singleton [1999]. We postulate in our empirical analysis that Italian government
bonds are default-risky. One should note that Italian long-term debt is currently rated
Aa3 by Moody's as compared to Aaa for Germany. Furthermore, we assume as rst
exploratory choice that movements of the instantaneous spread and the short rate are
independent although this assumption contradicts empirical results. 3

Under these assumptions we can formally describe the pricing relationship between
risk-free and default-risky zerobonds. Under the risk-neutral pricing measure Q which is
equivalent to the objective measure P the following expression holds for the value of a

5
default-risky zerobond: 4

h RT i
V (t; T ; rt ; st ) = EtQ e t (ru +su )du
h R i h R i
= EtQ e tT rudu EtQ e tT sudu
= P (t; T ; rt ) e s t;T st T t
( ; )( )
(1)
Here, V (t; T ; rt ; st) denotes the price in time t of a default-risky zerobond maturing at
time T . P (t; T ; rt ) is the corresponding risk-free zerobond price and s (t; T ; st ) denotes
the spot spread in time t for the remaining maturity of T t. All expectations EtQ [
] are
conditional on the information prevailing at time t.
In the case of the extended Vasicek model both processes r (t) and s (t) are given under
the real measure P by the following stochastic dierential equations:
dxi (t) = i (i xi (t)) dt + i dWi (t) ; i 2 f1; 2g (2)
where x = r, x = s and i; i and i denote the corresponding speed of mean-reversion,
1 2

long-run mean and volatility parameters which are assumed to be constant. Wi are the
corresponding standard Wiener processes which are uncorrelated. For pricing contingent
claims we assume a constant market price of risk i which transforms (2) by means of the
Girsanov theorem into:  
dxi (t) = i i
i i
xi (t) dt + i dW ~ i (t) ; i 2 f1; 2g (3)
i
where W~ i are standard, uncorrelated Wiener processes under measure Q.
In case of the extended CIR model we specify the following square-root processes
(under measure P ):
p
dxi (t) = i (i xi (t)) dt + i xi (t)dWi (t) ; i 2 f1; 2g (4)
where allp parameters are constant as well. The market price of risk adjustment has the
form i xii t which transforms (4) into:
( )

 
dxi (t) = (i + i )
i i p
xi (t) dt + i xi (t)dW ~ i (t) ; i 2 f1; 2g (5)
i + i
One important dierence between these two models is that in the Vasicek case there ex-
ists a positive probability that either of the factors can become negative. On the contrary,
the square-root processes have zero as a re ective boundary if the inequality i  i 1
2
2

holds. The resulting pricing formulas for these two models are given in appendix A.
We note that these models can generate spread curves identical in shape to their
risk-free counterparts. Both models can describe upward sloping, downward sloping, and
humped shaped curves. These shapes have been observed in practice (see, for example,
Sarig and Warga [1989]) and have been derived in theoretical models (see, for example,
Merton [1974] and Jarrow, Lando and Turnbull [1997]).

6
3 Term Structure Estimation
We base our subsequent analysis on credit spreads calculated as the yield dierences
between Italian and German pure discount bonds. Since a complete zero-coupon yield
curve for these issuers is unobservable we have to estimate the term structure of zerobond
rates from coupon bond prices. Although it would be possible to infer the parameters of
the aÆne models directly from the prices of coupon bonds we rely on pre-estimated term
structures for the following reasons. Firstly, since we want to have a good estimate of
the true dynamics of the underlying factors we smooth out noise in bond prices by this
procedure. Secondly, it is computationally easier to work with zerobond prices because
the zero-coupon yield is aÆne in the state variables.
A variety of techniques have been proposed in the literature to estimate the term
structure of interest rates from a cross section of coupon-bond prices. Since we want to
grasp the underlying factor dynamics rather than to match each bond price exactly, we
have selected the parsimonious approach of Nelson and Siegel [1987]. Their model avoids
over-parameterization though it can accommodate various patterns of spot-rate curves
that have commonly appeared and it has proven to be quite successful in a number of
applications.
Following Nelson and Siegel [1987] we assume that the yield to maturity Y i(T ) of a
T-year German or Italian zero-coupon bond, i 2 fGermany, Italyg, has the following form:
T

Y i (T ) =  i + ( i +  i )
1 e 3i
2i e
T
3i
; (6)
0 1 2 T
3i

with four parameters  i ; : : : ;  i . Based on the corresponding discount function e Y i T T ,

0 3
( )

the model price CBji for bond j of issuer i 2 fGermany, Italyg paying n constant coupons
cij at times t up to tn and a notional amount of Euro 100 at maturity tn can be calculated:
1

n
X
CBji = cij e Y i (tl )tl + 100e Y i (tn )tn (7)
l=1
We estimate the term structures of interest rates for both issuers separately. To estimate
the four parameters  i ; :::;  i for issuer i at day t, we minimize the sum of squared dier-
0 3

ences between observed and theoretical prices of coupon bonds that belong to credit class
i at day t.
In contrast to many other studies of either the risk-free term structure or the credit-
risk structure we do not use a long time series of bond prices with monthly observations.
5

Instead we rely on daily bond prices of German and Italian government bonds for the
one-year time period May 1, 1998 to April 30, 1999. Before January 1, 1999 German
bonds were denominated in Deutschemark and Italian bonds in Italian Lira. Since then
all bonds in our sample have been converted to Euro. Note that the starting date of our

7
sample corresponds to the date of the EMU currency agreement. We believe that since
then price dierences between German and Italian bonds are not driven by currency risk
because only coupon and redemption payments due in 1998 were still made in the national
currency.
Our sample includes only pure discount and coupon bonds whose prices are not per-
turbed by any optionalities such as prepayment options. Bonds with an original maturity
of 30 years were excluded since these long-term bonds form a dierent market segment.
From table 1 it can be seen that German and Italian bonds span all maturities up to 11
years and cover a wide coupon range. We use mid-market bond prices from the highly
liquid over-the-counter market provided by Reuters Information Systems. In total we have
137 German and 17 Italian government bonds available which we use for estimating term
structures on 221 days. From the universe of Italian bonds only those are selected for
6

our analysis which are issued in the Eurobond market. This explains their relatively low
number.
Due to the high-quality data of the OTC market we obtain a good t of the Nelson
and Siegel model to observed market prices in particular for the German segment (see
table 2). The mean absolute pricing error for Germany is around 5 basispoints (bp) with
a standard deviation of 3 bp which compares favourably to other methods involving more
than four parameters. In comparison, the results for the Italian segment are not quite as
7

convincing (mean absolute pricing error of 18 bp).

The estimated term structures of interest rates for Germany and Italy are quite similar
with respect to their shape and evolution. During our sample period the level of interest
rates has declined by about 1 percent in both countries. Interest rates are always increasing
with maturity whereas the shape is steeper in more recent months partly due to a cut of
short-term interest rates by the European Central Bank on April 7, 1999. Generally,
changes in the term structure seem to be quite smooth except for the more volatile time
period of the Asian crisis in fall 1998.

4 Statistical Analysis of Sovereign Spreads

Considering the fact that German and Italian Government debt are issued in the same
currency the question to what extent default risk can induce a spread between these two
countries is of interest in its own right. Table 3 presents descriptive statistics of the
observed spreads for selected maturities. These numbers reveal a risk spread between
both Government bond markets in the range of 7 to 23 bp increasing with maturity. The
observed spreads are highly volatile. Since the standard deviation of the one-year maturity
spread greatly exceeds the others our estimates for this maturity must be treated with
care. We restrict the following analysis to maturities between three and nine years for the

8
maturity of 10 years repeatedly lies out-of-sample.
Figure 1 and 2 show how the three and nine-year spreads evolve over time. Note
that the long-term (nine years-) spread has not narrowed since the EMU agreement in
May 1998. This indicates that the market participants believe to some extent in the
no-bail-out clause of the Maastricht Treaty which precludes the European Central Bank
from bailing out bankcrupt governments by buying their debt. Instead the market assigns
dierent default risks to the two analyzed EMU member states. In August 1998, when the
economic crisis in Asia led to heavy gyrations of international capital markets, the spreads
have widened and become more volatile. The observation of higher volatility extends as
well to shorter maturities, although to a lower degree, and indicates a possible regime
shift. Overall gure 1 reveals a narrowing short-term (three years-) spread until beginning
of January 1999. This spread reduction must be attributed to a currency risk premium
for interest or redemption payments due in 1998 in the respective national currency. The
highest spread of 46 bp was measured on September 23 in the aftermath of a market crash
in Hongkong when a 10 percent loss of the Hang-Seng index was paralleled by steeply
rising German bond prices. The other two observations of a spread level of more than
30 bp on August 28 and November 25 coincide as well with disruptions on Asian stock
markets.
The estimated skewness and kurtosis in table 3 suggest that the spreads do not follow
a normal distribution. An omnibus test for normality developed by Dornik and Hansen
[1994] rejected the normality hypothesis for all maturities on a 1% level.
A prerequisite for applying the aÆne model framework is stationarity of the analyzed
spread processes. We have tested the spreads in levels with augmented Dickey-Fuller tests
and have found them stationary. Results are summarized in table 4. This result contrasts
the ndings of Pedrosa and Roll [1998] who could not in general reject a unit root in levels
for the credit spreads of US corporate bonds in selected rating categories.
A much debated issue in the literature is the interdependence between credit and
interest-rate risk. Various macroeconomic factors might in uence credit spreads along the
business cycle which itself determines the shape of the term structure. Previous research
has focused on the interdependence between corporate bond spreads and the business cycle.
Chen [1991] e.g. nds a dependency of aggregate corporate bond yield spreads on stock
returns which in turn are linked to future GDP growth. Following Duee [1998] we have
examined the interdependence between the risk-free term structure and the credit spreads
between Italy and Germany by regressing changes in credit spreads on a long-term rate and
the slope of the risk-free term structure. The German rate for nine years serves as proxy
for the long-term rate and the slope is proxied by the dierence between German nine-
year and one-year rates. The regression results are summarized in table 5. The t-statistics
are with one exception signicant and indicate a dependency of the credit spreads on the

9
interest rate level. Apart from the maturity of three years the signicant level parameters
indicate an inverse relationship between interest rates and credit spreads. This result is
in line with the empirical studies of Duee [1998] for US corporate bonds and Dullmann,
Uhrig-Homburg and Windfuhr [1999] for Deutschemark denominated bonds traded in the
Eurobond market. The slope coeÆcients are always signicantly negative similar to the
ndings of Duee [1998] for US-corporate yield-spreads.

5 Estimation Methodology
Estimation of diusion process parameters becomes a delicate issue when spread processes
are involved. As shown in the preceeding section, the spread process is much more volatile
relative to the absolute magnitude of the spread. This is in particular true for our time
series of daily observations. In addition, compared to the risk-free interest rate area there
is no short-rate proxy such as a one-month Libor-rate available for observing the spread
dynamics under the objective measure P . For these reasons we have chosen a maximum
likelihood method using information about the evolution (time series) and the shape (cross-
section) of the term structure of credit spreads. This methodology was introduced by
Pearson and Sun [1994] for interest-rate processes. DuÆe and Singleton [1997] have applied
this approach to swap yields and Duee [1999] to corporate coupon bond prices.
With our assumption that German bonds are default-free and Italian bonds are default-
risky we obtain, from the above term structure pre-estimation, time series for both issuers
of a cross section of zerobond log-prices for selected maturities. p (t; t +  ) (or v (t; t +  ))
denotes the risk-free (or default-risky) zerobond log-price observed at time t with maturity
 . For reasons presented in chapter 4 we restrict our cross section to the maturity range
between three and nine years, i.e.  2 f3; 4; 5; 6; 7; 8; 9g . We use only German zerobond
log prices, p (t; t +  ), for estimating the risk-free short-rate process rt.
The econometric model for the observed risk-free zerobond log-prices p (t; t +  ) is as
follows. The log-price of the bond with a maturity of three years is assumed to be observed
without error, i.e. it corresponds with its model price:
p (t; t + 1 ) = log P (t; t + 1 ; rt ) ; 1 = 3 (8)
Solving eqn. (8) with respect to rt provides us with an analytic expression for the short
rate due to the aÆne structure of the investigated models. Zerobond log-prices of all other
maturities are assumed to be observed with independent, normally distributed errors "t :
p (t; t +  ) = log P (t; t +  ; rt ) + "t (9)


 2 f4; 5; 6; 7; 8; 9g ;  N 0; S
"t 2
1

The conditional density of a set of log bond prices at time t, p (t; t +  ) and maturities

10
 2 f3; 4; 5; 6; 7; 8; 9g , conditional on the observation at t 1 is given by:
!
g1 (t) = f (rt jrt ;  ;  ;  ) jD j 1
Y
2S 2

1
2 exp 1  "t  2
(10)
1 1 1 1 1
 2f4;5;6;7;8;9g
1
2 S 1

where f (rtjrt ;  ;  ;  ) denotes the conditional density function of moving from rt to

1 1 1 1 1

rt which are obtained by inverting eqn.(8). Note that the market-price-of-risk parameter
 enters in this inversion and in the calculation of the error terms "t . The density function
1

f (rt jrt ;  ;  ;  ) for both the Vasicek and the CIR model can be found in appendix B.
1 1 1 1

D denotes the rst derivative of log P (t; t +  ; rt ) with respect to rt which is invariant of
1 1

the observed prices in t. In fact, it equals the parameter Bi given in appendix A. Finally
we maximize the following log-likelihood function for all 220 observations:
X
221

L1 (1 ; 1 ; 1 ; 1 ; S1 ) = log g (t) :

1 (11)
t=2

The credit-spread process is estimated employing an analogous procedure. We assume that

the dierences of the log-prices of three-year zerobonds, v (t; t +  ) p (t; t +  ) ;  = 3, 1 1 1

are observed without error:

v (t; t + 1 ) p (t; t + 1 ) = log V (t; t + 1 ; rt ; st ) log P (t; t +  ; rt )
1

= s (t; t + 1 ; st ) 1 (12)
Note that s (t; t +  ; st) denotes the model spot-spread of zero-coupon bonds for a re-
1

maining maturity of  (see eqn. (1)) which we use for inverting the short-spread process
1

st from the observed log-price dierences. Again, for the remaining maturities we assume
independent and normally distributed error terms:
v (t; t +  ) p (t; t +  ) = log V (t; t +  ; rt ; st ) log P (t; t +  ; rt ) + t (13)


t  N 0; S 2
2 ;  2 f4; 5; 6; 7; 8; 9g

The conditional-density function g (t) for the spread process st is dened correspond-
2

ing to eqn. (10) where rs is replaced by st and "t and S by t and S from eqn. (13). 2
1
2
2

The log-likelihood function L ( ;  ;  ;  ; S ) is dened analogous to eqn. (11).

2 2 2 2 2 2

We maximize the above log-likelihood functions with respect to the ve parameters. 8

Starting values are obtained from an ordinary least squares estimation for the reference
three-year rate (or spread, respectively) using the Euler discretization of the short-rate
(short-spread) processes (2) and (4) as model processes. The asymptotic standard errors
of the parameter estimates are derived from the diagonale of the information matrix which
we estimate consistently with the outer-product-of-the-gradient method.

11
6 Results for AÆne Models
In this section we present results of our aÆne model estimations. Table 6 summarizes
the parameter estimates for the risk-free Vasicek and CIR short-rate process derived from
German term structure observations. The estimates of the reversion-speed parameter  1

are positive as expected for a non-explosive model but lower compared to other studies
(e.g., Duee [1999] or Uhrig, Walter [1996]). This can be explained by the overall increasing
shape of the German term structure in our sample period which does not encompass a
full business cycle. The high values of the standard errors for  and  in the Vasicek
1 1

model are caused by an identication problem, i.e., dierent parameter sets imply similar
short-rates. A heuristic solution oers the following procedure. Replacing  by its OLS
1

pre-estimate and treating it as xed the maximum likelihood estimate for  becomes 1

highly signicant. This replacement can be justied because we have obtained rather
accurate OLS-estimates for the long rate  in numerous simulation runs based on the
1

Euler-discretized model. This result applies as well to the CIR parameter estimates.
Overall, the risk-free term structure is described reasonably well by both models (see
table 7). For example, the mean absolute deviation between observed and model interest
rates never exceeds 6 bp for all maturities. Again, the good tting ability can partly
be attributed to the invariant shape of the term structure. Compared to each other,
dierences in goodness of t between the two models are small. The German term structure
is overall nearly linear in our sample period and the slope is positive albeit small. The
aÆne model mean rates t the rates calculated with the Nelson-Siegel formula quite well
which corresponds with the error statistics in table 7.
Next, we analyze whether this similarity between the models can be observed again for
the spread process estimates. Table 8 presents parameter estimates of the credit spreads
between Germany and Italy. The estimated market-price-of-risk parameter  is always 2

negative as suggested by risk-averse investors and accordingly positive term premiums.

This means that investors demand compensation for bearing default risk. In other words,
the risk-neutral drift of the spread process is more strongly increasing than under the
real probability measure implying higher expected default probabilities. Combining the
negative market price of risk with the long-run mean spread,  , we see, as a consequence,
2

that the risk-neutral long-run mean spread is higher than the real one in both models. In
the Vasicek model, the risk-neutral long-run mean spread is 36 bp as opposed to 13 bp
and in the CIR model it is 150 bp vs. 14 bp. The reversion-speed parameter  is close 2

to 0.5 for both models. However, the risk-neutral reversion speeds of  = 0:5261 in the
2

Vasicek case and  +  = 0:045 in the CIR case are quite dierent. The mean-reversion
2 2

of the CIR spread process, which is equivalent to a half-life of approximately 15 years,

9

almost vanishes. Nonetheless, these positive risk-neutral values imply that the shape of
the resulting credit spread structures must always be concave. Concave spread structures

12
have also been derived in rm-value based models like Merton [1974] for rms of good
credit standing. Note that the volatility parameter estimate of  = 0:0212 in the Vasicek
2

model is quite high compared with its risk-free counterpart,  = 0:0113. To compare
1

these results with the CIR model estimates we multiply

p the volatility estimate of  with
2

the square root of the long-run mean spread,   = 0:0124. Although this estimate is
2 2

substantially lower than the corresponding value in the Vasicek model, we cannot conclude
that the resulting volatility structure is lower because the latter is in uenced as well by
the (risk-neutral) reversion-speed parameter  (see below). Investigating the signicance
2

of the estimated parameters we observe the same kind of identication problem as noted
for the risk-free case, albeit the risk-neutral counterparts of these parameters are always
signicant which is evident from their asymptotic standard errors (see table 8).
The descriptive statistics of the residuals in table 9 allow us to assess the estimation
quality. These results show that the t of both models is worse compared with the risk-free
case. For example in the Vasicek model, the mean absolute deviation of nine-year spreads
(7.59 bp) is more than 32 percent of the mean absolute spread size of 23 bp (see table
3). However the absolute Italian zerobond prices are tted equally well in absolute terms
as their German counterparts. Furthermore, no model seems to outperform the other in
describing the observed spread structure. However, with respect to the standard errors
of the residuals the Vasicek model provides slightly more stable estimates: the standard
deviation and mean absolute deviation in table 9 are lower for all selected maturities.
Another problem arises from the dierent curvatures of the observed and the estimated
credit spreads. Figure 3 shows the interpolated means of the time series of spreads for
maturities of three to nine years for both models. The observed mean spreads calculated
with the Nelson-Siegel formula reveal a convex shape whereas the mean spreads in the
aÆne model are concave. Given a positive slope the aÆne models selected in this study are
generally not capable of describing a convex shape. If we had observed spreads for longer
maturities we would expect the spread structure to revert to a concave shape. Otherwise,
a convex shape over all maturities dees economic intuition as it implies explosive credit
spreads.
At the beginning of our sample period, the dierence between three-year and nine-year
spreads is less than 3 bp. Over time, however, they diverge, i.e., the three-year spread
is declining whereas the nine-year spread is weakly increasing as demonstrated in gures
1 and 2. This twisting of the spread structure curve might be better explained by a
multi-factor model.
An additional indicator for a missing model factor is the higher volatility of the ob-
served compared to the estimated spreads. The daily volatility of observed nine-year
spreads, for example, is 8.35 bp (see table 3) whereas the daily volatility of tted nine-
year spreads is 3.19 bp (Vasicek) and 3.96 bp (CIR), respectively. Figure 4 displays the

13
estimated volatility structure of the Vasick and CIR model against the observed structure.
Both models exhibit spread volatilities decreasing with maturity. In contrast, the observed
volatility structure shows a "smile" shape that cannot be explained by the models due
to the mean-reversion eect. However this observation must be attributed to the Asian
crisis which has led to a sharp increase in the volatility of long-term spreads. Figure 5
shows the situation before the crisis and reveals a volatility declining with maturity which
is explained well by both aÆne models.
As a nal test to explore the usefulness of the two aÆne models we compare the
respective bond price errors with those from the Nelson-Siegel estimates (table 10). The
mean absolute error for Italian bonds is consistently higher than for German bonds (40
bp vs. 15 bp) and does not depend on which aÆne model is used. At rst glance this
might indicate that these models fail to explain the spread structure. However, taking
into account the results of the Nelson-Siegel estimation we observe errors increasing three-
fold for German bonds but only two-fold for Italian bonds. This result suggests that the
relatively high errors in the Italian case derive from a more heterogenuous bond market
and cannot be attributed to the aÆne models. Note that a signicant increase in the
errors relative to the Nelson-Siegel estimates is to be expected because the aÆne models
use only four parameters.
In summary, we nd the Vasicek and CIR model to describe the risk-free term structure
dynamics better than the spread structure dynamics. Our analysis reveals only minor dif-
ferences between both models. This result contrasts the ndings of Miyazaki and Tsubaki
[1999] who model the credit spreads between Japanese Government bonds and bank deben-
ture bonds of several default qualities with an extension of the Chan, Karolyi, Longsta
and Sanders [1992] approach. In their study the CIR model provides a better explanation
of the credit spread structure than the Vasicek model. Furthermore, both models ana-
lyzed in our study fail to explain all observed shapes of the credit spread structure and
the "smile" in the observed volatility structure.

7 Conclusion
In this study we investigate to what extent two classic aÆne models are appropriate in
explaining credit spread and term structure dynamics. For our empirical analysis we
select German Government bonds as risk-free benchmark and calculate credit spreads as
dierences between the estimated Italian and German pure-discount bond term structures.
Using highly-liquid, daily OTC bond prices we obtain good term structure estimation
results, particularly for the German market segment. Furthermore, we nd the derived
zero-coupon credit spreads to be more volatile than risk-free rates. Whereas we are able
to t both aÆne models equally well to the observed risk-free German term structure
both models do not describe low and at credit spread structures well. Furthermore, they

14
cannot explain neither the overall observed convex shape of the credit spreads nor the
"smile shape" of the volatility structure. However, the latter can be attributed solely to
the impact of the Asian crisis which increased also the convexity of the spread structure by
an upward shift of long-term rates. The bond errors lie in a reasonable range considering
that both aÆne models describe the term and spread structure, respectively, with only four
parameters which are held constant over time. The higher mean absolute bond price error
observed in the Italian market can be attributed mainly to a more heterogenuous market
relative to the German. In summary, the Vasicek and the CIR approach serve equally
well not only as models for interest rates but also for credit spreads. The only apparent
advantage of the Vasicek model lies in the smaller standard errors of the residuals.
In future work the reason of the convex shape of the observed credit spread structure
should be examined more carefully because it cannot be explained by the analyzed mean-
reversion models. Fons and Carty [1995] have shown that these convex shapes occur for
investment-grade debt in the context of a Markovian rating-based model using a historical
transition matrix from Moody's. Alternatively, the observed twisting and the high level of
volatility of the credit spread structure during our sample period hint to a model extension
by adding at least one factor.
We have assumed that the observed spreads between German and Italian Government
bonds are caused exclusively by dierences in default risk. However, there still may be
small dierences in liquidity which motivate dividing the German-Italian credit spread
into a default-risk and a liquidity component for future research. Towards the end of
our sample period liquidity eects might be more important since trading in German
Government debt has increased relative to Italian Government debt after introduction of
the Euro. The begin of the Asian crisis in August 1998 had a signicant impact on the
spread and volatility structure. Extending an aÆne model by explicitly incorporating this
regime shift may be promising. This could be achieved for example by employing mixtures
of Gaussian models which have already been proposed by Pedrosa and Roll [1998] in a
recent analysis of credit spreads in the US corporate bond market.
The estimated models can be extended to price other default-risky products provided
it is not necessary to separate the probability of default from the recovery payment in
the instance of default. A credit default swap contract serves as an example where the
insurance payment in default is linked to the value of an underlying bond which has the
same seniority as the bonds used for model calibration. Other application areas are credit
derivatives where the payo is linked to the spread. Furthermore, since we estimate the
parameters under the objective measure P in addition to the market price of risk, the
model can be used in risk management to assess the potential exposure due to changes in
the risk-free or in the spread curve.

15
A Zerobond Pricing Equations
A.1 Two-Factor Vasicek Model

The price of a default-free zerobond is given by the Vasicek [1977] formula:

P (t; T ; rt ) = A1 (t; T ) e B1 (t;T )rt

and the default-risky zerobond price by:

V (t; T ; rt ; st ) = P (t; T ; rt ) A2 (t; T ) e B2 (t;T )st

= A (t; T ) A (t; T ) e
1 2
B1 (t;T )rt B2 (t;T )st

where:
Bi (t; T ) =
1 1 e i (T t)

; i 2 f1; 2g
i
and:
0     1
(Bi (t; T ) T + t) 2i i i i i2 =2 i Bi (t; T ) A
2 2
Ai (t; T ) = exp ; i 2 f1; 2g :
i
@
i
2
4i

A.2 Two-Factor CIR Model

The price of a default-free zerobond is given by the CIR [1985] formula:

P (t; T ; rt ) = A1 (t; T ) e B1 (t;T )rt

and the default-risky zerobond price by:

V (t; T ; rt ; st ) = A1 (t; T ) A2 (t; T ) e B1 (t;T )rt B2 (t;T )st

where:


Bi (t; T ) =
2 e i T t 1 ( )

( i + i + i ) e i T t 1
+ 2 i ; i 2 f1; 2g ;
( )

!2i i =2
Ai (t; T ) =
2 i e i i i( + + )(T t)=2


i
; i 2 f1; 2g
( i + i + i ) e i T ( t) 1 + 2 i
and:
q
i = (i + i ) + 2i 2 2

16
B Conditional Density Functions
B.1 Two-Factor Vasicek Model

The probability density for a change from xi (s) to xi (t), x = r and x = s, in the Vasicek 1 2

model is given by the following normal density function:

f (xi (t) jxi (s) ; i ; i ; i )
!
= (2 vari ) exp 1 1 (xi (t) meani) 2
; i 2 f1; 2g
2
2
vari

where:
meani = e i (t s) (xi (s) i ) + i ;
2  
vari = i 1 e 2i (t s) :
2i
B.2 Two-Factor CIR Model

The probability density for a change from xi (s) to xi (t), x = r and x = s, in the CIR 1 2

model is given by:

f (xi (t) jxi (s); i ; i ; i )
  qi h i
vi
= wi e 2(uivi) ; i 2 f1; 2g
2 1
ui v i Iqi 2
ui
where:
wi =
2 i
;
i2 1 e i =(t s)

qi =
2i i 1;
i2
ui = wi xi (s) e i =(t s) ;

vi = wi xi (t) :

Iq (
) denotes the modied Bessel function of the rst kind of order q.

17
References
[1] Anderson, A., Breedon, F., Deacon, M., Derry, A., Murphy, G., 1996, "Estimating
and Interpreting the Yield Curve," Wiley, New York.
[2] Chan, K.C., Karoly, G.A., Longsta, F.A., Sanders, A.B. , 1992, "An Empirical
Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Fi-
nance, 47, 1209-1227.
[3] Chen, N. F., 1991, "Financial Investment Opportunities and the Macroeconomy,"
Journal of Finance, 46, 529-554.
[4] Cox, J., Ingersoll, J., Ross, S., 1985, "A Theory of the Term Structure of Interest
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[5] Das, S., Tufano, P., 1996, "Pricing Credit Sensitive Debt when Interest Rates, Credit
Ratings and Credit Spreads are Stochastic," Journal of Financial Engineering, 5,
161-198.
[6] Doornik, J. A., Hansen, H., 1994, "An Omnibus Test for Univariate and Multivariate
Normality," Working Paper, NuÆeld College, Oxford.
[7] Duee, G. R., 1998, "The Relation Between Treasury Yields and Corporate Bond
Yield Spreads," Journal of Finance, 53, 2225-2241.
[8] Duee, G. R., 1999, "Estimating the Price of Default risk," Review of Financial
Studies, 12, 197-226.
[9] DuÆe, D., Singleton, K., 1997, "An Econometric Model of the Term Structure of
Interest-Rate Swap Yields", Journal of Finance, 52, 1287-1321.
[10] DuÆe, D., Singleton, K., 1999, "Modeling Term Structures of Defaultable Bonds,"
Working Paper, Stanford, University, Graduate School of Business, forthcoming in:
Review of Financial Studies.
[11] Dullmann, K., Uhrig-Homburg, M., Windfuhr, M., 1999, "Risk Structure of Interest
Rates: An Empirical Analysis for Deutschemark-denominated Bonds," forthcoming
in: European Financial Management.
[12] Fons, J., Carty, L., 1995, "Probability of default: A derivatives perspective," in:
Derivative Credit Risk, Risk Publications, 35{47.
[13] Harrison, M., Pliska, S., 1981, "Martingales and Stochastic Integrals in the Theory
of Continuous Trading," Stochastic Processes and Their Applications, 11, 215-260.
[14] Jarrow, R.A., Lando, D., Turnbull, S.M., 1997, "A Markov Model for the Term
Structure of Credit Spreads," Review of Financial Studies, 10, 481-523.

18
[15] Jarrow, R.A., Turnbull, S.M., 1995, "Pricing Derivatives on Financial Securities Sub-
ject to Credit Risk," Journal of Finance, 50, 53-58.
[16] Jones, E., Mason, S., Rosenfeld, E., 1984, "Contingent Claims Analysis of Corporate
Capital Structures: An Empirical Investigation," Journal of Finance, 39, 611-625.
[17] Lando, D., 1998, "On Cox-Processes and Credit Risky Securities," Review of Deriva-
tives Research, 2, 99-120.
[18] Merton, R.C., 1974, "On the Pricing of Corporate Debt: The Risk Structure of
Interest rates," Journal of Finance, 29, 449-470.
[19] Miyazaki, K., Tsubaki, H., 1999, "Comparison of JGB and Bank Debenture Credit
Spread Models," Journal of Fixed Income, 8, June, 63-70.
[20] Nelson, C., Siegel, A., 1987, "Parsimonious Modeling of Yield Curves," Journal of
Business, 60, 473{489.
[21] Pearson, N.D., Sun, T.S., 1994, "Exploiting the Conditional Density in Estimating
the Term Structure: An Application to the Cox, Ingersoll, and Ross Model," Journal
of Finance, 49, 1279-1304.
[22] Pedrosa, M., Roll, R., 1998, "Systematic Risk in Corporate Bond Credit Spreads,"
Journal of Fixed Income, 8, December, 7-26.
[23] Rousseeuw, P.J., 1990, "Robust Estimation and Identifying Outliers," in: Hand-
book of Statistical Methods for Engineers and Scientists, ed. by Wadsworth, H.M.,
McGraw-Hill, New York.
[24] Sarig, O., Warga, A., 1989, "The Risk Structure of Interest Rates," Journal of Fi-
nance, 44, 1351{1360.
[25] Uhrig, M., Walter, U., 1996, "A new Numerical Approach for Fitting the Initial Yield
Curve," Journal of Fixed Income, 5, No. 4, 82-90.
[26] Vasicek, O.A., 1977, "An Equilibrium Characterization of the Term Structure," Jour-
nal of Financial Economics, 5, 177-188.
[27] White, H., 1980, "A Heteroscedasticity-Consistent Covariance Matrix Estimator and
a Direct Test for Heteroscedasticity," Econometrica, 48, 817{838.

19
Endnotes
The authors are grateful for comments and suggestions of Wolfgang Buhler, Olaf
Korn and Marliese Uhrig-Homburg and the participants of the 8th Symposium of Fi-
nance, Banking and Insurance in Karlsruhe and the nance seminar at the University of
Mannheim.
1
For a good survey on rm-value and other credit-risk models see Lando [1998].
2
See, for example, Jones, Mason and Rosenfeld [1984].
3
See, for example, Duee [1998] for the US corporate bond market or Dullmann, Uhrig-
Homburg and Windfuhr [1999] for the Deutschemark-denominated Eurobond market.
4
The classical reference for the formal treatment of riskneutral pricing in a martingale
context is Harrison and Pliska [1981].
5
See, for example, Chan, Karoly, Longsta and Sanders [1992] or Duee [1999].
6
We are grateful to Westdeutsche Landesbank for providing the data for our research.
Unfortunately, for 25 days we could not estimate term structures because of incomplete
datasets.
7
See Anderson et al. [1996], for example, who provide summary statistics of selected
Nelson-Siegel and spline estimations of the term structure (p. 64).
8
In case of the CIR model we eliminate ve observations where the spread input was
negative.
9
The half-life for a mean-reversion parameter  is calculated as log (2) =.

20
 Table 1:
Summary of the Bond Sample

This table shows summary statistics for our sample of German and Italian Govern-
ment bonds. Maturities are reported in years relative to May 1, 1998. Coupons are
expressed in percent.
Class Germany Italy
Total number of bonds 137 17
Mean Maturity 2.7 5.4
Minimum Maturity .03 .2
Maximum Maturity 11.1 10.8
Mean Coupon 5.7 2.9
Minimum Coupon 0 0
Maximum Coupon 9 10.7

21
 Table 2:
Summary Statistics for the Estimation Quality of the Term Structures of
Interest Rates

This table shows summary statistics of the deviations between the theoretical and
market bond prices for the German and Italian Bond market. The sample period
extends from May 1998 to April 1999. In total we have 221 daily observations
available. The deviations are measured in Euro per Euro 100 nominal value. We
employ a robust outlier identication proposed in Rousseeuw [1990].
Class Germany Italy
Average number of bonds per valuation day 91.3 12.6
Average number of outlier bonds 19.2 .7
Mean absolute deviation .05 .18
Standard deviation of absolute deviations .04 0.09
Maximum absolute deviation .66 1.41

22
 Table 3:
Summary Statistics for the Credit Spreads Between Italy and Germany

This table shows summary statistics of the credit spreads between Italy and
Germany. The sample period includes 221 daily observations and extends from
May 1998 to April 1999. The deviations are measured in basispoints.
Maturity Class 1 year 3 years 5 years 7 years 9 years
Mean 7.48 13.36 15.44 18.90 23.48
Median 9.84 12.74 14.63 18.67 21.89
Standard Deviation 29.81 7.67 5.40 5.87 8.35
Maximum 78.96 45.95 45.57 40.80 51.77
Skewness -3.29 0.82 1.13 0.76 0.68
Excess Kurtosis 22.78 1.84 4.90 1.54 0.21

23
 Table 4:
Unit Root Tests for Credit Spreads between Italy and Germany

This table shows test statistics of the augmented Dickey-Fuller-test. The number of
included lags was chosen from the highest signicant lag on a 5% level. The sam-
ple period includes 221 daily observations and extends from May 1998 to April 1999.
Critical values: 5%=-2.875 1%=-3.462; Constant included
Maturity Class 3 years 5 years 7 years 9 years
No. of lags 4 3 3 4
Test statistic -3.67** -4.88** -3.53** -3.10*

24
 Table 5:
Relationship between Risk-free Term Structure of Interest Rates and Credit
Spreads

This table summarizes results from the following OLS regressions for maturities
T 2 f3; 5; 7; 9g:

SpreadT = constant + aT
Level + bT
slope + 
The t statistics in brackets are calculated from heteroscedastic-consistent standard
errors following White [1980]. The sample period includes 221 daily observations
and extends from May 1998 to April 1999.
Maturity T constant aT bT adj: R2
3 years -0.31 0.12 -0.05 0.31
(-6.76) (9.86) (-2.42)
5 years 0.14 0.01 -0.04 0.03
(3.87) (1.33) (-3.18)
7 years 0.46 -0.06 -0.03 0.21
(12.88) (-7.20) (-2.35)
9 years 0.72 -0.10 -0.07 0.35
(16.85) (-9.72) (-3.15)

25
 Table 6:
Maximum Likelihood Parameter Estimates of the German Term Structure

This table summarizes the parameter estimates of the Vasicek and the CIR
one-factor model. The numbers in parentheses are the asymptotic standard errors.
The sample period includes 221 daily observations and extends from May 1998 to
April 1999.
Estimates (Standard Errors)
Parameter Vasicek Model CIR Model
1 0.0601 (0.0017) 0.1044 (0.2670)
1 0.0253 (0.2768) 0.0456 (0.1166)
1 0.0113 (0.0007) 0.0447 (0.0014)
1 -0.325 (1.4807) -0.0511 (0.2671)
S1 0.0058 (0.0001) 0.0057 (0.0001)
1 1 1 1 0.0759 (0.0016)
1 + 1 0.0602 (0.0018)
1 1
1 +1 0.0828 (0.0018)

26
 Table 7:
Descriptive Statistics of the German Term Structure Residuals

This table shows the mean and standard deviation of the residuals and the mean
and maximum of absolute residuals for maturities of 5, 7 and 9 years. The
residuals are calculated as dierences between the observed interest rates and the
corresponding interest rates in a Vasicek and a CIR model with the estimated
parameters. All results are expressed in percent. The sample period includes 221
daily observations and extends from May 1998 to April 1999.
Vasicek Model CIR-Model
Maturity 5 years 7years 9 years 5 years 7 years 9 years
Mean 0.0154 0.0137 -0.0135 0.0194 0.0163 -0.0159
Standard Deviation 0.0488 0.0771 0.1042 0.0486 0.0771 0.1042
Mean Absolute 0.0435 0.0624 0.0792 0.0444 0.0628 0.0793
Maximum Absolute 0.1078 0.2342 0.3739 0.1090 0.2316 0.3763

27
 Table 8:
Maximum Likelihood Parameter Estimates of the Credit Spread Structure

This table summarizes the parameter estimates of the Vasicek and the CIR one-
factor model. The numbers in parentheses are the asymptotic standard errors. The
sample period includes 221 daily observations for the Vasicek and 216 observations
for the CIR model and extends from May 1998 to April 1999.
Estimates (Standard Errors)
Parameter Vasicek Model CIR Model
2 0.5261 (0.0346) 0.4816 (10.7697)
2 0.0013 (0.0409) 0.0014 (0.0308)
2 0.0212 (0.0009) 0.3305 (0.0032)
2 -0.0556 (1.0148) -0.4366 (10.7707)
S2 0.0048 (0.0001) 0.0053 (0.0001)
2 2 2 2 0.0036 (0.0000)
2 + 2 0.0450 (0.0121)
2 2
2 +2 0.0150 (0.0038)

28
 Table 9:
Descriptive Statistics of the Spread Residuals

This table shows the mean and standard deviation of the residuals and the mean
and maximum of absolute residuals for maturities of 5, 7 and 9 years. The residuals
are calculated as dierences between the observed spreads and the corresponding
spreads in a Vasicek and a CIR model with the estimated parameters. All results
are expressed in percent. The sample period includes 221 daily observations for the
Vasicek model and 216 observations for the CIR model and extends from May 1998
to April 1999.
Vasicek Model CIR-Model
Maturity 5 years 7years 9 years 5years 7 years 9years
Mean -0.0234 -0.0136 0.0168 -0.0117 -0.0017 0.0333
Standard Deviation 0.0501 0.0681 0.0904 0.0540 0.0728 0.0936
Mean Absolute 0.0438 0.0565 0.0759 0.0439 0.0599 0.0809
Maximum Absolute 0.2051 0.1901 0.3127 0.1958 0.2043 0.3323

29
 Table 10:
Descriptive Statistics of the Absolute Bond Errors

This table provides descriptive statistics of the absolute bond price errors of the
German and Italian sovereign bonds in our sample. All results are expressed in
percent. The sample period includes 221 daily observations for the Vasicek model
and 216 observations for the CIR model and extends from May 1998 to April 1999.
German Sovereign Bonds
Nelson-Siegel Vasicek CIR
Mean 0.05 0.15 0.15
Standard Deviation 0.07 0.17 0.17
Maximum 0.66 3.24 3.26
Italian Sovereign Bonds
Nelson-Siegel Vasicek CIR
Mean 0.18 0.40 0.41
Standard Deviation 0.21 0.40 0.41
Maximum 1.41 2.50 2.43

30
Figure 1: Estimated Yield Spread Between Italian and German Government
Debt Maturing in 3 years

0.4

0.3

0.2

0.1

04-MAY -1998 17-JUL-1998 29-SEP -1998 14-DEC -1998 16-MAR -1999

31
Figure 2: Estimated Yield Spread Between Italian and German Government
Debt Maturing in 9 years

0.5

0.4

0.3

0.2

0.1

04-MAY -1998 17-JUL-1998 29-SEP -1998 14-DEC -1998 16-MAR -1999

32
Figure 3: Estimated and Observed Mean Yield Spreads between Germany and
Italy in the Vasicek and CIR model

0.22

0.2

0.18

0.16

0.14
years
4 5 6 7 8 9

sp_obs sp_CIR sp_Vas

33
Figure 4: Estimated and Observed Volatility Structures of Credit Spreads from
May 1998 until April 1999

% 05.98- 04.99

0.08

0.07

0.06

0.05

0.04

years
4 5 6 7 8 9

sp_obs sp_CIR sp_Vas

34
Figure 5: Estimated and Observed Volatility Structures of Credit Spreads from
May 1998 until August 1998

% 05.98- 07.98
0.065

0.06

0.055

0.05

0.045

0.04

0.035

0.03
years
4 5 6 7 8 9

sp_obs sp_CIR sp_Vas

35