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I can't sure whether discount margin should be equal to the credit spread? Or should the credit spread of FRN equal to credit spread of Fixed Rate Bond?

The question is, what exactly do you mean by "Credit Spread"?The Discount Margin should be roughly equal to the Option Adjusted Spread for an FRN.For the FRNs that I have seen (e.g. EURIBOR based CCTs) there is a difference of about 4-5 bps. The people at Bloomberg tell me that this is because the DM is the spread to the current EURIBOR rate, while the OAS is the spread to the swap curve. I'm not convinced by this and rather think the DM is the spread to the spot curve whereas the OAS is the spread to the swap curve. In any case, as I said, I think the difference is small, but if anyone has further clarification on this I would be interested.I think the OAS is the best measure of credit risk and it is directly comparable to the OAS of the Fixed Rate Bond. It should also be the same as the Z-Spread in the absence of embedded options.I think you will find the OAS of the Fixed Rate Bond and an FRN with the same maturity will have the same OAS and hence the same credit risk.

Hi. I suggest looking at this paper: Lehman Brothers: Credit Spreads Explained. HTH