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"Fixed Income": Bond portfolio interest rate risk
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Questions 1:
All else being equal, the difference between the nominal spread and the Z-spread for a non-Treasury security will most likely be larger when the:
A 、yield curve is steep.
B 、security has a bullet maturity rather than an amortizing structure.
C 、yield curve is flat.
Questions 2:
Duration is most accurate as a measure of interest rate risk for a bond portfolio when the slope of the yield curve:
A 、stays the same.
B 、decreases.
C 、increases.
View answer resolution
【Answer to question 1】A
【analysis】
A is correct. The main factor causing any difference between the nominal spread and the Z-spread is the shape of the Treasury spot rate curve. The steeper the spot rate curve, the greater the difference.
B is incorrect because for a bullet maturity security the nominal spread and Z-spread will be approximately the same, but it will be greater for an amortizing security.
C is incorrect because when the yield curve is flat the nominal spread and Z-spread will be approximately the same.
【Answer to question 2】A
【analysis】
A is correct. Duration measures the change in the price of a portfolio of bonds if the yields for all maturities change by the same amount; that is, it assumes the slope of the yield curve stays the same.
B is incorrect because duration assumes the slope stays the same.
C is incorrect because duration assumes the slope stays the same.
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