"Fixed Income": Bond portfolio interest rate risk

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來源: 正保會計網校編輯：小鞠橘桔 2021/03/20 11:31:31　字體：大小

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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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