spreads to narrow in all other spread sectors,
a positively sloped yield curve with short rates rising 25 basis points and long rates rising by about 75 basis points
option
A. lengthen duration in all spread sectors.
B. lengthen duration in the credit sector and shorten it in the Treasury sector.
a seems like it could be an answer too, can someone explain作者: mcmc 时间: 2011-7-11 19:53
credit sector includes corporate bonds which will have the most impact. You short treasury since the treasury sector will be underperforming when spreads are narrowing.
