单选题

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、 yield curve is flat.
C、 security has a bullet maturity rather than an amortizing structure.

【正确答案】 A

【答案解析】

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.