单选题 The difference between nominal spread and zero-volatility spread will most likely be the greatest for a mortgage-backed security: A. in an inverted yield curve environment. B. in a steep upward-sloping yield curve environment. C. with short maturity in a flat yield curve environment.
【正确答案】 B
【答案解析】[分析] 如果债券的本金在到期前逐期偿还而不是在到期时一次性偿还,则正常差额与零波动差额之间的差异较大。此外,在收益率曲线较为陡峭的情况下,上述差异也较为显著。因此,本题的正确选项为B。 [考点] 名义差额与零波动差额