单选题

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

【正确答案】 B

【答案解析】

B is correct because 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.