Question

Using the correlations for the corporate bonds shown in Exhibit 21-3, calculate the duration multiplier for the three credit ratings shown in the exhibit.
Exhibit 21-3 Industry Portfolio Spread Correlations with Treasury Curve Shifts (June 2013) 
AAA/AA 
A 
BBB 
FINANCIALS 
Banking and Brokerage 
−32% 
−33% 
−31% 
Financial Companies, Insurance and REITS 
−26% 
−33% 
−38% 
INDUSTRIALS 
Basic Industries and Capital Goods 
−32% 
−35% 
−35% 
Consumer Cyclicals 
−38% 
−34% 
−30% 
Consumer Non-Cyclicals 
−35% 
−32% 
−30% 
Communication and Technology 
−31% 
−34% 
−36% 
Energy and Transportation 
−37% 
−37% 
−38% 
UTILITIES 
−24% 
−35% 
−34% 
NON-CORPORATE 
−32% 
−34% 
−36% 


$1.99
Sales0
Views17
Comments0
  • CreatedAugust 22, 2015
  • Files Included
Post your question
5000