How to calculate spread duration?

CFA Level III
#1

I don’t remember reading how to approach this from Schweser notes…

#2

2.53

#3

It was in the Schweser notes but it was a bad example. They included the Treasury duration and weight in the spread duration. Obviously the spread duration of the Treasury will be 0 because you’re comparing it to itself! They included the Treasury weight and spread duration in the example though. Really stupid.

#4

If memory serves me correct there were treasuries agencies and corporates, equally weighted: so you need to assign 0.33 weight for each one and multiply it with spread durations, i saw some posters divided the weights 1/2 and 1/2 between agencies and corporates but it’s the wrong calculation.

#5

What’s the spread duration of an individual corporate? Do you just subtract the duration of the appropriate treasury or is there more to it?

#6

how sensitive your portfolio is to changes in spreads over treasuries…

#7

i had 2.53

#8

^ correct

#9

itstoohot Wrote: ------------------------------------------------------- > If memory serves me correct there were treasuries > agencies and corporates, equally weighted: > > so you need to assign 0.33 weight for each one and > multiply it with spread durations, i saw some > posters divided the weights 1/2 and 1/2 between > agencies and corporates but it’s the wrong > calculation. thats right

#10

2.53

#11

2.53. I had this note “For non-treasury bonds, spread duration is effective duration”

#12

2.53…u calculate it normally as you would for any weighted, except use 0 for the treasury spread duration

#13

2.53

#14

See EOC question 6 for Reading 29, vol 4

#15

I had 4. Yes, I screwed up.