Nominal spread and zero-vol spread

CFA Level I
#1

The difference between the 2 will be greater for: 1-zero coupon treasury sec 2-MBS in flat yield curve environment 3-US Treas. Sec with short maturity in a flat yield curve environment 4-MBS in a steep upward sloping yield curve environment I understand the definitions but I don’t know in what case would the difference be greater.

#2

I’d say #4, since it has a steep upward sloping yield curve. The z-spread would take the diff spot rates into consideration & the nominal spread wouldn’t.

#3

the steeper curve& larger prepayment risk, the greater the difference will be. it’s on the book, can’t tell the exact page number though, since i dont have it with me rite now

#4

4 is right

#5

easygoing is right

#6

Thanks guys.