CFA curriculum volume 3 P363 to P364 Question 6. The question provides weight and duration for: Treasury / Agency / Corporate / Mortgage-based securities. Answer says spread duration is the weighted average duration of only those securities in the portfolio that have a yield above the default-free yield. My question is how to determine whether the securities have a yield above the default-free yield? It didn’t provide the yield for each asset. Or is it any asset class that’s not treasury bond will have a yield above the default-free yield (itself)? Thanks,
If its not a Treasury it has a Spread Duration.
Got you! Thanks!