hard · Asset-Backed Securities
A 3-year WAL auto ABS bond has a Spread Duration of 2.8. If the credit spread for its peer group widens by 50 bps, what is the expected price impact on the bond?
- A price increase of 1.40%
- No change, as the spread duration only applies to benchmark interest rates
- A price decline of approximately 1.40%
- A price decline of 14.0%
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