Jebson is correct because the decrease in bond yields will increase the price of the U.S. bond by the largest amount. This is because it has the highest duration. Such a shift, if it includes the risk-free rates, will not significantly affect the breakeven changes in the spread. The absolute amount of the yield disadvantage or advantage would not change. The duration measures would not change much as a result of a relatively small shift like 10 basis points |
