Explanation

Key rate '01 (also known as key rate DV01) measures the dollar change in a bond's price for a 1 basis point (0.01%) change in a specific key rate point on the yield curve, while keeping other rates constant.

For a 30-year shift, we're looking at the sensitivity to changes in the 30-year point on the yield curve. Among the given options:

• A. -0.058: Negative value would indicate price decreases with rate increases
• B. 0.024: Relatively small positive sensitivity
• C. 0.103: Moderate positive sensitivity
• D. 0.158: Larger positive sensitivity

Correct Answer: C (0.103)

This value represents the dollar change in the bond's price for a 1 basis point increase in the 30-year rate. The positive value indicates that as the 30-year rate increases by 1 basis point, the bond's price increases by approximately $0.103 per $100 face value. This could occur in certain yield curve scenarios where the bond's cash flows are structured such that they benefit from increases in long-term rates.