I am looking at corporate bond (FR0013367620) in Bloomberg for which I have these values:
DUR_ADJ_MID (modified duration performed using the yield to worst): 6.649 DUR_ADJ_OAS_MID (security's price/yield sensitivity calculated by shifting the entire yield curve): 4.48 OAS_SPREAD_DUR_MID (price sensitivity calculated by shifting the OAS - keeping the yield curve fixed): 6.647
The current yield is 1.041 (YLD_CNV_MID in Bloomberg). My understanding is that if this yield goes from 1.041 to 1.051 (1.041 + 1%) the price of this bond will go down by 6.649%.
Now how if DUR_ADJ_OAS_MID and OAS_SPREAD_DUR_MID are the sensitivity to the treasury curve and to the spread respectively (as explained by a Bloomberg rep) how can this bond be more sensitive only to the spread (OAS) than the full curve (treasury + spread)?