Your friend owns some U.S. Treasury zero-coupon bonds with 5 years to maturity. He holds the securities for duration matching to his liabilities. In the past month, the treasury bond yield has dropped from 3% to 1%. While from the above news article, the yield of corporate zero-coupon bonds with the same maturity has increased from 6% to 12%. Observing the changes, your friend wants to sell the (low-yield) treasury bonds currently owned and use the proceeds to buy (high-yield) corporate bonds of the same maturity. His transaction is motivated by the following two statements. Statement 1. Given that the two zero-coupon bonds (treasury bonds and corporate bonds) have a maturity of 5 years, his interest rate risk exposure on bond investments will remain unchanged after the transaction. Statement 2. The yield spread between two bonds provides an arbitrage opportunity because the transaction will bring higher returns while the interest rate risk remains unchanged. Required: Do you agree with your friend? Comment on his two statements.