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11. Which of the following statement is correct about the option adjusted spread ( OAS )：
6 g3 a. x) V& q% _! N$ ]7 fA. OAS is Z-Spread minus the option cost.
0 q1 p0 T" ?+ ^7 ~9 l" ^5 I" RB. OAS is the value of the embedded option.
! J% D* X) ]) Y* c3 ]" GC. OAS is Z-spread plus the option cost.' o' s4 e. R$ h8 X
答案和详解，登录后回复可见：8 w% M# b0 Q! h8 k7 }( E9 G2 q
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2 s6 @& r+ ~1 Q$ {3 \9 z12. The difference between Z-spread and nominal spread will most likely be the most significant for a：4 B7 ~& H/ ?0 u$ C
A. Treasury security with short maturity in a flat yield curve environment 9 V T0 {8 |- o: f8 I# R, O
B. zero coupon Treasury security. ' e3 b" `5 Q& @" G8 v. p* x8 `
C. mortgage-backed security in a steep upward-sloping yield curve environment
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13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when：
. A" M9 y Z, ^% g& k2 e* k$ wA. maturity of the security is longer.
V* H* ]9 b+ r4 q# w6 s* dB. yield curve is flatter. # @# Q3 B: Z% M0 Z( U: n0 \# D
C. security has a bullet maturity rather than an amortizing structure.
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14. A semiannual-pay bond is callable in five years at $106. The bond has an 8% coupon and 15 years to maturity. If the bond is currently trading at $98 today, the yield to call is closest to：/ t: s+ {" P' Z9 G! V
A. 8.22%
# o$ l3 |5 Q4 p. I8 i7 z/ ~B. 8.49%. ! ?; e$ Q9 L( p9 i: J
C. 9.48%.- J. \' A* Z, K2 j+ Y% r9 \5 g
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15. A 10% annual coupon bond with 3 years to maturity is currently trading at $1,010. The bond is callable in one year at a call price of $1,008 and in two years at a call price of $1,005. The bond’s yield to worst most likely occurs when the bond is：/ C. u! L7 I$ x- p, b& W( Y0 i
A. held until maturity in 3 years.
6 j+ Y: O9 d. vB. called in year 1. }7 n( |8 Z% u) C6 P4 J, t+ d
C. called in year 2.% }0 O6 e- b; \; V
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