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11. Which of the following statement is correct about the option adjusted spread ( OAS ):
. Q7 J8 c2 ?2 ZA. OAS is Z-Spread minus the option cost.
* @3 m1 w( h" q9 j" Q7 b- S7 rB. OAS is the value of the embedded option. 7 L3 T% m: a" f; H. K( F5 j
C. OAS is Z-spread plus the option cost.
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12. The difference between Z-spread and nominal spread will most likely be the most significant for a:, y" ~$ c2 @ g6 m+ w3 Q: L) n
A. Treasury security with short maturity in a flat yield curve environment
+ b0 m0 F7 P9 n% c6 A( TB. zero coupon Treasury security.
% R8 O& v' o- F: M( [; G' o3 \C. mortgage-backed security in a steep upward-sloping yield curve environment
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9 a, [- E* I# v$ Q8 v# w) G13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when:1 u6 Y9 S3 d9 i# T6 z2 R a
A. maturity of the security is longer.
' j1 e9 l# Y" r K4 H$ g- tB. yield curve is flatter. ) o# P3 @! @; G4 ]. i
C. security has a bullet maturity rather than an amortizing structure. 2 X$ m7 y2 B$ R" K' {& K
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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 $98 today, the yield to call is closest to:
3 x( {- G- X5 ~7 x. MA. 8.22% " ~3 I" |, i$ p. }9 @5 U9 B
B. 8.49%. 8 U1 v3 @+ n3 i# F h/ ?6 ?
C. 9.48%.7 @ {5 w* Q+ m) ^
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. V/ N' Q" t0 t15. 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 $1,005. The bond’s yield to worst most likely occurs when the bond is:2 {; m0 o/ T# L9 Y$ Y
A. held until maturity in 3 years. 8 t" Y$ I2 g& U0 Y9 c8 T* F
B. called in year 1.
/ k+ q& S' l6 x3 zC. called in year 2.
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