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11. Which of the following statement is correct about the option adjusted spread ( OAS )：- P. }8 l' V- T
A. OAS is Z-Spread minus the option cost.
~$ B3 q4 X, k$ l! S# G& x) `B. OAS is the value of the embedded option. 3 ^# W- z% ~0 y
C. OAS is Z-spread plus the option cost.
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; x% S: a2 t4 _7 X1 S12. The difference between Z-spread and nominal spread will most likely be the most significant for a：2 @" ^: X, h1 X: {, {
A. Treasury security with short maturity in a flat yield curve environment
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9 V( h7 V. P9 d9 E( b5 I8 ~C. mortgage-backed security in a steep upward-sloping yield curve environment& l# C7 s3 L2 u3 c. _, x$ c
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/ v! k5 R2 M- T' A13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when：! R5 p7 J4 k F! w ~) s( y
A. maturity of the security is longer. ! S( I @7 b1 U h( Y# [* D+ r
B. yield curve is flatter.
r( D: `/ b( T4 r3 Y+ A7 tC. security has a bullet maturity rather than an amortizing structure. . n2 g% |% m+ i
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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 $98 today, the yield to call is closest to：
5 S [; J' b' z6 g+ n' {) i, DA. 8.22% ; S+ e7 u6 k/ o9 Z4 g/ K( [
B. 8.49%. 7 {! V, N- F9 M" P" _ H$ c
C. 9.48%.
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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：
7 V* ?) ^) `; R2 g5 x/ V+ gA. held until maturity in 3 years.
5 I* D/ ?+ S; e! }B. called in year 1. 9 [; \9 ?! N4 k: y2 {7 Z( ?
C. called in year 2.
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发表于 2016-4-2 07:37:07
