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11. Which of the following statement is correct about the option adjusted spread ( OAS ):
- S: L0 y+ g# `! s5 V/ ?5 aA. OAS is Z-Spread minus the option cost.
t' @- |8 g( X. U! fB. OAS is the value of the embedded option.
/ Q @: k5 f0 J4 s' T% e' o7 fC. OAS is Z-spread plus the option cost.
, u3 i/ B7 Q1 O4 _( K N答案和详解,登录后回复可见:. i5 |* p) A% B/ S
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12. The difference between Z-spread and nominal spread will most likely be the most significant for a:% }" u3 S( {( G5 e
A. Treasury security with short maturity in a flat yield curve environment
! M' P& A. I5 ^! [9 p" u' n" a7 ]B. zero coupon Treasury security. : j! M1 r- g6 j5 R8 I- ?
C. mortgage-backed security in a steep upward-sloping yield curve environment
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8 r/ s) H/ I7 G& X( d$ s8 M W- U13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when: {: _( `5 j) a: r2 m
A. maturity of the security is longer. 3 U* j/ V7 y% S& j; j& V3 b
B. yield curve is flatter.
A- M# t! J# U4 VC. security has a bullet maturity rather than an amortizing structure. . N8 v ]3 E" K
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* w2 C# U! d T1 l14. 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 $98 today, the yield to call is closest to:
( |4 A& ~0 ?2 G5 H" a$ h' K6 YA. 8.22% % A* U2 G& |1 y3 y6 O% l/ q; @
B. 8.49%.
5 h9 v! I$ m1 O0 E8 GC. 9.48%.( B+ L! {! T3 U/ r5 D
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+ l5 ]2 e% N* E# G- A15. 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 $1,005. The bond’s yield to worst most likely occurs when the bond is:) a, `: V0 b# N! [; v* a1 e
A. held until maturity in 3 years.
: K9 F0 c, o7 }) L; PB. called in year 1.
, F, R6 f' T, N9 m: G7 y( O( PC. called in year 2.7 S' R" E3 l+ c% V: H- n$ U9 X
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