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11. Which of the following statement is correct about the option adjusted spread ( OAS ):
5 [% L1 P0 @" x$ \7 G. \, @4 iA. OAS is Z-Spread minus the option cost. . p, ~' ]( W- S; U/ G
B. OAS is the value of the embedded option.
8 P' J c2 ]3 ]- `) R9 y6 b# ]/ w+ RC. OAS is Z-spread plus the option cost.
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& G( I( L! A- Q: p, p0 y12. The difference between Z-spread and nominal spread will most likely be the most significant for a:
* e- u" }4 p7 C, V% A3 [& ^ `A. Treasury security with short maturity in a flat yield curve environment
# R+ r/ d! C' h/ K5 K+ g$ EB. zero coupon Treasury security. 5 b$ C2 Z( G" u8 l% H' [
C. mortgage-backed security in a steep upward-sloping yield curve environment1 w; V: t' d1 n2 q* h$ A' E
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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:5 }- B1 w# U! [+ i
A. maturity of the security is longer. : u- i1 w8 ^0 u
B. yield curve is flatter.
; c4 F! Q* l% U9 G3 G5 EC. security has a bullet maturity rather than an amortizing structure. % b1 T* C$ q* C: P+ U7 T9 c+ g
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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 $98 today, the yield to call is closest to:% S% @! H: [; {( |. v$ R
A. 8.22%
/ J; a# i' I9 n4 g) Q* YB. 8.49%. 6 V6 N* G# s" W W
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 $1,005. The bond’s yield to worst most likely occurs when the bond is:, k9 z: u+ E0 q6 O
A. held until maturity in 3 years.
. ]& W- z* r% Z8 l N% FB. called in year 1.
8 o$ V, @6 Y4 y3 O2 m. {C. called in year 2.9 ^) g" K, I+ D: y6 }+ G% E+ @
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