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11. Which of the following statement is correct about the option adjusted spread ( OAS )：
- l& c5 F3 S' Q4 C% J; i9 A8 oA. OAS is Z-Spread minus the option cost. 3 Y, u9 g7 o$ i8 C q
B. OAS is the value of the embedded option. : I7 t) l8 ^' H" b
C. OAS is Z-spread plus the option cost.! p$ G1 S4 \/ S: h
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6 b: W ^& m# [12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
2 U: q2 }$ j/ t+ V3 qA. Treasury security with short maturity in a flat yield curve environment
$ W, X) c# q) q b: u1 eB. zero coupon Treasury security. 1 c# Q( _. d, Z* T: t' g
C. mortgage-backed security in a steep upward-sloping yield curve environment
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/ ^& i+ ~+ A) n/ g# Z- O13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when：9 M% |7 |& s5 p) C% }
A. maturity of the security is longer.
7 @3 I2 t. c1 a0 e4 D& W+ T. HB. yield curve is flatter. / q7 j3 I: J& V* F' [. s
C. security has a bullet maturity rather than an amortizing structure.
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. @2 j8 X3 e+ c) J2 {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：( z0 E% j7 g" X( j
A. 8.22% 3 v5 [8 @; z3 G. t7 _- r8 [
B. 8.49%.
7 T, n+ u* j7 P% N9 |C. 9.48%.' Q( R, p3 f: D/ f- }* M
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2 Q3 H t3 j5 _; w15. 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 $1,005. The bond’s yield to worst most likely occurs when the bond is：
, W# N( f4 @6 \7 c% G: t" pA. held until maturity in 3 years.
1 y4 _$ A# q: G0 h! W! c- F; WB. called in year 1. , {/ k# e$ I3 U) g, ]* z5 Q& f/ X
C. called in year 2.
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