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11. Which of the following statement is correct about the option adjusted spread ( OAS ):
9 k; J# n3 b/ F, W" WA. OAS is Z-Spread minus the option cost. ; V8 g; V5 u) W5 N
B. OAS is the value of the embedded option. " E% o2 O/ [5 G- U" K9 O2 S k0 q+ [5 t
C. OAS is Z-spread plus the option cost.' L: j/ p/ _& [( S7 x# C$ n
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3 n, H8 C: T% k) G5 m7 {) H12. The difference between Z-spread and nominal spread will most likely be the most significant for a:
/ _% N' X$ G) r* Y' }A. Treasury security with short maturity in a flat yield curve environment
( D. L# i1 [7 W' N, [6 `- vB. zero coupon Treasury security. 6 @$ ^; M$ N) | Q* s6 Y$ B
C. mortgage-backed security in a steep upward-sloping yield curve environment$ d. h+ r" q5 b6 a$ f y* z) \
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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:
$ s6 }7 e4 |4 q0 }2 ~A. maturity of the security is longer. ; X( R0 ?7 H3 O3 w4 ^# {& N
B. yield curve is flatter.
8 W, U& O% G$ u! {( ]2 ?C. security has a bullet maturity rather than an amortizing structure. - k" g+ c7 T& R7 C: O" ^' E
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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 `: t& ?& T7 P6 L1 aA. 8.22%
7 \6 E6 \# S0 T( {. p: xB. 8.49%. 2 N! A) g3 z5 I8 W# X
C. 9.48%.* H- ~6 ?8 w8 o4 E, z5 ?' c4 \
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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:9 D9 i: Y0 e% d, q
A. held until maturity in 3 years.
- k7 [7 z% z U8 A: XB. called in year 1. . l1 h: W! z. H
C. called in year 2.
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