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11. Which of the following statement is correct about the option adjusted spread ( OAS ):
; G1 w3 |/ r5 R$ g \: OA. OAS is Z-Spread minus the option cost.
* L1 a# v! T0 P6 G+ e. P G7 EB. OAS is the value of the embedded option. * k8 P4 ~; l2 K# s
C. OAS is Z-spread plus the option cost.9 R- U( T0 ]8 l+ T
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9 S: c+ E1 q% z3 W12. The difference between Z-spread and nominal spread will most likely be the most significant for a:6 W0 X' `1 |2 x
A. Treasury security with short maturity in a flat yield curve environment 3 `9 @, p5 u: R& D
B. zero coupon Treasury security. * M5 ^. g9 `+ {$ N; c2 {
C. mortgage-backed security in a steep upward-sloping yield curve environment" C3 T/ G8 q& M* @, M3 _
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) ^2 V# S) K' l) n13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when:% k: `& h$ L0 Q! E. V0 @( h
A. maturity of the security is longer.
9 N* u; ~1 s0 W' y# e' S( bB. yield curve is flatter. ' ^0 h1 \: X6 h- P$ N1 V# f
C. security has a bullet maturity rather than an amortizing structure.
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- H" n" l3 s2 h# z14. 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 $98 today, the yield to call is closest to: @: A* V- W5 h. h F
A. 8.22%
& w4 ~) J7 z- S# OB. 8.49%.
p: v/ S: y( v$ K2 YC. 9.48%.
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- r$ B% f! D+ R4 v15. 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:1 o3 _( U" S; i: Z* e
A. held until maturity in 3 years. ; K9 z1 G8 z1 H
B. called in year 1. ) s# K# g+ S- v: [
C. called in year 2.
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