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11. Which of the following statement is correct about the option adjusted spread ( OAS )：! d' Z& l7 ~$ C* Z$ q: f" x: j* D
A. OAS is Z-Spread minus the option cost.
1 l5 X* W) U& j U- B; A8 DB. OAS is the value of the embedded option.
: ^, o8 X& f% D" T7 YC. OAS is Z-spread plus the option cost.; B. k7 F1 T# @' L( u
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12. The difference between Z-spread and nominal spread will most likely be the most significant for a：
& W9 B/ f- _5 o& y; N# L8 y8 IA. Treasury security with short maturity in a flat yield curve environment
! W8 o) Q0 T' s- s- eB. zero coupon Treasury security.
9 W( H& D1 i1 |% n' bC. mortgage-backed security in a steep upward-sloping yield curve environment+ b/ T& _# x% t% t, X* {/ Q! O: F- `
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2 H% O% v, h: M& P% k8 `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：
, @# T1 {, X* E9 nA. maturity of the security is longer. : m$ \) \, ?. c# ?
B. yield curve is flatter. - j$ \7 f) t0 S" f. u" _/ r
C. security has a bullet maturity rather than an amortizing structure.
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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：
, m( Q% `7 k( nA. 8.22% % W# P0 f! M: M ~ `* h
B. 8.49%.
; ?( N2 F3 b5 `- N* k l: EC. 9.48%.
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; n) l/ a7 ^5 }3 p' y15. 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 $1,005. The bond’s yield to worst most likely occurs when the bond is：1 j; x n* H( V Y
A. held until maturity in 3 years. % C5 T* r$ u5 [$ I
B. called in year 1.
. v( w) H! y: S& nC. called in year 2.
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发表于 2016-1-8 09:22:29
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