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11. Which of the following statement is correct about the option adjusted spread ( OAS ):
) \8 H& L- Z6 y9 W8 iA. OAS is Z-Spread minus the option cost. $ m5 d- w+ P2 M3 v; Z
B. OAS is the value of the embedded option.
% L( D# T b/ o) e+ |2 c* wC. OAS is Z-spread plus the option cost.
& i9 A0 Q6 r7 u; q& S, T" X答案和详解,登录后回复可见:9 ]8 S1 `. b! ?2 h0 o
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u3 n s4 w+ |$ J, i2 z K12. The difference between Z-spread and nominal spread will most likely be the most significant for a:
4 {0 H3 k" i! n: ^( }4 h$ S$ {, Y! XA. Treasury security with short maturity in a flat yield curve environment
1 Y# h, U! H, O( G _; A- jB. zero coupon Treasury security.
x# o( [ T, j) v, s/ c7 dC. mortgage-backed security in a steep upward-sloping yield curve environment Y3 e; q; [" o W, I. @# C! E
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% l! f% g; E5 J1 }: ^/ a, u: A13. All else being the same, the difference between the Z-spread and the nominal spread for a non-Treasury security will be greater when:+ r2 j: s! ]7 q0 Z, O4 G4 y
A. maturity of the security is longer.
s/ n" \; Q, b9 f5 y% q. kB. yield curve is flatter.
- V9 M! S5 w. D8 K$ E* _% V' d* SC. security has a bullet maturity rather than an amortizing structure. : p5 ~% X8 \( }: d+ ^" _ e
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$ h: c2 S7 s+ T5 E14. 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 $98 today, the yield to call is closest to:& N! f3 Y% \! `9 `* Z
A. 8.22%
, d5 d% z+ K( yB. 8.49%. 9 N- O2 l+ t$ e1 ]
C. 9.48%.2 ^" Q2 X- | o7 C+ A
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Z5 I8 V! } R% T15. 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 $1,005. The bond’s yield to worst most likely occurs when the bond is:! Y q$ J( l& u$ e6 q
A. held until maturity in 3 years. ; i% e; ~; ]7 `0 q! Q2 H
B. called in year 1. 8 v7 d6 K0 b: x3 z) J% | h
C. called in year 2.5 _ R9 W2 h4 ^: ]% ~
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