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11. Which of the following statement is correct about the option adjusted spread ( OAS ):& i3 Y9 H8 h9 a) G
A. OAS is Z-Spread minus the option cost.
! ?" g2 N7 E7 J& G3 C3 P! W0 \B. OAS is the value of the embedded option.
3 O! I; Q! `8 bC. OAS is Z-spread plus the option cost.
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% Z; O) \0 t0 w) O( q12. The difference between Z-spread and nominal spread will most likely be the most significant for a:, j6 S: L* O, i* U& M
A. Treasury security with short maturity in a flat yield curve environment 0 {" q9 F! e! D' I
B. zero coupon Treasury security.
9 x4 G/ q! H+ O8 Z' ?0 V2 SC. mortgage-backed security in a steep upward-sloping yield curve environment4 l' [2 a( F+ o7 W# m- l
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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: Z7 u" f/ {- H+ B
A. maturity of the security is longer.
8 l6 U4 x7 h1 t1 K) U( iB. yield curve is flatter.
% M- E0 Q2 H4 |) D2 _C. security has a bullet maturity rather than an amortizing structure.
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( ^8 L4 `' W, s- _ Q, l14. 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:- W1 O, p0 j+ F% X C
A. 8.22% . |+ S; ?& Q1 u
B. 8.49%.
+ ]; [! N* F0 s. K- M% F# b4 O( ^C. 9.48%.
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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 $1,005. The bond’s yield to worst most likely occurs when the bond is:
: u6 J6 n0 P" o, H. S0 Y' S! n. sA. held until maturity in 3 years.
7 ?" ]$ b$ O* wB. called in year 1. : t7 J5 e/ V2 _' H* k/ R. P
C. called in year 2.2 I8 s& z4 U1 I i- R
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