|
11. Which of the following statement is correct about the option adjusted spread ( OAS ):; j; ~2 c. b4 e% Y9 X
A. OAS is Z-Spread minus the option cost. B9 A# y- p+ y
B. OAS is the value of the embedded option.
7 D5 V8 h) B7 C4 i8 u" H* [ U- zC. OAS is Z-spread plus the option cost." x9 H7 p B6 ~8 ?0 `
答案和详解,登录后回复可见:
* [9 O& Z6 F8 J2 _5 [
1 B* A0 I+ A" e9 E, A: i+ a2 }' K# m R/ S$ W+ X5 D- [
12. The difference between Z-spread and nominal spread will most likely be the most significant for a:
5 k% Y6 I& I" `# S, Y$ JA. Treasury security with short maturity in a flat yield curve environment
4 V9 T, C% u, c. |+ p; tB. zero coupon Treasury security. % D( q: U7 s$ i/ ^0 ~
C. mortgage-backed security in a steep upward-sloping yield curve environment1 y, `! R0 ~' D9 [" j( _
) ]3 Z9 C! ^7 Y. p2 O
; w* a& i9 m' e# w0 F. S
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:
2 k; R* T3 R9 G+ e* E* V/ c7 B; CA. maturity of the security is longer.
6 D7 ]* m1 W* A0 TB. yield curve is flatter.
( [8 M3 Z! N L, `C. security has a bullet maturity rather than an amortizing structure.
5 ?! A; L5 S( |9 j; V7 E
* V! q% c4 B! P
% k" o( H8 M- n14. 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:9 U( _ N: r" V1 n" o2 s5 r
A. 8.22%
5 X. \' A1 d9 V/ a; v, [8 T) VB. 8.49%.
3 ? b% t- J @* O" N6 \) {8 \0 UC. 9.48%.& T8 ]# F/ d( h6 W" x
# r" ^! z4 z( d( m
7 p' y) J0 [. W0 ~; w15. 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 $1,005. The bond’s yield to worst most likely occurs when the bond is:" N4 E h! T% d. K! h( V$ k$ G
A. held until maturity in 3 years. . i/ P! [* o# c* D9 a2 ^2 y/ l
B. called in year 1. 8 V! A, k6 R$ R: _& B: U4 i% e. q
C. called in year 2.
" V2 K/ c C5 ^' O
! U9 h' |$ E, u- n' P2 ~' |1 p% h; @0 | r- U+ _4 W
更多CFA习题可关注:高顿CFA题库. b: }5 h% p" p8 P2 W* E e5 c
! X. V D+ N% g* M# r0 j关注微信CFA-FRM (CFAFighting)CFA考试资讯抢先得+ L5 b; w# }! R% a- }3 b) j- t
7 O$ t5 n1 X; I: S8 R& }: W |
|