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11. Which of the following statement is correct about the option adjusted spread ( OAS ):9 G5 i+ \4 [6 R
A. OAS is Z-Spread minus the option cost.
0 a) z2 C8 n MB. OAS is the value of the embedded option.
6 ] x" B+ e' r& KC. OAS is Z-spread plus the option cost.9 ^4 b5 ^3 F1 R" [5 z: y
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1 k% P- r! J% H; Q12. The difference between Z-spread and nominal spread will most likely be the most significant for a:
4 X" ^% {' z' f/ OA. Treasury security with short maturity in a flat yield curve environment * r0 B* [ Z E
B. zero coupon Treasury security.
2 g4 F. y' D) rC. mortgage-backed security in a steep upward-sloping yield curve environment/ }6 S& q( d$ T$ | K8 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:: Z: e/ ~ E# X* h' F
A. maturity of the security is longer.
: }+ k& w' ~6 ^ z$ `2 X2 R5 s4 \B. yield curve is flatter.
& k3 ~* K3 N* J$ N+ u) EC. security has a bullet maturity rather than an amortizing structure. ! c2 a; `' b: \
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/ G4 U. S# D+ q9 Z* X+ y8 r14. 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:- T+ [5 e- U: G+ ~. z' e1 E
A. 8.22% ) s; h4 P1 j; L1 o; _% n7 B' I
B. 8.49%. ) p% z; N( k3 q7 k, S* D
C. 9.48%.
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* i* }; M/ t" g1 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:
4 m; t# h* V- B: QA. held until maturity in 3 years.
4 a) m" M2 u6 o6 w# p0 ?( qB. called in year 1. 5 C! L) [, l# x# k8 Q) i8 z# f9 G
C. called in year 2.
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