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标题: Reading 59: Valuing Mortgage-Backed and Asset-Backed Securit [打印本页]

作者: 土豆妮 时间: 2011-3-23 15:11 标题: [2011]Session 15-Reading 59: Valuing Mortgage-Backed and Asset-Backed Securit

Session 15: Fixed Income: Structured Securities
Reading 59: Valuing Mortgage-Backed and Asset-Backed Securities

LOS e: Evaluate a mortgage-backed security using option-adjusted spread analysis.

Wanda Brunner, CFA, is evaluating two tranches of a sequential-pay CMO structure.

Tranche

OAS (bps)

Z-spread (bps)

Effective duration

I

95

100

4.25

II

90

100

4.25

How should Brunner trade these CMO tranches?

A)
Buy Tranche II and sell Tranche I.

B)
Cannot be determined.

C)
Buy Tranche I and sell Tranche II.

Tranche I option cost = 100 – 95 = 5 basis points

Tranche II option cost = 100 – 90 = 10 basis points

Tranche I has a higher OAS and lower option cost than Tranche II, and the effective durations of the two tranches are equal. Therefore:

Tranche I is undervalued on a relative basis (“cheap”), and she should buy it.
Tranche II is overvalued on a relative basis (“rich”), and she should sell it.

作者: 土豆妮 时间: 2011-3-23 15:11

Generally speaking, an analyst would like the adjusted spread (OAS) to be:

A)
small.

B)
big.

C)
zero.

Generally speaking, an analyst would like the OAS to be big.

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Tranche	OAS (bps)	Z-spread (bps)	Effective duration
I	95	100	4.25
II	90	100	4.25