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LOS e: Evaluate a mortgage-backed security using option-adjusted spread analysis.
Q1. Generally speaking, an analyst would like the adjusted spread (OAS) to be:
A) small.
B) zero.
C) big.
Q2. A collateralized mortgage obligation (CMO) bond structure includes three tranches, A, B, and C, with the following characteristics:
|
Tranche |
OAS (in BP) |
Option Cost (in BP) |
|
A |
54 |
73 |
|
B |
55 |
94 |
|
C |
68 |
71 |
Using this information, which of the tranches appears to be cheap?
A) B.
B) A.
C) C. | 
发表于 2009-3-26 16:56
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