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Reading 59: Valuing Mortgage-Backed and Asset-Backed Securiti

 

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.

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回复:(youzizhang)[2009]Session15-Reading 59: Va...

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回复:(youzizhang)[2009]Session15-Reading 59: Va...

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