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FRM二级冲刺练习：考生常见易错题汇总（18）

来源：高顿网校 2015-10-27

　　1.In regard to the option-adjusted spread, each of the following is true except for:

　　A. In the Monte Carlo model, the option-adjusted spread (OAS) is the spread (K) that, when added to all the spot rates of all interest rate paths, will make the average present value of the paths equal to the observed market price.

　　B. The option-adjusted spread (OAS) is likely to vary from dealer to dealer.

　　C. If a bond contains no embedded options, the nominal spread (aka, static spread) will equal the option-adjusted spread (OAS).

　　D. In the case of a mortgage-backed security (MBS), the Z-spread (aka, zero-volatility spread) must be greater than the option-adjusted spread (OAS).

　　2.Which of the following factors will always result in a mortgage prepayment?

　　I. Default

　　II. Stable interest rates

　　III. Refinancing bumout

　　IV. Increase in interest rates

　　A. I, II, III and IV

　　B. II and IV only

　　C. IV only

　　D. I only

　　3.Capital structure arbitrage strategies attempt to capitalize on relative price-movement discrepancies observed between the debt and equity securities of an individual company. Such strategies are most effective during periods of:

　　A. High volatility and rising equity markets.

　　B. High volatility and falling equity markets.

　　C. Low volatility and falling equity markets.

　　D. Low volatility and rising equity markets

　　Answer:

　　1.C

　　In regard to (A), (B) and (D), each is true.

　　In regard to (B), recall that the OAS is a function of the Monte Carlo simulation which is highly dependent on the model and it's assumptions; e.g., interest rate volatility can vary by dealer.

　　2.D

　　Interest rates are related to whether the option to prepay is in-the-money and exercisable, but homeowners may choose not to prepay based on interest- rate levels. Defaults will always cause a prepayment because mortgages become payable in ful1 when mortgage payments are not made. In other words, if a payment is not made, the lender has the right to foreclose on the property. The other answer choices will not necessarily result in a prepayment.

　　3.B

　　During periods of high volatility and falling equity markets, debt holders tend to realize the gravity of a company's debt load before equity holders and adjust the prices of the company's bonds before equity holders adjust the company's stock price.

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