单选题 Magmyre Investments, Ltd. , hold two bonds: a callable bond issued by Mudd Manufacturing Inc. and a put-able bond issued by Precarious Builders. Both bonds have option adjusted spreads (OAS) of 135 basis points (bp). Kevin Grisly, a junior analyst at the firm, makes the following statements (each statement is independent). Apparently, Grisly could benefit from a CFA review course, because the only statement that could be accurate is:
  • A. Given a nominal spread for Precarious Builders of 110 bp, the option cost is -25 bp.
  • B. The cost of the call option on the Mudd bond is - 15bp.
  • C. The spread over the spot rates for a Treasury security similar to Mudd's bond is 145 bp.
【正确答案】 C
【答案解析】The "spread over the spot rates for a Treasury security similar to Mudd's bond" refers to the Z-spread on the bond. For a callable bond, the OAS ＜ Z-spread, so this could be a true statement because 135bp ＜ 145 bp. The other statements are false. The option cost is calculated using the OAS and the Z-spread, not the nominal spread. The cost of the call option should be positive. (The issuer has to compensate for increased uncertainty from the call option.)