单选题 Four non-convertible bonds have the indicated yield spreads to Treasury securities:
{{I}}Maturity{{/I}}

{{I}}Nominal{{/I}}

{{I}}spread{{/I}}

{{I}}Zero-volatility{{/I}}

{{I}}spread{{/I}}

{{I}}Option-adjuste{{/I}}

{{I}}spread{{/I}}

Bond W
2 years
156 bp
155 bp
130 bp
Bond X
3 years
173 bp
174 bp
199 bp
Bond y
5 years
188 bp
189 bp
164 bp
Bond Z
10 years
202 bp
201 bp
226 bp
Based on these spreads, it is most likely that: A. Bond X is callable and Bond Y is putable. B. Bond W is callable and Bond Z is putable. C. Bond Z is callable and the spot yield curve is inverted.
【正确答案】 B
【答案解析】Bonds W and Y are most likely callable and Bonds X and Z are most likely putable. If the option-adjusted spread is less than the zero-volatility spread, the embedded option has a negative value to the bondholder (e. g. a call option) , and if the option-adjusted spread is greater than the zero-volatility spread, the embedded option has a positive value to the bondholder (e. g. a put option). Zero-volatility spreads adjust for the fact that nominal spreads (between the yields to maturity of two bonds) are theoretically correct only when the spot yield curve is flat. All of these bonds' zero-volatility spreads are nearly identical to their nominal spreads to Treasuries, which suggests the spot yield curve is in fact approximately flat.