Consider a bond with six months left and one payment left to maturity. The sixmonth spot yield is 10%, in annualized S/A terms. If and only if interest rates go up in 6 months, the bond defaults in which case 5% of the one remaining payment is lost. The z-spread is 600 basis points (computed assuming all payments are made as planned). What is the OAS in annualized S/A terms?

EBK CONTEMPORARY FINANCIAL MANAGEMENT
14th Edition
ISBN:9781337514835
Author:MOYER
Publisher:MOYER
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 10P
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Consider a bond with six months left and one payment left to maturity. The sixmonth spot yield is 10%, in annualized S/A terms. If and only if interest rates go up in 6 months, the bond defaults in
which case 5% of the one remaining payment is lost. The z-spread is 600 basis points (computed assuming all payments are made as planned). What is the OAS in annualized S/A terms?
Transcribed Image Text:Consider a bond with six months left and one payment left to maturity. The sixmonth spot yield is 10%, in annualized S/A terms. If and only if interest rates go up in 6 months, the bond defaults in which case 5% of the one remaining payment is lost. The z-spread is 600 basis points (computed assuming all payments are made as planned). What is the OAS in annualized S/A terms?
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