NO.PZ2018120301000054
问题如下：
Wang, a credit analyst in a securities firm, collects the following financial data for 3 different BBB-Rated bonds
According to the information above, Wang made the following statements:
Statement 1: because the bond B’s OAS and its other spreads are more or less the same, the bond B is most likely an option-free bond.
Statement 2: because Bond A’s Z-spread is much larger than its OAS, bond A is most likely a callable bond, and the difference between z-spread and OAS (118.6 - 85) is the premium for the embedded call options.
According to the information above, which of the following is correct?
选项：
A.Statement 1 is correct.
B.Statement 2 is correct.
C.Both statement 1 and 2 are correct.
解释：
C is correct.
考点：考察对各Spread的理解
解析：两个Statement都是正确的。对于第一个Statement，因为Bond B的Z-spread和其OAS非常相近，意味着对持有风险债券的补偿，和风险债券剔除Option之后的补偿相近，则Bond B很有可能是一支option-free bond。对于第二个Statement，Z-spread和OAS之差，是对embedded call option的补偿。
可以这样理解吗？
callable bond意味着客户吃亏，卖的更便宜，所以Z spread就更大？所以Z＞OAS，就代表callable bond
