easy · Asset-Backed Securities collateral
An analyst is calculating the Option-Adjusted Spread (OAS) for a 10-year WAL non-agency RMBS.
If the Z-spread is 120 bp and the cost of the prepayment option is determined to be 40 bp, what is the OAS?
- 80 bp
- 40 bp
- 120 bp
- 160 bp
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