Tranche OAS (bps) Z-spread (bps) Effective duration I 95 100 4.25 II 90 100 4.25
Tranche
OAS (bps)
Z-spread (bps)
Effective duration
I
95
100
4.25
II
90
Tranche I option cost = 100 – 95 = 5 basis points
Tranche II option cost = 100 – 90 = 10 basis points
Tranche I has a higher OAS and lower option cost than Tranche II, and the effective durations of the two tranches are equal. Therefore:
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