Mortgage-to-debt option-adjusted spreads
have widened recently and, as interest rates have risen, liquidations have slowed.
These option-adjusted spreads are then employed to compute the simulation model values in the next quarter (i.
5] In addition, the price-process model does not require the use of an arbitrary option-adjusted spread to make model values of callable securities fit market price data (Ho, 1997).
Pricing the option-adjusted spread of Brazilian Eurobonds.
The Yield Book database maintains coupon rate, credit rating, redemption schedules, prepayment history, and other indicative data for a large number of securities, together with daily prices, yields, option-adjusted spreads
, effective durations and other calculated values for securities covering 30 countries.
Treasury-based hedges should be used more when option-adjusted spreads (OASs) on mortgages are high.
Far more precise results could be obtained by using state-of-the-art option-adjusted spread models, which have been widely favored by sophisticated money managers for several years.
An option-adjusted spread model is needed to accurately determine price elasticity relationships, over a broad range of interest rate scenarios, between different mortgage types(and coupons) so as to enable the construction of accurate consolidated exposure reports.
The indicators for each index range from market-based variables such as credit default swap spreads and option-adjusted spreads
to survey-based indicators such as the Senior Loan Officer Survey and various other bank surveys.
Each chapter contains cutting-edge information for investors, traders, and other professionals involved in this market, including discussions of structuring mortgage products-such as agency CMOs and new types of mortgages-and an in-depth explanation of the concept of option-adjusted spreads
and other analytical concepts used to assess relative value.
NEW YORK -- As the bond and CDS markets continue to converge, the analytical use of simple spreads to Treasuries or traditional option-adjusted spreads
(OAS) is giving way to newer measures in an effort to better compare the two markets, according to Fitch Ratings.
Daily histories of prices, yields and option-adjusted spreads
for corporate bonds on an individual holdings-basis are also now available, in addition to implied credit default spreads and default probabilities supplied by CreditGrades.