We've got 4 shorthands for option-adjusted spread »
Acronyms that contain the term option-adjusted spread
What does option-adjusted spread mean? This page is about the various possible meanings of the acronym, abbreviation, shorthand or slang term: option-adjusted spread.
Filter by:
Sort by:PopularityAlphabeticallyCategory
What does option-adjusted spread mean?
- Option-adjusted spread
- Option-adjusted spread (OAS) is the yield spread which has to be added to a benchmark yield curve to discount a security's payments to match its market price, using a dynamic pricing model that accounts for embedded options. OAS is hence model-dependent. This concept can be applied to a mortgage-backed security (MBS), or another bond with embedded options, or any other interest rate derivative or option. More loosely, the OAS of a security can be interpreted as its "expected outperformance" versus the benchmarks, if the cash flows and the yield curve behave consistently with the valuation model. In the context of an MBS or callable bond, the embedded option relates primarily to the borrower's right to refinance the debt at a lower interest rate. These securities must therefore pay higher yields than noncallable debt, and their values are more fairly compared by OAS than by yield. OAS is usually measured in basis points (bp, or 0.01%). For a security whose cash flows are independent of future interest rates, OAS is essentially the same as Z-spread.
Know what is option-adjusted spread? Got another good explanation for option-adjusted spread? Don't keep it to yourself!
Still can't find the acronym definition you were looking for? Use our Power Search technology to look for more unique definitions from across the web!
Citation
Use the citation options below to add these abbreviations to your bibliography.
Style:MLAChicagoAPA
"option-adjusted spread." Abbreviations.com. STANDS4 LLC, 2024. Web. 2 May 2024. <https://www.abbreviations.com/option-adjusted%20spread>.
Discuss these option-adjusted spread abbreviations with the community:
Report Comment
We're doing our best to make sure our content is useful, accurate and safe.
If by any chance you spot an inappropriate comment while navigating through our website please use this form to let us know, and we'll take care of it shortly.
Attachment
You need to be logged in to favorite.
Log In