OAS
Fixed IncomeDefinition
Option-Adjusted Spread. The yield spread of a callable bond (or MBS) over the Treasury curve, after adjusting for the embedded option. Captures pure credit risk premium without distortion from the optionality.
Used to compare callable corporates and MBS across structures. Higher OAS = more attractive credit on a like-for-like basis.
Used to compare callable corporates and MBS across structures. Higher OAS = more attractive credit on a like-for-like basis.
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