Thursday, December 16, 2010

Option Adjusted Spread (OAS) and Z-spread

Z-spread and Option Adjusted Spread (OAS)
applied to a security with an option?appropriate securities
Z-spreadNo
  • Option-free corporate bonds
  • Credit card ABS
  • Auto loan ABS
OASYes
  • Callable corporate bonds
  • MBS
Posted by Unknown at 1:59 PM
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