Option-adjusted spread (OAS) - (1) The spread over an issuers spot rate curve, developed as a measure of the yield spread that can be used to convert dollar differences between theoretical value and market prices. (2) The cost of the implied call embedded in a M.B.S., defined as additional basis-yield spread. When added to the base yield spread of an M.B.S. without an operative call produces the option-adjusted spread.
Option-adjusted spread (OAS) : (1) the spread over an issuers spot rate curve, developed as a measure of the yield spread that can be used to convert dollar differences between theoretical value and market prices. (2) the cost of the implied call embedded in a m.b.s., defined as additional basis-yield spread. when added to the base yield spread of an m.b.s. without an operative call produces the option-adjusted spread.
Option-adjusted spread (OAS)