Topic: Fixed Income Securities

Option-adjusted Spreads (OAS)

The Z-spread handles one problem present in nominal spread effectively, i.e., that is, it measures the spread over the entire spot rate curve instead of only at one point in the curve. However, there is another problem that comes because of the embedded options. Due...

Nominal Spread

Nominal Spread, or the nominal yield spread, is the most simple yield spread for non-Treasury bonds. Nominal spread measures the difference between the yield of a bond and the yield to maturity of a similar maturity Treasury bond. Consider the following two 10-year...

Cash Flow Yield

For some debt products such as mortgage-backed securities, we calculate cash flow yield instead of yield to maturity. This is because investors in mortgage-backed securities receive their cash flow from the cash flow of the underlying collateral pool and this cash...

Page 5 of 12« First...34567...10...Last »