标题: Fixed income: OAS and issuer's bench mark [打印本页] 作者: hoangvu90 时间: 2011-7-11 19:54 标题: Fixed income: OAS and issuer's bench mark
why OAS is zero when benchmark is issuer-specific? I think still could have some liquidity risk. thanks.作者: genuinecfa 时间: 2011-7-11 19:54
it could..
they just assume it wont in these discussions.作者: lucasg85 时间: 2011-7-11 19:54
hw0799 Wrote:
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> why OAS is zero when benchmark is issuer-specific?
> I think still could have some liquidity risk.
> thanks.
It is not always zero. It could have a positive or negative OAS compared to the issuer's benchmark. If its OAS=zero, it's fairly valued. If its OAS>zero, then its cheap and you should buy it, etc.作者: onelife1 时间: 2011-7-11 19:54
i am pretty sure hw0799 was asking as to why OAS of 0 is cosidered fairly valued...
i am sure he knows OAS can be diff than 0..作者: ryanlb 时间: 2011-7-11 19:54
i would guess that if you're comparing the bond to a similiar bond from the same issuer that also has an embedded option, the optionality will cancel each other out so OAS will = 0.作者: stalkey 时间: 2011-7-11 19:54
yeah....
unless they choose a benchmark with very similar term and strucure. Different structure could impact the liquidity.
gulfcfa Wrote:
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> i am pretty sure hw0799 was asking as to why OAS
> of 0 is cosidered fairly valued...
> i am sure he knows OAS can be diff than 0..
