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As I understand OAS is the credit metric of choice for credit risk. And it is computed by subtracting option value from z-spread.

My question is: in BBG screen I see G-spr listed for callable bonds, is that related to OAS? If not, what is it, ytw-gov ytm(for non callable it would simply be ytm-gov ytm)? I don't have access to bbg to ask but I have seen it on the screen listed for callable bonds as well.

Is there another metric in BBG that represents OAS?

Medan
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1 Answers1

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Here is the YAS (Yield and Spread) screen on Bloomberg.

We see the Z-spread, the I-Spread, the G-spread, the OAS, the ASW, and a few others

Because the bond is callable, the screen shows the "workout date". The G-spread is calculated with the assumption that the bond will be called on the "workout date". You can choose yield to maturity, ignoring the call; you can ask for yield to worst, in which case Bloomberg will find the corresponding call date; you can enter some other call date.

OAS isn't exactly Z-spread minus an option premium. You may like Introduction to Option-Adjusted Spread Analysis.

Dimitri Vulis
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  • Thanks a lot, this helps. So g spread in this case ytw-ytm gov bond with workout date maturity? – Medan Mar 19 '24 at 11:24
  • I recall that nominal G spread is the bond's yield to workout date minus ytm of treasuries interpolated to the workout date. Or maybe that's the I-spread? :) Anyway, OAS is the only one that considers the embedded option. All other spreads on YAS screen assume some workout date and then use the resulting cash flows ignoring the option. Please see also https://quant.stackexchange.com/questions/3319 – Dimitri Vulis Mar 19 '24 at 12:56