[提问]关于Asset Backed Security有效久期和OAS的关系？

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请问为什么对于ABS来说，effective duration越大，OAS和option costs就越高？

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关键词：security Backed Asset Back SEC effective option

The probable reason is that, when the effective duration is huge, this indicates that the Security's value is highly sensitive to the change in the interest rate. Thus, a little decrease in the interest rate will cause prepayment. So the embedded option's value is higher so does OAS.

Chemist_MZ 发表于 2014-5-29 14:49
The probable reason is that, when the effective duration is huge, this indicates that the Security's ...

没错，书上的逻辑貌似也是这样，那为什么security对于利率变化非常敏感时，小小的利率变化就会引起prepayment呢？
利率敏感度高的时候，小小的利率变化只是让security的value上升较大，这样借款人提前还款仅仅是可以用小幅下降后的利率重新借款而已，还有其他什么好处吗？为什么会引起较多的prepayment呢？

如果不会引起较多的prepayment，那option value上升的原因应该不是久期变长吧，应该仅仅是利率波动变大吧。

烦请您解释再解释一下。

wjve 发表于 2014-5-29 15:22
没错，书上的逻辑貌似也是这样，那为什么security对于利率变化非常敏感时，小小的利率变化就会引起prepay ...

Yeah, perhaps I have explained it in the wrong direction.  Put it in this way: large effective duration means there is still many uncollected cash flows our there. So if a prepayment happens, there will be a sharp decreases in the interest rate the investor can collect (if there is no prepayment, nothing happens) . Thus the embedded option is more expensive. The investor want to protect himself from such a risk.

Chemist_MZ 发表于 2014-5-29 22:56
Yeah, perhaps I have explained it in the wrong direction.  Put it in this way: large effective dur ...

那为什么option cost越大，oas也会越大呢？

wjve 发表于 2014-5-30 09:21
那为什么option cost越大，oas也会越大呢？

ABS can terminate early (prepayment) which means the buyer of ABS sells an American option (call or put, whatever), this offsets the price of the ABS they need to pay thus the yield is higher.

Chemist_MZ 发表于 2014-5-30 10:11
ABS can terminate early (prepayment) which means the buyer of ABS sells an American option (call o ...

但是OAS不就是已经剔除了Option Cost的Spread吗？那Option cost变化对OAS也会有影响吗？

wjve 发表于 2014-5-30 10:48
但是OAS不就是已经剔除了Option Cost的Spread吗？那Option cost变化对OAS也会有影响吗？

Ok, I see the problem, the definition of OAS we talk about are not the same.

The OAS I learned is the total spread of an asset it is callable, prepayable, whatever. While the static spread is the spread that there is no prepayment. OAS-static spread=option value.

But I check the website and find some definitions are the same as you mentioned. I think the definition on your book is the same is that in my knowledge. The market qoutes OAS because it reflects the real return the inverstor can get. So if the OAS is the one that subtracts the option's value, I don't think it makes much sense.

Chemist_MZ 发表于 2014-5-30 11:35
Ok, I see the problem, the definition of OAS we talk about are not the same.

The OAS I learned  ...

啊？！居然有这么严重的问题啊……晕，这么重要的概念居然这么不严谨……好吧，我再看看，谢谢你的解答：）

Chemist_MZ 讲的是正解。两个概念非常正确。