Option Adjusted Spread (OAS)
The ICE BofA Option-Adjusted Spreads (OASs) are the calculated spreads between a computed OAS index of all bonds in a given maturity and rating category and a spot Treasury curve. An OAS index is constructed using each constituent bond’s OAS, weighted by market capitalization.
The Option-Adjusted Spread (OAS) is the spread relative to a risk-free interest rate, usually quoted in basis points, that equates the theoretical present value of a series of uncertain cash flows to the market price of a fixed-income investment. The spread is added to the risk-free rate to compensate for the uncertainty of the cash flows.
See definitions:
- Ratings: https://fred.stlouisfed.org/series/BAMLC0A4CBBB
- Maturity: https://fred.stlouisfed.org/series/BAMLC1A0C13Y
Option Adjusted Spread (OAS) in Python or via the MCP
Install the Finance Toolkit with:
pip install financetoolkit -U
Then call get_ice_bofa_option_adjusted_spread as shown below.
from financetoolkit import FixedIncome
fixedincome = FixedIncome(
start_date='2024-01-01',
end_date='2024-01-15',
)
fixedincome.get_ice_bofa_option_adjusted_spread()
Or, after setting up the Finance Toolkit MCP, ask:
How did the option-adjusted spreads of US corporate bonds by maturity, from 1-3 years to 15+ years, move from 1 to 15 January 2024?
Which returns:
| Date | 1-3 Years | 3-5 Years | 5-7 Years | 7-10 Years | 10-15 Years | 15+ Years |
|---|---|---|---|---|---|---|
| 2024-01-01 | nan | nan | nan | nan | nan | nan |
| 2024-01-02 | 0.0078 | 0.0095 | 0.0109 | 0.0128 | 0.0133 | 0.0119 |
| 2024-01-03 | 0.008 | 0.0098 | 0.0113 | 0.0133 | 0.0136 | 0.0122 |
| 2024-01-04 | 0.008 | 0.0098 | 0.0112 | 0.0133 | 0.0135 | 0.0122 |
| 2024-01-05 | 0.008 | 0.0098 | 0.0112 | 0.0132 | 0.0134 | 0.0121 |
| 2024-01-08 | 0.0079 | 0.0098 | 0.0112 | 0.0132 | 0.0134 | 0.012 |
| 2024-01-09 | 0.0078 | 0.0096 | 0.011 | 0.013 | 0.0131 | 0.0117 |
| 2024-01-10 | 0.0077 | 0.0094 | 0.0108 | 0.0128 | 0.0128 | 0.0113 |
| 2024-01-11 | 0.0075 | 0.0094 | 0.0107 | 0.0128 | 0.0127 | 0.0113 |
| 2024-01-12 | 0.0074 | 0.0094 | 0.0107 | 0.0128 | 0.0126 | 0.0112 |
| 2024-01-15 | 0.0074 | 0.0094 | 0.0107 | 0.0128 | 0.0125 | 0.0111 |
Parameters
get_ice_bofa_option_adjusted_spread accepts the following parameters.
| Parameter | Type | Description | Example |
|---|---|---|---|
maturity | bool | Whether to return the maturity option adjusted spread or the rating option adjusted spread. Defaults to True (by maturity). | False |
rounding | int | None | The number of decimals to round the results to. Defaults to None. | 2 |
standardize | bool | Whether to standardize (Z-Score) the result. Defaults to False. | True |