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12, 2006 the option adjusted spread on the Master II Index stood at 306 bps, near the record low spread of 271 bps set on March 9, 2005. What is option adjusted spread analysis, how many types of volatility are there? Linked to Bear Stearns' option adjusted spread model, the prepayment model allows investors to differentiate and value the prepayment uncertainty inherent in home equity securities with very diverse loan and borrower attributes. |
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