644 Minor proj
I. Data
II. Descriptive statistics
Table 1: General statistics
TSYCVSPD
OAS
COUPON
PRICE
Mean
109.4131
112.0281
4.424037
109.3066 Median
100.05
103
4.5
105.936 Maximum
1104.5
1108
12.75
173.5 Minimum
-84.5
-127
0
40.98 Standard Deviation
74.90148
79.00204
1.973621
11.29507
In this table we can see that there is a little bit difference when compare the treasury security yield curve spread and option adjusted spread.
Figure 1: Industry Distribution
According to the chart we can see that the data we obtained concentrate on the industrial and financial industry, while mostly industrial. The rest are utility, treasury, mortgage, agency and World Bank. (In sequential order)
Figure 2: Rating Distribution
The data we use has the rating from AAA to BB, from the distribution we can tell the majority of the company we chose are A and BBB which is quite reasonable since they are above the average and the analysis result won’t be extremely high or low.
Table 2: Average Yield Spread to Treasury
Rating
AAA
AA
A
BBB
BB
Total
28.25101
50.71882
96.1955
150.004
280.6011
Maturity > 10 years
84.2
79.43144
138.9689
199.563
303.037
Callable
97.525
119.0917
121.5084
186.6647
358.1
May call or non-callable
81.97917
78.16569
145.39
205.0435
298.632
Maturity ≤ 10 years
21.09772
36.74078
75.46772
130.7933
270.9857
Callable
52.975
72.45357
82.46609
147.638
313.0857
May call or non-callable
20.50465
35.44044
73.47725
121.637
258.9571
Table 3: Average OAS
Rating
AAA
AA
A
BBB
BB
Total
30.21053
38.84557
102.5426
155.7582
289.8333
Maturity > 10 yrs
95.32143
46.28093
151.7523
214.3786
322.037
Callable
105.5
124.25
129.7931
195.7628
384
May call or non-callable
93.625
43.79255
159.8279
222.2885
317.08
Maturity <= 10 yrs
21.88584
35.22585
78.69576
133.0349
276.0317
Callable
54.5
63.85714
83.88696
146.3405
318.7143
May call or non-callable
21.27907
34.18336
77.21929
125.8025
263.8367
The yield spread
II. Descriptive statistics
Table 1: General statistics
TSYCVSPD
OAS
COUPON
PRICE
Mean
109.4131
112.0281
4.424037
109.3066 Median
100.05
103
4.5
105.936 Maximum
1104.5
1108
12.75
173.5 Minimum
-84.5
-127
0
40.98 Standard Deviation
74.90148
79.00204
1.973621
11.29507
In this table we can see that there is a little bit difference when compare the treasury security yield curve spread and option adjusted spread.
Figure 1: Industry Distribution
According to the chart we can see that the data we obtained concentrate on the industrial and financial industry, while mostly industrial. The rest are utility, treasury, mortgage, agency and World Bank. (In sequential order)
Figure 2: Rating Distribution
The data we use has the rating from AAA to BB, from the distribution we can tell the majority of the company we chose are A and BBB which is quite reasonable since they are above the average and the analysis result won’t be extremely high or low.
Table 2: Average Yield Spread to Treasury
Rating
AAA
AA
A
BBB
BB
Total
28.25101
50.71882
96.1955
150.004
280.6011
Maturity > 10 years
84.2
79.43144
138.9689
199.563
303.037
Callable
97.525
119.0917
121.5084
186.6647
358.1
May call or non-callable
81.97917
78.16569
145.39
205.0435
298.632
Maturity ≤ 10 years
21.09772
36.74078
75.46772
130.7933
270.9857
Callable
52.975
72.45357
82.46609
147.638
313.0857
May call or non-callable
20.50465
35.44044
73.47725
121.637
258.9571
Table 3: Average OAS
Rating
AAA
AA
A
BBB
BB
Total
30.21053
38.84557
102.5426
155.7582
289.8333
Maturity > 10 yrs
95.32143
46.28093
151.7523
214.3786
322.037
Callable
105.5
124.25
129.7931
195.7628
384
May call or non-callable
93.625
43.79255
159.8279
222.2885
317.08
Maturity <= 10 yrs
21.88584
35.22585
78.69576
133.0349
276.0317
Callable
54.5
63.85714
83.88696
146.3405
318.7143
May call or non-callable
21.27907
34.18336
77.21929
125.8025
263.8367
The yield spread