Excel OAS

AD&Co.’s OAS spreadsheet is a powerful analytical system that links to the OAS computational library, third-party structured deal providers (Intex or Chasen) and Bloomberg data (including agency disclosed items). It is a mini database and a simple front-end combined with cutting-edge valuation analytics. Pre-programmed calls to the Bloomberg API seamlessly fill in many of the required fields on the Market Sheet, ARMs Sheet, MBS Sheet, and Enhanced Data Sheet greatly reducing the amount of information that must be entered manually. For details on each individual field contained within every tab of the spreadsheet and for definitions of analytical outputs, see detailed documentation or click on the links above. Below are highlights and general instructions on how to setup and use the spreadsheet.

Highlights

• Instrument coverage: fixed-rate MBS, ARMs, including IO/PO strips or MSR, as well as CMOs or ABS.
• Pricing methods range from simple (static) to advanced (OAS and prOAS). Active-passive decomposed (APD) fixed-rate pass- throughs can be valued via a very fast and accurate backward induction method; other instruments employ Monte-Carlo or its enhanced version, quasi Monte-Carlo. A comprehensive set of results is automatically generated including sensitivities to various assumptions.
• AD&Co.'s term structure models, prepay models, pass-through cashflow models, and valuation models are employed for all operations. Structured non-agency deals can be modeled under user-defined assumptions about default rates and losses.
• Valuation of CMOs and ABS requires a valid license from a CMO/ABS cashflow vendor, Intex or Chasen; links are developed by AD&Co. and built-in.
• The OAS application is Bloomberg-enabled: market rates, volatilities, MBS descriptive information and prices, detailed collateral data can be loaded from Bloomberg.
• Information on every position is entered in a single Excel row. Hence, large portfolios can be easily processed.
• MBS page, ARMs page, cCMO and iCMO page can be cloned and renamed at user's discretion. User pages can be added as well as VBA code and DB links.
• The Excel application contains no in-cell formulas and cannot be "broken" by overwriting them. However, the system reads the data; it cannot be inserted or moved.
• Help Summary tab is built-in; many cells and columns are furnished with help comments. User-friendly forms are provided to navigate and see inputs and outputs.