This data represents the Option-Adjusted Spread (OAS) of the BofA Merrill Lynch US Corporate AA Index, a subset of the BofA Merrill Lynch US Corporate Master Index tracking the performance of US dollar denominated investment grade rated corporate debt publically issued in the US domestic market. This subset includes all securities with a given investment grade rating AA.
The BofA Merrill Lynch OAS are the calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. An OAS index is constructed using each constituent bond’s OAS, weighted by market capitalization. When the last calendar day of the month takes place on the weekend, weekend observations will occur as a result of month ending accrued interest adjustments.
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Copyright, 2014, Bank of America Corporation. Reprinted with permission. BofA Merrill Lynch US Corporate AA Option-Adjusted Spread©