14. More specifically Spread Return = −SD × ΔS = −SD ×S × (ΔS/S) = −DTS × %ΔS, where SD stands for spread duration, S for spread, and Δ for change.
15. The DTS units used in the report are based on an OAS duration (OASD) stated in years and an OAS in percentage points. Therefore, a bond with an OASD = 5 and an OAS = 200 bp would have a DTS of 5 × 2 =10. The DTS industry exposures are the market-value weighted sum of the DTS of each security in that industry.
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