Exchange Currency

Z-spread

Zero-volatility spread. A tool used in the analysis of an asset swap that uses the zero-coupon yield curve to calculate the spread. The Z-spread is the number of basis points that would have to be added to the spot yield curve so that the bond's discounted cash flows equal the bond's present value. Each cash flow is discounted using its maturity and the spot rate for that maturity term, so each cash flow has its own zero-coupon rate. Analysts will typically look at both the Z-spread and the asset-swap spread to see if there are discrepancies in a bond's price. For short-term debt and high-rated debt there tends to be little difference between the two spreads. If there is a large difference between the two spreads then the market is not pricing the bonds accurately. also called static spread.

Related information about Z-spread:
  1. Z-spread - Wikipedia, the free encyclopedia
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  4. Understanding the Z-Spread - YieldCurve.com
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  5. Z-spread
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  6. Z-spread (versus bond's nominal credit spread) - YouTube
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  7. What is Z-spread? definition and meaning
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  8. fixed income - What is the difference between Option Adjusted ...
    Apr 22, 2012 ... So to me, Z spread should be less than the OAS. ... That is, if the present value of the risky bond is $v_b$, then the Z-spread $z$ is the value ...