Z-Spread
The Z-spread, short for zero-volatility spread, is the fixed yield spread added to the U.S. Treasury yield curve that makes the present value of a bond's cash flows equal to its current market price, assuming a model with no embedded options.
Example: For a corporate bond priced to market, the Z-spread to the Treasury curve might be estimated at 120 basis points, indicating the extra compensation over the risk-free curve implied by the price.
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