Z-spread
Fixed IncomeDefinition
Zero-volatility spread. The constant spread that, when added to the Treasury yield curve, makes the present value of a bond's cash flows equal its market price. Doesn't adjust for embedded options.
Equal to OAS only for option-free bonds. For callables/MBS, Z-spread > OAS, with the gap representing the option cost.
Equal to OAS only for option-free bonds. For callables/MBS, Z-spread > OAS, with the gap representing the option cost.
Related tool
Open the fixedincome tool on Arsenal.finance →