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Z-spread

The Z-spread, ZSPRD, zero-volatility spread, or yield curve spread of a bond is the parallel shift or spread over the zero-coupon Treasury yield curve required for discounting a predetermined cash flow schedule to arrive at its present market price. The Z-spread is also widely used in the credit default swap (CDS) market as a measure of credit spread…

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Map overview Semantic statistics

Z-spread

Nodes35
Edges34
Triples21
Avg. degree1.94
Density0.057143
Components1

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Z-spread

Top relations

related to Definition · 10
Z-spread → For, If, MBS, Net, NPV, PSA, The, The Z-spread, This, Treasury
related to Benchmark for CDS basis · 4
Z-spread → CDS, For, The CDS, The Z-spread
related to Example · 4
Z-spread → Assume, The, The Z-spread, Treasury

Important terminology Word statistics

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Important terminology

bond cash spread market yield flows cds price curve basis treasury zero-coupon mbs present value maturity realistic valuation also bp

Entity relationships Subject–Predicate–Object triples

SubjectPredicateObjectConfidenceSrc
liquidityinstance ofThis difference arises because the MBS market price incorporates additional factors0.80text
credit riskinstance ofThis difference arises because the MBS market price incorporates additional factors0.80text
embedded option costinstance ofThis difference arises because the MBS market price incorporates additional factors0.80text
Z-spreadrelated to Benchmark for CDS basisThe Z-spread0.60section
Z-spreadrelated to Benchmark for CDS basisCDS0.60section
Z-spreadrelated to Benchmark for CDS basisThe CDS0.60section
Z-spreadrelated to Benchmark for CDS basisFor0.60section
Z-spreadrelated to DefinitionThe Z-spread0.60section
Z-spreadrelated to DefinitionTreasury0.60section
Z-spreadrelated to DefinitionNet0.60section
Z-spreadrelated to DefinitionThe0.60section
Z-spreadrelated to DefinitionFor0.60section

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