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Quantitative Finance · Glossaire

Qu'est-ce que « Credit spread; G-, I-, Z- and asset-swap spreads » ?

Aussi appelé : credit spread · G-spread · I-spread · Z-spread · asset-swap spread

Definition 21.3 Markets II: Rates, FX and Credit · Chapitre 21 — Corporate Bonds

A credit spread is the extra yield a risky bond pays over a reference curve. The G-spread is the bond’s yield minus the government yield interpolated at its maturity; the I-spread its yield minus the interpolated swap rate. The Z-spread is the constant spread which, added to the swap zero curve, discounts the bond’s cash flows to its price. The asset-swap spread is the spread over the floating rate that a buyer of the bond earns by swapping its fixed coupons into floating payments, at par: the difference between the bond’s value on the swap curve and its price, divided by the annuity of the floating leg.

The bond of against illustrative Treasury and swap curves. The G-spread is measured to the Treasury curve and the I-spread to the swap curve, which lies below it here, as it has at long maturities since the swap spreads turned negative (). Illustrative; data: the chapter’s tutorial.
Figure 21.2. The bond of Example 21.5 against illustrative Treasury and swap curves. The G-spread is measured to the Treasury curve and the I-spread to the swap curve, which lies below it here, as it has at long maturities since the swap spreads turned negative (Chapter 9). Illustrative; data: the chapter’s tutorial.

Exemples

Example 21.5 (One bond, four spreads)

A seven-year corporate bond pays a 5.50% semiannual coupon and trades at 99.00: its yield is 5.6751%. With the illustrative curves of Figure 21.2, the seven-year Treasury at 4.50% and swap at 4.25%, its G-spread is 117.5 basis points and its I-spread 142.5. Its Z-spread over the swap zero curve is 140.7 basis points and its asset-swap spread 142.9.

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