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What does Z-spread mean?

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Z-spread
Noun


The basis point spread added to the spot rates along the benchmark yield curve – either the government yield curve or swap yield curve – to make the present value of a bond equal to its price; it is the spread that an investor would realize over the entire yield curve if the bond is held to maturity.

Synonym(s): 
  • static spread; zero-volatility spread.
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