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Additional
Z-spread
English Wikipedia - The Free Encyclopedia
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Z-spread
The
Z-spread
,
ZSPRD
,
Zero-volatility spread
or
Yield curve spread
of a
mortgage-backed security
(MBS) is the
parallel shift
or
spread
over the
zero-coupon
Treasury
yield curve
required for
discounting
a pre-determined 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
that is relatively insensitive to the particulars of specific
corporate
or
government bonds
.
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