## Zero-Volatility Spread (Z-spread)

### Zero-Volatility Spread (Z-spread)

### What is the 'Zero-Volatility Spread - Z-spread'

The Zero-volatility spread (Z-spread) is the constant spread that makes the price of a security equal to the present value of its cash flows when added to the yield at each point on the spot rate Treasury curve where a cash flow is received. In other words, each cash flow is discounted at the appropriate Treasury spot rate plus the Z-spread. The Z-spread is also known as a static spread.

### Explaining 'Zero-Volatility Spread - Z-spread'

The Z-spread helps analysts discover if there is a discrepancy in a bond's price. Because the Z-spread measures the spread that an investor will receive over the entirety of the Treasury yield curve, it gives analysts a more realistic valuation of a security instead of a single-point metric, such as a bond's maturity date.

### Z-Spread Calculation

A Z-spread calculation is different than a nominal spread calculation. A nominal spread calculation uses one point on the Treasury yield curve (not the spot-rate Treasury yield curve) to determine the spread at a single point that will equal the present value of the security's cash flows to its price.

### Zero Volatility Spread (z Spread) FAQ

#### What does Z spread mean?

#### What does a high Z spread mean?

#### How do you calculate the Z spread of a bond?

#### What is G spread and Z spread?

#### What is Z spread CFA?

#### How is Z spread calculated?

#### How do you calculate yield spread?

#### Why is the swap spread negative?

### Further Reading

**Does sovereign risk matter? New evidence from eurozone corporate bond ratings and zero-volatility spreads**

www.sciencedirect.com [PDF]

… Monetary Union (EMU), we investigate sovereign and corporate ratings as well as zero-volatility spreads (z-spreads … and principal repayments, are discounted with the same rate, as the spread is measured … This means that in contrast to nominal yield spreads, valuing a bond in a …

**Corporate social responsibility and Eurozone corporate bonds: The moderating role of country sustainability**

www.sciencedirect.com [PDF]

… Monetary Union (EMU), we investigate sovereign and corporate ratings as well as zero-volatility spreads (z-spreads … and principal repayments, are discounted with the same rate, as the spread is measured … This means that in contrast to nominal yield spreads, valuing a bond in a …

**A Gaussian Rates-Credit Pricing Framework**

link.springer.com [PDF]

… Monetary Union (EMU), we investigate sovereign and corporate ratings as well as zero-volatility spreads (z-spreads … and principal repayments, are discounted with the same rate, as the spread is measured … This means that in contrast to nominal yield spreads, valuing a bond in a …

**The Contingent convertibles pricing models: CoCos credit spread analysis**

link.springer.com [PDF]

… Monetary Union (EMU), we investigate sovereign and corporate ratings as well as zero-volatility spreads (z-spreads … and principal repayments, are discounted with the same rate, as the spread is measured … This means that in contrast to nominal yield spreads, valuing a bond in a …

**Vanilla Bonds and Asset Swaps**

link.springer.com [PDF]

… Monetary Union (EMU), we investigate sovereign and corporate ratings as well as zero-volatility spreads (z-spreads … and principal repayments, are discounted with the same rate, as the spread is measured … This means that in contrast to nominal yield spreads, valuing a bond in a …

**Monetary Policy, Spread Compression, and the Housing Market**

link.springer.com [PDF]

… Monetary Union (EMU), we investigate sovereign and corporate ratings as well as zero-volatility spreads (z-spreads … and principal repayments, are discounted with the same rate, as the spread is measured … This means that in contrast to nominal yield spreads, valuing a bond in a …

**Risky Bonds, Floaters and Swaps**

link.springer.com [PDF]

… Monetary Union (EMU), we investigate sovereign and corporate ratings as well as zero-volatility spreads (z-spreads … and principal repayments, are discounted with the same rate, as the spread is measured … This means that in contrast to nominal yield spreads, valuing a bond in a …

**The Effects of Housing Price Volatility on Mortgage Rates**

aresjournals.org [PDF]

… Monetary Union (EMU), we investigate sovereign and corporate ratings as well as zero-volatility spreads (z-spreads … and principal repayments, are discounted with the same rate, as the spread is measured … This means that in contrast to nominal yield spreads, valuing a bond in a …