2nd October 2019


What is the G spread?

G spread: the spread over or under a government bond rate, also known as the nominal spread. For example, suppose a 10-year, 8%-coupon bond is selling at $104.19, yielding 7.40%. The 10-year Treasury bond (6% coupon rate) has a YTM of 6.00%. Therefore, the G spread is 7.40% - 6.00% = 1.40%, or 140 basis points.

Also, what is the I spread?

The Interpolated Spread or I-spread or ISPRD of a bond is the difference between its yield to maturity and the linearly interpolated yield for the same maturity on an appropriate reference yield curve. The I-spread is often a rough indication of the risk premium for an investment product.

What is an ASW spread?

Definition ASW. The difference between the yield of a bond and the LIBOR curve, expressed in basis points. The asset-swap spread is designed to show the credit risk associated with the bond.

What is OAS spread?

Option-adjusted spread (OAS) is the yield spread which has to be added to a benchmark yield curve to discount a security's payments to match its market price, using a dynamic pricing model that accounts for embedded options. OAS is hence model-dependent.
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