What is the Z-spread?

The Z-spread is the constant spread added to the entire zero-coupon yield curve that equates the present value of bond cash flows to its market price. It's a cleaner measure than yield spread.

Option-Adjusted Spread removes the value of embedded options from the credit spread, giving a pure credit measure for callable bonds and mortgage-backed securities.

Credit Spread Calculator

Calculate and analyze credit spreads for corporate bonds relative to government benchmarks. Decompose credit spreads into default risk premium, liquidity premium, and calculate Z-spread and OAS for fixed income analysis.

Principal ($)

Annual Rate (%)

Years

Compounding / Year

$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.

How to Use

Enter the values for the scenario you are assessing. Calculate and analyze credit spreads for corporate bonds relative to government benchmarks. Decompose credit spreads into default risk premium, liquidity premium, and calculate Z-spread and OAS for fixed income analysis. Use the credit spread result to inform your calculation.

Credit Spread Calculator

How to Use

Frequently Asked Questions

What is the Z-spread?

What is OAS?