The yield spread of a specific bond over the standard swap rate in that currency of the same tenor is best described as the:
A) I-spread.
B) Z-spread.
C) G-spread.

Question

Quizplus · Accepted Answer

The yield spread of a specific bond over the standard swap rate in that currency of the same tenor is known as the I-spread. The I-spread is used to measure the credit risk of a bond issuer by comparing it to the swap rate, which reflects the credit risk of an average investment-grade borrower. The Z-spread is a measure of the spread that captures both the credit risk and the interest rate risk of a bond relative to the zero-coupon yield curve. The G-spread is a measure of the spread of a bond over the government bond of the same tenor.

The Yield Spread of a Specific Bond Over the Standard