Benchmark Spread Measures
Benchmark spread terms for credit spreads, default spreads, government spreads, OAS, nominal spreads, and Z-spreads.
Credit spread, default spread, G-spread, high-yield spread, nominal spread, OAS, Z-spread, and workout-period terms.
Credit spread and risk-spread measures compare a bond’s yield with a benchmark to estimate compensation for credit risk, liquidity risk, optionality, and other bond-specific risks.
Use this branch when a bond looks cheap or expensive because its spread is wide, narrow, option-adjusted, benchmark-linked, or tied to a distressed workout assumption.
| Area | Use it for |
|---|---|
| Benchmark Spread Measures | Credit spreads, default spreads, G-spreads, nominal spreads, option-adjusted spreads, and Z-spreads. |
| High-Yield and Workout Spreads | High-yield spreads, workout-period assumptions, distressed credit, and recovery-sensitive spread analysis. |
Identify the benchmark curve, maturity point, price source, rating, seniority, collateral, call features, liquidity, tax treatment, and quote date. A spread can widen because credit worsens, liquidity deteriorates, rates move differently across the curve, or option value changes.
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Benchmark spread terms for credit spreads, default spreads, government spreads, OAS, nominal spreads, and Z-spreads.
High-yield spread terms for workout spreads, distressed credit analysis, recovery assumptions, and risk premiums.