Static SpreadStatutory Debt LimitStep-Up BondSovereign DefaultSpecial Assessment BondSpecial Tax Bon

外汇网2021-06-19 20:55:07 51

The constant yield spad which when added to the point on the spot rate Treasury curve where a cash flow from a bond is received will make the price of the bond equal to the psent value of its cash flows. In other words, each cash flow is discounted at the appropriate Treasury spot rate plus the static spad. The static spad is also known as a zero-volatility or Z-spad.

|||Static or Z-spad calculations are frequently used in mortgage-backed securities and other bonds with embedded options valuation. An option adjusted spad calculation, which is frequently used to value bonds with embedded options, is essentially a static spad calculation based on multiple interest rate paths and the ppayment rates associated with each interest rate path.

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