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A same company has two different bonds. I expected the Z-spread to be close for both bonds (since my representation of the Z-spread is the spread due to credit-risk proper to the company).

Here is an example:

Altice France SA/France => 95.282 Z-spread for a bond.

Altice France SA/France => 473.470 Z-spread for an other bond.

Looking at a whole set of data, I observe that it is not rare to have significative different spreads.

Should I conclude that the Z-spread model has a bond-dependancy ?

Shouldn't I conclude that a better model could be a time-dependant spread (I could build it via bootstraping using increasing maturities of a set of bonds of a same company ?).

Thanks a lot for your feedbacks !

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you should look at time to maturity (TTM) and covenants for the bonds. TTM : expect lower z-spread as bond go to maturity if it's not a special situation covenants: are the bonds pari passu, or do they have different security ?

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