Bloomberg has a number "spread to maturity" they display in some screens for fixed coupon bonds. Does anybody know the exact definition of this spread? I am not sure which screen it is but this spread is usually shown together with other, more well defined, spreads such as I-spread and Z-spread. Needless to say I don't have access to BBG. Thanks.

  • $\begingroup$ There is yield-to-maturity but I don't see spread-to-maturity. If you give the name of the screen where it can be found it will help. $\endgroup$
    – assylias
    Commented Jan 14, 2022 at 7:04
  • $\begingroup$ I've been searching for the name of the screen I saw but I just cannot find it. The term is not on the current YAS screen, as far as I know, so I'm thinking maybe I was looking at a very old screenshot of a bbg printout. I think the term makes sense for a FRN but for a fixed cpn bond it is too unspecific. $\endgroup$
    – Magnyz
    Commented Jan 14, 2022 at 9:58

1 Answer 1


The "spread to maturity" is the bond's traditional yield-to-maturity (YTM) less the riskless/govvie yield at the same maturity.

Where this starts to get problematic is when (corporate) bonds have callable repayment structures. So most data providers also provide a "yield to worst" (ie YTW if called) measure as well as "yield to maturity". YTW <= YTM. The "spread to worst" is variously called "OAS", aka the Option-Adjusted Spread. This is the by-default measure (not a measure of default risk!) that credit markets look at.

So it could be (likely but not 100% sure) that the spread-to-maturity is YTM (not YTW) less govt, which could well be a crazy number if the bond is almost certainly going to be called by the borrower.

Then the "yield" and associated "spread" to maturity is a set of figures already predicated on that bond crashing so much that the borrower elects not to repay, and refinance on better terms.

Can you get YTW and OAS; and how do those look in comparison???

hope this helps, DEM

  • $\begingroup$ Thanks Dem. I agree that if the bond has embedded options then I think OAS is the only relevant spread so I'm assuming plain fixed cpn bonds only. When you say that "Spread-to-maturity is ytm less govt-yield of same maturity" it sounds like it would be the same spread as the "I-spread" (linear interpolated on maturity) which is a another BBG-terminology-spread. One hypothesis I have is that "spread to maturity" refers to the spread between ytm and an implied ytm when all cashflows are priced from a govt zero curve (via bootstrap or other zero model). $\endgroup$
    – Magnyz
    Commented Jan 15, 2022 at 9:13

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.