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.
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