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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.

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  • $\begingroup$ 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
    Jan 14 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
    Jan 14 at 9:58

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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

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  • $\begingroup$ 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
    Jan 15 at 9:13

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