G-spread

A bond's yield minus the yield on a government bond of the same maturity, interpolated where needed. A spread over the government benchmark rather than the swap curve.

Where you will meet it

G-spread appears in 2 learning outcomes on the CFA syllabus. A few of them:

• Explain what the swap rate curve is, and the reasons and ways that market participants rely on it when valuing instruments
  CFA Level II · Fixed Income

  “Do not confuse the I-spread with the G-spread.”

• Weigh the strengths and weaknesses of the different spread measures used in credit portfolios, and show why the option-adjusted spread is the measure of choice
  CFA Level III · Portfolio Management Pathway

  “The G-spread interpolates the government curve to the bond's exact maturity, and the I-spread uses swap rates instead.”

Practise it

• Today's practice question One question, with every wrong option explained.
• Free Level I diagnostic test Twelve questions that show which topics to start with.
• Free finance calculators Check your arithmetic on the exam's core formulas.

All terms beginning with G · Glossary