An I-spread is the spread over the swap curve. It does compensate for credit and liquidity risks, but also for optionality (and nearly everything else); it’s essentially identical to a z-spread, but with respect to the swap curve instead of a Treasury curve.
FTFY ;p
Good to know! Never thought about them this way. Also, do you mind just confirming the statement below? Thanks!
Swap Spread and I-Spread are based on swap curve while Z-Spread , TED Spread , LIBOR-OIS Spread and OAS are all based on Treasury curve?
The swap spread is the difference between swap rates and Treasury rates.
The I-spread is the difference between the YTM on a risky bond and the swap rate.
The z-spread is a spread over the Treasury spot curve.
The TED spread is the difference between Treasury rates and eurodollar rates.
The LIBOR-OIS spread is the difference between the LIBOR rate and the overnight indexed swap (OIS) rate; the OIS rate is the geometric average of daily swap rates.
In short, you have lots of curves here.
Great to know. It is a lot of curves. Thanks a lot for all your help!
You’'re quite welcome.
I.e. your statement applies to the TED spread as well, correct?