Z-Spread and I-spread

[marchaiseng]

Hello,

what's the difference between the Z-spread and the i-Spread ?

Thx

 

[sj8070]

Z spread is the spread to benchmark accounting for reinvestment risk that the existence of a non-zero coupon can introduce. In this way it is the zero coupon spread.

I spread is an interpolated spread over benchmark, simply (linearly) accounting for maturity differences between asset yield and benchmark