Bloomberg G-Spread and OAS for Callable Bonds

Summary

The document clarifies the meaning of G-spread for a callable bond as displayed on Bloomberg’s Yield and Spread screen. The quoted G-spread is based on the bond’s yield to the selected workout date, which may be a call date. Users can instead view yield to maturity, which ignores the call, or yield to worst, which selects the relevant call date; entering a different workout date can also change the calculation.

The response distinguishes G-spread from option-adjusted spread and notes that Bloomberg displays OAS as a separate metric alongside Z-spread, I-spread, and other measures. It cautions against treating OAS as simply Z-spread minus an option premium. The explanation is limited to the screen’s yield and spread conventions and does not provide the underlying OAS model assumptions or a full derivation.

Key ideas

• A callable bond’s G-spread is calculated using the yield associated with its selected workout date.
• Yield to maturity ignores the call, while yield to worst selects the applicable worst-case yield date.
• Bloomberg displays OAS separately from G-spread and Z-spread.
• OAS should not be interpreted as a simple subtraction of an option premium from Z-spread.

Tags

# G spread in bbg for callable


# G spread in bbg for callable












As I understand OAS is the credit metric of choice for credit risk. And it is computed by subtracting option value from z-spread.

My question is: in BBG screen I see G-spr listed for callable bonds, is that related to OAS? If not, what is it, ytw-gov ytm(for non callable it would simply be ytm-gov ytm)? I don't have access to bbg to ask but I have seen it on the screen listed for callable bonds as well.

Is there another metric in BBG that represents OAS?

## Answer by Dimitri Vulis (score 2, accepted)

https://quant.stackexchange.com/a/78705

Here is the YAS (Yield and Spread) screen on Bloomberg.

We see the Z-spread, the I-Spread, the G-spread, the OAS, the ASW, and a few others

Because the bond is callable, the screen shows the "workout date". The G-spread is calculated with the assumption that the bond will be called on the "workout date". You can choose yield to maturity, ignoring the call; you can ask for yield to worst, in which case Bloomberg will find the corresponding call date; you can enter some other call date.

OAS isn't exactly Z-spread minus an option premium. You may like Introduction to Option-Adjusted Spread Analysis.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.