Z-Spread definition
Z-Spread means, in respect of any firm offer quotation and an Eligible Security, the spread that would need to be added to or deducted from the spot interest rate curve so that a Eligible Security's discounted cashflows equals the relevant firm offer quotation, with each dated cashflow discounted at its own rate. Any spread that is added to the spot interest rate curve will be expressed as a positive Z-Spread and any spread that is deducted from the spot interest rate curve will be expressed as a negative Z-Spread. If a Principal Market Maker is unable or unwilling to provide a Z-Spread in conjunction with a Quotation, such amount shall be determined by the Calculation Agent in its commercially reasonable opinion.