I-spread
The yield of an issue above the interest rate swap rate of the same maturity.
Formula
I = y - s_{T}The difference between the yield of the issue and the swap rate for a comparable maturity. It differs from the G-spread only in the base of comparison: there a government curve, here a swap curve.
How to read the number
It shows the premium for credit risk against the rate at which participants exchange payments, rather than against government debt.
When the metric lies
The base must match on maturity. For the same bond the spread over swaps and the spread over the government curve differ, and mixing them measures issues with two different rulers.
Also known as: spread over swaps, swap spread of a bond