CFAI define I-Spreads as 1) interpolated spreads, which reference a linearly interpolated yield. 2) Additionally, they are defined as bond rates net of SWAP RATES of the same maturities (according to the CFAI!).

Therefore, for the purposes of the CFA, I-Spread is basically (as defined above) the same thing as Z-Spread, except that it is the spread to the respective SWAP RATE given a particular maturity (instead of the spot rate).

On the other hand, my colleague says I-Spread can be defined as a spread that reference ANY linearly interpolated yield, so it does not have to be the spread to the swap curve. This also makes sense if one were to reference the CFAI’s first definition of I-Spread. However, this is incorrect once you reference CFAI’s the second definition of I-Spread.

Can someone please clarify the meaning of I-Spread for CFA purposes, and (if possible) your world applications as per your experience?

Thank you.