The Zero-Volatility Spread (Z-spread) is an important concept in bond pricing analysis. It is a measure of credit risk used to compare different bonds with different levels of credit quality. Z-spreads are expressed in basis points.

The Z-spread is a spread in relation to a benchmark, usually a Treasury security, which allows for the comparison of the risk characteristics of different bonds to each other. It represents the current estimate of the bond's yield spread to the current spot rate of the benchmark. It is calculated by taking the sum of the yields of the cash flows from the bond and subtracting the yield of the benchmark, a.k.a. the Treasury rate spread.

Essentially, Z-spread is the difference between the Treasury curve and the bond's current yields. Therefore, for a given bond, the Z-spread would be calculated by subtracting the current yield of the Treasury curve at the expected points of cash receipt from that bond. The resulting difference is the Z-spread.

The Z-spread is most commonly used when bond prices are abnormally low due to either higher credit risk or market liquidity concerns. The spread allows investors to compare the current yield of the bond to the expected yield of the same bond over the same time period before the price dropped to the current level.

By analyzing the Z-spread, analysts are able to assess the current standing of the bond. By further monitoring the Z-spread, investors can get a better understanding of when, or if, the market is expecting the bond to return to its original yield. The Z-spread allows investors to evaluate and understand the credit risk of the bond in relation to that of similar bonds.

The Z-spread is an important measure for the bond market and assists in the understanding of the bond's current yield spread and credit risk. The Z-spread provides a benchmark for investors to gauge the fair pricing of a bond and hence make judgments about the bond's expected performance. The spread also allows investors to monitor the bond's trend, as well as its sensitivity to changing market conditions. It is therefore a valuable tool for helping investors make informed decisions with their bond investments.