Explanation:
Option A is false. The z-spread (zero-volatility spread) is defined as a single, constant spread that must be added to all points on the risk-free spot rate curve to equate the present value of the bond's cash flows to its current market price. It is not different at each coupon date.
The other options are accurate:
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306.3. In regard to Malz’s credit spreads, each of the following is accurate EXCEPT, which is false?
A
A risky bond has a different z-spread at each coupon date; e.g., a semi-annual coupon bond with five years to maturity has 10 different z-spreads
B
The z-spread is the spread that must be added to the risk-free spot rate curve in order to arrive at the market price of the bond
C
The i- (or interpolated) spread is the difference between the bond's risky yield (YTM) and the linearly interpolated yield between the two swap rates, with maturities flanking that of the risky bond
D
The spread '01 (DVCS) is generally a decreasing function of the z-spread level
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