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Credit spread (bond)

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Credit spread (bond)

The financial term credit spread is the yield spread, or difference in yield between different securities, due to different credit quality. The credit spread reflects the additional net yield an investor can earn from a security with more credit risk relative to one with less credit risk. The credit spread of a particular security is often quoted in relation to the yield on a credit risk-free benchmark security or reference rate, typically either U.S. Treasury bonds or LIBOR;[1] see Bond valuation # Relative price approach

There are several measures of credit spread, including Z-spread and option-adjusted spread.

References

See also

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