Credit spread (bond)

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Finance

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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

↑ Michael Simkovic and Benjamin Kaminetzky, Leveraged Buyout Bankruptcies, the Problem of Hindsight Bias, and the Credit Default Swap Solution (August 29, 2010). Columbia Business Law Review, Vol. 2011, No. 1, p. 118, 2011

v t e Bond market

Bond Debenture Fixed income

Types of bonds by issuer	Agency bond Corporate bond (Senior debt, Subordinated debt) Distressed debt Emerging market debt Government bond Municipal bond

Types of bonds by payout	Accrual bond Auction rate security Callable bond Commercial paper Convertible bond Exchangeable bond Extendible bond Fixed rate bond Floating rate note High-yield debt Inflation-indexed bond Inverse floating rate note Perpetual bond Puttable bond Reverse convertible Zero-coupon bond

Bond valuation	Clean price Convexity Coupon Credit spread Current yield Dirty price Duration I-spread Mortgage yield Nominal yield Yield to maturity Z-spread

Securitized products	Asset-backed security Collateralized debt obligation Collateralized mortgage obligation Commercial mortgage-backed security Mortgage-backed security Yield-curve spread

Bond options	Callable bond Convertible bond Embedded option Exchangeable bond Extendible bond Option-adjusted spread Puttable bond

Institutions	Commercial Mortgage Securities Association (CMSA) International Capital Market Association (ICMA) Securities Industry and Financial Markets Association (SIFMA)

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Credit spread (bond)

References

See also