Credit spread

From ACT Wiki
Jump to: navigation, search


The difference in yield between a given security and a comparable benchmark government security.

It gives an indication of the issuer’s credit quality.


The difference in value of two securities with comparable maturity and yield but different credit jurisdiction.


The extra yield on a debt security over the equivalent theoretical 'risk-free' security.

In other words the proportion of the total return that the issuer must pay due to credit risk.

See also