credit spread


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Credit spread

Applies to derivative products. Difference in the value of two options, when the value of the one sold exceeds the value of the one bought. One sells a "credit spread." Antithesis of a debit spread Related: Quality spread.

credit spread

The simultaneous sale of one option and purchase of another option that results in a credit to the investor's account. Thus, more funds are received from the sale than are required for the purchase. Compare debit spread.
References in periodicals archive ?
They analyze information on hundreds of thousands of monthly observations on the yield to maturity of corporate bonds since the launch of the euro in January 1999, and define the credit spread at the bond level as the difference between the corporate bond yield and the yield of a same-maturity German Bund zero coupon bond.
Contract notice: Market data with credit spread curves.
5 percent fixed rate senior unsecured bond, which has a redemption date of September 29, 2014, was issued at a credit spread of 230 bps above the benchmark R201.
In this respect, studying credit spread indices is worthwhile to shed light on the systematic component of corporate credit spreads.
Such a credit spread is often interpreted as the premium paid to bond holders for default risk.
Credit spread is the spread between Treasury securities and non-Treasury securities that are identical except for quality rating.
Balance sheet CDOs, motivated by banks' needs as tools of financing and controlling risk assets, are expected to show more growth than in the first half of the year, while issuance of arbitrage transactions are subject to the trend in credit spread, and thus their growth is uncertain,'' Moody's said.
In particular, the company placed a ZAR2bn bond on Tuesday, which included a five-year ZAR750m fixed-rate note with a credit spread of 1.
The equity market correction that has been underway since October 17 has not been corroborated by widening of credit spreads.
However, Fitch considers a prolonged period of wide credit spreads could exert pressure on Mapfre's strong capital adequacy as the Spanish sovereign debt keeps trading at high credit spreads against German bonds.
Taipei, March 24, 2010 (CENS) -- Credit spreads in Taiwan's bond market are likely to stabilize in the first half of 2010, as the local economy continues to recover.
5 billion due to the significant improvement in Morgan Stanley's credit spreads on certain of its long-term debt (debt-related credit spreads), while the prior year included positive revenue of $5.