news, comment, analysis and data on the global business of credit trading and investing
Spread
The difference between a bond's yield and a risk-free rate such as Libor or Euribor. The greater the issuer's credit risk, the higher spread investors will demand. By analogy, the periodic payments a protection buyer makes to a protection seller are commonly referred to as the credit default swap spread (expressed as a percentage of the notional). Like in the cash market, credit default swap spreads on riskier reference entities and longer dated contracts tend to be higher than those on high quality borrowers and short-dated contracts.
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