The default probability of an entity over various time horizons. The cumulative default probability of any entity rises over time, therefore credit spreads are normally higher for longer maturities than shorter maturities. (However, for technical reasons, this is not always the case.) The greater the difference between long and short dated debt, the steeper the curve is said to be. The smaller the difference between long and short dated debt, the flatter the curve is said to be.

See also curve steepener trade, curve flattener trade.