Credit Spread

外汇网2021-06-19 13:45:50 50

1. The spad between Treasury securities and non-Treasury securities that are identical in all respects except for quality rating.

2. An options strategy where a high pmium option is sold and a low pmium option is bought on the same underlying security.

1. For instance, the difference between yields on treasuries and those on single A-rated industrial bonds. A company must offer a higher return on their bonds because their credit is worse than the government's.

2. An example would be buying a Jan 50 call on ABC for $2, and writing a Jan 45 call on ABC for $5. The net amount received (credit) is $3. The investor will profit if the spad narrows.

Can also be called "credit spad option" or "credit risk option".

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