Credit Spread Option

信用利差期权（Credit spad option）

信用利差是用以向投资人弥补基础资产违约风险的、好于无风险利率的利差，其计算公式是：信用利差＝贷款或证券收益－相应的无风险证券的收益

A financial derivative contract that transfers credit risk from one party to another. An initial pmium is paid by the buyer in exchange for potential cash flows if a given credit spad changes from its current level.

The buyer of a credit spad option will receive cash flows if the credit spad between two specific benchmarks widens or narrows. Credit spad options come in the form of both calls and puts, allowing both long and short credit positions.

Credit spad options can be issued by holders of a specific company's debt to hedge against the risk of a negative credit event. The buyer of the credit spad option (call) assumes all or a portion of the risk of default, and will pay the option seller if the spad between the company's debt and a benchmark level (such as LIBOR) grows.

Options and other derivatives based on credit spads are vital tools for managing the risks associated with lower-rated bonds and debt.