credit default spread

credit default spread
USA
credit default spread, Also known as a credit default swap spread or a credit spread (or sometimes, simply, the spread).
In derivatives, an amount, typically specified in basis points, above LIBOR that a credit protection seller charges a credit protection buyer for credit protection in a credit derivative transaction, usually a credit default swap (CDS). The spread is essentially a fee that represents the price of selling credit protection on a particular reference entity. The higher the spread, the greater the credit risk of the reference entity.
See also

Practical Law Dictionary. Glossary of UK, US and international legal terms. . 2010.

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