Kredittspread

Kredittspread is the premium investors demand to compensate for credit risk when lending to or investing in a borrower, above the return on a risk-free government bond of comparable maturity. It is typically expressed in basis points and is a central measure of credit risk and market sentiment in fixed income markets.

The spread is most commonly calculated as the difference between the yield on a non-government bond (such as a corporate or financial issuer) and the yield on a government bond of the same maturity. For loans, it can be the difference between the loan rate and a reference rate plus a credit premium. Spreads can be categorized by rating (investment-grade vs. high yield), by maturity, and by whether they are simply observed spreads or adjusted for options (as in the option-adjusted spread, OAS, for bonds with embedded options).

Kredittspread is used to price debt, assess relative value, and manage credit risk. Wider spreads indicate higher perceived credit risk or tighter market liquidity, while narrower spreads suggest improving credit conditions or abundant liquidity. Factors influencing spreads include issuer credit quality, sector and macroeconomic conditions, liquidity, capital market demand, and changes in existing risk-free rates. Market expectations about default risk, monetary policy, and systemic risk also play significant roles.

Limitations exist: spreads can move with changes in risk-free rates or liquidity rather than pure default risk; they reflect multiple factors and do not alone measure expected losses. Analysts often consider duration, convexity, and reference curves alongside kredittspread to gauge risk and value.

Example: if a corporate bond yields 4.50% and a government bond of the same maturity yields 1.70%, the kredittspread is 2.80 percentage points (280 basis points).