Glossary / Wealth and risk
Credit spread
A credit spread is the extra yield a bond pays over a comparable-maturity government or other benchmark bond, usually quoted in basis points. It compensates for the risk that payments are not received as expected, and widens when that risk rises.
Written by Antevo · 15 September 2026
See it in practice01 / In practice
Illustrative only, with invented yields. A fictional CHF corporate bond yields 2.10%, while a Swiss government bond of similar maturity yields 0.60%. The credit spread is 2.10% − 0.60% = 1.50 percentage points, or 150 basis points (one basis point is 0.01 percentage point). Suppose the spread widens to 200 basis points while the government yield stays put, so the corporate bond now yields 2.60%. With a modified duration of 5, the estimated price change is −5 × 0.50% = −2.5%. On a CHF 200,000 holding, that is about −CHF 5,000, caused by the spread change alone.
Formula. Credit spread (basis points) = (bond yield − benchmark government yield of similar maturity, in percentage points) × 100
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Primary sources for the definition above. Intelligence, not advice: your adviser or counsel confirms anything a decision rests on.