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Credit derivatives terminology

By Vinod Kothari

 

 

Spread: (1) The yield of a particular security or funding cost of an entity or obligation over a base rate, such as LIBOR. Widening of spreads will mean the obligation is being priced lower, or the funding cost has gone up. Narrowing of spreads means the obligation is being priced higher, or the funding cost has come down.        

(2) Difference between bid and offer rates.

 

 

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