Credit spread risk definition
Credit spread risk means the risk arising from changes in the market value of debt financial instruments due to fluctuations in their credit spread.
Credit spread risk means the risk arising from changes in the market value of debt financial
Credit spread risk. We are exposed to credit spread risk primarily as a result of market price volatility and investment risk associated with the fluctuation in credit spreads. Widening credit spreads may cause unrealized losses in our investment portfolio and increase losses associated with written credit protection derivatives used in replication transactions. Additionally, an increase in credit spreads relative to U.S. Treasury benchmarks can also adversely affect the cost of our borrowing if we need to access credit markets. Tightening credit spreads may reduce our investment income and cause an increase in the reported value of certain liabilities that are valued using a discount rate that reflects our own credit spread.
Examples of Credit spread risk in a sentence
Credit spread risk is measured through a parametric VaR approach using sensitivities.
Credit spread risk is the risk that economic and market conditions or any actual or perceived credit deterioration may lead to an increase in the credit spreads (i.e., the difference in yield between two securities of similar Credit Risk for the JPMorgan Ultra-Short Income ETF.
More Definitions of Credit spread risk
Credit spread risk is the potential loss arising from a decline in value of an instrument due to a deterioration in the creditworthiness of the issuer of the instrument.