Credit Spread Calculator
From a bond yield and the risk-free rate, compute the credit spread (yield spread) that compensates for default risk.
輸入資料
計算結果
重點速覽：Credit spread = bond yield - risk-free rate; bps = spread% x 100. It is the extra yield investors demand for bearing default risk, using a same-maturity government bond as the risk-free base. Wider = higher perceived risk / risk aversion; narrower = stronger credit / appetite. Lower-rated (junk) bonds have larger spreads. WARNING: This is the simplest yield spread; Z-spread, OAS are finer; compare same-maturity issues or term premium contaminates. Education, not advice.
計算公式
信用利差 = 債券殖利率 − 無風險利率。
基點 (bps) = 信用利差 (%) × 100。
$$信用利差：$Spread = Y_{bond}-Y_{riskfree}$$$$$基點：$bps = Spread(\%)\times100$$$$$示例：$6.5\%-4\%=2.5\%=250\text{ bps}$$$使用說明
- Enter the bond's market yield.
- Enter the same-maturity government bond yield.
- View the spread in percent and basis points.
無風險利率 4% 下不同債券殖利率對應的信用利差
| 債券殖利率 | 無風險利率 | 信用利差 | 基點 (bps) | 風險含義 |
|---|---|---|---|---|
| 5% | 4% | 1% | 100 | 信用良好 / 投資級 |
| 6.5% | 4% | 2.5% | 250 | 中等信用風險 |
| 9% | 4% | 5% | 500 | 較高風險 / 高收益 |
| 12% | 3.5% | 8.5% | 850 | 高違約風險 / 垃圾債 |
理財情境案例
案例一：計算一張公司債的信用利差
某公司債在市場上的到期殖利率為 6.5%，而同為約 5 年期的政府公債殖利率 (無風險利率) 為 4%。
信用利差 = 6.5% − 4% = 2.5% = 250 個基點 (bps)。
解讀：這 2.5% (250 bps) 就是投資者因為承擔『這家公司可能違約』的信用風險，而額外要求的補償報酬。相對於幾乎沒有違約風險的政府公債，持有這張公司債每年多賺 2.5 個百分點——這既是回報，也是風險的價格。
案例二：利差擴大反映的市場訊號
同一批公司債，在市場平靜時利差約 100 bps (債券殖利率 5%、無風險 4%);但當經濟前景轉差、市場恐慌升溫，資金湧向安全的政府公債、拋售風險債券，利差急速拉闊到 500 bps (債券殖利率 9%、無風險回落至 4%)。
利差由 100 bps 擴大到 500 bps，代表市場對這類發行人的違約擔憂大增、風險趨避情緒濃厚。
解讀：信用利差擴大 (widening) 往往是市場恐慌或信用環境收緊的警號——投資者要求高得多的補償才願持有風險債券。反之利差收窄 (tightening) 則代表市場風險胃納回升。因此觀察利差走勢，既能判斷個別發行人的信用變化，也是重要的整體市場情緒溫度計。本計算器計算的是最基本的殖利率差，實務上還有 Z-spread、OAS 等更精細的定義。
常見問題
What is a basis point and why use it for spreads?
A basis point (bp) is 0.01% (1/10,000). 100 bps = 1%. We use bps because rate moves are tiny and bps avoid ambiguity — saying 'spread rose 50 bps' clearly means +0.5 percentage points, not +50%. It is the standard language for rate/spread quotes.
Why do spreads widen or tighten, and what do they signal?
Widening means investors see higher default risk or flee to safety, pushing risky-bond yields up and safe yields down (flight to quality). It is often a panic/credit-tightening warning. Tightening means stronger risk appetite and lower worry, common in recoveries. Spreads also move with an issuer's own rating changes.
Why must the maturities be similar when comparing spreads?
Yields include a term premium (longer maturities usually yield more). Subtracting a 2-year government yield from a 10-year corporate yield mixes in an 8-year term-premium gap, overstating the spread. Use a maturity-matched benchmark, or Z-spread/OAS that use the whole curve, to isolate credit risk.
How does spread relate to credit rating?
They are two sides of the same coin. Ratings (AAA, BBB, BB…) are slow, periodic judgements of default likelihood; spreads are fast, market-priced votes. Higher rating → smaller spread; lower (junk) → larger. Markets can lead ratings — spreads often widen before a downgrade.
Why compare spreads with similar maturities?
Because yield embeds a term premium (longer debt pays more for rate/inflation/liquidity risk). The spread's purpose is to isolate the credit-risk compensation, which requires a same- or near-maturity risk-free base. Mismatched maturities contaminate the spread with term-premium differences, making it meaningless. Use maturity-matched government bonds or curve-based Z-spread/OAS.
相關工具
參考資料
內容審核：香港計算器財經團隊。計算邏輯與公式參考香港金融管理局（HKMA）及投資者及理財教育委員會（IFEC）之個人理財計算指引，結果僅供參考，實際以相關機構公佈為準。