I-Spread
Corporate Credit Analysis glossary · Corporate Credit Analysis
Definition
The yield of a corporate bond over the interpolated swap-curve yield of the same maturity; a credit-spread measure expressed relative to LIBOR/SOFR-based swaps rather than government benchmarks.
I-Spread in plain English
When you buy a company's bond, part of the yield just compensates you for lending money at all, and the extra part pays you for the risk that this particular company might not repay. The I-spread isolates that extra risk piece by measuring how much more the bond yields than a safe market baseline — here the "swap curve," a standard reference rate banks lend to each other at — for the same maturity. Picture two lemonade stands: one charges what everyone charges, the riskier-looking one charges extra, and the I-spread is simply that price gap. A bigger I-spread means investors are demanding more reward because they see more danger.
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