The price of credit risk as traded in the cash market using asset swaps. In other words, it is the additional amount paid or received when buying or selling an underlying bond (of an asset swap) than to do that in a direct way (in the market).

It is used as an input in calculating the CDS bond basis, i.e., difference between the synthetic credit risk premium (the price of credit risk quoted in a credit default swap) and the cash market premium.