The yield spread between non-Treasury securities and Treasury securities, all having identical features in exception of credit rating. Both are identical in terms of maturity and non-optionality (they free from embedded options). In other words, the yield spread is attributed to differences only in credit rating of two respective issues. Empirical evidence suggests that the lower the credit rating, the higher the credit spread, and vice versa.

Furthermore, for a given sector of corporate debt market and a given credit rating, the credit spread has a positive correlation with maturity: it increases with longer maturities and decreases with shorter ones. Some studies argue the business cycle does have an impact on credit spreads: the credit spreads between corporate issues and Treasury issues widen in a contracting economy, and narrow during economic expansion.

The credit spread is also known as a quality spread.