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Quality Spread Differential
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The difference in quality spreads at two different maturities. Typically, the quality spread and, hence, the quality spread differential will widen as the term of financing moves farther out on the yield curve. Lenders are more comfortable with their ability to evaluate and accept credit risks in the very short term than over a longer period. The quality spread differential is a consideration in the pricing of interest rate swaps.
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Glossary *
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