The credit spreads are the interpretation of the bond returns received by investors as measured by the difference between the corporate bonds yield rate and government bonds. The purpose of this study is to analyze the impact of changes in macroeconomic variables. Such as volatility of stock returns, default probability and inflation on banking sub-sector credit spread bonds. This study analyzes the change of credit spreads bonds based on the category of the grades, the investment grade and non-investment grade. The data were analyzed using panel data which consist of several companies with investment grade and non-investment grade categories during 2014 – 2016. The result showed that the relationship of default probability and inflation variables had significant effect in the credit spreads of investment grade bonds, while the variable volatility of stock return had no significant effect. While significant effect was found inthe non-investment grade bonds, the variable volatility of stock returns, default probability and inflation.