This case study analyzed the cause of the credit crunch in the Korean corporate bond market in March 2020 and the process of credit spread change in corporate bonds after the credit crunch. We looked at the system risks of dynamic delta hedging of Equity-Linked Securities, which is considered the direct cause of the credit crunch in the Korean corporate bond market. Next, we analyzed the persistence of credit spread by credit rating in the process of credit spread change around the credit crunch in the corporate bond market. In particular, compared to before and after the 2008 financial crisis, we confirmed that the persistence of credit spread by corporate bond credit rating showed a similar pattern during the 2020 COVID-19 crisis. Through this, it was possible to understand the structural characteristics of the connection between the corporate bond market and the derivative-linked securities market, and to understand the characteristics related to the sustainability of the corporate bond credit spread. This case study provides a useful material for discussing the motivation for the use and implementation of Greek letters used by financial investment entities to manage ELS. It also understands the nature of the credit spread fluctuations around the credit crunch in the corporate bond market, and can get implications from the perspective of financial and nonfinancial institutions respectively.