Spread duration
Fixed IncomeDefinition
Sensitivity of a bond's price to changes in its credit spread (rather than the underlying Treasury yield). Important for credit-risk hedging.
For an investment-grade corporate, total duration ~= rate duration ~= spread duration. For high-yield, spread duration matters more (rate sensitivity is dominated by credit moves).
For an investment-grade corporate, total duration ~= rate duration ~= spread duration. For high-yield, spread duration matters more (rate sensitivity is dominated by credit moves).
Related tool
Open the fixedincome tool on Arsenal.finance →