QUICK DEFINITION
Spread Duration is a measure of how sensitive a bond's price is to a change in its credit or option-adjusted spread.
WHY IT MATTERS
Why Spread Duration matters in bond markets
It isolates spread risk from pure interest-rate duration and is useful in corporate and securitized portfolios.
MARKET CONTEXT
How to think about it
Bond investors use spread duration as part of a wider framework that links prices, yields, cash flows, liquidity and risk. The concept should therefore be read together with its related terms rather than as an isolated definition.
Is Spread Duration important for fixed-income investors?
← Back to the Bond Market Glossary Yes. It isolates spread risk from pure interest-rate duration and is useful in corporate and securitized portfolios.