CREDIT
Spread Duration
Approximates price sensitivity to changes in credit spread.
Formula
Spread duration ≈ -ΔP/P ÷ Δs
Variables: P price; Δs credit-spread change
What it means
Approximates price sensitivity to changes in credit spread.
Example
A spread duration of 4 implies about a 4% price decline for a 100 bp spread widening, before convexity effects.
How to interpret it
This concept should be read together with its market convention, measurement horizon and underlying instrument. BondStats presents it as an analytical reference rather than investment advice; instrument documentation and primary market rules remain authoritative.
Related Formulas
BondStats reference content is independently written. Mathematical relationships, abbreviations and market conventions are presented for educational and analytical use.