spread duration

Definition

The sensitivity of the price of a bond to a 100 basis point change to its option-adjusted spread. As the rate of the Treasury security in the option-adjusted spread increases, the rate of the option-adjusted spread also increases.

Use spread duration in a sentence

I wondered how the spread duration would work and I had my consultant come in and work with me on it.

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You need to try and make sure that you follow the spread duration and know how things are going at that time.

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The spread duration indicated a high sensitivity of the security, so we wanted to consider less risky investments for our portfolio.

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