Spread duration
Sensitivity of price to a change in the credit spread while the base curve stays put.
How to read the number
It separates two risks that ordinary duration adds together: the movement of rates and the repricing of credit quality.
When the metric lies
A floater has interest rate duration close to zero and spread duration that is anything but. Portfolios of floaters are treated as protected from rates while being fully exposed to credit.
Also known as: credit spread sensitivity