Credit spread risk
How much a bond fund reports its value would change if the extra yield its non-Treasury bonds pay over Treasuries widened by one percentage point — investment grade and high yield separately.
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How it is computed here
Reported in Part B of the fund's Form N-PORT: the change in its value for a 1-basis-point widening of credit spreads, applied to the option-adjusted spread, at five points of the curve, separately for investment-grade and non-investment-grade (high-yield) holdings. The points are added, multiplied by 100 to state it per percentage point, and divided by net assets. Treasuries carry no credit spread, so a fund made mostly of them shows a small figure here even when its rate risk is large. Like the rate figure, it is shown as the change for a widening, whichever direction the fund filed it in; figures that do not agree with the rest of the filing — the same total repeated at every point of the curve, say — are left out.
Worked example
- BND's filing of 30 Jun 2026: if the spreads over Treasuries widened by one percentage point, its investment-grade bonds would change its value by -2.77% and its high-yield bonds by -0.02%.
- -2.77% + -0.02% = -2.79%, against -5.54% for a one-point rise in all yields.
- 48% of the fund is US Treasury debt; it carries no credit spread, so it adds nothing here.
A real bond fund, opened with its public Form N-PORT on SEC EDGAR — the demo holds none. Signed in with bond funds of your own, this is worked on yours.
Where it misleads
It is the one-basis-point figure scaled up a hundred times, and spreads do not move a basis point at a time when it matters: in the autumn of 2008 and in March 2020 they widened by several points within weeks, high-yield ones far more than investment grade. Moves that size come with bonds that cannot be sold near their quoted price, which no linear figure captures. It prices a widening, not a default: a bond that stops paying loses more than its spread change says. And in both of those episodes Treasury yields fell at the same time, so the rate figure and this one pulled in opposite directions — read them side by side, not as one number.