Building Spread Duration Curves from Bond-Level Data

Summary

The document asks whether a Bloomberg feature can plot spread duration by tenor for an issuer or sector, including measures such as DTS and option-adjusted spread duration. The eventual response says no suitable term-structure plot was available in the described workflow. Instead, the author selected bonds from a sector or holdings list, retrieved spread duration through the data API, and plotted the observations independently.

The experience also serves as a caution about the analytical value of the chart. The author found that viewing spread duration alone did not add much to the broader analysis, because it was considered alongside other factors. The account offers a practical data-gathering workaround, but it is a single user’s later assessment; it does not give a plotting procedure, define the measures, or establish that the chart is unhelpful in every credit portfolio or research context.

Key ideas

• The described Bloomberg workflow did not provide a spread duration term-structure chart.
• A user can assemble bond observations from a sector or holdings list and retrieve spread duration through an API.
• Plotting bond-level observations can provide a custom curve by tenor.
• The author found spread duration less informative when isolated from other credit factors.
• The reported conclusion reflects one user’s experience rather than a general test.

Tags

# Spread duration curve by issuer or by sector


# Spread duration curve by issuer or by sector












I was surprised to see that spread duration was not offered as a curve in Bloomberg. As a result, I'm trying to find a curve (in Bloomberg) or build a curve (maybe using the Excel API) which graphically illustrates DTS and OAS Spread Duration by tenor for the same issuer (or by sector) for either all or some a subset of issues.

Is there anything I'm missing or perhaps a canned report that someone knows of which can do this? Is this really as simple as using the Excel API to retrieve the DTS & OAS Spread Duration fields?

thanks

## Answer by mogwai (score 1)

https://quant.stackexchange.com/a/74448

Answering my own question many years later. There is no way to plot the term structure of spread duration in BBG. The best I was able to accomplish is, for a specific sector, use a selection of bonds from the FIW page or from a list of my holdings and retreive spread duration using the API and plot from there.

Not ideal but subsequently also not very useful, as a term structure of spread duration didn't really add any value to our analysis. Spread duration comes part and parcel with other factors that we look at and isolating it on it's own wasn't useful in a broader sense.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.