Comprehensive and Detailed In-Depth Explanation:

Spread risk refers to the risk of a change in an instrument’s price due to fluctuations in its credit spread (the yield premium over a risk-free rate), without a change in its credit rating. This is a market risk factor, often affecting bonds or CDS, driven by market perceptions rather than rating agency actions. Option B relates to collateral risk, Option C to credit rating risk, and Option D to modeling discrepancies—none define spread risk. GARP’s FRR and Basel III market risk rules support this definition.