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Key Rate Duration
Definition
A method of measuring the sensitivities of a fixed income instrument or bond portfolio with repsect to shifts in key points (i.e. certain maturities, 2yr, 5yr, 10yr, etc.) along the yield curve.
Using the term Key Rate Duration :
A good bond portfolio manager will monitor key rate duration sensitivities in his portfolio, especially when she expects certain parts of the yield curve to undergo shifts.
Pay Special Attention To :
Monitor the hedges in place in reference to key rates. Ensure that the portfolio is positioned appropriately to benefit (or be protected) from anticipated shifts
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Related terms
Bonds , Duration
