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Key Rate Duration

0.04 sec.

Key Rate Duration

Holding all other maturities constant, this measures the sensitivity of a security or value of a portfolio to a 1% change in yield for a given maturity.

The calculation is as follows:

Notes:

There are 11 maturities along the Treasury spot rate curve, and a key rate duration is calculated for each. The sum of the key rate durations along a portfolio yield curve is equal to the effective duration of the portfolio.

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duration
Macaulay Duration

Modified Duration

CMS BondEdge, an operating division of Interactive Data Corporation (NYSE: IDC) and a leading provider of fixed income portfolio analytics, today announces an agreement to provide RiskMetrics Group with key rate duration calculations for mortgage-backed and asset-backed securities with prepayment risk.

CMS BondEdge Signs Deal with RiskMetrics Group to Supply ... by Business Wire

In addition to BondEdge PRO (Portfolio Report Organizer), this release features updated mortgage-backed securities (MBS) prepayment models, daily credit updates, attribution analytics for portfolio versus portfolio comparisons, key rate duration analysis at the sector level, and substantially broadened securities coverage throughout the system, particularly in the derivatives area.

CMS BondEdge Announces Latest BondEdge Release: Includes Automated ... by Business Wire

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