Key Rate Duration
Pinpointing where on the curve your interest-rate risk actually lives.
Duration tells you the sensitivity to a parallel shift in rates. But curves rarely move in parallel — the front end and long end often move differently. Key rate duration (KRD) breaks total duration into sensitivities to specific points on the curve (e.g. 2Y, 5Y, 10Y, 30Y).
Why one number isn't enough
Two portfolios can have the same overall duration but very different KRD profiles — one concentrated at the 2Y, another at the 30Y. They'll behave completely differently when the curve steepens or flattens rather than shifts in parallel.
Why it matters for a balance sheet
- KRD shows your exposure to curve reshaping, not just level. A bank funded short and lent long has a long-end KRD it may want to manage.
- Hedges can be targeted: if your risk sits at the 5Y, hedge the 5Y rather than bluntly shortening total duration.
How PhxIQ relates
The full curve and the 2s10s / 10s3m spreads on the dashboard show exactly the kind of non-parallel moves KRD is designed to capture — the rate-shock tool applies parallel shifts; KRD is the lens for everything else.