Key rate duration
A breakdown of portfolio sensitivity across sections of the curve: how much is lost when the short section moves, and how much when the far one does.
How to read the number
It shows what overall duration hides: a portfolio can be neutral to a parallel shift and still depend heavily on a change in slope.
When the metric lies
The calculation needs a full set of prices along the curve. For rarely traded issues those prices are modelled, and the breakdown is modelled to the same degree.
Also known as: partial duration, bucket duration