Key Rate Duration & Key Rate Shifts Explained

Ryan O'Connell, CFA, FRM explains Key Rate Duration & Key Rate Shifts in Microsoft Excel.

Chapters:
0:00 - Annual Coupon Paying Bond
0:48 - The Spot Yield Curve
1:20 - Calculating Macaulay Duration
2:10 - Yield Curve Shifts
2:36 - Key Rate Duration Explained

🎓 Tutor With Me: 1-On-1 Video Call Sessions Available

📚 CFA Exam Prep Discount - AnalystPrep:

📘 FRM Exam Prep Discount - AnalystPrep:

💾 Download Free Excel File:

*Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.

[RyanOConnellCFA]

💾 Download Free Excel File:

🎓 Tutor With Me: 1-On-1 Video Call Sessions Available
► Join me for personalized finance tutoring tailored to your goals:

[tinayang]

Thank you Ryan for explaining this. Really helpful!

[hernanalzate]

Hi Ryan, thx for sharing your models with us; just a minor comment regarding KRDs; it seem you have a 'sumproduct' calculation in cell C10, rather than the KRD calculation presented in the formula on the left, where KRD = [P_ + P+ / 2*0.01*P0]

[suibo]

THANK YOU, RYAN!!! I've had difficulties visualizing this topic from online resources but your videos have really helped me

[kunal_nandurkar]

You're an amazing teacher! I couldn't thank you enough. Your videos on Fixed Income subject area helped me a lot.

[machoasp]

Hello..I have a detailed query..can I mail you the same

[msppg]

Wonderful video. Im so thankful that I can watch it for free. Thank you Ryan

[JamesReynolds-zb]

This was a very straightforward and helpful explanation. Thank you Ryan!

[marlowisws]

Hi Ryan, This was very clearly explained, but I'm still a bit confused. I thought Key Rate Duration was the duration at a key rate, that is, the 3 year rate or the 2 year rate. So the 2 year Key Rate Duration is XYZ, showing investors what a change to the 2 year spot rate would be to the bond. But you have explained it as an entire curve-concept.
Or am I misunderstanding? Thanks!

[alanoliveiramoreno]

Ryan, I really enjoy our content really bring to life the topics cover in CFA. in this topic I only make one adjustment. When you are calculating the duration, you are calculating the Mac Duration. One additional adjustment is calculate the YMT for the original curve, then calculate the Duration= Mac Dur/ (1+YTM). And the hole point about calculating Duration is to estimate the impact on Price of a bond without the actual calculation. So for the test consistency for your calculation, the real calculation (column J8) need to be very closer to the x% expected shift yield curve multiply by Duration multiply by the original present value of column f. Calculating the impact on present value of a bond without the adjustment for YTM can be very different from the real calculation.

[machoasp]

Key rate duration of 7.67..how can you intepret it

[luisramos]

Amazing Video. Thank you very much Ryan.