KEY RATE DURATION
It measures the security’s security when holding all other maturities constantly or how the portfolio’s value changes by 1% for a specified maturity. To compute the key rate duration:
Key Rate Duration = (P- - P+)/(2 * 0.01 * P0)
Where P- = Security price after a 1% decrease in yield P+ = Security price after a 1% increase in yield P0 = Original security price
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Pass-Through Rate
Pass-through rate is the net
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