// definition
Duration
Sensitivity to interest rates
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Short definition
A measure of how much a bond's price moves when rates change. The higher the duration, the more market value a rise in yields destroys. It turns stress on long rates into balance-sheet risk for holders of long debt.
risk atlas
Knowledge map
Intuition
Duration converts a rate move into a price gain or loss. It says how much rate risk sleeps inside a portfolio.
Formula
approximate price change ≈ -duration × change in yieldWhy it matters now
In a high-debt regime, duration concentrates risk: banks, insurers, pension funds and repo strategies can all sell at once if long rates break their scenario.
Related analyses
- The return of the term premiumDecomposing the long rate and the US debt regime.
- The Treasury basis tradeLeverage, repo and bond-market fragility.
- Repo, the liquidity factoryFunding chains that transmit a rate shock.
Related guides
- Reading the Treasuries marketCurve, auctions, holders and the term premium.
- Reading TIC dataForeign holdings and the custody bias.
- Net liquidity: TGA, RRPReserve channels and Treasury cash.
- Reading the CBO outlookFiscal trajectory and the interest bill.
Related datasets
- risk.jsonPublic snapshot of the risk signals.
- debt-risk.jsonDebt Risk Radar snapshot with provenance.
- risk-diff.json1, 7 and 30-day diff of signals, sources and models.
- signals/history.jsonPoint-in-time history of the signals.
Signals using it
- MethodologyDebt, interest burden, current stress and structural vulnerability.
- Risk DiffRecent change in risk and source freshness.
- Black Box RecorderHashed frames to replay a point-in-time state.
Primary sources
- Federal Reserve & FREDRates, the Fed balance sheet, FRED series and the New York Fed ACM model.
- U.S. Treasury Fiscal DataDebt, Treasury cash, DTS and auctions.
- U.S. Treasury TICCross-border holdings and flows of Treasuries.
- Congress.gov, GovInfo & CBOBudget projections, texts and estimates.
- Bank for International SettlementsGlobal debt, banks and market fragilities.