What Is Gilt Duration?
Редакція Financial World News · Освітнє пояснення · Як ми збираємо дохідності
Duration measures how sensitive a gilt’s price is to yield changes. Longer gilts move more when the BoE shifts rates.
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What Is Gilt Duration — the mechanics
Macaulay duration is a weighted average time to cash flows. Modified duration approximates percentage price change when yield moves by 1%. Ultra-long gilts can have duration above 20 years.
A 3-year gilt and a 30-year gilt can have the same coupon and still have wildly different price risk. Duration is that difference, in years of weighted cash-flow time.
Modified duration of 12 means a 1% parallel yield rise is about a 12% price fall before convexity. Ultra-long 2060s gilts can have durations in the 20s. That is why LDI desks care.
Use the duration calculator with the gilt’s dirty price and remaining years. Then compare two gilts on duration, not on coupon.
Official sources (UK Gilts)
Primary statistics and prospectuses for UK Gilts are published by the issuer, not by this newsroom. The labelled links at the end of this page go to those official sites (DMO, TreasuryDirect, Finanzagentur, MEF, AFT, SNB or ECB as relevant).
Our live board is a teaching overlay: dated prints, named sources, estimated ISIN lines. It is not a replacement for the issuer’s calendar.
Ключові висновки
- A 3-year gilt and a 30-year gilt can have the same coupon and still have wildly different price risk.
- Prices and yields change. When this site quotes them, it dates them on the live board.
- Credit of a G7 government in its own currency is not the same as a stable screen price, and not the same as a bank deposit.
Поширені запитання
- Does a 30-year gilt have 30 years of duration?
- Usually less, because coupons arrive before maturity. Very low-coupon longs can have duration close to maturity.