Reported rate risk
How much a bond fund reports its own value would change if all yields rose by one percentage point at once — its own estimate, read like a duration, not one measured from its price.
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How it is computed here
Each quarter, a US-registered fund with at least a quarter of its assets in debt reports in Part B of its Form N-PORT the change in its value for a 100-basis-point move in rates at five points of the curve — three months, one, five, ten and thirty years — in each currency that is at least 1% of its assets: its DV100 by tenor. The five points are added and divided by the fund's net assets. Moving every point at once is a parallel shift of the whole curve, so the sum is the fund's own estimate for that shift. The same part also gives the change for a 1-basis-point move; times 100, that straight-line version leaves out the curve in bond prices, and divided by the fund's share in bonds it reads like their duration, so −6% in a fund entirely in bonds is about 6 years. The form does not say in which direction to measure and fund families differ, so here it is shown as the change for a rise; where interest-rate derivatives or bonds sold short leave the direction impossible to read from the filing, the figure is left out and the page says so. A fund of funds, or a portfolio, adds each bond fund's figure times its weight.
Worked example
- BND's filing of 30 Jun 2026 reports, point by point of the curve, what a rise of one percentage point in yields would do to its value: 3 months -0.01%, 1 year -0.66%, 5 years -1.61%, 10 years -2.12%, 30 years -1.14%.
- Added up: -5.54% of the fund's net assets — its own estimate for every yield rising one point at once.
- The same filing also gives the change for a 0.01-point move; times 100 it is -5.69% — the same move drawn as a straight line, without the curve in bond prices, which is the figure that reads as a duration.
- 98.8% of the fund is bonds, so -5.69% ÷ 98.8% reads like a duration of about 5.8 years for the bonds themselves.
- In a portfolio with 20% in BND, that is 20% × -5.54% = -1.11% of the whole portfolio.
A real bond fund, opened with its public Form N-PORT on SEC EDGAR — the demo holds none. Signed in with bond funds of your own, this is worked on yours.
Where it misleads
It answers one hypothetical: every yield moving by the same amount at the same moment. Curves rarely do that — short and long yields often move by different amounts, sometimes in opposite directions — which is what the split by tenor is for. Scaled up to a bigger move it is a straight line: for a move of several points a plain bond loses less than that and gains more, while mortgage-backed bonds do the opposite, because homeowners refinance when rates fall. A figure filed with the opposite sign and turned round here may carry that curve on the wrong side, and then overstates the loss from a rise by a few per cent of itself. Credit spreads are left out and have their own figure; each fund family computes it with its own model; and it describes the quarter-end of its report. For a fund of inflation-protected bonds (TIPS), the yields that move are real ones, after inflation. It says what a move would do, not whether one is coming.