Key Rate Durations (KRD) are essentially some fixed income instrument's price sensitivity to a non-parallel shift in interest rates (i.e., a shift at the "Key" Rate). For example, a 10-year bond's sensitivity to a 1% change in only the 5-year interest rate would be that bond's 5yr KRD.
Let me refer to any fixed-income instruments that are not straight bonds as exotics (e.g., MBSs, CMOs, ABSs, etc). Is it possible to get KRDs greater than the respective key rate tenor for exotic fixed-income instruments without leverage? I tend to see this behavior most often in MBSs. For example, I'm looking at the KRDs for some MBS (comprised of ARMs if I'm not mistaken) with CUSIP: 36225DA20. The KRDs from Bloomberg as of now are:
Key Rate KRD 6mo 0.92 1yr -0.72 2yr -0.81 3yr 0.49 5yr 0.56 7yr 0.63 10yr 0.43 20yr -0.08 30yr 0
A couple things stick out. The 6mo KRD is 0.92, which I thought would be too high. However, there are also several negative KRDs, (which I don't find as unusual).
Could anyone please shed some light on these figures and how they tie out?