If an option-free bond is trading at par, the bond’s maturity- matched rate (or the spot rate applicable to its maturity) is the only rate that affects the bond’s value. Its maturity key rate duration is the same as its effective duration, and all other key rate durations are zero.
I don’t understand why this is so. If we have a 5 yr bond trading at par, why is the only rate we care about the 5 year rate? If a shorter term interest rate fell, wouldn’t’ that affect the value of our 5 year bond?