A single number — one holding's share of a portfolio's market value — says how much of the portfolio's income, price sensitivity and eventual redemption depends on one gilt, and the portfolio view puts that share against every other holding.
The allocation column is the share
The portfolio view gives every holding an allocation: the share of the portfolio's market value that the holding makes up, shown as a percentage with a bar beside it. A holding at sixty per cent is a holding in which six pounds of every ten in the portfolio sit. The figure is simple, and it is the first thing to read when asking how concentrated a portfolio is in one gilt, because everything the portfolio earns from that gilt — and everything it stands to lose on that gilt's price — scales with the share.
The allocation is computed from the valued market value of each holding against the portfolio's total, marked at the day's report price. A holding the report cannot price shows a dash for its priced columns and is left out of the totals, so it never silently counts as a share it does not have. The figure on the page is therefore only as current as the report it is marked at.
Share of value, share of cash flow
The allocation is measured in market value, not in cash flow, and the two are close but not identical. A gilt's coupon income depends on the nominal held and its coupon rate, and a gilt's redemption is the nominal coming back; if one holding carries most of the value, it also carries most of the coupons and most of the redemption. The shares would only diverge sharply if the gilts had very different coupons or very different prices, and even then a large value share is a fair warning that a large share of the portfolio's future cash depends on one name.
The table below is illustrative — four holdings, round numbers, not from any portfolio or report — and shows how one gilt can dominate on a value basis while the others are small.
| Holding | Market value | Allocation |
| A | £60,000 | 60% |
| B | £20,000 | 20% |
| C | £15,000 | 15% |
| D | £5,000 | 5% |
| Total | £100,000 | 100% |
The cash-flow analysis is where the share of income and redemption can be checked directly rather than inferred. Grouped by year or by gilt, it totals the coupons and redemptions each holding contributes, so the holding that carries the largest value ordinarily shows up as the largest source of cash — and where it does not, the difference is worth knowing.
What the concentrated holding is exposed to
Because the share is large, the gilt's own characteristics matter for the whole portfolio. Its gross yield is the return the holding offers if it is held to maturity, with coupons reinvested at the same rate, and it is shown on the conventional gilts list and on the gilt's own page. Its modified duration is how far its price moves for a one per cent move in its yield. A six-tenths holding means six-tenths of the portfolio's interest-rate sensitivity and six-tenths of its coupon income ride on those two figures for that one gilt. The DV01 of the holding, the money value of a basis point of its yield, is the position-level form of that sensitivity, and it is the figure to read beside the share when the concentration sits in a long gilt rather than a short one.
- The gross yield of the concentrated holding sets the return that most of the portfolio is exposed to.
- Its modified duration sets how much of the portfolio's value responds to a move in its yield.
- Its redemption lands in one year, so the return of most of the portfolio's principal is a single event.
- Its credit is the government's, the same as any gilt, so concentration here is about timing and price, not about a default risk that varies between gilts.
Concentration is a description, not a verdict
A high share is not automatically a mistake, and a low one is not automatically careful. A portfolio built to fund a single dated expenditure might reasonably hold one gilt that matures on that date, and the allocation would read high by design. What the figure gives is the means to see the shape: whether the portfolio's return, price sensitivity and principal all hinge on one gilt, or are shared across several. Reading the allocation down the column tells you which.
Ten holdings that each make up a tenth of a portfolio spread the dependence evenly; one that makes up six-tenths concentrates it. The count of holdings is not the measure — a portfolio can hold ten gilts and still have most of its value in one. The allocation column is what turns the count into the share.
Background, not advice
This explains what a holding's allocation measures and why a large share concentrates a portfolio's income, price sensitivity and redemption in one gilt; it is general background, not investment, tax or legal advice for any reader's circumstances. A small allocation is not protection against a fall in price, and a large one is not a fault. The figures above are illustrative, and the allocation for a real portfolio is computed from the trades booked in it, marked at the day's report.