Modified duration measures the "size" of the interest rate sensitivity. Sometimes we can be misled into thinking that it measures "which part" of the yield curve the instrument is sensitive to. After all, the modified duration (% change in price) is almost the same number as the Macaulay duration (a kind of weighted average years to maturity). For example, the annuity above has Macaulay duration of 4.8 years and we might think that it is sensitive to the 5-year yield. But it has a cash flows out to 10 years and thus will be sensitive to 10-year yields. If we want to measure sensitivity to parts of the yield curve we need to consider key rate durations.