Duration is the primary measure of interest rate sensitivity — it is the percentage change in price for a 1% change in interest rates. However, practitioners also look at convexity, which is the ...

NEW YORK (Reuters) -The recent drop in U.S. yields has raised speculation that a wave of buying of Treasury securities and derivative products called interest rate swaps by mortgage portfolio managers ...

Bonds are popular fixed income investment instruments and are often regarded as bearing relatively low-risk burdens. While bonds are less volatile than other investments, they are not risk-free, ...

It has been a long time since we have had to worry about and think about the phenomenon of mortgage convexity and the effect that it can have on the bond market. But with 10-year interest rates up ...

Yesterday was brutal for rate-sheet-influential MBS. A good friend called me and apologized for doing so, saying "I bet you're getting more calls than you can handle on a day where the market moves ...

In a few recent columns, we’ve talked about duration and convexity in the context of changing market prices. They are some of the most misunderstood and misused terms in finance, and clarifying them ...

Analysts trying to make sense of the steep slide in bond yields around the world in August are pointing fingers at many things, including slowing global growth and a prolonged trade war. Some are also ...

Analysts and traders are blaming an increasingly familiar culprit for last week’s plunge in bond yields -- and they’re asking if it’s just the beginning. At issue is the relationship between bond ...