This is negative convexity, and what is significant here is how holders of MBS respond. In order to maintain a similar market exposure, the owner of the MBS needs to buy more bonds, swaps, or MBS ...

Such convexity is powerful as it helps us generalize from a few examples, learn new things quickly, and even helps us communicate and agree on what things mean.

This is negative convexity, and what is significant here is how holders of MBS respond. In order to maintain a similar market exposure, the owner of the MBS needs to buy more bonds, swaps, or MBS ...

It turns out that all tax-exempt munis exhibit negative convexity near par, even if they are not callable. The driver of this phenomenon is the so-called de minimis tax effect.

How to Calculate Convexity of a Bond. For fixed-income investments, such as bonds, it is important to measure the sensitivity of the bond's price to movements in the interest rate. This helps ...

Convexity is a second-order measure of a bond’s expected price performance.  The chart below shows the durations of two different bonds.  One is a fixed-cash-flow bond (such as a ...

When CVOL convexity increases, it is worth considering what this may indicate about market sentiment. Whether in response to a surge in U.S. Treasury Yield Futures, a sudden uptick in British ...

How to Calculate Convexity in Excel To calculate convexity in Excel, begin by designating a different pair of cells for each of the variables identified in the formula. The first cell acts as the ...

Learn everything you need to know about Simplify US Equity PLUS Convexity ETF (SPYC) and how it ranks compared to other funds. Research performance, expense ratio, holdings, and volatility to see ...

Convexity smashed the competition with three races to spare. Despite their regularity at the top of the podium in the last year, there were some doubts going into this most recent competition.

An explainer on negative convexity (what is it, why do we care, and why some folks think hedging against it played a role in the August bond rally). Photo Illustration by Emil Lendof/The Wall ...