Below 99, convexity begins to increase, turning positive around 96, and eventually flattening at a level of about 3. If the price is sufficiently far from par, the convexity behaves as would be ...

A bond can exhibit either positive or negative convexity. If two bonds have the same duration and yield to with differing convexities, they will be affected differently by interest rates.

Positive and negative convexity. Generally speaking, there are two forms of convexity: positive and negative. Positive convexity is when the duration of a bond increases as its price decreases; ...

Negative convexity occurs when the shape of a bond's yield curve is concave. Most mortgage bonds are negatively convex, and callable bonds usually exhibit negative convexity at lower yields.

As a result, convexity in the high yield market is better than it has been for virtually all of the post-GFC period. Instead of 5-10 points of upside price potential, high yield bonds now may ...

Positive and negative convexity. Generally speaking, there are two forms of convexity: positive and negative. Positive convexity is when the duration of a bond increases as its price decreases; ...

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 ...

So, what is this "negative convexity" of which Kelleher speaks? ... With most bonds, there's something called positive convexity, which is great for investors.

To take on convexity, we need to first grasp what’s known as duration. As interest rates drop, bond prices will rise and vice versa. The extent of the move is typically larger for bonds with a ...

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 ...