Negative duration

Negative duration
A situation in which the price of the MBS moves in the same direction as interest rates. The New York Times Financial Glossary

Financial and business terms. 2012.

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  • negative duration — (1) The name for a particular relationship between changes in the price of a debt security and changes in prevailing interest rates. When a security has negative duration, its price decreases in response to a decrease in prevailing market rates.… …   Financial and business terms

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  • negative — A denial; a proposition by which something is denied; a statement in the form of denial. Two negatives do not make a good issue. As to negative covenant negative easement negative servitude negative statute negative testimony, see those titles @… …   Black's law dictionary

  • negative — A denial; a proposition by which something is denied; a statement in the form of denial. Two negatives do not make a good issue. As to negative covenant negative easement negative servitude negative statute negative testimony, see those titles @… …   Black's law dictionary

  • Negative Convexity — When the shape of a bond s yield curve is concave. A bond’s convexity is the rate of change of its duration, and is measured as the second derivative of price with respect to yield. Most mortgage bonds are negatively convex. Callable bonds… …   Investment dictionary

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  • modified duration — Macaulay duration adjusted for compounding. The figure for Macaulay duration is divided by the sum of one plus the rate divided by the number of compounding periods per year. A more accurate measure of the weighted average time remaining until… …   Financial and business terms

  • Bond duration — Financial markets Public market Exchange Securities Bond market Fixed income Corporate bond Government bond Municipal bond …   Wikipedia

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