This is called "negative convexity" and leaves investors with lower portfolio duration than their benchmark. While 64% of outstanding mortgages are locked into interest rates below 4%, about 16% ...

Significantly greater duration and convexity of European and UK govt bond markets versus Treasuries would also favour them, in the event easing cycles do gather pace in 2025-26. We examine why US ...

Chacko, George C., Peter A. Hecht, Vincent Dessain, and Anders Sjoman. "Note on Duration and Convexity." Harvard Business School Background Note 205-025, August 2004. (Revised September 2004.) ...

This is called “negative convexity” and leaves investors with lower portfolio duration than their benchmark. While 64 per cent of outstanding mortgages are locked into interest rates below 4 ...