Sentences with word «convexity»

Me: nothing illegal, yes, but because of new cash flow testing rules which our client is subject to, the negative convexity of RMBS will force our client to put up more risk - based capital than they would otherwise have to.

As the artist describes the work, it is a weighty, raw bronze sculpture, mainly of legs made of extreme convexities of muscle, set on a rudimentary bronze wheeled platform, taking (or showing) one monumental stride.

Achieve yield enhancement and positive convexity in your mortgage portfolio through the use of the Fannie Mae Delegated Underwriting and Servicing (DUS) program.

(And, for bond geeks — high positive convexity.)

For speculators looking to make higher returns or have a clearer opinion on the future direction of interest rates, bonds with higher convexity and / or duration may be appropriate.

Since prepayments typically rise as interest rates fall and vice versa, the basic (pass - through) MBS typically has negative bond convexity (second derivative of price over yield), meaning that the price has more downside than upside as interest rates vary.

There was no contagion there; many in the bond market absorbed losses from rising rates, but only a few notable players that took on the negative convexity risks in a big way got killed.

A bond's convexity measures the curvature of its price / yield relationship.

If two bonds offer the same duration and yield but one exhibits greater convexity, changes in interest rates will affect each bond in a different manner.

I sent out to some people last Wednesday why I thought the CDS market would outperform ETF's, and that is still my view, and has a lot to do with the bonds that make up the high yield index and their rate risk exposure for some, and horrible convexity for others.

On convexity, I would be market weight in conforming mortgages.

The cerebral convexity is the most frequent location for adults with intracranial meningiomas.

For those looking to achieve stable cash flow from bonds over the long - run, bonds with lower convexity and duration may be the better option.

The degree of convexity shows how much a bond's yield changes in response to a change in price.

Isn't convexity a nice feature of VIX futures?

We're positioned in U.S. credit, as it offers more spread - per - unit - of - leverage than sovereign DM alternatives, and with volatility so low, upside equity convexity remains very attractively priced in our view.

When used together, duration and convexity offer a better approximation of the percentage of price change resulting from a particular change in a bond's yield than using duration alone.

Finally, we still see a place for equity in portfolios today, albeit in smaller allocations and mostly in expressions that take advantage of inexpensive right - tail convexity.

If they had done this, there not would have been a residential mortgage convexity crisis in 1994, which ended up sinking Mexico as well.

Add duration, drop convexity.

It's scary when increased convexity is taking place to an existing barbell and value appears to deteriorate on the face amount.

Negative convexity creates extension risk when interest rates rise, and contraction risk when interest rates fall.

Portfolios of bonds may have the same duration but quite different convexities.

Used in conjunction with modified duration, convexity improves the estimate of price sensitivity to large changes in interest rates.

In reality, the relationship is non-linear and best illustrated by convexity.

you can use options but the frictions are higher and you may not achieve what you expected depending on the options characteristics (time value, convexity etc..)

This is called the futures «convexity correction.»

So, except for tiny effects of convexity bias (due to earning or paying interest on margin), futures and forwards with equal delivery prices result in the same total loss or gain, but holders of futures experience that loss / gain in daily increments which track the forward's daily price changes, while the forward's spot price converges to the settlement price.

Take convexity risk.

This change will flow through the duration and convexity formulas and the resulting change in the market value of each bond, and the bond portfolio as a whole, will be displayed both in dollar amounts and percentages.

Convexity propositions should be embraced — concave ones, avoided like the plague....

Every now and then there were little panics, like the credit convexity panic in May 2005, from a funky long - short CDO bet.

If a less specific group of bonds can be delivered to create a new unit, i.e., the bonds must satisfy certain constraints on issuer percentages, issue sizes, duration [interest rate sensitivity], convexity [sensitivity to interest rate sensitivity], sector percentages, option - adjusted spread / yield, etc., then arbitrage can proceed more rapidly, and premiums over NAV should be smaller.

Wait: negative convexity simply means your bond portfolio hates interest rate volatility — it does better when things are calm.

Utilities tend to have similar convexity profiles in that utility stocks trade higher when interest rates go lower, and lower when interest rates go higher.

The Negative Convexity Project Me: We can't buy the majority of Residential Mortgage Backed Securities [RMBS] anymore.

Viceroy partnered with Chicago developer Convexity Properties, known for their work in re-imagining the region's historic buildings, to keep the Cedar Hotel's original brick and terra cotta façade for guests to experience the city's storied architectural past.

He was an enthusiast for Claes Oldenburg's oversized quotidian objects, Lee Bontecou's shaped canvas convexities, Lucas Samaras's bedecked and bejeweled boxes, and Dan Flavin's fluorescent geometries.

Bonds Bond Convexity: What Is It, and Why Should You Care?

A bond's duration is not a linear risk measure, meaning that as prices and rates change, the duration itself changes, and convexity measures this relationship.

The graph of the price - yield relationship for plain vanilla bonds shows positive convexity.

So we like owning assets with the highest convexity to inflation, with an additional layer of expressions that will benefit from benign moves higher in real rates.

They are taking on credit risk, duration risk, convexity risk, etc..

• Macaulay and modified duration and convexity of each bond, and the whole bond portfolio combined (both weighted using market values, and unweighted).

This effect of shifting cash flows working against the owner of the mortgages or RMBS is called negative convexity.

As the underlying models are correctly specified — that is, convexity in abatement costs means that stringent targets have higher and accelerating costs — the IPCC results can only be explained by selection bias; only models with low emission reduction costs reported results for the most stringent targets.

In order to understand how markets will perform I try to work out the structure of the investor base, understand market «technicals», i.e. potential changes in supply and demand, along with their triggers, and look for convexities or implied options.