Mortgage-Bond Rate Risk Surges Most Since 2010
- U.S. MBS index duration increased by about 27% last week
- Strongest move higher in percentage terms since September 2010
Photographer: Jacob Kepler/Bloomberg
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The swift move higher in Treasury rates sent mortgage duration, a measure of a bond’s sensitivity to changes in interest rates, to its biggest weekly increase in almost nine years.
The Bloomberg Barclays U.S. MBS index duration rose to 3.11 years from 2.45 years last week, a 27% increase. This was the most violent swing higher in percentage terms since the 47% increase seen during the week ending Sept. 24, 2010, according to data compiled by Bloomberg.