The recent drop in U.S. yields has raised speculation that a wave of buying of Treasury securities and derivative products ...

The managers’ discipline to buy bonds with better convexity profiles than plain vanilla passthroughs, or those that have more stable durations given changes in underlying yields, results in ...

These prepayments shorten the average life of the mortgage bond, reducing its yield, with the price increasing less than expected when rates fall. This is called “negative convexity” and ...