Morgan Stanley was short subprime. Subprime went down. Morgan Stanley lost $3.7 billion on the trade. How is that possible? Morgan Stanley's CFO, Colm Kelleher, explained it thusly: “We began with a ...

NEW YORK (Reuters) -The recent drop in U.S. yields has raised speculation that a wave of buying of Treasury securities and derivative products called interest rate swaps by mortgage portfolio managers ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. Wading into the Treasuries sell-off and negative convexity debate this Monday is Deutsche Bank. Their central ...

Why do portfolio durations and key rate durations differ? Portfolio durations differ from key rate durations, as even though the durations of two portfolios may match, both portfolios may differ in ...

It has been a long time since we have had to worry about and think about the phenomenon of mortgage convexity and the effect that it can have on the bond market. But with 10-year interest rates up ...

Bonds are popular fixed income investment instruments and are often regarded as bearing relatively low-risk burdens. While bonds are less volatile than other investments, they are not risk-free, ...

Yesterday was brutal for rate-sheet-influential MBS. A good friend called me and apologized for doing so, saying "I bet you're getting more calls than you can handle on a day where the market moves ...

We don't want to be alarmist, but there are fault lines in the real estate market in relation to the banking system, which has proven a little fragile lately. Issues in the real estate market are not ...

Roula Khalaf, Editor of the FT, selects her favourite stories in this weekly newsletter. Negative convexity is something which has been mentioned on this blog before. It sounds dramatic, not to ...

Our macro view is that unique intellectual property, based upon science rather than artistry, will drive investment performance in the future. In addition, high quality rules-based strategy indices, ...

Analysts and traders are blaming an increasingly familiar culprit for last week’s plunge in bond yields -- and they’re asking if it’s just the beginning. At issue is the relationship between bond ...