As the MBS market grows in size and as borrowers become increasingly adept at exercising the refinancing option, the negative convexity in mortgages is beginning to have more of an influence in the bond market as a whole, said analysts.

In a recent report, Countrywide Securities tried to quantify, given interest rate moves, the amount of duration now at risk. The report also estimated the level of rates at which negative convexity would have the most impact.

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