Duration and convexity metrics for a 10 Yr Treasury bond yielding 4.95% as of September 10, 2026. Modified duration is 7.81 years, meaning a 1 basis point change in yield moves the price by approximately $0.0781 per $100 face value. These metrics help fixed income investors measure and manage interest rate risk across the maturity spectrum.
| Price | Mod Duration | Mac Duration | DV01 | Convexity | ΔP (+100bp) |
|---|---|---|---|---|---|
| $100.00 | 7.81 yr | 8.01 yr | $0.0781 | 73.88 | $-7.44 |
Par bond (coupon = yield). Semiannual compounding.
Modified duration measures the percentage price change of a bond for a 1% parallel shift in yields. At a modified duration of 7.81 years, the 10 Yr Treasury will lose approximately $0.0781 per $100 face value for each basis point rise in rates (its DV01). Convexity captures the curvature in the price-yield relationship — for large rate moves, a bond with higher convexity will outperform a linear duration estimate on both rallies and selloffs. These metrics are computed assuming a par bond with semiannual compounding at the current 4.95% yield, making them directly comparable across maturities. Portfolio managers use duration to size interest rate hedges and to evaluate the risk-return tradeoff when extending or shortening portfolio maturity.
The 10-year note is the single most important benchmark in global fixed income, driving mortgage rates, corporate bond spreads, and equity valuations. With a convexity of 73.88, the 10 Yr exhibits a moderate non-linear return profile. Duration is the dominant risk factor for normal-sized rate moves, but convexity provides a meaningful cushion in large parallel shifts relative to the shorter end of the curve.