Duration and convexity metrics for a 2 Yr Treasury bond yielding 4.33% as of July 24, 2026. Modified duration is 1.90 years, meaning a 1 basis point change in yield moves the price by approximately $0.0190 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 | 1.90 yr | 1.94 yr | $0.0190 | 4.59 | $-1.87 |
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 1.90 years, the 2 Yr Treasury will lose approximately $0.0190 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 4.33% 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 2-year note is the most rate-sensitive benchmark Treasury, reflecting near-term Federal Reserve policy expectations. Its convexity of 4.59 is low relative to intermediate and long maturities, so duration is the primary driver of price changes and non-linear effects are minimal. The 2 Yr is accordingly straightforward to duration-hedge.