What is Negative Butterfly?
A non-parallel yield curve shift in which long- and short-term yields decrease by a greater degree than intermediate rates. This yield curve shift effectively humps the curve, adding to the curvature of the yield curve. Read more for examples and further explanation including related video clips and also comments
Example explains Negative Butterfly
For example, a negative butterfly shift can happen when short- and long term-rates decrease by 75 basis points (0.75%), while intermediate rates only decrease by 50 basis points (0.50%).
This is the reverse of a positive butterfly, in which short- and long-term rates increase more than intermediate rates.
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