[panarky]

The rule of thumb is every 100 bp increase in rates means a reduction in the market value of the security equal its years to maturity as a percentage.

So if rates are up 250 bp and there are 9 years remaining to maturity, that would be a 2.5 * 9% = 22.5% reduction in market value.

But I believe current yields on 10-year MBS are greater than 4%, the numbers I've seen put them at about 110 bp over 10-year Treasurys, which would make the reduction in market value even deeper.

[kgwgk]

> But I believe current yields on 10-year MBS are greater than 4%, the numbers I've seen put them at about 110 bp over 10-year Treasurys, which would make the reduction in market value even deeper.

Presumably they were yielding more than treasuries when they bought them as well. The relevant thing is whether the spread has narrowed or widened (too lazy to check and too coward to guess...).

[loeg]

I don't think 10-year T-notes are up 250 bps from 1.56% (might be mistaken -- looks like 235 bps to me), though 10-year MBS might be, and my impression is that SVB's average maturity is more like 6 years than 9. Those would both soften the impact on market value.