- 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.
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.
Investment dictionary. Academic. 2012.
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