What does "duration shedding" mean? is it applied to MBS investment?One commentary said:Mortgage rates are very close to 13-month highs, and while some duration shedding probably occurred last week, it could pick up if rates rise another 10-15bp, putting further pressure on the 10yr sector. What does it mean?Tks

When mortgage rates rise the "duration" of MBS increases (Def.: Duration is the discounted, dollar-weighted average length of time to receive interest and principal payments on a fixed-income investment. It is also an indication of an investment’s price volatility relative to changes in interest rates.). Managers of MBS portfolios can remove or "shed" (to shed, def: To rid oneself of something not wanted or needed) an unwanted duration increase by shorting 10 year treasuries. If this occurs on a large scale it could put downward pressure on the price of 10yr treasuries.

but how does MBS movement affect swap spread? convexity?

People use swaps to hedge mortgage positions. If rates rise, mtg durations rise, so mtg owners have to pay fixed on swaps to stay duration neutral. All else equal, this hedging makes swap rates rise relative to treasurys.

but these past few days, mortgage rates rise, durations rise, but swap spread is tightened, why?Why Managers of MBS portfolios can remove or "shed" (to shed, def: To rid oneself of something not wanted or needed) an unwanted duration increase by shorting 10 year treasuries, how does it do? why selling treasuries can have "duration shedding" effect?