Interest rate rise will cause the same loss for bonds of the same duration. However MBS don’t have fixed durations. As interest rates go up, borrowers are expec

Interest rate rise will cause the same loss for bonds of the same duration. However MBS don’t have fixed durations. As interest rates go up, borrowers are expected to hold onto their mortgage longer. So the expected duration goes up for an MBS as well and loss is expected to be higher than bonds with similar duration to begin with. However there is a mitigating factor for MBS in a rising rate environment, that is they are amortizing instruments. So the duration doesn’t go up as dramatically as callable bonds/CDs.