Duration volatility risk premium means compensation for bearing return volatility risk of an interest rate swap (IRS) contract. It is the scaled difference between swaption-implied and realized volatility of swap rates’ changes. Historically, these premia have been stationary around positive long-term averages, with episodes of negative values. Unlike in equity, simple duration volatility risk premia have not been significant predictors of subsequent IRS returns. However, they have helped predict idiosyncratic IRS returns in non-USD markets. [… ]