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negative convexity
’Is negative convexity the new Bernanke conundrum?
Negative convexity is something which has been mentioned on this blog before.
It sounds dramatic, not to mention nerdy, but bear with us because it is something which is actually quite interesting — and something which is,
More on maximum negative convexity
Wading into the Treasuries sell-off and negative convexity debate this Monday is Deutsche Bank.
Their central premise: you can’t explain the recent US government bond sell-off by convexity hedging alone.
Living with negative repo rates
The market has been getting used to negative repo rates ever since the Fed introduced fines for failed US Treasury deliveries on May 1st. However, negative rates of 3 per cent are perhaps a little more than the market may have been prepared for.