Managing Duration Extension and Negative Convexity Near Par

The Bond Buyer - October 20, 2020

Negative Convexity

Tax-neutral analytics are key to accurately measuring interest rate sensitivity of munis near par. Andy Kalotay and Guy Davidson discuss in The Bond Buyer how the de minimis effect kicks in even before a bond’s price actually falls below par. Duration starts to extend and convexity actually turns negative well before the price hits discount territory. Download the article text here.