A 60% Slide in Century Bonds Needs Rollercoaster Math to Explain
- Commerzbank’s James says convexity fails century-long debt
- Sees a market where familiar approaches ‘begin to deceive us’
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As the biggest selloff in decades shook the world’s bond markets this year, some extraordinarily long-dated debt went into free fall, tumbling even more than Wall Street’s usual models predicted.
To Jessica James, a managing director with Commerzbank AG in London, it wasn’t a surprise. In fact, it was validation.