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Premium CMBS: Negative convexity? What negative convexity?

Excerpted from an eight-page report issued December 14, by Brian Lancaster, managing director and head of CMBS research at Bear, Stearns & Co.

"However, investment-grade CMBS tend to widen more than non-callable corporate bonds as their price increases over par. The reason is investor concern over a default-induced prepayment."

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