Negative convexity - A bond characteristic such that the price appreciation will be less than the price depreciation for a large change in yield of a given number of basis points. For example, a fixed rate mortgage may lose value as rates go down because of prepayments.
Negative convexity : a bond characteristic such that the price appreciation will be less than the price depreciation for a large change in yield of a given number of basis points. for example, a fixed rate mortgage may lose value as rates go down because of prepayments.
Negative convexity