Negative Convexity

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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

In callable bonds, a situation in which the principal is returned, either before maturity when interest rates are declining or after maturity when interest rates are rising. This exposes bondholders to the risk of realizing a lower return.

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No references found			They provide the positive duration and positive convexity needed to offset the negative duration and negative convexity of mortgage servicing, says Shaiman. Hedging's trial by turmoil by England, Robert Stowe / Mortgage Banking The early adoption election also provided Cadence an opportunity to decrease the duration of its security portfolio, reduce the negative convexity inherent in mortgage-backed securities and CMOs, improve cash flow predictability and increase our average yield on investment securities. Cadence Financial Corporation Reclassifies First Quarter Securities ... by Business Wire Convexity refers to the price/yield curve; negative convexity means that the price/yield curve flattens as interest rates decline). Packaging CRA loans into securities by Brown, Ned; Westhoff, Dale / Mortgage Banking			NAV NAV Arbitrage navigable line navigable waters NBC NC NCC NE Near Money Nearby Nearby Futures Contract Nearby Month Nearest Month Necessary Necessities of Life Neckline NECTAs Negative Acknowledgment negative amortization Negative Amortization Cap Negative Amortizing Mortgage Negative Authorization Negative Balance Negative Carry negative cash flow Negative Convexity Negative Covenant Negative Duration negative easement Negative Equity negative equity loans Negative Goodwill Negative Income Tax Negative Interest Rate negative leverage Negative Net Worth Negative NPV tie-in project Negative Obligation negative or positive leverage Negative Pledge Negative Pledge Clause Negative Points Negative Volume Index Negative working capital Negative Yield Curve Neglected Firm Effect Neglected-Firm Effect negligence negligent fraud Negligent Trustee negligent waste			Negative Cash Flows negative catalysis negative catalysis Negative Channel Field Effect Transistor Negative Channel Transition negative charge negative charge Negative Chemical Ionization Mass Spectrometry negative chemotaxis Negative Christmas Event Negative Cofactor 2 negative comments on judge okay? Negative Component negative compulsion Negative concord Negative condition negative conductor Negative consequentialism Negative consequentialism Negative Constructive negative contrast negative contrast negative contrast negative contrast Negative Contrast Electron Microscopy negative convergence negative convergence negative convergence negative convergence negative convergence Negative Convexity negative correlation negative correlation Negative covenant Negative covenant Negative covenant Negative covenant Negative covenant Negative Covenants Negative Covenants Negative Covenants Negative Covenants Negative Covenants Negative Credibility Feedback Loop Negative credit rating Negative credit rating Negative credit rating Negative crystal Negative crystal Negative declaration Negative declaration Negative declaration negative declination negative defect negative defect negative defect negative defect Negative Delta V Negative differential resistance Negative differential resistance Negative differential resistance

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