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
Meaning of NEGATIVE CONVEXITY in English
Campbell R. Harvey. Hypertextual finance English glossary. Английский словарь гипертекстовых финансов. 2012