单选题 Which of the following statements best describes the concept of negative convexity in bond prices? As interest rates:

A. fall, the bond's price increases at an increasing rate.
B. rise, the bond's price approaches a minimum value.
C. fall, the bond's price increases at a decreasing rate.

【正确答案】 C

【答案解析】Negative convexity occurs with bonds that have prepayment/call features. As interest rates fall, the borrower/issuer is more likely to repay/call the bond, which causes the bond's price to approach a maximum. As such, the bond's price increases at a decreasing rate as interest rates decrease.