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A mortgage security with a face value had a price of 99 at the opening of the trading day. During the day, the yield declined by 80 basis points below its opening yield and then increased 80 basis points above its opening yield. The corresponding prices of the instrument were 99.5 and 98 respectively. From this we can say the security: A. exhibited excess volatility. B. exhibited negative convexity. C. exhibited positive convexity. |