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The price to yield function of mortgage-backed securities (MBS) exhibits negative convexity because: A. they are usually purchased at a premium. B. the probability of default is higher than a unsecured debenture. C. the Federal National Mortgage Association (FNMA) and Federal Home Loan Mortgage Corporation (FHLMC) do not have the same credit standing as a direct U.S. obligation. D. mortgage borrowers have a prepayment option. |