8586

Correct answer = D

"Introduction to the Measurement of Interest Rate Risk," Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 480-484
Study Session 16-69-b
demonstrate the price volatility characteristics for option-free, callable, prepayable, and putable bonds when interest rates change
The bond is option-free and will therefore exhibit positive convexity. An equal change in rates will produce a greater percentage gain when rates decrease than the percentage loss produced when rates increase.