Anyone know where I can find prices for negative convexity bonds denominated in Canadian dollars? I have been hunting around the internet and I can't find what I'm looking for. Maybe a better question is does such a thing exist? The Ft article that spark this thought program was about American MBS, which of course factor in all the re-finance and walk away provisions that American consumers have http://ftalphaville.ft.com/blog/2010/01/28/136551/is-negative-convexity-the-new-bernanke-conundrum/ With the steep yield curve in Canada I was thinking that some negative convexity assets could be a good hedge for those borrowing at short term floating rates. Any thoughts?