This is called "negative convexity" and leaves investors with lower portfolio duration than their benchmark. While 64% of outstanding mortgages are locked into interest rates below 4%, about 16% ...

Chacko, George C., Peter A. Hecht, Vincent Dessain, and Anders Sjoman. "Note on Duration and Convexity." Harvard Business School Background Note 205-025, August 2004. (Revised September 2004.) ...