What causes this issue?

The convexity for position &V2& has the value &V1& (greater than 100 or
less than -100). This is invalid.
The position with the error belongs to the contract type &V3&.
For loans, the combination of company code/loan number is &V2&.
For securities, the combination of company code/ID number/securities
account is &V2&.
For MM/FX/DE, the combination of company code/transaction is &V2&.

System Response

All the market data transferred from the risk management component is
set to zero. Apart from this, the system continues with the selection.

How to fix this error?

Check the data used as a basis for calculating the market data, such as
the yield curves defined in the system.

Error message extract from SAP system. Copyright SAP SE.