Mortgage duration

Mortgage duration

A modification of standard duration to account for the impact on duration of MBSs of changes in prepayment speed resulting from changes in interest rates. Two factors are employed: one that reflects the impact of changes in prepayment speed or price.

Mortgage Duration

The number of years until an investor receives the present value of all income from a mortgage-backed security (including interest and principal). It is used to gauge a mortgage-backed security's sensitivity to interest rate changes. The longer a mortgage duration is, the more an MBS declines in value when interest rates rise, and the more it rises when they fall.
References in periodicals archive ?
Other measures included putting a cap on annual rent increases, allowing for compensatory wage increases to be in line with official inflation rates, providing food subsidies and low cost housing for the poor, and extending the mortgage duration from the existing average of 10 years to 25 or 30 years as is the case in several other markets.
adjustable rate originations and mortgage duration (30 vs.
Such a policy could be implemented with caps on elements such as loan-to-value ratios, loan-to-income ratios, and mortgage durations, or imposing ceilings on the amount banks are permitted to lend, should prices exceed a given limit.
In this environment, as mortgage durations shortened the company increased its volumes of short-term debt--and raised its percentage of option-based debt, including interest rate caps--to maintain a close duration match on its mortgage portfolio.
Full browser ?