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Mortgage Duration |
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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. How to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit webmaster's page for free fun content. |
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