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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.

 
 

Follow this link for all the terms related to mortgageratio.

 
 Embedded terms in definition
 Duration
Interest rate
Interest
Prepayment speed
Prepayment
Speed
 
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