mortgage spread duration


The price sensitivity of a mortgage-backed security to a change in the spread between the mortgage interest rate and the rate of Treasuries. A change in the option-adjusted spread of a mortgage-backed security does not affect the cash flows that the security will provide to the investor, so the mortgage spread duration outlines what impact cash flows will have at varying interest rates.
Browse Definitions by Letter: # A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
corporate spread duration spread duration