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Yield curve spread

What's the definition?

Yield curve spread on a simple Mortgage Backed Security is the flat spread over the treasury yield curve required in discounting a pre-determined coupon schedule to arrive at its present market price.

 

That is, the MBS Yield curve spread is based on a comparison of the market price to a model of the bond which includes no variability in interest rate or mortgage repayment rates.







The infomation above is licensed under the GNU Free Documentation License and is derived from The Free Encyclopedia.com
Mortgage-backed security


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