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Yield curve spread

Yield curve spread 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.

RELATED TERMS
Mortgage-backed security







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