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Illya Gerasymchuk
Entrepreneur / Engineer
User Illya Gerasymchuk -

2025-08-02 17:33

the duration formula for MBS assumes for some pre-payments if those happen at a smaller rate - the duration increases

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raising yields means lower incentives to re-finance mortgages which reduces the amount of pre-payments thus, the duration increases when yields are raising - so even a higher price decrease

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