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 Glossary   >   M   >   "Mortgage duration" Definition   

        Mortgage duration

A modification of standard duration to account for the impact on duration of M.B.S.s 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.

Mortgage duration


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Mortgage duration - A modification of standard duration to account for the impact on duration of M.B.S.s 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.


Mortgage duration : a modification of standard duration to account for the impact on duration of m.b.s.s 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.