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A commercial bank has a very positive duration gap between assets and liabilities, and would like to invest in some mortgage-backed securities to hedge the

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A commercial bank has a very positive duration gap between assets and liabilities, and would like to invest in some mortgage-backed securities to hedge the interest rate risk. Which one of the following securities issued from the same pool of mortgage loans would offer the HIGHEST hedging benefit? Select one: a. 10 strip in a CMO b. PO strip in a CMO c. The most senior tranche (tranche A) in a CMO d. Mortgage-backed bonds e. The pass-through securities

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