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Assume a mortgage security has a duration of 3.73, and a convexity of -2.68. For a +100BP change in rates, that security's price value would

Assume a mortgage security has a duration of 3.73, and a convexity of -2.68. For a +100BP change in rates, that security's price value would be impacted as follows.

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0.99%

3.43%

-4.24%

-6.41%

-8.20%

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