What is an interest only (IO) strip? How do the discount effect and the prepayment effect of

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What is an interest only (IO) strip? How do the discount effect and the prepayment effect of an IO create a negative duration asset? What macroeconomic effect is required for this negative duration effect to be possible?

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Financial Institutions Management A Risk Management Approach

ISBN: 978-0071051590

8th edition

Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders

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Question Posted: Dec 17, 2015 05:16 AM

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What is an interest only (IO) strip? How do the discount effect and the prepayment effect of

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A mortgage passthrough that has a claim only to the interest payments of underlying mortg...View the full answer

Financial Institutions Management A Risk Management Approach

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