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Duration matching strategy |
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Duration matching strategyAn immunization technique that matches immunization duration with the duration of the liabilities.Duration matching strategy Similar MatchesNegative durationNegative durationOccurs when the price of an MBS moves in the same direction as interest rates. Macaulay durationMacaulay durationThe weighted-average term to maturity of the cash flows from a bond, where the weights are the present value of the cash flow divided by the price. Mortgage durationMortgage durationA modification of standard duration to account for the impact on duration of MBSs 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. Duration driftDuration driftChange in duration attributable to the passage of time. Macaulay durationMacaulay durationThe weighted-average term to maturity of the cash flows from a bond, where the weights are the present value of the cash flow divided by the price. |
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