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The MBS will be positively convex until a certain point, which is most likely the rate at which most of the mortgages were originated at. If rates go below this point, the MBS will exhibit negative convexity. Rates can only go to 0, so the there will be a greater area of negative convexity with an MBS thats at a higher rate.
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发表于 2011-7-11 19:12
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