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There are two legs to an interest rate swap: the fixed leg, where interest is paid at the rate on the swap (i.e. 5.75%) the floating leg, where interest is paid at the current floating rating (usually a 1m or 3m rate that changes every 1m/3m) It is similar to buying a bond with a loan. Entering the offsetting swap is just a mechanic of the market. You can'...


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No. The current coupon spread is the excess spread offered by the current coupon mortgage over the reference yield curve. Since the current coupon drives mortgage rates, the idea behind the Current Coupon Spread duration measure is to isolate the impact of changes in primary mortgage rates on MBS prices, assuming that there is no change in the reference ...


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