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December 15, 2022
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What Is LIBOR and Why Is It Used?
December 15, 2022

It stands for mortgage over treasury option, which is, by definition, a cash-settled call that is written on the mortgage over treasury spread, i.e., the spread between a specific mortgage backed security (or index yield) and the yield of a particular treasury security.

Among the key factors on which the option value is based is the mortgage repayment rates which, in turn, are affected by the general level of interest rates.

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