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Business, 11.02.2021 20:50 jontae81

A life insurance company has a very negative duration gap between assets and liabilities, and would like to invest in some mortgage-backed securities to hedge the interest rate risk. Which one of the following securities issued from the same pool of mortgage loans would offer the HIGHEST hedging benefit? a. IO strip in a CMO
b. PO strip in a CMO
c. The most senior tranche (tranche A) in a CMO
d. Mortgage-backed bonds
e. The pass-through securities

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