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Mortgage Backed Securities-IO/PO Bonds

When stripped mortgage-backed securities are created, principal and interest cash flows from the underlying collateral are redistributed creating two new classes of bonds. These bonds have an Interest-Only (IO) class that receives only interest payments based on a notional principal amount, and a Principal-Only (PO) class that receives only the principal payments from the underlying collateral.


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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.