Drop, The

Definition:

In a dollar roll transaction, the difference between the sale price of a mortgage-backed pass-through, and its repurchase price on a future date at a predetermined price.

Investing Essentials


Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University

Term of the Day

Portfolio opportunity set

The expected return/standard deviation pairs of all portfolios that can be constructed from a given set of assets.

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