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Which of the following is a limitation of the zero-volatility spread for a mortgage-backed security (MBS)? The zero-volatility spread: A. is not adjusted for interest rate risk. B. is not adjusted for prepayment risk. C. does not account for the fact that MBSs have lower convexity than Treasuries. D. does not account for the fact that MBSs have higher convexity than Treasuries. |