Capital Markets School - October 2023

Internal Use Only

Agency Mortgage-Backed Securities (MBS) Pools • GNMA, FNMA, FHLMC • Universal Mortgage-Backed Securities (UMBS)

• Individual mortgage loans grouped by underwriting characteristics

• Sold on a pro-rata share basis

• Ownership percentage determines amount of the interest and principal you receive monthly

35

Internal Use Only

Agency Mortgage Derivative Products

Pools take principal and interest and pass it along to investors based on their ownership

Mortgage Derivative Products create a structure that distributes the principal and interest payments based on the characteristics of each tranche in the structure

36