Capital Markets School - October 2023

Internal Use Only

Agency Mortgage Derivative Products

Understanding the overall structure and the characteristics of your tranche are vital to understanding your investment and how/when/if you will get paid

While these products are not considered credit ‐ related, diligence is required to understand the IRR and liquidity risks from potentially volatile payment streams

37

Internal Use Only

Agency Mortgage Derivative Products

COLLATERALIZED MORTGAGE OBLIGATION (CMO)

COLLATERALIZED DEBT OBLIGATION (CDO)

REAL ESTATE MORTGAGE INVESTMENT CONDUIT (REMIC)

38