Mortgage Pass-Through Securities. Fabozzi—Chapter 11. Introduction – pg 244. What is a mortgage pass-through security? A security comprised of a pool (portfolio) of residential mortgages.
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Pooled Monthly Cash Flow:
-Pooled Interest-Pooled Principal-Pooled Prepays
Each Homeowner Pays:-Interest-Scheduled principal-Prepayments
Pass-through coupon paid to investors
semiannual cash flow yield