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Mortgage Backed Securities-Fixed Rate Passthroughs

A portfolio of similar fixed rate mortgages are pooled together and securitized. Investors can purchase units of these fixed rate passthrough securities and will receive principal and interest payments from the underlying pool of fixed rate mortgages each period. Generally, the mortgages pooled together will be approximately the same age, have approximately the same mortgage rate, and have approximately the same amount of time remaining to maturity. Homeowners generally have the option to prepay their mortgage in part or in full at any time prior to maturity which differ these securities from other regular fixed income securities because of their underlying prepayment options.

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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.