PPT Slide
Mortgage passthrough securities
• A mortgage passthrough security is a security created when one or
more holders of mortgages form a pool of mortgages and sell shares
or participation certificates in the pool.
• The cash flows consists of monthly mortgage payments representing
interest, the scheduled repayment of principal, and any prepayments.
• Payments are made to security holders each month. The monthly
cash flows for a passthrough are less than the monthly cash flows of
the underlying mortgages by an amount equal to serving and other
• Not all of the mortgages that are included in the pool that are
securitized have the same mortgage rate and the same maturity. A
weighted average coupon rate and a weighted average maturity are