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Expanding the Liability-Driven Investing Toolkit-Agency MBS June 2022
Posted: Tuesday, June 14, 2022

The process of structuring Agency MBS cash flows creates a series of CMOs in which cash flows from the underlying pool of mortgage loans are allocated to individual tranches following a set of payment rules.
These tranches can vary by maturity, coupon and payment priority, allowing investors to better match asset and liability needs. Long-duration CMOs are inherently created to fit LDI portfolios through the availability of long-maturity cash-flow structures to better match asset-liability needs.

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