A securitized debt obligation that generates income from the payments of principal and interest on an underlying pool of mortgage loans. Like any other derivative product which derives its value from that of an underlying asset or factor or variable, the value of a mortgage derivative is based on the performance of its underlying mortgage. Examples of mortgage derivative products include collateralized mortgage obligations (CMOs), stripped mortgage-backed securities (such as principal-only securities and interest-only securities), real estate mortgage investment conduits (REMICs), and pass-through mortgaged-backed securities.
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