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| Step in chain | Information generated | Agents involved |
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| Mortgage origination | Underwriting standards, mortgage risk characteristics, credit risk (mortgage quality), operational risk (documentation, creditworthiness, origination process) | SORs and MBs |
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| Mortgage securitization | Reference mortgage portfolio Selected, RMBS structured credit (reference portfolio) risk, market (valuation, liquidity) risk, operational (misselling, SIB issues) risk, tranching (maturity mismatch) risk, systemic (maturity transformation) risk, | SDBs, SRs, CRAs, SIBs buying deal |
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| Securitization of ABSs, RMBSs, CMBSs into ABS CDOs | ABS portfolio selected, manager selected, cdo structured credit (reference portfolio) risk, market (valuation, liquidity) risk, operational (misselling, SIB issues) risk, tranching (maturity mismatch) risk, systemic (maturity transformation) risk | SDBs, CDO managers, CRAs, SIBs buying deal |
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| CDO risk transfer via MLIs in negative basis trade | CDOs and tranche selected, credit risk in the form of market (basis) risk credit (counterparty) risk | SDBs, banks with balance sheets, CDOs |
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| CDO tranches sale to SIVs and other vehicles | CDOs and Tranche selected for SIV portfolio market (price and interest rate) risk | SIV manager, SIV investors buy SIV liabilities |
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| Investment in SIV liabilities by money market funds | Choice of SIV and seniority | Only agents directly involved: buyer and seller |
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| CDO tranches sale to money market funds via liquidity puts | CDOs and tranche selected | Dealer banks, money market funds, put writers |
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| Final destination of cash RMBS tranches, cash CDO tranches and synthetic risk | Location of risk | Only agents directly involved: buyer and seller |
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