Makes sense.<p>I guess my central confusion is that I thought the <i>entire</i> reason for bundling mortgages into some kind of aggregate object (I&#x27;m going to drop the financial terminology, as I&#x27;d probably use it imprecisely) was so that they could transform it into a fungible asset and therefore have access to a broader market of customers who were interested in buying it.<p>In other words, while retail investor might not be interested (either through a mutual fund or something else) in owning these 3 mortgages, they might be interested in owning a smaller share of 1,000 aggregated mortgages. And furthermore, that you could alter the criteria those 1,000 mortgages were selected by to create different products (offering different rates and risks). And furthermore, that you could attempt to value add (and I thought this was where it went off the rails) by packaging junk mortgages in some statistically magical way where you could sell the aggregate for more than the total value of its individual components.<p>So,  in essence my understanding was something like (start at top, trickle to bottom):<p>Actual mortgage<p>Basic mortgage backed security (no value add)<p>Complex mortgage backed security (value add)<p>Retail mutual funds &#x2F; investment bank consumers<p>(Which, as you&#x27;ve said, still has nothing to do with HFT, as given the nature of these things there probably isn&#x27;t much pricing variance day-to-day, and therefore has little interest to that community)