Mortgage Backed Securities - Evening

This course provides a broad overview of the mortgage-backed securities industry. The primary focus is on the types of MBS, factors that influence their investment characteristics, analytic techniques used to evaluate risk and return, and MBS trading/settlement. The course begins with an exploration of agency pass-through securities and is followed by an investigation of derivative mortgage backed securities: CMOs (collateralized mortgage obligations), IO (interest only) and PO (principal only) strips. The course also discusses trading issues such as TBA trading and dollar rolls. The final session focuses on non-agency CMOs, and other mortgage-related asset-backed securities.

17-May-2012 -- 21-Jun-2012New YorkUSD$1875
NY Institute of Finance - Midtown5:45pm - 8:15pm Instructional Method:
Group-Live
Instructor(s): [ Douglas Carroll; ] Thu Level: Intermediate

24-Sep-2012 -- 29-Oct-2012New YorkUSD$1875
NY Institute of Finance - Midtown5:45pm - 8:15pm Instructional Method:
Group-Live
Instructor(s): [ Douglas Carroll; ] Mon Level: Intermediate

CPE CREDITS
15.0
Portfolio managers, institutional sales staff, research analysts, back office professionals, financial analysts, cash/money managers, auditors, and compliance staff.
No advance preparation required.
Students will be able to:
  • Describe the strutural features and cash flow characteristics of pass-through securities
  • Recognize the impact of prepayment rates in the analysis and valuation of MBS
  • Explain the basic features of agency and nonagency CMOs as well as important types of tranches (sequential pay, Planned AmortizationClass, accrual/z-bond, etc)
  • Describe the basic elements of TBA (To Be Announced) trades and dollar rolls
None
"Doug is a great instructor - very knowledgeable!"
"The instructor, Doug Carroll, is outstanding! Not only did he cover all the course material, he also focused on special topics that the class agreed on."
"The instructor's knowledge of the MBS market is a strength of this course."
  • Structured Products Suite
    • Session 1
    Overview of the Mortgage Backed Securities Market
    • Historical Background
    • Evolution of Federal Agency Mortage Backed Securities (MBS) Programs - Pass Throughs and Participation Certificates
    • Innovations
    • Participants

    Mortgages Loans

    • Characteristics of Mortgages
    • Types of Mortgages
    • Mortgage Cash Flows

    Session 2
    Mortgage Pass Through Securities
    • Types of Mortgage Pass Through Securities
    • Structural Characteristics of Pass Throughs
    • MBS Sector Considerations

    Dynamics of Mortgage Prepayments

    • Principal Factors That Affect Mortgage Prepayments
    • How to Measure Prepayment Speed

    Session 3
    Pricing and Valuation of Mortgage Pass Through Securities
    • Valuation Considerations
    • Interest rate related risks
    • Measuring interest rate risks
    • Embedded call options

    Session 4
    Collateralized Mortgage Obligations (CMOs)
    • CMO Basics
    • Z-Bond Tranches
    • Planned Amortization Class (PAC) Bond Tranches
    • Targeted Amortization Class (TAC) Bond Tranches
    • Floating Rate CMO Structures
    • CMO Valuation Issues

    Session 5
    Adjustable Rate Mortgage Structures
    • Structural Characteristics of ARM Securities
    • Federal Agency ARM Programs
    • Prepayment considerations

    Stripped Mortgage Backed Securities (SMBS)

    • Characteristics of SMBS
    • Risk/reward considerations
    • Inverse IOs

    Session 6
    Other Mortgage Related Asset Backed Securities
    • Home Equity Loan Backed (HELBs) Securities
    • Manufactured Housing Backed Securities

    Clients who register for this course will receive a complimentary 4-month subscription to FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. The move to the electronic version follows an ongoing review of our environmental responsibilities as a global business and as part of the Pearson group. FT.com also has features that are not available in hard copy, such as: Special Reports, Alphaville, editor blogs, education sections and much more! Subscriptions will start within 6-8 weeks of the start of class and are limited to one subscription per client. (Please note: as of May 1, 2011, the electronic subscription replaces the hard-copy 3-month Financial Times subscription.)

    Lunch is included for all students taking day classes.