Mortgage Backed Securities - Day

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.

01-Mar-2012 -- 02-Mar-2012New YorkUSD$2475
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Douglas Carroll; ] Thu Fri Level: Intermediate

07-May-2012 -- 08-May-2012StamfordUSD$2475
NY Institute of Finance - Stamford, CT9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Douglas Carroll; ] Mon Tue Level: Intermediate

03-Dec-2012 -- 04-Dec-2012New YorkUSD$2475
NY Institute of Finance - Midtown9:00am - 4:30pm Instructional Method:
Group-Live
Instructor(s): [ Douglas Carroll; ] Mon Tue Level: Intermediate

CPE CREDITS
14.0
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 was one of the best training instructors I've had over the years. I really enjoyed this class!"
"Instructor did an excellent job of introducing a topic and giving a basic overview and then going into more complicated areas of each topic."
"The instructor had in-depth knowledge of the subject."
"Excellent! The class is a very good introduction to and overview of the MBS market."
"The course's strengths included its fluidity and the relevance of the material to my work."
  • Structured Products Suite
    • Overview Of The Mortgage Backed Securities Market
    • Introduction to mortgage backed securities
    • Historical background
    • Evolution of federal agency nortgage backed securities
    • Government National Mortgage Association
    • Federal National Mortgage Association
    • Federal Home Loan Mortgage Corporation
    • Innovations (ARMs, CMOs, SMBS, etc.)
    • Originators, servicers, dealers and investors

    Mortgages Loans

    • Characteristics of mortgages
    • Types of mortgages
    • Mortgage cash flows

    Mortgage Pass Through Securities

    • Types of mortgage pass through securities
    • Structural characteristics of pass throughs
    • Weighted average maturity (WAM)
    • Weighted average coupon (WAC)
    • Weighted average loan age (WALA)
    • MBS sector considerations

    Dynamics Of Mortgage Prepayments

    • Demographic considerations
    • Seasonal patterns in prepayment rates
    • Home sales activities
    • Mortgage refinancing
    • Quantifying prepayment speed – PSA benchmark

    Bond Math Basics of MBS

    • Price present value of projected future cash flows
    • Yield to maturity, cash flow yield and bond equivalent yield
    • Complexity of MBS
    • Yield spreads versus treasuries
    • Yield versus return

    Analysis Of Pass Though Securities

    • Pass throughs compared to other fixed income securities
    • Prepayments and uncertain average life
    • Pass throughs price and cash flow dynamics
    • Negative convexity
    • Total return analysis
    • Option adjusted spread analysis
    • Duration measures for MBS

    Collateralized Mortgage Obligations

    • CMO basics
    • Pay through versus pass through securities
    • Plain vanilla CMOs - sequential pay bonds
    • Z-bond tranches
    • Planned amortization class (PAC) bond tranches
    • Targeted amortization class (TAC) bond tranches
    • Very Accurately Defined Maturity (VADM) bonds
    • Floating and inverse floating rate tranches
    • Stripped mortgage backed securities – IOs and POs
    • CMO valuation issues
    • Structural factors affecting value

      MBS Trading

      • TBA trading
      • Dollar Rolls

    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.