Mortgage Backed Securities

New York Institute of Finance

How long?

  • 2 days
  • in person

New York Institute of Finance

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Who should attend

  • Portfolio managers
  • research analysts
  • back office professionals
  • financial analysts
  • auditors
  • and compliance staff

About the course

Understand the types of MBS, factors that influence their investment characteristics, analytic techniques used to evaluate risk and return, and MBS trading/settlement.

CURRICULUM

Day 1

MODULE 1: OVERVIEW OF THE MORTGAGE BACKED SECURITIES MARKET

  • Introduction to mortgage backed securities
  • Historical background
  • Evolution of federal agency mortgage 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

MODULE 2: MORTGAGES LOANS

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

MODULE 3: MORTGAGE PASS THROUGH SECURITIES

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

MODULE 4: DYNAMICS OF MORTGAGE PREPAYMENTS

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

Day 2

MODULE 1: 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

MODULE 2: ANALYSIS OF PASS THOUGH SECURITIES

  • Pass through 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

MODULE 3: 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

MODULE 4: MBS TRADING

  • TBA trading
  • Dollar Rolls

MODULE 5: DESK READY SKILLS KNOWLEDGE CHECK

WHAT YOU'LL LEARN

  • Structural features and their impact on valuation and analysis of MBS
  • Describe the structural 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 non-agency 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

Mortgage Backed Securities at New York Institute of Finance

From  $1,790
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Disclaimer

Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

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Read more about Business Analytics

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