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New York Institute of Finance

Mortgage Backed Securities

Next dates

Oct 9—10
2 days
New York, New York, United States
USD 1591
USD 795 per day

Description

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

Who should attend

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