New York Institute of Finance
Mortgage Backed Securities
Available dates
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Full disclaimer.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
Who should attend
- Portfolio managers
- research analysts
- back office professionals
- financial analysts
- auditors
- and compliance staff