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Course List
Introduction to the Securities Industry
Introduction to the Securities Industry
Introduction to U.S. Securities Processing
Securities Lending and Borrowing : An Operations Perspective
Foundations of Investment Management and Buyside Operations
Dealing with Change in the Financial Markets
Collateral Management: An Operations Perspective
International Issues
International Securities Operations
International Portfolio Accounting
Foreign Currency: Markets, Clearance, Settlement & Accounting
Foreign Exchange: Lifecycle of a Trade
Corporate Actions
U.S. Domestic Corporate Actions
Global Corporate Actions
Capital Markets
Capital Markets Overview
Capital Market Economics - Investigating the Linkages Between the Real Economy and the Financial Markets
Portfolio Management
Portfolio Management
Securities Analysis
Managing Risk
Risk in a Global Market - Management and Operational Challenges Looking Forward
Financial Management
Financial Accounting and Financial Mathematics
Financial Statement Analysis
Fixed Income Securities
Bond Math: Mathematics of the Fixed Income Market
Structured Securities: MBS, ABS, CDOs
Introduction to Fixed Income Products
Accounting for Fixed Income Securities and Derivatives
Mortgage-Backed Securities
Collateralized Debt Obligations and Credit Default Swaps (CDOs and CDS)
Fixed Income Analytics
Interest Rate Swaps and Credit Default Swaps
Fixed Income Securities Trade Processing and Operations
Accounting, Regulatory & Management
Stock Brokerage Accounting & Securities Regulations
Introduction to Private Equity Markets
Trading After the Volcker Rule
Dodd-Frank for Non-US Derivatives Users
Complying with the MiFID II/MAR Rules
Introduction to Derivative Products
Derivatives: Markets, Operations, Accounting & Control
Derivative Products: Risk Management and Valuation
Option Valuation and Trading
Equity Derivatives: Futures and Swaps
Interest Rate Futures and Swaps
Introduction to Options: Products, Trading & Processing
Swaps Processing and Operations
Commodity Futures: Energy, Metals and Agricultural
Equity Options: Strategies, Accounting and Operations
Mutual Funds
Introduction to Mutual Funds
Mutual Fund Operations

Course Description
Structured Securities: MBS, ABS, CDOs
Available Dates:
September 12, 2018, New York
Course Code: 601
Duration: 1 day
Level: Basic
Fee: $795.00
Instructor: Douglas Carroll
CPE Credits: 6
Prerequisite: No Prerequisite Required.

This one-day seminar provides a broad overview of these rapidly growing and evolving sectors of the U.S. fixed income markets. The program focuses on the major types of instruments traded in each of these sectors with special focus on the nature of the underlying collateral and structural characteristics of the securities. Emphasis will be placed on assessing how the interaction of underlying asset cash flows with the securities' structural features affecting credit or prepayment prioritizations impact risk and return.

The presentation begins with an introduction to the fundamentals of asset securitization: pooling of assets and its impact on risk; legal/structural considerations (e.g. bankruptcy remoteness); credit risk and credit enhancements.

The discussion then turns to a review of each of the sectors in detail. The MBS segment will address agency pass throughs and CMOs, as well as non-agency CMOs and CMBS (commercial mortgage-backed securities). The ABS discussion will cover mortgage related ABS (e.g. HELs - home equity loans backed securities) as well as credit card receivable or auto loan backed securities. The CDO section will explore different types of cash CDOs (arbitrage vs balance sheet and cash flow vs market value) and synthetic CDOs.

Topics for Discussion Include:

Fundamentals of Asset Securitization

  • Asset Pooling
  • How Pooling Enhances Investment Characteristics
  • Credit Enhancements

Mortgage Backed Securities

  • Agency Pass Though Securities
  • Agency Collateralized Mortgage Obligations (CMOs)
  • CMO Tranches: Z-Bonds, PACs, TACs and Companions
  • Non-agency (Whole Loan) CMOs
  • Credit Enhancements and Credit Tranching
  • Commercial Mortgage Backed Securities (CMBS)

Asset Backed Securities

  • Manufactured Housing
  • Home Equity Loan
  • Credit Card Receivables
  • Auto Loans
  • Legal Structures
  • Credit Risk and Enhancements

Collateralized Debt Obligations

  • Collateralized Loan Obligations (CLOs)
  • Collateralized Bond Obligations (CBOs)
  • Cash CDOs
  • Arbitrage vs. Balance Sheet CDOs
  • Cash Flow vs. Market Value CDOs
  • Cash Flow Prioritization and Credit Risk
  • Senior, Mezzanine and Subordinated Tranches
  • Synthetic CDOs
  • Credit Default Swaps

After completing this program participants should be able to:

  • Identify and describe the characteristic features of asset securitizations (legal vehicles, asset pools, credit enhancements, investment cash flows) in the creation of MBS, ABS and CDOs
  • Explain the fundamental structural elements and investment characteristics of agency (FNMA, GNMA and FHLMC) pass through securities, especially prepayment risk and the consequent uncertainty of cash flows and average life of the investment
  • Describe the major types of tranches found in CMOs (sequential pay, accrual/z-bond, PACs, TACs, floaters and inverse floaters) and distinguish among them by cash flows, comparative risks and expected returns
  • Compare and contrast non agency versus agency CMOs, especially with regard to differences in structures, credit enhancements, credit tranching and senior/subordinated structures
  • Explain the structural features and investment characteristics of the major types of ABS: credit card receivable ABS, auto loan/auto lease ABS and mortgage related ABS (commercial mortgage backed securities (CMBS) and home equity loans (HEL-ABS)
  • Recognize and describe the quintessential characteristics of the two primary types of CDOs (arbitrage and balance sheet) as well as the distinctive features of the common variations in the structures (cash flow versus market value and cash versus synthetic)
  • Identify and define typical elements of CDOs: special purpose vehicle, asset portfolio, cash flow waterfall, diversity/quality tests, interest and principal coverage tests