Available Dates:
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| Course Code: 606 |
| Duration: 1 day |
| Level: Basic |
| Fee: $795.00 |
| Instructor:
Douglas Carroll |
| CPE Credits: 7 |
| Prerequisite: No Prerequisite Required |
This one-day seminar provides an in depth introduction to Mortgage-Backed Securities. The primary focus of the program will be an investigation of the major types of MBS to provide an understanding of their structural and cash flow characteristics. For each MBS type, coverage will entail a review of pertinent terms and definitions, descriptions of the securities features and characteristics, as well as some discussion of industry conventions regarding price, yield and prepayment speed. The session will concentrate on agency pass through securities and collateralized mortgage obligations (CMOs), both agency and non-agency.
Overview of the Mortgage-Backed Securities Market
Mortgage Loan Types and Cash Flows
Agency Pass Through Securities:
- Ginnie Mae
- Fannie Mae
- Freddie Mac
Pricing and Yield Conventions:
- Day Counts and Prepayment Speed (PSA and CPR)
Mortgage Pool Characteristics:
MBS Analytics Introduction:
- Duration
- Convexity (positive and negative)
- OAS
Agency CMO Basics:
- Tranching to Reduce Prepayment Uncertainty
Prioritizing Cash Flows to Alter Risk/Return Characteristics:
Non-agency CMOs:
- Credit Tranching
- Credit Enhancements
Collateral for Non-agency CMOs
- Impact on Structure and Characteristics
Comparison of Agency and Non-agency CMOs
TBA Trading of Agency Pass Throughs
Dollar Rolls
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