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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
Mortgage-Backed Securities
Available Dates:
October 16, 2018, New York
Course Code: 606
Duration: 1 day
Level: Basic
Fee: $795.00
Instructor: Douglas Carroll
CPE Credits: 6
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.

Topics covered include:

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:

  • WAC
  • WAM
  • WART
  • WALA

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:

  • Z Bonds
  • PACs

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