• Agency mortgage passthroughs
• Agency Collateralized mortgage obligations
• Nonagency CMOs
• Home equity loan ABS
• Manufactured housing ABS
• Commercial MBS

Mortgage loans

• Fixed-rate and adjustable-rate
• Traditional and balloons
• Prepayment risk

Understanding Prepayment Terminology

• Voluntary versus involuntary prepayments
• Conditional prepayment rate (CPR)
• Prospectus prepayment curve
• Conditional default rate, losses versus defaults, loss severity

Passthrough securities

• Features of passthroughs
• Cash flow characteristics
• Average life
• Factors affecting prepayments
• Extension risk and contraction risk

Stripped mortgage-backed securities

Collateralized mortgage obligations

• Types of bond classes: sequential-pay; floating-rate; Inverse floating-rate; accrual bonds; PACs; support bonds; supports with schedules; TACs; and VADMs
• Interactions of bond classes on average life
• Re-Remics

Non-agency CMOs, HELs, and Manufactured housing

• Defaults and delinquencies
• Credit enhancement mechanisms
• Non-accelerated senior and PAC structures

Commercial Mortgage-Backed Securities

Analysis of Real Estate-Backed securities

• Static cash flow yield analysis: cash flow yield and its limitations; and nominal spread versus zero volatility spread
• Monte Carlo Method: option-adjusted spread; effective (OAS) duration; and special considerations for non-agency CMOs