Residential Mortgage-Backed Securities
Learning Objective: After taking this tutorial participants will have a thorough understanding of the various types of mortgage-backed products and types of bond classes in a collateralized mortgage obligation, the interaction of bond classes in a CMO, how to value these securities, and how to measure their interest rate risk.
Typical Schedule
Registration: 8:30-8:40am
Class: 8:40-5:15
Lunch: 12-12:45

COURSE OUTLINE:

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Residential Mortgage-Backed Securities

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

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

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

Locations of the tutorials and hotel information will be supplied with the confirmation of your registration. The registration fee for all tutorials includes a program notebook. Lunch is on your own. The tutorials are fully copyrighted by their respective speakers. No audio recording or videotaping is permitted.

Call (215) 598-8930 with questions, or email info2@frankfabozzi.com.

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