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FINANCIAL MARKET COURSES

Securitization - Mortgage-Backed Securities (MBS)

This course focuses on mortgage-backed securities, both in the United States and elsewhere on the globe. It examines the scale of the markets and the key characteristics as regards the underlying collateral and the construction of the subsequent securities. In particular, it highlights the areas of prepayment risk and the sequential repayment of different classes of mortgage-backed securities.

  • OBJECTIVES

    On completion of this course, you will be able to:

    Identify the major features of mortgage-backed security markets in the United States and across the globe

    Explain the characteristics of mortgage collateral pools

    Describe how subsequent securities are differentially structured in order to balance investor appetite with collateral risk

  • COURSE OUTLINE

    Topic 1: The Development of the MBS Market

    From Zero to Hero?

    Development of the Market

    Topic 2: The Collateral Pool

    Types of Mortgage Loan

    o ‘Conforming’ Mortgages

    o Non-Agency Mortgages

    CMBS and HELs

    Fixed & Variable Rate Mortgages

    Repayment Characteristics

    Prepayments

    Static Prepayments

    PSA Measurements

    Static Prepayment Models

    Dynamic Prepayment Models

    Topic 3: Security Types

    The Transmission Mechanism

    Rating Agencies

    Credit Enhancement

    CMO Variations

    o PACs and TACs

    o Z-bond

    o Floaters

    o Interest-Only (IO) an Principal-Only (PO) Securities

    Non-US MBS Markets

    Different Currencies

    UK Master Trust Structure

    Pool Terminology

  • PREREQUISITE KNOWLEDGE

  • ESTIMATED COMPLETED TIME

    90 Minutes

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