Structured Securities: MBS, ABS and CDOs/CLOs

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Course Features

  • Course date:08/21/2019
  • Course Duration: 1 Day
  • Level: Intermediate
  • Prerequisites: None
  • Method: Live & Virtual
  • Venue: MicroTek
  • Time: 9:00 am – 5:00 pm
  • Dress Code: Business Casual
  • Category:
  • Certificate: Yes
  • CPE Credits: 7
  • Course Code: 804

OVERVIEW OF STRUCTURED SECURITIES

  • Asset Securitization
    • Bankruptcy remote special purpose vehicle (SPV)
    • Collateral pool/asset portfolio
    • Desirable characteristics of securitized assets
    • Economic drivers of asset securitization
  • Cash distribution
    • Pass-through securities – pro rata distributions to all investors
    • Structured payouts – time or seniority based prioritized return of principal

 

MORTGAGE BACKED SECURITIES

  • Overview of MBS Market
  • U.S. Mortgage Agencies: GNMA, FNMA and FHLMC
  • Types of Mortgages
  • Agency Pass-through Securities
    • Structure of pass-throughs
    • Characteristics of mortgage pools
    • Tracking cash flows from mortgagors to investors
  • Analysis of Agency Pass-through Securities
    • Prepayment risk (uncertain average lives)
    • Negative convexity – the impact of the prepayment risk on MBS values
    • Projecting MBS cash flows using PSA and CPR speeds
  • Agency Collateralized Mortgage Obligations (CMOs)
    • Structure of CMOs: types of collateral pools and prioritized payouts
    • Major types of tranches: sequential pay, Zs (accrual) and PACs
  • Non-Agency CMOs
    • Collateral pools and the impact of collateral quality on risk and return
    • Senior/subordinated structure and other types of credit enhancements

 

ASSET BACKED SECURITIES

  • Overview of Asset Backed Sector
    • Factors driving the growth of asset securitization
    • Role/motivation of sponsors in single and multi-originator issues
    • Returns to investors versus interest rates on assets in collateral pool
  • Auto Loan/Lease Finance Asset Backed Securities
  • Credit Card Receivable Asset Backed Securities

 

COLLATERALIZED DEBT/LOAN OBLIGATIONS (CDOs/CLOs)

  • Comparison of CDOs/CLOs to ABS and MBS
  • CDO/CLO Lifecycle
    • Creation/initial funding by sponsor
    • Ramp up of collateral pool funded by tranche issuance proceeds
    • Revolving period cash flows
    • Amortization phase cash flows and maturity
  • Types of CDOs/CLOs
    • Arbitrage versus balance sheet
    • Cash versus synthetic
  • CDO/CLO Cash Flows
    • Seniority bases prioritized payment of interest and return of principal
    • Cash flow waterfall
    • Principal and interest coverage tests

Instructor

  • John Donato has a broad range of experience in the financial industry, including trading, brokering, and designing many aspects of real-time fixed income and foreign exchange trading systems for interdealer markets. John began his career with trading and risk management roles in fixed income and foreign exchange markets with commercial banks in New York. Among …
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