Agency and Non-Agency Mortgage Backed Securities (MBS)


From asset-backed securities to credit-linked notes, our securitization courses are designed to include all aspects of securitization. Securitization is the process through which loans or debts are pooled together to create new debt security. Although corporate debt is typically an IOU, by which the issuer agrees to pay interest in addition to repaying the principal amount borrowed, the note created in the securitization process relies on the underlying loans used in the pooling process to pay interest and repay debt.

  • Date: TBD 2023
  • Recommended CPE Credits: 2.4
  • Duration: 2 Hours
  • Time: 1:00-3:00 p.m. ET


Mortgage Backed Securities (MBS) comprise one of the largest fixed income sectors, second only to US Treasuries. This course evaluates the features of MBS, such as prepayments, and their impact on valuation. Risk measurements including effective duration, effective convexity, and option-adjusted spreads are explored. Bloomberg screens are used to solidify the major points. The course will primarily focus on agency MBS, but private label MBS will be introduced and their features and characteristics discussed. Agency Collateralized Mortgage Obligations (CMOs) are examined utilizing relevant sections of an actual deal prospectus to highlight the major features. Finally, the way in which these instruments should be incorporated into a fixed income portfolio strategy will be explored.

Course Objectives

By the end of the course, participants will be able to:

  • Identify the features and characteristics of agency MBS, CMOs, and private label MBS
  • Analyze prepayment dynamics and associated risk measurements:
    • SMM, CPR, and PSA
  • Discuss the variety of risk measurements associated with MBS
  • Analyze Bloomberg screens available to market practitioners for investment and risk management purposes
  • Evaluate basic structures of CMOs, including sequential pay structures and Planned Amortization Classes (PACs)

Suggested Prerequisites:

  • Fundamentals of the Capital Markets/Securities Industry
  • Fixed Income or equivalent knowledge

Program Level: Foundational

Target Audience: Anyone who wants to learn about the Mortgage Backed Securities markets, such as staff from middle office, operations, IT, compliance, legal, or HR, and regulators who work closely with various aspects of the securitized markets.

Advance Preparation: None

Computers and Financial Calculators: Calculators

Recommended CPE Credits: 2.4

Duration: 2 hours

Time: 1:00-3:00 p.m. ET

Price: $279/learner