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Fixed Income Part 2

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Fixed Income Part 2

Course Syllabus

01

Collateralized Mortgage Obligations (CMO) and CMO Tranches

02

Stripped MBS – Interest Only (IO) and Principal Only (PO)

03

Residential Non-Agency MBS

04

CMBS: Structure and Call Protection

05

Amortizing Loans vs. Non-Amortizing Loans

06

Overview of Asset Backed Securities (ABS)

07

Internal and External Credit Enhancements

08

Pay-through Structures: Prepayment Tranching vs. Credit Tranching

09

Home Equity Loans (HEL) Backed Securities

10

Manufactured Housing Backed Loans

11

Auto Loans Backed Securities

12

Student Loan Backed Securities (SLABS)

13

SBA Loan Backed Securities

14

Credit Card Receivable Backed Securities

15

Collateralized Debt Obligations (CDOs) and Synthetic CDOs

16

Cash Flow Yield, Nominal Spread, and Zero Volatility Spread for ABS/MBS

17

Monte Carlo Simulation for ABS/MBS

18

CFA Level 2: Fixed Income Part 2 – Introduction

19

Duration and Convexity for ABS/MBS

20

Mortgage Cash Flow Characteristics

21

Choosing an Appropriate Spread for ABS/MBS

22

Mortgage Pass-through Securities: Characteristics and Risks

23

Cash Flows and Prepayment Risk

24

Single Monthly Mortality (SMM) & Conditional Prepayment Rate (CPR)

25

PSA Prepayment Benchmark

What's Included:

eBook in PDF format

All code files used in the book

All data files used in the book

All related book resources

Topics Covered

Securities & Markets

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