Wall Street Prep
Mortgage Backed Securities
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Mortgage Backed Securities

30 Lessons
2h 25m
53,234 Students

Master the mortgage market, the second-largest bond market. Go from theoretical to practical and see how mortgages are analyzed on Bloomberg.

Why You Should Take This Course

This course has everything you need to work with mortgage backed securities. You'll explore both CPR and PSA prepayment models; speed through Bloomberg Analytics; and master advanced bond math.
  • Discover how prepayments impact returns Mortgage loans are prepayable. Unlike other bonds that have fixed payments, MBS cashflows are dynamic. We will explore both the CPR and PSA prepayment models as analyze how changing prepayment speeds impacts Weighted Average Life, yields, and spreads.
  • Speed through Bloomberg Analytics Bloomberg has rich mortgage analytics that are used by Mortgage Traders and Investors daily. From diving into details on collateral pools to running Interest Rate sensitivity analysis on yields and spreads, you will learn how it’s done on Wall Street.
  • Master advanced bond math We will demystify complex bond math topics including convexity and option adjusted spread. Develop an intuitive sense of how changing market interest rates will impact a bond’s payout profile and then be able to quickly evaluate whether the bond yield will increase, or decrease based on the new payout profile.

This course is part of the Fixed Income Markets Certification (FIMC©), a complete course that teaches you the skills you need to succeed as a Fixed Income Trader on either the Buy Side or the Sell Side.

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What You'll Learn

  • Mortgage Cashflows
  • Convexity
  • Option Adjusted Spread
  • TBAs and Dollar Roll
  • Remics and CMOs

Course Samples

Introduction to Mortgage Backed Securities
Overview of the Mortgage Backed Securities Market
Creation of MBS, TBA Market

Get the Fixed Income Markets Certification

This course can be taken standalone, or as part of the Fixed Income Markets Certification Program. Graduates of the program earn a Wall Street Prep certification that can be shared with potential future employers.

Course Extras

  • Taught by bankers

    Our instructors are former investment bankers who give lessons real-world context by connecting it to their experience on the desk.

  • Earn a Certification

    Take this course standalone, or, to earn a shareable certification, as part of Wall Street Prep's Fixed Markets Income Certification Program.

  • Used on the Street

    This is the same comprehensive course our corporate clients use to prepare their analysts and associates.

  • Free Unlimited Access to the WSP Support Center

    Receive answers to questions, free downloads, and more from our staff of experienced investment bankers

Course TOC

Mortgage Backed Securities
1 Introduction 0:29
2 Overivew of the Mortgage Backed Securities Market 8:03
3 Introducing MBS Pass-Thrus 7:15
4 Mortgage Cashflows 4:43
5 Exercise: Calculating Mortgage Principal and Interest Payments 3:49
6 Exercise Solution: Calculating Mortgage Principal and Interest Payments 4:05
7 Variations of Mortgages: Fixed vs. Adjustible Rate 3:56
8 Prepayments and Refinances of Mortages 5:52
9 Exercise: Mortgages Prepayments 5:43
10 Exercise Solution: Mortgages Prepayments 2:41
11 CPR Prepayment Model 5:08
12 PSA Prepayment Model 4:03
13 Exercise Solution: PSA Prepayment Model 2:46
14 Modified Duration Review 3:16
15 Convexity 5:19
16 Impact of Rate Changes on Prices 5:29
17 Impact of Rate Changes on Duration 6:23
18 Collateral Details of a Mortgage Pool 3:51
19 Analyzing Collateral Metrics on Bloomberg 5:14
20 MBS Yield Table - Interest Rates vs. Prepayments 6:02
21 MBS Yield Sensitivities to Average Life 4:21
22 Option Adjusted Spread (OAS) 5:34
23 Option Adjusted Spread on Bloomberg 2:27
24 Creation of MBS, TBA Market 6:50
25 Analyzing TBAs on Bloomberg 4:32
26 Mortgage Rate Locks and the Dollar Roll 4:51
27 Exercise: Dollar Roll 8:13
28 Exercise Solution: Dollar Roll 6:13
29 REMICS and CMOs 7:27
30 QuizMortgage Backed Securities Quiz
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