CMO, ABS & CMBS Securities

This seminar will focus on CMO, ABS & CMBS Securities. The marketplace for these instruments and their derivatives has grown tremendously in the past decade and this growth has caused a great increase in the complexity of these securities. The session will help the attendee gain a thorough understanding of how these instruments are structured, why they behave the way they do and the accounting and systems concerns which pertain to them.

Attendees will focus on gaining a broad, comprehensive knowledge of the various types of mortgage and asset backed securities which are bought and owned by institutional investors. We discuss why these instruments are created, how they are packaged and why institutional investors buy them. There will be a concentration on the various agency mortgage pools and substantial time spent on CMO and REMIC issues. A portion of the day deals with the many types of asset backed securities which are available today. All of the accounting, audit and information management issues regarding these securities are covered in detail.

• Introduction
• Fixed Income Issues
  • Par
  • Coupon
  • Yield
  • Weighted Average Life
  • Duration and Convexity
• The Marketplace
  • CMO
  • ABS
  • CMBS
• CMO Deal Structure
  • REMIC
  • Tranches
  • Sequentials
  • "Z"
  • PAC/TAC/VADM/AD
  • Support or Companion
  • Floaters and Inverse Floaters
• CMO Deal Variations
  • Agency Offerings
  • Private Label Offerings
  • Re-REMIC
• CMBS Deal Structure
  • Credit Enhancements
• ABS Deal Structure
  • Types of Assets
  • Deal Type Variations