Course Guide

Mortgage Backed Securities Course

Participants structure, analyze, and price mortgage-backed securities - balancing prepayment risk, credit quality, and investor returns - in our Mortgage-Backed Securities Course.

Mortgage Backed Securities Course Overview

The Mortgage-Backed Securities Course places participants in the role of MBS analysts and structurers tasked with turning pools of residential mortgages into tradable securities.

Developed by structured finance specialists and academic experts, the course walks participants through the full securitization process - from evaluating borrower credit profiles to modeling cash flows, tranching bonds, and presenting offerings to investors.

Participants grapple with prepayment behaviour, default probabilities, and credit enhancements, just as real-world professionals must when designing and marketing mortgage-backed instruments.

This course is ideal for advanced finance, fixed income, or capital markets courses that want to bring MBS theory into practical application.

Mortgage Backed Securities Course Concepts

The course brings together key ideas in mortgage securitization and structured products, including:

  • Mortgage Pool Analysis: FICO scores, LTV ratios, geographic concentration, and default risk
  • Cash Flow Modeling: Scheduled payments, prepayments, delinquencies, and defaults
  • Prepayment Risk: PSA models, refinance behavior, and interest rate sensitivity
  • Tranching Structures: Senior-subordinate tranches, sequential vs pro rata pay, interest-only and principal-only tranches
  • Credit Enhancement: Overcollateralization, excess spread, reserve funds, subordination
  • Investor Considerations: Duration, convexity, yield, and risk appetite
  • MBS Market Context: Agency vs non-agency MBS, and post-crisis reforms

Gameflow

Mortgage-Backed Securities Training Workflow Diagram for Gameflow

What Participants Do

Participants act as MBS structurers and analysts at a fictional securitization desk. Over several rounds, they will:

  • Evaluate a pool of residential mortgage loans using credit and geographic data
  • Simulate cash flows under different prepayment and default scenarios
  • Design tranches with different risk-return profiles
  • Apply credit enhancements to improve creditworthiness and ratings
  • Price the tranches based on investor appetite and market conditions
  • Prepare investor presentations or internal memos justifying their structure

What Participants Learn

Through this course, participants gain an applied understanding of mortgage-backed securities, including how to:

  • Assess the credit quality and risks embedded in mortgage loan pools
  • Use prepayment models to forecast principal flows
  • Build and defend structured bond tranches based on investor needs
  • Balance returns, liquidity, and risk across senior and subordinate tranches
  • Communicate complex financial structures with clarity and transparency
  • Reflect on the regulatory and systemic role of MBS in financial markets

Why This Mortgage Backed Securities Course Works

Mortgage-backed securities are often introduced in abstract terms - but this course makes them tangible, dynamic, and high-stakes.

By giving participants full control over the MBS structuring process, the course reveals how small modeling choices and structural decisions can significantly affect investor appeal, credit risk, and long-term performance. It also provides space for discussing the 2008 crisis, risk mispricing, and the evolution of MBS regulation.

Perfect for courses in fixed income, securitization, or financial engineering, this course builds deep, lasting understanding of mortgage-backed markets.

Frequently Asked Questions