• 2000 Syllabus
• 1999 Syllabus

Assignments

Problem Set 1: Types of Mortgages (MBS1.doc)
Primer on Using Excel: pv.xls
APR Example: apr.xls

Problem Set 2: Mortgage Prepayments/Pricing the Prepayment Option (MBS2.doc)
Problem Set 3: Strips, CMOs, and Option-Adjusted Spreads (OAS) (MBS3.doc)
CMO Example: cmo.xls

HBS Case Study: Travelers Mortgage Securities CMO
Problem Set 4: PACs, TACs, Floaters, and Inverse Floaters (MBS4.doc)
Problem Set 5: Senior Subordinate Whole Loan CMOs (MBS5.doc)
Waterfall vs. Direct Write-Off Method of Allocating Losses: waterfal.xls

Problem Set 6: Commercial MBS (MBS6.doc)

Practice ExamFinal Exam: Thursday, July 23, 1998 
mbs_pexam.doc

More About MBS on the Web
 

MBS Topic	Websites
Mortgage News	National Mortgage News
Mortgage Reference Material	Dictionary on Fixed Income Terminology Fixed Income Glossary
Primers and Overviews on MBS/CMBS	Bond Market Association: Investing In Bonds LJH Global Investments: MBS Arbitrage
Wall Street Research Reports	Nomura: Commercial MBS Research Reports Lehman: ABS/MBS Weekly Reports Merrill Lynch Paine Webber Conseco: Fixed Income Report BARRA (Also search on other fixed income topics)
Trade Association Reports and Statistics on MBS/CMBS	Bond Market Association Inside Mortgage Finance Public Securities Association (PSA)
International Mortgage Securitization	The Financier (Securitization section) World Trade Executive (Featured Articles section) International Union for Housing Finance (go to lastest trends in international mortgage securitization) Treasury Management International (see esp. securitization and structured finance sections) MBS Information by Country Registered Australian Mortgage Securities (RAMs) Canada Mortgage and Housing Corporation Cagamas Berhad (Malaysia)
Rating Agencies Research Reports on MBS/CMBS	Fitch: Commercial Mortgages (Structured Finance) Duff and Phelps: Structured Finance
Regulatory  Agencies Reports	Comptroller of the Currency: Qtrly Derivative Reports,
Government Agencies/Government Sponsored Enterprises (GSEs)	Ginnie Mae (contains multifamily MBS data) Fannie Mae
Information on Private Label Deals	Mortgage Risk Assessment Corporation
Information on CMBS Deals	Bank One Mortgage Capital Markets Bankers Trust CSSA: CMBS Offering Information Corporate Trust Ginnie Mae GMACC LaSalle National Bank Midland Loan Services Muller Data Corporation Securities Link
Accounting Issues in MBS
Commercial Mortgage Origination (Examples)	Aegon GECC
Fixed Income Securities (General)	Bonds Online Convertible Bond Calculator