Fixed Income Structured

This breaks down structured fixed income products like MBS, ABS, and CLOs with a focus on prepayment modeling and tranching mechanics. It covers PSA prepayment speeds, the CPR to SMM conversion, weighted average life calculations, and how CMO tranches redistribute cash flows. The skill walks through waterfall structures and subordination levels with concrete examples, like calculating that a CLO's AAA tranche with 35% subordination can absorb significant losses before taking principal hits. The key insight here is the treatment of negative convexity in MBS, explaining why you can't use standard duration metrics when cash flows change with rates. Useful when you need to model prepayment risk or understand how securitization redistributes credit and interest rate exposure across tranches.