Global Securitized Strategy
Global Securitized Strategy

Global Securitized Strategy

 
 
 
Summary

The Global Securitized Strategy is a differentiated, value-driven approach to investing in securitized debt. The strategy seeks to provide an attractive rate of return through investment in a portfolio of mortgages and securitized debt instruments issued by  government agencies and private institutions. The strategy applies a consistent, thematic, targeted bottom-up approach investment process that combines global macro fundamental analysis, thorough research and analysis of industry trends to create a diversified portfolio of securitized instruments.

>80%
Typical U.S. Exposure
150-200
Typical Number of Holdings
50%
Below Investment Grade
 
 
Investment Approach
Philosophy

The team believes that successful investing in securitized debt requires a long-term perspective, a disciplined investment process, and a commitment to research. They believe superior long-term returns can be achieved by combining strategic portfolio-structure decisions with sensible valuation methodologies for selecting specific investments. Careful analysis of mortgage market fundamentals must be grounded in price-valuation disciplines, and these analyses must be re-examined on an ongoing basis to ensure their continued value.

Securitized product transactions are over the counter (“OTC”) and span many different time zones and geographic regions. With a new issue market and scattered secondary market, the ability to effectively transact on an idea makes a substantial difference. As experienced and informed investors the team is better equipped to assess both the historical and current risk/return profile of a security. Additionally, they emphasize the importance of knowing how to engage with the market, and where to source investment offers.

 
Differentiators
The Experience of the Firm and breadth of the team

The team's senior management team has an average of over 17 years of investment experience and have invested through a number of credit and prepayment cycles. They have established a structured approach to investing, which integrates research with portfolio management and trading. 

Advanced Proprietary Analytics

The team's proprietary models focus on three analyses: prepayment, borrower credit/default and default recovery. These data-intensive models utilize loan-level data such as up-to-date credit bureau records, and asset transaction information (by product type and to the zip code level) to assess information such as each borrower’s mark-to-market Loan to Value (LTV). Prepayment models focus not only on interest rate incentives, but also on borrower ability to refinance due to credit and eagerness to provide the necessary documents and money.Credit models use updated FICO scores to gauge the potential for borrower defaults. The recovery model focuses on asset values and potential recovery costs.

Exceptional Structural Knowledge

The securitized products team’s deep knowledge of capital structures and their inherent strengths and weaknesses is a significant competitive advantage in exploiting inefficiencies in the securitized products market. The team's ability to reverse-engineer deal cash flows allows them to fully understand structures. Regardless of a deal’s structuring, its cash flows in total cannot be more than those of the underlying collateral (creation value). Utilizing this, the team can compare creation value of securities versus their market price and identify those that are fundamentally cheap.

 
 
 
Investment Process
1
Value identification

Our approach to identifying value starts with a strategic review of the securitized universe, including macroeconomic trends in the capital markets and where we are in the economic and business cycle. We also look at interest rate trends, the yield curve and volatility in the market. Sector themes including demand from the Government Sponsored Enterprises (GSEs), banks, overseas investors and major domestic institutions as well as relative value themes are of importance in this top down review. Next we take a look at the relative value in the universe and drill down further into the bottom up security selection process including analyzing and determining our yield curve strategy and individual security types. 

2
Implementation

To ensure implementation of the most appropriate collection of value ideas, senior representatives drawn from the various research teams review the broad opportunity set and establish systematic risk targets for portfolios; portfolio managers then create portfolios to attain these targets, subject to applicable guidelines and constraints, and a team of dedicated traders then executes the trades.

3
Evaluation

Our evaluation phase involves the use of our proprietary risk management and attribution systems; these systems allow us to measure and manage portfolio risk on a daily basis, and help assess the impact of our key investment decisions on investment performance.

 
 
Portfolio Managers
Managing Director
26 years industry experience
Managing Director
33 years industry experience
 
 
 
 

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