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.

 
 
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.

Global-Fixed-Income-A-Disciplined-Investment-Process_1000px_FINAL-2
 
 
Portfolio Managers  
Gregory Finck
Gregory A. Finck
Managing Director
31 years industry experience
Matt Buckley
Matthew T. Buckley
Executive Director
18 years industry experience
 

Effective 16 December 2022, Matthew Buckley was added as Portfolio Manager on the Strategy and Neil Stone is no longer serving as Portfolio Manager on the Strategy. 

 
 
 
 
 

ご案内の運用戦略の中には、日本でご紹介していないものも含まれています。また、受託資産額が運用上限に達したため受託を一時的に停止している運用戦略が含まれている場合があります。詳細につきましては、お問い合わせ下さい。

リスクについて

受託資産の運用は、受託資産に組入れられた株式その他の有価証券等の価格変動リスクや株式その他の有価証券等の発行体の信用リスク等による影響を受けます。受託資産の運用による損益はすべてお客様に帰属し、元本が保証されているものではなく、元本損失又は受託資産に関して行われる取引に際し預託すべき委託証拠金その他の保証金の額を上回ることとなるおそれがあります。個別の受託資産ごとに投資対象資産の種類や投資制限、取引市場、投資対象国等が異なることから、リスクの内容や性質が異なりますので、投資一任契約を締結する際には、契約締結前交付書面をよくご覧ください。

受託資産の運用に係る費用について

投資顧問契約及び投資一任契約に係る投資顧問報酬として、契約資産額に対して年率2.20%(税込)を上限とする料率を乗じた金額が契約期間に応じてかかります。投資一任契約に基づいて投資信託を組み入れる場合は、投資する投資信託に係る費用等が投資顧問報酬に加えてかかる場合があります。また、一部の戦略では投資顧問報酬に加えて成功報酬がかかる場合があります。その他の費用として、組み入れ有価証券の売買手数料、先物・オプション取引に要する費用、有価証券の保管費用等を間接的にご負担頂いただく場合があります。これらの手数料等は契約内容、契約資産の額、運用状況等により異なる為、事前に料率、上限額等を示すことができません。

当ページの情報は、モルガン・スタンレー・インベストメント・マネジメント株式会社(以下、当社)が、投資一任契約においてご提供する運用プロダクトについての情報提供を目的として作成したものです。本資料は当社が信頼できると判断した情報を元に、十分な注意を払い作成しておりますが、当社はその正確性や完全性をお約束するものではありません。

 

This is a Marketing Communication.

モルガン・スタンレー・インベストメント・マネジメント株式会社
金融商品取引業者 関東財務局長(金商)第410号

加入協会:日本証券業協会、一般社団法人投資信託協会、
一般社団法人日本投資顧問業協会、一般社団法人第二種金融商品取引業協会


プライバシー・ステートメント    •    利用条件    •    オフィス所在地    •    日本におけるモルガン・スタンレー

©  Morgan Stanley. All rights reserved.