Mortgage-Backed Securities

Overview

The Mortgage-Backed Securities strategy invests primarily in agency mortgage-backed securities (MBS), with the ability to invest in Treasurys, U.S. agencies, and non-agency MBS. This strategy invests entirely in U.S. based issuers, so the credit risk is indirectly the U.S. government and U.S. taxpayers. The U.S. government remains AAA rated by the majority of major credit rating agencies, although guidelines have been adjusted to allow for AA-rated government-related securities. 


Why choose this investment strategy?

Our securitized debt team of portfolio managers, traders, and analysts leverage their diverse experience set and are guided by their thorough understanding of the entire cycle of mortgage trading. Building on this strong foundation our Mortgage-Backed Securities strategy can offer several benefits: 

 

  • An emphasis on proprietary research and analysis: A central theme defining our style is an emphasis on internal research and proprietary analytical modelling. Rigorous fundamental research drives every aspect of our investment process. We develop analytical tools and methods that provide us with a consistent foundation to measure and compare investment alternatives.  Our MBS Relative Value Model Pack is a weekly publication of over 50 discrete proprietary models examining the pricing relationship of the various subsectors of the agency MBS market: issuer; term; coupon; TBA vs pools; specified pool payups. We design our investment tools to identify and measure the likelihood of future performance including likelihood of potential loss. In a disciplined fashion, we connect our economic and inflation outlooks to our valuation models, and ultimately to bonds/positions in the portfolio. 
     
  • Established investment process, strengthened by an experienced team: Employing a co-management strategy and integrated risk-management approach, provides continuity of investment philosophy and process, unbiased investment guidance, and built-in controls to ensure our strategies and assumptions hold in a variety of economic scenarios. The breadth and structure of our experience allows for portfolios to be constructed in a manner that reflects meaningful investment opportunities while tailoring to client specific risk tolerance.  
     
  • A dedication to disciplined risk-management: We use state-of-the-art risk management techniques to assess new and evolving sources of potential risk that could affect portfolio performance. We broadly consider opportunities, evaluate risk from both a historical and future perspective, and engage in daily performance evaluation to ensure that we formally consider all opportunities and risks before selections are made.

Where Mortgage-Backed Securities invests:  

Currently our mortgage-backed securities strategy is comprised entirely of U.S.-based issuers. This means that the credit risk of this strategy is indirectly that of the U.S. government and U.S. taxpayers. The United States remains AAA-rated by the majority of major credit rating agencies and our guidelines are structured to allow for AA-rated government-related securities where necessary. 


Our investment style is rooted and defined by our emphasis on proprietary research. Using our FTV (fundamental, technical, and valuation) research approach, we create a framework for constructing portfolios that are stable, free from bias, and repeatable. Additionally, we maintain a proprietary database to assist in security selection, allowing us to determine the most attractive investment opportunities with respect to risk tolerance of individual clients.