Structured Fixed Income

Approach

Specialist investor in a growing array of Securitized product over the last 30+ years. Today, we offer a range of strategies spanning the risk/return spectrum and the yield curve investing across Agencies securities, Agency Non-Guaranteed, Non-Agencies, ABS, CMBS, CLOs, rates and other credits. We believe our portfolios offer yield, return potential, downside protection, and a differentiated exposure, while emphasizing quality and liquidity.

Core Competencies

Experts in structured credit collateral and securitization
Ability to find well structured bonds that have stable cash flows across a range of interest rate scenarios
Advanced structural analysis, proprietary quantitative work, and deep fundamental research

Edge

Finding differentiated alpha opportunities across the Structured Credit spectrum
Managing volatility through a multi-faceted, opportunistic risk management approach
Early mover into new sectors as they emerge

Guiding Principles

Stability Across Scenarios

We prioritize finding well-structured bonds with stable cash flows that demonstrate resilience across a spectrum of interest rate scenarios.

Comprehensive Analysis

Our approach involves advanced structural analysis, proprietary quantitative work, and deep fundamental research to inform our investment decisions.

At M.D. Sass Fixed Income, our investment strategy is guided by key principles that underpin our approach to delivering value and resilience in the ever-evolving market environment.

Differentiated Alpha Opportunities

By exploring the entire Structured Credit spectrum, we identify and pursue differentiated alpha opportunities, ensuring a distinctive edge in the market.

Dynamic Risk Management

Our multi-faceted and opportunistic risk management strategy is tailored to manage volatility effectively, ensuring a balanced and resilient portfolio.

Philosophy

At M.D. Sass, our Structured Fixed Income philosophy is anchored in the pursuit of a well-balanced investment approach that seeks to harmonize stability and yield. Crafted through decades of market expertise, our philosophy is designed to navigate the complexities of the fixed income landscape, offering investors a reliable source of income with a risk-controlled methodology.

Crafting Portfolios Across the Risk/Return Spectrum

Short Term Agency

Agency Plus

Investment Process

MD Sass meticulously identifies alpha opportunities in structured credit markets with robust risk management. Investments cover Agency RMBS, Non-Agency, ABS/ESG-Infra/CMBS, catering to diverse objectives and risk appetites. To navigate, we focuse on Market Themes and Relative Value, dictating the investment outlook through comparative analysis. Idiosyncratic Opportunities capitalize on unique market conditions. Security selection is a critical step in the process where Synthetic Exposure or Leverage can be used to optimize implementation. Portfolio Management emphasizes Duration, Convexity, and Sector Weighting for balance. MD Sass's approach relies on a Risk Management framework, including Hedging, Alternative Risk Premia/QIS, and Cross-Sector analysis, forming a comprehensive process for sustainable, risk-adjusted returns.

In-Depth Collateral, Structural, and Interest Rate Analysis in our Investment Process

Collateral & Structure Analysis

Loan Seasoning
Housing prices / Loan to Value
Borrower Credit (e.g. FICO) and Loan Purpose (e.g. purchase, investor)
Loan Size and Geos concentration
REFI incentive (Spread at Origination)
Delinquency roll rate
Default and recovery
Servicer
Securitization structure (reverse remic)
Cash Flow Waterfall

Security & Interest Rates Analytics

Term Structure
Volatility
Option Adjusted Spread modeling
Prepayment Modeling
Credit Loss Modeling
Yield Curve Reshaping
Total Rate of Return Simulation
Prepayment Vector Stress Tests
Historical Regression and Correlation Analysis
Empirical modeling validation

Risk Management

At M.D. Sass Fixed Income, our commitment to excellence extends to our rigorous risk management practices. We understand that effective risk management is paramount to preserving and enhancing the value of our investors' portfolios. Here are the key elements of our risk management approach:

Why Structured Products?

In our view, Structured Credit securities by their nature are shorter duration, high cash flow assets that provide a differentiated exposure relative to traditional corporate credit which tends to dominate fixed income portfolios. As a result, we believe that, if properly constructed, Structured Credit portfolios can offer attractive returns with low relative risk profiles, which when added to other fixed income allocations, can lead to higher returns and decreased risk. In that way, we believe Structured Credit allocations can act as return enhancers, risk mitigators and diversifiers.