Outcome: The sub-sector looks favorable to other securitized product sub-sectors. Decide to perform further analysis on a security
• Relative value across securitized
products
• Market technicals
• Fundamental outlook for CRE,
housing, consumers, industry (autos,
rental car, etc.)
• Public policy & regulation
• Litigation strategies
• Perform due diligence as necessary on
issuers and key deal agents
• Develop and refine overarching ESG
considerations for analysts to use in
determining ESG ratings and
engagements
Securitized products portfolio managers and research analysts develop top-down views by assessing:
Thematic and
Qualitative Assessment
1
Outcome: Analysts provide internal rating and risk assessment to portfolio managers
• Evaluate security collateral
characteristics to assess risk
• Analyze security structure to determine
risk relative to expected return
• Establish expectations for security
collateral performance and robustness
of deal structure
• Run quantitative models under base
and stress scenarios to estimate relative
value of security vs. other investments
• Assign internal credit ratings and ESG
ratings and risk assessment of security
and other securities
Sub-sector research analysts:
Collateral &
Security Analysis
Outcome: Portfolio managers determine whether they will purchase a security
• Evaluate the security relative value vs.
other securitized products
• Determine how well the security fits in
the portfolio given guidelines, risk
budgets, and current investment themes
• Assess how the addition of the security
impacts sub-sector allocations in the
portfolio
3
Outcome: Portfolio managers continue to monitor the positioning within the portfolio
• Review risk positioning daily
Sub-sector portfolio managers and risk managers:
Risk
Monitoring
• Run quarterly surveillance reports to
evaluate security collateral performance
and review findings with portfolio
managers
Sub-sector research analysts:
2
Portfolio
Construction
Sub-sector portfolio managers:
4
Securitized Product Investment Process
Click through the timeline to learn more
Securitized Product Investment Process
Click through
to learn more
• Evaluate security collateral
characteristics to assess risk
• Analyze security structure to determine
risk relative to expected return
• Establish expectations for security
collateral performance and robustness
of deal structure
• Run quantitative models under base
and stress scenarios to estimate relative
value of security vs. other investments
• Assign internal credit ratings and ESG ratings and risk assessment of security
and other securities
Sub-sector research analysts:
Collateral &
Security Analysis
2
Outcome: Analysts provide internal rating and risk assessment to portfolio managers
Securitized Product Investment Process
Click through
to learn more
• Evaluate the security relative value vs.
other securitized products
• Determine how well the security fits
in the portfolio given guidelines, risk
budgets, and current investment
themes
• Assess how the addition of the security
impacts sub-sector allocations in the
portfolio
Sub-sector portfolio managers:
Portfolio
Construction
3
Outcome: Portfolio managers determine whether they will purchase a security
Securitized Product Investment Process
Click through
to learn more
• Run quarterly surveillance reports to
evaluate security collateral
performance and review findings
with portfolio managers
Sub-sector research analysts:
• Review risk positioning daily
Sub-sector portfolio managers and risk managers:
Risk
Monitoring
4
Outcome: Portfolio managers continue to monitor the positioning within the portfolio