Mortgage Related Securities

 

Strategy

  • Actively managed, high quality funds seek relative value in the MBS, ABS, CMBS and derivatives markets
  • Extensive application of derivatives to hedge duration, manage gamma and vega exposures, and add return
  • Flexible use of leverage through repo and mortgage TBA markets
  • Target effective duration of 0.1 years

Strengths

  • Extensive experience in MBS, mortgage derivatives, ABS, and CMBS markets
  • Risk management expertise and presence in derivatives markets
  • State-of-the-art proprietary systems for identifying relative value, optimizing portfolios, and controlling risks - built, tested and applied over past 15 years
  • Breadth of investment opportunities across Babson Capital Management, including private ABS and real estate structures

Investment Philosophy

  • Favor risk control vs. achieving the highest possible return at the expense of exposure to hidden or untested risks.
  • Typically offset negative convexity in cash assets via derivative positions
  • portfolios designed to benefit from interest rate volatility
  • purchase out of the money protection against uncertainty
  • Control leverage carefully, and expand only when it can be managed against potential loss with a high level of confidence
  • Avoid purchasing assets with high yields when they are overpriced and require stable valuations in order to achieve a high return.
  • Operate at a level of risk commensurate with values in the market

Product Strategy Style
Babson Quantitative Mortgage CDO Ltd. Alternative Structured Funds
Enhanced Mortgage-Backed Securities Fund Limited Alternative Structured Funds
Enhanced Mortgage-Backed Securities II Fund Limited Alternative Structured Funds
Enhanced Mortgage-Backed Securities III Fund Limited Alternative Structured Funds
Enhanced Mortgage-Backed Securities IV Fund Limited Alternative Structured Funds
Enhanced Mortgage-Backed Securities V Fund Limited Alternative Structured Funds