Consultation and Management for Structured Finance Holdings
We offer a fresh perspective on the risks in structured finance securities, providing analytical rigor and judgment on asset valuations, volatility ranges and tail risk.
UNIVERSE OF ASSETS: Agency and Non-Agency RMBS, CMBS, CDO, Consumer ABS, Derivatives.
- Insight into the portfolio’s long term performance potential and likely volatility.
- If desired, disciplined liquidation of the portfolio to maximize proceeds.
- Rebalancing to reduce volatility while minimizing loss realization.
- Rebalancing to maximize recovery and identify reinvestment opportunities.
DECLARATION SERVICES
- Validate pricing and holdings. Reconcile to custodian and incumbent manager.
- Produce loss adjusted cash flow projections on each holding.
- Map price volatility estimates to portfolio holdings.
- Stress test each asset to identify break points and suggest hedging strategies.
- Insight into the effect of public policy on Agency MBS and RMBS.
- Consult closely with client staff, board members and consultants to provide transparency and insight. Provide detailed monthly reporting.
WHY DECLARATION?
- DMR has gained approximately $1 billion in structured finance assets in-kind from clients' former managers since 2009.
- 20 years of structured finance experience.
- Proprietary research and loan-level performance modeling.
- We are an active investor in today’s market with extensive knowledge of security flows and technicals.