January 2018

Structured Credit Investor
“Non-QM tipped as ’next opportunity’”

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Non-QM: Non-qualified mortgages.
ABS: Asset-backed securities.
REIT: Real estate investment trust.
GSE: Government-sponsored entity.
MACRs: Modifiable and combinable REMICs (a special purpose vehicle (SPV) that is used to pool mortgage loans and issue mortgage-backed securities).
CAS: Connecticut Avenue Securities, a CRT issuance by Fannie Mae.
STACR: Structured Agency Credit Risk, a CRT issuance by Freddie Mac.
Cash flow: Mortgages typically have required monthly interest and principal payments which are collected by servicers of mortgage-backed securities trusts, which in turn distribute these payments to MBS investors.
NPL/RPL: Non-performing loans/Re-performing loans.
RMBS: Residential mortgage-backed securities.
Duration: Measure of a bond or bond portfolio’s sensitivity to changes in interest rates.

Past performance does not guarantee future results.

The opinions expressed are those of the Portfolio Manager and are subject to change, are not guaranteed, and should not be considered recommendations to buy or sell any security.