May 2017

Structured Credit Investor
“CRT customisation gains traction”

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Definitions

GSE credit risk transfer (CRT): First issued in 2013 by Fannie Mae and Freddie Mac in efforts to convey portions of their previously retained credit risk for the Agency mortgages they guarantee to the private sector.
CAS: Connecticut Avenue Securities, a CRT issuance by Fannie Mae.
STACR: Structured Agency Credit Risk, a CRT issuance by Freddie Mac.
TRACE: Trade Reporting And Compliance Engine, the FINRA-developed vehicle that facilitates the mandatory reporting of over-the-counter secondary market transactions in eligible fixed income securities.
CAS 2016-C06 1M2: A series/bond which can subsequently be exchanged.
1M2I (IO):  A tranche name.
1M2T (senior):  A tranche name.
1M2B (sub):  A tranche name.
STACR 2015-DNA2 M3:  A series/bond which can subsequently be exchanged.
M3F (reduced coupon):  A tranche name.
M31 (IO):  A tranche name.
STACR 2015-DNA3 M3:  A series/bond which can subsequently be exchanged.
STACR 2017-DNA1 M2:  A series/bond which can subsequently be exchanged.
M2R (reduced coupon):  A tranche name.
M2I (IO):  A tranche name.
LTV: Loan-to-value ratio, a term typically used to express the ratio of a loan balance to the estimated value of an asset.
REO: Real estate owned, a term typically used to describe a property owned by a bank/lender.
HPA: Home price appreciation.
NAIC: National Association of Insurance Commissioners, a nationwide organization whose main responsibility is to regulate the insurance industry.
Bp: Basis point, a common unit of measure for interest rates. One basis point is equal to 1/100th of 1%, or 0.01%.
REMIC: Real Estate Mortgage Investment Conduits, a complex pool of mortgage securities created for the purpose of acquiring collateral.


Past performance does not guarantee future results.

The top ten holdings of the Semper MBS Total Return Fund as of May 17, 2017 did not include any securities referenced in the article.
Fund holdings and/or sector allocations are subject to change at any time and are not recommendations to buy or sell any security.
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.