Comprehensive and Value Add Portfolio Management Services

The Angel Oak Difference

Our diverse and experienced team is composed of former bank CFOs, bank portfolio managers, and bank regulators. We have deep financial services expertise with a practitioner’s perspective on risk governance and balance sheet management. In our role as a manager of investment managers, we have developed strong industry relationships that facilitate efficient security sourcing and trade execution. Our investment experience spans both distressed and opportunistic market cycles in traditional multi-billion dollar MBS and structured credit portfolios.

Our 5-Step Portfolio Management Process

Market Overview

A consistent flow of the latest market information is delivered to bank management to identify opportunities and risks to the portfolio and balance sheet.

Market information relevant to the institution includes:

  • Federal Open Market Committee (FOMC) update and outlook
  • Historical asset class performance data
  • Macroeconomic data
  • Angel Oak views and observations delivered consistently via weekly, monthly, or quarterly conference call or meeting

Portfolio Analytics

Angel Oak evaluates the entire portfolio in light of the overall balance sheet, ALCO, and investment policy statement and makes relative value investment decisions combining both quantitative and qualitative analytics. Portfolio analytics include:

  • Duration, convexity, and average life
  • Book value, market value, book yield, and market yield
  • Asset class exposure
  • Illustrative monthly or quarterly changes
  • Return scenarios reflecting current market conditions and various rate/curve shocks, e.g. bear steepener, bull flattener, +100 bps
  • Cashflow forecasts based on multiple future interest rate scenarios
  • Asset class subsector breakdown measuring return performance and cash flow sensitivity of each asset class in multiple rate scenarios

Pre Purchase Analytics

Each potential investment decision is coupled with an intense pre-purchase analysis relevant to each specific asset class. Pre-purchase analytics adhere to recent OCC guidance for national banks and federal thrifts (OCC FR 35259 6/13/12) which requires an investment grade standard independent of ratings. Pre purchase anayltics include:

  • Duration, convexity, and average life
  • Yield, yield to worst, OAS, and discount margin under various stress scenarios
  • Subordination, waterfall mechanics, structural triggers
  • Covenants, events of default, and liquidation

Post Purchase Analytics

Once an investment decision is made an ongoing post-purchase analytics package is included for each asset class. The combination of the robust pre-purchase and post-purchase analytics adhere to recent OCC guidance and corroborate an investment grade standard independent of rating agencies. Post-purchase analytics include:

  • Duration, convexity, and average life
  • Cusip level performance analysis utilizing proprietary models, Intex, and Yieldbook
  • Identification of underperforming and deteriorating securities and potential hold or sell candidates
  • Determination of risk-weights based on the new standardized approach

Regulatory Surveillance

Angel Oak stays abreast of the dynamic regulatory environment, adheres to the latest guidance, and maintains best practices while maximizing total return. Regulatory surveillance includes:

  • Information and interpretation of the most recent regulatory changes affecting the investment portfolio
  • Accompanied analytics required by regulatory requirements such as SSFA calculations
  • Determining the appropriateness of investment decisions based on regulatory risks and constraints

Recent Insights

Model Risk Management Framework and Related Regulatory Guidance

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