our SERVICES
Portfolio Diagnostics
Through Portfolio Diagnostics services, Sage can create independent and objective analyses of existing portfolios. Sage’s analytic systems and research team are able to provide accurate market-based appraisals and risk assessments of individual securities and total portfolios. Based on our analyses, we can offer individual security transaction or portfolio redesign recommendations that seek to improve a client’s portfolio’s performance.
- Security Analysis and Valuation
- Sage analyzes the current risk characteristics, cash flows, and total return profiles of individual securities within an option-adjusted framework. Sage is able to review and evaluate a security’s individual risk characteristics (i.e. credit, maturity, and option features) within a static and dynamic market environment. Sage can provide effective security values, as well as measure the impact on a security from changes related to interest rates and other variables. This analysis extends to total return simulations and projected cash flows for a variety of specified time horizons.Sage can generate Option Adjusted Spread (OAS) based analysis for all security types. This service extends to the valuation of various embedded security options under specified yield curve or term structure volatility scenarios. Sage can drive and provide security prepayment probability analysis, as well as spread duration and volatility risk measures.
- Risk Analysis
- Sage is able to provide extensive portfolio risk analyses, which compare relevant core risk attributes to market indices and/or customized liability benchmarks. These analyses include daily statistical comparisons of fundamental portfolio characteristics, risk distributions, and dynamic return simulations. Sage is able to calculate the following risk measures for individual securities, as well as total portfolios: Vega; prepayment uncertainty; spread duration; and OAS using dynamic market volatility assumptions. These measures help to quantify portfolio risk levels, as well as identify the source and level by individual security.
- Horizon Return Analysis
- Sage is able to provide dynamic portfolio and security analysis for single or multiple time periods. This service includes the construction of market and book value return simulations over specified time horizons under parallel interest rate shifts and/or specified yield curve scenarios. Sage is able to provide comprehensive “what if” analysis to determine the impact of potential transactions on a portfolio’s core risk attributes and projected horizon returns.
- Cash Flow Sensitivity Analysis
- Sage can forecast portfolio and individual security cash flows under static and dynamic interest rate scenarios. The Company can provide projected cash flow analysis detailing the timing and composition of portfolio and/or individual security cash flows over specified horizons. Sage is also able to generate a comprehensive gap analysis detailing the weighted average market and book yields for portfolio holdings that will pay down, mature, or reset over a specified time horizon.