The Fundamentals of MSR Hedging

In order to successfully hedge Mortgage Servicing Rights (MSR) assets, institutions need a sophisticated approach utilizing robust analytical systems that can properly model the negative convexity of the asset, as well as the human capital in place to properly manage these systems/models. In this session, we will review two ways to hedge an MSR asset and how each one impacts risk-adjusted returns in order to help your institution meets its financial goals.

 

Learning Objectives:

  • Review current market trends
  • Recognize the movements in MPH portfolios
  • Understand the balance sheet impacts

*CPE Credit is available

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Robert Perry

Robert Perry

Principal

Robert Perry is a Principal at ALM First Financial Advisors, joining the firm in 2010. Robert leads ALM First’s ALM and Investment Strategy Groups and is responsible for the development of asset liability and investment portfolio themes for the firm. He also provides strategic focus for financial institution client portfolios that are primarily invested in the high credit quality sectors, and is instrumental in balance sheet hedging strategy development.

Rachel Acers

Rachel Acers

Director, Advisory Services

Rachel Acers joined ALM First Financial Advisors in 2017. As a Director for the firm, Rachel is primarily responsible for the client’s management team to customize and implement actionable and effective ALM and investment strategies to maximize client performance. Additionally, Rachel proactively designs sensitivity analyses and scenarios to test client balance sheet exposure to various factors and formulates action plans to optimize client performance within policy and risk tolerances. As a Director, Rachel also ensures that clients receive accurate and timely information.

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The Fundamentals of MSR Hedging

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