ZAIS PRODUCTS
PRODUCTS AT A GLANCE
INVESTMENT APPROACH
Strategy
Process
Analysis
ZAIS Investment Strategy
ZAIS' core investment strategies include extensive due diligence and use of our proprietary analytical models to analyze and select investments for our funds. Our strategy features several key components:
Quantitative cash-flow and scenario analysis using ZAIS proprietary models:
Complete Cash Flow and waterfall modeling
Analyzing underlying collateral portfolios & cash flows
Calculating correlation among asset pools
Analyzing underlying security vintages
Evaluation of risk/return profiles of various underlying asset classes
Analyzing historic and market implied loss profiles
Full structural and legal analysis
Complete review of deal’s documentation
Examination of Rating Agency constraints including concentration limits, subordination, over-collateralization, call premium, diversity score, etc.
Analyzing legal issues like voting rights, tax issues etc.
Ongoing dialogue and communication with involved parties and market participants
Extensive rating agency contacts and dialogue
Daily involvement in the primary & secondary market with close relationships to both sell side and buy side parties
Close relationships to collateral managers and servicers with frequent due diligence meetings
Significant involvement in the academic development of the space
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