Investment Process

We believe that a detailed and thorough investment process is critical when investing in securitised assets to ensure capital protection while maximising returns. Blue Quay’s investment process, therefore, involves four structural and detailed steps.   The following information provides a general overview of each step:

  • 1


  • Identify universe of assets

  • Ongoing monitoring of existing stock (secondary market) and new issuance in the primary market

  • Sector comparable analysis for pricing and rating  (internal and external)

  • Overlay Macro environment to assess its potential performance

  • Analyse recent market dynamics and trends

  • Perform high level asset reviews for investment consideration including originator/servicer track record

  • 2


  • In-depth analysis of credit instruments and related parties

  • In-depth analysis of underlying pool

  • Thorough review of structure and legal documentation

  • Servicer/originator due diligence, including  on-site visits

  • Stress case scenarios cash flow modelling for  all parts of the capital structure

  • What happens at certain trigger and default  points, and the assets’ return dynamics

  • 3


  • An investment paper will be prepared for the investment committee to review

  • The paper will provide an investment  recommendation, focusing on the key findings from the due diligence process and a targeted  pricing and return profile for the asset including  a base case investment scenario

  • Investment Committee is updated on performance  of each asset on a monthly basis and will vote on  whether to hold or sell the asset

  • Each asset is run through a series of downside  scenarios to ascertain whether a default may take  place, as well as mark to market scenarios in  poor liquidity

  • 4


  • Monitoring: a detailed process will be followed for all  positions in the portfolio

  • Monthly review of investor reports and tracking of key credit metrics to identify early negative trends

  • Examples of key early risk indicators: macro environment, market dynamics for the asset, asset  performance vs. projections

  • We also monitor developments with the servicer/originator  which could have an impact on the deal performance such as  the company’s financial performance, changes to management,  changes to servicing platform

  • Management meetings/calls and market dialogue

  • Continued market research as to pricing trends

  • Weekly risk meeting to review macro and asset  specific developments