Cello offers an alternative fixed-income investment strategy with a 15-year track record.

We seek to generate attractive returns for our clients by using our deep knowledge and expertise in Mortgage-Backed Securities.

Agency Mortgage-Backed Securities

In the world of fixed-income investments, Agency MBS are bonds that have traditionally provided attractive returns without sacrificing liquidity or credit risk.

Agency MBS are home loans pooled and packaged into tradable bonds guaranteed by the U.S. government or government-sponsored enterprises (GSE)².

Security

Guaranteed by the U.S. government or GSEs²

Liquidity

$300B in daily trading volume³

Yield

High risk-adjusted yields for bond market

Higher yields are possible due to MBS’ inherent risk of loan prepayment from refinancing, home sale, or defaulting.

the MBS prepayment opportunity

For 15 years we have monetized prepayment risk to achieve attractive returns for our clients.

Homeowner behavior in paying off their mortgages (“prepayments”) is the single most important factor that drives MBS cash flows and valuations.

Attributes that affect prepayments:

  • Mortgage Rate

  • Loan Size

  • Housing Price

  • Credit Score

  • Servicer

  • Employment

  • Tax Rate

  • Regulation

  • Geography

  • Occupancy Type

  • Origination Year

  • Spread at Origination

Cello S-Curve

Our ability to powerfully predict and manage prepayment risk is a key differentiator of our strategy.

Proven approach

Our investment process is defined by the integration of the team’s experience with our proprietary analytics platform MASTR®.