Bloomberg Specified Cohorts in the Mortgage Index
Discussion points:
- What is the motivation for the introduction of specified cohorts into the Index?
- How can you analyze specified cohort relative value trades?
- What are the Index changes associated with specified cohorts?
- How do you analyze a portfolio versus the Index using specified cohorts in PORT?
Speakers
Gary Effman
Mortgage Application Specialist
Bloomberg
Gary Effman is a Structured Products and Credit Market Specialist at Bloomberg. Prior to joining Bloomberg, Gary spent 10 years at Bank One in Chicago managing a $1 billion ABS portfolio along with various other proprietary investment portfolios focused on CLOs, ABS and non-agency MBS. He also worked in the credit risk management group hedging the Bank’s financial services portfolio. He subsequently worked at two mortgage/structured products hedge funds in CT. Gary received his undergraduate degree from Brown University and earned an MBA from the University of Chicago. He also holds the CFA designation.
Steven Bergantino
Structured Product Quantitative Research
Bloomberg
Steve Bergantino leads the agency prepayment modeling Team at Bloomberg. Prior to joining Bloomberg, Steve led agency prepayment modeling at Barclays Capital.
Erica Adelberg
Senior Mortgage-Backed Securities Analyst
Bloomberg Intelligence
Erica Adelberg is the chief U.S. Mortgage-Backed Securities strategist at Bloomberg Intelligence. Before joining Bloomberg, Erica was a Managing Director: Fixed Income Trading at Seaport Global Holdings LLC. Previous to that Erica spent nearly 20 years as a senior MBS portfolio manager at KBC Bank, New York Life Investment Management, Goldman Sachs Asset Management. Erica began her career as a sell- side MBS research analyst and strategist at Kidder,Peabody and Goldman Sachs before moving to the buyside. Erica earned her bachelor degree in mathematics at University of Chicago and is a Chartered Financial Analyst.
Eric Wang
Index Product
Bloomberg
Eric Wang is a Product Manager focusing on Securitized Indices at Bloomberg Index Services Limited (BISL). Prior to joining Bloomberg, Eric spent 15 years at Barclays and a number of other investment banks working on Fixed Income research, MBS analytics and model development.
Seth Bittker
PORT Product
Bloomberg
Seth Bittker is a Product Manager on PORT specializing in Yield Curves, Scenario Analysis, and Securitized Products. Prior to joining Bloomberg, Seth was a Product Manager on Barclay’s POINT portfolio analytics tool and a salesperson for Citi’s Yield Book portfolio analytics tool.