[Virtual Presenter] Good morning everyone! I am excited to present today on realized returns and the Sharpe Ratio. Today I will be discussing a flexible DCF-aligned model which can be used to estimate future A-U-M from current asset snapshots. We will also be exploring how to target exposures to H-P-A based on data and analytics. Let's begin.. 

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[Audio] This model enables us to make predictions about the potential future of our asset management portfolio. It calculates the estimated A-U-M via a present asset snapshot and adjustable assumptions. It follows a D-C-F approach with revenue projections from held assets management fees performance fees and obtained income from turnover. Additionally it is adaptive enough to let us experiment with different situations and accept various input assumptions. Our A-U-M model supplies us with useful insights into our origination scope L-T-V and delinquencies returns achieved returns and Sharpe ratio.. 

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This model estimates future AUM using current asset snapshot and specified assumptions. Future AUM projections

Forecast revenue from assets held Management fee, performance fee, and realized proceeds from turnover

The model aims to align with DCF valuation outcomes using simplified formulas and remains flexible enough to accommodate assumption inputs for scenario testing. Flexible DCF-aligned model

[Audio] Our AUM Model provides a tailored exposure to the housing sector based on our own data set and analytics. It takes into account our historic loan origination prime-only homeowners and Loan-to-Value statistics as well as returns realized returns Sharpe ratio active funded deals and origination to value for each quarter. The coupon rate monthly coupon rate and deferred coupon rate are calculated using the valuation date benchmark rate plus a "Unison spread" and deferred interest ratio. The discount rate is based on the benchmark rate.. 

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Active Funded Deals




 New Origination
 Origination Quarter T = 0
 T = 1
 T = 2 … Tv
 Tv+1, Tv+2 …
 Tv+1







 Tv+2







 Tv+3







 Tv+4







 …

Benchmark rate = Future 10 year forward rate + credit spread Total coupon rate = Benchmark rate + Unison spread  Monthly coupon rate = (1-Deferred Interest Ratio) * Total Coupon Rate Deferred coupon rate = Deferred Interest Ratio * Total Coupon Rate Discount rate = Benchmark rate

[Audio] I am going to be discussing the AUM Model that will help us forecast asset under management by cohort. We will be adding returns realized returns and Sharpe ratio to our existing data. Additionally we will be looking at the asset value new origination funded deals and the time-to-maturity of the asset value. The A-U-M will be calculated by multiplying the survival probability of the asset value by the asset value which will be determined by several parameters such as the asset value the percentage of underlying home value leverage ratio modified duration calibration ratio and time-to-maturity. By comprehending the parameters of the AUM Model we will be able to anticipate our asset under management and plan accordingly for the future.. 

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Asset Valuev  New origination: OIP * OIP Premiumtotal coupon rate Funded deals: actual value from Asset tape  Asset Valuet>v (No turnover) Increase with underlying home value, decrease when prevailing market rate increases Asset_Valuev  * (1+%ΔHV * Leverage_Ratiotime-to-maturity) * (1 - Modified_Durationtime-to-maturity* Δinterest rate)                                                                                     Calibration_Ratiotime-to-maturity AUMv = Survival Probt * Asset Valuet
  




 AUM

[Audio] AUM Model covers cashflows from termination coupon payments and deferrals. It enables us to work out minimal worth of all trades and the impact of each cashflow. It also evaluates survival probability prepayment probability default probability and a recovery rate for each cashflow. Additionally the model takes into account the probability of turnover and an age of up to three months. Consequently it furnishes us with a comprehensive view of the cashflows involved.. 

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Exercise Valuet  min(OIP + Monthly Coupon + Deferred Interest + Share in appreciation, Return Cap) Cashflowt  = Expected Termination Cashflowt + Monthly Coupon Cashflowt (Prepayment Probt + Default Probt * Recovery Ratio) * Exercise Valuet Survival Probt* OIP * Monthly Coupon Rate * (1 + Deferred Interest Rate)Age -3 * (1 + (1+Deferred Interest Rate) + (1 + Deferred Interest Rate)2) Turnover Probt * OIP * Monthly Coupon Rate * ((1 + Deferred Interest Rate)Age-2 + (1 + Deferred Interest Rate)Age-3)

  




 Cashflow

[Audio] The A-U-M model is an attractive method of investing as it allows investors to leverage their investments to increase their returns. As the deal matures the leverage ratio increases resulting in the value of equity sharing growing in the overall asset value. This offers investors numerous advantages for making investments. I have provided you with a clear picture of the opportunities available with the A-U-M model and I wish you success with your investments.. 

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The overall leverage ratio increases as the deal matures, with the value of equity sharing accumulating and carrying more weight in the overall asset value.

[image] DCF Breakdown by Components
• • %CCFMorVage

[image] Leverage Ratio By Components
Total
075

AUM Model

This model enables us to make predictions about the potential future of our asset management portfolio. It calculates the estimated A-U-M via a present asset snapshot and adjustable assumptions. It follows a D-C-F approach
 with revenue projections from held assets
 management fees
 performance fees
 and obtained income from turnover. Additionally
 it is adaptive enough to let us experiment with different situations and accept various input assumptions. Our A-U-M model supplies us with useful insights into our origination scope
 L-T-V and delinquencies
 returns
 achieved returns
 and Sharpe ratio.

avatar

Our AUM Model provides a tailored exposure to the housing sector based on our own data set and analytics. It takes into account our historic loan origination
 prime-only homeowners and Loan-to-Value statistics as well as returns
 realized returns
 Sharpe ratio
 active funded deals and origination to value for each quarter. The coupon rate
 monthly coupon rate and deferred coupon rate are calculated using the valuation date
 benchmark rate plus a "Unison spread" and deferred interest ratio. The discount rate is based on the benchmark rate.

 Benchmark rate = Future 10 year forward rate + credit spread Total coupon rate = Benchmark rate + Unison spread  Monthly coupon rate = (1-Deferred Interest Ratio) * Total Coupon Rate Deferred coupon rate = Deferred Interest Ratio * Total Coupon Rate Discount rate = Benchmark rate

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I am going to be discussing the AUM Model that will help us forecast asset under management by cohort. We will be adding returns
 realized returns
 and Sharpe ratio to our existing data. Additionally
 we will be looking at the asset value
 new origination
 funded deals
 and the time-to-maturity of the asset value. The A-U-M will be calculated by multiplying the survival probability of the asset value by the asset value
 which will be determined by several parameters
 such as the asset value
 the percentage of underlying home value
 leverage ratio
 modified duration
 calibration ratio
 and time-to-maturity. By comprehending the parameters of the AUM Model
 we will be able to anticipate our asset under management and plan accordingly for the future.

AUM Model covers cashflows from termination
 coupon payments
 and deferrals. It enables us to work out minimal worth of all trades and the impact of each cashflow. It also evaluates survival probability
 prepayment probability
 default probability
 and a recovery rate for each cashflow. Additionally
 the model takes into account the probability of turnover and an age of up to three months. Consequently
 it furnishes us with a comprehensive view of the cashflows involved.

The A-U-M model is an attractive method of investing as it allows investors to leverage their investments to increase their returns. As the deal matures
 the leverage ratio increases
 resulting in the value of equity sharing growing in the overall asset value. This offers investors numerous advantages for making investments. I have provided you with a clear picture of the opportunities available with the A-U-M model and I wish you success with your investments.