Two halves that are rarely held by one person
Pricing this asset class takes someone who knows how a structure fails and knows what the hardware inside the SPV will be worth next year.
Who writes this
Martin Andrews covered structured credit through 2001–2011 and published on collateral quality before the market repriced it. Since then he has been active in machine learning research, having obtained his PhD in the 1990s, working on the systems that consume the very collateral being financed here.
Reports assume you know credit and explain the compute, or the reverse, depending on which side of the desk you sit. Where a claim rests on a modelled number, the model is stated. Where it rests on a mark, the mark is sourced.
How the work is done
We read the documents. Offering circulars, credit agreements, offtake contracts, and the residual assumptions underneath the advance rate. We rebuild the collateral curve from secondary transactions rather than from vendor schedules, and we publish both so the gap is visible.
Every figure is either sourced or explicitly marked illustrative. Where we are uncertain, the note says so and says what would resolve it.
What this firm does not do
We do not trade the securities we cover. We do not accept issuer or sponsor payment for coverage, and no note is shown to a covered party before publication. We do not arrange, place, or advise on the transactions we write about.
Commissioned work is considered case by case and is disclosed as commissioned wherever it appears.
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