Investment Strategy
Procyon Capital Management targets opportunities across the residential mortgage credit spectrum, combining macro-level views with bottom-up, data-driven precision.
What We Target
Core Asset Classes
Residential Mortgage-Backed Securities (RMBS):
Both agency and non-agency structures, selected for credit dispersion, convexity, and prepayment optionality.
Mortgage Servicing Rights (MSRs):
High-quality, cash-flowing assets with structural alpha potential through float income and recapture.
Whole Loan Pools:
Curated at acquisition with sensitivity to borrower credit profiles and interest rate positioning.
Mezzanine and subordinate tranches:
Opportunistically sourced for yield, convexity asymmetry, and dislocated pricing inefficiencies.
We blend top-down macro insights with loan-level analytics, leveraging AI-driven models to:
- Identify dislocations in credit, prepayment, and duration risk
- Calibrate exposures dynamically based on regime shifts
- Structure portfolios with asymmetric return potential
Embedded Risk Management
Core Risk Management Capabilities
Machine Learning-Based Surveillance
Continuously monitors loan-level and portfolio data to detect performance shifts and early-warning indicators.
Scenario & Stress Testing:
Runs simulated economic and market scenarios across multiple regimes to evaluate resilience and downside protection.
Real-Time Exposure Tracking
Tracks risk across credit, duration, liquidity, convexity, and counterparty metrics on a live basis.
Attribution Analytics
Breaks down performance drivers across prepayment, credit, rates, and structural sources of return.