Non-Agency Mortgage-Backed Securities

Transcription

1 Insights Non-Agency Mortgage-Backed Securities Managing opportunities and risks February 20 Please visit jpmorgan.com/institutional for access to all of our Insights publications. Authors Gary J. Madich, CFA Managing Director, CIO Columbus Fixed Income Douglas S. Swanson Managing Director, Lead Portfolio Manager Columbus Taxable Bond Team Scott J. Thomas, CFA Vice President, Senior Analyst Columbus Fixed Income Credit Research Introduction The non-agency mortgage market has gained a decidedly higher profile over the past several years first as the great hope for borrowers whose home purchases were too big or financial situations too uncertain to meet agency standards. But, recognition turned to ill repute as delinquency rates increased within the subprime sector and the turmoil spread to higher quality areas, eventually resulting in a shutdown of the non-agency market. What started in a corner of this market came to be seen by many as the spark igniting the credit crisis, leading to a more widespread recognition of the risks inherent in the non-agency marketplace. We have managed portfolios with a non-agency component for over 20 years, across multiple business cycles. While the last three years have been unprecedented, with repercussions of the credit crisis still unfolding, we believe that non-agencies can still play an important role in diversified fixed income portfolios, when these securities are carefully evaluated and portfolio risks are scrupulously managed. Looking ahead, we continue to see both potential rewards and risks in the non-agency space. In our view, success will depend more than ever on: exhaustive fundamental analysis of underlying mortgage characteristics, a thorough understanding of capital structures and rigorous stress-testing of cash flows under multiple economic and policy scenarios. We believe significant opportunities exist to be appropriately compensated for risks judiciously taken, particularly within seasoned, high quality non-agency mortgages. The goal of this paper is to provide investors with practical perspectives on the non-agency market, lessons to be learned from the recent market turmoil and, most importantly, our view of the opportunities and risks in 20 and beyond. Robert Manning, CFA Vice President, Portfolio Manager Columbus Fixed Income For institutional use only

2 Non-Agency Mortgage-Backed Securities How We Got To Today The tale is now legendary. In 2001, the Fed began cutting interest rates to spur the economy. Mortgage rates declined to their lowest level in decades; home sales (and prices) responded dramatically and continued to rise through 2004 to The real estate frenzy continued, even into 2006, pushing home prices ever higher (especially in high-priced areas such as California, Arizona, Nevada and Florida) until increasingly, the mortgages required to purchase these homes exceeded agency loan limits. Non-agency mortgage providers initially met this need for larger loans while maintaining stringent qualifications. However, investment banks were willing to buy lower quality mortgages and bundle them for issuance into new and innovative forms of Asset Backed Securities (ABS) and Collateralized Debt Obligations (CDOs). With these innovations, non-agency lenders found a ready market into which loans extended to less qualified borrowers could be sold. This prompted mortgage lenders to provide borrowers with loans that had easier terms: lower down payments, higher original loan-to-value (LTV) and debt-to-income ratios and fewer documentation requirements. These loans included adjustable rate mortgages (ARMs) that took the form of: I/Os (Interest Only): adjustable rate mortgages where the borrower pays no principal for a set period of time, until the mortgage is reset to a fully amortizing base Option ARMs: which provide the borrower with several repayment options, including paying interest only or an amount less than the interest due (see sidebar for definition) While in hindsight this situation looks like an accident waiting to happen, at the time, the misconception that housing prices would continue to rise forever allowed all parties from home buyers to mortgage lenders, issuers and investors to keep the mortgage wheel turning. Defining the Non-Agency Sector Mortgage-backed securities (MBS) are securities created by pooling together residential mortgage loans with similar characteristics and placing them in a trust. The trust then issues mortgage-backed securities which pass through to investors a pro-rata share of the interest and/or principal paid by borrowers on the underlying mortgages in the pool. Non-agency mortgage backed securities are issued by private institutions (not by governmental or quasi-governmental agencies); their underlying collateral generally consists of mortgages which do not conform to the requirements (size, documentation, loan-to-value ratios, etc.) for inclusion in mortgage-backed securities issued by agencies such as Ginnie Mae, Fannie Mae or Freddie Mac. Sizable market: roughly $1.5 trillion or about 30% of the size of the Agency MBS market Dramatic market growth: The outstanding balance of non-agency mortgages grew from roughly $600 billion at the end of 2003 to $2.2 trillion at its peak in 2007, falling back to roughly $1.5 trillion as a result of the credit crisis. Types of non-agency mortgages Prime mortgages are high-quality mortgages that meet stringent underwriting guidelines, similar to those set for agency mortgages by Fannie Mae and Freddie Mac. These mortgages tend to fall into the non-agency market because loan balances are greater than those allowed by Fannie and Freddie for conforming loans. Prime mortgage loans have historically carried low default risk and are made to borrowers with good credit records. Alternative-A (Alt-A) mortgages fall between Prime and Subprime. Credit scores of these borrowers are typically average or above average, but looser loan documentation requirements or larger loan size disqualify these from conforming to Fannie Mae or Freddie Mac underwriting guidelines. Option Adjustable Rate Mortgages (Option ARMs) are a type of Alt-A loan that is unique due to its flexible repayment terms. Option ARM mortgages allow for several payment options including making interest only or less than interest due payments. As a result, the outstanding loan balance can increase over time (negative amortization). These loans were designed to start with an attractively low rate of interest (the teaser rate ) to attract borrowers. Non-agency mortgage market by type as of November 2009 Subprime 29% Option ARM 14% Subprime is a class of mortgage extended to borrowers with low credit ratings. In general, these borrowers have damaged credit or limited credit history, and provide minimal income and asset verification. Due to the default risk associated with these borrowers, lenders tend to charge a higher interest rate on subprime loans. Prime 25% Alt-A ex-option ARM 32% 2 Non-Agency Mortgage-Backed Securities: Managing opportunities and risks

3 Inevitably, of course, housing prices reached their peak and subprime borrowers began having difficulty making payments (though for a time this was masked by the ease of refinancing or selling the home). In 2006, early delinquencies among subprime borrowers increased. Originators, forced to buy back the non-performing loans in their pools with cash they would otherwise have used to originate new loans, suffered a liquidity crisis, eventually leading, in some very notable cases, to bankruptcy. In 2007, the problem spread beyond the subprime market. Delinquencies in the Alt-A and Prime space started to rise, continuing into 2008 and beyond. As the risks of non-agency mortgage-backed securities became apparent, the non-agency market virtually shut down, with no new issues since Impact of the Credit Crisis on Non-Agency Performance Across the board, prices for non-agency mortgage securities fell dramatically from early to late However, some did not fall as far and/or rebounded more quickly than others (Exhibit 1). Seasoned 30-year fixed rate Prime and Alt-A bonds, on average, fell slightly more than 20 points from peak to trough, and are now at or near their pre-crisis levels. Discerning investors who had identified and held select, high quality non-agencies going into the crisis and maintained those positions through the downturn (and/or added attractively valued securities to them) were rewarded as the market rebounded in On the other hand, those invested in Option ARMs generally fared less well. These securities saw average declines of more than 45 points and, while they have recovered somewhat, are still significantly below pre-crisis levels. Exhibit 2: Housing prices don t grow to the sky Case-Schiller Home Price Indices 300 National Los Angeles San Francisco 250 Dallas Boston Year (first quarter) Source: Case-Schiller Lessons Learned: Keys to Successful Investment in the Non-Agency Market While the credit crisis may be historically unique in the speed and magnitude with which it destroyed asset values, the lessons learned are not new, just louder and clearer: Home prices do not rise indefinitely. Clearly, we have seen individual markets (e.g., Los Angeles, San Francisco) rise and fall. But admittedly, on a national basis, over the past two decades we have not experienced anything like the wild fluctuations seen in the last few years (Exhibit 2). When buyers purchase more home than their incomes can support, the chances of a bubble forming and eventually bursting increases. Historically, home prices have averaged three to four times income; at the peak of this cycle, prices in certain markets reached as high as x to 11x income. Understand risks and ensure that you are being compensated for bearing them in other words, cheap does not necessarily imply good value. Exhibit 1: Non-Agency market sectors have varied in the magnitude and speed of their decline and rebound Early 2008 price 12/31/09 price Price at trough Trough date Change early 2008 to trough Change trough to 12/31/09 Change early 2008 to 12/31/09 Seasoned Prime 30-yr Fixed /12/2008 (22.56) Seasoned Alt-A 30-yr Fixed /26/2008 (23.38) (3.19) 2006/7 Vintage Prime 30-yr Fixed /5/2008 (39.50) (7.00) 2006/7 Vintage Prime 15-yr Fixed /5/2008 (27.38) /7 Vintage Alt-A 30-yr Fixed /5/2008 (51.00) (21.50) 2006/7 Vintage Alt-A 15-yr Fixed /5/2008 (38.56) (14.06) 2007 Vintage Option ARM /20/2009 (47.00) (31.00) Source: J.P. Morgan Securities, Interactive Data Corporation, Bloomberg. J.P. Morgan Asset Management 3

4 Non-Agency Mortgage-Backed Securities Evaluating non-agency risks How does the successful manager assess value in the nonagency marketplace? These securities are numerous, complex, and not included in standard MBS benchmarks. The composition of non-agency MBS varies from deal to deal in terms of underlying loan characteristics such as the level of documentation and/or the geographic location and regional diversification of the properties. What s more, the individual securities vary in level of credit support and their position in the capital structure of the mortgage trust. Finally, cash flows are sensitive to economic, interest rate and policy developments. Hence, evaluating non-agency mortgage-backed securities requires in-depth fundamental research and sophisticated quantitative tools for extensive cash flow scenario analysis. Indicators of expected loan performance The following are key measurements to help assess the likely performance of the loans underlying a mortgage-backed security: Loan-to-Value ratio (LTV): measures the size of the mortgage relative to the market value of the property. A high and rising LTV ratio (particularly one above 0%) indicates an increasing risk of loan default. Combined Loan-to-Value ratio (CLTV): measures the size of the mortgage PLUS all outstanding liens on the property, relative to the value of the property. For example, the CLTV might include a second mortgage on the property which, even though it is not in the pool, may increase the probability of default and/or hinder the borrower s ability to refinance the first mortgage. As seen in Exhibit 3, current LTVs and CLTVs are generally lowest for Prime mortgages and highest for Alt-A Option ARMs. Seasoning: The age of the mortgage, as defined by its vintage year (year of origination). Among all these measures, we have found seasoning to be among the most valuable in assessing future loan performance. Exhibit 3 shows that loans with earlier vintage years ( ) generally have lower LTVs and stronger loan performance: a lower percentage of loans that are seriously delinquent, in foreclosure, or already owned by a bank or issuing trust (i.e., real-estate owned (REO)). These loans have established a payment history and were issued when loan requirements were more stringent. Fundamental security analysis and cash flow modeling For investors in non-agency mortgage-backed securities, it is important to understand, not just the performance of the underlying mortgages in the pool, but also the level of credit support and where the security lies within the capital structure of the trust. The variations are endless, but typically the cash flows from the underlying mortgages in a pool are used to pay security holders from the top of the capital stack (super senior bonds) to the bottom (support bonds), providing additional security to senior bond holders should the underlying mortgages not perform as anticipated. In addition to the various tranches or classes of securities issued by a trust against the mortgages in a pool, reserve funds and insurance policies from financial guarantors are other elements used to provide credit support. Triggers may also be incorporated to provide protection to bond holders over time. These triggers function by discontinuing pass-through payments to subordinate classes and diverting them to senior classes should a delinquency or loss trigger be tripped. Credit agency ratings (AAA, AA, etc.) are intended to reflect these structural components of credit risk. In the recent credit crisis however, many mortgage-backed securities originally issued in 2006 through 2007 with AAA ratings were subsequently downgraded to CCC. Many investors relied too heavily on credit agency ratings without conducting sufficient due diligence on their own. For investors in non-agency mortgage-backed securities, all of these structural characteristics must be understood and taken into account. Given the complexity of these securities, rigorous analysis of cash flows over time and under different economic and market scenarios is essential in order to effectively assess their true risk/return characteristics. Opportunities and Risks in the Current Environment The non-agency market has rebounded from the depths of despair, housing prices have begun to show some signs of bottoming out and government stimulus is being provided to keep people in their houses and encourage mortgage lending and home-buying. Against this backdrop, what are the investment opportunities in the non-agency market place? 4 Non-Agency Mortgage-Backed Securities: Managing opportunities and risks

5 Exhibit 3: Selected Non-Agency Mortgage Attributes (as of November 2009) Product Prime First Lien FRM Current LTV Current Combined LTV 60+ days past due Foreclosure REO Total Serious Delinquency 2008 Vintage Vintage Vintage Vintage Vintage Vintage Vintage Prime First Lien Non-Option ARM 2008 Vintage Vintage Vintage Vintage Vintage Vintage Alt-A First Lien FRM 2007 Vintage Vintage Vintage Vintage Vintage Vintage Alt-A Non-Option ARM 2007 Vintage Vintage Vintage Vintage Vintage Alt-A Option ARM 2007 Vintage Vintage Vintage Vintage Source: LoanPerformance; J.P. Morgan In our view, despite the rebound in the non-agency market over the past year, valuations for selected sectors remain attractive relative to the agency market and opportunities do exist for those investors with the experience, skill and resources to accurately assess value and manage risk in this marketplace. We continue to see the greatest opportunities among highquality Prime and Alt-A securities and the greatest risks, heightened by policy uncertainties, within Option ARMs. Relative value generally favors high quality non-agencies over agency MBS The Federal Reserve s MBS Purchase Program has (artificially) supported the recovery of agency MBS prices to the point that some segments are now trading at negative option-adjusted spreads (OAS) and appear overvalued relative to high quality non-agency securities. This is not surprising given that, from January through year-end 2009, the Fed has purchased over $1.1 trillion in agency MBS. Agencies are generally rich and, given that the Fed is continuing its purchases, could get even J.P. Morgan Asset Management 5

6 Non-Agency Mortgage-Backed Securities richer in the short term. While we think it unlikely that the Fed will sell these securities outright, spreads are likely to widen out again if and when the buying program begins to wind down, as is now expected at the end of the first quarter. An adequate supply of high quality non-agency mortgages is available Admittedly, the supply of high quality, seasoned non-agency securities has declined through the credit crisis, due to rating downgrades. However, with $ billion of vintage year Prime and Alt-A securities outstanding, as well as the recent rise in re-remic activity, we believe there is adequate supply from which to add to high quality positions. (See sidebar for an explanation of re-remics). How Re-REMICs can expand the supply of high quality non-agency MBS Real Estate Mortgage Investment Conduits (REMICs) are bonds created from pools of mortgages. Re-REMICs are securities created from the underlying cash flows of existing REMIC bonds. Dealers create re-remics by taking an existing security and placing it in a trust. The trust then issues two new bonds backed by the cash flows of the original security one bond being senior to the other. The senior bond in the re-remic structure receives the credit support that is left on the original bond, plus additional credit support in the form of the new subordinate bond issued by the re-remic trust to provide protection from losses on the collateral. For example, a dealer may take an Alt-A vintage 2006 security with $1,000,000 face value, place it in a trust and issue a $500,000 senior bond and a $500,000 subordinate bond. The senior bond receives additional credit support from the subordinate bond. Depending on the level of risk of the original security s underlying collateral, the additional credit support on the new senior re-remic bond will typically range from 5% to 90%, enhancing its protection from future downgrades. Risks persist and must be monitored While the faulty assumption that home prices would grow to the sky bears much of the blame for the recent credit crisis, it is also a misconception that a bottoming in home prices heralds the end of problems within the mortgage market. We view shadow inventories, government programs (that to-date are running short of their goals) and uncertainty surrounding future government policies as key risks to be monitored by non-agency mortgage investors in the months ahead. While these issues apply across non-agency sectors, in our view, nowhere are they more acute than for Option ARMs. The flood of foreclosures continues to expand the supply of unsold homes, fed by buyers who: realize that their homes may never be worth as much as their mortgages and simply walk away bought too much house and simply can t meet payments have lost their jobs. Tax credits for first time buyers have helped to soak up some of the excess housing inventory, but recent extensions of the program (to buyers who used their home as a primary residence for five of the last eight years and are now trading up in size) are doing more to relocate home owners than to actually reduce the number of unsold homes. At the same time, there appears to be a build-up of foreclosures just waiting to happen. To varying degrees across nonagency mortgage categories, the percentage of underlying mortgages with loan amounts in excess of home values (i.e. CLTVs exceeding 0%) has continued to climb a measure we have found to be a reliable indicator of mortgage defaults and one which suggests a growing shadow inventory. For Option ARMs this shadow inventory is developing into a dark and ominous cloud. CLTVs for Option ARMs average between 113% for 2004 vintage loans to over 140% for more recent vintages. In fact, nearly 70% of the mortgages supporting Option ARMs are upside-down (i.e., have CLTVs greater than 0% (Exhibit 4)). By comparison, CLTVs for 2004 vintage Prime and Alt-A fixed rate mortgages are 54% and 78%, respectively. At the same time, the percentage of mortgages with CLTVs greater than 0% is only slightly above 20% for Prime fixed rate and just below 30% for Alt-A fixed rate non-agency securities. 1 Exhibit 4: Option ARM mortgages turned upside down Percentage of Option ARM Mortgages with Combined Loan-to- Value Ratio (CLTV) > 0% % of total Jul- 06 Sep Jan- 07 Mar Jul- 07 Sep Jan- 08 Mar Jul- 08 Sep Jan- 09 Mar Jul- 09 Sep Source: LoanPerformance, CPR & CDR Technologies Inc. 6 Non-Agency Mortgage-Backed Securities: Managing opportunities and risks

7 Further heightening the risk for Option ARMs is the large portion of their underlying mortgages that are scheduled to recast 2 starting in 20 to 2012 (at which point borrowers will have to stop paying teaser rates which in some cases were below scheduled interest only payments and therefore, added to the principal balance and begin making fully amortizing payments). The value of Option ARM loans scheduled to recast in a given month is seen in the yellow shaded area of Exhibit 5. In our view, these recasts are likely to prompt a large volume of mortgage defaults, significantly increasing housing inventories and putting downward pressure on home prices. For the Option ARMs investor the potential impact of this shadow inventory means the worst may be yet to come. Home Affordable Mortgage Program (HAMP) has been less than effective The HAMP program is one of the major components of the government s efforts to keep home buyers in their homes. Under HAMP, loan servicers work with borrowers to modify the terms of their mortgage and improve the borrower s ability to meet payment requirements. There is usually a 3 to 5 month trial period in which the newly modified terms go into effect to test that the borrower can meet them. While modifications can take the form of a lower interest rate, an extended term or a decrease in principal, to-date there have been few cases where the principal balance has been reduced. In our view, HAMP has been less than effective in decreasing defaults. In fact, according to recent data released by the U.S. Treasury Department, among the 760,000 borrowers who have been offered a trial modification, less than 5% (or approximately 31,000) have been successful in converting their trial terms to a permanent modification. Failures occur frequently because there is little documentation or due diligence associated with the trial period. Many borrowers ultimately do not qualify for HAMP or if they do, they may default again, even under the easier payment terms. In essence, HAMP has done more to delay than to decrease loan defaults. If the servicer believes the borrower will ultimately pay down the mortgage, the servicer must advance payments of principal and interest when the borrower is delinquent. When (and if) payments later resume, the servicer is made whole before cash flows are passed on to investors. Government policy adds considerable uncertainty to non-agency cash flows and investor returns. It is possible, for example, that the government may influence banks to reduce principal balances. However, it is unclear whether this will impact investors positively (by decreasing defaults) or negatively (by reducing ultimate payments of principal and interest). What is clear is that a reduction in principal will: impact subordinated slices of the capital structure most directly, as it produces an immediate reduction in principal protection Exhibit 5: Mortgage recasts: Darkening the cloud over Option ARMs Amount ($bn) Agency Prime Alt-A Subprime Option ARM Unsecuritized ARMs (estimated) Estimated cumulative amount ($bn) Months to first reset Source: Credit Suisse, LoanPerformance, FH/FN/GN * Option ARMs show estimated recast schedule based on current negam rate & a 5-year hard recast schedule where data is missing. 1 LoanPerformance and CPR & CDR Technologies Inc.; data as of November ,400 1,200 Estimated 1, cumulative 600 reset amount 0 ($bn) 2 When a loan is recast the borrower is required to make fully amortizing payments. For Option ARMs, where borrowers have several payment options including making interest only payments or paying less than the interest due (thereby increasing their principal balance) this can mean a significant increase in mortgage payments. J.P. Morgan Asset Management 7

8 Non-Agency Mortgage-Backed Securities impact lower quality non-agency securities, such as Option ARMs, most acutely, given their high CLTV levels and likelihood of default Hence, the need for a thorough analysis of potential cash flows under a variety of interest rate and policy scenarios. Conclusion The past three years have clearly been an unprecedented period in the non-agency market one that has strained its very infrastructure. However, such challenging times can offer opportunity to investors with the experience, resources and insight to identify value and avoid unrewarded risks. Indeed, those skilled investors who were able to appropriately position their non-agency portfolios to participate as markets rebounded in 2009 have reaped significant benefits. In our view, attractive opportunities continue to exist in the nonagency marketplace. We see the greatest opportunities in high quality non-agency MBS, specifically within seasoned Prime and Alt-A securities (where established borrower track records add to the predictability of outcomes) as well as in high quality re-remics. Within both of these market segments we believe economic, policy and default risks are relatively manageable and attractively valued securities with reasonable loan-to-value ratios, lower delinquency rates and/or sufficient credit enhancements can be identified. At the same time, we see the greatest risks in Alt-A Option ARMs, where we believe the worst is likely still to come. The majority of these securities have CLTVs greater than 0%, suggesting a significant risk of default, a growing shadow inventory and a high sensitivity to hard-to-predict economic developments and future government policy actions. In our view, well-diversified, core fixed income portfolios should include a strategic allocation to non-agency securities, given their ability to enhance returns. But a thorough understanding of the marketplace and rigorous, in-depth analysis of underlying loans, structures and cash flows under different economic and policy outcomes is now more essential than ever to successful investing in the non-agency MBS market. About the Columbus Fixed Income Team The Columbus Fixed Income team manages over $131 billion* in assets, including over $32 billion* in mortgage-backed securities of which $6.5 billion* are non-agency MBS. The team has a strong long-term performance track record, a stable portfolio management team and a consistent investment process that has been successfully applied for over 20 years. * Assets as of 12/31/09. This document is intended solely to report on various investment views held by J.P. Morgan Asset Management. Opinions, estimates, forecasts, and statements of financial market trends that are based on current market conditions constitute our judgment and are subject to change without notice. We believe the information provided here is reliable but should not be assumed to be accurate or complete. The views and strategies described may not be suitable for all investors. References to specific securities, asset classes and financial markets are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations. Indices do not include fees or operating expenses and are not available for actual investment. The information contained herein may employ proprietary projections of expected returns as well as estimates of their future volatility. The relative relationships and forecasts contained herein are based upon proprietary research and are developed through analysis of historical data and capital markets theory. These estimates have certain inherent limitations, and unlike an actual performance record, they do not reflect actual trading, liquidity constraints, fees or other costs. References to future net returns are not promises or even estimates of actual returns a client portfolio may achieve. The forecasts contained herein are for illustrative purposes only and are not to be relied upon as advice or interpreted as a recommendation. All case studies are shown for illustrative purposes only and should not be relied upon as advice or interpreted as a recommendation. They are based on current market conditions that constitute our judgment and are subject to change. Mortgage-Related and Other Asset-Backed Securities Risk Mortgage-related and asset-backed securities are subject to certain other risks. The value of these securities will be influenced by the factors affecting the housing market and the assets underlying such securities. As a result, during periods of declining asset value, difficult or frozen credit markets, swings in interest rates, or deteriorating economic conditions, mortgage-related and asset-backed securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid. Additionally, during such periods and also under normal conditions, these securities are also subject to prepayment and call risk. When mortgages and other obligations are prepaid and when securities are called, the investor may have to reinvest in securities with a lower yield or fail to recover additional amounts (i.e., premiums) paid for securities with higher interest rates, resulting in an unexpected capital loss. Some of these securities may receive little or no collateral protection from the underlying assets and are thus subject to the risk of default. The risk of such defaults is generally higher in the case of mortgage-backed investments that include so-called sub-prime mortgages. The structure of some of these securities may be complex and there may be less available information than other types of debt securities. J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc. 245 Park Avenue, New York, NY JPMorgan Chase & Co. IMFI_NONAGENCY jpmorgan.com/institutional