The $9.6 billion New Mexico Educational Retirement Board is allocating $250 million to asset-backed securities via two Waterfall Asset Management funds. Waterfall Eden received a $150 million commitment and $100 million to the Waterfall Victoria strategy, according to Bob Jacksha, chief investment officer of the New Mexico Educational Retirement Board. In late June, officials were negotiating and reviewing legal documentation on the funds.
Waterfall Asset Management is an affiliate of MD Sass and the firm is led by Jack Ross and Tom Capasse. The high-yield asset-backed securities strategy focuses on the supply/demand imbalance in the market and seeks