| | The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
Looking at non-agency prime and sub-prime fixed rate and hybrid prepayment speeds, we see
that in most cases speeds are coming out of their year-end lows. However, speeds are not
showing the same uptick that we are seeing in the agency market. ...more
Andrew Davidson & Co., Inc. (4/15/2009)
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| | The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
GSE Refinancing Programs in the "Making Home Affordable" Initiative. On March 4th, the Obama administration launched the "Making Home Affordable" initiative, part of which detailed the new refinancing programs being offered through Fannie Mae and ...more
Andrew Davidson & Co., Inc. (3/12/2009)
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| | The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
How long will home prices continue to fall? When will prepayments return to historical norms? Have defaults and loss severities peaked? Clearly, the answers to these questions are unknown, but analytically profound. Today, with the release of new versions ...more
Andrew Davidson & Co., Inc. (2/10/2009)
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| | The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
Before mortgage rates plummeted in December, many of us were asking what exactly was driving the extremely low prepayments seen since the end of August. Many thought that it was due to the extreme home price decline occurring in many parts of the country, ...more
Andrew Davidson & Co., Inc. (1/9/2009)
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| | The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
Mercifully, 2008 draws to a close. We bid good riddance to the upheaval, turmoil, and pain of the last 12 months and look to a more stable and positive 2009. To be sure, there will be additional hardships to endure and more shoes yet to drop but we ...more
Andrew Davidson & Co., Inc. (12/11/2008)
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| | The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
Andrew Davidson & Co., Inc. has decided to make some changes to the home price data files that are used in the Prepayment Model Suite v5.2d. Instead of using OFHEO All Transactions data, we will now use OFHEO Purchase Only data. ...more
Andrew Davidson & Co., Inc. (11/6/2008)
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| | Andrew Davidson & Co., Inc. Offers Breakpoint Analysis to Measure the Risk of Mortgage Portfolio Losses during Complicated Times
Andrew Davidson & Co., Inc. today announces a new service, Breakpoint Analysis, a flexible means to assess the credit risk of mortgage bonds. AD&Co is a leading provider of models of borrower behavior and risk analytics for fixed income ...more
Andrew Davidson & Co., Inc. (10/2/2008)
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| | Improving the Investor's Perspective on Credit Risk: Non-agency Investors and the Secondary Market
Investors in the secondary mortgage market historically worried most about interest rate and prepayment risks. The vast majority of issued securities ...more
Andrew Davidson & Co., Inc. (11/10/2006)
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| | Consulting Corner: A Framework for Market-Implied Defaults
In the corporate bond sector, statistical measures such as zeta scores have been used for quantifying credit and default risk for over three decades. ...more
Andrew Davidson & Co., Inc. (4/10/2006)
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| | Consulting Corner: Back in the Forefront
The mortgage market has been the leader in securitization trends for many years. The mortgagebacked security, the collateralized mortgage obligation ...more
Andrew Davidson & Co., Inc. (10/31/2005)
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| | Data Availability and Its Implications for Behavioral Models
Investors in the secondary mortgage market have a tremendous need for models of mortgage behaviors ("behavioral models") such as prepayment and default. ...more
Kyle G. Lundstedt, Andrew Davidson & Co., Inc. (9/30/2005)
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| | Hybrids at a Glance
Many clients have explicitly expressed a desire to see hybrid ARMs as a part of our standard market analysis posted every Friday for fixed-rate conventional TBAs. ...more
Alex Levin, Andrew Davidson & Co., Inc. (7/29/2005)
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| | Modeling Mortgage Risk: Definitional Issues
In the February issue of The Pipeline, we provided a general overview of the issues involved in loan level modeling of both major components ...more
Kyle G. Lundstedt, Andrew Davidson & Co., Inc. (4/29/2005)
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| | What is behind OAS measures?
While skimming the Divide and Conquer trilogy someone asked me: "You don't like the OAS, do you?" The answer is, yes, ...more
Alex Levin, Andrew Davidson & Co., Inc. (4/29/2005)
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| | The Competing Risks of Mortgage Prepayment and Default
There is an enormous amount of credit risk in the mortgage sector. Government statistics show that over $3.8 trillion in ...more
Andrew Davidson & Co., Inc. (2/22/2005)
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| | Bad Accounting: Don't just get mad, get even
The current accounting paradigm has given importance to certain measures of economic value such as Fair Value, retained earnings and ...more
Andrew Davidson & Co., Inc. (1/15/2005)
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| | "Auld Lang Syne"
In many respects, credit sensitive MBS and RE-ABS represent leveraged bets on home price appreciation, which is a ...more
Andrew Davidson & Co., Inc. (12/15/2004)
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| | Why does bad accounting happen to good companies?
As we approach year end, there is uncertainty in the markets as the dollar sinks against the euro and the yen. There is risk associated with rising rates ...more
Andrew Davidson & Co., Inc. (12/1/2004)
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| | The Relative Value of Hybrids
The Hybrid ARM market offers investors a diverse set of investment opportunities. Investors can use hybrids to take advantage ...more
Andrew Davidson & Co., Inc. (10/29/2004)
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| | Fair value and cost based accounting
Fair Value has been creeping into GAAP for a number of years. In the mortgage market, servicing assets as well as retained residuals from securitizations are recorded at fair value. ...more
Andrew Davidson & Co., Inc. (4/30/2004)
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| | 1999 - 2002 Conseco Manufactured Housing Deals
A snapshot of the recent performance of 1999 - 2002 Conseco Manufactured
Housing Deals. Tables show the historical performance of defaults,
repossession inventory and 90+ delinquencies for the past year. ...more
Andrew Davidson & Co., Inc. (3/4/2004)
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| | Shortfalls that most commonly occur with investment systems
In an environment plagued by unprecedented low interest rates, record prepayment speeds and new and untested investment structures, the risk of trading losses and mis-statement of portfolio values is at an all-time high. ...more
Andrew Davidson & Co., Inc. (3/1/2003)
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| | New MBS Disclosures
The additional disclosures agreed to by Fannie Mae and Freddie Mac as a result of staff reports produced by Treasury, OFHEO and the SEC are a positive step for the mortgage market. ...more
Andrew Davidson & Co., Inc. (2/1/2003)
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| | Outlook for 2003
Precarious is the best word to describe the state of the mortgage market ...more
Andrew Davidson & Co., Inc. (1/1/2003)
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