ANDREW DAVIDSON & CO., INC. WILL INTRODUCE SIGNIFICANT ENHANCEMENTS
TO PREPAYMENT MODELS AT ITS ANNUAL CLIENT MEETING
New York City, May 30, 2001--On June 14, 2001, Andrew Davidson
& Co., Inc. will unveil details of its utilization of home price
appreciation data in the VectorsTM Prepayment Models for Conventional,
Government and Jumbo Fixed Rate Mortgages at its annual client conference
to be held in New York City.
Based on extensive proprietary research, including the analysis
of both pool level and loan level data, Andrew Davidson & Co.,
Inc. has developed mechanisms to incorporate home price data into
its prepayment forecasts. Home price appreciation data is valuable
both in differentiating between similar loans in different parts
of the country and in explaining macro prepayment features. Andrew
Davidson & Co., Inc.'s VectorsTM Prepayment Models are currently
the only commercially available products to include this home price
factor in a pool level prepayment model.
Andrew Davidson, president of Andrew Davidson & Co., Inc. states,
"The incorporation of home price appreciation data into our
pool level model represents a substantial change in thinking about
prepayments. Until now, pool level prepayment models have focused
primarily, if not exclusively, on interest rate driven factors.
The enhancements to our models open up a new line of thinking about
prepayment rates at the pool level." In addition to the inclusion
of home price appreciation data, the VectorsTM Prepayment Models
have also been updated to reflect recent prepayment data. Home price
appreciation data was provided by Mortgage Risk Assessment Corp.
The company also will discuss its loan level prepayment research
at the annual client meeting. Loan level prepayment models take
into account loan features such as loan size and loan purpose, as
well as LTV (loan to value ratio) and home price driven dynamics.
The Andrew Davidson & Co., Inc. loan level research provides
the basis for custom models that the company builds for firms with
access to their own portfolio data.
Parties interested in attending the annual meeting to hear more
about the research should see the Andrew Davidson & Co., Inc.
website at www.ad-co.com.
Andrew Davidson & Co., Inc. provides consulting services, litigation
support, and risk analytics for mortgage and asset-backed securities.
The VectorsTM analytics library currently offers prepayment models
for both fixed and adjustable rate mortgages, prepayment models
for asset-backed securities, option-adjusted valuation and risk
management tools for MBS, ABS, CMOs, and interest rate processes.
The company's unique blend of consulting experience and expertise
with cutting-edge quantitative methods allows it to combine decades
of Wall Street experience with the most advanced modeling techniques
to produce informed, effective third-party software.
Contact: Ilda Pozhegu
Andrew Davidson & Co., Inc.
212 274-9075
ilda@ad-co.com
|
