Andrew Davidson & Co., Inc. Releases New MBS Prepayment Model
New York City, Wednesday, March 27, 2002 -- Andrew Davidson
& Co., Inc. today announced the release of v4.3.3 of their leading
MBS Prepayment model. The unprecedented level of refinancing experienced
in 2001 prompted modifications to the existing fixed rate model
for agency-backed pools. The new version of the model incorporates
what the company perceives to be a structural change in the forces
that drive prepayments.
The new model produces a significantly improved fit to the 2001
prepayment experience than the earlier version. The model retains
the home price effect variables that the firm added to its models
last year and also incorporates a change to the interest rate incentive
variable that provides a better fit with borrower economics in extremely
low interest rate environments.
Company founder and president Andrew Davidson said, "This release
reflects the largest change in our prepayment model in the ten-year
history of the company. Changes in the housing markets and the mortgage
origination process have produced borrowers who are much more likely
to prepay for a given level of incentive."
In addition, in v4.3.3 of the model, Andrew Davidson & Co.,
Inc. introduces a new agency hybrid ARM prepayment model for 3-1,
5-1, 7-1 and 10-1 hybrids, based entirely on hybrid performance
data. The hybrid model has been completely revamped as a result
of the firm's ability to obtain 6-7 years of actual historical prepayment
data for hybrid ARMs. The incorporation of this data into the model
has led to significant improvements in actual versus forecasted
prepayment speeds. More information about changes to the model is
available at the company's website at www.ad-co.com.
All current clients of the company will be sent this new version
over the next several days. Other firms may receive a trial version
of the model by contacting Andrew Davidson & Co., Inc. directly.
Andrew Davidson & Co., Inc. provides advice and analysis for
fixed income investment analysis, with particular emphasis on mortgage
and asset-backed securities. Their VectorsTM analytics library currently
offers prepayment models for fixed and adjustable rate mortgages,
prepayment models for asset-backed securities, option-adjusted valuation
and risk management tools for MBS, ABS, and CMOs. The company combines
decades of Wall Street and investment management experience with
the most advanced modeling techniques to produce informed, effective
consulting services and analytical tools.
Contact: Ilda Pozhegu
Andrew Davidson
212-274-9075
ilda@ad-co.com
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