Andrew Davidson & Co., Inc. Extends Availability of the LoanDynamics™ Model with new link to INTEXdesktop™
NEW YORK, June 23, 2008 – Andrew Davidson & Co., Inc. (AD&Co) the leading provider of models of borrower behavior and risk analytics for fixed income investors of mortgage (MBS) and asset-backed securities (ABS), today announces the integration of AD&Co’s credit model for US MBS, the LoanDynamics™ Model, into the INTEXdesktop™ system. This integration provides an important addition to the roster of systems through which the LoanDynamics™ Model can be used further facilitating the analysis of credit sensitive MBS.
The LoanDynamics™ Model is already integrated into the widely used portfolio analysis systems from Polypaths LLC and FactSet Research Systems and is fully compatible with the INTEX Subroutines™ and the INTEX Wrapper™ for use through proprietary internal risk management, pricing or valuation systems. The LoanDynamics™ Model is also available through RiskProfiler™, AD&Co’s own valuation and risk measurement system, and is integrated with Quantrix™ and Excel™.
The evaluation of credit sensitive mortgage backed securities, including sub-prime securities, requires the integration of loan data, behavioral modeling and deal cashflow structuring. The integration of the LoanDynamics™ Model with INTEXdesktop™ combines a behavioral credit model with loan level data, and a cashflow and analytical engine bringing all of these requirements together through a single flexible interface to allow quicker, more robust analysis and rich analytical detail.
The LoanDynamics™ Model was developed to help investors and issuers better understand credit and prepayment characteristics of credit sensitive mortgage loans and securities. Using historical data and user-driven scenarios for interest rate and house price indices, the LoanDynamics™ Model forecasts how borrowers are likely to behave by providing key investor performance metrics such as CPR (prepayment), CDR (default), 60+ delinquency and the probability and magnitude of loss.
INTEXdesktop™ is a Windows-based solution that provides access to single security and portfolio analytics on any of the 20,000+ deals modeled by Intex. The full power of INTEXdesktop™ already allows hundreds of major institutions globally to run scenario analysis for Intex modeled deals at the deal and portfolio level and can now seamlessly utilize the CPR, CDR, delinquency and loss vectors from LoanDynamics™ as inputs into the generation of bond and portfolio level cashflows.
The process is simple: load a CUSIP into INTEXdesktop™, set up your interest rate and home price scenarios, and click Run. The Intex loan level data flows into the LoanDynamics™ Model which forecasts the vectors needed to compute bond cashflows for each scenario. These cashflows are then used to generate analytical outputs to help you understand the likelihood of principal loss, assess triggers, compute yields, average life and other analytical measures.
Andrew Davidson, President of the firm, expresses enthusiasm for the partnership, “Intex provides the market with critical information on the structure of mortgage backed securities. We are honored to have our models integrated into Intex’s products. We hope that greater analytical transparency may help turn the corner on the current market illiquidity and turmoil in the valuation of non-agency mortgage backed securities.”
"Pulling together all the pieces required to analyze credit sensitive structured securities can be a difficult process as data, a behavioral model and a cashflow and analytical engine are all needed," said Jim Wilner, Vice President at Intex. "With the integration of AD&Co’s LoanDynamics™ Model, a turnkey analytical solution is now available to INTEXdesktop™ users. The LoanDynamics™ Model extends the functionality of the Desktop system by adding the ability to value and price credit and structured finance transactions using a loan-level credit-based analysis."
About Andrew Davidson & Co., Inc.
Andrew Davidson & Co., Inc. turns mortgage data into investment insight. The firm is the leading provider of models of borrower behavior and risk analytics for fixed income investors of mortgage (MBS) and asset-backed securities (ABS). Andrew Davidson & Co., Inc. offers prepayment models for MBS and ABS, a LoanDynamics™ Model for credit sensitive mortgage securities, and option-adjusted valuation and risk management tools for MBS, ABS, and CMOs. With a unique blend of investment expertise and cutting-edge quantitative methods, the company produces highly advanced models and the most innovative solutions to mortgage investment challenges. For more information or a free trial of the LoanDynamics™ Model, visit www.ad-co.com.
About Intex
Intex Solutions, Inc. is the industry's leading provider of structured fixed income deal model libraries and cashflow generation software. Intex models and maintains over 20,000 complex ABS, CDO, CMBS and RMBS deals from the US, Europe and elsewhere around the globe. Deals are individually modeled based on the amortization and loss waterfall rules in the original deal documents, and are updated in a timely manner each month using the latest available trustee and servicer information. Hundreds of leading investment banks, broker/dealers, issuers and investors rely on Intex for trading, portfolio management and risk management applications. For more information, visit www.intex.com.
Contact
Laura Gridley
laura@ad-co.com
212-274-9075 |
