 |
 |
2) We are recommending the following formal tuning recommendations for the AD&Co. Prepayment Model V5.1 and later effective immediately. These tunings reflect the impact that the decline in housing activity is having on turnover speeds. For more detailed information about the tuning recommendations and a discussion about the impact that the liquidity crunch is having on the prepayments, please click here.
Tuning: Turnover from 1.0 to .85
Model: 30 Year FNMA, FHLMC and Jumbo Prime only
Version: v5.1 and later only
3) V1.6 of the LoanDynamics™ Model (LDM) was released in August of 2007. This is our second major release of the credit model which is quickly gaining acceptance as the market standard. The LDM is now available through Excel, Quantrix and Polypaths and will soon be available through Derivative Solutions and Intex Desktop. To access the release notes for V1.6 of the LDM, please click here. Some of the highlights include:
a) Recalibration of key transition equations to be based on an expanded dataset of roughly 8 MM loans from 144 issuers versus 1 MM loans from one issuer in v1.0
b) Updated equations for improved model fit for SATO Residual calculation and transitions for Delinquency, Cure, Delinquent Prepayment, Recovery and Liquidation.
c) Revised tuning recommendations for 2005-2007 vintages.
4) Finally, it is with mixed emotion that we announce Will Searle will be realigning his role as software developer at AD&Co. to a credit analyst position with Vectors Research Management, effective September 1, 2007. We wish Will the best of luck in his new role. Going forward, please refer any software related questions to
