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Consulting Corner
"Auld Lang Syne"
By Mickey
Storms
In many
respects credit sensitive MBS and RE-ABS represent leveraged bets
on home price appreciation, which is a substantial determinant of
foreclosure frequency, loss severity and credit losses. In recent
economies, low interest rates and rabid rates of home price appreciation
have resulted in low rates of default, fast prepayments and low loss
severities that have culminated in an MBS/RE-ABS credit nirvana. Read
more...
Valuation Commentary
2004 Valuation Round-up
By Alex Levin
Last December,
the year-closing article was titled "The Lessons of an Eventful
Year". This year did not warrant such an adjective - it was quiet
and stable. However, stability has implication in financial markets
- it reduces the value of risk and makes risky instruments (read:
MBS) expensive. Hence, the MBS market did generally well, but left
fewer investment options to new buyers and changed the flavor of the
market. Read
more...
Model Performance Review
Prepayment Analysis
By Dan Szakallas
Prepayments
once again posted small increases for low coupons and cuspy premiums
in the month of November. The effect of burnout was evident in the
FNMA premiums above 6.5, as they showed small declines. The GNMA's
also displayed burnout this month, which is a change from October,
where the only coupon that declined was the GNMA 30 7.5's. The largest
increase in CPR was seen in the GNMA 5.5's, which rose 12.3% from
October. Actual pool CPR speeds of selected coupon buckets,
Read
more...
AD&Co. Update
2004 - Quite an Enhancing Year
By Rob Landauer
2004 marked
the 12th anniversary of AD&Co. It was a year of continued innovation,
strong growth, and the ongoing pursuit of excellence in our product
performance and client service. As AD&Co enters its adolescent
years, we look forward to hanging out with our clients and friends
to learn more about what your needs are and how we can better serve
you.
Read more...
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