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Consulting Corner
A Virtuous Portfolio
By Andrew Davidson
Over the past few months there has been much focus on the question of the appropriate size of the retained portfolios at the Government Sponsored Enterprises: Fannie Mae, Freddie Mac and the Home Loan Banks.
Just as Congress is now facing the issue of the size of the GSE portfolios, all financial institutions face similar issues in deciding how much to invest in various market sectors. Some of the same ideas could be used to address the question in both arenas. Read more...
Valuation Commentary
AD&Co OAS v6.0: Valuation Analytics That Make a Difference
By Alex Levin
Valuation systems used to price MBS are often referred to as “OAS systems” or even “Monte-Carlo systems.” This common jargon would hardly reflect the depth and rigor of the AD&Co OAS version 6.0 that combines a traditional Monte-Carlo-based approach with an ultra-speedy backward induction alternative – the first choice for pass-throughs. Regardless of the instrument type, the same analytics can be employed for running both OAS and prOAS; the latter is a novel measure we introduced last year Read more...
Model Performance Review
Model Performance
By Dan Szakallas
Prepayments dropped between March and April. This change was expected due to an increase in mortgage rates during the April refinance period. What was most surprising, however, was the drop in prepayments for the 4.5 coupon bucket. Driven primarily by turnover, we expected to see a small pickup in the area, but prepays actually fell by about 13%. The declines seen in FNMA 30-year 5.0s, 5.5s, and 6.0s were 22%, 25%, and 20% respectively, Read more...
AD&Co. Update
The 2005 Conference Cometh
By Rob Landauer
We hope by now you have registered for The Mortgage Market Mosaic: Tools and Techniques to See the Big Picture in New York (Thursday, June 2nd) or in San Francisco (Tuesday June 7th). If you have not yet signed up, there is still time to be included in this year’s event by going to our website (www.ad-co.com) and clicking on the conference registration link. Don’t miss out on what has proven to be one of the most informative, productive and enjoyable mortgage conferences of the year. Registration is free, breakfast, lunch and cocktails will be served, AD&Co vendor partners will be displaying their system solutions, leading market practitioners will grace our panels and AD&Co personnel will present practical applications of our leading prepayment and valuations solutions. What more could you ask for in one action packed day? See you there.
Enhanced Pool Level Prepayment Model:
We are extremely pleased to announce that the Enhanced Prepayment Model will soon be available through Derivative Solutions. This integration will enable our mutual clients to incorporate the extended disclosure data into the prepayment forecast to further enhance the robust valuation analytics provided by Derivative Solutions. For more information, please visit the Derivative Solutions booth at AD&Co’s conference, contact your Derivative Solutions account manager or call Rob Landauer at 212-274-9075.
Client Contact:
Make sure that you and your colleagues are in the loop regarding model developments at AD&Co. Please send Ilda the names and email addresses of any colleagues you would like us to include in our email distribution list for the monthly Pipeline newsletter and all email based announcements. Stay abreast of model enhancements, tuning recommendations, new model releases, and AD&Co’s speaking engagements.
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