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AD&Co.'s 2006 Conference is Almost Here!By Rob Landauer The invitations have been mailed, the presentations are being refined, the menu is being finalized—all that’s left is for you to sign up (if you haven’t already done so) and attend AD&Co’s 14th Annual Conference: Understanding Borrowers' Actions: A Look at Prepayments, Defaults and Security Valuation. The deadline for registration is Thursday June 1st so now’s the time to stop what you’re doing, click here and make sure you are signed up for the preeminent industry conference of the year. Don’t miss out on the dissemination of our ground breaking research on prepayment and credit models, networking opportunities with key vendors and industry leaders, and all of the charm and ambience that New York and San Francisco have to offer in June. Read more... Model Performance Review Prepayments took a noticeable dive in April; more so than we expected. The drop was consistent across the board, with the only exception being an increase in GNMA 4.0's. FNMA 30-year discounts (4.5’s to 5.5’s) fell by 10%, 12% and 16% respectively, while the burnt out premiums (7.0’s to 8.0’s) dropped by 12%, 15% and 10%. This pattern was consistent for the FHLMC collateral as well. Prepayments for the GNMA’s fell, but the lower coupon buckets did not experience as much of a drop compared to the current coupons and premiums. For example, GNMA 5.0’s fell by only 7% while GNMA 7.0’s fell by 15%. Read more... Value-Space Refinancing By Alex Levin
Andrew Davidson & Co., Inc.’s upcoming 2006 Conference agenda includes many interesting topics revolving around modeling borrowers’ actions. One of them is a uniform approach to prepayment modeling and its application to hybrids and ARMs. From a practical stand-point, prepayment modelers are overwhelmed these days with the proliferation of mortgage programs, types and “enhanced” datasets. Chasing every feature such as prepay penalty size, window or allotted curtailment becomes a challenge. Read more... |
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This email was delivered to laura@ad-co.com. The information contained in The Pipeline is believed to be reliable, but its accuracy and completeness are not guaranteed. All expressions of opinion are subject to change without notice. The Pipeline is provided for informational purposes only and is not a solicitation, endorsement or a recommendation for purchase or sale of any particular security. An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in securities that may be the same or similar to those discussed in this publication. |
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