In response to repeated requests from our clients and prospects for a tool that takes full advantage of AD&Co’s suite of models, we are pleased and excited to introduce our fully integrated valuation solution – the Risk Profiler™ system. This is our first product that integrates all of our market standard models including prepayment, credit (LoanDynamics™), term structure and valuation solutions with an SQL or Access database and user-friendly front end. Link to this article

AD&Co.’s implementation of Credit OAS has progressed well beyond its first steps reported in the April and May Pipeline articles. We are now able to value a cohort of loans efficiently. This capability is useful for whole loan portfolio management and the assessment of a loan guarantee business (like that of the GSEs). We can also value CMOs and ABS (as well as ABX indexes) using loan-level simulations linked to INTEX cash flow generators. This article reviews the next steps and challenges for the completion of our goals. Link to this article

In last month’s Pipeline issue, we discussed and recommended adjusting model turnover tuning to 0.85 for 30-year Fannie Mae,  Freddie Mac and Jumbo Prime loan types based on model performance in current market conditions.  We have continued to monitor and evaluate all models to determine if any additional adjustments need to be made during these tricky times. We focus this month on the Agency ARM models, and examine if any adjustments can help the model capture prepayment speeds in the short-term timeframe, for 1-month, 3-month, and 6-month forecasts. Link to this article