Over the last several months, AD&Co has been engaged by commercial, mortgage and home loan banks, as well as hedge funds and mortgage insurers to provide an independent third party valuation of the intrinsic and market value of their non-agency MBS holdings. These engagements provide an objective assessment of the current market value of these securities as well as a projection of future cashflows and losses under a variety of home price and interest rate scenarios. These results are then used by auditors, boards of directors and investors to make better portfolio and risk management decisions about their MBS holdings during these tumultuous times. To read more about the engagement AD&Co recently completed for Bank Hapoalim, please click here to access the bank’s press release regarding the engagement.

AD&Co is uniquely positioned to provide expert advice on the valuation of credit-sensitive RMBS. Andy Davidson, Alex Levin and Rick Ellson lead a team of analysts that have significant experience in valuing these instruments using AD&Co’s market standard credit model (LoanDynamics™), prepayment model and valuation solutions. Please contact Rob Landauer for more information on how our firms can work together.

16th Annual Conference

Online registration is now available for AD&Co’s 16th Annual Conference that will be held this year in New York City on June 11th and in San Francisco on June 16th. Agendas and presentations are now being finalized so click here to secure your spot at the location of your choice. Registration is free and there are plenty of recommendations for hotels if you need lodging.

V5.2d Prepayment Model Released

In March, AD&Co released a new version of the MBS Prepayment Model, v5.2d. This version provides heightened sensitivity to home prices for the fixed rate models. To obtain access to this version, please contact your account manager, Matt or Suzanne.

In this article we look at prepayment speeds for non-agency prime and subprime mortgages through January 2008. Prepayment speeds here represent total termination speeds and include both voluntary and involuntary prepayments. Data in this study was obtained from Intex. Link to this article

In recent months, AD&Co has been asked to help firms understand and manage risk relating to credit-sensitive MBS, both in the US and abroad. While it is not always easy to explain the market’s rationale in times of panic or stagnation, we warn investors not to be misguided by some common myths that have surfaced.  Link to this article