ASF 2008 is right around the corner and AD&Co is busy preparing to meet with all of our clients and friends that make the trek to Las Vegas. While the pre-conference buzz is focused on the search for a cure for the ailing mortgage industry and the Super Bowl (go Giants), AD&Co promises to grab the spotlight with new enhancements to our credit, prepayment and valuation solutions.

You are cordially invited to meet with us in our private meeting room located just below the exhibition hall to discuss how AD&Co’s suite of products and services can solve your risk management and valuation needs. AD&Co personnel in attendance will include:
           
            Andy Davidson: President
            Mark Williams: Director Credit Modeling
            Anne Ching: Senior Credit Analyst
            Rob Landauer: Director of Business Development
            Sekiko Garrison: West Coast Business Development
            Suzanne West: Account Manager
            Matt MacLean: Account Manager

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In this article we look at prepayment speeds for non-agency loans to study some of the effects that we observed in 2007. It is common knowledge that prepayment speeds for prime and sub-prime loans have slowed down. This article shows the magnitude of the slowdown and some interesting trends.

We obtained data for this study from Intex. The prepayment speeds indicate total terminations, which include voluntary and involuntary prepayments. Prepayments are recorded whenever the balance becomes zero regardless of the reason. Link to this article

We usually end each year with an annual MBS roundup, but this time I decided to change the focus. It is hard to add much to what everyone knows. I heard that linguists announced “subprime” to be the word of 2007. It was a disastrous year for holders of long positions in MBS. After thundering losses, the non-agency MBS market froze and marks became uncertain. Agency MBS, especially hybrid ARMs, widened considerably to agency debentures, despite of having similar credit. Many investors liquidated MBS positions to raise cash. Link to this article