Thanks to all who attended, spoke and or exhibited at AD&Co’s conferences in New York and San Francisco last month. We hosted over 230 people in New York and over 50 in San Francisco for a record combined attendance. 200 different companies and 17 different company types were represented. Over a third of the participants attended our conference for the first time.

These statistics highlight the depth and breadth of AD&Co’s market penetration and the faith that our friends and colleagues place in our models, advice and insight. For those who could not attend, we have posted the conference presentations on our website. Open this article...

In this article we look at Alt-A speeds versus speeds for comparable FNMA collateral (see Issue 25 of The Pipeline for AD&Co’s discussion of Alt-As.)

For this study, we looked at the RFC Alt-A shelf for fixed rate Alt-A loans and at multiple issuers for Alt-A ARM loans. Open this article...

One of the main questions on everyone’s lips in the wake of the subprime crisis is whether banks can expect any money back on their subprime loan portfolios and, if so, when? Anne Ching discusses subprime default rates and the speed with which they are likely to occur in the June edition of Mortgage Risk Magazine Open this article...

The OAS method has two ingredients: an option-like valuation approach (world randomness) and the assumption of OAS constancy.  The option-like valuation approach seems like a sure thing; in fact, the option valuation itself can be viewed as a special case of the OAS method (when OAS = 0).  For MBS, we plug-in a discount spread (OAS) to equate the expected PV to the actual market price. It is the assumption of a constant OAS, different for different instruments, that leads to hidden problems that we would like to discuss in this article. Open this article...