ONLINE TOOLS & REPORTS GIVE YOU THE INSIGHT YOU NEED TO BETTER UNDERSTAND AD&CO MODEL PERFORMANCEAs the market standard in fixed-income analytics, we strive to create innovative modeling techniques while maintaining predictive consistency. |
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See for yourself how the model is performing.
AD&Co provides version-specific online demos designed for the user to enter the characteristics of a given pool/loan. The model forecasts prepayments throughout the remaining life of that pool/loan and then outputs those results. Many clients use these demos to ensure that particular models are properly integrated within third-party systems.
Link to Online Model Demos 
To help evaluate the robustness of our models, we provide Mortgage Analysis & Reporting to compare our model predictions against actual market experience. Mortgage Analysis & Reporting System (MARS) allows the user to specify different analysis periods, origination periods, and net coupon levels.
AD&Co's Mortgage Analysis & Reporting System taps into our extensive database of historical prepayment speeds to track the actual vs. forecasted performance of MBS Agency Fixed, ARM and hybrid loan types in our model. These are not canned reports, but actual real-time dynamically generated outputs from our model driven by user-defined requests to a secure AD&Co server. Trend reports provide monthly performance updates comparing actual mortgage prepayments with model predicted prepayments. Each report compares actual versus model results in the last one, three, six and twelve month periods. All model results are generated with the latest version of the AD&Co Prepayment Model and the most recent data files, including the latest tuning recommendations. Static model validation reports and charts are available for our Prepayment and LoanDynamicsTM Models. Static model validation reports and charts provide a comparison of actual vs. forecasted results. As AD&Co releases new versions of our models, validation reports become available under 'Additional Documentation' in the Release Notes section of our website.
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CreditProfile™ is an easy-to-use, web-based tool designed to quantify the risk exposure of residential mortgage-backed securities. The tool produces four principal risk measures and an overall composite score, which expands upon traditional credit ratings. CreditProfile™ provides timely, unbiased scores on a monthly basis in order to help investors, risk managers and regulators monitor the changing risk characteristics of mortgage securities. The application currently covers 70% of the number of standard mortgage securities (no IOs, POs, HELOCs, Z-tranches or re-REMICs). One of the major advantages of CreditProfile™ is that it utilizes the analytic engines of AD&Co.'s suite of highly advanced models, including LoanDynamics™, RiskProfiler™, HPI Simulator™ and prepayment model.  Market Valuation Reports provide OAS, duration, convexity and key rate durations for the actively traded 30-year agency TBAs. These numbers are generated on a weekly basis and use AD&Co's prepayment, term structure (Hull White) and valuation models (using market prices) to give an objective market standard view of the relative value of these key securities. All assumptions are clearly displayed at the top of each report so that users can assess the reasonableness of the outputs from any vendor or internal system that uses the AD&Co Prepayment Model.
This evaluation is an important step in the validation of the proper integration of the AD&Co prepayment or valuation system into a third party system.
Another feature of the Market Analysis Report is the Risk Neutral based outputs. These results are generated using risk-neutral tunings that are calibrated to minimize the OAS variability on the respective agency backed debentures. The actual tuning adjustments made to the refi, turnover, burnout and slide parameters are shown at the top of the report in the Risk Neutral Tunings box. |