Broker Dealer/Trading

Need risk insights to trade smarter?

As a trader, you require risk analytics to help value assets, measure portfolio holdings, and make buy/sell decisions, including the potential for arbitrage opportunities. At AD&Co, our products are designed to help you determine the best trade execution strategies.

Regardless of the asset you are trading, our proprietary models and analytics are dynamic, regularly updated and based on the latest research and economic data. They also easily integrate with third-party tools or directly on to your trading platform to generate results you can count on.

Supported by our experienced client service team that is available to address any concerns, our products help you:

  • Assign mark-to-market values

  • Analyze relative value

  • Develop hedging strategies

  • Identify and execute trades

  • Show potential clients risk/return tradeoffs between alternate positions

Tools you can use

LoanDynamics logoLoanDynamics (LDM) is our proprietary prepayment, default and loss severity model on mortgage loans that serves as the backbone for analyzing option-adjusted spreads, duration, convexity and other risk measurements. It helps measure holdings and identify arbitrage opportunities, as well as perform dependable valuations and scenario analyses. It also includes a dynamic primary-secondary spread model. LoanDynamics is available through a variety of third-party vendors to easily integrate into your trading platform.

RiskProfiler logoRiskProfiler (RP) is our comprehensive valuation solution for mortgage backed securities. It is the only application that brings together all our models -- LoanDynamics, MacroDynamics and the OAS Subroutine -- into a single, flexible platform to effectively capture risk. Designed as a database driven front end-user valuation system, RiskProfiler offers built-in reporting, parallel and distributed (cluster) computing and has the capability to store positions and past performance. It is available directly from AD&Co.

The OAS Subroutine is our flexible valuation model for mortgage backed-securities. It is powered by integrating our flagship LoanDynamics and MacroDynamics (both InterestRateDynamics and HomePriceDynamics) models, with cash-flow engines including our own AD&Co offering, or data from third-party players like Intex and Moody’s. The OAS Subroutine then uses our original and highly efficient financially engineered computational algorithms including our advanced Option-Adjusted Spread (OAS), prepayment OAS (prOAS), and credit OAS (crOAS) models to generate results. Designed with a simple front-end interface, it provides a mini-database with a Bloomberg data feed, including agency disclosed variables. The OAS Subroutine is available through third-party vendors.

Insights that can help you
Contact our Client Support Team for access
Mortgage Analysis & Reporting System (MARS)

MARS performance reports help evaluate the robustness of our models, comparing our model projections against actual market results.

Market Analysis Reports

Our market analysis reports consist of a weekly prepayment-risk-and-option-adjusted analysis, across the coupon stack, of the agency and government passthrough markets.

CRT Monitor

The CRT Monitor is a monthly report analyzing traded tranches of Agency Credit Risk Transfer deals. We derive a credit risk rating, our CreditProfile Category (CPC), the underlying credit metrics, and Option-Adjusted Spreads (OAS) given market levels at the close of a month. The underlying analysis is performed using RiskProfiler, our end-user valuation solution, and LoanDynamics credit model.

Technical Perspectives

Our comprehensive documentation provides a detailed, technical description of the full suite of LoanDynamics Models.