Need to insure risk or ensure investment performance?

Whether you are responsible for issuing risk ratings on mortgage-backed securities (MBS), rating the risk premiums on credit risk transfers (CRTs), or investing in either MBS or CRTs, you need sophisticated risk analytics to make smart business or investment decisions. At AD&Co, our products are designed to help you optimize your pricing and valuation strategies.

For those writing reinsurance policies on mortgage credit, we provide tools to help you better ascertain the inherent risk in the securities. Our analytics help you evaluate prepayment and credit risk while also taking into account macroeconomic issues such as changing interest rates, home prices and economic scenarios, to determine the right premium price.

For investors in mortgage loans and mortgage-backed securities (MBS), including multi-family properties, as well as those investing in the credit risk of CRTs, we provide tools that adequately assess risk to help you intelligently deploy capital and better manage your portfolios. Regardless of the asset type, you too need to understand the impact of borrower prepayments, delinquencies and defaults, as well as the effect of changing macroeconomic scenarios on the value of your holdings or potential investments. Our models and applications allow investors to run scenarios that prepare a nuanced analysis of prepayment and credit risk, take into account macroeconomic issues and allow for sophisticated rich-cheap analyses.

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

  • Determine relative values

  • Conduct asset liability management

  • Inform portfolio construction and management

  • Perform stress tests

  • Benchmark against indexes

  • Support overall risk management

  • Ensure compliance with the NAIC

Tools you can use

LoanDynamics logoLoanDynamics (LDM) offers prepayment, default and loss severity on a pool of loans and how changes in interest rates and home prices will impact loan values. Trusted across the mortgage industry to forecast borrower behavior, LoanDynamics helps to manage asset liability and forecast credit loss to perform dependable valuations and scenario analyses. LoanDynamics is available through a variety of third-party vendors.

LoanKinetics logoLoanKinetics (LK) is our proprietary application that evaluates the inherent risk, value and performance of a whole loan, relative to other loans. Built on our LoanDynamics and MacroDynamics models, it can also perform traditional stochastic and user-defined scenario analyses. LoanKinetics provides a credit analysis to determine loan profile rankings, expected loss and tail risk, and ALLL (the Allowance for Loan and Lease Losses). It also supports mortgage insurance analysis by helping to size initial premiums, or test the value and adequacy of existing premiums. LoanKinetics users benefit from access to full documentation on our analytics and models, including regular assessments on model performance, as well as our Model Updates and Pipeline articles where we report on model adjustments.

LoanKinetics is available directly from AD&Co.

RiskProfiler logoRiskProfiler (RP) is our comprehensive valuation solution that evaluates the inherent risk in mortgage-backed securities by incorporating standard and advanced valuation techniques. It is the only application that brings together all of our proprietary LoanDynamics Model, MacroDynamics Models, and OAS Subroutine into a single, flexible platform to effectively capture risk. 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.

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.

HPI Outlook

HPI Outlook is a quarterly report that explains our forecasts for the 25-MSA Composite Index and five geographical indices: US National Index, Los Angeles, Miami, New York and Phoenix Metropolitan Statistical Areas. These forecasts are generated by our third-generation HomePriceDynamics model.