Investment Management

Need to make more informed investment decisions?

As an investor in mortgage loans and related mortgage-backed securities (MBS), you need to intelligently deploy capital using tools that adequately assess risk. Equally so, if you invest in multi-family properties or real estate investment trusts (REITs), you need sophisticated analytics to help value and obtain greater transparency into complex mortgage assets. Regardless of the asset type, you need to understand the impact of borrower prepayments, delinquencies and defaults, as well as the effect of changing interest rates, home prices and economic scenarios, on the value of your holdings or potential investments.

At AD&Co, our proprietary products can help you evaluate risk and determine valuations to make smarter investment decisions. 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:

  • Evaluate complex securities

  • Expose relative values opportunities

  • Conduct asset liability management

  • Perform stress tests

  • Inform portfolio construction and management

  • Support overall risk management

Tools you can use

LoanDynamics logoLoanDynamics (LDM) is our proprietary behavioral model that helps manage prepayments, predict defaults and forecast credit losses for mortgage loans. It provides crucial insights into asset-liability, particularly its impact on income as the spread between what is earned on assets and paid on liabilities, is highly sensitive to interest rate changes. It also helps with stress testing to support portfolio management. LoanDynamics is available through a variety of third-party vendors to easily integrate into your investment platform.

MSRKinetics logoMSRKinetics (MSRK) allows you to assess the value and risk inherent in a mortgage servicing rights (MSR) portfolio —including, but not limited to, interest rate risk. It allows you to project the effectiveness of hedging with TBAs. MSRK is powered by our LoanDynamics Model (LDM) and OAS Subroutine, and is integrated with our MSR-specific cash flow engine. It is available as a direct license 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.

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.

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.