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LoanKinetics-Climate Impact Suite Now Available!

LoanKinetics is our multi-functional whole loan application that evaluates legacy and newly originated residential mortgage loans and is now available under the Kinetics umbrella. It can be used to project credit performance, assess value (using multiple approaches), and perform loan loss analysis for reserving and understanding attribution. LoanKinetics also has embedded functionality to perform CCAR stress testing as well as user-defined scenario analysis.

The application leverages the power of multiple AD&Co models including LoanDynamics, our behavioral prepayment and credit model, and the OAS Subroutine, our scenario analysis and valuation tool that incorporates our proprietary MacroDynamics models – all tools used by some of largest and most sophisticated players in the global mortgage market.

LoanKinetics can be seamlessly integrated into a proprietary or third-party vendor system. It includes a simple, yet dynamic and flexible Excel interface with illustrative reports for ad hoc analysis and users can also run the application in batch mode using scripts. Alternatively, it can be deployed as a cloud-based instance, installed on multiple servers or accessed through your local intranet.

Product users are provided with user guides and a variety of publications that report on model updates, technology developments and related market issues.

Features and Capabilities
Credit Performance and Loan Profile Ranking (LPR)

LoanKinetics provides default and loss projections under user-defined scenarios, as well as a built-in set of scenarios that address both economic and model risk. It combines projections of average loss and tail risk to derive at our proprietary rating for loans, LoanProfile Ranking (LPR), which assigns a rating from 1 to 10 based on the characteristics of the loan and associated borrower. A quick scan of LPRs across your portfolio helps you delineate high risk loans from low risk loans.

Valuation and Price Sensitivity Metrics

LoanKinetics provides loan level valuation alternatives. This includes conventional methods such as yield, a single Credit Option Adjusted Spread (crOAS) approach, and our proprietary Virtual Securitization method that derives market implied pricing from multiple market crOAS levels, which AD&Co publishes on a monthly basis.

LoanKinetics generates multiple duration and convexity metrics at both the loan and portfolio level.

Comprehensive Scenario Analysis of Credit Performance

Designed to conduct various stress testing, LoanKinetics includes built-in scenarios for Comprehensive Capital Analysis and Review (CCAR), Current Expected Credit Losses (CECL) and Financial Accounting Standards Board (FASB) requirements.

Loan Loss Attribution

LoanKinetics quantifies credit performance over time as a function of changes in portfolio composition and economic factors for loan loss attribution.

Portfolio Stratification

By creating detailed portfolio stratification tables, LoanKinetics shows credit performance results by loan characteristics such as long-term value (LTV), FICO, weighted average coupon (WAC), weighted average maturity (WAM), doc type, state and others.


LoanKinetics is available only from AD&Co. Delivery options include:

  • Desktop (in Excel)
  • LK Executable

For questions on optimal system usage and integrations, please contact us.

LoanKinetics in Action
Stress Testing

Our proprietary LoanDynamics and HomePriceDynamics models are applied within scenarios to generate loan level and portfolio level lifetime credit loss forecasts. Stratification tables illustrate credit performance by loan characteristic such as LTV, FICO, state, doc type, WAC, WAM, etc.

stress test resutls
Scenario Loss Forecasts

LoanDynamics is applied in scenarios to estimate loan level lifetime losses, nine-quarter loss, four-quarter write-offs, user-defined forward-period loss, tail risk, and other credit metrics. Portfolio level expected values are then estimated in relation to scenario probabilities. Results are presented graphically and in detailed stratification tables.

scenario grid
Virtual Securitization

AD&Co's proprietary Virtual Securitization method splits each loan into simplified senior, mezzanine, and subordinate tranches that are sized based on the loan's vulnerability to losses. LoanKinetics then prices each component using market observed crOAS levels and computes a weighted sum of these prices to achieve the overall price for the loan. The following chart shows the overall price distribution of loans within a given portfolio.

LoanKinetics Pricing Results

Comprehensive Valuation Reports

LoanKinetics generates many reports at the loan and portfolio level. The following report illustrates alternative valuation metrics, projected borrower behavior measures such as prepayments and defaults, credit characteristics, as well as AD&Co’s proprietary Loan Profile Ranking (LPR). Users may also see the breakdown of each loan into its senior, mezzanine, and subordinate components, as well as the value that is assigned to each component.

LoanKinetics Valuation Report