LoanDynamics Model

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Want to experience LoanDynamics?

LoanDynamics (LDM) is AD&Co’s flagship prepayment and credit model that helps you manage interest rate and credit risks in mortgage loans by forecasting prepayment, delinquency, default and loss probabilities. Used across the financial industry, LoanDynamics provides an ability to measure risk and forecast portfolio values, based on a variety of changing economic and market conditions such as home prices, interest rates and unemployment.

LoanDynamics is flexible to use, allowing for cash flow projections, bond pricing/valuations, asset/liability management and hedging strategies. The model can be tuned to user-specific portfolios. Users are also given access to full documentation on how LoanDynamics is modeled, affording even greater understanding and total transparency into our approach. From the model’s construction to the outputs it generates, LoanDynamics can also effectively challenge a user’s own internal analytics.

LoanDynamics is available through a variety of third-party vendors. Product users are provided with user guides and a variety of publications that report on model updates, technology developments and related market issues.

LoanDynamics (LDM) is available in various versions to satisfy client needs.
The LoanDynamics Model family includes
Agency LDM
Agency collateral

120 or 180 day repurchase

Best for Agency Pools, Credit Risk Transfer deals with formulaic severity, CMOs, and TBAs
Agency LDM+
Agency collateral and agency-quality whole loans
Life of loan with foreclosure timelines and severity model

Best for Credit Risk Transfer deals with actual severity and agency-quality loan portfolios
Non-Agency LDM
Non-Agency collateral (jumbo prime, Alt-A, subprime); legacy and post-crisis
Life of loan with foreclosure timelines and severity model

Best for non-agency securities and non-agency whole loans
Multifamily LDM
Agency multifamily collateral

Life of loan monthly vectors of voluntary and involuntary prepayments
Best for Ginnie Multifamily, FNMA DUS, and Freddie K-Deals
Features and Capabilities
Key Features and Capabilities
  • Robust data sets of more than 150 inputs, including delinquency status and current LTV, are incorporated

  • Voluntary and involuntary prepayments are forecasted separately

  • Can be used for stress testing, MSR and CRT analyses

  • A dynamic primary-secondary rate model is included

  • Models are constantly monitored then updated to remain relevant, based on our institutional knowledge and market feedback

  • Superior client service is always available to support product use and functionality

  • Easy integration with most user platforms


LoanDynamics can be delivered in multiple ways. LDM is embedded in our LoanKinetics and RiskProfiler applications and is available for direct licensing for integration into user platforms. It is also available through third-party providers. Delivery options include:

  • Third-party systems (see Vendors page)
  • DLLs (for integration into proprietary systems)
  • Indirectly via wholesale agreements

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

Supporting Resources
LDM Excel

The LoanDynamics Excel Spreadsheet is a simple, Excel-based interface and is a useful tool for ad hoc analysis, sensitivity and scenario analyses, validation testing and validation of model results coming from a third-party system.

Model Performance Reports

Our model performance reports compare actual vs. forecasted speeds in various dimensions. Monthly trend reports show how the model has been performing recently, while model backtesting reports demonstrate performance on a larger historical windows. While these static reports are delivered as PDFs, our Mortgage Analysis and Reporting System (MARS) is web-based, capable of running customized performance reports on an on-demand basis.

Model Validation

To address regulatory and industry requirements related to model validation and risk management, we have adopted a formal approach based on the inter-agency guidance of banking regulators. This includes assessing the conceptual soundness of all of our models, validating model results by back-testing, and monitoring the models on an ongoing basis, as new data becomes available and as new model versions are released.

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 on 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 HomePriceDynamics model.