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Welcome to the Pipeline, Andrew Davidson & Co., Inc.‘s newsletter, a “pipeline” of relevant and useful information, focused on recent trends, changes, and advances in the mortgage investor’s market.

Issue No. 175 | Mar 2021

BEARS COME OUT OF HIBERNATION
Eknath Belbase

The back-up and steepening that began soon after the election accelerated recently, with an extremely volatile session on the 25th following a weak 7-year Treasury auction. The yield curve is now over 50 bps higher on the long end since the election. Further moves appear possible as growth prospects and improvement in the employment picture become clearer. Given the importance of employment numbers, it is particularly timely that we are in the process of releasing LDM 3.0.

NEW FEATURES IN LDM 3.0
Daniel Swanson

This article introduces LoanDynamics Model (LDM) 3.0, a forthcoming update to AD&Co’s borrower behavior model. The updated model will focus specifically on the delinquency transition in the Agency LDM Plus model. In this brief article, we will highlight three key additions to that model:

• New Loan-Level Factors

• Delinquency History

• Unemployment

2021 CCAR SCENARIOS: AD&CO’S ANALYTICS AND DATA FILES
John Gao, Alex Levin, Daniel Swanson

On February 12, the Federal Reserve Board (Fed) released two scenarios—Base and Severely Adverse—for the 2021 Comprehensive Capital Analysis and Review (CCAR). These scenarios describe three-year trajectories based on key economic indicators; of the 28 variables, the ones used by AD&Co’s mortgage models are home price (CoreLogic national HPI); interest rates (3-month, 5-year, and 10-year Treasury, prime index, and mortgage primary rate); and national unemployment.

HOW TO AVOID BEING TRIGGERED BY MODELS
Tom Parrent

Borrower behavior constantly evolves in response to changes in economic conditions, new product introductions by lenders, and development of new government policies. Ensuring that Andrew Davidson & Co., Inc.’s (AD&Co) models remain good predictors of consumer behavior requires constant testing and, when appropriate, timely modifications. Performance trigger reports help us identify model drift and developing trends in prepayments, delinquencies and defaults.

The Pipeline Archive

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Date:
03-2021
Issue:
175
Author:
Eknath Belbase
Date:
03-2021
Issue:
175
Author:
Daniel Swanson
Date:
03-2021
Issue:
175
Author:
John Gao
Alex Levin
Daniel Swanson
Date:
03-2021
Issue:
175
Author:
Tom Parrent
Date:
12-2020
Issue:
174
Author:
Eknath Belbase
Date:
12-2020
Issue:
174
Author:
Alex Levin
Date:
12-2020
Issue:
174
Author:
Eknath Belbase
Date:
10-2020
Issue:
173
Author:
Eknath Belbase
Date:
10-2020
Issue:
173
Author:
Chris Widman
Date:
10-2020
Issue:
173
Author:
Alex Levin
Date:
08-2020
Issue:
172
Author:
Eknath Belbase
Date:
08-2020
Issue:
172
Author:
Daniel Swanson
Date:
08-2020
Issue:
172
Author:
Dan Szakallas
Date:
04-2020
Issue:
171
Author:
Eknath Belbase
Date:
04-2020
Issue:
171
Author:
Dan Szakallas
Kevin Atteson
Daniel Swanson
Date:
04-2020
Issue:
171
Author:
Chris Widman
Date:
04-2020
Issue:
171
Author:
Mickey Storms
Richard Cooperstein
Date:
04-2020
Issue:
171
Author:
Alex Levin
Date:
03-2020
Issue:
170
Author:
Eknath Belbase
Date:
03-2020
Issue:
170
Author:
Mickey Storms
Alex Levin
Date:
02-2020
Issue:
169
Author:
Eknath Belbase
Date:
02-2020
Issue:
169
Author:
Chris Widman
Date:
02-2020
Issue:
169
Author:
John Gao
Alex Levin
Daniel Swanson
Date:
12-2019
Issue:
168
Author:
Eknath Belbase
Date:
12-2019
Issue:
168
Author:
Chris Widman
Date:
12-2019
Issue:
168
Author:
Alex Levin
Nathan Salwen
Date:
09-2019
Issue:
167
Author:
Eknath Belbase
Date:
09-2019
Issue:
167
Author:
Andrew Davidson
Feiqi Jiang
Alex Levin
Date:
09-2019
Issue:
167
Author:
Chris Widman
Date:
06-2019
Issue:
166
Author:
Eknath Belbase
Date:
06-2019
Issue:
166
Author:
Dan Szakallas
Date:
06-2019
Issue:
166
Author:
Sanjeeban Chatterjee
Date:
04-2019
Issue:
165
Author:
Eknath Belbase
Date:
04-2019
Issue:
165
Author:
Alex Levin
Date:
04-2019
Issue:
165
Author:
Richard Cooperstein
Date:
02-2019
Issue:
164
Author:
Eknath Belbase
Date:
02-2019
Issue:
164
Author:
Eknath Belbase
Date:
02-2019
Issue:
164
Author:
Daniel Swanson
Date:
02-2019
Issue:
164
Author:
John Gao
Alex Levin
Daniel Swanson
Date:
12-2018
Issue:
163
Author:
Eknath Belbase
Date:
12-2018
Issue:
163
Author:
Alex Levin
Date:
12-2018
Issue:
163
Author:
Dan Szakallas
Date:
12-2018
Issue:
163
Author:
Sanjeeban Chatterjee
Date:
10-2018
Issue:
162
Author:
Eknath Belbase
Date:
10-2018
Issue:
162
Author:
Alex Levin
Date:
10-2018
Issue:
162
Author:
Eknath Belbase
Date:
09-2018
Issue:
161
Author:
Eknath Belbase
Date:
09-2018
Issue:
161
Author:
Daniel Swanson
Date:
09-2018
Issue:
161
Author:
Alex Levin
Date:
08-2018
Issue:
160
Author:
Eknath Belbase