The Pipeline

The yield curve has steepened modestly over the last two months, particularly in the 5 to 30- year maturity segment. Some stories have attributed this to a growing weight being put on a “Blue Wave” and a greater likelihood of a subsequent increase in fiscal stimulus. Nevertheless, realized inflation continues to be weak, and QE has been continuing at a steady pace since May, with securities held outright reaching $4.5 trillion on the Fed’s balance sheet.

As we frequently receive inquiries about models for other assets, Andrew Davidson & Co., Inc. is excited to announce that our LoanDynamics model suite has been expanded to include auto loans. In this article, we continue our four-part series on auto loan modeling with an introduction to our forthcoming Auto LoanDynamics Model (Auto LDM). The first article, “An Introduction to Auto Loans,” provided an overview of important dynamics in auto loan behavior. Our second article, “Auto Loan Performance,” discussed auto loan delinquency, default, and prepayment trends over the past 15 years.

On the last business day of August, Andrew Davidson & Co., Inc. (AD&Co) distributed a new set of September data files containing the updated FHFA HPA series that now includes 2020Q2. Along with generic prepayment, COVID-credit tunings, and forbearance-focused tunings, this set alters the expected results from AD&Co’s LoanDynamics Model (LDM) and Financial Engineering products (RiskProfiler, LoanKinetics, or the underlying computing subroutine).