The Pipeline

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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. 173 | Oct 2020

A STEEPER FALL
Eknath Belbase

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.

DRIVING INTO 2021 WITH AUTO LDM
Chris Widman

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.

RECENT CHANGE IN HPI OUTLOOK AND ITS CONSEQUENCES
Alex Levin

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).

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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
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172
Author:
Dan Szakallas
Date:
04-2020
Issue:
171
Author:
Eknath Belbase
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04-2020
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171
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Dan Szakallas
Kevin Atteson
Daniel Swanson
Date:
04-2020
Issue:
171
Author:
Chris Widman
Date:
04-2020
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171
Author:
Mickey Storms
Richard Cooperstein
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04-2020
Issue:
171
Author:
Alex Levin
Date:
03-2020
Issue:
170
Author:
Eknath Belbase
Date:
03-2020
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170
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Mickey Storms
Alex Levin
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02-2020
Issue:
169
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Eknath Belbase
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02-2020
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Author:
Chris Widman
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02-2020
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169
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John Gao
Alex Levin
Daniel Swanson
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12-2019
Issue:
168
Author:
Eknath Belbase
Date:
12-2019
Issue:
168
Author:
Chris Widman
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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
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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
Date:
08-2018
Issue:
160
Author:
Dan Szakallas
Date:
08-2018
Issue:
160
Author:
Alex Levin
Mickey Storms
John Gao
Date:
06-2018
Issue:
159
Author:
Eknath Belbase
Date:
06-2018
Issue:
159
Author:
Andrew Wilcox
Date:
05-2018
Issue:
158
Author:
Eknath Belbase
Date:
05-2018
Issue:
158
Author:
Richard Cooperstein
Alex Levin
Jin Chen