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. 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:
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
Date:
05-2018
Issue:
158
Author:
Eric Limjoco
Date:
03-2018
Issue:
157
Author:
Eknath Belbase
Date:
03-2018
Issue:
157
Author:
Eknath Belbase
Date:
03-2018
Issue:
157
Author:
John Gao
Alex Levin
Daniel Swanson
Date:
02-2018
Issue:
156
Author:
Eknath Belbase
Date:
02-2018
Issue:
156
Author:
Daniel Swanson
Date:
02-2018
Issue:
156
Author:
Eknath Belbase
Harry Lijia Qin
Date:
01-2018
Issue:
155
Author:
Eknath Belbase
Title: A NEW YEAR
Date:
01-2018
Issue:
155
Author:
Eknath Belbase
Harry Lijia Qin
Date:
01-2018
Issue:
155
Author:
Alex Levin
Date:
01-2018
Issue:
155
Author:
Rose Barnabic
Date:
12-2017
Issue:
154
Author:
Eknath Belbase
Date:
12-2017
Issue:
154
Author:
Alex Levin
Date:
12-2017
Issue:
154
Author:
AD&Co Modeling Team
Date:
12-2017
Issue:
154
Author:
Mackenzie Meadows
Date:
10-2017
Issue:
153
Author:
Eknath Belbase
Date:
10-2017
Issue:
153
Author:
Eknath Belbase
Harry Lijia Qin
Date:
10-2017
Issue:
153
Author:
Rose Barnabic
Date:
09-2017
Issue:
152
Author:
Eknath Belbase
Date:
09-2017
Issue:
152
Author:
Dan Szakallas
Daniel Swanson
Sanjeeban Chatterjee
Date:
09-2017
Issue:
152
Author:
Alex Levin
Date:
08-2017
Issue:
151
Author:
Eknath Belbase
Date:
08-2017
Issue:
151
Author:
Eknath Belbase
Date:
08-2017
Issue:
151
Author:
Alex Levin
Harry Lijia Qin
Date:
08-2017
Issue:
151
Author:
AD&Co Modeling Team
Date:
06-2017
Issue:
150
Author:
Eknath Belbase
Date:
06-2017
Issue:
150
Author:
Alex Levin
Lingyu Wu
Date:
06-2017
Issue:
150
Author:
Mickey Storms
Rob Landauer
Swarali Kulkarni
Date:
05-2017
Issue:
149
Author:
Eknath Belbase
Date:
05-2017
Issue:
149
Author:
Harry Lijia Qin
Date:
05-2017
Issue:
149
Author:
Richard Cooperstein
Date:
05-2017
Issue:
149
Author:
AD&Co Modeling Team
Date:
04-2017
Issue:
148
Author:
Eknath Belbase
Date:
04-2017
Issue:
148
Author:
Sanjeeban Chatterjee
Date:
04-2017
Issue:
148
Author:
Dan Szakallas
Date:
04-2017
Issue:
148
Author:
AD&Co Modeling Team
Date:
03-2017
Issue:
147
Author:
Eknath Belbase
Date:
03-2017
Issue:
147
Author:
Andrew Wilcox
Date:
03-2017
Issue:
147
Author:
Mackenzie Meadows
Date:
03-2017
Issue:
147
Author:
AD&Co Modeling Team
Date:
02-2017
Issue:
146
Author:
Eknath Belbase
Date:
02-2017
Issue:
146
Author:
Eknath Belbase
Harry Lijia Qin
Date:
02-2017
Issue:
146
Author:
Andrew Wilcox