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. 179 | Nov 2022

THE CHANGING
Eknath Belbase

Since the beginning of the year, fixed-income markets in general and MBS markets in particular have undergone seismic changes. In this edition of the pipeline, we present two articles which examine these changes through slightly different, complementary lenses.

TURN AND FACE THE STRANGE . . . CHANGES
Mickey Storms

In Part 1 of this two-part article series, we look retrospectively, in detail, at the magnitude and consequences of recent mortgage risk transitions.

2022 MARKET CHANGES AND RISK NEUTRAL PREPAYMENT MODELING
Alex Levin

Through this and many other AD&Co articles written since 2003-04, we are continuing to raise awareness that, contrary to the common perception, an OAS method linked to an empirically designed borrower-behavior model is not going to deliver market-observed risk and sensitivity measures. Luckily, a useful alteration is available and explained. In this article, we advocate the use of a risk-neutral (RN) version of LoanDynamics Model (LDM) to better project interest rate risk.

© 2022 Andrew Davidson & Co., Inc. All rights reserved. You must receive permission from marketing@ad-co.com prior to copying, displaying, distributing, publishing, reproducing, or retransmitting any of the content contained in The Pipeline.
This publication is believed to be reliable, but its accuracy, completeness, timeliness, and suitability for any purpose are not guaranteed. All opinions are subject to change without notice. Nothing in this publication constitutes (1) investment, legal, accounting, tax, or other professional advice or (2) any recommendation or solicitation to purchase, hold, sell, or otherwise deal in any investment. This publication has been prepared for general informational purposes, without consideration of the circumstances or objectives of any particular investor. Any reliance on the contents of this publication is at the reader’s sole risk. All investment is subject to numerous risks, known and unknown. Past performance is no guarantee of future results. For investment advice, seek a qualified investment professional. Note: An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in securities that may be the same or similar to those discussed in this publication.

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04-2019
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165
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Richard Cooperstein
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Eknath Belbase
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Eknath Belbase
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Andrew Wilcox
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Eknath Belbase
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158
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158
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157
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Eknath Belbase
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157
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Eknath Belbase
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03-2018
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157
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John Gao
Alex Levin
Daniel Swanson
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02-2018
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156
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Eknath Belbase
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02-2018
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156
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Daniel Swanson
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02-2018
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156
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Eknath Belbase
Harry Lijia Qin
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155
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Eknath Belbase
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Eknath Belbase
Harry Lijia Qin
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Alex Levin
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Rose Barnabic
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154
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Eknath Belbase
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154
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Alex Levin
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154
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AD&Co Modeling Team
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154
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Mackenzie Meadows
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Eknath Belbase
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Eknath Belbase
Harry Lijia Qin
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Rose Barnabic
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Eknath Belbase
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152
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Dan Szakallas
Daniel Swanson
Sanjeeban Chatterjee
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Alex Levin
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Eknath Belbase
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Eknath Belbase
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Alex Levin
Harry Lijia Qin
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AD&Co Modeling Team
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150
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Eknath Belbase
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06-2017
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150
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Alex Levin
Lingyu Wu