The Pipeline

Subscribe to our publications to make sure you stay up to date
pipeline logo

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. 185 | Feb 2024

LEAPING INTO 2024
Eknath Belbase

On this leap day edition of the Pipeline, we present four articles.

Our first article outlines recent macro developments that impact potential interest rate scenarios over the next year. I look at the ongoing convergence between market views as captured by Fed Fund futures/the yield curve and Fed views from the last dot plot, risks from the CRE space and finish with implications for the agency coupon stack.

MACRO-CONSIDERATIONS & TWO-SIDED MORTGAGE RISK
Eknath Belbase

In this article, we look at recent macro developments, the discrepancy between the Fed’s view and the rate path views embedded in Fed fund futures and discuss some potential scenarios that could evolve over the course of the year. We finish by looking at the agency coupon stack and the potential implications of these scenarios.

SHIFTING GEARS BACK TO FUNDAMENTALS
Connor Campbell

Much to the dismay of securities markets, which have struggled to price risk in an uncertain environment, the auto market has been on a joy ride for the past few years. When reflecting on just how strange the market has been, several things come to mind: appreciation of new and used vehicles; a couple of ABS deals are positioned to incur losses on a few lower tranches; manufacturers’ wide production of electric vehicles—and a sports car launched into outer space.

2024 CCAR SCENARIOS: MANDATORY AND EXPLORATORY STRESS-TESTING THROUGH AD&CO’S ANALYTICS
Alex Levin, Daniel Swanson

On February 15, the Federal Reserve Board (Fed) released two scenarios—Base and Severely Adverse—for the 2024 Comprehensive Capital Analysis and Review (CCAR). In addition, the Fed released two exploratory scenarios (A and B) that combine economic stresses with higher, rather than lower, interest rates, thereby increasing the cost of funding. These scenarios describe three-year trajectories based on key economic indicators.

FINANCIAL EDUCATION MUST KEEP UP WITH THE TIMES
Andrew Davidson

As financial professionals, we spend much of our time evaluating financial products such as credit cards, mortgages, insurance, and investments to determine how to manage risk and grow net present value for our employers. We spend less time, perhaps, thinking about why these products exist at all and if they are providing benefit to our customers. Much of our financial and regulatory system is built on the idea that it is the duty of the customer to determine which products are right for them and what price to pay.

© 2024 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.

The Pipeline Archive

Sort by

  • Date
  • Issue
  • Author
  • Title
Date:
02-2024
Issue:
185
Author:
Eknath Belbase
Date:
02-2024
Issue:
185
Author:
Eknath Belbase
Date:
02-2024
Issue:
185
Author:
Connor Campbell
Date:
02-2024
Issue:
185
Author:
Alex Levin
Daniel Swanson
Date:
02-2024
Issue:
185
Author:
Andrew Davidson
Date:
12-2023
Issue:
184
Author:
Eknath Belbase
Date:
12-2023
Issue:
184
Author:
Richard Cooperstein
Vivian Li
Date:
12-2023
Issue:
184
Author:
Richard Cooperstein
Date:
09-2023
Issue:
183
Author:
Eknath Belbase
Date:
09-2023
Issue:
183
Author:
Mickey Storms
Date:
09-2023
Issue:
183
Author:
Alex Levin
Date:
09-2023
Issue:
183
Author:
Joni Baker
Eknath Belbase
Date:
06-2023
Issue:
182
Author:
Eknath Belbase
Date:
06-2023
Issue:
182
Author:
Alex Levin
Date:
06-2023
Issue:
182
Author:
Richard Cooperstein
Kevin Lin
Michelle Stepien Breier
Date:
02-2023
Issue:
181
Author:
Eknath Belbase
Date:
02-2023
Issue:
181
Author:
Tom Parrent
Date:
02-2023
Issue:
181
Author:
Alex Levin
Daniel Swanson
Date:
02-2023
Issue:
181
Author:
Eknath Belbase
Date:
02-2023
Issue:
181
Author:
Joni Baker
Richard Cooperstein
Sanjeeban Chatterjee
Date:
12-2022
Issue:
180
Author:
Eknath Belbase
Date:
12-2022
Issue:
180
Author:
Michelle Stepien Breier
Date:
12-2022
Issue:
180
Author:
Sanjeeban Chatterjee
Date:
11-2022
Issue:
179
Author:
Eknath Belbase
Date:
11-2022
Issue:
179
Author:
Mickey Storms
Date:
11-2022
Issue:
179
Author:
Alex Levin
Date:
09-2022
Issue:
178
Author:
Eknath Belbase
Date:
09-2022
Issue:
178
Author:
Dan Szakallas
Date:
09-2022
Issue:
178
Author:
Mickey Storms
Date:
09-2022
Issue:
178
Author:
Matteo Caracciolo-King
Alex Levin
Vivian Li
Date:
09-2022
Issue:
178
Author:
Matteo Caracciolo-King
Date:
07-2022
Issue:
177
Author:
Eknath Belbase
Date:
07-2022
Issue:
177
Author:
Mickey Storms
Date:
07-2022
Issue:
177
Author:
Alex Levin
Date:
07-2022
Issue:
177
Author:
Connor Campbell
Date:
03-2022
Issue:
176
Author:
Eknath Belbase
Date:
03-2022
Issue:
176
Author:
Sanjeeban Chatterjee
Daniel Swanson
Richard Cooperstein
Date:
03-2022
Issue:
176
Author:
Alex Levin
Daniel Swanson
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
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