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.

HOUSE PRICES AND LDM V4.0 TEMPERING
Eknath Belbase

In this issue of the Pipeline, we present two articles.

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AD&CO’S ANNUAL HPI OUTLOOK UPDATE: MODERATE GROWTH
Alex Levin

On the last business day of August, Andrew Davidson & Co., Inc. (AD&Co) distributed a new set of data files containing the latest FHFA Home-Price Index (HPI) series through 2026Q2. This information dataset alters the HPI outlook used by AD&Co’s models and systems.

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TEMPERING NON-AGENCY LDM V4.0
Eknath Belbase, Vivian Li

Andrew Davidson & Co., Inc. (AD&Co) recently released a beta version of LDM v4.0. In this article, we evaluate the credit model by comparing current non-QM originations against historical data used in model estimation and rating agency subordination levels. We review the model’s performance under different economic shocks - including recessions, stagflations, and extreme stress scenarios – to establish where intentional parameter “tempering” is required to prevent model overfitting during this beta period.

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The Pipeline Archive

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Date:
09-2017
Issue:
152
Author:
Alex Levin
Title: CURRENT NATURAL DISASTERS AND RELATED CHANGES IN CRT VALUATION
Date:
08-2017
Issue:
151
Author:
Eknath Belbase
Title: SUMMER SUMMARY
Date:
08-2017
Issue:
151
Author:
Eknath Belbase
Title: REMEMBRANCE OF BACKUPS PAST
Date:
08-2017
Issue:
151
Author:
Alex Levin
Harry Lijia Qin
Title: THE DYNAMICS OF AGENCY CREDIT RISK AND IMPLIED G-FEE
Date:
08-2017
Issue:
151
Author:
AD&Co Modeling Team
Title: GRAPHS OF THE MONTH: IMPLIED G-FEES FOR CRT ISSUANCE
Date:
06-2017
Issue:
150
Author:
Eknath Belbase
Title: STRESSING ABOUT ACCOUNTING (OR CCARED BY CECL)
Date:
06-2017
Issue:
150
Author:
Alex Levin
Lingyu Wu
Title: CCAR 2017: FORWARD VALUATION WITHOUT FORESIGHT ("ADVANCED CCAR")
Date:
06-2017
Issue:
150
Author:
Mickey Storms
Rob Landauer
Swarali Kulkarni
Title: EFFICIENT CECL CHOICES USING AD&CO ANALYTICS
Date:
05-2017
Issue:
149
Author:
Eknath Belbase
Title: A LOOK AT CREDIT RISK TRANSFER, FOUR YEARS AND $1.4 TRILLION LATER
Date:
05-2017
Issue:
149
Author:
Harry Lijia Qin
Title: A COMPARISON OF CREDITPROFILE CATEGORY AND CREDIT RATINGS FOR CRT BONDS
Date:
05-2017
Issue:
149
Author:
Richard Cooperstein
Title: A CAPITAL STANDARD FOR THE GSES
Date:
05-2017
Issue:
149
Author:
AD&Co Modeling Team
Title: GRAPHS OF THE MONTH: SPECIAL ISSUE ON AGENCY CREDIT RISK TRANSFER (CRT) DEALS
Date:
04-2017
Issue:
148
Author:
Eknath Belbase
Title: BREAKING THE RANGE
Date:
04-2017
Issue:
148
Author:
Sanjeeban Chatterjee
Title: A LOOK AT NON-AGENCY MBS AND FORECLOSURE TIMELINES
Date:
04-2017
Issue:
148
Author:
Dan Szakallas
Title: MOVING ON UP: FROM PREPAYMENT MODEL TO AGENCY LOANDYNAMICS MODEL
Date:
04-2017
Issue:
148
Author:
AD&Co Modeling Team
Title: GRAPHS OF THE MONTH: AGENCY LDM 2.1.2 BETA PERFORMANCE FOR FANNIE MAE COLLATERAL
Date:
03-2017
Issue:
147
Author:
Eknath Belbase
Title: THE (T)IDES OF MARCH: THE QUIET AFTERMATH OF THE FED MEETING
Date:
03-2017
Issue:
147
Author:
Andrew Wilcox
Title: MODELING FNMA'S DUS LOANS
Date:
03-2017
Issue:
147
Author:
Mackenzie Meadows
Title: THE NEW REVERSE MORTGAGE LANDSCAPE: A PRIMER (PART 2 OF 3)
Date:
03-2017
Issue:
147
Author:
AD&Co Modeling Team
Title: GRAPHS OF THE MONTH: AGENCY LDM 2.1.2 BETA PERFORMANCE FOR GINNIE MAE II
Date:
02-2017
Issue:
146
Author:
Eknath Belbase
Title: 2017 Outlook: Trends & Risks
Date:
02-2017
Issue:
146
Author:
Eknath Belbase
Harry Lijia Qin
Title: OUTLOOK FOR 2017
Date:
02-2017
Issue:
146
Author:
Andrew Wilcox
Title: THE MULTIPLE DIMENSIONS OF MULTIFAMILY LOANS (PART 3)
Date:
02-2017
Issue:
146
Author:
AD&Co Modeling Team
Title: GRAPHS OF THE MONTH: ECONOMIC AND HOUSING OVERVIEW
Date:
02-2017
Issue:
146
Author:
Alex Levin
Lingyu Wu
Title: CCAR 2017: STRESS SCENARIOS, ANALYTICAL EXTENSIONS AND LOSS PROJECTIONS
Date:
11-2016
Issue:
145
Author:
Eknath Belbase
Title: A Foreshadowing of Inflation
Date:
11-2016
Issue:
145
Author:
Eknath Belbase
Alex Levin
Title: RELATIVE VALUE OF CRT BONDS
Date:
11-2016
Issue:
145
Author:
Daniel Swanson
Title: A LOOK AT THE FANNIE MAE RE-PERFORMING DATA
Date:
11-2016
Issue:
145
Author:
AD&Co Modeling Team
Title: GRAPHS OF THE MONTH: LDM PERFORMANCE CHARTS FOR PRIME COLLATERAL ORIGINATED AFTER THE CRISIS
Date:
10-2016
Issue:
144
Author:
Eknath Belbase
Title: The Big Picture: The CRT Edition
Date:
10-2016
Issue:
144
Author:
Richard Cooperstein
Title: THE GSE CREDIT RISK TRANSFER PROGRAM
Date:
10-2016
Issue:
144
Author:
Laura Silberg
Title: GOT LDM?: A SHOUT-OUT TO AD&CO'S LOANDYNAMICS MODEL VENDORS
Date:
10-2016
Issue:
144
Author:
AD&Co Modeling Team
Title: GRAPHS OF THE MONTH: ECONOMY AND HOUSING OVERVIEW
Date:
10-2016
Issue:
144
Author:
Alex Levin
Title: QUANTITATIVE PERSPECTIVES: RISK NEUTRALIZATION OF AGENCY CREDIT MODEL, RELATIVE VALUE, AND IMPLIED G-FEES
Date:
07-2016
Issue:
143
Author:
Eknath Belbase
Title: BREXIT & BEYOND
Date:
07-2016
Issue:
143
Author:
Richard Cooperstein
Title: MODEL RISK MANAGEMENT IN THE 21ST CENTURY
Date:
07-2016
Issue:
143
Author:
Eknath Belbase
Mike Tuteral
Title: COMPARING 2016 STACR AND CAS DEALS: A PRIMER, PART II
Date:
07-2016
Issue:
143
Author:
AD&Co Modeling Team
Title: GRAPHS OF THE MONTH: AGENCY LDM FOR CRT DEALS
Date:
06-2016
Issue:
142
Author:
Eknath Belbase
Title: A SHORT REVERSAL
Date:
06-2016
Issue:
142
Author:
Sanjeeban Chatterjee
Title: FORECLOSURE TIMELINES: A LOOK BACK AT 2015
Date:
06-2016
Issue:
142
Author:
Daniel Swanson
Title: FORECLOSURE RUN RATES
Date:
06-2016
Issue:
142
Author:
Alex Levin
Mike Tuteral
Lingyu Wu
Title: PUTTING AD&CO'S THIRD GENERATION HOME-PRICE MODEL (HPI3) TO WORK
Date:
06-2016
Issue:
142
Author:
Eknath Belbase
Mike Tuteral
Title: COMPARING 2016 STACR AND CAS DEALS: A PRIMER, PART I
Date:
06-2016
Issue:
142
Author:
AD&Co Modeling Team
Title: GRAPHS OF THE MONTH: FORECLOSURE RUN RATES BY REGIONS
Date:
05-2016
Issue:
141
Author:
Eknath Belbase
Title: CALM AGAIN
Date:
05-2016
Issue:
141
Author:
Andrew Wilcox
Title: THE MULTIPLE DIMENSIONS OF MULTIFAMILY LOANS (PART 2)
Date:
05-2016
Issue:
141
Author:
Mackenzie Meadows
Title: THE NEW REVERSE MORTGAGE LANDSCAPE: A PRIMER (PART 1)
Date:
05-2016
Issue:
141
Author:
Eknath Belbase
Mike Tuteral
Title: THE STACR DNA DEALS: 2016 VS 2015
Date:
05-2016
Issue:
141
Author:
AD&Co Modeling Team
Title: GRAPHS OF THE MONTH: LDM PERFORMANCE CHARTS FOR LEGACY PRIME COLLATERAL
Date:
03-2016
Issue:
140
Author:
Eknath Belbase
Title: EXPANDING OUR HORIZONS