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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. 191 | Sep 2025

A TURN INTO FALL
Eknath Belbase

With recent data indicating slowing job growth, large downward revisions to recent job growth, higher claims and flat to falling house prices in many locations, the recent drop in mortgage rates adds another interesting factor into the mix. The Fed’s upcoming decision promises to be interesting as they weigh rising CPI against employment. Against this backdrop, we present three articles.

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AD&CO’S HPI OUTLOOK UPDATE: FLAT, WEAKLY GROWING
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 2025Q2. This information dataset alters the HPI outlook used by AD&Co’s models and systems.

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COMPARATIVE VALUATION OF CRTS WITH AND WITHOUT EMBEDDED GSE CALLS
Alex Levin

After a long development, we have been able to analyze the entire CRT market with and without consideration of embedded GSE call options. This article summarizes our results with a particularly interesting focus on valuing the embedded borrower option versus the GSE call.

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INTRODUCING PILOT PROJECTS FOR CLIMATE IMPACT SUITE
Eknath Belbase

In this article, we briefly review our Climate Impact Suite and then introduce pilot projects where Andrew Davidson & Co., Inc. (AD&Co) works with interested clients together with a vendor providing property-level climate data. We invite clients interested in a pilot to reach out via support@ad-co.com.

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© 2025 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

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  • Date
  • Issue
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Date:
09-2025
Issue:
191
Author:
Eknath Belbase
Title: A TURN INTO FALL
Date:
09-2025
Issue:
191
Author:
Alex Levin
Title: AD&CO’S HPI OUTLOOK UPDATE: FLAT, WEAKLY GROWING
Date:
09-2025
Issue:
191
Author:
Alex Levin
Title: COMPARATIVE VALUATION OF CRTS WITH AND WITHOUT EMBEDDED GSE CALLS
Date:
09-2025
Issue:
191
Author:
Eknath Belbase
Title: INTRODUCING PILOT PROJECTS FOR CLIMATE IMPACT SUITE
Date:
06-2025
Issue:
190
Author:
Mickey Storms
Title: INSIGHTS FOR THE SUMMER SOLSTICE
Date:
06-2025
Issue:
190
Author:
Daniel Swanson
Title: A GUIDE TO VA CHURNING
Date:
06-2025
Issue:
190
Author:
Eric Limjoco
Title: DRIVING SHARPER INSIGHTS WITH THE KINETICS REPORTING ENGINE
Date:
02-2025
Issue:
189
Author:
Eknath Belbase
Title: VEGAS EDITION
Date:
02-2025
Issue:
189
Author:
Alex Levin
Daniel Swanson
Title: 2025 CCAR: SUPERVISORY SCENARIOS FOR STRESS-TESTING THROUGH AD&CO’S ANALYTICS
Date:
02-2025
Issue:
189
Author:
Eric Limjoco
Title: REST EASY WITH THE KINETICS API
Date:
02-2025
Issue:
189
Author:
Eknath Belbase
Title: VALIDATING CLIMATE IMPACTS: RECENT EVIDENCE
Date:
12-2024
Issue:
188
Author:
Eknath Belbase
Title: FARM LOANS, UPDATING CCY & WHOLE LOANS PART II
Date:
12-2024
Issue:
188
Author:
Sanjeeban Chatterjee
Title: USING LOANDYNAMICS MODEL TO MODEL FARM LOANS
Date:
12-2024
Issue:
188
Author:
Feiqi Jiang
Alex Levin
Title: AD&CO DEVELOPS A NEW CURRENT COUPON YIELD MODEL
Date:
12-2024
Issue:
188
Author:
Vivian Li
Richard Cooperstein
Title: WHOLE LOAN DYNAMICS AND INSURANCE COMPANY MORTGAGE PURCHASES [PART II]
Date:
09-2024
Issue:
187
Author:
Eknath Belbase
Title: FALLING INTO FALL
Date:
09-2024
Issue:
187
Author:
Eknath Belbase
Title: FALLING RATES AND MORTGAGE MARKET IMPACTS
Date:
09-2024
Issue:
187
Author:
Matteo Caracciolo-King
Alex Levin
Title: AD&CO UPDATES ITS HOME-PRICE INDEX MODEL (HPI3)
Date:
09-2024
Issue:
187
Author:
Mickey Storms
Matteo Caracciolo-King
Title: PROFILING RESIDENTIAL MORTGAGE INVESTMENTS AT INSURANCE COMPANIES
Date:
06-2024
Issue:
186
Author:
Eknath Belbase
Title: HIGHER FOR EVEN LONGER?
Date:
06-2024
Issue:
186
Author:
Richard Cooperstein
Michelle Stepien Breier
Title: IMPROVING MORTGAGE DATA: A DATA EXCHANGE FOR THE MORTGAGE ECOSYSTEM
Date:
06-2024
Issue:
186
Author:
Richard Cooperstein
Title: ABILITY-TO-REPAY BENCHMARK UPDATE
Date:
02-2024
Issue:
185
Author:
Eknath Belbase
Title: LEAPING INTO 2024
Date:
02-2024
Issue:
185
Author:
Eknath Belbase
Title: MACRO-CONSIDERATIONS & TWO-SIDED MORTGAGE RISK
Date:
02-2024
Issue:
185
Author:
Connor Campbell
Title: SHIFTING GEARS BACK TO FUNDAMENTALS
Date:
02-2024
Issue:
185
Author:
Alex Levin
Daniel Swanson
Title: 2024 CCAR SCENARIOS: MANDATORY AND EXPLORATORY STRESS-TESTING THROUGH AD&CO’S ANALYTICS
Date:
02-2024
Issue:
185
Author:
Andrew Davidson
Title: FINANCIAL EDUCATION MUST KEEP UP WITH THE TIMES
Date:
12-2023
Issue:
184
Author:
Eknath Belbase
Title: RETURN OF TWO-WAY RATE RISK
Date:
12-2023
Issue:
184
Author:
Richard Cooperstein
Vivian Li
Title: MSR VALUATION AND HEDGING STRATEGIES VIA MSRKINETICS
Date:
12-2023
Issue:
184
Author:
Richard Cooperstein
Title: GSE CAPITAL POLICY FUNDAMENTALS
Date:
09-2023
Issue:
183
Author:
Eknath Belbase
Title: SPREADS, CURRENT COUPON & ccLDM
Date:
09-2023
Issue:
183
Author:
Mickey Storms
Title: BATTLE OF THE BULGE: MORTGAGE RATES TO TREASURY
Date:
09-2023
Issue:
183
Author:
Alex Levin
Title: RETROSPECTIVE CURRENT COUPON MBS MEASURES AND MODELS
Date:
09-2023
Issue:
183
Author:
Joni Baker
Eknath Belbase
Title: INTRODUCING CLIMATE CONDITIONED LDM (ccLDM)
Date:
06-2023
Issue:
182
Author:
Eknath Belbase
Title: HIGHER FOR A BIT LONGER
Date:
06-2023
Issue:
182
Author:
Alex Levin
Title: AD&CO’S HPI OUTLOOK UPDATE: FLAT, BUT MULTIDIRECTIONAL
Date:
06-2023
Issue:
182
Author:
Richard Cooperstein
Kevin Lin
Michelle Stepien Breier
Title: UTILIZING IMPACT TRENDED CREDIT THROUGH AD&CO’S NEW LOANDYNAMICS MODULE IN KINETICS
Date:
02-2023
Issue:
181
Author:
Eknath Belbase
Title: THE SFVEGAS 2023 EDITION
Date:
02-2023
Issue:
181
Author:
Tom Parrent
Title: THE MEANDERING S-CURVE: UNRAVELING DYNAMIC PREPAYMENT INCENTIVE BEHAVIOR
Date:
02-2023
Issue:
181
Author:
Alex Levin
Daniel Swanson
Title: 2023 CCAR SCENARIOS: A DECADE OF EMPOWERING STRESS-TESTING THROUGH AD&CO’S ANALYTICS
Date:
02-2023
Issue:
181
Author:
Eknath Belbase
Title: OUR PLAN FOR A CLIMATE IMPACT SUITE
Date:
02-2023
Issue:
181
Author:
Joni Baker
Richard Cooperstein
Sanjeeban Chatterjee
Title: A LOOK AT UTILITY PAYMENTS AND THEIR POSITIVE IMPACT ON FUTURE MORTGAGE PERFORMANCE
Date:
12-2022
Issue:
180
Author:
Eknath Belbase
Title: THE HOLIDAY ISSUE
Date:
12-2022
Issue:
180
Author:
Michelle Stepien Breier
Title: ACCESSING AD&CO MODELS THROUGH THIRD-PARTY ANALYTICS PROVIDERS
Date:
12-2022
Issue:
180
Author:
Sanjeeban Chatterjee
Title: TUNING LDM FOR THE NEW ALT-A MARKET
Date:
11-2022
Issue:
179
Author:
Eknath Belbase
Title: THE CHANGING
Date:
11-2022
Issue:
179
Author:
Mickey Storms
Title: TURN AND FACE THE STRANGE . . . CHANGES
Date:
11-2022
Issue:
179
Author:
Alex Levin
Title: 2022 MARKET CHANGES AND RISK NEUTRAL PREPAYMENT MODELING
Date:
09-2022
Issue:
178
Author:
Eknath Belbase
Title: A CHANGED LANDSCAPE
Date:
09-2022
Issue:
178
Author:
Dan Szakallas
Title: THE CHANGING COMPOSITION OF POOL ISSUANCE DURING PANDEMIC TIMES
Date:
09-2022
Issue:
178
Author:
Mickey Storms
Title: PERSPECTIVES: FRB MBS BALANCE SHEET REDUCTION
Date:
09-2022
Issue:
178
Author:
Matteo Caracciolo-King
Alex Levin
Vivian Li
Title: PRIMARY-SECONDARY SPREAD (PSS) MODELING: 10 YEARS LATER
Date:
09-2022
Issue:
178
Author:
Matteo Caracciolo-King
Title: NEURAL NETWORKS AND PREPAYMENT MODELING
Date:
07-2022
Issue:
177
Author:
Eknath Belbase
Title: COOLING INTO SUMMER
Date:
07-2022
Issue:
177
Author:
Mickey Storms
Title: PERSPECTIVES, JUMBO AND CONFORMING LOAN RATES
Date:
07-2022
Issue:
177
Author:
Alex Levin
Title: AD&CO’S HPI OUTLOOK UPDATE: WHY DOES IT REMAIN STRONG?
Date:
07-2022
Issue:
177
Author:
Connor Campbell
Title: MOVING BEYOND THE BLACK BOX WITH MACHINE LEARNING INTERPRETABILITY
Date:
03-2022
Issue:
176
Author:
Eknath Belbase
Title: A CHANGED LANDSCAPE
Date:
03-2022
Issue:
176
Author:
Sanjeeban Chatterjee
Daniel Swanson
Richard Cooperstein
Title: THE IMPACT OF TRENDED CONSUMER DATA ON MORTGAGE RATES
Date:
03-2022
Issue:
176
Author:
Alex Levin
Daniel Swanson
Title: 2022 CCAR SCENARIOS: AD&CO’S ANALYTICS AND DATA FILES
Date:
03-2022
Issue:
176
Author:
Alex Levin
Title: FLOOD INSURANCE SPIKE IN FLORIDA: EFFECT ON HOME PRICES AND THE ECONOMICS OF LOAN GUARANTEES
Date:
03-2021
Issue:
175
Author:
Eknath Belbase
Title: BEARS COME OUT OF HIBERNATION
Date:
03-2021
Issue:
175
Author:
Daniel Swanson
Title: NEW FEATURES IN LDM 3.0
Date:
03-2021
Issue:
175
Author:
John Gao
Alex Levin
Daniel Swanson
Title: 2021 CCAR SCENARIOS: AD&CO’S ANALYTICS AND DATA FILES
Date:
03-2021
Issue:
175
Author:
Tom Parrent
Title: HOW TO AVOID BEING TRIGGERED BY MODELS
Date:
12-2020
Issue:
174
Author:
Eknath Belbase
Title: FAREWELL TO 2020
Date:
12-2020
Issue:
174
Author:
Alex Levin
Title: UPCOMING RELEASES: FINANCIAL ENGINEERING TOOLS
Date:
12-2020
Issue:
174
Author:
Eknath Belbase
Title: POST-ELECTION INCREASE IN VISIBILITY FOR CLIMATE CHANGE RISK
Date:
10-2020
Issue:
173
Author:
Eknath Belbase
Title: A STEEPER FALL
Date:
10-2020
Issue:
173
Author:
Chris Widman
Title: DRIVING INTO 2021 WITH AUTO LDM
Date:
10-2020
Issue:
173
Author:
Alex Levin
Title: RECENT CHANGE IN HPI OUTLOOK AND ITS CONSEQUENCES
Date:
08-2020
Issue:
172
Author:
Eknath Belbase
Title: COVID-19 TUNING UPDATES
Date:
08-2020
Issue:
172
Author:
Daniel Swanson
Title: LDM COVID-19 CREDIT TUNINGS
Date:
08-2020
Issue:
172
Author:
Dan Szakallas
Title: UPDATED COVID-19 PREPAYMENT TUNINGS
Date:
04-2020
Issue:
171
Author:
Eknath Belbase
Title: SPECIAL PIPELINE EDITION: COVID-19 UPDATE
Date:
04-2020
Issue:
171
Author:
Dan Szakallas
Kevin Atteson
Daniel Swanson
Title: THE AD&CO MACROECONOMIC SCENARIOS
Date:
04-2020
Issue:
171
Author:
Chris Widman
Title: AUTO LOAN PERFORMANCE DURING THE COVID-19 PANDEMIC
Date:
04-2020
Issue:
171
Author:
Mickey Storms
Richard Cooperstein
Title: BENCHMARKING CRT DEFAULT AND LOSS TOLERANCES
Date:
04-2020
Issue:
171
Author:
Alex Levin
Title: CRT PRICES POINT TO AN INCREASE IN EXPECTED LOSSES: IMPLEMENTATION RECIPES
Date:
03-2020
Issue:
170
Author:
Eknath Belbase
Title: SPECIAL PIPELINE EDITION: MARKET UPDATE
Date:
03-2020
Issue:
170
Author:
Mickey Storms
Alex Levin
Title: CRT MARKET VOLATILTY: INTERPRETING PRICES AND SPREADS
Date:
02-2020
Issue:
169
Author:
Eknath Belbase
Title: THE SFVEGAS 2020 EDITION
Date:
02-2020
Issue:
169
Author:
Chris Widman
Title: MODELING AUTO LOANS
Date:
02-2020
Issue:
169
Author:
John Gao
Alex Levin
Daniel Swanson
Title: 2020 CCAR SCENARIOS: AD&CO’S ANALYTICS AND DATA FILES
Date:
12-2019
Issue:
168
Author:
Eknath Belbase
Title: THE HOLIDAY EDITION
Date:
12-2019
Issue:
168
Author:
Chris Widman
Title: AUTO LOAN PERFORMANCE
Date:
12-2019
Issue:
168
Author:
Alex Levin
Nathan Salwen
Title: WHOLE-LOAN VALUATION METHODS: RISK NEUTRAL MODELING VERSUS VIRTUAL SECURITIZATION
Date:
09-2019
Issue:
167
Author:
Eknath Belbase
Title: BOUNCING INTO AUTUMN
Date:
09-2019
Issue:
167
Author:
Andrew Davidson
Feiqi Jiang
Alex Levin
Title: EMPIRICAL DURATIONS AND HEDGE RATIOS: CAN AD&CO’S MODELS EXPLAIN THEM
Date:
09-2019
Issue:
167
Author:
Chris Widman
Title: AN INTRODUCTION TO AUTO LOANS
Date:
06-2019
Issue:
166
Author:
Eknath Belbase
Title: BULLS INTO SUMMER
Date:
06-2019
Issue:
166
Author:
Dan Szakallas
Title: TEMPERING OUR MODEL FOR THE GNII PREPAY SURGE: TUNING FILES TO THE RESCUE
Date:
06-2019
Issue:
166
Author:
Sanjeeban Chatterjee
Title: THE WORLD OF LOANS UNDERLYING NON-AGENCY SECURITIES
Date:
04-2019
Issue:
165
Author:
Eknath Belbase
Title: TWISTS, KINKS AND INVERSIONS, OH MY!
Date:
04-2019
Issue:
165
Author:
Alex Levin
Title: THE DYNAMICS OF AGENCY CREDIT RISK AND IMPLIED G-FEE: A 2019 EDITION
Date:
04-2019
Issue:
165
Author:
Richard Cooperstein
Title: ECONOMIC PRINCIPLES AND ENDURING HOUSING FINANCE REFORM
Date:
02-2019
Issue:
164
Author:
Eknath Belbase
Title: HOME ON THE RANGE
Date:
02-2019
Issue:
164
Author:
Eknath Belbase
Title: OUTLOOK 2019: HOME ON THE RANGE?
Date:
02-2019
Issue:
164
Author:
Daniel Swanson
Title: A LOOK INTO TRENDED DATA
Date:
02-2019
Issue:
164
Author:
John Gao
Alex Levin
Daniel Swanson
Title: 2019 CCAR SCENARIOS: AD&CO'S ANALYTICS AND DATA FILES
Date:
12-2018
Issue:
163
Author:
Eknath Belbase
Title: HOLIDAY JITTERS
Date:
12-2018
Issue:
163
Author:
Alex Levin
Title: AD&CO UPDATES ITS HPI OUTLOOK
Date:
12-2018
Issue:
163
Author:
Dan Szakallas
Title: INVESTIGATING THE UNEXPECTED RISE IN PREPAYMENTS IN 2018
Date:
12-2018
Issue:
163
Author:
Sanjeeban Chatterjee
Title: NEW TUNINGS FOR NON-AGENCY LOANDYNAMICS MODEL
Date:
10-2018
Issue:
162
Author:
Eknath Belbase
Title: A WINDY FALL
Date:
10-2018
Issue:
162
Author:
Alex Levin
Title: COMMONLY IGNORED REALITIES OF HOME-PRICE DYNAMICS
Date:
10-2018
Issue:
162
Author:
Eknath Belbase
Title: A YEAR OF QUANTITATIVE TIGHTENING (QT)
Date:
09-2018
Issue:
161
Author:
Eknath Belbase
Title: FLOODING FROM FLORENCE
Date:
09-2018
Issue:
161
Author:
Daniel Swanson
Title: IMPACT OF PAST HURRICANES ON THE MORTGAGE UNIVERSE
Date:
09-2018
Issue:
161
Author:
Alex Levin
Title: LOANKINETICS 1.10 IS COMING SOON: PRODUCT HIGHLIGHTS
Date:
08-2018
Issue:
160
Author:
Eknath Belbase
Title: FRETTING ABOUT FLATNESS
Date:
08-2018
Issue:
160
Author:
Dan Szakallas
Title: TUNING FILE UPDATES FOR AGENCY LDM
Date:
08-2018
Issue:
160
Author:
Alex Levin
Mickey Storms
John Gao
Title: CECL REPORTING FOR MORTGAGES WITH LOANKINETICS
Date:
06-2018
Issue:
159
Author:
Eknath Belbase
Title: UP AND BACK IN MAY
Date:
06-2018
Issue:
159
Author:
Alex Levin
Title: MAKING A DIFFERENCE WITH AD&CO'S HOME PRICE SIMULATION MODEL: PRACTICAL CASE STUDIES
Date:
06-2018
Issue:
159
Author:
Andrew Wilcox
Title: MULTIFAMILY LDM AND CHANGING ECONOMIC ENVIRONMENTS
Date:
05-2018
Issue:
158
Author:
Eknath Belbase
Title: THE CRT EDITION'INTRODUCING THE AD&CO CRT INDEX
Date:
05-2018
Issue:
158
Author:
Richard Cooperstein
Alex Levin
Jin Chen
Title: DEMOCRATIZING INVESTMENT IN US MORTGAGE CREDIT RISK: Announcing The AD&Co CRT Total-Rate-of-Return Index
Date:
05-2018
Issue:
158
Author:
Eric Limjoco
Title: A MISSIVE FROM THE FRONT LINE OF AD&CO
Date:
03-2018
Issue:
157
Author:
Eknath Belbase
Title: RATES, SPREADS & CCAR CHANGES
Date:
03-2018
Issue:
157
Author:
Eknath Belbase
Title: THINGS (FINALLY) START CHANGING
Date:
03-2018
Issue:
157
Author:
John Gao
Alex Levin
Daniel Swanson
Title: CCAR 2018: AD&CO'S ANALYTICS AND DATA FILES
Date:
02-2018
Issue:
156
Author:
Eknath Belbase
Title: IS THE ZERO LOWER BOUND PERIOD FINALLY OVER?
Date:
02-2018
Issue:
156
Author:
Daniel Swanson
Title: GRANULAR DELINQUENCY BUCKETS IN LDM 2.2
Date:
02-2018
Issue:
156
Author:
Eknath Belbase
Harry Lijia Qin
Title: A PRIMER FOR STACR AND CAS CREDIT RISK TRANSFER DEALS
Date:
01-2018
Issue:
155
Author:
Eknath Belbase
Title: A NEW YEAR
Date:
01-2018
Issue:
155
Author:
Eknath Belbase
Harry Lijia Qin
Title: TRENDING TRENDS: WHAT CHANGES CAN WE FORECAST FOR 2018?
Date:
01-2018
Issue:
155
Author:
Alex Levin
Title: AN OAS MODEL FOR MULTIFAMILY AGENCY MBS
Date:
01-2018
Issue:
155
Author:
Rose Barnabic
Title: A QUICK LOOK AT THE FIRST CRT BACKED BY HARP REFERENCE POOL
Date:
12-2017
Issue:
154
Author:
Eknath Belbase
Title: MERRY MODELING: MULTIFAMILY & REVERSE MORTGAGES ' Will They Go Down in History*?
Date:
12-2017
Issue:
154
Author:
Alex Levin
Title: ON MULTI-FAMILY HOME PRICE MODELING
Date:
12-2017
Issue:
154
Author:
AD&Co Modeling Team
Title: GRAPHS OF THE MONTH: AD&CO'S MULTIFAMILY LDM EVALUATES PREPAYMENT AND CREDIT RISK
Date:
12-2017
Issue:
154
Author:
Mackenzie Meadows
Title: THE NEW REVERSE MORTGAGE LANDSCAPE: A PRIMER (PART III OF III)
Date:
10-2017
Issue:
153
Author:
Eknath Belbase
Title: RISING INTO FALL
Date:
10-2017
Issue:
153
Author:
Eknath Belbase
Harry Lijia Qin
Title: SLOW AND STEADY: A LOOK AT QUANTITATIVE TIGHTENING
Date:
10-2017
Issue:
153
Author:
Rose Barnabic
Title: ON THE ROAD WITH ANDREW DAVIDSON & CO
Date:
09-2017
Issue:
152
Author:
Eknath Belbase
Title: HAMMERED BY HARVEY AND IRMA
Date:
09-2017
Issue:
152
Author:
Dan Szakallas
Daniel Swanson
Sanjeeban Chatterjee
Title: HARVEY CAME, SAW, AND CAUSED DESTRUCTION
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
Date:
03-2016
Issue:
140
Author:
Alex Levin
Lingyu Wu
Title: HPI OUTLOOK ONLINE
Date:
03-2016
Issue:
140
Author:
Eknath Belbase
Title: PACE LOANS: MODELING CHALLENGES IN AN EMERGING AREA
Date:
03-2016
Issue:
140
Author:
Daniel Swanson
Title: FIELD TRIP: AD&CO VISITS THE MIT SLOAN SPORTS ANALYTICS CONFERENCE
Date:
02-2016
Issue:
139
Author:
Eknath Belbase
Title: VOLATILE BEGINNINGS
Date:
02-2016
Issue:
139
Author:
Andrew Wilcox
Title: THE MULTIPLE DIMENSIONS OF MULTIFAMILY LOANS (PART 1)
Date:
02-2016
Issue:
139
Author:
Eknath Belbase
Title: THE 2015 DNA DEALS: A DASH OF SEASONING
Date:
02-2016
Issue:
139
Author:
Andrew Davidson
Alex Levin
Title: MEASURING CREDIT RISK SHARES
Date:
12-2015
Issue:
138
Author:
Eknath Belbase
Title: AFTER LIFT-OFF: CAUTION AHEAD
Date:
12-2015
Issue:
138
Author:
Eknath Belbase
Mike Tuteral
Title: COMPARING HIGHER LTV DEALS: A LOOK AT THE 2015 HQ(A) SERIES FROM FREDDIE MAC
Date:
12-2015
Issue:
138
Author:
Daniel Swanson
Title: SEVERITY DISTRIBUTION IN THE FREDDIE LOAN LEVEL DATA
Date:
12-2015
Issue:
138
Author:
Ariah Klages-Mundt
Alex Levin
Nathan Salwen
Title: INTRODUCTION TO THE DEAL-SPECIFIC LDM ADAPTOR
Date:
11-2015
Issue:
137
Author:
Eknath Belbase
Title: WHILE WE WAIT FOR LIFT-OFF
Date:
11-2015
Issue:
137
Author:
Alex Levin
Lingyu Wu
Title: THE HPI3 MODEL PREVIEW
Date:
11-2015
Issue:
137
Author:
Sanjeeban Chatterjee
Title: SOME THOUGHTS ON TUNING
Date:
11-2015
Issue:
137
Author:
Eknath Belbase
Title: DELVING INTO STACR AND CRT WITH KEVIN PALMER
Date:
09-2015
Issue:
136
Author:
Eknath Belbase
Title: FULL OF SOUND AND FURY ' SIGNIFYING SOMETHING, BUT WHAT?
Date:
09-2015
Issue:
136
Author:
Eknath Belbase
Title: THE FED, MORTGAGE RATES, AND HOUSING PRICES
Date:
09-2015
Issue:
136
Author:
Allison Ying
Eknath Belbase
Title: HOW DOES FWLS COMPARE TO SEMT?
Date:
09-2015
Issue:
136
Author:
Dan Szakallas
Title: EXPLORING THE VARIABLE RELATIONSHIPS IN THE FREDDIE MAC LOAN LEVEL REFERENCE DATA
Date:
07-2015
Issue:
135
Author:
Eknath Belbase
Title: After the Fed
Date:
07-2015
Issue:
135
Author:
Alex Levin
Title: Risk-Neutral Agency Prepayments of the ALDM Era
Date:
07-2015
Issue:
135
Author:
Dan Szakallas
Title: Freddie Mac Prepayments: Loan Level Reference Data vs. Pool Data
Date:
07-2015
Issue:
135
Author:
Sanjeeban Chatterjee
Title: Foreclosure Timelines: A Look at 2014
Date:
06-2015
Issue:
134
Author:
Eknath Belbase
Title: How's Our Eyesight? Choosing the Right Resolution for CRT Deal Analysis
Date:
06-2015
Issue:
134
Author:
Alex Levin
Title: How to Analyze CRTs via RiskProfiler using Agency LDM Plus
Date:
06-2015
Issue:
134
Author:
Eknath Belbase
Title: STACR 2015-DNA1: Adding Actual Severities into the Mix
Date:
06-2015
Issue:
134
Author:
Daniel Swanson
Title: LDM 2.1 Official Release and Validation
Date:
04-2015
Issue:
133
Author:
Eknath Belbase
Title: PLMBS, CRT & Agency Severity Data
Date:
04-2015
Issue:
133
Author:
Richard Ellson
Allison Ying
Title: Examining Collateral and Deal Structure in Non-Agency RMBS Securitization
Date:
04-2015
Issue:
133
Author:
Eknath Belbase
Title: CRT Sector ' Part II
Date:
04-2015
Issue:
133
Author:
Daniel Swanson
Title: A Survey of the Freddie Loan-Level Severity Data
Date:
03-2015
Issue:
132
Author:
Eknath Belbase
Title: CRT Focus
Date:
03-2015
Issue:
132
Author:
Eknath Belbase
Title: Investigating Relative Value in the Credit Risk Transfer (CRT) Sector: Part 1
Date:
03-2015
Issue:
132
Author:
Eknath Belbase
Cody Stenberg
Title: The Valuation Impact of the GNMA MIP Changes
Date:
03-2015
Issue:
132
Author:
Rashad Ladson
Title: To DN or not to DN
Date:
02-2015
Issue:
131
Author:
Simone Davis
Title: New Tunings, G-fees, and an ABS Vegas 2015 Recap
Date:
02-2015
Issue:
131
Author:
Daniel Swanson
Dan Szakallas
Title: Evaluating the FHA MIP Decrease
Date:
02-2015
Issue:
131
Author:
Andrew Davidson
Alex Levin
Title: Gauging Credit Risk from CRT Prices and G-fee Implications
Date:
01-2015
Issue:
130
Author:
Simone Davis
Title: ABS Vegas 2015 and the New CRT Monitor
Date:
01-2015
Issue:
130
Author:
Eknath Belbase
Mickey Storms
Rashad Ladson
Allison Ying
Title: CreditProfile and CRT Monitor
Date:
01-2015
Issue:
130
Author:
Rashad Ladson
Cody Stenberg
Title: A Closer Look at Freddie's HQ Series Bonds
Date:
12-2014
Issue:
129
Author:
Simone Davis
Title: Happy Holidays
Date:
12-2014
Issue:
129
Author:
Alex Levin
Title: Do Credit-Risk Transactions (CRT) Improve GSE Economics?
Date:
12-2014
Issue:
129
Author:
Daniel Swanson
Title: Introducing Agency LDM Plus
Date:
11-2014
Issue:
128
Author:
Simone Davis
Title: It's Time for an Upgrade
Date:
11-2014
Issue:
128
Author:
Alex Levin
Levy He
Title: The Home-Price Factor: Data, Trend and Outlook
Date:
11-2014
Issue:
128
Author:
Allison Ying
Title: A Post-Crisis Review of Private-Label Mortgage-Backed Securities Performance on Losses and Valuation
Date:
09-2014
Issue:
127
Author:
Simone Davis
Title: Fall Events and New Partnerships
Date:
09-2014
Issue:
127
Author:
Sanjeeban Chatterjee
Title: HELOCs: A Methodology for Measuring Prepayment Risk
Date:
09-2014
Issue:
127
Author:
Andrew Davidson
Title: What's Up with GSE Reform?
Date:
09-2014
Issue:
127
Author:
Alex Levin
Title: RiskProfiler, OAS and Beyond: Upcoming Releases and Webinars
Date:
07-2014
Issue:
126
Author:
Simone Davis
Title: Summer Takeaways
Date:
07-2014
Issue:
126
Author:
Andrew Davidson
Alex Levin
Title: Book Launch Party Lines
Date:
07-2014
Issue:
126
Author:
Sammi Li
Title: Analyzing Relocation Loans
Date:
06-2014
Issue:
125
Author:
Simone Davis
Title: Fresh Publications
Date:
06-2014
Issue:
125
Author:
Eknath Belbase
Title: Recent Updates to Validation
Date:
06-2014
Issue:
125
Author:
Alex Levin
Nathan Salwen
Title: Financial Engineering Technology: "Historical Bridge" and the Role of CDU
Date:
05-2014
Issue:
124
Author:
AD&Co Marketing Team
Title: What's in the Pipeline?
Date:
05-2014
Issue:
124
Author:
Eknath Belbase
Allison Ying
Title: Modified Vasicek vs. Monte Carlo: Loss Distributions and Geographic Dispersion
Date:
05-2014
Issue:
124
Author:
Daniel Swanson
Title: Updating the Primary-Secondary Spread Model
Date:
05-2014
Issue:
124
Author:
Alex Levin
Nathan Salwen
Valentine Zavgorodnev
Title: Financial Engineering Technology: Parallel and Distributed Processing
Date:
03-2014
Issue:
123
Author:
Simone Davis
Title: Test Drive LoanKinetics