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:
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?