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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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:
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
Date:
03-2014
Issue:
123
Author:
Hikmet Senay
Title: Validating Behavioral Models is a Continuous Process
Date:
03-2014
Issue:
123
Author:
Richard Ellson
Rashad Ladson
Title: LoanKinetics: Loan Loss Analysis (ALLL), Attribution, and Stress Test (CCAR) ' Part 3
Date:
02-2014
Issue:
122
Author:
Simone Davis
Title: Hot Updates for Winter
Date:
02-2014
Issue:
122
Author:
Sanjeeban Chatterjee
Title: Foreclosure Timelines: A Look at 2013
Date:
02-2014
Issue:
122
Author:
Richard Ellson
Rashad Ladson
Title: LoanKinetics: Residential Whole Loan Valuation (Part 2)
Date:
01-2014
Issue:
121
Author:
Simone Davis
Title: 2014 and Beyond
Date:
01-2014
Issue:
121
Author:
Levy He
Alex Levin
Title: Current Trend in Housing Affordability and HPI Outlook
Date:
01-2014
Issue:
121
Author:
Richard Ellson
Rashad Ladson
Title: LoanKinetics: Assessing Residential Whole Loan Credit Risk
Date:
01-2014
Issue:
121
Author:
Eknath Belbase
Title: Credit Insights: 2014 Outlook for Credit-Sensitive RMBS
Date:
12-2013
Issue:
120
Author:
Ashlea Bonds
Title: Happy Holidays
Date:
12-2013
Issue:
120
Author:
Alex Levin
Title: Scenarios: CCAR 2014 versus the AD&Co Standard
Date:
12-2013
Issue:
120
Author:
Dan Szakallas
Title: GNMA Model Update in Agency LDM
Date:
12-2013
Issue:
120
Author:
Jon Adelson
Title: C-to-D Model Update
Date:
10-2013
Issue:
119
Author:
Simone Davis
Title: Happy Halloween
Date:
10-2013
Issue:
119
Author:
Alex Levin
Title: CCAR for MSR: Shortcuts and Omissions
Date:
10-2013
Issue:
119
Author:
Eknath Belbase
Title: STACR & CAS: Implications for Housing Finance Reform
Date:
09-2013
Issue:
118
Author:
Simone Davis
Title: AD&Co Hits the Road for Fall
Date:
09-2013
Issue:
118
Author:
Jon Adelson
Title: Stress Tests and Unemployment
Date:
09-2013
Issue:
118
Author:
Alex Levin
Title: Automated Stress Test and Other Novelties in RiskProfiler 4.1/OAS 8.11
Date:
09-2013
Issue:
118
Author:
Eknath Belbase
Richard Ellson
Title: Introducing LoanKinetics & Deal Assessment Reports: Tools for the New Mortgage Landscape
Date:
08-2013
Issue:
117
Author:
Simone Davis
Title: Summer Updates
Date:
08-2013
Issue:
117
Author:
Sanjeeban Chatterjee
Title: Foreclosure Timelines: A Mid-Year 2013 Report
Date:
08-2013
Issue:
117
Author:
Alex Levin
Title: MBS Market after the Recent Surge of Interest Rates: A Modeling Viewpoint
Date:
08-2013
Issue:
117
Author:
Eknath Belbase
Title: The Basel III Final Rule: General Outline & Impact on MBS Holdings
Date:
06-2013
Issue:
116
Author:
Rob Landauer
Title: 21st Annual Conference Recap
Date:
06-2013
Issue:
116
Author:
Jon Adelson
Title: News about the VECTORS Agency LoanDynamics Model and the New Normal
Date:
06-2013
Issue:
116
Author:
Eknath Belbase
Title: The Mortgage Current Coupon Methodology: An Evaluation
Date:
05-2013
Issue:
115
Author:
Rob Landauer
Title: Still Time to Register for AD&Co's 21st Annual Conference
Date:
05-2013
Issue:
115
Author:
Dan Szakallas
Title: Agency LDM: The Next Generation of Prepayment Models for Agency MBS
Date:
05-2013
Issue:
115
Author:
Alex Levin
Title: Valuation of Mortgage Servicing Rights (MSR) Using RiskProfiler
Date:
04-2013
Issue:
114
Author:
Sanjeeban Chatterjee
Title: Agency LDM: The Next Generation of Prepayment Models for Agency MBS
Date:
04-2013
Issue:
114
Author:
Dan Szakallas
Title: The New Prepayment Transition in Agency LDM
Date:
04-2013
Issue:
114
Author:
Jon Adelson
Title: Introduction to Agency LDM Default Model
Date:
04-2013
Issue:
114
Author:
Daniel Swanson
Title: Agency LDM Systems and Integration Features
Date:
04-2013
Issue:
114
Author:
Hikmet Senay
Title: Validating Agency LoanDynamics Model
Date:
04-2013
Issue:
114
Author:
Alex Levin
Title: MBS Valuation with Agency LDM
Date:
03-2013
Issue:
113
Author:
Simone Davis
Title: Spring Events
Date:
03-2013
Issue:
113
Author:
John Ferrante
Title: Foreclosure Timelines ' Looking at Seconds Only