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:
03-2013
Issue:
113
Author:
Alex Levin
Title: How to Measure MBS Risk: Theoretical Delta-Gamma VaR in Action
Date:
03-2013
Issue:
113
Author:
Richard Ellson
Rashad Ladson
Title: Modeling the Impact of Housing Finance Reform on Mortgage Rates: A Summary of the Final Report
Date:
03-2013
Issue:
113
Author:
Anne Ching
Title: Monthly Surveillance of RMBS Credit Risk
Date:
02-2013
Issue:
112
Author:
Simone Davis
Title: Fresh Commentary and Our 21st Annual Conference
Date:
02-2013
Issue:
112
Author:
Daniel Swanson
Title: Decomposing the Vintage Effect on Agency Repurchases
Date:
02-2013
Issue:
112
Author:
Alex Levin
Title: AD&Co Valuation Tools: More Options and Power
Date:
01-2013
Issue:
111
Author:
Rob Landauer
Title: AD&Co at ASF 2013
Date:
01-2013
Issue:
111
Author:
Sanjeeban Chatterjee
Title: Foreclosure Timelines: A Look at 2012
Date:
01-2013
Issue:
111
Author:
Alex Levin
Title: Current Trend in Housing Affordability
Date:
12-2012
Issue:
110
Author:
Rob Landauer
Title: Twenty Years Young
Date:
12-2012
Issue:
110
Author:
Sanjeeban Chatterjee
Title: The Year in Review: A Perspective from the Loan Modeling Team
Date:
12-2012
Issue:
110
Author:
Alex Levin
Title: 2012 In Review and 2013 Outlook: The Financial Engineering Team's Perspective
Date:
12-2012
Issue:
110
Author:
Eknath Belbase
Title: Outlook for 2013 (And Beyond): The View from Consulting
Date:
10-2012
Issue:
109
Author:
Simone Davis
Title: ABS East and Model Validation
Date:
10-2012
Issue:
109
Author:
Nadya Derrick
Title: LoanDynamics Model Forecasts Are Online
Date:
10-2012
Issue:
109
Author:
Simone Davis
Title: Quantitative Perspectives
Date:
09-2012
Issue:
108
Author:
Simone Davis
Title: Fall Forward
Date:
09-2012
Issue:
108
Author:
Alex Levin
Title: HPI News and Fact-Checking
Date:
09-2012
Issue:
108
Author:
Sanjeeban Chatterjee
AD&Co Modeling Team
Title: Updated Tuning Recommendations for the AD&Co Prepayment and LoanDynamics Model
Date:
07-2012
Issue:
107
Author:
Simone Davis
Title: License Keys and 2012 Conference Wrap-Up
Date:
07-2012
Issue:
107
Author:
Alex Levin
Title: Arrival of RiskProfiler v4.0 and OAS v8.10: New Features and Functions
Date:
07-2012
Issue:
107
Author:
Sanjeeban Chatterjee
Title: Foreclosure Timelines: A Mid-Year 2012 Report
Date:
06-2012
Issue:
106
Author:
Simone Davis
Title: Innovation amid Uncertainty: 20th Annual Conference
Date:
06-2012
Issue:
106
Author:
Daniel Swanson
AD&Co Modeling Team
Title: LDM: The Next Generation
Date:
06-2012
Issue:
106
Author:
Alex Levin
Title: AD&Co Updates Its Quarterly HPI Forecast Using 2012Q1 Data
Date:
06-2012
Issue:
106
Author:
Eknath Belbase
Title: Model Validation: Ideas and Application to LDM - Part II
Date:
05-2012
Issue:
105
Author:
Simone Davis
Title: Celebrating 20 Years in Analytics
Date:
05-2012
Issue:
105
Author:
Richard Ellson
Will Searle
Title: A CreditProfile of SEMT 2012-2
Date:
05-2012
Issue:
105
Author:
Eknath Belbase
Title: Model Validation: Ideas and Application to LDM
Date:
03-2012
Issue:
104
Author:
Simone Davis
Title: Twitter & Transitions
Date:
03-2012
Issue:
104
Author:
Alex Levin
Title: How to Validate a Home Price Model: Excerpts from AD&Co's HPI2 Model Review
Date:
03-2012
Issue:
104
Author:
Daniel Swanson
Title: The Delinquent Prepayment Transition: Trends for Loan Going From Delinquent (D) to Terminated (T)
Date:
03-2012
Issue:
104
Author:
Dan Szakallas
Title: AD&Co Model Updates
Date:
02-2012
Issue:
103
Author:
Simone Davis
Title: D.C. Roundtable Wrap-Up; Save the Date for AD&Co's 20th Annual Conference
Date:
02-2012
Issue:
103
Author:
Sanjeeban Chatterjee
Title: The Recovery Transition: Trends for Loans Going from Seriously Delinquent (S) to Current (C) Status
Date:
02-2012
Issue:
103
Author:
Eknath Belbase
Richard Ellson
Title: Getting Private Capital in Front of the Taxpayer within the Current GSE Framework
Date:
02-2012
Issue:
103
Author:
Richard Ellson
Will Searle
Title: AD&Co CreditProfile Analysis of SEMT 2012-1
Date:
02-2012
Issue:
103
Author:
Anne Ching
Will Searle
Title: The SSFA: A Step Backwards
Date:
01-2012
Issue:
102
Author:
Simone Davis
Title: On with the Show
Date:
01-2012
Issue:
102
Author:
Will Searle
Title: The Cure Transition: Trends for Loans Going from Delinquent (D) to Current (C) Status
Date:
01-2012
Issue:
102
Author:
Alex Levin
Title: On Primary-Secondary Spread Modeling
Date:
01-2012
Issue:
102
Author:
Eknath Belbase
Title: What Does Investment Grade Mean?
Date:
01-2012
Issue:
102
Author:
Dan Szakallas
Title: A Prepayment Update: GSEs Guarantee Fee Increase
Date:
11-2011
Issue:
101
Author:
Simone Davis
Title: Happy Thanksgiving!
Date:
11-2011
Issue:
101
Author:
Eknath Belbase
Dan Szakallas
Title: Dealing with Underwater Borrowers: HARP revisions
Date:
11-2011
Issue:
101
Author:
Alex Levin
Title: Refinancing Fever and Arbitrage
Date:
11-2011
Issue:
101
Author:
Daniel Swanson
Title: The Return of Credit Burnout
Date:
10-2011
Issue:
100
Author:
Simone Davis
Title: Our One-Hundredth Issue of the Pipeline! Introducing CreditProfile
Date:
10-2011
Issue:
100
Author:
Eknath Belbase
Title: MBS Credit Risk in a Post-Crisis World: A More Complete View
Date:
10-2011
Issue:
100
Author:
Nadya Derrick
Title: LoanDynamics Model Performance Reports