Welcome to The S-Curve
Now you will be able to receive the latest announcements, product updates, and our insights on the mortgage market in real time.
The name of the blog, the S-Curve, is a reflection of our logo and the central feature of our prepayment model. S-curves are seen in nature in many phenomenon, from population growth to prepayment and default models. Our first S-curve, in the early 1990s, used the arctangent function, then piece-wise linear functions, and evolved over time to be more complex and vary by FICO, loan size and LTV. This evolution encapsulates both the timeless nature of fundamental relationships and constant innovation to describe them better over time.
We hope you find the information useful and we look forward to your feedback.
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U.S. Mortgage High Yield Indexes From Andrew Davidson & Co Added to St. Louis Fed's FRED DatabaseNews
For several years, AD&Co has tracked the total rate of return (TRR) performance of the GSE CAS and STACR CRT in its U.S. Mortgage High-Yield Indices. The AD&Co Mid-Tier index constitutes a broad market measure of the TRR performance of GSE CRT. The related sub-indices segregate the CRT market into 4 index Tiers by attachment point, reflective of the credit exposure of the various classes of underlying CRT ranging from B to M1.
We are pleased to announce that the historical time series for these indices is now publicly available on the St. Louis Federal Reserve's FRED database, along with the credit-adjusted OAS (CrOAS) for each series. FRED is host to almost 800,000 data series from more than 100 sources. The indices published on FRED can be viewed here. Detailed performance analysis related to the index is available on a monthly basis at through AD&Co.
For more information please contact Rob Landauer at 212-274-9075, email Rob at rob@ad-co.com or visit www.ad-co.com.

Disclaimer: The AD&Co U.S. Mortgage High-Yield Index serves as an informational index and is not for commercial-use purposes. The Index’s accuracy, completeness, timeliness, and suitability for any purpose are not guaranteed. The Index does not constitute (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 Index has been prepared for general informational purposes, without consideration of the circumstances or objectives of any particular investor. Any reliance on the Index 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. Not for redistribution without permission. Note: An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in investments that may be the same or similar to those featured in the Index.
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Asian Pacific Heritage MonthEvents

We at Andrew Davidson & Co., Inc. (AD&Co) stand in solidarity with the Asian community and speak out against the xenophobic ignorance that has led to increased racist attacks against Asians. We protest against these hate crimes. This is a time to celebrate the richness that we have gained from the diversity of the Asian culture. We pledge to support the heritage that is part of what makes us American.
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Mental Health Awareness MonthEvents
What does it mean to be mentally healthy? The answer is different for everyone. With all the extra anxiety that many of us have experienced since 2020, whether from uncertainty about COVID-19 or from other experiences that may be new to us, it’s important to acknowledge that it’s alright to not feel alright. Fortunately, there are numerous resources that are available locally, nationally, and in some cases through your workplace or benefits package. We might start by finding out what makes us feel better. For some, it is a brisk walk outside, a yoga class, talking to a friend, or finding a sympathetic therapist. The possibilities are endless. Let’s take this month to think about what WE need.
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Introducing AutoLDM—A New Way to Analyze Auto LoansProducts
Today marks the publication of Chris Widman's Quantitative Perspective, a comprehensive article on the newest member of our LoanDynamics suite, the Auto LoanDynamics Model. Auto LDM will be integrated into vendor systems and AD&Co tools, allowing users to perform analysis on auto loan and ABS positions. Applications include economic scenario analysis to examine the impact of unemployment scenarios or rates on defaults, losses and prepayments, stress testing for CCAR/CECL, valuation and risk measurement.
The article provides an overview of the auto loan market, discusses the underlying data used for estimation, our model architecture, and contains sections on delinquency, seasonality, unemployment and severity determinants. We look forward to your feedback – please reach out to us at support@ad-co.com if you are interested in more details or a trial.
-Eknath Belbase
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The Earth is Our Home: Let's Not Default on itEvents

Since 1970, April 22nd has been the annual day to appreciate our planet and recognize the importance of protecting it. But more and more, we realize that everyday needs to be Earth Day, and that we need to take better care of the place that gives us life. It’s becoming harder and harder to doubt the legitimacy of climate change, and how we as humans contribute it. At Andrew Davidson & Co., Inc. (AD&Co) we recognize the dramatic nature of climate change and how it effects our neighbors around the world. As experts in the mortgage market, we’re looking at the ways extreme weather, such as hurricanes, floods, drought, and melting glaciers, affects people’s homes, their way of life—and the availability and price of housing.
In our December 2020 Pipeline article we anticipated an increasing expectation on the need to measure and disclose exposure to climate change, and laid out some of the analytic challenges. We have focused on studying the existing research, reaching out to climate risk research firms, and understanding the landscape of what is available and what needs to be developed. As we explore different product ideas, we expect to reach out to our existing clients to help us understand better the ways we can continue to deliver leading-edge analytics in this space.
For additional information, check out this panel featuring AD&Co’s Eknath Belbase.
The S-Curve Archives
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ThoughtsThe earliest paper we found examining the impact of climate risks on house prices was from 2017, which found a relationship between elevation/sea level rise and house price differences.[1]
We built our climate-conditioned HPA model in 2022 based on the idea that an increase in insurance costs would impact house prices (something we had not studied yet) in the same way that an increase of the same size in mortgage rates would impact house prices (something that we were quite familiar with).
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NewsAndrew Davidson & Co., Inc (AD&Co) is pleased to announce a new alliance with Mortgage Capital Trading, Inc. (MCT), a leading provider of mortgage capital market solutions.
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EventsAt Andrew Davidson & Co., Inc. (AD&Co), our dedication to Diversity, Equity, and Inclusion (DEI) has been a cornerstone of our values. We established our DEI Committee in 2020, following the tragic murder of George Floyd. Despite the evolving landscape, including the recent U.S. Supreme Court decision impacting affirmative action in higher education, we remain steadfast in our commitment to fostering an inclusive environment that strengthens both our employees and the company.
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PodcastTune in to Eknath Belbase's interview with Michelle Stepien Breier & Richard Cooperstein as they discuss their latest Pipeline article “Improving Mortgage Data: A Data Exchange for the Mortgage Ecosystem.” -
EventsAndy and I recently attended AmeriCatalyst ‘Going to Extremes’ Climate, Housing and Finance Leadership Summit in Washington, D.C., a fantastic conference on all things related to climate risk and the housing ecosystem. While going over all the great speakers and broad expertise represented there would take a novella, I want to connect a few key ideas discussed there to our ongoing efforts in this area.
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EventsAt the recent AmeriCatalyst ‘Going to Extremes’ Climate, Housing and Finance Leadership Summit, I presented a session on how risks related to weather-related losses impact the housing finance system.
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ProductsAndrew Davidson & Co., Inc (AD&Co) is thrilled to announce an expanding relationship with a Third-Party Vendor! AD&Co enjoys working with countless analytical providers to offer our clients seamless solutions and we would like to welcome Milliman M-PIRe™ to the team!
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EventsThe Federal Home Loan Bank of San Francisco directed the Urban Institute to develop innovative and actionable ideas to close the gap between white and black homeownership rates, which is as wide today as before the Fair Housing Act, enacted 60 years ago. Homeownership is crucial to a fairer society because working and middle-class families most commonly create inter-generational wealth by owning homes with amortizing mortgages.
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EventsThe Data Foundation of Mortgage Finance
Homeownership is the largest source of wealth accumulation and inter-generational wealth transfer for the working and middle class. However, the non-interest cost of financing is always an obstacle for first-time and low-wealth buyers, and underserved populations.
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ThoughtsIn this blog post, we used the recently updated Mortgage Market Statistical Annual to examine the dynamics of residential loan origination by state and by market segments and highlight important trends.