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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Policy Perspectives: Fed 2020 Intervention And Mortgage Market OutcomesThoughts
Mortgage market participants are keenly aware that the Federal Reserve has been scaling back its UST and MBS purchases and factoring the outcomes of its actions on stakeholders across markets. In this Policy Perspectives article, we take a retrospective look back at the March 2020 ease from a mortgage markets view point and highlight how the outcomes of intervention manifest through the interaction of related primary and secondary mortgage markets activities. We show that Fed activity can have unintended and disruptive impacts on the functioning of housing finance and result in wealth effects that benefit the more affluent segments of the housing economy.
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The S-Curve Archives
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ThoughtsWe’re excited to announce our latest Quantitative Perspectives providing in-depth insights into current market trends and advanced valuation techniques. This publication offers valuable information for mortgage market participants and those involved in credit risk transfer transactions.
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PodcastTune in to Laura Silberg's interview with Andrew Davidson, Eknath Belbase and Alex Levin as they discuss their latest Quantitative Perspectives, our independent commentary series, titled
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ThoughtsAs providers of mortgage models for financial institutions, Andrew Davidson & Co., Inc. (AD&Co) enables clients to validate their use of our models and offers documentation describing the conceptual framework of the models, back-testing results, and sample forecasts under a variety of economic conditions. We also work with analytics providers who have incorporated our models to ensure that the models works as intended.
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ThoughtsWe’re excited to announce two new Quantitative Perspectives that provide in-depth insights into current market trends and advanced valuation techniques. These papers offer valuable information for mortgage market participants and those involved in credit risk transfer transactions.
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EventsAndrew Davidson & Co. Inc. (AD&Co) proudly sponsored the Information Management Network (IMN)’s 10th Annual Mortgage Servicing Rights (MSR) Forum, held November 21 - 22, 2024 at the New York Marriott at Brooklyn Bridge.
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Podcast
Tune in to Michelle Stepien Breier's interview with Alex Levin & Matteo Caracciolo-King as they discuss their latest Pipeline article “AD&Co Updates its Home Price Index Model.” The interview highlights key points from the article as they share recent updates to the HPI3 model.
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ThoughtsWith the increasing volumes of Synthetic Risk Transfer (SRT) and Credit Risk Transfer (CRT) along with the discussion of BASEL III, we thought it would be useful to re-issue our comment letter to FHFA on the capital treatment of Credit Risk Transfer.
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PodcastRecently, senior credit modeler, Daniel Swanson had the pleasure of speaking with Rob Kessel from the Panoramic Capital Academy podcast titled, “Modeler’s Perspective on Prepayment Modeling.” T
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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.