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.
-
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.
The S-Curve Archives
-
News
We are proud to announce that Richard Cooperstein has accepted the position of co-chair of the Structured Finance Association’s (SFA) Regulatory Capital & Liquidity committee.
-
NewsToday we acknowledge the Year of the Ox. Happy Lunar New Year! We stand in solidarity with the Asian community against all violence and racism. Here’s to a year of peace, health and prosperity.
-
NewsThis February, AD&Co celebrates a central part of American History—Black History. The richness of the contributions of the Black community as a whole, and innumerable remarkable individuals, can not be overstated.
-
Thoughts
The January 14, 2021 revisions of the Preferred Stock Purchase Agreements between the Treasury and the GSEs[i] (Government Sponsored Enterprises) along with the Treasury Department Blueprint on Next Steps for GSE[ii] Reform perhaps represent the end of a decade- long effort to create multiple competitive enterprises and end the government support of the GSEs.
-
NewsMartin Luther King, Jr. was a great leader and inspirational speaker. His wisdom can serve as a guide for as long as we remember him. Andrew Davidson & Co would like to acknowledge a fraction of what he gave us with two relevant quotes that seem fitting in 2021.
-
Thoughts
In the spring of 2019, National Association of Realtors® (NAR), together with financial-market experts Susan Wachter (Wharton) and Richard Cooperstein (Andrew Davidson & Co., Inc.) proposed completing the transition of Fannie Mae and Freddie Mac (Enterprises) into market utilities in a publication entitled “A Vision for Enduring Housing Finance Reform.” This work builds on Richard Cooperstein and Andrew Davidson’s 2017
-
News
We proudly launched our new website on November 13th. As you familiarize yourself with the new look of ad-co.com, you will come to know the many new offerings we provide. Along with the new website, we have organized our products as a menu of models and applications for a wide range of investor appetites. Let us review the menu of our product offerings.
-
Thoughts
Separating signal from noise is at the heart of what we do at AD&Co. One of the key tools we utilize for that purpose is a sophisticated set of model performance trigger reports. These monthly reports not only alert us to model drift but also point to possible causes for the drift.
-
News
Andrew Davidson & Co., Inc. (AD&Co), is proud to support Fite Analytics’ innovative cloud-native Mortgage-Backed Securities Analytics Service. The Fite Analytics solution incorporates AD&Co’s LoanDynamics models that provide forecasts of voluntary prepayments, defaults and losses that drive risk analytics across the mortgage-backed securities market with comprehensive coverage.
-
News
We are thrilled to announce that Andrew Davidson & Co., Inc. has launched a new look for ad-co.com. Some of the exciting new features of this site include:
-
A dynamic homepage highlighting the firm’s latest innovations, AD&Co client benefits, announcements, and Diversity, Equity and Inclusion efforts.
-