AD&Co News
The Times May Be A-Changin’…But There is Still Time to Register
By Rob Landauer |
The presentations are being polished, the panelists are caucusing, Bob Dylan is tuning up his guitar and classic raspy delivery....all that is missing is you and your colleagues at AD&Co’s 16th Annual Conference on June 11th in New York and June 16th in San Francisco. If you have not already registered, there is still time to let us know your intentions by clicking on this link. All registrations must be completed by Friday, June 6th. There is no cost to attend so hop on the subway, bus, train or plane and join us.
The conferences will provide an unparalleled opportunity to hear the thoughts and wisdom from key participants in the US residential mortgage market as well as from the thought leaders at AD&Co who develop the analytical tools and models needed to help you better manage risk and assess value. For more details on the agenda, please click here.
If you have any questions about the conference, please do not hesitate to contact Laura Gridley, or your account manager Matt or Suzanne. We look forward to seeing you in New York or San Francisco over the next few weeks. Safe travels!!
Prepayment Update
Tuning Recommendations for Agency ARM Prepayment Models
By Dan Szakallas |
Last month we discussed a variety of tuning recommendation for the AD&Co suite of prepayment models. We focused on fixed-rate Agency collateral, and both ARMs and fixed-rate Non-Agency collateral. We have conducted further analysis so that we may share some insight into tunings for the Agency ARM models, specifically for hybrid collateral. We’ll look at prepayment model versions 5.2 and 5.1.
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Valuation Commentary
The Breakpoint Grid
By Alex Levin |
In this article we introduce a concept that AD&Co has developed and been using for a number of recent credit-focused projects including consulting assignments. It combines the ideas of dynamic continuous credit rating, stress risk analysis, and the probabilistic angle of view at losses. In future articles we plan to share more related research results, details, options and applications of the method. This article should be viewed as an “opening statement” for the method.
Terminology
Breakpoint (BP) – a market scenario, out of a sorted set, that forces a non-agency bond to lose its 1st dollar of principal. This term can be generalized to describe a scenario causing a bond to lose exactly 25% of principal, 50% of principal, etc.
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