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.

Issue No. 187 | Sep 2024

FALLING INTO FALL
Eknath Belbase

With rates across the entire curve falling, mortgage rates have followed, with primary rates reaching a 15-month low at 6.2%. In our first article, I look at the potential impacts of falling rates across the coupon stack as well as on house price dynamics.

FALLING RATES AND MORTGAGE MARKET IMPACTS
Eknath Belbase

In this article, we examine the recent drop and the potential for a further drop in mortgage rates going into 2025. After looking at single-family (SF) and multi-family (MF) construction trends, we discuss potential impacts on refinancing, reduction of the rate lock-in effect, and home prices.

AD&CO UPDATES ITS HOME-PRICE INDEX MODEL (HPI3)
Matteo Caracciolo-King, Alex Levin

We revisit Andrew Davidson & Co., Inc.’s (AD&Co) HPI3 (Home Price Index, 3rd generation) model, last updated in 2015. We revise the model not only to include more recent data in the calibration, but also to see if the reaction to the economic driver should be faster and if the Home Price Appreciation (HPA) surprises should be filtered more strongly. We find that the inclusion of the new data does in fact lead to a faster economic process.

PROFILING RESIDENTIAL MORTGAGE INVESTMENTS AT INSURANCE COMPANIES
Mickey Storms, Matteo Caracciolo-King

The risk-return characteristics of residential loan backed mortgage investments have been dramatically transformed by the interest rate increases of the last several years to significantly improve their fit as investments for insurance companies. In recent months, there’s been increasing market chatter about life insurance companies having increased their residential mortgage exposure over the last several years that specifically mentions whole loans.

© 2024 Andrew Davidson & Co., Inc. All rights reserved. You must receive permission from marketing@ad-co.com prior to copying, displaying, distributing, publishing, reproducing, or retransmitting any of the content contained in The Pipeline.
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:
09-2024
Issue:
187
Author:
Eknath Belbase
Date:
09-2024
Issue:
187
Author:
Eknath Belbase
Date:
09-2024
Issue:
187
Author:
Matteo Caracciolo-King
Alex Levin
Date:
09-2024
Issue:
187
Author:
Mickey Storms
Matteo Caracciolo-King
Date:
06-2024
Issue:
186
Author:
Eknath Belbase
Date:
06-2024
Issue:
186
Author:
Richard Cooperstein
Michelle Stepien Breier
Date:
06-2024
Issue:
186
Author:
Richard Cooperstein
Date:
02-2024
Issue:
185
Author:
Eknath Belbase
Date:
02-2024
Issue:
185
Author:
Eknath Belbase
Date:
02-2024
Issue:
185
Author:
Connor Campbell
Date:
02-2024
Issue:
185
Author:
Alex Levin
Daniel Swanson
Date:
02-2024
Issue:
185
Author:
Andrew Davidson
Date:
12-2023
Issue:
184
Author:
Eknath Belbase
Date:
12-2023
Issue:
184
Author:
Richard Cooperstein
Vivian Li
Date:
12-2023
Issue:
184
Author:
Richard Cooperstein
Date:
09-2023
Issue:
183
Author:
Eknath Belbase
Date:
09-2023
Issue:
183
Author:
Mickey Storms
Date:
09-2023
Issue:
183
Author:
Alex Levin
Date:
09-2023
Issue:
183
Author:
Joni Baker
Eknath Belbase
Date:
06-2023
Issue:
182
Author:
Eknath Belbase
Date:
06-2023
Issue:
182
Author:
Alex Levin
Date:
06-2023
Issue:
182
Author:
Richard Cooperstein
Kevin Lin
Michelle Stepien Breier
Date:
02-2023
Issue:
181
Author:
Eknath Belbase
Date:
02-2023
Issue:
181
Author:
Tom Parrent
Date:
02-2023
Issue:
181
Author:
Alex Levin
Daniel Swanson
Date:
02-2023
Issue:
181
Author:
Eknath Belbase
Date:
02-2023
Issue:
181
Author:
Joni Baker
Richard Cooperstein
Sanjeeban Chatterjee
Date:
12-2022
Issue:
180
Author:
Eknath Belbase
Date:
12-2022
Issue:
180
Author:
Michelle Stepien Breier
Date:
12-2022
Issue:
180
Author:
Sanjeeban Chatterjee
Date:
11-2022
Issue:
179
Author:
Eknath Belbase
Date:
11-2022
Issue:
179
Author:
Mickey Storms
Date:
11-2022
Issue:
179
Author:
Alex Levin
Date:
09-2022
Issue:
178
Author:
Eknath Belbase
Date:
09-2022
Issue:
178
Author:
Dan Szakallas
Date:
09-2022
Issue:
178
Author:
Mickey Storms
Date:
09-2022
Issue:
178
Author:
Matteo Caracciolo-King
Alex Levin
Vivian Li
Date:
09-2022
Issue:
178
Author:
Matteo Caracciolo-King
Date:
07-2022
Issue:
177
Author:
Eknath Belbase
Date:
07-2022
Issue:
177
Author:
Mickey Storms
Date:
07-2022
Issue:
177
Author:
Alex Levin
Date:
07-2022
Issue:
177
Author:
Connor Campbell
Date:
03-2022
Issue:
176
Author:
Eknath Belbase
Date:
03-2022
Issue:
176
Author:
Sanjeeban Chatterjee
Daniel Swanson
Richard Cooperstein
Date:
03-2022
Issue:
176
Author:
Alex Levin
Daniel Swanson
Date:
03-2021
Issue:
175
Author:
Eknath Belbase
Date:
03-2021
Issue:
175
Author:
Daniel Swanson
Date:
03-2021
Issue:
175
Author:
John Gao
Alex Levin
Daniel Swanson
Date:
03-2021
Issue:
175
Author:
Tom Parrent
Date:
12-2020
Issue:
174
Author:
Eknath Belbase
Date:
12-2020
Issue:
174
Author:
Alex Levin
Date:
12-2020
Issue:
174
Author:
Eknath Belbase
Date:
10-2020
Issue:
173
Author:
Eknath Belbase
Date:
10-2020
Issue:
173
Author:
Chris Widman
Date:
10-2020
Issue:
173
Author:
Alex Levin
Date:
08-2020
Issue:
172
Author:
Eknath Belbase
Date:
08-2020
Issue:
172
Author:
Daniel Swanson
Date:
08-2020
Issue:
172
Author:
Dan Szakallas
Date:
04-2020
Issue:
171
Author:
Eknath Belbase
Date:
04-2020
Issue:
171
Author:
Dan Szakallas
Kevin Atteson
Daniel Swanson
Date:
04-2020
Issue:
171
Author:
Chris Widman
Date:
04-2020
Issue:
171
Author:
Mickey Storms
Richard Cooperstein
Date:
04-2020
Issue:
171
Author:
Alex Levin
Date:
03-2020
Issue:
170
Author:
Eknath Belbase
Date:
03-2020
Issue:
170
Author:
Mickey Storms
Alex Levin
Date:
02-2020
Issue:
169
Author:
Eknath Belbase
Date:
02-2020
Issue:
169
Author:
Chris Widman
Date:
02-2020
Issue:
169
Author:
John Gao
Alex Levin
Daniel Swanson
Date:
12-2019
Issue:
168
Author:
Eknath Belbase
Date:
12-2019
Issue:
168
Author:
Chris Widman
Date:
12-2019
Issue:
168
Author:
Alex Levin
Nathan Salwen
Date:
09-2019
Issue:
167
Author:
Eknath Belbase
Date:
09-2019
Issue:
167
Author:
Andrew Davidson
Feiqi Jiang
Alex Levin
Date:
09-2019
Issue:
167
Author:
Chris Widman
Date:
06-2019
Issue:
166
Author:
Eknath Belbase
Date:
06-2019
Issue:
166
Author:
Dan Szakallas
Date:
06-2019
Issue:
166
Author:
Sanjeeban Chatterjee
Date:
04-2019
Issue:
165
Author:
Eknath Belbase
Date:
04-2019
Issue:
165
Author:
Alex Levin
Date:
04-2019
Issue:
165
Author:
Richard Cooperstein
Date:
02-2019
Issue:
164
Author:
Eknath Belbase
Date:
02-2019
Issue:
164
Author:
Eknath Belbase
Date:
02-2019
Issue:
164
Author:
Daniel Swanson
Date:
02-2019
Issue:
164
Author:
John Gao
Alex Levin
Daniel Swanson
Date:
12-2018
Issue:
163
Author:
Eknath Belbase
Date:
12-2018
Issue:
163
Author:
Alex Levin
Date:
12-2018
Issue:
163
Author:
Dan Szakallas
Date:
12-2018
Issue:
163
Author:
Sanjeeban Chatterjee
Date:
10-2018
Issue:
162
Author:
Eknath Belbase
Date:
10-2018
Issue:
162
Author:
Alex Levin
Date:
10-2018
Issue:
162
Author:
Eknath Belbase
Date:
09-2018
Issue:
161
Author:
Eknath Belbase
Date:
09-2018
Issue:
161
Author:
Daniel Swanson
Date:
09-2018
Issue:
161
Author:
Alex Levin
Date:
08-2018
Issue:
160
Author:
Eknath Belbase
Date:
08-2018
Issue:
160
Author:
Dan Szakallas
Date:
08-2018
Issue:
160
Author:
Alex Levin
Mickey Storms
John Gao
Date:
06-2018
Issue:
159
Author:
Eknath Belbase