SOURCE: Andrew Davidson & Co., Inc.

Andrew Davidson & Co., Inc.

February 11, 2009 10:15 ET

Andrew Davidson & Co., Inc. Enhances Analytics to Include Vectored Tuning to Measure the Risk of Mortgage Portfolios With Greater Flexibility and Accuracy

NEW YORK, NY--(Marketwire - February 11, 2009) - Andrew Davidson & Co., Inc. (AD&Co) today announces the release of LoanDynamics™ version 1.7.1c and Prepayment Model version 5.2e, which include vectored tunings, an enhanced tuning feature for forecasting the performance of mortgage portfolios. This enhancement allows users to vary prepayment and default tuning parameters over specific time periods, which is particularly valuable when current market performance deviates significantly from historical norms.

As home prices continue to fall and the availability of credit remains tight, prepayment speeds have reached historical lows while delinquencies, defaults and losses are at all time highs. While the outlook for the near future looks like much of the same, at some point, prepay speeds will rise and default rates will slow. With vectored tuning, users can incorporate their opinion as to how long current trends will last and when a more robust mortgage market will emerge.

AD&Co's Vectors™ Suite includes economic models of prepayments, delinquencies, defaults and losses that are calibrated to historical data. The models forecast the relative effects that different variables (such as home prices, credit score and aging) have on borrower behavior. The models were designed to enable users to express a view or "tune" the impact of these variables, and analyze how their opinions affect portfolio performance. The ability to specify a date range for the tunings provides investors in MBS greater flexibility and an even more useful analytical tool.

According to Andrew Davidson, President of AD&Co, "We believe that models should be used to perform sensitivity analyses. In addition, models should be able to account for current market dislocations that may not reflect historical performance. AD&Co's vectored tuning capability makes all of this possible. Further, this enhancement allows us to capture a more dynamic view of delinquencies and defaults which radically improves the quality of the valuations provided in both our software products and valuation services."

For a complimentary consultation to find out which products or valuation services may be appropriate for your firm, please contact Rob Landauer, Director of Business Development, at 212-274-9075.

About Andrew Davidson & Co., Inc.

Andrew Davidson & Co., Inc. turns mortgage data into investment insight. The firm is a leading provider of models of borrower behavior and risk analytics for fixed income investors of mortgage (MBS) and asset-backed securities (ABS) and an expert advisor in the areas of risk management, and the valuation of complex MBS and mortgage derivatives. Andrew Davidson & Co., Inc. offers prepayment models for MBS and ABS, a LoanDynamics™ Model for credit sensitive mortgage securities, and option-adjusted valuation and risk management tools for MBS, ABS, and CMOs. With a unique blend of investment expertise and cutting-edge quantitative methods, the company produces highly advanced models and the most innovative solutions to mortgage investment challenges. For more information, visit

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