AD&Co’s OAS Subroutine services will now be available through the SimCorp Dimension, including the LoanDynamics credit model, Term Structure Library and Home Price Simulation Model.
SimCorp offers back-, middle- and front-office solutions for global investment managers, handling risk management, reducing costs and scaling businesses for growth.
It is hoped that the Subroutine will enable it to provide additional measuring and ranking capabilities, while decomposing mortgage-back securities risk for agency and private-label instruments. It could also lead to better analytics and tools for timely and accurate decision-making.
Rob Lanauer, director of business development at AD&Co, said: "AD&Co's OAS valuation methodology reflects both prepayment and default options, considers interest rates and home prices as primary economic factors and also accounts for model risk.”
“This library has been successfully integrated into SimCorp Dimension to provide clients with a powerful mortgage valuation and analytics platform."
Subroutine will be available throughout SimCorp Dimension, which is designed to create a consistency across portfolio analysis, order generation, performance attribution, scenario analysis and risk management. By doing this, it helps with strategy implementation and simplifying clients’ trading decisions.
George Hetrodt, SimCorp’s chief technology officer, said: "We are very pleased with this partnership. While SimCorp Dimension supports a large variety of pricing models and instruments, bringing in AD&Co's market-leading mortgage analytics makes our solutions even more powerful. The tools fit well with the existing capabilities of SimCorp Dimension and add value for our clients."
.jpg)