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  • ADCo Update: Take a Look at the Credit Snapshot
    In July, AD&Co announced the launch of a new valuation service, the Credit Loss Snapshot, to provide a cost effective solution to firms that need to estimate the present value of expected cash flows and credit loss on their MBS holdings. The Credit Loss ...more
    Andrew Davidson & Co., Inc. (9/15/2009)
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  • Valuation Update: Geographical HPA Modeling and Forecasting
    In a number of Pipeline articles and at the 2009 Conference, we presented a stochastic framework for HPI/HPA modeling. It is applied to any single home price index; we only briefly discussed the broader geographical aspect. AD&Co has now reached ...more
    Andrew Davidson & Co., Inc. (9/15/2009)
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  • Prepayment Update: A Look At HELOCs - Part I
    Over the years clients have asked us about prepayment models for Home Equity Line of Credit (HELOC). We recently looked at HELOC data and present some of the findings in this article. In a following article we will take a look at prepayment trends and ...more
    Andrew Davidson & Co., Inc. (9/15/2009)
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  • Andrew Davidson & Co., Inc. Extends Valuation Services with Credit Loss Snapshot to Estimate the Present Value of Expected Cash Flows and Credit Loss on MBS Holdings
    Andrew Davidson & Co., Inc. announces the launch of a new valuation service, the Credit Loss Snapshot, which provides the key credit loss metrics now required by FAS 124 and FAS 157 for credit sensitive residential mortgage-backed securities. ...more
    Andrew Davidson & Co., Inc. (7/22/2009)
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  • The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
    Looking at non-agency prime and sub-prime fixed rate and hybrid prepayment speeds, we see that in most cases speeds are coming out of their year-end lows. However, speeds are not showing the same uptick that we are seeing in the agency market. ...more
    Andrew Davidson & Co., Inc. (4/15/2009)
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  • The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
    GSE Refinancing Programs in the "Making Home Affordable" Initiative. On March 4th, the Obama administration launched the "Making Home Affordable" initiative, part of which detailed the new refinancing programs being offered through Fannie Mae and ...more
    Andrew Davidson & Co., Inc. (3/12/2009)
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  • The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
    How long will home prices continue to fall? When will prepayments return to historical norms? Have defaults and loss severities peaked? Clearly, the answers to these questions are unknown, but analytically profound. Today, with the release of new versions ...more
    Andrew Davidson & Co., Inc. (2/10/2009)
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  • The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
    Before mortgage rates plummeted in December, many of us were asking what exactly was driving the extremely low prepayments seen since the end of August. Many thought that it was due to the extreme home price decline occurring in many parts of the country, ...more
    Andrew Davidson & Co., Inc. (1/9/2009)
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  • The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
    Mercifully, 2008 draws to a close. We bid good riddance to the upheaval, turmoil, and pain of the last 12 months and look to a more stable and positive 2009. To be sure, there will be additional hardships to endure and more shoes yet to drop but we ...more
    Andrew Davidson & Co., Inc. (12/11/2008)
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  • The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
    Andrew Davidson & Co., Inc. has decided to make some changes to the home price data files that are used in the Prepayment Model Suite v5.2d. Instead of using OFHEO All Transactions data, we will now use OFHEO Purchase Only data. ...more
    Andrew Davidson & Co., Inc. (11/6/2008)
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  • The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
    Uncertainty, volatility, illiquidity, upheaval and unprecedented transformation have been the norm for the residential mortgage market over the past 18 months. No one could have predicted the nationalization, failure, and absorption of the most ...more
    Andrew Davidson & Co., Inc. (10/2/2008)
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  • Andrew Davidson & Co., Inc. Offers Breakpoint Analysis to Measure the Risk of Mortgage Portfolio Losses during Complicated Times
    Andrew Davidson & Co., Inc. today announces a new service, Breakpoint Analysis, a flexible means to assess the credit risk of mortgage bonds. AD&Co is a leading provider of models of borrower behavior and risk analytics for fixed income ...more
    Andrew Davidson & Co., Inc. (10/2/2008)
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  • The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
    While the credit markets continue to provide unprecedented volatility and unrelenting distress for market participants, AD&Co has been hard at work refining our product suite and services to help our clients and friends navigate these treacherous times. ...more
    Andrew Davidson & Co., Inc. (9/11/2008)
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  • The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
    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 ...more
    Andrew Davidson & Co., Inc. (6/6/2008)
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  • The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
    The mortgage market is going through turbulent times. Lenders are tightening underwriting standards, and it is getting harder to refinance especially for sub-prime borrowers. This and other factors have led to a slowdown in speeds for all ...more
    Andrew Davidson & Co., Inc. (5/5/2008)
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  • The Pipeline: ADC News, Prepayment Update, Valuation Commentary
    Over the last several months, AD&Co has been engaged by commercial, mortgage and home loan banks, as well as hedge funds and mortgage insurers to provide an independent third party valuation of the intrinsic and market value of their ...more
    Andrew Davidson & Co., Inc. (4/2/2008)
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  • Reinventing Securitization: If It Ain't Broke, Don't Fix It. But What if It is Broken?
    Securitization has been an important driver of economic growth and efficiency. Securitization has increased the amount of money available for home ownership and has facilitated the growth of a myriad of economic sectors. ...more
    Andrew Davidson & Co., Inc. (2/13/2008)
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  • Prepayment Update: How Important are Involuntary Prepayments?
    In the past, mortgage prepayment models dealt primarily with total prepayment speeds. This included voluntary prepayments due to refinancing and turnover, and involntary prepayments ...more
    Andrew Davidson & Co., Inc. (2/13/2008)
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  • Valuation Commentary: How to Use Credit OAS: An ABS Valuation Case Study for the Illiquid Market
    In a number of Pipeline articles and at AD&Co's Annual Conference in June 2007, we introduced the concept of Credit OAS as a sound analytical approach to modeling non-agency MBS. The basic idea is similar to the traditional ...more
    Andrew Davidson & Co., Inc. (2/13/2008)
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  • The Pipeline: AD&Co. News, Prepayment Update, Valuation Commentary
    ASF 2008 is right around the corner and AD&Co is busy preparing to meet with all of our clients and friends that make the trek to Las Vegas. While the pre-conference buzz is focused on the search for a cure for ...more
    Andrew Davidson & Co., Inc. (1/16/2008)
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  • Prepayment Model Tuning & Home Price Forecast Adjustments
    As we enter 2008, many questions still remain in the mortgage industry. From a credit perspective, many wonder how severe the losses on sub-prime loans will ultimately be. Much of this depends on how both the private and public led modification plans ...more
    Andrew Davidson & Co., Inc. (12/17/2007)
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  • The Pipeline: ADC News, Prepayment Update, Valuation Commentary
    2007 will not soon be forgotten by mortgage market participants. It has been a trying year for originators, investors, dealers, rating agencies and the firms that support them. Those of us old enough to be employed in the mortgage industry in the ...more
    Andrew Davidson & Co., Inc. (12/4/2007)
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  • Agency MBS and AD&Co. Models during the Subprime Turmoil
    In 1998 the financial world was stressed by a series of crises. Most notable, the Russian default in that August, triggered a chain reaction causing a number of large funds (like LTCM) to collapse, their counter-parties realized losses and everyone ...more
    Andrew Davidson & Co., Inc. (9/5/2007)
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  • Model Releases & Updates
    The last several weeks have been trying ones for most participants in the MBS markets. Rest assured that AD&Co. is here to help smooth your path during these turbulent times as we have been working hard to ensure ...more
    Andrew Davidson & Co., Inc. (9/5/2007)
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  • Prepayment Update: Model Adjustments in Light of the Credit Crunch
    This month we will spend some time discussing the issues that have arisen in the past couple months as a result of the "credit crunch" being felt across the mortgage industry. We have been actively monitoring ...more
    Andrew Davidson & Co., Inc. (9/5/2007)
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  • Six Degrees of Separation
    ( By Andrew Davidson )
    In the simplest terms, what went wrong in the sub prime mortgage market is that the people responsible for making loans had too little financial interest in the performance of those loans and the people with financial interest ...more
    Andrew Davidson & Co., Inc. (8/1/2007)
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  • Model Performance: Prepayment Analysis
    Prepayments came out of the winter doldrums in March, posting overall increases for the first time since November to December. We observed a balance-weighted ...more
    Andrew Davidson & Co., Inc. (4/27/2007)
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  • Valuation Commentary: First Steps in Credit OAS (part I)
    With the LoanDynamics (TM) Model (LDM) out the door, AD&Co is at full steam working on its most needed application - incorporating LDM into our ...more
    Andrew Davidson & Co., Inc. (4/27/2007)
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  • What's in Store
    The examination of mortgage securities is a multi-faceted challenge. Until now, the analysis of prepayments and the analysis of default ...more
    Andrew Davidson & Co., Inc. (1/26/2007)
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  • ADCo Update: State of the Non-Agency Union
    As recently as 2003, 80% of all mortgage origination was agency-backed, with the remaining 20% non-agency. In 2006, non-agency origination, ...more
    Andrew Davidson & Co., Inc. (1/26/2007)
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  • Prepayment Models for Sub-Prime Mortgages
    Over the last few years there has been a proliferation of sub-prime loan products in the marketplace. Andrew Davidson & Co., Inc., a leader ...more
    Andrew Davidson & Co., Inc. (1/26/2007)
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  • Loan Dynamics Model (TM)
    The risks inherent in credit-sensitive mortgages and related securities require market participants to gain a solid understanding ...more
    Andrew Davidson & Co., Inc. (1/26/2007)
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  • Talking Credit: The Implied Expected Defaults of ABX 06-2
    During the past three months, the price of ABX 06-2 BBB- has fallen from 100.5 to 98.3. While this may seem like a significant decrease in value, ABX may ...more
    Andrew Davidson & Co., Inc. (12/4/2006)
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  • Valuation Consequences of the New ARM Prepay Model: Part II: Non-Agencies get their own portraits
    Version 5.2a features two non-agency ARM models, a non-agency prime model, and a sub-prime model. These models have been built using our ...more
    Andrew Davidson & Co., Inc. (11/10/2006)
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  • Model Performance: The Seasonality of the Witch
    Prepayments slowed in September, as expected. Speeds for FNMA 15-year 4.5's to 7.0's fell between 9% and 13%, which is right in line with the ...more
    Andrew Davidson & Co., Inc. (11/10/2006)
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  • Andrew Davidson & Co., Inc. and COMPASS ANALYTICS partner to deliver Prepayment Models
    Andrew Davidson & Co., Inc. and Compass Analytics, LLC announced today the successful integration of the Andrew Davidson & Co., Inc. ...more
    Andrew Davidson & Co., Inc. (10/16/2006)
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  • ADCO Update: New ARM Prepayment Models for Agency, Jumbo and Sub-Prime Loans
    AD&Co is pleased to announce the availability of v5.2a of our prepayment model. This is the first release that combines all the enhanced fixed rate ...more
    Andrew Davidson & Co., Inc. (9/29/2006)
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  • Prepayment Analysis
    Prepayments posted decent increases in August after taking a downturn in July. Speeds for FNMA 30 -yrs rose across the board, ranging from an ...more
    Andrew Davidson & Co., Inc. (9/29/2006)
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  • Valuation Consequences of the New ARM Prepay Model. Part I: Agency Hybrids
    AD&Co has just released the new prepay model family for ARMs, version 5.2a. As a result, we are going to answer many questions, make all the due ...more
    Andrew Davidson & Co., Inc. (9/29/2006)
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  • Fixed-Rate Agency MBS Prepayments & Model Enhancements
    The Andrew Davidson & Co., Inc. Fixed Rate Prepayment Model version 5.1 represents a major step forward in prepayment modeling. The model incorporates ...more
    Dan Szakallas, Andrew Davidson & Co., Inc. (5/22/2006)
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  • Valuation Commentary: The Hybrid ARM Rates in Modeling and Valuation
    The current Andrew Davidson & Co., Inc. prepayment model for hybrid ARMs was released in March of 2002 and built using 1994 - 2001 prepayment data. At the time ...more
    Alex Levin, Andrew Davidson & Co., Inc. (4/10/2006)
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  • AD&Co. Update - Spring Announcements
    With March Madness almost behind us and the first pitch of the baseball season around the bend, the pace of development at AD&Co. continues at a ...more
    Rob Landauer, Andrew Davidson & Co., Inc. (4/10/2006)
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  • Model Performance: Prepayment Analysis
    Prepayment speeds increased in February by about 5% on average. FNMA30-year aggregate speeds in February were 11.1 CPR vs. 10.7 CPR in January. Speeds for ...more
    Andrew Davidson & Co., Inc. (4/10/2006)
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  • AD&Co. Update: New Non-Agency Fixed Rate Model Now Available (v5.1d)
    We are pleased to announce the availability of our new fixed rate non-agency 15 and 30 year prepayment model. The new model is integrated into the latest version ...more
    Rob Landauer, Andrew Davidson & Co., Inc. (2/28/2006)
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  • Model Performance: Prepayment Analysis
    Prepayment speeds decreased from December to January. The drop was the largest of the previous few months and was also a sharper decline than many ...more
    Dan Szakallas, Andrew Davidson & Co., Inc. (2/28/2006)
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  • Valuation Commentary: Volatility Models and Mean Reversion
    During the end of January, I received several calls from clients questioning the calibration of the mean reversion parameter for the Black-Karasinski model. They ...more
    Alex Levin, Andrew Davidson & Co., Inc. (2/28/2006)
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  • AD&Co. Update - January '06
    Just like the Steelers and Seahawks, AD&Co. is off to a fast start in 2006. Please stay on top of all of the new model developments and company ...more
    Rob Landauer, Andrew Davidson & Co., Inc. (2/1/2006)
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  • Valuation Commentary: The Role of Fair Value, Model-Free Value and Risk-Neutrality
    This month I decided to touch on these vital valuation concepts which, in essence, dominate many of my own consulting and development projects. Although most ...more
    Alex Levin, Andrew Davidson & Co., Inc. (2/1/2006)
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  • Model Performance: Prepayment Analysis
    Prepayments decreased from November to December as we expected, as a combination of the winter decline trend and steadily increasing mortgage ...more
    Dan Szakallas, Andrew Davidson & Co., Inc. (2/1/2006)
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  • AD&Co. Update: A Comparison of Speeds: v4.3.4 vs. v5.1c
    In last month's Pipeline, we announced the release of v5.1c of our MBS Enhanced Prepayment Model (link to AD&Co Update 10/05) which updated and ...more
    Rob Landauer, Andrew Davidson & Co., Inc. (11/30/2005)
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  • Valuation Commentary: Valuation Q&As. Part 2: Valuation of MBS with OAS and prOAS
    Q. Many instruments are still valued using the static method. Is OAS truly necessary? A. If we review our mathematical education and knowledge ...more
    Alex Levin, Andrew Davidson & Co., Inc. (11/30/2005)
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  • Model Performance: Prepayment Analysis
    As expected, prepayments dropped again in October, although the decreases were not as drastic as we anticipated. FNMA 30-year discounts declined ...more
    Dan Szakallas, Andrew Davidson & Co., Inc. (11/30/2005)
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  • Valuation Commentary: Valuation Q&As. Part 1: AD&Co Interest Rate Library
    Two years ago we published Inquiries & Interactions: We're Always Listening, an overview of commonly asked questions about some features ...more
    Alex Levin, Andrew Davidson & Co., Inc. (10/31/2005)
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  • New Model Release: MBS Enhanced Prepayment Model: v5.1c
    Just in time for the holidays-AD&Co is pleased to announce that v5.1c of our MBS Enhanced Prepayment Model is now available for use as a subroutine ...more
    Rob Landauer, Andrew Davidson & Co., Inc. (10/31/2005)
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  • Model Performance : Prepayment Analysis
    Prepayments displayed noticeable declines from August to September, which was expected, although drops in the discount sector were a bit sharper ...more
    Dan Szakallas, Andrew Davidson & Co., Inc. (10/31/2005)
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  • Prepayment Analysis
    Prepayments posted slight increases from July to August, with the most notable gains actually being seen ...more
    Andrew Davidson & Co., Inc. (9/30/2005)
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  • AD&Co Weekly Market Analysis: A Fresher Look and Deeper Content
    Many of our clients are avid consumers of our weekly OAS reports that cover agency 30-yr TBAs - Fannies (FNCL), ...more
    Alex Levin, Andrew Davidson & Co., Inc. (9/30/2005)
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  • Prepayment Analysis
    Prepayments posted notable increases from May to June, as rates fell steadily during the refinance period over the previous couple of months. ...more
    Andrew Davidson & Co., Inc. (7/29/2005)
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  • Is the MBS Market Expensive?
    Investors looking for MBS opportunities quickly come to the conclusion that the market is "expensive" in general, as witnessed by ...more
    Alex Levin, Andrew Davidson & Co., Inc. (6/29/2005)
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  • Prepayment Analysis
    Prepayments in May increased for discounts and were flat for cusp coupons and premiums. ...more
    Andrew Davidson & Co., Inc. (6/29/2005)
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  • Modeling Mortgage Risk: Definitional Issues
    In the February issue of The Pipeline, we provided a general overview of the issues involved in loan level modeling of both major components ...more
    Kyle G. Lundstedt, Andrew Davidson & Co., Inc. (4/29/2005)
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  • Prepayment Analysis
    Prepayments rose sharply in March, as expected. Low rates during the March refinance window coupled with the seasonal rise ...more
    Andrew Davidson & Co., Inc. (4/29/2005)
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  • Today's CFO: Triple Threat?
    Clark Simpson inbounds the ball to Jim who passes it back to Clark. During the week, Clark is CFO of Gold Bank, but today he is ...more
    Andrew Davidson & Co., Inc. (3/31/2005)
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  • A New Member of AD&Co: The Two-factor Gaussian Term Structure, Part 2
    Last month we introduced a two-factor Gaussian model, the latest addition to AD&Co's suite of term structures. I pledged to ...more
    Andrew Davidson & Co., Inc. (2/28/2005)
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  • Prepayment Analysis
    Prepayments took a nose dive in January, as many factors conspired to cause drops larger than were expected. ...more
    Andrew Davidson & Co., Inc. (2/28/2005)
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  • Model Performance - Jan 05: Prepayment Analysis
    Once again prepayments showed little change from the previous month as December prepayments remained consistent with those seen in November. ...more
    Andrew Davidson & Co., Inc. (1/15/2005)
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  • A New Member of AD&Co: The Two-Factor Gaussian Term Structure (part 1)
    Until recently, the AD&Co suite of term structure models had consisted of three "members," the Hull-White model, the Black-Karasinski model and ...more
    Andrew Davidson & Co., Inc. (1/15/2005)
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  • Model Performance - Dec 04: Prepayment Analysis
    Prepayments once again posted small increases for low coupons and cuspy premiums in the month of November. The effect of burnout ...more
    Andrew Davidson & Co., Inc. (12/15/2004)
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  • 2004 Valuation Round-up
    Last December, the year-closing article was titled "The Lessons of an Eventful Year". This year did not warrant such an adjective ...more
    Andrew Davidson & Co., Inc. (12/15/2004)
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  • Why does bad accounting happen to good companies?
    As we approach year end, there is uncertainty in the markets as the dollar sinks against the euro and the yen. There is risk associated with rising rates ...more
    Andrew Davidson & Co., Inc. (12/1/2004)
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  • Prepayment Performance
    Prepayments showed small increases for low coupons and cuspy premiums in the month of October. ...more
    Andrew Davidson & Co., Inc. (12/1/2004)
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  • Prepayment Performance
    Prepayments remained relatively stable for the month of September, as some pools showed increases and other showed drops. ...more
    Andrew Davidson & Co., Inc. (10/29/2004)
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  • Andrew Davidson & Co., Inc. Launches new MBS valuation product
    Demonstrating its continued dedication to innovation, Andrew Davidson & Co., Inc. is delighted to announce the launch of ValueNet, ...more
    Rob Landauer, Andrew Davidson & Co., Inc. (6/16/2004)
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  • Prepayment Performance
    Prepayments on lower coupons increased again from March to April, while the higher premiums showed some very slight decreases. ...more
    Andrew Davidson & Co., Inc. (5/28/2004)
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  • Prepayment-risk-and-option-adjusted-spread valuation (conclusion)
    Last month's article described a new MBS valuation approach that accounts for both the prepayment option and the risk of prepay model being wrong ("prepayment risk"). ...more
    Andrew Davidson & Co., Inc. (5/28/2004)
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  • Prepayment-risk-and-option-adjusted-spread Valuation
    What is the difference between the risks embedded in agency MBS and agency debentures? Why are MBS usually traded at a wider spread, even on an ...more
    Andrew Davidson & Co., Inc. (4/30/2004)
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  • Prepayment Performance
    As expected, prepayments rose again from February to March, with all coupons posting sizeable increases from the previous month. The ...more
    Andrew Davidson & Co., Inc. (4/30/2004)
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  • Model Performance
    Andrew Davidson & Co., Inc. (3/4/2004)
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  • Valuation Commentary: How to Validate an Interest Rate Model?
    Andrew Davidson & Co., Inc. (3/4/2004)
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  • Prepayment Performance
    Andrew Davidson & Co., Inc. (3/1/2003)
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  • AD&Co Update -- Monthly Data Files
    Andrew Davidson & Co., Inc. (3/1/2003)
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  • Prepayment Model's home price appreciation component allows user to adjust forecast for long-term growth
    Andrew Davidson & Co., Inc. (3/1/2003)
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  • Prepayment Performance
    Andrew Davidson & Co., Inc. (2/1/2003)
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  • Setting Burnout Tuning Parameter to 1.1 for 30-year Agency, Government MBS Will Yield a More Accurate Prepayment Forecast
    Andrew Davidson & Co., Inc. (2/1/2003)
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  • OAS Made Easy
    Andrew Davidson & Co., Inc. (2/1/2003)
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  • ADCO Update -- Performance Reports Go Dynamic
    One of the most frequently accessed reports on the AD&Co. website are our monthly performance reports ...more
    Andrew Davidson & Co., Inc. (1/1/2003)
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  • Prepayment Performance
    There was a slight increase in prepayments from November to December as the refinance wave continued ...more
    Andrew Davidson & Co., Inc. (1/1/2003)
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  • The Impact of Age on Valuation
    The assumption made about the age of collateral in TBAs can have a large impact on the valuation of these securities ...more
    Andrew Davidson & Co., Inc. (1/1/2003)
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  • MBS -- Andrew Davidson & Co., Inc. quantifies changing dynamics of the Mortgage Current Coupon yield
    Andrew Davidson & Co., Inc. (4/23/2001)
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  • The Relationship Between the Yield Curve & Mortgage Current Coupon
    Eknath Belbase, Dan Szakallas, Andrew Davidson & Co., Inc. (4/23/2001)
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  • The Relationship Between the Yield Curve & Mortgage Current Coupon
    Eknath Belbase, Dan Szakallas, Andrew Davidson & Co., Inc. (4/1/2001)
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  • Provides Analytics To BondWeb.com
    Andrew Davidson & Co., Inc. (11/27/2000)
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  • Home Equity Loans - Home Equity Prepayment Model
    Andrew Davidson & Co., Inc. (9/6/2000)
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  • Adjustable Rate Home Equity Loans (ARM HEL)
    Andrew Davidson & Co., Inc. (9/6/2000)
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  • Mobile Home Leases - New Prepayment Model: Mobile Homes
    Andrew Davidson & Co., Inc. (9/6/2000)
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  • Auto Loans - New Prepayment Model: Auto Loans
    Andrew Davidson & Co., Inc. (9/6/2000)
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  • MBS - Fixed Rate Mortgage Prepayment Model verson 4.1
    Andrew Davidson & Co., Inc. (9/6/2000)
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  • Home Equity Loan - ARM Home Equity Loan Prepayment Model
    Andrew Davidson & Co., Inc. (9/6/2000)
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  • A Lattice Implementation Of The Black-Karasinsky Rate Process
    Andrew Davidson & Co., Inc. (9/6/2000)
     

     

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