AD&Co BIOGRAPHIES

Andrew Davidson is a financial innovator and leader in the development of financial research and analytics. He has worked extensively on mortgage-backed securities product development, valuation and hedging. He is president of Andrew Davidson & Co., Inc., a New York firm specializing in the application of analytical tools to investment management, which he founded in 1992.

Andrew Davidson & Co., Inc. turns mortgage data into investment insight. The firm created Vectors™ Analytics, a set of proprietary tools including the LoanDynamics™ Model for credit-sensitive mortgage securities, prepayment and option-adjusted spread (OAS) models for fixed-rate mortgages, adjustable-rate mortgages, collateralized mortgage obligations (CMOs), and asset-backed securities (ABS). Over 150 financial institutions depend on Vectors™ Analytics to help manage risk and value securities.

The company also provides consulting advice to financial institutions in the development and implementation of investment management and risk management strategies. They also work on a variety of fixed income trading and valuation analyses. Customers of the firm include some of the largest and most sophisticated financial institutions in the industry.

For six years Andrew worked at Merrill Lynch, where he was a Managing Director in charge of a staff of 60 financial and system analysts. In this role, he produced research reports and sophisticated analytical tools including prepayment and option-adjusted spread models, portfolio analysis tools, and was also responsible for the development of trading and risk management systems for the mortgage desk covering ARMs, CMOs, pass-throughs, IOs/POs and OTC options.

He is co-author of the book Securitization: Structuring and Investment Analysis and Mortgage-Backed Securities, Investment Analysis & Valuation Techniques. He has written numerous articles that have appeared in The Handbook of Mortgage-Backed Securities, Mortgage-Backed Securities: New Applications and Research and The Journal of Real Estate Finance and Economics. Andrew was previously a financial analyst in Exxon’s Treasurer’s Department. He received an MBA in Finance at the University of Chicago and a BA in Mathematics and Physics at Harvard.

Sanjeeban Chatterjee is one of the original employees of Andrew Davidson & Co., Inc. Sanjeeban worked at the firm from 1993 through 2000 before moving onto JP Morgan Fleming Asset Management (JPMFAM). After spending 4 years at JPMFAM Sanjeeban rejoined Andrew Davidson & Co., Inc. in May 2004. Sanjeeban's current responsibilities at AD&Co. include the continued development and enhancement of AD&Co.'s proprietary and custom prepayment and credit models, with an emphasis on non-agency collateral.

During his initial tenure at AD&Co., Sanjeeban was responsible for the development of cutting-edge prepayment and default models for mortgage and asset-backed securities. He developed and became familiar with models for various collateral types. In addition, he performed consulting work for clients, including a prepayment study for a Latin American country, which was perhaps the first of its kind.

From 2000 through 2004 Sanjeeban was a Vice-President in the quantitative research group at JP Morgan Fleming Asset Management. In this position he developed models and provided quantitative research to help the mortgage investment team manage approximately $25 Billion in mortgage-backed securities. His other responsibilities included performance attribution and finding value in specified pools.

Sanjeeban received an MA in Applied Statistics from the University of Pittsburgh and a BS in Mathematics from Bates College.

Anne Ching has a diverse background in both investment management and credit risk analysis. Her expertise includes asset selection of emerging market fixed-income securities and risk management with the use of options and forward contracts. As a consultant for Andrew Davidson & Co., Anne applies her knowledge of fixed-income markets and expertise in credit risk analysis to the mortgage sector, particularly in the area of sub-prime residuals. Anne has worked on projects involving valuation of sub-prime residuals and other portfolio monitoring activities.

Prior to joining Andrew Davidson & Co., Inc., Anne worked as a fixed-income strategist and portfolio manager for a macro hedge fund. She was responsible for asset selection of both dollar-denominated and local currency debt instruments in Latin America and Eastern European Countries. She developed flow of funds and currency crisis models for asset allocation and selection. Anne also worked as an economist at the World Bank in Washington, D.C. responsible for macroeconomic monitoring of countries in both South Asia and Central Africa.

Anne is a CFA charterholder and graduated with a Master's in Public Policy from Harvard University. Anne received a BA in molecular biology from the University of Colorado.

John Ferrante joined Andrew Davidson & Co., Inc. in January 2005 to assist in the development of their loan-level prepayment and default models. He came to AD&Co. after co-founding and acting as Senior Software Engineer for VaRisk, a research firm specializing in risk management tools for financial institutions.

Prior to VaRisk, John was a Senior Software Engineer with Loan Performance, improving their �Risk Model� and building various financial tools, including interest rate generators, prepayment models, and data analysis functions for large lending institutions. John worked for four years at Bank of America before that as an Applications Software Engineer and Vice President in the interest rate risk group programming various financial applications for use in asset liability management.

John began his career as a Scientific Programmer for Berkeley Research Associates working on computational fluid dynamics problems involving atmospheric effects and studying solar wind flows.

John holds a BA in Math and an MA in Statistics, both from UC Berkeley.

Rob Landauer is the Director of Business Development for Andrew Davidson & Co., Inc. where he has worked since November of 1999. Andrew Davidson & Co. provides consulting services and proprietary prepayment and valuation models to the institutional fixed income markets.

Prior to joining Andrew Davidson & Co., Inc., Rob spent 8 years as an applications manager at Bloomberg Financial markets where he specialized in the MBS, ABS, CMBS and Syndicated Loan Markets. His responsibilities at Bloomberg included product development, product management and sales and marketing for these market sectors.

Prior to joining Bloomberg, Rob spent two years as Vice-President and Treasurer at Ensign Federal Savings Bank, a $2 Billion savings and loan institution headquartered in New York.

Before joining Ensign, Rob spent four years as a Mortgage-backed securities trader at Irving Securities, a wholly owned subsidiary of Irving Trust.

Rob received his MBA from the Wharton School at the University of Pennsylvania in 1984. He graduated from the School of Industrial and Labor Relations at Cornell University with a BS in June of 1980.

Alex Levin leads Andrew Davidson & Co., Inc.'s efforts in developing new efficient valuation models for mortgages, derivatives and other financial instruments and related consulting work. Alex has developed a suite of interest rate models that can be instantly calibrated to swap rates and a swaption volatility matrix. He proposed and developed the Active-Passive Decomposition (APD) mortgage model facilitated by a backward induction OAS pricing. In a joint effort with Andrew Davidson, Alex developed a new concept of prepay risk-and-option-adjusted valuation. This approach introduced a new valuation measure, prOAS, and a notion of risk-neutral prepay modeling that explained many phenomena of the MBS markets. Alex�s current work focuses on the valuation of instruments exposed to credit risk (�Credit OAS�), home price modeling, and projects related to the on-going MBS crisis.

Until March of 2002, Alex was a Senior Vice President and Director of Treasury Research and Analytics at The Dime Bancorp (the Dime) in New York. At the Dime, he authored Mortgage Solutions, Deposit Solutions and Option Solutions, the Dime's proprietary pricing systems that were intensively used for both security trading and risk assessment. In addition, he was regularly involved in measuring market risk (including a counter-party value-based risk) and hedging positions in various lines of the banking business.

Prior to his employ at the Dime, Alex taught at The City College of NY and worked at Ryan Labs, a fixed income research and money management company.

Alex is a regular speaker at the Mathematical Finance Seminar (NYU, Courant Institute), AD&Co client conferences, and has published a number of papers. He holds an M.S. in Applied Mathematics from Naval Engineering Institute, Leningrad and a Ph.D. in Control and Dynamic Systems from Leningrad State University.

Herb Ray joined Andrew Davidson & Co., Inc. in September 2005 as database developer and administrator.

For the fourteen years prior to joining AD&Co, Herb was an IT consultant doing database development, chiefly in the investment banking industry. The last five years of his consulting work was primarily in equities research automation at such clients as Canadian Imperial Bank of Commerce and SG Cowen. Prior to his work in equities research automation, Herb was at Bankers Trust for over six years developing the automation of credit policy and credit portfolio reporting.

Before moving to IT, Herb was a manufacturing quality control engineer with General Instrument Corporation/Discrete Semiconductor Division where he developed and conducted training programs for engineers and managers in statistical quality control.

Herb received his B.A. in Engineering Science from Hofstra University in 1983, with minors in Mathematics and Chinese Language.

Dan Szakallas is responsible for the research and development of the company's suite of Agency pool-level prepayment models for both fixed rate and ARM collateral using data from Fannie Mae, Freddie Mac, and Ginnie Mae. He has worked extensively in incorporating the Active-Passive Decomposition mortgage model as well many other factors into the proprietary models developed at Andrew Davidson & Co., Inc. He also provides custom model tuning analysis to clients using their portfolio data and monitors model performance using the dynamic performance reports.

In addition, Dan has co-authored several of Andrew Davidson & Co., Inc.'s Quantitative Perspectives, has had an article published in the Journal of Fixed Income, and regularly contributes his model performance analysis to the company's monthly newsletter, The Pipeline.

He graduated from Carnegie Mellon University with a dual major in Statistics and Psychology.

Eknath Belbase re-joined AD&Co. in December 2009 after spending 6 years at Freddie Mac in a variety of roles. At AD&Co. he focuses on consulting projects involving risk management, hedging, interest rate and credit analytics and risk-based capital as well as portfolio strategy.

At Freddie Mac he initially worked in SS&TG, the broker dealer within Freddie, as a mortgage strategist and head of the modeling team, developing prepayment models, extensive time series of securities and derivative prices and a variety of rich/cheap analyses, and authored approximately 50 mortgage strategy and prepayment articles sent to over 200 clients. After the dealer was shut down, he moved to work in the research group for the retained portfolio for 2 years, and then led a team of portfolio managers and analysts as head of non-prime portfolio management, which conducted Freddie Mac’s operations within the areas of non-prime whole loans, subordinate bonds, CDS and MI. Additionally, after Freddie’s activities in the non-prime areas were curtailed in 2007, he worked in guarantee-fee pricing analytics within the prime business and in market risk oversight.

Prior to Freddie Mac, Eknath worked briefly at E*Trade Bank developing optimal interest-rate hedging strategies and executing swap and swaptions transactions within the Bank’s ALM function, as well as at Fannie Mae within a portfolio strategy function working for the mortgage, debt and derivative desks, where he gained expertise in the hedging of mortgages using callable debt and interest rate derivatives.

Eknath began his career in Finance at AD&Co, where he worked from 1998-2002. During that period, he developed the first version of the B-K interest rate process, an initial implementation of the implied-prepayment model, and developed prepayment models for agency fixed-rate and hybrid products that introduced national house price appreciation as a driving variable for the first time. He also supported a number of consulting projects during that period.

Eknath holds a PhD in Mathematics (Probability Theory) and an MS in Statistics from Cornell University (1998) and a BA in Mathematics and Computer Science from Ohio Wesleyan University (1992).