
	September 28, 2006 Welcome to The Pipeline, Andrew Davidson & Co., Inc.'s monthly newsletter. We are happy to dedicate this month's issue to the release of our new v5.2a Prepayment model. Each section in this issue contains valuable information on what changes have been made to the model, how it affects OAS and where users can download their upgrades. Enjoy and thank you for your loyal readership.



	AD&Co. Update Valuation Commentary Model Performance Review

AD&Co. Update

New ARM Prepayment Models for Agency, Jumbo and Sub-Prime Loans

By Rob Landauer

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 models released in v5.1 with these new ARM models into a single subroutine that uses a consistent functional form. This means that all loan types now model burnout using the active/passive (APD) form and generate more reasonable results across all credit, coupon, amortization and size loan variables originated in the mortgage market. Read more...

Valuation Commentary

Valuation Consequences of the New ARM Prepayment Model in v5.2a: Part I - Agency Hybrids

By Alex Levin

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 disclosures, and publish related documents. Pipeline readers seeking a systematic description of the new prepayment model can find that in our ADCo Update section. Those who want to learn how the new version will affect the OAS system should Read on...

Model Performance Review

Prepayments Increase in August

By Dan Szakallas

Prepayments posted decent increases in August after taking a downturn in July. Speeds for FNMA 30 -yrs rose across the board, ranging from an increase of 3.0% of 4.5s to 10% for 7.5's. The same pattern was seen for the FHLMC coupon stack, with 5.5s leading the way with an increase of 10.4% from July. Read more...


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