Andrew Davidson & Co., Inc. Reveals the Workings behind its MBS Enhanced Prepayment Model

New York, May 17, 2006 — Andrew Davidson & Co., Inc. has just published its latest Quantitative Perspectives, “Fixed Rate Agency Prepayments & Model Enhancements.” In the research piece, writer and Modeler Dan Szakallas describes, in detail, the methodology behind the company’s latest MBS Enhanced Prepayment Model. New MBS Enhanced Prepayment Model developments include the incorporation of Active-Passive Decomposition (APD) for burnout, enhanced pool data from Fannie Mae, Freddie Mac and Ginnie Mae as well as enhanced data disclosure from the agencies since 2003. These added model features enable analysts to more accurately predict prepayments on loans.

The new modeling routine is the foundation for Andrew Davidson & Co., Inc.‘s attempt to merge their VectorsTM model suite, including the Sub Prime Prepayment Model, OAS Valuation Solution and soon-to-be released Credit Default Model, under a unified APD methodology. Further discussion of this and other models as well as the company’s study and innovations behind Credit Defaults will occur at the Andrew Davidson & Co., Inc Annual Conference on June 15 in New York City and June 20th in San Francisco.

The comprehensive commentary begins with the Andrew Davidson & Co., Inc. Modeling Philosophy and goes on to describe new model factors, how and why APD works as better forecasting practice for capturing prepayments and the company’s approach to applying the new data disclosures with and without risk multipliers. Along the way, illustrations, charts and mathematic equations further elucidate the modeling process.

Andrew Davidson & Co., Inc. provides consulting services, litigation support, and risk analytics for mortgage and asset-backed securities. The VectorsTM analytics library currently offers prepayment models for fixed rate and adjustable-rate mortgages, prepayment models for asset-backed securities, option-adjusted valuation and risk management tools for MBS, ABS, and CMOs, and interest rate processes. The company’s unique blend of consulting experience and expertise with cutting-edge quantitative methods allow it to combine decades of Wall Street experience with the most advanced modeling techniques to produce informed, effective third-party software.