ANDREW DAVIDSON & CO., INC. RELEASES NEW PREPAYMENT MODEL FOR SUB PRIME LOANS

New York, November 14, 2005 — Andrew Davidson & Co., Inc. (AD&Co) has developed a new prepayment model for sub-prime loans to replace its existing model. The new model for 30-year and 15-year fixed-rate Home Equity Loans (HEL) was built with loans originated by RFC (Residential Funding Mortgage Securities) from January 2000 through December 2004 and uses the company’s innovative method of Active-Passive Decomposition (APD) for burnout to better forecast prepayments.

AD&Co. recognized the need to evaluate new market data as the HEL market, along with the profile of HEL borrowers changed, noticeably over the past few years. During the review, Sanjeeban Chatterjee, who headed up the model’s development, discovered various trends in the market — most notably a close correlation between prepayment speeds and the borrower’s credit rating (quantified using Spread-At-Origination). The new AD&Co. HEL model incorporates this and other relevant research, resulting in more consistent and accurate prepayment projections than previous models for HEL.

The new HEL model was built using APD in an effort to amalgamate the company’s VectorTM Prepayment and Valuation Model suite into a single functional form. APD is an extension of work performed by Senior Developer/Consultant Alex Levin, and AD&Co. President Andrew Davidson and provides a faster, more resourceful alternative to the Monte-Carlo valuation technique traditionally used in MBS analytical systems.

Mr. Davidson is confident that this new HEL model will serve the market well, “We have determined that there are common features to prepayments across product types. This model utilizes the same framework as our prime mortgage models, taking into account turnover, rate/term refinancing, cash-out refinancing and credit cure.”

Details of the development of the new model for 30-year and 15-year fixed-rate Home Equity Loans (HEL) are available in Quantitative Perspectives, the company’s periodic research publication. The issue entitled Fixed Rate Home Equity Prepayment Model was written by AD&Co. Senior Consultant Sanjeeban Chatterjee and is available at the company’s website www.ad-co.com/qpsept05.pdf or by contacting Ilda Jacobsen.

Andrew Davidson & Co., Inc. provides consulting services and risk analytics for fixed income investors with emphasis on mortgage and asset backed securities. Their VectorsTM analytics library currently offers prepayment models for both MBS and asset-backed securities (ABS), and option-adjusted valuation and risk management tools for MBS, ABS, and CMOs. The company’s unique blend of investment expertise and cutting-edge quantitative methods allows it to combine decades of Wall Street experience with the most advanced modeling techniques.