ANDREW DAVIDSON & CO., INC. RELEASES DETAILS OF NEW HOME PRICE FACTOR IN THEIR PREPAYMENT MODEL

New York City, August 2, 2001—Andrew Davidson & Co., Inc. has released a new version of their MBS prepayment model, which includes a home price factor. The Andrew Davidson & Co., Inc. MBS prepayment model is the first commercially available prepayment model to allow users to assess the impact of changing home prices on prepayment rates.

Details of the development of the home price factor are available in Quantitative Perspectives, the company’s periodic research publication. The July 2001 issue entitled, Home Price and Prepayments: The New Andrew Davidson & Co., Inc. Prepayment Model, was written by Eknath Belbase, Phd, who, together with Andrew Davidson, performed extensive research into the effect of home price appreciation on prepayments.

According to Belbase, the introduction of the Home Price Effect in a pool-level generic model represents “a fundamental change in our thinking about the economic determinants of prepayments. While loan-level models have had home appreciation-related effects for some time, it was thought that the geographical heterogeneity of home-price appreciation meant that generic models would not gain from the inclusion of such an effect. We have, however, found clear evidence that national home price appreciation explains a considerable amount of prepayment variation over time, which would otherwise remain unexplained.” The research paper is featured on the company’s website at www.ad-co.com.

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 both fixed and adjustable rate mortgages, prepayment models for asset-backed securities, option-adjusted valuation and risk management tools for MBS, ABS, CMOs, and interest rate processes. The company’s unique blend of consulting experience and expertise with cutting-edge quantitative methods allows it to combine decades of Wall Street experience with the most advanced modeling techniques to produce informed, effective third-party software.