Andrew Davidson & Co., Inc. RMBS Credit Analysis service to assist Insurance Companies in the Assessment of Risk Based Capital.

NEW YORK, December 1, 2009 — Andrew Davidson & Co., Inc. (AD&Co) today announces the availability of an analytical approach, the RBC Monitor, that can be used to guide insurance companies in the assessment of the risk based capital required to be held against credit sensitive residential mortgage-backed securities (RMBS). This approach will estimate the expected loss of an RMBS using our Loan- Dynamics™ model, loan level mortgage data and public National Association of Insurance Commissioners (NAIC) inputs for home prices and other assumptions. The expected loss for each RMBS, adjusted for carrying value will then be mapped to the risk categories that mirror the NAIC categories.

AD&Co applauds the NAIC for its adoption of an analytical approach, versus a ratings approach, to determine the amount of risk based capital insurance companies need to hold against RMBS holdings. The Risk Based Capital Monitor, a CUSIP based service, will enable insurance companies to track an estimate of required capital on a monthly or quarterly basis consistent with the approach utilized by the NAIC for year-end 2009. The NAIC has not yet adopted a methodology for 2010 and our results cannot be used in place of the official NAIC categorizations.

AD&Co’s RBC Monitor provides a cost-effective and concise solution to insurance companies that need to better understand the credit profile of their RMBS holdings and its impact on regulatory capital. The RBC Monitor harnesses the power of the LoanDynamics™ Model, AD&Co’s market leading credit model, to forecast losses across a grid of sixteen scenarios. These scenarios are then probably weighted using the Vasicek distribution to derive the expected loss for the bond. We can also replicate the NAIC approach which only uses five scenarios and does not fully differentiate bonds with low probability of loss. Andrew Davidson, President of ADCo comments; “Analytical measures of credit risk are more timely than ratings and can be used to focus on specific aspects of risk. We seek to provide our clients with independent objective measures of risk and value.”

In October 2008, AD&Co launched its Breakpoint ratio service which provides a measure of the probability of loss and reflects the rating agency approach to risk measurement and other than temporary impairment (OTTI) reporting requirements. In July 2009, AD&Co announced its Credit Loss snapshot which provided our clients with an estimate of the present value of expected cash flows and credit losses on MBS Holdings reflecting changes in FASB guidance. The RBC Monitor extends these services to reflect the current NAIC approach to Risk Based Capital.

AD&Co is a leading provider of independent risk assessment and valuations of credit sensitive RMBS to the financial community. With over 4000 different CUSIPs with a principal balance over $75 billion analyzed, AD&Co has the experience, reputation and technical expertise to help investors meet a variety of economic, accounting and regulatory requirements.

For a more detailed description of the RBC Monitor including a more detailed description of the approach employed, terms and fees, please contact Rob Landauer at rob@ad-co.com or 212-274-9075.

About Andrew Davidson & Co., Inc.

Andrew Davidson & Co., Inc. turns mortgage data into investment insight. The firm is a leading provider of models of borrower behavior and risk analytics for fixed income investors of mortgage (MBS) and asset-backed securities (ABS) and an expert advisor in the areas of risk management, and the valuation of complex MBS and mortgage derivatives. Andrew Davidson & Co., Inc. offers prepayment models for MBS and ABS, a LoanDynamics™ Model for credit sensitive mortgage securities, and option-adjusted valuation and risk management tools for MBS, ABS, and CMOs. With a unique blend of investment expertise and cutting-edge quantitative methods, the company produces highly advanced models and the most innovative solutions to mortgage investment challenges.