AD&Co • Quantitative Perspectives

Quantitative Perspectives (QP) is an independent commentary in which Andrew Davidson & Co., Inc. examines topical issues related to the mortgage and derivatives markets. These publication provide an in-depth look into our models.

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Date	Category	Author	Title
12/01/2009	Credit	Sanjeeban Chatterjee	Current-to-Delinquent Model for LoanDynamics
10/21/2009	HPI Modeling	Alex Levin	Home Price Derivatives and Modeling
10/01/2008	Credit	Anne Ching	LoanDynamics™: AD&Co’s Approach to Modeling Credit Risk
05/01/2006	Prepayment Models	Dan Szakallas	Fixed-Rate Agency MBS Prepayments & Model Enhancements
09/01/2005	Prepayment Models	Sanjeeban Chatterjee	Fixed-Rate Home Equity Loan Prepayment Model
06/17/2004	Valuation	Alex Levin	Divide & Conquer: Exploring New OAS Horizons, Part III: A prOAS Valuation model with Refinancing & Turnover Risk
03/15/2004	Valuation	Alex Levin	Divide & Conquer: Exploring New OAS Horizons, Part II A Prepay Risk-and-Option-Adjusted Valuation Concept
10/22/2003	Valuation	Alex Levin	Divide & Conquer: Exploring New OAS Horizons, Part I Active-Passive Decomposition
09/26/2002	Valuation	Alex Levin	Interest Rate Modeling: A Conscientious Choice
06/27/2002	Prepayment Models	Howard Stern	Residential Jumbo Loan Level Prepayment Model
03/27/2002	Prepayment Models	Eknath Belbase & Dan Szakallas	Hybrid ARM Prepayment Model
07/31/2001	Prepayment Models	Eknath Belbase	Home Price & Prepayments: The New Andrew Davidson & Co., Inc. Prepayment Model
04/17/2001	Prepayment Models	Eknath Belbase & Dan Szakallas	The Relationship between the Yield Curve & Mortgage Current Coupon
01/24/2001	Prepayment Models	Eknath Belbase	An Implied Prepayment Model for MBS
07/25/2000	Adjustable-Rate Mortgages	Howard Stern	ARM Home Equity Loan Prepayment Model
06/15/2000	Valuation	Eknath Belbase	A Lattice Implemetation of the Black-Karasinski Rate Process
05/01/1999	Prepayment Models	Howard Stern	Home Equity Loan Prepayment Model
03/01/1999	Prepayment Models	Eknath Belbase	Fixed Rate Mortgage Prepayment Model
02/01/1999	Prepayment Models	Sanjeeban Chatterjee	The ARM Prepayment Model
02/01/1999	Adjustable-Rate Mortgages	Sanjeeban Chatterjee	The ARM Prepayment Model
01/01/1999	General Commentary	Andrew Davidson	Markets Aren't Perfect, Either
07/29/1998	Option-Adjusted Spread	Various AD&Co Staff	Value and Risk Metrics in Quantitative Analysis
07/29/1998	Valuation	Various AD&Co Staff	Value and Risk Metrics in Quantitative Analysis
07/22/1998	Real Estate Investment Trust	Various AD&Co Staff	Returns on Mutual Funds, Mortgage REITs
07/15/1998	Option-Adjusted Spread	Various AD&Co Staff	Creating the Full Yield Curve
07/15/1998	Valuation	Various AD&Co Staff	Creating the Full Yield Curve
06/30/1998	General Commentary	Various AD&Co Staff	Fear and Loathing in the MBS Market
06/23/1998	General Commentary	Various AD&Co Staff	The GSE's: The Privatization Issue Redux
06/16/1998	Prepayment Models	Various AD&Co Staff	Evaluating the Refi Boom
06/16/1998	General Commentary	Various AD&Co Staff	Evaluating the Refi Boom
06/09/1998	Prepayment Models	Various AD&Co Staff	New Prepayment Model: Auto Loans
06/02/1998	General Commentary	Various AD&Co Staff	How You Slice It Matters
05/26/1998	Adjustable-Rate Mortgages	Various AD&Co Staff	"Not Yet Louis" The Risk/Return of Premium Libor ARMs
05/18/1998	Real Estate Investment Trust	Various AD&Co Staff	More On Commercial Mortgage REITs
05/05/1998	Prepayment Models	Various AD&Co Staff	Prepayment Model Performance Report
04/28/1998	General Commentary	Various AD&Co Staff	Gorillas in the Mix, Mega Banks & the Mortgage Market
04/21/1998	Adjustable-Rate Mortgages	Various AD&Co Staff	Modelling ARM Cash Flows
04/14/1998	Real Estate Investment Trust	Various AD&Co Staff	The Commercial Mortgage Market Rediscovers REITS
04/07/1998	Prepayment Models	Various AD&Co Staff	The Potential for Refinance Activity Revisited
04/07/1998	General Commentary	Various AD&Co Staff	The Potential for Refinance Activity Revisited
03/31/1998	Prepayment Models	Various AD&Co Staff	A Study of COFI ARM Prepayments
03/31/1998	Cost of Funds	Various AD&Co Staff	A Study of COFI ARM Prepayments
03/24/1998	Prepayment Models	Various AD&Co Staff	New Prepayment Model - Mobile Homes
03/17/1998	Adjustable-Rate Mortgages	Various AD&Co Staff	Modeling ARM Cash Flows
03/17/1998	Valuation	Various AD&Co Staff	Modeling ARM Cash Flows
03/10/1998	General Commentary	Various AD&Co Staff	New Questions for the Subprime Market
03/03/1998	General Commentary	Various AD&Co Staff	Describing Brady Bonds With Mixture Distributions
02/24/1998	Prepayment Models	Various AD&Co Staff	A Study of GNMA ARM Prepayments
02/24/1998	Adjustable-Rate Mortgages	Various AD&Co Staff	A Study of GNMA ARM Prepayments
02/17/1998	Real Estate Investment Trust	Various AD&Co Staff	Market to Book for REIT Stocks
02/10/1998	Real Estate Investment Trust	Various AD&Co Staff	The Theoretical Price Profile of ARM REIT Equity
02/09/1998	Adjustable-Rate Mortgages	Various AD&Co Staff	The Theoretical Price Profile of ARM REIT Equity
02/04/1998	General Commentary	Various AD&Co Staff	Risk Based Pricing
01/27/1998	Value-at-Risk	Various AD&Co Staff	Value at Risk and Mixture Distributions
01/20/1998	Prepayment Models	Various AD&Co Staff	High WAC Loans and Prepayment Behavior
01/20/1998	General Commentary	Various AD&Co Staff	High WAC Loans and Prepayment Behavior
01/13/1998	Servicing	Various AD&Co Staff	Decomposing the Value of Servicing Rights
01/06/1998	General Commentary	Various AD&Co Staff	Risk and Return in 1998
12/23/1997	Adjustable-Rate Mortgages	Various AD&Co Staff	The Earnings Profile of ARM REITs
12/23/1997	Real Estate Investment Trust	Various AD&Co Staff	The Earnings Profile of ARM REITs
12/16/1997	General Commentary	Various AD&Co Staff	Turbulence in the Subprime Market
12/09/1997	Value-at-Risk	Various AD&Co Staff	Hedging with VAR
12/02/1997	Prepayment Models	Various AD&Co Staff	Prepayment Model Performance Report
11/25/1997	Value-at-Risk	Various AD&Co Staff	Calculating VAR for Brady Bonds
11/18/1997	Adjustable-Rate Mortgages	Various AD&Co Staff	Analysis of CMT Indexed ARMs with Libor Funding
11/18/1997	Valuation	Various AD&Co Staff	Analysis of CMT Indexed ARMs with Libor Funding
11/11/1997	Value-at-Risk	Various AD&Co Staff	Evaluating Mortgages With a VAR Framework
11/04/1997	General Commentary	Various AD&Co Staff	The Risk of Brady Bonds
10/28/1997	Real Estate Investment Trust	Various AD&Co Staff	Mortgage Debt REITSA
10/21/1997	General Commentary	Various AD&Co Staff	Goodbye to the FFIEC Tests for Mortgage Derivatives?
10/14/1997	General Commentary	Various AD&Co Staff	Forecasting and Statistical Error
10/07/1997	Option-Adjusted Spread	Various AD&Co Staff	Convexity in OAS-Based Pricing
10/07/1997	Valuation	Various AD&Co Staff	Convexity in OAS-Based Pricing
09/30/1997	Prepayment Models	Various AD&Co Staff	The Potential for Refinance Activity
09/30/1997	General Commentary	Various AD&Co Staff	The Potential for Refinance Activity
09/23/1997	Prepayment Models	Various AD&Co Staff	Prepayment Rates and the Bloomberg Median
09/16/1997	General Commentary	Various AD&Co Staff	FASB's Proposed Accounting for Derivatives and Hedging
09/09/1997	General Commentary	Various AD&Co Staff	The Changing Dynamics of Mortgage Lending
08/26/1997	Option-Adjusted Spread	Various AD&Co Staff	How P/E Multiples Drive Option-Adjusted Spreads
08/19/1997	Option-Adjusted Spread	Various AD&Co Staff	Value and Risk Metrics in Quantitative Analysis
08/19/1997	Valuation	Various AD&Co Staff	Value and Risk Metrics in Quantitative Analysis
08/12/1997	Value-at-Risk	Various AD&Co Staff	Value-At-Risk for the Mortgage Pipeline
08/05/1997	Adjustable-Rate Mortgages	Various AD&Co Staff	Looking Back: Interest Rate Changes
08/05/1997	General Commentary	Various AD&Co Staff	Looking Back: Interest Rate Changes
07/22/1997	General Commentary	Various AD&Co Staff	What is a FASIT?
07/15/1997	Option-Adjusted Spread	Various AD&Co Staff	Effect of Prepayment Model Changes on OAS
07/08/1997	Servicing	Various AD&Co Staff	The Cost of Not Replacing Servicing
07/01/1997	Option-Adjusted Spread	Various AD&Co Staff	COFI Talk! - OAS for COFI ARMS
07/01/1997	Adjustable-Rate Mortgages	Various AD&Co Staff	COFI Talk! - OAS for COFI ARMS
06/24/1997	General Commentary	Various AD&Co Staff	Rising Delinquencies in Subprime Market
06/17/1997	Prepayment Models	Various AD&Co Staff	The New Fixed-Rate Mortgage Prepayment Model
06/10/1997	Prepayment Models	Various AD&Co Staff	The Effect of Points on Mortgage Prepayments
06/03/1997	Option-Adjusted Spread	Various AD&Co Staff	Duration Drift
05/27/1997	Option-Adjusted Spread	Various AD&Co Staff	Partial and Prepayment Duration Hedging
05/20/1997	Prepayment Models	Various AD&Co Staff	Issues in Prepayment Modeling of B/C Mortgages
05/13/1997	Value-at-Risk	Various AD&Co Staff	Tracking Error and Value at Risk
05/06/1997	General Commentary	Various AD&Co Staff	Risk Management Systems for Money Managers
04/29/1997	Cost of Funds	Various AD&Co Staff	The 11th District Cost of Funds Model
04/22/1997	General Commentary	Various AD&Co Staff	Benefits of Mortgage Scoring
04/15/1997	Adjustable-Rate Mortgages	Various AD&Co Staff	Volatility and Cap Values for ARMs
04/08/1997	General Commentary	Various AD&Co Staff	Calibrating Risk Management Systems
04/01/1997	Option-Adjusted Spread	Various AD&Co Staff	OAS Based Pricing of Inverse Floaters
03/25/1997	Prepayment Models	Various AD&Co Staff	Prepayment Model Performance Report
03/18/1997	Option-Adjusted Spread	Various AD&Co Staff	OAS All Day, Every Day
03/11/1997	General Commentary	Various AD&Co Staff	New Developments in the Sub-Prime Market
03/04/1997	Adjustable-Rate Mortgages	Various AD&Co Staff	Impact of Prepayments on ARM Collars
02/25/1997	Prepayment Models	Various AD&Co Staff	Revised Prepayment Model Parameters
02/18/1997	General Commentary	Various AD&Co Staff	Labor vs. Capital and Now Talent
02/11/1997	General Commentary	Various AD&Co Staff	Fair Value of Low Balance Loans
02/04/1997	Prepayment Models	Various AD&Co Staff	Prepayment Model for Adjustable Rate Mortgages
02/04/1997	Adjustable-Rate Mortgages	Various AD&Co Staff	Prepayment Model for Adjustable Rate Mortgages
01/28/1997	Real Estate Investment Trust	Various AD&Co Staff	Economics of Mortgage REITS
01/21/1997	Option-Adjusted Spread	Various AD&Co Staff	Prepayment Duration: A Refined Approach
01/14/1997	Adjustable-Rate Mortgages	Various AD&Co Staff	Hedging ARMS with Yield Curve Futures
01/07/1997	General Commentary	Various AD&Co Staff	Outlook 1997: From TRR to ROE
12/24/1996	Adjustable-Rate Mortgages	Various AD&Co Staff	Rate Scenarios Used To Evaluate Arms
12/17/1996	Adjustable-Rate Mortgages	Various AD&Co Staff	Update of the ARM Market
12/10/1996	Prepayment Models	Various AD&Co Staff	Prepayment Model for Relocation Loans
12/03/1996	General Commentary	Various AD&Co Staff	Debating the Size of the B/C Market
11/26/1996	Option-Adjusted Spread	Various AD&Co Staff	A Comparative Look at Mean Reversion in Term Structure Models
11/26/1996	Valuation	Various AD&Co Staff	A Comparative Look at Mean Reversion in Term Structure Models
11/19/1996	Option-Adjusted Spread	Various AD&Co Staff	Partial Duration Analysis of Mortgage Servicing
11/19/1996	Servicing	Various AD&Co Staff	Partial Duration Analysis of Mortgage Servicing
11/12/1996	General Commentary	Various AD&Co Staff	A look at S&P New Credit Risk Analysis System
11/05/1996	General Commentary	Various AD&Co Staff	Changing Risk Profiles Under Falling Rates
10/29/1996	Option-Adjusted Spread	Various AD&Co Staff	Partial Durations: Forward or Spot
10/22/1996	Prepayment Models	Various AD&Co Staff	Modeling Prepayments Using Hazard Functions: A Discussion
10/15/1996	Option-Adjusted Spread	Various AD&Co Staff	Adding Convexity: Writing MBS calls and Selling Treasury Calls
10/15/1996	Valuation	Various AD&Co Staff	Adding Convexity: Writing MBS calls and Selling Treasury Calls
10/01/1996	General Commentary	Various AD&Co Staff	Current Environment for Mortgages in Perspective
09/24/1996	Option-Adjusted Spread	Various AD&Co Staff	Carry vs Convexity: Framework for Relative Value of MBS
09/24/1996	Valuation	Various AD&Co Staff	Carry vs Convexity: Framework for Relative Value of MBS
09/17/1996	Option-Adjusted Spread	Various AD&Co Staff	Constant OAS and Modeling Error
09/10/1996	Option-Adjusted Spread	Various AD&Co Staff	Value and Risk Measures Revisited
08/27/1996	General Commentary	Various AD&Co Staff	Hedging Jumbo Whole Loans with Agency Securities
08/20/1996	General Commentary	Various AD&Co Staff	Risk Comparison: Whole Loans vs. Agencies
08/13/1996	Adjustable-Rate Mortgages	Various AD&Co Staff	Current Value in COF-Indexed ARMS
08/13/1996	Cost of Funds	Various AD&Co Staff	Current Value in COF-Indexed ARMS
08/06/1996	General Commentary	Various AD&Co Staff	The Changing Face of the B/C Market
07/30/1996	General Commentary	Various AD&Co Staff	Stocks and Bonds
07/23/1996	Adjustable-Rate Mortgages	Various AD&Co Staff	Value Comparison of 3/1 and 1/1 ARMS
07/23/1996	Valuation	Various AD&Co Staff	Value Comparison of 3/1 and 1/1 ARMS
07/09/1996	Option-Adjusted Spread	Various AD&Co Staff	Analysis of Black-Derman-Toy (BDT) Model in OAS Models
07/02/1996	General Commentary	Various AD&Co Staff	Option Hedging Strategy: Rolling Expiration Dates
06/25/1996	Option-Adjusted Spread	Various AD&Co Staff	OAS Trends for Pass-Throughs
06/18/1996	Value-at-Risk	Various AD&Co Staff	Value at Risk for Investment Portfolios
06/11/1996	Prepayment Models	Various AD&Co Staff	Evaluating Prepayments on Whole Loans vs. Agencies
06/04/1996	Servicing	Various AD&Co Staff	Reduced Servicing Fee Impact on the Value of Pass-throughs
05/28/1996	General Commentary	Various AD&Co Staff	Option Hedging Strategy: Rolling Strikes on Options
05/21/1996	Option-Adjusted Spread	Various AD&Co Staff	Sensitivity of Mortgages to Volatility Levels
05/14/1996	Option-Adjusted Spread	Various AD&Co Staff	Comparison of Short Duration Alternatives
05/07/1996	Prepayment Models	Various AD&Co Staff	Sensitivity to Tuning of Prepayment Model
05/07/1996	Option-Adjusted Spread	Various AD&Co Staff	Sensitivity to Tuning of Prepayment Model
04/30/1996	Option-Adjusted Spread	Various AD&Co Staff	Key Rate Duration to Measure Curve Risk of ARMs
04/30/1996	Adjustable-Rate Mortgages	Various AD&Co Staff	Key Rate Duration to Measure Curve Risk of ARMs
04/23/1996	Servicing	Various AD&Co Staff	Servicing Securitization: An Experimental Program
04/16/1996	Adjustable-Rate Mortgages	Various AD&Co Staff	Life Caps Exacerbate ARM Price Declines
04/09/1996	Prepayment Models	Various AD&Co Staff	Choosing Prepayment Assumptions As Rates Change
04/02/1996	General Commentary	Various AD&Co Staff	Recent Changes in Mortgage Index Characteristics
03/26/1996	Option-Adjusted Spread	Various AD&Co Staff	Current Value of IO Strips
03/26/1996	Valuation	Various AD&Co Staff	Current Value of IO Strips
03/19/1996	Prepayment Models	Various AD&Co Staff	Potential Prepayment Whipsaw and Impact on CMOs
03/19/1996	Collateralized Mortgage Obligations	Various AD&Co Staff	Potential Prepayment Whipsaw and Impact on CMOs
03/12/1996	Valuation	Various AD&Co Staff	Total Return of Servicing
03/12/1996	Servicing	Various AD&Co Staff	Total Return of Servicing
03/05/1996	Collateralized Mortgage Obligations	Various AD&Co Staff	Risk/Return Alternatives in CMO Market
02/27/1996	Collateralized Mortgage Obligations	Various AD&Co Staff	Trends in New CMO Issues
02/20/1996	General Commentary	Various AD&Co Staff	Hedge Ratios for Fixed Rate Pass-Throughs
02/13/1996	Cost of Funds	Various AD&Co Staff	Cost of Funds Index in Transition
02/06/1996	Option-Adjusted Spread	Various AD&Co Staff	Relative Value in IO Market: GNMAs vs FNMAs
02/06/1996	Valuation	Various AD&Co Staff	Relative Value in IO Market: GNMAs vs FNMAs
01/30/1996	General Commentary	Various AD&Co Staff	Mortgage Pipeline Hedging Policy
01/23/1996	Servicing	Various AD&Co Staff	Hedging Alternatives for Servicing
01/16/1996	Prepayment Models	Various AD&Co Staff	Prepayment Modeling and Burnout
01/09/1996	Adjustable-Rate Mortgages	Various AD&Co Staff	Significance of Life Cap in ARMs
01/02/1996	General Commentary	Various AD&Co Staff	Outlook for 1996: Risk Management and the Balance of Power
12/19/1995	Prepayment Models	Various AD&Co Staff	The Well-Tempered Prepayment Model
12/12/1995	Valuation	Various AD&Co Staff	Partial Curve Inversion: Implications on Value and Strategy
12/05/1995	Servicing	Various AD&Co Staff	The Effect of Prepayment Float Income on Servicing Value
11/28/1995	Prepayment Models	Various AD&Co Staff	Potential Prepayment Surge: A Repeat of 1993?
11/21/1995	Option-Adjusted Spread	Various AD&Co Staff	OAS Analysis of Mortgage Servicing and IO Strips
11/21/1995	Servicing	Various AD&Co Staff	OAS Analysis of Mortgage Servicing and IO Strips
11/14/1995	Valuation	Various AD&Co Staff	Value of Strips and Curve Shape
11/07/1995	Adjustable-Rate Mortgages	Various AD&Co Staff	ARM Servicing Valuation
11/07/1995	Servicing	Various AD&Co Staff	ARM Servicing Valuation
10/31/1995	Option-Adjusted Spread	Various AD&Co Staff	Managing Mortgage Duration in Volatile Environments
10/24/1995	General Commentary	Various AD&Co Staff	Are Current Coupon Mortgages Cheap
10/19/1995	FLUX	Various AD&Co Staff	Special Edition : FLUX
10/17/1995	General Commentary	Various AD&Co Staff	Forecasting Current Coupon Mortgage Spreads
10/10/1995	Adjustable-Rate Mortgages	Various AD&Co Staff	Effect of Prepayment Volatility on ARM Value
10/10/1995	Valuation	Various AD&Co Staff	Effect of Prepayment Volatility on ARM Value
10/03/1995	Option-Adjusted Spread	Various AD&Co Staff	OAS Analysis
09/26/1995	General Commentary	Various AD&Co Staff	Leveraging and Hedging with Futures/Forward Markets
09/19/1995	Adjustable-Rate Mortgages	Various AD&Co Staff	ARM Analysis Using Recursive Modeling
09/12/1995	Valuation	Various AD&Co Staff	Scenario Analysis and Mortgage Servicing Valuation
08/29/1995	Valuation	Various AD&Co Staff	15-Year Pass-Throughs: Our Standard Value and Risk Measures
08/22/1995	Servicing	Various AD&Co Staff	Mortgage Servicing: The Decison to Retain or Sell
08/15/1995	Option-Adjusted Spread	Various AD&Co Staff	OAS Analysis of Balloons and Value Implications
08/08/1995	Valuation	Various AD&Co Staff	Impact of Recent Shift in Volatility on MBS Value
08/01/1995	Prepayment Models	Various AD&Co Staff	New Prepayment Model Parameters
07/25/1995	Prepayment Models	Various AD&Co Staff	mpact of Prepayment Responsiveness to Rate Changes
07/18/1995	Adjustable-Rate Mortgages	Various AD&Co Staff	Current Prepayment Risk of Premium ARMs
07/11/1995	General Commentary	Various AD&Co Staff	The Investment Management Technology Audit
06/27/1995	Option-Adjusted Spread	Various AD&Co Staff	Key Rate Duration Analysis of ARMs
06/27/1995	Adjustable-Rate Mortgages	Various AD&Co Staff	Key Rate Duration Analysis of ARMs
06/20/1995	General Commentary	Various AD&Co Staff	Current Opportunity: Hedge with Futures
06/13/1995	General Commentary	Various AD&Co Staff	Recent Performance of IOs
06/06/1995	General Commentary	Various AD&Co Staff	Managing Mortgages on Wall Street
05/30/1995	General Commentary	Various AD&Co Staff	Methods for Measuring Portfolio Risk
05/23/1995	Prepayment Models	Various AD&Co Staff	Our Prepayment Model Now on Bloomberg!
05/16/1995	General Commentary	Various AD&Co Staff	Mortgage Index: Leading Now But May Lag
05/09/1995	FLUX	Various AD&Co Staff	FLUX: A Sign of Difficulty
05/02/1995	Adjustable-Rate Mortgages	Various AD&Co Staff	The Impact of Yield Curve Steepening on ARM Pipeline Hedging
04/25/1995	General Commentary	Various AD&Co Staff	Benchmarking Funds and Risk Analysis
04/18/1995	Adjustable-Rate Mortgages	Various AD&Co Staff	Hedging ARMs in the Mortgage Pipeline
04/11/1995	Adjustable-Rate Mortgages	Various AD&Co Staff	Differentiating between Option and Non-option Costs in ARMs
04/04/1995	Prepayment Models	Various AD&Co Staff	Prepayments of Balloons: Analyzing the Data
03/28/1995	Servicing	Various AD&Co Staff	Servicing and Production: Quantifying the Natural Hedge
03/21/1995	Collateralized Mortgage Obligations	Various AD&Co Staff	Inverse IOs and the Effect of Embedded Floors
03/14/1995	Prepayment Models	Various AD&Co Staff	Effects of Burnout on Risk of Premium Collateral
03/07/1995	Adjustable-Rate Mortgages	Various AD&Co Staff	Hedging ARMs with Path Dependent Collars
02/28/1995	Prepayment Models	Various AD&Co Staff	Using Appropriate Prepayment Forecasts
02/21/1995	Valuation	Various AD&Co Staff	Revisiting Value in Discount FNMAs
02/14/1995	Adjustable-Rate Mortgages	Various AD&Co Staff	Evaluating ARMs in an Asset/Liability Framework
02/07/1995	Option-Adjusted Spread	Various AD&Co Staff	Positive Convexity in Deep Discount Mortgages
01/31/1995	General Commentary	Various AD&Co Staff	Interest Rate Risk of Deposits
01/24/1995	General Commentary	Various AD&Co Staff	TTIBs: Leveraged Price Volatility vs. Coupon Stability
01/17/1995	General Commentary	Various AD&Co Staff	Commercial MBS Defaults and Foreclosures
01/10/1995	General Commentary	Various AD&Co Staff	Sensitivity of IO/POs to Curve Twists
01/03/1995	General Commentary	Various AD&Co Staff	What's Around the Bend in 1995?
12/13/1994	General Commentary	Various AD&Co Staff	Impact of Flatter Curve on Yield Enhancing Strategies
12/06/1994	General Commentary	Various AD&Co Staff	Mortgage Pipeline Fallout Study Methodology
11/29/1994	General Commentary	Various AD&Co Staff	Wide Amortization Bands Hurt Less
11/22/1994	General Commentary	Various AD&Co Staff	What a Difference a Year Makes!
11/15/1994	Adjustable-Rate Mortgages	Various AD&Co Staff	Sensitivity of ARM CAPS to Changing Market Conditions
11/08/1994	General Commentary	Various AD&Co Staff	The Departure of GEMICO from the Pool Insurance Business
11/01/1994	General Commentary	Various AD&Co Staff	Valuing Secondary Market Execution Alternatives
10/25/1994	FLUX	Various AD&Co Staff	FLUX of Combinations May Understate Risk
10/18/1994	Option-Adjusted Spread	Various AD&Co Staff	Duration of COF-Indexed ARMs
10/11/1994	General Commentary	Various AD&Co Staff	Risks in Managing Portfolios to a Target Maturity
10/04/1994	Cost of Funds	Various AD&Co Staff	Trends in the Cost of Funds Index
09/27/1994	Valuation	Various AD&Co Staff	Value of Discount Pass-throughs
09/20/1994	General Commentary	Various AD&Co Staff	The Rating of Structured Transactions
09/13/1994	General Commentary	Various AD&Co Staff	Capital Budgeting for Financial Institutions
08/30/1994	General Commentary	Various AD&Co Staff	Strategies for Deleveraging Mortgage Portfolios
08/23/1994	General Commentary	Various AD&Co Staff	Risks of Mismatched Treasury Floaters
08/16/1994	FLUX	Various AD&Co Staff	FLUX for Floaters
08/09/1994	General Commentary	Various AD&Co Staff	Commercial MBS: An Introduction
08/02/1994	Adjustable-Rate Mortgages	Various AD&Co Staff	Managing ARMs: Income and Market Value Risk
07/26/1994	Prepayment Models	Various AD&Co Staff	Prepayment Modeling: Our Approach
07/19/1994	Collateralized Mortgage Obligations	Various AD&Co Staff	Leveraged CMOs: Price Volatility and Value
07/12/1994	General Commentary	Various AD&Co Staff	An Introduction to MBS Buyups and Buydowns
07/05/1994	Option-Adjusted Spread	Various AD&Co Staff	Value and Risk Measures Revisited
06/28/1994	General Commentary	Various AD&Co Staff	Index Risk of Floaters
06/21/1994	General Commentary	Various AD&Co Staff	Average-life of Kitchen Sink Bonds
06/14/1994	General Commentary	Various AD&Co Staff	Performance of Scheduled Bonds and PAC IIs
06/07/1994	Collateralized Mortgage Obligations	Various AD&Co Staff	Performance of Inverse Floaters: Yield Curve Risk
05/24/1994	General Commentary	Various AD&Co Staff	Multi-Level Risk in Re-REMICs
05/17/1994	General Commentary	Various AD&Co Staff	What is a Derivative?
05/10/1994	General Commentary	Various AD&Co Staff	Mortgage Returns Poised For Turnaround
05/03/1994	General Commentary	Various AD&Co Staff	Re-Adjusting to a Flatter Yield Curve
04/26/1994	General Commentary	Various AD&Co Staff	Managing IOs: Reinvestment Risk
04/19/1994	General Commentary	Various AD&Co Staff	IO Performance: Actual vs Theoretical
04/12/1994	Prepayment Models	Various AD&Co Staff	Model Parameters and MBS Value
04/05/1994	General Commentary	Various AD&Co Staff	Managing the Risk of Leveraged Mortgage Portfolios
03/29/1994	General Commentary	Various AD&Co Staff	Mortgage Analysis and The Environment
03/22/1994	Collateralized Mortgage Obligations	Various AD&Co Staff	Extension Risk of PACs After Recent Whipsaw
03/15/1994	Option-Adjusted Spread	Various AD&Co Staff	Duration Drift of Mortgages
03/08/1994	General Commentary	Various AD&Co Staff	MBS Risk: Actual vs. Theoretical
03/01/1994	Prepayment Models	Various AD&Co Staff	ARM Prepayments
03/01/1994	Adjustable-Rate Mortgages	Various AD&Co Staff	ARM Prepayments
02/15/1994	General Commentary	Various AD&Co Staff	Recent Changes in Value of Premium MBS
02/08/1994	Collateralized Mortgage Obligations	Various AD&Co Staff	PAC Windows and Yield Curve Shifts
02/02/1994	General Commentary	Various AD&Co Staff	MBS Spreads and Relative Value
02/02/1994	Valuation	Various AD&Co Staff	MBS Spreads and Relative Value
01/25/1994	General Commentary	Various AD&Co Staff	Hedge Comparison: Mortgage Options Vs Treasury Options
01/18/1994	Collateralized Mortgage Obligations	Various AD&Co Staff	Negative Duration Floaters
01/11/1994	Collateralized Mortgage Obligations	Various AD&Co Staff	Leveraging with Inverse IOs
01/04/1994	General Commentary	Various AD&Co Staff	Mortgage Market 1994 Outlook
12/21/1993	General Commentary	Various AD&Co Staff	S&P Risk Ratings for Bonds Funds
12/14/1993	Collateralized Mortgage Obligations	Various AD&Co Staff	Using CPR Vectors to Evaluate Intermediate PACs
12/07/1993	Collateralized Mortgage Obligations	Various AD&Co Staff	Short Premium PACs Vulnerable to Curve Flattening
11/30/1993	Collateralized Mortgage Obligations	Various AD&Co Staff	Pricing of CMOs for Forward Settlement
11/23/1993	General Commentary	Various AD&Co Staff	Controlling the Curve Risk of MBS
11/16/1993	General Commentary	Various AD&Co Staff	Low Rates Trigger Re-Examination of Valuation Tools
11/09/1993	General Commentary	Various AD&Co Staff	Shift Analysis Quantifies Curve Risk of Premium MBS
11/02/1993	Collateralized Mortgage Obligations	Various AD&Co Staff	CMO Floaters: Valuing the Components
10/19/1993	FLUX	Various AD&Co Staff	A Measure of CMO Cash Flow Volatility
10/12/1993	Collateralized Mortgage Obligations	Various AD&Co Staff	Value in Broken PACs Backed by Premiums
10/05/1993	General Commentary	Various AD&Co Staff	How To Use PSAs: Don't!
10/05/1993	Prepayment Models	Various AD&Co Staff	How To Use PSAs: Don't!
09/28/1993	Option-Adjusted Spread	Various AD&Co Staff	Prepayment Convexity
09/21/1993	General Commentary	Various AD&Co Staff	Hedge Value and Risk of Premiums
08/31/1993	Option-Adjusted Spread	Various AD&Co Staff	OAS for IOs: Tool or Trap
08/31/1993	Collateralized Mortgage Obligations	Various AD&Co Staff	OAS for IOs: Tool or Trap
08/24/1993	General Commentary	Various AD&Co Staff	Mortgage Index Under Performance Reexamined
08/17/1993	General Commentary	Various AD&Co Staff	Value and Risk Measures Used in Quant. Persp.
08/10/1993	General Commentary	Various AD&Co Staff	Analyzing MBS Prepayments: Coupon Difference Vs. Ratio