Quantitative Perspectives

Quantitative Perspectives Library by Subjects

Prepayment Models	FLUX
Option-Adjusted	Collateralized Mortgage Obligations
Spread Adjustable-Rate Mortgages	Real Estate Investment Trust
Value-at-Risk	Cost of Funds
Servicing	General Commentary
Valuation

Prepayment Models	Issue Date
Fixed-Rate Agency MBS Prepayments & Model Enhancements	01-May-06
Fixed-Rate Home Equity Loan Prepayment Model	15-Sept-05
Divide & Conquer: Exploring New OAS Horizons, Part III: A prOAS Valuation model with Refinancing & Turnover Risk	17-June-04
Divide & Conquer: Exploring New OAS Horizons, Part II A Prepay Risk-and-Option-Adjusted Valuation Concept	15-Mar-04
Divide & Conquer: Exploring New OAS Horizons, Part I Active-Passive Decomposition	22-Oct-03
Interest Rate Modeling: A Conscientious Choice	26-Sept-02
Residential Jumbo Loan Level Prepayment Model	27-June-02
Hybrid ARM Prepayment Model	27-Mar-02
Home Price & Prepayments: The New Andrew Davidson & Co., Inc. Prepayment Model	31-July-01
An Implied Prepayment Model for MBS	24-Jan-01
A Lattice Implemetation of the Black-Karasinski Rate Process	15-June-00
Home Equity Loan Prepayment Model	01-May-99
Fixed Rate Mortgage Prepayment Model	01-Mar-99
The ARM Prepayment Model	01-Feb-99
Evaluating the Refi Boom	16-Jun-98
New Prepayment Model: Auto Loans	09-Jun-98
Prepayment Model Performance Report	05-May-98
The Potential for Refinance Activity Revisited	07-Apr-98
A Study of COFI ARM Prepayments	31-Mar-98
New Prepayment Model - Mobile Homes	24-Mar-98
A Study of GNMA ARM Prepayments	24-Feb-98
High WAC Loans and Prepayment Behavior	20-Jan-98
Prepayment Model Performance Report	02-Dec-97
The Potential for Refinance Activity	30-Sep-97
Prepayment Rates and the Bloomberg Median	23-Sep-97
The New Fixed-Rate Mortgage Prepayment Model	17-Jun-97
The Effect of Points on Mortgage Prepayments	10-Jun-97
Issues in Prepayment Modeling of B/C Mortgages	20-May-97
Prepayment Model Performance Report	25-Mar-97
Revised Prepayment Model Parameters	25-Feb-97
Prepayment Model for Adjustable Rate Mortgages	04-Feb-97
Prepayment Model for Relocation Loans	10-Dec-96
Modeling Prepayments Using Hazard Functions: A Discussion	22-Oct-96
Evaluating Prepayments on Whole Loans vs. Agencies	11-Jun-96
Sensitivity to Tuning of Prepayment Model	07-May-96
Choosing Prepayment Assumptions As Rates Change	09-Apr-96
Potential Prepayment Whipsaw and Impact on CMOs	19-Mar-96
Prepayment Modeling and Burnout	16-Jan-96
The Well-Tempered Prepayment Model	19-Dec-95
Potential Prepayment Surge: A Repeat of 1993?	28-Nov-95
New Prepayment Model Parameters	01-Aug-95
Impact of Prepayment Responsiveness to Rate Changes	25-Jul-95
Our Prepayment Model Now on Bloomberg!	23-May-95
Prepayments of Balloons: Analyzing the Data	04-Apr-95
Effects of Burnout on Risk of Premium Collateral	14-Mar-95
Using Appropriate Prepayment Forecasts	28-Feb-95
Prepayment Modeling: Our Approach	26-Jul-94
Model Parameters and MBS Value	12-Apr-94
ARM Prepayments	01-Mar-94
How To Use PSAs: Don't!	05-Oct-93

Option-Adjusted Spread	Issue Date
The Relationship between the Yield Curve & Mortgage Current Coupon	17-Apr-01
Value and Risk Metrics in Quantitative Analysis	29-Jul-98
Creating the Full Yield Curve	15-Jul-98
Convexity in OAS-Based Pricing	07-Oct-97
How P/E Multiples Drive Option-Adjusted Spreads	26-Aug-97
Value and Risk Metrics in Quantitative Analysis	19-Aug-97
Effect of Prepayment Model Changes on OAS	15-Jul-97
COFI Talk! - OAS for COFI ARMS	01-Jul-97
Duration Drift	03-Jun-97
Partial and Prepayment Duration Hedging	27-May-97
OAS Based Pricing of Inverse Floaters	01-Apr-97
OAS All Day, Every Day	18-Mar-97
Prepayment Duration: A Refined Approach	21-Jan-97
A Comparative Look at Mean Reversion in Term Structure Models	26-Nov-96
Partial Duration Analysis of Mortgage Servicing	19-Nov-96
Partial Durations: Forward or Spot	29-Oct-96
Adding Convexity: Writing MBS calls and Selling Treasury Calls	15-Oct-96
Carry vs Convexity: Framework for Relative Value of MBS	24-Sep-96
Constant OAS and Modeling Error	17-Sep-96
Value and Risk Measures Revisited	10-Sep-96
Analysis of Black-Derman-Toy (BDT) Model in OAS Models	09-Jul-96
OAS Trends for Pass-Throughs	25-Jun-96
Sensitivity of Mortgages to Volatility Levels	21-May-96
Comparison of Short Duration Alternatives	14-May-96
Sensitivity to Tuning of Prepayment Model	07-May-96
Key Rate Duration to Measure Curve Risk of ARMs	30-Apr-96
Current Value of IO Strips	26-Mar-96
Relative Value in IO Market: GNMAs vs FNMAs	06-Feb-96
OAS Analysis of Mortgage Servicing and IO Strips	21-Nov-95
Managing Mortgage Duration in Volatile Environments	31-Oct-95
OAS Analysis	03-Oct-95
OAS Analysis of Balloons and Value Implications	15-Aug-95
Key Rate Duration Analysis of ARMs	27-Jun-95
Positive Convexity in Deep Discount Mortgages	07-Feb-95
Duration of COF-Indexed ARMs	18-Oct-94
Value and Risk Measures Revisited	05-Jul-94
Duration Drift of Mortgages	15-Mar-94
Prepayment Convexity	28-Sep-93
OAS for IOs: Tool or Trap	31-Aug-93

Adjustable-Rate Mortgages	Issue Date
ARM Home Equity Loan Prepayment Model	25-July-00
The ARM Prepayment Model	01-Feb-99
"Not Yet Louis" The Risk/Return of Premium Libor ARMs	26-May-98
Modelling ARM Cash Flows	21-Apr-98
Modeling ARM Cash Flows	17-Mar-98
A Study of GNMA ARM Prepayments	24-Feb-98
The Theoretical Price Profile of ARM REIT Equity	09-Feb-98
The Earnings Profile of ARM REITs	23-Dec-97
Analysis of CMT Indexed ARMs with Libor Funding	18-Nov-97
Looking Back: Interest Rate Changes	05-Aug-97
COFI Talk! - OAS for COFI ARMS	01-Jul-97
Volatility and Cap Values for ARMs	15-Apr-97
Impact of Prepayments on ARM Collars	04-Mar-97
Prepayment Model for Adjustable Rate Mortgages	04-Feb-97
Hedging ARMS with Yield Curve Futures	14-Jan-97
Rate Scenarios Used To Evaluate Arms	24-Dec-96
Update of the ARM Market	17-Dec-96
Current Value in COF-Indexed ARMS	13-Aug-96
Value Comparison of 3/1 and 1/1 ARMS	23-Jul-96
Key Rate Duration to Measure Curve Risk of ARMs	30-Apr-96
Life Caps Exacerbate ARM Price Declines	16-Apr-96
Significance of Life Cap in ARMs	09-Jan-96
ARM Servicing Valuation	07-Nov-95
Effect of Prepayment Volatility on ARM Value	10-Oct-95
ARM Analysis Using Recursive Modeling	19-Sep-95
Current Prepayment Risk of Premium ARMs	18-Jul-95
Key Rate Duration Analysis of ARMs	27-Jun-95
The Impact of Yield Curve Steepening on ARM Pipeline Hedging	02-May-95
Hedging ARMs in the Mortgage Pipeline	18-Apr-95
Differentiating between Option and Non-option Costs in ARMs	11-Apr-95
Hedging ARMs with Path Dependent Collars	07-Mar-95
Evaluating ARMs in an Asset/Liability Framework	14-Feb-95
ARM Value and the Yield Curve	20-Dec-94
Sensitivity of ARM CAPS to Changing Market Conditions	15-Nov-94
Managing ARMs: Income and Market Value Risk	02-Aug-94
ARM Prepayments	01-Mar-94

Value-at-Risk	Issue Date
Value at Risk and Mixture Distributions	27-Jan-98
Hedging with VAR	09-Dec-97
Calculating VAR for Brady Bonds	25-Nov-97
Evaluating Mortgages With a VAR Framework	11-Nov-97
Value-At-Risk for the Mortgage Pipeline	12-Aug-97
Tracking Error and Value at Risk	13-May-97
Value at Risk for Investment Portfolios	18-Jun-96

FLUX	Issue Date
Special Edition : FLUX	19-Oct-95
FLUX: A Sign of Difficulty	09-May-95
FLUX of Combinations May Understate Risk	25-Oct-94
FLUX for Floaters	16-Aug-94
A Measure of CMO Cash Flow Volatility	19-Oct-93

Valuation	Issue Date
Value and Risk Metrics in Quantitative Analysis	29-Jul-98
Creating the Full Yield Curve	15-Jul-98
Modeling ARM Cash Flows	17-Mar-98
Analysis of CMT Indexed ARMs with Libor Funding	18-Nov-97
Convexity in OAS-Based Pricing	07-Oct-97
Value and Risk Metrics in Quantitative Analysis	19-Aug-97
A Comparative Look at Mean Reversion in Term Structure Models	26-Nov-96
Adding Convexity: Writing MBS calls and Selling Treasury Calls	15-Oct-96
Carry vs Convexity: Framework for Relative Value of MBS	24-Sep-96
Value Comparison of 3/1 and 1/1 ARMS	23-Jul-96
Current Value of IO Strips	26-Mar-96
Total Return of Servicing	12-Mar-96
Relative Value in IO Market: GNMAs vs FNMAs	06-Feb-96
Partial Curve Inversion: Implications on Value and Strategy	12-Dec-95
Value of Strips and Curve Shape	14-Nov-95
Effect of Prepayment Volatility on ARM Value	10-Oct-95
Scenario Analysis and Mortgage Servicing Valuation	12-Sep-95
15-Year Pass-Throughs: Our Standard Value and Risk Measures	29-Aug-95
Impact of Recent Shift in Volatility on MBS Value	08-Aug-95
Revisiting Value in Discount FNMAs	21-Feb-95
Value of Discount Pass-throughs	27-Sep-94
MBS Spreads and Relative Value	02-Feb-94

Servicing	Issue Date
Decomposing the Value of Servicing Rights	13-Jan-98
The Cost of Not Replacing Servicing	08-Jul-97
Partial Duration Analysis of Mortgage Servicing	19-Nov-96
Reduced Servicing Fee Impact on the Value of Pass-throughs	04-Jun-96
Servicing Securitization: An Experimental Program	23-Apr-96
Total Return of Servicing	12-Mar-96
Hedging Alternatives for Servicing	23-Jan-96
The Effect of Prepayment Float Income on Servicing Value	05-Dec-95
OAS Analysis of Mortgage Servicing and IO Strips	21-Nov-95
ARM Servicing Valuation	07-Nov-95
Mortgage Servicing: The Decison to Retain or Sell	22-Aug-95
Servicing and Production: Quantifying the Natural Hedge	28-Mar-95

Collateralized Mortgage Obligations	Issue Date
Potential Prepayment Whipsaw and Impact on CMOs	19-Mar-96
Risk/Return Alternatives in CMO Market	05-Mar-96
Trends in New CMO Issues	27-Feb-96
Inverse IOs and the Effect of Embedded Floors	21-Mar-95
Leveraged CMOs: Price Volatility and Value	19-Jul-94
Performance of Inverse Floaters: Yield Curve Risk	07-Jun-94
Extension Risk of PACs After Recent Whipsaw	22-Mar-94
PAC Windows and Yield Curve Shifts	08-Feb-94
Negative Duration Floaters	18-Jan-94
Leveraging with Inverse IOs	11-Jan-94
Using CPR Vectors to Evaluate Intermediate PACs	14-Dec-93
Short Premium PACs Vulnerable to Curve Flattening	07-Dec-93
Pricing of CMOs for Forward Settlement	30-Nov-93
CMO Floaters: Valuing the Components	02-Nov-93
Value in Broken PACs Backed by Premiums	12-Oct-93
OAS for IOs: Tool or Trap	31-Aug-93

Real Estate Investment Trust	Issue Date
Returns on Mutual Funds, Mortgage REITs	22-Jul-98
More On Commercial Mortgage REITs	18-May-98
The Commercial Mortgage Market Rediscovers REITS	14-Apr-98
Market to Book for REIT Stocks	17-Feb-98
The Theoretical Price Profile of ARM REIT Equity	10-Feb-98
The Earnings Profile of ARM REITs	23-Dec-97
Mortgage Debt REITSA	28-Oct-97
Economics of Mortgage REITS	28-Jan-97

Cost of Funds	Issue Date
A Study of COFI ARM Prepayments	31-Mar-98
The 11th District Cost of Funds Model	29-Apr-97
Current Value in COF-Indexed ARMS	13-Aug-96
Cost of Funds Index in Transition	13-Feb-96
Trends in the Cost of Funds Index	04-Oct-94

General Commentary	Issue Date
Markets Aren't Perfect, Either	01-Jan-99
Fear and Loathing in the MBS Market	30-Jun-98
The GSE's: The Privatization Issue Redux	23-Jun-98
How You Slice It Matters	02-Jun-98
Evaluating the Refi Boom	16-Jun-98
Gorillas in the Mix, Mega Banks & the Mortgage Market	28-Apr-98
The Potential for Refinance Activity Revisited	07-Apr-98
New Questions for the Subprime Market	10-Mar-98
Describing Brady Bonds With Mixture Distributions	03-Mar-98
Risk Based Pricing	04-Feb-98
High WAC Loans and Prepayment Behavior	20-Jan-98
Risk and Return in 1998	06-Jan-98
Turbulence in the Subprime Market	16-Dec-97
The Risk of Brady Bonds	04-Nov-97
Goodbye to the FFIEC Tests for Mortgage Derivatives?	21-Oct-97
Forecasting and Statistical Error	14-Oct-97
The Potential for Refinance Activity	30-Sep-97
FASB's Proposed Accounting for Derivatives and Hedging	16-Sep-97
The Changing Dynamics of Mortgage Lending	09-Sep-97
Looking Back: Interest Rate Changes	05-Aug-97
What is a FASIT?	22-Jul-97
Rising Delinquencies in Subprime Market	24-Jun-97
Risk Management Systems for Money Managers	06-May-97
Benefits of Mortgage Scoring	22-Apr-97
Calibrating Risk Management Systems	08-Apr-97
New Developments in the Sub-Prime Market	11-Mar-97
Labor vs. Capital and Now Talent	18-Feb-97
Fair Value of Low Balance Loans	11-Feb-97
Outlook 1997: From TRR to ROE	07-Jan-97
Debating the Size of the B/C Market	03-Dec-96
A look at S&P New Credit Risk Analysis System	12-Nov-96
Changing Risk Profiles Under Falling Rates	05-Nov-96
Current Environment for Mortgages in Perspective	01-Oct-96
Hedging Jumbo Whole Loans with Agency Securities	27-Aug-96
Risk Comparison: Whole Loans vs. Agencies	20-Aug-96
The Changing Face of the B/C Market	06-Aug-96
Stocks and Bonds	30-Jul-96
Option Hedging Strategy: Rolling Expiration Dates	02-Jul-96
Option Hedging Strategy: Rolling Strikes on Options	28-May-96
Recent Changes in Mortgage Index Characteristics	02-Apr-96
Hedge Ratios for Fixed Rate Pass-Throughs	20-Feb-96
Mortgage Pipeline Hedging Policy	30-Jan-96
Outlook for 1996: Risk Management and the Balance of Power	02-Jan-96
Are Current Coupon Mortgages Cheap	24-Oct-95
Forecasting Current Coupon Mortgage Spreads	17-Oct-95
Leveraging and Hedging with Futures/Forward Markets	26-Sep-95
The Investment Management Technology Audit	11-Jul-95
Current Opportunity: Hedge with Futures	20-Jun-95
Recent Performance of IOs	13-Jun-95
Managing Mortgages on Wall Street	06-Jun-95
Methods for Measuring Portfolio Risk	30-May-95
Mortgage Index: Leading Now But May Lag	16-May-95
Benchmarking Funds and Risk Analysis	25-Apr-95
Interest Rate Risk of Deposits	31-Jan-95
TTIBs: Leveraged Price Volatility vs. Coupon Stability	24-Jan-95
Commercial MBS Defaults and Foreclosures	17-Jan-95
Sensitivity of IO/POs to Curve Twists	10-Jan-95
What's Around the Bend in 1995?	03-Jan-95
Impact of Flatter Curve on Yield Enhancing Strategies	13-Dec-94
Mortgage Pipeline Fallout Study Methodology	06-Dec-94
Wide Amortization Bands Hurt Less	29-Nov-94
What a Difference a Year Makes!	22-Nov-94
The Departure of GEMICO from the Pool Insurance Business	08-Nov-94
Valuing Secondary Market Execution Alternatives	01-Nov-94
Risks in Managing Portfolios to a Target Maturity	11-Oct-94
The Rating of Structured Transactions	20-Sep-94
Capital Budgeting for Financial Institutions	13-Sep-94
Strategies for Deleveraging Mortgage Portfolios	30-Aug-94
Risks of Mismatched Treasury Floaters	23-Aug-94
Commercial MBS: An Introduction	09-Aug-94
An Introduction to MBS Buyups and Buydowns	12-Jul-94
Index Risk of Floaters	28-Jun-94
Average-life of Kitchen Sink Bonds	21-Jun-94
Performance of Scheduled Bonds and PAC IIs	14-Jun-94
Multi-Level Risk in Re-REMICs	24-May-94
What is a Derivative?	17-May-94
Mortgage Returns Poised For Turnaround	10-May-94
Re-Adjusting to a Flatter Yield Curve	03-May-94
Managing IOs: Reinvestment Risk	26-Apr-94
IO Performance: Actual vs Theoretical	19-Apr-94
Managing the Risk of Leveraged Mortgage Portfolios	05-Apr-94
Mortgage Analysis and The Environment	29-Mar-94
MBS Risk: Actual vs. Theoretical	08-Mar-94
Recent Changes in Value of Premium MBS	15-Feb-94
MBS Spreads and Relative Value	02-Feb-94
Hedge Comparison: Mortgage Options Vs Treasury Options	25-Jan-94
Mortgage Market 1994 Outlook	04-Jan-94
S&P Risk Ratings for Bonds Funds	21-Dec-93
Controlling the Curve Risk of MBS	23-Nov-93
Low Rates Trigger Re-Examination of Valuation Tools	16-Nov-93
Shift Analysis Quantifies Curve Risk of Premium MBS	09-Nov-93
How To Use PSAs: Don't!	05-Oct-93
Hedge Value and Risk of Premiums	21-Sep-93
Mortgage Index Under Performance Reexamined	24-Aug-93
Value and Risk Measures Used in Quant. Persp.	17-Aug-93
Analyzing MBS Prepayments: Coupon Difference Vs. Ratio	10-Aug-93

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