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“Oh, never mind!”

April 15, 2002
Mark P. Bodett

Last Friday, April 12th, Fannie Mae took a page from Rosanne Rosanna Danna of Saturday Night Live fame. After hearing from the investment community, and maybe others, such as lawmakers, Fannie said “never mind” to their call of premium pools. This includes the pools that were called the previous Friday. Further, Fannie Mae pledged not to call their mortgage pools in the future. New factors for pools and CMOs will be available on April 17th.

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Fannie Mae Seasoned Pool Prepay Event

April 9, 2002
Mark P. Bodett

Last Friday there was a surprise in the April prepayment speeds for certain segments of Fannie Mae collateral. Prepayments for seasoned 8.5% collateral and above were much higher than expected, in some cases shockingly higher. On the following page is the Fannie prepayment breakdown for April and March.

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We Can Never Take the Bond Math on Faith

April 3, 2002
Girish M. Patel

What I am about to tell you is a success story. For the last year and a half, we have been creating internal analytical models to duplicate third party sources so that we can automate the bond math process. We no longer will have to go through the tedious and repetitive steps in Bloomberg to arrive at total return numbers. The automation of this process will allow us to have more time, among other things, to keep a lookout for better risk/reward opportunities.

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