The prepayment research team at Banc of America Securities received a potent shot in the arm last week with the hire of mortgage researcher and analyst Warren Xia, who left a three-year stint at Credit Suisse First Boston to become a principal in BofA's quantitative MBS research group.

Xia, who holds a Ph.D. in physics from Michigan State University, will be responsible for analyzing prepayments on the investment bank's agency, non-agency and subprime issuance.

An expert in the field of prepayment modeling and mortgage valuations, Xia was a vice president and manager at CSFB since 1996, and previously worked as a vice president in Prudential's mortgage research group from 1992 to 1996.

"I'm going to continue my work at Banc of America toward trying to demystify prepayments," Xia said. "I worked for three years as a prepayment modeler and analyst, and now, at Banc of America, I will be able to work on the origination side of prepayments."

Xia said that he wanted to work at Banc of America because the company is number one in mortgage servicing, origination and issuance.

"He is an extremely experienced analyst, and we are glad to have him," said Michael Youngblood, managing director of real estate research at Banc of America.

Although Xia said he will operate out of the company's New York office, he notes that he will be traveling back and forth frequently between New York and Charlotte, where Banc of America's main headquarters are located.

Xia's background seems particularly well-suited to help BofA realize goals of ramping up its prepayment efforts, especially in light of the new loan-level non-agency prepayment model created by Bear Stearns.

At Credit Suisse First Boston, Xia provided research support for MBS trading desks and salespeople on prepayment-related issues for assets ranging from agency and whole loan product to non-standard assets such as Vendee and SBA loans. He also designed and supervised the implementation of CSFB's new agency fixed-rate and ARM prepayment models, and developed the firm's new mortgage current coupon model.

An official with CSFB's MBS research team would not comment on Xia's departure.

During his time as a researcher at Prudential, Xia developed the company's Effective Cash Flow method for OAS calculation, as well as the historical OAS calculation software used to re-compute historical OAS time series. He also developed a new ARM prepayment model for Pru, and upgraded the interest rate term structure models.

Although non-agency models will certainly be on BofA's agenda going forward, Xia noted that the company's priority right now is building agency prepayment models.

"In terms of future projects, agency models are first on my agenda." - AT

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