Alpha Through Analysis ®

Please read the Disclaimer page linked above in it's entirety.  Summary: The information provided below is provided for informational purposes only. None of the commenatary or opinions referenced below are or should be  used or considered as an offer to sell, or a solicitation of any offer to buy interests in any securities or financial products or investment strategies, or should be relied upon to make investment decisions. The information contained below has not been audited and is based upon estimates and assumptions. Investors must make their own investment decisions based on their specific investment objectives and financial position. 

Most of the articles and commentaries here contain interesting concepts and discussion topics with long shelf lives. However, any recommendations made in any of them are unlikely to be useful or current, and should be not relied upon.
Recent Analysis

The recent documents are 'live' and I will edit and add to them based on comments and further analysis. Please check back to read the latest iterations. 

Modern Finance - Looking Forward or Looking Back? 7-27-2021

The MBS "Income Factor" - V3 10/25/2019
Macro Economics, Beta, and Market Overviews

T-Leaf Reading: Reading US Treasury Yields and Curves in the 21st century

T-Leaf Reading

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Swaps Revisited

09/20/2016 - Understanding Beta: Determinants of the US Stock Market


Download the Full Document V1.02

PDF Printout

* The Crisis Note commetaries were created when I was working as a saleman or sales-trader. They were written for the benefit of my investor clients, usually in the middle of the night, and most of them are the first and only drafts - timeliness was critical during the Crisis. There are likely to be errors in assumptions and data presented, and erroneous conclusions are possible, since nothing has been audited. They are sometimes not very polished or complete. They were usually delivered as a message or a link over Bloomberg.

The compliance and legal departments of my employers preferred that I disclaim and disallow my connection to them, as they often had economists and economics departments whose views contradicted mine. This is why the Crisis Notes were subsequently published in a personal blog, at

As a result, it must be made clear that the views expressed within the Crisis Notes, and in commentaries since, are purely mine, and are not and were not the opinions of any of my employers. 

The Disclaimer linked above also applies to all the Archived research and commentary on this page. Please do not make financial decisions based on any of these opinions without getting your own financial counsel.

Archives: 2007-2011

Samir Shah's Crisis Notes:
Understanding the Global Economics Crisis *

Archives: 1987 - 2000

MBS Research and Strategy

Most of Mr. Shah's prior Research and Strategy articles have been lost.  If more research is found, it will be posted here. 
LIBOR Related MBS Research and Strategy

Luckily, Mr. Shah did save some copies on a topic that continues to have relevance: LIBOR.


1988: The TED Spread. A section from 'An Analytical Guide to Interest Rate Futures Spreads: The NOB, MOB and TED'. This describes the forces that determine the TED Spread - ie. LIBOR - in the Futures market. Merrill Lynch.

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11/19/1990 - Hedging Costs Can Drive MBS Relative Value. This article describes and creates the concept of 'Hedged Spreads' - what is now known as LIBOR OAS. Morgan Stanley.

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11/14/1991 - Understanding the TED Spread - Implications for Floating Rate Assets. This article describes the RTC-related T-Bill issuance that led to the tightening of the TED (and LIBOR/Swap) spreads, and makes predictions about future LIBOR spreads based on T-Bill supply. Morgan Stanley.

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11/12/1997 - T-Bill Issuance and LIBOR, a message to clients. This follows up on the 1991 RTC/T-bill LIBOR article, describing the reduction in T-bill issuance that has caused the 1997 widening of LIBOR, and describes the implications for fixed rate and floating rate assets. Amherst Securities.

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Nomura Securities MBS Strategy


1994 - MBS Performance and Relative Value - Nomura MBS Strategies Group. This was our monthly report that we sent to clients, from when Mr. Shah was the Senior MBS Strategist for Nomura Securities. It incorporates one of the first uses of Breakeven spreads as a relative value measure.

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1994 - Nomura MBS Strategies Group publication list. Found hiding in an old resume from 1994, from when Mr. Shah was the Senior MBS Strategist for Nomura Securities. Unfortunately, no copies of most of the articles themselves can be found, although many of the analytical techniques and tools that Mr. Shah developed are still relevant, and can be recreated.

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6/1/93 - Nomura MBS Strategies article - Also found attached to an old resume - this strategy piece uses Agency (FNMA) financing costs to make recommendations about MBS passthroughs, extending the concept of identifying the marginal buyer (FNMA) and their hurdle rates to determine relative value.

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09/07/94 - Passthrough Analysis - Stat Arb in MBS!

This is a true Blast From the Past. We recently heard that a Hedge Fund derivatives trader was still using this analytical technique that I had devised in the early 1990s to identify trading opportunities in MBS Passthroughs. I had taught many clients how to do this analysis using Bloomberg's CIX function, and it is gratifying that it is still being used!

This article was never published - it was blocked from publication by the CMBS desk as it highlighted a large arbitrage in prevailng CMBS deal documents. The gagging of this article led to my giving up on MBS Research at large firms, and led to my joining smaller firms as an independent researcher/sales/trader in order to share my unbiased research and strategies direcly with my clients.

Subsequently, from 1997 to 2004, I identified, traded and coinvested in many CMBS and CMBS IOs with a handful my clients that I alerted to this Yield Maintenence arbitrage. The returns were stunning. This is probably the single largest MBS arbitrage that existed at that point in time, that most clients have never heard about.

This article reviews the performance of 2 examples of CMBS that were identified as Alpha generating as a result of the analysis performed in 1994 research article.

This highlights the importance of looking back further than your models might have analyzed to solve problems.

This was a presentation given to clients that highlights the problems with models. I attempted to create a "Market Implied model" in order to keep the OAS model results relevant and forward looking.

An MBS Strategies piec/on-call-protectione that was very well received and resulted in many conversations with clients. 

It was also unique in that all 3 of the authors are University of Chicago MBAs.

I wrote this business plan sometime in the 1995 to 1997 period for a money manager that I was trying to convince to set up a buy-side Strategies Group. 

Reading it today, I am amazed by how little things have changed in the MBS marketplace, and also how little my process to identify value has changed.