Ranking in priority only behind the duration and curve shape decisions, volatility analysis is critical in evaluating securities with embedded options (e.g., callable agency bonds and mortgage-backed securities). The focus of this research is to identify those times when volatility is trending or when it is at/near long-term range extremes and, thus, whether it is appropriate to be long or short volatility. The following reports are intended to assist the investor in making such determinations.

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