The document discusses the valuation of specified pools in the US fixed income market, highlighting that 4.5% coupons may be undervalued while CR pools may be overvalued across certain coupons. It includes a statistical analysis and a table (Figure 7) showing the modeling of spec pay-ups. The analysis suggests that loan balance and CQ 4.0% coupons are undervalued, and high-LTV pools show a new permutation of the model. The document is marked confidential and is sourced from Deutsche Bank YieldBook.
doj/DataSet10/EFTA01385950.pdf
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