The document discusses a model for interpreting tradable implications and qualifications in the US fixed income market, focusing on high-LTV and loan balance pay-ups. It explains the variables used in the model, such as refinance incentive, cumulative refinance incentive, and month-over-month change in primary rate. The document also highlights the role of national home price appreciation in explaining changes in certain pools. The model shows that loan balance 4.5% securities are undervalued, while CR pools are overvalued. The relationship between refinance incentive and pay-up is noted to be non-linear in high-LTV pools.
doj/DataSet10/EFTA01385951.pdf
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