The document discusses the valuation of specified pools, particularly focusing on 4.5% coupons which may be undervalued across loan balance stories, while CR pools may be overvalued across 3.0% through 4.5% coupons. It includes a table (Figure 7) that models spec pay-ups, suggesting 4.5% coupons are undervalued and CR overvalued. The analysis is based on statistical models and includes hedge-adjusted carry over TBA.
documents/vol00010-efta01457202-pdf.pdf
{"title":"US Fixed Income Weekly","document_date":"2015-03-27","document_type":"tabular","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0116641","SDNY_GM_00262825","EFTA01457202"]}