The document provides an analysis of the US fixed income market, focusing on mortgage credit and agency pass-throughs. It discusses existing and new home sales, the FHFA home price index, and evaluates the fair value in Ginnie Mae II/Fannie Mae swaps. The analysis includes a detailed framework for assessing fair value by separating and pricing component risks such as pay delay, liquidity, credit, and prepayment. The document highlights discrepancies in the 4.0% and 4.5% coupons where GN2 appears overvalued.
doj/DataSet10/EFTA01385949.pdf
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