EFTA Document EFTA01385950

27 March 2015 US Fixed Income Weekly A final caveat One aspect that this framework does not control for (which may impact valuation slightly) is differences in the TBA collateral characteristics between Ginnie Mae II and Fannie Mae, such as WAC, WALA and geographic concentration. For example, the model loads FNCL 4.5%s at 4.85 GWAC, and G2SF 4.5%s at 4.96 GWAC. Fair value in spec: pools In specified pools, a careful statistical analysis suggests that 4.5% coupons may be undervalued acr