, and being short is slight positive carry (<1/32 per month) Research Analyst Research Analyst [Figure 6.. Framework for evaluating fair value in Ginnie Mae II/Fannie Mae swaps Cpn FNCL Px OAS OAD Incremental value (discount) of Pay Delay Liquidity Credit Prepayment Total G2/FN Fll G2/FN Act Act- F1/

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.

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.