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Valuation Results (Pricing Date May 27, 2005; FNMA 15 Current Coupon = 4.703)
New Model
Net Coupon |
OAS |
Price |
WAL |
Equivalent CPR |
Effective Duration |
Effective Convexity |
4 |
10 |
96.23 |
6.2 |
5.9 |
4.4 |
-0.7 |
4.5 |
10 |
98.31 |
4.9 |
11.2 |
3.8 |
-1.1 |
5 |
10 |
100.07 |
3.8 |
17.4 |
3.1 |
-1.5 |
5.5 |
10 |
101.34 |
3.0 |
24.5 |
2.0 |
-2.1 |
6 |
10 |
102.35 |
2.0 |
35.9 |
1.2 |
-1.9 |
6.5 |
10 |
103.05 |
1.7 |
43.4 |
0.8 |
-1.3 |
7 |
10 |
103.62 |
1.5 |
47.2 |
0.7 |
-0.8 |
7.5 |
10 |
104.25 |
1.5 |
47.4 |
0.7 |
-1.0 |
Old Model
Net Coupon |
OAS |
Price |
WAL |
Equivalent CPR |
Effective Duration |
Effective Convexity |
4 |
10 |
96.44 |
5.4 |
9.0 |
4.4 |
-0.7 |
4.5 |
10 |
98.51 |
4.5 |
13.1 |
3.6 |
-1.3 |
5 |
10 |
100.14 |
2.9 |
25.1 |
2.6 |
-1.9 |
5.5 |
10 |
101.22 |
2.2 |
33.4 |
1.7 |
-1.6 |
6 |
10 |
101.78 |
1.4 |
48.3 |
0.9 |
-0.9 |
6.5 |
10 |
102.07 |
1.1 |
59.5 |
0.7 |
-0.2 |
7 |
10 |
102.30 |
0.9 |
65.3 |
0.7 |
0.4 |
7.5 |
10 |
102.67 |
0.9 |
65.4 |
0.8 |
0.1 |
Conventional 15 Year Model
Net Coupon |
OAS |
Price |
WAL |
Equivalent CPR |
Effective Duration |
Effective Convexity |
4 |
10 |
96.55 |
5.9 |
6.9 |
4.4 |
-0.6 |
4.5 |
10 |
98.64 |
5.6 |
8.2 |
3.9 |
-1.1 |
5 |
10 |
100.45 |
5.1 |
10.7 |
3.1 |
-1.8 |
5.5 |
10 |
102.36 |
4.1 |
15.7 |
2.7 |
-1.3 |
6 |
10 |
104.84 |
4.1 |
16.1 |
3.2 |
-0.5 |
6.5 |
10 |
106.44 |
3.7 |
18.4 |
2.9 |
-0.4 |
7 |
10 |
107.93 |
3.5 |
20.2 |
2.7 |
-0.2 |
7.5 |
10 |
109.36 |
3.4 |
21.3 |
2.6 |
0.0 |
