 |
 |
Table 1
|
GNMA Implied Tuning Parameters
|
||
|
July 3
|
July 18
|
|
| Slide |
0.96
|
0.97
|
| Burnout |
1.28
|
1.31
|
| Turnover |
0.92
|
0.95
|
| Refi |
1.30
|
1.14
|
Table 2
|
|
Average Untuned Duration
|
Average Tuned Duration
|
Empirical Sensitivity
|
| GNMA4.5 |
5.38
|
5.49
|
5.87
|
| GNMA5.0 |
4.24
|
4.44
|
5.01
|
| GNMA5.5 |
2.69
|
2.84
|
3.23
|
| GNMA6.0 |
1.66
|
1.30
|
1.73
|
| GNMA6.5 |
1.55
|
0.58
|
0.60
|
| GNMA7.0 |
1.84
|
0.42
|
0.05
|
| GNMA7.5 |
2.08
|
0.58
|
-0.15
|
| GNMA8.0 |
2.17
|
0.60
|
-0.11
|
