CMO Derivatives

Disclaimer: This is the private opinion of the writer and not that of any organization or institution the writer is solely responsible for these opinions. This is not advice to buy or sell security. This article is for educational purposes only, and not to be use for any other purpose. 

31397JAR5    Px  78.47

31396EX27    Px  84.66

31397JW67   Px  79.00

38374MZS1   Px 79.00

3136FFFT1  Coupon payment as of 12/2007; 11%ish.

3136FFFT1  Coupon payment today 12/2008; 22.2788%

31397JAR5
89.934 PSA 265  AvL 2.9 OAS 115=Static 278 Yld 3.81

31397JAK0
90.320 PSA 265  AvL 2.6 OAS 121=Static 306 Yld 4.032.6

31396EX27
95.132 PSA 296  AvL 2.0 OAS -32=Static 174 Yld 2.54

31397JW67
 86.374 PSA 749  AvL 1.9 OAS 146=Static 770 Yld 8.47

38374MZS1
84.330 PSA 346  AvL 3.9 OAS 134=Static 347 Yld 4.76