Spreadsheet: vkaminski__40753__AgencyPrint
Sheet: CME Ten

Carr Futures
10 YEAR CME AGENCY FUTURE
Contract | 2000-06-01 00:00:00 |  |  | Prices as of |  | 2000-03-20 00:00:00 |  |  |  |  |  | Last trading day | 2000-06-21 00:00:00 |  |  | Treasury GC O/N | 5.65
Futures | 95.515625 |  |  | Trade date |  | 2000-03-21 00:00:00 |  |  |  |  |  | Last delivery day | 2000-06-30 00:00:00 |  |  | Treasury [NAME] | 5.85
Repo delta | 0.8524457271023493 |  |  | Settlement date |  | 2000-03-22 00:00:00 |  |  |  |  |  | Days to last delivery | 100
 |  |  |  |  |  |  | spread |  |  |  | accrued |  |  | financing | total carry | basis net | implied
AGENCY | coupon | maturity | issue | clean | accrued | conversion | over | yield | Duration | DV01 | interest | basis | term repo | cost | to delivery | of carry | repo
 |  |  | date | price | interest | factor | OTR US10 |  |  |  | at delivery | 32nd | to delivery | to delivery | 32nd | 32nd | to delivery
FNMA | 5.75 | 2008-02-15 00:00:00 | 1998-02-05 00:00:00 | 91.90261202011077 | 0.5909722222222222 | 0.956 | 0.009271000000000001 | 0.071061 | 6.126153187584651 | 56.66298659372977 | 2.15625 | 18.86958464354484 | 0.0595 | 1.528713406227448 | 1.170059889610556 | 17.69952475393428 | 0.0379720578067267
FHLMC | 5.75 | 2008-04-15 00:00:00 | 1998-04-09 00:00:00 | 91.69175633510913 | 2.507638888888889 | 0.9548 | 0.009420999999999999 | 0.071211 | 6.096697355768716 | 57.43052037771609 | 1.165972222222222 | 15.79000272349231 | 0.0595 | 1.5569066710633 | 1.405588871653379 | 14.38441385183893 | 0.04191958487034766
FNMA | 6 | 2008-05-15 00:00:00 | 1998-05-11 00:00:00 | 93.1482547516412 | 2.116666666666667 | 0.9698 | 0.009420999999999999 | 0.071211 | 6.133551361993513 | 58.43122885154672 | 0.75 | 16.55045205251872 | 0.0595 | 1.574517451219255 | 2.6119748943172 | 13.93847715820152 | 0.04279786448549053
FHLMC | 5.125 | 2008-10-15 00:00:00 | 1998-10-13 00:00:00 | 87.3304170251517 | 2.235069444444445 | 0.9132 | 0.009471000000000007 | 0.071261 | 6.506004489656305 | 58.27134570894437 | 1.039236111111111 | 3.377544804854551 | 0.0595 | 1.480318456928047 | -1.711697226635799 | 5.08924203149035 | 0.05296775011988102
FNMA | 5.25 | 2009-01-15 00:00:00 | 1999-01-11 00:00:00 | 87.89486623528107 | 0.9479166666666667 | 0.9193 | 0.009420999999999999 | 0.071211 | 6.724026027232448 | 59.73811845644585 | 2.377083333333333 | 2.79526952899414 | 0.0595 | 1.468373772962747 | -1.254627401474586 | 4.049896930468726 | 0.05437168918176958
FHLMC | 5.75 | 2009-03-15 00:00:00 | 1999-03-12 00:00:00 | 90.92246937118615 | 0.1118055555555556 | 0.9504 | 0.009570999999999996 | 0.071361 | 6.781384817367592 | 61.73384498482735 | 1.677083333333333 | 4.621419877956669 | 0.0595 | 1.504594266150314 | 1.941872372078834 | 2.679547505877835 | 0.05618861981211104
FNMA | 6.375 | 2009-06-15 00:00:00 | 1999-06-08 00:00:00 | 94.96865479469282 | 1.717708333333333 | 0.9916 | 0.009471000000000007 | 0.071261 | 6.691963821718284 | 64.70216441062676 | 0.265625 | 8.171553430170206 | 0.0595 | 1.598010723921543 | 4.649865167843942 | 3.521688262326265 | 0.05538195421493438
FNMA | 6.625 | 2009-09-15 00:00:00 | 1999-09-01 00:00:00 | 96.61978719993884 | 0.1288194444444445 | 1.0085 | 0.009420999999999999 | 0.071211 | 6.887613702278084 | 66.63670288001667 | 1.932291666666667 | 9.352940398042847 | 0.0595 | 1.599039470928002 | 6.541848041415072 | 2.811092356627775 | 0.05623124088202077
FHLMC | 6.625 | 2009-09-15 00:00:00 | 1999-09-16 00:00:00 | 96.58647608113486 | 0.1288194444444445 | 1.0085 | 0.009471000000000007 | 0.071261 | 6.886994894443089 | 66.60777464992192 | 1.932291666666667 | 8.286984596315506 | 0.0595 | 1.59848891215888 | 6.559465922026952 | 1.727518674288554 | 0.05749053655576072
FNMA | 7.25 | 2010-01-15 00:00:00 | 2000-01-14 00:00:00 | 101.0248944309836 | 1.369444444444444 | 1.0525 | 0.009220999999999993 | 0.07101099999999999 | 6.866049584997633 | 70.30446079417398 | 3.343055555555555 | 15.8303717914755 | 0.0575 | 1.635465134815864 | 10.8206712414479 | 5.009700550027603 | 0.05199587430254553
Assumes spot yields unchanged to April 7 settle.
Contract | 2000-06-01 00:00:00 |  |  | Prices as of |  | 2000-04-05 00:00:00 |  |  |  |  |  | Last trading day | 2000-06-21 00:00:00 |  |  | Treasury GC O/N | 5.65
Futures | 95.59964304428202 |  |  | Trade date |  | 2000-04-06 00:00:00 |  |  |  |  |  | Last delivery day | 2000-06-30 00:00:00 |  |  | Treasury [NAME] | 5.85
Repo delta | 0.7181465750677489 |  |  | Settlement date |  | 2000-04-07 00:00:00 |  |  |  |  |  | Days to last delivery | 84
 |  |  |  |  |  |  | spread |  |  |  | accrued |  |  | financing | total carry | basis net | implied
AGENCY | coupon | maturity | issue | clean | accrued | conversion | over | yield | Duration | DV01 | interest | basis | term repo | cost | to delivery | of carry | repo
 |  |  | date | price | interest | factor | OTR US10 |  |  |  | at delivery | 32nd | to delivery | to delivery | 32nd | 32nd | to delivery
FNMA | 5.75 | 2008-02-15 00:00:00 | 1998-02-05 00:00:00 | 91.93252952319511 | 0.8305555555555556 | 0.956 | 0.009271000000000001 | 0.071061 | 6.085916162536461 | 56.45483587675135 | 2.15625 | 17.25666473156843 | 0.0595 | 1.287860831176655 | 1.210675624569262 | 16.04598910699917 | 0.03633328021664659
FHLMC | 5.75 | 2008-04-15 00:00:00 | 1998-04-09 00:00:00 | 91.72721428487138 | 2.747222222222222 | 0.9548 | 0.009420999999999999 | 0.071211 | 6.056463244742206 | 57.21809522729436 | 1.165972222222222 | 14.35760339810895 | 0.0595 | 1.311620093506816 | 1.588092686794219 | 12.76951071131473 | 0.04089336148542075
FNMA | 6 | 2008-05-15 00:00:00 | 1998-05-11 00:00:00 | 93.17640713423967 | 2.366666666666667 | 0.9698 | 0.009420999999999999 | 0.071211 | 6.093317250967 | 58.21742598014757 | 0.75 | 14.84394591663886 | 0.0595 | 1.32645634126925 | 2.549930412717366 | 12.29401550392149 | 0.04196521688488834
FHLMC | 5.125 | 2008-10-15 00:00:00 | 1998-10-13 00:00:00 | 87.37856736211963 | 2.448611111111111 | 0.9132 | 0.009471000000000007 | 0.071261 | 6.46577134987656 | 58.08019970124637 | 1.039236111111111 | 2.463146690601207 | 0.0595 | 1.247100661136687 | -1.082061094645567 | 3.545207785246774 | 0.05407642945383199
FNMA | 5.25 | 2009-01-15 00:00:00 | 1999-01-11 00:00:00 | 87.93560256194412 | 1.166666666666667 | 0.9193 | 0.009420999999999999 | 0.071211 | 6.683772319464075 | 59.55392806716244 | 2.377083333333333 | 1.627222762740985 | 0.0595 | 1.237036504457213 | -0.8518348092974861 | 2.479057572038471 | 0.05577375776187624
FHLMC | 5.75 | 2009-03-15 00:00:00 | 1999-03-12 00:00:00 | 90.94923686195011 | 0.3513888888888889 | 0.9504 | 0.009570999999999996 | 0.071361 | 6.741153619940716 | 61.5471543783121 | 1.677083333333333 | 2.922755605263319 | 0.0595 | 1.267557020840815 | 1.860397555316155 | 1.062358049947164 | 0.05794163065909993
FNMA | 6.375 | 2009-06-15 00:00:00 | 1999-06-08 00:00:00 | 94.98552754118475 | 1.983333333333333 | 0.9916 | 0.009471000000000007 | 0.071261 | 6.651730681938536 | 64.50107470716611 | 0.265625 | 6.045487951190353 | 0.0595 | 1.346251018474559 | 4.206175742147423 | 1.83931220904293 | 0.05694463367186949
FNMA | 6.625 | 2009-09-15 00:00:00 | 1999-09-01 00:00:00 | 96.62622994674327 | 0.4048611111111111 | 1.0085 | 0.009420999999999999 | 0.071211 | 6.847379591251568 | 66.44087126264246 | 1.932291666666667 | 6.847677970715267 | 0.0595 | 1.347114980853211 | 5.770098390475013 | 1.077579580240254 | 0.05801265514786251
FHLMC | 6.625 | 2009-09-15 00:00:00 | 1999-09-16 00:00:00 | 96.59301669549886 | 0.4048611111111111 | 1.0085 | 0.009471000000000007 | 0.071261 | 6.846761754663343 | 66.41213600498055 | 1.932291666666667 | 5.784853930894315 | 0.0595 | 1.346653870215102 | 5.784853930894528 | -2.131628207280301e-13 | 0.05950000000000023
FNMA | 7.25 | 2010-01-15 00:00:00 | 2000-01-14 00:00:00 | 101.02089476366 | 1.671527777777778 | 1.0525 | 0.009220999999999993 | 0.07101099999999999 | 6.825823400133182 | 70.09603407997105 | 3.343055555555555 | 12.87265470570264 | 0.0575 | 1.377790002430957 | 9.399608811098261 | 3.473045894604383 | 0.05297055115013399
[NAME] TBA* | 7 | 2010-03-15 00:00:00 | 2000-03-24 00:00:00 | 99.24628846419874 | 0.2527777777777778 | 1.0356 | 0.009270999999999988 | 0.07106099999999999 | 7.044907874552061 | 70.09617552786776 | 1.866666666666667 | 7.785540081288673 | 0.0595 | 1.381378702992774 | 7.440325948675678 | 0.3452141326129947 | 0.05903533196477028
FNMA TBA* | 7 | 2010-04-15 00:00:00 | 2000-04-07 00:00:00 | 99.31640456911258 | 0 | 1.0356 | 0.009170999999999999 | 0.070961 | 7.104395406787369 | 70.55830084394395 | 1.613888888888889 | 10.02925543853144 | 0.05649999999999999 | 1.309321266902801 | 9.746163903554823 | 0.283091534976613 | 0.05611824992530279
Assumes spot yields converge to April 7 forward yields.
Contract | 2000-06-01 00:00:00 |  |  | Prices as of |  | 2000-04-05 00:00:00 |  |  |  |  |  | Last trading day | 2000-06-21 00:00:00 |  |  | Treasury GC O/N | 5.65
Futures | 95.52959416413132 |  |  | Trade date |  | 2000-04-06 00:00:00 |  |  |  |  |  | Last delivery day | 2000-06-30 00:00:00 |  |  | Treasury [NAME] | 5.85
Repo delta | 0.7171248610493421 |  |  | Settlement date |  | 2000-04-07 00:00:00 |  |  |  |  |  | Days to last delivery | 84
 |  |  |  |  |  |  | spread |  |  |  | accrued |  |  | financing | total carry | basis net | implied
AGENCY | coupon | maturity | issue | clean | accrued | conversion | over | yield | Duration | DV01 | interest | basis | term repo | cost | to delivery | of carry | repo
 |  |  | date | price | interest | factor | OTR US10 |  |  |  | at delivery | 32nd | to delivery | to delivery | 32nd | 32nd | to delivery
FNMA | 5.75 | 2008-02-15 00:00:00 | 1998-02-05 00:00:00 | 91.90762283177384 | 0.8305555555555556 | 0.956 | 0.009305125188456075 | 0.07110512518845608 | 6.08554132812016 | 56.43620172706729 | 2.15625 | 18.60258594765719 | 0.0595 | 1.287515043277423 | 1.221740837344683 | 17.38084511031251 | 0.03439931551034826
FHLMC | 5.75 | 2008-04-15 00:00:00 | 1998-04-09 00:00:00 | 91.70127806914593 | 2.747222222222222 | 0.9548 | 0.009456336521904134 | 0.07125633652190413 | 6.056034609809231 | 57.19833866091027 | 1.165972222222222 | 15.66788995946672 | 0.0595 | 1.311260012378494 | 1.599615282900515 | 14.0682746765662 | 0.03899512767521496
FNMA | 6 | 2008-05-15 00:00:00 | 1998-05-11 00:00:00 | 93.15017754383628 | 2.366666666666667 | 0.9698 | 0.009456062313972537 | 0.07125606231397254 | 6.092886219738206 | 58.19732638430544 | 0.75 | 16.17846795077503 | 0.0595 | 1.326092187122482 | 2.561583345413908 | 13.61688460536112 | 0.04007300047147736
FHLMC | 5.125 | 2008-10-15 00:00:00 | 1998-10-13 00:00:00 | 87.35372631159353 | 2.448611111111111 | 0.9132 | 0.009503777643860227 | 0.07130377764386023 | 6.465325330718228 | 58.06013268967178 | 1.039236111111111 | 3.715229469081805 | 0.0595 | 1.246755784551883 | -1.071025043931847 | 4.786254513013652 | 0.05217575880119499
FNMA | 5.25 | 2009-01-15 00:00:00 | 1999-01-11 00:00:00 | 87.91105603895511 | 1.166666666666667 | 0.9193 | 0.009452224323722051 | 0.07125222432372205 | 6.683336158152935 | 59.53363650444028 | 2.377083333333333 | 2.902403963813867 | 0.0595 | 1.236695716896382 | -0.8409296073509012 | 3.743333571164769 | 0.05387188892644312
FHLMC | 5.75 | 2009-03-15 00:00:00 | 1999-03-12 00:00:00 | 90.92362112043686 | 0.3513888888888889 | 0.9504 | 0.00960262693316969 | 0.07140262693316969 | 6.740702199726813 | 61.5257660749949 | 1.677083333333333 | 4.233434459086311 | 0.0595 | 1.267201388962806 | 1.871777775412447 | 2.361656683673864 | 0.0560347217621023
FNMA | 6.375 | 2009-06-15 00:00:00 | 1999-06-08 00:00:00 | 94.95871151052027 | 1.983333333333333 | 0.9916 | 0.009502581881315107 | 0.07130258188131511 | 6.651224179105468 | 64.47832726373657 | 0.265625 | 7.410109995764742 | 0.0595 | 1.345878722582168 | 4.218089210703965 | 3.192020785060777 | 0.05506407441781383
FNMA | 6.625 | 2009-09-15 00:00:00 | 1999-09-01 00:00:00 | 96.59959184862065 | 0.4048611111111111 | 1.0085 | 0.009451099894463667 | 0.07125109989446367 | 6.846884089275198 | 66.41782455588319 | 1.932291666666667 | 8.255876291014829 | 0.0595 | 1.346745155257609 | 5.78193280953429 | 2.473943481480539 | 0.05608436591145704
FHLMC | 6.625 | 2009-09-15 00:00:00 | 1999-09-16 00:00:00 | 96.56619264041362 | 0.4048611111111111 | 1.0085 | 0.00950139734963986 | 0.07130139734963986 | 6.846262560162671 | 66.38892947185857 | 1.932291666666667 | 7.187101628389883 | 0.0595 | 1.346281462917002 | 5.796770964433733 | 1.390330663956149 | 0.05757978780849266
FNMA | 7.25 | 2010-01-15 00:00:00 | 2000-01-14 00:00:00 | 100.9844855192208 | 1.671527777777778 | 1.0525 | 0.009262953875876397 | 0.0710629538758764 | 6.825108834875693 | 70.06384633064617 | 3.343055555555555 | 14.06680516712277 | 0.0575 | 1.377301511734731 | 9.415240513377498 | 4.651564653745268 | 0.05143140850715274
[NAME] TBA* | 7 | 2010-03-15 00:00:00 | 2000-03-24 00:00:00 | 99.20987928960918 | 0.2527777777777778 | 1.0356 | 0.009312953875876391 | 0.07111295387587639 | 7.044195093060268 | 70.06343608568234 | 1.866666666666667 | 8.94181034351277 | 0.0575 | 1.334457315654108 | 8.941810343512984 | -2.131628207280301e-13 | 0.05749999999999989
FNMA TBA* | 7 | 2010-04-15 00:00:00 | 2000-04-07 00:00:00 | 99.27975541926175 | 0 | 1.0356 | 0.009212953875876402 | 0.0710129538758764 | 7.103675036156226 | 70.52511201675054 | 1.613888888888889 | 11.17784649239502 | 0.0575 | 1.332003385208428 | 9.02033611777474 | 2.15751037462028 | 0.05458951456321645
The information contained herein is based upon sources that we believe to be reliable, but we do not represent that it is complete or accurate. Nothing contained herein should be considered as an offer to sell or a solicitation of an offer to buy any financial instruments discussed herein.  Any opinions expressed herein are solely those of the author.  As such, they may differ in material respects from those of, or expressed or published by or on behalf of Carr Futures, its officers, directors or employees.  (c) [NAME], 2000.