Spreadsheet: vkaminski__40753__AgencyPrint
Sheet: CBOT BNOC

Projected Basis-Net-Of-Carry Page For CBOT Deliverable Jun-2000 Issues (Data From Close Of 03/20/2000)
10-Year Note Contract -- Constant yield shift across deliverable set, CTD BNOC assumed to be 0 at futures expiration.
Yield Change (Basis Pts) : |  |  | 100 |  |  | 50 |  |  | 25 |  |  | unchanged |  |  | 25 |  |  | 50 |  |  | 100
10-Yr Futures On |  | 2000-06-20 00:00:00 |  | 99.08247910380157 |  |  | 95.7837067167181 |  |  | 94.13306861270385 |  |  | 92.50463138583491 |  |  | 90.91178320718915 |  |  | 89.3536640814859 |  |  | 86.33828348256252
AGENCY |  | 2000-06-20 00:00:00 | Price | Yield | BNOC | Price | Yield | BNOC | Price | Yield | BNOC | Price | Yield | BNOC | Price | Yield | BNOC | Price | Yield | BNOC | Price | Yield | BNOC
FNMA | 7.125 | 2007-03-15 00:00:00 | 105.5798622677867 | 0.06099999999999999 | 12.60487843811143 | 102.8038005657065 | 0.06599999999999999 | 35.83416048763365 | 101.4492707274942 | 0.06849999999999999 | 48.56336282392749 | 100.1165438187142 | 0.071 | 61.23606846437997 | 98.80523111762325 | 0.0735 | 73.38502607587998 | 97.51495138331873 | 0.076 | 85.02725102122531 | 94.99600233691639 | 0.08099999999999999 | 106.8569789384965
FNMA | 5.75 | 2008-02-15 00:00:00 | 97.83941628782254 | 0.061061 | 7.464515925363685 | 94.91162391811278 | 0.066061 | 17.76302180716084 | 93.48757342734922 | 0.068561 | 24.22680118318885 | 92.08938012217851 | 0.071061 | 30.81816780776126 | 90.71652821738002 | 0.073561 | 37.09857855929567 | 89.36851295690758 | 0.076061 | 43.07899104754642 | 86.74502699513121 | 0.081061 | 54.18188596668415
FHLMC | 5.75 | 2008-04-15 00:00:00 | 97.7110222082212 | 0.06121099999999999 | 4.941225043781287 | 94.73831899384751 | 0.06621099999999999 | 13.74980353813999 | 93.29316437816861 | 0.068711 | 19.51184070721274 | 91.8747306795994 | 0.071211 | 25.42945974740269 | 90.48247526659536 | 0.073711 | 31.06347266550165 | 89.11586731240918 | 0.076211 | 36.42398904890115 | 86.45752787032703 | 0.08121099999999999 | 46.36332650867098
FNMA | 6 | 2008-05-15 00:00:00 | 99.2430531142751 | 0.06121099999999999 | 5.455432268284767 | 96.21793565555146 | 0.06621099999999999 | 14.20183390416105 | 94.74757341782761 | 0.068711 | 19.9653795835211 | 93.30457467219362 | 0.071211 | 25.8941999839135 | 91.8883795736849 | 0.073711 | 31.54200143412709 | 90.49844055038257 | 0.076211 | 36.91877872975419 | 87.79520010241608 | 0.08121099999999999 | 46.89761434245793
FHLMC | 5.125 | 2008-10-15 00:00:00 | 93.54131299486981 | 0.061261 | 1.506742800724624 | 90.50722173971764 | 0.066261 | 4.022914618317827 | 89.03479131201294 | 0.068761 | 6.746488610098822 | 87.5912529808262 | 0.071261 | 9.724249764875822 | 86.17598652303138 | 0.07376100000000001 | 12.53209243928677 | 84.78838593284394 | 0.07626100000000001 | 15.1765921777228 | 82.09382736007095 | 0.081261 | 20.00073810959839
FNMA | 5.25 | 2009-01-15 00:00:00 | 94.25298931384083 | 0.06121099999999999 | 2.085909688545598 | 91.13673646608662 | 0.06621099999999999 | 2.711835557580343 | 89.62553867831325 | 0.068711 | 4.564596962462929 | 88.1447092385555 | 0.071211 | 6.713812581786897 | 86.69358028549219 | 0.073711 | 8.730853399621992 | 85.27149963328564 | 0.076211 | 10.62100983760456 | 82.51195054335345 | 0.08121099999999999 | 14.04090447454473
FHLMC | 5.75 | 2009-03-15 00:00:00 | 97.40798520694733 | 0.06136099999999999 | 0 | 94.18441763958313 | 0.06636099999999999 | 0.622578124082338 | 92.62168144169777 | 0.06886099999999999 | 2.542774033555816 | 91.09067225925209 | 0.071361 | 4.779812602809216 | 89.59068323933937 | 0.073861 | 6.889893387255142 | 88.12102434823879 | 0.076361 | 8.877990071360273 | 85.27001838768089 | 0.08136099999999999 | 12.50726067115784
FNMA | 6.375 | 2009-06-15 00:00:00 | 101.6992648670988 | 0.061261 | 1.934649677412381 | 98.31858909056247 | 0.066261 | 2.03720769769734 | 96.68056794152717 | 0.068761 | 3.803717075697932 | 95.07636770312908 | 0.071261 | 5.923738481267719 | 93.50521976790387 | 0.07376100000000001 | 7.933201727015785 | 91.96637419811977 | 0.07626100000000001 | 9.836338666608754 | 88.98268089085322 | 0.081261 | 13.3398302220985
FNMA | 6.625 | 2009-09-15 00:00:00 | 103.5027087617947 | 0.06121099999999999 | 2.57334634389008 | 100.0131808724495 | 0.06621099999999999 | 1.092729649251851 | 98.32349965998853 | 0.068711 | 2.156884545543562 | 96.66940340991857 | 0.071211 | 3.618213420290886 | 95.05006593875979 | 0.073711 | 5.003092067064244 | 93.46468156556442 | 0.076211 | 6.314463913901818 | 90.39264869297986 | 0.08121099999999999 | 8.727948604195262
FHLMC | 6.625 | 2009-09-15 00:00:00 | 103.4670691956387 | 0.061261 | 1.432880226899215 | 99.97903307091036 | 0.066261 | 0 | 98.29007178955277 | 0.068761 | 1.087192691599284 | 96.6366787424437 | 0.071261 | 2.571024061095159 | 95.01802816151684 | 0.07376100000000001 | 3.977883195289905 | 93.43331477034528 | 0.07626100000000001 | 5.310726466889264 | 90.362577702588 | 0.081261 | 7.765676911655646
FNMA | 7.25 | 2010-01-15 00:00:00 | 108.2293804804754 | 0.06101099999999999 | 8.928623900275397 | 104.5428846797385 | 0.06601099999999999 | 5.969158779973441 | 102.7591636749616 | 0.06851099999999999 | 6.437933485463873 | 101.0138665273417 | 0.07101099999999999 | 7.362260239186071 | 99.30607781655871 | 0.07351099999999999 | 8.24608039443683 | 97.63490545105314 | 0.076011 | 9.09082989677654 | 94.39895428485622 | 0.08101099999999999 | 10.66862177933945
[NAME] TBA* | 7 | 2010-03-15 00:00:00 | 106.4755197641886 | 0.06106099999999998 | 5.437693879036487 | 102.7816502985359 | 0.06606099999999998 | 0.4899635894089442 | 100.99536931457 | 0.06856099999999998 | 0 | 99.24821901386227 | 0.07106099999999999 | 0 | 97.53925220299323 | 0.07356099999999999 | 0 | 95.86754619302621 | 0.07606099999999999 | -4.547473508864641e-13 | 92.63234434844132 | 0.08106099999999998 | 0
FNMA TBA* | 7 | 2010-04-15 00:00:00 | 106.593330025607 | 0.06096099999999999 | 9.207622244425693 | 102.8725615116252 | 0.06596099999999999 | 3.399122408265612 | 101.0737087922336 | 0.068461 | 2.50686328523534 | 99.31454354219926 | 0.070961 | 2.122384906783736 | 97.59409818050696 | 0.073461 | 1.755071280439552 | 95.91143033449652 | 0.075961 | 1.404292527049165 | 92.65577960394134 | 0.08096099999999999 | 0.7499281760005942
* Assume carry at delivery = 0
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.