Spreadsheet: vkaminski__40753__AgencyPrint
Sheet: CBOT Ten

Carr Futures
10 YEAR CBOT 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 | 92.3125 |  |  | Trade date |  | 2000-03-21 00:00:00 |  |  |  |  | Last delivery day | 2000-06-30 00:00:00 |  | Treasury [NAME] | 5.85
Repo delta | 0.8236170873565243 |  |  | Settlement date |  | 2000-03-22 00:00:00 |  |  |  |  | Days to last delivery | 100
 |  |  |  |  |  |  | spread |  |  |  |  |  | total carry | basis net | implied
AGENCY | coupon | maturity | issue | clean | accrued | conversion | over | yield | Duration | DV01 | basis | term repo | to delivery | of carry | repo
 |  |  | date | price | interest | factor | OTR US10 |  |  |  | 32nd | to delivery | 32nd | 32nd | to delivery
FNMA | 7.125 | 2007-03-15 00:00:00 | 2000-03-10 00:00:00 | 100.1334464196859 | 0.2375 | 1.0616 | 0.009209999999999996 | 0.071 | 5.415024950599558 | 54.35111791778905 | 68.30388542994842 | 0.0575 | 10.76596071882721 | 57.53792471112121 | -0.006990938472725026
FNMA | 5.75 | 2008-02-15 00:00:00 | 1998-02-05 00:00:00 | 91.90261202011077 | 0.5909722222222222 | 0.9851 | 0.009271000000000001 | 0.071061 | 6.126153187584651 | 56.66298659372977 | 30.89818464354448 | 0.0595 | 1.170059889610556 | 29.72812475393393 | 0.02334166467097651
FHLMC | 5.75 | 2008-04-15 00:00:00 | 1998-04-09 00:00:00 | 91.69175633510913 | 2.507638888888889 | 0.9846 | 0.009420999999999999 | 0.071211 | 6.096697355768716 | 57.43052037771609 | 25.6278027234921 | 0.0595 | 1.405588871653379 | 24.22221385183872 | 0.02989597308164898
FNMA | 6 | 2008-05-15 00:00:00 | 1998-05-11 00:00:00 | 93.1482547516412 | 2.116666666666667 | 0.9999 | 0.009420999999999999 | 0.071211 | 6.133551361993513 | 58.43122885154672 | 27.0395520525185 | 0.0595 | 2.6119748943172 | 24.4275771582013 | 0.03022903306747897
FHLMC | 5.125 | 2008-10-15 00:00:00 | 1998-10-13 00:00:00 | 87.3304170251517 | 2.235069444444445 | 0.9436 | 0.009471000000000007 | 0.071261 | 6.506004489656305 | 58.27134570894437 | 7.178944804854382 | 0.0595 | -1.711697226635799 | 8.89064203149018 | 0.04808849805432146
FNMA | 5.25 | 2009-01-15 00:00:00 | 1999-01-11 00:00:00 | 87.89486623528107 | 0.9479166666666667 | 0.9506 | 0.009420999999999999 | 0.071211 | 6.724026027232448 | 59.73811845644585 | 4.563319528994271 | 0.0595 | -1.254627401474586 | 5.817946930468857 | 0.05213283962637532
FHLMC | 5.75 | 2009-03-15 00:00:00 | 1999-03-12 00:00:00 | 90.92246937118615 | 0.1118055555555556 | 0.9831 | 0.009570999999999996 | 0.071361 | 6.781384817367592 | 61.73384498482735 | 5.441619877956782 | 0.0595 | 1.941872372078834 | 3.499747505877949 | 0.05517501806623821
FNMA | 6.375 | 2009-06-15 00:00:00 | 1999-06-08 00:00:00 | 94.96865479469282 | 1.717708333333333 | 1.0258 | 0.009471000000000007 | 0.071261 | 6.691963821718284 | 64.70216441062676 | 8.783753430170236 | 0.0595 | 4.649865167843942 | 4.133888262326295 | 0.05466608516525535
FNMA | 6.625 | 2009-09-15 00:00:00 | 1999-09-01 00:00:00 | 96.61978719993884 | 0.1288194444444445 | 1.0438 | 0.009420999999999999 | 0.071211 | 6.887613702278084 | 66.63670288001667 | 8.447990398042748 | 0.0595 | 6.541848041415072 | 1.906142356627676 | 0.05728352347844327
FHLMC | 6.625 | 2009-09-15 00:00:00 | 1999-09-16 00:00:00 | 96.58647608113486 | 0.1288194444444445 | 1.0438 | 0.009471000000000007 | 0.071261 | 6.886994894443089 | 66.60777464992192 | 7.382034596315407 | 0.0595 | 6.559465922026952 | 0.8225686742884548 | 0.05854318158410667
FNMA | 7.25 | 2010-01-15 00:00:00 | 2000-01-14 00:00:00 | 101.0248944309836 | 1.369444444444444 | 1.0895 | 0.009220999999999993 | 0.07101099999999999 | 6.866049584997633 | 70.30446079417398 | 14.41362179147563 | 0.0575 | 10.8206712414479 | 3.592950550027737 | 0.05355244839395004
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 | 92.24284218540687 |  |  | Trade date |  | 2000-04-06 00:00:00 |  |  |  |  | Last delivery day | 2000-06-30 00:00:00 |  | Treasury [NAME] | 5.85
Repo delta | 0.6924469766740913 |  |  | Settlement date |  | 2000-04-07 00:00:00 |  |  |  |  | Days to last delivery | 84
 |  |  |  |  |  |  | spread |  |  |  |  |  | total carry | basis net | implied
AGENCY | coupon | maturity | issue | clean | accrued | conversion | over | yield | Duration | DV01 | basis | term repo | to delivery | of carry | repo
 |  |  | date | price | interest | factor | OTR US10 |  |  |  | 32nd | to delivery | 32nd | 32nd | to delivery
FNMA | 7.125 | 2007-03-15 00:00:00 | 2000-03-10 00:00:00 | 100.12848954925 | 0.534375 | 1.0616 | 0.009209999999999996 | 0.071 | 5.37484179486838 | 54.10469715704836 | 70.51162512710653 | 0.0575 | 9.34874348685534 | 61.16288164025119 | -0.02387516649474964
FNMA | 5.75 | 2008-02-15 00:00:00 | 1998-02-05 00:00:00 | 91.93252952319511 | 0.8305555555555556 | 0.9851 | 0.009271000000000001 | 0.071061 | 6.085916162536461 | 56.45483587675135 | 34.05138196322605 | 0.0595 | 1.210675624569262 | 32.84070633865679 | 0.01208556913121651
FHLMC | 5.75 | 2008-04-15 00:00:00 | 1998-04-09 00:00:00 | 91.72721428487138 | 2.747222222222222 | 0.9846 | 0.009420999999999999 | 0.071211 | 6.056463244742206 | 57.21809522729436 | 28.9571798118327 | 0.0595 | 1.588092686794219 | 27.36908712503848 | 0.0196201078003411
FNMA | 6 | 2008-05-15 00:00:00 | 1998-05-11 00:00:00 | 93.17640713423967 | 2.366666666666667 | 0.9999 | 0.009420999999999999 | 0.071211 | 6.093317250967 | 58.21742598014757 | 30.16925545764252 | 0.0595 | 2.549930412717366 | 27.61932504492516 | 0.02010694129643329
FHLMC | 5.125 | 2008-10-15 00:00:00 | 1998-10-13 00:00:00 | 87.37856736211963 | 2.448611111111111 | 0.9436 | 0.009471000000000007 | 0.071261 | 6.46577134987656 | 58.08019970124637 | 10.82308723103051 | 0.0595 | -1.082061094645567 | 11.90514832567608 | 0.04128712907164512
FNMA | 5.25 | 2009-01-15 00:00:00 | 1999-01-11 00:00:00 | 87.93560256194412 | 1.166666666666667 | 0.9506 | 0.009420999999999999 | 0.071211 | 6.683772319464075 | 59.55392806716244 | 7.985816975883154 | 0.0595 | -0.8518348092974861 | 8.83765178518064 | 0.04621622969179805
FHLMC | 5.75 | 2009-03-15 00:00:00 | 1999-03-12 00:00:00 | 90.94923686195011 | 0.3513888888888889 | 0.9831 | 0.009570999999999996 | 0.071361 | 6.741153619940716 | 61.5471543783121 | 8.489558703251987 | 0.0595 | 1.860397555316155 | 6.629161147935832 | 0.04977570649147815
FNMA | 6.375 | 2009-06-15 00:00:00 | 1999-06-08 00:00:00 | 94.98552754118475 | 1.983333333333333 | 1.0258 | 0.009471000000000007 | 0.071261 | 6.651730681938536 | 64.50107470716611 | 11.61024087662008 | 0.0595 | 4.206175742147423 | 7.40406513447266 | 0.04921349255287046
FNMA | 6.625 | 2009-09-15 00:00:00 | 1999-09-01 00:00:00 | 96.62622994674327 | 0.4048611111111111 | 1.0438 | 0.009420999999999999 | 0.071211 | 6.847379591251568 | 66.44087126264246 | 10.98084075569795 | 0.0595 | 5.770098390475013 | 5.210742365222941 | 0.05230779723851039
FHLMC | 6.625 | 2009-09-15 00:00:00 | 1999-09-16 00:00:00 | 96.59301669549886 | 0.4048611111111111 | 1.0438 | 0.009471000000000007 | 0.071261 | 6.846761754663343 | 66.41213600498055 | 9.918016715877002 | 0.0595 | 5.784853930894528 | 4.133162784982474 | 0.0537931886780236
FNMA | 7.25 | 2010-01-15 00:00:00 | 2000-01-14 00:00:00 | 101.02089476366 | 1.671527777777778 | 1.0895 | 0.009220999999999993 | 0.07101099999999999 | 6.825823400133182 | 70.09603407997105 | 16.71418248509599 | 0.0575 | 9.399608811098261 | 7.314573673997728 | 0.04796053858187737
[NAME] TBA* | 7 | 2010-03-15 00:00:00 | 2000-03-24 00:00:00 | 99.24628846419874 | 0.2527777777777778 | 1.0729 | 0.009270999999999988 | 0.07106099999999999 | 7.044907874552061 | 70.09617552786776 | 8.926178671222715 | 0.0575 | 8.92617867122253 | 1.84741111297626e-13 | 0.05749999999999936
FNMA TBA* | 7 | 2010-04-15 00:00:00 | 2000-04-07 00:00:00 | 99.31640456911258 | 0 | 1.0729 | 0.009170999999999999 | 0.070961 | 7.104395406787369 | 70.55830084394395 | 11.16989402846548 | 0.0575 | 9.004601416105444 | 2.165292612360034 | 0.05458009419434436
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 | 92.20845159509219 |  |  | Trade date |  | 2000-04-06 00:00:00 |  |  |  |  | Last delivery day | 2000-06-30 00:00:00 |  | Treasury [NAME] | 5.85
Repo delta | 0.6921935931613916 |  |  | Settlement date |  | 2000-04-07 00:00:00 |  |  |  |  | Days to last delivery | 84
 |  |  |  |  |  |  | spread |  |  |  |  |  | total carry | basis net | implied
AGENCY | coupon | maturity | issue | clean | accrued | conversion | over | yield | Duration | DV01 | basis | term repo | to delivery | of carry | repo
 |  |  | date | price | interest | factor | OTR US10 |  |  |  | 32nd | to delivery | 32nd | 32nd | to delivery
FNMA | 7.125 | 2007-03-15 00:00:00 | 2000-03-10 00:00:00 | 100.0930749494251 | 0.534375 | 1.0616 | 0.009265469924741511 | 0.07106546992474151 | 5.374394612329836 | 54.08116248606805 | 70.54664755440717 | 0.0575 | 9.363948155046842 | 61.18269939936033 | -0.02393018163352423
FNMA | 5.75 | 2008-02-15 00:00:00 | 1998-02-05 00:00:00 | 91.90762283177384 | 0.8305555555555556 | 0.9851 | 0.009305125188456075 | 0.07110512518845608 | 6.08554132812016 | 56.43620172706729 | 34.33846929435276 | 0.0595 | 1.221740837344683 | 33.11672845700808 | 0.01167421551984072
FHLMC | 5.75 | 2008-04-15 00:00:00 | 1998-04-09 00:00:00 | 91.70127806914593 | 2.747222222222222 | 0.9846 | 0.009456336521904134 | 0.07125633652190413 | 6.056034609809231 | 57.19833866091027 | 29.21077211578131 | 0.0595 | 1.599615282900515 | 27.61115683288079 | 0.01925602846730662
FNMA | 6 | 2008-05-15 00:00:00 | 1998-05-11 00:00:00 | 93.15017754383628 | 2.366666666666667 | 0.9999 | 0.009456062313972537 | 0.07125606231397254 | 6.092886219738206 | 58.19732638430544 | 30.43029740491511 | 0.0595 | 2.561583345413908 | 27.8687140595012 | 0.01974013490712049
FHLMC | 5.125 | 2008-10-15 00:00:00 | 1998-10-13 00:00:00 | 87.35372631159353 | 2.448611111111111 | 0.9436 | 0.009503777643860227 | 0.07130377764386023 | 6.465325330718228 | 58.06013268967178 | 11.0666043668657 | 0.0595 | -1.071025043931847 | 12.13762941079755 | 0.04092620181507732
FNMA | 5.25 | 2009-01-15 00:00:00 | 1999-01-11 00:00:00 | 87.91105603895511 | 1.166666666666667 | 0.9506 | 0.009452224323722051 | 0.07125222432372205 | 6.683336158152935 | 59.53363650444028 | 8.246462485135453 | 0.0595 | -0.8409296073509012 | 9.087392092486354 | 0.04583708402065815
FHLMC | 5.75 | 2009-03-15 00:00:00 | 1999-03-12 00:00:00 | 90.92362112043686 | 0.3513888888888889 | 0.9831 | 0.00960262693316969 | 0.07140262693316969 | 6.740702199726813 | 61.5257660749949 | 8.75175543365549 | 0.0595 | 1.871777775412447 | 6.879977658243043 | 0.04940495230693628
FNMA | 6.375 | 2009-06-15 00:00:00 | 1999-06-08 00:00:00 | 94.95871151052027 | 1.983333333333333 | 1.0258 | 0.009502581881315107 | 0.07130258188131511 | 6.651224179105468 | 64.47832726373657 | 11.88101965679061 | 0.0595 | 4.218089210703965 | 7.662930446086648 | 0.04885088726257725
FNMA | 6.625 | 2009-09-15 00:00:00 | 1999-09-01 00:00:00 | 96.59959184862065 | 0.4048611111111111 | 1.0438 | 0.009451099894463667 | 0.07125109989446367 | 6.846884089275198 | 66.41782455588319 | 11.27712235722947 | 0.0595 | 5.78193280953429 | 5.495189547695183 | 0.05191310204432006
FHLMC | 6.625 | 2009-09-15 00:00:00 | 1999-09-16 00:00:00 | 96.56619264041362 | 0.4048611111111111 | 1.0438 | 0.00950139734963986 | 0.07130139734963986 | 6.846262560162671 | 66.38892947185857 | 10.20834769460453 | 0.0595 | 5.796770964433733 | 4.411576730170793 | 0.05340708725581917
FNMA | 7.25 | 2010-01-15 00:00:00 | 2000-01-14 00:00:00 | 100.9844855192208 | 1.671527777777778 | 1.0895 | 0.009262953875876397 | 0.0710629538758764 | 6.825108834875693 | 70.06384633064617 | 16.74808020377213 | 0.0575 | 9.415240513377498 | 7.332839690394636 | 0.04793332472489428
[NAME] TBA* | 7 | 2010-03-15 00:00:00 | 2000-03-24 00:00:00 | 99.20987928960918 | 0.2527777777777778 | 1.0729 | 0.009312953875876391 | 0.07111295387587639 | 7.044195093060268 | 70.06343608568234 | 8.94181034351277 | 0.0575 | 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 | 1.0729 | 0.009212953875876402 | 0.0710129538758764 | 7.103675036156226 | 70.52511201675054 | 11.17784649239502 | 0.0575 | 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.