Spreadsheet: vkaminski__40753__AgencyPrint
Sheet: CME Five

Carr Futures
5 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 | 97.453125 |  |  | Trade date |  | 2000-03-21 00:00:00 |  |  |  |  |  | Last delivery day | 2000-06-30 00:00:00 |  |  | Treasury [NAME] | 5.85
Repo delta | 0.8765548219062111 |  |  | 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 US5 |  |  |  | at delivery | 32nd | to delivery | to delivery | 32nd | 32nd | to delivery
FHLMC | 6.25 | 2004-07-15 00:00:00 | 1999-07-12 00:00:00 | 97.01961849881621 | 1.128472222222222 | 0.9911 | 0.00612 | 0.0706 | 3.667590070495387 | 35.9966962966561 | 2.829861111111111 | 13.88244196211872 | 0.0595 | 1.622169832750497 | 2.535009796428561 | 11.34743216569016 | 0.04649326589787128
FNMA | 6.5 | 2004-08-15 00:00:00 | 1999-08-06 00:00:00 | 97.9051579752535 | 0.6680555555555556 | 0.9999 | 0.00612 | 0.0706 | 3.731815304637183 | 36.78570268815423 | 2.4375 | 14.77690520811211 | 0.0595 | 1.62919616807865 | 4.487944843705428 | 10.28896036440668 | 0.04775737744023159
FHLMC | 6.875 | 2005-01-15 00:00:00 | 2000-01-07 00:00:00 | 99.20199009453734 | 1.432291666666667 | 1.0146 | 0.006220000000000003 | 0.0707 | 3.97849673475852 | 40.0373161391719 | 3.303819444444445 | 10.43358302519482 | 0.0595 | 1.663261045775455 | 6.664535424074337 | 3.769047601120484 | 0.05528654661507662
FNMA | 7.125 | 2005-02-15 00:00:00 | 2000-02-14 00:00:00 | 100.2960608425108 | 0.7520833333333332 | 1.0247 | 0.006019999999999998 | 0.0705 | 4.047921336702831 | 40.90349388436236 | 2.691666666666666 | 13.94699696034695 | 0.0575 | 1.613963413919733 | 10.4198374212352 | 3.52715953911175 | 0.05357310503932108
Assumes spot yields unchanged to May 5 settle.
Contract | 2000-06-01 00:00:00 |  |  | Prices as of |  | 2000-05-03 00:00:00 |  |  |  |  |  | Last trading day | 2000-06-21 00:00:00 |  |  | Treasury GC O/N | 5.65
Futures | 97.61175375730758 |  |  | Trade date |  | 2000-05-04 00:00:00 |  |  |  |  |  | Last delivery day | 2000-06-30 00:00:00 |  |  | Treasury [NAME] | 5.85
Repo delta | 0.4867513939243509 |  |  | Settlement date |  | 2000-05-05 00:00:00 |  |  |  |  |  | Days to last delivery | 56
 |  |  |  |  |  |  | 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 US5 |  |  |  | at delivery | 32nd | to delivery | to delivery | 32nd | 32nd | to delivery
FHLMC | 6.25 | 2004-07-15 00:00:00 | 1999-07-12 00:00:00 | 97.09014716628079 | 1.875 | 0.9911 | 0.005969999999999989 | 0.0706 | 3.552167064365282 | 35.15407362841258 | 2.829861111111111 | 11.10841655722379 | 0.0595 | 0.9159774176612432 | 1.244278190395772 | 9.86413836682802 | 0.03947643618480147
FNMA | 6.5 | 2004-08-15 00:00:00 | 1999-08-06 00:00:00 | 97.94907436209697 | 1.444444444444444 | 0.9999 | 0.005969999999999989 | 0.0706 | 3.616443485411409 | 35.94510435800331 | 2.4375 | 11.10661696528359 | 0.0595 | 0.9199422351761 | 2.33962625214258 | 8.766990713141013 | 0.04178027507169944
FHLMC | 6.875 | 2005-01-15 00:00:00 | 2000-01-07 00:00:00 | 99.218164100313 | 2.253472222222222 | 1.0146 | 0.006069999999999992 | 0.0707 | 3.863354103027067 | 39.20208625275369 | 3.303819444444445 | 5.800919620759487 | 0.0595 | 0.9391763672963539 | 3.557467357627793 | 2.243452263131694 | 0.05505842843046678
FNMA | 7.125 | 2005-02-15 00:00:00 | 2000-02-14 00:00:00 | 100.2845802911192 | 1.603125 | 1.0247 | 0.005869999999999986 | 0.0705 | 3.932572891680202 | 40.06808278233567 | 2.691666666666666 | 8.378118912194623 | 0.0575 | 0.9113289195483437 | 5.670807907786344 | 2.707311004408279 | 0.05216197181204604
FNMA TBA* | 7 | 2005-05-15 00:00:00 | 2000-05-05 00:00:00 | 99.80902522336376 | 0 | 1.0207 | 0.005819999999999992 | 0.07045 | 4.176555712393461 | 41.6857954445063 | 1.069444444444445 | 5.654661224957181 | 0.0575 | 0.8927362811645314 | 5.654661224957223 | -4.263256414560601e-14 | 0.0575
Assumes spot yields converge to May 5 forward yields.
Contract | 2000-06-01 00:00:00 |  |  | Prices as of |  | 2000-05-03 00:00:00 |  |  |  |  |  | Last trading day | 2000-06-21 00:00:00 |  |  | Treasury GC O/N | 5.65
Futures | 97.47866686812976 |  |  | Trade date |  | 2000-05-04 00:00:00 |  |  |  |  |  | Last delivery day | 2000-06-30 00:00:00 |  |  | Treasury [NAME] | 5.85
Repo delta | 0.4860947899228449 |  |  | Settlement date |  | 2000-05-05 00:00:00 |  |  |  |  |  | Days to last delivery | 56
 |  |  |  |  |  |  | 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
FHLMC | 6.25 | 2004-07-15 00:00:00 | 1999-07-12 00:00:00 | 96.98684544744866 | 1.875 | 0.9911 | 0.006264042502223732 | 0.07089404250222374 | 3.551325343521067 | 35.10905772447872 | 2.829861111111111 | 12.02363886224794 | 0.0595 | 0.9150213028636082 | 1.274873863920099 | 10.74876499832784 | 0.03765790205515606
FNMA | 6.5 | 2004-08-15 00:00:00 | 1999-08-06 00:00:00 | 97.8456154003192 | 1.444444444444444 | 0.9999 | 0.006258008341193735 | 0.07088800834119374 | 3.61560124597646 | 35.89932640878047 | 2.4375 | 12.05428476403995 | 0.0595 | 0.9189846650076456 | 2.370268497533111 | 9.684016266506838 | 0.03990640020322184
FHLMC | 6.875 | 2005-01-15 00:00:00 | 2000-01-07 00:00:00 | 99.11264439912297 | 2.253472222222222 | 1.0146 | 0.006339341785536953 | 0.07096934178553696 | 3.862403143794155 | 39.15168075124887 | 3.303819444444445 | 6.745247830992412 | 0.0595 | 0.9381997238397838 | 3.58871994823803 | 3.156527882754382 | 0.05324422217054588
FNMA | 7.125 | 2005-02-15 00:00:00 | 2000-02-14 00:00:00 | 100.1551630779689 | 1.603125 | 1.0247 | 0.006193246102997485 | 0.07082324610299749 | 3.931416628864979 | 40.00542258745597 | 2.691666666666666 | 8.600740422280978 | 0.0575 | 0.9101713544751657 | 5.707849990128025 | 2.892890432152953 | 0.05178880894820864
FNMA TBA* | 7 | 2005-05-15 00:00:00 | 2000-05-05 00:00:00 | 99.67438769348608 | 0 | 1.0207 | 0.006143246102997491 | 0.0707732461029975 | 4.175360051626321 | 41.61764565456959 | 1.069444444444445 | 5.693197477953163 | 0.0575 | 0.8915320232584032 | 5.693197477953326 | -1.63424829224823e-13 | 0.05750000000000021
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.