Spreadsheet: vkaminski__40753__AgencyPrint
Sheet: CME BNOC

Projected Basis-Net-Of-Carry Page For CME Deliverable Jun-2000 Issues (Data From Close Of 03/20/2000)
5-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
5-Yr Futures On |  | 2000-06-20 00:00:00 |  | 101.5746600016325 |  |  | 99.72465168411713 |  |  | 98.76397840176205 |  |  | 97.78258484990333 |  |  | 96.7888140473858 |  |  | 95.80725769501393 |  |  | 93.8801184577454
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
FHLMC | 6.25 | 2004-07-15 00:00:00 | 100.670645527618 | 0.06059999999999999 | 0 | 98.90230568602723 | 0.06559999999999999 | 2.08650886075975 | 98.03216883951164 | 0.0681 | 4.710075056808819 | 97.17123827331389 | 0.0706 | 8.285389714390476 | 96.31940400830513 | 0.0731 | 12.54433299011407 | 95.47655751795243 | 0.0756 | 16.70350132557178 | 93.81740089261328 | 0.08059999999999999 | 24.73009565253824
FNMA | 6.5 | 2004-08-15 00:00:00 | 101.5839863805061 | 0.06059999999999999 | 0.6234830359589978 | 99.77379040438048 | 0.06559999999999999 | 1.89155793381633 | 98.88328265542867 | 0.0681 | 4.133780848217611 | 98.00234436329963 | 0.0706 | 7.345208700201056 | 97.13085947885303 | 0.0731 | 11.2551780119029 | 96.2687135074013 | 0.0756 | 15.07316922101973 | 94.5719879609884 | 0.08059999999999999 | 22.44024048284064
FHLMC | 6.875 | 2005-01-15 00:00:00 | 103.1646234664433 | 0.0607 | 3.42314972118038 | 101.1806315987052 | 0.0657 | 0 | 100.2059324864278 | 0.0682 | 0 | 99.24256376308445 | 0.0707 | 1.035301579920997 | 98.29037751224892 | 0.0732 | 2.830296952681692 | 97.34922793916921 | 0.0757 | 4.58189701785841 | 95.49946605786003 | 0.0807 | 7.95833186020991
FNMA | 7.125 | 2005-02-15 00:00:00 | 104.2920480640344 | 0.06049999999999999 | 6.671806731570541 | 102.2622280332566 | 0.06549999999999999 | 2.380078481337478 | 101.2652584111665 | 0.06799999999999999 | 1.977911772190964 | 100.2800379088458 | 0.0705 | 2.631142820796413 | 99.3064110477497 | 0.073 | 4.061225388591538 | 98.34422460834199 | 0.0755 | 5.456884744358831 | 96.4535711983546 | 0.08049999999999999 | 8.147642070492566
FNMA TBA* | 7 | 2005-05-15 00:00:00 | 103.9922492660438 | 0.06045 | 10.07980167607957 | 101.8734694599415 | 0.06545 | 2.704559550821614 | 100.8336677156131 | 0.06795 | 0.8087987499056908 | 99.80668435629633 | 0.07045 | 0 | 98.79234249816668 | 0.07295 | 0 | 97.79046792930072 | 0.07545 | 0 | 95.82343690982071 | 0.08045 | 0
* Assume carry at delivery = 0
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 |  | 102.3335255870026 |  |  | 99.09976603491491 |  |  | 97.45547289740927 |  |  | 95.82219012636956 |  |  | 94.18622267573699 |  |  | 92.57198357766146 |  |  | 89.44799570146901
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 | 5.75 | 2008-02-15 00:00:00 | 97.83941628782254 | 0.061061 | 0.2741064527385788 | 94.91162391811278 | 0.066061 | 5.511922839492399 | 93.48757342734922 | 0.068561 | 10.24452279763091 | 92.08938012217851 | 0.071061 | 15.46772356381462 | 90.71652821738002 | 0.073561 | 21.58397886001467 | 89.36851295690758 | 0.076061 | 27.83029301322358 | 86.74502699513121 | 0.081061 | 39.4477793448591
FHLMC | 5.75 | 2008-04-15 00:00:00 | 97.7110222082212 | 0.06121099999999999 | 0.09510328803617085 | 94.73831899384751 | 0.06621099999999999 | 3.771596278744255 | 93.29316437816861 | 0.068711 | 7.76572338311189 | 91.8747306795994 | 0.071211 | 12.27851350213541 | 90.48247526659536 | 0.073711 | 17.71103538565376 | 89.11586731240918 | 0.076211 | 23.30039655865676 | 86.45752787032703 | 0.08121099999999999 | 33.68261038606124
FNMA | 6 | 2008-05-15 00:00:00 | 99.2430531142751 | 0.06121099999999999 | 0 | 96.21793565555146 | 0.06621099999999999 | 3.551441756511394 | 94.74757341782761 | 0.068711 | 7.528185661443331 | 93.30457467219362 | 0.071211 | 12.03887000449367 | 91.8883795736849 | 0.073711 | 17.49058632816559 | 90.49844055038257 | 0.076211 | 23.10818805652752 | 87.79520010241608 | 0.08121099999999999 | 33.55308387620562
FHLMC | 5.125 | 2008-10-15 00:00:00 | 93.54131299486981 | 0.061261 | 2.890797722209754 | 90.50722173971764 | 0.066261 | 0.2980926922668914 | 89.03479131201294 | 0.068761 | 1.23051078716162 | 87.5912529808262 | 0.071261 | 2.765726637616353 | 86.17598652303138 | 0.07376100000000001 | 5.284095217547929 | 84.78838593284394 | 0.07626100000000001 | 8.052816951151726 | 82.09382736007095 | 0.081261 | 13.11736593566229
FNMA | 5.25 | 2009-01-15 00:00:00 | 94.25298931384083 | 0.06121099999999999 | 5.688935734699498 | 91.13673646608662 | 0.06621099999999999 | 1.098289606059097 | 89.62553867831325 | 0.068711 | 1.111118199197335 | 88.1447092385555 | 0.071211 | 1.771835372287114 | 86.69358028549219 | 0.073711 | 3.461944949989629 | 85.27149963328564 | 0.076211 | 5.442404170926693 | 82.51195054335345 | 0.08121099999999999 | 9.037059039775613
FHLMC | 5.75 | 2009-03-15 00:00:00 | 97.40798520694733 | 0.06136099999999999 | 4.806479649922494 | 94.18441763958313 | 0.06636099999999999 | 0 | 92.62168144169777 | 0.06886099999999999 | 0 | 91.09067225925209 | 0.071361 | 0.6804084208147287 | 89.59068323933937 | 0.073861 | 2.435110666206128 | 88.12102434823879 | 0.076361 | 4.499556992938778 | 85.27001838768089 | 0.08136099999999999 | 8.276584736151563
FNMA | 6.375 | 2009-06-15 00:00:00 | 101.6992648670988 | 0.061261 | 7.210908640865 | 98.31858909056247 | 0.066261 | 1.64035489090702 | 96.68056794152717 | 0.068761 | 1.399072526596683 | 95.07636770312908 | 0.071261 | 1.89068716227257 | 93.50521976790387 | 0.07376100000000001 | 3.525163604578211 | 91.96637419811977 | 0.07626100000000001 | 5.503849040341265 | 88.98268089085322 | 0.081261 | 9.153547304849326
FNMA | 6.625 | 2009-09-15 00:00:00 | 103.5027087617947 | 0.06121099999999999 | 9.579142633681386 | 100.0131808724495 | 0.06621099999999999 | 2.274138439609487 | 98.32349965998853 | 0.068711 | 1.26896777444108 | 96.66940340991857 | 0.071211 | 1.047189359195727 | 95.05006593875979 | 0.073711 | 2.024331848929251 | 93.46468156556442 | 0.076211 | 3.386756079771203 | 90.39264869297986 | 0.08121099999999999 | 5.89904089754782
FHLMC | 6.625 | 2009-09-15 00:00:00 | 103.4670691956387 | 0.061261 | 8.43867651669052 | 99.97903307091036 | 0.066261 | 1.181408790357636 | 98.29007178955277 | 0.068761 | 0.1992759204968024 | 96.6366787424437 | 0.071261 | 0 | 95.01802816151684 | 0.07376100000000001 | 0.9991229771549115 | 93.43331477034528 | 0.07626100000000001 | 2.383018632758649 | 90.362577702588 | 0.081261 | 4.936769205008204
FNMA | 7.25 | 2010-01-15 00:00:00 | 108.2293804804754 | 0.06101099999999999 | 16.74703360496642 | 104.5428846797385 | 0.06601099999999999 | 7.692189695699199 | 102.7591636749616 | 0.06851099999999999 | 5.992910414026483 | 101.0138665273417 | 0.07101099999999999 | 5.152365418807221 | 99.30607781655871 | 0.07351099999999999 | 5.60251041105721 | 97.63490545105314 | 0.076011 | 6.492567538062758 | 94.39895428485622 | 0.08101099999999999 | 8.158041889922515
[NAME] TBA* | 7 | 2010-03-15 00:00:00 | 106.4755197641886 | 0.06106099999999998 | 15.96546132123876 | 102.7816502985359 | 0.06606099999999998 | 4.925842968895722 | 100.99536931457 | 0.06856099999999998 | 2.255410624413344 | 99.24821901386227 | 0.07106099999999999 | 0.4722854078063392 | 97.53925220299323 | 0.07356099999999999 | 0 | 95.86754619302621 | 0.07606099999999999 | 0 | 92.63234434844132 | 0.08106099999999998 | 0
FNMA TBA* | 7 | 2010-04-15 00:00:00 | 106.593330025607 | 0.06096099999999999 | 19.73538968662797 | 102.8725615116252 | 0.06596099999999999 | 7.83500178775239 | 101.0737087922336 | 0.068461 | 4.762273909648684 | 99.31454354219926 | 0.070961 | 2.594670314590076 | 97.59409818050696 | 0.073461 | 1.755071280439552 | 95.91143033449652 | 0.075961 | 1.40429252704962 | 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.