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</header>
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<pricingSpread>787.455</pricingSpread> <tipsPtdBase>112.258</tipsPtdBase>
<tipsPtdLocal>564.364</tipsPtdLocal>
<rikDate>2015-01-26</rikDate><taxBookValue>552.615</taxBookValue>
<taxCostValue>566.381</taxCostValue>
<riskSource>RISK_SOURCE</riskSource> <taxUnitBookValue>318.006</taxUnitBookValue>
<taxUnitCost>488.53</taxUnitCost>
<tradeFxRate>421.51</tradeFxRate>
<undPrice>963.156</undPrice>
<uniqueAssetFlag>N</uniqueAssetFlag>
<positionId>379144</positionId>
<positionDetailId>527154</positionDetailId>
<adjustedPrice>955.709</adjustedPrice>
<processingIlbLtdBase>787.355</processingIlbLtdBase>
<processingIlbLtdLocal>730.889</processingIlbLtdLocal>
<spdDeltaInst>443361</spdDeltaInst>
<urglVariationMargin>265.049</urglVariationMargin>
<urglVariationMarginLocal>703.151</urglVariationMarginLocal>
<variationMargin>934.495</variationMargin>
<variationMarginLocal>415.317</variationMarginLocal>
<openLotDeleteSwitch>Y</openLotDeleteSwitch>
<analytics>
<currentBenchmark>CURRENT_BENCHMARK</currentBenchmark>
<priceSource>PRICE_SOURCE</priceSource>
<pricingSpread>787.455</pricingSpread>
<rikDate>2015-01-26</rikDate>
<riskSource>RISK_SOURCE</riskSource>
<settleFlag>N</settleFlag>
<spreadToPrice>533.484</spreadToPrice>
<marketPrice>537.881</marketPrice>
<debtToCapital>890.17</debtToCapital>
<debtToEquity>945.421</debtToEquity>
<liquidityClassification>LIQUIDITY_CLASSIFICATION</liquidityClassification>
<liquidityScore>478.893</liquidityScore>
<rarQuantity>427.772</rarQuantity>
<daysToSell>145.489</daysToSell>
<averageDailyVolume>579.763</averageDailyVolume>
<statBookYield>563.487</statBookYield>
<adjustedDaysToSell>524.552</adjustedDaysToSell>
<daysToCash>122.343</daysToCash>
<adjustedDaysToCash>224.489</adjustedDaysToCash>
<reasonableTradeSize>879.932</reasonableTradeSize>
<yield3Year>345.675</yield3Year>
<oasSpreadDuration>123.456</oasSpreadDuration>
<oasLiborSpreadDuration>789.012</oasLiborSpreadDuration>
<spreadOffWal>345.678</spreadOffWal>
<effectiveYield>901.234</effectiveYield>
<worstDate>2019-09-11</worstDate>
<moneyMktAct360Yield>567.891</moneyMktAct360Yield>
<vega>234.567</vega>
<ytw>890.123</ytw>
<riskPurpose>RISK_PURPOSE</riskPurpose>
<parentPrice>654.321</parentPrice>
<notionalMarketValueAdjustmentBase>879.213</notionalMarketValueAdjustmentBase>
<notionalMarketValueAdjustmentLocal>564.897</notionalMarketValueAdjustmentLocal>
<dividendYieldFy>842.695</dividendYieldFy>
<estEpsGrowthFy1>504.245</estEpsGrowthFy1>
<estEpsGrowthFy2>423.105</estEpsGrowthFy2>
<histDpsGrowth5yr>534.629</histDpsGrowth5yr>
<histEspGrowth5yr>239.264</histEspGrowth5yr>
<marketCapMmBase>349.33</marketCapMmBase>
<marketCapMmLocal>912.959</marketCapMmLocal>
<meanEstLongTermGrowth>605.845</meanEstLongTermGrowth>
<pctOfEquity>815.711</pctOfEquity>
<priceToBookFy0>230.967</priceToBookFy0>
<priceToCashFlowFy0>908.342</priceToCashFlowFy0>
<priceToEarningsFy0>151.188</priceToEarningsFy0>
<priceToEarningsFy1>108.09</priceToEarningsFy1>
<priceToEarningsFy2>288.266</priceToEarningsFy2>
<priceToEarningsNtm>344.298</priceToEarningsNtm>
<returnOnEquity1yr>223.048</returnOnEquity1yr>
<absModel>ABS_MODEL</absModel>
<absSpeed>ABS_SPEED</absSpeed>
<accruedFactorBase>629.387</accruedFactorBase>
<accruedFactorLocal>300.008</accruedFactorLocal>
<alternativeOas>824.369</alternativeOas>
<cpr12m>360.277</cpr12m>
<cpr1m>435.186</cpr1m>
<cpr3m>267.731</cpr3m>
<cpr6m>525.327</cpr6m>
<cprLife>138.338</cprLife>
<cprWalEquivalent>116.193</cprWalEquivalent>
<settleFlag>N<<currentFactor>840.644</settleFlag>currentFactor>
<spreadToPrice>533<durationMultiplier>739.484<759</spreadToPrice>durationMultiplier>
<marketPrice>537<dv01DollarsBase>463.881<643</marketPrice>dv01DollarsBase>
<debtToCapital>890<dv01DollarsLocal>292.17<492</debtToCapital>dv01DollarsLocal>
<debtToEquity>945<effectiveConvexity>543.421<896</debtToEquity>effectiveConvexity>
<dividendYieldFy>842<effectiveDuration>409.695<066</dividendYieldFy>effectiveDuration>
<estEpsGrowthFy1>504<expectedInflation>135.245<189</estEpsGrowthFy1>expectedInflation>
<estEpsGrowthFy2>423.105</estEpsGrowthFy2><factorEffectiveDate>2015-01-26</factorEffectiveDate>
<histDpsGrowth5yr>534<impliedVolatility>948.629<142</histDpsGrowth5yr>impliedVolatility>
<histEspGrowth5yr>239<modelOac>732.264<171</histEspGrowth5yr>modelOac>
<marketCapMmBase>349<modelOad>483.33<784</marketCapMmBase>modelOad>
<marketCapMmLocal>912<modifiedDuration>101.959<373</marketCapMmLocal>modifiedDuration>
<meanEstLongTermGrowth>605<modifiedDurationWorst>895.845<467</meanEstLongTermGrowth>modifiedDurationWorst>
<pctOfEquity>815<mortgageBasisDuration>396.711<745</pctOfEquity>mortgageBasisDuration>
<priceToBookFy0>230<oas>607.967<219</priceToBookFy0>oas>
<priceToCashFlowFy0>908<optionDelta>625.342<145</priceToCashFlowFy0>optionDelta>
<priceToEarningsFy0>151<optionGamma>441.188<678</priceToEarningsFy0>optionGamma>
<priceToEarningsFy1>108<optionTheta>515.09<562</priceToEarningsFy1>optionTheta>
<priceToEarningsFy2>288<parCurveDuration>676.266<333</priceToEarningsFy2>parCurveDuration>
<priceToEarningsNtm>344<prepatConvexity>363.298<734</priceToEarningsNtm>prepatConvexity>
<returnOnEquity1yr>223<prepayDuration>617.048<794</returnOnEquity1yr>prepayDuration>
<absModel>ABS_MODEL</absModel><psaLife>920.631</psaLife>
<absSpeed>ABS_SPEED</absSpeed><psaWalEquivalent>400.748</psaWalEquivalent>
<accruedFactorBase>629<realYield>247.387<182</accruedFactorBase>realYield>
<accruedFactorLocal>300.008</accruedFactorLocal><riskParameterDate>2015-01-26</riskParameterDate>
<alternativeOas>824.369</alternativeOas><riskParameterSource>RISK_PARAMETER_SOURCE</riskParameterSource>
<cpr12m>360<spreadDuration>134.277<606</cpr12m>spreadDuration>
<cpr1m>435<staticWal>225.186<118</cpr1m>staticWal>
<cpr3m>267<staticYield>507.731<46</cpr3m>staticYield>
<cpr6m>525.327</cpr6m><udfVolatilityStartDate>2015-01-26</udfVolatilityStartDate>
<cprLife>138<userDefinedVolatility>469.338<792</cprLife>userDefinedVolatility>
<cprWalEquivalent>116<volatility>306.193<816</cprWalEquivalent>volatility>
<currentFactor>840<volatilityConvexity>932.644<787</currentFactor>volatilityConvexity>
<durationMultiplier>739<volatilityDuration>422.759<096</durationMultiplier>volatilityDuration>
<dv01DollarsBase>463<walToWorst>323.643<009</dv01DollarsBase>walToWorst>
<dv01DollarsLocal>292<yieldToMaturity>687.492<398</dv01DollarsLocal>yieldToMaturity>
<effectiveConvexity>543.896</effectiveConvexity><zvMaturityDate>2015-01-26</zvMaturityDate>
<effectiveDuration>409.066</effectiveDuration><zvPrinBeginDate>2015-01-26</zvPrinBeginDate>
<expectedInflation>135<zvSpread>975.189<822</expectedInflation>zvSpread>
<factorEffectiveDate>2015-01-26</factorEffectiveDate><longnormalVolatilityDuration>686.653</longnormalVolatilityDuration>
<impliedVolatility>948<dv100Base>787.142<132</impliedVolatility>dv100Base>
<modelOac>732<dv100Local>114.171<465</modelOac>dv100Local>
<modelOad>483<sdv01Base>442.784<809</modelOad>sdv01Base>
<modifiedDuration>101<sdv01Local>476.373<189</modifiedDuration>sdv01Local>
<modifiedDurationWorst>895<stateScore>673.467<783</modifiedDurationWorst>stateScore>
<mortgageBasisDuration>396<priceScore>489.745<842</mortgageBasisDuration>priceScore>
<oas>607<issueSizeScore>357.219<842</oas>issueSizeScore>
<optionDelta>625<sectorScore>845.145<481</optionDelta>sectorScore>
<optionGamma>441<subSectorScore>347.678<893</optionGamma>subSectorScore>
<optionTheta>515<indexEligibilityScore>367.562<682</optionTheta>indexEligibilityScore>
<parCurveDuration>676<runOffScore>145.333<679</parCurveDuration>runOffScore>
<prepatConvexity>363<highLowPriceScore>356.734<893</prepatConvexity>highLowPriceScore>
<prepayDuration>617<fedHoldingPercentScore>145.794<578</prepayDuration>fedHoldingPercentScore>
<psaLife>920<topParentIssuerScore>356.631<892</psaLife>topParentIssuerScore>
<psaWalEquivalent>400<ratingScore>936.748<692</psaWalEquivalent>ratingScore>
<realYield>247<capitalStructureScore>316.182<783</realYield>capitalStructureScore>
<riskParameterDate>2015-01-26</riskParameterDate><daysToMaturityScore>365.893</daysToMaturityScore>
<riskParameterSource>RISK_PARAMETER_SOURCE</riskParameterSource><issueSizeScoreTax>784.809</issueSizeScoreTax>
<spreadDuration>134<fixedTradingCost>306.606<773</spreadDuration>fixedTradingCost>
<staticWal>225<miTradingCost>770.118<752</staticWal>miTradingCost>
<staticYield>507<totalTradingCost>254.46<587</staticYield>totalTradingCost>
<udfVolatilityStartDate>2015-01-26</udfVolatilityStartDate><adjustedTradingCost>779.421</adjustedTradingCost>
<userDefinedVolatility>469<dmTo3yrs>779.792<421</userDefinedVolatility>dmTo3yrs>
<volatility>306<dmToMaturity>779.816<421</volatility>dmToMaturity>
<volatilityConvexity>932<excessSpread>741.787<852</volatilityConvexity>excessSpread>
<volatilityDuration>422<interpolatedSpread>258.096<963</volatilityDuration>interpolatedSpread>
<walToWorst>323<inflationFactor>153.009<764</walToWorst>inflationFactor>
<yieldToMaturity>687<parentOptionDelta>684.398<258</yieldToMaturity>parentOptionDelta>
<zvMaturityDate>2015-01-26</zvMaturityDate><ytc>156.324</ytc>
<zvPrinBeginDate>2015-01-26</zvPrinBeginDate><ytfc>764.124</ytfc>
<zvSpread>975<zeroVolatilitySpread>764.822<214</zvSpread>zeroVolatilitySpread>
<longnormalVolatilityDuration>686<zeroVolatilityMaturityYears>632.653<478</longnormalVolatilityDuration>zeroVolatilityMaturityYears>
<kprd10yr>793.856</kprd10yr>
<kprd15yr>519.719</kprd15yr>
<kprd1yr>909.685</kprd1yr>
<kprd20yr>829.045</kprd20yr>
<kprd25yr>381.828</kprd25yr>
<kprd2yr>555.823</kprd2yr>
<kprd30yr>226.797</kprd30yr>
<kprd3mnth>383.202</kprd3mnth>
<kprd3yr>451.292</kprd3yr>
<kprd5yr>523.542</kprd5yr>
<kprd7yr>804.387</kprd7yr>
<krbc10yr>976.437</krbc10yr>
<krbc10yrBy30yr>779.186</krbc10yrBy30yr>
<krbc2yr>319.95</krbc2yr>
<krbc2yrBy10yr>566.738</krbc2yrBy10yr>
<krbc2yrBy30yr>142.921</krbc2yrBy30yr>
<krbc2yrBy5yr>837.744</krbc2yrBy5yr>
<krbc30yr>487.37</krbc30yr>
<krbc5yr>443.67</krbc5yr>
<krbc5yrBy10yr>898.893</krbc5yrBy10yr>
<krbc5yrBy30yr>435.943</krbc5yrBy30yr>
<krd10yr>568.788</krd10yr>
<krd15yr>406.354</krd15yr>
<krd1yr>805.735</krd1yr>
<krd20yr>689.57</krd20yr>
<krd25yr>253.108</krd25yr>
<krd2yr>141.799</krd2yr>
<krd30yr>912.58</krd30yr>
<krd3mnth>754.472</krd3mnth>
<krd3yr>117.622</krd3yr>
<krd5yr>513.2</krd5yr>
<krd7yr>548.329</krd7yr>
<ktrd10yr>451.307</ktrd10yr>
<ktrd1yr>422.886</ktrd1yr>
<ktrd20yr>291.342</ktrd20yr>
<ktrd2yr>733.136</ktrd2yr>
<ktrd30yr>878.709</ktrd30yr>
<ktrd3yr>332.105</ktrd3yr>
<ktrd5yr>930.304</ktrd5yr>
</analytics>
</warehousePosition>
</warehouseTransaction>
</EagleML> |
...