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<scrubFlag>N</scrubFlag> <notionalMarketValueAdjustmentBase>879.213</notionalMarketValueAdjustmentBase>
<sourceInternalAssetId>TSTR821A</sourceInternalAssetId> <notionalMarketValueAdjustmentLocal>564.897</notionalMarketValueAdjustmentLocal>
<statBookValue>222.564</statBookValue> <statUnitBookValue>288<dividendYieldFy>842.748</statUnitBookValue>695</dividendYieldFy>
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<stateCostValue>700.108</stateCostValue> <histDpsGrowth5yr>534.629</histDpsGrowth5yr>
<swapAccrMethod>I</swapAccrMethod> <histEspGrowth5yr>239.264</histEspGrowth5yr>
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<taxUnitBookValue>318.006</taxUnitBookValue> <priceToBookFy0>230.967</priceToBookFy0>
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<uniqueAssetFlag>N</uniqueAssetFlag> <priceToEarningsFy1>108.09</priceToEarningsFy1>
<positionId>379144</positionId> <priceToEarningsFy2>288.266</priceToEarningsFy2>
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<processingIlbLtdLocal>730.889</processingIlbLtdLocal> <absModel>ABS_MODEL</absModel>
<spdDeltaInst>443361</spdDeltaInst> <absSpeed>ABS_SPEED</absSpeed>
<urglVariationMargin>265.049</urglVariationMargin> <urglVariationMarginLocal>703<accruedFactorBase>629.151<387</urglVariationMarginLocal>accruedFactorBase>
<variationMargin>934.495</variationMargin> <accruedFactorLocal>300.008</accruedFactorLocal>
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<openLotDeleteSwitch>Y</openLotDeleteSwitch> <analytics><cpr12m>360.277</cpr12m>
<currentBenchmark>CURRENT_BENCHMARK</currentBenchmark><cpr1m>435.186</cpr1m>
<priceSource>PRICE_SOURCE</priceSource><cpr3m>267.731</cpr3m>
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<rikDate>2015-01-26</rikDate><cprLife>138.338</cprLife>
<riskSource>RISK_SOURCE</riskSource><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>
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<dividendYieldFy>842<effectiveDuration>409.695<066</dividendYieldFy>effectiveDuration>
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<estEpsGrowthFy2>423.105</estEpsGrowthFy2><factorEffectiveDate>2015-01-26</factorEffectiveDate>
<histDpsGrowth5yr>534<impliedVolatility>948.629<142</histDpsGrowth5yr>impliedVolatility>
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<marketCapMmBase>349<modelOad>483.33<784</marketCapMmBase>modelOad>
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<pctOfEquity>815<mortgageBasisDuration>396.711<745</pctOfEquity>mortgageBasisDuration>
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<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>
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<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>
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<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>
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<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>
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<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>
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<kprd7yr>804.387</kprd7yr>
<krbc10yr>976.437</krbc10yr>
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<krbc2yr>319.95</krbc2yr>
<krbc2yrBy10yr>566.738</krbc2yrBy10yr>
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<krbc5yrBy10yr>898.893</krbc5yrBy10yr>
<krbc5yrBy30yr>435.943</krbc5yrBy30yr>
<krd10yr>568.788</krd10yr>
<krd15yr>406.354</krd15yr>
<krd1yr>805.735</krd1yr>
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<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> | 