BofA Basis Report - 20111220

8/3/2019 BofA Basis Report - 20111220

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as s eport orBasis Report for USH2Basis Report for USH2as s eport or Close: 12/20/11Close: 12/20/11Close: 12/20/11Close: 12/20/11Settle: 12/21/11Settle: 12/21/11Settle: 12/21/11Settle: 12/21/11

First Delivery: 03/01/12 Futures Price: 144-03 DV01: 165.6 Days to Deliv: 101 Fut Price Vol: 16.15%

Last Delivery: 03/30/12 Model Price: 144-00 Rich/(Cheap) 32nds: 2.9 Switch Opt (32nds): 2.2 CTD Yld Vol: 62.7%

Model Delivery: 03/30/12 CTD BP Vol: 151.6

FwdFwdFwdFwd Conv.Conv.Conv.Conv. Conv.Conv.Conv.Conv. FwdFwdFwdFwd GrossGrossGrossGross NetNetNetNet ModelModelModelModel Diff toDiff toDiff toDiff to ImpliedImpliedImpliedImplied Fwd BPFwd BPFwd BPFwd BP

CpnCpnCpnCpn MatMatMatMat PricePricePricePrice YieldYieldYieldYield RepoRepoRepoRepo Fwd PxFwd PxFwd PxFwd Px Fwd YldFwd YldFwd YldFwd Yld ASWASWASWASW FactorFactorFactorFactor Fwd PxFwd PxFwd PxFwd Px DV01/CFDV01/CFDV01/CFDV01/CF BasisBasisBasisBasis CarryCarryCarryCarry BasisBasisBasisBasis BasisBasisBasisBasis ModelModelModelModel Imp. RPImp. RPImp. RPImp. RP BetaBetaBetaBeta X-OverX-OverX-OverX-Over Pct CTDPct CTDPct CTDPct CTD

6.375 08/15/27 151-031 2.430 0.11 149-127 2.489 2.6 1.0370 144-022 157.7 53.5 54.2 (0.7) 2.3 3.0 0.16 0.979 0.0 96.2%

6.125 11/15/27 148-041 2.451 0.11 146-156 2.510 1.3 1.0125 144-217 161.3 71.5 52.4 19.1 22.1 3.0 (1.34) 0.974 3.8 0.0%

5.500 08/15/28 140-205 2.500 0.11 139-06 2.556 -1.3 0.9485 146-237 172.5 127.1 46.7 80.5 83.3 2.8 (6.29) 0.964 15.7 0.0%

5.250 11/15/28 137-121 2.520 0.11 135-313 2.576 -2.7 0.9221 147-15 176.7 144.4 44.8 99.5 102.3 2.7 (8.01) 0.964 19.5 0.0%5.250 02/15/29 137-205 2.531 0.15 136-08+ 2.585 -3.0 0.9213 147-29 179.1 156.5 44.0 112.4 115.1 2.7 (8.99) 0.964 21.8 0.0%

6.125 08/15/29 150-305 2.528 0.15 149-111 2.583 -1.8 1.0132 147-127 177.4 158.8 51.5 107.3 110.2 3.0 (7.80) 0.967 19.0 0.0%

6.250 05/15/30 154-015 2.551 0.15 152-126 2.605 -2.7 1.0273 148-111 183.3 192.8 52.9 139.9 142.9 3.0 (10.02) 0.972 23.8 0.0%

5.375 02/15/31 141-286 2.587 0.15 140-155 2.638 -4.8 0.9301 151-01+ 197.4 252.1 45.1 207.0 209.7 2.7 (16.18) 0.978 36.4 0.0%

4.500 02/15/36 130-01 2.784 0.15 128-273 2.829 -18.2 0.8113 158-26+ 251.0 420.1 37.6 382.5 384.9 2.4 (32.80) 1.002 62.6 0.0%

4.750 02/15/37 134-316 2.802 0.15 133-24 2.847 -19.1 0.8398 159-08+ 255.8 447.4 39.7 407.7 410.2 2.5 (33.67) 1.000 63.4 3.8%

Source: BofA Merrill Lynch Global Research


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as s eport orBasis Report for FVH2Basis Report for FVH2as s eport or Close: 12/20/11Close: 12/20/11Close: 12/20/11Close: 12/20/11Settle: 12/21/11Settle: 12/21/11Settle: 12/21/11Settle: 12/21/11






1.750 05/31/16 104-16 0.719 0.11 104-01 0.763 42.0 0.8453 123-022 49.4 14.2 15.0 (0.8) 0.0 0.8 0.20 0.949 0.0 100.0%

1.500 06/30/16 103-09+ 0.758 0.10 102-285 0.804 39.8 0.8333 123-153 50.7 22.9 12.9 10.1 10.9 0.8 (0.94) 0.954 8.1 0.0%

1.500 07/31/16 103-08+ 0.778 0.11 102-276 0.823 39.7 0.8305 123-275 51.9 33.0 12.7 20.2 21.1 0.8 (1.99) 0.957 15.3 0.0%

1.000 08/31/16 100-292 0.801 0.08 100-206 0.849 39.3 0.8085 124-155 53.6 44.4 8.4 35.9 36.7 0.8 (3.73) 0.964 26.7 0.0%1.000 09/30/16 100-273 0.817 0.15 100-195 0.861 40.2 0.8053 124-30 54.8 55.1 7.8 47.3 48.1 0.8 (4.87) 0.967 34.4 0.0%

1.000 10/31/16 100-251 0.835 0.15 100-172 0.879 40.4 0.8022 125-105 55.9 65.1 7.8 57.2 58.0 0.8 (5.93) 0.972 40.9 0.0%

0.875 11/30/16 100-026 0.857 0.15 99-281 0.902 40.1 0.7940 125-253 57.3 75.0 6.6 68.4 69.1 0.8 (7.16) 0.978 48.1 0.0%

0.874* 12/30/16 100-00 0.874 -0.13 99-235 0.931 39.1 0.7908 126-037 58.4 84.8 8.4 76.4 77.2 0.8 (9.08) 0.985 53.0 0.0%

0.908* 01/31/17 100-00 0.908 -0.55 99-236 0.963 38.0 0.7891 126-127 59.5 91.5 8.2 83.3 84.1 0.8 (15.19) 0.993 56.8 0.0%

0.941* 02/28/17 100-00 0.941 -1.47 99-245 0.990 37.3 0.7873 126-231 60.6 98.6 7.4 91.2 92.0 0.8 (30.78) 1.000 61.2 0.0%



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as s eport orBasis Report for TUH2Basis Report for TUH2as s eport or Close: 12/20/11Close: 12/20/11Close: 12/20/11Close: 12/20/11Settle: 12/21/11Settle: 12/21/11Settle: 12/21/11Settle: 12/21/11






1.500 12/31/13 102-16+ 0.255 0.11 102-036 0.279 48.4 0.9263 110-076 19.0 11.6 12.8 (1.2) 0.0 1.2 0.23 0.903 0.0 100.0%

1.000 01/15/14 101-156 0.276 0.15 101-08 0.296 47.3 0.9144 110-232 19.6 20.8 7.8 13.0 14.2 1.2 (1.23) 0.921 24.9 0.0%

1.750 01/31/14 103-026 0.283 0.11 102-196 0.310 46.1 0.9272 110-21+ 19.9 26.7 15.0 11.6 12.8 1.2 (1.10) 0.945 21.7 0.0%

1.250 02/15/14 102-016 0.292 0.15 101-236 0.313 46.2 0.9152 111-053 20.5 36.0 10.0 26.0 27.1 1.2 (2.57) 0.983 45.4 0.0%

1.875 02/28/14 103-141 0.299 0.15 102-303 0.321 45.6 0.9263 111-04+ 20.9 41.2 15.8 25.4 26.6 1.2 (2.48) 0.999 43.2 0.0%

1.250 03/15/14 102-043 0.290 0.15 101-262 0.310 46.8 0.9117 111-217 21.5 51.0 10.1 40.9 42.1 1.2 (4.13) 1.046 67.6 0.0%

1.750 03/31/14 103-10 0.289 0.15 102-273 0.309 47.3 0.9210 111-216 21.9 55.8 14.6 41.2 42.4 1.2 (4.11) 1.085 66.2 0.0%

0.279* 12/30/13 100-00 0.279 0.17 99-311 0.295 46.9 0.9063 110-097 19.1 1.7 0.9 0.8 2.0 1.2 0.08 0.902 3.5 0.0%

0.297* 01/31/14 100-00 0.297 0.16 99-312 0.309 46.2 0.9024 110-252 20.1 15.4 0.7 14.7 15.9 1.2 (2.42) 0.946 27.4 0.0%

0.314* 02/28/14 100-00 0.314 0.19 99-315 0.320 45.8 0.8985 111-091 21.1 29.2 0.4 28.8 30.0 1.2 (9.08) 1.000 49.7 0.0%



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BofA Basis Report - 20111220

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