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16-Mar-2012
Orig
Curr
TBA
Apr
Collateral
Section
Tranche
GNR 2010-84 NL
GNR 2011-81 PH
GNR 2010-3 PE
GNR 2012-36 AB
GNR 2011-101 TA
GNR 2011-80 KA
FHR 3943 NC
FNR 2011-35 PA
FHR 3864 MA
FHR 2852 TJ
FHR 3879 NW
FNR 2011-86 AB
FNR 2011-49 NA
FNR 2010-56 MA
FNR 2010-22 MA
FHR 3988 PG
FHR 3841 GA
FHR 4002 DK
FNR 2011-69 CB
FHR 3456 KA
FNR 2010-53 MW
FHR 3242 QC
FNR 2006-117 PD
GNR 2011-52 LV
GNR 2011-68 CD
FHR 3864 AC
FNR 2011-96 NB
GNR 2011-80 PB
GNR 2011-166 LB
GNR 2010-42 PC
FHR 3688 PB
FHR 3943 GY
FNR 2010-90 QL
FNR 2010-47 JB
FHR 3896 PY
FNR 2011-77 PC
FNR 2012-22 CY
FHR 3924 LC
FHR 3924 MC
FNR 2012-22 PY
FNR 2011-96 PY
GNR 2011-114 NC
GNR 2010-163 NC
FHR 3914 CB
FNR 2009-67 LB
FHR 3639 CY
GNR 2011-133 KA
FHR 2848 CZ
GNR 2010-169 JZ
FHR 3864 MB
FNR 2010-123 PM
FNR 2011-40 NB
FNR 2011-71 NB
FNR 2011-86 AC
FNR 2011-96 CB
FHR 3245 MG
LCF (15yr/20yr)
Z (30yr)
LCF (Odd Lots)
10.00
11.38
15.00
99.72
12.96
24.88
50.00
7.44
13.67
18.00
30.00
56.61
15.92
3.00
4.05
5.99
38.00
16.82
38.40
28.00
10.44
10.29
9.60
10.65
19.20
0.23
40.07
10.00
31.17
7.80
21.12
10.10
19.16
12.20
33.28
25.93
12.59
17.58
16.72
7.89
12.77
14.66
21.10
6.63
8.00
7.34
10.00
16.00
3.09
4.78
6.00
1.68
5.28
3.55
4.72
4.12
8.02
10.52
12.73
99.72
11.73
21.98
48.74
7.02
12.34
7.45
26.78
52.50
14.31
1.96
2.44
5.93
29.43
16.68
33.65
2.03
10.44
10.29
9.60
10.65
19.20
0.23
40.07
10.00
31.17
7.80
21.12
10.10
19.16
12.20
33.28
25.93
12.59
17.58
16.72
7.89
12.77
14.66
21.10
6.63
8.00
7.34
10.00
23.06
3.25
4.78
6.00
1.68
5.28
3.55
4.72
4.12
Cpn
3.00
3.00
3.50
3.00
4.00
4.00
4.00
4.00
4.00
5.00
4.00
4.00
4.00
4.50
5.00
2.50
3.50
3.50
3.50
5.00
4.50
5.50
5.50
4.00
4.50
4.00
4.00
4.00
4.00
5.00
4.50
3.50
8.86
5.00
4.00
4.00
3.50
4.00
4.00
3.50
4.00
4.00
4.00
4.00
5.00
4.50
4.00
5.00
4.00
4.00
4.00
4.00
4.00
4.00
4.00
5.50
Type
GII30
GII30
GII30
GII30
GII30
GII30
GOLD30
FNMA30-JUM
GOLD30
GOLD30
GOLD30
FNMA30
FNMA30
FNMA30-JUM
FNMA30
GOLD20
GOLD15
GOLD20
FNMA20
GOLD20
FNMA30
GOLD30
FNMA30
GII30
GNMA30
GOLD30
FNMA30
GII30
GNMA30
GII30
GOLD30-BW
GOLD15
FNMA15
FNMA20
GOLD30
FNMA30
FNMA30
GOLD30
GOLD30
FNMA30
FNMA30
GNMA30
GII30
GOLD30
FNMA30-JUM
GOLD30
GNMA30
GOLD20
GII30-JUM
GOLD30
FNMA30
FNMA30
FNMA30
FNMA30
FNMA30
GOLD30
Net
Band
4.9
4.8
5.3
5.3
6.4
6.9
4.4
4.4
5.0
5.4
5.6
5.6
6.5
5.0
5.6
4.1
3.9
4.0
4.4
5.7
5.2
5.9
5.9
4.5
5.0
4.8
4.9
4.5
5.0
4.9
5.7
4.0
5.1
5.4
4.5
4.5
4.5
4.9
4.9
4.9
5.4
5.0
5.6
4.5
5.4
6.0
5.5
5.4
4.4
5.0
5.4
5.5
5.5
5.6
5.7
5.9
327
338
328
333
313
308
342
343
322
255
258
271
304
325
274
234
160
236
223
186
255
266
267
336
323
319
346
338
322
331
259
167
126
211
320
342
343
348
341
347
346
322
265
320
324
237
241
140
343
322
325
247
243
271
277
277
29
19
29
24
43
46
14
14
32
94
90
81
50
30
78
5
17
3
15
49
93
85
86
21
33
32
12
19
35
26
90
9
48
26
33
15
14
9
16
10
11
34
86
32
33
109
103
94
15
32
26
101
104
81
75
76
ALS
180,139
193,120
162,369
159,241
132,908
108,434
284,457
563,715
176,281
165,665
139,862
174,077
198,057
533,056
172,775
208,647
254,778
248,199
196,273
126,895
154,782
151,095
152,518
196,551
135,433
123,641
253,620
195,048
174,200
180,289
185,299
78,915
126,370
140,020
212,744
259,831
259,848
105,040
256,555
263,203
239,966
190,154
114,081
170,862
520,332
150,507
104,778
87,858
550,205
176,281
93,178
141,209
136,781
174,077
174,039
188,825
FNMA4.5
FNMA5.0
FNMA5.5
FNMA6.0
250
205
220
255
110
300
330
230
180
215
95
145
120
140
135
135
330
210
235
235
230
255
115
160
90
140
120
100
125
110
160
240
200
215
240
190
235
250
240
205
140
255
115
145
180
130
185
310
305
225
195
210
2yr
3yr
5yr
10yr
99-25:2
99-03:5
98-27:0
97-12:0
WAL
106-04:4
107-27:4
108-24:4
109-30:4
2.3
2.6
2.7
2.7
4.1
4.1
5.6
2.8
3.3
0.5
2.7
2.8
3.4
2.0
1.6
3.9
2.2
3.1
2.7
0.3
4.5
3.3
3.4
5.0
5.4
12.1
7.3
6.2
8.2
7.9
3.7
4.0
6.0
5.1
4.9
4.7
7.0
6.3
5.4
1.3
6.1
6.0
4.9
7.2
4.0
6.0
4.6
6.2
6.3
0.7
9.7
7.5
7.7
11.6
12.3
12.1
13.4
9.3
10.4
12.1
8.9
4.4
7.4
10.8
10.3
13.6
10.1
10.9
12.3
10.2
13.8
13.5
8.0
3.2
8.1
7.1
3.4
7.3
11.9
6.8
11.6
11.4
11.0
13.6
8.3
12.7
7.0
13.6
16.7
17.1
18.8
16.9
17.0
18.1
16.7
16.6
17.1
19.9
16.6
14.3
11.9
4.7
19.0
16.1
15.6
13.4
15.0
17.2
18.6
15.9
60
70
87
104
106
106
125
156
142
78
122
105
118
141
63
106
93
125
110
31
122
97
111
76
101
101
108
58
68
99
92
76
72
113
108
114
99
108
108
100
108
87
90
144
117
130
113
148
200
116
111
114
111
110
103
144
PSA
Price
333
333
392
392
387
394
318
383
339
391
391
388
416
477
388
374
377
374
382
388
376
373
368
377
296
200
200
200
200
200
218
377
396
416
200
200
200
200
200
200
200
296
322
355
810
373
316
288
414
200
200
200
200
200
200
200
104-20+
104-24
105-12+
103-21
107-26
107-23
107-03+
105-06
105-31
101-27
105-31
106-13
106-20+
105-10
106-06+
102-07+
104-26+
104-25
104-25
101-06+
109-22+
112-05
111-25
109-28
111-13
105-23
104-31
110-05+
108-25
115-13+
111-10+
104-10
115-13+
113-18
103-09
103-10
96-12
103-28
103-08
96-28+
103-04+
106-18+
106-13
103-03+
109-26
108-32
107-03+
108-29+
99-02
102-26+
104-26+
103-29
103-19
103-05+
102-21+
116-05+
Yield
1.08
1.23
1.38
1.55
1.95
1.94
2.62
2.13
2.07
0.93
1.74
1.58
1.85
1.81
0.94
1.87
1.38
1.82
1.62
0.41
2.27
1.62
1.77
1.90
2.36
3.43
3.47
2.74
2.99
3.38
3.10
2.98
1.72
2.90
3.75
3.71
3.78
3.68
3.75
3.75
3.75
3.43
3.42
3.60
1.81
3.22
2.87
2.15
4.12
3.78
3.46
3.63
3.69
3.75
3.81
3.94
Cusip
38374YLJ0
38376LYC7
38376TMC3
99979AFU5
38377W4X9
38376LRK7
3137AG4Q0
31397SUS1
3137ABDA6
31395GD41
3137ACP37
3136A0P27
31397UJK6
31398RM28
31398MHU3
3137AKX30
3137A8R42
3137ALZJ1
3136A0BE6
31397W7L3
31398R3X1
31397CTM1
31396LC40
38377VFK7
38377VS80
3137ABBL4
3136A1NZ4
38376LSL4
38378A2P5
38377EEL4
3137A0N84
3137AG4G2
31398TXN6
31398PPG8
3137ADD79
3136A0DQ7
3136A4BU2
3137AF7B2
3137AFA44
3136A4BS7
3136A1RA5
38377XJF0
38377RKA2
3137AETS4
31396QTF6
31398WQ80
38377XC26
31395E5H6
38377RN27
3137ABDB4
31398NY24
31397SWS9
3136A0PL5
3136A0L39
3136A1QN8
31397CNE5
Comment
Passthrough
FNR 2011-49 NB
GNR 2011-68 MC
FHR 3637 DJ
FNR 2010-25 ND
1.65
5.00
10.00
3.23
1.65
5.00
4.84
1.61
4.00
4.00
3.50
3.50
FNMA30
GNMA30
GOLD15
FNMA15
6
4.5
4.5
5
6.5
5.0
4.8
5.5
270
230
13.2
14.0
2.1
2.1
17.5
17.0
2.6
2.8
113
92
65
61
200
296
341
369
101-31+
105-31
104-29+
105-01
3.85
3.49
1.04
1.00
31397UHC6
38377VU38
31398WMM3
31398MEC6
16-Mar-2012
Orig
Curr
TBA
Apr
Collateral
Section
Tranche
Floater
FHR 3962 NF
GNR 2011-153 NF
GNR 2011-153 LF
11.00
70.19
17.36
10.81
68.52
16.55
Cpn
Type
0.74 GOLD30
0.54 GNMA30
0.49 GNMA30
Net
Band
5.0
5.0
5.5
348
343
325
ALS
106-04:4
107-27:4
108-24:4
109-30:4
PSA
Price
2yr
3yr
5yr
10yr
99-25:2
99-03:5
98-27:0
97-12:0
WAL
8 247,825
15 89,021
30 90,156 190 250
FNMA4.5
FNMA5.0
FNMA5.5
FNMA6.0
3.9
4.7
4.3
10.5
9.6
7.1
-8
-56
-39
389 99-25
289 99-26
354 99-26
Yield
Cusip
0.80 3137AJKS2
0.58 38378ADW8
0.54 38378AEP2
Comment