1. Yield Spread Matrix 7/10/2012
3.000%
10 yr G.O
10 yr "A"
2.500%
10 yr DUS
20 yr 3.00% 10 NC 1 YR B
2.000% 20 yr 3.50%
7 yr "A"
Call Protected/ Stripdn Cpn
20 yr Seq 10X1 7 yr DUS
7 NC 1 YR B
1.500%
5 yr "A"
10 yr 3.00% 7 yr Bullet
7x1
15 yr 3.50% 5 yr DUS
1.000% 5 NC 1 YR B
5x1
5 yr Bullet
3 yr "A"
0.500% 3 NC 2 YR B
2 yr Bullet
0.000%
2 3 4 5 6 7 8 9 10
UST Swap (Years)
Agency Bullets MBS Corporates (Industrials "A")
Spread Spread Spread
Structure Mty Yield to UST Structure Avg. Life Yield to UST Structure Mty Yield to UST
2 yr Bullet 2.0 0.35% 0.08% 10 yr 3.00% 3.5 1.15% 0.72% 3 yr "A" 3.0 0.93% 0.58%
3 yr Bullet 3.0 0.50% 0.15% 15 yr 3.00 % 3.6 1.36% 0.92% 5 yr "A" 5.0 1.45% 0.82%
5 yr Bullet 5.0 0.87% 0.24% 15 yr 3.50% 2.8 1.08% 0.75% 7 yr "A" 7.0 1.95% 0.97%
7 yr Bullet 7.0 1.30% 0.31% 20 yr 3.00% 5.1 1.87% 1.23% 10 yr "A" 10.0 2.62% 1.10%
20 yr 3.50% 4.6 1.85% 1.27%
Agency (Bermudan Calls) Hybrid ARMS* DUS
Spread Spread Spread
Structure Mty Yield to UST Structure Avg. Life Yield to UST Structure Avg. Life Yield to UST
3 NC 2 YR B 3.0 0.50% 0.14% 5x1 2.35% 3.2 0.96% 0.58% 5 yr DUS 4.7 1.12% 0.53%
5 NC 1 YR B 5.0 1.02% 0.39% 7x1 2.45% 3.9 1.18% 0.70% 7 yr DUS 6.5 1.68% 0.80%
7 NC 1 YR B 7.0 1.59% 0.60% 10x1 3.02% 5.0 1.80% 1.17% 10 yr DUS 9.0 2.32% 0.98%
10 NC 1 YR B 10.0 2.23% 0.71%
Tax-Free Municipals AAA (G.O)* CMO Brokered CD's
Spread Spread Spread
Structure Mty Yield to UST Structure Avg. Life Yield to UST Structure Mty Yield to UST
5 yr G.O 5.0 1.17% 0.54% 15 yr Seq 3.00% 3.0 1.46% 1.11% 2 yr CD 2.0 0.90% 0.63%
Call Protected/
10 yr G.O 10.0 2.77% 1.25% Stripdn Cpn 2.00% 3.5 1.68% 1.25% 3 yr CD 3.0 1.10% 0.74%
15 yr G.O 15.0 3.69% 1.90% 20 yr Seq 3.50% 2.9 1.52% 1.18% 5 yr CD 5.0 1.80% 1.17%
20 yr G.O 20.0 4.25% 2.17% 7 yr CD 7.0 2.15% 1.16%
* Taxable equivalent yields displayed for Municipals. No TEFRA disallowance assumed. 35% tax bracket. Hybrid ARM yields use a 15 CPB pricing speed assumption.
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