| SEP ARM PRICES, YIELDS, BEEMS, AND MODIFIED DURATIONS AT 16:00 08/14/03 | ||||||||||
| [ – TBA 1-YEAR CMT ] | ||||||||||
| CPN | PRICE | CHG | BEY | DUR | WAL | INDEX | BEEM | CHG | CPR | |
| G | 4.50 | 102.06 | +01 | 1.37 | 3.5 | 4.1 | 1.31 | 3.0 | UNC | 20.0 |
| N | 5.00 | 102.28 | +01 | 1.14 | 3.5 | 3.9 | 1.31 | -17.0 | UNC | 21.0 |
| M | 5.50 | 103.01 | +01 | 1.04 | 3.4 | 3.7 | 1.31 | -27.0 | UNC | 22.0 |
| A | 6.00 | 101.25 | +01 | 1.32 | 2.5 | 3.5 | 1.31 | 1.0 | UNC | 23.0 |
| [FNMA TBA COFI] | ||||||||||
| F | ||||||||||
| N | 3.46 | 102.28 | +01 | 2.78 | 4.8 | 4.7 | 2.21 | 57.0 | UNC | 18.0 |
| Source: Mortgage Data | ||||||||||
APR ARM Prices, Yields, BEEMS, and Modified Durations
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