Mortgage-Backed Securities Trade Date: 02/03/2012 Street Software Technology Inc. Settlement Date: 02/07/2012 Prices in 32nds (212) 922-0500 Delivery Date: - Feb 12 - - Mar 12 - - Apr 12 - May 12 Iss Description Bid Chg Bid Chg Bid Chg Bid --- -------------- ------ --- ------ --- ------ --- ------ 1 GNMA 2.50 30Y 98:19 -23 98:14 -24 98:09 -23 2 GNMA 3.00 30Y 101:25 -19 101:09 -19 100:25 -19 100:09 3 GNMA 3.50 30Y 105:00 -13 104:23 -13 104:14 -13 104:03 4 GNMA 4.00 30Y 107:22 -8 107:14 -8 107:04 -8 106:25 5 GNMA 4.50 30Y 109:03 -4 108:30 -4 108:23 -4 108:15 6 GNMA 5.00 30Y 110:28 -1 110:21 -1 110:12 -1 110:02 7 GNMA 5.50 30Y 111:22 -2 111:16 -2 111:09 -2 111:00 8 GNMA 6.00 30Y 112:17 -7 112:13 -6 112:06 -6 111:30 9 GNMA 6.50 30Y 114:22 -3 114:14 -3 114:06 -3 113:29 10 GNMA 7.00 30Y 112:06 112:01 111:28 11 GNMA 7.50 30Y 108:27 12 GNMA 8.00 30Y 108:16 13 GNMA 8.50 30Y 108:16 14 GNMA 9.00 30Y 108:16 15 GNMA 9.50 30Y 106:27 16 GNMA 10.00 30Y 106:27 17 GNMA 10.50 30Y 106:27 18 GNMA 11.00 30Y 106:27 19 GNMA 11.50 30Y 106:27 20 GNMA 12.00 30Y 106:27 21 GNMA 12.50 30Y 106:27 22 FGPC 2.50 30Y 98:01 -23 97:23 -23 97:13 -23 23 FGPC 3.00 30Y 101:00 -19 100:22 -18 100:10 -19 99:32 24 FGPC 3.50 30Y 103:12 -14 103:02 -14 102:25 -14 102:16 25 FGPC 4.00 30Y 105:06 -8 104:30 -8 104:23 -8 104:14 26 FGPC 4.50 30Y 106:08 -4 106:02 -4 105:29 -4 105:23 27 FGPC 5.00 30Y 107:19 107:14 107:08 107:02 28 FGPC 5.50 30Y 108:14 108:08 108:04 107:29 29 FGPC 6.00 30Y 109:22 109:16 109:10 109:04 30 FGPC 6.50 30Y 111:08 +1 111:02 +1 110:27 +1 110:20 31 FGPC 7.00 30Y 112:09 112:02 111:27 111:20 32 FGPC 7.50 30Y 108:28 33 FGPC 8.00 30Y 108:17 34 FGPC 8.50 30Y 108:17 35 FGPC 9.00 30Y 108:17 36 FGPC 9.50 30Y 106:28 37 FGPC 10.00 30Y 106:28 38 FGPC 10.50 30Y 106:28 39 FGPC 11.00 30Y 106:28 40 FGPC 11.50 30Y 106:28 41 FGPC 12.00 30Y 106:28 42 FGPC 12.50 30Y 106:28 43 FNMA 2.50 30Y 98:01 -23 97:23 -23 97:13 -23 97:03 44 FNMA 3.00 30Y 101:12 -18 101:01 -18 100:22 -18 100:08 45 FNMA 3.50 30Y 103:20 -14 103:11 -14 103:02 -14 102:24 46 FNMA 4.00 30Y 105:16 -8 105:08 -8 105:00 -8 104:24 47 FNMA 4.50 30Y 106:24 -5 106:18 -4 106:12 -4 106:05 48 FNMA 5.00 30Y 108:00 -1 107:27 -1 107:22 -1 107:16 49 FNMA 5.50 30Y 108:28 +1 108:21 108:14 -1 108:08 50 FNMA 6.00 30Y 109:29 109:23 109:16 109:10 51 FNMA 6.50 30Y 111:28 +1 111:17 +1 111:09 +1 111:06 52 FNMA 7.00 30Y 112:06 111:28 111:18 111:08 53 FNMA 7.50 30Y 108:27 54 FNMA 8.00 30Y 108:16 55 FNMA 8.50 30Y 108:16 56 FNMA 9.00 30Y 108:16 57 FNMA 9.50 30Y 106:27 58 FNMA 10.00 30Y 106:27 59 FNMA 10.50 30Y 106:27 60 FNMA 11.00 30Y 106:27 61 FNMA 11.50 30Y 106:27 62 FNMA 12.00 30Y 106:27 63 FNMA 12.50 30Y 106:27 64 GNJO 2.00 15Y 99:15 -24 99:05 -24 98:27 -24 65 GNJO 2.50 15Y 103:16 -12 103:04 -12 102:22 -12 66 GNJO 3.00 15Y 106:00 -9 105:24 -8 105:14 -9 105:04 67 GNJO 3.50 15Y 107:04 -4 106:30 -4 106:23 -4 106:16 68 GNJO 4.00 15Y 107:28 -1 107:25 -1 107:20 -1 107:16 69 GNJO 4.50 15Y 108:08 108:05 107:30 107:24 70 GNJO 5.00 15Y 108:24 -1 108:20 -1 108:16 -1 108:12 71 GNJO 5.50 15Y 108:31 -3 108:27 -3 108:23 -3 108:19 72 GNJO 6.00 15Y 107:30 +5 107:24 +5 107:18 +5 107:12 73 GNJO 6.50 15Y 107:28 74 GNJO 7.00 15Y 107:10 75 GNJO 7.50 15Y 106:05 76 GNJO 8.00 15Y 108:21 77 GNJO 8.50 15Y 108:15 78 FGPC 2.00 15Y 99:15 -24 99:03 -24 98:25 -24 98:15 79 FGPC 2.50 15Y 102:10 -12 101:28 -12 101:14 -12 100:31 80 FGPC 3.00 15Y 103:29 -9 103:21 -9 103:12 -8 103:02 81 FGPC 3.50 15Y 104:28 -4 104:21 -4 104:16 -4 104:10 82 FGPC 4.00 15Y 105:24 105:20 105:14 105:10 83 FGPC 4.50 15Y 106:13 106:10 106:07 106:04 84 FGPC 5.00 15Y 107:08 -1 107:06 -1 107:02 -1 106:31 85 FGPC 5.50 15Y 107:28 -2 107:24 -2 107:20 -2 107:16 86 FGPC 6.00 15Y 107:04 +5 107:00 +5 106:28 +5 106:24 87 FGPC 6.50 15Y 109:14 88 FGPC 7.00 15Y 108:29 89 FGPC 7.50 15Y 108:18 90 FGPC 8.00 15Y 108:18 91 FGPC 8.50 15Y 108:18 92 FNMA 2.00 15Y 99:15 -24 99:01 -24 98:19 -24 93 FNMA 2.50 15Y 102:16 -12 102:02 -12 101:19 -13 101:05 94 FNMA 3.00 15Y 104:02 -8 103:25 -9 103:16 -9 103:06 95 FNMA 3.50 15Y 105:04 -4 104:30 -4 104:24 -4 104:18 96 FNMA 4.00 15Y 105:30 -1 105:27 -1 105:22 -1 105:18 97 FNMA 4.50 15Y 106:30 106:26 106:20 106:13 98 FNMA 5.00 15Y 107:22 -1 107:19 -1 107:15 -1 107:11 99 FNMA 5.50 15Y 108:21 -3 108:17 -3 108:13 -3 108:09 100 FNMA 6.00 15Y 107:20 +5 107:14 +5 107:08 +5 107:02 101 FNMA 6.50 15Y 109:22 109:16 109:10 102 FNMA 7.00 15Y 108:28 103 FNMA 7.50 15Y 108:17 104 FNMA 8.00 15Y 108:17 105 FNMA 8.50 15Y 108:17 106 FMPC 4.00 30Y 105:06 -8 104:30 -8 104:23 -8 104:14 107 FMPC 4.50 30Y 106:08 -4 106:02 -4 105:29 -4 105:23 108 FMPC 5.00 30Y 107:19 107:14 107:08 107:02 109 FMPC 5.50 30Y 108:14 108:08 108:03 107:29 110 FMPC 6.00 30Y 109:21 109:14 109:09 109:02 111 FMPC 6.50 30Y 111:06 +1 110:31 +1 110:24 +1 110:18 112 FMPC 7.00 30Y 111:18 111:12 111:04 110:30 113 FMPC 7.50 30Y 108:20 114 FMPC 8.00 30Y 108:09 115 FMPC 8.50 30Y 108:05 116 FMPC 3.50 15Y 104:24 -4 104:18 -4 104:12 -4 104:06 117 FMPC 4.00 15Y 105:24 105:20 105:14 105:10 118 FMPC 4.50 15Y 106:08 106:05 106:02 105:31 119 FMPC 5.00 15Y 107:08 -1 107:06 -1 107:02 -1 106:31 120 FMPC 5.50 15Y 107:27 -3 107:23 -3 107:19 -3 107:15 121 FMPC 6.00 15Y 107:03 +5 106:31 +5 106:27 +5 106:23 122 FMPC 6.50 15Y 109:00 123 FMPC 7.00 15Y 108:05 124 FMPC 7.50 15Y 107:30 125 FMPC 8.00 15Y 107:30 126 FMPC 8.50 15Y 107:30 127 GNM2 2.50 30Y 98:05 -23 97:19 -23 97:01 -23 128 GNM2 3.00 30Y 101:09 -19 100:25 -19 100:08 -18 99:23 129 GNM2 3.50 30Y 104:26 -13 104:17 -13 104:07 -13 103:28 130 GNM2 4.00 30Y 107:17 -8 107:08 -8 106:30 -8 106:19 131 GNM2 4.50 30Y 108:25 -3 108:20 -3 108:13 -3 108:05 132 GNM2 5.00 30Y 110:12 110:08 110:03 109:28 133 GNM2 5.50 30Y 111:04 -3 111:00 -3 110:27 -3 110:21 134 GNM2 6.00 30Y 111:21 -7 111:19 -7 111:14 -7 111:08 135 GNM2 6.50 30Y 113:06 -3 113:02 -3 112:29 -3 112:23 136 GNM2 7.00 30Y 112:06 112:01 111:28 137 GNM2 7.50 30Y 108:28 138 GNM2 8.00 30Y 108:17 139 GNM2 8.50 30Y 108:17 140 GNM2 9.00 30Y 108:17 141 GNM2 9.50 30Y 106:28 142 GNM2 10.00 30Y 106:28 143 GNM2 10.50 30Y 106:28 144 GNM2 11.00 30Y 106:28 145 GNM2 11.50 30Y 106:28 146 GNM2 12.00 30Y 106:28 147 GNM2 12.50 30Y 106:28 148 GNM2 2.50 15Y 103:16 -12 103:04 -12 102:22 -12 149 GNM2 3.00 15Y 106:00 -9 105:23 -9 105:13 -9 105:04 150 GNM2 3.50 15Y 107:04 -4 106:30 -4 106:23 -4 106:16 151 GNM2 4.00 15Y 107:26 107:23 107:18 107:14 152 GNM2 4.50 15Y 108:06 108:03 107:28 107:22 153 GNM2 5.00 15Y 108:22 -2 108:18 -2 108:14 -2 108:10 154 GNM2 5.50 15Y 108:29 -4 108:25 -4 108:21 -4 108:17 155 GNM2 6.00 15Y 107:26 +4 107:20 +4 107:14 +4 107:08 156 GNM2 6.50 15Y 107:26 157 GNM2 7.00 15Y 107:10 158 GNM2 7.50 15Y 106:05 159 GNM2 8.00 15Y 108:21 160 GNM2 8.50 15Y 108:15 161 FNMA 2.00 10Y 99:15 -24 99:05 -24 98:27 -24 98:17 162 FNMA 2.50 10Y 103:30 -11 103:20 -11 103:10 -11 102:32 163 FNMA 3.00 10Y 104:29 -3 104:20 -4 104:10 -4 104:00 164 FNMA 3.50 10Y 105:21 -3 105:15 -3 105:10 -3 105:04 165 FNMA 4.00 10Y 106:08 -1 106:04 -1 106:01 -1 105:30 166 FNMA 4.50 10Y 107:08 107:04 107:01 106:30 167 FNMA 5.00 10Y 107:22 -1 107:18 -1 107:14 -1 107:10 168 FNMA 5.50 10Y 108:21 -3 108:17 -3 108:13 -3 108:09 169 FNMA 6.00 10Y 107:20 +5 107:16 +5 107:12 +5 107:08 170 FNMA 6.50 10Y 109:17 171 FNMA 7.00 10Y 108:29 172 FNMA 7.50 10Y 108:18 173 FHLM 3.00 10Y 104:29 -3 104:20 -4 104:10 -4 104:00 174 FHLM 3.50 10Y 105:17 -3 105:15 -3 105:06 -3 105:00 175 FHLM 4.00 10Y 106:09 -1 106:06 -1 106:02 -1 105:30 176 FHLM 4.50 10Y 107:08 107:05 107:02 106:31 177 FHLM 5.00 10Y 107:23 -1 107:19 -1 107:15 -1 107:11 178 FHLM 5.50 10Y 108:22 -3 108:18 -2 108:14 -2 108:10 179 FHLM 6.00 10Y 107:21 +5 107:18 +5 107:14 +5 107:10 180 FHLM 6.50 10Y 109:18 181 FHLM 7.00 10Y 108:21 182 FHLM 7.50 10Y 107:29 183 FNCT 2.50 20Y 99:29 -23 99:19 -23 99:09 -23 98:31 184 FNCT 3.00 20Y 102:07 -16 101:29 -16 101:17 -16 101:06 185 FNCT 3.50 20Y 104:19 -12 104:10 -12 104:01 -12 103:23 186 FNCT 4.00 20Y 105:26 -7 105:18 -7 105:10 -7 105:01 187 FNCT 4.50 20Y 106:27 -4 106:21 -4 106:15 -4 106:09 188 FNCT 5.00 20Y 108:00 -1 107:27 -1 107:22 -1 107:15 189 FNCT 5.50 20Y 108:28 +1 108:21 108:14 -1 108:09 190 FNCT 6.00 20Y 109:29 109:23 109:16 109:11 191 FNCT 6.50 20Y 111:28 +1 111:17 +1 111:09 +1 111:06 192 FNCT 7.00 20Y 110:24 193 FNCT 7.50 20Y 108:27 194 FNCT 8.00 20Y 108:16 195 FNCT 8.50 20Y 108:16 196 FHLM 2.50 20Y 98:01 -23 97:23 -23 97:13 -23 97:03 197 FHLM 3.00 20Y 102:00 -16 101:22 -16 101:10 -16 101:00 198 FHLM 3.50 20Y 104:15 -12 104:06 -12 103:29 -12 103:19 199 FHLM 4.00 20Y 105:17 -7 105:10 -7 105:02 -7 104:26 200 FHLM 4.50 20Y 106:20 -4 106:15 -3 106:10 -3 106:02 201 FHLM 5.00 20Y 107:19 107:14 107:08 107:01 202 FHLM 5.50 20Y 108:14 108:08 108:04 107:30 203 FHLM 6.00 20Y 109:22 109:16 109:10 109:04 204 FHLM 6.50 20Y 111:08 +1 111:02 +1 110:27 +1 110:20 205 FHLM 7.00 20Y 112:04 206 FHLM 7.50 20Y 108:29 207 FHLM 8.00 20Y 108:18 208 FHLM 8.50 20Y 108:18