t1c1zcx t1c2zcx t1c3zcx t1c4zcx  
  FNMA t1m1zcx t1c1m1zvx t1c2m1zvx t1c3m1zvx t1c4m1zvx  
  t1m2zcx t1c1m2zvx t1c2m2zvx t1c3m2zvx t1c4m2zvx  
  t1m3zcx t1c1m3zvx t1c2m3zvx t1c3m3zvx t1c4m3zvx  
  FHLMC t2m1zcx t2c1m1zvx t2c2m1zvx t2c3m1zvx t2c4m1zvx  
  t2m2zcx t2c1m2zvx t2c2m2zvx t2c3m2zvx t2c4m2zvx  
  t2m3zcx t2c1m3zvx t2c2m3zvx t2c3m3zvx t2c4m3zvx  
  GNMA t3m1zcx t3c1m1zvx t3c2m1zvx t3c3m1zvx t3c4m1zvx  
  t3m2zcx t3c1m2zvx t3c2m2zvx t3c3m2zvx t3c4m2zvx  
  t3m3zcx t3c1m3zvx t3c2m3zvx t3c3m3zvx t3c4m3zvx  
Transfer Interest Rate Risk on Conforming Mortgages        
Transfer Interest Rate Risk on Jumbo Mortgages        
Transfer Interest Rate Risk on Non-QM Mortgages        
  Type DEV-XM Non Conforming   Mortgage Coupon 3.13%  
  Coupon 4.55%   Swap Cost 2.35%  
  Original Maturity 30Y    
  Delivery Date OCT 14   Net Spread 100bp  
  Swap Coupon 2.50%        
  Eff Swap Rate 2.25%   Basel 3 Risk Weight  
  Swap Term        
  Pay or Receive   Return On Equity 15.25%  
  Enter Up Front Fee(%) 0.0%   (35% Tax Rate, 10.5% Tier Capital,
10bp DEV-XM annual fee)
  Enter Swap Notional Amount $10MM        
        To Achieve Risk Adjusted Mortgage  
  EXECUTE ORDER      Return on Equity of: Coupon  
  PAY FIXED 10Y 2.50%     5% 100  
  Notional: $355 MM     10% 200  
  Prem/Disc: 2.5%     15% 300  
        20% 400  
        Price Risk At Swap Maturity  
in Rates
Mark to Market

Original Maturity30Y
Delivery DatexDelDate
Set Price -
Set Par Amount -