- --------------------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) June 16, 1997
Prudential Securities Secured Financing Corporation
------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-27355 13-3526694
---------------------------- ------------ --------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
One New York Plaza
New York, New York 10292
---------------------------------------- ----------
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code (212) 214-7435
No Change
-------------------------------------------------------------
(Former name or former address, if changed since last report)
================================================================================
<PAGE>
Item 5. Other Events
Pursuant to Rule 424(b) under the Securities Act of 1933, as amended,
Prudential Securities Secured Financing Corporation has filed a Prospectus
Supplement with the Securities and Exchange Commission relating to an offering
of Emergent Home Equity Loan Trust 1997-2, Emergent Home Equity Loan
Pass-Through Certificates, Series 1997-2. In connection with such offering,
Prudential Securities Incorporated, as underwriter, has furnished to certain
prospective investors certain "Computational Materials" within the meanings of
the May 20, 1994 Kidder, Peabody No-Action Letter and the February 17, 1995
Public Securities Association No-Action Letter (the "Related Computational
Materials").
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibit 99.1. Related Computational Materials (as defined in Item 5
above).
<PAGE>
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) of the Securities
Exchange Act of 1934, the registrant has duly caused this Report to be signed on
its behalf by the undersigned thereunto duly authorized.
PRUDENTIAL SECURITIES SECURED FINANCING CORPORATION,
as Depositor and on behalf of Emergent Home Equity
Loan Trust 1997-2
By:/s/ Norman Chaleff
------------------------------------------
Name: Norman Chaleff
Title: Vice President
Date: June 25, 1997
<PAGE>
EXHIBIT INDEX
Exhibit No. Description Page No.
- ----------- ----------- --------
99.1 Related Computational Materials (as 6
defined in Item 5 above).
EXHIBIT 99.1
Financial Strategies 06/17/97 02:23:47 pm Prudential Securities
Group IMPACT CMO/ABS Analytics - Digest Information Incorporated
Deal ID/CUSIP EMC72 Deal Date 06/16/97
Series 1997-2 Delivery Date 06/26/97
Underwriter PSI Dated Date 06/01/97
Issuer EMERGENT MORTGAGE CORPORATION Credit Support 100% FSA WRAP
Collateral 100%HEL (Real) Deal Type HEL REMIC
N/GWAC (Orig) / (10.338/10.838) Pricing Speed HEP 18.00
WAM (Orig) (20.322) Rating AAA/Aaa
Size 121,209,000 Coupon Range 7.75-15.990
Trustee FIRST UNION NATIONAL BANK Modeled Y
View Summary On Page 1 of 4
Class Coupon Mat Amt 000 AvLf Sprd Price Yield Description
- ----- ------ --- ------- ---- ---- ----- ----- ------------------------
A1 6.435 N/A 41,500 1.0 48 100-00 6.256 SEQ
A2 6.745 N/A 32,500 3.0 57 100-00 6.740 SEQ
A3 7.020 N/A 13,000 5.1 75 100-00 7.057 SEQ
A4 7.390 N/A 22,209 10.0 104 100-00 7.462 SEQ
A5 6.980 N/A 12,000 6.8 66 100-00 7.030 NAS
<PAGE>
Financial Strategies 06/12/97 11:35:52 am Prudential Securities
Group IMPACT CMO/ABS Analytics - Price / Yield Tables Incorporated
Deal ID/CUSIP EMC72 Coupon N/A
Class A1 SEQ Accr 0.45104 1st Pmt 07/15/97
Collateral 100%HEL (Real) Factor on / /
N/GWAC (Orig) / (10.338/10.838)
WAM (Orig) (20.322) Mat N/A Settle 06/26/97
CenterPrice 100-00 Inc 4.0 Table Yield Roll@
HEP 18.00 HEP 10.00 HEP 15.00 HEP 18.00 HEP 20.00 HEP 23.00 HEP 28.00
Price
----- --------- --------- --------- --------- --------- --------- ---------
97-20 8.884 8.179 8.635 8.884 9.040 9.263 9.601
97-24 8.746 8.083 8.512 8.746 8.893 9.102 9.420
97-28 8.608 7.988 8.390 8.608 8.746 8.942 9.239
98-00 8.471 7.892 8.267 8.471 8.599 8.782 9.059
98-04 8.334 7.797 8.145 8.334 8.453 8.622 8.879
98-08 8.197 7.703 8.023 8.197 8.307 8.463 8.699
98-12 8.061 7.608 7.901 8.061 8.161 8.304 8.520
98-16 7.925 7.514 7.780 7.925 8.016 8.145 8.342
98-20 7.789 7.420 7.659 7.789 7.871 7.987 8.164
98-24 7.653 7.326 7.538 7.653 7.726 7.829 7.986
98-28 7.518 7.232 7.417 7.518 7.582 7.672 7.809
99-00 7.383 7.138 7.297 7.383 7.438 7.515 7.632
99-04 7.249 7.045 7.177 7.249 7.294 7.358 7.455
99-08 7.115 6.952 7.057 7.115 7.150 7.202 7.279
99-12 6.981 6.859 6.938 6.981 7.007 7.046 7.104
99-16 6.847 6.766 6.818 6.847 6.865 6.890 6.929
99-20 6.713 6.674 6.699 6.713 6.722 6.735 6.754
99-24 6.580 6.581 6.581 6.580 6.580 6.580 6.579
99-28 6.448 6.489 6.462 6.448 6.438 6.425 6.406
100-00 6.315 6.397 6.344 6.315 6.297 6.271 6.232
100-04 6.183 6.306 6.226 6.183 6.156 6.117 6.059
100-08 6.051 6.214 6.108 6.051 6.015 5.964 5.886
100-12 5.919 6.123 5.991 5.919 5.875 5.811 5.714
100-16 5.788 6.031 5.874 5.788 5.734 5.658 5.542
100-20 5.657 5.941 5.757 5.657 5.595 5.505 5.371
100-24 5.526 5.850 5.640 5.526 5.455 5.353 5.200
100-28 5.396 5.759 5.524 5.396 5.316 5.201 5.029
101-00 5.266 5.669 5.408 5.266 5.177 5.050 4.859
101-04 5.136 5.579 5.292 5.136 5.038 4.899 4.689
101-08 5.006 5.489 5.176 5.006 4.900 4.748 4.519
101-12 4.877 5.399 5.061 4.877 4.762 4.598 4.350
101-16 4.748 5.309 4.946 4.748 4.624 4.448 4.181
101-20 4.619 5.220 4.831 4.619 4.487 4.298 4.013
101-24 4.491 5.130 4.716 4.491 4.350 4.149 3.845
101-28 4.363 5.041 4.602 4.363 4.213 4.000 3.678
102-00 4.235 4.952 4.487 4.235 4.076 3.851 3.511
102-04 4.107 4.864 4.373 4.107 3.940 3.703 3.344
102-08 3.980 4.775 4.260 3.980 3.804 3.555 3.178
102-12 3.853 4.687 4.146 3.853 3.669 3.407 3.012
Avg. Life 1.009 1.486 1.137 1.009 0.942 0.861 0.762
Mod. Dur. 0.940 1.355 1.054 0.940 0.881 0.808 0.718
Mac. Dur. 0.970 1.398 1.087 0.970 0.908 0.833 0.740
1st Pmt. 0.053 0.053 0.053 0.053 0.053 0.053 0.053
Last Pmt. 1.969 3.053 2.219 1.969 1.803 1.636 1.386
BP/WAL-Tsy 59 47 57 59 61 64 66
Exercise call option : Optional
Call option code : Earlier of
Fraction of coll. prin. : 0.1000
Yields are to Maturity
Yield Curve: 3M 6M 1Y 2Y 3Y 5Y 10Y 30Y
Settlement 4.97 5.40 5.72 6.15 6.31 6.44 6.55 6.83 06/11/97
<PAGE>
Financial Strategies 06/12/97 11:36:29 am Prudential Securities
Group IMPACT CMO/ABS Analytics - Price / Yield Tables Incorporated
Deal ID/CUSIP EMC72 Coupon N/A
Class A2 SEQ Accr 0.47778 1st Pmt 07/15/97
Collateral 100%HEL (Real) Factor on / /
N/GWAC (Orig) / (10.338/10.838)
WAM (Orig) (20.322) Mat N/A Settle 06/26/97
CenterPrice 100-00 Inc 4.0 Table Yield Roll@
HEP 18.00 HEP 10.00 HEP 15.00 HEP 18.00 HEP 20.00 HEP 23.00 HEP 28.00
Price
----- --------- --------- --------- --------- --------- --------- ---------
97-20 7.803 7.515 7.694 7.803 7.876 7.985 8.166
97-24 7.754 7.483 7.651 7.754 7.822 7.925 8.095
97-28 7.704 7.450 7.608 7.704 7.769 7.865 8.023
98-00 7.655 7.418 7.565 7.655 7.715 7.804 7.952
98-04 7.606 7.386 7.523 7.606 7.661 7.744 7.881
98-08 7.556 7.354 7.480 7.556 7.608 7.684 7.810
98-12 7.507 7.323 7.437 7.507 7.554 7.624 7.740
98-16 7.458 7.291 7.395 7.458 7.501 7.564 7.669
98-20 7.409 7.259 7.352 7.409 7.448 7.504 7.599
98-24 7.360 7.227 7.310 7.360 7.394 7.445 7.528
98-28 7.312 7.195 7.268 7.312 7.341 7.385 7.458
99-00 7.263 7.164 7.225 7.263 7.288 7.326 7.388
99-04 7.214 7.132 7.183 7.214 7.235 7.266 7.318
99-08 7.166 7.101 7.141 7.166 7.182 7.207 7.248
99-12 7.117 7.069 7.099 7.117 7.130 7.148 7.178
99-16 7.069 7.038 7.057 7.069 7.077 7.089 7.108
99-20 7.021 7.006 7.015 7.021 7.024 7.030 7.039
99-24 6.972 6.975 6.973 6.972 6.972 6.971 6.969
99-28 6.924 6.944 6.932 6.924 6.919 6.912 6.900
100-00 6.876 6.912 6.890 6.876 6.867 6.853 6.831
100-04 6.828 6.881 6.848 6.828 6.815 6.795 6.762
100-08 6.780 6.850 6.807 6.780 6.763 6.736 6.693
100-12 6.733 6.819 6.765 6.733 6.711 6.678 6.624
100-16 6.685 6.788 6.724 6.685 6.659 6.620 6.555
100-20 6.637 6.757 6.682 6.637 6.607 6.561 6.487
100-24 6.589 6.726 6.641 6.589 6.555 6.503 6.418
100-28 6.542 6.695 6.600 6.542 6.503 6.445 6.350
101-00 6.494 6.664 6.559 6.494 6.451 6.387 6.282
101-04 6.447 6.633 6.518 6.447 6.400 6.330 6.213
101-08 6.400 6.603 6.477 6.400 6.348 6.272 6.145
101-12 6.353 6.572 6.436 6.353 6.297 6.214 6.077
101-16 6.305 6.541 6.395 6.305 6.246 6.157 6.010
101-20 6.258 6.511 6.354 6.258 6.194 6.099 5.942
101-24 6.211 6.480 6.313 6.211 6.143 6.042 5.874
101-28 6.164 6.450 6.272 6.164 6.092 5.985 5.807
102-00 6.118 6.419 6.232 6.118 6.041 5.927 5.739
102-04 6.071 6.389 6.191 6.071 5.990 5.870 5.672
102-08 6.024 6.358 6.151 6.024 5.939 5.813 5.605
102-12 5.977 6.328 6.110 5.977 5.889 5.756 5.538
Avg. Life 2.972 4.884 3.488 2.972 2.704 2.384 1.994
Mod. Dur. 2.590 3.984 2.986 2.590 2.379 2.122 1.799
Mac. Dur. 2.679 4.122 3.089 2.679 2.461 2.194 1.861
1st Pmt. 1.969 3.053 2.219 1.969 1.803 1.636 1.386
Last Pmt. 4.303 7.303 5.053 4.303 3.886 3.386 2.803
BP/WAL-Tsy 57 48 55 57 60 64 68
Exercise call option : Optional
Call option code : Earlier of
Fraction of coll. prin. : 0.1000
Yields are to Maturity
Yield Curve: 3M 6M 1Y 2Y 3Y 5Y 10Y 30Y
Settlement 4.97 5.40 5.72 6.15 6.31 6.44 6.55 6.83 06/11/97
<PAGE>
Financial Strategies 06/12/97 11:37:11 am Prudential Securities
Group IMPACT CMO/ABS Analytics - Price / Yield Tables Incorporated
Deal ID/CUSIP EMC72 Coupon N/A
Class A3 SEQ Accr 0.49722 1st Pmt 07/15/97
Collateral 100%HEL (Real) Factor on / /
N/GWAC (Orig) / (10.338/10.838)
WAM (Orig) (20.322) Mat N/A Settle 06/26/97
CenterPrice 100-00+ Inc 4.0 Table Yield Roll@
HEP 18.00 HEP 10.00 HEP 15.00 HEP 18.00 HEP 20.00 HEP 23.00 HEP 28.00
Price
----- --------- --------- --------- --------- --------- --------- ---------
97-20+ 7.780 7.597 7.711 7.780 7.827 7.897 8.022
97-24+ 7.749 7.577 7.684 7.749 7.793 7.859 7.976
97-28+ 7.718 7.557 7.657 7.718 7.759 7.821 7.930
98-00+ 7.687 7.537 7.630 7.687 7.725 7.783 7.885
98-04+ 7.656 7.517 7.604 7.656 7.691 7.744 7.839
98-08+ 7.625 7.497 7.577 7.625 7.657 7.706 7.793
98-12+ 7.594 7.477 7.550 7.594 7.623 7.668 7.748
98-16+ 7.563 7.457 7.523 7.563 7.590 7.630 7.702
98-20+ 7.532 7.438 7.497 7.532 7.556 7.593 7.657
98-24+ 7.501 7.418 7.470 7.501 7.523 7.555 7.612
98-28+ 7.471 7.398 7.443 7.471 7.489 7.517 7.566
99-00+ 7.440 7.378 7.417 7.440 7.456 7.479 7.521
99-04+ 7.409 7.359 7.390 7.409 7.422 7.442 7.476
99-08+ 7.379 7.339 7.364 7.379 7.389 7.404 7.431
99-12+ 7.348 7.319 7.337 7.348 7.355 7.367 7.386
99-16+ 7.318 7.300 7.311 7.318 7.322 7.329 7.341
99-20+ 7.287 7.280 7.285 7.287 7.289 7.292 7.296
99-24+ 7.257 7.261 7.258 7.257 7.256 7.254 7.252
99-28+ 7.227 7.241 7.232 7.227 7.223 7.217 7.207
100-00+ 7.196 7.222 7.206 7.196 7.190 7.180 7.162
100-04+ 7.166 7.202 7.180 7.166 7.157 7.143 7.118
100-08+ 7.136 7.183 7.153 7.136 7.124 7.106 7.073
100-12+ 7.106 7.164 7.127 7.106 7.091 7.068 7.029
100-16+ 7.076 7.144 7.101 7.076 7.058 7.031 6.985
100-20+ 7.045 7.125 7.075 7.045 7.025 6.995 6.940
100-24+ 7.015 7.106 7.049 7.015 6.992 6.958 6.896
100-28+ 6.985 7.086 7.023 6.985 6.960 6.921 6.852
101-00+ 6.956 7.067 6.997 6.956 6.927 6.884 6.808
101-04+ 6.926 7.048 6.972 6.926 6.895 6.847 6.764
101-08+ 6.896 7.029 6.946 6.896 6.862 6.811 6.720
101-12+ 6.866 7.010 6.920 6.866 6.830 6.774 6.676
101-16+ 6.836 6.990 6.894 6.836 6.797 6.738 6.633
101-20+ 6.807 6.971 6.868 6.807 6.765 6.701 6.589
101-24+ 6.777 6.952 6.843 6.777 6.732 6.665 6.545
101-28+ 6.747 6.933 6.817 6.747 6.700 6.628 6.502
102-00+ 6.718 6.914 6.792 6.718 6.668 6.592 6.458
102-04+ 6.688 6.895 6.766 6.688 6.636 6.556 6.415
102-08+ 6.659 6.877 6.741 6.659 6.603 6.519 6.371
102-12+ 6.629 6.858 6.715 6.629 6.571 6.483 6.328
Avg. Life 5.075 8.982 6.060 5.075 4.573 3.977 3.236
Mod. Dur. 4.108 6.392 4.745 4.108 3.766 3.343 2.790
Mac. Dur. 4.256 6.623 4.916 4.256 3.901 3.463 2.890
1st Pmt. 4.303 7.303 5.053 4.303 3.886 3.386 2.803
Last Pmt. 6.053 10.636 7.469 6.053 5.386 4.636 3.803
BP/WAL-Tsy 75 69 74 75 78 81 84
Exercise call option : Optional
Call option code : Earlier of
Fraction of coll. prin. : 0.1000
Yields are to Maturity
Yield Curve: 3M 6M 1Y 2Y 3Y 5Y 10Y 30Y
Settlement 4.97 5.40 5.72 6.15 6.31 6.44 6.55 6.83 06/11/97
<PAGE>
Financial Strategies 06/12/97 11:37:22 am Prudential Securities
Group IMPACT CMO/ABS Analytics - Price / Yield Tables Incorporated
Deal ID/CUSIP EMC72 Coupon N/A
Class A4 SEQ Accr 0.51979 1st Pmt 07/15/97
Collateral 100%HEL (Real) Factor on / /
N/GWAC (Orig) / (10.338/10.838)
WAM (Orig) (20.322) Mat N/A Settle 06/26/97
CenterPrice 100-00+ Inc 4.0 Table Yield Roll@
HEP 18.00 HEP 10.00 HEP 15.00 HEP 18.00 HEP 20.00 HEP 23.00 HEP 28.00
Price
----- --------- --------- --------- --------- --------- --------- ---------
97-20+ 7.917 7.856 7.889 7.917 7.939 7.976 8.049
97-24+ 7.898 7.840 7.871 7.898 7.919 7.953 8.022
97-28+ 7.879 7.825 7.854 7.879 7.898 7.930 7.995
98-00+ 7.860 7.809 7.836 7.860 7.877 7.908 7.967
98-04+ 7.840 7.794 7.819 7.840 7.857 7.885 7.940
98-08+ 7.821 7.778 7.801 7.821 7.836 7.862 7.913
98-12+ 7.802 7.763 7.784 7.802 7.816 7.839 7.886
98-16+ 7.783 7.748 7.767 7.783 7.796 7.817 7.859
98-20+ 7.764 7.732 7.749 7.764 7.775 7.794 7.832
98-24+ 7.745 7.717 7.732 7.745 7.755 7.772 7.805
98-28+ 7.726 7.702 7.715 7.726 7.735 7.749 7.778
99-00+ 7.707 7.687 7.698 7.707 7.714 7.727 7.751
99-04+ 7.688 7.671 7.680 7.688 7.694 7.704 7.724
99-08+ 7.669 7.656 7.663 7.669 7.674 7.682 7.697
99-12+ 7.650 7.641 7.646 7.650 7.654 7.659 7.670
99-16+ 7.632 7.626 7.629 7.632 7.634 7.637 7.644
99-20+ 7.613 7.611 7.612 7.613 7.614 7.615 7.617
99-24+ 7.594 7.596 7.595 7.594 7.594 7.593 7.591
99-28+ 7.575 7.581 7.578 7.575 7.574 7.570 7.564
100-00+ 7.557 7.566 7.561 7.557 7.554 7.548 7.537
100-04+ 7.538 7.551 7.544 7.538 7.534 7.526 7.511
100-08+ 7.519 7.536 7.527 7.519 7.514 7.504 7.485
100-12+ 7.501 7.521 7.510 7.501 7.494 7.482 7.458
100-16+ 7.482 7.506 7.493 7.482 7.474 7.460 7.432
100-20+ 7.464 7.491 7.477 7.464 7.454 7.438 7.406
100-24+ 7.445 7.476 7.460 7.445 7.434 7.416 7.379
100-28+ 7.427 7.461 7.443 7.427 7.415 7.394 7.353
101-00+ 7.408 7.447 7.426 7.408 7.395 7.372 7.327
101-04+ 7.390 7.432 7.409 7.390 7.375 7.350 7.301
101-08+ 7.372 7.417 7.393 7.372 7.356 7.328 7.275
101-12+ 7.353 7.402 7.376 7.353 7.336 7.307 7.249
101-16+ 7.335 7.388 7.359 7.335 7.316 7.285 7.223
101-20+ 7.317 7.373 7.343 7.317 7.297 7.263 7.197
101-24+ 7.299 7.358 7.326 7.299 7.277 7.242 7.171
101-28+ 7.280 7.344 7.310 7.280 7.258 7.220 7.145
102-00+ 7.262 7.329 7.293 7.262 7.238 7.198 7.119
102-04+ 7.244 7.314 7.277 7.244 7.219 7.177 7.094
102-08+ 7.226 7.300 7.260 7.226 7.200 7.155 7.068
102-12+ 7.208 7.285 7.244 7.208 7.180 7.134 7.042
Avg. Life 9.983 13.873 11.440 9.983 9.098 7.906 6.252
Mod. Dur. 6.662 8.289 7.331 6.662 6.228 5.611 4.693
Mac. Dur. 6.914 8.603 7.609 6.914 6.463 5.823 4.870
1st Pmt. 6.053 10.636 7.469 6.053 5.386 4.636 3.803
Last Pmt. 16.219 22.553 18.053 16.219 15.136 14.886 13.886
BP/WAL-Tsy 101 96 99 101 102 104 107
Exercise call option : Optional
Call option code : Earlier of
Fraction of coll. prin. : 0.1000
Yields are to Maturity
Yield Curve: 3M 6M 1Y 2Y 3Y 5Y 10Y 30Y
Settlement 4.97 5.40 5.72 6.15 6.31 6.44 6.55 6.83 06/11/97
<PAGE>
Financial Strategies 06/12/97 11:37:35 am Prudential Securities
Group IMPACT CMO/ABS Analytics - Price / Yield Tables Incorporated
Deal ID/CUSIP EMC72 Coupon N/A
Class A5 NAS Accr 0.49271 1st Pmt 07/15/97
Collateral 100%HEL (Real) Factor on / /
N/GWAC (Orig) / (10.338/10.838)
WAM (Orig) (20.322) Mat N/A Settle 06/26/97
CenterPrice 100-00 Inc 4.0 Table Yield Roll@
HEP 18.00 HEP 10.00 HEP 15.00 HEP 18.00 HEP 20.00 HEP 23.00 HEP 28.00
Price
----- --------- --------- --------- --------- --------- --------- ---------
97-20 7.615 7.579 7.602 7.615 7.622 7.633 7.649
97-24 7.590 7.556 7.578 7.590 7.597 7.607 7.622
97-28 7.565 7.533 7.554 7.565 7.571 7.581 7.595
98-00 7.540 7.510 7.530 7.540 7.546 7.555 7.568
98-04 7.515 7.488 7.506 7.515 7.521 7.529 7.541
98-08 7.490 7.465 7.482 7.490 7.495 7.503 7.515
98-12 7.465 7.442 7.458 7.465 7.470 7.477 7.488
98-16 7.441 7.420 7.434 7.441 7.445 7.451 7.461
98-20 7.416 7.397 7.410 7.416 7.420 7.426 7.434
98-24 7.391 7.375 7.386 7.391 7.395 7.400 7.407
98-28 7.367 7.352 7.362 7.367 7.370 7.374 7.381
99-00 7.342 7.330 7.338 7.342 7.345 7.348 7.354
99-04 7.318 7.307 7.314 7.318 7.320 7.323 7.327
99-08 7.293 7.285 7.290 7.293 7.295 7.297 7.301
99-12 7.269 7.263 7.267 7.269 7.270 7.272 7.274
99-16 7.244 7.240 7.243 7.244 7.245 7.246 7.248
99-20 7.220 7.218 7.219 7.220 7.220 7.221 7.222
99-24 7.196 7.196 7.196 7.196 7.195 7.195 7.195
99-28 7.171 7.174 7.172 7.171 7.171 7.170 7.169
100-00 7.147 7.152 7.149 7.147 7.146 7.145 7.143
100-04 7.123 7.130 7.125 7.123 7.121 7.119 7.116
100-08 7.099 7.108 7.102 7.099 7.097 7.094 7.090
100-12 7.075 7.086 7.078 7.075 7.072 7.069 7.064
100-16 7.051 7.064 7.055 7.051 7.048 7.044 7.038
100-20 7.026 7.042 7.032 7.026 7.023 7.019 7.012
100-24 7.002 7.020 7.008 7.002 6.999 6.994 6.986
100-28 6.978 6.998 6.985 6.978 6.974 6.969 6.960
101-00 6.955 6.976 6.962 6.955 6.950 6.944 6.934
101-04 6.931 6.954 6.939 6.931 6.926 6.919 6.908
101-08 6.907 6.932 6.916 6.907 6.902 6.894 6.882
101-12 6.883 6.911 6.892 6.883 6.877 6.869 6.856
101-16 6.859 6.889 6.869 6.859 6.853 6.844 6.830
101-20 6.836 6.867 6.846 6.836 6.829 6.819 6.805
101-24 6.812 6.846 6.823 6.812 6.805 6.794 6.779
101-28 6.788 6.824 6.800 6.788 6.781 6.770 6.753
102-00 6.765 6.802 6.777 6.765 6.757 6.745 6.728
102-04 6.741 6.781 6.755 6.741 6.733 6.720 6.702
102-08 6.717 6.759 6.732 6.717 6.709 6.696 6.677
102-12 6.694 6.738 6.709 6.694 6.685 6.671 6.651
Avg. Life 6.790 7.672 7.067 6.790 6.631 6.412 6.114
Mod. Dur. 5.136 5.623 5.292 5.136 5.044 4.916 4.736
Mac. Dur. 5.319 5.824 5.481 5.319 5.224 5.091 4.905
1st Pmt. 3.053 3.053 3.053 3.053 3.053 3.053 3.053
Last Pmt. 14.886 14.886 14.886 14.886 14.886 14.886 13.719
BP/WAL-Tsy 67 65 66 67 67 67 68
Exercise call option : Optional
Call option code : Earlier of
Fraction of coll. prin. : 0.1000
Yields are to Maturity
Yield Curve: 3M 6M 1Y 2Y 3Y 5Y 10Y 30Y
Settlement 4.97 5.40 5.72 6.15 6.31 6.44 6.55 6.83 06/11/97
