OFFICE OF THRIFT SUPERVISION

Selected Asset and Liability Price Tables
As of June 30, 1997

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Instrument

Section 1: Mortgage Securities, Price Indications and Prepayment Rates

• Fixed-Rate Mortgage Securities
• Treasury ARM Mortgage Securities
• COFI ARM Mortgage Securities
• Price Indications for Fixed-Rate MBS
• Price Indications for Adjustable Rate MBS
• Prepayment Rate Estimates for Fixed-Rate Mortgages

Section 2: Mortgage Servicing Costs/Fees - Fixed and Adjustable Rate Mortgages

• Conventional FRM Servicing Costs and Fees
• FHA/VA FRM Servicing Costs and Fees
• Treasury ARM Servicing Costs and Fees
• COFI ARM Servicing Costs and Fees

Section 3: Retail CD, Transaction, MMDA and Passbook Accounts

• Retail CDs
• Retail CD Intangible
• Transaction Account Intangible
• Money Market Account Intangible
• Passbook Account/ Non-interest Bearing Account Intangible

Section 4: Mortgage Derivatives and Caps

• Mortgage Derivatives
• Interest Rate Caps

Section 5: Yield Curves and Selected Interest Rates

• Yield Curves
• Selected Current Interest Rates

This is a quarterly publication of the Office of Thrift Supervision, Risk Management Division, Washington, D.C.

For future reference, the tables for the quarter ending September 30, 1997 will be available for retrieval after October 22, 1997, by calling OTS Publifax, at (202) 906-5660, and requesting document number 32730.

Selected Asset and Liability Price Tables

Selected Asset and Liability Price Tables contain "price tables" listing the estimated economic values of selected assets, liabilities, and off-balance sheet instruments in various interest rate scenarios. The economic values are estimated by the OTS Net Portfolio Value Model.

In addition to the price tables, the publication includes the following data: See the OTS Net Portfolio Value Model manual for more information on how the data is used by the NPV Model.

• The quarter-end Treasury zero-coupon curve used by the NPV Model to create discount factors for assets, and yield curves for interest rate swaps and wholesale CDs.

• Quarter-end interest rates that are used by the Model to calculate discount factors for a variety of assets.

• Four tables listing estimated prepayments for the following types of single-family mortgages: 30-Year conventional FRMs, 30-year FHA/VA FRMs, 15-year FRMs, and baloon mortgages.

• One-month implied forward rates for the following interest rate series: Treasury, LIBOR, secondary market CDs, and retail CD rates.

• Price indication for a set of benchmark fixed-rate and adjustable rate mortgage securities. The price indications are intended to represent reasonable approximations of the quarter-end market price of the securities.

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August 1997