CMS Case Study

Sectors Sold

Historical scenario is selected

Factor / Maturity Par / Coupon

Call Date (Px) Reset Date

Bk Yld / Mkt Yld YTW

Bk Pr / Mkt Pr

Bk Val / Mkt Val

Avg Life/ Eff Dur Base CPR G/L

Sector / Original Face

Settlement

Fixed MBS (10)

0.6650

10,834,360

0.55

104.5590 11,328,296

1.74

1

17,225,000

12/16/2020 9/9/2040

3.345

0.59

104.5614 11,328,554

1.11

44.2

258

Averages weighted by Amount

10,834,360

0.55 0.59

104.5589 11,328,296 1.74 104.5613 11,328,554 1.11

Gain / (Loss)

17,225,000

3.348

258

Sectors Purchased

Historical scenario is selected

Factor / Maturity Par / Coupon

Call Date (Px) Reset Date

Bk Yld / Mkt Yld YTW

Bk Pr / Mkt Pr

Bk Val / Mkt Val

Avg Life/ Eff Dur Base CPR

Sector / Original Face

Settlement

Fixed MBS (5)

0.9967

10,964,195

1.25

103.9795 11,400,514

6.94

1

11,000,000

12/16/2020 11/6/2050

1.900

1.25

103.9795 11,400,514

4.90

10.7

Averages weighted by Amount

10,964,195

1.25 1.25

103.9794 11,400,514 6.94

11,000,000

1.902

103.9794 11,400,514

4.90

12/11/2020

Raymond James

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