CMS Case Study

Bonds Sold

Historical scenario is selected

Cusip / Settlement

Factor / Maturity Par / Coupon

Call Date (Px) Reset Date

Bk Yld / Mkt Yld

Bk Val / Mkt Val

Avg Life/ Eff Dur

Model / Base CPR

Intent / G/L

YTW Bk Pr / Mkt Pr

Description / Original Face

FN-FM2994 3 03/01/35 FNMA CONV 15 YR SF

3140X6KG5 0.7784

1,167,654

-0.69

105.9011 1,236,558

1.64 3-Mo CPR AFS

1

1,500,000

12/16/2020 3/1/2035

3.000

0.10

104.5313 1,220,564

0.79

43.4

(15,995)

FN-FM3703 3.5 06/01/35 FNMA CONV 15 YR SF 3140X7DH9 0.8548

1,709,576

0.02

106.7557 1,825,070

2.01 3-Mo CPR AFS

2

2,000,000

12/16/2020 6/1/2035

3.500

0.57

105.5938 1,805,206

1.08

36.1

(19,864)

FN-AS6505 3 01/01/36 FNMA CONV 20 YR SF

3138WGGP3 0.4033

403,305

1.33

102.7735 414,491

1.82 3-Mo CPR AFS

3

1,000,000

12/16/2020 1/1/2036

3.000

0.58

104.1563 420,068

0.98

39.8

5,577

FN-MA2588 4 04/01/36 FNMA CONV 20 YR SF

31418B2W5 0.4175

678,486

1.26

106.4705 722,388

2.53 3-Mo CPR AFS

4

1,625,000

12/16/2020 4/1/2036

4.000

1.41

106.0938 719,832

1.65

28.9

(2,556)

FN-MA3742 3.5 08/01/39 FNMA CONV 20 YR SF 31418DEQ1 0.5196

1,039,298

0.34

103.9181 1,080,019

1.32 3-Mo CPR AFS

5

2,000,000

12/16/2020 8/1/2039

3.500

-0.47

105.0313 1,091,588

0.24

53.2

11,569

FH-RB5007 3.5 09/01/39 FHLMC UMBS 20 YR

3133KYR43 0.5672

1,418,097

0.79

103.9667 1,474,348

1.57 3-Mo CPR AFS

6

2,500,000

12/16/2020 9/1/2039

3.500

0.13

105.0313 1,489,445

0.53

46.6

15,097

FH-RB5044 3 04/01/40 FHLMC UMBS 20 YR

3133KYS91 0.8099

1,619,854

1.39

103.1192 1,670,381

2.11 3-Mo CPR AFS

7

2,000,000

12/16/2020 4/1/2040

3.000

0.90

104.1563 1,687,180

1.33

36.0

16,800

FN-AL9322 4 05/01/46 FNMA CONV 30 YR SF OVER 125 LTV 3138ERLC2 0.4687

480,377

1.17

106.3929 511,087

2.41 3-Mo CPR AFS

8

1,025,000

12/16/2020 5/1/2046

4.000

0.92

107.0313 514,153

1.82

31.6

3,067

FH-SD7504 3.5 08/01/49 FHLMC UMBS 30 YR

3132DVKR5 0.6322

995,774

0.34

105.0988 1,046,547

1.69 3-Mo CPR AFS

9

1,575,000

12/16/2020 8/1/2049

3.500

0.36

105.0625 1,046,185

0.73

44.8

(361)

FH-RE6028 3 04/01/50 FHLMC 55-DAY 30 YR JUMBO/SUPER-CONFORMIN 3133N3VV3 0.6610

1,321,940

0.60

101.9267 1,347,410

0.89 3-Mo CPR AFS

10

2,000,000

12/16/2020 4/1/2050

3.000

1.71

100.9375 1,334,333

2.26

69.7

(13,077)

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

12/11/2020

Raymond James

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