CMS Case Study

Bonds Purchased

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

YTW Bk Pr / Mkt Pr

Description / Original Face

FH-SE9014 2 10/01/50 FHLMC 55-DAY 30 YR JUMBO/SUPER-CONFORMIN 3133SKAP6 0.9950

2,189,106

1.33

104.3750 2,284,879

7.27 Yield Book

1

2,200,000

12/16/2020 10/1/2050

2.000

1.33

104.3750 2,284,879

5.09

9.9

FN-FM4585 2 10/01/50 FNMA CONV 30 YR SF

3140X8CX3 0.9914

2,181,081

1.17

104.5000 2,279,229

5.92 Yield Book

2

2,200,000

12/16/2020 10/1/2050

2.000

1.17

104.5000 2,279,229

3.99

13.0

FN-FM4870 2 11/01/50 FNMA CONV 30 YR SF

3140X8MU8 0.9973

2,194,008

1.29

104.8750 2,300,966

7.63 Yield Book

3

2,200,000

12/16/2020 11/1/2050

2.000

1.29

104.8750 2,300,966

5.19

9.1

FN-CA8249 1.5 12/01/50 FNMA CONV 30 YR SF 3140QGEX1 1.0000

2,200,000

1.25

101.7188 2,237,814

7.79 Yield Book

4

2,200,000

12/16/2020 12/1/2050

1.500

1.25

101.7188 2,237,814

5.90

8.8

FN-FM5265 2 01/01/51 FNMA CONV 30 YR SF

3140X8Z75 1.0000

2,200,000

1.20

104.4375 2,297,625

6.09 Yield Book

5

2,200,000

12/16/2020 1/1/2051

2.000

1.20

104.4375 2,297,625

4.38

12.6

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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