CMS Case Study

Transaction Impact

Bonds Sold Down 100 Down 50 Down 25 Historical

Up 25

Up 50

Up 300

11,451,319 11,399,000 11,366,478 11,328,554 11,296,863 11,250,924

9,992,729

Market Value

1.08%

0.62%

0.33%

0.00%

-0.28% -0.69% -11.79%

% Chg Market Value

105.6944

105.2115

104.9113

104.5613

104.2688

103.8448

92.2318

Market Price

1.71 / 1.71

1.93 / 1.90

2.05 / 2.01

1.74 / 1.72

2.46 / 2.36

2.79 / 2.65

6.71 / 5.28

Avg Life / Mod Duration

1.13 / 0.06 1.19 / -0.11 1.33 / -0.27 1.11 / -1.26 1.93 / -0.78 2.30 / -0.99 5.39 / 0.47

EffDur / EffCnvx

0.51 / -0.09 0.82 / 0.52

0.97 / 0.82

0.55 / 0.59

1.35 / 1.48

1.57 / 1.84

2.46 / 4.68

Book Yld / Mkt Yld Duration Weighted Book / Market Yld

0.58 / -0.05 0.88 / 0.55

1.02 / 0.85

0.60 / 0.60

1.38 / 1.49

1.59 / 1.85

2.51 / 4.77

123,022

70,704

38,182

258

-31,434

-77,372

-1,335,567

Gain (Loss) $

1.09%

0.62%

0.34%

0.00%

-0.28% -0.68% -11.79%

Gain (Loss) %

Bonds Purchased Down 100 Down 50 Down 25 Historical

Up 25

Up 50

Up 300

11,788,071 11,642,788 11,534,090 11,400,514 11,246,200 11,071,490

8,871,987

Market Value

3.40%

2.13%

1.17%

0.00%

-1.35% -2.89% -22.18%

% Chg Market Value

107.5142

106.1891

105.1977

103.9794

102.5720

100.9785

80.9178

Market Price

3.31 / 3.34

4.87 / 4.73

5.92 / 5.61

6.94 / 6.41

7.75 / 7.01

8.36 / 7.41

11.61 / 8.66

Avg Life / Mod Duration

2.22 / -1.07 4.36 / -0.55 4.60 / -1.09 4.90 / -1.50 5.71 / -1.31 6.29 / -1.13 9.73 / 0.41

EffDur / EffCnvx

0.58 / -0.43 0.98 / 0.53

1.14 / 0.93

1.25 / 1.25

1.32 / 1.51

1.36 / 1.75

1.50 / 4.20

Book Yld / Mkt Yld Duration Weighted Book / Market Yld

0.61 / -0.40 1.00 / 0.55

1.15 / 0.94

1.25 / 1.25

1.32 / 1.51

1.36 / 1.75

1.50 / 4.20

387,557

242,275

133,576

0

-154,314

-329,023

-2,528,527

Gain (Loss) $

3.40%

2.13%

1.17%

0.00%

-1.35% -2.89% -22.18%

Gain (Loss) %

Change

Down 100 Down 50 Down 25 Historical

Up 25

Up 50

Up 300

336,752

243,788

167,612

71,960

-50,663

-179,434

-1,120,742

Market Value

2.32%

1.51%

0.84%

0.00%

-1.07% -2.20% -10.39%

% Chg Market Value

1.8198

0.9776

0.2864

-0.5819

-1.6968

-2.8663

-11.3140

Market Price

1.60 / 1.63

2.94 / 2.83

3.87 / 3.60

5.20 / 4.69

5.29 / 4.65

5.57 / 4.76

4.90 / 3.38

Avg Life / Mod Duration

1.09 / -1.13 3.17 / -0.44 3.27 / -0.82 3.79 / -0.24 3.78 / -0.53 3.99 / -0.14 4.34 / -0.06

EffDur / EffCnvx

0.07 / -0.34 0.16 / 0.01

0.17 / 0.11

0.70 / 0.66 -0.03 / 0.03 -0.21 / -0.09 -0.96 / -0.48

Book Yld / Mkt Yld Duration Weighted Book / Market Yld

0.03 / -0.35 0.12 / 0.00

0.13 / 0.09

0.65 / 0.65 -0.06 / 0.02 -0.23 / -0.10 -1.01 / -0.57

264,535

171,571

95,394

-258

-122,880

-251,651

-1,192,960

Gain (Loss) $

2.31%

1.51%

0.83%

0.00%

-1.07% -2.21% -10.39%

Gain (Loss) %

12/11/2020

Raymond James

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