CMS Case Study

Securities Purchased: Stress and Principal Cashflow Tables

Total Securities Purchased

Down 100 11,788,071

Down 50

Down 25

Historical 11,400,514

Up 25

Up 50

Up 300

Market Value

11,642,788

11,534,090

11,246,200

11,071,490

8,871,987 -22.18% 11.61 / 8.66 9.73 / 0.41 1.50 / 4.20 1.50 / 4.20 (2,528,527)

Percent Change Avg Life / Mod Dur Eff Dur / Eff Convx Book / Market Yield Dur Wtd Bk / Mkt Yld Yr 1 (AsOf 11/30/20) Cashflows Year 2 Cashflows Year 3 Cashflows Year 4 Cashflows Year 5 Cashflows Year 6 Cashflows Year 7 Gain (Loss)

3.40%

2.13%

1.17%

0.00%

-1.35%

-2.89%

3.31 / 3.34 2.22 / -1.07 0.58 / -0.43 0.61 / -0.40 2,723,258 2,196,554 1,604,557 1,174,173 387,557

4.87 / 4.73 4.36 / -0.55 0.98 / 0.53 1.00 / 0.55 1,881,451 1,685,409 1,372,462 1,118,167 242,275

5.92 / 5.61 4.60 / -1.09 1.14 / 0.93 1.15 / 0.94 1,531,350 1,430,541 1,216,718 1,034,965 133,576

6.94 / 6.41 4.90 / -1.50 1.25 / 1.25 1.25 / 1.25

7.75 / 7.01 5.71 / -1.31 1.32 / 1.51 1.32 / 1.51 (154,314) 1,108,156 1,089,714

8.36 / 7.41 6.29 / -1.13 1.36 / 1.75 1.36 / 1.75 (329,023) 1,006,355 1,001,435

0

1,273,084 1,227,051 1,077,998

606,599 633,893 606,015 579,307 553,720 529,206 505,721

977,468 876,473 785,611 703,873 630,354

909,520 825,768 749,459 679,940 616,613

946,857 831,470 729,940 640,600

860,705 631,971 464,756

911,393 743,149 606,169

880,421 748,970 637,126

# 1

Description

Cusip

Sector

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

3133SKAP6

Fixed MBS N/A/N/A

Par

Coupon

Maturity

S&P/Moody Rt

2,189,106 104.3750 2,200,000

2.00

10/01/50

Market Price Original Face Current Factor

Delay Days

24

Historical Speeds

Pool Size Issue Date

Orig/WAM/Seas

71,136,048 10/01/2020

360 / 357 / 3

Gross WAC

0.9950

2.93

1Mo, 3Mo, 6Mo

0.96, Na, Na Na, Na, 0.88

Factor Date

12/01/20

1Yr, 2Yr, Life

Geography

AvgLoanSize / LTV 635,705 / 75% Number of Loans 112

Down 100 2,364,822

Down 50 2,335,050

Down 25 2,313,004

Base

Up 25

Up 50

Up 300

Market Value

2,284,879

2,252,457

2,216,281

1,762,981 -22.84% 12.51 / 9.23 9.91 / 0.51 1.59 / 4.21

Percent Change Avg Life / Mod Dur Eff Dur / Eff Convx Book / Market Yield

3.50%

2.20%

1.23%

0.00%

-1.42%

-3.00%

3.07 / 3.12 2.22 / -1.16 0.51 / -0.61

4.74 / 4.62 4.21 / -0.88 1.01 / 0.53

6.02 / 5.69 4.61 / -1.33 1.21 / 0.99

7.27 / 6.67 5.09 / -1.59 1.33 / 1.33

8.14 / 7.30 5.95 / -1.37 1.40 / 1.59

8.84 / 7.76 6.55 / -1.20 1.44 / 1.83

Gain (Loss) CPR / PSA

79,943

50,171

28,125

0

(32,422)

(68,598)

(521,898)

26.51

16.92

12.73

9.86

8.30

7.22

3.14

Yr1 (AsOf 12/16/20) Cashflows Year 2 Cashflows Year 3 Cashflows Year 4 Cashflows Year 5 Cashflows Year 6 Cashflows Year 7

614,732 443,398 319,521 230,024 165,418 118,822 85,245

409,285 334,414 273,024 222,715 181,513 147,791 120,210

319,523 274,707 236,016 202,627 173,828 148,999 127,605

258,039 229,566 204,119 181,382 161,075 142,944 126,762

224,619 203,583 184,426 166,985 151,111 136,666 123,527

201,482 184,997 169,789 155,761 142,825 130,898 119,905

114,077 110,376 106,792 103,321 99,959 96,703 93,549

# 2

Description

Cusip

Sector

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

3140X8CX3

Fixed MBS N/A/N/A

Par

Coupon

Maturity

S&P/Moody Rt

2,181,081 104.5000 2,200,000

2.00

10/01/50

Market Price Original Face Current Factor

Delay Days

24

Historical Speeds

Pool Size Issue Date

Orig/WAM/Seas

209,831,119 10/01/2020

359 / 355 / 4

Gross WAC

0.9914

2.93

1Mo, 3Mo, 6Mo

Na, Na, Na Na, Na, Na

Factor Date

12/01/20

1Yr, 2Yr, Life

Geography

AvgLoanSize / LTV 333,938 / 79% Number of Loans 628

Down 100 2,333,788

Down 50 2,315,525

Down 25 2,300,713

Base

Up 25

Up 50

Up 300

Market Value

2,279,229

2,254,703

2,225,318

1,803,269 -20.88% 10.99 / 8.25 9.54 / 0.31 1.53 / 4.18

Percent Change Avg Life / Mod Dur Eff Dur / Eff Convx Book / Market Yield

2.39%

1.59%

0.94%

0.00%

-1.08%

-2.37%

2.68 / 2.72 1.56 / -0.78 0.26 / -0.62

3.95 / 3.89 3.31 / -0.58 0.79 / 0.38

4.87 / 4.69 3.62 / -1.19 1.01 / 0.81

5.92 / 5.55 3.99 / -1.59 1.17 / 1.17

6.92 / 6.33 4.78 / -1.53 1.28 / 1.45

7.53 / 6.76 5.42 / -1.37 1.33 / 1.69

Gain (Loss) CPR / PSA

54,559

36,296

21,483

0

(24,526)

(53,911)

(475,960)

30.11

20.56

16.39

12.97

10.55

9.33

4.53

Yr1 (AsOf 12/16/20) Cashflows Year 2 Cashflows Year 3 Cashflows Year 4 Cashflows Year 5 Cashflows Year 6 Cashflows Year 7

689,599 472,744 323,768 221,509 151,377 103,326 70,435

485,797 379,117 295,607 230,280 179,212 139,321 108,186

396,808 326,302 268,112 220,115 180,548 147,952 121,115

323,824 277,573 237,762 203,510 174,055 148,738 126,990

272,180 240,144 211,750 186,593 164,312 144,587 127,132

246,145 220,349 197,148 176,287 157,536 140,687 125,553

143,711 136,440 129,511 122,909 116,619 110,626 104,916

12/11/2020

Raymond James

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