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Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 1 of 25
727.567.6468Valued Advisor
ILLUSTRATION
report as of 12/19/2017
Multiple Accounts
Shock Analysis
Prepared for
Presented by
Table of Contents
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 2 of 25
Multiple Accounts ILLUSTRATION
Cover Page 1
Table of Contents 2
Shock Analysis - Important Disclosures & Explanations 3
Shock Analysis - Scenario Definitions 4
Shock Analysis - Portfolio Impact 5
Shock Analysis - Top Performers 6
Shock Analysis - Bottom Performers 7
Shock Analysis - Position Performance 8
Glossary 22
Disclaimer 24
Page 3 of 25
The Tradeweb Direct | Portfolio Solutions Shock Analysis allows users to Shock accounts analyzing the impact of curve shift scenarios over a specified time horizon on individual positionand portfolio projected performance. The model (provided by Andrew Kalotay & Associates, Inc. www.kalotay.com) calculates the Option Adjusted Spread (OAS) at the current marketprice using spot curve values of federally taxable and tax-exempt curves. The OAS is held constant and positions are re-evaluated at the end of the horizon period under each curve shiftscenario. Results available include position- and portfolio-level projected total return, price return, coupon return, and reinvestment return, expressed in both $ and %. Beginning andending values are also provided for yield to worst, price, option-adjusted effective duration, and maturity. All coupon cash flows and matured, called, or paid down principal proceedsduring the horizon period are reinvested at a risk free spot rate determined by the model. Values calculated by the model consider bond characteristics such as calls, puts, sinking funds,and other prepayment options which affect valuation. Each position is valued using a binomial interest rate lattice which models the evolution of future short term rates based upon a non-arbitrage single factor lognormal short rate model, commonly known as Black Karasinsky. Applying a constant volatility assumption for the life of the bond, the model fits the market priceto the spot curve to arrive at the current OAS. The binomial interest rate lattice is constructed for each curve shift scenario holding the OAS constant to calculate cash flows, redemptionevents, a reinvestment rate for each cash flow, amortization/accretion, principal returned, and the resultant position- and portfolio-level projected return calculations. Further informationabout the model can be found here: http://www.kalotay.com/sites/default/files/private/ValEmbeddedOptionBondsFAJ93.pdf.
Limitations: The model does not take into consideration any domestic or international changes in economic conditions, inflation, default considerations, or political events that mayimpact future performance. The reinvestment rate is predicted by the model based upon the shocked curves and may vary during the horizon period. Volatility is held constant over thehorizon period and may vary. Results may vary intra-day or inter-day due to varying assumptions or inputs applied such as changing market prices, spot curve values, volatility, andreinvestment rates used. The model is only forward-looking and cannot run historical analysis.
IMPORTANT: The projections or other information generated by the Tradeweb Direct | Portfolio Solutions Shock Analysis regarding the likelihood of various investmentoutcomes are hypothetical in nature, do not reflect actual investment results, and are not guarantees of future results.
Accretion: when securities are purchased at a discount to the redemption value, the cost basis must be adjusted up from the purchase price to the redemption value.Amortization: when securities are purchased at a premium to the redemption value, the cost basis must be adjusted down from the purchase price to the redemption value.Binomial Interest Rate Lattice: a tree of probabilities representing changes in short term rates over time given interest rate volatility assumptions.Black Karasinsky Model: a model where a single stochastic factor - the short rate - determines the future evolution of interest rates given interest rate volatility assumptions.Cash Flow: any interest or principal payments received during the life of a bond.Credit Risk: the impact on a bond's market value due to expected or realized pressures on the ability of the issuer to pay interest and principal in a timely manner.Curve Shift: the basis point shift applied to the spot curves used to determine the ending projected calculated values for each position.Ending Projected Maturity: the calculated expected remaining time to maturity expressed in years at the end of the horizon period based upon the scenario assumptions. Primarily usedfor principal paydown securities where the average life expectation changes due to the scenario assumptions.Ending Projected Option-Adjusted Effective Duration: the calculated option-adjusted effective duration at the end of the horizon period based upon the scenario assumptions.Ending Projected Price: the calculated price based upon the scenario assumptions at the end of the horizon period. The report will indicate if the model has projected a bond will beredeemed at the corresponding redemption price. If there is no indication it is assumed the position is held for the entire horizon period.Ending Projected Yield: the calculated yield at the end of the horizon period based upon the scenario assumptions. The change in yield may differ from the input yield shift because themodel revalues the bond at a constant OAS across the entire shifted yield curve allowing the bond to "ride down the curve".Horizon Period: the time frame over which the curve shift scenarios are measured. Only current and future dates can be selected.Interest Rate Risk: the impact on a bond's market value due to changes in interest rates.MMA: Municipal Market Advisors yield curve - a series of municipal market yields forming a yield curve used as a benchmark for US federally tax-exempt securities.Option-Adjusted Spread: the yield spread to the benchmark yield curve which discounts a security's payments to match its market price, accounting for embedded options.Redemption Event: any event in which the entire principal is returned to the bondholder, such as a call or maturity.Reinvestment Rate: the risk-free spot rate determined by the model applied to each principal and coupon cash flow from receipt to the end of the horizon period.Risk-Free Spot Rate: the interest rate on an investment which is free of credit risk and interest rate risk.Spot Curves: taxable and tax-exempt yield curves are used as the underlying benchmark curves to which the curve shift scenarios are applied. Assumed to be a par yield curve, themodel will calculate discount factors, zero coupon rates, forward rates, and volatility structures to analyze each bond for the ending projected calculated values.UST: United States Treasury yield curve - a series of yields forming a yield curve used as a benchmark for US federally taxable securities.Volatility: determined by the model.Yield to Worst: at a given price, the lowest yield an investor would realize taking into account all potential call, put, maturity, and other possible redemption events.
Multiple Accounts ILLUSTRATION
Shock Analysis - Important Disclosures & Explanationsreport as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 4 of 25
Scenario Definitions Horizon: 12/19/2017 - 12/19/2018
Scenario Shock Analysis Name / Description Curve Shift Future (- -) vs Benchmark (—) Curve UST MMA
1
-100bp ParallelParallel Yield Curve Shift: Down 100bps
2
-50bp ParallelParallel Yield Curve Shift: Down 50bps
3
+0bp ParallelParallel Yield Curve Shift: Flat
4
+50bp ParallelParallel Yield Curve Shift: Up 50bps
5
+100bp ParallelParallel Yield Curve Shift: Up 100bps
6
+200bp ParallelParallel Yield Curve Shift: Up 200bps
7
+300bp ParallelParallel Yield Curve Shift: Up 300bps
Multiple Accounts ILLUSTRATION
Shock Analysis - Scenario Definitionsreport as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 5 of 25
Starting Values
Principal Value
3.40
Total Market Value
Average OA Duration
Portfolio Return Performance
Coupon Return
Portfolio Totals & Averages Horizon: 12/19/2017 - 12/19/2018
1 -100bp Parallel 2 -50bp Parallel 3 +0bp Parallel +50bp Parallel4 +100bp Parallel5 6 +200bp Parallel 7 +300bp Parallel
$2,614,000$2,859,901$1,672,009
$11,404
$2,639,000
$1,648,307$15,581
$1,600,841$19,144
$2,689,000
$22,267
$2,856,378$2,789,000
$1,502,647$44,970$27,179 $35,686
$2,636,844$2,914,000
$1,404,130 $1,379,059$2,788,832$2,789,000
$1,502,647
$2,889,000$2,750,109
Total Return Coupon Return Reinvested Return
$221,131 5.08%
$170,343 3.92%
$118,177 2.72%
$59,541 1.37%
($3,092) (-0.07%) (-3.02%)
($131,376)
$128,435 2.95% 2.98%
$129,733 $132,266 3.04% 3.09%
$134,506 $134,506 3.09% 3.14%
$136,438
Current Face Value $4,149,000
Reinvested Proceeds
Int on Reinvested Proceeds
Accrued Interest
Average Price
$4,315,502
$35,225
$4,350,72799.442
$2,828,639 $2,820,376
$28,818 $28,818 $28,818 $29,252 $29,252 $29,702 $29,702
$4,572,133 $4,521,345 $4,469,179 $4,410,544 $4,347,910 $4,219,626 $4,090,575108.519 (+9.08pts) 105.679 (+6.24pts) 102.118 (+2.68pts) 99.241 (-0.20pts) 97.007 (-2.44pts) 91.377 (-8.06pts) 86.465 (-12.98pts)
3.93 (+0.53) 4.01 (+0.61) 4.27 (+0.87) 4.60 (+1.20) 4.82 (+1.42) 5.08 (+1.68) 4.99 (+1.59)
Total Return
Interest on Reinvested Prin+Int Return $11,404
0.26%
$15,581 0.36%
$19,144 0.44%
$22,267 0.51%
$27,179 0.62% 0.82%
$35,686
All total and average values are reflective of the remaining holdings at the end of the horizon period not predicted to be called or redeemed by the model.
Portfolio Return Components
1.57% (-68bps) 3.85% (+160bps)2.25% 2.72% (+47bps) 3.29% (+104bps)Average YTW 5.96% (+371bps)2.14% (-11bps) 4.93% (+268bps)
1.03%
$44,970 3.13%
$136,368
($260,427) (-5.99%)
Average Maturity Term 11.49yrs 8.86yrs (-2.63yrs) 8.89yrs (-2.60yrs) 10.24yrs (-1.25yrs) 10.03yrs (-1.46yrs) 9.79yrs (-1.70yrs) 11.62yrs (+0.13yrs) 11.27yrs (-0.22yrs)
Price Return $81,292
1.88% 0.58%
$25,030 ($33,234) (-0.77%) (-2.25%)
($97,231) ($164,777) (-3.82%) (-7.04%)
($303,500) ($441,766) (-10.24%)
Price Return
Principal Returned $1,535,000 $1,510,000 $1,460,000 $1,360,000 $1,360,000 $1,260,000 $1,235,000
Average values are principal value weighted, unless otherwise noted. Average prices have been normalized to par. Average life used for principal paydowns, and perpetual securities are assigned a ~150 year maturity.
Multiple Accounts ILLUSTRATION
Shock Analysis - Portfolio Impactreport as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 6 of 25
Price OA Duration Return Performance Analysis
Scenario CUSIP MaturityCoupon Reinv Return Price ReturnAsset Issue Description Start End Start End Coupon Return Total Return
Top Performers by Total Return % Horizon: 12/19/2017 - 12/19/2018
064058209 Pfd BANK OF NEW YORK MELLON 5.200% Perpetual 25.150 30.948 5.85pts 18.95 23.44 4.48 $1,289 5.14% $15 0.06% $5,853 23.32% $7,157 28.51%
592041YB7 Muni MET GOVT NASHVILLE & 4.000% 07/01/2047 104.104 117.543 13.44pts 14.16 10.31 -3.85 $4,000 3.78% $21 0.02% $13,439 12.91% $17,459 16.52%
341150U73 Muni FLORIDA ST 2.750% 07/01/2030 98.640 109.112 10.47pts 10.50 8.45 -2.05 $2,750 2.75% $13 0.01% $10,472 10.62% $13,235 13.24%
39225PAT8 Muni GREATER NEW ORLEANS EXPWY 5.000% 11/01/2042 116.503 124.610 8.11pts 8.49 6.67 -1.82 $5,000 4.27% $11 0.01% $8,107 6.96% $13,118 11.20%
74913G501 Pfd QWEST CORP 7.000% 07/01/2052 24.360 25.000 1.03pts 9.31 **0.00 **-9.31 $73 0.30% $1,292 5.31% $1,034 4.31% $2,398 9.85%
1-100bpParallel
064058209 Pfd BANK OF NEW YORK MELLON 5.200% Perpetual 25.150 27.724 2.63pts 18.95 20.99 2.04 $1,289 5.14% $18 0.07% $2,628 10.47% $3,935 15.67%
74913G501 Pfd QWEST CORP 7.000% 07/01/2052 24.360 25.306 1.34pts 9.31 4.06 -5.25 $1,371 5.63% $59 0.24% $1,339 5.59% $2,769 11.37%
592041YB7 Muni MET GOVT NASHVILLE & 4.000% 07/01/2047 104.104 111.080 6.98pts 14.16 11.94 -2.22 $4,000 3.78% $30 0.03% $6,976 6.70% $11,006 10.41%
341150U73 Muni FLORIDA ST 2.750% 07/01/2030 98.640 104.356 5.72pts 10.50 9.08 -1.42 $2,750 2.75% $20 0.02% $5,716 5.80% $8,487 8.49%
39225PAT8 Muni GREATER NEW ORLEANS EXPWY 5.000% 11/01/2042 116.503 120.276 3.77pts 8.49 7.54 -0.95 $5,000 4.27% $16 0.01% $3,773 3.24% $8,789 7.50%
2-50bp
Parallel
74913G501 Pfd QWEST CORP 7.000% 07/01/2052 24.360 24.353 0.39pts 9.31 9.09 -0.22 $1,371 5.63% $64 0.26% $387 1.62% $1,822 7.48%
879433795 Pfd TELEPHONE & DATA SYSTEM 5.875% 12/01/2061 24.930 24.914 0.07pts 5.18 5.01 -0.17 $1,395 5.60% $27 0.11% $74 0.30% $1,496 6.01%
49446R778 Pfd KIMCO REALTY CORP 5.500% Perpetual 25.150 24.844 -0.00pts 5.26 5.18 -0.08 $1,375 5.53% $20 0.08% ($0) 0.00% $1,395 5.61%
064058209 Pfd BANK OF NEW YORK MELLON 5.200% Perpetual 25.150 25.107 0.01pts 18.95 18.99 0.04 $1,289 5.14% $20 0.08% $11 0.04% $1,320 5.26%
053807AR4 Corp AVNET INC 4.875% 12/01/2022 106.144 105.424 -0.72pts 4.40 3.59 -0.81 $3,656 4.58% $31 0.04% ($540) -0.68% $3,147 3.94%
3+0bp
Parallel
494550AY2 Corp KINDER MORGAN ENERGY PARTNERS 5.950% 02/15/2018 100.589 100.000 -0.59pts 0.15 *0.00 *-0.15 $231 0.90% $641 2.50% ($147) -0.59% $725 2.82%
494550AY2 Corp KINDER MORGAN ENERGY PARTNERS 5.950% 02/15/2018 100.589 100.000 -0.59pts 0.15 *0.00 *-0.15 $231 0.90% $641 2.50% ($147) -0.59% $725 2.82%
042735BB5 Corp ARROW ELECTRONICS INC 3.000% 03/01/2018 100.165 100.000 -0.16pts 0.19 *0.00 *-0.19 $210 0.59% $845 2.39% ($58) -0.16% $998 2.82%
26054LWK5 Corp DOW CHEM CO SR INTERNOTES 3.250% 04/15/2021 100.025 99.367 -0.66pts 1.65 1.97 0.32 $2,438 3.23% $33 0.04% ($494) -0.66% $1,977 2.62%
06050WDT9 Corp BANK AMER CORP SR INTNOTES BE 4.750% 09/15/2019 103.349 101.238 -2.11pts 1.64 0.72 -0.93 $2,375 4.54% $37 0.07% ($1,056) -2.04% $1,356 2.59%
4+50bp
Parallel
494550AY2 Corp KINDER MORGAN ENERGY PARTNERS 5.950% 02/15/2018 100.589 100.000 -0.59pts 0.15 *0.00 *-0.15 $231 0.90% $751 2.93% ($147) -0.59% $835 3.25%
494550AY2 Corp KINDER MORGAN ENERGY PARTNERS 5.950% 02/15/2018 100.589 100.000 -0.59pts 0.15 *0.00 *-0.15 $231 0.90% $751 2.93% ($147) -0.59% $835 3.25%
042735BB5 Corp ARROW ELECTRONICS INC 3.000% 03/01/2018 100.165 100.000 -0.16pts 0.19 *0.00 *-0.19 $210 0.59% $989 2.80% ($58) -0.16% $1,141 3.23%
38141GFM1 Corp GOLDMAN SACHS GROUP INC 6.150% 04/01/2018 101.165 100.000 -1.16pts 0.28 *0.00 *-0.28 $871 1.70% $1,203 2.35% ($582) -1.15% $1,491 2.91%
172967ES6 Corp CITIGROUP INC 6.125% 05/15/2018 101.677 100.000 -1.68pts 0.40 *0.00 *-0.40 $1,242 2.43% $941 1.84% ($838) -1.65% $1,345 2.63%
5+100bpParallel
744320607 Pfd PRUDENTIAL FINL INC 5.750% Perpetual 25.170 24.828 -0.27pts 0.09 4.07 3.99 $1,438 5.73% $20 0.08% ($266) -1.06% $1,191 4.75%
494550AY2 Corp KINDER MORGAN ENERGY PARTNERS 5.950% 02/15/2018 100.589 100.000 -0.59pts 0.15 *0.00 *-0.15 $231 0.90% $971 3.78% ($147) -0.59% $1,055 4.11%
494550AY2 Corp KINDER MORGAN ENERGY PARTNERS 5.950% 02/15/2018 100.589 100.000 -0.59pts 0.15 *0.00 *-0.15 $231 0.90% $971 3.78% ($147) -0.59% $1,055 4.11%
042735BB5 Corp ARROW ELECTRONICS INC 3.000% 03/01/2018 100.165 100.000 -0.16pts 0.19 *0.00 *-0.19 $210 0.59% $1,277 3.61% ($58) -0.16% $1,429 4.04%
38141GFM1 Corp GOLDMAN SACHS GROUP INC 6.150% 04/01/2018 101.165 100.000 -1.16pts 0.28 *0.00 *-0.28 $871 1.70% $1,575 3.07% ($582) -1.15% $1,864 3.64%
6+200bpParallel
494550AY2 Corp KINDER MORGAN ENERGY PARTNERS 5.950% 02/15/2018 100.589 100.000 -0.59pts 0.15 *0.00 *-0.15 $231 0.90% $1,192 4.65% ($147) -0.59% $1,276 4.98%
494550AY2 Corp KINDER MORGAN ENERGY PARTNERS 5.950% 02/15/2018 100.589 100.000 -0.59pts 0.15 *0.00 *-0.15 $231 0.90% $1,192 4.65% ($147) -0.59% $1,276 4.98%
042735BB5 Corp ARROW ELECTRONICS INC 3.000% 03/01/2018 100.165 100.000 -0.16pts 0.19 *0.00 *-0.19 $210 0.59% $1,565 4.42% ($58) -0.16% $1,717 4.86%
38141GFM1 Corp GOLDMAN SACHS GROUP INC 6.150% 04/01/2018 101.165 100.000 -1.16pts 0.28 *0.00 *-0.28 $871 1.70% $1,948 3.80% ($582) -1.15% $2,237 4.36%
74460W602 Pfd PUBLIC STORAGE 5.625% Perpetual 25.160 25.000 -0.13pts 0.09 **0.00 **-0.09 $117 0.47% $1,092 4.35% ($133) -0.53% $1,077 4.28%
7+300bpParallel
*Bond matured during horizon period **Model predicts bond called during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Top Performersreport as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 7 of 25
Price OA Duration Return Performance Analysis
Scenario CUSIP MaturityCoupon Reinv Return Price ReturnAsset Issue Description Start End Start End Coupon Return Total Return
Bottom Performers by Total Return % Horizon: 12/19/2017 - 12/19/2018
054937206 Pfd BB&T CORPORATION 5.850% Perpetual 25.540 25.000 -0.38pts 0.09 **0.00 **-0.09 $122 0.48% $161 0.64% ($378) -1.49% ($94) -0.37%
74460W602 Pfd PUBLIC STORAGE 5.625% Perpetual 25.160 25.000 -0.13pts 0.09 **0.00 **-0.09 $117 0.47% $161 0.64% ($133) -0.53% $146 0.58%
744320607 Pfd PRUDENTIAL FINL INC 5.750% Perpetual 25.170 25.000 -0.09pts 0.09 **0.00 **-0.09 $120 0.48% $161 0.64% ($94) -0.38% $187 0.74%
32082BCL1 CD FIRST MERCHANTS BK N A MUNCIE IND 1.250% 02/26/2018 100.047 100.000 -0.05pts 0.18 *0.00 *-0.18 $578 0.23% $1,433 0.57% ($118) -0.05% $1,893 0.75%
07370WK62 CD BEAL BK USA LAS VEGAS NEV 1.050% 04/04/2018 99.898 100.000 0.10pts 0.28 *0.00 *-0.28 $762 0.30% $1,143 0.45% $255 0.10% $2,160 0.86%
1-100bpParallel
054937206 Pfd BB&T CORPORATION 5.850% Perpetual 25.540 25.000 -0.38pts 0.09 **0.00 **-0.09 $122 0.48% $277 1.09% ($378) -1.49% $21 0.08%
74460W602 Pfd PUBLIC STORAGE 5.625% Perpetual 25.160 25.000 -0.13pts 0.09 **0.00 **-0.09 $117 0.47% $277 1.10% ($133) -0.53% $261 1.04%
32082BCL1 CD FIRST MERCHANTS BK N A MUNCIE IND 1.250% 02/26/2018 100.047 100.000 -0.05pts 0.18 *0.00 *-0.18 $578 0.23% $2,459 0.98% ($118) -0.05% $2,920 1.16%
744320607 Pfd PRUDENTIAL FINL INC 5.750% Perpetual 25.170 25.000 -0.09pts 0.09 **0.00 **-0.09 $120 0.48% $277 1.10% ($94) -0.38% $302 1.20%
902973791 Pfd US BANCORP 5.150% Perpetual 25.850 25.000 -0.56pts 0.55 **0.00 **-0.55 $737 2.88% $134 0.52% ($560) -2.19% $310 1.21%
2-50bp
Parallel
054937206 Pfd BB&T CORPORATION 5.850% Perpetual 25.540 25.000 -0.38pts 0.09 **0.00 **-0.09 $122 0.48% $393 1.55% ($378) -1.49% $137 0.54%
902973791 Pfd US BANCORP 5.150% Perpetual 25.850 25.000 -0.56pts 0.55 **0.00 **-0.55 $737 2.88% $189 0.74% ($560) -2.19% $366 1.43%
74460W602 Pfd PUBLIC STORAGE 5.625% Perpetual 25.160 25.000 -0.13pts 0.09 **0.00 **-0.09 $117 0.47% $393 1.56% ($133) -0.53% $377 1.50%
36163CRL6 CD GE CAPITAL BANK, SALT LAKE CITY 1.600% 06/20/2018 100.047 100.000 -0.05pts 0.49 *0.00 *-0.49 $2,011 0.80% $1,919 0.76% ($118) -0.05% $3,813 1.51%
92937CFF0 CD WEX BK MIDVALE UTAH 1.100% 04/06/2018 99.910 100.000 0.09pts 0.29 *0.00 *-0.29 $814 0.32% $2,909 1.16% $225 0.09% $3,948 1.57%
3+0bp
Parallel
064058209 Pfd BANK OF NEW YORK MELLON 5.200% Perpetual 25.150 22.941 -2.15pts 18.95 17.33 -1.63 $1,289 5.14% $23 0.09% ($2,155) -8.59% ($843) -3.36%
592041YB7 Muni MET GOVT NASHVILLE & 4.000% 07/01/2047 104.104 96.826 -7.28pts 14.16 15.86 1.70 $4,000 3.78% $56 0.05% ($7,278) -6.99% ($3,222) -3.05%
341150U73 Muni FLORIDA ST 2.750% 07/01/2030 98.640 92.946 -5.69pts 10.50 13.63 3.13 $2,750 2.75% $40 0.04% ($5,694) -5.77% ($2,903) -2.91%
39225PAT8 Muni GREATER NEW ORLEANS EXPWY 5.000% 11/01/2042 116.503 110.426 -6.08pts 8.49 9.65 1.16 $5,000 4.27% $35 0.03% ($6,077) -5.22% ($1,042) -0.89%
011446JA0 Muni ALAMOGORDO N MEX 3.000% 08/01/2024 106.292 103.161 -3.13pts 6.04 5.13 -0.91 $3,000 2.82% $16 0.02% ($3,131) -2.94% ($114) -0.11%
4+50bp
Parallel
592041YB7 Muni MET GOVT NASHVILLE & 4.000% 07/01/2047 104.104 88.713 -15.39pts 14.16 16.78 2.62 $4,000 3.78% $69 0.06% ($15,391) -14.78% ($11,322) -10.71%
064058209 Pfd BANK OF NEW YORK MELLON 5.200% Perpetual 25.150 21.121 -3.98pts 18.95 15.93 -3.02 $1,289 5.14% $25 0.10% ($3,975) -15.84% ($2,661) -10.60%
341150U73 Muni FLORIDA ST 2.750% 07/01/2030 98.640 87.006 -11.63pts 10.50 12.85 2.35 $2,750 2.75% $50 0.05% ($11,634) -11.79% ($8,834) -8.84%
39225PAT8 Muni GREATER NEW ORLEANS EXPWY 5.000% 11/01/2042 116.503 104.728 -11.77pts 8.49 10.69 2.20 $5,000 4.27% $44 0.04% ($11,775) -10.11% ($6,730) -5.74%
49446R778 Pfd KIMCO REALTY CORP 5.500% Perpetual 25.150 22.372 -2.47pts 5.26 12.57 7.31 $1,375 5.53% $25 0.10% ($2,472) -9.95% ($1,072) -4.32%
5+100bpParallel
592041YB7 Muni MET GOVT NASHVILLE & 4.000% 07/01/2047 104.104 75.560 -28.54pts 14.16 15.17 1.01 $4,000 3.78% $95 0.09% ($28,544) -27.42% ($24,448) -23.13%
064058209 Pfd BANK OF NEW YORK MELLON 5.200% Perpetual 25.150 18.230 -6.87pts 18.95 13.71 -5.24 $1,289 5.14% $30 0.12% ($6,865) -27.36% ($5,546) -22.09%
341150U73 Muni FLORIDA ST 2.750% 07/01/2030 98.640 76.611 -22.03pts 10.50 12.19 1.69 $2,750 2.75% $70 0.07% ($22,029) -22.33% ($19,209) -19.22%
39225PAT8 Muni GREATER NEW ORLEANS EXPWY 5.000% 11/01/2042 116.503 92.426 -24.08pts 8.49 13.88 5.39 $5,000 4.27% $64 0.05% ($24,077) -20.67% ($19,013) -16.23%
49446R778 Pfd KIMCO REALTY CORP 5.500% Perpetual 25.150 19.644 -5.20pts 5.26 13.05 7.79 $1,375 5.53% $30 0.12% ($5,200) -20.93% ($3,795) -15.28%
6+200bpParallel
592041YB7 Muni MET GOVT NASHVILLE & 4.000% 07/01/2047 104.104 65.111 -38.99pts 14.16 13.96 -0.20 $4,000 3.78% $121 0.12% ($38,993) -37.46% ($34,871) -32.99%
064058209 Pfd BANK OF NEW YORK MELLON 5.200% Perpetual 25.150 16.039 -9.06pts 18.95 12.04 -6.92 $1,289 5.14% $35 0.14% ($9,057) -36.09% ($7,732) -30.80%
341150U73 Muni FLORIDA ST 2.750% 07/01/2030 98.640 67.896 -30.74pts 10.50 11.58 1.08 $2,750 2.75% $90 0.09% ($30,744) -31.17% ($27,904) -27.93%
39225PAT8 Muni GREATER NEW ORLEANS EXPWY 5.000% 11/01/2042 116.503 80.947 -35.56pts 8.49 12.91 4.42 $5,000 4.27% $83 0.07% ($35,556) -30.52% ($30,474) -26.01%
369622394 Pfd GENERAL ELEC CAP CORP 4.700% 05/16/2053 25.200 17.698 -7.39pts 3.94 13.08 9.13 $1,067 4.24% $32 0.13% ($7,387) -29.45% ($6,288) -24.96%
7+300bpParallel
*Bond matured during horizon period **Model predicts bond called during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Bottom Performersreport as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 8 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
054937206Pfd Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$122 (+0.48%)
$161 (+0.64%)
($378) (-1.49%)
Perpetual
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
**25.000 (-0.38pts)
– ( – )
1,000 shares
25.540
-17.368%
0.09
$122 (+0.48%)
$277 (+1.09%)
($378) (-1.49%)
– ( – )
$122 (+0.48%)
$393 (+1.55%)
($378) (-1.49%)
– ( – )
$122 (+0.48%)
$509 (+2.00%)
($378) (-1.49%)
– ( – )
$122 (+0.48%)
$625 (+2.46%)
($378) (-1.49%)
– ( – )
$122 (+0.48%)
$858 (+3.38%)
($378) (-1.49%)
– ( – )
$837 (+3.30%)
$122 (+0.48%)
$1,093 (+4.31%)
($378) (-1.49%)
– ( – )
01/19/[email protected]
Px to: CallPREFERREDSHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
End Mat Term Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – )
$603 (+2.38%)$369 (+1.46%)$253 (+1.00%)$137 (+0.54%)$21 (+0.08%)($94) (-0.37%)Total Return5.850%
**25.000 (-0.38pts) **25.000 (-0.38pts) **25.000 (-0.38pts) **25.000 (-0.38pts) **25.000 (-0.38pts) **25.000 (-0.38pts)
Starting Mat Term: Perpetual
BB&T CORPORATION
Prin Returned **$25,000 **$25,000 **$25,000 **$25,000 **$25,000 **$25,000 **$25,000
Starting Factor: 1.00000000
064058209Pfd Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$1,289 (+5.14%)
$15 (+0.06%)
$5,853 (+23.32%)
Perpetual
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
30.948 (+5.85pts)
23.44 (+4.48)
1,000 shares
25.150
5.170%
18.95
$1,289 (+5.14%)
$18 (+0.07%)
$2,628 (+10.47%)
20.99 (+2.04)
$1,289 (+5.14%)
$20 (+0.08%)
$11 (+0.04%)
18.99 (+0.04)
$1,289 (+5.14%)
$23 (+0.09%)
($2,155) (-8.59%)
17.33 (-1.63)
$1,289 (+5.14%)
$25 (+0.10%)
($3,975) (-15.84%)
15.93 (-3.02)
$1,289 (+5.14%)
$30 (+0.12%)
($6,865) (-27.36%)
13.71 (-5.24)
($7,732) (-30.80%)
$1,289 (+5.14%)
$35 (+0.14%)
($9,057) (-36.09%)
12.04 (-6.92)
Px to: MaturityPREFERREDSHeld Away
End YTW 4.201 (-97bps) 4.691 (-48bps) 5.181 (+1bps) 5.670 (+50bps) 6.159 (+99bps) 7.136 (+197bps) 8.111 (+295bps)
End Mat Term Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – )
($5,546) (-22.09%)($2,661) (-10.60%)($843) (-3.36%)$1,320 (+5.26%)$3,935 (+15.67%)$7,157 (+28.51%)Total Return5.200%
27.724 (+2.63pts) 25.107 (+0.01pts) 22.941 (-2.15pts) 21.121 (-3.98pts) 18.230 (-6.87pts) 16.039 (-9.06pts)
Starting Mat Term: Perpetual
BANK OF NEW YORK MELLON
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
49446R778Pfd Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$115 (+0.46%)
$684 (+2.75%)
$156 (+0.63%)
Perpetual
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
**25.000 (+0.16pts)
– ( – )
1,000 shares
25.150
5.522%
5.26
$115 (+0.46%)
$801 (+3.22%)
$156 (+0.63%)
– ( – )
$1,375 (+5.53%)
$20 (+0.08%)
($0) (+0.00%)
5.18 (-0.08)
$1,375 (+5.53%)
$22 (+0.09%)
($1,069) (-4.30%)
10.63 (+5.37)
$1,375 (+5.53%)
$25 (+0.10%)
($2,472) (-9.95%)
12.57 (+7.31)
$1,375 (+5.53%)
$30 (+0.12%)
($5,200) (-20.93%)
13.05 (+7.79)
($6,110) (-24.60%)
$1,375 (+5.53%)
$35 (+0.14%)
($7,521) (-30.27%)
12.13 (+6.87)
01/19/[email protected]
Px to: MaturityPREFERREDSHeld Away
End YTW – ( – ) – ( – ) 5.535 (+2bps) 5.784 (+27bps) 6.147 (+63bps) 7.000 (+148bps) 7.938 (+242bps)
End Mat Term Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – )
($3,795) (-15.28%)($1,072) (-4.32%)$328 (+1.32%)$1,395 (+5.61%)$1,071 (+4.31%)$954 (+3.84%)Total Return5.500%
**25.000 (+0.16pts) 24.844 (-0.00pts) 23.775 (-1.07pts) 22.372 (-2.47pts) 19.644 (-5.20pts) 17.324 (-7.52pts)
Starting Mat Term: Perpetual
KIMCO REALTY CORP
Prin Returned **$25,000 **$25,000 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
744320607Pfd Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$120 (+0.48%)
$161 (+0.64%)
($94) (-0.38%)
Perpetual
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
**25.000 (-0.09pts)
– ( – )
1,000 shares
25.170
-1.749%
0.09
$120 (+0.48%)
$277 (+1.10%)
($94) (-0.38%)
– ( – )
$120 (+0.48%)
$393 (+1.56%)
($94) (-0.38%)
– ( – )
$120 (+0.48%)
$509 (+2.03%)
($94) (-0.38%)
– ( – )
$120 (+0.48%)
$625 (+2.49%)
($94) (-0.38%)
– ( – )
$1,438 (+5.73%)
$20 (+0.08%)
($266) (-1.06%)
4.07 (+3.99)
($578) (-2.30%)
$1,438 (+5.73%)
$25 (+0.10%)
($2,041) (-8.13%)
9.69 (+9.60)
01/19/[email protected]
Px to: CallPREFERREDSHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) ††5.790 (+754bps) ††6.236 (+799bps)
End Mat Term Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – )
$1,191 (+4.75%)$651 (+2.59%)$534 (+2.13%)$418 (+1.67%)$302 (+1.20%)$187 (+0.74%)Total Return5.750%
**25.000 (-0.09pts) **25.000 (-0.09pts) **25.000 (-0.09pts) **25.000 (-0.09pts) 24.828 (-0.27pts) 23.053 (-2.04pts)
Starting Mat Term: Perpetual
PRUDENTIAL FINL INC
Prin Returned **$25,000 **$25,000 **$25,000 **$25,000 **$25,000 $0 $0
Starting Factor: 1.00000000
74460W602Pfd Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$117 (+0.47%)
$161 (+0.64%)
($133) (-0.53%)
Perpetual
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
**25.000 (-0.13pts)
– ( – )
1,000 shares
25.160
-3.971%
0.09
$117 (+0.47%)
$277 (+1.10%)
($133) (-0.53%)
– ( – )
$117 (+0.47%)
$393 (+1.56%)
($133) (-0.53%)
– ( – )
$117 (+0.47%)
$509 (+2.02%)
($133) (-0.53%)
– ( – )
$117 (+0.47%)
$625 (+2.49%)
($133) (-0.53%)
– ( – )
$117 (+0.47%)
$858 (+3.42%)
($133) (-0.53%)
– ( – )
$1,077 (+4.28%)
$117 (+0.47%)
$1,092 (+4.35%)
($133) (-0.53%)
– ( – )
01/19/[email protected]
Px to: CallPREFERREDSHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
End Mat Term Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – )
$843 (+3.35%)$609 (+2.42%)$493 (+1.96%)$377 (+1.50%)$261 (+1.04%)$146 (+0.58%)Total Return5.625%
**25.000 (-0.13pts) **25.000 (-0.13pts) **25.000 (-0.13pts) **25.000 (-0.13pts) **25.000 (-0.13pts) **25.000 (-0.13pts)
Starting Mat Term: Perpetual
PUBLIC STORAGE
Prin Returned **$25,000 **$25,000 **$25,000 **$25,000 **$25,000 **$25,000 **$25,000
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performancereport as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 9 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
902973791Pfd Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$737 (+2.88%)
$78 (+0.30%)
($560) (-2.19%)
Perpetual
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
**25.000 (-0.56pts)
– ( – )
1,000 shares
25.850
0.777%
0.55
$737 (+2.88%)
$134 (+0.52%)
($560) (-2.19%)
– ( – )
$737 (+2.88%)
$189 (+0.74%)
($560) (-2.19%)
– ( – )
$737 (+2.88%)
$245 (+0.96%)
($560) (-2.19%)
– ( – )
$737 (+2.88%)
$301 (+1.18%)
($560) (-2.19%)
– ( – )
$1,277 (+4.99%)
$18 (+0.07%)
($1,341) (-5.25%)
7.59 (+7.03)
($2,409) (-9.42%)
$1,277 (+4.99%)
$23 (+0.09%)
($3,709) (-14.51%)
11.81 (+11.25)
07/15/[email protected]
Px to: CallPREFERREDSHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) ††5.319 (+455bps) ††5.896 (+512bps)
End Mat Term Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – )
($46) (-0.18%)$477 (+1.86%)$421 (+1.65%)$366 (+1.43%)$310 (+1.21%)$254 (+1.00%)Total Return5.150%
**25.000 (-0.56pts) **25.000 (-0.56pts) **25.000 (-0.56pts) **25.000 (-0.56pts) 24.219 (-1.34pts) 21.852 (-3.71pts)
Starting Mat Term: Perpetual
US BANCORP
Prin Returned **$25,000 **$25,000 **$25,000 **$25,000 **$25,000 $0 $0
Starting Factor: 1.00000000
494550AY2Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$231 (+0.90%)
$312 (+1.22%)
($147) (-0.59%)
02/15/2018
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
*100.000 (-0.59pts)
– ( – )
$25,000
100.589
1.971%
0.15
$231 (+0.90%)
$421 (+1.64%)
($147) (-0.59%)
– ( – )
$231 (+0.90%)
$531 (+2.07%)
($147) (-0.59%)
– ( – )
$231 (+0.90%)
$641 (+2.50%)
($147) (-0.59%)
– ( – )
$231 (+0.90%)
$751 (+2.93%)
($147) (-0.59%)
– ( – )
$231 (+0.90%)
$971 (+3.78%)
($147) (-0.59%)
– ( – )
$1,276 (+4.98%)
$231 (+0.90%)
$1,192 (+4.65%)
($147) (-0.59%)
– ( – )
Px to: MaturityINTERMEDIATEHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
End Mat Term – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
$1,055 (+4.11%)$835 (+3.25%)$725 (+2.82%)$615 (+2.40%)$506 (+1.97%)$396 (+1.54%)Total Return5.950%
*100.000 (-0.59pts) *100.000 (-0.59pts) *100.000 (-0.59pts) *100.000 (-0.59pts) *100.000 (-0.59pts) *100.000 (-0.59pts)
Starting Mat Term: 0.15 yrs
KINDER MORGAN ENERGY PARTNERS
Prin Returned *$25,000 *$25,000 *$25,000 *$25,000 *$25,000 *$25,000 *$25,000
Starting Factor: 1.00000000
494550AY2Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$231 (+0.90%)
$312 (+1.22%)
($147) (-0.59%)
02/15/2018
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
*100.000 (-0.59pts)
– ( – )
$25,000
100.589
1.971%
0.15
$231 (+0.90%)
$421 (+1.64%)
($147) (-0.59%)
– ( – )
$231 (+0.90%)
$531 (+2.07%)
($147) (-0.59%)
– ( – )
$231 (+0.90%)
$641 (+2.50%)
($147) (-0.59%)
– ( – )
$231 (+0.90%)
$751 (+2.93%)
($147) (-0.59%)
– ( – )
$231 (+0.90%)
$971 (+3.78%)
($147) (-0.59%)
– ( – )
$1,276 (+4.98%)
$231 (+0.90%)
$1,192 (+4.65%)
($147) (-0.59%)
– ( – )
Px to: MaturityINTERMEDIATEHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
End Mat Term – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
$1,055 (+4.11%)$835 (+3.25%)$725 (+2.82%)$615 (+2.40%)$506 (+1.97%)$396 (+1.54%)Total Return5.950%
*100.000 (-0.59pts) *100.000 (-0.59pts) *100.000 (-0.59pts) *100.000 (-0.59pts) *100.000 (-0.59pts) *100.000 (-0.59pts)
Starting Mat Term: 0.15 yrs
KINDER MORGAN ENERGY PARTNERS
Prin Returned *$25,000 *$25,000 *$25,000 *$25,000 *$25,000 *$25,000 *$25,000
Starting Factor: 1.00000000
32082BCL1CD Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$578 (+0.23%)
$1,433 (+0.57%)
($118) (-0.05%)
02/26/2018
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
*100.000 (-0.05pts)
– ( – )
$250,000
100.047
0.990%
0.18
$578 (+0.23%)
$2,459 (+0.98%)
($118) (-0.05%)
– ( – )
$578 (+0.23%)
$3,488 (+1.39%)
($118) (-0.05%)
– ( – )
$578 (+0.23%)
$4,518 (+1.80%)
($118) (-0.05%)
– ( – )
$578 (+0.23%)
$5,549 (+2.21%)
($118) (-0.05%)
– ( – )
$578 (+0.23%)
$7,617 (+3.03%)
($118) (-0.05%)
– ( – )
$10,152 (+4.04%)
$578 (+0.23%)
$9,692 (+3.86%)
($118) (-0.05%)
– ( – )
Px to: MaturityCD $1 MILLIONHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
End Mat Term – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
$8,078 (+3.22%)$6,010 (+2.39%)$4,978 (+1.98%)$3,948 (+1.57%)$2,920 (+1.16%)$1,893 (+0.75%)Total Return1.250%
*100.000 (-0.05pts) *100.000 (-0.05pts) *100.000 (-0.05pts) *100.000 (-0.05pts) *100.000 (-0.05pts) *100.000 (-0.05pts)
Starting Mat Term: 0.18 yrs
FIRST MERCHANTS BK N A MUNCIE
Prin Returned *$250,000 *$250,000 *$250,000 *$250,000 *$250,000 *$250,000 *$250,000
Starting Factor: 1.00000000
042735BB5Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$210 (+0.59%)
$416 (+1.18%)
($58) (-0.16%)
03/01/2018
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
*100.000 (-0.16pts)
– ( – )
$35,000
100.165
2.128%
0.19
$210 (+0.59%)
$559 (+1.58%)
($58) (-0.16%)
– ( – )
$210 (+0.59%)
$702 (+1.98%)
($58) (-0.16%)
– ( – )
$210 (+0.59%)
$845 (+2.39%)
($58) (-0.16%)
– ( – )
$210 (+0.59%)
$989 (+2.80%)
($58) (-0.16%)
– ( – )
$210 (+0.59%)
$1,277 (+3.61%)
($58) (-0.16%)
– ( – )
$1,717 (+4.86%)
$210 (+0.59%)
$1,565 (+4.42%)
($58) (-0.16%)
– ( – )
Px to: MaturityINTERMEDIATEHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
End Mat Term – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
$1,429 (+4.04%)$1,141 (+3.23%)$998 (+2.82%)$854 (+2.42%)$711 (+2.01%)$568 (+1.61%)Total Return3.000%
*100.000 (-0.16pts) *100.000 (-0.16pts) *100.000 (-0.16pts) *100.000 (-0.16pts) *100.000 (-0.16pts) *100.000 (-0.16pts)
Starting Mat Term: 0.19 yrs
ARROW ELECTRONICS INC
Prin Returned *$35,000 *$35,000 *$35,000 *$35,000 *$35,000 *$35,000 *$35,000
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 10 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
38141GFM1Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$871 (+1.70%)
$460 (+0.90%)
($582) (-1.15%)
04/01/2018
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
*100.000 (-1.16pts)
– ( – )
$50,000
101.165
1.908%
0.28
$871 (+1.70%)
$645 (+1.26%)
($582) (-1.15%)
– ( – )
$871 (+1.70%)
$831 (+1.62%)
($582) (-1.15%)
– ( – )
$871 (+1.70%)
$1,017 (+1.98%)
($582) (-1.15%)
– ( – )
$871 (+1.70%)
$1,203 (+2.35%)
($582) (-1.15%)
– ( – )
$871 (+1.70%)
$1,575 (+3.07%)
($582) (-1.15%)
– ( – )
$2,237 (+4.36%)
$871 (+1.70%)
$1,948 (+3.80%)
($582) (-1.15%)
– ( – )
Px to: MaturityINTERMEDIATEHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
End Mat Term – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
$1,864 (+3.64%)$1,491 (+2.91%)$1,306 (+2.55%)$1,120 (+2.18%)$934 (+1.82%)$749 (+1.46%)Total Return6.150%
*100.000 (-1.16pts) *100.000 (-1.16pts) *100.000 (-1.16pts) *100.000 (-1.16pts) *100.000 (-1.16pts) *100.000 (-1.16pts)
Starting Mat Term: 0.28 yrs
GOLDMAN SACHS GROUP INC
Prin Returned *$50,000 *$50,000 *$50,000 *$50,000 *$50,000 *$50,000 *$50,000
Starting Factor: 1.00000000
07370WK62CD Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$762 (+0.30%)
$1,143 (+0.45%)
$255 (+0.10%)
04/04/2018
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
*100.000 (+0.10pts)
– ( – )
$250,000
99.898
1.399%
0.28
$762 (+0.30%)
$2,040 (+0.81%)
$255 (+0.10%)
– ( – )
$762 (+0.30%)
$2,937 (+1.17%)
$255 (+0.10%)
– ( – )
$762 (+0.30%)
$3,836 (+1.52%)
$255 (+0.10%)
– ( – )
$762 (+0.30%)
$4,735 (+1.88%)
$255 (+0.10%)
– ( – )
$762 (+0.30%)
$6,537 (+2.60%)
$255 (+0.10%)
– ( – )
$9,359 (+3.72%)
$762 (+0.30%)
$8,342 (+3.32%)
$255 (+0.10%)
– ( – )
Px to: MaturityCD $1 MILLIONHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
End Mat Term – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
$7,554 (+3.00%)$5,753 (+2.29%)$4,853 (+1.93%)$3,955 (+1.57%)$3,057 (+1.22%)$2,160 (+0.86%)Total Return1.050%
*100.000 (+0.10pts) *100.000 (+0.10pts) *100.000 (+0.10pts) *100.000 (+0.10pts) *100.000 (+0.10pts) *100.000 (+0.10pts)
Starting Mat Term: 0.28 yrs
BEAL BK USA LAS VEGAS NEV
Prin Returned *$250,000 *$250,000 *$250,000 *$250,000 *$250,000 *$250,000 *$250,000
Starting Factor: 1.00000000
92937CFF0CD Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$814 (+0.32%)
$1,129 (+0.45%)
$225 (+0.09%)
04/06/2018
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
*100.000 (+0.09pts)
– ( – )
$250,000
99.910
1.400%
0.29
$814 (+0.32%)
$2,019 (+0.80%)
$225 (+0.09%)
– ( – )
$814 (+0.32%)
$2,909 (+1.16%)
$225 (+0.09%)
– ( – )
$814 (+0.32%)
$3,801 (+1.51%)
$225 (+0.09%)
– ( – )
$814 (+0.32%)
$4,694 (+1.86%)
$225 (+0.09%)
– ( – )
$814 (+0.32%)
$6,482 (+2.58%)
$225 (+0.09%)
– ( – )
$9,312 (+3.70%)
$814 (+0.32%)
$8,274 (+3.29%)
$225 (+0.09%)
– ( – )
Px to: MaturityCD $1 MILLIONHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
End Mat Term – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
$7,521 (+2.99%)$5,733 (+2.28%)$4,840 (+1.92%)$3,948 (+1.57%)$3,057 (+1.22%)$2,167 (+0.86%)Total Return1.100%
*100.000 (+0.09pts) *100.000 (+0.09pts) *100.000 (+0.09pts) *100.000 (+0.09pts) *100.000 (+0.09pts) *100.000 (+0.09pts)
Starting Mat Term: 0.29 yrs
WEX BK MIDVALE UTAH
Prin Returned *$250,000 *$250,000 *$250,000 *$250,000 *$250,000 *$250,000 *$250,000
Starting Factor: 1.00000000
172967ES6Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$1,242 (+2.43%)
$327 (+0.64%)
($838) (-1.65%)
05/15/2018
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
*100.000 (-1.68pts)
– ( – )
$50,000
101.677
1.889%
0.40
$1,242 (+2.43%)
$481 (+0.94%)
($838) (-1.65%)
– ( – )
$1,242 (+2.43%)
$634 (+1.24%)
($838) (-1.65%)
– ( – )
$1,242 (+2.43%)
$788 (+1.54%)
($838) (-1.65%)
– ( – )
$1,242 (+2.43%)
$941 (+1.84%)
($838) (-1.65%)
– ( – )
$1,242 (+2.43%)
$1,249 (+2.44%)
($838) (-1.65%)
– ( – )
$1,960 (+3.83%)
$1,242 (+2.43%)
$1,556 (+3.04%)
($838) (-1.65%)
– ( – )
Px to: MaturityINTERMEDIATEHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
End Mat Term – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
$1,652 (+3.23%)$1,345 (+2.63%)$1,191 (+2.33%)$1,038 (+2.03%)$884 (+1.73%)$731 (+1.43%)Total Return6.125%
*100.000 (-1.68pts) *100.000 (-1.68pts) *100.000 (-1.68pts) *100.000 (-1.68pts) *100.000 (-1.68pts) *100.000 (-1.68pts)
Starting Mat Term: 0.40 yrs
CITIGROUP INC
Prin Returned *$50,000 *$50,000 *$50,000 *$50,000 *$50,000 *$50,000 *$50,000
Starting Factor: 1.00000000
36163CRL6CD Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,011 (+0.80%)
$646 (+0.26%)
($118) (-0.05%)
06/20/2018
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
*100.000 (-0.05pts)
– ( – )
$250,000
100.047
1.504%
0.49
$2,011 (+0.80%)
$1,283 (+0.51%)
($118) (-0.05%)
– ( – )
$2,011 (+0.80%)
$1,919 (+0.76%)
($118) (-0.05%)
– ( – )
$2,011 (+0.80%)
$2,556 (+1.01%)
($118) (-0.05%)
– ( – )
$2,011 (+0.80%)
$3,193 (+1.27%)
($118) (-0.05%)
– ( – )
$2,011 (+0.80%)
$4,466 (+1.77%)
($118) (-0.05%)
– ( – )
$7,633 (+3.03%)
$2,011 (+0.80%)
$5,739 (+2.28%)
($118) (-0.05%)
– ( – )
Px to: MaturityCD $1 MILLIONHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
End Mat Term – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – )
$6,359 (+2.52%)$5,086 (+2.02%)$4,450 (+1.76%)$3,813 (+1.51%)$3,177 (+1.26%)$2,540 (+1.01%)Total Return1.600%
*100.000 (-0.05pts) *100.000 (-0.05pts) *100.000 (-0.05pts) *100.000 (-0.05pts) *100.000 (-0.05pts) *100.000 (-0.05pts)
Starting Mat Term: 0.50 yrs
GE CAPITAL BANK, SALT LAKE CIT
Prin Returned *$250,000 *$250,000 *$250,000 *$250,000 *$250,000 *$250,000 *$250,000
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 11 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
06050WCF0Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,700 (+5.14%)
$22 (+0.04%)
($1,320) (-2.56%)
02/15/2019
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
100.665 (-2.64pts)
0.15 (-0.94)
$50,000
103.306
2.464%
1.10
$2,700 (+5.14%)
$30 (+0.06%)
($1,360) (-2.63%)
0.15 (-0.94)
$2,700 (+5.14%)
$38 (+0.07%)
($1,399) (-2.71%)
0.15 (-0.95)
$2,700 (+5.14%)
$46 (+0.09%)
($1,439) (-2.79%)
0.15 (-0.95)
$2,700 (+5.14%)
$54 (+0.10%)
($1,478) (-2.86%)
0.15 (-0.95)
$2,700 (+5.14%)
$70 (+0.13%)
($1,556) (-3.01%)
0.15 (-0.95)
$1,153 (+2.19%)
$2,700 (+5.14%)
$87 (+0.16%)
($1,634) (-3.16%)
0.15 (-0.95)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.097 (-137bps) 1.594 (-87bps) 2.091 (-38bps) 2.587 (+13bps) 3.082 (+62bps) 4.070 (+161bps) 5.055 (+259bps)
End Mat Term 0.16yrs (-1.00yrs) 0.16yrs (-1.00yrs) 0.16yrs (-1.00yrs) 0.16yrs (-1.00yrs) 0.16yrs (-1.00yrs) 0.16yrs (-1.00yrs) 0.16yrs (-1.00yrs)
$1,214 (+2.31%)$1,276 (+2.43%)$1,307 (+2.49%)$1,339 (+2.55%)$1,370 (+2.60%)$1,401 (+2.66%)Total Return5.400%
100.586 (-2.72pts) 100.507 (-2.80pts) 100.428 (-2.88pts) 100.350 (-2.96pts) 100.194 (-3.11pts) 100.039 (-3.27pts)
Starting Mat Term: 1.15 yrs
BANK AMER CORP SR INTNOTES BE
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
571903AJ2Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$1,425 (+2.80%)
$36 (+0.07%)
($346) (-0.69%)
03/01/2019
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
**100.000 (-0.69pts)
– ( – )
$50,000
100.693
2.254%
0.94
$1,425 (+2.80%)
$53 (+0.10%)
($346) (-0.69%)
– ( – )
$1,425 (+2.80%)
$70 (+0.14%)
($346) (-0.69%)
– ( – )
$1,425 (+2.80%)
$86 (+0.17%)
($346) (-0.69%)
– ( – )
$1,425 (+2.80%)
$103 (+0.20%)
($346) (-0.69%)
– ( – )
$1,500 (+2.95%)
$35 (+0.07%)
($439) (-0.87%)
0.20 (-0.74)
$1,005 (+1.98%)
$1,500 (+2.95%)
$43 (+0.08%)
($538) (-1.07%)
0.20 (-0.75)
12/01/[email protected]
Px to: CallINTERMEDIATEHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) ††3.900 (+165bps) ††4.887 (+264bps)
End Mat Term – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) 0.20yrs (-1.00yrs) 0.20yrs (-1.00yrs)
$1,095 (+2.16%)$1,181 (+2.33%)$1,165 (+2.29%)$1,148 (+2.26%)$1,132 (+2.23%)$1,115 (+2.20%)Total Return3.000%
**100.000 (-0.69pts) **100.000 (-0.69pts) **100.000 (-0.69pts) **100.000 (-0.69pts) 99.814 (-0.88pts) 99.618 (-1.08pts)
Starting Mat Term: 1.19 yrs
MARRIOTT INTL
Prin Returned **$50,000 **$50,000 **$50,000 **$50,000 **$50,000 $0 $0
Starting Factor: 1.00000000
38141EN88Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$430 (+4.20%)
$3 (+0.03%)
($128) (-1.25%)
04/15/2019
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
100.998 (-1.28pts)
0.32 (-0.95)
$10,000
102.276
2.540%
1.27
$430 (+4.20%)
$4 (+0.04%)
($144) (-1.41%)
0.32 (-0.95)
$430 (+4.20%)
$5 (+0.05%)
($160) (-1.56%)
0.32 (-0.95)
$430 (+4.20%)
$6 (+0.06%)
($176) (-1.72%)
0.32 (-0.95)
$430 (+4.20%)
$7 (+0.07%)
($192) (-1.87%)
0.32 (-0.95)
$430 (+4.20%)
$9 (+0.09%)
($223) (-2.18%)
0.31 (-0.95)
$186 (+1.82%)
$430 (+4.20%)
$11 (+0.11%)
($254) (-2.49%)
0.31 (-0.95)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.195 (-135bps) 1.692 (-85bps) 2.187 (-36bps) 2.682 (+15bps) 3.176 (+64bps) 4.161 (+163bps) 5.142 (+261bps)
End Mat Term 0.32yrs (-1.00yrs) 0.32yrs (-1.00yrs) 0.32yrs (-1.00yrs) 0.32yrs (-1.00yrs) 0.32yrs (-1.00yrs) 0.32yrs (-1.00yrs) 0.32yrs (-1.00yrs)
$216 (+2.11%)$245 (+2.40%)$260 (+2.54%)$275 (+2.69%)$290 (+2.83%)$305 (+2.98%)Total Return4.300%
100.838 (-1.44pts) 100.678 (-1.60pts) 100.518 (-1.76pts) 100.360 (-1.92pts) 100.044 (-2.23pts) 99.732 (-2.54pts)
Starting Mat Term: 1.32 yrs
GOLDMAN SACHS GRP INC MTN BE
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
06050WDT9Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,375 (+4.54%)
$19 (+0.04%)
($500) (-0.97%)
09/15/2019
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
102.350 (-1.00pts)
0.72 (-0.92)
$50,000
103.349
2.756%
1.64
$2,375 (+4.54%)
$25 (+0.05%)
($686) (-1.33%)
0.72 (-0.92)
$2,375 (+4.54%)
$31 (+0.06%)
($871) (-1.69%)
0.72 (-0.93)
$2,375 (+4.54%)
$37 (+0.07%)
($1,056) (-2.04%)
0.72 (-0.93)
$2,375 (+4.54%)
$43 (+0.08%)
($1,239) (-2.40%)
0.71 (-0.93)
$2,375 (+4.54%)
$55 (+0.11%)
($1,601) (-3.10%)
0.71 (-0.93)
$483 (+0.92%)
$2,375 (+4.54%)
$68 (+0.13%)
($1,960) (-3.79%)
0.71 (-0.94)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.537 (-122bps) 2.037 (-72bps) 2.537 (-22bps) 3.038 (+29bps) 3.538 (+79bps) 4.538 (+179bps) 5.538 (+279bps)
End Mat Term 0.74yrs (-1.00yrs) 0.74yrs (-1.00yrs) 0.74yrs (-1.00yrs) 0.74yrs (-1.00yrs) 0.74yrs (-1.00yrs) 0.74yrs (-1.00yrs) 0.74yrs (-1.00yrs)
$829 (+1.58%)$1,180 (+2.26%)$1,356 (+2.59%)$1,535 (+2.93%)$1,714 (+3.28%)$1,894 (+3.62%)Total Return4.750%
101.977 (-1.37pts) 101.606 (-1.74pts) 101.238 (-2.11pts) 100.872 (-2.48pts) 100.146 (-3.20pts) 99.429 (-3.92pts)
Starting Mat Term: 1.73 yrs
BANK AMER CORP SR INTNOTES BE
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
12189TBC7Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$1,175 (+4.46%)
$5 (+0.02%)
($373) (-1.43%)
10/01/2019
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
102.917 (-1.49pts)
0.77 (-0.93)
$25,000
104.410
2.156%
1.70
$1,175 (+4.46%)
$8 (+0.03%)
($473) (-1.81%)
0.77 (-0.93)
$1,175 (+4.46%)
$11 (+0.04%)
($572) (-2.19%)
0.76 (-0.93)
$1,175 (+4.46%)
$13 (+0.05%)
($670) (-2.57%)
0.76 (-0.93)
$1,175 (+4.46%)
$16 (+0.06%)
($768) (-2.94%)
0.76 (-0.93)
$1,175 (+4.46%)
$22 (+0.08%)
($961) (-3.68%)
0.76 (-0.94)
$50 (+0.19%)
$1,175 (+4.46%)
$27 (+0.10%)
($1,152) (-4.41%)
0.75 (-0.94)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 0.952 (-121bps) 1.452 (-71bps) 1.952 (-21bps) 2.452 (+30bps) 2.952 (+80bps) 3.953 (+180bps) 4.953 (+280bps)
End Mat Term 0.79yrs (-1.00yrs) 0.79yrs (-1.00yrs) 0.79yrs (-1.00yrs) 0.79yrs (-1.00yrs) 0.79yrs (-1.00yrs) 0.79yrs (-1.00yrs) 0.79yrs (-1.00yrs)
$236 (+0.89%)$424 (+1.61%)$518 (+1.97%)$614 (+2.33%)$710 (+2.69%)$807 (+3.06%)Total Return4.700%
102.519 (-1.89pts) 102.123 (-2.29pts) 101.730 (-2.68pts) 101.340 (-3.07pts) 100.566 (-3.84pts) 99.801 (-4.61pts)
Starting Mat Term: 1.78 yrs
BURLINGTON NORTHN SANTA FE
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 12 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
884903BG9Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$3,525 (+4.49%)
$19 (+0.02%)
($813) (-1.04%)
10/15/2019
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
102.742 (-1.08pts)
0.81 (-0.92)
$75,000
103.826
2.530%
1.73
$3,525 (+4.49%)
$27 (+0.03%)
($1,125) (-1.44%)
0.80 (-0.93)
$3,525 (+4.49%)
$35 (+0.04%)
($1,435) (-1.84%)
0.80 (-0.93)
$3,525 (+4.49%)
$42 (+0.05%)
($1,743) (-2.24%)
0.80 (-0.93)
$3,525 (+4.49%)
$50 (+0.06%)
($2,049) (-2.63%)
0.80 (-0.93)
$3,525 (+4.49%)
$65 (+0.08%)
($2,655) (-3.41%)
0.79 (-0.94)
$352 (+0.45%)
$3,525 (+4.49%)
$80 (+0.10%)
($3,253) (-4.18%)
0.79 (-0.94)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.334 (-120bps) 1.834 (-70bps) 2.335 (-20bps) 2.835 (+31bps) 3.335 (+81bps) 4.335 (+181bps) 5.335 (+281bps)
End Mat Term 0.82yrs (-1.00yrs) 0.82yrs (-1.00yrs) 0.82yrs (-1.00yrs) 0.82yrs (-1.00yrs) 0.82yrs (-1.00yrs) 0.82yrs (-1.00yrs) 0.82yrs (-1.00yrs)
$935 (+1.19%)$1,526 (+1.94%)$1,824 (+2.32%)$2,124 (+2.71%)$2,427 (+3.09%)$2,731 (+3.48%)Total Return4.700%
102.326 (-1.50pts) 101.913 (-1.91pts) 101.502 (-2.32pts) 101.094 (-2.73pts) 100.286 (-3.54pts) 99.489 (-4.34pts)
Starting Mat Term: 1.82 yrs
THOMSON REUTERS CORP
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
38141E7K9Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$1,920 (+4.58%)
$8 (+0.02%)
($470) (-1.13%)
11/15/2019
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
103.161 (-1.17pts)
0.89 (-0.92)
$40,000
104.335
2.450%
1.81
$1,920 (+4.58%)
$11 (+0.03%)
($653) (-1.56%)
0.89 (-0.93)
$1,920 (+4.58%)
$14 (+0.03%)
($836) (-2.00%)
0.88 (-0.93)
$1,920 (+4.58%)
$18 (+0.04%)
($1,017) (-2.44%)
0.88 (-0.93)
$1,920 (+4.58%)
$21 (+0.05%)
($1,196) (-2.87%)
0.88 (-0.93)
$1,920 (+4.58%)
$28 (+0.07%)
($1,552) (-3.72%)
0.88 (-0.94)
$51 (+0.12%)
$1,920 (+4.58%)
$34 (+0.08%)
($1,903) (-4.56%)
0.87 (-0.94)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.278 (-118bps) 1.778 (-68bps) 2.278 (-18bps) 2.778 (+33bps) 3.278 (+83bps) 4.279 (+183bps) 5.279 (+283bps)
End Mat Term 0.91yrs (-1.00yrs) 0.91yrs (-1.00yrs) 0.91yrs (-1.00yrs) 0.91yrs (-1.00yrs) 0.91yrs (-1.00yrs) 0.91yrs (-1.00yrs) 0.91yrs (-1.00yrs)
$395 (+0.94%)$745 (+1.78%)$921 (+2.20%)$1,099 (+2.62%)$1,278 (+3.05%)$1,458 (+3.48%)Total Return4.800%
102.702 (-1.63pts) 102.246 (-2.09pts) 101.794 (-2.54pts) 101.344 (-2.99pts) 100.455 (-3.88pts) 99.577 (-4.76pts)
Starting Mat Term: 1.90 yrs
GOLDMAN SACHS GRP INC MTN BE
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
25389JAH9Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$1,469 (+5.42%)
$11 (+0.04%)
($565) (-2.13%)
02/01/2020
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
103.976 (-2.26pts)
0.83 (-0.90)
$25,000
106.236
2.428%
1.74
$1,469 (+5.42%)
$16 (+0.06%)
($675) (-2.54%)
0.83 (-0.90)
$1,469 (+5.42%)
$21 (+0.08%)
($785) (-2.96%)
0.83 (-0.91)
$1,469 (+5.42%)
$25 (+0.09%)
($894) (-3.37%)
0.83 (-0.91)
$1,469 (+5.42%)
$30 (+0.11%)
($1,002) (-3.77%)
0.83 (-0.91)
$1,469 (+5.42%)
$39 (+0.15%)
($1,217) (-4.58%)
0.83 (-0.91)
$80 (+0.29%)
$1,469 (+5.42%)
$49 (+0.18%)
($1,438) (-5.41%)
0.91 (-0.83)
11/01/[email protected]
Px to: CallINTERMEDIATEHeld Away
End YTW 1.249 (-118bps) 1.749 (-68bps) 2.249 (-18bps) 2.750 (+33bps) 3.250 (+83bps) 4.251 (+183bps) 5.300 (+288bps)
End Mat Term 1.12yrs (-1.00yrs) 1.12yrs (-1.00yrs) 1.12yrs (-1.00yrs) 1.12yrs (-1.00yrs) 1.12yrs (-1.00yrs) 1.12yrs (-1.00yrs) 1.12yrs (-1.00yrs)
$292 (+1.08%)$497 (+1.83%)$600 (+2.21%)$705 (+2.60%)$810 (+2.98%)$915 (+3.38%)Total Return5.875%
103.535 (-2.70pts) 103.096 (-3.14pts) 102.660 (-3.58pts) 102.228 (-4.01pts) 101.370 (-4.87pts) 100.484 (-5.75pts)
Starting Mat Term: 2.11 yrs
DIGITAL RLTY TR LP
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
00206RCY6Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,496 (+4.85%)
$15 (+0.03%)
($550) (-1.08%)
03/15/2020
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
104.720 (-1.15pts)
1.19 (-0.90)
$48,000
105.866
2.482%
2.09
$2,496 (+4.85%)
$22 (+0.04%)
($853) (-1.68%)
1.19 (-0.90)
$2,496 (+4.85%)
$28 (+0.06%)
($1,153) (-2.27%)
1.19 (-0.90)
$2,496 (+4.85%)
$35 (+0.07%)
($1,451) (-2.86%)
1.19 (-0.91)
$2,496 (+4.85%)
$41 (+0.08%)
($1,746) (-3.44%)
1.18 (-0.91)
$2,496 (+4.85%)
$54 (+0.10%)
($2,329) (-4.58%)
1.18 (-0.91)
($340) (-0.66%)
$2,496 (+4.85%)
$67 (+0.13%)
($2,903) (-5.71%)
1.17 (-0.92)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.344 (-114bps) 1.844 (-64bps) 2.345 (-14bps) 2.845 (+37bps) 3.345 (+87bps) 4.346 (+187bps) 5.346 (+287bps)
End Mat Term 1.24yrs (-1.00yrs) 1.24yrs (-1.00yrs) 1.24yrs (-1.00yrs) 1.24yrs (-1.00yrs) 1.24yrs (-1.00yrs) 1.24yrs (-1.00yrs) 1.24yrs (-1.00yrs)
$220 (+0.43%)$791 (+1.54%)$1,079 (+2.10%)$1,371 (+2.66%)$1,665 (+3.24%)$1,961 (+3.81%)Total Return5.200%
104.089 (-1.78pts) 103.463 (-2.40pts) 102.843 (-3.02pts) 102.228 (-3.64pts) 101.013 (-4.85pts) 99.819 (-6.05pts)
Starting Mat Term: 2.23 yrs
AT&T INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
42217KAS5Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$3,062 (+5.60%)
$15 (+0.03%)
($969) (-1.79%)
04/15/2020
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
106.271 (-1.94pts)
1.27 (-0.88)
$50,000
108.209
2.456%
2.16
$3,062 (+5.60%)
$22 (+0.04%)
($1,309) (-2.42%)
1.27 (-0.89)
$3,062 (+5.60%)
$28 (+0.05%)
($1,646) (-3.04%)
1.27 (-0.89)
$3,062 (+5.60%)
$35 (+0.06%)
($1,980) (-3.66%)
1.26 (-0.89)
$3,062 (+5.60%)
$41 (+0.08%)
($2,311) (-4.27%)
1.26 (-0.90)
$3,062 (+5.60%)
$54 (+0.10%)
($2,964) (-5.48%)
1.25 (-0.90)
($475) (-0.87%)
$3,062 (+5.60%)
$68 (+0.12%)
($3,605) (-6.66%)
1.25 (-0.91)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.324 (-114bps) 1.824 (-64bps) 2.325 (-14bps) 2.825 (+37bps) 3.325 (+87bps) 4.326 (+187bps) 5.326 (+287bps)
End Mat Term 1.33yrs (-1.00yrs) 1.33yrs (-1.00yrs) 1.33yrs (-1.00yrs) 1.33yrs (-1.00yrs) 1.33yrs (-1.00yrs) 1.33yrs (-1.00yrs) 1.33yrs (-1.00yrs)
$153 (+0.28%)$793 (+1.45%)$1,117 (+2.04%)$1,445 (+2.64%)$1,775 (+3.25%)$2,108 (+3.86%)Total Return6.125%
105.591 (-2.62pts) 104.917 (-3.29pts) 104.249 (-3.96pts) 103.588 (-4.62pts) 102.281 (-5.93pts) 100.998 (-7.21pts)
Starting Mat Term: 2.32 yrs
HEALTH CARE REIT INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 13 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
053332AL6Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,000 (+3.84%)
$8 (+0.02%)
$252 (+0.49%)
11/15/2020
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
104.225 (+0.50pts)
1.60 (-0.91)
$50,000
103.720
2.540%
2.52
$2,000 (+3.84%)
$11 (+0.02%)
($165) (-0.32%)
1.60 (-0.92)
$2,000 (+3.84%)
$15 (+0.03%)
($577) (-1.11%)
1.60 (-0.92)
$2,000 (+3.84%)
$18 (+0.04%)
($987) (-1.90%)
1.61 (-0.90)
$2,000 (+3.84%)
$22 (+0.04%)
($1,403) (-2.71%)
1.67 (-0.85)
$2,000 (+3.84%)
$29 (+0.06%)
($2,274) (-4.38%)
1.78 (-0.74)
($1,124) (-2.16%)
$2,000 (+3.84%)
$36 (+0.07%)
($3,159) (-6.09%)
1.80 (-0.72)
08/15/[email protected]
Px to: CallINTERMEDIATEHeld Away
End YTW 1.410 (-113bps) 1.911 (-63bps) 2.411 (-13bps) 2.914 (+38bps) 3.429 (+89bps) ††4.457 (+192bps) ††5.452 (+292bps)
End Mat Term 1.91yrs (-1.00yrs) 1.91yrs (-1.00yrs) 1.91yrs (-1.00yrs) 1.91yrs (-1.00yrs) 1.91yrs (-1.00yrs) 1.91yrs (-1.00yrs) 1.91yrs (-1.00yrs)
($245) (-0.47%)$619 (+1.19%)$1,031 (+1.98%)$1,438 (+2.76%)$1,847 (+3.55%)$2,260 (+4.34%)Total Return4.000%
103.391 (-0.33pts) 102.565 (-1.15pts) 101.745 (-1.97pts) 100.914 (-2.81pts) 99.172 (-4.55pts) 97.402 (-6.32pts)
Starting Mat Term: 2.90 yrs
AUTOZONE INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
428236BF9Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$1,875 (+3.66%)
$8 (+0.02%)
$699 (+1.37%)
12/01/2020
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
103.727 (+1.40pts)
1.88 (-0.89)
$50,000
102.329
2.918%
2.78
$1,875 (+3.66%)
$11 (+0.02%)
$213 (+0.42%)
1.88 (-0.90)
$1,875 (+3.66%)
$14 (+0.03%)
($267) (-0.52%)
1.87 (-0.90)
$1,875 (+3.66%)
$17 (+0.03%)
($741) (-1.45%)
1.87 (-0.91)
$1,875 (+3.66%)
$20 (+0.04%)
($1,210) (-2.36%)
1.86 (-0.91)
$1,875 (+3.66%)
$25 (+0.05%)
($2,131) (-4.16%)
1.85 (-0.92)
($1,125) (-2.19%)
$1,875 (+3.66%)
$31 (+0.06%)
($3,030) (-5.92%)
1.84 (-0.93)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.797 (-113bps) 2.297 (-63bps) 2.798 (-13bps) 3.298 (+38bps) 3.799 (+88bps) 4.800 (+189bps) 5.801 (+289bps)
End Mat Term 1.96yrs (-1.00yrs) 1.96yrs (-1.00yrs) 1.96yrs (-1.00yrs) 1.96yrs (-1.00yrs) 1.96yrs (-1.00yrs) 1.96yrs (-1.00yrs) 1.96yrs (-1.00yrs)
($231) (-0.45%)$684 (+1.34%)$1,150 (+2.24%)$1,622 (+3.16%)$2,099 (+4.10%)$2,582 (+5.04%)Total Return3.750%
102.755 (+0.43pts) 101.795 (-0.53pts) 100.846 (-1.48pts) 99.909 (-2.42pts) 98.067 (-4.26pts) 96.268 (-6.06pts)
Starting Mat Term: 2.94 yrs
HEWLETT-PACKARD COMPANY
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
00206RDA7Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,400 (+4.60%)
$17 (+0.03%)
$163 (+0.32%)
03/01/2021
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
107.442 (+0.34pts)
2.07 (-0.85)
$48,000
107.102
2.665%
2.93
$2,400 (+4.60%)
$23 (+0.04%)
($375) (-0.73%)
2.07 (-0.86)
$2,400 (+4.60%)
$30 (+0.06%)
($907) (-1.76%)
2.06 (-0.86)
$2,400 (+4.60%)
$37 (+0.07%)
($1,431) (-2.78%)
2.06 (-0.87)
$2,400 (+4.60%)
$43 (+0.08%)
($1,949) (-3.79%)
2.05 (-0.88)
$2,400 (+4.60%)
$57 (+0.11%)
($2,964) (-5.76%)
2.04 (-0.89)
($1,483) (-2.84%)
$2,400 (+4.60%)
$70 (+0.13%)
($3,953) (-7.69%)
2.03 (-0.90)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.546 (-112bps) 2.047 (-62bps) 2.547 (-12bps) 3.048 (+39bps) 3.548 (+89bps) 4.549 (+189bps) 5.551 (+289bps)
End Mat Term 2.20yrs (-1.00yrs) 2.20yrs (-1.00yrs) 2.20yrs (-1.00yrs) 2.20yrs (-1.00yrs) 2.20yrs (-1.00yrs) 2.20yrs (-1.00yrs) 2.20yrs (-1.00yrs)
($507) (-0.97%)$495 (+0.95%)$1,006 (+1.93%)$1,523 (+2.92%)$2,048 (+3.93%)$2,580 (+4.95%)Total Return5.000%
106.320 (-0.78pts) 105.213 (-1.89pts) 104.120 (-2.98pts) 103.042 (-4.06pts) 100.927 (-6.17pts) 98.867 (-8.23pts)
Starting Mat Term: 3.19 yrs
AT&T INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
26054LWK5Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$785 (+1.04%)
$895 (+1.19%)
($19) (-0.02%)
04/15/2021
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
**100.000 (-0.02pts)
– ( – )
$75,000
100.025
3.151%
1.65
$785 (+1.04%)
$1,154 (+1.53%)
($19) (-0.02%)
– ( – )
$785 (+1.04%)
$1,414 (+1.87%)
($19) (-0.02%)
– ( – )
$2,438 (+3.23%)
$33 (+0.04%)
($494) (-0.66%)
1.97 (+0.32)
$2,438 (+3.23%)
$39 (+0.05%)
($1,300) (-1.73%)
2.18 (+0.54)
$2,438 (+3.23%)
$49 (+0.06%)
($2,909) (-3.88%)
2.19 (+0.54)
($1,979) (-2.62%)
$2,438 (+3.23%)
$60 (+0.08%)
($4,476) (-5.97%)
2.18 (+0.53)
04/15/[email protected]
Px to: CallINTERMEDIATEHeld Away
End YTW – ( – ) – ( – ) – ( – ) ††3.535 (+39bps) ††4.027 (+88bps) ††5.027 (+188bps) ††6.029 (+288bps)
End Mat Term – ( – ) – ( – ) – ( – ) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs)
($422) (-0.56%)$1,176 (+1.56%)$1,977 (+2.62%)$2,180 (+2.89%)$1,921 (+2.55%)$1,662 (+2.20%)Total Return3.250%
**100.000 (-0.02pts) **100.000 (-0.02pts) 99.367 (-0.66pts) 98.292 (-1.73pts) 96.147 (-3.88pts) 94.057 (-5.97pts)
Starting Mat Term: 3.32 yrs
DOW CHEM CO SR INTERNOTES
Prin Returned **$75,000 **$75,000 **$75,000 $0 $0 $0 $0
Starting Factor: 1.00000000
472319AH5Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$3,438 (+6.07%)
$23 (+0.04%)
($421) (-0.75%)
04/15/2021
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
111.241 (-0.84pts)
2.15 (-0.82)
$50,000
112.084
3.017%
2.97
$3,438 (+6.07%)
$31 (+0.05%)
($1,023) (-1.82%)
2.15 (-0.82)
$3,438 (+6.07%)
$38 (+0.07%)
($1,616) (-2.88%)
2.14 (-0.83)
$3,438 (+6.07%)
$46 (+0.08%)
($2,201) (-3.93%)
2.14 (-0.83)
$3,438 (+6.07%)
$53 (+0.09%)
($2,779) (-4.96%)
2.13 (-0.84)
$3,438 (+6.07%)
$68 (+0.12%)
($3,910) (-6.98%)
2.12 (-0.85)
($1,492) (-2.63%)
$3,438 (+6.07%)
$82 (+0.14%)
($5,012) (-8.94%)
2.10 (-0.87)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.903 (-112bps) 2.403 (-62bps) 2.904 (-12bps) 3.404 (+39bps) 3.905 (+89bps) 4.906 (+189bps) 5.907 (+289bps)
End Mat Term 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs)
($405) (-0.72%)$712 (+1.26%)$1,282 (+2.26%)$1,859 (+3.28%)$2,445 (+4.32%)$3,039 (+5.36%)Total Return6.875%
110.038 (-2.05pts) 108.852 (-3.23pts) 107.681 (-4.40pts) 106.526 (-5.56pts) 104.264 (-7.82pts) 102.061 (-10.02pts)
Starting Mat Term: 3.32 yrs
JEFFERIES GROUP INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 14 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
472319AH5Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$3,438 (+6.07%)
$23 (+0.04%)
($421) (-0.75%)
04/15/2021
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
111.241 (-0.84pts)
2.15 (-0.82)
$50,000
112.084
3.017%
2.97
$3,438 (+6.07%)
$31 (+0.05%)
($1,023) (-1.82%)
2.15 (-0.82)
$3,438 (+6.07%)
$38 (+0.07%)
($1,616) (-2.88%)
2.14 (-0.83)
$3,438 (+6.07%)
$46 (+0.08%)
($2,201) (-3.93%)
2.14 (-0.83)
$3,438 (+6.07%)
$53 (+0.09%)
($2,779) (-4.96%)
2.13 (-0.84)
$3,438 (+6.07%)
$68 (+0.12%)
($3,910) (-6.98%)
2.12 (-0.85)
($1,492) (-2.63%)
$3,438 (+6.07%)
$82 (+0.14%)
($5,012) (-8.94%)
2.10 (-0.87)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.903 (-112bps) 2.403 (-62bps) 2.904 (-12bps) 3.404 (+39bps) 3.905 (+89bps) 4.906 (+189bps) 5.907 (+289bps)
End Mat Term 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs) 2.33yrs (-1.00yrs)
($405) (-0.72%)$712 (+1.26%)$1,282 (+2.26%)$1,859 (+3.28%)$2,445 (+4.32%)$3,039 (+5.36%)Total Return6.875%
110.038 (-2.05pts) 108.852 (-3.23pts) 107.681 (-4.40pts) 106.526 (-5.56pts) 104.264 (-7.82pts) 102.061 (-10.02pts)
Starting Mat Term: 3.32 yrs
JEFFERIES GROUP INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
345370BU3Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,304 (+7.47%)
$21 (+0.07%)
($527) (-1.74%)
09/15/2021
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
118.791 (-2.11pts)
2.44 (-0.75)
$25,000
120.900
3.225%
3.19
$2,304 (+7.47%)
$27 (+0.09%)
($894) (-2.96%)
2.43 (-0.76)
$2,304 (+7.47%)
$33 (+0.11%)
($1,254) (-4.15%)
2.42 (-0.77)
$2,304 (+7.47%)
$39 (+0.13%)
($1,609) (-5.32%)
2.41 (-0.77)
$2,304 (+7.47%)
$45 (+0.14%)
($1,959) (-6.48%)
2.40 (-0.78)
$2,304 (+7.47%)
$56 (+0.18%)
($2,643) (-8.74%)
2.39 (-0.80)
($934) (-3.03%)
$2,304 (+7.47%)
$68 (+0.22%)
($3,306) (-10.94%)
2.37 (-0.81)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 2.115 (-111bps) 2.616 (-61bps) 3.117 (-11bps) 3.618 (+40bps) 4.118 (+90bps) 5.120 (+190bps) 6.121 (+290bps)
End Mat Term 2.75yrs (-1.00yrs) 2.75yrs (-1.00yrs) 2.75yrs (-1.00yrs) 2.75yrs (-1.00yrs) 2.75yrs (-1.00yrs) 2.75yrs (-1.00yrs) 2.75yrs (-1.00yrs)
($282) (-0.92%)$389 (+1.26%)$733 (+2.38%)$1,082 (+3.51%)$1,437 (+4.66%)$1,798 (+5.83%)Total Return9.215%
117.326 (-3.57pts) 115.883 (-5.02pts) 114.462 (-6.44pts) 113.064 (-7.84pts) 110.329 (-10.57pts) 107.677 (-13.22pts)
Starting Mat Term: 3.73 yrs
FORD MTR CO DEL
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
655664AP5Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,000 (+3.86%)
$14 (+0.03%)
$1,054 (+2.05%)
10/15/2021
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
104.890 (+2.11pts)
2.44 (-0.94)
$50,000
102.781
3.169%
3.37
$2,000 (+3.86%)
$19 (+0.04%)
$416 (+0.81%)
2.44 (-0.94)
$2,000 (+3.86%)
$23 (+0.04%)
($218) (-0.42%)
2.47 (-0.91)
$2,000 (+3.86%)
$27 (+0.05%)
($856) (-1.66%)
2.52 (-0.85)
$2,000 (+3.86%)
$32 (+0.06%)
($1,501) (-2.92%)
2.58 (-0.79)
$2,000 (+3.86%)
$40 (+0.08%)
($2,791) (-5.43%)
2.61 (-0.76)
($2,001) (-3.87%)
$2,000 (+3.86%)
$49 (+0.09%)
($4,050) (-7.88%)
2.60 (-0.77)
07/15/[email protected]
Px to: CallINTERMEDIATEHeld Away
End YTW 2.040 (-113bps) 2.541 (-63bps) 3.045 (-13bps) 3.562 (+40bps) ††4.082 (+92bps) ††5.076 (+191bps) ††6.077 (+291bps)
End Mat Term 2.83yrs (-1.00yrs) 2.83yrs (-1.00yrs) 2.83yrs (-1.00yrs) 2.83yrs (-1.00yrs) 2.83yrs (-1.00yrs) 2.83yrs (-1.00yrs) 2.83yrs (-1.00yrs)
($751) (-1.45%)$531 (+1.02%)$1,172 (+2.26%)$1,806 (+3.49%)$2,435 (+4.70%)$3,069 (+5.93%)Total Return4.000%
103.613 (+0.83pts) 102.346 (-0.44pts) 101.069 (-1.71pts) 99.779 (-3.00pts) 97.199 (-5.58pts) 94.682 (-8.10pts)
Starting Mat Term: 3.82 yrs
NORDSTROM INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
655664AP5Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,000 (+3.86%)
$14 (+0.03%)
$1,054 (+2.05%)
10/15/2021
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
104.890 (+2.11pts)
2.44 (-0.94)
$50,000
102.781
3.169%
3.37
$2,000 (+3.86%)
$19 (+0.04%)
$416 (+0.81%)
2.44 (-0.94)
$2,000 (+3.86%)
$23 (+0.04%)
($218) (-0.42%)
2.47 (-0.91)
$2,000 (+3.86%)
$27 (+0.05%)
($856) (-1.66%)
2.52 (-0.85)
$2,000 (+3.86%)
$32 (+0.06%)
($1,501) (-2.92%)
2.58 (-0.79)
$2,000 (+3.86%)
$40 (+0.08%)
($2,791) (-5.43%)
2.61 (-0.76)
($2,001) (-3.87%)
$2,000 (+3.86%)
$49 (+0.09%)
($4,050) (-7.88%)
2.60 (-0.77)
07/15/[email protected]
Px to: CallINTERMEDIATEHeld Away
End YTW 2.040 (-113bps) 2.541 (-63bps) 3.045 (-13bps) 3.562 (+40bps) ††4.082 (+92bps) ††5.076 (+191bps) ††6.077 (+291bps)
End Mat Term 2.83yrs (-1.00yrs) 2.83yrs (-1.00yrs) 2.83yrs (-1.00yrs) 2.83yrs (-1.00yrs) 2.83yrs (-1.00yrs) 2.83yrs (-1.00yrs) 2.83yrs (-1.00yrs)
($751) (-1.45%)$531 (+1.02%)$1,172 (+2.26%)$1,806 (+3.49%)$2,435 (+4.70%)$3,069 (+5.93%)Total Return4.000%
103.613 (+0.83pts) 102.346 (-0.44pts) 101.069 (-1.71pts) 99.779 (-3.00pts) 97.199 (-5.58pts) 94.682 (-8.10pts)
Starting Mat Term: 3.82 yrs
NORDSTROM INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
428236BV4Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,325 (+4.35%)
$8 (+0.02%)
$859 (+1.61%)
12/09/2021
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
108.396 (+1.72pts)
2.80 (-0.84)
$50,000
106.679
2.857%
3.63
$2,325 (+4.35%)
$11 (+0.02%)
$107 (+0.20%)
2.79 (-0.85)
$2,325 (+4.35%)
$15 (+0.03%)
($633) (-1.19%)
2.78 (-0.85)
$2,325 (+4.35%)
$18 (+0.03%)
($1,360) (-2.55%)
2.77 (-0.86)
$2,325 (+4.35%)
$21 (+0.04%)
($2,075) (-3.89%)
2.76 (-0.87)
$2,325 (+4.35%)
$28 (+0.05%)
($3,470) (-6.50%)
2.75 (-0.89)
($2,460) (-4.61%)
$2,325 (+4.35%)
$34 (+0.06%)
($4,819) (-9.03%)
2.73 (-0.90)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.739 (-112bps) 2.240 (-62bps) 2.741 (-12bps) 3.242 (+39bps) 3.743 (+89bps) 4.745 (+189bps) 5.747 (+289bps)
End Mat Term 2.98yrs (-1.00yrs) 2.98yrs (-1.00yrs) 2.98yrs (-1.00yrs) 2.98yrs (-1.00yrs) 2.98yrs (-1.00yrs) 2.98yrs (-1.00yrs) 2.98yrs (-1.00yrs)
($1,117) (-2.09%)$271 (+0.51%)$983 (+1.84%)$1,707 (+3.20%)$2,443 (+4.58%)$3,192 (+5.98%)Total Return4.650%
106.892 (+0.21pts) 105.413 (-1.27pts) 103.959 (-2.72pts) 102.529 (-4.15pts) 99.739 (-6.94pts) 97.041 (-9.64pts)
Starting Mat Term: 3.97 yrs
HEWLETT PACKARD CO
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 15 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
36966R5H5Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,700 (+4.89%)
$33 (+0.06%)
$770 (+1.42%)
01/15/2022
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
109.642 (+1.54pts)
2.80 (-0.80)
$50,000
108.102
3.256%
3.60
$2,700 (+4.89%)
$42 (+0.08%)
($7) (-0.01%)
2.79 (-0.81)
$2,700 (+4.89%)
$51 (+0.09%)
($770) (-1.42%)
2.78 (-0.82)
$2,700 (+4.89%)
$60 (+0.11%)
($1,521) (-2.81%)
2.77 (-0.82)
$2,700 (+4.89%)
$70 (+0.13%)
($2,258) (-4.18%)
2.76 (-0.83)
$2,700 (+4.89%)
$88 (+0.16%)
($3,696) (-6.84%)
2.74 (-0.85)
($2,279) (-4.13%)
$2,700 (+4.89%)
$107 (+0.19%)
($5,086) (-9.41%)
2.73 (-0.87)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 2.140 (-112bps) 2.641 (-62bps) 3.142 (-12bps) 3.643 (+39bps) 4.144 (+89bps) 5.146 (+189bps) 6.148 (+290bps)
End Mat Term 3.08yrs (-1.00yrs) 3.08yrs (-1.00yrs) 3.08yrs (-1.00yrs) 3.08yrs (-1.00yrs) 3.08yrs (-1.00yrs) 3.08yrs (-1.00yrs) 3.08yrs (-1.00yrs)
($908) (-1.64%)$511 (+0.93%)$1,240 (+2.25%)$1,981 (+3.59%)$2,735 (+4.95%)$3,503 (+6.34%)Total Return5.400%
108.088 (-0.01pts) 106.561 (-1.54pts) 105.061 (-3.04pts) 103.585 (-4.52pts) 100.710 (-7.39pts) 97.930 (-10.17pts)
Starting Mat Term: 4.07 yrs
GE CAPITAL INTERNOTES
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
365856LN1Muni Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$4,000 (+3.69%)
$7 (+0.01%)
$1,721 (+1.59%)
03/01/2022
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
109.983 (+1.72pts)
3.00 (-0.88)
$100,000
108.262
1.939%
3.88
$4,000 (+3.69%)
$11 (+0.01%)
$71 (+0.06%)
3.00 (-0.89)
$4,000 (+3.69%)
$18 (+0.02%)
($1,555) (-1.44%)
2.99 (-0.90)
$4,000 (+3.69%)
$25 (+0.02%)
($3,152) (-2.91%)
2.98 (-0.90)
$4,000 (+3.69%)
$32 (+0.03%)
($4,720) (-4.36%)
2.97 (-0.91)
$4,000 (+3.69%)
$45 (+0.04%)
($7,775) (-7.18%)
3.42 (-0.47)
($7,948) (-7.33%)
$4,000 (+3.69%)
$59 (+0.05%)
($12,007) (-11.09%)
4.46 (+0.58)
Px to: MaturityILLUSTRATIONHeld Away
End YTW 0.832 (-111bps) 1.332 (-61bps) 1.832 (-11bps) 2.333 (+40bps) 2.834 (+90bps) 3.836 (+190bps) 5.286 (+335bps)
End Mat Term 3.20yrs (-1.00yrs) 3.20yrs (-1.00yrs) 3.20yrs (-1.00yrs) 3.20yrs (-1.00yrs) 3.20yrs (-1.00yrs) 3.20yrs (-1.00yrs) 3.20yrs (-1.00yrs)
($3,729) (-3.44%)($689) (-0.64%)$873 (+0.80%)$2,463 (+2.27%)$4,082 (+3.76%)$5,729 (+5.28%)Total Return4.000%
108.333 (+0.07pts) 106.707 (-1.55pts) 105.110 (-3.15pts) 103.542 (-4.72pts) 100.487 (-7.77pts) 96.255 (-12.01pts)
Starting Mat Term: 4.19 yrs
GARFIELD N J
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
00206RDB5Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$1,824 (+3.64%)
$13 (+0.03%)
$1,336 (+2.69%)
03/15/2022
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
106.267 (+2.78pts)
3.04 (-0.84)
$48,000
103.485
2.918%
3.88
$1,824 (+3.64%)
$18 (+0.04%)
$561 (+1.13%)
3.03 (-0.85)
$1,824 (+3.64%)
$22 (+0.04%)
($199) (-0.40%)
3.02 (-0.86)
$1,824 (+3.64%)
$27 (+0.05%)
($946) (-1.90%)
3.01 (-0.87)
$1,824 (+3.64%)
$32 (+0.06%)
($1,679) (-3.38%)
3.00 (-0.88)
$1,824 (+3.64%)
$41 (+0.08%)
($3,107) (-6.26%)
2.98 (-0.89)
($2,610) (-5.20%)
$1,824 (+3.64%)
$50 (+0.10%)
($4,484) (-9.03%)
2.96 (-0.91)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.799 (-112bps) 2.300 (-62bps) 2.801 (-12bps) 3.302 (+39bps) 3.804 (+89bps) 4.806 (+189bps) 5.808 (+289bps)
End Mat Term 3.24yrs (-1.00yrs) 3.24yrs (-1.00yrs) 3.24yrs (-1.00yrs) 3.24yrs (-1.00yrs) 3.24yrs (-1.00yrs) 3.24yrs (-1.00yrs) 3.24yrs (-1.00yrs)
($1,242) (-2.48%)$176 (+0.35%)$905 (+1.80%)$1,647 (+3.28%)$2,403 (+4.79%)$3,173 (+6.33%)Total Return3.800%
104.654 (+1.17pts) 103.070 (-0.42pts) 101.514 (-1.97pts) 99.986 (-3.50pts) 97.012 (-6.47pts) 94.143 (-9.34pts)
Starting Mat Term: 4.23 yrs
AT&T INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
100853PR5Muni Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$5,000 (+4.35%)
$6 (+0.00%)
$678 (+0.60%)
04/01/2022
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
114.510 (+0.68pts)
3.05 (-0.82)
$100,000
113.832
1.638%
3.87
$5,000 (+4.35%)
$12 (+0.01%)
($1,066) (-0.94%)
3.05 (-0.83)
$5,000 (+4.35%)
$24 (+0.02%)
($2,782) (-2.44%)
3.04 (-0.84)
$5,000 (+4.35%)
$36 (+0.03%)
($4,468) (-3.92%)
3.03 (-0.85)
$5,000 (+4.35%)
$47 (+0.04%)
($6,124) (-5.38%)
3.02 (-0.86)
$5,000 (+4.35%)
$71 (+0.06%)
($9,346) (-8.21%)
3.00 (-0.88)
($7,358) (-6.40%)
$5,000 (+4.35%)
$94 (+0.08%)
($12,453) (-10.94%)
2.98 (-0.90)
Px to: MaturityILLUSTRATIONHeld Away
End YTW 0.536 (-111bps) 1.035 (-61bps) 1.536 (-11bps) 2.037 (+40bps) 2.538 (+90bps) 3.539 (+191bps) 4.541 (+291bps)
End Mat Term 3.29yrs (-1.00yrs) 3.29yrs (-1.00yrs) 3.29yrs (-1.00yrs) 3.29yrs (-1.00yrs) 3.29yrs (-1.00yrs) 3.29yrs (-1.00yrs) 3.29yrs (-1.00yrs)
($4,275) (-3.72%)($1,076) (-0.94%)$568 (+0.49%)$2,242 (+1.95%)$3,947 (+3.44%)$5,683 (+4.95%)Total Return5.000%
112.766 (-1.07pts) 111.050 (-2.78pts) 109.364 (-4.47pts) 107.708 (-6.12pts) 104.486 (-9.35pts) 101.379 (-12.45pts)
Starting Mat Term: 4.28 yrs
BOSTON MASS
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
02209SAN3Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$712 (+2.80%)
$5 (+0.02%)
$958 (+3.81%)
08/09/2022
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
104.482 (+3.83pts)
3.44 (-0.85)
$25,000
100.650
2.699%
4.29
$712 (+2.80%)
$7 (+0.03%)
$509 (+2.02%)
3.42 (-0.87)
$712 (+2.80%)
$9 (+0.04%)
$70 (+0.28%)
3.41 (-0.88)
$712 (+2.80%)
$12 (+0.04%)
($361) (-1.43%)
3.40 (-0.89)
$712 (+2.80%)
$14 (+0.05%)
($783) (-3.11%)
3.39 (-0.90)
$712 (+2.80%)
$18 (+0.07%)
($1,603) (-6.37%)
3.37 (-0.92)
($1,655) (-6.51%)
$712 (+2.80%)
$23 (+0.09%)
($2,390) (-9.50%)
3.35 (-0.94)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.578 (-113bps) 2.079 (-62bps) 2.581 (-12bps) 3.082 (+39bps) 3.584 (+89bps) 4.586 (+189bps) 5.589 (+289bps)
End Mat Term 3.64yrs (-1.00yrs) 3.64yrs (-1.00yrs) 3.64yrs (-1.00yrs) 3.64yrs (-1.00yrs) 3.64yrs (-1.00yrs) 3.64yrs (-1.00yrs) 3.64yrs (-1.00yrs)
($872) (-3.43%)($57) (-0.22%)$363 (+1.43%)$792 (+3.11%)$1,229 (+4.84%)$1,675 (+6.59%)Total Return2.850%
102.688 (+2.04pts) 100.929 (+0.28pts) 99.206 (-1.44pts) 97.517 (-3.13pts) 94.240 (-6.41pts) 91.090 (-9.56pts)
Starting Mat Term: 4.63 yrs
ALTRIA GROUP INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 16 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
02209SAN3Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$712 (+2.80%)
$5 (+0.02%)
$958 (+3.81%)
08/09/2022
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
104.482 (+3.83pts)
3.44 (-0.85)
$25,000
100.650
2.699%
4.29
$712 (+2.80%)
$7 (+0.03%)
$509 (+2.02%)
3.42 (-0.87)
$712 (+2.80%)
$9 (+0.04%)
$70 (+0.28%)
3.41 (-0.88)
$712 (+2.80%)
$12 (+0.04%)
($361) (-1.43%)
3.40 (-0.89)
$712 (+2.80%)
$14 (+0.05%)
($783) (-3.11%)
3.39 (-0.90)
$712 (+2.80%)
$18 (+0.07%)
($1,603) (-6.37%)
3.37 (-0.92)
($1,655) (-6.51%)
$712 (+2.80%)
$23 (+0.09%)
($2,390) (-9.50%)
3.35 (-0.94)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.578 (-113bps) 2.079 (-62bps) 2.581 (-12bps) 3.082 (+39bps) 3.584 (+89bps) 4.586 (+189bps) 5.589 (+289bps)
End Mat Term 3.64yrs (-1.00yrs) 3.64yrs (-1.00yrs) 3.64yrs (-1.00yrs) 3.64yrs (-1.00yrs) 3.64yrs (-1.00yrs) 3.64yrs (-1.00yrs) 3.64yrs (-1.00yrs)
($872) (-3.43%)($57) (-0.22%)$363 (+1.43%)$792 (+3.11%)$1,229 (+4.84%)$1,675 (+6.59%)Total Return2.850%
102.688 (+2.04pts) 100.929 (+0.28pts) 99.206 (-1.44pts) 97.517 (-3.13pts) 94.240 (-6.41pts) 91.090 (-9.56pts)
Starting Mat Term: 4.63 yrs
ALTRIA GROUP INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
25389JAK2Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$906 (+3.50%)
$6 (+0.02%)
$831 (+3.23%)
10/01/2022
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
106.233 (+3.32pts)
3.32 (-0.94)
$25,000
102.910
2.935%
4.26
$906 (+3.50%)
$8 (+0.03%)
$390 (+1.52%)
3.33 (-0.92)
$906 (+3.50%)
$10 (+0.04%)
($47) (-0.18%)
3.37 (-0.88)
$906 (+3.50%)
$12 (+0.05%)
($483) (-1.88%)
3.42 (-0.84)
$906 (+3.50%)
$14 (+0.06%)
($917) (-3.56%)
3.45 (-0.81)
$906 (+3.50%)
$18 (+0.07%)
($1,767) (-6.87%)
3.46 (-0.80)
($1,657) (-6.39%)
$906 (+3.50%)
$23 (+0.09%)
($2,586) (-10.05%)
3.44 (-0.81)
07/03/[email protected]
Px to: CallINTERMEDIATEHeld Away
End YTW 1.800 (-114bps) 2.303 (-64bps) 2.812 (-13bps) 3.330 (+40bps) ††3.841 (+91bps) ††4.840 (+191bps) ††5.842 (+291bps)
End Mat Term 3.79yrs (-1.00yrs) 3.79yrs (-1.00yrs) 3.79yrs (-1.00yrs) 3.79yrs (-1.00yrs) 3.79yrs (-1.00yrs) 3.79yrs (-1.00yrs) 3.79yrs (-1.00yrs)
($842) (-3.25%)$4 (+0.01%)$435 (+1.68%)$869 (+3.35%)$1,304 (+5.03%)$1,743 (+6.72%)Total Return3.625%
104.471 (+1.56pts) 102.722 (-0.19pts) 100.977 (-1.93pts) 99.243 (-3.67pts) 95.843 (-7.07pts) 92.567 (-10.34pts)
Starting Mat Term: 4.78 yrs
DIGITAL RLTY TR LP
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
053807AR4Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$3,656 (+4.58%)
$20 (+0.02%)
$2,368 (+2.98%)
12/01/2022
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
109.302 (+3.16pts)
3.62 (-0.78)
$75,000
106.144
3.510%
4.40
$3,656 (+4.58%)
$26 (+0.03%)
$899 (+1.13%)
3.60 (-0.80)
$3,656 (+4.58%)
$31 (+0.04%)
($540) (-0.68%)
3.59 (-0.81)
$3,656 (+4.58%)
$37 (+0.05%)
($1,948) (-2.45%)
3.58 (-0.82)
$3,656 (+4.58%)
$42 (+0.05%)
($3,327) (-4.18%)
3.57 (-0.83)
$3,656 (+4.58%)
$53 (+0.07%)
($5,998) (-7.54%)
3.54 (-0.86)
($4,839) (-6.06%)
$3,656 (+4.58%)
$64 (+0.08%)
($8,559) (-10.75%)
3.52 (-0.88)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 2.393 (-112bps) 2.895 (-62bps) 3.396 (-12bps) 3.898 (+39bps) 4.399 (+89bps) 5.402 (+190bps) 6.405 (+290bps)
End Mat Term 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs)
($2,289) (-2.87%)$371 (+0.46%)$1,744 (+2.19%)$3,147 (+3.94%)$4,580 (+5.74%)$6,045 (+7.58%)Total Return4.875%
107.342 (+1.20pts) 105.424 (-0.72pts) 103.546 (-2.60pts) 101.708 (-4.44pts) 98.146 (-8.00pts) 94.732 (-11.41pts)
Starting Mat Term: 4.94 yrs
AVNET INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
053807AR4Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,438 (+4.58%)
$13 (+0.02%)
$1,579 (+2.98%)
12/01/2022
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
109.302 (+3.16pts)
3.62 (-0.78)
$50,000
106.144
3.510%
4.40
$2,438 (+4.58%)
$17 (+0.03%)
$599 (+1.13%)
3.60 (-0.80)
$2,438 (+4.58%)
$21 (+0.04%)
($360) (-0.68%)
3.59 (-0.81)
$2,438 (+4.58%)
$24 (+0.05%)
($1,299) (-2.45%)
3.58 (-0.82)
$2,438 (+4.58%)
$28 (+0.05%)
($2,218) (-4.18%)
3.57 (-0.83)
$2,438 (+4.58%)
$35 (+0.07%)
($3,999) (-7.54%)
3.54 (-0.86)
($3,226) (-6.06%)
$2,438 (+4.58%)
$43 (+0.08%)
($5,706) (-10.75%)
3.52 (-0.88)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 2.393 (-112bps) 2.895 (-62bps) 3.396 (-12bps) 3.898 (+39bps) 4.399 (+89bps) 5.402 (+190bps) 6.405 (+290bps)
End Mat Term 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs)
($1,526) (-2.87%)$247 (+0.46%)$1,163 (+2.19%)$2,098 (+3.94%)$3,054 (+5.74%)$4,030 (+7.58%)Total Return4.875%
107.342 (+1.20pts) 105.424 (-0.72pts) 103.546 (-2.60pts) 101.708 (-4.44pts) 98.146 (-8.00pts) 94.732 (-11.41pts)
Starting Mat Term: 4.94 yrs
AVNET INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
053807AR4Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$1,219 (+4.58%)
$7 (+0.02%)
$789 (+2.98%)
12/01/2022
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
109.302 (+3.16pts)
3.62 (-0.78)
$25,000
106.144
3.510%
4.40
$1,219 (+4.58%)
$9 (+0.03%)
$300 (+1.13%)
3.60 (-0.80)
$1,219 (+4.58%)
$10 (+0.04%)
($180) (-0.68%)
3.59 (-0.81)
$1,219 (+4.58%)
$12 (+0.05%)
($649) (-2.45%)
3.58 (-0.82)
$1,219 (+4.58%)
$14 (+0.05%)
($1,109) (-4.18%)
3.57 (-0.83)
$1,219 (+4.58%)
$18 (+0.07%)
($1,999) (-7.54%)
3.54 (-0.86)
($1,613) (-6.06%)
$1,219 (+4.58%)
$21 (+0.08%)
($2,853) (-10.75%)
3.52 (-0.88)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 2.393 (-112bps) 2.895 (-62bps) 3.396 (-12bps) 3.898 (+39bps) 4.399 (+89bps) 5.402 (+190bps) 6.405 (+290bps)
End Mat Term 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs) 3.96yrs (-1.00yrs)
($763) (-2.87%)$124 (+0.46%)$581 (+2.19%)$1,049 (+3.94%)$1,527 (+5.74%)$2,015 (+7.58%)Total Return4.875%
107.342 (+1.20pts) 105.424 (-0.72pts) 103.546 (-2.60pts) 101.708 (-4.44pts) 98.146 (-8.00pts) 94.732 (-11.41pts)
Starting Mat Term: 4.94 yrs
AVNET INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 17 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
472319AL6Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,562 (+4.64%)
$29 (+0.05%)
$1,477 (+2.72%)
01/20/2023
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
111.410 (+2.95pts)
3.66 (-0.76)
$50,000
108.455
3.303%
4.42
$2,562 (+4.64%)
$38 (+0.07%)
$449 (+0.83%)
3.65 (-0.77)
$2,562 (+4.64%)
$46 (+0.08%)
($556) (-1.03%)
3.63 (-0.79)
$2,562 (+4.64%)
$55 (+0.10%)
($1,540) (-2.84%)
3.62 (-0.80)
$2,562 (+4.64%)
$64 (+0.12%)
($2,503) (-4.62%)
3.61 (-0.81)
$2,562 (+4.64%)
$81 (+0.15%)
($4,366) (-8.05%)
3.58 (-0.84)
($3,489) (-6.31%)
$2,562 (+4.64%)
$98 (+0.18%)
($6,149) (-11.34%)
3.55 (-0.87)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 2.191 (-112bps) 2.692 (-62bps) 3.194 (-11bps) 3.695 (+40bps) 4.197 (+90bps) 5.200 (+190bps) 6.203 (+290bps)
End Mat Term 4.09yrs (-1.00yrs) 4.09yrs (-1.00yrs) 4.09yrs (-1.00yrs) 4.09yrs (-1.00yrs) 4.09yrs (-1.00yrs) 4.09yrs (-1.00yrs) 4.09yrs (-1.00yrs)
($1,722) (-3.12%)$123 (+0.22%)$1,077 (+1.95%)$2,053 (+3.71%)$3,050 (+5.52%)$4,069 (+7.36%)Total Return5.125%
109.354 (+0.90pts) 107.342 (-1.11pts) 105.375 (-3.08pts) 103.450 (-5.01pts) 99.724 (-8.73pts) 96.156 (-12.30pts)
Starting Mat Term: 5.08 yrs
JEFFERIES GROUP INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
03027XAB6Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$1,750 (+3.38%)
$16 (+0.03%)
$2,010 (+3.93%)
01/31/2023
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
106.330 (+4.02pts)
3.81 (-0.81)
$50,000
102.310
3.008%
4.62
$1,750 (+3.38%)
$21 (+0.04%)
$997 (+1.95%)
3.79 (-0.82)
$1,750 (+3.38%)
$27 (+0.05%)
$7 (+0.01%)
3.78 (-0.84)
$1,750 (+3.38%)
$32 (+0.06%)
($962) (-1.88%)
3.77 (-0.85)
$1,750 (+3.38%)
$38 (+0.07%)
($1,909) (-3.73%)
3.75 (-0.86)
$1,750 (+3.38%)
$49 (+0.10%)
($3,742) (-7.32%)
3.73 (-0.89)
($3,685) (-7.11%)
$1,750 (+3.38%)
$61 (+0.12%)
($5,495) (-10.74%)
3.70 (-0.92)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.893 (-112bps) 2.395 (-62bps) 2.897 (-12bps) 3.398 (+39bps) 3.900 (+90bps) 4.904 (+190bps) 5.907 (+290bps)
End Mat Term 4.12yrs (-1.00yrs) 4.12yrs (-1.00yrs) 4.12yrs (-1.00yrs) 4.12yrs (-1.00yrs) 4.12yrs (-1.00yrs) 4.12yrs (-1.00yrs) 4.12yrs (-1.00yrs)
($1,943) (-3.75%)($121) (-0.23%)$821 (+1.58%)$1,784 (+3.44%)$2,768 (+5.34%)$3,776 (+7.28%)Total Return3.500%
104.304 (+1.99pts) 102.323 (+0.01pts) 100.386 (-1.92pts) 98.492 (-3.82pts) 94.826 (-7.48pts) 91.319 (-10.99pts)
Starting Mat Term: 5.11 yrs
AMERICAN TOWER CORP
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
042735BC3Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,250 (+4.23%)
$22 (+0.04%)
$1,684 (+3.20%)
03/01/2023
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
108.479 (+3.37pts)
3.60 (-0.84)
$50,000
105.110
3.369%
4.44
$2,250 (+4.23%)
$28 (+0.05%)
$704 (+1.34%)
3.61 (-0.84)
$2,250 (+4.23%)
$34 (+0.06%)
($262) (-0.50%)
3.63 (-0.81)
$2,250 (+4.23%)
$41 (+0.08%)
($1,218) (-2.32%)
3.66 (-0.78)
$2,250 (+4.23%)
$47 (+0.09%)
($2,167) (-4.12%)
3.69 (-0.75)
$2,250 (+4.23%)
$59 (+0.11%)
($4,025) (-7.66%)
3.71 (-0.73)
($3,495) (-6.57%)
$2,250 (+4.23%)
$72 (+0.14%)
($5,817) (-11.07%)
3.70 (-0.74)
12/01/[email protected]
Px to: CallINTERMEDIATEHeld Away
End YTW 2.245 (-113bps) 2.748 (-63bps) 3.254 (-12bps) 3.766 (+40bps) 4.284 (+92bps) ††5.289 (+192bps) ††6.290 (+292bps)
End Mat Term 4.20yrs (-1.00yrs) 4.20yrs (-1.00yrs) 4.20yrs (-1.00yrs) 4.20yrs (-1.00yrs) 4.20yrs (-1.00yrs) 4.20yrs (-1.00yrs) 4.20yrs (-1.00yrs)
($1,716) (-3.22%)$130 (+0.24%)$1,072 (+2.01%)$2,023 (+3.80%)$2,982 (+5.60%)$3,956 (+7.43%)Total Return4.500%
106.518 (+1.41pts) 104.587 (-0.52pts) 102.674 (-2.44pts) 100.777 (-4.33pts) 97.059 (-8.05pts) 93.476 (-11.63pts)
Starting Mat Term: 5.19 yrs
ARROW ELECTRONICS INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
042735BC3Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$900 (+4.23%)
$9 (+0.04%)
$674 (+3.20%)
03/01/2023
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
108.479 (+3.37pts)
3.60 (-0.84)
$20,000
105.110
3.369%
4.44
$900 (+4.23%)
$11 (+0.05%)
$282 (+1.34%)
3.61 (-0.84)
$900 (+4.23%)
$14 (+0.06%)
($105) (-0.50%)
3.63 (-0.81)
$900 (+4.23%)
$16 (+0.08%)
($487) (-2.32%)
3.66 (-0.78)
$900 (+4.23%)
$19 (+0.09%)
($867) (-4.12%)
3.69 (-0.75)
$900 (+4.23%)
$24 (+0.11%)
($1,610) (-7.66%)
3.71 (-0.73)
($1,398) (-6.57%)
$900 (+4.23%)
$29 (+0.14%)
($2,327) (-11.07%)
3.70 (-0.74)
12/01/[email protected]
Px to: CallINTERMEDIATEHeld Away
End YTW 2.245 (-113bps) 2.748 (-63bps) 3.254 (-12bps) 3.766 (+40bps) 4.284 (+92bps) ††5.289 (+192bps) ††6.290 (+292bps)
End Mat Term 4.20yrs (-1.00yrs) 4.20yrs (-1.00yrs) 4.20yrs (-1.00yrs) 4.20yrs (-1.00yrs) 4.20yrs (-1.00yrs) 4.20yrs (-1.00yrs) 4.20yrs (-1.00yrs)
($686) (-3.22%)$52 (+0.24%)$429 (+2.01%)$809 (+3.80%)$1,193 (+5.60%)$1,582 (+7.43%)Total Return4.500%
106.518 (+1.41pts) 104.587 (-0.52pts) 102.674 (-2.44pts) 100.777 (-4.33pts) 97.059 (-8.05pts) 93.476 (-11.63pts)
Starting Mat Term: 5.19 yrs
ARROW ELECTRONICS INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
61747YDU6Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,050 (+3.92%)
$10 (+0.02%)
$1,992 (+3.82%)
05/22/2023
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
108.313 (+3.98pts)
4.07 (-0.79)
$50,000
104.329
3.223%
4.86
$2,050 (+3.92%)
$13 (+0.03%)
$900 (+1.73%)
4.05 (-0.80)
$2,050 (+3.92%)
$17 (+0.03%)
($166) (-0.32%)
4.04 (-0.82)
$2,050 (+3.92%)
$20 (+0.04%)
($1,207) (-2.31%)
4.03 (-0.83)
$2,050 (+3.92%)
$23 (+0.04%)
($2,224) (-4.26%)
4.01 (-0.84)
$2,050 (+3.92%)
$30 (+0.06%)
($4,187) (-8.03%)
3.98 (-0.87)
($3,974) (-7.60%)
$2,050 (+3.92%)
$37 (+0.07%)
($6,061) (-11.62%)
3.96 (-0.90)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 2.122 (-111bps) 2.624 (-60bps) 3.126 (-10bps) 3.628 (+41bps) 4.129 (+91bps) 5.133 (+191bps) 6.137 (+292bps)
End Mat Term 4.43yrs (-1.00yrs) 4.43yrs (-1.00yrs) 4.43yrs (-1.00yrs) 4.43yrs (-1.00yrs) 4.43yrs (-1.00yrs) 4.43yrs (-1.00yrs) 4.43yrs (-1.00yrs)
($2,107) (-4.03%)($150) (-0.29%)$863 (+1.65%)$1,901 (+3.63%)$2,964 (+5.66%)$4,052 (+7.74%)Total Return4.100%
106.130 (+1.80pts) 103.998 (-0.33pts) 101.915 (-2.41pts) 99.881 (-4.45pts) 95.955 (-8.37pts) 92.208 (-12.12pts)
Starting Mat Term: 5.42 yrs
MORGAN STANLEY
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 18 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
94974BFN5Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$3,094 (+3.87%)
$27 (+0.03%)
$3,064 (+3.88%)
08/15/2023
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
109.369 (+4.08pts)
4.22 (-0.77)
$75,000
105.284
3.098%
4.99
$3,094 (+3.87%)
$36 (+0.04%)
$1,330 (+1.68%)
4.21 (-0.79)
$3,094 (+3.87%)
$45 (+0.06%)
($360) (-0.46%)
4.19 (-0.80)
$3,094 (+3.87%)
$54 (+0.07%)
($2,009) (-2.54%)
4.18 (-0.82)
$3,094 (+3.87%)
$64 (+0.08%)
($3,618) (-4.58%)
4.16 (-0.83)
$3,094 (+3.87%)
$82 (+0.10%)
($6,720) (-8.51%)
4.13 (-0.86)
($6,479) (-8.10%)
$3,094 (+3.87%)
$101 (+0.13%)
($9,674) (-12.25%)
4.10 (-0.90)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 2.007 (-110bps) 2.509 (-59bps) 3.011 (-9bps) 3.513 (+42bps) 4.015 (+92bps) 5.019 (+193bps) 6.024 (+293bps)
End Mat Term 4.66yrs (-1.00yrs) 4.66yrs (-1.00yrs) 4.66yrs (-1.00yrs) 4.66yrs (-1.00yrs) 4.66yrs (-1.00yrs) 4.66yrs (-1.00yrs) 4.66yrs (-1.00yrs)
($3,544) (-4.43%)($461) (-0.58%)$1,139 (+1.42%)$2,779 (+3.47%)$4,460 (+5.57%)$6,184 (+7.73%)Total Return4.125%
107.058 (+1.77pts) 104.804 (-0.48pts) 102.605 (-2.68pts) 100.459 (-4.82pts) 96.324 (-8.96pts) 92.386 (-12.90pts)
Starting Mat Term: 5.65 yrs
WELLS FARGO & CO
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
94974BFN5Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$1,031 (+3.87%)
$9 (+0.03%)
$1,021 (+3.88%)
08/15/2023
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
109.369 (+4.08pts)
4.22 (-0.77)
$25,000
105.284
3.098%
4.99
$1,031 (+3.87%)
$12 (+0.04%)
$443 (+1.68%)
4.21 (-0.79)
$1,031 (+3.87%)
$15 (+0.06%)
($120) (-0.46%)
4.19 (-0.80)
$1,031 (+3.87%)
$18 (+0.07%)
($670) (-2.54%)
4.18 (-0.82)
$1,031 (+3.87%)
$21 (+0.08%)
($1,206) (-4.58%)
4.16 (-0.83)
$1,031 (+3.87%)
$27 (+0.10%)
($2,240) (-8.51%)
4.13 (-0.86)
($2,160) (-8.10%)
$1,031 (+3.87%)
$34 (+0.13%)
($3,225) (-12.25%)
4.10 (-0.90)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 2.007 (-110bps) 2.509 (-59bps) 3.011 (-9bps) 3.513 (+42bps) 4.015 (+92bps) 5.019 (+193bps) 6.024 (+293bps)
End Mat Term 4.66yrs (-1.00yrs) 4.66yrs (-1.00yrs) 4.66yrs (-1.00yrs) 4.66yrs (-1.00yrs) 4.66yrs (-1.00yrs) 4.66yrs (-1.00yrs) 4.66yrs (-1.00yrs)
($1,181) (-4.43%)($154) (-0.58%)$380 (+1.42%)$926 (+3.47%)$1,487 (+5.57%)$2,061 (+7.73%)Total Return4.125%
107.058 (+1.77pts) 104.804 (-0.48pts) 102.605 (-2.68pts) 100.459 (-4.82pts) 96.324 (-8.96pts) 92.386 (-12.90pts)
Starting Mat Term: 5.65 yrs
WELLS FARGO & CO
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
92343VBR4Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,575 (+4.57%)
$18 (+0.03%)
$1,671 (+3.00%)
09/15/2023
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
114.607 (+3.34pts)
4.23 (-0.74)
$50,000
111.264
2.996%
4.97
$2,575 (+4.57%)
$24 (+0.04%)
$460 (+0.83%)
4.21 (-0.76)
$2,575 (+4.57%)
$31 (+0.06%)
($721) (-1.30%)
4.20 (-0.77)
$2,575 (+4.57%)
$37 (+0.07%)
($1,873) (-3.37%)
4.18 (-0.79)
$2,575 (+4.57%)
$44 (+0.08%)
($2,996) (-5.39%)
4.16 (-0.81)
$2,575 (+4.57%)
$57 (+0.10%)
($5,161) (-9.28%)
4.13 (-0.84)
($4,577) (-8.13%)
$2,575 (+4.57%)
$70 (+0.12%)
($7,222) (-12.98%)
4.10 (-0.87)
Px to: MaturityINTERMEDIATEHeld Away
End YTW 1.911 (-109bps) 2.413 (-59bps) 2.915 (-9bps) 3.417 (+43bps) 3.919 (+93bps) 4.924 (+193bps) 5.928 (+294bps)
End Mat Term 4.75yrs (-1.00yrs) 4.75yrs (-1.00yrs) 4.75yrs (-1.00yrs) 4.75yrs (-1.00yrs) 4.75yrs (-1.00yrs) 4.75yrs (-1.00yrs) 4.75yrs (-1.00yrs)
($2,529) (-4.49%)($377) (-0.67%)$740 (+1.31%)$1,885 (+3.35%)$3,059 (+5.43%)$4,264 (+7.57%)Total Return5.150%
112.185 (+0.92pts) 109.822 (-1.44pts) 107.519 (-3.75pts) 105.271 (-5.99pts) 100.941 (-10.32pts) 96.820 (-14.44pts)
Starting Mat Term: 5.73 yrs
VERIZON COMMUNICATIONS INC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
011446JA0Muni Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$3,000 (+2.82%)
$4 (+0.00%)
$5,253 (+4.94%)
08/01/2024
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
111.545 (+5.25pts)
5.19 (-0.85)
$100,000
106.292
1.980%
6.04
$3,000 (+2.82%)
$6 (+0.01%)
$2,377 (+2.24%)
5.17 (-0.87)
$3,000 (+2.82%)
$11 (+0.01%)
($418) (-0.39%)
5.15 (-0.89)
$3,000 (+2.82%)
$16 (+0.02%)
($3,131) (-2.94%)
5.13 (-0.91)
$3,000 (+2.82%)
$22 (+0.02%)
($5,765) (-5.42%)
6.04 (+0.00)
$3,000 (+2.82%)
$32 (+0.03%)
($12,946) (-12.18%)
7.45 (+1.42)
($16,572) (-15.57%)
$3,000 (+2.82%)
$42 (+0.04%)
($19,614) (-18.45%)
7.19 (+1.16)
Px to: MaturityILLUSTRATIONHeld Away
End YTW 0.889 (-110bps) 1.391 (-59bps) 1.893 (-9bps) 2.395 (+42bps) 2.898 (+92bps) 4.348 (+237bps) 5.814 (+384bps)
End Mat Term 5.62yrs (-1.00yrs) 5.62yrs (-1.00yrs) 5.62yrs (-1.00yrs) 5.62yrs (-1.00yrs) 5.62yrs (-1.00yrs) 5.62yrs (-1.00yrs) 5.62yrs (-1.00yrs)
($9,914) (-9.31%)($2,743) (-2.58%)($114) (-0.11%)$2,594 (+2.44%)$5,383 (+5.06%)$8,256 (+7.76%)Total Return3.000%
108.669 (+2.38pts) 105.874 (-0.42pts) 103.161 (-3.13pts) 100.527 (-5.76pts) 93.346 (-12.95pts) 86.678 (-19.61pts)
Starting Mat Term: 6.61 yrs
ALAMOGORDO N MEX
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
26822LDR2Muni Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$0 (+0.00%)
$0 (+0.00%)
$7,705 (+9.13%)
09/01/2024
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
92.097 (+7.70pts)
5.69 (-0.97)
$100,000
84.392
2.551%
6.66
$0 (+0.00%)
$0 (+0.00%)
$5,124 (+6.07%)
5.68 (-0.98)
$0 (+0.00%)
$0 (+0.00%)
$2,622 (+3.11%)
5.66 (-1.00)
$0 (+0.00%)
$0 (+0.00%)
$196 (+0.23%)
5.65 (-1.01)
$0 (+0.00%)
$0 (+0.00%)
($2,157) (-2.56%)
5.64 (-1.02)
$0 (+0.00%)
$0 (+0.00%)
($6,652) (-7.88%)
5.61 (-1.05)
($10,882) (-12.90%)
$0 (+0.00%)
$0 (+0.00%)
($10,882) (-12.90%)
5.58 (-1.08)
Px to: MaturityILLUSTRATIONHeld Away
End YTW 1.450 (-111bps) 1.953 (-60bps) 2.456 (-10bps) 2.959 (+41bps) 3.461 (+91bps) 4.467 (+192bps) 5.473 (+293bps)
End Mat Term 5.71yrs (-1.00yrs) 5.71yrs (-1.00yrs) 5.71yrs (-1.00yrs) 5.71yrs (-1.00yrs) 5.71yrs (-1.00yrs) 5.71yrs (-1.00yrs) 5.71yrs (-1.00yrs)
($6,652) (-7.88%)($2,157) (-2.56%)$196 (+0.23%)$2,622 (+3.11%)$5,124 (+6.07%)$7,705 (+9.13%)Total Return0.000%
89.516 (+5.12pts) 87.014 (+2.62pts) 84.588 (+0.20pts) 82.235 (-2.16pts) 77.740 (-6.65pts) 73.510 (-10.88pts)
Starting Mat Term: 6.69 yrs
E 470 PUB HWY AUTH COLO REV
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 19 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
482480AE0Corp Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$4,650 (+4.27%)
$26 (+0.02%)
$4,783 (+4.42%)
11/01/2024
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
113.095 (+4.78pts)
5.00 (-0.76)
$100,000
108.312
3.243%
5.76
$4,650 (+4.27%)
$35 (+0.03%)
$1,980 (+1.83%)
4.99 (-0.77)
$4,650 (+4.27%)
$44 (+0.04%)
($754) (-0.70%)
4.99 (-0.77)
$4,650 (+4.27%)
$53 (+0.05%)
($3,425) (-3.16%)
5.01 (-0.75)
$4,650 (+4.27%)
$62 (+0.06%)
($6,037) (-5.57%)
5.02 (-0.74)
$4,650 (+4.27%)
$80 (+0.07%)
($11,077) (-10.23%)
5.02 (-0.74)
($11,113) (-10.20%)
$4,650 (+4.27%)
$98 (+0.09%)
($15,861) (-14.64%)
5.00 (-0.76)
08/01/[email protected]
Px to: CallINTERMEDIATEHeld Away
End YTW 2.162 (-109bps) 2.665 (-58bps) 3.171 (-8bps) 3.679 (+44bps) 4.192 (+95bps) ††5.202 (+196bps) ††6.204 (+296bps)
End Mat Term 5.88yrs (-1.00yrs) 5.88yrs (-1.00yrs) 5.88yrs (-1.00yrs) 5.88yrs (-1.00yrs) 5.88yrs (-1.00yrs) 5.88yrs (-1.00yrs) 5.88yrs (-1.00yrs)
($6,347) (-5.83%)($1,325) (-1.22%)$1,278 (+1.17%)$3,940 (+3.62%)$6,665 (+6.12%)$9,460 (+8.68%)Total Return4.650%
110.292 (+1.98pts) 107.558 (-0.75pts) 104.887 (-3.42pts) 102.275 (-6.04pts) 97.235 (-11.08pts) 92.451 (-15.86pts)
Starting Mat Term: 6.86 yrs
KLA-TENCOR CORP
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
43232VSF9Muni Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$5,000 (+4.35%)
$23 (+0.02%)
$1,453 (+1.29%)
07/01/2029
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
114.154 (+1.45pts)
3.23 (-0.83)
$100,000
112.701
2.048%
4.05
$5,000 (+4.35%)
$36 (+0.03%)
($406) (-0.36%)
3.24 (-0.81)
$5,000 (+4.35%)
$54 (+0.05%)
($2,264) (-2.01%)
3.38 (-0.67)
$5,000 (+4.35%)
$72 (+0.06%)
($4,242) (-3.76%)
3.79 (-0.26)
$5,000 (+4.35%)
$90 (+0.08%)
($6,495) (-5.76%)
4.52 (+0.46)
$5,000 (+4.35%)
$126 (+0.11%)
($12,209) (-10.83%)
6.50 (+2.45)
($15,601) (-13.56%)
$5,000 (+4.35%)
$162 (+0.14%)
($20,763) (-18.42%)
9.20 (+5.14)
07/01/[email protected]
Px to: CallILLUSTRATIONHeld Away
End YTW 0.920 (-113bps) 1.420 (-63bps) 1.930 (-12bps) 2.485 (+44bps) 3.131 (+109bps) 4.847 (+280bps) ††6.046 (+400bps)
End Mat Term 10.54yrs (-1.00yrs) 10.54yrs (-1.00yrs) 10.54yrs (-1.00yrs) 10.54yrs (-1.00yrs) 10.54yrs (-1.00yrs) 10.54yrs (-1.00yrs) 10.54yrs (-1.00yrs)
($7,083) (-6.16%)($1,405) (-1.22%)$830 (+0.72%)$2,789 (+2.42%)$4,630 (+4.02%)$6,476 (+5.63%)Total Return5.000%
112.295 (-0.41pts) 110.437 (-2.26pts) 108.459 (-4.24pts) 106.206 (-6.49pts) 100.492 (-12.21pts) 91.938 (-20.76pts)
Starting Mat Term: 11.53 yrs
HILLSBOROUGH CNTY FLA SCH BRDC
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
341150U73Muni Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$2,750 (+2.75%)
$13 (+0.01%)
$10,472 (+10.62%)
07/01/2030
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
109.112 (+10.47pts)
8.45 (-2.05)
$100,000
98.640
2.880%
10.50
$2,750 (+2.75%)
$20 (+0.02%)
$5,716 (+5.80%)
9.08 (-1.42)
$2,750 (+2.75%)
$30 (+0.03%)
$862 (+0.87%)
11.46 (+0.96)
$2,750 (+2.75%)
$40 (+0.04%)
($5,694) (-5.77%)
13.63 (+3.13)
$2,750 (+2.75%)
$50 (+0.05%)
($11,634) (-11.79%)
12.85 (+2.35)
$2,750 (+2.75%)
$70 (+0.07%)
($22,029) (-22.33%)
12.19 (+1.69)
($27,904) (-27.93%)
$2,750 (+2.75%)
$90 (+0.09%)
($30,744) (-31.17%)
11.58 (+1.08)
07/01/[email protected]
Px to: MaturityILLUSTRATIONHeld Away
End YTW †1.468 (-142bps) †2.122 (-76bps) 2.801 (-8bps) 3.499 (+62bps) 4.182 (+131bps) 5.519 (+264bps) 6.814 (+394bps)
End Mat Term 11.54yrs (-1.00yrs) 11.54yrs (-1.00yrs) 11.54yrs (-1.00yrs) 11.54yrs (-1.00yrs) 11.54yrs (-1.00yrs) 11.54yrs (-1.00yrs) 11.54yrs (-1.00yrs)
($19,209) (-19.22%)($8,834) (-8.84%)($2,903) (-2.91%)$3,642 (+3.64%)$8,487 (+8.49%)$13,235 (+13.24%)Total Return2.750%
104.356 (+5.72pts) 99.502 (+0.86pts) 92.946 (-5.69pts) 87.006 (-11.63pts) 76.611 (-22.03pts) 67.896 (-30.74pts)
Starting Mat Term: 12.53 yrs
FLORIDA ST
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
13063BSA1Muni Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$5,000 (+4.40%)
$17 (+0.02%)
$1,258 (+1.13%)
02/01/2038
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
113.005 (+1.26pts)
2.90 (-1.01)
$100,000
111.747
2.008%
3.90
$5,000 (+4.40%)
$27 (+0.02%)
($402) (-0.36%)
3.04 (-0.86)
$5,000 (+4.40%)
$43 (+0.04%)
($2,195) (-1.96%)
3.65 (-0.25)
$5,000 (+4.40%)
$59 (+0.05%)
($4,492) (-4.02%)
4.87 (+0.97)
$5,000 (+4.40%)
$75 (+0.07%)
($7,490) (-6.70%)
6.59 (+2.69)
$5,000 (+4.40%)
$107 (+0.09%)
($16,277) (-14.57%)
11.56 (+7.66)
($22,329) (-19.64%)
$5,000 (+4.40%)
$139 (+0.12%)
($27,468) (-24.58%)
11.72 (+7.82)
02/01/[email protected]
Px to: CallILLUSTRATIONHeld Away
End YTW 0.769 (-124bps) 1.275 (-74bps) 1.833 (-18bps) 2.563 (+56bps) 3.545 (+154bps) ††5.382 (+338bps) ††6.441 (+444bps)
End Mat Term 19.14yrs (-1.00yrs) 19.14yrs (-1.00yrs) 19.14yrs (-1.00yrs) 19.14yrs (-1.00yrs) 19.14yrs (-1.00yrs) 19.14yrs (-1.00yrs) 19.14yrs (-1.00yrs)
($11,170) (-9.83%)($2,415) (-2.12%)$568 (+0.50%)$2,848 (+2.51%)$4,626 (+4.07%)$6,274 (+5.52%)Total Return5.000%
111.345 (-0.40pts) 109.552 (-2.20pts) 107.255 (-4.49pts) 104.257 (-7.49pts) 95.470 (-16.28pts) 84.279 (-27.47pts)
Starting Mat Term: 20.11 yrs
CALIFORNIA ST
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
114894RS9Muni Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$5,000 (+4.45%)
$17 (+0.02%)
$3,121 (+2.80%)
10/01/2042
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
114.459 (+3.12pts)
3.59 (-1.82)
$100,000
111.338
2.469%
5.42
$5,000 (+4.45%)
$24 (+0.02%)
$987 (+0.89%)
4.15 (-1.27)
$5,000 (+4.45%)
$36 (+0.03%)
($1,607) (-1.44%)
5.45 (+0.03)
$5,000 (+4.45%)
$47 (+0.04%)
($5,003) (-4.49%)
7.31 (+1.89)
$5,000 (+4.45%)
$59 (+0.05%)
($9,421) (-8.46%)
9.24 (+3.82)
$5,000 (+4.45%)
$82 (+0.07%)
($20,940) (-18.81%)
13.23 (+7.81)
($26,633) (-23.69%)
$5,000 (+4.45%)
$106 (+0.09%)
($31,739) (-28.51%)
12.40 (+6.99)
10/01/[email protected]
Px to: CallILLUSTRATIONHeld Away
End YTW 1.089 (-139bps) 1.628 (-85bps) 2.299 (-17bps) 3.208 (+74bps) 4.442 (+198bps) ††5.745 (+328bps) ††6.732 (+427bps)
End Mat Term 23.80yrs (-1.00yrs) 23.80yrs (-1.00yrs) 23.80yrs (-1.00yrs) 23.80yrs (-1.00yrs) 23.80yrs (-1.00yrs) 23.80yrs (-1.00yrs) 23.80yrs (-1.00yrs)
($15,858) (-14.10%)($4,362) (-3.88%)$44 (+0.04%)$3,429 (+3.05%)$6,011 (+5.35%)$8,138 (+7.24%)Total Return5.000%
112.325 (+0.99pts) 109.731 (-1.61pts) 106.335 (-5.00pts) 101.917 (-9.42pts) 90.398 (-20.94pts) 79.599 (-31.74pts)
Starting Mat Term: 24.78 yrs
BROWARD CNTY FLA ARPT SYS REV
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 20 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
39225PAT8Muni Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$5,000 (+4.27%)
$11 (+0.01%)
$8,107 (+6.96%)
11/01/2042
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
124.610 (+8.11pts)
6.67 (-1.82)
$100,000
116.503
2.659%
8.49
$5,000 (+4.27%)
$16 (+0.01%)
$3,773 (+3.24%)
7.54 (-0.95)
$5,000 (+4.27%)
$25 (+0.02%)
($1,040) (-0.89%)
8.60 (+0.12)
$5,000 (+4.27%)
$35 (+0.03%)
($6,077) (-5.22%)
9.65 (+1.16)
$5,000 (+4.27%)
$44 (+0.04%)
($11,775) (-10.11%)
10.69 (+2.20)
$5,000 (+4.27%)
$64 (+0.05%)
($24,077) (-20.67%)
13.88 (+5.39)
($30,474) (-26.01%)
$5,000 (+4.27%)
$83 (+0.07%)
($35,556) (-30.52%)
12.91 (+4.42)
11/01/[email protected]
Px to: CallILLUSTRATIONHeld Away
End YTW 1.249 (-141bps) 1.843 (-82bps) 2.532 (-13bps) 3.291 (+64bps) 4.200 (+154bps) ††5.578 (+292bps) ††6.596 (+394bps)
End Mat Term 23.89yrs (-1.00yrs) 23.89yrs (-1.00yrs) 23.89yrs (-1.00yrs) 23.89yrs (-1.00yrs) 23.89yrs (-1.00yrs) 23.89yrs (-1.00yrs) 23.89yrs (-1.00yrs)
($19,013) (-16.23%)($6,730) (-5.74%)($1,042) (-0.89%)$3,986 (+3.40%)$8,789 (+7.50%)$13,118 (+11.20%)Total Return5.000%
120.276 (+3.77pts) 115.463 (-1.04pts) 110.426 (-6.08pts) 104.728 (-11.77pts) 92.426 (-24.08pts) 80.947 (-35.56pts)
Starting Mat Term: 24.86 yrs
GREATER NEW ORLEANS EXPWYCOMM
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
592041YB7Muni Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$4,000 (+3.78%)
$21 (+0.02%)
$13,439 (+12.91%)
07/01/2047
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
117.543 (+13.44pts)
10.31 (-3.85)
$100,000
104.104
3.490%
14.16
$4,000 (+3.78%)
$30 (+0.03%)
$6,976 (+6.70%)
11.94 (-2.22)
$4,000 (+3.78%)
$43 (+0.04%)
($69) (-0.07%)
13.38 (-0.78)
$4,000 (+3.78%)
$56 (+0.05%)
($7,278) (-6.99%)
15.86 (+1.70)
$4,000 (+3.78%)
$69 (+0.06%)
($15,391) (-14.78%)
16.78 (+2.62)
$4,000 (+3.78%)
$95 (+0.09%)
($28,544) (-27.42%)
15.17 (+1.01)
($34,871) (-32.99%)
$4,000 (+3.78%)
$121 (+0.12%)
($38,993) (-37.46%)
13.96 (-0.20)
07/01/[email protected]
Px to: CallILLUSTRATIONHeld Away
End YTW 1.776 (-172bps) 2.548 (-95bps) 3.450 (-4bps) ††4.192 (+71bps) ††4.725 (+124bps) ††5.754 (+227bps) ††6.781 (+329bps)
End Mat Term 28.55yrs (-1.00yrs) 28.55yrs (-1.00yrs) 28.55yrs (-1.00yrs) 28.55yrs (-1.00yrs) 28.55yrs (-1.00yrs) 28.55yrs (-1.00yrs) 28.55yrs (-1.00yrs)
($24,448) (-23.13%)($11,322) (-10.71%)($3,222) (-3.05%)$3,974 (+3.76%)$11,006 (+10.41%)$17,459 (+16.52%)Total Return4.000%
111.080 (+6.98pts) 104.035 (-0.07pts) 96.826 (-7.28pts) 88.713 (-15.39pts) 75.560 (-28.54pts) 65.111 (-38.99pts)
Starting Mat Term: 29.53 yrs
MET GOVT NASHVILLE & DAVIDSONC -VANDERBILT UNIVERSITY MEDICAL
Prin Returned $0 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
020002606Pfd Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$1,388 (+5.27%)
$50 (+0.19%)
($960) (-3.70%)
12/31/2049
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
**25.000 (-0.96pts)
– ( – )
1,000 shares
26.340
1.634%
0.78
$1,388 (+5.27%)
$77 (+0.29%)
($960) (-3.70%)
– ( – )
$1,388 (+5.27%)
$104 (+0.40%)
($960) (-3.70%)
– ( – )
$1,388 (+5.27%)
$132 (+0.50%)
($960) (-3.70%)
– ( – )
$1,388 (+5.27%)
$159 (+0.60%)
($960) (-3.70%)
– ( – )
$1,388 (+5.27%)
$213 (+0.81%)
($960) (-3.70%)
– ( – )
($16) (-0.06%)
$1,317 (+5.00%)
$51 (+0.19%)
($1,384) (-5.33%)
6.13 (+5.35)
10/15/[email protected]
Px to: CallPREFERREDSHeld Away
End YTW – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) – ( – ) ††7.002 (+537bps)
End Mat Term Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – )
$640 (+2.43%)$586 (+2.23%)$559 (+2.12%)$532 (+2.02%)$504 (+1.92%)$477 (+1.81%)Total Return6.750%
**25.000 (-0.96pts) **25.000 (-0.96pts) **25.000 (-0.96pts) **25.000 (-0.96pts) **25.000 (-0.96pts) 24.576 (-1.38pts)
Starting Mat Term: Perpetual
ALLSTATE CORP
Prin Returned **$25,000 **$25,000 **$25,000 **$25,000 **$25,000 **$25,000 $0
Starting Factor: 1.00000000
74913G501Pfd Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$73 (+0.30%)
$1,292 (+5.31%)
$1,034 (+4.31%)
07/01/2052
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
**25.000 (+1.03pts)
– ( – )
1,000 shares
24.360
7.328%
9.31
$1,371 (+5.63%)
$59 (+0.24%)
$1,339 (+5.59%)
4.06 (-5.25)
$1,371 (+5.63%)
$64 (+0.26%)
$387 (+1.62%)
9.09 (-0.22)
$1,371 (+5.63%)
$69 (+0.28%)
($813) (-3.39%)
10.33 (+1.02)
$1,371 (+5.63%)
$75 (+0.31%)
($1,993) (-8.32%)
10.48 (+1.17)
$1,371 (+5.63%)
$85 (+0.35%)
($4,155) (-17.34%)
10.09 (+0.78)
($4,527) (-18.59%)
$1,371 (+5.63%)
$96 (+0.39%)
($5,993) (-25.01%)
9.40 (+0.09)
01/04/[email protected]
Px to: MaturityPREFERREDSHeld Away
End YTW – ( – ) 7.023 (-31bps) 7.330 (+1bps) 7.747 (+42bps) 8.196 (+87bps) 9.139 (+181bps) 10.102 (+278bps)
End Mat Term Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – )
($2,699) (-11.09%)($548) (-2.25%)$627 (+2.58%)$1,822 (+7.48%)$2,769 (+11.37%)$2,398 (+9.85%)Total Return7.000%
25.306 (+1.34pts) 24.353 (+0.39pts) 23.153 (-0.81pts) 21.973 (-1.99pts) 19.811 (-4.15pts) 17.973 (-5.99pts)
Starting Mat Term: Perpetual
QWEST CORP
Prin Returned **$25,000 $0 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
369622394Pfd Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$480 (+1.90%)
$262 (+1.04%)
($86) (-0.34%)
05/16/2053
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
**25.000 (-0.09pts)
– ( – )
1,000 shares
25.200
3.834%
3.94
$480 (+1.90%)
$338 (+1.34%)
($86) (-0.34%)
– ( – )
$480 (+1.90%)
$414 (+1.64%)
($86) (-0.34%)
– ( – )
$1,067 (+4.24%)
$18 (+0.07%)
($784) (-3.13%)
9.00 (+5.06)
$1,067 (+4.24%)
$21 (+0.08%)
($2,070) (-8.25%)
11.93 (+7.99)
$1,067 (+4.24%)
$26 (+0.10%)
($4,880) (-19.45%)
13.24 (+9.30)
($6,288) (-24.96%)
$1,067 (+4.24%)
$32 (+0.13%)
($7,387) (-29.45%)
13.08 (+9.13)
05/16/[email protected]
Px to: CallPREFERREDSHeld Away
End YTW – ( – ) – ( – ) – ( – ) ††4.895 (+106bps) ††5.226 (+140bps) ††6.060 (+223bps) ††6.979 (+315bps)
End Mat Term Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – )
($3,787) (-15.03%)($982) (-3.90%)$301 (+1.20%)$808 (+3.21%)$732 (+2.91%)$656 (+2.60%)Total Return4.700%
**25.000 (-0.09pts) **25.000 (-0.09pts) 24.302 (-0.78pts) 23.016 (-2.07pts) 20.206 (-4.88pts) 17.698 (-7.39pts)
Starting Mat Term: Perpetual
GENERAL ELEC CAP CORP
Prin Returned **$25,000 **$25,000 **$25,000 $0 $0 $0 $0
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Information in this report, which may include held-away assets, was gathered from sources believed to be reliable. As our firm does not guarantee the accuracy of this report, please verify holdings and prices prior to
making investment decisions. Not all Cash & Cash Alternatives are liquid.Page 21 of 25
Position Performance Horizon: 12/19/2017 - 12/19/2018
CUSIPAsset Issue Description Performance 1 2 3 4 5 6 7Coupon
Maturity -100bp Parallel -50bp Parallel +0bp Parallel +50bp Parallel +100bp Parallel +200bp Parallel +300bp Parallel
879433795Pfd Cpn Return
Reinv Return
Price Return
End Price
End OA Dur
$122 (+0.49%)
$789 (+3.17%)
$160 (+0.64%)
12/01/2061
Starting YTW:Starting OA Dur:
Current Face:Starting Price:
**25.000 (+0.16pts)
– ( – )
1,000 shares
24.930
5.914%
5.18
$122 (+0.49%)
$906 (+3.64%)
$160 (+0.64%)
– ( – )
$1,395 (+5.60%)
$27 (+0.11%)
$74 (+0.30%)
5.01 (-0.17)
$1,395 (+5.60%)
$30 (+0.12%)
($950) (-3.82%)
9.96 (+4.77)
$1,395 (+5.60%)
$33 (+0.13%)
($2,258) (-9.09%)
11.67 (+6.49)
$1,395 (+5.60%)
$39 (+0.16%)
($4,809) (-19.36%)
12.08 (+6.89)
($5,586) (-22.42%)
$1,395 (+5.60%)
$46 (+0.18%)
($7,027) (-28.29%)
11.36 (+6.17)
01/19/[email protected]
Px to: MaturityPREFERREDSHeld Away
End YTW – ( – ) – ( – ) 5.916 (+1bps) 6.191 (+28bps) 6.573 (+66bps) 7.442 (+153bps) 8.380 (+247bps)
End Mat Term Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – ) Perpetual ( – )
($3,374) (-13.54%)($830) (-3.33%)$476 (+1.91%)$1,496 (+6.01%)$1,188 (+4.77%)$1,071 (+4.30%)Total Return5.875%
**25.000 (+0.16pts) 24.914 (+0.07pts) 23.891 (-0.95pts) 22.582 (-2.26pts) 20.032 (-4.81pts) 17.814 (-7.03pts)
Starting Mat Term: Perpetual
TELEPHONE & DATA SYSTEM
Prin Returned **$25,000 **$25,000 $0 $0 $0 $0 $0
Starting Factor: 1.00000000
*Bond matured during horizon period **Model predicts bond called during horizon period †Priced to date changes from maturity to call during horizon period ††Priced to date changes from call to maturity during horizon period
Multiple Accounts ILLUSTRATION
Shock Analysis - Position Performance (continued...)report as of 12/19/2017
Page 22 of 25
Benchmark Curves - Taxable and tax-exempt yield curves are used. Assumed to be a par yield curve, the model will calculate discount factors, zero coupon rates, forward rates and volatility structures to analyze each bond
for the horizon effect calculations.
Coupon Return - The sum of all coupon payments for tax lots included in the report over the shock horizon period expressed in $ and % return of beginning Total Market Value.
Current Face Value - The face value of the tax lot at the beginning of the horizon period applying the current factor, if applicable.
Current Face Value - End - The aggregated ending projected price multiplied by the projected face value at the end of the shock horizon period for each tax lot included in the report based upon the respective shock
scenario.
Current Face Value - Starting - The aggregated beginning price multiplied by the beginning current face value for each tax lot included in the report.
Curve Shift - The basis point shift applied to the benchmark curves. This may be a parallel or non-parallel shift which will be applied to determine the horizon effect calculations for each tax lot held.
Int on Reinvested Proceeds - Scenario Value - Interest earned on all reinvested proceeds over the shock horizon period at a rate assumed by the model for each tax lot included in the report based upon interest rates
derived from the beginning curves used in the model.
Interest on Reinvested Prin+Int - The sum of all interest earned on all reinvested proceeds for tax lots included in the report during the shock horizon period expressed in $ and % return of beginning total market value.
Market Value - Total Current Value - The aggregated beginning principal value plus accrued interest for each tax lot included in the report.
Market Value - Total Scenario Value - The aggregated principal value plus accrued interest for each tax lot included in the report at the end of the shock horizon period.
Mat Term - End - The expected time to maturity expressed in years at the end of the horizon period. Used most often for principal paydown securities where the average life expectation changes due to scenario
assumptions.
Mat Term - Starting - The expected time to maturity expressed in years at the beginning of the horizon period.
OA Effective Duration - Average Current Value - The principal value weighted average beginning option adjusted duration of each tax lot included in the report.
OA Effective Duration - Average Scenario Value - The projected principal value weighted average option adjusted duration at the end of the shock horizon period for all tax lots included in the report. Values are based
upon the respective shocked benchmark curve utilizing a constant model implied option adjusted spread.
OA Effective Duration - End - The option adjusted (effective) duration at the end of the horizon period. The change from starting OA duration is expressed in + - units.
OA Effective Duration - Starting - The option adjusted (effective) duration of each tax lot at the beginning of the horizon period.
Price - Average Current Value - The current face weighted average beginning price of each tax lot included in the report. Prices have been normalized to "Par" where nominal value is greater or less than 100.
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Price - Average Scenario Value - The projected current face weighted average price at the end of the shock horizon period for all tax lots included in the report. Values are based upon the respective shocked benchmark
curve utilizing a constant model implied option adjusted spread. Redemption price is used for matured and called tax lots. Prices have been normalized to "Par" where nominal value is greater or less than 100.
Price - End - The calculated price based upon the scenario assumptions at the end of the horizon period. The model will indicate a bond has matured (*) or will be called (**) at the redemption price. If there is no indication it
is assumed the tax lot is held for the entire horizon period. The change from starting price is expressed in + - pts.
Price - Starting - The price provided from internal sources or by third party data provider at beginning of horizon period.
Principal Return - The gain or loss in total Principal Value (plus any matured or called bond principal proceeds) for tax lots included in the report during the horizon period expressed in $ and % return of beginning total
market value.
Reinvested Proceeds - End - The aggregation of all cash flows during the shock horizon period including matured principal, called bond proceeds, coupon payments, and/or projected principal pay downs.
Reinvestment Rate - The risk-free spot rate determined by the model applied to each principal and coupon cash flow from receipt to the end of the horizon period.
Scenario Horizon - The time period over which the horizon effect is measured.
Total Return - The sum of all coupon payments, interest earned on reinvested proceeds, and the gain or loss in principal value for tax lots included in the report over the shock horizon period expressed in $ and % return of
beginning total market value.
Volatility - Determined by the model.
Yield - Starting - The yield to worst derived from the current market price from internal sources or by third party data provider at beginning of horizon period.
Yield - Ending - The calculated yield to worst based upon the scenario assumption at the end of the horizon period. The change in yield may differ from the input yield shift because the model revalues the bond at a constant
Option Adjusted Spread across the entire shifted yield curve allowing the bond to roll down the curve. The change from starting yield is expressed in + - bps.
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Disclaimer
YIELDS REPRESENT YIELD TO MATURITY OR YIELD TO WORST CALL AS INDICATED. PLEASE REVIEW THIS INFORMATION CAREFULLY WITH YOUR FINANCIAL ADVISOR TO ASSURE IT MEETS YOUR
INVESTMENT OBJECTIVES.
Minimum purchases may apply. Prices and yields are subject to change based upon market conditions and availability.
An overview of these investments, their features and risks is available at raymondjames.com, "Smart Bond Investing" at finra.org, under "Learn More" at investinginbonds.com, or emma.msrb.org.
RISK CONSIDERATIONS: These securities are subject to risk factors that may decrease (or increase) the market value of your investment.
INTEREST OR DIVIDEND RATE RISK is the risk that changes in interest rates may reduce (or increase) the market value of your investment. Generally, a rise in interest rates decreases market price; while a fall in interest
rates increases market price.
LIQUIDITY RISK is the risk that you will be unable to sell these securities in the secondary market. If you decide to sell prior to maturity, your proceeds may be more or less than the original cost, and may be subject to capital
gains or loss.
CREDIT RISK OR DEFAULT RISK refers to the risks that the issuer's creditworthiness may weaken or possibly the issuer, obligor, or insurer will not be able to pay interest or repay principal when due. Adverse changes in
the creditworthiness and rating may decrease value of the investment. Generally, higher yields and/or lower ratings reflect higher perceived credit risk. Independent rating agencies provide actual and underlying security
ratings on most securities which at times include future outlook and/or placement of the security under review for future action. These ratings are subject to change at any time and are not meant as a recommendation to buy,
sell or hold. Securities with the same rating can actually trade at significantly different prices. Raymond James trade confirmations, online accounts and monthly statements display only the current ratings and subsequent
changes of those Rating Agencies to which Raymond James subscribes. Investors may request Moody's and/or S&P credit reports from their financial advisors, and Fitch reports are available for municipal bonds. To learn
more please refer to moodys.com, standardandpoors.com, and fitchratings.com.
Insurance, if specified, relates to the timely payment of principal and interest. Insurance does not guarantee market value or protect against fluctuations in bond prices resulting from general market fluctuations. No
representation is made as to the insurer's ability to meet its financial commitments and the underlying credit should be considered. High yield bonds are not suitable for all investors and are generally considered speculative in
nature with greater potential loss of interest and/or principal. Brokered Certificate of Deposit FDIC insurance covers up to $250,000 (including principal and interest) for deposits held in different ownership categories,
including single accounts, joint accounts, trust accounts, IRAs, and certain other retirement accounts, per issuer. Funds may not be withdrawn until the maturity date or redemption date. However, these CDs are negotiable,
which means, that although not obligated to do so, Raymond James and other broker/dealers currently maintain an active secondary market at current interest rates. FDIC insurance does not guarantee market value or
protect against fluctuations in CD prices resulting from general market changes.
INCOME: In general, fixed income investments pay a fixed interest rate coupon. Some bonds, however can pay variable payments such as step coupons and or variable rates based on a predetermined formula. Interest from
taxable zero coupon securities is subject to annual taxation as ordinary income, even though no income is received. Certain federally tax-exempt municipal securities, although federally tax-exempt, may be subject to federal
alternative minimum tax (AMT). Tax-exempt municipal interest earned is generally free from taxes, however other appreciation components may not be. Upon sale or redemption of a municipal bond purchased at a discount,
a portion of the proceeds may be subject to tax. Brokered CDs annual percentage yields (APY) represents the interest earned based on simple interest calculations
MATURITY: Brokered CDs with a maturity of longer than 1 year are considered as Long-Term. Certain early redemption features, such as a call at issuer's option, provide the issuer an option to repay principal prior to
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Disclaimerreport as of 12/19/2017
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maturity and may change the term of the investment. Certain brokered CDs are also callable at the option of the issuer.
MODIFIED DURATION AND CONVEXITY are measures of price sensitivity of a fixed-income security to changes in interest rates. Modified Duration is the approximate percentage change in price that would occur with a 1%
change in interest rates. Convexity estimates the impact of interest rate changes on modified duration. Modified Duration and Convexity may be used together to approximate price volatility of fixed-income securities. Modified
Duration does not account for early redemption features, such as calls by the issuer. Mortgage-backed securities and Collateralized Mortgage Obligations (CMOs) are priced based on average life which includes prepayment
assumptions that may or may not be met and changes in prepayments may significantly affect yield and average life.
For more complete information about new issues, including charges and expenses, obtain a prospectus at sec.gov or municipal official statement at emma.msrb.org or from your Financial Advisor. Please read it carefully
before you invest or send money.
Investors are urged to consult with their own tax advisors with regard to their specific situation prior to making any investment decisions with tax consequences.
The portfolio evaluation is intended as a tool to assist our clients manage their fixed income investments. The analysis is based on information supplied to us by you or your financial advisor and other sources believed to be
reliable but that are not guaranteed for accuracy or completeness. We are not responsible for errors in report listings or incorrect information supplied by our various subscribed services. Due to the data complexity, some
securities may not be included in the portfolio analysis. Opinions, projections, and estimates are subject to change without notice and may be based on industry conventions that do not make a complete analysis of every
material fact. Any substantial change in interest rates, market conditions and credit quality of the issuer may not be reflected in the evaluation. There can be no assurance that past performance can be repeated in the future.
This firm or persons associated with it may at any time be long or short any securities mentioned in this report and may from time to time sell or buy such securities. This firm or one of its affiliates may from time to time
perform investment banking or other services for, or solicit investment banking or other business from any company mentioned herein. Further, an employee of this firm may be a director of a company mentioned here. For
complete information about proposed new issue bonds, including expenses and charges, obtain a prospectus from your financial advisor. Information in this report is not intended and should not be used for any official tax,
lending, or legal purposes. Please contact your tax or legal advisor regarding the tax treatment and consequences of fixed income investments. This report does not supersede or replace your monthly statement. No part of
this document may be reproduced in any manner without written permission of the Fixed Income Department of Raymond James.
Unless otherwise specified, products purchased from or held at Raymond James & Associates or Raymond James Financial Services are not insured by the FDIC, are not deposits or other obligations of Raymond James
Bank, are not guaranteed by Raymond James Bank and are subject to investment risks, including possible loss of the principal invested.
Raymond James & Associates, Inc. member New York Stock Exchange/SIPC and Raymond James Financial Services, Inc. member FINRA/SIPC.
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