Pricing Methodology Key for ASC 820 Reporting

Transcription

1 Institutional Retirement and Trust Methodology Key for ASC 820 Reporting How to use the Methodology Key This Key is sorted by ascending Asset number. Asset /Category information on this Key is minor asset category information. Match Asset number and from the Hierarchy Report to the same fields on this Key to determine Methodology. Asset description information on the Hierarchy and Level 3 Activity Reports may not match on this Key. Asset s/categories may have multiple methodologies. Information in the column reflects when information is scheduled to be received. Please e: The Level 3 Activity Report provides all activity for the accounting period in each level 3 asset. Level 3 assets with no activity for the accounting period will not appear on the Level 3 Activity Report. Asset Method Methodology 01 US EASURY BILLS BR BROKER. 01 US EASURY BILLS IQ FTID INSTITUTIONAL BOND QUOTES 01 US EASURY BILLS D 02 COMMERCIAL PAPER- INT. BEARING 02 COMMERCIAL PAPER- INT. BEARING 02 COMMERCIAL PAPER- INT. BEARING 02 COMMERCIAL PAPER- INT. BEARING CD IQ FTID LONG TERM CD FTID INSTITUTIONAL BOND QUOTES MX MAIX. ADER-ENTERED Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer brokers. s are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET). No known source. The last remains. Stale could apply. Series of matrices. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. Matrix based yields and effective maturity. This is system generated so no second vendor. if a is 1

2 Method Methodology 03 COMMERCIAL PAPER DISCOUNT 03 COMMERCIAL PAPER DISCOUNT 03 COMMERCIAL PAPER DISCOUNT 04 REPURCHASE/MASTER NT AGREEMENT MX MAIX. D ADER-ENTERED ADER-ENTERED 05 CURRENCY BR BROKER. 05 CURRENCY IN EXTEL INTERNATIONAL 06 TAX EXEMPT COMMERCIAL PAPER 07 GOVERNMENT AGENCY DISCOUNT 07 GOVERNMENT AGENCY DISCOUNT 07 GOVERNMENT AGENCY DISCOUNT 07 GOVERNMENT AGENCY DISCOUNT 08 S/T CERTIFICATE OWN BANK ADER-ENTERED BR BROKER. IQ FTID INSTITUTIONAL BOND QUOTES MB FTID MORTGAGE- BACKED D ADER-ENTERED Matrix based yields and effective maturity. This is system generated so no second vendor. No known source. The last remains. Stale could apply. if a is if a is exchange rates. if a is Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. Evaluated via model using various inputs such as but not limited to daily cash flow, 15: or 16: (ET) snapshots of TBA market and US Treasury market, floating rate Indices such as LIBOR, CMT, and Prime as a benchmark yield, spread over index, periodic and life caps, next co adjustment date, and convertibility of the bond. No known source. The last remains. Stale could apply. if a is 09 S/T CERTIFICATE N ADER-ENTERED 2

3 Method Methodology BANK 10 SAVINGS ACCOUNT OWN BANK 10 SAVINGS ACCOUNT OWN BANK 11 SAVINGS ACCOUNT N BANK 12 L/T CERTIFICATE OWN BANK 13 L/T CERTIFICATE N BANK 13 L/T CERTIFICATE N BANK 14 US EASURY TES AND BONDS 14 US EASURY TES AND BONDS D ADER-ENTERED ADER-ENTERED ADER-ENTERED D ADER-ENTERED BR BROKER. CO COMPANY if a is d at $1.. d at $1.. d at $1.. d at $1.. d at $1.. d at $1.. Multiple options apply. could be received from the primary exchange which has been set based where the highest number of trade days for a particular security has occurred. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. d by incorporating s based on actual transactions and market information through contacts with the broker-dealer community which is evaluated and compared with additional market information from other d by incorporating treasury terms and conditions, evaluated information such as quotes, spreads, and speeds, a model that incorporates real time updates and dealer contributions compared with multiple sources, and market news. 14 US EASURY TES IN EXTEL received from the primary exchange. The primary 3

4 Method Methodology AND BONDS INTERNATIONAL 14 US EASURY TES AND BONDS 14 US EASURY TES AND BONDS 14 US EASURY TES AND BONDS 14 US EASURY TES AND BONDS 15 GOVERNMENT AGENCY 15 GOVERNMENT AGENCY 15 GOVERNMENT AGENCY IQ FTID INSTITUTIONAL BOND QUOTES D PA AT PAR. ADER-ENTERED BR BROKER. CM FTID CMO CO COMPANY exchange has been set based where the highest number of trade days for a particular security has occurred. Treasury notes and bonds. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. investment manager, client, etc. or default if a is remains at PAR and is updated daily. if a is For CMOs, depending the characteristics of a given tranche, a volatility-driven, multi-dimensional single cash flow stream model or option-adjusted spread (OAS) model is used. For ABS and CMBS issues, a single cash flow stream model is utilized. Multiple options apply. For CMOs, depending the characteristics of a given tranche, a volatility-driven, multi-dimensional single cash flow stream model or optionadjusted spread (OAS) model is used. For ABS and CMBS issues, a single cash flow stream model is utilized. Evaluated s as follows: a. A bullet (non-call) spread scale is created for each issuer for maturities going out to forty years. These spreads represent credit risk and are obtained from the new issue market, secondary trading, and dealer quotes. Each issuerspread line has the capability to link parent/subsidiary and related companies to capture relevant movements. b. An Option Adjusted Spread (OAS) model is incorporated to adjust spreads of issues that have early redemption features. c. Final spreads are added to both a 15: and 16: (ET) U.S. Treasury curve. A special cash discounting yield/ routine calculates s from final yields to accommodate odd co payment dates typical of medium-term notes. d. Evaluators maintain quality by surveying the dealer community, obtaining benchmark quotes, incorporating relevant trade data, and updating spreads daily. e: Weekly 4

5 Method Methodology 15 GOVERNMENT AGENCY 15 GOVERNMENT AGENCY IQ KM FTID INSTITUTIONAL BOND QUOTES JJ KENNY MUNICIPALS JJ Kenny Floating-rate medium-term notes are evaluated using the Floating-Rate e Evaluation Model which generates evaluations for floating-rate notes by calculating current and future cos, then discounting each cash flow by an appropriate discount margin. Trades, bid or spread, two-sided markets, quotes, benchmark curves including but not limited to treasury benchmarks and LIBOR and swap curves, market data feeds such as MSRB, financial statements, discount rate, capital rates, trustee reports. d by incorporating evaluations and/or actual trade data and volatilities for actively traded benchmark bonds, as well as callable indicative grids, based on observations and trading activities, proprietary models to calculate additional inputs based on market assumptions, and on performance data. Using these models, evaluators determine spread curve (for bullet bonds) and the OAS curve (for callable bonds) for actively traded debentures, may also apply rules based adjustments to assumptions to adjust the spread and/or OAS based on features, liquidity and/or similar market-related factors. Evaluated as follows: a. A bullet (non-call) spread scale is created for each issuer for maturities going out to forty years. These spreads represent credit risk and are obtained from the new issue market, secondary trading, and dealer quotes. Each issuerspread line has the capability to link parent/subsidiary and related companies to capture relevant movements. b. An Option Adjusted Spread (OAS) model is incorporated to adjust spreads of issues that have early redemption features. c. Final spreads are added to both a 15: and 16: (ET) U.S. Treasury curve. A special cash discounting yield/ routine calculates s from final yields to accommodate odd co payment dates typical of medium-term notes. d. Evaluators maintain quality by surveying the dealer community, obtaining benchmark quotes, incorporating relevant trade data, and updating spreads daily. e: Floating-rate medium-term notes are evaluated using the Floating-Rate e Evaluation Model which generates evaluations for floating-rate notes by calculating current and future cos, then discounting each cash flow by an appropriate discount margin. Trades, bid or spread, two-sided markets, quotes, benchmark curves including but not limited to treasury benchmarks and LIBOR and swap curves, market data feeds such as MSRB, financial statements, discount rate, capital Weekly IDC 5

6 Method Methodology 15 GOVERNMENT AGENCY 15 GOVERNMENT AGENCY 15 GOVERNMENT AGENCY 16 GOVT SIPPED AND ZERO COUPON 16 GOVT SIPPED AND ZERO COUPON 16 GOVT SIPPED AND ZERO COUPON 16 GOVT SIPPED AND ZERO COUPON 16 GOVT SIPPED AND ZERO COUPON 17 SERIES E/EE & FREEDOM SHARES 17 SERIES E/EE & FREEDOM SHARES MB FTID MORTGAGE- BACKED D ADER-ENTERED BR BROKER. CO COMPANY IQ FTID INSTITUTIONAL BOND QUOTES D ADER-ENTERED BR BROKER. D rates, trustee reports. Evaluated via model using various inputs such as but not limited to daily cash flow, 15: or 16: (ET) snapshots of TBA market and US Treasury market, floating rate Indices such as LIBOR, CMT, and Prime as a benchmark yield, spread over index, periodic and life caps, next co adjustment date, and convertibility of the bond. investment manager, client, etc. or default if a is investment manager, client, etc. or default if a is Multiple options apply. d by incorporating evaluations and/or actual trade data for the actively traded benchmark bonds based on their observations and trading activities, proprietary models to calculate additional inputs based on market assumptions provided by traders, and on performance data. Using these models, evaluators determine spread curve for actively traded Evaluators create stripped interest and stripped principal yield curves from levels obtained from various dealer contacts and live data These yields represent a 15: and 16: (ET) U.S. Treasury zero-co curve. Hybrid securities and agency strips are spread off an appropriate U.S. Treasury issue. obtains these spreads from the new issue market and dealer Spreads can be changed daily in response to market conditions. investment manager, client, etc. or default if a is if a is No known source. The last remains. Stale could apply. 6

7 Method Methodology 17 SERIES E/EE & FREEDOM SHARES 18 US SAVINGS BONDS SERIES H/HH 18 US SAVINGS BONDS SERIES H/HH 18 US SAVINGS BONDS SERIES H/HH 18 US SAVINGS BONDS SERIES H/HH 19 US GOVERNMENT MTG POOL TBA 19 US GOVERNMENT MTG POOL TBA 19 US GOVERNMENT MTG POOL TBA 20 MUNICIPAL - TAX EXEMPT 20 MUNICIPAL - TAX EXEMPT PR FTID CORPORATE BR BROKER. D PR FTID CORPORATE ADER-ENTERED CM FTID CMO IQ FTID INSTITUTIONAL BOND QUOTES D BR BROKER. CO COMPANY Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer brokers. s are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET). Weekly investment manager, client, etc. or default if a is Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer brokers. s are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET). investment manager, client, etc. or default if a is For CMOs, depending the characteristics of a given tranche, a volatility-driven, multi-dimensional single cash flow stream model or option-adjusted spread (OAS) model is used. For ABS and CMBS issues, a single cash flow stream model is utilized. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. investment manager, client, etc. or default if a is Weekly Weekly Multiple options apply. d by trades, bid or spread, two-sided markets, quotes, benchmark curves including but not limited to treasury benchmarks and LIBOR and swap curves, market data feeds such as MSRB, financial statements, discount rate, capital rates, trustee reports. Multi-dimensional relational model or series of matrices utilizing standard inputs including MSRB reported trades and material event notices plus MMD benchmark yields. d by incorporating terms and conditions such as credit ratings, 7

8 Method Methodology 20 MUNICIPAL - TAX EXEMPT 20 MUNICIPAL - TAX EXEMPT 20 MUNICIPAL - TAX EXEMPT 20 MUNICIPAL - TAX EXEMPT 20 MUNICIPAL - TAX EXEMPT IQ KM MU FTID INSTITUTIONAL BOND QUOTES JJ KENNY MUNICIPALS FTID MUNICIPAL D ADER-ENTERED JJ Kenny 21 MUNICIPAL - TAXABLE BR BROKER. 21 MUNICIPAL - TAXABLE CO COMPANY issuer and issue level data, amount issued/outstanding, deal underwriters, call/put sinking fund schedules, co, maturity, and significant reference data, evaluated information such as quotes, reviewed daily trades, and daily credit curves, and market news. IDC and Reuters information only, no information available from Direct. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. Trades, bid or spread, two-sided markets, quotes, benchmark curves including but not limited to treasury benchmarks and LIBOR and swap curves, market data feeds such as MSRB, financial statements, discount rate, capital rates, trustee reports. Multi-dimensional relational model or series of matrices utilizing standard inputs including MSRB reported trades and material event notices plus MMD benchmark yields. investment manager, client, etc. or default if a is investment manager, client, etc. or default if a is Weekly Weekly Multiple options apply. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. d by trades, bid or spread, two-sided markets, quotes, benchmark curves including but not limited to treasury benchmarks and LIBOR and swap curves, market data feeds such as MSRB, financial statements, discount rate, capital rates, trustee reports. Multi-dimensional relational model or series of matrices utilizing standard inputs including MSRB reported trades and material event notices plus MMD benchmark yields. d by incorporating terms and conditions such as credit ratings, issuer and issue level data, amount issued/outstanding, deal underwriters, call/put sinking fund schedules, co, maturity, and significant reference data, evaluated information such as quotes, reviewed daily trades, and daily credit curves, and market IDC JJ Kenny 8

9 Method Methodology 21 MUNICIPAL - TAXABLE IQ FTID INSTITUTIONAL BOND QUOTES 21 MUNICIPAL - TAXABLE KM JJ KENNY MUNICIPALS 21 MUNICIPAL - TAXABLE MU FTID MUNICIPAL 21 MUNICIPAL - TAXABLE D 22 MUNICIPAL ZERO COUPON 22 MUNICIPAL ZERO COUPON 22 MUNICIPAL ZERO COUPON 22 MUNICIPAL ZERO COUPON 22 MUNICIPAL ZERO COUPON JJ Kenny BR BROKER. KM JJ KENNY JJ Kenny MUNICIPALS MU FTID MUNICIPAL D ADER-ENTERED 23 CORPORATE BONDS BR BROKER. 23 CORPORATE BONDS CB FTID CANADIAN BOND 23 CORPORATE BONDS CD FTID LONG TERM CD news. IDC and Reuters information only, no information available from Direct. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. Trades, bid or spread, two-sided markets, quotes, benchmark curves including but not limited to treasury benchmarks and LIBOR and swap curves, market data feeds such as MSRB, financial statements, discount rate, capital rates, trustee reports. Multi-dimensional relational model or series of matrices utilizing standard inputs including MSRB reported trades and material event notices plus MMD benchmark yields. investment manager, client, etc. or default if a is Weekly Weekly Trades, bid or spread, two-sided markets, quotes, benchmark curves including but not limited to treasury benchmarks and LIBOR and swap curves, market data feeds such as MSRB, financial statements, discount rate, capital rates, trustee reports. Multi-dimensional relational model or series of matrices utilizing standard inputs including MSRB reported trades and material event notices plus MMD benchmark yields. investment manager, client, etc. or default if a is investment manager, client, etc. or default if a is Weekly Weekly Market maker bids from RBC Dominion Securities and market maker bids from CIBC Wood Gundy. Evaluated as follows: a. A bullet (non-call) spread scale is created for each issuer for maturities going out to forty years. These spreads represent credit risk and are obtained from the new issue IDC JJ Kenny IDC JJ Kenny Direct, submitted 9

10 Method Methodology 23 CORPORATE BONDS CM FTID CMO 23 CORPORATE BONDS CO COMPANY market, secondary trading, and dealer quotes. Each issuerspread line has the capability to link parent/subsidiary and related companies to capture relevant movements. b. An Option Adjusted Spread (OAS) model is incorporated to adjust spreads of issues that have early redemption features. c. Final spreads are added to both a 15: and 16: (ET) U.S. Treasury curve. A special cash discounting yield/ routine calculates s from final yields to accommodate odd co payment dates typical of medium-term notes. d. Evaluators maintain quality by surveying the dealer community, obtaining benchmark quotes, incorporating relevant trade data, and updating spreads daily. e: Floating-rate medium-term notes are evaluated using the Floating-Rate e Evaluation Model which generates evaluations for floating-rate notes by calculating current and future cos, then discounting each cash flow by an appropriate discount margin. For CMOs, depending the characteristics of a given tranche, a volatility-driven, multi-dimensional single cash flow stream model or option-adjusted spread (OAS) model is used. For ABS and CMBS issues, a single cash flow stream model is utilized. Multiple options apply. received from the primary exchange. The primary exchange has been set based where the highest number of trade days for a particular security has occurred. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. Matrix based yields and effective maturity. Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer brokers. s are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET). d by incorporating indenture information for investment grade bonds, market, s, yields, and other market assumptions through actual traded s, and through contacts with the broker-dealer community. Evaluators use real time color from the above sources to construct and maintain yield curves for each investment grade issuer. These curves may be further differentiated by rating and seniority. For bullet bonds, evaluators receive spreads and market color to create and maintain yield curves for each investment grade issuer. In addition, evaluators maintain more generic Weekly 10

11 Method Methodology 23 CORPORATE BONDS IN EXTEL INTERNATIONAL 23 CORPORATE BONDS IQ FTID INSTITUTIONAL BOND QUOTES 23 CORPORATE BONDS MX MAIX. 23 CORPORATE BONDS D 23 CORPORATE BONDS PR FTID CORPORATE yield curves for industry sectors. For bonds with embedded options, evaluators utilize a proprietary corporate bond evaluation model to calculate OAS (option adjusted spread) on selected benchmark issues using market volatility. Evaluators may also apply rules based adjustments to adjust their spread assumptions based on co and/or maturity and/or liquidity or other similar market factors. d by incorporating indenture information for high yield bonds. Evaluators have access to the market to determine s, yields, and other market assumptions through actual traded s, and through contacts with the broker-dealer community, indicative s for various liquid high yield bonds, and also for bonds that have defaulted, transacted s on specific bonds and bond indices, as well as bid lists and general market color provided by other market participants. Evaluators use proprietary models to calculate additional inputs based on market data and assumptions. Evaluators determine yields for the sample bonds, using s received from the trading desk, real time color to maintain yield curves for each issuer which may be further differentiated by rating and seniority. In the case of defaults, evaluators use the trading desk across all maturities of bonds in each seniority bucket. Evaluators may also apply rules based adjustments to adjust their assumptions based on co, maturity and/or the presence of embedded options. received from the primary exchange. The primary exchange has been set based where the highest number of trade days for a particular security has occurred. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. Matrix based yields and effective maturity. This is system generated so no second vendor. investment manager, client, etc. or default if a is Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer brokers. s are reviewed on the basis of their historical 11

12 Method Methodology 23 CORPORATE BONDS ADER-ENTERED 24 CORPORATE SIPPED/ZERO COUPON 24 CORPORATE SIPPED/ZERO COUPON 24 CORPORATE SIPPED/ZERO COUPON 24 CORPORATE SIPPED/ZERO COUPON 24 CORPORATE SIPPED/ZERO COUPON 24 CORPORATE SIPPED/ZERO COUPON 24 CORPORATE SIPPED/ZERO COUPON 25 CLOSELY HELD BONDS BR BROKER. CD FTID LONG TERM CD CO COMPANY IN IQ EXTEL INTERNATIONAL FTID INSTITUTIONAL BOND QUOTES D ADER-ENTERED ADER-ENTERED accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET). investment manager, client, etc. or default if a is Worthless assets remain at $0.. Multi-dimensional relational model. Multiple options apply. received from the primary exchange. The primary exchange has been set based where the highest number of trade days for a particular security has occurred. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. d by incorporating full terms and conditions from new issue information, evaluated information such as quotes, spreads, and speeds, OAS (option adjusted spread) analytics using a single factor binominal model incorporating benchmark spot curve, constant interest rate volatility, and market spreads, and market news. IDC and Reuters information only, no information available from Direct. received from the primary exchange. The primary exchange has been set based where the highest number of trade days for a particular security has occurred. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. investment manager, client, etc. or default if a is investment manager, client, etc. or default if a is 12

13 Method Methodology 26 CONVERTIBLE CORPORATE BONDS 26 CONVERTIBLE CORPORATE BONDS BR BROKER. CO COMPANY if a is Multiple options apply. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. d by incorporating indenture information for investment grade bonds, market. s, yields, and other market assumptions through actual traded s, and through contacts with the broker-dealer community. Evaluators use real time color from the above sources to construct and maintain yield curves for each investment grade issuer. These curves may be further differentiated by rating and seniority. For bullet bonds, evaluators receive spreads and market color to create and maintain yield curves for each investment grade issuer. In addition, evaluators maintain more generic yield curves for industry sectors. For bonds with embedded options, evaluators utilize a proprietary corporate bond evaluation model to calculate OAS (option adjusted spread) on selected benchmark issues using market volatility. Evaluators may also apply rules based adjustments to adjust their spread assumptions based on co and/or maturity and/or liquidity or other similar market factors. d by incorporating indenture information for high yield bonds. Evaluators have access to the market to determine s, yields, and other market assumptions through actual traded s, and through contacts with the broker-dealer community, indicative s for various liquid high yield bonds, and also for bonds that have defaulted, transacted s on specific bonds and bond indices, as well as bid lists and general market color provided by other market participants. Evaluators use proprietary models to calculate additional inputs based on market data and assumptions. Evaluators determine yields for the sample bonds, using s received from the trading desk, real time color to maintain yield curves for each issuer which may be further differentiated by rating and seniority. In the case of defaults, evaluators use the trading desk across all maturities of bonds in each seniority bucket. Evaluators may also apply rules based adjustments to adjust their assumptions based on co, maturity and/or the presence of embedded options. d by incorporating terms and conditions such as conversion and ratios, underlying equity tickers, credit 13

14 Method Methodology 26 CONVERTIBLE CORPORATE BONDS 26 CONVERTIBLE CORPORATE BONDS 26 CONVERTIBLE CORPORATE BONDS 27 FOREIGN CORPORATE BONDS 27 FOREIGN CORPORATE BONDS 27 FOREIGN CORPORATE BONDS 27 FOREIGN CORPORATE BONDS IQ FTID INSTITUTIONAL BOND QUOTES D ADER-ENTERED BR BROKER. CB FTID CANADIAN BOND CD FTID LONG TERM CD CO COMPANY ratings of issue, amount issued/outstanding and option detail including call/put schedules, evaluated information such as quotes, spreads, and speeds, contributed from broker dealers that is used to confirm evaluated s, and market news. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. investment manager, client, etc. or default if a is investment manager, client, etc. or default if a is Worthless assets remain at $0.. Market maker bids from RBC Dominion Securities and market maker bids from CIBC Wood Gundy. Market maker bids from RBC Dominion Securities and market maker bids from CIBC Wood Gundy. Multiple options apply. generated using non-oas discounted cash flow model, as follows: Yield - algorithm. The yield, derived as interpolated benchmark constant maturity yield/rate plus maturity spread, is used to discount co and principal cash flows. Clean evaluated bid is calculated from present value minus accrued interest. Benchmark: Constant maturity treasury/swap curves snapshot at 16:15 UK time or local close for Asian markets. Constant maturity issuer spread curves produced for select issuers. Spread Parameter Inputs: Nominal spread over interpolated matched-date yield/rate of benchmark constant maturity curve. Model treats perpetuals as rolling 50-year maturity. Multi-dimensional relational model and/or Option Adjusted Spread (OAS). For high yield bonds: Broker-quote based application. source considers high yield bonds to have the following characteristics: Rated Ba1 or lower by Moody's or BB+ or lower by S&P, non-rated bonds with credit quality below investment grade, "Crossover bonds" and non- Bloomberg Bloomberg Bloomberg 14

15 Method Methodology 27 FOREIGN CORPORATE BONDS 27 FOREIGN CORPORATE BONDS 27 FOREIGN CORPORATE BONDS EX IN IQ EXTEL INT L BOND EVALUATION EXTEL INTERNATIONAL FTID INSTITUTIONAL BOND QUOTES Extel / IDC investment grade preferred stocks. d by incorporating indenture information and market analysis for emerging market bonds and indices. Evaluators have access to the market to determine s, yields, and other market assumptions through actual traded s, and through contacts with the broker-dealer community and use proprietary emerging markets bond evaluation model to provide daily valuations of sovereign and corporate emerging market securities, and transacted s on specific bonds and bond indices, as well as bid lists and general market color from other market participants. Evaluators adjust s as necessary based on new market color and other changes such as movements in interest rates, or geopolitical events. d by incorporating terms and conditions such as credit ratings of issuers, amount issued/outstanding, co, maturity, etc., evaluators who examine all available quotes/spreads and choose the most accurate based on parameters such as historical reliability, spreads obtained from sell side dealers, brokers, and new issue market, and market news. Generated using non-oas discounted cash flow model, as follows: Yield - algorithm. The yield, derived as interpolated benchmark constant maturity yield/rate plus maturity spread, is used to discount co and principal cash flows. Clean evaluated bid is calculated from present value minus accrued interest. Benchmark: Constant maturity treasury/swap curves snapshot at 16:15 UK time or local close for Asian markets. Constant maturity issuer spread curves produced for select issuers. Spread Parameter Inputs: Nominal spread over interpolated matched-date yield/rate of benchmark constant maturity curve. Model treats perpetuals as rolling 50-year maturity. Multi-dimensional relational model and/or Option Adjusted Spread (OAS). For high yield bonds: Broker-quote based application. source considers high yield bonds to have the following characteristics: Rated Ba1 or lower by Moody's or BB+ or lower by S&P, non-rated bonds with credit quality below investment grade, "Crossover bonds" and noninvestment grade preferred stocks Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. Bloomberg Bloomberg 15

16 Method Methodology 27 FOREIGN CORPORATE BONDS 27 FOREIGN CORPORATE BONDS 28 FOREIGN GOVERNMENT BONDS 28 FOREIGN GOVERNMENT BONDS 28 FOREIGN GOVERNMENT BONDS D ADER-ENTERED BR BROKER. CB FTID CANADIAN BOND CO COMPANY investment manager, client, etc. or default if a is investment manager, client, etc. or default if a is Market maker bids from RBC Dominion Securities and market maker bids from CIBC Wood Gundy. Multiple options apply. generated using non-oas discounted cash flow model, as follows: Yield - algorithm. The yield, derived as interpolated benchmark constant maturity yield/rate plus maturity spread, is used to discount co and principal cash flows. Clean evaluated bid is calculated from present value minus accrued interest. Benchmark: Constant maturity treasury/swap curves snapshot at 16:15 UK time or local close for Asian markets. Constant maturity issuer spread curves produced for select issuers. Spread Parameter Inputs: Nominal spread over interpolated matched-date yield/rate of benchmark constant maturity curve. Model treats perpetuals as rolling 50-year maturity. Multi-dimensional relational model and/or Option Adjusted Spread (OAS). For high yield bonds: Broker-quote based application. source considers high yield bonds to have the following characteristics: Rated Ba1 or lower by Moody's or BB+ or lower by S&P, non-rated bonds with credit quality below investment grade, "Crossover bonds" and noninvestment grade preferred stocks. d by incorporating indenture information and market analysis for emerging market bonds and indices. Evaluators have access to the market to determine s, yields, and other market assumptions through actual traded s, and through contacts with the broker-dealer community and use proprietary emerging markets bond evaluation model to provide daily valuations of sovereign and corporate emerging market securities, and transacted s on specific bonds and bond indices, as well as bid lists and general market color from other market participants. Evaluators adjust s as necessary based on new market color and other changes Bloomberg Bloomberg Bloomberg 16

17 Method Methodology 28 FOREIGN GOVERNMENT BONDS 28 FOREIGN GOVERNMENT BONDS 28 FOREIGN GOVERNMENT BONDS 28 FOREIGN GOVERNMENT BONDS 28 FOREIGN GOVERNMENT BONDS EX IN IQ EXTEL INT L BOND EVALUATION EXTEL INTERNATIONAL FTID INSTITUTIONAL BOND QUOTES D ADER-ENTERED Extel / IDC such as movements in interest rates, or geopolitical events. d by incorporating terms and conditions such as credit ratings of issuers, amount issued/outstanding, co, maturity, etc., evaluators who examine all available quotes/spreads and choose the most accurate based on parameters such as historical reliability, spreads obtained from sell side dealers, brokers, and new issue market, and market news. Generated using non-oas discounted cash flow model, as follows: Yield - algorithm. The yield, derived as interpolated benchmark constant maturity yield/rate plus maturity spread, is used to discount co and principal cash flows. Clean evaluated bid is calculated from present value minus accrued interest. Benchmark: Constant maturity treasury/swap curves snapshot at 16:15 UK time or local close for Asian markets. Constant maturity issuer spread curves produced for select issuers. Spread Parameter Inputs: Nominal spread over interpolated matched-date yield/rate of benchmark constant maturity curve. Model treats perpetuals as rolling 50-year maturity. Multi-dimensional relational model and/or Option Adjusted Spread (OAS). For high yield bonds: Broker-quote based application. source considers high yield bonds to have the following characteristics: Rated Ba1 or lower by Moody's or BB+ or lower by S&P, non-rated bonds with credit quality below investment grade, "Crossover bonds" and noninvestment grade preferred stocks Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. investment manager, client, etc. or default if a is investment manager, client, etc. or default if a is Bloomberg Bloomberg Bloomberg 30 US GOVERNMENT BR BROKER MORTGAGE POOL. 30 US GOVERNMENT CM FTID CMO For CMOs, depending the characteristics of a given Weekly 17

18 Method Methodology MORTGAGE POOL 30 US GOVERNMENT MORTGAGE POOL CO COMPANY tranche, a volatility-driven, multi-dimensional single cash flow stream model or option-adjusted spread (OAS) model is used. For ABS and CMBS issues, a single cash flow stream model is utilized. Multiple options apply. For CMOs, depending the characteristics of a given tranche, a volatility-driven, multidimensional single cash flow stream model or option-adjusted spread (OAS) model is used. For ABS and CMBS issues, a single cash flow stream model is utilized. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. Evaluated via model using various inputs such as but not limited to daily cash flow, 15: or 16: (ET) snapshots of TBA market and US Treasury market, floating rate Indices such as LIBOR, CMT, and Prime as a benchmark yield, spread over index, periodic and life caps, next co adjustment date, and convertibility of the bond. d by evaluators with access to the markets to determine s, yields, and other market assumptions through actual traded s, and through contacts with the broker-dealer community. Evaluators use proprietary mortgage models to maintain a payup grid based on the market assumptions provided by traders, performance data, and mortgage model projections. Based on these inputs, evaluators may also apply rules based adjustments to the factors used in the evaluation of specified pools, such as, but not limited to, weighted average co (WAC), weighted average maturity (WAM), weighted average loan age (WALA), agency (i.e., Fannie Mae, Freddie Mac, Ginnie Mae), average loan size, loan vintage, geography and prepayment penalties. d by evaluating Deal Characteristics such as shelf, subordination, collateral grouping, cross-collateralization, triggers, cashflow waterfall; tranche characteristics such as structure, credit enhancement, cash flow window, financial guarantee; tranche type such as sequential, floating rate, inverse floating rate, Planned Amortization Class (PAC), Target Amortization Class (TAC), Non-Accelerated Senior (NAS), support, accrual (Zbond), Accretion Directed (AD), Non-Sticky Jump (NSJ), etc; collateral characteristics such as deal collateral type, loan vintage, geography, LTV ratio, FICO score, average loan size, documentation, etc.; historical performance such as: CPR, CDR, severity, and delinquency, and model projected performance such as CPR, CDR, severity and loss. Market s, yields, and other market assumptions through actual traded s, and through contacts with the 18

19 Method Methodology broker-dealer community, as well as s on bid lists, offerings, sample bonds, current market assumptions about CPR, CDR, and severity for valuation of non-agency securities. For agency securities, evaluators also use OAS, CPR, and spread information. Evaluators use proprietary mortgage models used to calculate additional inputs based on market assumptions provided by traders, and on performance data, yields for sample bonds. Evaluators may also apply rules based adjustments to their assumptions to adjust the nominal spreads, optionadjusted spreads, CPRs, CDRs, and/or severities used to each bond. This logic is based on deal and tranche characteristics such as, but not limited to, shelf, structure, credit enhancement, and the effects of the deal triggers on the cashflow waterfall; collateral characteristics such as, but not limited to, loan vintage, geography, LTV ratio, FICO score, average loan size and documentation; actual collateral performance data such as CPR, CDR, severity and delinquency; and/or model projections for average life, duration, convexity, and future CPR, CDR, severity, and loss. Such model projections may be compared to projections for other deals in the same vintage, and as a result one or more factors may be adjusted. d by incorporating terms and conditions such as information received from Securities Industry Automation Corporation (SIAC), evaluated information such as quotes, spreads, and speeds, market quotes obtained from trade s and dealer indications, and individual pool. d by incorporating terms and conditions such as information received from Securities Industry Automation Corporation (SIAC), Small Business Administration (SBA) pool files, evaluated information such as quotes, spreads, and speeds, a BEEM (Bond Equivalent Effective Margin) basis evaluation, and market quotes obtained from trade s and dealer indications. d by incorporating terms and conditions such as new issue information gathered from official prospectuses and offering documents obtained from public document libraries and underwriter solicitation and factor and co monthly updates collected directly from trustee reports, cash flows generated from proprietary modeling system, evaluated information such as quotes, spreads, and speeds, OAS (option adjusted spread) analytics using a single factor binominal model incorporating tranche type, average life, and average life volatility, nominal market spreads and trade s, and market news. 19

20 Method Methodology 30 US GOVERNMENT MORTGAGE POOL 30 US GOVERNMENT MORTGAGE POOL 30 US GOVERNMENT MORTGAGE POOL 30 US GOVERNMENT MORTGAGE POOL 31 LLC & OTHER MISC CLOSELY HELDS 31 LLC & OTHER MISC CLOSELY HELDS 31 LLC & OTHER MISC CLOSELY HELDS 31 LLC & OTHER MISC CLOSELY HELDS IQ MB FTID INSTITUTIONAL BOND QUOTES FTID MORTGAGE- BACKED D ADER-ENTERED CO COMPANY PR D FTID CORPORATE ADER-ENTERED Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. Evaluated via model using various inputs such as but not limited to daily cash flow, 15: or 16: (ET) snapshots of TBA market and US Treasury market, floating rate Indices such as LIBOR, CMT, and Prime as a benchmark yield, spread over index, periodic and life caps, next co adjustment date, and convertibility of the bond. investment manager, client, etc. or default if a is investment manager, client, etc. or default if a is Multiple options apply. Managed assets: majority are not publicly traded. Some may be thinly traded. Secondary market brokers evaluate. Business appraisers use valuations/appraisal methodologies using a number of assumptions to create. Non-managed assets: provided by various sources such as issuer, investment manager, fund accountant, client, etc. or default if a is Multiple options apply. Managed assets: majority are not publicly traded. Some may be thinly traded. Secondary market brokers evaluate. Business appraisers use valuations/appraisal methodologies using a number of assumptions to create. Non-managed assets: provided by various sources such as issuer, investment manager, fund accountant, client, etc. or default if a is Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer brokers. s are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET). Multiple options apply. Managed assets: majority are not publicly traded. Some may be thinly traded. Secondary market brokers evaluate. Business appraisers use valuations/appraisal methodologies using a number of assumptions to create. Non-managed assets: provided by various sources such as issuer, investment 20

21 Method Methodology 32 COMMON UST FUND BALANCED 32 COMMON UST FUND BALANCED 32 COMMON UST FUND BALANCED 33 ASSET BACKED OBLIGATION 33 ASSET BACKED OBLIGATION 33 ASSET BACKED OBLIGATION CO COMPANY D ADER-ENTERED BR BROKER. CM FTID CMO CO COMPANY manager, fund accountant, client, etc. or default if a is Manually submitted if a is For CMOs, depending the characteristics of a given tranche, a volatility-driven, multi-dimensional single cash flow stream model or option-adjusted spread (OAS) model is used. For ABS and CMBS issues, a single cash flow stream model is utilized. Multiple options apply. received from the primary exchange. The primary exchange has been set based where the highest number of trade days for a particular security has occurred. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. Trades, bid or spread, two-sided markets, quotes, benchmark curves including but not limited to treasury benchmarks and LIBOR and swap curves, market data feeds such as MSRB, financial statements, discount rate, capital rates, trustee reports. d with multi-dimensional relational model or series of matrices utilizing standard inputs including MSRB reported trades and material event notices plus MMD benchmark yields. Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer brokers. s are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET). d by evaluating Deal characteristics such as shelf, series, subordination, cross-collateralization, triggers, cashflow waterfall, initial interest spread, reserve amount; tranche characteristics such as structure, co type (fixed or floating), average life, Weekly 21

22 Method Methodology credit enhancement, cash flow window, financial guarantee; collateral characteristics such as prime, near prime, or subprime; historical performance such as prepayments, delinquency, severity. Market s, discount margins, and other market assumptions through actual traded s, and through contacts with the broker-dealer community. s on bid lists, offerings, sample bonds, current market assumptions about average life spreads and discount margins. Evaluators may also apply rules based adjustments to their assumptions, to adjust the average life spread and/or discount margin used in each bond s evaluation, based on deal and tranche characteristics such as, but not limited to, shelf, structure, original and/or current rating, average life, cash flow waterfall and financial guarantee (if ). d by evaluating Deal characteristics such as shelf, series, subordination, cross-collateralization, triggers, cash flow waterfall, initial interest spread, reserve amount; tranche characteristics such as structure, co type (fixed or floating), average life, credit enhancement, cash flow window, financial guarantee; collateral characteristics such as prime, near prime, or subprime; historical performance such as prepayments, delinquency, severities, excess spread, portfolio yield. Market s, yields, and other market assumptions through actual traded s, and through contacts with the broker-dealer community. s on bid lists, offerings, sample bonds, market assumptions for average life spreads and discount margins based on shelf, original rating and average life.. Evaluators may also apply rules based adjustments to their assumptions, to adjust the average life spread and/or discount margin used in each bond s evaluation, based on deal and tranche characteristics such as, but not limited to, shelf, structure, original and/or current rating, average life, cash flow waterfall and financial guarantee (if ). d by evaluating Deal characteristics such as shelf, series, subordination, triggers, cash flow waterfall; tranche characteristics such as structure, credit enhancement, cash flow window, financial guaranties; tranche type such as senior or subordinate; collateral characteristics such as deal collateral type, loan vintage, geography, LTV ration, FICO score, average loan size, documentation, etc., historical performance such as CPR, CDR, severity, loss and delinquency. 22

23 Method Methodology Market s, yields, and other market assumptions through actual traded s, and through contacts with the broker-dealer community. s on bid lists, offerings, sample bonds, current market assumptions about CPR, CDR, and severity. Evaluators use proprietary mortgage models to calculate additional inputs based on market assumptions provided by traders, and on performance data. Evaluators determine yields for sample bonds, using s received from the trading desk. Evaluators may also apply rules based adjustments to adjust the yields, CPRs, CDRs, and/or severities used to each bond. This logic is based on deal and tranche characteristics such as, but not limited to, shelf, structure, credit enhancement, and the effects of the deal triggers on the cash flow waterfall; collateral characteristics such as, but not limited to, loan vintage, geography, LTV ratio, FICO score, average loan size and documentation; and/or actual collateral performance data such as CPR, CDR, severity, loss and delinquency. d by evaluating. Deal characteristics such as shelf, series, subordination; tranche characteristics such as structure, co type, credit enhancement; historical performance such as prepayments, delinquency, excess spread. Market s, yields, and other market assumptions through actual traded s, and through contacts with the broker-dealer community, evaluations of actively traded student loan ABS, as well as spreads fro benchmark securities in the sector. Evaluators may also apply rules based adjustments to adjust spreads for securities based on factors including, but not limited to, shelf, collateral type (FFELP or private label), capital structure, bond rating, and average life. Evaluators may further adjust evaluations based on factors including, but not limited to, current and/or historical parity ratio, and student status (in school, grace period, deferment, forbearance, repayment, claim). d by evaluating Deal characteristics such as shelf, series, subordination, cross-collateralization, triggers, cash flow waterfall, initial interest spread, reserve amount; tranche characteristics such as structure, co type, average life, credit enhancement cash flow window, financial guarantee; historical performance such as prepayments, delinquency, severity. Market s, discount margins, and other market assumptions through actual traded s, and through 23

24 Method Methodology 33 ASSET BACKED OBLIGATION 33 ASSET BACKED OBLIGATION 33 ASSET BACKED OBLIGATION IN IQ KM EXTEL INTERNATIONAL FTID INSTITUTIONAL BOND QUOTES JJ KENNY MUNICIPALS JJ Kenny contacts with the broker-dealer community, current market spreads. Evaluators use proprietary models and the income approach which discounts future cash flows to the net present value. d by evaluating Deal characteristics such as shelf, series, subordination, cross-collateralization triggers, cash flow waterfall, initial interest spread, reserve amount; tranche characteristics such as structure, co type, average life, credit enhancement cash flow window, financial guarantee; collateral characteristics such as prime or near prime; historical performance such as prepayments, delinquencies, defaults, severities. Market s, discount margins, and other market assumptions through actual traded s, and through contacts with the broker-dealer community, s on bid lists, offerings, and sample bonds, current market assumptions about average life spreads and discount margins Evaluators may also apply rules based adjustments to adjust the average life spread and/or discount margin used in each bond s evaluation based on deal and tranche characteristics such as shelf, structure, original and/or current rating, average life, cash flow waterfall and financial guarantee. d by incorporating terms and conditions such as new issue information gathered from official prospectuses and offering documents obtained from public document libraries and underwriter solicitation, factor and co monthly updates collected directly from trustee reports, cash flows generated from proprietary modeling system, evaluated information such as quotes, spreads, and speeds, prepayment speeds from historic analysis and the dealer community evaluated from trade spreads, dealer quotations, and research reports, loss analytics, and market news. received from the primary exchange. The primary exchange has been set based where the highest number of trade days for a particular security has occurred. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. Trades, bid or spread, two-sided markets, quotes, benchmark curves including but not limited to treasury benchmarks and LIBOR and swap curves, market data feeds Weekly IDC 24