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

25 Method Methodology 33 ASSET BACKED OBLIGATION 33 ASSET BACKED OBLIGATION 33 ASSET BACKED OBLIGATION 33 ASSET BACKED OBLIGATION 33 ASSET BACKED OBLIGATION 34 MORTGAGE BACKED OBLIGATION 34 MORTGAGE BACKED OBLIGATION 34 MORTGAGE BACKED OBLIGATION MU PR FTID MUNICIPAL D FTID CORPORATE SB FTID SBA ADER-ENTERED BR BROKER. CM FTID CMO CO COMPANY 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 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). The primary input for the generic model is the 15:00 ET snapshot of the SBA market. Evaluations are based on the issuer type, co, and longest maturity year and represents an average of the evaluations of each pool with the longest maturity. Also taken into account are unique structures associated with a given program. The descriptive data and current principal balance factors are obtained from various investment manager, client, etc. or default if a is Weekly 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. d with 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. Evaluated via model using various Weekly JJ Kenny 25

26 Method Methodology 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 evaluating Deal Characteristics such as shelf, subordination, collateral grouping, cross-collateralization, triggers, cash flow 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 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 cash flow 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 evaluating 26

27 Method Methodology Deal Characteristics such as shelf, subordination, collateral grouping, cross-collateralization, triggers, cash flow waterfall; tranche characteristics such as structure, credit enhancement, cash flow window, financial guarantee; tranche type such as super senior, senior mezzanine, junior mezzanine or pass-through; 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 broker-dealer community, as well as s on bid lists, offerings, sample bonds, current market assumptions about CPR, CDR, and severity for valuation. Evaluators use proprietary mortgage models used to calculate additional inputs based on market assumptions provided by traders, and on performance data, yields for the sample bonds. Evaluators may also apply rules based adjustments to their assumptions to adjust the 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 support, 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; 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 comparable deals, and as a result one or more factors may be adjusted. d by evaluating Deal Characteristics such as shelf, subordination, collateral grouping, cross-collateralization, triggers, cash flow waterfall; tranche characteristics such as structure, credit enhancement, cash flow window; tranche type such as subordinate; 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. Market s, yields, and other market assumptions 27

28 Method Methodology through actual traded s, and through contacts with the broker-dealer community, as well as s on bid lists, offerings, sample bonds, current market assumptions about CPR, CDR, and severity for valuation. Evaluators use proprietary mortgage models used to calculate additional inputs based on market assumptions provided by traders, and on performance data, yields for the sample bonds. Evaluators may also apply rules based adjustments to their assumptions to adjust the 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 support, 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; 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 comparable deals, and as a result one or more factors may be adjusted. d by evaluating Deal Characteristics such as shelf, subordination, collateral grouping, cross-collateralization, triggers, cash flow waterfall; tranche characteristics such as structure, credit enhancement, cash flow window, financial guarantee; tranche type such as pass-through, with original weighted average life of 1, 2, or 3 years, last cash flow bond; 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, delinquency, loss; 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 broker-dealer community, as well as s on bid lists, offerings, sample bonds, current market assumptions about CPR, CDR, and severity for valuation. Evaluators use proprietary mortgage models used to calculate additional inputs based on market assumptions provided by traders, and on performance data, yields for the sample bonds. Evaluators may also apply rules based adjustments to their assumptions to adjust the CPRs, CDRs, and/or severities used to each bond. This logic is based on deal 28

29 Method Methodology and tranche characteristics such as, but not limited to, shelf, structure, credit support, 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; 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 comparable deals, and as a result one or more factors may be adjusted. d by evaluating Deal Characteristics such as shelf, subordination, collateral grouping, cross-collateralization, triggers, cash flow waterfall; tranche characteristics such as structure, credit enhancement, cash flow window; tranche type such as passthrough or sequential; 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, delinquency, loss; 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 broker-dealer community, as well as s on bid lists, offerings, sample bonds, current market assumptions about CPR, CDR, and severity for valuation. Evaluators use proprietary mortgage models used to calculate additional inputs based on market assumptions provided by traders, and on performance data, yields for the sample bonds. Evaluators may also apply rules based adjustments to their assumptions to adjust the 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 support, position in the capital structure, 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; actual collateral performance data such as CPR, CDR, severity, delinquency and loss; and/or model projections for average life, duration, convexity, and future CPR, CDR, severity, and expected collateral loss as compared to comparable vintage performance. Such model projections may be compared to projections for other comparable deals, and as a result one or more factors may be adjusted. 29

30 Method Methodology 34 MORTGAGE BACKED OBLIGATION IN EXTEL INTERNATIONAL d by incorporating new issue information gathered from official prospectuses and offering documents obtained from public document libraries and underwriter solicitation, terms and conditions such as factor and co monthly updates collected directly from trustee reports, cash flows generated using or vector-based analysis, evaluated information such as quotes, spreads, and speeds, prepayments, default, and loss severity assumptions generated on a roll rate model which incorporates historical performance to project expected loss, market color from trade s, bid lists, and dealer research, yield table based deal/tranche attributes, and market news. d by incorporating new issue information gathered from official prospectuses and offering documents obtained from public document libraries and underwriter solicitation, terms and conditions such as factor and co monthly updates collected directly from trustee reports, cash flows model, evaluated information such as quotes, spreads, and speeds, spreads derived from trade s, dealer quotations, and research reports, loss coverage ratios evaluated from deal losses, delinquency pipelines, and current subordination, and market news. 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. 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. 30

31 Method Methodology 34 MORTGAGE BACKED OBLIGATION 34 MORTGAGE BACKED OBLIGATION 34 MORTGAGE BACKED OBLIGATION 34 MORTGAGE BACKED OBLIGATION 34 MORTGAGE BACKED OBLIGATION 34 MORTGAGE BACKED OBLIGATION 35 COMMON UST FUND TAX EXEMPT 35 COMMON UST FUND TAX EXEMPT 36 COMMON UST FUND TAXABLE 36 COMMON UST FUND TAXABLE IQ KM MB PR FTID INSTITUTIONAL BOND QUOTES JJ KENNY MUNICIPALS FTID MORTGAGE- BACKED D FTID CORPORATE ADER-ENTERED D ADER-ENTERED JJ Kenny CO COMPANY D 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. 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 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. investment manager, client, etc. or default if a is if a is Weekly IDC Manually submitted 31

32 Method Methodology 36 COMMON UST FUND TAXABLE 37 COMMON UST FUND GOVERNMENT 37 COMMON UST FUND GOVERNMENT 37 COMMON UST FUND GOVERNMENT 38 COMMON UST FUND EQUITY 38 COMMON UST FUND EQUITY 38 COMMON UST FUND EQUITY ADER-ENTERED CO COMPANY D ADER-ENTERED CO COMPANY D ADER-ENTERED 39 POOLED FUNDS CO COMPANY 39 POOLED FUNDS D 39 POOLED FUNDS PR FTID CORPORATE 39 POOLED FUNDS ADER-ENTERED 40 MUTUAL FUNDS TAX EXEMPT CO COMPANY if a is if a is Manually submitted Manually submitted if a is Manually submitted if a is Manually submitted obtained from exchanges. Manually submitted 32

33 Method Methodology 40 MUTUAL FUNDS TAX EXEMPT 40 MUTUAL FUNDS TAX EXEMPT 41 MUTUAL FUNDS - EQUITY 41 MUTUAL FUNDS - EQUITY 41 MUTUAL FUNDS - EQUITY 41 MUTUAL FUNDS - EQUITY 41 MUTUAL FUNDS - EQUITY 42 MUTUAL FUNDS TAXABLE 42 MUTUAL FUNDS TAXABLE 42 MUTUAL FUNDS TAXABLE 42 MUTUAL FUNDS TAXABLE PR FTID CORPORATE ADER-ENTERED CO COMPANY IN PR EXTEL INTERNATIONAL D FTID CORPORATE ADER-ENTERED CO COMPANY PR D FTID CORPORATE ADER-ENTERED obtained from exchanges. 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. obtained from exchanges. obtained from exchanges. 33

34 Method Methodology 43 MUTUAL FUNDS - BALANCED 43 MUTUAL FUNDS - BALANCED 43 MUTUAL FUNDS - BALANCED 44 CLOSED END FUNDS BALANCED 44 CLOSED END FUNDS BALANCED 45 WELLS FARGO FUNDS GOVERNMENT 45 WELLS FARGO FUNDS GOVERNMENT 45 WELLS FARGO FUNDS GOVERNMENT 46 WELLS FARGO FUNDS FIXED 46 WELLS FARGO FUNDS FIXED 46 WELLS FARGO FUNDS FIXED PR PR IN D FTID CORPORATE ADER-ENTERED FTID CORPORATE EXTEL INTERNATIONAL CO COMPANY various PR PR FTID CORPORATE ADER-ENTERED D FTID CORPORATE ADER-ENTERED obtained from exchanges. obtained from exchanges. received from the primary exchange. investment manager, client, etc. or default if a is obtained from exchanges. obtained from exchanges. 34

35 Method Methodology 47 WELLS FARGO FUNDS EQUITY 47 WELLS FARGO FUNDS EQUITY 47 WELLS FARGO FUNDS EQUITY 48 WELLS FARGO FUNDS BALANCED 48 WELLS FARGO FUNDS BALANCED 48 WELLS FARGO FUNDS BALANCED 49 MONEY MARKET MUTUAL FUNDS 49 MONEY MARKET MUTUAL FUNDS 49 MONEY MARKET MUTUAL FUNDS 49 MONEY MARKET MUTUAL FUNDS PR PR D FTID CORPORATE ADER-ENTERED D FTID CORPORATE ADER-ENTERED CO COMPANY PR D FTID CORPORATE ADER-ENTERED 50 UIT TAX EXEMPT BR BROKER. 50 UIT TAX EXEMPT D obtained from exchanges. obtained from exchanges. d at 1. d at 1. d at 1. d at 1. investment manager, client, etc. or default if a is 35

36 Method Methodology 50 UIT TAX EXEMPT PR FTID CORPORATE 51 UIT FULLY TAXED BR BROKER. 51 UIT FULLY TAXED PR FTID CORPORATE 52 UIT EQUITY BR BROKER. 52 UIT EQUITY CO COMPANY 52 UIT EQUITY D 52 UIT EQUITY PR FTID CORPORATE 53 N PROPRIETARY FUNDS 53 N PROPRIETARY FUNDS CO COMPANY ADER-ENTERED 54 PROPRIETARY FUNDS IQ FTID INSTITUTIONAL BOND QUOTES 54 PROPRIETARY FUNDS ADER-ENTERED 55 SHORT TERM INVESTMENT FUNDS 56 CLOSED END FUNDS TAX EXEMPT ADER-ENTERED D obtained from exchanges. obtained from exchanges. investment manager, client, etc. or default if a is investment manager, client, etc. or default if a is obtained from exchanges. d at 1. d at 1. d at 1. Direct, submitted d at 1. d at 1. 36

37 Method Methodology 56 CLOSED END FUNDS TAX EXEMPT PR FTID CORPORATE 57 PREFERRED STOCK BR BROKER. 57 PREFERRED STOCK CO COMPANY 57 PREFERRED STOCK IN EXTEL INTERNATIONAL obtained from exchanges. Multiple options apply. 1. 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. 2. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. 3. Investment grade preferred stocks are evaluated by calculating the appropriate spread over a comparable U.S. Treasury security for each issue. These spreads represent the amount of additional yield required to account for the risks inherent with preferred stocks, including credit, refunding and liquidity. Evaluators obtain benchmark quotes on liquid issues, follow both the listed and new issue market, and focus on changing market conditions. Preferred stocks can be evaluated to a current yield, to an average life or to a redemption date. Special attention is paid to issues with active sinking funds and early redemption features. Issues are benchmarked daily with a 15: and 16: (ET) U.S. Treasury curve. Unlike bonds, preferred stocks trade flat or "dirty." Dividends accrue each period and are included in the evaluated. 's model utilizes dividend information from various sources in order to capture the ex-dividend date. Preferred stocks are evaluated as dollar values. 4. d by incorporating terms and conditions such as issuer credit ratings, amount issued/outstanding, deal underwriters, call/put schedule, and pay in kind and toggle bonds, evaluated information such as quotes, spreads, and speeds, market sources and contributed such as dealer quotes selected from evaluators, terms and conditions, and real time market data, such as Trade Reporting and Compliance Engine (ACE), 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. 37

38 Method Methodology 57 PREFERRED STOCK IQ FTID INSTITUTIONAL BOND QUOTES 57 PREFERRED STOCK D 57 PREFERRED STOCK PR FTID CORPORATE 57 PREFERRED STOCK ADER-ENTERED 58 PREFERRED CONVERTIBLE 58 PREFERRED CONVERTIBLE 58 PREFERRED CONVERTIBLE 58 PREFERRED CONVERTIBLE 58 PREFERRED CONVERTIBLE BR BROKER. IN EXTEL INTERNATIONAL IQ PR FTID INSTITUTIONAL BOND QUOTES D FTID CORPORATE 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 grade preferred stocks are evaluated by calculating the appropriate spread over a comparable U.S. Treasury security for each issue. These spreads represent the amount of additional yield required to account for the risks inherent with preferred stocks, including credit, refunding and liquidity. Evaluators obtain benchmark quotes on liquid issues, follow both the listed and new issue market, and focus on changing market conditions. Preferred stocks can be evaluated to a current yield, to an average life or to a redemption date. Special attention is paid to issues with active sinking funds and early redemption features. Issues are benchmarked daily with a 15: and 16: (ET) U.S. Treasury curve. Unlike bonds, preferred stocks trade flat or "dirty." Dividends accrue each period and are included in the evaluated. 's model utilizes dividend information from various sources in order to capture the ex-dividend date. Preferred stocks are evaluated as dollar values. investment manager, client, etc. or default if a is 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 obtained from exchanges. 38

39 Method Methodology 58 PREFERRED CONVERTIBLE ADER-ENTERED 59 PREFERRED FOREIGN BR BROKER. 59 PREFERRED FOREIGN CO COMPANY 59 PREFERRED FOREIGN IN EXTEL INTERNATIONAL 59 PREFERRED FOREIGN D 59 PREFERRED FOREIGN ADER-ENTERED 60 CLOSELY HELD PREFERRED STOCK 60 CLOSELY HELD PREFERRED STOCK D ADER-ENTERED 61 COMMON STOCK BR BROKER. 61 COMMON STOCK CO COMPANY 61 COMMON STOCK IN EXTEL INTERNATIONAL investment manager, client, etc. or default if a is Multi-factor regression model (Ordinary Least Squares method). 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. investment manager, client, etc. or default if a is investment manager, client, etc. or default if a is investment manager, client, etc. or default if a is if a is Multiple options apply. 1. 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. 2. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. 3. obtained from exchanges. 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. Bloomberg Bloomberg Bloomberg 39

40 Method Methodology 61 COMMON STOCK IQ FTID INSTITUTIONAL BOND QUOTES 61 COMMON STOCK D 61 COMMON STOCK PK FTID PINK SHEETS 61 COMMON STOCK PR FTID CORPORATE 61 COMMON STOCK ADER-ENTERED 62 COMMON FOREIGN BR BROKER. 62 COMMON FOREIGN CO COMPANY 62 COMMON FOREIGN IN EXTEL INTERNATIONAL 62 COMMON FOREIGN D 62 COMMON FOREIGN PR FTID CORPORATE 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 obtained from exchanges. obtained from exchanges. investment manager, client, etc. or default if a is Multiple options apply. IDC information only, no information available from Reuters or Direct. 1. 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. 2. 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). 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. 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). Bloomberg Bloomberg Bloomberg Bloomberg 62 COMMON FOREIGN ADER-ENTERED 40

41 Method Methodology 63 CLOSELY HELD COMMON STOCK 63 CLOSELY HELD COMMON STOCK 63 CLOSELY HELD COMMON STOCK 63 CLOSELY HELD COMMON STOCK 64 RIGHTS AND WARRANTS 64 RIGHTS AND WARRANTS 64 RIGHTS AND WARRANTS 64 RIGHTS AND WARRANTS 64 RIGHTS AND WARRANTS BR BROKER. PR D FTID CORPORATE ADER-ENTERED BR BROKER. CO COMPANY D PR FTID CORPORATE ADER-ENTERED investment manager, client, etc. or default if a is 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: 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). 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: if a is provided by various sources such as investment manager, client, etc. or default if a is not provided. provided by various sources such as investment manager, client, etc. or default if a is not provided. d obtained from exchanges. provided by various sources such as investment manager, client, etc. or default if a is not provided. 65 CLOSED END FUNDS BR BROKER TAXABLE. 65 CLOSED END FUNDS IN EXTEL received from the primary exchange. The primary 41

42 Method Methodology TAXABLE INTERNATIONAL 65 CLOSED END FUNDS TAXABLE 65 CLOSED END FUNDS TAXABLE 65 CLOSED END FUNDS TAXABLE 66 ADR & US HELD FOREIGN STOCK 66 ADR & US HELD FOREIGN STOCK 66 ADR & US HELD FOREIGN STOCK 66 ADR & US HELD FOREIGN STOCK 66 ADR & US HELD FOREIGN STOCK PR D FTID CORPORATE ADER-ENTERED BR BROKER. CO COMPANY IN PR EXTEL INTERNATIONAL D FTID CORPORATE exchange has been set based where the highest number of trade days for a particular security has occurred. obtained from exchanges. Multiple options apply. IDC information only, no information available from Reuters or Direct. 1. 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. 2. ADR evaluation model looks at underlying security "best", exchange rate for underlying security's currency against US Dollar, ADR factor (ratio of underlying security to ADR). 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. Multiple options apply. IDC information only, no information available from Reuters or Direct. 1. 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. 2. ADR evaluation model looks at underlying security "best", exchange rate for underlying security's currency against US Dollar, ADR factor (ratio of underlying security to ADR). investment manager, client, etc. or default if a is ADR evaluation model looks at underlying security "best", exchange rate for underlying security's currency against US Dollar, ADR factor (ratio of underlying security to ADR). 42

43 Method Methodology 66 ADR & US HELD FOREIGN STOCK ADER-ENTERED 67 FORWARD CONACT BR BROKER. 67 FORWARD CONACT IN EXTEL INTERNATIONAL 68 FUTURE CONACT ADER-ENTERED 69 PUT OPTION LONG BR BROKER. 69 PUT OPTION LONG CO COMPANY investment manager, client, etc. or default if a is Evaluated using proprietary discounted cash flow models, incorporating option-adjusted (OAS) features as appropriate. if a is Multiple options apply. 1. 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). 2. d by evaluators with access to the market to determine equity spot and forward s, equity volatilities and interest rate. Proprietary models are used for vanilla and exotic products. A Black-76 model is used for single-name and index equity vanilla options, and uses discrete dividends which are reflected in the forward, and evaluators incorporate future market expectations for a given stock or stock index. Equity total return swaps includes both asset and interest rate legs. The total return of the equity leg includes dividend accrual and capital accrual. of the interest rate leg is similar to that of an interest rate swap. In the case when the swap is callable, the model calculates the total return of the equity leg up to the call date and the accrued interest for the interest rate leg. Evaluators use proprietary models; a closed form Black-Scholes model is used for Asian options, while a finite difference model with local volatility is used for barrier options. Evaluators also use income approach, which discounts future cash flows to the net present value of the derivative. 3. d by incorporating terms and conditions provided by the customer, zero co swap curves derived from liquid swap rates and calculated using standard bootstrapping in conjunction with a cubic spline interpolation of the continuously compounded rate, implied volatilities or 43

44 Method Methodology 69 PUT OPTION LONG D 69 PUT OPTION LONG PR FTID CORPORATE 69 PUT OPTION LONG ADER-ENTERED 70 CALL OPTION LONG BR BROKER. 70 CALL OPTION LONG CO COMPANY 75-day historical moving averages, equity s and dividend yields sourced from global exchanges, and option model using market exchange rates, interest rates, and volatility term structures to arrive at an option premium. 4. d by incorporating terms and conditions provided by the customer, zero co swap curves derived from liquid deposit, future, and swap rates and calculated using standard bootstrapping methods, option volatilities interpolated from option volatility surfaces calculated using Adfin Analytics and real-time values from major brokers, and interest rate curves, and option proprietary model utilizing foreign exchange spot rates, currency volatility, and zero co swap curves inputs. 5 d by incorporating terms and conditions obtained from original prospectuses and offering documents for most public deals, deal terms and all necessary information provided by customer for private deals, volatilities derived from exchange listed contracts computed by reverse engineering option premiums on traded options with similar maturities and strike s, historical volatility if implied volatility is not available, evaluated reverse-engineered complex structures, individual, and re-packaged structured note s, bond analytics calculated by discounting future cash flows with a zero co swap curve plus a risk premium, and option analytics calculated using a model that incorporates volatility, maturity, strike, spot s, dividend, and risk free rates. 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). if a is Multiple options apply. 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 44

45 Method Methodology maturity ranges. Evaluations are marked at 15: and 16: (ET). d by evaluators with access to the market to determine equity spot and forward s, equity volatilities and interest rate. Proprietary models are used for vanilla and exotic products. A Black-76 model is used for single-name and index equity vanilla options, and uses discrete dividends which are reflected in the forward, and evaluators incorporate future market expectations for a given stock or stock index. Equity total return swaps includes both asset and interest rate legs. The total return of the equity leg includes dividend accrual and capital accrual. of the interest rate leg is similar to that of an interest rate swap. In the case when the swap is callable, the model calculates the total return of the equity leg up to the call date and the accrued interest for the interest rate leg. Evaluators use proprietary models; a closed form Black- Scholes model is used for Asian options, while a finite difference model with local volatility is used for barrier options. Evaluators also use income approach, which discounts future cash flows to the net present value of the derivative. d by incorporating terms and conditions provided by the customer, zero co swap curves derived from liquid swap rates and calculated using standard bootstrapping in conjunction with a cubic spline interpolation of the continuously compounded rate, implied volatilities or 75-day historical moving averages, equity s and dividend yields sourced from global exchanges, and option model using market exchange rates, interest rates, and volatility term structures to arrive at an option premium. d by incorporating terms and conditions provided by the customer, zero co swap curves derived from liquid deposit, future, and swap rates and calculated using standard bootstrapping methods, option volatilities interpolated from option volatility surfaces calculated using Adfin Analytics and real-time values from major brokers, and interest rate curves, and option proprietary model utilizing foreign exchange spot rates, currency volatility, and zero co swap curves inputs. d by incorporating terms and conditions obtained from original prospectuses and offering documents for most public deals, deal terms and all necessary information provided by customer for private deals, volatilities derived from exchange listed contracts computed by reverse engineering option premiums on traded options with similar maturities and strike s, historical volatility if implied volatility is not available, evaluated reverse-engineered complex structures, individual, and 45

46 Method Methodology 70 CALL OPTION LONG D 70 CALL OPTION LONG PR FTID CORPORATE 70 CALL OPTION LONG ADER-ENTERED 71 PREFERRED ADR BR BROKER. 71 PREFERRED ADR D 71 PREFERRED ADR PR FTID CORPORATE 71 PREFERRED ADR ADER-ENTERED 72 REAL ESTATE OTHER ADER-ENTERED 74 REAL ESTATE-N- MANAGED 73 REAL ESTATE- MANAGED D ADER-ENTERED re-packaged structured note s, bond analytics calculated by discounting future cash flows with a zero co swap curve plus a risk premium, and option analytics calculated using a model that incorporates volatility, maturity, strike, spot s, dividend, and risk free rates. 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). if a is investment manager, client, etc. or default if a is ADR evaluation model looks at underlying security "best", exchange rate for underlying security's currency against US Dollar, ADR factor (ratio of underlying security to ADR). investment manager, client, etc. or default if a is Assets are valued by appraisal, default, or alternative methods. Alternative methods vary by state, for instance, tax assessments, current market value, etc. Assets are valued by appraisal, default, or alternative methods. Alternative methods vary by state, for instance, tax assessments, current market value, etc. Assets are valued by appraisal, default, or alternative methods. Alternative methods vary by state, for instance, tax assessments, current market value, etc. 74 REAL ESTATE-N- ADER-ENTERED Assets are valued by appraisal, default, or alternative 46

47 Method Methodology MANAGED 75 MORTGAGE TES D 75 MORTGAGE TES ADER-ENTERED 76 PROMISSORY TES D 76 PROMISSORY TES ADER-ENTERED 77 DEMAND AND MASTER TES ADER-ENTERED 78 PARTICIPANT LOANS D 78 PARTICIPANT LOANS ADER-ENTERED 79 INVESTMENT AGREEMENTS 80 INVESTMENT CONACTS 80 INVESTMENT CONACTS ADER-ENTERED D ADER-ENTERED 81 INSURANCE POLICIES ADER-ENTERED methods. Alternative methods vary by state, for instance, tax assessments, current market value, etc. investment manager, client, etc. or default if a is if a is investment manager, client, etc. or default if a is if a is if a is investment manager, client, etc. or default if a is if a is if a is investment manager, client, etc. or default if a is if a is 47

48 Method Methodology 82 ANNUITY POLICIES ADER-ENTERED 83 OGM PRODUCING ADER-ENTERED 84 OGM WORKING INTEREST D 84 OGM WORKING ADER-ENTERED INTEREST 85 OGM N ADER-ENTERED PRODUCING 86 ALL PARTNERSHIPS CO COMPANY 86 ALL PARTNERSHIPS D 86 ALL PARTNERSHIPS ADER-ENTERED if a is if a is if a is if a is if a is 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 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 48

49 Method Methodology 87 ASSETS OF UNDETERMINED VALUE ADER-ENTERED 88 OTHER ASSETS BR BROKER. 88 OTHER ASSETS CO COMPANY 88 OTHER ASSETS IQ FTID INSTITUTIONAL BOND QUOTES 88 OTHER ASSETS KM JJ KENNY MUNICIPALS 88 OTHER ASSETS D 88 OTHER ASSETS PR FTID CORPORATE 88 OTHER ASSETS ADER-ENTERED 89 RIGHT TO RECEIVE ADER-ENTERED 90 CLOSED END FUNDS EQUITY 90 CLOSED END FUNDS EQUITY IN EXTEL INTERNATIONAL D JJ Kenny is if a is investment manager, client, etc. or default 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. 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. 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). if a is if a is 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. Weekly IDC 49

50 Method Methodology 90 CLOSED END FUNDS EQUITY 90 CLOSED END FUNDS EQUITY 91 LIABILITIES- LOAN/MTG/CONACT PR FTID CORPORATE ADER-ENTERED ADER-ENTERED 92 LIABILITIES - OTHER D 92 LIABILITIES - OTHER ADER-ENTERED 93 PUT OPTION SHORT BR BROKER. 93 PUT OPTION SHORT CO COMPANY obtained from exchanges. if a is investment manager, client, etc. or default if a is if a is Multiple options apply. IDC and Direct information only, no information available from Reuters. 1. 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). 2. d by evaluators with access to the market to determine equity spot and forward s, equity volatilities and interest rate. Proprietary models are used for vanilla and exotic products. A Black-76 model is used for single-name and index equity vanilla options, and uses discrete dividends which are reflected in the forward, and evaluators incorporate future market expectations for a given stock or stock index. Equity total return swaps includes both asset and interest rate legs. The total return of the equity leg includes dividend accrual and capital accrual. of the interest rate leg is similar to that of an interest rate swap. In the case when the swap is callable, the model calculates the total return of the equity leg up to the call date and the accrued interest for the interest rate leg. Evaluators use proprietary models; a closed form Black-Scholes model is used for Asian options, while a finite difference model 50

51 Method Methodology 93 PUT OPTION SHORT D 93 PUT OPTION SHORT PR FTID CORPORATE 93 PUT OPTION SHORT ADER-ENTERED 94 CALL OPTION SHORT BR BROKER. 94 CALL OPTION SHORT CO COMPANY 94 CALL OPTION SHORT D with local volatility is used for barrier options. Evaluators also use income approach, which discounts future cash flows to the net present value of the derivative. 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). if a is Multiple options apply. IDC and Direct information only, no information available from Reuters. 1. s are received directly from the exchanges and report the last trade on any exchange for that day (composite ). 2. d by evaluators with access to the market to determine equity spot and forward s, equity volatilities and interest rate. Proprietary models are used for vanilla and exotic products. A Black-76 model is used for single-name and index equity vanilla options, and uses discrete dividends which are reflected in the forward, and evaluators incorporate future market expectations for a given stock or stock index. Equity total return swaps includes both asset and interest rate legs. The total return of the equity leg includes dividend accrual and capital accrual. of the interest rate leg is similar to that of an interest rate swap. In the case when the swap is callable, the model calculates the total return of the equity leg up to the call date and the accrued interest for the interest rate leg. Evaluators use proprietary models; a closed form Black- Scholes model is used for Asian options, while a finite difference model with local volatility is used for barrier options. Evaluators also use income approach, which discounts future cash flows to the net present value of the derivative. investment manager, client, etc. or default if a is 51

52 Method Methodology 94 CALL OPTION SHORT PR FTID CORPORATE 94 CALL OPTION SHORT ADER-ENTERED 95 MARKETABLE CD PAYS PD INCOME 95 MARKETABLE CD PAYS PD INCOME 95 MARKETABLE CD PAYS PD INCOME 95 MARKETABLE CD PAYS PD INCOME 95 MARKETABLE CD PAYS PD INCOME 95 MARKETABLE CD PAYS PD INCOME 96 TIME DEP & MARKETABLE CDS 96 TIME DEP & MARKETABLE CDS 96 TIME DEP & MARKETABLE CDS CD FTID LONG TERM CD CO COMPANY IQ FTID INSTITUTIONAL BOND QUOTES MX MAIX. CD D ADER-ENTERED FTID LONG TERM CD CO COMPANY IQ FTID INSTITUTIONAL BOND QUOTES s are received directly from the exchanges and report the last trade on any exchange for that day (composite ). investment manager, client, etc. or default if a is Multi-dimensional relational model and/or Option Adjusted Spread (OAS). 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 Multi-dimensional relational model and/or Option Adjusted Spread (OAS). Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated applications and models. 96 TIME DEP & MX MAIX Matrix based yields and effective maturity. This is system 52

53 Method Methodology MARKETABLE CDS. generated so no second vendor. D 96 TIME DEP & MARKETABLE CDS 97 PRIVATE PLACEMENTS BR BROKER. 97 PRIVATE PLACEMENTS CB FTID CANADIAN BOND 97 PRIVATE PLACEMENTS CM FTID CMO 97 PRIVATE PLACEMENTS CO COMPANY 97 PRIVATE PLACEMENTS IN EXTEL INTERNATIONAL 97 PRIVATE PLACEMENTS IQ FTID INSTITUTIONAL BOND QUOTES 97 PRIVATE PLACEMENTS KM JJ KENNY MUNICIPALS 97 PRIVATE PLACEMENTS D 97 PRIVATE PLACEMENTS PR FTID CORPORATE 97 PRIVATE PLACEMENTS ADER-ENTERED JJ Kenny Market maker bids from RBC Dominion Securities and market maker bids from CIBC Wood Gundy. 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. Weekly 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. 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 IDC 53

54 Method Methodology 99 WF COLLECTIVE FUNDS 99 WF COLLECTIVE FUNDS 99 WF COLLECTIVE FUNDS 99 WF COLLECTIVE FUNDS CM FTID CMO CO COMPANY D ADER-ENTERED 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. Net asset value (NAV). For underlying information on the Wells Fargo Collective Funds, see the year-end financial statement for detailed information, available at the end of April each year. if a is Weekly Direct, submitted * Stale, Un-d, or Hard-to-Value Assets: Wells Fargo makes reasonable efforts to obtain current s for assets held within its clients accounts. If vendor is not available, the most recent will remain unless a manual is received from an approved source. The information contained in these documents has been obtained from sources believed to be reliable. Wells Fargo does not make any representations with respect thereto, and all information is provided as is without any warranty of any kind. Each customer is responsible for confirming the accuracy of this information with its own advisors. Wells Fargo shall under no circumstances be responsible for the application and accuracy of the reporting for which this information is used. Recordkeeping, trustee, and/or custody services are provided by Wells Fargo Institutional Retirement and Trust, a business unit of Wells Fargo Bank, N.A Wells Fargo Bank, N.A. All rights reserved. 54