Your Assignment. Part 1) You are a portfolio manager for Vandelay Capital Management's Investment Grade Bond Fund. You've been pondering the Investment Clock for a few days, and you now believe that the "time" is 8:30. The Investment Clock is posted on Blackboard. a) Change the Quality Spread Matrix in Case #2 to reflect your views. Explain why you changed the spread matrix the way you did. The key parts of this problem involve Cases #3 and #4. You want to change your porfolio to reflect your views that quality spreads will soon change Remember: No guts, no glory. b.) Change your asset allocation by adjusting Case #3. You can do this in two ways. The first is: adjust the par amounts, i.e., change the equal par weighting. The second way is: choose the portfolio duration and portfolio convexity you want Then use Solver to find the asset weights that attain your portfolio objectives. Explain why you changed the portfolio as you did. 0.) Then take the weights from Case #3 and enter them into Case #4 Then change the quality spread matrix for Case #4, just as you did in Case #2. d) Compare portfolio duration and portfolio convexity for Cases #1 and 43. Then compare portfolio duration and portfolio convexity for Cases #2 and 14. How much did your aggressive portfolio reallocation make for your clients? Part 2) Bonds A through L are non-Treasury fixed income securities, but other than that information, they are not defined. Suppose that bonds A, B, E, F,I and J are callable Corporate bonds, and the call price for each bond is par. And suppose that bonds C, D, G, H K and L are Agency Residential MBS a) What are the issues here that you, as the portfolio manager, must deal with to position your fund to take advantage of your insight that the time is 8:30? Provide some detail for your answer to this question. No caloulations are required for Part 2 One final point about the entire project: Remember, what I am always interested in is thoughtfulness. Just getting a correct numerical answer is not your only objective. Write a project that shows me you have thought about these questions and the issues surrounding solving them. Good Luck All your answers must be typed and double spaced. How to play the global economic cycle Merrill Lynch's investment clock Value Stocks Commodities Overseas Equities Municipals Early Cycle Sectors BOOM Late Cycle Sectors RECOVER Small Cap TIPS Large Cap High Yield Bonds Corporate Bonds CESSION Short-Term Treasures SLOWDO TE Rate Sensitive Sectors Defensive Sectors Growth Stocks Long-Term Treasurles High Quality Assets inflation protected bonds #1 ORIGINAL PORTFOLIO: BASE CASE Spreads Market Spreads AA A Spreads to UST Short-Term: 0.60% 0.85% Spreads to UST Intermediate-Term: 0.70% 0.95% Spreads to UST Long-Term: 0.90% 1.15%. BBB 1.10% 1.20% 1.40% where we are now today Base Case Spreads AAABBB 0.60% 0.85% 1.10% 0.70% 0.95% 1.20%. 0.902 1.15% 1.40% Spread Changes AAABBB 0.00% 0.002 0.00% 0.00% 0.00% 0.00%. 0.00% 0.00% 0.00%. Portfolio Issue Settlement Maturity Name Date Date Credit Coupon Payment Payment UST Rating Rate Frequenoy Basis Bench Spread to UST Clean Price Yield Last Coupon Payment Next #of days # of days # of days Coupon in Coupor from Last to Next Accrued Payment Period to Settle Coupon Interest Full Price Par Amount Market Value 1 182 55 2 2 2 182 127 127 127 127 2 127 127 127 UST Sho 4/10/2020 2/15/2022 UST Inter 4/10/2020 2/15/2027 UST Lon: 4/10/2020 2/15/2050 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 UW LOI-JY- AAA AAA AAA AA AA A BBB AA AA A BBB AA AA A BBB 2.875% 3.000% 3.375% 3.375% 3.375% 3.625% 4.000% 3.625% 3.625% 3.875% 4.125% 2 4.125% 4.125% 4.375%. 4.625% 1 1 1 1 1 1 1 1 2.8907 99.97101 2/15/2020 8/15/2020 3.0507 99.69066 2/15/2020 8/15/2020 3.3602 100.27835 2/15/2020 8/15/2020 2.875% 0.600% 3.475% 99.81935 2/15/2020 8/15/2020 2.875% 0.6002 3.475% 99.81935 2/15/2020 8/15/2020 2.875% 0.850% 3.725% 99.81940 2/15/2020 8/15/2020 2.875% 1.0007 3.875% 100.21693 2/15/2020 8/15/2020 3.0002 0.7002 3.700% 99.54640 2/15/2020 8/15/2020 3.0002 0.7002 3.700% 99.54640 2/15/2020 8/15/2020 3.0002 0.9502 3.9507 99.54979 2/15/2020 8/15/2020 3.0002 1.200Z 4.2002 99.55309 2/15/2020 8/15/2020 3.375% 0.900% 4.275% 97.47933 2/15/2020 8/15/2020 3.375% 0.900% 4.275% 97.47933 2/15/2020 8/15/2020 3.375% 1.150% 4.525% 97.55175 2/15/2020 8/15/2020 3.375% 1.4007 4.775% 97.62096 2/15/2020 8/15/2020 0.0043 99.9754 50,000,000 49,987,677 0.0045 99.6952 50,000,000 49,847,599 0.0051 100.2834 50,000,000 50, 141,722 0.0051 99.8245 50,000,000 49,912, 226 0.0051 99.8245 50,000,000 49,912, 226 0.0055 99.8249 50,000,000 49,912,438 0.0060 100.2230 50,000,000 50, 111,486 0.0055 99.5519 50,000,000 49,775,938 0.0055 99.5519 50,000,000 49,775,938 0.0059 99.5556 50,000,000 49,777,820 0.0062 99.5593 50,000,000 49,779,662 0.0062 97.4856 50,000,000 48,742, 783 0.0062 97.4856 50,000,000 48, 742, 783 0.0066 97.5584 50,000,000 48,779,178 0.0070 97.6279 50,000,000 48,813,974 127 1 2 1 1 1 1 127 127 127 127 127 2 182 Portfolio Total 750,000,000 744,013,451 #2 ORIGINAL PORTFOLIO: BASE CASE AFTER SPREADS CHANGE. I. Spreads Market Spreads Base AAABBB Spreads to UST Short-Term: 0.607 0.85% 1.10% 0.602 Spreads to UST Intermediate-Term: 0.70% 0.95% 1.20% 0.702 Spreads to UST Long-Term: 0.902 1.15% 1.40% 0.90% Case 0.85% 0.95% 1.15% Spreads BBB 1.10% 1.20% 1.402 Spread Changes AAABBB 0.002 0.00% 0.00% 0.00% 0.002 0.00% 0.00% 0.00% 0.00% Portfolio Issue Name Settlement Maturity Date Date Credit Coupon Payment Payment UST Rating Rate Frequency Basis Bench Spread to UST Clean Price Yield Last Coupon Payment Next # of days # of days #of days Coupon in Coupor from Last to Next Accrued Payment Period to Settle Coupon Interest Full Price Par A mount Amount Market Value UST Sho 4/10/2020 2/15/2022 UST Inter 4/10/2020 2/15/2027 UST Lon: 4/10/2020 2/15/2050 A 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 U ZA 15IZUZZ 4/10/2020 2/15/2022 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 AAA AAA AAA AA AA A A BBB AA AA A BBB AA AA A BBB 2.875% 3.0002 3.375% 3.375%. 3.375% 3.625% 4.000% 3.625%. 3.625% 3.875%. 4.125% 4.125% 4.125% 4.375% 4.625%. 2.890% 99.97101 2/15/2020 8/15/2020 3.0507 99.69066 2/15/2020 8/15/2020 3.3602 100.27835 2/15/2020 8/15/2020 2.875% 0.600% 3.475% 99.81935 2/15/2020 8/15/2020 2.875% 0.600% 3.475% 99.81935 2/15/2020 8/15/2020 2.875% 0.8502 3.725% 99.81940 2/15/2020 8/15/2020 2.875% 1.0002 3.875% 100.21693 2/15/2020 8/15/2020 3.0002 0.7002 3.700% 99.54640 2/15/2020 8/15/2020 3.0007 0.700% 3.7002 99.54640 2/15/2020 8/15/2020 3.0002 0.9502 3.9507 99.54979 2/15/2020 8/15/2020 3.000% 1.2007 4.2007 99.55309 2/15/2020 8/15/2020 3.375% 0.900% 4.275% 97.47933 2/15/2020 8/15/2020 3.375% 0.900% 4.275% 97.47933 2/15/2020 8/15/2020 3.375% 1.150% 4.525% 97.55175 2/15/2020 8/15/2020 3.375% 1.4007 4.775% 97.62096 2/15/2020 8/15/2020 182 182 182 182 182 182 182 182 182 182 182 182 182 182 182 127 127 127 127 127 127 127 127 127 127 127 127 127 127 127 0.0043 99.9754 50,000,000 49,987,677 0.0045 99.6952 50,000,000 49,847,599 0.0051 100.2834 50,000,000 50, 141,722 0.0051 99.8245 50,000,000 49,912, 226 0.0051 99.8245 50,000,000 49,912,226 0.0055 99.8249 50,000,000 49,912,438 0.0060 100.2230 50,000,000 50, 111,486 0.0055 99.5519 50,000,000 49,775,938 0.0055 99.5519 50,000,000 49,775,938 0.0059 99.5556 50,000,000 49,777,820 0.0062 99.5593 50,000,000 49,779,662 0.0062 97.4856 50,000,000 48,742,783 0.0062 97.4856 50,000,000 48,742, 783 0.0066 97.5584 50,000,000 48,779,178 0.0070 97.6279 50,000,000 48,813,974 1 1 1 1 1 Portfolio Total 750,000,000 744,013,451 #3 ORIGINAL PORTFOLIO WITH NEW ASSET ALLOCATION: BEFORE SPREADS CHANGE. Spreads Market Spreads Base Case Spreads AAABBB Spreads to UST Short-Term: 0.602 0.85% 1.10% 0.60% 0.85% 1.10% Spreads to UST Intermediate-Term: 0.70% 0.95% 1.20% 0.702 0.95% 1.20% Spreads to UST Long-Term: 0.90% 1.15%. 1.40% 0.90% 1.15% 1.402 Spread Changes AAABBB 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.002 0.00% 0.00% Portfolio Issue Settlement Maturity Name Date Date Credit Coupon Payment Payment UST Rating Rate Frequenos Basis Bench Spread to UST Clean Price Yield Last Coupon Payment Next #of days # of days # of days Coupon in Coupor from Last to Next Accrued Payment Period to Settle Coupon Interest Full Price Parl Amount Market Value 182 182 182 127 127 127 2 2 127 COUWLUI-2- UST Sho 4/10/2020 2/15/2022 UST Inter 4/10/2020 2/15/2027 UST Lon: 4/10/2020 2/15/2050 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 AAA AAA AAA AA AA A BBB AA AA A BBB AA AA A BBB 2.875% 3.000% 3.375% 3.375% 3.375% 3.625%. 4.0007 3.625% 3.625% 3.875% 4.125% 4.125% 4.125% 4.375%. 4.625% 1 1 1 1 1 1 1 1 1 2.890% 3.0502 3.360% 2.875% 0.600% 3.475% 2.875% 0.600% 3.475% 2.875% 0.8502 3.725% 2.875% 1.0007 3.875% 3.0002 0.7002 3.7002 3.0002 0.7002 3.7002 3.0002 0.950% 3.9502 3.000% 1.2002 4.2002 3.375% 0.9007 4.275% 3.375% 0.9007 4.275% 3.375% 1.150% 4.525% 3.375% 1.400% 4.775% 99.97101 2/15/2020 8/15/2020 99.69066 2/15/2020 8/15/2020 100.27835 2/15/2020 8/15/2020 99.81935 2/15/2020 8/15/2020 99.81935 2/15/2020 8/15/2020 99.81940 2/15/2020 8/15/2020 100.21693 2/15/2020 8/15/2020 99.54640 2/15/2020 8/15/2020 99.54640 2/15/2020 8/15/2020 99.54979 2/15/2020 8/15/2020 99.55309 2/15/2020 8/15/2020 97.47933 2/15/2020 8/15/2020 97.47933 2/15/2020 8/15/2020 97.55175 2/15/2020 8/15/2020 97.62096 2/15/2020 8/15/2020 4 4 4 4 4 4 4 4 0.0043 99.9754 50,000,000 49,987,677 0.0045 99.6952 50,000,000 49,847,599 0.0051 100.2834 50,000,000 50, 141,722 0.0051 99.8245 50,000,000 49,912, 226 0.0051 99.8245 50,000,000 49,912, 226 0.0055 99.8249 50,000,000 49,912,438 0.0060 100.2230 50,000,000 50, 111,486 0.0055 99.5519 50,000,000 49,775,938 0.0055 99.5519 50,000,000 49,775,938 0.0059 99.5556 50,000,000 49,777,820 0.0062 99.5593 50,000,000 49,779,662 0.0062 97.4856 50,000,000 48,742,783 0.0062 97.4856 50,000,000 48,742, 783 0.0066 97.5584 50,000,000 48,779,178 0.0070 97.6279 50,000,000 48,813,974 2 2 127 127 127 2 1 127 182 2 1 127 127 4 Portfolio Total 750,000,000 744,013,451 Portholio Total 750,UUUUUU 744,013,451 1 #4 ORIGINAL PORTFOLIO WITH NEW ASSET ALLOCATION: AFTER SPREADS CHANGE. L. Spreads Market Spreads Base Case Spreads AAA BBB Spreads to UST Short-Term: 0.60% 0.85% 1.10% 0.60% 0.85%. 1.10% Spreads to UST Intermediate-Term: 0.70% 0.95% 1.20% Spreads to UST Long-Term: 0.90% 1.15%. 1.40% 0.90% 1.15% 1.40% Spread Changes AAABBB 0.00% 0.00% 0.00% 0.002 0.00% 0.00% 0.00% 0.00% 0.00% I Portfolio Issue Settlement Maturity Name Date Date Credit Coupon Payment Payment UST Rating Rate Frequenos Basis Bench Spread to UST Clean Price Yield Last Coupon Payment Next # of days #of days # of days Coupon in Coupor from Last to Next Accrued Payment Period to Settle Coupon Interest Full Price Par Amount Market Value 55 1 1 182 182 127 127 182 1 1 1 182 182 182 127 182 UWLUI- UST Sho 4/10/2020 2/15/2022 UST Inter 4/10/2020 2/15/2027 UST Lon: 4/10/2020 2/15/2050 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 AAA AAA AAA AM AA A BBB AA AA A BBB AA AA A BBB 2 2 2 2 2 2 2 2 2 2 2 2 2.875% 3.000Z 3.375%. 3.375% 3.375% 3.625% 4.0002 3.625% 3.625% 3.875% 4.125%. 4.125% 4.125% 4.125% 4.375% 4.625% 1 2.875% 2.875% 2.875% 2.875% 3.0002 3.0002 3.0002 3.0002 3.375% 3.375% 3.375% 3.375% 2.890% 3.0507 3.3607 0.600% 3.475% 0.600% 3.475% 0.850% 3.725% 1000% 3.875% 0.700% 3.7002 0.7002 3.7002 0.9502 3.9502 1.2007 4.2002 0.900% 4.275% 0.9007 4.275% 1.150% 4.525% 1.4002 4.775% 99.97101 2/15/2020 8/15/2020 99.69066 2/15/2020 8/15/2020 100.27835 2/15/2020 8/15/2020 99.81935 2/15/2020 8/15/2020 99.81935 2/15/2020 8/15/2020 99.81940 2/15/2020 8/15/2020 100.21693 2/15/2020 8/15/2020 99.54640 2/15/2020 8/15/2020 99.54640 2/15/2020 8/15/2020 99.54979 2/15/2020 8/15/2020 99.55309 2/15/2020 8/15/2020 97.47933 2/15/2020 8/15/2020 97.47933 2/15/2020 8/15/2020 97.55175 2/15/2020 8/15/2020 97.62096 2/15/2020 8/15/2020 182 182 SEEEEEEEEEE 0.0043 99.9754 50,000,000 49,987,677 0.0045 99.6952 50,000,000 49,847,599 0.0051 100.2834 50,000,000 50, 141,722 0.0051 99.8245 50,000,000 49,912,226 0.0051 99.8245 50,000,000 49,912,226 0.0055 99.8249 50,000,000 49,912,438 0.0060 100.2230 50,000,000 50, 111,486 0.0055 99.5519 50,000,000 49,775,938 0.0055 99.5519 50,000,000 49,775,938 0.0059 99.5556 50,000,000 49,777,820 0.0062 99.5593 50,000,000 49,779,662 0.0062 97.4856 50,000,000 48,742,783 0.0062 97.4856 50,000,000 48,742, 783 0.0066 97.5584 50,000,000 48,779,178 0.0070 97.6279 50,000,000 48,813,974 127 127 127 1 1 1 182 182 182 127 2 2 1 1 182 2 2 1 1 182 182 127 127 Portfolio Total 750.000.000 744,013,451 Your Assignment. Part 1) You are a portfolio manager for Vandelay Capital Management's Investment Grade Bond Fund. You've been pondering the Investment Clock for a few days, and you now believe that the "time" is 8:30. The Investment Clock is posted on Blackboard. a) Change the Quality Spread Matrix in Case #2 to reflect your views. Explain why you changed the spread matrix the way you did. The key parts of this problem involve Cases #3 and #4. You want to change your porfolio to reflect your views that quality spreads will soon change Remember: No guts, no glory. b.) Change your asset allocation by adjusting Case #3. You can do this in two ways. The first is: adjust the par amounts, i.e., change the equal par weighting. The second way is: choose the portfolio duration and portfolio convexity you want Then use Solver to find the asset weights that attain your portfolio objectives. Explain why you changed the portfolio as you did. 0.) Then take the weights from Case #3 and enter them into Case #4 Then change the quality spread matrix for Case #4, just as you did in Case #2. d) Compare portfolio duration and portfolio convexity for Cases #1 and 43. Then compare portfolio duration and portfolio convexity for Cases #2 and 14. How much did your aggressive portfolio reallocation make for your clients? Part 2) Bonds A through L are non-Treasury fixed income securities, but other than that information, they are not defined. Suppose that bonds A, B, E, F,I and J are callable Corporate bonds, and the call price for each bond is par. And suppose that bonds C, D, G, H K and L are Agency Residential MBS a) What are the issues here that you, as the portfolio manager, must deal with to position your fund to take advantage of your insight that the time is 8:30? Provide some detail for your answer to this question. No caloulations are required for Part 2 One final point about the entire project: Remember, what I am always interested in is thoughtfulness. Just getting a correct numerical answer is not your only objective. Write a project that shows me you have thought about these questions and the issues surrounding solving them. Good Luck All your answers must be typed and double spaced. How to play the global economic cycle Merrill Lynch's investment clock Value Stocks Commodities Overseas Equities Municipals Early Cycle Sectors BOOM Late Cycle Sectors RECOVER Small Cap TIPS Large Cap High Yield Bonds Corporate Bonds CESSION Short-Term Treasures SLOWDO TE Rate Sensitive Sectors Defensive Sectors Growth Stocks Long-Term Treasurles High Quality Assets inflation protected bonds #1 ORIGINAL PORTFOLIO: BASE CASE Spreads Market Spreads AA A Spreads to UST Short-Term: 0.60% 0.85% Spreads to UST Intermediate-Term: 0.70% 0.95% Spreads to UST Long-Term: 0.90% 1.15%. BBB 1.10% 1.20% 1.40% where we are now today Base Case Spreads AAABBB 0.60% 0.85% 1.10% 0.70% 0.95% 1.20%. 0.902 1.15% 1.40% Spread Changes AAABBB 0.00% 0.002 0.00% 0.00% 0.00% 0.00%. 0.00% 0.00% 0.00%. Portfolio Issue Settlement Maturity Name Date Date Credit Coupon Payment Payment UST Rating Rate Frequenoy Basis Bench Spread to UST Clean Price Yield Last Coupon Payment Next #of days # of days # of days Coupon in Coupor from Last to Next Accrued Payment Period to Settle Coupon Interest Full Price Par Amount Market Value 1 182 55 2 2 2 182 127 127 127 127 2 127 127 127 UST Sho 4/10/2020 2/15/2022 UST Inter 4/10/2020 2/15/2027 UST Lon: 4/10/2020 2/15/2050 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 UW LOI-JY- AAA AAA AAA AA AA A BBB AA AA A BBB AA AA A BBB 2.875% 3.000% 3.375% 3.375% 3.375% 3.625% 4.000% 3.625% 3.625% 3.875% 4.125% 2 4.125% 4.125% 4.375%. 4.625% 1 1 1 1 1 1 1 1 2.8907 99.97101 2/15/2020 8/15/2020 3.0507 99.69066 2/15/2020 8/15/2020 3.3602 100.27835 2/15/2020 8/15/2020 2.875% 0.600% 3.475% 99.81935 2/15/2020 8/15/2020 2.875% 0.6002 3.475% 99.81935 2/15/2020 8/15/2020 2.875% 0.850% 3.725% 99.81940 2/15/2020 8/15/2020 2.875% 1.0007 3.875% 100.21693 2/15/2020 8/15/2020 3.0002 0.7002 3.700% 99.54640 2/15/2020 8/15/2020 3.0002 0.7002 3.700% 99.54640 2/15/2020 8/15/2020 3.0002 0.9502 3.9507 99.54979 2/15/2020 8/15/2020 3.0002 1.200Z 4.2002 99.55309 2/15/2020 8/15/2020 3.375% 0.900% 4.275% 97.47933 2/15/2020 8/15/2020 3.375% 0.900% 4.275% 97.47933 2/15/2020 8/15/2020 3.375% 1.150% 4.525% 97.55175 2/15/2020 8/15/2020 3.375% 1.4007 4.775% 97.62096 2/15/2020 8/15/2020 0.0043 99.9754 50,000,000 49,987,677 0.0045 99.6952 50,000,000 49,847,599 0.0051 100.2834 50,000,000 50, 141,722 0.0051 99.8245 50,000,000 49,912, 226 0.0051 99.8245 50,000,000 49,912, 226 0.0055 99.8249 50,000,000 49,912,438 0.0060 100.2230 50,000,000 50, 111,486 0.0055 99.5519 50,000,000 49,775,938 0.0055 99.5519 50,000,000 49,775,938 0.0059 99.5556 50,000,000 49,777,820 0.0062 99.5593 50,000,000 49,779,662 0.0062 97.4856 50,000,000 48,742, 783 0.0062 97.4856 50,000,000 48, 742, 783 0.0066 97.5584 50,000,000 48,779,178 0.0070 97.6279 50,000,000 48,813,974 127 1 2 1 1 1 1 127 127 127 127 127 2 182 Portfolio Total 750,000,000 744,013,451 #2 ORIGINAL PORTFOLIO: BASE CASE AFTER SPREADS CHANGE. I. Spreads Market Spreads Base AAABBB Spreads to UST Short-Term: 0.607 0.85% 1.10% 0.602 Spreads to UST Intermediate-Term: 0.70% 0.95% 1.20% 0.702 Spreads to UST Long-Term: 0.902 1.15% 1.40% 0.90% Case 0.85% 0.95% 1.15% Spreads BBB 1.10% 1.20% 1.402 Spread Changes AAABBB 0.002 0.00% 0.00% 0.00% 0.002 0.00% 0.00% 0.00% 0.00% Portfolio Issue Name Settlement Maturity Date Date Credit Coupon Payment Payment UST Rating Rate Frequency Basis Bench Spread to UST Clean Price Yield Last Coupon Payment Next # of days # of days #of days Coupon in Coupor from Last to Next Accrued Payment Period to Settle Coupon Interest Full Price Par A mount Amount Market Value UST Sho 4/10/2020 2/15/2022 UST Inter 4/10/2020 2/15/2027 UST Lon: 4/10/2020 2/15/2050 A 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 U ZA 15IZUZZ 4/10/2020 2/15/2022 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 AAA AAA AAA AA AA A A BBB AA AA A BBB AA AA A BBB 2.875% 3.0002 3.375% 3.375%. 3.375% 3.625% 4.000% 3.625%. 3.625% 3.875%. 4.125% 4.125% 4.125% 4.375% 4.625%. 2.890% 99.97101 2/15/2020 8/15/2020 3.0507 99.69066 2/15/2020 8/15/2020 3.3602 100.27835 2/15/2020 8/15/2020 2.875% 0.600% 3.475% 99.81935 2/15/2020 8/15/2020 2.875% 0.600% 3.475% 99.81935 2/15/2020 8/15/2020 2.875% 0.8502 3.725% 99.81940 2/15/2020 8/15/2020 2.875% 1.0002 3.875% 100.21693 2/15/2020 8/15/2020 3.0002 0.7002 3.700% 99.54640 2/15/2020 8/15/2020 3.0007 0.700% 3.7002 99.54640 2/15/2020 8/15/2020 3.0002 0.9502 3.9507 99.54979 2/15/2020 8/15/2020 3.000% 1.2007 4.2007 99.55309 2/15/2020 8/15/2020 3.375% 0.900% 4.275% 97.47933 2/15/2020 8/15/2020 3.375% 0.900% 4.275% 97.47933 2/15/2020 8/15/2020 3.375% 1.150% 4.525% 97.55175 2/15/2020 8/15/2020 3.375% 1.4007 4.775% 97.62096 2/15/2020 8/15/2020 182 182 182 182 182 182 182 182 182 182 182 182 182 182 182 127 127 127 127 127 127 127 127 127 127 127 127 127 127 127 0.0043 99.9754 50,000,000 49,987,677 0.0045 99.6952 50,000,000 49,847,599 0.0051 100.2834 50,000,000 50, 141,722 0.0051 99.8245 50,000,000 49,912, 226 0.0051 99.8245 50,000,000 49,912,226 0.0055 99.8249 50,000,000 49,912,438 0.0060 100.2230 50,000,000 50, 111,486 0.0055 99.5519 50,000,000 49,775,938 0.0055 99.5519 50,000,000 49,775,938 0.0059 99.5556 50,000,000 49,777,820 0.0062 99.5593 50,000,000 49,779,662 0.0062 97.4856 50,000,000 48,742,783 0.0062 97.4856 50,000,000 48,742, 783 0.0066 97.5584 50,000,000 48,779,178 0.0070 97.6279 50,000,000 48,813,974 1 1 1 1 1 Portfolio Total 750,000,000 744,013,451 #3 ORIGINAL PORTFOLIO WITH NEW ASSET ALLOCATION: BEFORE SPREADS CHANGE. Spreads Market Spreads Base Case Spreads AAABBB Spreads to UST Short-Term: 0.602 0.85% 1.10% 0.60% 0.85% 1.10% Spreads to UST Intermediate-Term: 0.70% 0.95% 1.20% 0.702 0.95% 1.20% Spreads to UST Long-Term: 0.90% 1.15%. 1.40% 0.90% 1.15% 1.402 Spread Changes AAABBB 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.002 0.00% 0.00% Portfolio Issue Settlement Maturity Name Date Date Credit Coupon Payment Payment UST Rating Rate Frequenos Basis Bench Spread to UST Clean Price Yield Last Coupon Payment Next #of days # of days # of days Coupon in Coupor from Last to Next Accrued Payment Period to Settle Coupon Interest Full Price Parl Amount Market Value 182 182 182 127 127 127 2 2 127 COUWLUI-2- UST Sho 4/10/2020 2/15/2022 UST Inter 4/10/2020 2/15/2027 UST Lon: 4/10/2020 2/15/2050 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 AAA AAA AAA AA AA A BBB AA AA A BBB AA AA A BBB 2.875% 3.000% 3.375% 3.375% 3.375% 3.625%. 4.0007 3.625% 3.625% 3.875% 4.125% 4.125% 4.125% 4.375%. 4.625% 1 1 1 1 1 1 1 1 1 2.890% 3.0502 3.360% 2.875% 0.600% 3.475% 2.875% 0.600% 3.475% 2.875% 0.8502 3.725% 2.875% 1.0007 3.875% 3.0002 0.7002 3.7002 3.0002 0.7002 3.7002 3.0002 0.950% 3.9502 3.000% 1.2002 4.2002 3.375% 0.9007 4.275% 3.375% 0.9007 4.275% 3.375% 1.150% 4.525% 3.375% 1.400% 4.775% 99.97101 2/15/2020 8/15/2020 99.69066 2/15/2020 8/15/2020 100.27835 2/15/2020 8/15/2020 99.81935 2/15/2020 8/15/2020 99.81935 2/15/2020 8/15/2020 99.81940 2/15/2020 8/15/2020 100.21693 2/15/2020 8/15/2020 99.54640 2/15/2020 8/15/2020 99.54640 2/15/2020 8/15/2020 99.54979 2/15/2020 8/15/2020 99.55309 2/15/2020 8/15/2020 97.47933 2/15/2020 8/15/2020 97.47933 2/15/2020 8/15/2020 97.55175 2/15/2020 8/15/2020 97.62096 2/15/2020 8/15/2020 4 4 4 4 4 4 4 4 0.0043 99.9754 50,000,000 49,987,677 0.0045 99.6952 50,000,000 49,847,599 0.0051 100.2834 50,000,000 50, 141,722 0.0051 99.8245 50,000,000 49,912, 226 0.0051 99.8245 50,000,000 49,912, 226 0.0055 99.8249 50,000,000 49,912,438 0.0060 100.2230 50,000,000 50, 111,486 0.0055 99.5519 50,000,000 49,775,938 0.0055 99.5519 50,000,000 49,775,938 0.0059 99.5556 50,000,000 49,777,820 0.0062 99.5593 50,000,000 49,779,662 0.0062 97.4856 50,000,000 48,742,783 0.0062 97.4856 50,000,000 48,742, 783 0.0066 97.5584 50,000,000 48,779,178 0.0070 97.6279 50,000,000 48,813,974 2 2 127 127 127 2 1 127 182 2 1 127 127 4 Portfolio Total 750,000,000 744,013,451 Portholio Total 750,UUUUUU 744,013,451 1 #4 ORIGINAL PORTFOLIO WITH NEW ASSET ALLOCATION: AFTER SPREADS CHANGE. L. Spreads Market Spreads Base Case Spreads AAA BBB Spreads to UST Short-Term: 0.60% 0.85% 1.10% 0.60% 0.85%. 1.10% Spreads to UST Intermediate-Term: 0.70% 0.95% 1.20% Spreads to UST Long-Term: 0.90% 1.15%. 1.40% 0.90% 1.15% 1.40% Spread Changes AAABBB 0.00% 0.00% 0.00% 0.002 0.00% 0.00% 0.00% 0.00% 0.00% I Portfolio Issue Settlement Maturity Name Date Date Credit Coupon Payment Payment UST Rating Rate Frequenos Basis Bench Spread to UST Clean Price Yield Last Coupon Payment Next # of days #of days # of days Coupon in Coupor from Last to Next Accrued Payment Period to Settle Coupon Interest Full Price Par Amount Market Value 55 1 1 182 182 127 127 182 1 1 1 182 182 182 127 182 UWLUI- UST Sho 4/10/2020 2/15/2022 UST Inter 4/10/2020 2/15/2027 UST Lon: 4/10/2020 2/15/2050 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2022 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2027 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 4/10/2020 2/15/2050 AAA AAA AAA AM AA A BBB AA AA A BBB AA AA A BBB 2 2 2 2 2 2 2 2 2 2 2 2 2.875% 3.000Z 3.375%. 3.375% 3.375% 3.625% 4.0002 3.625% 3.625% 3.875% 4.125%. 4.125% 4.125% 4.125% 4.375% 4.625% 1 2.875% 2.875% 2.875% 2.875% 3.0002 3.0002 3.0002 3.0002 3.375% 3.375% 3.375% 3.375% 2.890% 3.0507 3.3607 0.600% 3.475% 0.600% 3.475% 0.850% 3.725% 1000% 3.875% 0.700% 3.7002 0.7002 3.7002 0.9502 3.9502 1.2007 4.2002 0.900% 4.275% 0.9007 4.275% 1.150% 4.525% 1.4002 4.775% 99.97101 2/15/2020 8/15/2020 99.69066 2/15/2020 8/15/2020 100.27835 2/15/2020 8/15/2020 99.81935 2/15/2020 8/15/2020 99.81935 2/15/2020 8/15/2020 99.81940 2/15/2020 8/15/2020 100.21693 2/15/2020 8/15/2020 99.54640 2/15/2020 8/15/2020 99.54640 2/15/2020 8/15/2020 99.54979 2/15/2020 8/15/2020 99.55309 2/15/2020 8/15/2020 97.47933 2/15/2020 8/15/2020 97.47933 2/15/2020 8/15/2020 97.55175 2/15/2020 8/15/2020 97.62096 2/15/2020 8/15/2020 182 182 SEEEEEEEEEE 0.0043 99.9754 50,000,000 49,987,677 0.0045 99.6952 50,000,000 49,847,599 0.0051 100.2834 50,000,000 50, 141,722 0.0051 99.8245 50,000,000 49,912,226 0.0051 99.8245 50,000,000 49,912,226 0.0055 99.8249 50,000,000 49,912,438 0.0060 100.2230 50,000,000 50, 111,486 0.0055 99.5519 50,000,000 49,775,938 0.0055 99.5519 50,000,000 49,775,938 0.0059 99.5556 50,000,000 49,777,820 0.0062 99.5593 50,000,000 49,779,662 0.0062 97.4856 50,000,000 48,742,783 0.0062 97.4856 50,000,000 48,742, 783 0.0066 97.5584 50,000,000 48,779,178 0.0070 97.6279 50,000,000 48,813,974 127 127 127 1 1 1 182 182 182 127 2 2 1 1 182 2 2 1 1 182 182 127 127 Portfolio Total 750.000.000 744,013,451