pricing methodology key - wells fargo...how to use the pricing methodology key this key is sorted by...

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Institutional Retirement and Trust

Pricing Methodology Key for ASC 820 Reporting

How to use the Pricing Methodology Key This Key is sorted by ascending Asset Code number Asset Code/Category information on this Key is minor asset category information.

Match Asset Code number and Price Code from the Hierarchy Report to the same fields on this Key to determine Pricing Methodology.

Asset description information on the Hierarchy and Level 3 Activity Reports may not match Asset Category on this Key.

Asset Codes/Categories may have multiple pricing methodologies.

Information in the Pricing Frequency column reflects when pricing information is scheduled to be received.

Please Note: 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 Code

Asset Category

Price Code

Price Method Description

Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

01 US TREASURY BILLS BR BROKER Not applicable. Manual method. NA NA

01 US TREASURY BILLS IQ FTID INSTITUTIONAL BOND QUOTES

Interactive Data (IDC)

Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer brokers. Sources are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET).

Daily Bloomberg, Pricing Direct, Thomson Reuters, submitted price

01 US TREASURY BILLS NO NOT REGULARLY PRICED

Not applicable - various sources.

No known price source. The last price remains. Stale pricing could apply.

upon request

Bloomberg, Pricing Direct, Thomson Reuters,

submitted price

02 COMMERCIAL PAPER-INT. BEARING

CD FTID LONG TERM CD PRICING


Series of matrices. Daily Bloomberg, Pricing Direct, Thomson Reuters, submitted price


IQ FTID INSTITUTIONAL BOND QUOTES


Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated pricing applications and models.



MX MATRIX PRICING Not applicable. Matrix pricing based upon yields and effective maturity. Daily This is system generated so no second vendor.


TR TRADER-ENTERED PRICE


Pricing provided by various sources such as issuer, investment manager, fund accountant, client, etc. or default price if a price is not provided.

upon receipt or static

pricing

No primary or secondary vendor

2

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

03 COMMERCIAL PAPER DISCOUNT



NO NOT REGULARLY PRICED



upon request






upon receipt or static pricing


04 REPURCHASE/MASTER NT AGREEMENT






05 CURRENCY BR BROKER Not applicable. Manual method. NA NA

05 CURRENCY IN EXTEL INTERNATIONAL


Daily exchange rates. Daily No primary or secondary vendor

06 TAX EXEMPT COMMERCIAL PAPER






07 GOVERNMENT AGENCY DISCOUNT

BR BROKER Not applicable. Manual method. NA NA







MB FTID MORTGAGE-BACKED PRICING


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 coupon adjustment date, and convertibility of the bond.






upon request

Bloomberg, Pricing Direct, Thomson Reuters, submitted price

08 S/T CERTIFICATE OWN BANK






09 S/T CERTIFICATE NON BANK






10 SAVINGS ACCOUNT NO NOT REGULARLY Not applicable - Priced at $1.. upon No primary or

3

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

OWN BANK PRICED various sources. request secondary vendor

10 SAVINGS ACCOUNT OWN BANK



Priced at $1.. upon receipt or static pricing


11 SAVINGS ACCOUNT NON BANK





12 L/T CERTIFICATE OWN BANK





13 L/T CERTIFICATE NON BANK



Priced at $1.. upon request


13 L/T CERTIFICATE NON BANK





14 US TREASURY NOTES AND BONDS



CO COMPANY Not applicable - various sources.

Multiple pricing options apply. Price could be received from the primary exchange which has been set based upon 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 pricing applications and models. Priced by incorporating prices 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 sources. Priced 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 price sources, and market news.

Variable. Bloomberg, Pricing Direct, Thomson Reuters, submitted price


IN EXTEL INTERNATIONAL


Price received from the primary exchange. The primary exchange has been set based upon 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 pricing applications and


4

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

models.




Pricing provided by various sources such as issuer, investment manager, client, etc. or default price if a price is not provided.

upon request



PA PRICE AT PAR Not applicable. Price remains at PAR and is updated daily. Daily No primary or secondary vendor







15 GOVERNMENT AGENCY



CM FTID CMO PRICING Interactive Data (IDC)

For CMOs, depending upon 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 Bloomberg, Pricing Direct, Thomson Reuters, submitted price



Multiple pricing options apply. For CMOs, depending upon 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. 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 issuer-spread 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/price routine calculates prices from final yields to accommodate odd coupon 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. Note: Floating-rate medium-term notes are evaluated using the Floating-Rate Note Evaluation Model which generates evaluations for floating-rate notes by calculating current


5

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

and future coupons, then discounting each cash flow by an appropriate discount margin. Trades, bid price 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. Priced 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 pricing 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 issuer-spread 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/price routine calculates prices from final yields to accommodate odd coupon 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. Note: Floating-rate medium-term notes are evaluated using the

Floating-Rate Note Evaluation Model which generates evaluations for floating-rate notes by calculating current and future coupons, then discounting each cash flow by an appropriate discount margin.



KM JJ KENNY MUNICIPALS

JJ Kenny Trades, bid price 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,

Weekly IDC

6

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

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 coupon adjustment date, and convertibility of the bond.






upon request








16 GOVT STRIPPED AND ZERO COUPON




Multiple pricing options apply. Priced 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

Variable. Bloomberg, Pricing Direct, Thomson Reuters,

submitted price




Evaluators create stripped interest and stripped principal yield curves from levels obtained from various dealer contacts and live data sources. These yields represent a 15: and 16: (ET) U.S. Treasury zero-coupon curve. Hybrid securities and agency strips are spread off an appropriate U.S. Treasury issue. Interactive Data obtains these spreads from the new issue market and dealer sources. Spreads can be changed daily in response to market conditions.






upon request








17 SERIES E/EE & FREEDOM SHARES


17 SERIES E/EE & NO NOT REGULARLY Not applicable - No known price source. The last price remains. Stale upon Bloomberg,

7

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

FREEDOM SHARES PRICED various sources. pricing could apply. request Pricing Direct, Thomson Reuters, submitted price

17 SERIES E/EE & FREEDOM SHARES

PR FTID CORPORATE PRICING




18 US SAVINGS BONDS SERIES H/HH






upon request





Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer

brokers. Sources are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET).

Weekly Bloomberg, Pricing Direct,

Thomson Reuters, submitted price







19 US GOVERNMENT MTG POOL TBA













upon request


20 MUNICIPAL - TAX EXEMPT




Multiple pricing options apply. Priced by trades, bid price 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


8

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

MSRB reported trades and material event notices plus MMD benchmark yields. Priced by incorporating terms and conditions such as credit ratings, issuer and issue level data, amount issued/outstanding, deal underwriters, call/put sinking fund schedules, coupon, maturity, and significant reference data, evaluated information such as quotes, reviewed daily trades, and daily credit curves, and market news. IDC and Reuters pricing information only, no information available from Pricing Direct.








JJ Kenny Trades, bid price 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.

Weekly IDC


MU FTID MUNICIPAL PRICING


Multi-dimensional relational model or series of matrices utilizing standard inputs including MSRB reported trades and material event notices plus MMD benchmark yields.

Weekly JJ Kenny





upon request








21 MUNICIPAL - TAXABLE BR BROKER Not applicable. Manual method. NA NA

21 MUNICIPAL - TAXABLE CO COMPANY Not applicable - various sources.

Multiple pricing options apply. Evaluators gather information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated pricing applications and models. Priced by trades, bid price 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. Priced by incorporating terms and conditions such as credit ratings, issuer and issue level data, amount


9

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

issued/outstanding, deal underwriters, call/put sinking fund schedules, coupon, maturity, and significant reference data, evaluated information such as quotes, reviewed daily trades, and daily credit curves, and market news. IDC and Reuters pricing information only, no information available from Pricing Direct.

21 MUNICIPAL - TAXABLE IQ FTID INSTITUTIONAL BOND QUOTES




21 MUNICIPAL - TAXABLE KM JJ KENNY MUNICIPALS


Weekly IDC

21 MUNICIPAL - TAXABLE MU FTID MUNICIPAL PRICING



Weekly JJ Kenny

21 MUNICIPAL - TAXABLE NO NOT REGULARLY PRICED



upon request


21 MUNICIPAL - TAXABLE TR TRADER-ENTERED PRICE





22 MUNICIPAL ZERO COUPON





Weekly IDC





Weekly JJ Kenny





upon request








23 CORPORATE BONDS BR BROKER Not applicable. Manual method. NA NA

10

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

23 CORPORATE BONDS CB FTID CANADIAN BOND PRICING


Market maker bids from RBC Dominion Securities and market maker bids from CIBC Wood Gundy.

Daily Bloomberg, Pricing Direct, submitted price

23 CORPORATE BONDS CD FTID LONG TERM CD PRICING


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 issuer-spread 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/price routine calculates prices from final yields to accommodate odd coupon 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. Note: Floating-rate medium-term notes are evaluated using the Floating-Rate Note Evaluation Model which generates evaluations for floating-rate notes by calculating current and future coupons, then discounting each cash flow by an appropriate discount margin.


23 CORPORATE BONDS CM FTID CMO PRICING Interactive Data (IDC)

For CMOs, depending upon 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.


23 CORPORATE BONDS CO COMPANY Not applicable - various sources.

Multiple pricing options apply. Price received from the primary exchange. The primary exchange has been set based upon 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 pricing applications and models. Matrix pricing based upon yields and effective maturity. Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer brokers. Sources are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET). Priced by incorporating indenture information for


11

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

investment grade bonds, market, prices, yields, and other market assumptions through actual traded prices, 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 coupon and/or maturity and/or liquidity or other similar market factors. Priced by incorporating indenture information for high yield bonds. Evaluators have access to the market to determine prices, yields, and other market assumptions through actual traded prices, and through contacts with the broker-dealer community, indicative prices for various liquid high yield bonds, and also for bonds that have defaulted, transacted prices 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 prices 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 price across all maturities of bonds in each seniority bucket. Evaluators may also apply rules based adjustments to adjust their assumptions based on coupon, maturity and/or the presence of embedded options.

23 CORPORATE BONDS IN EXTEL INTERNATIONAL




23 CORPORATE BONDS IQ FTID INSTITUTIONAL BOND QUOTES




12

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

23 CORPORATE BONDS MX MATRIX PRICING Not applicable. Matrix pricing based upon yields and effective maturity. Daily This is system generated so no second vendor.

23 CORPORATE BONDS NO NOT REGULARLY PRICED



upon request


23 CORPORATE BONDS PR FTID CORPORATE PRICING




23 CORPORATE BONDS TR TRADER-ENTERED PRICE


Pricing provided by various sources such as issuer, investment manager, client, etc. or default price if a price is not provided. Worthless assets remain at $0..



23 CORPORATE BONDS MU AUTOMATED METHOD-IDC MUNICIPAL PRICING



Weekly JJ Kenny

24 CORPORATE STRIPPED/ZERO COUPON





Multi-dimensional relational model. Daily Bloomberg, Pricing Direct, Thomson Reuters, submitted price



Multiple pricing options apply. Price received from the primary exchange. The primary exchange has been set based upon 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 pricing applications and models. Priced 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 pricing information only, no information available from Pricing Direct.







13

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source










upon request








26 CONVERTIBLE CORPORATE BONDS




Multiple pricing options apply. Evaluators gather information from market sources and integrate relative

credit information, observed market movements, and sector news into the evaluated pricing applications and models. Priced by incorporating indenture information for investment grade bonds, market. prices, yields, and other market assumptions through actual traded prices, 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 coupon and/or maturity and/or liquidity or other similar market factors. Priced by incorporating indenture information for high yield bonds. Evaluators have access to the market to determine prices, yields, and other market assumptions through actual traded prices, and through contacts with the broker-dealer community, indicative prices for various liquid high yield bonds, and also for bonds that have defaulted, transacted prices on specific bonds and bond indices, as well as bid lists and general market

Variable. Bloomberg, Pricing Direct,


14

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

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 prices 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 price across all maturities of bonds in each seniority bucket. Evaluators may also apply rules based adjustments to adjust their assumptions based on coupon, maturity and/or the presence of embedded options. Priced by incorporating terms and conditions such as conversion price and ratios, underlying equity tickers, credit ratings of issue, amount issued/outstanding and option detail including call/put schedules, evaluated information such as quotes, spreads, and speeds, contributed pricing from broker dealers that is used to confirm evaluated prices, and market news.










upon request





Pricing provided by various sources such as issuer, investment manager, client, etc. or default price if a price is not provided. Worthless assets remain at $0..



27 FOREIGN CORPORATE BONDS



CB FTID CANADIAN BOND PRICING



Daily Bloomberg





Daily Bloomberg

27 FOREIGN CORPORATE

BONDS

CO COMPANY Not applicable -

various sources.

Multiple pricing options apply. Price generated using non-

OAS discounted cash flow model, as follows: Yield - price algorithm. The yield, derived as interpolated benchmark constant maturity yield/rate plus maturity spread, is used to discount coupon and principal cash flows. Clean evaluated bid price is calculated from present value minus accrued interest. Benchmark: Constant maturity treasury/swap curves

Variable. Bloomberg

15

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

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. Pricing 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-investment grade preferred stocks. Priced by incorporating indenture information and market analysis for emerging market bonds and indices. Evaluators have access to the market to determine prices, yields, and other market assumptions through actual traded prices, 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 prices on specific bonds and bond indices, as well as bid lists and general market color from other market participants. Evaluators adjust prices as necessary based on new market color and other changes such as movements in interest rates, or geopolitical events. Priced by incorporating terms and conditions such as credit ratings of issuers, amount issued/outstanding, coupon, 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.


EX EXTEL INT’L BOND EVALUATION

Extel / IDC

Generated using non-OAS discounted cash flow model, as follows: Yield - price algorithm. The yield, derived as interpolated benchmark constant maturity yield/rate plus maturity

spread, is used to discount coupon and principal cash flows. Clean evaluated bid price 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

Daily Bloomberg

16

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

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. Pricing 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-investment grade preferred stocks

Daily Bloomberg










upon request

Bloomberg








CM AUTOMATED Interactive Data (IDC)



28 FOREIGN GOVERNMENT BONDS



CB FTID CANADIAN BOND PRICING



Daily Bloomberg



Multiple pricing options apply. Price generated using non-OAS discounted cash flow model, as follows: Yield - price algorithm. The yield, derived as interpolated benchmark constant maturity yield/rate plus maturity spread, is used to discount coupon and principal cash flows. Clean evaluated bid price 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

Variable. Bloomberg

17

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

rolling 50-year maturity. Multi-dimensional relational model and/or Option Adjusted Spread (OAS). For high yield bonds: Broker-quote based application. Pricing 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-investment grade preferred stocks. Priced by incorporating indenture information and market analysis for emerging market bonds and indices. Evaluators have access to the market to determine prices, yields, and other market assumptions through actual traded prices, 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 prices on specific bonds and bond indices, as well as bid lists and general market color from other market participants. Evaluators adjust prices as necessary based on new market color and other changes such as movements in interest rates, or geopolitical events. Priced by incorporating terms and conditions such as credit ratings of issuers, amount issued/outstanding, coupon, 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.


EX EXTEL INT’L BOND EVALUATION

Extel / IDC

Generated using non-OAS discounted cash flow model, as follows: Yield - price algorithm. The yield, derived as interpolated benchmark constant maturity yield/rate plus maturity spread, is used to discount coupon and principal cash flows. Clean evaluated bid price 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.

Daily Bloomberg




Multi-dimensional relational model and/or Option Adjusted Spread (OAS). For high yield bonds: Broker-quote based application.

Daily Bloomberg

18

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

Pricing 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-investment grade preferred stocks










upon request

Bloomberg







30 US GOVERNMENT MORTGAGE POOL








Multiple pricing options apply. For CMOs, depending upon 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 pricing 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 coupon adjustment date, and convertibility of the bond. Priced by evaluators with access to the markets to determine prices, yields, and other market assumptions through actual traded prices, 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


19

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

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 coupon (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. Priced 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 (Z-bond), 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 prices, yields, and other market assumptions through actual traded prices, and through contacts with the broker-dealer community, as well as prices 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 pricing assumptions to adjust the nominal spreads, option-adjusted spreads, CPRs, CDRs, and/or severities used to price 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

20

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

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 pricing factors may be adjusted. Priced 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 prices and dealer indications, and individual pool pricing. Priced 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 prices and dealer indications. Priced 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 coupon 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 prices, and market news.















upon request








21

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

pricing

31 LLC & OTHER MISC CLOSELY HELDS


Multiple pricing options apply. Managed assets: majority are not publicly traded. Some may be thinly traded. Secondary market brokers evaluate price. Business appraisers use valuations/appraisal methodologies using

a number of assumptions to create price. Non-managed assets: Pricing provided by various sources such as issuer, investment manager, fund accountant, client, etc. or default price if a price is not provided.





Multiple pricing options apply. Managed assets: majority are not publicly traded. Some may be thinly traded. Secondary market brokers evaluate price. Business appraisers use valuations/appraisal methodologies using a number of assumptions to create price. Non-managed assets: Pricing provided by various sources such as issuer, investment manager, fund accountant, client, etc. or default price if a price is not provided.

upon request





Multiple pricing options apply. Managed assets: majority are not publicly traded. Some may be thinly traded. Secondary market brokers evaluate price. Business appraisers use valuations/appraisal methodologies using a number of assumptions to create price. Non-managed assets: Pricing provided by various sources such as issuer, investment manager, fund accountant, client, etc. or default price if a price is not provided.



33 ASSET BACKED OBLIGATION








Multiple pricing options apply. Price received from the primary exchange. The primary exchange has been set based upon 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 pricing applications and models. Trades, bid price 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. Priced with multi-dimensional relational model or series of matrices


22

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

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. Sources are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET). Priced by evaluating • Deal characteristics such as shelf, series, subordination, cross-collateralization, triggers, cashflow waterfall, initial interest spread, reserve amount; tranche characteristics such as structure, coupon 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, severity. • Market prices, discount margins, and other market assumptions through actual traded prices, and through contacts with the broker-dealer community. • Prices 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 pricing 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 applicable). Priced 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, coupon 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 prices, yields, and other market assumptions through actual traded prices, and through contacts with the broker-dealer community. • Prices on bid lists, offerings, sample bonds, market assumptions for average life spreads and discount margins based on shelf, original rating and average life..

23

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

• Evaluators may also apply rules based adjustments to their pricing 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 applicable). Priced 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. • Market prices, yields, and other market assumptions through actual traded prices, and through contacts with the broker-dealer community. • Prices 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 prices received from the trading desk. • Evaluators may also apply rules based adjustments to adjust the yields, CPRs, CDRs, and/or severities used to price 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. Priced by evaluating. • Deal characteristics such as shelf, series, subordination; tranche characteristics such as structure, coupon type, credit enhancement; historical performance such as prepayments, delinquency, excess spread. • Market prices, yields, and other market assumptions through actual traded prices, and through contacts with the broker-dealer community, evaluations of actively traded student loan ABS, as well as spreads fro

24

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

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). Priced 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, coupon type, average life, credit enhancement cash flow window, financial guarantee; historical performance such as prepayments, delinquency, severity. • Market prices, discount margins, and other market assumptions through actual traded prices, and through 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. Priced 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, coupon 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 prices, discount margins, and other market assumptions through actual traded prices, and through contacts with the broker-dealer community, prices 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.

25

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

Priced 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 coupon 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 price spreads, dealer quotations, and research reports, loss analytics, and market news.













JJ Kenny Trades, bid price 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.

Weekly IDC





Weekly JJ Kenny





upon request








SB FTID SBA PRICING Interactive Data (IDC)

The primary input for the generic model is the 15:00 ET snapshot of the SBA market. Evaluations are based on

the issuer type, coupon, 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 sources.

Daily Bloomberg, Pricing Direct,


33 ASSET BACKED TR TRADER-ENTERED Not applicable - Pricing provided by various sources such as issuer, upon No primary or

26

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

OBLIGATION PRICE various sources. investment manager, client, etc. or default price if a price is not provided.

receipt or static pricing

secondary vendor

34 MORTGAGE BACKED OBLIGATION








Multiple pricing options apply. Price received from the primary exchange. The primary exchange has been set based upon 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 pricing applications and models. Priced with trades, bid price 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 coupon adjustment date, and convertibility of the bond. Priced 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 (Z-bond), 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 prices, yields, and other market assumptions through actual traded prices, and through contacts with


27

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

the broker-dealer community, as well as prices 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 pricing assumptions to adjust the nominal spreads, option-adjusted spreads, CPRs, CDRs, and/or severities used to price 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 pricing factors may be adjusted. Priced 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 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 prices, yields, and other market assumptions through actual traded prices, and through contacts with the broker-dealer community, as well as prices 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

28

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

the sample bonds. • Evaluators may also apply rules based adjustments to their pricing assumptions to adjust the CPRs, CDRs, and/or severities used to price 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 pricing factors may be adjusted. Priced 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 prices, yields, and other market assumptions through actual traded prices, and through contacts with the broker-dealer community, as well as prices 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 pricing assumptions to adjust the CPRs, CDRs, and/or severities used to price 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

29

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

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 pricing factors may be adjusted. Priced 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 prices, yields, and other market assumptions through actual traded prices, and through contacts with the broker-dealer community, as well as prices 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 pricing assumptions to adjust the CPRs, CDRs, and/or severities used to price 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 pricing factors may be adjusted. Priced by evaluating • Deal Characteristics such as shelf, subordination, collateral grouping, cross-collateralization, triggers, cash flow waterfall; tranche characteristics such as structure,

30

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

credit enhancement, cash flow window; tranche type such as pass-through 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 prices, yields, and other market assumptions through actual traded prices, and through contacts with the broker-dealer community, as well as prices 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 pricing assumptions to adjust the CPRs, CDRs, and/or severities used to price 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 pricing factors may be adjusted. Priced 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 coupon monthly updates collected directly from trustee reports, cash flows generated using static 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 prices, bid lists, and dealer research, yield table based upon deal/tranche

31

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

attributes, and market news. Priced 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 coupon monthly updates collected directly from trustee reports, cash flows model, evaluated information such as quotes, spreads, and speeds, spreads derived from trade prices, dealer quotations, and research reports, loss coverage ratios evaluated from deal losses, delinquency pipelines, and current subordination, and market news. Priced 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 prices and dealer indications, and individual pool pricing. Priced 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 prices and dealer indications. Priced 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 coupon 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 prices, and market news.




Price received from the primary exchange. The primary exchange has been set based upon where the highest number of trade days for a particular security has

occurred.

Daily Bloomberg, Pricing Direct, Thomson Reuters,

submitted price








JJ Kenny Trades, bid price or spread, two-sided markets, quotes, benchmark curves including but not limited to treasury benchmarks and LIBOR and swap curves, market data

Weekly IDC

32

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

feeds such as MSRB, financial statements, discount rate, capital rates, trustee reports.










upon request














MU AUTOMATED METHOD - IDC MUNICIPAL PRICING



Weekly JJ Kenny

36 COMMON TRUST FUND TAXABLE


Manual method. Variable. Manually submitted price




Manual method. upon request







pricing


38 COMMON TRUST FUND EQUITY














39 POOLED FUNDS CO COMPANY Not applicable - various sources.


39 POOLED FUNDS NO NOT REGULARLY PRICED



upon request

Manually submitted price

33

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

39 POOLED FUNDS PR FTID CORPORATE PRICING


Price obtained from exchanges. Daily Manually submitted price

39 POOLED FUNDS TR TRADER-ENTERED PRICE


Manual method. upon receipt or static pricing


40 MUTUAL FUNDS TAX EXEMPT


Manual method. Variable. Bloomberg, Pricing Direct, Thomson Reuters, submitted price




Price obtained from exchanges. Daily Bloomberg, Pricing Direct, Thomson Reuters, submitted price




Manual method. upon receipt or

static pricing


41 MUTUAL FUNDS – EQUITY













41 MUTUAL FUNDS –

EQUITY

PR FTID CORPORATE

PRICING

Interactive Data

(IDC)

Price obtained from exchanges. Daily Bloomberg,

Pricing Direct, Thomson Reuters, submitted price






42 MUTUAL FUNDS TAXABLE








34

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

submitted price











IN AUTOMATED METHOD- IDC INTERNATIONAL



Daily

Bloomberg, Pricing

43 MUTUAL FUNDS - BALANCED








Price obtained from exchanges. Daily Bloomberg, Pricing Direct, Thomson Reuters,

submitted price







CO MANUAL METHOD Not applicable- various sources

Manual Method Variable Bloomberg, Pricing Direct, Thomson Reuters, submitted price

44 CLOSED END FUNDS BALANCED




44 CLOSED END FUNDS BALANCED



Price received from the primary exchange. Daily Bloomberg, Pricing Direct,


45 WELLS FARGO FUNDS GOVERNMENT

CO COMPANY Not applicable – various sources.



45 WELLS FARGO FUNDS GOVERNMENT




35

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

46 WELLS FARGO FUNDS FIXED





46 WELLS FARGO FUNDS FIXED




47 WELLS FARGO FUNDS EQUITY





47 WELLS FARGO FUNDS EQUITY




48 WELLS FARGO FUNDS BALANCED





48 WELLS FARGO FUNDS BALANCED




49 MONEY MARKET MUTUAL FUNDS


Priced at 1. Variable. No primary or secondary vendor




Priced at 1. upon request





Priced at 1. Daily No primary or secondary vendor




Priced at 1. upon receipt or static pricing


50 UIT TAX EXEMPT BR BROKER Not applicable. Manual method. NA NA

50 UIT TAX EXEMPT NO NOT REGULARLY PRICED



upon request


50 UIT TAX EXEMPT PR FTID CORPORATE PRICING



51 UIT FULLY TAXED BR BROKER Not applicable. Manual method. NA NA

51 UIT FULLY TAXED PR FTID CORPORATE Interactive Data Price obtained from exchanges. Daily Bloomberg,

36

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

PRICING (IDC) Pricing Direct, Thomson Reuters, submitted price

52 UIT EQUITY BR BROKER Not applicable. Manual method. NA NA

52 UIT EQUITY CO COMPANY Not applicable - various sources.



52 UIT EQUITY NO NOT REGULARLY PRICED



upon request


52 UIT EQUITY PR FTID CORPORATE PRICING



53 NON PROPRIETARY FUNDS


Priced at 1. Variable. Bloomberg, Pricing Direct, Thomson Reuters, submitted price

53 NON PROPRIETARY FUNDS





54 PROPRIETARY FUNDS TR TRADER-ENTERED PRICE




55 SHORT TERM INVESTMENT FUNDS





56 CLOSED END FUNDS TAX EXEMPT





submitted price

56 CLOSED END FUNDS TAX EXEMPT




57 PREFERRED STOCK BR BROKER Not applicable. Manual method. NA NA

57 PREFERRED STOCK CO COMPANY Not applicable - various sources.

Multiple pricing options apply. 1. Price received from the primary exchange. The primary exchange has been set based upon where the highest number of trade days for a particular security has occurred. 2. Evaluators gather


37

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

information from market sources and integrate relative credit information, observed market movements, and sector news into the evaluated pricing 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 price. Vendor's model utilizes dividend information from various sources in order to capture the ex-dividend date. Preferred stocks are evaluated as dollar values. 4. Priced 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 pricing such as dealer quotes selected from evaluators, terms and conditions, and real time market data, such as Trade Reporting and Compliance Engine (TRACE), and market news. IDC and Reuters pricing information only, no information available from Pricing Direct.

57 PREFERRED STOCK IN EXTEL INTERNATIONAL




57 PREFERRED STOCK IQ FTID INSTITUTIONAL BOND QUOTES




57 PREFERRED STOCK NO NOT REGULARLY PRICED



upon request


57 PREFERRED STOCK PR FTID CORPORATE Interactive Data Investment grade preferred stocks are evaluated by Daily Bloomberg,

38

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

PRICING (IDC) 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 price. Vendor's model utilizes dividend information from various sources in order to capture the ex-dividend date. Preferred stocks are evaluated as dollar values.

Pricing Direct, Thomson Reuters, submitted price

57 PREFERRED STOCK TR TRADER-ENTERED PRICE





58 PREFERRED CONVERTIBLE
















upon request












59 PREFERRED FOREIGN BR BROKER Not applicable. Manual method. NA NA

39

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

59 PREFERRED FOREIGN CO COMPANY Not applicable - various sources.

Multi-factor regression model (Ordinary Least Squares method).

Variable. Bloomberg

59 PREFERRED FOREIGN IN EXTEL INTERNATIONAL



Daily Bloomberg

59 PREFERRED FOREIGN NO NOT REGULARLY PRICED



upon request

Bloomberg

59 PREFERRED FOREIGN TR TRADER-ENTERED PRICE





60 CLOSELY HELD PREFERRED STOCK




upon request









PR AUTOMATED Not applicable - various sources.

Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer brokers. Sources are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15:00 and 16:00 (ET).


61 COMMON STOCK BR BROKER Not applicable. Manual method. NA NA

61 COMMON STOCK CO COMPANY Not applicable - various sources.

Multiple pricing options apply. 1. Price received from the primary exchange. The primary exchange has been set based upon 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 pricing applications and models. 3. Price obtained from exchanges.


61 COMMON STOCK IN EXTEL INTERNATIONAL




61 COMMON STOCK IQ FTID INSTITUTIONAL BOND QUOTES




61 COMMON STOCK NO NOT REGULARLY PRICED


Pricing provided by various sources such as issuer, investment manager, client, etc. or default price if a

upon request

Bloomberg, Pricing Direct,

40

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

price is not provided. Thomson Reuters, submitted price

61 COMMON STOCK PK FTID PINK SHEETS PRICING



61 COMMON STOCK PR FTID CORPORATE PRICING



61 COMMON STOCK TR TRADER-ENTERED PRICE





62 COMMON FOREIGN BR BROKER Not applicable. Manual method. NA NA

62 COMMON FOREIGN CO COMPANY Not applicable - various sources.

Multiple pricing options apply. IDC pricing information only, no information available from Reuters or Pricing Direct. 1. Price received from the primary exchange. The primary exchange has been set based upon 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. Sources are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET).

Variable. Bloomberg

62 COMMON FOREIGN IN EXTEL INTERNATIONAL



Daily Bloomberg

62 COMMON FOREIGN NO NOT REGULARLY PRICED



upon request

Bloomberg

62 COMMON FOREIGN PR FTID CORPORATE PRICING



Daily Bloomberg

62 COMMON FOREIGN TR TRADER-ENTERED PRICE





62 COMMON FOREIGN PK AUTOMATED METHOD- IDC PINK SHEET PRICING


Price obtained from exchanges. Daily Bloomberg, Pricing Direct, Thomson Reuters,

41

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

submitted price

63 CLOSELY HELD COMMON STOCK





Managed assets: majority are not publicly traded. Some may be thinly traded. Secondary market brokers evaluate price. Business appraisers use valuations/appraisal methodologies using a number of assumptions to create price. Non-managed assets: Pricing provided by various sources such as issuer, investment manager, fund accountant, client, etc. or default price if a price is not provided.

upon request





Managed assets: majority are not publicly traded. Some may be thinly traded. Secondary market brokers evaluate price. Business appraisers use valuations/appraisal methodologies using a number of assumptions to create price. Non-managed assets: Pricing provided by various sources such as issuer, investment manager, fund accountant, client, etc. or default price if a price is not provided.



64 RIGHTS AND WARRANTS




Pricing provided by various sources such as investment manager, client, etc. or default price if a price is not provided.






upon request





Priced obtained from exchanges. Daily Bloomberg, Pricing Direct, Thomson Reuters, submitted price








IN AUTOMATED METHOD - IDC INTERNATIONAL

AUTOMATED METHOD - IDC INTERNATIONAL

Pricing obtained from exchanges Daily Bloomberg, Pricing Direct, Thomson Reuters, submitted price


PK AUTOMATED METHOD- IDC PINK SHEET PRICING


Pricing obtained from exchanges. Daily Bloomberg, Pricing Direct, Thomson Reuters, submitted price

42

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

65 CLOSED END FUNDS TAXABLE



















Manual method. upon receipt or

static pricing


66 ADR & US HELD FOREIGN STOCK




Multiple pricing options apply. IDC pricing information only, no information available from Reuters or Pricing Direct. 1. Price received from the primary exchange. The primary exchange has been set based upon where the highest number of trade days for a particular security has occurred. 2. ADR evaluation model looks at underlying security "best" price, exchange rate for underlying security's currency against US Dollar, ADR factor (ratio of underlying security to ADR).










Multiple pricing options apply. IDC pricing information only, no information available from Reuters or Pricing Direct. 1. Price received from the primary exchange. The primary exchange has been set based upon where the highest number of trade days for a particular security has occurred. 2. ADR evaluation model looks at underlying security "best" price, exchange rate for underlying security's currency against US Dollar, ADR factor (ratio of underlying security to ADR). Pricing provided by various sources such as issuer, investment manager, client, etc. or default price if a price is not provided.

upon request


43

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source




ADR evaluation model looks at underlying security "best" price, exchange rate for underlying security's currency against US Dollar, ADR factor (ratio of underlying security to ADR).








67 FORWARD CONTRACT BR BROKER Not applicable. Manual method. NA NA

68 FUTURE CONTRACT TR TRADER-ENTERED PRICE





69 PUT OPTION LONG BR BROKER Not applicable. Manual method. NA NA

69 PUT OPTION LONG CO COMPANY Not applicable - various sources.

Multiple pricing options apply. 1. Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer brokers. Sources are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET). 2. Priced by evaluators with access to the market to determine equity spot and forward prices, equity volatilities and interest rate. Proprietary models are used for pricing vanilla and exotic products. A Black-76 model is used for pricing single-name and index equity vanilla options, and uses discrete dividends which are reflected in the forward price, and evaluators incorporate future market expectations for a given stock or stock index. Equity total return swaps pricing includes both asset and interest rate legs. The total return of the equity leg includes dividend accrual and capital accrual. Pricing 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 pricing 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. Priced by incorporating terms and conditions provided by the customer, zero coupon swap curves derived from liquid swap rates and calculated using standard bootstrapping in conjunction with a cubic spline interpolation of the continuously compounded rate,


44

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

implied volatilities or 75-day historical moving averages, equity prices and dividend yields sourced from global exchanges, and option pricing model using market exchange rates, interest rates, and volatility term structures to arrive at an option premium. 4. Priced by incorporating terms and conditions provided by the customer, zero coupon 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 pricing model utilizing foreign exchange spot rates, currency volatility, and zero coupon swap curves inputs. 5 Priced 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 prices, historical volatility if implied volatility is not available, evaluated reverse-engineered complex structures, individual price, and re-packaged structured note prices, bond analytics calculated by discounting future cash flows with a zero coupon swap curve plus a risk premium, and option analytics calculated using a pricing model that incorporates volatility, maturity, strike, spot prices, dividend, and risk free rates.

69 PUT OPTION LONG NO NOT REGULARLY PRICED



upon request


69 PUT OPTION LONG PR FTID CORPORATE PRICING




69 PUT OPTION LONG TR TRADER-ENTERED PRICE





70 CALL OPTION LONG BR BROKER Not applicable. Manual method. NA NA

70 CALL OPTION LONG CO COMPANY Not applicable - various sources.

Multiple pricing options apply. Evaluated by obtaining feeds from a number of live data sources including active

Variable. Bloomberg, Pricing Direct,

45

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

market makers and inter-dealer brokers. Sources are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET). Priced by evaluators with access to the market to determine equity spot and forward prices, equity volatilities and interest rate. Proprietary models are used for pricing vanilla and exotic products. A Black-76 model is used for pricing single-name and index equity vanilla options, and uses discrete dividends which are reflected in the forward price, and evaluators incorporate future market expectations for a given stock or stock index. Equity total return swaps pricing includes both asset and interest rate legs. The total return of the equity leg includes dividend accrual and capital accrual. Pricing 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 pricing 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. Priced by incorporating terms and conditions provided by the customer, zero coupon 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 prices and dividend yields sourced from global exchanges, and option pricing model using market exchange rates, interest rates, and volatility term structures to arrive at an option premium. Priced by incorporating terms and conditions provided by the customer, zero coupon 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 pricing model utilizing foreign exchange spot rates, currency volatility, and zero coupon swap curves inputs. Priced by incorporating terms and conditions obtained from original prospectuses and offering documents for most public deals, deal terms and all necessary


46

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

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 prices, historical volatility if implied volatility is not available, evaluated reverse-engineered complex structures, individual price, and re-packaged structured note prices, bond analytics calculated by discounting future cash flows with a zero coupon swap curve plus a risk premium, and option analytics calculated using a pricing model that incorporates volatility, maturity, strike, spot prices, dividend, and risk free rates.

70 CALL OPTION LONG NO NOT REGULARLY PRICED



upon request


70 CALL OPTION LONG PR FTID CORPORATE PRICING




70 CALL OPTION LONG TR TRADER-ENTERED PRICE


Pricing provided by various sources such as issuer, investment manager, fund accountant, client, etc. or

default price if a price is not provided.

upon receipt or

static pricing


71 PREFERRED ADR BR BROKER Not applicable. Manual method. NA NA

71 PREFERRED ADR NO NOT REGULARLY PRICED



upon request


71 PREFERRED ADR PR FTID CORPORATE PRICING


ADR evaluation model looks at underlying security "best" price, exchange rate for underlying security's currency against US Dollar, ADR factor (ratio of underlying security to ADR).


71 PREFERRED ADR TR TRADER-ENTERED PRICE





72 REAL ESTATE OTHER TR TRADER-ENTERED PRICE


Assets are valued by appraisal, default price, or alternative methods. Alternative methods vary by state, for instance, tax assessments, current market value, etc.



74 REAL ESTATE-NON-MANAGED




upon request


47

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

73 REAL ESTATE-MANAGED






74 REAL ESTATE-NON-MANAGED






75 MORTGAGE NOTES NO NOT REGULARLY PRICED



upon request


75 MORTGAGE NOTES TR TRADER-ENTERED PRICE





76 PROMISSORY NOTES NO NOT REGULARLY

PRICED

Not applicable -

various sources.

Pricing provided by various sources such as issuer,

investment manager, client, etc. or default price if a price is not provided.

upon

request

No primary or

secondary vendor

76 PROMISSORY NOTES TR TRADER-ENTERED PRICE





77 DEMAND AND MASTER NOTES






78 PARTICIPANT LOANS NO NOT REGULARLY PRICED



upon request


78 PARTICIPANT LOANS TR TRADER-ENTERED PRICE


Pricing provided by various sources such as issuer, investment manager, fund accountant, client, etc. or

default price if a price is not provided.

upon receipt or

static pricing


79 INVESTMENT AGREEMENTS






80 INVESTMENT CONTRACTS




upon request


80 INVESTMENT CONTRACTS






80 INVESTMENT CO MANUAL MWTHOD Not applicable - Pricing provided by various sources such as issuer, upon No primary or

48

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

CONTRACTS various sources investment manager, fund accountant, client, etc. or default price if a price is not provided.


secondary vendor

81 INSURANCE POLICIES TR TRADER-ENTERED PRICE





82 ANNUITY POLICIES TR TRADER-ENTERED PRICE





82 ANNUITY POLICIES CO Not applicable - various sources.




83 OGM PRODUCING TR TRADER-ENTERED

PRICE

Not applicable -

various sources.

Pricing provided by various sources such as issuer,

investment manager, fund accountant, client, etc. or default price if a price is not provided.

upon


No primary or

secondary vendor

84 OGM WORKING INTEREST




upon request


84 OGM WORKING INTEREST






85 OGM NON PRODUCING






86 ALL PARTNERSHIPS CO COMPANY Not applicable -

various sources.

Multiple pricing options apply. Managed assets: majority

are not publicly traded. Some may be thinly traded. Secondary market brokers evaluate price. Business appraisers use valuations/appraisal methodologies using a number of assumptions to create price. Non-managed assets: Pricing provided by various sources such as issuer, investment manager, fund accountant, client, etc. or default price if a price is not provided.

Variable. No primary or

secondary vendor

86 ALL PARTNERSHIPS NO NOT REGULARLY PRICED


Multiple pricing options apply. Managed assets: majority are not publicly traded. Some may be thinly traded. Secondary market brokers evaluate price. Business appraisers use valuations/appraisal methodologies using a number of assumptions to create price. Non-managed assets: Pricing provided by various sources such as issuer, investment manager, fund accountant, client, etc.

upon request


49

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

or default price if a price is not provided.

86 ALL PARTNERSHIPS TR TRADER-ENTERED PRICE


Multiple pricing options apply. Managed assets: majority are not publicly traded. Some may be thinly traded. Secondary market brokers evaluate price. Business appraisers use valuations/appraisal methodologies using

a number of assumptions to create price. Non-managed assets: Pricing provided by various sources such as issuer, investment manager, fund accountant, client, etc. or default price if a price is not provided.



87 ASSETS OF UNDETERMINED VALUE






88 OTHER ASSETS BR BROKER Not applicable. Manual method. NA NA

88 OTHER ASSETS CO COMPANY Not applicable - various sources.


Variable. No primary or secondary vendor

88 OTHER ASSETS NO NOT REGULARLY PRICED



upon request


88 OTHER ASSETS TR TRADER-ENTERED PRICE





89 RIGHT TO RECEIVE TR TRADER-ENTERED PRICE





90 CLOSED END FUNDS EQUITY



















90 CLOSED END FUNDS CO MANUAL METHOD Not applicable - Manual method. upon No primary or

50

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

EQUITY various sources. receipt or static pricing

secondary vendor

91 LIABILITIES-LOAN/MTG/CONTRACT






92 LIABILITIES - OTHER NO NOT REGULARLY PRICED



upon request


92 LIABILITIES - OTHER TR TRADER-ENTERED PRICE





93 PUT OPTION SHORT BR BROKER Not applicable. Manual method. NA NA

93 PUT OPTION SHORT CO COMPANY Not applicable - various sources.

Multiple pricing options apply. IDC and Pricing Direct pricing 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. Sources are reviewed on the basis

of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET). 2. Priced by evaluators with access to the market to determine equity spot and forward prices, equity volatilities and interest rate. Proprietary models are used for pricing vanilla and exotic products. A Black-76 model is used for pricing single-name and index equity vanilla options, and uses discrete dividends which are reflected in the forward price, and evaluators incorporate future market expectations for a given stock or stock index. Equity total return swaps pricing includes both asset and interest rate legs. The total return of the equity leg includes dividend accrual and capital accrual. Pricing 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 pricing 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.


93 PUT OPTION SHORT NO NOT REGULARLY PRICED


Pricing provided by various sources such as issuer, investment manager, client, etc. or default price if a

upon request


51

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

price is not provided. Thomson Reuters, submitted price

93 PUT OPTION SHORT PR FTID CORPORATE PRICING




93 PUT OPTION SHORT TR TRADER-ENTERED PRICE





94 CALL OPTION SHORT BR BROKER Not applicable. Manual method. NA NA

94 CALL OPTION SHORT CO COMPANY Not applicable - various sources.

Multiple pricing options apply. IDC and Pricing Direct pricing information only, no information available from Reuters. 1. Prices are received directly from the exchanges and report the last trade on any exchange for that day (composite price). 2. Priced by evaluators with access to the market to determine equity spot and forward prices, equity volatilities and interest rate. Proprietary models are used for pricing vanilla and exotic products. A Black-76 model is used for pricing single-name and index equity vanilla options, and uses discrete dividends which are reflected in the forward price, and evaluators incorporate future market expectations for a given stock or stock index. Equity total return swaps pricing includes both asset and interest rate legs. The total return of the equity leg includes dividend accrual and capital accrual. Pricing 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 pricing 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.


94 CALL OPTION SHORT NO NOT REGULARLY PRICED



upon request


94 CALL OPTION SHORT PR FTID CORPORATE PRICING


Prices are received directly from the exchanges and report the last trade on any exchange for that day (composite price).

Daily Bloomberg, Pricing Direct, Thomson Reuters,

52

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

submitted price

94 CALL OPTION SHORT TR TRADER-ENTERED PRICE





95 MARKETABLE CD PAYS PD INCOME



Multi-dimensional relational model and/or Option Adjusted Spread (OAS).























96 TIME DEP & MARKETABLE CDS



Multi-dimensional relational model and/or Option Adjusted Spread (OAS).




Manual method. Variable. Bloomberg, Pricing Direct, Thomson Reuters,

submitted price













53

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source


97 PRIVATE PLACEMENTS BR BROKER Not applicable. Manual method. NA NA

97 PRIVATE PLACEMENTS CB FTID CANADIAN BOND PRICING




97 PRIVATE PLACEMENTS CM FTID CMO PRICING Interactive Data (IDC)



97 PRIVATE PLACEMENTS CO COMPANY Not applicable - various sources.


97 PRIVATE PLACEMENTS IN EXTEL INTERNATIONAL




97 PRIVATE PLACEMENTS IQ FTID INSTITUTIONAL BOND QUOTES




97 PRIVATE PLACEMENTS KM JJ KENNY MUNICIPALS


Weekly IDC

97 PRIVATE PLACEMENTS NO NOT REGULARLY PRICED




97 PRIVATE PLACEMENTS PR FTID CORPORATE PRICING


Evaluated by obtaining feeds from a number of live data sources including active market makers and inter-dealer

brokers. Sources are reviewed on the basis of their historical accuracy for individual issues and maturity ranges. Evaluations are marked at 15: and 16: (ET).

Daily Bloomberg, Pricing Direct,


97 PRIVATE PLACEMENTS TR TRADER-ENTERED PRICE





99 WF COLLECTIVE FUNDS


Net asset value (NAV). For underlying information on the Wells Fargo Collective Funds, see the year-end financial statement for detailed pricing information,

Variable. No primary or secondary vendor

54

Asset Code

Asset Category

Price Code


Primary

Vendor Source

Pricing Methodology

Pricing

Frequency

Secondary Vendor

Source

available at the end of April each year.





upon request







* Stale, Un-Priced, or Hard-to-Value Assets: Wells Fargo makes reasonable efforts to obtain current prices for assets held within its clients’ accounts. If vendor pricing is not available, the most recent price will remain unless a manual request 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. ©2014 Wells Fargo Bank, N.A.

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