Fixed Income Analytics Report

Transcription

1 Fixed Income Analytics Report Prepared For: John Q Customer Presented By: Sample Report December 21, Page 1 of 18

2 Disclaimer Individual bonds subject to price change and availability. Yields, credit ratings & market value may fluctuate so that your bond investment, if sold prior to maturity, may be worth more or less than original cost. Diversification does not guarantee against a loss. As with all of your investments through Fidelity you must evaluate and confirm that your investments are consistent with your investment objectives, level of risk tolerance and financial situation. Fidelity and/or Fidelity Capital Markets is not recommending or endorsing any of these securities by making them available to its customers. Please note that the bond prices contained in this report, which are obtained from a third party evaluator, may be different from those prices that appear on your Fidelity statement or in your account on Fidelity.com. Clearing, custody or other brokerage services may be provided by National Financial Services LLC (''NFS''), or Fidelity Brokerage Services LLC (''FBS''), Members NYSE and SIPC. Fidelity Capital Markets is a division of NFS. Data and evaluations provided by Interactive Data Corp Securities Evaluations, Inc. IDC Securities Evaluations, Inc. is an independent company not affiliated with Fidelity Investments Page 2 of 18

3 Portfolio Summary Total Portfolio Summary Total Par Value $530, Total Accrued Interest $4, Total Market Value $567, No. of Items represented 24 Total Annual Income $20, Total Cash $6, Bonds held out of State 100% Bond below Investment Grade 0.00% Total Portfolio Averages Average Coupon 3.82% Average Maturity 6.26 Yrs Average Duration 5.11 Yrs Average Yield To Maturity 2.77% Average Yield To Worst 2.67% Average Price $ Average Rating(Moody's/S&P) AA3/A+ Securities not included in Portfolio Totals Total Par Value $0.00 Items Represented 0 Average Ratings only include rated securities. All averages are Par weighted Page 3 of 18

4 Portfolio Summary Portfolio Totals - Tax-Exempt Total Par Value $65, Total Accrued Interest $1, Total Market Value $69, No. of Items represented 4 Total Annual Income $2, Portfolio Averages - Tax-Exempt Average Coupon 4.18% Average Maturity 6.26 Yrs Average Duration 3.47 Yrs Average Yield To Maturity 2.79% Average Yield To Worst 2.04% Average Price $ Average Rating (Moody's/ S&P) AA2/AA Portfolio Totals - Taxable Total Par Value $465, Total Accrued Interest $3, Total Market Value $497, No. of Items represented 20 Total Annual Income $17, Portfolio Averages - Taxable Average Coupon 3.77% Average Maturity 6.26 Yrs Average Duration 5.33 Yrs Average Yield To Maturity 2.77% Average Yield To Worst 2.76% Average Price $ Average Rating (Moody's/ S&P) AA3/A+ Average Ratings only include rated securities. All averages are Par weighted Page 4 of 18

5 Holdings By Security Type Report Holdings By Security Type Position Market Value Par Value % of Total Par Corporates 13 $354, $320, % Agencies 0 $0.00 $ % Treasury 3 $63, $65, % CDs 4 $79, $80, % Muni-Tax Exempt 4 $69, $65, % Muni-Taxable 0 $0.00 $ % Others 0 $0.00 $ % Totals 24 $567, $530, % Holdings By Security Type ( 12.26%) - Muni-Tax Exempt ( 15.09%) - CDs ( 60.38%) - Corporates ( 12.26%) - Treasury Page 5 of 18

6 Credit Ratings Credit Rating Analysis Rating Moody's Par Value S&P Par Value TSY 12.26% $65, % $65, AGY 0.00% $ % $0.00 CD 15.09% $80, % $80, AAA/Aaa 2.83% $15, % $0.00 AA/Aa 17.92% $95, % $165, A/A 49.06% $260, % $220, BAA/BBB 0.00% $ % $0.00 Ba or lower/bb or lower 0.00% $ % $0.00 NA/NR 2.83% $15, % $0.00 Average Rating AA3. A+. Moody's Rating S&P Rating (2.83%) - NA/NR (12.26%) - TSY (12.26%) - TSY (15.09%) - CD (41.51%) - A/A (15.09%) - CD (49.06%) - A/A (2.83%) - AAA/Aaa (17.92%) - AA/Aa (31.13%) - AA/Aa Page 6 of 18

7 Portfolio Listing - Detailed Listing Client Portfolio - All Fixed Income Cusip Description Par State Moody's S&P Coupon Maturity Current Call Date/ YTW **YTM Current Duration Est Total Annual Acquisition Adjusted Gain/ Value Rating Rating Rate Date Market Call Price Yield Market Cash Date/Yield Cost Loss ($000s) H/U H/U % Price % % % Yrs Value Flow Basis Tax-Exempt Listing LE0 MARICOPA CNTY ARIZ UN 20 AZ AA2/ AA2 AA /01/ Non-Callable , HIGH SCH DIST NO 23410NBD6 DAKOTA CNTY MINN CMNTY 15 MN AAA/ AA /01/ /01/2020/ , DEV AGY AAA LW7 PHILADELPHIA PA GO BDS 15 PA A2/ A2 AA/ A /01/ /01/2019/ , SER. 2009A LT7 DALLAS TEX GO REF AND 15 TX AA /15/ /15/2025/ , IMPT BDS Tax-Exempt Listing Total ,863 2, Taxable Listing CDs 38147JA85 GOLDMAN SACHS BK USA /21/ Non-Callable , NY CD 38148JD65 GOLDMAN SACHS BK USA /19/ Non-Callable , NY CD 38147JL26 GOLDMAN SACHS BK USA /25/ Non-Callable , NY CD 87165ELD7 SYNCHRONY BK RETAIL CD /02/ Non-Callable , Corporates 24422ESF7 DEERE JOHN CAP CORP 25 A2 A /13/ Non-Callable , MTNS BE 06367TPX2 BANK OF MONTREAL NOTE 25 AA3 A /12/ Non-Callable , PAQ5 ENTERGY GULF STS LA LLC 20 A2 A /01/ /01/2020/ , BOND AL3 PHILIP MORRIS INTL INC 25 A2 A /15/ Callable , NOTE CG0 SIMON PROPERTY GROUP 25 A2 A /01/ /01/2021/ ,603 1, LP NOTE BOND BA7 ABBOTT LABS NOTE CALL 25 A2 A /15/ Callable , MAKE WHOLE 36966R6E1 GE CAPITAL INTERNOTES 25 A1 AA /15/ Non-Callable ,038 1, XBL8 ORACLE CORP NOTE CALL 25 A1 AA /15/ /15/2023/ , MAKE WHOLE AH8 BOEING CO BOND 25 A2 A /15/ Callable ,859 1, BD3 SHELL INTERNATIONAL FIN 25 AA2 A /11/ Callable , BV NOTE AM3 INTERNATIONAL BUSINESS 25 AA3 AA /30/ Callable ,008 1, MACHS BOND AE8 TRAVELERS PPTY CAS 25 A2 A /15/ Non-Callable ,150 1, CORP 71713UAT9 PHARMACIA CORP BOND 25 A1 AA /15/ Non-Callable ,038 1, ** Yields are based on current Market Yield. Bold - Hypothetical position Italics + Highlighted background color - More than 5% of holdings Page 7 of 18

8 Portfolio Listing - Detailed Listing Client Portfolio - All Fixed Income Cusip Description Par State Moody's S&P Coupon Maturity Current Call Date/ YTW **YTM Current Duration Est Total Annual Acquisition Adjusted Gain/ Value Rating Rating Rate Date Market Call Price Yield Market Cash Date/Yield Cost Loss ($000s) H/U H/U % Price % % % Yrs Value Flow Basis Treasury N22 UNITED STATES TREAS 20 AAA /15/ Callable , NOTE G87 UNITED STATES TREAS NTS 20 AAA /31/ Non-Callable , NOTE U24 UNITED STATES TREAS NTS 25 AAA /15/ Non-Callable , NOTE Taxable Listing Total ,692 17, Total ,555 20, ** Yields are based on current Market Yield. Bold - Hypothetical position Italics + Highlighted background color - More than 5% of holdings Page 8 of 18

9 Cash Flow Summary Income Distribution Graph $3,200 $2,800 $2,400 Cash Flow $2,000 $1,600 $1,200 $800 $400 $0 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Month * Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Tax-Exempt $600 $759 $0 $0 $0 $0 $600 $759 $0 $0 $0 $0 $2,718 Taxable $0 $1,251 $732 $2,914 $1,217 $2,772 $0 $1,247 $619 $2,914 $1,220 $2,775 $17,661 Total $600 $2,010 $732 $2,914 $1,217 $2,772 $600 $2,006 $619 $2,914 $1,220 $2,775 $20,379 Upcoming Cash Flow Table Payment Date Coupon Payment Principal Payment Total Cumulative 01/01/2017 $ $0.00 $ $ /01/2017 $2, $0.00 $2, $2, /01/2017 $ $0.00 $ $3, /01/2017 $2, $0.00 $2, $6, /01/2017 $1, $0.00 $1, $7, /01/2017 $2, $0.00 $2, $10, /01/2017 $ $0.00 $ $10, /01/2017 $2, $0.00 $2, $12, /01/2017 $ $0.00 $ $13, /01/2017 $2, $0.00 $2, $16, /01/2017 $1, $0.00 $1, $17, /01/2017 $2, $0.00 $2, $20, Graphical representation of interest payments, assuming semi annual payments. The report may or may not take into consideration an initial long or shortfirst coupon payment. The cash flows displayed above are only estimates. Your actual income and principal payments may be higher or lower than theseestimates. Estimates of income and principal payments should not be relied upon for making investment, trading or tax decisions Page 9 of 18

10 Cash Flow Summary Cash Flow Detailed Listing Cusip Par Value Description Coupon Maturity Jan 2017 Feb 2017 Mar 2017 Apr 2017 May 2017 Jun 2017 Jul 2017 Aug 2017 Sep 2017 Oct 2017 Nov 2017 Dec 2017 Tax-Exempt Listing 23410NBD6 15,000 DAKOTA CNTY MINN /01/ CMNTY DEV AGY LT7 15,000 DALLAS TEX GO REF /15/ AND IMPT BDS LE0 20,000 MARICOPA CNTY ARIZ /01/ UN HIGH SCH LW7 15,000 PHILADELPHIA PA GO /01/ BDS SER. 20 Total Tax-Exempt Monthly Income: CDs Taxable Listing 38147JA85 20,000 GOLDMAN SACHS BK /21/ USA NY CD 38147JL26 20,000 GOLDMAN SACHS BK /25/ USA NY CD 38148JD65 20,000 GOLDMAN SACHS BK /19/ USA NY CD 87165ELD7 20,000 SYNCHRONY BK /02/ Corporates RETAIL CD BA7 25,000 ABBOTT LABS NOTE /15/ CALL MAKE WHO 06367TPX2 25,000 BANK OF MONTREAL /12/ NOTE AH8 25,000 BOEING CO BOND /15/ ESF7 25,000 DEERE JOHN CAP /13/ CORP MTNS BE 29365PAQ5 20,000 ENTERGY GULF STS LA /01/ LLC BOND 36966R6E1 25,000 GE CAPITAL /15/ INTERNOTES AM3 25,000 INTERNATIONAL /30/ BUSINESS MACHS B 68389XBL8 25,000 ORACLE CORP NOTE /15/ CALL MAKE WHO 71713UAT9 25,000 PHARMACIA CORP /15/ BOND Page 10 of 18

11 Cash Flow Summary Cash Flow Detailed Listing Cusip Par Value Description Coupon Maturity Jan 2017 Feb 2017 Mar 2017 Apr 2017 May 2017 Jun 2017 Jul 2017 Aug 2017 Sep 2017 Oct 2017 Nov 2017 Dec AL3 25,000 PHILIP MORRIS INTL /15/ INC NOTE BD3 25,000 SHELL INTERNATIONAL /11/ FIN BV NOT CG0 25,000 SIMON PROPERTY /01/ GROUP LP NOTE B AE8 25,000 TRAVELERS PPTY CAS /15/ Treasury CORP G87 20,000 UNITED STATES TREAS /31/ NTS NOTE N22 20,000 UNITED STATES TREAS /15/ NOTE U24 25,000 UNITED STATES TREAS /15/ NTS NOTE Total Taxable Monthly Income: , , , , , , , , Total Monthly Income: , , , , , , , , Page 11 of 18

12 Maturity Schedule Average Maturity for Tax-Exempt 6.26 Average Maturity for Taxable 6.26 Average Maturity for the Total Portfolio 6.26 $100,000 $80,000 Par Amount $60,000 $40,000 $20,000 $ Year * Totals Tax-Exempt $0 $20,000 $0 $0 $15,000 $0 $0 $15,000 $0 $15,000 $65,000 Taxable $45,000 $45,000 $20,000 $90,000 $25,000 $50,000 $45,000 $50,000 $70,000 $25,000 $465,000 Total $45,000 $65,000 $20,000 $90,000 $40,000 $50,000 $45,000 $65,000 $70,000 $40,000 $530,000 MUNICIPAL TAXABLE Upcoming Maturing Bonds Cusip Description Quantity Date 24422ESF7 DEERE JOHN CAP CORP MTNS BE 25 12/13/ N22 UNITED STATES TREAS NOTE 20 12/15/ JA85 GOLDMAN SACHS BK USA NY CD 20 05/21/ LE0 MARICOPA CNTY ARIZ UN HIGH SCH 20 07/01/ TPX2 BANK OF MONTREAL NOTE 25 12/12/ PAQ5 ENTERGY GULF STS LA LLC BOND 20 10/01/ JD65 GOLDMAN SACHS BK USA NY CD 20 08/19/ AL3 PHILIP MORRIS INTL INC NOTE 25 11/15/ CG0 SIMON PROPERTY GROUP LP NOTE B 25 12/01/ G87 UNITED STATES TREAS NTS NOTE 20 12/31/2021 The principal maturity schedule reflects the effective maturity date and par value amount of each security in the portfolio, displayed on a yearly basis Page 12 of 18

13 Duration Profile Average Duration for Tax-Exempt 3.47 Average Duration for Taxable 5.33 Average Duration for the Total Portfolio % of Par Value Year MUNICIPAL TAXABLE * Tax-Exempt Taxable Page 13 of 18

14 Municipal Statistics - Pie Graphs State Exposure Municipal Issue Type 23.08% - MN 23.08% - PA 23.08% - TX 30.77% - AZ 23.08% - REVENUE BONDS 76.92% - GENERAL OBLIGATION UNLTD Municipal Source Insurer 23.08% - LIFECARE/RETIREMENT CENTERS 30.77% - PRIMARY/SECONDARY EDUCATION 46.15% - GENERAL PURPOSE/PUBLIC IMPT 23.08% - ASSD GUAR CORP 76.92% - NA Page 14 of 18

15 Federal Alternative Minimum Tax Federal Alternative Minimum Tax % - NON-AMT Page 15 of 18

16 Corporate Statistics Industry Sector Collateral Type 6.25% - ELECTRIC SERVICES 7.81% - AIRLINES 7.81% - FINANCE (BANK) 7.81% - OTHER INDUSTRIALS 7.81% - PETROLEUM 7.81% - TOBACCO 15.62% - BUSINESS MACHINES % - Senior 15.62% - CHEMICAL 23.45% - FINANCE (NON BANK) Page 16 of 18

17 Report Glossary Par Weighted Averages on Position Summary and Graphs, weighted by par amount of securities in portfolio. Portfolio Listing- Detailed Listing Par Value The face value of the security. Ratings Displays the rating or enhanced rating for the security. For Municipal and Corporate securities an underlying rating will be displayed if one exists. Description ETM -escrowed to maturity, P/R - Pre-refunded, C/R - cross-refunded, AMT - Alternative Minimum Tax, bond insurance. YTM/YTC Yield to Maturity and Yield to the Effective Call. Current Yield Percentage ratio of the annual coupon payment divided by the current market price. Est Tot Mkt Value Par Value of security multiplied by current market price. Cash Flow The months in which interest payments are paid. Assumes full annual payments of interest. This does not take into account long or short interest payments and maturing securities. Acquisition Date & Yield The purchase date and yield the security was originally acquired. Portfolio Summary Total Par Value The face value of the bonds in the portfolio. Total Market Value The sum of each security's market value multiplied by par value of the portfolio. Does not include accrued interest. Total Annual Income The sum of each security's coupon rate multiplied by its par value. Maturity Adj Cost Basis Adjusted Cost Basis is the purchase value of the bond using the constant yield method per the IRS code. Duration Duration estimates how much a bond's price fluctuates with changes in comparable interest rates. If rates rise 1.00%, for example, a bond or fund with a 5-year duration is likely to lose about 5.00% of its value. For a bond with known cash flows, duration is computed using all cash flows until the bond's maturity. The effective maturity date which reflects put dates, refunding dates for prerefunded securities, or the actual stated maturity date. Ratings Analysis The percentage of par or market weighted value of the Moody's and S&P rating for each security. Includes Mortgage Backed Securities. The Average Rating excludes Non-rated securities. State Exposure Percentage The percentage of par or market weighted value of the portfolio's state exposure. Current Market Yield Represents the minimum return to the investor assuming the ''price to date'' that produces the lowest calculated yield or ''yield to worst''. Other call features may exist which may also affect yield. Coupon Rate The percentage of par or market weighted value of the portfolio's coupon rates. Includes Mortgage Backed Securities Page 17 of 18

18 Report Glossary Coupon A bond's interest rate expressed as a percentage of its face value. Total Gain (Loss) The difference between total market value and the adjusted cost basis of all individual securities. Cash Reported uninvested current dollars. Graphical Summary Federal Alternative Minimum Tax The percentage par or market weighted value of the portfolio that is AMT and non- AMT. Upcoming Cash Flow Table A one-year actual cash flow including maturing principal and interest of each security. This text graph shows the current forward 12 months and will include any short or long coupon payments. Holdings by Security type Lists the product type in Par Value and Market Value by dollar and percentage amount of the total portfolio in text and graph format. Holdings by Security Type Others - Includes :Mortgage backs, Commercial paper, CDIPS, Structured CDs, CMOs, Fixed Rate Capitals, TBA, ABS, Muni VRDN, Structured Rate Products, International Bonds, Auction Rate securities,) Maturity Schedule The percentage of par or market weighted value of the portfolio reflecting the effective Less than Investment grade equals to Bonds less than BBB-/Baa3 maturity of each security. Cash Flow Summary A one-year expected cash flow from January to December without adjusting for long or short interest payments and any securities that may be called or that may be maturing during the one year time period. Annual Income The sum of each security's coupon rate multiplied by its par value for the current forward 12 months. Will include any short or long coupon payments. Duration Profile The percentage of par or market weighted value in duration years. Includes Mortgage Backed Securities. *Negative duration may occur on an MBS selling above par. The reason is that as interest rates decline, the prepayment rate of the underlying pool of mortgages accelerates, driving the price of the MBS towards par Page 18 of 18