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Scenario 2 (90% UAL Payment)
<br />Miscellaneous
<br />Safety
<br />Total
<br />Sources,
<br />80,000
<br />ParAmount
<br />234,905.000
<br />414,000.000
<br />648,905.000
<br />70,000
<br />Premium/(Discount)
<br />- -
<br />-
<br />Other Sources
<br />60,000
<br />Total Sources
<br />234,905.000
<br />414,000.000
<br />648,905.000
<br />50,000
<br />Uses,
<br />40,000
<br />FY22 Prepayment
<br />25,244.430
<br />29,101.640
<br />54,346.070
<br />POB Deposit
<br />208,599,536
<br />383,035,067
<br />591,634.604
<br />30,000
<br />Underwriter's Discount
<br />528.536 931.500
<br />1,460,036
<br />20,000
<br />Costs of Issuance
<br />528.536 931.500
<br />1,460.036
<br />Additional Proceeds
<br />3.961 0.293
<br />4.253
<br />10,000
<br />Total Uses
<br />234,905.000
<br />414,000.000
<br />648,905.000
<br />-
<br />Average Life
<br />12.7 years 13.5 years 13.2 years
<br />TIC
<br />2.843% 2.872% 2.862%
<br />All -in TIC
<br />2.864% 2.893% 2.883%
<br />UALSelection
<br />Amortization Base
<br />Miscellaneous
<br />Year
<br />Balances — 6/30/22
<br />Balances UAL Refunded UALRemaining
<br />Fresh Start
<br />2006
<br />(1,483.984)
<br />-
<br />(1,483.984)
<br />Benefit Change
<br />2007
<br />25,025.094
<br />-
<br />25,025.094
<br />Benefit Change
<br />2007
<br />119.441
<br />-
<br />119.441
<br />Assumption Change
<br />2009
<br />27,257.475
<br />-
<br />27,257.475
<br />Special (Gain)/Loss
<br />2009
<br />29,176.611
<br />(29,176.611)
<br />-
<br />Special (Gain)/Loss
<br />2010
<br />10,760.315
<br />(10,760.315)
<br />-
<br />Assumption Change
<br />2011
<br />12,363.217
<br />-
<br />12,363.217
<br />Special (Gain)/Loss
<br />2011
<br />(7,365.492)
<br />-
<br />(7,365.492)
<br />Payment (Gain)/Loss
<br />2012
<br />5,629.243
<br />(5,629.243)
<br />-
<br />(Gain)/Loss
<br />2012
<br />(264.2401
<br />-
<br />(264.240)
<br />(Gain)/Loss
<br />2013
<br />100,132.646
<br />(100,132.646)
<br />-
<br />Assumption Change
<br />2014
<br />43,507.182
<br />-
<br />43,507.182
<br />(Gain)/Loss
<br />2014
<br />(63,657.365)
<br />-
<br />(63,657.365)
<br />(Gain)/Loss
<br />2015
<br />32,663.590
<br />(32,663.590)
<br />-
<br />Assumption Change
<br />2016
<br />16,168.642
<br />-
<br />16,168.642
<br />(Gain)/Loss
<br />2016
<br />38,544.420
<br />-
<br />38,544.420
<br />Assumption Change
<br />2017
<br />13,911.421
<br />-
<br />13,911.421
<br />(Gain)/Loss
<br />2017
<br />(21,744.346)
<br />-
<br />(21,744.346)
<br />Method Change
<br />2018
<br />6,562.427
<br />(6,562.427)
<br />-
<br />Assumption Change
<br />2018
<br />31,746.753
<br />(31,746.753)
<br />-
<br />(Gain)/Loss
<br />2018
<br />(13,468.613)
<br />-
<br />(13,468.6131
<br />Al Significant Increase*
<br />2019
<br />141.851
<br />(141.851)
<br />-
<br />Non-Investment(Gain)/Loss
<br />2019
<br />2,974.088
<br />(1,755.142)
<br />1,218.946
<br />Investment(Gain)/Loss
<br />2019
<br />4,003.293
<br />(4,003.293)
<br />-
<br />Total
<br />292,703.672
<br />(222,571.872)
<br />70,131.800
<br />amp N N N ON N ... on M noroneo-0 VVa aVCOroyymOON O ON OONNOONO O ON o
<br />Debt Service Unrefunded UAL —Current UAL —FY22 UAL
<br />Amortization Base
<br />Year
<br />Balances
<br />UAL Refunded
<br />UAL Remaining
<br />Fresh Start
<br />2005
<br />(2,800.549)
<br />-
<br />(2,800.549)
<br />Benefit Change
<br />2006
<br />1,500,690
<br />(1,500.690)
<br />Assumption Change
<br />2009
<br />14,083.767
<br />(14,083.767)
<br />-
<br />Special (Gain)/Loss
<br />2009
<br />31,769.094
<br />(31,769.094)
<br />-
<br />Special(Gain)/Loss
<br />2010
<br />(11,745.462)
<br />-
<br />(11,745.462)
<br />Assumption Change
<br />2011
<br />15,355.805
<br />(15,355,805)
<br />-
<br />Special(Gain)/Loss
<br />2011
<br />(4,365.942)
<br />-
<br />(4,365.942)
<br />Payment(Gain)/Loss
<br />2012
<br />8,239.758
<br />(8,239.758)
<br />-
<br />(Gain)/Loss
<br />2012
<br />74,443.250
<br />(74,443.250)
<br />-
<br />(Gain)/Loss
<br />2013
<br />140,365.987
<br />(2,025.514)
<br />138,340.472
<br />Assumption Change
<br />2014
<br />52,003.240
<br />(52,003,240)
<br />-
<br />(Gain)/Loss
<br />2014
<br />(84,279.949)
<br />-
<br />(84,279.949)
<br />(Gain)/Loss
<br />2015
<br />59,805.689
<br />(59,805.689)
<br />-
<br />Assumption Change
<br />2016
<br />19,756.175
<br />(19,756.175)
<br />-
<br />(Gain)/Loss
<br />2016
<br />51,205.324
<br />(51,205.324)
<br />-
<br />Assumption Change
<br />2017
<br />23,218,574
<br />(23,218,574)
<br />-
<br />(Gain)/Loss
<br />2017
<br />(33,611.702)
<br />-
<br />(33,611.702)
<br />Method Change
<br />2018
<br />5,497.157
<br />(5,497.157)
<br />-
<br />Assumption Change
<br />2018
<br />40,053.249
<br />(40,053.249)
<br />-
<br />(Gain)/Loss
<br />2018
<br />(1,536.868)
<br />-
<br />(1,536.868)
<br />Non -Investment (Gain)/Loss
<br />2019
<br />5,058,705
<br />(5,058.705)
<br />-
<br />Investment(Gain)/Loss
<br />2019
<br />4,675,386
<br />(4,675.386)
<br />-
<br />Total 408,691.378 (408,691.378) 0.000
<br />For every scenario generated by our propriety POB model, BofA also applies stochastic simulations to gain a
<br />deeper understanding of the potential performance of a structure, while also incorporating the impact of
<br />investment return volatility. The probability of success for the two financing scenarios above are presented in
<br />the table below — importantly, this model is able to help the City assess how changes in the CalPERS discount
<br />rate would impact the performance metrics of a POB (e.g., the City could test an "expected annual return" of
<br />6.0% versus 7.0%).
<br />In an additional step to help our POB clients understand the risks/potential benefits associated with POBs, our
<br />model stress tests the POB structure given various investment returns following issuance. The table below shows
<br />the expected PV savings under four sample investment return assumptions — one of which is a negative 20%
<br />investment return "shock" in the first year following the POB issuance. As summarized below, each of Scenario
<br />1 (50%) and Scenario 2 (90%) still would provide a PV benefit if in the event of that first year loss if there were
<br />7% returns in subsequent years. To the extent the City would like to stress test or change investment return
<br />parameters, BofA would be able to quickly incorporate such feedback and generate tangible insights as we have
<br />done for the cities of Riverside, El Cajon, Gardena and Downey.
<br />BofA Stochastic Simulation Analysis and Stress Testing
<br />Expected Annual Return
<br />7.0%
<br />7.0%
<br />Annual Volatility
<br />12.0%
<br />12.0%
<br />Probability of Success (Simulation)
<br />85.80%
<br />86.10%
<br />Stress Tests
<br />PV Benefit
<br />% of Par
<br />PV Benefit
<br />% of Par
<br />Base: 7%Annual Returns
<br />$122,178,000
<br />34.0%
<br />$210,434,000
<br />32.4%
<br />Test 1: -20%Year 1, 7%Annual Returns
<br />$33,614,000
<br />9.4%
<br />$50,403,000
<br />7.8%
<br />Test 2: 6%Annual Returns
<br />$78,680,000
<br />21.9%
<br />$136,635,000
<br />21.1%
<br />Test3: 5%Annual Returns
<br />$44,866,000
<br />12.5%
<br />$79,500,000
<br />12.3%
<br />Page 11 BofA SECURITIES
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