| Attachment A |
| VANDERBILT FAMILY OFFICE INVESTMENT PORTFOLIO - NEW PORTFOLIO |
| | | | 31-Mar-19 | | | | Expected | Days to Liquidate or Close Out | | | | | | | | Expected | | | Projected |
| Description | | Quantity | Price | FX | US$ Value | | Yield | 1 | 2 | 5 | 10 | 30 | 60 | 180 | 360 | Yield | Volatility | Liquidity | VaR | Stress | Liquidity Metric | Notes | CONTAGION RISK ASSESSMENT |
| Fixed income |
| | Sovereign Q, EUR, 1,000,000, 31-Dec-2028, 1.5%, 360/360 | 3 | 102.12 | 1.09 | 3,341,228 | | 1.25% | 3.3 | | | | | | | | 1.25% | 0.75% | 1 | 0.30% | 3% | 1 day: up to USD 10mn 2 days: up to USD 20mn | Credit rating Aa2/AA | Contagion between market, credit and/or liquidity risk: Yes/No? Briefly state the rationale for your assessment |
| | Bank R, USD, 2,000,000, senior unsecured, 31-Dec-2023, 2.0%, 180/360 | 3 | 101.19 | 1.00 | 6,071,520 | | 1.75% | 1.0 | 4.0 | 1.1 | | | | | | 1.75% | 0.35% | 2 | 0.25% | 5% | 1 day: up to USD 1mn 2 days: up to USD 5mn 5 days: up to USD 10mn 10 days: up to USD 20mn | Credit rating A2/A | This bond has moderate yield and liquidity in modest amounts |
| | Bank S, USD, 5,000,000, Coco, 31-Dec-2037, 6%, 180/360 | 1 | 0.97 | 1.00 | 4,850,000 | | 6.25% | | | | 2.0 | 2.9 | | | | | | | | | 10 days: up to USD 2mn 30 days: up to USD 5mn | Credit rating Baa3/BBB- | This Coco bond has limited liquidity in modest amoounts but a very high yield |
| | Company T, CAD, 1,500,000, 31-Dec-2021, 2.75%, 360/360 | 5 | 0.96 | 1.39 | 5,166,367 | | 3.50% | | | 5.2 | | | | | | 3.50% | 2.65% | 5 | 0.65% | -10% | 5 days: up to USD 5mn 10 days: up to USD 15mn | Credit rating Ba1/BB+ | This high yield bond has reasonable liquidity in moderate amounts |
| | US Treasury, USD, 3,000,000, 0%, 31-Dec-2038 | 5 | 0.59 | 1.00 | 8,890,200 | | 2.65% | 5.0 | 3.9 | | | | | | | 2.65% | 0.55% | 1 | 0.15% | 2.5% | 1 day: up to USD 5Mn 2 days: up to USD 20mn | Credit rating Aaa/AA+ | This bond has good liquidity in large amounts and a moderate yield |
| | NJ State Transit Authority, USD, 1,000,000, 15-Jun-2024, 3%, 180/360 | 4 | 100.47 | 1.00 | 4,018,840 | | 2.75% | | 1.0 | 3.0 | | | | | | | | | | | 2 days: up to USD 1mn 5 days: up to USD 5mn 10 days: up to USD 10mn 30 days: up to USD 20mn | Credit rating A3/A- | This muni bond has a low yield compared to others with similar liquidity |
| | IL State GO, USD, 1,000,000, 3-Jan-2024, 5%, 180/360 | 4 | 1.10 | 1.00 | 4,398,400 | | 4.50% | | 1.0 | 3.4 | | | | | | | | | | | 2 days: up to USD 1mn 5 days: up to USD 5mn 10 days: up to USD 10mn 30 days: up to USD 20mn | Credit rating Baa1/A- | This muni bond's yield and liquidity in moderate amounts are typical of the sector |
| | MI Financial Authority, USD, 1,000,000, 1-Jun-2022, 5%, 180/360 | 4 | 1.08 | 1.00 | 4,304,400 | | 4.50% | | 1.0 | 3.3 | | | | | | | | | | | 2 days: up to USD 1mn 5 days: up to USD 5mn 10 days: up to USD 10mn 30 days: up to USD 20mn | Credit rating A- | This muni bond's yield and liquidity in moderate amounts are typical of the sector |
| Equities |
| | Company V, common stock, Nasdaq | 175,000 | 39.42 | 1.00 | 6,898,500 | | 0.00% | 5.0 | 1.9 | | | | | | | 0.00% | 22% | 1 | 4.25% | -15% | 1 day: up to USD 5Mn 2 days: up to USD 10mn 5 days up to USD 20 mn | | This stock has high growth potential and good liquidity but zero yield |
| | Company Y, common stock, TSX | 470,000 | 24.94 | 1.39 | 8,432,950 | | 1.50% | 1.0 | 1.0 | 6.4 | | | | | | 1.50% | 12% | 2 | 2.50% | -7.5% | 1 day: up to USD 1Mn 2 days: up to USD 2mn 5 days up to USD 10 mn 10 days: up to USD 15mn | | This stock has moderate yield and liquidity in moderate amounts |
| | Company X, common stock, Nikkei | 175,000 | 6,233 | 120.36 | 9,062,604 | | 2.50% | | | 5.0 | 4.1 | | | | | 2.50% | 34% | 4 | 6.75% | -15% | 5 days: up to USD 5Mn 10 days: up to USD 10mn | | This stock has a good yield and moderate liquidity in modest amounts |
| | Company W, common stock, Euronext | 125,000 | 46.30 | 1.09 | 6,311,848 | | 0.25% | | 5.0 | 1.3 | | | | | | 0.25% | 15% | 2 | 3.50% | -7.5% | 2 days: up to USD 5mn 5 days: up to USD 10mn 10 days up to USD 20mn | | This stock has a low yield but moderate liquidity in large amounts |
| Currencies | | | | | | | | | | | | | | | | | | | Shorts |
| | Sell EUR, Buy USD, 1.05, 31-Dec-2019 | 3,000,000 | 1.08 | 1.00 | (87,000) | | - | | | | | | | | | 0.50% | 2.75% | 1 | 1.25% | -5% | 1 day: up to USD 20mn |
| | Sell CAD, Buy USD, 1.35, 30-Jun-2019 | 5,000,000 | 1.38 | 1.00 | (130,000) | | - | | | | | | | | | 0.20% | 1.75% | 1 | 1.30% | -5% | 1 day: up to USD 20mn |
| Derivatives | | | | | | | | | | | | | | | | | | | Shorts |
| | Put, SPX, strike 1,800, 5-Jul-19 | 60 | 1,021.97 | 1.00 | (61,318) | | - | | | | | | | | | - | 66% | 1 | 8.30% | 30% | 1 day: up to USD 2mn |
| | Put, AEX, strike 395, 5-Jul-19 | 150 | 441.82 | 1.09 | (72,277) | | - | | | | | | | | | - | 28% | 1 | 6.95% | 25% | 1 day: up to USD 2mn |
| | Put, Nikkei 225, strike 15,000, 5-Jul-19 | 90 | 72,500.00 | 120.36 | (54,212) | | - | | | | | | | | | - | 32% | 1 | 5.75% | 25% | 1 day: up to USD 2mn |
| | Put, GSPTSE, strike 13,000, 5-Jul-19 | 125 | 764.54 | 1.39 | (68,754) | | - | | | | | | | | | | | | | | 1 day: up to USD 2mn |
| Commercial Real Estate |
| | Ownership of office tower located at 240 E Monroe in Chicago | 0.30 | 30,000,000 | 1.00 | 9,000,000 | | 4.75% | | | | | | | 9.0 | | | | | | | 180 days: up to USD 10mn 360 days up to USD 20mn | Can be sold in lots of USD 10mn | This CRE investment has a moderate yield but limited liquidity and represents only one portion of the commercial real estate sector |
| | Ownership of West Hills shopping mall in Pittsburgh | 0.11 | 45,000,000 | 1.00 | 5,000,000 | | 5.25% | | | | | | | 5.0 | | | | | | | 180 days up to USD 10mn | Can be bought in lots of USD 5mn | This CRE investment has average yield and liquidity and represents a different portion of the commercial real estate sector |
| | Ownership of luxury apartment building in Denver | 0.07 | 75,000,000 | 1.00 | 5,000,000 | | 5.85% | | | | | | | 5.0 | | | | | | | 180 days up to USD 10mn | Can be bought in lots of USD 5mn | This CRE investment has better than average yield and liquidity and represents a different portion of the commercial real estate sector |
| Hedge Funds |
| | Z Investment Advisors Macro Fund | 5,000,000 | 0.95 | 1.00 | 4,750,000 | | 3.75% | | | | | | 4.8 | | | | | | | | 60 days: up to USD 5mn | | This hedge fund has typical liquidity but not a very high yield |
| | Q Investment Advisors Value Fund | 3,000,000 | 1.02 | 1.00 | 3,060,000 | | 5.80% | | | | | | | 3.1 | | | | | | | 180 days: up to USD 10mn | | This hedge fund has average yield and liquidity for the sector |
| | R Investment Advisors CRE Fund | 2,000,000 | 1.00 | 1.00 | 2,000,000 | | 4.95% | | | | | | | 2.0 | | | | | | | 180 days: up to USD 10 mn | | This hedge fund adds CRE expsoure with average yield and liquidity for the sector |
| | | Total | | | 100,083,294 | | 3.17% | 15.3 | 18.8 | 28.7 | 6.1 | 2.9 | 4.8 | 24.1 | 0.0 | | | Total | ERROR:#REF! | ERROR:#REF! | 100.6 |
| | | | | | | | WAV Yield | | | | | | | | | | | | 15% diversification applied |
| | | | | | Projected cumulative liquidity | | | 15.3% | 34.1% | 62.8% | 68.8% | 71.7% | 76.4% | 100.5% | 100.5% |
| | INVESTMENTS TO CONSIDER | | | | | | | | YIELD & LIQUIDITY ANALYSIS |
| | | | 31-Mar-16 | | | | Expected | Days to Liquidate or Close Out | | | | | | | | Expected | | | Projected |
| Description | | Quantity | Price | FX | US$ Value | | Yield | 1 | 2 | 5 | 10 | 30 | 60 | 180 | 360 | Yield | Volatility | Liquidity | VaR | Stress | Liquidity Metric | Notes |
| Fixed income |
| Equities |
| Commercial Real Estate |
| Hedge Funds |
| | | Total | | | 290,837,134 | | 1.09% | 42.8 | 54.7 | 90.7 | 28.9 | 39.3 | 75.0 | 253.2 | 361.0 | | | Total | ERROR:#VALUE! | ERROR:#REF! | | 291,310,696 |
| | | | | | | | New WAVY | | | | | | | | | | | | 15% diversification applied |
| | | | | | New projected cumulative liquidity | | Old WAVY | 14.7% | 33.5% | 64.6% | 74.5% | 88.0% | 113.8% | 200.7% | 324.6% |
| | | | | | Existing projected cumulative liquidity | | 1.89% | 17.0% | 36.9% | 59.7% | 78.2% | 86.3% | 91.0% | 100.0% | 100.0% |
| | | | | | | | | - | - | + | - | - | - | = | = |
| | | | Rationale for acceptability of liquidity risk in new portfolio |
| | | | The liquidity profile of the new portfolio exceeds the family's requirement for at least 30% of the portfolio to be liquid in 2 days. |
Michelle_Michy
20191204003602interconnected_risk_calculation.xlsx
