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City of Santa Ana <br />Pension Obligation Bonds <br />Scenario 1 - Base Case <br />Amounts in $0005 <br />Simulation Analysis <br />Assumptions <br />Expected Annual Return 7.000% <br />Annual Volatility 12.000% <br />Results <br />Probability of Success <br />Average Presrnt Valuc Acncfit <br />Percentiles <br />PS <br />1125 <br />PS0 <br />P7S <br />P9S <br />rno u <br /><amri <br />nro n <br />011 ❑ <br />I ou <br />) <br />(isc� of <br />8S.80% <br />121,3312(;3 Discuuntr:d at Actuarial Discount Rate. <br />(34,036.600) (5% of outcomes less than) <br />26,S32.388 (25% of outcomes less than) <br />RR,A42.07R (Median) <br />171,A9,A. S73 (25% of outrnmes greater That)) <br />387,844.617 (51Y. of outcomes greater than) <br />"IPAuIA w! I M,(ORpI fll o Nv vv 6[ m I l li <br />Base Case Stress Test 1 Stress Test 2 Stress Test 3 <br />20% in First Year, <br />7%Annual Returns 7%After 6%Annual Returns 5%Annual Returns <br />PV Benefit <br />122,177.961 122,177.961 <br />122,177.961 <br />122,177.961 <br />PV futwe UALs due to Act Losses <br />- (88,S63.780) <br />(43,497.983) <br />(77,312.069) <br />Net PV Benefit <br />122,177.961 33,614.181 <br />78,679.978 <br />44,865.893 <br />Net PV Benefit I% of Par Amount) <br />34.0% <br />9.4% <br />21.9% <br />12.5% <br />City Council <br />23 — 149 <br />5/18/2021 <br />BofA Securities - Preliminary Analysis 3/10/2021 Page 14 of 18 <br />