afs best practices leadership council webinar series ......apr 09, 2020 · rate change 092519...

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AFS Best Practices Leadership Council Webinar Series Presents:LIBOR Update

April 9, 2020

©2020 Automated Financial Systems, Inc. All Rights Reserved. Confidential & Proprietary.

2April 9, 2020Vision to see the future...experience to get you there.

AFS Efforts During COVID-19

Federal Reserve and ARRC Progress

AFS Level III™ Screen Examples

AFSVision® Screen Examples

Delivery Timelines

Q&A

Agenda



Investments in our infrastructure have kept us going.

No interruptions in work effort and progress.

AFS continues to work on the LIBOR transition deliverables.

No anticipated changes to delivery dates or support.

AFS Efforts During COVID-19

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Federal Reserve Bank of New York is now publishing 30-, 90- and 180-day SOFR Averages and a SOFR Index. “Market participants should use them to create new SOFR-based contracts, instead of waiting for the development of a forward-looking term SOFR.”

ARRC is socializing the observation shift options in order to develop recommendations. Expecting feedback by May 15.

SOFR flirting with negative territory. ARRC is reviewing a recommended floor in order to be consistent with the ARRC Principles for Fallbacks.

UK Financial Conduct Authority (FCA) statement on coronavirus-related impacts on the transition, noting that “The central assumption that firms cannot rely on LIBOR being published after the end of 2021 has not changed and should remain the target date for all firms to meet.”


AFS Level III Screen Examples



AFS Level III Compound Rate Screen Example

Prime Schedule – 0138 Data Entered on the 1360 Screen

LOAN REQ: 0138 CURRENT PRIME RATE SCHEDULES 09/27/19 PAGE 0001 OF 0001 BANK: 05 AP: 1 OBGOR: 0000000765 OBGAT: 0000000075 DAVE SOFR DATE: 093019 CHG CODE: INVOICE/ITEM: PAGE: INTEREST CHG CODE: 100 FROM DT: 07-01-19 THRU : 99-99-99 PRIME : 00005 ANNV DT: 07-01-19 ALT CAL: N NO ALT REPST: N MOD BUS: N FLOOR : BREAKAGE: CHG DAY : 01 THRU SAME DAY D EXP IN: N / 00 CEILING: 99.99999 NBR MTHS : 005 ADJ TYPE: 5 COMP W OBSRVFACTOR1: 1 PLUS RELATION 1: RND IND : 1 ROUND UP FACTOR2: RELATION 2: RND PCT : 0.12500000

1. ADJ Type ‘5’ - Considers the observation shift. NOTE: The observation shift concept is still not yet been clearly defined by the ARRC. Currently the calculation uses the weight associated with the rate on the day the rate was actually published by the FED.

2. ADJ Type ‘6’ – Does not employ the observation shift. 3. The Number of Months field on the Prime Rate schedule will be used to denote Lookback Days.



AFS Level III Compound Rate Screen Example

0132 Interest Schedule Inquiry for Compounding the RateLOAN REQ: 0132 CURRENT INTEREST/FEE SCHEDULES 09/27/19 PAGE 0001 OF 0024BANK: 05 AP: 1 OBGOR: 0000000765 OBGAT: 0000000075 DAVE SOFR DATE: CHG CODE: INVOICE/ITEM: PAGE:

INTEREST CHG CODE: 100 FROM DT : 07-01-19 THRU: 07-01-19 MEMO : 0 POST G/L PO RATE : 2.39000000 BAL TYPE : 000 O/S BALANCE FM TIER : .00 EARN TYPE : 0 ALL BALANCE TO TIER : .00 BASIS : 4 ACT 360

TAX CODE : 0 NOT ENTERED INTEREST CHG CODE: 100 FROM DT : 07-02-19 THRU: 07-02-19 MEMO : 0 POST G/L PO RATE : 2.41013000 BAL TYPE : 000 O/S BALANCE FM TIER : .00 EARN TYPE : 0 ALL BALANCE TO TIER : .00 BASIS : 4 ACT 360

TAX CODE : 0 NOT ENTERED INTEREST CHG CODE: 100 FROM DT : 07-03-19 THRU: 07-04-19 MEMO : 0 POST G/L PO RATE : 1.21514000 BAL TYPE : 000 O/S BALANCE FM TIER : .00 EARN TYPE : 0 ALL BALANCE TO TIER : .00 BASIS : 4 ACT 360

1. You will see a new accrual schedule, which will reflect the new compounded rate every day.



AFS Level III Screen Example

Accrual Schedules – 0164 Transaction HistoryLOAN REQ: 0164 FINANCIAL TRANSACTION HISTORY PAGE 0001 OF 0006BANK: 05 AP: 1 OBGOR: 0000000765 OBGAT: 0000000075 DAVE SOFR DATE: CHG CODE: INVOICE/ITEM: PAGE: FORMAT: A (A/B/C/D) ROLLUP: (R) TRAN DESCRIPTION POST EFFECT CODE DATE DATE CHG DBID TRO RATE--OR--TRAN AMT BTCH

1350 NEW ACCRUAL 09-25-19 07-01-19 100 2.39000000 BASIS 4 0003502 DISBURSEMENT 09-25-19 07-01-19 001 MC061 100,000,000.00 DAL3502 DISBURSEMENT 09-25-19 07-01-19 001 MC060 100,000,000.00 DAL2307 STATUS CHANGE 09-27-19 07-01-19 000 00 STATUS FROM 0 TO 8 *A71350 NEW ACCRUAL 09-25-19 07-02-19 100 2.41013000 BASIS 4 0001350 NEW ACCRUAL 09-25-19 07-03-19 100 1.21514000 BASIS 4 0001350 NEW ACCRUAL 09-25-19 07-05-19 100 0.80680000 BASIS 4 0001350 NEW ACCRUAL 09-25-19 07-08-19 100 7.50197000 BASIS 4 0001350 NEW ACCRUAL 09-25-19 07-09-19 100 2.42114000 BASIS 4 0001350 NEW ACCRUAL 09-25-19 07-10-19 100 2.51132000 BASIS 4 0001350 NEW ACCRUAL 09-25-19 07-11-19 100 5.12312000 BASIS 4 0001350 NEW ACCRUAL 09-25-19 07-12-19 100 2.59193000 BASIS 4 0001350 NEW ACCRUAL 09-25-19 07-15-19 100 2.48238000 BASIS 4 0004042 CURR PRIN PYMNT 09-25-19 07-15-19 001 MC061 10,000,000.00- DAL4042 CURR PRIN PYMNT 09-25-19 07-15-19 001 MC151 10,000,000.00- DAL4042 CURR PRIN PYMNT 09-25-19 07-15-19 001 MC524 10,000,000.00- DAL

Note: The rate is changing every day for compounding the rate calculation.



New Field on Interest Header – First Compound Reset DateLOAN REQ: 0566 OBLIGATION DBFR 09/27/19 PAGE 0003 OF 0010 BANK: 05 AP: 1 OBGOR: 0000000765 OBGAT: 0000000075 DAVE SOFR DATE: CHG CODE: INVOICE/ITEM: PAGE: RETURN : ENTER R TO RETURN RECORD CODE: 350 SEGMENT: 2 BUCKET: 00 DBID: PE INTEREST HDR

DBID DESCRIPTION FIELD VALUE PE116 BALANCE FREQ CODE PE117 BALANCE INCREMENT 000 PE119 BALANCE PERCENT LIMIT 00000000000 PE120 BALANCE INDICATOR PE121 REPO INDICATOR PE122 BANKRUPT INDICATOR PE123 CHARGE OFF INDICATOR PE124 PAYOFF INDICATOR PE125 SPLIT RESERVE PERCENT 00000000000 PE126 NEXT REPRICE DATE 1190930 PE130 FIRST COMPOUND RESET DATE 1190801 PE440 INTEREST METHOD DEFERRED 000000000000000 PE450 INTEREST WAIVED MTD 000000000000000 PE460 INTEREST WAIVED YTD 000000000000000

This field is not displayed on the Prime schedule, it is set behind the scenes and is used for calculating the dates needed for rate reset. It is available on the 0566 screen and the relational download.




New Field on Prime Schedule – Computed First Reset Date

LOAN REQ: 0566 OBLIGATION DBFR 09/27/19 PAGE 0002 OF 0002 BANK: 05 AP: 1 OBGOR: 0000000765 OBGAT: 0000000075 DAVE SOFR DATE: CHG CODE: INVOICE/ITEM: PAGE: RETURN : ENTER R TO RETURN RECORD CODE: 352 SEGMENT: 4 BUCKET: 01 DBID: RK PRIME SCHEDULE

DBID DESCRIPTION FIELD VALUE RK130 PRIME SCHEDULE VAR RATE NO OF MONTHS 005 RK140 PRIME SCHEDULE VAR RATE TYPE 5 RK150 PRIME SCHEDULE VAR RATE ROUND PERCENT 00012500000 RK160 PRIME SCHEDULE VAR RATE ROUND INDICATOR 1 RK170 PRIME SCHEDULE ALTERNATE CALENDAR INDIC N RK180 PRIME SCHED REPOSITION IND N RK190 PRIME SCHED MOD BUS IND N RK200 PRIME SCHED BREAKAGE IND RK202 PRIME SCHEDULE RATE EXPIRATION IND N RK204 PRIME SCHEDULE RATE EXPIRATION DAYS 00 RK206 PRIME COMP 1ST RESET DT 1190801

This field is not displayed on the Prime schedule, it is set behind the scenes and is used for calculating the dates needed for rate reset. It is available on the 0566 screen and the relational download.




SERV UNIT 00000 OFFICE 00000-11 LOAN INTEREST AND PRINCIPAL BILL CUSTOMER NUMBER 00-0000076-5 OBLN TYPE 051 DATE 09-26-19 PAGE 1 ------------------------------------------------------------------------------------------------------------------------------------

TRANSACTION POST EFFECT NUMBER OBLIGATION ACCRUAL RUNNING AMOUNT DESCRIPTION DATE DATE DAYS ACTIVITY RATE BALANCE DUE

------------------------------------------------------------------------------------------------------------------------------------

OBLIGATION NUMBER 000-00-0007-5 CURRENT PRIN CHARGE CODE 001*** LAST BILLING DATE IS 09-25-19. LAST DUE DATE IS 08-01-19. STARTING BALANCE 90,000,000.00 PAST DUE 24,719.48 CHARGES THIS PERIOD 49,290.58

TOTAL DUE 74,010.06 INTEREST 100***IS ACCRUING ON CURRENT PRINCIPAL BALANCE. LAST BILLING DATE IS 09-25-19. LAST DUE DATE IS 08-01-19. LAST ACCRUAL DATE IS 08-01-19 PAID YEAR TO DATE IS .00 MARGIN 1 + 0.00000 MARGIN 2 + 0.00000 LOOKBACK DAYS 5 STARTING BALANCE 90,000,000.00 RATE CHANGE 092519 080119 2.42000 2.42000RATE CHANGE 092519 080219 2.41000 2.41013RATE CHANGE 092519 080519 2.40000 2.40062RATE CHANGE 092519 080619 2.39000 2.39080RATE CHANGE 092519 080719 2.55000 2.55100RATE CHANGE 092519 080819 2.19000 2.19100RATE CHANGE 092519 080919 2.19000 2.19114RATE CHANGE 092519 081219 2.13000 2.13152RATE CHANGE 092519 081319 2.11000 2.11162

AFS Level III Compounded Rate Invoice Screen Example



INTEREST 100***IS ACCRUING ON CURRENT PRINCIPAL BALANCE. LAST BILLING DATE IS 09-25-19. LAST DUE DATE IS 08-01-19. LAST ACCRUAL DATE IS 08-01-19 PAID YEAR TO DATE IS .00 MARGIN 1 + 0.00000 MARGIN 2 + 0.00000 LOOKBACK DAYS 5RATE CHANGE 092519 081419 2.10000 2.10172 RATE CHANGE 092519 081519 2.09000 2.09185 RATE CHANGE 092519 081619 2.11000 2.11198 RATE CHANGE 092519 081919 2.12000 2.12238 RATE CHANGE 092519 082019 2.16000 2.16256 RATE CHANGE 092519 082119 2.13000 2.13264 RATE CHANGE 092519 082219 2.18000 2.18282 RATE CHANGE 092519 082319 2.13000 2.13289 RATE CHANGE 092519 082619 2.11000 2.11324 RATE CHANGE 092519 082719 2.13000 2.13340 RATE CHANGE 092519 082819 2.10000 2.10344 RATE CHANGE 092519 082919 2.09000 2.09358 RATE CHANGE 092519 083019 2.10000 3.15558 PAST DUE 200,280.52 CHARGES THIS PERIOD 000001 2.42000 6,050.00 CHARGES THIS PERIOD 000003 2.41013 18,075.97 CHARGES THIS PERIOD 000001 2.40062 6,001.55 CHARGES THIS PERIOD 000001 2.39080 5,977.00 CHARGES THIS PERIOD 000001 2.55100 6,377.50 CHARGES THIS PERIOD 000001 2.19100 5,477.50 CHARGES THIS PERIOD 000003 2.19114 16,433.55 CHARGES THIS PERIOD 000001 2.13152 5,328.80




OBLIGATION NUMBER 000-00-0007-5 INTEREST 100***IS ACCRUING ON CURRENT PRINCIPAL BALANCE. LAST BILLING DATE IS 09-25-19. LAST DUE DATE IS 08-01-19. LAST ACCRUAL DATE IS 08-01-19 PAID YEAR TO DATE IS .00 MARGIN 1 + 0.00000 MARGIN 2 + 0.00000 LOOKBACK DAYS 5 CHARGES THIS PERIOD 000001 2.11162 5,279.05 CHARGES THIS PERIOD 000001 2.10172 5,254.30 CHARGES THIS PERIOD 000001 2.09185 5,229.63 CHARGES THIS PERIOD 000003 2.11198 15,839.85 CHARGES THIS PERIOD 000001 2.12238 5,305.95 CHARGES THIS PERIOD 000001 2.16256 5,406.40 CHARGES THIS PERIOD 000001 2.13264 5,331.60 CHARGES THIS PERIOD 000001 2.18282 5,457.05 CHARGES THIS PERIOD 000003 2.13289 15,996.67 CHARGES THIS PERIOD 000001 2.11324 5,283.10 CHARGES THIS PERIOD 000001 2.13340 5,333.50 CHARGES THIS PERIOD 000001 2.10344 5,258.60 CHARGES THIS PERIOD 000001 2.09358 5,233.95 CHARGES THIS PERIOD 000002 3.15558 15,777.90

TOTAL DUE 375,989.94 OBLIGATION TOTAL DUE 450,000.00

11




BRANCH TELEPHONE NUMBER 610-555-1212 /1001 PLEASE DETACH AND RETURN THIS PORTION OF BILL WITH PAYMENT

BANK 05 - 8.3.1 CRE PROD CL BANK SERV UNIT 00000

OFFICE 00000-11 LOAN INTEREST AND PRINCIPAL BILL TO AVOID ADDITIONAL CHARGES PLEASE FORWARD PAYMENT TO: JMTESTA CASE #40573 PAYMENT MUST BE MADE BY 132 MOUNTAIN DEW DRIVE DUE DATE 09-01-19 EXTON, PA 19341

DAVE SOFR PRINCIPAL DUE 74,010.06 INTEREST/FEE DUE 375,989.94

TOTAL AMOUNT DUE 450,000.00

00000000765 4500 000000045000000 11910002113 11

AFS Level III Compound Balance Screen Example




0132 Interest Schedule Inquiry for Compounding the Balance

LOAN REQ: 0132 CURRENT INTEREST/FEE SCHEDULES 09/27/19 PAGE 0001 OF 0024BANK: 05 AP: 1 OBGOR: 0000000765 OBGAT: 0000000083 DAVE SOFR DATE: CHG CODE: INVOICE/ITEM: PAGE:

INTEREST CHG CODE: 100 FROM DT : 07-01-19 THRU: 07-01-19 MEMO : 0 POST G/L PO RATE : 2.39000000 BAL TYPE : 010 O/S BALANCE FM TIER : .00 EARN TYPE : 0 ALL BALANCE TO TIER : .00 BASIS : 4 ACT 360

TAX CODE : 0 NOT ENTERED

1. If you are using the Compounding the Balance calculation you will need to enter a balance type 010 on the 1350 create screen.




Prime Schedule – 0138 Data Entered on the 1360 Screen

LOAN REQ: 0138 CURRENT PRIME RATE SCHEDULES 09/27/19 PAGE 0001 OF 0001 BANK: 05 AP: 1 OBGOR: 0000000765 OBGAT: 0000000075 DAVE SOFR DATE: 093019 CHG CODE: INVOICE/ITEM: PAGE: INTEREST CHG CODE: 100 FROM DT: 07-01-19 THRU : 99-99-99 PRIME : 00005 ANNV DT: 07-01-19 ALT CAL: N NO ALT REPST: N MOD BUS: N FLOOR : BREAKAGE: CHG DAY : 01 THRU SAME DAY D EXP IN: N / 00 CEILING: 99.99999 NBR MTHS : 005 ADJ TYPE:FACTOR1: 1 PLUS RELATION 1: RND IND : 1 ROUND UP FACTOR2: RELATION 2: RND PCT : 0.12500000



LOAN INTEREST AND PRINCIPAL BILLCUSTOMER NUMBER 00-0000100-3 OBLN TYPE 051 DATE 06-16-15 PAGE 1-------------------------------------------------------------------------------------------------------------------------------

-----TRANSACTION POST EFFECT NUMBER OBLIGATION ACCRUAL RUNNING AMOUNTDESCRIPTION DATE DATE DAYS ACTIVITY RATE BALANCE DUE

------------------------------------------------------------------------------------------------------------------------------------

OBLIGATION NUMBER 000-00-0003-40 CURRENT PRIN CHARGE CODE 001***

LAST BILLING DATE IS 05-26-15. LAST DUE DATE IS 05-26-15.STARTING BALANCE .00DISBURSEMENT 052615 052615 10,000,000.00 10,000,000.00CURR PRIN PYMNT 060815 060815 2,000,000.00- 8,000,000.00CURR PRIN PYMNT 061115 060915 9,000.00- 7,991,000.00ADVANCE PRINC 061515 061015 20,000.00 8,011,000.00CHARGES THIS PERIOD .00

0 TOTAL DUE .000 INTEREST 100***IS ACCRUING ON COMPOUNDED BALANCE.

LAST BILLING DATE IS 05-26-15. LAST DUE DATE IS 05-26-15. LAST ACCRUAL DATE IS 05-26-15PAID YEAR TO DATE IS 1,981.24STARTING BALANCE .00DISBURSEMENT 052615 052615 10,000,000.00 10,000,000.00RATE CHANGE 052815 052615 2.40000 10,000,000.00CURR INT PAYMNT 052715 052715 100.00RATE CHANGE 052915 052815 2.43000 10,000,000.00RATE CHANGE 060115 052915 2.65000 10,000,000.00

AFS Level III Compounded Balance Invoice Screen Example



TRANSACTION POST EFFECT NUMBER OBLIGATION ACCRUAL RUNNING AMOUNTDESCRIPTION DATE DATE DAYS ACTIVITY RATE BALANCE DUE

CURR INT PAYMNT 052915 053115 80.00RATE CHANGE 060315 060115 2.46000 10,000,000.00RATE CHANGE 060415 060315 2.47000 10,000,000.00RATE CHANGE 060915 060415 2.46000 10,000,000.00CURR INT PAYMNT 060815 060815 1,801.24CURR PRIN PYMNT 060815 060815 2,000,000.00- 8,000,000.00CURR PRIN PYMNT 061115 060915 9,000.00- 7,991,000.00RATE CHANGE 061115 060915 2.45000 7,991,000.00ADVANCE PRINC 061515 061015 20,000.00 8,011,000.00RATE CHANGE 061515 061115 2.44000 8,011,000.00RATE CHANGE 061515 061515 2.47000 8,011,000.00CREDIT .00 1,981.24-CHARGES THIS PERIOD 000001 10,000,000.00 2.40000 666.67CHARGES THIS PERIOD 000001 10,000,566.67 2.40000 666.70CHARGES THIS PERIOD 000001 10,001,233.37 2.43000 675.08CHARGES THIS PERIOD 000002 10,001,908.45 2.65000 1,472.50CHARGES THIS PERIOD 000000 10,001,828.45 2.65000 .00




CHARGES THIS PERIOD 000001 10,004,037.20 2.46000 683.61CHARGES THIS PERIOD 000001 10,004,720.81 2.46000 683.66CHARGES THIS PERIOD 000001 10,005,404.47 2.47000 686.48CHARGES THIS PERIOD 000001 10,006,090.95 2.46000 683.75CHARGES THIS PERIOD 000003 10,006,774.70 2.46000 2,051.40CHARGES THIS PERIOD 000001 8,007,024.86 2.46000 547.15CHARGES THIS PERIOD 000001 7,998,572.01 2.45000 544.35

1 CRE2 - BANK 05 - PROGRAMMER'S BANK0SERV UNIT 005100OFFICE 00510-11 LOAN INTEREST AND PRINCIPAL BILLCUSTOMER NUMBER 00-0000100-3 OBLN TYPE 051 DATE 06-16-15 PAGE 2-------------------------------------------------------------------------------------------------------------------------------

-----TRANSACTION POST EFFECT NUMBER OBLIGATION ACCRUAL RUNNING AMOUNTDESCRIPTION DATE DATE DAYS ACTIVITY RATE BALANCE DUE

------------------------------------------------------------------------------------------------------------------------------------

OBLIGATION NUMBER 000-00-0003-40 INTEREST 100***IS ACCRUING ON COMPOUNDED BALANCE.

LAST BILLING DATE IS 05-26-15. LAST DUE DATE IS 05-26-15. LAST ACCRUAL DATE IS 05-26-15PAID YEAR TO DATE IS 1,981.24CHARGES THIS PERIOD 000001 8,019,116.36 2.45000 545.75CHARGES THIS PERIOD 000001 8,019,662.11 2.44000 543.55CHARGES THIS PERIOD 000003 8,020,205.66 2.44000 1,630.77CHARGES THIS PERIOD 000001 8,021,836.43 2.47000 550.39CHARGES THIS PERIOD 000001 8,022,386.82 2.47000 550.42CHARGES THIS PERIOD 000001 8,022,937.24 2.47000 550.46CHARGES THIS PERIOD 000004 8,023,487.70 2.47000 2,202.00




CHARGES THIS PERIOD 000001 8,025,689.70 2.47000 550.65CHARGES THIS PERIOD 000001 8,026,240.35 2.47000 550.69CHARGES THIS PERIOD 000001 8,026,791.04 2.47000 550.73CHARGES THIS PERIOD 000001 8,027,341.77 2.47000 550.76

0 TOTAL DUE 16,156.280 OBLIGATION TOTAL DUE 16,156.28


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Screen Examples



AFSVision Development Examples

Individual elements for compounded rate calculation added and also exportable in

Excel and in a Printable Inquiry format as a pdf.



AFSVision Development Examples

Indicator to identify any Fallback

Language on the loan.



AFS Progress: AFSVision Examples

Fields to track the Spread Adjustment.

New Fields to record the Compounding

Reset Date.

New Field for Lookback Days.



AFS Progress: AFSVision Sample Printable Inquiry



AFSVision SOFR Compounded in Arrears: Synd Interest Payment Notice



AFSVision SOFR Compounded in Arrears: Synd Repricing Notice



The following fields will be included in the billing XML file:SOFR Published RateEffective RateCumulative Compounded RateNon-Cumulative Compounded RateAnnualized Daily RateSpread AdjustmentCompounding Reset DateLookback Days

AFSVision Additional Fields to the Billing XML File

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Next Steps and Code Completion



Keep an eye out for the next issue of the AFS LIBOR Transition Newsletter.Compounding in Arrears (rate method) examples for next webinar. AFS will be contacting each client to determine plans for taking code updates:

Require AFS assistance with code updates?

One delivery or two?

Next Steps and Code Completion

Code AvailabilityDevelopment AFS Level III Date AFSVision Date

New Fields for Compounding in Arrears June 30, 2020 July 31, 2020

Updates to Statements and Syndication Notices for Compounding in Arrears June 30, 2020 July 31, 2020

Compounding Interest in Arrears – Compounding the Rate Calculation June 30, 2020 July 31, 2020

Compounding Interest in Arrears – Compounding the Balance Calculation August 31, 2020 Target end of 3Q2020

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Questions & Answers

afs best practices leadership council webinar series ......apr 09, 2020 · rate change 092519...

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