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Investment Report 09-30-2022City of Chanhassen Analysis Date:10/27/2022 Portfolio as of:9/30/2022 Market Data as of:9/30/2022 Reid Christianson (612) 667-8919 reid.r.christianson@wellsfargo.com Confidential-For Discussion and General Information Purposes Only Table of Contents Portfolio Detail Page Product Detail Page Portfolio Summary 3 Treasury, Agency, & SSA - Summary 18 Cash Flow Report 4 Money Market Sector - Summary 19 Historical Performance 6 Brokered CD - Summary 20 Duration Contribution 7 Municipal - Summary 21 Projected Call Report 8 CMBS & SBA - Summary 22 Credit Rating Monitor 9 MMF Historical Performance 23 Positions by Sector 11 MMF Fund Profiles 25 Positions by Maturity 13 Positions by Maturity - Scenario Analysis 15 2 Portfolio Summary Portfolio Snapshot Coupon Structure Sector Allocation Number of Positions 72 Par ($000)34,910 Book Value ($000)35,226 Mkt Value w/o Accrd ($000)33,590 Unrlzed Gain / Loss ($000)(1,636) Coupon 2.52 Book Yield 2.20 Market Yield 3.91 Wgt Avg Maturity 2.5 Average Life 2.1 Effective Duration 1.8 Effective Convexity 0.1 Overnight Funds Principal 8,073 Overnight Funds Interest 1 Term Securities Principal 7,570 Term Securities Interest 567 Total Cash Flow 16,211 A-1+/A-1/P-1 A-2 / P-2 A-3 / P-3 Not Prime NA Short Term Rating 14% 32% 1% 53% 31% 17% 1% 51% AAA / Aaa AA / Aa A BBB / Baa Below IG NA Long Term Rating *Cash Flow Projections Chart -1 Year Cash flow does not include O/N Cash Flow or Run Off Yield Fixed 100.0% Agency 16.5% Certificate of Deposit 16.0% CMBS 4.7% MMF 22.9% Municipal 37.7% Treasury 2.1% 2.93 1.51 1.84 0.92 2.28 0.90 1.90 1.64 2.85 2.85 1.89 2.04 2.55 1.96 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 0 1,000,000 2,000,000 3,000,000 4,000,000 5,000,000 6,000,000 7,000,000 8,000,000 9,000,000 O/N Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 Month 7 Month 8 Month 9 Month 10 Month 11 Month 12 1 Year 2 Years 3 Years >3 Years Interest Call Maturity Run Off Yield Credit Exposure Cash Flow Projections* Portfolio Snapshot Coupon Structure Portfolio Allocation Characteristics 12M Projected Cash Flow ($000)S&P Moody's Portfolio Analysis 3 Cash Flow Projections Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) O/N 647 0 8,072,925 2.93 8,073,572 8,073,572 Oct-22 31,979 0 849,000 1.51 880,979 8,954,551 Nov-22 17,392 0 0 0.00 17,392 8,971,943 Dec-22 70,404 0 3,120,000 1.84 3,190,404 12,162,348 Jan-23 26,901 0 250,000 0.92 276,901 12,439,249 Feb-23 114,347 0 1,160,000 2.28 1,274,347 13,713,596 Mar-23 58,445 0 0 0.00 58,445 13,772,041 Apr-23 27,035 0 495,000 0.90 522,035 14,294,077 May-23 17,276 0 250,000 1.90 267,276 14,561,353 Jun-23 14,827 0 0 0.00 14,827 14,576,179 Jul-23 33,869 0 491,000 1.64 524,869 15,101,048 Aug-23 99,046 0 750,000 2.85 849,046 15,950,094 Year 1 Sep-23 55,794 0 205,000 2.85 260,794 16,210,887 Oct-23 26,168 0 1,245,000 1.83 1,271,168 17,482,056 Nov-23 13,642 0 0 0.00 13,642 17,495,698 Dec-23 14,711 0 0 0.00 14,711 17,510,408 Jan-24 22,634 0 0 0.00 22,634 17,533,042 Feb-24 98,518 0 895,000 2.19 993,518 18,526,561 Mar-24 52,102 0 300,000 1.70 352,102 18,878,663 Apr-24 16,447 0 0 0.00 16,447 18,895,110 May-24 13,526 0 0 0.00 13,526 18,908,636 Jun-24 14,827 0 500,457 1.73 515,284 19,423,920 Jul-24 22,539 0 494,459 3.21 516,998 19,940,918 Aug-24 82,400 0 2,732,461 1.73 2,814,861 22,755,779 Year 2 Sep-24 48,666 0 245,463 4.05 294,129 23,049,908 Oct-24 15,661 0 464 2.33 16,126 23,066,034 Nov-24 12,971 0 466 2.33 13,437 23,079,471 Dec-24 15,874 0 500,468 2.22 516,342 23,595,813 Jan-25 18,041 0 470 2.33 18,510 23,614,323 Feb-25 60,967 0 400,471 2.05 461,438 24,075,761 Mar-25 37,800 0 249,473 3.57 287,273 24,363,034 Apr-25 15,032 0 475 2.33 15,507 24,378,541 May-25 12,151 0 492,477 2.92 504,628 24,883,169 Jun-25 12,469 0 479 2.33 12,948 24,896,117 Jul-25 17,203 0 990,480 2.41 1,007,683 25,903,800 Aug-25 55,167 0 1,435,482 2.35 1,490,650 27,394,449 Year 3 Sep-25 36,796 0 1,590,484 2.72 1,627,280 29,021,729 Portfolio Analysis 4 Cash Flow Projections - Continued Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) Oct-25 13,459 0 486 2.33 13,945 29,035,674 Nov-25 3,573 0 488 2.33 4,060 29,039,734 Dec-25 10,896 0 490 2.33 11,386 29,051,120 Jan-26 3,570 0 491 2.33 4,061 29,055,181 Feb-26 42,170 0 150,493 0.95 192,663 29,247,844 Mar-26 18,434 0 495 2.33 18,929 29,266,773 Apr-26 13,565 0 497 2.33 14,062 29,280,836 May-26 3,449 0 499 2.33 3,948 29,284,784 Jun-26 11,002 0 501 2.33 11,503 29,296,287 Jul-26 3,446 0 503 2.33 3,949 29,300,236 Aug-26 41,252 0 300,505 1.40 341,756 29,641,992 Year 4 Sep-26 18,770 0 500,506 3.14 519,277 30,161,269 Oct-26 13,442 0 508 2.33 13,950 30,175,219 Nov-26 3,555 0 510 2.33 4,065 30,179,284 Dec-26 10,879 0 512 2.33 11,391 30,190,676 Jan-27 3,552 0 514 2.33 4,066 30,194,742 Feb-27 39,293 0 225,516 1.12 264,809 30,459,551 Mar-27 10,168 0 500,518 0.80 510,686 30,970,237 Apr-27 13,547 0 520 2.33 14,067 30,984,304 May-27 3,431 0 522 2.33 3,953 30,988,257 Jun-27 10,984 0 500,524 1.00 511,508 31,499,766 Jul-27 3,428 0 526 2.33 3,954 31,503,720 Aug-27 37,776 0 245,528 3.60 283,304 31,787,024 Year 5 Sep-27 6,440 0 530 2.33 6,970 31,793,993 Oct-27 13,424 0 500,532 1.62 513,956 32,307,949 Nov-27 3,536 0 534 2.33 4,070 32,312,020 Dec-27 8,361 0 536 2.33 8,897 32,320,917 Jan-28 3,533 0 500,538 1.65 504,071 32,824,988 Feb-28 32,057 0 500,540 2.42 532,597 33,357,585 Mar-28 5,010 0 542 2.33 5,552 33,363,138 Apr-28 2,254 0 544 2.33 2,798 33,365,936 May-28 2,180 0 326,521 2.33 328,701 33,694,637 Jun-28 6,225 0 0 0.00 6,225 33,700,862 Jul-28 1,244 0 0 0.00 1,244 33,702,106 Aug-28 26,835 0 0 0.00 26,835 33,728,941 Year 6 Sep-28 4,185 0 0 0.00 4,185 33,733,126 Portfolio Analysis 5 Historical Performance # Line Avg Total Par Avg Bk Avg Mkt Bnchmrk Wgt Avg Eff Ratings Portfolio Allocation* Date Items Coupon ($000)G / L Yield Yield Tsy Yield Maturity Dur Moody's S&P MMF Govt Corp CD/CP Muni Other 09/30/22 72 2.52 34,910 (1,636)2.20 3.91 4.23 2.5 1.8 Aa1 AA+23%23%0%16%38%0% 06/30/22 58 1.91 34,318 (1,046)1.52 2.46 2.93 2.4 1.8 Aa1 AA+31%25%0%5%40%0% 03/31/22 54 1.60 27,822 (608)1.30 1.72 2.38 2.5 2.2 Aa1 AA+25%29%0%4%42%0% 12/31/21 46 1.24 27,722 107 0.99 0.59 0.65 1.9 1.8 Aa1 AA+39%22%0%6%33%0% 09/30/21 48 1.01 31,877 267 0.84 0.29 0.10 1.1 1.1 Aa1 AA+49%17%0%9%26%0% 06/30/21 53 1.40 29,463 336 1.16 0.31 0.13 1.4 1.3 Aa1 AA+25%21%9%11%33%0% 05/31/21 52 1.97 20,765 361 1.63 0.54 0.14 2.0 1.9 Aa1 AA+7%30%0%15%47%0% 03/31/21 58 1.65 26,848 391 1.47 0.37 0.12 1.7 1.6 Aa1 AA+13%27%8%14%38%0% 12/31/20 66 1.63 30,976 548 1.35 0.33 0.12 1.7 1.6 Aaa AA+24%23%0%14%38%0% 09/30/20 69 1.70 31,022 548 1.43 0.40 0.13 1.9 1.7 Aaa AA+19%28%0%15%38%0% 06/30/20 64 1.71 32,036 577 1.53 0.48 0.16 1.7 1.5 Aaa AA+26%27%0%14%33%0% 03/31/20 60 2.12 27,850 484 1.95 0.98 0.26 1.5 1.4 Aaa AA+20%28%0%13%39%0% 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 4.50 Avg Book Yield Benchmark Treasury 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% MMF Govt Corp CD/CP Muni Other Portfolio Allocation*Book Yield vs. Treasury Benchmark * Portfolio Allocation is a new addition to portfolio analysis. Data will be added over time. Portfolio Analysis 6 Yield / Duration Contribution Book Market Book Eff Sector Total (%)Value ($)Value ($)G / L ($)Yield Dur Agency 16.5%5,823,315 5,479,657 (343,657)1.55 2.0 Certificate of Deposit 16.0%5,652,000 5,529,813 (122,187)3.04 2.0 CMBS 4.7%1,666,575 1,395,973 (270,602)1.87 6.5 MMF 22.9%8,072,925 8,072,925 0 2.93 0.0 Municipal 37.7%13,269,946 12,391,435 (878,511)1.79 2.3 Treasury 2.1%741,215 720,514 (20,702)1.26 1.0 Total Portfolio 100.0%35,225,976 33,590,317 (1,635,659)2.20 1.8 Agency Certificate of Deposit CMBS MMF Municipal Treasury 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 -0.5 0.5 1.5 2.5 3.5 4.5 5.5 6.5 7.5 8.5 Book Yield by Duration and Sector Portfolio Analysis 7 Projected Call Report Projected Call Date Final Call Par Book Market DN 50 Base Case UP 50 ID CUSIP Sector Issuer Maturity Structure Amount Yield Yield Proj Date Proj Date Proj Date 65 602245YZ9 Municipal MILWAUKEE CNTY WI 12/01/28 Euro 2,000,000 1.61 3.58 12/01/22 12/01/22 12/01/22 0-90 Days 2,000,000 1.61 3.58 Portfolio Analysis 8 Credit Rating Monitor Watch Positive Watch Negative ∆ Last 90 Days Moody's S & P Fitch Final Par Current Eff Current Eff Current Eff ID CUSIP Sector Issuer Cpn Maturity Amount Rating Date Watch Rating Date Watch Rating Date Watch 46 6775224C5 Municipal OHIO ST 0.94 08/01/25 700,000 Aa1 06/10/20 -AA+06/09/20 -AAA 09/08/22 - 33 91282CCT6 Treasury US TREASURY N/B 0.38 08/15/24 250,000 Aaa 06/24/22 ----AAAu 08/30/21 - 38 3134GXNJ9 Agency FREDDIE MAC 2.22 12/27/24 500,000 Aaa 03/10/22 -AA+03/09/22 -AAA 03/25/22 - 67 052430TS4 Municipal AUSTIN TX INDEP SCH DIST 3.00 08/01/30 870,000 Aaa 01/18/22 ------- 25 200003EC1 Municipal COMANCHE CNTY OK INDEP SCH DIS 2.00 03/01/24 300,000 ---A+01/14/22 ---- 69 787758C74 Municipal SAINT CHARLES IL 1.90 12/01/30 520,000 Aa1 12/01/21 ------- 66 265138LK1 Municipal DUNCANVILLE TX INDEP SCH DIST 5.00 02/15/30 500,000 Aaa 11/15/21 -AAA 11/17/21 ---- 68 1073358S3 Municipal BRENTWOOD TN 2.00 09/01/30 290,000 Aaa 11/09/21 -AAA 11/16/21 ---- 5 60375BCD6 Municipal MINNEAPOLIS MN 4.25 12/01/22 350,000 ---AAA 04/27/17 -AA+10/22/21 - 6 60375BDC7 Municipal MINNEAPOLIS MN 5.00 12/01/22 370,000 ---AAA 05/10/18 -AA+10/22/21 - 16 3130ANYM6 Agency FEDERAL HOME LOAN BANK 0.13 08/28/23 500,000 Aaa 09/10/21 -AA+09/10/21 ---- 17 91282CCU3 Treasury US TREASURY N/B 0.13 08/31/23 250,000 ------AAAu 09/02/21 - 7 91282CBG5 Treasury US TREASURY N/B 0.13 01/31/23 250,000 Aaa 01/26/21 ----AAAu 06/21/21 - 61 059189D23 Municipal BALTIMORE MD 4.00 10/15/27 500,000 Aa2 05/27/21 -AA 05/28/21 ---- 63 13063DC48 Municipal CALIFORNIA ST 1.70 02/01/28 500,000 Aa2 03/25/21 -AA-03/26/21 -AA 03/25/21 - 26 6448007H1 Municipal NEW HANOVER CNTY NC 0.38 06/01/24 500,000 Aaa 01/25/21 -AAA 02/01/21 ---- 52 3137EAEX3 Agency FREDDIE MAC 0.38 09/23/25 500,000 Aaa 10/19/20 -AA+09/23/20 -AAA 09/29/20 - 19 3133EMBS0 Agency FEDERAL FARM CREDIT BANK 0.20 10/02/23 500,000 Aaa 09/24/20 -AA+09/23/20 -AAA 10/06/20 - 24 579100UL0 Municipal MCALLEN TX INDEP SCH DIST 4.00 02/15/24 500,000 Aaa 09/30/20 ------- 36 3134GWKT2 Agency FREDDIE MAC 0.50 08/26/24 500,000 Aaa 08/03/20 ----AAA 08/27/20 - 55 98267AEM7 Municipal WYANDOTTE CNTY/KANS CITY KANUN 1.30 08/01/26 300,000 A1 08/07/20 -AA 08/07/20 ---- 29 574193TQ1 Municipal MARYLAND ST 0.51 08/01/24 500,000 Aaa 07/13/20 -AAA 07/14/20 -AAA 07/08/20 - 59 3130AJRQ4 Agency FEDERAL HOME LOAN BANK 1.00 06/25/27 500,000 Aaa 06/22/20 -AA+06/22/20 ---- 54 35880CD68 Municipal FRISCO TX INDEP SCH DIST 1.21 02/15/26 150,000 Aaa 06/10/20 -AAA 06/11/20 ---- 57 35880CD76 Municipal FRISCO TX INDEP SCH DIST 1.36 02/15/27 225,000 Aaa 06/10/20 -AAA 06/11/20 ---- 12 556583D58 Municipal MADISON AL 1.05 04/01/23 495,000 Aa2 03/19/20 -AA+04/22/20 ---- 58 3130AJ4B2 Agency FEDERAL HOME LOAN BANK 1.63 03/12/27 500,000 Aaa 02/05/20 -AA+02/05/20 ---- Portfolio Analysis 9 Credit Rating Monitor Watch Positive Watch Negative ∆ Last 90 Days Moody's S & P Fitch Final Par Current Eff Current Eff Current Eff ID CUSIP Sector Issuer Cpn Maturity Amount Rating Date Watch Rating Date Watch Rating Date Watch 43 161035KH2 Municipal CHARLOTTE NC 1.62 07/01/25 500,000 Aaa 02/04/20 -AAA 02/04/20 -AAA 02/04/20 - 2 3133ELGN8 Agency FEDERAL FARM CREDIT BANK 1.60 10/13/22 600,000 Aaa 01/03/20 -AA+01/02/20 -AAA 01/14/20 - 13 792882BV3 Municipal ST PAUL MN 3.00 05/01/23 250,000 ---AAA 11/08/19 ---- 65 602245YZ9 Municipal MILWAUKEE CNTY WI 3.43 12/01/28 2,000,000 Aa2 01/14/13 -AA 01/08/13 -AA 09/05/19 - 32 3130AGWK7 Agency FEDERAL HOME LOAN BANK 1.50 08/15/24 500,000 Aaa 08/16/19 -AA+08/16/19 ---- 8 092765EW2 Municipal BLAINE MN 2.25 02/01/23 395,000 ---AAA 08/01/19 ---- 39 092765EY8 Municipal BLAINE MN 2.55 02/01/25 400,000 ---AAA 08/01/19 ---- 56 3133EJD55 Agency FEDERAL FARM CREDIT BANK 3.30 09/28/26 500,000 Aaa 09/24/18 -AA+09/21/18 -AAA 09/28/18 - 50 4095585H2 Municipal HAMPTON VA 4.00 09/01/25 600,000 Aa1 06/05/18 -AA+06/07/18 -AA+06/06/18 - 20 3133EJQA0 Agency FEDERAL FARM CREDIT BANK 3.00 10/23/23 500,000 Aaa 05/16/18 -AA+05/15/18 -AAA 05/23/18 - 11 809557BB6 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.50 02/01/23 120,000 ---AAA 04/04/18 ---- 9 161664HC4 Municipal CHASKA MN 2.25 02/01/23 145,000 ---AA 11/02/17 ---- 22 161664HD2 Municipal CHASKA MN 2.40 02/01/24 150,000 ---AA 11/02/17 ---- 18 313383YJ4 Agency FEDERAL HOME LOAN BANK 3.38 09/08/23 205,000 Aaa 08/27/13 -AA+08/26/13 ---- 10 73723RSP9 Municipal PORTSMOUTH VA 3.09 02/01/23 500,000 Aa2 05/24/13 -AA 05/24/13 -AA 05/21/13 - 4 199492CT4 Municipal COLUMBUS OH 2.33 12/01/22 400,000 Aaa 11/06/12 -AAA 11/05/12 -AAA 11/07/12 - FDIC-Insured brokered CDs are not included in the Credit Rating Monitor Portfolio Analysis 10 Positions by Sector %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 2 3133ELGN8 FEDERAL FARM CREDIT BANK 1.7%1.60 10/13/22 Aaa AA+-Bullet 600,000 01/13/20 99.97 100.00 99.95 (287)1.62 2.95 0.0 0.0 0.0 16 3130ANYM6 FEDERAL HOME LOAN BANK 1.4%0.13 08/28/23 Aaa AA+-Bullet 500,000 09/12/22 96.72 96.89 96.30 (2,954)3.63 4.31 0.9 0.9 0.0 18 313383YJ4 FEDERAL HOME LOAN BANK 0.6%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 100.48 99.10 (2,830)2.85 4.36 0.9 0.9 0.0 19 3133EMBS0 FEDERAL FARM CREDIT BANK 1.4%0.20 10/02/23 Aaa AA+-Bullet 500,000 10/02/20 99.97 99.99 96.06 (19,635)0.21 4.24 1.0 1.0 0.0 20 3133EJQA0 FEDERAL FARM CREDIT BANK 1.4%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.12 98.68 (7,233)2.88 4.28 1.1 1.0 0.0 32 3130AGWK7 FEDERAL HOME LOAN BANK 1.5%1.50 08/15/24 Aaa AA+-Bullet 500,000 08/14/20 104.86 102.28 95.20 (35,391)0.28 4.19 1.9 1.8 0.0 36 3134GWKT2 FREDDIE MAC 1.4%0.50 08/26/24 Aaa -11/26/22 Berm 500,000 08/26/20 100.00 100.00 92.73 (36,350)0.50 4.52 1.9 1.9 0.0 38 3134GXNJ9 FREDDIE MAC 1.4%2.22 12/27/24 Aaa AA+10/27/22 Amer 500,000 03/25/22 100.00 100.00 95.43 (22,870)2.22 4.39 2.2 2.1 0.1 52 3137EAEX3 FREDDIE MAC 1.4%0.38 09/23/25 Aaa AA+-Bullet 500,000 10/01/20 99.98 99.99 89.25 (53,680)0.38 4.25 3.0 2.9 0.1 56 3133EJD55 FEDERAL FARM CREDIT BANK 1.4%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.60 96.45 (20,713)3.14 4.28 4.0 3.7 0.2 58 3130AJ4B2 FEDERAL HOME LOAN BANK 1.5%1.63 03/12/27 Aaa AA+-Bullet 500,000 06/15/20 105.40 103.60 89.78 (69,098)0.80 4.16 4.4 4.2 0.2 59 3130AJRQ4 FEDERAL HOME LOAN BANK 1.4%1.00 06/25/27 Aaa AA+10/05/22 Amer 500,000 06/25/20 100.00 100.00 85.48 (72,616)1.00 4.43 4.7 4.5 0.2 Agency 16.5%1.48 Aaa AA+5,805,000 100.83 100.32 94.40 (343,657)1.55 4.16 2.2 2.0 0.1 62 3138LL5T8 Fannie Mae 1.5%2.96 01/01/28 ----500,000 01/07/22 107.63 106.72 92.82 (69,545)1.65 4.52 5.3 5.0 0.2 64 3138LM6U2 Fannie Mae 1.1%3.44 05/01/28 ----350,000 02/01/22 106.50 105.84 94.88 (38,346)2.33 4.53 5.6 5.1 0.3 70 3140LEEE3 Fannie Mae 2.2%1.99 11/01/31 ----750,000 12/09/21 101.81 101.67 79.97 (162,712)1.81 4.74 9.1 8.4 0.6 CMBS 4.7%2.61 1,600,000 104.65 104.16 87.25 (270,602)1.87 4.62 7.1 6.5 0.4 3 32116RAG9 FIRST NATL BANK ORD NEB 0.7%1.25 10/14/22 ---Bullet 249,000 04/14/20 100.00 100.00 99.94 (162)1.25 2.94 0.0 0.0 0.0 14 06654BCK5 BANKWELL BANK 0.7%0.35 07/28/23 ---Bullet 249,000 07/28/20 100.00 100.00 97.04 (7,383)0.35 4.03 0.8 0.8 0.0 15 949763X43 WELLS FARGO BANK NA 0.7%3.00 07/28/23 ---Bullet 242,000 07/29/22 100.00 100.00 99.17 (2,006)2.97 3.99 0.8 0.8 0.0 21 87164DTQ3 SYNOVUS BANK GA 0.7%3.00 10/27/23 ---Bullet 245,000 07/27/22 100.00 100.00 98.78 (2,991)3.00 4.17 1.1 1.0 0.0 23 07371DEK9 BEAL BANK USA 0.7%3.05 02/07/24 ---Bullet 245,000 08/10/22 100.00 100.00 98.47 (3,739)3.05 4.22 1.4 1.3 0.0 27 947547PY5 WEBBANK 0.7%3.20 07/26/24 ---Bullet 245,000 07/27/22 100.00 100.00 98.12 (4,601)3.20 4.28 1.8 1.7 0.0 28 90348J4R8 UBS BANK USA 0.7%3.20 07/29/24 ---Bullet 249,000 07/27/22 100.00 100.00 98.11 (4,704)3.22 4.31 1.8 1.7 0.0 31 61768ELE1 MORGAN STANLEY PVT BANK 0.7%3.30 08/05/24 ---Bullet 245,000 08/04/22 100.00 100.00 98.27 (4,237)3.30 4.28 1.8 1.8 0.0 30 61690UP79 MORGAN STANLEY BANK NA 0.7%3.35 08/05/24 ---Bullet 245,000 08/04/22 100.00 100.00 98.36 (4,021)3.35 4.28 1.8 1.8 0.0 34 254673Q74 DISCOVER BANK 0.7%3.30 08/22/24 ---Bullet 245,000 08/23/22 100.00 100.00 98.21 (4,383)3.30 4.29 1.9 1.8 0.0 35 75472RAE1 RAYMOND JAMES BANK NA 0.7%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 95.86 (10,226)2.00 4.29 1.9 1.8 0.0 37 05600XJH4 BMO HARRIS BANK NA 0.7%4.05 09/23/24 ---Bullet 245,000 09/23/22 100.00 100.00 99.53 (1,142)4.05 4.30 2.0 1.9 0.0 40 34520LAG8 FORBRIGHT BANK 0.7%3.55 03/21/25 ---Bullet 249,000 09/21/22 100.00 100.00 98.19 (4,514)3.58 4.36 2.5 2.3 0.1 41 02589ACJ9 AMERICAN EXPR NATL BK 0.7%2.90 05/05/25 ---Bullet 246,000 05/04/22 100.00 100.00 96.52 (8,567)2.90 4.33 2.6 2.4 0.1 42 14042RQY0 CAPITAL ONE NA 0.7%2.95 05/05/25 ---Bullet 246,000 05/04/22 100.00 100.00 96.64 (8,268)2.95 4.33 2.6 2.4 0.1 44 06740KQZ3 BARCLAYS BANK/DELAWARE 0.7%3.30 07/28/25 ---Bullet 245,000 07/27/22 100.00 100.00 97.25 (6,745)3.30 4.34 2.8 2.6 0.1 45 87165HQ78 SYNCHRONY BANK 0.7%3.40 07/29/25 ---Bullet 245,000 07/29/22 100.00 100.00 97.52 (6,078)3.40 4.34 2.8 2.6 0.1 47 14042TJJ7 CAPITAL ONE BANK USA NA 0.7%3.35 08/11/25 ---Bullet 245,000 08/10/22 100.00 100.00 97.34 (6,515)3.35 4.35 2.9 2.7 0.1 48 795451CB7 SALLIE MAE BANK/SALT LKE 0.7%3.35 08/11/25 ---Bullet 245,000 08/10/22 100.00 100.00 97.34 (6,514)3.35 4.35 2.9 2.7 0.1 49 32022RSQ1 1ST FINANCIAL BANK USA 0.7%3.10 08/12/25 ---Bullet 245,000 08/12/22 100.00 100.00 96.65 (8,197)3.12 4.38 2.9 2.7 0.1 51 05580AP65 BMW BANK NORTH AMERICA 0.7%3.45 09/09/25 ---Bullet 245,000 09/09/22 100.00 100.00 97.54 (6,020)3.45 4.35 2.9 2.8 0.1 53 32056GDQ0 FIRST INTERNET BK OF IN 0.7%4.00 09/29/25 ---Bullet 245,000 09/28/22 100.00 100.00 99.02 (2,405)4.03 4.39 3.0 2.8 0.1 60 856285Q61 STATE BANK OF INDIA 0.7%3.60 08/09/27 ---Bullet 245,000 08/08/22 100.00 100.00 96.42 (8,770)3.60 4.43 4.9 4.4 0.2 Domestic CD 16.0%3.04 5,652,000 100.00 100.00 97.84 (122,187)3.04 4.23 2.2 2.0 0.1 2 0008CHAN2 NORTHLAND MM 0.5%1.52 ---Bullet 173,240 09/30/22 100.00 100.00 100.00 0 1.52 1.52 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COMM 7.9%3.10 ---Bullet 2,780,615 09/30/22 100.00 100.00 100.00 0 3.10 3.10 0.0 0.0 0.0 1 825252885 Invesco Government & Agency Po 14.5%2.88 ---Bullet 5,119,070 09/30/22 100.00 100.00 100.00 0 2.88 2.88 0.0 0.0 0.0 MMF 22.9%2.93 8,072,925 100.00 100.00 100.00 0 2.93 2.93 0.0 0.0 0.0 4 199492CT4 COLUMBUS OH 1.1%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 100.10 99.78 (1,288)1.71 3.62 0.2 0.2 0.0 5 60375BCD6 MINNEAPOLIS MN 1.0%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 100.38 100.11 (921)2.01 3.56 0.2 0.2 0.0 6 60375BDC7 MINNEAPOLIS MN 1.1%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 100.32 100.23 (340)3.07 3.61 0.2 0.2 0.0 8 092765EW2 BLAINE MN 1.1%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 99.40 (2,382)2.25 4.07 0.3 0.3 0.0 9 161664HC4 CHASKA MN 0.4%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 99.45 (805)2.25 3.92 0.3 0.3 0.0 10 73723RSP9 PORTSMOUTH VA 1.4%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 100.28 99.79 (2,415)2.25 3.70 0.3 0.3 0.0 11 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0.3%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 99.53 (570)2.49 3.93 0.3 0.3 0.0 12 556583D58 MADISON AL 1.4%1.05 04/01/23 Aa2 AA+-Bullet 495,000 07/21/20 100.39 100.07 98.50 (7,776)0.90 4.09 0.5 0.5 0.0 13 792882BV3 ST PAUL MN 0.7%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 100.64 99.40 (3,090)1.90 4.04 0.6 0.6 0.0 22 161664HD2 CHASKA MN 0.4%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 97.58 (3,635)2.40 4.28 1.3 1.3 0.0 24 579100UL0 MCALLEN TX INDEP SCH DIST 1.5%4.00 02/15/24 Aaa --Bullet 500,000 03/10/22 104.35 103.11 99.85 (16,290)1.70 4.11 1.4 1.3 0.0 25 200003EC1 COMANCHE CNTY OK INDEP SCH DIS 0.9%2.00 03/01/24 -A+-Bullet 300,000 04/06/22 100.56 100.42 96.75 (10,992)1.70 4.37 1.4 1.3 0.0 26 6448007H1 NEW HANOVER CNTY NC 1.4%0.38 06/01/24 Aaa AAA -Bullet 500,000 03/10/22 97.06 97.78 93.78 (20,035)1.73 4.28 1.7 1.6 0.0 29 574193TQ1 MARYLAND ST 1.4%0.51 08/01/24 Aaa AAA -Bullet 500,000 08/05/20 100.24 100.11 93.56 (32,770)0.45 4.19 1.8 1.8 0.0 39 092765EY8 BLAINE MN 1.1%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 101.13 95.76 (21,488)2.05 4.48 2.3 2.2 0.1 43 161035KH2 CHARLOTTE NC 1.4%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 101.51 92.40 (45,530)1.07 4.59 2.8 2.6 0.1 46 6775224C5 OHIO ST 2.0%0.94 08/01/25 Aa1 AA+-Bullet 700,000 06/26/20 101.30 100.73 90.69 (70,245)0.68 4.47 2.8 2.7 0.1 Portfolio Analysis 11 Positions by Sector %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 50 4095585H2 HAMPTON VA 1.7%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 101.93 98.67 (19,536)3.30 4.49 2.9 2.7 0.1 54 35880CD68 FRISCO TX INDEP SCH DIST 0.4%1.21 02/15/26 Aaa AAA -Bullet 150,000 07/15/20 101.42 100.87 90.22 (15,975)0.95 4.36 3.4 3.2 0.1 55 98267AEM7 WYANDOTTE CNTY/KANS CITY KANUN 0.8%1.30 08/01/26 A1 AA -Bullet 300,000 12/15/21 99.55 99.63 87.88 (35,247)1.40 4.80 3.8 3.6 0.1 57 35880CD76 FRISCO TX INDEP SCH DIST 0.6%1.36 02/15/27 Aaa AAA -Bullet 225,000 07/15/20 101.53 101.03 88.11 (29,070)1.12 4.38 4.4 4.1 0.2 61 059189D23 BALTIMORE MD 1.6%4.00 10/15/27 Aa2 AA -Bullet 500,000 11/24/21 113.32 111.48 96.24 (76,210)1.62 4.85 5.0 4.4 0.2 63 13063DC48 CALIFORNIA ST 1.4%1.70 02/01/28 Aa2 AA--Bullet 500,000 03/01/22 96.05 96.41 86.40 (50,065)2.42 4.60 5.3 5.0 0.2 65 602245YZ9 MILWAUKEE CNTY WI 5.7%3.43 12/01/28 Aa2 AA 12/01/22 Euro 2,000,000 04/28/22 101.07 100.31 99.97 (6,680)1.61 3.58 6.2 0.2 0.0 66 265138LK1 DUNCANVILLE TX INDEP SCH DIST 1.7%5.00 02/15/30 Aaa AAA -Bullet 500,000 03/24/22 119.38 118.22 101.89 (81,615)2.30 4.69 7.4 6.1 0.5 67 052430TS4 AUSTIN TX INDEP SCH DIST 2.6%3.00 08/01/30 Aaa --Bullet 870,000 02/23/22 106.13 105.73 88.24 (152,180)2.20 4.82 7.8 6.8 0.5 68 1073358S3 BRENTWOOD TN 0.8%2.00 09/01/30 Aaa AAA -Bullet 290,000 12/13/21 102.17 101.99 82.23 (57,310)1.73 4.72 7.9 7.1 0.5 69 787758C74 SAINT CHARLES IL 1.5%1.90 12/01/30 Aa1 --Bullet 520,000 12/30/21 100.82 100.76 78.82 (114,052)1.80 5.10 8.2 7.3 0.5 Municipals 37.7%2.62 Aa1 AA+13,030,000 103.06 101.84 95.10 (878,511)1.79 4.22 3.7 2.3 0.1 7 91282CBG5 US TREASURY N/B 0.7%0.13 01/31/23 Aaa --Bullet 250,000 02/25/22 99.27 99.74 98.84 (2,233)0.92 3.63 0.3 0.3 0.0 17 91282CCU3 US TREASURY N/B 0.7%0.13 08/31/23 ---Bullet 250,000 02/25/22 98.27 98.94 96.30 (6,592)1.29 4.28 0.9 0.9 0.0 33 91282CCT6 US TREASURY N/B 0.7%0.38 08/15/24 Aaa --Bullet 250,000 02/25/22 97.13 97.81 93.06 (11,877)1.57 4.27 1.9 1.8 0.0 Treasury 2.1%0.21 Aaa 750,000 98.22 98.83 96.07 (20,702)1.26 4.05 1.0 1.0 0.0 Total Portfolio 100.0%2.52 34,909,925 101.46 100.91 96.22 (1,635,659)2.20 3.91 2.5 1.8 0.1 Portfolio Analysis 12 Positions by Maturity %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 2 0008CHAN2 NORTHLAND MM 0%1.52 ---Bullet 173,240 09/30/22 100.00 100.00 100.00 0 1.52 1.52 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COMM 8%3.10 ---Bullet 2,780,615 09/30/22 100.00 100.00 100.00 0 3.10 3.10 0.0 0.0 0.0 1 825252885 Invesco Government & Agency Po 15%2.88 ---Bullet 5,119,070 09/30/22 100.00 100.00 100.00 0 2.88 2.88 0.0 0.0 0.0 2 3133ELGN8 FEDERAL FARM CREDIT BANK 2%1.60 10/13/22 Aaa AA+-Bullet 600,000 01/13/20 99.97 100.00 99.95 (287)1.62 2.95 0.0 0.0 0.0 3 32116RAG9 FIRST NATL BANK ORD NEB 1%1.25 10/14/22 ---Bullet 249,000 04/14/20 100.00 100.00 99.94 (162)1.25 2.94 0.0 0.0 0.0 4 199492CT4 COLUMBUS OH 1%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 100.10 99.78 (1,288)1.71 3.62 0.2 0.2 0.0 5 60375BCD6 MINNEAPOLIS MN 1%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 100.38 100.11 (921)2.01 3.56 0.2 0.2 0.0 6 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 100.32 100.23 (340)3.07 3.61 0.2 0.2 0.0 7 91282CBG5 US TREASURY N/B 1%0.13 01/31/23 Aaa --Bullet 250,000 02/25/22 99.27 99.74 98.84 (2,233)0.92 3.63 0.3 0.3 0.0 8 092765EW2 BLAINE MN 1%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 99.40 (2,382)2.25 4.07 0.3 0.3 0.0 9 161664HC4 CHASKA MN 0%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 99.45 (805)2.25 3.92 0.3 0.3 0.0 10 73723RSP9 PORTSMOUTH VA 1%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 100.28 99.79 (2,415)2.25 3.70 0.3 0.3 0.0 11 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 99.53 (570)2.49 3.93 0.3 0.3 0.0 12 556583D58 MADISON AL 1%1.05 04/01/23 Aa2 AA+-Bullet 495,000 07/21/20 100.39 100.07 98.50 (7,776)0.90 4.09 0.5 0.5 0.0 13 792882BV3 ST PAUL MN 1%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 100.64 99.40 (3,090)1.90 4.04 0.6 0.6 0.0 14 06654BCK5 BANKWELL BANK 1%0.35 07/28/23 ---Bullet 249,000 07/28/20 100.00 100.00 97.04 (7,383)0.35 4.03 0.8 0.8 0.0 15 949763X43 WELLS FARGO BANK NA 1%3.00 07/28/23 ---Bullet 242,000 07/29/22 100.00 100.00 99.17 (2,006)2.97 3.99 0.8 0.8 0.0 16 3130ANYM6 FEDERAL HOME LOAN BANK 1%0.13 08/28/23 Aaa AA+-Bullet 500,000 09/12/22 96.72 96.89 96.30 (2,954)3.63 4.31 0.9 0.9 0.0 17 91282CCU3 US TREASURY N/B 1%0.13 08/31/23 ---Bullet 250,000 02/25/22 98.27 98.94 96.30 (6,592)1.29 4.28 0.9 0.9 0.0 18 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 100.48 99.10 (2,830)2.85 4.36 0.9 0.9 0.0 Year 1 39%2.57 13,642,925 100.58 99.91 99.59 (44,034)2.55 3.27 0.2 0.2 0.0 19 3133EMBS0 FEDERAL FARM CREDIT BANK 1%0.20 10/02/23 Aaa AA+-Bullet 500,000 10/02/20 99.97 99.99 96.06 (19,635)0.21 4.24 1.0 1.0 0.0 20 3133EJQA0 FEDERAL FARM CREDIT BANK 1%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.12 98.68 (7,233)2.88 4.28 1.1 1.0 0.0 21 87164DTQ3 SYNOVUS BANK GA 1%3.00 10/27/23 ---Bullet 245,000 07/27/22 100.00 100.00 98.78 (2,991)3.00 4.17 1.1 1.0 0.0 22 161664HD2 CHASKA MN 0%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 97.58 (3,635)2.40 4.28 1.3 1.3 0.0 23 07371DEK9 BEAL BANK USA 1%3.05 02/07/24 ---Bullet 245,000 08/10/22 100.00 100.00 98.47 (3,739)3.05 4.22 1.4 1.3 0.0 24 579100UL0 MCALLEN TX INDEP SCH DIST 1%4.00 02/15/24 Aaa --Bullet 500,000 03/10/22 104.35 103.11 99.85 (16,290)1.70 4.11 1.4 1.3 0.0 25 200003EC1 COMANCHE CNTY OK INDEP SCH DIS 1%2.00 03/01/24 -A+-Bullet 300,000 04/06/22 100.56 100.42 96.75 (10,992)1.70 4.37 1.4 1.3 0.0 26 6448007H1 NEW HANOVER CNTY NC 1%0.38 06/01/24 Aaa AAA -Bullet 500,000 03/10/22 97.06 97.78 93.78 (20,035)1.73 4.28 1.7 1.6 0.0 27 947547PY5 WEBBANK 1%3.20 07/26/24 ---Bullet 245,000 07/27/22 100.00 100.00 98.12 (4,601)3.20 4.28 1.8 1.7 0.0 28 90348J4R8 UBS BANK USA 1%3.20 07/29/24 ---Bullet 249,000 07/27/22 100.00 100.00 98.11 (4,704)3.22 4.31 1.8 1.7 0.0 29 574193TQ1 MARYLAND ST 1%0.51 08/01/24 Aaa AAA -Bullet 500,000 08/05/20 100.24 100.11 93.56 (32,770)0.45 4.19 1.8 1.8 0.0 31 61768ELE1 MORGAN STANLEY PVT BANK 1%3.30 08/05/24 ---Bullet 245,000 08/04/22 100.00 100.00 98.27 (4,237)3.30 4.28 1.8 1.8 0.0 30 61690UP79 MORGAN STANLEY BANK NA 1%3.35 08/05/24 ---Bullet 245,000 08/04/22 100.00 100.00 98.36 (4,021)3.35 4.28 1.8 1.8 0.0 32 3130AGWK7 FEDERAL HOME LOAN BANK 1%1.50 08/15/24 Aaa AA+-Bullet 500,000 08/14/20 104.86 102.28 95.20 (35,391)0.28 4.19 1.9 1.8 0.0 33 91282CCT6 US TREASURY N/B 1%0.38 08/15/24 Aaa --Bullet 250,000 02/25/22 97.13 97.81 93.06 (11,877)1.57 4.27 1.9 1.8 0.0 34 254673Q74 DISCOVER BANK 1%3.30 08/22/24 ---Bullet 245,000 08/23/22 100.00 100.00 98.21 (4,383)3.30 4.29 1.9 1.8 0.0 35 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 95.86 (10,226)2.00 4.29 1.9 1.8 0.0 36 3134GWKT2 FREDDIE MAC 1%0.50 08/26/24 Aaa -11/26/22 Berm 500,000 08/26/20 100.00 100.00 92.73 (36,350)0.50 4.52 1.9 1.9 0.0 37 05600XJH4 BMO HARRIS BANK NA 1%4.05 09/23/24 ---Bullet 245,000 09/23/22 100.00 100.00 99.53 (1,142)4.05 4.30 2.0 1.9 0.0 Year 2 18%2.04 6,411,000 100.47 100.20 96.55 (234,250)1.89 4.27 1.6 1.5 0.0 38 3134GXNJ9 FREDDIE MAC 1%2.22 12/27/24 Aaa AA+10/27/22 Amer 500,000 03/25/22 100.00 100.00 95.43 (22,870)2.22 4.39 2.2 2.1 0.1 39 092765EY8 BLAINE MN 1%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 101.13 95.76 (21,488)2.05 4.48 2.3 2.2 0.1 40 34520LAG8 FORBRIGHT BANK 1%3.55 03/21/25 ---Bullet 249,000 09/21/22 100.00 100.00 98.19 (4,514)3.58 4.36 2.5 2.3 0.1 41 02589ACJ9 AMERICAN EXPR NATL BK 1%2.90 05/05/25 ---Bullet 246,000 05/04/22 100.00 100.00 96.52 (8,567)2.90 4.33 2.6 2.4 0.1 42 14042RQY0 CAPITAL ONE NA 1%2.95 05/05/25 ---Bullet 246,000 05/04/22 100.00 100.00 96.64 (8,268)2.95 4.33 2.6 2.4 0.1 43 161035KH2 CHARLOTTE NC 1%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 101.51 92.40 (45,530)1.07 4.59 2.8 2.6 0.1 44 06740KQZ3 BARCLAYS BANK/DELAWARE 1%3.30 07/28/25 ---Bullet 245,000 07/27/22 100.00 100.00 97.25 (6,745)3.30 4.34 2.8 2.6 0.1 45 87165HQ78 SYNCHRONY BANK 1%3.40 07/29/25 ---Bullet 245,000 07/29/22 100.00 100.00 97.52 (6,078)3.40 4.34 2.8 2.6 0.1 46 6775224C5 OHIO ST 2%0.94 08/01/25 Aa1 AA+-Bullet 700,000 06/26/20 101.30 100.73 90.69 (70,245)0.68 4.47 2.8 2.7 0.1 47 14042TJJ7 CAPITAL ONE BANK USA NA 1%3.35 08/11/25 ---Bullet 245,000 08/10/22 100.00 100.00 97.34 (6,515)3.35 4.35 2.9 2.7 0.1 48 795451CB7 SALLIE MAE BANK/SALT LKE 1%3.35 08/11/25 ---Bullet 245,000 08/10/22 100.00 100.00 97.34 (6,514)3.35 4.35 2.9 2.7 0.1 49 32022RSQ1 1ST FINANCIAL BANK USA 1%3.10 08/12/25 ---Bullet 245,000 08/12/22 100.00 100.00 96.65 (8,197)3.12 4.38 2.9 2.7 0.1 50 4095585H2 HAMPTON VA 2%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 101.93 98.67 (19,536)3.30 4.49 2.9 2.7 0.1 51 05580AP65 BMW BANK NORTH AMERICA 1%3.45 09/09/25 ---Bullet 245,000 09/09/22 100.00 100.00 97.54 (6,020)3.45 4.35 2.9 2.8 0.1 52 3137EAEX3 FREDDIE MAC 1%0.38 09/23/25 Aaa AA+-Bullet 500,000 10/01/20 99.98 99.99 89.25 (53,680)0.38 4.25 3.0 2.9 0.1 53 32056GDQ0 FIRST INTERNET BK OF IN 1%4.00 09/29/25 ---Bullet 245,000 09/28/22 100.00 100.00 99.02 (2,405)4.03 4.39 3.0 2.8 0.1 Year 3 16%2.54 5,656,000 101.06 100.51 95.25 (297,172)2.35 4.41 2.7 2.6 0.1 54 35880CD68 FRISCO TX INDEP SCH DIST 0%1.21 02/15/26 Aaa AAA -Bullet 150,000 07/15/20 101.42 100.87 90.22 (15,975)0.95 4.36 3.4 3.2 0.1 55 98267AEM7 WYANDOTTE CNTY/KANS CITY KANUN 1%1.30 08/01/26 A1 AA -Bullet 300,000 12/15/21 99.55 99.63 87.88 (35,247)1.40 4.80 3.8 3.6 0.1 56 3133EJD55 FEDERAL FARM CREDIT BANK 1%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.60 96.45 (20,713)3.14 4.28 4.0 3.7 0.2 Year 4 3%2.34 950,000 100.66 100.33 92.76 (71,935)2.25 4.44 3.8 3.6 0.1 Portfolio Analysis 13 Positions by Maturity %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 57 35880CD76 FRISCO TX INDEP SCH DIST 1%1.36 02/15/27 Aaa AAA -Bullet 225,000 07/15/20 101.53 101.03 88.11 (29,070)1.12 4.38 4.4 4.1 0.2 58 3130AJ4B2 FEDERAL HOME LOAN BANK 1%1.63 03/12/27 Aaa AA+-Bullet 500,000 06/15/20 105.40 103.60 89.78 (69,098)0.80 4.16 4.4 4.2 0.2 59 3130AJRQ4 FEDERAL HOME LOAN BANK 1%1.00 06/25/27 Aaa AA+10/05/22 Amer 500,000 06/25/20 100.00 100.00 85.48 (72,616)1.00 4.43 4.7 4.5 0.2 60 856285Q61 STATE BANK OF INDIA 1%3.60 08/09/27 ---Bullet 245,000 08/08/22 100.00 100.00 96.42 (8,770)3.60 4.43 4.9 4.4 0.2 Year 5 4%1.70 1,470,000 102.07 101.38 89.17 (179,554)1.38 4.33 4.6 4.3 0.2 61 059189D23 BALTIMORE MD 2%4.00 10/15/27 Aa2 AA -Bullet 500,000 11/24/21 113.32 111.48 96.24 (76,210)1.62 4.85 5.0 4.4 0.2 62 3138LL5T8 Fannie Mae 2%2.96 01/01/28 ----500,000 01/07/22 107.63 106.72 92.82 (69,545)1.65 4.52 5.3 5.0 0.2 63 13063DC48 CALIFORNIA ST 1%1.70 02/01/28 Aa2 AA--Bullet 500,000 03/01/22 96.05 96.41 86.40 (50,065)2.42 4.60 5.3 5.0 0.2 64 3138LM6U2 Fannie Mae 1%3.44 05/01/28 ----350,000 02/01/22 106.50 105.84 94.88 (38,346)2.33 4.53 5.6 5.1 0.3 Year 6 6%2.99 1,850,000 105.82 105.05 92.40 (234,166)1.96 4.64 5.3 4.8 0.2 65 602245YZ9 MILWAUKEE CNTY WI 6%3.43 12/01/28 Aa2 AA 12/01/22 Euro 2,000,000 04/28/22 101.07 100.31 99.97 (6,680)1.61 3.58 6.2 0.2 0.0 Year 7 6%3.43 2,000,000 101.07 100.31 99.97 (6,680)1.61 3.58 6.2 0.2 0.0 66 265138LK1 DUNCANVILLE TX INDEP SCH DIST 2%5.00 02/15/30 Aaa AAA -Bullet 500,000 03/24/22 119.38 118.22 101.89 (81,615)2.30 4.69 7.4 6.1 0.5 67 052430TS4 AUSTIN TX INDEP SCH DIST 3%3.00 08/01/30 Aaa --Bullet 870,000 02/23/22 106.13 105.73 88.24 (152,180)2.20 4.82 7.8 6.8 0.5 68 1073358S3 BRENTWOOD TN 1%2.00 09/01/30 Aaa AAA -Bullet 290,000 12/13/21 102.17 101.99 82.23 (57,310)1.73 4.72 7.9 7.1 0.5 Year 8 5%3.43 1,660,000 109.43 108.84 91.30 (291,105)2.16 4.76 7.7 6.6 0.5 69 787758C74 SAINT CHARLES IL 1%1.90 12/01/30 Aa1 --Bullet 520,000 12/30/21 100.82 100.76 78.82 (114,052)1.80 5.10 8.2 7.3 0.5 Year 9 1%1.90 520,000 100.82 100.76 78.82 (114,052)1.80 5.10 8.2 7.3 0.5 70 3140LEEE3 Fannie Mae 2%1.99 11/01/31 ----750,000 12/09/21 101.81 101.67 79.97 (162,712)1.81 4.74 9.1 8.4 0.6 Year 10 2%1.99 750,000 101.81 101.67 79.97 (162,712)1.81 4.74 9.1 8.4 0.6 Total Portfolio 100%2.52 34,909,925 101.46 100.91 96.22 (1,635,659)2.20 3.91 2.5 1.8 0.1 Portfolio Analysis 14 Positions by Maturity - Scenario Analysis Market Price (%∆)Book Yield Effective Duration %Final DN DN UP UP DN DN Base UP UP DN DN Base UP UP ID CUSIP Issuer Port Cpn Maturity Par WAM DN 50 DN 25 UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 2 0008CHAN2 NORTHLAND MM 0%1.52 173,240 0.0 0.0 0.0 0.0 0.0 1.52 1.52 1.52 1.52 1.52 0.0 0.0 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COMM 8%3.10 2,780,615 0.0 0.0 0.0 0.0 0.0 3.10 3.10 3.10 3.10 3.10 0.0 0.0 0.0 0.0 0.0 1 825252885 Invesco Government & Agency Po 15%2.88 5,119,070 0.0 0.0 0.0 0.0 0.0 2.88 2.88 2.88 2.88 2.88 0.0 0.0 0.0 0.0 0.0 2 3133ELGN8 FEDERAL FARM CREDIT BANK 2%1.60 10/13/22 600,000 0.0 0.0 0.0 (0.0)(0.0)1.62 1.62 1.62 1.62 1.62 0.0 0.0 0.0 0.0 0.0 3 32116RAG9 FIRST NATL BANK ORD NEB 1%1.25 10/14/22 249,000 0.0 0.0 0.0 (0.0)(0.0)1.25 1.25 1.25 1.25 1.25 0.0 0.0 0.0 0.0 0.0 4 199492CT4 COLUMBUS OH 1%2.33 12/01/22 400,000 0.2 0.1 0.0 (0.0)(0.1)1.71 1.71 1.71 1.71 1.71 0.2 0.2 0.2 0.2 0.2 5 60375BCD6 MINNEAPOLIS MN 1%4.25 12/01/22 350,000 0.2 0.1 0.0 (0.0)(0.1)2.01 2.01 2.01 2.01 2.01 0.2 0.2 0.2 0.2 0.2 6 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 370,000 0.2 0.1 0.0 (0.0)(0.1)3.07 3.07 3.07 3.07 3.07 0.2 0.2 0.2 0.2 0.2 7 91282CBG5 US TREASURY N/B 1%0.13 01/31/23 250,000 0.3 0.2 0.1 (0.1)(0.2)0.92 0.92 0.92 0.92 0.92 0.3 0.3 0.3 0.3 0.3 8 092765EW2 BLAINE MN 1%2.25 02/01/23 395,000 0.3 0.2 0.1 (0.1)(0.2)2.25 2.25 2.25 2.25 2.25 0.3 0.3 0.3 0.3 0.3 9 161664HC4 CHASKA MN 0%2.25 02/01/23 145,000 0.3 0.2 0.1 (0.1)(0.2)2.25 2.25 2.25 2.25 2.25 0.3 0.3 0.3 0.3 0.3 10 73723RSP9 PORTSMOUTH VA 1%3.09 02/01/23 500,000 0.3 0.2 0.1 (0.1)(0.2)2.25 2.25 2.25 2.25 2.25 0.3 0.3 0.3 0.3 0.3 11 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 120,000 0.3 0.2 0.1 (0.1)(0.2)2.49 2.49 2.49 2.49 2.49 0.3 0.3 0.3 0.3 0.3 12 556583D58 MADISON AL 1%1.05 04/01/23 495,000 0.5 0.2 0.1 (0.1)(0.2)0.90 0.90 0.90 0.90 0.90 0.5 0.5 0.5 0.5 0.5 13 792882BV3 ST PAUL MN 1%3.00 05/01/23 250,000 0.6 0.3 0.1 (0.1)(0.3)1.90 1.90 1.90 1.90 1.90 0.6 0.6 0.6 0.6 0.6 14 06654BCK5 BANKWELL BANK 1%0.35 07/28/23 249,000 0.8 0.4 0.2 (0.2)(0.4)0.35 0.35 0.35 0.35 0.35 0.8 0.8 0.8 0.8 0.8 15 949763X43 WELLS FARGO BANK NA 1%3.00 07/28/23 242,000 0.8 0.4 0.2 (0.2)(0.4)2.97 2.97 2.97 2.97 2.97 0.8 0.8 0.8 0.8 0.8 16 3130ANYM6 FEDERAL HOME LOAN BANK 1%0.13 08/28/23 500,000 0.9 0.4 0.2 (0.2)(0.4)3.63 3.63 3.63 3.63 3.63 0.9 0.9 0.9 0.9 0.9 17 91282CCU3 US TREASURY N/B 1%0.13 08/31/23 250,000 0.9 0.4 0.2 (0.2)(0.4)1.29 1.29 1.29 1.29 1.29 0.9 0.9 0.9 0.9 0.9 18 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 205,000 0.9 0.5 0.2 (0.2)(0.4)2.85 2.85 2.85 2.85 2.85 0.9 0.9 0.9 0.9 0.9 Year 1 39%2.57 13,642,925 0.2 0.1 0.0 (0.0)(0.1)2.55 2.55 2.55 2.55 2.55 0.2 0.2 0.2 0.2 0.2 19 3133EMBS0 FEDERAL FARM CREDIT BANK 1%0.20 10/02/23 500,000 1.0 0.5 0.2 (0.2)(0.5)0.21 0.21 0.21 0.21 0.21 1.0 1.0 1.0 1.0 1.0 20 3133EJQA0 FEDERAL FARM CREDIT BANK 1%3.00 10/23/23 500,000 1.1 0.5 0.3 (0.3)(0.5)2.88 2.88 2.88 2.88 2.88 1.0 1.0 1.0 1.0 1.0 21 87164DTQ3 SYNOVUS BANK GA 1%3.00 10/27/23 245,000 1.1 0.5 0.3 (0.3)(0.5)3.00 3.00 3.00 3.00 3.00 1.0 1.0 1.0 1.0 1.0 22 161664HD2 CHASKA MN 0%2.40 02/01/24 150,000 1.3 0.6 0.3 (0.3)(0.6)2.40 2.40 2.40 2.40 2.40 1.3 1.3 1.3 1.3 1.3 23 07371DEK9 BEAL BANK USA 1%3.05 02/07/24 245,000 1.4 0.7 0.3 (0.3)(0.6)3.05 3.05 3.05 3.05 3.05 1.3 1.3 1.3 1.3 1.3 24 579100UL0 MCALLEN TX INDEP SCH DIST 1%4.00 02/15/24 500,000 1.4 0.7 0.3 (0.3)(0.7)1.70 1.70 1.70 1.70 1.70 1.3 1.3 1.3 1.3 1.3 25 200003EC1 COMANCHE CNTY OK INDEP SCH DIS 1%2.00 03/01/24 300,000 1.4 0.7 0.3 (0.3)(0.7)1.70 1.70 1.70 1.70 1.70 1.4 1.4 1.3 1.3 1.3 26 6448007H1 NEW HANOVER CNTY NC 1%0.38 06/01/24 500,000 1.7 0.8 0.4 (0.4)(0.8)1.73 1.73 1.73 1.73 1.73 1.6 1.6 1.6 1.6 1.6 27 947547PY5 WEBBANK 1%3.20 07/26/24 245,000 1.8 0.9 0.4 (0.4)(0.9)3.20 3.20 3.20 3.20 3.20 1.7 1.7 1.7 1.7 1.7 28 90348J4R8 UBS BANK USA 1%3.20 07/29/24 249,000 1.8 0.9 0.4 (0.4)(0.9)3.22 3.22 3.22 3.22 3.22 1.7 1.7 1.7 1.7 1.7 29 574193TQ1 MARYLAND ST 1%0.51 08/01/24 500,000 1.8 0.9 0.4 (0.4)(0.9)0.45 0.45 0.45 0.45 0.45 1.8 1.8 1.8 1.8 1.8 31 61768ELE1 MORGAN STANLEY PVT BANK 1%3.30 08/05/24 245,000 1.8 0.9 0.4 (0.4)(0.9)3.30 3.30 3.30 3.30 3.30 1.8 1.8 1.8 1.8 1.7 30 61690UP79 MORGAN STANLEY BANK NA 1%3.35 08/05/24 245,000 1.8 0.9 0.4 (0.4)(0.9)3.35 3.35 3.35 3.35 3.35 1.8 1.8 1.8 1.7 1.7 32 3130AGWK7 FEDERAL HOME LOAN BANK 1%1.50 08/15/24 500,000 1.9 0.9 0.5 (0.5)(0.9)0.28 0.28 0.28 0.28 0.28 1.8 1.8 1.8 1.8 1.8 33 91282CCT6 US TREASURY N/B 1%0.38 08/15/24 250,000 1.9 0.9 0.5 (0.5)(0.9)1.57 1.57 1.57 1.57 1.57 1.8 1.8 1.8 1.8 1.8 34 254673Q74 DISCOVER BANK 1%3.30 08/22/24 245,000 1.9 0.9 0.5 (0.5)(0.9)3.30 3.30 3.30 3.30 3.30 1.8 1.8 1.8 1.8 1.8 35 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 247,000 1.9 0.9 0.5 (0.5)(0.9)2.00 2.00 2.00 2.00 2.00 1.8 1.8 1.8 1.8 1.8 36 3134GWKT2 FREDDIE MAC 1%0.50 08/26/24 500,000 1.9 0.9 0.5 (0.5)(0.9)0.50 0.50 0.50 0.50 0.50 1.9 1.9 1.9 1.8 1.8 37 05600XJH4 BMO HARRIS BANK NA 1%4.05 09/23/24 245,000 2.0 0.9 0.5 (0.5)(0.9)4.05 4.05 4.05 4.05 4.05 1.9 1.9 1.9 1.9 1.9 Year 2 18%2.04 6,411,000 1.6 0.8 0.4 (0.4)(0.8)1.89 1.89 1.89 1.89 1.89 1.5 1.5 1.5 1.5 1.5 38 3134GXNJ9 FREDDIE MAC 1%2.22 12/27/24 500,000 2.2 1.1 0.5 (0.5)(1.1)2.22 2.22 2.22 2.22 2.22 2.1 2.1 2.1 2.1 2.1 39 092765EY8 BLAINE MN 1%2.55 02/01/25 400,000 2.3 1.1 0.6 (0.6)(1.1)2.05 2.05 2.05 2.05 2.05 2.2 2.2 2.2 2.2 2.2 40 34520LAG8 FORBRIGHT BANK 1%3.55 03/21/25 249,000 2.5 1.2 0.6 (0.6)(1.2)3.58 3.58 3.58 3.58 3.58 2.3 2.3 2.3 2.3 2.3 41 02589ACJ9 AMERICAN EXPR NATL BK 1%2.90 05/05/25 246,000 2.6 1.2 0.6 (0.6)(1.2)2.90 2.90 2.90 2.90 2.90 2.4 2.4 2.4 2.4 2.4 42 14042RQY0 CAPITAL ONE NA 1%2.95 05/05/25 246,000 2.6 1.2 0.6 (0.6)(1.2)2.95 2.95 2.95 2.95 2.95 2.4 2.4 2.4 2.4 2.4 43 161035KH2 CHARLOTTE NC 1%1.62 07/01/25 500,000 2.8 1.3 0.7 (0.7)(1.3)1.07 1.07 1.07 1.07 1.07 2.6 2.6 2.6 2.6 2.6 44 06740KQZ3 BARCLAYS BANK/DELAWARE 1%3.30 07/28/25 245,000 2.8 1.3 0.7 (0.7)(1.3)3.30 3.30 3.30 3.30 3.30 2.6 2.6 2.6 2.6 2.6 45 87165HQ78 SYNCHRONY BANK 1%3.40 07/29/25 245,000 2.8 1.3 0.7 (0.7)(1.3)3.40 3.40 3.40 3.40 3.40 2.6 2.6 2.6 2.6 2.6 46 6775224C5 OHIO ST 2%0.94 08/01/25 700,000 2.8 1.4 0.7 (0.7)(1.4)0.68 0.68 0.68 0.68 0.68 2.7 2.7 2.7 2.7 2.7 47 14042TJJ7 CAPITAL ONE BANK USA NA 1%3.35 08/11/25 245,000 2.9 1.4 0.7 (0.7)(1.3)3.35 3.35 3.35 3.35 3.35 2.7 2.7 2.7 2.7 2.7 48 795451CB7 SALLIE MAE BANK/SALT LKE 1%3.35 08/11/25 245,000 2.9 1.4 0.7 (0.7)(1.3)3.35 3.35 3.35 3.35 3.35 2.7 2.7 2.7 2.7 2.7 Portfolio Analysis 15 Positions by Maturity - Scenario Analysis Market Price (%∆)Book Yield Effective Duration %Final DN DN UP UP DN DN Base UP UP DN DN Base UP UP ID CUSIP Issuer Port Cpn Maturity Par WAM DN 50 DN 25 UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 49 32022RSQ1 1ST FINANCIAL BANK USA 1%3.10 08/12/25 245,000 2.9 1.4 0.7 (0.7)(1.3)3.12 3.12 3.12 3.12 3.12 2.7 2.7 2.7 2.7 2.7 50 4095585H2 HAMPTON VA 2%4.00 09/01/25 600,000 2.9 1.4 0.7 (0.7)(1.3)3.30 3.30 3.30 3.30 3.30 2.7 2.7 2.7 2.7 2.7 51 05580AP65 BMW BANK NORTH AMERICA 1%3.45 09/09/25 245,000 2.9 1.4 0.7 (0.7)(1.4)3.45 3.45 3.45 3.45 3.45 2.8 2.8 2.8 2.7 2.7 52 3137EAEX3 FREDDIE MAC 1%0.38 09/23/25 500,000 3.0 1.5 0.7 (0.7)(1.4)0.38 0.38 0.38 0.38 0.38 2.9 2.9 2.9 2.9 2.9 53 32056GDQ0 FIRST INTERNET BK OF IN 1%4.00 09/29/25 245,000 3.0 1.4 0.7 (0.7)(1.4)4.03 4.03 4.03 4.03 4.03 2.8 2.8 2.8 2.8 2.8 Year 3 16%2.54 5,656,000 2.7 1.3 0.7 (0.6)(1.3)2.35 2.35 2.35 2.35 2.35 2.6 2.6 2.6 2.6 2.6 54 35880CD68 FRISCO TX INDEP SCH DIST 0%1.21 02/15/26 150,000 3.4 1.6 0.8 (0.8)(1.6)0.95 0.95 0.95 0.95 0.95 3.2 3.2 3.2 3.2 3.2 55 98267AEM7 WYANDOTTE CNTY/KANS CITY KANUN 1%1.30 08/01/26 300,000 3.8 1.8 0.9 (0.9)(1.8)1.40 1.40 1.40 1.40 1.40 3.7 3.7 3.6 3.6 3.6 56 3133EJD55 FEDERAL FARM CREDIT BANK 1%3.30 09/28/26 500,000 4.0 1.9 0.9 (0.9)(1.8)3.14 3.14 3.14 3.14 3.14 3.7 3.7 3.7 3.7 3.7 Year 4 3%2.34 950,000 3.8 1.8 0.9 (0.9)(1.8)2.25 2.25 2.25 2.25 2.25 3.6 3.6 3.6 3.6 3.6 57 35880CD76 FRISCO TX INDEP SCH DIST 1%1.36 02/15/27 225,000 4.4 2.1 1.0 (1.0)(2.1)1.12 1.12 1.12 1.12 1.12 4.2 4.2 4.1 4.1 4.1 58 3130AJ4B2 FEDERAL HOME LOAN BANK 1%1.63 03/12/27 500,000 4.4 2.1 1.1 (1.0)(2.1)0.80 0.80 0.80 0.80 0.80 4.2 4.2 4.2 4.2 4.2 59 3130AJRQ4 FEDERAL HOME LOAN BANK 1%1.00 06/25/27 500,000 4.7 2.3 1.1 (1.1)(2.2)1.00 1.00 1.00 1.00 1.00 4.5 4.5 4.5 4.5 4.5 60 856285Q61 STATE BANK OF INDIA 1%3.60 08/09/27 245,000 4.9 2.2 1.1 (1.1)(2.2)3.60 3.60 3.60 3.60 3.60 4.4 4.4 4.4 4.4 4.3 Year 5 4%1.70 1,470,000 4.6 2.2 1.1 (1.1)(2.1)1.38 1.38 1.38 1.38 1.38 4.3 4.3 4.3 4.3 4.3 61 059189D23 BALTIMORE MD 2%4.00 10/15/27 500,000 5.0 2.3 1.1 (1.1)(2.2)1.62 1.62 1.62 1.62 1.62 4.4 4.4 4.4 4.4 4.4 62 3138LL5T8 Fannie Mae 2%2.96 01/01/28 500,000 5.3 2.5 1.3 (1.2)(2.5)1.65 1.65 1.65 1.65 1.65 5.0 5.0 5.0 5.0 5.0 63 13063DC48 CALIFORNIA ST 1%1.70 02/01/28 500,000 5.3 2.5 1.3 (1.2)(2.5)2.42 2.42 2.42 2.42 2.42 5.0 5.0 5.0 5.0 4.9 64 3138LM6U2 Fannie Mae 1%3.44 05/01/28 350,000 5.6 2.6 1.3 (1.3)(2.5)2.33 2.33 2.33 2.33 2.33 5.1 5.1 5.1 5.1 5.1 Year 6 6%2.99 1,850,000 5.3 2.5 1.2 (1.2)(2.4)1.96 1.96 1.96 1.96 1.96 4.8 4.8 4.8 4.8 4.8 65 602245YZ9 MILWAUKEE CNTY WI 6%3.43 12/01/28 2,000,000 6.2 0.1 0.0 (0.0)(0.1)1.61 1.61 1.61 1.61 1.61 0.2 0.2 0.2 0.2 0.2 Year 7 6%3.43 2,000,000 6.2 0.1 0.0 (0.0)(0.1)1.61 1.61 1.61 1.61 1.61 0.2 0.2 0.2 0.2 0.2 66 265138LK1 DUNCANVILLE TX INDEP SCH DIST 2%5.00 02/15/30 500,000 7.4 3.1 1.5 (1.5)(3.0)2.30 2.30 2.30 2.30 2.30 6.1 6.1 6.1 6.1 6.0 67 052430TS4 AUSTIN TX INDEP SCH DIST 3%3.00 08/01/30 870,000 7.8 3.5 1.7 (1.7)(3.3)2.20 2.20 2.20 2.20 2.20 6.8 6.8 6.8 6.7 6.7 68 1073358S3 BRENTWOOD TN 1%2.00 09/01/30 290,000 7.9 3.6 1.8 (1.8)(3.5)1.73 1.73 1.73 1.73 1.73 7.1 7.1 7.1 7.1 7.1 Year 8 5%3.43 1,660,000 7.7 3.4 1.7 (1.6)(3.2)2.16 2.16 2.16 2.16 2.16 6.6 6.6 6.6 6.6 6.5 69 787758C74 SAINT CHARLES IL 1%1.90 12/01/30 520,000 8.2 3.7 1.8 (1.8)(3.6)1.80 1.80 1.80 1.80 1.80 7.3 7.3 7.3 7.2 7.2 Year 9 1%1.90 520,000 8.2 3.7 1.8 (1.8)(3.6)1.80 1.80 1.80 1.80 1.80 7.3 7.3 7.3 7.2 7.2 70 3140LEEE3 Fannie Mae 2%1.99 11/01/31 750,000 9.1 4.3 2.1 (2.1)(4.1)1.81 1.81 1.81 1.81 1.81 8.4 8.4 8.4 8.3 8.3 Year 10 2%1.99 750,000 9.1 4.3 2.1 (2.1)(4.1)1.81 1.81 1.81 1.81 1.81 8.4 8.4 8.4 8.3 8.3 Total Portfolio 100%2.52 34,909,925 2.5 0.9 0.5 (0.5)(0.9)2.20 2.20 2.20 2.20 2.20 1.8 1.8 1.8 1.8 1.8 Portfolio Analysis 16 Product Detail Treasury, Agency, SSA - Summary Issuer / Sector Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Call Type% Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Bullet Amer Euro Berm Treasury 3 2%11%750,000 0.21 98.83 96.07 (20,702)1.26 4.05 1.0 1.0 0.0 100%--100%--- FHLB 5 6%34%2,205,000 1.28 100.67 92.38 (182,889)1.53 4.28 2.8 2.6 0.1 100%--77%23%-- FHLMC 3 4%23%1,500,000 1.03 100.00 92.47 (112,900)1.03 4.39 2.4 2.3 0.1 100%--33%33%-33% FFCB 4 6%32%2,100,000 2.00 100.17 97.89 (47,868)1.95 3.88 1.5 1.3 0.0 100%--100%--- Sector Total 15 19%100%6,555,000 1.34 100.15 94.59 (364,359)1.52 4.15 2.1 1.9 0.1 100%77%15%8% FFCB 32% FHLB 34% FHLMC 23% Treasury 11% Bullet 77% Amer 15% Berm 8% Fixed 100% Issuer Structure Coupon Portfolio Analysis 18 Money Market Sector - Summary Money Market Product Distribution (%)Cash Flows by Month -12 Months ($) Agency, 9% Certificate of Deposit, 5% MMF, 59% Municipal, 22% Treasury, 4% 0 1,000,000 2,000,000 3,000,000 4,000,000 5,000,000 6,000,000 7,000,000 8,000,000 9,000,000 O/N 1 2 3 4 5 6 7 8 9 10 11 12 Money Market Sector includes all securities with maturity less than 12 months. Portfolio Analysis 19 Certificates of Deposit - Summary Structure Line %% Total Par Book Market Book Market Eff Eff Type Items Port Sector Cpn Amount Price Price G / L Yield Yield WAM Dur Cvx Fixed 23 16%100%3.04 5,652,000 100.00 97.84 (122,187)3.04 4.23 2.2 2.0 0.1 Sector Total 23 16%100%3.04 5,652,000 100.00 97.84 (122,187)3.04 4.23 2.2 2.0 0.1 Portfolio Analysis 20 Municipal - Summary Issue Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Agg LT Ratings Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Moody's S&P GO Limited 2 3%7%895,000 1.62 100.09 99.07 (9,064)1.26 3.88 0.4 0.3 0.0 100%--Aa1 AA+ GO Unlimited 25 35%92%12,015,000 2.70 101.99 94.76 (868,877)1.82 4.25 4.0 2.5 0.1 100%--Aa1 AA+ Revenue 1 0%1%120,000 2.50 100.00 99.53 (570)2.49 3.93 0.3 0.3 0.0 100%--AAA Sector Total 28 38%100%13,030,000 2.62 101.84 95.10 (878,511)1.79 4.22 3.7 2.3 0.1 100%Aa1 AA+ Sector Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Agg LT Ratings Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Moody's S&P General 22 30%80%10,485,000 2.48 100.75 95.29 (572,389)1.76 4.14 3.3 1.8 0.1 100%--Aa1 AA+ School District 6 8%20%2,545,000 3.22 106.34 94.31 (306,122)1.91 4.53 5.3 4.4 0.3 100%--Aaa AA+ Sector Total 28 38%100%13,030,000 2.62 101.84 95.10 (878,511)1.79 4.22 3.7 2.3 0.1 100%Aa1 AA+ GO Limited 7% GO Unlimited 92% Revenue 1% Fixed 100% Issuer Coupon Portfolio Analysis 21 CMBS & SBA - Summary Sector Profile Ratings Product Line %% Total Par Bk Mkt Bk Mkt Eff Eff Loan Rem Type Items Port Sector Cpn Amount Price Price G / L Yld Yld OAS Dur Cvx WAL Count CE Moody S&P Fitch IO Fannie Mae 3 5%100%2.61 1,600,000 104.16 87.25 (270,602)1.87 4.62 138 6.5 0.4 7.1 1 ----75 Sector Total 3 5%100%2.61 1,600,000 ####87.25 (270,602)1.87 4.62 138 6.5 0.4 7.1 1 75 Collateral Summary Product Line %% Total Collateral Breakdown Collateral Type Loan Status Dlq Dlq Dlq Type Items Port Sector Cpn WAM WALA Loan Size LTV HPI LTV DSCR Office M Fam Retail Hotel Other Foreclose Defeas Prepaid Bnkrpt 30+60+90+ Fannie Mae 3 5%100%2.61 7 34 92,239,625 62 48 2.38 ----100%----0%0%0% Sector Total 3 5%100%2.61 7 34 92,239,625 62 48 2.38 100%0%0%0% Other 100% Fannie Mae 100% Collateral TypeProduct Type Portfolio Analysis 22 MMF: Historical Performance Weighted Average Maturity -WAM (Days) Daily Liquid Assets (%) Weekly Liquid Assets (%) 0 10 20 30 40 50 60 70 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 SEC Threshold AGPXX 0 10 20 30 40 50 60 70 80 90 100 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 SEC Threshold AGPXX 20 30 40 50 60 70 80 90 100 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 SEC Threshold AGPXX * Gates / Fees Threshold -SEC designated thresholds for Money Market Funds Portfolio Analysis 23 MMF: Historical Performance Net Asset Value (NAV)7 Day Yield (%) Expense Ratio (bps)Daily Fund Flows ($000) 0.0000 0.2000 0.4000 0.6000 0.8000 1.0000 1.2000 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 AGPXX 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 AGPXX 0.000 0.100 0.200 0.300 0.400 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 AGPXX -6,000 -4,000 -2,000 0 2,000 4,000 6,000 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 AGPXX Portfolio Analysis 24 MMF: Fund Profiles Fund Name:Invesco Govt & Agency Instutional - AGPXX AUM Flows ($MM)WAM (Days)WAL (Days)7D Yield (%)DLA (%)WLA (%)Share Class Flows ($MM)MNAV Current 65,247 10 105 2.88 91 95 3,815 1.0000 Previous Month 69,053 14 105 2.22 89 93 (543)1.0000 MoM Change (3,806)(4)0 0.66 2 2 4,358 0.0000 52 Week High N/A 56 116 2.89 91 96 4,822 1.0000 52 Week Low N/A 9 81 0.03 60 79 (5,434)1.0000 Portfolio Analysis 25 Strategy Group Contact Information Name Title Phone Email Short Duration Strategy Vanessa McMichael, CTP Director (704) 410-4530 vanessa.mcmichael@wellsfargo.com Depository Strategy Charlie Crowley Managing Director (212) 214-5430 charlie.crowley@wellsfargo.com Jeff Layman, CFA Vice President (704) 410-5474 jeffrey.layman@wellsfargo.com Strategy Generalist Will Fisher Director (704) 410-6239 william.fisher@wellsfargo.com Jonathan O’ Hanlon Director (704) 410-3853 jonathan.ohanlon@wellsfargo.com Jacob Jernigan, CPA Vice President (704) 410-2915 jacob.jernigan2@wellsfargo.com Melissa Atkins Associate (704) 410-0114 melissa.atkins@wellsfargo.com Michael McCarthy Associate (704) 410-0087 michael.mccarthy4@wellsfargo.com Nick Pergakis Analyst (704) 410-5575 nicholas.pergakis@wellsfargo.com Reagan Werner Analyst (704) 410-0433 reagan.h.werner@wellsfargo.com Portfolio Accounting Kamari Hauglid Analyst (612) 667-8818 kamarihauglid@wellsfargo.com Portfolio Analysis 26 Assumptions 1.Calculation engine is ZM for all asset classes except for Money Market Funds. Money Market Fund information is provided by Crane Data . 2.Money Market Funds assume a book price of par ($100.00). 3.All data provided by Bloomberg LLC., IDC Pricing Service, Crane Data and Wells Fargo Securities. 4.Cash flows are generated by Yield Book, Intex, Bloomberg or ZM depending on sector and structure: ZM –Non-prepay bullet structures including municipals, corporates, agencies, SSA, teasuries, CDs and commercial paper. Yield Book –Mortgage products, including MBS passthroughs, CMOs, ARMs, agency CMBS and floating rate structures. Intex –Structured products, including ABS, CLOs and non-agency RMBS and CMBS. Analysis assumes all scheduled and unscheduled principal cash flows provided directly by Third Party systems (Yield Book) flo w into the Maturity bucket on the Cash Flow Projections page. 5.Ratings data are provided by Moody's, S&P and Fitch. Aggregate ratings are based on a proprietary scale. 6.Projected Call Report -Assumes OAS is held constant with market price based yield-to-worst call logic. Sorted by projected calls in the base case scenario. Base Case scenario assumes no rate changes. 7.Client provided market prices are used for the analysis. In the absence of client market data, BVAL and/or IDC pricing is us ed. 8.Historical Analysis is a combination of previously run Bond Edge Reports and ZM Financial. This page will be updated over time as reports are requ ested. 9.Yield on tax-exempt municipals are calculated using a 21% tax rate or as directed by client. 10.12 Month Horizon Analysis assumes 12 month horizon with a reinvestment rate of 1M LIBOR. Rate shocks are gradual over the ho rizon and parrallel shifts to the curve. 11.Prepayment, default and severity assumptions used: Bonds run through Yield Book –Yield Book Long Term Projected CPR GN CMBS –15 CPJ FN/FH CMBS -0 CPY Conduit CMBS -0 CPY, CDR and SEV ABS Student –6 CPR ABS Card -Historical MPR ABS Auto -1.3 ABS SBAs & NGNs –10 CPR Non-agency CMOs –Yield Book if available otherwise 6mo historical VPR, CDR and SEV taken from Bloomberg. 12.Money Market Fund Profiles AUM Flows:Total fund MoM flows Share Class:Total share class MoM flows 13.Yield Curve Shock Scenarios:instantaneous rate shocks to the static curve held constant over the life of the securities, utilizing Intex for structured products (when applicable) and Yield Book for other amortizing securities. Standard scenarios: parallel shifts of -100,-50,-25,0,+25,+50,+100,+200,+300, Bear Flat,Bull Steep, Bull Flat, Bear Steep. Customized scenarios at the request of client or as determined by WFS Portfolio Strategy Portfolio Analysis 27 Disclaimer This publication is intended for institutional accounts only. Please do not forward to any person that does not meet the definition of an Institutional Account as defined in FINRA Rule 4512. This Commentary is a product of Wells Fargo Corporate and Investment Banking (“CIB”) Fixed Income Sales and Trading and is not a product of Wells Fargo Research. The views expressed herein might differ from those of Research. This communication is for informational purposes only, is not an offer, solicitation, recommendation or commitment for any transaction or to buy or sell any security or other financial product, and is not intended as investment advice or as a confi rmation of any transaction. Interested parties are advised to contact the entity with which they deal, or the entity that provided th is report to them, if they desire further information. This communication not intended to provide, and must not be relied on for, accounting, legal, regulatory, tax, business, fina ncial or related advice. 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