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Investment Report 12-31-2022City of Chanhassen Analysis Date:1/18/2023 Portfolio as of:12/30/2022 Market Data as of:12/30/2022 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 17 Cash Flow Report 4 Money Market Sector - Summary 18 Historical Performance 6 Brokered CD - Summary 19 Duration Contribution 7 Municipal - Summary 20 Credit Rating Monitor 8 CMBS & SBA - Summary 21 Positions by Sector 10 MMF Historical Performance 22 Positions by Maturity 12 MMF Fund Profiles 24 Positions by Maturity - Scenario Analysis 14 2 Portfolio Summary Portfolio Snapshot Coupon Structure Sector Allocation Number of Positions 81 Par ($000)36,014 Book Value ($000)36,290 Mkt Value w/o Accrd ($000)34,646 Unrlzed Gain / Loss ($000)(1,644) Coupon 2.97 Book Yield 2.83 Market Yield 4.51 Wgt Avg Maturity 2.4 Average Life 2.4 Effective Duration 2.1 Effective Convexity 0.1 Overnight Funds Principal 8,676 Overnight Funds Interest 1 Term Securities Principal 4,846 Term Securities Interest 679 Total Cash Flow 14,202 A-1+/A-1/P-1 A-2 / P-2 A-3 / P-3 Not Prime NA Short Term Rating 15% 26% 1% 58% 31% 13% 1% 55% 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 14.4% Certificate of Deposit 19.2% CMBS 4.6% MMF 23.9% Municipal 35.8% Treasury 2.0% 4.24 0.92 2.28 0.90 1.90 1.64 2.85 2.85 1.83 1.98 2.29 2.58 2.82 0.00 1.00 2.00 3.00 4.00 5.00 0 2,000,000 4,000,000 6,000,000 8,000,000 10,000,000 12,000,000 14,000,000 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 1,007 0 8,676,340 4.24 8,677,347 8,677,347 Jan-23 30,239 0 250,000 0.92 280,239 8,957,586 Feb-23 139,179 0 1,160,000 2.28 1,299,179 10,256,765 Mar-23 72,450 0 0 0.00 72,450 10,329,216 Apr-23 30,374 0 495,000 0.90 525,374 10,854,589 May-23 20,614 0 250,000 1.90 270,614 11,125,204 Jun-23 31,162 0 0 0.00 31,162 11,156,365 Jul-23 37,207 0 491,000 1.64 528,207 11,684,572 Aug-23 128,178 0 750,000 2.85 878,178 12,562,750 Sep-23 72,132 0 205,000 2.85 277,132 12,839,882 Oct-23 29,506 0 1,245,000 1.83 1,274,506 14,114,388 Nov-23 16,980 0 0 0.00 16,980 14,131,369 Year 1 Dec-23 71,074 0 0 0.00 71,074 14,202,442 Jan-24 25,972 0 0 0.00 25,972 14,228,415 Feb-24 127,650 0 895,000 2.19 1,022,650 15,251,065 Mar-24 68,440 0 300,000 1.70 368,440 15,619,505 Apr-24 19,785 0 0 0.00 19,785 15,639,290 May-24 16,864 0 0 0.00 16,864 15,656,154 Jun-24 51,190 0 500,457 1.73 551,647 16,207,801 Jul-24 25,877 0 494,459 3.21 520,337 16,728,138 Aug-24 111,533 0 2,732,461 1.73 2,843,993 19,572,131 Sep-24 65,004 0 245,463 4.04 310,467 19,882,598 Oct-24 18,999 0 464 2.33 19,464 19,902,062 Nov-24 16,309 0 466 2.33 16,776 19,918,838 Year 2 Dec-24 52,304 0 745,468 3.55 797,771 20,716,609 Jan-25 21,379 0 470 2.33 21,848 20,738,457 Feb-25 90,099 0 400,471 2.05 490,570 21,229,028 Mar-25 54,138 0 249,473 3.57 303,611 21,532,639 Apr-25 18,370 0 475 2.33 18,845 21,551,484 May-25 15,489 0 492,477 2.92 507,966 22,059,450 Jun-25 42,830 0 479 2.33 43,309 22,102,758 Jul-25 20,541 0 990,480 2.42 1,011,021 23,113,779 Aug-25 84,300 0 1,435,482 2.35 1,519,782 24,633,561 Sep-25 53,134 0 1,590,484 2.72 1,643,618 26,277,179 Oct-25 16,797 0 486 2.33 17,283 26,294,462 Nov-25 6,911 0 488 2.33 7,399 26,301,860 Year 3 Dec-25 41,257 0 490 2.33 41,746 26,343,607 Portfolio Analysis 4 Cash Flow Projections - Continued Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) Jan-26 6,908 0 491 2.33 7,399 26,351,006 Feb-26 71,302 0 150,493 0.95 221,795 26,572,801 Mar-26 34,772 0 495 2.33 35,267 26,608,068 Apr-26 16,904 0 497 2.33 17,401 26,625,469 May-26 6,787 0 499 2.33 7,286 26,632,755 Jun-26 41,363 0 501 2.33 41,864 26,674,619 Jul-26 6,784 0 503 2.33 7,287 26,681,906 Aug-26 70,384 0 700,505 3.13 770,888 27,452,794 Sep-26 35,109 0 1,050,506 3.86 1,085,615 28,538,409 Oct-26 16,780 0 508 2.33 17,288 28,555,697 Nov-26 6,893 0 510 2.33 7,403 28,563,101 Year 4 Dec-26 41,298 0 890,512 4.17 931,810 29,494,911 Jan-27 6,012 0 514 2.33 6,526 29,501,438 Feb-27 58,547 0 875,516 3.54 934,063 30,435,501 Mar-27 12,628 0 500,518 0.80 513,146 30,948,647 Apr-27 16,008 0 520 2.33 16,528 30,965,175 May-27 5,892 0 522 2.33 6,414 30,971,588 Jun-27 25,444 0 500,524 1.00 525,969 31,497,557 Jul-27 5,889 0 526 2.33 6,415 31,503,971 Aug-27 52,736 0 245,528 3.60 298,264 31,802,235 Sep-27 8,900 0 530 2.33 9,430 31,811,665 Oct-27 15,884 0 500,532 1.62 516,416 32,328,081 Nov-27 5,997 0 534 2.33 6,531 32,334,612 Year 5 Dec-27 22,738 0 1,235,536 4.06 1,258,274 33,592,886 Jan-28 3,533 0 500,538 1.65 504,071 34,096,958 Feb-28 44,557 0 500,540 2.42 545,097 34,642,055 Mar-28 5,010 0 542 2.33 5,552 34,647,607 Apr-28 2,254 0 544 2.33 2,798 34,650,405 May-28 2,180 0 326,521 2.33 328,701 34,979,106 Jun-28 6,225 0 0 0.00 6,225 34,985,331 Jul-28 1,244 0 0 0.00 1,244 34,986,575 Aug-28 39,335 0 0 0.00 39,335 35,025,910 Sep-28 4,185 0 0 0.00 4,185 35,030,096 Oct-28 1,244 0 0 0.00 1,244 35,031,339 Nov-28 1,285 0 0 0.00 1,285 35,032,625 Year 6 Dec-28 6,184 0 0 0.00 6,184 35,038,808 Portfolio Analysis 5 Historical Performance # Line Avg Total Par Avg Bk Avg Mkt Bnchmrk Wgt Avg Eff Ratings Portfolio Allocation* Date Items Coupon ($000)G / L Yield Yield Tsy Yield Maturity Dur Moody's S&P MMF Govt Corp CD/CP Muni Other 12/31/22 81 2.97 36,014 (1,644)2.83 4.51 4.41 2.4 2.1 Aa1 AA+24%21%0%19%36%0% 09/30/22 72 2.52 34,910 (1,636)2.20 3.91 4.23 2.5 1.8 Aa1 AA+23%23%0%16%38%0% 06/30/22 58 1.91 34,318 (1,046)1.52 2.46 2.93 2.4 1.8 Aa1 AA+31%25%0%5%40%0% 03/31/22 54 1.60 27,822 (608)1.30 1.72 2.38 2.5 2.2 Aa1 AA+25%29%0%4%42%0% 12/31/21 46 1.24 27,722 107 0.99 0.59 0.65 1.9 1.8 Aa1 AA+39%22%0%6%33%0% 09/30/21 48 1.01 31,877 267 0.84 0.29 0.10 1.1 1.1 Aa1 AA+49%17%0%9%26%0% 06/30/21 53 1.40 29,463 336 1.16 0.31 0.13 1.4 1.3 Aa1 AA+25%21%9%11%33%0% 05/31/21 52 1.97 20,765 361 1.63 0.54 0.14 2.0 1.9 Aa1 AA+7%30%0%15%47%0% 03/31/21 58 1.65 26,848 391 1.47 0.37 0.12 1.7 1.6 Aa1 AA+13%27%8%14%38%0% 12/31/20 66 1.63 30,976 548 1.35 0.33 0.12 1.7 1.6 Aaa AA+24%23%0%14%38%0% 09/30/20 69 1.70 31,022 548 1.43 0.40 0.13 1.9 1.7 Aaa AA+19%28%0%15%38%0% 06/30/20 64 1.71 32,036 577 1.53 0.48 0.16 1.7 1.5 Aaa AA+26%27%0%14%33%0% 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 4.50 5.00 Avg Book Yield Benchmark Treasury 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% MMF Govt Corp CD/CP Muni Other Portfolio Allocation*Book Yield vs. Treasury Benchmark * Portfolio Allocation is a new addition to portfolio analysis. Data will be added over time. Portfolio Analysis 6 Yield / Duration Contribution Book Market Book Eff Sector Total (%)Value ($)Value ($)G / L ($)Yield Dur Agency 14.4%5,224,435 4,901,745 (322,691)1.55 2.0 Certificate of Deposit 19.2%6,973,000 6,816,865 (156,135)3.37 2.3 CMBS 4.6%1,663,807 1,399,789 (264,018)1.87 6.2 MMF 23.9%8,676,340 8,676,340 0 4.24 0.0 Municipal 35.8%13,008,925 12,125,908 (883,017)2.34 3.1 Treasury 2.0%743,140 725,340 (17,799)1.26 0.8 Total Portfolio 100.0%36,289,647 34,645,987 (1,643,660)2.83 2.1 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 4.50 5.00 -0.5 0.5 1.5 2.5 3.5 4.5 5.5 6.5 7.5 Book Yield by Duration and Sector Portfolio Analysis 7 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 9 556583D58 Municipal MADISON AL 1.05 04/01/23 495,000 Aa3 12/05/22 -AA+04/22/20 ---- 58 95736VEY4 Municipal WESTCHESTER CNTY NY 5.00 12/15/26 400,000 Aa1 11/21/22 -AA+11/22/22 -AA+11/18/22 - 68 95736VEZ1 Municipal WESTCHESTER CNTY NY 5.00 12/15/27 400,000 Aa1 11/21/22 -AA+11/22/22 -AA+11/18/22 - 53 837545PB2 Municipal SOUTH DAKOTA ST CONSERVANCY DI 4.50 08/01/26 400,000 Aaa 10/04/22 -AAA 10/04/22 ---- 44 6775224C5 Municipal OHIO ST 0.94 08/01/25 700,000 Aa1 06/10/20 -AA+06/09/20 -AAA 09/08/22 - 55 052397B96 Municipal AUSTIN TX 5.00 09/01/26 400,000 ---AAA 08/25/22 -AA+08/22/22 - 30 91282CCT6 Treasury US TREASURY N/B 0.38 08/15/24 250,000 Aaa 06/24/22 ----AAAu 08/30/21 - 36 3134GXNJ9 Agency FREDDIE MAC 2.22 12/27/24 500,000 Aaa 03/10/22 -AA+03/09/22 -AAA 03/25/22 - 77 052430TS4 Municipal AUSTIN TX INDEP SCH DIST 3.00 08/01/30 870,000 Aaa 01/18/22 ------- 22 200003EC1 Municipal COMANCHE CNTY OK INDEP SCH DIS 2.00 03/01/24 300,000 ---A+01/14/22 ---- 61 150908KC4 Municipal CENTENNIAL MN INDEP SCH DIST #1.64 02/01/27 150,000 ---AAA 01/07/22 ---- 80 787758C74 Municipal SAINT CHARLES IL 1.90 12/01/30 520,000 Aa1 12/01/21 ------- 76 265138LK1 Municipal DUNCANVILLE TX INDEP SCH DIST 5.00 02/15/30 500,000 Aaa 11/15/21 -AAA 11/17/21 ---- 79 1073358S3 Municipal BRENTWOOD TN 2.00 09/01/30 290,000 Aaa 11/09/21 -AAA 11/16/21 ---- 13 3130ANYM6 Agency FEDERAL HOME LOAN BANK 0.13 08/28/23 500,000 Aaa 09/10/21 -AA+09/10/21 ---- 14 91282CCU3 Treasury US TREASURY N/B 0.13 08/31/23 250,000 ------AAAu 09/02/21 - 4 91282CBG5 Treasury US TREASURY N/B 0.13 01/31/23 250,000 Aaa 01/26/21 ----AAAu 06/21/21 - 67 059189D23 Municipal BALTIMORE MD 4.00 10/15/27 500,000 Aa2 05/27/21 -AA 05/28/21 ---- 74 13063DC48 Municipal CALIFORNIA ST 1.70 02/01/28 500,000 Aa2 03/25/21 -AA-03/26/21 -AA 03/25/21 - 23 6448007H1 Municipal NEW HANOVER CNTY NC 0.38 06/01/24 500,000 Aaa 01/25/21 -AAA 02/01/21 ---- 50 3137EAEX3 Agency FREDDIE MAC 0.38 09/23/25 500,000 Aaa 10/19/20 -AA+09/23/20 -AAA 09/29/20 - 78 269696NY2 Municipal EAGLE MOUNTAIN & SAGINAW TX IN 5.00 08/15/30 500,000 Aaa 10/15/20 ----AAA 10/19/20 - 16 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 - 21 579100UL0 Municipal MCALLEN TX INDEP SCH DIST 4.00 02/15/24 500,000 Aaa 09/30/20 ------- 33 3134GWKT2 Agency FREDDIE MAC 0.50 08/26/24 500,000 Aaa 08/03/20 ----AAA 08/27/20 - 54 98267AEM7 Municipal WYANDOTTE CNTY/KANS CITY KANUN 1.30 08/01/26 300,000 A1 08/07/20 -AA 08/07/20 ---- 56 47844PMY8 Municipal JOHNSON CNTY KS 4.00 09/01/26 150,000 Aaa 07/16/20 -AAA 07/17/20 -AAA 07/17/20 - 26 574193TQ1 Municipal MARYLAND ST 0.51 08/01/24 500,000 Aaa 07/13/20 -AAA 07/14/20 -AAA 07/08/20 - 65 3130AJRQ4 Agency FEDERAL HOME LOAN BANK 1.00 06/25/27 500,000 Aaa 06/22/20 -AA+06/22/20 ---- 62 79623PES0 Municipal SAN ANTONIO TX 1.23 02/01/27 500,000 Aaa 06/18/20 *-AAA 06/18/20 -AA+06/19/20 - 52 35880CD68 Municipal FRISCO TX INDEP SCH DIST 1.21 02/15/26 150,000 Aaa 06/10/20 -AAA 06/11/20 ---- 63 35880CD76 Municipal FRISCO TX INDEP SCH DIST 1.36 02/15/27 225,000 Aaa 06/10/20 -AAA 06/11/20 ---- 64 3130AJ4B2 Agency FEDERAL HOME LOAN BANK 1.63 03/12/27 500,000 Aaa 02/05/20 -AA+02/05/20 ---- 41 161035KH2 Municipal CHARLOTTE NC 1.62 07/01/25 500,000 Aaa 02/04/20 -AAA 02/04/20 -AAA 02/04/20 - 10 792882BV3 Municipal ST PAUL MN 3.00 05/01/23 250,000 ---AAA 11/08/19 ---- 29 3130AGWK7 Agency FEDERAL HOME LOAN BANK 1.50 08/15/24 500,000 Aaa 08/16/19 -AA+08/16/19 ---- 37 092765EY8 Municipal BLAINE MN 2.55 02/01/25 400,000 ---AAA 08/01/19 ---- 5 092765EW2 Municipal BLAINE MN 2.25 02/01/23 395,000 ---AAA 08/01/19 ---- 57 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 - 48 4095585H2 Municipal HAMPTON VA 4.00 09/01/25 600,000 Aa1 06/05/18 -AA+06/07/18 -AA+06/06/18 - 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 17 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 - 8 809557BB6 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.50 02/01/23 120,000 ---AAA 04/04/18 ---- 19 161664HD2 Municipal CHASKA MN 2.40 02/01/24 150,000 ---AA 11/02/17 ---- 6 161664HC4 Municipal CHASKA MN 2.25 02/01/23 145,000 ---AA 11/02/17 ---- 15 313383YJ4 Agency FEDERAL HOME LOAN BANK 3.38 09/08/23 205,000 Aaa 08/27/13 -AA+08/26/13 ---- 7 73723RSP9 Municipal PORTSMOUTH VA 3.09 02/01/23 500,000 Aa2 05/24/13 -AA 05/24/13 -AA 05/21/13 - FDIC-Insured brokered CDs are not included in the Credit Rating Monitor Portfolio Analysis 9 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 13 3130ANYM6 FEDERAL HOME LOAN BANK 1.3%0.13 08/28/23 Aaa AA+-Bullet 500,000 09/12/22 96.72 97.73 96.99 (3,693)3.63 4.80 0.7 0.6 0.0 15 313383YJ4 FEDERAL HOME LOAN BANK 0.6%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 100.35 98.99 (2,795)2.85 4.88 0.7 0.7 0.0 16 3133EMBS0 FEDERAL FARM CREDIT BANK 1.4%0.20 10/02/23 Aaa AA+-Bullet 500,000 10/02/20 99.97 99.99 96.49 (17,492)0.21 4.99 0.8 0.7 0.0 17 3133EJQA0 FEDERAL FARM CREDIT BANK 1.4%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.09 98.60 (7,461)2.88 4.77 0.8 0.8 0.0 29 3130AGWK7 FEDERAL HOME LOAN BANK 1.4%1.50 08/15/24 Aaa AA+-Bullet 500,000 08/14/20 104.86 101.98 95.04 (34,714)0.28 4.71 1.6 1.5 0.0 33 3134GWKT2 FREDDIE MAC 1.4%0.50 08/26/24 Aaa -02/26/23 Berm 500,000 08/26/20 100.00 100.00 93.25 (33,730)0.50 4.79 1.7 1.6 0.0 36 3134GXNJ9 FREDDIE MAC 1.4%2.22 12/27/24 Aaa AA+01/27/23 Amer 500,000 03/25/22 100.00 100.00 95.56 (22,225)2.22 4.58 2.0 1.9 0.0 50 3137EAEX3 FREDDIE MAC 1.4%0.38 09/23/25 Aaa AA+-Bullet 500,000 10/01/20 99.98 99.99 90.07 (49,600)0.38 4.27 2.7 2.6 0.1 57 3133EJD55 FEDERAL FARM CREDIT BANK 1.4%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.56 96.91 (18,259)3.14 4.20 3.7 3.4 0.1 64 3130AJ4B2 FEDERAL HOME LOAN BANK 1.4%1.63 03/12/27 Aaa AA+-Bullet 500,000 06/15/20 105.40 103.40 90.53 (64,331)0.80 4.10 4.2 3.9 0.2 65 3130AJRQ4 FEDERAL HOME LOAN BANK 1.4%1.00 06/25/27 Aaa AA+01/04/23 Amer 500,000 06/25/20 100.00 100.00 86.32 (68,391)1.00 4.39 4.5 4.3 0.2 Agency 14.4%1.46 Aaa AA+5,205,000 100.93 100.37 94.17 (322,691)1.55 4.58 2.2 2.0 0.1 73 3138LL5T8 Fannie Mae 1.5%2.96 01/01/28 ----500,000 01/07/22 107.63 106.42 93.37 (65,235)1.65 4.46 5.0 4.8 0.2 75 3138LM6U2 Fannie Mae 1.0%3.44 05/01/28 ----350,000 02/01/22 106.50 105.58 94.48 (38,861)2.33 4.67 5.3 4.9 0.2 81 3140LEEE3 Fannie Mae 2.1%1.99 11/01/31 ----750,000 12/09/21 101.81 101.63 80.30 (159,922)1.81 4.76 8.8 8.2 0.6 CMBS 4.6%2.61 1,600,000 104.65 103.99 87.49 (264,018)1.87 4.64 6.8 6.2 0.4 11 06654BCK5 BANKWELL BANK 0.7%0.35 07/28/23 ---Bullet 249,000 07/28/20 100.00 100.00 97.72 (5,670)0.35 4.38 0.6 0.6 0.0 12 949763X43 WELLS FARGO BANK NA 0.7%3.00 07/28/23 ---Bullet 242,000 07/29/22 100.00 100.00 99.19 (1,955)2.96 4.37 0.6 0.6 0.0 18 87164DTQ3 SYNOVUS BANK GA 0.7%3.00 10/27/23 ---Bullet 245,000 07/27/22 100.00 100.00 98.73 (3,124)3.00 4.60 0.8 0.8 0.0 20 07371DEK9 BEAL BANK USA 0.7%3.05 02/07/24 ---Bullet 245,000 08/10/22 100.00 100.00 98.29 (4,190)3.05 4.66 1.1 1.0 0.0 24 947547PY5 WEBBANK 0.7%3.20 07/26/24 ---Bullet 245,000 07/27/22 100.00 100.00 97.86 (5,236)3.20 4.62 1.6 1.5 0.0 25 90348J4R8 UBS BANK USA 0.7%3.20 07/29/24 ---Bullet 249,000 07/27/22 100.00 100.00 97.84 (5,371)3.22 4.66 1.6 1.5 0.0 28 61768ELE1 MORGAN STANLEY PVT BANK 0.7%3.30 08/05/24 ---Bullet 245,000 08/04/22 100.00 100.00 97.99 (4,928)3.30 4.62 1.6 1.5 0.0 27 61690UP79 MORGAN STANLEY BANK NA 0.7%3.35 08/05/24 ---Bullet 245,000 08/04/22 100.00 100.00 98.06 (4,741)3.35 4.62 1.6 1.5 0.0 31 254673Q74 DISCOVER BANK 0.7%3.30 08/22/24 ---Bullet 245,000 08/23/22 100.00 100.00 97.93 (5,081)3.30 4.62 1.6 1.5 0.0 32 75472RAE1 RAYMOND JAMES BANK NA 0.7%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 95.89 (10,164)2.00 4.62 1.6 1.6 0.0 34 05600XJH4 BMO HARRIS BANK NA 0.7%4.05 09/23/24 ---Bullet 245,000 09/23/22 100.00 100.00 99.07 (2,270)4.05 4.61 1.7 1.6 0.0 35 564759RJ9 MANUF & TRADERS TRUST CO 0.7%4.90 12/09/24 ---Bullet 245,000 12/07/22 100.00 100.00 100.55 1,337 4.90 4.60 1.9 1.8 0.0 38 34520LAG8 FORBRIGHT BANK 0.7%3.55 03/21/25 ---Bullet 249,000 09/21/22 100.00 100.00 97.79 (5,498)3.58 4.64 2.2 2.1 0.1 40 14042RQY0 CAPITAL ONE NA 0.7%2.95 05/05/25 ---Bullet 246,000 05/04/22 100.00 100.00 96.38 (8,907)2.95 4.59 2.3 2.2 0.1 39 02589ACJ9 AMERICAN EXPR NATL BK 0.7%2.90 05/05/25 ---Bullet 246,000 05/04/22 100.00 100.00 96.27 (9,178)2.90 4.59 2.3 2.2 0.1 42 06740KQZ3 BARCLAYS BANK/DELAWARE 0.7%3.30 07/28/25 ---Bullet 245,000 07/27/22 100.00 100.00 96.90 (7,593)3.30 4.59 2.6 2.4 0.1 43 87165HQ78 SYNCHRONY BANK 0.7%3.40 07/29/25 ---Bullet 245,000 07/29/22 100.00 100.00 97.14 (7,009)3.40 4.59 2.6 2.4 0.1 45 14042TJJ7 CAPITAL ONE NA 0.7%3.35 08/11/25 ---Bullet 245,000 08/10/22 100.00 100.00 96.98 (7,397)3.35 4.59 2.6 2.4 0.1 46 795451CB7 SALLIE MAE BANK/SALT LKE 0.7%3.35 08/11/25 ---Bullet 245,000 08/10/22 100.00 100.00 96.98 (7,396)3.35 4.59 2.6 2.4 0.1 47 32022RSQ1 1ST FINANCIAL BANK USA 0.7%3.10 08/12/25 ---Bullet 245,000 08/12/22 100.00 100.00 96.34 (8,962)3.12 4.63 2.6 2.4 0.1 49 05580AP65 BMW BANK NORTH AMERICA 0.7%3.45 09/09/25 ---Bullet 245,000 09/09/22 100.00 100.00 97.16 (6,965)3.45 4.58 2.7 2.5 0.1 51 32056GDQ0 FIRST INTERNET BK OF IN 0.7%4.00 09/29/25 ---Bullet 245,000 09/28/22 100.00 100.00 98.50 (3,673)4.03 4.63 2.8 2.5 0.1 59 024367BF0 AMERICAN BANK MISSOURI 0.7%4.10 12/18/26 ---Bullet 245,000 12/19/22 100.00 100.00 100.85 2,087 4.10 3.87 4.0 3.6 0.2 60 15118RA80 CELTIC BANK 0.7%4.30 12/21/26 ---Bullet 245,000 12/19/22 100.00 100.00 98.96 (2,550)4.34 4.63 4.0 3.6 0.1 66 856285Q61 STATE BANK OF INDIA 0.7%3.60 08/09/27 ---Bullet 245,000 08/08/22 100.00 100.00 95.90 (10,040)3.60 4.60 4.6 4.1 0.2 69 84229LBJ0 SOUTHERN BANK/SARDIS GA 0.3%4.00 12/16/27 ---Bullet 100,000 12/16/22 100.00 100.00 97.36 (2,637)4.00 4.60 5.0 4.4 0.2 70 914098DM7 UNIVERSITY BANK NA 0.7%4.05 12/16/27 ---Bullet 245,000 12/19/22 100.00 100.00 97.57 (5,965)4.08 4.64 5.0 4.4 0.2 71 33767GBQ0 FIRSTBANK PUERTO RICO 0.7%4.00 12/21/27 ---Bullet 245,000 12/21/22 100.00 100.00 97.34 (6,526)4.03 4.64 5.0 4.4 0.2 72 06425KCJ6 BANK OF PERRY COUNTY 0.7%4.00 12/23/27 ---Bullet 245,000 12/23/22 100.00 100.00 97.33 (6,533)4.03 4.64 5.0 4.4 0.2 Domestic CD 19.2%3.37 6,973,000 100.00 100.00 97.76 (156,135)3.37 4.57 2.5 2.3 0.1 2 0008CHAN2 NORTHLAND MM 0.8%3.23 ---Bullet 283,976 12/30/22 100.00 100.00 100.00 0 3.23 3.23 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COMM 3.9%4.52 ---Bullet 1,420,681 12/30/22 100.00 100.00 100.00 0 4.52 4.52 0.0 0.0 0.0 3 825252885 Invesco Government & Agency Po 19.2%4.22 ---Bullet 6,971,683 12/30/22 100.00 100.00 100.00 0 4.22 4.22 0.0 0.0 0.0 MMF 23.9%4.24 8,676,340 100.00 100.00 100.00 0 4.24 4.24 0.0 0.0 0.0 5 092765EW2 BLAINE MN 1.1%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 99.83 (672)2.24 4.23 0.1 0.1 0.0 6 161664HC4 CHASKA MN 0.4%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 99.84 (231)2.24 4.10 0.1 0.1 0.0 7 73723RSP9 PORTSMOUTH VA 1.4%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 100.07 99.89 (905)2.27 4.38 0.1 0.1 0.0 8 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 99.86 (168)2.49 4.12 0.1 0.1 0.0 9 556583D58 MADISON AL 1.4%1.05 04/01/23 Aa3 AA+-Bullet 495,000 07/21/20 100.39 100.04 99.18 (4,247)0.90 4.35 0.3 0.3 0.0 10 792882BV3 ST PAUL MN 0.7%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 100.36 99.53 (2,078)1.90 4.40 0.3 0.3 0.0 19 161664HD2 CHASKA MN 0.4%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 97.76 (3,363)2.40 4.54 1.1 1.0 0.0 21 579100UL0 MCALLEN TX INDEP SCH DIST 1.4%4.00 02/15/24 Aaa --Bullet 500,000 03/10/22 104.35 102.55 99.45 (15,495)1.70 4.50 1.1 1.1 0.0 22 200003EC1 COMANCHE CNTY OK INDEP SCH DIS 0.8%2.00 03/01/24 -A+-Bullet 300,000 04/06/22 100.56 100.34 97.05 (9,885)1.70 4.61 1.2 1.1 0.0 23 6448007H1 NEW HANOVER CNTY NC 1.4%0.38 06/01/24 Aaa AAA -Bullet 500,000 03/10/22 97.06 98.11 94.45 (18,325)1.73 4.46 1.4 1.4 0.0 26 574193TQ1 MARYLAND ST 1.4%0.51 08/01/24 Aaa AAA -Bullet 500,000 08/05/20 100.24 100.10 93.73 (31,845)0.45 4.66 1.6 1.5 0.0 37 092765EY8 BLAINE MN 1.1%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 101.02 95.95 (20,272)2.05 4.61 2.1 2.0 0.0 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 41 161035KH2 CHARLOTTE NC 1.4%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 101.37 93.31 (40,315)1.07 4.48 2.5 2.4 0.1 44 6775224C5 OHIO ST 1.9%0.94 08/01/25 Aa1 AA+-Bullet 700,000 06/26/20 101.30 100.67 91.18 (66,388)0.68 4.59 2.6 2.5 0.1 48 4095585H2 HAMPTON VA 1.7%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 101.77 98.35 (20,538)3.30 4.66 2.7 2.5 0.1 52 35880CD68 FRISCO TX INDEP SCH DIST 0.4%1.21 02/15/26 Aaa AAA -Bullet 150,000 07/15/20 101.42 100.80 89.60 (16,800)0.95 4.84 3.1 3.0 0.1 54 98267AEM7 WYANDOTTE CNTY/KANS CITY KANUN 0.8%1.30 08/01/26 A1 AA -Bullet 300,000 12/15/21 99.55 99.65 87.66 (35,964)1.40 5.11 3.6 3.4 0.1 53 837545PB2 SOUTH DAKOTA ST CONSERVANCY DI 1.1%4.50 08/01/26 Aaa AAA -Bullet 400,000 10/27/22 100.27 100.26 98.86 (5,616)4.42 4.85 3.6 3.2 0.1 56 47844PMY8 JOHNSON CNTY KS 0.4%4.00 09/01/26 Aaa AAA -Bullet 150,000 12/08/22 98.29 98.32 97.95 (564)4.50 4.61 3.7 3.3 0.1 55 052397B96 AUSTIN TX 1.1%5.00 09/01/26 -AAA -Bullet 400,000 10/17/22 101.68 101.60 101.34 (1,032)4.52 4.60 3.7 3.3 0.1 58 95736VEY4 WESTCHESTER CNTY NY 1.1%5.00 12/15/26 Aa1 AA+-Bullet 400,000 12/15/22 103.59 103.55 101.93 (6,492)4.01 4.45 4.0 3.6 0.2 61 150908KC4 CENTENNIAL MN INDEP SCH DIST #0.4%1.64 02/01/27 -AAA -Bullet 150,000 12/13/22 88.98 89.09 88.86 (353)4.60 4.67 4.1 3.8 0.2 62 79623PES0 SAN ANTONIO TX 1.2%1.23 02/01/27 Aaa AAA -Bullet 500,000 12/06/22 88.35 88.52 87.16 (6,820)4.32 4.72 4.1 3.9 0.1 63 35880CD76 FRISCO TX INDEP SCH DIST 0.6%1.36 02/15/27 Aaa AAA -Bullet 225,000 07/15/20 101.53 100.97 87.03 (31,367)1.12 4.87 4.1 3.9 0.2 67 059189D23 BALTIMORE MD 1.5%4.00 10/15/27 Aa2 AA -Bullet 500,000 11/24/21 113.32 110.93 96.14 (73,930)1.62 4.91 4.8 4.2 0.2 68 95736VEZ1 WESTCHESTER CNTY NY 1.1%5.00 12/15/27 Aa1 AA+-Bullet 400,000 12/15/22 104.03 104.00 102.33 (6,696)4.09 4.46 5.0 4.3 0.2 74 13063DC48 CALIFORNIA ST 1.3%1.70 02/01/28 Aa2 AA--Bullet 500,000 03/01/22 96.05 96.57 86.08 (52,460)2.42 4.82 5.1 4.7 0.2 76 265138LK1 DUNCANVILLE TX INDEP SCH DIST 1.6%5.00 02/15/30 Aaa AAA -Bullet 500,000 03/24/22 119.38 117.65 101.11 (82,700)2.30 4.81 7.1 5.8 0.4 77 052430TS4 AUSTIN TX INDEP SCH DIST 2.5%3.00 08/01/30 Aaa --Bullet 870,000 02/23/22 106.13 105.56 89.13 (142,976)2.20 4.72 7.6 6.5 0.4 78 269696NY2 EAGLE MOUNTAIN & SAGINAW TX IN 1.4%5.00 08/15/30 Aaa --Bullet 500,000 12/16/22 103.86 103.85 100.84 (15,020)4.40 4.87 7.6 6.1 0.5 79 1073358S3 BRENTWOOD TN 0.8%2.00 09/01/30 Aaa AAA -Bullet 290,000 12/13/21 102.17 101.93 82.37 (56,724)1.73 4.77 7.7 6.8 0.4 80 787758C74 SAINT CHARLES IL 1.4%1.90 12/01/30 Aa1 --Bullet 520,000 12/30/21 100.82 100.73 79.05 (112,778)1.80 5.16 7.9 7.1 0.4 Municipals 35.8%2.72 Aa1 AA+12,810,000 102.30 101.55 94.66 (883,017)2.34 4.64 3.6 3.1 0.2 4 91282CBG5 US TREASURY N/B 0.7%0.13 01/31/23 Aaa --Bullet 250,000 02/25/22 99.27 99.93 99.70 (581)0.92 3.60 0.1 0.1 0.0 14 91282CCU3 US TREASURY N/B 0.7%0.13 08/31/23 ---Bullet 250,000 02/25/22 98.27 99.23 96.98 (5,624)1.29 4.79 0.7 0.7 0.0 30 91282CCT6 US TREASURY N/B 0.7%0.38 08/15/24 Aaa --Bullet 250,000 02/25/22 97.13 98.09 93.46 (11,594)1.57 4.59 1.6 1.6 0.0 Treasury 2.0%0.21 Aaa 750,000 98.22 99.09 96.71 (17,799)1.26 4.32 0.8 0.8 0.0 Total Portfolio 100.0%2.97 36,014,340 101.12 100.76 96.20 (1,643,660)2.83 4.51 2.4 2.1 0.1 Portfolio Analysis 11 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 1%3.23 ---Bullet 283,976 12/30/22 100.00 100.00 100.00 0 3.23 3.23 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COMM 4%4.52 ---Bullet 1,420,681 12/30/22 100.00 100.00 100.00 0 4.52 4.52 0.0 0.0 0.0 3 825252885 Invesco Government & Agency Po 19%4.22 ---Bullet 6,971,683 12/30/22 100.00 100.00 100.00 0 4.22 4.22 0.0 0.0 0.0 4 91282CBG5 US TREASURY N/B 1%0.13 01/31/23 Aaa --Bullet 250,000 02/25/22 99.27 99.93 99.70 (581)0.92 3.60 0.1 0.1 0.0 5 092765EW2 BLAINE MN 1%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 99.83 (672)2.24 4.23 0.1 0.1 0.0 6 161664HC4 CHASKA MN 0%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 99.84 (231)2.24 4.10 0.1 0.1 0.0 7 73723RSP9 PORTSMOUTH VA 1%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 100.07 99.89 (905)2.27 4.38 0.1 0.1 0.0 8 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 99.86 (168)2.49 4.12 0.1 0.1 0.0 9 556583D58 MADISON AL 1%1.05 04/01/23 Aa3 AA+-Bullet 495,000 07/21/20 100.39 100.04 99.18 (4,247)0.90 4.35 0.3 0.3 0.0 10 792882BV3 ST PAUL MN 1%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 100.36 99.53 (2,078)1.90 4.40 0.3 0.3 0.0 12 949763X43 WELLS FARGO BANK NA 1%3.00 07/28/23 ---Bullet 242,000 07/29/22 100.00 100.00 99.19 (1,955)2.96 4.37 0.6 0.6 0.0 11 06654BCK5 BANKWELL BANK 1%0.35 07/28/23 ---Bullet 249,000 07/28/20 100.00 100.00 97.72 (5,670)0.35 4.38 0.6 0.6 0.0 13 3130ANYM6 FEDERAL HOME LOAN BANK 1%0.13 08/28/23 Aaa AA+-Bullet 500,000 09/12/22 96.72 97.73 96.99 (3,693)3.63 4.80 0.7 0.6 0.0 14 91282CCU3 US TREASURY N/B 1%0.13 08/31/23 ---Bullet 250,000 02/25/22 98.27 99.23 96.98 (5,624)1.29 4.79 0.7 0.7 0.0 15 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 100.35 98.99 (2,795)2.85 4.88 0.7 0.7 0.0 16 3133EMBS0 FEDERAL FARM CREDIT BANK 1%0.20 10/02/23 Aaa AA+-Bullet 500,000 10/02/20 99.97 99.99 96.49 (17,492)0.21 4.99 0.8 0.7 0.0 17 3133EJQA0 FEDERAL FARM CREDIT BANK 1%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.09 98.60 (7,461)2.88 4.77 0.8 0.8 0.0 18 87164DTQ3 SYNOVUS BANK GA 1%3.00 10/27/23 ---Bullet 245,000 07/27/22 100.00 100.00 98.73 (3,124)3.00 4.60 0.8 0.8 0.0 Year 1 37%3.33 13,522,340 100.13 99.92 99.50 (56,695)3.43 4.33 0.2 0.2 0.0 19 161664HD2 CHASKA MN 0%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 97.76 (3,363)2.40 4.54 1.1 1.0 0.0 20 07371DEK9 BEAL BANK USA 1%3.05 02/07/24 ---Bullet 245,000 08/10/22 100.00 100.00 98.29 (4,190)3.05 4.66 1.1 1.0 0.0 21 579100UL0 MCALLEN TX INDEP SCH DIST 1%4.00 02/15/24 Aaa --Bullet 500,000 03/10/22 104.35 102.55 99.45 (15,495)1.70 4.50 1.1 1.1 0.0 22 200003EC1 COMANCHE CNTY OK INDEP SCH DIS 1%2.00 03/01/24 -A+-Bullet 300,000 04/06/22 100.56 100.34 97.05 (9,885)1.70 4.61 1.2 1.1 0.0 23 6448007H1 NEW HANOVER CNTY NC 1%0.38 06/01/24 Aaa AAA -Bullet 500,000 03/10/22 97.06 98.11 94.45 (18,325)1.73 4.46 1.4 1.4 0.0 24 947547PY5 WEBBANK 1%3.20 07/26/24 ---Bullet 245,000 07/27/22 100.00 100.00 97.86 (5,236)3.20 4.62 1.6 1.5 0.0 25 90348J4R8 UBS BANK USA 1%3.20 07/29/24 ---Bullet 249,000 07/27/22 100.00 100.00 97.84 (5,371)3.22 4.66 1.6 1.5 0.0 26 574193TQ1 MARYLAND ST 1%0.51 08/01/24 Aaa AAA -Bullet 500,000 08/05/20 100.24 100.10 93.73 (31,845)0.45 4.66 1.6 1.5 0.0 28 61768ELE1 MORGAN STANLEY PVT BANK 1%3.30 08/05/24 ---Bullet 245,000 08/04/22 100.00 100.00 97.99 (4,928)3.30 4.62 1.6 1.5 0.0 27 61690UP79 MORGAN STANLEY BANK NA 1%3.35 08/05/24 ---Bullet 245,000 08/04/22 100.00 100.00 98.06 (4,741)3.35 4.62 1.6 1.5 0.0 29 3130AGWK7 FEDERAL HOME LOAN BANK 1%1.50 08/15/24 Aaa AA+-Bullet 500,000 08/14/20 104.86 101.98 95.04 (34,714)0.28 4.71 1.6 1.5 0.0 30 91282CCT6 US TREASURY N/B 1%0.38 08/15/24 Aaa --Bullet 250,000 02/25/22 97.13 98.09 93.46 (11,594)1.57 4.59 1.6 1.6 0.0 31 254673Q74 DISCOVER BANK 1%3.30 08/22/24 ---Bullet 245,000 08/23/22 100.00 100.00 97.93 (5,081)3.30 4.62 1.6 1.5 0.0 32 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 95.89 (10,164)2.00 4.62 1.6 1.6 0.0 33 3134GWKT2 FREDDIE MAC 1%0.50 08/26/24 Aaa -02/26/23 Berm 500,000 08/26/20 100.00 100.00 93.25 (33,730)0.50 4.79 1.7 1.6 0.0 34 05600XJH4 BMO HARRIS BANK NA 1%4.05 09/23/24 ---Bullet 245,000 09/23/22 100.00 100.00 99.07 (2,270)4.05 4.61 1.7 1.6 0.0 35 564759RJ9 MANUF & TRADERS TRUST CO 1%4.90 12/09/24 ---Bullet 245,000 12/07/22 100.00 100.00 100.55 1,337 4.90 4.60 1.9 1.8 0.0 36 3134GXNJ9 FREDDIE MAC 1%2.22 12/27/24 Aaa AA+01/27/23 Amer 500,000 03/25/22 100.00 100.00 95.56 (22,225)2.22 4.58 2.0 1.9 0.0 Year 2 16%2.21 5,911,000 100.46 100.17 96.42 (221,821)2.05 4.62 1.6 1.5 0.0 37 092765EY8 BLAINE MN 1%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 101.02 95.95 (20,272)2.05 4.61 2.1 2.0 0.0 38 34520LAG8 FORBRIGHT BANK 1%3.55 03/21/25 ---Bullet 249,000 09/21/22 100.00 100.00 97.79 (5,498)3.58 4.64 2.2 2.1 0.1 40 14042RQY0 CAPITAL ONE NA 1%2.95 05/05/25 ---Bullet 246,000 05/04/22 100.00 100.00 96.38 (8,907)2.95 4.59 2.3 2.2 0.1 39 02589ACJ9 AMERICAN EXPR NATL BK 1%2.90 05/05/25 ---Bullet 246,000 05/04/22 100.00 100.00 96.27 (9,178)2.90 4.59 2.3 2.2 0.1 41 161035KH2 CHARLOTTE NC 1%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 101.37 93.31 (40,315)1.07 4.48 2.5 2.4 0.1 42 06740KQZ3 BARCLAYS BANK/DELAWARE 1%3.30 07/28/25 ---Bullet 245,000 07/27/22 100.00 100.00 96.90 (7,593)3.30 4.59 2.6 2.4 0.1 43 87165HQ78 SYNCHRONY BANK 1%3.40 07/29/25 ---Bullet 245,000 07/29/22 100.00 100.00 97.14 (7,009)3.40 4.59 2.6 2.4 0.1 44 6775224C5 OHIO ST 2%0.94 08/01/25 Aa1 AA+-Bullet 700,000 06/26/20 101.30 100.67 91.18 (66,388)0.68 4.59 2.6 2.5 0.1 45 14042TJJ7 CAPITAL ONE NA 1%3.35 08/11/25 ---Bullet 245,000 08/10/22 100.00 100.00 96.98 (7,397)3.35 4.59 2.6 2.4 0.1 46 795451CB7 SALLIE MAE BANK/SALT LKE 1%3.35 08/11/25 ---Bullet 245,000 08/10/22 100.00 100.00 96.98 (7,396)3.35 4.59 2.6 2.4 0.1 47 32022RSQ1 1ST FINANCIAL BANK USA 1%3.10 08/12/25 ---Bullet 245,000 08/12/22 100.00 100.00 96.34 (8,962)3.12 4.63 2.6 2.4 0.1 48 4095585H2 HAMPTON VA 2%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 101.77 98.35 (20,538)3.30 4.66 2.7 2.5 0.1 49 05580AP65 BMW BANK NORTH AMERICA 1%3.45 09/09/25 ---Bullet 245,000 09/09/22 100.00 100.00 97.16 (6,965)3.45 4.58 2.7 2.5 0.1 50 3137EAEX3 FREDDIE MAC 1%0.38 09/23/25 Aaa AA+-Bullet 500,000 10/01/20 99.98 99.99 90.07 (49,600)0.38 4.27 2.7 2.6 0.1 51 32056GDQ0 FIRST INTERNET BK OF IN 1%4.00 09/29/25 ---Bullet 245,000 09/28/22 100.00 100.00 98.50 (3,673)4.03 4.63 2.8 2.5 0.1 Year 3 14%2.57 5,156,000 101.16 100.51 95.28 (269,691)2.37 4.57 2.5 2.4 0.1 52 35880CD68 FRISCO TX INDEP SCH DIST 0%1.21 02/15/26 Aaa AAA -Bullet 150,000 07/15/20 101.42 100.80 89.60 (16,800)0.95 4.84 3.1 3.0 0.1 54 98267AEM7 WYANDOTTE CNTY/KANS CITY KANUN 1%1.30 08/01/26 A1 AA -Bullet 300,000 12/15/21 99.55 99.65 87.66 (35,964)1.40 5.11 3.6 3.4 0.1 53 837545PB2 SOUTH DAKOTA ST CONSERVANCY DI 1%4.50 08/01/26 Aaa AAA -Bullet 400,000 10/27/22 100.27 100.26 98.86 (5,616)4.42 4.85 3.6 3.2 0.1 56 47844PMY8 JOHNSON CNTY KS 0%4.00 09/01/26 Aaa AAA -Bullet 150,000 12/08/22 98.29 98.32 97.95 (564)4.50 4.61 3.7 3.3 0.1 55 052397B96 AUSTIN TX 1%5.00 09/01/26 -AAA -Bullet 400,000 10/17/22 101.68 101.60 101.34 (1,032)4.52 4.60 3.7 3.3 0.1 57 3133EJD55 FEDERAL FARM CREDIT BANK 1%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.56 96.91 (18,259)3.14 4.20 3.7 3.4 0.1 58 95736VEY4 WESTCHESTER CNTY NY 1%5.00 12/15/26 Aa1 AA+-Bullet 400,000 12/15/22 103.59 103.55 101.93 (6,492)4.01 4.45 4.0 3.6 0.2 59 024367BF0 AMERICAN BANK MISSOURI 1%4.10 12/18/26 ---Bullet 245,000 12/19/22 100.00 100.00 100.85 2,087 4.10 3.87 4.0 3.6 0.2 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 60 15118RA80 CELTIC BANK 1%4.30 12/21/26 ---Bullet 245,000 12/19/22 100.00 100.00 98.96 (2,550)4.34 4.63 4.0 3.6 0.1 Year 4 8%3.83 2,790,000 100.93 100.79 97.74 (85,190)3.61 4.54 3.7 3.4 0.1 62 79623PES0 SAN ANTONIO TX 1%1.23 02/01/27 Aaa AAA -Bullet 500,000 12/06/22 88.35 88.52 87.16 (6,820)4.32 4.72 4.1 3.9 0.1 61 150908KC4 CENTENNIAL MN INDEP SCH DIST #0%1.64 02/01/27 -AAA -Bullet 150,000 12/13/22 88.98 89.09 88.86 (353)4.60 4.67 4.1 3.8 0.2 63 35880CD76 FRISCO TX INDEP SCH DIST 1%1.36 02/15/27 Aaa AAA -Bullet 225,000 07/15/20 101.53 100.97 87.03 (31,367)1.12 4.87 4.1 3.9 0.2 64 3130AJ4B2 FEDERAL HOME LOAN BANK 1%1.63 03/12/27 Aaa AA+-Bullet 500,000 06/15/20 105.40 103.40 90.53 (64,331)0.80 4.10 4.2 3.9 0.2 65 3130AJRQ4 FEDERAL HOME LOAN BANK 1%1.00 06/25/27 Aaa AA+01/04/23 Amer 500,000 06/25/20 100.00 100.00 86.32 (68,391)1.00 4.39 4.5 4.3 0.2 66 856285Q61 STATE BANK OF INDIA 1%3.60 08/09/27 ---Bullet 245,000 08/08/22 100.00 100.00 95.90 (10,040)3.60 4.60 4.6 4.1 0.2 67 059189D23 BALTIMORE MD 2%4.00 10/15/27 Aa2 AA -Bullet 500,000 11/24/21 113.32 110.93 96.14 (73,930)1.62 4.91 4.8 4.2 0.2 68 95736VEZ1 WESTCHESTER CNTY NY 1%5.00 12/15/27 Aa1 AA+-Bullet 400,000 12/15/22 104.03 104.00 102.33 (6,696)4.09 4.46 5.0 4.3 0.2 70 914098DM7 UNIVERSITY BANK NA 1%4.05 12/16/27 ---Bullet 245,000 12/19/22 100.00 100.00 97.57 (5,965)4.08 4.64 5.0 4.4 0.2 69 84229LBJ0 SOUTHERN BANK/SARDIS GA 0%4.00 12/16/27 ---Bullet 100,000 12/16/22 100.00 100.00 97.36 (2,637)4.00 4.60 5.0 4.4 0.2 71 33767GBQ0 FIRSTBANK PUERTO RICO 1%4.00 12/21/27 ---Bullet 245,000 12/21/22 100.00 100.00 97.34 (6,526)4.03 4.64 5.0 4.4 0.2 72 06425KCJ6 BANK OF PERRY COUNTY 1%4.00 12/23/27 ---Bullet 245,000 12/23/22 100.00 100.00 97.33 (6,533)4.03 4.64 5.0 4.4 0.2 Year 5 11%2.78 3,855,000 101.00 100.42 93.06 (283,588)2.73 4.58 4.6 4.2 0.2 73 3138LL5T8 Fannie Mae 1%2.96 01/01/28 ----500,000 01/07/22 107.63 106.42 93.37 (65,235)1.65 4.46 5.0 4.8 0.2 74 13063DC48 CALIFORNIA ST 1%1.70 02/01/28 Aa2 AA--Bullet 500,000 03/01/22 96.05 96.57 86.08 (52,460)2.42 4.82 5.1 4.7 0.2 75 3138LM6U2 Fannie Mae 1%3.44 05/01/28 ----350,000 02/01/22 106.50 105.58 94.48 (38,861)2.33 4.67 5.3 4.9 0.2 Year 6 4%2.62 1,350,000 103.05 102.55 90.96 (156,555)2.10 4.64 5.1 4.8 0.2 76 265138LK1 DUNCANVILLE TX INDEP SCH DIST 2%5.00 02/15/30 Aaa AAA -Bullet 500,000 03/24/22 119.38 117.65 101.11 (82,700)2.30 4.81 7.1 5.8 0.4 77 052430TS4 AUSTIN TX INDEP SCH DIST 3%3.00 08/01/30 Aaa --Bullet 870,000 02/23/22 106.13 105.56 89.13 (142,976)2.20 4.72 7.6 6.5 0.4 78 269696NY2 EAGLE MOUNTAIN & SAGINAW TX IN 1%5.00 08/15/30 Aaa --Bullet 500,000 12/16/22 103.86 103.85 100.84 (15,020)4.40 4.87 7.6 6.1 0.5 79 1073358S3 BRENTWOOD TN 1%2.00 09/01/30 Aaa AAA -Bullet 290,000 12/13/21 102.17 101.93 82.37 (56,724)1.73 4.77 7.7 6.8 0.4 80 787758C74 SAINT CHARLES IL 1%1.90 12/01/30 Aa1 --Bullet 520,000 12/30/21 100.82 100.73 79.05 (112,778)1.80 5.16 7.9 7.1 0.4 Year 8 8%3.42 2,680,000 106.72 106.17 90.86 (410,197)2.50 4.85 7.6 6.4 0.4 81 3140LEEE3 Fannie Mae 2%1.99 11/01/31 ----750,000 12/09/21 101.81 101.63 80.30 (159,922)1.81 4.76 8.8 8.2 0.6 Year 9 2%1.99 750,000 101.81 101.63 80.30 (159,922)1.81 4.76 8.8 8.2 0.6 Total Portfolio 100%2.97 36,014,340 101.12 100.76 96.20 (1,643,660)2.83 4.51 2.4 2.1 0.1 Portfolio Analysis 13 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 1%3.23 283,976 0.0 0.0 0.0 0.0 0.0 3.23 3.23 3.23 3.23 3.23 0.0 0.0 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COMM 4%4.52 1,420,681 0.0 0.0 0.0 0.0 0.0 4.52 4.52 4.52 4.52 4.52 0.0 0.0 0.0 0.0 0.0 3 825252885 Invesco Government & Agency Po 19%4.22 6,971,683 0.0 0.0 0.0 0.0 0.0 4.22 4.22 4.22 4.22 4.22 0.0 0.0 0.0 0.0 0.0 4 91282CBG5 US TREASURY N/B 1%0.13 01/31/23 250,000 0.1 0.0 0.0 (0.0)(0.0)0.92 0.92 0.92 0.92 0.92 0.1 0.1 0.1 0.1 0.1 5 092765EW2 BLAINE MN 1%2.25 02/01/23 395,000 0.1 0.0 0.0 (0.0)(0.0)2.24 2.24 2.24 2.24 2.24 0.1 0.1 0.1 0.1 0.1 6 161664HC4 CHASKA MN 0%2.25 02/01/23 145,000 0.1 0.0 0.0 (0.0)(0.0)2.24 2.24 2.24 2.24 2.24 0.1 0.1 0.1 0.1 0.1 7 73723RSP9 PORTSMOUTH VA 1%3.09 02/01/23 500,000 0.1 0.0 0.0 (0.0)(0.0)2.27 2.27 2.27 2.27 2.27 0.1 0.1 0.1 0.1 0.1 8 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 120,000 0.1 0.0 0.0 (0.0)(0.0)2.49 2.49 2.49 2.49 2.49 0.1 0.1 0.1 0.1 0.1 9 556583D58 MADISON AL 1%1.05 04/01/23 495,000 0.3 0.1 0.1 (0.1)(0.1)0.90 0.90 0.90 0.90 0.90 0.3 0.3 0.3 0.3 0.3 10 792882BV3 ST PAUL MN 1%3.00 05/01/23 250,000 0.3 0.2 0.1 (0.1)(0.2)1.90 1.90 1.90 1.90 1.90 0.3 0.3 0.3 0.3 0.3 12 949763X43 WELLS FARGO BANK NA 1%3.00 07/28/23 242,000 0.6 0.3 0.1 (0.1)(0.3)2.96 2.96 2.96 2.96 2.96 0.6 0.6 0.6 0.6 0.6 11 06654BCK5 BANKWELL BANK 1%0.35 07/28/23 249,000 0.6 0.3 0.1 (0.1)(0.3)0.35 0.35 0.35 0.35 0.35 0.6 0.6 0.6 0.6 0.6 13 3130ANYM6 FEDERAL HOME LOAN BANK 1%0.13 08/28/23 500,000 0.7 0.3 0.2 (0.2)(0.3)3.63 3.63 3.63 3.63 3.63 0.6 0.6 0.6 0.6 0.6 14 91282CCU3 US TREASURY N/B 1%0.13 08/31/23 250,000 0.7 0.3 0.2 (0.2)(0.3)1.29 1.29 1.29 1.29 1.29 0.7 0.7 0.7 0.6 0.6 15 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 205,000 0.7 0.3 0.2 (0.2)(0.3)2.85 2.85 2.85 2.85 2.85 0.7 0.7 0.7 0.7 0.7 16 3133EMBS0 FEDERAL FARM CREDIT BANK 1%0.20 10/02/23 500,000 0.8 0.4 0.2 (0.2)(0.4)0.21 0.21 0.21 0.21 0.21 0.7 0.7 0.7 0.7 0.7 17 3133EJQA0 FEDERAL FARM CREDIT BANK 1%3.00 10/23/23 500,000 0.8 0.4 0.2 (0.2)(0.4)2.88 2.88 2.88 2.88 2.88 0.8 0.8 0.8 0.8 0.8 18 87164DTQ3 SYNOVUS BANK GA 1%3.00 10/27/23 245,000 0.8 0.4 0.2 (0.2)(0.4)3.00 3.00 3.00 3.00 3.00 0.8 0.8 0.8 0.8 0.8 Year 1 37%3.33 13,522,340 0.2 0.1 0.0 (0.0)(0.1)3.43 3.43 3.43 3.43 3.43 0.2 0.2 0.2 0.2 0.2 19 161664HD2 CHASKA MN 0%2.40 02/01/24 150,000 1.1 0.5 0.3 (0.3)(0.5)2.40 2.40 2.40 2.40 2.40 1.0 1.0 1.0 1.0 1.0 20 07371DEK9 BEAL BANK USA 1%3.05 02/07/24 245,000 1.1 0.5 0.3 (0.3)(0.5)3.05 3.05 3.05 3.05 3.05 1.0 1.0 1.0 1.0 1.0 21 579100UL0 MCALLEN TX INDEP SCH DIST 1%4.00 02/15/24 500,000 1.1 0.5 0.3 (0.3)(0.5)1.70 1.70 1.70 1.70 1.70 1.1 1.1 1.1 1.1 1.1 22 200003EC1 COMANCHE CNTY OK INDEP SCH DIS 1%2.00 03/01/24 300,000 1.2 0.6 0.3 (0.3)(0.6)1.70 1.70 1.70 1.70 1.70 1.1 1.1 1.1 1.1 1.1 23 6448007H1 NEW HANOVER CNTY NC 1%0.38 06/01/24 500,000 1.4 0.7 0.3 (0.3)(0.7)1.73 1.73 1.73 1.73 1.73 1.4 1.4 1.4 1.4 1.4 24 947547PY5 WEBBANK 1%3.20 07/26/24 245,000 1.6 0.7 0.4 (0.4)(0.7)3.20 3.20 3.20 3.20 3.20 1.5 1.5 1.5 1.5 1.5 25 90348J4R8 UBS BANK USA 1%3.20 07/29/24 249,000 1.6 0.7 0.4 (0.4)(0.7)3.22 3.22 3.22 3.22 3.22 1.5 1.5 1.5 1.5 1.5 26 574193TQ1 MARYLAND ST 1%0.51 08/01/24 500,000 1.6 0.8 0.4 (0.4)(0.8)0.45 0.45 0.45 0.45 0.45 1.5 1.5 1.5 1.5 1.5 28 61768ELE1 MORGAN STANLEY PVT BANK 1%3.30 08/05/24 245,000 1.6 0.8 0.4 (0.4)(0.8)3.30 3.30 3.30 3.30 3.30 1.5 1.5 1.5 1.5 1.5 27 61690UP79 MORGAN STANLEY BANK NA 1%3.35 08/05/24 245,000 1.6 0.8 0.4 (0.4)(0.8)3.35 3.35 3.35 3.35 3.35 1.5 1.5 1.5 1.5 1.5 29 3130AGWK7 FEDERAL HOME LOAN BANK 1%1.50 08/15/24 500,000 1.6 0.8 0.4 (0.4)(0.8)0.28 0.28 0.28 0.28 0.28 1.6 1.6 1.5 1.5 1.5 30 91282CCT6 US TREASURY N/B 1%0.38 08/15/24 250,000 1.6 0.8 0.4 (0.4)(0.8)1.57 1.57 1.57 1.57 1.57 1.6 1.6 1.6 1.6 1.6 31 254673Q74 DISCOVER BANK 1%3.30 08/22/24 245,000 1.6 0.8 0.4 (0.4)(0.8)3.30 3.30 3.30 3.30 3.30 1.5 1.5 1.5 1.5 1.5 32 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 247,000 1.6 0.8 0.4 (0.4)(0.8)2.00 2.00 2.00 2.00 2.00 1.6 1.6 1.6 1.6 1.6 33 3134GWKT2 FREDDIE MAC 1%0.50 08/26/24 500,000 1.7 0.8 0.4 (0.4)(0.8)0.50 0.50 0.50 0.50 0.50 1.6 1.6 1.6 1.6 1.6 34 05600XJH4 BMO HARRIS BANK NA 1%4.05 09/23/24 245,000 1.7 0.8 0.4 (0.4)(0.8)4.05 4.05 4.05 4.05 4.05 1.6 1.6 1.6 1.6 1.6 35 564759RJ9 MANUF & TRADERS TRUST CO 1%4.90 12/09/24 245,000 1.9 0.9 0.5 (0.5)(0.9)4.90 4.90 4.90 4.90 4.90 1.8 1.8 1.8 1.8 1.8 36 3134GXNJ9 FREDDIE MAC 1%2.22 12/27/24 500,000 2.0 0.9 0.5 (0.5)(0.9)2.22 2.22 2.22 2.22 2.22 1.9 1.9 1.9 1.9 1.9 Year 2 16%2.21 5,911,000 1.6 0.7 0.4 (0.4)(0.7)2.05 2.05 2.05 2.05 2.05 1.5 1.5 1.5 1.5 1.5 37 092765EY8 BLAINE MN 1%2.55 02/01/25 400,000 2.1 1.0 0.5 (0.5)(1.0)2.05 2.05 2.05 2.05 2.05 2.0 2.0 2.0 2.0 2.0 38 34520LAG8 FORBRIGHT BANK 1%3.55 03/21/25 249,000 2.2 1.0 0.5 (0.5)(1.0)3.58 3.58 3.58 3.58 3.58 2.1 2.1 2.1 2.1 2.1 40 14042RQY0 CAPITAL ONE NA 1%2.95 05/05/25 246,000 2.3 1.1 0.6 (0.6)(1.1)2.95 2.95 2.95 2.95 2.95 2.2 2.2 2.2 2.2 2.2 39 02589ACJ9 AMERICAN EXPR NATL BK 1%2.90 05/05/25 246,000 2.3 1.1 0.6 (0.6)(1.1)2.90 2.90 2.90 2.90 2.90 2.2 2.2 2.2 2.2 2.2 41 161035KH2 CHARLOTTE NC 1%1.62 07/01/25 500,000 2.5 1.2 0.6 (0.6)(1.2)1.07 1.07 1.07 1.07 1.07 2.4 2.4 2.4 2.4 2.4 42 06740KQZ3 BARCLAYS BANK/DELAWARE 1%3.30 07/28/25 245,000 2.6 1.2 0.6 (0.6)(1.2)3.30 3.30 3.30 3.30 3.30 2.4 2.4 2.4 2.4 2.4 43 87165HQ78 SYNCHRONY BANK 1%3.40 07/29/25 245,000 2.6 1.2 0.6 (0.6)(1.2)3.40 3.40 3.40 3.40 3.40 2.4 2.4 2.4 2.4 2.4 44 6775224C5 OHIO ST 2%0.94 08/01/25 700,000 2.6 1.3 0.6 (0.6)(1.2)0.68 0.68 0.68 0.68 0.68 2.5 2.5 2.5 2.5 2.5 45 14042TJJ7 CAPITAL ONE NA 1%3.35 08/11/25 245,000 2.6 1.2 0.6 (0.6)(1.2)3.35 3.35 3.35 3.35 3.35 2.4 2.4 2.4 2.4 2.4 46 795451CB7 SALLIE MAE BANK/SALT LKE 1%3.35 08/11/25 245,000 2.6 1.2 0.6 (0.6)(1.2)3.35 3.35 3.35 3.35 3.35 2.4 2.4 2.4 2.4 2.4 47 32022RSQ1 1ST FINANCIAL BANK USA 1%3.10 08/12/25 245,000 2.6 1.2 0.6 (0.6)(1.2)3.12 3.12 3.12 3.12 3.12 2.5 2.4 2.4 2.4 2.4 48 4095585H2 HAMPTON VA 2%4.00 09/01/25 600,000 2.7 1.3 0.6 (0.6)(1.2)3.30 3.30 3.30 3.30 3.30 2.5 2.5 2.5 2.5 2.5 49 05580AP65 BMW BANK NORTH AMERICA 1%3.45 09/09/25 245,000 2.7 1.3 0.6 (0.6)(1.3)3.45 3.45 3.45 3.45 3.45 2.5 2.5 2.5 2.5 2.5 50 3137EAEX3 FREDDIE MAC 1%0.38 09/23/25 500,000 2.7 1.3 0.7 (0.7)(1.3)0.38 0.38 0.38 0.38 0.38 2.7 2.6 2.6 2.6 2.6 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 51 32056GDQ0 FIRST INTERNET BK OF IN 1%4.00 09/29/25 245,000 2.8 1.3 0.6 (0.6)(1.3)4.03 4.03 4.03 4.03 4.03 2.5 2.5 2.5 2.5 2.5 Year 3 14%2.57 5,156,000 2.5 1.2 0.6 (0.6)(1.2)2.37 2.37 2.37 2.37 2.37 2.4 2.4 2.4 2.4 2.4 52 35880CD68 FRISCO TX INDEP SCH DIST 0%1.21 02/15/26 150,000 3.1 1.5 0.8 (0.7)(1.5)0.95 0.95 0.95 0.95 0.95 3.0 3.0 3.0 3.0 3.0 54 98267AEM7 WYANDOTTE CNTY/KANS CITY KANUN 1%1.30 08/01/26 300,000 3.6 1.7 0.9 (0.8)(1.7)1.40 1.40 1.40 1.40 1.40 3.4 3.4 3.4 3.4 3.4 53 837545PB2 SOUTH DAKOTA ST CONSERVANCY DI 1%4.50 08/01/26 400,000 3.6 1.6 0.8 (0.8)(1.6)4.42 4.42 4.42 4.42 4.42 3.2 3.2 3.2 3.2 3.2 56 47844PMY8 JOHNSON CNTY KS 0%4.00 09/01/26 150,000 3.7 1.7 0.8 (0.8)(1.7)4.50 4.50 4.50 4.50 4.50 3.3 3.3 3.3 3.3 3.3 55 052397B96 AUSTIN TX 1%5.00 09/01/26 400,000 3.7 1.7 0.8 (0.8)(1.6)4.52 4.52 4.52 4.52 4.52 3.3 3.3 3.3 3.3 3.3 57 3133EJD55 FEDERAL FARM CREDIT BANK 1%3.30 09/28/26 500,000 3.7 1.7 0.9 (0.9)(1.7)3.14 3.14 3.14 3.14 3.14 3.4 3.4 3.4 3.4 3.4 58 95736VEY4 WESTCHESTER CNTY NY 1%5.00 12/15/26 400,000 4.0 1.8 0.9 (0.9)(1.8)4.01 4.01 4.01 4.01 4.01 3.6 3.6 3.6 3.5 3.5 59 024367BF0 AMERICAN BANK MISSOURI 1%4.10 12/18/26 245,000 4.0 1.8 0.9 (0.9)(1.8)4.10 4.10 4.10 4.10 4.10 3.6 3.6 3.6 3.6 3.6 60 15118RA80 CELTIC BANK 1%4.30 12/21/26 245,000 4.0 1.8 0.9 (0.9)(1.8)4.34 4.34 4.34 4.34 4.34 3.6 3.6 3.6 3.5 3.5 Year 4 8%3.83 2,790,000 3.7 1.7 0.9 (0.8)(1.7)3.61 3.61 3.61 3.61 3.61 3.4 3.4 3.4 3.4 3.4 62 79623PES0 SAN ANTONIO TX 1%1.23 02/01/27 500,000 4.1 2.0 1.0 (1.0)(1.9)4.32 4.32 4.32 4.32 4.32 3.9 3.9 3.9 3.9 3.9 61 150908KC4 CENTENNIAL MN INDEP SCH DIST #0%1.64 02/01/27 150,000 4.1 1.9 1.0 (1.0)(1.9)4.60 4.60 4.60 4.60 4.60 3.8 3.8 3.8 3.8 3.8 63 35880CD76 FRISCO TX INDEP SCH DIST 1%1.36 02/15/27 225,000 4.1 2.0 1.0 (1.0)(1.9)1.12 1.12 1.12 1.12 1.12 3.9 3.9 3.9 3.9 3.9 64 3130AJ4B2 FEDERAL HOME LOAN BANK 1%1.63 03/12/27 500,000 4.2 2.0 1.0 (1.0)(2.0)0.80 0.80 0.80 0.80 0.80 3.9 3.9 3.9 3.9 3.9 65 3130AJRQ4 FEDERAL HOME LOAN BANK 1%1.00 06/25/27 500,000 4.5 2.2 1.1 (1.1)(2.1)1.00 1.00 1.00 1.00 1.00 4.3 4.3 4.3 4.3 4.3 66 856285Q61 STATE BANK OF INDIA 1%3.60 08/09/27 245,000 4.6 2.1 1.0 (1.0)(2.1)3.60 3.60 3.60 3.60 3.60 4.1 4.1 4.1 4.1 4.1 67 059189D23 BALTIMORE MD 2%4.00 10/15/27 500,000 4.8 2.2 1.1 (1.1)(2.1)1.62 1.62 1.62 1.62 1.62 4.3 4.3 4.2 4.2 4.2 68 95736VEZ1 WESTCHESTER CNTY NY 1%5.00 12/15/27 400,000 5.0 2.2 1.1 (1.1)(2.1)4.09 4.09 4.09 4.09 4.09 4.4 4.4 4.3 4.3 4.3 70 914098DM7 UNIVERSITY BANK NA 1%4.05 12/16/27 245,000 5.0 2.2 1.1 (1.1)(2.2)4.08 4.08 4.08 4.08 4.08 4.4 4.4 4.4 4.4 4.4 69 84229LBJ0 SOUTHERN BANK/SARDIS GA 0%4.00 12/16/27 100,000 5.0 2.2 1.1 (1.1)(2.2)4.00 4.00 4.00 4.00 4.00 4.4 4.4 4.4 4.4 4.4 71 33767GBQ0 FIRSTBANK PUERTO RICO 1%4.00 12/21/27 245,000 5.0 2.2 1.1 (1.1)(2.2)4.03 4.03 4.03 4.03 4.03 4.4 4.4 4.4 4.4 4.4 72 06425KCJ6 BANK OF PERRY COUNTY 1%4.00 12/23/27 245,000 5.0 2.2 1.1 (1.1)(2.2)4.03 4.03 4.03 4.03 4.03 4.4 4.4 4.4 4.4 4.4 Year 5 11%2.78 3,855,000 4.6 2.1 1.1 (1.0)(2.1)2.73 2.73 2.73 2.73 2.73 4.2 4.2 4.2 4.2 4.1 73 3138LL5T8 Fannie Mae 1%2.96 01/01/28 500,000 5.0 2.4 1.2 (1.2)(2.4)1.65 1.65 1.65 1.65 1.65 4.8 4.8 4.8 4.8 4.8 74 13063DC48 CALIFORNIA ST 1%1.70 02/01/28 500,000 5.1 2.4 1.2 (1.2)(2.3)2.42 2.42 2.42 2.42 2.42 4.7 4.7 4.7 4.7 4.7 75 3138LM6U2 Fannie Mae 1%3.44 05/01/28 350,000 5.3 2.5 1.2 (1.2)(2.4)2.33 2.33 2.33 2.33 2.33 4.9 4.9 4.9 4.9 4.9 Year 6 4%2.62 1,350,000 5.1 2.4 1.2 (1.2)(2.4)2.10 2.10 2.10 2.10 2.10 4.8 4.8 4.8 4.8 4.8 76 265138LK1 DUNCANVILLE TX INDEP SCH DIST 2%5.00 02/15/30 500,000 7.1 3.0 1.5 (1.5)(2.9)2.30 2.30 2.30 2.30 2.30 5.9 5.8 5.8 5.8 5.8 77 052430TS4 AUSTIN TX INDEP SCH DIST 3%3.00 08/01/30 870,000 7.6 3.4 1.7 (1.6)(3.2)2.20 2.20 2.20 2.20 2.20 6.5 6.5 6.5 6.5 6.5 78 269696NY2 EAGLE MOUNTAIN & SAGINAW TX IN 1%5.00 08/15/30 500,000 7.6 3.2 1.6 (1.5)(3.1)4.40 4.40 4.40 4.40 4.40 6.2 6.1 6.1 6.1 6.1 79 1073358S3 BRENTWOOD TN 1%2.00 09/01/30 290,000 7.7 3.5 1.7 (1.7)(3.4)1.73 1.73 1.73 1.73 1.73 6.9 6.8 6.8 6.8 6.8 80 787758C74 SAINT CHARLES IL 1%1.90 12/01/30 520,000 7.9 3.6 1.8 (1.8)(3.5)1.80 1.80 1.80 1.80 1.80 7.1 7.1 7.1 7.1 7.1 Year 8 8%3.42 2,680,000 7.6 3.3 1.6 (1.6)(3.2)2.50 2.50 2.50 2.50 2.50 6.5 6.4 6.4 6.4 6.4 81 3140LEEE3 Fannie Mae 2%1.99 11/01/31 750,000 8.8 4.2 2.1 (2.0)(4.0)1.81 1.81 1.81 1.81 1.81 8.2 8.2 8.2 8.1 8.1 Year 9 2%1.99 750,000 8.8 4.2 2.1 (2.0)(4.0)1.81 1.81 1.81 1.81 1.81 8.2 8.2 8.2 8.1 8.1 Total Portfolio 100%2.97 36,014,340 2.4 1.1 0.5 (0.5)(1.0)2.83 2.83 2.83 2.83 2.83 2.1 2.1 2.1 2.1 2.1 Portfolio Analysis 15 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%12%750,000 0.21 99.09 96.71 (17,799)1.26 4.32 0.8 0.8 0.0 100%--100%--- FHLB 5 6%37%2,205,000 1.28 100.74 92.85 (173,923)1.54 4.55 2.6 2.3 0.1 100%--77%23%-- FHLMC 3 4%25%1,500,000 1.03 100.00 92.96 (105,555)1.03 4.55 2.1 2.0 0.0 100%--33%33%-33% FFCB 3 4%25%1,500,000 2.17 100.21 97.33 (43,212)2.08 4.65 1.8 1.6 0.1 100%--100%--- Sector Total 14 16%100%5,955,000 1.31 100.21 94.49 (340,490)1.51 4.54 2.0 1.9 0.1 100%75%17%8% FFCB 25% FHLB 37% FHLMC 25% Treasury 13% Bullet 75% Amer 17% Berm 8% Fixed 100% Issuer Structure Coupon Portfolio Analysis 17 Money Market Sector - Summary Money Market Product Distribution (%) Moody's Short Term Ratings Distribution (%) Cash Flows by Month -12 Months ($) Agency, 13% Certificate of Deposit, 5% MMF, 64% Municipal, 14% Treasury, 4% NA, 100% 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 10,000,000 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. S&P Short Term Ratings Distribution (%) NA, 100% Portfolio Analysis 18 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 29 19%100%3.37 6,973,000 100.00 97.76 (156,135)3.37 4.57 2.5 2.3 0.1 Sector Total 29 19%100%3.37 6,973,000 100.00 97.76 (156,135)3.37 4.57 2.5 2.3 0.1 Portfolio Analysis 19 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 5 6%17%2,195,000 3.25 99.06 97.91 (25,287)3.48 4.51 3.3 3.0 0.1 100%--Aa1 AA+ GO Unlimited 25 28%79%10,095,000 2.53 102.16 93.73 (851,946)2.01 4.66 3.7 3.2 0.2 100%--Aa1 AA+ Revenue 2 1%4%520,000 4.04 100.20 99.09 (5,784)3.98 4.68 2.8 2.5 0.1 100%--Aaa AAA Sector Total 32 36%100%12,810,000 2.72 101.55 94.66 (883,017)2.34 4.64 3.6 3.1 0.2 100%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 23 26%71%9,215,000 2.39 100.45 94.34 (562,805)2.22 4.59 3.0 2.6 0.1 100%--Aa1 AA+ School District 8 9%26%3,195,000 3.43 104.90 95.06 (314,596)2.40 4.73 5.4 4.5 0.3 100%--Aaa AAA Utilities 1 1%3%400,000 4.50 100.26 98.86 (5,616)4.42 4.85 3.6 3.2 0.1 100%--Aaa AAA Sector Total 32 36%100%12,810,000 2.72 101.55 94.66 (883,017)2.34 4.64 3.6 3.1 0.2 100%Aa1 AA+ GO Limited 17% GO Unlimited 79% Revenue 4% Fixed 100% Issuer Coupon Portfolio Analysis 20 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 1,600,000 103.99 87.49 (264,018)1.87 4.64 15 6.2 0.4 6.9 1 ----72 Sector Total 3 5%100%2.61 1,600,000 103.99 87.49 (264,018)1.87 4.64 15 6.2 0.4 6.9 1 72 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 37 92,239,625 62 47 2.38 ----100%----0%0%0% Sector Total 3 5%100%2.61 7 37 92,239,625 62 47 2.38 100%0%0%0% Other 100% Fannie Mae 100% Collateral TypeProduct Type Portfolio Analysis 21 MMF: Historical Performance Weighted Average Maturity -WAM (Days) Daily Liquid Assets (%) Weekly Liquid Assets (%) 0 10 20 30 40 50 60 70 Dec-21 Mar-22 Jun-22 Sep-22 SEC Threshold AGPXX 0 10 20 30 40 50 60 70 80 90 100 Dec-21 Mar-22 Jun-22 Sep-22 SEC Threshold AGPXX 20 30 40 50 60 70 80 90 100 Dec-21 Mar-22 Jun-22 Sep-22 SEC Threshold AGPXX * Gates / Fees Threshold -SEC designated thresholds for Money Market Funds Portfolio Analysis 22 MMF: Historical Performance Net Asset Value (NAV)7 Day Yield (%) Expense Ratio (bps)Daily Fund Flows ($000) 0.0000 0.2000 0.4000 0.6000 0.8000 1.0000 1.2000 Dec-21 Mar-22 Jun-22 Sep-22 AGPXX 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 4.50 Dec-21 Mar-22 Jun-22 Sep-22 AGPXX 0.000 0.100 0.200 0.300 0.400 Dec-21 Mar-22 Jun-22 Sep-22 AGPXX -10,000 -8,000 -6,000 -4,000 -2,000 0 2,000 4,000 6,000 8,000 10,000 Dec-21 Mar-22 Jun-22 Sep-22 AGPXX Portfolio Analysis 23 MMF: Fund Profiles Fund Name:Invesco Govt & Agency Instutional - AGPXX AUM Flows ($MM)WAM (Days)WAL (Days)7D Yield (%)DLA (%)WLA (%)Share Class Flows ($MM)MNAV Current 78,701 16 104 4.22 89 95 (1,376)1.0000 Previous Month 70,022 17 103 3.73 90 95 85 1.0000 MoM Change 8,679 (1)1 0.49 (1)0 (1,461)0.0000 52 Week High N/A 56 113 4.22 95 96 8,866 1.0000 52 Week Low N/A 8 81 0.03 60 79 (7,655)1.0000 Portfolio Analysis 24 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 Darnell Fils Analyst (704) 410-0386 darnell.fils@wellsfargo.com Portfolio Accounting Kamari Hauglid Analyst (612) 667-8818 kamarihauglid@wellsfargo.com Portfolio Analysis 25 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 26 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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