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Investment Report 03-31-2020
City of Chanhassen Analysis Date:6/8/2020 Portfolio as of:3/31/2020 Market Data as of:3/31/2020 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 MMF Historical Performance 22 Credit Rating Monitor 9 MMF Fund Profiles 24 Positions by Sector 11 Positions by Maturity 13 Positions by Maturity - Scenario Analysis 15 2 Portfolio Summary Portfolio Snapshot Coupon Structure Sector Allocation Number of Positions 60 Par ($000)27,850 Book Value ($000)27,975 Mkt Value w/o Accrd ($000)28,459 Unrlzed Gain / Loss ($000)484 Coupon 2.12 Book Yield 1.95 Market Yield 0.98 Wgt Avg Maturity 1.5 Average Life 1.5 Effective Duration 1.4 Effective Convexity 0.1 Overnight Funds Principal 5,622 Overnight Funds Interest 0 Term Securities Principal 8,306 Term Securities Interest 489 Total Cash Flow 14,418 A-1+/A-1/P-1 A-2 / P-2 A-3 / P-3 Not Prime NA Short Term Rating 22% 41%37%35% 10% 56% 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 27.8% Certificate of Deposit 13.3% MMF 20.1% Municipal 38.8% 0.93 2.78 1.12 1.51 2.80 2.87 1.63 2.03 1.24 2.02 2.25 2.19 2.52 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 10,000,000 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 144 0 5,621,981 0.93 5,622,124 5,622,124 Apr-20 34,541 0 500,000 2.78 534,541 6,156,665 May-20 15,603 0 520,000 1.12 535,603 6,692,268 Jun-20 48,628 0 1,490,000 1.51 1,538,628 8,230,896 Jul-20 6,139 0 0 0.00 6,139 8,237,035 Aug-20 103,999 500,000 1,000,000 2.80 1,603,999 9,841,034 Sep-20 53,008 0 748,000 2.87 801,008 10,642,042 Oct-20 31,332 0 1,248,000 1.63 1,279,332 11,921,373 Nov-20 12,847 0 0 0.00 12,847 11,934,220 Dec-20 30,547 0 0 0.00 30,547 11,964,767 Jan-21 9,759 0 0 0.00 9,759 11,974,526 Feb-21 90,544 0 1,438,000 2.03 1,528,544 13,503,070 Year 1 Mar-21 52,430 0 862,000 1.24 914,430 14,417,501 Apr-21 22,267 0 500,000 2.54 522,267 14,939,767 May-21 12,847 0 746,000 2.33 758,847 15,698,614 Jun-21 30,547 0 0 0.00 30,547 15,729,161 Jul-21 7,120 0 0 0.00 7,120 15,736,281 Aug-21 65,480 0 1,994,000 2.63 2,059,480 17,795,761 Sep-21 44,617 0 990,000 2.15 1,034,617 18,830,378 Oct-21 17,892 0 494,000 2.10 511,892 19,342,270 Nov-21 4,155 0 0 0.00 4,155 19,346,424 Dec-21 30,565 0 911,000 2.06 941,565 20,287,989 Jan-22 7,120 0 0 0.00 7,120 20,295,109 Feb-22 30,765 0 260,000 2.21 290,765 20,585,873 Year 2 Mar-22 34,082 0 798,000 1.52 832,082 21,417,955 Apr-22 12,300 0 0 0.00 12,300 21,430,255 May-22 3,750 0 0 0.00 3,750 21,434,005 Jun-22 21,354 0 0 0.00 21,354 21,455,358 Jul-22 6,715 0 0 0.00 6,715 21,462,074 Aug-22 27,495 0 247,000 2.15 274,495 21,736,568 Sep-22 29,334 0 500,000 2.57 529,334 22,265,903 Oct-22 12,300 0 600,000 1.61 612,300 22,878,203 Nov-22 3,750 0 0 0.00 3,750 22,881,953 Dec-22 21,354 0 1,120,000 2.24 1,141,354 24,023,306 Jan-23 4,060 0 0 0.00 4,060 24,027,366 Feb-23 27,480 0 1,160,000 2.28 1,187,480 25,214,846 Year 3 Mar-23 23,709 0 0 0.00 23,709 25,238,556 Portfolio Analysis 4 Cash Flow Projections - Continued Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) Apr-23 7,500 0 0 0.00 7,500 25,246,056 May-23 3,750 0 250,000 1.90 253,750 25,499,806 Jun-23 0 0 0 0.00 0 25,499,806 Jul-23 4,060 0 0 0.00 4,060 25,503,866 Aug-23 12,183 0 0 0.00 12,183 25,516,048 Sep-23 23,709 0 205,000 2.85 228,709 25,744,758 Oct-23 7,500 0 500,000 2.88 507,500 26,252,258 Nov-23 0 0 0 0.00 0 26,252,258 Dec-23 0 0 0 0.00 0 26,252,258 Jan-24 4,060 0 0 0.00 4,060 26,256,318 Feb-24 12,183 0 150,000 2.40 162,183 26,418,500 Year 4 Mar-24 20,250 0 0 0.00 20,250 26,438,750 Apr-24 0 0 0 0.00 0 26,438,750 May-24 0 0 0 0.00 0 26,438,750 Jun-24 0 0 0 0.00 0 26,438,750 Jul-24 4,060 0 0 0.00 4,060 26,442,810 Aug-24 10,383 0 497,000 2.63 507,383 26,950,193 Sep-24 20,250 0 0 0.00 20,250 26,970,443 Oct-24 0 0 0 0.00 0 26,970,443 Nov-24 0 0 0 0.00 0 26,970,443 Dec-24 0 0 0 0.00 0 26,970,443 Jan-25 4,060 0 0 0.00 4,060 26,974,503 Feb-25 5,100 0 400,000 2.05 405,100 27,379,603 Year 5 Mar-25 20,250 0 0 0.00 20,250 27,399,853 Apr-25 0 0 0 0.00 0 27,399,853 May-25 0 0 0 0.00 0 27,399,853 Jun-25 0 0 0 0.00 0 27,399,853 Jul-25 4,060 0 500,000 1.06 504,060 27,903,913 Aug-25 0 0 0 0.00 0 27,903,913 Sep-25 20,250 0 600,000 3.30 620,250 28,524,163 Oct-25 0 0 0 0.00 0 28,524,163 Nov-25 0 0 0 0.00 0 28,524,163 Dec-25 0 0 0 0.00 0 28,524,163 Jan-26 0 0 0 0.00 0 28,524,163 Feb-26 0 0 0 0.00 0 28,524,163 Year 6 Mar-26 8,250 0 0 0.00 8,250 28,532,413 Portfolio Analysis 5 Historical Performance # Line Avg Total Par Avg Bk Avg Mkt Bnchmrk Wgt Avg Eff Ratings Portfolio Allocation* Date Items Coupon ($000)G / L Yield Yield Tsy Yield Maturity Dur Moody's S&P MMF Govt Corp CD/CP Muni Other 03/31/20 60 2.12 27,850 484 1.95 0.98 0.26 1.5 1.4 Aaa AA+20%28%0%13%39%0% 12/31/19 63 2.07 30,785 248 2.01 1.66 1.59 1.4 1.2 Aaa AA+25%32%0%14%29%0% 09/30/19 71 2.22 29,766 299 2.22 1.92 1.72 1.6 1.3 Aaa AA+13%39%0%17%32%0% 06/30/19 65 2.28 31,098 231 2.27 2.12 1.89 1.6 1.2 Aaa AA+23%37%0%12%28%0% 03/31/19 65 2.17 29,020 31 2.27 2.47 2.32 1.9 1.6 Aaa AA+16%47%0%13%24%0% 12/31/18 71 2.11 34,764 (146)2.12 2.56 2.55 1.7 1.5 Aaa AA+21%41%0%13%25%0% 09/30/18 72 1.87 30,316 (352)1.83 2.48 2.76 5.4 1.8 Aa1 AA+14%39%18%0%30%0% 06/29/18 73 1.77 30,817 (219)1.65 2.00 2.28 1.8 1.6 Aaa AA+ 03/29/18 70 1.61 25,872 (182)1.48 1.81 2.11 1.6 1.5 Aaa AA+ 12/29/17 80 1.49 31,196 (112)1.36 2.21 1.69 1.5 1.4 Aaa AA+ 09/29/17 73 1.48 29,667 (37)1.32 1.48 1.34 1.4 1.3 Aa1 AA+ 06/30/17 69 1.47 28,201 (46)1.36 1.45 1.30 1.6 1.4 Aa1 AA+ 0.00 0.50 1.00 1.50 2.00 2.50 3.00 Avg Book Yield Benchmark Treasury 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% MMF Govt Corp CD/CP Muni Other Portfolio Allocation*Book Yield vs. Treasury Benchmark * Portfolio Allocation is a new addition to portfolio analysis. Data will be added over time. Portfolio Analysis 6 Yield / Duration Contribution Book Market Book Eff Sector Total (%)Value ($)Value ($)G / L ($)Yield Dur Agency 27.8%7,775,838 8,020,745 244,907 2.34 1.5 Certificate of Deposit 13.3%3,713,000 3,739,977 26,977 1.79 1.5 MMF 20.1%5,621,981 5,621,981 0 0.93 0.0 Municipal 38.8%10,864,566 11,076,283 211,718 2.24 2.1 Total Portfolio 100.0%27,975,385 28,458,986 483,601 1.95 1.4 Agency Certificate of Deposit MMF Municipal 0.00 0.50 1.00 1.50 2.00 2.50 3.00 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 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 55 3130ABXS0 Agency FEDERAL HOME LOAN BANK 08/14/24 Amer 500,000 3.15 0.82 08/14/20 08/14/20 08/14/20 91-180 Days 500,000 3.15 0.82 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 6 150528LV7 Municipal CEDAR RAPIDS IA 2.50 06/01/20 490,000 WR 06/01/20 ------- 7 64966LN56 Municipal NEW YORK NY 2.15 06/01/20 500,000 WR 06/01/20 -AA 06/02/15 -NR 06/01/20 - 16 161664HA8 Municipal CHASKA MN 1.95 02/01/21 140,000 ---AA 05/29/20 ---- 47 161664HC4 Municipal CHASKA MN 2.25 02/01/23 145,000 ---AA 05/29/20 ---- 53 161664HD2 Municipal CHASKA MN 2.40 02/01/24 150,000 ---AA 05/29/20 ---- 35 161664HB6 Municipal CHASKA MN 2.10 02/01/22 140,000 ---AA 05/29/20 ---- 5 97705MDS1 Municipal WISCONSIN ST 1.15 05/01/20 520,000 WR 05/01/20 -AA 07/12/16 -NR 05/01/20 - 58 161035KH2 Municipal CHARLOTTE NC 1.62 07/01/25 500,000 Aaa 02/04/20 -AAA 02/12/20 -AAA 02/04/20 - 42 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 - 30 3133ELEF7 Agency FEDERAL FARM CREDIT BANK 1.65 09/20/21 590,000 Aaa 12/12/19 -AA+12/11/19 -AAA 12/24/19 - 50 792882BV3 Municipal ST PAUL MN 3.00 05/01/23 250,000 ---AAA 11/08/19 ---- 26 93974DV54 Municipal WASHINGTON ST 1.80 08/01/21 500,000 Aaa 08/23/19 -AA+09/26/17 -AA+08/30/17 - 33 550629VD8 Municipal LUVERNE MN 1.70 12/15/21 665,000 ---AAA 08/20/19 ---- 46 092765EW2 Municipal BLAINE MN 2.25 02/01/23 395,000 ---AAA 08/01/19 ---- 57 092765EY8 Municipal BLAINE MN 2.55 02/01/25 400,000 ---AAA 08/01/19 ---- 23 53860RBH0 Municipal LIVINGSTON CNTY MI 2.05 05/01/21 500,000 Aaa 05/20/19 ------- 60 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 - 17 963439YA6 Municipal WHITE BEAR LAKE MN INDEP SCH D 5.00 02/01/21 650,000 ---AAA 07/25/18 ---- 25 60412ADB6 Municipal MINNESOTA ST 5.00 08/01/21 1,000,000 Aa1 07/31/15 -AAA 07/25/18 -AAA 07/28/16 - 59 4095585H2 Municipal HAMPTON VA 4.00 09/01/25 600,000 Aa1 06/05/18 -AA+06/13/18 -AA+06/06/18 - 19 793067CD9 Municipal SAINT PAUL MN PORT AUTH 2.38 03/01/21 365,000 ---AAA 06/01/18 ---- 52 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 - 45 60375BDC7 Municipal MINNEAPOLIS MN 5.00 12/01/22 370,000 ---AAA 05/15/18 -AA+05/11/18 - 4 3137EAEM7 Agency FREDDIE MAC 2.50 04/23/20 500,000 Aaa 04/19/18 -AA+04/18/18 -AAA 04/19/18 - 49 809557BB6 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.50 02/01/23 120,000 ---AAA 04/04/18 ---- 36 809557BA8 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.35 02/01/22 120,000 ---AAA 04/04/18 ---- 37 60374Y7S0 Municipal MINNEAPOLIS MN 2.90 03/01/22 300,000 Aa1 02/07/14 -AAA 02/12/14 -AA+11/08/17 - 44 60375BCD6 Municipal MINNEAPOLIS MN 4.25 12/01/22 350,000 ---AAA 05/02/17 -AA+11/08/17 - 11 3130ACE26 Agency FEDERAL HOME LOAN BANK 1.38 09/28/20 500,000 Aaa 09/08/17 -AA+09/08/17 ---- 55 3130ABXS0 Agency FEDERAL HOME LOAN BANK 2.47 08/14/24 500,000 Aaa 07/27/17 -AA+07/27/17 ---- 54 64971WP53 Municipal NEW YORK CITY NY TRANSITIONAL 2.25 08/01/24 250,000 Aa1 09/12/16 -AAA 09/14/16 -AAA 09/09/16 - 41 3130A6AP2 Agency FEDERAL HOME LOAN BANK 2.25 09/09/22 500,000 Aaa 08/07/15 -AA+08/07/15 ---- 29 3133ECWS9 Agency FEDERAL FARM CREDIT BANK 2.83 09/07/21 400,000 Aaa 08/01/13 -AA+07/31/13 -AAA 03/21/14 - 9 3134G3F96 Agency FREDDIE MAC 1.65 08/28/20 1,000,000 Aaa 08/10/12 -AA+08/08/12 -AAA 03/21/14 - 14 3135G0RM7 Agency FANNIE MAE 1.63 10/30/20 500,000 Aaa 10/17/12 -AA+10/16/12 -AAA 03/21/14 - 13 3136G0R60 Agency FANNIE MAE 1.50 10/22/20 500,000 Aaa 10/04/12 -AA+10/02/12 -AAA 03/21/14 - 22 3136G0U58 Agency FANNIE MAE 1.75 04/30/21 500,000 Aaa 10/08/12 -AA+10/05/12 -AAA 03/21/14 - 15 113835H54 Municipal BROOKLYN CENTER MN 3.00 02/01/21 400,000 ---AA 11/21/13 ---- 51 313383YJ4 Agency FEDERAL HOME LOAN BANK 3.38 09/08/23 205,000 Aaa 08/27/13 -AA+08/26/13 ---- 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 48 73723RSP9 Municipal PORTSMOUTH VA 3.09 02/01/23 500,000 Aa2 05/24/13 -AA 06/05/13 -AA 05/21/13 - 8 3133834H1 Agency FEDERAL HOME LOAN BANK 1.38 06/12/20 500,000 Aaa 05/08/13 -AA+05/07/13 ---- 43 199492CT4 Municipal COLUMBUS OH 2.33 12/01/22 400,000 Aaa 11/06/12 -AAA 11/15/12 -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 4 3137EAEM7 FREDDIE MAC 1.8%2.50 04/23/20 Aaa AA+-Bullet 500,000 12/04/18 99.63 99.98 100.13 743 2.78 0.46 0.1 0.1 0.0 8 3133834H1 FEDERAL HOME LOAN BANK 1.8%1.38 06/12/20 Aaa AA+-Bullet 500,000 07/08/16 101.60 100.08 100.21 624 0.97 0.34 0.2 0.2 0.0 9 3134G3F96 FREDDIE MAC 3.6%1.65 08/28/20 Aaa AA+-Amer 1,000,000 07/10/18 97.98 99.60 100.52 9,187 2.63 0.38 0.4 0.4 0.0 11 3130ACE26 FEDERAL HOME LOAN BANK 1.8%1.38 09/28/20 Aaa AA+-Bullet 500,000 12/04/18 97.44 99.29 100.54 6,234 2.82 0.28 0.5 0.5 0.0 13 3136G0R60 FANNIE MAE 1.8%1.50 10/22/20 Aaa AA+-Amer 500,000 10/11/16 100.94 100.13 100.39 1,296 1.26 0.80 0.6 0.6 0.0 14 3135G0RM7 FANNIE MAE 1.8%1.63 10/30/20 Aaa AA+-Amer 500,000 06/26/19 99.76 99.90 100.62 3,638 1.81 0.56 0.6 0.6 0.0 22 3136G0U58 FANNIE MAE 1.8%1.75 04/30/21 Aaa AA+-Amer 500,000 02/07/19 98.30 99.16 101.28 10,608 2.54 0.56 1.1 1.1 0.0 29 3133ECWS9 FEDERAL FARM CREDIT BANK 1.4%2.83 09/07/21 Aaa AA+-Bullet 400,000 12/03/18 99.71 99.85 103.49 14,573 2.94 0.39 1.4 1.4 0.0 30 3133ELEF7 FEDERAL FARM CREDIT BANK 2.1%1.65 09/20/21 Aaa AA+-Bullet 590,000 12/20/19 100.05 100.04 101.83 10,568 1.62 0.40 1.5 1.5 0.0 41 3130A6AP2 FEDERAL HOME LOAN BANK 1.8%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.24 104.48 26,185 2.57 0.40 2.4 2.4 0.1 42 3133ELGN8 FEDERAL FARM CREDIT BANK 2.1%1.60 10/13/22 Aaa AA+-Bullet 600,000 01/13/20 99.97 99.98 101.75 10,670 1.61 0.90 2.5 2.5 0.1 51 313383YJ4 FEDERAL HOME LOAN BANK 0.7%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 101.71 110.11 17,219 2.85 0.41 3.4 3.3 0.1 52 3133EJQA0 FEDERAL FARM CREDIT BANK 1.8%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.40 108.40 40,005 2.88 0.61 3.6 3.4 0.1 55 3130ABXS0 FEDERAL HOME LOAN BANK 1.7%2.47 08/14/24 Aaa AA+08/14/20 Amer 500,000 07/19/18 96.27 97.24 100.61 16,844 3.15 0.82 4.4 0.4 0.0 60 3133EJD55 FEDERAL FARM CREDIT BANK 1.8%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.93 116.24 76,514 3.14 0.74 6.5 5.9 0.5 Agency 27.8%2.05 Aaa AA+7,795,000 99.44 99.75 102.90 244,907 2.34 0.54 1.8 1.5 0.1 10 84287PFU1 SOUTHERN FIRST BANK NA 0.9%2.90 09/08/20 ---Bullet 248,000 12/07/18 100.00 100.00 100.81 2,019 2.92 1.04 0.4 0.4 0.0 12 94948LCQ2 WELLESLEY BANK 0.9%2.00 10/19/20 ---Bullet 248,000 07/19/19 100.00 100.00 100.52 1,297 2.00 1.05 0.6 0.6 0.0 18 06251AZ45 BANK HAPOALIM BM NY 0.9%0.65 02/18/21 ---Bullet 248,000 03/18/20 100.00 100.00 99.52 (1,180)0.65 1.19 0.9 0.9 0.0 20 02589AA69 AMERICAN EXPR NATL BK 0.9%0.75 03/17/21 ---Bullet 249,000 03/17/20 100.00 100.00 99.54 (1,148)0.75 1.23 1.0 1.0 0.0 21 89677DHD1 TRISTATE CAPITAL BANK 0.9%0.65 03/18/21 ---Bullet 248,000 03/18/20 100.00 100.00 99.44 (1,391)0.65 1.23 1.0 1.0 0.0 24 02007GCV3 ALLY BANK 0.9%2.90 05/24/21 ---Bullet 246,000 05/24/18 100.00 100.00 101.86 4,576 2.90 1.26 1.1 1.1 0.0 27 61690UJL5 MORGAN STANLEY BANK NA 0.9%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 101.08 2,675 2.10 1.28 1.3 1.3 0.0 28 61760AR50 MORGAN STANLEY PVT BANK 0.9%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 101.08 2,675 2.10 1.28 1.3 1.3 0.0 31 14042RJJ1 CAPITAL ONE NA 0.9%2.15 10/12/21 ---Bullet 247,000 10/12/17 100.00 100.00 101.28 3,162 2.15 1.30 1.5 1.5 0.0 32 05580AKQ6 BMW BANK NORTH AMERICA 0.9%2.05 10/13/21 ---Bullet 247,000 10/13/17 100.00 100.00 101.13 2,794 2.05 1.30 1.5 1.5 0.0 34 87165HFH8 SYNCHRONY BANK 0.9%2.55 12/20/21 ---Bullet 246,000 12/19/14 100.00 100.00 102.33 5,724 2.55 1.18 1.7 1.7 0.0 38 29278TNH9 ENERBANK USA 0.9%0.95 03/14/22 ---Bullet 249,000 03/13/20 100.00 100.00 99.24 (1,900)0.95 1.35 2.0 1.9 0.0 39 88241TGX2 TEXAS EXCHANGE BANK SSB 0.9%1.00 03/25/22 ---Bullet 249,000 03/27/20 100.00 100.00 99.32 (1,696)1.00 1.35 2.0 2.0 0.0 40 14042TBH9 CAPITAL ONE BANK USA NA 0.9%2.15 08/01/22 ---Bullet 247,000 07/31/19 100.00 100.00 101.76 4,342 2.15 1.38 2.3 2.3 0.1 56 75472RAE1 RAYMOND JAMES BANK NA 0.9%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 102.04 5,029 2.00 1.52 4.4 4.2 0.2 Domestic CD 13.3%1.79 3,713,000 100.00 100.00 100.73 26,977 1.79 1.26 1.5 1.5 0.0 3 94975P405 Wells Fargo Government Money M 5.2%0.29 ---Bullet 1,458,892 03/31/20 100.00 100.00 100.00 0 0.29 0.29 0.0 0.0 0.0 2 0008CHAN2 NORTHLAND 0.3%0.29 ---Bullet 91,938 01/01/19 100.00 100.00 100.00 0 0.29 0.29 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COM BK 14.6%1.18 ---Bullet 4,071,151 01/01/19 100.00 100.00 100.00 0 1.18 1.18 0.0 0.0 0.0 MMF 20.1%0.93 5,621,981 100.00 100.00 100.00 0 0.93 0.93 0.0 0.0 0.0 5 97705MDS1 WISCONSIN ST 1.9%1.15 05/01/20 WR AA -Bullet 520,000 07/28/16 100.15 100.00 100.03 166 1.12 0.75 0.1 0.1 0.0 6 150528LV7 CEDAR RAPIDS IA 1.8%2.50 06/01/20 WR --Bullet 490,000 04/07/16 104.42 100.18 100.27 446 1.43 0.89 0.2 0.2 0.0 7 64966LN56 NEW YORK NY 1.8%2.15 06/01/20 WR AA -Bullet 500,000 06/18/15 100.00 100.00 100.19 960 2.14 1.01 0.2 0.2 0.0 16 161664HA8 CHASKA MN 0.5%1.95 02/01/21 -AA -Bullet 140,000 11/29/17 100.00 100.00 100.71 993 1.95 1.10 0.8 0.8 0.0 17 963439YA6 WHITE BEAR LAKE MN INDEP SCH D 2.4%5.00 02/01/21 -AAA -Bullet 650,000 06/14/19 104.54 102.34 103.23 5,811 2.16 1.10 0.8 0.8 0.0 15 113835H54 BROOKLYN CENTER MN 1.4%3.00 02/01/21 -AA -Bullet 400,000 01/24/14 101.88 100.24 101.47 4,908 2.71 1.23 0.8 0.8 0.0 19 793067CD9 SAINT PAUL MN PORT AUTH 1.3%2.38 03/01/21 -AAA -Bullet 365,000 06/24/19 100.67 100.37 101.11 2,708 1.97 1.16 0.9 0.9 0.0 23 53860RBH0 LIVINGSTON CNTY MI 1.8%2.05 05/01/21 Aaa --Bullet 500,000 06/20/19 100.00 100.00 100.91 4,535 2.05 1.21 1.1 1.1 0.0 25 60412ADB6 MINNESOTA ST 3.7%5.00 08/01/21 Aa1 AAA -Bullet 1,000,000 03/25/20 103.43 103.39 105.23 18,430 3.05 1.32 1.3 1.3 0.0 26 93974DV54 WASHINGTON ST 1.8%1.80 08/01/21 Aaa AA+-Bullet 500,000 07/26/18 97.04 98.66 101.30 13,185 2.83 0.82 1.3 1.3 0.0 33 550629VD8 LUVERNE MN 2.4%1.70 12/15/21 -AAA -Bullet 665,000 01/23/20 100.00 100.00 101.12 7,468 1.70 1.03 1.7 1.7 0.0 36 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0.4%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 102.00 2,399 2.35 1.24 1.8 1.8 0.0 35 161664HB6 CHASKA MN 0.5%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 101.93 2,705 2.10 1.03 1.8 1.8 0.0 37 60374Y7S0 MINNEAPOLIS MN 1.1%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.04 103.46 10,260 2.88 1.07 1.9 1.9 0.0 45 60375BDC7 MINNEAPOLIS MN 1.4%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 104.95 109.31 16,114 3.05 1.43 2.7 2.5 0.1 44 60375BCD6 MINNEAPOLIS MN 1.3%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 105.81 107.38 5,492 2.00 1.42 2.7 2.5 0.1 43 199492CT4 COLUMBUS OH 1.5%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 101.64 103.24 6,384 1.70 1.10 2.7 2.6 0.1 48 73723RSP9 PORTSMOUTH VA 1.8%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 102.29 105.35 15,295 2.25 1.17 2.8 2.7 0.1 49 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0.4%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 102.44 2,933 2.50 1.61 2.8 2.7 0.1 46 092765EW2 BLAINE MN 1.4%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 102.01 7,924 2.25 1.52 2.8 2.7 0.1 47 161664HC4 CHASKA MN 0.5%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 102.31 3,355 2.25 1.41 2.8 2.7 0.1 50 792882BV3 ST PAUL MN 0.9%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 103.28 104.83 3,885 1.90 1.39 3.1 2.9 0.1 53 161664HD2 CHASKA MN 0.5%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 104.45 6,677 2.40 1.21 3.8 3.7 0.2 54 64971WP53 NEW YORK CITY NY TRANSITIONAL 0.9%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 95.99 101.63 14,108 3.25 1.86 4.3 4.1 0.2 57 092765EY8 BLAINE MN 1.5%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 102.29 104.81 10,104 2.05 1.51 4.8 4.6 0.3 58 161035KH2 CHARLOTTE NC 1.8%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 102.85 101.43 (7,095)1.06 1.34 5.3 5.0 0.3 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 59 4095585H2 HAMPTON VA 2.2%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 103.44 112.04 51,570 3.30 1.67 5.4 4.9 0.3 Municipals 38.8%2.91 Aa1 AA+10,720,000 101.99 101.35 103.32 211,718 2.24 1.23 2.1 2.1 0.1 Total Portfolio 100.0%2.12 27,849,981 100.61 100.45 102.19 483,601 1.95 0.98 1.5 1.4 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 3 94975P405 Wells Fargo Government Money M 5%0.29 ---Bullet 1,458,892 03/31/20 100.00 100.00 100.00 0 0.29 0.29 0.0 0.0 0.0 2 0008CHAN2 NORTHLAND 0%0.29 ---Bullet 91,938 01/01/19 100.00 100.00 100.00 0 0.29 0.29 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COM BK 15%1.18 ---Bullet 4,071,151 01/01/19 100.00 100.00 100.00 0 1.18 1.18 0.0 0.0 0.0 4 3137EAEM7 FREDDIE MAC 2%2.50 04/23/20 Aaa AA+-Bullet 500,000 12/04/18 99.63 99.98 100.13 743 2.78 0.46 0.1 0.1 0.0 5 97705MDS1 WISCONSIN ST 2%1.15 05/01/20 WR AA -Bullet 520,000 07/28/16 100.15 100.00 100.03 166 1.12 0.75 0.1 0.1 0.0 6 150528LV7 CEDAR RAPIDS IA 2%2.50 06/01/20 WR --Bullet 490,000 04/07/16 104.42 100.18 100.27 446 1.43 0.89 0.2 0.2 0.0 7 64966LN56 NEW YORK NY 2%2.15 06/01/20 WR AA -Bullet 500,000 06/18/15 100.00 100.00 100.19 960 2.14 1.01 0.2 0.2 0.0 8 3133834H1 FEDERAL HOME LOAN BANK 2%1.38 06/12/20 Aaa AA+-Bullet 500,000 07/08/16 101.60 100.08 100.21 624 0.97 0.34 0.2 0.2 0.0 9 3134G3F96 FREDDIE MAC 4%1.65 08/28/20 Aaa AA+-Amer 1,000,000 07/10/18 97.98 99.60 100.52 9,187 2.63 0.38 0.4 0.4 0.0 10 84287PFU1 SOUTHERN FIRST BANK NA 1%2.90 09/08/20 ---Bullet 248,000 12/07/18 100.00 100.00 100.81 2,019 2.92 1.04 0.4 0.4 0.0 11 3130ACE26 FEDERAL HOME LOAN BANK 2%1.38 09/28/20 Aaa AA+-Bullet 500,000 12/04/18 97.44 99.29 100.54 6,234 2.82 0.28 0.5 0.5 0.0 12 94948LCQ2 WELLESLEY BANK 1%2.00 10/19/20 ---Bullet 248,000 07/19/19 100.00 100.00 100.52 1,297 2.00 1.05 0.6 0.6 0.0 13 3136G0R60 FANNIE MAE 2%1.50 10/22/20 Aaa AA+-Amer 500,000 10/11/16 100.94 100.13 100.39 1,296 1.26 0.80 0.6 0.6 0.0 14 3135G0RM7 FANNIE MAE 2%1.63 10/30/20 Aaa AA+-Amer 500,000 06/26/19 99.76 99.90 100.62 3,638 1.81 0.56 0.6 0.6 0.0 15 113835H54 BROOKLYN CENTER MN 1%3.00 02/01/21 -AA -Bullet 400,000 01/24/14 101.88 100.24 101.47 4,908 2.71 1.23 0.8 0.8 0.0 16 161664HA8 CHASKA MN 1%1.95 02/01/21 -AA -Bullet 140,000 11/29/17 100.00 100.00 100.71 993 1.95 1.10 0.8 0.8 0.0 17 963439YA6 WHITE BEAR LAKE MN INDEP SCH D 2%5.00 02/01/21 -AAA -Bullet 650,000 06/14/19 104.54 102.34 103.23 5,811 2.16 1.10 0.8 0.8 0.0 18 06251AZ45 BANK HAPOALIM BM NY 1%0.65 02/18/21 ---Bullet 248,000 03/18/20 100.00 100.00 99.52 (1,180)0.65 1.19 0.9 0.9 0.0 19 793067CD9 SAINT PAUL MN PORT AUTH 1%2.38 03/01/21 -AAA -Bullet 365,000 06/24/19 100.67 100.37 101.11 2,708 1.97 1.16 0.9 0.9 0.0 20 02589AA69 AMERICAN EXPR NATL BK 1%0.75 03/17/21 ---Bullet 249,000 03/17/20 100.00 100.00 99.54 (1,148)0.75 1.23 1.0 1.0 0.0 21 89677DHD1 TRISTATE CAPITAL BANK 1%0.65 03/18/21 ---Bullet 248,000 03/18/20 100.00 100.00 99.44 (1,391)0.65 1.23 1.0 1.0 0.0 Year 1 48%1.59 13,427,981 100.29 100.08 100.36 37,309 1.51 0.85 0.3 0.3 0.0 22 3136G0U58 FANNIE MAE 2%1.75 04/30/21 Aaa AA+-Amer 500,000 02/07/19 98.30 99.16 101.28 10,608 2.54 0.56 1.1 1.1 0.0 23 53860RBH0 LIVINGSTON CNTY MI 2%2.05 05/01/21 Aaa --Bullet 500,000 06/20/19 100.00 100.00 100.91 4,535 2.05 1.21 1.1 1.1 0.0 24 02007GCV3 ALLY BANK 1%2.90 05/24/21 ---Bullet 246,000 05/24/18 100.00 100.00 101.86 4,576 2.90 1.26 1.1 1.1 0.0 26 93974DV54 WASHINGTON ST 2%1.80 08/01/21 Aaa AA+-Bullet 500,000 07/26/18 97.04 98.66 101.30 13,185 2.83 0.82 1.3 1.3 0.0 25 60412ADB6 MINNESOTA ST 4%5.00 08/01/21 Aa1 AAA -Bullet 1,000,000 03/25/20 103.43 103.39 105.23 18,430 3.05 1.32 1.3 1.3 0.0 27 61690UJL5 MORGAN STANLEY BANK NA 1%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 101.08 2,675 2.10 1.28 1.3 1.3 0.0 28 61760AR50 MORGAN STANLEY PVT BANK 1%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 101.08 2,675 2.10 1.28 1.3 1.3 0.0 29 3133ECWS9 FEDERAL FARM CREDIT BANK 1%2.83 09/07/21 Aaa AA+-Bullet 400,000 12/03/18 99.71 99.85 103.49 14,573 2.94 0.39 1.4 1.4 0.0 30 3133ELEF7 FEDERAL FARM CREDIT BANK 2%1.65 09/20/21 Aaa AA+-Bullet 590,000 12/20/19 100.05 100.04 101.83 10,568 1.62 0.40 1.5 1.5 0.0 31 14042RJJ1 CAPITAL ONE NA 1%2.15 10/12/21 ---Bullet 247,000 10/12/17 100.00 100.00 101.28 3,162 2.15 1.30 1.5 1.5 0.0 32 05580AKQ6 BMW BANK NORTH AMERICA 1%2.05 10/13/21 ---Bullet 247,000 10/13/17 100.00 100.00 101.13 2,794 2.05 1.30 1.5 1.5 0.0 33 550629VD8 LUVERNE MN 2%1.70 12/15/21 -AAA -Bullet 665,000 01/23/20 100.00 100.00 101.12 7,468 1.70 1.03 1.7 1.7 0.0 34 87165HFH8 SYNCHRONY BANK 1%2.55 12/20/21 ---Bullet 246,000 12/19/14 100.00 100.00 102.33 5,724 2.55 1.18 1.7 1.7 0.0 36 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 102.00 2,399 2.35 1.24 1.8 1.8 0.0 35 161664HB6 CHASKA MN 1%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 101.93 2,705 2.10 1.03 1.8 1.8 0.0 37 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.04 103.46 10,260 2.88 1.07 1.9 1.9 0.0 38 29278TNH9 ENERBANK USA 1%0.95 03/14/22 ---Bullet 249,000 03/13/20 100.00 100.00 99.24 (1,900)0.95 1.35 2.0 1.9 0.0 39 88241TGX2 TEXAS EXCHANGE BANK SSB 1%1.00 03/25/22 ---Bullet 249,000 03/27/20 100.00 100.00 99.32 (1,696)1.00 1.35 2.0 2.0 0.0 Year 2 24%2.45 6,693,000 100.16 100.34 102.02 112,740 2.30 1.03 1.5 1.4 0.0 40 14042TBH9 CAPITAL ONE BANK USA NA 1%2.15 08/01/22 ---Bullet 247,000 07/31/19 100.00 100.00 101.76 4,342 2.15 1.38 2.3 2.3 0.1 41 3130A6AP2 FEDERAL HOME LOAN BANK 2%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.24 104.48 26,185 2.57 0.40 2.4 2.4 0.1 42 3133ELGN8 FEDERAL FARM CREDIT BANK 2%1.60 10/13/22 Aaa AA+-Bullet 600,000 01/13/20 99.97 99.98 101.75 10,670 1.61 0.90 2.5 2.5 0.1 45 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 104.95 109.31 16,114 3.05 1.43 2.7 2.5 0.1 44 60375BCD6 MINNEAPOLIS MN 1%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 105.81 107.38 5,492 2.00 1.42 2.7 2.5 0.1 43 199492CT4 COLUMBUS OH 1%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 101.64 103.24 6,384 1.70 1.10 2.7 2.6 0.1 48 73723RSP9 PORTSMOUTH VA 2%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 102.29 105.35 15,295 2.25 1.17 2.8 2.7 0.1 49 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 102.44 2,933 2.50 1.61 2.8 2.7 0.1 46 092765EW2 BLAINE MN 1%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 102.01 7,924 2.25 1.52 2.8 2.7 0.1 47 161664HC4 CHASKA MN 1%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 102.31 3,355 2.25 1.41 2.8 2.7 0.1 Year 3 13%2.74 3,627,000 102.19 101.45 104.18 98,693 2.19 1.14 2.7 2.5 0.1 50 792882BV3 ST PAUL MN 1%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 103.28 104.83 3,885 1.90 1.39 3.1 2.9 0.1 51 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 101.71 110.11 17,219 2.85 0.41 3.4 3.3 0.1 52 3133EJQA0 FEDERAL FARM CREDIT BANK 2%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.40 108.40 40,005 2.88 0.61 3.6 3.4 0.1 53 161664HD2 CHASKA MN 1%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 104.45 6,677 2.40 1.21 3.8 3.7 0.2 Year 4 4%2.99 1,105,000 101.55 101.24 107.37 67,786 2.58 0.83 3.5 3.3 0.1 54 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 95.99 101.63 14,108 3.25 1.86 4.3 4.1 0.2 55 3130ABXS0 FEDERAL HOME LOAN BANK 2%2.47 08/14/24 Aaa AA+08/14/20 Amer 500,000 07/19/18 96.27 97.24 100.61 16,844 3.15 0.82 4.4 0.4 0.0 56 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 102.04 5,029 2.00 1.52 4.4 4.2 0.2 57 092765EY8 BLAINE MN 1%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 102.29 104.81 10,104 2.05 1.51 4.8 4.6 0.3 Year 5 5%2.37 1,397,000 98.40 98.95 102.25 46,085 2.64 1.33 4.5 2.9 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 58 161035KH2 CHARLOTTE NC 2%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 102.85 101.43 (7,095)1.06 1.34 5.3 5.0 0.3 59 4095585H2 HAMPTON VA 2%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 103.44 112.04 51,570 3.30 1.67 5.4 4.9 0.3 Year 6 4%2.92 1,100,000 103.72 103.17 107.21 44,475 2.29 1.53 5.3 5.0 0.3 60 3133EJD55 FEDERAL FARM CREDIT BANK 2%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.93 116.24 76,514 3.14 0.74 6.5 5.9 0.5 Year 7 2%3.30 500,000 101.10 100.93 116.24 76,514 3.14 0.74 6.5 5.9 0.5 Total Portfolio 100%2.12 27,849,981 100.61 100.45 102.19 483,601 1.95 0.98 1.5 1.4 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 3 94975P405 Wells Fargo Government Money M 5%0.29 1,458,892 0.0 0.0 0.0 0.0 0.0 0.29 0.29 0.29 0.29 0.29 0.0 0.0 0.0 0.0 0.0 2 0008CHAN2 NORTHLAND 0%0.29 91,938 0.0 0.0 0.0 0.0 0.0 0.29 0.29 0.29 0.29 0.29 0.0 0.0 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COM BK 15%1.18 4,071,151 0.0 0.0 0.0 0.0 0.0 1.18 1.18 1.18 1.18 1.18 0.0 0.0 0.0 0.0 0.0 4 3137EAEM7 FREDDIE MAC 2%2.50 04/23/20 500,000 0.1 0.0 0.0 (0.0)(0.0)2.78 2.78 2.78 2.78 2.78 0.1 0.1 0.1 0.1 0.1 5 97705MDS1 WISCONSIN ST 2%1.15 05/01/20 520,000 0.1 0.0 0.0 (0.0)(0.0)1.12 1.12 1.12 1.12 1.12 0.1 0.1 0.1 0.1 0.1 6 150528LV7 CEDAR RAPIDS IA 2%2.50 06/01/20 490,000 0.2 0.1 0.0 (0.0)(0.1)1.43 1.43 1.43 1.43 1.43 0.2 0.2 0.2 0.2 0.2 7 64966LN56 NEW YORK NY 2%2.15 06/01/20 500,000 0.2 0.1 0.0 (0.0)(0.1)2.14 2.14 2.14 2.14 2.14 0.2 0.2 0.2 0.2 0.2 8 3133834H1 FEDERAL HOME LOAN BANK 2%1.38 06/12/20 500,000 0.2 0.1 0.1 (0.1)(0.1)0.97 0.97 0.97 0.97 0.97 0.2 0.2 0.2 0.2 0.2 9 3134G3F96 FREDDIE MAC 4%1.65 08/28/20 1,000,000 0.4 0.2 0.1 (0.1)(0.2)2.63 2.63 2.63 2.63 2.63 0.4 0.4 0.4 0.4 0.4 10 84287PFU1 SOUTHERN FIRST BANK NA 1%2.90 09/08/20 248,000 0.4 0.2 0.1 (0.1)(0.2)2.92 2.92 2.92 2.92 2.92 0.4 0.4 0.4 0.4 0.4 11 3130ACE26 FEDERAL HOME LOAN BANK 2%1.38 09/28/20 500,000 0.5 0.3 0.1 (0.1)(0.2)2.82 2.82 2.82 2.82 2.82 0.5 0.5 0.5 0.5 0.5 12 94948LCQ2 WELLESLEY BANK 1%2.00 10/19/20 248,000 0.6 0.3 0.1 (0.1)(0.3)2.00 2.00 2.00 2.00 2.00 0.6 0.6 0.6 0.6 0.6 13 3136G0R60 FANNIE MAE 2%1.50 10/22/20 500,000 0.6 0.3 0.1 (0.1)(0.3)1.26 1.26 1.26 1.26 1.26 0.6 0.6 0.6 0.6 0.6 14 3135G0RM7 FANNIE MAE 2%1.63 10/30/20 500,000 0.6 0.3 0.1 (0.1)(0.3)1.81 1.81 1.81 1.81 1.81 0.6 0.6 0.6 0.6 0.6 15 113835H54 BROOKLYN CENTER MN 1%3.00 02/01/21 400,000 0.8 0.4 0.2 (0.2)(0.4)2.71 2.71 2.71 2.71 2.71 0.8 0.8 0.8 0.8 0.8 16 161664HA8 CHASKA MN 1%1.95 02/01/21 140,000 0.8 0.4 0.2 (0.2)(0.4)1.95 1.95 1.95 1.95 1.95 0.8 0.8 0.8 0.8 0.8 17 963439YA6 WHITE BEAR LAKE MN INDEP SCH D 2%5.00 02/01/21 650,000 0.8 0.4 0.2 (0.2)(0.4)2.16 2.16 2.16 2.16 2.16 0.8 0.8 0.8 0.8 0.8 18 06251AZ45 BANK HAPOALIM BM NY 1%0.65 02/18/21 248,000 0.9 0.4 0.2 (0.2)(0.4)0.65 0.65 0.65 0.65 0.65 0.9 0.9 0.9 0.9 0.9 19 793067CD9 SAINT PAUL MN PORT AUTH 1%2.38 03/01/21 365,000 0.9 0.5 0.2 (0.2)(0.5)1.97 1.97 1.97 1.97 1.97 0.9 0.9 0.9 0.9 0.9 20 02589AA69 AMERICAN EXPR NATL BK 1%0.75 03/17/21 249,000 1.0 0.5 0.2 (0.2)(0.5)0.75 0.75 0.75 0.75 0.75 1.0 1.0 1.0 1.0 1.0 21 89677DHD1 TRISTATE CAPITAL BANK 1%0.65 03/18/21 248,000 1.0 0.5 0.2 (0.2)(0.5)0.65 0.65 0.65 0.65 0.65 1.0 1.0 1.0 1.0 1.0 Year 1 48%1.59 13,427,981 0.3 0.1 0.1 (0.1)(0.1)1.51 1.51 1.51 1.51 1.51 0.3 0.3 0.3 0.3 0.3 22 3136G0U58 FANNIE MAE 2%1.75 04/30/21 500,000 1.1 0.5 0.3 (0.3)(0.5)2.54 2.54 2.54 2.54 2.54 1.0 1.0 1.1 1.1 1.1 23 53860RBH0 LIVINGSTON CNTY MI 2%2.05 05/01/21 500,000 1.1 0.5 0.3 (0.3)(0.5)2.05 2.05 2.05 2.05 2.05 1.1 1.1 1.1 1.1 1.1 24 02007GCV3 ALLY BANK 1%2.90 05/24/21 246,000 1.1 0.6 0.3 (0.3)(0.6)2.90 2.90 2.90 2.90 2.90 1.1 1.1 1.1 1.1 1.1 26 93974DV54 WASHINGTON ST 2%1.80 08/01/21 500,000 1.3 0.7 0.3 (0.3)(0.7)2.83 2.83 2.83 2.83 2.83 1.3 1.3 1.3 1.3 1.3 25 60412ADB6 MINNESOTA ST 4%5.00 08/01/21 1,000,000 1.3 0.7 0.3 (0.3)(0.7)3.05 3.05 3.05 3.05 3.05 1.3 1.3 1.3 1.3 1.3 27 61690UJL5 MORGAN STANLEY BANK NA 1%2.10 08/02/21 247,000 1.3 0.7 0.3 (0.3)(0.7)2.10 2.10 2.10 2.10 2.10 1.3 1.3 1.3 1.3 1.3 28 61760AR50 MORGAN STANLEY PVT BANK 1%2.10 08/02/21 247,000 1.3 0.7 0.3 (0.3)(0.7)2.10 2.10 2.10 2.10 2.10 1.3 1.3 1.3 1.3 1.3 29 3133ECWS9 FEDERAL FARM CREDIT BANK 1%2.83 09/07/21 400,000 1.4 0.7 0.4 (0.4)(0.7)2.94 2.94 2.94 2.94 2.94 1.4 1.4 1.4 1.4 1.4 30 3133ELEF7 FEDERAL FARM CREDIT BANK 2%1.65 09/20/21 590,000 1.5 0.7 0.4 (0.4)(0.7)1.62 1.62 1.62 1.62 1.62 1.5 1.5 1.5 1.5 1.5 31 14042RJJ1 CAPITAL ONE NA 1%2.15 10/12/21 247,000 1.5 0.8 0.4 (0.4)(0.8)2.15 2.15 2.15 2.15 2.15 1.5 1.5 1.5 1.5 1.5 32 05580AKQ6 BMW BANK NORTH AMERICA 1%2.05 10/13/21 247,000 1.5 0.8 0.4 (0.4)(0.8)2.05 2.05 2.05 2.05 2.05 1.5 1.5 1.5 1.5 1.5 33 550629VD8 LUVERNE MN 2%1.70 12/15/21 665,000 1.7 0.8 0.4 (0.4)(0.8)1.70 1.70 1.70 1.70 1.70 1.7 1.7 1.7 1.7 1.7 34 87165HFH8 SYNCHRONY BANK 1%2.55 12/20/21 246,000 1.7 0.9 0.4 (0.4)(0.8)2.55 2.55 2.55 2.55 2.55 1.7 1.7 1.7 1.7 1.7 36 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.35 02/01/22 120,000 1.8 0.9 0.5 (0.4)(0.9)2.35 2.35 2.35 2.35 2.35 1.8 1.8 1.8 1.8 1.8 35 161664HB6 CHASKA MN 1%2.10 02/01/22 140,000 1.8 0.9 0.5 (0.5)(0.9)2.10 2.10 2.10 2.10 2.10 1.8 1.8 1.8 1.8 1.8 37 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 300,000 1.9 0.9 0.5 (0.5)(0.9)2.88 2.88 2.88 2.88 2.88 1.9 1.9 1.9 1.9 1.9 38 29278TNH9 ENERBANK USA 1%0.95 03/14/22 249,000 2.0 1.0 0.5 (0.5)(1.0)0.95 0.95 0.95 0.95 0.95 1.9 1.9 1.9 1.9 1.9 39 88241TGX2 TEXAS EXCHANGE BANK SSB 1%1.00 03/25/22 249,000 2.0 1.0 0.5 (0.5)(1.0)1.00 1.00 1.00 1.00 1.00 2.0 2.0 2.0 2.0 1.9 Year 2 24%2.45 6,693,000 1.5 0.7 0.4 (0.4)(0.7)2.30 2.30 2.30 2.30 2.30 1.4 1.4 1.4 1.4 1.4 40 14042TBH9 CAPITAL ONE BANK USA NA 1%2.15 08/01/22 247,000 2.3 1.1 0.6 (0.6)(1.1)2.15 2.15 2.15 2.15 2.15 2.3 2.3 2.3 2.3 2.3 41 3130A6AP2 FEDERAL HOME LOAN BANK 2%2.25 09/09/22 500,000 2.4 1.2 0.6 (0.6)(1.2)2.57 2.57 2.57 2.57 2.57 2.4 2.4 2.4 2.4 2.4 42 3133ELGN8 FEDERAL FARM CREDIT BANK 2%1.60 10/13/22 600,000 2.5 1.2 0.6 (0.6)(1.2)1.61 1.61 1.61 1.61 1.61 2.5 2.5 2.5 2.5 2.5 45 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 370,000 2.7 1.3 0.6 (0.6)(1.3)3.05 3.05 3.05 3.05 3.05 2.5 2.5 2.5 2.5 2.5 44 60375BCD6 MINNEAPOLIS MN 1%4.25 12/01/22 350,000 2.7 1.3 0.6 (0.6)(1.3)2.00 2.00 2.00 2.00 2.00 2.5 2.5 2.5 2.5 2.5 43 199492CT4 COLUMBUS OH 1%2.33 12/01/22 400,000 2.7 1.3 0.7 (0.6)(1.3)1.70 1.70 1.70 1.70 1.70 2.6 2.6 2.6 2.6 2.6 48 73723RSP9 PORTSMOUTH VA 2%3.09 02/01/23 500,000 2.8 1.4 0.7 (0.7)(1.4)2.25 2.25 2.25 2.25 2.25 2.7 2.7 2.7 2.7 2.7 49 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 120,000 2.8 1.4 0.7 (0.7)(1.4)2.50 2.50 2.50 2.50 2.50 2.7 2.7 2.7 2.7 2.7 46 092765EW2 BLAINE MN 1%2.25 02/01/23 395,000 2.8 1.4 0.7 (0.7)(1.4)2.25 2.25 2.25 2.25 2.25 2.8 2.7 2.7 2.7 2.7 47 161664HC4 CHASKA MN 1%2.25 02/01/23 145,000 2.8 1.4 0.7 (0.7)(1.4)2.25 2.25 2.25 2.25 2.25 2.8 2.7 2.7 2.7 2.7 Year 3 13%2.74 3,627,000 2.7 1.3 0.6 (0.6)(1.3)2.19 2.19 2.19 2.19 2.19 2.6 2.5 2.5 2.5 2.5 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 50 792882BV3 ST PAUL MN 1%3.00 05/01/23 250,000 3.1 1.5 0.7 (0.7)(1.5)1.90 1.90 1.90 1.90 1.90 2.9 2.9 2.9 2.9 2.9 51 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 205,000 3.4 1.7 0.8 (0.8)(1.6)2.85 2.85 2.85 2.85 2.85 3.3 3.3 3.3 3.3 3.3 52 3133EJQA0 FEDERAL FARM CREDIT BANK 2%3.00 10/23/23 500,000 3.6 1.7 0.9 (0.8)(1.7)2.88 2.88 2.88 2.88 2.88 3.4 3.4 3.4 3.4 3.3 53 161664HD2 CHASKA MN 1%2.40 02/01/24 150,000 3.8 1.9 0.9 (0.9)(1.8)2.40 2.40 2.40 2.40 2.40 3.7 3.7 3.7 3.7 3.7 Year 4 4%2.99 1,105,000 3.5 1.7 0.8 (0.8)(1.6)2.58 2.58 2.58 2.58 2.58 3.3 3.3 3.3 3.3 3.3 54 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 250,000 4.3 2.1 1.0 (1.0)(2.0)3.25 3.25 3.25 3.25 3.25 4.1 4.1 4.1 4.1 4.1 55 3130ABXS0 FEDERAL HOME LOAN BANK 2%2.47 08/14/24 500,000 4.4 0.2 0.1 (0.1)(0.2)3.15 3.15 3.15 3.15 3.15 0.4 0.4 0.4 0.4 0.4 56 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 247,000 4.4 2.1 1.1 (1.0)(2.1)2.00 2.00 2.00 2.00 2.00 4.2 4.2 4.2 4.2 4.2 57 092765EY8 BLAINE MN 1%2.55 02/01/25 400,000 4.8 2.3 1.2 (1.1)(2.3)2.05 2.05 2.05 2.05 2.05 4.6 4.6 4.6 4.6 4.5 Year 5 5%2.37 1,397,000 4.5 1.5 0.7 (0.7)(1.5)2.64 2.64 2.64 2.64 2.64 3.0 3.0 2.9 2.9 2.9 58 161035KH2 CHARLOTTE NC 2%1.62 07/01/25 500,000 5.3 2.6 1.3 (1.3)(2.5)1.06 1.06 1.06 1.06 1.06 5.1 5.0 5.0 5.0 5.0 59 4095585H2 HAMPTON VA 2%4.00 09/01/25 600,000 5.4 2.5 1.2 (1.2)(2.4)3.30 3.30 3.30 3.30 3.30 5.0 4.9 4.9 4.9 4.9 Year 6 4%2.92 1,100,000 5.3 2.5 1.3 (1.2)(2.5)2.29 2.29 2.29 2.29 2.29 5.0 5.0 5.0 5.0 5.0 60 3133EJD55 FEDERAL FARM CREDIT BANK 2%3.30 09/28/26 500,000 6.5 3.0 1.5 (1.5)(2.9)3.14 3.14 3.14 3.14 3.14 6.0 6.0 5.9 5.9 5.9 Year 7 2%3.30 500,000 6.5 3.0 1.5 (1.5)(2.9)3.14 3.14 3.14 3.14 3.14 6.0 6.0 5.9 5.9 5.9 Total Portfolio 100%2.12 27,849,981 1.5 0.7 0.4 (0.4)(0.7)1.95 1.95 1.95 1.95 1.95 1.4 1.4 1.4 1.4 1.4 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 FHLB 5 8%28%2,205,000 2.01 99.22 102.26 67,107 2.42 0.46 2.0 1.1 0.0 100%--77%23%-- FNMA 3 5%19%1,500,000 1.63 99.73 100.77 15,542 1.87 0.64 0.7 0.7 0.0 100%---100%-- FHLMC 2 5%19%1,500,000 1.93 99.73 100.39 9,930 2.68 0.41 0.3 0.3 0.0 100%--33%67%-- FFCB 5 9%33%2,590,000 2.40 100.24 106.12 152,329 2.36 0.62 3.1 3.0 0.2 100%--100%--- Sector Total 15 28%100%7,795,000 2.05 99.75 102.90 244,907 2.34 0.54 1.8 1.5 0.1 100%62%38% FFCB 34% FHLB 28% FHLMC 19% FNMA 19% Bullet 62% Amer 38% Fixed 100% Issuer Structure Coupon Portfolio Analysis 18 Money Market Sector - Summary Money Market Product Distribution (%) Moody's Short Term Ratings Distribution (%) Cash Flows by Month -12 Months ($) Agency, 26% Certificate of Deposit, 9% MMF, 42% Municipal, 23% NA, 100% 0 1,000,000 2,000,000 3,000,000 4,000,000 5,000,000 6,000,000 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 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 15 13%100%1.79 3,713,000 100.00 100.73 26,977 1.79 1.26 1.5 1.5 0.0 Sector Total 15 13%100%1.79 3,713,000 100.00 100.73 26,977 1.79 1.26 1.5 1.5 0.0 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 Unlimited 1 2%5%500,000 1.62 102.85 101.43 (7,095)1.06 1.34 5.3 5.0 0.3 100%--Aaa AAA Other 26 37%95%10,220,000 2.98 101.28 103.42 218,813 2.30 1.22 2.0 1.9 0.1 100%--Aaa AA+ Sector Total 27 39%100%10,720,000 2.91 101.35 103.32 211,718 2.24 1.23 2.1 2.1 0.1 100%Aaa 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 26 36%94%10,070,000 2.78 101.28 103.33 205,907 2.25 1.23 2.2 2.1 0.1 100%--Aaa AA+ School District 1 2%6%650,000 5.00 102.34 103.23 5,811 2.16 1.10 0.8 0.8 0.0 100%--AAA Sector Total 27 39%100%10,720,000 2.91 101.35 103.32 211,718 2.24 1.23 2.1 2.1 0.1 100%Aaa AA+ GO Unlimited 5% Other 95% Fixed 100% Issuer Coupon 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 Apr-19 Jul-19 Oct-19 Jan-20 SEC Threshold GVIXX 0 10 20 30 40 50 60 70 Apr-19 Jul-19 Oct-19 Jan-20 SEC Threshold GVIXX 20 30 40 50 60 70 80 90 100 Apr-19 Jul-19 Oct-19 Jan-20 SEC Threshold GVIXX * 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 ($000) 0.0000 0.2000 0.4000 0.6000 0.8000 1.0000 1.2000 Apr-19 Jul-19 Oct-19 Jan-20 GVIXX 0.00 0.50 1.00 1.50 2.00 2.50 Apr-19 Jul-19 Oct-19 Jan-20 GVIXX 0.000 0.100 0.200 0.300 Apr-19 Jul-19 Oct-19 Jan-20 GVIXX -6,000 -4,000 -2,000 0 2,000 4,000 6,000 8,000 Apr-19 Jul-19 Oct-19 Jan-20 GVIXX Portfolio Analysis 23 MMF: Fund Profiles Fund Name:Wells Fargo Govt MM Inst - GVIXX AUM Flows ($MM)WAM (Days)WAL (Days)7D Yield (%)DLA (%)WLA (%)Share Class Flows ($MM)MNAV Current 39,298 36 99 0.29 52 65 1,822 1.0000 Previous Month 28,944 30 101 1.46 59 68 (701)1.0000 MoM Change 10,354 6 (2)(1.17)(7)(3)2,523 0.0000 52 Week High 39,298 42 109 2.33 60 70 7,316 1.0000 52 Week Low 24,846 15 93 0.29 46 57 (4,418)1.0000 Portfolio Analysis 24 Strategy Group Contact Information Name Title Phone Email Interim Head of Fixed Income Market and Portfolio Strategy Jonathan O’ Hanlon Director (704) 410-3853 jonathan.ohanlon@wellsfargo.com Short Duration Strategy Garret Sloan, CFA Director (704) 410-3686 garret.sloan@wellsfargo.com Vanessa McMichael, CTP Director (704) 410-4530 vanessa.mcmichael@wellsfargo.com Depository Strategy Charlie Crowley Managing Director (704) 410-3829 charlie.crowley@wellsfargo.com Mario Ichaso, CFA Vice President (704) 410-4526 mario.ichaso@wellsfargo.com Strategy Generalist Brad Brown Director (704) 410-3683 bradley.brown@wellsfargo.com Will Fisher Director (704) 410-6239 william.fisher@wellsfargo.com Jack Stimac, CFA Vice President (901) 622-5302 jack.stimac@wellsfargo.com Tyler Barnes Associate (704) 410-3830 tyler.barnes@wellsfargo.com Devon Preston Associate (704) 410-1530 devon.b.preston@wellsfargo.com Sarah Tsai Associate (704) 410-3824 sarah.tsai@wellsfargo.com Melissa Atkins Analyst (704) 410-0114 melissa.atkins@wellsfargo.com Daniel Giuliano Analyst (704) 410-3685 daniel.giuliano@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 Accuracy of Information This account summary was prepared by Wells Fargo Corporate & Investment Banking Fixed Income Market and Portfolio Strategy an d is not a substitute for your monthly statement or trade confirmation. Prices and yields are current as of the date of this summary and are subjec t to change and availability; past performance is no guarantee of future results. Municipal leases are shown at their par value. Any rating p rovided for a municipal lease investment is a rating associated with the lessee, and does not constitute a rating of the lease investment itself. For Secu rities held away from Wells Fargo Corporate & Investment Banking, cost data and acquisition dates have not been verified and positions may not be covered by SIPC. The indicative valuation(s) provided in this report are for information purposes only and are intended for use solely by the addressee. The information contained herein is derived from sources that Wells Fargo Corporate & Investment Banking in good faith considers reliable, ho wever Wells Fargo Corporate & Investment Banking does not guarantee the accuracy, reliability or completeness of this information and makes no warranty, express or implied, with respect thereto. The indicative valuations do not represent advice, an offer to purchase or sell any security or other instrument either at th e indicative valuation(s) or any other price(s). There is no representation that any transaction can or could have been effected at the indicative valuati on(s). The indicative valuations contained herein represent estimates as of the stated valuation date and are subject to change without notice. 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