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Investment Report 09-30-2020
City of Chanhassen Analysis Date:10/19/2020 Portfolio as of:9/30/2020 Market Data as of:9/30/2020 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 69 Par ($000)31,022 Book Value ($000)31,218 Mkt Value w/o Accrd ($000)31,767 Unrlzed Gain / Loss ($000)548 Coupon 1.70 Book Yield 1.43 Market Yield 0.40 Wgt Avg Maturity 1.9 Average Life 1.7 Effective Duration 1.7 Effective Convexity (0.5) Overnight Funds Principal 5,891 Overnight Funds Interest 0 Term Securities Principal 10,374 Term Securities Interest 485 Total Cash Flow 16,749 A-1+/A-1/P-1 A-2 / P-2 A-3 / P-3 Not Prime NA Short Term Rating 23% 34% 44% 35% 12% 52% 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 24.7% Certificate of Deposit 15.1% MMF 18.9% Municipal 38.2% Treasury 3.2% 0.07 1.63 0.12 1.00 2.03 1.24 2.11 2.33 2.27 1.77 1.76 1.69 1.85 1.63 0.00 0.50 1.00 1.50 2.00 2.50 0 2,000,000 4,000,000 6,000,000 8,000,000 10,000,000 12,000,000 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 12 0 5,890,826 0.07 5,890,838 5,890,838 Oct-20 34,210 0 1,248,000 1.63 1,282,210 7,173,047 Nov-20 14,296 0 1,000,000 0.12 1,014,296 8,187,343 Dec-20 35,807 500,000 0 1.00 535,807 8,723,150 Jan-21 10,828 0 0 0.00 10,828 8,733,977 Feb-21 111,699 0 1,438,000 2.03 1,549,699 10,283,676 Mar-21 56,752 0 862,000 1.24 918,752 11,202,429 Apr-21 29,802 0 746,000 2.11 775,802 11,978,230 May-21 14,296 0 746,000 2.33 760,296 12,738,526 Jun-21 33,307 0 0 0.00 33,307 12,771,833 Jul-21 8,189 0 0 0.00 8,189 12,780,021 Aug-21 85,618 500,000 1,994,000 2.27 2,579,618 15,359,639 Year 1 Sep-21 49,732 350,000 990,000 1.77 1,389,732 16,749,371 Oct-21 22,379 0 742,000 1.70 764,379 17,513,749 Nov-21 4,414 0 0 0.00 4,414 17,518,163 Dec-21 33,324 0 911,000 2.06 944,324 18,462,487 Jan-22 8,189 0 0 0.00 8,189 18,470,676 Feb-22 49,652 0 260,000 2.21 309,652 18,780,328 Mar-22 38,404 0 798,000 1.51 836,404 19,616,731 Apr-22 15,148 0 0 0.00 15,148 19,631,879 May-22 4,009 0 0 0.00 4,009 19,635,889 Jun-22 24,113 0 0 0.00 24,113 19,660,002 Jul-22 7,792 0 249,000 0.30 256,792 19,916,794 Aug-22 46,382 0 747,000 1.48 793,382 20,710,176 Year 2 Sep-22 33,656 0 500,000 2.57 533,656 21,243,832 Oct-22 15,148 0 849,000 1.51 864,148 22,107,980 Nov-22 3,750 0 0 0.00 3,750 22,111,730 Dec-22 23,854 0 1,120,000 2.24 1,143,854 23,255,584 Jan-23 4,496 0 0 0.00 4,496 23,260,079 Feb-23 38,233 0 1,160,000 2.28 1,198,233 24,458,312 Mar-23 27,772 0 0 0.00 27,772 24,486,084 Apr-23 10,089 0 495,000 0.90 505,089 24,991,173 May-23 3,750 0 250,000 1.90 253,750 25,244,923 Jun-23 2,500 0 0 0.00 2,500 25,247,423 Jul-23 4,496 0 249,000 0.35 253,496 25,500,919 Aug-23 22,935 0 0 0.00 22,935 25,523,854 Year 3 Sep-23 27,772 0 205,000 2.85 232,772 25,756,626 Portfolio Analysis 4 Cash Flow Projections - Continued Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) Oct-23 7,500 0 500,000 2.88 507,500 26,264,126 Nov-23 0 0 0 0.00 0 26,264,126 Dec-23 2,500 0 0 0.00 2,500 26,266,626 Jan-24 4,060 0 0 0.00 4,060 26,270,686 Feb-24 22,935 0 150,000 2.40 172,935 26,443,621 Mar-24 24,313 0 0 0.00 24,313 26,467,934 Apr-24 0 0 0 0.00 0 26,467,934 May-24 0 0 0 0.00 0 26,467,934 Jun-24 2,500 0 0 0.00 2,500 26,470,434 Jul-24 4,060 0 0 0.00 4,060 26,474,494 Aug-24 21,135 0 1,497,000 1.12 1,518,135 27,992,629 Year 4 Sep-24 24,313 0 0 0.00 24,313 28,016,941 Oct-24 0 0 0 0.00 0 28,016,941 Nov-24 0 0 0 0.00 0 28,016,941 Dec-24 2,500 0 0 0.00 2,500 28,019,441 Jan-25 4,060 0 0 0.00 4,060 28,023,501 Feb-25 10,828 0 400,000 2.05 410,828 28,434,329 Mar-25 24,313 0 0 0.00 24,313 28,458,642 Apr-25 0 0 0 0.00 0 28,458,642 May-25 0 0 0 0.00 0 28,458,642 Jun-25 2,500 0 0 0.00 2,500 28,461,142 Jul-25 4,060 0 500,000 1.07 504,060 28,965,202 Aug-25 5,728 0 700,000 0.68 705,728 29,670,929 Year 5 Sep-25 24,313 0 600,000 3.30 624,313 30,295,242 Oct-25 0 0 0 0.00 0 30,295,242 Nov-25 0 0 0 0.00 0 30,295,242 Dec-25 2,500 0 0 0.00 2,500 30,297,742 Jan-26 0 0 0 0.00 0 30,297,742 Feb-26 2,441 0 150,000 0.95 152,441 30,450,183 Mar-26 12,313 0 0 0.00 12,313 30,462,496 Apr-26 0 0 0 0.00 0 30,462,496 May-26 0 0 0 0.00 0 30,462,496 Jun-26 2,500 0 0 0.00 2,500 30,464,996 Jul-26 0 0 0 0.00 0 30,464,996 Aug-26 1,532 0 0 0.00 1,532 30,466,528 Year 6 Sep-26 12,313 0 500,000 3.14 512,313 30,978,840 Portfolio Analysis 5 Historical Performance # Line Avg Total Par Avg Bk Avg Mkt Bnchmrk Wgt Avg Eff Ratings Portfolio Allocation* Date Items Coupon ($000)G / L Yield Yield Tsy Yield Maturity Dur Moody's S&P MMF Govt Corp CD/CP Muni Other 09/30/20 69 1.70 31,022 548 1.43 0.40 0.13 1.9 1.7 Aaa AA+19%28%0%15%38%0% 06/30/20 64 1.71 32,036 577 1.53 0.48 0.16 1.7 1.5 Aaa AA+26%27%0%14%33%0% 03/31/20 60 2.12 27,850 484 1.95 0.98 0.26 1.5 1.4 Aaa AA+20%28%0%13%39%0% 12/31/19 63 2.07 30,785 248 2.01 1.66 1.59 1.4 1.2 Aaa AA+25%32%0%14%29%0% 09/30/19 71 2.22 29,766 299 2.22 1.92 1.72 1.6 1.3 Aaa AA+13%39%0%17%32%0% 06/30/19 65 2.28 31,098 231 2.27 2.12 1.89 1.6 1.2 Aaa AA+23%37%0%12%28%0% 03/31/19 65 2.17 29,020 31 2.27 2.47 2.32 1.9 1.6 Aaa AA+16%47%0%13%24%0% 12/31/18 71 2.11 34,764 (146)2.12 2.56 2.55 1.7 1.5 Aaa AA+21%41%0%13%25%0% 09/30/18 72 1.87 30,316 (352)1.83 2.48 2.76 5.4 1.8 Aa1 AA+14%39%18%0%30%0% 06/29/18 73 1.77 30,817 (219)1.65 2.00 2.28 1.8 1.6 Aaa AA+ 03/29/18 70 1.61 25,872 (182)1.48 1.81 2.11 1.6 1.5 Aaa AA+ 12/29/17 80 1.49 31,196 (112)1.36 2.21 1.69 1.5 1.4 Aaa AA+ 0.00 0.50 1.00 1.50 2.00 2.50 3.00 Avg Book Yield Benchmark Treasury 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% MMF Govt Corp CD/CP Muni Other Portfolio Allocation*Book Yield vs. Treasury Benchmark * Portfolio Allocation is a new addition to portfolio analysis. Data will be added over time. Portfolio Analysis 6 Yield / Duration Contribution Book Market Book Eff Sector Total (%)Value ($)Value ($)G / L ($)Yield Dur Agency 24.7%7,697,800 7,902,817 205,017 1.67 2.5 Certificate of Deposit 15.1%4,706,000 4,782,128 76,128 1.49 1.3 MMF 18.9%5,890,826 5,890,826 0 0.07 0.0 Municipal 38.2%11,923,917 12,191,067 267,150 2.02 2.3 Treasury 3.2%999,858 999,900 42 0.12 0.1 Total Portfolio 100.0%31,218,400 31,766,737 548,337 1.43 1.7 Agency Certificate of Deposit MMF Municipal Treasury 0.00 0.50 1.00 1.50 2.00 2.50 0.0 0.5 1.0 1.5 2.0 2.5 3.0 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 66 3134GVX37 Agency FREDDIE MAC 12/23/26 Berm 500,000 1.00 0.76 12/23/20 12/23/20 12/23/26 0-90 Days 500,000 1.00 0.76 59 3134GWKT2 Agency FREDDIE MAC 08/26/24 Berm 500,000 0.50 0.50 02/26/21 08/26/21 08/26/24 54 3133ELYK4 Agency FEDERAL FARM CREDIT BANK 05/06/24 Amer 350,000 0.68 0.56 05/06/21 09/06/21 05/06/24 181-365 Days 850,000 0.57 0.53 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 43 60375BDC7 Municipal MINNEAPOLIS MN 5.00 12/01/22 370,000 ---AAA 09/09/20 -AA+05/11/18 - 42 60375BCD6 Municipal MINNEAPOLIS MN 4.25 12/01/22 350,000 ---AAA 09/09/20 -AA+11/08/17 - 32 60374Y7S0 Municipal MINNEAPOLIS MN 2.90 03/01/22 300,000 Aa1 02/07/14 -AAA 09/09/20 -AA+11/08/17 - 59 3134GWKT2 Agency FREDDIE MAC 0.50 08/26/24 500,000 Aaa 08/03/20 ----AAA 08/27/20 - 10 963439YA6 Municipal WHITE BEAR LAKE MN INDEP SCH D 5.00 02/01/21 650,000 ---AAA 08/03/20 ---- 28 550629VD8 Municipal LUVERNE MN 1.70 12/15/21 665,000 ---AAA 08/03/20 ---- 19 60412ADB6 Municipal MINNESOTA ST 5.00 08/01/21 1,000,000 Aa1 07/31/15 -AAA 08/03/20 -AAA 07/28/16 - 55 574193TQ1 Municipal MARYLAND ST 0.51 08/01/24 500,000 Aaa 07/13/20 -AAA 07/14/20 -AAA 07/08/20 - 66 3134GVX37 Agency FREDDIE MAC 1.00 12/23/26 500,000 Aaa 06/18/20 ----AAA 06/24/20 - 69 3130AJRQ4 Agency FEDERAL HOME LOAN BANK 1.00 06/25/27 500,000 Aaa 06/22/20 -AA+06/22/20 ---- 64 35880CD68 Municipal FRISCO TX INDEP SCH DIST 1.21 02/15/26 150,000 Aaa 06/10/20 -AAA 06/11/20 ---- 67 35880CD76 Municipal FRISCO TX INDEP SCH DIST 1.36 02/15/27 225,000 Aaa 06/10/20 -AAA 06/11/20 ---- 62 6775224C5 Municipal OHIO ST 0.94 08/01/25 700,000 Aa1 06/10/20 -AA+06/09/20 -AA+06/10/20 - 7 9127962Z1 Treasury TREASURY BILL 0.00 11/12/20 1,000,000 ------F1+u 06/02/20 - 53 161664HD2 Municipal CHASKA MN 2.40 02/01/24 150,000 ---AA 05/29/20 ---- 45 161664HC4 Municipal CHASKA MN 2.25 02/01/23 145,000 ---AA 05/29/20 ---- 9 161664HA8 Municipal CHASKA MN 1.95 02/01/21 140,000 ---AA 05/29/20 ---- 30 161664HB6 Municipal CHASKA MN 2.10 02/01/22 140,000 ---AA 05/29/20 ---- 54 3133ELYK4 Agency FEDERAL FARM CREDIT BANK 0.68 05/06/24 350,000 Aaa 04/28/20 -AA+04/27/20 -AAA 05/08/20 - 48 556583D58 Municipal MADISON AL 1.05 04/01/23 495,000 Aa2 03/19/20 -AA+04/22/20 ---- 61 161035KH2 Municipal CHARLOTTE NC 1.62 07/01/25 500,000 Aaa 02/04/20 -AAA 02/12/20 -AAA 02/04/20 - 68 3130AJ4B2 Agency FEDERAL HOME LOAN BANK 1.63 03/12/27 500,000 Aaa 02/05/20 -AA+02/05/20 ---- 39 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 - 24 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 - 49 792882BV3 Municipal ST PAUL MN 3.00 05/01/23 250,000 ---AAA 11/08/19 ---- 20 93974DV54 Municipal WASHINGTON ST 1.80 08/01/21 500,000 Aaa 08/23/19 -AA+09/26/17 -AA+08/30/17 - 57 3130AGWK7 Agency FEDERAL HOME LOAN BANK 1.50 08/15/24 500,000 Aaa 08/16/19 -AA+08/16/19 ---- 60 092765EY8 Municipal BLAINE MN 2.55 02/01/25 400,000 ---AAA 08/01/19 ---- 44 092765EW2 Municipal BLAINE MN 2.25 02/01/23 395,000 ---AAA 08/01/19 ---- 17 53860RBH0 Municipal LIVINGSTON CNTY MI 2.05 05/01/21 500,000 Aaa 05/20/19 ------- 37 961114NG6 Municipal WESTON CT 3.15 08/01/22 500,000 Aaa 11/21/18 ------- 65 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 - 63 4095585H2 Municipal HAMPTON VA 4.00 09/01/25 600,000 Aa1 06/05/18 -AA+06/13/18 -AA+06/06/18 - 12 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 - 31 809557BA8 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.35 02/01/22 120,000 ---AAA 04/04/18 ---- 47 809557BB6 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.50 02/01/23 120,000 ---AAA 04/04/18 ---- 56 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 - 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 38 3130A6AP2 Agency FEDERAL HOME LOAN BANK 2.25 09/09/22 500,000 Aaa 08/07/15 -AA+08/07/15 ---- 16 3136G0U58 Agency FANNIE MAE 1.75 04/30/21 500,000 Aaa 10/08/12 -AA+10/05/12 -AAA 03/21/14 - 23 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 - 6 3135G0RM7 Agency FANNIE MAE 1.63 10/30/20 500,000 Aaa 10/17/12 -AA+10/16/12 -AAA 03/21/14 - 5 3136G0R60 Agency FANNIE MAE 1.50 10/22/20 500,000 Aaa 10/04/12 -AA+10/02/12 -AAA 03/21/14 - 8 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 ---- 46 73723RSP9 Municipal PORTSMOUTH VA 3.09 02/01/23 500,000 Aa2 05/24/13 -AA 06/05/13 -AA 05/21/13 - 41 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 5 3136G0R60 FANNIE MAE 1.6%1.50 10/22/20 Aaa AA+-Amer 500,000 10/11/16 100.94 100.01 100.08 319 1.26 0.22 0.1 0.1 0.0 6 3135G0RM7 FANNIE MAE 1.6%1.63 10/30/20 Aaa AA+-Amer 500,000 06/26/19 99.76 99.98 100.12 700 1.82 0.14 0.1 0.1 (0.1) 16 3136G0U58 FANNIE MAE 1.6%1.75 04/30/21 Aaa AA+-Amer 500,000 02/07/19 98.30 99.55 100.94 6,958 2.54 0.14 0.6 0.6 (0.1) 23 3133ECWS9 FEDERAL FARM CREDIT BANK 1.3%2.83 09/07/21 Aaa AA+-Bullet 400,000 12/03/18 99.71 99.90 102.49 10,376 2.94 0.16 0.9 0.9 0.0 24 3133ELEF7 FEDERAL FARM CREDIT BANK 1.9%1.65 09/20/21 Aaa AA+-Bullet 590,000 12/20/19 100.05 100.03 101.43 8,276 1.62 0.18 1.0 1.0 0.0 38 3130A6AP2 FEDERAL HOME LOAN BANK 1.6%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.39 104.11 23,564 2.57 0.13 1.9 1.9 0.0 39 3133ELGN8 FEDERAL FARM CREDIT BANK 1.9%1.60 10/13/22 Aaa AA+-Bullet 600,000 01/13/20 99.97 99.98 102.89 17,476 1.61 0.18 2.0 2.0 0.1 51 313383YJ4 FEDERAL HOME LOAN BANK 0.7%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 101.47 109.15 15,739 2.85 0.25 2.9 2.8 0.1 52 3133EJQA0 FEDERAL FARM CREDIT BANK 1.6%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.35 108.43 40,384 2.88 0.24 3.1 2.9 0.1 54 3133ELYK4 FEDERAL FARM CREDIT BANK 1.1%0.68 05/06/24 Aaa AA+05/06/21 Amer 350,000 05/06/20 100.00 100.00 100.07 242 0.68 0.56 3.6 1.1 (3.7) 57 3130AGWK7 FEDERAL HOME LOAN BANK 1.7%1.50 08/15/24 Aaa AA+-Bullet 500,000 08/14/20 104.86 104.70 104.93 1,142 0.28 0.22 3.9 3.8 0.2 59 3134GWKT2 FREDDIE MAC 1.6%0.50 08/26/24 Aaa -02/26/21 Berm 500,000 08/26/20 100.00 100.00 99.99 (35)0.50 0.50 3.9 1.7 (8.9) 65 3133EJD55 FEDERAL FARM CREDIT BANK 1.6%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.87 116.24 76,852 3.14 0.54 6.0 5.5 0.4 66 3134GVX37 FREDDIE MAC 1.6%1.00 12/23/26 Aaa -12/23/20 Berm 500,000 06/23/20 100.00 100.00 100.05 274 1.00 0.76 6.2 2.6 (18.4) 68 3130AJ4B2 FEDERAL HOME LOAN BANK 1.7%1.63 03/12/27 Aaa AA+-Bullet 500,000 06/15/20 105.40 105.18 106.63 7,291 0.80 0.58 6.4 6.2 0.5 69 3130AJRQ4 FEDERAL HOME LOAN BANK 1.6%1.00 06/25/27 Aaa AA+06/25/21 Amer 500,000 06/25/20 100.00 100.00 99.09 (4,542)1.00 1.14 6.7 5.4 (8.1) Agency 24.7%1.77 Aaa AA+7,645,000 100.70 100.69 103.37 205,017 1.67 0.37 3.1 2.5 (2.3) 4 94948LCQ2 WELLESLEY BANK 0.8%2.00 10/19/20 ---Bullet 248,000 07/19/19 100.00 100.00 100.10 253 2.00 0.07 0.1 0.1 0.0 11 06251AZ45 BANK HAPOALIM BM NY 0.8%0.65 02/18/21 ---Bullet 248,000 03/18/20 100.00 100.00 100.23 568 0.65 0.05 0.4 0.4 0.0 13 02589AA69 AMERICAN EXPR NATL BK 0.8%0.75 03/17/21 ---Bullet 249,000 03/17/20 100.00 100.00 100.32 789 0.75 0.07 0.5 0.5 0.0 14 89677DHD1 TRISTATE CAPITAL BANK 0.8%0.65 03/18/21 ---Bullet 248,000 03/18/20 100.00 100.00 100.27 675 0.65 0.07 0.5 0.5 0.0 15 87227RPM0 TCF NATIONAL BANK 0.8%1.25 04/08/21 ---Bullet 246,000 04/08/20 100.00 100.00 100.62 1,528 1.24 0.06 0.5 0.5 0.0 18 02007GCV3 ALLY BANK 0.8%2.90 05/24/21 ---Bullet 246,000 05/24/18 100.00 100.00 101.84 4,531 2.90 0.07 0.6 0.6 0.0 21 61690UJL5 MORGAN STANLEY BANK NA 0.8%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 101.71 4,219 2.10 0.06 0.8 0.8 0.0 22 61760AR50 MORGAN STANLEY PVT BANK 0.8%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 101.71 4,219 2.10 0.06 0.8 0.8 0.0 25 14042RJJ1 CAPITAL ONE NA 0.8%2.15 10/12/21 ---Bullet 247,000 10/12/17 100.00 100.00 102.13 5,259 2.15 0.09 1.0 1.0 0.0 26 92937CJZ2 WEX BANK 0.8%1.30 10/12/21 ---Bullet 248,000 04/09/20 100.00 100.00 101.25 3,102 1.30 0.09 1.0 1.0 0.0 27 05580AKQ6 BMW BANK NORTH AMERICA 0.8%2.05 10/13/21 ---Bullet 247,000 10/13/17 100.00 100.00 102.03 5,017 2.05 0.09 1.0 1.0 0.0 29 87165HFH8 SYNCHRONY BANK 0.8%2.55 12/20/21 ---Bullet 246,000 12/19/14 100.00 100.00 102.72 6,701 2.55 0.32 1.2 1.2 0.0 33 29278TNH9 ENERBANK USA 0.8%0.95 03/14/22 ---Bullet 249,000 03/13/20 100.00 100.00 101.22 3,030 0.95 0.11 1.5 1.5 0.0 34 88241TGX2 TEXAS EXCHANGE BANK SSB 0.8%1.00 03/25/22 ---Bullet 249,000 03/27/20 100.00 100.00 101.31 3,259 1.00 0.12 1.5 1.5 0.0 35 649447TW9 NEW YORK COMMUNITY BANK 0.8%0.30 07/05/22 ---Bullet 249,000 07/01/20 100.00 100.00 100.30 742 0.30 0.13 1.8 1.8 0.0 36 14042TBH9 CAPITAL ONE BANK USA NA 0.8%2.15 08/01/22 ---Bullet 247,000 07/31/19 100.00 100.00 103.71 9,164 2.15 0.13 1.8 1.8 0.0 40 32116RAG9 FIRST NATL BANK ORD NEB 0.8%1.25 10/14/22 ---Bullet 249,000 04/14/20 100.00 100.00 102.25 5,590 1.25 0.15 2.0 2.0 0.1 50 06654BCK5 BANKWELL BANK 0.8%0.35 07/28/23 ---Bullet 249,000 07/28/20 100.00 100.00 100.47 1,163 0.35 0.18 2.8 2.8 0.1 58 75472RAE1 RAYMOND JAMES BANK NA 0.8%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 106.61 16,319 2.00 0.29 3.9 3.8 0.2 Domestic CD 15.1%1.49 4,706,000 100.00 100.00 101.62 76,128 1.49 0.12 1.3 1.3 0.0 2 0008CHAN2 NORTHLAND 0.7%0.00 ---Bullet 209,855 01/01/19 100.00 100.00 100.00 0 0.00 0.00 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COM BK 10.8%0.12 ---Bullet 3,363,320 01/01/19 100.00 100.00 100.00 0 0.12 0.12 0.0 0.0 0.0 3 94975P405 Wells Fargo Government Money M 7.4%0.01 ---Bullet 2,317,651 09/30/20 100.00 100.00 100.00 0 0.01 0.01 0.0 0.0 0.0 MMF 18.9%0.07 5,890,826 100.00 100.00 100.00 0 0.07 0.07 0.0 0.0 0.0 9 161664HA8 CHASKA MN 0.4%1.95 02/01/21 -AA -Bullet 140,000 11/29/17 100.00 100.00 100.59 822 1.95 0.20 0.3 0.3 0.0 10 963439YA6 WHITE BEAR LAKE MN INDEP SCH D 2.1%5.00 02/01/21 -AAA -Bullet 650,000 06/14/19 104.54 100.95 101.37 2,750 2.15 0.91 0.3 0.3 0.0 8 113835H54 BROOKLYN CENTER MN 1.3%3.00 02/01/21 -AA -Bullet 400,000 01/24/14 101.88 100.09 100.66 2,276 2.71 1.02 0.3 0.3 0.0 12 793067CD9 SAINT PAUL MN PORT AUTH 1.2%2.38 03/01/21 -AAA -Bullet 365,000 06/24/19 100.67 100.17 100.68 1,876 1.97 0.75 0.4 0.4 0.0 17 53860RBH0 LIVINGSTON CNTY MI 1.6%2.05 05/01/21 Aaa --Bullet 500,000 06/20/19 100.00 100.00 100.93 4,655 2.05 0.46 0.6 0.6 0.0 20 93974DV54 WASHINGTON ST 1.6%1.80 08/01/21 Aaa AA+-Bullet 500,000 07/26/18 97.04 99.15 101.32 10,815 2.83 0.22 0.8 0.8 0.0 19 60412ADB6 MINNESOTA ST 3.3%5.00 08/01/21 Aa1 AAA -Bullet 1,000,000 03/25/20 103.43 102.14 104.03 18,970 3.04 0.22 0.8 0.8 0.0 28 550629VD8 LUVERNE MN 2.1%1.70 12/15/21 -AAA -Bullet 665,000 01/23/20 100.00 100.00 101.15 7,674 1.70 0.74 1.2 1.2 0.0 31 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0.4%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 102.47 2,964 2.35 0.49 1.3 1.3 0.0 30 161664HB6 CHASKA MN 0.4%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 102.52 3,524 2.10 0.21 1.3 1.3 0.0 32 60374Y7S0 MINNEAPOLIS MN 1.0%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.03 103.25 9,663 2.88 0.59 1.4 1.4 0.0 37 961114NG6 WESTON CT 1.7%3.15 08/01/22 Aaa --Bullet 500,000 04/03/20 104.58 103.62 104.15 2,650 1.15 0.87 1.8 1.8 0.0 43 60375BDC7 MINNEAPOLIS MN 1.2%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 104.06 109.89 21,578 3.05 0.42 2.2 2.1 0.1 42 60375BCD6 MINNEAPOLIS MN 1.2%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 104.75 108.28 12,341 2.00 0.41 2.2 2.1 0.1 41 199492CT4 COLUMBUS OH 1.3%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 101.34 103.80 9,832 1.70 0.57 2.2 2.1 0.1 46 73723RSP9 PORTSMOUTH VA 1.6%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 101.90 104.97 15,370 2.25 0.93 2.3 2.3 0.1 47 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0.4%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 104.51 5,417 2.50 0.55 2.3 2.3 0.1 Portfolio Analysis 11 Positions by Sector %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 44 092765EW2 BLAINE MN 1.3%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 102.43 9,614 2.25 1.19 2.3 2.3 0.1 45 161664HC4 CHASKA MN 0.5%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 104.60 6,673 2.25 0.27 2.3 2.3 0.1 48 556583D58 MADISON AL 1.6%1.05 04/01/23 Aa2 AA+-Bullet 495,000 07/21/20 100.39 100.36 100.95 2,921 0.90 0.66 2.5 2.5 0.1 49 792882BV3 ST PAUL MN 0.8%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 102.76 104.91 5,380 1.90 1.07 2.6 2.5 0.1 53 161664HD2 CHASKA MN 0.5%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 106.77 10,161 2.40 0.36 3.3 3.2 0.1 56 64971WP53 NEW YORK CITY NY TRANSITIONAL 0.8%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 96.42 105.63 23,023 3.25 0.76 3.8 3.7 0.2 55 574193TQ1 MARYLAND ST 1.6%0.51 08/01/24 Aaa AAA -Bullet 500,000 08/05/20 100.24 100.23 100.09 (715)0.45 0.49 3.8 3.8 0.2 60 092765EY8 BLAINE MN 1.3%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 102.06 105.82 15,040 2.05 1.17 4.3 4.1 0.2 61 161035KH2 CHARLOTTE NC 1.6%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 102.58 104.04 7,295 1.07 0.76 4.8 4.6 0.2 62 6775224C5 OHIO ST 2.3%0.94 08/01/25 Aa1 AA+-Bullet 700,000 06/26/20 101.30 101.23 101.02 (1,484)0.68 0.72 4.8 4.7 0.3 63 4095585H2 HAMPTON VA 2.0%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 103.15 112.20 54,300 3.30 1.42 4.9 4.5 0.3 64 35880CD68 FRISCO TX INDEP SCH DIST 0.5%1.21 02/15/26 Aaa AAA -Bullet 150,000 07/15/20 101.42 101.37 101.52 230 0.95 0.92 5.4 5.2 0.3 67 35880CD76 FRISCO TX INDEP SCH DIST 0.7%1.36 02/15/27 Aaa AAA -Bullet 225,000 07/15/20 101.53 101.48 102.17 1,537 1.12 1.01 6.4 6.1 0.4 Municipals 38.2%2.70 Aa1 AA+ 11,780,000 101.96 101.22 103.49 267,150 2.02 0.70 2.4 2.3 0.1 7 9127962Z1 TREASURY BILL 3.2%0.00 11/12/20 ---Bullet 1,000,000 07/14/20 99.96 99.99 99.99 42 0.12 0.08 0.1 0.1 0.0 Treasury 3.2%0.00 1,000,000 99.96 99.99 99.99 42 0.12 0.08 0.1 0.1 0.0 Total Portfolio 100.0%1.70 31,021,826 100.92 100.63 102.40 548,337 1.43 0.40 1.9 1.7 (0.5) Portfolio Analysis 12 Positions by Maturity %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 2 0008CHAN2 NORTHLAND 1%0.00 ---Bullet 209,855 01/01/19 100.00 100.00 100.00 0 0.00 0.00 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COM BK 11%0.12 ---Bullet 3,363,320 01/01/19 100.00 100.00 100.00 0 0.12 0.12 0.0 0.0 0.0 3 94975P405 Wells Fargo Government Money M 7%0.01 ---Bullet 2,317,651 09/30/20 100.00 100.00 100.00 0 0.01 0.01 0.0 0.0 0.0 4 94948LCQ2 WELLESLEY BANK 1%2.00 10/19/20 ---Bullet 248,000 07/19/19 100.00 100.00 100.10 253 2.00 0.07 0.1 0.1 0.0 5 3136G0R60 FANNIE MAE 2%1.50 10/22/20 Aaa AA+-Amer 500,000 10/11/16 100.94 100.01 100.08 319 1.26 0.22 0.1 0.1 0.0 6 3135G0RM7 FANNIE MAE 2%1.63 10/30/20 Aaa AA+-Amer 500,000 06/26/19 99.76 99.98 100.12 700 1.82 0.14 0.1 0.1 (0.1) 7 9127962Z1 TREASURY BILL 3%0.00 11/12/20 ---Bullet 1,000,000 07/14/20 99.96 99.99 99.99 42 0.12 0.08 0.1 0.1 0.0 9 161664HA8 CHASKA MN 0%1.95 02/01/21 -AA -Bullet 140,000 11/29/17 100.00 100.00 100.59 822 1.95 0.20 0.3 0.3 0.0 10 963439YA6 WHITE BEAR LAKE MN INDEP SCH D 2%5.00 02/01/21 -AAA -Bullet 650,000 06/14/19 104.54 100.95 101.37 2,750 2.15 0.91 0.3 0.3 0.0 8 113835H54 BROOKLYN CENTER MN 1%3.00 02/01/21 -AA -Bullet 400,000 01/24/14 101.88 100.09 100.66 2,276 2.71 1.02 0.3 0.3 0.0 11 06251AZ45 BANK HAPOALIM BM NY 1%0.65 02/18/21 ---Bullet 248,000 03/18/20 100.00 100.00 100.23 568 0.65 0.05 0.4 0.4 0.0 12 793067CD9 SAINT PAUL MN PORT AUTH 1%2.38 03/01/21 -AAA -Bullet 365,000 06/24/19 100.67 100.17 100.68 1,876 1.97 0.75 0.4 0.4 0.0 13 02589AA69 AMERICAN EXPR NATL BK 1%0.75 03/17/21 ---Bullet 249,000 03/17/20 100.00 100.00 100.32 789 0.75 0.07 0.5 0.5 0.0 14 89677DHD1 TRISTATE CAPITAL BANK 1%0.65 03/18/21 ---Bullet 248,000 03/18/20 100.00 100.00 100.27 675 0.65 0.07 0.5 0.5 0.0 15 87227RPM0 TCF NATIONAL BANK 1%1.25 04/08/21 ---Bullet 246,000 04/08/20 100.00 100.00 100.62 1,528 1.24 0.06 0.5 0.5 0.0 16 3136G0U58 FANNIE MAE 2%1.75 04/30/21 Aaa AA+-Amer 500,000 02/07/19 98.30 99.55 100.94 6,958 2.54 0.14 0.6 0.6 (0.1) 17 53860RBH0 LIVINGSTON CNTY MI 2%2.05 05/01/21 Aaa --Bullet 500,000 06/20/19 100.00 100.00 100.93 4,655 2.05 0.46 0.6 0.6 0.0 18 02007GCV3 ALLY BANK 1%2.90 05/24/21 ---Bullet 246,000 05/24/18 100.00 100.00 101.84 4,531 2.90 0.07 0.6 0.6 0.0 20 93974DV54 WASHINGTON ST 2%1.80 08/01/21 Aaa AA+-Bullet 500,000 07/26/18 97.04 99.15 101.32 10,815 2.83 0.22 0.8 0.8 0.0 19 60412ADB6 MINNESOTA ST 3%5.00 08/01/21 Aa1 AAA -Bullet 1,000,000 03/25/20 103.43 102.14 104.03 18,970 3.04 0.22 0.8 0.8 0.0 21 61690UJL5 MORGAN STANLEY BANK NA 1%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 101.71 4,219 2.10 0.06 0.8 0.8 0.0 22 61760AR50 MORGAN STANLEY PVT BANK 1%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 101.71 4,219 2.10 0.06 0.8 0.8 0.0 23 3133ECWS9 FEDERAL FARM CREDIT BANK 1%2.83 09/07/21 Aaa AA+-Bullet 400,000 12/03/18 99.71 99.90 102.49 10,376 2.94 0.16 0.9 0.9 0.0 24 3133ELEF7 FEDERAL FARM CREDIT BANK 2%1.65 09/20/21 Aaa AA+-Bullet 590,000 12/20/19 100.05 100.03 101.43 8,276 1.62 0.18 1.0 1.0 0.0 Year 1 48%1.38 14,914,826 100.35 100.14 100.72 85,616 1.18 0.20 0.3 0.3 (0.0) 25 14042RJJ1 CAPITAL ONE NA 1%2.15 10/12/21 ---Bullet 247,000 10/12/17 100.00 100.00 102.13 5,259 2.15 0.09 1.0 1.0 0.0 26 92937CJZ2 WEX BANK 1%1.30 10/12/21 ---Bullet 248,000 04/09/20 100.00 100.00 101.25 3,102 1.30 0.09 1.0 1.0 0.0 27 05580AKQ6 BMW BANK NORTH AMERICA 1%2.05 10/13/21 ---Bullet 247,000 10/13/17 100.00 100.00 102.03 5,017 2.05 0.09 1.0 1.0 0.0 28 550629VD8 LUVERNE MN 2%1.70 12/15/21 -AAA -Bullet 665,000 01/23/20 100.00 100.00 101.15 7,674 1.70 0.74 1.2 1.2 0.0 29 87165HFH8 SYNCHRONY BANK 1%2.55 12/20/21 ---Bullet 246,000 12/19/14 100.00 100.00 102.72 6,701 2.55 0.32 1.2 1.2 0.0 31 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 102.47 2,964 2.35 0.49 1.3 1.3 0.0 30 161664HB6 CHASKA MN 0%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 102.52 3,524 2.10 0.21 1.3 1.3 0.0 32 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.03 103.25 9,663 2.88 0.59 1.4 1.4 0.0 33 29278TNH9 ENERBANK USA 1%0.95 03/14/22 ---Bullet 249,000 03/13/20 100.00 100.00 101.22 3,030 0.95 0.11 1.5 1.5 0.0 34 88241TGX2 TEXAS EXCHANGE BANK SSB 1%1.00 03/25/22 ---Bullet 249,000 03/27/20 100.00 100.00 101.31 3,259 1.00 0.12 1.5 1.5 0.0 35 649447TW9 NEW YORK COMMUNITY BANK 1%0.30 07/05/22 ---Bullet 249,000 07/01/20 100.00 100.00 100.30 742 0.30 0.13 1.8 1.8 0.0 36 14042TBH9 CAPITAL ONE BANK USA NA 1%2.15 08/01/22 ---Bullet 247,000 07/31/19 100.00 100.00 103.71 9,164 2.15 0.13 1.8 1.8 0.0 37 961114NG6 WESTON CT 2%3.15 08/01/22 Aaa --Bullet 500,000 04/03/20 104.58 103.62 104.15 2,650 1.15 0.87 1.8 1.8 0.0 38 3130A6AP2 FEDERAL HOME LOAN BANK 2%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.39 104.11 23,564 2.57 0.13 1.9 1.9 0.0 Year 2 14%1.99 4,207,000 100.42 100.36 102.41 86,314 1.78 0.36 1.5 1.5 0.0 39 3133ELGN8 FEDERAL FARM CREDIT BANK 2%1.60 10/13/22 Aaa AA+-Bullet 600,000 01/13/20 99.97 99.98 102.89 17,476 1.61 0.18 2.0 2.0 0.1 40 32116RAG9 FIRST NATL BANK ORD NEB 1%1.25 10/14/22 ---Bullet 249,000 04/14/20 100.00 100.00 102.25 5,590 1.25 0.15 2.0 2.0 0.1 43 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 104.06 109.89 21,578 3.05 0.42 2.2 2.1 0.1 42 60375BCD6 MINNEAPOLIS MN 1%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 104.75 108.28 12,341 2.00 0.41 2.2 2.1 0.1 41 199492CT4 COLUMBUS OH 1%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 101.34 103.80 9,832 1.70 0.57 2.2 2.1 0.1 46 73723RSP9 PORTSMOUTH VA 2%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 101.90 104.97 15,370 2.25 0.93 2.3 2.3 0.1 47 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 104.51 5,417 2.50 0.55 2.3 2.3 0.1 44 092765EW2 BLAINE MN 1%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 102.43 9,614 2.25 1.19 2.3 2.3 0.1 45 161664HC4 CHASKA MN 0%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 104.60 6,673 2.25 0.27 2.3 2.3 0.1 48 556583D58 MADISON AL 2%1.05 04/01/23 Aa2 AA+-Bullet 495,000 07/21/20 100.39 100.36 100.95 2,921 0.90 0.66 2.5 2.5 0.1 49 792882BV3 ST PAUL MN 1%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 102.76 104.91 5,380 1.90 1.07 2.6 2.5 0.1 50 06654BCK5 BANKWELL BANK 1%0.35 07/28/23 ---Bullet 249,000 07/28/20 100.00 100.00 100.47 1,163 0.35 0.18 2.8 2.8 0.1 51 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 101.47 109.15 15,739 2.85 0.25 2.9 2.8 0.1 Year 3 14%2.46 4,328,000 102.34 101.34 104.32 129,094 1.86 0.55 2.3 2.3 0.1 52 3133EJQA0 FEDERAL FARM CREDIT BANK 2%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.35 108.43 40,384 2.88 0.24 3.1 2.9 0.1 53 161664HD2 CHASKA MN 0%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 106.77 10,161 2.40 0.36 3.3 3.2 0.1 54 3133ELYK4 FEDERAL FARM CREDIT BANK 1%0.68 05/06/24 Aaa AA+05/06/21 Amer 350,000 05/06/20 100.00 100.00 100.07 242 0.68 0.56 3.6 1.1 (3.7) 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 56 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 96.42 105.63 23,023 3.25 0.76 3.8 3.7 0.2 55 574193TQ1 MARYLAND ST 2%0.51 08/01/24 Aaa AAA -Bullet 500,000 08/05/20 100.24 100.23 100.09 (715)0.45 0.49 3.8 3.8 0.2 57 3130AGWK7 FEDERAL HOME LOAN BANK 2%1.50 08/15/24 Aaa AA+-Bullet 500,000 08/14/20 104.86 104.70 104.93 1,142 0.28 0.22 3.9 3.8 0.2 58 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 106.61 16,319 2.00 0.29 3.9 3.8 0.2 59 3134GWKT2 FREDDIE MAC 2%0.50 08/26/24 Aaa -02/26/21 Berm 500,000 08/26/20 100.00 100.00 99.99 (35)0.50 0.50 3.9 1.7 (8.9) Year 4 10%1.47 2,997,000 100.50 100.58 103.60 90,521 1.31 0.41 3.7 3.0 (1.7) 60 092765EY8 BLAINE MN 1%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 102.06 105.82 15,040 2.05 1.17 4.3 4.1 0.2 61 161035KH2 CHARLOTTE NC 2%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 102.58 104.04 7,295 1.07 0.76 4.8 4.6 0.2 62 6775224C5 OHIO ST 2%0.94 08/01/25 Aa1 AA+-Bullet 700,000 06/26/20 101.30 101.23 101.02 (1,484)0.68 0.72 4.8 4.7 0.3 63 4095585H2 HAMPTON VA 2%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 103.15 112.20 54,300 3.30 1.42 4.9 4.5 0.3 Year 5 7%2.22 2,200,000 102.72 102.21 105.63 75,151 1.74 1.01 4.8 4.5 0.2 64 35880CD68 FRISCO TX INDEP SCH DIST 0%1.21 02/15/26 Aaa AAA -Bullet 150,000 07/15/20 101.42 101.37 101.52 230 0.95 0.92 5.4 5.2 0.3 65 3133EJD55 FEDERAL FARM CREDIT BANK 2%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.87 116.24 76,852 3.14 0.54 6.0 5.5 0.4 Year 6 2%2.82 650,000 101.17 100.98 112.84 77,082 2.63 0.62 5.9 5.5 0.4 66 3134GVX37 FREDDIE MAC 2%1.00 12/23/26 Aaa -12/23/20 Berm 500,000 06/23/20 100.00 100.00 100.05 274 1.00 0.76 6.2 2.6 (18.4) 67 35880CD76 FRISCO TX INDEP SCH DIST 1%1.36 02/15/27 Aaa AAA -Bullet 225,000 07/15/20 101.53 101.48 102.17 1,537 1.12 1.01 6.4 6.1 0.4 68 3130AJ4B2 FEDERAL HOME LOAN BANK 2%1.63 03/12/27 Aaa AA+-Bullet 500,000 06/15/20 105.40 105.18 106.63 7,291 0.80 0.58 6.4 6.2 0.5 69 3130AJRQ4 FEDERAL HOME LOAN BANK 2%1.00 06/25/27 Aaa AA+06/25/21 Amer 500,000 06/25/20 100.00 100.00 99.09 (4,542)1.00 1.14 6.7 5.4 (8.1) Year 7 6%1.23 1,725,000 101.77 101.69 101.96 4,560 0.96 0.84 6.5 4.9 (7.3) Total Portfolio 100%1.70 31,021,826 100.92 100.63 102.40 548,337 1.43 0.40 1.9 1.7 (0.5) Portfolio Analysis 14 Positions by Maturity - Scenario Analysis Market Price (%∆)Book Yield Effective Duration %Final DN DN UP UP DN DN Base UP UP DN DN Base UP UP ID CUSIP Issuer Port Cpn Maturity Par WAM DN 50 DN 25 UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 2 0008CHAN2 NORTHLAND 1%0.00 209,855 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.00 0.0 0.0 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COM BK 11%0.12 3,363,320 0.0 0.0 0.0 0.0 0.0 0.12 0.12 0.12 0.12 0.12 0.0 0.0 0.0 0.0 0.0 3 94975P405 Wells Fargo Government Money M 7%0.01 2,317,651 0.0 0.0 0.0 0.0 0.0 0.01 0.01 0.01 0.01 0.01 0.0 0.0 0.0 0.0 0.0 4 94948LCQ2 WELLESLEY BANK 1%2.00 10/19/20 248,000 0.1 0.0 0.0 (0.0)(0.0)2.00 2.00 2.00 2.00 2.00 0.1 0.1 0.1 0.1 0.1 5 3136G0R60 FANNIE MAE 2%1.50 10/22/20 500,000 0.1 0.0 0.0 (0.0)(0.0)1.26 1.26 1.26 1.26 1.26 0.1 0.1 0.1 0.1 0.1 6 3135G0RM7 FANNIE MAE 2%1.63 10/30/20 500,000 0.1 0.0 0.0 (0.0)(0.0)1.82 1.82 1.82 1.82 1.82 0.0 0.0 0.1 0.1 0.1 7 9127962Z1 TREASURY BILL 3%0.00 11/12/20 1,000,000 0.1 0.1 0.0 (0.0)(0.1)0.12 0.12 0.12 0.12 0.12 0.1 0.1 0.1 0.1 0.1 9 161664HA8 CHASKA MN 0%1.95 02/01/21 140,000 0.3 0.2 0.1 (0.1)(0.2)1.95 1.95 1.95 1.95 1.95 0.3 0.3 0.3 0.3 0.3 10 963439YA6 WHITE BEAR LAKE MN INDEP SCH D 2%5.00 02/01/21 650,000 0.3 0.2 0.1 (0.1)(0.2)2.15 2.15 2.15 2.15 2.15 0.3 0.3 0.3 0.3 0.3 8 113835H54 BROOKLYN CENTER MN 1%3.00 02/01/21 400,000 0.3 0.2 0.1 (0.1)(0.2)2.71 2.71 2.71 2.71 2.71 0.3 0.3 0.3 0.3 0.3 11 06251AZ45 BANK HAPOALIM BM NY 1%0.65 02/18/21 248,000 0.4 0.2 0.1 (0.1)(0.2)0.65 0.65 0.65 0.65 0.65 0.4 0.4 0.4 0.4 0.4 12 793067CD9 SAINT PAUL MN PORT AUTH 1%2.38 03/01/21 365,000 0.4 0.2 0.1 (0.1)(0.2)1.97 1.97 1.97 1.97 1.97 0.4 0.4 0.4 0.4 0.4 13 02589AA69 AMERICAN EXPR NATL BK 1%0.75 03/17/21 249,000 0.5 0.2 0.1 (0.1)(0.2)0.75 0.75 0.75 0.75 0.75 0.5 0.5 0.5 0.5 0.5 14 89677DHD1 TRISTATE CAPITAL BANK 1%0.65 03/18/21 248,000 0.5 0.2 0.1 (0.1)(0.2)0.65 0.65 0.65 0.65 0.65 0.5 0.5 0.5 0.5 0.5 15 87227RPM0 TCF NATIONAL BANK 1%1.25 04/08/21 246,000 0.5 0.3 0.1 (0.1)(0.3)1.24 1.24 1.24 1.24 1.24 0.5 0.5 0.5 0.5 0.5 16 3136G0U58 FANNIE MAE 2%1.75 04/30/21 500,000 0.6 0.2 0.1 (0.1)(0.3)2.54 2.54 2.54 2.54 2.54 0.1 0.3 0.6 0.6 0.6 17 53860RBH0 LIVINGSTON CNTY MI 2%2.05 05/01/21 500,000 0.6 0.3 0.1 (0.1)(0.3)2.05 2.05 2.05 2.05 2.05 0.6 0.6 0.6 0.6 0.6 18 02007GCV3 ALLY BANK 1%2.90 05/24/21 246,000 0.6 0.3 0.2 (0.2)(0.3)2.90 2.90 2.90 2.90 2.90 0.6 0.6 0.6 0.6 0.6 20 93974DV54 WASHINGTON ST 2%1.80 08/01/21 500,000 0.8 0.4 0.2 (0.2)(0.4)2.83 2.83 2.83 2.83 2.83 0.8 0.8 0.8 0.8 0.8 19 60412ADB6 MINNESOTA ST 3%5.00 08/01/21 1,000,000 0.8 0.4 0.2 (0.2)(0.4)3.04 3.04 3.04 3.04 3.04 0.8 0.8 0.8 0.8 0.8 21 61690UJL5 MORGAN STANLEY BANK NA 1%2.10 08/02/21 247,000 0.8 0.4 0.2 (0.2)(0.4)2.10 2.10 2.10 2.10 2.10 0.8 0.8 0.8 0.8 0.8 22 61760AR50 MORGAN STANLEY PVT BANK 1%2.10 08/02/21 247,000 0.8 0.4 0.2 (0.2)(0.4)2.10 2.10 2.10 2.10 2.10 0.8 0.8 0.8 0.8 0.8 23 3133ECWS9 FEDERAL FARM CREDIT BANK 1%2.83 09/07/21 400,000 0.9 0.5 0.2 (0.2)(0.5)2.94 2.94 2.94 2.94 2.94 0.9 0.9 0.9 0.9 0.9 24 3133ELEF7 FEDERAL FARM CREDIT BANK 2%1.65 09/20/21 590,000 1.0 0.5 0.2 (0.2)(0.5)1.62 1.62 1.62 1.62 1.62 1.0 1.0 1.0 1.0 1.0 Year 1 48%1.38 14,914,826 0.3 0.2 0.1 (0.1)(0.2)1.18 1.18 1.18 1.18 1.18 0.3 0.3 0.3 0.3 0.3 25 14042RJJ1 CAPITAL ONE NA 1%2.15 10/12/21 247,000 1.0 0.5 0.3 (0.3)(0.5)2.15 2.15 2.15 2.15 2.15 1.0 1.0 1.0 1.0 1.0 26 92937CJZ2 WEX BANK 1%1.30 10/12/21 248,000 1.0 0.5 0.3 (0.3)(0.5)1.30 1.30 1.30 1.30 1.30 1.0 1.0 1.0 1.0 1.0 27 05580AKQ6 BMW BANK NORTH AMERICA 1%2.05 10/13/21 247,000 1.0 0.5 0.3 (0.3)(0.5)2.05 2.05 2.05 2.05 2.05 1.0 1.0 1.0 1.0 1.0 28 550629VD8 LUVERNE MN 2%1.70 12/15/21 665,000 1.2 0.6 0.3 (0.3)(0.6)1.70 1.70 1.70 1.70 1.70 1.2 1.2 1.2 1.2 1.2 29 87165HFH8 SYNCHRONY BANK 1%2.55 12/20/21 246,000 1.2 0.6 0.3 (0.3)(0.6)2.55 2.55 2.55 2.55 2.55 1.2 1.2 1.2 1.2 1.2 31 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.35 02/01/22 120,000 1.3 0.7 0.3 (0.3)(0.7)2.35 2.35 2.35 2.35 2.35 1.3 1.3 1.3 1.3 1.3 30 161664HB6 CHASKA MN 0%2.10 02/01/22 140,000 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 32 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 300,000 1.4 0.7 0.4 (0.4)(0.7)2.88 2.88 2.88 2.88 2.88 1.4 1.4 1.4 1.4 1.4 33 29278TNH9 ENERBANK USA 1%0.95 03/14/22 249,000 1.5 0.7 0.4 (0.4)(0.7)0.95 0.95 0.95 0.95 0.95 1.5 1.5 1.5 1.4 1.4 34 88241TGX2 TEXAS EXCHANGE BANK SSB 1%1.00 03/25/22 249,000 1.5 0.7 0.4 (0.4)(0.7)1.00 1.00 1.00 1.00 1.00 1.5 1.5 1.5 1.5 1.5 35 649447TW9 NEW YORK COMMUNITY BANK 1%0.30 07/05/22 249,000 1.8 0.9 0.4 (0.4)(0.9)0.30 0.30 0.30 0.30 0.30 1.8 1.8 1.8 1.8 1.8 36 14042TBH9 CAPITAL ONE BANK USA NA 1%2.15 08/01/22 247,000 1.8 0.9 0.5 (0.5)(0.9)2.15 2.15 2.15 2.15 2.15 1.8 1.8 1.8 1.8 1.8 37 961114NG6 WESTON CT 2%3.15 08/01/22 500,000 1.8 0.9 0.5 (0.4)(0.9)1.15 1.15 1.15 1.15 1.15 1.8 1.8 1.8 1.8 1.8 38 3130A6AP2 FEDERAL HOME LOAN BANK 2%2.25 09/09/22 500,000 1.9 1.0 0.5 (0.5)(0.9)2.57 2.57 2.57 2.57 2.57 1.9 1.9 1.9 1.9 1.9 Year 2 14%1.99 4,207,000 1.5 0.7 0.4 (0.4)(0.7)1.78 1.78 1.78 1.78 1.78 1.5 1.5 1.5 1.4 1.4 39 3133ELGN8 FEDERAL FARM CREDIT BANK 2%1.60 10/13/22 600,000 2.0 1.0 0.5 (0.5)(1.0)1.61 1.61 1.61 1.61 1.61 2.0 2.0 2.0 2.0 2.0 40 32116RAG9 FIRST NATL BANK ORD NEB 1%1.25 10/14/22 249,000 2.0 1.0 0.5 (0.5)(1.0)1.25 1.25 1.25 1.25 1.25 2.0 2.0 2.0 2.0 2.0 43 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 370,000 2.2 1.0 0.5 (0.5)(1.0)3.05 3.05 3.05 3.05 3.05 2.1 2.1 2.1 2.1 2.0 42 60375BCD6 MINNEAPOLIS MN 1%4.25 12/01/22 350,000 2.2 1.1 0.5 (0.5)(1.0)2.00 2.00 2.00 2.00 2.00 2.1 2.1 2.1 2.1 2.1 41 199492CT4 COLUMBUS OH 1%2.33 12/01/22 400,000 2.2 1.1 0.5 (0.5)(1.1)1.70 1.70 1.70 1.70 1.70 2.1 2.1 2.1 2.1 2.1 46 73723RSP9 PORTSMOUTH VA 2%3.09 02/01/23 500,000 2.3 1.1 0.6 (0.6)(1.1)2.25 2.25 2.25 2.25 2.25 2.3 2.3 2.3 2.3 2.3 47 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 120,000 2.3 1.2 0.6 (0.6)(1.1)2.50 2.50 2.50 2.50 2.50 2.3 2.3 2.3 2.3 2.3 44 092765EW2 BLAINE MN 1%2.25 02/01/23 395,000 2.3 1.2 0.6 (0.6)(1.1)2.25 2.25 2.25 2.25 2.25 2.3 2.3 2.3 2.3 2.3 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 45 161664HC4 CHASKA MN 0%2.25 02/01/23 145,000 2.3 1.2 0.6 (0.6)(1.1)2.25 2.25 2.25 2.25 2.25 2.3 2.3 2.3 2.3 2.3 48 556583D58 MADISON AL 2%1.05 04/01/23 495,000 2.5 1.2 0.6 (0.6)(1.2)0.90 0.90 0.90 0.90 0.90 2.5 2.5 2.5 2.5 2.5 49 792882BV3 ST PAUL MN 1%3.00 05/01/23 250,000 2.6 1.3 0.6 (0.6)(1.2)1.90 1.90 1.90 1.90 1.90 2.5 2.5 2.5 2.5 2.5 50 06654BCK5 BANKWELL BANK 1%0.35 07/28/23 249,000 2.8 1.4 0.7 (0.7)(1.4)0.35 0.35 0.35 0.35 0.35 2.8 2.8 2.8 2.8 2.8 51 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 205,000 2.9 1.4 0.7 (0.7)(1.4)2.85 2.85 2.85 2.85 2.85 2.8 2.8 2.8 2.8 2.8 Year 3 14%2.46 4,328,000 2.3 1.1 0.6 (0.6)(1.1)1.86 1.86 1.86 1.86 1.86 2.3 2.3 2.3 2.3 2.3 52 3133EJQA0 FEDERAL FARM CREDIT BANK 2%3.00 10/23/23 500,000 3.1 1.5 0.7 (0.7)(1.5)2.88 2.88 2.88 2.88 2.88 2.9 2.9 2.9 2.9 2.9 53 161664HD2 CHASKA MN 0%2.40 02/01/24 150,000 3.3 1.6 0.8 (0.8)(1.6)2.40 2.40 2.40 2.40 2.40 3.2 3.2 3.2 3.2 3.2 54 3133ELYK4 FEDERAL FARM CREDIT BANK 1%0.68 05/06/24 350,000 3.6 0.2 0.2 (0.4)(1.2)0.68 0.68 0.68 0.68 0.68 0.1 0.4 1.1 2.5 3.5 56 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 250,000 3.8 1.9 0.9 (0.9)(1.8)3.25 3.25 3.25 3.25 3.25 3.7 3.7 3.7 3.7 3.7 55 574193TQ1 MARYLAND ST 2%0.51 08/01/24 500,000 3.8 1.9 1.0 (0.9)(1.9)0.45 0.45 0.45 0.45 0.45 3.8 3.8 3.8 3.8 3.8 57 3130AGWK7 FEDERAL HOME LOAN BANK 2%1.50 08/15/24 500,000 3.9 1.9 0.9 (0.9)(1.9)0.28 0.28 0.28 0.28 0.28 3.8 3.8 3.8 3.8 3.8 58 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 247,000 3.9 1.9 0.9 (0.9)(1.9)2.00 2.00 2.00 2.00 2.00 3.8 3.8 3.8 3.8 3.8 59 3134GWKT2 FREDDIE MAC 2%0.50 08/26/24 500,000 3.9 0.2 0.1 (0.7)(1.7)0.50 0.50 0.50 0.50 0.50 0.1 0.3 1.7 3.3 3.9 Year 4 10%1.47 2,997,000 3.7 1.4 0.7 (0.8)(1.7)1.31 1.31 1.31 1.31 1.31 2.6 2.7 3.0 3.4 3.6 60 092765EY8 BLAINE MN 1%2.55 02/01/25 400,000 4.3 2.1 1.0 (1.0)(2.0)2.05 2.05 2.05 2.05 2.05 4.1 4.1 4.1 4.1 4.1 61 161035KH2 CHARLOTTE NC 2%1.62 07/01/25 500,000 4.8 2.3 1.2 (1.1)(2.3)1.07 1.07 1.07 1.07 1.07 4.6 4.6 4.6 4.5 4.5 62 6775224C5 OHIO ST 2%0.94 08/01/25 700,000 4.8 2.4 1.2 (1.2)(2.3)0.68 0.68 0.68 0.68 0.68 4.7 4.7 4.7 4.7 4.7 63 4095585H2 HAMPTON VA 2%4.00 09/01/25 600,000 4.9 2.3 1.1 (1.1)(2.2)3.30 3.30 3.30 3.30 3.30 4.5 4.5 4.5 4.5 4.5 Year 5 7%2.22 2,200,000 4.8 2.3 1.1 (1.1)(2.2)1.74 1.74 1.74 1.74 1.74 4.5 4.5 4.5 4.5 4.5 64 35880CD68 FRISCO TX INDEP SCH DIST 0%1.21 02/15/26 150,000 5.4 2.7 1.3 (1.3)(2.6)0.95 0.95 0.95 0.95 0.95 5.2 5.2 5.2 5.2 5.2 65 3133EJD55 FEDERAL FARM CREDIT BANK 2%3.30 09/28/26 500,000 6.0 2.8 1.4 (1.4)(2.7)3.14 3.14 3.14 3.14 3.14 5.6 5.5 5.5 5.5 5.5 Year 6 2%2.82 650,000 5.9 2.8 1.4 (1.4)(2.7)2.63 2.63 2.63 2.63 2.63 5.5 5.5 5.5 5.5 5.4 66 3134GVX37 FREDDIE MAC 2%1.00 12/23/26 500,000 6.2 0.1 0.1 (1.2)(2.7)1.00 1.00 1.00 1.00 1.00 0.1 0.2 2.6 5.4 6.0 67 35880CD76 FRISCO TX INDEP SCH DIST 1%1.36 02/15/27 225,000 6.4 3.1 1.5 (1.5)(3.0)1.12 1.12 1.12 1.12 1.12 6.1 6.1 6.1 6.1 6.1 68 3130AJ4B2 FEDERAL HOME LOAN BANK 2%1.63 03/12/27 500,000 6.4 3.1 1.6 (1.5)(3.0)0.80 0.80 0.80 0.80 0.80 6.2 6.2 6.2 6.2 6.1 69 3130AJRQ4 FEDERAL HOME LOAN BANK 2%1.00 06/25/27 500,000 6.7 1.2 1.1 (1.6)(3.2)1.00 1.00 1.00 1.00 1.00 0.2 2.4 5.4 6.5 6.5 Year 7 6%1.23 1,725,000 6.5 1.7 1.0 (1.5)(3.0)0.96 0.96 0.96 0.96 0.96 2.8 3.4 4.9 6.0 6.2 Total Portfolio 100%1.70 31,021,826 1.9 0.8 0.4 (0.4)(0.9)1.43 1.43 1.43 1.43 1.43 1.5 1.6 1.7 1.8 1.8 Portfolio Analysis 16 Product Detail Treasury, Agency, SSA - Summary Issuer / Sector Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Call Type% Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Bullet Amer Euro Berm Treasury 1 3%11%1,000,000 0.00 99.99 99.99 42 0.12 0.08 0.1 0.1 0.0 100%--100%--- FHLB 5 7%26%2,205,000 1.76 102.24 104.20 43,194 1.30 0.48 4.6 4.2 (1.6)100%--77%23%-- FNMA 3 5%17%1,500,000 1.63 99.85 100.38 7,978 1.87 0.17 0.2 0.2 (0.1)100%---100%-- FHLMC 2 3%11%1,000,000 0.75 100.00 100.02 239 0.75 0.63 5.1 2.1 (13.7)100%-----100% FFCB 6 9%34%2,940,000 2.20 100.19 105.42 153,606 2.16 0.30 2.7 2.4 (0.3)100%--88%12%-- Sector Total 17 28%100%8,645,000 1.57 100.61 102.98 205,059 1.49 0.34 2.7 2.2 (2.1)100%61%27%12% FFCB 34% FHLB 26% FHLMC 12% FNMA 17% Treasury 11% Bullet 61% Amer 27% Berm 12% 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, 17% Certificate of Deposit, 13% MMF, 39% Municipal, 24% Treasury, 7% NA, 100% 0 1,000,000 2,000,000 3,000,000 4,000,000 5,000,000 6,000,000 7,000,000 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 19 15%100%1.49 4,706,000 100.00 101.62 76,128 1.49 0.12 1.3 1.3 0.0 Sector Total 19 15%100%1.49 4,706,000 100.00 101.62 76,128 1.49 0.12 1.3 1.3 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 Limited 3 4%12%1,395,000 1.77 100.51 101.76 17,408 1.54 0.56 1.7 1.7 0.0 100%--Aa1 AAA GO Unlimited 23 31%81%9,530,000 2.87 101.52 103.79 216,463 2.05 0.73 2.5 2.4 0.1 100%--Aaa AA+ Revenue 3 2%4%490,000 2.34 98.17 104.58 31,403 2.84 0.64 2.8 2.8 0.1 100%--Aa1 AAA Other 1 1%3%365,000 2.38 100.17 100.68 1,876 1.97 0.75 0.4 0.4 0.0 100%--AAA Sector Total 30 38%100%11,780,000 2.70 101.22 103.49 267,150 2.02 0.70 2.4 2.3 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 27 35%91%10,755,000 2.61 101.23 103.67 262,634 2.04 0.68 2.4 2.3 0.1 100%--Aa1 AA+ School District 3 3%9%1,025,000 3.65 101.13 101.57 4,516 1.75 0.93 2.4 2.3 0.1 100%--AAA Sector Total 30 38%100%11,780,000 2.70 101.22 103.49 267,150 2.02 0.70 2.4 2.3 0.1 100%Aaa AA+ GO Limited 12% GO Unlimited 81% Other 3% Revenue 4% 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 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 SEC Threshold GVIXX 0 10 20 30 40 50 60 70 80 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 SEC Threshold GVIXX 20 30 40 50 60 70 80 90 100 Sep-19 Dec-19 Mar-20 Jun-20 Sep-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 ($000) 0.0000 0.2000 0.4000 0.6000 0.8000 1.0000 1.2000 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 GVIXX 0.00 0.20 0.40 0.60 0.80 1.00 1.20 1.40 1.60 1.80 2.00 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 GVIXX 0.100 0.200 0.300 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 GVIXX -8,000 -6,000 -4,000 -2,000 0 2,000 4,000 6,000 8,000 10,000 Sep-19 Dec-19 Mar-20 Jun-20 Sep-20 GVIXX Portfolio Analysis 23 MMF: Fund Profiles Fund Name:Wells Fargo Govt MM Inst - GVIXX AUM Flows ($MM)WAM (Days)WAL (Days)7D Yield (%)DLA (%)WLA (%)Share Class Flows ($MM)MNAV Current 42,990 37 87 0.01 74 80 (761)1.0000 Previous Month 41,847 36 99 0.01 69 77 3,302 1.0000 MoM Change 1,143 1 (12)0.00 5 3 (4,063)0.0000 52 Week High 53,283 42 108 1.81 74 80 7,316 1.0000 52 Week Low 26,139 24 87 0.01 50 60 (6,517)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 Associate (704) 410-0114 melissa.atkins@wellsfargo.com Daniel Giuliano Associate (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) flow 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 used. 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 requested. 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 horizon 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. 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