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Investment Report 03-31-2021
City of Chanhassen Analysis Date:6/23/2021 Portfolio as of:5/28/2021 Market Data as of:5/28/2021 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 16 Cash Flow Report 4 Money Market Sector - Summary 17 Historical Performance 6 Brokered CD - Summary 18 Duration Contribution 7 Municipal - Summary 19 Credit Rating Monitor 8 MMF Historical Performance 20 Positions by Sector 10 MMF Fund Profiles 22 Positions by Maturity 11 Positions by Maturity - Scenario Analysis 13 2 Portfolio Summary Portfolio Snapshot Coupon Structure Sector Allocation Number of Positions 52 Par ($000)20,765 Book Value ($000)20,908 Mkt Value w/o Accrd ($000)21,269 Unrlzed Gain / Loss ($000)361 Coupon 1.97 Book Yield 1.63 Market Yield 0.54 Wgt Avg Maturity 2.0 Average Life 2.0 Effective Duration 1.9 Effective Convexity (0.3) Overnight Funds Principal 1,524 Overnight Funds Interest 0 Term Securities Principal 5,695 Term Securities Interest 352 Total Cash Flow 7,571 A-1+/A-1/P-1 A-2 / P-2 A-3 / P-3 Not Prime NA Short Term Rating 29% 44% 28% 44% 19% 38% 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 30.3% Certificate of Deposit 15.4%MMF 7.3% Municipal 47.0% 0.01 2.63 2.16 1.70 2.06 2.21 1.51 2.15 1.75 1.65 1.34 0.00 0.50 1.00 1.50 2.00 2.50 3.00 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 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 0 0 1,523,857 0.01 1,523,857 1,523,857 May-21 0 0 0 0.00 0 1,523,857 Jun-21 33,307 0 0 0.00 33,307 1,557,164 Jul-21 8,189 0 0 0.00 8,189 1,565,352 Aug-21 85,618 0 1,994,000 2.63 2,079,618 3,644,970 Sep-21 49,876 0 990,000 2.16 1,039,876 4,684,846 Oct-21 22,879 0 742,000 1.70 764,879 5,449,725 Nov-21 4,414 0 0 0.00 4,414 5,454,139 Dec-21 33,324 0 911,000 2.06 944,324 6,398,462 Jan-22 8,189 0 0 0.00 8,189 6,406,651 Feb-22 50,902 0 260,000 2.21 310,902 6,717,553 Mar-22 39,341 0 798,000 1.51 837,341 7,554,894 Year 1 Apr-22 15,648 0 0 0.00 15,648 7,570,542 May-22 4,009 0 0 0.00 4,009 7,574,551 Jun-22 24,113 0 0 0.00 24,113 7,598,664 Jul-22 7,792 0 249,000 0.30 256,792 7,855,456 Aug-22 47,632 0 747,000 1.48 794,632 8,650,088 Sep-22 34,594 0 500,000 2.57 534,594 9,184,682 Oct-22 15,648 0 849,000 1.51 864,648 10,049,330 Nov-22 3,750 0 0 0.00 3,750 10,053,080 Dec-22 23,854 0 1,120,000 2.24 1,143,854 11,196,934 Jan-23 4,496 0 0 0.00 4,496 11,201,430 Feb-23 39,483 0 1,160,000 2.28 1,199,483 12,400,912 Mar-23 28,709 0 0 0.00 28,709 12,429,622 Year 2 Apr-23 10,589 0 495,000 0.90 505,589 12,935,211 May-23 3,750 0 250,000 1.90 253,750 13,188,961 Jun-23 2,500 0 0 0.00 2,500 13,191,461 Jul-23 4,496 0 249,000 0.35 253,496 13,444,956 Aug-23 24,185 0 0 0.00 24,185 13,469,142 Sep-23 28,709 0 205,000 2.85 233,709 13,702,851 Oct-23 8,000 0 1,000,000 1.55 1,008,000 14,710,851 Nov-23 0 0 0 0.00 0 14,710,851 Dec-23 2,500 0 0 0.00 2,500 14,713,351 Jan-24 4,060 0 0 0.00 4,060 14,717,411 Feb-24 24,185 0 150,000 2.40 174,185 14,891,596 Mar-24 25,250 0 0 0.00 25,250 14,916,846 Year 3 Apr-24 0 0 0 0.00 0 14,916,846 Portfolio Analysis 4 Cash Flow Projections - Continued Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) May-24 0 0 0 0.00 0 14,916,846 Jun-24 2,500 0 0 0.00 2,500 14,919,346 Jul-24 4,060 0 0 0.00 4,060 14,923,406 Aug-24 22,385 0 1,997,000 0.96 2,019,385 16,942,791 Sep-24 25,250 0 0 0.00 25,250 16,968,041 Oct-24 0 0 0 0.00 0 16,968,041 Nov-24 0 0 0 0.00 0 16,968,041 Dec-24 2,500 0 0 0.00 2,500 16,970,541 Jan-25 4,060 0 0 0.00 4,060 16,974,601 Feb-25 10,828 0 400,000 2.05 410,828 17,385,429 Mar-25 25,250 0 0 0.00 25,250 17,410,679 Year 4 Apr-25 0 0 0 0.00 0 17,410,679 May-25 0 0 0 0.00 0 17,410,679 Jun-25 2,500 0 0 0.00 2,500 17,413,179 Jul-25 4,060 0 500,000 1.07 504,060 17,917,239 Aug-25 5,728 0 700,000 0.68 705,728 18,622,967 Sep-25 25,250 0 1,100,000 1.97 1,125,250 19,748,217 Oct-25 0 0 0 0.00 0 19,748,217 Nov-25 0 0 0 0.00 0 19,748,217 Dec-25 2,500 0 0 0.00 2,500 19,750,717 Jan-26 0 0 0 0.00 0 19,750,717 Feb-26 2,441 0 150,000 0.95 152,441 19,903,158 Mar-26 12,313 0 0 0.00 12,313 19,915,471 Year 5 Apr-26 0 0 0 0.00 0 19,915,471 May-26 0 0 0 0.00 0 19,915,471 Jun-26 2,500 0 0 0.00 2,500 19,917,971 Jul-26 0 0 0 0.00 0 19,917,971 Aug-26 1,532 0 0 0.00 1,532 19,919,503 Sep-26 12,313 0 500,000 3.14 512,313 20,431,815 Oct-26 0 0 0 0.00 0 20,431,815 Nov-26 0 0 0 0.00 0 20,431,815 Dec-26 2,500 0 0 0.00 2,500 20,434,315 Jan-27 0 0 0 0.00 0 20,434,315 Feb-27 1,532 0 225,000 1.12 226,532 20,660,848 Mar-27 4,063 0 500,000 0.80 504,063 21,164,910 Year 6 Apr-27 0 0 0 0.00 0 21,164,910 Portfolio Analysis 5 Historical Performance # Line Avg Total Par Avg Bk Avg Mkt Bnchmrk Wgt Avg Eff Ratings Portfolio Allocation* Date Items Coupon ($000)G / L Yield Yield Tsy Yield Maturity Dur Moody's S&P MMF Govt Corp CD/CP Muni Other 05/31/21 52 1.97 20,765 361 1.63 0.54 0.14 2.0 1.9 Aa1 AA+7%30%0%15%47%0% 12/31/20 66 1.63 30,976 548 1.35 0.33 0.12 1.7 1.6 Aaa AA+24%23%0%14%38%0% 09/30/20 69 1.70 31,022 548 1.43 0.40 0.13 1.9 1.7 Aaa AA+19%28%0%15%38%0% 06/30/20 64 1.71 32,036 577 1.53 0.48 0.16 1.7 1.5 Aaa AA+26%27%0%14%33%0% 03/31/20 60 2.12 27,850 484 1.95 0.98 0.26 1.5 1.4 Aaa AA+20%28%0%13%39%0% 12/31/19 63 2.07 30,785 248 2.01 1.66 1.59 1.4 1.2 Aaa AA+25%32%0%14%29%0% 09/30/19 71 2.22 29,766 299 2.22 1.92 1.72 1.6 1.3 Aaa AA+13%39%0%17%32%0% 06/30/19 65 2.28 31,098 231 2.27 2.12 1.89 1.6 1.2 Aaa AA+23%37%0%12%28%0% 03/31/19 65 2.17 29,020 31 2.27 2.47 2.32 1.9 1.6 Aaa AA+16%47%0%13%24%0% 12/31/18 71 2.11 34,764 (146)2.12 2.56 2.55 1.7 1.5 Aaa AA+21%41%0%13%25%0% 09/30/18 72 1.87 30,316 (352)1.83 2.48 2.76 5.4 1.8 Aa1 AA+14%39%18%0%30%0% 06/29/18 73 1.77 30,817 (219)1.65 2.00 2.28 1.8 1.6 Aaa AA+ 0.00 0.50 1.00 1.50 2.00 2.50 3.00 Avg Book Yield Benchmark Treasury 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% MMF Govt Corp CD/CP Muni Other Portfolio Allocation*Book Yield vs. Treasury Benchmark * Portfolio Allocation is a new addition to portfolio analysis. Data will be added over time. Portfolio Analysis 6 Yield / Duration Contribution Book Market Book Eff Sector Total (%)Value ($)Value ($)G / L ($)Yield Dur Agency 30.3%6,342,979 6,460,232 117,252 1.51 2.7 Certificate of Deposit 15.4%3,221,000 3,254,689 33,689 1.55 1.0 MMF 7.3%1,523,857 1,523,857 0 0.01 0.0 Municipal 47.0%9,819,928 10,030,225 210,298 1.98 2.1 Total Portfolio 100.0%20,907,764 21,269,003 361,239 1.63 1.9 AgencyCertificate of Deposit MMF Municipal (0.50) 0.00 0.50 1.00 1.50 2.00 2.50 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 Book Yield by Duration and Sector Portfolio Analysis 7 Credit Rating Monitor Watch Positive Watch Negative ∆ Last 90 Days Moody's S & P Fitch Final Par Current Eff Current Eff Current Eff ID CUSIP Sector Issuer Cpn Maturity Amount Rating Date Watch Rating Date Watch Rating Date Watch 47 3137EAEX3 Agency FREDDIE MAC 0.38 09/23/25 500,000 Aaa 10/19/20 -AA+09/23/20 -AAA 09/29/20 - 35 3133EMBS0 Agency FEDERAL FARM CREDIT BANK 0.20 10/02/23 500,000 Aaa 09/24/20 -AA+09/23/20 -AAA 10/06/20 - 42 3134GWKT2 Agency FREDDIE MAC 0.50 08/26/24 500,000 Aaa 08/03/20 ----AAA 08/27/20 - 38 574193TQ1 Municipal MARYLAND ST 0.51 08/01/24 500,000 Aaa 07/13/20 -AAA 07/14/20 -AAA 07/08/20 - 52 3130AJRQ4 Agency FEDERAL HOME LOAN BANK 1.00 06/25/27 500,000 Aaa 06/22/20 -AA+06/22/20 ---- 48 35880CD68 Municipal FRISCO TX INDEP SCH DIST 1.21 02/15/26 150,000 Aaa 06/10/20 -AAA 06/11/20 ---- 50 35880CD76 Municipal FRISCO TX INDEP SCH DIST 1.36 02/15/27 225,000 Aaa 06/10/20 -AAA 06/11/20 ---- 45 6775224C5 Municipal OHIO ST 0.94 08/01/25 700,000 Aa1 06/10/20 -AA+06/09/20 -AA+06/10/20 - 31 556583D58 Municipal MADISON AL 1.05 04/01/23 495,000 Aa2 03/19/20 -AA+04/22/20 ---- 51 3130AJ4B2 Agency FEDERAL HOME LOAN BANK 1.63 03/12/27 500,000 Aaa 02/05/20 -AA+02/05/20 ---- 44 161035KH2 Municipal CHARLOTTE NC 1.62 07/01/25 500,000 Aaa 02/04/20 -AAA 02/04/20 -AAA 02/04/20 - 22 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 - 7 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 - 32 792882BV3 Municipal ST PAUL MN 3.00 05/01/23 250,000 ---AAA 11/08/19 ---- 3 93974DV54 Municipal WASHINGTON ST 1.80 08/01/21 500,000 Aaa 08/23/19 -AA+08/31/17 -AA+08/30/17 - 11 550629VD8 Municipal LUVERNE MN 1.70 12/15/21 665,000 ---AAA 08/19/19 ---- 40 3130AGWK7 Agency FEDERAL HOME LOAN BANK 1.50 08/15/24 500,000 Aaa 08/16/19 -AA+08/16/19 ---- 27 092765EW2 Municipal BLAINE MN 2.25 02/01/23 395,000 ---AAA 08/01/19 ---- 43 092765EY8 Municipal BLAINE MN 2.55 02/01/25 400,000 ---AAA 08/01/19 ---- 20 961114NG6 Municipal WESTON CT 3.15 08/01/22 500,000 Aaa 11/21/18 ------- 49 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 - 2 60412ADB6 Municipal MINNESOTA ST 5.00 08/01/21 1,000,000 Aa1 07/31/15 -AAA 07/25/18 -AAA 07/28/16 - 46 4095585H2 Municipal HAMPTON VA 4.00 09/01/25 600,000 Aa1 06/05/18 -AA+06/07/18 -AA+06/06/18 - 36 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 - 26 60375BDC7 Municipal MINNEAPOLIS MN 5.00 12/01/22 370,000 ---AAA 05/10/18 -AA+05/11/18 - 14 809557BA8 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.35 02/01/22 120,000 ---AAA 04/04/18 ---- 30 809557BB6 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.50 02/01/23 120,000 ---AAA 04/04/18 ---- 25 60375BCD6 Municipal MINNEAPOLIS MN 4.25 12/01/22 350,000 ---AAA 04/27/17 -AA+11/08/17 - 15 60374Y7S0 Municipal MINNEAPOLIS MN 2.90 03/01/22 300,000 Aa1 02/07/14 -AAA 02/07/14 -AA+11/08/17 - 37 161664HD2 Municipal CHASKA MN 2.40 02/01/24 150,000 ---AA 11/02/17 ---- 13 161664HB6 Municipal CHASKA MN 2.10 02/01/22 140,000 ---AA 11/02/17 ---- 28 161664HC4 Municipal CHASKA MN 2.25 02/01/23 145,000 ---AA 11/02/17 ---- 39 64971WP53 Municipal NEW YORK CITY NY TRANSITIONAL 2.25 08/01/24 250,000 Aa1 09/12/16 -AAA 09/09/16 -AAA 09/09/16 - 21 3130A6AP2 Agency FEDERAL HOME LOAN BANK 2.25 09/09/22 500,000 Aaa 08/07/15 -AA+08/07/15 ---- 6 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 - 34 313383YJ4 Agency FEDERAL HOME LOAN BANK 3.38 09/08/23 205,000 Aaa 08/27/13 -AA+08/26/13 ---- 29 73723RSP9 Municipal PORTSMOUTH VA 3.09 02/01/23 500,000 Aa2 05/24/13 -AA 05/24/13 -AA 05/21/13 - 24 199492CT4 Municipal COLUMBUS OH 2.33 12/01/22 400,000 Aaa 11/06/12 -AAA 11/05/12 -AAA 11/07/12 - 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 FDIC-Insured brokered CDs are not included in the Credit Rating Monitor Portfolio Analysis 9 Positions by Sector %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 6 3133ECWS9 FEDERAL FARM CREDIT BANK 1.9%2.83 09/07/21 Aaa AA+-Bullet 400,000 12/03/18 99.71 99.97 100.74 3,108 2.95 0.13 0.3 0.3 0.0 7 3133ELEF7 FEDERAL FARM CREDIT BANK 2.8%1.65 09/20/21 Aaa AA+-Bullet 590,000 12/20/19 100.05 100.01 100.48 2,775 1.62 0.11 0.3 0.3 0.0 21 3130A6AP2 FEDERAL HOME LOAN BANK 2.4%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.59 102.70 15,530 2.57 0.14 1.3 1.3 0.0 22 3133ELGN8 FEDERAL FARM CREDIT BANK 2.9%1.60 10/13/22 Aaa AA+-Bullet 600,000 01/13/20 99.97 99.99 102.03 12,276 1.61 0.12 1.4 1.4 0.0 34 313383YJ4 FEDERAL HOME LOAN BANK 1.0%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 101.15 107.55 13,133 2.85 0.06 2.3 2.2 0.1 35 3133EMBS0 FEDERAL FARM CREDIT BANK 2.4%0.20 10/02/23 Aaa AA+-Bullet 500,000 10/02/20 99.97 99.98 99.83 (753)0.21 0.27 2.3 2.3 0.1 36 3133EJQA0 FEDERAL FARM CREDIT BANK 2.4%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.27 106.92 33,241 2.88 0.11 2.4 2.3 0.1 40 3130AGWK7 FEDERAL HOME LOAN BANK 2.5%1.50 08/15/24 Aaa AA+-Bullet 500,000 08/14/20 104.86 103.90 103.61 (1,469)0.28 0.37 3.2 3.1 0.1 42 3134GWKT2 FREDDIE MAC 2.4%0.50 08/26/24 Aaa -08/26/21 Berm 500,000 08/26/20 100.00 100.00 100.01 60 0.50 0.45 3.2 1.8 (10.7) 47 3137EAEX3 FREDDIE MAC 2.4%0.38 09/23/25 Aaa AA+-Bullet 500,000 10/01/20 99.98 99.98 98.11 (9,341)0.38 0.82 4.3 4.3 0.2 49 3133EJD55 FEDERAL FARM CREDIT BANK 2.4%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.78 112.61 59,141 3.14 0.88 5.3 5.0 0.3 51 3130AJ4B2 FEDERAL HOME LOAN BANK 2.5%1.63 03/12/27 Aaa AA+-Bullet 500,000 06/15/20 105.40 104.66 103.53 (5,626)0.80 1.00 5.8 5.6 0.4 52 3130AJRQ4 FEDERAL HOME LOAN BANK 2.4%1.00 06/25/27 Aaa AA+06/25/21 Amer 500,000 06/25/20 100.00 100.00 99.04 (4,823)1.00 1.16 6.1 5.0 (6.6) Agency 30.3%1.69 Aaa AA+6,295,000 100.92 100.76 102.62 117,252 1.51 0.45 3.0 2.7 (1.2) 5 61760AR50 MORGAN STANLEY PVT BANK 1.2%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 100.32 781 2.09 0.32 0.2 0.2 0.0 4 61690UJL5 MORGAN STANLEY BANK NA 1.2%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 100.32 781 2.09 0.32 0.2 0.2 0.0 9 92937CJZ2 WEX BANK 1.2%1.30 10/12/21 ---Bullet 248,000 04/09/20 100.00 100.00 100.36 883 1.30 0.34 0.4 0.4 0.0 8 14042RJJ1 CAPITAL ONE NA 1.2%2.15 10/12/21 ---Bullet 247,000 10/12/17 100.00 100.00 100.67 1,665 2.15 0.34 0.4 0.4 0.0 10 05580AKQ6 BMW BANK NORTH AMERICA 1.2%2.05 10/13/21 ---Bullet 247,000 10/13/17 100.00 100.00 100.64 1,586 2.05 0.34 0.4 0.4 0.0 12 87165HFH8 SYNCHRONY BANK 1.2%2.55 12/20/21 ---Bullet 246,000 12/19/14 100.00 100.00 101.12 2,755 2.55 0.55 0.6 0.6 0.0 16 29278TNH9 ENERBANK USA 1.2%0.95 03/14/22 ---Bullet 249,000 03/13/20 100.00 100.00 100.43 1,071 0.95 0.41 0.8 0.8 0.0 17 88241TGX2 TEXAS EXCHANGE BANK SSB 1.2%1.00 03/25/22 ---Bullet 249,000 03/27/20 100.00 100.00 100.49 1,208 1.00 0.41 0.8 0.8 0.0 18 649447TW9 NEW YORK COMMUNITY BANK 1.2%0.30 07/05/22 ---Bullet 249,000 07/01/20 100.00 100.00 100.24 603 0.30 0.08 1.1 1.1 0.0 19 14042TBH9 CAPITAL ONE BANK USA NA 1.2%2.15 08/01/22 ---Bullet 247,000 07/31/19 100.00 100.00 102.11 5,222 2.15 0.35 1.2 1.2 0.0 23 32116RAG9 FIRST NATL BANK ORD NEB 1.2%1.25 10/14/22 ---Bullet 249,000 04/14/20 100.00 100.00 101.17 2,916 1.25 0.40 1.4 1.4 0.0 33 06654BCK5 BANKWELL BANK 1.2%0.35 07/28/23 ---Bullet 249,000 07/28/20 100.00 100.00 100.33 812 0.35 0.20 2.2 2.2 0.1 41 75472RAE1 RAYMOND JAMES BANK NA 1.2%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 105.43 13,410 2.00 0.31 3.2 3.1 0.1 Domestic CD 15.4%1.55 3,221,000 100.00 100.00 101.05 33,689 1.55 0.33 1.0 1.0 0.0 1 94975P405 Wells Fargo Government Money M 7.3%0.01 ---Bullet 1,523,857 03/31/21 100.00 100.00 100.00 0 0.01 0.01 0.0 0.0 0.0 MMF 7.3%0.01 1,523,857 100.00 100.00 100.00 0 0.01 0.01 0.0 0.0 0.0 2 60412ADB6 MINNESOTA ST 4.8%5.00 08/01/21 Aa1 AAA -Bullet 1,000,000 03/25/20 103.43 100.45 100.51 600 3.05 2.62 0.2 0.2 0.0 3 93974DV54 WASHINGTON ST 2.4%1.80 08/01/21 Aaa AA+-Bullet 500,000 07/26/18 97.04 99.82 100.25 2,180 2.85 0.35 0.2 0.2 0.0 11 550629VD8 LUVERNE MN 3.2%1.70 12/15/21 -AAA -Bullet 665,000 01/23/20 100.00 100.00 100.62 4,123 1.70 0.56 0.6 0.6 0.0 14 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0.6%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 101.35 1,619 2.35 0.35 0.7 0.7 0.0 13 161664HB6 CHASKA MN 0.7%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 101.37 1,921 2.10 0.07 0.7 0.7 0.0 15 60374Y7S0 MINNEAPOLIS MN 1.4%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.02 101.85 5,508 2.88 0.45 0.8 0.8 0.0 20 961114NG6 WESTON CT 2.4%3.15 08/01/22 Aaa --Bullet 500,000 04/03/20 104.58 102.33 103.17 4,205 1.15 0.44 1.2 1.2 0.0 26 60375BDC7 MINNEAPOLIS MN 1.8%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 102.85 107.05 15,536 3.05 0.31 1.5 1.4 0.0 25 60375BCD6 MINNEAPOLIS MN 1.7%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 103.33 105.93 9,121 2.00 0.31 1.5 1.5 0.0 24 199492CT4 COLUMBUS OH 1.9%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 100.94 103.27 9,320 1.70 0.16 1.5 1.5 0.0 29 73723RSP9 PORTSMOUTH VA 2.4%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 101.37 104.61 16,210 2.25 0.33 1.7 1.6 0.0 28 161664HC4 CHASKA MN 0.7%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 103.51 5,087 2.25 0.15 1.7 1.7 0.0 30 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0.6%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 103.45 4,136 2.50 0.43 1.7 1.6 0.0 27 092765EW2 BLAINE MN 1.9%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 102.93 11,581 2.25 0.49 1.7 1.7 0.0 31 556583D58 MADISON AL 2.4%1.05 04/01/23 Aa2 AA+-Bullet 495,000 07/21/20 100.39 100.27 100.90 3,148 0.90 0.55 1.8 1.8 0.0 32 792882BV3 ST PAUL MN 1.2%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 102.07 104.05 4,955 1.90 0.87 1.9 1.9 0.0 37 161664HD2 CHASKA MN 0.7%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 105.59 8,388 2.40 0.30 2.7 2.6 0.1 39 64971WP53 NEW YORK CITY NY TRANSITIONAL 1.2%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 97.00 105.19 20,460 3.25 0.60 3.2 3.1 0.1 38 574193TQ1 MARYLAND ST 2.4%0.51 08/01/24 Aaa AAA -Bullet 500,000 08/05/20 100.24 100.19 100.34 750 0.45 0.40 3.2 3.2 0.1 43 092765EY8 BLAINE MN 1.9%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 101.76 106.14 17,508 2.05 0.85 3.7 3.5 0.2 44 161035KH2 CHARLOTTE NC 2.4%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 102.23 103.54 6,535 1.07 0.74 4.1 4.0 0.2 45 6775224C5 OHIO ST 3.4%0.94 08/01/25 Aa1 AA+-Bullet 700,000 06/26/20 101.30 101.06 100.85 (1,526)0.68 0.73 4.2 4.1 0.2 46 4095585H2 HAMPTON VA 2.9%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 102.76 113.32 63,396 3.30 0.81 4.3 4.0 0.2 48 35880CD68 FRISCO TX INDEP SCH DIST 0.7%1.21 02/15/26 Aaa AAA -Bullet 150,000 07/15/20 101.42 101.20 100.51 (1,040)0.95 1.10 4.7 4.6 0.2 50 35880CD76 FRISCO TX INDEP SCH DIST 1.1%1.36 02/15/27 Aaa AAA -Bullet 225,000 07/15/20 101.53 101.34 99.81 (3,425)1.12 1.40 5.7 5.5 0.3 Municipals 47.0%2.59 Aa1 AA+ 9,725,000 101.97 100.98 103.14 210,298 1.98 0.75 2.1 2.1 0.1 Total Portfolio 100.0%1.97 20,764,857 101.20 100.69 102.43 361,239 1.63 0.54 2.0 1.9 (0.3) Portfolio Analysis 10 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 1 94975P405 Wells Fargo Government Money M 7%0.01 ---Bullet 1,523,857 03/31/21 100.00 100.00 100.00 0 0.01 0.01 0.0 0.0 0.0 2 60412ADB6 MINNESOTA ST 5%5.00 08/01/21 Aa1 AAA -Bullet 1,000,000 03/25/20 103.43 100.45 100.51 600 3.05 2.62 0.2 0.2 0.0 3 93974DV54 WASHINGTON ST 2%1.80 08/01/21 Aaa AA+-Bullet 500,000 07/26/18 97.04 99.82 100.25 2,180 2.85 0.35 0.2 0.2 0.0 4 61690UJL5 MORGAN STANLEY BANK NA 1%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 100.32 781 2.09 0.32 0.2 0.2 0.0 5 61760AR50 MORGAN STANLEY PVT BANK 1%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 100.32 781 2.09 0.32 0.2 0.2 0.0 6 3133ECWS9 FEDERAL FARM CREDIT BANK 2%2.83 09/07/21 Aaa AA+-Bullet 400,000 12/03/18 99.71 99.97 100.74 3,108 2.95 0.13 0.3 0.3 0.0 7 3133ELEF7 FEDERAL FARM CREDIT BANK 3%1.65 09/20/21 Aaa AA+-Bullet 590,000 12/20/19 100.05 100.01 100.48 2,775 1.62 0.11 0.3 0.3 0.0 9 92937CJZ2 WEX BANK 1%1.30 10/12/21 ---Bullet 248,000 04/09/20 100.00 100.00 100.36 883 1.30 0.34 0.4 0.4 0.0 8 14042RJJ1 CAPITAL ONE NA 1%2.15 10/12/21 ---Bullet 247,000 10/12/17 100.00 100.00 100.67 1,665 2.15 0.34 0.4 0.4 0.0 10 05580AKQ6 BMW BANK NORTH AMERICA 1%2.05 10/13/21 ---Bullet 247,000 10/13/17 100.00 100.00 100.64 1,586 2.05 0.34 0.4 0.4 0.0 11 550629VD8 LUVERNE MN 3%1.70 12/15/21 -AAA -Bullet 665,000 01/23/20 100.00 100.00 100.62 4,123 1.70 0.56 0.6 0.6 0.0 12 87165HFH8 SYNCHRONY BANK 1%2.55 12/20/21 ---Bullet 246,000 12/19/14 100.00 100.00 101.12 2,755 2.55 0.55 0.6 0.6 0.0 14 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 1%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 101.35 1,619 2.35 0.35 0.7 0.7 0.0 13 161664HB6 CHASKA MN 1%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 101.37 1,921 2.10 0.07 0.7 0.7 0.0 15 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.02 101.85 5,508 2.88 0.45 0.8 0.8 0.0 16 29278TNH9 ENERBANK USA 1%0.95 03/14/22 ---Bullet 249,000 03/13/20 100.00 100.00 100.43 1,071 0.95 0.41 0.8 0.8 0.0 17 88241TGX2 TEXAS EXCHANGE BANK SSB 1%1.00 03/25/22 ---Bullet 249,000 03/27/20 100.00 100.00 100.49 1,208 1.00 0.41 0.8 0.8 0.0 Year 1 35%1.95 7,218,857 100.26 100.05 100.50 32,562 1.76 0.59 0.3 0.3 0.0 18 649447TW9 NEW YORK COMMUNITY BANK 1%0.30 07/05/22 ---Bullet 249,000 07/01/20 100.00 100.00 100.24 603 0.30 0.08 1.1 1.1 0.0 19 14042TBH9 CAPITAL ONE BANK USA NA 1%2.15 08/01/22 ---Bullet 247,000 07/31/19 100.00 100.00 102.11 5,222 2.15 0.35 1.2 1.2 0.0 20 961114NG6 WESTON CT 2%3.15 08/01/22 Aaa --Bullet 500,000 04/03/20 104.58 102.33 103.17 4,205 1.15 0.44 1.2 1.2 0.0 21 3130A6AP2 FEDERAL HOME LOAN BANK 2%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.59 102.70 15,530 2.57 0.14 1.3 1.3 0.0 22 3133ELGN8 FEDERAL FARM CREDIT BANK 3%1.60 10/13/22 Aaa AA+-Bullet 600,000 01/13/20 99.97 99.99 102.03 12,276 1.61 0.12 1.4 1.4 0.0 23 32116RAG9 FIRST NATL BANK ORD NEB 1%1.25 10/14/22 ---Bullet 249,000 04/14/20 100.00 100.00 101.17 2,916 1.25 0.40 1.4 1.4 0.0 26 60375BDC7 MINNEAPOLIS MN 2%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 102.85 107.05 15,536 3.05 0.31 1.5 1.4 0.0 25 60375BCD6 MINNEAPOLIS MN 2%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 103.33 105.93 9,121 2.00 0.31 1.5 1.5 0.0 24 199492CT4 COLUMBUS OH 2%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 100.94 103.27 9,320 1.70 0.16 1.5 1.5 0.0 29 73723RSP9 PORTSMOUTH VA 2%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 101.37 104.61 16,210 2.25 0.33 1.7 1.6 0.0 28 161664HC4 CHASKA MN 1%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 103.51 5,087 2.25 0.15 1.7 1.7 0.0 30 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 1%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 103.45 4,136 2.50 0.43 1.7 1.6 0.0 27 092765EW2 BLAINE MN 2%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 102.93 11,581 2.25 0.49 1.7 1.7 0.0 31 556583D58 MADISON AL 2%1.05 04/01/23 Aa2 AA+-Bullet 495,000 07/21/20 100.39 100.27 100.90 3,148 0.90 0.55 1.8 1.8 0.0 32 792882BV3 ST PAUL MN 1%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 102.07 104.05 4,955 1.90 0.87 1.9 1.9 0.0 Year 2 26%2.45 5,370,000 102.11 100.91 103.14 119,846 1.83 0.33 1.5 1.5 0.0 33 06654BCK5 BANKWELL BANK 1%0.35 07/28/23 ---Bullet 249,000 07/28/20 100.00 100.00 100.33 812 0.35 0.20 2.2 2.2 0.1 34 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 101.15 107.55 13,133 2.85 0.06 2.3 2.2 0.1 35 3133EMBS0 FEDERAL FARM CREDIT BANK 2%0.20 10/02/23 Aaa AA+-Bullet 500,000 10/02/20 99.97 99.98 99.83 (753)0.21 0.27 2.3 2.3 0.1 36 3133EJQA0 FEDERAL FARM CREDIT BANK 2%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.27 106.92 33,241 2.88 0.11 2.4 2.3 0.1 37 161664HD2 CHASKA MN 1%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 105.59 8,388 2.40 0.30 2.7 2.6 0.1 Year 3 8%1.71 1,604,000 100.50 100.22 103.64 54,821 1.61 0.19 2.4 2.3 0.1 39 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 97.00 105.19 20,460 3.25 0.60 3.2 3.1 0.1 38 574193TQ1 MARYLAND ST 2%0.51 08/01/24 Aaa AAA -Bullet 500,000 08/05/20 100.24 100.19 100.34 750 0.45 0.40 3.2 3.2 0.1 40 3130AGWK7 FEDERAL HOME LOAN BANK 2%1.50 08/15/24 Aaa AA+-Bullet 500,000 08/14/20 104.86 103.90 103.61 (1,469)0.28 0.37 3.2 3.1 0.1 41 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 105.43 13,410 2.00 0.31 3.2 3.1 0.1 42 3134GWKT2 FREDDIE MAC 2%0.50 08/26/24 Aaa -08/26/21 Berm 500,000 08/26/20 100.00 100.00 100.01 60 0.50 0.45 3.2 1.8 (10.7) 43 092765EY8 BLAINE MN 2%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 101.76 106.14 17,508 2.05 0.85 3.7 3.5 0.2 Year 4 12%1.39 2,397,000 100.91 100.83 102.95 50,719 1.13 0.49 3.3 2.9 (2.1) Portfolio Analysis 11 Positions by Maturity %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 44 161035KH2 CHARLOTTE NC 2%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 102.23 103.54 6,535 1.07 0.74 4.1 4.0 0.2 45 6775224C5 OHIO ST 3%0.94 08/01/25 Aa1 AA+-Bullet 700,000 06/26/20 101.30 101.06 100.85 (1,526)0.68 0.73 4.2 4.1 0.2 46 4095585H2 HAMPTON VA 3%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 102.76 113.32 63,396 3.30 0.81 4.3 4.0 0.2 47 3137EAEX3 FREDDIE MAC 2%0.38 09/23/25 Aaa AA+-Bullet 500,000 10/01/20 99.98 99.98 98.11 (9,341)0.38 0.82 4.3 4.3 0.2 48 35880CD68 FRISCO TX INDEP SCH DIST 1%1.21 02/15/26 Aaa AAA -Bullet 150,000 07/15/20 101.42 101.20 100.51 (1,040)0.95 1.10 4.7 4.6 0.2 Year 5 12%1.73 2,450,000 102.12 101.50 103.87 58,024 1.36 0.79 4.2 4.1 0.2 49 3133EJD55 FEDERAL FARM CREDIT BANK 2%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.78 112.61 59,141 3.14 0.88 5.3 5.0 0.3 50 35880CD76 FRISCO TX INDEP SCH DIST 1%1.36 02/15/27 Aaa AAA -Bullet 225,000 07/15/20 101.53 101.34 99.81 (3,425)1.12 1.40 5.7 5.5 0.3 51 3130AJ4B2 FEDERAL HOME LOAN BANK 3%1.63 03/12/27 Aaa AA+-Bullet 500,000 06/15/20 105.40 104.66 103.53 (5,626)0.80 1.00 5.8 5.6 0.4 Year 6 6%2.26 1,225,000 102.93 102.46 106.55 50,090 1.80 1.01 5.6 5.3 0.3 52 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 99.04 (4,823)1.00 1.16 6.1 5.0 (6.6) Year 7 2%1.00 500,000 100.00 100.00 99.04 (4,823)1.00 1.16 6.1 5.0 (6.6) Total Portfolio 100%1.97 20,764,857 101.20 100.69 102.43 361,239 1.63 0.54 2.0 1.9 (0.3) Portfolio Analysis 12 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 1 94975P405 Wells Fargo Government Money M 7%0.01 1,523,857 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 2 60412ADB6 MINNESOTA ST 5%5.00 08/01/21 1,000,000 0.2 0.1 0.0 (0.0)(0.1)3.05 3.05 3.05 3.05 3.05 0.2 0.2 0.2 0.2 0.2 3 93974DV54 WASHINGTON ST 2%1.80 08/01/21 500,000 0.2 0.1 0.0 (0.0)(0.1)2.85 2.85 2.85 2.85 2.85 0.2 0.2 0.2 0.2 0.2 4 61690UJL5 MORGAN STANLEY BANK NA 1%2.10 08/02/21 247,000 0.2 0.1 0.0 (0.0)(0.1)2.09 2.09 2.09 2.09 2.09 0.2 0.2 0.2 0.2 0.2 5 61760AR50 MORGAN STANLEY PVT BANK 1%2.10 08/02/21 247,000 0.2 0.1 0.0 (0.0)(0.1)2.09 2.09 2.09 2.09 2.09 0.2 0.2 0.2 0.2 0.2 6 3133ECWS9 FEDERAL FARM CREDIT BANK 2%2.83 09/07/21 400,000 0.3 0.1 0.1 (0.1)(0.1)2.95 2.95 2.95 2.95 2.95 0.3 0.3 0.3 0.3 0.3 7 3133ELEF7 FEDERAL FARM CREDIT BANK 3%1.65 09/20/21 590,000 0.3 0.2 0.1 (0.1)(0.2)1.62 1.62 1.62 1.62 1.62 0.3 0.3 0.3 0.3 0.3 9 92937CJZ2 WEX BANK 1%1.30 10/12/21 248,000 0.4 0.2 0.1 (0.1)(0.2)1.30 1.30 1.30 1.30 1.30 0.4 0.4 0.4 0.4 0.4 8 14042RJJ1 CAPITAL ONE NA 1%2.15 10/12/21 247,000 0.4 0.2 0.1 (0.1)(0.2)2.15 2.15 2.15 2.15 2.15 0.4 0.4 0.4 0.4 0.4 10 05580AKQ6 BMW BANK NORTH AMERICA 1%2.05 10/13/21 247,000 0.4 0.2 0.1 (0.1)(0.2)2.05 2.05 2.05 2.05 2.05 0.4 0.4 0.4 0.4 0.4 11 550629VD8 LUVERNE MN 3%1.70 12/15/21 665,000 0.6 0.3 0.1 (0.1)(0.3)1.70 1.70 1.70 1.70 1.70 0.6 0.6 0.6 0.6 0.6 12 87165HFH8 SYNCHRONY BANK 1%2.55 12/20/21 246,000 0.6 0.3 0.1 (0.1)(0.3)2.55 2.55 2.55 2.55 2.55 0.6 0.6 0.6 0.6 0.6 14 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 1%2.35 02/01/22 120,000 0.7 0.3 0.2 (0.2)(0.3)2.35 2.35 2.35 2.35 2.35 0.7 0.7 0.7 0.7 0.7 13 161664HB6 CHASKA MN 1%2.10 02/01/22 140,000 0.7 0.3 0.2 (0.2)(0.3)2.10 2.10 2.10 2.10 2.10 0.7 0.7 0.7 0.7 0.7 15 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 300,000 0.8 0.4 0.2 (0.2)(0.4)2.88 2.88 2.88 2.88 2.88 0.8 0.8 0.8 0.8 0.8 16 29278TNH9 ENERBANK USA 1%0.95 03/14/22 249,000 0.8 0.4 0.2 (0.2)(0.4)0.95 0.95 0.95 0.95 0.95 0.8 0.8 0.8 0.8 0.8 17 88241TGX2 TEXAS EXCHANGE BANK SSB 1%1.00 03/25/22 249,000 0.8 0.4 0.2 (0.2)(0.4)1.00 1.00 1.00 1.00 1.00 0.8 0.8 0.8 0.8 0.8 Year 1 35%1.95 7,218,857 0.3 0.2 0.1 (0.1)(0.2)1.76 1.76 1.76 1.76 1.76 0.3 0.3 0.3 0.3 0.3 18 649447TW9 NEW YORK COMMUNITY BANK 1%0.30 07/05/22 249,000 1.1 0.6 0.3 (0.3)(0.6)0.30 0.30 0.30 0.30 0.30 1.1 1.1 1.1 1.1 1.1 19 14042TBH9 CAPITAL ONE BANK USA NA 1%2.15 08/01/22 247,000 1.2 0.6 0.3 (0.3)(0.6)2.15 2.15 2.15 2.15 2.15 1.2 1.2 1.2 1.2 1.2 20 961114NG6 WESTON CT 2%3.15 08/01/22 500,000 1.2 0.6 0.3 (0.3)(0.6)1.15 1.15 1.15 1.15 1.15 1.2 1.2 1.2 1.2 1.2 21 3130A6AP2 FEDERAL HOME LOAN BANK 2%2.25 09/09/22 500,000 1.3 0.6 0.3 (0.3)(0.6)2.57 2.57 2.57 2.57 2.57 1.3 1.3 1.3 1.3 1.3 22 3133ELGN8 FEDERAL FARM CREDIT BANK 3%1.60 10/13/22 600,000 1.4 0.7 0.3 (0.3)(0.7)1.61 1.61 1.61 1.61 1.61 1.4 1.4 1.4 1.4 1.4 23 32116RAG9 FIRST NATL BANK ORD NEB 1%1.25 10/14/22 249,000 1.4 0.7 0.3 (0.3)(0.7)1.25 1.25 1.25 1.25 1.25 1.4 1.4 1.4 1.4 1.4 26 60375BDC7 MINNEAPOLIS MN 2%5.00 12/01/22 370,000 1.5 0.7 0.4 (0.4)(0.7)3.05 3.05 3.05 3.05 3.05 1.5 1.5 1.4 1.4 1.4 25 60375BCD6 MINNEAPOLIS MN 2%4.25 12/01/22 350,000 1.5 0.7 0.4 (0.4)(0.7)2.00 2.00 2.00 2.00 2.00 1.5 1.5 1.5 1.5 1.4 24 199492CT4 COLUMBUS OH 2%2.33 12/01/22 400,000 1.5 0.8 0.4 (0.4)(0.7)1.70 1.70 1.70 1.70 1.70 1.5 1.5 1.5 1.5 1.5 29 73723RSP9 PORTSMOUTH VA 2%3.09 02/01/23 500,000 1.7 0.8 0.4 (0.4)(0.8)2.25 2.25 2.25 2.25 2.25 1.6 1.6 1.6 1.6 1.6 28 161664HC4 CHASKA MN 1%2.25 02/01/23 145,000 1.7 0.8 0.4 (0.4)(0.8)2.25 2.25 2.25 2.25 2.25 1.7 1.7 1.7 1.6 1.6 30 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 1%2.50 02/01/23 120,000 1.7 0.8 0.4 (0.4)(0.8)2.50 2.50 2.50 2.50 2.50 1.7 1.7 1.6 1.6 1.6 27 092765EW2 BLAINE MN 2%2.25 02/01/23 395,000 1.7 0.8 0.4 (0.4)(0.8)2.25 2.25 2.25 2.25 2.25 1.7 1.7 1.7 1.6 1.6 31 556583D58 MADISON AL 2%1.05 04/01/23 495,000 1.8 0.9 0.5 (0.5)(0.9)0.90 0.90 0.90 0.90 0.90 1.8 1.8 1.8 1.8 1.8 32 792882BV3 ST PAUL MN 1%3.00 05/01/23 250,000 1.9 0.9 0.5 (0.5)(0.9)1.90 1.90 1.90 1.90 1.90 1.9 1.9 1.9 1.9 1.9 Year 2 26%2.45 5,370,000 1.5 0.7 0.4 (0.4)(0.7)1.83 1.83 1.83 1.83 1.83 1.5 1.5 1.5 1.5 1.5 33 06654BCK5 BANKWELL BANK 1%0.35 07/28/23 249,000 2.2 1.1 0.5 (0.5)(1.1)0.35 0.35 0.35 0.35 0.35 2.2 2.2 2.2 2.2 2.1 34 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 205,000 2.3 1.1 0.6 (0.6)(1.1)2.85 2.85 2.85 2.85 2.85 2.2 2.2 2.2 2.2 2.2 35 3133EMBS0 FEDERAL FARM CREDIT BANK 2%0.20 10/02/23 500,000 2.3 1.2 0.6 (0.6)(1.2)0.21 0.21 0.21 0.21 0.21 2.3 2.3 2.3 2.3 2.3 36 3133EJQA0 FEDERAL FARM CREDIT BANK 2%3.00 10/23/23 500,000 2.4 1.2 0.6 (0.6)(1.2)2.88 2.88 2.88 2.88 2.88 2.3 2.3 2.3 2.3 2.3 37 161664HD2 CHASKA MN 1%2.40 02/01/24 150,000 2.7 1.3 0.7 (0.7)(1.3)2.40 2.40 2.40 2.40 2.40 2.6 2.6 2.6 2.6 2.6 Year 3 8%1.71 1,604,000 2.4 1.2 0.6 (0.6)(1.2)1.61 1.61 1.61 1.61 1.61 2.3 2.3 2.3 2.3 2.3 39 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 250,000 3.2 1.6 0.8 (0.8)(1.5)3.25 3.25 3.25 3.25 3.25 3.1 3.1 3.1 3.1 3.1 38 574193TQ1 MARYLAND ST 2%0.51 08/01/24 500,000 3.2 1.6 0.8 (0.8)(1.6)0.45 0.45 0.45 0.45 0.45 3.2 3.2 3.2 3.1 3.1 40 3130AGWK7 FEDERAL HOME LOAN BANK 2%1.50 08/15/24 500,000 3.2 1.6 0.8 (0.8)(1.6)0.28 0.28 0.28 0.28 0.28 3.1 3.1 3.1 3.1 3.1 41 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 247,000 3.2 1.6 0.8 (0.8)(1.6)2.00 2.00 2.00 2.00 2.00 3.1 3.1 3.1 3.1 3.1 42 3134GWKT2 FREDDIE MAC 2%0.50 08/26/24 500,000 3.2 0.1 0.1 (0.8)(1.6)0.50 0.50 0.50 0.50 0.50 0.1 0.3 1.8 3.2 3.2 43 092765EY8 BLAINE MN 2%2.55 02/01/25 400,000 3.7 1.8 0.9 (0.9)(1.8)2.05 2.05 2.05 2.05 2.05 3.5 3.5 3.5 3.5 3.5 Year 4 12%1.39 2,397,000 3.3 1.3 0.7 (0.8)(1.6)1.13 1.13 1.13 1.13 1.13 2.6 2.6 2.9 3.2 3.2 44 161035KH2 CHARLOTTE NC 2%1.62 07/01/25 500,000 4.1 2.0 1.0 (1.0)(2.0)1.07 1.07 1.07 1.07 1.07 4.0 4.0 4.0 4.0 3.9 45 6775224C5 OHIO ST 3%0.94 08/01/25 700,000 4.2 2.1 1.0 (1.0)(2.0)0.68 0.68 0.68 0.68 0.68 4.1 4.1 4.1 4.1 4.1 46 4095585H2 HAMPTON VA 3%4.00 09/01/25 600,000 4.3 2.0 1.0 (1.0)(2.0)3.30 3.30 3.30 3.30 3.30 4.0 4.0 4.0 4.0 3.9 47 3137EAEX3 FREDDIE MAC 2%0.38 09/23/25 500,000 4.3 2.2 1.1 (1.1)(2.1)0.38 0.38 0.38 0.38 0.38 4.3 4.3 4.3 4.3 4.3 48 35880CD68 FRISCO TX INDEP SCH DIST 1%1.21 02/15/26 150,000 4.7 2.3 1.2 (1.1)(2.3)0.95 0.95 0.95 0.95 0.95 4.6 4.6 4.6 4.6 4.6 Portfolio Analysis 13 Positions by Maturity - Scenario Analysis Market Price (%∆)Book Yield Effective Duration %Final DN DN UP UP DN DN Base UP UP DN DN Base UP UP ID CUSIP Issuer Port Cpn Maturity Par WAM DN 50 DN 25 UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 Year 5 12%1.73 2,450,000 4.2 2.1 1.0 (1.0)(2.0)1.36 1.36 1.36 1.36 1.36 4.1 4.1 4.1 4.1 4.1 49 3133EJD55 FEDERAL FARM CREDIT BANK 2%3.30 09/28/26 500,000 5.3 2.5 1.3 (1.2)(2.5)3.14 3.14 3.14 3.14 3.14 5.0 5.0 5.0 5.0 4.9 50 35880CD76 FRISCO TX INDEP SCH DIST 1%1.36 02/15/27 225,000 5.7 2.8 1.4 (1.4)(2.7)1.12 1.12 1.12 1.12 1.12 5.5 5.5 5.5 5.5 5.5 51 3130AJ4B2 FEDERAL HOME LOAN BANK 3%1.63 03/12/27 500,000 5.8 2.8 1.4 (1.4)(2.7)0.80 0.80 0.80 0.80 0.80 5.6 5.6 5.6 5.6 5.5 Year 6 6%2.26 1,225,000 5.6 2.7 1.3 (1.3)(2.6)1.80 1.80 1.80 1.80 1.80 5.3 5.3 5.3 5.3 5.3 52 3130AJRQ4 FEDERAL HOME LOAN BANK 2%1.00 06/25/27 500,000 6.1 1.1 1.1 (1.5)(2.9)1.00 1.00 1.00 1.00 1.00 0.1 2.1 5.0 5.9 5.9 Year 7 2%1.00 500,000 6.1 1.1 1.1 (1.5)(2.9)1.00 1.00 1.00 1.00 1.00 0.1 2.1 5.0 5.9 5.9 Total Portfolio 100%1.97 20,764,857 2.0 0.9 0.5 (0.5)(1.0)1.63 1.63 1.63 1.63 1.63 1.8 1.8 1.9 2.0 2.0 Portfolio Analysis 14 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 11%35%2,205,000 1.76 101.96 102.72 16,745 1.31 0.60 3.9 3.6 (1.3)100%--77%23%-- FHLMC 2 5%16%1,000,000 0.44 99.99 99.06 (9,281)0.44 0.63 3.8 3.0 (5.3)100%--50%--50% FFCB 6 15%49%3,090,000 2.04 100.16 103.71 109,789 2.01 0.28 2.0 2.0 0.1 100%--100%--- Sector Total 13 30%100%6,295,000 1.69 100.76 102.62 117,252 1.51 0.45 3.0 2.7 (1.2)100%84%8%8% FFCB 49% FHLB 35% FHLMC 16% Bullet 84% Amer 8% Berm 8% Fixed 100% Issuer Structure Coupon Portfolio Analysis 16 Money Market Sector - Summary Money Market Product Distribution (%) Moody's Short Term Ratings Distribution (%) Cash Flows by Month -12 Months ($) Agency, 14% Certificate of Deposit, 27% MMF, 21% Municipal, 38% NA, 100% 0 500,000 1,000,000 1,500,000 2,000,000 2,500,000 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 17 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 13 15%100%1.55 3,221,000 100.00 101.05 33,689 1.55 0.33 1.0 1.0 0.0 Sector Total 13 15%100%1.55 3,221,000 100.00 101.05 33,689 1.55 0.33 1.0 1.0 0.0 Portfolio Analysis 18 Municipal - Summary Issue Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Agg LT Ratings Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Moody's S&P GO Limited 2 4%9%895,000 1.62 100.57 101.96 12,468 1.26 0.38 1.7 1.7 0.0 100%--Aa1 AA+ GO Unlimited 20 40%86%8,340,000 2.71 101.17 103.23 171,614 2.01 0.81 2.1 2.1 0.1 100%--Aaa AA+ Revenue 3 2%5%490,000 2.34 98.47 103.82 26,215 2.84 0.50 2.2 2.2 0.1 100%--Aa1 AAA Sector Total 25 47%100%9,725,000 2.59 100.98 103.14 210,298 1.98 0.75 2.1 2.1 0.1 100%Aa1 AA+ Sector Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Agg LT Ratings Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Moody's S&P General 23 45%96%9,350,000 2.64 100.96 103.26 214,762 2.02 0.73 2.0 1.9 0.1 100%--Aa1 AA+ School District 2 2%4%375,000 1.30 101.28 100.09 (4,464)1.05 1.28 5.3 5.2 0.3 100%--Aaa AAA Sector Total 25 47%100%9,725,000 2.59 100.98 103.14 210,298 1.98 0.75 2.1 2.1 0.1 100%Aa1 AA+ GO Limited 9% GO Unlimited 86% Revenue 5% Fixed 100% Issuer Coupon Portfolio Analysis 19 MMF: Historical Performance Weighted Average Maturity -WAM (Days) Daily Liquid Assets (%) Weekly Liquid Assets (%) 0 10 20 30 40 50 60 70 May-20 Aug-20 Nov-20 Feb-21 SEC Threshold GVIXX 0 10 20 30 40 50 60 70 80 90 May-20 Aug-20 Nov-20 Feb-21 SEC Threshold GVIXX 30 20 30 40 50 60 70 80 90 100 May-20 Aug-20 Nov-20 Feb-21 SEC Threshold GVIXX * Gates / Fees Threshold -SEC designated thresholds for Money Market Funds Portfolio Analysis 20 MMF: Historical Performance Net Asset Value (NAV)7 Day Yield (%) Expense Ratio (bps)Daily Fund Flows ($000) 0.0000 0.2000 0.4000 0.6000 0.8000 1.0000 1.2000 May-20 Aug-20 Nov-20 Feb-21 GVIXX 0.00 0.01 0.02 0.03 0.04 0.05 0.06 0.07 May-20 Aug-20 Nov-20 Feb-21 GVIXX 0.000 0.100 0.200 0.300 May-20 Aug-20 Nov-20 Feb-21 GVIXX -10,000 -8,000 -6,000 -4,000 -2,000 0 2,000 4,000 6,000 8,000 May-20 Aug-20 Nov-20 Feb-21 GVIXX Portfolio Analysis 21 MMF: Fund Profiles Fund Name:Wells Fargo Govt MM Inst - GVIXX AUM Flows ($MM)WAM (Days)WAL (Days)7D Yield (%)DLA (%)WLA (%)Share Class Flows ($MM)MNAV Current 42,650 34 91 0.01 80 84 1,107 1.0000 Previous Month 41,554 39 101 0.01 78 83 (175)1.0000 MoM Change 1,096 (5)(10)0.00 2 1 1,282 0.0000 52 Week High 47,442 48 103 0.06 82 86 6,479 1.0000 52 Week Low 39,670 33 85 0.01 62 71 (7,856)1.0000 Portfolio Analysis 22 Strategy Group Contact Information Name Title Phone Email Head of Fixed Income Market and Portfolio Strategy Dan Collins, CPA, CFA Managing Director (704) 410-5287 dan.collins@wellsfargo.com Short Duration Strategy Vanessa McMichael, CTP Director (704) 410-4530 vanessa.mcmichael@wellsfargo.com Depository Strategy Charlie Crowley Managing Director (704) 410-3829 charlie.crowley@wellsfargo.com Jeff Layman Vice President (704) 410-0499 jeffrey.layman@wellsfargo.com Strategy Generalist Brad Brown Director (704) 410-3683 bradley.brown@wellsfargo.com Will Fisher Director (704) 410-6239 william.fisher@wellsfargo.com Jonathan O’ Hanlon Director (704) 410-3853 jonathan.ohanlon@wellsfargo.com Melissa Atkins Associate (704) 410-0114 melissa.atkins@wellsfargo.com Portfolio Accounting Kamari Hauglid Analyst (612) 667-8818 kamarihauglid@wellsfargo.com Portfolio Analysis 23 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 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 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 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 24 Disclaimer Accuracy of Information This account summary was prepared by Wells Fargo Corporate & Investment Banking Fixed Income Market and Portfolio Strategy and 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 subject to change and availability; past performance is no guarantee of future results. Municipal leases are shown at their par value. Any rating provided for a municipal lease investment is a rating associated with the lessee, and does not constitute a rating of the lease investment itself. For Securities 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, however 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 the indicative valuation(s) or any other price(s). There is no representation that any transaction can or could have been effected at the indicative valuation(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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About Wells Fargo Corporate & Investment Banking Wells Fargo Corporate & Investment Banking is the trade name for the corporate banking, capital markets and investment banking services of Wells Fargo & Company and its subsidiaries, including but not limited to Wells Fargo Securities, LLC, a member of NYSE, FINRA, NFA and SIPC, Wells Fargo Prime Services, LLC, a member of FINRA, NFA and SIPC, and Wells Fargo Bank, N.A., a member of NFA. Wells Fargo Securities, LLC, and Wells Fargo Prime Services, LLC are distinct entities from affiliated banks and thrifts. Copyright© 2020 Wells Fargo Securities, LLC SECURITIES: NOT FDIC-INSURED/NOT BANK-GUARANTEED/MAY LOSE VALUE Portfolio Analysis 25