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Investment Report 12-31-2021City of Chanhassen Analysis Date:2/18/2022 Portfolio as of:12/31/2021 Market Data as of:12/31/2021 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 15 Cash Flow Report 4 Money Market Sector - Summary 16 Historical Performance 6 Brokered CD - Summary 17 Duration Contribution 7 Municipal - Summary 18 Credit Rating Monitor 8 CMBS & SBA - Summary 19 Positions by Sector 10 Positions by Maturity 11 Positions by Maturity - Scenario Analysis 12 2 Portfolio Summary Portfolio Snapshot Coupon Structure Sector Allocation Number of Positions 46 Par ($000)27,722 Book Value ($000)27,918 Mkt Value w/o Accrd ($000)28,025 Unrlzed Gain / Loss ($000)107 Coupon 1.24 Book Yield 0.99 Market Yield 0.59 Wgt Avg Maturity 1.9 Average Life 1.9 Effective Duration 1.8 Effective Convexity 0.1 Overnight Funds Principal 10,758 Overnight Funds Interest 0 Term Securities Principal 4,523 Term Securities Interest 328 Total Cash Flow 15,609 A-1+/A-1/P-1 A-2 / P-2 A-3 / P-3 Not Prime NA Short Term Rating 17% 30% 53% 28% 14% 1% 56% AAA / Aaa AA / Aa A BBB / Baa Below IG NA Long Term Rating *Cash Flow Projections Chart -1 Year Cash flow does not include O/N Cash Flow or Run Off Yield Fixed 100.0% Agency 19.2% Certificate of Deposit 6.2% CMBS 2.7% MMF 38.5% Municipal 33.3% 0.01 2.21 1.52 0.30 1.49 2.57 1.51 2.25 1.69 1.72 1.06 1.57 0.00 0.50 1.00 1.50 2.00 2.50 3.00 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 3 0 10,757,996 0.01 10,757,999 10,757,999 Jan-22 9,474 0 0 0.00 9,474 10,767,473 Feb-22 54,137 0 260,000 2.21 314,137 11,081,610 Mar-22 41,920 0 798,000 1.52 839,920 11,921,530 Apr-22 26,933 0 0 0.00 26,933 11,948,463 May-22 5,253 0 0 0.00 5,253 11,953,716 Jun-22 29,542 0 0 0.00 29,542 11,983,259 Jul-22 9,036 0 249,000 0.30 258,036 12,241,294 Aug-22 50,867 0 747,000 1.49 797,867 13,039,162 Sep-22 38,779 0 500,000 2.57 538,779 13,577,940 Oct-22 26,892 0 849,000 1.51 875,892 14,453,832 Nov-22 5,035 0 0 0.00 5,035 14,458,868 Year 1 Dec-22 30,037 0 1,120,000 2.25 1,150,037 15,608,905 Jan-23 5,781 0 0 0.00 5,781 15,614,686 Feb-23 42,718 0 1,160,000 2.28 1,202,718 16,817,404 Mar-23 32,770 0 0 0.00 32,770 16,850,174 Apr-23 21,874 0 495,000 0.90 516,874 17,367,048 May-23 4,994 0 250,000 1.90 254,994 17,622,042 Jun-23 8,725 0 0 0.00 8,725 17,630,767 Jul-23 5,740 0 249,000 0.35 254,740 17,885,507 Aug-23 27,420 0 0 0.00 27,420 17,912,927 Sep-23 32,895 0 205,000 2.85 237,895 18,150,822 Oct-23 19,244 0 1,000,000 1.55 1,019,244 19,170,065 Nov-23 1,285 0 0 0.00 1,285 19,171,351 Year 2 Dec-23 8,684 0 0 0.00 8,684 19,180,034 Jan-24 5,345 0 0 0.00 5,345 19,185,380 Feb-24 27,420 0 150,000 2.40 177,420 19,362,800 Mar-24 29,352 0 0 0.00 29,352 19,392,152 Apr-24 11,285 0 0 0.00 11,285 19,403,437 May-24 1,244 0 0 0.00 1,244 19,404,681 Jun-24 8,725 0 0 0.00 8,725 19,413,406 Jul-24 5,304 0 0 0.00 5,304 19,418,710 Aug-24 25,620 0 1,997,000 0.96 2,022,620 21,441,331 Sep-24 29,435 0 0 0.00 29,435 21,470,766 Oct-24 11,244 0 0 0.00 11,244 21,482,010 Nov-24 1,285 0 0 0.00 1,285 21,483,295 Year 3 Dec-24 8,684 0 0 0.00 8,684 21,491,979 Portfolio Analysis 4 Cash Flow Projections - Continued Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) Jan-25 5,345 0 0 0.00 5,345 21,497,324 Feb-25 14,063 0 400,000 2.05 414,063 21,911,387 Mar-25 29,311 0 0 0.00 29,311 21,940,698 Apr-25 11,285 0 0 0.00 11,285 21,951,983 May-25 1,244 0 0 0.00 1,244 21,953,227 Jun-25 8,725 0 0 0.00 8,725 21,961,952 Jul-25 5,304 0 500,000 1.07 505,304 22,467,255 Aug-25 8,963 0 700,000 0.68 708,963 23,176,218 Sep-25 29,435 0 1,100,000 1.97 1,129,435 24,305,654 Oct-25 11,244 0 0 0.00 11,244 24,316,897 Nov-25 1,285 0 0 0.00 1,285 24,318,183 Year 4 Dec-25 8,684 0 0 0.00 8,684 24,326,866 Jan-26 1,285 0 0 0.00 1,285 24,328,152 Feb-26 5,676 0 150,000 0.95 155,676 24,483,828 Mar-26 16,373 0 0 0.00 16,373 24,500,201 Apr-26 11,285 0 0 0.00 11,285 24,511,487 May-26 1,244 0 0 0.00 1,244 24,512,730 Jun-26 8,725 0 0 0.00 8,725 24,521,456 Jul-26 1,244 0 0 0.00 1,244 24,522,699 Aug-26 4,767 0 300,000 1.40 304,767 24,827,467 Sep-26 16,498 0 500,000 3.14 516,498 25,343,964 Oct-26 11,244 0 0 0.00 11,244 25,355,208 Nov-26 1,285 0 0 0.00 1,285 25,356,493 Year 5 Dec-26 8,684 0 0 0.00 8,684 25,365,177 Jan-27 1,285 0 0 0.00 1,285 25,366,462 Feb-27 2,817 0 225,000 1.12 227,817 25,594,280 Mar-27 8,123 0 500,000 0.80 508,123 26,102,403 Apr-27 11,285 0 0 0.00 11,285 26,113,688 May-27 1,244 0 0 0.00 1,244 26,114,932 Jun-27 8,725 0 500,000 1.00 508,725 26,623,657 Jul-27 1,244 0 0 0.00 1,244 26,624,901 Aug-27 1,285 0 0 0.00 1,285 26,626,186 Sep-27 4,185 0 0 0.00 4,185 26,630,371 Oct-27 11,244 0 500,000 1.62 511,244 27,141,615 Nov-27 1,285 0 0 0.00 1,285 27,142,900 Year 6 Dec-27 6,184 0 0 0.00 6,184 27,149,084 Portfolio Analysis 5 Historical Performance # Line Avg Total Par Avg Bk Avg Mkt Bnchmrk Wgt Avg Eff Ratings Portfolio Allocation* Date Items Coupon ($000)G / L Yield Yield Tsy Yield Maturity Dur Moody's S&P MMF Govt Corp CD/CP Muni Other 12/31/21 46 1.24 27,722 107 0.99 0.59 0.65 1.9 1.8 Aa1 AA+39%22%0%6%33%0% 09/30/21 48 1.01 31,877 267 0.84 0.29 0.10 1.1 1.1 Aa1 AA+49%17%0%9%26%0% 06/30/21 53 1.40 29,463 336 1.16 0.31 0.13 1.4 1.3 Aa1 AA+25%21%9%11%33%0% 05/31/21 52 1.97 20,765 361 1.63 0.54 0.14 2.0 1.9 Aa1 AA+7%30%0%15%47%0% 03/31/21 58 1.65 26,848 391 1.47 0.37 0.12 1.7 1.6 Aa1 AA+13%27%8%14%38%0% 12/31/20 66 1.63 30,976 548 1.35 0.33 0.12 1.7 1.6 Aaa AA+24%23%0%14%38%0% 09/30/20 69 1.70 31,022 548 1.43 0.40 0.13 1.9 1.7 Aaa AA+19%28%0%15%38%0% 06/30/20 64 1.71 32,036 577 1.53 0.48 0.16 1.7 1.5 Aaa AA+26%27%0%14%33%0% 03/31/20 60 2.12 27,850 484 1.95 0.98 0.26 1.5 1.4 Aaa AA+20%28%0%13%39%0% 12/31/19 63 2.07 30,785 248 2.01 1.66 1.59 1.4 1.2 Aaa AA+25%32%0%14%29%0% 09/30/19 71 2.22 29,766 299 2.22 1.92 1.72 1.6 1.3 Aaa AA+13%39%0%17%32%0% 06/30/19 65 2.28 31,098 231 2.27 2.12 1.89 1.6 1.2 Aaa AA+23%37%0%12%28%0% 0.00 0.50 1.00 1.50 2.00 2.50 Avg Book Yield Benchmark Treasury 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% MMF Govt Corp CD/CP Muni Other Portfolio Allocation*Book Yield vs. Treasury Benchmark * Portfolio Allocation is a new addition to portfolio analysis. Data will be added over time. Portfolio Analysis 6 Yield / Duration Contribution Book Market Book Eff Sector Total (%)Value ($)Value ($)G / L ($)Yield Dur Agency 19.2%5,346,852 5,380,914 34,062 1.40 2.8 Certificate of Deposit 6.2%1,739,000 1,751,415 12,415 1.14 0.9 CMBS 2.7%763,495 753,749 (9,746)1.81 9.1 MMF 38.5%10,757,996 10,757,996 0 0.01 0.0 Municipal 33.3%9,310,493 9,380,491 69,999 1.78 2.8 Total Portfolio 100.0%27,917,836 28,024,566 106,730 0.99 1.8 Agency Certificate of Deposit CMBS MMF Municipal (0.50) 0.00 0.50 1.00 1.50 2.00 2.50 -0.5 1.5 3.5 5.5 7.5 9.5 11.5 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 45 787758C74 Municipal SAINT CHARLES IL 1.90 12/01/30 520,000 Aa1 12/01/21 ------- 44 1073358S3 Municipal BRENTWOOD TN 2.00 09/01/30 290,000 Aaa 11/09/21 -AAA 11/16/21 ---- 34 6775224C5 Municipal OHIO ST 0.94 08/01/25 700,000 Aa1 06/10/20 -AA+06/09/20 -AA+08/05/21 - 43 059189D23 Municipal BALTIMORE MD 4.00 10/15/27 500,000 Aa2 05/27/21 -AA 05/28/21 ---- 36 3137EAEX3 Agency FREDDIE MAC 0.38 09/23/25 500,000 Aaa 10/19/20 -AA+09/23/20 -AAA 09/29/20 - 24 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 - 31 3134GWKT2 Agency FREDDIE MAC 0.50 08/26/24 500,000 Aaa 08/03/20 ----AAA 08/27/20 - 38 98267AEM7 Municipal WYANDOTTE CNTY/KANS CITY KANUN 1.30 08/01/26 300,000 A1 08/07/20 -AA 08/07/20 ---- 27 574193TQ1 Municipal MARYLAND ST 0.51 08/01/24 500,000 Aaa 07/13/20 -AAA 07/14/20 -AAA 07/08/20 - 42 3130AJRQ4 Agency FEDERAL HOME LOAN BANK 1.00 06/25/27 500,000 Aaa 06/22/20 -AA+06/22/20 ---- 40 35880CD76 Municipal FRISCO TX INDEP SCH DIST 1.36 02/15/27 225,000 Aaa 06/10/20 -AAA 06/11/20 ---- 37 35880CD68 Municipal FRISCO TX INDEP SCH DIST 1.21 02/15/26 150,000 Aaa 06/10/20 -AAA 06/11/20 ---- 20 556583D58 Municipal MADISON AL 1.05 04/01/23 495,000 Aa2 03/19/20 -AA+04/22/20 ---- 41 3130AJ4B2 Agency FEDERAL HOME LOAN BANK 1.63 03/12/27 500,000 Aaa 02/05/20 -AA+02/05/20 ---- 33 161035KH2 Municipal CHARLOTTE NC 1.62 07/01/25 500,000 Aaa 02/04/20 -AAA 02/04/20 -AAA 02/04/20 - 11 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 - 21 792882BV3 Municipal ST PAUL MN 3.00 05/01/23 250,000 ---AAA 11/08/19 ---- 29 3130AGWK7 Agency FEDERAL HOME LOAN BANK 1.50 08/15/24 500,000 Aaa 08/16/19 -AA+08/16/19 ---- 32 092765EY8 Municipal BLAINE MN 2.55 02/01/25 400,000 ---AAA 08/01/19 ---- 16 092765EW2 Municipal BLAINE MN 2.25 02/01/23 395,000 ---AAA 08/01/19 ---- 9 961114NG6 Municipal WESTON CT 3.15 08/01/22 500,000 Aaa 11/21/18 ------- 39 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 - 35 4095585H2 Municipal HAMPTON VA 4.00 09/01/25 600,000 Aa1 06/05/18 -AA+06/07/18 -AA+06/06/18 - 25 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 - 15 60375BDC7 Municipal MINNEAPOLIS MN 5.00 12/01/22 370,000 ---AAA 05/10/18 -AA+05/11/18 - 19 809557BB6 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.50 02/01/23 120,000 ---AAA 04/04/18 ---- 3 809557BA8 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.35 02/01/22 120,000 ---AAA 04/04/18 ---- 4 60374Y7S0 Municipal MINNEAPOLIS MN 2.90 03/01/22 300,000 Aa1 02/07/14 -AAA 02/07/14 -AA+11/08/17 - 14 60375BCD6 Municipal MINNEAPOLIS MN 4.25 12/01/22 350,000 ---AAA 04/27/17 -AA+11/08/17 - 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 26 161664HD2 Municipal CHASKA MN 2.40 02/01/24 150,000 ---AA 11/02/17 ---- 17 161664HC4 Municipal CHASKA MN 2.25 02/01/23 145,000 ---AA 11/02/17 ---- 2 161664HB6 Municipal CHASKA MN 2.10 02/01/22 140,000 ---AA 11/02/17 ---- 28 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 - 10 3130A6AP2 Agency FEDERAL HOME LOAN BANK 2.25 09/09/22 500,000 Aaa 08/07/15 -AA+08/07/15 ---- 23 313383YJ4 Agency FEDERAL HOME LOAN BANK 3.38 09/08/23 205,000 Aaa 08/27/13 -AA+08/26/13 ---- 18 73723RSP9 Municipal PORTSMOUTH VA 3.09 02/01/23 500,000 Aa2 05/24/13 -AA 05/24/13 -AA 05/21/13 - 13 199492CT4 Municipal COLUMBUS OH 2.33 12/01/22 400,000 Aaa 11/06/12 -AAA 11/05/12 -AAA 11/07/12 - FDIC-Insured brokered CDs are not included in the Credit Rating Monitor Portfolio Analysis 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 10 3130A6AP2 FEDERAL HOME LOAN BANK 1.8%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.78 101.34 7,818 2.57 0.30 0.7 0.7 0.0 11 3133ELGN8 FEDERAL FARM CREDIT BANK 2.1%1.60 10/13/22 Aaa AA+-Bullet 600,000 01/13/20 99.97 99.99 101.00 6,074 1.61 0.32 0.8 0.8 0.0 23 313383YJ4 FEDERAL HOME LOAN BANK 0.7%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 100.86 104.57 7,609 2.85 0.65 1.7 1.6 0.0 24 3133EMBS0 FEDERAL FARM CREDIT BANK 1.8%0.20 10/02/23 Aaa AA+-Bullet 500,000 10/02/20 99.97 99.98 99.60 (1,897)0.21 0.43 1.8 1.8 0.0 25 3133EJQA0 FEDERAL FARM CREDIT BANK 1.8%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.21 104.59 21,897 2.88 0.46 1.8 1.8 0.0 29 3130AGWK7 FEDERAL HOME LOAN BANK 1.8%1.50 08/15/24 Aaa AA+-Bullet 500,000 08/14/20 104.86 103.19 101.63 (7,808)0.28 0.87 2.6 2.6 0.1 31 3134GWKT2 FREDDIE MAC 1.8%0.50 08/26/24 Aaa -02/26/22 Berm 500,000 08/26/20 100.00 100.00 99.22 (3,885)0.50 0.80 2.7 2.6 (0.0) 36 3137EAEX3 FREDDIE MAC 1.8%0.38 09/23/25 Aaa AA+-Bullet 500,000 10/01/20 99.98 99.98 97.31 (13,355)0.38 1.11 3.7 3.7 0.2 39 3133EJD55 FEDERAL FARM CREDIT BANK 1.8%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.70 109.25 42,768 3.14 1.28 4.7 4.4 0.2 41 3130AJ4B2 FEDERAL HOME LOAN BANK 1.9%1.63 03/12/27 Aaa AA+-Bullet 500,000 06/15/20 105.40 104.19 101.28 (14,558)0.80 1.37 5.2 5.0 0.3 42 3130AJRQ4 FEDERAL HOME LOAN BANK 1.8%1.00 06/25/27 Aaa AA+01/05/22 Amer 500,000 06/25/20 100.00 100.00 97.88 (10,601)1.00 1.40 5.5 5.3 0.0 Agency 19.2%1.61 Aaa AA+5,305,000 101.11 100.79 101.43 34,062 1.40 0.82 2.9 2.8 0.1 46 3140LEEE3 Fannie Mae 2.7%1.99 11/01/31 ----750,000 12/09/21 101.81 101.80 100.50 (9,746)1.81 1.96 9.8 9.1 0.9 CMBS 2.7%1.99 750,000 101.81 101.80 100.50 (9,746)1.81 1.96 9.8 9.1 0.9 5 29278TNH9 REGIONS BANK 0.9%0.95 03/14/22 ---Bullet 249,000 03/13/20 100.00 100.00 100.14 356 0.95 0.25 0.2 0.2 0.0 6 88241TGX2 TEXAS EXCHANGE BANK SSB 0.9%1.00 03/25/22 ---Bullet 249,000 03/27/20 100.00 100.00 100.17 428 1.00 0.27 0.2 0.2 0.0 7 649447TW9 NEW YORK COMMUNITY BANK 0.9%0.30 07/05/22 ---Bullet 249,000 07/01/20 100.00 100.00 100.02 57 0.30 0.26 0.5 0.5 0.0 8 14042TBH9 CAPITAL ONE BANK USA NA 0.9%2.15 08/01/22 ---Bullet 247,000 07/31/19 100.00 100.00 101.11 2,732 2.15 0.26 0.6 0.6 0.0 12 32116RAG9 FIRST NATL BANK ORD NEB 0.9%1.25 10/14/22 ---Bullet 249,000 04/14/20 100.00 100.00 100.74 1,843 1.25 0.31 0.8 0.8 0.0 22 06654BCK5 BANKWELL BANK 0.9%0.35 07/28/23 ---Bullet 249,000 07/28/20 100.00 100.00 99.73 (682)0.35 0.52 1.6 1.6 0.0 30 75472RAE1 RAYMOND JAMES BANK NA 0.9%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 103.11 7,682 2.00 0.81 2.6 2.6 0.1 Domestic CD 6.2%1.14 1,739,000 100.00 100.00 100.71 12,415 1.14 0.38 0.9 0.9 0.0 1 94975P405 ALLSPRING 38.5%0.01 ---Bullet 10,757,996 12/31/21 100.00 100.00 100.00 0 0.01 0.01 0.0 0.0 0.0 MMF 38.5%0.01 10,757,996 100.00 100.00 100.00 0 0.01 0.01 0.0 0.0 0.0 3 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0.4%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 100.17 199 2.34 0.42 0.1 0.1 0.0 2 161664HB6 CHASKA MN 0.5%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 100.15 216 2.09 0.31 0.1 0.1 0.0 4 60374Y7S0 MINNEAPOLIS MN 1.1%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.00 100.43 1,302 2.89 0.34 0.2 0.2 0.0 9 961114NG6 WESTON CT 1.8%3.15 08/01/22 Aaa --Bullet 500,000 04/03/20 104.58 101.16 101.30 705 1.16 0.92 0.6 0.6 0.0 15 60375BDC7 MINNEAPOLIS MN 1.3%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 101.75 104.10 8,714 3.06 0.52 0.9 0.9 0.0 14 60375BCD6 MINNEAPOLIS MN 1.3%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 102.03 103.42 4,869 2.01 0.51 0.9 0.9 0.0 13 199492CT4 COLUMBUS OH 1.4%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 100.57 101.68 4,424 1.70 0.50 0.9 0.9 0.0 18 73723RSP9 PORTSMOUTH VA 1.8%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 100.89 102.67 8,915 2.25 0.61 1.1 1.1 0.0 19 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0.4%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 102.11 2,531 2.50 0.55 1.1 1.1 0.0 16 092765EW2 BLAINE MN 1.4%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 101.56 6,162 2.25 0.80 1.1 1.1 0.0 17 161664HC4 CHASKA MN 0.5%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 101.93 2,797 2.25 0.47 1.1 1.1 0.0 20 556583D58 MADISON AL 1.8%1.05 04/01/23 Aa2 AA+-Bullet 495,000 07/21/20 100.39 100.18 100.57 1,911 0.90 0.59 1.2 1.3 0.0 21 792882BV3 ST PAUL MN 0.9%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 101.44 102.32 2,208 1.90 1.24 1.3 1.3 0.0 26 161664HD2 CHASKA MN 0.5%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 103.32 4,974 2.40 0.79 2.1 2.0 0.1 27 574193TQ1 MARYLAND ST 1.8%0.51 08/01/24 Aaa AAA -Bullet 500,000 08/05/20 100.24 100.16 98.62 (7,660)0.45 1.05 2.6 2.6 0.1 28 64971WP53 NEW YORK CITY NY TRANSITIONAL 0.9%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 97.54 102.70 12,898 3.25 1.19 2.6 2.5 0.1 32 092765EY8 BLAINE MN 1.5%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 101.49 103.52 8,124 2.05 1.38 3.1 3.0 0.1 33 161035KH2 CHARLOTTE NC 1.8%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 101.91 101.51 (2,020)1.07 1.18 3.5 3.4 0.1 34 6775224C5 OHIO ST 2.5%0.94 08/01/25 Aa1 AA+-Bullet 700,000 06/26/20 101.30 100.92 98.86 (14,399)0.68 1.26 3.6 3.5 0.1 35 4095585H2 HAMPTON VA 2.2%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 102.40 109.69 43,782 3.30 1.29 3.7 3.4 0.2 37 35880CD68 FRISCO TX INDEP SCH DIST 0.5%1.21 02/15/26 Aaa AAA -Bullet 150,000 07/15/20 101.42 101.06 99.33 (2,585)0.95 1.38 4.1 4.0 0.2 38 98267AEM7 WYANDOTTE CNTY/KANS CITY KANUN 1.1%1.30 08/01/26 A1 AA -Bullet 300,000 12/15/21 99.55 99.56 99.00 (1,683)1.40 1.53 4.6 4.4 0.2 40 35880CD76 FRISCO TX INDEP SCH DIST 0.8%1.36 02/15/27 Aaa AAA -Bullet 225,000 07/15/20 101.53 101.20 98.94 (5,092)1.12 1.58 5.1 4.9 0.3 43 059189D23 BALTIMORE MD 2.0%4.00 10/15/27 Aa2 AA -Bullet 500,000 11/24/21 113.32 113.10 113.42 1,620 1.62 1.57 5.8 5.2 0.4 44 1073358S3 BRENTWOOD TN 1.1%2.00 09/01/30 Aaa AAA -Bullet 290,000 12/13/21 102.17 102.16 100.66 (4,373)1.73 1.92 8.7 8.0 0.7 45 787758C74 SAINT CHARLES IL 1.9%1.90 12/01/30 Aa1 --Bullet 520,000 12/30/21 100.82 100.82 99.18 (8,538)1.80 2.00 8.9 8.2 0.7 Municipals 33.3%2.41 Aa1 AA+9,170,000 102.71 101.53 102.30 69,999 1.78 1.06 2.9 2.8 0.2 Total Portfolio 100.0%1.24 27,721,996 101.16 100.71 101.09 106,730 0.99 0.59 1.9 1.8 0.1 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 ALLSPRING 39%0.01 ---Bullet 10,757,996 12/31/21 100.00 100.00 100.00 0 0.01 0.01 0.0 0.0 0.0 3 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 100.17 199 2.34 0.42 0.1 0.1 0.0 2 161664HB6 CHASKA MN 1%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 100.15 216 2.09 0.31 0.1 0.1 0.0 4 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.00 100.43 1,302 2.89 0.34 0.2 0.2 0.0 5 29278TNH9 REGIONS BANK 1%0.95 03/14/22 ---Bullet 249,000 03/13/20 100.00 100.00 100.14 356 0.95 0.25 0.2 0.2 0.0 6 88241TGX2 TEXAS EXCHANGE BANK SSB 1%1.00 03/25/22 ---Bullet 249,000 03/27/20 100.00 100.00 100.17 428 1.00 0.27 0.2 0.2 0.0 7 649447TW9 NEW YORK COMMUNITY BANK 1%0.30 07/05/22 ---Bullet 249,000 07/01/20 100.00 100.00 100.02 57 0.30 0.26 0.5 0.5 0.0 8 14042TBH9 CAPITAL ONE BANK USA NA 1%2.15 08/01/22 ---Bullet 247,000 07/31/19 100.00 100.00 101.11 2,732 2.15 0.26 0.6 0.6 0.0 9 961114NG6 WESTON CT 2%3.15 08/01/22 Aaa --Bullet 500,000 04/03/20 104.58 101.16 101.30 705 1.16 0.92 0.6 0.6 0.0 10 3130A6AP2 FEDERAL HOME LOAN BANK 2%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.78 101.34 7,818 2.57 0.30 0.7 0.7 0.0 11 3133ELGN8 FEDERAL FARM CREDIT BANK 2%1.60 10/13/22 Aaa AA+-Bullet 600,000 01/13/20 99.97 99.99 101.00 6,074 1.61 0.32 0.8 0.8 0.0 12 32116RAG9 FIRST NATL BANK ORD NEB 1%1.25 10/14/22 ---Bullet 249,000 04/14/20 100.00 100.00 100.74 1,843 1.25 0.31 0.8 0.8 0.0 15 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 101.75 104.10 8,714 3.06 0.52 0.9 0.9 0.0 14 60375BCD6 MINNEAPOLIS MN 1%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 102.03 103.42 4,869 2.01 0.51 0.9 0.9 0.0 13 199492CT4 COLUMBUS OH 1%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 100.57 101.68 4,424 1.70 0.50 0.9 0.9 0.0 Year 1 55%0.71 15,280,996 100.53 100.13 100.39 39,736 0.55 0.13 0.2 0.2 0.0 18 73723RSP9 PORTSMOUTH VA 2%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 100.89 102.67 8,915 2.25 0.61 1.1 1.1 0.0 19 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 102.11 2,531 2.50 0.55 1.1 1.1 0.0 16 092765EW2 BLAINE MN 1%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 101.56 6,162 2.25 0.80 1.1 1.1 0.0 17 161664HC4 CHASKA MN 1%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 101.93 2,797 2.25 0.47 1.1 1.1 0.0 20 556583D58 MADISON AL 2%1.05 04/01/23 Aa2 AA+-Bullet 495,000 07/21/20 100.39 100.18 100.57 1,911 0.90 0.59 1.2 1.3 0.0 21 792882BV3 ST PAUL MN 1%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 101.44 102.32 2,208 1.90 1.24 1.3 1.3 0.0 22 06654BCK5 BANKWELL BANK 1%0.35 07/28/23 ---Bullet 249,000 07/28/20 100.00 100.00 99.73 (682)0.35 0.52 1.6 1.6 0.0 23 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 100.86 104.57 7,609 2.85 0.65 1.7 1.6 0.0 24 3133EMBS0 FEDERAL FARM CREDIT BANK 2%0.20 10/02/23 Aaa AA+-Bullet 500,000 10/02/20 99.97 99.98 99.60 (1,897)0.21 0.43 1.8 1.8 0.0 25 3133EJQA0 FEDERAL FARM CREDIT BANK 2%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.21 104.59 21,897 2.88 0.46 1.8 1.8 0.0 Year 2 12%2.00 3,359,000 101.21 100.35 101.88 51,450 1.72 0.62 1.4 1.4 0.0 26 161664HD2 CHASKA MN 1%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 103.32 4,974 2.40 0.79 2.1 2.0 0.1 28 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 97.54 102.70 12,898 3.25 1.19 2.6 2.5 0.1 27 574193TQ1 MARYLAND ST 2%0.51 08/01/24 Aaa AAA -Bullet 500,000 08/05/20 100.24 100.16 98.62 (7,660)0.45 1.05 2.6 2.6 0.1 29 3130AGWK7 FEDERAL HOME LOAN BANK 2%1.50 08/15/24 Aaa AA+-Bullet 500,000 08/14/20 104.86 103.19 101.63 (7,808)0.28 0.87 2.6 2.6 0.1 30 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 103.11 7,682 2.00 0.81 2.6 2.6 0.1 31 3134GWKT2 FREDDIE MAC 2%0.50 08/26/24 Aaa -02/26/22 Berm 500,000 08/26/20 100.00 100.00 99.22 (3,885)0.50 0.80 2.7 2.6 (0.0) Year 3 8%1.24 2,147,000 100.55 100.49 100.78 6,200 1.05 0.92 2.6 2.5 0.1 32 092765EY8 BLAINE MN 1%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 101.49 103.52 8,124 2.05 1.38 3.1 3.0 0.1 33 161035KH2 CHARLOTTE NC 2%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 101.91 101.51 (2,020)1.07 1.18 3.5 3.4 0.1 34 6775224C5 OHIO ST 3%0.94 08/01/25 Aa1 AA+-Bullet 700,000 06/26/20 101.30 100.92 98.86 (14,399)0.68 1.26 3.6 3.5 0.1 35 4095585H2 HAMPTON VA 2%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 102.40 109.69 43,782 3.30 1.29 3.7 3.4 0.2 36 3137EAEX3 FREDDIE MAC 2%0.38 09/23/25 Aaa AA+-Bullet 500,000 10/01/20 99.98 99.98 97.31 (13,355)0.38 1.11 3.7 3.7 0.2 Year 4 10%1.88 2,700,000 102.21 101.34 102.16 22,132 1.49 1.25 3.5 3.4 0.1 37 35880CD68 FRISCO TX INDEP SCH DIST 1%1.21 02/15/26 Aaa AAA -Bullet 150,000 07/15/20 101.42 101.06 99.33 (2,585)0.95 1.38 4.1 4.0 0.2 38 98267AEM7 WYANDOTTE CNTY/KANS CITY KANUN 1%1.30 08/01/26 A1 AA -Bullet 300,000 12/15/21 99.55 99.56 99.00 (1,683)1.40 1.53 4.6 4.4 0.2 39 3133EJD55 FEDERAL FARM CREDIT BANK 2%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.70 109.25 42,768 3.14 1.28 4.7 4.4 0.2 Year 5 3%2.34 950,000 100.66 100.39 104.45 38,500 2.25 1.37 4.6 4.4 0.2 40 35880CD76 FRISCO TX INDEP SCH DIST 1%1.36 02/15/27 Aaa AAA -Bullet 225,000 07/15/20 101.53 101.20 98.94 (5,092)1.12 1.58 5.1 4.9 0.3 41 3130AJ4B2 FEDERAL HOME LOAN BANK 2%1.63 03/12/27 Aaa AA+-Bullet 500,000 06/15/20 105.40 104.19 101.28 (14,558)0.80 1.37 5.2 5.0 0.3 42 3130AJRQ4 FEDERAL HOME LOAN BANK 2%1.00 06/25/27 Aaa AA+01/05/22 Amer 500,000 06/25/20 100.00 100.00 97.88 (10,601)1.00 1.40 5.5 5.3 0.0 43 059189D23 BALTIMORE MD 2%4.00 10/15/27 Aa2 AA -Bullet 500,000 11/24/21 113.32 113.10 113.42 1,620 1.62 1.57 5.8 5.2 0.4 Year 6 6%2.10 1,725,000 105.63 105.17 103.51 (28,631)1.15 1.47 5.5 5.1 0.2 44 1073358S3 BRENTWOOD TN 1%2.00 09/01/30 Aaa AAA -Bullet 290,000 12/13/21 102.17 102.16 100.66 (4,373)1.73 1.92 8.7 8.0 0.7 45 787758C74 SAINT CHARLES IL 2%1.90 12/01/30 Aa1 --Bullet 520,000 12/30/21 100.82 100.82 99.18 (8,538)1.80 2.00 8.9 8.2 0.7 Year 9 3%1.94 810,000 101.30 101.30 99.71 (12,912)1.78 1.97 8.8 8.1 0.7 46 3140LEEE3 Fannie Mae 3%1.99 11/01/31 ----750,000 12/09/21 101.81 101.80 100.50 (9,746)1.81 1.96 9.8 9.1 0.9 Year 10 3%1.99 750,000 101.81 101.80 100.50 (9,746)1.81 1.96 9.8 9.1 0.9 Total Portfolio 100%1.24 27,721,996 101.16 100.71 101.09 106,730 0.99 0.59 1.9 1.8 0.1 Portfolio Analysis 11 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 ALLSPRING 39%0.01 10,757,996 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 3 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.35 02/01/22 120,000 0.1 0.0 0.0 (0.0)(0.0)2.34 2.34 2.34 2.34 2.34 0.1 0.1 0.1 0.1 0.1 2 161664HB6 CHASKA MN 1%2.10 02/01/22 140,000 0.1 0.0 0.0 (0.0)(0.0)2.09 2.09 2.09 2.09 2.09 0.1 0.1 0.1 0.1 0.1 4 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 300,000 0.2 0.1 0.0 (0.0)(0.1)2.89 2.89 2.89 2.89 2.89 0.2 0.2 0.2 0.2 0.2 5 29278TNH9 REGIONS BANK 1%0.95 03/14/22 249,000 0.2 0.1 0.1 (0.1)(0.1)0.95 0.95 0.95 0.95 0.95 0.2 0.2 0.2 0.2 0.2 6 88241TGX2 TEXAS EXCHANGE BANK SSB 1%1.00 03/25/22 249,000 0.2 0.1 0.1 (0.1)(0.1)1.00 1.00 1.00 1.00 1.00 0.2 0.2 0.2 0.2 0.2 7 649447TW9 NEW YORK COMMUNITY BANK 1%0.30 07/05/22 249,000 0.5 0.3 0.1 (0.1)(0.3)0.30 0.30 0.30 0.30 0.30 0.5 0.5 0.5 0.5 0.5 8 14042TBH9 CAPITAL ONE BANK USA NA 1%2.15 08/01/22 247,000 0.6 0.3 0.1 (0.1)(0.3)2.15 2.15 2.15 2.15 2.15 0.6 0.6 0.6 0.6 0.6 9 961114NG6 WESTON CT 2%3.15 08/01/22 500,000 0.6 0.3 0.1 (0.1)(0.3)1.16 1.16 1.16 1.16 1.16 0.6 0.6 0.6 0.6 0.6 10 3130A6AP2 FEDERAL HOME LOAN BANK 2%2.25 09/09/22 500,000 0.7 0.3 0.2 (0.2)(0.3)2.57 2.57 2.57 2.57 2.57 0.7 0.7 0.7 0.7 0.7 11 3133ELGN8 FEDERAL FARM CREDIT BANK 2%1.60 10/13/22 600,000 0.8 0.4 0.2 (0.2)(0.4)1.61 1.61 1.61 1.61 1.61 0.8 0.8 0.8 0.8 0.8 12 32116RAG9 FIRST NATL BANK ORD NEB 1%1.25 10/14/22 249,000 0.8 0.4 0.2 (0.2)(0.4)1.25 1.25 1.25 1.25 1.25 0.8 0.8 0.8 0.8 0.8 15 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 370,000 0.9 0.5 0.2 (0.2)(0.5)3.06 3.06 3.06 3.06 3.06 0.9 0.9 0.9 0.9 0.9 14 60375BCD6 MINNEAPOLIS MN 1%4.25 12/01/22 350,000 0.9 0.5 0.2 (0.2)(0.5)2.01 2.01 2.01 2.01 2.01 0.9 0.9 0.9 0.9 0.9 13 199492CT4 COLUMBUS OH 1%2.33 12/01/22 400,000 0.9 0.5 0.2 (0.2)(0.5)1.70 1.70 1.70 1.70 1.70 0.9 0.9 0.9 0.9 0.9 Year 1 55%0.71 15,280,996 0.2 0.1 0.0 (0.0)(0.1)0.55 0.55 0.55 0.55 0.55 0.2 0.2 0.2 0.2 0.2 18 73723RSP9 PORTSMOUTH VA 2%3.09 02/01/23 500,000 1.1 0.5 0.3 (0.3)(0.5)2.25 2.25 2.25 2.25 2.25 1.1 1.1 1.1 1.1 1.1 19 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 120,000 1.1 0.5 0.3 (0.3)(0.5)2.50 2.50 2.50 2.50 2.50 1.1 1.1 1.1 1.1 1.1 16 092765EW2 BLAINE MN 1%2.25 02/01/23 395,000 1.1 0.5 0.3 (0.3)(0.5)2.25 2.25 2.25 2.25 2.25 1.1 1.1 1.1 1.1 1.1 17 161664HC4 CHASKA MN 1%2.25 02/01/23 145,000 1.1 0.5 0.3 (0.3)(0.5)2.25 2.25 2.25 2.25 2.25 1.1 1.1 1.1 1.1 1.1 20 556583D58 MADISON AL 2%1.05 04/01/23 495,000 1.2 0.6 0.3 (0.3)(0.6)0.90 0.90 0.90 0.90 0.90 1.3 1.3 1.3 1.2 1.2 21 792882BV3 ST PAUL MN 1%3.00 05/01/23 250,000 1.3 0.7 0.3 (0.3)(0.7)1.90 1.90 1.90 1.90 1.90 1.3 1.3 1.3 1.3 1.3 22 06654BCK5 BANKWELL BANK 1%0.35 07/28/23 249,000 1.6 0.8 0.4 (0.4)(0.8)0.35 0.35 0.35 0.35 0.35 1.6 1.6 1.6 1.6 1.6 23 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 205,000 1.7 0.8 0.4 (0.4)(0.8)2.85 2.85 2.85 2.85 2.85 1.6 1.6 1.6 1.6 1.6 24 3133EMBS0 FEDERAL FARM CREDIT BANK 2%0.20 10/02/23 500,000 1.8 0.9 0.4 (0.4)(0.9)0.21 0.21 0.21 0.21 0.21 1.8 1.8 1.8 1.7 1.7 25 3133EJQA0 FEDERAL FARM CREDIT BANK 2%3.00 10/23/23 500,000 1.8 0.9 0.4 (0.4)(0.9)2.88 2.88 2.88 2.88 2.88 1.8 1.8 1.8 1.8 1.8 Year 2 12%2.00 3,359,000 1.4 0.7 0.4 (0.3)(0.7)1.72 1.72 1.72 1.72 1.72 1.4 1.4 1.4 1.4 1.4 26 161664HD2 CHASKA MN 1%2.40 02/01/24 150,000 2.1 1.0 0.5 (0.5)(1.0)2.40 2.40 2.40 2.40 2.40 2.0 2.0 2.0 2.0 2.0 28 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 250,000 2.6 1.3 0.6 (0.6)(1.3)3.25 3.25 3.25 3.25 3.25 2.5 2.5 2.5 2.5 2.5 27 574193TQ1 MARYLAND ST 2%0.51 08/01/24 500,000 2.6 1.3 0.6 (0.6)(1.3)0.45 0.45 0.45 0.45 0.45 2.6 2.6 2.6 2.6 2.6 29 3130AGWK7 FEDERAL HOME LOAN BANK 2%1.50 08/15/24 500,000 2.6 1.3 0.6 (0.6)(1.3)0.28 0.28 0.28 0.28 0.28 2.6 2.6 2.6 2.6 2.6 30 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 247,000 2.6 1.3 0.6 (0.6)(1.3)2.00 2.00 2.00 2.00 2.00 2.6 2.6 2.6 2.6 2.6 31 3134GWKT2 FREDDIE MAC 2%0.50 08/26/24 500,000 2.7 0.9 0.7 (0.7)(1.3)0.50 0.50 0.50 0.50 0.50 0.6 1.9 2.6 2.6 2.6 Year 3 8%1.24 2,147,000 2.6 1.2 0.6 (0.6)(1.3)1.05 1.05 1.05 1.05 1.05 2.1 2.4 2.5 2.5 2.5 32 092765EY8 BLAINE MN 1%2.55 02/01/25 400,000 3.1 1.5 0.7 (0.7)(1.5)2.05 2.05 2.05 2.05 2.05 3.0 3.0 3.0 3.0 2.9 33 161035KH2 CHARLOTTE NC 2%1.62 07/01/25 500,000 3.5 1.7 0.9 (0.8)(1.7)1.07 1.07 1.07 1.07 1.07 3.4 3.4 3.4 3.4 3.4 34 6775224C5 OHIO ST 3%0.94 08/01/25 700,000 3.6 1.8 0.9 (0.9)(1.7)0.68 0.68 0.68 0.68 0.68 3.5 3.5 3.5 3.5 3.5 35 4095585H2 HAMPTON VA 2%4.00 09/01/25 600,000 3.7 1.7 0.9 (0.9)(1.7)3.30 3.30 3.30 3.30 3.30 3.4 3.4 3.4 3.4 3.4 36 3137EAEX3 FREDDIE MAC 2%0.38 09/23/25 500,000 3.7 1.9 0.9 (0.9)(1.8)0.38 0.38 0.38 0.38 0.38 3.7 3.7 3.7 3.7 3.7 Year 4 10%1.88 2,700,000 3.5 1.7 0.9 (0.9)(1.7)1.49 1.49 1.49 1.49 1.49 3.4 3.4 3.4 3.4 3.4 37 35880CD68 FRISCO TX INDEP SCH DIST 1%1.21 02/15/26 150,000 4.1 2.0 1.0 (1.0)(2.0)0.95 0.95 0.95 0.95 0.95 4.0 4.0 4.0 4.0 4.0 38 98267AEM7 WYANDOTTE CNTY/KANS CITY KANUN 1%1.30 08/01/26 300,000 4.6 2.3 1.1 (1.1)(2.2)1.40 1.40 1.40 1.40 1.40 4.4 4.4 4.4 4.4 4.4 39 3133EJD55 FEDERAL FARM CREDIT BANK 2%3.30 09/28/26 500,000 4.7 2.2 1.1 (1.1)(2.2)3.14 3.14 3.14 3.14 3.14 4.4 4.4 4.4 4.4 4.4 Year 5 3%2.34 950,000 4.6 2.2 1.1 (1.1)(2.2)2.25 2.25 2.25 2.25 2.25 4.4 4.4 4.4 4.3 4.3 40 35880CD76 FRISCO TX INDEP SCH DIST 1%1.36 02/15/27 225,000 5.1 2.5 1.2 (1.2)(2.4)1.12 1.12 1.12 1.12 1.12 5.0 4.9 4.9 4.9 4.9 41 3130AJ4B2 FEDERAL HOME LOAN BANK 2%1.63 03/12/27 500,000 5.2 2.5 1.3 (1.2)(2.5)0.80 0.80 0.80 0.80 0.80 5.0 5.0 5.0 5.0 5.0 42 3130AJRQ4 FEDERAL HOME LOAN BANK 2%1.00 06/25/27 500,000 5.5 2.3 1.3 (1.3)(2.6)1.00 1.00 1.00 1.00 1.00 1.9 4.5 5.3 5.3 5.3 43 059189D23 BALTIMORE MD 2%4.00 10/15/27 500,000 5.8 2.7 1.3 (1.3)(2.6)1.62 1.62 1.62 1.62 1.62 5.2 5.2 5.2 5.2 5.2 Year 6 6%2.10 1,725,000 5.5 2.5 1.3 (1.3)(2.5)1.15 1.15 1.15 1.15 1.15 4.2 4.9 5.1 5.1 5.1 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 44 1073358S3 BRENTWOOD TN 1%2.00 09/01/30 290,000 8.7 4.1 2.0 (2.0)(3.9)1.73 1.73 1.73 1.73 1.73 8.0 8.0 8.0 8.0 8.0 45 787758C74 SAINT CHARLES IL 2%1.90 12/01/30 520,000 8.9 4.2 2.1 (2.0)(4.0)1.80 1.80 1.80 1.80 1.80 8.3 8.3 8.2 8.2 8.2 Year 9 3%1.94 810,000 8.8 4.2 2.1 (2.0)(4.0)1.78 1.78 1.78 1.78 1.78 8.2 8.2 8.1 8.1 8.1 46 3140LEEE3 Fannie Mae 3%1.99 11/01/31 750,000 9.8 4.7 2.3 (2.3)(4.5)1.81 1.81 1.81 1.81 1.81 9.1 9.1 9.1 9.1 9.1 Year 10 3%1.99 750,000 9.8 4.7 2.3 (2.3)(4.5)1.81 1.81 1.81 1.81 1.81 9.1 9.1 9.1 9.1 9.1 Total Portfolio 100%1.24 27,721,996 1.9 0.9 0.4 (0.4)(0.9)0.99 0.99 0.99 0.99 0.99 1.7 1.8 1.8 1.7 1.7 Portfolio Analysis 13 Product Detail Treasury, Agency, SSA - Summary Issuer / Sector Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Call Type% Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Bullet Amer Euro Berm FHLB 5 8%42%2,205,000 1.76 101.70 100.91 (17,539)1.31 0.95 3.3 3.2 0.1 100%--77%23%-- FHLMC 2 4%19%1,000,000 0.44 99.99 98.27 (17,240)0.44 0.95 3.2 3.2 0.1 100%--50%--50% FFCB 4 8%39%2,100,000 2.00 100.21 103.49 68,841 1.95 0.62 2.2 2.2 0.1 100%--100%--- Sector Total 11 19%100%5,305,000 1.61 100.79 101.43 34,062 1.40 0.82 2.9 2.8 0.1 100%81%9%9% FFCB 39% FHLB 42% FHLMC 19% Bullet 81% Amer 10% Berm 9% Fixed 100% Issuer Structure Coupon Portfolio Analysis 15 Money Market Sector - Summary Money Market Product Distribution (%) Moody's Short Term Ratings Distribution (%) Cash Flows by Month -12 Months ($) Agency, 7% Certificate of Deposit, 8% MMF, 70% Municipal, 14% NA, 100% 0 2,000,000 4,000,000 6,000,000 8,000,000 10,000,000 12,000,000 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 16 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 7 6%100%1.14 1,739,000 100.00 100.71 12,415 1.14 0.38 0.9 0.9 0.0 Sector Total 7 6%100%1.14 1,739,000 100.00 100.71 12,415 1.14 0.38 0.9 0.9 0.0 Portfolio Analysis 17 Municipal - Summary Issue Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Agg LT Ratings Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Moody's S&P GO Limited 2 3%10%895,000 1.62 100.36 101.06 6,335 1.26 0.55 1.1 1.1 0.0 100%--Aa1 AA+ GO Unlimited 21 28%85%7,785,000 2.51 101.84 102.46 48,036 1.78 1.13 3.2 3.0 0.2 100%--Aa1 AA+ Revenue 3 2%5%490,000 2.34 98.74 101.93 15,628 2.84 0.85 1.6 1.6 0.0 100%--Aa1 AAA Sector Total 26 33%100%9,170,000 2.41 101.53 102.30 69,999 1.78 1.06 2.9 2.8 0.2 100%Aa1 AA+ Sector Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Agg LT Ratings Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Moody's S&P General 24 32%96%8,795,000 2.46 101.55 102.43 77,675 1.82 1.05 2.9 2.7 0.1 100%--Aa1 AA+ School District 2 1%4%375,000 1.30 101.14 99.10 (7,676)1.05 1.50 4.7 4.6 0.2 100%--Aaa AAA Sector Total 26 33%100%9,170,000 2.41 101.53 102.30 69,999 1.78 1.06 2.9 2.8 0.2 100%Aa1 AA+ GO Limited 10% GO Unlimited 85% Revenue 5% Fixed 100% Issuer Coupon Portfolio Analysis 18 CMBS & SBA - Summary Sector Profile Ratings Product Line %% Total Par Bk Mkt Bk Mkt Eff Eff Loan Rem Type Items Port Sector Cpn Amount Price Price G / L Yld Yld OAS Dur Cvx WAL Count CE Moody S&P Fitch IO Fannie Mae 1 3%100%1.99 750,000 101.80 100.50 (9,746)1.81 1.96 183 9.1 0.9 9.9 1 ----117 Sector Total 1 3%100%1.99 750,000 101.80 100.50 (9,746)1.81 1.96 183 9.1 0.9 9.9 1 117 Collateral Summary Product Line %% Total Collateral Breakdown Collateral Type Loan Status Dlq Dlq Dlq Type Items Port Sector Cpn WAM WALA Loan Size LTV HPI LTV DSCR Office M Fam Retail Hotel Other Foreclose Defeas Prepaid Bnkrpt 30+60+90+ Fannie Mae 1 3%100%1.99 10 0 156,993,000 62 62 2.27 ----100%----0%0%0% Sector Total 1 3%100%1.99 10 0 156,993,000 62 62 2.27 100%0%0%0% Other 100% Fannie Mae 100% Collateral TypeProduct Type Portfolio Analysis 19 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 Mark Adamson, CTP Director (704) 410-2075 mark.adamson@wellsfargo.com Depository Strategy Charlie Crowley Managing Director (212) 214-5430 charlie.crowley@wellsfargo.com Jeff Layman, CFA Vice President (704) 410-5474 jeffrey.layman@wellsfargo.com Strategy Generalist 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 Jacob Jernigan, CPA Vice President (704) 410-2915 jacob.jernigan2@wellsfargo.com Melissa Atkins Associate (704) 410-0114 melissa.atkins@wellsfargo.com Michael McCarthy Associate (704) 410-0087 michael.mccarthy4@wellsfargo.com Nick Pergakis Analyst (704) 410-5575 nicholas.pergakis@wellsfargo.com Manvir Singh Analyst (704) 410-3685 manvir.singh@wellsfargo.com William Pimentel Analyst (704) 410-0433 william.v.pimentel@wellsfargo.com Portfolio Accounting Kamari Hauglid Analyst (612) 667-8818 kamarihauglid@wellsfargo.com Portfolio Analysis 20 Assumptions 1.Calculation engine is ZM for all asset classes except for Money Market Funds. Money Market Fund information is provided by Crane Data . 2.Money Market Funds assume a book price of par ($100.00). 3.All data provided by Bloomberg LLC., IDC Pricing Service, Crane Data and Wells Fargo Securities. 4.Cash flows are generated by Yield Book, Intex, Bloomberg or ZM depending on sector and structure: ZM –Non-prepay bullet structures including municipals, corporates, agencies, SSA, teasuries, CDs and commercial paper. Yield Book –Mortgage products, including MBS passthroughs, CMOs, ARMs, agency CMBS and floating rate structures. Intex –Structured products, including ABS, CLOs and non-agency RMBS and CMBS. Analysis assumes all scheduled and unscheduled principal cash flows provided directly by Third Party systems (Yield Book) flo w into the Maturity bucket on the Cash Flow Projections page. 5.Ratings data are provided by Moody's, S&P and Fitch. Aggregate ratings are based on a proprietary scale. 6.Projected Call Report -Assumes OAS is held constant with market price based yield-to-worst call logic. Sorted by projected calls in the base case scenario. Base Case scenario assumes no rate changes. 7.Client provided market prices are used for the analysis. In the absence of client market data, BVAL and/or IDC pricing is us ed. 8.Historical Analysis is a combination of previously run Bond Edge Reports and ZM Financial. This page will be updated over time as reports are requ ested. 9.Yield on tax-exempt municipals are calculated using a 21% tax rate or as directed by client. 10.12 Month Horizon Analysis assumes 12 month horizon with a reinvestment rate of 1M LIBOR. Rate shocks are gradual over the ho rizon and parrallel shifts to the curve. 11.Prepayment, default and severity assumptions used: Bonds run through Yield Book –Yield Book Long Term Projected CPR GN CMBS –15 CPJ FN/FH CMBS -0 CPY Conduit CMBS -0 CPY, CDR and SEV ABS Student –6 CPR ABS Card -Historical MPR ABS Auto -1.3 ABS SBAs & NGNs –10 CPR Non-agency CMOs –Yield Book if available otherwise 6mo historical VPR, CDR and SEV taken from Bloomberg. 12.Money Market Fund Profiles AUM Flows:Total fund MoM flows Share Class:Total share class MoM flows 13.Yield Curve Shock Scenarios:instantaneous rate shocks to the static curve held constant over the life of the securities, utilizing Intex for structured products (when applicable) and Yield Book for other amortizing securities. Standard scenarios: parallel shifts of -100,-50,-25,0,+25,+50,+100,+200,+300, Bear Flat,Bull Steep, Bull Flat, Bear Steep. Customized scenarios at the request of client or as determined by WFS Portfolio Strategy Portfolio Analysis 21 Disclaimer This publication is intended for institutional accounts only. Please do not forward to any person that does not meet the definition of an Institutional Account as defined in FINRA Rule 4512. This Commentary is a product of Wells Fargo Corporate and Investment Banking (“CIB”) Fixed Income Sales and Trading and is not a product of Wells Fargo Research. The views expressed herein might differ from those of Research. This communication is for informational purposes only, is not an offer, solicitation, recommendation or commitment for any transaction or to buy or sell any security or other financial product, and is not intended as investment advice or as a confirmation of any transaction. Interested parties are advised to contact the entity with which they deal, or the entity that provided this report to them, if they desire further information. This communication not intended to provide, and must not be relied on for, accounting, legal, regulatory, tax, business, financial or related advice. 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