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Investment Report 06-30-2022City of Chanhassen Analysis Date:7/25/2022 Portfolio as of:6/30/2022 Market Data as of:6/30/2022 Reid Christianson (612) 667-8919 reid.r.christianson@wellsfargo.com Confidential-For Discussion and General Information Purposes Only Table of Contents Portfolio Detail Page Product Detail Page Portfolio Summary 3 Treasury, Agency, & SSA - Summary 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 CMBS & SBA - Summary 22 Credit Rating Monitor 9 MMF Historical Performance 23 Positions by Sector 11 MMF Fund Profiles 25 Positions by Maturity 13 Positions by Maturity - Scenario Analysis 15 2 Portfolio Summary Portfolio Snapshot Coupon Structure Sector Allocation Number of Positions 58 Par ($000)34,318 Book Value ($000)34,680 Mkt Value w/o Accrd ($000)33,634 Unrlzed Gain / Loss ($000)(1,046) Coupon 1.91 Book Yield 1.52 Market Yield 2.46 Wgt Avg Maturity 2.4 Average Life 2.0 Effective Duration 1.8 Effective Convexity 0.1 Overnight Funds Principal 10,650 Overnight Funds Interest 0 Term Securities Principal 7,870 Term Securities Interest 444 Total Cash Flow 18,965 A-1+/A-1/P-1 A-2 / P-2 A-3 / P-3 Not Prime NA Short Term Rating 15% 33% 1% 52% 34% 17% 1% 48% 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 16.8% Certificate of Deposit 5.0% CMBS 4.8% MMF 30.7% Municipal 39.8% Treasury 2.9% 1.20 0.30 1.49 1.90 1.51 1.83 0.92 2.28 0.90 1.90 1.66 1.62 1.63 1.73 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 351 0 10,650,412 1.20 10,650,763 10,650,763 Jul-22 11,429 0 249,000 0.30 260,429 10,911,192 Aug-22 86,487 0 747,000 1.49 833,487 11,744,679 Sep-22 46,858 0 750,000 1.90 796,858 12,541,537 Oct-22 29,129 0 849,000 1.51 878,129 13,419,666 Nov-22 14,542 0 0 0.00 14,542 13,434,208 Dec-22 67,554 0 3,120,000 1.83 3,187,554 16,621,762 Jan-23 8,248 0 250,000 0.92 258,248 16,880,010 Feb-23 82,642 0 1,160,000 2.28 1,242,642 18,122,652 Mar-23 46,408 0 0 0.00 46,408 18,169,060 Apr-23 24,185 0 495,000 0.90 519,185 18,688,245 May-23 14,426 0 250,000 1.90 264,426 18,952,671 Year 1 Jun-23 11,976 0 0 0.00 11,976 18,964,647 Jul-23 7,976 0 249,000 0.35 256,976 19,221,623 Aug-23 67,344 0 250,000 1.29 317,344 19,538,968 Sep-23 43,756 0 205,000 2.85 248,756 19,787,723 Oct-23 21,480 0 1,000,000 1.55 1,021,480 20,809,204 Nov-23 10,792 0 0 0.00 10,792 20,819,996 Dec-23 11,860 0 0 0.00 11,860 20,831,856 Jan-24 7,656 0 0 0.00 7,656 20,839,513 Feb-24 67,188 0 650,000 1.86 717,188 21,556,700 Mar-24 40,064 0 300,000 1.70 340,064 21,896,765 Apr-24 13,596 0 0 0.00 13,596 21,910,361 May-24 10,676 0 0 0.00 10,676 21,921,037 Year 2 Jun-24 11,976 0 500,457 1.73 512,434 22,433,471 Jul-24 7,539 0 459 2.33 7,998 22,441,469 Aug-24 55,385 0 1,997,461 0.75 2,052,846 24,494,315 Sep-24 37,292 0 463 2.33 37,755 24,532,070 Oct-24 13,475 0 464 2.33 13,939 24,546,010 Nov-24 10,785 0 466 2.33 11,251 24,557,261 Dec-24 13,687 0 500,468 2.22 514,155 25,071,416 Jan-25 7,647 0 470 2.33 8,116 25,079,533 Feb-25 46,163 0 400,471 2.05 446,635 25,526,167 Mar-25 31,387 0 473 2.33 31,860 25,558,028 Apr-25 13,583 0 475 2.33 14,058 25,572,085 May-25 10,701 0 492,477 2.92 503,178 26,075,263 Year 3 Jun-25 11,020 0 479 2.33 11,498 26,086,762 Portfolio Analysis 4 Cash Flow Projections - Continued Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) Jul-25 7,523 0 500,480 1.07 508,003 26,594,765 Aug-25 41,055 0 700,482 0.68 741,537 27,336,302 Sep-25 31,726 0 1,100,484 1.97 1,132,210 28,468,512 Oct-25 13,459 0 486 2.33 13,945 28,482,456 Nov-25 3,573 0 488 2.33 4,060 28,486,517 Dec-25 10,896 0 490 2.33 11,386 28,497,902 Jan-26 3,570 0 491 2.33 4,061 28,501,964 Feb-26 37,760 0 150,493 0.95 188,253 28,690,216 Mar-26 18,434 0 495 2.33 18,929 28,709,146 Apr-26 13,565 0 497 2.33 14,062 28,723,208 May-26 3,449 0 499 2.33 3,948 28,727,156 Year 4 Jun-26 11,002 0 501 2.33 11,503 28,738,659 Jul-26 3,446 0 503 2.33 3,949 28,742,608 Aug-26 36,842 0 300,505 1.40 337,346 29,079,954 Sep-26 18,770 0 500,506 3.14 519,277 29,599,231 Oct-26 13,442 0 508 2.33 13,950 29,613,182 Nov-26 3,555 0 510 2.33 4,065 29,617,247 Dec-26 10,879 0 512 2.33 11,391 29,628,638 Jan-27 3,552 0 514 2.33 4,066 29,632,704 Feb-27 34,883 0 225,516 1.12 260,399 29,893,103 Mar-27 10,168 0 500,518 0.80 510,686 30,403,789 Apr-27 13,547 0 520 2.33 14,067 30,417,857 May-27 3,431 0 522 2.33 3,953 30,421,810 Year 5 Jun-27 10,984 0 500,524 1.00 511,508 30,933,318 Jul-27 3,428 0 526 2.33 3,954 30,937,273 Aug-27 33,341 0 528 2.33 33,869 30,971,142 Sep-27 6,440 0 530 2.33 6,970 30,978,112 Oct-27 13,424 0 500,532 1.62 513,956 31,492,067 Nov-27 3,536 0 534 2.33 4,070 31,496,138 Dec-27 8,361 0 536 2.33 8,897 31,505,035 Jan-28 3,533 0 500,538 1.65 504,071 32,009,106 Feb-28 32,057 0 500,540 2.42 532,597 32,541,703 Mar-28 5,010 0 542 2.33 5,552 32,547,256 Apr-28 2,254 0 544 2.33 2,798 32,550,054 May-28 2,180 0 326,521 2.33 328,701 32,878,755 Year 6 Jun-28 6,225 0 0 0.00 6,225 32,884,980 Portfolio Analysis 5 Historical Performance # Line Avg Total Par Avg Bk Avg Mkt Bnchmrk Wgt Avg Eff Ratings Portfolio Allocation* Date Items Coupon ($000)G / L Yield Yield Tsy Yield Maturity Dur Moody's S&P MMF Govt Corp CD/CP Muni Other 06/30/22 58 1.91 34,318 (1,046)1.52 2.46 2.93 2.4 1.8 Aa1 AA+31%25%0%5%40%0% 03/31/22 54 1.60 27,822 (608)1.30 1.72 2.38 2.5 2.2 Aa1 AA+25%29%0%4%42%0% 12/31/21 46 1.24 27,722 107 0.99 0.59 0.65 1.9 1.8 Aa1 AA+39%22%0%6%33%0% 09/30/21 48 1.01 31,877 267 0.84 0.29 0.10 1.1 1.1 Aa1 AA+49%17%0%9%26%0% 06/30/21 53 1.40 29,463 336 1.16 0.31 0.13 1.4 1.3 Aa1 AA+25%21%9%11%33%0% 05/31/21 52 1.97 20,765 361 1.63 0.54 0.14 2.0 1.9 Aa1 AA+7%30%0%15%47%0% 03/31/21 58 1.65 26,848 391 1.47 0.37 0.12 1.7 1.6 Aa1 AA+13%27%8%14%38%0% 12/31/20 66 1.63 30,976 548 1.35 0.33 0.12 1.7 1.6 Aaa AA+24%23%0%14%38%0% 09/30/20 69 1.70 31,022 548 1.43 0.40 0.13 1.9 1.7 Aaa AA+19%28%0%15%38%0% 06/30/20 64 1.71 32,036 577 1.53 0.48 0.16 1.7 1.5 Aaa AA+26%27%0%14%33%0% 03/31/20 60 2.12 27,850 484 1.95 0.98 0.26 1.5 1.4 Aaa AA+20%28%0%13%39%0% 12/31/19 63 2.07 30,785 248 2.01 1.66 1.59 1.4 1.2 Aaa AA+25%32%0%14%29%0% 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 Avg Book Yield Benchmark Treasury 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% MMF Govt Corp CD/CP Muni Other Portfolio Allocation*Book Yield vs. Treasury Benchmark * Portfolio Allocation is a new addition to portfolio analysis. Data will be added over time. Portfolio Analysis 6 Yield / Duration Contribution Book Market Book Eff Sector Total (%)Value ($)Value ($)G / L ($)Yield Dur Agency 16.8%5,841,572 5,625,391 (216,181)1.47 2.2 Certificate of Deposit 5.0%1,733,000 1,713,111 (19,889)1.69 1.3 CMBS 4.8%1,669,446 1,488,563 (180,882)1.87 6.7 MMF 30.7%10,650,412 10,650,412 0 1.20 0.0 Municipal 39.8%13,796,793 13,182,685 (614,108)1.76 2.5 Treasury 2.9%989,011 974,067 (14,944)1.08 1.0 Total Portfolio 100.0%34,680,234 33,634,228 (1,046,006)1.52 1.8 Agency Certificate of Deposit CMBS MMF Municipal Treasury 0.00 0.50 1.00 1.50 2.00 2.50 -0.5 0.5 1.5 2.5 3.5 4.5 5.5 6.5 7.5 8.5 Book Yield by Duration and Sector Portfolio Analysis 7 Projected Call Report Projected Call Date Final Call Par Book Market DN 50 Base Case UP 50 ID CUSIP Sector Issuer Maturity Structure Amount Yield Yield Proj Date Proj Date Proj Date 53 602245YZ9 Municipal MILWAUKEE CNTY WI 12/01/28 Euro 2,000,000 1.60 2.62 12/01/22 12/01/22 12/01/22 91-180 Days 2,000,000 1.60 2.62 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 32 91282CCT6 Treasury US TREASURY N/B 0.38 08/15/24 250,000 Aaa 06/24/22 ----AAAu 08/30/21 - 35 3134GXNJ9 Agency FREDDIE MAC 2.22 12/27/24 500,000 Aaa 03/10/22 -AA+03/09/22 -AAA 03/25/22 - 55 052430TS4 Municipal AUSTIN TX INDEP SCH DIST 3.00 08/01/30 870,000 Aaa 01/18/22 ------- 28 200003EC1 Municipal COMANCHE CNTY OK INDEP SCH DIS 2.00 03/01/24 300,000 ---A+01/14/22 ---- 57 787758C74 Municipal SAINT CHARLES IL 1.90 12/01/30 520,000 Aa1 12/01/21 ------- 54 265138LK1 Municipal DUNCANVILLE TX INDEP SCH DIST 5.00 02/15/30 500,000 Aaa 11/15/21 -AAA 11/17/21 ---- 56 1073358S3 Municipal BRENTWOOD TN 2.00 09/01/30 290,000 Aaa 11/09/21 -AAA 11/16/21 ---- 12 60375BCD6 Municipal MINNEAPOLIS MN 4.25 12/01/22 350,000 ---AAA 04/27/17 -AA+10/22/21 - 13 60375BDC7 Municipal MINNEAPOLIS MN 5.00 12/01/22 370,000 ---AAA 05/10/18 -AA+10/22/21 - 22 91282CCU3 Treasury US TREASURY N/B 0.13 08/31/23 250,000 ------AAAu 09/02/21 - 40 6775224C5 Municipal OHIO ST 0.94 08/01/25 700,000 Aa1 06/10/20 -AA+06/09/20 -AA+08/05/21 - 14 91282CBG5 Treasury US TREASURY N/B 0.13 01/31/23 250,000 Aaa 01/26/21 ----AAAu 06/21/21 - 49 059189D23 Municipal BALTIMORE MD 4.00 10/15/27 500,000 Aa2 05/27/21 -AA 05/28/21 ---- 51 13063DC48 Municipal CALIFORNIA ST 1.70 02/01/28 500,000 Aa2 03/25/21 -AA-03/26/21 -AA 03/25/21 - 29 6448007H1 Municipal NEW HANOVER CNTY NC 0.38 06/01/24 500,000 Aaa 01/25/21 -AAA 02/01/21 ---- 42 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 - 8 91282CAN1 Treasury US TREASURY N/B 0.13 09/30/22 250,000 Aaa 09/24/20 ----AAAu 10/06/20 - 27 579100UL0 Municipal MCALLEN TX INDEP SCH DIST 4.00 02/15/24 500,000 Aaa 09/30/20 ------- 34 3134GWKT2 Agency FREDDIE MAC 0.50 08/26/24 500,000 Aaa 08/03/20 ----AAA 08/27/20 - 44 98267AEM7 Municipal WYANDOTTE CNTY/KANS CITY KANUN 1.30 08/01/26 300,000 A1 08/07/20 -AA 08/07/20 ---- 30 574193TQ1 Municipal MARYLAND ST 0.51 08/01/24 500,000 Aaa 07/13/20 -AAA 07/14/20 -AAA 07/08/20 - 48 3130AJRQ4 Agency FEDERAL HOME LOAN BANK 1.00 06/25/27 500,000 Aaa 06/22/20 -AA+06/22/20 ---- 43 35880CD68 Municipal FRISCO TX INDEP SCH DIST 1.21 02/15/26 150,000 Aaa 06/10/20 -AAA 06/11/20 ---- 46 35880CD76 Municipal FRISCO TX INDEP SCH DIST 1.36 02/15/27 225,000 Aaa 06/10/20 -AAA 06/11/20 ---- 19 556583D58 Municipal MADISON AL 1.05 04/01/23 495,000 Aa2 03/19/20 -AA+04/22/20 ---- 47 3130AJ4B2 Agency FEDERAL HOME LOAN BANK 1.63 03/12/27 500,000 Aaa 02/05/20 -AA+02/05/20 ---- 39 161035KH2 Municipal CHARLOTTE NC 1.62 07/01/25 500,000 Aaa 02/04/20 -AAA 02/04/20 -AAA 02/04/20 - 9 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 - 20 792882BV3 Municipal ST PAUL MN 3.00 05/01/23 250,000 ---AAA 11/08/19 ---- 53 602245YZ9 Municipal MILWAUKEE CNTY WI 3.43 12/01/28 2,000,000 Aa2 01/14/13 -AA 01/08/13 -AA 09/05/19 - 31 3130AGWK7 Agency FEDERAL HOME LOAN BANK 1.50 08/15/24 500,000 Aaa 08/16/19 -AA+08/16/19 ---- 36 092765EY8 Municipal BLAINE MN 2.55 02/01/25 400,000 ---AAA 08/01/19 ---- 15 092765EW2 Municipal BLAINE MN 2.25 02/01/23 395,000 ---AAA 08/01/19 ---- 6 961114NG6 Municipal WESTON CT 3.15 08/01/22 500,000 Aaa 11/21/18 ------- 45 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 - 41 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 - 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 18 809557BB6 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.50 02/01/23 120,000 ---AAA 04/04/18 ---- 26 161664HD2 Municipal CHASKA MN 2.40 02/01/24 150,000 ---AA 11/02/17 ---- 16 161664HC4 Municipal CHASKA MN 2.25 02/01/23 145,000 ---AA 11/02/17 ---- 7 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 ---- 17 73723RSP9 Municipal PORTSMOUTH VA 3.09 02/01/23 500,000 Aa2 05/24/13 -AA 05/24/13 -AA 05/21/13 - 11 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 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 7 3130A6AP2 FEDERAL HOME LOAN BANK 1.4%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.94 100.09 754 2.58 1.79 0.2 0.2 0.0 9 3133ELGN8 FEDERAL FARM CREDIT BANK 1.7%1.60 10/13/22 Aaa AA+-Bullet 600,000 01/13/20 99.97 100.00 99.86 (819)1.61 2.09 0.3 0.3 0.0 23 313383YJ4 FEDERAL HOME LOAN BANK 0.6%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 100.61 100.51 (198)2.85 2.93 1.2 1.1 0.0 24 3133EMBS0 FEDERAL FARM CREDIT BANK 1.4%0.20 10/02/23 Aaa AA+-Bullet 500,000 10/02/20 99.97 99.99 96.73 (16,267)0.21 2.87 1.3 1.2 0.0 25 3133EJQA0 FEDERAL FARM CREDIT BANK 1.4%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.15 100.13 (120)2.88 2.90 1.3 1.3 0.0 31 3130AGWK7 FEDERAL HOME LOAN BANK 1.5%1.50 08/15/24 Aaa AA+-Bullet 500,000 08/14/20 104.86 102.58 96.93 (28,258)0.28 3.00 2.1 2.1 0.1 34 3134GWKT2 FREDDIE MAC 1.4%0.50 08/26/24 Aaa -08/26/22 Berm 500,000 08/26/20 100.00 100.00 94.89 (25,575)0.50 2.97 2.2 2.1 0.1 35 3134GXNJ9 FREDDIE MAC 1.4%2.22 12/27/24 Aaa AA+07/27/22 Amer 500,000 03/25/22 100.00 100.00 98.12 (9,405)2.22 3.01 2.5 2.1 (0.7) 42 3137EAEX3 FREDDIE MAC 1.4%0.38 09/23/25 Aaa AA+-Bullet 500,000 10/01/20 99.98 99.99 91.79 (40,965)0.38 3.06 3.2 3.2 0.1 45 3133EJD55 FEDERAL FARM CREDIT BANK 1.5%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.63 100.87 1,227 3.14 3.08 4.2 3.9 0.2 47 3130AJ4B2 FEDERAL HOME LOAN BANK 1.5%1.63 03/12/27 Aaa AA+-Bullet 500,000 06/15/20 105.40 103.80 93.70 (50,466)0.80 3.07 4.7 4.4 0.2 48 3130AJRQ4 FEDERAL HOME LOAN BANK 1.4%1.00 06/25/27 Aaa AA+07/05/22 Amer 500,000 06/25/20 100.00 100.00 90.78 (46,089)1.00 3.00 5.0 4.8 0.2 Agency 16.8%1.66 Aaa AA+5,805,000 101.02 100.63 96.91 (216,181)1.47 2.79 2.4 2.2 0.0 50 3138LL5T8 Fannie Mae 1.5%2.96 01/01/28 ----500,000 01/07/22 107.63 107.04 97.69 (46,773)1.65 3.45 5.5 5.2 0.3 52 3138LM6U2 Fannie Mae 1.1%3.44 05/01/28 ----350,000 02/01/22 106.50 106.10 100.27 (20,413)2.33 3.42 5.8 5.3 0.3 58 3140LEEE3 Fannie Mae 2.2%1.99 11/01/31 ----750,000 12/09/21 101.81 101.72 86.56 (113,697)1.81 3.73 9.3 8.6 0.7 CMBS 4.8%2.61 1,600,000 104.65 104.34 93.04 (180,882)1.87 3.56 7.3 6.7 0.5 4 649447TW9 NEW YORK COMMUNITY BANK 0.7%0.30 07/05/22 ---Bullet 249,000 07/01/20 100.00 100.00 99.98 (50)0.30 1.75 0.0 0.0 0.0 5 14042TBH9 CAPITAL ONE BANK USA NA 0.7%2.15 08/01/22 ---Bullet 247,000 07/31/19 100.00 100.00 100.04 94 2.14 1.70 0.1 0.1 0.0 10 32116RAG9 FIRST NATL BANK ORD NEB 0.7%1.25 10/14/22 ---Bullet 249,000 04/14/20 100.00 100.00 99.83 (433)1.25 1.86 0.3 0.3 0.0 21 06654BCK5 BANKWELL BANK 0.7%0.35 07/28/23 ---Bullet 249,000 07/28/20 100.00 100.00 97.31 (6,688)0.35 2.90 1.1 1.0 0.0 33 75472RAE1 RAYMOND JAMES BANK NA 0.7%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 97.29 (6,691)2.00 3.32 2.2 2.1 0.1 37 02589ACJ9 AMERICAN EXPR NATL BK 0.7%2.90 05/05/25 ---Bullet 246,000 05/04/22 100.00 100.00 98.69 (3,226)2.90 3.39 2.8 2.7 0.1 38 14042RQY0 CAPITAL ONE NA 0.7%2.95 05/05/25 ---Bullet 246,000 05/04/22 100.00 100.00 98.82 (2,894)2.95 3.39 2.8 2.7 0.1 Domestic CD 5.0%1.69 1,733,000 100.00 100.00 98.85 (19,889)1.69 2.60 1.3 1.3 0.0 3 94975P405 Allspring Government Money Mar 23.7%1.20 ---Bullet 8,215,652 06/30/22 100.00 100.00 100.00 0 1.20 1.20 0.0 0.0 0.0 2 0008CHAN2 NORTHLAND MM 0.3%0.22 ---Bullet 95,662 06/30/22 100.00 100.00 100.00 0 0.22 0.22 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COMM 6.7%1.25 ---Bullet 2,339,098 06/30/22 100.00 100.00 100.00 0 1.25 1.25 0.0 0.0 0.0 MMF 30.7%1.20 10,650,412 100.00 100.00 100.00 0 1.20 1.20 0.0 0.0 0.0 6 961114NG6 WESTON CT 1.4%3.15 08/01/22 Aaa --Bullet 500,000 04/03/20 104.58 100.17 100.04 (635)1.16 2.63 0.1 0.1 0.0 13 60375BDC7 MINNEAPOLIS MN 1.1%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 100.80 101.00 733 3.05 2.58 0.4 0.4 0.0 11 199492CT4 COLUMBUS OH 1.2%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 100.26 99.85 (1,640)1.70 2.69 0.4 0.4 0.0 12 60375BCD6 MINNEAPOLIS MN 1.0%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 100.93 100.70 (816)2.00 2.56 0.4 0.4 0.0 15 092765EW2 BLAINE MN 1.1%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 99.55 (1,770)2.25 3.02 0.6 0.6 0.0 16 161664HC4 CHASKA MN 0.4%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 99.64 (529)2.25 2.88 0.6 0.6 0.0 17 73723RSP9 PORTSMOUTH VA 1.4%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 100.48 99.92 (2,805)2.25 3.22 0.6 0.6 0.0 18 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0.3%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 99.78 (263)2.50 2.88 0.6 0.6 0.0 19 556583D58 MADISON AL 1.4%1.05 04/01/23 Aa2 AA+-Bullet 495,000 07/21/20 100.39 100.11 98.52 (7,861)0.90 3.05 0.8 0.7 0.0 20 792882BV3 ST PAUL MN 0.7%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 100.91 100.01 (2,245)1.90 2.99 0.8 0.8 0.0 26 161664HD2 CHASKA MN 0.4%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 98.70 (1,956)2.40 3.25 1.6 1.5 0.0 27 579100UL0 MCALLEN TX INDEP SCH DIST 1.5%4.00 02/15/24 Aaa --Bullet 500,000 03/10/22 104.35 103.67 101.12 (12,745)1.70 3.28 1.6 1.5 0.0 28 200003EC1 COMANCHE CNTY OK INDEP SCH DIS 0.9%2.00 03/01/24 -A+-Bullet 300,000 04/06/22 100.56 100.49 97.93 (7,686)1.70 3.27 1.7 1.6 0.0 29 6448007H1 NEW HANOVER CNTY NC 1.4%0.38 06/01/24 Aaa AAA -Bullet 500,000 03/10/22 97.06 97.46 94.74 (13,605)1.73 3.23 1.9 1.9 0.0 30 574193TQ1 MARYLAND ST 1.4%0.51 08/01/24 Aaa AAA -Bullet 500,000 08/05/20 100.24 100.13 94.69 (27,175)0.45 3.16 2.1 2.0 0.0 36 092765EY8 BLAINE MN 1.2%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 101.25 97.98 (13,072)2.05 3.37 2.6 2.5 0.1 39 161035KH2 CHARLOTTE NC 1.5%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 101.64 95.74 (29,515)1.07 3.12 3.0 2.9 0.1 40 6775224C5 OHIO ST 2.0%0.94 08/01/25 Aa1 AA+-Bullet 700,000 06/26/20 101.30 100.79 92.84 (55,692)0.68 3.40 3.1 3.0 0.1 41 4095585H2 HAMPTON VA 1.8%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 102.09 102.22 810 3.30 3.26 3.2 2.9 0.1 43 35880CD68 FRISCO TX INDEP SCH DIST 0.4%1.21 02/15/26 Aaa AAA -Bullet 150,000 07/15/20 101.42 100.93 92.57 (12,537)0.95 3.41 3.6 3.5 0.1 44 98267AEM7 WYANDOTTE CNTY/KANS CITY KANUN 0.9%1.30 08/01/26 A1 AA -Bullet 300,000 12/15/21 99.55 99.60 91.25 (25,071)1.40 3.62 4.1 3.9 0.2 46 35880CD76 FRISCO TX INDEP SCH DIST 0.7%1.36 02/15/27 Aaa AAA -Bullet 225,000 07/15/20 101.53 101.09 90.97 (22,766)1.12 3.49 4.6 4.4 0.2 49 059189D23 BALTIMORE MD 1.6%4.00 10/15/27 Aa2 AA -Bullet 500,000 11/24/21 113.32 112.02 101.84 (50,925)1.62 3.61 5.3 4.7 0.3 51 13063DC48 CALIFORNIA ST 1.4%1.70 02/01/28 Aa2 AA--Bullet 500,000 03/01/22 96.05 96.26 89.87 (31,955)2.42 3.73 5.6 5.2 0.3 53 602245YZ9 MILWAUKEE CNTY WI 5.8%3.43 12/01/28 Aa2 AA 12/01/22 Euro 2,000,000 04/28/22 101.07 100.76 100.34 (8,480)1.60 2.62 6.4 0.4 0.0 54 265138LK1 DUNCANVILLE TX INDEP SCH DIST 1.7%5.00 02/15/30 Aaa AAA -Bullet 500,000 03/24/22 119.38 118.78 107.89 (54,465)2.30 3.80 7.6 6.3 0.5 55 052430TS4 AUSTIN TX INDEP SCH DIST 2.7%3.00 08/01/30 Aaa --Bullet 870,000 02/23/22 106.13 105.90 94.37 (100,285)2.20 3.82 8.1 7.0 0.5 56 1073358S3 BRENTWOOD TN 0.9%2.00 09/01/30 Aaa AAA -Bullet 290,000 12/13/21 102.17 102.05 87.38 (42,537)1.73 3.81 8.2 7.3 0.5 57 787758C74 SAINT CHARLES IL 1.5%1.90 12/01/30 Aa1 --Bullet 520,000 12/30/21 100.82 100.78 84.12 (86,622)1.80 4.15 8.4 7.6 0.5 Municipals 39.8%2.64 Aa1 AA+13,530,000 103.12 101.97 97.43 (614,108)1.76 3.19 3.8 2.5 0.1 8 91282CAN1 US TREASURY N/B 0.7%0.13 09/30/22 Aaa --Bullet 250,000 02/25/22 99.75 99.89 99.58 (775)0.55 1.79 0.3 0.3 0.0 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 14 91282CBG5 US TREASURY N/B 0.7%0.13 01/31/23 Aaa --Bullet 250,000 02/25/22 99.27 99.54 98.58 (2,398)0.92 2.59 0.6 0.6 0.0 22 91282CCU3 US TREASURY N/B 0.7%0.13 08/31/23 ---Bullet 250,000 02/25/22 98.27 98.65 96.78 (4,680)1.29 2.95 1.2 1.1 0.0 32 91282CCT6 US TREASURY N/B 0.7%0.38 08/15/24 Aaa --Bullet 250,000 02/25/22 97.13 97.52 94.68 (7,091)1.57 2.97 2.1 2.1 0.1 Treasury 2.9%0.19 Aaa 1,000,000 98.60 98.90 97.41 (14,944)1.08 2.57 1.0 1.0 0.0 Total Portfolio 100.0%1.91 34,318,412 101.58 101.05 98.01 (1,046,006)1.52 2.46 2.4 1.8 0.1 Portfolio Analysis 12 Positions by Maturity %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 2 0008CHAN2 NORTHLAND MM 0%0.22 ---Bullet 95,662 06/30/22 100.00 100.00 100.00 0 0.22 0.22 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COMM 7%1.25 ---Bullet 2,339,098 06/30/22 100.00 100.00 100.00 0 1.25 1.25 0.0 0.0 0.0 3 94975P405 Allspring Government Money Mar 24%1.20 ---Bullet 8,215,652 06/30/22 100.00 100.00 100.00 0 1.20 1.20 0.0 0.0 0.0 4 649447TW9 NEW YORK COMMUNITY BANK 1%0.30 07/05/22 ---Bullet 249,000 07/01/20 100.00 100.00 99.98 (50)0.30 1.75 0.0 0.0 0.0 6 961114NG6 WESTON CT 1%3.15 08/01/22 Aaa --Bullet 500,000 04/03/20 104.58 100.17 100.04 (635)1.16 2.63 0.1 0.1 0.0 5 14042TBH9 CAPITAL ONE BANK USA NA 1%2.15 08/01/22 ---Bullet 247,000 07/31/19 100.00 100.00 100.04 94 2.14 1.70 0.1 0.1 0.0 7 3130A6AP2 FEDERAL HOME LOAN BANK 1%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.94 100.09 754 2.58 1.79 0.2 0.2 0.0 8 91282CAN1 US TREASURY N/B 1%0.13 09/30/22 Aaa --Bullet 250,000 02/25/22 99.75 99.89 99.58 (775)0.55 1.79 0.3 0.3 0.0 9 3133ELGN8 FEDERAL FARM CREDIT BANK 2%1.60 10/13/22 Aaa AA+-Bullet 600,000 01/13/20 99.97 100.00 99.86 (819)1.61 2.09 0.3 0.3 0.0 10 32116RAG9 FIRST NATL BANK ORD NEB 1%1.25 10/14/22 ---Bullet 249,000 04/14/20 100.00 100.00 99.83 (433)1.25 1.86 0.3 0.3 0.0 11 199492CT4 COLUMBUS OH 1%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 100.26 99.85 (1,640)1.70 2.69 0.4 0.4 0.0 12 60375BCD6 MINNEAPOLIS MN 1%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 100.93 100.70 (816)2.00 2.56 0.4 0.4 0.0 13 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 100.80 101.00 733 3.05 2.58 0.4 0.4 0.0 14 91282CBG5 US TREASURY N/B 1%0.13 01/31/23 Aaa --Bullet 250,000 02/25/22 99.27 99.54 98.58 (2,398)0.92 2.59 0.6 0.6 0.0 15 092765EW2 BLAINE MN 1%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 99.55 (1,770)2.25 3.02 0.6 0.6 0.0 16 161664HC4 CHASKA MN 0%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 99.64 (529)2.25 2.88 0.6 0.6 0.0 17 73723RSP9 PORTSMOUTH VA 1%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 100.48 99.92 (2,805)2.25 3.22 0.6 0.6 0.0 18 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 99.78 (263)2.50 2.88 0.6 0.6 0.0 19 556583D58 MADISON AL 1%1.05 04/01/23 Aa2 AA+-Bullet 495,000 07/21/20 100.39 100.11 98.52 (7,861)0.90 3.05 0.8 0.7 0.0 20 792882BV3 ST PAUL MN 1%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 100.91 100.01 (2,245)1.90 2.99 0.8 0.8 0.0 Year 1 48%1.58 16,520,412 100.67 100.07 99.94 (21,458)1.39 1.66 0.1 0.1 0.0 21 06654BCK5 BANKWELL BANK 1%0.35 07/28/23 ---Bullet 249,000 07/28/20 100.00 100.00 97.31 (6,688)0.35 2.90 1.1 1.0 0.0 22 91282CCU3 US TREASURY N/B 1%0.13 08/31/23 ---Bullet 250,000 02/25/22 98.27 98.65 96.78 (4,680)1.29 2.95 1.2 1.1 0.0 23 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 100.61 100.51 (198)2.85 2.93 1.2 1.1 0.0 24 3133EMBS0 FEDERAL FARM CREDIT BANK 1%0.20 10/02/23 Aaa AA+-Bullet 500,000 10/02/20 99.97 99.99 96.73 (16,267)0.21 2.87 1.3 1.2 0.0 25 3133EJQA0 FEDERAL FARM CREDIT BANK 1%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.15 100.13 (120)2.88 2.90 1.3 1.3 0.0 26 161664HD2 CHASKA MN 0%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 98.70 (1,956)2.40 3.25 1.6 1.5 0.0 27 579100UL0 MCALLEN TX INDEP SCH DIST 1%4.00 02/15/24 Aaa --Bullet 500,000 03/10/22 104.35 103.67 101.12 (12,745)1.70 3.28 1.6 1.5 0.0 28 200003EC1 COMANCHE CNTY OK INDEP SCH DIS 1%2.00 03/01/24 -A+-Bullet 300,000 04/06/22 100.56 100.49 97.93 (7,686)1.70 3.27 1.7 1.6 0.0 29 6448007H1 NEW HANOVER CNTY NC 1%0.38 06/01/24 Aaa AAA -Bullet 500,000 03/10/22 97.06 97.46 94.74 (13,605)1.73 3.23 1.9 1.9 0.0 Year 2 9%1.76 3,154,000 100.39 100.18 98.15 (63,946)1.63 3.07 1.5 1.4 0.0 30 574193TQ1 MARYLAND ST 1%0.51 08/01/24 Aaa AAA -Bullet 500,000 08/05/20 100.24 100.13 94.69 (27,175)0.45 3.16 2.1 2.0 0.0 31 3130AGWK7 FEDERAL HOME LOAN BANK 1%1.50 08/15/24 Aaa AA+-Bullet 500,000 08/14/20 104.86 102.58 96.93 (28,258)0.28 3.00 2.1 2.1 0.1 32 91282CCT6 US TREASURY N/B 1%0.38 08/15/24 Aaa --Bullet 250,000 02/25/22 97.13 97.52 94.68 (7,091)1.57 2.97 2.1 2.1 0.1 33 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 97.29 (6,691)2.00 3.32 2.2 2.1 0.1 34 3134GWKT2 FREDDIE MAC 1%0.50 08/26/24 Aaa -08/26/22 Berm 500,000 08/26/20 100.00 100.00 94.89 (25,575)0.50 2.97 2.2 2.1 0.1 35 3134GXNJ9 FREDDIE MAC 1%2.22 12/27/24 Aaa AA+07/27/22 Amer 500,000 03/25/22 100.00 100.00 98.12 (9,405)2.22 3.01 2.5 2.1 (0.7) 36 092765EY8 BLAINE MN 1%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 101.25 97.98 (13,072)2.05 3.37 2.6 2.5 0.1 37 02589ACJ9 AMERICAN EXPR NATL BK 1%2.90 05/05/25 ---Bullet 246,000 05/04/22 100.00 100.00 98.69 (3,226)2.90 3.39 2.8 2.7 0.1 38 14042RQY0 CAPITAL ONE NA 1%2.95 05/05/25 ---Bullet 246,000 05/04/22 100.00 100.00 98.82 (2,894)2.95 3.39 2.8 2.7 0.1 Year 3 10%1.60 3,389,000 100.83 100.36 96.72 (123,388)1.43 3.14 2.3 2.2 (0.1) 39 161035KH2 CHARLOTTE NC 1%1.62 07/01/25 Aaa AAA -Bullet 500,000 03/19/20 102.86 101.64 95.74 (29,515)1.07 3.12 3.0 2.9 0.1 40 6775224C5 OHIO ST 2%0.94 08/01/25 Aa1 AA+-Bullet 700,000 06/26/20 101.30 100.79 92.84 (55,692)0.68 3.40 3.1 3.0 0.1 41 4095585H2 HAMPTON VA 2%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 102.09 102.22 810 3.30 3.26 3.2 2.9 0.1 42 3137EAEX3 FREDDIE MAC 1%0.38 09/23/25 Aaa AA+-Bullet 500,000 10/01/20 99.98 99.99 91.79 (40,965)0.38 3.06 3.2 3.2 0.1 43 35880CD68 FRISCO TX INDEP SCH DIST 0%1.21 02/15/26 Aaa AAA -Bullet 150,000 07/15/20 101.42 100.93 92.57 (12,537)0.95 3.41 3.6 3.5 0.1 Year 4 7%1.73 2,450,000 102.12 101.13 95.50 (137,899)1.36 3.24 3.2 3.0 0.1 44 98267AEM7 WYANDOTTE CNTY/KANS CITY KANUN 1%1.30 08/01/26 A1 AA -Bullet 300,000 12/15/21 99.55 99.60 91.25 (25,071)1.40 3.62 4.1 3.9 0.2 45 3133EJD55 FEDERAL FARM CREDIT BANK 1%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.63 100.87 1,227 3.14 3.08 4.2 3.9 0.2 46 35880CD76 FRISCO TX INDEP SCH DIST 1%1.36 02/15/27 Aaa AAA -Bullet 225,000 07/15/20 101.53 101.09 90.97 (22,766)1.12 3.49 4.6 4.4 0.2 47 3130AJ4B2 FEDERAL HOME LOAN BANK 1%1.63 03/12/27 Aaa AA+-Bullet 500,000 06/15/20 105.40 103.80 93.70 (50,466)0.80 3.07 4.7 4.4 0.2 48 3130AJRQ4 FEDERAL HOME LOAN BANK 1%1.00 06/25/27 Aaa AA+07/05/22 Amer 500,000 06/25/20 100.00 100.00 90.78 (46,089)1.00 3.00 5.0 4.8 0.2 Year 5 6%1.81 2,025,000 101.71 101.15 94.08 (143,164)1.55 3.18 4.6 4.3 0.2 49 059189D23 BALTIMORE MD 2%4.00 10/15/27 Aa2 AA -Bullet 500,000 11/24/21 113.32 112.02 101.84 (50,925)1.62 3.61 5.3 4.7 0.3 50 3138LL5T8 Fannie Mae 2%2.96 01/01/28 ----500,000 01/07/22 107.63 107.04 97.69 (46,773)1.65 3.45 5.5 5.2 0.3 51 13063DC48 CALIFORNIA ST 1%1.70 02/01/28 Aa2 AA--Bullet 500,000 03/01/22 96.05 96.26 89.87 (31,955)2.42 3.73 5.6 5.2 0.3 52 3138LM6U2 Fannie Mae 1%3.44 05/01/28 ----350,000 02/01/22 106.50 106.10 100.27 (20,413)2.33 3.42 5.8 5.3 0.3 Year 6 6%2.99 1,850,000 105.82 105.29 97.18 (150,066)1.96 3.56 5.5 5.1 0.3 53 602245YZ9 MILWAUKEE CNTY WI 6%3.43 12/01/28 Aa2 AA 12/01/22 Euro 2,000,000 04/28/22 101.07 100.76 100.34 (8,480)1.60 2.62 6.4 0.4 0.0 Year 7 6%3.43 2,000,000 101.07 100.76 100.34 (8,480)1.60 2.62 6.4 0.4 0.0 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 54 265138LK1 DUNCANVILLE TX INDEP SCH DIST 2%5.00 02/15/30 Aaa AAA -Bullet 500,000 03/24/22 119.38 118.78 107.89 (54,465)2.30 3.80 7.6 6.3 0.5 Year 8 2%5.00 500,000 119.38 118.78 107.89 (54,465)2.30 3.80 7.6 6.3 0.5 55 052430TS4 AUSTIN TX INDEP SCH DIST 3%3.00 08/01/30 Aaa --Bullet 870,000 02/23/22 106.13 105.90 94.37 (100,285)2.20 3.82 8.1 7.0 0.5 56 1073358S3 BRENTWOOD TN 1%2.00 09/01/30 Aaa AAA -Bullet 290,000 12/13/21 102.17 102.05 87.38 (42,537)1.73 3.81 8.2 7.3 0.5 57 787758C74 SAINT CHARLES IL 2%1.90 12/01/30 Aa1 --Bullet 520,000 12/30/21 100.82 100.78 84.12 (86,622)1.80 4.15 8.4 7.6 0.5 Year 9 5%2.49 1,680,000 103.80 103.65 89.99 (229,444)2.00 3.91 8.2 7.2 0.5 58 3140LEEE3 Fannie Mae 2%1.99 11/01/31 ----750,000 12/09/21 101.81 101.72 86.56 (113,697)1.81 3.73 9.3 8.6 0.7 Year 10 2%1.99 750,000 101.81 101.72 86.56 (113,697)1.81 3.73 9.3 8.6 0.7 Total Portfolio 100%1.91 34,318,412 101.58 101.05 98.01 (1,046,006)1.52 2.46 2.4 1.8 0.1 Portfolio Analysis 14 Positions by Maturity - Scenario Analysis Market Price (%∆)Book Yield Effective Duration %Final DN DN UP UP DN DN Base UP UP DN DN Base UP UP ID CUSIP Issuer Port Cpn Maturity Par WAM DN 50 DN 25 UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 2 0008CHAN2 NORTHLAND MM 0%0.22 95,662 0.0 0.0 0.0 0.0 0.0 0.22 0.22 0.22 0.22 0.22 0.0 0.0 0.0 0.0 0.0 1 0006CHAN8 AMERICANA COMM 7%1.25 2,339,098 0.0 0.0 0.0 0.0 0.0 1.25 1.25 1.25 1.25 1.25 0.0 0.0 0.0 0.0 0.0 3 94975P405 Allspring Government Money Mar 24%1.20 8,215,652 0.0 0.0 0.0 0.0 0.0 1.20 1.20 1.20 1.20 1.20 0.0 0.0 0.0 0.0 0.0 4 649447TW9 NEW YORK COMMUNITY BANK 1%0.30 07/05/22 249,000 0.0 0.0 0.0 (0.0)(0.0)0.30 0.30 0.30 0.30 0.30 0.0 0.0 0.0 0.0 0.0 6 961114NG6 WESTON CT 1%3.15 08/01/22 500,000 0.1 0.0 0.0 (0.0)(0.0)1.16 1.16 1.16 1.16 1.16 0.1 0.1 0.1 0.1 0.1 5 14042TBH9 CAPITAL ONE BANK USA NA 1%2.15 08/01/22 247,000 0.1 0.0 0.0 (0.0)(0.0)2.14 2.14 2.14 2.14 2.14 0.1 0.1 0.1 0.1 0.1 7 3130A6AP2 FEDERAL HOME LOAN BANK 1%2.25 09/09/22 500,000 0.2 0.1 0.0 (0.0)(0.1)2.58 2.58 2.58 2.58 2.58 0.2 0.2 0.2 0.2 0.2 8 91282CAN1 US TREASURY N/B 1%0.13 09/30/22 250,000 0.3 0.1 0.1 (0.1)(0.1)0.55 0.55 0.55 0.55 0.55 0.3 0.3 0.3 0.3 0.3 9 3133ELGN8 FEDERAL FARM CREDIT BANK 2%1.60 10/13/22 600,000 0.3 0.1 0.1 (0.1)(0.1)1.61 1.61 1.61 1.61 1.61 0.3 0.3 0.3 0.3 0.3 10 32116RAG9 FIRST NATL BANK ORD NEB 1%1.25 10/14/22 249,000 0.3 0.1 0.1 (0.1)(0.1)1.25 1.25 1.25 1.25 1.25 0.3 0.3 0.3 0.3 0.3 11 199492CT4 COLUMBUS OH 1%2.33 12/01/22 400,000 0.4 0.2 0.1 (0.1)(0.2)1.70 1.70 1.70 1.70 1.70 0.4 0.4 0.4 0.4 0.4 12 60375BCD6 MINNEAPOLIS MN 1%4.25 12/01/22 350,000 0.4 0.2 0.1 (0.1)(0.2)2.00 2.00 2.00 2.00 2.00 0.4 0.4 0.4 0.4 0.4 13 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 370,000 0.4 0.2 0.1 (0.1)(0.2)3.05 3.05 3.05 3.05 3.05 0.4 0.4 0.4 0.4 0.4 14 91282CBG5 US TREASURY N/B 1%0.13 01/31/23 250,000 0.6 0.3 0.1 (0.1)(0.3)0.92 0.92 0.92 0.92 0.92 0.6 0.6 0.6 0.6 0.6 15 092765EW2 BLAINE MN 1%2.25 02/01/23 395,000 0.6 0.3 0.1 (0.1)(0.3)2.25 2.25 2.25 2.25 2.25 0.6 0.6 0.6 0.6 0.6 16 161664HC4 CHASKA MN 0%2.25 02/01/23 145,000 0.6 0.3 0.1 (0.1)(0.3)2.25 2.25 2.25 2.25 2.25 0.6 0.6 0.6 0.6 0.6 17 73723RSP9 PORTSMOUTH VA 1%3.09 02/01/23 500,000 0.6 0.3 0.1 (0.1)(0.3)2.25 2.25 2.25 2.25 2.25 0.6 0.6 0.6 0.6 0.6 18 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 120,000 0.6 0.3 0.1 (0.1)(0.3)2.50 2.50 2.50 2.50 2.50 0.6 0.6 0.6 0.6 0.6 19 556583D58 MADISON AL 1%1.05 04/01/23 495,000 0.8 0.4 0.2 (0.2)(0.4)0.90 0.90 0.90 0.90 0.90 0.7 0.7 0.7 0.7 0.7 20 792882BV3 ST PAUL MN 1%3.00 05/01/23 250,000 0.8 0.4 0.2 (0.2)(0.4)1.90 1.90 1.90 1.90 1.90 0.8 0.8 0.8 0.8 0.8 Year 1 48%1.58 16,520,412 0.1 0.1 0.0 (0.0)(0.1)1.39 1.39 1.39 1.39 1.39 0.1 0.1 0.1 0.1 0.1 21 06654BCK5 BANKWELL BANK 1%0.35 07/28/23 249,000 1.1 0.5 0.3 (0.3)(0.5)0.35 0.35 0.35 0.35 0.35 1.1 1.1 1.0 1.0 1.0 22 91282CCU3 US TREASURY N/B 1%0.13 08/31/23 250,000 1.2 0.6 0.3 (0.3)(0.6)1.29 1.29 1.29 1.29 1.29 1.1 1.1 1.1 1.1 1.1 23 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 205,000 1.2 0.6 0.3 (0.3)(0.6)2.85 2.85 2.85 2.85 2.85 1.1 1.1 1.1 1.1 1.1 24 3133EMBS0 FEDERAL FARM CREDIT BANK 1%0.20 10/02/23 500,000 1.3 0.6 0.3 (0.3)(0.6)0.21 0.21 0.21 0.21 0.21 1.2 1.2 1.2 1.2 1.2 25 3133EJQA0 FEDERAL FARM CREDIT BANK 1%3.00 10/23/23 500,000 1.3 0.6 0.3 (0.3)(0.6)2.88 2.88 2.88 2.88 2.88 1.3 1.3 1.3 1.3 1.3 26 161664HD2 CHASKA MN 0%2.40 02/01/24 150,000 1.6 0.8 0.4 (0.4)(0.8)2.40 2.40 2.40 2.40 2.40 1.5 1.5 1.5 1.5 1.5 27 579100UL0 MCALLEN TX INDEP SCH DIST 1%4.00 02/15/24 500,000 1.6 0.8 0.4 (0.4)(0.8)1.70 1.70 1.70 1.70 1.70 1.5 1.5 1.5 1.5 1.5 28 200003EC1 COMANCHE CNTY OK INDEP SCH DIS 1%2.00 03/01/24 300,000 1.7 0.8 0.4 (0.4)(0.8)1.70 1.70 1.70 1.70 1.70 1.6 1.6 1.6 1.6 1.6 29 6448007H1 NEW HANOVER CNTY NC 1%0.38 06/01/24 500,000 1.9 0.9 0.5 (0.5)(0.9)1.73 1.73 1.73 1.73 1.73 1.9 1.9 1.9 1.9 1.9 Year 2 9%1.76 3,154,000 1.5 0.7 0.4 (0.4)(0.7)1.63 1.63 1.63 1.63 1.63 1.4 1.4 1.4 1.4 1.4 30 574193TQ1 MARYLAND ST 1%0.51 08/01/24 500,000 2.1 1.0 0.5 (0.5)(1.0)0.45 0.45 0.45 0.45 0.45 2.0 2.0 2.0 2.0 2.0 31 3130AGWK7 FEDERAL HOME LOAN BANK 1%1.50 08/15/24 500,000 2.1 1.0 0.5 (0.5)(1.0)0.28 0.28 0.28 0.28 0.28 2.1 2.1 2.1 2.0 2.0 32 91282CCT6 US TREASURY N/B 1%0.38 08/15/24 250,000 2.1 1.0 0.5 (0.5)(1.0)1.57 1.57 1.57 1.57 1.57 2.1 2.1 2.1 2.1 2.1 33 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 247,000 2.2 1.0 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 34 3134GWKT2 FREDDIE MAC 1%0.50 08/26/24 500,000 2.2 1.1 0.5 (0.5)(1.0)0.50 0.50 0.50 0.50 0.50 2.1 2.1 2.1 2.1 2.1 35 3134GXNJ9 FREDDIE MAC 1%2.22 12/27/24 500,000 2.5 0.9 0.5 (0.5)(1.1)2.22 2.22 2.22 2.22 2.22 1.6 1.9 2.1 2.2 2.3 36 092765EY8 BLAINE MN 1%2.55 02/01/25 400,000 2.6 1.2 0.6 (0.6)(1.2)2.05 2.05 2.05 2.05 2.05 2.5 2.5 2.5 2.4 2.4 37 02589ACJ9 AMERICAN EXPR NATL BK 1%2.90 05/05/25 246,000 2.8 1.4 0.7 (0.7)(1.3)2.90 2.90 2.90 2.90 2.90 2.7 2.7 2.7 2.7 2.7 38 14042RQY0 CAPITAL ONE NA 1%2.95 05/05/25 246,000 2.8 1.4 0.7 (0.7)(1.3)2.95 2.95 2.95 2.95 2.95 2.7 2.7 2.7 2.7 2.7 Year 3 10%1.60 3,389,000 2.3 1.1 0.6 (0.6)(1.1)1.43 1.43 1.43 1.43 1.43 2.1 2.2 2.2 2.2 2.2 39 161035KH2 CHARLOTTE NC 1%1.62 07/01/25 500,000 3.0 1.5 0.7 (0.7)(1.4)1.07 1.07 1.07 1.07 1.07 2.9 2.9 2.9 2.9 2.9 40 6775224C5 OHIO ST 2%0.94 08/01/25 700,000 3.1 1.5 0.8 (0.7)(1.5)0.68 0.68 0.68 0.68 0.68 3.0 3.0 3.0 3.0 3.0 41 4095585H2 HAMPTON VA 2%4.00 09/01/25 600,000 3.2 1.5 0.7 (0.7)(1.5)3.30 3.30 3.30 3.30 3.30 2.9 2.9 2.9 2.9 2.9 42 3137EAEX3 FREDDIE MAC 1%0.38 09/23/25 500,000 3.2 1.6 0.8 (0.8)(1.6)0.38 0.38 0.38 0.38 0.38 3.2 3.2 3.2 3.1 3.1 43 35880CD68 FRISCO TX INDEP SCH DIST 0%1.21 02/15/26 150,000 3.6 1.8 0.9 (0.9)(1.7)0.95 0.95 0.95 0.95 0.95 3.5 3.5 3.5 3.5 3.5 Year 4 7%1.73 2,450,000 3.2 1.5 0.8 (0.8)(1.5)1.36 1.36 1.36 1.36 1.36 3.0 3.0 3.0 3.0 3.0 44 98267AEM7 WYANDOTTE CNTY/KANS CITY KANUN 1%1.30 08/01/26 300,000 4.1 2.0 1.0 (1.0)(1.9)1.40 1.40 1.40 1.40 1.40 3.9 3.9 3.9 3.9 3.9 45 3133EJD55 FEDERAL FARM CREDIT BANK 1%3.30 09/28/26 500,000 4.2 2.0 1.0 (1.0)(1.9)3.14 3.14 3.14 3.14 3.14 3.9 3.9 3.9 3.9 3.9 46 35880CD76 FRISCO TX INDEP SCH DIST 1%1.36 02/15/27 225,000 4.6 2.2 1.1 (1.1)(2.2)1.12 1.12 1.12 1.12 1.12 4.4 4.4 4.4 4.4 4.4 47 3130AJ4B2 FEDERAL HOME LOAN BANK 1%1.63 03/12/27 500,000 4.7 2.3 1.1 (1.1)(2.2)0.80 0.80 0.80 0.80 0.80 4.4 4.4 4.4 4.4 4.4 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 48 3130AJRQ4 FEDERAL HOME LOAN BANK 1%1.00 06/25/27 500,000 5.0 2.4 1.2 (1.2)(2.4)1.00 1.00 1.00 1.00 1.00 4.8 4.8 4.8 4.8 4.8 Year 5 6%1.81 2,025,000 4.6 2.2 1.1 (1.1)(2.1)1.55 1.55 1.55 1.55 1.55 4.3 4.3 4.3 4.3 4.3 49 059189D23 BALTIMORE MD 2%4.00 10/15/27 500,000 5.3 2.4 1.2 (1.2)(2.3)1.62 1.62 1.62 1.62 1.62 4.7 4.7 4.7 4.7 4.7 50 3138LL5T8 Fannie Mae 2%2.96 01/01/28 500,000 5.5 2.6 1.3 (1.3)(2.6)1.65 1.65 1.65 1.65 1.65 5.2 5.2 5.2 5.2 5.2 51 13063DC48 CALIFORNIA ST 1%1.70 02/01/28 500,000 5.6 2.7 1.3 (1.3)(2.6)2.42 2.42 2.42 2.42 2.42 5.2 5.2 5.2 5.2 5.2 52 3138LM6U2 Fannie Mae 1%3.44 05/01/28 350,000 5.8 2.7 1.3 (1.3)(2.6)2.33 2.33 2.33 2.33 2.33 5.3 5.3 5.3 5.3 5.3 Year 6 6%2.99 1,850,000 5.5 2.6 1.3 (1.3)(2.5)1.96 1.96 1.96 1.96 1.96 5.1 5.1 5.1 5.1 5.1 53 602245YZ9 MILWAUKEE CNTY WI 6%3.43 12/01/28 2,000,000 6.4 0.2 0.1 (0.1)(0.2)1.60 1.60 1.60 1.60 1.60 0.4 0.4 0.4 0.4 0.4 Year 7 6%3.43 2,000,000 6.4 0.2 0.1 (0.1)(0.2)1.60 1.60 1.60 1.60 1.60 0.4 0.4 0.4 0.4 0.4 54 265138LK1 DUNCANVILLE TX INDEP SCH DIST 2%5.00 02/15/30 500,000 7.6 3.3 1.6 (1.6)(3.1)2.30 2.30 2.30 2.30 2.30 6.3 6.3 6.3 6.3 6.3 Year 8 2%5.00 500,000 7.6 3.3 1.6 (1.6)(3.1)2.30 2.30 2.30 2.30 2.30 6.3 6.3 6.3 6.3 6.3 55 052430TS4 AUSTIN TX INDEP SCH DIST 3%3.00 08/01/30 870,000 8.1 3.6 1.8 (1.8)(3.5)2.20 2.20 2.20 2.20 2.20 7.1 7.0 7.0 7.0 7.0 56 1073358S3 BRENTWOOD TN 1%2.00 09/01/30 290,000 8.2 3.8 1.9 (1.8)(3.6)1.73 1.73 1.73 1.73 1.73 7.4 7.4 7.3 7.3 7.3 57 787758C74 SAINT CHARLES IL 2%1.90 12/01/30 520,000 8.4 3.9 1.9 (1.9)(3.7)1.80 1.80 1.80 1.80 1.80 7.6 7.6 7.6 7.6 7.6 Year 9 5%2.49 1,680,000 8.2 3.7 1.8 (1.8)(3.6)2.00 2.00 2.00 2.00 2.00 7.3 7.3 7.2 7.2 7.2 58 3140LEEE3 Fannie Mae 2%1.99 11/01/31 750,000 9.3 4.4 2.2 (2.1)(4.2)1.81 1.81 1.81 1.81 1.81 8.6 8.6 8.6 8.6 8.6 Year 10 2%1.99 750,000 9.3 4.4 2.2 (2.1)(4.2)1.81 1.81 1.81 1.81 1.81 8.6 8.6 8.6 8.6 8.6 Total Portfolio 100%1.91 34,318,412 2.4 0.9 0.4 (0.4)(0.9)1.52 1.52 1.52 1.52 1.52 1.8 1.8 1.8 1.7 1.7 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 4 3%14%1,000,000 0.19 98.90 97.41 (14,944)1.08 2.57 1.0 1.0 0.0 100%--100%--- FHLB 5 6%33%2,205,000 1.76 101.49 95.85 (124,257)1.31 2.72 2.8 2.6 0.1 100%--77%23%-- FHLMC 3 4%22%1,500,000 1.03 100.00 94.93 (75,945)1.03 3.01 2.6 2.4 (0.2)100%--33%33%-33% FFCB 4 6%31%2,100,000 2.00 100.18 99.42 (15,980)1.95 2.70 1.7 1.6 0.1 100%--100%--- Sector Total 16 20%100%6,805,000 1.45 100.38 96.98 (231,126)1.41 2.76 2.2 2.0 0.0 100%78%15%7% FFCB 31% FHLB 33% FHLMC 22% Treasury 14% Bullet 78% Amer 15% Berm 7% 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, 7%Certificate of Deposit, 5% MMF, 64% Municipal, 21% Treasury, 3% 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 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 7 5%100%1.69 1,733,000 100.00 98.85 (19,889)1.69 2.60 1.3 1.3 0.0 Sector Total 7 5%100%1.69 1,733,000 100.00 98.85 (19,889)1.69 2.60 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 2 3%6%895,000 1.62 100.18 99.12 (9,501)1.26 2.89 0.6 0.6 0.0 100%--Aa1 AA+ GO Unlimited 26 37%93%12,515,000 2.72 102.12 97.29 (604,345)1.79 3.22 4.0 2.7 0.1 100%--Aa1 AA+ Revenue 1 0%1%120,000 2.50 100.00 99.78 (263)2.50 2.88 0.6 0.6 0.0 100%--AAA Sector Total 29 40%100%13,530,000 2.64 101.97 97.43 (614,108)1.76 3.19 3.8 2.5 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 32%80%10,985,000 2.51 100.89 97.22 (403,625)1.73 3.10 3.4 2.0 0.1 100%--Aa1 AA+ School District 6 8%20%2,545,000 3.22 106.63 98.36 (210,483)1.91 3.59 5.5 4.7 0.3 100%--Aaa AA+ Sector Total 29 40%100%13,530,000 2.64 101.97 97.43 (614,108)1.76 3.19 3.8 2.5 0.1 100%Aa1 AA+ GO Limited 6% GO Unlimited 93% Revenue 1% Fixed 100% Issuer Coupon Portfolio Analysis 21 CMBS & SBA - Summary Sector Profile Ratings Product Line %% Total Par Bk Mkt Bk Mkt Eff Eff Loan Rem Type Items Port Sector Cpn Amount Price Price G / L Yld Yld OAS Dur Cvx WAL Count CE Moody S&P Fitch IO Fannie Mae 3 5%100%2.61 1,600,000 104.34 93.04 (180,882)1.87 3.56 177 6.7 0.5 7.4 1 ----78 Sector Total 3 5%100%2.61 1,600,000 104.34 93.04 (180,882)1.87 3.56 177 6.7 0.5 7.4 1 78 Collateral Summary Product Line %% Total Collateral Breakdown Collateral Type Loan Status Dlq Dlq Dlq Type Items Port Sector Cpn WAM WALA Loan Size LTV HPI LTV DSCR Office M Fam Retail Hotel Other Foreclose Defeas Prepaid Bnkrpt 30+60+90+ Fannie Mae 3 5%100%2.61 7 31 92,239,625 62 51 2.38 ----100%----0%0%0% Sector Total 3 5%100%2.61 7 31 92,239,625 62 51 2.38 100%0%0%0% Other 100% Fannie Mae 100% Collateral TypeProduct Type Portfolio Analysis 22 MMF: Historical Performance Weighted Average Maturity -WAM (Days) Daily Liquid Assets (%) Weekly Liquid Assets (%) 0 10 20 30 40 50 60 70 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 SEC Threshold GVIXX 0 10 20 30 40 50 60 70 80 90 100 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 SEC Threshold GVIXX 20 30 40 50 60 70 80 90 100 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 SEC Threshold GVIXX * Gates / Fees Threshold -SEC designated thresholds for Money Market Funds Portfolio Analysis 23 MMF: Historical Performance Net Asset Value (NAV)7 Day Yield (%) Expense Ratio (bps)Daily Fund Flows ($000) 0.0000 0.2000 0.4000 0.6000 0.8000 1.0000 1.2000 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 GVIXX 0.00 0.20 0.40 0.60 0.80 1.00 1.20 1.40 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 GVIXX 0.000 0.100 0.200 0.300 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 GVIXX -10,000 -8,000 -6,000 -4,000 -2,000 0 2,000 4,000 6,000 8,000 10,000 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 GVIXX Portfolio Analysis 24 MMF: Fund Profiles Fund Name:Allspring Govt MM Inst - GVIXX AUM Flows ($MM)WAM (Days)WAL (Days)7D Yield (%)DLA (%)WLA (%)Share Class Flows ($MM)MNAV Current 30,481 31 93 1.20 82 84 1,550 1.0000 Previous Month 37,012 25 94 0.59 82 87 125 1.0000 MoM Change (6,531)6 (1)0.61 0 (3)1,425 0.0000 52 Week High 46,233 47 91 0.01 89 91 4,570 1.0000 52 Week Low 37,040 29 85 0.01 78 84 (5,529)1.0000 Portfolio Analysis 25 Strategy Group Contact Information Name Title Phone Email 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 Portfolio Accounting Kamari Hauglid Analyst (612) 667-8818 kamarihauglid@wellsfargo.com Portfolio Analysis 26 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 27 Disclaimer This publication is intended for institutional accounts only. 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