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Investment Report 12-31-15
City of Chanhassen Reid Christianson 12/31/2015 Confidential-For Discussion and General Information Purposes Only Summary Data from BondEdge Par Value ($000):$28,617 Portfolio YTW:1.184 12 Mo Book Income ($000):$306 Mkt Val w/accrd ($000):$28,712 Portfolio Book Yield:1.226 12 Mo Cash Flow ($000):$12,669 Wtg Avg. Mat (Years):1.929 Book Value ($000):$28,652 12 Mo Mat Cash Flow ($000):$12,014 Effective Duration:1.674 Unr Gain/(Loss) ($000):($42)12 Mo Call Cash Flow ($000):$292 Convexity:(.080)% Portfolio Callable:9.010 12 Mo Int Income ($000):$363 % Portfolio Floating Rate:.000 Avg. Coupon (%):1.366 12 Mo Amort Prem/Disc ($000):($23) Number of Bonds:66 Avg. Mkt Price ($):99.977 Current Accrued Interest ($000):$101 Summary Characteristics Performance Characteristics Cash Flow Characteristics Sector Distribution S&P Long-Term Ratings Distribution Moody Long-Term Ratings Distribution ($000)% of Portfolio % of Portfolio % of Portfolio % of Portfolio % of Portfolio Cash Flow Distribution Duration Distribution Coupon Distribution 0 10 20 30 40 50 60 70 80 90 100 AAA AA N/A 0 10 20 30 40 50 60 70 80 90 100 Aaa Aa A N/A 0 10 20 30 40 50 60 70 80 90 100 7,059 1,190 4,420 7,906 7,822 1,284 . 1,000 2,000 3,000 4,000 5,000 6,000 7,000 8,000 9,000 1M 1-3M 3-12M 1-3YR 3-5YR 5-7YR 42 33 19 6 0 10 20 30 40 50 60 70 80 90 100 0.00 - 0.99 1.00 - 2.99 3.00 - 3.99 4.00 - 5.99 38 27 23 7 2 2 0 10 20 30 40 50 60 70 80 90 100 0.00 - 0.991.00 - 1.992.00 - 2.993.00 - 3.994.00 - 4.995.00 - 5.99 History Data from BondEdge Total Par Unrealized Wtg Avg Effective Mkt. Avg.Benchmark Avg Bk Average Average # of Date ($000)G/L ($000)Life(Yrs)Duration Convexity YTW (%)Tsy Yld (%)Yld (%)Coupon(%)Price($)Moody S&P Positions 12/31/2015 28,617 (42)1.93 1.67 (0.08)1.18 0.84 1.23 1.37 100.05 Aa1 AA+66 09/30/2015 27,864 82 2.26 1.86 (0.10)1.01 0.47 1.33 1.48 100.44 Aa1 AA+69 06/30/2015 28,045 43 2.27 1.93 (0.11)1.07 0.66 1.27 1.48 100.49 Aa1 AA+68 03/31/2015 27,818 133 2.14 1.60 (0.15)0.83 0.43 1.21 1.37 100.29 Aa1 AA+61 12/31/2014 30,188 0 2.06 1.69 (0.13)1.11 0.58 1.25 1.43 99.86 Aa1 AA+66 09/30/2014 26,112 (14)2.11 1.96 (0.14)1.14 0.08 1.34 1.59 100.05 Aa1 Aa1 66 06/30/2014 29,255 68 1.74 1.76 (0.13)0.89 0.08 1.19 1.41 100.38 Aa1 Aa1 67 03/31/2014 26,170 37 2.02 1.87 (0.15)0.94 0.07 1.22 1.56 100.76 Aa1 Aa1 61 12/31/2013 33,874 (34)1.53 1.48 (0.09)0.81 0.11 0.95 1.21 100.44 Aa1 Aa1 64 09/30/2013 29,930 43 1.56 1.60 (0.12)0.79 0.15 1.13 1.51 101.00 Aa1 Aa1 62 6/28/2013 31,781 79 1.74 1.65 (0.12)0.78 0.15 1.09 1.49 101.15 Aa1 Aa1 61 03/28/2013 27,258 268 1.75 1.82 (0.09)0.62 0.15 1.25 1.69 102.07 Aa1 Aa1 55 Ratings Historical Performance 0.00 0.20 0.40 0.60 0.80 1.00 1.20 1.40 1.60 12/31/2015 09/30/2015 06/30/2015 03/31/2015 12/31/2014 09/30/2014 06/30/2014 03/31/2014 12/31/2013 09/30/2013 6/28/2013 03/28/2013 Avg Bk Yld(%)Avg Benchmark Tsy Yld(%) Positions by Sector Data from BondEdge Sector CUSIP Issuer Coupon( %)Maturity Par ($000)Moody's S&P Call Date Acq Price($)Acq Date Mkt Price MV w/o Acc (000)Bk Price Gain/Loss( $000)Port %Mkt YTW(%) Book Yield(%)Eff Dur Conv 313370TW8 FEDERAL HOME LOAN BANKS 2.00 09/09/2016 500 Aaa AA+N/A 105.39 07/12/2012 100.84 504 100.90 (0)1.77 0.77 0.68 0.69 0.00 3134G3ZK9 FEDERAL HOME LN MTG CORP 1.20 07/30/2018 240 Aaa AA+N/A 100.00 07/30/2012 99.40 239 100.00 (1)0.84 1.44 1.20 2.52 0.04 31358BAA6 FEDERAL NATL MTG ASSN PRIN S 0.00 02/01/2019 1,155 Aaa AA+N/A 91.43 06/19/2014 94.13 1,087 94.19 (1)3.79 1.97 1.95 3.07 0.05 3135G0UR2 FEDERAL NATL MTG ASSN 1.50 02/26/2019 600 Aaa AA+02/26/2016 99.03 03/10/2014 100.15 601 99.37 5 2.10 0.51 1.71 1.29 (1.10) 3136FTR68 FEDERAL NATL MTG ASSN 1.65 02/28/2019 500 Aaa AA+N/A 99.68 03/05/2012 100.29 501 99.85 2 1.76 1.56 1.70 3.07 0.05 76116FAA5 RESOLUTION FDG FED BK PRIN S 0.00 10/15/2019 638 Aaa AA+N/A 91.69 12/10/2014 93.10 594 93.44 (2)2.07 1.90 1.80 3.78 0.08 3136G22K2 FEDERAL NATL MTG ASSN 2.00 11/20/2019 500 Aaa AA+05/20/2016 100.00 05/20/2014 100.36 502 100.00 2 1.75 1.06 2.00 1.75 (1.16) 313400BV4 FEDERAL HOME LN MTG CORP 0.00 11/29/2019 560 Aaa AA-N/A 92.56 08/05/2015 92.09 516 93.23 (6)1.80 2.12 1.80 3.90 0.08 3133EEB82 FEDERAL FARM CR BKS 1.68 01/23/2020 500 Aaa AA+07/23/2015 100.00 04/23/2015 99.41 497 100.00 (3)1.74 1.83 1.68 2.09 (1.32) 3136G2FJ1 FEDERAL NATL MTG ASSN 2.00 09/18/2020 480 Aaa AA+03/18/2016 100.00 03/18/2015 100.17 481 100.00 1 1.68 1.18 2.00 1.80 (1.38) 3133EEYH7 FEDERAL FARM CR BKS 2.00 01/13/2021 292 Aaa AA+07/13/2015 99.86 05/11/2015 100.00 292 99.87 0 1.03 1.95 2.03 2.03 (1.82) 742651DJ8 PRIVATE EXPT FDG CORP 4.30 12/15/2021 600 Aaa AA+N/A 114.14 04/29/2015 109.75 659 112.79 (18)2.30 2.53 2.01 5.34 0.16Govt 1.37 3.66 6,565 98.59 6,472 98.93 (22)22.62 1.61 1.75 2.74 (0.43) 8562844F8 STATE BK INDIA NEW YORK NY 0.40 01/26/2016 249 N/A N/A N/A 100.00 06/26/2015 100.00 249 100.00 (0)0.87 0.48 0.41 0.07 0.00 72651LAP9 PLAINS COMM BK HOVEN S D 0.25 01/28/2016 249 N/A N/A N/A 100.00 04/28/2015 99.99 249 100.00 (0)0.87 0.44 0.25 0.08 0.00 12738RBY9 CADENCE BK N A BIRMINGHAM AL 0.25 01/29/2016 249 N/A N/A N/A 100.00 04/29/2015 99.99 249 100.00 (0)0.87 0.44 0.25 0.08 0.00 23204HCN6 CUSTOMERS BK PHOENIXVILLE PA 0.50 03/29/2016 249 N/A N/A N/A 100.00 06/29/2015 99.98 249 100.00 (0)0.87 0.60 0.51 0.24 0.00 33583CPU7 FIRST NIAGARA BK N A NY 0.40 05/13/2016 249 N/A N/A N/A 100.00 05/15/2015 99.93 249 100.00 (0)0.87 0.59 0.41 0.37 0.00 92937CCY2 WEX BK MIDVALE UTAH 0.45 05/13/2016 248 N/A N/A N/A 100.00 05/14/2015 100.00 248 100.00 0 0.87 0.46 0.46 0.37 0.00 06279HDE0 BANK INDIA NEW YORK N Y 0.50 06/01/2016 249 N/A N/A N/A 100.00 11/30/2015 99.89 249 100.00 (0)0.87 0.77 0.51 0.42 0.00 32026UAV8 FIRST FNDTN BK IRVINE CA 0.50 08/19/2016 249 N/A N/A N/A 100.00 11/20/2015 99.83 249 100.00 (0)0.87 0.78 0.51 0.63 0.00 55406JAE2 M Y SAFRA BANK FSB NEW YORK 0.60 09/06/2016 249 N/A N/A N/A 100.00 07/06/2015 99.89 249 100.00 (0)0.87 0.75 0.60 0.68 0.00 084601EF6 BERKSHIRE BK PITTSFIELD MA 0.70 12/30/2016 249 N/A N/A N/A 100.00 06/30/2015 99.82 249 100.00 (0)0.87 0.89 0.70 0.99 0.01 05568PV95 BMW BK NORTH AMER UTAH 1.75 04/13/2017 247 N/A N/A N/A 100.00 04/13/2012 100.98 249 100.00 2 0.87 0.98 1.75 1.27 0.01 27113PAH4 EAST BOSTON SVGS BK MA 1.00 05/24/2017 249 N/A N/A N/A 100.00 08/24/2015 99.88 249 100.00 (0)0.87 1.09 1.00 1.38 0.01 14042E5D8 CAPITAL ONE NATL ASSN VA 1.15 07/31/2017 248 N/A N/A N/A 100.00 07/29/2015 99.75 247 100.00 (1)0.87 1.31 1.15 1.56 0.02 36160XUC9 GE CAP BK INC 2.05 08/21/2017 247 N/A N/A N/A 100.00 08/19/2011 101.23 250 100.00 3 0.88 1.29 2.05 1.60 0.02 20451PMC7 COMPASS BK BIRMINGHAM ALA 1.25 01/02/2018 248 N/A N/A N/A 100.00 06/30/2015 99.57 247 100.00 (1)0.86 1.47 1.25 1.97 0.02 02587DLY2 AMERICAN EXPRESS CENTRN 1.05 01/31/2018 248 N/A N/A N/A 100.00 01/31/2013 99.02 246 100.00 (2)0.86 1.53 1.05 2.05 0.03 94768NJF2 WEBSTER BK WATERBURY 1.00 02/06/2018 248 N/A N/A N/A 100.00 02/06/2013 98.90 245 100.00 (3)0.86 1.53 1.00 2.06 0.03 060624XH1 BANK BARODA NEW YORK N Y 1.25 03/08/2018 248 N/A N/A N/A 100.00 03/08/2013 99.63 247 100.00 (1)0.86 1.42 1.25 2.14 0.03 02006LQW6 ALLY BK MIDVALE UTAH 1.30 05/14/2018 248 N/A N/A N/A 100.00 05/14/2015 99.07 246 100.00 (2)0.86 1.71 1.30 2.32 0.03 140420SU5 CAPITAL ONE BK USA NATL ASSN 1.60 07/02/2018 248 N/A N/A N/A 100.00 07/01/2015 99.25 246 100.00 (2)0.86 1.91 1.60 2.43 0.04 204163BU2 COMMUNITYONE BK N A NC 1.35 09/04/2018 249 N/A N/A N/A 100.00 09/04/2015 99.79 248 100.00 (1)0.87 1.43 1.35 2.62 0.04 795450RT4 SALLIE MAE BK SLT LAKE CITY 2.00 12/11/2018 247 N/A N/A N/A 100.00 12/11/2013 100.34 248 100.00 1 0.86 1.88 2.00 2.86 0.05 38147JZT2 GOLDMAN SACHS BK USA NY 2.00 05/14/2019 247 N/A N/A N/A 100.00 05/14/2014 99.77 246 100.00 (1)0.86 2.07 2.00 3.25 0.06 2.547E+13 DISCOVER BK GREENWOOD DEL 2.10 08/13/2019 247 N/A N/A N/A 100.00 08/13/2014 100.05 247 100.00 0 0.87 2.08 2.10 3.46 0.07 06740KHS9 BARCLAYS BK DEL 2.10 08/13/2019 247 N/A N/A N/A 100.00 08/13/2014 99.67 246 100.00 (1)0.86 2.19 2.10 3.46 0.07 02587CAT7 AMERICAN EXP FED SVGS BK INS 2.05 08/14/2019 247 N/A N/A N/A 100.00 08/14/2014 99.70 246 100.00 (1)0.86 2.13 2.05 3.47 0.07 628779FN5 NBT BK NA NORWICH NY 2.10 08/20/2019 247 N/A N/A N/A 100.00 08/20/2014 99.65 246 100.00 (1)0.86 2.20 2.10 3.48 0.07 17284C6R0 CIT BK SALT LAKE CITY UT 2.20 12/24/2019 247 N/A N/A N/A 100.00 12/24/2014 99.64 246 100.00 (1)0.86 2.29 2.20 3.82 0.08 87165HFH8 SYNCHRONY BANK 2.55 12/20/2021 246 N/A N/A N/A 100.00 12/19/2014 100.80 248 100.00 2 0.86 2.41 2.55 5.57 0.17CD 1.25 1.95 7,192 99.86 7,182 100.00 (10)25.09 1.35 1.25 1.88 0.03 0010CHAN8 US Bank 0.01 01/07/2016 750 N/A N/A N/A 100.00 03/31/2015 100.00 750 100.00 0 2.61 0.02 0.01 0.02 0.00 0008CHAN2 NORTHLAND 0.00 01/07/2016 15 N/A N/A N/A 100.00 03/31/2015 100.00 15 100.00 0 0.05 0.00 0.00 0.02 0.00 0006CHAN6 AMERICANA 0.35 01/07/2016 1,308 N/A N/A N/A 100.00 03/31/2015 100.00 1,308 100.00 0 4.56 0.35 0.35 0.02 0.00 0003CHAN3 WF 0.25 01/07/2016 4,217 N/A N/A N/A 100.00 03/31/2015 100.00 4,217 100.00 0 14.69 0.25 0.25 0.02 0.00MMF 0.24 0.02 6,290 100.00 6,290 100.00 0 21.91 0.25 0.24 0.02 0.00 751622HA2 RAMSEY CNTY MINN CAP IMPT B 2.00 02/01/2016 200 Aaa AAA N/A 103.35 06/24/2013 100.10 200 100.11 0 0.70 0.72 0.70 0.09 0.00 161664BT3 CHASKA MINN GO IMPT BDS 201 2.00 02/01/2016 150 N/A AA N/A 104.96 08/16/2012 100.11 150 100.12 (0)0.53 0.62 0.55 0.09 0.00 951427X40 WEST BEND WIS TAXABLE G O R 2.88 03/01/2016 510 Aa3 N/A N/A 103.45 10/19/2010 100.33 512 100.11 1 1.80 0.86 2.19 0.17 0.00 941247V62 WATERBURY CONN GO BDS 2012B 1.76 04/01/2016 500 A1 AA-N/A 101.16 06/26/2012 100.14 501 100.07 0 1.75 1.18 1.44 0.25 0.00 862811U46 STRATFORD CONN PENSION OBLI 2.64 08/01/2016 500 A1 AA N/A 105.80 06/12/2012 101.14 506 100.83 2 1.78 0.69 1.20 0.58 0.00 5476438G4 LOWELL MASS GO PARKING GARA 5.50 09/15/2016 250 Aa2 N/A N/A 117.61 07/18/2012 102.55 256 103.04 (1)0.91 1.83 1.15 0.69 0.00 081617PV8 BEND ORE FULL FAITH CREDIT 3.10 11/01/2016 625 Aa3 N/A N/A 100.00 11/30/2010 101.36 633 100.00 8 2.22 1.45 3.10 0.82 0.01 56516PNY5 MAPLE GROVE MINN TAXABLE GO 2.00 02/01/2017 500 N/A AAA N/A 104.78 01/10/2013 100.85 504 101.29 (2)1.77 1.21 0.80 1.07 0.01 591852UW6 METROPOLITAN COUNCIL MINN M 1.20 09/01/2017 500 Aaa AAA N/A 100.40 07/24/2012 100.18 501 100.13 0 1.75 1.09 1.12 1.64 0.02 20772JKK7 CONNECTICUT ST TAXABLE GO B 1.26 10/15/2017 900 Aa3 AA N/A 101.63 11/29/2012 100.18 902 100.60 (4)3.15 1.16 0.92 1.76 0.02 084509SW9 BERKS CNTY PA GO BDS 2012A 1.26 11/15/2017 500 Aa1 N/A N/A 101.17 11/29/2012 99.73 499 100.45 (4)1.74 1.41 1.02 1.84 0.02 161664DV6 CHASKA MINN GO TAX INCR REF 2.00 12/01/2017 70 N/A AA N/A 101.44 08/15/2013 101.12 71 100.65 0 0.25 1.40 1.65 1.88 0.02 604195VV6 MINNETONKA MINN INDPT SCH D 1.10 01/01/2018 380 Aaa N/A N/A 100.00 07/02/2013 99.61 379 100.00 (1)1.33 1.30 1.10 1.96 0.02 269408MF4 EAGAN MINN TAX INCR BDS 201 2.00 02/01/2018 175 Aaa AAA N/A 104.05 06/13/2013 101.08 177 101.84 (1)0.62 1.47 1.10 2.03 0.03 751622AJ0 RAMSEY CNTY MINN TAXABLE GO 5.10 02/01/2018 190 Aaa AAA 02/01/2017 115.72 11/25/2011 104.15 198 103.41 1 0.70 1.23 1.90 1.05 0.01 196479WW5 COLORADO HSG & FIN AUTH TAX 1.62 11/01/2018 445 Aaa AAA N/A 100.94 11/05/2015 99.82 444 100.89 (5)1.55 1.69 1.30 2.76 0.04 161664DW4 CHASKA MINN GO TAX INCR REF 2.00 12/01/2018 75 N/A AA N/A 100.00 08/15/2013 101.07 76 100.00 1 0.26 1.62 2.00 2.84 0.05 882722J69 TEXAS ST TAXABLE GO REF BDS 3.19 10/01/2019 995 Aaa AAA N/A 106.62 06/24/2015 104.83 1,043 105.83 (10)3.66 1.85 1.58 3.53 0.07 742617CD3 PRIOR LAKE MINN TAXABLE GO 1.60 12/15/2019 205 Aa2 AA+N/A 100.00 05/14/2015 98.57 202 100.00 (3)0.70 1.98 1.60 3.84 0.08 64966LN56 NEW YORK N Y TAXABLE GO BDS 2.15 06/01/2020 500 Aa2 AA N/A 100.00 06/18/2015 100.28 501 100.00 1 1.75 2.08 2.15 4.22 0.10 113835H54 BROOKLYN CENTER MINN GO TAX 3.00 02/01/2021 400 N/A AA N/A 101.88 01/24/2014 102.96 412 101.39 6 1.45 2.38 2.70 4.70 0.13MUNI 2.28 2.00 8,570 101.12 8,666 101.23 (9)30.38 1.41 1.52 1.90 0.03Total: 1.37 1.93 28,617 99.98 28,610 100.12 (42)100.00 1.18 1.23 1.67 (0.08) Positions by Maturity Data from BondEdge urity CUSIP Issuer Coupon( %)Maturity Par ($000)Moody's S&P Call Date Acq Price($)Acq Date Price($)MV w/o Acc (000)Bk Price Gain/Loss ($000)Port %Mkt YTW Book Yield(%)Eff Dur Conv 0003CHAN3 WF 0.25 01/07/2016 4,217 N/A N/A N/A 100.00 03/31/2015 100.00 4,217 100.00 0 14.69 0.25 0.25 0.02 0.00 0006CHAN6 AMERICANA 0.35 01/07/2016 1,308 N/A N/A N/A 100.00 03/31/2015 100.00 1,308 100.00 0 4.56 0.35 0.35 0.02 0.00 0008CHAN2 NORTHLAND 0.00 01/07/2016 15 N/A N/A N/A 100.00 03/31/2015 100.00 15 100.00 0 0.05 0.00 0.00 0.02 0.00 0010CHAN8 US Bank 0.01 01/07/2016 750 N/A N/A N/A 100.00 03/31/2015 100.00 750 100.00 0 2.61 0.02 0.01 0.02 0.00 8562844F8 STATE BK INDIA NEW YORK NY 0.40 01/26/2016 249 N/A N/A N/A 100.00 06/26/2015 100.00 249 100.00 (0)0.87 0.48 0.41 0.07 0.00 72651LAP9 PLAINS COMM BK HOVEN S D 0.25 01/28/2016 249 N/A N/A N/A 100.00 04/28/2015 99.99 249 100.00 (0)0.87 0.44 0.25 0.08 0.00 12738RBY9 CADENCE BK N A BIRMINGHAM AL 0.25 01/29/2016 249 N/A N/A N/A 100.00 04/29/2015 99.99 249 100.00 (0)0.87 0.44 0.25 0.08 0.00 751622HA2 RAMSEY CNTY MINN CAP IMPT B 2.00 02/01/2016 200 Aaa AAA N/A 103.35 06/24/2013 100.10 200 100.11 0 0.70 0.72 0.70 0.09 0.00 161664BT3 CHASKA MINN GO IMPT BDS 201 2.00 02/01/2016 150 N/A AA N/A 104.96 08/16/2012 100.11 150 100.12 (0)0.53 0.62 0.55 0.09 0.00 951427X40 WEST BEND WIS TAXABLE G O R 2.88 03/01/2016 510 Aa3 N/A N/A 103.45 10/19/2010 100.33 512 100.11 1 1.80 0.86 2.19 0.17 0.00 23204HCN6 CUSTOMERS BK PHOENIXVILLE PA 0.50 03/29/2016 249 N/A N/A N/A 100.00 06/29/2015 99.98 249 100.00 (0)0.87 0.60 0.51 0.24 0.00 941247V62 WATERBURY CONN GO BDS 2012B 1.76 04/01/2016 500 A1 AA-N/A 101.16 06/26/2012 100.14 501 100.07 0 1.75 1.18 1.44 0.25 0.00 33583CPU7 FIRST NIAGARA BK N A NY 0.40 05/13/2016 249 N/A N/A N/A 100.00 05/15/2015 99.93 249 100.00 (0)0.87 0.59 0.41 0.37 0.00 92937CCY2 WEX BK MIDVALE UTAH 0.45 05/13/2016 248 N/A N/A N/A 100.00 05/14/2015 100.00 248 100.00 0 0.87 0.46 0.46 0.37 0.00 06279HDE0 BANK INDIA NEW YORK N Y 0.50 06/01/2016 249 N/A N/A N/A 100.00 11/30/2015 99.89 249 100.00 (0)0.87 0.77 0.51 0.42 0.00 862811U46 STRATFORD CONN PENSION OBLI 2.64 08/01/2016 500 A1 AA N/A 105.80 06/12/2012 101.14 506 100.83 2 1.78 0.69 1.20 0.58 0.00 32026UAV8 FIRST FNDTN BK IRVINE CA 0.50 08/19/2016 249 N/A N/A N/A 100.00 11/20/2015 99.83 249 100.00 (0)0.87 0.78 0.51 0.63 0.00 55406JAE2 M Y SAFRA BANK FSB NEW YORK 0.60 09/06/2016 249 N/A N/A N/A 100.00 07/06/2015 99.89 249 100.00 (0)0.87 0.75 0.60 0.68 0.00 313370TW8 FEDERAL HOME LOAN BANKS 2.00 09/09/2016 500 Aaa AA+N/A 105.39 07/12/2012 100.84 504 100.90 (0)1.77 0.77 0.68 0.69 0.00 5476438G4 LOWELL MASS GO PARKING GARA 5.50 09/15/2016 250 Aa2 N/A N/A 117.61 07/18/2012 102.55 256 103.04 (1)0.91 1.83 1.15 0.69 0.00 081617PV8 BEND ORE FULL FAITH CREDIT 3.10 11/01/2016 625 Aa3 N/A N/A 100.00 11/30/2010 101.36 633 100.00 8 2.22 1.45 3.10 0.82 0.01 084601EF6 BERKSHIRE BK PITTSFIELD MA 0.70 12/30/2016 249 N/A N/A N/A 100.00 06/30/2015 99.82 249 100.00 (0)0.87 0.89 0.70 0.99 0.01 56516PNY5 MAPLE GROVE MINN TAXABLE GO 2.00 02/01/2017 500 N/A AAA N/A 104.78 01/10/2013 100.85 504 101.29 (2)1.77 1.21 0.80 1.07 0.01 05568PV95 BMW BK NORTH AMER UTAH 1.75 04/13/2017 247 N/A N/A N/A 100.00 04/13/2012 100.98 249 100.00 2 0.87 0.98 1.75 1.27 0.01 27113PAH4 EAST BOSTON SVGS BK MA 1.00 05/24/2017 249 N/A N/A N/A 100.00 08/24/2015 99.88 249 100.00 (0)0.87 1.09 1.00 1.38 0.01 14042E5D8 CAPITAL ONE NATL ASSN VA 1.15 07/31/2017 248 N/A N/A N/A 100.00 07/29/2015 99.75 247 100.00 (1)0.87 1.31 1.15 1.56 0.02 36160XUC9 GE CAP BK INC 2.05 08/21/2017 247 N/A N/A N/A 100.00 08/19/2011 101.23 250 100.00 3 0.88 1.29 2.05 1.60 0.02 591852UW6 METROPOLITAN COUNCIL MINN M 1.20 09/01/2017 500 Aaa AAA N/A 100.40 07/24/2012 100.18 501 100.13 0 1.75 1.09 1.12 1.64 0.02 20772JKK7 CONNECTICUT ST TAXABLE GO B 1.26 10/15/2017 900 Aa3 AA N/A 101.63 11/29/2012 100.18 902 100.60 (4)3.15 1.16 0.92 1.76 0.02 084509SW9 BERKS CNTY PA GO BDS 2012A 1.26 11/15/2017 500 Aa1 N/A N/A 101.17 11/29/2012 99.73 499 100.45 (4)1.74 1.41 1.02 1.84 0.02 161664DV6 CHASKA MINN GO TAX INCR REF 2.00 12/01/2017 70 N/A AA N/A 101.44 08/15/2013 101.12 71 100.65 0 0.25 1.40 1.65 1.88 0.02 604195VV6 MINNETONKA MINN INDPT SCH D 1.10 01/01/2018 380 Aaa N/A N/A 100.00 07/02/2013 99.61 379 100.00 (1)1.33 1.30 1.10 1.96 0.02 20451PMC7 COMPASS BK BIRMINGHAM ALA 1.25 01/02/2018 248 N/A N/A N/A 100.00 06/30/2015 99.57 247 100.00 (1)0.86 1.47 1.25 1.97 0.02 02587DLY2 AMERICAN EXPRESS CENTRN 1.05 01/31/2018 248 N/A N/A N/A 100.00 01/31/2013 99.02 246 100.00 (2)0.86 1.53 1.05 2.05 0.03 269408MF4 EAGAN MINN TAX INCR BDS 201 2.00 02/01/2018 175 Aaa AAA N/A 104.05 06/13/2013 101.08 177 101.84 (1)0.62 1.47 1.10 2.03 0.03 751622AJ0 RAMSEY CNTY MINN TAXABLE GO 5.10 02/01/2018 190 Aaa AAA 02/01/2017 115.72 11/25/2011 104.15 198 103.41 1 0.70 1.23 1.90 1.05 0.01 94768NJF2 WEBSTER BK WATERBURY 1.00 02/06/2018 248 N/A N/A N/A 100.00 02/06/2013 98.90 245 100.00 (3)0.86 1.53 1.00 2.06 0.03 060624XH1 BANK BARODA NEW YORK N Y 1.25 03/08/2018 248 N/A N/A N/A 100.00 03/08/2013 99.63 247 100.00 (1)0.86 1.42 1.25 2.14 0.03 02006LQW6 ALLY BK MIDVALE UTAH 1.30 05/14/2018 248 N/A N/A N/A 100.00 05/14/2015 99.07 246 100.00 (2)0.86 1.71 1.30 2.32 0.03 140420SU5 CAPITAL ONE BK USA NATL ASSN 1.60 07/02/2018 248 N/A N/A N/A 100.00 07/01/2015 99.25 246 100.00 (2)0.86 1.91 1.60 2.43 0.04 3134G3ZK9 FEDERAL HOME LN MTG CORP 1.20 07/30/2018 240 Aaa AA+N/A 100.00 07/30/2012 99.40 239 100.00 (1)0.84 1.44 1.20 2.52 0.04 204163BU2 COMMUNITYONE BK N A NC 1.35 09/04/2018 249 N/A N/A N/A 100.00 09/04/2015 99.79 248 100.00 (1)0.87 1.43 1.35 2.62 0.04 196479WW5 COLORADO HSG & FIN AUTH TAX 1.62 11/01/2018 445 Aaa AAA N/A 100.94 11/05/2015 99.82 444 100.89 (5)1.55 1.69 1.30 2.76 0.04 161664DW4 CHASKA MINN GO TAX INCR REF 2.00 12/01/2018 75 N/A AA N/A 100.00 08/15/2013 101.07 76 100.00 1 0.26 1.62 2.00 2.84 0.05 795450RT4 SALLIE MAE BK SLT LAKE CITY 2.00 12/11/2018 247 N/A N/A N/A 100.00 12/11/2013 100.34 248 100.00 1 0.86 1.88 2.00 2.86 0.05 31358BAA6 FEDERAL NATL MTG ASSN PRIN S 0.00 02/01/2019 1,155 Aaa AA+N/A 91.43 06/19/2014 94.13 1,087 94.19 (1)3.79 1.97 1.95 3.07 0.05 3135G0UR2 FEDERAL NATL MTG ASSN 1.50 02/26/2019 600 Aaa AA+02/26/2016 99.03 03/10/2014 100.15 601 99.37 5 2.10 0.51 1.71 1.29 (1.10) 3136FTR68 FEDERAL NATL MTG ASSN 1.65 02/28/2019 500 Aaa AA+N/A 99.68 03/05/2012 100.29 501 99.85 2 1.76 1.56 1.70 3.07 0.05 38147JZT2 GOLDMAN SACHS BK USA NY 2.00 05/14/2019 247 N/A N/A N/A 100.00 05/14/2014 99.77 246 100.00 (1)0.86 2.07 2.00 3.25 0.06 2.5467E+13 DISCOVER BK GREENWOOD DEL 2.10 08/13/2019 247 N/A N/A N/A 100.00 08/13/2014 100.05 247 100.00 0 0.87 2.08 2.10 3.46 0.07 06740KHS9 BARCLAYS BK DEL 2.10 08/13/2019 247 N/A N/A N/A 100.00 08/13/2014 99.67 246 100.00 (1)0.86 2.19 2.10 3.46 0.07 02587CAT7 AMERICAN EXP FED SVGS BK INS 2.05 08/14/2019 247 N/A N/A N/A 100.00 08/14/2014 99.70 246 100.00 (1)0.86 2.13 2.05 3.47 0.07 628779FN5 NBT BK NA NORWICH NY 2.10 08/20/2019 247 N/A N/A N/A 100.00 08/20/2014 99.65 246 100.00 (1)0.86 2.20 2.10 3.48 0.07 882722J69 TEXAS ST TAXABLE GO REF BDS 3.19 10/01/2019 995 Aaa AAA N/A 106.62 06/24/2015 104.83 1,043 105.83 (10)3.66 1.85 1.58 3.53 0.07 76116FAA5 RESOLUTION FDG FED BK PRIN S 0.00 10/15/2019 638 Aaa AA+N/A 91.69 12/10/2014 93.10 594 93.44 (2)2.07 1.90 1.80 3.78 0.08 3136G22K2 FEDERAL NATL MTG ASSN 2.00 11/20/2019 500 Aaa AA+05/20/2016 100.00 05/20/2014 100.36 502 100.00 2 1.75 1.06 2.00 1.75 (1.16) 313400BV4 FEDERAL HOME LN MTG CORP 0.00 11/29/2019 560 Aaa AA-N/A 92.56 08/05/2015 92.09 516 93.23 (6)1.80 2.12 1.80 3.90 0.08 742617CD3 PRIOR LAKE MINN TAXABLE GO 1.60 12/15/2019 205 Aa2 AA+N/A 100.00 05/14/2015 98.57 202 100.00 (3)0.70 1.98 1.60 3.84 0.08 17284C6R0 CIT BK SALT LAKE CITY UT 2.20 12/24/2019 247 N/A N/A N/A 100.00 12/24/2014 99.64 246 100.00 (1)0.86 2.29 2.20 3.82 0.08 3133EEB82 FEDERAL FARM CR BKS 1.68 01/23/2020 500 Aaa AA+07/23/2015 100.00 04/23/2015 99.41 497 100.00 (3)1.74 1.83 1.68 2.09 (1.32) 64966LN56 NEW YORK N Y TAXABLE GO BDS 2.15 06/01/2020 500 Aa2 AA N/A 100.00 06/18/2015 100.28 501 100.00 1 1.75 2.08 2.15 4.22 0.10 3136G2FJ1 FEDERAL NATL MTG ASSN 2.00 09/18/2020 480 Aaa AA+03/18/2016 100.00 03/18/2015 100.17 481 100.00 1 1.68 1.18 2.00 1.80 (1.38) 3133EEYH7 FEDERAL FARM CR BKS 2.00 01/13/2021 292 Aaa AA+07/13/2015 99.86 05/11/2015 100.00 292 99.87 0 1.03 1.95 2.03 2.03 (1.82) 113835H54 BROOKLYN CENTER MINN GO TAX 3.00 02/01/2021 400 N/A AA N/A 101.88 01/24/2014 102.96 412 101.39 6 1.45 2.38 2.70 4.70 0.13 742651DJ8 PRIVATE EXPT FDG CORP 4.30 12/15/2021 600 Aaa AA+N/A 114.14 04/29/2015 109.75 659 112.79 (18)2.30 2.53 2.01 5.34 0.16 87165HFH8 SYNCHRONY BANK 2.55 12/20/2021 246 N/A N/A N/A 100.00 12/19/2014 100.80 248 100.00 2 0.86 2.41 2.55 5.57 0.17 , ,()()Tota 1.37 1.93 28,617 99.98 28,610 100.12 (42)100.00 1.18 1.23 1.67 (0.08) Sector Data from BondEdge Par Avg Cpn Avg Mat Mkt Price Mkt Val Book Unr.Gain/Loss Port Mkt YTW Book Yld Eff. Sector ($000)Moody S&P (%)(Yrs)($)($000)Price ($000)(%) (%)(%)Duration Conv.Govt 6,565 Aaa AA+1.37 3.66 98.59 6,472 98.93 (22)22.62 1.61 1.75 2.74 (0.43)CD 7,192 N/A N/A 1.25 1.95 99.86 7,182 100.00 (10)25.09 1.35 1.25 1.88 0.03MMF6,290 N/A N/A 0.24 0.02 100.00 6,290 100.00 0 21.91 0.25 0.24 0.02 0.00MUNI8,570 Aa2 AA+2.28 2.00 101.12 8,666 101.23 (9)30.38 1.41 1.52 1.90 0.03Total:28,617 Aa1 AA+1.37 1.93 99.98 28,610 100.12 (42)100.00 1.18 1.23 1.67 (0.08)0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00000.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 Ratings Call Projection Data from BondEdge Flat Scenario +100 Scenario +200 Scenario Coupon Eff Projected Call Projected Projected Projected CUSIP Issuer Name (%)Maturity Dur Convex Par($)Date of Call Date of Call Date of Call 3133EEB82 FEDERAL FARM CR BKS 1.68 01/23/2020 2.09 (1.32)500,000 02/28/2018 3136G2FJ1 FEDERAL NATL MTG ASSN 2.00 09/18/2020 1.80 (1.38)480,000 3133EEYH7 FEDERAL FARM CR BKS 2.00 01/13/2021 2.03 (1.82)292,000 05/31/2016 751622AJ0 RAMSEY CNTY MINN TAXABLE GO 5.10 02/01/2018 1.05 0.01 190,000 02/28/2017 02/28/2017 02/28/2017 3135G0UR2 FEDERAL NATL MTG ASSN 1.50 02/26/2019 1.29 (1.10)600,000 3136G22K2 FEDERAL NATL MTG ASSN 2.00 11/20/2019 1.75 (1.16)500,000 2.05 11/22/2019 1.70 (1.20)2,562,000 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 0 0 0.00 01/00/1900 0.00 0.00 0 12/31/2015 01/31/2016 01/31/2016 2 Year Cash Flow Data from BondEdge Interest Principal Prepay Total Cumulative Run - Off Run - Off Date Interest ($)Call ($)Maturity ($)MBS($)MBS($)MBS($)Cash Flow($)Cash Flow($)Mkt YTW (%)Book Yld (%) Jan-16 21,695 0 7,037,000 0 0 0 7,058,695 7,058,695 0.00 0.25 Feb-16 51,045 0 350,000 0 0 0 401,045 7,459,740 1.98 0.64 Mar-16 30,182 0 759,000 0 0 0 789,182 8,248,922 0.79 1.64 Apr-16 28,815 0 500,000 0 0 0 528,815 8,777,737 1.17 1.44 May-16 30,378 292,000 497,000 0 0 0 819,378 9,597,114 1.07 1.02 Jun-16 33,232 0 249,000 0 0 0 282,232 9,879,347 0.77 0.51 Jul-16 13,679 0 0 0 0 0 13,679 9,893,026 0.00 N/A Aug-16 48,532 0 749,000 0 0 0 797,532 10,690,558 1.52 0.97 Sep-16 22,239 0 999,000 0 0 0 1,021,239 11,711,797 0.96 0.78 Oct-16 24,226 0 0 0 0 0 24,226 11,736,023 0.00 N/A Nov-16 26,269 0 625,000 0 0 0 651,269 12,387,292 1.23 3.10 Dec-16 32,600 0 249,000 0 0 0 281,600 12,668,892 0.89 0.70 Jan-17 12,932 0 0 0 0 0 12,932 12,681,824 0.00 N/A Feb-17 41,067 190,000 500,000 0 0 0 731,067 13,412,891 0.87 1.98 Mar-17 9,840 0 0 0 0 0 9,840 13,422,731 0.00 N/A Apr-17 24,282 0 247,000 0 0 0 271,282 13,694,013 0.98 1.75 May-17 16,363 0 249,000 0 0 0 265,363 13,959,376 1.09 1.00 Jun-17 31,526 0 0 0 0 0 31,526 13,990,902 0.00 N/A Jul-17 12,740 0 248,000 0 0 0 260,740 14,251,642 1.31 1.15 Aug-17 30,806 0 247,000 0 0 0 277,806 14,529,448 1.29 2.05 Sep-17 9,825 0 500,000 0 0 0 509,825 15,039,273 0.58 1.12 Oct-17 22,036 0 900,000 0 0 0 922,036 15,961,309 0.65 0.92 Nov-17 16,232 0 500,000 0 0 0 516,232 16,477,541 0.83 1.02 Dec-17 31,553 0 70,000 0 0 0 101,553 16,579,094 0.81 1.65 Totals:622,094 482,000 15,475,000 0 0 0 16,579,094 Monthly Cash Flows & Run-off Book Yield 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 0 1,000,000 2,000,000 3,000,000 4,000,000 5,000,000 6,000,000 7,000,000 8,000,000 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Interest ($)Call ($)Maturity ($)Book Yld (%) Rate Shock Data from BondEdge Avg Eff Market Mkt Value Change Mkt V w/o Accrd Int Yield Change Total Income Price Life Dur Convexity Value ($)w/o Accrd Int ($) Change - Instantaneous($) 28711500 -150 2.71 1.00 1.72 1.03 0.99 0.02 29,489,799 778,369 492,402 689,076 -100 2.22 1.01 1.21 1.02 0.98 0.02 29,349,389 637,970 348,558 457,948 -50 1.77 1.05 0.72 1.01 0.97 0.02 29,220,650 509,055 206,723 229,118 0 1.42 1.17 0.24 1.05 0.98 (0.01)29,118,075 406,555 69,482 0 50 1.04 1.30 (0.26)1.09 1.01 (0.02)29,010,197 298,600 (74,650)(247,780) 100 0.63 1.42 (0.80)1.14 1.06 (0.01)28,891,153 179,734 (229,118)(503,600) 150 0.12 1.54 (1.42)1.23 1.16 0.01 28,745,490 33,880 (407,703)(756,835) Horizon (Mo):12Reinv. Rate(%):0.48Aged-Govt Spot CurveParallel Shift Yield Curve Assumptions: ----------------------Return %----------------------Mkt Value Change w/Accrd Int ($) Portfolio Market Value Change - ($)Change in Effective Duration 0.75 1.00 1.25 -150 -100 -50 0 50 100 150(1,000,000) (800,000) (600,000) (400,000) (200,000) 0 200,000 400,000 600,000 800,000 1,000,000 -150 -100 -50 0 50 100 150 Mkt Value Change w/Accrd int($)Mkt Value Change w/o Accrd Int($)Mkt Value w/o Accrd Int Change-Instantaneous($) Alerts Data from BondEdge Actions /Identifer Issuer Name Coupon Maturity Moodys From Moodys To Moodys Date S&P From S&P To S&P Date Fitch From Fitch To Fitch Date Sector Rating Actions:Watchlist/Outlook/Upgrades/Downgrades/Reinstated/Withdrawn/Confirmed/Initial Ratings WATCHLIST: 742651DJ PRIVATE EXPT FDG CORP 4.3 12/15/2021 N/A N/A NEG 10/1/2015 N/A N/A AGY-AGY * WATCHLIST: UPG/POS = Possible Upgrade; DNG/NEG Possible Downgrade; UNC/DEV/EVO = Uncertain (Possible Upgrade or Downgrade)1/0/1900 0 0 1/0/1900 0Report shows called bonds, call announcements and pre-refundings occurring since 09/30/2015.1/0/1900 0 0 1/0/1900 0 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 00001/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 0 1/0/1900 0 GlossaryAccrued Interest Acquisition Date Acquisition Price Annual Income Average Coupon Average Life Average Maturity Book Income Book Price Book Value Book Yield Call Date Call Price Cash Flow Calendar Date Cash Flow - Interest Cash Flow - Call Cash Flow - Maturity Cash Flow - MBS/ABS Interest Cash Flow - MBS/ABS Principal Cash Flow - MBS/ABS Prepay Cash Flow - Total Cash Flow - Cumulative Cash Flow - Run-off Yield Cash Flow - Run-off Book Yield Convexity Current Amortized Premium/Discount Cusip Effective Duration Committee on Uniform Securities Identification Procedures. Run by S&P, they assign a nine digit code to stocks and bonds. The first six digits identify the issuer. The next two digits represent the security that was issued, and the final digit is a check digit. First digit is always a number. If there is no valid cusip then a made up cusip may be used in the reports. An option-adjusted measure of a bond's (or portfolio's) sensitivity to changes in interest rates. Calculated as the average percentage change in a bond's value (price plus accrued interest) under shifts of the Treasury curve +/- 100 bps. Incorporates the effect of embedded options for corporate bonds and changes in prepayments for mortgage-backed securities (including pass-throughs, CMOs and ARMs). The Acquisition Price adjusted to reflect amortization or accretion to par with the passage of time. Cash flows from interest payments. Cash flows from bonds that are called. Cash flows from bonds that mature. Cash flows from interest payments from MBS/ABS securities. Cash flows from principal payments on MBS/ABS securities. Cash flows from prepays on MBS/ABS securities. Cash flows from principal, interest and prepays on all securities contained in the portfolio. The Cumulative Cash flows sums principal, interest and prepays for each cash flow Calendar Date and creates a running total. The weighted average market yield of the assets maturing, resetting and amortizing in the period. The weighted average book yield of the assets maturing, resetting and amortizing in the period. The percentage change in a bond's price not explained by Effective Duration. Price change is estimated as (Effective Duration x Δ Interest Rates) + (Convexity x Δ Interest Rates^2). The analysis calculates average convexity for yield curve shifts +/- 100bps. Positive convexity indicates that the bond's duration increases as interest rates fall, and decreases when interest rates rise. This means the bond's price will rise/(fall) at an increasing (decreasing) rates as interest rates fall/(rise). Negative convexity produces the opposite effect. A large convexity indicates that the bond's effective duration is unstable under shifts of the Treasury curve +/- 100bps. Date at which the cash flow begins. The cash flows are then summed up between each date on the calendar. The price at which a security was originally purchased. This is used with Acquisition Date to determine Book Yield, Book Value and Unrealized Gain/Loss. The sum of total interest cash flow for the 12 months after the first report date. At the portfolio level this includes the annual accretion of zero coupon bonds. The market-value weighted average coupon rate of the portfolio. The weighted average time to receipt of principal payments (including scheduled pay-downs and prepayments). For non-amortizing securities, the average life equals the time to the stated maturity. The market value-weighted average maturity of the bonds in the portfolio, where maturity is defined as stated final for bullet maturity bonds and average life for amortizing securities, including MBS, CMOs and amortizing ABS and ARM. The sum of total interest cash flow, change in accrued interest, amortization of premium/discount, and realized gain/loss. The amortized carrying cost of the security as of the portfolio pricing date. For Treasuries, Agencies, Corporates, ABS and Municipals, BondEdge uses the Constant Yield amortization method. Securities which are trading to call/(put) as of the Acquisition Date are amortized to the nearest call/(put) date and price. MBS, CMOs and ARMs are amortized based on the remaining average life and time since acquisition for purposes of computing Book Price as of the portfolio Pricing Date. The current Book Price of the bond multiplied by the current par amount. Does not include accrued interest. The single Internal Rate of Return which equates a bond's remaining cash flows to its book price. For Treasuries, Agencies, Corporates and Municipals, Book Yield is constant. For MBS, CMOs, asset-backed securities, and ARMs, Book Yield is calculated using the cash flows generated from the security's lifetime prepayment speed. In simulations, including Cash flow Testing analyses, the Book Yield for these security types will change according to the scenario-dependent prepayment forecast. Tax equivalent yields are used in this report. The pre-specified date at which an issuer may exercise its option to redeem an issue at a pre-specified price. Most call options are American, which are exercisable continuously from the call date, vs. European options which are exercisable only on the call date. The pre-specified price at which an issuer may exercise its option to redeem an issue on a pre-specified date. The value of a call option increases as interest rates fall. The date at which a security was originally purchased. This is used with Acquisition Price to determine Book Yield, Book Value and Unrealized Gain/Loss. The amount of coupon income which the holder of a security is entitled to receive if the security is sold between coupon payment dates. GlossaryIncome Return Market ValuePar value times current market price. Market Value (without accrued interest) Market Value Change Number of Bonds Par Value Portfolio Alerts Moody's From Portfolio Alerts Moody To Portfolio Alerts Moody Date Portfolio Alerts S&P From Portfolio Alerts S&P To Portfolio Alerts S&P Date Portfolio Alerts Fitch From Portfolio Alerts Fitch To Portfolio Alerts Fitch Date Portfolio Alerts Acronyms Upgrade-UPG Downgrade-DNG Watch List Positive-POSWatch List Negative-NEG Watch List Stable-STA Watch List Developing-DEVWatch List Uncertain-UNC Watch List Evolving-EVO Initial Rating-Uses UPG symbol and SP to date but no SP from to date Portfolio Aged Shock Portfolio Instantaneous Shock Prerefunding Date Price Change Price Return Proposal Ratings - Short TermA-1+/P-1/F1+A-1/P-1/F1 A-2/P-2/F2 Ratings - Long TermAAA/Aaa/AAA AA+/Aa1/AA+AA/Aa2/AAAA-/Aa3/AAA+/A1/A+A/A2/AA-/A3/ABBB+/Baa1/BBB+BBB/Baa2/BBBBBB-/Baa3/BBBC Sector Acronyms ABS - Asset Backed CP - Commercial PaperAGY - Agency DUS - Multi-Family DUS OGVT - Other GovernmentAGYDN - Agency Disc EMRG - Emerging PASS - Pass ThroughAGYNT - Agency Note ETM - Escrowed to Maturity REV - RevenueAUTO - Auto Lease FIN- Financial SLN - Student LoanBA - Bankers Accept FRN - Flt Rate Note SOVG - SovereignBAN - Bond Antic Note GO - General Obligation SUPR - SupranationalCARD - Credit Card Receivables HEL- Home Equity TAN - Tax Antic NoteCD - Cert Dep IND - Industrial TAX MUNI - Taxable Municipal CLO - Collateralized Loan Obligation LEAS - Equipment Lease T-BILL - Treasury Bill The current S&P rating after a rating action. This is located on the Portfolio Alerts page. The date of the S&P rating action. This is located on the Portfolio Alerts page. The previous Fitch rating after a ratings action. This is located on the Portfolio Alerts page. The current Fitch rating after a rating action. This is located on the Portfolio Alerts page. The date of the Fitch rating action. This is located on the Portfolio Alerts page. Interest rate changes occur gradually over the horizon in Aged simulations and unlike Instantaneous simulations, Aged simulations include yield curve roll. In Aged Simulations, the price of each bond in the portfolio is recalculated by discounting its remaining cash flows using the Treasury spot curve as of the horizon date and a constant OAS (for CMOs, this assumes Monte Carlo is activated). Instantaneous simulations calculate the total return of a portfolio over a specified horizon for a given change in the treasury curve and/or spreads with the assumption that the portfolio will be rebalanced to maintain its initial duration. Therefore, a portfolio's duration will not shorten due to the passage of time. Instantaneous simulations are useful when comparing portfolios to an index or benchmark which is continuously rebalanced. Income for the period, including amortization of any discount or premium and reinvestment of cash flows, is included in the total return. Since the securities in the portfolio do not age, there is no yield curve roll. Horizon prices are calculated using the Treasury curve as of the horizon date and a constant OAS (for CMOs, this assumes the Monte Carlo module is activated). Interest rate changes occur immediately, with the change in the 6 month rate impacting the initial reinvestment rate. The date that a Municipal bond is to be repurchased with certainty at the prerefunding Price. The product of the price return and beginning market value of the portfolio. Approximates the mark to market risk in a portfolio. The sum of the Parallel, Non-Parallel, Roll, Sector/Quality and Selection Effects for each bond in the portfolio. Proposal may appear on the cover page to indicate the report contains securities that the client may or may not hold in their current portfolio. The portfolio is for illustrative purposes only. The previous S&P rating after a ratings action. This is located on the Portfolio Alerts page. The portion of total return attributed to the coupon income and amortization of each bond in the portfolio. Par value times current market price without accrued interest. The difference between the beginning clean market value of the portfolio and market value as of the scenario date and rate change. The number of positions contained in the portfolio. The number may include cash or money market securities. The face value of bond. This is the amount of money the bond owner will get back at maturity. In the case of preferreds the value will be the number of shares. The previous Moody's rating after a ratings action. This is located on the Portfolio Alerts page. The current Moody's rating after a rating action. This is located on the Portfolio Alerts page. The date of the Moody's rating action. This is located on the Portfolio Alerts page. GlossaryCMBS - Commercial Mtge-Backed MISC - Miscellaneous TRAN - Tax/Rev Antic NoteCMO - Collateralized Mortgage MMF - Money Market Funds TSY - TreasuryCOPS - Cert of Participation Muni - Municipal UTIL - Utility Settlement Date Tax Equivalent Yields Total Return Treasury yield curve graph Treasury Benchmark Unrealized Gains/Losses Worst Call Date Yield to Worst (YTW) Yield Change in Basis Points The lowest Internal Rate of Return based on a calculation of yield to call for all possible call dates and the yield to maturity. Tax equivalent YTW is used in this report. The Yield Change is shown on the Shock Report. This represents an up or down parallel shift in basis points of the US Treasury yield curve. The tax exempt rate is grossed up to a tax equivalent yield based on the federal and state tax rates. When calculating tax-equivalent yields in a portfolio, The analysis uses the "Domicile Code" to determine whether a municipal bond's yield should be grossed up by both the Federal and State tax rates, or the Federal tax rate only. Yields shown throughout this report are tax equivalent. The sum of Income Return and Price Return. The treasury yield curve is located on the market commentary page and shows the report date yield curve and the curve one year previous. Yield of the treasury maturity matched to the average life of the portfolio as of the report date. Unrealized gains and losses; measured as the difference between current market value (excluding accrued) and amortized book value. The Call Date, from all possible call dates in the schedule, that returns the lowest yield (this yield is known as the Yield to Worst). This call date is also used to compute Duration to Worst. This is the date when a security and the payment for it are exchanged between a buyer and a seller. 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