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Investment Report 06-30-17
CITY OF CHANHASSEN Reid Christianson 06/30/2017 Confidential-For Discussion and General Information Purposes Only Summary Par Value ($000):$28,201 Portfolio Market Yield:1.45 12 Mo Book Income ($000):$314 Mkt Val w/accrd ($000):$28,314 Portfolio Book Yield:1.36 12 Mo Cash Flow ($000):$11,537 Wtg Avg. Mat (Years):1.55 Book Value ($000):$28,262 12 Mo Mat Cash Flow ($000):$10,980 Effective Duration:1.44 Unr Gain/(Loss) ($000):($46)12 Mo Call Cash Flow ($000):$190 Convexity:(0.03)% Portfolio Callable:5.95 12 Mo Int Income ($000):$367 % Portfolio Floating Rate:0.00 Avg. Coupon (%):1.47 12 Mo Amort Prem/Disc ($000):($24) Number of Bonds:69 Avg. Mkt Price ($):100.05 Current Accrued Interest ($000):$98 Summary Characteristics Performance Characteristics Cash Flow Characteristics Sector Distribution S&P Long-Term Ratings Distribution Moody Long-Term Ratings Distribution ($000)% of Portfolio % of Portfolio % of Portfolio % of Portfolio % of Portfolio Cash Flow Distribution Duration Distribution Coupon Distribution 0 10 20 30 40 50 60 70 80 90 100 AAA AA A N/A 0 10 20 30 40 50 60 70 80 90 100 Aaa Aa A N/A 0 10 20 30 40 50 60 70 80 90 100 4,414 1,319 5,804 14,430 3,106 . 2,000 4,000 6,000 8,000 10,000 12,000 14,000 16,000 1M 1-3M 3-12M 1-3YR 3-5YR 40 51 6 3 0 10 20 30 40 50 60 70 80 90 100 0.00 - 0.99 1.00 - 2.99 3.00 - 3.99 4.00 - 5.99 22 50 17 5 2 4 0 10 20 30 40 50 60 70 80 90 100 0.00 - 0.99 1.00 - 1.99 2.00 - 2.99 3.00 - 3.99 4.00 - 4.99 5.00 - 5.99 2 2 Year Cash Flow Interest Principal Prepay Total Cumulative Run - Off Run - Off Date Interest ($)Call ($)Maturity ($)MBS($)MBS($)MBS($)Cash Flow($)Cash Flow($)Mkt YTW (%)Book Yld (%) Jul-17 22,053 190,000 4,202,145 0 0 0 4,414,198 4,414,198 0.61 0.76 Aug-17 56,478 0 247,000 0 0 0 303,478 4,717,676 1.04 2.05 Sep-17 17,284 0 998,000 0 0 0 1,015,284 5,732,959 1.14 0.97 Oct-17 37,326 0 1,696,000 0 0 0 1,733,326 7,466,286 1.35 0.87 Nov-17 18,237 0 500,000 0 0 0 518,237 7,984,522 1.44 1.02 Dec-17 46,845 0 70,000 0 0 0 116,845 8,101,367 1.58 1.65 Jan-18 15,585 0 876,000 0 0 0 891,585 8,992,953 1.41 1.13 Feb-18 53,919 0 1,149,000 0 0 0 1,202,919 10,195,871 1.40 1.00 Mar-18 11,058 0 248,000 0 0 0 259,058 10,454,929 1.06 1.25 Apr-18 28,884 0 246,000 0 0 0 274,884 10,729,813 1.25 1.37 May-18 14,836 0 248,000 0 0 0 262,836 10,992,649 1.35 1.30 Jun-18 44,344 0 500,000 0 0 0 544,344 11,536,993 1.29 1.26 Jul-18 11,933 0 488,000 0 0 0 499,933 12,036,926 1.40 1.40 Aug-18 45,855 0 500,000 0 0 0 545,855 12,582,781 1.53 1.00 Sep-18 10,333 0 1,241,000 0 0 0 1,251,333 13,834,114 1.34 1.28 Oct-18 25,806 0 0 0 0 0 25,806 13,859,920 0.00 0.00 Nov-18 12,657 0 355,000 0 0 0 367,657 14,227,577 1.87 1.30 Dec-18 39,367 0 322,000 0 0 0 361,367 14,588,944 1.53 2.00 Jan-19 7,931 0 360,000 0 0 0 367,931 14,956,874 1.38 1.80 Feb-19 42,815 0 2,405,000 0 0 0 2,447,815 17,404,690 1.62 1.71 Mar-19 5,680 0 246,000 0 0 0 251,680 17,656,370 1.55 1.55 Apr-19 25,488 0 0 0 0 0 25,488 17,681,858 0.00 0.00 May-19 9,458 0 247,000 0 0 0 256,458 17,938,316 1.64 2.00 Jun-19 35,821 0 249,000 0 0 0 284,821 18,223,137 1.59 1.15 Totals:639,993 190,000 17,393,145 0 0 0 18,223,138 Monthly Cash Flows & Run-off Book Yield 0.00 0.50 1.00 1.50 2.00 2.50 0 500,000 1,000,000 1,500,000 2,000,000 2,500,000 3,000,000 3,500,000 4,000,000 4,500,000 5,000,000 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Interest ($)Call ($)Maturity ($)Book Yld (%) 3 Sector 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 8,473 Aaa AA+1.10 2.53 98.84 8,374 99.32 (41)29.64 1.73 1.57 2.27 (0.12) CD 6,929 N/A N/A 1.49 1.27 100.23 6,945 100.00 16 24.61 1.39 1.49 1.24 0.02 MMF 3,954 N/A N/A 0.52 0.00 100.00 3,954 100.00 0 13.97 0.52 0.52 0.00 0.00 MUNI 8,845 Aa1 AA+2.25 1.51 101.10 8,942 101.34 (21)31.79 1.63 1.43 1.45 0.02 Total:28,201 Aa1 AA+1.47 1.55 100.05 28,216 100.22 (46)100.00 1.45 1.36 1.44 (0.03) 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 0 0 0.00 0.00 0.00 0.00 0.00 0 0.00 0 0.00 0.00 0.00 0.00 0.00 Ratings 4 Positions by Sector Sector CUSIP Issuer Cpn (%)Maturity Par ($000)Moody's S&P Call Date Acq Price($)Acq Date Mkt Price($) Mkt Val ($000)Bk Price($) Gain/Loss ($000)Port (%) Mkt YTW(%) Bk Yield(%)Eff Dur Conv 3133EEP95 FEDERAL FARM CR BKS 1.10 06/01/2018 500 Aaa AA+99.85 06/19/2017 99.83 499 99.86 (0)1.76 1.29 1.25 0.91 0.01 3134G3ZK9 FEDERAL HOME LN MTG CORP 1.20 07/30/2018 240 Aaa AA+100.00 07/30/2012 99.97 240 100.00 (0)0.85 1.22 1.20 1.07 0.01 3134GADJ0 FEDERAL HOME LN MTG CORP 1.00 08/28/2018 500 Aaa AA+100.00 08/30/2016 99.39 497 100.00 (3)1.76 1.53 1.00 1.15 0.01 31358BAA6 FEDERAL NATL MTG ASSN PRIN S 0.00 02/01/2019 1,155 Aaa AA+91.43 06/19/2014 97.27 1,124 96.97 4 3.97 1.75 1.95 1.58 0.02 3136FTR68 FEDERAL NATL MTG ASSN 1.65 02/28/2019 500 Aaa AA+99.68 03/05/2012 100.36 502 99.92 2 1.78 1.43 1.70 1.63 0.02 3136G4BB8 FEDERAL NATL MTG ASSN 1.15 09/27/2019 500 Aaa AA+09/27/2017 100.00 09/30/2016 98.67 493 100.00 (7)1.75 1.76 1.15 1.83 (0.33) 76116FAA5 RESOLUTION FDG FED BK PRIN S 0.00 10/15/2019 638 Aaa AA+91.69 12/10/2014 96.36 615 95.98 2 2.17 1.62 1.80 2.27 0.03 313400BV4 FEDERAL HOME LN MTG CORP 0.00 11/29/2019 560 Aaa AA-92.56 08/05/2015 95.57 535 95.77 (1)1.89 1.88 1.80 2.39 0.04 3133EG3J2 FEDERAL FARM CR BKS 1.55 01/10/2020 500 Aaa AA+100.00 01/10/2017 99.94 500 100.00 (0)1.78 1.57 1.55 2.45 0.04 3130A7ZT5 FEDERAL HOME LOAN BANKS 1.40 05/18/2020 500 Aaa AA+07/19/2017 100.00 05/18/2016 99.02 495 100.00 (5)1.75 1.75 1.40 1.89 (0.81) 3133834H1 FEDERAL HOME LOAN BANKS 1.38 06/12/2020 500 Aaa AA+101.60 07/08/2016 99.17 496 101.20 (10)1.75 1.67 0.96 2.88 0.05 3136G0R60 FEDERAL NATL MTG ASSN 1.50 10/22/2020 500 Aaa AA+100.94 10/11/2016 99.26 496 100.78 (8)1.76 1.73 1.26 3.21 0.06 76116FAG2 RESOLUTION FDG FED BK PRIN S 0.00 01/15/2021 780 Aaa AA+93.14 04/14/2016 93.49 729 94.85 (11)2.58 1.91 1.50 3.51 0.07 3133EG3V5 FEDERAL FARM CR BKS 2.14 10/18/2021 500 Aaa AA+07/19/2017 100.00 01/18/2017 99.18 496 100.00 (4)1.76 2.34 2.14 2.35 (1.41) 742651DJ8 PRIVATE EXPT FDG CORP 4.30 12/15/2021 600 Aaa AA+114.14 04/29/2015 109.58 658 109.72 (1)2.33 2.04 2.01 4.08 0.10 Govt 1.10 8,473 98.84 8,374 99.32 (41)29.64 1.73 1.57 2.27 (0.12) 14042E5D8 CAPITAL ONE NATL ASSN VA 1.15 07/31/2017 248 N/A 100.00 07/29/2015 100.01 248 100.00 0 0.88 1.09 1.15 0.08 0.00 36160XUC9 GOLDMAN SACHS BK USA 2.05 08/21/2017 247 N/A 100.00 08/19/2011 100.15 247 100.00 0 0.88 1.04 2.05 0.14 0.00 06279HTJ2 BANK INDIA NEW YORK N Y 0.80 09/06/2017 249 N/A 100.00 12/07/2016 99.96 249 100.00 (0)0.88 1.05 0.81 0.19 0.00 92937CEW4 WEX BK MIDVALE UTAH 0.80 09/08/2017 249 N/A 100.00 12/09/2016 99.95 249 100.00 (0)0.88 1.05 0.81 0.19 0.00 06426T4B2 BANK OF CHINA NY BR 0.90 10/19/2017 248 N/A 100.00 01/19/2017 99.93 248 100.00 (0)0.88 1.13 0.91 0.30 0.00 30810NAS5 FARMERS & MERCHANTS BK MD 0.80 10/20/2017 248 N/A 100.00 01/20/2017 99.90 248 100.00 (0)0.88 1.13 0.81 0.31 0.00 20451PMC7 COMPASS BK BIRMINGHAM ALA 1.25 01/02/2018 248 N/A 100.00 06/30/2015 100.03 248 100.00 0 0.88 1.17 1.25 0.51 0.00 02587DLY2 AMERICAN EXPRESS CENTRN 1.05 01/31/2018 248 N/A 100.00 01/31/2013 99.91 248 100.00 (0)0.88 1.21 1.05 0.58 0.00 94768NJF2 WEBSTER BK WATERBURY 1.00 02/06/2018 248 N/A 100.00 02/06/2013 99.88 248 100.00 (0)0.88 1.21 1.00 0.60 0.00 23322GPL5 DMB CMNTY BK DEFOREST WIS 1.20 02/28/2018 246 N/A 100.00 06/30/2017 99.99 246 100.00 (0)0.87 1.22 1.20 0.66 0.00 060624XH1 BANK BARODA NEW YORK N Y 1.25 03/08/2018 248 N/A 100.00 03/08/2013 100.12 248 100.00 0 0.88 1.06 1.25 0.68 0.00 46176PGU3 INVESTORS BK SHORT HILLS NJ 1.35 04/02/2018 246 N/A 100.00 06/30/2017 100.08 246 100.00 0 0.87 1.25 1.37 0.75 0.01 02006LQW6 ALLY BK MIDVALE UTAH 1.30 05/14/2018 248 N/A 100.00 05/14/2015 99.96 248 100.00 (0)0.88 1.35 1.30 0.86 0.01 140420SU5 CAPITAL ONE BK USA NATL ASSN 1.60 07/02/2018 248 N/A 100.00 07/01/2015 100.04 248 100.00 0 0.88 1.57 1.60 0.99 0.01 204163BU2 COMMUNITYONE BK N A NC 1.35 09/04/2018 249 N/A 100.00 09/04/2015 100.34 250 100.00 1 0.88 1.06 1.35 1.16 0.01 45083AGR7 IBERIABANK LAFAYETTE LA 1.35 09/21/2018 246 N/A 100.00 06/21/2017 99.93 246 100.00 (0)0.87 1.41 1.35 1.21 0.01 31927LAC2 FIRST BK OWASSO OKLA 1.40 09/28/2018 246 N/A 100.00 06/29/2017 99.98 246 100.00 (0)0.87 1.42 1.41 1.23 0.01 795450RT4 SALLIE MAE BK SLT LAKE CITY 2.00 12/11/2018 247 N/A 100.00 12/11/2013 100.76 249 100.00 2 0.88 1.47 2.00 1.42 0.01 51210SND5 LAKESIDE BK CHICAGO ILL 1.55 03/29/2019 246 N/A 100.00 06/30/2017 100.00 246 100.00 0 0.87 1.55 1.55 1.71 0.02 38147JZT2 GOLDMAN SACHS BK USA NY 2.00 05/14/2019 247 N/A 100.00 05/14/2014 100.66 249 100.00 2 0.88 1.64 2.00 1.83 0.02 59013JQY8 MERRICK BK SOUTH JORDAN UTAH 1.15 06/28/2019 249 N/A 100.00 06/29/2016 99.15 247 100.00 (2)0.87 1.59 1.15 1.96 0.02 2.547E+13 DISCOVER BK GREENWOOD DEL 2.10 08/13/2019 247 N/A 100.00 08/13/2014 100.96 249 100.00 2 0.89 1.64 2.10 2.05 0.03 06740KHS9 BARCLAYS BK DEL 2.10 08/13/2019 247 N/A 100.00 08/13/2014 100.73 249 100.00 2 0.89 1.75 2.10 2.05 0.03 02587CAT7 AMERICAN EXP FED SVGS BK INS 2.05 08/14/2019 247 N/A 100.00 08/14/2014 100.75 249 100.00 2 0.89 1.69 2.05 2.06 0.03 628779FN5 NBT BK NA NORWICH NY 2.10 08/20/2019 247 N/A 100.00 08/20/2014 100.73 249 100.00 2 0.89 1.75 2.10 2.07 0.03 17284C6R0 CIT BK SALT LAKE CITY UT 2.20 12/24/2019 247 N/A 100.00 12/24/2014 101.21 250 100.00 3 0.88 1.70 2.20 2.41 0.04 57116AMC9 MARLIN BUSINESS BK SALT LAKE 1.25 12/27/2019 249 N/A 100.00 06/29/2016 98.97 246 100.00 (3)0.87 1.68 1.25 2.43 0.04 87165HFH8 SYNCHRONY BANK 2.55 12/20/2021 246 N/A 100.00 12/19/2014 102.49 252 100.00 6 0.89 1.97 2.55 4.22 0.10 CD 1.49 6,929 100.23 6,945 100.00 16 24.61 1.39 1.49 1.24 0.02 0008CHAN2 NORTHLAND 0.07 07/01/2017 22 N/A 100.00 06/01/2017 100.00 22 100.00 0 0.08 0.07 0.07 0.00 0.00 0010CHAN8 US BANK 0.38 07/01/2017 116 N/A 100.00 06/01/2017 100.00 116 100.00 0 0.41 0.38 0.39 0.00 0.00 0003CHAN3 WF 1.11 07/01/2017 1,799 N/A 100.00 06/01/2017 100.00 1,799 100.00 0 6.35 1.12 1.13 0.00 0.00 0006CHAN6 BMO HARRIS BANK 0.00 07/01/2017 2,017 N/A 100.00 06/01/2017 100.00 2,017 100.00 0 7.12 0.00 0.00 0.00 0.00 MMF 0.52 3,954 100.00 3,954 100.00 0 13.97 0.52 0.52 0.00 0.00 591852UW6 METROPOLITAN COUNCIL MINN M 1.20 09/01/2017 500 Aaa AAA 100.40 07/24/2012 99.99 500 100.01 (0)1.77 1.23 1.12 0.17 0.00 64966LZB0 NEW YORK N Y TAXABLE GO BDS 1.25 10/01/2017 300 Aa2 AA 100.64 07/15/2016 99.99 300 100.13 (0)1.06 1.31 0.72 0.25 0.00 20772JKK7 CONNECTICUT ST TAXABLE GO B 1.26 10/15/2017 900 A1 A+101.63 11/29/2012 99.93 899 100.10 (2)3.18 1.49 0.92 0.29 0.00 084509SW9 BERKS CNTY PA GO BDS 2012A 1.26 11/15/2017 500 Aa1 101.17 11/29/2012 99.93 500 100.09 (1)1.77 1.44 1.02 0.38 0.00 161664DV6 CHASKA MINN GO TAX INCR REF 2.00 12/01/2017 70 N/A AA 101.44 08/15/2013 100.18 70 100.14 0 0.25 1.58 1.65 0.42 0.00 604195VV6 MINNETONKA MINN INDPT SCH D 1.10 01/01/2018 380 Aaa 100.00 07/02/2013 99.70 379 100.00 (1)1.35 1.69 1.10 0.50 0.00 269408MF4 EAGAN MINN TAX INCR BDS 201 2.00 02/01/2018 175 Aaa AAA 104.05 06/13/2013 100.21 175 100.52 (1)0.62 1.64 1.10 0.58 0.00 751622AJ0 RAMSEY CNTY MINN TAXABLE GO 5.10 02/01/2018 190 Aaa AAA 07/14/2017 115.72 11/25/2011 100.28 191 100.00 1 0.69 1.72 5.10 0.08 0.00 0363032D6 ANOKA-HENNEPIN MINN INDPT S 2.00 02/01/2018 480 N/A AA+101.44 10/27/2016 100.29 481 100.67 (2)1.71 1.50 0.85 0.58 0.00 591852UX4 METROPOLITAN COUNCIL MINN M 1.30 09/01/2018 500 Aaa AAA 100.36 03/18/2016 99.88 499 100.17 (1)1.77 1.40 1.15 1.15 0.01 196479WW5 COLORADO HSG & FIN AUTH TAX 1.62 11/01/2018 355 Aaa AAA 100.94 11/05/2015 99.67 354 100.43 (3)1.25 1.87 1.30 1.32 0.01 161664DW4 CHASKA MINN GO TAX INCR REF 2.00 12/01/2018 75 N/A AA 100.00 08/15/2013 100.36 75 100.00 0 0.27 1.74 2.00 1.39 0.01 60416SSG6 MINNESOTA ST HSG FIN AGY FO 1.80 01/01/2019 360 Aa1 AA+100.00 12/22/2016 100.62 362 100.00 2 1.29 1.38 1.80 1.47 0.02 279533TN3 EDEN PRAIRIE MINN INDPT SCH 5.75 02/01/2019 225 Aa2 112.62 04/26/2016 106.55 240 107.29 (2)0.87 1.55 1.10 1.50 0.02 279533TN3 EDEN PRAIRIE MINN INDPT SCH 5.75 02/01/2019 525 Aa2 108.76 01/04/2017 106.55 559 106.72 (1)2.02 1.55 1.45 1.50 0.02 882722J69 TEXAS ST TAXABLE GO REF BDS 3.19 10/01/2019 995 Aaa AAA 106.62 06/24/2015 103.19 1,027 103.55 (4)3.65 1.74 1.58 2.16 0.03 742617CD3 PRIOR LAKE MINN TAXABLE GO 1.60 12/15/2019 205 Aa2 AA+100.00 05/14/2015 99.10 203 100.00 (2)0.72 1.98 1.60 2.40 0.04 678519UC1 OKLAHOMA CITY OKLA FOR ISSU 2.00 03/01/2020 200 Aaa AAA 102.21 05/17/2016 100.55 201 101.57 (2)0.71 1.79 1.40 2.57 0.04 97705MDS1 WISCONSIN ST FOR ISSUES DTD 1.15 05/01/2020 520 Aa2 AA 100.15 07/28/2016 98.19 511 100.11 (10)1.81 1.81 1.11 2.77 0.05 150528LV7 CEDAR RAPIDS IOWA TAXABLE G 2.50 06/01/2020 490 Aa1 104.42 04/07/2016 102.06 500 103.13 (5)1.77 1.77 1.40 2.81 0.05 64966LN56 NEW YORK N Y TAXABLE GO BDS 2.15 06/01/2020 500 Aa2 AA 100.00 06/18/2015 100.57 503 100.00 3 1.78 1.95 2.15 2.82 0.05 113835H54 BROOKLYN CENTER MINN GO TAX 3.00 02/01/2021 400 N/A AA 101.88 01/24/2014 103.15 413 101.01 9 1.47 2.08 2.70 3.36 0.07 MUNI 2.25 8,845 101.10 8,942 101.34 (21)31.79 1.63 1.43 1.45 0.02 Total: 1.47 28,201 100.05 28,216 100.22 (46)100.00 1.45 1.36 1.44 (0.03) 5 Positions by Maturity urity CUSIP Issuer Cpn (%)Maturity Par ($000)Moody's S&P Call Date Acq Price($)Acq Date Mkt Price($) Mkt Val ($000)Bk Price($) Gain/Loss ($000)Port (%)Mkt YTW Book Yield(%) Eff Dur Conv 0006CHAN6 BMO HARRIS BANK 0.00 07/01/2017 2,017 N/A 100.00 06/01/2017 100.00 2,017 100.00 0 7.12 0.00 0.00 0.00 0.00 0003CHAN3 WF 1.11 07/01/2017 1,799 N/A 100.00 06/01/2017 100.00 1,799 100.00 0 6.35 1.12 1.13 0.00 0.00 0008CHAN2 NORTHLAND 0.07 07/01/2017 22 N/A 100.00 06/01/2017 100.00 22 100.00 0 0.08 0.07 0.07 0.00 0.00 0010CHAN8 US BANK 0.38 07/01/2017 116 N/A 100.00 06/01/2017 100.00 116 100.00 0 0.41 0.38 0.39 0.00 0.00 14042E5D8 CAPITAL ONE NATL ASSN VA 1.15 07/31/2017 248 N/A 100.00 07/29/2015 100.01 248 100.00 0 0.88 1.09 1.15 0.08 0.00 36160XUC9 GOLDMAN SACHS BK USA 2.05 08/21/2017 247 N/A 100.00 08/19/2011 100.15 247 100.00 0 0.88 1.04 2.05 0.14 0.00 591852UW6 METROPOLITAN COUNCIL MINN M 1.20 09/01/2017 500 Aaa AAA 100.40 07/24/2012 99.99 500 100.01 (0)1.77 1.23 1.12 0.17 0.00 06279HTJ2 BANK INDIA NEW YORK N Y 0.80 09/06/2017 249 N/A 100.00 12/07/2016 99.96 249 100.00 (0)0.88 1.05 0.81 0.19 0.00 92937CEW4 WEX BK MIDVALE UTAH 0.80 09/08/2017 249 N/A 100.00 12/09/2016 99.95 249 100.00 (0)0.88 1.05 0.81 0.19 0.00 64966LZB0 NEW YORK N Y TAXABLE GO BDS 1.25 10/01/2017 300 Aa2 AA 100.64 07/15/2016 99.99 300 100.13 (0)1.06 1.31 0.72 0.25 0.00 20772JKK7 CONNECTICUT ST TAXABLE GO B 1.26 10/15/2017 900 A1 A+101.63 11/29/2012 99.93 899 100.10 (2)3.18 1.49 0.92 0.29 0.00 06426T4B2 BANK OF CHINA NY BR 0.90 10/19/2017 248 N/A 100.00 01/19/2017 99.93 248 100.00 (0)0.88 1.13 0.91 0.30 0.00 30810NAS5 FARMERS & MERCHANTS BK MD 0.80 10/20/2017 248 N/A 100.00 01/20/2017 99.90 248 100.00 (0)0.88 1.13 0.81 0.31 0.00 084509SW9 BERKS CNTY PA GO BDS 2012A 1.26 11/15/2017 500 Aa1 101.17 11/29/2012 99.94 500 100.09 (1)1.77 1.44 1.02 0.38 0.00 161664DV6 CHASKA MINN GO TAX INCR REF 2.00 12/01/2017 70 N/A AA 101.44 08/15/2013 100.18 70 100.15 0 0.25 1.58 1.65 0.42 0.00 604195VV6 MINNETONKA MINN INDPT SCH D 1.10 01/01/2018 380 Aaa 100.00 07/02/2013 99.70 379 100.00 (1)1.35 1.69 1.10 0.50 0.00 20451PMC7 COMPASS BK BIRMINGHAM ALA 1.25 01/02/2018 248 N/A 100.00 06/30/2015 100.03 248 100.00 0 0.88 1.17 1.25 0.51 0.00 02587DLY2 AMERICAN EXPRESS CENTRN 1.05 01/31/2018 248 N/A 100.00 01/31/2013 99.91 248 100.00 (0)0.88 1.21 1.05 0.58 0.00 269408MF4 EAGAN MINN TAX INCR BDS 201 2.00 02/01/2018 175 Aaa AAA 104.05 06/13/2013 100.21 175 100.52 (1)0.62 1.64 1.10 0.58 0.00 751622AJ0 RAMSEY CNTY MINN TAXABLE GO 5.10 02/01/2018 190 Aaa AAA 07/14/2017 115.72 11/25/2011 100.28 191 100.00 1 0.69 1.72 5.10 0.08 0.00 0363032D6 ANOKA-HENNEPIN MINN INDPT S 2.00 02/01/2018 480 N/A AA+101.44 10/27/2016 100.29 481 100.67 (2)1.71 1.50 0.85 0.58 0.00 94768NJF2 WEBSTER BK WATERBURY 1.00 02/06/2018 248 N/A 100.00 02/06/2013 99.88 248 100.00 (0)0.88 1.21 1.00 0.60 0.00 23322GPL5 DMB CMNTY BK DEFOREST WIS 1.20 02/28/2018 246 N/A 100.00 06/30/2017 99.99 246 100.00 (0)0.87 1.22 1.20 0.66 0.00 060624XH1 BANK BARODA NEW YORK N Y 1.25 03/08/2018 248 N/A 100.00 03/08/2013 100.12 248 100.00 0 0.88 1.06 1.25 0.68 0.00 46176PGU3 INVESTORS BK SHORT HILLS NJ 1.35 04/02/2018 246 N/A 100.00 06/30/2017 100.09 246 100.00 0 0.87 1.25 1.37 0.75 0.01 02006LQW6 ALLY BK MIDVALE UTAH 1.30 05/14/2018 248 N/A 100.00 05/14/2015 99.96 248 100.00 (0)0.88 1.35 1.30 0.86 0.01 3133EEP95 FEDERAL FARM CR BKS 1.10 06/01/2018 500 Aaa AA+99.85 06/19/2017 99.83 499 99.86 (0)1.76 1.29 1.25 0.91 0.01 140420SU5 CAPITAL ONE BK USA NATL ASSN 1.60 07/02/2018 248 N/A 100.00 07/01/2015 100.04 248 100.00 0 0.88 1.57 1.60 0.99 0.01 3134G3ZK9 FEDERAL HOME LN MTG CORP 1.20 07/30/2018 240 Aaa AA+100.00 07/30/2012 99.98 240 100.00 (0)0.85 1.22 1.20 1.07 0.01 3134GADJ0 FEDERAL HOME LN MTG CORP 1.00 08/28/2018 500 Aaa AA+100.00 08/30/2016 99.39 497 100.00 (3)1.76 1.53 1.00 1.15 0.01 591852UX4 METROPOLITAN COUNCIL MINN M 1.30 09/01/2018 500 Aaa AAA 100.36 03/18/2016 99.88 499 100.17 (1)1.77 1.40 1.15 1.15 0.01 204163BU2 COMMUNITYONE BK N A NC 1.35 09/04/2018 249 N/A 100.00 09/04/2015 100.34 250 100.00 1 0.88 1.06 1.35 1.16 0.01 45083AGR7 IBERIABANK LAFAYETTE LA 1.35 09/21/2018 246 N/A 100.00 06/21/2017 99.93 246 100.00 (0)0.87 1.41 1.35 1.21 0.01 31927LAC2 FIRST BK OWASSO OKLA 1.40 09/28/2018 246 N/A 100.00 06/29/2017 99.98 246 100.00 (0)0.87 1.42 1.41 1.23 0.01 196479WW5 COLORADO HSG & FIN AUTH TAX 1.62 11/01/2018 355 Aaa AAA 100.94 11/05/2015 99.67 354 100.43 (3)1.25 1.87 1.30 1.32 0.01 161664DW4 CHASKA MINN GO TAX INCR REF 2.00 12/01/2018 75 N/A AA 100.00 08/15/2013 100.36 75 100.00 0 0.27 1.74 2.00 1.39 0.01 795450RT4 SALLIE MAE BK SLT LAKE CITY 2.00 12/11/2018 247 N/A 100.00 12/11/2013 100.76 249 100.00 2 0.88 1.47 2.00 1.42 0.01 60416SSG6 MINNESOTA ST HSG FIN AGY FO 1.80 01/01/2019 360 Aa1 AA+100.00 12/22/2016 100.62 362 100.00 2 1.29 1.38 1.80 1.47 0.02 31358BAA6 FEDERAL NATL MTG ASSN PRIN S 0.00 02/01/2019 1,155 Aaa AA+91.43 06/19/2014 97.27 1,124 96.97 4 3.97 1.75 1.95 1.58 0.02 279533TN3 EDEN PRAIRIE MINN INDPT SCH 5.75 02/01/2019 225 Aa2 112.62 04/26/2016 106.55 240 107.29 (2)0.87 1.55 1.10 1.50 0.02 279533TN3 EDEN PRAIRIE MINN INDPT SCH 5.75 02/01/2019 525 Aa2 108.76 01/04/2017 106.55 559 106.72 (1)2.02 1.55 1.45 1.50 0.02 3136FTR68 FEDERAL NATL MTG ASSN 1.65 02/28/2019 500 Aaa AA+99.68 03/05/2012 100.36 502 99.92 2 1.78 1.43 1.70 1.63 0.02 51210SND5 LAKESIDE BK CHICAGO ILL 1.55 03/29/2019 246 N/A 100.00 06/30/2017 100.00 246 100.00 0 0.87 1.55 1.55 1.71 0.02 38147JZT2 GOLDMAN SACHS BK USA NY 2.00 05/14/2019 247 N/A 100.00 05/14/2014 100.66 249 100.00 2 0.88 1.64 2.00 1.83 0.02 59013JQY8 MERRICK BK SOUTH JORDAN UTAH 1.15 06/28/2019 249 N/A 100.00 06/29/2016 99.15 247 100.00 (2)0.87 1.59 1.15 1.96 0.02 2.5467E+13 DISCOVER BK GREENWOOD DEL 2.10 08/13/2019 247 N/A 100.00 08/13/2014 100.96 249 100.00 2 0.89 1.64 2.10 2.05 0.03 06740KHS9 BARCLAYS BK DEL 2.10 08/13/2019 247 N/A 100.00 08/13/2014 100.73 249 100.00 2 0.89 1.75 2.10 2.05 0.03 02587CAT7 AMERICAN EXP FED SVGS BK INS 2.05 08/14/2019 247 N/A 100.00 08/14/2014 100.75 249 100.00 2 0.89 1.69 2.05 2.06 0.03 628779FN5 NBT BK NA NORWICH NY 2.10 08/20/2019 247 N/A 100.00 08/20/2014 100.73 249 100.00 2 0.89 1.75 2.10 2.07 0.03 3136G4BB8 FEDERAL NATL MTG ASSN 1.15 09/27/2019 500 Aaa AA+09/27/2017 100.00 09/30/2016 98.67 493 100.00 (7)1.75 1.76 1.15 1.83 (0.33) 882722J69 TEXAS ST TAXABLE GO REF BDS 3.19 10/01/2019 995 Aaa AAA 106.62 06/24/2015 103.19 1,027 103.55 (4)3.65 1.74 1.58 2.16 0.03 76116FAA5 RESOLUTION FDG FED BK PRIN S 0.00 10/15/2019 638 Aaa AA+91.69 12/10/2014 96.36 615 95.98 2 2.17 1.62 1.80 2.27 0.03 313400BV4 FEDERAL HOME LN MTG CORP 0.00 11/29/2019 560 Aaa AA-92.56 08/05/2015 95.57 535 95.77 (1)1.89 1.88 1.80 2.39 0.04 742617CD3 PRIOR LAKE MINN TAXABLE GO 1.60 12/15/2019 205 Aa2 AA+100.00 05/14/2015 99.10 203 100.00 (2)0.72 1.98 1.60 2.40 0.04 17284C6R0 CIT BK SALT LAKE CITY UT 2.20 12/24/2019 247 N/A 100.00 12/24/2014 101.21 250 100.00 3 0.88 1.70 2.20 2.41 0.04 57116AMC9 MARLIN BUSINESS BK SALT LAKE 1.25 12/27/2019 249 N/A 100.00 06/29/2016 98.97 246 100.00 (3)0.87 1.68 1.25 2.43 0.04 3133EG3J2 FEDERAL FARM CR BKS 1.55 01/10/2020 500 Aaa AA+100.00 01/10/2017 99.94 500 100.00 (0)1.78 1.57 1.55 2.45 0.04 678519UC1 OKLAHOMA CITY OKLA FOR ISSU 2.00 03/01/2020 200 Aaa AAA 102.21 05/17/2016 100.55 201 101.57 (2)0.71 1.79 1.40 2.57 0.04 97705MDS1 WISCONSIN ST FOR ISSUES DTD 1.15 05/01/2020 520 Aa2 AA 100.15 07/28/2016 98.19 511 100.11 (10)1.81 1.81 1.11 2.77 0.05 3130A7ZT5 FEDERAL HOME LOAN BANKS 1.40 05/18/2020 500 Aaa AA+07/19/2017 100.00 05/18/2016 99.02 495 100.00 (5)1.75 1.75 1.40 1.89 (0.81) 150528LV7 CEDAR RAPIDS IOWA TAXABLE G 2.50 06/01/2020 490 Aa1 104.42 04/07/2016 102.06 500 103.14 (5)1.77 1.77 1.40 2.81 0.05 64966LN56 NEW YORK N Y TAXABLE GO BDS 2.15 06/01/2020 500 Aa2 AA 100.00 06/18/2015 100.58 503 100.00 3 1.78 1.95 2.15 2.82 0.05 3133834H1 FEDERAL HOME LOAN BANKS 1.38 06/12/2020 500 Aaa AA+101.60 07/08/2016 99.17 496 101.20 (10)1.75 1.67 0.96 2.88 0.05 3136G0R60 FEDERAL NATL MTG ASSN 1.50 10/22/2020 500 Aaa AA+100.94 10/11/2016 99.26 496 100.78 (8)1.76 1.73 1.26 3.21 0.06 76116FAG2 RESOLUTION FDG FED BK PRIN S 0.00 01/15/2021 780 Aaa AA+93.14 04/14/2016 93.49 729 94.85 (11)2.58 1.91 1.50 3.51 0.07 113835H54 BROOKLYN CENTER MINN GO TAX 3.00 02/01/2021 400 N/A AA 101.88 01/24/2014 103.15 413 101.01 9 1.47 2.08 2.70 3.36 0.07 3133EG3V5 FEDERAL FARM CR BKS 2.14 10/18/2021 500 Aaa AA+07/19/2017 100.00 01/18/2017 99.19 496 100.00 (4)1.76 2.34 2.14 2.35 (1.41) 742651DJ8 PRIVATE EXPT FDG CORP 4.30 12/15/2021 600 Aaa AA+114.14 04/29/2015 109.59 658 109.72 (1)2.33 2.04 2.01 4.08 0.10 87165HFH8 SYNCHRONY BANK 2.55 12/20/2021 246 N/A 100.00 12/19/2014 102.49 252 100.00 6 0.89 1.97 2.55 4.22 0.10 Tota 1.47 28,201 100.05 28,216 100.22 (46)100.00 1.45 1.36 1.44 (0.03) 6 Call Projection Flat Scenario Coupon Eff Projected Call Projected CUSIP Issuer Name (%)Maturity Dur Convex Par($)Date of Call 751622AJ0 RAMSEY CNTY MINN TAXABLE GO 5.1 02/01/2018 0.08 0 190,000 07/2017 0 0 0 0 0 0 0 06/2017 07/2017 07/2017 0 0 0 0 0 0 0 06/2017 07/2017 07/2017 0 0 0 0 0 0 0 06/2017 07/2017 07/2017 0 0 0 0 0 0 0 06/2017 07/2017 07/2017 0 0 0 0 0 0 0 06/2017 07/2017 07/2017 0 0 0 0 0 0 0 06/2017 07/2017 07/2017 0 0 0 0 0 0 0 06/2017 07/2017 07/2017 0 0 0 0 0 0 0 06/2017 07/2017 07/2017 0 0 0 0 0 0 0 06/2017 07/2017 07/2017 0 0 0 0 0 0 0 06/2017 07/2017 07/2017 7 History 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 06/30/2017 28,201 (46)1.55 1.44 (0.03)1.45 1.30 1.36 1.47 100.05 Aa1 AA+69 04/28/2017 28,151 (38)1.63 1.52 (0.03)1.35 1.19 1.27 1.36 100.05 Aa1 AA+64 03/31/2017 29,892 (54)1.68 1.51 (0.05)1.35 1.15 1.27 1.35 100.00 Aa1 AA+70 02/28/2017 13,828 27 1.26 1.19 (0.01)1.08 0.92 1.25 1.35 100.45 Aaa AA+37 01/31/2017 13,828 31 1.32 1.24 (0.01)1.06 0.89 1.21 1.31 100.50 Aaa AAA 37 12/30/2016 14,077 16 1.36 1.28 (0.01)1.11 0.89 1.20 1.30 100.39 Aaa AAA 38 11/30/2016 29,695 69 1.64 1.55 (0.00)0.96 0.97 1.10 1.21 100.44 Aa1 AA+60 10/31/2016 30,320 151 1.67 1.56 (0.02)0.88 0.73 1.14 1.25 100.71 Aa1 AA+61 09/30/2016 24,751 202 1.75 1.64 0.01 0.84 0.64 1.19 1.24 101.00 Aa1 AA+53 08/31/2016 26,748 225 1.74 1.60 (0.02)0.67 0.65 1.17 1.28 101.02 Aa1 AA+59 07/29/2016 27,497 244 1.77 1.62 (0.01)0.81 0.53 1.16 1.30 101.07 Aa1 AA+61 Ratings Historical Performance 0.00 0.20 0.40 0.60 0.80 1.00 1.20 1.40 1.60 Jun-17Apr-17Mar-17Feb-17Jan-17Dec-16Nov-16Oct-16Sep-16Aug-16Jul-16 Avg Bk Yld(%)Avg Benchmark Tsy Yld(%) 8 Rate Shock 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($) 28215890 -150 2.45 1.25 1.21 0.75 0.73 0.01 29,008,327 692,136 340,284 595,355 -100 2.17 1.33 0.84 0.74 0.73 0.01 28,926,880 610,874 236,449 398,973 -50 1.91 1.43 0.47 0.74 0.72 0.01 28,853,657 538,077 133,461 201,179 0 1.64 1.51 0.13 0.83 0.76 (0.03)28,776,759 461,330 35,552 0 50 1.33 1.60 (0.27)0.82 0.78 (0.01)28,690,188 374,989 (75,619)(206,258) 100 1.02 1.69 (0.66)0.82 0.79 0.01 28,603,651 288,931 (186,789)(413,363) 150 0.72 1.78 (1.05)0.81 0.78 0.01 28,518,343 204,001 (296,831)(616,235) Horizon (Mo):12 Reinv. Rate(%):1.12 Aged-Govt Spot Curve Parallel Shift Yield Curve Assumptions: ----------------------Return %----------------------Mkt Value Change w/Accrd Int ($) Portfolio Market Value Change - ($)Change in Effective Duration 0.50 0.75 1.00 -150 -100 -50 0 50 100 150(800,000) (600,000) (400,000) (200,000) 0 200,000 400,000 600,000 800,000 -150 -100 -50 0 50 100 150 Mkt Value Change w/Accrd int($)Mkt Value Change w/o Accrd Int($)Mkt Value w/o Accrd Int Change-Instantaneous($) 9 Important Disclosures Relating to Conflicts of Interest and Potential Conflicts of Interest Accuracy of Information About Wells Fargo Securities Copyright© 2017 Wells Fargo & Company SECURITIES: NOT FDIC:-INSURED/NOT BANK-GUARANTEED/MAY LOSE VALUE Wells Fargo Securities is the trade name for the capital markets and investment banking services of Wells Fargo & Company and its subsidiaries, including but not limited to Wells Fargo Securities, LLC, a member of NYSE, FINRA, NFA and SIPC, Wells Fargo Prime Services, LLC, a member of FINRA, NFA and SIPC, and Wells Fargo Bank, N.A. 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