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Investment Report 12-31-2018
City of Chanhassen 12/31/2018 Scott Lewandowski (612) 667-1568 scott.lewandowski@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 17 Cash Flow Report 4 Money Market Sector - Summary 18 Historical Performance 6 Brokered CD - Summary 19 Duration Contribution 7 Municipal - Summary 20 Credit Rating Monitor 8 Positions by Sector 10 Positions by Maturity 12 Positions by Maturity - Scenario Analysis 14 2 Portfolio Summary Portfolio Snapshot Coupon Structure Sector Allocation Number of Positions 71 Par ($000)34,764 Book Value ($000)34,747 Mkt Value w/o Accrd ($000)34,602 Unrlzed Gain / Loss ($000)(146) Coupon 2.12 Book Yield 2.13 Market Yield 2.55 Wgt Avg Maturity 1.7 Average Life 1.7 Effective Duration 1.5 Effective Convexity (0.1) Overnight Funds Principal 7,395 Overnight Funds Interest 0 Term Securities Principal 9,576 Term Securities Interest 536 Total Cash Flow 17,508 100%100% A-1+/A-1/P-1 A-2 / P-2 A-3 / P-3 Not Prime NA Short Term Rating 34% 11% 55% 8% 45%47% 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 39.1% Certificate of Deposit 12.8% MMF 21.3% Municipal 24.9% SSA 1.8% 2.00 2.14 1.68 1.59 2.24 1.15 2.09 1.15 1.67 1.79 1.69 1.75 1.97 2.39 2.79 0.00 0.50 1.00 1.50 2.00 2.50 3.00 0 2,000,000 4,000,000 6,000,000 8,000,000 10,000,000 12,000,000 O/N Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 Month 7 Month 8 Month 9 Month 10 Month 11 Month 12 1 Year 2 Years 3 Years >3 Years Interest Call Maturity Run Off Yield Credit Exposure Cash Flow Projections* Portfolio Snapshot Coupon Structure Portfolio Allocation Characteristics 12M Projected Cash Flow ($000)S&P Moody's Portfolio Analysis 3 Cash Flow Projections Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) O/N 405 0 7,395,473 2.00 7,395,878 7,395,878 Jan-19 14,603 0 305,000 2.14 319,603 7,715,481 Feb-19 104,688 0 2,905,000 1.68 3,009,688 10,725,169 Mar-19 60,779 0 744,000 1.59 804,779 11,529,949 Apr-19 40,204 0 0 0.00 40,204 11,570,152 May-19 24,109 0 991,000 2.24 1,015,109 12,585,262 Jun-19 50,512 0 249,000 1.15 299,512 12,884,774 Jul-19 10,638 0 0 0.00 10,638 12,895,412 Aug-19 69,030 0 988,000 2.09 1,057,030 13,952,442 Sep-19 59,570 0 500,000 1.15 559,570 14,512,011 Oct-19 39,965 0 1,633,000 1.67 1,672,965 16,184,976 Nov-19 11,445 0 560,000 1.79 571,445 16,756,421 Year 1 Dec-19 50,264 0 701,000 1.69 751,264 17,507,685 Jan-20 10,378 0 500,000 1.55 510,378 18,018,064 Feb-20 58,458 0 249,000 2.56 307,458 18,325,522 Mar-20 55,906 0 200,000 1.40 255,906 18,581,428 Apr-20 23,286 0 500,000 2.77 523,286 19,104,715 May-20 10,656 0 1,020,000 1.25 1,030,656 20,135,371 Jun-20 45,136 0 1,490,000 1.50 1,535,136 21,670,507 Jul-20 5,974 0 0 0.00 5,974 21,676,481 Aug-20 57,838 0 1,000,000 2.63 1,057,838 22,734,319 Sep-20 53,926 0 748,000 2.87 801,926 23,536,245 Oct-20 16,437 0 500,000 1.26 516,437 24,052,682 Nov-20 3,567 0 0 0.00 3,567 24,056,249 Year 2 Dec-20 29,599 0 0 0.00 29,599 24,085,848 Jan-21 5,375 0 780,000 1.49 785,375 24,871,223 Feb-21 49,080 0 540,000 2.51 589,080 25,460,303 Mar-21 49,869 0 0 0.00 49,869 25,510,172 Apr-21 12,687 0 0 0.00 12,687 25,522,859 May-21 3,567 0 246,000 2.90 249,567 25,772,426 Jun-21 29,599 0 0 0.00 29,599 25,802,025 Jul-21 5,375 0 0 0.00 5,375 25,807,400 Aug-21 41,715 0 500,000 2.83 541,715 26,349,115 Sep-21 49,869 0 990,000 2.99 1,039,869 27,388,985 Oct-21 12,687 0 494,000 2.10 506,687 27,895,672 Nov-21 0 0 0 0.00 0 27,895,672 Year 3 Dec-21 29,616 0 846,000 2.25 875,616 28,771,288 Portfolio Analysis 4 Cash Flow Projections - Continued Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) Jan-22 5,375 0 500,000 2.16 505,375 29,276,663 Feb-22 37,215 0 260,000 2.22 297,215 29,573,878 Mar-22 38,309 0 300,000 2.88 338,309 29,912,188 Apr-22 7,500 0 0 0.00 7,500 29,919,688 May-22 0 0 0 0.00 0 29,919,688 Jun-22 13,563 0 0 0.00 13,563 29,933,250 Jul-22 0 0 0 0.00 0 29,933,250 Aug-22 34,335 0 0 0.00 34,335 29,967,585 Sep-22 33,959 0 1,000,000 2.80 1,033,959 31,001,544 Oct-22 7,500 0 0 0.00 7,500 31,009,044 Nov-22 0 0 0 0.00 0 31,009,044 Year 4 Dec-22 13,563 0 370,000 3.05 383,563 31,392,607 Jan-23 0 0 0 0.00 0 31,392,607 Feb-23 34,335 0 1,160,000 2.28 1,194,335 32,586,942 Mar-23 23,709 0 0 0.00 23,709 32,610,651 Apr-23 7,500 0 0 0.00 7,500 32,618,151 May-23 0 0 0 0.00 0 32,618,151 Jun-23 4,313 0 0 0.00 4,313 32,622,464 Jul-23 0 0 0 0.00 0 32,622,464 Aug-23 19,038 0 0 0.00 19,038 32,641,501 Sep-23 23,709 0 205,000 2.85 228,709 32,870,211 Oct-23 7,500 0 500,000 2.88 507,500 33,377,711 Nov-23 0 0 0 0.00 0 33,377,711 Year 5 Dec-23 4,313 0 0 0.00 4,313 33,382,023 Jan-24 0 0 0 0.00 0 33,382,023 Feb-24 19,038 0 150,000 2.40 169,038 33,551,061 Mar-24 20,250 0 0 0.00 20,250 33,571,311 Apr-24 0 0 0 0.00 0 33,571,311 May-24 0 0 0 0.00 0 33,571,311 Jun-24 4,313 0 345,000 2.50 349,313 33,920,623 Jul-24 0 0 0 0.00 0 33,920,623 Aug-24 17,238 0 750,000 3.18 767,238 34,687,861 Sep-24 20,250 0 0 0.00 20,250 34,708,111 Oct-24 0 0 0 0.00 0 34,708,111 Nov-24 0 0 0 0.00 0 34,708,111 Year 6 Dec-24 0 0 0 0.00 0 34,708,111 Portfolio Analysis 5 Yield / Duration Contribution Book Market Book Eff Sector Total (%)Value ($)Value ($)G / L ($)Yield Dur Agency 39.1%13,597,262 13,557,486 (39,776)2.24 2.0 Certificate of Deposit 12.8%4,451,000 4,419,133 (31,867)2.06 1.1 MMF 21.3%7,395,473 7,395,473 0 2.00 0.0 Municipal 24.9%8,664,454 8,602,951 (61,504)2.12 2.2 SSA 1.8%639,226 626,872 (12,354)2.01 2.8 Total Portfolio 100.0%34,747,416 34,601,915 (145,501)2.13 1.5 Agency Certificate of Deposit MMF Municipal SSA 1.95 2.00 2.05 2.10 2.15 2.20 2.25 2.30 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 Book Yield by Duration and Sector Portfolio Analysis 6 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 6 279533TN3 Municipal EDEN PRAIRIE MN INDEP SCH DIST 5.75 02/01/19 225,000 WR 02/01/19 ------- 9 373385BL6 Municipal GEORGIA ST 3.50 02/01/19 500,000 WR 02/01/19 -AAA 06/20/17 -NR 02/01/19 - 7 279533TN3 Municipal EDEN PRAIRIE MN INDEP SCH DIST 5.75 02/01/19 525,000 WR 02/01/19 ------- 4 60416SSG6 Municipal MINNESOTA ST HSG FIN AGY 1.80 01/01/19 305,000 WR 01/01/19 -AA+12/13/16 ---- 71 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 - 25 313400BV4 Agency FREDDIE MAC 0.00 11/29/19 560,000 ---AA 06/22/18 -AA-03/21/14 - 70 4095585H2 Municipal HAMPTON VA 4.00 09/01/25 600,000 Aa1 06/05/18 -AA+06/13/18 -AA+06/06/18 - 64 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 - 58 60375BDC7 Municipal MINNEAPOLIS MN 5.00 12/01/22 370,000 ---AAA 05/15/18 -AA+05/11/18 - 32 3137EAEM7 Agency FREDDIE MAC 2.50 04/23/20 500,000 Aaa 04/19/18 -AA+04/18/18 -AAA 04/19/18 - 55 809557BA8 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.35 02/01/22 120,000 ---AAA 04/04/18 ---- 62 809557BB6 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.50 02/01/23 120,000 ---AAA 04/04/18 ---- 69 3133EJBN8 Agency FEDERAL FARM CREDIT BANK 3.00 02/05/25 550,000 ---AA+02/08/18 -AAA 02/06/18 - 56 60374Y7S0 Municipal MINNEAPOLIS MN 2.90 03/01/22 300,000 Aa1 02/07/14 -AAA 02/12/14 -AA+11/08/17 - 54 161664HB6 Municipal CHASKA MN 2.10 02/01/22 140,000 ---AA 11/06/17 ---- 44 161664HA8 Municipal CHASKA MN 1.95 02/01/21 140,000 ---AA 11/06/17 ---- 60 161664HC4 Municipal CHASKA MN 2.25 02/01/23 145,000 ---AA 11/06/17 ---- 65 161664HD2 Municipal CHASKA MN 2.40 02/01/24 150,000 ---AA 11/06/17 ---- 59 092765EW2 Municipal BLAINE MN 2.25 02/01/23 395,000 ---AA+11/02/17 ---- 33 97705MDS1 Municipal WISCONSIN ST 1.15 05/01/20 520,000 Aa1 08/04/17 -AA 07/12/16 -AA+10/19/17 - 46 93974DV54 Municipal WASHINGTON ST 1.80 08/01/21 500,000 Aa1 08/31/17 -AA+09/26/17 -AA+08/30/17 - 48 3130ACGX6 Agency FEDERAL HOME LOAN BANK 2.00 09/27/21 590,000 Aaa 09/20/17 -AA+09/20/17 ---- 57 3134GBH39 Agency FREDDIE MAC 2.05 09/29/22 1,000,000 Aaa 09/12/17 -AA+09/11/17 -AAA 09/12/17 - 40 3130ACE26 Agency FEDERAL HOME LOAN BANK 1.38 09/28/20 500,000 Aaa 09/08/17 -AA+09/08/17 ---- 68 3130ABXS0 Agency FEDERAL HOME LOAN BANK 2.47 08/14/24 500,000 Aaa 07/27/17 -AA+07/27/17 ---- 66 3130ABLN4 Agency FEDERAL HOME LOAN BANK 2.50 06/28/24 345,000 Aaa 06/12/17 -AA+06/12/17 ---- 53 3134GAQ31 Agency FREDDIE MAC 2.15 01/26/22 500,000 Aaa 01/10/17 -AA+01/10/17 -AAA 01/11/17 - 29 3133EG3J2 Agency FEDERAL FARM CREDIT BANK 1.55 01/10/20 500,000 Aaa 01/04/17 -AA+01/03/17 -AAA 01/10/17 - 22 3136G4BB8 Agency FANNIE MAE 1.15 09/27/19 500,000 Aaa 09/19/16 -AA+09/19/16 -AAA 09/30/16 - 67 64971WP53 Municipal NEW YORK CITY NY TRANSITIONAL 2.25 08/01/24 250,000 Aa1 09/12/16 -AAA 09/14/16 -AAA 09/09/16 - 34 3130A7ZT5 Agency FEDERAL HOME LOAN BANK 1.40 05/18/20 500,000 Aaa 05/09/16 -AA+05/09/16 ---- 31 678519UC1 Municipal OKLAHOMA CITY OK 2.00 03/01/20 200,000 Aaa 03/18/16 -AAA 03/29/16 ---- 51 742651DJ8 SSA PRIVATE EXPORT FUNDING 4.30 12/15/21 600,000 Aaa 08/02/11 -NR 12/23/15 -AAA 11/20/14 - 36 64966LN56 Municipal NEW YORK NY 2.15 06/01/20 500,000 Aa2 05/28/15 -AA 06/02/15 -AA 05/28/15 - 26 742617CD3 Municipal PRIOR LAKE MN 1.60 12/15/19 205,000 Aa2 04/16/15 -AA+04/22/15 ---- 35 150528LV7 Municipal CEDAR RAPIDS IA 2.50 06/01/20 490,000 Aa1 04/22/14 ------- 47 3133ECWS9 Agency FEDERAL FARM CREDIT BANK 2.83 09/07/21 400,000 Aaa 08/01/13 -AA+07/31/13 -AAA 03/21/14 - 38 3134G3F96 Agency FREDDIE MAC 1.65 08/28/20 1,000,000 Aaa 08/10/12 -AA+08/08/12 -AAA 03/21/14 - 41 3136G0R60 Agency FANNIE MAE 1.50 10/22/20 500,000 Aaa 10/04/12 -AA+10/02/12 -AAA 03/21/14 - Portfolio Analysis 7 Credit Rating Monitor Watch Positive Watch Negative ∆ Last 90 Days Moody's S & P Fitch Final Par Current Eff Current Eff Current Eff ID CUSIP Sector Issuer Cpn Maturity Amount Rating Date Watch Rating Date Watch Rating Date Watch 10 3136FTR68 Agency FANNIE MAE 1.65 02/28/19 500,000 Aaa 02/03/12 -AA+02/02/12 -AAA 03/21/14 - 16 3137EADG1 Agency FREDDIE MAC 1.75 05/30/19 500,000 Aaa 04/13/12 -AA+04/12/12 -AAA 03/21/14 - 43 113835H54 Municipal BROOKLYN CENTER MN 3.00 02/01/21 400,000 ---AA 11/21/13 ---- 23 882722J69 Municipal TEXAS ST 3.19 10/01/19 995,000 Aaa 07/15/11 -AAA 09/30/13 -AAA 07/26/11 - 63 313383YJ4 Agency FEDERAL HOME LOAN BANK 3.38 09/08/23 205,000 Aaa 08/27/13 -AA+08/26/13 ---- 61 73723RSP9 Municipal PORTSMOUTH VA 3.09 02/01/23 500,000 Aa2 05/24/13 -AA 06/05/13 -AA 05/21/13 - 37 3133834H1 Agency FEDERAL HOME LOAN BANK 1.38 06/12/20 500,000 Aaa 05/08/13 -AA+05/07/13 ---- FDIC-Insured brokered CDs are not included in the Credit Rating Monitor Portfolio Analysis 8 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 8 31358BAA6 FANNIE MAE 3.3%0.00 02/01/19 ---Bullet 1,155,000 06/19/14 91.43 99.84 99.80 (491)1.89 2.39 0.1 0.1 0.0 10 3136FTR68 FANNIE MAE 1.4%1.65 02/28/19 Aaa AA+-Bullet 500,000 03/05/12 99.68 99.99 99.87 (585)1.70 2.43 0.2 0.2 0.0 16 3137EADG1 FREDDIE MAC 1.4%1.75 05/30/19 Aaa AA+-Bullet 500,000 07/10/18 99.48 99.75 99.68 (342)2.35 2.52 0.4 0.4 0.0 22 3136G4BB8 FANNIE MAE 1.4%1.15 09/27/19 Aaa AA+-Bullet 500,000 09/30/16 100.00 100.00 98.91 (5,438)1.15 2.64 0.7 0.7 0.0 24 76116FAA5 RFCO STRIP PRINC 1.8%0.00 10/15/19 ---Bullet 638,000 12/10/14 91.69 98.60 97.93 (4,258)1.78 2.64 0.8 0.8 0.0 25 313400BV4 FREDDIE MAC 1.6%0.00 11/29/19 -AA -Bullet 560,000 08/05/15 92.56 98.38 97.48 (5,027)1.79 2.81 0.9 0.9 0.0 29 3133EG3J2 FEDERAL FARM CREDIT BANK 1.4%1.55 01/10/20 Aaa AA+-Bullet 500,000 01/10/17 100.00 100.00 99.03 (4,840)1.55 2.51 1.0 1.0 0.0 32 3137EAEM7 FREDDIE MAC 1.4%2.50 04/23/20 Aaa AA+-Bullet 500,000 12/04/18 99.63 99.65 99.86 1,071 2.77 2.61 1.3 1.3 0.0 34 3130A7ZT5 FEDERAL HOME LOAN BANK 1.4%1.40 05/18/20 Aaa AA+01/05/19 Amer 500,000 05/18/16 100.00 100.00 98.44 (7,803)1.40 2.55 1.4 1.4 0.0 37 3133834H1 FEDERAL HOME LOAN BANK 1.4%1.38 06/12/20 Aaa AA+-Bullet 500,000 07/08/16 101.60 100.59 98.28 (11,571)0.96 2.59 1.4 1.4 0.0 38 3134G3F96 FREDDIE MAC 2.8%1.65 08/28/20 Aaa AA+-Bullet 1,000,000 07/10/18 97.98 98.42 98.83 4,110 2.63 2.37 1.7 1.6 0.0 40 3130ACE26 FEDERAL HOME LOAN BANK 1.4%1.38 09/28/20 Aaa AA+-Bullet 500,000 12/04/18 97.44 97.54 97.98 2,175 2.83 2.57 1.7 1.7 0.0 41 3136G0R60 FANNIE MAE 1.4%1.50 10/22/20 Aaa AA+-Bullet 500,000 10/11/16 100.94 100.43 98.00 (12,117)1.26 2.64 1.8 1.8 0.0 42 76116FAG2 RFCO STRIP PRINC 2.2%0.00 01/15/21 ---Bullet 780,000 04/14/16 93.14 97.00 94.78 (17,276)1.49 2.63 2.0 2.0 0.0 47 3133ECWS9 FEDERAL FARM CREDIT BANK 1.1%2.83 09/07/21 Aaa AA+-Bullet 400,000 12/03/18 99.71 99.72 100.66 3,766 2.94 2.57 2.7 2.5 0.1 48 3130ACGX6 FEDERAL HOME LOAN BANK 1.7%2.00 09/27/21 Aaa AA+03/27/19 Berm 590,000 11/29/18 97.25 97.34 97.96 3,705 3.02 2.78 2.7 2.6 (0.2) 53 3134GAQ31 FREDDIE MAC 1.4%2.15 01/26/22 Aaa AA+01/26/19 Berm 500,000 11/14/17 99.95 99.96 98.62 (6,697)2.16 2.62 3.1 2.6 (1.1) 57 3134GBH39 FREDDIE MAC 2.8%2.05 09/29/22 Aaa AA+03/29/19 Berm 1,000,000 06/29/18 97.01 97.35 98.08 7,291 2.80 2.59 3.7 3.3 (0.9) 63 313383YJ4 FEDERAL HOME LOAN BANK 0.6%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 102.28 103.00 1,469 2.85 2.69 4.7 4.3 0.2 64 3133EJQA0 FEDERAL FARM CREDIT BANK 1.4%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.53 101.07 2,706 2.88 2.76 4.8 4.4 0.2 66 3130ABLN4 FEDERAL HOME LOAN BANK 1.0%2.50 06/28/24 Aaa AA+06/28/19 Amer 345,000 10/11/17 100.00 100.00 98.06 (6,679)2.50 2.88 5.5 4.2 (2.4) 68 3130ABXS0 FEDERAL HOME LOAN BANK 1.4%2.47 08/14/24 Aaa AA+08/14/20 Amer 500,000 07/19/18 96.27 96.52 97.52 4,983 3.15 2.95 5.6 4.6 (1.5) 69 3133EJBN8 FEDERAL FARM CREDIT BANK 1.6%3.00 02/05/25 -AA+02/05/19 Amer 550,000 06/21/18 98.39 98.50 99.63 6,216 3.27 3.07 6.1 2.1 (5.5) 71 3133EJD55 FEDERAL FARM CREDIT BANK 1.5%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 101.09 102.26 5,857 3.14 2.97 7.7 6.8 0.5 Agency 39.1%1.59 Aaa AA+13,723,000 97.56 99.08 98.79 (39,776)2.24 2.63 2.4 2.0 (0.4) 11 20033AXA9 COMENITY CAPITAL BANK 0.7%1.60 03/15/19 ---Bullet 249,000 09/15/17 100.00 100.00 99.84 (399)1.61 2.38 0.2 0.2 0.0 12 149159LH6 CATHAY BANK 0.7%1.60 03/25/19 ---Bullet 249,000 09/25/17 100.00 100.00 99.81 (486)1.61 2.44 0.2 0.2 0.0 13 51210SND5 LAKESIDE BANK 0.7%1.55 03/29/19 ---Bullet 246,000 06/30/17 100.00 100.00 99.78 (535)1.56 2.45 0.2 0.2 0.0 14 38147JZT2 GOLDMAN SACHS BANK USA 0.7%2.00 05/14/19 ---Bullet 247,000 05/14/14 100.00 100.00 99.79 (523)2.00 2.57 0.4 0.4 0.0 15 06279KKW5 BANK OF INDIA NY 0.7%2.30 05/22/19 ---Bullet 244,000 05/24/18 100.00 100.00 99.90 (240)2.27 2.52 0.4 0.4 0.0 17 59013JQY8 MERRICK BANK 0.7%1.15 06/28/19 ---Bullet 249,000 06/29/16 100.00 100.00 99.32 (1,689)1.15 2.55 0.5 0.5 0.0 19 2546714E7 DISCOVER BANK 0.7%2.10 08/13/19 ---Bullet 247,000 08/13/14 100.00 100.00 99.70 (737)2.10 2.59 0.6 0.6 0.0 18 06740KHS9 BARCLAYS BANK/DELAWARE 0.7%2.10 08/13/19 ---Bullet 247,000 08/13/14 100.00 100.00 99.63 (903)2.10 2.70 0.6 0.6 0.0 20 02587CAT7 AMERICAN EXPRESS BK FSB 0.7%2.05 08/14/19 ---Bullet 247,000 08/14/14 100.00 100.00 99.64 (893)2.05 2.64 0.6 0.6 0.0 21 628779FN5 NBT BANK 0.7%2.10 08/20/19 ---Bullet 247,000 08/20/14 100.00 100.00 99.62 (938)2.10 2.70 0.6 0.6 0.0 27 17284C6R0 CIT BANK NA 0.7%2.20 12/24/19 ---Bullet 247,000 12/24/14 100.00 100.00 99.50 (1,237)2.20 2.72 1.0 1.0 0.0 28 57116AMC9 MARLIN BUSINESS BANK 0.7%1.25 12/27/19 ---Bullet 249,000 06/29/16 100.00 100.00 98.59 (3,508)1.25 2.71 1.0 1.0 0.0 30 410493DD9 HANMI BANK 0.7%2.55 02/25/20 ---Bullet 249,000 05/25/18 100.00 100.00 99.74 (641)2.56 2.79 1.2 1.1 0.0 39 84287PFU1 SOUTHERN FIRST BANK NA 0.7%2.90 09/08/20 ---Bullet 248,000 12/07/18 100.00 100.00 99.91 (228)2.92 2.97 1.7 1.7 0.0 45 02007GCV3 ALLY BANK 0.7%2.90 05/24/21 ---Bullet 246,000 05/24/18 100.00 100.00 99.50 (1,242)2.90 3.12 2.4 2.3 0.1 49 14042RJJ1 CAPITAL ONE NA 0.7%2.15 10/12/21 ---Bullet 247,000 10/12/17 100.00 100.00 97.28 (6,713)2.15 3.18 2.8 2.7 0.1 50 05580AKQ6 BMW BANK NORTH AMERICA 0.7%2.05 10/13/21 ---Bullet 247,000 10/13/17 100.00 100.00 97.01 (7,375)2.05 3.18 2.8 2.7 0.1 52 87165HFH8 SYNCHRONY BANK 0.7%2.55 12/20/21 ---Bullet 246,000 12/19/14 100.00 100.00 98.54 (3,581)2.55 3.07 3.0 2.8 0.1 Domestic CD 12.8%2.06 4,451,000 100.00 100.00 99.28 (31,867)2.06 2.74 1.1 1.1 0.0 3 0008CHAN2 NORTHLAND 0.1%1.45 ---Bullet 23,188 10/01/18 100.00 100.00 100.00 0 1.45 1.45 0.0 0.0 0.0 2 0006CHAN6 BMO HARRIS BK 3.8%0.00 ---Bullet 1,305,762 10/01/18 100.00 100.00 100.00 0 0.00 0.00 0.0 0.0 0.0 1 0003CHAN3 WF HERITAGE PRIM 17.5%2.43 ---Bullet 6,066,514 10/01/18 100.00 100.00 100.00 0 2.43 2.43 0.0 0.0 0.0 5 0006CHAN7 PMA-4M FUND 0.0%2.09 ---Bullet 10 10/01/18 100.00 100.00 100.00 0 2.09 2.09 0.0 0.0 0.0 MMF 21.3%2.00 7,395,473 100.00 100.00 100.00 0 2.00 2.00 0.0 0.0 0.0 4 60416SSG6 MINNESOTA ST HSG FIN AGY 0.9%1.80 01/01/19 WR AA+-Bullet 305,000 12/22/16 100.00 100.00 100.00 0 2.14 2.14 0.0 0.0 0.0 9 373385BL6 GEORGIA ST 1.4%3.50 02/01/19 WR AAA -Bullet 500,000 07/18/17 103.18 100.17 100.07 (505)1.47 2.64 0.1 0.1 0.0 7 279533TN3 EDEN PRAIRIE MN INDEP SCH DIST 1.5%5.75 02/01/19 WR --Bullet 525,000 01/04/17 108.76 100.36 100.24 (593)1.59 2.88 0.1 0.1 0.0 6 279533TN3 EDEN PRAIRIE MN INDEP SCH DIST 0.7%5.75 02/01/19 WR --Bullet 225,000 04/26/16 112.62 100.38 100.24 (320)1.26 2.88 0.1 0.1 0.0 23 882722J69 TEXAS ST 2.9%3.19 10/01/19 Aaa AAA -Bullet 995,000 06/24/15 106.62 101.19 100.35 (8,448)1.59 2.72 0.8 0.7 0.0 26 742617CD3 PRIOR LAKE MN 0.6%1.60 12/15/19 Aa2 AA+-Bullet 205,000 05/14/15 100.00 100.00 98.61 (2,845)1.60 3.08 1.0 1.0 0.0 31 678519UC1 OKLAHOMA CITY OK 0.6%2.00 03/01/20 Aaa AAA -Bullet 200,000 05/17/16 102.21 100.69 99.17 (3,040)1.40 2.72 1.2 1.2 0.0 33 97705MDS1 WISCONSIN ST 1.5%1.15 05/01/20 Aa1 AA -Bullet 520,000 07/28/16 100.15 100.05 97.98 (10,764)1.11 2.70 1.3 1.3 0.0 35 150528LV7 CEDAR RAPIDS IA 1.4%2.50 06/01/20 Aa1 --Bullet 490,000 04/07/16 104.42 101.54 99.63 (9,330)1.40 2.76 1.4 1.4 0.0 36 64966LN56 NEW YORK NY 1.4%2.15 06/01/20 Aa2 AA -Bullet 500,000 06/18/15 100.00 100.00 99.02 (4,925)2.15 2.86 1.4 1.4 0.0 44 161664HA8 CHASKA MN 0.4%1.95 02/01/21 -AA -Bullet 140,000 11/29/17 100.00 100.00 98.51 (2,092)1.95 2.69 2.1 2.0 0.1 43 113835H54 BROOKLYN CENTER MN 1.2%3.00 02/01/21 -AA -Bullet 400,000 01/24/14 101.88 100.59 100.27 (1,288)2.70 2.86 2.1 2.0 0.1 46 93974DV54 WASHINGTON ST 1.4%1.80 08/01/21 Aa1 AA+-Bullet 500,000 07/26/18 97.04 97.45 97.76 1,530 2.83 2.70 2.6 2.5 0.1 Portfolio Analysis 9 Positions by Sector %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 55 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0.3%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 98.39 (1,927)2.35 2.90 3.1 2.9 0.1 54 161664HB6 CHASKA MN 0.4%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 98.30 (2,380)2.10 2.68 3.1 2.9 0.1 56 60374Y7S0 MINNEAPOLIS MN 0.9%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.07 100.51 1,314 2.88 2.73 3.2 3.0 0.1 58 60375BDC7 MINNEAPOLIS MN 1.1%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 107.15 108.20 3,900 3.05 2.78 3.9 3.6 0.2 61 73723RSP9 PORTSMOUTH VA 1.5%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 103.25 100.93 (11,640)2.25 2.85 4.1 3.8 0.2 62 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 98.26 (2,092)2.50 2.96 4.1 3.8 0.2 59 092765EW2 BLAINE MN 1.1%2.25 02/01/23 -AA+-Bullet 395,000 12/05/17 100.00 100.00 97.68 (9,164)2.25 2.86 4.1 3.8 0.2 60 161664HC4 CHASKA MN 0.4%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 98.10 (2,761)2.25 2.75 4.1 3.8 0.2 65 161664HD2 CHASKA MN 0.4%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 98.00 (2,997)2.40 2.82 5.1 4.7 0.3 67 64971WP53 NEW YORK CITY NY TRANSITIONAL 0.7%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 94.93 94.73 (510)3.25 3.29 5.6 5.2 0.3 70 4095585H2 HAMPTON VA 1.8%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 104.15 105.72 9,372 3.30 3.05 6.7 5.8 0.4 Municipals 24.9%2.96 Aa1 AA+8,595,000 102.80 100.81 100.09 (61,504)2.12 2.80 2.3 2.2 0.1 51 742651DJ8 PRIVATE EXPORT FUNDING 1.8%4.30 12/15/21 Aaa NR -Bullet 600,000 04/29/15 114.14 106.54 104.48 (12,354)2.01 2.71 3.0 2.8 0.1 SSA 1.8%4.30 Aaa 600,000 114.14 106.54 104.48 (12,354)2.01 2.71 3.0 2.8 0.1 Total Portfolio 100.0%2.12 34,764,473 99.97 99.95 99.53 (145,501)2.13 2.55 1.7 1.5 (0.1) Portfolio Analysis 10 Positions by Maturity %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 3 0008CHAN2 NORTHLAND 0%1.45 ---Bullet 23,188 10/01/18 100.00 100.00 100.00 0 1.45 1.45 0.0 0.0 0.0 2 0006CHAN6 BMO HARRIS BK 4%0.00 ---Bullet 1,305,762 10/01/18 100.00 100.00 100.00 0 0.00 0.00 0.0 0.0 0.0 1 0003CHAN3 WF HERITAGE PRIM 17%2.43 ---Bullet 6,066,514 10/01/18 100.00 100.00 100.00 0 2.43 2.43 0.0 0.0 0.0 5 0006CHAN7 PMA-4M FUND 0%2.09 ---Bullet 10 10/01/18 100.00 100.00 100.00 0 2.09 2.09 0.0 0.0 0.0 4 60416SSG6 MINNESOTA ST HSG FIN AGY 1%1.80 01/01/19 WR AA+-Bullet 305,000 12/22/16 100.00 100.00 100.00 0 2.14 2.14 0.0 0.0 0.0 9 373385BL6 GEORGIA ST 1%3.50 02/01/19 WR AAA -Bullet 500,000 07/18/17 103.18 100.17 100.07 (505)1.47 2.64 0.1 0.1 0.0 7 279533TN3 EDEN PRAIRIE MN INDEP SCH DIST 2%5.75 02/01/19 WR --Bullet 525,000 01/04/17 108.76 100.36 100.24 (593)1.59 2.88 0.1 0.1 0.0 8 31358BAA6 FANNIE MAE 3%0.00 02/01/19 ---Bullet 1,155,000 06/19/14 91.43 99.84 99.80 (491)1.89 2.39 0.1 0.1 0.0 6 279533TN3 EDEN PRAIRIE MN INDEP SCH DIST 1%5.75 02/01/19 WR --Bullet 225,000 04/26/16 112.62 100.38 100.24 (320)1.26 2.88 0.1 0.1 0.0 10 3136FTR68 FANNIE MAE 1%1.65 02/28/19 Aaa AA+-Bullet 500,000 03/05/12 99.68 99.99 99.87 (585)1.70 2.43 0.2 0.2 0.0 11 20033AXA9 COMENITY CAPITAL BANK 1%1.60 03/15/19 ---Bullet 249,000 09/15/17 100.00 100.00 99.84 (399)1.61 2.38 0.2 0.2 0.0 12 149159LH6 CATHAY BANK 1%1.60 03/25/19 ---Bullet 249,000 09/25/17 100.00 100.00 99.81 (486)1.61 2.44 0.2 0.2 0.0 13 51210SND5 LAKESIDE BANK 1%1.55 03/29/19 ---Bullet 246,000 06/30/17 100.00 100.00 99.78 (535)1.56 2.45 0.2 0.2 0.0 14 38147JZT2 GOLDMAN SACHS BANK USA 1%2.00 05/14/19 ---Bullet 247,000 05/14/14 100.00 100.00 99.79 (523)2.00 2.57 0.4 0.4 0.0 15 06279KKW5 BANK OF INDIA NY 1%2.30 05/22/19 ---Bullet 244,000 05/24/18 100.00 100.00 99.90 (240)2.27 2.52 0.4 0.4 0.0 16 3137EADG1 FREDDIE MAC 1%1.75 05/30/19 Aaa AA+-Bullet 500,000 07/10/18 99.48 99.75 99.68 (342)2.35 2.52 0.4 0.4 0.0 17 59013JQY8 MERRICK BANK 1%1.15 06/28/19 ---Bullet 249,000 06/29/16 100.00 100.00 99.32 (1,689)1.15 2.55 0.5 0.5 0.0 19 2546714E7 DISCOVER BANK 1%2.10 08/13/19 ---Bullet 247,000 08/13/14 100.00 100.00 99.70 (737)2.10 2.59 0.6 0.6 0.0 18 06740KHS9 BARCLAYS BANK/DELAWARE 1%2.10 08/13/19 ---Bullet 247,000 08/13/14 100.00 100.00 99.63 (903)2.10 2.70 0.6 0.6 0.0 20 02587CAT7 AMERICAN EXPRESS BK FSB 1%2.05 08/14/19 ---Bullet 247,000 08/14/14 100.00 100.00 99.64 (893)2.05 2.64 0.6 0.6 0.0 21 628779FN5 NBT BANK 1%2.10 08/20/19 ---Bullet 247,000 08/20/14 100.00 100.00 99.62 (938)2.10 2.70 0.6 0.6 0.0 22 3136G4BB8 FANNIE MAE 1%1.15 09/27/19 Aaa AA+-Bullet 500,000 09/30/16 100.00 100.00 98.91 (5,438)1.15 2.64 0.7 0.7 0.0 23 882722J69 TEXAS ST 3%3.19 10/01/19 Aaa AAA -Bullet 995,000 06/24/15 106.62 101.19 100.35 (8,448)1.59 2.72 0.8 0.7 0.0 24 76116FAA5 RFCO STRIP PRINC 2%0.00 10/15/19 ---Bullet 638,000 12/10/14 91.69 98.60 97.93 (4,258)1.78 2.64 0.8 0.8 0.0 25 313400BV4 FREDDIE MAC 2%0.00 11/29/19 -AA -Bullet 560,000 08/05/15 92.56 98.38 97.48 (5,027)1.79 2.81 0.9 0.9 0.0 26 742617CD3 PRIOR LAKE MN 1%1.60 12/15/19 Aa2 AA+-Bullet 205,000 05/14/15 100.00 100.00 98.61 (2,845)1.60 3.08 1.0 1.0 0.0 27 17284C6R0 CIT BANK NA 1%2.20 12/24/19 ---Bullet 247,000 12/24/14 100.00 100.00 99.50 (1,237)2.20 2.72 1.0 1.0 0.0 28 57116AMC9 MARLIN BUSINESS BANK 1%1.25 12/27/19 ---Bullet 249,000 06/29/16 100.00 100.00 98.59 (3,508)1.25 2.71 1.0 1.0 0.0 Year 1 49%1.92 16,971,473 99.75 99.97 99.73 (40,939)1.86 2.34 0.3 0.3 0.0 29 3133EG3J2 FEDERAL FARM CREDIT BANK 1%1.55 01/10/20 Aaa AA+-Bullet 500,000 01/10/17 100.00 100.00 99.03 (4,840)1.55 2.51 1.0 1.0 0.0 30 410493DD9 HANMI BANK 1%2.55 02/25/20 ---Bullet 249,000 05/25/18 100.00 100.00 99.74 (641)2.56 2.79 1.2 1.1 0.0 31 678519UC1 OKLAHOMA CITY OK 1%2.00 03/01/20 Aaa AAA -Bullet 200,000 05/17/16 102.21 100.69 99.17 (3,040)1.40 2.72 1.2 1.2 0.0 32 3137EAEM7 FREDDIE MAC 1%2.50 04/23/20 Aaa AA+-Bullet 500,000 12/04/18 99.63 99.65 99.86 1,071 2.77 2.61 1.3 1.3 0.0 33 97705MDS1 WISCONSIN ST 1%1.15 05/01/20 Aa1 AA -Bullet 520,000 07/28/16 100.15 100.05 97.98 (10,764)1.11 2.70 1.3 1.3 0.0 34 3130A7ZT5 FEDERAL HOME LOAN BANK 1%1.40 05/18/20 Aaa AA+01/05/19 Amer 500,000 05/18/16 100.00 100.00 98.44 (7,803)1.40 2.55 1.4 1.4 0.0 35 150528LV7 CEDAR RAPIDS IA 1%2.50 06/01/20 Aa1 --Bullet 490,000 04/07/16 104.42 101.54 99.63 (9,330)1.40 2.76 1.4 1.4 0.0 36 64966LN56 NEW YORK NY 1%2.15 06/01/20 Aa2 AA -Bullet 500,000 06/18/15 100.00 100.00 99.02 (4,925)2.15 2.86 1.4 1.4 0.0 37 3133834H1 FEDERAL HOME LOAN BANK 1%1.38 06/12/20 Aaa AA+-Bullet 500,000 07/08/16 101.60 100.59 98.28 (11,571)0.96 2.59 1.4 1.4 0.0 38 3134G3F96 FREDDIE MAC 3%1.65 08/28/20 Aaa AA+-Bullet 1,000,000 07/10/18 97.98 98.42 98.83 4,110 2.63 2.37 1.7 1.6 0.0 39 84287PFU1 SOUTHERN FIRST BANK NA 1%2.90 09/08/20 ---Bullet 248,000 12/07/18 100.00 100.00 99.91 (228)2.92 2.97 1.7 1.7 0.0 40 3130ACE26 FEDERAL HOME LOAN BANK 1%1.38 09/28/20 Aaa AA+-Bullet 500,000 12/04/18 97.44 97.54 97.98 2,175 2.83 2.57 1.7 1.7 0.0 41 3136G0R60 FANNIE MAE 1%1.50 10/22/20 Aaa AA+-Bullet 500,000 10/11/16 100.94 100.43 98.00 (12,117)1.26 2.64 1.8 1.8 0.0 Year 2 18%1.80 6,207,000 100.07 99.75 98.82 (57,903)1.93 2.62 1.5 1.4 0.0 42 76116FAG2 RFCO STRIP PRINC 2%0.00 01/15/21 ---Bullet 780,000 04/14/16 93.14 97.00 94.78 (17,276)1.49 2.63 2.0 2.0 0.0 44 161664HA8 CHASKA MN 0%1.95 02/01/21 -AA -Bullet 140,000 11/29/17 100.00 100.00 98.51 (2,092)1.95 2.69 2.1 2.0 0.1 43 113835H54 BROOKLYN CENTER MN 1%3.00 02/01/21 -AA -Bullet 400,000 01/24/14 101.88 100.59 100.27 (1,288)2.70 2.86 2.1 2.0 0.1 45 02007GCV3 ALLY BANK 1%2.90 05/24/21 ---Bullet 246,000 05/24/18 100.00 100.00 99.50 (1,242)2.90 3.12 2.4 2.3 0.1 46 93974DV54 WASHINGTON ST 1%1.80 08/01/21 Aa1 AA+-Bullet 500,000 07/26/18 97.04 97.45 97.76 1,530 2.83 2.70 2.6 2.5 0.1 47 3133ECWS9 FEDERAL FARM CREDIT BANK 1%2.83 09/07/21 Aaa AA+-Bullet 400,000 12/03/18 99.71 99.72 100.66 3,766 2.94 2.57 2.7 2.5 0.1 48 3130ACGX6 FEDERAL HOME LOAN BANK 2%2.00 09/27/21 Aaa AA+03/27/19 Berm 590,000 11/29/18 97.25 97.34 97.96 3,705 3.02 2.78 2.7 2.6 (0.2) 49 14042RJJ1 CAPITAL ONE NA 1%2.15 10/12/21 ---Bullet 247,000 10/12/17 100.00 100.00 97.28 (6,713)2.15 3.18 2.8 2.7 0.1 50 05580AKQ6 BMW BANK NORTH AMERICA 1%2.05 10/13/21 ---Bullet 247,000 10/13/17 100.00 100.00 97.01 (7,375)2.05 3.18 2.8 2.7 0.1 51 742651DJ8 PRIVATE EXPORT FUNDING 2%4.30 12/15/21 Aaa NR -Bullet 600,000 04/29/15 114.14 106.54 104.48 (12,354)2.01 2.71 3.0 2.8 0.1 52 87165HFH8 SYNCHRONY BANK 1%2.55 12/20/21 ---Bullet 246,000 12/19/14 100.00 100.00 98.54 (3,581)2.55 3.07 3.0 2.8 0.1 Year 3 13%2.19 4,396,000 100.15 99.74 98.76 (42,919)2.38 2.80 2.5 2.4 0.0 53 3134GAQ31 FREDDIE MAC 1%2.15 01/26/22 Aaa AA+01/26/19 Berm 500,000 11/14/17 99.95 99.96 98.62 (6,697)2.16 2.62 3.1 2.6 (1.1) 55 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 98.39 (1,927)2.35 2.90 3.1 2.9 0.1 54 161664HB6 CHASKA MN 0%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 98.30 (2,380)2.10 2.68 3.1 2.9 0.1 56 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.07 100.51 1,314 2.88 2.73 3.2 3.0 0.1 57 3134GBH39 FREDDIE MAC 3%2.05 09/29/22 Aaa AA+03/29/19 Berm 1,000,000 06/29/18 97.01 97.35 98.08 7,291 2.80 2.59 3.7 3.3 (0.9) 58 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 107.15 108.20 3,900 3.05 2.78 3.9 3.6 0.2 Year 4 7%2.64 2,430,000 100.01 100.00 100.06 1,501 2.66 2.66 3.5 3.1 (0.5) Portfolio Analysis 11 Positions by Maturity %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 61 73723RSP9 PORTSMOUTH VA 1%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 103.25 100.93 (11,640)2.25 2.85 4.1 3.8 0.2 62 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 98.26 (2,092)2.50 2.96 4.1 3.8 0.2 59 092765EW2 BLAINE MN 1%2.25 02/01/23 -AA+-Bullet 395,000 12/05/17 100.00 100.00 97.68 (9,164)2.25 2.86 4.1 3.8 0.2 60 161664HC4 CHASKA MN 0%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 98.10 (2,761)2.25 2.75 4.1 3.8 0.2 63 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 102.28 103.00 1,469 2.85 2.69 4.7 4.3 0.2 64 3133EJQA0 FEDERAL FARM CREDIT BANK 1%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.53 101.07 2,706 2.88 2.76 4.8 4.4 0.2 Year 5 5%2.82 1,865,000 101.61 101.27 100.11 (21,481)2.50 2.81 4.3 4.0 0.2 65 161664HD2 CHASKA MN 0%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 98.00 (2,997)2.40 2.82 5.1 4.7 0.3 66 3130ABLN4 FEDERAL HOME LOAN BANK 1%2.50 06/28/24 Aaa AA+06/28/19 Amer 345,000 10/11/17 100.00 100.00 98.06 (6,679)2.50 2.88 5.5 4.2 (2.4) 67 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 94.93 94.73 (510)3.25 3.29 5.6 5.2 0.3 68 3130ABXS0 FEDERAL HOME LOAN BANK 1%2.47 08/14/24 Aaa AA+08/14/20 Amer 500,000 07/19/18 96.27 96.52 97.52 4,983 3.15 2.95 5.6 4.6 (1.5) Year 6 3%2.43 1,245,000 97.41 97.58 97.17 (5,204)2.89 2.98 5.5 4.6 (1.2) 69 3133EJBN8 FEDERAL FARM CREDIT BANK 2%3.00 02/05/25 -AA+02/05/19 Amer 550,000 06/21/18 98.39 98.50 99.63 6,216 3.27 3.07 6.1 2.1 (5.5) 70 4095585H2 HAMPTON VA 2%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 104.15 105.72 9,372 3.30 3.05 6.7 5.8 0.4 Year 7 3%3.52 1,150,000 101.54 101.45 102.81 15,588 3.29 3.06 6.4 4.1 (2.3) 71 3133EJD55 FEDERAL FARM CREDIT BANK 1%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 101.09 102.26 5,857 3.14 2.97 7.7 6.8 0.5 Year 8 1%3.30 500,000 101.10 101.09 102.26 5,857 3.14 2.97 7.7 6.8 0.5 Total Portfolio 100%2.12 34,764,473 99.97 99.95 99.53 (145,501)2.13 2.55 1.7 1.5 (0.1) Portfolio Analysis 12 Positions by Maturity - Scenario Analysis Market Price (%∆)Book Yield Effective Duration %Final DN DN UP UP DN DN Base UP UP DN DN Base UP UP ID CUSIP Issuer Port Cpn Maturity Par WAM DN 50 DN 25 UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 3 0008CHAN2 NORTHLAND 0%1.45 23,188 0.0 0.0 0.0 0.0 0.0 1.45 1.45 1.45 1.45 1.45 0.0 0.0 0.0 0.0 0.0 2 0006CHAN6 BMO HARRIS BK 4%0.00 1,305,762 0.0 0.0 0.0 0.0 0.0 0.00 0.00 0.00 0.00 0.00 0.0 0.0 0.0 0.0 0.0 1 0003CHAN3 WF HERITAGE PRIM 17%2.43 6,066,514 0.0 0.0 0.0 0.0 0.0 2.43 2.43 2.43 2.43 2.43 0.0 0.0 0.0 0.0 0.0 5 0006CHAN7 PMA-4M FUND 0%2.09 10 0.0 0.0 0.0 0.0 0.0 2.09 2.09 2.09 2.09 2.09 0.0 0.0 0.0 0.0 0.0 4 60416SSG6 MINNESOTA ST HSG FIN AGY 1%1.80 01/01/19 305,000 0.0 0.0 0.0 (0.0)(0.0)2.14 2.14 2.14 2.14 2.14 0.0 0.0 0.0 0.0 0.0 9 373385BL6 GEORGIA ST 1%3.50 02/01/19 500,000 0.1 0.0 0.0 (0.0)(0.0)1.47 1.47 1.47 1.47 1.47 0.1 0.1 0.1 0.1 0.1 7 279533TN3 EDEN PRAIRIE MN INDEP SCH DIST 2%5.75 02/01/19 525,000 0.1 0.0 0.0 (0.0)(0.0)1.59 1.59 1.59 1.59 1.59 0.1 0.1 0.1 0.1 0.1 8 31358BAA6 FANNIE MAE 3%0.00 02/01/19 1,155,000 0.1 0.0 0.0 (0.0)(0.0)1.89 1.89 1.89 1.89 1.89 0.1 0.1 0.1 0.1 0.1 6 279533TN3 EDEN PRAIRIE MN INDEP SCH DIST 1%5.75 02/01/19 225,000 0.1 0.0 0.0 (0.0)(0.0)1.26 1.26 1.26 1.26 1.26 0.1 0.1 0.1 0.1 0.1 10 3136FTR68 FANNIE MAE 1%1.65 02/28/19 500,000 0.2 0.1 0.0 (0.0)(0.1)1.70 1.70 1.70 1.70 1.70 0.2 0.2 0.2 0.2 0.2 11 20033AXA9 COMENITY CAPITAL BANK 1%1.60 03/15/19 249,000 0.2 0.1 0.1 (0.1)(0.1)1.61 1.61 1.61 1.61 1.61 0.2 0.2 0.2 0.2 0.2 12 149159LH6 CATHAY BANK 1%1.60 03/25/19 249,000 0.2 0.1 0.1 (0.1)(0.1)1.61 1.61 1.61 1.61 1.61 0.2 0.2 0.2 0.2 0.2 13 51210SND5 LAKESIDE BANK 1%1.55 03/29/19 246,000 0.2 0.1 0.1 (0.1)(0.1)1.56 1.56 1.56 1.56 1.56 0.2 0.2 0.2 0.2 0.2 14 38147JZT2 GOLDMAN SACHS BANK USA 1%2.00 05/14/19 247,000 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 15 06279KKW5 BANK OF INDIA NY 1%2.30 05/22/19 244,000 0.4 0.2 0.1 (0.1)(0.2)2.27 2.27 2.27 2.27 2.27 0.4 0.4 0.4 0.4 0.4 16 3137EADG1 FREDDIE MAC 1%1.75 05/30/19 500,000 0.4 0.2 0.1 (0.1)(0.2)2.35 2.35 2.35 2.35 2.35 0.4 0.4 0.4 0.4 0.4 17 59013JQY8 MERRICK BANK 1%1.15 06/28/19 249,000 0.5 0.2 0.1 (0.1)(0.2)1.15 1.15 1.15 1.15 1.15 0.5 0.5 0.5 0.5 0.5 19 2546714E7 DISCOVER BANK 1%2.10 08/13/19 247,000 0.6 0.3 0.2 (0.2)(0.3)2.10 2.10 2.10 2.10 2.10 0.6 0.6 0.6 0.6 0.6 18 06740KHS9 BARCLAYS BANK/DELAWARE 1%2.10 08/13/19 247,000 0.6 0.3 0.2 (0.2)(0.3)2.10 2.10 2.10 2.10 2.10 0.6 0.6 0.6 0.6 0.6 20 02587CAT7 AMERICAN EXPRESS BK FSB 1%2.05 08/14/19 247,000 0.6 0.3 0.2 (0.2)(0.3)2.05 2.05 2.05 2.05 2.05 0.6 0.6 0.6 0.6 0.6 21 628779FN5 NBT BANK 1%2.10 08/20/19 247,000 0.6 0.3 0.2 (0.2)(0.3)2.10 2.10 2.10 2.10 2.10 0.6 0.6 0.6 0.6 0.6 22 3136G4BB8 FANNIE MAE 1%1.15 09/27/19 500,000 0.7 0.4 0.2 (0.2)(0.4)1.15 1.15 1.15 1.15 1.15 0.7 0.7 0.7 0.7 0.7 23 882722J69 TEXAS ST 3%3.19 10/01/19 995,000 0.8 0.4 0.2 (0.2)(0.4)1.59 1.59 1.59 1.59 1.59 0.7 0.7 0.7 0.7 0.7 24 76116FAA5 RFCO STRIP PRINC 2%0.00 10/15/19 638,000 0.8 0.4 0.2 (0.2)(0.4)1.78 1.78 1.78 1.78 1.78 0.8 0.8 0.8 0.8 0.8 25 313400BV4 FREDDIE MAC 2%0.00 11/29/19 560,000 0.9 0.5 0.2 (0.2)(0.5)1.79 1.79 1.79 1.79 1.79 0.9 0.9 0.9 0.9 0.9 26 742617CD3 PRIOR LAKE MN 1%1.60 12/15/19 205,000 1.0 0.5 0.2 (0.2)(0.5)1.60 1.60 1.60 1.60 1.60 1.0 1.0 1.0 1.0 1.0 27 17284C6R0 CIT BANK NA 1%2.20 12/24/19 247,000 1.0 0.5 0.2 (0.2)(0.5)2.20 2.20 2.20 2.20 2.20 1.0 1.0 1.0 1.0 1.0 28 57116AMC9 MARLIN BUSINESS BANK 1%1.25 12/27/19 249,000 1.0 0.5 0.2 (0.2)(0.5)1.25 1.25 1.25 1.25 1.25 1.0 1.0 1.0 1.0 1.0 Year 1 49%1.92 16,971,473 0.3 0.1 0.1 (0.1)(0.1)1.86 1.86 1.86 1.86 1.86 0.3 0.3 0.3 0.3 0.3 29 3133EG3J2 FEDERAL FARM CREDIT BANK 1%1.55 01/10/20 500,000 1.0 0.5 0.3 (0.3)(0.5)1.55 1.55 1.55 1.55 1.55 1.0 1.0 1.0 1.0 1.0 30 410493DD9 HANMI BANK 1%2.55 02/25/20 249,000 1.2 0.6 0.3 (0.3)(0.6)2.56 2.56 2.56 2.56 2.56 1.1 1.1 1.1 1.1 1.1 31 678519UC1 OKLAHOMA CITY OK 1%2.00 03/01/20 200,000 1.2 0.6 0.3 (0.3)(0.6)1.40 1.40 1.40 1.40 1.40 1.2 1.2 1.2 1.2 1.2 32 3137EAEM7 FREDDIE MAC 1%2.50 04/23/20 500,000 1.3 0.7 0.3 (0.3)(0.7)2.77 2.77 2.77 2.77 2.77 1.3 1.3 1.3 1.3 1.3 33 97705MDS1 WISCONSIN ST 1%1.15 05/01/20 520,000 1.3 0.7 0.3 (0.3)(0.7)1.11 1.11 1.11 1.11 1.11 1.3 1.3 1.3 1.3 1.3 34 3130A7ZT5 FEDERAL HOME LOAN BANK 1%1.40 05/18/20 500,000 1.4 0.7 0.3 (0.3)(0.7)1.40 1.40 1.40 1.40 1.40 1.4 1.4 1.4 1.4 1.4 35 150528LV7 CEDAR RAPIDS IA 1%2.50 06/01/20 490,000 1.4 0.7 0.4 (0.4)(0.7)1.40 1.40 1.40 1.40 1.40 1.4 1.4 1.4 1.4 1.4 36 64966LN56 NEW YORK NY 1%2.15 06/01/20 500,000 1.4 0.7 0.4 (0.4)(0.7)2.15 2.15 2.15 2.15 2.15 1.4 1.4 1.4 1.4 1.4 37 3133834H1 FEDERAL HOME LOAN BANK 1%1.38 06/12/20 500,000 1.4 0.7 0.4 (0.4)(0.7)0.96 0.96 0.96 0.96 0.96 1.4 1.4 1.4 1.4 1.4 38 3134G3F96 FREDDIE MAC 3%1.65 08/28/20 1,000,000 1.7 0.8 0.4 (0.4)(0.8)2.63 2.63 2.63 2.63 2.63 1.6 1.6 1.6 1.6 1.6 39 84287PFU1 SOUTHERN FIRST BANK NA 1%2.90 09/08/20 248,000 1.7 0.8 0.4 (0.4)(0.8)2.92 2.92 2.92 2.92 2.92 1.7 1.7 1.7 1.7 1.7 40 3130ACE26 FEDERAL HOME LOAN BANK 1%1.38 09/28/20 500,000 1.7 0.9 0.4 (0.4)(0.9)2.83 2.83 2.83 2.83 2.83 1.7 1.7 1.7 1.7 1.7 41 3136G0R60 FANNIE MAE 1%1.50 10/22/20 500,000 1.8 0.9 0.5 (0.4)(0.9)1.26 1.26 1.26 1.26 1.26 1.8 1.8 1.8 1.8 1.8 Year 2 18%1.80 6,207,000 1.5 0.7 0.4 (0.4)(0.7)1.93 1.93 1.93 1.93 1.93 1.5 1.4 1.4 1.4 1.4 42 76116FAG2 RFCO STRIP PRINC 2%0.00 01/15/21 780,000 2.0 1.0 0.5 (0.5)(1.0)1.49 1.49 1.49 1.49 1.49 2.0 2.0 2.0 2.0 2.0 44 161664HA8 CHASKA MN 0%1.95 02/01/21 140,000 2.1 1.0 0.5 (0.5)(1.0)1.95 1.95 1.95 1.95 1.95 2.0 2.0 2.0 2.0 2.0 43 113835H54 BROOKLYN CENTER MN 1%3.00 02/01/21 400,000 2.1 1.0 0.5 (0.5)(1.0)2.70 2.70 2.70 2.70 2.70 2.0 2.0 2.0 2.0 2.0 45 02007GCV3 ALLY BANK 1%2.90 05/24/21 246,000 2.4 1.2 0.6 (0.6)(1.1)2.90 2.90 2.90 2.90 2.90 2.3 2.3 2.3 2.3 2.3 46 93974DV54 WASHINGTON ST 1%1.80 08/01/21 500,000 2.6 1.3 0.6 (0.6)(1.2)2.83 2.83 2.83 2.83 2.83 2.5 2.5 2.5 2.5 2.5 47 3133ECWS9 FEDERAL FARM CREDIT BANK 1%2.83 09/07/21 400,000 2.7 1.3 0.6 (0.6)(1.3)2.94 2.94 2.94 2.94 2.94 2.6 2.5 2.5 2.5 2.5 48 3130ACGX6 FEDERAL HOME LOAN BANK 2%2.00 09/27/21 590,000 2.7 1.2 0.6 (0.7)(1.3)3.02 3.02 3.02 3.02 3.02 2.1 2.5 2.6 2.6 2.6 49 14042RJJ1 CAPITAL ONE NA 1%2.15 10/12/21 247,000 2.8 1.3 0.7 (0.7)(1.3)2.15 2.15 2.15 2.15 2.15 2.7 2.7 2.7 2.7 2.7 50 05580AKQ6 BMW BANK NORTH AMERICA 1%2.05 10/13/21 247,000 2.8 1.4 0.7 (0.7)(1.3)2.05 2.05 2.05 2.05 2.05 2.7 2.7 2.7 2.7 2.7 Portfolio Analysis 13 Positions by Maturity - Scenario Analysis Market Price (%∆)Book Yield Effective Duration %Final DN DN UP UP DN DN Base UP UP DN DN Base UP UP ID CUSIP Issuer Port Cpn Maturity Par WAM DN 50 DN 25 UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 51 742651DJ8 PRIVATE EXPORT FUNDING 2%4.30 12/15/21 600,000 3.0 1.4 0.7 (0.7)(1.4)2.01 2.01 2.01 2.01 2.01 2.8 2.8 2.8 2.8 2.8 52 87165HFH8 SYNCHRONY BANK 1%2.55 12/20/21 246,000 3.0 1.4 0.7 (0.7)(1.4)2.55 2.55 2.55 2.55 2.55 2.8 2.8 2.8 2.8 2.8 Year 3 13%2.19 4,396,000 2.5 1.2 0.6 (0.6)(1.2)2.38 2.38 2.38 2.38 2.38 2.4 2.4 2.4 2.4 2.4 53 3134GAQ31 FREDDIE MAC 1%2.15 01/26/22 500,000 3.1 1.1 0.6 (0.7)(1.4)2.16 2.16 2.16 2.16 2.16 1.5 2.2 2.6 2.8 2.9 55 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.35 02/01/22 120,000 3.1 1.5 0.7 (0.7)(1.5)2.35 2.35 2.35 2.35 2.35 2.9 2.9 2.9 2.9 2.9 54 161664HB6 CHASKA MN 0%2.10 02/01/22 140,000 3.1 1.5 0.7 (0.7)(1.5)2.10 2.10 2.10 2.10 2.10 2.9 2.9 2.9 2.9 2.9 56 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 300,000 3.2 1.5 0.8 (0.7)(1.5)2.88 2.88 2.88 2.88 2.88 3.0 3.0 3.0 3.0 3.0 57 3134GBH39 FREDDIE MAC 3%2.05 09/29/22 1,000,000 3.7 1.4 0.8 (0.8)(1.7)2.80 2.80 2.80 2.80 2.80 2.1 2.8 3.3 3.4 3.5 58 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 370,000 3.9 1.8 0.9 (0.9)(1.8)3.05 3.05 3.05 3.05 3.05 3.6 3.6 3.6 3.6 3.5 Year 4 7%2.64 2,430,000 3.5 1.4 0.8 (0.8)(1.6)2.66 2.66 2.66 2.66 2.66 2.4 2.9 3.1 3.2 3.3 61 73723RSP9 PORTSMOUTH VA 1%3.09 02/01/23 500,000 4.1 1.9 1.0 (0.9)(1.9)2.25 2.25 2.25 2.25 2.25 3.8 3.8 3.8 3.8 3.8 62 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 120,000 4.1 1.9 1.0 (1.0)(1.9)2.50 2.50 2.50 2.50 2.50 3.8 3.8 3.8 3.8 3.8 59 092765EW2 BLAINE MN 1%2.25 02/01/23 395,000 4.1 2.0 1.0 (1.0)(1.9)2.25 2.25 2.25 2.25 2.25 3.8 3.8 3.8 3.8 3.8 60 161664HC4 CHASKA MN 0%2.25 02/01/23 145,000 4.1 2.0 1.0 (1.0)(1.9)2.25 2.25 2.25 2.25 2.25 3.8 3.8 3.8 3.8 3.8 63 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 205,000 4.7 2.2 1.1 (1.1)(2.1)2.85 2.85 2.85 2.85 2.85 4.3 4.3 4.3 4.3 4.3 64 3133EJQA0 FEDERAL FARM CREDIT BANK 1%3.00 10/23/23 500,000 4.8 2.3 1.1 (1.1)(2.2)2.88 2.88 2.88 2.88 2.88 4.4 4.4 4.4 4.4 4.4 Year 5 5%2.82 1,865,000 4.3 2.1 1.0 (1.0)(2.0)2.50 2.50 2.50 2.50 2.50 4.0 4.0 4.0 4.0 4.0 65 161664HD2 CHASKA MN 0%2.40 02/01/24 150,000 5.1 2.4 1.2 (1.2)(2.3)2.40 2.40 2.40 2.40 2.40 4.7 4.7 4.7 4.7 4.7 66 3130ABLN4 FEDERAL HOME LOAN BANK 1%2.50 06/28/24 345,000 5.5 1.7 1.0 (1.1)(2.3)2.50 2.50 2.50 2.50 2.50 2.1 3.3 4.2 4.7 4.9 67 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 250,000 5.6 2.6 1.3 (1.3)(2.6)3.25 3.25 3.25 3.25 3.25 5.2 5.2 5.2 5.1 5.1 68 3130ABXS0 FEDERAL HOME LOAN BANK 1%2.47 08/14/24 500,000 5.6 2.0 1.1 (1.2)(2.4)3.15 3.15 3.15 3.15 3.15 3.1 4.0 4.6 4.9 5.0 Year 6 3%2.43 1,245,000 5.5 2.1 1.1 (1.2)(2.4)2.89 2.89 2.89 2.89 2.89 3.4 4.1 4.6 4.8 5.0 69 3133EJBN8 FEDERAL FARM CREDIT BANK 2%3.00 02/05/25 550,000 6.1 0.4 0.4 (0.7)(1.7)19.14 3.27 3.27 3.27 3.27 0.2 0.9 2.1 3.3 4.2 70 4095585H2 HAMPTON VA 2%4.00 09/01/25 600,000 6.7 3.0 1.5 (1.5)(2.9)3.30 3.30 3.30 3.30 3.30 5.8 5.8 5.8 5.8 5.8 Year 7 3%3.52 1,150,000 6.4 1.8 1.0 (1.1)(2.3)10.66 3.29 3.29 3.29 3.29 3.2 3.5 4.1 4.6 5.0 71 3133EJD55 FEDERAL FARM CREDIT BANK 1%3.30 09/28/26 500,000 7.7 3.5 1.7 (1.7)(3.3)3.14 3.14 3.14 3.14 3.14 6.8 6.8 6.8 6.8 6.7 Year 8 1%3.30 500,000 7.7 3.5 1.7 (1.7)(3.3)3.14 3.14 3.14 3.14 3.14 6.8 6.8 6.8 6.8 6.7 Total Portfolio 100%2.12 34,764,473 1.7 0.8 0.4 (0.4)(0.8)2.38 2.13 2.13 2.13 2.13 1.4 1.5 1.5 1.6 1.6 Portfolio Analysis 14 Product Detail Treasury, Agency, SSA - Summary Issuer / Sector Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Call Type% Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Bullet Amer Euro Berm FHLB 7 9%22%3,140,000 1.92 98.80 98.36 (13,721)2.35 2.71 3.0 2.7 (0.5)100%--38%43%-19% FNMA 4 8%19%2,655,000 0.81 100.01 99.31 (18,632)1.60 2.49 0.6 0.5 0.0 100%--100%--- FHLMC 6 12%28%4,060,000 1.70 98.66 98.67 406 2.48 2.56 2.0 1.9 (0.3)100%--63%--37% FFCB 5 7%17%2,450,000 2.74 99.95 100.51 13,704 2.76 2.79 4.6 3.4 (1.0)100%--78%22%-- SSA 1 2%4%600,000 4.30 106.54 104.48 (12,354)2.01 2.71 3.0 2.8 0.1 100%--100%--- Other 2 4%10%1,418,000 0.00 97.72 96.20 (21,534)1.63 2.64 1.5 1.5 0.0 100%--100%--- Sector Total 25 41%100%14,323,000 1.71 99.40 99.03 (52,130)2.23 2.64 2.4 2.1 (0.4)100%72%13%15% FFCB 17% FHLB 22% FHLMC 28% FNMA 19% Other 10% SSA 4% Bullet 72% Amer 13% Berm 15% Fixed 100% Issuer Structure Coupon Portfolio Analysis 16 Money Market Sector - Summary Money Market Product Distribution (%) Moody's Short Term Ratings Distribution (%) Cash Flows by Month -12 Months ($) Agency, 23% Certificate of Deposit, 17% MMF, 44% Municipal, 16% NA, 100% 0 1,000,000 2,000,000 3,000,000 4,000,000 5,000,000 6,000,000 7,000,000 8,000,000 O/N 1 2 3 4 5 6 7 8 9 10 11 12Money Market Sector includes all securities with maturity less than 12 months. S&P Short Term Ratings Distribution (%) NA, 100% Portfolio Analysis 17 Certificates of Deposit - Summary Structure Line %% Total Par Book Market Book Market Eff Eff Type Items Port Sector Cpn Amount Price Price G / L Yield Yield WAM Dur Cvx Fixed 18 13%100%2.06 4,451,000 100.00 99.28 (31,867)2.06 2.74 1.1 1.1 0.0 Sector Total 18 13%100%2.06 4,451,000 100.00 99.28 (31,867)2.06 2.74 1.1 1.1 0.0 Portfolio Analysis 18 Municipal - Summary Issue Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Agg LT Ratings Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Moody's S&P GO Limited 1 1%2%200,000 2.00 100.69 99.17 (3,040)1.40 2.72 1.2 1.2 0.0 100%--Aaa AAA GO Unlimited 19 22%89%7,600,000 3.08 101.06 100.35 (53,935)2.09 2.80 2.3 2.2 0.1 100%--Aa1 AA+ Revenue 4 2%9%795,000 2.13 98.41 97.84 (4,529)2.56 2.73 2.8 2.6 0.1 100%--Aaa AA+ Sector Total 24 25%100%8,595,000 2.96 100.81 100.09 (61,504)2.12 2.80 2.3 2.2 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 21 22%88%7,540,000 2.73 100.88 100.08 (60,591)2.18 2.81 2.6 2.5 0.1 100%--Aa1 AA+ Housing 1 1%4%305,000 1.80 100.00 100.00 0 2.14 2.14 0.0 0.0 0.0 100%--AA+ School District 2 2%9%750,000 5.75 100.36 100.24 (913)1.49 2.88 0.1 0.1 0.0 100%-- Sector Total 24 25%100%8,595,000 2.96 100.81 100.09 (61,504)2.12 2.80 2.3 2.2 0.1 100%Aa1 AA+ GO Limited 2% GO Unlimited 89% Revenue 9% Fixed 100% Issuer Coupon Portfolio Analysis 19 Strategy Group Contact Information Name Title Phone Email Head of Fixed Income Market and Portfolio Strategy Dan Collins, CPA, CFA Managing Director (704) 410-5287 dan.collins@wellsfargo.com Short Duration Strategy Garret Sloan, CFA Director (704) 410-3686 garret.sloan@wellsfargo.com Vanessa McMichael, CTP Vice President (704) 410-4530 vanessa.mcmichael@wellsfargo.com Depository Strategy Charlie Crowley Managing Director (704) 410-3829 charlie.crowley@wellsfargo.com Mario Ichaso, CFA Vice President (704) 410-4526 mario.ichaso@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 Mark Griffin Vice President (704) 410-3824 mark.a.griffin@wellsfargo.com Jack Stimac, CFA Vice President (901) 622-5302 jack.stimac@wellsfargo.com Tyler Barnes Associate (704) 410-3830 tyler.barnes@wellsfargo.com Powell Eddins Associate (704) 410-1818 powell.eddins@wellsfargo.com Melissa Atkins Analyst (704) 410-0114 melissa.atkins@wellsfargo.com Daniel Giuliano Analyst (704) 410-3685 daniel.giuliano@wellsfargo.com Portfolio Analysis 20 Assumptions 1.Calculation engine is ZM for all asset classes except for Money Market Funds. Money Market Fund information is provided by Crane Data . 2.Money Market Funds assume a book price of par ($100.00). 3.All data provided by Bloomberg LLC., IDC Pricing Service, Crane Data and Wells Fargo Securities. 4.Cash flows are generated by Yield Book, Intex, Bloomberg or ZM depending on sector and structure: ZM –Non-prepay bullet structures including municipals, corporates, agencies, SSA, teasuries, CDs and commercial paper. Yield Book –Mortgage products, including MBS passthroughs, CMOs, ARMs, agency CMBS and floating rate structures. Intex –Structured products, including ABS, CLOs and non-agency RMBS and CMBS. Analysis assumes all scheduled and unscheduled principal cash flows provided directly by Third Party systems (Yield Book) flo w into the Maturity bucket on the Cash Flow Projections page. 5.Ratings data are provided by Moody's, S&P and Fitch. Aggregate ratings are based on a proprietary scale. 6.Projected Call Report -Assumes OAS is held constant with market price based yield-to-worst call logic. Sorted by projected calls in the base case scenario. Base Case scenario assumes no rate changes. 7.Client provided market prices are used for the analysis. In the absence of client market data, BVAL and/or IDC pricing is us ed. 8.Historical Analysis is a combination of previously run Bond Edge Reports and ZM Financial. This page will be updated over time as reports are requ ested. 9.Yield on tax-exempt municipals are calculated using a 21% tax rate or as directed by client. 10.12 Month Horizon Analysis assumes 12 month horizon with a reinvestment rate of 1M LIBOR. Rate shocks are gradual over the ho rizon and parrallel shifts to the curve. 11.Prepayment, default and severity assumptions used: Bonds run through Yield Book –Yield Book Long Term Projected CPR GN CMBS –15 CPJ FN/FH CMBS -0 CPY Conduit CMBS -0 CPY, CDR and SEV ABS Student –6 CPR ABS Card -Historical MPR ABS Auto -1.3 ABS SBAs & NGNs –10 CPR Non-agency CMOs –Yield Book if available otherwise 6mo historical VPR, CDR and SEV taken from Bloomberg. 12.Money Market Fund Profiles AUM Flows:Total fund MoM flows Share Class:Total share class MoM flows 13.Yield Curve Shock Scenarios:instantaneous rate shocks to the static curve held constant over the life of the securities, utilizing Intex for structured products (when applicable) and Yield Book for other amortizing securities. Standard scenarios: parallel shifts of -100,-50,-25,0,+25,+50,+100,+200,+300, Bear Flat,Bull Steep, Bull Flat, Bear Steep. Customized scenarios at the request of client or as determined by WFS Portfolio Strategy Portfolio Analysis 21 Disclaimer Important Disclosures Relating to Conflicts of Interest and Potential Conflicts of Interest Wells Fargo Securities, LLC may sell or buy the subject securities to/from customers on a principal basis. Wells Fargo Securi ties, LLC has or may have proprietary positions in the securities mentioned herein. The trading desk has or may have proprietary positions in the securities mentioned herein. The author’s compensation is based on, among other things, Wells Fargo Securities, LLC’s overall performance, the profitability of Wells Fargo Securities, LLC’s Markets Division and the profitability of the trading desk. Accuracy of Information This account summary was prepared by Wells Fargo Securities Fixed Income Market and Portfolio Strategy and is not a substitut e for your monthly statement or trade confirmation. Prices and yields are current as of the date of this summary and are subject to change and availability; past performance is no guarantee of future results. Municipal leases are shown at their par value. Any rati ng provided for a municipal lease investment is a rating associated with the lessee, and does not constitute a rating of the lease invest ment itself. For Securities held away from Wells Fargo Securities, cost data and acquisition dates have not been verified and positions ma y not be covered by SIPC. The indicative valuation(s) provided in this report are for information purposes only and are intended for use solely by the addressee. The information contained herein is derived from sources that Wells Fargo Securities in good faith considers reliable, howeve r Wells Fargo Securities does not guarantee the accuracy, reliability or completeness of this information and makes no warranty, expr ess or implied, with respect thereto.The indicative valuations do not represent advice, an offer to purchase or sell any security or other instrument either at the indicative valuation(s) or any other price(s). There is no representation that any transaction can o r could have been effected at the indicative valuation(s). The indicative valuations contained herein represent estimates as of the stated valuation date and are subject to change with out notice. Such estimates do not necessarily reflect Wells Fargo Securities' internal bookkeeping or theoretical model -based valuation. The indicative valuations are based on certain assumptions, and different assumptions, by Wells Fargo Securities or any other sou rce may yield substantially different results. These valuations also may vary from those of another Wells Fargo division, since they may use other sources of market information or make calculations as of a different time. Wells Fargo Securities is not responsible for any loss or damage arising out of any person's use of or reliance upon the info rmation contained herein or otherwise, including but not limited to, errors (including errors of transmission), inaccuracies, omissio ns,changes in market factors or other conditions or any other circumstances whether or not such errors are within Wells Fargo Securities' c ontrol. Under no circumstances shall Wells Fargo Securities be liable for special or consequential damages that arise from any person 's use of or reliance upon the information contained herein, even if Wells Fargo Securities has been advised of the possibility of such da mages. About Wells Fargo Securities 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 Pr ime Services, LLC, a member of FINRA, NFA and SIPC, and Wells Fargo Bank, N.A. Wells Fargo Securities, LLC and Wells Fargo Prime Services, LLC are distinct entities from affiliated banks and thrifts. Copyright© 2019 Wells Fargo & Company SECURITIES: NOT FDIC:-INSURED/NOT BANK-GUARANTEED/MAY LOSE VALUE Portfolio Analysis 22