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Investment Report 06-30-2019City of Chanhassen 6/28/2019 Reid Christianson (612) 667-8919 reid.r.christianson@wellsfargo.com Confidential-For Discussion and General Information Purposes Only Table of Contents Portfolio Detail Page Product Detail Page Portfolio Summary 3 Treasury, Agency, & SSA - Summary 18 Cash Flow Report 4 Money Market Sector - Summary 19 Historical Performance 6 Brokered CD - Summary 20 Duration Contribution 7 Municipal - Summary 21 Projected Call Report 8 Credit Rating Monitor 9 Positions by Sector 11 Positions by Maturity 13 Positions by Maturity - Scenario Analysis 15 2 Portfolio Summary Portfolio Snapshot Coupon Structure Sector Allocation Number of Positions 65 Par ($000)31,098 Book Value ($000)31,104 Mkt Value w/o Accrd ($000)31,335 Unrlzed Gain / Loss ($000)231 Coupon 2.28 Book Yield 2.58 Market Yield 2.12 Wgt Avg Maturity 1.6 Average Life 1.3 Effective Duration 1.2 Effective Convexity (0.0) Overnight Funds Principal 7,232 Overnight Funds Interest 0 Term Securities Principal 11,382 Term Securities Interest 473 Total Cash Flow 19,088 100%100% A-1+/A-1/P-1 A-2 / P-2 A-3 / P-3 Not Prime NA Short Term Rating 11% 51% 38%41% 12% 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 37.0% Certificate of Deposit 11.9% MMF 23.3% Municipal 27.8% 2.27 2.53 2.08 8.11 1.59 1.92 1.85 1.55 2.56 2.46 2.77 1.25 1.50 2.74 2.58 2.58 2.79 0.00 2.00 4.00 6.00 8.00 10.00 0 2,000,000 4,000,000 6,000,000 8,000,000 10,000,000 12,000,000 14,000,000 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 449 0 7,232,453 2.27 7,232,902 7,232,902 Jul-19 11,968 845,000 0 2.53 856,968 8,089,870 Aug-19 77,981 0 988,000 2.08 1,065,981 9,155,851 Sep-19 70,480 1,000,000 500,000 8.11 1,570,480 10,726,330 Oct-19 49,366 0 995,000 1.59 1,044,366 11,770,696 Nov-19 20,625 0 1,060,000 1.92 1,080,625 12,851,321 Dec-19 34,002 248,000 701,000 1.85 983,002 13,834,324 Jan-20 5,479 0 500,000 1.55 505,479 14,339,802 Feb-20 66,934 0 249,000 2.56 315,934 14,655,736 Mar-20 60,401 590,000 696,000 2.46 1,346,401 16,002,137 Apr-20 31,736 0 500,000 2.77 531,736 16,533,873 May-20 15,781 0 1,020,000 1.25 1,035,781 17,569,654 Year 1 Jun-20 27,923 0 1,490,000 1.50 1,517,923 19,087,578 Jul-20 599 0 0 0.00 599 19,088,177 Aug-20 65,838 500,000 1,000,000 3.56 1,565,838 20,654,015 Sep-20 47,736 0 748,000 2.87 795,736 21,449,750 Oct-20 24,887 0 1,000,000 1.54 1,024,887 22,474,637 Nov-20 8,692 0 0 0.00 8,692 22,483,329 Dec-20 12,387 0 0 0.00 12,387 22,495,716 Jan-21 0 0 0 0.00 0 22,495,716 Feb-21 50,905 0 1,190,000 2.31 1,240,905 23,736,621 Mar-21 43,679 0 365,000 1.97 408,679 24,145,300 Apr-21 17,062 0 500,000 2.54 517,062 24,662,362 May-21 8,692 0 746,000 2.33 754,692 25,417,054 Year 2 Jun-21 12,387 0 0 0.00 12,387 25,429,440 Jul-21 0 0 0 0.00 0 25,429,440 Aug-21 27,290 0 500,000 2.83 527,290 25,956,730 Sep-21 39,344 0 400,000 2.94 439,344 26,396,075 Oct-21 12,687 0 494,000 2.10 506,687 26,902,762 Nov-21 0 0 0 0.00 0 26,902,762 Dec-21 12,404 0 246,000 2.55 258,404 27,161,165 Jan-22 0 0 0 0.00 0 27,161,165 Feb-22 22,790 0 260,000 2.22 282,790 27,443,955 Mar-22 33,684 0 300,000 2.88 333,684 27,777,640 Apr-22 7,500 0 0 0.00 7,500 27,785,140 May-22 0 0 0 0.00 0 27,785,140 Year 3 Jun-22 9,250 0 0 0.00 9,250 27,794,390 Portfolio Analysis 4 Cash Flow Projections - Continued Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) Jul-22 0 0 0 0.00 0 27,794,390 Aug-22 19,910 0 0 0.00 19,910 27,814,300 Sep-22 29,334 0 500,000 2.57 529,334 28,343,634 Oct-22 7,500 0 0 0.00 7,500 28,351,134 Nov-22 0 0 0 0.00 0 28,351,134 Dec-22 9,250 0 370,000 3.05 379,250 28,730,384 Jan-23 0 0 0 0.00 0 28,730,384 Feb-23 19,910 0 1,160,000 2.28 1,179,910 29,910,294 Mar-23 23,709 0 0 0.00 23,709 29,934,004 Apr-23 7,500 0 0 0.00 7,500 29,941,504 May-23 0 0 0 0.00 0 29,941,504 Year 4 Jun-23 0 0 0 0.00 0 29,941,504 Jul-23 0 0 0 0.00 0 29,941,504 Aug-23 4,613 0 0 0.00 4,613 29,946,116 Sep-23 23,709 0 205,000 2.85 228,709 30,174,825 Oct-23 7,500 0 500,000 2.88 507,500 30,682,325 Nov-23 0 0 0 0.00 0 30,682,325 Dec-23 0 0 0 0.00 0 30,682,325 Jan-24 0 0 0 0.00 0 30,682,325 Feb-24 4,613 0 150,000 2.40 154,613 30,836,938 Mar-24 20,250 0 0 0.00 20,250 30,857,188 Apr-24 0 0 0 0.00 0 30,857,188 May-24 0 0 0 0.00 0 30,857,188 Year 5 Jun-24 0 0 0 0.00 0 30,857,188 Jul-24 0 0 0 0.00 0 30,857,188 Aug-24 2,813 0 250,000 3.25 252,813 31,110,000 Sep-24 20,250 0 0 0.00 20,250 31,130,250 Oct-24 0 0 0 0.00 0 31,130,250 Nov-24 0 0 0 0.00 0 31,130,250 Dec-24 0 0 0 0.00 0 31,130,250 Jan-25 0 0 0 0.00 0 31,130,250 Feb-25 0 0 0 0.00 0 31,130,250 Mar-25 20,250 0 0 0.00 20,250 31,150,500 Apr-25 0 0 0 0.00 0 31,150,500 May-25 0 0 0 0.00 0 31,150,500 Year 6 Jun-25 0 0 0 0.00 0 31,150,500 Portfolio Analysis 5 Historical Performance # Line Avg Total Par Avg Bk Avg Mkt Bnchmrk Wgt Avg Eff Ratings Portfolio Allocation* Date Items Coupon ($000)G / L Yield Yield Tsy Yield Maturity Dur Moody's S&P MMF Govt Corp CD/CP Muni Other 06/30/19 65 2.28 31,098 231 2.58 2.12 1.90 1.6 1.2 Aaa AA+23%37%0%12%28%0% 03/31/19 65 2.19 29,020 31 2.29 2.48 2.31 1.9 1.6 Aaa AA+16%47%0%13%24%0% 12/31/18 71 2.12 34,764 (146)2.13 2.55 2.54 1.7 1.5 Aaa AA+21%41%0%13%25%0% 09/30/18 72 1.87 30,316 (352)1.83 2.48 2.76 5.4 1.8 Aa1 AA+14%39%18%0%30%0% 06/29/18 73 1.77 30,817 (219)1.65 2.00 2.28 1.8 1.6 Aaa AA+ 03/29/18 70 1.61 25,872 (182)1.48 1.81 2.11 1.6 1.5 Aaa AA+ 12/29/17 80 1.49 31,196 (112)1.36 2.21 1.69 1.5 1.4 Aaa AA+ 09/29/17 73 1.48 29,667 (37)1.32 1.48 1.34 1.4 1.3 Aa1 AA+ 06/30/17 69 1.47 28,201 (46)1.36 1.45 1.30 1.6 1.4 Aa1 AA+ 03/31/17 70 1.35 29,892 (54)1.27 1.35 1.15 1.7 1.5 Aa1 AA+ 12/30/16 67 1.22 33,126 (58)1.11 1.18 0.95 1.5 1.4 Aa1 AA+ 0.00 0.50 1.00 1.50 2.00 2.50 3.00 Avg Book Yield Benchmark Treasury 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% MMF Govt Corp CD/CP Muni Other Portfolio Allocation*Book Yield vs. Treasury Benchmark * Portfolio Allocation is a new addition to portfolio analysis. Data will be added over time. Portfolio Analysis 6 Yield / Duration Contribution Book Market Book Eff Sector Total (%)Value ($)Value ($)G / L ($)Yield Dur Agency 37.0%11,523,006 11,666,088 143,082 3.18 1.4 Certificate of Deposit 11.9%3,711,000 3,717,767 6,767 2.25 0.9 MMF 23.3%7,232,453 7,232,453 0 2.27 0.0 Municipal 27.8%8,637,132 8,718,551 81,419 2.20 2.1 Total Portfolio 100.0%31,103,591 31,334,859 231,268 2.58 1.2 Agency Certificate of DepositMMF Municipal 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 Book Yield by Duration and Sector Portfolio Analysis 7 Projected Call Report Projected Call Date Final Call Par Book Market DN 50 Base Case UP 50 ID CUSIP Sector Issuer Maturity Structure Amount Yield Yield Proj Date Proj Date Proj Date 57 3130ABLN4 Agency FEDERAL HOME LOAN BANK 06/28/24 Amer 345,000 2.52 2.47 07/03/19 07/03/19 06/28/20 43 3134GAQ31 Agency FREDDIE MAC 01/26/22 Berm 500,000 2.54 1.89 07/26/19 07/26/19 10/26/19 0-90 Days 845,000 2.53 2.13 48 3134GBH39 Agency FREDDIE MAC 09/29/22 Berm 1,000,000 11.59 1.83 09/29/19 09/29/19 12/29/19 91-180 Days 1,000,000 11.59 1.83 39 88241TCV0 Certificate of Deposit TEXAS EXCHANGE BANK SSB 09/27/21 Amer 248,000 2.31 2.07 12/27/19 12/27/19 02/27/20 38 3130ACGX6 Agency FEDERAL HOME LOAN BANK 09/27/21 Berm 590,000 3.02 2.08 09/27/19 03/27/20 09/27/21 181-365 Days 838,000 2.81 2.08 59 3130ABXS0 Agency FEDERAL HOME LOAN BANK 08/14/24 Amer 500,000 5.43 2.23 08/14/20 08/14/20 08/14/24 >365 Days 500,000 5.43 2.23 Portfolio Analysis 8 Credit Rating Monitor Watch Positive Watch Negative ∆ Last 90 Days Moody's S & P Fitch Final Par Current Eff Current Eff Current Eff ID CUSIP Sector Issuer Cpn Maturity Amount Rating Date Watch Rating Date Watch Rating Date Watch 34 53860RBH0 Municipal LIVINGSTON CNTY MI 2.05 05/01/21 500,000 Aaa 05/20/19 ------- 22 64966LN56 Municipal NEW YORK NY 2.15 06/01/20 500,000 Aa1 03/01/19 -AA 06/02/15 -AA 05/28/15 - 61 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 - 31 963439YA6 Municipal WHITE BEAR LAKE MN INDEP SCH D 5.00 02/01/21 650,000 ---AAA 07/25/18 ---- 9 313400BV4 Agency FREDDIE MAC 0.00 11/29/19 560,000 ---AA 06/22/18 -AA-03/21/14 - 60 4095585H2 Municipal HAMPTON VA 4.00 09/01/25 600,000 Aa1 06/05/18 -AA+06/13/18 -AA+06/06/18 - 32 793067CD9 Municipal SAINT PAUL MN PORT AUTH 2.38 03/01/21 365,000 ---AAA 06/01/18 ---- 55 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 - 49 60375BDC7 Municipal MINNEAPOLIS MN 5.00 12/01/22 370,000 ---AAA 05/15/18 -AA+05/11/18 - 18 3137EAEM7 Agency FREDDIE MAC 2.50 04/23/20 500,000 Aaa 04/19/18 -AA+04/18/18 -AAA 04/19/18 - 53 809557BB6 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.50 02/01/23 120,000 ---AAA 04/04/18 ---- 45 809557BA8 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.35 02/01/22 120,000 ---AAA 04/04/18 ---- 46 60374Y7S0 Municipal MINNEAPOLIS MN 2.90 03/01/22 300,000 Aa1 02/07/14 -AAA 02/12/14 -AA+11/08/17 - 44 161664HB6 Municipal CHASKA MN 2.10 02/01/22 140,000 ---AA 11/06/17 ---- 51 161664HC4 Municipal CHASKA MN 2.25 02/01/23 145,000 ---AA 11/06/17 ---- 56 161664HD2 Municipal CHASKA MN 2.40 02/01/24 150,000 ---AA 11/06/17 ---- 30 161664HA8 Municipal CHASKA MN 1.95 02/01/21 140,000 ---AA 11/06/17 ---- 50 092765EW2 Municipal BLAINE MN 2.25 02/01/23 395,000 ---AA+11/02/17 ---- 19 97705MDS1 Municipal WISCONSIN ST 1.15 05/01/20 520,000 Aa1 08/04/17 -AA 07/12/16 -AA+10/19/17 - 36 93974DV54 Municipal WASHINGTON ST 1.80 08/01/21 500,000 Aa1 08/31/17 -AA+09/26/17 -AA+08/30/17 - 38 3130ACGX6 Agency FEDERAL HOME LOAN BANK 2.00 09/27/21 590,000 Aaa 09/20/17 -AA+09/20/17 ---- 48 3134GBH39 Agency FREDDIE MAC 2.05 09/29/22 1,000,000 Aaa 09/12/17 -AA+09/11/17 -AAA 09/12/17 - 26 3130ACE26 Agency FEDERAL HOME LOAN BANK 1.38 09/28/20 500,000 Aaa 09/08/17 -AA+09/08/17 ---- 59 3130ABXS0 Agency FEDERAL HOME LOAN BANK 2.47 08/14/24 500,000 Aaa 07/27/17 -AA+07/27/17 ---- 57 3130ABLN4 Agency FEDERAL HOME LOAN BANK 2.50 06/28/24 345,000 Aaa 06/12/17 -AA+06/12/17 ---- 43 3134GAQ31 Agency FREDDIE MAC 2.15 01/26/22 500,000 Aaa 01/10/17 -AA+01/10/17 -AAA 01/11/17 - 13 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 - 6 3136G4BB8 Agency FANNIE MAE 1.15 09/27/19 500,000 Aaa 09/19/16 -AA+09/19/16 -AAA 09/30/16 - 58 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 - 20 3130A7ZT5 Agency FEDERAL HOME LOAN BANK 1.40 05/18/20 500,000 Aaa 05/09/16 -AA+05/09/16 ---- 15 678519UC1 Municipal OKLAHOMA CITY OK 2.00 03/01/20 200,000 Aaa 03/18/16 -AAA 03/29/16 ---- 47 3130A6AP2 Agency FEDERAL HOME LOAN BANK 2.25 09/09/22 500,000 Aaa 08/07/15 -AA+08/07/15 ---- 10 742617CD3 Municipal PRIOR LAKE MN 1.60 12/15/19 205,000 Aa2 04/16/15 -AA+04/22/15 ---- 8 3133EEBN9 Agency FEDERAL FARM CREDIT BANK 1.80 11/12/19 500,000 Aaa 11/05/14 -AA+11/05/14 -AAA 11/12/14 - 21 150528LV7 Municipal CEDAR RAPIDS IA 2.50 06/01/20 490,000 Aa1 04/22/14 ------- 33 3136G0U58 Agency FANNIE MAE 1.75 04/30/21 500,000 Aaa 10/08/12 -AA+10/05/12 -AAA 03/21/14 - 37 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 - 28 3135G0RM7 Agency FANNIE MAE 1.63 10/30/20 500,000 Aaa 10/17/12 -AA+10/16/12 -AAA 03/21/14 - 24 3134G3F96 Agency FREDDIE MAC 1.65 08/28/20 1,000,000 Aaa 08/10/12 -AA+08/08/12 -AAA 03/21/14 - Portfolio Analysis 9 Credit Rating Monitor Watch Positive Watch Negative ∆ Last 90 Days Moody's S & P Fitch Final Par Current Eff Current Eff Current Eff ID CUSIP Sector Issuer Cpn Maturity Amount Rating Date Watch Rating Date Watch Rating Date Watch 27 3136G0R60 Agency FANNIE MAE 1.50 10/22/20 500,000 Aaa 10/04/12 -AA+10/02/12 -AAA 03/21/14 - 29 113835H54 Municipal BROOKLYN CENTER MN 3.00 02/01/21 400,000 ---AA 11/21/13 ---- 7 882722J69 Municipal TEXAS ST 3.19 10/01/19 995,000 Aaa 07/15/11 -AAA 09/30/13 -AAA 07/26/11 - 54 313383YJ4 Agency FEDERAL HOME LOAN BANK 3.38 09/08/23 205,000 Aaa 08/27/13 -AA+08/26/13 ---- 52 73723RSP9 Municipal PORTSMOUTH VA 3.09 02/01/23 500,000 Aa2 05/24/13 -AA 06/05/13 -AA 05/21/13 - 23 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 10 Positions by Sector %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 6 3136G4BB8 FANNIE MAE 1.6%1.15 09/27/19 Aaa AA+-Bullet 500,000 09/30/16 100.00 100.00 99.75 (1,263)1.15 2.18 0.2 0.3 0.0 8 3133EEBN9 FEDERAL FARM CREDIT BANK 1.6%1.80 11/12/19 Aaa AA+-Bullet 500,000 06/05/19 99.89 99.91 99.87 (166)2.05 2.14 0.4 0.4 0.0 9 313400BV4 FREDDIE MAC 1.8%0.00 11/29/19 -AA -Bullet 560,000 08/05/15 92.56 99.25 99.06 (1,073)1.80 2.27 0.4 0.4 0.0 13 3133EG3J2 FEDERAL FARM CREDIT BANK 1.6%1.55 01/10/20 Aaa AA+-Bullet 500,000 01/10/17 100.00 100.00 99.77 (1,164)1.55 1.99 0.5 0.5 0.0 18 3137EAEM7 FREDDIE MAC 1.6%2.50 04/23/20 Aaa AA+-Bullet 500,000 12/04/18 99.63 99.78 100.44 3,302 2.77 1.96 0.8 0.8 0.0 20 3130A7ZT5 FEDERAL HOME LOAN BANK 1.6%1.40 05/18/20 Aaa AA+07/03/19 Amer 500,000 05/18/16 100.00 100.00 99.45 (2,773)1.40 2.03 0.9 0.9 (0.1) 23 3133834H1 FEDERAL HOME LOAN BANK 1.6%1.38 06/12/20 Aaa AA+-Bullet 500,000 07/08/16 101.60 100.39 99.36 (5,149)0.96 2.05 1.0 1.0 0.0 24 3134G3F96 FREDDIE MAC 3.2%1.65 08/28/20 Aaa AA+-Bullet 1,000,000 07/10/18 97.98 98.88 99.72 8,437 2.63 1.89 1.2 1.2 0.0 26 3130ACE26 FEDERAL HOME LOAN BANK 1.6%1.38 09/28/20 Aaa AA+-Bullet 500,000 12/04/18 97.44 98.22 99.34 5,577 2.83 1.91 1.3 1.3 0.0 27 3136G0R60 FANNIE MAE 1.6%1.50 10/22/20 Aaa AA+-Bullet 500,000 10/11/16 100.94 100.31 99.44 (4,364)1.26 1.93 1.3 1.3 0.0 28 3135G0RM7 FANNIE MAE 1.6%1.63 10/30/20 Aaa AA+-Bullet 500,000 06/26/19 99.76 99.76 99.66 (487)1.81 1.88 1.3 1.3 0.0 33 3136G0U58 FANNIE MAE 1.6%1.75 04/30/21 Aaa AA+-Bullet 500,000 02/07/19 98.30 98.59 99.76 5,860 2.54 1.88 1.8 1.8 0.0 37 3133ECWS9 FEDERAL FARM CREDIT BANK 1.3%2.83 09/07/21 Aaa AA+-Bullet 400,000 12/03/18 99.71 99.77 102.20 9,732 2.94 1.80 2.2 2.1 0.1 38 3130ACGX6 FEDERAL HOME LOAN BANK 1.9%2.00 09/27/21 Aaa AA+09/27/19 Berm 590,000 11/29/18 97.25 97.80 99.83 11,963 3.02 2.08 2.3 0.8 (2.1) 43 3134GAQ31 FREDDIE MAC 1.6%2.15 01/26/22 Aaa AA+07/26/19 Berm 500,000 11/14/17 99.95 99.97 100.02 252 2.54 1.89 2.6 0.1 0.0 47 3130A6AP2 FEDERAL HOME LOAN BANK 1.6%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.01 101.31 11,487 2.57 1.83 3.2 3.1 0.1 48 3134GBH39 FREDDIE MAC 3.1%2.05 09/29/22 Aaa AA+09/29/19 Berm 1,000,000 06/29/18 97.01 97.68 100.05 23,724 11.59 1.83 3.3 0.3 (0.0) 54 313383YJ4 FEDERAL HOME LOAN BANK 0.7%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 102.06 106.35 8,801 2.85 1.80 4.2 3.9 0.2 55 3133EJQA0 FEDERAL FARM CREDIT BANK 1.6%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.48 104.36 19,397 2.88 1.94 4.3 4.0 0.2 57 3130ABLN4 FEDERAL HOME LOAN BANK 1.1%2.50 06/28/24 Aaa AA+07/03/19 Amer 345,000 10/11/17 100.00 100.00 100.00 2 2.52 2.47 5.0 0.2 (0.8) 59 3130ABXS0 FEDERAL HOME LOAN BANK 1.6%2.47 08/14/24 Aaa AA+08/14/20 Amer 500,000 07/19/18 96.27 96.80 100.27 17,337 5.43 2.23 5.1 1.3 (1.3) 61 3133EJD55 FEDERAL FARM CREDIT BANK 1.6%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 101.03 107.76 33,650 3.14 2.14 7.3 6.4 0.5 Agency 37.0%1.91 Aaa AA+11,600,000 98.86 99.34 100.57 143,082 3.18 2.00 2.2 1.4 (0.1) 3 2546714E7 DISCOVER BANK 0.8%2.10 08/13/19 ---Bullet 247,000 08/13/14 100.00 100.00 99.97 (63)2.09 2.30 0.1 0.1 0.0 2 06740KHS9 BARCLAYS BANK/DELAWARE 0.8%2.10 08/13/19 ---Bullet 247,000 08/13/14 100.00 100.00 99.96 (98)2.09 2.41 0.1 0.1 0.0 4 02587CAT7 AMERICAN EXPRESS BK FSB 0.8%2.05 08/14/19 ---Bullet 247,000 08/14/14 100.00 100.00 99.96 (97)2.04 2.35 0.1 0.1 0.0 5 628779FN5 NBT BANK 0.8%2.10 08/20/19 ---Bullet 247,000 08/20/14 100.00 100.00 99.95 (116)2.09 2.42 0.1 0.1 0.0 11 17284C6R0 CIT BANK NA 0.8%2.20 12/24/19 ---Bullet 247,000 12/24/14 100.00 100.00 100.04 107 2.20 2.11 0.5 0.5 0.0 12 57116AMC9 MARLIN BUSINESS BANK 0.8%1.25 12/27/19 ---Bullet 249,000 06/29/16 100.00 100.00 99.59 (1,023)1.25 2.09 0.5 0.5 0.0 14 410493DD9 HANMI BANK 0.8%2.55 02/25/20 ---Bullet 249,000 05/25/18 100.00 100.00 100.26 635 2.56 2.17 0.7 0.7 0.0 16 60688MB78 MIZUHO BANK USA 0.8%2.30 03/19/20 ---Bullet 248,000 06/19/19 100.00 100.00 100.09 218 2.29 2.17 0.7 0.7 0.0 17 740367HG5 PREFERRED BANK LA CALIF 0.8%2.30 03/30/20 ---Bullet 248,000 06/28/19 100.00 100.00 100.09 220 2.31 2.19 0.8 0.8 0.0 25 84287PFU1 SOUTHERN FIRST BANK NA 0.8%2.90 09/08/20 ---Bullet 248,000 12/07/18 100.00 100.00 100.85 2,102 2.92 2.19 1.2 1.2 0.0 35 02007GCV3 ALLY BANK 0.8%2.90 05/24/21 ---Bullet 246,000 05/24/18 100.00 100.00 101.30 3,205 2.90 2.20 1.9 1.9 0.0 39 88241TCV0 TEXAS EXCHANGE BANK SSB 0.8%2.30 09/27/21 --12/27/19 Amer 248,000 06/27/19 100.00 100.00 100.12 287 2.31 2.07 2.3 0.5 (0.1) 40 14042RJJ1 CAPITAL ONE NA 0.8%2.15 10/12/21 ---Bullet 247,000 10/12/17 100.00 100.00 99.84 (389)2.15 2.22 2.3 2.2 0.1 41 05580AKQ6 BMW BANK NORTH AMERICA 0.8%2.05 10/13/21 ---Bullet 247,000 10/13/17 100.00 100.00 99.62 (941)2.05 2.22 2.3 2.2 0.1 42 87165HFH8 SYNCHRONY BANK 0.8%2.55 12/20/21 ---Bullet 246,000 12/19/14 100.00 100.00 101.11 2,719 2.55 2.09 2.5 2.4 0.1 Domestic CD 11.9%2.25 3,711,000 100.00 100.00 100.18 6,767 2.25 2.21 1.1 0.9 0.0 65 0008CHAN2 NORTHLAND 2.3%1.52 ---Bullet 701,472 01/01/19 100.00 100.00 100.00 0 1.52 1.52 0.0 0.0 0.0 63 0006CHAN6 BMO HARRIS BANK 0.3%0.00 ---Bullet 103,776 01/01/19 100.00 100.00 100.00 0 0.00 0.00 0.0 0.0 0.0 62 0003CHAN3 WF HERITAGE 8.5%2.38 ---Bullet 2,644,351 01/01/19 100.00 100.00 100.00 0 2.38 2.38 0.0 0.0 0.0 1 0006CHAN7 PMA-4M FUND 0.0%2.10 ---Bullet 10 01/01/19 100.00 100.00 100.00 0 2.10 2.10 0.0 0.0 0.0 64 0006CHAN8 AMERICANA COM BK 12.2%2.39 ---Bullet 3,782,845 01/01/19 100.00 100.00 100.00 0 2.39 2.39 0.0 0.0 0.0 MMF 23.3%2.27 7,232,453 100.00 100.00 100.00 0 2.27 2.27 0.0 0.0 0.0 7 882722J69 TEXAS ST 3.2%3.19 10/01/19 Aaa AAA -Bullet 995,000 06/24/15 106.62 100.41 100.24 (1,701)1.59 2.25 0.3 0.3 0.0 10 742617CD3 PRIOR LAKE MN 0.7%1.60 12/15/19 Aa2 AA+-Bullet 205,000 05/14/15 100.00 100.00 99.57 (890)1.60 2.55 0.5 0.5 0.0 15 678519UC1 OKLAHOMA CITY OK 0.6%2.00 03/01/20 Aaa AAA -Bullet 200,000 05/17/16 102.21 100.40 99.91 (990)1.40 2.14 0.7 0.7 0.0 19 97705MDS1 WISCONSIN ST 1.7%1.15 05/01/20 Aa1 AA -Bullet 520,000 07/28/16 100.15 100.03 99.27 (3,994)1.11 2.03 0.8 0.8 0.0 21 150528LV7 CEDAR RAPIDS IA 1.6%2.50 06/01/20 Aa1 --Bullet 490,000 04/07/16 104.42 101.01 100.38 (3,087)1.40 2.09 0.9 0.9 0.0 22 64966LN56 NEW YORK NY 1.6%2.15 06/01/20 Aa1 AA -Bullet 500,000 06/18/15 100.00 100.00 99.97 (145)2.15 2.18 0.9 0.9 0.0 30 161664HA8 CHASKA MN 0.5%1.95 02/01/21 -AA -Bullet 140,000 11/29/17 100.00 100.00 99.94 (85)1.95 1.99 1.6 1.6 0.0 31 963439YA6 WHITE BEAR LAKE MN INDEP SCH D 2.2%5.00 02/01/21 -AAA -Bullet 650,000 06/14/19 104.54 104.43 104.66 1,476 2.15 2.01 1.6 1.5 0.0 29 113835H54 BROOKLYN CENTER MN 1.3%3.00 02/01/21 -AA -Bullet 400,000 01/24/14 101.88 100.46 101.30 3,372 2.70 2.16 1.6 1.6 0.0 32 793067CD9 SAINT PAUL MN PORT AUTH 1.2%2.38 03/01/21 -AAA -Bullet 365,000 06/24/19 100.67 100.66 100.54 (445)1.97 2.04 1.7 1.7 0.0 34 53860RBH0 LIVINGSTON CNTY MI 1.6%2.05 05/01/21 Aaa --Bullet 500,000 06/20/19 100.00 100.00 100.12 605 2.05 1.98 1.8 1.8 0.0 36 93974DV54 WASHINGTON ST 1.6%1.80 08/01/21 Aa1 AA+-Bullet 500,000 07/26/18 97.04 97.92 99.72 9,015 2.83 1.93 2.1 2.0 0.1 45 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0.4%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 100.49 593 2.35 2.15 2.6 2.5 0.1 44 161664HB6 CHASKA MN 0.5%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 100.42 589 2.10 1.93 2.6 2.5 0.1 46 60374Y7S0 MINNEAPOLIS MN 1.0%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.06 102.38 6,960 2.88 1.98 2.7 2.5 0.1 49 60375BDC7 MINNEAPOLIS MN 1.3%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 106.29 109.90 13,357 3.05 1.99 3.4 3.2 0.1 52 73723RSP9 PORTSMOUTH VA 1.7%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 102.88 103.51 3,175 2.25 2.07 3.6 3.4 0.1 Portfolio Analysis 11 Positions by Sector %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 53 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0.4%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 101.14 1,373 2.50 2.17 3.6 3.4 0.1 50 092765EW2 BLAINE MN 1.3%2.25 02/01/23 -AA+-Bullet 395,000 12/05/17 100.00 100.00 100.63 2,496 2.25 2.07 3.6 3.4 0.1 51 161664HC4 CHASKA MN 0.5%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 101.01 1,467 2.25 1.96 3.6 3.4 0.1 56 161664HD2 CHASKA MN 0.5%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 101.56 2,337 2.40 2.04 4.6 4.3 0.2 58 64971WP53 NEW YORK CITY NY TRANSITIONAL 0.8%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 95.34 99.62 10,698 3.25 2.33 5.1 4.8 0.3 60 4095585H2 HAMPTON VA 2.0%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 103.88 109.75 35,244 3.30 2.30 6.2 5.5 0.4 Municipals 27.8%2.81 Aa1 AA+8,555,000 102.13 100.96 101.91 81,419 2.20 2.11 2.2 2.1 0.1 Total Portfolio 100.0%2.28 31,098,453 100.16 100.02 100.76 231,268 2.58 2.12 1.6 1.2 (0.0) Portfolio Analysis 12 Positions by Maturity %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 65 0008CHAN2 NORTHLAND 2%1.52 ---Bullet 701,472 01/01/19 100.00 100.00 100.00 0 1.52 1.52 0.0 0.0 0.0 63 0006CHAN6 BMO HARRIS BANK 0%0.00 ---Bullet 103,776 01/01/19 100.00 100.00 100.00 0 0.00 0.00 0.0 0.0 0.0 62 0003CHAN3 WF HERITAGE 9%2.38 ---Bullet 2,644,351 01/01/19 100.00 100.00 100.00 0 2.38 2.38 0.0 0.0 0.0 1 0006CHAN7 PMA-4M FUND 0%2.10 ---Bullet 10 01/01/19 100.00 100.00 100.00 0 2.10 2.10 0.0 0.0 0.0 64 0006CHAN8 AMERICANA COM BK 12%2.39 ---Bullet 3,782,845 01/01/19 100.00 100.00 100.00 0 2.39 2.39 0.0 0.0 0.0 3 2546714E7 DISCOVER BANK 1%2.10 08/13/19 ---Bullet 247,000 08/13/14 100.00 100.00 99.97 (63)2.09 2.30 0.1 0.1 0.0 2 06740KHS9 BARCLAYS BANK/DELAWARE 1%2.10 08/13/19 ---Bullet 247,000 08/13/14 100.00 100.00 99.96 (98)2.09 2.41 0.1 0.1 0.0 4 02587CAT7 AMERICAN EXPRESS BK FSB 1%2.05 08/14/19 ---Bullet 247,000 08/14/14 100.00 100.00 99.96 (97)2.04 2.35 0.1 0.1 0.0 5 628779FN5 NBT BANK 1%2.10 08/20/19 ---Bullet 247,000 08/20/14 100.00 100.00 99.95 (116)2.09 2.42 0.1 0.1 0.0 6 3136G4BB8 FANNIE MAE 2%1.15 09/27/19 Aaa AA+-Bullet 500,000 09/30/16 100.00 100.00 99.75 (1,263)1.15 2.18 0.2 0.3 0.0 7 882722J69 TEXAS ST 3%3.19 10/01/19 Aaa AAA -Bullet 995,000 06/24/15 106.62 100.41 100.24 (1,701)1.59 2.25 0.3 0.3 0.0 8 3133EEBN9 FEDERAL FARM CREDIT BANK 2%1.80 11/12/19 Aaa AA+-Bullet 500,000 06/05/19 99.89 99.91 99.87 (166)2.05 2.14 0.4 0.4 0.0 9 313400BV4 FREDDIE MAC 2%0.00 11/29/19 -AA -Bullet 560,000 08/05/15 92.56 99.25 99.06 (1,073)1.80 2.27 0.4 0.4 0.0 10 742617CD3 PRIOR LAKE MN 1%1.60 12/15/19 Aa2 AA+-Bullet 205,000 05/14/15 100.00 100.00 99.57 (890)1.60 2.55 0.5 0.5 0.0 11 17284C6R0 CIT BANK NA 1%2.20 12/24/19 ---Bullet 247,000 12/24/14 100.00 100.00 100.04 107 2.20 2.11 0.5 0.5 0.0 12 57116AMC9 MARLIN BUSINESS BANK 1%1.25 12/27/19 ---Bullet 249,000 06/29/16 100.00 100.00 99.59 (1,023)1.25 2.09 0.5 0.5 0.0 13 3133EG3J2 FEDERAL FARM CREDIT BANK 2%1.55 01/10/20 Aaa AA+-Bullet 500,000 01/10/17 100.00 100.00 99.77 (1,164)1.55 1.99 0.5 0.5 0.0 14 410493DD9 HANMI BANK 1%2.55 02/25/20 ---Bullet 249,000 05/25/18 100.00 100.00 100.26 635 2.56 2.17 0.7 0.7 0.0 15 678519UC1 OKLAHOMA CITY OK 1%2.00 03/01/20 Aaa AAA -Bullet 200,000 05/17/16 102.21 100.40 99.91 (990)1.40 2.14 0.7 0.7 0.0 16 60688MB78 MIZUHO BANK USA 1%2.30 03/19/20 ---Bullet 248,000 06/19/19 100.00 100.00 100.09 218 2.29 2.17 0.7 0.7 0.0 17 740367HG5 PREFERRED BANK LA CALIF 1%2.30 03/30/20 ---Bullet 248,000 06/28/19 100.00 100.00 100.09 220 2.31 2.19 0.8 0.8 0.0 18 3137EAEM7 FREDDIE MAC 2%2.50 04/23/20 Aaa AA+-Bullet 500,000 12/04/18 99.63 99.78 100.44 3,302 2.77 1.96 0.8 0.8 0.0 19 97705MDS1 WISCONSIN ST 2%1.15 05/01/20 Aa1 AA -Bullet 520,000 07/28/16 100.15 100.03 99.27 (3,994)1.11 2.03 0.8 0.8 0.0 20 3130A7ZT5 FEDERAL HOME LOAN BANK 2%1.40 05/18/20 Aaa AA+07/03/19 Amer 500,000 05/18/16 100.00 100.00 99.45 (2,773)1.40 2.03 0.9 0.9 (0.1) 21 150528LV7 CEDAR RAPIDS IA 2%2.50 06/01/20 Aa1 --Bullet 490,000 04/07/16 104.42 101.01 100.38 (3,087)1.40 2.09 0.9 0.9 0.0 22 64966LN56 NEW YORK NY 2%2.15 06/01/20 Aa1 AA -Bullet 500,000 06/18/15 100.00 100.00 99.97 (145)2.15 2.18 0.9 0.9 0.0 23 3133834H1 FEDERAL HOME LOAN BANK 2%1.38 06/12/20 Aaa AA+-Bullet 500,000 07/08/16 101.60 100.39 99.36 (5,149)0.96 2.05 1.0 1.0 0.0 Year 1 51%2.06 15,931,453 100.36 100.04 99.92 (19,309)1.98 2.21 0.3 0.3 0.0 24 3134G3F96 FREDDIE MAC 3%1.65 08/28/20 Aaa AA+-Bullet 1,000,000 07/10/18 97.98 98.88 99.72 8,437 2.63 1.89 1.2 1.2 0.0 25 84287PFU1 SOUTHERN FIRST BANK NA 1%2.90 09/08/20 ---Bullet 248,000 12/07/18 100.00 100.00 100.85 2,102 2.92 2.19 1.2 1.2 0.0 26 3130ACE26 FEDERAL HOME LOAN BANK 2%1.38 09/28/20 Aaa AA+-Bullet 500,000 12/04/18 97.44 98.22 99.34 5,577 2.83 1.91 1.3 1.3 0.0 27 3136G0R60 FANNIE MAE 2%1.50 10/22/20 Aaa AA+-Bullet 500,000 10/11/16 100.94 100.31 99.44 (4,364)1.26 1.93 1.3 1.3 0.0 28 3135G0RM7 FANNIE MAE 2%1.63 10/30/20 Aaa AA+-Bullet 500,000 06/26/19 99.76 99.76 99.66 (487)1.81 1.88 1.3 1.3 0.0 29 113835H54 BROOKLYN CENTER MN 1%3.00 02/01/21 -AA -Bullet 400,000 01/24/14 101.88 100.46 101.30 3,372 2.70 2.16 1.6 1.6 0.0 30 161664HA8 CHASKA MN 0%1.95 02/01/21 -AA -Bullet 140,000 11/29/17 100.00 100.00 99.94 (85)1.95 1.99 1.6 1.6 0.0 31 963439YA6 WHITE BEAR LAKE MN INDEP SCH D 2%5.00 02/01/21 -AAA -Bullet 650,000 06/14/19 104.54 104.43 104.66 1,476 2.15 2.01 1.6 1.5 0.0 32 793067CD9 SAINT PAUL MN PORT AUTH 1%2.38 03/01/21 -AAA -Bullet 365,000 06/24/19 100.67 100.66 100.54 (445)1.97 2.04 1.7 1.7 0.0 33 3136G0U58 FANNIE MAE 2%1.75 04/30/21 Aaa AA+-Bullet 500,000 02/07/19 98.30 98.59 99.76 5,860 2.54 1.88 1.8 1.8 0.0 34 53860RBH0 LIVINGSTON CNTY MI 2%2.05 05/01/21 Aaa --Bullet 500,000 06/20/19 100.00 100.00 100.12 605 2.05 1.98 1.8 1.8 0.0 35 02007GCV3 ALLY BANK 1%2.90 05/24/21 ---Bullet 246,000 05/24/18 100.00 100.00 101.30 3,205 2.90 2.20 1.9 1.9 0.0 Year 2 18%2.31 5,549,000 100.03 100.11 100.57 25,252 2.30 1.98 1.5 1.5 0.0 36 93974DV54 WASHINGTON ST 2%1.80 08/01/21 Aa1 AA+-Bullet 500,000 07/26/18 97.04 97.92 99.72 9,015 2.83 1.93 2.1 2.0 0.1 37 3133ECWS9 FEDERAL FARM CREDIT BANK 1%2.83 09/07/21 Aaa AA+-Bullet 400,000 12/03/18 99.71 99.77 102.20 9,732 2.94 1.80 2.2 2.1 0.1 39 88241TCV0 TEXAS EXCHANGE BANK SSB 1%2.30 09/27/21 --12/27/19 Amer 248,000 06/27/19 100.00 100.00 100.12 287 2.31 2.07 2.3 0.5 (0.1) 38 3130ACGX6 FEDERAL HOME LOAN BANK 2%2.00 09/27/21 Aaa AA+09/27/19 Berm 590,000 11/29/18 97.25 97.80 99.83 11,963 3.02 2.08 2.3 0.8 (2.1) 40 14042RJJ1 CAPITAL ONE NA 1%2.15 10/12/21 ---Bullet 247,000 10/12/17 100.00 100.00 99.84 (389)2.15 2.22 2.3 2.2 0.1 41 05580AKQ6 BMW BANK NORTH AMERICA 1%2.05 10/13/21 ---Bullet 247,000 10/13/17 100.00 100.00 99.62 (941)2.05 2.22 2.3 2.2 0.1 42 87165HFH8 SYNCHRONY BANK 1%2.55 12/20/21 ---Bullet 246,000 12/19/14 100.00 100.00 101.11 2,719 2.55 2.09 2.5 2.4 0.1 43 3134GAQ31 FREDDIE MAC 2%2.15 01/26/22 Aaa AA+07/26/19 Berm 500,000 11/14/17 99.95 99.97 100.02 252 2.54 1.89 2.6 0.1 0.0 45 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 100.49 593 2.35 2.15 2.6 2.5 0.1 44 161664HB6 CHASKA MN 0%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 100.42 589 2.10 1.93 2.6 2.5 0.1 46 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.06 102.38 6,960 2.88 1.98 2.7 2.5 0.1 Year 3 11%2.25 3,538,000 99.09 99.31 100.47 40,781 2.63 2.01 2.4 1.6 (0.3) 47 3130A6AP2 FEDERAL HOME LOAN BANK 2%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.01 101.31 11,487 2.57 1.83 3.2 3.1 0.1 48 3134GBH39 FREDDIE MAC 3%2.05 09/29/22 Aaa AA+09/29/19 Berm 1,000,000 06/29/18 97.01 97.68 100.05 23,724 11.59 1.83 3.3 0.3 (0.0) 49 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 106.29 109.90 13,357 3.05 1.99 3.4 3.2 0.1 52 73723RSP9 PORTSMOUTH VA 2%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 102.88 103.51 3,175 2.25 2.07 3.6 3.4 0.1 53 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 101.14 1,373 2.50 2.17 3.6 3.4 0.1 50 092765EW2 BLAINE MN 1%2.25 02/01/23 -AA+-Bullet 395,000 12/05/17 100.00 100.00 100.63 2,496 2.25 2.07 3.6 3.4 0.1 51 161664HC4 CHASKA MN 0%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 101.01 1,467 2.25 1.96 3.6 3.4 0.1 Year 4 10%2.67 3,030,000 100.55 100.32 102.20 57,079 5.42 1.94 3.4 2.3 0.1 54 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 102.06 106.35 8,801 2.85 1.80 4.2 3.9 0.2 Portfolio Analysis 13 Positions by Maturity %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 55 3133EJQA0 FEDERAL FARM CREDIT BANK 2%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.48 104.36 19,397 2.88 1.94 4.3 4.0 0.2 56 161664HD2 CHASKA MN 0%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 101.56 2,337 2.40 2.04 4.6 4.3 0.2 Year 5 3%2.98 855,000 100.95 100.78 104.35 30,535 2.79 1.92 4.3 4.0 0.2 57 3130ABLN4 FEDERAL HOME LOAN BANK 1%2.50 06/28/24 Aaa AA+07/03/19 Amer 345,000 10/11/17 100.00 100.00 100.00 2 2.52 2.47 5.0 0.2 (0.8) 58 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 95.34 99.62 10,698 3.25 2.33 5.1 4.8 0.3 59 3130ABXS0 FEDERAL HOME LOAN BANK 2%2.47 08/14/24 Aaa AA+08/14/20 Amer 500,000 07/19/18 96.27 96.80 100.27 17,337 5.43 2.23 5.1 1.3 (1.3) Year 6 3%2.43 1,095,000 97.06 97.48 100.04 28,036 4.00 2.33 5.1 1.7 (0.8) 60 4095585H2 HAMPTON VA 2%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 103.88 109.75 35,244 3.30 2.30 6.2 5.5 0.4 Year 7 2%4.00 600,000 104.44 103.88 109.75 35,244 3.30 2.30 6.2 5.5 0.4 61 3133EJD55 FEDERAL FARM CREDIT BANK 2%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 101.03 107.76 33,650 3.14 2.14 7.3 6.4 0.5 Year 8 2%3.30 500,000 101.10 101.03 107.76 33,650 3.14 2.14 7.3 6.4 0.5 Total Portfolio 100%2.28 31,098,453 100.16 100.02 100.76 231,268 2.58 2.12 1.6 1.2 (0.0) Portfolio Analysis 14 Positions by Maturity - Scenario Analysis Market Price (%∆)Book Yield Effective Duration %Final DN DN UP UP DN DN Base UP UP DN DN Base UP UP ID CUSIP Issuer Port Cpn Maturity Par WAM DN 50 DN 25 UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 65 0008CHAN2 NORTHLAND 2%1.52 701,472 0.0 0.0 0.0 0.0 0.0 1.52 1.52 1.52 1.52 1.52 0.0 0.0 0.0 0.0 0.0 63 0006CHAN6 BMO HARRIS BANK 0%0.00 103,776 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 62 0003CHAN3 WF HERITAGE 9%2.38 2,644,351 0.0 0.0 0.0 0.0 0.0 2.38 2.38 2.38 2.38 2.38 0.0 0.0 0.0 0.0 0.0 1 0006CHAN7 PMA-4M FUND 0%2.10 10 0.0 0.0 0.0 0.0 0.0 2.10 2.10 2.10 2.10 2.10 0.0 0.0 0.0 0.0 0.0 64 0006CHAN8 AMERICANA COM BK 12%2.39 3,782,845 0.0 0.0 0.0 0.0 0.0 2.39 2.39 2.39 2.39 2.39 0.0 0.0 0.0 0.0 0.0 3 2546714E7 DISCOVER BANK 1%2.10 08/13/19 247,000 0.1 0.1 0.0 (0.0)(0.1)2.09 2.09 2.09 2.09 2.09 0.1 0.1 0.1 0.1 0.1 2 06740KHS9 BARCLAYS BANK/DELAWARE 1%2.10 08/13/19 247,000 0.1 0.1 0.0 (0.0)(0.1)2.09 2.09 2.09 2.09 2.09 0.1 0.1 0.1 0.1 0.1 4 02587CAT7 AMERICAN EXPRESS BK FSB 1%2.05 08/14/19 247,000 0.1 0.1 0.0 (0.0)(0.1)2.04 2.04 2.04 2.04 2.04 0.1 0.1 0.1 0.1 0.1 5 628779FN5 NBT BANK 1%2.10 08/20/19 247,000 0.1 0.1 0.0 (0.0)(0.1)2.09 2.09 2.09 2.09 2.09 0.1 0.1 0.1 0.1 0.1 6 3136G4BB8 FANNIE MAE 2%1.15 09/27/19 500,000 0.2 0.1 0.1 (0.1)(0.1)1.15 1.15 1.15 1.15 1.15 0.3 0.3 0.3 0.3 0.3 7 882722J69 TEXAS ST 3%3.19 10/01/19 995,000 0.3 0.1 0.1 (0.1)(0.1)1.59 1.59 1.59 1.59 1.59 0.3 0.3 0.3 0.3 0.3 8 3133EEBN9 FEDERAL FARM CREDIT BANK 2%1.80 11/12/19 500,000 0.4 0.2 0.1 (0.1)(0.2)2.05 2.05 2.05 2.05 2.05 0.4 0.4 0.4 0.4 0.4 9 313400BV4 FREDDIE MAC 2%0.00 11/29/19 560,000 0.4 0.2 0.1 (0.1)(0.2)1.80 1.80 1.80 1.80 1.80 0.4 0.4 0.4 0.4 0.4 10 742617CD3 PRIOR LAKE MN 1%1.60 12/15/19 205,000 0.5 0.2 0.1 (0.1)(0.2)1.60 1.60 1.60 1.60 1.60 0.5 0.5 0.5 0.5 0.5 11 17284C6R0 CIT BANK NA 1%2.20 12/24/19 247,000 0.5 0.2 0.1 (0.1)(0.2)2.20 2.20 2.20 2.20 2.20 0.5 0.5 0.5 0.5 0.5 12 57116AMC9 MARLIN BUSINESS BANK 1%1.25 12/27/19 249,000 0.5 0.3 0.1 (0.1)(0.2)1.25 1.25 1.25 1.25 1.25 0.5 0.5 0.5 0.5 0.5 13 3133EG3J2 FEDERAL FARM CREDIT BANK 2%1.55 01/10/20 500,000 0.5 0.3 0.1 (0.1)(0.3)1.55 1.55 1.55 1.55 1.55 0.5 0.5 0.5 0.5 0.5 14 410493DD9 HANMI BANK 1%2.55 02/25/20 249,000 0.7 0.3 0.2 (0.2)(0.3)2.56 2.56 2.56 2.56 2.56 0.7 0.7 0.7 0.7 0.7 15 678519UC1 OKLAHOMA CITY OK 1%2.00 03/01/20 200,000 0.7 0.3 0.2 (0.2)(0.3)1.40 1.40 1.40 1.40 1.40 0.7 0.7 0.7 0.7 0.7 16 60688MB78 MIZUHO BANK USA 1%2.30 03/19/20 248,000 0.7 0.4 0.2 (0.2)(0.4)2.29 2.29 2.29 2.29 2.29 0.7 0.7 0.7 0.7 0.7 17 740367HG5 PREFERRED BANK LA CALIF 1%2.30 03/30/20 248,000 0.8 0.4 0.2 (0.2)(0.4)2.31 2.31 2.31 2.31 2.31 0.8 0.8 0.8 0.8 0.8 18 3137EAEM7 FREDDIE MAC 2%2.50 04/23/20 500,000 0.8 0.4 0.2 (0.2)(0.4)2.77 2.77 2.77 2.77 2.77 0.8 0.8 0.8 0.8 0.8 19 97705MDS1 WISCONSIN ST 2%1.15 05/01/20 520,000 0.8 0.4 0.2 (0.2)(0.4)1.11 1.11 1.11 1.11 1.11 0.8 0.8 0.8 0.8 0.8 20 3130A7ZT5 FEDERAL HOME LOAN BANK 2%1.40 05/18/20 500,000 0.9 0.4 0.2 (0.2)(0.4)1.40 1.40 1.40 1.40 1.40 0.6 0.8 0.9 0.9 0.9 21 150528LV7 CEDAR RAPIDS IA 2%2.50 06/01/20 490,000 0.9 0.5 0.2 (0.2)(0.5)1.40 1.40 1.40 1.40 1.40 0.9 0.9 0.9 0.9 0.9 22 64966LN56 NEW YORK NY 2%2.15 06/01/20 500,000 0.9 0.5 0.2 (0.2)(0.5)2.15 2.15 2.15 2.15 2.15 0.9 0.9 0.9 0.9 0.9 23 3133834H1 FEDERAL HOME LOAN BANK 2%1.38 06/12/20 500,000 1.0 0.5 0.2 (0.2)(0.5)0.96 0.96 0.96 0.96 0.96 1.0 1.0 1.0 1.0 1.0 Year 1 51%2.06 15,931,453 0.3 5.8 2.7 (2.4)(4.6)1.98 1.98 1.98 1.98 1.98 0.3 0.3 0.3 0.3 0.3 24 3134G3F96 FREDDIE MAC 3%1.65 08/28/20 1,000,000 1.2 0.6 0.3 (0.3)(0.6)2.63 2.63 2.63 2.63 2.63 1.2 1.2 1.2 1.2 1.2 25 84287PFU1 SOUTHERN FIRST BANK NA 1%2.90 09/08/20 248,000 1.2 0.6 0.3 (0.3)(0.6)2.92 2.92 2.92 2.92 2.92 1.2 1.2 1.2 1.2 1.2 26 3130ACE26 FEDERAL HOME LOAN BANK 2%1.38 09/28/20 500,000 1.3 0.6 0.3 (0.3)(0.6)2.83 2.83 2.83 2.83 2.83 1.3 1.3 1.3 1.3 1.3 27 3136G0R60 FANNIE MAE 2%1.50 10/22/20 500,000 1.3 0.7 0.3 (0.3)(0.7)1.26 1.26 1.26 1.26 1.26 1.3 1.3 1.3 1.3 1.3 28 3135G0RM7 FANNIE MAE 2%1.63 10/30/20 500,000 1.3 0.7 0.3 (0.3)(0.7)1.81 1.81 1.81 1.81 1.81 1.3 1.3 1.3 1.3 1.3 29 113835H54 BROOKLYN CENTER MN 1%3.00 02/01/21 400,000 1.6 0.8 0.4 (0.4)(0.8)2.70 2.70 2.70 2.70 2.70 1.6 1.6 1.6 1.6 1.6 30 161664HA8 CHASKA MN 0%1.95 02/01/21 140,000 1.6 0.8 0.4 (0.4)(0.8)1.95 1.95 1.95 1.95 1.95 1.6 1.6 1.6 1.6 1.6 31 963439YA6 WHITE BEAR LAKE MN INDEP SCH D 2%5.00 02/01/21 650,000 1.6 0.8 0.4 (0.4)(0.8)2.15 2.15 2.15 2.15 2.15 1.5 1.5 1.5 1.5 1.5 32 793067CD9 SAINT PAUL MN PORT AUTH 1%2.38 03/01/21 365,000 1.7 0.8 0.4 (0.4)(0.8)1.97 1.97 1.97 1.97 1.97 1.7 1.7 1.7 1.7 1.7 33 3136G0U58 FANNIE MAE 2%1.75 04/30/21 500,000 1.8 0.9 0.5 (0.5)(0.9)2.54 2.54 2.54 2.54 2.54 1.8 1.8 1.8 1.8 1.8 34 53860RBH0 LIVINGSTON CNTY MI 2%2.05 05/01/21 500,000 1.8 0.9 0.5 (0.5)(0.9)2.05 2.05 2.05 2.05 2.05 1.8 1.8 1.8 1.8 1.8 35 02007GCV3 ALLY BANK 1%2.90 05/24/21 246,000 1.9 0.9 0.5 (0.5)(0.9)2.90 2.90 2.90 2.90 2.90 1.9 1.9 1.9 1.9 1.9 Year 2 18%2.31 5,549,000 1.5 0.7 0.4 (0.4)(0.7)2.30 2.30 2.30 2.30 2.30 1.5 1.5 1.5 1.5 1.5 36 93974DV54 WASHINGTON ST 2%1.80 08/01/21 500,000 2.1 1.0 0.5 (0.5)(1.0)2.83 2.83 2.83 2.83 2.83 2.0 2.0 2.0 2.0 2.0 37 3133ECWS9 FEDERAL FARM CREDIT BANK 1%2.83 09/07/21 400,000 2.2 1.1 0.5 (0.5)(1.1)2.94 2.94 2.94 2.94 2.94 2.1 2.1 2.1 2.1 2.1 39 88241TCV0 TEXAS EXCHANGE BANK SSB 1%2.30 09/27/21 248,000 2.3 0.2 0.1 (0.1)(0.3)2.31 2.31 2.31 2.31 2.31 0.5 0.5 0.5 0.6 0.8 38 3130ACGX6 FEDERAL HOME LOAN BANK 2%2.00 09/27/21 590,000 2.3 0.2 0.1 (0.3)(0.6)11.25 3.02 3.02 3.02 3.02 0.3 0.4 0.8 1.3 1.8 40 14042RJJ1 CAPITAL ONE NA 1%2.15 10/12/21 247,000 2.3 1.1 0.6 (0.6)(1.1)2.15 2.15 2.15 2.15 2.15 2.2 2.2 2.2 2.2 2.2 41 05580AKQ6 BMW BANK NORTH AMERICA 1%2.05 10/13/21 247,000 2.3 1.1 0.6 (0.6)(1.1)2.05 2.05 2.05 2.05 2.05 2.2 2.2 2.2 2.2 2.2 42 87165HFH8 SYNCHRONY BANK 1%2.55 12/20/21 246,000 2.5 1.2 0.6 (0.6)(1.2)2.55 2.55 2.55 2.55 2.55 2.4 2.4 2.4 2.4 2.4 43 3134GAQ31 FREDDIE MAC 2%2.15 01/26/22 500,000 2.6 0.0 0.0 (0.0)(0.1)2.54 2.54 2.54 2.54 2.16 0.1 0.1 0.1 0.2 0.5 45 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.35 02/01/22 120,000 2.6 1.3 0.6 (0.6)(1.2)2.35 2.35 2.35 2.35 2.35 2.5 2.5 2.5 2.5 2.5 44 161664HB6 CHASKA MN 0%2.10 02/01/22 140,000 2.6 1.3 0.6 (0.6)(1.2)2.10 2.10 2.10 2.10 2.10 2.5 2.5 2.5 2.5 2.5 46 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 300,000 2.7 1.3 0.6 (0.6)(1.3)2.88 2.88 2.88 2.88 2.88 2.5 2.5 2.5 2.5 2.5 Portfolio Analysis 15 Positions by Maturity - Scenario Analysis Market Price (%∆)Book Yield Effective Duration %Final DN DN UP UP DN DN Base UP UP DN DN Base UP UP ID CUSIP Issuer Port Cpn Maturity Par WAM DN 50 DN 25 UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 DN 50 DN 25 Case UP 25 UP 50 Year 3 11%2.25 3,538,000 2.4 0.8 0.4 (0.4)(0.8)3.98 2.63 2.63 2.63 2.58 1.5 1.5 1.6 1.7 1.8 47 3130A6AP2 FEDERAL HOME LOAN BANK 2%2.25 09/09/22 500,000 3.2 1.6 0.8 (0.8)(1.5)2.57 2.57 2.57 2.57 2.57 3.1 3.1 3.1 3.1 3.0 48 3134GBH39 FREDDIE MAC 3%2.05 09/29/22 1,000,000 3.3 0.1 0.1 (0.1)(0.2)11.59 11.59 11.59 2.80 2.80 0.3 0.3 0.3 0.3 0.7 49 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 370,000 3.4 1.6 0.8 (0.8)(1.6)3.05 3.05 3.05 3.05 3.05 3.2 3.2 3.2 3.2 3.2 52 73723RSP9 PORTSMOUTH VA 2%3.09 02/01/23 500,000 3.6 1.7 0.9 (0.8)(1.7)2.25 2.25 2.25 2.25 2.25 3.4 3.4 3.4 3.4 3.4 53 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 120,000 3.6 1.7 0.9 (0.9)(1.7)2.50 2.50 2.50 2.50 2.50 3.4 3.4 3.4 3.4 3.4 50 092765EW2 BLAINE MN 1%2.25 02/01/23 395,000 3.6 1.7 0.9 (0.9)(1.7)2.25 2.25 2.25 2.25 2.25 3.4 3.4 3.4 3.4 3.4 51 161664HC4 CHASKA MN 0%2.25 02/01/23 145,000 3.6 1.7 0.9 (0.9)(1.7)2.25 2.25 2.25 2.25 2.25 3.4 3.4 3.4 3.4 3.4 Year 4 10%2.67 3,030,000 3.4 1.2 0.6 (0.6)(1.2)5.42 5.42 5.42 2.59 2.59 2.3 2.3 2.3 2.3 2.4 54 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 205,000 4.2 2.0 1.0 (1.0)(1.9)2.85 2.85 2.85 2.85 2.85 3.9 3.9 3.9 3.9 3.9 55 3133EJQA0 FEDERAL FARM CREDIT BANK 2%3.00 10/23/23 500,000 4.3 2.0 1.0 (1.0)(2.0)2.88 2.88 2.88 2.88 2.88 4.0 4.0 4.0 4.0 4.0 56 161664HD2 CHASKA MN 0%2.40 02/01/24 150,000 4.6 2.2 1.1 (1.1)(2.1)2.40 2.40 2.40 2.40 2.40 4.3 4.3 4.3 4.3 4.3 Year 5 3%2.98 855,000 4.3 2.1 1.0 (1.0)(2.0)2.79 2.79 2.79 2.79 2.79 4.1 4.0 4.0 4.0 4.0 57 3130ABLN4 FEDERAL HOME LOAN BANK 1%2.50 06/28/24 345,000 5.0 0.0 0.0 (0.1)(0.3)2.52 2.52 2.52 2.50 2.50 0.1 0.1 0.2 0.7 1.7 58 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 250,000 5.1 2.4 1.2 (1.2)(2.4)3.25 3.25 3.25 3.25 3.25 4.8 4.8 4.8 4.7 4.7 59 3130ABXS0 FEDERAL HOME LOAN BANK 2%2.47 08/14/24 500,000 5.1 0.6 0.3 (0.4)(1.0)5.43 5.43 5.43 3.15 3.15 1.1 1.1 1.3 1.9 2.9 Year 6 3%2.43 1,095,000 5.1 0.8 0.4 (0.5)(1.1)4.00 4.00 4.00 2.96 2.96 1.6 1.6 1.7 2.2 2.9 60 4095585H2 HAMPTON VA 2%4.00 09/01/25 600,000 6.2 2.8 1.4 (1.4)(2.7)3.30 3.30 3.30 3.30 3.30 5.5 5.5 5.5 5.4 5.4 Year 7 2%4.00 600,000 6.2 2.8 1.4 (1.4)(2.7)3.30 3.30 3.30 3.30 3.30 5.5 5.5 5.5 5.4 5.4 61 3133EJD55 FEDERAL FARM CREDIT BANK 2%3.30 09/28/26 500,000 7.3 3.3 1.6 (1.6)(3.2)3.14 3.14 3.14 3.14 3.14 6.5 6.5 6.4 6.4 6.4 Year 8 2%3.30 500,000 7.3 3.3 1.6 (1.6)(3.2)3.14 3.14 3.14 3.14 3.14 6.5 6.5 6.4 6.4 6.4 Total Portfolio 100%2.28 31,098,453 1.6 3.6 1.7 (1.5)(2.8)2.74 2.58 2.58 2.27 2.27 1.2 1.2 1.2 1.3 1.3 Portfolio Analysis 16 Product Detail Treasury, Agency, SSA - Summary Issuer / Sector Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Call Type% Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Bullet Amer Euro Berm FHLB 8 12%31%3,640,000 1.97 98.99 100.29 47,245 2.69 2.05 2.6 1.4 (0.6)100%--47%37%-16% FNMA 4 6%17%2,000,000 1.51 99.67 99.65 (254)1.69 1.97 1.2 1.2 0.0 100%--100%--- FHLMC 5 11%31%3,560,000 1.69 98.88 99.85 34,642 4.99 1.94 1.8 0.6 (0.0)100%--58%--42% FFCB 5 8%21%2,400,000 2.48 100.26 102.82 61,448 2.50 2.01 3.0 2.8 0.2 100%--100%--- Sector Total 22 37%100%11,600,000 1.91 99.34 100.57 143,082 3.18 2.00 2.2 1.4 (0.1)100%70%12%18% FFCB 21% FHLB 31% FHLMC 31% FNMA 17% Bullet 70% Amer 12% Berm 18% Fixed 100% Issuer Structure Coupon Portfolio Analysis 18 Money Market Sector - Summary Money Market Product Distribution (%) Moody's Short Term Ratings Distribution (%) Cash Flows by Month -12 Months ($) Agency, 22% Certificate of Deposit, 14% MMF, 45% Municipal, 18% 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 19 Certificates of Deposit - Summary Structure Line %% Total Par Book Market Book Market Eff Eff Type Items Port Sector Cpn Amount Price Price G / L Yield Yield WAM Dur Cvx Fixed 15 12%100%2.25 3,711,000 100.00 100.18 6,767 2.25 2.21 1.1 0.9 0.0 Sector Total 15 12%100%2.25 3,711,000 100.00 100.18 6,767 2.25 2.21 1.1 0.9 0.0 Portfolio Analysis 20 Municipal - Summary Issue Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Agg LT Ratings Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Moody's S&P GO Limited 2 2%8%700,000 2.04 100.11 100.06 (385)1.86 2.03 1.5 1.5 0.0 100%--Aaa GO Unlimited 17 23%82%7,000,000 2.94 101.29 102.29 69,587 2.20 2.11 2.2 2.1 0.1 100%--Aa1 AA+ Revenue 3 2%6%490,000 2.34 97.62 100.21 12,663 2.84 2.25 4.1 3.9 0.2 100%--Aaa AAA Other 1 1%4%365,000 2.38 100.66 100.54 (445)1.97 2.04 1.7 1.7 0.0 100%--AAA Sector Total 23 28%100%8,555,000 2.81 100.96 101.91 81,419 2.20 2.11 2.2 2.1 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 22 26%92%7,905,000 2.62 100.67 101.69 79,944 2.20 2.12 2.3 2.2 0.1 100%--Aa1 AA+ School District 1 2%8%650,000 5.00 104.43 104.66 1,476 2.15 2.01 1.6 1.5 0.0 100%--AAA Sector Total 23 28%100%8,555,000 2.81 100.96 101.91 81,419 2.20 2.11 2.2 2.1 0.1 100%Aa1 AA+ GO Limited 8% GO Unlimited 82% Other 4% Revenue 6% Fixed 100% Issuer Coupon Portfolio Analysis 21 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 Melissa Atkins Analyst (704) 410-0114 melissa.atkins@wellsfargo.com Daniel Giuliano Analyst (704) 410-3685 daniel.giuliano@wellsfargo.com Portfolio Analysis 22 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 23 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 24