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Investment Report 12-31-2019
City of Chanhassen 12/31/2019 12/31/2019 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 Corporate - Summary 21 Projected Call Report 8 Municipal - Summary 22 Credit Rating Monitor 9 MMF Historical Performance 23 Positions by Sector 11 MMF Fund Profiles 25 Positions by Maturity 13 Positions by Maturity - Scenario Analysis 15 2 Portfolio Summary Portfolio Snapshot Coupon Structure Sector Allocation Number of Positions 63 Par ($000)30,785 Book Value ($000)30,869 Mkt Value w/o Accrd ($000)31,116 Unrlzed Gain / Loss ($000)248 Coupon 2.07 Book Yield 2.01 Market Yield 1.66 Wgt Avg Maturity 1.4 Average Life 1.2 Effective Duration 1.2 Effective Convexity (0.0) Overnight Funds Principal 7,681 Overnight Funds Interest 0 Term Securities Principal 10,891 Term Securities Interest 454 Total Cash Flow 19,027 100%100% A-1+/A-1/P-1 A-2 / P-2 A-3 / P-3 Not Prime NA Short Term Rating 14% 38% 48% 36% 10% 54% 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 27.8% Certificate of Deposit 14.4%Corporate 0.0%MMF 24.9% Municipal 28.7% Treasury 4.2% 1.43 1.72 2.33 2.11 2.78 1.25 1.51 2.80 2.87 1.63 1.99 2.30 2.38 2.62 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 0 2,000,000 4,000,000 6,000,000 8,000,000 10,000,000 12,000,000 O/N Month 1 Month 2 Month 3 Month 4 Month 5 Month 6 Month 7 Month 8 Month 9 Month 10 Month 11 Month 12 1 Year 2 Years 3 Years >3 Years Interest Call Maturity Run Off Yield Credit Exposure Cash Flow Projections* Portfolio Snapshot Coupon Structure Portfolio Allocation Characteristics 12M Projected Cash Flow ($000)S&P Moody's Portfolio Analysis 3 Cash Flow Projections Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) O/N 301 0 7,681,279 1.43 7,681,580 7,681,580 Jan-20 24,641 249,000 2,944,010 1.72 3,217,651 10,899,231 Feb-20 82,284 247,000 249,000 2.33 578,284 11,477,515 Mar-20 56,934 0 696,000 2.11 752,934 12,230,449 Apr-20 31,736 0 500,000 2.78 531,736 12,762,186 May-20 18,698 0 1,020,000 1.25 1,038,698 13,800,884 Jun-20 40,027 0 1,490,000 1.51 1,530,027 15,330,910 Jul-20 5,735 0 0 0.00 5,735 15,336,645 Aug-20 78,595 500,000 1,000,000 2.80 1,578,595 16,915,240 Sep-20 52,603 0 748,000 2.87 800,603 17,715,843 Oct-20 26,127 0 1,248,000 1.63 1,274,127 18,989,970 Nov-20 12,442 0 0 0.00 12,442 19,002,412 Year 1 Dec-20 24,490 0 0 0.00 24,490 19,026,902 Jan-21 2,655 0 0 0.00 2,655 19,029,557 Feb-21 63,662 0 1,190,000 2.32 1,253,662 20,283,219 Mar-21 48,546 0 365,000 1.97 413,546 20,696,765 Apr-21 17,062 0 500,000 2.54 517,062 21,213,827 May-21 12,442 0 746,000 2.33 758,442 21,972,269 Jun-21 24,490 0 0 0.00 24,490 21,996,759 Jul-21 2,655 0 0 0.00 2,655 21,999,415 Aug-21 40,076 0 994,000 2.34 1,034,076 23,033,490 Sep-21 44,212 0 990,000 2.15 1,034,212 24,067,702 Oct-21 12,687 0 494,000 2.10 506,687 24,574,389 Nov-21 3,750 0 0 0.00 3,750 24,578,139 Year 2 Dec-21 24,507 0 246,000 2.55 270,507 24,848,647 Jan-22 2,655 0 0 0.00 2,655 24,851,302 Feb-22 30,360 0 260,000 2.21 290,360 25,141,662 Mar-22 33,684 0 300,000 2.88 333,684 25,475,346 Apr-22 7,500 0 0 0.00 7,500 25,482,846 May-22 3,750 0 0 0.00 3,750 25,486,596 Jun-22 21,354 0 0 0.00 21,354 25,507,950 Jul-22 2,655 0 0 0.00 2,655 25,510,605 Aug-22 27,495 0 247,000 2.15 274,495 25,785,100 Sep-22 29,334 0 500,000 2.57 529,334 26,314,434 Oct-22 7,500 0 0 0.00 7,500 26,321,934 Nov-22 3,750 0 0 0.00 3,750 26,325,684 Year 3 Dec-22 21,354 0 1,120,000 2.24 1,141,354 27,467,038 Portfolio Analysis 4 Cash Flow Projections - Continued Time Run Off Monthly Cumulative Period Date Interest ($)Call ($)Maturity ($)Yield (%)Total ($)Total ($) Jan-23 0 0 0 0.00 0 27,467,038 Feb-23 27,480 0 1,160,000 2.28 1,187,480 28,654,518 Mar-23 23,709 0 0 0.00 23,709 28,678,227 Apr-23 7,500 0 0 0.00 7,500 28,685,727 May-23 3,750 0 250,000 1.90 253,750 28,939,477 Jun-23 0 0 0 0.00 0 28,939,477 Jul-23 0 0 0 0.00 0 28,939,477 Aug-23 12,183 0 0 0.00 12,183 28,951,660 Sep-23 23,709 0 205,000 2.85 228,709 29,180,369 Oct-23 7,500 0 500,000 2.88 507,500 29,687,869 Nov-23 0 0 0 0.00 0 29,687,869 Year 4 Dec-23 0 0 0 0.00 0 29,687,869 Jan-24 0 0 0 0.00 0 29,687,869 Feb-24 12,183 0 150,000 2.40 162,183 29,850,051 Mar-24 20,250 0 0 0.00 20,250 29,870,301 Apr-24 0 0 0 0.00 0 29,870,301 May-24 0 0 0 0.00 0 29,870,301 Jun-24 0 0 0 0.00 0 29,870,301 Jul-24 0 0 0 0.00 0 29,870,301 Aug-24 10,383 0 497,000 2.63 507,383 30,377,684 Sep-24 20,250 0 0 0.00 20,250 30,397,934 Oct-24 0 0 0 0.00 0 30,397,934 Nov-24 0 0 0 0.00 0 30,397,934 Year 5 Dec-24 0 0 0 0.00 0 30,397,934 Jan-25 0 0 0 0.00 0 30,397,934 Feb-25 5,100 0 400,000 2.05 405,100 30,803,034 Mar-25 20,250 0 0 0.00 20,250 30,823,284 Apr-25 0 0 0 0.00 0 30,823,284 May-25 0 0 0 0.00 0 30,823,284 Jun-25 0 0 0 0.00 0 30,823,284 Jul-25 0 0 0 0.00 0 30,823,284 Aug-25 0 0 0 0.00 0 30,823,284 Sep-25 20,250 0 600,000 3.30 620,250 31,443,534 Oct-25 0 0 0 0.00 0 31,443,534 Nov-25 0 0 0 0.00 0 31,443,534 Year 6 Dec-25 0 0 0 0.00 0 31,443,534 Portfolio Analysis 5 Historical Performance # Line Avg Total Par Avg Bk Avg Mkt Bnchmrk Wgt Avg Eff Ratings Portfolio Allocation* Date Items Coupon ($000)G / L Yield Yield Tsy Yield Maturity Dur Moody's S&P MMF Govt Corp CD/CP Muni Other 12/31/19 63 2.07 30,785 248 2.01 1.66 1.59 1.4 1.2 Aaa AA+25%32%0%14%29%0% 09/30/19 71 2.22 29,766 299 2.22 1.92 1.72 1.6 1.3 Aaa AA+13%39%0%17%32%0% 06/30/19 65 2.28 31,098 231 2.27 2.12 1.89 1.6 1.2 Aaa AA+23%37%0%12%28%0% 03/31/19 65 2.17 29,020 31 2.27 2.47 2.32 1.9 1.6 Aaa AA+16%47%0%13%24%0% 12/31/18 71 2.11 34,764 (146)2.12 2.56 2.55 1.7 1.5 Aaa AA+21%41%0%13%25%0% 09/30/18 72 1.87 30,316 (352)1.83 2.48 2.76 5.4 1.8 Aa1 AA+14%39%18%0%30%0% 06/29/18 73 1.77 30,817 (219)1.65 2.00 2.28 1.8 1.6 Aaa AA+ 03/29/18 70 1.61 25,872 (182)1.48 1.81 2.11 1.6 1.5 Aaa AA+ 12/29/17 80 1.49 31,196 (112)1.36 2.21 1.69 1.5 1.4 Aaa AA+ 09/29/17 73 1.48 29,667 (37)1.32 1.48 1.34 1.4 1.3 Aa1 AA+ 06/30/17 69 1.47 28,201 (46)1.36 1.45 1.30 1.6 1.4 Aa1 AA+ 03/31/17 70 1.35 29,892 (54)1.27 1.35 1.15 1.7 1.5 Aa1 AA+ 0.00 0.50 1.00 1.50 2.00 2.50 3.00 Avg Book Yield Benchmark Treasury 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% MMF Govt Corp CD/CP Muni Other Portfolio Allocation*Book Yield vs. Treasury Benchmark * Portfolio Allocation is a new addition to portfolio analysis. Data will be added over time. Portfolio Analysis 6 Yield / Duration Contribution Book Market Book Eff Sector Total (%)Value ($)Value ($)G / L ($)Yield Dur Agency 27.8%8,569,799 8,692,526 122,727 2.27 1.5 Certificate of Deposit 14.4%4,455,000 4,478,158 23,158 2.26 1.2 Corporate 0.0%10 10 0 1.84 0.0 MMF 24.9%7,680,480 7,681,279 799 1.43 0.0 Municipal 28.7%8,863,516 8,964,584 101,068 2.24 2.2 Treasury 4.2%1,299,824 1,299,581 (243)1.40 0.1 Total Portfolio 100.0%30,868,629 31,116,137 247,509 2.01 1.2 Agency Certificate of Deposit Corporate MMF Municipal Treasury 0.00 0.50 1.00 1.50 2.00 2.50 3.00 -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 38 88241TCV0 Certificate of Deposit TEXAS EXCHANGE BANK SSB 09/27/21 Amer 248,000 2.31 1.67 01/27/20 01/27/20 01/27/20 55 828373HA1 Certificate of Deposit SILVERGATE BANK 07/31/23 Bullet 249,000 2.26 1.63 01/31/20 01/31/20 12/31/20 61 38149MFA6 Certificate of Deposit GOLDMAN SACHS BANK USA 08/21/24 Bullet 247,000 2.10 1.74 02/21/20 02/21/20 08/21/24 0-90 Days 744,000 2.22 1.68 60 3130ABXS0 Agency FEDERAL HOME LOAN BANK 08/14/24 Amer 500,000 3.15 2.14 08/14/20 08/14/20 08/14/24 181-365 Days 500,000 3.15 2.14 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 37 3133ELEF7 Agency FEDERAL FARM CREDIT BANK 1.65 09/20/21 590,000 Aaa 12/12/19 -AA+12/11/19 -AAA 12/24/19 - 54 792882BV3 Municipal ST PAUL MN 3.00 05/01/23 250,000 ---AAA 11/08/19 ---- 33 93974DV54 Municipal WASHINGTON ST 1.80 08/01/21 500,000 Aaa 08/23/19 -AA+09/26/17 -AA+08/30/17 - 50 092765EW2 Municipal BLAINE MN 2.25 02/01/23 395,000 ---AAA 08/01/19 ---- 63 092765EY8 Municipal BLAINE MN 2.55 02/01/25 400,000 ---AAA 08/01/19 ---- 31 53860RBH0 Municipal LIVINGSTON CNTY MI 2.05 05/01/21 500,000 Aaa 05/20/19 ------- 18 64966LN56 Municipal NEW YORK NY 2.15 06/01/20 500,000 Aa1 03/01/19 -AA 06/02/15 -AA 05/28/15 - 65 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 - 28 963439YA6 Municipal WHITE BEAR LAKE MN INDEP SCH D 5.00 02/01/21 650,000 ---AAA 07/25/18 ---- 64 4095585H2 Municipal HAMPTON VA 4.00 09/01/25 600,000 Aa1 06/05/18 -AA+06/13/18 -AA+06/06/18 - 29 793067CD9 Municipal SAINT PAUL MN PORT AUTH 2.38 03/01/21 365,000 ---AAA 06/01/18 ---- 57 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 - 14 3137EAEM7 Agency FREDDIE MAC 2.50 04/23/20 500,000 Aaa 04/19/18 -AA+04/18/18 -AAA 04/19/18 - 43 809557BA8 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.35 02/01/22 120,000 ---AAA 04/04/18 ---- 53 809557BB6 Municipal SCOTT CNTY MN CMNTY DEV AGY FA 2.50 02/01/23 120,000 ---AAA 04/04/18 ---- 48 60375BCD6 Municipal MINNEAPOLIS MN 4.25 12/01/22 350,000 ---AAA 05/02/17 -AA+11/08/17 - 44 60374Y7S0 Municipal MINNEAPOLIS MN 2.90 03/01/22 300,000 Aa1 02/07/14 -AAA 02/12/14 -AA+11/08/17 - 58 161664HD2 Municipal CHASKA MN 2.40 02/01/24 150,000 ---AA 11/06/17 ---- 27 161664HA8 Municipal CHASKA MN 1.95 02/01/21 140,000 ---AA 11/06/17 ---- 42 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 ---- 15 97705MDS1 Municipal WISCONSIN ST 1.15 05/01/20 520,000 Aa1 08/04/17 -AA 07/12/16 -AA+10/19/17 - 22 3130ACE26 Agency FEDERAL HOME LOAN BANK 1.38 09/28/20 500,000 Aaa 09/08/17 -AA+09/08/17 ---- 60 3130ABXS0 Agency FEDERAL HOME LOAN BANK 2.47 08/14/24 500,000 Aaa 07/27/17 -AA+07/27/17 ---- 5 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 - 59 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 - 16 3130A7ZT5 Agency FEDERAL HOME LOAN BANK 1.40 05/18/20 500,000 Aaa 05/09/16 -AA+05/09/16 ---- 11 678519UC1 Municipal OKLAHOMA CITY OK 2.00 03/01/20 200,000 Aaa 03/18/16 -AAA 03/29/16 ---- 46 3130A6AP2 Agency FEDERAL HOME LOAN BANK 2.25 09/09/22 500,000 Aaa 08/07/15 -AA+08/07/15 ---- 9 912828H52 Treasury US TREASURY N/B 1.25 01/31/20 1,300,000 Aaa 02/06/15 ----AAAu 02/02/15 - 17 150528LV7 Municipal CEDAR RAPIDS IA 2.50 06/01/20 490,000 Aa1 04/22/14 ------- 25 3135G0RM7 Agency FANNIE MAE 1.63 10/30/20 500,000 Aaa 10/17/12 -AA+10/16/12 -AAA 03/21/14 - 30 3136G0U58 Agency FANNIE MAE 1.75 04/30/21 500,000 Aaa 10/08/12 -AA+10/05/12 -AAA 03/21/14 - 20 3134G3F96 Agency FREDDIE MAC 1.65 08/28/20 1,000,000 Aaa 08/10/12 -AA+08/08/12 -AAA 03/21/14 - 36 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 - 24 3136G0R60 Agency FANNIE MAE 1.50 10/22/20 500,000 Aaa 10/04/12 -AA+10/02/12 -AAA 03/21/14 - 26 113835H54 Municipal BROOKLYN CENTER MN 3.00 02/01/21 400,000 ---AA 11/21/13 ---- 56 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 - 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 19 3133834H1 Agency FEDERAL HOME LOAN BANK 1.38 06/12/20 500,000 Aaa 05/08/13 -AA+05/07/13 ---- 47 199492CT4 Municipal COLUMBUS OH 2.33 12/01/22 400,000 Aaa 11/06/12 -AAA 11/15/12 -AAA 11/07/12 - FDIC-Insured brokered CDs are not included in the Credit Rating Monitor Portfolio Analysis 10 Positions by Sector %Final Ratings Nxt Call Acquired Book Market Book Market Eff Eff ID CUSIP Issuer Port Cpn Maturity Moody's S&P Call Date Type Par Date Price Price Price G / L Yield Yield WAM Dur Cvx 5 3133EG3J2 FEDERAL FARM CREDIT BANK 1.6%1.55 01/10/20 Aaa AA+-Bullet 500,000 01/10/17 100.00 100.00 100.00 (13)1.54 1.63 0.0 0.0 0.0 7 313384SM2 FHLB DISC CORP 1.3%0.00 01/31/20 ---Bullet 400,000 07/29/19 99.04 99.84 99.88 156 1.94 1.47 0.1 0.1 0.0 14 3137EAEM7 FREDDIE MAC 1.6%2.50 04/23/20 Aaa AA+-Bullet 500,000 12/04/18 99.63 99.91 100.27 1,776 2.78 1.64 0.3 0.3 0.0 16 3130A7ZT5 FEDERAL HOME LOAN BANK 1.6%1.40 05/18/20 Aaa AA+01/05/20 Amer 500,000 05/18/16 100.00 100.00 99.90 (497)1.40 1.66 0.4 0.3 (0.2) 19 3133834H1 FEDERAL HOME LOAN BANK 1.6%1.38 06/12/20 Aaa AA+-Bullet 500,000 07/08/16 101.60 100.18 99.87 (1,557)0.96 1.66 0.4 0.5 0.0 20 3134G3F96 FREDDIE MAC 3.2%1.65 08/28/20 Aaa AA+-Bullet 1,000,000 07/10/18 97.98 99.36 100.04 6,742 2.63 1.59 0.7 0.7 0.0 22 3130ACE26 FEDERAL HOME LOAN BANK 1.6%1.38 09/28/20 Aaa AA+-Bullet 500,000 12/04/18 97.44 98.94 99.82 4,393 2.82 1.62 0.7 0.7 0.0 24 3136G0R60 FANNIE MAE 1.6%1.50 10/22/20 Aaa AA+-Bullet 500,000 10/11/16 100.94 100.19 99.88 (1,539)1.26 1.64 0.8 0.8 0.0 25 3135G0RM7 FANNIE MAE 1.6%1.63 10/30/20 Aaa AA+-Bullet 500,000 06/26/19 99.76 99.85 99.93 385 1.81 1.72 0.8 0.8 0.0 30 3136G0U58 FANNIE MAE 1.6%1.75 04/30/21 Aaa AA+-Bullet 500,000 02/07/19 98.30 98.97 100.25 6,394 2.54 1.56 1.3 1.3 0.0 36 3133ECWS9 FEDERAL FARM CREDIT BANK 1.3%2.83 09/07/21 Aaa AA+-Bullet 400,000 12/03/18 99.71 99.82 102.10 9,106 2.94 1.56 1.7 1.6 0.0 37 3133ELEF7 FEDERAL FARM CREDIT BANK 1.9%1.65 09/20/21 Aaa AA+-Bullet 590,000 12/20/19 100.05 100.05 100.15 578 1.62 1.56 1.7 1.7 0.0 46 3130A6AP2 FEDERAL HOME LOAN BANK 1.6%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.17 101.68 12,588 2.57 1.61 2.7 2.6 0.1 56 313383YJ4 FEDERAL HOME LOAN BANK 0.7%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 101.82 106.09 8,752 2.85 1.67 3.7 3.4 0.2 57 3133EJQA0 FEDERAL FARM CREDIT BANK 1.6%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.43 105.01 22,898 2.88 1.64 3.8 3.6 0.2 60 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 97.10 100.20 15,518 3.15 2.14 4.6 1.4 (1.5) 65 3133EJD55 FEDERAL FARM CREDIT BANK 1.6%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.96 108.37 37,045 3.14 1.97 6.7 6.0 0.5 Agency 27.8%1.92 Aaa AA+8,595,000 99.45 99.71 101.13 122,727 2.27 1.67 1.7 1.5 (0.0) 4 PP076QCP2 PMA-4M FUND 0.0%1.83 01/02/20 ---Bullet 10 01/01/19 100.00 100.00 100.00 0 1.84 1.84 0.0 0.0 0.0 Corporates 0.0%1.83 10 100.00 100.00 100.00 0 1.84 1.84 0.0 0.0 0.0 8 75524KMH4 CITIZENS BANK NA/RI 0.8%2.00 01/31/20 ---Bullet 248,000 07/31/19 100.00 100.00 100.03 78 1.99 1.61 0.1 0.1 0.0 6 06063HFY4 BANK OF BARODA 0.8%2.00 01/31/20 ---Bullet 248,000 07/31/19 100.00 100.00 100.03 78 1.99 1.61 0.1 0.1 0.0 10 410493DD9 HANMI BANK 0.8%2.55 02/25/20 ---Bullet 249,000 05/25/18 100.00 100.00 100.14 350 2.56 1.63 0.2 0.2 0.0 12 60688MB78 MIZUHO BANK USA 0.8%2.30 03/19/20 ---Bullet 248,000 06/19/19 100.00 100.00 100.14 343 2.28 1.65 0.2 0.2 0.0 13 740367HG5 PREFERRED BANK LA CALIF 0.8%2.30 03/30/20 ---Bullet 248,000 06/28/19 100.00 100.00 100.16 398 2.31 1.66 0.2 0.2 0.0 21 84287PFU1 SOUTHERN FIRST BANK NA 0.8%2.90 09/08/20 ---Bullet 248,000 12/07/18 100.00 100.00 100.86 2,123 2.92 1.66 0.7 0.7 0.0 23 94948LCQ2 WELLESLEY BANK 0.8%2.00 10/19/20 ---Bullet 248,000 07/19/19 100.00 100.00 100.28 695 2.00 1.65 0.8 0.8 0.0 32 02007GCV3 ALLY BANK 0.8%2.90 05/24/21 ---Bullet 246,000 05/24/18 100.00 100.00 101.68 4,138 2.90 1.68 1.4 1.4 0.0 35 61760AR50 MORGAN STANLEY PVT BANK 0.8%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 100.64 1,581 2.10 1.69 1.6 1.5 0.0 34 61690UJL5 MORGAN STANLEY BANK NA 0.8%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 100.64 1,581 2.10 1.69 1.6 1.5 0.0 38 88241TCV0 TEXAS EXCHANGE BANK SSB 0.8%2.30 09/27/21 --01/27/20 Amer 248,000 06/27/19 100.00 100.00 100.05 118 2.31 1.67 1.7 0.1 0.0 39 14042RJJ1 CAPITAL ONE NA 0.8%2.15 10/12/21 ---Bullet 247,000 10/12/17 100.00 100.00 100.79 1,944 2.15 1.70 1.8 1.7 0.0 40 05580AKQ6 BMW BANK NORTH AMERICA 0.8%2.05 10/13/21 ---Bullet 247,000 10/13/17 100.00 100.00 100.61 1,513 2.05 1.70 1.8 1.7 0.0 41 87165HFH8 SYNCHRONY BANK 0.8%2.55 12/20/21 ---Bullet 246,000 12/19/14 100.00 100.00 101.90 4,678 2.55 1.57 2.0 1.9 0.0 45 14042TBH9 CAPITAL ONE BANK USA NA 0.8%2.15 08/01/22 ---Bullet 247,000 07/31/19 100.00 100.00 100.93 2,309 2.15 1.78 2.6 2.5 0.1 55 828373HA1 SILVERGATE BANK 0.8%2.25 07/31/23 --01/31/20 Bullet 249,000 07/31/19 100.00 100.00 100.05 129 2.26 1.63 3.6 0.6 (1.0) 61 38149MFA6 GOLDMAN SACHS BANK USA 0.8%2.10 08/21/24 --02/21/20 Bullet 247,000 08/21/19 100.00 100.00 100.05 124 2.10 1.74 4.6 1.2 (2.1) 62 75472RAE1 RAYMOND JAMES BANK NA 0.8%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 100.40 976 2.00 1.91 4.6 4.4 0.2 Domestic CD 14.4%2.26 4,455,000 100.00 100.00 100.52 23,158 2.26 1.68 1.6 1.2 (0.1) 2 NORTHLAND MM 6.3%0.78 ---Bullet 1,935,257 01/01/19 100.00 100.00 100.00 0 0.78 0.78 0.0 0.0 0.0 3 949917397 Wells Fargo Heritage Money Mar 6.5%1.72 ---Bullet 1,998,237 01/01/19 100.00 100.00 100.04 799 1.72 1.72 0.0 0.0 0.0 1 AMERICANA COM BK 12.1%1.61 ---Bullet 3,746,985 01/01/19 100.00 100.00 100.00 0 1.61 1.61 0.0 0.0 0.0 MMF 24.9%1.43 7,680,480 100.00 100.00 100.01 799 1.43 1.43 0.0 0.0 0.0 11 678519UC1 OKLAHOMA CITY OK 0.6%2.00 03/01/20 Aaa AAA -Bullet 200,000 05/17/16 102.21 100.10 100.05 (92)1.41 1.69 0.2 0.2 0.0 15 97705MDS1 WISCONSIN ST 1.7%1.15 05/01/20 Aa1 AA -Bullet 520,000 07/28/16 100.15 100.01 99.85 (837)1.11 1.59 0.3 0.3 0.0 17 150528LV7 CEDAR RAPIDS IA 1.6%2.50 06/01/20 Aa1 --Bullet 490,000 04/07/16 104.42 100.45 100.32 (666)1.41 1.73 0.4 0.4 0.0 18 64966LN56 NEW YORK NY 1.6%2.15 06/01/20 Aa1 AA -Bullet 500,000 06/18/15 100.00 100.00 100.16 775 2.15 1.78 0.4 0.4 0.0 27 161664HA8 CHASKA MN 0.5%1.95 02/01/21 -AA -Bullet 140,000 11/29/17 100.00 100.00 100.20 286 1.95 1.76 1.1 1.1 0.0 28 963439YA6 WHITE BEAR LAKE MN INDEP SCH D 2.2%5.00 02/01/21 -AAA -Bullet 650,000 06/14/19 104.54 103.03 103.45 2,678 2.16 1.78 1.1 1.0 0.0 26 113835H54 BROOKLYN CENTER MN 1.3%3.00 02/01/21 -AA -Bullet 400,000 01/24/14 101.88 100.31 101.14 3,300 2.71 1.94 1.1 1.1 0.0 29 793067CD9 SAINT PAUL MN PORT AUTH 1.2%2.38 03/01/21 -AAA -Bullet 365,000 06/24/19 100.67 100.46 100.64 646 1.97 1.82 1.2 1.1 0.0 31 53860RBH0 LIVINGSTON CNTY MI 1.6%2.05 05/01/21 Aaa --Bullet 500,000 06/20/19 100.00 100.00 100.31 1,570 2.05 1.81 1.3 1.3 0.0 33 93974DV54 WASHINGTON ST 1.6%1.80 08/01/21 Aaa AA+-Bullet 500,000 07/26/18 97.04 98.42 100.35 9,660 2.83 1.58 1.6 1.5 0.0 43 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0.4%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 100.76 916 2.35 1.97 2.1 2.0 0.1 42 161664HB6 CHASKA MN 0.5%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 100.68 958 2.10 1.76 2.1 2.0 0.1 44 60374Y7S0 MINNEAPOLIS MN 1.0%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.05 102.29 6,717 2.88 1.82 2.2 2.1 0.1 49 60375BDC7 MINNEAPOLIS MN 1.3%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 105.40 108.83 12,687 3.05 1.88 2.9 2.7 0.1 48 60375BCD6 MINNEAPOLIS MN 1.2%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 106.34 106.77 1,502 2.00 1.86 2.9 2.7 0.1 47 199492CT4 COLUMBUS OH 1.3%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 101.79 101.39 (1,604)1.70 1.84 2.9 2.8 0.1 52 73723RSP9 PORTSMOUTH VA 1.7%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 102.48 103.55 5,330 2.25 1.90 3.1 2.9 0.1 53 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0.4%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 101.32 1,582 2.50 2.06 3.1 2.9 0.1 50 092765EW2 BLAINE MN 1.3%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 100.87 3,452 2.25 1.96 3.1 2.9 0.1 51 161664HC4 CHASKA MN 0.5%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 101.20 1,746 2.25 1.85 3.1 2.9 0.1 54 792882BV3 ST PAUL MN 0.8%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 103.54 103.78 603 1.90 1.83 3.3 3.2 0.1 58 161664HD2 CHASKA MN 0.5%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 101.81 2,717 2.40 1.94 4.1 3.8 0.2 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 59 64971WP53 NEW YORK CITY NY TRANSITIONAL 0.8%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 95.77 101.17 13,505 3.25 1.98 4.6 4.3 0.2 63 092765EY8 BLAINE MN 1.3%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 102.40 101.82 (2,336)2.05 2.17 5.1 4.7 0.3 64 4095585H2 HAMPTON VA 2.0%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 103.59 109.58 35,976 3.30 2.19 5.7 5.1 0.3 Municipals 28.7%2.82 Aa1 AA+8,755,000 101.93 101.24 102.39 101,068 2.24 1.85 2.3 2.2 0.1 9 912828H52 US TREASURY N/B 4.2%1.25 01/31/20 Aaa --Bullet 1,300,000 12/05/19 99.98 99.99 99.97 (243)1.40 1.62 0.1 0.1 0.0 Treasury 4.2%1.25 Aaa 1,300,000 99.98 99.99 99.97 (243)1.40 1.62 0.1 0.1 0.0 Total Portfolio 100.0%2.07 30,785,489 100.39 100.27 101.07 247,509 2.01 1.66 1.4 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 1 AMERICANA COM BK 12%1.61 ---Bullet 3,746,985 01/01/19 100.00 100.00 100.00 0 1.61 1.61 0.0 0.0 0.0 2 NORTHLAND MM 6%0.78 ---Bullet 1,935,257 01/01/19 100.00 100.00 100.00 0 0.78 0.78 0.0 0.0 0.0 3 949917397 Wells Fargo Heritage Money Mar 6%1.72 ---Bullet 1,998,237 01/01/19 100.00 100.00 100.04 799 1.72 1.72 0.0 0.0 0.0 4 PP076QCP2 PMA-4M FUND 0%1.83 01/02/20 ---Bullet 10 01/01/19 100.00 100.00 100.00 0 1.84 1.84 0.0 0.0 0.0 5 3133EG3J2 FEDERAL FARM CREDIT BANK 2%1.55 01/10/20 Aaa AA+-Bullet 500,000 01/10/17 100.00 100.00 100.00 (13)1.54 1.63 0.0 0.0 0.0 7 313384SM2 FHLB DISC CORP 1%0.00 01/31/20 ---Bullet 400,000 07/29/19 99.04 99.84 99.88 156 1.94 1.47 0.1 0.1 0.0 8 75524KMH4 CITIZENS BANK NA/RI 1%2.00 01/31/20 ---Bullet 248,000 07/31/19 100.00 100.00 100.03 78 1.99 1.61 0.1 0.1 0.0 6 06063HFY4 BANK OF BARODA 1%2.00 01/31/20 ---Bullet 248,000 07/31/19 100.00 100.00 100.03 78 1.99 1.61 0.1 0.1 0.0 9 912828H52 US TREASURY N/B 4%1.25 01/31/20 Aaa --Bullet 1,300,000 12/05/19 99.98 99.99 99.97 (243)1.40 1.62 0.1 0.1 0.0 10 410493DD9 HANMI BANK 1%2.55 02/25/20 ---Bullet 249,000 05/25/18 100.00 100.00 100.14 350 2.56 1.63 0.2 0.2 0.0 11 678519UC1 OKLAHOMA CITY OK 1%2.00 03/01/20 Aaa AAA -Bullet 200,000 05/17/16 102.21 100.10 100.05 (92)1.41 1.69 0.2 0.2 0.0 12 60688MB78 MIZUHO BANK USA 1%2.30 03/19/20 ---Bullet 248,000 06/19/19 100.00 100.00 100.14 343 2.28 1.65 0.2 0.2 0.0 13 740367HG5 PREFERRED BANK LA CALIF 1%2.30 03/30/20 ---Bullet 248,000 06/28/19 100.00 100.00 100.16 398 2.31 1.66 0.2 0.2 0.0 14 3137EAEM7 FREDDIE MAC 2%2.50 04/23/20 Aaa AA+-Bullet 500,000 12/04/18 99.63 99.91 100.27 1,776 2.78 1.64 0.3 0.3 0.0 15 97705MDS1 WISCONSIN ST 2%1.15 05/01/20 Aa1 AA -Bullet 520,000 07/28/16 100.15 100.01 99.85 (837)1.11 1.59 0.3 0.3 0.0 16 3130A7ZT5 FEDERAL HOME LOAN BANK 2%1.40 05/18/20 Aaa AA+01/05/20 Amer 500,000 05/18/16 100.00 100.00 99.90 (497)1.40 1.66 0.4 0.3 (0.2) 17 150528LV7 CEDAR RAPIDS IA 2%2.50 06/01/20 Aa1 --Bullet 490,000 04/07/16 104.42 100.45 100.32 (666)1.41 1.73 0.4 0.4 0.0 18 64966LN56 NEW YORK NY 2%2.15 06/01/20 Aa1 AA -Bullet 500,000 06/18/15 100.00 100.00 100.16 775 2.15 1.78 0.4 0.4 0.0 19 3133834H1 FEDERAL HOME LOAN BANK 2%1.38 06/12/20 Aaa AA+-Bullet 500,000 07/08/16 101.60 100.18 99.87 (1,557)0.96 1.66 0.4 0.5 0.0 20 3134G3F96 FREDDIE MAC 3%1.65 08/28/20 Aaa AA+-Bullet 1,000,000 07/10/18 97.98 99.36 100.04 6,742 2.63 1.59 0.7 0.7 0.0 21 84287PFU1 SOUTHERN FIRST BANK NA 1%2.90 09/08/20 ---Bullet 248,000 12/07/18 100.00 100.00 100.86 2,123 2.92 1.66 0.7 0.7 0.0 22 3130ACE26 FEDERAL HOME LOAN BANK 2%1.38 09/28/20 Aaa AA+-Bullet 500,000 12/04/18 97.44 98.94 99.82 4,393 2.82 1.62 0.7 0.7 0.0 23 94948LCQ2 WELLESLEY BANK 1%2.00 10/19/20 ---Bullet 248,000 07/19/19 100.00 100.00 100.28 695 2.00 1.65 0.8 0.8 0.0 24 3136G0R60 FANNIE MAE 2%1.50 10/22/20 Aaa AA+-Bullet 500,000 10/11/16 100.94 100.19 99.88 (1,539)1.26 1.64 0.8 0.8 0.0 25 3135G0RM7 FANNIE MAE 2%1.63 10/30/20 Aaa AA+-Bullet 500,000 06/26/19 99.76 99.85 99.93 385 1.81 1.72 0.8 0.8 0.0 Year 1 56%1.57 17,327,489 100.00 99.95 100.02 13,649 1.68 1.55 0.2 0.2 (0.0) 26 113835H54 BROOKLYN CENTER MN 1%3.00 02/01/21 -AA -Bullet 400,000 01/24/14 101.88 100.31 101.14 3,300 2.71 1.94 1.1 1.1 0.0 27 161664HA8 CHASKA MN 0%1.95 02/01/21 -AA -Bullet 140,000 11/29/17 100.00 100.00 100.20 286 1.95 1.76 1.1 1.1 0.0 28 963439YA6 WHITE BEAR LAKE MN INDEP SCH D 2%5.00 02/01/21 -AAA -Bullet 650,000 06/14/19 104.54 103.03 103.45 2,678 2.16 1.78 1.1 1.0 0.0 29 793067CD9 SAINT PAUL MN PORT AUTH 1%2.38 03/01/21 -AAA -Bullet 365,000 06/24/19 100.67 100.46 100.64 646 1.97 1.82 1.2 1.1 0.0 30 3136G0U58 FANNIE MAE 2%1.75 04/30/21 Aaa AA+-Bullet 500,000 02/07/19 98.30 98.97 100.25 6,394 2.54 1.56 1.3 1.3 0.0 31 53860RBH0 LIVINGSTON CNTY MI 2%2.05 05/01/21 Aaa --Bullet 500,000 06/20/19 100.00 100.00 100.31 1,570 2.05 1.81 1.3 1.3 0.0 32 02007GCV3 ALLY BANK 1%2.90 05/24/21 ---Bullet 246,000 05/24/18 100.00 100.00 101.68 4,138 2.90 1.68 1.4 1.4 0.0 33 93974DV54 WASHINGTON ST 2%1.80 08/01/21 Aaa AA+-Bullet 500,000 07/26/18 97.04 98.42 100.35 9,660 2.83 1.58 1.6 1.5 0.0 35 61760AR50 MORGAN STANLEY PVT BANK 1%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 100.64 1,581 2.10 1.69 1.6 1.5 0.0 34 61690UJL5 MORGAN STANLEY BANK NA 1%2.10 08/02/21 ---Bullet 247,000 08/01/19 100.00 100.00 100.64 1,581 2.10 1.69 1.6 1.5 0.0 36 3133ECWS9 FEDERAL FARM CREDIT BANK 1%2.83 09/07/21 Aaa AA+-Bullet 400,000 12/03/18 99.71 99.82 102.10 9,106 2.94 1.56 1.7 1.6 0.0 37 3133ELEF7 FEDERAL FARM CREDIT BANK 2%1.65 09/20/21 Aaa AA+-Bullet 590,000 12/20/19 100.05 100.05 100.15 578 1.62 1.56 1.7 1.7 0.0 38 88241TCV0 TEXAS EXCHANGE BANK SSB 1%2.30 09/27/21 --01/27/20 Amer 248,000 06/27/19 100.00 100.00 100.05 118 2.31 1.67 1.7 0.1 0.0 39 14042RJJ1 CAPITAL ONE NA 1%2.15 10/12/21 ---Bullet 247,000 10/12/17 100.00 100.00 100.79 1,944 2.15 1.70 1.8 1.7 0.0 40 05580AKQ6 BMW BANK NORTH AMERICA 1%2.05 10/13/21 ---Bullet 247,000 10/13/17 100.00 100.00 100.61 1,513 2.05 1.70 1.8 1.7 0.0 41 87165HFH8 SYNCHRONY BANK 1%2.55 12/20/21 ---Bullet 246,000 12/19/14 100.00 100.00 101.90 4,678 2.55 1.57 2.0 1.9 0.0 Year 2 19%2.51 5,773,000 100.27 100.16 101.02 49,772 2.30 1.69 1.5 1.4 0.0 43 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.35 02/01/22 -AAA -Bullet 120,000 12/28/17 100.00 100.00 100.76 916 2.35 1.97 2.1 2.0 0.1 42 161664HB6 CHASKA MN 0%2.10 02/01/22 -AA -Bullet 140,000 11/29/17 100.00 100.00 100.68 958 2.10 1.76 2.1 2.0 0.1 44 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 Aa1 AAA -Bullet 300,000 07/19/18 100.08 100.05 102.29 6,717 2.88 1.82 2.2 2.1 0.1 45 14042TBH9 CAPITAL ONE BANK USA NA 1%2.15 08/01/22 ---Bullet 247,000 07/31/19 100.00 100.00 100.93 2,309 2.15 1.78 2.6 2.5 0.1 46 3130A6AP2 FEDERAL HOME LOAN BANK 2%2.25 09/09/22 Aaa AA+-Bullet 500,000 02/07/19 98.90 99.17 101.68 12,588 2.57 1.61 2.7 2.6 0.1 49 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 -AAA -Bullet 370,000 05/31/18 108.14 105.40 108.83 12,687 3.05 1.88 2.9 2.7 0.1 48 60375BCD6 MINNEAPOLIS MN 1%4.25 12/01/22 -AAA -Bullet 350,000 08/05/19 107.19 106.34 106.77 1,502 2.00 1.86 2.9 2.7 0.1 47 199492CT4 COLUMBUS OH 1%2.33 12/01/22 Aaa AAA -Bullet 400,000 08/16/19 102.02 101.79 101.39 (1,604)1.70 1.84 2.9 2.8 0.1 Year 3 8%3.04 2,427,000 102.39 101.87 103.35 36,071 2.38 1.80 2.7 2.5 0.1 52 73723RSP9 PORTSMOUTH VA 2%3.09 02/01/23 Aa2 AA -Bullet 500,000 07/05/17 104.37 102.48 103.55 5,330 2.25 1.90 3.1 2.9 0.1 53 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 -AAA -Bullet 120,000 12/28/17 100.00 100.00 101.32 1,582 2.50 2.06 3.1 2.9 0.1 50 092765EW2 BLAINE MN 1%2.25 02/01/23 -AAA -Bullet 395,000 12/05/17 100.00 100.00 100.87 3,452 2.25 1.96 3.1 2.9 0.1 51 161664HC4 CHASKA MN 0%2.25 02/01/23 -AA -Bullet 145,000 11/29/17 100.00 100.00 101.20 1,746 2.25 1.85 3.1 2.9 0.1 54 792882BV3 ST PAUL MN 1%3.00 05/01/23 -AAA -Bullet 250,000 12/11/19 103.59 103.54 103.78 603 1.90 1.83 3.3 3.2 0.1 55 828373HA1 SILVERGATE BANK 1%2.25 07/31/23 --01/31/20 Bullet 249,000 07/31/19 100.00 100.00 100.05 129 2.26 1.63 3.6 0.6 (1.0) 56 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 Aaa AA+-Bullet 205,000 06/20/18 102.53 101.82 106.09 8,752 2.85 1.67 3.7 3.4 0.2 57 3133EJQA0 FEDERAL FARM CREDIT BANK 2%3.00 10/23/23 Aaa AA+-Bullet 500,000 06/20/18 100.59 100.43 105.01 22,898 2.88 1.64 3.8 3.6 0.2 Year 4 8%2.78 2,364,000 101.65 101.15 103.03 44,492 2.41 1.80 3.4 2.9 0.0 58 161664HD2 CHASKA MN 0%2.40 02/01/24 -AA -Bullet 150,000 11/29/17 100.00 100.00 101.81 2,717 2.40 1.94 4.1 3.8 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 59 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 Aa1 AAA -Bullet 250,000 07/25/18 94.57 95.77 101.17 13,505 3.25 1.98 4.6 4.3 0.2 60 3130ABXS0 FEDERAL HOME LOAN BANK 2%2.47 08/14/24 Aaa AA+08/14/20 Amer 500,000 07/19/18 96.27 97.10 100.20 15,518 3.15 2.14 4.6 1.4 (1.5) 61 38149MFA6 GOLDMAN SACHS BANK USA 1%2.10 08/21/24 --02/21/20 Bullet 247,000 08/21/19 100.00 100.00 100.05 124 2.10 1.74 4.6 1.2 (2.1) 62 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 ---Bullet 247,000 08/23/19 100.00 100.00 100.40 976 2.00 1.91 4.6 4.4 0.2 Year 5 4%2.27 1,394,000 97.69 98.20 100.56 32,840 2.69 1.98 4.6 2.7 (0.8) 63 092765EY8 BLAINE MN 1%2.55 02/01/25 -AAA -Bullet 400,000 11/20/19 102.45 102.40 101.82 (2,336)2.05 2.17 5.1 4.7 0.3 64 4095585H2 HAMPTON VA 2%4.00 09/01/25 Aa1 AA+-Bullet 600,000 06/27/18 104.44 103.59 109.58 35,976 3.30 2.19 5.7 5.1 0.3 Year 6 3%3.42 1,000,000 103.64 103.11 106.48 33,640 2.80 2.18 5.4 4.9 0.3 65 3133EJD55 FEDERAL FARM CREDIT BANK 2%3.30 09/28/26 Aaa AA+-Bullet 500,000 12/06/18 101.10 100.96 108.37 37,045 3.14 1.97 6.7 6.0 0.5 Year 7 2%3.30 500,000 101.10 100.96 108.37 37,045 3.14 1.97 6.7 6.0 0.5 Total Portfolio 100%2.07 30,785,489 100.39 100.27 101.07 247,509 2.01 1.66 1.4 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 1 AMERICANA COM BK 12%1.61 3,746,985 0.0 0.0 0.0 0.0 0.0 1.61 1.61 1.61 1.61 1.61 0.0 0.0 0.0 0.0 0.0 2 NORTHLAND MM 6%0.78 1,935,257 0.0 0.0 0.0 0.0 0.0 0.78 0.78 0.78 0.78 0.78 0.0 0.0 0.0 0.0 0.0 3 949917397 Wells Fargo Heritage Money Mar 6%1.72 1,998,237 0.0 0.0 0.0 0.0 0.0 1.72 1.72 1.72 1.72 1.72 0.0 0.0 0.0 0.0 0.0 4 PP076QCP2 PMA-4M FUND 0%1.83 01/02/20 10 0.0 0.0 0.0 (0.0)(0.0)1.84 1.84 1.84 1.84 1.84 0.0 0.0 0.0 0.0 0.0 5 3133EG3J2 FEDERAL FARM CREDIT BANK 2%1.55 01/10/20 500,000 0.0 0.0 0.0 (0.0)(0.0)1.54 1.54 1.54 1.54 1.54 0.0 0.0 0.0 0.0 0.0 7 313384SM2 FHLB DISC CORP 1%0.00 01/31/20 400,000 0.1 0.0 0.0 (0.0)(0.0)1.94 1.94 1.94 1.94 1.94 0.1 0.1 0.1 0.1 0.1 8 75524KMH4 CITIZENS BANK NA/RI 1%2.00 01/31/20 248,000 0.1 0.0 0.0 (0.0)(0.0)1.99 1.99 1.99 1.99 1.99 0.1 0.1 0.1 0.1 0.1 6 06063HFY4 BANK OF BARODA 1%2.00 01/31/20 248,000 0.1 0.0 0.0 (0.0)(0.0)1.99 1.99 1.99 1.99 1.99 0.1 0.1 0.1 0.1 0.1 9 912828H52 US TREASURY N/B 4%1.25 01/31/20 1,300,000 0.1 0.0 0.0 (0.0)(0.0)1.40 1.40 1.40 1.40 1.40 0.1 0.1 0.1 0.1 0.1 10 410493DD9 HANMI BANK 1%2.55 02/25/20 249,000 0.2 0.1 0.0 (0.0)(0.1)2.56 2.56 2.56 2.56 2.56 0.2 0.2 0.2 0.2 0.2 11 678519UC1 OKLAHOMA CITY OK 1%2.00 03/01/20 200,000 0.2 0.1 0.0 (0.0)(0.1)1.41 1.41 1.41 1.41 1.41 0.2 0.2 0.2 0.2 0.2 12 60688MB78 MIZUHO BANK USA 1%2.30 03/19/20 248,000 0.2 0.1 0.1 (0.1)(0.1)2.28 2.28 2.28 2.28 2.28 0.2 0.2 0.2 0.2 0.2 13 740367HG5 PREFERRED BANK LA CALIF 1%2.30 03/30/20 248,000 0.2 0.1 0.1 (0.1)(0.1)2.31 2.31 2.31 2.31 2.31 0.2 0.2 0.2 0.2 0.2 14 3137EAEM7 FREDDIE MAC 2%2.50 04/23/20 500,000 0.3 0.2 0.1 (0.1)(0.2)2.78 2.78 2.78 2.78 2.78 0.3 0.3 0.3 0.3 0.3 15 97705MDS1 WISCONSIN ST 2%1.15 05/01/20 520,000 0.3 0.2 0.1 (0.1)(0.2)1.11 1.11 1.11 1.11 1.11 0.3 0.3 0.3 0.3 0.3 16 3130A7ZT5 FEDERAL HOME LOAN BANK 2%1.40 05/18/20 500,000 0.4 0.1 0.1 (0.1)(0.2)1.40 1.40 1.40 1.40 1.40 0.2 0.2 0.3 0.3 0.3 17 150528LV7 CEDAR RAPIDS IA 2%2.50 06/01/20 490,000 0.4 0.2 0.1 (0.1)(0.2)1.41 1.41 1.41 1.41 1.41 0.4 0.4 0.4 0.4 0.4 18 64966LN56 NEW YORK NY 2%2.15 06/01/20 500,000 0.4 0.2 0.1 (0.1)(0.2)2.15 2.15 2.15 2.15 2.15 0.4 0.4 0.4 0.4 0.4 19 3133834H1 FEDERAL HOME LOAN BANK 2%1.38 06/12/20 500,000 0.4 0.2 0.1 (0.1)(0.2)0.96 0.96 0.96 0.96 0.96 0.5 0.5 0.5 0.5 0.5 20 3134G3F96 FREDDIE MAC 3%1.65 08/28/20 1,000,000 0.7 0.3 0.2 (0.2)(0.3)2.63 2.63 2.63 2.63 2.63 0.7 0.7 0.7 0.7 0.7 21 84287PFU1 SOUTHERN FIRST BANK NA 1%2.90 09/08/20 248,000 0.7 0.3 0.2 (0.2)(0.3)2.92 2.92 2.92 2.92 2.92 0.7 0.7 0.7 0.7 0.7 22 3130ACE26 FEDERAL HOME LOAN BANK 2%1.38 09/28/20 500,000 0.7 0.4 0.2 (0.2)(0.4)2.82 2.82 2.82 2.82 2.82 0.7 0.7 0.7 0.7 0.7 23 94948LCQ2 WELLESLEY BANK 1%2.00 10/19/20 248,000 0.8 0.4 0.2 (0.2)(0.4)2.00 2.00 2.00 2.00 2.00 0.8 0.8 0.8 0.8 0.8 24 3136G0R60 FANNIE MAE 2%1.50 10/22/20 500,000 0.8 0.4 0.2 (0.2)(0.4)1.26 1.26 1.26 1.26 1.26 0.8 0.8 0.8 0.8 0.8 25 3135G0RM7 FANNIE MAE 2%1.63 10/30/20 500,000 0.8 0.4 0.2 (0.2)(0.4)1.81 1.81 1.81 1.81 1.81 0.8 0.8 0.8 0.8 0.8 Year 1 56%1.57 17,327,489 0.2 0.1 0.1 (0.1)(0.1)1.68 1.68 1.68 1.68 1.68 0.2 0.2 0.2 0.2 0.2 26 113835H54 BROOKLYN CENTER MN 1%3.00 02/01/21 400,000 1.1 0.5 0.3 (0.3)(0.5)2.71 2.71 2.71 2.71 2.71 1.1 1.1 1.1 1.1 1.1 27 161664HA8 CHASKA MN 0%1.95 02/01/21 140,000 1.1 0.5 0.3 (0.3)(0.5)1.95 1.95 1.95 1.95 1.95 1.1 1.1 1.1 1.1 1.1 28 963439YA6 WHITE BEAR LAKE MN INDEP SCH D 2%5.00 02/01/21 650,000 1.1 0.5 0.3 (0.3)(0.5)2.16 2.16 2.16 2.16 2.16 1.1 1.1 1.0 1.0 1.0 29 793067CD9 SAINT PAUL MN PORT AUTH 1%2.38 03/01/21 365,000 1.2 0.6 0.3 (0.3)(0.6)1.97 1.97 1.97 1.97 1.97 1.2 1.2 1.1 1.1 1.1 30 3136G0U58 FANNIE MAE 2%1.75 04/30/21 500,000 1.3 0.7 0.3 (0.3)(0.7)2.54 2.54 2.54 2.54 2.54 1.3 1.3 1.3 1.3 1.3 31 53860RBH0 LIVINGSTON CNTY MI 2%2.05 05/01/21 500,000 1.3 0.7 0.3 (0.3)(0.7)2.05 2.05 2.05 2.05 2.05 1.3 1.3 1.3 1.3 1.3 32 02007GCV3 ALLY BANK 1%2.90 05/24/21 246,000 1.4 0.7 0.3 (0.3)(0.7)2.90 2.90 2.90 2.90 2.90 1.4 1.4 1.4 1.4 1.4 33 93974DV54 WASHINGTON ST 2%1.80 08/01/21 500,000 1.6 0.8 0.4 (0.4)(0.8)2.83 2.83 2.83 2.83 2.83 1.6 1.6 1.5 1.5 1.5 35 61760AR50 MORGAN STANLEY PVT BANK 1%2.10 08/02/21 247,000 1.6 0.8 0.4 (0.4)(0.8)2.10 2.10 2.10 2.10 2.10 1.6 1.6 1.5 1.5 1.5 34 61690UJL5 MORGAN STANLEY BANK NA 1%2.10 08/02/21 247,000 1.6 0.8 0.4 (0.4)(0.8)2.10 2.10 2.10 2.10 2.10 1.6 1.6 1.5 1.5 1.5 36 3133ECWS9 FEDERAL FARM CREDIT BANK 1%2.83 09/07/21 400,000 1.7 0.8 0.4 (0.4)(0.8)2.94 2.94 2.94 2.94 2.94 1.6 1.7 1.6 1.6 1.6 37 3133ELEF7 FEDERAL FARM CREDIT BANK 2%1.65 09/20/21 590,000 1.7 0.9 0.4 (0.4)(0.8)1.62 1.62 1.62 1.62 1.62 1.7 1.7 1.7 1.7 1.7 38 88241TCV0 TEXAS EXCHANGE BANK SSB 1%2.30 09/27/21 248,000 1.7 0.0 0.0 (0.0)(0.0)2.31 2.31 2.31 2.31 2.31 0.1 0.1 0.1 0.1 0.1 39 14042RJJ1 CAPITAL ONE NA 1%2.15 10/12/21 247,000 1.8 0.9 0.4 (0.4)(0.9)2.15 2.15 2.15 2.15 2.15 1.7 1.8 1.7 1.7 1.7 40 05580AKQ6 BMW BANK NORTH AMERICA 1%2.05 10/13/21 247,000 1.8 0.9 0.4 (0.4)(0.9)2.05 2.05 2.05 2.05 2.05 1.7 1.8 1.7 1.7 1.7 41 87165HFH8 SYNCHRONY BANK 1%2.55 12/20/21 246,000 2.0 1.0 0.5 (0.5)(1.0)2.55 2.55 2.55 2.55 2.55 1.9 1.9 1.9 1.9 1.9 Year 2 19%2.51 5,773,000 1.5 0.7 0.3 (0.3)(0.7)2.30 2.30 2.30 2.30 2.30 1.4 1.4 1.4 1.4 1.4 43 809557BA8 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.35 02/01/22 120,000 2.1 1.0 0.5 (0.5)(1.0)2.35 2.35 2.35 2.35 2.35 1.9 2.0 2.0 2.0 2.0 42 161664HB6 CHASKA MN 0%2.10 02/01/22 140,000 2.1 1.0 0.5 (0.5)(1.0)2.10 2.10 2.10 2.10 2.10 2.0 2.0 2.0 2.0 2.0 44 60374Y7S0 MINNEAPOLIS MN 1%2.90 03/01/22 300,000 2.2 1.1 0.5 (0.5)(1.0)2.88 2.88 2.88 2.88 2.88 2.0 2.1 2.1 2.1 2.1 45 14042TBH9 CAPITAL ONE BANK USA NA 1%2.15 08/01/22 247,000 2.6 1.3 0.6 (0.6)(1.2)2.15 2.15 2.15 2.15 2.15 2.4 2.5 2.5 2.5 2.5 46 3130A6AP2 FEDERAL HOME LOAN BANK 2%2.25 09/09/22 500,000 2.7 1.3 0.7 (0.6)(1.3)2.57 2.57 2.57 2.57 2.57 2.5 2.6 2.6 2.6 2.6 49 60375BDC7 MINNEAPOLIS MN 1%5.00 12/01/22 370,000 2.9 1.4 0.7 (0.7)(1.4)3.05 3.05 3.05 3.05 3.05 2.7 2.7 2.7 2.7 2.7 48 60375BCD6 MINNEAPOLIS MN 1%4.25 12/01/22 350,000 2.9 1.4 0.7 (0.7)(1.4)2.00 2.00 2.00 2.00 2.00 2.7 2.7 2.7 2.7 2.7 47 199492CT4 COLUMBUS OH 1%2.33 12/01/22 400,000 2.9 1.4 0.7 (0.7)(1.4)1.70 1.70 1.70 1.70 1.70 2.8 2.8 2.8 2.8 2.8 Year 3 8%3.04 2,427,000 2.7 1.3 0.6 (0.6)(1.3)2.38 2.38 2.38 2.38 2.38 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 52 73723RSP9 PORTSMOUTH VA 2%3.09 02/01/23 500,000 3.1 1.5 0.7 (0.7)(1.5)2.25 2.25 2.25 2.25 2.25 2.9 2.9 2.9 2.9 2.9 53 809557BB6 SCOTT CNTY MN CMNTY DEV AGY FA 0%2.50 02/01/23 120,000 3.1 1.5 0.7 (0.7)(1.5)2.50 2.50 2.50 2.50 2.50 2.9 2.9 2.9 2.9 2.9 50 092765EW2 BLAINE MN 1%2.25 02/01/23 395,000 3.1 1.5 0.7 (0.7)(1.5)2.25 2.25 2.25 2.25 2.25 3.0 3.0 2.9 2.9 2.9 51 161664HC4 CHASKA MN 0%2.25 02/01/23 145,000 3.1 1.5 0.7 (0.7)(1.5)2.25 2.25 2.25 2.25 2.25 3.0 3.0 2.9 2.9 2.9 54 792882BV3 ST PAUL MN 1%3.00 05/01/23 250,000 3.3 1.6 0.8 (0.8)(1.6)1.90 1.90 1.90 1.90 1.90 3.2 3.2 3.2 3.2 3.2 55 828373HA1 SILVERGATE BANK 1%2.25 07/31/23 249,000 3.6 0.0 0.0 (0.0)(0.2)2.26 2.26 2.26 2.26 2.26 0.2 0.3 0.6 0.9 1.3 56 313383YJ4 FEDERAL HOME LOAN BANK 1%3.38 09/08/23 205,000 3.7 1.8 0.9 (0.9)(1.7)2.85 2.85 2.85 2.85 2.85 3.5 3.5 3.4 3.4 3.4 57 3133EJQA0 FEDERAL FARM CREDIT BANK 2%3.00 10/23/23 500,000 3.8 1.8 0.9 (0.9)(1.8)2.88 2.88 2.88 2.88 2.88 3.6 3.6 3.6 3.6 3.6 Year 4 8%2.78 2,364,000 3.4 1.5 0.7 (0.7)(1.4)2.41 2.41 2.41 2.41 2.41 2.9 2.9 2.9 2.9 3.0 58 161664HD2 CHASKA MN 0%2.40 02/01/24 150,000 4.1 2.0 1.0 (1.0)(1.9)2.40 2.40 2.40 2.40 2.40 3.9 3.9 3.8 3.8 3.8 59 64971WP53 NEW YORK CITY NY TRANSITIONAL 1%2.25 08/01/24 250,000 4.6 2.2 1.1 (1.1)(2.1)3.25 3.25 3.25 3.25 3.25 4.3 4.3 4.3 4.3 4.3 60 3130ABXS0 FEDERAL HOME LOAN BANK 2%2.47 08/14/24 500,000 4.6 0.3 0.2 (0.2)(0.6)3.15 3.15 3.15 3.15 3.15 0.8 1.0 1.4 1.8 2.2 61 38149MFA6 GOLDMAN SACHS BANK USA 1%2.10 08/21/24 247,000 4.6 0.1 0.0 (0.1)(0.6)2.10 2.10 2.10 2.10 2.10 0.4 0.7 1.2 1.6 2.2 62 75472RAE1 RAYMOND JAMES BANK NA 1%2.00 08/23/24 247,000 4.6 2.2 1.1 (1.1)(2.2)2.00 2.00 2.00 2.00 2.00 4.4 4.4 4.4 4.4 4.4 Year 5 4%2.27 1,394,000 4.6 1.1 0.6 (0.6)(1.3)2.69 2.69 2.69 2.69 2.69 2.3 2.5 2.7 2.9 3.1 63 092765EY8 BLAINE MN 1%2.55 02/01/25 400,000 5.1 2.4 1.2 (1.2)(2.4)2.05 2.05 2.05 2.05 2.05 4.7 4.7 4.7 4.7 4.7 64 4095585H2 HAMPTON VA 2%4.00 09/01/25 600,000 5.7 2.6 1.3 (1.3)(2.5)3.30 3.30 3.30 3.30 3.30 5.1 5.1 5.1 5.1 5.0 Year 6 3%3.42 1,000,000 5.4 2.5 1.3 (1.2)(2.5)2.80 2.80 2.80 2.80 2.80 5.0 4.9 4.9 4.9 4.9 65 3133EJD55 FEDERAL FARM CREDIT BANK 2%3.30 09/28/26 500,000 6.7 3.1 1.5 (1.5)(3.0)3.14 3.14 3.14 3.14 3.14 6.1 6.1 6.0 6.0 6.0 Year 7 2%3.30 500,000 6.7 3.1 1.5 (1.5)(3.0)3.14 3.14 3.14 3.14 3.14 6.1 6.1 6.0 6.0 6.0 Total Portfolio 100%2.07 30,785,489 1.4 0.6 0.3 (0.3)(0.6)2.01 2.01 2.01 2.01 2.01 1.2 1.2 1.2 1.2 1.2 Portfolio Analysis 16 Product Detail Treasury, Agency, SSA - Summary Issuer / Sector Line %% Total Par Book Market Gain /Book Market Eff Eff Coupon Type %Call Type% Type Items Port Sector Amount Cpn Price Price Loss Yield Yield WAM Dur Cvx Fixed Float Step Bullet Amer Euro Berm Treasury 1 4%13%1,300,000 1.25 99.99 99.97 (243)1.40 1.62 0.1 0.1 0.0 100%--100%--- FHLB 7 10%31%3,105,000 1.65 99.36 100.62 39,353 2.19 1.70 1.7 1.1 (0.2)100%--68%32%-- FNMA 3 5%15%1,500,000 1.63 99.67 100.02 5,241 1.87 1.64 1.0 1.0 0.0 100%--100%--- FHLMC 2 5%15%1,500,000 1.93 99.55 100.11 8,518 2.68 1.61 0.5 0.5 0.0 100%--100%--- FFCB 5 8%25%2,490,000 2.42 100.26 103.06 69,614 2.38 1.68 2.8 2.7 0.1 100%--100%--- Sector Total 18 32%100%9,895,000 1.83 99.74 100.98 122,484 2.16 1.66 1.5 1.3 (0.0)100%90%10% FFCB 26% FHLB 31% FHLMC 15% FNMA 15% Treasury 13% Bullet 90% Amer 10% 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, 28% Certificate of Deposit, 10% Corporate, 0%MMF, 44% Municipal, 10% Treasury, 8% 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 9,000,000 O/N 1 2 3 4 5 6 7 8 9 10 11 12 Money Market Sector includes all securities with maturity less than 12 months. S&P Short Term Ratings Distribution (%) NA, 100% Portfolio Analysis 19 Certificates of Deposit - Summary Structure Line %% Total Par Book Market Book Market Eff Eff Type Items Port Sector Cpn Amount Price Price G / L Yield Yield WAM Dur Cvx Fixed 18 14%100%2.26 4,455,000 100.00 100.52 23,158 2.26 1.68 1.6 1.2 (0.1) Sector Total 18 14%100%2.26 4,455,000 100.00 100.52 23,158 2.26 1.68 1.6 1.2 (0.1) Portfolio Analysis 20 Corporate - Summary Sector Line %% Total Par Book Market Book Market Eff Eff Agg LT Ratings Type Items Port Sector Cpn Amount Price Price G / L Yield Yield WAM Dur Cvx Moody's S&P Other 1 0%100%1.83 10 100.00 100.00 0 1.84 1.84 0.0 0.0 0.0 Total 1 0%100%1.83 10 100.00 100.00 0 1.84 1.84 0.0 0.0 0.0 Coupon Line %% Total Par Book Market Book Market Eff Eff Agg LT Ratings Type Items Port Sector Cpn Amount Price Price G / L Yield Yield WAM Dur Cvx Moody's S&P Fixed 1 0%100%1.83 10 100.00 100.00 0 1.84 1.84 0.0 0.0 0.0 Total 1 0%100%1.83 10 100.00 100.00 0 1.84 1.84 0.0 0.0 0.0 Fixed 100% Other 100% Sector Coupon Portfolio Analysis 21 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 3 4%12%1,100,000 2.14 100.67 100.66 (126)1.81 1.80 1.7 1.7 0.0 100%--Aaa AAA GO Unlimited 18 22%78%6,800,000 2.99 101.62 102.86 84,546 2.28 1.86 2.3 2.2 0.1 100%--Aa1 AA+ Revenue 3 2%5%490,000 2.34 97.84 101.11 16,002 2.84 2.00 3.6 3.4 0.2 100%--Aaa AAA Other 1 1%4%365,000 2.38 100.46 100.64 646 1.97 1.82 1.2 1.1 0.0 100%--AAA Sector Total 25 29%100%8,755,000 2.82 101.24 102.39 101,068 2.24 1.85 2.3 2.2 0.1 100%Aaa 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 24 27%92%8,105,000 2.64 101.10 102.31 98,390 2.24 1.86 2.4 2.3 0.1 100%--Aaa AA+ School District 1 2%8%650,000 5.00 103.03 103.45 2,678 2.16 1.78 1.1 1.0 0.0 100%--AAA Sector Total 25 29%100%8,755,000 2.82 101.24 102.39 101,068 2.24 1.85 2.3 2.2 0.1 100%Aaa AA+ GO Limited 12% GO Unlimited 78% Other 4% Revenue 5% Fixed 100% Issuer Coupon Portfolio Analysis 22 MMF: Historical Performance Weighted Average Maturity -WAM (Days) Daily Liquid Assets (%) Weekly Liquid Assets (%) 0 10 20 30 40 50 60 70 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 SEC Threshold SHIXX 0 5 10 15 20 25 30 35 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 SEC Threshold SHIXX 20 30 40 50 60 70 80 90 100 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 SEC Threshold SHIXX * Gates / Fees Threshold -SEC designated thresholds for Money Market Funds Portfolio Analysis 23 MMF: Historical Performance Net Asset Value (NAV)7 Day Yield (%) Expense Ratio (bps)Daily Fund Flows ($000) 1.0001 1.0001 1.0002 1.0002 1.0003 1.0003 1.0004 1.0004 1.0005 1.0005 1.0006 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 SHIXX 0.00 0.50 1.00 1.50 2.00 2.50 3.00 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 SHIXX 0.100 0.200 0.300 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 SHIXX -800 -600 -400 -200 0 200 400 600 800 Dec-18 Mar-19 Jun-19 Sep-19 Dec-19 SHIXX Portfolio Analysis 24 MMF: Fund Profiles Fund Name:Wells Fargo Heritage I - SHIXX AUM Flows ($MM)WAM (Days)WAL (Days)7D Yield (%)DLA (%)WLA (%)Share Class Flows ($MM)MNAV Current 1,627 29 67 1.72 21 44 21 1.0004 Previous Month 1,594 27 61 1.71 22 43 (325)1.0004 MoM Change 33 2 6 0.01 (1)1 346 0.0000 52 Week High 2,033 34 74 2.51 32 51 658 1.0005 52 Week Low 1,419 15 58 1.67 18 38 (701)1.0002 Portfolio Analysis 25 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 Jack Stimac, CFA Vice President (901) 622-5302 jack.stimac@wellsfargo.com Tyler Barnes Associate (704) 410-3830 tyler.barnes@wellsfargo.com Devon Preston Associate (704) 410-1530 devon.b.preston@wellsfargo.com Sarah Tsai Associate (704) 410-3824 sarah.tsai@wellsfargo.com Melissa Atkins Analyst (704) 410-0114 melissa.atkins@wellsfargo.com Daniel Giuliano Analyst (704) 410-3685 daniel.giuliano@wellsfargo.com Portfolio Accounting Kamari Hauglid Analyst (612) 667-8818 kamarihauglid@wellsfargo.com Portfolio Analysis 26 Assumptions 1.Calculation engine is ZM for all asset classes except for Money Market Funds. Money Market Fund information is provided by Crane Data. 2.Money Market Funds assume a book price of par ($100.00). 3.All data provided by Bloomberg LLC., IDC Pricing Service, Crane Data and Wells Fargo Securities. 4.Cash flows are generated by Yield Book, Intex, Bloomberg or ZM depending on sector and structure: ZM –Non-prepay bullet structures including municipals, corporates, agencies, SSA, teasuries, CDs and commercial paper. Yield Book –Mortgage products, including MBS passthroughs, CMOs, ARMs, agency CMBS and floating rate structures. Intex –Structured products, including ABS, CLOs and non-agency RMBS and CMBS. Analysis assumes all scheduled and unscheduled principal cash flows provided directly by Third Party systems (Yield Book) flow into the Maturity bucket on the Cash Flow Projections page. 5.Ratings data are provided by Moody's, S&P and Fitch. Aggregate ratings are based on a proprietary scale. 6.Projected Call Report -Assumes OAS is held constant with market price based yield-to-worst call logic. Sorted by projected calls in the base case scenario. Base Case scenario assumes no rate changes. 7.Client provided market prices are used for the analysis. In the absence of client market data, BVAL and/or IDC pricing is used. 8.Historical Analysis is a combination of previously run Bond Edge Reports and ZM Financial. This page will be updated over time as reports are requested. 9.Yield on tax-exempt municipals are calculated using a 21% tax rate or as directed by client. 10.12 Month Horizon Analysis assumes 12 month horizon with a reinvestment rate of 1M LIBOR. Rate shocks are gradual over the horizon and parrallel shifts to the curve. 11.Prepayment, default and severity assumptions used: Bonds run through Yield Book –Yield Book Long Term Projected CPR GN CMBS –15 CPJ FN/FH CMBS -0 CPY Conduit CMBS -0 CPY, CDR and SEV ABS Student –6 CPR ABS Card -Historical MPR ABS Auto -1.3 ABS SBAs & NGNs –10 CPR Non-agency CMOs –Yield Book if available otherwise 6mo historical VPR, CDR and SEV taken from Bloomberg. 12.Money Market Fund Profiles AUM Flows:Total fund MoM flows Share Class:Total share class MoM flows 13.Yield Curve Shock Scenarios:instantaneous rate shocks to the static curve held constant over the life of the securities, utilizing Intex for structured products (when applicable) and Yield Book for other amortizing securities. Standard scenarios: parallel shifts of -100,-50,-25,0,+25,+50,+100,+200,+300, Bear Flat,Bull Steep, Bull Flat, Bear Steep. Customized scenarios at the request of client or as determined by WFS Portfolio Strategy Portfolio Analysis 27 Disclaimer 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, however 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© 2020 Wells Fargo & Company SECURITIES: NOT FDIC INSURED/NOT BANK-GUARANTEED/MAY LOSE VALUE Portfolio Analysis 28