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6.A. - Page 21 of 44 <br />REDWOOD CITY <br />0.20% <br />0.15% <br />0.10% <br />0.05% <br />0.00% <br />For the Quarter Ended June 30, 2019 <br />Market Update <br />ABS and MBS Sectors Offer Better Value than Other Agencies <br />Yield Spreads on Federal Agencies <br />and Supranationals <br />Supra Avg. 06/24/19 Agency 06/24/19 <br />agencies offer little incremental yield; <br />supranational spreads tight amid low supply <br />-0.05% <br />1 2 3 4 5 <br />Years to Maturity <br />Asset -Backed Securities Yield Spreads <br />AAA Auto ABS AAA Credit Card ABS <br />1.00% <br />spreads widened in Q2, making <br />0.80% selective ABS issues attractive <br />0.60% <br />0.40% <br />0.20% <br />0.00% <br />Jun '17 <br />Jun '18 Jun '19 <br />Mortgage -Backed Securities Yield Spreads <br />-Agency MBS AAA CMBS Index <br />1.00% less interest rate -sensitive structures, such as <br />0.80% CMBS, outperformed other MBS in Q2 <br />0.60% <br />0.40% <br />0.20% <br />0.00% <br />Jun '17 <br />Jun '18 <br />Jun '19 <br />Source: Bloomberg, MarketAxess, and PFM. Spreads on ABS and MBS are option -adjusted spreads; spreads on agencies and supranationals are relative to comparable maturity Treasuries. Data as of 6/30/19. <br />ICE BofAML 1-5 year Indices. MBS and ABS indices are 0-5 year, based on weighted average life. <br />PFM Asset Management LLC 25 <br />