© PFM 1

Market Update

May 4, 2020

PFM Asset Management LLC

213 Market StreetHarrisburg, PA 17101

717.232.2723pfm.com

Prepared by the Portfolio Strategies Group

© PFM 2

COVID-19 Pandemic Tops 3 Million Cases Worldwide

Source: Bloomberg data compiled from Johns Hopkins University, the World Health Organization, and other sources. *By size of economy, estimates by IMF for 2019. Data as of 5/04/2020.

3.597mm

250k

1.165mm

0k

500k

1,000k

1,500k

2,000k

2,500k

3,000k

3,500k

4,000k

Coronavirus CasesConfirmed Cases Deaths Recovered

Rank* Country # Cases # Deaths Death Rate

1 United States 1,172,670 68,326

2 China 83,965 4,637

3 Japan 14,877 487

4 Germany 165,786 6,893

5 India 46,437 1,566

6 United Kingdom 191,831 28,809

7 France 203,253 25,201

8 Italy 211,938 29,079

10 Canada 61,423 3,891

12 South Korea 10,801 252

13 Spain 217,466 25,264

14 Australia 6,823 96

15 Mexico 23,471 2,154

20 Switzerland 29,981 1,784

25 Iran 98,647 6,277

5.8%

5.5%

3.3%

4.2%

3.4%

15.0%

12.4%

13.7%

6.3%

2.3%

11.6%

1.4%

9.2%

6.0%

6.4%

© PFM 3

Due to Relaxed Social Distancing, U.S. Death Projections Rise

Source: Institute for Health Metrics and Evaluation, as of 5/04/2020. https://covid19.healthdata.org/projections

0k

50k

100k

150k

200k

250k

300k

1-Feb 1-Mar 1-Apr 1-May 1-Jun 1-Jul 1-Aug

Total Deaths

Projected

Total COVID-19 deaths projected to August 4, 2020 in the U.S.: 134,475

0.0k

0.5k

1.0k

1.5k

2.0k

2.5k

3.0k

3.5k

1-Feb 1-Mar 1-Apr 1-May 1-Jun 1-Jul 1-Aug

Deaths per day

Peak count of daily deaths was on April 15, 2020 with 2,693 COVID-19 deathsRange of possible

outcomes

Range of possible

outcomes

Projected

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3.1%

2.0% 2.1% 2.1%

-4.8%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q

U.S. GDP Contributors and DetractorsPersonal Consumption Fixed Investment Private Inventories Net Exports Gov't Expenditures

Q1 U.S. GDP Falls 4.8% as COVID-19 Lockdown Weighs on Growth

2016 2017 2018 2019Source: Bureau of Economic Analysis.

2020

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79%

101%108%

0%

20%

40%

60%

80%

100%

120%

2019** 2020 2021

Debt Held by Public as % of GDP

4%

14%16%

12%10%

0%

4%

8%

12%

16%

20%

Q1 2020 Q2 2020 Q3 2020 Q4 2020 2021*

Unemployment Rate

-4.8%

-40%

24%11% 3%

-50%-40%-30%-20%-10%

0%10%20%30%

Q1 2020** Q2 2020 Q3 2020 Q4 2020 2021*

Real GDP (annualized rate)

CBO Projections of Key Economic Variables

Source: Congressional Budget Office, as of 5/04/2020. *Average for year. **Actual results.

$1.0

$3.7

$2.1

$0

$1

$2

$3

$4

2019** 2020 2021

Trill

ions

Federal Deficit

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3/20/20203,307

3/27/20206,867 4/3/2020

6,615

4/10/20205,237

4/17/20204,442

4/24/20203,839

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

1970 1975 1980 1985 1990 1995 2000 2005 2010 2015 2020

Thou

sand

s

Initial Jobless Claims

30,307,000Total Jobless Claims since the week ended March 20

Previousall-time high

Initial Jobless Claims Exceed 30 Million

Source: Bloomberg, as of 5/04/2020. Data is seasonally adjusted.

Peak during the Great Recession

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Consumer Income and Spending Fall Sharply in March

-7.5%-8%

-6%

-4%

-2%

0%

2%

4%

6%

2006 2008 2010 2012 2014 2016 2018 2020

Consumer Spending (MoM%)

Recession

Source: Bloomberg, as of 5/04/2020.

-2.0%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

2006 2008 2010 2012 2014 2016 2018 2020

Consumer Income (MoM%)

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36.9

27.0

10

20

30

40

50

60

70

Apr-17 Oct-17 Apr-18 Oct-18 Apr-19 Oct-19 Apr-20

U.S. Markit PMI

Manufacturing

Services

34.4

15.910

20

30

40

50

60

70

Apr-17 Oct-17 Apr-18 Oct-18 Apr-19 Oct-19 Apr-20

Germany Markit PMI

Broad Deterioration in Services and Manufacturing PMIs

Source: Bloomberg, latest data available as of 5/04/2020.

33.6

11.710

20

30

40

50

60

70

Apr-17 Oct-17 Apr-18 Oct-18 Apr-19 Oct-19 Apr-20

EuroZone Markit PMI

32.9

12.310

20

30

40

50

60

70

Apr-17 Oct-17 Apr-18 Oct-18 Apr-19 Oct-19 Apr-20

UK Markit PMI

All 4 countries/regions services PMIs reach record

low

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Yield Curve Remains Sharply Lower

Source: Bloomberg, as of 5/04/2020.

U.S. Treasury Yield Curve

0.09%

0.36%

0.63%

1.28%

-0.50%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3M

1Y

2Y

3Y

4Y

5Y

10Y

30Y

Yiel

d

Maturity

May 4, 2020February 29, 2020December 31, 2019

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• In light of these developments, the Committee decided to maintain the target range for the federal fundsrate at 0 to 0.25%. The Committee expects to maintain this target range until it is confident thatthe economy has weathered recent events and is on track to achieve its maximum employmentand price stability goals.

• The Committee will continue to monitor the implications of incoming information for the economicoutlook, including information related to public health, as well as global developments and mutedinflation pressures, and will use its tools and act as appropriate to support the economy.

COVID-19 Weighs on FOMC’s Economic Outlook

Source: Federal Reserve, as of 4/29/20.

• The Federal Reserve is committed to using its full range of tools tosupport the U.S. economy in this challenging time.

• The coronavirus outbreak is causing tremendous human andeconomic hardship across the United States and around the world.The virus and the measures taken to protect public health areinducing sharp declines in economic activity and a surge in joblosses.

• The ongoing public health crisis will weigh heavily on economicactivity, employment, and inflation in the near term, and posesconsiderable risks to the economic outlook over the medium term.

April

29

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Powell Reiterates Commitment to Support Economy and Markets

"I would say we have a number of dimensions on which we can still provide support to the economy, as you know our credit policies are not subject to specific dollar limit. They can be expanded, and we can do new ones.”

"Let me just say we are going to not be in any hurry to withdraw these measures or lift off. We are going to wait until we are quite confident that the economy is well on the road to recovery."

"We are going to be very patient, that means we are not going to be in any hurry to move rates up."

Source: Federal Reserve Bank, as of 4/29/20.

Message: Rates likely at zero through 2021

© PFM 12

Federal Reserve Broadens Tool Kit to Support Markets

Source: Federal Reserve, as of 5/04/2020.

$0

$1

$2

$3

$4

$5

$6

$7

2005 2010 2015 2020

Trill

ions

Assets of the Federal Reserve

Treasury Mortgage-BackedFederal Agency Other

$6.7 trillion

Amount Allocated to Fed’s Liquidity Programs

Facility Holdings (billions)Discount Window $31.8

PDCF $33.4

MMLF $46.3

CPFF $3.4

PPPLF $19.5

Swap Lines $439.0

Repurchase Agreements $158.2

Zero Interest Rates• Cut rates by 150 bps at two emergency meetings in March

Asset Purchase Programs• Unlimited Treasury and agency MBS purchases

Repurchase Agreements• Increased amount and term options to primary dealers

Discount Window• Decreased rate and extended term of loans

Bank Regulatory Relief• Lowered reserve requirement to 0; capital & liquidity flexibility

Liquidity Support• Funding for CP, ABS, MMFs, corporate bonds and more

U.S. Dollar Swap Lines• Increased access to U.S. dollars to foreign central banks

Paycheck Protection Program• Support for financial institutions issuing PPP loans

Main Street Lending Program• Purchasing loans to small- and mid-size businesses

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Household payments$301 billion

Unemployment insurance$250 billion

Tax deferrals and extended deadlines$221 billion

Aid to states$150 billion

Loans to businesses$454 billion

Small business loans$349 billion

Other$198 billion

Hospitals and veteran’s care $117 billion

Paycheck Protection Program$310 billion authorized

Congress Providing Fiscal Stimulus to the Economy

Source: Wall Street Journal, as of April 23, 2020. *Passed by the Senate.

Direct Relief SupplementalLoans

Public transit$25 billion

Economic injury disaster loans and grants$60 billion

Hospitals$75 billion

COVID-19 testing $25 billion

Small, midsize and community lenders$60 billion

Airline, cargo carrier$29 billion

Airline, cargo grants$32 billion

Coronavirus Aid, Relief, and Economic Security (CARES) Act

Pending Stimulus Plan*

© PFM 14

Treasury Yields Fall to New Lows

Source: Bloomberg, as of 5/04/2020.

0.18%0%

1%

2%

3%

4%

Jan-10 Jan-15 Jan-20

2-Year Treasury Yield

0.63%

0%

1%

2%

3%

4%

Jan-10 Jan-15 Jan-20

10-Year Treasury Yield

© PFM 15

Corporate Spreads Normalize Amid Fed Stimulus

Source: Bloomberg, as of 5/04/20. Recession period derive from the National Bureau of Economic Research (NBER) based recession indicators.

© PFM 16

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1 2 3 4 5 6 7 8 9 10 11 12Maturity in Months

Money Market Yield Curves

CD/CP Average

Treasuries

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

1.60%

Dec '16 Dec '17 Dec '18 Dec '19

Yield Spread on 6-month Commercial Paper over T-Bill

Short-Term Credit Spreads Elevated and Volatile

Sources: Bloomberg & PFM Trading Desk, as of 5/04/2020. 6-mo CP yield spread based on A1/P1 rated CP index (left). PFM Trading Desk, as of 5/04/2020 (right).

33 bps

Agencies

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Rating Downgrades Likely to Accelerate, Focused in High Yield

Source: Bloomberg, as of 4/29/20.

-1,200

-1,000

-800

-600

-400

-200

0

200

400

600

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020

Moody's Quarterly Ratings Changes

Upgrades (IG) Upgrades (HY) Downgrades (IG) Downgrades (HY) Net

IG/HY not separated

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2,000

2,200

2,400

2,600

2,800

3,000

3,200

3,400

3,600

May '17 Nov '17 May '18 Nov '18 May '19 Nov '19 May '20

S&P Price Change

Stocks Rally But Remain Down From February Highs

Source: Bloomberg, as of 5/04/2020.

2019 close

Rebound+27%

2018 close

2017 close

Peak-to-trough-34%

© PFM 19

Disclosures

This material is based on information obtained from sources generally believed to be reliable and available to the public, however PFM Asset Management LLC cannot guarantee its accuracy, completeness or suitability. This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation. All statements as to what will or may happen under certain circumstances are based on assumptions, some but not all of which are noted in the presentation. Assumptions may or may not be proven correct as actual events occur, and results may depend on events outside of your or our control. Changes in assumptions may have a material effect on results. Past performance does not necessarily reflect and is not a guaranty of future results. The information contained in this presentation is not an offer to purchase or sell any securities.

PFM is the marketing name for a group of affiliated companies providing a range of services. All services are provided through separate agreements with each company. Investment advisory services are provided by PFM Asset Management LLC, which is registered with the SEC under the Investment Advisers Act of 1940. For more information regarding PFM’s services or entities, please visit www.pfm.com.