Sandie Arnott TREASURER - TAX COLLECTOR
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1 Sandie Arnott TREASURER - TAX COLLECTOR TREASURER - TAX COLLECTOR - REVENUE SERVICES Charles M. Tovstein CHIEF INVESTMENT OFFICER Robin N. Elliott ASSISTANT TAX COLLECTOR DATE: November 9, 2018 TO: FROM: SUBJECT: San Mateo County Pool Participants Sandie Arnott, Treasurer-Tax Collector October Monthly Investment Report Gross earnings for the month ending were 2.16% The current average maturity of the portfolio is 1 years with an average duration of.95 years. The current par value of the pool is $4.554 Billion. The largest non-government aggregate position is currently Wells Fargo at 3.23%. The portfolio continues to hold no derivative products. The San Mateo County Pool complies with Government Code Section 53646, which requires the ability to meet its expenditure requirements for the next six months. I certify, and our investment advisor, PFM Asset Management, confirms these reports are in compliance with the investment policy dated Calendar Year Please visit our website if you wish to review PFM s monthly compliance report: If you have any questions regarding any of these reports, please call Charles Tovstein at (650) or me at (650) Best regards, 1
2 SAN MATEO COUNTY PORTFOLIO November 9, 2018 Table of Contents Month End Pool Earnings Report 3 Total Return 4 SMC Pool vs. LAIF 5 Fixed Income Distribution 6-7 Realized Gains/Losses 8 Portfolio Appraisal 9-27 Asset Allocation Graph 28 Credit Quality Graph - Moody s Rating 29 Credit Quality Graph - S&P Rating 30 Diversification Report Month Cash-Flow Projection 32 Historical Yield Curves
3 COUNTY OF SAN MATEO ESTIMATED SUMMARY OF POOL EARNINGS OCTOBER 2018 Par Value Gross Earnings Fixed Income Securities Maturing > 1 year U S Treasury Notes 600,000,000 $495, U.S, Instrumentalities 149,500,000 $249, Federal Agencies 147,500, , Corporate Notes 45,000,000 78, Certificate of Deposit 116,478, , Floating Rate Securities 209,500, , ,267,978,000 $1,580, Short Term Securities Maturing < 1 year U S Treasury Notes 353,000, , U.S, Instrumentalities 75,000,000 94, Federal Agencies 955,892,000 1,149, Corporate Notes 130,000, , Floating Rate Securities 79,200, , LAIF 65,000, , Commercial Paper 876,000,000 1,389, Certificate of Deposit 238,000, , U S Treasury Bills 314,300, , Repurchase Agreements 200,000,000 12, ,286,392,000 $4,503, Total Accrued Interest 4,554,370,000 $6,083, Realized Gain/Loss & Interest Received U S Treasury Notes $456, U.S, Instrumentalities $224, Federal Agencies 191, Corporate Notes 29, Floating Rate Securities 280, Commercial Paper 428, Certificate of Deposit 47, U S Treasury Bills 23, Repurchase Agreements 343, Total Realized Income $2,024, TOTAL DOLLAR EARNINGS $8,107, AVERAGE BALANCE $4,417,187, GROSS EARNINGS RATE / GROSS DOLLAR EARNINGS 2.161% $8,107, ADMINISTRATION FEES ($356,400.46) NET EARNINGS RATE / NET DOLLAR EARNINGS 2.066% $7,751,
4 MERRILL LYNCH TAXABLE BOND INDEX vs. CHARACTERISTICS INDEX 10/31/18 POOL 2.18 AVERAGE MATURITY (yrs) DURATION (yrs) YIELD TO MATURITY (%) 2.41 TIME WEIGHTED/TOTAL RETURN MONTH (%) MONTHS (%) MONTHS (%) YEAR (%) 0.34 SYNTHETIC BENCHMARK ALLOCATION OF INDEX 30% 0-1 year U.S. Government 20% year U.S. Government 20% 3-5 year U.S. Government 10% 1-10 year U.S. Government 20% 1-5 year Corporate Bonds *** THE MEASURE THAT CAN BE USED TO ASSESS THE PERFORMANCE OF A PORTFOLIO OVER SOME INVESTMENT HORIZON IS THE TOTAL RETURN. TOTAL RETURN IS THE SUM OF PRINCIPAL AND INTEREST PAYMENTS AS WELL AS ANY REINVESTMENT INCOME RECEIVED OVER A HOLDING PERIOD PLUS ANY CAPITAL GAIN OR LOSS. 4
5 SAN MATEO COUNTY INVESTMENT POOL vs LOCAL AGENCY INVESTMENT FUND EARNINGS RATES ending 10/31/18 POOL LAIF 2.161% 1 MONTH 2.145% 2.081% 3 MONTHS 2.070% 1.993% 6 MONTHS 1.961% 1.737% 1 YEAR 1.678% 5
6 FIXED INCOME DISTRIBUTION - SETTLED TRADES Summary Information Totals Weighted Averages Par Value 4,554,370,000 Average YTM 2.41 Market Value 4,517,097, Average Maturity (yrs) 1.00 Total Cost 4,536,554, Average Coupon (%) 1.15 Net Gain/Loss -19,457, Average Duration 0.95 Annual Income 52,361, Average Moody Rating Aa1/P-1 Accrued Interest 8,675, Average S&P Rating AA/A-1 Number of Issues 210 Distribution by Maturity % Bond Average Average Average Maturity Numb Mkt Value Holdings Y T M Coupon Duration er Under 1 Yr 141 3,144,462, % Yr - 3 Yrs ,405, % Yrs - 5 Yrs ,389, % Yrs - 7 Yrs 1 46,840, % 4.7 Distribution by Coupon % Bond Average Average Average Coupon % Numb Mkt Value Holdings Y T M Coupon Duration er Under 1% 86 1,870,656, % 0.3 1% - 3% 120 2,616,125, % 1.4 3% - 5% 4 30,314, % 2.3 Distribution by Duration % Bond Average Average Average Duration Numb Mkt Value Holdings Y T M Coupon Duration er Under 1 Yr 142 3,155,022, % Yr - 3 Yrs ,433, % Yrs - 5 Yrs ,641, % 3.9 6
7 FIXED INCOME DISTRIBUTION - SETTLED TRADES Distribution by Moody Rating % Bond Average Average Average Rating Numb Mkt Value Holdings Y T M Coupon Duration er Aaa 118 2,770,843, % 1.2 Aa1 4 32,222, % 1.6 Aa ,296, % 1.3 Aa3 5 65,462, % 0.7 A ,389, % 1.5 A2 1 4,939, % 0.7 P ,191,885, % 0.3 Not Rated 1 65,057, % 0.1 Distribution by S&P Rating % Bond Average Average Average Rating Numb Mkt Value Holdings Y T M Coupon Duration er AAA ,261, % 0.9 AA ,553,609, % 1.2 AA 1 10,017, % 0.2 AA ,724, % 1.0 A ,449, % 1.6 A 1 5,091, % 1.7 A ,373, % 0.3 A ,511, % 0.3 Not Rated 1 65,057, % 0.1 ** MARKET VALUE ON THE FIXED INCOME DISTRIBUTION REPORT INCLUDES ANY ACCRUED INTEREST THAT A SECURITY HAS EARNED. TOTAL COST DOES NOT REFLECT AMORTIZATIONS OR ACCRETIONS BUT INCLUDES PURCHASED ACCRUED INTEREST. MONTHLY TRANSACTION SUMMARY REPORT IS AVAILABLE UPON REQUEST. 7
8 REALIZED GAINS AND LOSSES - SETTLED TRADES From Through Gain Or Loss Open Close Cost Date Date Quantity Security Basis Proceeds Short Term Long Term TOTAL GAINS TOTAL LOSSES TOTAL REALIZED GAIN/LOSS **THESE ARE GROSS PRINCIPAL FIGURES ONLY. THEY DO NOT REFLECT ANY AMORTIZATIONS OR ACCRETIONS. THE COST BASIS DOES NOT REFLECT ANY PURCHASED ACCRUED INTEREST. 8
9 CERTIFICATE OF DEPOSIT WELLS FARGO BANK NA 10,000, ,000, ,000, , ,095, A % Due TORONTO-DOMINION BANK 25,000, ,000, ,000, , ,085, A % Due WELLS FARGO BANK NA-FRN 25,000, ,000, ,000, , ,029, A % Due BANK OF MONTREAL CHICAGO 25,000, ,000, ,000, , ,083, A % Due TORONTO-DOMINION BANK 25,000, ,000, ,000, , ,055, A % Due BANK OF MONTREAL CHICAGO-YCD 25,000, ,000, ,000, ,000, A % Due BANK OF MONTREAL CHICAGO-YCD 28,000, ,000, ,000, , ,062, A % Due TORONTO-DOMINION BANK 25,000, ,000, ,000, , ,022, A % Due WELLS FARGO BANK NA-FRN 10,000, ,000, ,000, , ,005, A % Due WELLS FARGO BANK NA-FRN 15,000, ,000, ,000, , ,195, A % Due US BANK NA OHIO 25,000, ,000, ,000, , ,011, A % Due BNS HOUSTON YCD FRN 25,000, ,984, ,000, , ,056, A % Due CANADIAN IMPERIAL YCD FRN 5,000, ,000, ,000, ,000, A % Due CANADIAN IMPERIAL YCD FRN 10,000, ,000, ,000, ,000, A % Due CANADIAN IMPERIAL YCD FRN 10,000, ,000, ,000, ,000, A % Due BANK OF MONTREAL CHICAGO-YCD 11,478, ,478, ,478, , ,504, A % Due BNS HOUSTON YCD FRN-Q 5,000, ,000, ,000, ,000, A % Due BNS HOUSTON YCD FRN-Q 5,000, ,000, ,000, ,000, A % Due SWEDBANK YCD FRN-Q 20,000, ,000, ,000, , ,253, A % Due
10 BNS HOUSTON YCD- FRNQ 25,000, ,000, ,000, ,000, A % Due ,478, ,462, ,478, , ,462, COMMERCIAL PAPER COOPERATIEVE RABOBANK UA 25,000, ,753, ,987, ,987, A % Due NATIXIS NY BRANCH 25,000, ,856, ,987, ,987, A % Due COOPERATIEVE RABOBANK UA 25,000, ,707, ,980, ,980, A % Due MUFG BANK LTD 10,000, ,940, ,991, ,991, A % Due NATIXIS NY BRANCH 20,000, ,870, ,975, ,975, A % Due NATIXIS NY BRANCH 20,000, ,870, ,967, ,967, A % Due TOYOTA MOTOR CREDIT CORPORATION 25,000, ,835, ,956, ,956, A % Due SWEDBANK 25,000, ,828, ,947, ,947, A % Due COOPERATIEVE RABOBANK UA 11,000, ,905, ,968, ,968, A % Due SWEDBANK 20,000, ,852, ,940, ,940, A % Due TOYOTA MOTOR CREDIT CORP. 25,000, ,849, ,918, ,918, A % Due NATIXIS NY BRANCH 20,000, ,858, ,913, ,913, A % Due CANADIAN IMPERIAL HLDING 15,000, ,857, ,930, ,930, A % Due MUFG BANK LTD 25,000, ,723, ,875, ,875, A % Due MUFG UNION BANK NA 20,000, ,855, ,911, ,911, A % Due TOYOTA MOTOR CREDIT CORPORATION 25,000, ,827, ,897, ,897, A % Due MUFG BANK LTD 25,000, ,690, ,872, ,872, A % Due
11 MUFG BANK LTD 25,000, ,801, ,872, ,872, A % Due CANADIAN IMPERIAL HLDING 10,000, ,817, ,940, ,940, A % Due ROYAL BANK OF CANADA NY 25,000, ,697, ,851, ,851, A % Due NATIXIS NY BRANCH 25,000, ,814, ,889, ,889, A % Due CANADIAN IMPERIAL HLDING 25,000, ,706, ,851, ,851, A % Due JP MORGAN SECURITIES LLC 25,000, ,794, ,867, ,867, A % Due JP MORGAN SECURITIES LLC 50,000, ,491, ,654, ,654, A % Due MUFG BANK LTD 25,000, ,794, ,867, ,867, A % Due JP MORGAN SECURITIES LLC 25,000, ,796, ,872, ,872, A % Due TOYOTA MOTOR FRN 25,000, ,000, ,000, , ,010, A % Due SWEDBANK 25,000, ,789, ,864, ,864, A % Due SWEDBANK 25,000, ,788, ,863, ,863, A % Due TOYOTA MOTOR CREDIT CORPORATION 25,000, ,733, ,811, ,811, A % Due COOPERATIEVE RABOBANK UA 20,000, ,708, ,802, ,802, A % Due ROYAL BANK OF CANADA NY 25,000, ,699, ,797, ,797, A % Due SWEDBANK 10,000, ,887, ,918, ,918, A % Due COOPERATIEVE RABOBANK UA 50,000, ,293, ,471, ,471, A % Due ROYAL BANK OF CANADA NY 25,000, ,529, ,700, ,700, A % Due JP MORGAN SECURITIES LLC 25,000, ,658, ,739, ,739, A % Due
12 NATIXIS NY BRANCH 25,000, ,671, ,751, ,751, A % Due ,000, ,556, ,412, , ,422, LOCAL AGENCY INVESTMENT FUND LAIF 65,000, ,000, ,000, , ,057, NR % Due REPURCHASE AGREEMENTS REPURCHASE AGREEMENT (U.S. TREAS NTS COLLAT) 2.190% Due ,000, ,000, ,000, ,000, AA UNITED STATES TREASURY-BILLS UNITED STATES TREAS BILL 25,000, ,873, ,000, ,000, AA % Due UNITED STATES TREAS BILL 25,000, ,819, ,989, ,989, AA % Due UNITED STATES TREAS BILL 25,000, ,808, ,979, ,979, AA % Due UNITED STATES TREAS BILL 33,500, ,294, ,472, ,472, AA % Due UNITED STATES TREAS BILL 2,700, ,677, ,687, ,687, AA % Due UNITED STATES TREAS BILL 25,000, ,822, ,880, ,880, AA % Due UNITED STATES TREAS BILL 6,000, ,956, ,968, ,968, AA % Due UNITED STATES TREAS BILL 50,000, ,709, ,736, ,736, AA % Due UNITED STATES TREAS BILL 2,100, ,083, ,086, ,086, AA % Due UNITED STATES TREAS BILL 25,000, ,762, ,832, ,832, AA % Due UNITED STATES TREAS BILL 25,000, ,817, ,832, ,832, AA % Due UNITED STATES TREAS BILL 20,000, ,862, ,865, ,865, AA % Due
13 UNITED STATES TREAS BILL 25,000, ,796, ,821, ,821, AA % Due UNITED STATES TREAS BILL 25,000, ,760, ,786, ,786, AA % Due ,300, ,046, ,939, ,939, UNITED STATES TREASURY-NOTES UNITED STATES TREAS NTS 50,000, ,926, ,983, , ,198, AA % Due UNITED STATES TREAS NTS 50,000, ,931, ,983, , ,198, AA % Due UNITED STATES TREAS NTS 25,000, ,935, ,949, , ,028, AA % Due UNITED STATES TREAS NTS 28,000, ,927, ,943, , ,032, AA % Due UNITED STATES TREAS NTS 50,000, ,945, ,899, , ,057, AA % Due UNITED STATES TREAS NTS 50,000, ,943, ,853, , ,876, AA % Due UNITED STATES TREAS NTS 25,000, ,829, ,884, ,884, AA % Due UNITED STATES TREAS NTS 25,000, ,908, ,884, ,884, AA % Due UNITED STATES TREAS NTS 25,000, ,982, ,925, , ,988, AA % Due UNITED STATES TREAS NTS 25,000, ,886, ,784, , ,788, AA % Due UNITED STATES TREAS NTS 50,000, ,000, ,628, , ,769, AA % Due UNITED STATES TREAS NTS 50,000, ,812, ,558, , ,656, AA % Due UNITED STATES TREAS NTS 50,000, ,875, ,558, , ,656, AA % Due UNITED STATES TREAS NTS 50,000, ,890, ,490, , ,538, AA % Due UNITED STATES TREAS NTS 50,000, ,000, ,585, , ,587, AA % Due UNITED STATES TREAS NTS 50,000, ,808, ,576, , ,645, AA % Due
14 UNITED STATES TREAS NTS 50,000, ,863, ,986, , ,066, AA % Due UNITED STATES TREAS NTS 50,000, ,919, ,175, , ,233, AA % Due UNITED STATES TREAS NTS 50,000, ,746, ,136, , ,561, AA % Due UNITED STATES TREAS NOTE 50,000, ,656, ,328, , ,691, AA % Due UNITED STATES TREAS NTS 50,000, ,030, ,494, , ,688, AA % Due UNITED STATES TREAS NTS 50,000, ,078, ,837, , ,840, AA % Due ,000, ,897, ,449, ,425, ,874, FEDERAL AGENCY - FLOATING RATE SECURITIES FEDERAL FARM CREDIT BANK-FRN 5,000, ,000, ,003, , ,008, AA % Due FEDERAL FARM CREDIT BANK-FRN 5,000, ,000, ,009, , ,023, AA % Due FEDERAL FARM CREDIT BANK-FRN 10,000, ,000, ,000, , ,003, AA % Due FEDERAL FARM CR BKS FDG CORP 5,000, ,000, ,000, , ,006, AA % Due FEDERAL FARM CR BKS FDG CORP 15,000, ,000, ,992, , ,011, AA % Due FEDERAL FARM CR BKS FDG CORP 15,000, ,000, ,000, , ,039, AA % Due FEDERAL FARM CR BKS FDG CORP 5,000, ,000, ,000, , ,013, AA % Due ,000,000 60,000, ,006, , ,107, FEDERAL AGENCY SECURITIES FEDERAL HOME LOAN BANK DISCOUNT CORP % Due FEDERAL HOME LOAN BANK DISCOUNT CORP % Due ,000, ,977, ,000, ,000, AA ,700, ,692, ,699, ,699, AA
15 FEDERAL HOME LOAN BANK DISCOUNT 20,000, ,954, ,998, ,998, AA CORP % Due FEDERAL HOME LOAN BANK DISCOUNT 10,000, ,977, ,999, ,999, AA CORP % Due FEDERAL HOME LOAN BANK - 1,500, ,495, ,499, ,499, AA DISCOUNT NOTE 0.000% Due FEDERAL HOME LOAN BANK DISC NT 25,000, ,878, ,990, ,990, AA % Due FEDERAL HOME LOAN BANK- DISCOUNT 1,300, ,293, ,299, ,299, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK DISCOUNT CORP. 10,000, ,968, ,992, ,992, AA % Due FEDL HOME LOAN BK CONS DISC NT 15,000, ,941, ,974, ,974, AA % Due FEDERAL HOME LOAN BANK-DISCOUNT NOTE 0.000% Due ASSOCIATION 25,000, ,859, ,938, ,938, AA ,000, ,985, ,986, , ,028, AA % Due FEDERAL HOME LOAN BANK-DISCOUNT 20,000, ,842, ,929, ,929, AA % Due FEDERAL HOME LOAN BANK DISCOUNT CORP. 25,000, ,836, ,886, ,886, AA % Due FEDERAL HOME DISCOUNT NOTE 1,600, ,590, ,592, ,592, AA % Due FEDERAL HOME DISCOUNT NOTE 15,000, ,910, ,928, ,928, AA % Due FEDERAL HOME DISCOUNT NOTE 10,000, ,940, ,952, ,952, AA % Due FARM CREDIT DISCOUNT NOTE 15,000, ,904, ,927, ,927, AA % Due
16 FEDERAL HOME LOAN BANK 5,000, ,999, ,988, , ,006, AA % Due FEDERAL HOME LOAN BANK 10,000, ,999, ,976, , ,012, AA % Due FEDERAL HOME LOAN BANK 10,000, ,999, ,976, , ,012, AA % Due FEDERAL HOME LOAN BANK 2,500, ,515, ,495, , ,507, AA % Due FEDERAL HOME LOAN BANK 2,500, ,515, ,495, , ,507, AA % Due FEDERAL HOME LOAN BANK 2,500, ,515, ,495, , ,507, AA % Due FEDERAL HOME LOAN BANK 2,500, ,515, ,495, , ,507, AA % Due FEDERAL FARM CREDIT BANK 1,000, , , , AA DISCOUNT NOTE 0.000% Due FEDERAL FARM CREDIT BANK 1,400, ,390, ,392, ,392, AA DISCOUNT NOTE 0.000% Due FEDERAL HOME LOAN BANK-DISCOUNT 2,200, ,187, ,188, ,188, AA NOTE 0.000% Due ,000, ,000, ,983, , ,996, AA ASSOCIATION 1.000% Due FEDERAL HOME LOAN BANK-DISCOUNT 25,000, ,841, ,857, ,857, AA NOTE 0.000% Due FEDERAL HOME LOAN MORTGAGE 2,500, ,500, ,491, , ,497, AA CORPORATION % Due FEDERAL HOME LOAN MORTGAGE 2,500, ,500, ,491, , ,497, AA CORPORATION % Due FEDL HOME LOAN BK CONS DISC NT 6,000, ,959, ,965, ,965, AA % Due
17 FEDERAL HOME LOAN BANK-DISCOUNT 10,000, ,932, ,939, ,939, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK-DISCOUNT 10,000, ,932, ,939, ,939, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK-DISCOUNT 10,000, ,932, ,939, ,939, AA NOTE 0.000% Due FEDL HOME LOAN BK CONS DISC NT 2,200, ,186, ,186, ,186, AA % Due FEDERAL HOME LOAN BANK-DISCOUNT 15,000, ,843, ,896, ,896, AA NOTE 0.000% Due FARM CREDIT DISCOUNT NOTE 10,000, ,910, ,928, ,928, AA % Due FEDERAL MORTGAGE CORPORATION DN 25,000, ,809, ,818, ,818, AA % Due FEDL HOME LOAN BK CONS DISC NT 2,887, ,863, ,865, ,865, AA % Due FEDERAL HOME LOAN BANK DISC CORP % Due FEDERAL HOME LOAN MORTGAGE CORPORATION % Due FEDERAL HOME LOAN MORTGAGE CORPORATION % Due FEDERAL HOME LOAN MORTGAGE CORPORATION % Due FEDERAL HOME LOAN MORTGAGE CORPORATION-1 2,000, ,977, ,984, ,984, AA ,000, ,000, ,983, , ,996, AA ,000, ,000, ,983, , ,996, AA ,000, ,000, ,983, , ,996, AA ,000, ,000, ,967, , ,992, AA % Due FEDERAL HOME DISCOUNT NOTE 25,000, ,787, ,794, ,794, AA % Due
18 FEDERAL HOME LOAN BANK-DISCOUNT 15,000, ,871, ,875, ,875, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK-DISCOUNT 5,000, ,955, ,955, ,955, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK 5,000, ,988, ,979, , ,988, AA % Due FEDERAL HOME LOAN BANK-DISCOUNT 10,000, ,904, ,903, ,903, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK-DISCOUNT 10,000, ,903, ,903, ,903, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK-DISCOUNT 10,000, ,903, ,903, ,903, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK-DISCOUNT 10,000, ,903, ,903, ,903, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK-DISCOUNT 15,000, ,853, ,852, ,852, AA NOTE 0.000% Due FREDDIE DISCOUNT 4,800, ,742, ,745, ,745, AA % Due FEDERAL HOME LOAN BANK-DISCOUNT NOTE 25,000, ,702, ,701, ,701, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,966, , ,995, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,966, , ,995, AA % Due ASSOCIATION 5,000, ,997, ,972, , ,004, AA % Due FEDERAL HOME LOAN BANK 10,000, ,995, ,906, , ,947, AA % Due FEDERAL HOME LOAN BANK 10,000, ,995, ,906, , ,947, AA % Due
19 FEDERAL HOME LOAN BANK 10,000, ,995, ,906, , ,947, AA % Due ,000, ,000, ,939, , ,052, AA ASSOCIATION 1.000% Due ,500, ,500, ,469, , ,526, AA ASSOCIATION 1.000% Due ,500, ,500, ,469, , ,526, AA ASSOCIATION 1.000% Due ,500, ,500, ,469, , ,526, AA ASSOCIATION 1.000% Due ,500, ,500, ,469, , ,526, AA ASSOCIATION 1.000% Due ,000, ,000, ,888, , ,918, AA ASSOCIATION % Due ,805, ,804, ,762, , ,773, AA ASSOCIATION % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,931, , ,029, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,931, , ,029, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,931, , ,029, AA % Due FEDERAL HOME LOAN BANK-B ,500, ,500, ,477, , ,483, AA % Due FEDERAL HOME LOAN BANK-B ,500, ,500, ,477, , ,483, AA % Due FEDERAL HOME LOAN BANK-B ,500, ,500, ,477, , ,483, AA % Due FEDERAL HOME LOAN BANK-B ,500, ,500, ,477, , ,483, AA % Due
20 5,000, ,971, ,958, , ,970, AA ASSOCIATION 1.750% Due ,000, ,971, ,958, , ,970, AA ASSOCIATION 1.750% Due FEDERAL HOME LOAN BANK 5,000, ,995, ,925, , ,930, AA % Due FEDERAL HOME LOAN BANK 10,000, ,991, ,851, , ,860, AA % Due FEDERAL HOME LOAN BANK 10,000, ,991, ,851, , ,860, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,000, , ,024, AA % Due ,500, ,498, ,461, , ,462, AA ASSOCIATION % Due ,500, ,498, ,461, , ,462, AA ASSOCIATION % Due ,500, ,498, ,461, , ,462, AA ASSOCIATION % Due ,500, ,498, ,461, , ,462, AA ASSOCIATION % Due FEDERAL HOME LOAN BANK 5,000, ,991, ,939, , ,943, AA % Due FEDERAL HOME LOAN BANK 5,000, ,991, ,939, , ,943, AA % Due FEDERAL HOME LOAN BANK 10,000, ,982, ,878, , ,886, AA % Due FEDERAL HOME LOAN BANK 10,000, ,982, ,878, , ,886, AA % Due FEDERAL HOME LOAN BANK 5,000, ,998, ,929, , ,960, AA % Due FEDERAL HOME LOAN BANK 5,000, ,998, ,929, , ,960, AA % Due
21 FEDERAL HOME LOAN BANK 5,000, ,998, ,929, , ,960, AA % Due FEDERAL HOME LOAN BANK 10,000, ,997, ,858, , ,921, AA % Due ,500, ,466, ,421, , ,545, AA ASSOCIATION 1.750% Due ,000, ,989, ,861, , ,906, AA ASSOCIATION 1.625% Due ,500, ,500, ,463, , ,474, AA ASSOCIATION-B 1.650% Due FEDERAL HOME LOAN BANK ,500, ,500, ,478, , ,489, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,956, , ,979, AA % Due FEDERAL HOME LOAN BANK 20,000, ,996, ,874, , ,915, AA % Due FEDERAL HOME LOAN BANK 10,000, ,998, ,937, , ,957, AA % Due FEDERAL HOME LOAN BANK ,500, ,500, ,456, , ,476, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,913, , ,952, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,827, , ,905, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,913, , ,952, AA % Due FEDERAL HOME LOAN BANK ,500, ,500, ,456, , ,476, AA % Due FEDERAL HOME LOAN BANK 5,000, ,998, ,982, , ,042, AA % Due FEDERAL HOME LOAN BANK 20,000, ,992, ,930, , ,168, AA % Due ASSOCIATION 1.500% Due ,000, ,965, ,783, , ,837, AA
22 FEDERAL HOME LOAN BANK 5,000, ,983, ,858, , ,865, AA % Due FEDERAL HOME LOAN BANK 10,000, ,967, ,717, , ,730, AA % Due FEDERAL HOME LOAN MORTGAGE 15,000, ,972, ,646, , ,667, AA CORPORATION 1.625% Due FEDERAL HOME LOAN BANK 25,000, ,946, ,861, , ,959, AA % Due FEDERAL HOME LOAN BANK ,000, ,927, ,893, , ,919, AA % Due FEDERAL HOME LOAN MORTGAGE CORPORATION % Due FEDERAL HOME LOAN MORTGAGE CORPORATION % Due FEDERAL HOME LOAN MORTGAGE CORPORATION % Due ASSOCIATION 5,000, ,021, ,929, , ,978, AA ,500, ,531, ,393, , ,467, AA ,500, ,531, ,393, , ,467, AA ,000, ,995, ,859, , ,890, AA % Due FEDERAL HOME LOAN BANK ,500, ,500, ,451, , ,465, AA % Due FEDERAL HOME LOAN BANK ,500, ,500, ,451, , ,465, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,917, , ,946, AA % Due FEDERAL HOME LOAN BANK ,500, ,500, ,458, , ,473, AA % Due ASSOCIATION-B 25,000, ,994, ,847, , ,088, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,764, , ,781, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,764, , ,781, AA % Due
23 FEDERAL HOME LOAN BANK 5,000, ,975, ,764, , ,781, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,764, , ,781, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,764, , ,781, AA % Due ,000, ,959, ,541, , ,567, AA ASSOCIATION 1.250% Due FEDERAL HOME LOAN MORTGAGE ,500, ,500, ,491, , ,498, AA CORPORATION % Due FEDERAL HOME LOAN MORTGAGE ,500, ,500, ,491, , ,498, AA CORPORATION % Due ,033,392,000 1,029,603, ,023,582, ,097, ,026,679, US INSTRUMENTALITIES INTER-AMERICAN DEVEL BK 25,000, ,824, ,998, ,998, AAA % Due IBRD DISCOUNT NOTE 20,000, ,911, ,991, ,991, AAA % Due IBRD DISCOUNT NOTE 25,000, ,820, ,928, ,928, AAA % Due IBRD DISCOUNT NOTE 40,000, ,739, ,886, ,886, AAA % Due INTER-AMERICAN DEVEL BK 25,000, ,792, ,864, ,864, AAA % Due INTL BK RECON & DEVELOP 2,500, ,500, ,483, ,483, AAA % Due INTL BK RECON & DEVELOP 2,500, ,500, ,483, ,483, AAA % Due INTL BK RECON & DEVELOP 2,500, ,500, ,483, ,483, AAA % Due INTL BK RECON & DEVELOP 2,500, ,500, ,483, ,483, AAA % Due INTL BK RECON & DEVELOP 4,500, ,488, ,470, ,471, AAA % Due INTL BK RECON & DEVELOP 10,000, ,991, ,851, , ,856, AAA
24 1.875% Due INTL BK RECON & DEVELOP 5,000, ,998, ,881, , ,894, AAA % Due INTL BK RECON & DEVELOP 20,000, ,969, ,372, , ,419, AAA % Due INTL BK RECON & DEVELOP 20,000, ,948, ,196, , ,316, AAA % Due INTER-AMERICAN DEVEL BK-FRN 10,000, ,000, ,965, , ,976, AAA % Due INTL BK RECON & DEVELOP 10,000, ,945, ,669, , ,722, AAA % Due ,500, ,430, ,010, , ,261, FLOATING RATE SECURITIES BERKSHIRE HATHAWAY FIN.-FRN 10,000, ,000, ,002, , ,017, AA % Due TORONTO-DOMINION BANK-FRN 10,000, ,000, ,007, , ,016, AA % Due US BANKCORP-FRN 12,200, ,198, ,208, , ,213, AA % Due BANK OF MONTREAL-FRN 7,000, ,000, ,027, , ,035, A % Due IBM CREDIT CORP-FRN 20,000, ,000, ,021, , ,107, A % Due SVENSKA HANDELSBANKEN AB-FRN 10,000, ,000, ,024, , ,062, AA % Due TORONTO-DOMINION BANK 10,000, ,000, ,008, , ,013, AA % Due PROCTER & GAMBLE CO. - FLOATER 10,500, ,573, ,526, , ,559, AA % Due BANK OF MONTREAL-FRN 5,000, ,000, ,027, , ,046, A % Due BERKSHIRE HATHAWAY FIN FRN 10,000, ,000, ,025, , ,040, AA % Due WELLS FARGO & COMPANY CB 25,000, ,000, ,993, , ,021, A FLOATER 2.569% Due US BANK NA CINCINNATI-FRN-1 10,000, ,000, ,015, , ,021, AA % Due
25 ROYAL BANK OF CANADA-FRN 15,000, ,000, ,029, , ,096, AA % Due WELLS FARGO & COMPANY CB ,000, ,000, ,988, , ,019, A FLOATER 2.640% Due APPLE INC.-FRN 5,000, ,000, ,999, , ,026, AA % Due BANK OF NY MELLON CORP.-FRN 5,000, ,000, ,058, , ,091, A % Due TORONTO-DOMINION BANK 7,000, ,000, ,008, , ,031, AA % Due CANADIAN IMPERIAL BK OF COMM NY 25,000, ,000, ,058, , ,106, A CD FLTR 2.647% Due TORONTO-DOMINION BANK 5,000, ,000, ,997, , ,999, AA % Due UNITED PARCEL SERVICE-FRN 10,000, ,000, ,999, , ,020, A % Due BANK OF NOVA SCOTIA 20,000, ,000, ,048, , ,344, A % Due US BANK NA OHIO-FLT 10,000, ,000, ,015, , ,151, AA % Due WELLS FARGO & COMPANY CB FLOATER ,000, ,000, ,008, ,008, A % Due WELLS FARGO & COMPANY-FRN ,000, ,000, ,081, , ,154, A % Due UNITED PARCEL SERVICE-FRN 5,000, ,000, ,034, , ,062, A % Due ,700, ,771, ,218, ,052, ,270, CORPORATE BONDS CHEVRON CORP 10,000, ,000, ,997, , ,079, AA % Due WELLS FARGO BANK NA 20,000, ,983, ,989, , ,142, A % Due EXXON MOBIL CORPORATION 5,000, ,013, ,984, , ,998, AA % Due COLGATE-PALMOLIVE CO 20,000, ,923, ,932, , ,977, AA
26 1.750% Due EXXON MOBIL CORPORATION 15,000, ,000, ,948, , ,983, AA % Due PEPSICO INC. 10,000, ,992, ,938, , ,015, A % Due M COMPANY 15,000, ,915, ,872, , ,964, AA % Due WALT DISNEY COMPANY/THE 5,000, ,983, ,926, , ,939, A % Due BANK OF MONTREAL 10,000, ,990, ,898, , ,941, A % Due PROCTER & GAMBLE CO 10,000, ,996, ,886, , ,889, AA % Due US BANK NA 10,000, ,991, ,941, , ,942, AA % Due ROYAL BANK OF CANADA 15,000, ,985, ,811, , ,861, AA % Due UNITED PARCEL SERVICE 20,000, ,968, ,447, , ,481, A % Due TORONTO-DOMINION BANK 10,000, ,983, ,717, , ,732, AA % Due ,000, ,725, ,293, , ,950, MUNICIPAL BONDS CALIFORNIA STATE TAXBL 10,000, ,062, ,031, , ,070, AA % Due TOTAL PORTFOLIO 4,554,370,000 4,536,554, ,508,421, ,675, ,517,097, ** TOTAL COST DOES NOT REFLECT AMORTIZATIONS OR ACCRETIONS BUT INCLUDES PURCHASED ACCRUED INTEREST. MARKET PRICES ARE DOWNLOADED THROUGH (IDC) INTERACTIVE DATA CORP. 26
27 27
28 San Mateo County Treasurer Asset Allocation as of Asset Allocation Repurchase Agreements 4.4% Certificate of Deposit 7.9% U.S. Instrumentalities LAIF 4.9% 1.4% Tax Muni 0.2% Government Agency 24.1% Commercial Paper 19.3% U.S. Treasuries 27.5% Corporate Securities 10.3% Government Agency Corporate Securities U.S. Treasuries Commercial Paper Repurchase Agreements Certificate of Deposit LAIF Tax Muni U.S. Instrumentalities Sector: Market Value:* Government Agency 1,086,786, % Corporate Securities 464,221, % U.S. Treasuries 1,241,813, % Commercial Paper 871,422, % Repurchase Agreements 200,000, % Certificate of Deposit 355,462, % LAIF 65,057, % Tax Muni 10,070, % U.S. Instrumentalities 222,261, % Totals 4,517,097, % *Market Values listed include accrued interest for the reported period. 28
29 San Mateo County Treasurer Credit Quality as of MOODY RATING Not Rated 1.4% P % A2 0.1% Aaa 61.3% A1 4.4% Aa3 1.4% Aa2 4.1% Aa1 0.7% Aaa Aa1 Aa2 Aa3 A1 A2 P 1 Not Rated Rating: Market Value:* Aaa 2,770,843, % Aa1 32,222, % Aa2 187,296, % Aa3 65,462, % A1 199,389, % A2 4,939, % P 1 1,191,885, % Not Rated 65,057, % Totals 4,517,097, % *Market Values listed include accrued interest for the reported period. 29
30 San Mateo County Treasurer Credit Quality as of S & P RATING A % Not Rated 1.4% AAA 4.9% A % A 0.1% A+ 5.7% AA+ 56.5% AA 4.6% AA 0.2% AAA AA+ AA AA A+ A A 1+ A 1 Not Rated Rating: Market Value:* AAA 222,261, % AA+ 2,553,609, % AA 10,017, % AA 209,724, % A+ 259,449, % A 5,091, % A ,373, % A 1 802,511, % Not Rated 65,057, % Totals 4,517,097, % *Market Values listed include accrued interest for the reported period. 30
31 DIVERSIFICATION REPORT Portf. Par Value 4,554,370, % = 136,631,100 US INSTRUMENTALITIES CORP. BOND-fltr CORPORATE BD COMM. PAPER CERTF. DEPOSIT TOTAL % to Portf. Apple Inc. 5,000,000 5,000, % Bank of Montreal 12,000,000 10,000,000 89,478, ,478, % Bank of New York 5,000,000 5,000, % Bank of Nova Scotia 20,000,000 60,000,000 80,000, % Berkshire Hathaway 20,000,000 20,000, % BYLNNG % Canadian Imperial Holding 25,000,000 50,000,000 25,000, ,000, % Colgate Palmolive 20,000, % Chevron Corp. 10,000,000 10,000, % Cisco Systems Inc % Cooperatieve RaboBank UA 131,000, ,000, % Exxon Mobil 20,000,000 20,000, % General Electric % Intl Bk Recon & Develop 139,500, ,500, % EXEMPT Inter American Develop bk 85,000,000 85,000, % EXEMPT IBM Corp. 20,000,000 20,000, % JP Morgan 125,000, ,000, % 3M Company 15,000,000 15,000, % LANDSBK BW NY % Merck & Co. Inc % Microsoft Corp % Mitsubishi UFJFinancial group 130,000, ,000, % Natixis NY Branch 135,000, ,000, % Proctor and Gamble (CAS) 20,500,000 10,000,000 30,500, % Pepsi Co 10,000,000 10,000, % Royal Bank of Canada 15,000,000 15,000,000 75,000, ,000, % State St Bk and Tr % Svenska Handelsbanken AB 10,000,000 10,000, % Swedbank 105,000,000 20,000, ,000, % Toronto Dominion Bank 32,000,000 10,000,000 75,000, ,000, % Toyota Motor Credit 125,000, ,000, % United Parcel Service 15,000,000 20,000,000 35,000, % US Bank of OHIO 32,200,000 10,000,000 25,000,000 67,200, % Walt Disney 5,000,000 5,000, % Wells Fargo 67,000,000 20,000,000 60,000, ,000, % 224,500, ,700, ,000, ,000, ,478,000 1,928,678, % **Securities guaranteed by International Bank Recon and Development are not to exceed 30% of pool nas outlined undet San Mateo County Investment Policy Section VII. Part I and Section X. 31
32 Last updated11/2/18 (IN 000'S) 11/1/ INFLOW NOVEMBER DECEMBER JANUARY FEBRUARY MARCH APRIL MAY JUNE JULY AUGUST SEPTEMBER OCTOBER TOTAL Secured $250,494.0 $353,868.7 $55,654.8 $26,860.8 $89,455.1 $133,967.2 $2,686.3 $ 24, $ - $ - $ 0.10 $ 172, $1,109,859.4 Unsecured $25.4 $0.0 $0.0 $2.1 $0.3 $0.0 $ - $ - $ - $ - $ 3.90 $ $70.9 Supplemental $9.0 $284.3 $0.0 $399.6 $474.2 $71.0 $268.0 $ $ $ 4.87 $ - $ 1, $3,072.7 Mixed $217,117.3 $560,945.6 $91,139.2 $26,158.3 $107,957.1 $319,618.6 $12,610.5 $ 15, $ 11, $ 36, $ 15, $ 127, $1,541,825.5 Automatics $4,117.3 $70,407.4 $41,696.7 $49,368.9 $81,237.4 $38,254.2 $36,420.0 $ 6, $ $ - $ 43, $ - $372,350.9 Unscheduled Sub. (Lockbox) $17,962.6 $43,053.3 $26,408.3 $13,925.6 $35,287.2 $24,940.3 $21,724.4 $ 73, $ 11, $ 9, $ 24, $ 25, $328,041.9 Treasurer's Deposit $162,738.4 $102,043.4 $100,908.2 $104,307.2 $85,046.3 $96,071.4 $142,410.9 $ 124, $ 103, $ 134, $ 99, $ 105, $1,360,858.7 Hospitals (Treasurer's Office) $11,567.9 $12,159.7 $32,317.2 $15,522.6 $11,674.1 $44,179.1 $12,031.6 $ 14, $ 14, $ 11, $ 17, $ 58, $254,595.1 Revenue Services $303.8 $221.1 $252.0 $232.2 $747.0 $229.0 $284.7 $ $ $ $ $ $3,537.1 Retirement Deposit $ - $ - $ - $ - $ - $ 10, $ - $ - $ $ - $ 1.60 $ - $10,022.6 Housing Authority $3,130.6 $6,931.9 $5,216.8 $3,580.2 $4,326.1 $5,304.4 $2,824.2 $ 6, $ 5, $ 2, $ 2, $ 3, $51,139.6 TRAN $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $8,893.3 $ 6, $ 37, $ - $ - $ - $52,667.3 MISC COUNTY $10,386.2 $18,775.5 $11,201.9 $14,006.6 $30,052.7 $31,973.3 $20,493.4 $ 6, $ 1, $ 7, $ 7, $ 5, $165,143.1 MISC SCHOOL $ - $ 38, $ 5, $ 6, $ 34, $84,702.4 Bond/BANS Proceeds $ 483, $ - $ - $2,200.0 $81,591.9 $ - $ 39, $ - $ 61, $ - $ 24, $ - $692,147.2 Coupon Interest $79.2 $123.9 $1,923.7 $2,081.0 $2,424.5 $4,671.7 $2,526.7 $ 1, $ 2, $ 1, $ 2, $ $21,624.8 LAIF Withdrawal $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $0.0 TOTAL CASH IN: $1,161,564.9 $1,168,814.8 $366,718.8 $258,645.1 $530,273.9 $709,280.2 $302,457.3 $279,753.4 $287,722.3 $208,297.6 $242,606.2 $535,524.6 $6,051,659.1 CASH OUT: Tax Apportionments: checks ($0.8) $ - $ - $ - $ - $ (32.00) $ - $ - $ - $ - $ - $ - ($32.8) Outside Withdrawals ($50,996.7) ($101,514.9) ($9,856.9) ($2,160.0) ($8,907.4) ($68,381.7) ($16,441.5) $ (38,827.30) $ (30,954.25) $ (20,515.22) $ (22,453.60) $ (23,671.30) ($394,680.8) Returned Checks/Miscellaneous ($19.1) ($64.7) ($23.8) ($4.9) ($17.5) ($3.1) ($40.1) $ (6.80) $ (5.85) $ (7.94) $ (38.30) $ (130.90) ($363.0) TRAN $ - $ - $ - $ - $ - $0.0 $ (40,124.30) $ - $ - $ - $ - ($40,124.3) Misc County ($7,453.9) ($44,898.6) ($48,599.3) ($53,889.9) ($71,207.9) ($32,509.6) ($27,260.1) $ (42,612.40) $ (20,794.45) $ (2,812.05) $ (35,232.80) $ (29,186.40) ($416,457.4) Misc Schools $ - $ (564.63) $ (3,169.96) $ (3,298.80) ($7,033.4) GO Bond/BANS Payments $0.0 $0.0 ($14,354.1) ($738.8) ($20,159.9) ($5,650.4) $ - $ - $ (44,906.16) $ (738.75) $ - $ (7,105.90) ($93,654.0) Housing Authority ($4,721.2) ($5,856.2) ($5,871.0) ($3,089.7) ($4,292.9) ($3,901.1) ($4,113.2) $ (4,791.90) $ (4,756.70) $ (2,716.39) $ (2,421.10) $ (3,415.40) ($49,946.8) Payroll - County ($46,648.1) ($45,122.2) ($45,046.1) ($45,257.4) ($62,156.6) ($57,286.1) ($45,612.0) $ (46,649.50) $ (29,781.38) $ (53,043.86) $ (46,313.40) $ (51,725.40) ($574,642.0) Schools ($70,390.1) ($88,008.9) ($53,601.8) ($71,719.1) ($88,016.2) ($57,825.0) ($71,519.9) $ (91,363.80) $ (48,113.06) $ (15,728.58) $ (65,601.40) $ (71,090.20) ($792,978.0) Retirement ($16,133.7) ($16,268.2) ($17,072.1) ($16,443.5) ($16,529.2) ($17,824.7) ($17,344.0) $ (17,420.90) $ 15, $ (275.53) $ (17,756.50) $ (16,165.00) ($154,041.8) School Vendors ($51,883.5) ($61,783.4) ($35,233.2) ($57,823.4) ($57,186.7) ($47,940.2) ($52,060.9) $ (65,878.60) $ (55,177.35) $ (58,550.21) $ (45,654.30) $ (65,730.90) ($654,902.7) Controllers ($64,095.4) ($211,827.1) ($131,228.9) ($69,089.8) ($110,756.8) ($164,892.3) ($80,744.2) $ (125,112.90) $ (96,955.23) $ (35,064.64) $ (53,974.00) $ (63,633.00) ($1,207,374.3) SMCCCD ($21,926.3) ($28,894.0) ($16,827.2) ($17,949.2) ($19,400.6) ($12,825.4) ($21,056.6) $ (21,011.20) $ (12,391.34) $ (9,265.58) $ (30,996.10) $ (21,300.70) ($233,844.2) Other ARS Debits ($15,720.3) ($27,561.6) ($18,249.2) ($19,324.7) ($24,760.5) ($17,479.8) ($20,922.3) $ (16,255.60) $ (22,752.01) $ (16,243.67) $ (16,609.30) $ (18,952.60) ($234,831.6) LAIF $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $ - $0.0 TOTAL CASH OUT: ($349,989.1) ($631,799.8) ($395,963.6) ($357,490.4) ($483,392.2) ($486,551.4) ($357,114.8) ($510,055.2) ($351,960.9) $ (218,132.38) $ (340,349.60) ($372,107.7) ($4,854,907.0) TOTAL ESTIMATED CASH FLOW 811, ,015.0 (29,244.8) (98,845.3) 46, ,728.8 (54,657.5) (230,301.8) (64,238.6) (9,834.8) (97,743.4) 163,416.9 $1,196,752.1 QUARTERLY CASH FLOW TOTALS 1,348,590.8 (81,208.4) $1,267,382.4 **MATURING SECURITIES $436,300.0 $211,000.0 $743,900.0 $622,187.0 $255,000.0 $191,500.0 $125,000.0 $50,000.0 $50,805.0 $60,000.0 $65,000.0 $80,000.0 $2,890,692.0 ** Excludes any overnight investment Possible Calls $50,000.0 $0.0 $50,000.0 $75,000.0 $250,000.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $425,
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