Quarterly Investment Report

Transcription

1 Quarterly Investment Report As of December 31, 2015 P.O. Box 1247 Fresno, CA Telephone

2 Table of Contents Portfolio Summary 1 Portfolio Compliance 2 Holdings Allocation by Issuer 11 Portfolio Statistics & Projected Cash Flows 15 Pool Participant Breakdown 16 Holdings Report 18 Quarterly Economic and Market Update 35 Board of Supervisors: Andreas Borgeas, Buddy Mendes, Brian Pacheco, Henry Perea, Debbie Poochigian County Executive: Jean Rousseau

3 Portfolio Summary 12/31/2015 County of Fresno SECTOR ALLOCATION MATURITY DISTRIBUTION CREDIT QUALITY (MOODY'S) Muni 0.3% Tsy 4.1% CP 0.0% Corp 19.9% LAIF 1.7% ABS 0.1% MMF/Cash 13.8% 45% 40% 35% 30% 25% 20% 15% 10% 33.7% 15.2% 20.1% 14.9% 16.0% P-1 AAA AA A 0.0% 6.4% 13.8% 64.2% Per Book Value Agy 60.0% 5% 0% Per Book Value ACCOUNT SUMMARY PORTFOLIO BOOK YIELD HISTORY TOP ISSUERS 0.0% 0-1Y 1-2Y 2-3Y 3-4Y 4-5Y 5+Y NR NR: Not Rated 15.6% 0% 25% 50% 75% Market Value Book Value* Unrealized G/L Par Value Net Asset Value Book Yield Years to Maturity Effective Duration *Book Value is Amortized 12/31/15 9/30/15 $2,875,092,121 $2,446,471,779 $2,871,314,909 $2,424,778,230 $3,777,212 $21,693,549 $2,855,236,221 $2,409,748,753 $ $ % 1.35% % 1.45% 1.40% 1.35% 1.30% 1.25% 1.20% Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Issuer FNMA FHLMC FHLB Bank of the West MMF U.S. Treasury JPMorgan Wells Fargo Apple Berkshire Hathaway Bank of New York LAIF John Deere GE Capital Caterpillar Chevron Corp Per Book Value % Portfolio 23.4% 17.8% 17.7% 12.4% 4.1% 3.4% 3.2% 2.1% 2.0% 2.0% 1.7% 1.6% 1.6% 1.5% 1.2% 1

4 Investment Policy Compliance 12/31/2015 County of Fresno Item / Sector Parameters In Compliance 11.0 Weighted Average Maturity Weighted Average Maturity (WAM) must be less than 3.5 years Yes 2.0 Yrs 8.1 U.S. Treasuries No sector limit, no issuer limit, max maturity 5 years Yes 4.1% 8.2 U.S. Agencies No sector limit, no issuer limit, max maturity 5 years Yes 60.0% 8.3 Banker Acceptances 8.4 Commercial Paper 40% limit, Issue is eligible for purchase by Federal Reserve. Issuer is among 150 largest banks based on total asset size; max maturity 180 days; rated A-1 or P-1 40% limit, Corporation organized and operating in the US with total assets of $500mm. 10% of issuer's CP / 10% in any one issuer; max maturity 270 days; minimum short-term rating of A-1 by S&P or P-1 by Moody's, minimum long-term rating of A by S&P or its equivalent or better ranking by a nationally recognized rating service Yes 0.0% Yes 0.0% 8.5 Negotiable CDs 30% limit (combined with 8.6.1), Issued by natl or state chartered bank or savings assoc., or a state licensed branch of a foreign bank that is among 150 largest banks in total asset size; minimum shortterm rating of P-1 or A-1 OR issuer meets rating requirements; 5% in any one issuer Yes 0.0% 8.6 Non-Negotiable CDs 50% limit, Issued by natl or state chartered bank or savings assoc. FDIC insurance OR full collateralization of 110% govt or 150% mortgages. Contract for Deposit in place. 15% in any one issue; short-term rating is a minimum of A-1 by S&P or P-1 by Moody's. Yes 0.0% Placement CDs 8.7 Repurchase Agreements 15% limit (30% combined with 8.5), Issued by natl or state chartered bank or savings association or credit union that uses a placement entity. Deposit Placement Agreement in Place. 15%, Tri-party agreement in place. 102% collateralization of US treasuries or agencies, BA's, CP, Negotiable CD's; Overnight or weekend maturities. Yes 0.0% Yes 0.0% 8.8 Medium-Term Notes 30% limit, Organized and operating in the US or state licensed depository institution; max maturity 5 years; rated A or better by S&P, or its equivalent or better by a nationally recognized rating service Yes 19.9% 8.9 L.A.I.F No sector limit, no issuer limit, California State's deposit limit $65 million; Current investment policy limits $50 million Yes 50 million 2

5 Investment Policy Compliance (Continued) 12/31/2015 County of Fresno Item / Sector Parameters In Compliance 8.10 Mutual Funds/ Money Markets Funds 20% limit, 10% per issuer; Registered with SEC, 5 years experience, $500mm AUM OR rated by AAAm, Aaa-mf, AAA-m by not less than two nationally recognized rating agencies Yes 0.0% 8.11 ABS and MBS 10% limit combined. Security must be AA rated by one rating agency, with a A or better rating for the underlying Yes 0.1% 8.12 Money Held from Pledged Assets Invest according to statutory provision OR according to entity providing issuance Yes 0.0% 8.13 External Managers Invest Per Policy Yes 0.0% 8.14 State of California Debt 10% limit, Registered State warrants or CA treasury notes, including revenue producing entities controlled or operated by the State or by a department, board, agency, or authority of the State; 5 years max maturity Yes 0.3% Cash NA NA 13.8% Compliance The County Treasuer believes the Treasury Investment Pool contains sufficent cash flow from liquid and maturing securities, bank deposits, and incoming cash to meet the next six months of expected expenditures. Review and Monitoring FTN Financial Main Street Advisors, the County s investment advisor, currently monitors the Treasury Department s investment activities. Additional Information Securities are purchased with the expectation that they will be held to maturity, so unrealized gains or losses are not reflected in the yield calculations. The market values of securities were taken from pricing services provided by Interactive Data Corporation. 3

6 Historical Book Values 12/31/2015 County of Fresno $3.0 $2.9 $2.8 $2.7 $2.6 $2.5 $2.4 $2.3 $2.2 $2.1 $2.0 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Billions Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal Year 2014 $2.310 $2.291 $2.319 $2.282 $2.285 $2.551 $2.615 $2.411 $2.411 $2.617 $2.531 $2.335 Fiscal Year 2015 $2.375 $2.256 $2.269 $2.323 $2.333 $2.649 $2.685 $2.519 $2.515 $2.778 $2.790 $2.637 Fiscal Year 2016 $2.531 $2.291 $2.290 $2.354 $2.365 $2.673 Figures in Billions, Average Daily Balance 4

7 Historical Book Values Per Fiscal Year 12/31/2015 County of Fresno $3.0 $2.9 FY16 FY15 FY14 $2.8 $2.7 $2.6 Billions $2.5 $2.4 $2.3 $2.2 $2.1 $2.0 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal Year 2014 $2.310 $2.291 $2.319 $2.282 $2.285 $2.551 $2.615 $2.411 $2.411 $2.617 $2.531 $2.335 Fiscal Year 2015 $2.375 $2.256 $2.269 $2.323 $2.333 $2.649 $2.685 $2.519 $2.515 $2.778 $2.790 $2.637 Fiscal Year 2016 $2.531 $2.291 $2.290 $2.354 $2.365 $2.673 Figures in Billions, Average Daily Balance 5

8 Weighted Average Maturity and Aging Report 12/31/2015 County of Fresno 3.0 Weighted Average Maturity History Years Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun Month-End Book Yield vs 1-Year Treasury Note Index Yield (24 month moving avg) Portfolio Index Percent Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Index: 24 Month Moving Average of the BofA Merrill 1-Year US Treasury Note Index 6

9 Book Yield per WAM per Percent of Portfolio 12/31/2015 County of Fresno Book Yield 2.20% 2.10% Bubble Size = Percent of Portfolio Muni 2.00% 1.90% 1.80% 1.70% Corp 1.60% Agy 1.50% Agy 1.40% Tsy 1.30% Tsy CP 1.20% MMF/Cash 1.10% 1.00% Corp ABS 0.90% ABS 0.80% Muni 0.70% 0.60% 0.50% 0.40% 0.30% MMF/Cash 0.20% 0.10% 0.00% Weighted Average Maturity (Years) 7

10 Book YTM Per 6-Month Maturity Intervals 12/31/2015 County of Fresno Years Book Yield % of Portfolio* 2.50% Bubble Size = Maturity's % of Portfolio 0 to % 28.78% 2.25% 2.07%.5 to % 4.96% 1.0 to % 9.07% 1.5 to % 6.13% 2.0 to % 16.03% 2.00% 1.75% 1.50% 1.59% 1.90% 1.78% 1.82% 1.70% 2.5 to % 4.08% 3.0 to % 11.06% 3.5 to % 3.90% Book Yield 1.25% 1.00% 0.86% 1.25% 0.96% 0.91% 4.0 to % 15.11% 0.75% 4.5 to % 0.88% 0.50% *Based on Book Value 0.25% 0.00% Maturity Intervals 8

11 Next Twelve Months Maturities 12/31/2015 County of Fresno $500 $450 $450.3 $400 $350 $300 Millions $250 $200 $205.8 $150 $100 $70.8 $75.8 $50 $22.3 $51.8 $41.9 $43.8 $0 $0.6 $1.3 $1.8 $0.6 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Maturities Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 $450.3 $70.8 $22.3 $0.6 $75.8 $205.8 $51.8 $41.9 $43.8 $1.3 $1.8 $0.6 Par Value in Millions 9

12 Historical Sector Allocation 12/31/2015 County of Fresno 80% 75% 70% 65% 60% 55% 50% 45% 40% 35% 30% 25% AGY TSY CP MMF CORP ABS 20% 15% 10% 5% 0% Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Sector Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Agency 72.2% 72.4% 71.1% 63.8% 67.5% 64.1% 69.2% 67.8% 60.4% 66.3% 66.1% 60.0% Treasury 1.7% 1.7% 1.7% 1.5% 1.6% 1.7% 1.9% 1.9% 2.9% 3.1% 3.0% 4.1% Commercial Paper 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% LAIF 1.9% 0.8% 1.9% 1.8% 1.9% 1.9% 2.2% 1.8% 2.0% 2.1% 2.1% 1.7% Muni 0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.4% 0.3% Corporates 16.3% 17.2% 17.8% 16.9% 19.1% 18.4% 20.5% 20.8% 20.4% 21.6% 21.1% 19.9% ABS 0.4% 0.4% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3% 0.2% 0.2% 0.2% 0.1% MMF 7.1% 7.1% 6.8% 15.3% 9.2% 13.2% 5.5% 7.0% 13.7% 6.3% 7.1% 13.8% Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 10

13 Holdings Allocation by Issuer 12/31/2015 County of Fresno FEDERAL NATIONAL MORTGAGE FEDERAL HOME MORTGAGE CO FEDERAL HOME LOAN BANK Bank of the West MM US TREASURY NOTE JP MORGAN WELLS FARGO APPLE INC Berkshire Hathaway BANK OF NEW YORK LAIF John Deere G.E. CAPITAL Caterpillar Chevron Corp Toyota Motor Credit FEDERAL FARM CREDIT BANK BANK OF THE WEST VAULT STATE OF CALIFORNIA PNC BANK NA Merck & Co Citibank Credit Card HONDA AUTO REC COCA-COLA ENTERPRISES International Business Machine CISCO SYSTEMS INC PACCAR FINANCIAL CORP HOME DEPOT INC PEPSICO INC BRANCH BANKING & TRUST SMART TRUST American Express Credit Account BANK OF AMERICA MTN VOLKSWAGON AUTO LEASE TRUST US BANK NA NISSAN AUTO REC OWNERS TRUST BMW VEHICLE OWNER TRUST CENTERPOINT ENERGY TRANS. BOND CARMAX AUTO OWNER TRUST AEP TEXAS CENTRAL TRANSITION ALLY AUTO RECEIVABLES TRUST Blackrock Provident TFund BANK OF AMERICA AUTO TRUST 2.1% 2.0% 2.0% 1.7% 1.6% 1.6% 1.5% 1.2% 1.1% 1.0% 0.9% 0.5% 0.3% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.1% 3.4% 3.2% 0% 5% 10% 15% 20% 25% 12.4% 17.8% 17.7% 23.4% 11

14 Historical Earnings and Book Rate of Return Performance 12/31/2015 County of Fresno $40 $35 $30 FY 2014 FY 2015 FY 2016 Fiscal Year-to- Earnings Millions $25 $20 $15 $10 $5 $0 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal YTD ($Mil) FY 2014 FY 2015 FY 2016 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun $2.3 $4.7 $7.3 $9.8 $12.2 $15.0 $17.7 $20.7 $23.4 $26.2 $29.0 $31.6 $2.3 $4.9 $7.5 $10.5 $13.3 $16.2 $19.2 $22.1 $25.8 $29.0 $32.5 $35.5 $2.3 $5.1 $7.8 $10.6 $13.4 $ % 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% Book Rate of Return vs Benchmark Portfolio Benchmark 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal YTD Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Book Rate of Rtn 1.34% 1.45% 1.45% 1.38% 1.45% 1.43% Benchmark* 0.17% 0.18% 0.19% 0.20% 0.22% 0.25% Variance 1.17% 1.27% 1.26% 1.18% 1.23% 1.18% *Benchmark: BofA Merrill 1-Year US Treasury Note Index (24 Month Moving Average) 12

15 Historical Book Rate of Return Performance 12/31/2015 County of Fresno 1.8% 1.6% 1.4% 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% Portfolio vs Benchmark Portfolio Benchmark 0.0% FY14 FY15 FYTD16 FY17 FY18 FY19 FY20 FY21 FY22 FY23 FY24 FY25 3.0% Portfolio vs. Benchmark: Annual Variance 2.5% 2.0% 1.5% 1.47% 1.27% 1.18% 1.0% 0.5% 0.0% FY14 FY15 FYTD16 FY17 FY18 FY19 FY20 FY21 FY22 FY23 FY24 FY25 Fiscal YTD Portfolio Benchmark* Variance FY14 FY15 FYTD16 FY17 FY18 FY19 FY20 FY21 FY22 FY23 FY24 FY % 1.43% 1.43% 0.15% 0.16% 0.25% 1.47% 1.27% 1.18% 13

16 Investment Activity 12/31/2015 County of Fresno 280 Number of Positions at Month End Positions Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Positions Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec Number of Transactions Purchases and Redemptions* (Excluding LGIP & MMF) Purchases Redemptions 0 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 *Redemptions include maturities, calls, and sells (excluding paydowns) Purchases Redemptions Total Transactions Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec

17 Portfolio Statistics & Projected Cash Flows 12/31/2015 County of Fresno Summary of Portfolio Market Value Amortize Cost Value Unrealized Gain/Loss % on cost Yield weighted on cost value Years to Maturity weighted on cost value Avg Dollar-Weighted Quality Rating December 2015 $2,875,092,121 $2,871,314, % 1.33% 1.98 AA+ September 2015 $2,446,471,779 $2,424,778, % 1.35% 2.05 AA+ June 2015 $2,629,991,201 $2,614,015, % 1.30% 2.16 AA+ March 2015 $2,607,343 $2,581, % 1.38% 2.20 AA+ December 2014 $2,747,939 $2,734, % 1.31% 2.60 AA+ Projection of Future Cash Flows Available to Monthly Monthly Required Mat. Actual Inv. Invest > 6 Months Month Receipts (1) Disburs. Difference Invest Balance Maturities (3) (4) Beginning Balance (2) / (162.4) / (74.4) / / / (193.9) / (44.5) Totals (271.1) % 100% 1. Monthly Receipt and Monthly Disbursement amounts are estimates based upon historical cash flows and may change as actual cash flow information becomes available 2. Beginning balance: is taken from LAIF, Bank of the Wes MMF, and Bank of the West Service Bank. 3. Actual Investment Maturities: excludes vault. 4. Available to Invest > 6 Months: is calculated as Actual Investment Maturities less Required Investment Maturities. 15

18 Pool Participant Breakdown 12/31/2015 County of Fresno Voluntary 6.6% Entity Portfolio $ Portfolio % County 952,051, % Property Tax 123,644, % Schools 1,311,765, % Special Districts 332,286, % Voluntary 193,299, % Total 2,913,048, % Special Districts 11.4% County 32.7% Schools 45.0% Property Tax 4.2% 16

19 County of Fresno Portfolio Management Portfolio Summary December 31, 2015 Investments Par Value Market Value Book Value % of Portfolio Term Days to Maturity YTM 360 Equiv. Bank Accounts 27,223, ,223, ,223, Federal Agency Coupons 1,715,035, ,724,995, ,721,825, , Medium Term Notes 565,726, ,579, ,702, , Treasury Notes 113,745, ,676, ,015, ,382 1, Mutual Funds 23, , , Local Agency Investment Funds 50,000, ,000, ,000, Cash in Vault 14,855, ,855, ,855, BOW Money Market Account 355,071, ,071, ,071, Asset Backed Securities (0 day lag) 3,556, ,551, ,560, , Municipal Bonds 10,000, ,116, ,036, ,784 1, Investments 2,855,236, ,875,092, ,871,314, % 1, Total Earnings Current Year Average Daily Balance Effective Rate of Return December 31 Month Ending Fiscal Year To 2,995, ,245, ,673,006, ,391,698, % 1.43% Vicki Crow, Treasurer/ Tax Collector Reporting period 12/01/ /31/2015 Portfolio FSNO AC Run : 01/19/ :38 PM (PRF_PM1) Report Ver

20 County of Fresno Portfolio Management Portfolio Details - Investments December 31, 2015 Page 1 CUSIP Investment # Bank Accounts SYS03400A Issuer Average Balance Purchase Par Value Market Value Book Value 03400A BANK OF THE WEST 27,223, ,223, ,223, Stated Rate YTM 365 S&P Moody's Maturity Subtotal and Average 46,956, ,223, ,223, ,223, Federal Agency Coupons 31331KNM FEDERAL FARM CREDIT BANK 06/10/2011 4,115, ,141, ,115, AA Aaa 06/10/ KNM FEDERAL FARM CREDIT BANK 06/10/ ,000, ,064, ,004, AA Aaa 06/10/ KNA FEDERAL FARM CREDIT BANK 12/18/2013 1,000, ,027, ,025, AA Aaa 06/08/ EDLR FEDERAL FARM CREDIT BANK 05/27/2014 5,000, ,012, ,005, AA Aaa 05/15/ EEW FEDERAL FARM CREDIT BANK 06/15/ ,000, ,962, ,963, AA Aaa 06/15/ SZ FEDERAL HOME LOAN BANK 06/20/ ,000, ,161, ,030, AA Aaa 06/10/ SZ FEDERAL HOME LOAN BANK 06/20/ ,600, ,758, ,632, AA Aaa 06/10/ SZ FEDERAL HOME LOAN BANK 07/07/ ,000, ,193, ,027, AA Aaa 06/10/ SZ FEDERAL HOME LOAN BANK 07/08/ ,000, ,322, ,033, AA Aaa 06/10/ SZ FEDERAL HOME LOAN BANK 07/11/ ,000, ,193, ,018, AA Aaa 06/10/ SZ FEDERAL HOME LOAN BANK 08/24/ ,370, ,462, ,426, AA Aaa 06/10/ K FEDERAL HOME LOAN BANK 08/24/2011 8,000, ,053, ,033, AA Aaa 05/10/ XFPR FEDERAL HOME LOAN BANK 09/28/2011 4,310, ,403, ,386, AA Aaa 06/10/ SZ FEDERAL HOME LOAN BANK 09/28/2011 2,345, ,360, ,354, AA Aaa 06/10/ RN FEDERAL HOME LOAN BANK 03/11/2013 1,000, ,001, ,000, AA Aaa 03/11/ UU FEDERAL HOME LOAN BANK 07/01/ ,000, ,692, ,291, AA Aaa 06/08/ UU FEDERAL HOME LOAN BANK 07/12/ ,000, ,015, ,804, AA Aaa 06/08/ UU FEDERAL HOME LOAN BANK 07/26/ ,150, ,219, ,785, AA Aaa 06/08/ UU FEDERAL HOME LOAN BANK 12/12/2013 3,940, ,073, ,063, AA Aaa 06/08/ DT FEDERAL HOME LOAN BANK 12/12/2013 6,135, ,130, ,110, AA Aaa 06/08/ XRFZ FEDERAL HOME LOAN BANK 12/18/2013 2,000, ,164, ,153, AA Aaa 06/08/ BR FEDERAL HOME LOAN BANK 01/03/ ,000, ,379, ,914, AA Aaa 12/14/ EE FEDERAL HOME LOAN BANK 06/18/2014 5,000, ,015, ,961, AA Aaa 06/14/ A2FH FEDERAL HOME LOAN BANK 09/02/ ,000, ,128, ,005, AA Aaa 06/14/ EE FEDERAL HOME LOAN BANK 09/10/ ,000, ,031, ,926, AA Aaa 06/14/ A2FH FEDERAL HOME LOAN BANK 09/10/ ,000, ,064, ,968, AA Aaa 06/14/ X72S FEDERAL HOME LOAN BANK 12/09/ ,000, ,261, ,186, AA Aaa 05/15/ X72S FEDERAL HOME LOAN BANK 12/19/ ,500, ,086, ,955, AA Aaa 05/15/ HU FEDERAL HOME LOAN BANK 06/12/ ,000, ,964, ,999, AA Aaa 06/12/ HU FEDERAL HOME LOAN BANK 06/26/ ,615, ,592, ,574, AA Aaa 06/12/ A6GG FEDERAL HOME LOAN BANK 09/22/ ,000, ,980, ,011, AA Aaa 09/22/2017 Portfolio FSNO AC Run : 01/19/ :38 PM (PRF_PM2) Report Ver

21 County of Fresno Portfolio Management Portfolio Details - Investments December 31, 2015 Page 2 CUSIP Investment # Federal Agency Coupons 3137EACT4 3137EACT4 3137EACT4 3137EACT4 3137EACW7 3137EACW7 3137EAAG4 3137EAAD1 3137EADC0 3137EAAJ8 3137EAAM1 3137EACT4 3137EACW7 3137EADF3 3134G3B EADJ5 3137EADF3 3137EADJ5 3137EADL0 3137EADL0 3137EABA6 3137EADH9 3137EADJ5 3137EADH9 3137EADL0 3137EADN6 3137EADP1 3137EADP1 3137EABP3 3137EADN6 3137EADK2 3137EADK2 3137EADM8 3137EADM8 3137EADM8 3137EADR7 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's FEDERAL HOME MORTGAGE CO 06/08/ ,000, ,076, ,025, AA Aaa 05/27/ FEDERAL HOME MORTGAGE CO 06/09/ ,000, ,076, ,029, AA Aaa 05/27/ FEDERAL HOME MORTGAGE CO 06/15/ ,000, ,192, ,061, AA Aaa 05/27/ FEDERAL HOME MORTGAGE CO 06/30/ ,000, ,153, ,045, AA Aaa 05/27/ FEDERAL HOME MORTGAGE CO 08/25/ ,000, ,160, ,095, AA Aaa 08/25/ FEDERAL HOME MORTGAGE CO 10/13/ ,000, ,160, ,070, AA Aaa 08/25/ FEDERAL HOME MORTGAGE CO 10/13/ ,000, ,515, ,433, AA Aaa 07/18/ FEDERAL HOME MORTGAGE CO 03/14/ , , , AA Aaa 04/18/ FEDERAL HOME MORTGAGE CO 04/02/ , , , AA Aaa 03/08/ FEDERAL HOME MORTGAGE CO 04/02/ , , , AA Aaa 10/18/ FEDERAL HOME MORTGAGE CO 04/02/ , , , AA Aaa 02/16/ FEDERAL HOME MORTGAGE CO 04/02/ , , , AA Aaa 05/27/ FEDERAL HOME MORTGAGE CO 04/02/ , , , AA Aaa 08/25/ FEDERAL HOME MORTGAGE CO 05/30/ , , , AA Aaa 05/12/ FEDERAL HOME MORTGAGE CO 08/15/ ,000, ,872, ,963, AA Aaa 08/15/ FEDERAL HOME MORTGAGE CO 08/09/ ,000, ,958, ,031, AA Aaa 07/28/ FEDERAL HOME MORTGAGE CO 08/09/ ,000, ,030, ,100, AA Aaa 05/12/ FEDERAL HOME MORTGAGE CO 07/31/ , , , AA Aaa 07/28/ FEDERAL HOME MORTGAGE CO 10/25/ , , , AA Aaa 09/29/ FEDERAL HOME MORTGAGE CO 11/01/ , , , AA Aaa 09/29/ FEDERAL HOME MORTGAGE CO 11/30/ , , , AA Aaa 11/17/ FEDERAL HOME MORTGAGE CO 12/17/ ,000, ,995, ,187, AA Aaa 06/29/ FEDERAL HOME MORTGAGE CO 12/18/ ,000, ,950, ,098, AA Aaa 07/28/ FEDERAL HOME MORTGAGE CO 12/18/ ,000, ,995, ,172, AA Aaa 06/29/ FEDERAL HOME MORTGAGE CO 11/30/2012 1,000, , ,004, AA Aaa 09/29/ FEDERAL HOME MORTGAGE CO 01/16/ , , , AA Aaa 01/12/ FEDERAL HOME MORTGAGE CO 03/08/ , , , AA Aaa 03/07/ FEDERAL HOME MORTGAGE CO 03/28/2013 1,000, , , AA Aaa 03/07/ FEDERAL HOME MORTGAGE CO 06/14/ , , , AA Aaa 06/13/ FEDERAL HOME MORTGAGE CO 07/12/ ,000, ,839, ,726, AA Aaa 01/12/ FEDERAL HOME MORTGAGE CO 12/11/ ,000, ,833, ,796, AA Aaa 08/01/ FEDERAL HOME MORTGAGE CO 12/11/ ,000, ,777, ,731, AA Aaa 08/01/ FEDERAL HOME MORTGAGE CO 12/19/ ,000, ,727, ,641, AA Aaa 10/02/ FEDERAL HOME MORTGAGE CO 12/19/ ,000, ,727, ,642, AA Aaa 10/02/ FEDERAL HOME MORTGAGE CO 12/19/ ,000, ,863, ,821, AA Aaa 10/02/ FEDERAL HOME MORTGAGE CO 05/06/ ,000, ,845, ,893, AA Aaa 05/01/2020 Portfolio FSNO AC Run : 01/19/ :38 PM (PRF_PM2) Maturity 19

22 County of Fresno Portfolio Management Portfolio Details - Investments December 31, 2015 Page 3 CUSIP Investment # Federal Agency Coupons 3137EADR7 3137EADN6 3134G44G0 3136FPCF2 3136FPAS6 3136FPCF2 3135G0CM3 3136FPDR5 3135G0GY MH MS G0GY3 3135G0ES MH G0GY MS M2D4 3135G0CM3 3135G0JA ADM1 3135G0MZ3 3135G0MZ3 3135G0MZ3 3135G0PQ0 3135G0RT2 3135G0TG8 3135G0TG8 3135G0WJ8 3135G0WJ8 3135G0XP3 3135G0WJ8 3135G0YE7 3135G0YM9 3135G0WJ8 3135G0YM9 3135G0YM9 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's FEDERAL HOME MORTGAGE CO 05/08/ ,000, ,845, ,887, AA Aaa 05/01/ FEDERAL HOME MORTGAGE CO 08/28/ ,000, ,839, ,969, AA Aaa 01/12/ FEDERAL HOME MORTGAGE CO 10/29/2015 5,000, ,925, ,994, AA Aaa 05/22/ FEDERAL NATIONAL MORTGAGE 05/13/2011 5,000, ,013, ,000, AA Aaa 02/25/ FEDERAL NATIONAL MORTGAGE 07/08/2011 5,450, ,465, ,452, AA Aaa 02/25/ FEDERAL NATIONAL MORTGAGE 10/07/ ,000, ,054, ,023, AA Aaa 02/25/ FEDERAL NATIONAL MORTGAGE 10/13/ ,000, ,108, ,957, AA Aaa 09/28/ FEDERAL NATIONAL MORTGAGE 11/30/ ,500, ,619, ,567, AA Aaa 09/15/ FEDERAL NATIONAL MORTGAGE 01/30/ ,000, ,187, ,012, AA Aaa 01/30/ FEDERAL NATIONAL MORTGAGE 01/25/ , , , AA Aaa 03/15/ FEDERAL NATIONAL MORTGAGE 03/14/ ,000, ,630, ,576, AA Aaa 07/15/ FEDERAL NATIONAL MORTGAGE 04/02/2012 3,750, ,764, ,753, AA Aaa 01/30/ FEDERAL NATIONAL MORTGAGE 04/02/ , , , AA Aaa 11/15/ FEDERAL NATIONAL MORTGAGE 04/02/ , , , AA Aaa 03/15/ FEDERAL NATIONAL MORTGAGE 04/02/ , , , AA Aaa 01/30/ FEDERAL NATIONAL MORTGAGE 04/02/ , , , AA Aaa 07/15/ FEDERAL NATIONAL MORTGAGE 04/02/ , , , AA Aaa 12/15/ FEDERAL NATIONAL MORTGAGE 04/02/ , , , AA Aaa 09/28/ FEDERAL NATIONAL MORTGAGE 05/30/ , , , AA Aaa 04/27/ FEDERAL NATIONAL MORTGAGE 06/14/ , , , AA Aaa 06/12/ FEDERAL NATIONAL MORTGAGE 08/30/ , , , AA Aaa 08/28/ FEDERAL NATIONAL MORTGAGE 09/26/ , , , AA Aaa 08/28/ FEDERAL NATIONAL MORTGAGE 11/01/ , , , AA Aaa 08/28/ FEDERAL NATIONAL MORTGAGE 11/01/ , , , AA Aaa 10/26/ FEDERAL NATIONAL MORTGAGE 12/21/ , , , AA Aaa 12/20/ FEDERAL NATIONAL MORTGAGE 02/12/ , , , AA Aaa 02/08/ FEDERAL NATIONAL MORTGAGE 02/28/ , , , AA Aaa 02/08/ FEDERAL NATIONAL MORTGAGE 05/30/ , , , AA Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 05/30/ , , , AA Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 06/28/ , , , AA Aaa 07/05/ FEDERAL NATIONAL MORTGAGE 08/30/ , , , AA Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 08/30/ , , , AA Aaa 08/26/ FEDERAL NATIONAL MORTGAGE 09/25/ , , , AA Aaa 09/18/ FEDERAL NATIONAL MORTGAGE 12/12/ ,000, ,625, ,496, AA Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 11/22/2013 1,000, ,014, ,009, AA Aaa 09/18/ FEDERAL NATIONAL MORTGAGE 11/27/ , , , AA Aaa 09/18/2018 Portfolio FSNO AC Run : 01/19/ :38 PM (PRF_PM2) Maturity 20

23 County of Fresno Portfolio Management Portfolio Details - Investments December 31, 2015 Page 4 CUSIP Investment # Federal Agency Coupons 3135G0WJ8 3135G0TG8 3135G0YT4 3135G0ZA4 3135G0ZA4 3135G0ZA4 3135G0YT4 3135G0ZA4 3135G0ZE6 3135G0ZA4 3135G0ZE6 3136FTZZ5 3135G0ZE6 3135G0ZE6 3135G0A G0A G0A G0A G0A G0D G0A G0RM7 3135G0D G0A G0D G0D G0A G0D G0D G0D G0D G0A G0A G0D G0A78 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's FEDERAL NATIONAL MORTGAGE 12/18/ ,000, ,718, ,604, AA Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 12/20/ ,000, ,868, ,790, AA Aaa 02/08/ FEDERAL NATIONAL MORTGAGE 01/31/ , , , AA Aaa 11/27/ FEDERAL NATIONAL MORTGAGE 02/25/ ,000, ,134, ,043, AA Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 03/03/ ,000, ,335, ,152, AA Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 03/03/ ,000, ,134, ,061, AA Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 03/20/ , , , AA Aaa 11/27/ FEDERAL NATIONAL MORTGAGE 03/20/ , , , AA Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 06/18/2014 5,000, ,038, ,982, AA Aaa 06/20/ FEDERAL NATIONAL MORTGAGE 10/01/2014 5,000, ,067, ,020, AA Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 10/01/ ,000, ,229, ,903, AA Aaa 06/20/ FEDERAL NATIONAL MORTGAGE 12/09/ ,000, ,090, ,047, AA Aaa 01/30/ FEDERAL NATIONAL MORTGAGE 12/11/ ,000, ,076, ,049, AA Aaa 06/20/ FEDERAL NATIONAL MORTGAGE 12/19/ ,000, ,199, ,077, AA Aaa 06/20/ FEDERAL NATIONAL MORTGAGE 03/04/ ,000, ,924, ,940, AA Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 03/06/ ,000, ,886, ,926, AA Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 05/08/ ,000, ,962, ,001, AA Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 05/08/ ,000, ,962, ,001, AA Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 06/03/ ,000, ,943, ,994, AA Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 10/29/ ,000, ,750, ,969, AA Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 10/29/ ,000, ,962, ,115, AA Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 10/30/ ,060, ,936, ,085, AA Aaa 10/30/ FEDERAL NATIONAL MORTGAGE 10/30/2015 5,950, ,875, ,932, AA Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 11/04/ ,000, ,962, ,085, AA Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 11/04/2015 5,000, ,937, ,972, AA Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 11/04/2015 5,000, ,937, ,972, AA Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 11/06/ ,000, ,962, ,061, AA Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 11/06/2015 5,000, ,937, ,961, AA Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/17/ ,000, ,626, ,647, AA Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/17/ ,000, ,750, ,749, AA Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/22/ ,000, ,875, ,913, AA Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/22/ ,000, ,924, ,144, AA Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 12/23/ ,000, ,962, ,071, AA Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 12/23/ ,000, ,875, ,906, AA Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/23/ ,000, ,924, ,141, AA Aaa 01/21/2020 Maturity Portfolio FSNO AC Run : 01/19/ :38 PM (PRF_PM2)

24 County of Fresno Portfolio Management Portfolio Details - Investments December 31, 2015 Page 5 CUSIP Investment # Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's Maturity Subtotal and Average 1,647,931, ,715,035, ,724,995, ,721,825, Medium Term Notes 0258M0DG American Express Credit Accoun 07/29/ , , , A A 07/29/ AH APPLE INC 05/03/ , , , AA Aa 05/03/ AJ APPLE INC 07/08/2013 6,579, ,525, ,454, AA Aa 05/03/ AJ APPLE INC 08/15/ ,000, ,910, ,815, AA Aa 05/03/ AJ APPLE INC 08/16/2013 6,265, ,214, ,142, AA Aa 05/03/ AJ APPLE INC 08/27/2013 7,000, ,943, ,829, AA Aa 05/03/ AJ APPLE INC 09/10/ ,000, ,918, ,726, AA Aa 05/03/ AJ APPLE INC 09/11/2015 9,164, ,089, ,094, AA Aa 05/03/ BD APPLE INC 12/28/ ,000, ,989, ,021, AA Aa 05/06/ BD Berkshire Hathaway 03/13/ ,000, ,182, ,177, AA Aa 01/31/ BH Berkshire Hathaway 07/05/ ,000, ,016, ,941, AA Aa 02/09/ BY Berkshire Hathaway 08/15/ ,000, ,148, ,009, AA Aa 08/15/ BE Berkshire Hathaway 08/27/2013 5,124, ,561, ,501, AA Aa 05/15/ BY Berkshire Hathaway 08/27/2013 1,000, ,014, , AA Aa 08/15/ BX Berkshire Hathaway 08/15/ , , , AA Aa 08/15/ BX Berkshire Hathaway 10/11/ , , , AA Aa 08/15/ BX Berkshire Hathaway 10/15/ , , , AA Aa 08/15/ BL Berkshire Hathaway 10/01/ ,000, ,061, ,974, AA Aa 08/14/ AA BANK OF NEW YORK 03/13/2013 5,000, ,027, ,050, A A 06/20/ HBS BANK OF NEW YORK 02/08/ , , , A A 01/15/ HBS BANK OF NEW YORK 02/11/ , , , A A 01/15/ HBS BANK OF NEW YORK 03/05/ , , , A A 01/15/ HCL BANK OF NEW YORK 08/27/2013 5,000, ,034, ,987, A A 08/01/ HCL BANK OF NEW YORK 12/13/ ,000, ,068, ,054, A A 08/01/ HCU BANK OF NEW YORK 09/16/2014 2,500, ,503, ,498, A A 05/15/ HCU BANK OF NEW YORK 09/16/2014 5,000, ,007, ,999, A A 05/15/ HCW BANK OF NEW YORK 10/01/2014 8,501, ,526, ,467, A A 09/11/ AA BANK OF NEW YORK 02/25/2015 2,385, ,397, ,414, A A 06/20/ HCZ BANK OF NEW YORK 03/04/2015 3,000, ,967, ,007, A A 02/24/ HCJ BANK OF NEW YORK 09/11/2015 4,481, ,465, ,460, A A 03/06/ HDD BANK OF NEW YORK 12/28/2015 5,000, ,019, ,085, A A 08/17/ HBP BANK OF NEW YORK 12/28/2015 5,000, ,416, ,549, A A 01/15/ TLR BANK OF AMERICA MTN 11/14/ , , , A A 11/14/ NAH BRANCH BANKING & TRUST 03/04/ , , , A A 04/03/2017 Portfolio FSNO AC Run : 01/19/ :38 PM (PRF_PM2)

25 County of Fresno Portfolio Management Portfolio Details - Investments December 31, 2015 Page 6 CUSIP Investment # Medium Term Notes 14912L5T L5T L5T L5N L5E L3K AE AC AE AE AY RAT AU G6K G5C G3U G3U G3U G7J G7M AP GU ERN ESB EQV ESD ESF ESK ERY HJR HJR EJY HHL HJR EJY EJU4 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's Caterpillar 09/10/2013 5,000, ,074, ,992, A A 09/06/ Caterpillar 12/06/2013 7,675, ,789, ,788, A A 09/06/ Caterpillar 12/26/2013 2,500, ,537, ,526, A A 09/06/ Caterpillar 02/18/2015 9,610, ,609, ,614, A A 02/26/ Caterpillar 02/25/2015 5,000, ,017, ,042, A A 06/01/ Caterpillar 09/24/ ,000, ,788, ,865, A A 09/01/ Chevron Corp 07/05/ ,000, ,948, ,976, AA Aa 06/24/ Chevron Corp 06/24/ , , , AA Aa 06/24/ Chevron Corp 08/27/2013 3,320, ,303, ,292, AA Aa 06/24/ Chevron Corp 12/06/ ,000, ,948, ,025, AA Aa 06/24/ Chevron Corp 12/28/ ,000, ,943, ,003, AA Aa 11/17/ CISCO SYSTEMS INC 03/03/ , , , AA A 03/03/ COCA-COLA ENTERPRISES 09/25/ , , , AA Aa 09/01/ G.E. CAPITAL 12/19/2012 5,000, ,032, ,002, AA A 11/20/ G.E. CAPITAL 06/28/ , , , AA A 05/09/ G.E. CAPITAL 08/15/2013 5,000, ,453, ,382, AA A 05/01/ G.E. CAPITAL 09/10/ ,000, ,906, ,653, AA A 05/01/ G.E. CAPITAL 12/13/ ,000, ,906, ,854, AA A 05/01/ G.E. CAPITAL 01/13/2015 2,040, ,039, ,044, AA A 05/15/ G.E. CAPITAL 03/04/ ,350, ,388, ,439, AA A 01/09/ HOME DEPOT INC 03/06/ , , , A A 03/01/ International Business Machine 08/20/ , , , AA Aa 01/05/ John Deere 12/19/2012 1,001, ,002, ,004, A A 03/15/ John Deere 07/05/2013 1,925, ,907, ,900, A A 03/12/ John Deere 09/10/2013 3,500, ,851, ,783, A A 09/10/ John Deere 10/11/ , , , A A 10/11/ John Deere 12/26/ ,000, ,085, ,942, A A 12/13/ John Deere 03/05/ ,000, ,971, ,006, A A 03/04/ John Deere 12/28/2015 9,000, ,768, ,869, A A 01/15/ JP MORGAN 01/28/2014 5,000, ,021, ,998, A A 01/28/ JP MORGAN 03/05/ ,000, ,042, ,038, A A 01/28/ JP MORGAN 02/18/ , , , A A 02/15/ JP MORGAN 07/23/2014 6,740, ,557, ,580, A A 04/23/ JP MORGAN 09/16/2014 5,000, ,021, ,017, A A 01/28/ JP MORGAN 01/13/2015 5,000, ,989, ,008, A A 02/15/ JP MORGAN 02/18/2015 5,000, ,002, ,001, A A 02/26/2016 Portfolio FSNO AC Run : 01/19/ :38 PM (PRF_PM2) Maturity 23

26 County of Fresno Portfolio Management Portfolio Details - Investments December 31, 2015 Page 7 CUSIP Investment # Medium Term Notes 46623EJU HKA HHX HJA EJV YAB RL CE LAP RCG P6S P5E TBP TCA TCP HMC QU WBH WBH BFG BFG BFQ BFW DT BFD BFW5 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's JP MORGAN 02/24/2015 1,649, ,649, ,649, A A 02/26/ JP MORGAN 03/04/ ,000, ,837, ,963, A A 01/23/ JP MORGAN 04/24/ ,000, ,083, ,088, A A 03/01/ JP MORGAN 05/08/2015 5,000, ,051, ,056, A A 07/05/ JP MORGAN 12/17/ ,541, ,542, ,564, A A 02/26/ Merck & Co 03/20/ , , , AA A 01/15/ PACCAR FINANCIAL CORP 05/16/ , , , A A 05/16/ PEPSICO INC 03/24/ , , , A A 02/26/ PNC BANK NA 10/24/ , , , A A 11/01/ PNC BANK NA 01/28/ , , , A A 01/27/ Toyota Motor Credit 07/05/2013 5,000, ,985, ,944, AA Aa 10/05/ Toyota Motor Credit 09/20/ , , , AA Aa 09/15/ Toyota Motor Credit 10/01/ ,000, ,017, ,975, AA Aa 07/18/ Toyota Motor Credit 09/01/ ,000, ,980, ,036, AA Aa 01/12/ Toyota Motor Credit 09/11/2015 6,000, ,985, ,014, AA Aa 07/13/ US Bank NA 04/01/ , , , AA A 01/30/ WELLS FARGO 03/13/ ,000, ,124, ,117, A A 06/15/ WELLS FARGO 03/13/ ,000, ,800, ,809, A A 02/01/ WELLS FARGO 03/13/2013 7,000, ,560, ,567, A A 02/01/ WELLS FARGO 07/05/ ,000, ,957, ,897, A A 01/16/ WELLS FARGO 08/15/2013 5,000, ,978, ,957, A A 01/16/ WELLS FARGO 01/15/ ,000, ,083, ,966, A A 01/15/ WELLS FARGO 02/25/2015 1,635, ,628, ,635, A A 06/02/ WELLS FARGO 02/25/2015 1,870, ,979, ,993, A A 06/15/ WELLS FARGO 05/08/ ,000, ,099, ,142, A A 05/08/ WELLS FARGO 05/08/ ,000, ,924, ,017, A A 06/02/2017 Maturity Treasury Notes QR SY TW UA KS PS3 Subtotal and Average 526,125, ,726, ,579, ,702, US TREASURY NOTE 04/02/ , , , AA Aaa 06/30/ US TREASURY NOTE 06/01/2012 3,105, ,091, ,103, AA Aaa 05/31/ US TREASURY NOTE 10/31/2012 1,000, , ,000, AA Aaa 10/31/ US TREASURY NOTE 12/28/ , , , AA Aaa 11/30/ US TREASURY NOTE 01/29/ , , , AA Aaa 02/29/ US TREASURY NOTE 01/29/ , , , AA Aaa 01/31/2016 Portfolio FSNO AC Run : 01/19/ :38 PM (PRF_PM2)

27 County of Fresno Portfolio Management Portfolio Details - Investments December 31, 2015 Page 8 CUSIP Investment # Treasury Notes UJ UZ VQ KS PS VQ QR WD RE SY C A SD B F ND8 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's US TREASURY NOTE 01/31/2013 1,100, ,094, ,099, AA Aaa 01/31/ US TREASURY NOTE 05/30/ , , , AA Aaa 04/30/ US TREASURY NOTE 08/01/ , , , AA Aaa 07/31/ US TREASURY NOTE 12/27/ , , , AA Aaa 02/29/ US TREASURY NOTE 12/27/ , , , AA Aaa 01/31/ US TREASURY NOTE 12/27/ , , , AA Aaa 07/31/ US TREASURY NOTE 12/27/ , , , AA Aaa 06/30/ US TREASURY NOTE 03/21/ , , , AA Aaa 10/31/ US TREASURY NOTE 03/21/ , , , AA Aaa 08/31/ US TREASURY NOTE 03/25/ , , , AA Aaa 05/31/ US TREASURY NOTE 03/31/2014 1,000, ,003, , AA Aaa 02/28/ US TREASURY NOTE 04/21/ , , , AA Aaa 12/31/ US TREASURY NOTE 10/09/ ,000, ,966, ,928, AA Aaa 01/31/ US TREASURY NOTE 10/09/ ,000, ,070, ,008, AA Aaa 01/31/ US TREASURY NOTE 09/24/ ,000, ,909, ,081, AA Aaa 10/15/ US TREASURY NOTE 12/23/ ,000, ,003, ,276, AA Aaa 05/15/2020 Maturity Subtotal and Average 86,307, ,745, ,676, ,015, Mutual Funds 09248U718 SYS16450 SYS05831 SYS Blackrock Provident TFund 23, , , BLACKROCK LIQUIDITY FED FUND 07/01/ FIDELITY /01/ FIDELITY /01/ AAA AAA AAA AAA Aaa Aaa Aaa Aaa Local Agency Investment Funds SYS05291 Subtotal and Average 170, , , , LAIF 50,000, ,000, ,000, Cash in Vault SYS03399 Subtotal and Average 50,000, ,000, ,000, ,000, VAULT 07/01/ ,855, ,855, ,855, Subtotal and Average 2,095, ,855, ,855, ,855, Portfolio FSNO AC Run : 01/19/ :38 PM (PRF_PM2)

28 County of Fresno Portfolio Management Portfolio Details - Investments December 31, 2015 Page 9 CUSIP Investment # BOW Money Market Account SYS16800 Issuer Average Balance Purchase Par Value Market Value Book Value Bank of the West MM 355,071, ,071, ,071, Stated Rate YTM 365 S&P Moody's Maturity Subtotal and Average Asset Backed Securities (0 day lag) 299,615, ,071, ,071, ,071, AAE AEP TEXAS CENTRAL TRANSITION 03/25/ , , , AAA Aaa 01/15/ JAB ALLY AUTO RECEIVABLES TRUST 01/07/ , , , AAA 05/15/ XAC BMW VEHICLE OWNER TRUST 11/06/ , , , Aaa 11/27/ YAD BANK OF AMERICA AUTO TRUST 03/04/2014 2, , , AAA Aaa 12/15/ LAC CARMAX AUTO OWNER TRUST 04/23/ , , , AAA Aaa 10/16/ EFE Citibank Credit Card 09/20/ , , , AAA Aaa 09/07/ WAA CENTERPOINT ENERGY TRANS. BOND 05/13/ , , , AAA Aaa 04/15/ JAC HONDA AUTO REC 02/27/ , , , Aaa 11/21/ LAC NISSAN AUTO REC OWNERS TRUST 07/30/ , , , Aaa 11/15/ CAD SMART TRUST 03/14/ , , , Aaa 02/14/ PAC VOLKSWAGON AUTO LEASE TRUST 11/13/ , , , AAA 04/20/2018 Municipal Bonds 13063CKL3 Subtotal and Average 3,767, ,556, ,551, ,560, STATE OF CALIFORNIA 06/12/ ,000, ,116, ,036, A A 05/01/2019 Subtotal and Average 10,036, ,000, ,116, ,036, Total and Average 2,673,006, ,855,236, ,875,092, ,871,314, Portfolio FSNO AC Run : 01/19/ :38 PM (PRF_PM2)

29 County of Fresno Inventory by Maturity Report December 31, 2015 Sec. CUSIP Investment # Fund Type Issuer SYS03399 SYS03400A SYS05291 SYS05831 SYS15497 SYS16450 SYS U GU HBS HBS HBS YAB PS PS3 3136FPCF2 3136FPAS6 3136FPCF CE L5N EJU EJU EJV KS KS AP HHX RN MH MH EAAD AH G5C K RL A Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS PA2 VAULT 07/01/ ,855, ,855, ,855, TREAS PA1 BANK OF THE WEST 07/01/ ,223, ,223, ,223, TREAS LA5 LAIF 07/01/ ,000, ,000, ,000, TREAS LA1 FIDELITY /01/ TREAS LA1 FIDELITY /01/ TREAS LA1 BLACKROCK LIQUIDITY 07/01/ TREAS LA3 Bank of the West MM 07/01/ ,071, ,071, ,071, TREAS LA1 Blackrock Provident TFund 07/01/ , , , TREAS MTN International Business 08/20/ , /05/ , , TREAS MTN BANK OF NEW YORK 02/08/ , /15/ , ,071 80, TREAS MTN BANK OF NEW YORK 02/11/ , /15/ , ,068 90, TREAS MTN BANK OF NEW YORK 03/05/ , /15/ , , , TREAS MTN Merck & Co 03/20/ , /15/ , , , TREAS TRC US TREASURY NOTE 01/29/ , /31/ , , , TREAS TRC US TREASURY NOTE 12/27/ , /31/ , , TREAS FAC FEDERAL NATIONAL 05/13/2011 5,000, /25/2016 5,000, ,749 5,000, TREAS FAC FEDERAL NATIONAL 07/08/2011 5,452, /25/2016 5,450, ,693 5,450, TREAS FAC FEDERAL NATIONAL 10/07/ ,023, /25/ ,000, ,602 20,000, TREAS MTN PEPSICO INC 03/24/ , /26/ , , TREAS MTN Caterpillar 02/18/2015 9,614, /26/2016 9,610, ,610, TREAS MTN JP MORGAN 02/18/2015 5,001, /26/2016 5,000, ,000, TREAS MTN JP MORGAN 02/24/2015 1,649, /26/2016 1,649, ,649, TREAS MTN JP MORGAN 12/17/ ,564, /26/ ,541, ,541, TREAS TRC US TREASURY NOTE 01/29/ , /29/ , , , TREAS TRC US TREASURY NOTE 12/27/ , /29/ , , TREAS MTN HOME DEPOT INC 03/06/ , /01/ , , TREAS MTN JP MORGAN 04/24/ ,088, /01/ ,000, ,000, TREAS FAC FEDERAL HOME LOAN 03/11/2013 1,000, /11/2016 1,000, ,096 1,000, TREAS FAC FEDERAL NATIONAL 01/25/ , /15/ , , , TREAS FAC FEDERAL NATIONAL 04/02/ , /15/ , , , TREAS FAC FEDERAL HOME 03/14/ , /18/ , , , TREAS MTN APPLE INC 05/03/ , /03/ , , , TREAS MTN G.E. CAPITAL 06/28/ , /09/ , , , TREAS FAC FEDERAL HOME LOAN 08/24/2011 8,033, /10/2016 8,000, ,721 8,000, TREAS MTN PACCAR FINANCIAL CORP05/16/ , /16/ , , , Portfolio FSNO AC Run : 01/22/ :18 IM (PRF_IM) Report Ver

30 County of Fresno Inventory by Maturity Report Page 2 Sec. CUSIP Investment # Fund Type Issuer 3137EACT4 3137EACT4 3137EACT4 3137EACT4 3137EACT KNM KNM SZ SZ SZ SZ SZ SZ6 3133XFPR SZ QU AC QR QR4 3135G0XP HJA MS MS EAAG4 0258M0DG BX BX BX8 3137EACW7 3137EACW7 3137EACW7 3135G0YE AU4 3136FPDR P5E2 3135G0CM3 3135G0CM ESD2 3137EAAJ LAP Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS FAC FEDERAL HOME 06/08/ ,025, /27/ ,000, ,815 10,000, TREAS FAC FEDERAL HOME 06/09/ ,029, /27/ ,000, ,814 10,000, TREAS FAC FEDERAL HOME 06/15/ ,061, /27/ ,000, ,808 25,000, TREAS FAC FEDERAL HOME 06/30/ ,045, /27/ ,000, ,793 20,000, TREAS FAC FEDERAL HOME 04/02/ , /27/ , , , TREAS FAC FEDERAL FARM CREDIT 06/10/2011 4,115, /10/2016 4,115, ,827 4,115, TREAS FAC FEDERAL FARM CREDIT 06/10/ ,004, /10/ ,000, ,827 10,000, TREAS FAC FEDERAL HOME LOAN 06/20/ ,030, /10/ ,000, ,817 25,000, TREAS FAC FEDERAL HOME LOAN 06/20/ ,632, /10/ ,600, ,817 24,600, TREAS FAC FEDERAL HOME LOAN 07/07/ ,027, /10/ ,000, ,800 30,000, TREAS FAC FEDERAL HOME LOAN 07/08/ ,033, /10/ ,000, ,799 50,000, TREAS FAC FEDERAL HOME LOAN 07/11/ ,018, /10/ ,000, ,796 30,000, TREAS FAC FEDERAL HOME LOAN 08/24/ ,426, /10/ ,370, ,752 14,370, TREAS FAC FEDERAL HOME LOAN 09/28/2011 4,386, /10/2016 4,310, ,717 4,310, TREAS FAC FEDERAL HOME LOAN 09/28/2011 2,354, /10/2016 2,345, ,717 2,345, TREAS MTN WELLS FARGO 03/13/ ,117, V06/15/ ,000, ,190 10,000, TREAS MTN Chevron Corp 06/24/ , /24/ , , , TREAS TRC US TREASURY NOTE 04/02/ , /30/ , , , TREAS TRC US TREASURY NOTE 12/27/ , /30/ , , TREAS FAC FEDERAL NATIONAL 06/28/ , /05/ , , , TREAS MTN JP MORGAN 05/08/2015 5,056, /05/2016 5,000, ,000, TREAS FAC FEDERAL NATIONAL 03/14/ ,576, /15/ ,000, ,584 25,000, TREAS FAC FEDERAL NATIONAL 04/02/ , /15/ , , , TREAS FAC FEDERAL HOME 10/13/ ,433, /18/ ,000, ,740 20,000, TREAS MTN American Express Credit 07/29/ , /29/ , , , TREAS MTN Berkshire Hathaway 08/15/ , /15/ , , , TREAS MTN Berkshire Hathaway 10/11/ , /15/ , , , TREAS MTN Berkshire Hathaway 10/15/ , /15/ , , , TREAS FAC FEDERAL HOME 08/25/ ,095, /25/ ,000, ,827 20,000, TREAS FAC FEDERAL HOME 10/13/ ,070, /25/ ,000, ,778 20,000, TREAS FAC FEDERAL HOME 04/02/ , /25/ , , , TREAS FAC FEDERAL NATIONAL 08/30/ , /26/ , , , TREAS MTN COCA-COLA 09/25/ , /01/ , , , TREAS FAC FEDERAL NATIONAL 11/30/ ,567, /15/ ,500, ,751 11,500, TREAS MTN Toyota Motor Credit 09/20/ , /15/ , , , TREAS FAC FEDERAL NATIONAL 10/13/ ,957, /28/ ,000, ,812 30,000, TREAS FAC FEDERAL NATIONAL 04/02/ , /28/ , , , TREAS MTN John Deere 10/11/ , /11/ , , , TREAS FAC FEDERAL HOME 04/02/ , /18/ , , , TREAS MTN PNC BANK NA 10/24/ , /01/ , , , V - Security with variable rate change. Portfolio FSNO AC Run : 01/22/ :18 IM (PRF_IM) Report Ver

31 County of Fresno Inventory by Maturity Report Page 3 Sec. CUSIP Investment # Fund Type Issuer 06050TLR1 3135G0ES M2D YAD AAE RCG1 3135G0GY3 3135G0GY3 3135G0GY HMC BD EJY EJY6 3137EAAM RAT9 3137EADC ERN NAH8 3135G0JA BFD7 3137EADF3 3137EADF JAB G7J SY SY L5E BFW BFW ADM DT AA AA8 3137EADH9 3137EADH9 3137EADJ5 3137EADJ5 3137EADJ5 3134G3B G0MZ Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS MTN BANK OF AMERICA MTN 11/14/ , /14/ , , , TREAS FAC FEDERAL NATIONAL 04/02/ , /15/ , , , TREAS FAC FEDERAL NATIONAL 04/02/ , /15/ , , , TREAS MC3 BANK OF AMERICA AUTO 03/04/2014 3, /15/2016 2, ,017 2, TREAS MC3 AEP TEXAS CENTRAL 03/25/ , /15/ , , , TREAS MTN PNC BANK NA 01/28/ , /27/ , , , TREAS FAC FEDERAL NATIONAL 01/30/ ,012, /30/ ,000, ,827 50,000, TREAS FAC FEDERAL NATIONAL 04/02/2012 3,753, /30/2017 3,750, ,764 3,750, TREAS FAC FEDERAL NATIONAL 04/02/ , /30/ , , , TREAS MTN US Bank NA 04/01/ , /30/ , , , TREAS MTN Berkshire Hathaway 03/13/ ,177, /31/ ,000, ,420 21,000, TREAS MTN JP MORGAN 02/18/ , /15/ , , , TREAS MTN JP MORGAN 01/13/2015 5,008, /15/2017 5,000, ,000, TREAS FAC FEDERAL HOME 04/02/ , /16/ , , , TREAS MTN CISCO SYSTEMS INC 03/03/ , /03/ , , , TREAS FAC FEDERAL HOME 04/02/ , /08/ , , , TREAS MTN John Deere 12/19/2012 1,004, /15/2017 1,001, ,547 1,001, TREAS MTN BRANCH BANKING & 03/04/ , /03/ , , , TREAS FAC FEDERAL NATIONAL 05/30/ , /27/ , , , TREAS MTN WELLS FARGO 05/08/ ,142, /08/ ,000, ,000, TREAS FAC FEDERAL HOME 05/30/ , /12/ , , , TREAS FAC FEDERAL HOME 08/09/ ,100, /12/ ,000, ,737 20,000, TREAS MC3 ALLY AUTO RECEIVABLES01/07/ , /15/ , ,224 47, TREAS MTN G.E. CAPITAL 01/13/2015 2,044, /15/2017 2,040, ,040, TREAS TRC US TREASURY NOTE 06/01/2012 3,103, /31/2017 3,105, ,825 3,105, TREAS TRC US TREASURY NOTE 03/25/ , /31/ , , , TREAS MTN Caterpillar 02/25/2015 5,042, /01/2017 5,000, ,000, TREAS MTN WELLS FARGO 02/25/2015 1,635, /02/2017 1,635, ,635, TREAS MTN WELLS FARGO 05/08/ ,017, /02/ ,000, ,000, TREAS FAC FEDERAL NATIONAL 06/14/ , /12/ , , , TREAS MTN WELLS FARGO 02/25/2015 1,993, /15/2017 1,870, ,870, TREAS MTN BANK OF NEW YORK 03/13/2013 5,050, /20/2017 5,000, ,560 5,000, TREAS MTN BANK OF NEW YORK 02/25/2015 2,414, /20/2017 2,385, ,385, TREAS FAC FEDERAL HOME 12/17/ ,187, /29/ ,000, ,655 50,000, TREAS FAC FEDERAL HOME 12/18/ ,172, /29/ ,000, ,654 50,000, TREAS FAC FEDERAL HOME 08/09/ ,031, /28/ ,000, ,814 25,000, TREAS FAC FEDERAL HOME 07/31/ , /28/ , , , TREAS FAC FEDERAL HOME 12/18/ ,098, /28/ ,000, ,683 30,000, TREAS FAC FEDERAL HOME 08/15/ ,963, /15/ ,000, ,826 50,000, TREAS FAC FEDERAL NATIONAL 08/30/ , /28/ , , , Portfolio FSNO AC Run : 01/22/ :18 IM (PRF_IM) Report Ver

32 County of Fresno Inventory by Maturity Report Page 4 Sec. CUSIP Investment # Fund Type Issuer 3135G0MZ3 3135G0MZ L3K5 3130A6GG6 3137EADL0 3137EADL0 3137EADL P6S F LAC0 3135G0PQ TW LAC4 3137EABA G6K JAC XAC UA6 3135G0RT2 3137EADN6 3137EADN6 3137EADN TCA BFG BFG UJ WBH WBH8 3135G0TG8 3135G0TG8 3135G0TG BH CAD HCJ6 3137EADP1 3137EADP ESB WAA PAC UZ Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS FAC FEDERAL NATIONAL 09/26/ , /28/ , , , TREAS FAC FEDERAL NATIONAL 11/01/ , /28/ , , , TREAS MTN Caterpillar 09/24/ ,865, /01/ ,000, ,000, TREAS FAC FEDERAL HOME LOAN 09/22/ ,011, /22/ ,000, ,000, TREAS FAC FEDERAL HOME 10/25/ , /29/ , , , TREAS FAC FEDERAL HOME 11/01/ , /29/ , , , TREAS FAC FEDERAL HOME 11/30/2012 1,004, /29/2017 1,000, ,764 1,000, TREAS MTN Toyota Motor Credit 07/05/2013 4,944, /05/2017 5,000, ,553 5,000, TREAS TRC US TREASURY NOTE 09/24/ ,081, /15/ ,000, ,000, TREAS MC3 CARMAX AUTO OWNER 04/23/ , /16/ , , , TREAS FAC FEDERAL NATIONAL 11/01/ , /26/ , , , TREAS TRC US TREASURY NOTE 10/31/2012 1,000, /31/2017 1,000, ,826 1,000, TREAS MC3 NISSAN AUTO REC 07/30/ , /15/ , , , TREAS FAC FEDERAL HOME 11/30/ , /17/ , , , TREAS MTN G.E. CAPITAL 12/19/2012 5,002, /20/2017 5,000, ,797 5,000, TREAS MC3 HONDA AUTO REC 02/27/ , /21/ , , , TREAS MC3 BMW VEHICLE OWNER 11/06/ , /27/ , , , TREAS TRC US TREASURY NOTE 12/28/ , /30/ , , , TREAS FAC FEDERAL NATIONAL 12/21/ , /20/ , , , TREAS FAC FEDERAL HOME 01/16/ , /12/ , , , TREAS FAC FEDERAL HOME 07/12/ ,726, /12/ ,000, ,645 20,000, TREAS FAC FEDERAL HOME 08/28/ ,969, /12/ ,000, ,000, TREAS MTN Toyota Motor Credit 09/01/ ,036, /12/ ,000, ,000, TREAS MTN WELLS FARGO 07/05/2013 9,897, /16/ ,000, ,656 10,000, TREAS MTN WELLS FARGO 08/15/2013 4,957, /16/2018 5,000, ,615 5,000, TREAS TRC US TREASURY NOTE 01/31/2013 1,099, /31/2018 1,100, ,826 1,100, TREAS MTN WELLS FARGO 03/13/ ,809, /01/ ,000, ,786 10,000, TREAS MTN WELLS FARGO 03/13/2013 7,567, /01/2018 7,000, ,786 7,000, TREAS FAC FEDERAL NATIONAL 02/12/ , /08/ , , , TREAS FAC FEDERAL NATIONAL 02/28/ , /08/ , , , TREAS FAC FEDERAL NATIONAL 12/20/ ,790, /08/ ,000, ,511 20,000, TREAS MTN Berkshire Hathaway 07/05/2013 9,941, /09/ ,000, ,680 10,000, TREAS MC3 SMART TRUST 03/14/ , /14/ , , , TREAS MTN BANK OF NEW YORK 09/11/2015 4,460, /06/2018 4,481, ,481, TREAS FAC FEDERAL HOME 03/08/ , /07/ , , , TREAS FAC FEDERAL HOME 03/28/ , /07/2018 1,000, ,805 1,000, TREAS MTN John Deere 07/05/2013 1,900, /12/2018 1,925, ,711 1,925, TREAS MC3 CENTERPOINT ENERGY 05/13/ , /15/ , , , TREAS MC3 VOLKSWAGON AUTO 11/13/ , /20/ , , , TREAS TRC US TREASURY NOTE 05/30/ , /30/ , , , Portfolio FSNO AC Run : 01/22/ :18 IM (PRF_IM) Report Ver

33 County of Fresno Inventory by Maturity Report Page 5 Sec. CUSIP Investment # Fund Type Issuer 36962G3U G3U G3U AJ AJ AJ AJ AJ AJ BE0 3135G0WJ8 3135G0WJ8 3135G0WJ8 3135G0WJ8 3135G0WJ UU UU UU UU DT3 3133XRFZ KNA4 3137EABP AE AE AE TCP VQ VQ HCL HCL BY BY RE L5T L5T L5T EFE EQV4 3135G0YM Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS MTN G.E. CAPITAL 08/15/2013 5,382, /01/2018 5,000, ,720 5,000, TREAS MTN G.E. CAPITAL 09/10/ ,653, /01/ ,000, ,694 10,000, TREAS MTN G.E. CAPITAL 12/13/ ,854, /01/ ,000, ,600 10,000, TREAS MTN APPLE INC 07/08/2013 6,454, /03/2018 6,579, ,760 6,579, TREAS MTN APPLE INC 08/15/ ,815, /03/ ,000, ,722 11,000, TREAS MTN APPLE INC 08/16/2013 6,142, /03/2018 6,265, ,721 6,265, TREAS MTN APPLE INC 08/27/2013 6,829, /03/2018 7,000, ,710 7,000, TREAS MTN APPLE INC 09/10/2013 9,726, /03/ ,000, ,696 10,000, TREAS MTN APPLE INC 09/11/2015 9,094, /03/2018 9,164, ,164, TREAS MTN Berkshire Hathaway 08/27/2013 5,501, /15/2018 5,124, ,722 5,124, TREAS FAC FEDERAL NATIONAL 05/30/ , /21/ , , , TREAS FAC FEDERAL NATIONAL 05/30/ , /21/ , , , TREAS FAC FEDERAL NATIONAL 08/30/ , /21/ , , , TREAS FAC FEDERAL NATIONAL 12/12/ ,496, /21/ ,000, ,621 40,000, TREAS FAC FEDERAL NATIONAL 12/18/ ,604, /21/ ,000, ,615 30,000, TREAS FAC FEDERAL HOME LOAN 07/01/ ,291, /08/ ,000, ,803 50,000, TREAS FAC FEDERAL HOME LOAN 07/12/ ,804, /08/ ,000, ,792 30,000, TREAS FAC FEDERAL HOME LOAN 07/26/ ,785, /08/ ,150, ,778 61,150, TREAS FAC FEDERAL HOME LOAN 12/12/2013 4,063, /08/2018 3,940, ,639 3,940, TREAS FAC FEDERAL HOME LOAN 12/12/2013 6,110, /08/2018 6,135, ,639 6,135, TREAS FAC FEDERAL HOME LOAN 12/18/2013 2,153, /08/2018 2,000, ,633 2,000, TREAS FAC FEDERAL FARM CREDIT 12/18/2013 1,025, /08/2018 1,000, ,633 1,000, TREAS FAC FEDERAL HOME 06/14/ , /13/ , , , TREAS MTN Chevron Corp 07/05/2013 9,976, /24/ ,000, ,815 10,000, TREAS MTN Chevron Corp 08/27/2013 3,292, /24/2018 3,320, ,762 3,320, TREAS MTN Chevron Corp 12/06/ ,025, /24/ ,000, ,661 10,000, TREAS MTN Toyota Motor Credit 09/11/2015 6,014, /13/2018 6,000, ,036 6,000, TREAS TRC US TREASURY NOTE 08/01/ , /31/ , , , TREAS TRC US TREASURY NOTE 12/27/ , /31/ , , , TREAS MTN BANK OF NEW YORK 08/27/2013 4,987, /01/2018 5,000, ,800 5,000, TREAS MTN BANK OF NEW YORK 12/13/ ,054, /01/ ,000, ,692 10,000, TREAS MTN Berkshire Hathaway 08/15/ ,009, /15/ ,000, ,826 10,000, TREAS MTN Berkshire Hathaway 08/27/ , /15/2018 1,000, ,814 1,000, TREAS TRC US TREASURY NOTE 03/21/ , /31/ , , , TREAS MTN Caterpillar 09/10/2013 4,992, /06/2018 5,000, ,822 5,000, TREAS MTN Caterpillar 12/06/2013 7,788, /06/2018 7,675, ,735 7,675, TREAS MTN Caterpillar 12/26/2013 2,526, /06/2018 2,500, ,715 2,500, TREAS MC3 Citibank Credit Card 09/20/ , /07/ , , , TREAS MTN John Deere 09/10/2013 3,783, /10/2018 3,500, ,826 3,500, TREAS FAC FEDERAL NATIONAL 09/25/ , /18/ , , , Portfolio FSNO AC Run : 01/22/ :18 IM (PRF_IM) Report Ver

34 County of Fresno Inventory by Maturity Report Page 6 Sec. CUSIP Investment # Fund Type Issuer 3135G0YM9 3135G0YM WD8 3135G0YT4 3135G0YT ESF BR A BFQ HJR HJR HJR2 3136FTZZ SD B G0ZA4 3135G0ZA4 3135G0ZA4 3135G0ZA4 3135G0ZA C ESK HHL CKL3 3133EDLR HCU HCU1 3133X72S2 3133X72S EE5 3130A2FH EE5 3130A2FH4 3135G0ZE6 3135G0ZE6 3135G0ZE6 3135G0ZE TBP9 3137EADK2 3137EADK Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS FAC FEDERAL NATIONAL 11/22/2013 1,009, /18/2018 1,000, ,761 1,000, TREAS FAC FEDERAL NATIONAL 11/27/ , /18/ , , , TREAS TRC US TREASURY NOTE 03/21/ , /31/ , , , ,034 TREAS FAC FEDERAL NATIONAL 01/31/ , /27/ , , , ,061 TREAS FAC FEDERAL NATIONAL 03/20/ , /27/ , , , ,061 TREAS MTN John Deere 12/26/ ,942, /13/ ,000, ,813 20,000, ,077 TREAS FAC FEDERAL HOME LOAN 01/03/ ,914, /14/ ,000, ,806 40,000, ,078 TREAS TRC US TREASURY NOTE 04/21/ , /31/ , , , ,095 TREAS MTN WELLS FARGO 01/15/ ,966, /15/ ,000, ,826 15,000, ,110 TREAS MTN JP MORGAN 01/28/2014 4,998, /28/2019 5,000, ,826 5,000, ,123 TREAS MTN JP MORGAN 03/05/ ,038, /28/ ,000, ,790 10,000, ,123 TREAS MTN JP MORGAN 09/16/2014 5,017, /28/2019 5,000, ,595 5,000, ,123 TREAS FAC FEDERAL NATIONAL 12/09/ ,047, /30/ ,000, ,513 10,000, ,125 TREAS TRC US TREASURY NOTE 10/09/2014 9,928, /31/ ,000, ,575 10,000, ,126 TREAS TRC US TREASURY NOTE 10/09/ ,008, /31/ ,000, ,575 20,000, ,126 TREAS FAC FEDERAL NATIONAL 02/25/ ,043, /19/ ,000, ,820 10,000, ,145 TREAS FAC FEDERAL NATIONAL 03/03/ ,152, /19/ ,000, ,814 25,000, ,145 TREAS FAC FEDERAL NATIONAL 03/03/ ,061, /19/ ,000, ,814 10,000, ,145 TREAS FAC FEDERAL NATIONAL 03/20/ , /19/ , , , ,145 TREAS FAC FEDERAL NATIONAL 10/01/2014 5,020, /19/2019 5,000, ,602 5,000, ,145 TREAS TRC US TREASURY NOTE 03/31/ , /28/2019 1,000, ,795 1,000, ,154 TREAS MTN John Deere 03/05/ ,006, /04/ ,000, ,825 10,000, ,158 TREAS MTN JP MORGAN 07/23/2014 7,580, /23/2019 6,740, ,735 6,740, ,208 TREAS MUN STATE OF CALIFORNIA 06/12/ ,036, /01/ ,000, ,784 10,000, ,216 TREAS FAC FEDERAL FARM CREDIT 05/27/2014 5,005, /15/2019 5,000, ,814 5,000, ,230 TREAS MTN BANK OF NEW YORK 09/16/2014 2,498, /15/2019 2,500, ,702 2,500, ,230 TREAS MTN BANK OF NEW YORK 09/16/2014 4,999, /15/2019 5,000, ,702 5,000, ,230 TREAS FAC FEDERAL HOME LOAN 12/09/ ,186, /15/ ,000, ,618 10,000, ,230 TREAS FAC FEDERAL HOME LOAN 12/19/ ,955, /15/ ,500, ,608 20,500, ,230 TREAS FAC FEDERAL HOME LOAN 06/18/2014 4,961, /14/2019 5,000, ,822 5,000, ,260 TREAS FAC FEDERAL HOME LOAN 09/02/ ,005, /14/ ,000, ,746 20,000, ,260 TREAS FAC FEDERAL HOME LOAN 09/10/2014 9,926, /14/ ,000, ,738 10,000, ,260 TREAS FAC FEDERAL HOME LOAN 09/10/2014 9,968, /14/ ,000, ,738 10,000, ,260 TREAS FAC FEDERAL NATIONAL 06/18/2014 4,982, /20/2019 5,000, ,828 5,000, ,266 TREAS FAC FEDERAL NATIONAL 10/01/ ,903, /20/ ,000, ,723 30,000, ,266 TREAS FAC FEDERAL NATIONAL 12/11/ ,049, /20/ ,000, ,652 10,000, ,266 TREAS FAC FEDERAL NATIONAL 12/19/ ,077, /20/ ,000, ,644 26,000, ,266 TREAS MTN Toyota Motor Credit 10/01/2014 9,975, /18/ ,000, ,751 10,000, ,294 TREAS FAC FEDERAL HOME 12/11/ ,796, /01/ ,000, ,694 15,000, ,308 TREAS FAC FEDERAL HOME 12/11/ ,731, /01/ ,000, ,694 20,000, ,308 Portfolio FSNO AC Run : 01/22/ :18 IM (PRF_IM) Report Ver

35 County of Fresno Inventory by Maturity Report Page 7 Sec. CUSIP Investment # Fund Type Issuer BL HCW7 3137EADM8 3137EADM8 3137EADM G7M ERY HBP3 3135G0A G0A G0A G0A G0A G0A G0A G0A G0A G0A G0A HKA HCZ0 3137EADR7 3137EADR BD ND8 3134G44G HU HU8 3133EEW G0D G0D G0D G0D G0D G0D G0D G0D G0D HDD8 3135G0RM Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS MTN Berkshire Hathaway 10/01/2014 9,974, /14/ ,000, ,778 10,000, ,321 TREAS MTN BANK OF NEW YORK 10/01/2014 8,467, /11/2019 8,501, ,806 8,501, ,349 TREAS FAC FEDERAL HOME 12/19/ ,641, /02/ ,000, ,748 20,000, ,370 TREAS FAC FEDERAL HOME 12/19/ ,642, /02/ ,000, ,748 20,000, ,370 TREAS FAC FEDERAL HOME 12/19/2014 9,821, /02/ ,000, ,748 10,000, ,370 TREAS MTN G.E. CAPITAL 03/04/ ,439, /09/ ,350, ,772 10,350, ,469 TREAS MTN John Deere 12/28/2015 8,869, /15/2020 9,000, ,479 9,000, ,475 TREAS MTN BANK OF NEW YORK 12/28/2015 5,549, /15/2020 5,000, ,479 5,000, ,475 TREAS FAC FEDERAL NATIONAL 03/04/ ,940, /21/ ,000, ,784 20,000, ,481 TREAS FAC FEDERAL NATIONAL 03/06/ ,926, /21/ ,000, ,782 30,000, ,481 TREAS FAC FEDERAL NATIONAL 05/08/ ,001, /21/ ,000, ,719 10,000, ,481 TREAS FAC FEDERAL NATIONAL 05/08/ ,001, /21/ ,000, ,719 10,000, ,481 TREAS FAC FEDERAL NATIONAL 06/03/ ,994, /21/ ,000, ,693 15,000, ,481 TREAS FAC FEDERAL NATIONAL 10/29/ ,115, /21/ ,000, ,545 10,000, ,481 TREAS FAC FEDERAL NATIONAL 11/04/ ,085, /21/ ,000, ,539 10,000, ,481 TREAS FAC FEDERAL NATIONAL 11/06/ ,061, /21/ ,000, ,537 10,000, ,481 TREAS FAC FEDERAL NATIONAL 12/22/ ,144, /21/ ,000, ,491 20,000, ,481 TREAS FAC FEDERAL NATIONAL 12/23/ ,071, /21/ ,000, ,490 10,000, ,481 TREAS FAC FEDERAL NATIONAL 12/23/ ,141, /21/ ,000, ,490 20,000, ,481 TREAS MTN JP MORGAN 03/04/2015 9,963, /23/ ,000, ,786 10,000, ,483 TREAS MTN BANK OF NEW YORK 03/04/2015 3,007, /24/2020 3,000, ,818 3,000, ,515 TREAS FAC FEDERAL HOME 05/06/2015 9,893, /01/ ,000, ,822 10,000, ,582 TREAS FAC FEDERAL HOME 05/08/2015 9,887, /01/ ,000, ,820 10,000, ,582 TREAS MTN APPLE INC 12/28/ ,021, /06/ ,000, ,591 10,000, ,587 TREAS TRC US TREASURY NOTE 12/23/ ,276, /15/ ,000, ,605 40,000, ,596 TREAS FAC FEDERAL HOME 10/29/2015 4,994, /22/2020 5,000, ,667 5,000, ,603 TREAS FAC FEDERAL HOME LOAN 06/12/ ,999, /12/ ,000, ,827 20,000, ,624 TREAS FAC FEDERAL HOME LOAN 06/26/ ,574, /12/ ,615, ,813 12,615, ,624 TREAS FAC FEDERAL FARM CREDIT 06/15/2015 9,963, /15/ ,000, ,827 10,000, ,627 TREAS FAC FEDERAL NATIONAL 10/29/ ,969, /22/ ,000, ,698 20,000, ,634 TREAS FAC FEDERAL NATIONAL 10/30/2015 5,932, /22/2020 5,950, ,697 5,950, ,634 TREAS FAC FEDERAL NATIONAL 11/04/2015 4,972, /22/2020 5,000, ,692 5,000, ,634 TREAS FAC FEDERAL NATIONAL 11/04/2015 4,972, /22/2020 5,000, ,692 5,000, ,634 TREAS FAC FEDERAL NATIONAL 11/06/2015 4,961, /22/2020 5,000, ,690 5,000, ,634 TREAS FAC FEDERAL NATIONAL 12/17/ ,647, /22/ ,000, ,649 30,000, ,634 TREAS FAC FEDERAL NATIONAL 12/17/ ,749, /22/ ,000, ,649 20,000, ,634 TREAS FAC FEDERAL NATIONAL 12/22/2015 9,913, /22/ ,000, ,644 10,000, ,634 TREAS FAC FEDERAL NATIONAL 12/23/2015 9,906, /22/ ,000, ,643 10,000, ,634 TREAS MTN BANK OF NEW YORK 12/28/2015 5,085, /17/2020 5,000, ,694 5,000, ,690 TREAS FAC FEDERAL NATIONAL 10/30/ ,085, /30/ ,060, ,827 10,060, ,764 Portfolio FSNO AC Run : 01/22/ :18 IM (PRF_IM) Report Ver

36 County of Fresno Inventory by Maturity Report Page 8 Sec. CUSIP Investment # Fund Type Issuer AY Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS MTN Chevron Corp 12/28/ ,003, /17/ ,000, ,786 10,000, ,782 Subtotal and Average 2,871,314, ,855,236, ,855,236, Net Maturities and Average 2,871,314, ,855,236, ,855,236, Portfolio FSNO AC Run : 01/22/ :18 IM (PRF_IM) Report Ver

37 Quarterly Economic and Market Update December

38 Economic and Market Update 12/31/2015 Item 12/31/2015 9/30/2015 Change U.S. Payrolls Monthly Change 292, , ,000 Unemployment Rate 5.0% 5.1% -0.1% Labor Force Participation 62.6% 62.4% 0.2% Effective Fed Funds Rate 0.35% 0.07% 0.28% Next Fed Funds Hike** Jul 2016 Dec Month 3 Month T-Bill 0.147% % 0.162% 2 Year T-Note 1.073% 0.631% 0.442% 3 Year T-Note 1.343% 0.902% 0.441% 5 Year T-Note 1.793% 1.358% 0.435% 10 Year T-Note 2.295% 2.038% 0.257% U.S. Fed Debt Avg Yield 2.062% 2.043% 0.019% 30 Year Mortgage Rate 3.93% 3.840% 0.09% 1-5 Yr Agency Spread 0.06% 0.07% -0.01% 1-5 Yr Corporate Spread 0.81% 0.930% -0.12% Dow Jones 17,604 16, % S&P 500 2,063 1, % Consumer Price Index YOY* 0.5% 0.0% 0.5% U.S. Avg Regular Unleaded $2.00 $2.29 -$0.29 Retail Sales YOY* 2.4% 2.2% 0.2% Case-Shiller Home Prices YOY* 5.5% 5.4% 0.2% Gold (per ounce) $1, $1, $53.65 Dollar Index Consumer Confidence *Estimates for the current quarter/month, some data are lagged **Next Projected Fed Funds Hike is first month Fed Funds Futures are.625% or higher Sources: FTN Main Street and Bloomberg 36

39 Economic and Market Update 12/31/2015 U.S. GDP (Quarter over Quarter Annualized)* Percent Estimates Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q * Real Rate (Inflation Adjusted) Source: Bureau of Economic Analysis Estimate: Bloomberg's Survey of Economists As of: 12/31/15 37

40 Economic and Market Update 12/31/2015 U.S. Annual GDP * Percent s 2.94% 1980s 3.04% 1990s 3.30% 2000s 1.88% 2010s 2.12% * Real Rate (Inflation Adjusted) Source: Bureau of Economic Analysis Estimate: Bloomberg's Survey of Economists As of: 12/31/15 38

41 Economic and Market Update 12/31/ U.S. Monthly Non-Farm Payrolls Change Unemployment Rates Nevada U.S.A California Idaho Washington Thousands Percent Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 3 Jun-11 Aug-11 Oct-11 Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec-14 Feb-15 Apr-15 Jun-15 Aug-15 Oct-15 Dec Month Average Job Change 220,833 Source: Bureau of Labor Statistics 39

42 Economic and Market Update 12/31/2015 Millions Dec-05 May-06 Oct-06 Mar-07 Aug-07 U.S. Number of Employed Full-Time and Part-TIme Jan-08 Jun-08 Nov-08 Apr-09 Sep-09 Feb-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12 Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Feb-15 Jul-15 Dec-15 Percent Dec-05 May-06 Oct-06 Mar-07 U.S. Labor Force Participation Rate Aug-07 Jan-08 Jun-08 Nov-08 Apr-09 Sep-09 Feb-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12 Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Feb-15 Jul-15 Dec-15 Source: Bureau of Labor Statistics 40

43 Economic and Market Update ######## 12/31/ Weekly Initial Jobless Claims (4 Week Moving Average) Thousands Weekly Initial Jobless Claims is the actual number of people who have filed for Unemployment benefits for the first time. The following five eligibility criteria must be met in order to file for unemployment benefits: 1. Meet the requirements of time worked during a 1 year period (full time or not). 2. Become unemployed through no fault of your own (cannot be fired). 3. Must be able to work; no physical or mental holdbacks. 4. Must be available for work. 5. Must be actively seeking work. Source: Department of Labor and Bloomberg 41

44 Economic and Market Update 12/31/2015 U.S. Real* Retail Sales YOY % Change U.S. Consumer Confidence Percent 2 1 Index Value Jun-11 Aug-11 Oct-11 Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec-14 Feb-15 Apr-15 Jun-15 Aug-15 Oct Jun-05 Nov-05 Apr-06 Sep-06 Feb-07 Jul-07 Dec-07 May-08 Oct-08 Mar-09 Aug-09 Jan-10 Jun-10 Nov-10 Apr-11 Sep-11 Feb-12 Jul-12 Dec-12 May-13 Oct-13 Mar-14 Aug-14 Jan-15 Jun-15 Nov-15 *Real: Inflation Adjusted Source: U.S. Census Bureau Source: Conference Board 42

45 Economic and Market Update 12/31/2015 CPI and CPIX* YOY % Change CPI CPIX Percent Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 *CPIX: Consumer Price Index, excluding food and energy Source: Bureau of Labor Statistics 43

46 Economic and Market Update 12/31/ Case-Shiller 20 City U.S. Home Price Index YOY % Increase 6 U.S. New and Existing Home Sales Existing-Left New-Right 800 YOY Percent Existing-Millions New-Thousands Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 3 Jun-07 Nov-07 Apr-08 Sep-08 Feb-09 Jul-09 Dec-09 May-10 Oct-10 Mar-11 Aug-11 Jan-12 Jun-12 Nov-12 Apr-13 Sep-13 Feb-14 Jul-14 Dec-14 May-15 Oct Source: Case-Shiller Sources: New (U.S. Census Bureau),Existing (National Assoc. of Realtors) Seasonally Adjusted Annual Rate 44

47 Economic and Market Update 12/31/2015 U.S. Federal Debt Outstanding U.S. Treasury Interest Bearing Debt Avg Rate $ $19 $ $17 $ Trillions $15 $14 $13 $12 Percent $ $10 $9 2.5 $8 $7 2.0 $6 Dec-05 May-06 Oct-06 Mar-07 Aug-07 Jan-08 Jun-08 Nov-08 Apr-09 Sep-09 Feb-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12 Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Feb-15 Jul-15 Dec Dec-05 May-06 Oct-06 Mar-07 Aug-07 Jan-08 Jun-08 Nov-08 Apr-09 Sep-09 Feb-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12 Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Feb-15 Jul-15 Dec-15 Source: U.S. Treasury 45

48 Economic and Market Update 12/31/ Fed Funds vs. Fed's Anticipated Fed Funds Rate Fed's Anticipated Rates Fed Funds Futures Basis Points Jan-2016 Feb-2016 Mar-2016 Apr-2016 May-2016 Jun-2016 Jul-2016 Aug-2016 Sep-2016 Oct-2016 Nov-2016 Dec-2016 Jan-2017 Feb-2017 Mar-2017 Apr-2017 May-2017 Jun-2017 Jul-2017 Aug-2017 Sep-2017 Oct-2017 Nov-2017 Dec-2017 Jan-2018 Feb-2018 Mar-2018 Apr-2018 May-2018 Jun-2018 Jul-2018 Aug-2018 Sep-2018 Oct-2018 Nov-2018 Dec-2018 Jan-2019 Source: Bloomberg 46

49 Economic and Market Update 12/31/2015 U.S. Treasury Yield Curve Change Maturity 9/30/15 12/30/15 Change 3.5 3M /30/15 9/30/15 6M Y Y Y Percent Y Y Y M 6M 1Y 2Y 3Yr 5Y 10Y 30Y Source: Bloomberg 47

50 Economic and Market Update 12/31/2015 U.S. Treasury Yields: 3M and 1Y U.S. Treasury Yields: 2Y and 5Y Y 3M Y 2Y Percent Percent Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Source: Bloomberg 48

51 Economic and Market Update 12/31/ U.S. Treasury Yields 2Yr and 5Yr - Fed Funds Target Rate Yr 2Yr Fed Funds Percent Jan-54 Jan-56 Jan-58 Jan-60 Jan-62 Jan-64 Jan-66 Jan-68 Jan-70 Jan-72 Jan-74 Jan-76 Jan-78 Jan-80 Jan-82 Jan-84 Jan-86 Jan-88 Jan-90 Jan-92 Jan-94 Jan-96 Jan-98 Jan-00 Jan-02 Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Source: Bloomberg 49

52 Economic and Market Update 12/31/2015 Global Treasury Rates 2 Year Yields 5 Year Yields 10 Year Yields Australia 1.99% Australia 2.21% Australia 2.80% USA 1.07% USA 1.79% Portugal 2.50% England 0.67% England 1.37% USA 2.29% Canada 0.48% Portugal 1.05% England 1.99% Portugal 0.09% Canada 0.74% Spain 1.77% Spain 0.00% Spain 0.67% Italy 1.59% Japan -0.01% Italy 0.50% Canada 1.40% Italy -0.04% France 0.08% France 0.99% France -0.32% Japan 0.02% Germany 0.63% Germany -0.35% Germany -0.05% Japan 0.26% Switzlnd -0.88% Switzlnd -0.64% Switzlnd -0.09% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% -4.0% -2.0% 0.0% 2.0% 4.0% -2.0% 0.0% 2.0% 4.0% Source: Bloomberg 50

53 Economic and Market Update 12/31/2015 Spread: 1-5Yr Agency* vs Treasury Spread: 1-5Yr A-AAA Corporate vs Treasury Basis Points Basis Points Nov-01 Jun-02 Jan-03 Aug-03 Mar-04 Oct-04 May-05 Dec-05 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 0 Nov-01 Jun-02 Jan-03 Aug-03 Mar-04 Oct-04 May-05 Dec-05 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Current Spread is 6 Current Spread is 81 *BofA/Merrill Index (option adjusted spread vs. Treasury) Agency (GVP0) *BofA/Merrill Index (option adjusted spread vs. Treasury) Corporate A-AAA (CV10) Source: Bank of America Merrill Lynch Indicies 51

54 Economic and Market Update 12/31/2015 Spread: AAA Asset Backed vs Treasury Spread: 0-3Yr Agency CMO vs Treasury Basis Points Basis Points Nov-01 Jun-02 Jan-03 Aug-03 Mar-04 Oct-04 May-05 Dec-05 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov Nov-01 Jun-02 Jan-03 Aug-03 Mar-04 Oct-04 May-05 Dec-05 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Current Spread is 65 Current Spread is 58 *BofA/Merrill Index (option adjusted spread vs. Treasury) AAA Rated ABS (R0A1) *BofA/Merrill Index (option adjusted spread vs. Treasury) CMO Agency 0-3Yr PAC (CM1P) Source: Bank of America Merrill Lynch Indicies 52

55 Economic and Market Update ######## 12/31/2015 Selected Sector QuarterlyTotal Returns Percent 0 (5) (10) (15) (20) (25) (30) Source: Bloomberg 53

56 Economic and Market Update ######## 12/31/2015 Selected Sector Year-Over-YearTotal Returns Percent 0 (10) (20) (30) (40) (50) Source: Bloomberg 54

57 Economic and Market Update 12/31/ Year Treasury Note Yield 1.80 Strong Nov employment report 1.70 Percent Strong Oct employment report Fed hikes rate after ZIRP for 6 years /30/15 10/2/15 10/4/15 10/6/15 10/8/15 10/10/15 10/12/15 10/14/15 10/16/15 10/18/15 Weak Retail Sales report 10/20/15 10/22/15 10/24/15 10/26/15 10/28/15 10/30/15 11/1/15 FOMC Meeting statement shows Dec hike is still on the table 11/3/15 11/5/15 11/7/15 11/9/15 11/11/15 11/13/15 11/15/15 11/17/15 11/19/15 11/21/15 11/23/15 11/25/15 11/27/15 11/29/15 12/1/15 12/3/15 12/5/15 12/7/15 12/9/15 12/11/15 12/13/15 12/15/15 12/17/15 12/19/15 12/21/15 12/23/15 12/25/15 12/27/15 12/29/15 12/31/15 Sources: Bloomberg, FTN Main Street 55

58 Economic and Market Update ######## 12/31/ ,000 ECB possibly to expand QE next year Dow Jones Industrial Index 17,500 17,000 Commodity prices fall and Paris terror attacks Fed hikes rate after ZIRP for 6 years 16,500 Weak Retail Sales report may keep Fed on hold 16,000 9/30/15 10/2/15 10/4/15 10/6/15 10/8/15 10/10/15 10/12/15 10/14/15 10/16/15 10/18/15 10/20/15 10/22/15 10/24/15 10/26/15 10/28/15 10/30/15 11/1/15 11/3/15 11/5/15 11/7/15 11/9/15 11/11/15 11/13/15 11/15/15 11/17/15 11/19/15 11/21/15 11/23/15 11/25/15 11/27/15 11/29/15 12/1/15 12/3/15 12/5/15 12/7/15 12/9/15 12/11/15 12/13/15 12/15/15 12/17/15 12/19/15 12/21/15 12/23/15 12/25/15 12/27/15 12/29/15 12/31/15 Sources: Bloomberg, FTN Main Street 56