Sandie Arnott TREASURER - TAX COLLECTOR

Transcription

1 Sandie Arnott TREASURER - TAX COLLECTOR TREASURER - TAX COLLECTOR - REVENUE SERVICES Charles M. Tovstein CHIEF INVESTMENT OFFICER Robin N. Elliott ASSISTANT TAX COLLECTOR DATE: January 10, 2018 TO: FROM: SUBJECT: San Mateo County Pool Participants Sandie Arnott, Treasurer-Tax Collector December Monthly/Quarterly Investment Report Gross earnings for the month ending were 1.321%. The current average maturity of the portfolio is 0.96 years with an average duration of 0.91 years. The current par value of the pool is $5.110 billion. The largest non-government aggregate position is currently Wells Fargo Bank NA. at 2.94%. 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 Table of Contents Month End Pool Earnings Report 3 Quarter End Pool earnings Report 4 Total Return 5 SMC Pool vs. LAIF 6 Realized Gains and Losses 7 Fixed Income Distribution 8-9 Portfolio Appraisal Pool Participants 32 Asset Allocation Graph 33 Credit Quality Graph - Moody s Rating 34 Credit Quality Graph - S&P Rating 35 Diversification Report Month Cash-Flow Projection 37 Historical Yield Curves

3 COUNTY OF SAN MATEO ESTIMATED SUMMARY OF POOL EARNINGS DECEMBER 2017 Par Value Gross Earnings Fixed Income Securities Maturing > 1 year U S Treasury Notes 500,000,000 $649, U.S, Instrumentalities 79,500,000 $109, Federal Agencies 443,805, , Corporate Notes 125,000, , Floating Rate Securities 194,200, , ,342,505,000 $1,683, Short Term Securities Maturing < 1 year U S Treasury Notes 625,000, , U.S, Instrumentalities 190,000, , Federal Agencies 722,876, , Corporate Notes 200,000, , Floating Rate Securities 125,000, , LAIF 65,000,000 63, Commercial Paper 1,114,500,000 1,219, Certificate of Deposit 235,000, , U S Treasury Bills 275,000, , Repurchase Agreements 230,800,000 26, ,783,176,000 $3,527, Total Accrued 5,125,681,000 $5,210, Realized Gain/Loss & Received U S Treasury Notes $52, Federal Agencies 102, Corporate Notes 19, Floating Rate Securities 65, Commercial Paper 51, U S Treasury Bills 38, Repurchase Agreements 189, Total Realized Income $520, TOTAL DOLLAR EARNINGS $5,731, AVERAGE BALANCE $5,108,048, GROSS EARNINGS RATE / GROSS DOLLAR EARNINGS 1.321% $5,731, ADMINISTRATION FEES ($455,525.99) NET EARNINGS RATE / NET DOLLAR EARNINGS 1.216% $5,275,

4 COUNTY OF SAN MATEO SUMMARY OF POOL EARNINGS Q Par Value Gross Earnings Fixed Income Securities Maturing > 1 year U S Treasury Notes 500,000,000 $1,521, U.S, Instrumentalities 79,500,000 $260, Federal Agencies 443,805,000 1,121, Corporate Notes 125,000, , Floating Rate Securities 194,200, , ,342,505,000 $3,855, Short Term Securities Maturing < 1 year U S Treasury Notes 625,000, , U.S, Instrumentalities 190,000, , Federal Agencies 722,876,000 1,354, Corporate Notes 200,000, , Floating Rate Securities 125,000, , LAIF 65,000, , Commercial Paper 1,114,500,000 2,705, Certificate of Deposit 235,000, , U S Treasury Bills 275,000, , Repurchase Agreements 230,800,000 26, ,783,176,000 $7,210, Total Accrued 5,125,681,000 $11,065, Realized Gain/Loss & Received U S Treasury Notes $543, U.S, Instrumentalities $79, Federal Agencies 1,138, Corporate Notes 302, Floating Rate Securities 678, LAIF 3, Commercial Paper 649, Certificate of Deposit 54, U S Treasury Bills 360, Repurchase Agreements 508, Total Realized Income $4,319, TOTAL DOLLAR EARNINGS $15,384, AVERAGE BALANCE $4,668,062, GROSS EARNINGS RATE / GROSS DOLLAR EARNINGS 1.308% $15,384, ADMINISTRATION FEES ($1,235,437.89) NET EARNINGS RATE / NET DOLLAR EARNINGS 1.203% $14,149,

5 MERRILL LYNCH TAXABLE BOND INDEX vs. CHARACTERISTICS INDEX 12/31/17 POOL 2.20 AVERAGE MATURITY (yrs) DURATION (yrs) YIELD TO MATURITY (%) 1.64 TIME WEIGHTED/TOTAL RETURN MONTH (%) MONTHS (%) MONTHS (%) YEAR (%) 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. 5

6 SAN MATEO COUNTY INVESTMENT POOL vs LOCAL AGENCY INVESTMENT FUND POOL EARNINGS RATES ending 12/31/17 Estimate LAIF 1.321% 1 MONTH 1.230% 1.308% 3 MONTHS 1.182% 1.312% 6 MONTHS 1.132% 1.224% 1 YEAR 0.995% 6

7 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 242, TOTAL LOSSES ,080, ,277, , TOTAL REALIZED GAIN/LOSS 242, **THESE ARE GROSS PRINCIPAL FIGURES ONLY. THEY DO NOT REFLECT ANY AMORTIZATIONS OR ACCRETIONS. THE COST BASIS DOES NOT REFLECT ANY PURCHASED ACCRUED INTEREST. 7

8 FIXED INCOME DISTRIBUTION - SETTLED TRADES Summary Information Totals Weighted Averages Par Value 5,125,681,000 Average YTM 1.64 Market Value 5,107,553, Average Maturity (yrs) 0.96 Total Cost 5,111,503, Average Coupon (%) 0.84 Net Gain/Loss -3,950, Average Duration 0.91 Annual Income 42,916, Average Moody Rating Aa1/P-1 Accrued 8,295, Average S&P Rating AA/A-1 Number of Issues 230 Distribution by Maturity % Bond Average Average Average Maturity Number Mkt Value Holdings Y T M Coupon Duration Under 1 Yr 153 3,778,903, % Yr - 3 Yrs ,361, % Yrs - 5 Yrs ,878, % Yrs - 7 Yrs 1 48,409, % 5.4 Distribution by Coupon % Bond Average Average Average Coupon % Number Mkt Value Holdings Y T M Coupon Duration Under 1% 101 2,534,429, % 0.2 1% - 3% 129 2,573,124, % 1.6 Distribution by Duration % Bond Average Average Average Duration Number Mkt Value Holdings Y T M Coupon Duration Under 1 Yr 153 3,778,903, % Yr - 3 Yrs ,361, % Yrs - 5 Yrs ,878, % Yrs - 7 Yrs 1 48,409, % 5.4 8

9 FIXED INCOME DISTRIBUTION - SETTLED TRADES Distribution by Moody Rating % Bond Average Average Average Rating Number Mkt Value Holdings Y T M Coupon Duration Aaa 116 3,180,897, % 1.2 Aa1 5 85,095, % 0.5 Aa ,431, % 0.9 Aa3 4 34,991, % 1.1 A ,634, % 1.6 A2 3 20,102, % 2.4 P ,254,242, % 0.2 Not Rated 1 65,158, % 0.1 Distribution by S&P Rating % Bond Average Average Average Rating Number Mkt Value Holdings Y T M Coupon Duration AAA ,993, % 1.0 AA ,908,254, % 1.2 AA 6 58,160, % 0.8 AA ,725, % 1.1 A ,061, % 1.7 A 2 15,244, % 3.4 A ,415, % 0.2 A ,539, % 0.2 Not Rated 1 65,158, % 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. 9

10 CERTIFICATE OF DEPOSIT WELLS FARGO BANK NA 25,000, ,000, ,000, , ,195, A % Due WELLS FARGO BANK NA-FLT 10,000, ,000, ,000, , ,011, A % Due TORONTO-DOMINION BANK 25,000, ,000, ,000, , ,053, A % Due BANK OF MONTREAL CHICAGO 25,000, ,000, ,000, , ,046, A % Due TORONTO-DOMINION BANK 25,000, ,000, ,000, , ,073, A % Due TORONTO DOMINION BANK NY 25,000, ,000, ,000, , ,088, A % Due BANK OF MONTREAL CHICAGO 25,000, ,000, ,000, , ,019, A % Due WELLS FARGO & COMPANY 15,000, ,000, ,000, , ,028, A % Due TORONTO-DOMINION BANK 15,000, ,000, ,000, , ,022, A % Due WELLS FARGO BANK NA-FLT 10,000, ,000, ,000, , ,001, A % Due WELLS FARGO BANK NA-FLT 10,000, ,000, ,000, , ,001, A % Due BANK OF MONTREAL CHICAGO 25,000, ,000, ,000, , ,019, A % Due WELLS FARGO BANK NA-FLT 15,000, ,000, ,000, , ,076, A % Due WELLS FARGO BANK NA-FLT 15,000, ,000, ,000, ,000, A % Due ,000, ,000, ,000, , ,639, COMMERCIAL PAPER CANADIAN IMPERIAL HLDING 3,000, ,971, ,999, ,999, A % Due CANADIAN IMPERIAL HLDING 25,000, ,811, ,996, ,996, A % Due TOYOTA MOTOR CREDIT CORPORATION 25,000, ,839, ,995, ,995, A % Due

11 CANADIAN IMPERIAL HLDING 20,000, ,846, ,991, ,991, A % Due GE CAPITAL TREASURY LLC 25,000, ,867, ,989, ,989, A % Due NATIXIS NY BRANCH 25,000, ,857, ,988, ,988, A % Due BANK TOKYO-MIT UFJ NY 20,000, ,909, ,988, ,988, A % Due CANADIAN IMPERIAL HLDING 20,000, ,851, ,985, ,985, A % Due NATIXIS NY BRANCH 20,000, ,904, ,986, ,986, A % Due TOYOTA MOTOR CREDIT CORPORATION 25,000, ,830, ,982, ,982, A % Due BANK OF NEW YORK MELLON 20,000, ,940, ,985, ,985, A % Due BANK TOKYO-MITSUBISHI 25,000, ,827, ,978, ,978, A % Due NATIXIS NY BRANCH 25,000, ,834, ,979, ,979, A % Due LANDESBK BADEN-WURIT NY 25,000, ,912, ,978, ,978, A % Due BANK OF NY MELLON CORP.-FRN 20,000, ,934, ,983, ,983, A % Due EXXON MOBIL CORP 20,000, ,936, ,980, ,980, A % Due BANK OF NY MELLON CORP.-FRN 25,000, ,910, ,973, ,973, A % Due GE CAPITAL TREASURY LLC 25,000, ,834, ,970, ,970, A % Due SWEDBANK 20,000, ,908, ,969, ,969, A % Due BANK TOKYO-MITSUBISHI 6,000, ,970, ,989, ,989, A % Due SWEDBANK 5,000, ,982, ,991, ,991, A % Due CANADIAN IMPERIAL HLDING 15,000, ,918, ,975, ,975, A % Due

12 GE CAPITAL TREASURY LLC 25,000, ,865, ,953, ,953, A % Due SWEDBANK 25,000, ,868, ,951, ,951, A % Due NATIXIS NY BRANCH 11,000, ,936, ,978, ,978, A % Due CANADIAN IMPERIAL HLDING 20,000, ,889, ,960, ,960, A % Due BANK OF NEW YORK MELLON 25,000, ,907, ,946, ,946, A % Due EXXON MOBIL CORP 20,000, ,922, ,967, ,967, A % Due BANK TOKYO-MIT UFJ NY 15,000, ,841, ,964, ,964, A % Due BANK OF NEW YORK MELLON 3,500, ,487, ,491, ,491, A % Due EXXON MOBIL CORP 25,000, ,911, ,945, ,945, A % Due NATIXIS NY BRANCH 20,000, ,885, ,950, ,950, A % Due BANK OF NEW YORK MELLON 25,000, ,907, ,939, ,939, A % Due BANK TOKYO-MITSUBISHI 10,000, ,945, ,970, ,970, A % Due NATIXIS NY BRANCH 20,000, ,880, ,940, ,940, A % Due SWEDBANK 20,000, ,879, ,941, ,941, A % Due BANK TOKYO-MIT UFJ NY 10,000, ,950, ,968, ,968, A % Due SWEDBANK 25,000, ,864, ,920, ,920, A % Due BANK TOKYO-MIT UFJ NY 25,000, ,869, ,922, ,922, A % Due BANK TOKYO-MIT UFJ NY 20,000, ,899, ,935, ,935, A % Due SWEDBANK 20,000, ,897, ,934, ,934, A % Due

13 NATIXIS NY BRANCH 20,000, ,911, ,932, ,932, A % Due TOYOTA MOTOR CREDIT CORPORATION 20,000, ,883, ,933, ,933, A % Due TOYOTA MOTOR CREDIT CORPORATION 20,000, ,894, ,933, ,933, A % Due TOYOTA MOTOR CREDIT CORPORATION 20,000, ,855, ,917, ,917, AA % Due GE CAPITAL TREASURY LLC 31,000, ,773, ,866, ,866, A % Due TOYOTA MOTOR CREDIT CORPORATION 25,000, ,860, ,887, ,887, AA % Due BANK TOKYO-MITSUBISHI 10,000, ,939, ,950, ,950, A % Due RABOBANK USA FIN CORP 25,000, ,850, ,874, ,874, A % Due GE CAPITAL TREASURY LLC 25,000, ,802, ,839, ,839, A % Due RABOBANK USA FIN CORP 25,000, ,835, ,859, ,859, A % Due RABOBANK NEDERLAND NY 25,000, ,823, ,840, ,840, A % Due CANADIAN IMPERIAL HLDING 15,000, ,884, ,900, ,900, A % Due COOPERATIEVE RABOBANK UA 25,000, ,797, ,820, ,820, A % Due RABOBANK NEDERLAND NY 25,000, ,792, ,810, ,810, A % Due ,114,500,000 1,108,111, ,111,610, ,111,610, LOCAL AGENCY INVESTMENT FUND LAIF 65,000, ,000, ,000, , ,158, NR % Due REPURCHASE AGREEMENTS REPURCHASE AGREEMENT(U.S. TREAS NTS COLLAT) 1.400% Due ,800, ,800, ,800, ,800, AA

14 UNITED STATES TREASURY-BILLS UNITED STATES TREAS BILL 25,000, ,861, ,955, ,955, AA % Due UNITED STATES TREAS BILL 50,000, ,723, ,919, ,919, AA % Due UNITED STATES TREAS BILL 10,000, ,958, ,976, ,976, AA % Due UNITED STATES TREAS BILL 50,000, ,790, ,883, ,883, AA % Due UNITED STATES TREAS BILL 50,000, ,773, ,870, ,870, AA % Due UNITED STATES TREAS BILL 50,000, ,756, ,851, ,851, AA % Due UNITED STATES TREAS BILL 20,000, ,909, ,940, ,940, AA % Due UNITED STATES TREAS BILL 4,000, ,972, ,977, ,977, AA % Due UNITED STATES TREAS BILL 16,000, ,888, ,908, ,908, AA % Due ,000, ,633, ,282, ,282, UNITED STATES TREASURY-NOTES UNITED STATES TREAS NTS 25,000, ,985, ,968, , ,024, AA % Due UNITED STATES TREAS NTS 25,000, ,985, ,968, , ,024, AA % Due UNITED STATES TREAS NTS 25,000, ,985, ,968, , ,024, AA % Due UNITED STATES TREAS NTS 25,000, ,985, ,968, , ,024, AA % Due UNITED STATES TREAS NTS 25,000, ,970, ,961, , ,008, AA % Due UNITED STATES TREAS NTS 50,000, ,947, ,922, , ,017, AA % Due UNITED STATES TREAS NTS 50,000, ,976, ,922, , ,017, AA % Due

15 UNITED STATES TREAS NTS 50,000, ,976, ,922, , ,017, AA % Due UNITED STATES TREAS NTS 25,000, ,998, ,961, , ,008, AA % Due UNITED STATES TREAS NTS 25,000, ,956, ,945, , ,958, AA % Due UNITED STATES TREAS NTS 50,000, ,707, ,870, , ,923, AA % Due UNITED STATES TREAS NTS 50,000, ,593, ,870, , ,923, AA % Due UNITED STATES TREAS NTS 50,000, ,867, ,886, , ,926, AA % Due UNITED STATES TREAS NTS 50,000, ,812, ,898, , ,941, AA % Due UNITED STATES TREAS NTS 50,000, ,911, ,898, , ,941, AA % Due UNITED STATES TREAS NTS 50,000, ,917, ,898, , ,941, AA % Due UNITED STATES TREAS NTS 50,000, ,000, ,351, , ,585, AA % Due UNITED STATES TREAS NTS 50,000, ,812, ,300, , ,491, AA % Due UNITED STATES TREAS NTS 50,000, ,875, ,300, , ,491, AA % Due UNITED STATES TREAS NTS 50,000, ,890, ,244, , ,387, AA % Due UNITED STATES TREAS NTS 50,000, ,000, ,437, , ,543, AA % Due UNITED STATES TREAS NTS 50,000, ,835, ,763, , ,969, AA % Due UNITED STATES TREAS NTS 50,000, ,868, ,275, , ,507, AA % Due UNITED STATES TREAS NTS 50,000, ,947, ,564, , ,789, AA % Due UNITED STATES TREAS NTS 50,000, ,746, ,544, , ,631, AA % Due

16 UNITED STATES TREAS NTS 50,000, ,078, ,271, , ,409, AA % Due ,125,000,000 1,122,631, ,110,889, ,640, ,113,529, FEDERAL AGENCY - FLOATING RATE SECURITIES 15,000, ,000, ,000, , ,045, AA FRN 1.326% Due FEDERAL FARM CREDIT BANK-FRN 5,000, ,000, ,013, , ,017, AA % Due FEDERAL FARM CREDIT BANK-FRN 5,000, ,000, ,019, , ,022, AA % Due FEDERAL FARM CREDIT BANK-FRN 10,000, ,000, ,000, , ,002, AA % Due ,000,000 35,000, ,034, , ,087, FEDERAL AGENCY SECURITIES FEDL HOME LOAN BK CONS DISC NT 22,000, ,907, ,987, ,987, AA % Due FEDL HOME LOAN BK CONS DISC NT 10,000, ,955, ,991, ,991, AA % Due FEDERAL HOME LOAN BANK DISC NT 15,000, ,915, ,987, ,987, AA % Due FEDERAL HOME LOAN BANK DISC NT 25,000, ,931, ,978, ,978, AA % Due FEDL HOME LOAN BK CONS DISC NT 10,000, ,946, ,989, ,989, AA % Due FEDL HOME LOAN BK CONS DISC NT 1,938, ,927, ,936, ,936, AA % Due FEDL HOME LOAN BK CONS DISC NT 17,412, ,321, ,392, ,392, AA % Due FEDERAL HOME LOAN BANK DISC NT 5,866, ,822, ,859, ,859, AA % Due ,000, ,986, ,997, , ,014, AA % Due FEDERAL HOME LOAN BANK DISC NT 24,345, ,211, ,311, ,311, AA % Due

17 FEDERAL HOME LOAN BANK-DISCOUNT 25,000, ,913, ,960, ,960, AA NOTE 0.000% Due FARM CREDIT DISCOUNT NOTE 10,000, ,905, ,983, ,983, AA % Due FARM CREDIT DISCOUNT NOTE 10,000, ,905, ,983, ,983, AA % Due FEDERAL MORTGAGE CORPORATION 4,000, ,977, ,993, ,993, AA DN 0.000% Due FEDL HOME LOAN BK CONS DISC NT 1,000, , , , AA % Due FEDL HOME LOAN BK CONS DISC NT 30,000, ,832, ,942, ,942, AA % Due CORPORATION-B 1.050% Due CORPORATION-B 1.050% Due FEDERAL HOME LOAN BANK-DISCOUNT NOTE 0.000% Due FEDERAL HOME LOAN BANK-DISCOUNT NOTE 5,000, ,000, ,997, , ,015, AA ,000, ,000, ,997, , ,015, AA ,000, ,971, ,981, ,981, AA ,000, ,938, ,959, ,959, AA % Due FEDERAL HOME LOAN BANK 10,000, ,996, ,989, , ,014, AA % Due FEDERAL HOME LOAN BANK 10,000, ,996, ,989, , ,014, AA % Due % Due ,000, ,980, ,987, , ,010, AA ,000, ,976, ,972, , ,998, AA % Due FEDERAL HOME LOAN BANK 10,000, ,995, ,989, , ,009, AA % Due

18 FEDERAL HOME LOAN BANK 5,000, ,997, ,994, , ,004, AA % Due FEDERAL HOME LOAN BANK 5,000, ,997, ,994, , ,004, AA % Due FEDERAL HOME LOAN BANK 10,000, ,995, ,989, , ,009, AA % Due FEDERAL HOME LOAN BANK 10,000, ,995, ,989, , ,009, AA % Due FEDERAL HOME LOAN BANK 10,000, ,995, ,989, , ,009, AA % Due FEDERAL HOME LOAN BANK- DISCOUNT 20,000, ,894, ,911, ,911, AA NOTE 0.000% Due ,500, ,500, ,495, , ,500, AA B 1.000% Due ,500, ,500, ,495, , ,500, AA B 1.000% Due ,500, ,500, ,495, , ,500, AA B 1.000% Due ,000, ,978, ,973, , ,983, AA % Due ,000, ,989, ,986, , ,991, AA % Due ,000, ,989, ,986, , ,991, AA % Due ,000, ,982, ,979, , ,986, AA % Due FARM CREDIT DISCOUNT NOTE 1,815, ,800, ,802, ,802, AA % Due

19 FEDERAL HOME LOAN BANK DISCOUNT 25,000, ,816, ,832, ,832, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK-B ,000, ,000, ,974, , ,977, AA % Due ,000, ,979, ,972, , ,975, AA CORP.-B 1.060% Due ,000, ,000, ,983, , ,986, AA % Due ,000, ,000, ,991, , ,993, AA % Due FEDERAL HOME LOAN BANK 17,000, ,959, ,937, ,937, AA % Due FEDERAL HOME LOAN BANK 10,000, ,975, ,962, ,963, AA % Due FEDERAL HOME LOAN BANK 10,000, ,975, ,962, ,963, AA % Due FEDERAL HOME LOAN BANK 10,000, ,975, ,962, ,963, AA % Due FEDERAL HOME LOAN BANK 10,000, ,975, ,962, ,963, AA % Due % Due % Due % Due % Due ,000, ,000, ,985, ,985, AA ,000, ,000, ,985, ,985, AA ,000, ,000, ,985, ,985, AA ,000, ,000, ,985, ,985, AA

20 1.000% Due % Due % Due CORPORATION-B 1.050% Due B 0.875% Due B 0.875% Due B 0.875% Due B 0.875% Due CORPORATION-B 1.100% Due CORPORATION-B 1.100% Due CORPORATION-B 1.100% Due CORPORATION-B 1.100% Due ,000, ,000, ,970, ,971, AA ,000, ,000, ,985, ,985, AA ,000, ,981, ,971, , ,021, AA ,000, ,000, ,982, , ,005, AA ,500, ,500, ,488, , ,498, AA ,500, ,500, ,488, , ,498, AA ,500, ,500, ,488, , ,498, AA ,500, ,500, ,488, , ,498, AA ,000, ,998, ,977, , ,993, AA ,000, ,000, ,977, , ,993, AA ,000, ,000, ,954, , ,987, AA ,000, ,000, ,954, , ,987, AA

21 5,000, ,000, ,974, , ,987, AA % Due ,500, ,500, ,487, , ,493, AA % Due ,500, ,500, ,487, , ,493, AA % Due ,000, ,000, ,974, , ,987, AA % Due ,000, ,000, ,974, , ,987, AA % Due ,000, ,000, ,974, , ,987, AA % Due FEDERAL HOME LOAN BANK 20,000, ,986, ,866, , ,910, AA % Due FEDERAL HOME LOAN BANK 5,000, ,996, ,966, , ,977, AA % Due FEDERAL HOME LOAN BANK 5,000, ,996, ,966, , ,977, AA % Due FEDERAL HOME LOAN BANK 5,000, ,996, ,966, , ,977, AA % Due ,000, ,000, ,972, , ,982, AA B 1.125% Due ,000, ,000, ,972, , ,982, AA B 1.125% Due ,000, ,000, ,972, , ,982, AA B 1.125% Due ,000, ,000, ,972, , ,982, AA B 1.125% Due

22 ,000, ,000, ,945, , ,964, AA B 1.125% Due ,000, ,985, ,933, , ,938, AA % Due FEDERAL HOME LOAN BANK 5,000, ,999, ,968, , ,997, AA % Due FEDERAL HOME LOAN BANK 10,000, ,999, ,937, , ,994, AA % Due FEDERAL HOME LOAN BANK 10,000, ,999, ,937, , ,994, AA % Due FEDERAL HOME LOAN BANK ,500, ,515, ,492, , ,510, AA % Due FEDERAL HOME LOAN BANK ,500, ,515, ,492, , ,510, AA % Due FEDERAL HOME LOAN BANK ,500, ,515, ,492, , ,510, AA % Due FEDERAL HOME LOAN BANK ,500, ,515, ,492, , ,510, AA % Due ,000, ,000, ,954, , ,975, AA % Due ,500, ,500, ,475, , ,485, AA % Due ,500, ,500, ,475, , ,485, AA % Due ,000, ,000, ,971, , ,994, AA % Due ,000, ,000, ,971, , ,994, AA % Due ,000, ,000, ,971, , ,994, AA % Due

23 ,000, ,000, ,942, , ,989, AA % Due FEDERAL HOME LOAN BANK 5,000, ,988, ,971, , ,990, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,965, , ,972, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,965, , ,972, AA % Due ,000, ,997, ,991, , ,994, AA % Due FEDERAL HOME LOAN BANK 10,000, ,995, ,892, , ,895, AA % Due FEDERAL HOME LOAN BANK 10,000, ,995, ,892, , ,895, AA % Due FEDERAL HOME LOAN BANK 10,000, ,995, ,892, , ,895, AA % Due % Due % Due % Due % Due % Due % Due ,000, ,000, ,934, , ,005, AA ,500, ,500, ,467, , ,502, AA ,500, ,500, ,467, , ,502, AA ,500, ,500, ,467, , ,502, AA ,500, ,500, ,467, , ,502, AA ,000, ,000, ,882, , ,931, AA

24 3,805, ,804, ,760, , ,778, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,918, , ,980, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,918, , ,980, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,918, , ,980, AA % Due FEDERAL HOME LOAN BANK-B ,500, ,500, ,480, , ,493, AA % Due FEDERAL HOME LOAN BANK-B ,500, ,500, ,480, , ,493, AA % Due FEDERAL HOME LOAN BANK-B ,500, ,500, ,480, , ,493, AA % Due FEDERAL HOME LOAN BANK-B ,500, ,500, ,480, , ,493, AA % Due ,000, ,971, ,985, , ,012, AA % Due ,000, ,971, ,985, , ,012, AA % Due FEDERAL HOME LOAN BANK 5,000, ,995, ,923, , ,936, AA % Due FEDERAL HOME LOAN BANK 10,000, ,991, ,846, , ,873, AA % Due FEDERAL HOME LOAN BANK 10,000, ,991, ,846, , ,873, AA % Due % Due % Due % Due ,500, ,498, ,463, , ,468, AA ,500, ,498, ,463, , ,468, AA ,500, ,498, ,463, , ,468, AA

25 2,500, ,498, ,463, , ,468, AA % Due FEDERAL HOME LOAN BANK 5,000, ,991, ,963, , ,979, AA % Due FEDERAL HOME LOAN BANK 5,000, ,991, ,963, , ,979, AA % Due FEDERAL HOME LOAN BANK 10,000, ,982, ,927, , ,959, AA % Due FEDERAL HOME LOAN BANK 10,000, ,982, ,927, , ,959, AA % Due FEDERAL HOME LOAN BANK 5,000, ,998, ,949, , ,958, AA % Due FEDERAL HOME LOAN BANK 5,000, ,998, ,949, , ,958, AA % Due FEDERAL HOME LOAN BANK 5,000, ,998, ,949, , ,958, AA % Due FEDERAL HOME LOAN BANK 10,000, ,997, ,899, , ,917, AA % Due ,500, ,466, ,474, , ,487, AA % Due ,000, ,989, ,934, , ,006, AA % Due ,500, ,500, ,479, , ,497, AA B 1.650% Due FEDERAL HOME LOAN BANK ,500, ,500, ,480, , ,485, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,960, , ,971, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,920, , ,942, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,960, , ,971, AA % Due FEDERAL HOME LOAN BANK ,500, ,500, ,480, , ,485, AA % Due

26 10,000, ,965, ,881, , ,885, AA % Due FEDERAL HOME LOAN BANK 5,000, ,983, ,912, , ,930, AA % Due FEDERAL HOME LOAN BANK 10,000, ,967, ,825, , ,861, AA % Due ,000, ,972, ,828, , ,890, AA CORPORATION 1.625% Due ,000, ,022, ,008, , ,027, AA % Due ,500, ,533, ,512, , ,541, AA % Due ,500, ,533, ,512, , ,541, AA % Due ,000, ,995, ,926, , ,932, AA % Due FEDERAL FARM CR BKS FDG CORP 5,000, ,000, ,995, , ,999, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,833, , ,859, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,833, , ,859, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,833, , ,859, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,833, , ,859, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,833, , ,859, AA % Due % Due ,000, ,959, ,690, , ,736, AA ,131,681,000 1,129,442, ,125,065, ,488, ,127,553,

27 US INSTRUMENTALITIES INTL BK RECON & DEVELOP 25,000, ,920, ,968, ,968, AAA % Due WORLD BANK DISCOUNT NOTE 25,000, ,910, ,960, ,960, AAA % Due IBRD DISCOUNT NOTE 40,000, ,846, ,919, ,919, AAA % Due IBRD DISCOUNT NOTE 20,000, ,919, ,943, ,943, AAA % Due INTER-AMERICAN DEVEL BK 25,000, ,817, ,854, ,854, AAA % Due INTER-AMERICAN DEVEL BK 25,000, ,800, ,827, ,827, AAA % Due INTL BK RECON & DEVELOP 15,000, ,973, ,925, , ,952, AAA % Due INTL BK RECON & DEVELOP 15,000, ,973, ,925, , ,952, AAA % Due INTL BK RECON & DEVELOP 2,500, ,500, ,477, , ,483, AAA % Due INTL BK RECON & DEVELOP 2,500, ,500, ,477, , ,483, AAA % Due INTL BK RECON & DEVELOP 2,500, ,500, ,477, , ,483, AAA % Due INTL BK RECON & DEVELOP 2,500, ,500, ,477, , ,483, AAA % Due INTL BK RECON & DEVELOP 4,500, ,488, ,460, , ,470, AAA % Due INTL BK RECON & DEVELOP 10,000, ,991, ,957, , ,994, AAA % Due INTL BK RECON & DEVELOP 5,000, ,998, ,937, , ,964, AAA % Due INTL BK RECON & DEVELOP 20,000, ,969, ,666, , ,767, AAA % Due INTL BK RECON & DEVELOP 20,000, ,948, ,467, , ,496, AAA % Due

28 INTL BK RECON & DEVELOP 10,000, ,945, ,903, , ,989, AAA % Due ,500, ,504, ,628, , ,993, FLOATING RATE SECURITIES TOYOTA MOTOR CREDIT CORP.-FRN 5,000, ,000, ,000, , ,018, AA % Due IBM CORP.-FRN 10,000, ,000, ,999, , ,022, A % Due APPLE INC.-FRN 15,000, ,000, ,009, , ,046, AA % Due APPLE INC.-FRN 10,000, ,008, ,006, , ,031, AA % Due APPLE INC.-FRN 5,000, ,004, ,003, , ,015, AA % Due MERCK & CO INC.-FRN 10,000, ,000, ,007, , ,027, AA % Due CISCO SYSTEMS INC.-FRN 10,000, ,000, ,009, , ,018, AA % Due ROYAL BANK OF CANADA-FRN 10,000, ,000, ,022, , ,055, AA % Due WELLS FARGO BANK NA-FRN 20,000, ,000, ,064, , ,097, AA % Due BERKSHIRE HATHAWAY FIN.-FRN 10,000, ,000, ,019, , ,055, AA % Due TORONTO-DOMINION BANK-FRN 10,000, ,000, ,023, , ,060, AA % Due US BANKCORP-FRN 12,200, ,198, ,236, , ,276, A % Due BANK OF MONTREAL-FRN 7,000, ,000, ,048, , ,077, A % Due IBM CREDIT CORP-FRN 20,000, ,000, ,018, , ,041, A % Due SVENSKA HANDELSBANKEN AB-FRN 10,000, ,000, ,047, , ,061, AA % Due TORONTO-DOMINION BANK 10,000, ,000, ,003, , ,032, AA % Due

29 BANK OF MONTREAL-FRN 5,000, ,000, ,036, , ,041, A % Due BERKSHIRE HATHAWAY FIN FRN 10,000, ,000, ,043, , ,082, AA % Due US BANK NA CINCINNATI-FRN-1 10,000, ,000, ,027, , ,059, AA % Due ROYAL BANK OF CANADA-FRN 15,000, ,000, ,046, , ,069, AA % Due APPLE INC.-FRN 5,000, ,000, ,994, , ,003, AA % Due BANK OF MONTREAL-FRN 15,000, ,000, ,037, , ,051, A % Due BANK OF NY MELLON CORP.-FRN 5,000, ,000, ,075, , ,088, A % Due CANADIAN IMPERIAL BK OF COMM NY 25,000, ,000, ,959, , ,059, A CD FLTR 1.652% Due UNITED PARCEL SERVICE-FRN 10,000, ,000, ,004, , ,044, A % Due WELLS FARGO & COMPANY-FRN ,000, ,000, ,124, , ,155, A % Due UNITED PARCEL SERVICE-FRN 5,000, ,000, ,008, , ,040, A % Due ,200, ,210, ,879, , ,635, CORPORATE BONDS TOYOTA MOTOR CREDIT CORPORATION 5,000, ,993, ,999, , ,033, AA % Due US BANK NA CINCINNATI 15,000, ,010, ,001, , ,093, AA % Due IBM CORP. 5,000, ,984, ,996, , ,003, A % Due IBM CORP. 5,000, ,014, ,996, , ,003, A % Due ELI LILLY & CO 5,000, ,995, ,996, , ,017, AA % Due CHEVRON CORP 15,000, ,000, ,989, , ,057, AA % Due

30 CHEVRON CORP 10,000, ,003, ,993, , ,038, AA % Due EXXON MOBIL CORPORATION 12,000, ,000, ,988, , ,038, AA % Due BANK OF MONTREAL 15,000, ,990, ,980, , ,027, A % Due MICROSOFT CORP. 5,000, ,996, ,991, , ,000, AAA % Due APPLE INC. 15,000, ,944, ,962, , ,987, AA % Due BERKSHIRE HATHAWAY FIN. 8,000, ,995, ,981, , ,995, AA % Due BERKSHIRE HATHAWAY FIN. 15,000, ,958, ,965, , ,990, AA % Due CHEVRON CORP 10,000, ,000, ,999, , ,003, AA % Due BERKSHIRE HATHAWAY INC 5,000, ,999, ,987, , ,009, AA % Due BANK OF MONTREAL 10,000, ,999, ,968, , ,014, A % Due TORONTO-DOMINION BANK 15,000, ,997, ,946, , ,015, AA % Due CHEVRON CORP 10,000, ,000, ,984, , ,006, AA % Due WELLS FARGO BANK NA 20,000, ,983, ,970, , ,003, AA % Due EXXON MOBIL CORPORATION 5,000, ,013, ,988, , ,016, AA % Due EXXON MOBIL CORPORATION 15,000, ,000, ,976, , ,056, AA % Due PEPSICO INC. 10,000, ,992, ,944, , ,970, A % Due M COMPANY 15,000, ,915, ,925, , ,936, AA % Due WALT DISNEY COMPANY/THE 5,000, ,983, ,909, , ,929, A % Due BANK OF MONTREAL 10,000, ,990, ,902, , ,970, A % Due

31 PROCTER & GAMBLE CO 10,000, ,996, ,968, , ,002, AA % Due US BANK NA 10,000, ,991, ,003, , ,040, AA % Due ROYAL BANK OF CANADA 15,000, ,985, ,945, , ,048, AA % Due UNITED PARCEL SERVICE 20,000, ,968, ,894, , ,996, A % Due TORONTO-DOMINION BANK 10,000, ,983, ,904, , ,954, AA % Due ,000, ,684, ,067, ,194, ,262, TOTAL PORTFOLIO 5,125,681,000 5,112,018, ,099,257, ,295, ,107,553, ** TOTAL COST DOES NOT REFLECT AMORTIZATIONS OR ACCRETIONS BUT INCLUDES PURCHASED ACCRUED INTEREST. MARKET PRICES ARE DOWNLOADED THROUGH (IDC) INTERACTIVE DATA CORP. 31

32 San Mateo County Treasurer - Pool Participants Summary of Assets Held as of Pool Participants School Districts 25.1% All other SMCO Funds 46.5% SMCO Trans. Authority/JPB 5.7% Cities 9.9% Bay Area Air Quality Mgmt. 4.1% SMC Community College 5.4% Special Districts 3.2% Participants: $ % School Districts 1,312,959, % SMC Community College 284,205, % Cities 519,849, % Special Districts 166,890, % Bay Area Air Quality Mgmt. 213,197, % SMCO Trans. Authority/JPB 297,046, % All other SMCO Funds 2,432,175, % Totals 5,226,324, % Voluntary Participants 22.9% Involuntary Participants 77.1% 32

33 San Mateo County Treasurer - Asset Allocation as of U.S. Instrumentalities 5.2% Certificate of Deposit 5.2% Repurchase Agreements 4.5% LAIF 1.3% Government Agency 22.8% Asset Allocation Corporate Securities 12.1% Commercial Paper 21.8% U.S. Treasury 27.2% Sector: Market Value:* Government Agency 1,162,641, % Commercial Paper 1,111,610, % U.S. Treasury 1,387,812, % Corporate Securities 615,897, % U.S. Instrumentalities 267,993, % Certificate of Deposit 265,639, % Repurchase Agreements 230,800, % LAIF 65,158, % Totals 5,107,553, % *Market Values listed include accrued interest for the reported period. 33

34 San Mateo County Treasurer - Credit Quality as of MOODY RATING Not Rated 1.3% A2 0.4% P % Aa3 0.7% A1 5.7% Aaa 62.3% Aa2 3.5% Aa1 1.7% Rating: Market Value:* Aaa 3,180,897, % Aa1 85,095, % Aa2 178,431, % Aa3 34,991, % A1 288,634, % A2 20,102, % P-1 1,254,242, % Not Rated 65,158, % Totals 5,107,553, % *Market Values listed include accrued interest for the reported period. 34