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: May 9, 2018 TO: FROM: SUBJECT: San Mateo County Pool Participants Sandie Arnott, Treasurer-Tax Collector April Monthly Investment Report Gross earnings for the month ending were 1.709% The current average maturity of the portfolio is.93 years with an average duration of.89 years. The current par value of the pool is $5.245 Billion. The largest non-government aggregate position is currently Mitsubishi UFJ Financial Group at 3.09%. 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 compliancewith 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 Total Return 4 SMC Pool vs. LAIF 5 Fixed Income Distribution 6-7 Fixed Income Distribution 8 Portfolio Appraisal 9-26 Asset Allocation Graph 27 Credit Quality Graph - Moody s Rating 28 Credit Quality Graph - S&P Rating 29 Diversification Report Month Cash-Flow Projection 31 Historical Yield Curves

3 COUNTY OF SAN MATEO ESTIMATED SUMMARY OF POOL EARNINGS APRIL 2018 Par Value Gross Earnings Fixed Income Securities Maturing > 1 year U S Treasury Notes 600,000,000 $571, U.S, Instrumentalities 65,000,000 $80, Federal Agencies 413,805, , Corporate Notes 105,000, , Floating Rate Securities 256,200, , ,440,005,000 $1,612, Short Term Securities Maturing < 1 year U S Treasury Notes 325,000, , U.S, Instrumentalities 258,637, , Federal Agencies 549,815, , Corporate Notes 143,000, , Floating Rate Securities 135,000, , LAIF 65,000,000 93, Commercial Paper 1,328,800,000 1,995, Certificate of Deposit 185,000, , U S Treasury Bills 596,000, , Repurchase Agreements 219,500,000 10, ,805,752,000 $4,620, Total Accrued Interest 5,245,757,000 $6,232, Realized Gain/Loss & Interest Received U S Treasury Notes $353, U.S, Instrumentalities $23, Federal Agencies 171, Corporate Notes 31, Floating Rate Securities 174, LAIF 25, Commercial Paper 131, Certificate of Deposit 7, Repurchase Agreements 269, Total Realized Income $1,190, TOTAL DOLLAR EARNINGS $7,422, AVERAGE BALANCE $5,284,348, GROSS EARNINGS RATE / GROSS DOLLAR EARNINGS 1.709% $7,422, ADMINISTRATION FEES ($456,046.48) NET EARNINGS RATE / NET DOLLAR EARNINGS 1.604% $6,966,

4 MERRILL LYNCH TAXABLE BOND INDEX vs. CHARACTERISTICS INDEX 4/30/18 POOL 2.17 AVERAGE MATURITY (yrs) DURATION (yrs) YIELD TO MATURITY (%) 2.10 TIME WEIGHTED/TOTAL RETURN MONTH (%) MONTHS (%) MONTHS (%) YEAR (%) 0.24 SYNTHETIC BENCHMARK ALLOCATION OF INDEX 30% 0-1 year U.S. Government 20% year U.S. Government 20% 3-5 year U.S. Government 10% 1-10 year U.S. Government 20% 1-5 year Corporate Bonds *** THE MEASURE THAT CAN BE USED TO ASSESS THE PERFORMANCE OF A PORTFOLIO OVER SOME INVESTMENT HORIZON IS THE TOTAL RETURN. TOTAL RETURN IS THE SUM OF PRINCIPAL AND INTEREST PAYMENTS AS WELL AS ANY REINVESTMENT INCOME RECEIVED OVER A HOLDING PERIOD PLUS ANY CAPITAL GAIN OR LOSS. 4

5 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 68, , TOTAL LOSSES ,289, ,513, , , TOTAL REALIZED GAIN/LOSS 224, **THESE ARE GROSS PRINCIPAL FIGURES ONLY. THEY DO NOT REFLECT ANY AMORTIZATIONS OR ACCRETIONS. THE COST BASIS DOES NOT REFLECT ANY PURCHASED ACCRUED INTEREST. 5

6 SAN MATEO COUNTY INVESTMENT POOL vs LOCAL AGENCY INVESTMENT FUND POOL EARNINGS RATES ending 4/30/18 LAIF 1.709% 1 MONTH 1.660% 1.617% 3 MONTHS 1.533% 1.477% 6 MONTHS 1.390% 1.375% 1 YEAR 1.218% 6

7 FIXED INCOME DISTRIBUTION - SETTLED TRADES Summary Information Totals Weighted Averages Par Value 5,245,757,000 Average YTM 2.09 Market Value 5,208,618, Average Maturity (yrs) 0.94 Total Cost 5,226,842, Average Coupon (%) 0.89 Net Gain/Loss -18,224, Average Duration 0.89 Annual Income 46,891, Average Moody Rating Aa1/P-1 Accrued Interest 8,691, Average S&P Rating AA/A-1 Number of Issues 229 Distribution by Maturity % Bond Average Average Average Maturity Number Mkt Value Holdings Y T M Coupon Duration Under 1 Yr 153 3,810,877, % Yr - 3 Yrs ,041, % Yrs - 5 Yrs ,733, % Yrs - 7 Yrs 1 46,964, % 5.1 Distribution by Coupon % Bond Average Average Average Coupon % Number Mkt Value Holdings Y T M Coupon Duration Under 1% 100 2,574,880, % 0.2 1% - 3% 128 2,626,690, % 1.6 3% - 5% 1 7,047, % 1.2 Distribution by Duration % Bond Average Average Average Duration Number Mkt Value Holdings Y T M Coupon Duration Under 1 Yr 154 3,820,864, % Yr - 3 Yrs ,349, % Yrs - 5 Yrs ,439, % Yrs - 7 Yrs 1 46,964, % 5.1 7

8 FIXED INCOME DISTRIBUTION - SETTLED TRADES Distribution by Moody Rating % Bond Average Average Average Rating Number Mkt Value Holdings Y T M Coupon Duration Aaa 109 3,078,672, % 1.2 Aa1 4 60,238, % 0.4 Aa ,401, % 1.0 Aa3 2 24,799, % 1.2 A ,156, % 1.6 A2 1 4,902, % 1.2 P ,557,405, % 0.2 Not Rated 1 65,041, % 0.1 Distribution by S&P Rating % Bond Average Average Average Rating Number Mkt Value Holdings Y T M Coupon Duration AAA ,161, % 0.9 AA+ 90 2,730,788, % 1.2 AA 5 48,203, % 0.2 AA ,884, % 1.3 A ,152, % 1.8 A 1 5,105, % 2.2 A ,893, % 0.2 A ,386, % 0.2 Not Rated 1 65,041, % 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. 8

9 CERTIFICATE OF DEPOSIT BANK OF MONTREAL CHICAGO 25,000, ,000, ,000, , ,161, A % Due WELLS FARGO & COMPANY 15,000, ,000, ,000, , ,104, A % Due TORONTO-DOMINION BANK 15,000, ,000, ,000, , ,103, A % Due WELLS FARGO BANK NA-FLT 10,000, ,000, ,000, ,000, A % Due WELLS FARGO BANK NA-FLT 10,000, ,000, ,000, ,000, A % Due BANK OF MONTREAL CHICAGO 25,000, ,000, ,000, , ,167, A % Due TORONTO DOMINION BANK NY 25,000, ,000, ,000, , ,036, A % Due TORONTO DOMINION BANK NY 25,000, ,000, ,000, , ,074, A % Due TORONTO-DOMINION BANK 25,000, ,000, ,000, , ,074, A % Due WELLS FARGO BANK NA-FLT 15,000, ,000, ,000, , ,203, A % Due WELLS FARGO BANK NA-FLT 25,000, ,000, ,000, , ,033, A % Due WELLS FARGO BANK NA-FLT 15,000, ,000, ,000, ,000, A % Due ROYAL BANK OF CANADA NY 5,000, ,031, ,000, , ,002, A % Due WELLS FARGO BANK NA 5,000, ,000, ,000, , ,003, A % Due ,000, ,031, ,000, , ,968, COMMERCIAL PAPER BANK OF NEW YORK MELLON 25,000, ,886, ,996, ,996, A % Due TOYOTA MOTOR CREDIT CORP 33,000, ,805, ,985, ,985, A % Due RABOBANK USA FIN CORP 25,000, ,850, ,987, ,987, A % Due SWEDBANK 25,000, ,857, ,987, ,987, A % Due CANADIAN IMPERIAL HLDING 25,000, ,847, ,981, ,981, A % Due NATIXIS NY BRANCH 20,000, ,888, ,983, ,983, A % Due BANK TOKYO-MITSUBISHI 20,000, ,878, ,978, ,978, A % Due

10 GE CAPITAL TREASURY LLC 25,000, ,802, ,973, ,973, A % Due RABOBANK USA FIN CORP 25,000, ,835, ,973, ,973, A % Due RABOBANK NEDERLAND NY 25,000, ,823, ,972, ,972, A % Due CANADIAN IMPERIAL HLDING 15,000, ,884, ,979, ,979, A % Due EXXON MOBIL CORP 30,000, ,897, ,950, ,950, A % Due SWEDBANK 1,300, ,292, ,297, ,297, A % Due TOYOTA MOTOR CREDIT CORPORATION 25,000, ,841, ,960, ,960, A % Due EXXON MOBIL CORP 50,000, ,821, ,909, ,909, A % Due ROYAL BANK OF CANADA NY 25,000, ,867, ,951, ,951, A % Due EXXON MOBIL CORP 30,000, ,919, ,944, ,944, A % Due BANK TOKYO-MITSUBISHI 20,000, ,871, ,960, ,960, A % Due COOPERATIEVE RABOBANK UA 25,000, ,797, ,955, ,955, A % Due RABOBANK NEDERLAND NY 25,000, ,792, ,949, ,949, A % Due BANK OF NEW YORK MELLON 25,000, ,864, ,937, ,937, A % Due TOYOTA MOTOR CREDIT CORPORATION 15,000, ,906, ,958, ,958, A % Due NATIXIS NY BRANCH 30,000, ,805, ,913, ,913, A % Due SWEDBANK 25,000, ,832, ,931, ,931, A % Due SWEDBANK 10,000, ,939, ,967, ,967, A % Due GENERAL ELECTRIC CORPORATION 20,000, ,890, ,924, ,924, A % Due ROYAL BANK OF CANADA NY 25,000, ,829, ,916, ,916, A % Due BANK OF NEW YORK MELLON 23,000, ,838, ,931, ,931, A % Due BANK TOKYO-MITSUBISHI 15,000, ,880, ,953, ,953, A % Due CANADIAN IMPERIAL HLDING 20,000, ,851, ,942, ,942, A % Due

11 GENERAL ELECTRIC CO 25,000, ,788, ,924, ,924, A % Due BANK OF NEW YORK MELLON 16,000, ,903, ,937, ,937, A % Due MITSUBISHI UFJ FINANCIAL GROUP 20,000, ,883, ,916, ,916, A % Due NATIXIS NY BRANCH 15,000, ,901, ,939, ,939, A % Due SWEDBANK 15,000, ,892, ,943, ,943, A % Due ROYAL BANK OF CANADA NY 20,000, ,857, ,918, ,918, A % Due SWEDBANK 20,000, ,873, ,914, ,914, A % Due TOYOTA MOTOR CREDIT CORPORATION 25,000, ,845, ,887, ,887, A % Due BANK TOKYO-MITSUBISHI 25,000, ,819, ,892, ,892, A % Due SWEDBANK 20,000, ,828, ,909, ,909, A % Due BANK OF NEW YORK MELLON 25,000, ,804, ,879, ,879, A % Due BANK TOKYO-MITSUBISHI 20,000, ,825, ,905, ,905, A % Due CANADIAN IMPERIAL HLDING 20,000, ,831, ,904, ,904, A % Due SWEDBANK 25,000, ,801, ,871, ,871, A % Due BANK TOKYO-MITSUBISHI 20,000, ,839, ,897, ,897, A % Due EXXON MOBIL CORP 25,000, ,844, ,886, ,886, A % Due ROYAL BANK OF CANADA NY 25,000, ,777, ,866, ,866, A % Due NATIXIS NY BRANCH 25,000, ,781, ,860, ,860, A % Due BANK OF NEW YORK MELLON 25,000, ,836, ,853, ,853, A % Due NATIXIS NY BRANCH 25,000, ,775, ,858, ,858, A % Due CANADIAN IMPERIAL HLDING 20,000, ,809, ,900, ,900, A % Due NATIXIS NY BRANCH 7,500, ,430, ,454, ,454, A % Due GE CAPITAL TREASURY LLC 25,000, ,835, ,841, ,841, A % Due

12 NATIXIS NY BRANCH 15,000, ,880, ,898, ,898, A % Due COOPERATIEVE RABOBANK UA 6,000, ,938, ,965, ,965, A % Due MUFG BANK LTD 15,000, ,879, ,897, ,897, A % Due NATIXIS NY BRANCH 20,000, ,809, ,865, ,865, A % Due SWEDBANK 15,000, ,880, ,898, ,898, A % Due CANADIAN IMPERIAL HLDING 20,000, ,796, ,878, ,878, A % Due TOYOTA MOTOR CREDIT CORPORATION 15,000, ,877, ,893, ,893, A % Due BANK TOKYO-MITSUBISHI 7,000, ,925, ,954, ,954, A % Due GENERAL ELECTRIC CORPORATION 25,000, ,752, ,772, ,772, A % Due ,328,800,000 1,319,620, ,324,249, ,324,249, LOCAL AGENCY INVESTMENT FUND LAIF 65,000, ,000, ,000, , ,041, NR % Due REPURCHASE AGREEMENTS REPURCHASE AGREEMENT(U.S. TREAS NTS COLLAT) 1.720% Due ,500, ,500, ,500, ,500, AA UNITED STATES TREASURY-BILLS UNITED STATES TREAS BILL 4,000, ,972, ,995, ,995, AA % Due UNITED STATES TREAS BILL 16,000, ,888, ,983, ,983, AA % Due UNITED STATES TREAS BILL 25,000, ,863, ,940, ,940, AA % Due UNITED STATES TREAS BILL 25,000, ,871, ,940, ,940, AA % Due UNITED STATES TREAS BILL 25,000, ,844, ,931, ,931, AA % Due UNITED STATES TREAS BILL 20,000, ,878, ,945, ,945, AA % Due UNITED STATES TREAS BILL 50,000, ,783, ,863, ,863, AA % Due UNITED STATES TREAS BILL 35,000, ,777, ,878, ,878, AA % Due

13 UNITED STATES TREAS BILL 35,000, ,750, ,851, ,851, AA % Due UNITED STATES TREAS BILL 50,000, ,611, ,743, ,743, AA % Due UNITED STATES TREAS BILL 20,000, ,849, ,897, ,897, AA % Due UNITED STATES TREAS BILL 6,000, ,963, ,969, ,969, AA % Due UNITED STATES TREAS BILL 40,000, ,681, ,779, ,779, AA % Due UNITED STATES TREAS BILL 20,000, ,842, ,889, ,889, AA % Due UNITED STATES TREAS BILL 25,000, ,798, ,862, ,862, AA % Due UNITED STATES TREAS BILL 25,000, ,827, ,853, ,853, AA % Due UNITED STATES TREAS BILL 25,000, ,853, ,853, ,853, AA % Due UNITED STATES TREAS BILL 25,000, ,816, ,843, ,843, AA % Due UNITED STATES TREAS BILL 25,000, ,834, ,832, ,832, AA % Due UNITED STATES TREAS BILL 25,000, ,805, ,821, ,821, AA % Due UNITED STATES TREAS BILL 25,000, ,824, ,821, ,821, AA % Due UNITED STATES TREAS BILL 25,000, ,803, ,812, ,812, AA % Due UNITED STATES TREAS BILL 25,000, ,812, ,812, ,812, AA % Due ,000, ,955, ,120, ,120, UNITED STATES TREASURY-NOTES UNITED STATES TREAS NTS 50,000, ,867, ,967, , ,152, AA % Due UNITED STATES TREAS NTS 50,000, ,917, ,972, , ,180, AA % Due UNITED STATES TREAS NTS 25,000, ,975, ,986, , ,090, AA % Due UNITED STATES TREAS NTS 50,000, ,990, ,972, , ,180, AA % Due UNITED STATES TREAS NTS 50,000, ,798, ,863, , ,932, AA % Due UNITED STATES TREAS NTS 25,000, ,954, ,961, , ,025, AA % Due

14 UNITED STATES TREAS NTS 50,000, ,013, ,923, , ,050, AA % Due UNITED STATES TREAS NTS 25,000, ,930, ,906, , ,914, AA % Due UNITED STATES TREAS NTS 50,000, ,000, ,597, , ,735, AA % Due UNITED STATES TREAS NTS 50,000, ,812, ,523, , ,618, AA % Due UNITED STATES TREAS NTS 50,000, ,875, ,523, , ,618, AA % Due UNITED STATES TREAS NTS 50,000, ,890, ,453, , ,500, AA % Due UNITED STATES TREAS NTS 50,000, ,000, ,603, ,603, AA % Due UNITED STATES TREAS NTS 50,000, ,808, ,710, , ,777, AA % Due UNITED STATES TREAS NTS 50,000, ,863, ,166, , ,706, AA % Due UNITED STATES TREAS NTS 50,000, ,919, ,380, , ,435, AA % Due UNITED STATES TREAS NTS 50,000, ,746, ,355, , ,763, AA % Due UNITED STATES TREAS NOTE 50,000, ,679, ,582, , ,912, AA % Due UNITED STATES TREAS NTS 50,000, ,596, ,337, , ,376, AA % Due UNITED STATES TREAS NTS 50,000, ,078, ,964, ,964, AA % Due ,000, ,716, ,751, ,790, ,541, FEDERAL AGENCY - FLOATING RATE SECURITIES FEDERAL FARM CREDIT BANK-FRN 5,000, ,000, ,010, , ,014, AA % Due FEDERAL FARM CREDIT BANK-FRN 5,000, ,000, ,018, , ,030, AA % Due FEDERAL FARM CREDIT BANK-FRN 10,000, ,000, ,001, , ,003, AA % Due FEDERAL FARM CR BKS FDG CORP 5,000, ,000, ,000, , ,005, AA % Due ,000,000 25,000, ,030, , ,053, FEDERAL AGENCY SECURITIES 0.875% Due ,000, ,978, ,995, , ,033, AA

15 5,000, ,989, ,997, , ,016, AA % Due ,000, ,989, ,997, , ,016, AA % Due ,000, ,982, ,996, , ,027, AA % Due FEDERAL HOME LOAN BANK - DISCOUNT 6,000, ,978, ,992, ,992, AA NOTE 0.000% Due FARM CREDIT DISCOUNT NOTE 1,815, ,800, ,811, ,811, AA % Due FEDERAL HOME LOAN BANK - DISCOUNT 25,000, ,816, ,945, ,945, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK - DISCOUNT 15,000, ,918, ,967, ,967, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK - DISCOUNT 15,000, ,918, ,967, ,967, AA NOTE 0.000% Due FEDERAL HOME LOAN BANK - DISCOUNT NOTE 20,000, ,893, ,956, ,956, AA % Due FREDDIE DISCOUNT 12,000, ,944, ,971, ,971, AA % Due FEDERAL HOME LOAN BANK-B 10,000, ,000, ,991, , ,032, AA % Due CORP.-B 10,000, ,979, ,989, , ,027, AA % Due % Due ,000, ,000, ,993, , ,038, AA ,000, ,000, ,996, , ,019, AA % Due FEDERAL HOME LOAN BANK 17,000, ,959, ,976, , ,026, AA % Due FEDERAL HOME LOAN BANK 10,000, ,975, ,986, , ,015, AA % Due FEDERAL HOME LOAN BANK 10,000, ,975, ,986, , ,015, AA % Due FEDERAL HOME LOAN BANK 10,000, ,975, ,986, , ,015, AA % Due

16 FEDERAL HOME LOAN BANK 10,000, ,975, ,986, , ,015, AA % Due ,000, ,000, ,993, , ,009, AA % Due ,000, ,000, ,993, , ,009, AA % Due ,000, ,000, ,993, , ,009, AA % Due ,000, ,000, ,993, , ,009, AA % Due ,000, ,000, ,986, , ,019, AA % Due ,000, ,000, ,993, , ,009, AA % Due FEDERAL HOME LOAN BANK DISCOUNT 10,000, ,936, ,964, ,964, AA CORP % Due FEDERAL HOME LOAN BANK DISCOUNT 10,000, ,936, ,964, ,964, AA CORP % Due FEDERAL HOME LOAN BANK DISCOUNT 10,000, ,936, ,964, ,964, AA CORP % Due FEDERAL HOME LOAN BANK DISCOUNT 20,000, ,873, ,928, ,928, AA CORP % Due FEDERAL HOME LOAN BANK-DISCOUNT 10,000, ,940, ,963, ,963, AA NOTE 0.000% Due ,000, ,981, ,982, , ,014, AA % Due ,000, ,000, ,991, , ,004, AA CORPORATION-B 1.050% Due ,500, ,500, ,493, , ,499, AA B 0.875% Due

17 2,500, ,500, ,493, , ,499, AA B 0.875% Due ,500, ,500, ,493, , ,499, AA B 0.875% Due ,500, ,500, ,493, , ,499, AA B 0.875% Due FEDERAL HOME LOAN BANK DISCOUNT 5,000, ,958, ,975, ,975, AA CORPORATION 0.000% Due ,000, ,998, ,982, , ,990, AA CORPORATION-B 1.100% Due ,000, ,000, ,982, , ,990, AA CORPORATION-B 1.100% Due ,000, ,000, ,965, , ,980, AA CORPORATION-B 1.100% Due ,000, ,000, ,965, , ,980, AA CORPORATION-B 1.100% Due ,000, ,000, ,980, , ,985, AA % Due ,500, ,500, ,490, , ,492, AA % Due ,500, ,500, ,490, , ,492, AA % Due ,000, ,000, ,980, , ,985, AA % Due ,000, ,000, ,980, , ,985, AA % Due ,000, ,000, ,980, , ,985, AA % Due FEDERAL HOME LOAN BANK 20,000, ,986, ,904, , ,918, AA % Due FEDERAL HOME LOAN BANK 5,000, ,996, ,976, , ,979, AA % Due

18 FEDERAL HOME LOAN BANK 5,000, ,996, ,976, , ,979, AA % Due FEDERAL HOME LOAN BANK 5,000, ,996, ,976, , ,979, AA % Due ,000, ,000, ,976, ,976, AA B 1.125% Due ,000, ,000, ,976, ,976, AA B 1.125% Due ,000, ,000, ,976, ,976, AA B 1.125% Due ,000, ,000, ,976, ,976, AA B 1.125% Due ,000, ,000, ,952, ,952, AA B 1.125% Due ,000, ,985, ,935, , ,978, AA % Due FEDERAL HOME LOAN BANK 5,000, ,999, ,967, , ,985, AA % Due FEDERAL HOME LOAN BANK 10,000, ,999, ,934, , ,970, AA % Due FEDERAL HOME LOAN BANK 10,000, ,999, ,934, , ,970, AA % Due FEDERAL HOME LOAN BANK-1 2,500, ,515, ,489, , ,500, AA % Due FEDERAL HOME LOAN BANK-1 2,500, ,515, ,489, , ,500, AA % Due FEDERAL HOME LOAN BANK-1 2,500, ,515, ,489, , ,500, AA % Due FEDERAL HOME LOAN BANK-1 2,500, ,515, ,489, , ,500, AA % Due % Due % Due % Due ,000, ,000, ,955, , ,968, AA ,500, ,500, ,475, , ,481, AA ,500, ,500, ,475, , ,481, AA

19 5,000, ,000, ,965, , ,977, AA % Due ,000, ,000, ,965, , ,977, AA % Due ,000, ,000, ,965, , ,977, AA % Due ,000, ,000, ,931, , ,955, AA % Due FEDERAL HOME LOAN BANK 5,000, ,988, ,962, , ,970, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,948, , ,977, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,948, , ,977, AA % Due ,000, ,997, ,967, , ,999, AA % Due FEDERAL HOME LOAN BANK 10,000, ,995, ,864, , ,904, AA % Due FEDERAL HOME LOAN BANK 10,000, ,995, ,864, , ,904, AA % Due FEDERAL HOME LOAN BANK 10,000, ,995, ,864, , ,904, AA % Due % Due % Due % Due % Due % Due % Due ,000, ,000, ,914, , ,002, AA ,500, ,500, ,457, , ,501, AA ,500, ,500, ,457, , ,501, AA ,500, ,500, ,457, , ,501, AA ,500, ,500, ,457, , ,501, AA ,000, ,000, ,839, , ,868, AA

20 3,805, ,804, ,743, , ,755, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,905, , ,981, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,905, , ,981, AA % Due FEDERAL HOME LOAN BANK 5,000, ,990, ,905, , ,981, AA % Due FEDERAL HOME LOAN BANK-B ,500, ,500, ,469, , ,476, AA % Due FEDERAL HOME LOAN BANK-B ,500, ,500, ,469, , ,476, AA % Due FEDERAL HOME LOAN BANK-B ,500, ,500, ,469, , ,476, AA % Due FEDERAL HOME LOAN BANK-B ,500, ,500, ,469, , ,476, AA % Due ,000, ,971, ,956, , ,967, AA % Due ,000, ,971, ,956, , ,967, AA % Due FEDERAL HOME LOAN BANK 5,000, ,995, ,901, , ,906, AA % Due FEDERAL HOME LOAN BANK 10,000, ,991, ,802, , ,812, AA % Due FEDERAL HOME LOAN BANK 10,000, ,991, ,802, , ,812, AA % Due % Due % Due % Due ,500, ,498, ,452, ,453, AA ,500, ,498, ,452, ,453, AA ,500, ,498, ,452, ,453, AA ,500, ,498, ,452, ,453, AA % Due FEDERAL HOME LOAN BANK 5,000, ,991, ,931, , ,934, AA % Due FEDERAL HOME LOAN BANK 5,000, ,991, ,931, , ,934, AA % Due

21 FEDERAL HOME LOAN BANK 10,000, ,982, ,862, , ,869, AA % Due FEDERAL HOME LOAN BANK 10,000, ,982, ,862, , ,869, AA % Due FEDERAL HOME LOAN BANK 5,000, ,998, ,921, , ,953, AA % Due FEDERAL HOME LOAN BANK 5,000, ,998, ,921, , ,953, AA % Due FEDERAL HOME LOAN BANK 5,000, ,998, ,921, , ,953, AA % Due FEDERAL HOME LOAN BANK 10,000, ,997, ,843, , ,906, AA % Due ,500, ,466, ,418, , ,475, AA % Due ,000, ,989, ,856, , ,900, AA % Due ,500, ,500, ,458, , ,469, AA B 1.650% Due FEDERAL HOME LOAN BANK ,500, ,500, ,482, ,482, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,964, ,964, AA % Due FEDERAL HOME LOAN BANK 20,000, ,996, ,946, , ,005, AA % Due FEDERAL HOME LOAN BANK 10,000, ,998, ,973, , ,002, AA % Due FEDERAL HOME LOAN BANK ,500, ,500, ,458, , ,478, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,917, , ,956, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,834, , ,912, AA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,917, , ,956, AA % Due FEDERAL HOME LOAN BANK ,500, ,500, ,458, , ,478, AA % Due ,000, ,965, ,778, , ,831, AA % Due FEDERAL HOME LOAN BANK 5,000, ,983, ,855, , ,861, AA % Due FEDERAL HOME LOAN BANK 10,000, ,967, ,710, , ,722, AA % Due

22 15,000, ,972, ,657, , ,678, AA CORPORATION 1.625% Due ,000, ,022, ,947, , ,003, AA % Due ,500, ,533, ,420, , ,504, AA % Due ,500, ,533, ,420, , ,504, AA % Due ,000, ,995, ,860, , ,891, AA % Due FEDERAL HOME LOAN BANK ,500, ,500, ,461, , ,475, AAA % Due FEDERAL HOME LOAN BANK ,500, ,500, ,461, , ,475, AAA % Due FEDERAL HOME LOAN BANK ,000, ,000, ,936, , ,964, AAA % Due FEDERAL HOME LOAN BANK ,500, ,500, ,468, , ,482, AAA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,763, , ,779, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,763, , ,779, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,763, , ,779, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,763, , ,779, AA % Due FEDERAL HOME LOAN BANK 5,000, ,975, ,763, , ,779, AA % Due ,000, ,959, ,535, , ,560, AA % Due ,620, ,986, ,891, ,891, ,783, US INSTRUMENTALITIES INTER-AMERICAN DEVEL BK 25,000, ,817, ,966, ,966, AAA % Due INTER-AMERICAN DEVEL BK 25,000, ,800, ,939, ,939, AAA % Due IBRD DISCOUNT NOTE 16,000, ,926, ,954, ,954, AAA % Due

23 INTER-AMERICAN DEVEL BK 30,000, ,850, ,904, ,904, AAA % Due INTER-AMERICAN DEVEL BK 3,137, ,123, ,127, ,127, AAA % Due INTL BK RECON & DEVELOP 15,000, ,973, ,961, , ,965, AAA % Due INTL BK RECON & DEVELOP 15,000, ,973, ,961, , ,965, AAA % Due IBRD DISCOUNT NOTE 15,000, ,903, ,938, ,938, AAA % Due IBRD DISCOUNT NOTE 10,000, ,935, ,959, ,959, AAA % Due IBRD DISCOUNT NOTE 25,000, ,859, ,892, ,892, AAA % Due IBRD DISCOUNT NOTE 15,000, ,910, ,922, ,922, AAA % Due IBRD DISCOUNT NOTE 25,000, ,831, ,853, ,853, AAA % Due IBRD DISCOUNT NOTE 25,000, ,791, ,811, ,811, AAA % Due INTL BK RECON & DEVELOP 2,500, ,500, ,472, ,473, AAA % Due INTL BK RECON & DEVELOP 2,500, ,500, ,472, ,473, AAA % Due INTL BK RECON & DEVELOP 2,500, ,500, ,472, ,473, AAA % Due INTL BK RECON & DEVELOP 2,500, ,500, ,472, ,473, AAA % Due INTL BK RECON & DEVELOP 4,500, ,488, ,450, ,451, AAA % Due INTL BK RECON & DEVELOP 10,000, ,991, ,859, , ,863, AAA % Due INTL BK RECON & DEVELOP 5,000, ,998, ,880, , ,893, AAA % Due INTL BK RECON & DEVELOP 20,000, ,969, ,376, , ,422, AAA % Due INTL BK RECON & DEVELOP 20,000, ,948, ,175, , ,294, AAA % Due INTER-AMERICAN DEVEL BK 10,000, ,000, ,960, , ,969, AAA % Due INTL BK RECON & DEVELOP 10,000, ,945, ,695, , ,748, AAA % Due ,637, ,039, ,485, , ,739,

24 FLOATING RATE SECURITIES APPLE INC.-FRN 15,000, ,000, ,000, , ,073, AA % Due APPLE INC.-FRN 10,000, ,008, ,000, , ,048, AA % Due APPLE INC.-FRN 5,000, ,004, ,000, , ,024, AA % Due MERCK & CO INC.-FRN 10,000, ,000, ,001, , ,046, AA % Due CISCO SYSTEMS INC.-FRN 10,000, ,000, ,005, , ,036, AA % Due ROYAL BANK OF CANADA-FRN 10,000, ,000, ,010, ,010, AA % Due BERKSHIRE HATHAWAY FIN.-FRN 10,000, ,000, ,019, , ,033, AA % Due TORONTO-DOMINION BANK-FRN 10,000, ,000, ,017, , ,027, AA % Due US BANKCORP-FRN 12,200, ,198, ,233, , ,238, AA % Due BANK OF MONTREAL-FRN 7,000, ,000, ,040, , ,047, A % Due IBM CREDIT CORP-FRN 20,000, ,000, ,029, , ,080, A % Due SVENSKA HANDELSBANKEN AB-FRN 10,000, ,000, ,041, , ,072, AA % Due TORONTO-DOMINION BANK 10,000, ,000, ,995, , ,999, AA % Due BANK OF MONTREAL-FRN 5,000, ,000, ,030, , ,048, A % Due BERKSHIRE HATHAWAY FIN FRN 10,000, ,000, ,035, , ,049, AA % Due WELLS FARGO & COMPANY CB FLOATER 25,000, ,000, ,015, , ,042, A % Due US BANK NA CINCINNATI-FRN-1 10,000, ,000, ,020, , ,024, AA % Due ROYAL BANK OF CANADA-FRN 15,000, ,000, ,040, , ,086, AA % Due APPLE INC.-FRN 5,000, ,000, ,999, , ,019, AA % Due BANK OF MONTREAL-FRN 15,000, ,000, ,065, , ,114, A % Due BANK OF NY MELLON CORP.-FRN 5,000, ,000, ,077, , ,105, A % Due CANADIAN IMPERIAL BK OF COMM NY CD 25,000, ,000, ,060, , ,106, A FLTR 2.631% Due

25 TORONTO-DOMINION BANK 5,000, ,000, ,996, , ,997, AA % Due UNITED PARCEL SERVICE-FRN 10,000, ,000, ,020, , ,040, A % Due BANK OF MONTREAL-FLT 12,000, ,000, ,047, , ,063, A % Due BANK OF NOVA SCOTIA 20,000, ,000, ,060, , ,076, A % Due US BANK NA OHIO-FLT 10,000, ,000, ,005, , ,008, AA % Due WELLS FARGO & COMPANY-FRN ,000, ,000, ,103, , ,162, A % Due UNITED PARCEL SERVICE-FRN 5,000, ,000, ,029, , ,052, A % Due ,200, ,210, ,005, , ,737, CORPORATE BONDS MICROSOFT CORP. 5,000, ,996, ,000, , ,024, AAA % Due APPLE INC. 15,000, ,944, ,999, , ,073, AA % Due BERKSHIRE HATHAWAY FIN. 8,000, ,995, ,997, , ,044, AA % Due BERKSHIRE HATHAWAY FIN. 15,000, ,958, ,994, , ,084, AA % Due CHEVRON CORP 10,000, ,000, ,991, , ,051, AA % Due WELLS FARGO & COMPANY - BANK NOTE 10,000, ,087, ,989, , ,011, A % Due BERKSHIRE HATHAWAY INC 5,000, ,999, ,982, , ,994, AA % Due BANK OF MONTREAL 10,000, ,999, ,966, , ,989, A % Due TORONTO-DOMINION BANK 15,000, ,997, ,951, , ,984, AA % Due CHEVRON CORP 10,000, ,000, ,971, , ,053, AA % Due WELLS FARGO BANK NA 20,000, ,983, ,919, , ,071, A % Due EXXON MOBIL CORPORATION 5,000, ,013, ,975, , ,989, AA % Due EXXON MOBIL CORPORATION 15,000, ,000, ,923, , ,958, AA % Due PEPSICO INC. 10,000, ,992, ,909, , ,986, A % Due

26 3M COMPANY 15,000, ,915, ,818, , ,909, AA % Due WALT DISNEY COMPANY/THE 5,000, ,983, ,889, , ,902, A % Due BANK OF MONTREAL 10,000, ,990, ,847, , ,890, A % Due PROCTER & GAMBLE CO 10,000, ,996, ,886, , ,890, AA % Due US BANK NA 10,000, ,991, ,901, , ,902, AA % Due ROYAL BANK OF CANADA 15,000, ,985, ,772, , ,821, AA % Due UNITED PARCEL SERVICE 20,000, ,968, ,495, , ,528, A % Due TORONTO-DOMINION BANK 10,000, ,983, ,705, , ,719, AA % Due ,000, ,781, ,891, , ,882, TOTAL PORTFOLIO 5,245,757,000 5,226,842, ,199,926, ,691, ,208,618, ** TOTAL COST DOES NOT REFLECT AMORTIZATIONS OR ACCRETIONS BUT INCLUDES PURCHASED ACCRUED INTEREST. MARKET PRICES ARE DOWNLOADED THROUGH (IDC) INTERACTIVE DATA CORP. 26

27 San Mateo County Treasurer - Asset Allocation as of Asset Allocation Certificate of Deposit Repurchase 4.6% Agreements 4.2% LAIF 1.2% U.S. Instrumentalities 6.3% Government Agency 18.4% Commercial Paper 25.4% U.S. Treasuries 28.7% Corporate Securities 11.0% Government Agency Corporate Securities U.S. Treasuries Commercial Paper Repurchase Agreements Certificate of Deposit LAIF U.S. Instrumentalities Sector: Market Value:* Government Agency 957,836, % Corporate Securities 574,620, % U.S. Treasuries 1,495,662, % Commercial Paper 1,324,249, % Repurchase Agreements 219,500, % Certificate of Deposit 240,856, % LAIF 65,041, % U.S. Instrumentalities 330,739, % Totals 5,208,506, % *Market Values listed include accrued interest for the reported period. 27

28 San Mateo County Treasurer - Credit Quality as of MOODY RATING Not Rated 1.2% P % A2 0.1% Aaa 59.1% A1 4.5% Aa3 0.5% Aa2 3.5% Aa1 1.2% Aaa Aa1 Aa2 Aa3 A1 A2 P-1 Not Rated Rating: Market Value:* Aaa 3,078,672, % Aa1 60,238, % Aa2 183,401, % Aa3 24,799, % A1 234,156, % A2 4,902, % P-1 1,557,405, % Not Rated 65,041, % Totals 5,208,618, % *Market Values listed include accrued interest for the reported period. 28

29 San Mateo County Treasurer - Credit Quality as of S & P RATING A % Not Rated 1.2% AAA 6.7% A % A+ 4.4% AA+ 52.4% A 0.1% AA- 4.0% AA 0.9% AAA AA+ AA AA- A+ A A-1+ A-1 Not Rated Rating: Market Value:* AAA 348,161, % AA+ 2,730,788, % AA 48,203, % AA- 206,884, % A+ 227,152, % A 5,105, % A ,893, % A-1 889,386, % Not Rated 65,041, % Totals 5,208,618, % *Market Values listed include accrued interest for the reported period. 29