City of Anaheim FINANCE DEPARTMENT

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1 City of Anaheim FINANCE DEPARTMENT DATE: MAY 17, 2016 FROM: FINANCE DEPARTMENT CITY COUNCIL AGENDA REPORT SUBJECT: INVESTMENT PORTFOLIO REPORT APRIL 2016 ATTACHMENT (Y/N): YES ITEM # 04 RECOMMENDATION: That the City Council, by Motion, approve the Investment Portfolio Report for April DISCUSSION: This is the investment report for the City s general pool for the month ending April 30, The report is provided to ensure that the City Council is informed as to the investment activities and fulfills the reporting requirements of the City s adopted investment policy. INVESTMENT SUMMARY: The following table shows summary investment information for the month ending April 30, 2016: Short-term Portfolio Long-term Portfolio Total Portfolio Values Portfolio Balance (Market Value) $96,110,440 $368,299,441 $464,409,880 Effective Yield 0.55% 1.17% 1.04% Avg. Weighted Maturity 21 Days 1.83 Years 1.46 Years Net Earnings $36,002 $344,509 $380,511 Benchmark* 0.16% 0.75% 0.66% * Benchmark value is the Interpolated Treasury Yield to the Portfolio s Average Weighted Maturity INVESTMENT ACTIVITIES: The City Treasurer s Investment Portfolio has a current credit rating of AAf from Standard and Poor s (S&P). This rating was effective August 8, 2011, as a result of the action of S&P downgrading the debt issues of the United States Treasury and Federal Agencies from a credit rating of AAA to AA+. The credit rating reflects the investment holdings of the City s Investment Portfolio (approximately 50% of funds in Federal Agency issues) and not the management of the investment fund. 200 S. Anaheim Blvd. Suite #643 Anaheim, CA Tel: (714) Fax: (714) This credit rating is for the City s investment portfolio and does NOT reflect the credit rating of the City s bond issues.

2 CITY TREASURER S INVESTMENT REPORT APRIL 2016 May 17, 2016 Page 2 of 2 On August 11, 2008, the City of Anaheim s Investment Policy was recognized and certified by the Association of Professional Treasurers of the United States and Canada (APT US&C) as meeting all standards and criteria established by the APT US&C. Compliance: All investment holdings are allowable and all investment transactions were executed in accordance with the California Government Code and the City s Investment Policy. There is sufficient liquidity to meet the City s anticipated expenditure requirements for the next six months. A complete listing of the City s portfolio holdings and investment activity for the month of April 2016 is included in the attached Monthly Investment Report. IMPACT ON BUDGET: There is no budgetary impact. Interest income is allocated in various funds based on the performance of the Investment Portfolio. Respectfully submitted, Deborah A. Moreno Finance Director/City Treasurer Attachment: 1. Monthly Investment Report April 2016

3 Client Management Team Rick Phillips President & Chief Investment Officer Tonya Dazzio Chief Operating & Compliance Officer Greg Balls Portfolio Manager & Analyst Christine Wilson Operations Analyst Monthly Investment Report City of Anaheim April Park Run Drive Suite 120 Summerlin, NV Phone

4 Portfolio Summary 4/30/2016 City of Anaheim SECTOR ALLOCATION MATURITY DISTRIBUTION CREDIT QUALITY (MOODY'S) LAIF 13.8% MMF 2.3% 45% CD 0.0% 40% 38.4% P-1 3.2% Agy 45.9% Aaa 66.4% 33.8% 35% Aa1 0.0% 30% Tsy 10.8% Aa2 2.8% 25% 20.6% Aa3 2.8% CP 3.2% 20% A1 6.2% 15% A2 4.8% 10% A3 0.0% 4.1% 5% 3.1% Corp 24.0% NR-LAIF 13.8% 0% 0-1Y 1-2Y 2-3Y 3-4Y 4-5Y 0% 25% 50% 75% Per Book Value Per Book Value NR: Not Rated ACCOUNT SUMMARY MONTH-END PORTFOLIO BOOK YIELD TOP ISSUERS Market Value Book Value Variance Par Value Net Asset Value Book Yield Years to Maturity Effective Duration *Book Value is Amortized 1.15% Issuer % Portfolio 4/30/16 3/31/ % FNMA 20.2% LAIF 13.8% $464,409,880 $428,269, % FHLMC 13.1% $462,735,190 $426,410,729 US Treasury 10.8% $1,674,691 $1,858, % FHLB 6.5% 0.95% FFCB 6.1% $462,495,440 $426,193,877 Wells Fargo CO 3.2% 0.90% Johnson & Johnson 2.8% $ $ Chevron 2.8% 0.85% Toyota Motor 2.8% 1.04% 1.07% 0.80% Microsoft 2.4% Fidelity Govt MMF 2.3% % MUFG Union Bank 1.5% Pepsico 1.2% % Cisco Systems 1.1% May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 Per Book Value 2

5 Investment Policy Compliance 4/30/2016 City of Anaheim Item / Sector Parameters In Compliance Weighted Average Maturity Weighted Average Maturity (WAM) must be less than 3 years Yes: 1.46 Yrs U.S. Treasuries No limit, maximum maturity 5 years Yes: 10.8% U.S. Federal Agencies No limit, 40% issuer limit, maximum maturity 5 years Yes: 45.9% Local Agency Investment Fund $50 million, per account (City has two accounts) Yes: 13.8% Commercial Paper Corporate Bonds 25% limit, 5% per issuer, max maturity 270 days, rated A-1, P-1, or F1 by at least one NRSRO, issued by a domestic corporation; if company has long-term debt, needs to be rated AA (S&P), A2 (Moody's), or A (Fitch) by one 30% limit, 5% per issuer, maximum maturity 5 years, issued by domestic corporations or depositories, rated A (S&P), A2 (Moody's), or A (Fitch) by at least two Yes: Yes: 3.2% 24.0% Money Market Funds 20% limit, 10% issuer limit, rated AAA-m or Aaa-mf by at least two (S&P, Moody's, or Fitch) Yes: 2.3% Negotiable Certificates of Deposit 30% limit, 5% per issuer, maximum maturity 5 years, issued by banks, savings and loans, or state-licensed branch of a foreign bank Yes: 0.0% State of California Securities 10% limit, 5% per issuer, maximum maturity 5 years Yes: 0.0% Other Municipal Securities 10% limit, 5% per issuer, maximum maturity 5 years Yes: 0.0% Bankers' Acceptances 40% limit, 30% per issuer, maximum maturity 180 days, rated A-1 or P-1, issued by a commercial bank Yes: 0.0% Issuer Concentration The aggregate issuer exposure to corporate bonds, commercial paper, negotiable CDs, and bankers' acceptances cannot exceed 5%. Yes Investment transactions were executed in accordance with the California State Government Code and the City s Investment Policy. The City believes the Investment Pool contains sufficient cash flow liquidity to meet the next six months of expected expenditures. Securities' market values are derived from the City's custodian. 3

6 Historical Market Values 4/30/2016 City of Anaheim $500 $450 $400 $350 $300 $250 Jul-12 Sep-12 Nov-12 Millions Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Average FY 2013 $385.4 $397.8 $368.2 $378.1 $371.4 $382.7 $396.9 $415.1 $412.6 $425.4 $438.4 $440.8 $401.1 FY 2014 $424.1 $433.1 $418.4 $413.0 $404.1 $419.7 $431.2 $432.5 $422.4 $426.7 $425.2 $426.0 $423.0 FY 2015 $383.8 $401.7 $374.4 $375.7 $368.8 $376.3 $402.6 $404.1 $409.3 $420.6 $435.6 $436.6 $399.1 FY 2016 $410.1 $405.7 $381.7 $401.9 $415.9 $426.1 $426.8 $452.2 $428.3 $464.4 $421.3 Figures in Millions, Month End Market Value 4

7 Historical Market Values Per Fiscal Year 4/30/2016 City of Anaheim $475 FY 13 FY 14 FY 15 FY 16 $450 $425 $400 $375 $350 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Millions Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Average FY 2013 $385.4 $397.8 $368.2 $378.1 $371.4 $382.7 $396.9 $415.1 $412.6 $425.4 $438.4 $440.8 $401.1 FY 2014 $424.1 $433.1 $418.4 $413.0 $404.1 $419.7 $431.2 $432.5 $422.4 $426.7 $425.2 $426.0 $423.0 FY 2015 $383.8 $401.7 $374.4 $375.7 $368.8 $376.3 $402.6 $404.1 $409.3 $420.6 $435.6 $436.6 $399.1 FY 2016 $410.1 $405.7 $381.7 $401.9 $415.9 $426.1 $426.8 $452.2 $428.3 $464.4 $421.3 Figures in Millions, Month End Market Value 5

8 Weighted Average Maturity and Portfolio Yield 4/30/2016 City of Anaheim 2.5 Weighted Average Maturity History Years 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 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun Month-End Book Yield vs 1-3Yr Agency Index (24 month moving avg) Portfolio Agy 1-3Yr Percent 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 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 6

9 Purchase YTM Per 6-Month Maturity Intervals 4/30/2016 City of Anaheim Years Purchase Yield % of Portfolio* 0 to % 25.31%.5 to % 13.09% 1.0 to % 9.07% 1.5 to % 24.74% 2.5% 2.0% Bubble Size = Maturity's % of Portfolio 1.68% 1.67% 2.02% 2.0 to % 10.85% 2.5 to % 9.76% 3.0 to % 2.17% 3.5 to % 1.95% 4.0 to % 2.21% Purchase Yield 1.5% 1.0% 0.94% 1.13% 1.13% 1.50% 1.15% 4.5 to % 0.86% 0.74% 0.80% *Based on Book Value 0.5% 0.0% Maturity Intervals 7

10 Interest Rate Shock Analysis 4/30/2016 City of Anaheim Instantaneous Interest Rate Changes and Approximate Change in Portfolio's Market Value Percent Change in Portfolio Value 2.00% 1.50% 1.00% 0.50% % -0.50% -1.00% -1.50% -2.00% 1.57% 1.15% 0.75% 0.36% % -0.41% -0.82% -1.20% -1.58% -100BP -75BP -50BP -25BP No Change +25BP +50BP +75BP +100BP Interest Rate Changes/Scenarios Interest Rate Change Portfolio Value Value Change Percent Change -100 Basis Points $471,701,115 $7,291, % -75 Basis Points $469,732,482 $5,322, % -50 Basis Points $467,909,673 $3,499, % -25 Basis Points $466,086,864 $1,676, % No Change $464,409,880 $0 % +25 Basis Points $462,502,085 -$1,907, % +50 Basis Points $460,594,289 -$3,815, % +75 Basis Points $458,833,246 -$5,576, % +100 Basis Points $457,072,204 -$7,337, % 8

11 Next Twelve Months Maturities 4/30/2016 City of Anaheim $90 $80 $80.1 $70 $60 Millions $50 $40 $30 $20 $15.0 $20.5 $15.0 $10 $7.0 $5.0 $5.0 $5.0 $5.0 $10.0 $5.0 $5.0 $0 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 Maturities May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 $80.1 $7.0 $5.0 $5.0 $15.0 $5.0 $5.0 $10.0 $5.0 $20.5 $15.0 $5.0 Par Value in Millions 9

12 Historical Sector Allocation 4/30/2016 City of Anaheim 65% 60% 55% 50% 45% 40% 35% 30% 25% AGY TSY CP MMF LAIF CORP 20% 15% 10% 5% 0% May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 Sector May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 Agency 51.5% 51.3% 54.6% 55.2% 58.8% 50.7% 49.8% 47.4% 47.4% 44.9% 47.5% 45.9% Treasury 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 4.7% 8.9% 11.7% 10.8% Commercial Paper 11.9% 10.0% 10.7% 8.6% 1.5% 15.2% 14.0% 13.0% 8.2% 7.7% 4.7% 3.2% Corporates 19.9% 22.2% 22.2% 22.4% 22.5% 19.4% 22.7% 23.3% 21.4% 23.1% 26.1% 24.0% MMF 0.5% 0.3% 0.4% 1.6% 4.2% 2.3% 1.6% 0.4% 2.4% 0.4% 0.1% 2.3% LAIF 16.2% 16.2% 12.1% 12.2% 13.0% 12.4% 11.9% 15.9% 15.9% 15.0% 10.0% 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 Issuer Allocation 4/30/2016 City of Anaheim FNMA 20.2% LAIF FHLMC 13.1% 13.8% US Treasury 10.8% FHLB FFCB 6.1% 6.5% Wells Fargo CO Johnson & Johnson Chevron Toyota Motor Microsoft Fidelity Govt MMF 3.2% 2.8% 2.8% 2.8% 2.4% 2.3% MUFG Union Bank Pepsico Cisco Systems 3M Company US Bank New York Life Exxon Mobil General Elec Cap Corp Coca Cola Toronta Dominion JP Morgan American Honda Goldman Sachs Trsy MMF 1.5% 1.2% 1.1% 1.1% 1.1% 1.1% 1.1% 1.1% 1.1% 1.1% 1.1% 0.6% 0.0% 0% 5% 10% 15% 20% 25% 11

14 Purchase Yield and Weighted Avg Maturity 4/30/2016 City of Anaheim 1.60% Bubble Size = Percent of Portfolio 1.40% Corp 1.20% Agy 1.00% Book Yield 0.80% CP Tsy 0.60% LAIF 0.40% 0.20% MMF % Weighted Average Maturity - Years 12

15 Historical Earnings and Book Rate of Return Performance 4/30/2016 City of Anaheim Thousands $6,000 $5,000 $4,000 $3,000 $2,000 FY 2013 FY 2014 FY 2015 FY 2016 Fiscal Year-to-Date Earnings $1,000 $0 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal YTD ($000s) FY 2013 FY 2014 FY 2015 FY 2016 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun $478.9 $949.9 $1,410.4 $1,850.4 $2,293.4 $2,735.0 $3,173.4 $3,565.4 $3,958.4 $4,325.0 $4,684.2 $5,052.5 $373.3 $744.0 $1,113.0 $1,481.3 $1,849.3 $2,206.4 $2,568.4 $2,921.8 $3,291.4 $3,667.5 $4,033.8 $4,400.3 $365.8 $728.5 $1,092.4 $1,439.4 $1,777.9 $2,105.2 $2,438.6 $2,777.2 $3,113.2 $3,450.8 $3,790.8 $4,133.8 $343.5 $683.2 $1,020.0 $1,339.4 $1,663.8 $1,991.8 $2,300.1 $2,660.1 $3,037.0 $3, % 1.0% Book Rate of Return vs Benchmark Portfolio Benchmark 0.8% 0.6% 0.4% 0.2% 0.0% 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 0.94% 0.96% 0.98% 0.98% 0.97% 0.96% 0.95% 0.95% 0.96% 0.97% Custom Benchmark* 0.45% 0.47% 0.48% 0.50% 0.52% 0.55% 0.57% 0.59% 0.60% 0.62% Variance 0.49% 0.49% 0.50% 0.48% 0.45% 0.41% 0.38% 0.36% 0.36% 0.35% *Benchmark: 24 month moving average 1-3Yr Treasury Index 13

16 Investment Activity 4/30/2016 City of Anaheim 80 Number of Positions at Month End Positions May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 Positions May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr Number of Transactions Purchases and Redemptions* (Excluding LAIF & MMF) Purchases Redemptions 0 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 *Redemptions include maturities, calls, and sells (excluding paydowns) Purchases Redemptions Total Transactions May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr

17 CITY OF ANAHEIM MONTHLY REPORT Portfolio Management Portfolio Summary April 30, 2016 Investments Par Value Market Value Book Value % of Portfolio Term Days to Maturity YTM 360 Equiv. YTM 365 Equiv. Treasury Securities - Coupon 50,000,00 50,074,70 49,974, Federal Agency Issues - Coupon 212,474,00 213,487, ,476, , Passbook/Checking Accounts 63,628, ,628, ,628, Money Market Mutual Fund 10,502, ,502, ,502, Medium Term Notes 110,890,00 111,751, ,190, , Commercial Paper Disc. -Amortizing 15,000,00 14,965,00 14,962, Investments 462,495, ,409, ,735, % Cash and Accrued Interest Accrued Interest at Purchase Subtotal Total Cash and Investments 462,495, , , ,512, , , ,837, Total Earnings Current Year Average Daily Balance Effective Rate of Return April 30 Month Ending Fiscal Year To Date 380, ,424, ,961, ,621, % 0.97% Debbie Moreno, Finance Director Reporting period 04/01/ /30/2016 Data Updated: SET_MRPT: 05/03/ :14 Portfolio CITY AP Run Date: 05/03/ :15 PM (PRF_PM1) Report Ver

18 CITY OF ANAHEIM MONTHLY REPORT Portfolio Management Portfolio Details - Investments April 30, 2016 Page 1 CUSIP Investment # Treasury Securities - Coupon Issuer Average Balance Purchase Date Par Value Market Value Book Value Stated Rate Days to S&P Moody's Maturity D US Treasury 01/22/ ,000,00 10,027,00 10,008, AA+ Aaa /15/ XK US Treasury 01/29/ ,000,00 10,012,10 9,978, AA+ Aaa /15/ K US Treasury 02/04/ ,000,00 10,039,10 10,036, AA+ Aaa /15/ TS US Treasury 02/08/ ,000,00 9,991,00 9,984, AA+ Aaa /30/ L US Treasury 03/14/ ,000,00 10,005,50 9,967, AA+ Aaa /15/2018 Federal Agency Issues - Coupon Subtotal and Average 49,974, ,000,00 50,074,70 49,974, ECE FFCB 01/30/2013 8,930,00 8,910, ,930, AA+ Aaa /30/ EEFE FFCB 12/18/2014 5,000,00 5,022,35 4,998, AA+ Aaa /18/ ECBY FFCB 01/16/2015 5,375,00 5,382,74 5,374, AA+ Aaa /26/ EFPR FFCB 11/19/2015 4,000,00 4,049,84 4,000, AA+ Aaa 1,297 11/19/ EFSG FFCB 12/14/2015 5,000,00 5,023,55 5,000, AA+ Aaa /14/ A FHLB 03/19/ ,000,00 10,096,60 10,021, AA+ Aaa /09/ N FHLB 03/19/2014 5,000,00 5,010,55 5,003, AA+ Aaa /10/ QK FHLB 05/15/ ,000,00 10,246,60 10,085, AA+ Aaa 1,041 03/08/ A4TR FHLB 03/30/2015 5,000,00 5,007,40 5,001, AA+ Aaa /16/ G3Z FHLMC 12/12/ ,000,00 10,004,10 10,000, AA+ Aaa /05/ G42R FHLMC 05/22/2013 5,000,00 4,991,05 5,000, AA+ Aaa /25/ EADT FHLMC 01/29/ ,000,00 10,020,90 9,999, AA+ Aaa /22/ EADL FHLMC 01/31/2014 7,012,00 7,035, ,997, AA+ Aaa /29/ EADP FHLMC 04/14/2014 1,600,00 1,601, ,588, AA+ Aaa /07/ EADP FHLMC 05/15/2014 5,000,00 5,004,40 4,967, AA+ Aaa /07/ EADN FHLMC 03/30/2015 7,000,00 6,990,97 6,979, AA+ Aaa /12/ G83V FHLMC 11/24/2015 5,000,00 5,000,25 5,000, AA+ Aaa /24/ EADM FHLMC 04/25/ ,000,00 10,049,80 10,034, AA+ Aaa 1,249 10/02/ G04R FNMA 12/13/2012 5,000,00 4,999,15 5,000, AA+ Aaa /21/ G0TM FNMA 01/30/2013 5,000,00 4,971,40 5,000, AA+ Aaa /30/ G0TV FNMA 01/30/ ,000,00 9,981,70 10,000, AA+ Aaa /30/ G0TV FNMA 01/30/2013 6,250,00 6,238, ,250, AA+ Aaa /30/ G0WJ FNMA 05/22/2013 5,000,00 5,005,40 4,988, AA+ Aaa /21/ G0WY FNMA 05/22/2013 5,000,00 5,000,20 5,000, AA+ Aaa /14/ G0YT FNMA 02/25/ ,000,00 10,171,10 9,995, AA+ Aaa /27/ G0WJ FNMA 03/25/2014 7,307,00 7,314, ,214, AA+ Aaa /21/ G0PQ FNMA 03/25/2014 5,000,00 5,008,25 4,972, AA+ Aaa /26/2017 Maturity Date Portfolio CITY Data Updated: SET_MRPT: 05/03/ :14 AP Run Date: 05/03/ :15 PM (PRF_PM2) Report Ver

19 CITY OF ANAHEIM MONTHLY REPORT Portfolio Management Portfolio Details - Investments April 30, 2016 Page 2 CUSIP Investment # Federal Agency Issues - Coupon Issuer Average Balance Purchase Date Par Value Market Value Book Value Stated Rate Days to S&P Moody's Maturity 3135G0ZA FNMA 04/14/ ,000,00 10,234,90 10,067, AA+ Aaa 1,024 02/19/ G0ZY FNMA 12/12/2014 5,000,00 5,105,95 5,000, AA+ Aaa 1,304 11/26/ G1L FNMA 01/16/2015 5,000,00 5,000,65 5,001, AA+ Aaa /08/ G0ZB FNMA 01/29/2015 5,000,00 5,003,40 5,003, AA+ Aaa /20/ G3BY FNMA 02/29/ ,000,00 10,002,90 10,000, AA+ Aaa 1,031 02/26/2019 Passbook/Checking Accounts Subtotal and Average 204,446, ,474,00 213,487, ,476, SYS LAIF 27,297, ,297, ,297, SYS LAIF 07/01/ SYS LAIF 36,331, ,331, ,331, Money Market Mutual Fund Subtotal and Average 50,994, ,628, ,628, ,628, SYS Fidelity Govt MMF 10,432, ,432, ,432, AAA Aaa 1 SYS Goldman Sachs Trsy MMF 69, , , AAA Aaa 1 Medium Term Notes Subtotal and Average 4,884, ,502, ,502, ,502, AE Chevron 06/24/2013 3,000,00 3,028,65 3,000, AA- Aa /24/ AL Chevron 06/29/2015 5,000,00 5,028,65 5,010, AA- Aa /15/ AE Chevron 12/07/2015 5,000,00 5,047,75 5,024, AA- Aa /24/ BA Coca Cola 01/15/2015 5,000,00 5,022,20 4,994, AA- Aa /01/ RAX Cisco Systems 02/12/2016 5,000,00 5,193,00 5,118, AA- A1 1,506 06/15/ GAA Exxon Mobil 03/20/2014 5,000,00 5,009,05 5,000, AA+ Aaa /15/ G5H General Elec Cap Corp 10/17/2011 5,000,00 5,058,95 4,999, AA+ A /17/ QM American Honda 02/19/2013 3,000,00 3,020,70 2,999, A+ A /16/ AY Johnson & Johnson 05/20/2011 3,000,00 3,001,65 2,999, AAA Aaa 14 05/15/ BL Johnson & Johnson 01/12/2015 5,145,00 5,169, ,146, AAA Aaa /21/ BL Johnson & Johnson 01/13/2015 5,000,00 5,024,25 5,001, AAA Aaa /21/ YAQ M Company 02/19/2016 5,000,00 5,162,75 5,106, AA- A1 1,559 08/07/ AP Microsoft 01/28/2014 2,220,00 2,222, ,207, AAA Aaa /15/ BG Microsoft 11/03/2015 4,000,00 4,097,32 3,997, AAA Aaa 1,647 11/03/ BF Microsoft 11/03/2015 5,000,00 5,041,05 4,995, AAA Aaa /03/ WBR New York Life 02/13/2014 5,000,00 5,006,05 5,005, AA+ Aaa /01/2017 Maturity Date Portfolio CITY Data Updated: SET_MRPT: 05/03/ :14 AP Run Date: 05/03/ :15 PM (PRF_PM2)

20 CITY OF ANAHEIM MONTHLY REPORT Portfolio Management Portfolio Details - Investments April 30, 2016 Page 3 CUSIP Investment # Medium Term Notes Issuer Average Balance Purchase Date Par Value Market Value Book Value Stated Rate Days to S&P Moody's Maturity CL Pepsico 11/17/2015 5,525,00 5,537, ,533, A A /22/ TAL Toyota Motor 05/17/2013 3,000,00 3,000,33 2,999, AA- Aa /17/ P5E Toyota Motor 02/17/2016 5,000,00 5,024,15 5,022, AA- Aa /15/ EAC MUFG Union Bank 03/28/2016 7,000,00 7,014,00 7,015, A+ A /06/ HMC US Bank 02/22/2016 5,000,00 5,008,50 5,005, AA- A /30/ BFG Wells Fargo CO 05/15/2013 5,000,00 5,021,50 5,001, A A /16/ BFW Wells Fargo CO 02/03/2015 5,000,00 5,003,60 5,001, A A /02/ BFL Wells Fargo CO 06/29/2015 5,000,00 5,007,35 5,005, A A /20/2016 Commercial Paper Disc. -Amortizing Subtotal and Average 111,203, ,890,00 111,751, ,190, PJ JP Morgan 02/09/2016 5,000,00 4,986,60 4,985, A-1 P /06/ EJ Toronta Dominion 02/24/2016 5,000,00 4,987,10 4,986, A-1+ P /01/ GH Toyota Motor 02/04/2016 5,000,00 4,991,30 4,991, A-1+ P /02/2016 Subtotal and Average 18,457, ,000,00 14,965,00 14,962, Maturity Date Total and Average 439,961, ,495, ,409, ,735, Portfolio CITY Data Updated: SET_MRPT: 05/03/ :14 AP Run Date: 05/03/ :15 PM (PRF_PM2)

21 City of Anaheim Inventory by Maturity Report April 30, 2016 Sec. CUSIP Investment # Fund Type Issuer SYS17430 SYS17431 SYS17432 SYS500 SYS AY TAL EAC BFL GH EJ PJ P5E G5H3 3135G0WY5 3134G3Z HMC4 3136G04R9 3137EADT CL WBR N GAA0 3135G0ZB BFW D EADL TS9 3130A4TR3 3135G0PQ0 3136G1L AP AL BL BL Purchase Date Book Value Current Rate Maturity Date Maturity Amount Total Par YTM Days to Days Value Maturity 01 PA1 LAIF 07/01/ ,297, ,297, ,297, PA1 LAIF 07/01/ PA1 LAIF 07/01/ ,331, ,331, ,331, PA2 Goldman Sachs Trsy MMF 07/01/ , , , PA2 Fidelity Govt MMF 07/01/ ,432, ,432, ,432, MTN Johnson & Johnson 05/20/2011 2,999, /15/2016 3,000,00 1,822 3,000, MTN Toyota Motor 05/17/2013 2,999, /17/2016 3,000,00 1,096 3,000, MTN MUFG Union Bank 03/28/2016 7,015, /06/2016 7,000, ,000, MTN Wells Fargo CO 06/29/2015 5,005, /20/2016 5,000, ,000, ACP Toyota Motor 02/04/2016 4,991, /02/2016 5,000, ,000, ACP Toronta Dominion 02/24/2016 4,986, /01/2016 5,000, ,000, ACP JP Morgan 02/09/2016 4,985, /06/2016 5,000, ,000, MTN Toyota Motor 02/17/2016 5,022, /15/2016 5,000, ,000, MTN General Elec Cap Corp 10/17/2011 4,999, /17/2016 5,000,00 1,827 5,000, FAC FNMA 05/22/2013 5,000, /14/2016 5,000,00 1,272 5,000, FAC FHLMC 12/12/ ,000, /05/ ,000,00 1,454 10,000, MTN US Bank 02/22/2016 5,005, /30/2017 5,000, ,000, FAC FNMA 12/13/2012 5,000, /21/2017 5,000,00 1,531 5,000, FAC FHLMC 01/29/2014 9,999, /22/ ,000,00 1,120 10,000, MTN Pepsico 11/17/2015 5,533, /22/2017 5,525, ,525, MTN New York Life 02/13/2014 5,005, /01/2017 5,000,00 1,112 5,000, FAC FHLB 03/19/2014 5,003, /10/2017 5,000,00 1,087 5,000, MTN Exxon Mobil 03/20/2014 5,000, /15/2017 5,000,00 1,091 5,000, FAC FNMA 01/29/2015 5,003, /20/2017 5,000, ,000, MTN Wells Fargo CO 02/03/2015 5,001, /02/2017 5,000, ,000, TRC US Treasury 01/22/ ,008, /15/ ,000, ,000, FAC FHLMC 01/31/2014 6,997, /29/2017 7,012,00 1,337 7,012, TRC US Treasury 02/08/2016 9,984, /30/ ,000, ,000, FAC FHLB 03/30/2015 5,001, /16/2017 5,000, ,000, FAC FNMA 03/25/2014 4,972, /26/2017 5,000,00 1,311 5,000, FAC FNMA 01/16/2015 5,001, /08/2017 5,000,00 1,027 5,000, MTN Microsoft 01/28/2014 2,207, /15/2017 2,220,00 1,387 2,220, MTN Chevron 06/29/2015 5,010, /15/2017 5,000, ,000, MTN Johnson & Johnson 01/12/2015 5,146, /21/2017 5,145,00 1,044 5,145, MTN Johnson & Johnson 01/13/2015 5,001, /21/2017 5,000,00 1,043 5,000, Portfolio CITY AP Run Date: 05/03/ :31 IM (PRF_IM) Report Ver

22 City of Anaheim Inventory by Maturity Report Page 2 Sec. CUSIP Investment # Fund Type Issuer 3134G83V9 3133EEFE5 3137EADN BFG0 3133ECE G0TM5 3135G0TV5 3135G0TV QM EADP1 3137EADP A EFSG BA7 3134G42R8 3133ECBY9 3135G0WJ8 3135G0WJ AE AE XK K L BF0 3135G0YT4 3135G0ZA4 3136G3BY QK0 3137EADM8 3133EFPR2 3135G0ZY RAX YAQ BG Purchase Date Book Value Current Rate Maturity Date Maturity Amount Total Par YTM Days to Days Value Maturity 02 FAC FHLMC 11/24/2015 5,000, /24/2017 5,000, ,000, FAC FFCB 12/18/2014 4,998, /18/2017 5,000,00 1,096 5,000, FAC FHLMC 03/30/2015 6,979, /12/2018 7,000,00 1,019 7,000, MTN Wells Fargo CO 05/15/2013 5,001, /16/2018 5,000,00 1,707 5,000, FAC FFCB 01/30/2013 8,930, /30/2018 8,930,00 1,826 8,930, FAC FNMA 01/30/2013 5,000, /30/2018 5,000,00 1,826 5,000, FAC FNMA 01/30/ ,000, /30/ ,000,00 1,826 10,000, FAC FNMA 01/30/2013 6,250, /30/2018 6,250,00 1,826 6,250, MTN American Honda 02/19/2013 2,999, /16/2018 3,000,00 1,823 3,000, FAC FHLMC 04/14/2014 1,588, /07/2018 1,600,00 1,423 1,600, FAC FHLMC 05/15/2014 4,967, /07/2018 5,000,00 1,392 5,000, FAC FHLB 03/19/ ,021, /09/ ,000,00 1,451 10,000, FAC FFCB 12/14/2015 5,000, /14/2018 5,000, ,000, MTN Coca Cola 01/15/2015 4,994, /01/2018 5,000,00 1,172 5,000, FAC FHLMC 05/22/2013 5,000, /25/2018 5,000,00 1,799 5,000, FAC FFCB 01/16/2015 5,374, /26/2018 5,375,00 1,196 5,375, FAC FNMA 05/22/2013 4,988, /21/2018 5,000,00 1,825 5,000, FAC FNMA 03/25/2014 7,214, /21/2018 7,307,00 1,518 7,307, MTN Chevron 06/24/2013 3,000, /24/2018 3,000,00 1,826 3,000, MTN Chevron 12/07/2015 5,024, /24/2018 5,000, ,000, TRC US Treasury 01/29/2016 9,978, /15/ ,000, ,000, TRC US Treasury 02/04/ ,036, /15/ ,000, ,000, TRC US Treasury 03/14/2016 9,967, /15/ ,000, ,000, MTN Microsoft 11/03/2015 4,995, /03/2018 5,000,00 1,096 5,000, FAC FNMA 02/25/2014 9,995, /27/ ,000,00 1,736 10,000, FAC FNMA 04/14/ ,067, /19/ ,000,00 1,772 10,000, , FAC FNMA 02/29/ ,000, /26/ ,000,00 1,093 10,000, , FAC FHLB 05/15/ ,085, /08/ ,000,00 1,758 10,000, , FAC FHLMC 04/25/ ,034, /02/ ,000,00 1,255 10,000, , FAC FFCB 11/19/2015 4,000, /19/2019 4,000,00 1,461 4,000, , FAC FNMA 12/12/2014 5,000, /26/2019 5,000,00 1,810 5,000, , MTN Cisco Systems 02/12/2016 5,118, /15/2020 5,000,00 1,585 5,000, , MTN 3M Company 02/19/2016 5,106, /07/2020 5,000,00 1,631 5,000, , MTN Microsoft 11/03/2015 3,997, /03/2020 4,000,00 1,827 4,000, ,647 Subtotal and Average 462,735, ,495, ,495, Net Maturities and Average 462,735, ,495, ,495, Portfolio CITY AP Run Date: 05/03/ :31 IM (PRF_IM) Report Ver

23 City of Anaheim Credit Rating Report April 30, 2016 Sorted by Moody's - Investment Number Investment # Issuer Security # Purchase Principal Book Value Market Value 1583 JNJ AY0 2,990,85 2,999, ,001,65 Aaa AAA 05/20/ /15/ FNMA 3136G04R9 5,004, ,000,00 4,999,15 Aaa AA+ 12/13/ /21/ FHLMC 3134G3Z37 9,999,00 10,000,00 10,004,10 Aaa AA+ 12/12/ /05/ FFCB 3133ECE26 8,884, ,930,00 8,910, Aaa AA+ 01/30/ /30/ FNMA 3135G0TM5 4,989,05 5,000,00 4,971,40 Aaa AA+ 01/30/ /30/ FNMA 3135G0TV5 9,975,00 10,000,00 9,981,70 Aaa AA+ 01/30/ /30/ FNMA 3135G0TV5 6,234, ,250,00 6,238, Aaa AA+ 01/30/ /30/ FNMA 3135G0WJ8 4,972,75 4,988, ,005,40 Aaa AA+ 05/22/ /21/ FHLMC 3134G42R8 4,998,50 5,000,00 4,991,05 Aaa AA+ 05/22/ /25/ FNMA 3135G0WY5 4,997,50 5,000,00 5,000,20 Aaa AA+ 05/22/ /14/ MSFT AP9 2,188, ,207, ,222, Aaa AAA 01/28/ /15/ FHLMC 3137EADT3 9,999,50 9,999, ,020,90 Aaa AA+ 01/29/ /22/ FHLMC 3137EADL0 6,975, ,997, ,035, Aaa AA+ 01/31/ /29/ NYLCPP 64952WBR3 5,018,45 5,005, ,006,05 Aaa AA+ 02/13/ /01/ FNMA 3135G0YT4 9,991,70 9,995, ,171,10 Aaa AA+ 02/25/ /27/ FHLB A43 10,045,30 10,021, ,096,60 Aaa AA+ 03/19/ /09/ FHLB N0 5,013,55 5,003, ,010,55 Aaa AA+ 03/19/ /10/ EXXON 30231GAA0 5,000,00 5,000,00 5,009,05 Aaa AA+ 03/20/ /15/ FNMA 3135G0WJ8 7,119, ,214, ,314, Aaa AA+ 03/25/ /21/ FNMA 3135G0PQ0 4,934,35 4,972, ,008,25 Aaa AA+ 03/25/ /26/ FHLMC 3137EADP1 1,576, ,588, ,601, Aaa AA+ 04/14/ /07/ FNMA 3135G0ZA4 10,116,50 10,067, ,234,90 Aaa AA+ 04/14/ /19/2019 1, FHLB QK0 10,144,05 10,085, ,246,60 Aaa AA+ 05/15/ /08/2019 1, FHLMC 3137EADP1 4,932,50 4,967, ,004,40 Aaa AA+ 05/15/ /07/ FNMA 3135G0ZY2 5,000,40 5,000, ,105,95 Aaa AA+ 12/12/ /26/2019 1, FFCB 3133EEFE5 4,997,75 4,998, ,022,35 Aaa AA+ 12/18/ /18/ JNJ BL7 5,148, ,146, ,169, Aaa AAA 01/12/ /21/ JNJ BL7 5,003,05 5,001, ,024,25 Aaa AAA 01/13/ /21/ FNMA 3136G1L23 5,002,20 5,001, ,000,65 Aaa AA+ 01/16/ /08/ FFCB 3133ECBY9 5,373, ,374, ,382,74 Aaa AA+ 01/16/ /26/ FNMA 3135G0ZB2 5,008,80 5,003, ,003,40 Aaa AA+ 01/29/ /20/ FHLMC 3137EADN6 6,966,05 6,979, ,990,97 Aaa AA+ 03/30/ /12/ FHLB 3130A4TR3 5,002,25 5,001, ,007,40 Aaa AA+ 03/30/ /16/ MSFT BG8 3,996,80 3,997, ,097,32 Aaa AAA 11/03/ /03/2020 1, MSFT BF0 4,995,00 4,995, ,041,05 Aaa AAA 11/03/ /03/ Moody's Rating S&P Rating Purchase Date Maturity Date Days To Maturity Stated Rate YTM % of Total Portfolio CITY AP Run Date: 05/03/ :30 CR (PRF_CR) Report Ver

24 City of Anaheim Credit Rating Report Sorted by Moody's - Investment Number Page 2 Investment # Issuer Security # Purchase Principal Book Value Market Value 1915 FFCB 3133EFPR2 4,000,00 4,000,00 4,049,84 Aaa AA+ 11/19/ /19/2019 1, FHLMC 3134G83V9 4,999,25 5,000,00 5,000,25 Aaa AA+ 11/24/ /24/ FFCB 3133EFSG3 5,000,00 5,000,00 5,023,55 Aaa AA+ 12/14/ /14/ US D49 10,009, ,008, ,027,00 Aaa AA+ 01/22/ /15/ US XK1 9,976, ,978, ,012,10 Aaa AA+ 01/29/ /15/ US K82 10,039, ,036, ,039,10 Aaa AA+ 02/04/ /15/ US TS9 9,982, ,984, ,991,00 Aaa AA+ 02/08/ /30/ FNMA 3136G3BY0 10,000,00 10,000,00 10,002,90 Aaa AA+ 02/29/ /26/2019 1, US L81 9,965, ,967, ,005,50 Aaa AA+ 03/14/ /15/ FHLMC 3137EADM8 10,034,60 10,034, ,049,80 Aaa AA+ 04/25/ /02/2019 1, GOLDSA SYS500 69, , , Aaa AAA 07/01/ FIDELI SYS987 10,432, ,432, ,432, Aaa AAA 07/01/ SubTotal for Aaa 307,105, ,306, ,636, SubTotal for Aa2 13,045,05 13,034, ,105, SubTotal for Aa3 13,024,12 13,016, ,046, GECC 36962G5H3 4,994,05 4,999, ,058,95 A1 AA+ 10/17/ /17/ HNDA 02666QM26 2,998,29 2,999, ,020,70 A1 A+ 02/19/ /16/ PEPSIC CL0 5,537, ,533, ,537, A1 A 11/17/ /22/ CHEVRN AE0 3,000,00 3,000,00 3,028,65 Aa2 AA- 06/24/ /24/ CHEVRN AL4 5,015,75 5,010, ,028,65 Aa2 AA- 06/29/ /15/ CHEVRN AE0 5,029,30 5,024, ,047,75 Aa2 AA- 12/07/ /24/ TOYCC 89236TAL9 2,998,77 2,999, ,000,33 Aa3 AA- 05/17/ /17/ COCA C BA7 4,991,20 4,994, ,022,20 Aa3 AA- 01/15/ /01/ TOYCC 89233P5E2 5,034,15 5,022, ,024,15 Aa3 AA- 02/17/ /15/ CSCO 17275RAX0 5,124,75 5,118, ,193,00 A1 AA- 02/12/ /15/2020 1, USB 90331HMC4 5,006,80 5,005, ,008,50 A1 AA- 02/22/ /30/ MMM 88579YAQ4 5,111,25 5,106, ,162,75 A1 AA- 02/19/ /07/2020 1, SubTotal for A1 28,772, ,762, ,981, WFCNEW 94974BFG0 5,003,35 5,001, ,021,50 A2 A 05/15/ /16/ WFCNEW 94974BFW5 5,002,30 5,001, ,003,60 A2 A 02/03/ /02/ WFCNEW 94974BFL9 5,026,30 5,005, ,007,35 A2 A 06/29/ /20/ UNBC 90520EAC5 7,029, ,015, ,014,00 A2 A+ 03/28/ /06/ SubTotal for A2 22,061, ,022, ,046, TOYCC 89233GH25 4,983,00 4,991, ,991,30 P-1 A-1+ 02/04/ /02/ JPM 46640PJ61 4,975, ,985, ,986,60 P-1 A-1 02/09/ /06/ TDHUSA 89116EJ12 4,978, ,986, ,987,10 P-1 A-1+ 02/24/ /01/ Moody's Rating S&P Rating Purchase Date Maturity Date Days To Maturity Stated Rate YTM % of Total Portfolio CITY AP Run Date: 05/03/ :30 CR (PRF_CR) Report Ver

25 City of Anaheim Credit Rating Report Sorted by Moody's - Investment Number Page 3 Investment # Issuer Security # Purchase Principal Book Value Market Value SubTotal for P-1 14,937, ,962, ,965, LAIF SYS ,297, ,297, ,297, None None 07/01/ LAIF SYS17431 None None 07/01/ LAIF SYS ,331, ,331, ,331, None None 07/01/ SubTotal for No Specified Rating 63,628, ,628, ,628, Moody's Rating S&P Rating Purchase Date Maturity Date Days To Maturity Stated Rate YTM % of Total Portfolio CITY AP Run Date: 05/03/ :30 CR (PRF_CR) Report Ver

26 City of Anaheim Summary by Issuer April 30, 2016 Issuer Number of Investments Par Value Book Value % of Portfolio Average YTM 365 Average Days to Maturity JP Morgan 1 5,000,00 4,985, Chevron 3 13,000,00 13,034, Coca Cola 1 5,000,00 4,994, Cisco Systems 1 5,000,00 5,118, ,506 Exxon Mobil 1 5,000,00 5,000, FFCB 5 28,305,00 28,303, FHLB 4 30,000,00 30,111, FHLMC 9 60,612,00 60,567, Fidelity Govt MMF 1 10,432, ,432, FNMA 14 93,557,00 93,493, General Elec Cap Corp 1 5,000,00 4,999, Goldman Sachs Trsy MMF 1 69, , American Honda 1 3,000,00 2,999, Johnson & Johnson 3 13,145,00 13,148, LAIF 3 63,628, ,628, M Company 1 5,000,00 5,106, ,559 Microsoft 3 11,220,00 11,199, ,107 New York Life 1 5,000,00 5,005, Pepsico 1 5,525,00 5,533, Toronta Dominion 1 5,000,00 4,986, Toyota Motor 3 13,000,00 13,013, MUFG Union Bank 1 7,000,00 7,015, Portfolio CITY AP Run Date: 05/03/ :28 SI (PRF_SI) Report Ver

27 City of Anaheim Summary by Issuer April 30, 2016 Page 2 Issuer Number of Investments Par Value Book Value % of Portfolio Average YTM 365 Average Days to Maturity US Treasury 5 50,000,00 49,974, US Bank 1 5,000,00 5,005, Wells Fargo CO 3 15,000,00 15,007, Total and Average ,495, ,735, Portfolio CITY AP Run Date: 05/03/ :28 SI (PRF_SI) Report Ver

28 CITY OF ANAHEIM MONTHLY REPORT Portfolio Management Interest Earnings Summary April 30, 2016 Page 1 April 30 Month Ending Fiscal Year To Date CD/Coupon/Discount Investments: Interest Collected 233, ,025, Plus Accrued Interest at End of Period 1,063, ,063, Less Accrued Interest at Beginning of Period ( 926,334.73) ( 911,090.75) Less Accrued Interest at Purchase During Period ( ) ( ) Interest Earned during Period Adjusted by Premiums and Discounts Adjusted by Capital Gains or Losses 371, , ,178, , , Earnings during Periods 359, ,233, Pass Through Securities: Interest Collected Plus Accrued Interest at End of Period Less Accrued Interest at Beginning of Period ( ) ( ) Less Accrued Interest at Purchase During Period ( ) ( ) Interest Earned during Period Adjusted by Premiums and Discounts Adjusted by Capital Gains or Losses Earnings during Periods Cash/Checking Accounts: Interest Collected Plus Accrued Interest at End of Period Less Accrued Interest at Beginning of Period 74, , ( 74,155.40) 214, , ( 45,343.60) Interest Earned during Period 20, , Total Interest Earned during Period Total Adjustments from Premiums and Discounts Total Capital Gains or Losses 392, , ,368, , , Total Earnings during Period 380, ,424, Data Updated: SET_MRPT: 05/03/ :14 Portfolio CITY AP Run Date: 05/03/ :15 PM (PRF_PM6) Report Ver

29 CITY OF ANAHEIM MONTHLY REPORT Interest Earnings Sorted by Fund - Fund April 1, April 30, 2016 Yield on Beginning Book Value Adjusted Interest Earnings CUSIP Investment # Fund Security Type Ending Par Value Beginning Book Value Ending Book Value Maturity Date CurrentAnnualized Rate Yield Interest Earned Amortization/ Accretion Adjusted Interest Earnings Fund: SHORT- TERM PORTFOLIO SYS PA1 27,297, ,261, ,297, , , SYS PA1 36,331, ,293, ,331, , , GH ACP 5,000,00 4,988, ,991, /02/ , , SYS PA2 69, , , SYS PA2 10,432, , ,432, PJ ACP 5,000,00 4,981, ,985, /06/ , , DDN ACP 4,998, /22/ , , EJ ACP 5,000,00 4,983, ,986, /01/ , , EAC MTN 7,000,00 7,028, ,015, /06/ ,50-13, , Subtotal 96,131, ,810, ,109, , , , Fund: LONG-TERM PORTFOLIO K TRC 10,000,00 10,037, ,036, /15/ , , , D TRC 10,000,00 10,008, ,008, /15/ , , XK TRC 10,000,00 9,977, ,978, /15/ , , TS TRC 10,000,00 9,983, ,984, /30/ , , L TRC 10,000,00 9,966, ,967, /15/ , , , EADP FAC 1,600,00 1,588, ,588, /07/ , , EADT FAC 10,000,00 9,999, ,999, /22/ , , EADP FAC 5,000,00 4,965, ,967, /07/ , , , EADL FAC 7,012,00 6,997, ,997, /29/ , , EADN FAC 7,000,00 6,978, ,979, /12/ , , , G83V FAC 5,000,00 5,000,00 5,000,00 11/24/ , , EADM FAC 10,000,00 10,034, /02/ , , G3Z FAC 10,000,00 10,000,00 10,000,00 12/05/ , , G42R FAC 5,000,00 5,000,00 5,000,00 04/25/ , , N FAC 5,000,00 5,004, ,003, /10/ , , A FAC 10,000,00 10,022, ,021, /09/ , , QK FAC 10,000,00 10,087, ,085, /08/ , , , Data Updated: SET_MRPT: 05/03/ :45 Portfolio CITY AP Run Date: 05/03/ :45 IE (PRF_IE) Report Ver

30 CITY OF ANAHEIM MONTHLY REPORT Interest Earnings April 1, April 30, 2016 Page 2 Adjusted Interest Earnings CUSIP Investment # Fund Security Type Ending Par Value Beginning Book Value Ending Book Value Maturity Date CurrentAnnualized Rate Yield Interest Earned Amortization/ Accretion Adjusted Interest Earnings Fund: LONG-TERM PORTFOLIO 3130A4TR FAC 5,000,00 5,001, ,001, /16/ , , G0YT FAC 10,000,00 9,995, ,995, /27/ , , G0WY FAC 5,000,00 5,000,00 5,000,00 11/14/ , , G0ZY FAC 5,000,00 5,000, ,000, /26/ , , G3BY FAC 10,000,00 10,000,00 10,000,00 02/26/ , , G1L FAC 5,000,00 5,001, ,001, /08/ , , G0WJ FAC 5,000,00 4,988, ,988, /21/ , , G0PQ FAC 5,000,00 4,971, ,972, /26/ , , , G0ZA FAC 10,000,00 10,069, ,067, /19/ , , , G0WJ FAC 7,307,00 7,210, ,214, /21/ , , , G0ZB FAC 5,000,00 5,004, ,003, /20/ , , G04R FAC 5,000,00 5,000,00 5,000,00 02/21/ , , G0TM FAC 5,000,00 5,000,00 5,000,00 01/30/ ,25 4, G0TV FAC 10,000,00 10,000,00 10,000,00 01/30/ , , G0TV FAC 6,250,00 6,250,00 6,250,00 01/30/ , , EEFE FAC 5,000,00 4,998, ,998, /18/ , , EFSG FAC 5,000,00 5,000,00 5,000,00 03/14/ , , EFPR FAC 4,000,00 4,000,00 4,000,00 11/19/ , , ECBY FAC 5,375,00 5,374, ,374, /26/ , , ECE FAC 8,930,00 8,930,00 8,930,00 01/30/ , , G5H MTN 5,000,00 4,999, ,999, /17/ , , P5E MTN 5,000,00 5,026, ,022, /15/ , , , TAL MTN 3,000,00 2,999, ,999, /17/ , , AE MTN 5,000,00 5,025, ,024, /24/ , , AL MTN 5,000,00 5,010, ,010, /15/ , , AE MTN 3,000,00 3,000,00 3,000,00 06/24/ , , BA MTN 5,000,00 4,994, ,994, /01/ , , BFW MTN 5,000,00 5,001, ,001, /02/ , , BFL MTN 5,000,00 5,007, ,005, /20/ , , , BFG MTN 5,000,00 5,001, ,001, /16/ , , QM MTN 3,000,00 2,999, ,999, /16/ , , AY MTN 3,000,00 2,999, ,999, /15/ , , BL MTN 5,145,00 5,146, ,146, /21/ , , BL MTN 5,000,00 5,001, ,001, /21/ , , CL MTN 5,525,00 5,534, ,533, /22/ , , AP MTN 2,220,00 2,206, ,207, /15/ , , BG MTN 4,000,00 3,997, ,997, /03/ , ,72 Data Updated: SET_MRPT: 05/03/ :45 Portfolio CITY AP Run Date: 05/03/ :45 IE (PRF_IE) Report Ver

31 CITY OF ANAHEIM MONTHLY REPORT Interest Earnings April 1, April 30, 2016 Page 3 Adjusted Interest Earnings CUSIP Investment # Fund Security Type Ending Par Value Beginning Book Value Ending Book Value Maturity Date CurrentAnnualized Rate Yield Interest Earned Amortization/ Accretion Adjusted Interest Earnings Fund: LONG-TERM PORTFOLIO BF MTN 5,000,00 4,995, ,995, /03/ , , WBR MTN 5,000,00 5,005, ,005, /01/ , , GAA MTN 5,000,00 5,000,00 5,000,00 03/15/ , , RAX MTN 5,000,00 5,120, ,118, /15/ , , , HMC MTN 5,000,00 5,006, ,005, /30/ , , YAQ MTN 5,000,00 5,108, ,106, /07/ , , , Subtotal 366,364,00 356,600, ,625, , , , Total 462,495, ,410, ,735, , , , Data Updated: SET_MRPT: 05/03/ :45 Portfolio CITY AP Run Date: 05/03/ :45 IE (PRF_IE) Report Ver

32 CITY OF ANAHEIM MONTHLY REPORT Accrued Interest Sorted by Fund - Fund April 1, April 30, 2016 CUSIP Investment # Security Type Par Value Maturity Date Current Rate * Beginning Accrued Interest Adjusted Acc'd Int. at Purchase During Period Interest Earned Interest Received * Ending Accrued Interest SHORT- TERM PORTFOLIO SYS PA1 27,297, , , , , SYS PA1 36,331, , , , , SYS PA2 10,432, SYS PA2 69, EAC MTN 7,000,00 06/06/ , ,50 19, LONG-TERM PORTFOLIO Subtotal 81,131, , , , , D TRC 10,000,00 08/15/ , , , XK TRC 10,000,00 07/15/ , , , K TRC 10,000,00 08/15/ , , , TS TRC 10,000,00 09/30/ , , L TRC 10,000,00 10/15/ , , , , ECE FAC 8,930,00 01/30/ , , , EEFE FAC 5,000,00 12/18/ , , , ECBY FAC 5,375,00 04/26/ , , , EFPR FAC 4,000,00 11/19/ , , , EFSG FAC 5,000,00 03/14/ , , , A FAC 10,000,00 03/09/ , , , N FAC 5,000,00 03/10/ , , , QK FAC 10,000,00 03/08/ , , , A4TR FAC 5,000,00 10/16/ , , , , G3Z FAC 10,000,00 12/05/ , , , G42R FAC 5,000,00 04/25/ ,75 4, , EADT FAC 10,000,00 02/22/ , , , EADL FAC 7,012,00 09/29/ , , EADP FAC 1,600,00 03/07/ , , EADP FAC 5,000,00 03/07/ , , , EADN FAC 7,000,00 01/12/ , , , G83V FAC 5,000,00 11/24/ , , , EADM FAC 10,000,00 10/02/ , , G04R FAC 5,000,00 02/21/ , , , G0TM FAC 5,000,00 01/30/ , ,25 12, G0TV FAC 10,000,00 01/30/ , , , * Beginning Accrued may not include investments that redeemed in the previous month that had outstanding accrued interest. Data Updated: SET_MRPT: 05/03/ :45 Portfolio CITY AP Run Date: 05/03/ :45 AI (PRF_AI) Report Ver

33 CITY OF ANAHEIM MONTHLY REPORT Accrued Interest Sorted by Fund - Fund Page 2 CUSIP Investment # Security Type Par Value Maturity Date Current Rate * Beginning Accrued Interest Adjusted Acc'd Int. at Purchase During Period Interest Earned Interest Received * Ending Accrued Interest LONG-TERM PORTFOLIO 3135G0TV FAC 6,250,00 01/30/ , , , G0WJ FAC 5,000,00 05/21/ , , , G0WY FAC 5,000,00 11/14/ , , , G0YT FAC 10,000,00 11/27/ , , , G0WJ FAC 7,307,00 05/21/ , , , G0PQ FAC 5,000,00 10/26/ , , , G0ZA FAC 10,000,00 02/19/ , , , G0ZY FAC 5,000,00 11/26/ , , , G1L FAC 5,000,00 11/08/ , , , G0ZB FAC 5,000,00 04/20/ , , ,75 1, G3BY FAC 10,000,00 02/26/ , , , AE MTN 3,000,00 06/24/ , , , AL MTN 5,000,00 11/15/ , , , AE MTN 5,000,00 06/24/ , , , BA MTN 5,000,00 04/01/ ,75 4, ,75 4, RAX MTN 5,000,00 06/15/ , , , GAA MTN 5,000,00 03/15/ , , , G5H MTN 5,000,00 10/17/ , , ,75 6, QM MTN 3,000,00 02/16/ ,00 4,00 10, AY MTN 3,000,00 05/15/ , , , BL MTN 5,145,00 11/21/ , , , BL MTN 5,000,00 11/21/ , , , YAQ MTN 5,000,00 08/07/ , , , AP MTN 2,220,00 11/15/ , , , BG MTN 4,000,00 11/03/ , , , BF MTN 5,000,00 11/03/ , , , WBR MTN 5,000,00 03/01/ , , , CL MTN 5,525,00 02/22/ , , , TAL MTN 3,000,00 05/17/ , ,00 10, P5E MTN 5,000,00 09/15/ , , , HMC MTN 5,000,00 01/30/ , , , BFG MTN 5,000,00 01/16/ , ,25 21, BFW MTN 5,000,00 06/02/ , , , BFL MTN 5,000,00 07/20/ , , , Subtotal 366,364,00 924, , , ,044, Total 447,495, ,000, , , ,084, * Beginning Accrued may not include investments that redeemed in the previous month that had outstanding accrued interest. Data Updated: SET_MRPT: 05/03/ :45 Portfolio CITY AP Run Date: 05/03/ :45 AI (PRF_AI) Report Ver

34 CITY OF ANAHEIM MONTHLY REPORT Realized Gains and Losses Sorted By Investment Type Sales/Calls/Maturities: April 1, April 30, 2016 Investment # Issuer Inv. Type Purchase Date Par Value Current Rate Sale Date Maturity Date Days Held Term Book Value Maturity/Sale Proceeds Realized Gain/Loss Total Total Total Earnings Net Earnings Yield 365 Commercial Paper Disc. -Amortizing 1928 Apple Inc ACP 01/29/2016 5,000,00 04/22/ ,000,00 5,000,00 5, , /22/ Commercial Paper Disc. -Amortizing Subtotals Total Realized Gains/Losses 5,000,00 5,000,00 5, , ,000,00 5,000,00 5, , Data Updated: SET_MRPT: 05/03/ :45 Portfolio CITY AP Run Date: 05/03/ :45 CG (PRF_CGR1) Report Ver

35 City of Anaheim Transaction Activity Report April 1, April 30, 2016 Sorted by Transaction Date - Transaction Date All Funds Investment # Fund CUSIP Inv Descrip TransactionType Dealer Issuer New Principal Principal Paydowns BA7 COCA C 1.15% MAT Interest Coca Cola 28,75 28,75 Totals for 04/01/ ,75 28, L81 UNITED STATES Interest WELLS FARGO US Treasury 43,75 43, L81 UNITED STATES Accr Int WELLS FARGO US Treasury 36, , SYS17430 LAIF 1.469% Interest LAIF 35, , SYS17430 LAIF 1.469% Purchase LAIF 35, , SYS17432 LAIF 0.385% Interest LAIF 38, , SYS17432 LAIF 0.385% Purchase LAIF 38, , Totals for 04/15/ , , , , A4TR3 FEDERAL HOME Interest WELLS FARGO FHLB 21, , Totals for 04/16/ , , G5H3 GENERAL ELEC CAPInterest JP Morgan General Elec Cap Co 83,75 83,75 Totals for 04/17/ ,75 83, G0ZB2 FEDERAL NATL MTGInterest UBS WARBURG FNMA 18,75 18,75 Totals for 04/20/ ,75 18, SYS17430 LAIF 1.469% Purchase LAIF 13,000,00-13,000, SYS17432 LAIF 0.385% Purchase LAIF 17,000,00-17,000, DDN3 APPINC DISC NOTE Redemption JP Morgan Apple Inc 5,000,00 5,000,00 Totals for 04/22/ ,000,00 5,000,00-25,000, EADM8 FEDERAL HOME LN Purchase FCStone FHLMC 10,042, ,042, G42R8 FEDERAL HOME LN Interest CREDIT SUISSE FHLMC 26,25 26,25 Totals for 04/25/ ,042, ,25-10,016, G0PQ0 FEDERAL NATL MTGInterest JP Morgan FNMA 21, , ECBY9 FEDERAL FARM CR Interest WELLS FARGO FFCB 24, , Totals for 04/26/ , , SYS17430 LAIF 1.469% Redemption LAIF 9,000,00 9,000, SYS500 GOLDSA 0.966% Interest Goldman Sachs Trsy SYS500 GOLDSA 0.966% Purchase Goldman Sachs Trsy Totals for 04/29/ ,000, ,000,00 Grand Total 40,116, ,036, , ,772, Interest Total Cash Portfolio CITY AP Run Date: 05/03/ :33 TA (PRF_TA) Report Ver

36 Monthly Economic and Market Update April

37 Economic and Market Update 4/30/2016 Item 4/30/2016 3/31/2016 Change U.S. Payrolls Monthly Change 160, ,000-48,000 Unemployment Rate 5.0% 5.0% 0.0% Labor Force Participation 62.8% 63.0% -0.2% Effective Fed Funds Rate 0.30% 0.25% 0.05% Next Fed Funds Hike** Apr 2017 Jun Month 3 Month T-Bill 0.211% 0.201% 0.010% 2 Year T-Note 0.784% 0.723% 0.061% 3 Year T-Note 0.935% 0.854% 0.081% 5 Year T-Note 1.295% 1.206% 0.089% 10 Year T-Note 1.834% 1.770% 0.064% U.S. Fed Debt Avg Yield 2.010% 2.034% % 30 Year Mortgage Rate 3.63% 3.650% -0.02% 1-5 Yr Agency Spread 0.12% 0.10% 0.02% 1-5 Yr Corporate Spread 0.77% 0.870% -0.10% Dow Jones 17,774 17, % S&P 500 2,065 2, % Consumer Price Index YOY* 1.1% 0.9% 0.2% U.S. Avg Regular Unleaded $2.21 $2.06 $0.15 Retail Sales YOY* 1.5% 1.6% -0.1% Case-Shiller Home Prices YOY* 5.4% 5.7% -0.3% Gold (per ounce) $1, $1, $60.78 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 35

38 Economic and Market Update 4/30/2016 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: 4/30/16 36

39 Economic and Market Update 4/30/ U.S. Monthly Non-Farm Payrolls Change Unemployment Rates Nevada U.S.A California Idaho Washington Thousands Percent Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 3 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-15 Feb-16 Apr Month Average Job Change 224,333 Source: Bureau of Labor Statistics 37

40 Economic and Market Update 4/30/2016 Millions Apr-06 Sep-06 Feb-07 Jul-07 Dec-07 U.S. Number of Employed Full-Time and Part-TIme 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 Apr-16 Percent Apr-06 Sep-06 Feb-07 Jul-07 U.S. Labor Force Participation Rate 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 Apr-16 Source: Bureau of Labor Statistics 38

41 Economic and Market Update ######## 4/30/ 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 39

42 Economic and Market Update 4/30/2016 U.S. Real* Retail Sales YOY % Change U.S. Consumer Confidence Percent Index Value 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-15 Feb Oct-05 Mar-06 Aug-06 Jan-07 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-15 Mar-16 *Real: Inflation Adjusted Source: U.S. Census Bureau Source: Conference Board 40

43 Economic and Market Update 4/30/2016 CPI and CPIX* YOY % Change CPI CPIX Percent 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 Dec-15 Jan-16 Feb-16 Mar-16 *CPIX: Consumer Price Index, excluding food and energy Source: Bureau of Labor Statistics 41

44 Economic and Market Update 4/30/ Case-Shiller 20 City U.S. Home Price Index YOY % Increase 6 U.S. New and Existing Home Sales Existing-Left New-Right YOY Percent Existing-Millions New-Thousands 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 Nov-15 3 Oct-07 Mar-08 Aug-08 Jan-09 Jun-09 Nov-09 Apr-10 Sep-10 Feb-11 Jul-11 Dec-11 May-12 Oct-12 Mar-13 Aug-13 Jan-14 Jun-14 Nov-14 Apr-15 Sep-15 Feb Source: Case-Shiller Sources: New (U.S. Census Bureau),Existing (National Assoc. of Realtors) Seasonally Adjusted Annual Rate 42

45 Economic and Market Update 4/30/2016 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 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 Apr 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 Apr-16 Source: U.S. Treasury 43

46 Economic and Market Update 4/30/ Fed Funds vs. Fed's Anticipated Fed Funds Rate Fed's Anticipated Rates Fed Funds Futures Basis Points 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 Feb-2019 Mar-2019 Apr-2019 May-2019 Fed Funds Anticipated Rate from the March 16, 2016 FOMC Meeting Source: Bloomberg 44

47 Economic and Market Update 4/30/2016 U.S. Treasury Yield Curve Change Maturity 3/31/16 4/29/16 Change 3.0 3M /29/16 3/31/16 6M Y Y Y Percent 1.5 5Y Y Y M 6M 1Y 2Y 3Yr 5Y 10Y 30Y Source: Bloomberg 45

48 Economic and Market Update 4/30/2016 U.S. Treasury Yields: 3M and 1Y U.S. Treasury Yields: 2Y and 5Y Y 3M Y 2Y Percent Percent Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Source: Bloomberg 46

49 Economic and Market Update 4/30/ 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 47

50 Economic and Market Update 4/30/2016 Global Treasury Rates 2 Year Yields 5 Year Yields 10 Year Yields Australia 1.86% Australia 2.06% Portugal 3.15% USA 0.78% Portugal 1.91% Australia 2.52% Canada 0.69% USA 1.29% USA 1.83% Portugal 0.67% England 0.97% England 1.60% England 0.52% Canada 0.88% Spain 1.59% Italy -0.05% Spain 0.58% Canada 1.51% Spain -0.07% Italy 0.39% Italy 1.49% Japan -0.24% France -0.10% France 0.63% France -0.40% Japan -0.20% Germany 0.27% Germany -0.49% Germany -0.29% Japan -0.08% Switzlnd -0.89% Switzlnd -0.74% Switzlnd -0.26% -3.0%-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 48

51 Economic and Market Update 4/30/2016 Spread: 1-5Yr Agency* vs Treasury Spread: 1-5Yr A-AAA Corporate vs Treasury Basis Points Basis Points Mar-02 Oct-02 May-03 Dec-03 Jul-04 Feb-05 Sep-05 Apr-06 Nov-06 Jun-07 Jan-08 Aug-08 Mar-09 Oct-09 May-10 Dec-10 Jul-11 Feb-12 Sep-12 Apr-13 Nov-13 Jun-14 Jan-15 Aug-15 Mar Mar-02 Oct-02 May-03 Dec-03 Jul-04 Feb-05 Sep-05 Apr-06 Nov-06 Jun-07 Jan-08 Aug-08 Mar-09 Oct-09 May-10 Dec-10 Jul-11 Feb-12 Sep-12 Apr-13 Nov-13 Jun-14 Jan-15 Aug-15 Mar-16 Current Spread is 12 Current Spread is 77 *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 49

52 Economic and Market Update 4/30/2016 Spread: AAA Asset Backed vs Treasury Spread: 0-3Yr Agency CMO vs Treasury Basis Points Basis Points Mar-02 Oct-02 May-03 Dec-03 Jul-04 Feb-05 Sep-05 Apr-06 Nov-06 Jun-07 Jan-08 Aug-08 Mar-09 Oct-09 May-10 Dec-10 Jul-11 Feb-12 Sep-12 Apr-13 Nov-13 Jun-14 Jan-15 Aug-15 Mar Mar-02 Oct-02 May-03 Dec-03 Jul-04 Feb-05 Sep-05 Apr-06 Nov-06 Jun-07 Jan-08 Aug-08 Mar-09 Oct-09 May-10 Dec-10 Jul-11 Feb-12 Sep-12 Apr-13 Nov-13 Jun-14 Jan-15 Aug-15 Mar-16 Current Spread is 75 Current Spread is 56 *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 50

53 Economic and Market Update ######## 4/30/2016 Selected Sector MonthlyTotal Returns Percent (5) Source: Bloomberg 51

54 Economic and Market Update ######## 4/30/2016 Selected Sector Year-Over-YearTotal Returns 20 Percent 10 0 (10) (20) (30) (40) (50) Source: Bloomberg 52

55 Economic and Market Update 4/30/ Year Treasury Note Yield 1.40 No Fed rate hike Percent 1.25 Oil rallies 5% Stronger oil prices and higher stocks /31/16 4/1/16 4/2/16 4/3/16 4/4/16 4/5/16 4/6/16 4/7/16 4/8/16 4/9/16 4/10/16 4/11/16 4/12/16 4/13/16 4/14/16 4/15/16 4/16/16 4/17/16 4/18/16 4/19/16 4/20/16 4/21/16 4/22/16 4/23/16 4/24/16 4/25/16 4/26/16 4/27/16 4/28/16 4/29/16 4/30/16 Global growth worries Source: Bloomberg, FTN Main Street 53

56 Economic and Market Update ######## 4/30/2016 Dow Jones Industrial Index 18,200 18,100 18,000 Higher oil prices push stocks up 17,900 17,800 Q1 GDP rose.5%, less than expected 17,700 17,600 Higher oil prices and better-than-expected Chinese export data Weak earnings 17,500 3/31/16 4/1/16 4/2/16 4/3/16 4/4/16 4/5/16 4/6/16 4/7/16 4/8/16 4/9/16 4/10/16 4/11/16 4/12/16 4/13/16 4/14/16 4/15/16 4/16/16 4/17/16 4/18/16 4/19/16 4/20/16 4/21/16 4/22/16 4/23/16 4/24/16 4/25/16 4/26/16 4/27/16 4/28/16 4/29/16 4/30/16 Source: Bloomberg, FTN Main Street 54