Information Item. Date: October 26, 2017

Transcription

1 Information Item : October 26, 2017 To: Mayor and City Council From: Gigi Decavalles-Hughes, Director of Finance/City Treasurer Subject: City Monthly Cash and Investment Report for August 2017 Introduction In compliance with the City Charter, State law, and the City s Investment Policy, the attached monthly report provides information concerning City investments and cash held and/or managed by the Director of Finance/City Treasurer as of. Discussion The August 2017 Cash and Investment Report provides an updated review of the City s investment portfolio and cash position. The value of cash and investments held in the pooled portfolio increased by $14.9 million in August to $747 million. This is a typical pattern for August reflecting receipts from business license renewals. The pooled portfolio yield-to-maturity of 1.4% was up one basis point from the prior month and up twenty-nine basis points from August Net investment earnings on a cash basis for the month were $0.7 million. August s investment earnings were 61% greater than one year earlier. The portfolio yield is expected to continue to move gradually higher over the next few months as interest rates continue to rise. The Federal Reserve has increased the target range for the federal funds rate by 50 basis points so far this year and most analysts expect one more increase before the end of However, economic conditions could affect the interest rate movements. In addition to the pooled portfolio, the City s total cash holdings as of included $3.5 million in debt proceeds held in trust with various fiscal agents, $13 million in other funds held in trust, and $27,372 in petty cash/change funds for a total balance of $763.5 million. 1

2 Green Bonds The City s investment policy dictates certain socially responsible guidelines that should be adhered to in the investment of the City s excess funds. A prime example of this is the prohibition of investments in fossil fuel-related companies. In an effort to enhance the socially responsible nature of the City s investment portfolio, staff began to research and analyze green bonds as a potential investment alternative. Green bonds are bonds that specifically finance projects that benefit the climate and produce other environmentally beneficial projects. Green bonds are issued by government agencies, private corporations, and institutions such as the World Bank. Investments in green bonds still need to meet the City s legal and strategic investment parameters. As of August 31, 2017, the City s portfolio has a total of $11 million in green bonds. In compliance with Governmental Accounting Standards, the Monthly Cash and Investment Report provides the fair market value of all investments held by the City, with certain exceptions, as of the last day of the month. The fair market value may be greater or less than the original purchase price (book/reported value) of the investments due to fluctuations in the market resulting in either an unrealized gain or loss for financial disclosure purposes only. Since it is the City s policy to hold most securities to maturity, these fluctuations in market value do not affect the redemption value of the securities or the overall yield to maturity of the portfolio. The book values of investments shown in this report are exclusive of amortization/accretion of premiums/discounts. As of August 31, 2017, the market value of the City s portfolio was approximately $1.9 million less than the book value, primarily due to the rise in interest rates since the November 2016 election. Interest rates move in an inverse relationship to the market prices of investments. Attached is a summary of investment activity as well as a detailed report of public monies held by the City Treasurer as of. Prepared by: Attachments: David Carr, Assistant City Treasurer 1 Investment Highlights 2 Investment Report 2

3 ATTACHMENT 1 Investment Highlights Millions Portfolio Size Current Year Prior Year $800 $750 $700 $650 $600 $550 $500 $450 Sept Oct Nov Dec Jan Feb Mar Apr May June July Aug As of, the portfolio size is $747 million, $14.9 million more than in the prior month. Portfolio value is $41.3 million greater than one year ago primarily due to several large one-time cash receipts received over the last 12 months. Yield to Maturity 2.00% 1.50% 1.00% 0.50% Current Year Prior Year % Sept Oct Nov Dec Jan Feb Mar Apr May June July Aug As of, yield to maturity is 1.4%. The yield was up one basis point from the prior month and up twenty-nine basis points from one year ago. 3

4 Millions Fiscal Year-to- Investment Earnings (Cumulative by Month) $8 $7 $6 $5 $4 $3 $2 $1 Current Year Prior Year $0 July Aug Sep Oct Nov Dec Jan Feb Mar Apr May June Fiscal year-to-date investment earnings through August (cash basis) are 61% greater than one year earlier. Millions Unrealized Gain/(Loss) $2.0 $1.0 $0.0 ($1.0) ($2.0) ($3.0) ($4.0) ($5.0) ($6.0) Aug Sept Oct Nov Dec Jan Feb Mar Apr May June July Aug As of, the market value is approximately $1.9 million less than the unamortized book value (purchase price). 4

5 ATTACHMENT 2 Investment Report Prepared by: Gigi Decavalles-Hughes, Director of Finance/City Treasurer David R. Carr, Assistant City Treasurer Paul Chung, Principal Treasury Analyst 5

6 Cash Receipts, Disbursements and Cash Balances Petty Cash/Change Funds $27, Pooled Portfolio Wells Fargo Bank (1) $27,261, Wells Fargo Custodial Account Corporate Bonds $141,736, U.S. Treasury Securities $6,005, State of California Bonds $12,184, Commercial Paper $3,989, Supranationals $39,499, Federal Agencies Securities $451,138, Total Wells Fargo Custodial Account $654,552, State of California Local Agency Investment Fund - City $63,332, State of California Local Agency Investment Fund - RDA $1,859, Total Pooled Portfolio *** $747,006, Restricted Cash/Investments Held in Trust/Debt Proceeds Union Bank-Earthquake Recovery Redevelopment 2006 Tax Allocation Refunding Bonds Series A & B $ Union Bank-Civic Center Parking Project 2015 Lease Revenue Bonds $2, Union Bank-RDA 2011 Tax Allocation Bonds $2,265, BNY-2011 Parking Structure Series A & B $ BNY-Parking Authority Lease Revenue Bonds 2002 Refunding $ BNY-Public Safety Facility Bonds 2009 Refunding $1,222, U.S. Bank-Wastewater Enterprise Revenue Bonds-2012 Refunding $12.43 Total Restricted Cash/Investments Held in Trust $3,491, Other Restricted Funds/Funds Held in Trust Cemetery Perpetual Care Fund (3) $10,911, Mausoleum Perpetual Care Fund (3) $1,287, Wells Fargo - Santa Monica Redevelopment Successor Agency RPTTF $494, Wells Fargo - HUD Depository Account (4) $6, Wells Fargo - Payroll Account $92, Wells Fargo - Public Agency Family Self Sufficiency Program (2) $140, Total Other Funds Held in Trust $12,932, GRAND TOTAL $763,457,

7 Cash Receipts, Disbursements and Cash Balances (1) These are the actual bank account balances as of 8/31/2017. They only reflect checks and warrants that have been presented for payment and deposits received by the bank. The balance on deposit per the City s books would reflect reductions for all checks and warrants issued and an increase for all deposits transmitted. Housing Authority and Parking Authority Funds are included in the totals. (2) The City of Santa Monica Housing Authority administers the Family Self Sufficiency Program. An escrow account is set up for each family in the program. The Housing Authority maintains and releases the escrow funds as required by HUD regulations. (3) The Cemetery Perpetual Care Funds and the Mausoleum Perpetual Care Funds are held in trust by Charles Schwab & Company, Inc. and administered by the investment firm RNC Genter Capital Management. Market value is shown since a large portion of the portfolio is in equities. (4) HUD Depository account is used to receive monthly housing assistance payments from HUD. Pursuant to Section 711d of the City Charter, I submit the following: Cash and Investments - July 31, ,066, Receipts 60,930, Disbursements (45,991,023.41) Cash and Investments - 747,006, Pooled portfolio only. Excludes certain investments held in trust by third parties such as bond proceeds, perpetual care funds, and other escrow accounts. Also excludes payroll account and Successor Agency accounts at Wells Fargo Bank. Gigi Decavalles-Hughes Director of Finance/City Treasurer 7

8 Cash Receipts, Disbursements and Cash Balances Overview As of, total City cash and investments (including cash held for the Successor Agency to the Redevelopment Agency) were $763.5 million, a $14.8 million increase from the prior month. The pooled portfolio increased by $14.9 million. This is a typical pattern for August reflecting receipts from business license renewals. Restricted Cash/Investments Held in Trust/Debt Proceeds decreased by $0.1 million. Other Restricted Funds/Funds Held in Trust also decreased by $0.1 million. Total cash and investments are categorized as follows: Definitions Petty Cash/Change Funds $ 27, Pooled Investment Portfolio $ 747,006, Restricted Cash/Investment Held in Trust $ 3,491, Other Funds Held in Trust $ 12,932, Total $ 763,457, Basis Point One hundredth of one percent (.01%). Book (Reported) Value The price paid for the security at purchase. Bullets A security with a fixed coupon or interest rate that cannot be redeemed by the issuer before the maturity date. Callable Securities A security that can be redeemed by the issuer before the maturity date. Duration A measure of the timing of the cash flows, such as the interest payments and the principal repayment, to be received from a security. The duration of a security is a useful indicator of its price volatility for given changes in interest rates. Green Bonds Green bonds are used to finance projects that promote environmental and/or climate benefits. Green bonds eligible for inclusion in the City s investment portfolio are issued by government agencies, private corporations, and institutions such as the World Bank. Market Value The price at which a security is currently trading and could be presumably bought or sold. Par Value The full face value of the security. Rebalancing Strategy whereby low yielding securities are sold at a loss with the proceeds used to purchase higher yielding securities. 8

9 Cash Receipts, Disbursements and Cash Balances Supranational Supranational organizations are international financial institutions that are generally established by agreements among nations, with member nations contributing capital and participating in management. Supranational bonds finance economic and infrastructure development and support environmental protection, poverty reduction, and renewable energy around the globe, which are issued by International Bank for Reconstruction and Development, International Finance Corporation, or Inter-American Development Bank. Unrealized Gain/Loss Difference between the current market value and purchase price (book value) of a security. Yield to Maturity The rate of return of a security held to maturity when both interest payments and the investor s gain or loss (premium paid or discount taken) on the security is taken into account. Pooled Investment Portfolio As of, the portfolio size (unamortized book value/purchase price) of City pooled cash and investments is $747 million, $14.9 million more than in the prior month. Since the City holds most investments to maturity, variations in portfolio book value are typically due to receipt and expenditure patterns during the month rather than any realized gains or losses on securities. Additionally, the City does not amortize premiums or accrete discounts except for financial reporting purposes on the last day of each fiscal year. As noted above, this is a typical pattern for August reflecting receipts from business license renewals. Fifteen investments were made during the month ($50.6 million), five investments matured ($16 million), one investment was sold ($5 million), and four investments were called ($9 million). The month-end balance of cash held in the City s general bank account decreased by about $5.7 million in August. Funds on deposit earn a net % in earnings which are used as a credit against monthly banking expenses. Details of the main portfolio follow. 9

10 Cash Receipts, Disbursements and Cash Balances Portfolio Composition The portfolio is appropriately diversified and is in compliance with the City s Investment Policy and applicable provisions of the State Government Code. The largest sector of the portfolio is Federal Agency Securities (60.4%). The remaining 39.6% includes Corporates (19%), State Local Agency Investment Fund City (8.5%), Supranationals (5.3%), Cash (3.7%), CA State Obligations (1.6%), U.S. Treasury Securities (0.8%), Commercial Paper (0.5%), and State Local Agency Investment Fund RDA (0.2%) This portfolio mix allows the City to maintain its primary investment objectives of safety and liquidity while attaining a rate of return consistent with the City s Investment Policy and investment strategy. Supranationals 5.3% CA State Obligations 1.6% Commerical Paper 0.5% U.S. Treasury Securities 0.8% LAIF - RDA 0.2% LAIF City 8.5% Portfolio Composition Corporates 19% Fed. Agency Bullets 31.9% Cash 3.7% Callable Agencies 28.5% Green Bonds The City s investment policy dictates certain socially responsible guidelines that should be adhered to in the investment of the City s excess funds. A prime example of this is the prohibition of investments in fossil fuel-related companies. In an effort to enhance the socially responsible nature of the City s investment portfolio, staff began to research and analyze green bonds as a potential investment alternative. Green bonds are bonds that specifically finance projects that benefit the climate and produce other environmentally beneficial projects. Green bonds are issued by government agencies, private corporations, and institutions such as the World Bank. Investments in green bonds still need to meet the City s legal and strategic investment parameters. The bond proceeds are be used for projects designated as climate-beneficial projects. As of August, the City s portfolio has a total of $11 million in green bonds. 10

11 Cash Receipts, Disbursements and Cash Balances Portfolio Comparison The chart to the right shows the overall structure of the portfolio by type of investment compared to last month. There was no significant change from the prior month. The bond market, financial and economic conditions, and portfolio structure are continuously evaluated when making investment decisions. Cash U.S. Treasury Securities Commercial Paper CA State Obligations Supranationals LAIF-RDA LAIF-City Corporates Callable Agencies Federal Agency Bullets Portfolio Comparison Aug-17 Jul-17 $0 $50 $100 $150 $200 $250 $300 Millions Rebalancing of Portfolio As noted in the previous reports, staff has expanded the parameters of rebalancing to look for opportunities to improve portfolio performance even in times of low interest rates. When conducting rebalancing, the primary portfolio objectives of safety and liquidity must be maintained. Specifically, the City may realize a book gain or loss due to the sale of a security. These rebalancing sales only occur if: 1. A net gain on the sale is realized and there is net positive cash flow going forward (inclusive of the book gain), or 2. If a security is sold at a book loss, cash flow from any loss is made up by additional income resulting from the higher yield on the purchased bonds on or before the maturity date of the sold bonds or the first call date of the newly purchased bonds. 11

12 Cash Receipts, Disbursements and Cash Balances In August, one investment with a par value of $5 million was sold resulting in a net gain on the sale of $62,350. Staff will continue to look for prudent opportunities, more of which should become available as interest rates show a consistent upward trend. Portfolio Yield Benchmark interest rates ended August fairly flat. The month-end two-year Constant Maturing Treasury security yield (CMT) fell one basis point to 1.33%, and remained near its highest level in nearly nine years. The twelve month moving average did rise two basis points to 1.16% reflecting the long term upward trend in rates. The portfolio yield-to-maturity rose one basis point to 1.40%, the highest level since August While rates are now expected to continue to rise gradually over the next one to two years as the Federal Reserve raises rates, they still remain at relatively low levels. The chart Portfolio Yield compares the month-end portfolio yield to the twelvemonth moving averages of the two-year Constant Maturing Treasury security yield (CMT) and State Local Agency Investment Fund (LAIF) yield. The yield-to-maturity does 1.6% 1.4% 1.2% not include the impact of the earnings allowance earned on 1.0% deposits in the City s general bank account. As noted 0.8% earlier, these deposits earned a net % in August. 0.6% However, this allowance is not payable to the City in cash and can only be used to offset bank fees. Therefore, this 0.4% allowance is not included in the yield-to-maturity 0.2% calculation. 0.0% March April May June July August As indicated above, interest rates in the two to five year maturity range remained relatively flat in August and remain near the highest levels since the Great Portfolio LAIF 2 Year T-Note Recession. Financial markets continue to try and assess U.S. and global economic data, the long term impacts of the new administration s policies, and the timing of future action by the Federal Reserve. The twelve month moving average LAIF 12

13 Cash Receipts, Disbursements and Cash Balances yield rose to 0.83% in August, four basis points higher than last month and is now at the highest level in over seven years. The LAIF month-end rate was 1.08%, the highest level in over eight years. The Federal Reserve Open Market Committee (Fed) did not meet in August so the benchmark target Fed Funds rate remained at a range of 1.00% %. Job growth remained solid. Although the unemployment rate rose slightly to 4.4%, 156,000 new jobs were added. The unemployment rate remained near a sixteen years low. Household spending continues to rise modestly and business investment continues to expand. Inflation remains low, but as noted above, long term expectations are nearly in line with Fed policy mandates. Second quarter 2017, GDP showed a fairly strong increase of 3.1% after a modest 1.2% increase for first quarter. However, most recent economic projections predict annualized growth in the % range for the next two years. The Fed continues to indicate that the pace of future rate changes will be gradual and that rates will remain lower than typical for some time. The strong post-election rally in the stock market as measured by the Dow Jones Industrial Average continued in August as the index increased by 0.2%. The City s portfolio yield-to-maturity is expected to continue to exhibit a gradual upward trend over the next several months. Net investment income on a cash basis in August was $0.7 million. Fiscal year-to-date revenues are 61% greater than in the previous fiscal year. 13

14 Portfolio Management Portfolio Details - Investments Page 1 CUSIP Investment # Treasury Coupon Securities Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity TW U. S. Treasury Note 10/30/2015 2,000,00 1,998,96 2,000, /31/ TS U. S. Treasury Note 07/28/2017 4,000,00 3,998,68 4,005, /30/2017 Federal Agency Coupon Subtotal and Average 8,424, ,000,00 5,997,64 6,005, EFRL Federal Farm Credit Bank 11/30/2015 3,000,00 3,000,00 3,000, , ,186 11/30/ EFRH Federal Farm Credit Bank 11/30/2015 3,000,00 2,997,15 3,000, , /30/ EFZR Federal Farm Credit Bank 02/16/2016 3,000,00 2,997,21 3,000, /12/ EF3B Federal Farm Credit Bank 04/12/2016 2,000,00 1,994,62 1,997, /18/ EF3P Federal Farm Credit Bank 04/20/2016 5,000,00 4,972,40 5,000, , ,053 07/20/ EGKU Federal Farm Credit Bank 07/14/2016 3,000,00 2,958,06 2,987, , /08/ EGNK Federal Farm Credit Bank 07/27/2016 2,500,00 2,463, ,500, , ,060 07/27/ EGNT Federal Farm Credit Bank 07/26/2016 4,000,00 3,996,64 3,999, /26/ EGA Federal Farm Credit Bank 11/01/2016 3,000,00 2,979,63 3,000, , /01/ EGC Federal Farm Credit Bank 11/03/2016 3,000,00 2,971,56 2,998, , ,158 11/02/ EG2P Federal Farm Credit Bank 12/29/2016 3,000,00 3,002,64 3,000, , ,580 12/29/ EHAV Federal Farm Credit Bank 03/01/2017 4,000,00 4,000,04 4,000, , ,642 03/01/ EHEU Federal Farm Credit Bank 04/07/2017 3,000,00 3,000,24 3,000, , ,587 01/05/ EHQG Federal Farm Credit Bank 08/31/2017 3,000,00 3,000,00 3,009, , ,677 04/05/ GK Federal Home Loan Bank 06/27/2013 3,800,00 3,799, ,800, , /27/ EE Federal Home Loan Bank 05/21/2015 3,000,00 3,011,97 3,021, , /14/ EC Federal Home Loan Bank 09/22/2015 3,000,00 2,999,85 2,996, /08/ A6MH Federal Home Loan Bank 10/28/2015 3,000,00 2,998,02 3,000, , ,153 10/28/ A6UX Federal Home Loan Bank 12/28/2015 4,000,00 4,007,36 4,000, , /28/ A7H Federal Home Loan Bank 03/29/2016 3,000,00 2,997,30 3,000, /29/ A87H Federal Home Loan Bank 05/26/2016 2,500,00 2,485, ,500, , /26/ A8LS Federal Home Loan Bank 06/30/2016 5,000,00 4,944,75 5,000, , ,398 06/30/ A8QD Federal Home Loan Bank 07/14/2016 3,000,00 2,964,84 3,000, , ,047 07/14/ A8QS Federal Home Loan Bank 07/14/2016 5,000,00 4,904,50 4,981, , ,412 07/14/ A8WE Federal Home Loan Bank 07/29/2016 2,500,00 2,489,35 2,500, , /26/ A8VL Federal Home Loan Bank 08/24/2016 2,500,00 2,491, ,500, /24/ A93A Federal Home Loan Bank 08/24/2016 3,000,00 2,999,67 3,000, , ,453 08/24/ A9A Federal Home Loan Bank 09/14/2016 5,500,00 5,444, ,500, , /14/ A9FQ Federal Home Loan Bank 09/28/2016 3,000,00 2,990,97 3,000, /28/ A9TP Federal Home Loan Bank 11/15/2016 4,000,00 3,990,00 4,000, , /15/ A9W Federal Home Loan Bank 11/25/2016 2,000,00 1,984,80 2,000, , /24/2020 Maturity Portfolio INVT CC Run : 09/22/ :57 PM (PRF_PM2) Report Ver

15 Portfolio Management Portfolio Details - Investments Page 2 CUSIP Investment # Federal Agency Coupon Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity 3130AA5A Federal Home Loan Bank 12/08/2016 5,000,00 5,000,10 5,000, , ,559 12/08/ AAGR Federal Home Loan Bank 12/20/2016 2,500,00 2,502, ,500, , ,571 12/20/ AAQ Federal Home Loan Bank 01/27/2017 3,000,00 2,997,39 3,000, /27/ AAQE Federal Home Loan Bank 01/30/2017 4,000,00 4,002,00 4,000, , /30/ AARD Federal Home Loan Bank 02/15/2017 5,000,00 5,002,00 5,000, , ,628 02/15/ ABAD Federal Home Loan Bank 04/27/2017 1,000,00 999,94 1,000, , ,699 04/27/ ABBZ Federal Home Loan Bank 05/24/2017 2,500,00 2,507, ,500, , ,726 05/24/ ABBY Federal Home Loan Bank 05/24/2017 2,500,00 2,502,75 2,500, , ,180 11/24/ ABSP Federal Home Loan Bank 07/26/2017 3,000,00 3,002,85 3,001, /26/ SZ Federal Home Loan Bank 07/14/2017 4,000,00 4,000,96 4,038, /08/ AAM Federal Home Loan Bank 07/26/2017 2,000,00 2,003,12 2,004, /18/ ABX Federal Home Loan Bank 08/22/2017 2,000,00 1,998,10 2,000, , ,816 08/22/ ABYK Federal Home Loan Bank 08/07/2017 2,500,00 2,500,05 2,500, /07/ ABXH Federal Home Loan Bank 08/10/2017 4,000,00 3,999,48 4,000, , ,804 08/10/ ABZE Federal Home Loan Bank 08/28/2017 3,000,00 2,998,41 3,000, , ,092 08/28/ AC6W Federal Home Loan Bank 08/28/2017 2,500,00 2,499,75 2,500, /28/ DT Federal Home Loan Bank 08/31/2017 2,000,00 2,000,26 2,006, /08/ G44N Fed Home Loan Mortgage Corp 05/28/2013 3,000,00 2,997,42 3,000, , /28/ G5LV Fed Home Loan Mortgage Corp 11/17/2014 2,500,00 2,500,25 2,499, , /17/ G73X Fed Home Loan Mortgage Corp 10/30/2015 3,000,00 2,999,46 3,000, /27/ G73Q Fed Home Loan Mortgage Corp 10/27/2015 4,000,00 3,989,68 4,000, , /27/ G8VC Fed Home Loan Mortgage Corp 03/28/2016 3,000,00 2,993,10 3,000, , /28/ G8VC Fed Home Loan Mortgage Corp 03/28/2016 3,000,00 2,993,10 3,000, , /28/ G8VE Fed Home Loan Mortgage Corp 03/29/2016 5,000,00 4,994,35 5,000, /29/ G8TY Fed Home Loan Mortgage Corp 03/30/2016 5,000,00 4,993,25 5,000, , /30/ G8Y Fed Home Loan Mortgage Corp 04/27/2016 3,000,00 2,992,80 3,000, /27/ G9AH Fed Home Loan Mortgage Corp 04/27/2016 5,000,00 4,964,05 5,000, , /27/ G9AA Fed Home Loan Mortgage Corp 04/28/2016 5,000,00 4,973,25 5,000, , /28/ G8XP Fed Home Loan Mortgage Corp 04/26/2016 3,000,00 2,985,54 3,000, , /26/ G9AD Fed Home Loan Mortgage Corp 04/28/2016 5,005,00 4,974,97 5,003, , ,335 04/28/ G9HM Fed Home Loan Mortgage Corp 05/26/2016 4,000,00 3,974,56 4,000, , /26/ G9HJ Fed Home Loan Mortgage Corp 05/10/2016 3,000,00 2,992,02 3,000, /10/ G9JV Fed Home Loan Mortgage Corp 05/23/2016 5,000,00 4,976,60 5,000, /23/ G9MW Fed Home Loan Mortgage Corp 05/31/2016 4,000,00 3,955,16 4,000, , /26/ G9HJ Fed Home Loan Mortgage Corp 05/18/2016 2,500,00 2,493,35 2,500, /10/ G9QV Fed Home Loan Mortgage Corp 06/15/2016 2,500,00 2,493, ,500, , ,018 06/15/2020 Maturity Portfolio INVT CC Run : 09/22/ :57 PM (PRF_PM2)

16 Portfolio Management Portfolio Details - Investments Page 3 CUSIP Investment # Federal Agency Coupon Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity 3134G9SA Fed Home Loan Mortgage Corp 06/23/2016 4,400,00 4,382, ,400, , ,026 06/23/ G9SB Fed Home Loan Mortgage Corp 06/22/2016 2,500,00 2,491, ,500, , /22/ G33Z Fed Home Loan Mortgage Corp 07/14/2016 2,000,00 1,996,54 2,037, , ,063 07/30/ G9U Fed Home Loan Mortgage Corp 07/26/2016 3,000,00 2,994,18 3,000, , /26/ G9V Fed Home Loan Mortgage Corp 07/26/2016 3,000,00 2,972,85 3,000, , /26/ G9X Fed Home Loan Mortgage Corp 07/27/2016 3,000,00 2,992,92 3,000, /27/ GABA Fed Home Loan Mortgage Corp 08/30/2016 3,000,00 2,987,88 3,000, /28/ GABM Fed Home Loan Mortgage Corp 08/30/2016 4,000,00 3,963,76 4,000, , ,092 08/28/ GARV Fed Home Loan Mortgage Corp 10/28/2016 2,500,00 2,489,70 2,500, , /25/ GARL Fed Home Loan Mortgage Corp 10/28/2016 3,000,00 2,991,60 3,000, , ,518 10/28/ GAMV Fed Home Loan Mortgage Corp 10/11/2016 3,000,00 2,992,80 3,000, /28/ GAJ Fed Home Loan Mortgage Corp 01/26/2017 2,000,00 1,999,10 2,000, , ,608 01/26/ GA2P Fed Home Loan Mortgage Corp 02/27/2017 4,000,00 4,000,36 4,000, , /27/ G9M Fed Home Loan Mortgage Corp 02/15/2017 2,000,00 2,011,54 1,991, , ,424 07/26/ G9M Fed Home Loan Mortgage Corp 02/15/2017 2,000,00 2,011,54 1,992, , ,424 07/26/ GA6G Fed Home Loan Mortgage Corp 03/29/2017 3,000,00 2,998,56 3,000, /29/ GA6W Fed Home Loan Mortgage Corp 02/28/2017 4,000,00 3,998,12 4,000, /28/ GBBW Fed Home Loan Mortgage Corp 03/29/2017 2,000,00 2,001,50 2,000, , ,670 03/29/ G9UY Fed Home Loan Mortgage Corp 03/21/2017 3,000,00 2,993,43 2,994, /29/ GBGG Fed Home Loan Mortgage Corp 04/26/2017 4,000,00 3,996,84 4,000, /26/ GBGR Fed Home Loan Mortgage Corp 04/27/2017 2,000,00 2,000,34 2,000, , ,334 04/27/ GBHW Fed Home Loan Mortgage Corp 04/27/2017 4,000,00 4,001,44 4,000, , ,060 07/27/ GBNA Fed Home Loan Mortgage Corp 05/25/2017 2,500,00 2,500,40 2,500, , ,727 05/25/ GBMQ Fed Home Loan Mortgage Corp 05/24/2017 2,000,00 2,000,82 2,000, , ,361 05/24/ GBRJ Fed Home Loan Mortgage Corp 05/30/2017 4,000,00 4,001,04 4,000, , ,001 05/29/ GBUH Fed Home Loan Mortgage Corp 06/29/2017 2,856,00 2,856, ,854, , ,762 06/29/ GBXU Fed Home Loan Mortgage Corp 07/27/2017 4,000,00 4,000,80 4,000, , ,790 07/27/ GBZF Fed Home Loan Mortgage Corp 07/27/2017 2,000,00 2,002,74 2,000, , ,060 07/27/ X0GA Farmer Mac 04/29/2016 2,500,00 2,488, ,500, , /29/ X0KE Farmer Mac 10/03/2016 3,000,00 2,999,07 3,000, /03/ X0LR Farmer Mac 12/08/2016 4,000,00 4,000,00 4,000, /08/ X0RX Farmer Mac 04/10/2017 3,000,00 3,017,85 3,000, , ,519 10/29/ X0SU Farmer Mac 05/22/2017 2,000,00 1,999,42 2,000, /15/ X0UC Farmer Mac 07/28/2017 2,350,00 2,350, ,351, , ,032 06/29/ G0XA Federal National Mort Assoc 05/21/2013 3,000,00 2,994,78 3,000, , /21/ G2PJ Federal National Mort Assoc 10/26/2015 1,000,00 997,97 1,000, , /26/2018 Maturity Portfolio INVT CC Run : 09/22/ :57 PM (PRF_PM2)

17 Portfolio Management Portfolio Details - Investments Page 4 CUSIP Investment # Federal Agency Coupon Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity 3136G2R Federal National Mort Assoc 10/29/2015 2,500,00 2,495, ,500, , /26/ G2RQ Federal National Mort Assoc 10/29/2015 3,000,00 2,973,15 3,000, , /29/ G2WV Federal National Mort Assoc 01/29/2016 3,500,00 3,491,25 3,500, , /25/ G2XS Federal National Mort Assoc 02/26/2016 5,000,00 4,996,45 5,000, , /26/ G2XZ Federal National Mort Assoc 02/24/2016 2,500,00 2,482, ,500, , /24/ G3AM Federal National Mort Assoc 02/26/2016 5,000,00 4,980,15 5,000, , ,274 02/26/ G3CT Federal National Mort Assoc 03/15/2016 2,400,00 2,397, ,400, , ,291 03/15/ G3JR Federal National Mort Assoc 04/26/2016 2,000,00 1,987,02 1,995, , /26/ G3ML Federal National Mort Assoc 05/24/2016 5,000,00 4,953,85 5,000, , /24/ G3QZ Federal National Mort Assoc 05/27/2016 2,500,00 2,485,90 2,500, , /30/ G3RM Federal National Mort Assoc 06/21/2016 4,000,00 3,970,12 4,000, , /21/ G3XJ Federal National Mort Assoc 07/26/2016 4,000,00 3,941,52 4,000, , /26/ G3YJ Federal National Mort Assoc 07/26/2016 4,000,00 3,941,52 4,000, , /26/ G0L Federal National Mort Assoc 07/13/2016 2,000,00 1,995,00 1,999, /13/ G3ZV Federal National Mort Assoc 07/26/2016 5,000,00 4,940,95 5,000, , /26/ G3ZU Federal National Mort Assoc 07/27/2016 5,000,00 4,976,55 5,000, /27/ G1BL Federal National Mort Assoc 07/14/2016 1,750,00 1,751, ,787, , ,063 07/30/ G3L Federal National Mort Assoc 07/28/2016 4,000,00 3,921,64 4,000, , ,061 07/28/ G3L Federal National Mort Assoc 07/28/2016 5,000,00 4,948,05 5,000, , /28/ G3S Federal National Mort Assoc 08/16/2016 5,000,00 4,954,30 5,000, , ,445 08/16/ G3W Federal National Mort Assoc 08/30/2016 2,000,00 1,968,36 2,000, , /28/ G3Y Federal National Mort Assoc 08/30/2016 5,000,00 4,958,95 5,000, , ,092 08/28/ G3ZS Federal National Mort Assoc 08/03/2016 2,000,00 1,989,14 1,999, /26/ G3Q Federal National Mort Assoc 08/10/2016 2,000,00 1,989,14 1,999, , /26/ G35R Federal National Mort Assoc 09/20/2016 3,000,00 2,968,98 3,000, , /20/ G4CT Federal National Mort Assoc 09/29/2016 5,000,00 4,896,45 5,000, , ,032 06/29/ G4EX Federal National Mort Assoc 10/18/2016 2,500,00 2,498, ,500, , /18/ G4BV Federal National Mort Assoc 10/07/2016 4,000,00 3,951,28 3,999, , ,125 09/30/ G0QL Federal National Mort Assoc 12/19/2016 2,500,00 2,500, ,502, /27/ G4KM Federal National Mort Assoc 01/17/2017 2,000,00 2,000,06 2,000, , /17/ G4LG Federal National Mort Assoc 02/28/2017 2,500,00 2,501,75 2,500, , ,092 08/28/ G4MT Federal National Mort Assoc 03/27/2017 2,000,00 2,001,38 2,000, , /27/ G4NL Federal National Mort Assoc 05/22/2017 2,500,00 2,500, ,500, , /22/ EQ Tenn Valley Authority 07/28/2017 1,000,00 1,004,90 1,009, /15/2018 Subtotal and Average 439,935, ,061,00 436,384, ,161, , Maturity Portfolio INVT CC Run : 09/22/ :57 PM (PRF_PM2)

18 Portfolio Management Portfolio Details - Investments Page 5 CUSIP Investment # Federal Agency Discount Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity QD Federal Home Loan Bank 08/25/2017 4,000,00 3,988, ,988, /06/ NR Federal Home Loan Bank 08/25/2017 4,000,00 3,992, ,992, /31/ MG Federal Home Loan Bank 08/28/2017 5,000,00 4,995, ,995, /28/2017 Local Agency Investment Funds Subtotal and Average 5,025, ,000,00 12,976, ,976, SYS Local Agency Investment Fund 63,332, ,332, ,332, Columbia Money Market Fund Subtotal and Average 63,332, ,332, ,332, ,332, SYS Columbia Money Market Reserves 09/15/ Local Agency Investment Funds - RDA Subtotal and Average SYS LAIF - Successor Agency 03/17/2009 1,859, ,859, ,859, Corporate Bonds Subtotal and Average 1,859, ,859, ,859, ,859, AD AUTOMATIC DATA PROCESSING 09/24/2015 2,500,00 2,534,15 2,516, , ,110 09/15/ AJ Apple Inc. 05/06/2013 2,500,00 2,493, ,505, , /03/ AJ Apple Inc. 05/17/2013 2,500,00 2,493, ,478, , /03/ CC Apple Inc. 09/14/2016 2,000,00 1,972,10 1,992, , ,433 08/04/ HCL Bank of New York Mellon 08/07/2015 5,000,00 5,023,10 5,063, , /01/ BX Berkshire Hathaway 08/15/2016 2,000,00 1,994,14 1,999, /15/ QEB Colgate Palmolive 07/28/2014 1,500,00 1,494,84 1,472, , /01/ RAR Cisco Systems 10/30/2014 2,500,00 2,520,40 2,531, , /01/ RAU Cisco Systems 06/18/2015 2,500,00 2,504, ,506, , /15/ RBJ Cisco Systems 04/21/2017 4,000,00 3,980,84 3,981, , ,480 09/20/ RBG Cisco Systems 08/25/2017 3,000,00 2,989,62 3,005, /20/ PDA Walt Disney Company 11/28/2014 4,000,00 4,018,20 3,991, , /30/ PDA Walt Disney Company 02/23/2015 2,000,00 2,009,10 2,006, , /30/ PDQ Walt Disney Company 04/10/2017 4,000,00 4,050,44 4,034, , ,645 03/04/ KAA Google 05/08/2017 4,800,00 5,095,20 5,122, , ,356 05/19/ HZ IBM Corp 02/06/2015 3,000,00 2,996,73 2,990, , /06/ HK IBM Corp 08/31/2017 4,500,00 4,495, ,503, /08/2018 Maturity Portfolio INVT CC Run : 09/22/ :57 PM (PRF_PM2)

19 Portfolio Management Portfolio Details - Investments Page 6 CUSIP Investment # Corporate Bonds Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity AL Intel 11/20/2014 3,000,00 2,999,88 2,995, , /15/ AL Intel 07/14/2017 3,000,00 2,999,88 3,004, /15/ BM Johnson & Johnson 05/23/2016 4,000,00 4,028,08 4,090, , /05/ BN Johnson & Johnson 12/05/2016 4,000,00 4,101,40 4,081, , ,556 12/05/ BS Johnson & Johnson 08/08/2017 2,000,00 1,996,36 2,012, , ,277 03/01/ BT Coca Cola 11/09/2015 3,000,00 3,013,89 2,975, , ,152 10/27/ AR Coca Cola 02/22/2016 4,000,00 4,167,56 4,253, , ,171 11/15/ YAC Merck 02/06/2015 3,000,00 2,996,58 3,001, , /31/ AP Microsoft 04/30/2013 2,500,00 2,497, ,505, , /15/ BF Microsoft 11/10/2015 2,500,00 2,498, ,498, , /03/ BG Microsoft 11/10/2015 2,500,00 2,521,45 2,497, , ,159 11/03/ BN Microsoft 08/08/2016 3,000,00 2,978,64 2,996, , /08/ BW Microsoft 03/10/2017 4,000,00 4,065,84 4,008, , ,619 02/06/ WBK New York Life 01/23/2013 2,855,00 2,854, ,872, , /30/ XAQ Oracle 04/13/2015 3,000,00 3,035,07 3,099, , /15/ XBK Oracle 01/09/2017 2,500,00 2,493, ,449, , ,475 09/15/ DL Pepsi Bottling 12/05/2016 4,000,00 3,955,80 3,906, , ,496 10/06/ DT Pepsi Bottling 05/15/2017 3,000,00 3,024,18 2,993, , ,704 05/02/ EG Procter & Gamble 11/10/2014 3,000,00 3,020,55 2,999, , /01/ EQ Procter & Gamble 12/20/2016 2,500,00 2,486,95 2,436, , ,524 11/03/ AE Qualcomm Inc. 08/14/2017 5,000,00 5,162,00 5,203, , ,722 05/20/ AF Starbucks Corp 03/10/2017 2,900,00 2,917, ,927, /05/ AJ Starbucks Corp 06/30/2017 3,084,00 3,115, ,109, , ,252 02/04/ AG Starbucks Corp 07/14/2017 3,000,00 3,076,11 3,063, , ,748 06/15/ AG Starbucks Corp 07/17/2017 2,000,00 2,050,74 2,051, , ,748 06/15/ TBP Toyota Motor Credit Corp 07/21/2014 4,000,00 4,034,00 4,000, , /18/ TCP Toyota Motor Credit Corp 08/11/2015 2,000,00 2,000,98 2,000, , /13/ TDC Toyota Motor Credit Corp 04/25/2016 3,000,00 2,982,96 3,000, /25/ P7E Toyota Motor Credit Corp 12/28/2016 2,000,00 2,000,20 2,001, /10/2018 Commercial Paper Disc. -At Cost Subtotal and Average 134,505, ,639,00 141,743, ,736, , SYM University of California 08/25/2017 4,000,00 3,989, ,989, /21/2017 Subtotal and Average 900, ,000,00 3,989, ,989, Maturity Portfolio INVT CC Run : 09/22/ :57 PM (PRF_PM2)

20 Portfolio Management Portfolio Details - Investments Page 7 CUSIP Investment # Supranationals Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity DX Inter-American Develop Bank 05/15/2017 3,000,00 2,974,08 2,972, /13/ ET IBRD (World Bank) 10/13/2015 3,000,00 3,000,00 3,000, /13/ UVK IBRD (World Bank) 03/17/2016 5,000,00 4,994,85 5,000, , ,293 03/17/ FB IBRD (World Bank) 04/26/2016 4,000,00 3,996,68 4,000, , /26/ UUL IBRD (World Bank) 07/13/2016 4,000,00 3,993, ,026, /26/ FC IBRD (World Bank) 10/26/2016 2,500,00 2,483, ,503, /26/ UZZ IBRD (World Bank) 11/28/2016 2,500,00 2,492,45 2,500, , ,536 11/15/ EM IBRD (World Bank) 12/30/2016 2,500,00 2,499,65 2,496, /15/ VJT International Finance Corp. 09/02/2016 3,000,00 2,976,75 3,000, , ,475 09/15/ VJS International Finance Corp. 08/19/2016 5,000,00 4,923,85 5,000, , ,444 08/15/ UZT International Finance Corp. 11/22/2016 3,000,00 2,991,66 3,000, , ,543 11/22/ VKX International Finance Corp. 07/21/2017 2,000,00 1,998,78 2,000, , ,778 07/15/2022 State of California Obligations Subtotal and Average 39,499, ,500,00 39,325, ,499, , CKL State of California 06/09/2014 3,000,00 3,024,69 3,020, , /01/ CSQ State of California 04/29/2015 2,500,00 2,492,15 2,507, , /01/ DAD California Statewide Communiti 05/09/2017 3,000,00 3,038,76 3,007, , ,673 04/01/ GSB University of California 01/12/2015 1,130,00 1,134, ,127, , /01/ GSB University of California 09/29/2015 2,500,00 2,511,05 2,521, , /01/2019 Subtotal and Average 12,184, ,130,00 12,201, ,184, , Maturity Total and Average 705,668, ,522, ,810, ,744, , Portfolio INVT CC Run : 09/22/ :57 PM (PRF_PM2)

21 Portfolio Management Portfolio Details - Cash Page 8 CUSIP Investment # Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity Average Balance Total Cash and Investments ,668, ,522, ,810, ,744, , Portfolio INVT CC Run : 09/22/ :57 PM (PRF_PM2)

22 Portfolio Management Activity By Type August 1, 2017 through Page 1 CUSIP Investment # Issuer Stated Rate Transaction Purchases or Deposits Redemptions or Withdrawals Balance Treasury Coupon Securities TM U. S. Treasury Note /31/2017 2,500, Federal Agency Coupon 3133EHQG1 3130ABDU7 3130ABX ABYK6 3130A62S5 3130ABXH4 3130ABZE9 3130AC6W DT3 3134G3B GA2Y9 3134GA3L6 3135G0MZ3 3136G4LH4 Federal Agency Discount KN QD NR MG8 Subtotal Federal Farm Credit Bank /31/2017 3,000, Federal Home Loan Bank /28/2017 3,000, Federal Home Loan Bank /22/2017 2,000, Federal Home Loan Bank /07/2017 2,500, Federal Home Loan Bank /28/2017 4,011, Federal Home Loan Bank /10/2017 4,000, Federal Home Loan Bank /28/2017 3,000, Federal Home Loan Bank /28/2017 2,500, Federal Home Loan Bank /31/2017 2,000, Fed Home Loan Mortgage Corp /15/2017 1,998, Fed Home Loan Mortgage Corp /28/2017 2,000, Fed Home Loan Mortgage Corp /28/2017 2,000, Federal National Mort Assoc /28/2017 2,505, Federal National Mort Assoc /28/2017 2,000,00 Subtotal 19,000, Federal Home Loan Bank /17/2017 4,997, Federal Home Loan Bank /25/2017 3,988, Federal Home Loan Bank /25/2017 3,992, Federal Home Loan Bank /28/2017 4,995, ,500, ,005, ,515,93 438,161, Subtotal 12,976, Local Agency Investment Funds (Monthly Summary) Subtotal Columbia Money Market Fund (Monthly Summary) Subtotal Local Agency Investment Funds - RDA (Monthly Summary) Subtotal 4,997, ,976, ,332, ,859, Portfolio INVT CC Run : 09/22/ :57 PM (PRF_PM3) Report Ver

23 Portfolio Management Activity By Type August 1, 2017 through Page 2 CUSIP Investment # Issuer Stated Rate Transaction Purchases or Deposits Redemptions or Withdrawals Balance Corporate Bonds 17275RBG PDE HK BS AE Cisco Systems /25/2017 2,987, Walt Disney Company /14/2017 4,977, IBM Corp /31/2017 4,500, Johnson & Johnson /08/2017 1,997, Qualcomm Inc /14/2017 5,168,50 Commercial Paper Disc. -At Cost 91411SYM6 Subtotal 14,653, University of California /25/2017 3,989, ,977,65 141,736, Supranationals State of California Obligations Subtotal 3,989, Subtotal Subtotal 3,989, ,499, ,184, Total 50,619, ,990, ,744, Portfolio INVT CC Run : 09/22/ :57 PM (PRF_PM3) 7.3.0

24 Cash Receipts, Disbursements and Cash Balances Maturity Distribution The weighted average days to maturity of the portfolio as of August 31, 2017 is 758 days (2.1 years). This calculation is for invested funds only and does not reflect the City s primary liquidity funds being held in cash in the City s general bank account. Approximately 55% of the portfolio continues to be held in maturities of 2 years or less (including cash and LAIF balances). The current interest rate environment, while gradually improving, is still extremely low compared to historical standards. Based on this, the portfolio s average days to maturity will likely continue to vary over the next several months. While some investments are still being made in shorter term securities, investments in longer term securities that replace matured or called investments are also being made to take advantage of the yield curve. Although rates are still relatively low on a historical basis, they are expected to increase throughout the remainder of 2017 and into 2018 as the Fed raises rates resulting in less investments being called. Unrealized Gains/Losses The Governmental Accounting Standards Board Statement No. 31 (GASB 31) requires public agencies to report all investments, with certain exceptions, at current fair market value rather than at the original purchase price. Current fair market value is defined in GASB 31 as the amount at which a financial instrument could be exchanged in a current transaction between willing parties, other than in a forced or liquidation state. Millions $250 $200 $150 $100 $50 $0 Portfolio Maturities 1-2 Years, 20.6% 2-3 Years 19% 0-1 Year 22% Cash LAIF 0-1 Year 3-4 Years 11.8% Maturity Distribution 1-2 Years LAIF 8.7% 4+ Years 14.2% 2-3 Years Cash 3.6% 3-4 Years 4+ Years The current fair market value and unrealized gain/loss of a security do not affect its redemption value or yield if held to maturity. There is an inverse relationship between the price of the bond and the market interest rate, so the current unrealized loss is a direct result of the recent increases in interest rates. The City s practice is to purchase most securities 24