City of Anaheim OFFICE OF THE CITY TREASURER

Transcription

1 City of Anaheim OFFICE OF THE CITY TREASURER DATE: JANUARY 28, 2014 FROM: OFFICE OF THE CITY TREASURER COUNCIL AGENDA REPORT SUBJECT: INVESTMENT PORTFOLIO REPORT DECEMBER 2013 ATTACHMENT (Y/N): YES ITEM # RECOMMENDATION: That the City Council, by Motion, approve the Investment Portfolio Report for December DISCUSSION: This is the investment report for the City s general pool for the month ending December 31, 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. COMPLIANCE: 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. INVESTMENT SUMMARY: The following table shows summary investment information for the month ending December 31, 2013: Short-term Portfolio Long-term Portfolio Total Portfolio Values Portfolio Balance (Market Value) * $ 124,147,728 $ 295,558,379 $ 419,706,107 Effective Yield 0.18 % 1.36 % 1.01 % Avg. Weighted Maturity 18 Days 2.3 Years 1.6 Years Net Earnings $ 17,227 $ 339,809 $ 357,036 Benchmark** 0.01 % 0.45 % 0.28 % * Portfolio balance includes approximately $20.9 million of the 2011A Electric Bond project funds (December 2013) ** Benchmark value is the Interpolated Treasury Yield to the Portfolio s Average Weighted Maturity INVESTMENT ACTIVITIES 201 S. Anaheim Blvd. Suite #901 Anaheim, CA Tel: (714) Fax: (714) The City Treasurer s Investment Portfolio has a current 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 54% of funds in Federal Agency issues) and not the management of the investment fund.

2 January 28, 2014 Page 2 of 5 It should be pointed out the downgrade in credit rating is the sole action of Standard and Poor s, since the other two major national credit firms of Moody s Investor Services and Fitch Ratings have maintained the AAA credit rating on all U.S. Treasury and Federal Agency debt issues. Even with the credit downgrade to the investment portfolio, the investment portfolio is still eligible and qualifies as a permitted investment for City bond funds (i.e., project or acquisition funds). This credit rating is for the City s investment portfolio and does NOT reflect the credit rating of the City s bond issues. 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. INVESTMENT ENVIRONMENT: The month of December 2013 showed a change in the way the financial markets are likely to react to the Federal Reserve announcement of tapering the ongoing security purchases for the past year. The overall U.S Treasury yield curve, the recognized baseline for the pricing of other financial instruments, rose across the board, with the largest increases in interest rate levels in the intermediate (3 years to 10 years) maturity ranges. For comparison, the three month U.S. Treasury bill closed December at 0.07%, up two basis points from the prior month close of 0.05%. The three year U.S. Treasury Note closed the month at 0.77%, an increase of 0.22% from the November 2013 close of 0.55%, and the ten year U.S. Treasury Note (considered the benchmark for the mortgage sector) closed December at 3.03%, an increase of 0.25%, and the highest monthly close since June The movement in interest rates indicates that the Federal Reserve action to begin tapering the purchases of long term securities from approximately $85 billion per month to $75 billion per month and projecting additional easing will have a greater effect on intermediate and longer term maturity fixed income securities than short term (one month to two year maturities) securities. The Federal Reserve continues to monitor the economic data to maintain the modest growth and sustain the overall recovery from the Great Recession of The December 18, 2013 Federal Open Market Committee (FOMC) meeting continues to keep the benchmark Federal Funds rate at 0 to 0.25% with the language assessment changing to a focus on Growth. The Federal Reserve lowered the Federal Funds rate to this historically low level at their December 2008 FOMC meeting. The Federal Funds rate is the interest rate that banks lend to each other to maintain their capital values and positions. The chart below shows the interest rates for U.S. Treasury issues for the month ending December 2013: 3.50% 3.25% 3.00% 2.75% 2.50% 2.25% 2.00% 1.75% 1.50% 1.25% 1.00% 0.75% 0.50% 0.25% 0.00% 0.04% 0.07% 0.09% 0.11% Source: Bloomberg Financial Systems Treasury Yield Curve 3 Month TBills to 10 Year Tbonds December 31, % 0.77% 1.74% 2.45% 3.03% Fed Funds 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr

3 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 City Treasurer s Investment Report December 2013 January 28, 2014 Page 3 of 5 A key economic indicator watched by investors is the national unemployment rate, which tends to show the overall health of the national economy. For the month of December 2013, the national unemployment rate was reported at 6.7%, down 0.3% from the September 2013 value of 7.0%. The twelve month average is at 7.4%, which is significantly lower from the December 2011 level of 8.5%, however, economists are divided as to whether the reduction in unemployment is the result of people being employed or are simply not looking any longer, which removes them from the unemployed survey. The unemployment rate is considered a lagging economic indicator and does not reflect immediate or current financial and economic events. The unemployment rate does indicate the level of idle workers as a percentage of the overall labor force. The chart below shows the national unemployment rate for the past twelve months: 9.00 U.S. Unemployment Rate January 2013 to December Source: U.S. Bureau of Labor Statistics A more accurate gauge of the employment sector and the improving economy is the amount of jobs being created. The Bureau of Labor Statistics publishes monthly the value of US Employees on nonfarm payrolls, which is an indication of how the corporate or business sector is hiring. For the month of December 2013, the nonfarm payroll number was reported to be 74,000 new jobs created, significantly lower than expectations. For comparison, the November 2013 value was revised upward to 241,000 new jobs from the previous value of 203,000. The annual (twelve month average) value with the revised values shows approximately 182,000 monthly new jobs are being created, which is above the minimum value of 165,000 new monthly jobs that economists have said are needed to show sustained economic growth. It should be noted the nonfarm payroll values are subject to seasonal variations and revisions, making an analysis of a distinct trend in this indicator difficult at times. The chart below shows the nonfarm payroll values for the past two years: Nonfarm Payroll January 2012 to December 2013 Change in Nonfarm Payrolls (000's) Source: U.S. Bureau of Labor Statistics

4 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 City Treasurer s Investment Report December 2013 January 28, 2014 Page 4 of 5 Another economic factor we watch is the monthly Retail Sales (less Autos), which measures the level of consumer spending and provides an indication of the underlying vitality of the overall national economy. At the time this report was prepared, the December 2013 data were not available. The month of November 2013 value, including the activity from black Friday (or the new black Friday week), showed an annualized retail sales value of $349.0 billion, up from the October 2013 value of $347.6 billion, for a month over month percentage increase of 0.4%. The annualized increase, year to year, showed a percentage increase of 3.4%. The increase in month over month retail sales showed a healthy increase in consumer spending going into the holiday season. It is estimated that consumer spending accounts for over sixty five percent of economic activity, so an increase in retail sales can indicate expanding economic activity. The chart below shows the monthly increase in consumer spending for the past thirty six months: Retail Sales (Less Autos) in $ billions December 2011 to November Source: Census Bureau, US Government INVESTMENT PERFORMANCE: The City s investment portfolio remains strongly diversified and invested in high credit quality issues of U.S. Treasuries, Federal Agencies, Medium Term Corporate Notes and high grade commercial paper. Investments in money market accounts are restricted to U.S. Treasury and Federal Agencies only and a review of the State of California Local Agency Investment Fund (LAIF) shows high levels of liquidity and safe investments. The City s investment strategy continues to focus on safety and providing liquidity for the City s operational requirements. For December 31, 2013, the City Treasurer s Investment Portfolio performance was: Amount of Funds (Market Value) Maturity Effective Yield Interpolated Yield Total Return Monthly Total Return Annual Short-Term Portfolio $ , days 0.18 % 0.01 % Long-Term Portfolio $ 295,558, years 1.36 % 0.45 % Total Portfolio $ 419,706, years 1.01 % 0.28 % The portfolio balance includes a deposit for the acquisition funds of the 2011A Electric Bonds of $20,910, as of the December 31, 2013 bond fund report balance. As a credit rated portfolio of AA, we are recognized as a permitted investment by the bond indenture of the above bonds. These funds enjoy the advantage of superior market rates of return in a historically low interest rate environment. Please note the use of interpolated yield values and total return values are guidelines and not used in the performance evaluation of the portfolio. The investment of public funds is exposed to a large range of variable

5 January 28, 2014 Page 5 of 5 factors, such as increases or decreases in revenues and expenditures as well as seasonal timing, which can affect the cash flow of the City. The City s investment portfolio continues to provide above market rates of return on funds invested as shown in the following graph which shows the City s net overall performance to a market indicator for the past twelve months: 1.40% Portfolio Yield Actual Yield to Interpolated Yield January 31, 2013 to December, % 1.00% 1.20% 1.09% 1.10% 1.00% 1.00% 1.00% 1.05% 1.02% 1.05% 1.07% 1.08% 1.01% 0.80% 0.60% 0.40% 0.20% 0.27% 0.24% 0.25% 0.21% 0.29% 0.33% 0.29% 0.32% 0.27% 0.26% 0.24% 0.28% 0.00% Source: Treasurer s Office, Anaheim Portfolio Yield Inter- polated Yld Curve The interpolated yield curve value of 0.28% reflects the current market interest rates comparable to the City s Investment Portfolio average weighted maturity of 1.6 years as of December 31, As shown, the City s Investment Portfolio interest earnings were 1.01% for December, a monthly approximate dollar earnings of $254,778 over market interest rates. Cumulative earnings for the City portfolio over market interest rates for the past twelve months are approximately $3,286,690. A complete listing of the portfolio holdings and investment activity for the City of Anaheim s Investment Portfolio for the month of December 2013 is on the following pages. 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, Henry W. Stern, CTP City Treasurer Attachment 1. City Treasurer s Investment Report

6 Page 1 of 11 Balances, Yields and Average Maturities December 31, 2013 Description Par Value Book Value Market Value Yield to Maturity Percent of Average Weighted Maturity Total Funds Days Years Short-Term Portfolio Money Market Funds $6,040,988 $6,040,988 $6,040, % 1.44% L.A.I.F. (State of California $65,313,138 $65,313,138 $65,313, % 15.56% subtotal: Cash and Overnight Investments $71,354,126 $71,354,126 $71,354, % Commercial Paper $52,800,000 $52,793,602 $52,793, % 12.58% Medium Term Corporate Notes $0 $0 $0 0.00% 0.00% U.S. Federal Agencies $0 $0 $0 0.00% 0.00% U.S. Treasury $0 $0 $0 0.00% 0.00% subtotal: Pooled Investments $52,800,000 $52,793,602 $52,793, % 12.58% Total Short-Term Portfolio: $124,154,126 $124,147,728 $124,147, % 29.58% Long -Term Portfolio Commercial Paper $0 $0 $0 0.00% Medium Term Corporate Notes $85,184,000 $85,619,040 $86,642, % 20.64% U.S. Federal Agencies $209,330,000 $209,165,327 $208,915, % 49.78% U.S. Treasury $0 $0 $0 0.00% 0.00% Total Long-Term Portfolio: $294,514,000 $294,784,367 $295,558, % 70.42% Total Cash and Pooled Investments $418,668,126 $418,932,095 $419,706, % %

7 Page 2 of 11 City of Anaheim Investment Portfolio Asset Allocation December 31, 2013 $ 419,706,107 Med Term Corp $86,642,968 M.M.K.T. $6,040,988 Comml Paper $24,995,883 L.A.I.F. $65,313,138 Federal Agencies $208,915,411 M.M.K.T. Comml Paper L.A.I.F. Federal Agencies Med Term Corp

8 Page 3 of 11 Liquidity Schedule December 31, 2013 Availability Market Value Cumulative Balances % of Total Assets Money Market Funds Immediate $6,040,988 $6,040, % L.A.I.F. (State of California) Immediate $65,313,138 $71,354, % Pooled Investment Maturities: < 30 Days $30,199,271 $101,553, % Total Cash and Pooled Investments: $419,706, to 90 Days $21,608,356 $123,161, % 91 to 180 Days $30,669,861 $153,831, % 181 to 365 Days $26,352,144 $180,183, % 1 to 2 years $72,965,771 $253,149, % 2 to 3 years $85,079,351 $338,228, % 3 to 4 years $31,357,567 $369,586, % 4 to 5 years $50,119,661 $419,706, % $100,000,000 $90,000,000 $80,000,000 $70,000,000 $60,000,000 $50,000,000 $40,000,000 $30,000,000 $20,000,000 $10,000,000 $0 City of Anaheim Portfolio Liquidity Schedule

9 Page 4 of 11 Summary and Comparison of Yields and Balances December 31, 2013 Description Current Month Prior Month Yield to Maturity (at market): December 31, 2013 November 30, 2013 Money Market Funds (US Treasuries) 0.01% 0.01% L.A.I.F. (State of California) 0.26% 0.26% U.S. Treasuries 0.00% 0.00% Federal Agency Bonds 1.27% 1.32% Commercial Paper 0.09% 0.11% Medium Term Corporate Notes 1.60% 1.75% Total Portfolio Yield 1.01% 1.08% Weighted Average Maturity (Days) Weighted Average Maturity (Years) Balances (at Market Value) Money Market Funds (US Gov Sec) $6,040,988 $580,649 L.A.I.F. (State of California) $65,313,138 $60,313,138 U.S. Treasuries $0 $0 Federal Agencies $208,915,411 $216,569,249 Commercial Paper $52,793,602 $52,945,831 Medium Term Corporate Notes $86,642,968 $73,661,885 Total Portfolio: $419,706,107 $404,070,752 Current Month Fiscal Year to Earnings: December 31, 2013 Date Earnings Total Interest Earnings for Month: $360, $2,217, Total Adjustments from Premiums and Discounts -$3, $11, Total Capital Gains or Losses $0.00 $0.00 Total Earnings for Month $357, $2,205,907.21

10 Page 5 of 11 City of Anaheim Investment Portfolio Summary Month / Yr Core Portfolio Reserve Portfolio Portfolio Balance (market value) Portfolio Yield Avg Wgt Mat.- Days Avg Wgt Mat. - Yrs Inter - polated Yld Curve Difference: City Yield / Interpolated Jun-09 $92,988,732 $316,049,180 $409,037, % % 1.14% Jun-10 $127,268,510 $256,712,953 $383,981, % % 1.42% Jun-11 $180,459,755 $261,836,213 $442,295, % % 1.17% Jun-12 $161,711,522 $259,031,847 $420,743, % % 1.11% Jul-12 $130,883,306 $254,515,935 $385,399, % % 1.29% Aug-12 $128,310,646 $269,502,499 $397,813, % % 1.27% Sep-12 $108,805,936 $259,373,508 $368,179, % % 1.24% Oct-12 $107,137,761 $270,989,809 $378,127, % % 1.18% Nov-12 $97,947,618 $273,455,616 $371,403, % % 1.20% Dec-12 $97,621,426 $285,055,252 $382,676, % % 1.16% Jan-13 $105,033,351 $291,834,246 $396,867, % % 0.93% Feb-13 $128,239,171 $286,885,162 $415,124, % % 0.85% Mar-13 $125,785,560 $286,780,703 $412,566, % % 0.85% Apr-13 $145,789,032 $279,600,648 $425,389, % % 0.79% May-13 $142,296,123 $296,152,869 $438,448, % % 0.71% Jun-13 $141,655,794 $299,138,984 $440,794, % % 0.67% Jul-13 $124,516,874 $299,599,908 $424,116, % % 0.76% Aug-13 $139,344,652 $293,752,142 $433,096, % % 0.70% Sep-13 $123,651,911 $294,704,136 $418,356, % % 0.78% Oct-13 $117,872,756 $295,174,674 $413,047, % % 0.81% Nov-13 $113,839,617 $290,231,135 $404,070, % % 0.84% Dec-13 $124,147,728 $295,558,379 $419,706, % % 0.73% Note: December 2013 balance reflects acquisition funds from 2011A Electric Bonds, approximately $20.9 million (December 2013) Portfolio balances from June 2011 through December 2013 reflect additional funds from 2011A Electric Bonds

11 Page 6 of 11 CITY OF ANAHEIM December 31, 2013 Short-Term Portfolio CUSIP Security # Issuer Security Type S & P Rating Par Value Book Value Market Value Purchase Date Maturity Date Stated Rate SYS LAIF MMKT AA+ 35,102, ,102, ,102, /01/2013 1/1/ % SYS LAIF MMKT AA+ 30,210, ,210, ,210, /01/2013 1/1/ % SYS FIDELITY GOVERNMENT MMKT MMKT AAA 98, , , /01/2013 1/2/ % SYS GOLDMAN SACHS PRIME MMKT AAA 5,942, ,942, ,942, /01/2013 1/2/ % 19121BA COCA COLA CP A1 / P1 5,200, ,199, ,199, /31/ /06/ % 30229BA Exxon Mobil CP A1 / P1 5,000, ,999, ,999, /19/ /06/ % 89233HAA TOYOTA MOTOR CREDIT CP A1 / P1 5,000, ,999, ,999, /26/ /10/ % 14177UAD CARGILL CP A1 / P1 5,000, ,999, ,999, /20/ /13/ % 45920GAF International Business Machine CP A1 / P1 5,000, ,999, ,999, /24/ /15/ % 59157UAT METROPOLITAN LIFE CP A1 / P1 5,000, ,999, ,999, /20/ /27/ % 89233HB TOYOTA MOTOR CREDIT CP A1 / P1 5,000, ,999, ,999, /20/ /05/ % 71708FCA PFIZER, INC CP A1 / P1 5,000, ,999, ,999, /20/ /10/ % 2546R3CR Disney CP A1 / P1 5,000, ,998, ,998, /26/ /25/ % 2546R3CR Disney CP A1 / P1 1,600, ,599, ,599, /24/ /25/ % 2546R3D Disney CP A1 / P1 1,000, , , /31/ /08/ % 59157UE METROPOLITAN LIFE CP A1 / P1 5,000, ,997, ,997, /31/ /05/ % Total Short-Term Portfolio: 124,154, ,147, ,147, % CITY OF ANAHEIM December 31, 2013 Long-Term Portfolio CUSIP Security # Issuer Security Type S & P Rating Par Value Book Value Market Value Purchase Date Maturity Date Stated Rate 31398A3K FED NATL MORTGAGE ASSN Fed Agy AA+ 5,000, ,999, ,011, /23/ /14/ % 31331GTJ FEDERAL FARM CREDIT BANK Fed Agy AA+ 8,000, ,000, ,058, /17/ /17/ % 31331GTJ FEDERAL FARM CREDIT BANK Fed Agy AA+ 4,500, ,498, ,532, /01/ /17/ % 31331GTJ FEDERAL FARM CREDIT BANK Fed Agy AA+ 4,000, ,003, ,029, /29/ /17/ % 31398AXJ FED NATL MORTGAGE ASSN Fed Agy AA+ 5,000, ,003, ,043, /30/ /15/ % AX Johnson & Johnson MTN AAA 3,000, ,999, ,008, /20/ /15/ % JS FEDERAL HOME LOAN BANKS Fed Agy AA+ 8,000, ,989, ,067, /23/ /12/ % 31331KHW FEDERAL FARM CREDIT BANK Fed Agy AA+ 5,000, ,010, ,064, /16/ /19/ % 31398AZV FED NATL MORTGAGE ASSN Fed Agy AA+ 8,000, ,004, ,174, /30/ /20/ % W FEDERAL HOME LOAN BANKS Fed Agy AA+ 5,000, ,978, ,045, /24/ /12/ % 36962G5M GENERAL ELEC CAP CORP MTN AA+ 5,000, ,017, ,091, /18/ /09/ % 46625HHP JP Morgan MTN A 6,000, ,078, ,187, /18/ /20/ % 3134G3JX FED HOME LOAN MORT CORP Fed Agy AA+ 10,000, ,999, ,003, /30/ /30/ % 3133XWX FEDERAL HOME LOAN BANKS Fed Agy AA+ 2,000, ,000, ,059, /19/ /13/ % 31331KFS FEDERAL FARM CREDIT BANK Fed Agy AA+ 5,000, ,994, ,086, /24/ /24/ % 94974BFE WELLS FARGO CO MTN A+ 1,000, , ,014, /27/ /01/ % 36962G5Z GE CAPITAL SERVICES MTN AA+ 5,000, ,997, ,081, /02/ /02/ %

12 Page 7 of 11 CITY OF ANAHEIM Long-Term Portfolio December 31, 2013 CUSIP Security # Issuer Security Type S & P Rating Par Value Book Value Market Value Purchase Date Maturity Date Stated Rate AG Microsoft Corp MTN AAA 5,000, ,000, ,104, /09/ /25/ % 31398A4K FED NATL MORTGAGE ASSN Fed Agy AA+ 3,000, ,999, ,072, /11/ /15/ % 46623EJR JP Morgan MTN A 5,000, ,000, ,019, /19/ /15/ % CX Walmart MTN AA 2,956, ,930, ,012, /18/ /25/ % 31331J3T FEDERAL FARM CREDIT BANK Fed Agy AA+ 5,000, ,951, ,126, /07/ /01/ % 31331J3T FEDERAL FARM CREDIT BANK Fed Agy AA+ 5,000, ,955, ,126, /24/ /01/ % 00206RBL ATT CORP A1+/P1 MTN A- 7,000, ,000, ,982, /16/ /01/ % 3136G17A FED NATL MORTGAGE ASSN Fed Agy AA+ 5,000, ,000, ,998, /31/ /30/ % 3135G0TT FED NATL MORTGAGE ASSN Fed Agy AA+ 10,000, ,999, ,988, /29/ /29/ % 3135G0TZ FED NATL MORTGAGE ASSN Fed Agy AA+ 10,000, ,998, ,992, /29/ /29/ % 38143USC Goldman Sachs Group MTN A- 5,000, ,996, ,247, /08/ /07/ % 3134G3LJ FED HOME LOAN MORT CORP Fed Agy AA+ 5,000, ,997, ,004, /10/ /10/ % AY Johnson & Johnson MTN AAA 3,000, ,995, ,100, /20/ /15/ % AY Johnson & Johnson MTN AAA 10,000, ,365, ,336, /17/ /15/ % 89236TAL TOYOTA MOTOR CRE MTN AA- 3,000, ,999, ,003, /17/ /17/ % AC CHEVRON MTN AA 2,000, ,000, ,004, /24/ /24/ % 3135G0XP FED NATL MORTGAGE ASSN Fed Agy AA+ 5,000, ,989, ,965, /22/ /05/ % 36962G5H GENERAL ELEC CAP CORP MTN AA+ 5,000, ,996, ,311, /17/ /17/ % 3133EA5V FEDERAL FARM CREDIT BANK Fed Agy AA+ 5,000, ,994, ,990, /24/ /24/ % 3135G0WY FED NATL MORTGAGE ASSN Fed Agy AA+ 5,000, ,999, ,967, /22/ /14/ % AZ Royal Dutch Shell MTN AA 6,228, ,241, ,227, /24/ /15/ % 3134G3Z FED HOME LOAN MORT CORP Fed Agy AA+ 10,000, ,000, ,939, /12/ /05/ % RQ FEDERAL HOME LOAN BANKS Fed Agy AA+ 4,020, ,019, ,005, /24/ /24/ % 3136FTZB FED NATL MORTGAGE ASSN Fed Agy AA+ 5,000, ,994, ,004, /30/ /30/ % 3136G04R FED NATL MORTGAGE ASSN Fed Agy AA+ 5,000, ,000, ,971, /13/ /21/ % 3135G0PU FED NATL MORTGAGE ASSN Fed Agy AA+ 5,000, ,000, ,961, /14/ /11/ % 3135G0QD FED NATL MORTGAGE ASSN Fed Agy AA+ 6,995, ,995, ,879, /22/ /16/ % 3135G0QW FED NATL MORTGAGE ASSN Fed Agy AA+ 2,035, ,035, ,999, /08/ /08/ % 3135G0QW FED NATL MORTGAGE ASSN Fed Agy AA+ 3,600, ,600, ,536, /08/ /08/ % 94974BFG WELLS FARGO CO MTN A+ 5,000, ,002, ,967, /15/ /16/ % 3133ECE FEDERAL FARM CREDIT BANK Fed Agy AA+ 8,930, ,930, ,733, /30/ /30/ % 3135G0TM FED NATL MORTGAGE ASSN Fed Agy AA+ 5,000, ,000, ,895, /30/ /30/ % 3135G0TV FED NATL MORTGAGE ASSN Fed Agy AA+ 10,000, ,997, ,780, /30/ /30/ % 3135G0TV FED NATL MORTGAGE ASSN Fed Agy AA+ 6,250, ,248, ,113, /30/ /30/ % 02666QM American Honda MTN A+ 3,000, ,998, ,954, /19/ /16/ % 3134G42R FED HOME LOAN MORT CORP Fed Agy AA+ 5,000, ,999, ,849, /22/ /25/ % 3135G0WJ FED NATL MORTGAGE ASSN Fed Agy AA+ 5,000, ,976, ,836, /22/ /21/ % AE CHEVRON MTN AA 3,000, ,000, ,988, /24/ /24/ % Total Long-Term Portfolio: 294,514, ,784, ,558, % Total Portfolio Listings: 418,668, ,932, ,706, %

13 Page 8 of 11

14 Page 9 of 11

15 Page 10 of 11

16 Page 11 of 11