Quarterly Investment Report

Transcription

1 Quarterly Investment Report As of March 31, 2017 P.O. Box 1247 Fresno, CA Telephone

2 Table of Contents Portfolio Summary 1 Portfolio Compliance 2 Holdings Allocation by Issuer 11 Portfolio Statistics & Projected Cash Flows 15 Pool Participant Breakdown 16 Holdings Report 17 Monthly Economic and Market Update 34 Board of Supervisors: Andreas Borgeas, Buddy Mendes, Brian Pacheco, Nathan Magsig, Sal Quintero County Administrative Officer: Jean Rousseau

3 Portfolio Summary 3/31/2017 County of Fresno Tsy 10.6% CDs 1.6% Muni 0.3% SECTOR ALLOCATION MATURITY DISTRIBUTION CREDIT QUALITY (MOODY'S) LAIF 2.1% ABS 0.0% Bank/Cash 4.2% 30% 25% 20% 24.5% 20.0% 16.6% 20.0% 19.0% P-1 AAA Aa1 Aa2 5.8% 2.9% 3.2% 68.7% CP 4.2% Corp 22.3% Agy 54.7% 15% 10% 5% Aa3 A1 A2 A3 1.3% 5.2% 4.8% 4.1% Per Book Value NR 3.9% 0% 0-1Y 1-2Y 2-3Y 3-4Y 4-5Y 0% 25% 50% 75% Per Book Value NR: Not Rated ACCOUNT SUMMARY PORTFOLIO BOOK YIELD HISTORY TOP ISSUERS Market Value Book Value* Unrealized G/L Par Value Net Asset Value Book Yield Years to Maturity Effective Duration *Book Value is Amortized 3/31/17 12/31/16 $3,099,415,271 $3,110,202,800 $3,100,573,403 $3,113,609,847 -$1,158,132 -$3,407,047 $3,095,629,168 $3,105,358,672 $ $ % 1.44% % 1.55% 1.50% 1.45% 1.40% 1.35% 1.30% 1.25% 1.20% Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Issuer FNMA FHLB US TREASURY NOTE FHLMC FFCB BNP PARIBAS NY BRANCH WELLS FARGO APPLE BANK OF NEW YORK FIDELITY MMF JP MORGAN LAIF CHEVRON JOHN DEERE CATERPILLAR Per Book Value % Portfolio 23.2% 17.0% 10.6% 9.8% 4.6% 3.5% 2.9% 2.9% 2.8% 2.4% 2.4% 2.1% 2.0% 1.9% 1.8% 1

4 Investment Policy Compliance 3/31/2017 County of Fresno Item / Sector Parameters In Compliance 11.0 Weighted Average Maturity Weighted Average Maturity (WAM) must be less than 3.5 years. Yes 2.3 Yrs 8.1 U.S. Treasuries No sector limit, no issuer limit, max maturity 5 years. Yes 10.6% 8.2 U.S. Agencies No sector limit, no issuer limit, max maturity 5 years. Yes 54.7% 8.3 Banker Acceptances 8.4 Commercial Paper 40% limit, Issue is eligible for purchase by Federal Reserve. Issuer is among 150 largest banks based on total asset size; max maturity 180 days; rated A-1 or P-1. 40% limit, corporation organized and operating in the US with total assets of $500mm. 10% of issuer's CP / 10% in any one issuer; max maturity 270 days; minimum short-term rating of A-1 by S&P or P-1 by Moody's, minimum long-term rating of A by S&P or its equivalent or better ranking by a nationally recognized rating service. Yes 0.0% Yes 4.2% 8.5 Negotiable CDs 30% limit (combined with 8.6.1), Issued by national or state chartered bank or savings assoc., or a state licensed branch of a foreign bank that is among 150 largest banks in total asset size; minimum short-term rating of P-1 or A-1 or issuer meets rating requirements; 5% in any one issuer, max maturity 13 months. Yes 1.6% 8.6 Non-Negotiable CDs 50% limit, Issued by national or state chartered bank or savings association. FDIC insurance OR full collateralization of 110% government or 150% mortgages. Contract for Deposit in place. 15% in any one issue; short-term rating is a minimum of A-1 by S&P or P-1 by Moody's, max maturity 13 months. Yes 0.0% Placement CDs 8.7 Repurchase Agreements 15% limit (30% combined with 8.5), Issued by national or state chartered bank or savings association or credit union that uses a placement entity. Deposit Placement Agreement in Place. 15% limit, Tri-party agreement in place. 102% collateralization of US treasuries or agencies, BAs, CP, Negotiable CD's; Overnight or weekend maturities. Yes 0.0% Yes 0.0% 8.8 Medium-Term Notes 30% limit, organized and operating in the US or state licensed depository institution; max maturity 5 years; rated A or better by S&P, or its equivalent or better by a nationally recognized rating service. Yes 22.3% 8.9 L.A.I.F No sector limit, no issuer limit, California State's deposit limit is $65 million; Current investment policy limit is not to exceed 10% of the portfolio. Yes 2.1% 2

5 Investment Policy Compliance (Continued) 3/31/2017 County of Fresno Item / Sector Parameters In Compliance 8.10 Mutual Funds/ Money Markets Funds 20% limit, 10% per issuer; Registered with SEC, 5 years experience, $500mm AUM or rated by AAAm, Aaa-mf, AAA-m by not less than two nationally recognized rating agencies. Yes 2.4% 8.11 ABS and MBS 10% limit combined. Security must be AA rated by one rating agency, with an A or better rating for the underlying, max maturity 5 years. Yes 0.0% 8.12 Money Held from Pledged Assets Invest according to statutory provision or according to entity providing issuance. Yes 0.0% 8.13 External Managers Invest per policy. Yes 0.0% 8.14 State of California Debt 10% limit, Registered State warrants or CA treasury notes, including revenue producing entities controlled or operated by the State or by a department, board, agency, or authority of the State; 5 years max maturity. Yes 0.3% Cash & Bank Account NA NA 1.8% Compliance The County Treasurer believes the Treasury Investment Pool contains sufficient cash flow from liquid and maturing securities, bank deposits, and incoming cash to meet the next six months of expected expenditures. Review and Monitoring FTN Financial Main Street Advisors, the County s investment advisor, currently monitors the Treasury Department s investment activities. Additional Information Securities are purchased with the expectation that they will be held to maturity, so unrealized gains or losses are not reflected in the yield calculations. The market values of securities were taken from pricing services provided by Interactive Data Corporation. 3

6 Historical Book Values 3/31/2017 County of Fresno $3.2 $3.0 Billions $2.8 $2.6 $2.4 $2.2 $2.0 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 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal Year 2014 $2.310 $2.291 $2.319 $2.282 $2.285 $2.551 $2.615 $2.411 $2.411 $2.617 $2.531 $2.335 Fiscal Year 2015 $2.375 $2.256 $2.269 $2.323 $2.333 $2.649 $2.685 $2.519 $2.515 $2.778 $2.790 $2.637 Fiscal Year 2016 $2.531 $2.291 $2.290 $2.354 $2.365 $2.673 $2.842 $2.695 $2.731 $2.993 $2.957 $2.860 Fiscal Year 2017 $2.822 $2.576 $2.530 $2.581 $2.580 $2.905 $3.048 $2.891 $2.940 Figures in Billions, Average Daily Balance 4

7 Historical Book Values Per Fiscal Year 3/31/2017 County of Fresno $3.2 FY17 FY16 FY15 FY14 $3.0 $2.8 Billions $2.6 $2.4 $2.2 $2.0 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal Year 2014 $2.310 $2.291 $2.319 $2.282 $2.285 $2.551 $2.615 $2.411 $2.411 $2.617 $2.531 $2.335 Fiscal Year 2015 $2.375 $2.256 $2.269 $2.323 $2.333 $2.649 $2.685 $2.519 $2.515 $2.778 $2.790 $2.637 Fiscal Year 2016 $2.531 $2.291 $2.290 $2.354 $2.365 $2.673 $2.842 $2.695 $2.731 $2.993 $2.957 $2.860 Fiscal Year 2017 $2.822 $2.576 $2.530 $2.581 $2.580 $2.905 $3.048 $2.891 $2.940 Figures in Billions, Average Daily Balance 5

8 Weighted Average Maturity and Aging Report 3/31/2017 County of Fresno Weighted Average Maturity History Portfolio WAM WAM 12 Mon Avg Years 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 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun Month-End Book Yield vs 1-Year Treasury Note Index Yield (24 month moving avg) Percent Portfolio Index 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 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Index: 24 Month Moving Average of the BofA Merrill 1-Year US Treasury Note Index 6

9 Book Yield per WAM per Percent of Portfolio 3/31/2017 County of Fresno Book Yield 2.20% 2.10% Bubble Size = Percent of Portfolio Muni 2.00% 1.90% Corp 1.80% 1.70% Tsy 1.60% 1.50% Agy CD 1.40% 1.30% 1.20% CP 1.10% 1.00% 0.90% 0.80% LAIF ABS 0.70% 0.60% 0.50% 0.40% MMF/Cash 0.30% 0.20% 0.10% 0.00% Weighted Average Maturity (Years) 7

10 Book YTM Per 6-Month Maturity Intervals 3/31/2017 County of Fresno Years Book Yield % of Portfolio* 2.25% Bubble Size = Maturity's % of Portfolio 0 to % 19.02%.5 to % 5.46% 2.00% 1.96% 1.0 to % 11.54% 1.5 to % 8.42% 1.75% 1.71% 1.66% 1.76% 1.73% 1.68% 1.80% 2.0 to % 9.15% 2.5 to % 7.43% 3.0 to % 11.92% Book Yield 1.50% 1.25% 1.31% 1.59% 3.5 to % 8.11% 4.0 to % 12.11% 4.5 to % 6.84% 1.00% 0.93% *Based on Book Value 0.75% 0.50% Maturity Intervals 8

11 Next Twelve Months Maturities 3/31/2017 County of Fresno $250 $200 $197.1 $165.7 $150 Millions $131.6 $100 $66.8 $50 $56.4 $39.2 $48.2 $0 $22.7 $16.5 $6.1 $8.1 $0.7 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Maturities Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 $197.1 $16.5 $56.4 $165.7 $131.6 $22.7 $39.2 $6.1 $0.7 $66.8 $48.2 $8.1 Par Value in Millions 9

12 Historical Sector Allocation 3/31/2017 County of Fresno 65% 60% 55% 50% 45% 40% 35% 30% 25% 20% 15% AGY TSY CP Bank/Cash CORP ABS CDs 10% 5% 0% Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Sector Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Agency 59.9% 59.7% 53.6% 54.6% 60.0% 58.6% 60.9% 61.5% 53.7% 60.0% 57.0% 54.7% Treasury 3.8% 3.9% 3.9% 4.3% 3.3% 3.2% 3.2% 3.7% 10.5% 11.1% 11.1% 10.6% Commercial Paper 3.0% 3.4% 4.1% 1.9% 0.0% 0.0% 0.8% 0.7% 1.6% 0.7% 0.7% 4.2% LAIF 1.7% 1.7% 1.7% 1.9% 2.0% 1.9% 1.9% 1.9% 2.1% 1.2% 2.2% 2.1% Muni 0.3% 0.3% 0.3% 0.4% 0.4% 0.4% 0.4% 0.4% 0.3% 0.3% 0.3% 0.3% Corporates 18.4% 21.1% 20.9% 22.5% 24.4% 24.3% 24.3% 23.7% 21.4% 22.5% 23.3% 22.3% CDs 0.0% 1.7% 1.7% 1.9% 3.9% 3.8% 3.8% 3.8% 3.2% 3.4% 1.7% 1.6% ABS 0.1% 0.1% 0.1% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Bank/Cash 12.9% 8.0% 13.7% 12.5% 5.9% 7.8% 4.6% 4.3% 7.1% 0.9% 3.5% 4.2% 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 Holdings Allocation by Issuer 3/31/2017 County of Fresno FEDERAL NATIONAL MORTGAGE 23.2% FEDERAL HOME LOAN BANK 17.0% US TREASURY NOTE FEDERAL HOME MORTGAGE CO 9.8% 10.6% FEDERAL FARM CREDIT BANK 4.6% BNP PARIBAS NY BRANCH WELLS FARGO APPLE INC BANK OF NEW YORK FIDELITY MMF JP MORGAN LAIF CHEVRON CORP JOHN DEERE CATERPILLAR BANK OF THE WEST TOYOTA MOTOR CREDIT JP MORGAN SECURITIES G.E. CAPITAL BERKSHIRE HATHAWAY MICROSOFT US BANK NA STATE OF CALIFORNIA BANK OF THE WEST MM CENTERPOINT ENERGY TRANS. BOND BANK OF AMERICA 3.5% 2.9% 2.9% 2.8% 2.4% 2.4% 2.1% 2.0% 1.9% 1.8% 1.7% 1.6% 1.6% 1.4% 1.2% 1.1% 1.0% 0.3% 0.2% 0.0% 0.0% 0% 5% 10% 15% 20% 25% 11

14 Historical Earnings and Book Rate of Return Performance 3/31/2017 County of Fresno Millions $40 $35 $30 $25 $20 $15 FY 2014 FY 2015 FY 2016 FY 2017 Fiscal Year-to- Earnings $10 $5 $0 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal YTD ($Mil) FY 2014 FY 2015 FY 2016 FY % Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun $2.3 $4.7 $7.3 $9.8 $12.2 $15.0 $17.7 $20.7 $23.4 $26.2 $29.0 $31.6 $2.3 $4.9 $7.5 $10.5 $13.3 $16.2 $19.2 $22.1 $25.8 $29.0 $32.5 $35.5 $2.3 $5.1 $7.8 $10.6 $13.4 $17.2 $20.5 $23.7 $26.9 $30.5 $34.2 $37.3 $3.0 $6.0 $9.0 $12.1 $15.3 $18.9 $22.7 $26.5 $30.5 Book Rate of Return vs Benchmark 1.40% 1.20% 1.00% 0.80% Portfolio Benchmark 0.60% 0.40% 0.20% 0.00% 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 1.26% 1.32% 1.36% 1.37% 1.40% 1.40% 1.41% 1.45% 1.47% Benchmark* 0.39% 0.41% 0.43% 0.46% 0.49% 0.51% 0.54% 0.57% 0.60% Variance 0.87% 0.91% 0.93% 0.91% 0.91% 0.89% 0.87% 0.88% 0.87% *Benchmark: BofA Merrill 1-Year US Treasury Note Index (24 Month Moving Average) 12

15 Historical Book Rate of Return Performance 3/31/2017 County of Fresno 1.8% 1.6% 1.4% 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% Portfolio vs Benchmark Portfolio Benchmark 0.0% FY14 FY15 FY16 FYTD17 FY18 FY19 FY20 FY21 FY22 FY23 FY24 FY25 2.0% Portfolio vs. Benchmark: Annual Variance 1.5% 1.0% 1.47% 1.27% 1.05% 0.87% 0.5% 0.0% FY14 FY15 FY16 FYTD17 FY18 FY19 FY20 FY21 FY22 FY23 FY24 FY25 Fiscal YTD FY14 FY15 FY16 FYTD17 FY18 FY19 FY20 FY21 FY22 FY23 FY24 FY25 Portfolio 1.62% 1.43% 1.42% 1.47% Benchmark* 0.15% 0.16% 0.37% 0.60% Variance 1.47% 1.27% 1.05% 0.87% *Benchmark: BofA Merrill 1-Year US Treasury Note Index (24 Month Moving Average) 13

16 Investment Activity 3/31/2017 County of Fresno 270 Number of Positions at Month End Positions Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Positions Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar Purchases and Redemptions* (Excluding LGIP & MMF) Purchases Redemptions Number of Transactions Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 *Redemptions include maturities, calls, and sells Purchases Redemptions Total Transactions Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar

17 Portfolio Statistics & Projected Cash Flows 3/31/2017 County of Fresno Summary of Portfolio Market Value Amortize Cost Value Unrealized Gain/Loss % on cost Yield (weighted on cost value) Years to Maturity (weighted on cost value) Avg Dollar-Weighted Quality Rating March 2017 $3,099,415,271 $3,100,573, % 1.55% 2.30 AA+ December 2016 $3,110,202,800 $3,113,609, % 1.44% 2.23 AA+ September 2016 $2,633,407,788 $2,608,115, % 1.39% 2.16 AA+ June 2016 $2,941,968,816 $2,907,585, % 1.24% 1.78 AA+ March 2016 $2,864,451,328 $2,836,287, % 1.36% 1.88 AA+ Month Beginning Balance (2) Monthly Receipts (1) 6/ Monthly Disburs. 7/ / Difference Required Mat. Invest Balance Actual Inv. Maturities (3) Available to Invest > 6 Months (4) 4/ / Projection of Future Cash Flows / Totals 2, , % 80% Monthly Receipt and Monthly Disbursement amounts are estimates based upon historical cash flows and may change as actual cash flow information becomes available. 2. Beginning balance: is taken from LAIF, Bank of the West MMF, and Bank of the West Service Bank. 3. Actual Investment Maturities: excludes vault. 4. Available to Invest > 6 Months: is calculated as Actual Investment Maturities less Required Investment Maturities. 15

18 Pool Participant Breakdown 3/31/2017 County of Fresno Entity Portfolio $ Portfolio % County 943,302, % Property Tax 210,860, % Schools 1,422,312, % Special Districts 379,785, % Voluntary 231,294, % Total 3,187,554, % Special Districts 11.9% Voluntary 7.3% County 29.6% Schools 44.6% Property Tax 6.6% 16

19 County of Fresno Portfolio Management Portfolio Summary March 31, 2017 Fresno County P.O. Box 1247 Fresno, CA (209) Investments Par Value Market Value Book Value % of Portfolio Term Days to Maturity YTM 360 Equiv. Bank Accounts 51,387, ,387, ,387, Federal Agency Coupons 1,692,661, ,690,473, ,694,490, , Medium Term Notes 690,345, ,227, ,739, , Treasury Notes 326,170, ,533, ,354, ,445 1, Discount Commercial Paper 130,000, ,535, ,512, Mutual Funds 75,000, ,000, ,000, Local Agency Investment Funds 65,000, ,000, ,000, BOW Money Market Account 5,007, ,007, ,007, Negotiable CDs 50,000, ,040, ,000, Asset Backed Securities (0 day lag) 58, , , , Municipal Bonds 10,000, ,150, ,022, , Investments 3,095,629, ,099,415, ,100,573, % 1, Total Earnings Current Year Average Daily Balance Effective Rate of Return March 31 Month Ending Fiscal Year To 3,965, ,489, ,939,549, ,763,709, % 1.47% Oscar J. Garcia, CPA, Treasurer/ Tax Collector Reporting period 03/01/ /31/2017 Portfolio FSNO AC Run : 04/20/ :36 PM (PRF_PM1) Report Ver

20 County of Fresno Portfolio Management Portfolio Details - Investments March 31, 2017 Page 1 CUSIP Investment # Bank Accounts SYS03400B SYS03400A Issuer Average Balance Purchase Par Value Market Value Book Value 03400B BANK OF AMERICA 4, , , A BANK OF THE WEST 51,382, ,382, ,382, Stated Rate YTM 365 S&P Moody's Maturity Subtotal and Average 16,393, ,387, ,387, ,387, Federal Agency Coupons 31331KNA FEDERAL FARM CREDIT BANK 12/18/2013 1,000, ,016, ,012, AA+ Aaa 06/08/ EDLR FEDERAL FARM CREDIT BANK 05/27/2014 5,000, ,025, ,003, AA+ Aaa 05/15/ EEW FEDERAL FARM CREDIT BANK 06/15/ ,000, ,029, ,973, AA+ Aaa 06/15/ EFYZ FEDERAL FARM CREDIT BANK 02/29/ ,800, ,375, ,759, AA+ Aaa 02/10/ EDXA FEDERAL FARM CREDIT BANK 04/06/ ,000, ,018, ,052, AA+ Aaa 10/10/ EDXA FEDERAL FARM CREDIT BANK 04/06/2016 7,500, ,505, ,515, AA+ Aaa 10/10/ EFW FEDERAL FARM CREDIT BANK 06/09/2016 2,060, ,047, ,064, AA+ Aaa 07/01/ EGBR FEDERAL FARM CREDIT BANK 06/09/2016 5,000, ,970, ,998, AA+ Aaa 02/25/ EGYQ FEDERAL FARM CREDIT BANK 10/27/ ,000, ,719, ,980, AA+ Aaa 10/14/ EGZJ FEDERAL FARM CREDIT BANK 10/27/ ,000, ,727, ,964, AA+ Aaa 10/25/ EG5D FEDERAL FARM CREDIT BANK 01/27/ ,000, ,974, ,000, AA+ Aaa 01/27/ UU FEDERAL HOME LOAN BANK 07/01/ ,000, ,920, ,628, AA+ Aaa 06/08/ UU FEDERAL HOME LOAN BANK 07/12/ ,000, ,552, ,391, AA+ Aaa 06/08/ UU FEDERAL HOME LOAN BANK 07/26/ ,150, ,275, ,946, AA+ Aaa 06/08/ UU FEDERAL HOME LOAN BANK 12/12/2013 3,940, ,012, ,000, AA+ Aaa 06/08/ DT FEDERAL HOME LOAN BANK 12/12/2013 6,135, ,140, ,123, AA+ Aaa 06/08/ XRFZ FEDERAL HOME LOAN BANK 12/18/2013 2,000, ,083, ,074, AA+ Aaa 06/08/ BR FEDERAL HOME LOAN BANK 01/03/ ,000, ,334, ,950, AA+ Aaa 12/14/ EE FEDERAL HOME LOAN BANK 06/18/2014 5,000, ,022, ,975, AA+ Aaa 06/14/ A2FH FEDERAL HOME LOAN BANK 09/02/ ,000, ,146, ,003, AA+ Aaa 06/14/ EE FEDERAL HOME LOAN BANK 09/10/ ,000, ,044, ,953, AA+ Aaa 06/14/ A2FH FEDERAL HOME LOAN BANK 09/10/ ,000, ,073, ,979, AA+ Aaa 06/14/ X72S FEDERAL HOME LOAN BANK 12/09/ ,000, ,823, ,746, AA+ Aaa 05/15/ X72S FEDERAL HOME LOAN BANK 12/19/ ,500, ,188, ,045, AA+ Aaa 05/15/ HU FEDERAL HOME LOAN BANK 06/12/ ,000, ,037, ,999, AA+ Aaa 06/12/ HU FEDERAL HOME LOAN BANK 06/26/ ,615, ,638, ,585, AA+ Aaa 06/12/ A6GG FEDERAL HOME LOAN BANK 09/22/ ,000, ,997, ,003, AA+ Aaa 09/22/ A7CV FEDERAL HOME LOAN BANK 03/03/2016 5,000, ,923, ,971, AA+ Aaa 02/18/ XN FEDERAL HOME LOAN BANK 03/03/ , , , AA+ Aaa 02/08/ A7CV FEDERAL HOME LOAN BANK 04/21/ ,000, ,846, ,989, AA+ Aaa 02/18/ CA FEDERAL HOME LOAN BANK 04/21/2016 5,000, ,920, ,001, AA+ Aaa 12/11/2020 Portfolio FSNO AC Run : 04/20/ :36 PM (PRF_PM2) Report Ver

21 County of Fresno Portfolio Management Portfolio Details - Investments March 31, 2017 Page 2 CUSIP Investment # Federal Agency Coupons 3130A7CV5 3130A7CV5 3130A1W A7CV5 3130A8QS RB7 3130A8QS5 3130A8QS5 3130A8QS P1 3130A8QS5 3130A8QS5 3130A1W A7CV5 3130AAX EADF3 3134G3B EADJ5 3137EADJ5 3137EADL0 3137EADL0 3137EABA6 3137EADJ5 3137EADL0 3137EADN6 3137EADP1 3137EADP1 3137EABP3 3137EADN6 3137EADK2 3137EADK2 3137EADM8 3137EADM8 3137EADM8 3137EADR7 3137EADR7 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's FEDERAL HOME LOAN BANK 05/20/2016 5,000, ,923, ,982, AA+ Aaa 02/18/ FEDERAL HOME LOAN BANK 05/25/ ,000, ,846, ,956, AA+ Aaa 02/18/ FEDERAL HOME LOAN BANK 07/15/ ,000, ,360, ,216, AA+ Aaa 06/11/ FEDERAL HOME LOAN BANK 08/08/ ,000, ,846, ,075, AA+ Aaa 02/18/ FEDERAL HOME LOAN BANK 08/08/ ,000, ,530, ,925, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 08/17/ ,000, ,968, ,230, AA+ Aaa 06/11/ FEDERAL HOME LOAN BANK 08/29/2016 3,955, ,831, ,923, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 09/13/ ,000, ,530, ,872, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 09/28/ ,000, ,687, ,952, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 10/05/2016 5,700, ,054, ,213, AA+ Aaa 07/29/ FEDERAL HOME LOAN BANK 10/13/ ,000, ,687, ,877, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 11/14/ ,000, ,687, ,833, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 11/29/ ,470, ,691, ,774, AA+ Aaa 06/11/ FEDERAL HOME LOAN BANK 03/20/ ,000, ,693, ,659, AA+ Aaa 02/18/ FEDERAL HOME LOAN BANK 03/28/ ,000, ,046, ,075, AA+ Aaa 01/28/ FEDERAL HOME MORTGAGE CO 05/30/ , , , AA+ Aaa 05/12/ FEDERAL HOME MORTGAGE CO 08/15/ ,000, ,008, ,991, AA+ Aaa 08/15/ FEDERAL HOME MORTGAGE CO 08/09/ ,000, ,008, ,006, AA+ Aaa 07/28/ FEDERAL HOME MORTGAGE CO 07/31/ , , , AA+ Aaa 07/28/ FEDERAL HOME MORTGAGE CO 10/25/ , , , AA+ Aaa 09/29/ FEDERAL HOME MORTGAGE CO 11/01/ , , , AA+ Aaa 09/29/ FEDERAL HOME MORTGAGE CO 11/30/ , , , AA+ Aaa 11/17/ FEDERAL HOME MORTGAGE CO 12/18/ ,000, ,010, ,020, AA+ Aaa 07/28/ FEDERAL HOME MORTGAGE CO 11/30/2012 1,000, ,000, ,001, AA+ Aaa 09/29/ FEDERAL HOME MORTGAGE CO 01/16/ , , , AA+ Aaa 01/12/ FEDERAL HOME MORTGAGE CO 03/08/ , , , AA+ Aaa 03/07/ FEDERAL HOME MORTGAGE CO 03/28/2013 1,000, , , AA+ Aaa 03/07/ FEDERAL HOME MORTGAGE CO 06/14/ , , , AA+ Aaa 06/13/ FEDERAL HOME MORTGAGE CO 07/12/ ,000, ,954, ,894, AA+ Aaa 01/12/ FEDERAL HOME MORTGAGE CO 12/11/ ,000, ,944, ,867, AA+ Aaa 08/01/ FEDERAL HOME MORTGAGE CO 12/11/ ,000, ,926, ,825, AA+ Aaa 08/01/ FEDERAL HOME MORTGAGE CO 12/19/ ,000, ,888, ,760, AA+ Aaa 10/02/ FEDERAL HOME MORTGAGE CO 12/19/ ,000, ,888, ,761, AA+ Aaa 10/02/ FEDERAL HOME MORTGAGE CO 12/19/ ,000, ,944, ,880, AA+ Aaa 10/02/ FEDERAL HOME MORTGAGE CO 05/06/ ,000, ,920, ,924, AA+ Aaa 05/01/ FEDERAL HOME MORTGAGE CO 05/08/ ,000, ,920, ,919, AA+ Aaa 05/01/2020 Maturity Portfolio FSNO AC Run : 04/20/ :36 PM (PRF_PM2)

22 County of Fresno Portfolio Management Portfolio Details - Investments March 31, 2017 Page 3 CUSIP Investment # Federal Agency Coupons 3137EADN6 3134G44G0 3137EAEB1 3137EAEC9 3134GAP G0JA ADM1 3135G0MZ3 3135G0MZ3 3135G0MZ3 3135G0PQ0 3135G0RT2 3135G0TG8 3135G0TG8 3135G0WJ8 3135G0WJ8 3135G0WJ8 3135G0YM9 3135G0WJ8 3135G0YM9 3135G0YM9 3135G0TG8 3135G0YT4 3135G0ZA4 3135G0ZA4 3135G0ZA4 3135G0YT4 3135G0ZA4 3135G0ZE6 3135G0ZA4 3135G0ZE6 3136FTZZ5 3135G0ZE6 3135G0ZE6 3135G0A G0A78 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's FEDERAL HOME MORTGAGE CO 08/28/ ,000, ,954, ,980, AA+ Aaa 01/12/ FEDERAL HOME MORTGAGE CO 10/29/2015 5,000, ,984, ,996, AA+ Aaa 05/22/ FEDERAL HOME MORTGAGE CO 08/11/ ,000, ,878, ,986, AA+ Aaa 07/19/ FEDERAL HOME MORTGAGE CO 08/17/ ,000, ,656, ,916, AA+ Aaa 08/12/ FEDERAL HOME MORTGAGE CO 01/31/ ,000, ,895, ,000, AA+ Aaa 01/28/ FEDERAL NATIONAL MORTGAGE 05/30/ , , , AA+ Aaa 04/27/ FEDERAL NATIONAL MORTGAGE 06/14/ , , , AA+ Aaa 06/12/ FEDERAL NATIONAL MORTGAGE 08/30/ , , , AA+ Aaa 08/28/ FEDERAL NATIONAL MORTGAGE 09/26/ , , , AA+ Aaa 08/28/ FEDERAL NATIONAL MORTGAGE 11/01/ , , , AA+ Aaa 08/28/ FEDERAL NATIONAL MORTGAGE 11/01/ , , , AA+ Aaa 10/26/ FEDERAL NATIONAL MORTGAGE 12/21/ , , , AA+ Aaa 12/20/ FEDERAL NATIONAL MORTGAGE 02/12/ , , , AA+ Aaa 02/08/ FEDERAL NATIONAL MORTGAGE 02/28/ , , , AA+ Aaa 02/08/ FEDERAL NATIONAL MORTGAGE 05/30/ , , , AA+ Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 05/30/ , , , AA+ Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 08/30/ , , , AA+ Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 09/25/ , , , AA+ Aaa 09/18/ FEDERAL NATIONAL MORTGAGE 12/12/ ,000, ,863, ,759, AA+ Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 11/22/2013 1,000, ,009, ,005, AA+ Aaa 09/18/ FEDERAL NATIONAL MORTGAGE 11/27/ , , , AA+ Aaa 09/18/ FEDERAL NATIONAL MORTGAGE 12/20/ ,000, ,962, ,915, AA+ Aaa 02/08/ FEDERAL NATIONAL MORTGAGE 01/31/ , , , AA+ Aaa 11/27/ FEDERAL NATIONAL MORTGAGE 02/25/ ,000, ,100, ,026, AA+ Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 03/03/ ,000, ,251, ,091, AA+ Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 03/03/ ,000, ,100, ,037, AA+ Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 03/20/ , , , AA+ Aaa 11/27/ FEDERAL NATIONAL MORTGAGE 03/20/ , , , AA+ Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 06/18/2014 5,000, ,040, ,988, AA+ Aaa 06/20/ FEDERAL NATIONAL MORTGAGE 10/01/2014 5,000, ,050, ,012, AA+ Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 10/01/ ,000, ,243, ,938, AA+ Aaa 06/20/ FEDERAL NATIONAL MORTGAGE 12/09/ ,000, ,064, ,028, AA+ Aaa 01/30/ FEDERAL NATIONAL MORTGAGE 12/11/ ,000, ,081, ,031, AA+ Aaa 06/20/ FEDERAL NATIONAL MORTGAGE 12/19/ ,000, ,210, ,049, AA+ Aaa 06/20/ FEDERAL NATIONAL MORTGAGE 03/04/ ,000, ,036, ,958, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 05/08/ ,000, ,018, ,000, AA+ Aaa 01/21/2020 Maturity Portfolio FSNO AC Run : 04/20/ :36 PM (PRF_PM2)

23 County of Fresno Portfolio Management Portfolio Details - Investments March 31, 2017 Page 4 CUSIP Investment # Federal Agency Coupons 3135G0A G0A G0D G0A G0RM7 3135G0D G0A G0D G0D G0A G0D G0D G0D G0D G0A G0A G0D G0A G0H G0K G0J G0N G0N G0N G0K G0Q G0Q G0Q G0K G0K G0K G0K G0K G0K G0K G0K69 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's FEDERAL NATIONAL MORTGAGE 05/08/ ,000, ,018, ,001, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 06/03/ ,000, ,027, ,995, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 10/29/ ,000, ,912, ,978, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 10/29/ ,000, ,018, ,049, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 10/30/ ,060, ,934, ,078, AA+ Aaa 10/30/ FEDERAL NATIONAL MORTGAGE 10/30/2015 5,950, ,923, ,937, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 11/04/ ,000, ,018, ,027, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 11/04/2015 5,000, ,978, ,980, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 11/04/2015 5,000, ,978, ,980, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 11/06/ ,000, ,018, ,009, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 11/06/2015 5,000, ,978, ,972, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/17/ ,000, ,868, ,746, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/17/ ,000, ,912, ,819, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/22/ ,000, ,956, ,937, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/22/ ,000, ,036, ,005, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 12/23/ ,000, ,018, ,001, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 12/23/ ,000, ,956, ,932, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/23/ ,000, ,036, ,002, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 05/20/ ,000, ,046, ,165, AA+ Aaa 12/28/ FEDERAL NATIONAL MORTGAGE 05/25/ ,000, ,768, ,892, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 08/11/ ,561, ,387, ,622, AA+ Aaa 02/26/ FEDERAL NATIONAL MORTGAGE 08/29/ ,000, ,712, ,981, AA+ Aaa 08/17/ FEDERAL NATIONAL MORTGAGE 08/29/ ,000, ,712, ,963, AA+ Aaa 08/17/ FEDERAL NATIONAL MORTGAGE 08/29/ ,000, ,712, ,954, AA+ Aaa 08/17/ FEDERAL NATIONAL MORTGAGE 09/28/ ,000, ,420, ,014, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 10/07/ ,000, ,511, ,970, AA+ Aaa 10/07/ FEDERAL NATIONAL MORTGAGE 10/13/ ,000, ,755, ,948, AA+ Aaa 10/07/ FEDERAL NATIONAL MORTGAGE 10/27/2016 5,000, ,877, ,987, AA+ Aaa 10/07/ FEDERAL NATIONAL MORTGAGE 11/02/ ,000, ,768, ,948, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 11/14/ ,000, ,768, ,893, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 11/15/2016 5,000, ,884, ,918, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 11/25/ ,000, ,536, ,547, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 11/29/2016 3,000, ,930, ,936, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 12/02/ ,000, ,420, ,376, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 12/02/2016 5,000, ,884, ,873, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 12/02/2016 5,000, ,884, ,874, AA+ Aaa 05/06/2021 Maturity Portfolio FSNO AC Run : 04/20/ :36 PM (PRF_PM2)

24 County of Fresno Portfolio Management Portfolio Details - Investments March 31, 2017 Page 5 CUSIP Investment # Federal Agency Coupons 3135G0S G0S G0S G2CS4 Medium Term Notes AJ AJ AJ AJ AJ AJ BD CC BS CM BH BY BE BY BL AA HCL HCL HCU HCU HCW AA HCZ HCJ HDD HBP HCR L5T L5T4 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's FEDERAL NATIONAL MORTGAGE 01/09/ ,000, ,992, ,956, AA+ Aaa 01/05/ FEDERAL NATIONAL MORTGAGE 01/09/ ,000, ,996, ,977, AA+ Aaa 01/05/ FEDERAL NATIONAL MORTGAGE 03/28/ ,000, ,996, ,050, AA+ Aaa 01/05/ FEDERAL NATIONAL MORTGAGE 03/28/2017 5,000, ,994, ,020, AA+ Aaa 01/27/2022 Subtotal and Average 1,674,770, ,692,661, ,690,473, ,694,490, APPLE INC 07/08/2013 6,579, ,559, ,521, AA+ Aa1 05/03/ APPLE INC 08/15/ ,000, ,966, ,913, AA+ Aa1 05/03/ APPLE INC 08/16/2013 6,265, ,246, ,208, AA+ Aa1 05/03/ APPLE INC 08/27/2013 7,000, ,978, ,920, AA+ Aa1 05/03/ APPLE INC 09/10/ ,000, ,969, ,872, AA+ Aa1 05/03/ APPLE INC 09/11/2015 9,164, ,136, ,131, AA+ Aa1 05/03/ APPLE INC 12/28/ ,000, ,057, ,997, AA+ Aa1 05/06/ APPLE INC 12/13/2016 5,000, ,850, ,861, AA+ Aa1 08/04/ APPLE INC 01/19/ ,000, ,030, ,000, AA+ Aa1 02/23/ APPLE INC 02/21/ ,000, ,066, ,976, AA+ Aa1 02/09/ BERKSHIRE HATHAWAY 07/05/ ,000, ,007, ,976, AA Aa2 02/09/ BERKSHIRE HATHAWAY 08/15/ ,000, ,073, ,004, AA Aa2 08/15/ BERKSHIRE HATHAWAY 08/27/2013 5,124, ,350, ,302, AA Aa2 05/15/ BERKSHIRE HATHAWAY 08/27/2013 1,000, ,007, , AA Aa2 08/15/ BERKSHIRE HATHAWAY 10/01/ ,000, ,097, ,983, AA Aa2 08/14/ BANK OF NEW YORK 03/13/2013 5,000, ,006, ,007, A A1 06/20/ BANK OF NEW YORK 08/27/2013 5,000, ,032, ,993, A A1 08/01/ BANK OF NEW YORK 12/13/ ,000, ,065, ,028, A A1 08/01/ BANK OF NEW YORK 09/16/2014 2,500, ,518, ,499, A A1 05/15/ BANK OF NEW YORK 09/16/2014 5,000, ,037, ,999, A A1 05/15/ BANK OF NEW YORK 10/01/2014 8,501, ,581, ,479, A A1 09/11/ BANK OF NEW YORK 02/25/2015 2,385, ,388, ,389, A A1 06/20/ BANK OF NEW YORK 03/04/2015 3,000, ,012, ,005, A A1 02/24/ BANK OF NEW YORK 09/11/2015 4,481, ,475, ,471, A A1 03/06/ BANK OF NEW YORK 12/28/2015 5,000, ,056, ,028, A A1 08/17/ BANK OF NEW YORK 12/28/2015 5,000, ,336, ,307, A A1 01/15/ BANK OF NEW YORK 05/19/ ,000, ,222, ,380, A A1 03/04/ CATERPILLAR 09/10/2013 5,000, ,054, ,996, A A3 09/06/ CATERPILLAR 12/06/2013 7,675, ,759, ,735, A A3 09/06/2018 Maturity Portfolio FSNO AC Run : 04/20/ :36 PM (PRF_PM2)

25 County of Fresno Portfolio Management Portfolio Details - Investments March 31, 2017 Page 6 CUSIP Investment # Medium Term Notes 14912L5T L5E L3K L6J L6U AE AE AE AY BH BH G6K G3U G3U G3U G7J G7M ESB EQV ESF ESK ERY ETF ERH HJR HJR HHL HJR HKA HNX EAA BP BP BW BA P6S0 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's CATERPILLAR 12/26/2013 2,500, ,527, ,514, A A3 09/06/ CATERPILLAR 02/25/2015 5,000, ,001, ,004, A A3 06/01/ CATERPILLAR 09/24/ ,000, ,198, ,206, A A3 09/01/ CATERPILLAR 03/04/2016 8,278, ,255, ,258, A A3 03/05/ CATERPILLAR 09/16/ ,294, ,751, ,145, A A3 08/09/ JOHN DEERE 07/05/2013 1,925, ,922, ,914, A A2 03/12/ JOHN DEERE 09/10/2013 3,500, ,709, ,651, A A2 09/10/ JOHN DEERE 12/26/ ,000, ,116, ,967, A A2 12/13/ JOHN DEERE 03/05/ ,000, ,046, ,004, A A2 03/04/ JOHN DEERE 12/28/2015 9,000, ,935, ,862, A A2 01/15/ JOHN DEERE 03/04/2016 5,000, ,037, ,071, A A2 01/08/ JOHN DEERE 12/13/2016 8,707, ,928, ,020, A A2 10/15/ JP MORGAN 01/28/2014 5,000, ,053, ,999, A- A3 01/28/ JP MORGAN 03/05/ ,000, ,106, ,022, A- A3 01/28/ JP MORGAN 07/23/2014 6,740, ,321, ,262, A- A3 04/23/ JP MORGAN 09/16/2014 5,000, ,053, ,010, A- A3 01/28/ JP MORGAN 03/04/ ,000, ,034, ,974, A- A3 01/23/ JP MORGAN 03/04/2016 6,181, ,208, ,185, A- A3 10/29/ JP MORGAN 04/08/ ,000, ,066, ,083, A- A3 08/15/ MICROSOFT 08/22/ ,000, ,616, ,991, AAA Aaa 08/08/ MICROSOFT 12/13/2016 5,000, ,872, ,869, AAA Aaa 08/08/ MICROSOFT 02/21/2017 6,725, ,765, ,726, AAA Aaa 02/06/ MICROSOFT 02/21/2017 6,450, ,467, ,441, AAA Aaa 02/12/ CHEVRON CORP 07/05/ ,000, ,032, ,988, AA- Aa2 06/24/ CHEVRON CORP 08/27/2013 3,320, ,330, ,306, AA- Aa2 06/24/ CHEVRON CORP 12/06/ ,000, ,032, ,012, AA- Aa2 06/24/ CHEVRON CORP 12/28/ ,000, ,097, ,982, AA- Aa2 11/17/ CHEVRON CORP 05/25/ ,000, ,934, ,957, AA- Aa2 05/16/ CHEVRON CORP 05/27/ ,000, ,967, ,978, AA- Aa2 05/16/ G.E. CAPITAL 12/19/2012 5,000, ,003, ,000, AA- A1 11/20/ G.E. CAPITAL 08/15/2013 5,000, ,227, ,177, AA- A1 05/01/ G.E. CAPITAL 09/10/ ,000, ,455, ,303, AA- A1 05/01/ G.E. CAPITAL 12/13/ ,000, ,455, ,396, AA- A1 05/01/ G.E. CAPITAL 01/13/2015 2,040, ,040, ,040, AA- A1 05/15/ G.E. CAPITAL 03/04/ ,350, ,461, ,411, AA- A1 01/09/ TOYOTA MOTOR CREDIT 07/05/2013 5,000, ,998, ,983, AA- Aa3 10/05/2017 Maturity Portfolio FSNO AC Run : 04/20/ :36 PM (PRF_PM2)

26 County of Fresno Portfolio Management Portfolio Details - Investments March 31, 2017 Page 7 CUSIP Investment # Medium Term Notes 89236TBP TCA TCP HHL HHL HHL HHL HHL WBH WBH BFG BFG BFQ BFW DT BFD BFW SA0 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's TOYOTA MOTOR CREDIT 10/01/ ,000, ,079, ,984, AA- Aa3 07/18/ TOYOTA MOTOR CREDIT 09/01/ ,000, ,998, ,006, AA- Aa3 01/12/ TOYOTA MOTOR CREDIT 09/11/2015 6,000, ,006, ,999, AA- Aa3 07/13/ US BANK NA 08/22/2016 5,000, ,016, ,122, A+ A1 01/29/ US BANK NA 12/13/2016 4,634, ,649, ,654, A+ A1 01/29/ US BANK NA 12/22/2016 5,000, ,016, ,988, A+ A1 01/29/ US BANK NA 12/22/2016 7,522, ,546, ,506, A+ A1 01/29/ US BANK NA 03/22/ ,000, ,032, ,043, A+ A1 01/29/ WELLS FARGO 03/13/ ,000, ,314, ,323, A A2 02/01/ WELLS FARGO 03/13/2013 7,000, ,219, ,226, A A2 02/01/ WELLS FARGO 07/05/ ,000, ,982, ,960, A A2 01/16/ WELLS FARGO 08/15/2013 5,000, ,991, ,983, A A2 01/16/ WELLS FARGO 01/15/ ,000, ,078, ,980, A A2 01/15/ WELLS FARGO 02/25/2015 1,635, ,634, ,635, A A2 06/02/ WELLS FARGO 02/25/2015 1,870, ,886, ,887, A A2 06/15/ WELLS FARGO 05/08/ ,000, ,007, ,010, A A2 05/08/ WELLS FARGO 05/08/ ,000, ,994, ,002, A A2 06/02/ WELLS FARGO 01/25/ ,000, ,794, ,708, A A2 07/26/2021 Maturity Treasury Notes SY TW UA UJ UZ VQ VQ WD RE SY C A SD B ND8 Subtotal and Average 686,900, ,345, ,227, ,739, US TREASURY NOTE 06/01/2012 3,105, ,104, ,104, AA+ Aaa 05/31/ US TREASURY NOTE 10/31/2012 1,000, , ,000, AA+ Aaa 10/31/ US TREASURY NOTE 12/28/ , , , AA+ Aaa 11/30/ US TREASURY NOTE 01/31/2013 1,100, ,098, ,099, AA+ Aaa 01/31/ US TREASURY NOTE 05/30/ , , , AA+ Aaa 04/30/ US TREASURY NOTE 08/01/ , , , AA+ Aaa 07/31/ US TREASURY NOTE 12/27/ , , , AA+ Aaa 07/31/ US TREASURY NOTE 03/21/ , , , AA+ Aaa 10/31/ US TREASURY NOTE 03/21/ , , , AA+ Aaa 08/31/ US TREASURY NOTE 03/25/ , , , AA+ Aaa 05/31/ US TREASURY NOTE 03/31/2014 1,000, ,004, , AA+ Aaa 02/28/ US TREASURY NOTE 04/21/ , , , AA+ Aaa 12/31/ US TREASURY NOTE 10/09/ ,000, ,003, ,957, AA+ Aaa 01/31/ US TREASURY NOTE 10/09/ ,000, ,092, ,005, AA+ Aaa 01/31/ US TREASURY NOTE 12/23/ ,000, ,356, ,236, AA+ Aaa 05/15/2020 Portfolio FSNO AC Run : 04/20/ :36 PM (PRF_PM2)

27 County of Fresno Portfolio Management Portfolio Details - Investments March 31, 2017 Page 8 CUSIP Investment # Treasury Notes XE XE N XM WN XM L65 Discount Commercial Paper Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's US TREASURY NOTE 11/15/ ,000, ,962, ,042, AA+ Aaa 05/31/ US TREASURY NOTE 12/13/ ,000, ,900, ,915, AA+ Aaa 05/31/ US TREASURY NOTE 12/16/ ,000, ,029, ,756, AA+ Aaa 12/31/ US TREASURY NOTE 12/22/ ,000, ,004, ,846, AA+ Aaa 07/31/ US TREASURY NOTE 12/28/ ,000, ,303, ,068, AA+ Aaa 05/31/ US TREASURY NOTE 12/28/ ,000, ,004, ,820, AA+ Aaa 07/31/ US TREASURY NOTE 12/28/ ,000, ,700, ,550, AA+ Aaa 09/30/2020 Subtotal and Average 327,467, ,170, ,533, ,354, BUX BNP PARIBAS NY BRANCH 03/28/ ,000, ,770, ,762, A-1 P-1 07/31/ PUX JP MORGAN SECURITIES 03/02/ ,000, ,808, ,798, A-1 P-1 07/31/ GTC TOYOTA MOTOR CREDIT 10/04/ ,000, ,956, ,952, A-1+ P-1 06/12/2017 Maturity Subtotal and Average 75,821, ,000, ,535, ,512, Mutual Funds 09248U718 SYS16450 SYS02642 SYS05831 SYS BLACKROCK PROVIDENT TFUND BLACKROCK LIQUIDITY FED FUND 07/01/ FIDELITY ,000, ,000, ,000, FIDELITY /01/ FIDELITY /01/ AAA AAA AAA AAA AAA Aaa Aaa Aaa Aaa Aaa Local Agency Investment Funds SYS05291 Subtotal and Average 39,357, ,000, ,000, ,000, LAIF 65,000, ,000, ,000, Cash in Vault SYS03399 Subtotal and Average 36,774, ,000, ,000, ,000, VAULT 07/01/ BOW Money Market Account SYS16800 Subtotal and Average BANK OF THE WEST MM 5,007, ,007, ,007, Subtotal and Average 21,967, ,007, ,007, ,007, Portfolio FSNO AC Run : 04/20/ :36 PM (PRF_PM2)

28 County of Fresno Portfolio Management Portfolio Details - Investments March 31, 2017 Page 9 CUSIP Investment # Negotiable CDs Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's 05582WAT BNP PARIBAS NY BRANCH 08/03/ ,000, ,040, ,000, A-1 P-1 08/03/2017 Asset Backed Securities (0 day lag) 15200WAA3 Subtotal and Average 50,000, ,000, ,040, ,000, CENTERPOINT ENERGY TRANS. BOND 05/13/ , , , AAA Aaa 04/15/2018 Maturity Municipal Bonds 13063CKL3 Subtotal and Average 72, , , , STATE OF CALIFORNIA 06/12/ ,000, ,150, ,022, AA- Aa3 05/01/2019 Subtotal and Average 10,023, ,000, ,150, ,022, Total and Average 2,939,549, ,095,629, ,099,415, ,100,573, Portfolio FSNO AC Run : 04/20/ :36 PM (PRF_PM2)

29 County of Fresno Inventory by Maturity Report March 31, 2017 Sec. CUSIP Investment # Fund Type Issuer SYS02642 SYS03399 SYS03400A SYS03400B SYS05291 SYS05831 SYS15497 SYS16450 SYS U G0JA BFD7 3137EADF G7J SY SY L5E BFW BFW ADM GTC DT AA AA8 3137EADJ5 3137EADJ5 3137EADJ PUX BUX WAT1 3134G3B EAA5 3135G0MZ3 3135G0MZ3 3135G0MZ L3K A 03400B Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS LA1 FIDELITY /01/ ,000, ,000, ,000, TREAS PA2 VAULT 07/01/ TREAS PA1 BANK OF THE WEST 07/01/ ,382, ,382, ,382, TREAS PA1 BANK OF AMERICA 07/01/2016 4, , , TREAS LA5 LAIF 07/01/ ,000, ,000, ,000, TREAS LA1 FIDELITY /01/ TREAS LA1 FIDELITY /01/ TREAS LA1 BLACKROCK LIQUIDITY 07/01/ TREAS LA3 BANK OF THE WEST MM 07/01/2016 5,007, ,007, ,007, TREAS LA1 BLACKROCK PROVIDENT 07/01/ TREAS FAC FEDERAL NATIONAL 05/30/ , /27/ , , , TREAS MTN WELLS FARGO 05/08/ ,010, /08/ ,000, ,000, TREAS FAC FEDERAL HOME 05/30/ , /12/ , , , TREAS MTN G.E. CAPITAL 01/13/2015 2,040, /15/2017 2,040, ,040, TREAS TRC US TREASURY NOTE 06/01/2012 3,104, /31/2017 3,105, ,825 3,105, TREAS TRC US TREASURY NOTE 03/25/ , /31/ , , , TREAS MTN CATERPILLAR 02/25/2015 5,004, /01/2017 5,000, ,000, TREAS MTN WELLS FARGO 02/25/2015 1,635, /02/2017 1,635, ,635, TREAS MTN WELLS FARGO 05/08/ ,002, /02/ ,000, ,000, TREAS FAC FEDERAL NATIONAL 06/14/ , /12/ , , , TREAS ACP TOYOTA MOTOR CREDIT 10/04/ ,952, /12/ ,000, ,000, TREAS MTN WELLS FARGO 02/25/2015 1,887, /15/2017 1,870, ,870, TREAS MTN BANK OF NEW YORK 03/13/2013 5,007, /20/2017 5,000, ,560 5,000, TREAS MTN BANK OF NEW YORK 02/25/2015 2,389, /20/2017 2,385, ,385, TREAS FAC FEDERAL HOME 08/09/ ,006, /28/ ,000, ,814 25,000, TREAS FAC FEDERAL HOME 07/31/ , /28/ , , , TREAS FAC FEDERAL HOME 12/18/ ,020, /28/ ,000, ,683 30,000, TREAS ACP JP MORGAN SECURITIES 03/02/ ,798, /31/ ,000, ,000, TREAS ACP BNP PARIBAS NY BRANCH03/28/ ,762, /31/ ,000, ,000, TREAS NCB BNP PARIBAS NY BRANCH08/03/ ,000, /03/ ,000, ,000, TREAS FAC FEDERAL HOME 08/15/ ,991, /15/ ,000, ,826 50,000, TREAS MTN JP MORGAN 04/08/ ,083, /15/ ,000, ,000, TREAS FAC FEDERAL NATIONAL 08/30/ , /28/ , , , TREAS FAC FEDERAL NATIONAL 09/26/ , /28/ , , , TREAS FAC FEDERAL NATIONAL 11/01/ , /28/ , , , TREAS MTN CATERPILLAR 09/24/ ,206, /01/ ,000, ,000, Portfolio FSNO AC Run : 04/21/ :06 IM (PRF_IM) Report Ver

30 County of Fresno Inventory by Maturity Report Page 2 Sec. CUSIP Investment # Fund Type Issuer 3130A6GG6 3137EADL0 3137EADL0 3137EADL P6S0 3133EDXA5 3133EDXA5 3135G0PQ TW0 3137EABA G6K UA6 3135G0RT2 3137EADN6 3137EADN6 3137EADN TCA BFG BFG UJ WBH WBH8 3135G0TG8 3135G0TG8 3135G0TG BH HCJ6 3137EADP1 3137EADP ESB WAA UZ G3U G3U G3U AJ AJ AJ AJ AJ AJ Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS FAC FEDERAL HOME LOAN 09/22/ ,003, /22/ ,000, ,000, TREAS FAC FEDERAL HOME 10/25/ , /29/ , , , TREAS FAC FEDERAL HOME 11/01/ , /29/ , , , TREAS FAC FEDERAL HOME 11/30/2012 1,001, /29/2017 1,000, ,764 1,000, TREAS MTN TOYOTA MOTOR CREDIT 07/05/2013 4,983, /05/2017 5,000, ,553 5,000, TREAS FAC FEDERAL FARM CREDIT 04/06/ ,052, /10/ ,000, ,000, TREAS FAC FEDERAL FARM CREDIT 04/06/2016 7,515, /10/2017 7,500, ,500, TREAS FAC FEDERAL NATIONAL 11/01/ , /26/ , , , TREAS TRC US TREASURY NOTE 10/31/2012 1,000, /31/2017 1,000, ,826 1,000, TREAS FAC FEDERAL HOME 11/30/ , /17/ , , , TREAS MTN G.E. CAPITAL 12/19/2012 5,000, /20/2017 5,000, ,797 5,000, TREAS TRC US TREASURY NOTE 12/28/ , /30/ , , , TREAS FAC FEDERAL NATIONAL 12/21/ , /20/ , , , TREAS FAC FEDERAL HOME 01/16/ , /12/ , , , TREAS FAC FEDERAL HOME 07/12/ ,894, /12/ ,000, ,645 20,000, TREAS FAC FEDERAL HOME 08/28/ ,980, /12/ ,000, ,000, TREAS MTN TOYOTA MOTOR CREDIT 09/01/ ,006, /12/ ,000, ,000, TREAS MTN WELLS FARGO 07/05/2013 9,960, /16/ ,000, ,656 10,000, TREAS MTN WELLS FARGO 08/15/2013 4,983, /16/2018 5,000, ,615 5,000, TREAS TRC US TREASURY NOTE 01/31/2013 1,099, /31/2018 1,100, ,826 1,100, TREAS MTN WELLS FARGO 03/13/ ,323, /01/ ,000, ,786 10,000, TREAS MTN WELLS FARGO 03/13/2013 7,226, /01/2018 7,000, ,786 7,000, TREAS FAC FEDERAL NATIONAL 02/12/ , /08/ , , , TREAS FAC FEDERAL NATIONAL 02/28/ , /08/ , , , TREAS FAC FEDERAL NATIONAL 12/20/ ,915, /08/ ,000, ,511 20,000, TREAS MTN BERKSHIRE HATHAWAY 07/05/2013 9,976, /09/ ,000, ,680 10,000, TREAS MTN BANK OF NEW YORK 09/11/2015 4,471, /06/2018 4,481, ,481, TREAS FAC FEDERAL HOME 03/08/ , /07/ , , , TREAS FAC FEDERAL HOME 03/28/ , /07/2018 1,000, ,805 1,000, TREAS MTN JOHN DEERE 07/05/2013 1,914, /12/2018 1,925, ,711 1,925, TREAS MC3 CENTERPOINT ENERGY 05/13/ , /15/ , ,798 58, TREAS TRC US TREASURY NOTE 05/30/ , /30/ , , , TREAS MTN G.E. CAPITAL 08/15/2013 5,177, /01/2018 5,000, ,720 5,000, TREAS MTN G.E. CAPITAL 09/10/ ,303, /01/ ,000, ,694 10,000, TREAS MTN G.E. CAPITAL 12/13/ ,396, /01/ ,000, ,600 10,000, TREAS MTN APPLE INC 07/08/2013 6,521, /03/2018 6,579, ,760 6,579, TREAS MTN APPLE INC 08/15/ ,913, /03/ ,000, ,722 11,000, TREAS MTN APPLE INC 08/16/2013 6,208, /03/2018 6,265, ,721 6,265, TREAS MTN APPLE INC 08/27/2013 6,920, /03/2018 7,000, ,710 7,000, TREAS MTN APPLE INC 09/10/2013 9,872, /03/ ,000, ,696 10,000, TREAS MTN APPLE INC 09/11/2015 9,131, /03/2018 9,164, ,164, Portfolio FSNO AC Run : 04/21/ :06 IM (PRF_IM) Report Ver

31 County of Fresno Inventory by Maturity Report Page 3 Sec. CUSIP Investment # Fund Type Issuer BE0 3135G0WJ8 3135G0WJ8 3135G0WJ8 3135G0WJ UU UU UU UU DT3 3133XRFZ KNA4 3137EABP AE AE AE TCP VQ VQ HCL HCL BY BY RE L5T L5T L5T EQV4 3135G0YM9 3135G0YM9 3135G0YM WD8 3135G0YT4 3135G0YT ESF BR A BFQ HJR HJR HJR Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS MTN BERKSHIRE HATHAWAY 08/27/2013 5,302, /15/2018 5,124, ,722 5,124, TREAS FAC FEDERAL NATIONAL 05/30/ , /21/ , , , TREAS FAC FEDERAL NATIONAL 05/30/ , /21/ , , , TREAS FAC FEDERAL NATIONAL 08/30/ , /21/ , , , TREAS FAC FEDERAL NATIONAL 12/12/ ,759, /21/ ,000, ,621 40,000, TREAS FAC FEDERAL HOME LOAN 07/01/ ,628, /08/ ,000, ,803 50,000, TREAS FAC FEDERAL HOME LOAN 07/12/ ,391, /08/ ,000, ,792 30,000, TREAS FAC FEDERAL HOME LOAN 07/26/ ,946, /08/ ,150, ,778 61,150, TREAS FAC FEDERAL HOME LOAN 12/12/2013 4,000, /08/2018 3,940, ,639 3,940, TREAS FAC FEDERAL HOME LOAN 12/12/2013 6,123, /08/2018 6,135, ,639 6,135, TREAS FAC FEDERAL HOME LOAN 12/18/2013 2,074, /08/2018 2,000, ,633 2,000, TREAS FAC FEDERAL FARM CREDIT 12/18/2013 1,012, /08/2018 1,000, ,633 1,000, TREAS FAC FEDERAL HOME 06/14/ , /13/ , , , TREAS MTN CHEVRON CORP 07/05/2013 9,988, /24/ ,000, ,815 10,000, TREAS MTN CHEVRON CORP 08/27/2013 3,306, /24/2018 3,320, ,762 3,320, TREAS MTN CHEVRON CORP 12/06/ ,012, /24/ ,000, ,661 10,000, TREAS MTN TOYOTA MOTOR CREDIT 09/11/2015 5,999, /13/2018 6,000, ,036 6,000, TREAS TRC US TREASURY NOTE 08/01/ , /31/ , , , TREAS TRC US TREASURY NOTE 12/27/ , /31/ , , , TREAS MTN BANK OF NEW YORK 08/27/2013 4,993, /01/2018 5,000, ,800 5,000, TREAS MTN BANK OF NEW YORK 12/13/ ,028, /01/ ,000, ,692 10,000, TREAS MTN BERKSHIRE HATHAWAY 08/15/ ,004, /15/ ,000, ,826 10,000, TREAS MTN BERKSHIRE HATHAWAY 08/27/ , /15/2018 1,000, ,814 1,000, TREAS TRC US TREASURY NOTE 03/21/ , /31/ , , , TREAS MTN CATERPILLAR 09/10/2013 4,996, /06/2018 5,000, ,822 5,000, TREAS MTN CATERPILLAR 12/06/2013 7,735, /06/2018 7,675, ,735 7,675, TREAS MTN CATERPILLAR 12/26/2013 2,514, /06/2018 2,500, ,715 2,500, TREAS MTN JOHN DEERE 09/10/2013 3,651, /10/2018 3,500, ,826 3,500, TREAS FAC FEDERAL NATIONAL 09/25/ , /18/ , , , TREAS FAC FEDERAL NATIONAL 11/22/2013 1,005, /18/2018 1,000, ,761 1,000, TREAS FAC FEDERAL NATIONAL 11/27/ , /18/ , , , TREAS TRC US TREASURY NOTE 03/21/ , /31/ , , , TREAS FAC FEDERAL NATIONAL 01/31/ , /27/ , , , TREAS FAC FEDERAL NATIONAL 03/20/ , /27/ , , , TREAS MTN JOHN DEERE 12/26/ ,967, /13/ ,000, ,813 20,000, TREAS FAC FEDERAL HOME LOAN 01/03/ ,950, /14/ ,000, ,806 40,000, TREAS TRC US TREASURY NOTE 04/21/ , /31/ , , , TREAS MTN WELLS FARGO 01/15/ ,980, /15/ ,000, ,826 15,000, TREAS MTN JP MORGAN 01/28/2014 4,999, /28/2019 5,000, ,826 5,000, TREAS MTN JP MORGAN 03/05/ ,022, /28/ ,000, ,790 10,000, TREAS MTN JP MORGAN 09/16/2014 5,010, /28/2019 5,000, ,595 5,000, Portfolio FSNO AC Run : 04/21/ :06 IM (PRF_IM) Report Ver

32 County of Fresno Inventory by Maturity Report Page 4 Sec. CUSIP Investment # Fund Type Issuer 3136FTZZ SD B G0ZA4 3135G0ZA4 3135G0ZA4 3135G0ZA4 3135G0ZA4 3133EGBR5 3135G0J C ESK HCR HHL CKL3 3133EDLR HCU HCU1 3133X72S2 3133X72S BH BH EE5 3130A2FH EE5 3130A2FH4 3135G0ZE6 3135G0ZE6 3135G0ZE6 3135G0ZE6 3133EFW TBP9 3137EAEB1 3137EADK2 3137EADK BL HCW7 3137EADM8 3137EADM8 3137EADM G7M Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS FAC FEDERAL NATIONAL 12/09/ ,028, /30/ ,000, ,513 10,000, TREAS TRC US TREASURY NOTE 10/09/2014 9,957, /31/ ,000, ,575 10,000, TREAS TRC US TREASURY NOTE 10/09/ ,005, /31/ ,000, ,575 20,000, TREAS FAC FEDERAL NATIONAL 02/25/ ,026, /19/ ,000, ,820 10,000, TREAS FAC FEDERAL NATIONAL 03/03/ ,091, /19/ ,000, ,814 25,000, TREAS FAC FEDERAL NATIONAL 03/03/ ,037, /19/ ,000, ,814 10,000, TREAS FAC FEDERAL NATIONAL 03/20/ , /19/ , , , TREAS FAC FEDERAL NATIONAL 10/01/2014 5,012, /19/2019 5,000, ,602 5,000, TREAS FAC FEDERAL FARM CREDIT 06/09/2016 4,998, /25/2019 5,000, ,000, TREAS FAC FEDERAL NATIONAL 08/11/ ,622, /26/ ,561, ,561, TREAS TRC US TREASURY NOTE 03/31/ , /28/2019 1,000, ,795 1,000, TREAS MTN JOHN DEERE 03/05/ ,004, /04/ ,000, ,825 10,000, TREAS MTN BANK OF NEW YORK 05/19/ ,380, /04/ ,000, ,019 30,000, TREAS MTN JP MORGAN 07/23/2014 7,262, /23/2019 6,740, ,735 6,740, TREAS MUN STATE OF CALIFORNIA 06/12/ ,022, /01/ ,000, ,784 10,000, TREAS FAC FEDERAL FARM CREDIT 05/27/2014 5,003, /15/2019 5,000, ,814 5,000, TREAS MTN BANK OF NEW YORK 09/16/2014 2,499, /15/2019 2,500, ,702 2,500, TREAS MTN BANK OF NEW YORK 09/16/2014 4,999, /15/2019 5,000, ,702 5,000, TREAS FAC FEDERAL HOME LOAN 12/09/ ,746, /15/ ,000, ,618 10,000, TREAS FAC FEDERAL HOME LOAN 12/19/ ,045, /15/ ,500, ,608 20,500, TREAS MTN CHEVRON CORP 05/25/ ,957, /16/ ,000, ,086 20,000, TREAS MTN CHEVRON CORP 05/27/2016 9,978, /16/ ,000, ,084 10,000, TREAS FAC FEDERAL HOME LOAN 06/18/2014 4,975, /14/2019 5,000, ,822 5,000, TREAS FAC FEDERAL HOME LOAN 09/02/ ,003, /14/ ,000, ,746 20,000, TREAS FAC FEDERAL HOME LOAN 09/10/2014 9,953, /14/ ,000, ,738 10,000, TREAS FAC FEDERAL HOME LOAN 09/10/2014 9,979, /14/ ,000, ,738 10,000, TREAS FAC FEDERAL NATIONAL 06/18/2014 4,988, /20/2019 5,000, ,828 5,000, TREAS FAC FEDERAL NATIONAL 10/01/ ,938, /20/ ,000, ,723 30,000, TREAS FAC FEDERAL NATIONAL 12/11/ ,031, /20/ ,000, ,652 10,000, TREAS FAC FEDERAL NATIONAL 12/19/ ,049, /20/ ,000, ,644 26,000, TREAS FAC FEDERAL FARM CREDIT 06/09/2016 2,064, /01/2019 2,060, ,117 2,060, TREAS MTN TOYOTA MOTOR CREDIT 10/01/2014 9,984, /18/ ,000, ,751 10,000, TREAS FAC FEDERAL HOME 08/11/2016 9,986, /19/ ,000, ,072 10,000, TREAS FAC FEDERAL HOME 12/11/ ,867, /01/ ,000, ,694 15,000, TREAS FAC FEDERAL HOME 12/11/ ,825, /01/ ,000, ,694 20,000, TREAS MTN BERKSHIRE HATHAWAY 10/01/2014 9,983, /14/ ,000, ,778 10,000, TREAS MTN BANK OF NEW YORK 10/01/2014 8,479, /11/2019 8,501, ,806 8,501, TREAS FAC FEDERAL HOME 12/19/ ,760, /02/ ,000, ,748 20,000, TREAS FAC FEDERAL HOME 12/19/ ,761, /02/ ,000, ,748 20,000, TREAS FAC FEDERAL HOME 12/19/2014 9,880, /02/ ,000, ,748 10,000, TREAS MTN G.E. CAPITAL 03/04/ ,411, /09/ ,350, ,772 10,350, ,013 Portfolio FSNO AC Run : 04/21/ :06 IM (PRF_IM) Report Ver

33 County of Fresno Inventory by Maturity Report Page 5 Sec. CUSIP Investment # Fund Type Issuer 24422ERY HBP3 3135G0A G0A G0A G0A G0A G0A G0A G0A G0A G0A HKA HCZ L6J5 3137EADR7 3137EADR BD ND8 3134G44G XE XE HU HU8 3133EEW G0D G0D G0D G0D G0D G0D G0D G0D G0D XM XM HDD L HNX4 3135G0RM AY Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS MTN JOHN DEERE 12/28/2015 8,862, /15/2020 9,000, ,479 9,000, ,019 TREAS MTN BANK OF NEW YORK 12/28/2015 5,307, /15/2020 5,000, ,479 5,000, ,019 TREAS FAC FEDERAL NATIONAL 03/04/ ,958, /21/ ,000, ,784 20,000, ,025 TREAS FAC FEDERAL NATIONAL 05/08/ ,000, /21/ ,000, ,719 10,000, ,025 TREAS FAC FEDERAL NATIONAL 05/08/ ,001, /21/ ,000, ,719 10,000, ,025 TREAS FAC FEDERAL NATIONAL 06/03/ ,995, /21/ ,000, ,693 15,000, ,025 TREAS FAC FEDERAL NATIONAL 10/29/ ,049, /21/ ,000, ,545 10,000, ,025 TREAS FAC FEDERAL NATIONAL 11/04/ ,027, /21/ ,000, ,539 10,000, ,025 TREAS FAC FEDERAL NATIONAL 11/06/ ,009, /21/ ,000, ,537 10,000, ,025 TREAS FAC FEDERAL NATIONAL 12/22/ ,005, /21/ ,000, ,491 20,000, ,025 TREAS FAC FEDERAL NATIONAL 12/23/ ,001, /21/ ,000, ,490 10,000, ,025 TREAS FAC FEDERAL NATIONAL 12/23/ ,002, /21/ ,000, ,490 20,000, ,025 TREAS MTN JP MORGAN 03/04/2015 9,974, /23/ ,000, ,786 10,000, ,027 TREAS MTN BANK OF NEW YORK 03/04/2015 3,005, /24/2020 3,000, ,818 3,000, ,059 TREAS MTN CATERPILLAR 03/04/2016 8,258, /05/2020 8,278, ,462 8,278, ,069 TREAS FAC FEDERAL HOME 05/06/2015 9,924, /01/ ,000, ,822 10,000, ,126 TREAS FAC FEDERAL HOME 05/08/2015 9,919, /01/ ,000, ,820 10,000, ,126 TREAS MTN APPLE INC 12/28/2015 9,997, /06/ ,000, ,591 10,000, ,131 TREAS TRC US TREASURY NOTE 12/23/ ,236, /15/ ,000, ,605 40,000, ,140 TREAS FAC FEDERAL HOME 10/29/2015 4,996, /22/2020 5,000, ,667 5,000, ,147 TREAS TRC US TREASURY NOTE 11/15/ ,042, /31/ ,000, ,293 15,000, ,156 TREAS TRC US TREASURY NOTE 12/13/ ,915, /31/ ,000, ,265 40,000, ,156 TREAS FAC FEDERAL HOME LOAN 06/12/ ,999, /12/ ,000, ,827 20,000, ,168 TREAS FAC FEDERAL HOME LOAN 06/26/ ,585, /12/ ,615, ,813 12,615, ,168 TREAS FAC FEDERAL FARM CREDIT 06/15/2015 9,973, /15/ ,000, ,827 10,000, ,171 TREAS FAC FEDERAL NATIONAL 10/29/ ,978, /22/ ,000, ,698 20,000, ,178 TREAS FAC FEDERAL NATIONAL 10/30/2015 5,937, /22/2020 5,950, ,697 5,950, ,178 TREAS FAC FEDERAL NATIONAL 11/04/2015 4,980, /22/2020 5,000, ,692 5,000, ,178 TREAS FAC FEDERAL NATIONAL 11/04/2015 4,980, /22/2020 5,000, ,692 5,000, ,178 TREAS FAC FEDERAL NATIONAL 11/06/2015 4,972, /22/2020 5,000, ,690 5,000, ,178 TREAS FAC FEDERAL NATIONAL 12/17/ ,746, /22/ ,000, ,649 30,000, ,178 TREAS FAC FEDERAL NATIONAL 12/17/ ,819, /22/ ,000, ,649 20,000, ,178 TREAS FAC FEDERAL NATIONAL 12/22/2015 9,937, /22/ ,000, ,644 10,000, ,178 TREAS FAC FEDERAL NATIONAL 12/23/2015 9,932, /22/ ,000, ,643 10,000, ,178 TREAS TRC US TREASURY NOTE 12/22/ ,846, /31/ ,000, ,317 40,000, ,217 TREAS TRC US TREASURY NOTE 12/28/ ,820, /31/ ,000, ,311 40,000, ,217 TREAS MTN BANK OF NEW YORK 12/28/2015 5,028, /17/2020 5,000, ,694 5,000, ,234 TREAS TRC US TREASURY NOTE 12/28/ ,550, /30/ ,000, ,372 30,000, ,278 TREAS MTN JP MORGAN 03/04/2016 6,185, /29/2020 6,181, ,700 6,181, ,307 TREAS FAC FEDERAL NATIONAL 10/30/ ,078, /30/ ,060, ,827 10,060, ,308 TREAS MTN CHEVRON CORP 12/28/2015 9,982, /17/ ,000, ,786 10,000, ,326 Portfolio FSNO AC Run : 04/21/ :06 IM (PRF_IM) Report Ver

34 County of Fresno Inventory by Maturity Report Page 6 Sec. CUSIP Investment # Fund Type Issuer CA1 3135G0H N ETF6 3130AAX HHL HHL HHL HHL HHL XN0 3133EFYZ4 3130A7CV5 3130A7CV5 3130A7CV5 3130A7CV5 3130A7CV5 3130A7CV BS8 3135G0K G0K G0K G0K G0K G0K G0K G0K G0K G0K WN6 3130A1W RB7 3130A1W A8QS5 3130A8QS5 3130A8QS5 3130A8QS5 3130A8QS5 3130A8QS SA P Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS FAC FEDERAL HOME LOAN 04/21/2016 5,001, /11/2020 5,000, ,695 5,000, ,350 TREAS FAC FEDERAL NATIONAL 05/20/ ,165, /28/ ,000, ,683 10,000, ,367 TREAS TRC US TREASURY NOTE 12/16/ ,756, /31/ ,000, ,476 40,000, ,370 TREAS MTN JOHN DEERE 03/04/2016 5,071, /08/2021 5,000, ,771 5,000, ,378 TREAS FAC FEDERAL HOME LOAN 03/28/ ,075, /28/ ,000, ,402 15,000, ,398 TREAS MTN US BANK NA 08/22/2016 5,122, /29/2021 5,000, ,621 5,000, ,399 TREAS MTN US BANK NA 12/13/2016 4,654, /29/2021 4,634, ,508 4,634, ,399 TREAS MTN US BANK NA 12/22/2016 4,988, /29/2021 5,000, ,499 5,000, ,399 TREAS MTN US BANK NA 12/22/2016 7,506, /29/2021 7,522, ,499 7,522, ,399 TREAS MTN US BANK NA 03/22/ ,043, /29/ ,000, ,409 10,000, ,399 TREAS FAC FEDERAL HOME LOAN 03/03/ , /08/ , , , ,409 TREAS FAC FEDERAL FARM CREDIT 02/29/ ,759, /10/ ,800, ,808 17,800, ,411 TREAS FAC FEDERAL HOME LOAN 03/03/2016 4,971, /18/2021 5,000, ,813 5,000, ,419 TREAS FAC FEDERAL HOME LOAN 04/21/2016 9,989, /18/ ,000, ,764 10,000, ,419 TREAS FAC FEDERAL HOME LOAN 05/20/2016 4,982, /18/2021 5,000, ,735 5,000, ,419 TREAS FAC FEDERAL HOME LOAN 05/25/2016 9,956, /18/ ,000, ,730 10,000, ,419 TREAS FAC FEDERAL HOME LOAN 08/08/ ,075, /18/ ,000, ,655 10,000, ,419 TREAS FAC FEDERAL HOME LOAN 03/20/ ,659, /18/ ,000, ,431 20,000, ,419 TREAS MTN APPLE INC 01/19/ ,000, /23/ ,000, ,496 10,000, ,424 TREAS FAC FEDERAL NATIONAL 05/25/2016 9,892, /06/ ,000, ,807 10,000, ,496 TREAS FAC FEDERAL NATIONAL 09/28/ ,014, /06/ ,000, ,681 25,000, ,496 TREAS FAC FEDERAL NATIONAL 11/02/2016 9,948, /06/ ,000, ,646 10,000, ,496 TREAS FAC FEDERAL NATIONAL 11/14/2016 9,893, /06/ ,000, ,634 10,000, ,496 TREAS FAC FEDERAL NATIONAL 11/15/2016 4,918, /06/2021 5,000, ,633 5,000, ,496 TREAS FAC FEDERAL NATIONAL 11/25/ ,547, /06/ ,000, ,623 20,000, ,496 TREAS FAC FEDERAL NATIONAL 11/29/2016 2,936, /06/2021 3,000, ,619 3,000, ,496 TREAS FAC FEDERAL NATIONAL 12/02/ ,376, /06/ ,000, ,616 25,000, ,496 TREAS FAC FEDERAL NATIONAL 12/02/2016 4,873, /06/2021 5,000, ,616 5,000, ,496 TREAS FAC FEDERAL NATIONAL 12/02/2016 4,874, /06/2021 5,000, ,616 5,000, ,496 TREAS TRC US TREASURY NOTE 12/28/ ,068, /31/ ,000, ,615 40,000, ,521 TREAS FAC FEDERAL HOME LOAN 07/15/ ,216, /11/ ,000, ,792 30,000, ,532 TREAS FAC FEDERAL HOME LOAN 08/17/ ,230, /11/ ,000, ,759 10,000, ,532 TREAS FAC FEDERAL HOME LOAN 11/29/ ,774, /11/ ,470, ,655 18,470, ,532 TREAS FAC FEDERAL HOME LOAN 08/08/ ,925, /14/ ,000, ,801 15,000, ,565 TREAS FAC FEDERAL HOME LOAN 08/29/2016 3,923, /14/2021 3,955, ,780 3,955, ,565 TREAS FAC FEDERAL HOME LOAN 09/13/ ,872, /14/ ,000, ,765 15,000, ,565 TREAS FAC FEDERAL HOME LOAN 09/28/2016 9,952, /14/ ,000, ,750 10,000, ,565 TREAS FAC FEDERAL HOME LOAN 10/13/2016 9,877, /14/ ,000, ,735 10,000, ,565 TREAS FAC FEDERAL HOME LOAN 11/14/2016 9,833, /14/ ,000, ,703 10,000, ,565 TREAS MTN WELLS FARGO 01/25/2017 9,708, /26/ ,000, ,643 10,000, ,577 TREAS FAC FEDERAL HOME LOAN 10/05/2016 6,213, /29/2021 5,700, ,758 5,700, ,580 Portfolio FSNO AC Run : 04/21/ :06 IM (PRF_IM) Report Ver

35 County of Fresno Inventory by Maturity Report Page 7 Sec. CUSIP Investment # Fund Type Issuer CC BP BP L6U0 3137EAEC9 3135G0N G0N G0N G0Q G0Q G0Q EGYQ ERH4 3133EGZJ7 3135G0S G0S G0S EG5D3 3136G2CS4 3134GAP BW CM BA Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS MTN APPLE INC 12/13/2016 4,861, /04/2021 5,000, ,695 5,000, ,586 TREAS MTN MICROSOFT 08/22/ ,991, /08/ ,000, ,812 15,000, ,590 TREAS MTN MICROSOFT 12/13/2016 4,869, /08/2021 5,000, ,699 5,000, ,590 TREAS MTN CATERPILLAR 09/16/ ,145, /09/ ,294, ,788 15,294, ,591 TREAS FAC FEDERAL HOME 08/17/2016 9,916, /12/ ,000, ,821 10,000, ,594 TREAS FAC FEDERAL NATIONAL 08/29/2016 9,981, /17/ ,000, ,814 10,000, ,599 TREAS FAC FEDERAL NATIONAL 08/29/2016 9,963, /17/ ,000, ,814 10,000, ,599 TREAS FAC FEDERAL NATIONAL 08/29/2016 9,954, /17/ ,000, ,814 10,000, ,599 TREAS FAC FEDERAL NATIONAL 10/07/ ,970, /07/ ,000, ,826 20,000, ,650 TREAS FAC FEDERAL NATIONAL 10/13/2016 9,948, /07/ ,000, ,820 10,000, ,650 TREAS FAC FEDERAL NATIONAL 10/27/2016 4,987, /07/2021 5,000, ,806 5,000, ,650 TREAS FAC FEDERAL FARM CREDIT 10/27/2016 9,980, /14/ ,000, ,813 10,000, ,657 TREAS MTN JOHN DEERE 12/13/2016 9,020, /15/2021 8,707, ,767 8,707, ,658 TREAS FAC FEDERAL FARM CREDIT 10/27/2016 9,964, /25/ ,000, ,824 10,000, ,668 TREAS FAC FEDERAL NATIONAL 01/09/ ,956, /05/ ,000, ,822 20,000, ,740 TREAS FAC FEDERAL NATIONAL 01/09/2017 9,977, /05/ ,000, ,822 10,000, ,740 TREAS FAC FEDERAL NATIONAL 03/28/ ,050, /05/ ,000, ,744 10,000, ,740 TREAS FAC FEDERAL FARM CREDIT 01/27/ ,000, /27/ ,000, ,826 50,000, ,762 TREAS FAC FEDERAL NATIONAL 03/28/2017 5,020, /27/2022 5,000, ,766 5,000, ,762 TREAS FAC FEDERAL HOME 01/31/ ,000, /28/ ,000, ,823 25,000, ,763 TREAS MTN MICROSOFT 02/21/2017 6,726, /06/2022 6,725, ,811 6,725, ,772 TREAS MTN APPLE INC 02/21/ ,976, /09/ ,000, ,814 15,000, ,775 TREAS MTN MICROSOFT 02/21/2017 6,441, /12/2022 6,450, ,817 6,450, ,778 Subtotal and Average 3,100,573, ,095,629, ,095,629, Net Maturities and Average 3,100,573, ,095,629, ,095,629, Portfolio FSNO AC Run : 04/21/ :06 IM (PRF_IM) Report Ver

36 Quarterly Economic and Market Update March

37 Economic and Market Update 3/31/2017 Item 3/31/ /31/2016 Change U.S. Payrolls Monthly Change 98, ,000-57,000 Unemployment Rate 4.5% 4.7% -0.2% Labor Force Participation 63.0% 62.7% 0.3% Effective Fed Funds Rate 0.82% 0.55% 0.27% Next Fed Funds Hike** Oct 2017 Jan Months 3 Month T-Bill 0.754% 0.500% 0.254% 2 Year T-Note 1.256% 1.190% 0.066% 3 Year T-Note 1.490% 1.452% 0.038% 5 Year T-Note 1.922% 1.928% % 10 Year T-Note 2.388% 2.445% % U.S. Fed Debt Avg Yield* 2.010% 1.986% 0.024% 30 Year Mortgage Rate 3.99% 4.060% -0.07% 1-5 Yr Agency Spread 0.11% 0.13% -0.02% 1-5 Yr Corporate Spread 0.68% 0.77% -0.09% Dow Jones 20,663 19, % S&P 500 2,363 2, % Consumer Price Index YOY* 2.6% 2.1% 0.5% U.S. Avg Regular Unleaded $2.32 $2.34 -$0.02 Retail Sales YOY* 5.8% 4.4% 1.4% Case-Shiller Home Prices YOY* 5.7% 5.2% 0.6% Gold (per ounce) $1, $1, $ 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 1.125% or higher Sources: FTN Main Street and Bloomberg 35

38 Economic and Market Update 3/31/2017 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: 3/31/17 36

39 Economic and Market Update 3/31/2017 U.S. Annual GDP * Percent s 4.25% 1960s 4.53% 1970s 3.25% s 3.15% 1990s 3.22% 2000s 1.82% 2010s 2.11% * Real Rate (Inflation Adjusted) Source: Bureau of Economic Analysis Estimate: Bloomberg's Survey of Economists As of: 3/31/17 37

40 Economic and Market Update 3/31/ U.S. Monthly Non-Farm Payrolls Change Unemployment Rates Nevada U.S.A California Idaho Washington Thousands Percent Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 3 Sep-12 Nov-12 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-16 Sep-16 Nov-16 Jan-17 Mar Month Average Job Change 182,083 Source: Bureau of Labor Statistics 38

41 Economic and Market Update 3/31/2017 Millions Mar-07 Aug-07 Jan-08 Jun-08 Nov-08 U.S. Number of Employed Full-Time and Part-TIme Apr-09 Sep-09 Feb-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12 Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Feb-15 Jul-15 Dec-15 May-16 Oct-16 Mar-17 Percent Mar-07 Aug-07 Jan-08 Jun-08 U.S. Labor Force Participation Rate Nov-08 Apr-09 Sep-09 Feb-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12 Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Feb-15 Jul-15 Dec-15 May-16 Oct-16 Mar-17 Source: Bureau of Labor Statistics 39

42 Economic and Market Update ######## 3/31/ 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 40

43 Economic and Market Update 3/31/2017 U.S. Real* Retail Sales YOY % Change U.S. Consumer Confidence Percent Index Value Sep-12 Nov-12 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-16 Sep-16 Nov-16 Jan 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 Sep-16 Feb-17 *Real: Inflation Adjusted Source: U.S. Census Bureau Source: Conference Board 41

44 Economic and Market Update 3/31/2017 CPI and CPIX YOY % Change CPI CPIX Percent 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 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 CPIX: Consumer Price Index, excluding food and energy Source: Bureau of Labor Statistics 42

45 Economic and Market Update 3/31/ Case-Shiller 20 City U.S. Home Price Index YOY % Increase 6 U.S. New and Existing Home Sales YOY Percent Existing-Millions New-Thousands Oct-08 Feb-09 Jun-09 Oct-09 Feb-10 Jun-10 Oct-10 Feb-11 Jun-11 Oct-11 Feb-12 Jun-12 Oct-12 Feb-13 Jun-13 Oct-13 Feb-14 Jun-14 Oct-14 Feb-15 Jun-15 Oct-15 Feb-16 Jun-16 Oct-16 Existing-Left New-Right 3 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 Aug-16 Jan Source: Case-Shiller Sources: New (U.S. Census Bureau),Existing (National Assoc. of Realtors) Seasonally Adjusted Annual Rate 43

46 Economic and Market Update 3/31/2017 U.S. Federal Debt Outstanding U.S. Treasury Interest Bearing Debt Avg Rate $ $20 $ $18 $ $16 $ Trillions $14 $13 $12 $11 Percent $10 $9 2.5 $8 $7 2.0 $6 Mar-07 Aug-07 Jan-08 Jun-08 Nov-08 Apr-09 Sep-09 Feb-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12 Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Feb-15 Jul-15 Dec-15 May-16 Oct-16 Mar Mar-07 Aug-07 Jan-08 Jun-08 Nov-08 Apr-09 Sep-09 Feb-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12 Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Feb-15 Jul-15 Dec-15 May-16 Oct-16 Mar-17 Source: U.S. Treasury 44

47 Economic and Market Update 3/31/ Fed Funds vs. Fed's Anticipated Fed Funds Rate Fed's Anticipated Rates Fed Funds Futures Basis Points 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 Jun-2019 Jul-2019 Aug-2019 Sep-2019 Oct-2019 Nov-2019 Dec-2019 Jan-2020 Feb-2020 Mar-2020 Fed Funds Anticipated Rate from the March 15, 2017 FOMC Meeting Source: Bloomberg 45

48 Economic and Market Update 3/31/ U.S. Treasury Yield Curve Change Maturity 12/30/16 3/31/17 Change /31/17 12/30/16 3M 6M 1Y Percent Y Y Y Y M 6M 1Y 2Y 3Yr 5Y 10Y 30Y 30Y Basis Points Basis Point Change 3M 6M 1Y 2Y 3Yr 5Y 10Y 30Y Source: Bloomberg 46

49 Economic and Market Update 3/31/2017 U.S. Treasury Yields: 3M and 1Y U.S. Treasury Yields: 2Y and 5Y Y 3M Y 2Y Percent Percent Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Source: Bloomberg 47

50 Economic and Market Update 3/31/ 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 Jan-16 Source: Bloomberg 48

51 Economic and Market Update 3/31/2017 Global Treasury Rates 2 Year Yields 5 Year Yields 10 Year Yields Australia 1.75% Portugal 2.25% Portugal 3.95% USA 1.25% Australia 2.24% Australia 2.70% Canada 0.75% USA 1.92% USA 2.39% Portugal 0.55% Canada 1.12% Italy 2.31% England 0.12% Italy 1.10% Spain 1.65% Italy -0.07% England 0.56% Canada 1.62% Spain -0.18% Spain 0.48% England 1.14% Japan -0.20% France 0.12% France 0.97% France -0.31% Japan -0.13% Germany 0.33% Germany -0.75% Germany -0.39% Japan 0.07% Switzlnd -0.90% Switzlnd -0.58% Switzlnd -0.12% -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% 6.0% Source: Bloomberg 49

52 Economic and Market Update 3/31/2017 Spread: 1-5Yr Agency* vs Treasury Spread: 1-5Yr A-AAA Corporate vs Treasury Basis Points Basis Points Feb-03 Sep-03 Apr-04 Nov-04 Jun-05 Jan-06 Aug-06 Mar-07 Oct-07 May-08 Dec-08 Jul-09 Feb-10 Sep-10 Apr-11 Nov-11 Jun-12 Jan-13 Aug-13 Mar-14 Oct-14 May-15 Dec-15 Jul-16 Feb Feb-03 Sep-03 Apr-04 Nov-04 Jun-05 Jan-06 Aug-06 Mar-07 Oct-07 May-08 Dec-08 Jul-09 Feb-10 Sep-10 Apr-11 Nov-11 Jun-12 Jan-13 Aug-13 Mar-14 Oct-14 May-15 Dec-15 Jul-16 Feb-17 Current Spread is 11 Current Spread is 68 *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 Indices 50

53 Economic and Market Update 3/31/2017 Spread: AAA Asset Backed vs Treasury Spread: 0-3Yr Agency CMO vs Treasury Basis Points Basis Points Feb-03 Sep-03 Apr-04 Nov-04 Jun-05 Jan-06 Aug-06 Mar-07 Oct-07 May-08 Dec-08 Jul-09 Feb-10 Sep-10 Apr-11 Nov-11 Jun-12 Jan-13 Aug-13 Mar-14 Oct-14 May-15 Dec-15 Jul-16 Feb Feb-03 Sep-03 Apr-04 Nov-04 Jun-05 Jan-06 Aug-06 Mar-07 Oct-07 May-08 Dec-08 Jul-09 Feb-10 Sep-10 Apr-11 Nov-11 Jun-12 Jan-13 Aug-13 Mar-14 Oct-14 May-15 Dec-15 Jul-16 Feb-17 Current Spread is 49 Current Spread is 37 *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 Indices 51

54 Economic and Market Update ######## 3/31/2017 Selected Sector QuarterlyTotal Returns Percent (5) (10) -9.2 (15) Source: Bloomberg 52

55 Economic and Market Update ######## 3/31/2017 Selected Sector Year-Over-YearTotal Returns Percent (5) (10) Source: Bloomberg 53

56 Economic and Market Update 3/31/ Year Treasury Note Yield Strong ADP and nonfarm payroll support March hike Failure of Republicans to pass revised healthcare bill give concern over other policies 2.05 Percent Janet Yellen points to gradual increase this year Trumps states he would reveal "phenomenal" tax plan details Hawkish FOMC members signal March hike /31/16 1/2/17 1/4/17 1/6/17 1/8/17 1/10/17 1/12/17 1/14/17 1/16/17 1/18/17 French presidential candidate Le Pen suggests removing France from Euro 1/20/17 1/22/17 1/24/17 1/26/17 1/28/17 1/30/17 2/1/17 2/3/17 2/5/17 2/7/17 Uncertainty ahead of Trump's Congressional address 2/9/17 2/11/17 2/13/17 2/15/17 2/17/17 2/19/17 2/21/17 2/23/17 2/25/17 2/27/17 3/1/17 3/3/17 3/5/17 3/7/17 3/9/17 3/11/17 3/13/17 3/15/17 3/17/17 3/19/17 3/21/17 3/23/17 3/25/17 3/27/17 3/29/17 3/31/17 Sources: Bloomberg, FTN Main Street 54

57 Economic and Market Update ######## 3/31/ ,200 21,000 20,800 Dow Jones Industrial Index Stocks soar after Trump's first Congressional address Consumer confidence surge 20,600 20,400 GOP unable to pass Healthcare bill 20,200 20,000 Positive earnings along with quick executive actions lead to investor optimism Optimism grows on expectations of fiscal stimulus 19,800 19,600 12/31/16 1/2/17 1/4/17 Tick up in hourly earnings 1/6/17 1/8/17 1/10/17 1/12/17 1/14/17 1/16/17 1/18/17 1/20/17 1/22/17 1/24/17 1/26/17 1/28/17 1/30/17 2/1/17 2/3/17 2/5/17 2/7/17 2/9/17 2/11/17 2/13/17 2/15/17 2/17/17 2/19/17 2/21/17 2/23/17 2/25/17 2/27/17 3/1/17 3/3/17 3/5/17 3/7/17 3/9/17 3/11/17 3/13/17 3/15/17 3/17/17 3/19/17 3/21/17 3/23/17 3/25/17 3/27/17 3/29/17 3/31/17 Sources: Bloomberg, FTN Main Street 55