Department of County Management

Transcription

1 Department of County Management Treasury Group To: From: Deborah Kafoury Chair, Board of County Commissioners Marissa Madrigal - Chief Operating Officer Investment Advisory Board Members (IAB) Mark Campbell Chief Financial Officer Steve March - County Auditor Jeff DeCosta, County Treasury Date: April 17, 2017 Re: Investment Portfolio Results for March 2017 The County Investment Pool's annualized earnings rate for March was.83%. This was a four basis point decrease from the previous month s return of.87%. The year-to-date rate of return for Fiscal Year 2017 stayed the same at.79%. The U.S. Treasury 90-day T-Bill yield at the end of March was.76%. This was a twenty three basis point increase from February 28th. The annualized earnings rate for the State s Local Government Investment Pool was 1.30%. U.S. job market continues to move in a positive direction, unemployment rate for March came in at 4.5%. Optimistic sentiments of consumers aren t translating into spending behavior. March retail sales fell 0.2%, first time in two years retailers suffered consecutive months in sales declines. For questions and suggestions regarding this report, please call me at (503) or at: jeffrey.decosta@multco.us 501 SE Hawthorne Blvd. Portland, Oregon Phone: (503)

2 MONTHLY REPORT Total Fund Holdings Report March 31, 2017 Prepared By:

3 Market Commentary... 1 Compliance Report... 2 Total Funds Account Summary... 3 Total Funds Account Overview... 6 Investment Fund Account Summary Investment Fund Total Return Liquidity Account Summary Liquidity Account Portfolio Holdings Certificate of Deposits Account Summary Disclaimer... 29

4 MONTH END COMMENTARY MARCH 2017 Treasury yields were volatile during the month, spiking right before the Fed raised its target rate on March 15 th and then dropping lower to finish the month. By the time the Fed decision was announced, the Fed Funds futures had priced in a 100% chance of a rate increase at the March meeting. The Fed delivered. The consensus remains for two more rate hikes this year. However, members of the Fed have stated that they are in no rush and will continue to monitor the strength in the economy, labor markets and inflation. There remains concern that after the failure to pass the American Health Care Act, the goals of reduced taxes, increased infrastructure spending and fewer regulations may be more difficult to achieve than had previously been perceived. The yield curve continued to flatten. The 2-year Treasury note ended the month unchanged at 1.26% after reaching its highest level for the year of 1.38% on 3/14. Five year U.S. Treasury yields decreased slightly from 1.93% to 1.92% after spiking to 2.14% on 3/14/17. FOMC: As expected, the FOMC increased the Fed Funds target range from.50%-.75% to.75% to 1.00%. The early forecast was for the first of the three 2017 rate hikes to be in May, not March. As normally happens, the market led the Fed with an increase in short term rates prior to the March 2017 meeting. Much of this was caused by a tightening labor market and an inflation rate that moved closer to the Fed s 2% target. Also, prior to the decision, a number of Fed officials publicly indicated that a rate hike would take place sooner than later. The message from the Fed is that after nearly eight years since the recession ended, the economy no longer needs the support of low borrowing rates and is healthy enough to withstand steadily tighter credit. Neel Kashkari was the only Fed official who voted against the hike. He voted for leaving rates the same. According to the statement, the Fed said, In determining the timing and size of future adjustments to the target range for the federal funds rate, the Committee will assess realized and expected economic conditions relative to its objectives of maximum employment and 2% inflation. Non-farm Payrolls/Unemployment: February nonfarm payroll employment increased by 235,000 jobs which followed an equally strong 238,000 in January. The job market has generated a record 77 consecutive months of payroll gains and the unemployment rate has now lowered to under 5% from the peak of 10% in The February increase brings the average gain over the past three months to 209,000, stronger than the six month average increase of 194,000. Another factor which added to the strength in the labor market was an increase in wages. In February, the hourly earnings of all private sector workers was 2.8% above the previous year. GDP: Real GDP increased at an annual rate of 2.10% in the fourth quarter, according to the third estimate. In the third quarter of 2016, real GDP increased 3.5%. The general level of economic growth remains largely the same as last quarter, however personal consumption expenditures increased more than previously estimated. A negative in the report was a $3.4 billion upward revision to inventory accumulation. This adds to GDP but heavy inventories may slow down first-quarter of 2017 output. Personal Income: Personal income increased.4% in February. Disposable personal income increased.3% and personal consumption expenditures increased.1%. The increase in personal income was primarily due to increases in wages, salaries and rental income. Treasury Yield Curve Total Returns over the last 12 months:* TREASURY BENCHMARK TOTAL RETURNS IN MONTH 3month bill 0.36 Benchmark Period Return Duration 1 year note 0.63 BAML 0-3 Year Treasury.01% year note 0.07 BAML 0-5 Year Treasury.04% year note BAML 1-3 Year Treasury.03% year note BAML 1-5 Year Treasury.05% 2.65 Changes in the Treasury Market (absolute yield levels):* 03/31/16 02/28/17 03/31/17 Change in March Change from Prior Year 3 month bill month bill year note unch year note year note year unch +.62 *Source: Bloomberg 1

5 Total Funds Multnomah County Compliance Report Policy /31/2017 Maximum Maturities Policy Requirement Percentage of Portfolio Under 30 days 10% 18% $ 89,339,345 Yes Portfolio Allocation Within Limits Credit Rating Within Limits Corporate & Municipal Under 1 year 35% 70% $ 353,941,620 Yes AA- by S&P Yes Under 5 years 100% 100% $ 508,521,730 Yes Aa3 by Moodys Yes 0 0% 100% $ 508,521, No 0 by Fitch Yes Maximum Weighted Average Maturity 1.5 Years 0.74 Yes Commercial Paper & Bankers Acceptances Maximum Callable Securities 25% 5% $ 24,823, Yes A-1-P1 CP Yes Maximum Single Maturity 5 Years 2.72 Yes A1+P1 BA Yes Asset Allocation Diversification Maximum Policy Allocation Issuer Constraint Percentage of Portfolio Market Value U.S. Treasury Obligations 100% 32% $ 163,769,761 US Agency Primary Securities 100% 45% $ 227,361,494 FHLB 25% 19% $ 98,977,204 FNMA 25% 14% $ 73,718,200 FHLMC 25% 9% $ 44,726,070 FFCB 25% 2% $ 9,940,020 US Agency Secondary Issuance 10% 10% 0% $ - Municipal Obligations OR, CA, ID, WA 10% 5% 0% $ - Corporate Bonds 25% 5% 5% $ 26,916,710 Commerical Paper 10% 5% 4% $ 17,941,500 Savings, Demand and Money-Market Accounts 50% 25% 4% $ 21,186,352 Certificates of Deposit 20% 10% 1% $ 3,675,000 Bankers Acceptances 10% 5% 0% $ - Repurchase Agreements 10% 5% 0% $ - Reverse Repurchase Agreements 10% 5% 0% $ - OST Fund Pool ORS * 9% $ 47,670,913 Total 100% $ 508,521,730 * Current ORS Maximum: $ 47,390,998 Within Limits Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes** **ORS allows local governments to exceed the ORS limit during tax receipt periods. Name Par Amount Total Adjusted Cost Market Value Unrealized Gain/Loss Yield At Cost Eff Dur Bench Dur Multnomah County - Core Investment Fund $ 227,000,000 $ 227,264,534 $ 226,308,145 $ (956,389) Multnomah County CD Fund $ 3,675,000 $ 3,675,000 $ 3,675,000 $ Multnomah County Liquidity $ 278,857,265 $ 278,642,298 $ 278,538,585 $ (103,713) TOTAL PORTFOLIO $ 509,532,265 $ 509,581,832 $ 508,521,730 $ (1,060,101)

6 Account Summary Total Funds Multnomah County 3/31/2017 Weighted Averages Book Yield 0.84 Maturity 0.74 Coupon 0.69 Moody Aa1 S&P AA+ Fixed Income Allocation Fixed Income Totals Par Value 509,532,265 Market Value 508,521, Amortized Book Value 509,581, Unrealized Gain/Loss -1,060, Estimated Annual Cash Flow 3,490, Security Type Market Value % Assets US Agency (USD) 227,361, Corporate (USD) 26,916, US Treasury (USD) 163,769, LGIP State Pool (USD) 47,670, Bank or Cash Deposit (USD) 24,861, Commercial Paper (USD) 17,941, Fixed Income Total 508,521,

7 Portfolio Summary March 31, 2017 Portfolio Par Total Original Total Adjusted Market Unrealized Yield Mod Eff Bench Name Amount Cost Cost Value Gain/Loss At Cost Dur Dur Dur Benchmark Multnomah County - Core Investment Fund 227,000, ,402, ,264, ,308, , BofA Merrill 0-3 Treasury Multnomah County CD Fund 3,675,000 3,675, ,675, ,675, Cash Multnomah County Liquidity 278,857, ,294, ,642, ,538, , Cash TOTAL PORTFOLIO 509,532, ,372, ,581, ,521, ,060,

8 Total Funds Multnomah County Accrual Earnings and Activity Report US Dollar 3/31/2017 Cost Basis Summary Accrual Earnings Summary Month End Ending 3/31/2017 Fiscal Year-to-Date 6/30/2016 Month End Ending 3/31/2017 Fiscal Year-to-Date 6/30/2016 Beginning Amortized Cost 558,752, ,643, Investment Purchases 245, ,494, Investment Maturities/Sells/Calls (25,490,000.00) (288,681,818.33) Amortization 67, , Change in Cash Equivalents (23,993,667.61) (39,076,553.87) Realized Gains / Losses , Ending Amortized Costs 509,581, ,581, Amortization/Accretion 67, , Interest Earned 306, ,938, Realized Gain (Loss) , Total Income 373, ,140, Average Portfolio Balance 531,784, ,024, Earnings Yield 0.83% 0.78% MarketValue Summary As of 3/31/2017 Ending Market Value 508,521, Unrealized Gain/Loss (1,060,101.21) Interest Earnings Summary Month End Ending 3/31/2017 Fiscal Year-to-Date 6/30/2016 Beginning Accrued Interest 638, , Coupons Paid 276, ,455, Purchased Accrued Interest 0.00 (247,658.26) Sold Accrued Interest 51, ,050, Ending Accrued Interest 617, , Interest Earned 306, ,938,

9 Total Funds Multnomah County Allocation by Industry Sector Activity Summary ( Gross of Fees ) Month To Date Performance Overview Quarter To Date Fiscal Year To Date Beginning Market Value 558,595, ,561, ,234,133 Net Additions -49,566,406-89,549,776 57,478,286 Ending Market Value 509,138, ,138, ,138,954 Total Return 109,965 1,127,077 1,426,535 Time Weighted Return /31/2017 Index ML 0-3 Year Treasury Index BofA Merrill 1 year Treasury Note ML 90 Day Bill Performance Summary Portfolio Total Funds Multnomah County Multnomah County - Core Investment Fund Multnomah County CD Fund Multnomah County Liquidity Market Value w/ Accrued Month To Date Quarter To Date Fiscal Year To Date 509,138, ,859, ,684, ,594,

10 Maturity & Ratings Summary Total Funds Multnomah County 3/31/2017 Distribution by Maturity Distribution by Maturity % FI Average Average Average Maturity Number Market Value Holdings YTM Coupon Duration Under 1 Mth 9 89,339, % Mth - 12 Mths ,602, % Mths - 24 Mths 9 75,028, % Mths - 36 Mths 7 79,551, % 2.3 Distribution by S&P Rating % FI Average Average Average S&P Rating Number Market Value Holdings YTM Coupon Duration AAA 2 14,916, % 2.1 AA ,306, % 0.9 AA- 1 2,000, % 0.0 A ,766, % 0.3 N/A 20 72,532, % 0.1 Distribution by Moody Rating % FI Average Average Average Moody Rating Number Market Value Holdings YTM Coupon Duration Aaa ,222, % 1.0 Aa1 1 10,000, % 0.1 A1 1 2,000, % 0.0 P ,766, % 0.3 N/A 20 72,532, % 0.1 7

11 Total Funds Multnomah County Allocation By Issuer 2/28/2017-3/31/2017 Portfolio Allocation as of 3/31/2017 Issuer Market Value % Assets Yield FEDERAL NATL MTG ASSN 73,718, US TREASURY 67,918, TOYOTA 17,941, FEDERAL HOME LOAN BANKS 98,977, FEDERAL FARM CR BKS 9,940, FEDERAL HOME LN MTG CORP 44,726, GENERAL ELEC CAP CORP 2,000, UNITED STATES TREAS NTS 95,851, US BANK 204, MICROSOFT 9,890, OREGON LGIP 47,670, JOHNSON & JOHNSON 5,025, ADVANTIS CU 245, MBANK 245, UMPQUA BANK 10,820, BANK OF AMERICA 7,355, APPLE INC. 10,000, WILLAMETTE COMMUNITY BANK 3,296, PREMIER COMMUNITY BANK 245, PACIFIC CONTINENTAL 245, ALBINA COMMUNITY BANK 245, THE BANK OF OSWEGO 245, UNITUS COMMUNITY CREDIT UNION 245, OREGON COMMUNITY CREDIT UNION 245, PACIFIC WEST BANK 245, RIVERMARK COMMUNITY CU 245, NORTHWEST COMMUNITY CU 245, WILLAMETTE VALLEY BANK 245,

12 Total Funds Multnomah County Allocation By Issuer 2/28/2017-3/31/2017 SUMMIT BANK 245, Total 508,521,

13 Portfolio Holdings by Maturity Total Funds Multnomah County March 31, 2017 Book Yield Dur Maturity Par Security Call Yield To Pct. To Eff Date Cusip Value Coupon Name Date Date Mat Assets Mat Dur S & P Moody SYS , MBANK N/A N/A SYS , PACIFIC CONTINENTAL BANK N/A N/A EV4 18,000, FEDL HOME LOAN BKS DISC NT A-1+ P SYSBADDA1 7,355, BANK OF AMERICA N/A N/A OSTFLGIP 47,670, OREGON SHORT TERM FUND POOL N/A N/A SYSSSBMM1 10,575, UMPQUA BANK N/A N/A SYSUSB , US BANK N/A N/A SYSWCBMM1 3,051, WILLAMETTE COMMUNITY BANK N/A N/A AM2 5,000, APPLE INC AA+ Aa AM2 5,000, APPLE INC AA+ Aa FM3 18,000, FEDK HOME LOAN BKS DISC NT A-1+ P G7J7 2,000, GENERAL ELEC CAP CORP MTN BE AA- A SYS , PREMIER COMMUNITY BANK N/A N/A JT7 50,000, UNITED STATES TREAS BILLS AA+ Aaa WP1 16,000, UNITED STATES TREAS NTS AA+ Aaa JX8 18,000, UNITED STATES TREAS BILLS AA+ Aaa GUD6 18,000, TOYOTA MOTOR CREDIT CORP A-1+ P SYS , THE BANK OF OSWEGO N/A N/A SYS , UNITUS COMMUNITY CREDIT UNION N/A N/A SYS , ALBINA COMMUNITY BANK N/A N/A G6AC7 5,000, FEDERAL HOME LN MTG CORP AA+ Aaa NR7 5,000, UNITED STATES TREAS NTS AA+ Aaa SYS , OREGON COMMUNITY CU N/A N/A SYS , WILLAMETTE COMMUNITY BANK N/A N/A SYS , PACIFIC WEST BANK N/A N/A A62S5 10,000, FEDERAL HOME LOAN BANKS AA+ Aaa A62S5 18,000, FEDERAL HOME LOAN BANKS AA+ Aaa SYS , ADVANTIS CREDIT UNION N/A N/A TM2 15,000, UNITED STATES TREAS NTS AA+ Aaa LR2 18,000, FEDERAL NATL MTG ASSN DISC NT A-1+ P SYS , WILLAMETTE VALLEY BANK N/A N/A G0ZL0 18,000, FEDERAL NATL MTG ASSN AA+ Aaa TS9 15,000, UNITED STATES TREAS NTS AA+ Aaa MW0 18,000, FEDERAL NATL MTG ASSN DISC NT A-1+ P TW0 10,000, UNITED STATES TREAS NTS AA+ Aaa SYS , SUMMIT BANK N/A N/A SYS , UMPQUA BANK N/A N/A SYS , RIVERMARK COMMUNITY CU N/A N/A K25 10,000, UNITED STATES TREAS NTS AA+ Aaa G0WJ8 10,000, FEDERAL NATL MTG ASSN AA+ Aaa VE7 10,000, UNITED STATES TREAS NTS AA+ Aaa 10

14 Portfolio Holdings by Maturity Total Funds Multnomah County March 31, 2017 Book Yield Dur Maturity Par Security Call Yield To Pct. To Eff Date Cusip Value Coupon Name Date Date Mat Assets Mat Dur S & P Moody G9G76 5,000, FEDERAL HOME LN MTG CORP AA+ Aaa S68 15,000, UNITED STATES TREAS NTS AA+ Aaa A8PK3 10,000, FEDERAL HOME LOAN BANKS AA+ Aaa SYS , NORTHWEST COMMUNITY CU N/A N/A BG8 5,000, JOHNSON&JOHNSON AAA Aaa M2 10,000, FEDERAL HOME LOAN BANKS AA+ Aaa G9AW7 10,000, FEDERAL HOME LN MTG CORP AA+ Aaa EF5X1 10,000, FEDERAL FARM CR BKS AA+ Aaa EE5 15,000, FEDERAL HOME LOAN BANKS AA+ Aaa EAEB1 15,000, FEDERAL HOME LN MTG CORP AA+ Aaa BN3 10,000, MICROSOFT CORP AAA Aaa G3X67 10,000, FEDERAL NATL MTG ASSN AA+ Aaa EAEE5 10,000, FEDERAL HOME LN MTG CORP AA+ Aaa TOTAL PORTFOLIO 509,532,

15 Account Summary Multnomah County - Core Investment Fund 3/31/2017 Weighted Averages Book Yield 0.96 Maturity 1.38 Coupon 1.02 Moody Aa1 S&P AA+ Fixed Income Allocation Fixed Income Totals Par Value 227,000,000 Market Value 226,308, Amortized Book Value 227,264, Unrealized Gain/Loss -956, Estimated Annual Cash Flow 2,308, Security Type Market Value % Assets US Agency (USD) 119,542, Corporate (USD) 26,916, US Treasury (USD) 79,848, Fixed Income Total 226,308,

16 Multnomah County - Core Investment Fund Accrual Earnings and Activity Report US Dollar 3/31/2017 Cost Basis Summary Accrual Earnings Summary Month End Ending 3/31/2017 Fiscal Year-to-Date 6/30/2016 Month End Ending 3/31/2017 Fiscal Year-to-Date 6/30/2016 Beginning Amortized Cost 237,277, ,452, Investment Purchases ,317, Investment Maturities/Sells/Calls (10,000,000.00) (103,431,723.13) Amortization (12,888.87) (127,015.10) Change in Cash Equivalents Realized Gains / Losses , Ending Amortized Costs 227,264, ,264, Amortization/Accretion (12,888.87) (127,015.10) Interest Earned 201, ,736, Realized Gain (Loss) , Total Income 189, ,662, Average Portfolio Balance 236,623, ,106, Earnings Yield 0.94% 0.95% MarketValue Summary As of 3/31/2017 Ending Market Value 226,308, Unrealized Gain/Loss (956,388.50) Interest Earnings Summary Month End Ending 3/31/2017 Fiscal Year-to-Date 6/30/2016 Beginning Accrued Interest 521, , Coupons Paid 121, ,428, Purchased Accrued Interest 0.00 (137,350.88) Sold Accrued Interest 50, , Ending Accrued Interest 551, , Interest Earned 201, ,736,

17 Multnomah County - Core Investment Fund Total Return For Period Since 2/28/2017 Beginning Principal Value 236,485, Beginning Accrued Interest 506, Net Contributions/Withdrawals -10,171, Market Value Change -177, Interest Earnings 215, Ending Principal Value 226,308, Accrued Interest 550, Total Return 38, Advisory Fees for Period -10, Portfolio Allocation as of 3/31/2017 Total Return Report Net of Accrued Fees US Dollar 2/28/2017-3/31/2017 Net Total Return 28, Issuer Market Value % Assets Yield FEDERAL NATL MTG ASSN 19,866, FEDERAL HOME LOAN BANKS 45,010, FEDERAL FARM CR BKS 9,940, FEDERAL HOME LN MTG CORP 44,726, GENERAL ELEC CAP CORP 2,000, UNITED STATES TREAS NTS 79,848, MICROSOFT 9,890, JOHNSON & JOHNSON 5,025, APPLE INC. 10,000, Total 226,308,

18 Historical Performance Multnomah County - Core Investment Fund Net of Allocated Accrued Fees US Dollar 3/31/2017 Performance History Portfolio Month To Date Quarter To Date Fiscal Year To Date Annualized Inception To Date Account Index ML 0-3 Year Treasury Index ML 6 month bill Time Weighted Return Inception (9/30/2014) to Date 15

19 Portfolio Holdings Multnomah County - Core Investment Fund March 31, 2017 Call Trade Amor Book Market Market Market Accrued Total Unrealized Pct. Dur Eff Cusip Quantity Security Date Date Price Yield Price Yield Value Interest Value Gain/Loss Assets Mat Dur US Treasury NR7 5,000,000 UNITED STATES TREAS NTS 2.375% Due TM2 15,000,000 UNITED STATES TREAS NTS 0.625% Due TS9 15,000,000 UNITED STATES TREAS NTS 0.625% Due TW0 10,000,000 UNITED STATES TREAS NTS 0.750% Due K25 10,000,000 UNITED STATES TREAS NTS 0.750% Due VE7 10,000,000 UNITED STATES TREAS NTS 1.000% Due S68 15,000,000 UNITED STATES TREAS NTS 0.750% Due ,025, , ,044, , ,984, , ,992, , ,978, ,978, , ,988, , ,019, , ,964, , ,998, , ,985, , ,019, , ,921, , ,939, , ,000, ,848, , ,993, , US Agency Bullet 3134G6AC7 5,000,000 FEDERAL HOME LN MTG CORP 0.850% Due A62S5 10,000,000 FEDERAL HOME LOAN BANKS 0.750% Due G0WJ8 10,000,000 FEDERAL NATL MTG ASSN 0.875% Due A8PK3 10,000,000 FEDERAL HOME LOAN BANKS 0.625% Due M2 10,000,000 FEDERAL HOME LOAN BANKS 1.500% Due ,001, , ,008, , ,993, , ,000, , ,965, , ,997, , ,924, , ,933, , ,026, , ,035, ,

20 Portfolio Holdings Multnomah County - Core Investment Fund March 31, 2017 Call Trade Amor Book Market Market Market Accrued Total Unrealized Pct. Dur Eff Cusip Quantity Security Date Date Price Yield Price Yield Value Interest Value Gain/Loss Assets Mat Dur 3133EF5X EE5 3137EAEB1 3137EAEE5 10,000,000 FEDERAL FARM CR ,940, , ,985, , BKS 1.100% Due ,000,000 FEDERAL HOME ,066, , ,138, , LOAN BANKS 1.625% Due ,000,000 FEDERAL HOME LN ,817, , ,843, , MTG CORP 0.875% Due ,000,000 FEDERAL HOME LN ,984, , ,014, , MTG CORP 1.500% Due ,000, ,719, , ,959, , US Agency Callable 3134G9G76 5,000,000 FEDERAL HOME LN MTG CORP 0.800% Due G9AW7 10,000,000 FEDERAL HOME LN MTG CORP 1.150% Due G3X67 10,000,000 FEDERAL NATL MTG ASSN 1.100% Due ,970, , ,980, , ,952, , ,002, , ,900, , ,911, , ,000, ,823, , ,894, , Corporate AM2 10,000,000 APPLE INC ,000, , ,042, % Due G7J7 2,000,000 GENERAL ELEC CAP ,000, , ,009, CORP MTN BE 1.250% Due BG8 5,000,000 JOHNSON&JOHNSON ,025, , ,051, , % Due BN3 10,000,000 MICROSOFT CORP ,890, , ,906, , % Due ,000, ,916, , ,011, , TOTAL 227,000, ,308, , ,858, ,

21 Transaction Summary Multnomah County - Core Investment Fund 3/1/2017-3/31/2017 Interest Trade Date Settle Date Symbol Security Amount 3/8/2017 3/8/ M2 FEDERAL HOME LOAN BANKS 75, % Due /31/2017 3/31/ TS9 UNITED STATES TREAS NTS 46, % Due /31/2017 3/31/ SM3 UNITED STATES TREAS NTS 50, % Due Total Interest 171,875 Maturities Adj Unit Adjusted Amort. or Unit Trade Date Settle Date Quantity Symbol Security Cost Total Cost Accretion Price Proceeds Gain/Loss 3/31/2017 3/31/ ,000, SM3 UNITED STATES TREAS NTS ,055,859-55, ,000, % Due Total Maturities 10,055,859-55,859 10,000,000 0 Expenses Trade Date Settle Date Symbol Security Amount 3/17/2017 3/17/2017 custfee CUSTODY FEE 710 3/31/2017 3/31/2017 manfee Management Fee 10,000 Total Expenses 10,710 Contributions Unit Trade Date Settle Date Quantity Symbol Security Price Amount 3/15/2017 3/15/2017 cash CASH ACCOUNT 710 Total Contributions 710 Withdrawals Unit Trade Date Settle Date Quantity Symbol Security Price Amount 3/8/2017 3/8/2017 cash CASH ACCOUNT 75,000 3/31/2017 3/31/2017 cash CASH ACCOUNT 10,096,875 Total Withdrawals 10,171,875 18

22 Account Summary Multnomah County Liquidity 3/31/2017 Weighted Averages Book Yield 0.75 Maturity 0.23 Coupon 0.42 Moody Aaa S&P AA+ Fixed Income Allocation Fixed Income Totals Par Value 278,857,265 Market Value 278,538, Amortized Book Value 278,642, Unrealized Gain/Loss -103, Estimated Annual Cash Flow 1,164, Security Type Market Value % Assets US Agency (USD) 107,818, US Treasury (USD) 83,920, LGIP State Pool (USD) 47,670, Bank or Cash Deposit (USD) 21,186, Commercial Paper (USD) 17,941, Fixed Income Total 278,538,

23 Multnomah County Liquidity Accrual Earnings and Activity Report US Dollar 3/31/2017 Cost Basis Summary Accrual Earnings Summary Month End Ending 3/31/2017 Fiscal Year-to-Date 6/30/2016 Month End Ending 3/31/2017 Fiscal Year-to-Date 6/30/2016 Beginning Amortized Cost 317,555, ,045, Investment Purchases ,237, Investment Maturities/Sells/Calls (15,000,000.00) (180,840,095.20) Amortization 80, , Change in Cash Equivalents (23,993,667.61) (39,076,553.87) Realized Gains / Losses 0.00 (10,559.82) Ending Amortized Costs 278,642, ,642, Amortization/Accretion 80, , Interest Earned 103, ,189, Realized Gain (Loss) 0.00 (10,559.82) Total Income 183, ,465, Average Portfolio Balance 291,327, ,644, Earnings Yield 0.74% 0.65% MarketValue Summary As of 3/31/2017 Ending Market Value 278,538, Unrealized Gain/Loss (103,712.70) Interest Earnings Summary Month End Ending 3/31/2017 Fiscal Year-to-Date 6/30/2016 Beginning Accrued Interest 107, , Coupons Paid 154, ,026, Purchased Accrued Interest 0.00 (110,307.38) Sold Accrued Interest , Ending Accrued Interest 55, , Interest Earned 103, ,189,

24 Portfolio Holdings Multnomah County Liquidity March 31, 2017 Call Trade Amor Book Market Market Market Accrued Total Unrealized Pct. Dur Eff Cusip Quantity Security Date Date Price Yield Price Yield Value Interest Value Gain/Loss Assets Mat Dur US Treasury WP1 16,000,000 UNITED STATES TREAS NTS 0.875% Due ,002, , ,043, , US Treasury Bill JT7 50,000,000 UNITED STATES TREAS BILLS 0.000% Due JX8 18,000,000 UNITED STATES TREAS BILLS 0.000% Due ,948, ,948, , ,969, ,969, , ,000, ,918, ,918, , US Agency Bullet 3130A62S5 18,000,000 FEDERAL HOME LOAN BANKS 0.750% Due G0ZL0 18,000,000 FEDERAL NATL MTG ASSN 1.000% Due ,988, , ,001, , ,004, , ,006, , ,000, ,993, , ,008, , Bank Deposit SYSBADDA1 7,355,095 BANK OF AMERICA ,355, ,355, % Due SYSSSBMM1 10,575,972 UMPQUA BANK ,575, ,575, % Due SYSUSB ,025 US BANK , , % Due SYSWCBMM1 3,051,259 WILLAMETTE ,051, ,051, COMMUNITY BANK 1.040% Due ,186, ,186, ,186, State Investment Pool OSTFLGIP7 47,670,913 OREGON SHORT TERM FUND POOL 1.300% Due ,670, ,670,

25 Portfolio Holdings Multnomah County Liquidity March 31, 2017 Call Trade Amor Book Market Market Market Accrued Total Unrealized Pct. Dur Eff Cusip Quantity Security Date Date Price Yield Price Yield Value Interest Value Gain/Loss Assets Mat Dur Commercial Paper 89233GUD6 18,000,000 TOYOTA MOTOR CREDIT CORP 0.000% Due ,941, ,941, , US Agency Discount Notes EV4 18,000,000 FEDL HOME LOAN BKS DISC NT 0.000% Due FM3 18,000,000 FEDK HOME LOAN BKS DISC NT 0.000% Due LR2 18,000,000 FEDERAL NATL MTG ASSN DISC NT 0.000% Due MW0 18,000,000 FEDERAL NATL MTG ASSN DISC NT 0.000% Due ,992, ,992, , ,985, ,985, , ,930, ,930, , ,916, ,916, , ,000, ,825, ,825, , TOTAL 278,857, ,538, , ,593, ,

26 Transaction Summary Multnomah County Liquidity 3/1/2017-3/31/2017 Interest Trade Date Settle Date Symbol Security Amount 3/27/2017 3/27/ G0ZL0 FEDERAL NATL MTG ASSN 90, % Due /31/2017 3/31/2017 OSTFLGIP OREGON SHORT TERM FUND POOL 57, % Due /31/2017 3/31/2017 SYSSSBMM1 UMPQUA BANK 4, % Due /31/2017 3/31/2017 SYSWCBMM1 WILLAMETTE COMMUNITY BANK 2, % Due Total Interest 154,834 Maturities Adj Unit Adjusted Amort. or Unit Trade Date Settle Date Quantity Symbol Security Cost Total Cost Accretion Price Proceeds Gain/Loss 3/9/2017 3/9/ ,000, KM0 UNITED STATES TREAS BILLS ,985,060 14, ,000, % Due Total Maturities 14,985,060 14,940 15,000,000 0 Contributions Unit Trade Date Settle Date Quantity Symbol Security Price Amount 3/6/2017 3/6/2017 5,487,287 OSTFLGIP OREGON SHORT TERM FUND POOL ,487, % Due /7/2017 3/7/2017 5,280,040 SYSBADDA1 BANK OF AMERICA ,280, % Due /9/2017 3/9/ ,952,109 SYSBADDA1 BANK OF AMERICA ,952, % Due /16/2017 3/16/2017 8,263,940 OSTFLGIP OREGON SHORT TERM FUND POOL ,263, % Due /23/2017 3/23/ ,571 SYSBADDA1 BANK OF AMERICA , % Due /27/2017 3/27/2017 1,178,252 SYSBADDA1 BANK OF AMERICA ,178, % Due

27 Transaction Summary Multnomah County Liquidity 3/1/2017-3/31/2017 Contributions Unit Trade Date Settle Date Quantity Symbol Security Price Amount 3/28/2017 3/28/2017 3,605,293 OSTFLGIP OREGON SHORT TERM FUND POOL ,605, % Due /31/2017 3/31/2017 5,844,151 SYSBADDA1 BANK OF AMERICA ,844, % Due /31/2017 3/31/2017 4,831 SYSSSBMM1 UMPQUA BANK , % Due /31/2017 3/31/2017 2,482 SYSWCBMM1 WILLAMETTE COMMUNITY BANK , % Due Total Contributions 47,932,956 Withdrawals Unit Trade Date Settle Date Quantity Symbol Security Price Amount 3/1/2017 3/1/2017 3,350,732 SYSBADDA1 BANK OF AMERICA ,350, % Due /2/2017 3/2/2017 2,974,973 OSTFLGIP OREGON SHORT TERM FUND POOL ,974, % Due /3/2017 3/3/2017 1,438,665 SYSBADDA1 BANK OF AMERICA ,438, % Due /8/2017 3/8/2017 5,366,481 OSTFLGIP OREGON SHORT TERM FUND POOL ,366, % Due /9/2017 3/9/2017 cash CASH ACCOUNT 15,000,000 3/10/2017 3/10/ ,692,806 OSTFLGIP OREGON SHORT TERM FUND POOL ,692, % Due /13/2017 3/13/2017 6,264,621 SYSBADDA1 BANK OF AMERICA ,264, % Due /15/2017 3/15/ ,186,514 SYSBADDA1 BANK OF AMERICA ,186, % Due /16/2017 3/16/2017 2,724,524 SYSBADDA1 BANK OF AMERICA ,724, % Due /23/2017 3/23/2017 2,171,107 SYSBADDA1 BANK OF AMERICA ,171, % Due /27/2017 3/27/2017 cash CASH ACCOUNT 90,000 24

28 Transaction Summary Multnomah County Liquidity 3/1/2017-3/31/2017 Withdrawals Unit Trade Date Settle Date Quantity Symbol Security Price Amount 3/27/2017 3/27/2017 1,378,312 OSTFLGIP OREGON SHORT TERM FUND POOL ,378, % Due /31/2017 3/31/2017 5,377,835 OSTFLGIP OREGON SHORT TERM FUND POOL ,377, % Due /31/2017 3/31/ SYSUSB076 US BANK % Due Total Withdrawals 87,016,624 25

29 Account Summary Multnomah County CD Fund 3/31/2017 Weighted Averages Book Yield 0.47 Maturity 0.45 Coupon 0.47 Moody Not Rated S&P Not Rated Fixed Income Allocation Fixed Income Totals Par Value 3,675,000 Market Value 3,675, Amortized Book Value 3,675, Unrealized Gain/Loss 0.00 Estimated Annual Cash Flow 17, Security Type Market Value % Assets Bank or Cash Deposit (USD) 3,675, Fixed Income Total 3,675,

30 Portfolio Holdings Multnomah County CD Fund March 31, 2017 Call Trade Amor Book Market Market Market Accrued Total Unrealized Pct. Dur Eff Cusip Quantity Security Date Date Price Yield Price Yield Value Interest Value Gain/Loss Assets Mat Dur Certificate of Deposit SYS ,000 MBANK , , % Due SYS ,000 PACIFIC , , CONTINENTAL BANK 0.300% Due SYS ,000 PREMIER , , COMMUNITY BANK 0.350% Due SYS ,000 THE BANK OF , , , OSWEGO 0.650% Due SYS ,000 UNITUS COMMUNITY , , CREDIT UNION 0.400% Due SYS ,000 ALBINA COMMUNITY , , BANK 0.200% Due SYS ,000 OREGON , , COMMUNITY CU 0.450% Due SYS ,000 WILLAMETTE , , COMMUNITY BANK 0.200% Due SYS ,000 PACIFIC WEST BANK , , , % Due SYS ,000 ADVANTIS CREDIT , , UNION 0.450% Due SYS ,000 WILLAMETTE , , VALLEY BANK 0.450% Due SYS ,000 SUMMIT BANK , , % Due SYS ,000 UMPQUA BANK , , % Due SYS ,000 RIVERMARK , , COMMUNITY CU 0.600% Due

31 Portfolio Holdings Multnomah County CD Fund March 31, 2017 Call Trade Amor Book Market Market Market Accrued Total Unrealized Pct. Dur Eff Cusip Quantity Security Date Date Price Yield Price Yield Value Interest Value Gain/Loss Assets Mat Dur SYS ,000 NORTHWEST , , , COMMUNITY CU 0.946% Due ,675, ,675, , ,684, TOTAL 3,675, ,675, , ,684,

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