TABLE OF CONTENTS. Summary Portfolio Statistics Cash Flow Analysis Participant Cash Balances 06 Investment Fund Participants

Transcription

1 NOV 2018

2 TABLE OF CONTENTS Summary Portfolio Statistics Cash Flow Analysis Participant Cash Balances 06 Investment Fund Participants Asset Allocation Asset Credit Quality Appendix 09 - Investment Policy Compliance Report 10 - Investment Inventory Report 18 - Investment Transaction Report Note: The Information provided, including all charts, tables, graphs and numerical representations, are provided to readers solely as a general overview of the economic and market conditions which the Treasurer utilizes in making investment decisions. 2

3 SUMMARY PORTFOLIO STATISTICS County of San Diego Pooled Money Fund Accrued Unrealized Investment Type Par Value Book Value Market Value % of Portfolio Market Price WAM YTM Interest Gain/Loss Asset Backed Securities 245,977, ,588, ,078, ,152 (509,822) Bank Deposit 9,417,488 9,417,488 9,417, ,883 - Commercial Paper Disc 3,086,000,000 3,061,839,939 3,060,860, (979,939) Medium-Term Notes 25,000,000 24,784,868 24,785, , Federal Agency 2,309,547,000 2,308,898,379 2,267,476, ,634,759 (41,422,024) Money Market Accounts 93,100,000 93,100,000 93,100, ,381 - Negotiable CDs 2,230,000,000 2,230,000,000 2,229,404, ,197,583 (595,800) Supranationals 681,850, ,208, ,918, ,654,470 (9,289,913) Treasury Coupon Securities 492,000, ,519, ,733, ,614,816 (7,786,259) Totals for November ,172,892,159 9,147,357,262 9,086,774, ,522,180 (60,582,875) Totals for October ,305,204,945 8,285,953,085 8,217,317, ,377,890 (68,635,430) Change from Prior Month 867,687, ,404, ,456, (25) 0.13 (2,855,710) 8,052,555 Portfolio Effective Duration 0.84 years Monthly Fiscal Year To Calendar Year Return Information Return Annualized Date Return Annualized To Date Return Book Value 0.179% 2.172% 0.856% 2.041% 1.721% Annualized 1.881% Notes Yield to maturity (YTM) is the estimated rate of return on a bond given its purchase price, assuming all coupon payments are made on a timely basis and reinvested at this same rate of return to the maturity date. Weighted Average Maturity (WAM) is average time it takes for securities in a portfolio to mature, weighted in proportion to the dollar amount that is invested in the portfolio. Yields for the portfolio are aggregated based on the book value of each security. Monthly Investment Returns are reported gross of fees. Administration fees since fiscal year have averaged approximately 7 basis points per annum. *All Investments held during the month of November 2018 were in compliance with the Investment Policy dated January 1,

4 PROJECTED LIQUIDITY County of San Diego Pooled Money Fund ($000) Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Beginning Pool Book Balance 9,172,892 10,178,832 9,303,921 8,834,726 8,700,776 9,752,776 CASH FLOW ITEMS INFLOWS: Investment Inflows 1,454, , , , , ,000 Projected Credits/Deposits 2,534, , ,385 1,075,050 2,258, ,234 3,989,035 1,684,504 1,447,520 1,645,050 2,573,700 1,367,234 Outflows Investment Purchases 1,827, Projected Debits 1,528,845 1,659,415 1,269,580 1,209,000 1,206,700 1,671,952 3,356,000 1,659,415 1,269,580 1,209,000 1,206,700 1,671,952 Net Cash Flows 1,005,940 (874,911) (469,195) (133,950) 1,052,000 (914,719) MONTH END POOL BALANCE 10,178,832 9,303,921 8,834,726 8,700,776 9,752,776 8,838,057 PROJECTED MONTH END LIQUIDITY $ 962,326 $ 987,415 $ 1,165,355 $ 1,601,405 $ 2,968,405 $ 2,663,686 Note: The above is not meant to be a complete Cash Flow Statement. The data represents a subset of the main cash flow items and does not include accrued interest or other adjustment items. The projected cash flows indicate sufficient liquidity to meet all scheduled expenditures for the next 6 months. 4

5 PARTICIPANT CASH BALANCES County of San Diego Pooled Money Fund ($000) FMV FMV FMV % of FMV FMV FMV % of PARTICIPANT 09/30/18 10/31/18 11/30/18 Total PARTICIPANT 09/30/18 10/31/18 11/30/18 Total COUNTY $ 792,151 $ 934,779 $ 2,091, % Lakeside FPD 6,775 6,417 6, % COUNTY - SPECIAL TRUST FUNDS 2,135,417 2,150,144 2,133, % Leucadia Wastewater District 4,714 4,701 4, % NON-COUNTY INVESTMENT FUNDS 123, , , % Lower Sweetwater FPD % SCHOOLS - (K THRU 12) 3,502,188 3,434,463 3,203, % Metropolitan Transit System 58,621 59,182 59, % Mission Resource Conservation District % COMMUNITY COLLEGES North County Cemetery District 4,905 4,728 4, % San Diego 157, , , % North County Dispatch 1,338 2,081 2, % Grossmont-Cuyamaca 186, , , % North County FPD 2,344 2,912 2, % MiraCosta 113, ,823 95, % Otay Water District % Palomar 251, , , % Pomerado Cemetery District 1,778 1,734 1, % Southwestern 224, , , % Public Agencies Self-Insurance System 3,429 3,417 3, % Total Community Colleges 933, , , % Ramona Cemetery District % Rancho Santa Fe FPD 11,064 10,883 9, % FIRST 5 COMMISSION 32,938 32,654 34, % Rincon del Diablo Municipal Water District 3,581 3,569 3, % SANCAL 7,220 1,495 1, % SANDAG 84,729 80,173 80, % SDCERA , % SD County Regional Airport Authority 233, , , % San Diego Housing Commission 20,936 20,862 20, % CITIES San Diego Geographic Information Source % Chula Vista 100,047 76,997 75, % San Diego Law Library 3,514 3,606 3, % Coronado 34,035 33,914 33, % San Diego Local Agency Formation Comm 1,945 1,875 1, % Del Mar 2,620 2,610 2, % San Diego Regional Training Center % Encinitas 3,973 3,959 3, % San Dieguito River Park 1,534 1,624 1, % National City 8,204 8,175 8, % San Marcos FPD % 0.09% San Miguel Consolidated FPD 9,030 8,830 9, % INDEPENDENT AGENCIES Santa Fe Irrigation District 4,262 4,247 4, % Alpine FPD % Serra Cooperative Library System % Bonita-Sunnyside FPD 5,076 4,904 4, % Upper San Luis Rey Resource Conserv Dist % Borrego Springs FPD % Vallecitos Water District 5,235 5,217 5, % Canebrake County Water District % Valley Center FPD 2,246 2,072 1, % Deer Springs FPD 10,502 10,091 10, % Valley Center Cemetery District % Fallbrook Public Utility District % Valley Center Water District 23,250 23,535 22, % Grossmont Healthcare District % Vista FPD 2,728 2,740 2, % Julian-Cuyamaca FPD % Total Voluntary Participants 702, , , % Lake Cuyamaca Rec & Park District % Pooled Money Fund Total $ 8,189,773 $ 8,217,318 $ 9,086, % 0.07% 0.12% 5

6 INVESTMENT FUND PARTICIPANTS San Diego Pooled Money Fund Non County Funds 1.58% Voluntary Depositors 7.48% County Funds 46.50% Schools 35.25% Community Colleges 9.19% *Totals may not add to 100% due to rounding 6

7 INVESTMENT FUND OVERVIEW Asset Allocation Credit Quality U.S. Treasury Notes 5.38% Supranational 7.45% Negotiable CD's 24.38% Money Market Funds 1.02% Asset Backed Securities 2.68% Federal Agencies 25.24% AAA 41.49% F % Commercial Paper 33.47% Bank Deposits 0.10% Medium- Term Notes 0.27% AA- 0.27% F % *Totals may not add to 100% due to rounding 7

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9 Category Standard Comment Treasury Issues No Limit Complies - 5.4% Agency Issues 35% per issuer Complies Local Agency Obligations SP-1/"A" by S&P or MIG1/"A" by Moody's or F-1/"A" by Fitch minimum rating by 1 of 3 NRSROs; (ST ratings for 1 year or less; LT ratings for over 1 year) ; 30% maximum; 10% per issuer Complies Banker's Acceptance A-1 by S&P or P-1 by Moody's or F-1 by Fitch minimum rating by 1 of 3 NRSROs; 40% maximum; 5% per issuer; 180 days max maturity Complies Commercial Paper A-1/"A" by S&P or P-1/"A" by Moody's or F-1/"A" by Fitch minimum rating by 1 of 3 NRSROs; 40% maximum; 10% per issuer; 270 days max maturity Complies % Medium Term Notes A-1/"A" by S&P or P-1/"A" by Moody's or F-1/"A" by Fitch minimum rating by 1 of 3 NRSROs; (ST ratings for 1 year or less; LT ratings for over 1 year); 30% maximum; 5% per issuer Complies - 0.3% Negotiable Certificates of Deposit A-1/"A" by S&P or P-1/"A" by Moody's or F-1/"A" by Fitch minimum rating by 1 of 3 NRSROs; (ST ratings for 1 year or less; LT ratings for over 1 year); 30% maximum; 10% per issuer; 5 years maximum maturity for NCDs; 13 months Complies % max maturity for FDIC insured Repurchase Agreements 40% maximum; 10% per issuer if avg weighted maturity >5 days; 15% per issuer if avg weighted maturity <5 days; 1- year maximum maturity; Complies Reverse Repurchase Agreements 20% maximum combined with Securities Lending; 10% per issuer; 92-day maximum maturity N/A Collateralized Certificates of Deposit A-1 by S&P or P-1 by Moody's, or F-1 by Fitch minimum rating; 5%maximum; 5% per issuer; 13 months maximum maturity; 110% collateral required Complies FDIC & NCUA Insured Deposit 5%maximum; 5% per issuer; 13 months maximum maturity; No minimum credit requirement for FDIC or NCUA insured deposit accounts Complies - 0.0% Covered Call Option/ Put Option 10% maximum; 90-day maximum maturity N/A Money Market Mutual Funds AAAm by S&P, or Aaa-mf by Moody's, or AAAmmf by Fitch minimum rating by 1 of 3 NRSROs; 20% maximum; 10% per Complies - 1.0% fund Investment Trust of California - CalTRUST 2.5% maximum Complies Supranationals INVESTMENT POLICY COMPLIANCE REPORT County of San Diego Pooled Money Fund A-1/"AA" by S&P or P-1/"Aa" by Moody's, or F-1/"AA" by Fitch minimum rating by 1 of 3 NRSROs; 30% maximum; 10% per issuer; USD denominated senior unsecured unsubordinated obligations issued by IBRD, IFC, and IADB Complies - 7.4% Pass-Through Securities Non-mortgaged backed; "A" minimum rated issuer by 1 of 3 NRSROs; "AA" minimum rated by 1 of 3 NRSROs; 20% maximum; 5% per issuer Complies - 2.7% Maximum Maturity 5 years Complies Illiquidity Limitations 10% maximum for combined categories for Collateralized CDs and FDIC Insured Deposit Accounts Complies Maximum Issuer Exposure 10% per any single CP and CD issuer, and 5% per any single issuer for the other categories listed above (does not include US Government, repurchase agreements, supranationals, money market fund) Complies Maturity Policy - Portfolio Structure Minimum 25% 90 days; and minimum 50% 1 year; maximum effective duration for portfolio 1.5 years Complies Prohibited Securities Inverse floaters; Ranges notes, Interest-only strips from mortgaged backed securities; Zero interest accrual securities Complies Credit Rating Policy - monitoring ratings Overall credit rating of AAAf/S1, by Fitch; Investments rated below A-1 (short term) or below the "A" category (long term), at the time of purchase, are prohibited in this policy Complies Securities Lending 92-day maximum maturity; 10% per counterparty; 20% maximum combined with Reverse Repurchase Agreements N/A *Complied at time of purchase 9

10 Issuer INVESTMENT INVENTORY - MARKET VALUE County of San Diego Pooled Money Fund Purchase Date Par Value Book Value Market Value Coupon YTM Maturity Date Accrued Interest Unrealized Gain/Loss Asset Backed Securities John Deere Owner Trust 07/25/ ,448, ,448, ,432, /15/ , (15,771.68) Honda Auto Rec Owner Trust 06/27/2017 4,412, ,412, ,407, /15/2019 6, (4,299.48) Honda Auto Rec Owner Trust 09/29/2017 4,611, ,611, ,599, /21/2020 2, (11,856.15) USAA Auto Owner Trust 09/20/2017 2,787, ,787, ,784, /18/2020 2, (2,857.93) Honda Auto Rec Owner Trust 05/30/2016 2,955, ,955, ,942, /15/2020 1, (12,661.82) Honda Auto Rec Owner Trust 12/22/2016 7,950, ,923, ,916, /15/2020 4, (6,884.41) John Deere Owner Trust 07/18/2017 2,879, ,878, ,872, /15/2020 2, (6,508.79) Honda Auto Rec Owner Trust 12/10/2016 1,401, ,394, ,393, /18/ (1,622.60) Toyota Auto Receivables 01/31/ ,436, ,435, ,362, /15/ , (72,704.08) Honda Auto Rec Owner Trust 10/25/2016 8,250, ,250, ,176, /18/2020 3, (73,924.25) Honda Auto Rec Owner Trust 05/30/ ,000, ,999, ,946, /18/ , (53,790.00) Honda Auto Rec Owner Trust 08/28/ ,000, ,999, ,896, /22/ , (102,840.00) JP Morgan 11/07/ ,000, ,998, ,000, /15/ , , Toyota Auto Receivables 11/30/2018 5,500, ,408, ,413, /18/ , American Express Credit Accoun 04/16/2018 7,478, ,370, ,375, /15/2022 6, , American Express Credit Accoun 07/25/2018 5,765, ,681, ,685, /15/2022 4, , American Express Credit Accoun 08/03/2018 2,100, ,068, ,071, /15/2022 1, , American Express Credit Accoun 03/21/ ,000, ,997, ,883, /17/ , (113,781.00) American Express Credit Accoun 04/20/ ,000, ,971, ,898, /17/ , (72,355.75) JP Morgan 11/07/ ,000, ,996, ,018, /15/ , , Asset Backed Securities Subtotal: 245,977, ,588, ,078, , (509,821.83) Bank Deposit Wells Fargo Bank NA 07/01/2017 9,417, ,417, ,417, , Bank Deposit Subtotal: 9,417, ,417, ,417, , Commercial Paper BNP Paribas NY 11/30/ ,000, ,975, ,962, /03/ (13,777.78) MUFG Bank NY 11/20/ ,000, ,995, ,993, /03/ (1,925.00) MUFG Bank NY 11/15/ ,000, ,988, ,988, /12/ (706.67) MUFG Bank NY 11/20/ ,000, ,954, ,951, /12/ (3,466.67) ING (US) Funding LLC 06/22/ ,000, ,973, ,972, /14/ (1,083.33) ING (US) Funding LLC 06/22/ ,000, ,978, ,977, /14/ (993.06) MUFG Bank NY 10/26/ ,000, ,973, ,973, /17/ (666.67) MUFG Bank NY 09/27/ ,000, ,702, ,688, /24/ (14,277.78) MUFG Bank NY 10/01/ ,000, ,955, ,954, /28/ (1,750.00) ING (US) Funding LLC 07/10/ ,000, ,920, ,918, /31/ (2,000.00) MUFG Bank NY 09/24/ ,000, ,937, ,934, /02/ (3,866.67) MUFG Bank NY 09/26/ ,000, ,792, ,780, /02/ (12,888.89) Natixis US Finance Co. 11/20/ ,000, ,790, ,795, /02/ , Natixis US Finance Co. 11/20/ ,000, ,849, ,851, /08/ , Credit Agricole CIB 07/24/ ,000, ,923, ,924, /16/

11 INVESTMENT INVENTORY - MARKET VALUE County of San Diego Pooled Money Fund Issuer Purchase Date Par Value Book Value Market Value Coupon YTM Maturity Date Accrued Interest Unrealized Gain/Loss Natixis US Finance Co. 11/20/ ,000, ,784, ,784, /16/ (38.89) Toyota Motor Credit Corp 10/24/ ,000, ,892, ,891, /16/ (1,069.44) Toyota Motor Credit Corp 10/24/ ,000, ,953, ,953, /16/ (458.33) Toyota Motor Credit Corp 07/26/ ,000, ,911, ,909, /23/ (2,048.61) Credit Agricole CIB 07/24/ ,000, ,908, ,908, /25/ (83.33) Toyota Motor Credit Corp 07/24/ ,000, ,908, ,905, /25/ (2,833.33) MUFG Bank NY 11/20/ ,000, ,677, ,669, /31/ (7,958.33) Credit Agricole CIB 07/17/ ,000, ,722, ,711, /08/ (11,450.00) Credit Agricole CIB 07/25/ ,000, ,876, ,871, /12/ (5,305.55) Credit Agricole CIB 07/17/ ,000, ,747, ,732, /14/ (15,416.67) Toyota Motor Credit Corp 05/30/ ,000, ,808, ,785, /22/ (23,654.17) Toyota Motor Credit Corp 07/25/ ,000, ,859, ,846, /22/ (12,861.11) Toyota Motor Credit Corp 10/24/ ,000, ,819, ,807, /25/ (11,700.00) JP Morgan 08/02/ ,000, ,505, ,466, /28/ (39,155.55) JP Morgan 08/02/ ,000, ,814, ,799, /28/ (14,683.33) JP Morgan 08/03/ ,000, ,876, ,866, /28/ (9,788.89) Toyota Motor Credit Corp 10/25/ ,000, ,841, ,830, /01/ (10,500.00) ING (US) Funding LLC 10/22/ ,000, ,701, ,681, /04/ (19,837.50) JP Morgan 08/06/ ,000, ,776, ,755, /04/ (20,970.83) Credit Agricole CIB 09/14/ ,000, ,900, ,890, /08/ (10,929.17) Credit Agricole CIB 09/14/ ,000, ,768, ,743, /08/ (25,501.39) ING (US) Funding LLC 06/22/ ,000, ,828, ,815, /08/ (13,402.78) ING (US) Funding LLC 07/06/ ,000, ,829, ,815, /08/ (14,076.39) Toyota Motor Credit Corp 09/11/ ,000, ,831, ,811, /11/ (20,000.00) Cooperatieve Rabobank 09/04/ ,000, ,718, ,695, /29/ (22,856.95) JP Morgan 09/04/ ,000, ,590, ,553, /29/ (37,277.78) ING (US) Funding LLC 07/06/ ,000, ,652, ,627, /02/ (25,777.78) Canadian Imperial Holding 08/29/ ,000, ,737, ,712, /01/ (25,347.22) Canadian Imperial Holding 10/19/ ,000, ,713, ,712, /01/ (1,229.16) Cooperatieve Rabobank 10/29/ ,000, ,846, ,846, /01/ (527.77) JP Morgan 08/24/ ,000, ,465, ,414, /01/ (50,708.33) JP Morgan 08/27/ ,000, ,679, ,648, /01/ (30,425.00) Canadian Imperial Holding 08/17/ ,000, ,779, ,757, /08/ (22,277.78) JP Morgan 10/26/ ,000, ,291, ,274, /31/ (16,583.33) Toyota Motor Credit Corp 11/27/ ,000, ,298, ,293, /31/ (5,625.00) Toyota Motor Credit Corp 11/28/ ,000, ,648, ,646, /31/ (1,555.55) Canadian Imperial Holding 09/27/ ,000, ,333, ,274, /03/ (59,000.00) Cooperatieve Rabobank 09/27/ ,000, ,666, ,550, /03/ (116,000.00) Credit Agricole CIB 11/16/ ,000, ,751, ,745, /28/ (6,062.50) Credit Agricole CIB 11/26/ ,000, ,172, ,152, /28/ (20,208.34) JP Morgan 10/26/ ,000, ,166, ,148, /28/ (18,402.78) BNP Paribas NY 10/29/ ,000, ,351, ,280, /01/ (71,111.11) ING (US) Funding LLC 11/28/ ,000, ,728, ,698, /01/ (29,250.00) 11

12 INVESTMENT INVENTORY - MARKET VALUE County of San Diego Pooled Money Fund Issuer Purchase Date Par Value Book Value Market Value Coupon YTM Maturity Date Accrued Interest Unrealized Gain/Loss JP Morgan 10/31/ ,000, ,827, ,827, /01/ (455.56) Credit Agricole CIB 11/29/ ,000, ,574, ,565, /03/ (9,972.22) ING (US) Funding LLC 11/28/ ,000, ,716, ,685, /03/ (30,750.00) ING (US) Funding LLC 11/13/ ,000, ,017, ,991, /01/ (26,875.00) JP Morgan 11/05/ ,000, ,987, ,990, /01/ , JP Morgan 11/06/ ,000, ,595, ,596, /01/ , JP Morgan 11/07/ ,000, ,785, ,788, /01/ , Credit Agricole CIB 11/29/ ,000, ,486, ,472, /13/ (13,958.34) Commercial Paper Subtotal: 3,086,000, ,061,839, ,060,860, (979,938.61) Medium-Term Notes US Bank NA Cincinnati 11/16/ ,000, ,784, ,785, /28/ , Medium-Term Notes Subtotal: 25,000, ,784, ,785, , Federal Agency Federal Home Loan Mtg Corp 06/14/ ,400, ,400, ,384, /14/ , (15,642.00) Federal Farm Credit Bank 12/07/ ,000, ,000, ,985, /07/ , (15,000.00) Federal Home Loan Mtg Corp 07/25/ ,000, ,000, ,950, /25/ , (49,750.00) Federal National Mtg Assn 03/22/ ,135, ,135, ,064, /26/ , (70,279.65) Federal National Mtg Assn 03/11/ ,000, ,000, ,920, /15/ , (80,000.00) Federal Farm Credit Bank 03/18/ ,000, ,000, ,912, /21/ , (88,000.00) Federal Farm Credit Bank 10/19/ ,000, ,000, ,878, /16/2019 9, (121,200.00) Federal Home Loan Mtg Corp 06/06/ ,000, ,000, ,831, /06/ , (168,750.00) Federal Home Loan Bank 06/22/ ,000, ,083, ,873, /14/ , (209,472.25) Federal National Mtg Assn 07/08/ ,000, ,042, ,903, /20/ , (138,751.05) Federal Home Loan Mtg Corp 07/26/ ,000, ,000, ,740, /26/ , (259,750.00) Federal Home Loan Mtg Corp 06/27/ ,000, ,055, ,766, /01/ , (289,583.48) Federal Home Loan Mtg Corp 08/23/ ,000, ,000, ,715, /23/ , (284,250.00) Federal Farm Credit Bank 08/26/ ,000, ,000, ,397, /26/ , (603,000.00) Federal Farm Credit Bank 12/06/ ,000, ,000, ,774, /06/ , (225,750.00) Federal National Mtg Assn 09/30/ ,000, ,994, ,580, /09/ , (413,907.55) Federal National Mtg Assn 09/13/ ,000, ,000, ,404, /13/ , (596,000.00) Federal Home Loan Mtg Corp 03/30/ ,000, ,000, ,715, /30/ , (284,500.00) Federal Home Loan Mtg Corp 11/21/ ,000, ,893, ,690, /02/ , (203,239.87) Federal National Mtg Assn 10/04/ ,000, ,000, ,683, /04/ , (316,500.00) Federal National Mtg Assn 10/28/ ,000, ,000, ,677, /28/ , (322,750.00) Federal Home Loan Bank 05/03/ ,000, ,989, ,804, /15/2019 9, (185,650.66) Federal Home Loan Bank 01/09/ ,000, ,152, ,910, /13/ , (242,389.99) Federal Home Loan Bank 05/03/ ,000, ,182, ,910, /13/ , (272,675.74) Federal Farm Credit Bank 12/27/ ,000, ,000, ,715, /27/ , (285,000.00) Federal National Mtg Assn 03/30/ ,000, ,000, ,629, /30/ , (370,250.00) Federal Home Loan Mtg Corp 07/28/ ,000, ,000, ,039, /28/ , (961,000.00) Federal Farm Credit Bank 02/27/ ,870, ,870, ,582, /27/ , (287,153.10) 12

13 INVESTMENT INVENTORY - MARKET VALUE County of San Diego Pooled Money Fund Issuer Purchase Date Par Value Book Value Market Value Coupon YTM Maturity Date Accrued Interest Unrealized Gain/Loss Federal Home Loan Mtg Corp 04/13/ ,000, ,000, ,672, /13/ , (327,250.00) Federal Home Loan Mtg Corp 04/13/ ,000, ,000, ,672, /13/ , (327,250.00) Federal Home Loan Mtg Corp 05/19/ ,000, ,926, ,509, /01/ , (416,518.52) Federal Home Loan Bank 11/28/ ,000, ,000, ,004, /28/2020 2, , Federal Farm Credit Bank 11/01/ ,000, ,000, ,322, /01/ , (677,270.00) Federal Farm Credit Bank 06/29/ ,000, ,000, ,461, /29/ , (538,250.00) Federal Home Loan Mtg Corp 07/05/ ,000, ,000, ,559, /29/ , (440,500.00) Federal Home Loan Mtg Corp 07/13/ ,000, ,000, ,670, /13/ , (329,200.00) Federal Home Loan Mtg Corp 07/13/2017 5,000, ,000, ,917, /13/ , (82,300.00) Federal Farm Credit Bank 07/25/ ,000, ,643, ,619, /28/ , (23,822.99) Federal Home Loan Mtg Corp 09/29/ ,000, ,989, ,500, /29/ , (488,587.96) Federal National Mtg Assn 11/03/ ,000, ,000, ,483, /30/ , (516,750.00) Federal Home Loan Mtg Corp 11/03/ ,000, ,000, ,782, /03/ , (217,300.00) Federal Home Loan Mtg Corp 11/03/ ,000, ,000, ,674, /03/ , (325,950.00) Federal Farm Credit Bank 11/09/ ,000, ,000, ,299, /09/ , (701,000.00) Federal National Mtg Assn 11/29/ ,000, ,990, ,538, /09/ , (451,622.64) Federal Home Loan Bank 11/13/2018 6,500, ,498, ,500, /13/2020 8, , Federal Home Loan Bank 11/30/ ,000, ,000, ,353, /25/ , (646,800.00) Federal Home Loan Bank 11/27/ ,000, ,000, ,013, /27/2020 8, , Federal Home Loan Mtg Corp 11/27/ ,000, ,000, ,682, /27/2020 3, (317,400.00) Federal Home Loan Mtg Corp 11/27/ ,000, ,000, ,471, /27/2020 5, (529,000.00) Federal Home Loan Mtg Corp 12/18/ ,000, ,000, ,722, /18/ , (277,950.00) Federal Home Loan Mtg Corp 04/20/2018 6,045, ,978, ,950, /26/ , (27,475.98) Federal National Mtg Assn 04/20/2018 4,910, ,855, ,833, /26/ , (22,660.83) Federal Home Loan Bank 04/30/ ,000, ,752, ,672, /29/ , (80,794.24) Federal Home Loan Bank 09/21/ ,000, ,060, ,219, /18/ , (841,353.64) Federal Home Loan Bank 02/14/ ,000, ,783, ,219, /18/ , (564,251.90) Federal Home Loan Bank 02/17/ ,000, ,000, ,434, /17/ , (565,250.00) Federal Home Loan Bank 10/30/ ,000, ,000, ,433, /30/ , (566,250.00) Federal National Mtg Assn 06/17/ ,000, ,004, ,449, /06/ , (554,750.82) Federal National Mtg Assn 09/21/ ,000, ,963, ,083, /06/ , (880,225.98) Federal Home Loan Mtg Corp 06/28/2017 7,900, ,900, ,731, /28/2021 1, (168,902.00) Federal Home Loan Bank 07/14/ ,000, ,244, ,608, /11/ , (635,705.67) Federal National Mtg Assn 06/28/ ,000, ,000, ,974, /28/ , (25,500.00) Federal National Mtg Assn 06/28/2018 6,985, ,985, ,973, /28/ , (11,874.50) Federal Home Loan Mtg Corp 07/12/ ,000, ,000, ,736, /12/ , (263,750.00) Federal Home Loan Bank 08/04/ ,000, ,921, ,514, /14/ , (1,407,152.19) Federal Home Loan Mtg Corp 07/20/ ,000, ,000, ,248, /20/ , (752,000.00) Federal National Mtg Assn 07/20/ ,500, ,500, ,055, /20/ , (444,860.00) Federal Home Loan Mtg Corp 07/27/ ,000, ,000, ,134, /27/ , (865,750.00) Federal National Mtg Assn 07/27/ ,000, ,000, ,709, /27/ , (290,750.00) Federal National Mtg Assn 07/27/ ,445, ,445, ,914, /27/ , (530,709.30) Federal Home Loan Mtg Corp 08/03/ ,000, ,000, ,647, /03/ , (352,750.00) 13

14 INVESTMENT INVENTORY - MARKET VALUE County of San Diego Pooled Money Fund Issuer Purchase Date Par Value Book Value Market Value Coupon YTM Maturity Date Accrued Interest Unrealized Gain/Loss Federal Home Loan Mtg Corp 10/05/ ,000, ,870, ,107, /12/ , (762,896.28) Federal National Mtg Assn 09/21/ ,000, ,902, ,552, /17/ , (1,349,723.67) Federal Home Loan Mtg Corp 09/07/ ,000, ,000, ,613, /07/ , (386,500.00) Federal Home Loan Bank 09/27/ ,000, ,000, ,298, /27/ , (701,750.00) Federal Home Loan Mtg Corp 09/30/ ,000, ,000, ,649, /30/ , (350,520.00) Federal Home Loan Mtg Corp 09/30/ ,000, ,000, ,641, /30/ , (359,000.00) Federal Farm Credit Bank 10/05/ ,000, ,000, ,492, /05/ , (507,800.00) Federal Home Loan Mtg Corp 10/07/ ,000, ,000, ,578, /07/ , (421,500.00) Federal National Mtg Assn 11/08/ ,000, ,933, ,551, /07/ , (1,382,620.29) Federal Home Loan Mtg Corp 10/28/ ,000, ,000, ,153, /28/ , (847,000.00) Federal Home Loan Bank 03/27/ ,000, ,176, ,432, /11/ , (744,433.86) Federal National Mtg Assn 09/26/ ,475, ,473, ,025, /27/ , (448,373.87) Federal Farm Credit Bank 07/25/ ,000, ,025, ,424, /09/ , (601,133.41) Federal Home Loan Mtg Corp 06/29/ ,000, ,997, ,545, /29/ , (452,116.67) Federal Home Loan Mtg Corp 07/12/ ,000, ,950, ,255, /12/ , (695,251.11) Federal Home Loan Mtg Corp 07/27/2017 6,132, ,132, ,981, /27/ , (150,601.92) Federal Farm Credit Bank 08/22/ ,250, ,248, ,636, /08/ , (611,661.52) Federal Home Loan Bank 08/10/ ,000, ,000, ,509, /10/ , (491,000.00) Federal Farm Credit Bank 08/29/ ,000, ,995, ,855, /23/ , (1,140,311.71) Federal Farm Credit Bank 09/12/ ,000, ,000, ,180, /12/ , (819,250.00) Federal Farm Credit Bank 10/11/ ,000, ,000, ,279, /11/ , (720,960.00) Federal Farm Credit Bank 10/17/ ,000, ,000, ,332, /17/ , (667,500.00) Federal Home Loan Bank 11/29/ ,000, ,951, ,162, /26/ , (788,798.10) Federal Home Loan Mtg Corp 10/30/ ,000, ,000, ,263, /26/ , (736,250.00) Federal Home Loan Mtg Corp 12/28/ ,000, ,000, ,746, /28/ , (254,000.00) Federal Home Loan Mtg Corp 05/30/ ,000, ,000, ,981, /24/2023 8, (18,900.00) Federal Farm Credit Bank 06/27/ ,000, ,000, ,886, /27/ , (113,100.00) Federal Home Loan Mtg Corp 06/28/ ,000, ,000, ,929, /28/ , (70,500.00) Federal Agency Subtotal: 2,309,547, ,308,898, ,267,476, ,634, (41,422,024.41) Money Market Accounts BlackRock FedFund 07/06/2018 1,000, ,000, ,000, , Fidelity Government Fund 06/21/ ,900, ,900, ,900, , Federated Government Fund 06/30/2016 1,200, ,200, ,200, , Morgan Stanley Govnt Fund 06/01/2015 2,000, ,000, ,000, , Money Market Accounts Subtotal: 93,100, ,100, ,100, , Negotiable CDs Westpac Bank NY 12/08/ ,000, ,000, ,997, /05/ , (2,500.00) Bank of Montreal 12/11/ ,000, ,000, ,997, /11/ , (2,750.00) Bank of Montreal 06/14/ ,000, ,000, ,005, /14/2018 1,147, , Bank of Montreal 03/15/ ,000, ,000, ,002, /14/ , , Bank of Nova Scotia 12/18/ ,000, ,000, ,996, /18/ , (3,250.00) 14

15 INVESTMENT INVENTORY - MARKET VALUE County of San Diego Pooled Money Fund Issuer Purchase Date Par Value Book Value Market Value Coupon YTM Maturity Date Accrued Interest Unrealized Gain/Loss Canadian Imp Bk Comm NY 06/27/ ,000, ,000, ,004, /28/ , , BNP Paribas SF 01/24/ ,000, ,000, ,989, /16/ , (11,000.00) Canadian Imp Bk Comm NY 04/24/ ,000, ,000, ,003, /16/ , , Royal Bk of Canada/Dain Rausch 01/29/ ,000, ,000, ,981, /16/ , (18,500.00) Toronto Dominion NY 09/24/ ,000, ,000, ,000, /16/ , Mizuho Bank LTD 10/29/ ,000, ,000, ,002, /25/ , , Canadian Imp Bk Comm NY 01/31/ ,000, ,000, ,988, /01/ , (12,000.00) Toronto Dominion NY 09/21/ ,000, ,000, ,993, /01/ , (6,400.00) BNP Paribas SF 02/06/ ,000, ,000, ,988, /04/ , (11,100.00) Cooperatieve Rabobank 09/13/ ,000, ,000, ,998, /13/ , (2,000.00) Toronto Dominion NY 08/16/ ,000, ,000, ,995, /15/ , (4,350.00) UBS AG Stamford 02/27/ ,000, ,000, ,972, /28/ , (27,500.00) Toronto Dominion NY 09/18/ ,000, ,000, ,988, /01/ , (11,100.00) Bank of Nova Scotia 03/19/ ,000, ,000, ,983, /15/2019 1,418, (16,500.00) Canadian Imp Bk Comm NY 09/17/ ,000, ,000, ,006, /29/ , , Canadian Imp Bk Comm NY 04/20/ ,000, ,000, ,013, /29/ , , Canadian Imp Bk Comm NY 06/27/ ,000, ,000, ,006, /29/ , , Royal Bk of Canada/Dain Rausch 09/07/ ,000, ,000, ,985, /29/ , (14,600.00) Canadian Imp Bk Comm NY 04/19/ ,000, ,000, ,009, /19/ , , Canadian Imp Bk Comm NY 04/26/ ,000, ,000, ,005, /25/ , , Bank of Montreal 10/01/ ,000, ,000, ,973, /29/ , (27,000.00) Bank of Montreal 05/01/ ,000, ,000, ,983, /30/ , (16,250.00) Royal Bk of Canada/Dain Rausch 04/24/ ,000, ,000, ,984, /30/ , (15,500.00) Bank of Montreal 05/02/ ,000, ,000, ,962, /01/ , (37,200.00) Toronto Dominion NY 10/16/ ,000, ,000, ,994, /01/ , (5,850.00) UBS AG Stamford 05/22/ ,000, ,000, ,981, /28/ , (18,250.00) Bank of Montreal 11/29/ ,000, ,000, ,999, /30/2019 3, (250.00) UBS AG Stamford 06/04/ ,000, ,000, ,970, /03/ , (29,750.00) Bank of Montreal 06/14/ ,000, ,000, ,954, /14/ , (46,000.00) Royal Bk of Canada/Dain Rausch 05/16/ ,000, ,000, ,002, /17/ , , Westpac Bank NY 06/22/ ,000, ,000, ,966, /26/ , (33,500.00) Bank of Nova Scotia 06/18/ ,000, ,000, ,973, /28/ , (26,250.00) Canadian Imp Bk Comm NY 06/27/ ,000, ,000, ,973, /28/ , (26,250.00) Toronto Dominion NY 11/14/ ,000, ,000, ,002, /28/ , , Toronto Dominion NY 11/15/ ,000, ,000, ,004, /28/ , , Toronto Dominion NY 11/20/ ,000, ,000, ,002, /28/ , , Toronto Dominion NY 11/20/ ,000, ,000, ,003, /01/ , , Bank of Nova Scotia 11/27/ ,000, ,000, ,991, /03/ , (9,000.00) Bank of Nova Scotia 07/02/ ,000, ,000, ,910, /03/ , (89,250.00) Royal Bk of Canada/Dain Rausch 11/28/ ,000, ,000, ,991, /03/ , (9,000.00) Royal Bk of Canada/Dain Rausch 11/29/ ,000, ,000, ,998, /03/2019 4, (1,500.00) Toronto Dominion NY 11/20/ ,000, ,000, ,003, /03/ , , Royal Bk of Canada/Dain Rausch 07/17/ ,000, ,000, ,962, /12/ , (37,500.00) 15

16 INVESTMENT INVENTORY - MARKET VALUE County of San Diego Pooled Money Fund Issuer Purchase Date Par Value Book Value Market Value Coupon YTM Maturity Date Accrued Interest Unrealized Gain/Loss BNP Paribas SF 07/25/ ,000, ,000, ,970, /23/ , (30,000.00) Royal Bk of Canada/Dain Rausch 11/28/ ,000, ,000, ,003, /01/ , , Toronto Dominion NY 11/08/ ,000, ,000, ,007, /01/ , , Toronto Dominion NY 11/26/ ,000, ,000, ,000, /01/ , Canadian Imp Bk Comm NY 02/14/ ,000, ,000, ,960, /14/ , (39,500.00) BNP Paribas SF 08/16/ ,000, ,000, ,981, /16/ , (18,800.00) Toronto Dominion NY 09/27/ ,000, ,000, ,957, /27/ , (42,500.00) Bank of Nova Scotia 09/26/ ,000, ,000, ,955, /30/ , (44,500.00) Canadian Imp Bk Comm NY 10/19/ ,000, ,000, ,000, /18/ , Royal Bk of Canada/Dain Rausch 08/29/ ,000, ,000, ,044, /28/ , , Bank of Montreal 09/06/ ,000, ,000, ,019, /08/ , , Negotiable CDs Subtotal: 2,230,000, ,230,000, ,229,404, ,197, (595,800.00) Supranationals Intl Bank For Recon and Dev 08/22/ ,350, ,349, ,350, /03/ , Intl Bank For Recon and Dev 04/26/ ,000, ,000, ,864, /26/ , (135,250.00) Intl Bank For Recon and Dev 04/26/ ,000, ,000, ,864, /26/ , (135,250.00) Intl Bank For Recon and Dev 10/25/ ,000, ,960, ,864, /26/ , (96,219.27) Intl Bank For Recon and Dev 09/30/ ,000, ,000, ,665, /30/ , (334,750.00) Intl Bank For Recon and Dev 09/30/ ,000, ,000, ,665, /30/ , (334,750.00) Intl Bank For Recon and Dev 11/10/ ,000, ,000, ,633, /25/ , (366,500.00) Intl Bank For Recon and Dev 05/12/ ,000, ,883, ,486, /25/ , (396,232.50) Intl Bank For Recon and Dev 12/23/ ,000, ,857, ,588, /27/2019 2, (269,552.66) Intl Bank For Recon and Dev 01/04/ ,000, ,872, ,588, /27/2019 2, (284,095.16) Intl Bank For Recon and Dev 04/06/ ,000, ,075, ,664, /21/ , (410,934.93) Intl Bank For Recon and Dev 04/20/ ,000, ,109, ,664, /21/ , (445,120.72) Inter-American Development Bk 04/12/ ,000, ,944, ,129, /12/ , (814,879.73) Intl Bank For Recon and Dev 08/29/ ,000, ,998, ,672, /04/ , (326,062.26) Intl Bank For Recon and Dev 08/29/ ,000, ,995, ,234, /04/ , (760,811.94) Intl Bank For Recon and Dev 09/21/ ,000, ,979, ,453, /04/ , (525,509.17) Intl Bank For Recon and Dev 10/30/ ,000, ,000, ,698, /15/ , (302,000.00) Inter-American Development Bk 04/19/ ,000, ,825, ,331, /19/ , (494,222.22) International Finance Corp 07/20/ ,000, ,933, ,857, /20/ , (1,076,201.81) International Finance Corp 10/07/ ,500, ,425, ,928, /20/ , (496,481.14) Intl Bank For Recon and Dev 09/28/ ,000, ,997, ,024, /28/ , , Intl Bank For Recon and Dev 10/29/ ,000, ,000, ,031, /29/ , , Intl Bank For Recon and Dev 11/23/ ,000, ,000, ,640, /23/2021 8, (359,700.00) Intl Bank For Recon and Dev 09/29/ ,000, ,000, ,017, /29/ , (983,000.00) Supranationals Subtotal: 681,850, ,208, ,918, ,654, (9,289,913.41) Treasury Coupon Securities U.S. Treasury 02/20/ ,000, ,993, ,974, /31/ , (19,407.57) U.S. Treasury 04/17/ ,000, ,998, ,955, /31/ , (43,228.48) 16

17 INVESTMENT INVENTORY - MARKET VALUE County of San Diego Pooled Money Fund Issuer Purchase Date Par Value Book Value Market Value Coupon YTM Maturity Date Accrued Interest Unrealized Gain/Loss U.S. Treasury 02/14/ ,000, ,054, ,853, /30/ , (201,244.89) U.S. Treasury 06/16/ ,000, ,985, ,922, /31/ (63,494.53) U.S. Treasury 06/27/ ,000, ,091, ,870, /31/2019 1, (221,438.98) U.S. Treasury 11/08/ ,000, ,157, ,776, /30/ , (380,919.76) U.S. Treasury 07/15/ ,000, ,997, ,885, /15/ , (111,600.71) U.S. Treasury 08/21/ ,000, ,999, ,899, /31/ , (99,257.31) U.S. Treasury 12/09/ ,000, ,090, ,719, /31/ , (371,168.79) U.S. Treasury 09/15/ ,000, ,990, ,894, /31/ , (96,652.84) U.S. Treasury 10/24/ ,000, ,029, ,882, /30/ , (146,904.05) U.S. Treasury 12/08/ ,000, ,973, ,815, /30/ (157,653.81) U.S. Treasury 01/09/ ,000, ,019, ,818, /31/ , (200,756.66) U.S. Treasury 02/12/ ,000, ,075, ,682, /31/ , (392,766.12) U.S. Treasury 02/12/ ,000, ,075, ,656, /29/ , (419,319.07) U.S. Treasury 04/09/ ,000, ,988, ,812, /29/ , (175,363.76) U.S. Treasury 01/06/ ,000, ,960, ,629, /31/ , (331,144.21) U.S. Treasury 04/09/ ,000, ,970, ,784, /31/ , (186,134.59) U.S. Treasury 06/05/ ,000, ,969, ,712, /31/ (257,267.59) U.S. Treasury 07/06/ ,000, ,987, ,903, /30/ , (84,364.66) U.S. Treasury 01/06/ ,000, ,843, ,395, /31/ , (448,038.76) U.S. Treasury 06/17/ ,000, ,248, ,779, /31/2021 1, (1,468,934.33) U.S. Treasury 09/07/2016 5,000, ,998, ,791, /30/ , (206,924.56) U.S. Treasury 09/07/2016 5,000, ,141, ,925, /31/ , (216,479.01) U.S. Treasury 10/06/ ,000, ,912, ,856, /30/ , (1,055,839.03) U.S. Treasury 12/09/ ,000, ,966, ,536, /30/ (429,954.52) Treasury Coupon Securities Subtotal: 492,000, ,519, ,733, ,614, (7,786,258.59) Grand Total 9,172,892, ,147,357, ,086,774, ,522, (60,582,875.27) 17

18 TRANSACTION ACTIVITY REPORT Investment # Instrument Type Issuer Coupon Transaction Type Total Cash Transaction Date 3608 Money Market Funds Fidelity Government 2.11 Purchase -4,100, /01/ Bank Deposit Wells Fargo Bank NA 2.00 Redemption 173, /01/ Negotiable CD BNP Paribas SF 1.77 Redemption 50,000, /01/ Negotiable CD BNP Paribas SF 1.77 Redemption 25,000, /01/ Commercial Paper BNP Paribas NY 2.40 Redemption 30,000, /01/ Commercial Paper Natixis US Finance C 2.16 Redemption 50,000, /01/ Commercial Paper Natixis US Finance C 2.16 Redemption 150,000, /01/ Commercial Paper Natixis US Finance C 2.16 Purchase -239,985, /01/ Money Market Funds Fidelity Government 2.11 Redemption 20,800, /02/ Bank Deposit Wells Fargo Bank NA 2.00 Redemption 2,598, /02/ Commercial Paper Natixis US Finance C 2.16 Redemption 240,000, /02/ Commercial Paper Natixis US Finance C 2.16 Purchase -74,986, /02/ Commercial Paper Prudential Funding L 2.20 Purchase -124,977, /02/ Money Market Funds Fidelity Government 2.10 Purchase -12,000, /05/ Bank Deposit Wells Fargo Bank NA 2.00 Purchase -3,170, /05/ Negotiable CD Royal Bk of Canada/D 2.44 Redemption 20,000, /05/ Commercial Paper Natixis US Finance C 2.16 Redemption 75,000, /05/ Commercial Paper Prudential Funding L 2.20 Redemption 125,000, /05/ Commercial Paper Natixis US Finance C 2.16 Purchase -199,988, /05/ Commercial Paper JP Morgan 3.00 Purchase -48,879, /05/ Money Market Funds Fidelity Government 2.11 Redemption 14,000, /06/ Bank Deposit Wells Fargo Bank NA 2.00 Redemption 3,493, /06/ Commercial Paper Natixis US Finance C 2.16 Redemption 200,000, /06/ Commercial Paper Prudential Funding L 2.20 Purchase -199,987, /06/ Commercial Paper JP Morgan 3.00 Purchase -19,553, /06/ Money Market Funds Fidelity Government 2.11 Purchase -21,500, /07/ Bank Deposit Wells Fargo Bank NA 2.00 Purchase -1,433, /07/ Commercial Paper MUFG Bank NY 2.22 Redemption 70,000, /07/ Commercial Paper Prudential Funding L 2.20 Redemption 200,000, /07/ Commercial Paper Prudential Funding L 2.19 Purchase -99,993, /07/ Commercial Paper JP Morgan 3.00 Purchase -58,665, /07/ Commercial Paper BNP Paribas NY 2.17 Purchase -99,993, /07/ Asset Backed Securities JP Morgan 3.18 Purchase -14,996, /07/18 18

19 TRANSACTION ACTIVITY REPORT Investment # Instrument Type Issuer Coupon Transaction Type Total Cash Transaction Date 5143 Asset Backed Securities JP Morgan 2.98 Purchase -19,998, /07/ Money Market Funds Fidelity Government 2.11 Redemption 23,400, /08/ Bank Deposit Wells Fargo Bank NA 2.00 Redemption 568, /08/ Negotiable CD Royal Bk of Canada/D 2.44 Redemption 50,000, /08/ Commercial Paper Prudential Funding L 2.19 Redemption 100,000, /08/ Commercial Paper BNP Paribas NY 2.17 Redemption 100,000, /08/ Negotiable CD Toronto Dominion NY 3.01 Purchase -30,000, /08/ Commercial Paper Prudential Funding L 2.18 Purchase -149,990, /08/ Commercial Paper Cooperatieve Raboban 2.17 Purchase -49,996, /08/ Money Market Funds Fidelity Government 2.11 Purchase -19,500, /09/ Bank Deposit Wells Fargo Bank NA 2.00 Purchase -1,231, /09/ Commercial Paper Toyota Motor Credit 2.20 Redemption 25,000, /09/ Commercial Paper Prudential Funding L 2.18 Redemption 150,000, /09/ Commercial Paper Cooperatieve Raboban 2.17 Redemption 50,000, /09/ Commercial Paper Cooperatieve Raboban 2.17 Purchase -99,975, /09/ Commercial Paper Prudential Funding L 2.18 Purchase -99,975, /09/ Money Market Funds Fidelity Government 2.12 Redemption 20,100, /13/ Bank Deposit Wells Fargo Bank NA 2.00 Redemption 2,190, /13/ Commercial Paper Cooperatieve Raboban 2.17 Redemption 100,000, /13/ Commercial Paper Prudential Funding L 2.18 Redemption 100,000, /13/ Commercial Paper Cooperatieve Raboban 2.17 Purchase -154,990, /13/ Commercial Paper Prudential Funding L 2.18 Purchase -49,996, /13/ Commercial Paper ING (US) Funding LLC 2.91 Purchase -48,945, /13/ Federal Agencies Federal Home Loan Ba 2.58 Purchase -6,498, /13/ Bank Deposit Wells Fargo Bank NA 2.00 Purchase -995, /14/ Commercial Paper Cooperatieve Raboban 2.17 Redemption 155,000, /14/ Commercial Paper Prudential Funding L 2.18 Redemption 50,000, /14/ Commercial Paper Prudential Funding L 2.18 Purchase -99,993, /14/ Commercial Paper Cooperatieve Raboban 2.17 Purchase -104,993, /14/ Negotiable CD Toronto Dominion NY 2.94 Purchase -15,000, /14/ Asset Backed Securities Honda Auto Rec Owner 1.39 Redemption 493, /15/ Money Market Funds Fidelity Government 2.12 Purchase -13,700, /15/ Asset Backed Securities Honda Auto Rec Owner 1.39 Redemption 1,327, /15/18 19

20 TRANSACTION ACTIVITY REPORT Investment # Instrument Type Issuer Coupon Transaction Type Total Cash Transaction Date 4061 Asset Backed Securities John Deere Owner Tru 1.50 Redemption 785, /15/ Asset Backed Securities Honda Auto Rec Owner 1.46 Redemption 2,223, /15/ Asset Backed Securities John Deere Owner Tru 1.59 Redemption 712, /15/ Bank Deposit Wells Fargo Bank NA 2.00 Purchase -2,039, /15/ Asset Backed Securities USAA Auto Owner Trus 1.54 Redemption 1,641, /15/ Negotiable CD Toronto Dominion NY 1.78 Redemption 25,000, /15/ Asset Backed Securities Toyota Auto Receivab 2.10 Redemption 1,901, /15/ Asset Backed Securities John Deere Owner Tru 1.95 Redemption 5,412, /15/ Asset Backed Securities John Deere Owner Tru 2.53 Redemption 5,952, /15/ Commercial Paper Prudential Funding L 2.18 Redemption 100,000, /15/ Commercial Paper Cooperatieve Raboban 2.17 Redemption 105,000, /15/ Commercial Paper Prudential Funding L 2.18 Purchase -49,996, /15/ Commercial Paper MUFG Bank NY 2.31 Purchase -15,972, /15/ Commercial Paper Natixis US Finance C 2.18 Purchase -209,987, /15/ Negotiable CD Toronto Dominion NY 2.94 Purchase -30,000, /15/ Money Market Funds Fidelity Government 2.14 Purchase -8,400, /16/ Bank Deposit Wells Fargo Bank NA 2.00 Redemption 1,306, /16/ Commercial Paper Prudential Funding L 2.18 Redemption 50,000, /16/ Commercial Paper Natixis US Finance C 2.18 Redemption 210,000, /16/ Commercial Paper Credit Agricole CIB 2.85 Purchase -14,734, /16/ Commercial Paper Prudential Funding L 2.18 Purchase -49,990, /16/ Commercial Paper Cooperatieve Raboban 2.17 Purchase -159,971, /16/ Medium-Term Notes US Bank NA Cincinnat 2.13 Purchase -24,801, /16/ Money Market Funds Fidelity Government 2.14 Redemption 21,500, /19/ Asset Backed Securities Honda Auto Rec Owner 1.21 Redemption 752, /19/ Asset Backed Securities Honda Auto Rec Owner 1.16 Redemption 193, /19/ Bank Deposit Wells Fargo Bank NA 2.00 Redemption 1,058, /19/ Asset Backed Securities Honda Auto Rec Owner 1.57 Redemption 971, /19/ Commercial Paper Prudential Funding L 2.18 Redemption 50,000, /19/ Commercial Paper Cooperatieve Raboban 2.17 Redemption 160,000, /19/ Commercial Paper BNP Paribas NY 2.17 Purchase -239,985, /19/ Money Market Funds Fidelity Government 2.14 Redemption 4,000, /20/ Bank Deposit Wells Fargo Bank NA 2.00 Redemption 553, /20/18 20

21 TRANSACTION ACTIVITY REPORT Investment # Instrument Type Issuer Coupon Transaction Type Total Cash Transaction Date 4534 Negotiable CD Royal Bk of Canada/D 1.83 Redemption 4,000, /20/ Negotiable CD Royal Bk of Canada/D 1.83 Redemption 21,000, /20/ Commercial Paper BNP Paribas NY 2.17 Redemption 240,000, /20/ Commercial Paper Cooperatieve Raboban 2.18 Purchase -99,993, /20/ Commercial Paper Cooperatieve Raboban 2.18 Purchase -99,993, /20/ Commercial Paper Natixis US Finance C 2.37 Purchase -59,806, /20/ Commercial Paper Natixis US Finance C 2.36 Purchase -99,718, /20/ Commercial Paper Natixis US Finance C 2.41 Purchase -69,732, /20/ Commercial Paper MUFG Bank NY 2.25 Purchase -34,971, /20/ Commercial Paper MUFG Bank NY 2.28 Purchase -64,909, /20/ Commercial Paper MUFG Bank NY 2.54 Purchase -74,619, /20/ Negotiable CD Toronto Dominion NY 2.93 Purchase -50,000, /20/ Negotiable CD Toronto Dominion NY 2.93 Purchase -50,000, /20/ Negotiable CD Toronto Dominion NY 2.92 Purchase -50,000, /20/ Money Market Funds Fidelity Government 2.13 Purchase -16,700, /21/ Bank Deposit Wells Fargo Bank NA 2.00 Purchase -3,048, /21/ Commercial Paper Cooperatieve Raboban 2.18 Redemption 100,000, /21/ Commercial Paper Cooperatieve Raboban 2.18 Redemption 100,000, /21/ Commercial Paper Cooperatieve Raboban 2.18 Purchase -199,975, /21/ Federal Agencies Federal Home Loan Mt 1.05 Redemption 25,000, /23/ Bank Deposit Wells Fargo Bank NA 2.00 Purchase -19,670, /23/ Commercial Paper Cooperatieve Raboban 2.18 Redemption 200,000, /23/ Commercial Paper Cooperatieve Raboban 2.17 Purchase -274,950, /23/ Money Market Funds Fidelity Government 2.14 Purchase -12,000, /26/ Bank Deposit Wells Fargo Bank NA 2.00 Redemption 22,563, /26/ Commercial Paper Cooperatieve Raboban 2.17 Redemption 275,000, /26/ Commercial Paper Credit Agricole CIB 2.85 Purchase -49,152, /26/ Commercial Paper Cooperatieve Raboban 2.17 Purchase -199,987, /26/ Negotiable CD Toronto Dominion NY 2.97 Purchase -50,000, /26/ Federal Agencies Federal National Mtg 1.63 Redemption 30,000, /27/ Money Market Funds Fidelity Government 2.14 Redemption 3,200, /27/ Bank Deposit Wells Fargo Bank NA 2.00 Redemption 537, /27/ Commercial Paper Cooperatieve Raboban 2.17 Redemption 200,000, /27/18 21

22 TRANSACTION ACTIVITY REPORT Investment # Instrument Type Issuer Coupon Transaction Type Total Cash Transaction Date 5189 Commercial Paper Toyota Motor Credit 2.79 Purchase -49,283, /27/ Commercial Paper Cooperatieve Raboban 2.17 Purchase -199,987, /27/ Negotiable CD Bank of Nova Scotia 2.85 Purchase -50,000, /27/ Federal Agencies Federal Home Loan Ba 3.00 Purchase -25,000, /27/ Money Market Funds Fidelity Government 2.14 Purchase -8,900, /28/ Bank Deposit Wells Fargo Bank NA 2.00 Purchase -2,880, /28/ Negotiable CD Bank of Montreal 1.86 Redemption 25,000, /28/ Negotiable CD BNP Paribas SF 1.87 Redemption 25,000, /28/ Commercial Paper Cooperatieve Raboban 2.17 Redemption 200,000, /28/ Commercial Paper Cooperatieve Raboban 2.17 Purchase -199,987, /28/ Commercial Paper ING (US) Funding LLC 2.88 Purchase -73,698, /28/ Commercial Paper ING (US) Funding LLC 2.88 Purchase -73,710, /28/ Commercial Paper Toyota Motor Credit 2.80 Purchase -24,642, /28/ Negotiable CD Royal Bk of Canada/D 2.97 Purchase -75,000, /28/ Negotiable CD Royal Bk of Canada/D 2.92 Purchase -75,000, /28/ Federal Agencies Federal Home Loan Ba 3.00 Purchase -10,000, /28/ Money Market Funds Fidelity Government 2.14 Redemption 8,500, /29/ Bank Deposit Wells Fargo Bank NA 2.00 Redemption 3,263, /29/ Negotiable CD Westpac Bank NY 1.86 Redemption 50,000, /29/ Commercial Paper Cooperatieve Raboban 2.17 Redemption 200,000, /29/ Commercial Paper Cooperatieve Raboban 2.17 Purchase -199,987, /29/ Commercial Paper Credit Agricole CIB 2.90 Purchase -24,482, /29/ Commercial Paper Credit Agricole CIB 2.86 Purchase -24,571, /29/ Commercial Paper BNP Paribas NY 2.17 Purchase -24,998, /29/ Negotiable CD Bank of Montreal 2.85 Purchase -25,000, /29/ Negotiable CD Royal Bk of Canada/D 2.93 Purchase -25,000, /29/ U.S. Treasury Notes U.S. Treasury 1.25 Redemption 10,000, /30/ Money Market Funds Fidelity Government 2.14 Redemption 1,500, /30/ Bank Deposit Wells Fargo Bank NA 2.00 Purchase -9,094, /30/ Negotiable CD Royal Bk of Canada/D 1.80 Redemption 25,000, /30/ Negotiable CD Royal Bk of Canada/D 1.85 Redemption 75,000, /30/ Negotiable CD Bank of Nova Scotia 1.86 Redemption 25,000, /30/ Commercial Paper MUFG Bank NY 2.42 Redemption 50,000, /30/18 22

23 TRANSACTION ACTIVITY REPORT Investment # Instrument Type Issuer Coupon Transaction Type Total Cash Transaction Date 5028 Commercial Paper MUFG Bank NY 2.25 Redemption 28,000, /30/ Commercial Paper Cooperatieve Raboban 2.17 Redemption 200,000, /30/ Commercial Paper BNP Paribas NY 2.17 Redemption 25,000, /30/ Commercial Paper BNP Paribas NY 2.18 Purchase -199,963, /30/ Asset Backed Securities Toyota Auto Receivab 1.93 Purchase -5,416, /30/18 Grand Total -856,032,

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