City of Anaheim FINANCE DEPARTMENT

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1 City of Anaheim FINANCE DEPARTMENT CITY COUNCIL AGENDA REPORT DATE: JULY 25, 2017 FROM: FINANCE DEPARTMENT SUBJECT: INVESTMENT PORTFOLIO REPORT JUNE 2017 ATTACHMENT (Y/N): YES ITEM # RECOMMENDATION: That the City Council, by Motion, approve the Investment Portfolio Report for June DISCUSSION: This is the investment report for the City s general pool for the month ending June 30, The report is provided to ensure that the City Council is informed as to the investment activities and fulfills the reporting requirements of the City s adopted investment policy. INVESTMENT SUMMARY: The following table shows summary investment information for the month ending June 30, 2017: Short-term Portfolio Long-term Portfolio Total Portfolio Values Portfolio Balance (Market Value) $95,865,873 $422,600,730 $518,466,603 Effective Yield 1.03% 1.48% 1.40% Avg. Weighted Maturity 7 Days 2.16 Years 1.76 Years Net Earnings $77,699 $510,530 $588,229 Benchmark* 1.06% 1.39% 1.35% * Benchmark value is the Interpolated Treasury Yield to the Portfolio s Average Weighted Maturity INVESTMENT ACTIVITIES: 200 S. Anaheim Blvd. Suite #643 Anaheim, CA Tel: (714) Fax: (714) The City Treasurer s Investment Portfolio has a current credit rating of AAf from Standard and Poor s (S&P). This rating was effective August 8, 2011, as a result of the action of S&P downgrading the debt issues of the United States Treasury and Federal Agencies from a credit rating of AAA to AA+. The credit rating reflects the investment holdings of the City s Investment Portfolio (approximately 50% of funds in Federal Agency issues) and not the management of the investment fund.

2 CITY TREASURER S INVESTMENT REPORT JUNE 2017 July Page 2 of 2 This credit rating is for the City s investment portfolio and does NOT reflect the credit rating of the City s bond issues. On August 11, 2008, the City of Anaheim s Investment Policy was recognized and certified by the Association of Professional Treasurers of the United States and Canada (APT US&C) as meeting all standards and criteria established by the APT US&C. COMPLIANCE: All investment holdings are allowable and all investment transactions were executed in accordance with the California Government Code and the City s Investment Policy. There is sufficient liquidity to meet the City s anticipated expenditure requirements for the next six months. A complete listing of the City s portfolio holdings and investment activity for the month of June 2017 is included in the attached Monthly Investment Report. IMPACT ON BUDGET: There is no budgetary impact. Interest income is allocated in various funds based on the performance of the Investment Portfolio. Respectfully submitted, Deborah A. Moreno Finance Director/City Treasurer Attachment: 1. Monthly Investment Report June 2017

3 Client Management Team Rick Phillips President & Chief Investment Officer Tonya Dazzio Chief Operating & Compliance Officer Greg Balls Portfolio Manager & Analyst Christine Wilson Operations Analyst Monthly Investment Report City of Anaheim June 2017 Dan Rusk Portfolio Analyst Park Run Drive Suite 120 Summerlin, NV Phone

4 Portfolio Summary 6/30/2017 City of Anaheim SECTOR ALLOCATION MATURITY DISTRIBUTION CREDIT QUALITY (MOODY'S) Tsy 17.2% LAIF 15.2% MMF 0.2% CD 1.0% Agy 36.4% 50% 45% 40% 35% 30% 40.7% P-1 Aaa Aa1 Aa2 3.1% 1.3% 2.5% 59.4% 25% Aa3 2.9% CP 2.1% Per Book Value 20% 16.4% 17.6% A1 9.7% 13.9% 15% 11.4% A2 5.0% 10% A3 0.8% 5% NR-LAIF 15.2% Corp 27.8% 0% 0-1Y 1-2Y 2-3Y 3-4Y 4-5Y 0% 25% 50% 75% Per Book Value NR: Not Rated ACCOUNT SUMMARY MONTH-END PORTFOLIO BOOK YIELD TOP ISSUERS Market Value Book Value Variance Par Value Net Asset Value Book Yield Years to Maturity Effective Duration *Book Value is Amortized 6/30/17 5/31/17 $518,466,603 $508,878,705 $518,903,168 $508,620,758 -$436,565 $257,947 $519,232,413 $508,965,520 $ $ % 1.39% % 1.40% 1.35% 1.30% 1.25% 1.20% 1.15% 1.10% 1.05% Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Issuer U.S.Treasury LAIF FNMA FHLMC FFCB FHLB Microsoft Chevron Toyota Johnson & Johnson JP Morgan Securities Cisco Honda Apple Disney Per Book Value % Portfolio 17.2% 15.2% 13.9% 12.2% 6.4% 3.9% 3.7% 2.5% 2.1% 2.0% 1.9% 1.9% 1.6% 1.3% 1.2% 2

5 Investment Policy Compliance 6/30/2017 City of Anaheim Item / Sector Parameters In Compliance Weighted Average Maturity Weighted Average Maturity (WAM) must be less than 3 years Yes: 1.76 Yrs U.S. Treasuries No limit, maximum maturity 5 years, 30% single issue limit Yes: 17.2% U.S. Federal Agencies No limit, 40% issuer limit, 10% single issue limit, maximum maturity 5 years, 10% single issue limit Yes: 36.4% Local Agency Investment Fund $50 million, per account (City has two accounts) Yes: 15.2% Commercial Paper Corporate Bonds 25% limit, 5% per issuer, max maturity 270 days, rated A-1, P-1, or F1 by at least one NRSRO, issued by a domestic corporation; if company has long-term debt, needs to be rated AA (S&P), A2 (Moody's), or A (Fitch) by one 30% limit, 5% per issuer, maximum maturity 5 years, issued by domestic corporations or depositories, rated A (S&P), A2 (Moody's), or A (Fitch) by at least two Yes: Yes: 2.1% 27.8% Money Market Funds 20% limit, 10% issuer limit, rated AAA-m or Aaa-mf by at least two (S&P, Moody's, or Fitch) Yes: 0.2% Negotiable Certificates of Deposit 25% limit, 5% per issuer, maximum maturity 360 days, issued by banks, savings and loans, or state-licensed branch of a foreign bank Yes: 1.0% State of California Securities 20% limit, 5% per issuer, maximum maturity 5 years Yes: 0.0% Other Municipal Securities 10% limit, 5% per issuer, maximum maturity 5 years Yes: 0.0% Bankers' Acceptances 40% limit, 5% per issuer, maximum maturity 180 days Yes: 0.0% Issuer Concentration The aggregate issuer exposure to corporate bonds, commercial paper, negotiable CDs, and bankers' acceptances cannot exceed 5%. Yes Pool contains sufficient cash flow liquidity to meet the next six months of expected expenditures. Securities' market values are derived from the City's custodian. 3

6 Historical Market Values 6/30/2017 City of Anaheim $525 $500 $475 $450 $425 $400 $375 $350 Jul-12 Sep-12 Nov-12 Jan-13 Millions 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-17 May-17 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Average FY 2013 $385.4 $397.8 $368.2 $378.1 $371.4 $382.7 $396.9 $415.1 $412.6 $425.4 $438.4 $440.8 $401.1 FY 2014 $424.1 $433.1 $418.4 $413.0 $404.1 $419.7 $431.2 $432.5 $422.4 $426.7 $425.2 $426.0 $423.0 FY 2015 $383.8 $401.7 $374.4 $375.7 $368.8 $376.3 $402.6 $404.1 $409.3 $420.6 $435.6 $436.6 $399.1 FY 2016 $410.1 $405.7 $381.7 $401.9 $415.9 $426.1 $426.8 $452.2 $428.3 $464.4 $464.1 $466.1 $428.6 FY 2017 $465.9 $465.7 $466.2 $466.3 $465.0 $480.1 $520.5 $521.5 $506.7 $507.8 $508.9 $518.5 $491.1 Figures in Millions, Month End Market Value 4

7 Historical Market Values Per Fiscal Year 6/30/2017 City of Anaheim $550 FY 13 FY 14 FY 15 FY 16 FY 17 $525 $500 $475 Millions $450 $425 $400 $375 $350 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Average FY 2013 $385.4 $397.8 $368.2 $378.1 $371.4 $382.7 $396.9 $415.1 $412.6 $425.4 $438.4 $440.8 $401.1 FY 2014 $424.1 $433.1 $418.4 $413.0 $404.1 $419.7 $431.2 $432.5 $422.4 $426.7 $425.2 $426.0 $423.0 FY 2015 $383.8 $401.7 $374.4 $375.7 $368.8 $376.3 $402.6 $404.1 $409.3 $420.6 $435.6 $436.6 $399.1 FY 2016 $410.1 $405.7 $381.7 $401.9 $415.9 $426.1 $426.8 $452.2 $428.3 $464.4 $464.1 $466.1 $428.6 FY 2017 $465.9 $465.7 $466.2 $466.3 $465.0 $480.1 $520.5 $521.5 $506.7 $507.8 $508.9 $518.5 $491.1 Figures in Millions, Month End Market Value 5

8 Weighted Average Maturity and Portfolio Yield 6/30/2017 City of Anaheim 2.5 Weighted Average Maturity History Years Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 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 1-3Yr Agency Index (24 month moving avg) Portfolio Agy 1-3Yr 1.2 Percent Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 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 6

9 Purchase YTM Per 6-Month Maturity Intervals 6/30/2017 City of Anaheim Years Purchase Yield % of Portfolio* 0 to % 25.05%.5 to % 15.64% 3.0% 2.5% Bubble Size = Maturity's % of Portfolio 2.43% 1.0 to % 9.63% 1.5 to % 6.76% 2.0 to % 12.37% 2.5 to % 5.22% 3.0 to % 11.95% 3.5 to % 1.93% 4.0 to % 9.50% Purchase Yield 2.0% 1.5% 1.54% 1.96% 1.66% 1.80% 2.03% 4.5 to % 1.93% 1.23% 1.27% 1.12% *Based on Book Value 1.0% 1.05% 0.5% Maturity Intervals 7

10 Interest Rate Shock Analysis 6/30/2017 City of Anaheim Instantaneous Interest Rate Changes and Approximate Change in Portfolio's Market Value 2.00% 1.70% 1.50% 1.24% Percent Change in Portfolio Value 1.00% 0.50% % -0.50% -1.00% -1.50% 0.82% 0.39% % -0.44% -0.89% -1.30% -2.00% -100BP -75BP -50BP -25BP No Change +25BP +50BP +75BP +100BP Interest Rate Changes/Scenarios -1.71% Interest Rate Change Portfolio Value Value Change Percent Change -100 Basis Points $527,280,535 $8,813, % -75 Basis Points $524,900,774 $6,434, % -50 Basis Points $522,697,290 $4,230, % -25 Basis Points $520,493,807 $2,027, % No Change $518,466,603 $0 % +25 Basis Points $516,161,500 -$2,305, % +50 Basis Points $513,856,398 -$4,610, % +75 Basis Points $511,728,611 -$6,737, % +100 Basis Points $509,600,824 -$8,865, % 8

11 Next Twelve Months Maturities 6/30/2017 City of Anaheim $90 $84.9 $80 $70 $60 Millions $50 $40 $30 $24.1 $25.9 $21.6 $20 $10 $0 $11.0 $10.4 $12.3 $8.0 $5.0 $5.0 $3.0 $0.0 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Maturities Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 $84.9 $11.0 $0.0 $5.0 $24.1 $5.0 $25.9 $3.0 $21.6 $10.4 $12.3 $8.0 Par Value in Millions 9

12 Historical Sector Allocation 6/30/2017 City of Anaheim 50% 45% 40% 35% 30% 25% 20% 15% AGY TSY CP MMF LAIF CORP CDs 10% 5% 0% Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Sector Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Agency 46.9% 44.7% 44.7% 41.1% 41.1% 39.8% 38.6% 36.6% 37.7% 37.6% 35.2% 36.4% Treasury 10.8% 10.8% 10.8% 10.7% 10.7% 12.5% 15.3% 17.2% 17.7% 16.7% 17.6% 17.2% Commercial Paper 4.1% 4.1% 3.2% 3.2% 5.5% 5.8% 4.2% 4.2% 4.3% 4.3% 2.2% 2.1% Corporates 24.3% 24.2% 25.3% 26.3% 26.3% 24.4% 23.7% 24.7% 25.6% 26.5% 29.8% 27.8% Negotiable CDs 0.0% 2.2% 2.2% 2.1% 2.1% 2.1% 1.9% 1.0% 1.0% 1.0% 1.0% 1.0% MMF 0.2% 0.3% 0.2% 2.7% 0.5% 2.2% 0.1% 0.3% 0.2% 0.3% 0.7% 0.2% LAIF 13.7% 13.7% 13.7% 13.7% 13.7% 13.3% 16.1% 16.1% 13.6% 13.6% 13.6% 15.2% 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 Issuer Allocation 6/30/2017 City of Anaheim U.S.Treasury LAIF FNMA FHLMC FFCB FHLB Microsoft Chevron Toyota Johnson & Johnson JP Morgan Securities Cisco Honda Apple Disney Oracle 3M Company US Bank Wells Fargo Company Bank of Nova Scotia BB&T Corp Coca Cola Qualcomm Honeywell BMW John Deere PNC Bank Caterpillar Visa Fidelity Govt MMF Goldman Sachs Trsy MMF 2.5% 2.1% 2.0% 1.9% 1.9% 1.6% 1.3% 1.2% 1.0% 1.0% 1.0% 1.0% 1.0% 1.0% 1.0% 1.0% 1.0% 1.0% 1.0% 1.0% 0.8% 0.4% 0.1% 0.0% 3.9% 3.7% 6.4% 12.2% 13.9% 15.2% 17.2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 11

14 Purchase Yield and Weighted Avg Maturity 6/30/2017 City of Anaheim 2.00% Bubble Size = Percent of Portfolio 1.80% Corp 1.60% 1.40% CDs Tsy Book Yield 1.20% CP Agy 1.00% LAIF 0.80% MMF 0.60% 0.40% Weighted Average Maturity - Years 12

15 Historical Earnings and Book Rate of Return Performance 6/30/2017 City of Anaheim Thousands $7,000 $6,000 $5,000 $4,000 $3,000 $2,000 $1,000 FY 2013 FY 2014 FY 2015 FY 2016 FY 2017 Fiscal Year-to-Date Earnings $0 Fiscal YTD ($000s) FY 2013 FY 2014 FY 2015 FY 2016 FY % Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun $478.9 $949.9 $1,410.4 $1,850.4 $2,293.4 $2,735.0 $3,173.4 $3,565.4 $3,958.4 $4,325.0 $4,684.2 $5,052.5 $373.3 $744.0 $1,113.0 $1,481.3 $1,849.3 $2,206.4 $2,568.4 $2,921.8 $3,291.4 $3,667.5 $4,033.8 $4,400.3 $365.8 $728.5 $1,092.4 $1,439.4 $1,777.9 $2,105.2 $2,438.6 $2,777.2 $3,113.2 $3,450.8 $3,790.8 $4,133.8 $343.5 $683.2 $1,020.0 $1,339.4 $1,663.8 $1,991.8 $2,300.1 $2,660.1 $3,037.0 $3,424.2 $3,831.7 $4,212.2 $423.1 $851.3 $1,287.6 $1,721.6 $2,150.2 $2,587.9 $3,088.8 $3,604.4 $4,148.1 $4,698.1 $5,266.3 $5,854.6 Book Rate of Return vs Benchmark 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% Portfolio Benchmark 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 1.07% 1.08% 1.10% 1.10% 1.10% 1.10% 1.11% 1.13% 1.15% 1.16% 1.18% 1.20% Custom Benchmark* 0.65% 0.67% 0.67% 0.69% 0.72% 0.74% 0.77% 0.79% 0.82% 0.85% 0.88% 0.92% Variance 0.42% 0.42% 0.43% 0.41% 0.38% 0.36% 0.34% 0.34% 0.33% 0.31% 0.30% 0.28% *Benchmark: 24 month moving average 1-3Yr Treasury Index 13

16 Investment Activity 6/30/2017 City of Anaheim 80 Number of Positions at Month End Positions Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Positions Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun Number of Transactions Purchases and Redemptions* (Excluding LAIF & MMF) Purchases Redemptions 0 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 *Redemptions include maturities, calls, and sells (excluding paydowns) Purchases Redemptions Total Transactions Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun

17 City of Anaheim Portfolio Management Portfolio Summary June 30, 2017 Investments Par Value Market Value Book Value % of Portfolio Term Days to Maturity YTM 360 Equiv. YTM 365 Equiv. Treasury Securities - Coupon 90,000,00 89,519,70 89,450, ,312 1, Federal Agency Issues - Coupon 189,212,00 188,705, ,080, , Passbook/Checking Accounts 79,069, ,069, ,069, Money Market Mutual Fund 806, , , Medium Term Notes 144,145,00 144,375, ,507, , Negotiable CD's 5,000,00 5,001,30 5,000, Commercial Paper Disc. -Amortizing 11,000,00 10,989,16 10,988, Investments 519,232, ,466, ,903, % 1, Cash and Accrued Interest Accrued Interest at Purchase Subtotal Total Cash and Investments 519,232, , , ,521, , , ,958, , Total Earnings Current Year Average Daily Balance Effective Rate of Return June 30 Month Ending Fiscal Year To Date Fiscal Year Ending 588, ,854, ,854, ,412, ,313, % 1.20% Debbie Moreno, Finance Director Reporting period 06/01/ /30/2017 Portfolio CITY AP Run Date: 07/10/ :46 PM (PRF_PM1) Report Ver

18 City of Anaheim Portfolio Management Portfolio Details - Investments June 30, 2017 Page 1 CUSIP Investment # Treasury Securities - Coupon Issuer Average Balance Purchase Date Par Value Market Value Book Value Stated Rate Days to S&P Moody's Maturity XK U.S.Treasury 01/29/ ,000,00 9,956,30 9,989, AA+ Aaa /15/ K U.S.Treasury 02/04/ ,000,00 9,966,00 10,017, AA+ Aaa /15/ L U.S.Treasury 03/14/ ,000,00 9,942,20 9,982, AA+ Aaa /15/ D U.S.Treasury 12/27/ ,000,00 10,087,90 9,980, AA+ Aaa 1,522 08/31/ G U.S.Treasury 01/09/ ,000,00 10,025,80 9,986, AA+ Aaa 1,613 11/30/ L U.S.Treasury 01/12/ ,000,00 9,918,00 9,894, AA+ Aaa 1,218 10/31/ L U.S.Treasury 02/22/ ,000,00 9,929,70 9,910, AA+ Aaa 1,157 08/31/ T U.S.Treasury 05/02/ ,000,00 9,768,00 9,773, AA+ Aaa 1,583 10/31/ L U.S.Treasury 05/09/ ,000,00 9,925,80 9,913, AA+ Aaa 1,187 09/30/2020 Federal Agency Issues - Coupon Subtotal and Average 89,444, ,000,00 89,519,70 89,450, , ECE FFCB 01/30/2013 8,930,00 8,914, ,930, AA+ Aaa /30/ EEFE FFCB 12/18/2014 5,000,00 4,998,15 4,999, AA+ Aaa /18/ ECBY FFCB 01/16/2015 5,375,00 5,352, ,374, AA+ Aaa /26/ EFPR FFCB 11/19/2015 4,000,00 4,002,48 4,000, AA+ Aaa /19/ EFSG FFCB 12/14/2015 5,000,00 4,995,35 5,000, AA+ Aaa /14/ EGUY FFCB 09/26/2016 5,000,00 4,971,35 4,997, AA+ Aaa /20/ A FHLB 03/19/ ,000,00 10,010,00 10,007, AA+ Aaa /09/ QK FHLB 05/15/ ,000,00 10,076,80 10,050, AA+ Aaa /08/ EADP FHLMC 04/14/2014 1,600,00 1,595, ,595, AA+ Aaa /07/ EADP FHLMC 05/15/2014 5,000,00 4,987,05 4,987, AA+ Aaa /07/ EADN FHLMC 03/30/2015 7,000,00 6,983,76 6,993, AA+ Aaa /12/ EADM FHLMC 04/25/ ,000,00 9,945,00 10,022, AA+ Aaa /02/ EADK FHLMC 05/24/ ,000,00 9,960,10 10,018, AA+ Aaa /01/ EADM FHLMC 07/13/ ,000,00 9,945,00 10,064, AA+ Aaa /02/ EAEC FHLMC 01/10/ ,000,00 9,726,90 9,687, AA+ Aaa 1,503 08/12/ GBUF FHLMC 06/29/ ,000,00 9,954,60 10,000, AA+ Aaa 1,459 06/29/ G0TM FNMA 01/30/2013 5,000,00 4,993,40 5,000, AA+ Aaa /30/ G0WJ FNMA 05/22/2013 5,000,00 4,982,90 4,995, AA+ Aaa /21/ G0YT FNMA 02/25/ ,000,00 10,034,20 9,997, AA+ Aaa /27/ G0WJ FNMA 03/25/2014 7,307,00 7,282, ,266, AA+ Aaa /21/ G0PQ FNMA 03/25/2014 5,000,00 4,996,45 4,994, AA+ Aaa /26/ G0ZA FNMA 04/14/ ,000,00 10,077,50 10,039, AA+ Aaa /19/ G0ZY FNMA 12/12/2014 5,000,00 5,027,70 5,000, AA+ Aaa /26/ G1L FNMA 01/16/2015 5,000,00 4,997,15 5,000, AA+ Aaa /08/2017 Maturity Date Portfolio CITY AP Run Date: 07/10/ :46 PM (PRF_PM2) Report Ver

19 City of Anaheim Portfolio Management Portfolio Details - Investments June 30, 2017 Page 2 CUSIP Investment # Federal Agency Issues - Coupon Issuer Average Balance Purchase Date Par Value Market Value Book Value Stated Rate Days to S&P Moody's Maturity 3136G3BY FNMA 02/29/ ,000,00 9,956,50 10,000, AA+ Aaa /26/ G0F FNMA 05/03/ ,000,00 9,938,60 10,056, AA+ Aaa 1,248 11/30/2020 Passbook/Checking Accounts Subtotal and Average 179,745, ,212,00 188,705, ,080, SYS LAIF 37,497, ,497, ,497, SYS LAIF 41,571, ,571, ,571, Money Market Mutual Fund Subtotal and Average 76,735, ,069, ,069, ,069, SYS Fidelity Govt MMF 735, , , AAA Aaa 1 SYS Goldman Sachs Trsy MMF 70, , , AAA Aaa 1 Medium Term Notes Subtotal and Average 3,251, , , , CS Apple 05/19/2017 7,000,00 6,995,94 7,004, AA+ Aa1 1,045 05/11/ NAN BB&T Corp 01/26/2017 5,000,00 5,018,95 4,999, A A /15/ EAP BMW 04/06/2017 5,000,00 5,023,20 4,993, A+ A1 1,010 04/06/ L5J Caterpillar 06/10/2016 4,000,00 3,997,20 4,003, A A /06/ AE Chevron 06/24/2013 3,000,00 3,006,57 3,000, AA- Aa /24/ AL Chevron 06/29/2015 5,000,00 5,000,55 5,002, AA- Aa /15/ AE Chevron 12/07/2015 5,000,00 5,010,95 5,011, AA- Aa /24/ BA Coca Cola 01/15/2015 5,000,00 4,991,15 4,997, AA- Aa /01/ RAX Cisco 02/12/2016 5,000,00 5,080,25 5,084, AA- A1 1,080 06/15/ RBJ Cisco 01/13/2017 5,000,00 4,938,35 4,910, AA- A1 1,542 09/20/ PDE Disney 03/09/2017 6,000,00 6,040,86 6,031, A+ A2 1,174 09/17/ QM Honda 02/19/2013 3,000,00 3,002,73 2,999, A+ A /16/ WAZ Honda 05/17/2016 5,000,00 5,067,75 5,129, A+ A1 1,181 09/24/ BJ Honeywell 10/31/2016 5,000,00 4,966,10 4,996, A A /30/ ETJ John Deere 09/09/2016 5,000,00 4,936,50 4,992, A A /09/ BL Johnson & Johnson 01/12/2015 5,145,00 5,141, ,145, AAA Aaa /21/ BL Johnson & Johnson 01/13/2015 5,000,00 4,996,55 5,000, AAA Aaa /21/ LRG JP Morgan Securities 10/17/2016 5,000,00 4,972,10 5,002, A+ Aa /23/ YAQ M Company 02/19/2016 5,000,00 5,023,05 5,077, AA- A1 1,133 08/07/ BG Microsoft 11/03/2015 4,000,00 4,014,40 3,997, AAA Aaa 1,221 11/03/ BF Microsoft 11/03/2015 5,000,00 4,992,05 4,997, AAA Aaa /03/2018 Portfolio CITY AP Run Date: 07/10/ :46 PM (PRF_PM2) Maturity Date 17

20 City of Anaheim Portfolio Management Portfolio Details - Investments June 30, 2017 Page 3 CUSIP Investment # Medium Term Notes Issuer Average Balance Purchase Date Par Value Market Value Book Value Stated Rate Days to S&P Moody's Maturity BN Microsoft 08/08/2016 5,000,00 4,940,75 4,996, AAA Aaa /08/ BW Microsoft 02/06/2017 5,000,00 5,047,00 4,990, AAA Aaa 1,681 02/06/ XAX Oracle 07/29/2016 5,000,00 5,061,60 5,111, AA- A /08/ REY PNC Bank 03/20/2017 5,000,00 5,032,50 4,980, A A2 1,622 12/09/ AM Qualcomm 05/26/2017 5,000,00 5,011,40 4,997, A A /20/ TDU Toyota 04/17/2017 5,000,00 4,998,45 4,997, AA- Aa3 1,021 04/17/ HHP US Bank 05/05/2017 5,000,00 5,051,85 5,046, A+ A1 1,668 01/24/ CAB Visa 01/30/2017 2,000,00 2,016,72 2,007, A+ A1 1,262 12/14/ BFG Wells Fargo Company 05/15/2013 5,000,00 4,998,40 5,000, A A /16/2018 Negotiable CD's Subtotal and Average 151,252, ,145,00 144,375, ,507, GNX Bank of Nova Scotia 08/31/2016 5,000,00 5,001,30 5,000, A-1 P /25/2017 Commercial Paper Disc. -Amortizing Subtotal and Average 5,000,00 5,000,00 5,001,30 5,000, PUU JP Morgan Securities 11/02/2016 5,000,00 4,995,70 4,995, A-1 P /28/ GV Toyota 11/08/2016 6,000,00 5,993,46 5,993, A-1+ P /04/2017 Subtotal and Average 10,983, ,000,00 10,989,16 10,988, Maturity Date Total and Average 516,412, ,232, ,466, ,903, Portfolio CITY AP Run Date: 07/10/ :46 PM (PRF_PM2)

21 City of Anaheim Inventory by Maturity Report June 30, 2017 Sec. CUSIP Investment # Fund Type Issuer SYS17430 SYS17432 SYS500 SYS PUU GV GNX2 3135G0PQ L5J6 3136G1L AL BL BL7 3133EEFE5 3137EADN BFG0 3133ECE G0TM QM EADP1 3137EADP A EFSG BA7 3133ECBY9 3135G0WJ8 3135G0WJ AE AE XK K EGUY L BF0 3135G0YT4 3135G0ZA Purchase Date Book Value Current Rate Maturity Date Maturity Amount Total Par YTM Days to Days Value Maturity 01 PA1 LAIF 07/01/ ,497, ,497, ,497, PA1 LAIF 07/01/ ,571, ,571, ,571, PA2 Goldman Sachs Trsy MMF 07/01/ , , , PA2 Fidelity Govt MMF 07/01/ , , , ACP JP Morgan Securities 11/02/2016 4,995, /28/2017 5,000, ,000, ACP Toyota 11/08/2016 5,993, /04/2017 6,000, ,000, MC1 Bank of Nova Scotia 08/31/2016 5,000, /25/2017 5,000, ,000, FAC FNMA 03/25/2014 4,994, /26/2017 5,000,00 1,311 5,000, MTN Caterpillar 06/10/2016 4,003, /06/2017 4,000, ,000, FAC FNMA 01/16/2015 5,000, /08/2017 5,000,00 1,027 5,000, MTN Chevron 06/29/2015 5,002, /15/2017 5,000, ,000, MTN Johnson & Johnson 01/12/2015 5,145, /21/2017 5,145,00 1,044 5,145, MTN Johnson & Johnson 01/13/2015 5,000, /21/2017 5,000,00 1,043 5,000, FAC FFCB 12/18/2014 4,999, /18/2017 5,000,00 1,096 5,000, FAC FHLMC 03/30/2015 6,993, /12/2018 7,000,00 1,019 7,000, MTN Wells Fargo Company 05/15/2013 5,000, /16/2018 5,000,00 1,707 5,000, FAC FFCB 01/30/2013 8,930, /30/2018 8,930,00 1,826 8,930, FAC FNMA 01/30/2013 5,000, /30/2018 5,000,00 1,826 5,000, MTN Honda 02/19/2013 2,999, /16/2018 3,000,00 1,823 3,000, FAC FHLMC 04/14/2014 1,595, /07/2018 1,600,00 1,423 1,600, FAC FHLMC 05/15/2014 4,987, /07/2018 5,000,00 1,392 5,000, FAC FHLB 03/19/ ,007, /09/ ,000,00 1,451 10,000, FAC FFCB 12/14/2015 5,000, /14/2018 5,000, ,000, MTN Coca Cola 01/15/2015 4,997, /01/2018 5,000,00 1,172 5,000, FAC FFCB 01/16/2015 5,374, /26/2018 5,375,00 1,196 5,375, FAC FNMA 05/22/2013 4,995, /21/2018 5,000,00 1,825 5,000, FAC FNMA 03/25/2014 7,266, /21/2018 7,307,00 1,518 7,307, MTN Chevron 06/24/2013 3,000, /24/2018 3,000,00 1,826 3,000, MTN Chevron 12/07/2015 5,011, /24/2018 5,000, ,000, TRC U.S.Treasury 01/29/2016 9,989, /15/ ,000, ,000, TRC U.S.Treasury 02/04/ ,017, /15/ ,000, ,000, FAC FFCB 09/26/2016 4,997, /20/2018 5,000, ,000, TRC U.S.Treasury 03/14/2016 9,982, /15/ ,000, ,000, MTN Microsoft 11/03/2015 4,997, /03/2018 5,000,00 1,096 5,000, FAC FNMA 02/25/2014 9,997, /27/ ,000,00 1,736 10,000, FAC FNMA 04/14/ ,039, /19/ ,000,00 1,772 10,000, Portfolio CITY AP Run Date: 07/10/ :53 IM (PRF_IM) Report Ver

22 City of Anaheim Inventory by Maturity Report Page 2 Sec. CUSIP Investment # Fund Type Issuer 3136G3BY QK AM5 3137EADK BN LRG9 3137EADM8 3137EADM XAX ETJ BJ4 3133EFPR2 3135G0ZY NAN EAP TDU CS RAX YAQ L PDE WAZ L L BG8 3135G0F CAB8 3134GBUF7 3137EAEC D RBJ T G REY HHP BW Purchase Date Book Value Current Rate Maturity Date Maturity Amount Total Par YTM Days to Days Value Maturity 02 FAC FNMA 02/29/ ,000, /26/ ,000,00 1,093 10,000, FAC FHLB 05/15/ ,050, /08/ ,000,00 1,758 10,000, MTN Qualcomm 05/26/2017 4,997, /20/2019 5,000, ,000, FAC FHLMC 05/24/ ,018, /01/ ,000,00 1,164 10,000, MTN Microsoft 08/08/2016 4,996, /08/2019 5,000,00 1,095 5,000, MTN JP Morgan Securities 10/17/2016 5,002, /23/2019 5,000,00 1,071 5,000, FAC FHLMC 04/25/ ,022, /02/ ,000,00 1,255 10,000, FAC FHLMC 07/13/ ,064, /02/ ,000,00 1,176 10,000, MTN Oracle 07/29/2016 5,111, /08/2019 5,000,00 1,166 5,000, MTN John Deere 09/09/2016 4,992, /09/2019 5,000,00 1,125 5,000, MTN Honeywell 10/31/2016 4,996, /30/2019 5,000,00 1,094 5,000, FAC FFCB 11/19/2015 4,000, /19/2019 4,000,00 1,461 4,000, FAC FNMA 12/12/2014 5,000, /26/2019 5,000,00 1,810 5,000, MTN BB&T Corp 01/26/2017 4,999, /15/2020 5,000,00 1,084 5,000, MTN BMW 04/06/2017 4,993, /06/2020 5,000,00 1,096 5,000, , MTN Toyota 04/17/2017 4,997, /17/2020 5,000,00 1,096 5,000, , MTN Apple 05/19/2017 7,004, /11/2020 7,000,00 1,088 7,000, , MTN Cisco 02/12/2016 5,084, /15/2020 5,000,00 1,585 5,000, , MTN 3M Company 02/19/2016 5,077, /07/2020 5,000,00 1,631 5,000, , TRC U.S.Treasury 02/22/2017 9,910, /31/ ,000,00 1,286 10,000, , MTN Disney 03/09/2017 6,031, /17/2020 6,000,00 1,288 6,000, , MTN Honda 05/17/2016 5,129, /24/2020 5,000,00 1,591 5,000, , TRC U.S.Treasury 05/09/2017 9,913, /30/ ,000,00 1,240 10,000, , TRC U.S.Treasury 01/12/2017 9,894, /31/ ,000,00 1,388 10,000, , MTN Microsoft 11/03/2015 3,997, /03/2020 4,000,00 1,827 4,000, , FAC FNMA 05/03/ ,056, /30/ ,000,00 1,672 10,000, , MTN Visa 01/30/2017 2,007, /14/2020 2,000,00 1,414 2,000, , FAC FHLMC 06/29/ ,000, /29/ ,000,00 1,461 10,000, , FAC FHLMC 01/10/2017 9,687, /12/ ,000,00 1,675 10,000, , TRC U.S.Treasury 12/27/2016 9,980, /31/ ,000,00 1,708 10,000, , MTN Cisco 01/13/2017 4,910, /20/2021 5,000,00 1,711 5,000, , TRC U.S.Treasury 05/02/2017 9,773, /31/ ,000,00 1,643 10,000, , TRC U.S.Treasury 01/09/2017 9,986, /30/ ,000,00 1,786 10,000, , MTN PNC Bank 03/20/2017 4,980, /09/2021 5,000,00 1,725 5,000, , MTN US Bank 05/05/2017 5,046, /24/2022 5,000,00 1,725 5,000, , MTN Microsoft 02/06/2017 4,990, /06/2022 5,000,00 1,826 5,000, ,681 Subtotal and Average 518,903, ,232, ,232, Net Maturities and Average 518,903, ,232, ,232, Portfolio CITY AP Run Date: 07/10/ :53 IM (PRF_IM) Report Ver

23 City of Anaheim Credit Rating Report June 30, 2017 Sorted by Moody's - Investment Number Investment # Issuer Security # Purchase Principal Book Value Market Value 1721 FFCB 3133ECE26 8,884, ,930,00 8,914, Aaa AA+ 01/30/ /30/ FNMA 3135G0TM5 4,989,05 5,000,00 4,993,40 Aaa AA+ 01/30/ /30/ FNMA 3135G0WJ8 4,972,75 4,995, ,982,90 Aaa AA+ 05/22/ /21/ FNMA 3135G0YT4 9,991,70 9,997, ,034,20 Aaa AA+ 02/25/ /27/ FHLB A43 10,045,30 10,007, ,010,00 Aaa AA+ 03/19/ /09/ FNMA 3135G0WJ8 7,119, ,266, ,282, Aaa AA+ 03/25/ /21/ FNMA 3135G0PQ0 4,934,35 4,994, ,996,45 Aaa AA+ 03/25/ /26/ FHLMC 3137EADP1 1,576, ,595, ,595, Aaa AA+ 04/14/ /07/ FNMA 3135G0ZA4 10,116,50 10,039, ,077,50 Aaa AA+ 04/14/ /19/ FHLB QK0 10,144,05 10,050, ,076,80 Aaa AA+ 05/15/ /08/ FHLMC 3137EADP1 4,932,50 4,987, ,987,05 Aaa AA+ 05/15/ /07/ FNMA 3135G0ZY2 5,000,40 5,000, ,027,70 Aaa AA+ 12/12/ /26/ FFCB 3133EEFE5 4,997,75 4,999, ,998,15 Aaa AA+ 12/18/ /18/ JNJ BL7 5,148, ,145, ,141, Aaa AAA 01/12/ /21/ JNJ BL7 5,003,05 5,000, ,996,55 Aaa AAA 01/13/ /21/ FNMA 3136G1L23 5,002,20 5,000, ,997,15 Aaa AA+ 01/16/ /08/ FFCB 3133ECBY9 5,373, ,374, ,352, Aaa AA+ 01/16/ /26/ FHLMC 3137EADN6 6,966,05 6,993, ,983,76 Aaa AA+ 03/30/ /12/ MSFT BG8 3,996,80 3,997, ,014,40 Aaa AAA 11/03/ /03/2020 1, MSFT BF0 4,995,00 4,997, ,992,05 Aaa AAA 11/03/ /03/ FFCB 3133EFPR2 4,000,00 4,000,00 4,002,48 Aaa AA+ 11/19/ /19/ FFCB 3133EFSG3 5,000,00 5,000,00 4,995,35 Aaa AA+ 12/14/ /14/ US XK1 9,976, ,989, ,956,30 Aaa AA+ 01/29/ /15/ US K82 10,039, ,017, ,966,00 Aaa AA+ 02/04/ /15/ FNMA 3136G3BY0 10,000,00 10,000,00 9,956,50 Aaa AA+ 02/29/ /26/ US L81 9,965, ,982, ,942,20 Aaa AA+ 03/14/ /15/ FHLMC 3137EADM8 10,034,60 10,022, ,945,00 Aaa AA+ 04/25/ /02/ FNMA 3135G0F73 10,075,20 10,056, ,938,60 Aaa AA+ 05/03/ /30/2020 1, FHLMC 3137EADK2 10,028,12 10,018, ,960,10 Aaa AA+ 05/24/ /01/ FHLMC 3137EADM8 10,092,20 10,064, ,945,00 Aaa AA+ 07/13/ /02/ MSFT BN3 4,994,85 4,996, ,940,75 Aaa AAA 08/08/ /08/ FFCB 3133EGUY9 4,996,55 4,997, ,971,35 Aaa AA+ 09/26/ /20/ US D72 9,978, ,980, ,087,90 Aaa AA+ 12/27/ /31/2021 1, US G53 9,985, ,986, ,025,80 Aaa AA+ 01/09/ /30/2021 1, FHLMC 3137EAEC9 9,651,90 9,687, ,726,90 Aaa AA+ 01/10/ /12/2021 1, Moody's Rating S&P Rating Purchase Date Maturity Date Days To Maturity Stated Rate YTM % of Total Portfolio CITY AP Run Date: 07/10/ :59 CR (PRF_CR) Report Ver

24 City of Anaheim Credit Rating Report Sorted by Moody's - Investment Number Page 2 Investment # Issuer Security # Purchase Principal Book Value Market Value 1971 US L99 9,880, ,894, ,918,00 Aaa AA+ 01/12/ /31/2020 1, MSFT BW3 4,989,25 4,990, ,047,00 Aaa AAA 02/06/ /06/2022 1, US L32 9,900, ,910, ,929,70 Aaa AA+ 02/22/ /31/2020 1, US T67 9,765, ,773, ,768,00 Aaa AA+ 05/02/ /31/2021 1, US L65 9,909, ,913, ,925,80 Aaa AA+ 05/09/ /30/2020 1, FHLMC 3134GBUF7 10,000,00 10,000,00 9,954,60 Aaa AA+ 06/29/ /29/2021 1, GOLDSA SYS500 70, , , Aaa AAA 07/01/ FIDELI SYS , , , Aaa AAA 07/01/ SubTotal for Aaa 308,259, ,465, ,163, APPINC CS7 7,004,20 7,004, ,995,94 Aa1 AA+ 05/19/ /11/2020 1, SubTotal for Aa1 7,004,20 7,004, ,995, SubTotal for Aa2 13,045,05 13,013, ,018, JPMS 48125LRG9 5,002,85 5,002, ,972,10 Aa3 A+ 10/17/ /23/ SubTotal for Aa3 14,991,75 14,997, ,961, HNDA 02666QM26 2,998,29 2,999, ,002,73 A1 A+ 02/19/ /16/ HNDA 02665WAZ4 5,174,35 5,129, ,067,75 A1 A+ 05/17/ /24/2020 1, CHEVRN AE0 3,000,00 3,000,00 3,006,57 Aa2 AA- 06/24/ /24/ CHEVRN AL4 5,015,75 5,002, ,000,55 Aa2 AA- 06/29/ /15/ CHEVRN AE0 5,029,30 5,011, ,010,95 Aa2 AA- 12/07/ /24/ COCA C BA7 4,991,20 4,997, ,991,15 Aa3 AA- 01/15/ /01/ TOYCC 89236TDU6 4,997,70 4,997, ,998,45 Aa3 AA- 04/17/ /17/2020 1, CSCO 17275RAX0 5,124,75 5,084, ,080,25 A1 AA- 02/12/ /15/2020 1, MMM 88579YAQ4 5,111,25 5,077, ,023,05 A1 AA- 02/19/ /07/2020 1, ORCL 68389XAX3 5,157,50 5,111, ,061,60 A1 AA- 07/29/ /08/ CSCO 17275RBJ0 4,900,75 4,910, ,938,35 A1 AA- 01/13/ /20/2021 1, BBT 07330NAN5 4,999,60 4,999, ,018,95 A1 A 01/26/ /15/ V 92826CAB8 2,008,40 2,007, ,016,72 A1 A+ 01/30/ /14/2020 1, BMW 05565EAP0 4,993,20 4,993, ,023,20 A1 A+ 04/06/ /06/2020 1, USB 91159HHP8 5,048,15 5,046, ,051,85 A1 A+ 05/05/ /24/2022 1, QCOM AM5 4,997,70 4,997, ,011,40 A1 A 05/26/ /20/ SubTotal for A1 50,513,94 50,359, ,295, WFCNEW 94974BFG0 5,003,35 5,000, ,998,40 A2 A 05/15/ /16/ JDEERE 24422ETJ8 4,989,90 4,992, ,936,50 A2 A 09/09/ /09/ HONIPP BJ4 4,996,05 4,996, ,966,10 A2 A 10/31/ /30/ DISNEY 25468PDE3 6,034,62 6,031, ,040,86 A2 A+ 03/09/ /17/2020 1, PNCB 69353REY0 4,978,75 4,980, ,032,50 A2 A 03/20/ /09/2021 1, Moody's Rating S&P Rating Purchase Date Maturity Date Days To Maturity Stated Rate YTM % of Total Portfolio CITY AP Run Date: 07/10/ :59 CR (PRF_CR) Report Ver

25 City of Anaheim Credit Rating Report Sorted by Moody's - Investment Number Page 3 Investment # Issuer Security # Purchase Principal Book Value Market Value SubTotal for A2 26,002,67 26,001, ,974, CATPP 14912L5J6 4,013,52 4,003, ,997,20 A3 A 06/10/ /06/ SubTotal for A3 4,013,52 4,003, ,997, BNS 06417GNX2 5,000,00 5,000,00 5,001,30 P-1 A-1 08/31/ /25/ JPMS 46640PUU5 4,955, ,995, ,995,70 P-1 A-1 11/02/ /28/ TOYCC 89233GV45 5,946,20 5,993, ,993,46 P-1 A-1+ 11/08/ /04/ SubTotal for P-1 15,901, ,988, ,990, LAIF SYS ,497, ,497, ,497, None None 07/01/ LAIF SYS ,571, ,571, ,571, None None 07/01/ SubTotal for No Specified Rating 79,069, ,069, ,069, Moody's Rating S&P Rating Purchase Date Maturity Date Days To Maturity Stated Rate YTM % of Total Portfolio CITY AP Run Date: 07/10/ :59 CR (PRF_CR) Report Ver

26 City of Anaheim Summary by Issuer June 30, 2017 Issuer Number of Investments Par Value Book Value % of Portfolio Average YTM 365 Average Days to Maturity Apple 1 7,000,00 7,004, ,045 BB&T Corp 1 5,000,00 4,999, BMW 1 5,000,00 4,993, ,010 Bank of Nova Scotia 1 5,000,00 5,000, Caterpillar 1 4,000,00 4,003, Chevron 3 13,000,00 13,013, Coca Cola 1 5,000,00 4,997, Cisco 2 10,000,00 9,995, ,307 Disney 1 6,000,00 6,031, ,174 FFCB 6 33,305,00 33,302, FHLB 2 20,000,00 20,058, FHLMC 8 63,600,00 63,370, Fidelity Govt MMF 1 735, , FNMA 10 72,307,00 72,349, Goldman Sachs Trsy MMF 1 70, , Honda 2 8,000,00 8,129, Honeywell 1 5,000,00 4,996, John Deere 1 5,000,00 4,992, Johnson & Johnson 2 10,145,00 10,145, JP Morgan Securities 2 10,000,00 9,997, LAIF 2 79,069, ,069, M Company 1 5,000,00 5,077, ,133 Microsoft 4 19,000,00 18,982, ,030 Portfolio CITY AP Run Date: 07/10/ :09 SI (PRF_SI) Report Ver

27 City of Anaheim Summary by Issuer June 30, 2017 Page 2 Issuer Number of Investments Par Value Book Value % of Portfolio Average YTM 365 Average Days to Maturity Oracle 1 5,000,00 5,111, PNC Bank 1 5,000,00 4,980, ,622 Qualcomm 1 5,000,00 4,997, Toyota 2 11,000,00 10,990, U.S.Treasury 9 90,000,00 89,450, ,058 US Bank 1 5,000,00 5,046, ,668 Visa 1 2,000,00 2,007, ,262 Wells Fargo Company 1 5,000,00 5,000, Total and Average ,232, ,903, Portfolio CITY AP Run Date: 07/10/ :09 SI (PRF_SI) Report Ver

28 City of Anaheim Portfolio Management Interest Earnings Summary June 30, 2017 Page 1 June 30 Month Ending Fiscal Year To Date CD/Coupon/Discount Investments: Interest Collected 226, ,806, Plus Accrued Interest at End of Period 1,482, ,482, Less Accrued Interest at Beginning of Period ( 1,194,746.74) ( 1,078,290.38) Less Accrued Interest at Purchase During Period ( ) ( ) Interest Earned during Period Adjusted by Premiums and Discounts Adjusted by Capital Gains or Losses 514, , , ,211, , , Earnings during Periods 527, ,326, Pass Through Securities: Interest Collected Plus Accrued Interest at End of Period Less Accrued Interest at Beginning of Period ( ) ( ) Less Accrued Interest at Purchase During Period ( ) ( ) Interest Earned during Period Adjusted by Premiums and Discounts Adjusted by Capital Gains or Losses Earnings during Periods Cash/Checking Accounts: Interest Collected Plus Accrued Interest at End of Period Less Accrued Interest at Beginning of Period 1, , ( 97,502.20) 450, , ( 78,934.91) Interest Earned during Period 60, , Total Interest Earned during Period Total Adjustments from Premiums and Discounts Total Capital Gains or Losses 575, , , ,739, , , Total Earnings during Period 588, ,854, Portfolio CITY AP Run Date: 07/10/ :46 PM (PRF_PM6) Report Ver

29 City of Anaheim Interest Earnings Sorted by Security Type - Maturity Date June 1, June 30, 2017 Yield on Beginning Book Value Adjusted Interest Earnings CUSIP Investment # Fund Issuer Ending Par Value Beginning Book Value Ending Book Value Maturity Date CurrentAnnualized Rate Yield Interest Earned Amortization/ Accretion Adjusted Interest Earnings Security Type: Treasury Securities - Coupon XK US 10,000,00 9,989, ,989, /15/ , , K US 10,000,00 10,018, ,017, /15/ , , , L US 10,000,00 9,981, ,982, /15/ , , , L US 10,000,00 9,908, ,910, /31/ , , , L US 10,000,00 9,911, ,913, /30/ , , , L US 10,000,00 9,892, ,894, /31/ , , , D US 10,000,00 9,980, ,980, /31/ , , T US 10,000,00 9,769, ,773, /31/ , , , G US 10,000,00 9,986, ,986, /30/ , , Subtotal 90,000,00 89,437, ,450, , , , Security Type: Federal Agency Issues - Coupon 3135G0PQ FNMA 5,000,00 4,992, ,994, /26/ , , , G1L FNMA 5,000,00 5,000, ,000, /08/ , , EEFE FFCB 5,000,00 4,999, ,999, /18/ , , EADN FHLMC 7,000,00 6,992, ,993, /12/ , , , G0TM FNMA 5,000,00 5,000,00 5,000,00 01/30/ ,25 4, ECE FFCB 8,930,00 8,930,00 8,930,00 01/30/ , , EADP FHLMC 5,000,00 4,986, ,987, /07/ , , , EADP FHLMC 1,600,00 1,595, ,595, /07/ , , A FHLB 10,000,00 10,008, ,007, /09/ , , EFSG FFCB 5,000,00 5,000,00 5,000,00 03/14/ , , ECBY FFCB 5,375,00 5,374, ,374, /26/ , , G0WJ FNMA 5,000,00 4,994, ,995, /21/ , , G0WJ FNMA 7,307,00 7,263, ,266, /21/ , , , EGUY FFCB 5,000,00 4,997, ,997, /20/ , , G0YT FNMA 10,000,00 9,997, ,997, /27/ , , G0ZA FNMA 10,000,00 10,041, ,039, /19/ , , , G3BY FNMA 10,000,00 10,000,00 10,000,00 02/26/ , , Portfolio CITY AP Run Date: 07/10/ :03 IE (PRF_IE) Report Ver

30 City of Anaheim Interest Earnings June 1, June 30, 2017 Page 2 Adjusted Interest Earnings CUSIP Investment # Fund Issuer Ending Par Value Beginning Book Value Ending Book Value Maturity Date CurrentAnnualized Rate Yield Interest Earned Amortization/ Accretion Adjusted Interest Earnings Security Type: Federal Agency Issues - Coupon QK FHLB 10,000,00 10,052, ,050, /08/ , , , EADK FHLMC 10,000,00 10,019, ,018, /01/ , , EADM FHLMC 10,000,00 10,066, ,064, /02/ , , , EADM FHLMC 10,000,00 10,023, ,022, /02/ , , EFPR FFCB 4,000,00 4,000,00 4,000,00 11/19/ , , G0ZY FNMA 5,000,00 5,000, ,000, /26/ , , G0F FNMA 10,000,00 10,057, ,056, /30/ ,50-1, , GBUF FHLMC 10,000,00 10,000,00 06/29/ ,00 1, EAEC FHLMC 10,000,00 9,681, ,687, /12/ , , , Subtotal 189,212,00 179,076, ,080, , , , Security Type: Passbook/Checking Accounts SYS LAIF 41,571, ,571, ,571, , , SYS LAIF 37,497, ,497, ,497, , , Subtotal 79,069, ,069, ,069, , , Security Type: Money Market Mutual Fund SYS GOLDSA 70, , , SYS FIDELI 735, ,249, , , , Subtotal 806, ,319, , , , Security Type: Medium Term Notes 94974BGB WFCNEW 5,003, /08/ , , , L5J CATPP 4,000,00 4,004, ,003, /06/ , , AL CHEVRN 5,000,00 5,003, ,002, /15/ , , AP MSFT 2,216, /15/ , , BL JNJ 5,145,00 5,145, ,145, /21/ , , BL JNJ 5,000,00 5,000, ,000, /21/ , , BFG WFCNEW 5,000,00 5,000, ,000, /16/ , , QM HNDA 3,000,00 2,999, ,999, /16/ , , BA COCA C 5,000,00 4,997, ,997, /01/ , , AE CHEVRN 3,000,00 3,000,00 3,000,00 06/24/ , , AE CHEVRN 5,000,00 5,012, ,011, /24/ , , BF MSFT 5,000,00 4,997, ,997, /03/ , , AM QCOM 5,000,00 4,997, ,997, /20/ , , BN MSFT 5,000,00 4,996, ,996, /08/ , , LRG JPMS 5,000,00 5,002, ,002, /23/ , , Portfolio CITY AP Run Date: 07/10/ :03 IE (PRF_IE) Report Ver

31 City of Anaheim Interest Earnings June 1, June 30, 2017 Page 3 Adjusted Interest Earnings CUSIP Investment # Fund Issuer Ending Par Value Beginning Book Value Ending Book Value Maturity Date CurrentAnnualized Rate Yield Interest Earned Amortization/ Accretion Adjusted Interest Earnings Security Type: Medium Term Notes 68389XAX ORCL 5,000,00 5,116, ,111, /08/ , , , ETJ JDEERE 5,000,00 4,992, ,992, /09/ , , BJ HONIPP 5,000,00 4,996, ,996, /30/ , , NAN BBT 5,000,00 4,999, ,999, /15/ , , EAP BMW 5,000,00 4,993, ,993, /06/ , , TDU TOYCC 5,000,00 4,997, ,997, /17/ , , CS APPINC 7,000,00 7,004, ,004, /11/ , , RAX CSCO 5,000,00 5,087, ,084, /15/ , , , YAQ MMM 5,000,00 5,079, ,077, /07/ , , , PDE DISNEY 6,000,00 6,032, ,031, /17/ , , WAZ HNDA 5,000,00 5,132, ,129, /24/ , , , BG MSFT 4,000,00 3,997, ,997, /03/ , , CAB V 2,000,00 2,007, ,007, /14/ , , RBJ CSCO 5,000,00 4,908, ,910, /20/ , , , REY PNCB 5,000,00 4,979, ,980, /09/ , , HHP USB 5,000,00 5,047, ,046, /24/ , , BW MSFT 5,000,00 4,989, ,990, /06/ , , Subtotal 144,145,00 151,740, ,507, , , , Security Type: Negotiable CD's 06417GNX BNS 5,000,00 5,000,00 5,000,00 08/25/ , , Subtotal 5,000,00 5,000,00 5,000, , , Security Type: Commercial Paper Disc. -Amortizing 46640PUU JPMS 5,000,00 4,990, ,995, /28/ , , GV TOYCC 6,000,00 5,987, ,993, /04/ , , Subtotal 11,000,00 10,977, ,988, , , Total 519,232, ,620, ,903, , , , Portfolio CITY AP Run Date: 07/10/ :03 IE (PRF_IE) Report Ver

32 City of Anaheim Accrued Interest Sorted by Fund - Fund June 1, June 30, 2017 CUSIP Investment # Security Type Par Value Maturity Date Current Rate * Beginning Accrued Interest Adjusted Acc'd Int. at Purchase During Period Interest Earned Interest Received * Ending Accrued Interest SHORT- TERM PORTFOLIO SYS PA1 37,497, , , , SYS PA1 41,571, , , , SYS PA2 735, , , , , SYS PA2 70, GNX MC1 5,000,00 08/25/ , , , LONG-TERM PORTFOLIO Subtotal 84,875, , , , , XK TRC 10,000,00 07/15/ , , , K TRC 10,000,00 08/15/ , , , L TRC 10,000,00 10/15/ , , , D TRC 10,000,00 08/31/ , , , G TRC 10,000,00 11/30/ , , L TRC 10,000,00 10/31/ , , , L TRC 10,000,00 08/31/ , , , T TRC 10,000,00 10/31/ , , , L TRC 10,000,00 09/30/ , , , ECE FAC 8,930,00 01/30/ , , , EEFE FAC 5,000,00 12/18/ , , , , ECBY FAC 5,375,00 04/26/ , , , EFPR FAC 4,000,00 11/19/ , , , EFSG FAC 5,000,00 03/14/ , , , EGUY FAC 5,000,00 09/20/ , , , A FAC 10,000,00 03/09/ , , , QK FAC 10,000,00 03/08/ , , , EADP FAC 1,600,00 03/07/ , , , EADP FAC 5,000,00 03/07/ , , , EADN FAC 7,000,00 01/12/ , , , EADM FAC 10,000,00 10/02/ , , , EADK FAC 10,000,00 08/01/ , , , EADM FAC 10,000,00 10/02/ , , , EAEC FAC 10,000,00 08/12/ , , , GBUF FAC 10,000,00 06/29/ ,00 1, G0TM FAC 5,000,00 01/30/ , ,25 21, * Beginning Accrued may not include investments that redeemed in the previous month that had outstanding accrued interest. Ending Accrued includes outstanding purchase interest. Portfolio CITY AC Run Date: 07/11/ :36 AI (PRF_AI) Report Ver

33 City of Anaheim Accrued Interest Sorted by Fund - Fund Page 2 CUSIP Investment # Security Type Par Value Maturity Date Current Rate * Beginning Accrued Interest Adjusted Acc'd Int. at Purchase During Period Interest Earned Interest Received * Ending Accrued Interest LONG-TERM PORTFOLIO 3135G0WJ FAC 5,000,00 05/21/ , , , G0YT FAC 10,000,00 11/27/ , , , G0WJ FAC 7,307,00 05/21/ , , , G0PQ FAC 5,000,00 10/26/ , , , G0ZA FAC 10,000,00 02/19/ , , , G0ZY FAC 5,000,00 11/26/ , , , G1L FAC 5,000,00 11/08/ , , , G3BY FAC 10,000,00 02/26/ , , , G0F FAC 10,000,00 11/30/ ,50 12, CS MTN 7,000,00 05/11/ ,00 10,50 17, NAN MTN 5,000,00 01/15/ , ,75 45, EAP MTN 5,000,00 04/06/ , , , L5J MTN 4,000,00 11/06/ , , , AE MTN 3,000,00 06/24/ , , ,77 1, AL MTN 5,000,00 11/15/ , , , AE MTN 5,000,00 06/24/ , , ,95 1, BA MTN 5,000,00 04/01/ , , , RAX MTN 5,000,00 06/15/ , , ,25 5, RBJ MTN 5,000,00 09/20/ , , , PDE MTN 6,000,00 09/17/ , ,75 37, QM MTN 3,000,00 02/16/ ,00 4,00 18, WAZ MTN 5,000,00 09/24/ , , , BJ MTN 5,000,00 10/30/ , , , ETJ MTN 5,000,00 10/09/ , , , BL MTN 5,145,00 11/21/ , , , BL MTN 5,000,00 11/21/ , , , LRG MTN 5,000,00 09/23/ , , , YAQ MTN 5,000,00 08/07/ , , , AP MTN 11/15/ , , BG MTN 4,000,00 11/03/ , , , BF MTN 5,000,00 11/03/ , , , BN MTN 5,000,00 08/08/ , , , BW MTN 5,000,00 02/06/ , ,00 48, XAX MTN 5,000,00 10/08/ , , , REY MTN 5,000,00 12/09/ , , ,75 7, AM MTN 5,000,00 05/20/ , , , TDU MTN 5,000,00 04/17/ , , , HHP MTN 5,000,00 01/24/ , , , CAB MTN 2,000,00 12/14/ , , ,00 2, * Beginning Accrued may not include investments that redeemed in the previous month that had outstanding accrued interest. Ending Accrued includes outstanding purchase interest. Portfolio CITY AC Run Date: 07/11/ :36 AI (PRF_AI) Report Ver

34 City of Anaheim Accrued Interest Sorted by Fund - Fund Page 3 CUSIP Investment # Security Type Par Value Maturity Date Current Rate * Beginning Accrued Interest Adjusted Acc'd Int. at Purchase During Period Interest Earned Interest Received * Ending Accrued Interest LONG-TERM PORTFOLIO 94974BFG MTN 5,000,00 01/16/ , ,25 34, BGB MTN 09/08/ , , , Subtotal 423,357,00 1,237, , , ,478, Total 508,232, ,388, , , ,694, * Beginning Accrued may not include investments that redeemed in the previous month that had outstanding accrued interest. Ending Accrued includes outstanding purchase interest. Portfolio CITY AC Run Date: 07/11/ :36 AI (PRF_AI) Report Ver

35 City of Anaheim Realized Gains and Losses Sorted By Investment Type Sales/Calls/Maturities: June 1, June 30, 2017 Investment # Issuer Inv. Type Purchase Date Par Value Current Rate Sale Date Maturity Date Days Held Term Book Value Maturity/Sale Proceeds Realized Gain/Loss Total Total Total Earnings Net Earnings Yield 365 Medium Term Notes 1804 Microsoft MTN 01/28/2014 2,220,00 06/29/2017 1,248 2,216, ,216, , , /15/2017 1, MTN 05/23/2016 5,000,00 06/29/ ,002, ,000,75-1, , , Wells Fargo Company /08/ Medium Term Notes Subtotals Total Realized Gains/Losses 7,219, ,217, , , , ,219, ,217, , , , Portfolio CITY AP Run Date: 07/10/ :00 CG (PRF_CGR1) Report Ver

36 City of Anaheim Transaction Activity Report June 1, June 30, 2017 Sorted by Transaction Date - Transaction Date All Funds Investment # Fund CUSIP Inv Descrip TransactionType Dealer Issuer New Principal Principal Paydowns SYS17430 LAIF 1.469% Purchase LAIF 10,000,00-10,000,00 Totals for 06/08/ ,000,00-10,000, REY0 PNCB 2.55% MAT Interest KeyBanc PNC Bank 63,75 63, REY0 PNCB 2.55% MAT Accr Int KeyBanc PNC Bank 35, , Totals for 06/09/ , , , CAB8 V 2.2% MAT Interest KeyBanc Visa 22,00 22, CAB8 V 2.2% MAT Accr Int KeyBanc Visa 5, , Totals for 06/14/2017 5, , , RAX0 CSCO 2.45% MAT Interest JP Morgan Cisco 61,25 61,25 Totals for 06/15/ ,25 61, EEFE5 FFCB 1.125% MAT Interest Wells Fargo Bank FFCB 28, , Totals for 06/18/ , , AE0 CHEVRN 1.718% Interest JP Morgan Chevron 25,77 25, AE0 CHEVRN 1.718% Interest Chevron 42,95 42,95 Totals for 06/26/ ,72 68, GBUF7 FEDERAL HOME LN Purchase InCapital FHLMC 10,000,00-10,000, AP9 MICROSOFT CORP, Redemption Microsoft 2,188, ,188, AP9 MICROSOFT CORP, Cap G/L Microsoft 28,86 28, BGB0 WELLS FARGO CO Redemption Goldman Sachs Wells Fargo Company 5,017,95 5,017, BGB0 WELLS FARGO CO Cap G/L Goldman Sachs Wells Fargo Company -17,20-17, AP9 MICROSOFT CORP, Interest Microsoft 2, , BGB0 WELLS FARGO CO Interest Goldman Sachs Wells Fargo Company 21, , Totals for 06/29/ ,000,00 7,217, , ,758, SYS500 GOLDSA 0.966% Interest Goldman Sachs Trsy SYS500 GOLDSA 0.966% Purchase Goldman Sachs Trsy Totals for 06/30/ Grand Total 20,000, ,259, , ,514, Interest Total Cash Portfolio CITY AP Run Date: 07/10/ :15 TA (PRF_TA) Report Ver

37 Quarterly Economic and Market Update June

38 Economic and Market Update 6/30/2017 Item 6/30/2017 3/31/2017 Change U.S. Payrolls Monthly Change 222,000 50, ,000 Unemployment Rate 4.4% 4.5% -0.1% Labor Force Participation 62.8% 63.0% -0.2% Effective Fed Funds Rate 1.06% 0.82% 0.24% Next Fed Funds Hike** April 2018 April Month 3 Month T-Bill 1.014% 0.754% 0.260% 2 Year T-Note 1.384% 1.256% 0.128% 3 Year T-Note 1.547% 1.490% 0.057% 5 Year T-Note 1.889% 1.922% % 10 Year T-Note 2.305% 2.388% % U.S. Fed Debt Avg Yield* 2.050% 2.027% 0.023% 30 Year Mortgage Rate 3.87% 3.990% -0.12% 1-5 Yr Agency Spread 0.10% 0.11% -0.01% 1-5 Yr Corporate Spread 0.60% 0.68% -0.08% Dow Jones 21,350 20, % S&P 500 2,423 2, % Consumer Price Index YOY* 1.8% 2.4% -0.6% U.S. Avg Regular Unleaded $2.24 $2.32 -$0.09 Retail Sales YOY* 3.1% 4.8% -1.7% Case-Shiller Home Prices YOY* 5.7% 5.9% -0.2% Gold (per ounce) $1, $1, $7.59 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 1.375% or higher Sources: FTN Main Street and Bloomberg 36

39 Economic and Market Update 6/30/2017 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: 6/30/17 37

40 Economic and Market Update 6/30/2017 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: 6/30/17 38

41 Economic and Market Update 6/30/ U.S. Monthly Non-Farm Payrolls Change 11 Unemployment Rates Nevada U.S.A California Idaho Washington Thousands Percent 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 Jun-17 3 Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec-14 Feb-15 Apr-15 Jun-15 Aug-15 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Oct-16 Dec-16 Feb-17 Apr-17 Jun Month Average Job Change 186,500 Source: Bureau of Labor Statistics 39

42 Economic and Market Update 6/30/2017 Millions Jun-07 Nov-07 Apr-08 Sep-08 Feb-09 U.S. Number of Employed Full-Time and Part-TIme 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-17 Jun-17 Percent Jun-07 Nov-07 Apr-08 Sep-08 U.S. Labor Force Participation Rate 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-17 Jun-17 Source: Bureau of Labor Statistics 40

43 Economic and Market Update ######## 6/30/ 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 41

44 Economic and Market Update 6/30/2017 U.S. Real* Retail Sales YOY % Change U.S. Consumer Confidence Percent Index Value Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec-14 Feb-15 Apr-15 Jun-15 Aug-15 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Oct-16 Dec-16 Feb-17 Apr Dec-06 May-07 Oct-07 Mar-08 Aug-08 Jan-09 Jun-09 Nov-09 Apr-10 Sep-10 Feb-11 Jul-11 Dec-11 May-12 Oct-12 Mar-13 Aug-13 Jan-14 Jun-14 Nov-14 Apr-15 Sep-15 Feb-16 Jul-16 Dec-16 May-17 *Real: Inflation Adjusted Source: U.S. Census Bureau Source: Conference Board 42

45 Economic and Market Update 6/30/2017 CPI and CPIX YOY % Change CPI CPIX Percent 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 Mar-17 Apr-17 May-17 CPIX: Consumer Price Index, excluding food and energy Source: Bureau of Labor Statistics 43

46 Economic and Market Update 6/30/ Case-Shiller 20 City U.S. Home Price Index YOY % Increase 6 U.S. New and Existing Home Sales YOY Percent Existing-Millions 5 4 Existing-Left New-Right New-Thousands -20 Jan-09 May-09 Sep-09 Jan-10 May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 3 Dec-08 May-09 Oct-09 Mar-10 Aug-10 Jan-11 Jun-11 Nov-11 Apr-12 Sep-12 Feb-13 Jul-13 Dec-13 May-14 Oct-14 Mar-15 Aug-15 Jan-16 Jun-16 Nov-16 Apr Source: Case-Shiller Sources: New (U.S. Census Bureau),Existing (National Assoc. of Realtors) Seasonally Adjusted Annual Rate 44

47 Economic and Market Update 6/30/2017 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 Jun-07 Nov-07 Apr-08 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 Jun-07 Nov-07 Apr-08 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-17 Source: U.S. Treasury 45

48 Economic and Market Update 6/30/ Fed Funds vs. Fed's Anticipated Fed Funds Rate Fed's Anticipated Rates Fed Funds Futures Basis Points 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 Apr-2020 May-2020 Jun-2020 Fed Funds Anticipated Rate from the June 14, 2017 FOMC Meeting Source: Bloomberg 46

49 Economic and Market Update 6/30/ U.S. Treasury Yield Curve Change Maturity 3/31/17 6/30/17 Change /30/17 3/31/17 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 47

50 Economic and Market Update 6/30/2017 U.S. Treasury Yields: 3M and 1Y U.S. Treasury Yields: 2Y and 5Y Y 3M Y 2Y Percent Percent 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 Jun-17 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 Jun-17 Source: Bloomberg 48

51 Economic and Market Update 6/30/ 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 49

52 Economic and Market Update 6/30/2017 Global Treasury Rates 2 Year Yields 5 Year Yields 10 Year Yields Australia 1.73% Australia 2.18% Portugal 3.01% USA 1.38% USA 1.89% Australia 2.60% Canada 1.10% Canada 1.39% USA 2.30% England 0.34% Portugal 1.29% Italy 2.15% Portugal 0.09% Italy 0.86% Canada 1.76% Japan -0.13% England 0.69% Spain 1.52% Italy -0.13% Spain 0.31% England 1.26% Spain -0.28% France -0.05% France 0.81% France -0.39% Japan -0.07% Germany 0.47% Germany -0.58% Germany -0.23% Japan 0.08% Switzlnd -0.84% Switzlnd -0.51% Switzlnd -0.05% -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% Source: Bloomberg 50

53 Economic and Market Update 6/30/2017 Spread: 1-5Yr Agency* vs Treasury Spread: 1-5Yr A-AAA Corporate vs Treasury Basis Points Basis Points May-03 Dec-03 Jul-04 Feb-05 Sep-05 Apr-06 Nov-06 Jun-07 Jan-08 Aug-08 Mar-09 Oct-09 May-10 Dec-10 Jul-11 Feb-12 Sep-12 Apr-13 Nov-13 Jun-14 Jan-15 Aug-15 Mar-16 Oct-16 May May-03 Dec-03 Jul-04 Feb-05 Sep-05 Apr-06 Nov-06 Jun-07 Jan-08 Aug-08 Mar-09 Oct-09 May-10 Dec-10 Jul-11 Feb-12 Sep-12 Apr-13 Nov-13 Jun-14 Jan-15 Aug-15 Mar-16 Oct-16 May-17 Current Spread is 10 Current Spread is 60 *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 51

54 Economic and Market Update 6/30/2017 Spread: AAA Asset Backed vs Treasury Spread: 0-3Yr Agency CMO vs Treasury Basis Points Basis Points May-03 Dec-03 Jul-04 Feb-05 Sep-05 Apr-06 Nov-06 Jun-07 Jan-08 Aug-08 Mar-09 Oct-09 May-10 Dec-10 Jul-11 Feb-12 Sep-12 Apr-13 Nov-13 Jun-14 Jan-15 Aug-15 Mar-16 Oct-16 May May-03 Dec-03 Jul-04 Feb-05 Sep-05 Apr-06 Nov-06 Jun-07 Jan-08 Aug-08 Mar-09 Oct-09 May-10 Dec-10 Jul-11 Feb-12 Sep-12 Apr-13 Nov-13 Jun-14 Jan-15 Aug-15 Mar-16 Oct-16 May-17 Current Spread is 41 Current Spread is 44 *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 52

55 Economic and Market Update ######## 6/30/2017 Selected Sector Quarterly Total Returns Percent (5) (10) (15) Source: Bloomberg 53

56 Economic and Market Update ######## 6/30/2017 Selected Sector Year-Over-YearTotal Returns Percent (5) (10) (15) (20) (25) Source: Bloomberg 54

57 Economic and Market Update 6/30/ Year Treasury Note Yield US airstrike on Syria, Korean concerns, and French election uncertainty cause a flight to quality Poor retail sales cause concern Q2 GDP rebound will be soft The "James Comey Saga" spooks markets Comments from Fed Chair Yellen suggest a commitment to current path of tightening Percent Trump Admin. suggests progress on tax reform /31/17 4/2/17 4/4/17 4/6/17 4/8/17 4/10/17 4/12/17 4/14/17 4/16/17 4/18/17 4/20/17 Prospects of Q2 GDP bounce and Fed President Kaplan comments supporting two more rate hikes 4/22/17 4/24/17 4/26/17 4/28/17 4/30/17 5/2/17 5/4/17 5/6/17 5/8/17 5/10/17 5/12/17 5/14/17 Core inflation edges lower, and poor employment numbers 5/16/17 5/18/17 5/20/17 5/22/17 5/24/17 5/26/17 5/28/17 5/30/17 6/1/17 6/3/17 6/5/17 6/7/17 6/9/17 6/11/17 6/13/17 6/15/17 The Fed increases rate to ; but retail and CPI miss in May 6/17/17 6/19/17 6/21/17 6/23/17 6/25/17 6/27/17 6/29/17 Sources: Bloomberg, FTN Main Street 55

58 Economic and Market Update ######## 6/30/ ,600 Dow Jones Industrial Index Oil prices tick to lowest level since Aug ,400 21,200 21,000 Polls suggest Macron will win French Presidential election with ease Positive earnings from retailers give hope to Q2 GDP rebound Strong ADP payrolls and ISM Manufacturing point to growth 20,800 20,600 Details emerge that Trump requested James Comey drop Flynn Investigation Turmoil in Washington recedes as special counsel named 20,400 Geopolitical concerns on Syria and North Korea 20,200 4/1/17 4/3/17 4/5/17 4/7/17 4/9/17 4/11/17 4/13/17 4/15/17 4/17/17 4/19/17 4/21/17 4/23/17 4/25/17 4/27/17 4/29/17 5/1/17 5/3/17 5/5/17 5/7/17 5/9/17 5/11/17 5/13/17 5/15/17 5/17/17 5/19/17 5/21/17 5/23/17 5/25/17 5/27/17 5/29/17 5/31/17 6/2/17 6/4/17 6/6/17 6/8/17 6/10/17 6/12/17 6/14/17 6/16/17 6/18/17 6/20/17 6/22/17 6/24/17 6/26/17 6/28/17 6/30/17 Sources: Bloomberg, FTN Main Street 56