Quarterly Investment Report

Transcription

1 Quarterly Investment Report As of September 30, 2017 P.O. Box 1247 Fresno, CA Telephone

2 Table of Contents Portfolio Summary 1 Portfolio Compliance 2 Holdings Allocation by Issuer 11 Portfolio Statistics & Projected Cash Flows 15 Pool Participant Breakdown 16 Holdings Report 17 Monthly Economic and Market Update 35 Board of Supervisors: Andreas Borgeas, Buddy Mendes, Brian Pacheco, Nathan Magsig, Sal Quintero County Administrative Officer: Jean Rousseau

3 Portfolio Summary 9/30/2017 County of Fresno SECTOR ALLOCATION MATURITY DISTRIBUTION CREDIT QUALITY (MOODY'S) Muni 1.1% Tsy 10.1% CP 0.6% CDs 1.0% LAIF 2.1% Bank/Cash 10.3% Agy 51.9% 35% 30% 25% 20% 15% 10% 29.3% 16.5% 20.2% 21.5% 12.5% P-1 AAA Aa1 Aa2 Aa3 A1 A2 1.6% 3.5% 3.8% 2.1% 6.3% 4.7% 63.3% Corp 23.0% Per Book Value A3 2.6% 5% NR 12.0% 0% 0-1Y 1-2Y 2-3Y 3-4Y 4-5Y 0% 25% 50% 75% Per Book Value NR: Not Rated ACCOUNT SUMMARY PORTFOLIO BOOK YIELD HISTORY TOP ISSUERS Market Value Book Value* Unrealized G/L Par Value Net Asset Value Book Yield Years to Maturity Effective Duration *Book Value is Amortized 9/30/17 6/30/17 $3,114,636,004 $3,301,724,919 $3,113,978,665 $3,301,216,209 $657,339 $508,710 $3,109,830,510 $3,296,249,871 $ $ % 1.58% % 1.65% 1.60% 1.55% 1.50% 1.45% 1.40% 1.35% Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Issuer FNMA FHLB US TREASURY NOTE BANK OF THE WEST MM FFCB FHLMC APPLE INC BANK OF NEW YORK WELLS FARGO CHEVRON CORP LAIF BANK OF THE WEST JOHN DEERE US BANK NA TOYOTA MOTOR CREDIT Per Book Value % Portfolio 22.1% 19.9% 10.1% 8.0% 5.3% 4.6% 3.5% 3.1% 2.8% 2.7% 2.1% 1.9% 1.9% 1.8% 1.6% 1

4 Investment Policy Compliance 9/30/2017 County of Fresno Item / Sector Parameters In Compliance 11.0 Weighted Average Maturity Weighted Average Maturity (WAM) must be less than 3.5 years. Yes 2.2 Yrs 8.1 U.S. Treasuries No sector limit, no issuer limit, max maturity 5 years. Yes 10.1% 8.2 U.S. Agencies No sector limit, no issuer limit, max maturity 5 years. Yes 51.9% 8.3 Banker Acceptances 8.4 Commercial Paper 40% limit, Issue is eligible for purchase by Federal Reserve. Issuer is among 150 largest banks based on total asset size; max maturity 180 days; rated A-1 or P-1. 40% limit, corporation organized and operating in the US with total assets of $500mm. 10% of issuer's CP / 10% in any one issuer; max maturity 270 days; minimum short-term rating of A-1 by S&P or P-1 by Moody's, minimum long-term rating of A by S&P or its equivalent or better ranking by a nationally recognized rating service. Yes 0.0% Yes 0.6% 8.5 Negotiable CDs 30% limit (combined with 8.6.1), Issued by national or state chartered bank or savings assoc., or a state licensed branch of a foreign bank that is among 150 largest banks in total asset size; minimum short-term rating of P-1 or A-1 or issuer meets rating requirements; 5% in any one issuer, max maturity 13 months. Yes 1.0% 8.6 Non-Negotiable CDs 50% limit, Issued by national or state chartered bank or savings association. FDIC insurance OR full collateralization of 110% government or 150% mortgages. Contract for Deposit in place. 15% in any one issue; short-term rating is a minimum of A-1 by S&P or P-1 by Moody's, max maturity 13 months. Yes 0.0% Placement CDs 8.7 Repurchase Agreements 15% limit (30% combined with 8.5), Issued by national or state chartered bank or savings association or credit union that uses a placement entity. Deposit Placement Agreement in Place. 15% limit, Tri-party agreement in place. 102% collateralization of US treasuries or agencies, BAs, CP, Negotiable CD's; Overnight or weekend maturities. Yes 0.0% Yes 0.0% 8.8 Medium-Term Notes 30% limit, organized and operating in the US or state licensed depository institution; max maturity 5 years; rated A or better by S&P, or its equivalent or better by a nationally recognized rating service. Yes 23.0% 8.9 L.A.I.F No sector limit, no issuer limit, California State's deposit limit is $65 million; Current investment policy limit is not to exceed 10% of the portfolio. Yes 2.1% 2

5 Investment Policy Compliance (Continued) 9/30/2017 County of Fresno Item / Sector Parameters In Compliance 8.10 Mutual Funds/ Money Markets Funds 20% limit, 10% per issuer; Registered with SEC, 5 years experience, $500mm AUM or rated by AAAm, Aaa-mf, AAA-m by not less than two nationally recognized rating agencies. Yes 0.3% 8.11 ABS and MBS 10% limit combined. Security must be AA rated by one rating agency, with an A or better rating for the underlying, max maturity 5 years. Yes 0.0% 8.12 Money Held from Pledged Assets Invest according to statutory provision or according to entity providing issuance. Yes 0.0% 8.13 External Managers Invest per policy. Yes 0.0% 8.14 State of California Debt 10% limit, Registered State warrants or CA treasury notes, including revenue producing entities controlled or operated by the State or by a department, board, agency, or authority of the State; 5 years max maturity. Yes 1.1% Cash & Bank Account NA NA 10.0% Compliance The County Treasurer believes the Treasury Investment Pool contains sufficient cash flow from liquid and maturing securities, bank deposits, and incoming cash to meet the next six months of expected expenditures. Review and Monitoring FTN Financial Main Street Advisors, the County s investment advisor, currently monitors the Treasury Department s investment activities. Additional Information Securities are purchased with the expectation that they will be held to maturity, so unrealized gains or losses are not reflected in the yield calculations. The market values of securities were taken from pricing services provided by Interactive Data Corporation. 3

6 Historical Book Values 9/30/2017 County of Fresno $3.4 $3.2 $3.0 $2.8 Billions $2.6 $2.4 $2.2 $2.0 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal Year 2014 $2.310 $2.291 $2.319 $2.282 $2.285 $2.551 $2.615 $2.411 $2.411 $2.617 $2.531 $2.335 Fiscal Year 2015 $2.375 $2.256 $2.269 $2.323 $2.333 $2.649 $2.685 $2.519 $2.515 $2.778 $2.790 $2.637 Fiscal Year 2016 $2.531 $2.291 $2.290 $2.354 $2.365 $2.673 $2.842 $2.695 $2.731 $2.993 $2.957 $2.860 Fiscal Year 2017 $2.822 $2.576 $2.530 $2.581 $2.580 $2.905 $3.048 $2.891 $2.940 $3.274 $3.294 $3.247 Fiscal Year 2018 $3.240 $2.992 $2.932 Figures in Billions, Average Daily Balance 4

7 Historical Book Values Per Fiscal Year 9/30/2017 County of Fresno $3.4 $3.2 $3.0 Billions $2.8 $2.6 $2.4 FY18 FY17 $2.2 FY16 FY15 FY14 $2.0 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal Year 2014 $2.310 $2.291 $2.319 $2.282 $2.285 $2.551 $2.615 $2.411 $2.411 $2.617 $2.531 $2.335 Fiscal Year 2015 $2.375 $2.256 $2.269 $2.323 $2.333 $2.649 $2.685 $2.519 $2.515 $2.778 $2.790 $2.637 Fiscal Year 2016 $2.531 $2.291 $2.290 $2.354 $2.365 $2.673 $2.842 $2.695 $2.731 $2.993 $2.957 $2.860 Fiscal Year 2017 $2.822 $2.576 $2.530 $2.581 $2.580 $2.905 $3.048 $2.891 $2.940 $3.274 $3.294 $3.247 Fiscal Year 2018 $3.240 $2.992 $2.932 Figures in Billions, Average Daily Balance 5

8 Weighted Average Maturity and Aging Report 9/30/2017 County of Fresno Weighted Average Maturity History Portfolio WAM WAM 12 Mon Avg Years Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun Month-End Book Yield vs 1-Year Treasury Note Index Yield (24 month moving avg) Percent Portfolio Index 2Yr T-Note 0.00 Jul-13 Aug-13 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Aug-15 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Index: 24 Month Moving Average of the BofA Merrill 1-Year US Treasury Note Index 6

9 Book Yield per WAM per Percent of Portfolio 9/30/2017 County of Fresno 2.25% Bubble Size = Percent of Portfolio Muni 2.00% Corp 1.75% Tsy Book Yield 1.50% CD Agy 1.25% CP LAIF 1.00% MMF/Cash 0.75% Weighted Average Maturity (Years) 7

10 Book YTM Per 6-Month Maturity Intervals 9/30/2017 County of Fresno Years Book Yield % of Portfolio* 0 to % 17.14%.5 to % 12.12% 2.50% 2.25% Bubble Size = Maturity's % of Portfolio 1.0 to % 7.42% 1.5 to % 9.09% 2.00% 2.00% 1.95% 2.0 to % 7.40% 2.5 to % 12.81% 3.0 to % 7.28% Book Yield 1.75% 1.50% 1.71% 1.68% 1.76% 1.73% 1.69% 1.81% 1.68% 3.5 to % 14.26% 4.0 to % 8.38% 1.25% 4.5 to % 4.11% 1.08% *Based on Book Value 1.00% 0.75% Maturity Intervals 8

11 Next Twelve Months Maturities 9/30/2017 County of Fresno $450 $424.3 $400 $350 $300 Millions $250 $200 $178.1 $150 $112.9 $100 $50 $0 $48.2 $37.1 $26.1 $26.1 $26.7 $20.4 $0.7 $8.1 $0.7 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Maturities Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 $424.3 $26.1 $0.7 $26.1 $48.2 $8.1 $0.7 $112.9 $178.1 $37.1 $26.7 $20.4 Par Value in Millions 9

12 Historical Sector Allocation 9/30/2017 County of Fresno 65% 60% 55% 50% 45% 40% 35% 30% 25% 20% 15% AGY TSY CP Bank/Cash CORP ABS CDs 10% 5% 0% Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Sector Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Agency 60.9% 61.5% 53.7% 60.0% 57.0% 54.7% 50.7% 51.4% 52.3% 54.6% 54.7% 51.9% Treasury 3.2% 3.7% 10.5% 11.1% 11.1% 10.6% 9.7% 9.8% 9.8% 10.6% 10.6% 10.1% Commercial Paper 0.8% 0.7% 1.6% 0.7% 0.7% 4.2% 5.3% 3.9% 3.3% 0.7% 0.7% 0.6% LAIF 1.9% 1.9% 2.1% 1.2% 2.2% 2.1% 1.9% 2.0% 2.0% 1.3% 0.2% 2.1% Muni 0.4% 0.4% 0.3% 0.3% 0.3% 0.3% 0.8% 1.0% 1.0% 1.1% 1.1% 1.1% Corporates 24.3% 23.7% 21.4% 22.5% 23.3% 22.3% 21.8% 22.6% 22.4% 24.9% 24.7% 23.0% CDs 3.8% 3.8% 3.2% 3.4% 1.7% 1.6% 1.5% 1.5% 1.5% 2.6% 1.0% 1.0% ABS 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Bank/Cash 4.6% 4.3% 7.1% 0.9% 3.5% 4.2% 8.4% 7.8% 7.7% 4.2% 7.0% 10.3% Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 10

13 Holdings Allocation by Issuer 9/30/2017 County of Fresno FEDERAL NATIONAL MORTGAGE 22.1% FEDERAL HOME LOAN BANK 19.9% US TREASURY NOTE 10.1% BANK OF THE WEST MM 8.0% FEDERAL FARM CREDIT BANK FEDERAL HOME MORTGAGE CO 4.6% 5.3% APPLE INC BANK OF NEW YORK WELLS FARGO CHEVRON CORP LAIF BANK OF THE WEST JOHN DEERE US BANK NA TOYOTA MOTOR CREDIT JP MORGAN G.E. CAPITAL CATERPILLAR BERKSHIRE HATHAWAY STATE OF CALIFORNIA MICROSOFT BNP PARIBAS NY BRANCH FIDELITY 2642 BANK OF AMERICA 3.5% 3.1% 2.8% 2.7% 2.1% 1.9% 1.9% 1.8% 1.6% 1.4% 1.3% 1.2% 1.2% 1.1% 1.1% 1.0% 0.3% 0.0% 0% 5% 10% 15% 20% 25% 11

14 Historical Earnings and Book Rate of Return Performance 9/30/2017 County of Fresno Millions $50 $45 $40 $35 $30 $25 $20 $15 $10 $5 $0 FY 2014 Fiscal Year-to- Earnings FY 2015 FY 2016 FY 2017 FY 2018 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal YTD ($Mil) FY 2014 FY 2015 FY 2016 FY 2017 FY 2018 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun $2.3 $4.7 $7.3 $9.8 $12.2 $15.0 $17.7 $20.7 $23.4 $26.2 $29.0 $31.6 $2.3 $4.9 $7.5 $10.5 $13.3 $16.2 $19.2 $22.1 $25.8 $29.0 $32.5 $35.5 $2.3 $5.1 $7.8 $10.6 $13.4 $17.2 $20.5 $23.7 $26.9 $30.5 $34.2 $37.3 $3.0 $6.0 $9.0 $12.1 $15.3 $18.9 $22.7 $26.5 $30.5 $34.8 $39.2 $43.5 $4.5 $8.7 $ % 1.80% 1.60% 1.40% 1.20% 1.00% 0.80% 0.60% 0.40% Book Rate of Return vs Benchmark 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 1.62% 1.65% 1.68% Benchmark* 0.76% 0.78% 0.79% Variance 0.86% 0.88% 0.89% *Benchmark: BofA Merrill 1-Year US Treasury Note Index (24 Month Moving Average)--Average Builds Over the Fiscal Year Period 12

15 Historical Book Rate of Return Performance 9/30/2017 County of Fresno 1.8% 1.6% 1.4% 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% Portfolio vs Benchmark Portfolio Benchmark 0.0% FY14 FY15 FY16 FY17 FY18 FY19 FY20 FY21 FY22 FY23 FY24 FY25 2.0% Portfolio vs. Benchmark: Annual Variance 1.5% 1.0% 1.45% 1.29% 1.16% 0.97% 0.89% 0.5% 0.0% FY14 FY15 FY16 FY17 FY18 FY19 FY20 FY21 FY22 FY23 FY24 FY25 Fiscal YTD FY14 FY15 FY16 FY17 FY18 FY19 FY20 FY21 FY22 FY23 FY24 FY25 Portfolio 1.62% 1.43% 1.42% 1.51% 1.68% Benchmark* 0.17% 0.14% 0.26% 0.54% 0.79% Variance 1.45% 1.29% 1.16% 0.97% 0.89% *Benchmark: BofA Merrill 1-Year US Treasury Note Index (24 Month Moving Average)--Average Builds Over the Fiscal Year Period 13

16 Investment Activity 9/30/2017 County of Fresno 275 Number of Positions at Month End Positions Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Positions Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep Purchases and Redemptions* (Excluding LGIP & MMF) Purchases Redemptions Number of Transactions Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 *Redemptions include maturities, calls, and sells Purchases Redemptions Total Transactions Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep

17 Portfolio Statistics & Projected Cash Flows 9/30/2017 County of Fresno Summary of Portfolio Market Value Amortize Cost Value Unrealized Gain/Loss % on cost Yield (weighted on cost value) Years to Maturity (weighted on cost value) Avg Dollar-Weighted Quality Rating September 2017 $3,114,636,004 $3,113,978, % 1.64% 2.19 AA+ June 2017 $3,301,724,919 $3,301,216, % 1.58% 2.16 AA+ March 2017 $3,099,415,271 $3,100,573, % 1.55% 2.30 AA+ December 2016 $3,110,202,800 $3,113,609, % 1.44% 2.23 AA+ September 2016 $2,633,407,788 $2,608,115, % 1.39% 2.16 AA+ Month Beginning Balance (2) Monthly Receipts (1) Monthly Disburs. Projection of Future Cash Flows 10/ / / Difference / Required Mat. Invest Balance Actual Inv. Maturities (3) Available to Invest > 6 Months (4) / / Totals 2, , % 100% Monthly Receipt and Monthly Disbursement amounts are estimates based upon historical cash flows and may change as actual cash flow information becomes available. 2. Beginning balance: is taken from LAIF, Bank of the West MMF, and Bank of the West Service Bank. 3. Actual Investment Maturities: excludes vault. 4. Available to Invest > 6 Months: is calculated as Actual Investment Maturities less Required Investment Maturities. 15

18 Pool Participant Breakdown 9/30/2017 County of Fresno Entity Portfolio $ Portfolio % County 995,189, % Property Tax 99,699, % Schools 1,470,022, % Special Districts 378,132, % Voluntary 256,085, % Total 3,199,129, % Special Districts 11.8% Voluntary 8.0% County 31.1% Schools 46.0% Property Tax 3.1% 16

19 County of Fresno Portfolio Management Portfolio Summary September 30, 2017 Fresno County P.O. Box 1247 Fresno, CA (559) Investments Par Value Market Value Book Value % of Portfolio Term Days to Maturity YTM 360 Equiv. Bank Accounts 59,948, ,948, ,948, Federal Agency Coupons 1,613,756, ,612,562, ,615,785, , Medium Term Notes 715,061, ,682, ,129, , Treasury Notes 312,390, ,488, ,364, ,446 1, Discount Commercial Paper 20,000, ,974, ,974, Mutual Funds 10,000, ,000, ,000, Local Agency Investment Funds 65,000, ,000, ,000, BOW Money Market Account 250,174, ,174, ,174, Negotiable CDs 30,000, ,996, ,000, Municipal Bonds 33,500, ,808, ,600, ,794 1, Investments 3,109,830, ,114,636, ,113,978, % 1, Total Earnings Current Year Average Daily Balance Effective Rate of Return September 30 Month Ending Fiscal Year To 4,193, ,934, ,932,377, ,055,968, % 1.68% Oscar J. Garcia, CPA, Treasurer/ Tax Collector Reporting period 09/01/ /30/2017 Portfolio FSNO AC Run : 10/19/ :16 PM (PRF_PM1) Report Ver

20 County of Fresno Portfolio Management Portfolio Details - Investments September 30, 2017 Page 1 CUSIP Investment # Bank Accounts SYS03400B SYS03400A Issuer Average Balance Purchase Par Value Market Value Book Value 03400B BANK OF AMERICA 4, , , A BANK OF THE WEST 59,943, ,943, ,943, Stated Rate YTM 365 S&P Moody's Maturity Subtotal and Average 15,115, ,948, ,948, ,948, Federal Agency Coupons 31331KNA FEDERAL FARM CREDIT BANK 12/18/2013 1,000, ,009, ,007, AA+ Aaa 06/08/ EDLR FEDERAL FARM CREDIT BANK 05/27/2014 5,000, ,009, ,002, AA+ Aaa 05/15/ EEW FEDERAL FARM CREDIT BANK 06/15/ ,000, ,034, ,977, AA+ Aaa 06/15/ EFYZ FEDERAL FARM CREDIT BANK 02/29/ ,800, ,443, ,764, AA+ Aaa 02/10/ EDXA FEDERAL FARM CREDIT BANK 04/06/ ,000, ,000, ,002, AA+ Aaa 10/10/ EDXA FEDERAL FARM CREDIT BANK 04/06/2016 7,500, ,500, ,500, AA+ Aaa 10/10/ EFW FEDERAL FARM CREDIT BANK 06/09/2016 2,060, ,045, ,063, AA+ Aaa 07/01/ EGBR FEDERAL FARM CREDIT BANK 06/09/2016 5,000, ,962, ,998, AA+ Aaa 02/25/ EGYQ FEDERAL FARM CREDIT BANK 10/27/ ,000, ,754, ,977, AA+ Aaa 10/14/ EGZJ FEDERAL FARM CREDIT BANK 10/27/ ,000, ,761, ,967, AA+ Aaa 10/25/ EG5D FEDERAL FARM CREDIT BANK 01/27/ ,000, ,007, ,000, AA+ Aaa 01/27/ EHJT FEDERAL FARM CREDIT BANK 05/18/2017 5,000, ,993, ,994, AA+ Aaa 05/18/ EEY FEDERAL FARM CREDIT BANK 09/21/ ,000, ,250, ,274, AA+ Aaa 06/17/ EHVS FEDERAL FARM CREDIT BANK 09/28/2017 5,500, ,470, ,476, AA+ Aaa 08/23/ UU FEDERAL HOME LOAN BANK 07/01/ ,000, ,493, ,363, AA+ Aaa 06/08/ UU FEDERAL HOME LOAN BANK 07/12/ ,000, ,296, ,226, AA+ Aaa 06/08/ UU FEDERAL HOME LOAN BANK 07/26/ ,150, ,753, ,610, AA+ Aaa 06/08/ UU FEDERAL HOME LOAN BANK 12/12/2013 3,940, ,978, ,974, AA+ Aaa 06/08/ DT FEDERAL HOME LOAN BANK 12/12/2013 6,135, ,133, ,128, AA+ Aaa 06/08/ XRFZ FEDERAL HOME LOAN BANK 12/18/2013 2,000, ,045, ,043, AA+ Aaa 06/08/ BR FEDERAL HOME LOAN BANK 01/03/ ,000, ,144, ,964, AA+ Aaa 12/14/ EE FEDERAL HOME LOAN BANK 06/18/2014 5,000, ,008, ,981, AA+ Aaa 06/14/ A2FH FEDERAL HOME LOAN BANK 09/02/ ,000, ,063, ,002, AA+ Aaa 06/14/ EE FEDERAL HOME LOAN BANK 09/10/ ,000, ,016, ,963, AA+ Aaa 06/14/ A2FH FEDERAL HOME LOAN BANK 09/10/ ,000, ,031, ,984, AA+ Aaa 06/14/ X72S FEDERAL HOME LOAN BANK 12/09/ ,000, ,616, ,570, AA+ Aaa 05/15/ X72S FEDERAL HOME LOAN BANK 12/19/ ,500, ,764, ,681, AA+ Aaa 05/15/ HU FEDERAL HOME LOAN BANK 06/12/ ,000, ,033, ,999, AA+ Aaa 06/12/ HU FEDERAL HOME LOAN BANK 06/26/ ,615, ,635, ,590, AA+ Aaa 06/12/ A7CV FEDERAL HOME LOAN BANK 03/03/2016 5,000, ,948, ,975, AA+ Aaa 02/18/ XN FEDERAL HOME LOAN BANK 03/03/ , , , AA+ Aaa 02/08/2021 Portfolio FSNO AC Run : 10/19/ :14 PM (PRF_PM2) Report Ver

21 County of Fresno Portfolio Management Portfolio Details - Investments September 30, 2017 Page 2 CUSIP Investment # Federal Agency Coupons 3130A7CV CA1 3130A7CV5 3130A7CV5 3130A1W A7CV5 3130A8QS RB7 3130A8QS5 3130A8QS5 3130A8QS P1 3130A8QS5 3130A8QS5 3130A1W A7CV5 3130AAX A8QS5 3130AB3M RB Q Q Q Q AC5A8 3130AC5A Q EABA6 3137EADP1 3137EADP1 3137EABP3 3137EADK2 3137EADK2 3137EADM8 3137EADM8 3137EADM8 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's FEDERAL HOME LOAN BANK 04/21/ ,000, ,896, ,990, AA+ Aaa 02/18/ FEDERAL HOME LOAN BANK 04/21/2016 5,000, ,940, ,000, AA+ Aaa 12/11/ FEDERAL HOME LOAN BANK 05/20/2016 5,000, ,948, ,985, AA+ Aaa 02/18/ FEDERAL HOME LOAN BANK 05/25/ ,000, ,896, ,962, AA+ Aaa 02/18/ FEDERAL HOME LOAN BANK 07/15/ ,000, ,492, ,071, AA+ Aaa 06/11/ FEDERAL HOME LOAN BANK 08/08/ ,000, ,896, ,065, AA+ Aaa 02/18/ FEDERAL HOME LOAN BANK 08/08/ ,000, ,653, ,934, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 08/17/ ,000, ,030, ,202, AA+ Aaa 06/11/ FEDERAL HOME LOAN BANK 08/29/2016 3,955, ,863, ,926, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 09/13/ ,000, ,653, ,887, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 09/28/ ,000, ,768, ,957, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 10/05/2016 5,700, ,048, ,154, AA+ Aaa 07/29/ FEDERAL HOME LOAN BANK 10/13/ ,000, ,768, ,892, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 11/14/ ,000, ,768, ,852, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 11/29/ ,470, ,773, ,737, AA+ Aaa 06/11/ FEDERAL HOME LOAN BANK 03/20/ ,000, ,793, ,682, AA+ Aaa 02/18/ FEDERAL HOME LOAN BANK 03/28/ ,000, ,057, ,051, AA+ Aaa 01/28/ FEDERAL HOME LOAN BANK 04/06/ ,000, ,537, ,505, AA+ Aaa 07/14/ FEDERAL HOME LOAN BANK 04/10/2017 5,000, ,010, ,003, AA+ Aaa 06/30/ FEDERAL HOME LOAN BANK 04/11/ ,000, ,045, ,015, AA+ Aaa 06/11/ FEDERAL HOME LOAN BANK 06/28/2017 5,000, ,037, ,057, AA+ Aaa 06/10/ FEDERAL HOME LOAN BANK 06/28/2017 5,000, ,037, ,057, AA+ Aaa 06/10/ FEDERAL HOME LOAN BANK 06/28/2017 3,820, ,848, ,864, AA+ Aaa 06/10/ FEDERAL HOME LOAN BANK 07/07/ ,470, ,577, ,564, AA+ Aaa 06/10/ FEDERAL HOME LOAN BANK 09/19/ ,000, ,941, ,995, AA+ Aaa 08/15/ FEDERAL HOME LOAN BANK 09/27/2017 9,280, ,229, ,267, AA+ Aaa 08/15/ FEDERAL HOME LOAN BANK 09/27/ ,000, ,254, ,345, AA+ Aaa 06/10/ FEDERAL HOME MORTGAGE CO 11/30/ , , , AA+ Aaa 11/17/ FEDERAL HOME MORTGAGE CO 03/08/ , , , AA+ Aaa 03/07/ FEDERAL HOME MORTGAGE CO 03/28/2013 1,000, , , AA+ Aaa 03/07/ FEDERAL HOME MORTGAGE CO 06/14/ , , , AA+ Aaa 06/13/ FEDERAL HOME MORTGAGE CO 12/11/ ,000, ,928, ,896, AA+ Aaa 08/01/ FEDERAL HOME MORTGAGE CO 12/11/ ,000, ,905, ,862, AA+ Aaa 08/01/ FEDERAL HOME MORTGAGE CO 12/19/ ,000, ,885, ,808, AA+ Aaa 10/02/ FEDERAL HOME MORTGAGE CO 12/19/ ,000, ,885, ,809, AA+ Aaa 10/02/ FEDERAL HOME MORTGAGE CO 12/19/ ,000, ,942, ,904, AA+ Aaa 10/02/2019 Maturity Portfolio FSNO AC Run : 10/19/ :14 PM (PRF_PM2)

22 County of Fresno Portfolio Management Portfolio Details - Investments September 30, 2017 Page 3 CUSIP Investment # Federal Agency Coupons 3137EADR7 3137EADR7 3134G44G0 3137EAEB1 3137EAEC9 3134G9M G9N G0PQ0 3135G0RT2 3135G0TG8 3135G0TG8 3135G0WJ8 3135G0WJ8 3135G0WJ8 3135G0YM9 3135G0WJ8 3135G0YM9 3135G0YM9 3135G0TG8 3135G0YT4 3135G0ZA4 3135G0ZA4 3135G0ZA4 3135G0YT4 3135G0ZA4 3135G0ZE6 3135G0ZA4 3135G0ZE6 3136FTZZ5 3135G0ZE6 3135G0ZE6 3135G0A G0A G0A G0A G0D75 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's FEDERAL HOME MORTGAGE CO 05/06/ ,000, ,945, ,936, AA+ Aaa 05/01/ FEDERAL HOME MORTGAGE CO 05/08/ ,000, ,945, ,932, AA+ Aaa 05/01/ FEDERAL HOME MORTGAGE CO 10/29/2015 5,000, ,977, ,996, AA+ Aaa 05/22/ FEDERAL HOME MORTGAGE CO 08/11/ ,000, ,884, ,989, AA+ Aaa 07/19/ FEDERAL HOME MORTGAGE CO 08/17/ ,000, ,745, ,926, AA+ Aaa 08/12/ FEDERAL HOME MORTGAGE CO 04/06/2017 4,410, ,408, ,408, AA+ Aaa 07/26/ FEDERAL HOME MORTGAGE CO 05/11/2017 6,170, ,162, ,164, AA+ Aaa 07/27/ FEDERAL NATIONAL MORTGAGE 11/01/ , , , AA+ Aaa 10/26/ FEDERAL NATIONAL MORTGAGE 12/21/ , , , AA+ Aaa 12/20/ FEDERAL NATIONAL MORTGAGE 02/12/ , , , AA+ Aaa 02/08/ FEDERAL NATIONAL MORTGAGE 02/28/ , , , AA+ Aaa 02/08/ FEDERAL NATIONAL MORTGAGE 05/30/ , , , AA+ Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 05/30/ , , , AA+ Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 08/30/ , , , AA+ Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 09/25/ , , , AA+ Aaa 09/18/ FEDERAL NATIONAL MORTGAGE 12/12/ ,000, ,897, ,865, AA+ Aaa 05/21/ FEDERAL NATIONAL MORTGAGE 11/22/2013 1,000, ,004, ,003, AA+ Aaa 09/18/ FEDERAL NATIONAL MORTGAGE 11/27/ , , , AA+ Aaa 09/18/ FEDERAL NATIONAL MORTGAGE 12/20/ ,000, ,973, ,964, AA+ Aaa 02/08/ FEDERAL NATIONAL MORTGAGE 01/31/ , , , AA+ Aaa 11/27/ FEDERAL NATIONAL MORTGAGE 02/25/ ,000, ,055, ,019, AA+ Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 03/03/ ,000, ,139, ,067, AA+ Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 03/03/ ,000, ,055, ,027, AA+ Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 03/20/ , , , AA+ Aaa 11/27/ FEDERAL NATIONAL MORTGAGE 03/20/ , , , AA+ Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 06/18/2014 5,000, ,022, ,991, AA+ Aaa 06/20/ FEDERAL NATIONAL MORTGAGE 10/01/2014 5,000, ,027, ,009, AA+ Aaa 02/19/ FEDERAL NATIONAL MORTGAGE 10/01/ ,000, ,133, ,952, AA+ Aaa 06/20/ FEDERAL NATIONAL MORTGAGE 12/09/ ,000, ,032, ,020, AA+ Aaa 01/30/ FEDERAL NATIONAL MORTGAGE 12/11/ ,000, ,044, ,024, AA+ Aaa 06/20/ FEDERAL NATIONAL MORTGAGE 12/19/ ,000, ,115, ,038, AA+ Aaa 06/20/ FEDERAL NATIONAL MORTGAGE 03/04/ ,000, ,025, ,965, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 05/08/ ,000, ,012, ,000, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 05/08/ ,000, ,012, ,001, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 06/03/ ,000, ,018, ,996, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 10/29/ ,000, ,943, ,981, AA+ Aaa 06/22/2020 Maturity Portfolio FSNO AC Run : 10/19/ :14 PM (PRF_PM2)

23 County of Fresno Portfolio Management Portfolio Details - Investments September 30, 2017 Page 4 CUSIP Investment # Federal Agency Coupons 3135G0A G0RM7 3135G0D G0A G0D G0D G0A G0D G0D G0D G0D G0A G0A G0D G0A G0H G0K G0J G0N G0N G0N G0K G0Q G0Q G0Q G0K G0K G0K G0S G0S G0S G2CS4 3135G0S G0S38 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's FEDERAL NATIONAL MORTGAGE 10/29/ ,000, ,012, ,040, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 10/30/ ,060, ,036, ,075, AA+ Aaa 10/30/ FEDERAL NATIONAL MORTGAGE 10/30/2015 5,950, ,933, ,939, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 11/04/ ,000, ,012, ,022, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 11/04/2015 5,000, ,985, ,983, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 11/04/2015 5,000, ,985, ,983, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 11/06/ ,000, ,012, ,007, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 11/06/2015 5,000, ,985, ,976, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/17/ ,000, ,915, ,785, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/17/ ,000, ,943, ,847, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/22/ ,000, ,971, ,947, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/22/ ,000, ,025, ,004, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 12/23/ ,000, ,012, ,001, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 12/23/ ,000, ,971, ,943, AA+ Aaa 06/22/ FEDERAL NATIONAL MORTGAGE 12/23/ ,000, ,025, ,002, AA+ Aaa 01/21/ FEDERAL NATIONAL MORTGAGE 05/20/ ,000, ,051, ,143, AA+ Aaa 12/28/ FEDERAL NATIONAL MORTGAGE 05/25/ ,000, ,822, ,905, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 08/11/ ,561, ,391, ,606, AA+ Aaa 02/26/ FEDERAL NATIONAL MORTGAGE 08/29/ ,000, ,785, ,983, AA+ Aaa 08/17/ FEDERAL NATIONAL MORTGAGE 08/29/ ,000, ,785, ,967, AA+ Aaa 08/17/ FEDERAL NATIONAL MORTGAGE 08/29/ ,000, ,785, ,959, AA+ Aaa 08/17/ FEDERAL NATIONAL MORTGAGE 09/28/ ,000, ,555, ,013, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 10/07/ ,000, ,622, ,973, AA+ Aaa 10/07/ FEDERAL NATIONAL MORTGAGE 10/13/ ,000, ,811, ,952, AA+ Aaa 10/07/ FEDERAL NATIONAL MORTGAGE 10/27/2016 5,000, ,905, ,985, AA+ Aaa 10/07/ FEDERAL NATIONAL MORTGAGE 11/02/ ,000, ,822, ,954, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 11/14/2016 8,000, ,857, ,923, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 12/02/ ,000, ,555, ,432, AA+ Aaa 05/06/ FEDERAL NATIONAL MORTGAGE 01/09/ ,000, ,050, ,961, AA+ Aaa 01/05/ FEDERAL NATIONAL MORTGAGE 01/09/ ,000, ,025, ,979, AA+ Aaa 01/05/ FEDERAL NATIONAL MORTGAGE 03/28/ ,000, ,025, ,005, AA+ Aaa 01/05/ FEDERAL NATIONAL MORTGAGE 03/28/2017 5,000, ,007, ,003, AA+ Aaa 01/27/ FEDERAL NATIONAL MORTGAGE 06/02/2017 5,000, ,012, ,034, AA+ Aaa 01/05/ FEDERAL NATIONAL MORTGAGE 06/12/2017 5,000, ,012, ,033, AA+ Aaa 01/05/2022 Maturity Subtotal and Average 1,590,468, ,613,756, ,612,562, ,615,785, Portfolio FSNO AC Run : 10/19/ :14 PM (PRF_PM2)

24 County of Fresno Portfolio Management Portfolio Details - Investments September 30, 2017 Page 5 CUSIP Investment # Medium Term Notes AJ AJ AJ AJ AJ BD CC BS CM AY CQ BH BY BE BY BL HCL HCL HCU HCU HCW HCZ HCJ HDD HBP HCR RAA FAB L5T L5T L5T L6J L6U AE AE AE0 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's APPLE INC 07/08/2013 6,579, ,563, ,547, AA+ Aa1 05/03/ APPLE INC 08/15/ ,000, ,974, ,953, AA+ Aa1 05/03/ APPLE INC 08/16/2013 6,265, ,250, ,234, AA+ Aa1 05/03/ APPLE INC 08/27/2013 7,000, ,983, ,957, AA+ Aa1 05/03/ APPLE INC 09/10/ ,000, ,976, ,931, AA+ Aa1 05/03/ APPLE INC 12/28/ ,000, ,051, ,997, AA+ Aa1 05/06/ APPLE INC 12/13/2016 5,000, ,901, ,877, AA+ Aa1 08/04/ APPLE INC 01/19/ ,000, ,080, ,000, AA+ Aa1 02/23/ APPLE INC 02/21/ ,000, ,198, ,967, AA+ Aa1 02/09/ APPLE INC 04/18/ ,000, ,983, ,981, AA+ Aa1 02/09/ APPLE INC 05/11/ ,000, ,078, ,955, AA+ Aa1 05/11/ BERKSHIRE HATHAWAY 07/05/ ,000, ,999, ,990, AA Aa2 02/09/ BERKSHIRE HATHAWAY 08/15/ ,000, ,049, ,003, AA Aa2 08/15/ BERKSHIRE HATHAWAY 08/27/2013 5,124, ,245, ,222, AA Aa2 05/15/ BERKSHIRE HATHAWAY 08/27/2013 1,000, ,004, , AA Aa2 08/15/ BERKSHIRE HATHAWAY 10/01/ ,000, ,097, ,986, AA Aa2 08/14/ BANK OF NEW YORK 08/27/2013 5,000, ,022, ,996, A A1 08/01/ BANK OF NEW YORK 12/13/ ,000, ,045, ,017, A A1 08/01/ BANK OF NEW YORK 09/16/2014 2,500, ,514, ,499, A A1 05/15/ BANK OF NEW YORK 09/16/2014 5,000, ,029, ,999, A A1 05/15/ BANK OF NEW YORK 10/01/2014 8,501, ,566, ,483, A A1 09/11/ BANK OF NEW YORK 03/04/2015 3,000, ,014, ,004, A A1 02/24/ BANK OF NEW YORK 09/11/2015 4,481, ,479, ,476, A A1 03/06/ BANK OF NEW YORK 12/28/2015 5,000, ,074, ,024, A A1 08/17/ BANK OF NEW YORK 12/28/2015 5,000, ,289, ,252, A A1 01/15/ BANK OF NEW YORK 05/19/ ,000, ,160, ,281, A A1 03/04/ BANK OF NEW YORK 04/18/ ,000, ,099, ,072, A A1 02/07/ BANK OF NEW YORK 07/18/2017 7,500, ,498, ,470, A A1 05/03/ CATERPILLAR 09/10/2013 5,000, ,037, ,997, A A3 09/06/ CATERPILLAR 12/06/2013 7,675, ,732, ,714, A A3 09/06/ CATERPILLAR 12/26/2013 2,500, ,518, ,509, A A3 09/06/ CATERPILLAR 03/04/2016 8,278, ,289, ,261, A A3 03/05/ CATERPILLAR 09/16/ ,294, ,002, ,162, A A3 08/09/ CHEVRON CORP 07/05/ ,000, ,008, ,993, AA- Aa2 06/24/ CHEVRON CORP 08/27/2013 3,320, ,322, ,311, AA- Aa2 06/24/ CHEVRON CORP 12/06/ ,000, ,008, ,007, AA- Aa2 06/24/2018 Maturity Portfolio FSNO AC Run : 10/19/ :14 PM (PRF_PM2)

25 County of Fresno Portfolio Management Portfolio Details - Investments September 30, 2017 Page 6 CUSIP Investment # Medium Term Notes AY BH BH BG G6K G3U G3U G3U G7M ESB EQV ESF ESK ERY ETF ERH HJR HJR HHL HJR HKA HNX BP BP BW BA P6S TBP TCA TCP HHL HHL HHL HHL HHL HHL7 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's JOHN DEERE 07/05/2013 1,925, ,923, ,920, A A2 03/12/ JOHN DEERE 09/10/2013 3,500, ,636, ,599, A A2 09/10/ JOHN DEERE 12/26/ ,000, ,072, ,976, A A2 12/13/ JOHN DEERE 03/05/ ,000, ,033, ,003, A A2 03/04/ JOHN DEERE 12/28/2015 9,000, ,966, ,886, A A2 01/15/ JOHN DEERE 03/04/2016 5,000, ,063, ,061, A A2 01/08/ JOHN DEERE 12/13/2016 8,707, ,997, ,946, A A2 10/15/ JP MORGAN 01/28/2014 5,000, ,037, ,999, A- A3 01/28/ JP MORGAN 03/05/ ,000, ,074, ,016, A- A3 01/28/ JP MORGAN 07/23/2014 6,740, ,192, ,136, A- A3 04/23/ JP MORGAN 09/16/2014 5,000, ,037, ,007, A- A3 01/28/ JP MORGAN 03/04/ ,000, ,053, ,979, A- A3 01/23/ JP MORGAN 03/04/2016 6,181, ,250, ,184, A- A3 10/29/ MICROSOFT 08/22/ ,000, ,735, ,992, AAA Aaa 08/08/ MICROSOFT 12/13/2016 5,000, ,911, ,884, AAA Aaa 08/08/ MICROSOFT 02/21/2017 6,725, ,798, ,720, AAA Aaa 02/06/ MICROSOFT 02/21/2017 6,450, ,508, ,438, AAA Aaa 02/12/ CHEVRON CORP 12/28/ ,000, ,146, ,984, AA- Aa2 11/17/ CHEVRON CORP 05/25/ ,000, ,971, ,967, AA- Aa2 05/16/ CHEVRON CORP 05/27/ ,000, ,985, ,983, AA- Aa2 05/16/ CHEVRON CORP 04/25/ ,000, ,009, ,991, AA- Aa2 05/16/ G.E. CAPITAL 12/19/2012 5,000, ,002, ,000, AA- A1 11/20/ G.E. CAPITAL 08/15/2013 5,000, ,117, ,095, AA- A1 05/01/ G.E. CAPITAL 09/10/ ,000, ,235, ,163, AA- A1 05/01/ G.E. CAPITAL 12/13/ ,000, ,235, ,213, AA- A1 05/01/ G.E. CAPITAL 03/04/ ,350, ,442, ,400, AA- A1 01/09/ TOYOTA MOTOR CREDIT 07/05/2013 5,000, ,999, ,999, AA- Aa3 10/05/ TOYOTA MOTOR CREDIT 10/01/ ,000, ,069, ,987, AA- Aa3 07/18/ TOYOTA MOTOR CREDIT 09/01/ ,000, ,002, ,002, AA- Aa3 01/12/ TOYOTA MOTOR CREDIT 09/11/2015 6,000, ,003, ,999, AA- Aa3 07/13/ US BANK NA 08/22/2016 5,000, ,040, ,106, A+ A1 01/29/ US BANK NA 12/13/2016 4,634, ,671, ,651, A+ A1 01/29/ US BANK NA 12/22/2016 5,000, ,040, ,990, A+ A1 01/29/ US BANK NA 12/22/2016 7,522, ,582, ,508, A+ A1 01/29/ US BANK NA 03/22/ ,000, ,080, ,007, A+ A1 01/29/ US BANK NA 06/27/2017 4,803, ,841, ,847, A+ A1 01/29/2021 Maturity Portfolio FSNO AC Run : 10/19/ :14 PM (PRF_PM2)

26 County of Fresno Portfolio Management Portfolio Details - Investments September 30, 2017 Page 7 CUSIP Investment # Medium Term Notes 91159HHP WBH WBH BFG BFG BFQ SA SA SA SA0 Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's US BANK NA 06/27/ ,000, ,278, ,290, A+ A1 01/24/ WELLS FARGO 03/13/ ,000, ,138, ,129, A A2 02/01/ WELLS FARGO 03/13/2013 7,000, ,096, ,090, A A2 02/01/ WELLS FARGO 07/05/ ,000, ,000, ,985, A A2 01/16/ WELLS FARGO 08/15/2013 5,000, ,000, ,993, A A2 01/16/ WELLS FARGO 01/15/ ,000, ,075, ,986, A A2 01/15/ WELLS FARGO 01/25/ ,000, ,915, ,742, A A2 07/26/ WELLS FARGO 04/17/2017 5,000, ,957, ,933, A A2 07/26/ WELLS FARGO 05/15/ ,232, ,120, ,052, A A2 07/26/ WELLS FARGO 07/18/ ,275, ,171, ,131, A A2 07/26/2021 Maturity Treasury Notes TW UA UJ UZ VQ VQ WD RE C A ND XE XE N XM WN XM L XR6 Subtotal and Average 716,195, ,061, ,682, ,129, US TREASURY NOTE 10/31/2012 1,000, , ,000, AA+ Aaa 10/31/ US TREASURY NOTE 12/28/ , , , AA+ Aaa 11/30/ US TREASURY NOTE 01/31/2013 1,100, ,098, ,099, AA+ Aaa 01/31/ US TREASURY NOTE 05/30/ , , , AA+ Aaa 04/30/ US TREASURY NOTE 08/01/ , , , AA+ Aaa 07/31/ US TREASURY NOTE 12/27/ , , , AA+ Aaa 07/31/ US TREASURY NOTE 03/21/ , , , AA+ Aaa 10/31/ US TREASURY NOTE 03/21/ , , , AA+ Aaa 08/31/ US TREASURY NOTE 03/31/2014 1,000, ,000, , AA+ Aaa 02/28/ US TREASURY NOTE 04/21/ , , , AA+ Aaa 12/31/ US TREASURY NOTE 12/23/ ,000, ,987, ,877, AA+ Aaa 05/15/ US TREASURY NOTE 11/15/ ,000, ,967, ,036, AA+ Aaa 05/31/ US TREASURY NOTE 12/13/ ,000, ,912, ,911, AA+ Aaa 05/31/ US TREASURY NOTE 12/16/ ,000, ,075, ,788, AA+ Aaa 12/31/ US TREASURY NOTE 12/22/ ,000, ,021, ,869, AA+ Aaa 07/31/ US TREASURY NOTE 12/28/ ,000, ,356, ,006, AA+ Aaa 05/31/ US TREASURY NOTE 12/28/ ,000, ,021, ,847, AA+ Aaa 07/31/ US TREASURY NOTE 12/28/ ,000, ,775, ,614, AA+ Aaa 09/30/ US TREASURY NOTE 09/27/ ,000, ,983, ,032, AA+ Aaa 05/31/2022 Subtotal and Average 299,352, ,390, ,488, ,364, Portfolio FSNO AC Run : 10/19/ :14 PM (PRF_PM2)

27 County of Fresno Portfolio Management Portfolio Details - Investments September 30, 2017 Page 8 CUSIP Investment # Discount Commercial Paper Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's 89233GY TOYOTA MOTOR CREDIT 07/11/ ,000, ,974, ,974, A-1+ P-1 11/07/2017 Maturity Subtotal and Average 19,964, ,000, ,974, ,974, Mutual Funds 09248U718 SYS16450 SYS02642 SYS05831 SYS BLACKROCK PROVIDENT TFUND 07/01/ BLACKROCK LIQUIDITY FED FUND 07/01/ FIDELITY ,000, ,000, ,000, FIDELITY /01/ FIDELITY /01/ AAA AAA AAA AAA AAA Aaa Aaa Aaa Aaa Aaa Local Agency Investment Funds SYS05291 Subtotal and Average 15,166, ,000, ,000, ,000, LAIF 65,000, ,000, ,000, Cash in Vault SYS03399 Subtotal and Average 19,000, ,000, ,000, ,000, VAULT 07/01/ BOW Money Market Account SYS16800 Negotiable CDs Subtotal and Average BANK OF THE WEST MM 250,174, ,174, ,174, Subtotal and Average 193,511, ,174, ,174, ,174, WZV BNP PARIBAS NY BRANCH 07/27/ ,000, ,996, ,000, A-1 P-1 07/27/2018 Municipal Bonds 13063CKL DAD DAD DAD0 Subtotal and Average 30,000, ,000, ,996, ,000, STATE OF CALIFORNIA 06/12/ ,000, ,082, ,017, AA- Aa3 05/01/ STATE OF CALIFORNIA 04/27/2017 5,000, ,047, ,000, AA- Aa3 04/01/ STATE OF CALIFORNIA 04/27/ ,500, ,599, ,552, AA- Aa3 04/01/ STATE OF CALIFORNIA 05/03/2017 8,000, ,079, ,030, AA- Aa3 04/01/2022 Subtotal and Average 33,601, ,500, ,808, ,600, Portfolio FSNO AC Run : 10/19/ :14 PM (PRF_PM2)

28 County of Fresno Portfolio Management Portfolio Details - Investments September 30, 2017 Page 9 CUSIP Investment # Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's Total and Average 2,932,377, ,109,830, ,114,636, ,113,978, Portfolio FSNO AC Run : 10/19/ :14 PM (PRF_PM2)

29 County of Fresno Portfolio Management Portfolio Details - Cash September 30, 2017 Page 10 CUSIP Investment # Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate YTM 365 S&P Moody's Average Balance 0.00 Total Cash and Investments 2,932,377, ,109,830, ,114,636, ,113,978, Portfolio FSNO AC Run : 10/19/ :14 PM (PRF_PM2)

30 County of Fresno Inventory by Maturity Report September 30, 2017 Sec. CUSIP Investment # Fund Type Issuer SYS02642 SYS03399 SYS03400A SYS03400B SYS05291 SYS05831 SYS15497 SYS16450 SYS U P6S0 3133EDXA5 3133EDXA5 3135G0PQ TW GY EABA G6K UA6 3135G0RT TCA BFG BFG UJ WBH WBH8 3135G0TG8 3135G0TG8 3135G0TG BH HCJ6 3137EADP1 3137EADP ESB UZ A 03400B Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS LA1 FIDELITY /01/ ,000, ,000, ,000, TREAS PA2 VAULT 07/01/ TREAS PA1 BANK OF THE WEST 07/01/ ,943, ,943, ,943, TREAS PA1 BANK OF AMERICA 07/01/2017 4, , , TREAS LA5 LAIF 07/01/ ,000, ,000, ,000, TREAS LA1 FIDELITY /01/ TREAS LA1 FIDELITY /01/ TREAS LA1 BLACKROCK LIQUIDITY 07/01/ TREAS LA3 BANK OF THE WEST MM 07/01/ ,174, ,174, ,174, TREAS LA1 BLACKROCK PROVIDENT 07/01/ TREAS MTN TOYOTA MOTOR CREDIT 07/05/2013 4,999, /05/2017 5,000, ,553 5,000, TREAS FAC FEDERAL FARM CREDIT 04/06/ ,002, /10/ ,000, ,000, TREAS FAC FEDERAL FARM CREDIT 04/06/2016 7,500, /10/2017 7,500, ,500, TREAS FAC FEDERAL NATIONAL 11/01/ , /26/ , , , TREAS TRC US TREASURY NOTE 10/31/2012 1,000, /31/2017 1,000, ,826 1,000, TREAS ACP TOYOTA MOTOR CREDIT 07/11/ ,974, /07/ ,000, ,000, TREAS FAC FEDERAL HOME 11/30/ , /17/ , , , TREAS MTN G.E. CAPITAL 12/19/2012 5,000, /20/2017 5,000, ,797 5,000, TREAS TRC US TREASURY NOTE 12/28/ , /30/ , , , TREAS FAC FEDERAL NATIONAL 12/21/ , /20/ , , , TREAS MTN TOYOTA MOTOR CREDIT 09/01/ ,002, /12/ ,000, ,000, TREAS MTN WELLS FARGO 07/05/2013 9,985, /16/ ,000, ,656 10,000, TREAS MTN WELLS FARGO 08/15/2013 4,993, /16/2018 5,000, ,615 5,000, TREAS TRC US TREASURY NOTE 01/31/2013 1,099, /31/2018 1,100, ,826 1,100, TREAS MTN WELLS FARGO 03/13/ ,129, /01/ ,000, ,786 10,000, TREAS MTN WELLS FARGO 03/13/2013 7,090, /01/2018 7,000, ,786 7,000, TREAS FAC FEDERAL NATIONAL 02/12/ , /08/ , , , TREAS FAC FEDERAL NATIONAL 02/28/ , /08/ , , , TREAS FAC FEDERAL NATIONAL 12/20/ ,964, /08/ ,000, ,511 20,000, TREAS MTN BERKSHIRE HATHAWAY 07/05/2013 9,990, /09/ ,000, ,680 10,000, TREAS MTN BANK OF NEW YORK 09/11/2015 4,476, /06/2018 4,481, ,481, TREAS FAC FEDERAL HOME 03/08/ , /07/ , , , TREAS FAC FEDERAL HOME 03/28/ , /07/2018 1,000, ,805 1,000, TREAS MTN JOHN DEERE 07/05/2013 1,920, /12/2018 1,925, ,711 1,925, TREAS TRC US TREASURY NOTE 05/30/ , /30/ , , , Portfolio FSNO AC Run : 10/20/ :53 IM (PRF_IM) Report Ver

31 County of Fresno Inventory by Maturity Report Page 2 Sec. CUSIP Investment # Fund Type Issuer 36962G3U G3U G3U AJ AJ AJ AJ AJ BE0 3135G0WJ8 3135G0WJ8 3135G0WJ8 3135G0WJ UU UU UU UU DT3 3133XRFZ KNA4 3137EABP AE AE AE TCP WZV VQ VQ HCL HCL BY BY RE L5T L5T L5T EQV4 3135G0YM9 3135G0YM9 3135G0YM Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS MTN G.E. CAPITAL 08/15/2013 5,095, /01/2018 5,000, ,720 5,000, TREAS MTN G.E. CAPITAL 09/10/ ,163, /01/ ,000, ,694 10,000, TREAS MTN G.E. CAPITAL 12/13/ ,213, /01/ ,000, ,600 10,000, TREAS MTN APPLE INC 07/08/2013 6,547, /03/2018 6,579, ,760 6,579, TREAS MTN APPLE INC 08/15/ ,953, /03/ ,000, ,722 11,000, TREAS MTN APPLE INC 08/16/2013 6,234, /03/2018 6,265, ,721 6,265, TREAS MTN APPLE INC 08/27/2013 6,957, /03/2018 7,000, ,710 7,000, TREAS MTN APPLE INC 09/10/2013 9,931, /03/ ,000, ,696 10,000, TREAS MTN BERKSHIRE HATHAWAY 08/27/2013 5,222, /15/2018 5,124, ,722 5,124, TREAS FAC FEDERAL NATIONAL 05/30/ , /21/ , , , TREAS FAC FEDERAL NATIONAL 05/30/ , /21/ , , , TREAS FAC FEDERAL NATIONAL 08/30/ , /21/ , , , TREAS FAC FEDERAL NATIONAL 12/12/ ,865, /21/ ,000, ,621 40,000, TREAS FAC FEDERAL HOME LOAN 07/01/ ,363, /08/ ,000, ,803 50,000, TREAS FAC FEDERAL HOME LOAN 07/12/ ,226, /08/ ,000, ,792 30,000, TREAS FAC FEDERAL HOME LOAN 07/26/ ,610, /08/ ,150, ,778 61,150, TREAS FAC FEDERAL HOME LOAN 12/12/2013 3,974, /08/2018 3,940, ,639 3,940, TREAS FAC FEDERAL HOME LOAN 12/12/2013 6,128, /08/2018 6,135, ,639 6,135, TREAS FAC FEDERAL HOME LOAN 12/18/2013 2,043, /08/2018 2,000, ,633 2,000, TREAS FAC FEDERAL FARM CREDIT 12/18/2013 1,007, /08/2018 1,000, ,633 1,000, TREAS FAC FEDERAL HOME 06/14/ , /13/ , , , TREAS MTN CHEVRON CORP 07/05/2013 9,993, /24/ ,000, ,815 10,000, TREAS MTN CHEVRON CORP 08/27/2013 3,311, /24/2018 3,320, ,762 3,320, TREAS MTN CHEVRON CORP 12/06/ ,007, /24/ ,000, ,661 10,000, TREAS MTN TOYOTA MOTOR CREDIT 09/11/2015 5,999, /13/2018 6,000, ,036 6,000, TREAS NCB BNP PARIBAS NY BRANCH07/27/ ,000, /27/ ,000, ,000, TREAS TRC US TREASURY NOTE 08/01/ , /31/ , , , TREAS TRC US TREASURY NOTE 12/27/ , /31/ , , , TREAS MTN BANK OF NEW YORK 08/27/2013 4,996, /01/2018 5,000, ,800 5,000, TREAS MTN BANK OF NEW YORK 12/13/ ,017, /01/ ,000, ,692 10,000, TREAS MTN BERKSHIRE HATHAWAY 08/15/ ,003, /15/ ,000, ,826 10,000, TREAS MTN BERKSHIRE HATHAWAY 08/27/ , /15/2018 1,000, ,814 1,000, TREAS TRC US TREASURY NOTE 03/21/ , /31/ , , , TREAS MTN CATERPILLAR 09/10/2013 4,997, /06/2018 5,000, ,822 5,000, TREAS MTN CATERPILLAR 12/06/2013 7,714, /06/2018 7,675, ,735 7,675, TREAS MTN CATERPILLAR 12/26/2013 2,509, /06/2018 2,500, ,715 2,500, TREAS MTN JOHN DEERE 09/10/2013 3,599, /10/2018 3,500, ,826 3,500, TREAS FAC FEDERAL NATIONAL 09/25/ , /18/ , , , TREAS FAC FEDERAL NATIONAL 11/22/2013 1,003, /18/2018 1,000, ,761 1,000, TREAS FAC FEDERAL NATIONAL 11/27/ , /18/ , , , Portfolio FSNO AC Run : 10/20/ :53 IM (PRF_IM) Report Ver

32 County of Fresno Inventory by Maturity Report Page 3 Sec. CUSIP Investment # Fund Type Issuer WD8 3135G0YT4 3135G0YT ESF BR A BFQ HJR HJR HJR2 3136FTZZ5 3135G0ZA4 3135G0ZA4 3135G0ZA4 3135G0ZA4 3135G0ZA4 3133EGBR5 3135G0J C ESK HCR HHL CKL3 3133EDLR HCU HCU1 3133X72S2 3133X72S BH BH EE5 3130A2FH EE5 3130A2FH4 3135G0ZE6 3135G0ZE6 3135G0ZE6 3135G0ZE6 3133EFW TBP Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS TRC US TREASURY NOTE 03/21/ , /31/ , , , TREAS FAC FEDERAL NATIONAL 01/31/ , /27/ , , , TREAS FAC FEDERAL NATIONAL 03/20/ , /27/ , , , TREAS MTN JOHN DEERE 12/26/ ,976, /13/ ,000, ,813 20,000, TREAS FAC FEDERAL HOME LOAN 01/03/ ,964, /14/ ,000, ,806 40,000, TREAS TRC US TREASURY NOTE 04/21/ , /31/ , , , TREAS MTN WELLS FARGO 01/15/ ,986, /15/ ,000, ,826 15,000, TREAS MTN JP MORGAN 01/28/2014 4,999, /28/2019 5,000, ,826 5,000, TREAS MTN JP MORGAN 03/05/ ,016, /28/ ,000, ,790 10,000, TREAS MTN JP MORGAN 09/16/2014 5,007, /28/2019 5,000, ,595 5,000, TREAS FAC FEDERAL NATIONAL 12/09/ ,020, /30/ ,000, ,513 10,000, TREAS FAC FEDERAL NATIONAL 02/25/ ,019, /19/ ,000, ,820 10,000, TREAS FAC FEDERAL NATIONAL 03/03/ ,067, /19/ ,000, ,814 25,000, TREAS FAC FEDERAL NATIONAL 03/03/ ,027, /19/ ,000, ,814 10,000, TREAS FAC FEDERAL NATIONAL 03/20/ , /19/ , , , TREAS FAC FEDERAL NATIONAL 10/01/2014 5,009, /19/2019 5,000, ,602 5,000, TREAS FAC FEDERAL FARM CREDIT 06/09/2016 4,998, /25/2019 5,000, ,000, TREAS FAC FEDERAL NATIONAL 08/11/ ,606, /26/ ,561, ,561, TREAS TRC US TREASURY NOTE 03/31/ , /28/2019 1,000, ,795 1,000, TREAS MTN JOHN DEERE 03/05/ ,003, /04/ ,000, ,825 10,000, TREAS MTN BANK OF NEW YORK 05/19/ ,281, /04/ ,000, ,019 30,000, TREAS MTN JP MORGAN 07/23/2014 7,136, /23/2019 6,740, ,735 6,740, TREAS MUN STATE OF CALIFORNIA 06/12/ ,017, /01/ ,000, ,784 10,000, TREAS FAC FEDERAL FARM CREDIT 05/27/2014 5,002, /15/2019 5,000, ,814 5,000, TREAS MTN BANK OF NEW YORK 09/16/2014 2,499, /15/2019 2,500, ,702 2,500, TREAS MTN BANK OF NEW YORK 09/16/2014 4,999, /15/2019 5,000, ,702 5,000, TREAS FAC FEDERAL HOME LOAN 12/09/ ,570, /15/ ,000, ,618 10,000, TREAS FAC FEDERAL HOME LOAN 12/19/ ,681, /15/ ,500, ,608 20,500, TREAS MTN CHEVRON CORP 05/25/ ,967, /16/ ,000, ,086 20,000, TREAS MTN CHEVRON CORP 05/27/2016 9,983, /16/ ,000, ,084 10,000, TREAS FAC FEDERAL HOME LOAN 06/18/2014 4,981, /14/2019 5,000, ,822 5,000, TREAS FAC FEDERAL HOME LOAN 09/02/ ,002, /14/ ,000, ,746 20,000, TREAS FAC FEDERAL HOME LOAN 09/10/2014 9,963, /14/ ,000, ,738 10,000, TREAS FAC FEDERAL HOME LOAN 09/10/2014 9,984, /14/ ,000, ,738 10,000, TREAS FAC FEDERAL NATIONAL 06/18/2014 4,991, /20/2019 5,000, ,828 5,000, TREAS FAC FEDERAL NATIONAL 10/01/ ,952, /20/ ,000, ,723 30,000, TREAS FAC FEDERAL NATIONAL 12/11/ ,024, /20/ ,000, ,652 10,000, TREAS FAC FEDERAL NATIONAL 12/19/ ,038, /20/ ,000, ,644 26,000, TREAS FAC FEDERAL FARM CREDIT 06/09/2016 2,063, /01/2019 2,060, ,117 2,060, TREAS MTN TOYOTA MOTOR CREDIT 10/01/2014 9,987, /18/ ,000, ,751 10,000, Portfolio FSNO AC Run : 10/20/ :53 IM (PRF_IM) Report Ver

33 County of Fresno Inventory by Maturity Report Page 4 Sec. CUSIP Investment # Fund Type Issuer 3137EAEB1 3137EADK2 3137EADK BL HCW7 3137EADM8 3137EADM8 3137EADM G7M ERY HBP3 3135G0A G0A G0A G0A G0A G0A G0A G0A G0A G0A HKA HCZ L6J5 3137EADR7 3137EADR BD ND8 3134G44G XE XE HU HU8 3133EEW G0D G0D G0D G0D G0D G0D Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS FAC FEDERAL HOME 08/11/2016 9,989, /19/ ,000, ,072 10,000, TREAS FAC FEDERAL HOME 12/11/ ,896, /01/ ,000, ,694 15,000, TREAS FAC FEDERAL HOME 12/11/ ,862, /01/ ,000, ,694 20,000, TREAS MTN BERKSHIRE HATHAWAY 10/01/2014 9,986, /14/ ,000, ,778 10,000, TREAS MTN BANK OF NEW YORK 10/01/2014 8,483, /11/2019 8,501, ,806 8,501, TREAS FAC FEDERAL HOME 12/19/ ,808, /02/ ,000, ,748 20,000, TREAS FAC FEDERAL HOME 12/19/ ,809, /02/ ,000, ,748 20,000, TREAS FAC FEDERAL HOME 12/19/2014 9,904, /02/ ,000, ,748 10,000, TREAS MTN G.E. CAPITAL 03/04/ ,400, /09/ ,350, ,772 10,350, TREAS MTN JOHN DEERE 12/28/2015 8,886, /15/2020 9,000, ,479 9,000, TREAS MTN BANK OF NEW YORK 12/28/2015 5,252, /15/2020 5,000, ,479 5,000, TREAS FAC FEDERAL NATIONAL 03/04/ ,965, /21/ ,000, ,784 20,000, TREAS FAC FEDERAL NATIONAL 05/08/ ,000, /21/ ,000, ,719 10,000, TREAS FAC FEDERAL NATIONAL 05/08/ ,001, /21/ ,000, ,719 10,000, TREAS FAC FEDERAL NATIONAL 06/03/ ,996, /21/ ,000, ,693 15,000, TREAS FAC FEDERAL NATIONAL 10/29/ ,040, /21/ ,000, ,545 10,000, TREAS FAC FEDERAL NATIONAL 11/04/ ,022, /21/ ,000, ,539 10,000, TREAS FAC FEDERAL NATIONAL 11/06/ ,007, /21/ ,000, ,537 10,000, TREAS FAC FEDERAL NATIONAL 12/22/ ,004, /21/ ,000, ,491 20,000, TREAS FAC FEDERAL NATIONAL 12/23/ ,001, /21/ ,000, ,490 10,000, TREAS FAC FEDERAL NATIONAL 12/23/ ,002, /21/ ,000, ,490 20,000, TREAS MTN JP MORGAN 03/04/2015 9,979, /23/ ,000, ,786 10,000, TREAS MTN BANK OF NEW YORK 03/04/2015 3,004, /24/2020 3,000, ,818 3,000, TREAS MTN CATERPILLAR 03/04/2016 8,261, /05/2020 8,278, ,462 8,278, TREAS FAC FEDERAL HOME 05/06/2015 9,936, /01/ ,000, ,822 10,000, TREAS FAC FEDERAL HOME 05/08/2015 9,932, /01/ ,000, ,820 10,000, TREAS MTN APPLE INC 12/28/2015 9,997, /06/ ,000, ,591 10,000, TREAS TRC US TREASURY NOTE 12/23/ ,877, /15/ ,000, ,605 40,000, TREAS FAC FEDERAL HOME 10/29/2015 4,996, /22/2020 5,000, ,667 5,000, TREAS TRC US TREASURY NOTE 11/15/ ,036, /31/ ,000, ,293 15,000, TREAS TRC US TREASURY NOTE 12/13/ ,911, /31/ ,000, ,265 40,000, TREAS FAC FEDERAL HOME LOAN 06/12/ ,999, /12/ ,000, ,827 20,000, TREAS FAC FEDERAL HOME LOAN 06/26/ ,590, /12/ ,615, ,813 12,615, TREAS FAC FEDERAL FARM CREDIT 06/15/2015 9,977, /15/ ,000, ,827 10,000, TREAS FAC FEDERAL NATIONAL 10/29/ ,981, /22/ ,000, ,698 20,000, TREAS FAC FEDERAL NATIONAL 10/30/2015 5,939, /22/2020 5,950, ,697 5,950, TREAS FAC FEDERAL NATIONAL 11/04/2015 4,983, /22/2020 5,000, ,692 5,000, TREAS FAC FEDERAL NATIONAL 11/04/2015 4,983, /22/2020 5,000, ,692 5,000, TREAS FAC FEDERAL NATIONAL 11/06/2015 4,976, /22/2020 5,000, ,690 5,000, TREAS FAC FEDERAL NATIONAL 12/17/ ,785, /22/ ,000, ,649 30,000, Portfolio FSNO AC Run : 10/20/ :53 IM (PRF_IM) Report Ver

34 County of Fresno Inventory by Maturity Report Page 5 Sec. CUSIP Investment # Fund Type Issuer 3135G0D G0D G0D XM XM HDD L HNX4 3135G0RM AY CA1 3135G0H N ETF6 3130AAX HHL HHL HHL HHL HHL HHL XN0 3133EFYZ4 3130A7CV5 3130A7CV5 3130A7CV5 3130A7CV5 3130A7CV5 3130A7CV BS FAB9 3135G0K G0K G0K G0K G0K BG WN6 3130A1W RB Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS FAC FEDERAL NATIONAL 12/17/ ,847, /22/ ,000, ,649 20,000, TREAS FAC FEDERAL NATIONAL 12/22/2015 9,947, /22/ ,000, ,644 10,000, TREAS FAC FEDERAL NATIONAL 12/23/2015 9,943, /22/ ,000, ,643 10,000, TREAS TRC US TREASURY NOTE 12/22/ ,869, /31/ ,000, ,317 40,000, ,034 TREAS TRC US TREASURY NOTE 12/28/ ,847, /31/ ,000, ,311 40,000, ,034 TREAS MTN BANK OF NEW YORK 12/28/2015 5,024, /17/2020 5,000, ,694 5,000, ,051 TREAS TRC US TREASURY NOTE 12/28/ ,614, /30/ ,000, ,372 30,000, ,095 TREAS MTN JP MORGAN 03/04/2016 6,184, /29/2020 6,181, ,700 6,181, ,124 TREAS FAC FEDERAL NATIONAL 10/30/ ,075, /30/ ,060, ,827 10,060, ,125 TREAS MTN CHEVRON CORP 12/28/2015 9,984, /17/ ,000, ,786 10,000, ,143 TREAS FAC FEDERAL HOME LOAN 04/21/2016 5,000, /11/2020 5,000, ,695 5,000, ,167 TREAS FAC FEDERAL NATIONAL 05/20/ ,143, /28/ ,000, ,683 10,000, ,184 TREAS TRC US TREASURY NOTE 12/16/ ,788, /31/ ,000, ,476 40,000, ,187 TREAS MTN JOHN DEERE 03/04/2016 5,061, /08/2021 5,000, ,771 5,000, ,195 TREAS FAC FEDERAL HOME LOAN 03/28/ ,051, /28/ ,000, ,402 15,000, ,215 TREAS MTN US BANK NA 08/22/2016 5,106, /29/2021 5,000, ,621 5,000, ,216 TREAS MTN US BANK NA 12/13/2016 4,651, /29/2021 4,634, ,508 4,634, ,216 TREAS MTN US BANK NA 12/22/2016 4,990, /29/2021 5,000, ,499 5,000, ,216 TREAS MTN US BANK NA 12/22/2016 7,508, /29/2021 7,522, ,499 7,522, ,216 TREAS MTN US BANK NA 03/22/ ,007, /29/ ,000, ,409 10,000, ,216 TREAS MTN US BANK NA 06/27/2017 4,847, /29/2021 4,803, ,312 4,803, ,216 TREAS FAC FEDERAL HOME LOAN 03/03/ , /08/ , , , ,226 TREAS FAC FEDERAL FARM CREDIT 02/29/ ,764, /10/ ,800, ,808 17,800, ,228 TREAS FAC FEDERAL HOME LOAN 03/03/2016 4,975, /18/2021 5,000, ,813 5,000, ,236 TREAS FAC FEDERAL HOME LOAN 04/21/2016 9,990, /18/ ,000, ,764 10,000, ,236 TREAS FAC FEDERAL HOME LOAN 05/20/2016 4,985, /18/2021 5,000, ,735 5,000, ,236 TREAS FAC FEDERAL HOME LOAN 05/25/2016 9,962, /18/ ,000, ,730 10,000, ,236 TREAS FAC FEDERAL HOME LOAN 08/08/ ,065, /18/ ,000, ,655 10,000, ,236 TREAS FAC FEDERAL HOME LOAN 03/20/ ,682, /18/ ,000, ,431 20,000, ,236 TREAS MTN APPLE INC 01/19/ ,000, /23/ ,000, ,496 10,000, ,241 TREAS MTN BANK OF NEW YORK 07/18/2017 7,470, /03/2021 7,500, ,385 7,500, ,310 TREAS FAC FEDERAL NATIONAL 05/25/2016 9,905, /06/ ,000, ,807 10,000, ,313 TREAS FAC FEDERAL NATIONAL 09/28/ ,013, /06/ ,000, ,681 25,000, ,313 TREAS FAC FEDERAL NATIONAL 11/02/2016 9,954, /06/ ,000, ,646 10,000, ,313 TREAS FAC FEDERAL NATIONAL 11/14/2016 7,923, /06/2021 8,000, ,634 8,000, ,313 TREAS FAC FEDERAL NATIONAL 12/02/ ,432, /06/ ,000, ,616 25,000, ,313 TREAS MTN CHEVRON CORP 04/25/ ,991, /16/ ,000, ,482 20,000, ,323 TREAS TRC US TREASURY NOTE 12/28/ ,006, /31/ ,000, ,615 40,000, ,338 TREAS FAC FEDERAL HOME LOAN 07/15/ ,071, /11/ ,000, ,792 30,000, ,349 TREAS FAC FEDERAL HOME LOAN 08/17/ ,202, /11/ ,000, ,759 10,000, ,349 Portfolio FSNO AC Run : 10/20/ :53 IM (PRF_IM) Report Ver

35 County of Fresno Inventory by Maturity Report Page 6 Sec. CUSIP Investment # Fund Type Issuer 3130A1W RB7 3130AB3M6 3130A8QS5 3130A8QS5 3130A8QS5 3130A8QS5 3130A8QS5 3130A8QS5 3130A8QS SA0 3134G9M SA SA SA0 3134G9N P CC BP BP L6U0 3137EAEC9 3135G0N G0N G0N G0Q G0Q G0Q EGYQ ERH4 3133EGZJ7 3135G0S G0S G0S G0S G0S HHP8 3133EG5D3 3136G2CS BW Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS FAC FEDERAL HOME LOAN 11/29/ ,737, /11/ ,470, ,655 18,470, ,349 TREAS FAC FEDERAL HOME LOAN 04/11/ ,015, /11/ ,000, ,522 15,000, ,349 TREAS FAC FEDERAL HOME LOAN 04/10/2017 5,003, /30/2021 5,000, ,542 5,000, ,368 TREAS FAC FEDERAL HOME LOAN 08/08/ ,934, /14/ ,000, ,801 15,000, ,382 TREAS FAC FEDERAL HOME LOAN 08/29/2016 3,926, /14/2021 3,955, ,780 3,955, ,382 TREAS FAC FEDERAL HOME LOAN 09/13/ ,887, /14/ ,000, ,765 15,000, ,382 TREAS FAC FEDERAL HOME LOAN 09/28/2016 9,957, /14/ ,000, ,750 10,000, ,382 TREAS FAC FEDERAL HOME LOAN 10/13/2016 9,892, /14/ ,000, ,735 10,000, ,382 TREAS FAC FEDERAL HOME LOAN 11/14/2016 9,852, /14/ ,000, ,703 10,000, ,382 TREAS FAC FEDERAL HOME LOAN 04/06/ ,505, /14/ ,000, ,560 20,000, ,382 TREAS MTN WELLS FARGO 01/25/2017 9,742, /26/ ,000, ,643 10,000, ,394 TREAS FAC FEDERAL HOME 04/06/2017 4,408, /26/2021 4,410, ,572 4,410, ,394 TREAS MTN WELLS FARGO 04/17/2017 4,933, /26/2021 5,000, ,561 5,000, ,394 TREAS MTN WELLS FARGO 05/15/ ,052, /26/ ,232, ,533 13,232, ,394 TREAS MTN WELLS FARGO 07/18/ ,131, /26/ ,275, ,469 12,275, ,394 TREAS FAC FEDERAL HOME 05/11/2017 6,164, /27/2021 6,170, ,538 6,170, ,395 TREAS FAC FEDERAL HOME LOAN 10/05/2016 6,154, /29/2021 5,700, ,758 5,700, ,397 TREAS MTN APPLE INC 12/13/2016 4,877, /04/2021 5,000, ,695 5,000, ,403 TREAS MTN MICROSOFT 08/22/ ,992, /08/ ,000, ,812 15,000, ,407 TREAS MTN MICROSOFT 12/13/2016 4,884, /08/2021 5,000, ,699 5,000, ,407 TREAS MTN CATERPILLAR 09/16/ ,162, /09/ ,294, ,788 15,294, ,408 TREAS FAC FEDERAL HOME 08/17/2016 9,926, /12/ ,000, ,821 10,000, ,411 TREAS FAC FEDERAL NATIONAL 08/29/2016 9,983, /17/ ,000, ,814 10,000, ,416 TREAS FAC FEDERAL NATIONAL 08/29/2016 9,967, /17/ ,000, ,814 10,000, ,416 TREAS FAC FEDERAL NATIONAL 08/29/2016 9,959, /17/ ,000, ,814 10,000, ,416 TREAS FAC FEDERAL NATIONAL 10/07/ ,973, /07/ ,000, ,826 20,000, ,467 TREAS FAC FEDERAL NATIONAL 10/13/2016 9,952, /07/ ,000, ,820 10,000, ,467 TREAS FAC FEDERAL NATIONAL 10/27/2016 4,985, /07/2021 5,000, ,806 5,000, ,467 TREAS FAC FEDERAL FARM CREDIT 10/27/2016 9,977, /14/ ,000, ,813 10,000, ,474 TREAS MTN JOHN DEERE 12/13/2016 8,946, /15/2021 8,707, ,767 8,707, ,475 TREAS FAC FEDERAL FARM CREDIT 10/27/2016 9,967, /25/ ,000, ,824 10,000, ,485 TREAS FAC FEDERAL NATIONAL 01/09/ ,961, /05/ ,000, ,822 20,000, ,557 TREAS FAC FEDERAL NATIONAL 01/09/2017 9,979, /05/ ,000, ,822 10,000, ,557 TREAS FAC FEDERAL NATIONAL 03/28/ ,005, /05/ ,000, ,744 10,000, ,557 TREAS FAC FEDERAL NATIONAL 06/02/2017 5,034, /05/2022 5,000, ,678 5,000, ,557 TREAS FAC FEDERAL NATIONAL 06/12/2017 5,033, /05/2022 5,000, ,668 5,000, ,557 TREAS MTN US BANK NA 06/27/ ,290, /24/ ,000, ,672 20,000, ,576 TREAS FAC FEDERAL FARM CREDIT 01/27/ ,000, /27/ ,000, ,826 50,000, ,579 TREAS FAC FEDERAL NATIONAL 03/28/2017 5,003, /27/2022 5,000, ,766 5,000, ,579 TREAS MTN MICROSOFT 02/21/2017 6,720, /06/2022 6,725, ,811 6,725, ,589 Portfolio FSNO AC Run : 10/20/ :53 IM (PRF_IM) Report Ver

36 County of Fresno Inventory by Maturity Report Page 7 Sec. CUSIP Investment # Fund Type Issuer 06406RAA CM AY BA DAD DAD DAD CQ1 3133EHJT XR Q Q Q Q Q EEY AC5A8 3130AC5A8 3133EHVS Purchase Book Value Current Rate Maturity Maturity Amount Total Par YTM Days to Days Value Maturity TREAS MTN BANK OF NEW YORK 04/18/ ,072, /07/ ,000, ,756 10,000, ,590 TREAS MTN APPLE INC 02/21/ ,967, /09/ ,000, ,814 15,000, ,592 TREAS MTN APPLE INC 04/18/2017 9,981, /09/ ,000, ,758 10,000, ,592 TREAS MTN MICROSOFT 02/21/2017 6,438, /12/2022 6,450, ,817 6,450, ,595 TREAS MUN STATE OF CALIFORNIA 04/27/2017 5,000, /01/2022 5,000, ,800 5,000, ,643 TREAS MUN STATE OF CALIFORNIA 04/27/ ,552, /01/ ,500, ,800 10,500, ,643 TREAS MUN STATE OF CALIFORNIA 05/03/2017 8,030, /01/2022 8,000, ,794 8,000, ,643 TREAS MTN APPLE INC 05/11/ ,955, /11/ ,000, ,826 20,000, ,683 TREAS FAC FEDERAL FARM CREDIT 05/18/2017 4,994, /18/2022 5,000, ,826 5,000, ,690 TREAS TRC US TREASURY NOTE 09/27/ ,032, /31/ ,000, ,707 20,000, ,703 TREAS FAC FEDERAL HOME LOAN 06/28/2017 5,057, /10/2022 5,000, ,808 5,000, ,713 TREAS FAC FEDERAL HOME LOAN 06/28/2017 5,057, /10/2022 5,000, ,808 5,000, ,713 TREAS FAC FEDERAL HOME LOAN 06/28/2017 3,864, /10/2022 3,820, ,808 3,820, ,713 TREAS FAC FEDERAL HOME LOAN 07/07/ ,564, /10/ ,470, ,799 13,470, ,713 TREAS FAC FEDERAL HOME LOAN 09/27/ ,345, /10/ ,000, ,717 20,000, ,713 TREAS FAC FEDERAL FARM CREDIT 09/21/ ,274, /17/ ,000, ,730 10,000, ,720 TREAS FAC FEDERAL HOME LOAN 09/19/2017 9,995, /15/ ,000, ,791 10,000, ,779 TREAS FAC FEDERAL HOME LOAN 09/27/2017 9,267, /15/2022 9,280, ,783 9,280, ,779 TREAS FAC FEDERAL FARM CREDIT 09/28/2017 5,476, /23/2022 5,500, ,790 5,500, ,787 Subtotal and Average 3,113,978, ,109,830, ,109,830, Net Maturities and Average 3,113,978, ,109,830, ,109,830, Portfolio FSNO AC Run : 10/20/ :53 IM (PRF_IM) Report Ver

37 Quarterly Economic and Market Update September

38 Economic and Market Update 9/30/2017 Item 9/30/2017 6/30/2017 Change U.S. Payrolls Monthly Change -33, , ,000 Unemployment Rate 4.2% 4.4% -0.2% Labor Force Participation 63.1% 62.8% 0.3% Effective Fed Funds Rate 1.06% 1.06% 0.00% Next Fed Funds Hike** April 2018 April Months 3 Month T-Bill 1.049% 1.014% 0.035% 2 Year T-Note 1.486% 1.384% 0.102% 3 Year T-Note 1.624% 1.547% 0.077% 5 Year T-Note 1.937% 1.889% 0.048% 10 Year T-Note 2.334% 2.305% 0.029% U.S. Fed Debt Avg Yield* 2.070% 2.066% 0.004% 30 Year Mortgage Rate 3.80% 3.870% -0.07% 1-5 Yr Agency Spread 0.10% 0.10% 0.00% 1-5 Yr Corporate Spread 0.52% 0.60% -0.08% Dow Jones 22,405 21, % S&P 500 2,519 2, % Consumer Price Index YOY* 1.5% 1.6% -0.1% U.S. Avg Regular Unleaded $2.56 $2.24 $0.32 Retail Sales YOY* 2.4% 3.0% -0.6% Case-Shiller Home Prices YOY* 5.8% 5.7% 0.2% Gold (per ounce) $1, $1, $38.14 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 9/30/2017 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: 09/30/17 37

40 Economic and Market Update 9/30/2017 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: 09/30/17 38

41 Economic and Market Update 9/30/ U.S. Monthly Non-Farm Payrolls Change Unemployment Rates Nevada U.S.A California Idaho Washington Thousands Percent 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 Sep-17 2 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-17 Sep Month Average Job Change 148,083 Source: Bureau of Labor Statistics 39

42 Economic and Market Update 9/30/2017 Millions Sep-07 Feb-08 Jul-08 Dec-08 May-09 U.S. Number of Employed Full-Time and Part-TIme 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-17 Sep-17 Percent Sep-07 Feb-08 Jul-08 Dec-08 U.S. Labor Force Participation Rate 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-17 Sep-17 Source: Bureau of Labor Statistics 40

43 Economic and Market Update ######## 9/30/ 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 9/30/2017 U.S. Real* Retail Sales YOY % Change U.S. Consumer Confidence Percent Index Value 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 Mar-07 Aug-07 Jan-08 Jun-08 Nov-08 Apr-09 Sep-09 Feb-10 Jul-10 Dec-10 May-11 Oct-11 Mar-12 Aug-12 Jan-13 Jun-13 Nov-13 Apr-14 Sep-14 Feb-15 Jul-15 Dec-15 May-16 Oct-16 Mar-17 Aug-17 *Real: Inflation Adjusted Source: U.S. Census Bureau Source: Conference Board 42

45 Economic and Market Update 9/30/ CPI and CPIX YOY % Change CPI CPIX Percent 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 Jul-17 Aug-17 CPIX: Consumer Price Index, excluding food and energy Source: Bureau of Labor Statistics 43

46 Economic and Market Update 9/30/ Case-Shiller 20 City U.S. Home Price Index YOY % Increase 6 U.S. New and Existing Home Sales YOY Percent Existing-Millions New-Thousands Apr-09 Aug-09 Dec-09 Apr-10 Aug-10 Dec-10 Apr-11 Aug-11 Dec-11 Apr-12 Aug-12 Dec-12 Apr-13 Aug-13 Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 Apr-17 Existing-Left New-Right 3 Mar-09 Aug-09 Jan-10 Jun-10 Nov-10 Apr-11 Sep-11 Feb-12 Jul-12 Dec-12 May-13 Oct-13 Mar-14 Aug-14 Jan-15 Jun-15 Nov-15 Apr-16 Sep-16 Feb-17 Jul Source: Case-Shiller Sources: New (U.S. Census Bureau),Existing (National Assoc. of Realtors) Seasonally Adjusted Annual Rate 44

47 Economic and Market Update 9/30/2017 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 Sep-07 Feb-08 Jul-08 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-17 Sep Sep-07 Feb-08 Jul-08 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-17 Sep-17 Source: U.S. Treasury 45

48 Economic and Market Update 9/30/ Fed Funds vs. Fed's Anticipated Fed Funds Rate Fed's Anticipated Rates Fed Funds Futures 225 Basis Points 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 Jul-2020 Aug-2020 Sep-2020 Fed Funds Anticipated Rate from the September 20, 2017 FOMC Meeting Source: Bloomberg 46

49 Economic and Market Update 9/30/ U.S. Treasury Yield Curve Change Maturity 6/30/17 9/29/17 Change 9/29/17 3M /30/17 6M Percent Y Y Y Y Y M 6M 1Y 2Y 3Yr 5Y 10Y 30Y 30Y Basis Point Change Basis Points M 6M 1Y 2Y 3Yr 5Y 10Y 30Y Source: Bloomberg Figures may not total due to rounding 47

50 Economic and Market Update 9/30/2017 U.S. Treasury Yields: 3M and 1Y U.S. Treasury Yields: 2Y and 5Y Y 3M Y 2Y Percent Percent Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 Jun-17 Sep 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 Sep-17 Source: Bloomberg 48

51 Economic and Market Update 9/30/ 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 9/30/2017 Global Treasury Rates 2 Year Yields 5 Year Yields 10 Year Yields Australia 1.95% Australia 2.36% Australia 2.84% Canada 1.52% USA 1.94% Portugal 2.36% USA 1.48% Canada 1.75% USA 2.33% England 0.44% Portugal 0.92% Italy 2.11% Portugal -0.06% England 0.78% Canada 2.10% Japan -0.13% Italy 0.70% Spain 1.60% Italy -0.25% Spain 0.25% England 1.36% Spain -0.34% France -0.01% France 0.74% France -0.49% Japan -0.09% Germany 0.46% Germany -0.70% Germany -0.27% Japan 0.06% Switzlnd -0.85% Switzlnd -0.53% 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 9/30/2017 Spread: 1-5Yr Agency* vs Treasury Spread: 1-5Yr A-AAA Corporate vs Treasury Basis Points Basis Points Aug-03 Mar-04 Oct-04 May-05 Dec-05 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Jun-16 Jan-17 Aug Aug-03 Mar-04 Oct-04 May-05 Dec-05 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Jun-16 Jan-17 Aug-17 Current Spread is 10 Current Spread is 52 *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 9/30/2017 Spread: AAA Asset Backed vs Treasury Spread: 0-3Yr Agency CMO vs Treasury Basis Points Basis Points Aug-03 Mar-04 Oct-04 May-05 Dec-05 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Jun-16 Jan-17 Aug Aug-03 Mar-04 Oct-04 May-05 Dec-05 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Jun-16 Jan-17 Aug-17 Current Spread is 40 Current Spread is 48 *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 ######## 9/30/2017 Selected Sector Quarterly Total Returns Percent (2) (4) -2.3 Source: Bloomberg 53

56 Economic and Market Update ######## 9/30/2017 Selected Sector Year-Over-YearTotal Returns Percent (5) (10) Source: Bloomberg 54

57 Economic and Market Update 9/30/ Year Treasury Note Yield Business confidence jumps in Germany Dovish FOMC statement Chairwoman Yellen dismisses long-run inflation concerns Percent Comments from FOMC members suggest slower tightening North Korea spooks markets Retail sales jump Hurricane Harvey slams into Texas Concerns over possible resignation of Gary Kohn Hurricane Irma damage less severe than expected 1.65 North Korea tests hydrogen bomb Stronger than expected inflation in China /30/17 7/2/17 7/4/17 7/6/17 7/8/17 7/10/17 7/12/17 7/14/17 7/16/17 7/18/17 7/20/17 7/22/17 7/24/17 7/26/17 7/28/17 7/30/17 8/1/17 8/3/17 8/5/17 8/7/17 8/9/17 8/11/17 8/13/17 8/15/17 8/17/17 8/19/17 8/21/17 8/23/17 8/25/17 8/27/17 8/29/17 8/31/17 9/2/17 9/4/17 9/6/17 9/8/17 9/10/17 9/12/17 9/14/17 9/16/17 9/18/17 9/20/17 9/22/17 9/24/17 9/26/17 9/28/17 9/30/17 Sources: Bloomberg, FTN Main Street 55

58 Economic and Market Update ######## 9/30/ ,500 Dow Jones Industrial Index Fed signals Dec hike S&P hits record high 22,300 22,100 Stocks climb higher on solid earnings Equity markets drop on North Korea concerns Q2 GDP revised higher IEA predicts strongest oil in two years 21,900 21,700 21,500 21,300 6/30/17 7/2/17 7/4/17 7/6/17 7/8/17 7/10/17 7/12/17 Boeing's stock price spikes 7/14/17 Oil prices continue to increase 7/16/17 7/18/17 7/20/17 7/22/17 7/24/17 7/26/17 7/28/17 President Trump fails to blame neo-nazis for Charlottesville violence causing Gary Kohn to consider resignation 7/30/17 8/1/17 8/3/17 8/5/17 8/7/17 8/9/17 8/11/17 8/13/17 8/15/17 8/17/17 8/19/17 8/21/17 8/23/17 Mnuchin brings hope that tax reform is alive 8/25/17 8/27/17 8/29/17 8/31/17 9/2/17 9/4/17 9/6/17 9/8/17 9/10/17 9/12/17 Hurricane Irma damage well below expectation 9/14/17 9/16/17 9/18/17 9/20/17 9/22/17 9/24/17 9/26/17 9/28/17 9/30/17 Sources: Bloomberg, FTN Main Street 56