BOARD OF SUPERVISORS Yolo County, California

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1 BOARD OF SUPERVISORS Yolo County, California To: Fin. Svcs. CONSENT CALENDAR Excerpt of Minute Order No Item No. 16, of the Board of Supervisors meeting of November 7, MOTION: Provenza. SECOND: Rexroad. AYES: Villegas, Saylor, Rexroad, Provenza, Chamberlain. 16. Receive and file the County Treasurer s Investment Report for the quarter ended September 30, Approved recommended action on Consent.

2 Consent-General Government # 16. Board of Supervisors Financial Services Meeting Date: 11/07/2017 Brief Title: Treasurers Investment Report for Quarter Ended September 30, 2017 From: Howard Newens, Chief Financial Officer, Department of Financial Staff Contact: Edward Burnham, Accounting Manager, Department of Financial Services, x8212 Subject Receive and file the County Treasurer's Investment Report for the quarter ended September 30, (No general fund impact) (Newens) Recommended Action Receive and file the Yolo County Treasurer's Report on Investments for the quarter ended September 30, Strategic Plan Goal(s) Operational Excellence Reason for Recommended Action/Background INVESTMENT PORTFOLIO The county treasury investment portfolio is summarized in Att. A. Investment Summary and includes the Treasurer's Investment Pool and the investment accounts managed by the Treasury that are not pooled together for investment returns. The pooled portfolio includes county funds and deposits from special districts and school districts totaling $372 million as of September 30, The portfolio consisted of 6.3% ($23.6 million) in cash at bank; 21.6% ($80.5 million) in short term investments in government investment pools such as the Local Agency Investment Fund (LAIF) and the California Asset Management Program (CAMP); 72.0% ($268 million) in an investment pool that is actively managed by a professional investment advisor, PFM Asset Management, LLP (PFM). These investments consist mostly of fixed income securities as authorized by government code, such as U.S. Treasuries; securities issued by federal agencies such as FNMA (Fannie Mae), FHLMC (Freddie Mac) and Federal Home Loan Bank; corporate notes; commercial papers; and certificates of deposit. The detail of

3 investments in the Pooled Portfolio is shown in Att. B. PFM Performance Report and the Nonpooled investment holdings are shown in Att. C. Nonpooled Holdings. In their quarterly investment review for the 3rd quarter of calendar year 2017 (Att. B. PFM Investment Performance Report), PFM noted Shorter-term Treasury yields (five years and under) rose in the third quarter on the expectation of further monetary policy tightening. Long-term Treasury yields (10 years and longer) rose just a couple basis points. This continued the trend of modest flattening of the Treasury yield curve since the beginning of the year. The County s portfolio has completed transitioning to the new 0-5 year benchmark strategy (the process of which began at June month-end). PFM reported that the portfolio complies with government code and County investment policy and is well diversified. CASH BALANCES The chart (Att. D. Cash Balances) depicts the cash balances of the three major operation funds of the County, and their combined balance. On September 30, 2017, this unaudited balance was $31.8 million; down $2.9 million from the prior quarter due to normal operating revenues and expenditures. CERTIFICATION The Yolo County investment pool is in compliance with the Yolo County Investment Policy. Our analysis indicates that the investment holdings in the Yolo County Investment Pool are of proper amount and duration to meet the estimated cash flow requirements of the County and all pool participants for the next six months, barring substantial cash payment deferrals from the State government or other unforeseen cash needs. Collaborations (including Board advisory groups and external partner agencies) Other agencies having deposits in the pool include: school districts, special districts, and cities. A copy of the report is posted and available on the Department of Financial Services' website. The Board of Supervisors Investment Committee reviews the investment activity and strategy monthly; the Financial Oversight Committee reviews investment performance quarterly. All reports from the County's investment advisor PFM Asset Management LLC are available in the County Treasurer's office. Fiscal Information No Fiscal Impact Fiscal Impact of this Expenditure Total cost of recommended action $0 Amount budgeted for expenditure $0 Additional expenditure authority needed $0 On-going commitment (annual cost) $0

4 Source of Funds for this Expenditure $0 Att. A. Investment Summary Att. B. PFM Performance Report Att. C. Non-pooled Investment Holdings Att. D. Cash Balances Attachments Form Review Inbox Reviewed By Date Doug Olander Doug Olander 10/25/ :58 AM Howard Newens Howard Newens 10/25/ :08 AM County Counsel Hope Welton 10/26/ :01 AM Form Started By: Chad Rinde Started On: 08/02/ :30 AM Final Approval Date: 10/26/2017

5 Att. A COUNTY OF YOLO Treasury Pooled Portfolio Investment Summary For the Three Months Ended September 30, 2017 September 30, 2017 August 31, 2017 July 31, 2017 GOVERNMENT INVESTMENT POOLS Local Agency Investment Fund (LAIF) Accounts: County Pooled Account $ 28,525,872 $ 37,475,872 $ 48,975,872 Total Held in LAIF 28,525,872 37,475,872 48,975,872 California Asset Management Program (CAMP): County Pooled Account 52,029,823 29,900,947 45,266,889 Total Held in CAMP 52,029,823 29,900,947 45,266,889 Total Government Investment Pools 80,555,695 67,376,819 94,242,761 INVESTMENTS MANAGED BY PFM (NOTE 2) County Pooled Account at Market Value 267,291, ,393, ,952,013 Accrued Interest 807, , ,860 Total Managed by PFM 268,099, ,172, ,811,872 CASH IN BANKS River City Bank - County Pool MMA 15,191,871 15,178,242 15,164,488 Bank of America - County Pool Checking Account 8,410,516 10,065,184 5,654,261 Total Cash in Banks 23,602,386 25,243,426 20,818,748 CASH IN TREASURY 14,121 30,160 4,018 Total Pooled Portfolio $ 372,271,381 $ 361,822,606 $ 385,877,399 NOTES: 1 1 The interest apportioned on an amortized cost basis for the quarter net of Treasury fees ended September 30, 2017 was an unannualized rate of % which is an annualized rate of %. The interest apportionment for the quarter ended September 30 will be completed and distributed in early November Market values are determined by PFM Asset Management LLC (PFM), and are not materially different from those reported by Bank of New York Mellon, the third party custodian of county investments.

6 COUNTY OF YOLO Non-Pooled Portfolio Investment Summary For the Three Months Ended September 30, 2017 GOVERNMENT INVESTMENT POOLS Local Agency Investment Fund (LAIF) Accounts: Yolo County Public Agency Risk Management Insurance Authority September 30, 2017 August 31, 2017 July 31, 2017 $ 1,275,132 $ 1,275,132 $ 3,075,132 Sacramento-Yolo Mosquito & Vector Control District 7,256,422 7,256,422 8,356,422 Washington JUSD - Scholarship 40,698 40,698 40,698 Davis JUSD CFD #1 30,818 30,818 30,818 Davis JUSD CFD #2 2,703,154 2,703,154 2,703,154 Total Held in LAIF 11,306,224 11,306,224 14,206,224 California Asset Management Program (CAMP): Willowbank Water 92,164 92,077 91,989 Total Held in CAMP 92,164 92,077 91,989 Total Government Investment Pools 11,398,388 11,398,301 14,298,212 INVESTMENTS MANAGED BY PFM (NOTE 1) Landfill Closure Trust Fund 13,340,118 13,433,693 13,358,463 Cache Creek 1,703,752 1,713,170 1,707,172 Demeter Fund 3,097,700 3,229,163 3,244,598 Ceres Endowment Account (NOTE 2) 8,898,266 8,935,045 8,902,542 Reported by PFM at Market Value 27,039,836 27,311,071 27,212,776 Accrued Interest - Landfill Closure Trust Fund 52,995 38,524 23,986 Accrued Interest - Cache Creek 3,322 4,036 10,345 Accrued Interest - Demeter Fund 12,558 15,525 12,271 Accrued Interest - Ceres Endowment Account (NOTE 2) 47,743 35,722 41,701 Total Managed by PFM 27,156,454 27,404,878 27,301,079 CASH IN BANKS Bank of New York Mellon - Demeter MMA 512, , ,627 Total Cash in Banks 512, , ,627 Total Non-Pooled Portfolio $ 39,067,334 $ 39,186,838 $ 41,959,917 NOTES: 1 Market values are determined by PFM Asset Management LLC (PFM), and are not materially different from those reported by Bank of New York Mellon, the third party custodian of county investments. 2 Market values are determined by PFM Asset Management LLC (PFM), and are not materially different from those reported by Bank of New York Mellon, the third party custodian of county investments. In July 2002, the Board of Supervisors approved the investment of proceeds from the securitization of Tobacco Settlement Receipts in a Capital account and an Endowment Account. The Capital Account was used to finance part of the cost of the Bauer Building and the cost of the Energy Conservation Project and has been closed. The Endowment Account (shown above) is in the custody of a trustee and generates semi-annual deallocations that fund the Pomona Fund and are appropriated annually. In April 2006, Yolo County received $9,139,612 from participation in the sale of Series 2006 Tobacco Securitization Program. These funds are earmarked for capital projects in accordance with bond documents. In August 2009 the Board approved the purchase of the Bauer Building using $9.7 million of the 2006 Capital Account funds. This account has been closed.

7 Att. B YOLO COUNTY Investment Performance Review For the Quarter Ended September 30, 2017 Client Management Team Sarah Meacham, Managing Director Allison Kaune, Senior Managing Consultant 50 California Street, Suite 2300 San Francisco, CA PFM Asset Management LLC One Keystone Plaza, Suite 300 Harrisburg, PA

8 Market Update

9 QUARTERLY MARKET SUMMARY For the Quarter Ended September 30, 2017 Fixed Income Management SUMMARY For the first time since 2007, all 45 national economies in the OECD (Organisatio for Economic Co-operation and Development) are expanding. Against the backdrop of historically low interest rates, reasonably favorable economic data, and positive consumer, business and investor optimism, the U.S. economy is on track to grow at a modest pace in the range of 2% to 2.5% annually. Although the current slow rate of inflation remains a conundrum, the Federal Reserve (Fed) is pursuing monetary policy normalization. At its September meeting, the Federal Open Market Committee (FOMC) announced a tapering of its balance sheet securities holdings to begin in October under the terms of the previously released normalization principles and plans. In addition, the updated dot plot projection indicated an expectation for one additional rate hike in Slow progress on the policy front in Washington has somewhat tempered investors earlier exuberance, but markets retain an air of complacency. Numerous geopolitical risks loom, however, including mounting nuclear tensions with North Korea, trade issues related to NAFTA and China, border and immigration issues, ongoing conflicts with Russia, and the Brexit implementation in the UK. U.S. equity markets marched to new heights with the S&P 500 rising 4.5% during the quarter. All three major U.S. indices booked record highs, with the telecommunications, information technology, and energy sectors in the lead. ECONOMIC SNAPSHOT Second quarter gross domestic product (GDP) accelerated to an annualized growth rate of 3.1%, up from the prior quarter s 1.4% pace. Consumer spending and business investment led the increase. Heavy Gulf Coast damage from recent hurricanes are expected to handicap near-term growth and create noise in upcoming economic data, but weather-related impacts are usually transitory. The U.S. economy added less than 100,000 jobs per month (on average) in the third quarter, but the unemployment rate fell to 4.2%, the lowest rate since Jobless claims spiked following the hurricane disruption, but the uptick is expected to be temporary. In a positive sign, wage growth rose 2.9% year-over-year through September but may also have been distorted by the hurricanes. Inflationary pressures remained subdued. The personal consumption expenditures price index, excluding food and energy, (core PCE), rose only 1.3% year-over-year in August, well short of the Fed s 2% target the explanation for which continues to elude Fed officials. Absent evidence that the weakness is permanent, however, the Fed s outlook remains stable. On the global front, growth in Europe has picked up, with unemployment in some countries at record lows, while inflation (outside the UK) remains very muted PFM Asset Management LLC INTEREST RATES Shorter-term Treasury yields (five years and under) rose in the third quarter o the expectation of further monetary policy tightening. Long-term Treasury yields (10 years and longer) rose just a couple basis points. This continued the trend of modest flattening of the Treasury yield curve since the beginning of the year. The two-year Treasury yield ended the quarter higher by 11 basis points (bps) (0.11%) to 1.49% the highest level since 2008 while the 10-year Treasury yield rose only 2 bps (0.02%) over the quarter to close at 2.33%. In the money market space, federal debt ceiling concerns resulted in a temporary inversion of the short-term yield curve. The higher risk associated with Treasuries maturing in early October and the expected date for the U.S. Treasury to run out of borrowing capacity translated into higher yields for those maturities. But, the yield curve quickly normalized after Congress passed an extension to the debt limit until December, along with a hurricane aid package and a temporary resolution to fund the government for three months. In the short-term credit markets, yields on commercial paper and bank CDs rose in lockstep with expectations about future Fed rate hikes. SECTOR PERFORMANCE U.S. Treasury index returns were positive for the third quarter. Flattening of the yield curve caused longer maturities to outperform shorter ones as the increase in short-term rates modestly detracted from returns for the quarter. Federal agencies outperformed comparable-maturity Treasuries while the sector s already-narrow yield spreads tightened even further on the back of limited supply and persistent investor demand. Corporate yield spreads continued tightening, generating outperformance over comparable-maturity Treasuries for the quarter and even more so year-to-date. Strong earnings growth and balance sheets continue to provide a good foundation for the sector. Yield spreads are narrow, which limits their upside, but the incremental income on corporates is an important contributor to incremental return. After three straight quarters of underperformance, the mortgage-backed securities (MBS) sector performed well in the third quarter, outperforming Treasuries and traditional agencies. High quality asset-backed securities (ABS) also performed positively relative to Treasuries. Further spread compression in the ABS sector is likely to be limited, given that current level spreads sit at historically tight levels. Short-term commercial paper and bank CDs continue to offer value relative to both short- and intermediate-term government securities. 1

10 QUARTERLY MARKET SUMMARY For the Quarter Ended September 30, 2017 Fixed Income Management Economic Snapshot Labor Market Latest Jun '17 Sep '16 Unemployment Rate Change In Nonfarm Payrolls Sep'17 4.2% 4.4% 4.9% Sep'17-33, , ,000 6% Unemployment Rate (left) vs. Change in Nonfarm Payrolls (right) Change In Non-Farm Payrolls Unemployment Rate 450K 300K Average Hourly Earnings (YoY) Sep'17 2.9% 2.5% 2.7% 5% 150K Personal Income (YoY) Aug'17 2.8% 2.7% 2.4% Initial Jobless Claims (week) 10/7/17 243, , , % -150K Sep '14 Mar '15 Sep '15 Mar '16 Sep '16 Mar '17 Sep '17 Growth Real GDP (QoQ SAAR) 2017Q2 3.1% 1.2% 2.2% GDP Personal Consumption (QoQ SAAR) 2017Q2 3.3% 1.9% 3.8% % 4% Real GDP (QoQ) Retail Sales (YoY) Sep'17 4.4% 3.0% 3.1% ISM Manufacturing Survey (month) Sep' Existing Home Sales SAAR (month) Aug' mil mil mil. 2% 0% Jun '14 Dec '14 Jun '15 Dec '15 Jun '16 Dec '16 Jun '17 Inflation / Prices Personal Consumption Expenditures (YoY) Aug'17 1.4% 1.4% 1.4% Consumer Price Index (YoY) Sep'17 2.2% 1.6% 1.5% Consumer Price Index Core (YoY) Sep'17 1.7% 1.7% 2.2% 3% 2% 1% Consumer Price Index CPI (YoY) Core CPI (YoY) Crude Oil Futures (WTI, per barrel) Sep 30 $51.67 $46.04 $48.24 Gold Futures (oz.) Sep 30 $1,282 $1,242 $1,313 0% -1% Sep '14 Mar '15 Sep '15 Mar '16 Sep '16 Mar '17 1. Data as of First Quarter Data as of Second Quarter Note: YoY = year-over-year, QoQ = quarter over quarter, SAAR = seasonally adjusted annual rate, WTI = West Texas Intermediate crude oil. Source: Bloomberg. PFM Asset Management LLC 2

11 QUARTERLY MARKET SUMMARY For the Quarter Ended September 30, 2017 Fixed Income Management Interest Rate Overview U.S. Treasury Note Yields U.S. Treasury Yield Curve Yield 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% 3/31/17 6/30/17 9/30/17 2-Year 5-Year 10-Year Yield 4% 3% 2% 1% 0% 3-yr 2-yr 1-yr 3-mo 5-yr 7-yr 10-yr Maturity September 30, 2017 December 30, 2016 September 30, yr U.S. Treasury Yields Yield Curves as of 9/30/17 Maturity Sep '17 Jun '17 Change over Quarter Sep '16 Change over Year 3-month 1.05% 1.01% 0.04% 0.28% 0.77% 1-year 1.29% 1.23% 0.06% 0.59% 0.70% 2-year 1.49% 1.38% 0.11% 0.76% 0.73% 5-year 1.94% 1.89% 0.05% 1.15% 0.79% 10-year 2.33% 2.31% 0.02% 1.60% 0.73% 30-year 2.86% 2.84% 0.02% 2.32% 0.54% Yield 5% 4% 3% 2% 1% 0% 3-yr 2-yr 1-yr 3-mo 5-yr 7-yr 10-yr Maturity U.S. Treasury Federal Agency Industrial Corporates, A Rated 25-yr 30-yr Source: Bloomberg. PFM Asset Management LLC 3

12 QUARTERLY MARKET SUMMARY For the Quarter Ended September 30, 2017 Fixed Income Management BofA Merrill Lynch Index Returns September 30, 2017 Duration Yield 3 Months 1 Year 3 Years 1-3 Year Indices U.S. Treasury % 0.24% 0.24% 0.76% Federal Agency % 0.28% 0.50% 0.91% U.S. Corporates, A-AAA rated % 0.56% 1.43% 1.61% Agency MBS (0 to 3 years) % 0.36% 0.42% 1.32% Taxable Municipals % 1.02% 1.67% 2.13% 1-5 Year Indices U.S. Treasury % 0.29% (0.06%) 1.20% Federal Agency % 0.32% 0.38% 1.21% U.S. Corporates, A-AAA rated % 0.69% 1.37% 2.18% Agency MBS (0 to 5 years) % 0.58% 0.01% 1.83% Taxable Municipals % 0.88% 1.24% 2.59% Master Indices (Maturities 1 Year or Greater) U.S. Treasury % 0.39% (1.74%) 2.19% Federal Agency % 0.51% 0.02% 1.97% U.S. Corporates, A-AAA rated % 1.18% 1.27% 3.83% Agency MBS (0 to 30 years) % 0.92% 0.28% 2.41% Taxable Municipals % 2.52% 1.11% 5.90% Returns for periods greater than one year are annualized. Source: BofA Merrill Lynch Indices. As of 9/30/17 Returns for Periods ended 9/30/17 PFM Asset Management LLC 4

13 QUARTERLY MARKET SUMMARY For the Quarter Ended September 30, 2017 Fixed Income Management DISCLOSURES PFM is the marketing name for a group of affiliated companies providing a range of services. All services are provided through separate agreements with each company. This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation. Investment advisory services are provided by PFM Asset Management LLC which is registered with the Securities and Exchange Commission under the Investment Advisers Act of The information contained is not an offer to purchase or sell any securities. Additional applicable regulatory information is available upon request. For more information regarding PFM s services or entities, please visit The views expressed within this material constitute the perspective and judgment of PFM Asset Management LLC at the time of distribution and are subject to change. Information is obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC cannot guarantee its accuracy, completeness, or suitability. This material is for general information purposes only and is not intended to provide specific advice or recommendation. The information contained in this report is not an offer to purchase or sell any securities PFM Asset Management LLC. Further distribution is not permitted without prior written consent. PFM Asset Management LLC 5

14 Investment Performance Review

15 Portfolio Recap For the Quarter Ended September 30, 2017 Fixed Income Management Policy challenges in the U.S., combined with escalating tensions on the geopolitical front, led to bouts of uncertainty which triggered periods of riskoff and risk-on during the third quarter. Nonetheless, volatility remained low and equities continued to book new record high s, reflective of investor complacency. After three rate hikes since December 2016, the Federal Reserve (Fed) shifted gears and announced the beginning of their program to reduce the central bank s enormous balance sheet. The plan is to gradually reduce the Fed's securities holdings by decreasing its reinve stment of the principal payments on its large holdings of Treasury and agency mortgage-backed securities. This had little impact on our strategy as the process was telegraphed well in advance and will be gradual and predictable. Strong investor appetite for high-quality bonds generally caused the yield spreads on investment-grade fixed income sectors (relative to U.S. Treasuries) to tighten over the quarter, resulting in strong relative performance for corporate, mortgage -backed (MBS), asset-backed (ABS), municipal, and supranational securities. The yield spreads on federal agency securities vs. comparable-maturity Treasuries narrowed to historic lows, in some cases near zero, leading to diminished value of the agency sector. Supranationals carried more yield spread and offered an attractive alternative in the high-quality government agency space. Corporate yield spreads also tightened to multi-year lows as investors reaching for yield piled into a limited market supply of investment-grade securities. Following three straight quarters of underperformance, the MBS sector generated solid excess returns during the third quarter and is now in positive excess return territory year-to-date. Despite weakening collateral metrics in some higher risk areas of the ABS sector (e.g., subprime auto loans which PFM does no t purchase), higher quality prime auto loan and credit-card-backed tranches performed well, benefitting from higher initial yields. During the quarter we transitioned the portfolio from its blended benchmark comprising 30% Bank of America/Merrill Lynch (BAML) 3-month Treasury index and 70% BAML 1-3 year U.S. Treasury index to its new benchmark, the BAML 0-5 Year U.S. Treasury index. Effective quarter ended December 31, 2017, the portfolio s performance will be measured against the new benchmark. Without a clear trend in the direction of interest rates, we are targeting a portfolio duration that is in line with the benchmark to minimize return volatility. At quarter end the portfolio s duration was 100% of the new benchmark duration. PFM Asset Management LLC 7

16 Investment Strategy Outlook For the Quarter Ended September 30, 2017 Fixed Income Management Although current low inflation is a conundrum, recent signaling from Fed officials boosted expectations for another rate hike this year, raising the market-implied probability of a December hike from 30% mid-third quarter to over 70%. With 2-year Treasury yields at the highest level since 2008, we plan to maintain the portfolio duration generally in line with the benchmark. However, the significant flattening of the yield curve since the beginning of the year has reduced the benefit of some maturity extens ions, so we will carefully assess value along the yield curve. As we near the end of Janet Yellen s term as Chair of the Federal Reserve, which will expire early next year, we will assess the market implications of all new appointees to the Fed (there will be a total of 4 openings on the Fed s 7-member Board of Governors). Our prevailing economic theme includes moderate growth expectations in the U.S. and abroad, further improvements in the tight ening U.S. labor market, healthy consumer demand, and a stable corporate backdrop. The impact from the recent Gulf Coast hurricanes will likely manifest itself in weaker economic data for September and early fourth quarter. However, history shows that the effects of weather-related events are typically short lived and may be smoothed over by the subsequent recovery and rebuilding activity. On the policy front, the potential for tax reform is worth watching, as will be the debt ceiling debate, which will resurface in December. Our outlook on each of the major investment-grade fixed income sectors is as follows: Limited supply and robust demand are likely to keep yield spreads on federal agencies tight. Generally, we favor U.S. Treasur ies over agencies, except for new issues that offer a fair yield concession. Supranationals remain an attractive alternative. Corporate fundamentals remain stable, and we continue to view the sector positively. However, recent richness in the sector warrants being more selective with industries, issuers, and individual issues. In the credit space, we find that negotiable certificates of deposit (CDs) offer the best value, especially in the 2 -year and under maturity range. Taxable municipal security yields spreads are low and offer limited value. New issue volume is also down relative to last yea r, constraining supply. ABS continue to offer opportunity for modest incremental yield. We continue to closely monitor developments in the underlying collateral. Our view is less optimistic on the MBS sector as the Fed s balance sheet reduction in this area should put upward pressure on yields. Shorter, more stable structures may offer opportunities, but supply is very limited. PFM Asset Management LLC 8

17 For the Quarter Ended September 30, 2017 YOLO COUNTY Fixed Income Management The portfolio is in compliance with Yolo County s Investment Policy and the California Government Code. Security Type Market Value % of Portfolio % Change vs. 6/30/17 Permitted by Policy In Compliance U.S. Treasury $29,138, % +7.6% 100% Federal Agency $57,769, % -1.5% 100% Federal Agency CMOs $12,278, % -0.5% 100% Supranationals $16,190, % +1.0% 30% Negotiable CDs $51,693, % +3.3% 30% Corporate Notes $62,448, % +3.0% 30% Commercial Paper $16,451, % -2.4% 40% Asset-Backed Securities $21,320, % +1.4% 20% Securities Sub-Total $267,291, % Accrued Interest $807,820 Securities Total $268,099,178 CAMP $52,029, % -7.2% 100% LAIF - Total $37,399, % -4.7% $65 millon per account 1 Total Investments $357,528, % PFM Asset Management LLC 9

18 YOLO COUNTY For the Quarter Ended September 30, 2017 Portfolio Snapshot Credit Quality (S&P Ratings) Sector Allocation Portfolio Statistics As of September 30, 2017 Par Value: $267,950,637 Total Market Value: $268,099,178 Security Market Value: $267,291,358 Accrued Interest: $807,820 Cash: - Amortized Cost: $267,920,316 Yield at Market: 1.66% Not Rated** 3.8% AAA 10.2% AA+ 40.0% A 7.2% A- 3.4% A+ 13.7% A-1 6.2% A % AA 1.0% AA- 11.9% U.S. Treasury 10.9% Supra-Sov / Supra-Natl Agency 6.1% Federal Agency/GSE 21.6% Federal Agency/CMO 4.6% Asset-Backed 8.0% Certificate of Deposit 19.3% Commercial Paper 6.2% Corporate 23.3% Yield at Cost: Effective Duration: Duration to Worst: Average Maturity: 1.60% 2.03 Years 2.15 Years 2.30 Years 40% 35% 37.2% Maturity Distribution Average Credit: * AA 30% 25% 20% 21.6% 15% 10% 13.7% 13.7% 13.8% 5% 0% 0-1 Year 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years 0.0% * An average of each security s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio. ** The "Not Rated" category comprises asset-backed securities rated Aaa by Moody's. PFM Asset Management LLC 10

19 YOLO COUNTY For the Quarter Ended September 30, 2017 Portfolio Performance Portfolio Performance (Total Return) Annualized Return Portfolio/Benchmark Effective Duration Current Quarter 1 Year 3 Year 5 Year 10 Year Since Inception (06/30/98) YOLO COUNTY % 0.90% 1.04% 0.85% 1.81% 3.22% Yolo Custom Index* % 0.36% 0.58% 0.45% 1.11% 2.54% Difference 0.00% 0.54% 0.46% 0.40% 0.70% 0.68% 3.5% 3.22% 3.0% 2.5% 2.54% Total Return 2.0% 1.5% 1.0% 0.90% 1.04% 0.85% 1.81% 1.11% 0.5% 0.25% 0.25% 0.36% 0.58% 0.45% 0.0% Current Quarter 1 Year 3 Year 5 Year 10 Year Since Inception YOLO COUNTY Yolo Custom Index *The County s benchmark is the Bank of America Merrill Lynch (BAML) 0-5 Year U.S. Treasury Index, as of September 30, From March 31, 2015 to September 30, 2017 the benchmark was a blend of 30% BAML 3-month Treasury index and 70% BAML 1-3 year U.S. Treasury Index. From March 31, 2002 to March 31, 2015 the benchmark was a blend of 50% BAML 1-3 Year U.S. Treasury index and 50% BAML 3-month Treasury Bill index. Prior to March 31, 2002 the benchmark was the BAML 1-3 Year U.S. Treasury index. Portfolio performance is gross of fees unless otherwise indicated. PFM Asset Management LLC 11

20 Portfolio Holdings

21 Managed Account Detail of Securities Held For the Month Ending September 30, 2017 YOLO COUNTY Security Type/Description S&P Moody's Trade Settle Original YTM Accrued Amortized Market Dated Date/Coupon/Maturity CUSIP Par Rating Rating Date Date Cost at Cost Interest Cost Value U.S. Treasury Bond / Note US TREASURY NOTES DTD 09/30/ % 09/30/ L65 1,170, AA+ Aaa 03/15/17 03/17/17 1,150, ,153, ,161, US TREASURY NOTES DTD 05/31/ % 05/31/ R77 4,390, AA+ Aaa 08/01/17 08/02/17 4,341, , ,343, ,330, US TREASURY NOTES DTD 10/31/ % 10/31/ T67 4,470, AA+ Aaa 08/01/17 08/02/17 4,380, , ,383, ,370, US TREASURY N/B DTD 11/30/ % 11/30/ U65 1,520, AA+ Aaa 09/25/17 09/25/17 1,518, , ,518, ,514, US TREASURY NOTES DTD 01/31/ % 01/31/ V72 3,740, AA+ Aaa 07/06/17 07/11/17 3,733, , ,733, ,741, US TREASURY NOTES DTD 03/31/ % 03/31/ W89 3,780, AA+ Aaa 07/17/17 07/17/17 3,786, ,786, ,778, US TREASURY NOTES DTD 03/31/ % 03/31/ J76 5,150, AA+ Aaa 08/30/17 08/31/17 5,162, ,162, ,120, US TREASURY NOTES DTD 07/31/ % 07/31/ XQ8 5,100, AA+ Aaa 08/30/17 08/31/17 5,164, , ,163, ,119, Security Type Sub-Total 29,320, ,237, , ,244, ,138, Supra-National Agency Bond / Note INTER-AMERICAN DEVELOPMENT BANK DTD 04/12/ % 05/13/ DX7 3,500, AAA Aaa 04/05/16 04/12/16 3,489, , ,494, ,463, INTL BANK OF RECON AND DEV SN NOTE DTD 07/13/ % 08/15/ FK4 2,800, AAA Aaa 07/06/16 07/13/16 2,799, , ,799, ,761, INTL BANK OF RECONSTRUCTION&DEV NOTES DTD 10/07/ % 10/07/ DW0 2,500, AAA Aaa 09/27/17 09/29/17 2,513, , ,513, ,510, INTL BANK OF RECONSTRUCTION AND DEV NOTE DTD 09/19/ % 09/12/ UP32 5,000, AAA Aaa 09/12/17 09/19/17 4,988, , ,988, ,957,

22 Managed Account Detail of Securities Held For the Month Ending September 30, 2017 YOLO COUNTY Security Type/Description S&P Moody's Trade Settle Original YTM Accrued Amortized Market Dated Date/Coupon/Maturity CUSIP Par Rating Rating Date Date Cost at Cost Interest Cost Value Supra-National Agency Bond / Note INTL BANK OF RECONSTRUCTION AND DEV NOTE DTD 01/26/ % 01/26/ FY4 2,500, AAA Aaa 09/06/17 09/08/17 2,528, , ,527, ,497, Security Type Sub-Total 16,300, ,318, , ,323, ,190, Federal Agency Collateralized Mortgage Obligation FNMA SERIES 2015-M7 ASQ2 DTD 04/01/ % 04/01/ ANJY4 483, AA+ Aaa 04/15/15 04/30/15 488, , , FNMA SERIES 2015-M3 FA DTD 02/01/ % 06/01/ AMMC0 143, AA+ Aaa 02/12/15 02/27/15 143, , , FNMA SERIES M4 FA DTD 03/01/ % 09/01/ AMTM1 527, AA+ Aaa 03/12/15 03/31/15 527, , , FNMA SERIES 2015-M8 FA DTD 05/01/ % 11/01/ ANMF1 946, AA+ Aaa 05/13/15 05/29/15 946, , , FNMA SERIES 2015-M15 ASQ2 DTD 11/01/ % 01/01/ AQSW1 830, AA+ Aaa 11/06/15 11/30/15 838, , , , FNMA SERIES 2015-M10 FA DTD 06/01/ % 03/01/ ANA98 2,800, AA+ Aaa 06/12/15 06/30/15 2,799, , ,800, ,800, FNMA SERIES 2016-M9 ASQ2 DTD 06/01/ % 06/01/ ASPX8 1,488, AA+ Aaa 06/09/16 06/30/16 1,503, , ,495, ,489, FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/ % 09/01/ AQDQ0 1,957, AA+ Aaa 10/07/15 10/30/15 1,976, , ,965, ,955, FNMA SERIES 2015-M12 FA DTD 09/01/ % 04/01/ AP3Z3 3,095, AA+ Aaa 09/10/15 09/30/15 3,094, , ,095, ,099, Security Type Sub-Total 12,273, ,318, , ,292, ,278, Federal Agency Bond / Note FNMA NOTES DTD 11/03/ % 12/14/ G0G72 805, AA+ Aaa 03/02/16 03/04/16 805, , , ,

23 Managed Account Detail of Securities Held For the Month Ending September 30, 2017 YOLO COUNTY Security Type/Description S&P Moody's Trade Settle Original YTM Accrued Amortized Market Dated Date/Coupon/Maturity CUSIP Par Rating Rating Date Date Cost at Cost Interest Cost Value Federal Agency Bond / Note FNMA BENCHMARK NOTE DTD 02/23/ % 02/26/ G0J53 2,280, AA+ Aaa 05/03/16 05/06/16 2,282, , ,281, ,265, FNMA BENCHMARK NOTE DTD 02/23/ % 02/26/ G0J53 3,000, AA+ Aaa 06/27/16 06/29/16 3,016, , ,009, ,980, FEDERAL HOME LOAN BANK AGENCY NOTES DTD 05/12/ % 05/28/ ABF92 3,385, AA+ Aaa 05/30/17 05/30/17 3,385, , ,385, ,379, FREDDIE MAC NOTES DTD 04/16/ % 05/30/ EADG1 2,820, AA+ Aaa 03/03/17 03/03/17 2,838, , ,833, ,832, FHLB GLOBAL NOTE DTD 06/03/ % 06/21/ A8DB6 6,150, AA+ Aaa 06/02/16 06/03/16 6,147, , ,148, ,112, FHLMC REFERENCE NOTE DTD 07/20/ % 07/19/ EAEB1 1,475, AA+ Aaa 07/19/16 07/20/16 1,471, , ,472, ,457, FHLMC REFERENCE NOTE DTD 07/20/ % 07/19/ EAEB1 5,280, AA+ Aaa 10/03/16 10/05/16 5,262, , ,268, ,218, FNMA BENCHMARK NOTE DTD 08/02/ % 08/02/ G0N33 3,760, AA+ Aaa 07/29/16 08/02/16 3,753, , ,756, ,715, FNMA NOTES DTD 09/02/ % 08/28/ G0P49 6,260, AA+ Aaa 08/31/16 09/02/16 6,250, , ,253, ,198, FREDDIE MAC GLOBAL NOTES DTD 10/02/ % 10/02/ EADM8 1,120, AA+ Aaa 06/21/17 06/23/17 1,114, , ,115, ,113, FANNIE MAE GLOBAL NOTES DTD 10/25/ % 10/24/ G0R39 3,035, AA+ Aaa 01/03/17 01/05/17 2,992, , ,003, ,999, FREDDIE MAC AGENCY NOTE DTD 01/17/ % 01/17/ EAEE5 3,515, AA+ Aaa 02/01/17 02/03/17 3,504, , ,507, ,505, FREDDIE MAC AGENCY NOTE DTD 01/17/ % 01/17/ EAEE5 4,250, AA+ Aaa 04/03/17 04/05/17 4,247, , ,248, ,238, FNMA NOTES DTD 02/28/ % 02/28/ G0T29 3,495, AA+ Aaa 02/24/17 02/28/17 3,492, , ,493, ,486,

24 Managed Account Detail of Securities Held For the Month Ending September 30, 2017 YOLO COUNTY Security Type/Description S&P Moody's Trade Settle Original YTM Accrued Amortized Market Dated Date/Coupon/Maturity CUSIP Par Rating Rating Date Date Cost at Cost Interest Cost Value Federal Agency Bond / Note FHLMC AGENCY NOTES DTD 04/20/ % 04/20/ EAEF2 2,500, AA+ Aaa 04/19/17 04/20/17 2,491, , ,492, ,484, FHLB NOTES DTD 09/08/ % 09/28/ ACE26 1,270, AA+ Aaa 09/07/17 09/08/17 1,265, ,266, ,257, FHLB NOTES DTD 09/08/ % 09/28/ ACE26 1,290, AA+ Aaa 09/13/17 09/13/17 1,282, ,282, ,277, FHLB NOTES DTD 09/08/ % 09/28/ ACE26 2,465, AA+ Aaa 09/08/17 09/12/17 2,457, ,457, ,441, Security Type Sub-Total 58,155, ,063, , ,080, ,769, Corporate Note CISCO SYSTEMS INC CORP NOTE DTD 02/29/ % 02/28/ RBA9 2,160, AA- A1 02/22/16 02/29/16 2,160, , ,160, ,160, GENERAL ELEC CAP CORP GLOBAL NOTES DTD 04/02/ % 04/02/ G6W9 4,495, AA- A1 07/01/15 07/07/15 4,508, , ,497, ,498, PEPSICO, INC CORP NOTES DTD 04/30/ % 04/30/ CR7 1,025, A+ A1 04/27/15 04/30/15 1,024, , ,024, ,024, JOHN DEERE CAPITAL CORP NOTE DTD 09/11/ % 08/10/ ETA7 4,365, A A2 09/08/15 09/11/15 4,360, , ,363, ,373, JOHN DEERE CAPITAL CORP NOTE DTD 01/08/ % 01/08/ ETE9 1,245, A A2 01/05/16 01/08/16 1,244, , ,244, ,249, AMERICAN HONDA FINANCE CORP NOTES DTD 02/23/ % 02/22/ WBA8 615, A+ A1 02/18/16 02/23/16 614, , , , CHEVRON CORP NOTES DTD 03/03/ % 02/28/ BS8 1,470, AA- Aa2 02/28/17 03/03/17 1,470, , ,470, ,470, BERKSHIRE HATHAWAY INC NOTES DTD 03/15/ % 03/15/ CG4 1,435, AA Aa2 03/08/16 03/15/16 1,433, , ,434, ,437,

25 Managed Account Detail of Securities Held For the Month Ending September 30, 2017 YOLO COUNTY Security Type/Description S&P Moody's Trade Settle Original YTM Accrued Amortized Market Dated Date/Coupon/Maturity CUSIP Par Rating Rating Date Date Cost at Cost Interest Cost Value Corporate Note BERKSHIRE HATHAWAY INC CORPORATE NOTES DTD 08/15/ % 08/15/ CK5 1,200, AA Aa2 08/08/16 08/15/16 1,198, , ,199, ,191, CISCO SYSTEMS INC CORP NOTES DTD 09/20/ % 09/20/ RBG6 2,460, AA- A1 09/13/16 09/20/16 2,457, , ,458, ,447, WELLS FARGO & CO CORP BONDS DTD 02/02/ % 01/30/ BGF1 3,000, A A2 02/01/17 02/03/17 2,992, , ,994, ,008, APPLE INC BONDS DTD 02/09/ % 02/07/ CK4 3,505, AA+ Aa1 02/02/17 02/09/17 3,503, , ,503, ,517, AMERICAN EXPRESS CREDIT (CALLABLE) CORP DTD 03/03/ % 03/03/ M0EE5 1,605, A- A2 02/28/17 03/03/17 1,603, , ,603, ,613, TOYOTA MOTOR CREDIT CORP DTD 04/17/ % 04/17/ TDU6 1,985, AA- Aa3 04/11/17 04/17/17 1,984, , ,984, ,985, UNILEVER CAPITAL CORP BONDS DTD 05/05/ % 05/05/ AV9 375, A+ A1 05/02/17 05/05/17 373, , , , AMERICAN EXP CREDIT CORP NT (CALLABLE) DTD 05/26/ % 05/26/ M0DT3 2,875, A- A2 09/07/17 09/11/17 2,914, , ,913, ,904, IBM CREDIT CORP NOTE DTD 09/08/ % 01/20/ HAB9 2,700, A+ A1 09/08/17 09/12/17 2,692, , ,692, ,682, JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 03/01/ % 03/01/ HQJ2 3,025, A- A3 07/10/17 07/13/17 3,043, , ,042, ,055, EXXON MOBIL CORPORATE NOTES DTD 03/03/ % 03/01/ GAV4 4,255, AA+ Aaa 09/06/17 09/08/17 4,314, , ,313, ,287, BANK OF NEW YORK MELLON CORP DTD 02/19/ % 04/15/ FAA1 5,000, A A1 09/07/17 09/11/17 5,088, , ,087, ,049, AMERICAN EXPRESS CREDIT CORP NOTES DTD 05/05/ % 05/05/ M0EB1 1,375, A- A2 08/08/17 08/11/17 1,377, , ,377, ,372,

26 Managed Account Detail of Securities Held For the Month Ending September 30, 2017 YOLO COUNTY Security Type/Description S&P Moody's Trade Settle Original YTM Accrued Amortized Market Dated Date/Coupon/Maturity CUSIP Par Rating Rating Date Date Cost at Cost Interest Cost Value Corporate Note AMERICAN HONDA FINANCE DTD 07/12/ % 07/12/ WBF7 2,000, A+ A1 08/08/17 08/11/17 1,968, , ,969, ,957, AMERICAN HONDA FINANCE CORP NOTES DTD 09/09/ % 09/09/ WBG5 2,500, A+ A1 09/06/17 09/08/17 2,476, , ,476, ,452, CHEVRON CORP CORP NOTES DTD 03/03/ % 03/03/ BN9 1,650, AA- Aa2 08/08/17 08/11/17 1,671, , ,670, ,663, TOYOTA MOTOR CREDIT CORP DTD 09/08/ % 09/08/ TEC5 3,400, AA- Aa3 09/08/17 09/12/17 3,391, , ,391, ,362, VISA INC (CALLABLE) NOTE DTD 09/11/ % 09/15/ CAG7 2,700, A+ A1 09/21/17 09/25/17 2,684, , ,684, ,692, Security Type Sub-Total 62,420, ,554, , ,548, ,448, Commercial Paper BANK OF TOKYO MITSUBISHI UFJ LTD COMM PA DTD 04/21/ % 10/23/ BXP3 3,150, A-1 P-1 04/21/17 04/21/17 3,127, ,147, ,147, ING (US) FUNDING LLC COMM PAPER DTD 02/06/ % 11/01/ W0Y10 2,815, A-1 P-1 02/06/17 02/06/17 2,784, ,811, ,811, ING (US) FUNDING LLC COMM PAPER DTD 06/08/ % 12/06/ W0Z68 4,030, A-1 P-1 06/08/17 06/08/17 4,003, ,020, ,020, CREDIT AGRICOLE CIB NY COMM PAPER DTD 07/24/ % 01/25/ UAR4 6,500, A-1 P-1 07/25/17 07/25/17 6,453, ,470, ,472, Security Type Sub-Total 16,495, ,370, ,450, ,451, Certificate of Deposit ROYAL BANK OF CANADA NY CD DTD 03/15/ % 03/09/ NZZ2 4,305, A-1+ P-1 03/11/16 03/15/16 4,305, , ,305, ,310, TORONTO DOMINION BANK NY CD DTD 03/14/ % 03/14/ E5E2 2,700, A-1+ P-1 03/14/16 03/16/16 2,700, , ,700, ,704,

27 Managed Account Detail of Securities Held For the Month Ending September 30, 2017 YOLO COUNTY Security Type/Description S&P Moody's Trade Settle Original YTM Accrued Amortized Market Dated Date/Coupon/Maturity CUSIP Par Rating Rating Date Date Cost at Cost Interest Cost Value Certificate of Deposit NORDEA BANK FINLAND NY CD DTD 12/05/ % 11/30/ LWA6 3,400, AA- Aa3 12/01/16 12/05/16 3,400, , ,400, ,408, CANADIAN IMPERIAL BANK NY CD DTD 12/05/ % 11/30/ A5Z7 5,650, A+ A1 12/01/16 12/05/16 5,645, , ,647, ,664, SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/ % 01/10/ JHB8 6,445, AA- Aa2 01/10/17 01/12/17 6,445, , ,445, ,424, BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/ % 02/07/ KRC3 6,445, A+ A1 02/08/17 02/09/17 6,445, , ,445, ,471, BANK OF NOVA SCOTIA HOUSTON LT CD DTD 04/06/ % 04/05/ GUE6 5,000, A+ A1 04/05/17 04/06/17 5,000, , ,000, ,993, SUMITOMO MITSUI BANK NY CD DTD 05/04/ % 05/03/ YVN0 5,500, A A1 05/03/17 05/04/17 5,500, , ,500, ,510, SKANDINAV ENSKILDA BANKEN NY CD DTD 08/04/ % 08/02/ FXT3 5,000, A+ Aa3 08/03/17 08/04/17 4,998, , ,998, ,995, BANK TOKYO MITSUBISHI UFJ LTD LT CD DTD 09/27/ % 09/25/ RGM3 2,700, A+ A1 09/25/17 09/27/17 2,700, ,700, ,699, WESTPAC BANKING CORP NY CD DTD 08/07/ % 08/03/ T4A3 4,490, AA- Aa3 08/03/17 08/07/17 4,490, , ,490, ,511, Security Type Sub-Total 51,635, ,628, , ,630, ,693, Asset-Backed Security / Collateralized Mortgage Obligation HONDA ABS A3 DTD 08/19/ % 04/18/ MAC1 918, NR Aaa 08/12/15 08/19/15 918, , , CARMAX ABS A2 DTD 07/20/ % 08/15/ EAB7 687, AAA NR 07/14/16 07/20/16 687, , , NISSAN ABS 2015-A A3 DTD 04/14/ % 10/15/ UAC4 916, NR Aaa 04/07/15 04/14/15 916, , ,

28 Managed Account Detail of Securities Held For the Month Ending September 30, 2017 YOLO COUNTY Security Type/Description S&P Moody's Trade Settle Original YTM Accrued Amortized Market Dated Date/Coupon/Maturity CUSIP Par Rating Rating Date Date Cost at Cost Interest Cost Value Asset-Backed Security / Collateralized Mortgage Obligation NISSAN ABS 2015-B A3 DTD 07/22/ % 03/15/ WAD0 1,844, NR Aaa 07/15/15 07/22/15 1,844, , ,844, ,842, TOYOTA ABS 2016-A A3 DTD 03/02/ % 03/15/ KAD5 2,035, AAA Aaa 02/23/16 03/02/16 2,034, , ,034, ,030, TOYOTA ABS 2016-C A3 DTD 08/10/ % 08/15/ WAD9 865, AAA Aaa 08/01/16 08/10/16 864, , , HYUNDAI ABS 2016-A A3 DTD 03/30/ % 09/15/ UAD8 860, AAA Aaa 03/22/16 03/30/16 859, , , NISSAN ABS 2016-B A3 DTD 04/27/ % 01/15/ VAD9 645, NR Aaa 04/18/16 04/27/16 644, , , TOYOTA ABS 2017-A A3 DTD 03/15/ % 02/15/ MAD0 700, AAA Aaa 03/07/17 03/15/17 699, , , JOHN DEERE ABS 2017-A A3 DTD 03/02/ % 04/15/ XAC1 650, NR Aaa 02/22/17 03/02/17 649, , , ALLY ABS A3 DTD 01/31/ % 06/15/ PAC7 930, NR Aaa 01/24/17 01/31/17 929, , , HONDA ABS A3 DTD 03/28/ % 07/21/ TAC6 1,265, NR Aaa 03/21/17 03/28/17 1,264, ,264, ,264, HYUNDAI ABS 2017-A A3 DTD 03/29/ % 08/15/ PAD8 1,185, AAA NR 03/22/17 03/29/17 1,184, ,184, ,184, ALLY ABS A3 DTD 03/29/ % 08/15/ HAC5 2,205, NR Aaa 03/21/17 03/29/17 2,204, , ,204, ,203, HONDA ABS A3 DTD 06/27/ % 08/15/ BAC8 2,750, AAA Aaa 06/20/17 06/27/17 2,749, , ,749, ,744, JOHN DEERE ABS 2017-B A3 DTD 07/15/ % 10/15/ BAD6 800, NR Aaa 07/11/17 07/18/17 799, , , HYUNDAI ABS 2017-B A3 DTD 08/16/ % 01/15/ GAD7 2,095, AAA Aaa 08/09/17 08/16/17 2,094, , ,094, ,090,

29 Managed Account Detail of Securities Held For the Month Ending September 30, 2017 YOLO COUNTY Security Type/Description S&P Moody's Trade Settle Original YTM Accrued Amortized Market Dated Date/Coupon/Maturity CUSIP Par Rating Rating Date Date Cost at Cost Interest Cost Value Security Type Sub-Total 21,352, ,349, , ,350, ,320, Managed Account Sub-Total 267,950, ,842, , ,920, ,291, Securities Sub-Total Accrued Interest Total Investments $267,950, $267,842, % $807, $267,920, $267,291, $807, $268,099,

30 YOLO COUNTY For the Quarter Ended September 30, 2017 Portfolio Activity IMPORTANT DISCLOSURES This material is based on information obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC cannot guarantee its accuracy, completeness or suitability. This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation. All statements as to what will or may happen under certain circumstances are based on assumptions, some, but not all of which, are noted in the presentation. Assumptions may or may not be proven correct as actual events occur, and results may depend on events outside of your or our control. Changes in assumptions may have a material effect on results. Past performance does not necessarily reflect and is not a guaranty of future results.the information contained in this presentation is not an offer to purchase or sell any securities. Dime à Market values that include accrued interest are derived from closing bid prices as of the last business day of the month as supplied by Interactive Data, Bloomberg, or Telerate. Where prices are not available from generally recognized sources, the securities are priced using a yield based matrix system to arrive at an estimated market value. à In accordance with generally accepted accounting principles, information is presented on a trade date basis; forward settling purchases are included in the monthly balances, and forward settling sales are excluded. à Performance is presented in accordance with the CFA Institute s Global Investment Performance Standards (GIPS). Unless otherwise noted, performance is shown gross of fees. Quarterly returns are presented on an unannualized basis. Returns for periods greater than one year are presented on an annualized basis. Past performance is not indicative of future returns. à Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets. à Money market fund/cash balances are included in performance and duration computations. à Standard & Poorʼs is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/lgip holdings. à Callable securities in the portfolio are included in the maturity distribution analysis to their stated maturity date, although, they may be called prior to maturity. à MBS maturities are represented by expected average life. PFM Asset Management LLC 22