Investment Performance Review For the Quarter Ended September 30, 2017

Transcription

1 Investment Performance Review Client Management Team Monique Spyke, Managing Director Allison Kaune, Senior Managing Consultant Joseph Creason, Portfolio Manager Rachael Camacci, Client Consultant 50 California Street, Suite 2300 San Francisco, CA PFM Asset Management LLC One Keystone Plaza, Suite 300 Harrisburg, PA

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3 Market Update

4 Market Update Interest Rate Update Two-year treasury yields moved modestly higher towards the end of the quarter, possibly due to heightened expectations of another rate hike and a tax overhaul that could increase government borrowing. 1.60% 2-Year Treasury Yields September 30, 2016 September 30, % 1.20% Presidential Election 1.00% 0.80% Fed Rate Hike Fed Rate Hike Fed Rate Hike 0.60% 0.40% 0.20% 0.00% 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 Source: Bloomberg, as of 9/30/17. PFM Asset Management LLC 1

5 Market Update Short-Term Yields Higher but Curve Flatter in Third Quarter Treasury yields are substantially higher compared to a year ago. Short-term yields continue to rise in response to the Fed raising rates in their efforts to normalize policy. Longer-term yields still remain relatively low in response to lower inflation and growth expectations. 2.5% 2.0% 1.5% 1.0% 0.5% U.S. Treasury Yield Curve September 30, 2017 June 30, 2017 September 30, 2016 Yield Curve History Maturity 6/30/17 9/30/17 Change 3-Mo Mo Yr Yr Yr Yr Yr Yr % 3 m 6 m 1 y 2 y 3 y 5 y 30-Yr Source: Bloomberg, as of 9/30/17. PFM Asset Management LLC 2

6 Market Update Economic Growth Gross domestic product (GDP) increased at an annualized rate of 3.1% in the second quarter of The acceleration in second quarter GDP reflected positive contributions from personal consumption, nonresidential private investments, exports, and federal government spending, offset by negative contributions from residential fixed investments, imports, and state and local government spending. 6% U.S. Real GDP QoQ, SAAR 5% 4% 3% 2.7% 2.7% 2.0% 1.9% 3.1% Bloomberg Survey of Economists 2% 1% 0% -1% -2% Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q Source: Bloomberg, as of 9/30/17. SAAR is seasonally adjusted annualized rate. Orange dashes denotes four-quarter averages. PFM Asset Management LLC 3

7 Market Update Hurricane Disruption Hurricane Harvey is expected to be the second most destructive natural disaster over the last three decades. Destruction to property caused by Hurricane Harvey is estimated to range from $77 to $97 billion. The lost economic output is forecasted to be $9 $11 billion. Total Economic Loss Due to Disasters (Billions of Today's Dollars) $200 $150 Destruction $175 Lost Output $100 $50 $108 $16 $73 $13 $17 $110 $45 $19 $61 $20 $24 $0 Hurricane Harvey Hurricane Matthew Superstorm Sandy Hurricane Irene Hurricane Katrina Hurricane Ivan 9/11 Los Angeles Northridge Quake Midwest Floods Hurricane Andrew Loma Prieta Quake Hurricane Hugo Hurricane Harvey estimates are preliminary and shown in the chart at the high end of the estimated range. Source: The Economic Impact of Hurricane Harvey, Moody s Analytics, 9/5/17. PFM Asset Management LLC 4

8 Market Update Labor Market Remains Strong Despite the Impact of Hurricanes The U.S. labor market lost 33,000 jobs in September. The first decline in U.S. nonfarm payrolls in seven years. Despite the impact of the hurricanes on the September job numbers, headline unemployment rate ticked down to 4.2%, hitting the lowest level in more than 16 years. The U6 unemployment rate also decreased slightly from 8.6% in June to 8.3% in September, while the labor force participation rate ticked up from 62.8% in June to 63.1% in September. Average hourly earnings an important gauge of wage growth grew 2.9% over the past 12 months. Monthly Change in Nonfarm Payrolls Unemployment Rate 400k Nonfarm Payrolls 12-Month Moving Average 9% 300k 8% 7.8% 7.2% 200k 7% 100k 6% 5.9% 0k 5% 5.0% 4.9% 4.2% -100k Sep '12 Sep '13 Sep '14 Sep '15 Sep '16 Sep '17 4% Sep '12 Sep '13 Sep '14 Sep '15 Sep '16 Sep '17 Source: Bloomberg, as of 9/30/17. PFM Asset Management LLC 5

9 Market Update U.S. Recession Indicators: Low Risk in the Near-Term Year 3 Month Treasury Yield Spread (in bps) Yield Curve Inverts Recession 10% 0% -10% -20% Industrial Production (YoY) Recession 20% Conference Board Leading Indicators (SA, YoY) 800 Initial Jobless Claims (4-week average, in thousand) 10% 0% -10% % -30% Recession Recession Source: Bloomberg, as of 8/31/17. SA is seasonally adjusted. PFM Asset Management LLC 6

10 Market Update Probability of Fed Rate Hike at the December Meeting The probability of a third rate hike in 2017 at the FOMC s December meeting increased following their September meeting. The FOMC will initiate the balance sheet normalization program described in the June 2017 Addendum to the Committee s Policy Normalization Principles and Plans in October. 75% Historical Probability of December Rate Hike 69% Probability of Fed Rate Hike Meeting Probability (25bps) 60% 12/13/ % 45% 1/31/ % 30% 15% 22% 3/21/ % 5/2/ % 0% Jun '30 Jul '07 Jul '14 Jul '21 Jul '28 Aug '04 Aug '11 Aug '18 Aug '25 Sep '01 Sep '08 Sep '15 Sep '22 Sep '29 6/13/ % Source: Bloomberg, as of 9/30/2017. PFM Asset Management LLC 7

11 Investment Strategy & Portfolio Review

12 Portfolio Review Portfolio Recap Policy challenges in the U.S. combined with escalating tensions on the geopolitical front led to bouts of uncertainty which triggered periods of risk-off and risk-on during the third quarter. Nonetheless, volatility remained low and equities continued to book new record highs. After three rate hikes since December 2016, the Federal Reserve (Fed) shifted gears and announced the beginning of their program to reduce their enormous balance sheet. The plan is to gradually reduce the Fed's securities holdings by decreasing its reinvestment of the principal payments on its large holdings of Treasury and agency mortgage-backed securities. This had little impact on the portfolio s strategy as the process was telegraphed well in advance and will be gradual and predictable. As of July 1, 2017, the portfolio s benchmark was changed from the Bank of America/Merrill Lynch (BAML) 1-5 Year U.S. Treasury/Agency Index to the BAML 1-5 Year A-Rated and Above U.S. Government/Corporate U.S. Issuers Only Index, to better reflect the portfolio s strategy and composition. In an effort to minimize return volatility, without a clear trend in the direction of interest rates, PFM, the City s investment advisor, managed the portfolio s duration near neutral to the benchmark s duration. Upon the commencement of their role as investment advisor to the City on July 1, PFM began to restructure the portfolio by analyzing the relative value between the portfolio s government holdings and the value in government securities available in the market. PFM sold some of the portfolio s government securities to purchase U.S. Treasuries and federal agencies that offered additional value. In addition, PFM sold short-term government securities to purchase similar maturity commercial paper at higher yields, in an effort to safely increase the portfolio s earnings. In the credit sector, PFM sold corporate notes that had become expensive to purchase other corporate notes and negotiable certificates of deposit that should add to the portfolio s return going forward. All of the credit securities purchased for the City s portfolio are of high credit quality and on PFM s approved issuer list. PFM Asset Management LLC 9

13 Portfolio Review Sector Allocation and Compliance The portfolio is in compliance with the City s Investment Policy and the California Government Code. Security Type Market Value % of Portfolio Permitted by Policy In Compliance U.S. Treasury $87,397, % 100% Federal Agency $113,170, % 100% Negotiable CDs $18,019, % 30% Corporate Notes $74,738, % 30% Commercial Paper $57,745, % 25% Asset-Backed Securities $24,663, % 20% Securities Sub-Total $375,735, % Accrued Interest $1,015,293 Securities Total $376,751,039 Money Market Fund $349, % 20% Main City Sweep Account $41,932, % 20% LAIF $40,000, % $65 million Total Investments $459,033, % As of 9/30/2017. Detail may not add to total due to rounding. PFM Asset Management LLC 10

14 Portfolio Performance Portfolio Performance (Total Return) Annualized Return Portfolio/Benchmark Effective Duration Current Quarter 1 Year 3 Year 5 Year 10 Year Since Inception (06/30/17) ** CITY OF STOCKTON % BofA ML 1-5 Year A Rated and Above U.S. Government/Corporate U.S. Issuers Only Index % Difference 0.06% % 0.40% 0.35% 0.34% 0.30% Total Return 0.25% 0.20% 0.15% 0.10% 0.05% 0.00% Current Quarter 1 Year 3 Year 5 Year 10 Year Since Inception CITY OF STOCKTON BofA ML 1-5 Year A Rated and Above U.S. Government/Corporate U.S. Issuers Only Index Portfolio performance is gross of fees unless otherwise indicated. **Since Inception performance is not shown for periods less than one year. PFM Asset Management LLC 11

15 Portfolio Snapshot Credit Quality (S&P Ratings) Sector Allocation Par Value: Portfolio Statistics As of September 30, 2017 $377,167,294 Not Rated** 3.2% AAA 4.5% A 5.4% A- 1.1% A+ 10.2% A % U.S. Treasury 23.3% Asset-Backed 6.6% Certificate of Deposit 4.8% Commercial Paper 15.4% Total Market Value: $377,100,930 Security Market Value: $375,735,746 Accrued Interest: Cash: Amortized Cost: Yield at Market: $1,015,293 $349,891 $376,067, % AA+ 56.2% AA 0.5% AA- 3.5% Federal Agency/GSE 30.0% Corporate 19.9% Yield at Cost: Effective Duration: Duration to Worst: Average Maturity: Average Credit: * 1.71% 2.53 Years 2.56 Years 2.72 Years AA 28% 24% 20% Maturity Distribution 23.2% 25.5% 20.4% 16% 15.9% 15.0% 12% 8% 4% 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. ** Securities Not Rated by S&P are rated Aaa by Moody's. PFM Asset Management LLC 12

16 Portfolio Performance Portfolio Earnings Quarter-Ended September 30, 2017 Market Value Basis Accrual (Amortized Cost) Basis Beginning Value (06/30/2017) $364,903, $365,181, Net Purchases/Sales $10,651, $10,651, Change in Value $180, $234, Ending Value (09/30/2017) $375,735, $376,067, Interest Earned $1,306, $1,306, Portfolio Earnings $1,486, $1,540, PFM Asset Management LLC 13

17 Portfolio Composition Sector Allocation September 30, 2017 June 30, 2017 Sector MV ($MM) % of Total MV ($MM) % of Total Federal Agency/GSE % % U.S. Treasury % % Corporate % % Commercial Paper % % Asset-Backed % % Certificate of Deposit % % Total $ % $ % 100% 90% 80% Certificate of Deposit Asset-Backed Commercial Paper Corporate U.S. Treasury Federal Agency/GSE 70% 60% 50% 40% 30% 20% 10% 0% September 2017 June 2017 Detail may not add to total due to rounding. PFM Asset Management LLC 14

18 Portfolio Composition Maturity Distribution As of September 30, 2017 Portfolio/Benchmark Yield at Market Average Maturity 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years >5 Years CITY OF STOCKTON BofA ML 1-5 Year A Rated and Above U.S. Government/Corporate U.S. Issuers Only Index 1.72% 2.72 yrs 15.9% 15.0% 23.2% 25.5% 20.4% 0.0% 1.68% 2.79 yrs 1.4% 31.3% 26.3% 21.4% 19.6% 0.0% 35% 30% 31.3% 25% 20% 23.2% 26.3% 25.5% 21.4% 20.4% 19.6% 15% 15.9% 15.0% 10% 5% 0% 1.4% 0.0% 0.0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years CITY OF STOCKTON BofA ML 1-5 Year A Rated and Above U.S. Government/Corporate U.S. Issuers Only Index PFM Asset Management LLC 15

19 Portfolio Composition Issuer Distribution As of September 30, 2017 Issuer Market Value ($) % of Portfolio UNITED STATES TREASURY 87,397, % FANNIE MAE 60,256, % FREDDIE MAC 44,901, % MITSUBISHI UFJ FINANCIAL GROUP INC 15,674, % JP MORGAN CHASE & CO 11,982, % CREDIT AGRICOLE SA 11,956, % BNP PARIBAS 11,955, % Top 5 = 58.7% Top 10 = 72.3% BANK OF MONTREAL 11,954, % FEDERAL HOME LOAN BANKS 8,012, % SKANDINAVISKA ENSKILDA BANKEN AB 7,493, % HONDA AUTO RECEIVABLES 7,474, % WESTPAC BANKING CORP 6,767, % US BANCORP 6,077, % APPLE INC 6,023, % JOHN DEERE OWNER TRUST 5,728, % WELLS FARGO & COMPANY 5,173, % DEERE & COMPANY 4,940, % TOYOTA MOTOR CORP 4,653, % PFM Asset Management LLC 16

20 Portfolio Composition Issuer Market Value ($) % of Portfolio EXXON MOBIL CORP 4,526, % MICROSOFT CORP 4,451, % HYUNDAI AUTO RECEIVABLES 4,176, % ORACLE CORP 4,070, % THE WALT DISNEY CORPORATION 4,046, % UNITED PARCEL SERVICE INC 4,031, % INTEL CORPORATION 4,028, % THE BANK OF NEW YORK MELLON CORPORATION 4,005, % AMERICAN HONDA FINANCE 3,993, % HOME DEPOT INC 3,833, % IBM CORP 3,132, % NISSAN AUTO RECEIVABLES 2,630, % CISCO SYSTEMS INC 2,413, % STATE STREET CORPORATION 2,364, % AMERICAN EXPRESS CO 2,023, % BERKSHIRE HATHAWAY INC 1,891, % PACCAR FINANCIAL CORP 1,691, % Grand Total: 375,735, % PFM Asset Management LLC 17

21 Portfolio Review Outlook and Strategy Although 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% in mid-third quarter to over 70%. With 2-year Treasury yields at the highest level since 2008, PFM plans to manage the portfolio s duration generally in line with the benchmark. But, the significant flattening of the yield curve since the beginning of the year has reduced the benefit of some maturity extensions, so PFM will carefully assess value along the yield curve. As the end of Janet Yellen s term as Chair of the Federal Reserve nears, which will expire early next year, PFM 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). PFM s prevailing economic theme includes moderate growth in the U.S. and abroad, further improvements in the tightening 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. PFM s outlook on each of the major investment-grade fixed-income sectors are as follows: Limited supply and robust demand will keep yield spreads on federal agencies tight. Generally, we favor U.S. Treasuries 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 spread tightening in the sector warrants being more selective with industries, issuers, and individual issues. We also find value in negotiable certificates of deposit, especially in the 2 year and under maturity range. Asset-backed securities (ABS) continue to offer opportunity for modest incremental yield. We continue to closely monitor developments in the underlying collateral. Municipal security yield spreads are low and offer limited value. New issue volume is also down relative to last year, constraining supply. PFM Asset Management LLC 18

22 Transactions & Account Holdings

23 Portfolio Activity Quarterly Portfolio Transactions Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) BUY 7/3/17 7/6/17 5,880, R77 US TREASURY NOTES 1.37% 5/31/21 5,798, % 7/6/17 7/11/17 2,000, HQJ2 JP MORGAN CHASE & CO CORP NT (CALLABLE) 2.55% 3/1/21 2,028, % 7/7/17 7/10/17 5,890, G0T29 FNMA NOTES 1.50% 2/28/20 5,907, % 7/10/17 7/11/17 12,000, UA86 CREDIT AGRICOLE CIB NY COMM PAPER 0.00% 1/8/18 11,916, % 7/10/17 7/11/17 12,000, CA81 BNP PARIBAS NY BRANCH COMM PAPER 0.00% 1/8/18 11,913, % 7/10/17 7/11/17 12,000, HA80 BANK OF MONTREAL CHICAGO COMM PAPER 0.00% 1/8/18 11,917, % 7/10/17 7/11/17 2,800, S76 US TREASURY NOTES 1.12% 7/31/21 2,738, % 7/10/17 7/13/17 2,000, BG6 HOME DEPOT INC CORP NOTES 2.62% 6/1/22 2,035, % 7/10/17 7/13/17 6,000, CQ1 APPLE INC 2.30% 5/11/22 6,015, % 7/10/17 7/13/17 2,000, M0EG0 AMERICAN EXPRESS CREDIT CORP NOTES 2.70% 3/3/22 2,038, % 7/10/17 7/13/17 4,000, BB5 INTEL CORP NOTES 2.35% 5/11/22 4,018, % 7/10/17 7/13/17 4,000, BC9 UNITED PARCEL SERVICE CORP NOTES 2.35% 5/16/22 4,027, % 7/12/17 7/13/17 10,000, QA92 JP MORGAN SECURITIES LLC COMM PAPER 0.00% 1/9/18 9,928, % 7/13/17 7/18/17 3,123, JF9 IBM CORP NOTES 2.25% 2/19/21 3,168, % 7/14/17 7/19/17 4,000, PDQ6 WALT DISNEY COMPANY CORP NOTES 2.45% 3/4/22 4,084, % 7/17/17 7/20/17 845, WBT7 AMERICAN HONDA FINANCE CORP NOTES 1.95% 7/20/20 844, % 7/18/17 7/19/17 5,195, EAEH8 FREDDIE MAC NOTES 1.37% 8/15/19 5,187, % 7/19/17 7/24/17 3,155, WBT7 AMERICAN HONDA FINANCE CORP NOTES 1.95% 7/20/20 3,157, % 7/24/17 7/24/17 12,000, CCM1 BANK OF TOKYO MITSUBISHI UFJ LTD COMM PA 0.00% 3/21/18 11,880, % 7/28/17 8/1/17 7,335, G0T60 FNMA NOTES 1.50% 7/30/20 7,312, % 8/2/17 8/3/17 9,500, R77 US TREASURY NOTES 1.37% 5/31/21 9,420, % 8/3/17 8/4/17 7,500, FXT3 SKANDINAV ENSKILDA BANKEN NY CD 1.84% 8/2/19 7,497, % 8/3/17 8/7/17 6,735, T4A3 WESTPAC BANKING CORP NY CD 2.05% 8/3/20 6,735, % 8/9/17 8/16/17 4,185, GAD7 HYUNDAI ABS 2017-B A3 1.77% 1/15/22 4,184, % 8/25/17 8/28/17 6,475, P87 US TREASURY N/B 1.12% 2/28/21 6,413, % 8/30/17 8/31/17 9,000, XQ8 US TREASURY NOTES 2.00% 7/31/22 9,129, % PFM Asset Management LLC 20

24 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 8/30/17 8/31/17 4,000, G0T60 FNMA NOTES 1.50% 7/30/20 4,004, % 9/7/17 9/8/17 3,490, ACE26 FHLB NOTES 1.37% 9/28/20 3,478, % 9/15/17 9/15/17 4,600, ACE26 FHLB NOTES 1.37% 9/28/20 4,572, % 9/25/17 9/27/17 3,760, RGM3 BANK TOKYO MITSUBISHI UFJ LTD LT CD 2.07% 9/25/19 3,760, % Total BUY 175,468, ,116, INTEREST 7/3/17 7/3/17 0 MONEY0002 MONEY MARKET FUND 5, /5/17 7/5/17 6,400, G0S38 FANNIE MAE AGENCY NOTES 2.00% 1/5/22 62, /6/17 7/6/17 3,000, ETL3 JOHN DEERE CAPITAL CORP NOTES 2.65% 1/6/22 39, /6/17 7/6/17 875, ETL3 JOHN DEERE CAPITAL CORP NOTES 2.65% 1/6/22 11, /6/17 7/6/17 1,000, ETL3 JOHN DEERE CAPITAL CORP NOTES 2.65% 1/6/22 13, /11/17 7/11/17 1,490, AB0 NISSAN ABS 2017-A A2A 1.47% 1/15/20 1, /12/17 7/12/17 655, TCA1 TOYOTA MOTOR CREDIT CORP NOTE 1.45% 1/12/18 4, /12/17 7/12/17 300, TCA1 TOYOTA MOTOR CREDIT CORP NOTE 1.45% 1/12/18 2, /12/17 7/12/17 2,000, TCA1 TOYOTA MOTOR CREDIT CORP NOTE 1.45% 1/12/18 14, /13/17 7/13/17 6,400, EADB2 FREDDIE MAC GLOBAL NOTES 2.37% 1/13/22 76, /14/17 7/14/17 500, G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 2.30% 1/14/19 5, /14/17 7/14/17 490, G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 2.30% 1/14/19 5, /14/17 7/14/17 210, G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 2.30% 1/14/19 2, /14/17 7/14/17 1,055, G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 2.30% 1/14/19 12, /14/17 7/14/17 755, G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 2.30% 1/14/19 8, /14/17 7/14/17 500, G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 2.30% 1/14/19 5, /15/17 7/15/17 3, VAC5 JDOT 2014-A A3 0.92% 4/15/ /15/17 7/15/17 2,450, MAC4 JOHN DEERE ABS 2016-A A3 1.36% 4/15/20 2, /15/17 7/15/17 1,770, QAC2 HONDA ABS A3 1.39% 4/15/20 2, /15/17 7/15/17 85, AD6 JDOT 2014-B A3 1.07% 11/15/ /15/17 7/15/17 2,298, NAB4 JOHN DEERE ABS 2016-B A2 1.09% 2/15/19 2, PFM Asset Management LLC 21

25 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 7/15/17 7/15/17 778, WAC2 TOYOTA ABS 2015-A A3 1.12% 2/15/ /15/17 7/15/17 326, WAC2 TOYOTA ABS 2015-A A3 1.12% 2/15/ /15/17 7/15/17 142, HAC2 HONDA ABS A3 0.88% 6/15/ /15/17 7/15/17 1,435, XAB3 JOHN DEERE ABS 2017-A A2 1.50% 10/15/19 1, /15/17 7/15/17 2,135, MAB4 TOYOTA ABS 2017-A A2A 1.42% 9/15/19 2, /15/17 7/15/17 1,628, WAB1 NISSAN ABS 2016-C A2A 1.07% 5/15/19 1, /15/17 7/15/17 2,481, LAB3 TOYOTA ABS 2016-D A2A 1.06% 5/15/19 2, /15/17 7/15/17 24, VAC5 JDOT 2014-A A3 0.92% 4/15/ /15/17 7/15/17 332, AD6 JDOT 2014-B A3 1.07% 11/15/ /15/17 7/15/17 163, AD6 JDOT 2014-B A3 1.07% 11/15/ /15/17 7/15/17 4,140, HH0 CHASE ISSURANCE TRUST OTHER ABS 1.06% 9/15/17 3, /16/17 7/16/17 2,100, HPH9 HSBC USA INC 1.62% 1/16/18 17, /16/17 7/16/17 1,500, HPH9 HSBC USA INC 1.62% 1/16/18 12, /17/17 7/17/17 7,500, EAEE5 FREDDIE MAC AGENCY NOTE 1.50% 1/17/20 56, /18/17 7/18/17 21, GAC4 HONDA ABS A3 0.77% 3/18/ /18/17 7/18/17 3,803, RAB2 HONDA ABS A2 1.04% 4/18/19 3, /21/17 7/21/17 173, NAC0 HONDA ABS A3 1.04% 2/21/ /21/17 7/21/17 148, NAC0 HONDA ABS A3 1.04% 2/21/ /21/17 7/21/17 2,060, TAB8 HONDA AUTO RECEIVABLES OWNER A2 1.42% 8/21/18 2, /21/17 7/21/17 1,221, NAC0 HONDA ABS A3 1.04% 2/21/19 1, /24/17 7/24/17 2,000, HHP8 US BANCORP (CALLABLE) NOTES 2.62% 1/24/22 26, /30/17 7/30/17 1,500, BGF1 WELLS FARGO & CO CORP BONDS 2.15% 1/30/20 16, /30/17 7/30/17 500, BGF1 WELLS FARGO & CO CORP BONDS 2.15% 1/30/20 5, /30/17 7/30/17 500, BGF1 WELLS FARGO & CO CORP BONDS 2.15% 1/30/20 5, /30/17 7/30/17 1,985, BGF1 WELLS FARGO & CO CORP BONDS 2.15% 1/30/20 21, /30/17 7/30/17 675, BGF1 WELLS FARGO & CO CORP BONDS 2.15% 1/30/20 7, /31/17 7/31/17 2,800, S76 US TREASURY NOTES 1.12% 7/31/21 15, /31/17 7/31/17 1,505, TH3 US TREASURY NOTES 0.87% 7/31/19 6, /31/17 7/31/17 3,750, N89 US TREASURY NOTES 1.37% 1/31/21 25, /31/17 7/31/17 1,350, N89 US TREASURY NOTES 1.37% 1/31/21 9, PFM Asset Management LLC 22

26 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 8/1/17 8/1/17 1,100, EADK2 FREDDIE MAC GLOBAL NOTES 1.25% 8/1/19 6, /1/17 8/1/17 1,050, EADK2 FREDDIE MAC GLOBAL NOTES 1.25% 8/1/19 6, /1/17 8/1/17 3,250, EADK2 FREDDIE MAC GLOBAL NOTES 1.25% 8/1/19 20, /1/17 8/1/17 0 MONEY0002 MONEY MARKET FUND 3, /8/17 8/8/17 2,125, BP8 MICROSOFT CORP NOTES 1.55% 8/8/21 16, /8/17 8/8/17 855, BP8 MICROSOFT CORP NOTES 1.55% 8/8/21 6, /11/17 8/11/17 1,490, AB0 NISSAN ABS 2017-A A2A 1.47% 1/15/20 1, /11/17 8/11/17 1,730, RN44 PACCAR FINANCIAL CORP 1.65% 8/11/21 14, /12/17 8/12/17 2,330, EAEC9 FHLMC REFERNCE NOTE 1.12% 8/12/21 13, /12/17 8/12/17 4,225, EAEC9 FHLMC REFERNCE NOTE 1.12% 8/12/21 23, /15/17 8/15/17 1,770, QAC2 HONDA ABS A3 1.39% 4/15/20 2, /15/17 8/15/17 71, AD6 JDOT 2014-B A3 1.07% 11/15/ /15/17 8/15/17 75, HAC2 HONDA ABS A3 0.88% 6/15/ /15/17 8/15/17 2,248, LAB3 TOYOTA ABS 2016-D A2A 1.06% 5/15/19 1, /15/17 8/15/17 279, AD6 JDOT 2014-B A3 1.07% 11/15/ /15/17 8/15/17 1,905, CK5 BERKSHIRE HATHAWAY INC CORPORATE NOTES 1.30% 8/15/19 12, /15/17 8/15/17 4,140, HH0 CHASE ISSURANCE TRUST OTHER ABS 1.06% 9/15/17 3, /15/17 8/15/17 137, AD6 JDOT 2014-B A3 1.07% 11/15/ /15/17 8/15/17 285, WAC2 TOYOTA ABS 2015-A A3 1.12% 2/15/ /15/17 8/15/17 1,435, XAB3 JOHN DEERE ABS 2017-A A2 1.50% 10/15/19 1, /15/17 8/15/17 2,075, NAB4 JOHN DEERE ABS 2016-B A2 1.09% 2/15/19 1, /15/17 8/15/17 681, WAC2 TOYOTA ABS 2015-A A3 1.12% 2/15/ /15/17 8/15/17 2,135, MAB4 TOYOTA ABS 2017-A A2A 1.42% 9/15/19 2, /15/17 8/15/17 2,450, MAC4 JOHN DEERE ABS 2016-A A3 1.36% 4/15/20 2, /15/17 8/15/17 1,459, WAB1 NISSAN ABS 2016-C A2A 1.07% 5/15/19 1, /17/17 8/17/17 6,500, G0N82 FNMA NOTES 1.25% 8/17/21 40, /18/17 8/18/17 5,010, A7CV5 FHLB NOTES 1.37% 2/18/21 34, /18/17 8/18/17 1,440, A7CV5 FHLB NOTES 1.37% 2/18/21 9, /18/17 8/18/17 3,456, RAB2 HONDA ABS A2 1.04% 4/18/19 2, /19/17 8/19/17 3,123, JF9 IBM CORP NOTES 2.25% 2/19/21 35, PFM Asset Management LLC 23

27 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 8/21/17 8/21/17 130, NAC0 HONDA ABS A3 1.04% 2/21/ /21/17 8/21/17 1,071, NAC0 HONDA ABS A3 1.04% 2/21/ /21/17 8/21/17 2,060, TAB8 HONDA AUTO RECEIVABLES OWNER A2 1.42% 8/21/18 2, /21/17 8/21/17 152, NAC0 HONDA ABS A3 1.04% 2/21/ /26/17 8/26/17 6,400, G0J20 FNMA NOTES 1.37% 2/26/21 44, /28/17 8/28/17 5,890, G0T29 FNMA NOTES 1.50% 2/28/20 44, /31/17 8/31/17 3,700, L32 US TREASURY NOTES 1.37% 8/31/20 25, /31/17 8/31/17 6,900, J43 US TREASURY NOTES 1.75% 2/28/22 60, /31/17 8/31/17 900, L32 US TREASURY NOTES 1.37% 8/31/20 6, /31/17 8/31/17 2,100, L32 US TREASURY NOTES 1.37% 8/31/20 14, /31/17 8/31/17 6,475, P87 US TREASURY N/B 1.12% 2/28/21 36, /31/17 8/31/17 6,000, B90 US TREASURY NOTES 2.00% 2/28/21 60, /1/17 9/1/17 645, RAR3 CISCO SYSTEMS INC GLOBAL NOTES 2.12% 3/1/19 6, /1/17 9/1/17 200, RAR3 CISCO SYSTEMS INC GLOBAL NOTES 2.12% 3/1/19 2, /1/17 9/1/17 645, RAR3 CISCO SYSTEMS INC GLOBAL NOTES 2.12% 3/1/19 6, /1/17 9/1/17 260, RAR3 CISCO SYSTEMS INC GLOBAL NOTES 2.12% 3/1/19 2, /1/17 9/1/17 0 MONEY0002 MONEY MARKET FUND /1/17 9/1/17 645, RAR3 CISCO SYSTEMS INC GLOBAL NOTES 2.12% 3/1/19 6, /1/17 9/1/17 3,078, GAV4 EXXON MOBIL CORPORATE NOTES 2.22% 3/1/21 34, /1/17 9/1/17 1,415, GAV4 EXXON MOBIL CORPORATE NOTES 2.22% 3/1/21 15, /1/17 9/1/17 2,000, HQJ2 JP MORGAN CHASE & CO CORP NT (CALLABLE) 2.55% 3/1/21 25, /3/17 9/3/17 2,000, M0EG0 AMERICAN EXPRESS CREDIT CORP NOTES 2.70% 3/3/22 27, /4/17 9/4/17 4,000, PDQ6 WALT DISNEY COMPANY CORP NOTES 2.45% 3/4/22 48, /11/17 9/11/17 1,585, HCW7 BANK OF NEW YORK MELLON NT (CALLABLE) 2.30% 9/11/19 18, /11/17 9/11/17 750, HCW7 BANK OF NEW YORK MELLON NT (CALLABLE) 2.30% 9/11/19 8, /11/17 9/11/17 300, HCW7 BANK OF NEW YORK MELLON NT (CALLABLE) 2.30% 9/11/19 3, /11/17 9/11/17 790, HCW7 BANK OF NEW YORK MELLON NT (CALLABLE) 2.30% 9/11/19 9, /11/17 9/11/17 200, HCW7 BANK OF NEW YORK MELLON NT (CALLABLE) 2.30% 9/11/19 2, /11/17 9/11/17 350, HCW7 BANK OF NEW YORK MELLON NT (CALLABLE) 2.30% 9/11/19 4, /12/17 9/12/17 3,800, G0ZG1 FNMA NOTES 1.75% 9/12/19 33, PFM Asset Management LLC 24

28 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 9/12/17 9/12/17 1,500, G0ZG1 FNMA NOTES 1.75% 9/12/19 13, /15/17 9/15/17 4,140, HH0 CHASE ISSURANCE TRUST OTHER ABS 1.06% 9/15/17 3, /15/17 9/15/17 1,770, QAC2 HONDA ABS A3 1.39% 4/15/20 2, /15/17 9/15/17 1,791, NAB4 JOHN DEERE ABS 2016-B A2 1.09% 2/15/19 1, /15/17 9/15/17 1,300, WAB1 NISSAN ABS 2016-C A2A 1.07% 5/15/19 1, /15/17 9/15/17 108, AD6 JDOT 2014-B A3 1.07% 11/15/ /15/17 9/15/17 1,435, XAB3 JOHN DEERE ABS 2017-A A2 1.50% 10/15/19 1, /15/17 9/15/17 2,034, LAB3 TOYOTA ABS 2016-D A2A 1.06% 5/15/19 1, /15/17 9/15/17 248, WAC2 TOYOTA ABS 2015-A A3 1.12% 2/15/ /15/17 9/15/17 13, HAC2 HONDA ABS A3 0.88% 6/15/ /15/17 9/15/17 2,450, MAC4 JOHN DEERE ABS 2016-A A3 1.36% 4/15/20 2, /15/17 9/15/17 4,185, GAD7 HYUNDAI ABS 2017-B A3 1.77% 1/15/22 5, /15/17 9/15/17 1,490, AB0 NISSAN ABS 2017-A A2A 1.47% 1/15/20 1, /15/17 9/15/17 2,135, MAB4 TOYOTA ABS 2017-A A2A 1.42% 9/15/19 2, /15/17 9/15/17 221, AD6 JDOT 2014-B A3 1.07% 11/15/ /15/17 9/15/17 57, AD6 JDOT 2014-B A3 1.07% 11/15/ /15/17 9/15/17 4,100, XBK0 ORACLE CORP NOTES 1.90% 9/15/21 38, /15/17 9/15/17 592, WAC2 TOYOTA ABS 2015-A A3 1.12% 2/15/ /18/17 9/18/17 3,131, RAB2 HONDA ABS A2 1.04% 4/18/19 2, /21/17 9/21/17 132, NAC0 HONDA ABS A3 1.04% 2/21/ /21/17 9/21/17 933, NAC0 HONDA ABS A3 1.04% 2/21/ /21/17 9/21/17 113, NAC0 HONDA ABS A3 1.04% 2/21/ /21/17 9/21/17 2,060, TAB8 HONDA AUTO RECEIVABLES OWNER A2 1.42% 8/21/18 2, /28/17 9/28/17 4,600, ACE26 FHLB NOTES 1.37% 9/28/20 3, /28/17 9/28/17 3,490, ACE26 FHLB NOTES 1.37% 9/28/20 2, /30/17 9/30/17 6,550, T34 US TREASURY N/B 1.12% 9/30/21 36, /30/17 9/30/17 2,450, J84 US TREASURY NOTES 1.37% 3/31/20 16, /30/17 9/30/17 6,500, Q37 US TREASURY NOTES 1.25% 3/31/21 40, /30/17 9/30/17 2,415, J84 US TREASURY NOTES 1.37% 3/31/20 16, /30/17 9/30/17 1,100, J84 US TREASURY NOTES 1.37% 3/31/20 7, PFM Asset Management LLC 25

29 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) Total INTEREST 267,245,549 1,552, MATURITY 7/7/17 7/7/17 6,455, BU76 BANK TOKYO-MIT UFJ NY COMM PAPER 0.00% 7/7/17 6,455, /11/17 7/11/17 10,000, WU20 TORONTO DOMINION BANK NY CERT DEPOS 1.03% 7/11/17 10,017, /11/17 7/11/17 3,000, BUB7 BANK TOKYO-MIT UFJ NY COMM PAPER 0.00% 7/11/17 3,000, /11/17 7/11/17 3,000, GUB0 TOYOTA MOTOR CREDIT CORP COMM PAPER 0.00% 7/11/17 3,000, /17/17 7/17/17 1,500, BUH4 BANK TOKYO MITSUBISHI UFJ LTD COMM PAPER 0.00% 7/17/17 1,500, /15/17 9/15/17 4,140, HH0 CHASE ISSURANCE TRUST OTHER ABS 1.06% 9/15/17 4,140, Total MATURITY 28,095,000 28,112, PAYDOWNS 7/15/17 7/15/17 40, WAC2 TOYOTA ABS 2015-A A3 1.12% 2/15/19 40, /15/17 7/15/17 96, WAC2 TOYOTA ABS 2015-A A3 1.12% 2/15/19 96, /15/17 7/15/17 233, LAB3 TOYOTA ABS 2016-D A2A 1.06% 5/15/19 233, /15/17 7/15/17 66, HAC2 HONDA ABS A3 0.88% 6/15/18 66, /15/17 7/15/17 222, NAB4 JOHN DEERE ABS 2016-B A2 1.09% 2/15/19 222, /15/17 7/15/17 52, AD6 JDOT 2014-B A3 1.07% 11/15/18 52, /15/17 7/15/17 13, AD6 JDOT 2014-B A3 1.07% 11/15/18 13, /15/17 7/15/17 25, AD6 JDOT 2014-B A3 1.07% 11/15/18 25, /15/17 7/15/17 24, VAC5 JDOT 2014-A A3 0.92% 4/15/18 24, /15/17 7/15/17 3, VAC5 JDOT 2014-A A3 0.92% 4/15/18 3, /15/17 7/15/17 168, WAB1 NISSAN ABS 2016-C A2A 1.07% 5/15/19 168, /18/17 7/18/17 21, GAC4 HONDA ABS A3 0.77% 3/18/18 21, /18/17 7/18/17 346, RAB2 HONDA ABS A2 1.04% 4/18/19 346, /21/17 7/21/17 150, NAC0 HONDA ABS A3 1.04% 2/21/19 150, PFM Asset Management LLC 26

30 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 7/21/17 7/21/17 18, NAC0 HONDA ABS A3 1.04% 2/21/19 18, /21/17 7/21/17 21, NAC0 HONDA ABS A3 1.04% 2/21/19 21, /15/17 8/15/17 37, WAC2 TOYOTA ABS 2015-A A3 1.12% 2/15/19 37, /15/17 8/15/17 89, WAC2 TOYOTA ABS 2015-A A3 1.12% 2/15/19 89, /15/17 8/15/17 214, LAB3 TOYOTA ABS 2016-D A2A 1.06% 5/15/19 214, /15/17 8/15/ LAB3 TOYOTA ABS 2016-D A2A 1.06% 5/15/ /15/17 8/15/17 61, HAC2 HONDA ABS A3 0.88% 6/15/18 61, /15/17 8/15/17 283, NAB4 JOHN DEERE ABS 2016-B A2 1.09% 2/15/19 283, /15/17 8/15/17 14, AD6 JDOT 2014-B A3 1.07% 11/15/18 14, /15/17 8/15/17 28, AD6 JDOT 2014-B A3 1.07% 11/15/18 28, /15/17 8/15/17 57, AD6 JDOT 2014-B A3 1.07% 11/15/18 57, /15/17 8/15/17 158, WAB1 NISSAN ABS 2016-C A2A 1.07% 5/15/19 158, /18/17 8/18/17 325, RAB2 HONDA ABS A2 1.04% 4/18/19 325, /21/17 8/21/17 16, NAC0 HONDA ABS A3 1.04% 2/21/19 16, /21/17 8/21/17 137, NAC0 HONDA ABS A3 1.04% 2/21/19 137, /21/17 8/21/17 19, NAC0 HONDA ABS A3 1.04% 2/21/19 19, /15/17 9/15/17 13, HAC2 HONDA ABS A3 0.88% 6/15/18 13, /15/17 9/15/17 241, NAB4 JOHN DEERE ABS 2016-B A2 1.09% 2/15/19 241, /15/17 9/15/17 12, AD6 JDOT 2014-B A3 1.07% 11/15/18 12, /15/17 9/15/17 24, AD6 JDOT 2014-B A3 1.07% 11/15/18 24, /15/17 9/15/17 50, AD6 JDOT 2014-B A3 1.07% 11/15/18 50, /15/17 9/15/17 159, WAB1 NISSAN ABS 2016-C A2A 1.07% 5/15/19 159, /15/17 9/15/17 37, WAC2 TOYOTA ABS 2015-A A3 1.12% 2/15/19 37, /15/17 9/15/17 89, WAC2 TOYOTA ABS 2015-A A3 1.12% 2/15/19 89, /15/17 9/15/17 225, LAB3 TOYOTA ABS 2016-D A2A 1.06% 5/15/19 225, /18/17 9/18/17 335, RAB2 HONDA ABS A2 1.04% 4/18/19 335, /21/17 9/21/17 16, NAC0 HONDA ABS A3 1.04% 2/21/19 16, /21/17 9/21/17 19, NAC0 HONDA ABS A3 1.04% 2/21/19 19, /21/17 9/21/17 136, NAC0 HONDA ABS A3 1.04% 2/21/19 136, /21/17 9/21/17 149, TAB8 HONDA AUTO RECEIVABLES OWNER A2 1.42% 8/21/18 149, PFM Asset Management LLC 27

31 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) Total PAYDOWNS 4,466,645 4,466, SELL 7/3/17 7/6/17 5,900, G0K69 FNMA BENCHMARK NOTE 1.25% 5/6/21 5,803, % (124,274.00) 7/7/17 7/10/17 900, UQ1 US TREASURY NOTES 1.25% 2/29/20 897, % (2,668.22) 7/7/17 7/10/17 1,925, UQ1 US TREASURY NOTES 1.25% 2/29/20 1,920, % 3, /7/17 7/10/17 3,100, UQ1 US TREASURY NOTES 1.25% 2/29/20 3,092, % 4, /10/17 7/11/17 2,800, A8QS5 FHLB GLOBAL NOTE 1.12% 7/14/21 2,741, % (52,228.06) 7/10/17 7/11/17 900, EADN6 FHLMC NOTES 0.75% 1/12/18 901, % (1,192.41) 7/10/17 7/11/17 2,410, A43 FHLB NOTES 1.37% 3/9/18 2,423, % (3,531.98) 7/10/17 7/11/17 2,875, A43 FHLB NOTES 1.37% 3/9/18 2,890, % 5, /10/17 7/13/17 4,045, EAT4 CHUBB INA HOLDINGS INC (CALLABLE) NOTES 2.30% 11/3/20 4,091, % 11, /10/17 7/13/17 1,665, WAQ4 AMERICAN HONDA FINANCE CORPORATE NOTES 1.55% 12/11/17 1,668, % 1, /10/17 7/13/17 1,225, AJ9 APPLE INC GLOBAL NOTES 1.00% 5/3/18 1,223, % (59.80) 7/10/17 7/13/17 1,775, AJ9 APPLE INC GLOBAL NOTES 1.00% 5/3/18 1,772, % (2,864.85) 7/10/17 7/13/17 1,565, KAG0 COSTCO WHOLESALE CORPORATE NOTES 1.75% 2/15/20 1,573, % (1,774.76) 7/10/17 7/13/17 95, AA8 CHEVRON CORP (CALLABLE) GLOBAL NOTES 1.10% 12/5/17 95, % /10/17 7/13/17 108, AA8 CHEVRON CORP (CALLABLE) GLOBAL NOTES 1.10% 12/5/17 108, % /10/17 7/13/17 350, AA8 CHEVRON CORP (CALLABLE) GLOBAL NOTES 1.10% 12/5/17 350, % (402.00) 7/10/17 7/13/17 480, AA8 CHEVRON CORP (CALLABLE) GLOBAL NOTES 1.10% 12/5/17 480, % (441.60) 7/10/17 7/13/17 517, AA8 CHEVRON CORP (CALLABLE) GLOBAL NOTES 1.10% 12/5/17 517, % /10/17 7/13/17 300, TCA1 TOYOTA MOTOR CREDIT CORP NOTE 1.45% 1/12/18 300, % /10/17 7/13/17 655, TCA1 TOYOTA MOTOR CREDIT CORP NOTE 1.45% 1/12/18 655, % /10/17 7/13/17 2,000, TCA1 TOYOTA MOTOR CREDIT CORP NOTE 1.45% 1/12/18 2,000, % (311.28) 7/10/17 7/13/17 660, AL4 INTEL CORP CORPORATE NOTES 1.35% 12/15/17 660, % (76.30) 7/10/17 7/13/17 700, AL4 INTEL CORP CORPORATE NOTES 1.35% 12/15/17 700, % /10/17 7/13/17 1,040, AL4 INTEL CORP CORPORATE NOTES 1.35% 12/15/17 1,041, % (177.00) 7/10/17 7/13/17 100, AL4 INTEL CORP CORPORATE NOTES 1.35% 12/15/17 100, % PFM Asset Management LLC 28

32 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 7/10/17 7/13/17 1,100, AK1 CHARLES SCHWAB CORP NOTES (CALLABLE) 1.50% 3/10/18 1,105, % (1,101.36) 7/10/17 7/13/17 1,545, AK1 CHARLES SCHWAB CORP NOTES (CALLABLE) 1.50% 3/10/18 1,553, % /10/17 7/13/17 450, AK1 CHARLES SCHWAB CORP NOTES (CALLABLE) 1.50% 3/10/18 452, % /10/17 7/13/17 540, AK1 CHARLES SCHWAB CORP NOTES (CALLABLE) 1.50% 3/10/18 542, % /10/17 7/13/17 1,305, AD5 QUALCOMM INC CORPORATE GLOBAL NOTES 2.25% 5/20/20 1,320, % 20, /10/17 7/13/17 325, AD5 QUALCOMM INC CORPORATE GLOBAL NOTES 2.25% 5/20/20 328, % 4, /10/17 7/13/17 740, AD5 QUALCOMM INC CORPORATE GLOBAL NOTES 2.25% 5/20/20 749, % 8, /10/17 7/13/17 1,000, AD5 QUALCOMM INC CORPORATE GLOBAL NOTES 2.25% 5/20/20 1,012, % 7, /10/17 7/13/17 1,305, AD5 QUALCOMM INC CORPORATE GLOBAL NOTES 2.25% 5/20/20 1,320, % 20, /10/17 7/13/17 550, PBH6 PRAXAIR INC (MAKE WHOLE CALL) CORP NOTES 1.25% 11/7/18 549, % /10/17 7/13/17 2,440, PBH6 PRAXAIR INC (MAKE WHOLE CALL) CORP NOTES 1.25% 11/7/18 2,438, % 6, /13/17 7/18/17 2,440, HZ7 IBM CORP NOTES 1.12% 2/6/18 2,449, % (1,665.42) 7/13/17 7/18/17 1,000, HZ7 IBM CORP NOTES 1.12% 2/6/18 1,003, % (140.34) 7/14/17 7/19/17 500, AV2 CHEVRON CORP NOTES 1.36% 3/2/18 502, % /14/17 7/19/17 850, AV2 CHEVRON CORP NOTES 1.36% 3/2/18 854, % (119.00) 7/18/17 7/19/17 5,195, TH3 US TREASURY NOTES 0.87% 7/31/19 5,166, % (27,922.43) 7/19/17 7/24/17 500, WAC5 AMERICAN HONDA FINANCE CORPORATE NOTES 2.12% 10/10/18 506, % 1, /19/17 7/24/17 955, WAC5 AMERICAN HONDA FINANCE CORPORATE NOTES 2.12% 10/10/18 967, % 4, /19/17 7/24/17 100, WAC5 AMERICAN HONDA FINANCE CORPORATE NOTES 2.12% 10/10/18 101, % /19/17 7/24/17 395, WAC5 AMERICAN HONDA FINANCE CORPORATE NOTES 2.12% 10/10/18 400, % 1, /19/17 7/24/17 1,700, G0ZA4 FANNIE MAE BENCHMARK NOTE 1.87% 2/19/19 1,727, % 12, /19/17 7/24/17 2,000, G0ZA4 FANNIE MAE BENCHMARK NOTE 1.87% 2/19/19 2,031, % 7, /19/17 7/24/17 2,500, BR5 FHLB NOTES AGENCY 1.75% 12/14/18 2,519, % 9, /19/17 7/24/17 1,300, CR7 PEPSICO, INC CORP NOTES 1.25% 4/30/18 1,302, % (909.21) 7/19/17 7/24/17 200, CR7 PEPSICO, INC CORP NOTES 1.25% 4/30/18 200, % /19/17 7/24/17 1,020, CR7 PEPSICO, INC CORP NOTES 1.25% 4/30/18 1,022, % (845.50) 7/19/17 7/24/17 1,045, DF7 WAL-MART STORES INC GLOBAL NOTES 1.12% 4/11/18 1,046, % (1,458.28) 7/19/17 7/24/17 35, A4GJ5 FHLB NOTES 1.12% 4/25/18 35, % (54.47) 7/19/17 7/24/17 1,000, A4GJ5 FHLB NOTES 1.12% 4/25/18 1,002, % (1,548.65) 7/19/17 7/24/17 2,300, A4GJ5 FHLB NOTES 1.12% 4/25/18 2,304, % (1,510.53) PFM Asset Management LLC 29

33 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 7/28/17 8/1/17 1,135, EQ1 TENNESSEE VALLEY AUTHORITY NOTES 1.75% 10/15/18 1,146, % 3, /28/17 8/1/17 1,505, EQ1 TENNESSEE VALLEY AUTHORITY NOTES 1.75% 10/15/18 1,519, % 3, /28/17 8/1/17 425, EQ1 TENNESSEE VALLEY AUTHORITY NOTES 1.75% 10/15/18 429, % 1, /28/17 8/1/17 710, EQ1 TENNESSEE VALLEY AUTHORITY NOTES 1.75% 10/15/18 716, % 1, /28/17 8/1/17 1,425, VF4 US TREASURY NOTES 1.37% 5/31/20 1,424, % 7, /28/17 8/1/17 1,575, VF4 US TREASURY NOTES 1.37% 5/31/20 1,574, % 6, /2/17 8/3/17 210, G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 2.30% 1/14/19 212, % 1, /2/17 8/3/17 490, G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 2.30% 1/14/19 495, % 2, /2/17 8/3/17 500, G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 2.30% 1/14/19 505, % 2, /2/17 8/3/17 500, G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 2.30% 1/14/19 505, % /2/17 8/3/17 755, G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 2.30% 1/14/19 763, % 7, /2/17 8/3/17 1,055, G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 2.30% 1/14/19 1,067, % 11, /2/17 8/3/17 565, ESF7 JOHN DEERE CAPITAL CORP NOTES 1.95% 12/13/18 569, % 3, /2/17 8/3/17 6,500, R85 US TREASURY NOTES 0.87% 6/15/19 6,452, % (61,720.32) 8/2/17 8/3/17 265, HHE3 US BANCORP NOTES (CALLABLE) 1.95% 11/15/18 267, % 1, /2/17 8/3/17 550, ST8 US TREASURY NOTES 1.25% 4/30/19 550, % /2/17 8/3/17 1,000, ST8 US TREASURY NOTES 1.25% 4/30/19 1,001, % 1, /2/17 8/3/17 3,800, ST8 US TREASURY NOTES 1.25% 4/30/19 3,806, % 22, /3/17 8/7/17 500, G0D75 FNMA BENCHMARK NOTES 1.50% 6/22/20 501, % (2,803.01) 8/3/17 8/7/17 5,900, G0D75 FNMA BENCHMARK NOTES 1.50% 6/22/20 5,912, % 46, /3/17 8/7/17 385, J84 US TREASURY NOTES 1.37% 3/31/20 386, % (724.66) 8/9/17 8/16/17 725, EADG1 FREDDIE MAC NOTES 1.75% 5/30/19 732, % 2, /9/17 8/16/17 2,500, EADG1 FREDDIE MAC NOTES 1.75% 5/30/19 2,527, % 14, /9/17 8/16/17 425, EADG1 FREDDIE MAC NOTES 1.75% 5/30/19 429, % 3, /9/17 8/16/17 500, EADG1 FREDDIE MAC NOTES 1.75% 5/30/19 505, % 2, /25/17 8/28/17 1,440, A7CV5 FHLB NOTES 1.37% 2/18/21 1,431, % (6,350.92) 8/25/17 8/28/17 5,010, A7CV5 FHLB NOTES 1.37% 2/18/21 4,980, % (16,803.44) 8/30/17 8/31/17 2,100, HPH9 HSBC USA INC 1.62% 1/16/18 2,105, % 1, /30/17 8/31/17 1,500, HPH9 HSBC USA INC 1.62% 1/16/18 1,503, % 1, /31/17 8/31/17 7,565, AY31 COOPERATIEVE RABOBANK U.A. COMM PAPER 0.00% 11/3/17 7,547, % (1,222.62) PFM Asset Management LLC 30

34 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 9/7/17 9/8/17 3,490, L32 US TREASURY NOTES 1.37% 8/31/20 3,489, % (2,318.58) 9/25/17 9/27/17 125, EADG1 FREDDIE MAC NOTES 1.75% 5/30/19 126, % /25/17 9/27/17 1,000, EADG1 FREDDIE MAC NOTES 1.75% 5/30/19 1,011, % 1, /25/17 9/27/17 1,250, G0ZE6 FNMA NOTES 1.75% 6/20/19 1,262, % 3, Total SELL 131,805, ,992, , PFM Asset Management LLC 31

35 Managed Account Detail of Securities Held For the Month Ending September 30, 2017 CITY OF STOCKTON Security Type/Description S&P Moody's Trade Settle Original YTM Accrued Amortized Market d /Coupon/Maturity CUSIP Par Rating Rating Cost at Cost Interest Cost Value U.S. Treasury Bond / Note US TREASURY NOTES DTD 07/31/ % 07/31/ TH3 1,505, AA+ Aaa 03/01/16 03/01/16 1,494, , ,499, ,489, US TREASURY NOTES DTD 11/30/ % 11/30/ UB4 600, AA+ Aaa 03/05/15 03/05/15 585, , , , US TREASURY NOTES DTD 11/30/ % 11/30/ UB4 1,000, AA+ Aaa 06/26/15 06/26/15 973, , , , US TREASURY NOTES DTD 11/30/ % 11/30/ UB4 1,000, AA+ Aaa 02/23/16 02/23/16 996, , , , US TREASURY NOTES DTD 11/30/ % 11/30/ UB4 3,875, AA+ Aaa 12/18/14 12/18/14 3,752, , ,820, ,834, US TREASURY NOTES DTD 03/31/ % 03/31/ J84 1,100, AA+ Aaa 11/23/15 11/23/15 1,088, ,093, ,094, US TREASURY NOTES DTD 03/31/ % 03/31/ J84 2,415, AA+ Aaa 10/23/15 10/23/15 2,417, ,416, ,403, US TREASURY NOTES DTD 03/31/ % 03/31/ J84 2,450, AA+ Aaa 02/23/16 02/23/16 2,471, ,463, ,438, US TREASURY NOTES DTD 08/31/ % 08/31/ L32 210, AA+ Aaa 09/29/15 09/29/15 210, , , US TREASURY NOTES DTD 08/31/ % 08/31/ L32 900, AA+ Aaa 03/01/16 03/01/16 904, , , , US TREASURY NOTES DTD 08/31/ % 08/31/ L32 2,100, AA+ Aaa 10/23/15 10/23/15 2,098, , ,099, ,085, US TREASURY NOTES DTD 10/31/ % 10/31/ L99 400, AA+ Aaa 07/28/16 07/28/16 405, , , , US TREASURY NOTES DTD 10/31/ % 10/31/ L99 6,000, AA+ Aaa 11/23/15 11/23/15 5,906, , ,940, ,950, US TREASURY NOTES DTD 01/31/ % 01/31/ N89 1,350, AA+ Aaa 12/28/16 12/28/16 1,323, , ,327, ,335,

36 Managed Account Detail of Securities Held For the Month Ending September 30, 2017 CITY OF STOCKTON Security Type/Description S&P Moody's Trade Settle Original YTM Accrued Amortized Market d /Coupon/Maturity CUSIP Par Rating Rating Cost at Cost Interest Cost Value U.S. Treasury Bond / Note US TREASURY NOTES DTD 01/31/ % 01/31/ N89 3,750, AA+ Aaa 03/09/16 03/09/16 3,746, , ,747, ,710, US TREASURY NOTES DTD 02/28/ % 02/28/ B90 6,000, AA+ Aaa 04/26/16 04/26/16 6,168, , ,119, ,057, US TREASURY N/B DTD 02/29/ % 02/28/ P87 6,475, AA+ Aaa 08/25/17 08/28/17 6,377, , ,380, ,348, US TREASURY NOTES DTD 03/31/ % 03/31/ Q37 6,500, AA+ Aaa 12/13/16 12/13/16 6,349, ,376, ,394, US TREASURY NOTES DTD 05/31/ % 05/31/ R77 5,880, AA+ Aaa 07/03/17 07/06/17 5,790, , ,795, ,800, US TREASURY NOTES DTD 05/31/ % 05/31/ R77 9,500, AA+ Aaa 08/02/17 08/03/17 9,397, , ,401, ,371, US TREASURY NOTES DTD 08/01/ % 07/31/ S76 2,800, AA+ Aaa 07/10/17 07/11/17 2,724, , ,728, ,731, US TREASURY N/B DTD 09/30/ % 09/30/ T34 6,550, AA+ Aaa 11/09/16 11/09/16 6,439, ,458, ,377, US TREASURY NOTES DTD 03/02/ % 02/28/ J43 6,900, AA+ Aaa 03/13/17 03/13/17 6,775, , ,788, ,866, US TREASURY NOTES DTD 07/31/ % 07/31/ XQ8 9,000, AA+ Aaa 08/30/17 08/31/17 9,113, , ,112, ,034, Security Type Sub-Total 88,260, ,509, , ,663, ,397, Federal Agency Bond / Note FNMA NOTES DTD 05/12/ % 06/20/ G0ZE6 1,600, AA+ Aaa 06/29/15 06/29/15 1,616, , ,607, ,607, FNMA NOTES DTD 05/12/ % 06/20/ G0ZE6 2,450, AA+ Aaa 12/15/14 12/15/14 2,466, , ,456, ,460, FREDDIE MAC GLOBAL NOTES DTD 07/30/ % 08/01/ EADK2 1,050, AA+ Aaa 06/26/15 06/26/15 1,035, , ,043, ,045,