Information Item : October 26, 2017 To: Mayor and City Council From: Gigi Decavalles-Hughes, Director of Finance/City Treasurer Subject: City Monthly Cash and Investment Report for August 2017 Introduction In compliance with the City Charter, State law, and the City s Investment Policy, the attached monthly report provides information concerning City investments and cash held and/or managed by the Director of Finance/City Treasurer as of. Discussion The August 2017 Cash and Investment Report provides an updated review of the City s investment portfolio and cash position. The value of cash and investments held in the pooled portfolio increased by $14.9 million in August to $747 million. This is a typical pattern for August reflecting receipts from business license renewals. The pooled portfolio yield-to-maturity of 1.4% was up one basis point from the prior month and up twenty-nine basis points from August 2016. Net investment earnings on a cash basis for the month were $0.7 million. August s investment earnings were 61% greater than one year earlier. The portfolio yield is expected to continue to move gradually higher over the next few months as interest rates continue to rise. The Federal Reserve has increased the target range for the federal funds rate by 50 basis points so far this year and most analysts expect one more increase before the end of 2017. However, economic conditions could affect the interest rate movements. In addition to the pooled portfolio, the City s total cash holdings as of included $3.5 million in debt proceeds held in trust with various fiscal agents, $13 million in other funds held in trust, and $27,372 in petty cash/change funds for a total balance of $763.5 million. 1
Green Bonds The City s investment policy dictates certain socially responsible guidelines that should be adhered to in the investment of the City s excess funds. A prime example of this is the prohibition of investments in fossil fuel-related companies. In an effort to enhance the socially responsible nature of the City s investment portfolio, staff began to research and analyze green bonds as a potential investment alternative. Green bonds are bonds that specifically finance projects that benefit the climate and produce other environmentally beneficial projects. Green bonds are issued by government agencies, private corporations, and institutions such as the World Bank. Investments in green bonds still need to meet the City s legal and strategic investment parameters. As of August 31, 2017, the City s portfolio has a total of $11 million in green bonds. In compliance with Governmental Accounting Standards, the Monthly Cash and Investment Report provides the fair market value of all investments held by the City, with certain exceptions, as of the last day of the month. The fair market value may be greater or less than the original purchase price (book/reported value) of the investments due to fluctuations in the market resulting in either an unrealized gain or loss for financial disclosure purposes only. Since it is the City s policy to hold most securities to maturity, these fluctuations in market value do not affect the redemption value of the securities or the overall yield to maturity of the portfolio. The book values of investments shown in this report are exclusive of amortization/accretion of premiums/discounts. As of August 31, 2017, the market value of the City s portfolio was approximately $1.9 million less than the book value, primarily due to the rise in interest rates since the November 2016 election. Interest rates move in an inverse relationship to the market prices of investments. Attached is a summary of investment activity as well as a detailed report of public monies held by the City Treasurer as of. Prepared by: Attachments: David Carr, Assistant City Treasurer 1 Investment Highlights 2 Investment Report 2
ATTACHMENT 1 Investment Highlights Millions Portfolio Size Current Year Prior Year $800 $750 $700 $650 $600 $550 $500 $450 Sept Oct Nov Dec Jan Feb Mar Apr May June July Aug As of, the portfolio size is $747 million, $14.9 million more than in the prior month. Portfolio value is $41.3 million greater than one year ago primarily due to several large one-time cash receipts received over the last 12 months. Yield to Maturity 2.00% 1.50% 1.00% 0.50% Current Year Prior Year % Sept Oct Nov Dec Jan Feb Mar Apr May June July Aug As of, yield to maturity is 1.4%. The yield was up one basis point from the prior month and up twenty-nine basis points from one year ago. 3
Millions Fiscal Year-to- Investment Earnings (Cumulative by Month) $8 $7 $6 $5 $4 $3 $2 $1 Current Year Prior Year $0 July Aug Sep Oct Nov Dec Jan Feb Mar Apr May June Fiscal year-to-date investment earnings through August (cash basis) are 61% greater than one year earlier. Millions Unrealized Gain/(Loss) $2.0 $1.0 $0.0 ($1.0) ($2.0) ($3.0) ($4.0) ($5.0) ($6.0) Aug Sept Oct Nov Dec Jan Feb Mar Apr May June July Aug As of, the market value is approximately $1.9 million less than the unamortized book value (purchase price). 4
ATTACHMENT 2 Investment Report Prepared by: Gigi Decavalles-Hughes, Director of Finance/City Treasurer David R. Carr, Assistant City Treasurer Paul Chung, Principal Treasury Analyst 5
Cash Receipts, Disbursements and Cash Balances Petty Cash/Change Funds $27,372.00 Pooled Portfolio Wells Fargo Bank (1) $27,261,843.52 Wells Fargo Custodial Account Corporate Bonds $141,736,123.55 U.S. Treasury Securities $6,005,159.67 State of California Bonds $12,184,085.20 Commercial Paper $3,989,048.89 Supranationals $39,499,316.67 Federal Agencies Securities $451,138,360.78 Total Wells Fargo Custodial Account $654,552,094.76 State of California Local Agency Investment Fund - City $63,332,809.83 State of California Local Agency Investment Fund - RDA $1,859,349.71 Total Pooled Portfolio *** $747,006,097.82 Restricted Cash/Investments Held in Trust/Debt Proceeds Union Bank-Earthquake Recovery Redevelopment 2006 Tax Allocation Refunding Bonds Series A & B $562.26 Union Bank-Civic Center Parking Project 2015 Lease Revenue Bonds $2,377.42 Union Bank-RDA 2011 Tax Allocation Bonds $2,265,457.92 BNY-2011 Parking Structure Series A & B $730.25 BNY-Parking Authority Lease Revenue Bonds 2002 Refunding $ BNY-Public Safety Facility Bonds 2009 Refunding $1,222,162.26 U.S. Bank-Wastewater Enterprise Revenue Bonds-2012 Refunding $12.43 Total Restricted Cash/Investments Held in Trust $3,491,302.54 Other Restricted Funds/Funds Held in Trust Cemetery Perpetual Care Fund (3) $10,911,371.24 Mausoleum Perpetual Care Fund (3) $1,287,491.25 Wells Fargo - Santa Monica Redevelopment Successor Agency RPTTF $494,363.70 Wells Fargo - HUD Depository Account (4) $6,105.61 Wells Fargo - Payroll Account $92,588.35 Wells Fargo - Public Agency Family Self Sufficiency Program (2) $140,685.82 Total Other Funds Held in Trust $12,932,605.97 GRAND TOTAL $763,457,378.33 6
Cash Receipts, Disbursements and Cash Balances (1) These are the actual bank account balances as of 8/31/2017. They only reflect checks and warrants that have been presented for payment and deposits received by the bank. The balance on deposit per the City s books would reflect reductions for all checks and warrants issued and an increase for all deposits transmitted. Housing Authority and Parking Authority Funds are included in the totals. (2) The City of Santa Monica Housing Authority administers the Family Self Sufficiency Program. An escrow account is set up for each family in the program. The Housing Authority maintains and releases the escrow funds as required by HUD regulations. (3) The Cemetery Perpetual Care Funds and the Mausoleum Perpetual Care Funds are held in trust by Charles Schwab & Company, Inc. and administered by the investment firm RNC Genter Capital Management. Market value is shown since a large portion of the portfolio is in equities. (4) HUD Depository account is used to receive monthly housing assistance payments from HUD. Pursuant to Section 711d of the City Charter, I submit the following: Cash and Investments - July 31, 2017 732,066,628.05 Receipts 60,930,493.18 Disbursements (45,991,023.41) Cash and Investments - 747,006,097.82 Pooled portfolio only. Excludes certain investments held in trust by third parties such as bond proceeds, perpetual care funds, and other escrow accounts. Also excludes payroll account and Successor Agency accounts at Wells Fargo Bank. Gigi Decavalles-Hughes Director of Finance/City Treasurer 7
Cash Receipts, Disbursements and Cash Balances Overview As of, total City cash and investments (including cash held for the Successor Agency to the Redevelopment Agency) were $763.5 million, a $14.8 million increase from the prior month. The pooled portfolio increased by $14.9 million. This is a typical pattern for August reflecting receipts from business license renewals. Restricted Cash/Investments Held in Trust/Debt Proceeds decreased by $0.1 million. Other Restricted Funds/Funds Held in Trust also decreased by $0.1 million. Total cash and investments are categorized as follows: Definitions Petty Cash/Change Funds $ 27,372.00 Pooled Investment Portfolio $ 747,006,097.82 Restricted Cash/Investment Held in Trust $ 3,491,302.54 Other Funds Held in Trust $ 12,932,605.97 Total $ 763,457,378.33 Basis Point One hundredth of one percent (.01%). Book (Reported) Value The price paid for the security at purchase. Bullets A security with a fixed coupon or interest rate that cannot be redeemed by the issuer before the maturity date. Callable Securities A security that can be redeemed by the issuer before the maturity date. Duration A measure of the timing of the cash flows, such as the interest payments and the principal repayment, to be received from a security. The duration of a security is a useful indicator of its price volatility for given changes in interest rates. Green Bonds Green bonds are used to finance projects that promote environmental and/or climate benefits. Green bonds eligible for inclusion in the City s investment portfolio are issued by government agencies, private corporations, and institutions such as the World Bank. Market Value The price at which a security is currently trading and could be presumably bought or sold. Par Value The full face value of the security. Rebalancing Strategy whereby low yielding securities are sold at a loss with the proceeds used to purchase higher yielding securities. 8
Cash Receipts, Disbursements and Cash Balances Supranational Supranational organizations are international financial institutions that are generally established by agreements among nations, with member nations contributing capital and participating in management. Supranational bonds finance economic and infrastructure development and support environmental protection, poverty reduction, and renewable energy around the globe, which are issued by International Bank for Reconstruction and Development, International Finance Corporation, or Inter-American Development Bank. Unrealized Gain/Loss Difference between the current market value and purchase price (book value) of a security. Yield to Maturity The rate of return of a security held to maturity when both interest payments and the investor s gain or loss (premium paid or discount taken) on the security is taken into account. Pooled Investment Portfolio As of, the portfolio size (unamortized book value/purchase price) of City pooled cash and investments is $747 million, $14.9 million more than in the prior month. Since the City holds most investments to maturity, variations in portfolio book value are typically due to receipt and expenditure patterns during the month rather than any realized gains or losses on securities. Additionally, the City does not amortize premiums or accrete discounts except for financial reporting purposes on the last day of each fiscal year. As noted above, this is a typical pattern for August reflecting receipts from business license renewals. Fifteen investments were made during the month ($50.6 million), five investments matured ($16 million), one investment was sold ($5 million), and four investments were called ($9 million). The month-end balance of cash held in the City s general bank account decreased by about $5.7 million in August. Funds on deposit earn a net 0.0725% in earnings which are used as a credit against monthly banking expenses. Details of the main portfolio follow. 9
Cash Receipts, Disbursements and Cash Balances Portfolio Composition The portfolio is appropriately diversified and is in compliance with the City s Investment Policy and applicable provisions of the State Government Code. The largest sector of the portfolio is Federal Agency Securities (60.4%). The remaining 39.6% includes Corporates (19%), State Local Agency Investment Fund City (8.5%), Supranationals (5.3%), Cash (3.7%), CA State Obligations (1.6%), U.S. Treasury Securities (0.8%), Commercial Paper (0.5%), and State Local Agency Investment Fund RDA (0.2%) This portfolio mix allows the City to maintain its primary investment objectives of safety and liquidity while attaining a rate of return consistent with the City s Investment Policy and investment strategy. Supranationals 5.3% CA State Obligations 1.6% Commerical Paper 0.5% U.S. Treasury Securities 0.8% LAIF - RDA 0.2% LAIF City 8.5% Portfolio Composition Corporates 19% Fed. Agency Bullets 31.9% Cash 3.7% Callable Agencies 28.5% Green Bonds The City s investment policy dictates certain socially responsible guidelines that should be adhered to in the investment of the City s excess funds. A prime example of this is the prohibition of investments in fossil fuel-related companies. In an effort to enhance the socially responsible nature of the City s investment portfolio, staff began to research and analyze green bonds as a potential investment alternative. Green bonds are bonds that specifically finance projects that benefit the climate and produce other environmentally beneficial projects. Green bonds are issued by government agencies, private corporations, and institutions such as the World Bank. Investments in green bonds still need to meet the City s legal and strategic investment parameters. The bond proceeds are be used for projects designated as climate-beneficial projects. As of August, the City s portfolio has a total of $11 million in green bonds. 10
Cash Receipts, Disbursements and Cash Balances Portfolio Comparison The chart to the right shows the overall structure of the portfolio by type of investment compared to last month. There was no significant change from the prior month. The bond market, financial and economic conditions, and portfolio structure are continuously evaluated when making investment decisions. Cash U.S. Treasury Securities Commercial Paper CA State Obligations Supranationals LAIF-RDA LAIF-City Corporates Callable Agencies Federal Agency Bullets Portfolio Comparison Aug-17 Jul-17 $0 $50 $100 $150 $200 $250 $300 Millions Rebalancing of Portfolio As noted in the previous reports, staff has expanded the parameters of rebalancing to look for opportunities to improve portfolio performance even in times of low interest rates. When conducting rebalancing, the primary portfolio objectives of safety and liquidity must be maintained. Specifically, the City may realize a book gain or loss due to the sale of a security. These rebalancing sales only occur if: 1. A net gain on the sale is realized and there is net positive cash flow going forward (inclusive of the book gain), or 2. If a security is sold at a book loss, cash flow from any loss is made up by additional income resulting from the higher yield on the purchased bonds on or before the maturity date of the sold bonds or the first call date of the newly purchased bonds. 11
Cash Receipts, Disbursements and Cash Balances In August, one investment with a par value of $5 million was sold resulting in a net gain on the sale of $62,350. Staff will continue to look for prudent opportunities, more of which should become available as interest rates show a consistent upward trend. Portfolio Yield Benchmark interest rates ended August fairly flat. The month-end two-year Constant Maturing Treasury security yield (CMT) fell one basis point to 1.33%, and remained near its highest level in nearly nine years. The twelve month moving average did rise two basis points to 1.16% reflecting the long term upward trend in rates. The portfolio yield-to-maturity rose one basis point to 1.40%, the highest level since August 2010. While rates are now expected to continue to rise gradually over the next one to two years as the Federal Reserve raises rates, they still remain at relatively low levels. The chart Portfolio Yield compares the month-end portfolio yield to the twelvemonth moving averages of the two-year Constant Maturing Treasury security yield (CMT) and State Local Agency Investment Fund (LAIF) yield. The yield-to-maturity does 1.6% 1.4% 1.2% not include the impact of the earnings allowance earned on 1.0% deposits in the City s general bank account. As noted 0.8% earlier, these deposits earned a net 0.0725% in August. 0.6% However, this allowance is not payable to the City in cash and can only be used to offset bank fees. Therefore, this 0.4% allowance is not included in the yield-to-maturity 0.2% calculation. 0.0% March April May June July August As indicated above, interest rates in the two to five year maturity range remained relatively flat in August and remain near the highest levels since the Great Portfolio LAIF 2 Year T-Note Recession. Financial markets continue to try and assess U.S. and global economic data, the long term impacts of the new administration s policies, and the timing of future action by the Federal Reserve. The twelve month moving average LAIF 12
Cash Receipts, Disbursements and Cash Balances yield rose to 0.83% in August, four basis points higher than last month and is now at the highest level in over seven years. The LAIF month-end rate was 1.08%, the highest level in over eight years. The Federal Reserve Open Market Committee (Fed) did not meet in August so the benchmark target Fed Funds rate remained at a range of 1.00% - 1.25%. Job growth remained solid. Although the unemployment rate rose slightly to 4.4%, 156,000 new jobs were added. The unemployment rate remained near a sixteen years low. Household spending continues to rise modestly and business investment continues to expand. Inflation remains low, but as noted above, long term expectations are nearly in line with Fed policy mandates. Second quarter 2017, GDP showed a fairly strong increase of 3.1% after a modest 1.2% increase for first quarter. However, most recent economic projections predict annualized growth in the 2.0-2.5% range for the next two years. The Fed continues to indicate that the pace of future rate changes will be gradual and that rates will remain lower than typical for some time. The strong post-election rally in the stock market as measured by the Dow Jones Industrial Average continued in August as the index increased by 0.2%. The City s portfolio yield-to-maturity is expected to continue to exhibit a gradual upward trend over the next several months. Net investment income on a cash basis in August was $0.7 million. Fiscal year-to-date revenues are 61% greater than in the previous fiscal year. 13
Portfolio Management Portfolio Details - Investments Page 1 CUSIP Investment # Treasury Coupon Securities Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity 912828TW0 11658 U. S. Treasury Note 10/30/2015 2,000,00 1,998,96 2,000,00 0.750 732 0.750 60 10/31/2017 912828TS9 11911 U. S. Treasury Note 07/28/2017 4,000,00 3,998,68 4,005,159.67 0.625 64 1.048 29 09/30/2017 Federal Agency Coupon Subtotal and Average 8,424,635.48 6,000,00 5,997,64 6,005,159.67 286 0.949 39 3133EFRL3 11665 Federal Farm Credit Bank 11/30/2015 3,000,00 3,000,00 3,000,00 1.890 1,827 1.890 1,186 11/30/2020 3133EFRH2 11666 Federal Farm Credit Bank 11/30/2015 3,000,00 2,997,15 3,000,00 1.340 1,096 1.340 455 11/30/2018 3133EFZR1 11691 Federal Farm Credit Bank 02/16/2016 3,000,00 2,997,21 3,000,39 0.800 727 0.793 164 02/12/2018 3133EF3B1 11721 Federal Farm Credit Bank 04/12/2016 2,000,00 1,994,62 1,997,28 0.750 736 0.818 229 04/18/2018 3133EF3P0 11723 Federal Farm Credit Bank 04/20/2016 5,000,00 4,972,40 5,000,00 1.490 1,552 1.490 1,053 07/20/2020 3133EGKU8 11771 Federal Farm Credit Bank 07/14/2016 3,000,00 2,958,06 2,987,49 0.760 1,089 0.902 675 07/08/2019 3133EGNK7 11779 Federal Farm Credit Bank 07/27/2016 2,500,00 2,463,725.00 2,500,00 1.320 1,461 1.320 1,060 07/27/2020 3133EGNT8 11781 Federal Farm Credit Bank 07/26/2016 4,000,00 3,996,64 3,999,12 0.760 549 0.775 147 01/26/2018 3133EGA62 11817 Federal Farm Credit Bank 11/01/2016 3,000,00 2,979,63 3,000,00 1.160 1,095 1.160 791 11/01/2019 3133EGC29 11820 Federal Farm Credit Bank 11/03/2016 3,000,00 2,971,56 2,998,20 1.350 1,460 1.365 1,158 11/02/2020 3133EG2P9 11833 Federal Farm Credit Bank 12/29/2016 3,000,00 3,002,64 3,000,00 2.320 1,826 2.320 1,580 12/29/2021 3133EHAV5 11863 Federal Farm Credit Bank 03/01/2017 4,000,00 4,000,04 4,000,00 2.280 1,826 2.280 1,642 03/01/2022 3133EHEU3 11869 Federal Farm Credit Bank 04/07/2017 3,000,00 3,000,24 3,000,00 2.240 1,734 2.240 1,587 01/05/2022 3133EHQG1 11927 Federal Farm Credit Bank 08/31/2017 3,000,00 3,000,00 3,009,333.33 2.000 1,678 2.000 1,677 04/05/2022 313383GK1 11337 Federal Home Loan Bank 06/27/2013 3,800,00 3,799,088.00 3,800,00 1.125 1,826 1.125 299 06/27/2018 313379EE5 11596 Federal Home Loan Bank 05/21/2015 3,000,00 3,011,97 3,021,81 1.625 1,485 1.592 651 06/14/2019 313380EC7 11628 Federal Home Loan Bank 09/22/2015 3,000,00 2,999,85 2,996,94 0.750 717 0.802 7 09/08/2017 3130A6MH7 11645 Federal Home Loan Bank 10/28/2015 3,000,00 2,998,02 3,000,00 1.720 1,827 1.720 1,153 10/28/2020 3130A6UX3 11673 Federal Home Loan Bank 12/28/2015 4,000,00 4,007,36 4,000,00 1.500 1,278 1.500 665 06/28/2019 3130A7H73 11709 Federal Home Loan Bank 03/29/2016 3,000,00 2,997,30 3,000,00 1.000 730 1.000 209 03/29/2018 3130A87H0 11747 Federal Home Loan Bank 05/26/2016 2,500,00 2,485,025.00 2,500,00 1.400 1,461 1.400 998 05/26/2020 3130A8LS0 11760 Federal Home Loan Bank 06/30/2016 5,000,00 4,944,75 5,000,00 1.500 1,826 1.500 1,398 06/30/2021 3130A8QD8 11764 Federal Home Loan Bank 07/14/2016 3,000,00 2,964,84 3,000,00 1.230 1,461 1.230 1,047 07/14/2020 3130A8QS5 11772 Federal Home Loan Bank 07/14/2016 5,000,00 4,904,50 4,981,35 1.125 1,826 1.202 1,412 07/14/2021 3130A8WE9 11785 Federal Home Loan Bank 07/29/2016 2,500,00 2,489,35 2,500,00 1.100 1,001 1.100 602 04/26/2019 3130A8VL4 11786 Federal Home Loan Bank 08/24/2016 2,500,00 2,491,675.00 2,500,00 1.000 638 1.000 265 05/24/2018 3130A93A7 11796 Federal Home Loan Bank 08/24/2016 3,000,00 2,999,67 3,000,00 1.750 1,826 1.600 1,453 08/24/2021 3130A9A68 11801 Federal Home Loan Bank 09/14/2016 5,500,00 5,444,065.00 5,500,00 1.125 1,003 1.125 651 06/14/2019 3130A9FQ9 11805 Federal Home Loan Bank 09/28/2016 3,000,00 2,990,97 3,000,00 1.000 730 1.000 392 09/28/2018 3130A9TP6 11818 Federal Home Loan Bank 11/15/2016 4,000,00 3,990,00 4,000,00 1.000 1,277 1.000 987 05/15/2020 3130A9W49 11821 Federal Home Loan Bank 11/25/2016 2,000,00 1,984,80 2,000,00 1.250 1,186 1.250 906 02/24/2020 Maturity Portfolio INVT CC Run : 09/22/2017-09:57 PM (PRF_PM2) 7.3.0 14 Report Ver. 7.3.6.1
Portfolio Management Portfolio Details - Investments Page 2 CUSIP Investment # Federal Agency Coupon Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity 3130AA5A2 11823 Federal Home Loan Bank 12/08/2016 5,000,00 5,000,10 5,000,00 1.700 1,826 1.700 1,559 12/08/2021 3130AAGR3 11830 Federal Home Loan Bank 12/20/2016 2,500,00 2,502,525.00 2,500,00 2.040 1,826 2.040 1,571 12/20/2021 3130AAQ84 11844 Federal Home Loan Bank 01/27/2017 3,000,00 2,997,39 3,000,00 1.000 455 1.000 238 04/27/2018 3130AAQE1 11846 Federal Home Loan Bank 01/30/2017 4,000,00 4,002,00 4,000,00 1.650 1,186 1.650 972 04/30/2020 3130AARD2 11847 Federal Home Loan Bank 02/15/2017 5,000,00 5,002,00 5,000,00 2.210 1,826 2.210 1,628 02/15/2022 3130ABAD8 11876 Federal Home Loan Bank 04/27/2017 1,000,00 999,94 1,000,00 1.250 1,826 2.081 1,699 04/27/2022 3130ABBZ8 11878 Federal Home Loan Bank 05/24/2017 2,500,00 2,507,775.00 2,500,00 2.050 1,826 2.050 1,726 05/24/2022 3130ABBY1 11879 Federal Home Loan Bank 05/24/2017 2,500,00 2,502,75 2,500,00 1.750 1,280 1.750 1,180 11/24/2020 3130ABSP2 11904 Federal Home Loan Bank 07/26/2017 3,000,00 3,002,85 3,001,20 1.500 730 1.480 693 07/26/2019 313370SZ2 11905 Federal Home Loan Bank 07/14/2017 4,000,00 4,000,96 4,038,716.00 2.250 56 1.037 7 09/08/2017 3130AAM88 11907 Federal Home Loan Bank 07/26/2017 2,000,00 2,003,12 2,004,422.22 1.625 541 1.498 504 01/18/2019 3130ABX76 11908 Federal Home Loan Bank 08/22/2017 2,000,00 1,998,10 2,000,00 1.500 1,826 2.282 1,816 08/22/2022 3130ABYK6 11910 Federal Home Loan Bank 08/07/2017 2,500,00 2,500,05 2,500,00 1.600 914 1.600 889 02/07/2020 3130ABXH4 11913 Federal Home Loan Bank 08/10/2017 4,000,00 3,999,48 4,000,00 1.500 1,826 2.662 1,804 08/10/2022 3130ABZE9 11915 Federal Home Loan Bank 08/28/2017 3,000,00 2,998,41 3,000,00 1.650 1,096 1.650 1,092 08/28/2020 3130AC6W9 11919 Federal Home Loan Bank 08/28/2017 2,500,00 2,499,75 2,500,00 1.600 914 1.600 910 02/28/2020 313379DT3 11929 Federal Home Loan Bank 08/31/2017 2,000,00 2,000,26 2,006,283.65 1.250 281 1.215 280 06/08/2018 3134G44N5 11317 Fed Home Loan Mortgage Corp 05/28/2013 3,000,00 2,997,42 3,000,00 0.750 1,645 0.750 88 11/28/2017 3134G5LV5 11498 Fed Home Loan Mortgage Corp 11/17/2014 2,500,00 2,500,25 2,499,91 1.000 1,096 1.001 77 11/17/2017 3134G73X7 11650 Fed Home Loan Mortgage Corp 10/30/2015 3,000,00 2,999,46 3,000,00 0.720 728 0.720 56 10/27/2017 3134G73Q2 11652 Fed Home Loan Mortgage Corp 10/27/2015 4,000,00 3,989,68 4,000,00 1.000 1,004 1.000 329 07/27/2018 3134G8VC0 11711 Fed Home Loan Mortgage Corp 03/28/2016 3,000,00 2,993,10 3,000,00 1.200 1,005 1.200 483 12/28/2018 3134G8VC0 11712 Fed Home Loan Mortgage Corp 03/28/2016 3,000,00 2,993,10 3,000,00 1.200 1,005 1.200 483 12/28/2018 3134G8VE6 11713 Fed Home Loan Mortgage Corp 03/29/2016 5,000,00 4,994,35 5,000,00 1.020 730 1.020 209 03/29/2018 3134G8TY5 11714 Fed Home Loan Mortgage Corp 03/30/2016 5,000,00 4,993,25 5,000,00 1.420 1,461 1.420 941 03/30/2020 3134G8Y60 11720 Fed Home Loan Mortgage Corp 04/27/2016 3,000,00 2,992,80 3,000,00 1.000 821 1.000 329 07/27/2018 3134G9AH0 11724 Fed Home Loan Mortgage Corp 04/27/2016 5,000,00 4,964,05 5,000,00 1.300 1,370 1.300 878 01/27/2020 3134G9AA5 11726 Fed Home Loan Mortgage Corp 04/28/2016 5,000,00 4,973,25 5,000,00 1.225 1,278 1.225 787 10/28/2019 3134G8XP9 11727 Fed Home Loan Mortgage Corp 04/26/2016 3,000,00 2,985,54 3,000,00 1.150 1,095 1.150 602 04/26/2019 3134G9AD9 11734 Fed Home Loan Mortgage Corp 04/28/2016 5,005,00 4,974,97 5,003,748.75 1.500 1,826 1.505 1,335 04/28/2021 3134G9HM2 11736 Fed Home Loan Mortgage Corp 05/26/2016 4,000,00 3,974,56 4,000,00 1.300 1,279 1.300 816 11/26/2019 3134G9HJ9 11737 Fed Home Loan Mortgage Corp 05/10/2016 3,000,00 2,992,02 3,000,00 1.000 822 1.000 343 08/10/2018 3134G9JV0 11739 Fed Home Loan Mortgage Corp 05/23/2016 5,000,00 4,976,60 5,000,00 1.000 914 1.000 448 11/23/2018 3134G9MW4 11740 Fed Home Loan Mortgage Corp 05/31/2016 4,000,00 3,955,16 4,000,00 1.350 1,456 1.350 998 05/26/2020 3134G9HJ9 11741 Fed Home Loan Mortgage Corp 05/18/2016 2,500,00 2,493,35 2,500,00 1.000 814 1.000 343 08/10/2018 3134G9QV2 11750 Fed Home Loan Mortgage Corp 06/15/2016 2,500,00 2,493,375.00 2,500,00 1.450 1,461 1.450 1,018 06/15/2020 Maturity Portfolio INVT CC Run : 09/22/2017-09:57 PM (PRF_PM2) 7.3.0 15
Portfolio Management Portfolio Details - Investments Page 3 CUSIP Investment # Federal Agency Coupon Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity 3134G9SA6 11754 Fed Home Loan Mortgage Corp 06/23/2016 4,400,00 4,382,268.00 4,400,00 1.500 1,461 1.500 1,026 06/23/2020 3134G9SB4 11755 Fed Home Loan Mortgage Corp 06/22/2016 2,500,00 2,491,625.00 2,500,00 1.250 1,003 1.250 567 03/22/2019 3134G33Z1 11770 Fed Home Loan Mortgage Corp 07/14/2016 2,000,00 1,996,54 2,037,88 1.550 1,477 1.070 1,063 07/30/2020 3134G9U54 11775 Fed Home Loan Mortgage Corp 07/26/2016 3,000,00 2,994,18 3,000,00 1.500 1,095 1.267 693 07/26/2019 3134G9V87 11778 Fed Home Loan Mortgage Corp 07/26/2016 3,000,00 2,972,85 3,000,00 1.050 1,004 1.050 602 04/26/2019 3134G9X51 11780 Fed Home Loan Mortgage Corp 07/27/2016 3,000,00 2,992,92 3,000,00 1.000 730 1.000 329 07/27/2018 3134GABA1 11792 Fed Home Loan Mortgage Corp 08/30/2016 3,000,00 2,987,88 3,000,00 1.030 728 1.030 361 08/28/2018 3134GABM5 11793 Fed Home Loan Mortgage Corp 08/30/2016 4,000,00 3,963,76 4,000,00 1.300 1,459 1.300 1,092 08/28/2020 3134GARV8 11810 Fed Home Loan Mortgage Corp 10/28/2016 2,500,00 2,489,70 2,500,00 1.300 1,092 1.300 784 10/25/2019 3134GARL0 11812 Fed Home Loan Mortgage Corp 10/28/2016 3,000,00 2,991,60 3,000,00 1.250 1,826 1.250 1,518 10/28/2021 3134GAMV3 11814 Fed Home Loan Mortgage Corp 10/11/2016 3,000,00 2,992,80 3,000,00 1.000 717 1.000 392 09/28/2018 3134GAJ62 11841 Fed Home Loan Mortgage Corp 01/26/2017 2,000,00 1,999,10 2,000,00 1.250 1,826 1.250 1,608 01/26/2022 3134GA2P8 11851 Fed Home Loan Mortgage Corp 02/27/2017 4,000,00 4,000,36 4,000,00 1.550 1,003 1.550 817 11/27/2019 3134G9M79 11859 Fed Home Loan Mortgage Corp 02/15/2017 2,000,00 2,011,54 1,991,68 1.875 1,622 1.973 1,424 07/26/2021 3134G9M79 11860 Fed Home Loan Mortgage Corp 02/15/2017 2,000,00 2,011,54 1,992,10 1.875 1,622 1.968 1,424 07/26/2021 3134GA6G4 11861 Fed Home Loan Mortgage Corp 03/29/2017 3,000,00 2,998,56 3,000,00 1.420 730 1.420 574 03/29/2019 3134GA6W9 11862 Fed Home Loan Mortgage Corp 02/28/2017 4,000,00 3,998,12 4,000,00 1.500 911 1.500 726 08/28/2019 3134GBBW1 11865 Fed Home Loan Mortgage Corp 03/29/2017 2,000,00 2,001,50 2,000,00 2.400 1,826 2.400 1,670 03/29/2022 3134G9UY1 11867 Fed Home Loan Mortgage Corp 03/21/2017 3,000,00 2,993,43 2,994,00 1.000 465 1.159 301 06/29/2018 3134GBGG1 11871 Fed Home Loan Mortgage Corp 04/26/2017 4,000,00 3,996,84 4,000,00 1.500 821 1.500 693 07/26/2019 3134GBGR7 11872 Fed Home Loan Mortgage Corp 04/27/2017 2,000,00 2,000,34 2,000,00 2.000 1,461 2.000 1,334 04/27/2021 3134GBHW5 11874 Fed Home Loan Mortgage Corp 04/27/2017 4,000,00 4,001,44 4,000,00 1.625 1,187 1.625 1,060 07/27/2020 3134GBNA6 11881 Fed Home Loan Mortgage Corp 05/25/2017 2,500,00 2,500,40 2,500,00 2.050 1,826 2.050 1,727 05/25/2022 3134GBMQ2 11883 Fed Home Loan Mortgage Corp 05/24/2017 2,000,00 2,000,82 2,000,00 2.000 1,461 2.000 1,361 05/24/2021 3134GBRJ3 11892 Fed Home Loan Mortgage Corp 05/30/2017 4,000,00 4,001,04 4,000,00 1.600 1,095 1.600 1,001 05/29/2020 3134GBUH3 11895 Fed Home Loan Mortgage Corp 06/29/2017 2,856,00 2,856,257.04 2,854,857.60 1.750 1,826 1.758 1,762 06/29/2022 3134GBXU1 11897 Fed Home Loan Mortgage Corp 07/27/2017 4,000,00 4,000,80 4,000,00 2.250 1,826 2.250 1,790 07/27/2022 3134GBZF2 11900 Fed Home Loan Mortgage Corp 07/27/2017 2,000,00 2,002,74 2,000,00 1.770 1,096 1.770 1,060 07/27/2020 3132X0GA3 11735 Farmer Mac 04/29/2016 2,500,00 2,488,425.00 2,500,00 1.080 1,095 1.080 605 04/29/2019 3132X0KE0 11809 Farmer Mac 10/03/2016 3,000,00 2,999,07 3,000,00 0.700 365 0.700 32 10/03/2017 3132X0LR0 11828 Farmer Mac 12/08/2016 4,000,00 4,000,00 4,000,00 1.100 547 1.100 280 06/08/2018 3132X0RX1 11868 Farmer Mac 04/10/2017 3,000,00 3,017,85 3,000,00 2.080 1,663 2.080 1,519 10/29/2021 3132X0SU6 11894 Farmer Mac 05/22/2017 2,000,00 1,999,42 2,000,98 1.250 450 1.210 348 08/15/2018 3132X0UC3 11909 Farmer Mac 07/28/2017 2,350,00 2,350,658.00 2,351,361.04 1.650 1,067 1.676 1,032 06/29/2020 3135G0XA6 11319 Federal National Mort Assoc 05/21/2013 3,000,00 2,994,78 3,000,00 1.030 1,826 1.030 262 05/21/2018 3136G2PJ0 11642 Federal National Mort Assoc 10/26/2015 1,000,00 997,97 1,000,00 1.010 1,096 1.010 420 10/26/2018 Maturity Portfolio INVT CC Run : 09/22/2017-09:57 PM (PRF_PM2) 7.3.0 16
Portfolio Management Portfolio Details - Investments Page 4 CUSIP Investment # Federal Agency Coupon Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity 3136G2R58 11649 Federal National Mort Assoc 10/29/2015 2,500,00 2,495,325.00 2,500,00 1.040 1,093 1.040 420 10/26/2018 3136G2RQ2 11656 Federal National Mort Assoc 10/29/2015 3,000,00 2,973,15 3,000,00 1.400 1,461 1.400 788 10/29/2019 3136G2WV5 11684 Federal National Mort Assoc 01/29/2016 3,500,00 3,491,25 3,500,00 1.220 1,092 1.220 511 01/25/2019 3136G2XS1 11686 Federal National Mort Assoc 02/26/2016 5,000,00 4,996,45 5,000,00 1.250 1,096 1.125 543 02/26/2019 3136G2XZ5 11689 Federal National Mort Assoc 02/24/2016 2,500,00 2,482,275.00 2,500,00 1.350 1,461 1.350 906 02/24/2020 3136G3AM7 11695 Federal National Mort Assoc 02/26/2016 5,000,00 4,980,15 5,000,00 1.250 1,827 1.250 1,274 02/26/2021 3136G3CT0 11705 Federal National Mort Assoc 03/15/2016 2,400,00 2,397,576.00 2,400,00 1.400 1,826 1.400 1,291 03/15/2021 3136G3JR7 11725 Federal National Mort Assoc 04/26/2016 2,000,00 1,987,02 1,995,00 1.000 1,095 1.085 602 04/26/2019 3136G3ML6 11738 Federal National Mort Assoc 05/24/2016 5,000,00 4,953,85 5,000,00 1.125 1,095 1.125 630 05/24/2019 3136G3QZ1 11751 Federal National Mort Assoc 05/27/2016 2,500,00 2,485,90 2,500,00 1.250 1,098 1.250 636 05/30/2019 3136G3RM9 11752 Federal National Mort Assoc 06/21/2016 4,000,00 3,970,12 4,000,00 1.400 1,095 1.400 658 06/21/2019 3136G3XJ9 11761 Federal National Mort Assoc 07/26/2016 4,000,00 3,941,52 4,000,00 1.000 1,095 1.000 693 07/26/2019 3136G3YJ8 11762 Federal National Mort Assoc 07/26/2016 4,000,00 3,941,52 4,000,00 1.000 1,095 1.000 693 07/26/2019 3135G0L43 11763 Federal National Mort Assoc 07/13/2016 2,000,00 1,995,00 1,999,50 0.850 730 0.863 315 07/13/2018 3136G3ZV0 11767 Federal National Mort Assoc 07/26/2016 5,000,00 4,940,95 5,000,00 1.050 1,095 1.050 693 07/26/2019 3136G3ZU2 11768 Federal National Mort Assoc 07/27/2016 5,000,00 4,976,55 5,000,00 0.940 730 0.940 329 07/27/2018 3136G1BL2 11774 Federal National Mort Assoc 07/14/2016 1,750,00 1,751,802.50 1,787,485.00 1.625 1,477 1.082 1,063 07/30/2020 3136G3L45 11776 Federal National Mort Assoc 07/28/2016 4,000,00 3,921,64 4,000,00 1.250 1,461 1.250 1,061 07/28/2020 3136G3L37 11777 Federal National Mort Assoc 07/28/2016 5,000,00 4,948,05 5,000,00 1.125 1,187 1.125 787 10/28/2019 3136G3S22 11783 Federal National Mort Assoc 08/16/2016 5,000,00 4,954,30 5,000,00 1.250 1,826 1.250 1,445 08/16/2021 3136G3W84 11787 Federal National Mort Assoc 08/30/2016 2,000,00 1,968,36 2,000,00 1.000 1,093 1.000 726 08/28/2019 3136G3Y58 11789 Federal National Mort Assoc 08/30/2016 5,000,00 4,958,95 5,000,00 1.250 1,459 1.250 1,092 08/28/2020 3136G3ZS7 11790 Federal National Mort Assoc 08/03/2016 2,000,00 1,989,14 1,999,50 1.000 814 1.011 420 10/26/2018 3136G3Q73 11794 Federal National Mort Assoc 08/10/2016 2,000,00 1,989,14 1,999,20 1.150 1,080 1.164 693 07/26/2019 3136G35R2 11804 Federal National Mort Assoc 09/20/2016 3,000,00 2,968,98 3,000,00 1.250 1,277 1.250 931 03/20/2020 3136G4CT8 11808 Federal National Mort Assoc 09/29/2016 5,000,00 4,896,45 5,000,00 1.190 1,369 1.190 1,032 06/29/2020 3136G4EX7 11811 Federal National Mort Assoc 10/18/2016 2,500,00 2,498,475.00 2,500,00 0.900 1,095 0.900 777 10/18/2019 3136G4BV4 11813 Federal National Mort Assoc 10/07/2016 4,000,00 3,951,28 3,999,60 1.450 1,454 1.453 1,125 09/30/2020 3136G0QL8 11832 Federal National Mort Assoc 12/19/2016 2,500,00 2,500,625.00 2,502,95 1.300 555 1.221 299 06/27/2018 3136G4KM4 11834 Federal National Mort Assoc 01/17/2017 2,000,00 2,000,06 2,000,00 1.750 1,095 1.750 868 01/17/2020 3136G4LG6 11855 Federal National Mort Assoc 02/28/2017 2,500,00 2,501,75 2,500,00 1.800 1,277 1.800 1,092 08/28/2020 3136G4MT7 11864 Federal National Mort Assoc 03/27/2017 2,000,00 2,001,38 2,000,00 1.750 1,096 1.750 938 03/27/2020 3136G4NL3 11877 Federal National Mort Assoc 05/22/2017 2,500,00 2,500,175.00 2,500,00 1.660 1,096 1.660 994 05/22/2020 880591EQ1 11916 Tenn Valley Authority 07/28/2017 1,000,00 1,004,90 1,009,686.94 1.750 444 2.156 409 10/15/2018 Subtotal and Average 439,935,769.57 438,061,00 436,384,079.54 438,161,974.53 1,232 1.358 849 Maturity Portfolio INVT CC Run : 09/22/2017-09:57 PM (PRF_PM2) 7.3.0 17
Portfolio Management Portfolio Details - Investments Page 5 CUSIP Investment # Federal Agency Discount Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity 313385QD1 11922 Federal Home Loan Bank 08/25/2017 4,000,00 3,988,268.00 3,988,269.44 1.025 103 1.042 96 12/06/2017 313385NR3 11923 Federal Home Loan Bank 08/25/2017 4,000,00 3,992,444.00 3,992,443.89 1.015 67 1.031 60 10/31/2017 313385MG8 11925 Federal Home Loan Bank 08/28/2017 5,000,00 4,995,675.00 4,995,672.92 1.005 31 1.020 27 09/28/2017 Local Agency Investment Funds Subtotal and Average 5,025,896.65 13,000,00 12,976,387.00 12,976,386.25 64 1.030 58 SYS10090 10090 Local Agency Investment Fund 63,332,809.83 63,332,809.83 63,332,809.83 1.084 1 1.084 1 Columbia Money Market Fund Subtotal and Average 63,332,809.83 63,332,809.83 63,332,809.83 63,332,809.83 1 1.084 1 SYS10091 10091 Columbia Money Market Reserves 09/15/2006 0.010 1 0.010 1 Local Agency Investment Funds - RDA Subtotal and Average 0 0 0 SYS10092 10092 LAIF - Successor Agency 03/17/2009 1,859,349.71 1,859,349.71 1,859,349.71 1.084 1 1.084 1 Corporate Bonds Subtotal and Average 1,859,349.71 1,859,349.71 1,859,349.71 1,859,349.71 1 1.084 1 053015AD5 11632 AUTOMATIC DATA PROCESSING 09/24/2015 2,500,00 2,534,15 2,516,775.00 2.250 1,818 2.107 1,110 09/15/2020 037833AJ9 11321 Apple Inc. 05/06/2013 2,500,00 2,493,875.00 2,505,60 1.000 1,823 0.954 244 05/03/2018 037833AJ9 11326 Apple Inc. 05/17/2013 2,500,00 2,493,875.00 2,478,975.00 1.000 1,812 1.175 244 05/03/2018 037833CC2 11806 Apple Inc. 09/14/2016 2,000,00 1,972,10 1,992,72 1.550 1,785 1.628 1,433 08/04/2021 06406HCL1 11618 Bank of New York Mellon 08/07/2015 5,000,00 5,023,10 5,063,50 2.100 1,090 1.662 334 08/01/2018 084670BX5 11795 Berkshire Hathaway 08/15/2016 2,000,00 1,994,14 1,999,76 1.150 730 1.156 348 08/15/2018 19416QEB2 11476 Colgate Palmolive 07/28/2014 1,500,00 1,494,84 1,472,835.00 0.900 1,373 1.396 242 05/01/2018 17275RAR3 11502 Cisco Systems 10/30/2014 2,500,00 2,520,40 2,531,75 2.125 1,583 1.819 546 03/01/2019 17275RAU6 11606 Cisco Systems 06/18/2015 2,500,00 2,504,375.00 2,506,10 1.650 1,093 1.566 287 06/15/2018 17275RBJ0 11873 Cisco Systems 04/21/2017 4,000,00 3,980,84 3,981,118.42 1.850 1,613 2.000 1,480 09/20/2021 17275RBG6 11920 Cisco Systems 08/25/2017 3,000,00 2,989,62 3,005,723.33 1.400 756 1.603 749 09/20/2019 25468PDA1 11519 Walt Disney Company 11/28/2014 4,000,00 4,018,20 3,991,229.24 1.850 1,644 1.901 636 05/30/2019 25468PDA1 11551 Walt Disney Company 02/23/2015 2,000,00 2,009,10 2,006,23 1.850 1,557 1.774 636 05/30/2019 25468PDQ6 11870 Walt Disney Company 04/10/2017 4,000,00 4,050,44 4,034,055.56 2.450 1,789 2.315 1,645 03/04/2022 02079KAA5 11884 Google 05/08/2017 4,800,00 5,095,20 5,122,896.00 3.625 1,472 1.884 1,356 05/19/2021 459200HZ7 11549 IBM Corp 02/06/2015 3,000,00 2,996,73 2,990,85 1.125 1,096 1.229 158 02/06/2018 459200HK0 11928 IBM Corp 08/31/2017 4,500,00 4,495,905.00 4,503,593.75 1.250 161 1.249 160 02/08/2018 Maturity Portfolio INVT CC Run : 09/22/2017-09:57 PM (PRF_PM2) 7.3.0 18
Portfolio Management Portfolio Details - Investments Page 6 CUSIP Investment # Corporate Bonds Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity 458140AL4 11513 Intel 11/20/2014 3,000,00 2,999,88 2,995,26 1.350 1,121 1.403 105 12/15/2017 458140AL4 11906 Intel 07/14/2017 3,000,00 2,999,88 3,004,702.50 1.350 154 1.234 105 12/15/2017 478160BM5 11743 Johnson & Johnson 05/23/2016 4,000,00 4,028,08 4,090,32 1.875 1,291 1.220 825 12/05/2019 478160BN3 11826 Johnson & Johnson 12/05/2016 4,000,00 4,101,40 4,081,64 2.450 1,826 2.019 1,556 12/05/2021 478160BS2 11917 Johnson & Johnson 08/08/2017 2,000,00 1,996,36 2,012,111.67 1.650 1,301 1.683 1,277 03/01/2021 191216BT6 11659 Coca Cola 11/09/2015 3,000,00 3,013,89 2,975,40 1.875 1,814 2.049 1,152 10/27/2020 191216AR1 11694 Coca Cola 02/22/2016 4,000,00 4,167,56 4,253,04 3.150 1,728 1.750 1,171 11/15/2020 58933YAC9 11547 Merck 02/06/2015 3,000,00 2,996,58 3,001,20 1.100 1,090 1.085 152 01/31/2018 594918AP9 11311 Microsoft 04/30/2013 2,500,00 2,497,225.00 2,505,00 0.875 1,660 0.931 75 11/15/2017 594918BF0 11660 Microsoft 11/10/2015 2,500,00 2,498,625.00 2,498,825.00 1.300 1,089 1.316 428 11/03/2018 594918BG8 11661 Microsoft 11/10/2015 2,500,00 2,521,45 2,497,15 2.000 1,820 2.024 1,159 11/03/2020 594918BN3 11788 Microsoft 08/08/2016 3,000,00 2,978,64 2,996,91 1.100 1,095 1.135 706 08/08/2019 594918BW3 11882 Microsoft 03/10/2017 4,000,00 4,065,84 4,008,132.00 2.400 1,794 2.356 1,619 02/06/2022 64952WBK8 11283 New York Life 01/23/2013 2,855,00 2,854,942.90 2,872,529.70 1.300 1,741 1.167 59 10/30/2017 68389XAQ8 11576 Oracle 04/13/2015 3,000,00 3,035,07 3,099,99 2.375 1,373 1.459 501 01/15/2019 68389XBK0 11842 Oracle 01/09/2017 2,500,00 2,493,725.00 2,449,037.50 1.900 1,710 2.206 1,475 09/15/2021 713448DL9 11827 Pepsi Bottling 12/05/2016 4,000,00 3,955,80 3,906,00 1.700 1,766 2.215 1,496 10/06/2021 713448DT2 11887 Pepsi Bottling 05/15/2017 3,000,00 3,024,18 2,993,287.50 2.250 1,813 2.315 1,704 05/02/2022 742718EG0 11507 Procter & Gamble 11/10/2014 3,000,00 3,020,55 2,999,49 1.900 1,817 1.904 791 11/01/2019 742718EQ8 11831 Procter & Gamble 12/20/2016 2,500,00 2,486,95 2,436,602.50 1.700 1,779 2.253 1,524 11/03/2021 747525AE3 11918 Qualcomm Inc. 08/14/2017 5,000,00 5,162,00 5,203,50 3.000 1,740 2.250 1,722 05/20/2022 855244AF6 11866 Starbucks Corp 03/10/2017 2,900,00 2,917,371.00 2,927,086.00 2.000 635 1.453 460 12/05/2018 855244AJ8 11899 Starbucks Corp 06/30/2017 3,084,00 3,115,796.04 3,109,257.96 2.100 1,315 1.863 1,252 02/04/2021 855244AG4 11901 Starbucks Corp 07/14/2017 3,000,00 3,076,11 3,063,033.00 2.700 1,797 2.293 1,748 06/15/2022 855244AG4 11902 Starbucks Corp 07/17/2017 2,000,00 2,050,74 2,051,626.92 2.700 1,794 2.194 1,748 06/15/2022 89236TBP9 11472 Toyota Motor Credit Corp 07/21/2014 4,000,00 4,034,00 4,000,00 2.125 1,823 2.125 685 07/18/2019 89236TCP8 11620 Toyota Motor Credit Corp 08/11/2015 2,000,00 2,000,98 2,000,00 1.550 1,067 1.550 315 07/13/2018 89236TDC6 11729 Toyota Motor Credit Corp 04/25/2016 3,000,00 2,982,96 3,000,00 1.100 730 1.100 236 04/25/2018 89233P7E0 11835 Toyota Motor Credit Corp 12/28/2016 2,000,00 2,000,20 2,001,28 1.375 378 1.312 131 01/10/2018 Commercial Paper Disc. -At Cost Subtotal and Average 134,505,740.50 140,639,00 141,743,674.94 141,736,123.55 1,406 1.715 867 91411SYM6 11924 University of California 08/25/2017 4,000,00 3,989,048.00 3,989,048.89 1.120 88 1.154 81 11/21/2017 Subtotal and Average 900,752.98 4,000,00 3,989,048.00 3,989,048.89 88 1.154 81 Maturity Portfolio INVT CC Run : 09/22/2017-09:57 PM (PRF_PM2) 7.3.0 19
Portfolio Management Portfolio Details - Investments Page 7 CUSIP Investment # Supranationals Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity 458182DX7 11888 Inter-American Develop Bank 05/15/2017 3,000,00 2,974,08 2,972,596.67 1.000 728 1.469 619 05/13/2019 459058ET6 11643 IBRD (World Bank) 10/13/2015 3,000,00 3,000,00 3,000,00 0.800 731 0.800 42 10/13/2017 45905UVK7 11706 IBRD (World Bank) 03/17/2016 5,000,00 4,994,85 5,000,00 1.750 1,826 1.750 1,293 03/17/2021 459058FB4 11719 IBRD (World Bank) 04/26/2016 4,000,00 3,996,68 4,000,00 1.300 1,095 1.300 602 04/26/2019 45905UUL6 11769 IBRD (World Bank) 07/13/2016 4,000,00 3,993,732.00 4,026,92 1.200 743 1.060 328 07/26/2018 459058FC2 11819 IBRD (World Bank) 10/26/2016 2,500,00 2,483,325.00 2,503,075.00 1.250 912 1.200 602 04/26/2019 45905UZZ0 11824 IBRD (World Bank) 11/28/2016 2,500,00 2,492,45 2,500,00 1.500 1,813 1.500 1,536 11/15/2021 459058EM1 11837 IBRD (World Bank) 12/30/2016 2,500,00 2,499,65 2,496,725.00 1.000 320 1.309 75 11/15/2017 45950VJT4 11802 International Finance Corp. 09/02/2016 3,000,00 2,976,75 3,000,00 1.000 1,839 1.000 1,475 09/15/2021 45950VJS6 11803 International Finance Corp. 08/19/2016 5,000,00 4,923,85 5,000,00 1.000 1,822 1.000 1,444 08/15/2021 45905UZT4 11822 International Finance Corp. 11/22/2016 3,000,00 2,991,66 3,000,00 1.750 1,826 1.750 1,543 11/22/2021 45950VKX3 11903 International Finance Corp. 07/21/2017 2,000,00 1,998,78 2,000,00 1.625 1,820 1.625 1,778 07/15/2022 State of California Obligations Subtotal and Average 39,499,316.67 39,500,00 39,325,807.00 39,499,316.67 1,322 1.304 950 13063CKL3 11459 State of California 06/09/2014 3,000,00 3,024,69 3,020,79 2.250 1,787 2.100 607 05/01/2019 13063CSQ4 11583 State of California 04/29/2015 2,500,00 2,492,15 2,507,05 1.800 1,799 1.740 943 04/01/2020 13063DAD0 11885 California Statewide Communiti 05/09/2017 3,000,00 3,038,76 3,007,137.00 2.367 1,788 2.333 1,673 04/01/2022 91412GSB2 11532 University of California 01/12/2015 1,130,00 1,134,994.60 1,127,333.20 1.796 1,631 1.851 668 07/01/2019 91412GSB2 11638 University of California 09/29/2015 2,500,00 2,511,05 2,521,775.00 1.796 1,371 1.556 668 07/01/2019 Subtotal and Average 12,184,085.20 12,130,00 12,201,644.60 12,184,085.20 1,689 1.948 958 Maturity Total and Average 705,668,356.57 718,522,159.54 717,810,440.62 719,744,254.30 1,132 1.400 758 Portfolio INVT CC Run : 09/22/2017-09:57 PM (PRF_PM2) 7.3.0 20
Portfolio Management Portfolio Details - Cash Page 8 CUSIP Investment # Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Term YTM Days to 365 Maturity Average Balance Total Cash and Investments 0 0 705,668,356.57 718,522,159.54 717,810,440.62 719,744,254.30 1,132 1.400 758 Portfolio INVT CC Run : 09/22/2017-09:57 PM (PRF_PM2) 7.3.0 21
Portfolio Management Activity By Type August 1, 2017 through Page 1 CUSIP Investment # Issuer Stated Rate Transaction Purchases or Deposits Redemptions or Withdrawals Balance Treasury Coupon Securities 912828TM2 11797 U. S. Treasury Note 0.625 08/31/2017 2,500,125.00 Federal Agency Coupon 3133EHQG1 3130ABDU7 3130ABX76 3130ABYK6 3130A62S5 3130ABXH4 3130ABZE9 3130AC6W9 313379DT3 3134G3B90 3134GA2Y9 3134GA3L6 3135G0MZ3 3136G4LH4 Federal Agency Discount 313385KN5 313385QD1 313385NR3 313385MG8 Subtotal 11927 Federal Farm Credit Bank 2.000 08/31/2017 3,000,00 11886 Federal Home Loan Bank 1.250 08/28/2017 3,000,00 11908 Federal Home Loan Bank 1.500 08/22/2017 2,000,00 11910 Federal Home Loan Bank 1.600 08/07/2017 2,500,00 11912 Federal Home Loan Bank 0.750 08/28/2017 4,011,58 11913 Federal Home Loan Bank 1.500 08/10/2017 4,000,00 11915 Federal Home Loan Bank 1.650 08/28/2017 3,000,00 11919 Federal Home Loan Bank 1.600 08/28/2017 2,500,00 11929 Federal Home Loan Bank 1.250 08/31/2017 2,000,519.76 11243 Fed Home Loan Mortgage Corp 0.875 08/15/2017 1,998,52 11856 Fed Home Loan Mortgage Corp 1.520 08/28/2017 2,000,00 11858 Fed Home Loan Mortgage Corp 1.750 08/28/2017 2,000,00 11800 Federal National Mort Assoc 0.875 08/28/2017 2,505,83 11857 Federal National Mort Assoc 2.300 08/28/2017 2,000,00 Subtotal 19,000,519.76 11914 Federal Home Loan Bank 1.010 08/17/2017 4,997,194.44 11922 Federal Home Loan Bank 1.025 08/25/2017 3,988,269.44 11923 Federal Home Loan Bank 1.015 08/25/2017 3,992,443.89 11925 Federal Home Loan Bank 1.005 08/28/2017 4,995,672.92 2,500,125.00 6,005,159.67 17,515,93 438,161,974.53 Subtotal 12,976,386.25 Local Agency Investment Funds (Monthly Summary) Subtotal Columbia Money Market Fund (Monthly Summary) Subtotal Local Agency Investment Funds - RDA (Monthly Summary) Subtotal 4,997,194.44 12,976,386.25 63,332,809.83 1,859,349.71 22 Portfolio INVT CC Run : 09/22/2017-09:57 PM (PRF_PM3) 7.3.0 Report Ver. 7.3.6.1
Portfolio Management Activity By Type August 1, 2017 through Page 2 CUSIP Investment # Issuer Stated Rate Transaction Purchases or Deposits Redemptions or Withdrawals Balance Corporate Bonds 17275RBG6 25468PDE3 459200HK0 478160BS2 747525AE3 11920 Cisco Systems 1.400 08/25/2017 2,987,64 11627 Walt Disney Company 2.150 08/14/2017 4,977,65 11928 IBM Corp 1.250 08/31/2017 4,500,00 11917 Johnson & Johnson 1.650 08/08/2017 1,997,72 11918 Qualcomm Inc. 3.000 08/14/2017 5,168,50 Commercial Paper Disc. -At Cost 91411SYM6 Subtotal 14,653,86 11924 University of California 1.120 08/25/2017 3,989,048.89 4,977,65 141,736,123.55 Supranationals State of California Obligations Subtotal 3,989,048.89 Subtotal Subtotal 3,989,048.89 39,499,316.67 12,184,085.20 Total 50,619,814.90 29,990,899.44 719,744,254.30 23 Portfolio INVT CC Run : 09/22/2017-09:57 PM (PRF_PM3) 7.3.0
Cash Receipts, Disbursements and Cash Balances Maturity Distribution The weighted average days to maturity of the portfolio as of August 31, 2017 is 758 days (2.1 years). This calculation is for invested funds only and does not reflect the City s primary liquidity funds being held in cash in the City s general bank account. Approximately 55% of the portfolio continues to be held in maturities of 2 years or less (including cash and LAIF balances). The current interest rate environment, while gradually improving, is still extremely low compared to historical standards. Based on this, the portfolio s average days to maturity will likely continue to vary over the next several months. While some investments are still being made in shorter term securities, investments in longer term securities that replace matured or called investments are also being made to take advantage of the yield curve. Although rates are still relatively low on a historical basis, they are expected to increase throughout the remainder of 2017 and into 2018 as the Fed raises rates resulting in less investments being called. Unrealized Gains/Losses The Governmental Accounting Standards Board Statement No. 31 (GASB 31) requires public agencies to report all investments, with certain exceptions, at current fair market value rather than at the original purchase price. Current fair market value is defined in GASB 31 as the amount at which a financial instrument could be exchanged in a current transaction between willing parties, other than in a forced or liquidation state. Millions $250 $200 $150 $100 $50 $0 Portfolio Maturities 1-2 Years, 20.6% 2-3 Years 19% 0-1 Year 22% Cash LAIF 0-1 Year 3-4 Years 11.8% Maturity Distribution 1-2 Years LAIF 8.7% 4+ Years 14.2% 2-3 Years Cash 3.6% 3-4 Years 4+ Years The current fair market value and unrealized gain/loss of a security do not affect its redemption value or yield if held to maturity. There is an inverse relationship between the price of the bond and the market interest rate, so the current unrealized loss is a direct result of the recent increases in interest rates. The City s practice is to purchase most securities 24