OVERVIEW January March 3, 204 Exhibit A Investment Portfolio Review Quarter Ending March 3, 204 During the January to March quarter, the Treasury yield curve flattened moderately, with longer maturities showing a decrease in yield, while short Treasury bills gained 3 to 5 basis points. The changes have been caused by multiple economic factors. At the start of the quarter, Treasury yields increased in response to Congress successful avoidance of the worst of the fiscal cliff and a subsequent agreement to suspend the debt limit until March of 205. Later in the quarter the economy continued to show small improvement and labor markets continued their trend of modest expansion. Towards the end of the quarter, a bipartisan Senate proposal that outlines the framework for the elimination of government participation in housing markets through the eventual dissolution of Fannie Mae and Freddie Mac was introduced. The combination of the positive economic news and uncertainty of a bond market without Freddie and Fannie resulted in the changes to bond yields across all maturities. A Longer View of Treasury Yields Despite the increase in rates over the past year, Treasury yields still remain low relative to historical averages. 6% 5% Fed Cuts Rate to 0% QE QE2 Operation Twist Operation Twist Extended QE3 4% 3% 2% % Rates environment before quantitative easing 0% Jan-07 Jan-08 Jan-09 Jan-0 Jan- Jan-2 Jan-3 Jan-4 Source: Bloomberg 2-Year 5-Year 0-Year PFM Asset Management LLC The County Treasury continued to outperform all of the portfolio benchmarks due to a consistent investment strategy that ladders short term debt to provide liquidity and takes advantage of available higher rates by buying small amounts of longer term corporate and non callable securities, while maintaining positions in currently held callable debt 2
structures. The following indicators reflect key aspects of the County s investment portfolio in light of the above noted conditions:. Market Access The U.S. Treasury continues to issue substantial amounts of debt instruments. The continued large issuance is due to efforts to stimulate the economy by providing funding for financial institutions, social programs, and ongoing military funding requirements. Access to U.S. Treasuries and Agency debt has been plentiful, but yields have continued to remain low as investors seek safe havens from an uncertain world market. These issues have continued to keep yields low on Treasury bonds from January through March. During the quarter, the majority of County investment purchases continue to be in U.S. Treasury and Agency markets with a continued small position in shorter term, highly rated (AA or better) Corporate bonds, Certificates of Deposits and highly rated (A, P), short term Commercial Paper. In addition, the Treasurer continues to keep a high level of overnight liquid assets, reflecting the need to maintain increased levels of available cash to ensure the ability to meet all cash flow needs. 2. Diversification - The Treasurer s portfolio consists of fixed income investments, all of which are authorized by the State of California Government Code 5360. The portfolio asset spread is detailed in the table below: Portfolio Asset Composition Corporate Assets Overnight Liquid Assets US Treasuries Federal Agencies 4.95% 33.76% 6.9% 54.38% 3. Credit Risk Approximately 95% of the investment portfolio is comprised of U.S. Treasuries, Federal Agency securities and other liquid funds. All assets have an investment grade rating. U.S. Treasuries are not specifically rated, but are considered the safest of all investments. The corporate debt, (5 %) is rated in the higher levels of investment grade. All federal agency securities have AA ratings, or are guaranteed by the U.S. Treasury. The portfolio credit composition is detailed in the table below: Portfolio Credit Composition AA+ AA- A-+ (Short Term) Not Rated (LAIF/Blackrock) AAAm Amf/S (Cal Trust) 63% 2% % 5% 0% 9% 4. Liquidity Risk Liquidity risk, as measured by the ability of the county s Treasury to meet withdrawal demands on invested assets, was adequately managed during the January to March quarter. The portfolio s average weighted maturity was 485 days, and large percentages (33.76%) of assets are held in immediately available funds. 2
PORTFOLIO CHARACTERISTICS December 3, 203 March 3, 204 Total Assets $,049,985,939 $,03,345,699 Market Value $,046,087,332 $,00,766,674 Days to Maturity 496 485 Yield 0.50% 0.47% Estimated Earnings $,220,76 $,90,08 FUTURE STRATEGY The U.S. Treasury will continue a policy of heavy borrowing for stimulus programs, military funding and other additional needs. The continued improvement in our economy has given the Federal Reserve an opportunity to continue to taper their Quantitative Easing program by $0 billion a month, which may make securities easier to obtain, but will have little effect on short term rates in the near term. The consistent improvement has also ensured that investors will continue to prefer the safety of U.S. debt to other investment options. Emerging Market Weakness Drove Flight to Quality With the Federal Reserve tapering its bond purchase program, the U.S. dollar has been appreciating in value against currencies in emerging markets which have been weakening in value. Some of the countries impacted by weakening currencies include Turkey, South Africa, Argentina, and Russia. Weaker currencies threatened economic growth in emerging markets, which sparked a flight-to-quality into U.S. Treasuries. 2.4 Key Emerging Market Currencies: Units per $ (USD) 2.0 0.50% 5-Year U.S. Treasury Yield 2.3 Turkish Lira, (left) lhs South African Rand, (right) rhs.5 0.45% 0.40% 2.2.0 0.35% 2. 0.5 0.30% 2.0 0.0 0.25%.9 Oct-3 Nov-3 Dec-3 Jan-4 Feb-4 Mar-4 9.5 0.20% Oct-3 Nov-3 Dec-3 Jan-4 Feb-4 Mar-4 Source: Bloomberg. PFM Asset Management LLC 7 3
FOMC Expectations for Federal Funds Rate Then vs. Now 5% Targeted Federal Funds Rate End of 204 5% Targeted Federal Funds Rate End of 205 4% 4% 3% 3% 2% 2% % % 0% March 20, 203 March 9, 204 0% March 20, 203 March 9, 204 of FOMC Participant Votes of FOMC Participant Votes Individual FOMC participant s judgment of the appropriate level of the target federal funds rate at the end of the specified calendar year. Source: Federal Reserve Open Market Committee. PFM Asset Management LLC 0 In the near term the Treasurer continues to believe rates will not begin to rise until there is a longer history of consistent improvement in the unemployment rate, or the Federal Reserve starts to see significant inflation in the core Consumer Price Index. The Treasurer s rolling investment ladder will access short term Treasury and Agency markets with expected yields of less than one-quarter percent. In our efforts to continue to provide the safest vehicles for Treasury investments, the Treasurer will maintain a portfolio weighted with U.S. Treasuries, Federal Agency securities, and other highly liquid assets. 4
Exhibit B CUSIP Investment # Money Market Accts-GC 5360(k)(2) Issuer Average Balance Portfolio Management Portfolio Details - Investments March 3, 204 Purchase Par Value Market Value Book Value Stated Rate Moody's Days to S&P Maturity SYS672 672 BlackRock 00,583,209.99 00,583,209.99 00,583,209.99 0.057 SYS80 80 CalTrust 00,000,000.00 00,000,000.00 00,000,000.00 0.387 Aaa AAA SYS96 96 Calif. Asset Mgmt 03/0/204 378,627.29 378,627.29 378,627.29 0.062 AAA SYS830 830 Federated 07/0/203 0.00 0.00 0.00 0.0 Aaa AAA SYS578 578 Fidelity Investments 2,632,32.88 2,632,32.88 2,632,32.88 0.055 Aaa AAA Page Maturity Subtotal and Average 8,93,447.90 203,594,50.6 203,594,50.6 203,594,50.6 State Pool-GC 5360(p) SYS36 36 LAIF 50,000,000.00 50,000,000.00 50,000,000.00 0.256 Subtotal and Average 50,000,000.00 50,000,000.00 50,000,000.00 50,000,000.00 CAMP-GC 5630(p) SYS0379 0379 Calif. Asset Mgmt 88,600,000.00 88,600,000.00 88,600,000.00 0.060 AAA SYS526 526 Calif. Asset Mgmt 0.00 0.00 0.00 0.07 AAA Subtotal and Average 82,368,888.89 88,600,000.00 88,600,000.00 88,600,000.00 Negotiable CDs - GC 5360 (i) 78009NGU4 863 RBC Capital Markets 06/25/202 0,000,000.00 0,000,000.00 0,000,000.00 0.333 Aa AA 450 06/25/205 Subtotal and Average 0,000,000.00 0,000,000.00 0,000,000.00 0,000,000.00 450 Medium Term Notes - GC 5360(k) 36962G4N 70 General Electric 08//200 0,000,000.00 0,078,000.00 0,000,000.00.000 A AA 497 08//205 36962G5W0 855 General Electric 04/27/202 5,000,000.00 5,55,000.00 4,995,975.39 2.300 A AA,22 04/27/207 36962G5W0 856 General Electric 04/27/202 5,000,000.00 5,55,000.00 5,004,608.33 2.300 A AA,22 04/27/207 89233P5S 839 Toyota Motor Corporation 02/29/202 5,000,000.00 5,36,000.00 5,062,62.46 2.050 Aa AA,07 0/2/207 89233P5Z5 840 Toyota Motor Corporation 02/29/202 5,000,000.00 5,027,500.00 5,005,399.8.000 Aa AA 322 02/7/205 Subtotal and Average 30,738,83.62 30,000,000.00 30,55,500.00 30,068,595.99 763 Commercial Paper Disc.- GC 5360(h) 89233HE8 938 Toyota Motor Corporation 08/05/203 0,000,000.00 9,999,38.90 9,997,666.67 P- A- 30 05/0/204 Subtotal and Average 9,994,205.56 0,000,000.00 9,999,38.90 9,997,666.67 30 Fed Agcy Coupon Sec - GC 5360(f) 333EAF86 864 Federal Farm Credit Bank 08/07/202 0,000,000.00 9,924,900.00 0,000,000.00 0.970 Aaa AA,224 08/07/207 333ECHV9 92 Federal Farm Credit Bank 04/02/203 0,000,000.00 0,0,000.00 0,00,589.05 0.350 Aaa AA 485 07/30/205 Portfolio INVT AP Run : 04/03/204-08:44 PM (PRF_PM2) 7.3.0 Report Ver. 7.3.5
Exhibit B Portfolio Management Portfolio Details - Investments March 3, 204 Page 2 CUSIP Investment # Fed Agcy Coupon Sec - GC 5360(f) Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Moody's Days to S&P Maturity 333ECFJ8 94 Federal Farm Credit Bank 04/02/203 0,000,000.00 0,004,400.00 0,000,8.76 0.250 Aaa AA 304 0/30/205 333ECTM6 93 Federal Farm Credit Bank 07/02/203 0,000,000.00 0,27,800.00 0,039,806.00.900 Aaa AA,553 07/02/208 33380EC7 878 Federal Home Loan Bank 09/7/202 0,000,000.00 9,826,400.00 9,966,398.63 0.750 Aaa AA,256 09/08/207 33380XB8 88 Federal Home Loan Bank 0/7/202 0,000,000.00 9,958,900.00 9,998,09.67 0.625 Aaa AA 930 0/7/206 33370TW8 888 Federal Home Loan Bank 2/05/202 0,000,000.00 0,324,400.00 0,356,646.97 2.000 Aaa AA 892 09/09/206 33373SZ6 93 Federal Home Loan Bank 04/02/203 0,000,000.00 0,332,600.00 0,36,50.45 2.25 Aaa AA 80 06/0/206 33378A43 925 Federal Home Loan Bank 05/02/203 0,000,000.00 9,978,200.00 0,238,46.08.375 Aaa AA,438 03/09/208 33383A68 928 Federal Home Loan Bank 06/3/203 0,000,000.00 9,775,800.00 0,000,000.00.080 Aaa AA,534 06/3/208 33382Q63 933 Federal Home Loan Bank 06/28/203 0,000,000.00 0,000,000.00 0,000,000.00 0.70 Aaa AA 0 04/0/204 33382QM8 934 Federal Home Loan Bank 06/28/203 0,000,000.00 0,000,000.00 0,000,004.22 0.70 Aaa AA 2 04/03/204 33373JR4 937 Federal Home Loan Bank 07/24/203 0,000,000.00 0,020,200.00 0,09,667.46.375 Aaa AA 57 05/28/204 33383BN0 939 Federal Home Loan Bank 08/02/203 0,000,000.00 0,000,800.00 9,999,982.4 0.40 Aaa AA 5 05/22/204 330A05Y2 94 Federal Home Loan Bank 09/30/203 0,000,000.00 0,000,300.00 9,999,736.30 0.090 Aaa AA 90 06/30/204 330A04L 942 Federal Home Loan Bank 09/27/203 0,000,000.00 0,000,600.00 0,000,202.32 0.0 Aaa AA 83 06/23/204 33383WP2 943 Federal Home Loan Bank 0//203 9,700,000.00 9,700,485.00 9,699,559.09 0.20 Aaa AA 50 05/2/204 33379TL3 944 Federal Home Loan Bank 0/3/203 0,000,000.00 0,005,700.00 0,005,96.08 0.375 Aaa AA 72 06/2/204 330A05Y2 947 Federal Home Loan Bank 2/04/203 0,000,000.00 0,000,300.00 9,999,222.33 0.090 Aaa AA 90 06/30/204 33383SV4 950 Federal Home Loan Bank 2/06/203 0,000,000.00 0,003,200.00 0,00,260.78 0.70 Aaa AA 8 07/28/204 33383QF 95 Federal Home Loan Bank 2/06/203 0,000,000.00 0,003,700.00 0,00,703.03 0.90 Aaa AA 5 07/25/204 33383YU9 955 Federal Home Loan Bank 0/3/204 0,000,000.00 0,003,500.00 0,002,522.4 0.70 Aaa AA 57 09/05/204 33383W56 957 Federal Home Loan Bank 0/23/204 0,000,000.00 0,003,800.00 0,002,698.56 0.70 Aaa AA 43 08/22/204 330AA57 962 Federal Home Loan Bank 03/3/204 0,000,000.00 9,999,300.00 9,999,460.34 0.080 Aaa AA 64 09/2/204 337EADC0 852 Federal Home Loan Mtg Corp 04/8/202 0,000,000.00 0,024,500.00 9,980,60.65.000 Aaa AA,072 03/08/207 334G3H52 87 Federal Home Loan Mtg Corp 09/2/202 0,000,000.00 9,908,500.00 0,000,000.00.000 Aaa AA,260 09/2/207 334G3K33 875 Federal Home Loan Mtg Corp 09/27/202 0,000,000.00 9,988,200.00 9,998,33.33 0.700 Aaa AA 90 09/27/206 334G3S50 887 Federal Home Loan Mtg Corp /30/202 0,000,000.00 9,974,700.00 0,06,578.39 0.625 Aaa AA 945 /0/206 334G42M9 96 Federal Home Loan Mtg Corp 04/25/203 0,000,000.00 9,893,00.00 0,000,000.00 0.700 Aaa AA,20 04/25/207 334G42G2 97 Federal Home Loan Mtg Corp 04/30/203 0,000,000.00 9,760,400.00 0,000,000.00.050 Aaa AA,490 04/30/208 334G43F3 920 Federal Home Loan Mtg Corp 04/30/203 0,000,000.00 9,753,300.00 0,000,000.00.020 Aaa AA,490 04/30/208 334G43V8 923 Federal Home Loan Mtg Corp 05/5/203 0,000,000.00 9,797,500.00 9,999,75.56.050 Aaa AA,505 05/5/208 334G47M4 930 Federal Home Loan Mtg Corp 06/26/203 0,000,000.00 9,923,00.00 0,000,000.00.500 Aaa AA,547 06/26/208 334G3SB7 932 Federal Home Loan Mtg Corp 06/27/203 0,000,000.00 0,002,200.00 0,00,587.7 0.375 Aaa AA 27 04/28/204 337EACB3 935 Federal Home Loan Mtg Corp 06/28/203 0,000,000.00 0,04,800.00 0,04,270.92 2.500 Aaa AA 22 04/23/204 334G2UA8 949 Federal Home Loan Mtg Corp 2/05/203 0,000,000.00 0,029,500.00 0,033,50.73.000 Aaa AA 4 08/20/204 337EACU 952 Federal Home Loan Mtg Corp 0/03/204 0,000,000.00 0,027,600.00 0,028,78.09.000 Aaa AA 20 07/30/204 334A4UU6 953 Federal Home Loan Mtg Corp 0/03/204 0,000,000.00 0,40,900.00 0,40,560.87 5.000 Aaa AA 05 07/5/204 Maturity Portfolio INVT AP Run : 04/03/204-08:44 PM (PRF_PM2) 7.3.0
Exhibit B Portfolio Management Portfolio Details - Investments March 3, 204 Page 3 CUSIP Investment # Fed Agcy Coupon Sec - GC 5360(f) Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Moody's Days to S&P Maturity 336G0B26 874 Federal National Mtg Assn 09/27/202 0,000,000.00 9,907,400.00 0,000,000.00.000 Aaa AA,275 09/27/207 335G0NH2 876 Federal National Mtg Assn 09/3/202 0,000,000.00 9,907,000.00 9,995,880.90 0.950 Aaa AA,240 08/23/207 336G04Q 884 Federal National Mtg Assn /20/202 0,000,000.00 0,059,300.00 0,44,499.06.500 Aaa AA,329 /20/207 336G06Z9 885 Federal National Mtg Assn 2/3/202 0,000,000.00 9,937,600.00 0,000,000.00 0.650 Aaa AA 987 2/3/206 336G4N6 890 Federal National Mtg Assn 0/02/203 0,000,000.00 9,866,700.00 9,994,583.85 0.750 Aaa AA,84 06/28/207 335G0PP2 903 Federal National Mtg Assn 0/8/203 0,000,000.00 9,935,300.00 0,024,504.76.000 Aaa AA,268 09/20/207 335G0UH4 906 Federal National Mtg Assn 02/22/203 0,000,000.00 9,893,300.00 0,000,000.00.200 Aaa AA,423 02/22/208 335G0XA6 924 Federal National Mtg Assn 05/2/203 0,000,000.00 9,828,300.00 0,000,000.00.030 Aaa AA,5 05/2/208 335G0XK4 927 Federal National Mtg Assn 05/30/203 0,000,000.00 9,820,000.00 0,000,000.00.050 Aaa AA,55 05/25/208 335G0WJ8 929 Federal National Mtg Assn 05/28/203 0,000,000.00 9,729,400.00 9,93,607.92 0.875 Aaa AA,5 05/2/208 335G0PQ0 948 Federal National Mtg Assn 2/04/203 0,000,000.00 9,857,700.00 9,935,465.87 0.875 Aaa AA,304 0/26/207 335G0BY8 954 Federal National Mtg Assn 0/06/204 0,000,000.00 0,033,00.00 0,029,94.68 0.875 Aaa AA 49 08/28/204 335G0ZA4 960 Federal National Mtg Assn 03/03/204 0,000,000.00 0,03,600.00 0,099,889.05.875 Aaa AA,785 02/9/209 335G0ZA4 964 Federal National Mtg Assn 03/2/204 0,000,000.00 0,03,600.00 0,025,455.20.875 Aaa AA,785 02/9/209 Federal Agency Disc.-GC 5360(f) Subtotal and Average 578,534,966.05 59,700,000.00 58,082,885.00 52,088,542.48 80 33397XH9 945 Freddie Mac Discount Security /26/203 0,000,000.00 9,999,500.00 9,998,33.33 Aaa AA 56 05/27/204 US Treasury Note-GC 5360(b) Subtotal and Average 9,996,650.00 0,000,000.00 9,999,500.00 9,998,33.33 56 92828VR8 940 U.S. Treasury 08/29/203 0,000,000.00 0,003,00.00 9,963,69.37 0.625 Aaa AA 867 08/5/206 92828RB8 956 U.S. Treasury 0/4/204 0,000,000.00 0,06,000.00 0,04,964.79 0.500 Aaa AA 36 08/5/204 92828TL4 958 U.S. Treasury 0/30/204 20,000,000.00 20,04,000.00 20,02,402.63 0.250 Aaa AA 52 08/3/204 92828TQ3 959 U.S. Treasury 0/30/204 20,000,000.00 20,06,400.00 20,04,628.34 0.250 Aaa AA 82 09/30/204 US Treasury Bill-GC 5306(b) Subtotal and Average 45,666,489.44 60,000,000.00 60,049,500.00 60,005,687.3 278 92796DV8 963 US Treasury - Bills 03/3/204 0,000,000.00 9,997,400.00 9,996,604.6 0.075 Aaa AA 63 09//204 Federal Agency Step Up-GC 5360(f) Subtotal and Average 2,0,354.63 0,000,000.00 9,997,400.00 9,996,604.6 63 334G4NB0 946 Federal Home Loan Mtg Corp 2/9/203 0,000,000.00 9,995,700.00 0,000,000.00 0.625 Aaa AA,358 2/9/207 336G07K 886 Federal National Mtg Assn 2/06/202 0,000,000.00 9,896,900.00 9,996,39.44 0.700 Aaa AA,345 2/06/207 Subtotal and Average 23,28,48.5 20,000,000.00 9,892,600.00 9,996,39.44,352 Maturity CUSIP Investment # Issuer Average Balance Purchase Par Value Market Value Book Value Stated Rate Moody's S&P Days to Maturity Total and Average,024,542,252.23,0,894,50.6,00,766,674.06,03,345,699.36 485
Exhibit C Historical Yields vs. Benchmarks 0.60 0.50 0.40-3 Yr Treasury and Agency 0.30 LAIF 0.20 Yr T-Bill 0.0 S&P Rated Govt. Pool Index 0.00 Q Q2 Q3 Q4 Q Q2 Q3 Q4 FY 2/3 FY 3/4 FY 2/3 FY 3/4 Quarterly Yield Q Q2 Q3 Q4 Q Q2 Q3 Q4 0.49 0.49 0.49 0.49 0.49 0.50 0.47-3 Yr Treasury and Agency 0.3 0.38 0.43 LAIF 0.36 0.33 0.29 0.24 0.27 0.26 0.24 Yr T-Bill 0.6 0.5 0.6 0.4 S&P Rated Govt. Pool Index 0.0 0.0 0.07 0.06 0.05 0.05 0.05 The S&P Index yields are obtained from Bloomberg The -3 Yr Treas and Agy benchmark has replaced the Yr T-Bill, as it more accurately reflects the current composition and weighted average maturity of the County's portfolio. The -3 Yr Treas and Agy yields are obtained from the B of A Merrill Lynch Global Bond Indices/Bloomberg
Exhibit D Aging Report By Maturity As of April, 204 - Prior Day Report Maturity Par Value Current Book Value Current Market Value Aging Interval: 0 days ( 04/0/204 04/0/204 ) 9 Maturities 352,94,50.6 34.8% 352,94,50.6 352,94,50.6 Aging Interval: - 90 days ( 04/02/204 06/30/204 ) 2 Maturities 9,700,000.00.83% 9,735,228.84 9,744,023.90 Aging Interval: 9-365 days ( 07/0/204 04/0/205 ) 5 Maturities 65,000,000.00 6.3% 65,284,548.98 65,320,300.00 Aging Interval: 366-730 days ( 04/02/205 03/3/206 ) 3 Maturities 30,000,000.00 2.96% 30,00,589.05 30,089,000.00 Aging Interval: 73-095 days ( 04/0/206 03/3/207 ) 9 Maturities 85,000,000.00 8.40% 85,737,866.29 85,680,000.00 Aging Interval: 096-460 days ( 04/0/207 03/3/208 ) 6 Maturities 50,000,000.00 4.82% 50,296,382.3 49,60,400.00 Aging Interval: 46 days and after ( 04/0/208 ) Maturities 0,000,000.00 0.87% 0,095,933.73 08,578,800.00 Total for 75 Investments 00.00%,03,345,699.36,00,766,674.06 Investments within the Aging Period $400,000,000 $350,000,000 $352,94,50 $300,000,000 $250,000,000 $200,000,000 $65,000,000 $50,000,000 Portfolio INVT $9,700,000 AP Run : 04/03/204-5:39 AG (PRF_AG) 7.2.0 Report Ver. 7.3.5 $00,000,000 $85,000,000 $50,000,000 $0,000,000 $50,000,000 $30,000,000 $0 0 days - 90 days 9-365 days 366-730 days 73-095 days 096-460 days 46 days and after
Exhibit E Overnight (Liquid) Asset Distribution 9.3% LAIF 4.30% Treasuries Mortgages BlackRock MMF 2.20% 0.80% 3.80% 7.50% CD's Financial Co.Commercial Paper Govt Agy Repo 8.23% Agencies CDs/BNs.50% 35.20% Asset Backed Commercial Paper Treasury Debt 4.80% 6.08% 0.24% 57.40% Time Deposits Commercial Paper Loans 5.90% 0.60% 2.70% 9.80% Other Repo Time Deposit Other Notes Variable Rate DN Other CP 6.00% CAMP 2.00% 8.20% 20.90% Treasuries Agencies Commercial Paper Neg CDs 0.50% 0.40% 2.0%.0% 7.0% Fidelity 0.0% 9.70% 7.50% Treasury Debt Govt. Agy Debt Financial Company CP Other CP CD's Other Notes CalTRUST Short Term.50% 0.20% 3.90% 4.00% 3.50% US Govt Agency Corporate MBS/ABS Muni 28.80% 24.0% Repurchase agreements Banker' Acceptances 38.52% 0.60% 2.40% Repurchase Agreements Varr. Rate Demand Notes Other Muni Debt Other Instruments 9.0% 29.80% Commercial Paper CD Money Market * Percent total may not equal 00 due to rounding * Net Other Assets may include cash and receiveables and payables related to open security or capital stock trades LAIF CAMP Fidelity MMF BlackRock CalTRUST Short-Term Credit Rating NR AAAm AAAm NR Amf/S Fund Assets $55.6 Billion $.82 Billion $38.4 Billion $7.44 Billion $668 Million WAM 202 days 54 days 56 days 52 days 526 days Percent of Portfolio Invested in Fund 4.94% 8.80% 0.26% 9.94% 9.88% Fund Quarterly Return 0.24% 0.06% 0.04% 0.06% 0.39%