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02-10-2022 IOC Agenda Packet
City of San Luis Obispo, Agenda, Planning Commission Agenda INVESTMENT OVERSIGHT COMMITTEE Thursday, February 10, 2022 Pursuant to Executive Orders N-60-20 and N-08-21 executed by the Governor of California, and subsequently Assembly Bill 361, enacted in response to the state of emergency relating to novel coronavirus disease 2019 (COVID-19) and enabling teleconferencing accommodations by suspending or waiving specified provisions in the Ralph M. Brown Act (Government Code § 54950 et seq.), commissioners and members of the public may participate in this regular meeting by teleconference. Additionally, members of the Investment Oversight Committee are allowed to attend the meeting via teleconference and to participate in the meeting to the same extent as if they were present. Using the most rapid means of communication available at this time, members of the public are encouraged to participate in Committee meetings in the following ways: 1. Remote Viewing - Members of the public who wish to watch the meeting can: • View the Webinar (recommended for the best viewing quality): ➢ URL: https://slocity-org.zoom.us/j/84749283762?pwd=MFRRWFUzUXZwSEZzVFdtS1dnbjV3Zz09 ➢ Telephone Attendee: 1-669-900-6833 ➢ Webinar ID: 847 4928 3762; Passcode: 913812 Note: The City utilizes Zoom Webinar for remote meetings. All attendees will enter the meeting muted. Prior to joining the meeting, consider reviewing the following tutorials: Joining a Zoom Meeting, Zoom Audio & Video Basics, Basic In-Meeting Navigation 2. Public Comment - The Investment Oversight Committee will still be accepting public comment. Public comment can be submitted in the following ways: • Mail or Email Public Comment ➢ Received by 1:00 PM on the day of meeting - Can be submitted via email to advisorybodies@slocity.org or U.S. Mail to City Clerk at 990 Palm St. San Luis Obispo, CA 93401 ➢ Emails sent after 1:00 PM and up until public comment is opened on the item – Can be submitted via email to advisorybodies@slocity.org and will be archived/distributed to members of the Advisory Body the day after the meeting. Emails will not be read aloud at the meeting. • Verbal Public Comment ➢ Received by 1:00 PM on the day of the meeting - Call (805) 781-7164; state and spell your name, the agenda item number you are calling about and leave your comment. The verbal comments must be limited to 3 minutes. All voicemails will be forwarded to the IOC and saved as Agenda Correspondence. Voicemails will not be played during the meeting. ➢ During the meeting – Join the webinar (instructions above). Once public comment for the item you would like to speak on is called, please raise your virtual hand, your name wil l be called, and your microphone will be unmuted. If you have questions, contact the office of the City Clerk at cityclerk@slocity.org or (805) 781-7100 All comments submitted will be placed into the administrative record of the meeting. Investment Oversight Committee Agenda for Thursday, February 10, 2022 Page 2 4:00 PM REGULAR MEETING TELECONFERENCE Broadcasted via webinar CALL TO ORDER: Chair Brigitte Elke ROLL CALL : Committee Members Natalie Harnett, Derek Johnson, Debbie Malicoat, Erica A. Stewart, Anni Wang, and Chair Brigitte Elke OTHERS PRESENT: David Reeser, Managing Director for PFM Asset Management LLC Monique S. Spkye, Managing Director for PFM Asset Management LLC, and Serenity Whorley, Recording Secretary PUBLIC COMMENT: At this time, people may address the Committee about items not on the agenda. Persons wishing to speak should come forward and state their name and address. Comments are limited to three minutes per person. Items raised at this time are generally referred to staff and, if action by the Committee is necessary, may be scheduled for a future meeting. CONSIDERATION OF MINUTES 1. Minutes of the Investment Oversight Committee of November 18, 2021 BUSINESS ITEMS 2. Presentation of the Quarterly Investment Report on Portfolio Performance The City’s investment advisor will present the quarterly investment report per December 31, 2021, provide investment results, and portfolio adherence to the City’s investment policy. Recommendation: Approve report and confirm investment policy compliance. COMMUNICATION AND DISCUSSION The committee will share relevant information and review topics to discuss at the next regularly scheduled meeting. Investment Oversight Committee Agenda for Thursday, February 10, 2022 Page 3 ADJOURNMENT The next Regular Meeting of the Investment Oversight Committee i s scheduled for Thursday, May 12 , 2022, at 3:00 p.m. The City of San Luis Obispo wishes to make all of its public meetings accessible to the public. Upon request, this agenda will be made available in appropriate alternative formats to persons with disabilities. Any person with a disability who requires a modification or accommodation in order to participate in a meeting should direct such request to the Finance Department at (805) 781-7125 at least 48 hours before the meeting, if possible. Telecommunications Device for the Deaf (805) 781-7107. Meeting audio recordings can be found at the following web address: http://opengov.slocity.org/WebLink/1/fol/61037/Row1.aspx Minutes - Draft Investment Oversight Committee Thursday, November 18, 2021 Regular Meeting of the Investment Oversight Committee CALL TO ORDER A Regular meeting of the Investment Oversight Committee was called to order on Thursday, November 18, 2021, at 1:36 p.m. Chair Brigitte Elke with all members present via teleconference. ROLL CALL Present: Committee Members Natalie Harnett, Derek Johnson, Debbie Malicoat, Erica A. Stewart, Anni Wang, and Chair Brigitte Elke Absent: None. Others Present: David Reeser, Managing Director for PFM Asset Management LLC Monique S. Spkye, Managing Director for PFM Asset Management LLC, and Teresa Purrington, Recording Secretary PUBLIC COMMENT ITEMS NOT ON THE AGENDA None --End of Public Comment-- APPROVAL OF MINUTES 1. Review of Minutes of the Investment Oversight Committee Meeting of September 9, 2021. ACTION: UPON MOTION BY COMMITTEE MEMBER HARNETT, SECONDED BY COMMITTEE MEMBER MALICOAT, CARRIED 6-0, to approve the September 9, 2021, minutes, as presented. BUSINESS ITEMS 2. Presentation of the Quarterly Investment Report on Portfolio Performance Monique S. Spkye, and David Reeser, Managing Directors for PFM Asset Management LLC presented the quarterly investment report per September 30, 2021, provide investment results, current ESG considerations, and portfolio adherence to the City’s investment policy. Public Comment None City of San Luis Obispo, Title, Subtitle Minutes - Investment Oversight Committee Minutes of Thursday, November , 18, 2021 Page 2 --End of Public Comment-- ACTION: UPON MOTION BY COMMITTEE MEMBER MALICOAT, SECONDED BY COMMITTEE MEMBER WANG, CARRIED 6 – 0, to accept the quarterly investment report and finding it in compliance with the City’s investment policy. COMMENT AND DISCUSSION Chair Elke provided the Committee an update on the RFP issued for Investment Advisor contract services. The evaluation and interview process had been concluded with a recommendation to contract with PFM Asset Management, LLC. ADJOURNMENT The meeting was adjourned at 2:32 pm. The next Regular Meeting of the Investment Oversight Committee is scheduled for Thursday, February 10 , 2022, at 1:30 p.m., in the Council Hearing Room, 990 Palm Street, San Luis Obispo, California. APPROVED BY INVESTMENT OVERSIGHT COMMITTEE: XX/XX/XXXX Quarterly Investment Report AS OF December 31, 2021 February 10, 2022 This report presents the City’s investment portfolio for the quarter ending December 31,2021.It has been prepared to comply with regulations contained in California Government Code Section 53646.The report includes all investments managed by the City on its own behalf as well as for other third-party agencies on a fiduciary basis such as the Whale Rock Commission. It also includes all City-related investments held by trustees for bond debt service obligations.As required, the report provides information on the investment type, issuer,maturity date,cost,and current market value for each security. Market Themes Consumer Prices Reach Four-Decade High Source: Bloomberg, as of November 2021. 6.8% -2% -1% 1% 3% 4% 6% 7% Dec-19 Mar-20 Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Top-Line Contributions and CPI YoY Services (Ex Food & Energy)Goods (Ex Food & Energy)Food Energy Headline YoY% Market Considerations •Although the economy has largely rebounded amid strong policy support from both the Federal Reserve and Congress, headwinds persist. Widespread labor shortage, supply chain bottlenecks, and the near-40-year-high inflation remain the unfortunate hallmarks of the recovery. •The U.S. Treasury yield curve is experiencing ‘bear-flattening’. On one hand, short-term yields shift higher amid rate hike expectations, while on the other hand, longer-term yields adjust to evolving inflation and economic growth uncertainties. Source: Bureau of Labor Statistics as of Dec 31, 2021. Source: Bloomberg as of December 31, 2021. 0.03% 0.73% 1.26% 1.51% 1.90% 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3 M 1 Y 2 Y 3 Y 4 Y 5 Y 10 Y 30 YMaturity U.S. Treasury Yield Curve December 31, 2021 September 30, 2021 2.3%2.9%2.3% -3.4% 6.0%5.2% 2.2%2.2% -4.0% -2.0% 0.0% 2.0% 4.0% 6.0% 8.0%20172018201920202021 (Estimate)2022 (Forecast)2023 (Forecast)2024 (Forecast)Real U.S. GDP Market Considerations •Broad portfolio diversification was a modest detractor to portfolio performance in Q4, as the spreads in most investment grade fixed income sectors increased off recent rock bottoms. As a result, most investment grade spread sectors produced negative excess returns for Q4. •Investment grade corporates slightly underperformed in Q4 after consistently being one of the top performing sectors in prior quarters, as incremental spreads have widened due to volatility in swap spreads. Source: Bloomberg as of December 31, 2021. 1-5 Year Indices -0.68%-0.70% -0.38% -0.69%-0.69% -1.0% -0.5% 0.0% 0.5% 1.0%U.S. TreasuryAgencyABSCorp A-AAACorp BBBFourth Quarter 2021 -1.10% -0.86% -0.18% -0.64% -0.02% -1.5% -1.0% -0.5% 0.0% 0.5%U.S. TreasuryAgencyABSCorp A-AAACorp BBBFull Year 2021 What we are watching… •Fourth quarter of 2021 consisted of rapidly rising inflation, improved labor market conditions, and depressed consumer confidence. COVID -19 caseloads reach record highs as the Omicron variant emerges as the dominant strain. •The U.S. Treasury yield curve flattened during the quarter, as short-to intermediate -term maturities increased sharply between 30 and 40 basis points, led higher by expectations for faster Fed rate hikes. Source: Federal Reserve, economic projections as of March 2021 and June 2021. Source: Bloomberg as of June 30, 2021. 2.1%1.9%2.3% 1.4% 4.7%4.4% 2.4% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0%20172018201920202021 (Estimate)2022 (Forecast)2023 (Forecast)Annual Change in CPI 3.2%2.9%2.6% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% Dec-18 Jun-19 Dec-19 Jun-20 Dec-20 Jun-21 Dec-21 Breakeven Inflation Rates 2 Yr.5 Yr.10 Yr. Current Cash & Investment Summary The following is a summary of the City’s cash and investments based on market value, as of June 30, 2021, compared to the prior quarter. Investment Entity December 31, 2021 September 30, 2021 Percent of Total** City Held Cash & Investments $39,471,110 $42,091,898 24% LAIF Held Investments $24,010,984 $23,996,372 14% PFM Managed Investments*$102,900224 $103,554,732 62% Trustee Held Investments $72,827 $72,783 <1% TOTAL $169,715,785 $169,715,785 100% *Figures shown exclude accrued interest. **Details may not add up to total due to rounding. Current Cash & Investment Summary There are several factors which result in changes in cash and investment balances from month-to-month and quarter-to- quarter, dependent on the receipt of revenues or a large disbursement. •Some major City revenues are received on a periodic rather than a monthly basis. Property Tax is received in December, January, April, and May of each year. Transient Occupancy Tax is received monthly but varies considerably due to seasonality. •Payments for bonded indebtedness or large capital projects can reduce the portfolio substantially in the quarter in which they occur. •The City pays its CalPERS obligation in a lump sum at the beginning of the fiscal year to achieve interest savings. Factors Securities Securities in the City’s portfolio are priced by Refinitiv, an independent pricing service at the end of every month. In some cases, the City may have investments with a current market value that is greater or less than the recorded value. These changes in market value are due to fluctuations in the marketplace having no effect on yield, as the City does not intend to sell securities prior to maturity. Nevertheless, these market changes can impact the total value of the portfolio. Security Type Market Value % of Portfolio % Change vs. 9/30/21 Permitted by Policy U.S. Treasury 53,934,825.88 52.4%0.7%100% Federal Agency 25,813,881.46 25.1%0.0%100% Municipal Obligations 2,182,679.05 2.1%0.0%30% Negotiable CDs 5,028,480.74 4.9%0.0%30% Corporate Notes 12,654,340.12 12.3%0.0%30% Asset-Backed Securities 2,909,109.96 2.8%-0.6%15% Securities Sub-Total 102,523,317.21 Money Market Fund $376,907.02 0.4%0.1%20% Accrued Interest 333,677.49 Securities Total 103,233,901.72 100.0% Total Return Total return is calculated based on interest and both realized and unrealized changes in market value; this is expressed as a rate of return over a specified period of time based on cost and is backward-looking. •Focused on long-term performance and growth •Affected by both yield and market value fluctuations •Reflects “true value” of the portfolio •Recommended approach by the Government Finance Officers Association PFM Managed 12/31/2021 09/30/2021 Average Maturity (Years)2.19 2.27 Effective Duration1 2.04 2.11 Average Market Yield 0.84%0.49% Total Rate of Return 3 Months 1 Year 3 Years Since Inception City of SLO -0.59%-0.76%2.41%1.70% 0–5 Treasury Index -0.55%-0.85%2.17%1.51% Variance -0.02%-0.09%+0.24%+0.19% 1Effective duration is the approximate percentage change in price for each 1% change in interest rates. Investment Objectives The investment objectives of the City of San Luis Obispo are first, to provide safety of principal to ensure the preservation of capital in the overall portfolio; second, to provide sufficient liquidity to meet all operating requirements; and third, to earn a commensurate rate of return consistent with the constraints imposed by the safety and liquidity objectives. The City follows the practice of pooling cash and investments for all funds under its direct control. Funds held by outside fiscal agents under provisions of bond indentures are maintained separately. Interest earned on pooled cash and investments is allocated quarterly to the various Quarterly Investment Report funds based on the respective fund’s average quarterly cash balance. Interest earned from cash and investments with fiscal agents is credited directly to the related accounts. It is common for governments to pool the cash and investments of various funds to improve investment performance. By pooling funds, the City can benefit from economies of scale, diversification, liquidity, and ease of administration. The City uses the services of an investment advisor, PFM Asset Management, to manage a portion of the City’s portfolio. The City’s strategy is to retain approximately 25% of the portfolio to manage its day- to-day cash flow needs, while PFM’s focus is on longer-term investment management. In addition, the City has retained direct control of several investments that had been acquired before the City began to use investment advisors. All investments are held by the City in a safekeeping account with Bank of New York Mellon, except for investments held by trustees related to bond financings, which are held by either US Bank or Bank of New York Mellon. Distribution List City Council Erica A. Stewart Mayor Andy Pease Council Member Michelle Shoresman Council Member Carlyn Christianson Council Member Jan Marx Council Member Investment Oversight Committee Erica A. Stewart Mayor Anni Wang Public Member Derek Johnson City Manager Brigitte Elke Director of Finance Debbie Malicoat Accounting Manager/Controller Natalie Harnett Principal Financial Analyst—Budget Independent Auditor Badawi & Associates PFM Asset Management LLC Monique Spyke Managing Director Environmental, Social, and Governance (ESG) Investment ObjectivesESG investing is the process of incorporating the analysis of non-financial environmental, social, and governance factors into investment decisions alongside traditional financial criteria. As set forth in the City’s Investment Management Plan dated August 18, 2020, it is City’s objective to integrate environmental, social, and governance (“ESG”) factors into investment decisions for its investment portfolio to the extent practical and possible. In order to achieve this objective, the City will apply the ESG Investment Criteria to the following Investments: Asset-Backed Securities, Bankers’ Acceptances, Commercial Paper, Corporate, Medium-Term & Bank Notes, and Negotiable Bank Deposit Obligations.The ESG investment criteria is based on ESG Risk Ratings, industry and subindustry definitions, and subindustry rankings as provided by Sustainalytics. ESG Overview 1. Market Value includes accrued interest as of December 31, 2021.Source: Sustainalytics. Please see important disclosures at the end of this presentation.ESG Performance SummaryQ4 2021ESG Rated Portfolio30/38 issuers with a MV of $102.9 million1$46,601,117 (45%)Green shades are ESG-rated sectorsSector AllocationU.S. TreasuryMunicipalFederal Agency & MBSCorporate NotesCertificates of DepositABS 0 20406080100ManagementExposureESGRiskRating0%46%48%6%0%0%46%47%7%0%Sustainalytics’ characterizations of ESG performance.Source: Sustainalytics. Data as of December 31, 2021 and September 30, 2021, as indicated. Please see important disclosures at the end of this presentation ESG Quarter-Over-Quarter Summary ComparisonESGRisk Rating22.2Negligible Low Medium High Severe22.412/31/219/30/21ExposureManagementLowMediumHighWeak AverageStrong41.341.449.147.8•On average, the portfoliomaintained medium ESG riskas of December 30, 2021.•The Portfolio’s ESG riskexposure score remainedwithin the medium range. Alower ESG exposure scoregenerally decreases ESG risk.•The Portfolio’s ESGmanagement rating alsoremained within the averagerange quarter-over-quarter.Lower management scoresgenerally increase ESG risk. 30.3 21.923.827.414.423.8 18.9 17.1 14.3 16.3010203040ESG Risk Rating by IndustryPortfolio holdings and Sustainalytics data as of December 31, 2021. “ESG Risk Rating by Industry” represents the market value-weighted average ESG risk rating for each industry, as classified by Sustainalytics. “Industry Distribution” charts show the total number of issuers per industry and the allocation as percentage of portfolio market value.Industry DiversificationAverage ESG Risk Rating = 22.4Universe Average ESG Risk Rating by Industry4103112 3131Industry Distribution(# of Issuers)6.7%63.1%5.9%6.2%1.2%3.1%6.1%1.3%4.3%2.3%(Allocation % of Market Value ) Source: Sustainalytics and the Investment Policy Statement as of December 31, 2021. Changes in approved list shown reflect issuers eligible for purchase in the portfolio based on ESG criteria and IPS limitations but may not be held by the client. Top Changes in ESG Risk Ratings in Q4Largest Decreases in ESG Risk RatingHyundai Motor CompanySociete Generale SASumitomo Mitsui Financial Group Inc↓5.3↓2.8↓2.130.722.425.7Largest Increases in ESG Risk RatingJPMorgan Chase & Co.Walmart Inc.Honda Motor Co Ltd29.327.429.3↑1.3↑0.7↑0.6ExposureManagement↓0.8↑9.8ExposureManagement↓1.5↑4.4ExposureManagement0.0↑4.6ExposureManagement↑0.4↓2.4ExposureManagement↑0.8↓0.2ExposureManagement↓0.1↓1.4 Holdings as of December 31, 2021 –Sorted By ESG Risk RatingSource: Sustainalytics. Holdings as of December 31, 2021. Quarter-over-quarter (“QoQ”) change in ESG risk rating reflects the overall change in risk rating for each issuer, as defined by Sustainalytics, from December 31, 2021 to September 30, 2021. Issuers with “-” under ESG contributions means data not available.Issuer % Weight SubindustrySubindustry PercentileESG Risk Rating12/31/21QoQ Change in ESG RatingContributionsESGAdobe Systems Inc 0.6%Enterprise and Infrastructure Software2 10.8 - 7% 49% 44%The Home Depot Inc 0.8%Home Improvement Retail9 11.5 - 29% 39% 32%CarMax Inc. 0.9% Automotive Retail 10 12.0(0.1)- 65% 35%Walt Disney Co 0.5%Movies and Entertainment12 14.4(0.5)- 45% 55%International Business Machines Corp0.7% IT Consulting 6 14.8 - 3% 45% 52%DNB ASA 0.6% Diversified Banks 4 15.6(0.4)5% 45% 50%Apple Inc 1.0%Technology Hardware11 16.3(0.7)8% 34% 58%Intel Corp0.6%Semiconductor Design and Manufacturing4 17.1+ 0.231%29% 40%Mastercard Incorporated0.6% Data Processing 16 17.2 - - 45% 55%Federal National Mortgage Association14.5%Thrifts and Mortgages13 19.9 - - 62% 38%Nordea Bank AB 1.1% Diversified Banks 13 20.6(0.9)2% 44% 54%Bristol-Myers Squibb Company0.3% Biotechnology 4 22.3(0.6)- 68% 32%SkandinaviskaEnskilda Banken AB1.2% Diversified Banks 18 22.4 - 4% 43% 54% Holdings as of December 31, 2021 –Sorted By ESG Risk RatingSource: Sustainalytics. Holdings as of December 31, 2021. Quarter-over-quarter (“QoQ”) change in ESG risk rating reflects the overall change in risk rating for each issuer, as defined by Sustainalytics, from December 31, 2021 to September 30, 2021. Issuers with “-” under ESG contributions means data not available.Issuer % Weight SubindustrySubindustry PercentileESG Risk Rating12/31/21QoQ Change in ESG RatingContributionsESGSociete Generale SA 0.8% Diversified Banks 19 22.4(2.8)6% 32% 62%Capital One Financial Corporation0.1% Consumer Finance 23 23.2 - - 58% 42%Federal Home Loan Bank System2.5% Consumer Finance 23 23.3(0.4)- 56% 44%Ally Financial Inc. 0.0% Consumer Finance 28 23.8+ 0.3-59% 41%Pfizer Inc1.1% Pharmaceuticals 4 24.1(0.4)6% 57% 37%Federal Home Loan Mortgage Corp7.3%Thrifts and Mortgages24 24.3(0.5)7% 56% 38%Federal Farm Credit Banks Consolidated Systemwide Bonds0.8% Consumer Finance 45 25.7 - - - -Sumitomo Mitsui Financial Group Inc0.6% Diversified Banks 29 25.7(2.1)5% 47% 48%Bank of America Corporation0.6% Diversified Banks 33 27.3+ 0.35%43% 52%Walmart Inc.2.8% Food Retail 51 27.4+ 0.715%60% 24%Credit Suisse Group AG0.6% Diversified Banks 36 27.9 - 4% 38% 58%Honda Motor Co Ltd 0.8% Automobiles 48 29.3+ 0.628%42% 30%JPMorgan Chase & Co.1.1% Diversified Banks 41 29.3+ 1.33%47% 50% Holdings as of December 31, 2021 –Sorted By ESG Risk RatingSource: Sustainalytics. Holdings as of December 31, 2021. Quarter-over-quarter (“QoQ”) change in ESG risk rating reflects the overall change in risk rating for each issuer, as defined by Sustainalytics, from December 31, 2021 to September 30, 2021. Issuers with “-” under ESG contributions means data not available.Issuer % Weight SubindustrySubindustry PercentileESG Risk Rating12/31/21QoQ Change in ESG RatingContributionsESGAmazon.com Inc 1.1%Online and Direct Marketing Retail89 30.0(0.9)23% 44% 33%Toyota Motor Corporation1.3% Automobiles 56 30.4 - 22% 44% 34%Hyundai Motor Company0.1% Automobiles 59 30.7(5.3)28% 40% 32%Nissan Motor Co Ltd 0.3% Automobiles 73 32.8(0.1)29% 43% 28% Socially Responsible Investment Policy In addition to the ESG criteria, the City’s Socially Responsible Investment (SRI) Policy restricts from the portfolio issuers who generate revenue from casinos, gambling, racetracks, brewery, wine/spirits, tobacco, electronic cigarette, or tobacco-related products, or who support the direct production or drilling of fossil fuels. The tables to the right show the Bloomberg Industry Classifications (“BICS”) for all the portfolio’s holdings. Issuer Sector (BICS) Honda Auto Receivables Automobiles Manufacturing Toyota Motor Corp Automobiles Manufacturing Hyundai Auto Receivables Automobiles Manufacturing Nissan Auto Receivables Automobiles Manufacturing Carmax Auto Owner Trust Automobiles Manufacturing Capital One Prime Auto Rec Trust Automobiles Manufacturing Ally Auto Receivables Trust Automobiles Manufacturing Societe Generale Banks Skandinaviska Enskilda Banken Ab Banks Sumitomo Mitsui Financial Group Inc Banks Credit Suisse Group Banks Nordea Bank Ab Banks Apple Inc Communications Equipment Mastercard Inc Consumer Finance JPMorgan Chase & Co Diversified Banks Bank Of America Co Diversified Banks San Diego Ca Cmnty Clg Dist Education University Of California Education LA Community College District CA Education Issuer Sector (BICS) The Walt Disney Corporation Entertainment Content Dnb Asa Financial Services CA Earthquake Authority Financing & Development California St General Government Maryland St General Government FHLB Government Agencies FNMA Government Agencies FFCB Government Agencies FHLMC Government Agencies Wal-Mart Stores Inc Mass Merchants Pfizer Inc Pharmaceuticals Bristol-Myers Squibb Co Pharmaceuticals Home Depot Inc Retail -Consumer Discretionary Amazon Inc Retail -Consumer Discretionary Intel Corporation Semiconductors IBM Corp Software & Services Adobe Inc Software & Services United States Treasury Sovereigns NJ Turnpike Authority Transportation Source: Bloomberg. BICs is an industry classification system developed and utilized by Bloomberg that classifies securities based on business, economic function, and other characteristics. Appendix - Additional ESG Information -ESG Themes Information 0 5 10 15 20 25 30 35 40Federal Agency & MBSCertificates of DepositCorporate NotesABSESG Risk RatingSource: Sustainalytics. Data as of December 31, 2021. Bars represent the range of held issuers’ ESG risk rating that fall under each sector, and lines indicate the sectors market value-weighted average ESG risk rating. Please see important disclosures at the end of this presentation. ESG Risk Rating by SectorMaximum Medium ESG Risk ScoreMaximum Permitted ESG Risk Score (Top Subindustry Performer)22.524.622.320.9 ESG Themes GlossaryESG ThemeTheme DescriptionKey IndicatorsEnvironmentCarbon Output & Energy UseRefers to a company’s management of risks related to its energy efficiency and greenhouse gas emissions in its operation as well as its products and services in the production phase and during the product use phaseCarbon intensityRenewable energy useEnv. Mgt. System certificationGHG reporting / risk managementHazardous productsSustainable products & servicesWaste & PollutionEvaluates the management of emissions and releases from a company’s own operations to air, water, and land, excluding greenhouse gas emissionsEmergency response programSolid waste managementEffluent managementRadioactive waste managementHazardous waste managementNon-GHG air emissions programsOil spill disclosure & performanceRecycled material useResource Use & BiodiversityAnalyzes how efficiently and effectively a company uses its raw material inputs and water in production. It also encompasses how a company manages the impact of its operations on land, ecosystems, and wildlifeBiodiversity programsDeforestation programs / policesSite closure & rehabilitationWater intensity & risk managementForest certificationsSupplier environmental programs / certificationsSustainable agriculture programsCommunity Impact (Environmental)Evaluates the community impact from an environmental risk perspective based on an assessment of Community Relations, Products & Services, Occupational Health and Safety, and Product GovernanceEnv Impact – Community RelationsEnv Impact – Products & ServicesEnv Impact – Occupational Health and SafetyEnv Impact – Product Governance ESG ThemeTheme Description Key IndicatorsSocialHuman Capital ManagementEvaluates the management of risks related to human rights, labor rights, equality, talent development, employee retention, and labor health and safetyDiscrimination policyDiversity programsGender pay equality / disclosuresEmployee developmentSupply chain management / standardsHuman rights policies & programsEmployee health & safetyProduct GovernanceFocuses on the management of risks related to product quality, safety, wellness, and nutrition, as well as customer data privacy & cybersecurityProduct & service safety programs /certificationsData privacy managementMedia & advertising ethics policyOrganic products / GMO policyProduct health statementCommunity Impact (Social)Assesses how companies engage with local communities and their management of access to essential products or services to disadvantaged communities or groupsEquitable pricing and availabilityAccess to health carePrice transparencyHuman rights / indigenous policyCommunity involvement programsNoise managementESG Financial Integration & Resilience*Analyzes financial stability and issues that pose systemic risks and potential external costs to society in the financial services industry. Also measures ESG activities by financial institutionsSystemic risk management / reportingTier 1 capitalLeverage ratioResponsible investment / asset managementUnderwriting standardsFinancial inclusionCredit & loan standardsGreen buildings investmentsESG Themes Glossary ESG Themes GlossaryESG ThemeTheme Description Key IndicatorsGovernanceCorporate GovernanceEvaluates a company’s rules, policies, and practices with a focus on how a company's board of directors manages and oversees the operations of a company. Also assesses the management of general professional ethics and lobbying activitiesBoard/management quality & integrityBoard structureOwnership & shareholder rightsRemunerationAudit & financial reportingStakeholder governanceBribery & corruption policies / programsMoney laundering policyWhistleblower programsBusiness ethics programsPolitical involvement policyLobbying and political expenses DisclosuresThis material is based on information obtained from sources generally believed to be reliable and available to the public, however PFM Asset Management LLC cannot guarantee its accuracy, completeness or suitability. This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation. All statements as to what will or may happen under certain circumstances are based on assumptions, some but not all of which are noted in the presentation. Assumptions may or may not be proven correct as actual events occur, and results may depend on events outside of your or our control. Changes in assumptions may have a material effect on results. Past performance does not necessarily reflect and is not a guaranty of future results. The information contained in this presentation is not an offer to purchase or sell any securities. There is no guarantee the investment objectives will be achieved as the investment portfolio will only include holdings consistent with the applicable Environmental, Social, and Governance (ESG) guidelines. As a result, the universe of investments available will be more limited. ESG criteria risk is the risk that because the investment portfolio ESG criteria excludes securities of certain issuers for nonfinancial reasons, the investment portfolio may forgo some market opportunities that would be available to investment portfolios that do not apply ESG criteria. PFM Asset Management LLC ("PFMAM") is an investment adviser registered with the U.S. Securities and Exchange Commission and a subsidiary of U.S. Bancorp Asset Management, Inc. ("USBAM"). USBAM is a subsidiary of U.S. Bank National Association ("U.S. Bank"). U.S. Bank is a separate entity and subsidiary of U.S. Bancorp. U.S. Bank is not responsible for and does not guarantee the products, services or performance of PFMAM. The information contained is not an offer to purchase or sell any securities. Additional applicable regulatory information is available upon request.For more information regarding PFMAM's services or entities, please visit www.pfmam.com. © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Holdings|Managed Account Detail of Securities HeldSecurity Type/DescriptionDated Date/Coupon/Maturity CUSIP ParS&PRatingMoody'sRatingSettleDateOriginalCostTradeDateYTMat CostAccruedInterestMarketValueU.S. TreasuryUS TREASURY NOTESDTD 01/31/2017 1.875% 01/31/2022912828V72 1,545,000.00 AA+ Aaa 7/6/2017 7/11/2017 1,543,370.51 1.90 12,122.79 1,546,931.25US TREASURY NOTESDTD 03/02/2015 1.750% 02/28/2022912828J43 365,000.00 AA+ Aaa 3/15/2017 3/17/2017 358,270.31 2.14 2,170.34 365,912.50US TREASURY NOTESDTD 03/31/2017 1.875% 03/31/2022912828W89 2,085,000.00 AA+ Aaa 9/4/2018 9/6/2018 2,023,508.79 2.75 9,988.24 2,093,796.20US TREASURY NOTESDTD 03/31/2017 1.875% 03/31/2022912828W89 1,860,000.00 AA+ Aaa 8/1/2018 8/3/2018 1,798,968.75 2.82 8,910.37 1,867,846.97US TREASURY NOTESDTD 03/31/2017 1.875% 03/31/2022912828W89715,000.00 AA+ Aaa 1/3/2018 1/4/2018 706,258.01 2.18 3,425.22 718,016.44US TREASURY NOTESDTD 07/31/2015 2.000% 07/31/2022912828XQ8 2,100,000.00 AA+ Aaa 8/30/2017 9/1/2017 2,126,003.91 1.74 17,576.09 2,121,656.25US TREASURY NOTESDTD 07/31/2017 1.875% 07/31/20229128282P4795,000.00 AA+ Aaa 11/1/2017 11/3/2017 790,093.36 2.01 6,237.94 802,453.13US TREASURY NOTESDTD 09/30/2015 1.750% 09/30/2022912828L57 1,240,000.00 AA+ Aaa 6/4/2018 6/6/2018 1,189,382.81 2.76 5,544.23 1,253,175.00US TREASURY NOTESDTD 09/30/2015 1.750% 09/30/2022912828L57 220,000.00 AA+ Aaa 10/3/2017 10/6/2017 218,126.56 1.93 983.65 222,337.50US TREASURY NOTESDTD 10/31/2020 0.125% 10/31/202291282CAR2 3,500,000.00 AA+ Aaa 1/6/2021 1/7/2021 3,498,906.25 0.14 749.31 3,493,984.20US TREASURY NOTESDTD 10/31/2017 2.000% 10/31/20229128283C2600,000.00 AA+ Aaa 5/2/2018 5/4/2018 579,984.38 2.80 2,055.25 608,062.50US TREASURY NOTESDTD 12/31/2020 0.125% 12/31/202291282CBD2 1,950,000.00 AA+ Aaa 11/1/2021 11/2/2021 1,947,486.33 0.246.73 1,943,906.25US TREASURY NOTESDTD 03/31/2016 1.500% 03/31/2023912828Q29200,000.00 AA+ Aaa 2/8/2019 2/12/2019 192,632.81 2.44 766.48 202,406.24US TREASURY NOTESDTD 08/01/2016 1.250% 07/31/2023912828S92180,000.00 AA+ Aaa 2/8/2019 2/12/2019 170,992.97 2.44 941.58 181,800.00US TREASURY NOTESDTD 11/15/2013 2.750% 11/15/2023912828WE6 1,530,000.00 AA+ Aaa 3/6/2019 3/8/2019 1,545,479.30 2.52 5,462.78 1,587,613.99 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Holdings|Security Type/DescriptionDated Date/Coupon/MaturityCUSIPParS&PRatingMoody'sRatingSettleDateOriginalCostTradeDateYTMat CostAccruedInterestMarketValueU.S. TreasuryUS TREASURY NOTESDTD 11/30/2016 2.125% 11/30/2023912828U57 1,735,000.00 AA+ Aaa 1/7/2019 1/9/2019 1,703,959.76 2.52 3,241.21 1,781,357.12US TREASURY NOTESDTD 12/15/2020 0.125% 12/15/202391282CBA8 1,200,000.00 AA+ Aaa 7/16/2021 7/20/2021 1,194,656.25 0.31 70.06 1,186,125.00US TREASURY NOTESDTD 12/15/2020 0.125% 12/15/202391282CBA8 2,860,000.00 AA+ Aaa 1/6/2021 1/7/2021 2,852,961.72 0.21 166.96 2,826,931.25US TREASURY NOTESDTD 12/31/2018 2.625% 12/31/20239128285U075,000.00 AA+ Aaa 1/30/2019 1/31/2019 75,222.66 2.565.44 77,789.06US TREASURY NOTESDTD 01/31/2019 2.500% 01/31/20249128285Z9 1,060,000.00 AA+ Aaa 2/3/2020 2/4/2020 1,106,292.19 1.37 11,089.67 1,097,928.07US TREASURY NOTESDTD 02/28/2019 2.375% 02/29/20249128286G0436,000.00 AA+ Aaa 8/11/2021 8/12/2021 458,464.22 0.35 3,518.41 450,851.25US TREASURY NOTESDTD 05/01/2017 2.000% 04/30/2024912828X70 1,040,000.00 AA+ Aaa 6/3/2019 6/5/2019 1,044,712.50 1.90 3,562.43 1,068,112.45US TREASURY NOTESDTD 06/30/2017 2.000% 06/30/2024912828XX3490,000.00 AA+ Aaa 7/1/2019 7/3/2019 495,053.13 1.78 27.07 503,551.54US TREASURY NOTESDTD 07/31/2017 2.125% 07/31/20249128282N9590,000.00 AA+ Aaa 8/14/2019 8/15/2019 606,939.45 1.52 5,246.67 608,714.09US TREASURY NOTESDTD 07/31/2017 2.125% 07/31/20249128282N9370,000.00 AA+ Aaa 8/1/2019 8/2/2019 375,174.22 1.83 3,290.29 381,735.96US TREASURY NOTESDTD 10/02/2017 2.125% 09/30/20249128282Y5195,000.00 AA+ Aaa 10/1/2019 10/1/2019 200,446.29 1.54 1,058.71 201,337.50US TREASURY NOTESDTD 10/31/2017 2.250% 10/31/20249128283D0345,000.00 AA+ Aaa 11/1/2019 11/5/2019 356,279.88 1.57 1,329.49 357,506.25US TREASURY NOTESDTD 12/31/2019 1.750% 12/31/2024912828YY0 3,300,000.00 AA+ Aaa 1/6/2021 1/7/2021 3,487,429.69 0.31 159.53 3,374,765.46US TREASURY NOTESDTD 04/30/2020 0.375% 04/30/2025912828ZL7765,000.00 AA+ Aaa 4/12/2021 4/13/2021 756,065.04 0.67 491.33 747,906.99US TREASURY NOTESDTD 05/31/2020 0.250% 05/31/2025912828ZT0340,000.00 AA+ Aaa 5/17/2021 5/17/2021 335,205.47 0.60 74.73 330,650.00US TREASURY NOTESDTD 08/31/2020 0.250% 08/31/202591282CAJ0 2,650,000.00 AA+ Aaa 8/2/2021 8/6/2021 2,620,394.53 0.53 2,251.04 2,566,773.57US TREASURY NOTESDTD 09/30/2020 0.250% 09/30/202591282CAM3 1,320,000.00 AA+ Aaa 9/7/2021 9/9/2021 1,297,828.13 0.67 843.13 1,277,925.00 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Holdings|Security Type/DescriptionDated Date/Coupon/MaturityCUSIPParS&PRatingMoody'sRatingSettleDateOriginalCostTradeDateYTMat CostAccruedInterestMarketValueU.S. TreasuryUS TREASURY NOTESDTD 10/31/2020 0.250% 10/31/202591282CAT8 1,400,000.00 AA+ Aaa 10/4/2021 10/6/2021 1,370,359.38 0.78 599.45 1,352,968.68US TREASURY NOTESDTD 11/30/2020 0.375% 11/30/202591282CAZ4 2,000,000.00 AA+ Aaa 11/1/2021 11/2/2021 1,944,531.25 1.07 659.34 1,939,375.00US TREASURY NOTESDTD 12/31/2020 0.375% 12/31/202591282CBC4 1,355,000.00 AA+ Aaa 5/6/2021 5/7/2021 1,332,875.39 0.73 14.04 1,313,079.69US TREASURY NOTESDTD 12/31/2020 0.375% 12/31/202591282CBC4 3,500,000.00 AA+ Aaa 1/6/2021 1/7/2021 3,489,472.66 0.44 36.26 3,391,718.75US TREASURY NOTESDTD 12/31/2020 0.375% 12/31/202591282CBC4460,000.00 AA+ Aaa 1/7/2021 1/8/2021 458,221.09 0.454.77 445,768.75US TREASURY NOTESDTD 12/31/2020 0.375% 12/31/202591282CBC4330,000.00 AA+ Aaa 4/5/2021 4/7/2021 322,175.39 0.893.42 319,790.62US TREASURY NOTESDTD 01/31/2021 0.375% 01/31/202691282CBH3275,000.00 AA+ Aaa 7/2/2021 7/7/2021 269,714.84 0.80 431.56 266,062.50US TREASURY NOTESDTD 01/31/2019 2.625% 01/31/20269128286A3 345,000.00 AA+ Aaa 2/16/2021 2/17/2021 380,510.74 0.52 3,789.84 364,783.61US TREASURY NOTESDTD 01/31/2021 0.375% 01/31/202691282CBH3860,000.00 AA+ Aaa 2/26/2021 2/26/2021 842,195.31 0.80 1,349.59 832,050.00US TREASURY NOTESDTD 01/31/2021 0.375% 01/31/202691282CBH3 1,025,000.00 AA+ Aaa 11/30/2021 11/30/2021 998,494.14 1.01 1,608.52 991,687.50US TREASURY NOTESDTD 02/28/2021 0.500% 02/28/202691282CBQ3 1,950,000.00 AA+ Aaa 3/12/2021 3/12/2021 1,917,398.44 0.84 3,312.85 1,894,242.09US TREASURY N/B NOTESDTD 03/31/2021 0.750% 03/31/202691282CBT7400,000.00 AA+ Aaa 9/7/2021 9/9/2021 399,953.13 0.75 766.48 392,375.00US TREASURY N/B NOTESDTD 05/31/2021 0.750% 05/31/202691282CCF6 1,460,000.00 AA+ Aaa 6/2/2021 6/4/2021 1,456,806.25 0.79 962.64 1,430,115.55US TREASURY N/B NOTESDTD 05/31/2021 0.750% 05/31/202691282CCF6 1,175,000.00 AA+ Aaa 6/1/2021 6/1/2021 1,171,282.23 0.81 774.72 1,150,949.1654,191,000.0054,010,540.42127,680.65 53,934,825.88Security Type Sub-Total1.15 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Holdings|Security Type/DescriptionDated Date/Coupon/Maturity CUSIP ParS&PRatingMoody'sRatingSettleDateOriginalCostTradeDateYTMat CostAccruedInterestMarketValueNegotiable CDCREDIT SUISSE NEW YORK CERTDEPOSDTD 08/07/2020 0.520% 02/01/202222549L6F7630,000.00 A-1 P-1 8/5/2020 8/7/2020 630,000.00 0.52 4,659.20 630,217.35SOCIETE GENERALE NY CERT DEPOSDTD 02/19/2020 1.800% 02/14/202283369XDL9800,000.00 A-1 P-1 2/14/2020 2/19/2020 800,000.00 1.80 5,480.00 801,056.00SUMITOMO MITSUI BANK NY CERTDEPOSDTD 07/14/2020 0.700% 07/08/202286565CKU2625,000.00 A-1 P-1 7/10/2020 7/14/2020 625,000.00 0.70 2,151.04 626,170.00SKANDINAV ENSKILDA BANK LT CDDTD 09/03/2019 1.860% 08/26/202283050PDR7 1,200,000.00 A-1 P-1 8/29/2019 9/3/2019 1,200,000.00 1.85 7,936.00 1,211,590.80NORDEA BANK ABP NEW YORK CERTDEPOSDTD 08/29/2019 1.850% 08/26/202265558TLL7 1,145,000.00 A-1+ P-1 8/27/2019 8/29/2019 1,145,000.00 1.84 7,531.56 1,155,986.28DNB BANK ASA/NY LT CDDTD 12/06/2019 2.040% 12/02/202223341VZT1595,000.00 A-1+ P-1 12/5/2019 12/6/2019 595,000.00 2.03 1,011.50 603,460.314,995,000.004,995,000.0028,769.30 5,028,480.74Security Type Sub-Total1.55MunicipalCA ST EARTHQUAKE AUTH TXBL REVBONDSDTD 11/24/2020 1.477% 07/01/202313017HAK2 165,000.00 NR NR 11/13/2020 11/24/2020 165,000.00 1.48 1,218.53 166,635.15SAN DIEGO CCD, CA TXBL GO BONDSDTD 10/16/2019 1.996% 08/01/2023797272QN4225,000.00 AAA Aaa 9/18/2019 10/16/2019 225,000.00 2.00 1,871.25 229,547.25CA ST TXBL GO BONDSDTD 10/24/2019 2.400% 10/01/202313063DRJ9 790,000.00 AA- Aa2 10/16/2019 10/24/2019 805,807.90 1.87 4,740.00 814,221.40MD ST TXBL GO BONDSDTD 08/05/2020 0.510% 08/01/2024574193TQ1210,000.00 AAA Aaa 7/23/2020 8/5/2020 209,941.20 0.52 446.25 208,418.70UNIV OF CAL TXBL REV BONDSDTD 07/16/2020 0.883% 05/15/202591412HGE7170,000.00 AA Aa2 7/10/2020 7/16/2020 170,000.00 0.88 191.81 168,255.80UNIV OF CAL TXBL REV BONDSDTD 07/16/2020 0.883% 05/15/202591412HGE775,000.00 AA Aa2 7/14/2020 7/16/2020 75,271.50 0.81 84.62 74,230.50LOS ANGELES CCD, CA TXBL GOBONDSDTD 11/10/2020 0.773% 08/01/202554438CYK2315,000.00 AA+ Aaa 10/30/2020 11/10/2020 315,000.00 0.77 1,014.56 309,522.15 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Holdings|Security Type/DescriptionDated Date/Coupon/Maturity CUSIP ParS&PRatingMoody'sRatingSettleDateOriginalCostTradeDateYTMat CostAccruedInterestMarketValueMunicipalNJ TURNPIKE AUTHORITY TXBL REVBONDSDTD 02/04/2021 1.047% 01/01/2026646140DP5215,000.00 A+ A2 1/22/2021 2/4/2021 215,000.00 1.05 1,125.53 211,848.102,165,000.002,181,020.6010,692.55 2,182,679.05Security Type Sub-Total1.38Federal AgencyFANNIE MAE NOTESDTD 01/09/2017 2.000% 01/05/20223135G0S38 2,235,000.00 AA+ Aaa 6/27/2017 6/29/2017 2,249,281.65 1.85 21,853.33 2,235,234.68FANNIE MAE NOTESDTD 01/11/2019 2.625% 01/11/20223135G0U92555,000.00 AA+ Aaa 1/9/2019 1/11/2019 554,600.40 2.65 6,879.69 555,309.69FEDERAL HOME LOAN BANKS NOTESDTD 02/21/2020 1.375% 02/17/20233130AJ7E3 1,075,000.00 AA+ Aaa 2/20/2020 2/21/2020 1,073,022.00 1.44 5,501.91 1,086,078.95FREDDIE MAC NOTESDTD 04/20/2020 0.375% 04/20/20233137EAEQ8 1,170,000.00 AA+ Aaa 4/17/2020 4/20/2020 1,167,075.00 0.46 865.31 1,167,897.51FANNIE MAE NOTESDTD 05/22/2020 0.250% 05/22/20233135G04Q3 1,245,000.00 AA+ Aaa 5/20/2020 5/22/2020 1,241,252.55 0.35 337.19 1,239,778.47FREDDIE MAC NOTESDTD 06/26/2020 0.250% 06/26/20233137EAES4 1,125,000.00 AA+ Aaa 6/24/2020 6/26/2020 1,121,715.00 0.35 39.06 1,119,466.13FANNIE MAE NOTESDTD 07/10/2020 0.250% 07/10/20233135G05G4 1,195,000.00 AA+ Aaa 7/8/2020 7/10/2020 1,192,430.75 0.32 1,419.06 1,188,428.70FREDDIE MAC NOTESDTD 08/21/2020 0.250% 08/24/20233137EAEV7745,000.00 AA+ Aaa 8/19/2020 8/21/2020 744,240.10 0.28 657.05 740,211.89FANNIE MAE NOTESDTD 09/14/2018 2.875% 09/12/20233135G0U43 1,570,000.00 AA+ Aaa 11/29/2018 11/30/2018 1,562,573.90 2.98 13,666.63 1,627,744.60FEDERAL FARM CREDIT BANK(CALLABLE)DTD 09/21/2020 0.250% 09/21/20233133EMAM4 800,000.00 AA+ Aaa 10/7/2020 10/9/2020 798,640.00 0.31 555.56 793,851.20FANNIE MAE NOTES (CALLABLE)DTD 11/16/2020 0.310% 11/16/20233135G06F5 2,100,000.00 AA+ Aaa 12/3/2020 12/3/2020 2,099,790.00 0.31 813.75 2,082,828.30FREDDIE MAC NOTESDTD 12/04/2020 0.250% 12/04/20233137EAFA2 685,000.00 AA+ Aaa 12/2/2020 12/4/2020 684,321.85 0.28 128.44 678,430.85FEDERAL HOME LOAN BANKS NOTESDTD 12/09/2013 3.375% 12/08/20233130A0F70560,000.00 AA+ Aaa 1/30/2019 1/31/2019 576,744.00 2.71 1,207.50 588,074.48 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Holdings|Security Type/DescriptionDated Date/Coupon/Maturity CUSIP ParS&PRatingMoody'sRatingSettleDateOriginalCostTradeDateYTMat CostAccruedInterestMarketValueFederal AgencyFANNIE MAE NOTES (CALLABLE)DTD 10/26/2020 0.310% 01/26/20243136G46V0870,000.00 AA+ Aaa 10/23/2020 10/27/2020 869,652.00 0.32 1,161.21 860,593.56FHLB BONDSDTD 02/15/2019 2.500% 02/13/20243130AFW94 120,000.00 AA+ Aaa 2/14/2019 2/15/2019 119,575.20 2.58 1,150.00 124,225.20FREDDIE MAC NOTESDTD 02/14/2020 1.500% 02/12/20253137EAEP0 1,090,000.00 AA+ Aaa 2/26/2020 2/28/2020 1,105,085.60 1.21 6,312.92 1,105,707.99FEDERAL HOME LOAN BANK NOTESDTD 04/16/2020 0.500% 04/14/20253130AJHU6805,000.00 AA+ Aaa 4/15/2020 4/16/2020 801,007.20 0.60 860.90 790,306.34FANNIE MAE NOTESDTD 04/24/2020 0.625% 04/22/20253135G03U5 1,000,000.00 AA+ Aaa 4/22/2020 4/24/2020 997,940.00 0.67 1,197.92 985,671.00FANNIE MAE NOTESDTD 06/19/2020 0.500% 06/17/20253135G04Z3350,000.00 AA+ Aaa 6/22/2020 6/23/2020 349,916.00 0.50 68.06 342,926.15FANNIE MAE NOTESDTD 06/19/2020 0.500% 06/17/20253135G04Z3 1,250,000.00 AA+ Aaa 6/17/2020 6/19/2020 1,247,412.50 0.54 243.05 1,224,736.25FREDDIE MAC NOTESDTD 07/23/2020 0.375% 07/21/20253137EAEU9 755,000.00 AA+ Aaa 7/21/2020 7/23/2020 751,240.10 0.48 1,258.33 735,149.54FANNIE MAE NOTESDTD 08/27/2020 0.375% 08/25/20253135G05X7 1,060,000.00 AA+ Aaa 10/21/2020 10/22/2020 1,054,265.40 0.49 1,391.25 1,031,032.32FANNIE MAE NOTESDTD 08/27/2020 0.375% 08/25/20253135G05X7800,000.00 AA+ Aaa 8/25/2020 8/27/2020 796,256.00 0.47 1,050.00 778,137.60FREDDIE MAC NOTESDTD 09/25/2020 0.375% 09/23/20253137EAEX3 1,155,000.00 AA+ Aaa 9/23/2020 9/25/2020 1,151,523.45 0.44 1,179.06 1,122,364.32FREDDIE MAC NOTESDTD 09/25/2020 0.375% 09/23/20253137EAEX3 900,000.00 AA+ Aaa 2/11/2021 2/12/2021 896,787.00 0.45 918.75 874,569.60FANNIE MAE NOTESDTD 11/12/2020 0.500% 11/07/20253135G06G3755,000.00 AA+ Aaa 11/9/2020 11/12/2020 752,297.10 0.57 566.25 735,126.1425,970,000.0025,958,644.7571,282.18 25,813,881.46Security Type Sub-Total0.89CorporateAPPLE INC CORP NOTES (CALLED,OMD 1/9/22DTD 02/09/2017 2.500% 01/09/2022037833CM0 1,050,000.00 AA+ AAA 1/7/2019 1/9/2019 1,034,418.00 3.02 10,354.17 1,050,310.80 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Holdings|Security Type/DescriptionDated Date/Coupon/Maturity CUSIP ParS&PRatingMoody'sRatingSettleDateOriginalCostTradeDateYTMat CostAccruedInterestMarketValueCorporateIBM CORP BONDSDTD 01/27/2017 2.500% 01/27/2022459200JQ5 750,000.00 A- A3 2/1/2017 2/3/2017 751,575.00 2.45 8,020.83 751,065.00WALT DISNEY COMPANY/THE CORPNOTESDTD 11/30/2012 2.350% 12/01/202225468PCW4 525,000.00 BBB+ A2 4/3/2018 4/5/2018 508,599.00 3.07 1,028.13 533,629.43TOYOTA MOTOR CREDIT CORPDTD 01/11/2018 2.700% 01/11/202389236TEL5640,000.00 A+ A1 7/18/2019 7/22/2019 648,806.40 2.29 8,160.00 652,730.88AMAZON.COM INC BONDSDTD 06/06/2018 2.400% 02/22/2023023135AW6775,000.00 AA A1 5/21/2019 5/23/2019 767,079.50 2.69 6,665.00 788,619.85HOME DEPOT INC CORP NOTESDTD 04/05/2013 2.700% 04/01/2023437076AZ5775,000.00 A A2 4/3/2018 4/5/2018 760,275.00 3.11 5,231.25 790,011.75WAL MART STORES INC GLOBAL NT(CALLABLE)DTD 04/11/2013 2.550% 04/11/2023931142DH3 1,380,000.00 AA Aa2 5/21/2020 5/26/2020 1,452,505.20 0.70 7,820.00 1,405,207.08PFIZER INC CORP NOTESDTD 03/11/2019 2.950% 03/15/2024717081ES8 1,100,000.00 A+ A2 4/2/2019 4/4/2019 1,113,453.00 2.68 9,554.72 1,145,828.20AMAZON.COM INC CORPORATENOTESDTD 05/12/2021 0.450% 05/12/2024023135BW5295,000.00 AA A1 5/10/2021 5/12/2021 294,569.30 0.50 180.69 291,928.76WALMART INC CORPORATE NOTESDTD 04/23/2019 2.850% 07/08/2024931142EL3 1,350,000.00 AA Aa2 7/10/2019 7/12/2019 1,390,662.00 2.21 18,489.38 1,410,442.20JPMORGAN CHASE & COCORPORATE NOTES (CALDTD 09/16/2020 0.653% 09/16/202446647PBS4480,000.00 A- A2 9/9/2020 9/16/2020 480,000.00 0.65 914.20 477,532.80BANK OF AMERICA CORP(CALLABLE) CORPORATDTD 10/21/2020 0.810% 10/24/202406051GJH3620,000.00 A- A2 10/16/2020 10/21/2020 620,000.00 0.81 934.65 615,917.30ADOBE INC CORP NOTEDTD 02/03/2020 1.900% 02/01/202500724PAB5600,000.00 A+ A2 5/4/2020 5/6/2020 628,458.00 0.88 4,750.00 614,361.00MASTERCARD INC CORPORATENOTESDTD 12/03/2019 2.000% 03/03/202557636QAN4 600,000.00 A+ A1 5/4/2020 5/6/2020 625,986.00 1.08 3,933.33 614,317.20INTEL CORP CORPORATE NOTESDTD 03/25/2020 3.400% 03/25/2025458140BP4560,000.00 A+ A1 5/15/2020 5/19/2020 620,530.40 1.10 5,077.33 595,212.80 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Holdings|Security Type/DescriptionDated Date/Coupon/Maturity CUSIP ParS&PRatingMoody'sRatingSettleDateOriginalCostTradeDateYTMat CostAccruedInterestMarketValueCorporateJPMORGAN CHASE & COCORPORATE NOTESDTD 08/10/2021 0.768% 08/09/202546647PCM6640,000.00 A- A2 8/3/2021 8/10/2021 640,000.00 0.77 1,925.12 630,031.36BRISTOL-MYERS SQUIBB COCORPORATE NOTESDTD 11/13/2020 0.750% 11/13/2025110122DN5295,000.00 A+ A2 6/17/2021 6/21/2021 292,061.80 0.98 295.00 287,193.7112,435,000.0012,628,978.6093,333.80 12,654,340.12Security Type Sub-Total1.86ABSHAROT 2019-1 A3DTD 02/27/2019 2.830% 03/20/202343814WAC948,757.25 AAA NR 2/19/2019 2/27/2019 48,755.94 2.83 49.83 49,046.39HYUNDAI AUTO RECEIVABLES TRUSTDTD 04/10/2019 2.660% 06/15/202344932NAD2 74,924.99 AAA NR 4/3/2019 4/10/2019 74,915.12 2.66 88.58 75,252.28HAROT 2019-2 A3DTD 05/29/2019 2.520% 06/21/202343815MAC0147,269.04 NR Aaa 5/21/2019 5/29/2019 147,263.54 2.52 103.09 148,321.85TAOT 2019-A A3DTD 02/13/2019 2.910% 07/15/202389239AAD5 23,112.36 AAA Aaa 2/5/2019 2/13/2019 23,108.15 2.91 29.89 23,303.18ALLYA 2019-1 A3DTD 02/13/2019 2.910% 09/15/202302004WAC57,611.69 NR Aaa 2/5/2019 2/13/20197,610.77 2.919.84 7,650.04TAOT 2019-C A3DTD 08/14/2019 1.910% 09/15/202389238UAD2 185,305.56 AAA Aaa 8/6/2019 8/14/2019 185,304.04 1.91 157.30 186,206.94NAROT 2019-A A3DTD 02/13/2019 2.900% 10/15/202365479KAD2 142,579.57 NR Aaa 2/5/2019 2/13/2019 142,557.98 2.90 183.77 143,481.59COPAR 2019-1 A3DTD 05/30/2019 2.510% 11/15/202314042WAC471,971.93 AAA Aaa 5/21/2019 5/30/2019 71,957.35 2.51 80.29 72,429.17NAROT 2019-B A3DTD 05/28/2019 2.500% 11/15/202365479HAC1 176,934.75 NR Aaa 5/21/2019 5/28/2019 176,894.74 2.51 196.59 178,161.93CARMX 2019-2 A3DTD 04/17/2019 2.680% 03/15/202414316LAC7122,678.34 AAA NR 4/9/2019 4/17/2019 122,665.80 2.68 146.12 123,821.14HAROT 2020-1 A3DTD 02/26/2020 1.610% 04/22/202443813RAC1 370,439.05 NR Aaa 2/19/2020 2/26/2020 370,366.44 1.61 165.67 372,725.92TAOT 2020-A A3DTD 02/12/2020 1.660% 05/15/202489232HAC9 501,234.52 AAA Aaa 2/4/2020 2/12/2020 501,198.33 1.66 369.80 504,753.04 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Holdings|Security Type/DescriptionDated Date/Coupon/Maturity CUSIP ParS&PRatingMoody'sRatingSettleDateOriginalCostTradeDateYTMat CostAccruedInterestMarketValueABSCARMX 2020-1 A3DTD 01/22/2020 1.890% 12/16/202414315XAC2257,634.19 AAA NR 1/14/2020 1/22/2020 257,583.64 1.89 216.41 260,019.14HAROT 2021-1 A3DTD 02/24/2021 0.270% 04/21/202543813GAC5 275,000.00 NR Aaa 2/17/2021 2/24/2021 274,994.97 0.27 20.63 273,152.44CARMX 2021-1 A3DTD 01/27/2021 0.340% 12/15/202514316NAC3 165,000.00 AAA NR 1/20/2021 1/27/2021 164,967.40 0.34 24.93 163,591.76CARMX 2021-2 A3DTD 04/21/2021 0.520% 02/17/202614314QAC8 330,000.00 AAA NR 4/13/2021 4/21/2021 329,928.89 0.52 76.27 327,193.152,900,453.242,900,073.101,919.01 2,909,109.96Security Type Sub-Total1.64102,656,453.24102,674,257.47 333,677.49 102,523,317.21Managed Account Sub TotalSecurities Sub TotalAccrued Interest$102,656,453.24$102,674,257.47 $333,677.49 $102,523,317.21$333,677.49Total Investments$102,856,994.70 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Activity|Quarterly Portfolio TransactionsTradeDateSettleDate Par ($)CUSIPMaturityDateTransactAmount ($)CouponYieldat MarketRealizedG/L (BV)Security DescriptionBUY10/4/2021 10/6/2021 1,400,000.00 91282CAT8 US TREASURY NOTES0.25% 10/31/2025 1,371,871.61 0.78%11/1/2021 11/2/2021 1,950,000.00 91282CBD2 US TREASURY NOTES0.12% 12/31/2022 1,948,314.29 0.24%11/1/2021 11/2/2021 2,000,000.00 91282CAZ4 US TREASURY NOTES0.37% 11/30/2025 1,947,707.48 1.07%11/30/2021 11/30/2021 1,025,000.00 91282CBH3 US TREASURY NOTES0.37% 1/31/2026 999,768.43 1.01%Total BUY 6,375,000.006,267,661.81 0.00INTEREST10/1/2021 10/1/2021 790,000.00 13063DRJ9 CA ST TXBL GO BONDS2.40% 10/1/2023 9,480.0010/1/2021 10/1/2021 775,000.00 437076AZ5 HOME DEPOT INC CORP NOTES2.70% 4/1/2023 10,462.5010/4/2021 10/4/2021MONEY0002 MONEY MARKET FUND1.6910/11/2021 10/11/2021 1,380,000.00 931142DH3 WAL MART STORES INC GLOBAL NT (CALLABLE) 2.55% 4/11/2023 17,595.0010/14/2021 10/14/2021 805,000.00 3130AJHU6 FEDERAL HOME LOAN BANK NOTES0.50% 4/14/2025 2,012.5010/15/2021 10/15/2021 209,127.03 65479KAD2 NAROT 2019-A A32.90% 10/15/2023 505.3910/15/2021 10/15/2021 124,041.76 44932NAD2 HYUNDAI AUTO RECEIVABLES TRUST2.66% 6/15/2023274.9610/15/2021 10/15/2021 103,351.90 14042WAC4 COPAR 2019-1 A32.51% 11/15/2023216.1810/15/2021 10/15/2021 256,578.40 89238UAD2 TAOT 2019-C A31.91% 9/15/2023 408.3910/15/2021 10/15/2021 165,000.00 14316NAC3 CARMX 2021-1 A30.34% 12/15/202546.7510/15/2021 10/15/2021 330,000.00 14314QAC8 CARMX 2021-2 A30.52% 2/17/2026143.00 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Activity|Quarterly Portfolio TransactionsTradeDateSettleDate Par ($)CUSIPMaturityDateTransactAmount ($)CouponYieldat MarketRealizedG/L (BV)Security DescriptionINTEREST10/15/2021 10/15/2021 240,620.22 65479HAC1 NAROT 2019-B A32.50% 11/15/2023 501.2910/15/2021 10/15/2021 163,242.46 14316LAC7 CARMX 2019-2 A32.68% 3/15/2024364.5710/15/2021 10/15/2021 585,000.00 89232HAC9 TAOT 2020-A A31.66% 5/15/2024 809.2510/15/2021 10/15/2021 280,000.00 14315XAC2 CARMX 2020-1 A31.89% 12/16/2024441.0010/15/2021 10/15/2021 33,274.67 89239AAD5 TAOT 2019-A A32.91% 7/15/202380.6910/15/2021 10/15/2021 11,913.83 02004WAC5 ALLYA 2019-1 A32.91% 9/15/202328.8910/18/2021 10/18/2021 77,767.42 43814WAC9 HAROT 2019-1 A32.83% 3/20/2023183.4010/20/2021 10/20/2021 1,170,000.00 3137EAEQ8 FREDDIE MAC NOTES0.37% 4/20/2023 2,193.7510/21/2021 10/21/2021 210,514.38 43815MAC0 HAROT 2019-2 A32.52% 6/21/2023 442.0810/21/2021 10/21/2021 275,000.00 43813GAC5 HAROT 2021-1 A30.27% 4/21/2025 61.8810/21/2021 10/21/2021 425,000.00 43813RAC1 HAROT 2020-1 A31.61% 4/22/2024 570.2110/22/2021 10/22/2021 1,000,000.00 3135G03U5 FANNIE MAE NOTES0.62% 4/22/2025 3,125.0010/24/2021 10/24/2021 620,000.00 06051GJH3 BANK OF AMERICA CORP (CALLABLE) CORPORAT 0.81% 10/24/2024 2,511.0010/31/2021 10/31/2021 765,000.00 912828ZL7 US TREASURY NOTES0.37% 4/30/2025 1,434.3810/31/2021 10/31/2021 345,000.00 9128283D0 US TREASURY NOTES2.25% 10/31/2024 3,881.2510/31/2021 10/31/2021 1,040,000.00 912828X70 US TREASURY NOTES2.00% 4/30/2024 10,400.0010/31/2021 10/31/2021 1,400,000.00 91282CAT8 US TREASURY NOTES0.25% 10/31/2025 1,750.00 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Activity|Quarterly Portfolio TransactionsTradeDateSettleDate Par ($)CUSIPMaturityDateTransactAmount ($)CouponYieldat MarketRealizedG/L (BV)Security DescriptionINTEREST10/31/2021 10/31/2021 3,500,000.00 91282CAR2 US TREASURY NOTES0.12% 10/31/2022 2,187.5010/31/2021 10/31/2021 600,000.00 9128283C2 US TREASURY NOTES2.00% 10/31/2022 6,000.0011/2/2021 11/2/2021MONEY0002 MONEY MARKET FUND1.7211/7/2021 11/7/2021 755,000.00 3135G06G3 FANNIE MAE NOTES0.50% 11/7/2025 1,887.5011/12/2021 11/12/2021 295,000.00 023135BW5 AMAZON.COM INC CORPORATE NOTES0.45% 5/12/2024663.7511/13/2021 11/13/2021 295,000.00 110122DN5 BRISTOL-MYERS SQUIBB CO CORPORATE NOTES 0.75% 11/13/2025 1,106.2511/15/2021 11/15/2021 107,295.85 44932NAD2 HYUNDAI AUTO RECEIVABLES TRUST2.66% 6/15/2023237.8411/15/2021 11/15/2021 218,501.56 65479HAC1 NAROT 2019-B A32.50% 11/15/2023 455.2111/15/2021 11/15/2021 330,000.00 14314QAC8 CARMX 2021-2 A30.52% 2/17/2026143.0011/15/2021 11/15/2021 165,000.00 14316NAC3 CARMX 2021-1 A30.34% 12/15/202546.7511/15/2021 11/15/2021 92,451.56 14042WAC4 COPAR 2019-1 A32.51% 11/15/2023193.3811/15/2021 11/15/2021 584,264.38 89232HAC9 TAOT 2020-A A31.66% 5/15/2024 808.2311/15/2021 11/15/2021 149,573.60 14316LAC7 CARMX 2019-2 A32.68% 3/15/2024334.0511/15/2021 11/15/2021 232,222.33 89238UAD2 TAOT 2019-C A31.91% 9/15/2023 369.6211/15/2021 11/15/2021 186,184.84 65479KAD2 NAROT 2019-A A32.90% 10/15/2023 449.9511/15/2021 11/15/2021 280,000.00 14315XAC2 CARMX 2020-1 A31.89% 12/16/2024441.0011/15/2021 11/15/2021 245,000.00 91412HGE7 UNIV OF CAL TXBL REV BONDS0.88% 5/15/2025 1,081.68 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Activity|Quarterly Portfolio TransactionsTradeDateSettleDate Par ($)CUSIPMaturityDateTransactAmount ($)CouponYieldat MarketRealizedG/L (BV)Security DescriptionINTEREST11/15/2021 11/15/2021 29,724.49 89239AAD5 TAOT 2019-A A32.91% 7/15/202372.0811/15/2021 11/15/2021 10,430.51 02004WAC5 ALLYA 2019-1 A32.91% 9/15/202325.2911/15/2021 11/15/2021 1,530,000.00 912828WE6 US TREASURY NOTES2.75% 11/15/2023 21,037.5011/16/2021 11/16/2021 2,100,000.00 3135G06F5 FANNIE MAE NOTES (CALLABLE)0.31% 11/16/2023 3,255.0011/18/2021 11/18/2021 67,456.07 43814WAC9 HAROT 2019-1 A32.83% 3/20/2023159.0811/21/2021 11/21/2021 425,000.00 43813RAC1 HAROT 2020-1 A31.61% 4/22/2024 570.2111/21/2021 11/21/2021 188,572.44 43815MAC0 HAROT 2019-2 A32.52% 6/21/2023 396.0011/21/2021 11/21/2021 275,000.00 43813GAC5 HAROT 2021-1 A30.27% 4/21/2025 61.8811/22/2021 11/22/2021 1,245,000.00 3135G04Q3 FANNIE MAE NOTES0.25% 5/22/2023 1,556.2511/30/2021 11/30/2021 2,000,000.00 91282CAZ4 US TREASURY NOTES0.37% 11/30/2025 3,750.0011/30/2021 11/30/2021 340,000.00 912828ZT0 US TREASURY NOTES0.25% 5/31/2025425.0011/30/2021 11/30/2021 2,635,000.00 91282CCF6 US TREASURY N/B NOTES0.75% 5/31/2026 9,881.2511/30/2021 11/30/2021 1,735,000.00 912828U57 US TREASURY NOTES2.12% 11/30/2023 18,434.3812/1/2021 12/1/2021 525,000.00 25468PCW4 WALT DISNEY COMPANY/THE CORP NOTES2.35% 12/1/2022 6,168.7512/2/2021 12/2/2021MONEY0002 MONEY MARKET FUND2.2712/2/2021 12/2/2021 595,000.00 23341VZT1 DNB BANK ASA/NY LT CD2.04% 12/2/2022 6,170.1512/4/2021 12/4/2021 685,000.00 3137EAFA2 FREDDIE MAC NOTES0.25% 12/4/2023 856.25 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Activity|Quarterly Portfolio TransactionsTradeDateSettleDate Par ($)CUSIPMaturityDateTransactAmount ($)CouponYieldat MarketRealizedG/L (BV)Security DescriptionINTEREST12/8/2021 12/8/2021 560,000.00 3130A0F70 FEDERAL HOME LOAN BANKS NOTES3.37% 12/8/2023 9,450.0012/15/2021 12/15/2021 82,060.71 14042WAC4 COPAR 2019-1 A32.51% 11/15/2023171.6412/15/2021 12/15/2021 164,278.91 65479KAD2 NAROT 2019-A A32.90% 10/15/2023 397.0112/15/2021 12/15/2021 330,000.00 14314QAC8 CARMX 2021-2 A30.52% 2/17/2026143.0012/15/2021 12/15/2021 90,337.96 44932NAD2 HYUNDAI AUTO RECEIVABLES TRUST2.66% 6/15/2023200.2512/15/2021 12/15/2021 26,431.22 89239AAD5 TAOT 2019-A A32.91% 7/15/202364.1012/15/2021 12/15/2021 165,000.00 14316NAC3 CARMX 2021-1 A30.34% 12/15/202546.7512/15/2021 12/15/2021 542,730.45 89232HAC9 TAOT 2020-A A31.66% 5/15/2024 750.7812/15/2021 12/15/2021 8,974.58 02004WAC5 ALLYA 2019-1 A32.91% 9/15/2023 21.7612/15/2021 12/15/2021 197,780.59 65479HAC1 NAROT 2019-B A32.50% 11/15/2023 412.0412/15/2021 12/15/2021 4,060,000.00 91282CBA8 US TREASURY NOTES0.12% 12/15/2023 2,537.5012/15/2021 12/15/2021 136,219.64 14316LAC7 CARMX 2019-2 A32.68% 3/15/2024304.2212/15/2021 12/15/2021 208,408.35 89238UAD2 TAOT 2019-C A31.91% 9/15/2023 331.7212/15/2021 12/15/2021 274,587.51 14315XAC2 CARMX 2020-1 A31.89% 12/16/2024432.4812/17/2021 12/17/2021 1,600,000.00 3135G04Z3 FANNIE MAE NOTES0.50% 6/17/2025 4,000.0012/18/2021 12/18/2021 57,903.59 43814WAC9 HAROT 2019-1 A32.83% 3/20/2023136.5612/21/2021 12/21/2021 167,606.72 43815MAC0 HAROT 2019-2 A32.52% 6/21/2023 351.97 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Activity|Quarterly Portfolio TransactionsTradeDateSettleDate Par ($)CUSIPMaturityDateTransactAmount ($)CouponYieldat MarketRealizedG/L (BV)Security DescriptionINTEREST12/21/2021 12/21/2021 275,000.00 43813GAC5 HAROT 2021-1 A30.27% 4/21/2025 61.8812/21/2021 12/21/2021 398,720.20 43813RAC1 HAROT 2020-1 A31.61% 4/22/2024 534.9512/26/2021 12/26/2021 1,125,000.00 3137EAES4 FREDDIE MAC NOTES0.25% 6/26/2023 1,406.2512/31/2021 12/31/2021 1,950,000.00 91282CBD2 US TREASURY NOTES0.12% 12/31/2022 1,218.7512/31/2021 12/31/2021 5,645,000.00 91282CBC4 US TREASURY NOTES0.37% 12/31/2025 10,584.3812/31/2021 12/31/2021 75,000.00 9128285U0 US TREASURY NOTES2.62% 12/31/2023 984.3812/31/2021 12/31/2021 490,000.00 912828XX3 US TREASURY NOTES2.00% 6/30/2024 4,900.0012/31/2021 12/31/2021 3,300,000.00 912828YY0 US TREASURY NOTES1.75% 12/31/2024 28,875.00Total INTEREST57,933,150.13227,471.140.00MATURITY10/31/2021 10/31/2021 3,435,000.00 912828F96 US TREASURY NOTES2.00% 10/31/2021 3,469,350.0010/31/2021 10/31/2021 185,000.00 912828F96 US TREASURY NOTES2.00% 10/31/2021 186,850.0011/30/2021 11/30/2021 750,000.00 912828U65 US TREASURY NOTES1.75% 11/30/2021 756,562.50Total MATURITY4,370,000.004,412,762.500.00PAYDOWNS10/15/2021 10/15/2021 10,900.34 14042WAC4 COPAR 2019-1 A32.51% 11/15/2023 10,900.3410/15/2021 10/15/2021 22,118.66 65479HAC1 NAROT 2019-B A32.50% 11/15/2023 22,118.66 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Activity|Quarterly Portfolio TransactionsTradeDateSettleDate Par ($)CUSIPMaturityDateTransactAmount ($)CouponYieldat MarketRealizedG/L (BV)Security DescriptionPAYDOWNS10/15/2021 10/15/2021735.62 89232HAC9 TAOT 2020-A A31.66% 5/15/2024735.6210/15/2021 10/15/2021 16,745.91 44932NAD2 HYUNDAI AUTO RECEIVABLES TRUST2.66% 6/15/2023 16,745.9110/15/2021 10/15/2021 22,942.19 65479KAD2 NAROT 2019-A A32.90% 10/15/2023 22,942.1910/15/2021 10/15/2021 1,483.32 02004WAC5 ALLYA 2019-1 A32.91% 9/15/2023 1,483.3210/15/2021 10/15/2021 13,668.86 14316LAC7 CARMX 2019-2 A32.68% 3/15/2024 13,668.8610/15/2021 10/15/2021 3,550.18 89239AAD5 TAOT 2019-A A32.91% 7/15/2023 3,550.1810/15/2021 10/15/2021 24,356.07 89238UAD2 TAOT 2019-C A31.91% 9/15/2023 24,356.0710/18/2021 10/18/2021 10,311.35 43814WAC9 HAROT 2019-1 A32.83% 3/20/2023 10,311.3510/21/2021 10/21/2021 21,941.94 43815MAC0 HAROT 2019-2 A32.52% 6/21/2023 21,941.9411/15/2021 11/15/2021 16,957.89 44932NAD2 HYUNDAI AUTO RECEIVABLES TRUST2.66% 6/15/2023 16,957.8911/15/2021 11/15/2021 23,813.98 89238UAD2 TAOT 2019-C A31.91% 9/15/2023 23,813.9811/15/2021 11/15/2021 41,533.93 89232HAC9 TAOT 2020-A A31.66% 5/15/2024 41,533.9311/15/2021 11/15/2021 5,412.49 14315XAC2 CARMX 2020-1 A31.89% 12/16/2024 5,412.4911/15/2021 11/15/2021 10,390.85 14042WAC4 COPAR 2019-1 A32.51% 11/15/2023 10,390.8511/15/2021 11/15/2021 13,353.96 14316LAC7 CARMX 2019-2 A32.68% 3/15/2024 13,353.9611/15/2021 11/15/2021 21,905.93 65479KAD2 NAROT 2019-A A32.90% 10/15/2023 21,905.9311/15/2021 11/15/2021 1,455.93 02004WAC5 ALLYA 2019-1 A32.91% 9/15/2023 1,455.93 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Activity|Quarterly Portfolio TransactionsTradeDateSettleDate Par ($)CUSIPMaturityDateTransactAmount ($)CouponYieldat MarketRealizedG/L (BV)Security DescriptionPAYDOWNS11/15/2021 11/15/2021 3,293.27 89239AAD5 TAOT 2019-A A32.91% 7/15/2023 3,293.2711/15/2021 11/15/2021 20,720.97 65479HAC1 NAROT 2019-B A32.50% 11/15/2023 20,720.9711/18/2021 11/18/2021 9,552.48 43814WAC9 HAROT 2019-1 A32.83% 3/20/2023 9,552.4811/21/2021 11/21/2021 20,965.72 43815MAC0 HAROT 2019-2 A32.52% 6/21/2023 20,965.7211/21/2021 11/21/2021 26,279.80 43813RAC1 HAROT 2020-1 A31.61% 4/22/2024 26,279.8012/15/2021 12/15/2021 15,412.97 44932NAD2 HYUNDAI AUTO RECEIVABLES TRUST2.66% 6/15/2023 15,412.9712/15/2021 12/15/2021 20,845.84 65479HAC1 NAROT 2019-B A32.50% 11/15/2023 20,845.8412/15/2021 12/15/2021 23,102.79 89238UAD2 TAOT 2019-C A31.91% 9/15/2023 23,102.7912/15/2021 12/15/2021 13,541.30 14316LAC7 CARMX 2019-2 A32.68% 3/15/2024 13,541.3012/15/2021 12/15/2021 41,495.93 89232HAC9 TAOT 2020-A A31.66% 5/15/2024 41,495.9312/15/2021 12/15/2021 10,088.78 14042WAC4 COPAR 2019-1 A32.51% 11/15/2023 10,088.7812/15/2021 12/15/2021 3,318.86 89239AAD5 TAOT 2019-A A32.91% 7/15/2023 3,318.8612/15/2021 12/15/2021 16,953.32 14315XAC2 CARMX 2020-1 A31.89% 12/16/2024 16,953.3212/15/2021 12/15/2021 21,699.34 65479KAD2 NAROT 2019-A A32.90% 10/15/2023 21,699.3412/15/2021 12/15/2021 1,362.89 02004WAC5 ALLYA 2019-1 A32.91% 9/15/2023 1,362.8912/18/2021 12/18/2021 9,146.34 43814WAC9 HAROT 2019-1 A32.83% 3/20/2023 9,146.3412/21/2021 12/21/2021 20,337.68 43815MAC0 HAROT 2019-2 A32.52% 6/21/2023 20,337.68 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Portfolio Activity|Quarterly Portfolio TransactionsTradeDateSettleDate Par ($)CUSIPMaturityDateTransactAmount ($)CouponYieldat MarketRealizedG/L (BV)Security DescriptionPAYDOWNS12/21/2021 12/21/2021 28,281.15 43813RAC1 HAROT 2020-1 A31.61% 4/22/2024 28,281.15Total PAYDOWNS589,978.83589,978.830.00SELL10/4/2021 10/6/2021 1,100,000.00 912828F96 US TREASURY NOTES2.00% 10/31/2021 1,110,923.401,758.09Total SELL1,100,000.001,110,923.401,758.09 © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Appendix|Important DisclosuresThis material is based on information obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC cannotguarantee its accuracy, completeness or suitability. This material is for general information purposes only and is not intended to provide specific advice or a specificrecommendation. All statements as to what will or may happen under certain circumstances are based on assumptions, some, but not all of which, are noted in thepresentation. Assumptions may or may not be proven correct as actual events occur, and results may depend on events outside of your or our control. Changes inassumptions may have a material effect on results. Past performance does not necessarily reflect and is not a guaranty of future results. The information contained inthis presentation is not an offer to purchase or sell any securities.Market values that include accrued interest are derived from closing bid prices as of the last business day of the month as supplied by Refinitiv, Bloomberg, orTelerate. Where prices are not available from generally recognized sources, the securities are priced using a yield-based matrix system to arrive at an estimatedmarket value.In accordance with generally accepted accounting principles, information is presented on a trade date basis; forward settling purchases are included in the monthlybalances, and forward settling sales are excluded.Performance is presented in accordance with the CFA Institute's Global Investment Performance Standards (GIPS). Unless otherwise noted, performance is showngross of fees. Quarterly returns are presented on an unannualized basis. Returns for periods greater than one year are presented on an annualized basis. Pastperformance is not indicative of future returns.Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets.Money market fund/cash balances are included in performance and duration computations.Standard & Poor's is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/LGIP holdings.Callable securities in the portfolio are included in the maturity distribution analysis to their stated maturity date, although, they may be called prior to maturity.MBS maturities are represented by expected average life. © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Appendix|GlossaryAccrued Interest: Interest that is due on a bond or other fixed income security since the last interest payment was made.Agencies: Federal agency securities and/or Government-sponsored enterprises.Amortized Cost: The original cost of the principal of the security is adjusted for the amount of the periodic reduction of any discount or premium from the purchasedate until the date of the report. Discount or premium with respect to short-term securities (those with less than one year to maturity at time of issuance) is amortizedon a straight line basis. Such discount or premium with respect to longer-term securities is amortized using the constant yield basis.Asset-Backed Security: A financial instrument collateralized by an underlying pool of assets – usually ones that generate a cash flow from debt, such as loans,leases, credit card balances, and receivables.Bankers’ Acceptance: A draft or bill or exchange accepted by a bank or trust company. The accepting institution guarantees payment of the bill as well as the insurer.Commercial Paper: An unsecured obligation issued by a corporation or bank to finance its short-term credit needs, such as accounts receivable and inventory.Contribution to Total Return: The weight of each individual security multiplied by its return, then summed for each sector to determine how much each sector addedor subtracted from the overall portfolio performance.Effective Duration: A measure of the sensitivity of a security’s price to a change in interest rates, stated in years.Effective Yield: The total yield an investor receives in relation to the nominal yield or coupon of a bond. Effective yield takes into account the power of compoundingon investment returns, while nominal yield does not.FDIC: Federal Deposit Insurance Corporation. A federal agency that insures bank deposits to a specified amount.Interest Rate: Interest per year divided by principal amount and expressed as a percentage.Market Value: The value that would be received or paid for an investment in an orderly transaction between market participants at the measurement date.Maturity: The date upon which the principal or stated value of an investment becomes due and payable.Negotiable Certificates of Deposit: A CD with a very large denomination, usually $1 million or more, that can be traded in secondary markets.Par Value: The nominal dollar face amount of a security.Pass-through Security: A security representing pooled debt obligations that passes income from debtors to its shareholders. The most common type is themortgage-backed security. © PFM Asset Management LLC pfmam.comCITY OF SAN LUIS OBISPOFor the Quarter Ended December 31, 2021Appendix|GlossaryRepurchase Agreements: A holder of securities sells these securities to an investor with an agreement to repurchase them at a fixed price on a fixed date.Settle Date: The date on which the transaction is settled and monies/securities are exchanged. If the settle date of the transaction (i.e., coupon payments andmaturity proceeds) occurs on a non-business day, the funds are exchanged on the next business day.Supranational: A multinational union or association in which member countries cede authority and sovereignty on at least some internal matters to the group, whosedecisions are binding on its members.Trade Date: The date on which the transaction occurred; however, the final consummation of the security transaction and payment has not yet taken place.Unsettled Trade: A trade which has been executed; however, the final consummation of the security transaction and payment has not yet taken place.U.S. Treasury: The department of the U.S. government that issues Treasury securities.Yield: The rate of return based on the current market value, the annual interest receipts, maturity value, and the time period remaining until maturity, stated as apercentage on an annualized basis.YTM at Cost: The yield to maturity at cost is the expected rate of return based on the original cost, the annual interest receipts, maturity value, and the time periodfrom purchase date to maturity, stated as a percentage on an annualized basis.YTM at Market: The yield to maturity at market is the rate of return based on the current market value, the annual interest receipts, maturity value, and the timeperiod remaining until maturity, stated as a percentage on an annualized basis.