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HomeMy WebLinkAboutSLO_Quarterly Report_093015_finalSECity of San Luis Obispo Investment Report Period Ending September 30, 2015 PFM Asset Management LLC 50 California Street, Suite 2300 San Francisco, CA 94111 (415) 982-5544 © 2015 PFM Asset Management LLC •Section I. Economic Update •Section II. Account Profile •Section III. Consolidated Information •Section IV. Portfolio Holdings •Section V. Monthly Transactions Table of Contents Section I. Economic Update U.S. Treasury Yields Experience Volatility 0.50% 0.55% 0.60% 0.65% 0.70% 0.75% 0.80% 0.85% Jul-15 Aug-15 Sep-15 Source: Bloomberg 2 -Year U.S. Treasury Yield July 1, 2015 –September 30, 2015 •Despite significant volatility in the third quarter, 2 -year Treasury yields ended September roughly at the same level as they were at the end of June. Greece Concerns Chinese stock market slump FOMC decides not to raise rates © 2015 PFM Asset Management LLC 1 -0.25% 0.00% 0.25% 0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00% 3 M 1 Y 2 Y 3 Y 5 Y Yi e l d Maturity June 30, 2015 September 30, 2015 Interest Rates Decreased in 2-to 5-Year Range 6/30/15 9/30/15 Change 3 Month 0.01%-0.02%-0.03% 6 Month 0.11%0.07%-0.04% 1 Year 0.27%0.31%+0.04% 2 Year 0.65%0.63%-0.02% 3 Year 1.08%0.96%-0.12% 5 Year 1.65%1.36%-0.29% U.S. Treasury Yield Curve Source: Bloomberg •Yields on securities longer than one year decreased during the third quarter as concerns over a global slowdown drove money into U.S. Treasuries. © 2015 PFM Asset Management LLC 2 2.1% 0.6% 3.9% 1.5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5% 6% Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 2011 2012 2013 2014 2015 2016 Qo Q % C h a n g e ; S e a s o n a l l y A d j u s t e d A n n u a l i z e d R a t e U.S. Real GDP U.S. Economy Growth Slowed in Third Quarter •U.S. GDP grew at an estimated 1.5% in the third quarter after the strong growth of 3.9% in the second quarter. •While consumer spending continued to be strong with an increase of 3.2%, a decline in inventory growth detracted 1.4% from GDP. Source: Bureau of Economic Analysis; Bloomberg survey results as of September 30, 2015. Bloomberg Survey of Economists © 2015 PFM Asset Management LLC 3 0% 2% 4% 6% 8% 10% 12% -100K 0K 100K 200K 300K 400K 500K Sep '10 Mar '11 Sep '11 Mar '12 Sep '12 Mar '13 Sep '13 Mar '14 Sep '14 Mar '15 Sep '15 Un e m p l o y m e n t R a t e Ch a n g e i n N o n -Fa r m P a y r o l l s Monthly Change in Non -Farm Payrolls and Unemployment Rate Change in Non-Farm Payrolls (left axis)Unemployment Rate (right axis) U.S. Job Creation Cools •The jobs reports in August and September showed signs of slowing growth as the number of jobs added came in under expectations. Total growth for the quarter was 501,000 jobs. •The unemployment rate fell from 5.3% to 5.1% during the quarter. Source: Bureau of Labor Statistics Unemployment Rate: 5.1% © 2015 PFM Asset Management LLC 4 Underemployment Remains High Source: Bloomberg Employment Measures January 2008 –September 2015 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% Jan 08 Jan 10 Jan 12 Jan 14 Underemployment Rate Unemployment Rate •While the unemployment rate has decreased to a strong level of 5.1%, the underemployment rate remains high at 10%. •Underemployment includes two main classes of people that unemployment excludes. These people include: –Part-time workers that would rather be full time –Highly skilled workers in low-paying or low-skill jobs •While the unemployment rate has been steadily decreasing, overall wage growth has been slower to improve and remains below its pre-recession levels. 0% 1% 2% 3% 4% 5% 6% Jan 00 Jan 03 Jan 06 Jan 09 Jan 12 Jan 15 Overall Wage Growth January 2000 –September 2015 © 2015 PFM Asset Management LLC 5 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% Au g ' 0 5 Au g ' 0 6 Au g ' 0 7 Au g ' 0 8 Au g ' 0 9 Au g ' 1 0 Au g ' 1 1 Au g ' 1 2 Au g ' 1 3 Au g ' 1 4 Au g ' 1 5 Yo Y % C h a n g e Inflation Measures Consumer Price Index vs. Personal Consumption Expenditures Core CPI Core PCE Fed's Long Term Inflation Target Inflation Remains Muted •The personal consumption expenditures (PCE) price index, the Fed’s preferred gauge of core inflation, remains under the 2% target; it advanced just 1.3% year-over-year through August. •The Federal Reserve is waiting to raise interest rates until they are “reasonably confident that inflation will move back to its 2% objective.” Source: Bloomberg © 2015 PFM Asset Management LLC 6 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 1.60% 1.80% 2.00% Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 1-5 Year Index Yields U.S. Treasuries A-AAA Corporate Notes Corporate Spreads Continue To Widen Source: Bank of America Merrill Lynch Indexes: 1-5 Year U.S. Treasury and Federal Agency Indexes . •During the third quarter, yields on corporate securities rose, while yields on comparable U.S. Treasury notes remained relatively flat. © 2015 PFM Asset Management LLC 7 •The median September forecast continued the trend of lowering the trajectory of rate hike projections and coming closer to market expectations as observed by Fed Funds futures. •The new dot plot showed that one FOMC member thinks interest rates should be negative at the end of 2015 and 2016. •The overall dot plot supports Janet Yellen’s statements that the Fed will begin to raise rates this year. FOMC “Dot Plot” After September Meeting 2015 2016 2017 2018 Longer Term -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% Mar-15 Median Jun-15 Median Sep-15 Median Fed Funds Futures Dot Plot from FOMC’s September 16-17 Meeting Source: Federal Reserve 8© 2015 PFM Asset Management LLC •Market Volatility: Stop Huge plunge in the Chinese stock market triggered a global sell-off in equity markets, as well as heighted volatility in global bond and currency markets. Fed is concerned about financial stability and market liquidity. •Inflation: Caution Core PCE running well below Fed’s 2% target. Some Fed officials expect inflation to move back to the target over the medium term. Falling commodity prices are keeping broad inflation metrics low. •Full Employment: Go Unemployment rate of 5.1%, average job gains of 228K per month over the past year. FOMC: Stop or Go? © 2015 PFM Asset Management LLC 9 Section II. Account Profile 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. Performance Objectives –The performance objective for the portfolio is to earn a total rate of return over a market cycle that equals or exceeds the market index, the Bank of America Merrill Lynch Index of 0-5 Year Treasury securities. Strategy –In order to achieve this objective, the portfolio invests in high-quality money market instruments, U.S. Treasury securities, Federal Agency securities , and high-grade corporate securities, with a maximum maturity of five years. Objectives 10© 2015 PFM Asset Management LLC Category Standard Comment Treasury Obligations 5 year maximum maturity Complies Government Sponsored Enterprise (GSE) Securities 5 year maximum maturity, AAA by S&P or Moody’s Complies Corporate Notes 5 year maximum maturity At least one “AA” rating 30% maximum,5% per issuer Complies Local Government Investment Pool (LAIF)Up to maximum permitted by State Law Complies Negotiable Certificates of Deposit 5 year maximum maturity 30% maximum,5% per issuer Complies Commercial Paper 270 day maximum maturity At least one “A-1” rating 25% maximum,5% per issuer Complies Collateralized Bank Deposits 5% per issuer Complies Money Market Mutual Funds Highest rating category by 2 NRSROs 20% maximum,10% per issuer Complies % maturing in less than 90 days 5% minimum Complies Maximum maturity of corporate 5 years Complies Maximum maturity 10 years; 10% maximum of portfolio in Treasury and GSE obligations with maturity >5 years Complies Social Responsibility No investments in companies involved in tobacco, electronic cigarettes, or the direct production or drilling of fossil fuels Complies Compliance 11 •The Portfolio Complies with California Government Code and the City of San Luis Obispo’s Investment Policy in regards to credit quality, as well as maturity, sector, and issuer limits. Additionally, none of the City’s funds are invested in any securities prohibited by the Code. City of San Luis Obispo Portfolio Compliance* –PFM Managed *Applies to aggregate portfolio. © 2015 PFM Asset Management LLC City of San Luis Obispo –PFM Managed Portfolio Characteristics 9/30/15 6/30/15 Benchmark Portfolio Portfolio Average Maturity (years)2.25 2.09 2.21 Effective Duration*2.18 2.04 2.15 Average Purchase Yield N/A 1.09%1.12% Average Market Yield 0.71%0.75%0.84% Average Quality AA+AA+/Aaa AA+/Aaa Total Market Value 56,008,087 45,622,718 Account Profile 12 •The City of San Luis Obispo’s current benchmark is the Bank of America Merrill Lynch (BAML) 0 -5 Year U.S. Treasury Index. *Effective duration used in place of modified duration. Effective duration is the approximate percentage change in price, for each 1% change in interest rates. Modified duration is a similar risk measure but it ignores how changes in rates will impact cash flows on bonds with embedded options such as callable notes, MBS, or ABS. Effective duration takes into account the impact that changing interest rates has on cash flows (i.e. if interest rates fall and a callable bond is more likely to be called prior to its final matur ity, the effective duration will decrease). © 2015 PFM Asset Management LLC Sector Distribution 13 September 30, 2015 June 30, 2015 U.S. Treasury, $14,200,240 31% Federal Agency, $24,656,595 54% Corporate, $6,691,199 15% Money Market Fund, $74,684 <1% City of San Luis Obispo Sector Distribution –PFM Managed *Sector distribution includes market value and excludes accrued interest. U.S. Treasury $17,543,329 32% Federal Agency $27,616,847 49% Commercial Paper $3,495,188 6% Corporate $7,188,665 13% Money Market Fund $164,058 <1% © 2015 PFM Asset Management LLC Issuers 14 Issuer Name Investment Type % Portfolio U.S. Treasury U.S. Treasury 31.32% FHLMC Federal Agency 17.32% FNMA Federal Agency 17.02% FHLB Federal Agency 9.96% FFCB Federal Agency 5.01% Bank of Tokyo Mitsubishi Commercial Paper 4.01% BNP Paribas NY Commercial Paper 2.23% Microsoft Corp Corporate Note 1.80% Procter & Gamble Corporate Note 1.65% IBM Corporate Note 1.34% Berkshire Hathaway Corporate Note 1.26% Wal -Mart Stores Corporate Note 1.25% Apple Inc Corporate Note 1.25% General Electric Corporate Note 1.25% Johnson & Johnson Corporate Note 1.22% Google Inc Corporate Note 0.94% Toyota Motor Credit Corp Corporate Note 0.88% Dreyfus Prime Cash Management Fund Money Market Fund 0.29% Total 100.00% As of September 30, 2015 City of San Luis Obispo Issuer Distribution –PFM Managed © 2015 PFM Asset Management LLC Quality Distribution 15 0% 20% 40% 60% 80% 100% 120% AAA AA A <A A-1 NR 9/30/2015 6/30/2015 AAA AA A <A A-1 NR 9/30/2015 3.3%90.5%0.0%0.0%6.2%0.0% 6/30/2015 3.9%96.1%0.0%0.0%0.0%0.0% City of San Luis Obispo Credit Quality –PFM Managed September 30, 2015 vs. June 30, 2015 Ratings by Standard & Poor’s © 2015 PFM Asset Management LLC Maturity Distribution 16 0% 5% 10% 15% 20% 25% 30% 0 - 0.25 0.25 - 0.50 0.50 -1.00 1 - 2 2 - 3 3 - 4 4 - 5 Over 5 Portfolio Benchmark 0 –0.25 0.25 –0.5 0.50 –1 1 –2 2 –3 3 –4 4 –5 Over 5 Portfolio 8.2%9.2%13.2%26.4%12.1%17.0%13.8%0.0% Benchmark 6.2%5.8%12.7%24.7%20.3%17.7%12.6%0.0% City of San Luis Obispo Portfolio Maturity Distribution vs. Benchmark –PFM Managed •Benchmark is the Bank of America Merrill Lynch (BAML) 0-5 Year U.S. Treasury Index •Callable securities in portfolio are included in the maturity distribution analysis to their stated maturity date, although they may be called prior to maturity. •As of September 30, 2015. © 2015 PFM Asset Management LLC Investment Performance 17 City of San Luis Obispo Total Return Period Ending September 30, 2015 Total Rate of Return 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 1.60% 3 Months 6 Months Since Inception City of San Luis Obispo 0-5 Yr. Treasury Index •Performance on trade-date basis, gross (i.e., before fees) in accordance with the CFA Institute’s Global Investment Performance Standards (GIPS). •Performance numbers for periods one year and greater are presented on an annualized basis. •Merrill Lynch Indices provided by Bloomberg Financial Markets . •Inception date is December 31, 2014. © 2015 PFM Asset Management LLC 3 Months Periodic 6 Months Periodic Since Inception Periodic City of San Luis Obispo 0.64%0.64%1.30% 0-5 Yr.Treasury Index 0.57%0.60%1.34% City of San Luis Obispo -Internal Portfolio Characteristics 9/30/15 6/30/15 Portfolio Portfolio Average Maturity (years)0.02 0.02 Effective Duration*0.02 0.02 Average Purchase Yield 0.40%0.32% Average Market Yield 0.16%0.15% Average Quality AA+/Aaa AA+/Aaa Total Market Value 39,258,777 55,575,152 Account Profile 18 *Effective duration used in place of modified duration. Effective duration is the approximate percentage change in price, for each 1% change in interest rates. Modified duration is a similar risk measure but it ignores how changes in rates will impact cash flows on bonds with embedded options such as call able notes, MBS, or ABS. Effective duration takes into account the impact that changing interest rates has on cash flows (i.e. if interest rates fall and a callable bond is more likely to be called prior to its final maturity, the effective duration will decrease). © 2015 PFM Asset Management LLC Sector Distribution 19 LAIF, $17,276,262 44% U.S. Treasury, $1,033,690 3% Money Market Rate Account, $1,009,231 3% Negotiable CD, $1,000,000 2% Cash, $18,939,594 48% September 30, 2015 June 30, 2015 LAIF, $27,256,994 49% U.S. Treasury, $1,055,780 2% Money Market Rate Account, $1,008,468 2% Negotiable CD, $1,000,000 2% Cash, $25,253,909 45% City of San Luis Obispo Sector Distribution –Internal © 2015 PFM Asset Management LLC *Sector distribution includes market value and excludes accrued interest. Issuers 20 As of September 30, 2015 City of San Luis Obispo Issuer Distribution –Internal Issuer Name Investment Type % Portfolio Cash Cash 48.24% LAIF LAIF 44.01% U.S. Treasury U.S. Treasury 2.63% Heritage Oaks Bank Money Market Rate Account 2.57% Heritage Oaks Bank Negotiable CD 2.55% Total 100.00% © 2015 PFM Asset Management LLC Section III. Consolidated Information Category Standard Comment Treasury Obligations 5 year maximum maturity Complies Government Sponsored Enterprise (GSE) Securities 5 year maximum maturity, AAA by S&P or Moody’s Complies Corporate Notes 5 year maximum maturity At least one “AA” rating 30% maximum,5% per issuer Complies Local Government Investment Pool (LAIF)Up to maximum permitted by State Law Complies Negotiable Certificates of Deposit 5 year maximum maturity 30% maximum,5% per issuer Complies Collateralized Bank Deposits 5% per issuer Complies Commercial Paper 270 day maximum maturity At least one “A-1” rating 25% maximum,5% per issuer Complies Money Market Mutual Funds Highest rating category by 2 NRSROs 20% maximum,10% per issuer Complies % maturing in less than 90 days 5% minimum Complies Maximum maturity of corporate 5 years Complies Maximum maturity 10 years; 10% maximum of portfolio in Treasury and GSE obligations with maturity >5 years Complies Social Responsibility No investments in companies involved in tobacco, electronic cigarettes, or the direct production or drilling of fossil fuels Complies Compliance 21 City of San Luis Obispo Portfolio Compliance –Consolidated •The Portfolio Complies with California Government Code and the City of San Luis Obispo’s Investment Policy in regards to credit quality, as well as maturity, sector, and issuer limits. Additionally, none of the City’s funds are invested in any securities prohibited by the Code. © 2015 PFM Asset Management LLC City of San Luis Obispo -Consolidated Portfolio Characteristics 9/30/15 6/30/15 Portfolio Portfolio Average Maturity (years)1.24 1.01 Effective Duration*1.21 0.98 Average Purchase Yield 0.81%0.68% Average Market Yield 0.51%0.46% Average Quality AA+/Aaa AA+/Aaa Total Market Value 95,266,864 101,197,870 Account Profile 22 *Effective duration used in place of modified duration. Effective duration is the approximate percentage change in price, for each 1% change in interest rates. Modified duration is a similar risk measure, but it ignores how changes in rates will impact cash flows on bonds with embedded options such as cal lab le notes, MBS, or ABS. Effective duration takes into account the impact that changing interest rates has on cash flows (i.e. if interest rates fall and a callable bond is more likely to be called prior to its final maturity, the effective duration will decrease). © 2015 PFM Asset Management LLC Sector Distribution 23 September 30, 2015 June 30, 2015 U.S. Treasury, $15,256,020 15% Federal Agency, $24,656,595 24% Corporate, $6,691,199 7% Negotiable CD, $1,000,000 1% Money Market Fund, $74,684 <1% Money Market Rate Account, $1,008,468 1%LAIF, $27,256,994 27% Cash, $25,253,909 25% City of San Luis Obispo Sector Distribution –Consolidated U.S. Treasury $18,577,019 19% Federal Agency $27,616,847 29% Commercial Paper $3,495,188 4% Corporate $7,188,665 8% Negotiable CD $1,000,000 1% Money Market Fund $164,058 <1% Money Market Rate Account $1,009,231 1% LAIF $17,276,262 18% Cash $18,939,594 20% © 2015 PFM Asset Management LLC *Sector distribution includes market value and excludes accrued interest. Maturity Distribution 24 0% 10% 20% 30% 40% 50% 60% 0 - 0.25 0.25 - 0.50 0.50 -1.00 1 - 2 2 - 3 3 - 4 4 - 5 Over 5 9/30/2015 6/30/2015 0 –0.25 0.25 –0.5 0.50 –1 1 –2 2 –3 3 –4 4 –5 Over 5 9/30/15 45.0%6.5%7.8%15.5%7.1%10.0%8.1%0.0% 6/30/15 54.4%4.4%9.1%9.9%9.0%6.6%6.6%0.0% City of San Luis Obispo Portfolio Maturity Distribution –Consolidated •Callable securities in portfolio are included in the maturity distribution analysis to their stated maturity date, although they may b e c alled prior to maturity. © 2015 PFM Asset Management LLC Issuers 25 Issuer Name Investment Type % Portfolio Cash Cash 19.88% U.S. Treasury U.S. Treasury 19.50% LAIF LAIF 18.13% FHLMC Federal Agency 10.18% FNMA Federal Agency 10.01% FHLB Federal Agency 5.86% FFCB Federal Agency 2.94% Bank of Tokyo Mitsubishi Commercial Paper 2.36% BNP Paribas NY Commercial Paper 1.31% Heritage Oaks Bank Money Market Rate Account 1.06% Microsoft Corp Corporate Note 1.06% Heritage Oaks Bank Negotiable CD 1.05% Procter & Gamble Corporate Note 0.97% IBM Corporate Note 0.79% Berkshire Hathaway Corporate Note 0.74% Wal -Mart Stores Corporate Note 0.74% Apple Inc Corporate Note 0.73% General Electric Corporate Note 0.73% Johnson & Johnson Corporate Note 0.72% Google Inc Corporate Note 0.55% Toyota Motor Credit Corp Corporate Note 0.52% Dreyfus Prime Cash Management Fund Money Market Fund 0.17% Total 100.00% As of September 30, 2015 City of San Luis Obispo Issuer Distribution –Consolidated © 2015 PFM Asset Management LLC Section IV. Portfolio Holdings C i t y o f S a n L u i s O b i s p o H o l d i n g s R e p o r t For the Quarter Ending September 30, 2015 Se c u r i t y D e s c r i p t i o n Se t t l e D a t e YTM a t Co s t P a r C o s t V a l u e A m o r t i z e d C o s t YTM a t Ma r k e t M a r k e t V a l u e * Acc r u e d In t e r e s t % o f Po r t f o l i o Un r e a l G / L Am o r t C o s t S&P/Moody'sYears to MaturityDuration LA I F LO C A L A G E N C Y I N V E S T M E N T FU N D Va r i o u s 0 . 32 % 1 7 , 2 7 6 , 2 6 2 . 0 0 17 , 2 7 6 , 2 6 2 . 0 0 17 , 2 7 6 , 2 6 2 . 0 0 0. 3 2 % 1 7 , 2 7 6 , 2 6 2 . 0 0 - 1 8 . 1 3 % - NR NR0.000.00 To t a l L A I F 0. 3 2 % 1 7 , 2 7 6 , 2 6 2 . 0 0 17 , 2 7 6 , 2 6 2 . 0 0 17 , 2 7 6 , 2 6 2 . 0 0 0. 3 2 % 1 7 , 2 7 6 , 2 6 2 . 0 0 - 1 8 . 1 3 % - NR NR0.000.00 Mo n e y M a r k e t F u n d DR E Y F U S P R I M E C A S H M A N A G E M N T M O N E Y MA R K E T F U N D Va r i o u s 0 . 0 0 % 1 6 4 , 0 5 7 . 6 2 16 4 , 0 5 7 . 6 2 16 4 , 0 5 7 . 6 2 0. 0 0 % 1 6 4 , 0 5 7 . 6 2 - 0 . 1 7 % - AAA Aaa0.000.00 To t a l M o n e y M a r k e t F u n d 0. 0 0 % 1 6 4 , 0 5 7 . 6 2 16 4 , 0 5 7 . 6 2 16 4 , 0 5 7 . 6 2 0. 0 0 % 1 6 4 , 0 5 7 . 6 2 - 0 . 1 7 % - AAA Aaa0.000.00 Ca s h CA S H A C C O U N T Va r i o u s 0 . 0 0 % 1 8 , 9 3 9 , 5 9 4 . 0 0 18 , 9 3 9 , 5 9 4 . 0 0 18 , 9 3 9 , 5 9 4 . 0 0 0. 0 0 % 1 8 , 9 3 9 , 5 9 4 . 0 0 - 1 9 . 8 8 % - NR NR0.000.00 CA S H H E R I T A G E O A K S B A N K M O N E Y M A R K E T RA T E A C C O U N T Va r i o u s 0 . 2 1 % 1 , 0 0 9 , 2 3 1 . 0 0 1, 0 0 9 , 2 3 1 . 0 0 1, 0 0 9 , 2 3 1 . 0 0 0. 2 1 % 1 , 0 0 9 , 2 3 1 . 0 0 - 1 . 0 6 % - NR NR0.000.00 To t a l C a s h 0. 0 1 % 1 9 , 9 4 8 , 8 2 5 . 0 0 19 , 9 4 8 , 8 2 5 . 0 0 19 , 9 4 8 , 8 2 5 . 0 0 0. 0 1 % 1 9 , 9 4 8 , 8 2 5 . 0 0 - 2 0 . 9 4 % - NR NR0.000.00 U. S . T r e a s u r y B o n d / N o t e US T R E A S U R Y N O T E S 91 2 8 2 8 P J 3 1 . 3 8 % D u e 1 1 / 3 0 / 2 0 1 5 5/ 1 6 / 2 0 1 1 1 . 6 3 % 1 , 0 5 5 , 0 0 0 . 0 0 1, 0 4 3 , 2 1 7 . 2 1 1, 0 5 4 , 5 6 0 . 6 3 0. 1 2 % 1 , 0 5 7 , 2 0 4 . 9 5 4, 8 7 5 . 0 5 1. 1 1 % 2 , 6 4 4 . 3 2 AA+Aaa0.170.17 US T R E A S U R Y N O T E S 91 2 8 1 0 D V 7 9 . 2 5 % D u e 2 / 1 5 / 2 0 1 6 2/ 1 5 / 1 9 8 6 9 . 2 5 % 1 , 0 0 0 , 0 0 0 . 0 0 1, 0 0 0 , 0 0 0 . 0 0 1, 0 0 0 , 0 0 0 . 0 0 0. 2 5 % 1 , 0 3 3 , 6 9 0 . 0 0 58 , 0 0 4 . 1 4 1. 0 9 % 3 3 , 6 9 0 . 0 0 AA+Aaa0.380.37 US T R E A S U R Y N O T E S 91 2 8 2 8 Q J 2 2 . 1 3 % D u e 2 / 2 9 / 2 0 1 6 5/ 1 9 / 2 0 1 1 1 . 7 4 % 4 5 0 , 0 0 0 . 0 0 45 7 , 9 9 9 . 6 5 45 0 , 7 2 0 . 2 9 0. 1 4 % 4 5 3 , 7 2 6 . 4 5 81 4 . 3 9 0. 4 8 % 3 , 0 0 6 . 1 6 AA+Aaa0.420.42 US T R E A S U R Y N O T E S 91 2 8 2 8 Q J 2 2 . 1 3 % D u e 2 / 2 9 / 2 0 1 6 8/ 3 0 / 2 0 1 1 0 . 8 2 % 6 0 0 , 0 0 0 . 0 0 63 4 , 5 4 8 . 8 9 60 3 , 2 3 5 . 3 6 0. 1 4 % 6 0 4 , 9 6 8 . 6 0 1, 0 8 5 . 8 5 0. 6 4 % 1 , 7 3 3 . 2 4 AA+Aaa0.420.42 US T R E A S U R Y N O T E S 91 2 8 2 8 U W 8 0 . 2 5 % D u e 4 / 1 5 / 2 0 1 6 4/ 2 4 / 2 0 1 3 0 . 3 4 % 9 0 0 , 0 0 0 . 0 0 89 7 , 6 4 7 . 5 5 89 9 , 5 7 2 . 7 2 0. 1 8 % 9 0 0 , 3 1 6 . 8 0 1, 0 3 8 . 9 3 0. 9 5 % 7 4 4 . 0 8 AA+Aaa0.540.54 US T R E A S U R Y N O T E S 91 2 8 2 8 V C 1 0 . 2 5 % D u e 5 / 1 5 / 2 0 1 6 9/ 2 6 / 2 0 1 3 0 . 5 4 % 7 0 0 , 0 0 0 . 0 0 69 4 , 6 9 7 . 6 6 69 8 , 7 4 1 . 7 2 0. 2 4 % 7 0 0 , 0 4 5 . 5 0 66 1 . 0 1 0. 7 3 % 1 , 3 0 3 . 7 8 AA+Aaa0.620.62 US T R E A S U R Y N O T E S 91 2 8 2 8 V L 1 0 . 6 3 % D u e 7 / 1 5 / 2 0 1 6 10 / 7 / 2 0 1 3 0 . 5 7 % 7 5 0 , 0 0 0 . 0 0 75 1 , 1 4 5 . 0 9 75 0 , 3 2 7 . 5 7 0. 3 2 % 7 5 1 , 7 7 7 . 5 0 99 3 . 5 5 0. 7 9 % 1 , 4 4 9 . 9 3 AA+Aaa0.790.79 US T R E A S U R Y N O T E S 91 2 8 2 8 S Y 7 0 . 6 3 % D u e 5 / 3 1 / 2 0 1 7 5/ 1 3 / 2 0 1 3 0 . 6 2 % 1 3 5 , 0 0 0 . 0 0 13 5 , 0 0 5 . 7 3 13 5 , 0 0 2 . 3 9 0. 5 8 % 1 3 5 , 1 0 0 . 1 7 28 3 . 5 6 0. 1 4 % 9 7 . 7 8 AA+Aaa1.671.65 US T R E A S U R Y N O T E S 91 2 8 2 8 T B 6 0 . 7 5 % D u e 6 / 3 0 / 2 0 1 7 9/ 1 7 / 2 0 1 3 1 . 1 8 % 5 7 5 , 0 0 0 . 0 0 56 5 , 8 8 2 . 7 9 57 0 , 7 4 2 . 7 1 0. 5 9 % 5 7 6 , 5 7 9 . 5 3 1, 0 8 9 . 8 4 0. 6 1 % 5 , 8 3 6 . 8 2 AA+Aaa1.751.73 US T R E A S U R Y N O T E S 91 2 8 2 8 U E 8 0 . 7 5 % D u e 1 2 / 3 1 / 2 0 1 7 8/ 1 3 / 2 0 1 3 1 . 2 8 % 6 2 5 , 0 0 0 . 0 0 61 1 , 0 6 1 . 6 6 61 7 , 7 5 4 . 3 1 0. 7 3 % 6 2 5 , 2 6 0 . 6 3 1, 1 8 4 . 6 1 0. 6 6 % 7 , 5 0 6 . 3 2 AA+Aaa2.252.22 US T R E A S U R Y N O T E S 91 2 8 2 8 U R 9 0 . 75 % D u e 2 / 28 / 2 0 1 8 4/ 2 4 / 2 0 1 4 1 . 3 2 % 9 2 5 , 0 0 0 . 0 0 90 5 , 1 6 6 . 1 8 91 2 , 4 4 6 . 6 2 0. 7 8 % 9 2 4 , 3 3 7 . 7 0 59 0 . 8 3 0. 9 7 % 1 1 , 8 9 1 . 0 8 AA+Aaa2.422.39 US T R E A S U R Y N O T E S 91 2 8 2 8 R H 5 1 . 3 8 % D u e 9 / 3 0 / 2 0 1 8 2/ 1 9 / 2 0 1 5 1 . 2 5 % 4 0 0 , 0 0 0 . 0 0 40 1 , 7 6 5 . 6 3 40 1 , 4 7 2 . 7 8 0. 9 4 % 4 0 5 , 1 7 7 . 2 0 15 . 0 3 0. 4 3 % 3 , 7 0 4 . 4 2 AA+Aaa3.002.94 US T R E A S U R Y N O T E S 91 2 8 2 8 R Y 8 1 . 3 8 % D u e 1 2 / 3 1 / 2 0 1 8 2/ 9 / 2 0 1 5 1 . 0 8 % 5 0 0 , 0 0 0 . 0 0 50 5 , 5 2 7 . 3 4 50 4 , 6 3 1 . 5 0 1. 0 2 % 5 0 5 , 6 5 1 . 0 0 1, 7 3 7 . 4 3 0. 5 3 % 1 , 0 1 9 . 5 0 AA+Aaa3.253.16 US T R E A S U R Y N O T E S 91 2 8 2 8 R Y 8 1 . 3 8 % D u e 1 2 / 3 1 / 2 0 1 8 3/ 2 4 / 2 0 1 5 1 . 1 7 % 1 , 0 0 0 , 0 0 0 . 0 0 1, 0 0 7 , 5 3 9 . 0 6 1, 0 0 6 , 5 1 5 . 8 2 1. 0 2 % 1 , 0 1 1 , 3 0 2 . 0 0 3, 4 7 4 . 8 6 1. 0 6 % 4 , 7 8 6 . 1 8 AA+Aaa3.253.16 US T R E A S U R Y N O T E S 91 2 8 2 8 R Y 8 1 . 3 8 % D u e 1 2 / 3 1 / 2 0 1 8 4/ 1 3 / 2 0 1 5 1 . 1 0 % 6 0 0 , 0 0 0 . 0 0 60 6 , 0 7 0 . 3 1 60 5 , 3 2 0 . 7 7 1. 0 2 % 6 0 6 , 7 8 1 . 2 0 2, 0 8 4 . 9 2 0. 6 4 % 1 , 4 6 0 . 4 3 AA+Aaa3.253.16 US T R E A S U R Y N O T E S 91 2 8 2 8 S D 3 1 . 2 5 % D u e 1 / 3 1 / 2 0 1 9 1/ 8 / 2 0 1 5 1 . 3 4 % 1 , 7 7 5 , 0 0 0 . 0 0 1, 7 6 8 , 9 6 7 . 7 7 1, 7 7 0 , 0 3 3 . 1 1 1. 0 5 % 1 , 7 8 6 , 7 8 7 . 7 8 3, 7 3 8 . 1 1 1. 8 8 % 1 6 , 7 5 4 . 6 7 AA+Aaa3.343.25 US T R E A S U R Y N O T E S 91 2 8 2 8 S H 4 1 . 3 8 % D u e 2 / 2 8 / 2 0 1 9 2/ 2 7 / 2 0 1 5 1 . 3 8 % 5 0 0 , 0 0 0 . 0 0 49 9 , 9 6 0 . 9 4 49 9 , 9 6 6 . 6 1 1. 0 7 % 5 0 5 , 1 3 6 . 5 0 58 5 . 5 1 0. 5 3 % 5 , 1 6 9 . 8 9 AA+Aaa3.423.33 US T R E A S U R Y N O T E S 91 2 8 2 8 T H 3 0 . 8 8 % D u e 7 / 3 1 / 2 0 1 9 7/ 1 5 / 2 0 1 5 1 . 4 6 % 1 , 2 7 5 , 0 0 0 . 0 0 1, 2 4 5 , 5 6 5 . 4 3 1, 2 4 7 , 0 7 4 . 8 9 1. 1 7 % 1 , 2 6 0 , 8 8 8 . 3 0 1, 8 7 9 . 5 9 1. 3 2 % 1 3 , 8 1 3 . 4 1 AA+Aaa3.843.75 US T R E A S U R Y N O T E S 91 2 8 2 8 U F 5 1 . 1 3 % D u e 1 2 / 3 1 / 2 0 1 9 1/ 8 / 2 0 1 5 1 . 4 8 % 7 7 5 , 0 0 0 . 0 0 76 1 , 8 9 1 . 6 0 76 3 , 7 5 7 . 6 4 1. 2 6 % 7 7 0 , 5 3 9 . 8 8 2,2 0 3 . 3 8 0. 8 1 % 6 , 7 8 2 . 2 4 AA+Aaa4.254.12 26 C i t y o f S a n L u i s O b i s p o H o l d i n g s R e p o r t For the Quarter Ending September 30, 2015 Se c u r i t y D e s c r i p t i o n Se t t l e D a t e YTM a t Co s t P a r C o s t V a l u e A m o r t i z e d C o s t YTM a t Ma r k e t M a r k e t V a l u e * Acc r u e d In t e r e s t % o f Po r t f o l i o Un r e a l G / L Am o r t C o s t S&P/Moody'sYears to MaturityDuration US T R E A S U R Y N O T E S 91 2 8 2 8 N D 8 3 . 5 0 % D u e 5 / 1 5 / 2 0 2 0 5/ 2 9 / 2 0 1 5 1 . 5 0 % 1 , 3 0 0 , 0 0 0 . 0 0 1, 4 2 3 , 5 5 0 . 7 8 1, 4 1 5 , 3 7 9 . 4 7 1. 3 5 % 1 , 4 2 5 , 1 4 1 . 9 0 17 , 1 8 6 . 1 4 1. 5 0 % 9 , 7 6 2 . 4 3 AA+Aaa4.634.25 US T R E A S U R Y N O T E 91 2 8 2 8 X H 8 1 . 6 3 % D u e 6 / 3 0 / 2 0 2 0 7/ 1 5 / 2 0 1 5 1 . 7 0 % 2 , 5 0 5 , 0 0 0 . 0 0 2, 4 9 6 , 1 9 3 . 3 6 2, 4 9 6 , 5 5 8 . 3 0 1. 3 5 % 2 , 5 3 6 , 6 0 5 . 5 9 10 , 2 8 7 . 1 8 2. 6 6 % 4 0 , 0 4 7 . 2 9 AA+Aaa4.754.54 To t a l U . S . T r e a s u r y Bo n d / N o t e 1. 72 % 1 8 , 3 4 5 , 0 0 0 . 0 0 18 , 4 1 3 , 4 0 4 . 6 3 18 , 4 0 3 , 8 1 5 . 2 1 0. 8 3 % 1 8 , 5 7 7 , 0 1 9 . 1 8 11 3 , 8 1 3 . 9 1 19 . 5 0 % 1 7 3 , 2 0 3 . 9 7 AA+Aaa2.692.60 Fe d e r a l A g e n c y B o n d / N o t e FF C B N O T E S 31 3 3 1 J 2 S 1 1 . 5 0 % D u e 1 1 / 1 6 / 2 0 1 5 3/ 2 5 / 2 0 1 1 2 . 2 0 % 4 0 2 , 0 0 0 . 0 0 38 9 , 6 4 0 . 9 1 40 1 , 6 5 1 . 9 8 0. 2 1 % 4 0 2 , 6 6 3 . 7 0 2, 2 6 1 . 2 5 0. 4 2 % 1 , 0 1 1 . 7 2 AA+Aaa0.130.13 FE D E R A L H O M E L O A N B A N K G L O B A L N O T E S 31 3 3 8 0 L 9 6 0 . 5 0 % D u e 1 1 / 2 0 / 2 0 1 5 6/ 2 7 / 2 0 1 3 0 . 5 3 % 7 0 0 , 0 0 0 . 0 0 69 9 , 4 4 7 . 0 0 69 9 , 9 6 8 . 4 7 0. 1 8 % 7 0 0 , 3 1 2 . 9 0 1, 2 7 3 . 6 1 0. 7 4 % 3 4 4 . 4 3 AA+Aaa0.140.14 FF C B N O T E S 31 3 3 1 J 6 C 2 2 . 3 5 % D u e 1 2 / 2 2 / 2 0 1 5 3/ 2 8 / 2 0 1 1 2 . 2 7 % 5 8 0 , 0 0 0 . 0 0 58 2 , 0 9 9 . 6 0 58 0 , 1 0 5 . 1 1 0. 2 4 % 5 8 2 , 7 8 5 . 1 6 3, 7 4 8 . 2 5 0. 6 1 % 2 , 6 8 0 . 0 5 AA+Aaa0.230.23 FH L B N O T E S 31 3 3 X X P 4 3 3 . 1 3 % D u e 3 / 1 1 / 2 0 1 6 8/ 1 0 / 2 0 1 1 1 . 1 2 % 9 6 5 , 0 0 0 . 0 0 1, 0 5 1 , 4 4 9 . 5 3 97 3 , 5 7 0 . 1 8 0. 3 0 % 9 7 7 , 1 8 9 . 8 8 1, 6 7 5 . 3 5 1. 0 3 % 3 , 6 1 9 . 7 0 AA+Aaa0.450.45 FF C B N O T E S 31 3 3 E A J U 3 1 . 0 5 % D u e 3 / 2 8 / 2 0 1 6 9/ 1 4 / 2 0 1 2 0 . 5 3 % 9 2 4 , 0 0 0 . 0 0 94 0 , 8 7 9 . 2 8 92 6 , 3 6 3 . 9 9 0. 2 1 % 9 2 7 , 8 2 0 . 7 4 80 . 8 5 0. 9 7 % 1 , 4 5 6 . 7 5 AA+Aaa0.490.49 FA N N I E M A E G L O B A L N O T E S 31 3 5 G 0 V A 8 0 . 5 0 % D u e 3 / 3 0 / 2 0 1 6 3/ 2 7 / 2 0 1 3 0 . 4 5 % 9 5 0 , 0 0 0 . 0 0 95 1 , 4 3 4 . 5 0 95 0 , 2 3 8 . 4 3 0. 24 % 9 5 1 , 2 2 1 . 7 0 13 . 1 9 1. 0 0 % 9 8 3 . 2 7 AA+Aaa0.500.50 FH L B N O T E S 31 3 3 7 0 T W 8 2 . 0 0 % D u e 9 / 9 / 2 0 1 6 10 / 2 4 / 2 0 1 3 0 . 6 7 % 2 8 0 , 0 0 0 . 0 0 29 0 , 5 5 0 . 4 0 28 3 , 4 6 7 . 8 8 0. 4 3 % 2 8 4 , 1 2 4 . 9 6 34 2 . 2 2 0. 3 0 % 6 5 7 . 0 8 AA+Aaa0.950.93 FA N N I E M A E N O T E S 31 3 5 G 0 E S 8 1 . 3 8 % D u e 1 1 / 1 5 / 2 0 1 6 3/ 1 4 / 2 0 1 2 1 . 2 1 % 9 8 5 , 0 0 0 . 0 0 99 2 , 5 4 5 . 1 0 98 6 , 8 5 2 . 8 5 0. 5 1 % 9 9 4 , 5 0 9 . 1 9 5, 1 1 6 . 5 3 1. 0 4 % 7 , 6 5 6 . 3 4 AA+Aaa1.131.11 FH L B N O T E S 31 3 0 A 3 J 7 0 0 . 6 3 % D u e 1 1 / 2 3 / 2 0 1 6 2/ 9 / 2 0 1 5 0 . 5 2 % 5 0 0 , 0 0 0 . 0 0 50 0 , 9 1 5 . 0 0 50 0 , 5 8 6 . 6 6 0. 5 0 % 5 0 0 , 7 3 8 . 0 0 1, 1 1 1 . 1 1 0. 5 3 % 1 5 1 . 3 4 AA+Aaa1.151.14 FH L B N O T E S 31 3 0 A 0 C 6 5 0 . 6 3 % D u e 1 2 / 2 8 / 2 0 1 6 7/ 1 5 / 2 0 1 5 0 . 5 4 % 1 , 2 4 5 , 0 0 0 . 0 0 1, 2 4 6 , 4 4 4 . 2 0 1, 2 4 6 , 2 3 5 . 0 5 0. 4 5 % 1 , 2 4 7 , 6 2 8 . 2 0 2, 0 1 0 . 1 6 1. 3 1 % 1 , 3 9 3 . 1 5 AA+Aaa1.251.24 FA N N I E M A E G L O B A L N O T E S 31 3 5 G 0 G Y 3 1 . 2 5 % D u e 1 / 3 0 / 2 0 1 7 2/ 2 7 / 2 0 1 2 1 . 0 7 % 8 0 0 , 0 0 0 . 0 0 80 7 , 0 1 6 . 0 0 80 1 , 9 3 1 . 8 9 0. 5 3 % 8 0 7 , 6 3 9 . 2 0 1, 6 9 4 . 4 4 0. 8 5 % 5 , 7 0 7 . 3 1 AA+Aaa1.341.32 FF C B N O T E S 31 3 3 1 K B X 7 2 . 8 8 % D u e 2 / 1 0 / 2 0 1 7 7/ 2 5 / 2 0 1 2 0 . 7 4 % 8 6 5 , 0 0 0 . 0 0 94 7 , 4 7 7 . 7 5 88 9 , 9 5 3 . 9 9 0. 6 2 % 8 9 1 , 3 5 7 . 4 2 3, 5 2 3 . 0 7 0. 9 4 % 1 , 4 0 3 . 4 3 AA+Aaa1.371.34 FR E D D I E M A C G L O B A L N O T E S 31 3 7 E A D C 0 1 . 0 0 % D u e 3 / 8 / 2 0 1 7 3/ 1 4 / 2 0 1 2 1 . 2 9 % 1 , 0 0 0 , 0 0 0 . 0 0 98 6 , 0 5 0 . 0 0 99 5 , 8 8 8 . 4 3 0. 5 6 % 1 , 0 0 6 , 3 5 5 . 0 0 63 8 . 8 9 1. 0 6 % 1 0 , 4 6 6 . 5 7 AA+Aaa1.441.43 FH L M C N O T E S 31 3 7 E A D F 3 1 . 2 5 % D u e 5 / 1 2 / 2 0 1 7 10 / 1 7 / 2 0 1 2 0 . 8 2 % 5 0 0 , 0 0 0 . 0 0 50 9 , 6 3 5 . 0 0 50 3 , 4 4 4 . 0 9 0. 5 9 % 5 0 5 , 3 3 1 . 5 0 2, 4 1 3 . 1 9 0. 5 3 % 1 , 8 8 7 . 4 1 AA+Aaa1.621.59 FN M A N O T E S ( E X - C A L L A B L E ) 31 3 6 F P Y B 7 2 . 0 5 % D u e 5 / 2 3 / 2 0 1 7 8/ 7 / 2 0 1 2 0 . 9 0 % 3 6 5 , 0 0 0 . 0 0 38 4 , 7 3 9 . 2 0 37 1 , 8 6 5 . 5 3 0. 7 0 % 3 7 3 , 0 4 2 . 7 8 2, 6 6 0 . 4 4 0. 3 9 % 1 , 1 7 7 . 2 5 AA+Aaa1.651.61 FH L B G L O B A L N O T E S 31 3 0 A 5 E P 0 0 . 6 3 % D u e 5 / 3 0 / 2 0 1 7 5/ 1 5 / 2 0 1 5 0 . 6 7 % 5 1 5 , 0 0 0 . 0 0 51 4 , 5 7 2 . 5 5 51 4 , 6 5 1 . 0 8 0. 6 2 % 5 1 5 , 0 5 2 . 0 2 1, 0 8 1 . 8 6 0. 5 4 % 4 0 0 . 9 4 AA+Aaa1.671.65 FE D E R A L H O M E L O A N B A N K G L O B A L N O T E S 31 3 3 7 9 D D 8 1 . 0 0 % D u e 6 / 2 1 / 2 0 1 7 11 / 2 6 / 2 0 1 2 0 . 7 0 % 7 0 0 , 0 0 0 . 0 0 70 9 , 4 7 8 . 0 0 70 3 , 6 0 7 . 5 9 0. 6 1 % 7 0 4 , 7 0 8 . 2 0 1, 9 4 4 . 4 4 0. 7 4 % 1 , 1 0 0 . 6 1 AA+Aaa1.731.71 FR E D D I E M A C G L O B A L N O T E S 31 3 7 E A D H 9 1 . 0 0 % D u e 6 / 2 9 / 2 0 1 7 7/ 3 0 / 2 0 1 2 0 . 8 5 % 7 7 5 , 0 0 0 . 0 0 78 0 , 6 7 3 . 0 0 77 7 , 0 4 1 . 0 9 0. 6 1 % 7 8 0 , 2 8 7 . 0 5 1, 9 8 0 . 5 6 0. 8 2 % 3 , 2 4 5 . 9 6 AA+Aaa1.751.73 FR E D D I E M A C G L O B A L N O T E S 31 3 7 E A D H 9 1 . 0 0 % D u e 6 / 2 9 / 2 0 1 7 12 / 1 4 / 2 0 1 2 0 . 7 4 % 1 3 5 , 0 0 0 . 0 0 13 6 , 5 8 7 . 6 0 13 5 , 6 1 6 . 0 3 0. 6 1 % 1 3 5 , 9 2 0 . 9 7 34 5 . 0 0 0. 1 4 % 3 0 4 . 9 4 AA+Aaa1.751.73 FR E D D I E M A C G L O B A L N O T E S 31 3 7 E A D J 5 1 . 0 0 % D u e 7 / 2 8 / 2 0 1 7 11 / 2 6 / 2 0 1 2 0 . 8 0 % 9 0 0 , 0 0 0 . 0 0 90 8 , 3 1 6 . 0 0 90 3 , 2 8 5 . 5 6 0. 6 3 % 9 0 6 , 0 8 7 . 6 0 1, 5 7 5 . 0 0 0. 9 5 % 2 , 8 0 2 . 0 4 AA+Aaa1.831.81 FR E D D I E M A C G L O B A L N O T E S 31 3 7 E A D J 5 1 . 0 0 % D u e 7 / 2 8 / 2 0 1 7 3/ 2 3 / 2 0 1 5 0 . 8 2 % 4 9 5 , 0 0 0 . 0 0 49 7 , 0 1 9 . 6 0 49 6 , 5 7 4 . 2 7 0. 6 3 % 4 9 8 , 3 4 8 . 1 8 86 6 . 2 5 0. 5 2 % 1 , 7 7 3 . 9 1 AA+Aaa1.831.81 FR E D D I E M A C G L O B A L N O T E S 31 3 7 E A D J 5 1 . 0 0 % D u e 7 / 2 8 / 2 0 1 7 7/ 1 5 / 2 0 1 5 0 . 7 6 % 1 , 2 3 5 , 0 0 0 . 0 0 1, 2 4 1 , 0 0 2 . 1 0 1, 2 4 0 , 3 8 4 . 1 4 0. 6 3 % 1 , 2 4 3 , 3 5 3 . 5 4 2, 1 6 1 . 2 5 1. 3 1 % 2 , 9 6 9 . 4 0 AA+Aaa1.831.81 FH L B N O T E S 31 3 0 A 6 2 S 5 0 . 7 5 % D u e 8 / 2 8 / 2 0 1 7 8/ 3 / 2 0 1 5 0 . 7 8 % 6 5 0 , 0 0 0 . 0 0 64 9 , 66 2 . 0 0 64 9 , 6 8 7 . 6 8 0. 7 0 % 6 5 0 , 5 6 7 . 4 5 44 6 . 8 8 0. 6 8 % 8 7 9 . 7 7 AA+Aaa1.911.89 FA N N I E M A E G L O B A L N O T E S 31 3 5 G 0 M Z 3 0 . 8 8 % D u e 8 / 2 8 / 2 0 1 7 6/ 2 0 / 2 0 1 4 1 . 1 0 % 6 2 5 , 0 0 0 . 0 0 62 0 , 6 8 7 . 5 0 62 2 , 4 0 7 . 0 2 0. 8 0 % 6 2 5 , 8 6 6 . 2 5 50 1 . 3 0 0. 6 6 % 3 , 4 5 9 . 2 3 AA+Aaa1.911.89 FR E D D I E M A C G L O B A L N O T E S 31 3 7 E A D L 0 1 . 0 0 % D u e 9 / 2 9 / 2 0 1 7 1/ 4 / 2 0 1 3 0 . 8 9 % 9 5 0 , 0 0 0 . 0 0 95 4 , 7 8 8 . 0 0 95 2 , 0 4 2 . 0 1 0. 6 9 % 9 5 5 , 7 4 9 . 4 0 52 . 7 8 1. 0 0 % 3 , 7 0 7 . 3 9 AA+Aaa2.001.98 FA N N I E M A E G L O B A L N O T E S 31 3 5 G 0 P Q 0 0 . 8 8 % D u e 1 0 / 2 6 / 2 0 1 7 6/ 2 0 / 2 0 1 4 1 . 1 7 % 6 2 5 , 0 0 0 . 0 0 61 8 , 9 8 7 . 5 0 62 1 , 2 5 9 . 4 9 0. 7 3 % 6 2 6 , 8 7 4 . 3 8 2, 3 5 4 . 6 0 0. 6 6 % 5 , 6 1 4 . 8 9 AA+Aaa2.072.04 27 C i t y o f S a n L u i s O b i s p o H o l d i n g s R e p o r t For the Quarter Ending September 30, 2015 Se c u r i t y D e s c r i p t i o n Se t t l e D a t e YTM a t Co s t P a r C o s t V a l u e A m o r t i z e d C o s t YTM a t Ma r k e t M a r k e t V a l u e * Acc r u e d In t e r e s t % o f Po r t f o l i o Un r e a l G / L Am o r t C o s t S&P/Moody'sYears to MaturityDuration FH L M C N O T E S 31 3 7 E A D N 6 0 . 7 5 % D u e 1 / 1 2 / 2 0 1 8 10 / 1 / 2 0 1 4 1 . 2 6 % 8 0 0 , 0 0 0 . 0 0 78 7 , 0 0 8 . 0 0 79 0 , 9 1 5 . 0 2 0. 7 9 % 7 9 9 , 3 2 9 . 6 0 1, 3 1 6 . 6 7 0. 8 4 % 8 , 4 1 4 . 5 8 AA+Aaa2.292.26 FR E D D I E M A C G L O B A L N O T E S 31 3 7 E A D P 1 0 . 8 8 % D u e 3 / 7 / 2 0 1 8 11 / 2 0 / 2 0 1 4 1 . 2 0 % 9 0 0 , 0 0 0 . 0 0 89 0 , 4 6 9 . 0 0 89 2 , 9 3 2 . 4 4 0. 8 4 % 9 0 0 , 7 6 3 . 2 0 52 5 . 0 0 0. 9 5 % 7 , 8 3 0 . 7 6 AA+Aaa2.442.40 FA N N I E M A E G L O B A L N O T E S 31 3 5 G 0 W J 8 0 . 8 8 % D u e 5 / 2 1 / 2 0 1 8 4/ 2 4 / 2 0 1 4 1 . 4 6 % 4 3 0 , 0 0 0 . 0 0 42 0 , 0 9 4 . 5 2 42 3 , 5 2 0 . 0 8 0. 9 0 % 4 2 9 , 7 4 1 . 5 7 1, 3 5 8 . 6 8 0. 4 5 % 6 , 2 2 1 . 4 9 AA+Aaa2.642.60 FN M A N O T E S 31 3 5 G 0 E 3 3 1 . 1 3 % D u e 7 / 2 0 / 2 0 1 8 7/ 1 5 / 2 0 1 5 1 . 1 7 % 1 , 2 5 0 , 0 0 0 . 0 0 1, 2 4 8 , 3 2 5 . 0 0 1, 2 4 8 , 4 4 0 . 3 1 0. 9 5 % 1 , 2 5 5 , 9 9 0 . 0 0 2, 7 7 3 . 4 4 1. 3 2 % 7 , 5 4 9 . 6 9 AA+Aaa2.812.75 FR E D D I E M A C N O T E S 31 3 7 E A D G 1 1 . 7 5 % D u e 5 / 3 0 / 2 0 1 9 8/ 4 / 2 0 1 4 1 . 6 7 % 9 0 0 , 0 0 0 . 0 0 90 3 , 4 2 0 . 0 0 90 2 , 6 2 8 . 7 3 1. 1 8 % 9 1 8 , 2 8 3 . 5 0 5, 2 9 3 . 7 5 0. 9 6 % 1 5 , 6 5 4 . 7 7 AA+Aaa3.673.53 FN M A N O T E S 31 3 5 G 0 Z E 6 1 . 7 5 % D u e 6 / 2 0 / 2 0 1 9 8/ 5 / 2 0 1 4 1 . 7 4 % 3 5 0 , 0 0 0 . 0 0 35 0 , 2 2 7 . 5 0 35 0 , 1 7 7 . 1 8 1. 2 1 % 3 5 6 , 8 6 5 . 6 0 1, 7 1 8 . 4 0 0. 3 7 % 6 , 6 8 8 . 4 2 AA+Aaa3.723.58 FN M A N O T E S 31 3 5 G 0 Z E 6 1 . 7 5 % D u e 6 / 2 0 / 2 0 1 9 10 / 2 / 2 0 1 4 1 . 7 7 % 5 0 0 , 0 0 0 . 0 0 49 9 , 6 3 0 . 0 0 49 9 , 7 0 9 . 4 9 1. 2 1 % 5 0 9 , 8 0 8 . 0 0 2, 4 5 4 . 8 6 0. 5 4 % 1 0 , 0 9 8 . 5 1 AA+Aaa3.723.58 FN M A N O T E S 31 3 5 G 0 Z E 6 1 . 7 5 % D u e 6 / 2 0 / 2 0 1 9 11 / 2 1 / 2 0 1 4 1 . 7 1 % 1 0 0 , 0 0 0 . 0 0 10 0 , 1 5 7 . 0 0 10 0 , 1 2 8 . 8 1 1. 2 1 % 1 0 1 , 9 6 1 . 6 0 49 0 . 9 7 0. 1 1 % 1 , 8 3 2 . 7 9 AA+Aaa3.723.58 FR E D D I E M A C G L O B A L N O T E S 31 3 7 E A D K 2 1 . 2 5 % D u e 8 / 1 / 2 0 1 9 9/ 1 5 / 2 0 1 4 1 . 8 8 % 1 , 0 5 0 , 0 0 0 . 0 0 1, 0 1 9 , 0 7 7 . 5 0 1, 0 2 5 , 4 7 0 . 4 9 1. 2 7 % 1 , 0 4 9 , 3 8 5 . 7 5 2, 18 7 . 5 0 1. 1 0 % 2 3 , 9 1 5 . 2 6 AA+Aaa3.843.73 FN M A N O T E S 31 3 5 G 0 Z G 1 1 . 7 5 % D u e 9 / 1 2 / 2 0 1 9 2/ 9 / 2 0 1 5 1 . 3 6 % 5 0 0 , 0 0 0 . 0 0 50 8 , 6 6 5 . 0 0 50 7 , 4 8 2 . 7 5 1. 2 9 % 5 0 8 , 8 7 2 . 5 0 46 1 . 8 1 0. 5 3 % 1 , 3 8 9 . 7 5 AA+Aaa3.953.81 FN M A N O T E S 31 3 5 G 0 A 7 8 1 . 6 3 % D u e 1 / 2 1 / 2 0 2 0 4/ 3 0 / 2 0 1 5 1 . 5 4 % 1 , 2 7 0 , 0 0 0 . 0 0 1, 2 7 4 , 8 8 9 . 5 0 1, 2 7 4 , 4 7 8 . 1 5 1. 3 8 % 1 , 2 8 3 , 0 9 3 . 7 0 4, 0 1 2 . 8 5 1. 3 5 % 8 , 6 1 5 . 5 5 AA+Aaa4.314.14 FN M A N O T E S 31 3 5 G 0 A 7 8 1 . 6 3 % D u e 1 / 2 1 / 2 0 2 0 6/ 2 9 / 2 0 1 5 1 . 7 1 % 7 0 0 , 0 0 0 . 0 0 69 7 , 2 9 8 . 0 0 69 7 , 4 4 6 . 6 5 1. 3 8 % 7 0 7 , 2 1 7 . 0 0 2, 2 1 1 . 8 1 0. 7 4 % 9 , 7 7 0 . 3 5 AA+Aaa4.314.14 To t a l F e d e r a l A g e n c y Bo n d / N o t e 1 . 09 % 2 7 , 4 1 6 , 0 0 0 . 0 0 27 , 6 1 1 , 3 5 8 . 3 4 27 , 4 4 2 , 0 1 0 . 5 9 0. 7 1 % 2 7 , 6 1 6 , 8 4 7 . 3 9 66 , 6 7 8 . 2 1 28 . 9 9 % 1 7 4 , 8 3 6 . 8 0 AA+Aaa1.981.94 Ne g o t i a b l e C D HE R I T A G E O A K S B A N K Y A N K E E C D 0. 2 7 % D u e 1 2 / 2 0 / 2 0 1 5 12 / 2 0 / 2 0 1 4 0 . 2 7 % 1 , 0 0 0 , 0 0 0 . 0 0 1, 0 0 0 , 0 0 0 . 0 0 1, 0 0 0 , 0 0 0 . 0 0 0. 2 7 % 1 , 0 0 0 , 0 0 0 . 0 0 1, 4 2 5 . 0 0 1. 0 5 % - NR NR0.220.22 To t a l N e g o t i a b l e C D 0. 2 7 % 1 , 0 0 0 , 0 0 0 . 0 0 1, 0 0 0 , 0 0 0 . 0 0 1, 0 0 0 , 0 0 0 . 0 0 0. 2 7 % 1 , 0 0 0 , 0 0 0 . 0 0 1, 4 2 5 . 0 0 1. 0 5 % - NR NR0.220.22 Co m m e r c i a l P a p e r BA N K O F T O K Y O M I T S U B I S H I U F J C O M M P A P E R 06 5 3 8 C Y Q 8 0 . 0 0 % D u e 1 1 / 2 4 / 2 0 1 5 8/ 2 6 / 2 0 1 5 0 . 3 2 % 1 , 0 0 0 , 0 0 0 . 0 0 99 9 , 2 0 0 . 0 0 99 9 , 5 2 0 . 0 0 0. 2 2 % 9 9 9 , 6 5 9 . 0 0 - 1 . 0 5 % 1 3 9 . 0 0 A-1 P-10.150.15 BA N K O F T O K Y O M I T S U F J L T D C O M M P A P E R 06 5 3 8 B A B 9 0 . 0 0 % D u e 1 / 1 1 / 2 0 1 6 7/ 1 5 / 2 0 1 5 0 . 4 0 % 1 , 2 5 0 , 0 0 0 . 0 0 1, 2 4 7 , 5 0 0 . 0 0 1, 2 4 8 , 5 8 3 . 3 4 0. 3 3 % 1 , 2 4 8 , 8 3 7 . 5 0 - 1 . 3 1 % 2 5 4 . 1 6 A-1 P-10.280.28 BN P P A R I B A S N Y B R A N C H C O M M P A P E R 09 6 5 9 B D 8 0 0 . 0 0 % D u e 4 / 8 / 2 0 1 6 7/ 1 5 / 2 0 1 5 0 . 5 7 % 1 , 2 5 0 , 0 0 0 . 0 0 1, 2 4 4 , 6 9 5 . 8 3 1, 2 4 6 , 2 3 9 . 5 8 0. 5 0 % 1 , 2 4 6 , 6 9 1 . 2 5 - 1 . 3 1 % 4 5 1 . 6 7 A-1 P-10.520.52 To t a l C o m m e r c i a l P a p e r 0. 4 4 % 3 , 5 0 0 , 0 0 0 . 0 0 3, 4 9 1 , 3 9 5 . 8 3 3, 4 9 4 , 3 4 2 . 9 2 0. 3 6 % 3 , 4 9 5 , 1 8 7 . 7 5 - 3 . 6 7 % 8 4 4 . 8 3 A-1 P-10.330.33 Co r p o r a t e N o t e GE N E R A L E L E C T R I C C O N O T E S 36 9 6 0 4 B E 2 0 . 8 5 % D u e 1 0 / 9 / 2 0 1 5 4/ 2 4 / 2 0 1 3 0 . 5 9 % 7 0 0 , 0 0 0 . 0 0 70 4 , 5 1 5 . 0 0 70 0 , 0 4 1 . 0 5 0. 6 3 % 7 0 0 , 0 3 8 . 5 0 2, 8 4 2 . 7 8 0. 7 3 % ( 2 . 5 5 ) AA+A10.020.90 WA L - M A R T S T O R E S I N C G L O B A L N O T E S 93 1 1 4 2 D E 0 0 . 6 0 % D u e 4 / 1 1 / 2 0 1 6 6/ 2 7 / 2 0 1 3 0 . 8 1 % 7 0 0 , 0 0 0 . 0 0 69 6 , 0 1 7 . 0 0 69 9 , 2 3 9 . 6 4 0. 4 0 % 7 0 0 , 7 4 3 . 4 0 1, 9 8 3 . 3 3 0. 7 4 % 1 , 5 0 3 . 7 6 AA Aa20.530.53 AP P L E I N C G L O B A L N O T E S 03 7 8 3 3 A H 3 0 . 4 5 % D u e 5 / 3 / 2 0 1 6 5/ 1 3 / 2 0 1 3 0 . 5 5 % 7 0 0 , 0 0 0 . 0 0 69 8 , 0 0 5 . 0 0 69 9 , 6 0 2 . 2 4 0. 4 0 % 7 0 0 , 1 9 0 . 4 0 1, 2 9 5 . 0 0 0. 7 3 % 5 8 8 . 1 6 AA+Aa10.590.59 JO H N S O N & J O H N S O N G L O B A L N O T E 47 8 1 6 0 A Y 0 2 . 1 5 % D u e 5 / 1 5 / 2 0 1 6 1/ 1 5 / 2 0 1 3 0 . 5 8 % 6 7 5 , 0 0 0 . 0 0 70 9 , 8 7 0 . 5 0 68 1 , 5 5 9 . 6 4 0. 3 4 % 6 8 2 , 6 0 9 . 9 5 5, 4 8 2 . 5 0 0. 7 2 % 1 , 0 5 0 . 3 1 AAA Aaa0.620.62 GO O G L E I N C G L O B A L N O T E S 38 2 5 9 P A C 6 2 . 1 3 % D u e 5 / 1 9 / 2 0 1 6 4/ 2 3 / 2 0 1 2 0 . 9 1 % 5 2 3 , 0 0 0 . 0 0 54 8 , 3 6 0 . 2 7 52 7 , 0 0 4 . 7 9 0. 4 9 % 5 2 8 , 4 3 3 . 9 7 4, 0 7 5 . 0 4 0. 5 5 % 1 , 4 2 9 . 1 8 AA Aa20.640.63 PR O C T E R & G A M B L E C O N O T E S ( E X - C A L L A B L E ) 74 2 7 1 8 D V 8 1 . 4 5 % D u e 8 / 1 5 / 2 0 1 6 8/ 3 / 2 0 1 2 0 . 8 2 % 9 1 5 , 0 0 0 . 0 0 93 7 , 8 9 3 . 3 0 92 0 , 0 1 3 . 9 1 0. 4 6 % 9 2 2 , 9 1 2 . 0 1 1, 6 9 5 . 2 9 0. 9 7 % 2 , 8 9 8 . 1 0 AA-Aa30.880.87 BE R K S H I R E H A T H A W A Y F I N G L O B A L N O T E S 08 4 6 6 4 B S 9 1 . 6 0 % D u e 5 / 1 5 / 2 0 1 7 4/ 2 4 / 2 0 1 3 1 . 0 0 % 7 0 0 , 0 0 0 . 0 0 71 6 , 7 6 5 . 0 0 70 6 , 7 8 2 . 2 7 0. 98 % 7 0 7 , 0 2 3 . 1 0 4, 2 3 1 . 1 1 0. 7 4 % 2 4 0 . 8 3 AA Aa21.621.59 IB M C O R P N O T E S 45 9 2 0 0 H Z 7 1 . 1 3 % D u e 2 / 6 / 2 0 1 8 2/ 9 / 2 0 1 5 1 . 1 6 % 7 5 0 , 0 0 0 . 0 0 74 9 , 3 1 7 . 5 0 74 9 , 4 6 2 . 7 6 1. 2 3 % 7 4 8 , 1 8 5 . 0 0 1, 2 8 9 . 0 6 0. 7 9 % ( 1 , 2 7 7 . 7 6 ) AA-Aa32.362.31 28 C i t y o f S a n L u i s O b i s p o H o l d i n g s R e p o r t For the Quarter Ending September 30, 2015 Se c u r i t y D e s c r i p t i o n Se t t l e D a t e YTM a t Co s t P a r C o s t V a l u e A m o r t i z e d C o s t YTM a t Ma r k e t M a r k e t V a l u e * Acc r u e d In t e r e s t % o f Po r t f o l i o Un r e a l G / L Am o r t C o s t S&P/Moody'sYears to MaturityDuration TO Y O T A M O T O R C R E D I T C O R P 89 2 3 6 T C P 8 1 . 5 5 % D u e 7 / 1 3 / 2 0 1 8 7/ 1 3 / 2 0 1 5 1 . 5 8 % 4 9 0 , 0 0 0 . 0 0 48 9 , 5 8 3 . 5 0 48 9 , 6 1 2 . 9 9 1. 3 8 % 4 9 2 , 2 3 1 . 4 6 1, 6 4 5 . 5 8 0. 5 2 % 2 , 6 1 8 . 4 7 AA-Aa32.792.71 MI C R O S O F T C O R P N O T E 59 4 9 1 8 A Y 0 1 . 8 5 % D u e 2 / 1 2 / 2 0 2 0 4/ 1 3 / 2 0 1 5 1 . 5 8 % 1 , 0 0 0 , 0 0 0 . 0 0 1, 0 1 2 , 5 7 0 . 0 0 1, 0 1 1 , 4 0 3 . 2 8 1. 7 0 % 1 , 0 0 6 , 2 9 7 . 0 0 2, 5 1 8 . 0 6 1. 0 6 % ( 5 , 1 0 6 . 2 8 ) AAA Aaa4.374.17 To t a l C o r p o r a t e N o t e 0. 9 6 % 7 , 1 5 3 , 0 0 0 . 0 0 7, 2 6 2 , 8 9 7 . 0 7 7, 1 8 4 , 7 2 2 . 5 7 0. 8 2 % 7 , 1 8 8 , 6 6 4 . 7 9 27 , 0 5 7 . 7 5 7. 5 5 % 3 , 9 4 2 . 2 2 AA Aa21.541.58 To t a l P o r t f o l i o 0. 8 0 % 9 4 , 8 0 3 , 1 4 4 . 6 2 95 , 1 6 8 , 2 0 0 . 4 9 94 , 9 1 4 , 0 3 5 . 9 1 0. 5 1 % 9 5 , 2 6 6 , 8 6 3 . 7 3 20 8 , 9 7 4 . 8 7 1 0 0 . 0 0 % 3 5 2 , 8 2 7 . 8 2 AA+1.231.20 To t a l M a r k e t V a l u e P l u s A c c r u e d 95 , 4 7 5 , 8 3 8 . 6 0 *G e n e r a l l y , P F M ’ s m a r k e t p r i c e s a r e d e r i v e d f r om c l o s i n g b i d p r i c e s a s o f t h e l a s t b u s i n e s s d a y o f t h e m o n t h a s s u p p l i e d b y I n t er a c t i v e D a t a , B l o o m b e r g o r T e l e r a t e . W h e r e p r i c e s a r e n o t a v a i l a b l e f r o m g e n e r a l l y r e c o g n i z e d s o u r c e s t h e s e c u r i t i e s a r e pr i c e d u s i n g a y i e l d - b a s e d m a t r i x s y s t e m t o a r r i v e a t a n e s t i m a t ed m a r k e t v a l u e . P r i c e s t h a t fa l l b e t w e e n d a t a p o i n t s a r e i n t e r po l a t e d . N o n - n e g o t i a b l e F D I C - i n s u r e d b a n k c e r t i f i c a t e s o f d e p o s i t ar e p r i c e d a t p a r . A l t h o u g h P F M b e l i e v e s t h e p r i c e s t o b e re l i a b l e , t h e v a l u e s o f t h e s e c u r i t i e s d o n o t a l w a y s r e p r e s e n t t h e p r i c e s a t w h i c h t h e s e c u r i t i e s c o u l d h a v e b e e n b o u g h t o r s o l d. 29 Section V. Monthly Transactions For the Month Ending July 31, 2015Managed Account Security Transactions & Interest CITY OF SAN LUIS OBISPO OPERATING FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/LRealized G/L Sale Amort Cost Method BUY 07/13/15 TOYOTA MOTOR CREDIT CORP DTD 07/13/2015 1.550% 07/13/2018 89236TCP8 (489,583.50) 0.00 (489,583.50) 490,000.00 07/08/15 07/15/15 FREDDIE MAC GLOBAL NOTES DTD 06/25/2012 1.000% 07/28/2017 3137EADJ5 (1,241,002.10)(5,729.03)(1,246,731.13) 1,235,000.00 07/13/15 07/15/15 US TREASURY NOTES DTD 07/31/2012 0.875% 07/31/2019 912828TH3 (1,245,565.43)(5,085.03)(1,250,650.46) 1,275,000.00 07/13/15 07/15/15 US TREASURY NOTE DTD 06/30/2015 1.625% 06/30/2020 912828XH8 (2,496,193.36)(1,659.22)(2,497,852.58) 2,505,000.00 07/13/15 07/15/15 FHLB NOTES DTD 11/15/2013 0.625% 12/28/2016 3130A0C65 (1,246,444.20)(367.45)(1,246,811.65) 1,245,000.00 07/13/15 07/15/15 BANK OF TOKYO MITS UFJ LTD COMM PAPER -- 0.000% 01/11/2016 06538BAB9 (1,247,500.00) 0.00 (1,247,500.00) 1,250,000.00 07/13/15 07/15/15 BNP PARIBAS NY BRANCH COMM PAPER -- 0.000% 04/08/2016 09659BD80 (1,244,695.83) 0.00 (1,244,695.83) 1,250,000.00 07/13/15 07/15/15 FNMA NOTES DTD 06/08/2015 1.125% 07/20/2018 3135G0E33 (1,248,325.00)(1,445.31)(1,249,770.31) 1,250,000.00 07/13/15 08/03/15 FHLB NOTES DTD 07/24/2015 0.750% 08/28/2017 3130A62S5 (649,662.00)(121.88)(649,783.88) 650,000.00 07/31/15 (14,407.92)(11,123,379.34)(11,108,971.42) 11,150,000.00 Transaction Type Sub-Total INTEREST 07/12/15 FHLMC NOTES DTD 11/21/2012 0.750% 01/12/2018 3137EADN6 0.00 3,000.00 3,000.00 800,000.00 07/12/15 07/15/15 US TREASURY NOTES DTD 07/15/2013 0.625% 07/15/2016 912828VL1 0.00 2,343.75 2,343.75 750,000.00 07/15/15 07/20/15 FNMA NOTES DTD 06/08/2015 1.125% 07/20/2018 3135G0E33 0.00 1,640.63 1,640.63 1,250,000.00 07/20/15 07/21/15 FNMA NOTES DTD 01/12/2015 1.625% 01/21/2020 3135G0A78 0.00 10,318.75 10,318.75 1,270,000.00 07/21/15 07/21/15 FNMA NOTES DTD 01/12/2015 1.625% 01/21/2020 3135G0A78 0.00 5,687.50 5,687.50 700,000.00 07/21/15 30 For the Month Ending July 31, 2015Managed Account Security Transactions & Interest CITY OF SAN LUIS OBISPO OPERATING FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method INTEREST 07/28/15 FREDDIE MAC GLOBAL NOTES DTD 06/25/2012 1.000% 07/28/2017 3137EADJ5 0.00 2,475.00 2,475.00 495,000.00 07/28/15 07/28/15 FREDDIE MAC GLOBAL NOTES DTD 06/25/2012 1.000% 07/28/2017 3137EADJ5 0.00 4,500.00 4,500.00 900,000.00 07/28/15 07/28/15 FREDDIE MAC GLOBAL NOTES DTD 06/25/2012 1.000% 07/28/2017 3137EADJ5 0.00 6,175.00 6,175.00 1,235,000.00 07/28/15 07/30/15 FANNIE MAE GLOBAL NOTES DTD 01/09/2012 1.250% 01/30/2017 3135G0GY3 0.00 5,000.00 5,000.00 800,000.00 07/30/15 07/31/15 US TREASURY NOTES DTD 01/31/2012 1.250% 01/31/2019 912828SD3 0.00 11,093.75 11,093.75 1,775,000.00 07/31/15 07/31/15 US TREASURY NOTES DTD 07/31/2012 0.875% 07/31/2019 912828TH3 0.00 5,578.13 5,578.13 1,275,000.00 07/31/15 07/31/15 US TREASURY NOTES DTD 08/02/2010 1.750% 07/31/2015 912828NP1 0.00 4,375.00 4,375.00 500,000.00 07/31/15 62,187.51 62,187.51 0.00 11,750,000.00 Transaction Type Sub-Total MATURITY 07/31/15 US TREASURY NOTES DTD 08/02/2010 1.750% 07/31/2015 912828NP1 500,000.00 0.00 500,000.00 3,357.70 0.00 500,000.00 07/31/15 0.00 0.00 3,357.70 500,000.00 500,000.00 500,000.00 Transaction Type Sub-Total SELL 07/13/15 FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 3135G0WJ8 493,866.45 625.63 494,492.08 10,269.27 6,925.78 SPEC LOT 495,000.00 07/08/15 625.63 6,925.78 10,269.27 494,492.08 493,866.45 495,000.00 Transaction Type Sub-Total (10,115,104.97) 48,405.22 (10,066,699.75) 13,626.97 6,925.78 Managed Account Sub-Total Total Security Transactions $13,626.97 ($10,066,699.75)$48,405.22 ($10,115,104.97)$6,925.78 Bolded items are forward settling trades. 31 For the Month Ending August 31, 2015Managed Account Security Transactions & Interest CITY OF SAN LUIS OBISPO OPERATING FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/LRealized G/L Sale Amort Cost Method BUY 08/03/15 FHLB NOTES DTD 07/24/2015 0.750% 08/28/2017 3130A62S5 (649,662.00)(121.88)(649,783.88) 650,000.00 07/31/15 08/26/15 BANK OF TOKYO MITSUBISHI UFJ COMM PAPER -- 0.000% 11/24/2015 06538CYQ8 (999,200.00) 0.00 (999,200.00) 1,000,000.00 08/25/15 (121.88)(1,648,983.88)(1,648,862.00) 1,650,000.00 Transaction Type Sub-Total INTEREST 08/01/15 FREDDIE MAC GLOBAL NOTES DTD 07/30/2012 1.250% 08/01/2019 3137EADK2 0.00 6,562.50 6,562.50 1,050,000.00 08/01/15 08/06/15 IBM CORP NOTES DTD 02/06/2015 1.125% 02/06/2018 459200HZ7 0.00 4,218.75 4,218.75 750,000.00 08/06/15 08/10/15 FFCB NOTES DTD 02/10/2011 2.875% 02/10/2017 31331KBX7 0.00 12,434.38 12,434.38 865,000.00 08/10/15 08/12/15 MICROSOFT CORP NOTE DTD 02/12/2015 1.850% 02/12/2020 594918AY0 0.00 9,250.00 9,250.00 1,000,000.00 08/12/15 08/15/15 PROCTER & GAMBLE CO NOTES (EX-CALLABLE) DTD 08/15/2011 1.450% 08/15/2016 742718DV8 0.00 6,633.75 6,633.75 915,000.00 08/15/15 08/17/15 FFCB NOTES DTD 02/17/2012 0.550% 08/17/2015 3133EADW5 0.00 2,750.00 2,750.00 1,000,000.00 08/17/15 08/28/15 FANNIE MAE GLOBAL NOTES DTD 07/20/2012 0.875% 08/28/2017 3135G0MZ3 0.00 2,734.38 2,734.38 625,000.00 08/28/15 08/28/15 FHLB NOTES DTD 07/24/2015 0.750% 08/28/2017 3130A62S5 0.00 460.42 460.42 650,000.00 08/28/15 08/31/15 US TREASURY NOTES DTD 02/28/2011 2.125% 02/29/2016 912828QJ2 0.00 4,781.25 4,781.25 450,000.00 08/31/15 08/31/15 US TREASURY NOTES DTD 02/29/2012 1.375% 02/28/2019 912828SH4 0.00 3,437.50 3,437.50 500,000.00 08/31/15 08/31/15 US TREASURY NOTES DTD 02/28/2011 2.125% 02/29/2016 912828QJ2 0.00 6,375.00 6,375.00 600,000.00 08/31/15 08/31/15 US TREASURY NOTES DTD 02/28/2013 0.750% 02/28/2018 912828UR9 0.00 3,468.75 3,468.75 925,000.00 08/31/15 32 For the Month Ending August 31, 2015Managed Account Security Transactions & Interest CITY OF SAN LUIS OBISPO OPERATING FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/LRealized G/L Sale Amort Cost Method 63,106.68 63,106.68 0.00 9,330,000.00 Transaction Type Sub-Total MATURITY 08/17/15 FFCB NOTES DTD 02/17/2012 0.550% 08/17/2015 3133EADW5 1,000,000.00 0.00 1,000,000.00 1,489.00 0.00 1,000,000.00 08/17/15 0.00 0.00 1,489.00 1,000,000.00 1,000,000.00 1,000,000.00 Transaction Type Sub-Total (648,862.00) 62,984.80 (585,877.20) 1,489.00 0.00 Managed Account Sub-Total Total Security Transactions $1,489.00 ($585,877.20)$62,984.80 ($648,862.00)$0.00 33 For the Month Ending September 30, 2015Managed Account Security Transactions & Interest CITY OF SAN LUIS OBISPO OPERATING FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/LRealized G/L Sale Amort Cost Method INTEREST 09/07/15 FREDDIE MAC GLOBAL NOTES DTD 01/17/2013 0.875% 03/07/2018 3137EADP1 0.00 3,937.50 3,937.50 900,000.00 09/07/15 09/08/15 FREDDIE MAC GLOBAL NOTES DTD 01/30/2012 1.000% 03/08/2017 3137EADC0 0.00 5,000.00 5,000.00 1,000,000.00 09/08/15 09/09/15 FHLB NOTES DTD 08/26/2010 2.000% 09/09/2016 313370TW8 0.00 2,800.00 2,800.00 280,000.00 09/09/15 09/11/15 FHLB NOTES DTD 03/16/2010 3.125% 03/11/2016 3133XXP43 0.00 15,078.13 15,078.13 965,000.00 09/11/15 09/12/15 FNMA NOTES DTD 07/28/2014 1.750% 09/12/2019 3135G0ZG1 0.00 4,375.00 4,375.00 500,000.00 09/12/15 09/28/15 FFCB NOTES DTD 03/28/2012 1.050% 03/28/2016 3133EAJU3 0.00 4,851.00 4,851.00 924,000.00 09/28/15 09/29/15 FREDDIE MAC GLOBAL NOTES DTD 08/10/2012 1.000% 09/29/2017 3137EADL0 0.00 4,750.00 4,750.00 950,000.00 09/29/15 09/30/15 FANNIE MAE GLOBAL NOTES DTD 02/15/2013 0.500% 03/30/2016 3135G0VA8 0.00 2,375.00 2,375.00 950,000.00 09/30/15 09/30/15 US TREASURY NOTES DTD 09/30/2011 1.375% 09/30/2018 912828RH5 0.00 2,750.00 2,750.00 400,000.00 09/30/15 45,916.63 45,916.63 0.00 6,869,000.00 Transaction Type Sub-Total 0.00 45,916.63 45,916.63 Managed Account Sub-Total Total Security Transactions $45,916.63 $45,916.63 $0.00 34