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HomeMy WebLinkAboutSLO_Quarterly Report_123115_finalCity of San Luis Obispo Investment Report Period Ending December 31, 2015 PFM Asset Management LLC 50 California Street, Suite 2300 San Francisco, CA 94111 (415) 982-5544 © 2016 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 0% 1% 2% 3% 4% 5% 6% 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Fed Funds Target Rate •After holding short-term rates near 0% for 7 years, the Fed raised the fed funds rate in mid-December. At Last! An Increase in the Fed Funds Target Rate Source: Bloomberg 1© 2016 PFM Asset Management LLC Details from the Fed’s Statement Source: Federal Reserve December 16 •A range of recent labor market indicators, including ongoing job gains and declining unemployment, shows further improvement and confirms that underutilization of labor resources has diminished appreciably since early this year. •Inflation has continued to run below the Committee’s 2% longer-run objective, partly reflecting declines in energy prices and in prices of non- energy imports . . . Some survey-based measures of longer-term inflation expectations have edged down . . . [the Committee] is reasonably confident that inflation will rise, over the medium term, to its 2% objective. •Given the economic outlook, and recognizing the time it takes for policy actions to affect future economic outcomes, the Committee decided to raise the target range for the federal funds rate to 0.25 –0.50%. . . the stance of monetary policy remains accommodative. •In light of the current shortfall of inflation from 2%, the Committee will carefully monitor actual and expected progress toward its inflation goal. The Committee expects that economic conditions will evolve in a manner that will warrant only gradual increases in the federal funds rate. © 2016 PFM Asset Management LLC 2 FOMC “Dot Plot” from December Meeting 0 1 2 3 4 5 FOMC “Dot Plot” from December Meeting Minutes Dec-15 Jun-15 Median Sep-15 Median Dec-15 Median Fed Funds Futures 2018 Longer Term Source: FOMC; fed funds futures as of December 17, 2015. % % % % % % •The “Dot Plot” shows expectations for four 0.25% hikes in 2016. However, the dots have consistently overstated actual movements. 2015 2016 2017 © 2016 PFM Asset Management LLC 3 0.40% 0.50% 0.60% 0.70% 0.80% 0.90% 1.00% 1.10% 12/31/14 3/31/15 6/30/15 9/30/15 12/31/15 U.S. Treasury Yields Climb Higher Source: Bloomberg 2-Year U.S. Treasury Yield December 31, 2014 –December 31, 2015 •Yields on 2-year Treasuries increased dramatically during the fourth quarter as the market priced in an increase in the fed funds target rate. Market prices in rate hike FOMC statement hints at increase © 2016 PFM Asset Management LLC 4 U.S. Treasury Yields Increased Across the Curve 12/31/14 9/30/15 12/31/15 4th Quarter Change 3 Month 0.04%-0.02%0.17%+0.19% 6 Month 0.12%0.07%0.48%+0.41% 1 Year 0.22%0.31%0.60%+0.29% 2 Year 0.67%0.63%1.05%+0.42% 3 Year 1.15%0.96%1.40%+0.44% 5 Year 1.65%1.36%1.76%+0.40% 10 Year 2.17%2.04%2.27%+0.23% 30 Year 2.75%2.85%3.02%+0.17% U.S. Treasury Yield Curve Source: Bloomberg •During the quarter, yields increased across the curve but moved up the most in the intermediate area of the curve. -0.20% 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 1.60% 1.80% 2.00% 3M 6M 1Y 2Y 3Y 5Y Yi e l d Maturity U.S. Treasury Yield Curves December 31, 2014 September 30, 2015 December 31, 2015 © 2016 PFM Asset Management LLC 5 0.6% 3.9% 2.0% 0.7% -2.0% -1.0% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% Qo Q % C h a n g e ; Se a s o n a l l y Ad j u s t e d A n n u a l i z e d R a t e U.S. GDP U.S. Economic Growth Slowed in Fourth Quarter •U.S. GDP growth slowed to an estimated 0.7% in the fourth quarter as consumers cut back on spending and businesses reduced investment. •For 2015, GDP expanded 2.4% for a second year in a row, led by the biggest gain in consumer spending in a decade. Source: Bureau of Economic Analysis; Bloomberg Bloomberg Survey of Economists Q 1 Q 2 Q 3 Q 4 Q 1 Q 2 Q 3 Q 4 Q 1 Q 2 Q 3 Q 4 Q 1 Q 2 Q 3 Q 4 Q 1 Q 2 Q 3 Q 4 Q 1 Q 2 Q 3 Q 4 2011 2012 2013 2014 2015 2016 © 2016 PFM Asset Management LLC 6 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 0K 100K 200K 300K 400K 500K Dec '10 Jun '11 Dec '11 Jun '12 Dec '12 Jun '13 Dec '13 Jun '14 Dec '14 Jun '15 Dec '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 Market Close to Full Employment •The U.S. economy added 2.7 million net new jobs in 2015. •The U.S. unemployment fell to 5%, which is considered to be near “full employment.” Source: Bureau of Labor Statistics, Bloomberg Unemployment Rate: 5.0% © 2016 PFM Asset Management LLC 7 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 8© 2016 PFM Asset Management LLC •A conservative duration bias for much of the quarter mitigated the impact of rising rates on the market value of the City’s portfolio and aided the portfolio’s performance relative to the benchmark. •In December, we extended the portfolio duration by purchasing bonds in the 3-4 year maturity range to take advantage of the new, higher interest rates. •Corporate yield spreads tightened in the fourth quarter resulting in the sector’s significant outperformance over Treasuries and federal agencies. •The yield relationship between U.S. Treasury and federal agency securities remained stable throughout the fourth quarter. Our relative value analysis of these sectors continued to favor investments in U.S. Treasuries. We shifted 4% of the portfolio into U.S. Treasury securities. Fourth Quarter 2015 Recap © 2016 PFM Asset Management LLC 9 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 10 •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. © 2016 PFM Asset Management LLC City of San Luis Obispo –PFM Managed Portfolio Characteristics 12/31/15 9/30/15 Benchmark Portfolio Portfolio Average Maturity (years)2.22 2.22 2.09 Effective Duration*2.14 2.15 2.04 Average Purchase Yield N/A 1.13%1.09% Average Market Yield 1.10%1.17%0.75% Average Quality AA+AA+/Aaa AA+/Aaa Total Market Value 55,742,488 56,008,087 Account Profile 11 •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 maturity, the effective duration will decrease). © 2016 PFM Asset Management LLC Sector Distribution 12 December 31, 2015 September 30, 2015 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% City of San Luis Obispo Sector Distribution –PFM Managed *Sector distribution includes market value and excludes accrued interest. U.S. Treasury $20,392,762 36% Federal Agency $26,583,895 48% Commercial Paper $2,245,028 4% Corporate $6,462,611 12% Money Market Fund $58,192 <1% © 2016 PFM Asset Management LLC Issuers 13 Issuer Name Investment Type % Portfolio U.S. Treasury U.S. Treasury 36.58% FHLMC Federal Agency 18.49% FNMA Federal Agency 17.25% FHLB Federal Agency 8.71% FFCB Federal Agency 3.25% BNP Paribas NY Commercial Paper 2.24% Microsoft Corp Corporate Note 1.80% Bank of Tokyo Mitsubishi Commercial Paper 1.79% Procter & Gamble Corporate Note 1.65% IBM Corporate Note 1.34% Berkshire Hathaway Corporate Note 1.26% Wal-Mart Stores Corporate Note 1.26% Apple Inc Corporate Note 1.26% 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 0.10% Total 100.00% As of December 31, 2015 City of San Luis Obispo Issuer Distribution –PFM Managed © 2016 PFM Asset Management LLC Quality Distribution 14 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% AAA AA A <A A-1 NR 12/31/2015 9/30/2015 AAA AA A <A A-1 NR 9/30/2015 3.1%92.9%0.0%0.0%4.0%0.0% 6/30/2015 3.3%90.5%0.0%0.0%6.2%0.0% City of San Luis Obispo Credit Quality –PFM Managed December 31, 2015 vs. September 30, 2015 Ratings by Standard & Poor’s © 2016 PFM Asset Management LLC Maturity Distribution 15 0% 5% 10% 15% 20% 25% 0 - 0.25 0.25 - 0.50 0.50 -1.00 1 - 2 2 - 3 3 - 4 4 - 5 Portfolio Benchmark 0 –0.25 0.25 –0.5 0.50 –1 1 –2 2 –3 3 –4 4 –5 Portfolio 5.5%11.6%8.4%22.5%13.4%21.0%17.6% Benchmark 6.9%6.5%12.6%23.8%20.7%17.6%12.0% 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 December 31, 2015. © 2016 PFM Asset Management LLC Investment Performance 16 City of San Luis Obispo Total Return Period Ending December 31, 2015 Total Rate of Return -0.60% -0.40% -0.20% 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 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. 3 Months Periodic 6 Months Periodic Since Inception City of San Luis Obispo -0.45%0.19%0.84% 0-5 Yr.Treasury Index -0.53%0.04%0.81% © 2016 PFM Asset Management LLC Portfolio Earnings Analysis 17© 2016 PFM Asset Management LLC Notes: •Performance on trade-date basis, gross (i.e., before fees) in accordance with the CFA Institute’s Global Investment Performance Standards (GIPS). •Quarterly returns are presented on an unannualized basis. Q1 2015 Q2 2015 Q3 2015 Q4 2015 Past Year Total Interest and Realized Gain/Loss 154,071 142,084 155,209 156,838 608,202 + Change in market value 143,413 (143,241)192,962 (408,166)(215,032) = Total Return $297,484 (1,157)348,171 (251,328)393,170 Total Return %0.65%0.00%0.64%-0.45%0.84% Portfolio Earnings Analysis As of December 31, 2015 2016 Outlook and Strategy •We expect that the U.S. economy will continue to expand at a moderate pace, bolstered by gains in the job market and consumer spending. However, the global economy faces significant headwinds, particularly in emerging market economies. •The Federal Reserve has signaled that future rate increases will be gradual and likely tied to “actual progress” towards the Fed’s inflation target. •We will continue to manage duration with a conservative bias in an effort to protect the market value of the portfolio in light of the bias toward higher rates by the end of 2016. •The corporate sector continues to add significant value to the City’s portfolio. We will continue to carefully monitor the impact of global growth concerns on the corporate sector as a whole and on specific issuers. •We will continue to monitor the yield relationship between federal agency and Treasury securities, looking to add federal agencies when their additional yields over Treasuries offer value. 18© 2016 PFM Asset Management LLC City of San Luis Obispo -Internal Portfolio Characteristics 9/30/15 9/30/15 Portfolio Portfolio Average Maturity (years)0.03 0.02 Effective Duration*0.03 0.02 Average Purchase Yield 0.51%0.40% Average Market Yield 0.30%0.16% Average Quality AA+/Aaa AA+/Aaa Total Market Value 42,979,255 39,258,777 Account Profile 19 *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 maturity, the effective duration will decrease). © 2016 PFM Asset Management LLC Sector Distribution 20 LAIF $17,291,222 40% U.S. Treasury $1,010,060 2% Money Market Rate Account $1,009,995 2% Negotiable CD $1,000,000 2% Cash $22,667,978 53% December 31, 2015 September 30, 2015 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 3% Cash $18,939,594 48% City of San Luis Obispo Sector Distribution –Internal *Sector distribution includes market value and excludes accrued interest. © 2016 PFM Asset Management LLC Issuers 21 As of December 31, 2015 City of San Luis Obispo Issuer Distribution –Internal Issuer Name Investment Type % Portfolio Cash Cash 52.74% LAIF LAIF 40.23% U.S. Treasury U.S. Treasury 2.35% Heritage Oaks Bank Money Market Rate Account 2.35% Heritage Oaks Bank Negotiable CD 2.33% Total 100.00% © 2016 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 22 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. © 2016 PFM Asset Management LLC City of San Luis Obispo -Consolidated Portfolio Characteristics 12/31/15 9/30/15 Portfolio Portfolio Average Maturity (years)1.27 1.24 Effective Duration*1.23 1.21 Average Purchase Yield 0.86%0.81% Average Market Yield 0.79%0.51% Average Quality AA+/Aaa AA+/Aaa Total Market Value 98,721,742 95,266,864 Account Profile 23 *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 maturity, the effective duration will decrease). © 2016 PFM Asset Management LLC Sector Distribution 24 December 31, 2015 September 30, 2015 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% City of San Luis Obispo Sector Distribution –Consolidated U.S. Treasury $21,402,822 22% Federal Agency $26,583,895 27% Commercial Paper $2,245,028 2% Corporate $6,462,611 7% Negotiable CD $1,000,000 1% Money Market Fund $58,192 <1% Money Market Rate Account $1,009,995 1% LAIF $17,291,222 18% Cash $22,667,978 23% *Sector distribution includes market value and excludes accrued interest. © 2016 PFM Asset Management LLC Maturity Distribution 25 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 0 - 0.25 0.25 - 0.50 0.50 -1.00 1 - 2 2 - 3 3 - 4 4 - 5 12/31/2015 9/30/2015 0 –0.25 0.25 –0.5 0.50 –1 1 –2 2 –3 3 –4 4 –5 12/31/2015 45.6%6.5%5.8%12.7%7.6%11.9%9.9% 9/30/2015 45.0%6.5%7.8%15.5%7.1%10.0%8.1% 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 be called prior to maturity. © 2016 PFM Asset Management LLC Issuers 26 Issuer Name Investment Type % Portfolio Cash Cash 22.96% U.S. Treasury U.S. Treasury 21.68% LAIF LAIF 17.52% FHLMC Federal Agency 10.44% FNMA Federal Agency 9.74% FHLB Federal Agency 4.92% FFCB Federal Agency 1.83% BNP Paribas NY Commercial Paper 1.26% Heritage Oaks Bank Money Market Rate Account 1.02% Microsoft Corp Corporate Note 1.01% Heritage Oaks Bank Negotiable CD 1.01% Bank of Tokyo Mitsubishi Commercial Paper 1.01% Procter & Gamble Corporate Note 0.93% IBM Corporate Note 0.75% Berkshire Hathaway Corporate Note 0.71% Wal-Mart Stores Corporate Note 0.71% Apple Inc Corporate Note 0.71% Johnson & Johnson Corporate Note 0.69% Google Inc Corporate Note 0.53% Toyota Motor Credit Corp Corporate Note 0.50% Dreyfus Prime Cash Management Fund Money Market Fund 0.06% Total 100.00% As of December 31, 2015 City of San Luis Obispo Issuer Distribution –Consolidated © 2016 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 December 31, 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 . 37 % 1 7 , 2 9 1 , 2 2 1 . 6 5 17 , 2 9 1 , 2 2 1 . 6 5 17 , 2 9 1 , 2 2 1 . 6 5 0. 3 2 % 1 7 , 2 9 1 , 2 2 1 . 6 5 - 1 7 . 5 2 % - NR NR0.000.00 To t a l L A I F 0. 3 7 % 1 7 , 2 9 1 , 2 2 1 . 6 5 17 , 2 9 1 , 2 2 1 . 6 5 17 , 2 9 1 , 2 2 1 . 6 5 0. 3 2 % 1 7 , 2 9 1 , 2 2 1 . 6 5 - 1 7 . 5 2 % - 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 % 5 8 , 1 9 1 . 7 3 58 , 1 9 1 . 7 3 58 , 1 9 1 . 7 3 0. 0 0 % 5 8 , 1 9 1 . 7 3 - 0 . 0 6 % - 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 % 5 8 , 1 9 1 . 7 3 58 , 1 9 1 . 7 3 58 , 1 9 1 . 7 3 0. 0 0 % 5 8 , 1 9 1 . 7 3 - 0 . 0 6 % - AAA Aaa0.000.00 Ca s h CA S H A C C O U N T Va r i o u s 0 . 2 5 % 2 2 , 6 6 7 , 9 7 8 . 3 8 22 , 6 6 7 , 9 7 8 . 3 8 22 , 6 6 7 , 9 7 8 . 3 8 0. 2 5 % 2 2 , 6 6 7 , 9 7 8 . 3 8 - 2 2 . 9 6 % - 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 5 % 1 , 0 0 9 , 9 9 4 . 5 2 1, 0 0 9 , 9 9 4 . 5 2 1, 0 0 9 , 9 9 4 . 5 2 0. 2 5 % 1 , 0 0 9 , 9 9 4 . 5 2 - 1 . 0 2 % - NR NR0.000.00 To t a l C a s h 0. 2 5 % 2 3 , 6 7 7 , 9 7 2 . 9 0 23 , 6 7 7 , 9 7 2 . 9 0 23 , 6 7 7 , 9 7 2 . 9 0 0. 2 5 % 2 3 , 6 7 7 , 9 7 2 . 9 0 - 2 3 . 9 8 % - 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 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 1. 1 5 % 1 , 0 1 0 , 0 6 0 . 0 0 34 , 6 8 7 . 5 0 1. 0 2 % 1 0 , 0 6 0 . 0 0 AA+Aaa0.130.12 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 % 1 5 0 , 0 0 0 . 0 0 15 8 , 6 3 7 . 2 2 15 0 , 3 1 6 . 0 4 0. 4 4 % 1 5 0 , 4 1 5 . 9 5 1, 0 7 7 . 0 9 0. 1 5 % 9 9 . 9 1 AA+Aaa0.160.16 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 , 7 7 2 . 2 4 0. 3 2 % 8 9 9 , 8 2 4 . 5 0 47 9 . 5 1 0. 9 1 % 5 2 . 2 6 AA+Aaa0.290.29 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 9 , 2 4 9 . 6 7 0. 4 4 % 6 9 9 , 5 0 7 . 9 0 22 5 . 9 6 0. 7 1 % 2 5 8 . 2 3 AA+Aaa0.370.37 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 , 2 2 3 . 8 4 0. 6 1 % 7 5 0 , 0 5 8 . 5 0 2, 1 6 5 . 4 2 0. 7 6 % ( 1 6 5 . 3 4 ) AA+Aaa0.540.54 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 . 0 3 0. 9 4 % 1 3 4 , 4 0 4 . 1 1 73 . 7 7 0. 1 4 % ( 5 9 7 . 9 2 ) AA+Aaa1.421.40 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 1 , 3 4 5 . 8 2 0. 9 6 % 5 7 3 , 2 0 3 . 1 3 11 . 8 5 0. 5 8 % 1 , 8 5 7 . 3 1 AA+Aaa1.501.49 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 8 , 5 4 9 . 1 7 1. 0 9 % 6 2 0 , 7 7 6 . 2 5 12 . 8 8 0. 6 3 % 2 , 2 2 7 . 0 8 AA+Aaa2.001.98 US T R E A S U R Y N O T E S 91 2 8 2 8 U R 9 0 . 7 5 % D u e 2 / 2 8 / 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 3 , 7 4 2 . 6 5 1. 1 5 % 9 1 7 , 1 2 2 . 7 0 2, 3 4 4 . 2 7 0. 9 3 % 3 , 3 8 0 . 0 5 AA+Aaa2.162.13 US T R E A S U R Y N O T E S 91 2 8 2 8 U R 9 0 . 7 5 % D u e 2 / 2 8 / 2 0 1 8 12 / 9 / 2 0 1 5 1 . 0 6 % 8 0 , 0 0 0 . 0 0 79 , 4 5 6 . 2 5 79 , 4 7 1 . 5 8 1. 1 5 % 7 9 , 3 1 8 . 7 2 20 2 . 7 5 0. 0 8 % ( 1 5 2 . 8 6 ) AA+Aaa2.162.13 US T R E A S U R Y N O T E S 91 2 8 2 8 L 4 0 1 . 00 % D u e 9 / 15 / 2 0 1 8 10 / 1 4 / 2 0 1 5 0 . 9 2 % 7 0 0 , 0 0 0 . 0 0 70 1 , 6 6 7 . 9 7 70 1 , 5 4 5 . 9 0 1. 2 7 % 6 9 5 , 0 2 3 . 7 0 2, 0 7 6 . 9 2 0. 7 0 % ( 6 , 5 2 2 . 2 0 ) AA+Aaa2.712.65 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 , 3 5 1 . 1 8 1. 2 6 % 4 0 1 , 2 5 0 . 0 0 1, 3 9 7 . 5 4 0. 4 1 % ( 1 0 1 . 1 8 ) AA+Aaa2.752.68 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 , 2 8 1 . 0 6 1. 3 5 % 5 0 0 , 3 7 1 . 0 0 18 . 8 9 0. 5 1 % ( 3 , 9 1 0 . 0 6 ) AA+Aaa3.002.93 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 , 0 2 3 . 4 9 1. 3 5 % 1 , 0 0 0 , 7 4 2 . 0 0 37 . 7 7 1. 0 1 % ( 5 , 2 8 1 . 4 9 ) AA+Aaa3.002.93 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 4 , 9 1 8 . 2 7 1. 3 5 % 6 0 0 , 4 4 5 . 2 0 22 . 6 6 0. 6 1 % ( 4 , 4 7 3 . 0 7 ) AA+Aaa3.002.93 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 , 3 9 8 . 0 5 1. 3 6 % 1 , 7 6 9 , 0 3 7 . 7 8 9, 2 8 4 . 9 9 1. 7 9 % ( 1 , 3 6 0 . 2 7 ) AA+Aaa3.093.00 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 9 . 0 3 1. 4 0 % 4 9 9 , 6 6 8 . 0 0 2, 3 2 3 . 1 5 0. 5 1 % ( 3 0 1 . 0 3 ) AA+Aaa3.163.07 US T R E A S U R Y N O T E S 91 2 8 2 8 D 2 3 1 . 6 3 % D u e 4 / 3 0 / 2 0 1 9 12 / 3 0 / 2 0 1 5 1 . 4 4 % 1 , 2 0 0 , 0 0 0 . 0 0 1, 2 0 7 , 0 7 8 . 1 3 1, 2 0 7 , 0 6 6 . 8 4 1. 4 5 % 1 , 2 0 6 , 9 8 4 . 0 0 3, 3 2 1 . 4 3 1. 2 2 % ( 8 2 . 8 4 ) AA+Aaa3.333.23 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 8 , 8 4 8 . 7 7 1. 5 2 % 1 , 2 4 6 , 2 1 3 . 0 5 4, 66 8 . 6 5 1. 2 6 % ( 2 , 6 3 5 . 7 2 ) AA+Aaa3.583.50 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 December 31, 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 F 3 9 1 . 7 5 % D u e 9 / 3 0 / 2 0 1 9 10 / 1 4 / 2 0 1 5 1 . 2 5 % 8 0 0 , 0 0 0 . 0 0 81 5 , 3 7 5 . 0 0 81 4 , 5 5 6 . 1 4 1. 5 6 % 8 0 5 , 4 0 6 . 4 0 3, 5 5 7 . 3 8 0. 8 2 % ( 9 , 1 4 9 . 7 4 ) AA+Aaa3.753.60 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 4 , 3 9 9 . 0 7 1. 6 2 % 7 6 0 , 2 8 7 . 4 0 23 . 9 5 0. 7 7 % ( 4 , 1 1 1 . 6 7 ) AA+Aaa4.003.89 US T R E A S U R Y N O T E S 91 2 8 2 8 U Q 1 1 . 2 5 % D u e 2 / 2 9 / 2 0 2 0 11 / 9 / 2 0 1 5 1 . 5 8 % 1 , 3 2 5 , 0 0 0 . 0 0 1, 3 0 7 , 0 4 0 . 0 4 1, 3 0 7 , 6 3 1 . 6 1 1. 6 6 % 1 , 3 0 3 , 3 1 3 . 7 3 5, 5 9 6 . 6 7 1. 3 2 % ( 4 , 3 1 7 . 8 8 ) AA+Aaa4.174.02 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 0 9 , 3 0 7 . 4 6 1. 7 1 % 1 , 3 9 7 , 6 0 1 . 4 0 5, 8 7 5 . 0 0 1. 4 2 % ( 1 1 , 7 0 6 . 0 6 ) AA+Aaa4.384.05 US T R E A S U R Y N O T E S 91 2 8 2 8 V F 4 1 . 3 8 % D u e 5 / 3 1 / 2 0 2 0 12 / 4 / 2 0 1 5 1 . 5 6 % 9 0 0 , 0 0 0 . 0 0 89 2 , 7 9 2 . 9 7 89 2 , 9 1 2 . 0 8 1. 7 1 % 8 8 7 , 0 6 2 . 5 0 1, 0 8 1 . 9 7 0. 9 0 % ( 5 , 8 4 9 . 5 8 ) AA+Aaa4.424.26 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 , 9 8 8 . 7 8 1. 7 2 % 2 , 4 9 4 , 7 2 4 . 4 9 11 1 . 8 3 2. 5 3 % ( 2 , 2 6 4 . 2 9 ) AA+Aaa4.504.32 To t a l U . S . T r e a s u r y Bo n d / N o t e 1. 66 % 2 1 , 3 9 5 , 0 0 0 . 0 0 21 , 4 3 9 , 6 8 6 . 4 6 21 , 4 4 7 , 8 7 0 . 7 7 1. 3 4 % 2 1 , 4 0 2 , 8 2 2 . 4 1 80 , 6 7 9 . 8 0 21 . 6 8 % ( 4 5 , 0 4 8 . 3 6 ) AA+Aaa2.952.85 Fe d e r a l A g e n c y B o n d / N o t e 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 96 8 , 7 4 9 . 4 6 0. 4 5 % 9 6 9 , 9 8 6 . 1 6 9, 2 1 4 . 4 1 0. 9 8 % 1 , 2 3 6 . 7 0 AA+Aaa0.190.20 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 5 , 1 6 1 . 9 6 0. 41 % 9 2 5 , 4 1 0 . 0 2 2, 5 0 6 . 3 5 0. 9 4 % 2 4 8 . 0 6 AA+Aaa0.240.24 FA N N I E M A E G L O B A L N O T E S 31 3 5 G 0 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 , 1 1 8 . 5 5 0. 4 7 % 9 5 0 , 0 7 3 . 1 5 1, 2 0 0 . 6 9 0. 9 6 % ( 4 5 . 4 0 ) AA+Aaa0.250.25 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 2 , 5 4 6 . 1 4 0. 7 7 % 2 8 2 , 3 5 1 . 7 2 1, 7 4 2 . 2 2 0. 2 9 % ( 1 9 4 . 4 2 ) AA+Aaa0.690.68 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 , 4 4 2 . 1 3 0. 8 4 % 9 8 9 , 5 7 3 . 3 6 1, 7 3 0 . 5 9 1. 0 0 % 3 , 1 3 1 . 2 3 AA+Aaa0.880.87 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 , 4 5 8 . 8 0 0. 8 5 % 4 9 9 , 0 2 0 . 5 0 32 9 . 8 6 0. 5 1 % ( 1 , 4 3 8 . 3 0 ) AA+Aaa0.900.89 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 5 , 9 8 7 . 3 5 0. 8 5 % 1 , 2 4 2 , 2 7 0 . 9 6 64 . 8 4 1. 2 6 % ( 3 , 7 1 6 . 3 9 ) AA+Aaa0.990.99 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 , 5 7 1 . 0 8 0. 9 0 % 8 0 3 , 0 0 0 . 0 0 4, 1 9 4 . 4 4 0. 8 1 % 1 , 4 2 8 . 9 2 AA+Aaa1.081.07 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 5 , 3 7 9 . 8 5 0. 9 2 % 8 8 3 , 6 1 0 . 4 8 9, 7 4 0 . 2 6 0. 9 0 % ( 1 , 7 6 9 . 3 7 ) AA+Aaa1.121.08 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 6 , 5 9 9 . 3 7 0. 9 3 % 1 , 0 0 0 , 8 2 9 . 0 0 3, 1 3 8 . 8 9 1. 0 1 % 4 , 2 2 9 . 6 3 AA+Aaa1.191.17 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 2 , 9 1 3 . 4 5 1. 1 4 % 5 0 0 , 7 7 3 . 0 0 85 0 . 6 9 0. 5 1 % ( 2 , 1 4 0 . 4 5 ) AA+Aaa1.361.35 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 0 , 8 2 8 . 3 0 1. 0 1 % 3 7 0 , 2 5 9 . 2 9 78 9 . 8 2 0. 3 8 % ( 5 6 9 . 0 1 ) AA+Aaa1.391.37 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 , 7 0 3 . 2 5 0. 9 6 % 5 1 2 , 5 8 9 . 8 0 27 7 . 1 7 0. 5 2 % ( 2 , 1 1 3 . 4 5 ) AA+Aaa1.411.41 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 , 0 8 6 . 8 7 1. 0 4 % 6 9 9 , 6 1 2 . 9 0 19 4 . 4 4 0. 7 1 % ( 3 , 4 7 3 . 9 7 ) AA+Aaa1.471.46 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 6 , 7 5 0 . 6 7 1. 0 1 % 7 7 4 , 9 2 3 . 2 8 43 . 0 6 0. 7 8 % ( 1 , 8 2 7 . 3 9 ) AA+Aaa1.501.48 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 , 5 2 8 . 2 9 1. 0 1 % 1 3 4 , 9 8 6 . 6 4 7. 5 0 0 . 1 4 % ( 5 4 1 . 6 5 ) AA+Aaa1.501.48 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 2 , 8 3 8 . 4 2 1. 1 1 % 8 9 8 , 5 0 3 . 3 0 3, 8 2 5 . 0 0 0. 9 1 % ( 4 , 3 3 5 . 1 2 ) AA+Aaa1.581.55 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 , 3 6 0 . 0 8 1. 1 1 % 4 9 4 , 1 7 6 . 8 2 2, 1 0 3 . 7 5 0. 5 0 % ( 2 , 1 8 3 . 2 6 ) AA+Aaa1.581.55 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, 24 1 , 0 0 2 . 1 0 1, 2 3 9 , 6 5 1 . 1 7 1. 1 1 % 1 , 2 3 2 , 9 4 6 . 2 0 5, 2 4 8 . 7 5 1. 2 5 % ( 6 , 7 0 4 . 9 7 ) AA+Aaa1.581.55 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 , 6 6 2 . 0 0 64 9 , 7 2 8 . 3 5 1. 0 6 % 6 4 6 , 7 4 0 . 9 0 1, 6 6 5 . 6 3 0. 6 6 % ( 2 , 9 8 7 . 4 5 ) AA+Aaa1.661.64 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 , 7 4 3 . 8 0 1. 0 8 % 6 2 2 , 8 7 0 . 6 3 1, 8 6 8 . 4 9 0. 6 3 % 1 2 6 . 8 3 AA+Aaa1.661.64 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 1 , 7 8 7 . 7 5 1. 1 6 % 9 4 7 , 3 8 3 . 7 0 2, 4 2 7 . 7 8 0. 9 6 % ( 4 , 4 0 4 . 0 5 ) AA+Aaa1.751.72 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 December 31, 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 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 , 7 0 6 . 9 3 1. 1 0 % 6 2 2 , 4 1 8 . 7 5 98 7 . 4 1 0. 6 3 % 7 1 1 . 8 2 AA+Aaa1.821.80 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 1 , 8 9 7 . 3 1 1. 1 5 % 7 9 3 , 5 6 1 . 6 0 2, 8 1 6 . 6 7 0. 8 0 % 1 , 6 6 4 . 2 9 AA+Aaa2.042.00 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 3 , 6 4 9 . 6 4 1. 2 0 % 8 9 3 , 6 8 4 . 7 0 2, 4 9 3 . 7 5 0. 9 1 % 3 5 . 0 6 AA+Aaa2.182.15 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 4 , 1 2 3 . 3 3 1. 2 7 % 4 2 5 , 9 6 9 . 1 8 41 8 . 0 6 0. 4 3 % 1 , 8 4 5 . 8 5 AA+Aaa2.392.35 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 11 / 3 0 / 2 0 1 5 1 . 1 8 % 1 6 5 , 0 0 0 . 0 0 16 3 , 7 7 0 . 7 5 16 3 , 8 1 3 . 0 3 1. 2 7 % 1 6 3 , 4 5 3 . 2 9 16 0 . 4 2 0. 1 7 % ( 3 5 9 . 7 4 ) AA+Aaa2.392.35 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 , 5 7 7 . 2 8 1. 2 9 % 1 , 2 4 4 , 9 0 1 . 2 5 6, 2 8 9 . 0 6 1. 2 6 % ( 3 , 6 7 6 . 0 3 ) AA+Aaa2.552.50 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 , 4 5 4 . 4 9 1. 5 2 % 9 0 6 , 7 4 6 . 4 0 1, 3 5 6 . 2 5 0. 9 2 % 4 , 2 9 1 . 9 1 AA+Aaa3.413.30 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 6 5 . 6 4 1. 5 2 % 3 5 2 , 6 8 1 . 3 5 18 7 . 1 5 0. 3 6 % 2 , 5 1 5 . 7 1 AA+Aaa3.473.35 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 2 8 . 4 0 1. 5 2 % 5 0 3 , 8 3 0 . 5 0 267 . 3 6 0. 5 1 % 4 , 1 0 2 . 1 0 AA+Aaa3.473.35 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 0 . 4 2 1. 5 2 % 1 0 0 , 7 6 6 . 1 0 53 . 4 7 0. 1 0 % 6 4 5 . 6 8 AA+Aaa3.473.35 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 7 , 0 1 6 . 0 4 1. 5 7 % 1 , 0 3 8 , 3 2 1 . 9 0 5, 4 6 8 . 7 5 1. 0 5 % 1 1 , 3 0 5 . 8 6 AA+Aaa3.593.47 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 , 0 2 0 . 1 3 1. 6 0 % 5 0 2 , 6 3 8 . 5 0 2, 6 4 9 . 3 1 0. 5 1 % ( 4 , 3 8 1 . 6 3 ) AA+Aaa3.703.55 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 M 8 1 . 2 5 % D u e 1 0 / 2 / 2 0 1 9 12 / 3 0 / 2 0 1 5 1 . 6 5 % 7 0 0 , 0 0 0 . 0 0 68 9 , 8 5 7 . 0 0 68 9 , 8 6 4 . 3 4 1. 6 3 % 6 9 0 , 4 5 8 . 3 0 2, 1 6 3 . 1 9 0. 7 0 % 5 9 3 . 9 6 AA+Aaa3.763.64 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 , 2 2 6 . 3 7 1. 7 2 % 1 , 2 6 5 , 2 1 0 . 8 3 9, 1 7 2 . 2 2 1. 2 8 % ( 9 , 0 1 5 . 5 4 ) AA+Aaa4.063.88 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 , 5 8 9 . 6 8 1. 7 2 % 6 9 7 , 3 6 0 . 3 0 5, 0 5 5 . 5 6 0. 7 1 % ( 2 2 9 . 3 8 ) AA+Aaa4.063.88 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 . 08 % 2 6 , 5 9 9 , 0 0 0 . 0 0 26 , 7 9 3 , 7 9 8 . 5 8 26 , 6 0 1 , 8 8 8 . 1 2 1. 1 1 % 2 6 , 5 8 3 , 8 9 4 . 7 6 92 , 7 0 3 . 2 6 26 . 9 3 % ( 1 7 , 9 9 3 . 3 6 ) AA+Aaa1.901.85 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 5 % D u e 1 2 / 2 0 / 2 0 1 6 12 / 2 0 / 2 0 1 5 0 . 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 0 0 , 0 0 0 . 0 0 76 . 3 9 1. 0 1 % - NR NR0.970.97 To t a l N e g o t i a b l e C D 0. 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 0 0 , 0 0 0 . 0 0 76 . 3 9 1. 0 1 % - NR NR0.970.97 Co m m e r c i a l P a p e r 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 8 , 0 6 0 . 4 1 0. 6 2 % 1 , 2 4 7 , 8 7 6 . 2 5 - 1 . 2 6 % ( 1 8 4 . 1 6 ) A-1 P-10.270.27 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 B E Q 2 0 . 0 0 % D u e 5 / 2 4 / 2 0 1 6 11 / 2 4 / 2 0 1 5 0 . 6 2 % 1 , 0 0 0 , 0 0 0 . 0 0 99 6 , 8 6 5 . 5 6 99 7 , 5 2 0 . 0 0 0. 7 1 % 9 9 7 , 1 5 2 . 0 0 - 1 . 0 1 % ( 3 6 8 . 0 0 ) A-1 P-10.400.40 To t a l C o m m e r c i a l P a p e r 0. 5 9 % 2 , 2 5 0 , 0 0 0 . 0 0 2, 2 4 1 , 5 6 1 . 3 9 2, 2 4 5 , 5 8 0 . 4 1 0. 6 6 % 2 , 2 4 5 , 0 2 8 . 2 5 - 2 . 2 7 % ( 5 5 2 . 1 6 ) A-1 P-10.330.33 Co r p o r a t e N o t e 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 , 5 9 9 . 7 3 0. 6 1 % 6 9 9 , 9 7 3 . 4 0 93 3 . 3 3 0. 7 1 % 3 7 3 . 6 7 AA Aa20.280.28 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 , 7 7 1 . 0 1 0. 5 5 % 6 9 9 , 7 5 5 . 0 0 50 7 . 5 0 0. 7 1 % ( 1 6 . 0 1 ) AA+Aa10.340.34 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 67 8 , 9 2 6 . 3 1 0. 4 9 % 6 7 9 , 1 4 1 . 1 3 1, 8 5 4 . 3 8 0. 6 9 % 2 1 4 . 8 2 AAA Aaa0.370.37 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 5 , 4 2 6 . 2 7 0. 6 0 % 5 2 6 , 0 4 0 . 2 0 1, 2 9 6 . 6 0 0. 5 3 % 6 1 3 . 9 3 AA Aa20.380.39 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 91 8 , 5 8 0 . 1 7 1. 03 % 9 1 7 , 3 7 1 . 6 8 5, 0 1 2 . 1 7 0. 9 3 % ( 1 , 2 0 8 . 4 9 ) AA-Aa30.620.62 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 5 , 7 4 4 . 0 0 1. 1 2 % 7 0 4 , 5 7 8 . 7 0 1, 4 3 1 . 1 1 0. 7 1 % ( 1 , 1 6 5 . 3 0 ) AA Aa21.371.35 29 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 December 31, 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 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 , 5 1 9 . 2 8 1. 4 5 % 7 4 4 , 9 7 8 . 0 0 3, 3 9 8 . 4 4 0. 7 5 % ( 4 , 5 4 1 . 2 8 ) AA-Aa32.102.05 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 4 7 . 0 2 1. 6 5 % 4 8 8 , 8 4 2 . 6 2 3, 5 4 4 . 3 3 0. 5 0 % ( 8 0 4 . 4 0 ) AA-Aa32.532.46 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 0 , 7 7 0 . 9 8 1. 8 0 % 1 , 0 0 1 , 9 3 0 . 0 0 7, 1 4 3 . 0 6 1. 0 1 % ( 8 , 8 4 0 . 9 8 ) AAA Aaa4.123.92 To t a l C o r p o r a t e N o t e 1. 0 0 % 6 , 4 5 3 , 0 0 0 . 0 0 6, 5 5 8 , 3 8 2 . 0 7 6, 4 7 7 , 9 8 4 . 7 7 1. 0 6 % 6 , 4 6 2 , 6 1 0 . 7 3 25 , 1 2 0 . 9 2 6. 5 5 % ( 1 5 , 3 7 4 . 0 4 ) AA Aa21.451.40 To t a l P o r t f o l i o 0. 8 6 % 9 8 , 7 2 4 , 3 8 6 . 2 8 99 , 0 6 0 , 8 1 4 . 7 8 98 , 8 0 0 , 7 1 0 . 3 5 0. 7 9 % 9 8 , 7 2 1 , 7 4 2 . 4 3 19 8 , 5 8 0 . 3 7 1 0 0 . 0 0 % ( 7 8 , 9 6 7 . 9 2 ) AA+1.261.23 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 98 , 9 2 0 , 3 2 2 . 8 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. 30 Section V. Monthly Transactions For the Month Ending October 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 10/14/15 US TREASURY NOTES DTD 09/30/2014 1.750% 09/30/2019 912828F39 (815,375.00)(535.52)(815,910.52) 800,000.00 10/09/15 10/14/15 US TREASURY NOTES DTD 09/15/2015 1.000% 09/15/2018 912828L40 (701,667.97)(557.69)(702,225.66) 700,000.00 10/13/15 (1,093.21)(1,518,136.18)(1,517,042.97) 1,500,000.00 Transaction Type Sub-Total INTEREST 10/09/15 GENERAL ELECTRIC CO NOTES DTD 10/09/2012 0.850% 10/09/2015 369604BE2 0.00 2,975.00 2,975.00 700,000.00 10/09/15 10/11/15 WAL-MART STORES INC GLOBAL NOTES DTD 04/11/2013 0.600% 04/11/2016 931142DE0 0.00 2,100.00 2,100.00 700,000.00 10/11/15 10/15/15 US TREASURY NOTES DTD 04/15/2013 0.250% 04/15/2016 912828UW8 0.00 1,125.00 1,125.00 900,000.00 10/15/15 10/26/15 FANNIE MAE GLOBAL NOTES DTD 09/24/2012 0.875% 10/26/2017 3135G0PQ0 0.00 2,734.38 2,734.38 625,000.00 10/26/15 8,934.38 8,934.38 0.00 2,925,000.00 Transaction Type Sub-Total MATURITY 10/09/15 GENERAL ELECTRIC CO NOTES DTD 10/09/2012 0.850% 10/09/2015 369604BE2 700,000.00 0.00 700,000.00 (4,515.00) 0.00 700,000.00 10/09/15 0.00 0.00 (4,515.00) 700,000.00 700,000.00 700,000.00 Transaction Type Sub-Total SELL 10/14/15 FEDERAL HOME LOAN BANK GLOBAL NOTES DTD 08/23/2012 0.500% 11/20/2015 313380L96 700,252.00 1,400.00 701,652.00 805.00 275.17 SPEC LOT 700,000.00 10/09/15 1,400.00 275.17 805.00 701,652.00 700,252.00 700,000.00 Transaction Type Sub-Total (116,790.97) 9,241.17 (107,549.80)(3,710.00) 275.17 Managed Account Sub-Total Total Security Transactions ($3,710.00)($107,549.80)$9,241.17 ($116,790.97)$275.17 31 For the Month Ending November 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 BUY 11/09/15 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 (1,307,040.04)(3,185.10)(1,310,225.14) 1,325,000.00 11/05/15 11/24/15 BANK OF TOKYO MITSUBISHI UFJ COMM PAPER -- 0.000% 05/24/2016 06538BEQ2 (996,865.56) 0.00 (996,865.56) 1,000,000.00 11/24/15 11/30/15 FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 3135G0WJ8 (163,770.75)(36.09)(163,806.84) 165,000.00 11/24/15 (3,221.19)(2,470,897.54)(2,467,676.35) 2,490,000.00 Transaction Type Sub-Total INTEREST 11/03/15 APPLE INC GLOBAL NOTES DTD 05/03/2013 0.450% 05/03/2016 037833AH3 0.00 1,575.00 1,575.00 700,000.00 11/03/15 11/12/15 FHLMC NOTES DTD 03/26/2012 1.250% 05/12/2017 3137EADF3 0.00 3,125.00 3,125.00 500,000.00 11/12/15 11/15/15 FANNIE MAE NOTES DTD 10/20/2011 1.375% 11/15/2016 3135G0ES8 0.00 6,771.88 6,771.88 985,000.00 11/15/15 11/15/15 JOHNSON & JOHNSON GLOBAL NOTE DTD 05/20/2011 2.150% 05/15/2016 478160AY0 0.00 7,256.25 7,256.25 675,000.00 11/15/15 11/15/15 US TREASURY NOTES DTD 05/17/2010 3.500% 05/15/2020 912828ND8 0.00 22,750.00 22,750.00 1,300,000.00 11/15/15 11/15/15 US TREASURY NOTES DTD 05/15/2013 0.250% 05/15/2016 912828VC1 0.00 875.00 875.00 700,000.00 11/15/15 11/15/15 BERKSHIRE HATHAWAY FIN GLOBAL NOTES DTD 05/15/2012 1.600% 05/15/2017 084664BS9 0.00 5,600.00 5,600.00 700,000.00 11/15/15 11/19/15 GOOGLE INC GLOBAL NOTES DTD 05/19/2011 2.125% 05/19/2016 38259PAC6 0.00 5,556.88 5,556.88 523,000.00 11/19/15 11/21/15 FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 3135G0WJ8 0.00 1,881.25 1,881.25 430,000.00 11/21/15 11/23/15 FNMA NOTES (EX-CALLABLE) DTD 11/23/2010 2.050% 05/23/2017 3136FPYB7 0.00 3,741.25 3,741.25 365,000.00 11/23/15 11/23/15 FHLB NOTES DTD 11/17/2014 0.625% 11/23/2016 3130A3J70 0.00 1,562.50 1,562.50 500,000.00 11/23/15 32 For the Month Ending November 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 11/30/15 FHLB GLOBAL NOTES DTD 05/15/2015 0.625% 05/30/2017 3130A5EP0 0.00 1,609.38 1,609.38 515,000.00 11/30/15 11/30/15 FREDDIE MAC NOTES DTD 04/16/2012 1.750% 05/30/2019 3137EADG1 0.00 7,875.00 7,875.00 900,000.00 11/30/15 11/30/15 US TREASURY NOTES DTD 11/30/2010 1.375% 11/30/2015 912828PJ3 0.00 1,065.63 1,065.63 155,000.00 11/30/15 11/30/15 US TREASURY NOTES DTD 05/31/2012 0.625% 05/31/2017 912828SY7 0.00 421.88 421.88 135,000.00 11/30/15 71,666.90 71,666.90 0.00 9,083,000.00 Transaction Type Sub-Total MATURITY 11/24/15 BANK OF TOKYO MITSUBISHI UFJ COMM PAPER -- 0.000% 11/24/2015 06538CYQ8 1,000,000.00 0.00 1,000,000.00 800.00 0.00 1,000,000.00 11/24/15 11/30/15 US TREASURY NOTES DTD 11/30/2010 1.375% 11/30/2015 912828PJ3 155,000.00 0.00 155,000.00 1,731.12 0.00 155,000.00 11/30/15 0.00 0.00 2,531.12 1,155,000.00 1,155,000.00 1,155,000.00 Transaction Type Sub-Total SELL 11/09/15 US TREASURY NOTES DTD 11/30/2010 1.375% 11/30/2015 912828PJ3 900,667.97 5,477.46 906,145.43 10,719.64 799.15 SPEC LOT 900,000.00 11/05/15 11/09/15 FFCB NOTES DTD 11/15/2010 1.500% 11/16/2015 31331J2S1 402,100.50 2,897.75 404,998.25 12,459.59 154.64 SPEC LOT 402,000.00 11/05/15 8,375.21 953.79 23,179.23 1,311,143.68 1,302,768.47 1,302,000.00 Transaction Type Sub-Total (9,907.88) 76,820.92 66,913.04 25,710.35 953.79 Managed Account Sub-Total Total Security Transactions $25,710.35 $66,913.04 $76,820.92 ($9,907.88)$953.79 33 For the Month Ending December 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 12/04/15 US TREASURY NOTES DTD 05/31/2013 1.375% 05/31/2020 912828VF4 (892,792.97)(135.25)(892,928.22) 900,000.00 12/02/15 12/09/15 US TREASURY NOTES DTD 02/28/2013 0.750% 02/28/2018 912828UR9 (79,456.25)(164.84)(79,621.09) 80,000.00 12/08/15 12/30/15 US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 912828D23 (1,207,078.13)(3,214.29)(1,210,292.42) 1,200,000.00 12/28/15 12/30/15 FREDDIE MAC GLOBAL NOTES DTD 10/02/2012 1.250% 10/02/2019 3137EADM8 (689,857.00)(2,138.89)(691,995.89) 700,000.00 12/28/15 (5,653.27)(2,874,837.62)(2,869,184.35) 2,880,000.00 Transaction Type Sub-Total INTEREST 12/20/15 FNMA NOTES DTD 05/12/2014 1.750% 06/20/2019 3135G0ZE6 0.00 3,062.50 3,062.50 350,000.00 12/20/15 12/20/15 FNMA NOTES DTD 05/12/2014 1.750% 06/20/2019 3135G0ZE6 0.00 4,375.00 4,375.00 500,000.00 12/20/15 12/20/15 FNMA NOTES DTD 05/12/2014 1.750% 06/20/2019 3135G0ZE6 0.00 875.00 875.00 100,000.00 12/20/15 12/21/15 FEDERAL HOME LOAN BANK GLOBAL NOTES DTD 05/04/2012 1.000% 06/21/2017 313379DD8 0.00 3,500.00 3,500.00 700,000.00 12/21/15 12/22/15 FFCB NOTES DTD 12/22/2010 2.350% 12/22/2015 31331J6C2 0.00 6,815.00 6,815.00 580,000.00 12/22/15 12/28/15 FHLB NOTES DTD 11/15/2013 0.625% 12/28/2016 3130A0C65 0.00 3,890.63 3,890.63 1,245,000.00 12/28/15 12/29/15 FREDDIE MAC GLOBAL NOTES DTD 05/14/2012 1.000% 06/29/2017 3137EADH9 0.00 3,875.00 3,875.00 775,000.00 12/29/15 12/29/15 FREDDIE MAC GLOBAL NOTES DTD 05/14/2012 1.000% 06/29/2017 3137EADH9 0.00 675.00 675.00 135,000.00 12/29/15 12/31/15 US TREASURY NOTES DTD 12/31/2012 0.750% 12/31/2017 912828UE8 0.00 2,343.75 2,343.75 625,000.00 12/31/15 12/31/15 US TREASURY NOTES DTD 01/03/2012 1.375% 12/31/2018 912828RY8 0.00 6,875.00 6,875.00 1,000,000.00 12/31/15 12/31/15 US TREASURY NOTES DTD 07/02/2012 0.750% 06/30/2017 912828TB6 0.00 2,156.25 2,156.25 575,000.00 12/31/15 34 For the Month Ending December 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 INTEREST 12/31/15 US TREASURY NOTE DTD 06/30/2015 1.625% 06/30/2020 912828XH8 0.00 20,353.13 20,353.13 2,505,000.00 12/31/15 12/31/15 US TREASURY NOTES DTD 01/03/2012 1.375% 12/31/2018 912828RY8 0.00 3,437.50 3,437.50 500,000.00 12/31/15 12/31/15 US TREASURY NOTES DTD 01/03/2012 1.375% 12/31/2018 912828RY8 0.00 4,125.00 4,125.00 600,000.00 12/31/15 12/31/15 US TREASURY NOTES DTD 12/31/2012 1.125% 12/31/2019 912828UF5 0.00 4,359.38 4,359.38 775,000.00 12/31/15 70,718.14 70,718.14 0.00 10,965,000.00 Transaction Type Sub-Total MATURITY 12/22/15 FFCB NOTES DTD 12/22/2010 2.350% 12/22/2015 31331J6C2 580,000.00 0.00 580,000.00 (2,099.60) 0.00 580,000.00 12/22/15 0.00 0.00 (2,099.60) 580,000.00 580,000.00 580,000.00 Transaction Type Sub-Total SELL 12/04/15 US TREASURY NOTES DTD 02/28/2011 2.125% 02/29/2016 912828QJ2 452,039.06 2,495.70 454,534.76 (5,960.59) 1,624.06 SPEC LOT 450,000.00 12/02/15 12/04/15 US TREASURY NOTES DTD 02/28/2011 2.125% 02/29/2016 912828QJ2 452,039.06 2,495.70 454,534.76 (23,872.61) 641.00 SPEC LOT 450,000.00 12/02/15 12/30/15 BANK OF TOKYO MITS UFJ LTD COMM PAPER -- 0.000% 01/11/2016 06538BAB9 1,249,820.83 0.00 1,249,820.83 2,320.83 (12.51)SPEC LOT 1,250,000.00 12/28/15 4,991.40 2,252.55 (27,512.37) 2,158,890.35 2,153,898.95 2,150,000.00 Transaction Type Sub-Total (135,285.40) 70,056.27 (65,229.13)(29,611.97) 2,252.55 Managed Account Sub-Total Total Security Transactions ($29,611.97)($65,229.13)$70,056.27 ($135,285.40)$2,252.55 35