Loading...
HomeMy WebLinkAbout5-12-16 Agenda PACKETCITY OF SAN LUIS OBISPO INVESTMENT OVERSIGHT COMMITTEE REGULAR QUARTERLY AGENDA May 12, 2016 1:30 PM Council Hearing Room 990 Palm Street San Luis Obispo, California MISSION: As set forth in the Investment Management Plan, this committee is responsible for reviewing the City’s portfolio on an ongoing basis to determine compliance with the City’s investment policies and for making recommendations to the City Treasurer (Director of Finance and Information Technology) regarding investment management practices. CALL TO ORDER: Interim Finance & IT Director/Treasurer/Assistant City Manager Johnson ROLL CALL: Mayor Marx; City Manager Lichtig; Interim Finance & IT Director/Treasurer/Assistant City Manager Johnson; Financial Operations Manager Vilma Warner; Budget Manager Xenia Bradford; Steve Barasch, public member. OTHERS PRESENT: Al Eschenbach, Independent Auditor and ex-officio member; Director Sarah Meacham and Director Monique Spyke of PFM Asset Management LLC. PUBLIC COMMENTS: At this time, the public is invited to address the Committee concerning items not on the agenda but are of interest to the public and within the subject matter jurisdiction of the Investment Advisory Committee. Time limit is three minutes. The Committee may not discuss or take action on issues that are not on the agenda other than to briefly respond to statements made or questions raised, or to ask staff to follow up on such issues. 1. Review of Investment Oversight Committee meeting minutes of February 25, 2016. a. Recommend approval of the minutes 2. Presentation of the Quarterly Investment Report on Portfolio Performance a. Review and confirm investment policy compliance 3. Discuss cash flow and City investments. 4. Discuss Investment Oversight Committee Meeting Calendar Investment Oversight Committee Regular Quarterly Agenda for May 12, 2016 Page 2 5. Items to be addressed at a future meeting 6. Adjourn to the next meeting to be held on August 11, 2016 at 1:30 pm. _________________________________________________________________________ The City of San Luis Obispo wishes to make all of its public meetings accessible to the public. Upon request, this agenda will be made available in appropriate alternative formats to persons with disabilities. Any person with a disability who requires a modification or accommodation in order to participate in a meeting should direct such request to the City Clerk’s Office at (805) 781-7100 at least 48 hours before the meeting, if possible. Telecommunications Device for the Deaf (805) 781-7107. Any writings or documents provide to a majority of the Committee regarding any item on this agenda will be made available for public inspection in the City Clerk’s Office located at 990 Palm Street, San Luis Obispo, during normal business hours. CITY OF SAN LUIS OBISPO INVESTMENT OVERSIGHT COMMITTEE MINUTES February 25, 2016 1:30 PM Council Hearing Room 990 Palm Street San Luis Obispo, California MISSION: As set forth in the Investment Management Plan, this committee is responsible for reviewing the City’s portfolio on an ongoing basis to determine compliance with the City’s investment policies and for making recommendations to the City Treasurer (Director of Finance and Information Technology) regarding investment management practices. CALL TO ORDER A meeting of the Investment Oversight Committee was called to order on Thursday, February 25, 2016, at 1:30 p.m. in the Council Hearing Room at 990 Palm Street, San Luis Obispo, California, by Chair Johnson. ROLL CALL Committee Members Present: Committee Members Steve Barasch, Xenia Bradford; Katie Lichtig; Jan Marx; Vilma Warner, and Chair Derek Johnson *Committee Member Marx arrived at 1:33 p.m. Committee Members Absent: None Others Present: Al Eschenbach, Independent Auditor and ex-officio member, Sarah Meacham and Charles Cook, Public Financial Management (City’s Investment Advisor); Heather Goodwin, Deputy City Clerk PUBLIC COMMENT Allen Cooper, San Luis Obispo, expressed concerns regarding developmental impact fees, questioned whether there is sufficient money to cover capital improvement projects in the City. Investment Oversight Committee Minutes – February 25, 2016 Page 2 1. REVIEW OF INVESTMENT OVERSIGHT COMMITTEE MEETING MINUTES OF AUGUST 13 AND NOVEMBER 19, 2015 ACTION: MOTION BY COMMITTEE MEMBER MARX, SECOND BY COMMITTEE MEMBER WARNER, CARRIED 6-0, to approve the Investment Oversight Committee Meeting minutes of August 13 and November 19, 2015 (COMMITTEE MEMBER MARX ABSTAINING FROM THE AUGUST 13, 2015 INVESTMENT OVERSIGHT COMMITTEE MINUTES). 2. PRESENTATION OF THE QUARTERLY INVESTMENT REPORT ON PORTFOLIO PERFORMANCE Chair Johnson distributed the Quarterly Investment Report. City Investment Advisors Meacham and Cook reviewed the contents of the report and summarized the portfolio’s performance. Committee questions followed. Allen Cooper, San Luis Obispo, inquired about the City’s cash investments and stated that the portfolio percentage seems to be high for a non-interest bearing cash account. Mila Vujovich-LaBarre, San Luis Obispo, questioned the difference between the terms consolidated vs. PFM Managed as referenced on page 13 and 26 of the quarterly investment report and inquired about how the City services debt. Committee Member Barasch distributed hard copies of an email from George Smith Partners FIN Facts entitled “Weekly Financing News from George Smith Partners, Volume XXIII, No. 47, dated December 16, 2015,” Coast Hills mailer, and political cartoons. ACTION: MOTION BY COMMITTEE MEMBER MARX, SECOND BY COMMITTEE MEMBER BRADFORD, CARRIED 5-1 (COMMITTEE MEMBER BARASCH VOTING NO), to confirm the Quarterly Investment Report for the period ending December 31, 2015 is in compliance with the City’s Investment Policy. 3. DISCUSSION OF CASH FLOW AND CITY INVESTMENTS Chair Johnson distributed the Cash Flow Analysis report. City Investment Advisor Meacham reviewed the contents of the report. Committee questions followed. Leslie Hall, San Luis Obispo, stated that the City could consider paying off long term debt and recommended that the City invest in more aggressive managed accounts to get a better rate of return. Allen Cooper, San Luis Obispo, questioned and received clarification about whether the water resource recovery facility upgrade would be funded with the City’s cash reserves. Mila Vujovich-LaBarre, San Luis Obispo, expressed concerns regarding the City’s water availability, asked if the City considered the impacts of a building moratorium on the City’s projected cash flow. Investment Oversight Committee Minutes – February 25, 2016 Page 3 Following discussion, the Committee received and filed the Cash Flow Analysis Report. Chairperson Johnson indicated that no additional cash resources held in the City’s treasury would be transferred to the PFM until a full analysis of cash needs including Capital Improvement Plan (CIP) projects was completed. 4. ITEMS TO BE ADDRESSED AT A FUTURE MEETING Chair Johnson noted that the following items will be presented at a future meeting: 1. Continued discussion regarding moving the August 11, 2016 Investment Oversight Committee meeting to maximize public participation, allow the Committee members an opportunity to plan vacations, and to reduce meeting absences. 2. Continued discussion regarding the City’s cash flow and investments. ADJOURNMENT The meeting adjourned at 2:55 p.m. Heather Goodwin Deputy City Clerk Approved: XX/XX/16 Quarterly Investment Report As of March 31, 2016 May 4, 2016 This report presents the City’s investment portfolio for the quarter ending March 31, 2016. It has been prepared to comply with regulations contained in California Government Code Section 53646. The report includes all investments managed by the City on its own behalf as well as for other third party agencies on a fiduciary basis such as the Whale Rock Commission. It also includes all City-related investments held by trustees for bond debt service obligations. As required, the report provides information on the investment type, issuer, maturity date, cost, and current market value for each security. The investment objectives of the City of San Luis Obispo are first, to provide safety of principal to ensure the preservation of capital in the overall portfolio; second, to provide sufficient liquidity to meet all operating requirements; and third, to earn a commensurate rate of return consistent with the constraints imposed by the safety and liquidity objectives. The City follows the practice of pooling cash and investments for all funds under its direct control. Funds held by outside fiscal agents under provisions of bond indentures are maintained separately. Interest earned on pooled cash and investments is allocated quarterly to the various funds based on the respective fund’s average quarterly cash balance. Interest earned from cash and investments with fiscal agents is credited directly to the related accounts. It is common for governments to pool the cash and investments of various funds to improve investment performance. By pooling funds, the city is able to benefit from economies of scale, diversification, liquidity, and ease of administration. The City uses the services of an investment advisor, PFM Asset Management, to manage a portion of the City’s portfolio. The City’s strategy is to retain approximately 25% of the portfolio to manage its day-to-day cash flow needs, while PFM’s focus is on longer-term investment management. In addition, the City has retained direct control of several investments that had been acquired before the City began to use investment advisors. All investments are held by the City in a safe keeping account with Bank of New York Mellon, except for investments held by trustees related to bond financings, which are held by either US Bank or Bank of New York Mellon. Investment Portfolio Benefits all Funds The City’s cash and investment portfolio represents money from all City funds, including the General Fund, enterprise funds, capital projects funds, and other funds which are restricted to specific purposes. In general, monies held by the city are either allocated by the City Council for spending or are purposefully retained in reserve. For example, the money in the Capital Outlay Fund has been identified to provide particular capital projects for the community and there is a plan for spending down the cash balance as the projects progress. In the General Fund, about $10 million is purposely held in reserve to meet the City’s reserve policy of 20% of operating expenditures. Quarterly Investment Report March 31, 2016 Current Cash and Investment Summary The following is a summary of the City’s cash and investments based on market value as of March 31, 2016 compared with the prior quarter: December 31, 2015March 31, 2016Percent of Total Cash and investments held by the City42,979,255 51,116,750 41.62% Cash and investments managed by PFM55,742,488 57,532,724 53.98% Cash and investments held by trustees4,548,730 4,635,459 4.40% TOTAL103,270,473113,284,933 100% There are a number of factors which result in changes in cash and investment balances from month to month and quarter to quarter. Often they are the result of the receipt of revenues or a large disbursement. Some major City revenues are received on a periodic rather than a monthly basis. Property Tax, for example, is received in March, January, April and May of each year. Other revenues, such as Transient Occupancy Tax, are received monthly but vary considerably because they are seasonal. On the disbursement side, payments for bonded indebtedness or large capital projects can reduce the portfolio substantially in the quarter that they occur. Significant fluctuations of this type are not unusual will be discussed in the following section of this report. Securities in the City’s portfolio are priced by IDC, an independent pricing service at the end of every month. In some cases, the City may have investments with a current market value that is greater or less than the recorded value. These changes in market value are due to fluctuations in the marketplace having no effect on yield, as the City does not intend to sell securities prior to maturity. Nevertheless, these market changes will impact the total value of the portfolio as reported. At March 31, 2016 the market value of the portfolio was $282,177 higher than the cost basis. The portfolio’s yield on a market basis as of March 31, 2016 was .84 %, and the yield on a cost basis was 1.07 %. (These amounts do not reflect the returns on the assets held by the bond trustee.) As of March 31, 2016, the investment portfolio was in compliance with all State laws, the City's Statement of Investment Policy and the City’s Investment Management Plan. Summary of Activity for the Quarter and Future Liquidity Cash receipts and disbursements are generally consistent with past trends for the quarter. The cash management program contains enough liquidity to meet the next six months of expected expenditures by the City as well as by related parties, such as the Whale Rock Commission. Report Contents and Distribution. This report includes the following four schedules on the City’s portfolio as of March 31, 2016: summary of investments held or managed by the City, trustees or PFM; summary of investment portfolio liquidity; investment details; and detail of holdings for each investment. These schedules have not yet been reviewed by the City’s independent auditor. If you have any questions concerning this report, or require additional information, contact Interim Director of Finance and Information Technology, at (805) 781-7125. DISTRIBUTION LIST City Council1 Jan Howell Marx, Mayor Dan Carpenter, Vice Mayor John Ashbaugh, Council Member Carlyn Christianson, Council Member Dan Rivoire, Council Member Investment Oversight Committee Jan Howell Marx, Mayor Derek Johnson, Interim Director of Finance & Information Technology Katie Lichtig, City Manager Vilma Warner, Finance Operations Manager Steven Barasch, Public Member Independent Auditor Allen E. Eschenbach, Glenn Burdette Attest Corporation PFM Asset Management Nancy Jones, Managing Director Sarah Meacham, Director Monique Spyke, Director 1 Member positions as of March 31, 2016. CITY OF SAN LUIS OBISPO SUMMARY OF INVESTMENTS As of March 31, 2016 Percent ofCurrentMarket PortfolioYieldValue Local Agency Investment Funds83%0.46%42,307,225.15 Certificate of Deposit 2%0.27%1,000,000.00 Money Market Account 2%0.25%1,010,748.16 Checking Account 13%0.25%6,798,776.49 Treasury Issues 0%0.00%0.00 Total Investments Held by the City 100%0.42%$51,116,749.80 Percent ofCurrentMarket PortfolioYieldValue Federal Agency Issues 47%0.81%26,901,528.95 Commercial Paper 4%0.00%2,249,210.00 Money Market Fund 0%0.40%230,184.00 US Corporate Notes 12%0.85%7,082,582.24 Certificate of Deposit 1%1.38%834,257.90 Treasury Issues 35%1.05%20,234,961.38 Total Investments Managed by Public Financial Management 100%0.87%$57,532,724.47 Percent ofCurrentMarket Trustee PortfolioYieldValue First American Treasury Funds2.31%0.00%107,104.49 Other Money Market Accounts0.45%0.03%20,814.32 Guaranteed Investment Contracts43.93%see below2,036,161.25 Federal Agency Issues 17.94%2.58%831,511.75 Treasury Issues 35.38%0.91%1,639,866.92 Total Investments Held by Trustees 100%$4,635,458.73 Total of all Investments--Market Value $113,284,933.00 INVESTMENTS HELD AND MANAGED BY THE CITY INVESTMENTS OF THE CITY MANAGED BY PUBLIC FINANCIAL MANAGEMENT INVESTMENTS OF THE CITY HELD BY TRUSTEES FOR BOND DEBT SERVICE OBLIGATIONS TOTAL CASH AND INVESTMENTS CITY OF SAN LUIS OBISPO SUMMARY OF INVESTMENT PORTFOLIO LIQUIDITY As of March 31, 2016 ManagedManagedPercent of Market by City by PFMPortfolio Value On Demand 50,116,749.80- 46%50,116,749.80 Within Six Months1,000,000.009,763,303.3410%10,763,303.34 Six Months to One Year4,838,502.134%4,838,502.13 Within One to Five Years0.0042,930,919.0040%42,930,919.00 TOTAL51,116,749.8057,532,724.47 100%$108,649,474.27 Percent of Market Portfolio Value On Demand 3%127,918.81 Six Months to One Year 9%397,702.50 Within One to Five Years 16%726,714.55 Over Five Years 73%3,383,122.87 TOTAL 100%$4,635,458.73 Total of all Investments--Market Value $113,284,933.00 INVESTMENTS HELD BY THE CITY AND THOSE MANAGED BY PUBLIC FINANCIAL MANAGEMENT (PFM) INVESTMENTS HELD BY TRUSTEES FOR BOND DEBT SERVICE OBLIGATIONS TOTAL CASH AND INVESTMENTS CITY OF SAN LUIS OBISPO INVESTMENT DETAIL As of March 31, 2016 Agency InvestmentCouponCurrent PurchaseMaturity Market (Broker)DescriptionRateYieldDateDate Value Local Agency Money Market FundOn Investment FundCityNA0.25%VariesDemand42,239,656.29 Local Agency Money Market FundOn Investment FundCIBNA0.22%VariesDemand67,568.86 On Bank of AmericaChecking AccountNA0.25%VariesDemand6,798,776.49 Collateralized Heritage OaksCertificate of DepositNA0.27%12/20/201312/20/20151,000,000.00 On Heritage OaksMoney Market Account NA 0.25%1/24/2012Demand1,010,748.16 TOTAL $51,116,749.80 INVESTMENTS HELD AND MANAGED BY THE CITY CITY OF SAN LUIS OBISPO INVESTMENT DETAIL As of March 31, 2016 Agency InvestmentCouponCurrent PurchaseMaturity Market (Broker)DescriptionRateYieldDateDate Value 2005 Refunding Lease Revenue Bonds U. S. BankFirst American Corporate Trust ServicesTreasury FundN/A0.00%Varieson demand$17,640.00 U. S. BankUnited States Corporate Trust ServicesTreasury Bonds6.00%4.49%6/26/962/15/26$813,462.72 2006 Lease Revenue Bonds U. S. BankFirst American Corporate Trust ServicesTreasury FundN/A0.00%Varieson demand$27,439.35 Guaranteed FSA Capital Investment Contract Management Services LLCTreasury Fund5.545%5.545%5/11/065/26/36$1,000,813.75 2006 Water Revenue Bonds U. S. BankFirst American Corporate Trust ServicesTreasury FundN/A0.00%Varieson demand$27,413.51 Guaranteed FSA Capital Investment Contract Management Services LLCTreasury Fund5.355%5.355%8/17/065/28/36$1,035,347.50 2009 Lease Revenue Bonds U. S. BankFirst American Corporate Trust ServicesTreasury FundN/A0.00%Varieson demand$34,611.63 U. S. Bank Corporate Trust ServicesFederal Home Loan Bank1.00%1.00%11/25/20146/21/2017$35,131.95 U. S. Bankederal Home Loan Mort. Corp Corporate Trust ServicesMedium term Note0.75%0.76%11/25/20141/12/2018$79,972.00 U. S. Bank Corporate Trust ServicesU.S. Treasury Note0.88%0.88%11/25/20141/31/2018$70,180.60 U. S. BankFederal Nat'l Mtge. Assoc. Corporate Trust ServicesDebenture0.88%0.88%11/25/20142/8/2018$80,184.00 U. S. Bank Corporate Trust ServicesFederal Home Loan Bank1.38%1.37%11/25/20143/9/18$70,768.60 U. S. Bank Corporate Trust ServicesU.S. Treasury Note1.38%1.37%11/25/20146/30/2018$70,929.60 U. S. BankFederal Nat'l Mtge. Assoc. Corporate Trust ServicesDebenture1.88%1.84%11/25/20149/18/2018$35,862.60 U. S. Bank Corporate Trust ServicesU.S. Treasury Note1.50%1.50%11/25/20142/28/2019$71,260.70 U. S. Bank Corporate Trust ServicesU.S. Treasury Note1.13%1.14%11/25/20145/31/2019$80,534.40 U. S. BankFed Home Loan Mort. Corp Corporate Trust ServicesDebenture1.25%1.27%11/25/20148/1/2019$80,649.60 U. S. Bank INVESTMENTS HELD BY TRUSTEES FOR BOND DEBT SERVICE OBLIGATIONS Corporate Trust ServicesFederal Nat'l Mtge. Assoc.1.75%1.75%11/25/20149/12/2019$51,240.50 2012 Water Revenue Refunding Bonds (Refunded 2002 Water Revenue Bonds) U. S. BankU.S Bank Money Corporate Trust ServicesMarket AccountN/A0.03%Varieson demand$10,088.55 U. S. BankUnited States Corporate Trust ServicesTreasury Bond2.00%1.93%Varies11/25/21$232,699.50 U. S. BankUnited States Corporate Trust ServicesTreasury Bond7.125%5.21%Varies2/15/23$300,799.40 2012 Revenue Refunding Bonds (Refunded 2001 Revenue Refunding Bonds) U. S. BankU.S Bank Money Corporate Trust ServicesMarket AccountNA0.00%Varieson demand$10,725.77 U. S. Bank Corporate Trust ServicesFederal Home Loan Bank 5.50%5.39%Varies8/15/16$397,702.50 TOTAL $4,635,458.73 CITY OF SAN LUIS OBISPO INVESTMENT DETAIL As of March 31, 2016 The City of San Luis Obispo maintains certain performance objectives for the investments that are managed by Public Financial Management. The overall performance objective for the portfolio is to earn a total rate of return over the market cycle that equals or exceeds the market index. In order to achieve this objective the portfolio invests in high-quality money market instruments, US Treasury securities, Agency securities, and high-grade corporate securities, with a maximum maturity of five years. To monitor the achievement of this objective, the City uses a “Benchmark” to compare to. The benchmark which is used is based on the BofA Merrill Lynch Index of 0-5 year Treasury securities. Below is a summary of the monthly results as compared to the benchmark. While the City strives to achieve this performance objective every month, the goal is assumed to be met on an annual basis. The City of San Luis Obispo is currently just under the benchmark goals in most categories. We feel that through market trends and current investing adjustments, our performance will meet or exceed the benchmarks by the end of the fiscal year. Benchmark Comparison for the Quarter Ended 03/31/2016 Benchmark03/31/2016 Portfolio12/31/15 Portfolio Average Maturity (yrs)2.222.222.22 Modified Duration 2.142.152.15 Average Purchase Yield n/a1.16%1.13% Average Market Yield 1.10%0.84%1.17% Average Quality AA+AA+/Aaa AA+/Aaa Total Market Value $57,532,724$55,742,488 The following pages provide a summary of the portfolio under management by Public Financial Management (PFM) as well as a detailed holding report for the month. PFM took over the management of the portfolio in December 2014. MANAGED BY PUBLIC FINANCIAL MANAGEMENT City of San Luis Obispo Investment Report Period Ending March 31, 2016 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 0.40% 0.50% 0.60% 0.70% 0.80% 0.90% 1.00% 1.10% 1.20% Ma r ' 1 5 Ap r ' 1 5 Ma y ' 1 5 Ju n ' 1 5 Ju l ' 1 5 Au g ' 1 5 Se p ' 1 5 Oc t ' 1 5 No v ' 1 5 De c ' 1 5 Ja n ' 1 6 Fe b ' 1 6 Ma r ' 1 6 U.S. Treasury Yields Experienced Volatility Source: Bloomberg 2-Year U.S. Treasury Yield March 31, 2015 – March 31, 2016 •Interest rates fell at the beginning of 2016 due to concerns over slowing global economic growth. •Rates recovered modestly at the end of February and beginning of March, but ended the quarter significantly lower than December 2015. “Flight to quality” due to uncertainty in China and stock market volatility FOMC hints at delayed rate hikes 1 © PFM Asset Management LLC Stock market stabilizes U.S. Treasury Yields Increased Across the Curve 3/31/15 12/31/15 3/31/16 1st Quarter Change 3 Month 0.02% 0.17% 0.20% 0.03% 6 Month 0.14% 0.48% 0.38% -0.10% 1 Year 0.22% 0.60% 0.58% -0.02% 2 Year 0.55% 1.05% 0.72% -0.33% 3 Year 0.88% 1.40% 0.85% -0.55% 5 Year 1.38% 1.76% 1.21% -0.55% 10 Year 1.93% 2.27% 1.77% -0.50% 30 Year 2.54% 3.02% 2.61% -0.41% Source: Bloomberg •During the quarter, longer-term yields reversed the increases picked up at the end of 2015. 2 © PFM Asset Management LLC 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 1.60% 1.80% 2.00% 3 M 6 M 1 Y 2 Y 3 Y 4 Y 5 Y Yi e l d Maturity U.S. Treasury Yield Curve March 31, 2015 December 31, 2015 March 31, 2016 FOMC Statement Highlights Source: Federal Reserve March 16 •Economic activity has been expanding at a moderate pace despite the global economic and financial developments of recent months…a range of recent indicators, including strong job gains, points to additional strengthening of the labor market. •Inflation picked up in recent months; however, it continued to run below the Committee’s 2% longer-run objective, partly reflecting declines in energy prices and in prices of non-energy imports. Market-based measures of inflation compensation remain low… inflation is expected to remain low in the near term…The Committee continues to monitor inflation developments closely. •Global economic and financial developments continue to pose risks. •Against this backdrop, the Committee decided to maintain the target range for the federal funds rate at 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. © PFM Asset Management LLC 3 FOMC “Dot Plot” from March Meeting Source: FOMC; Fed Funds Futures as of 3/31/2016. Individual dots represent each of the 17 FOMC members’ judgment of the midpoint of the appropriate target range for the federal funds rate. 2015 2016 2017 2018 Longer Term -1% 0% 1% 2% 3% 4% 5% Minutes Mar-16 Dec-15 Median Mar-16 Median Fed Funds Futures Fed members lowered expectations in March © PFM Asset Management LLC 4 Member Votes Source: Bloomberg Market Expectations for a Federal Funds Target Rate Hike December 31, 2015 vs. March 31, 2016 Market Expectations for Fed Rate Hike •Fed funds futures indicate the market’s expectations for a rate hike this year have dropped dramatically. •At the end of 2015, the expectation for a rate hike by June 2016 was 74%. After the rough start to 2016, this expectation has decreased to 20%. The probability for a rate hike does not increase above 50% until the December 2016 meeting. © PFM Asset Management LLC 5 U.S. Economy Slows Down •In the first quarter, U.S. GDP grew 0.5%, which was the slowest pace in two years. This slowdown was primarily caused by lower business investment which shrunk 5.9% in the quarter, the worst decline since 2009. Source: Bureau of Economic Analysis; Bloomberg survey results as of 3/31/2016. © PFM Asset Management LLC 6 3.9% 2.0% 1.4% 0.5% -2% -1% 0% 1% 2% 3% 4% 5% Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 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 Ra t e Bloomberg Survey of Economists 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 0K 50K 100K 150K 200K 250K 300K 350K 400K Mar '11 Sep '11 Mar '12 Sep '12 Mar '13 Sep '13 Mar '14 Sep '14 Mar '15 Sep '15 Mar '16 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. Jobs Market Close to Full Employment •The U.S. labor market added 628,000 jobs in first quarter of 2016, exceeding the expectation for 590,000 new jobs. •In March, the unemployment rate remained at 5.0%, the same level as it was in December, and the participation rate edged slightly higher to 63.0% from 62.6% in December. Source: Bureau of Labor Statistics Unemployment Rate: 5.0% © PFM Asset Management LLC 7 Inflation Picked Up •The core personal consumption expenditures (PCE) price index, the Fed’s preferred gauge of core inflation, advanced to 1.7% year-over-year through February 2016. Core PCE continues to be under the Fed’s 2% inflation target. Source: Bloomberg as of 01/31/2016. © PFM Asset Management LLC 8 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% Ja n ' 0 6 Ja n ' 0 7 Ja n ' 0 8 Ja n ' 0 9 Ja n ' 1 0 Ja n ' 1 1 Ja n ' 1 2 Ja n ' 1 3 Ja n ' 1 4 Ja n ' 1 5 Ja n ' 1 6 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 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 9 © PFM Asset Management LLC •Over the quarter, we maintained a moderately defensive duration position to protect the portfolio’s market value in the case of several Fed rate hikes in 2016. As the Federal Open Market Committee’s tone became more dovish, we modestly extended portfolio duration. •The potential impact of slower economic growth on corporate profits caused the sector’s yield spreads to widen in the first half of the quarter. Corporate spreads tightened through March as markets rebounded, ultimately driving the sector’s outperformance over Treasuries. •The yield relationship between U.S. Treasury and federal agency securities fluctuated throughout the quarter. Agency yield spreads increased to multi-year wide levels in the first half of the quarter, and we increased our allocations through swaps from Treasuries. First Quarter 2016 Recap 10 © PFM Asset Management LLC $0 $1 $2 $3 $4 $5 Under 1 Year 1-2 Years 2-3 Years 3-4 Years 4-5 Years Mi l l i o n s Summary of 1st Quarter 2016 Purchase by Maturity and Sector U.S. Treasuries Federal Agencies Negotiable CDs Corporate Notes 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, 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. © PFM Asset Management LLC City of San Luis Obispo – PFM Managed Portfolio Characteristics 3/31/16 12/31/15 Benchmark Portfolio Portfolio Average Maturity (years) 2.22 2.22 2.22 Effective Duration* 2.14 2.15 2.15 Average Purchase Yield N/A 1.16% 1.13% Average Market Yield 0.77% 0.84% 1.17% Average Quality AA+ AA+/Aaa AA+/Aaa Total Market Value 57,532,725 55,742,488 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 maturity, the effective duration will decrease). © PFM Asset Management LLC Sector Distribution 13 March 31, 2016 December 31, 2015 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% City of San Luis Obispo Sector Distribution – PFM Managed *Sector distribution includes market value and excludes accrued interest. U.S. Treasury $20,234,961 35% Federal Agency $26,901,529 47% Negotiable CD $834,258 2% Commercial Paper $2,249,210 4% Corporate $7,082,582 12% Money Market Fund $230,184 <1% © PFM Asset Management LLC Issuers 14 Issuer Name Investment Type % Portfolio U.S. Treasury U.S. Treasury 35.17% FHLMC Federal Agency 21.14% FNMA Federal Agency 17.31% FHLB Federal Agency 6.77% BNP Paribas NY Commercial Paper 2.17% Microsoft Corp Corporate Note 1.78% Bank of Tokyo Mitsubishi Commercial Paper 1.74% Procter & Gamble Corporate Note 1.60% Berkshire Hathaway Corporate Note 1.57% FFCB Federal Agency 1.53% Royal Bank of Canada NY Negotiable CD 1.45% IBM Corporate Note 1.31% Wal-Mart Stores Corporate Note 1.22% Apple Inc Corporate Note 1.22% Johnson & Johnson Corporate Note 1.18% Google Inc Corporate Note 0.91% Toyota Motor Credit Corp Corporate Note 0.86% American Honda Finance Corporate Note 0.68% Dreyfus Prime Cash Management Fund Money Market Fund 0.40% Total 100.00% As of March 31, 2016. City of San Luis Obispo Issuer Distribution – PFM Managed © PFM Asset Management LLC Quality Distribution 15 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% AAA AA A <A A-1 NR 3/31/2016 12/31/2015 AAA AA A <A A-1 NR 3/31/2016 3.4% 92.1% 0.7% 0.0% 3.9% 0.0% 12/31/2015 3.1% 92.9% 0.0% 0.0% 4.0% 0.0% City of San Luis Obispo Credit Quality – PFM Managed March 31, 2016 vs. December 31, 2015 Ratings by Standard & Poor’s. © 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 Portfolio Benchmark 0 – 0.25 0.25 – 0.5 0.50 – 1 1 – 2 2 – 3 3 – 4 4 – 5 Portfolio 11.6% 3.4% 9.4% 25.4% 13.4% 24.6% 17.6% Benchmark 7.8% 6.0% 12.3% 23.3% 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 t hey may be called prior to maturity. •As of March 31, 2016. © PFM Asset Management LLC Investment Performance 17 City of San Luis Obispo Total Return Period Ending March 31, 2016 Total Rate of Return 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 1.60% 1.80% 2.00% 3 Months 6 Months 1 Year 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. •Bank of America Merrill Lynch Indices provided by Bloomberg Financial Markets. •Inception date is December 31, 2014. 3 Months Periodic 6 Months Periodic 1 Year Since Inception City of San Luis Obispo 1.31% 0.85% 1.50% 1.73% 0-5 Yr. Treasury Index 1.26% 0.73% 1.33% 1.66% © PFM Asset Management LLC Current Outlook and Strategy •We expect the U.S. economy to expand at a moderate pace in 2016 as consumer spending continues to drive positive growth. Outside the U.S., economic prospects are more challenged due to weak commodity prices, slowing growth in China, and various geopolitical risks. The market's concerns about the strength of the global economy will likely keep interest rates lower than previously expected. •The economic projections released following the FOMC’s March meeting indicated that FOMC participants believe that appropriate monetary policy warrants only two fed fund hikes in 2016, not four hikes as was projected in December. ̶Given the likelihood that rates will not move significantly higher in the near-term, we will position the maturity distribution of the City’s portfolio to generally match the distribution of the benchmark, except where shifting to short-term credit securities offers better value. •Because of narrowed yield spreads, federal agencies currently have less appeal relative to comparable-maturity U.S. Treasuries. We will monitor the yield relationship and take advantage of any opportunities that arise― opportunities are most likely to occur with newly-issued federal agency securities. •Our strategy continues to favor credit sectors, including corporate notes, commercial paper, and negotiable CDs. We believe the best opportunities are currently with issuers in the financial industry, where capital is strong and spreads are wide. We are also watching the industrial sector but are being more selective when making investments in industrial companies, especially those with exposure to energy or to slowing overseas economies. 18 © PFM Asset Management LLC City of San Luis Obispo - Internal Portfolio Characteristics 3/31/16 12/31/15 Portfolio Portfolio Average Maturity (years) 0.02 0.03 Effective Duration* 0.02 0.03 Average Purchase Yield 0.42% 0.51% Average Market Yield 0.42% 0.30% Average Quality AA+/Aaa AA+/Aaa Total Market Value 51,116,750 42,979,255 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 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 mo re likely to be called prior to its final maturity, the effective duration will decrease). © PFM Asset Management LLC Sector Distribution 20 LAIF $42,307,225 83% Money Market Rate Account $1,010,748 2% Negotiable CD $1,000,000 2% Cash $6,798,776 13% March 31, 2016 December 31, 2015 LAIF $17,291,222 40% U.S. Treasury $1,010,060 3% Money Market Rate Account $1,009,995 2% Negotiable CD $1,000,000 2% Cash $22,667,978 53% City of San Luis Obispo Sector Distribution – Internal *Sector distribution includes market value and excludes accrued interest. © PFM Asset Management LLC Issuers 21 As of March 31, 2016. City of San Luis Obispo Issuer Distribution – Internal Issuer Name Investment Type % Portfolio LAIF LAIF 82.77% Cash Cash 13.30% Heritage Oaks Bank Money Market Rate Account 1.98% Heritage Oaks Bank Negotiable CD 1.96% Total 100.00% © 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, maturity, sector, and issuer limits. Additionally, none of the City’s funds are invested in any securities prohibited by the Code. © PFM Asset Management LLC City of San Luis Obispo - Consolidated Portfolio Characteristics 3/31/16 12/31/15 Portfolio Portfolio Average Maturity (years) 1.18 1.27 Effective Duration* 1.15 1.23 Average Purchase Yield 0.81% 0.86% Average Market Yield 0.65% 0.79% Average Quality AA+/Aaa AA+/Aaa Total Market Value 108,649,475 98,721,742 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 cal lable 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 mo re likely to be called prior to its final maturity, the effective duration will decrease). © PFM Asset Management LLC Sector Distribution 24 March 31, 2016 December 31, 2015 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 17% Cash $22,667,978 23% City of San Luis Obispo Sector Distribution – Consolidated U.S. Treasury $20,234,961 19% Federal Agency $26,901,529 25% Commercial Paper $2,249,210 2% Corporate $7,082,582 6% Negotiable CD $1,834,258 2% Money Market Fund $230,184 <1% Money Market Rate Account $1,010,748 1% LAIF $42,307,225 39% Cash $6,798,776 6% *Sector distribution includes market value and excludes accrued interest. © PFM Asset Management LLC Maturity Distribution 25 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 3/31/2016 12/31/2015 0 – 0.25 0.25 – 0.50 0.50 – 1 1 – 2 2 – 3 3 – 4 4 – 5 3/31/2016 52.3% 1.8% 5.9% 13.4% 7.1% 13.0% 6.5% 12/31/2015 45.6% 6.5% 5.8% 12.7% 7.6% 11.9% 9.9% 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. © PFM Asset Management LLC Issuers 26 Issuer Name Investment Type % Portfolio LAIF LAIF 38.94% U.S. Treasury U.S. Treasury 18.62% FHLMC Federal Agency 11.19% FNMA Federal Agency 9.17% Cash Cash 6.26% FHLB Federal Agency 3.59% BNP Paribas NY Commercial Paper 1.15% Microsoft Corp Corporate Note 0.94% Heritage Oaks Bank Money Market Rate Account 0.93% Heritage Oaks Bank Negotiable CD 0.92% Bank of Tokyo Mitsubishi Commercial Paper 0.92% Procter & Gamble Corporate Note 0.85% Berkshire Hathaway Corporate Note 0.83% FFCB Federal Agency 0.81% Royal Bank of Canada NY Negotiable CD 0.77% IBM Corporate Note 0.69% Wal-Mart Stores Corporate Note 0.64% Apple Inc Corporate Note 0.64% Johnson & Johnson Corporate Note 0.62% Google Inc Corporate Note 0.48% Toyota Motor Credit Corp Corporate Note 0.46% American Honda Finance Corporate Note 0.36% Dreyfus Prime Cash Management Fund Money Market Fund 0.21% Total 100.00% As of March 31, 2016. City of San Luis Obispo Issuer Distribution – Consolidated © 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 March 31, 2016 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 V a r i o u s 0 . 46 % 4 2 , 3 0 7 , 2 2 5 . 1 5 4 2 , 3 0 7 , 2 2 5 . 1 5 4 2 , 3 0 7 , 2 2 5 . 1 5 0 . 4 6 % 4 2 , 3 0 7 , 2 2 5 . 1 5 - 3 8 . 9 4 % - NR NR0.000.00 To t a l L A I F 0. 4 6 % 4 2 , 3 0 7 , 2 2 5 . 1 5 42 , 3 0 7 , 2 2 5 . 1 5 42 , 3 0 7 , 2 2 5 . 1 5 0. 4 6 % 4 2 , 3 0 7 , 2 2 5 . 1 5 - 3 8 . 9 4 % - 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 % 2 3 0 , 1 8 4 . 3 8 23 0 , 1 8 4 . 3 8 23 0 , 1 8 4 . 3 8 0. 0 0 % 2 3 0 , 1 8 4 . 3 8 - 0 . 2 1 % - 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 % 2 3 0 , 1 8 4 . 3 8 23 0 , 1 8 4 . 3 8 23 0 , 1 8 4 . 3 8 0. 0 0 % 2 3 0 , 1 8 4 . 3 8 - 0 . 2 1 % - 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 % 6 , 7 9 8 , 7 7 6 . 4 9 6, 7 9 8 , 7 7 6 . 4 9 6, 7 9 8 , 7 7 6 . 4 9 0. 2 5 % 6 , 7 9 8 , 7 7 6 . 4 9 - 6 . 2 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 1 0 , 7 4 8 . 1 6 1, 0 1 0 , 7 4 8 . 1 6 1, 0 1 0 , 7 4 8 . 1 6 0. 2 5 % 1 , 0 1 0 , 7 4 8 . 1 6 - 0 . 9 3 % - NR NR0.000.00 To t a l C a s h 0. 2 5 % 7 , 8 0 9 , 5 2 4 . 6 5 7, 8 0 9 , 5 2 4 . 6 5 7, 8 0 9 , 5 2 4 . 6 5 0. 2 5 % 7 , 8 0 9 , 5 2 4 . 6 5 - 7 . 1 9 % - 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 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 , 9 6 9 . 6 3 0. 2 2 % 9 0 0 , 0 1 0 . 8 0 1, 0 3 8 . 9 3 0. 8 3 % 4 1 . 1 7 AA+Aaa0.040.04 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 , 7 5 5 . 4 5 0. 2 9 % 6 9 9 , 9 6 5 . 7 0 66 3 . 4 6 0. 6 4 % 2 1 0 . 2 5 AA+Aaa0.120.12 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 , 1 2 0 . 0 3 0. 3 6 % 7 5 0 , 5 8 5 . 7 5 99 1 . 5 9 0. 6 9 % 4 6 5 . 7 2 AA+Aaa0.290.29 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 1 . 6 8 0. 6 8 % 1 3 4 , 9 2 0 . 8 9 28 3 . 5 6 0. 1 2 % ( 8 0 . 7 9 ) AA+Aaa1.171.16 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 , 9 5 2 . 3 7 0. 6 7 % 5 7 5 , 5 3 9 . 3 5 1, 0 8 9 . 9 7 0. 5 3 % 3 , 5 8 6 . 9 8 AA+Aaa1.251.24 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 9 , 3 4 8 . 9 4 0. 7 3 % 6 2 5 , 2 2 0 . 0 0 1, 1 8 4 . 7 5 0. 5 8 % 5 , 8 7 1 . 0 6 AA+Aaa1.751.73 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 % 6 8 0 , 0 0 0 . 0 0 66 5 , 4 1 9 . 4 6 67 2 , 6 6 5 . 2 9 0. 7 4 % 6 8 0 , 1 5 9 . 1 2 44 3 . 4 8 0. 6 3 % 7 , 4 9 3 . 8 3 AA+Aaa1.921.90 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 , 5 3 1 . 9 9 0. 7 4 % 8 0 , 0 1 8 . 7 2 52 . 1 7 0. 0 7 % 4 8 6 . 7 3 AA+Aaa1.921.90 US T R E A S U R Y N O T E S 91 2 8 2 8 L 4 0 1 . 0 0 % D u e 9 / 1 5 / 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 , 4 0 5 . 3 4 0. 8 0 % 7 0 3 , 3 3 6 . 2 0 32 3 . 3 7 0. 6 5 % 1 , 9 3 0 . 8 6 AA+Aaa2.462.42 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 , 2 3 0 . 9 0 0. 8 0 % 4 0 5 , 6 5 6 . 4 0 15 . 0 3 0. 3 7 % 4 , 4 2 5 . 5 0 AA+Aaa2.502.46 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 3 , 9 2 8 . 7 9 0. 8 4 % 5 0 7 , 2 8 5 . 0 0 1, 7 3 7 . 6 4 0. 4 7 % 3 , 3 5 6 . 2 1 AA+Aaa2.752.69 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 5 , 5 2 8 . 3 8 0. 8 4 % 1 , 0 1 4 , 5 7 0 . 0 0 3, 4 7 5 . 2 7 0. 9 3 % 9 , 0 4 1 . 6 2 AA+Aaa2.752.69 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 , 5 1 3 . 6 3 0. 8 4 % 6 0 8 , 7 4 2 . 0 0 2, 0 8 5 . 1 6 0. 5 6 % 4 , 2 2 8 . 3 7 AA+Aaa2.752.69 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 % 3 0 5 , 0 0 0 . 0 0 30 4 , 9 7 6 . 1 7 30 4 , 9 8 2 . 5 6 0. 8 7 % 3 0 9 , 4 3 1 . 9 6 36 4 . 6 7 0. 2 8 % 4 , 4 4 9 . 4 0 AA+Aaa2.922.85 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 5 0 , 6 2 5 . 0 1 0. 9 5 % 1 , 2 7 1 , 9 6 1 . 6 8 1, 8 6 9 . 5 9 1. 1 7 % 2 1 , 3 3 6 . 6 7 AA+Aaa3.333.27 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 3 , 6 1 2 . 8 2 0. 9 9 % 8 2 0 , 7 8 1 . 6 0 38 . 2 5 0. 7 6 % 7 , 1 6 8 . 7 8 AA+Aaa3.503.39 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 5 , 0 4 5 . 1 0 1. 0 4 % 7 7 7 , 3 0 0 . 9 8 2, 2 0 3 . 6 4 0. 7 2 % 1 2 , 2 5 5 . 8 8 AA+Aaa3.753.65 US T R E A S U R Y N O T E S 91 2 8 2 8 H 5 2 1 . 2 5 % D u e 1 / 3 1 / 2 0 2 0 3/ 4 / 2 0 1 6 1 . 2 4 % 1 , 0 0 0 , 0 0 0 . 0 0 1, 0 0 0 , 5 4 6 . 8 8 1, 0 0 0 , 5 3 6 . 8 3 1. 0 7 % 1 , 0 0 6 , 8 7 5 . 0 0 2, 0 9 4 . 7 8 0. 9 3 % 6 , 3 3 8 . 1 7 AA+Aaa3.843.73 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 8 , 6 4 3 . 5 1 1. 0 8 % 1 , 3 3 3 , 6 4 2 . 9 8 1, 4 4 0 . 2 2 1. 2 3 % 2 4 , 9 9 9 . 4 7 AA+Aaa3.923.81 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 March 31, 2016 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 K 5 8 1 . 3 8 % D u e 4 / 3 0 / 2 0 2 0 2/ 3 / 2 0 1 6 1 . 2 5 % 1 , 1 2 5 , 0 0 0 . 0 0 1, 1 3 0 , 9 3 2 . 6 2 1, 1 3 0 , 7 1 8 . 8 9 1. 1 1 % 1 , 1 3 6 , 6 4 6 . 0 0 6, 5 0 1 . 9 7 1. 0 5 % 5 , 9 2 7 . 1 1 AA+Aaa4.083.94 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 3 , 2 4 6 . 5 7 1. 1 2 % 1 , 4 2 4 , 0 5 9 . 0 0 17 , 2 5 0 . 0 0 1. 3 1 % 2 0 , 8 1 2 . 4 3 AA+Aaa4.133.82 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 3 , 2 9 9 . 1 9 1. 1 3 % 9 0 9 , 0 3 5 . 1 0 4, 1 5 8 . 8 1 0. 8 4 % 1 5 , 7 3 5 . 9 1 AA+Aaa4.174.02 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 7 , 4 1 9 . 1 9 1. 1 5 % 2 , 5 5 4 , 7 0 9 . 2 2 10 , 2 8 8 . 3 9 2. 3 5 % 5 7 , 2 9 0 . 0 3 AA+Aaa4.254.09 US T R E A S U R Y N O T E S 91 2 8 2 8 X M 7 1 . 6 3 % D u e 7 / 3 1 / 2 0 2 0 3/ 3 0 / 2 0 1 6 1 . 2 7 % 9 8 5 , 0 0 0 . 0 0 99 9 , 7 7 5 . 0 0 99 9 , 7 5 6 . 8 4 1. 1 6 % 1 , 0 0 4 , 5 0 7 . 9 3 2, 6 8 2 . 3 7 0. 9 2 % 4 , 7 5 1 . 0 9 AA+Aaa4.344.17 To t a l U . S . T r e a s u r y Bo n d / N o t e 1. 27 % 1 9 , 9 4 0 , 0 0 0 . 0 0 20 , 0 0 1 , 5 2 6 . 3 5 20 , 0 1 2 , 8 3 8 . 9 3 0. 9 1 % 2 0 , 2 3 4 , 9 6 1 . 3 8 62 , 2 7 7 . 0 7 18 . 6 2 % 2 2 2 , 1 2 2 . 4 5 AA+Aaa3.062.96 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 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 1 , 6 2 3 . 6 3 0. 4 3 % 2 8 1 , 9 1 8 . 2 8 34 2 . 2 2 0. 2 6 % 2 9 4 . 6 5 AA+Aaa0.440.44 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 , 0 3 0 . 2 0 0. 5 2 % 9 9 0 , 2 0 4 . 7 4 5, 1 1 6 . 5 3 0. 9 1 % 4 , 1 7 4 . 5 4 AA+Aaa0.630.62 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 , 3 3 0 . 7 2 0. 5 5 % 5 0 0 , 2 3 5 . 0 0 1, 1 1 1 . 1 1 0. 4 6 % ( 9 5 . 7 2 ) AA+Aaa0.650.64 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 , 7 3 8 . 7 7 0. 5 1 % 1 , 2 4 6 , 0 8 5 . 6 4 2, 0 1 0 . 1 6 1. 1 5 % 3 4 6 . 8 7 AA+Aaa0.750.74 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 , 2 0 8 . 9 6 0. 6 8 % 8 0 3 , 7 5 3 . 6 0 1, 6 9 4 . 4 4 0. 7 4 % 2 , 5 4 4 . 6 4 AA+Aaa0.840.83 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 0 , 7 9 6 . 1 7 0. 6 7 % 8 8 1 , 3 2 2 . 5 5 3, 5 2 3 . 0 7 0. 8 1 % 5 2 6 . 3 8 AA+Aaa0.870.85 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 7 , 3 1 1 . 4 9 0. 6 7 % 1 , 0 0 3 , 0 5 5 . 0 0 63 8 . 8 9 0. 9 2 % 5 , 7 4 3 . 5 1 AA+Aaa0.940.93 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 , 3 8 1 . 8 1 0. 6 9 % 5 0 3 , 0 7 3 . 5 0 2, 4 1 3 . 1 9 0. 4 6 % 6 9 1 . 6 9 AA+Aaa1.121.10 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 36 9 , 7 8 8 . 4 0 0. 7 1 % 3 7 0 , 5 7 9 . 0 3 2, 6 6 0 . 4 4 0. 3 4 % 7 9 0 . 6 3 AA+Aaa1.151.13 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 5 5 . 5 3 0. 6 8 % 5 1 4 , 6 7 7 . 1 0 1, 0 8 1 . 8 6 0. 4 7 % ( 7 8 . 4 3 ) AA+Aaa1.161.16 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 2 , 5 6 4 . 5 5 0. 6 9 % 7 0 2 , 6 4 1 . 8 0 1, 9 4 4 . 4 4 0. 6 5 % 7 7 . 2 5 AA+Aaa1.221.21 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 , 4 5 9 . 0 5 0. 7 6 % 7 7 7 , 3 0 5 . 6 3 1, 9 8 0 . 5 6 0. 7 2 % 8 4 6 . 5 8 AA+Aaa1.251.23 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 , 4 4 0 . 2 4 0. 7 6 % 1 3 5 , 4 0 1 . 6 3 34 5 . 0 0 0. 1 2 % ( 3 8 . 6 1 ) AA+Aaa1.251.23 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 , 3 9 0 . 0 4 0. 7 3 % 9 0 3 , 2 5 1 . 7 0 1, 5 7 5 . 0 0 0. 8 3 % 8 6 1 . 6 6 AA+Aaa1.331.31 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 , 1 4 5 . 2 6 0. 7 3 % 4 9 6 , 7 8 8 . 4 4 86 6 . 2 5 0. 4 6 % 6 4 3 . 1 8 AA+Aaa1.331.31 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 3 8 , 9 1 6 . 2 6 0. 7 3 % 1 , 2 3 9 , 4 6 2 . 0 6 2, 1 6 1 . 2 5 1. 1 4 % 5 4 5 . 8 0 AA+Aaa1.331.31 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 6 9 . 0 7 0. 7 2 % 6 5 0 , 2 8 2 . 7 5 44 6 . 8 8 0. 6 0 % 5 1 3 . 6 8 AA+Aaa1.411.40 FA N N I E M A E G L O B A L N O T E S 31 3 5 G 0 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 3 , 0 8 1 . 2 6 0. 7 1 % 6 2 6 , 4 0 8 . 1 3 50 1 . 3 0 0. 5 8 % 3 , 3 2 6 . 8 7 AA+Aaa1.411.40 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 , 5 3 3 . 4 7 0. 7 5 % 9 5 3 , 4 5 3 . 2 5 52 . 7 8 0. 8 8 % 1 , 9 1 9 . 7 8 AA+Aaa1.501.48 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 2 , 1 5 5 . 0 8 0. 7 5 % 6 2 6 , 1 7 7 . 5 0 2, 3 5 4 . 6 0 0. 5 8 % 4 , 0 2 2 . 4 2 AA+Aaa1.571.55 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 2 , 8 8 5 . 0 3 0. 7 7 % 7 9 9 , 7 1 6 . 0 0 1, 3 1 6 . 6 7 0. 7 4 % 6 , 8 3 0 . 9 7 AA+Aaa1.791.76 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 4 , 3 6 7 . 9 9 0. 8 0 % 9 0 1 , 3 4 4 . 6 0 52 5 . 0 0 0. 8 3 % 6 , 9 7 6 . 6 1 AA+Aaa1.931.91 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 , 7 1 4 . 8 6 0. 8 1 % 1 , 2 5 8 , 8 4 0 . 0 0 2, 7 7 3 . 4 4 1. 1 6 % 1 0 , 1 2 5 . 1 4 AA+Aaa2.302.27 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 March 31, 2016 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 FN M A B E N C H M A R K N O T E 31 3 5 G 0 H 6 3 1 . 3 8 % D u e 1 / 2 8 / 2 0 1 9 1/ 8 / 2 0 1 6 1 . 4 0 % 1 , 4 4 0 , 0 0 0 . 0 0 1, 4 3 9 , 1 0 7 . 2 0 1, 4 3 9 , 1 7 0 . 2 1 0. 9 1 % 1 , 4 5 8 , 7 6 1 . 7 6 3, 4 6 5 . 0 0 1. 3 4 % 1 9 , 5 9 1 . 5 5 AA+Aaa2.832.76 FN M A B E N C H M A R K N O T E 31 3 5 G 0 H 6 3 1 . 3 8 % D u e 1 / 2 8 / 2 0 1 9 2/ 1 6 / 2 0 1 6 0 . 9 6 % 3 3 5 , 0 0 0 . 0 0 33 9 , 0 4 3 . 4 5 33 8 , 8 7 4 . 2 8 0. 9 1 % 3 3 9 , 3 6 4 . 7 2 80 6 . 0 9 0. 3 1 % 4 9 0 . 4 4 AA+Aaa2.832.76 FR E D D I E M A C N O T E S 31 3 7 E A D Z 9 1 . 1 3 % D u e 4 / 1 5 / 2 0 1 9 3/ 2 1 / 2 0 1 6 1 . 1 4 % 8 1 0 , 0 0 0 . 0 0 80 9 , 7 3 2 . 0 0 80 9 , 7 3 4 . 4 7 0. 9 9 % 8 1 3 , 1 8 0 . 0 6 25 3 . 1 3 0. 7 5 % 3 , 4 4 5 . 5 9 AA+Aaa3.042.98 FR E D D I E M A C N O T E S 31 3 7 E A D Z 9 1 . 1 3 % D u e 4 / 1 5 / 2 0 1 9 3/ 2 9 / 2 0 1 6 1 . 1 2 % 9 5 0 , 0 0 0 . 0 0 95 0 , 0 6 6 . 5 0 95 0 , 0 6 6 . 4 1 0. 9 9 % 9 5 3 , 7 2 9 . 7 0 29 6 . 8 8 0. 8 8 % 3 , 6 6 3 . 2 9 AA+Aaa3.042.98 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 , 2 7 9 . 3 0 0. 9 8 % 9 2 1 , 5 5 9 . 5 0 5, 2 9 3 . 7 5 0. 8 5 % 1 9 , 2 8 0 . 2 0 AA+Aaa3.163.06 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 4 7 . 4 5 1. 0 4 % 5 1 1 , 1 6 0 . 5 0 2, 4 5 4 . 8 6 0. 4 7 % 1 1 , 4 1 3 . 0 5 AA+Aaa3.223.11 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 5 4 . 0 2 1. 0 4 % 3 5 7 , 8 1 2 . 3 5 1, 7 1 8 . 4 0 0. 3 3 % 7 , 6 5 8 . 3 3 AA+Aaa3.223.11 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 1 1 . 9 6 1. 0 4 % 1 0 2 , 2 3 2 . 1 0 49 0 . 9 7 0. 0 9 % 2 , 1 2 0 . 1 4 AA+Aaa3.223.11 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 8 , 5 7 1 . 3 0 1. 0 0 % 1 , 0 5 8 , 5 2 0 . 7 5 2, 1 8 7 . 5 0 0. 9 7 % 2 9 , 9 4 9 . 4 5 AA+Aaa3.343.25 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 6 , 5 5 6 . 8 5 1. 0 2 % 5 1 2 , 4 0 3 . 0 0 46 1 . 8 1 0. 4 7 % 5 , 8 4 6 . 1 5 AA+Aaa3.453.34 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 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 69 0 , 5 2 4 . 4 0 1. 1 2 % 7 0 3 , 0 1 3 . 5 0 4, 3 5 0 . 6 9 0. 6 5 % 1 2 , 4 8 9 . 1 0 AA+Aaa3.513.40 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 3 , 9 7 3 . 0 9 1. 1 6 % 1 , 2 9 1 , 7 9 8 . 2 8 4, 0 1 2 . 8 5 1. 1 9 % 1 7 , 8 2 5 . 1 9 AA+Aaa3.813.67 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 , 7 3 3 . 6 7 1. 1 6 % 7 1 2 , 0 1 4 . 8 0 2, 2 1 1 . 8 1 0. 6 6 % 1 4 , 2 8 1 . 1 3 AA+Aaa3.813.67 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 . 13 % 2 6 , 7 0 0 , 0 0 0 . 0 0 26 , 8 0 4 , 1 1 9 . 1 5 26 , 7 0 1 , 8 8 5 . 2 5 0. 8 1 % 2 6 , 9 0 1 , 5 2 8 . 9 5 65 , 4 3 8 . 8 2 24 . 7 6 % 1 9 9 , 6 4 3 . 7 0 AA+Aaa1.991.95 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 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 76 . 3 9 0. 9 2 % - NR NR0.720.72 RO Y A L B A N K O F C A N A D A N Y C D 78 0 0 9 N Z Z 2 1 . 7 0 % D u e 3 / 9 / 2 0 1 8 3/ 1 5 / 2 0 1 6 1 . 6 9 % 8 3 0 , 0 0 0 . 0 0 83 0 , 0 0 0 . 0 0 83 0 , 0 0 0 . 0 0 1. 3 8 % 8 3 4 , 2 5 7 . 9 0 82 3 . 0 8 0. 7 7 % 4 , 2 5 7 . 9 0 AA-Aa31.941.93 To t a l N e g o t i a b l e C D 0. 9 1 % 1 , 8 3 0 , 0 0 0 . 0 0 1, 8 3 0 , 0 0 0 . 0 0 1, 8 3 0 , 0 0 0 . 0 0 0. 7 8 % 1 , 8 3 4 , 2 5 7 . 9 0 89 9 . 4 7 1. 6 9 % 4 , 2 5 7 . 9 0 AA-Aa31.281.27 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 9 , 8 6 1 . 4 6 0 . 3 6 % 1 , 2 4 9 , 9 0 0 . 0 0 - 1 . 1 5 % 3 8 . 5 4 A-1 P-10.020.02 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 9 9 6 , 8 6 5 . 5 6 9 9 9 , 0 8 7 . 2 2 0 . 4 6 % 9 9 9 , 3 1 0 . 0 0 - 0 . 9 2 % 2 2 2 . 7 8 A-1 P-10.150.15 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 8 , 9 4 8 . 6 8 0 . 4 0 % 2 , 2 4 9 , 2 1 0 . 0 0 - 2 . 0 7 % 2 6 1 . 3 2 A-1 P-10.080.08 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 , 9 5 9 . 9 7 0. 4 8 % 7 0 0 , 0 1 4 . 0 0 1, 9 8 3 . 3 3 0. 6 4 % 5 4 . 0 3 AA Aa20.030.03 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 , 9 3 9 . 9 3 0. 5 3 % 6 9 9 , 9 3 8 . 4 0 1, 2 9 5 . 0 0 0. 6 4 % ( 1 . 5 3 ) AA+Aa10.090.09 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 6 , 2 8 9 . 2 4 0. 6 1 % 6 7 6 , 2 5 7 . 5 3 5, 4 8 2 . 5 0 0. 6 2 % ( 3 1 . 7 1 ) AAA Aaa0.120.12 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 3 , 8 4 3 . 9 2 0. 6 7 % 5 2 4 , 0 0 1 . 5 5 4, 0 7 5 . 0 4 0. 4 8 % 1 5 7 . 6 3 AA Aa20.130.14 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 7 , 1 4 3 . 4 2 0. 5 3 % 9 1 8 , 1 1 5 . 5 8 1, 6 9 5 . 2 9 0. 8 5 % 9 7 2 . 1 6 AA-Aa30.380.37 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 4 , 7 0 3 . 2 0 0. 8 5 % 7 0 5 , 8 6 1 . 8 0 4, 2 3 1 . 1 1 0. 6 5 % 1 , 1 5 8 . 6 0 AA Aa21.121.11 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 7 6 . 0 0 1. 0 3 % 7 5 1 , 3 5 3 . 7 5 1, 2 8 9 . 0 6 0. 6 9 % 1 , 7 7 7 . 7 5 AA-Aa31.851.82 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 March 31, 2016 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 8 1 . 2 8 1. 1 5 % 4 9 4 , 3 6 6 . 8 8 1, 6 4 5 . 5 8 0. 4 6 % 4 , 6 8 5 . 6 0 AA-Aa32.282.23 AM E R I C A N H O N D A F I N A N C E C O R P N O T E S 02 6 6 5 W B A 8 1 . 7 0 % D u e 2 / 2 2 / 2 0 1 9 2/ 2 3 / 2 0 1 6 1 . 7 1 % 3 9 0 , 0 0 0 . 0 0 38 9 , 9 2 2 . 0 0 38 9 , 9 2 4 . 6 8 1. 4 1 % 3 9 3 , 2 3 9 . 7 3 69 9 . 8 3 0. 3 6 % 3 , 3 1 5 . 0 5 A+A12.902.81 BE R K S H I R E H A T H A W A Y I N C N O T E S 08 4 6 6 4 C G 4 1 . 7 0 % D u e 3 / 1 5 / 2 0 1 9 3/ 1 5 / 2 0 1 6 1 . 7 3 % 1 9 5 , 0 0 0 . 0 0 19 4 , 8 5 1 . 8 0 19 4 , 8 5 3 . 9 5 1. 2 2 % 1 9 7 , 7 0 6 . 0 2 14 7 . 3 3 0. 1 8 % 2 , 8 5 2 . 0 7 AA Aa22.962.88 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 , 1 3 5 . 9 5 1. 2 7 % 1 , 0 2 1 , 7 2 7 . 0 0 2, 5 1 8 . 0 6 0. 9 4 % 1 1 , 5 9 1 . 0 5 AAA Aaa3.873.72 To t a l C o r p o r a t e N o t e 1. 0 7 % 7 , 0 3 8 , 0 0 0 . 0 0 7, 1 4 3 , 1 5 5 . 8 7 7, 0 5 6 , 0 5 1 . 5 4 0. 8 5 % 7 , 0 8 2 , 5 8 2 . 2 4 25 , 0 6 2 . 1 3 6. 5 2 % 2 6 , 5 3 0 . 7 0 AA Aa21.351.31 To t a l P o r t f o l i o 0. 8 1 % 1 0 8 , 1 0 4 , 9 3 4 . 1 8 1 0 8 , 3 6 7 , 2 9 6 . 9 4 1 0 8 , 1 9 6 , 6 5 8 . 5 8 0. 6 4 % 1 0 8 , 6 4 9 , 4 7 4 . 6 5 15 3 , 6 7 7 . 4 9 1 0 0 . 0 0 % 4 5 2 , 8 1 6 . 0 7 AA+1.181.14 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 10 8 , 8 0 3 , 1 5 2 . 1 4 *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 Se c t i o n V . M o n t h l y T r a n s a c t i o n s For the Month Ending January 31, 2016Managed 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 BUY 01/08/16 FNMA BENCHMARK NOTE DTD 01/08/2016 1.375% 01/28/2019 3135G0H63 (1,439,107.20) 0.00 (1,439,107.20) 1,440,000.00 01/06/16 0.00 (1,439,107.20)(1,439,107.20) 1,440,000.00 Transaction Type Sub-Total INTEREST 01/05/16 MONEY MARKET FUND MONEY0002 0.00 1.68 1.68 0.00 01/05/16 01/12/16 FHLMC NOTES DTD 11/21/2012 0.750% 01/12/2018 3137EADN6 0.00 3,000.00 3,000.00 800,000.00 01/12/16 01/13/16 TOYOTA MOTOR CREDIT CORP DTD 07/13/2015 1.550% 07/13/2018 89236TCP8 0.00 3,797.50 3,797.50 490,000.00 01/13/16 01/15/16 US TREASURY NOTES DTD 07/15/2013 0.625% 07/15/2016 912828VL1 0.00 2,343.75 2,343.75 750,000.00 01/15/16 01/20/16 FNMA NOTES DTD 06/08/2015 1.125% 07/20/2018 3135G0E33 0.00 7,031.25 7,031.25 1,250,000.00 01/20/16 01/21/16 FNMA NOTES DTD 01/12/2015 1.625% 01/21/2020 3135G0A78 0.00 10,318.75 10,318.75 1,270,000.00 01/21/16 01/21/16 FNMA NOTES DTD 01/12/2015 1.625% 01/21/2020 3135G0A78 0.00 5,687.50 5,687.50 700,000.00 01/21/16 01/28/16 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 01/28/16 01/28/16 FNMA BENCHMARK NOTE DTD 01/08/2016 1.375% 01/28/2019 3135G0H63 0.00 1,100.00 1,100.00 1,440,000.00 01/28/16 01/28/16 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 01/28/16 01/28/16 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 01/28/16 01/30/16 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 01/30/16 01/31/16 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 01/31/16 01/31/16 US TREASURY NOTES DTD 01/31/2012 1.250% 01/31/2019 912828SD3 0.00 2,093.75 2,093.75 335,000.00 01/31/16 59,102.31 59,102.31 0.00 11,740,000.00 Transaction Type Sub-Total 31 For the Month Ending January 31, 2016Managed 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 SELL 01/08/16 US TREASURY NOTES DTD 01/31/2012 1.250% 01/31/2019 912828SD3 1,439,831.25 7,875.00 1,447,706.25 4,725.00 3,542.13 SPEC LOT 1,440,000.00 01/07/16 7,875.00 3,542.13 4,725.00 1,447,706.25 1,439,831.25 1,440,000.00 Transaction Type Sub-Total 724.05 66,977.31 67,701.36 4,725.00 3,542.13 Managed Account Sub-Total Total Security Transactions $4,725.00 $67,701.36 $66,977.31 $724.05 $3,542.13 32 For the Month Ending February 29, 2016Managed 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 BUY 02/03/16 US TREASURY NOTES DTD 04/30/2015 1.375% 04/30/2020 912828K58 (1,130,932.62)(4,037.17)(1,134,969.79) 1,125,000.00 02/01/16 02/16/16 FNMA BENCHMARK NOTE DTD 01/08/2016 1.375% 01/28/2019 3135G0H63 (339,043.45)(230.31)(339,273.76) 335,000.00 02/12/16 02/23/16 AMERICAN HONDA FINANCE CORP NOTES DTD 02/23/2016 1.700% 02/22/2019 02665WBA8 (389,922.00) 0.00 (389,922.00) 390,000.00 02/18/16 (4,267.48)(1,864,165.55)(1,859,898.07) 1,850,000.00 Transaction Type Sub-Total INTEREST 02/01/16 MONEY MARKET FUND MONEY0002 0.00 3.97 3.97 0.00 02/01/16 02/01/16 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 02/01/16 02/06/16 IBM CORP NOTES DTD 02/06/2015 1.125% 02/06/2018 459200HZ7 0.00 4,218.75 4,218.75 750,000.00 02/06/16 02/10/16 FFCB NOTES DTD 02/10/2011 2.875% 02/10/2017 31331KBX7 0.00 12,434.38 12,434.38 865,000.00 02/10/16 02/12/16 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 02/12/16 02/15/16 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 02/15/16 02/28/16 FHLB NOTES DTD 07/24/2015 0.750% 08/28/2017 3130A62S5 0.00 2,437.50 2,437.50 650,000.00 02/28/16 02/28/16 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 02/28/16 02/29/16 US TREASURY NOTES DTD 02/28/2013 0.750% 02/28/2018 912828UR9 0.00 300.00 300.00 80,000.00 02/29/16 02/29/16 US TREASURY NOTES DTD 02/29/2012 1.375% 02/28/2019 912828SH4 0.00 3,437.50 3,437.50 500,000.00 02/29/16 02/29/16 US TREASURY NOTES DTD 02/28/2013 0.750% 02/28/2018 912828UR9 0.00 3,468.75 3,468.75 925,000.00 02/29/16 02/29/16 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 0.00 8,281.25 8,281.25 1,325,000.00 02/29/16 33 For the Month Ending February 29, 2016Managed 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 59,762.73 59,762.73 0.00 8,685,000.00 Transaction Type Sub-Total SELL 02/03/16 US TREASURY NOTES DTD 02/28/2011 2.125% 02/29/2016 912828QJ2 150,187.50 1,366.07 151,553.57 (8,449.72) 48.23 SPEC LOT 150,000.00 02/01/16 02/03/16 FHLB NOTES DTD 03/16/2010 3.125% 03/11/2016 3133XXP43 967,798.50 11,894.97 979,693.47 (83,651.03) 763.08 SPEC LOT 965,000.00 02/01/16 02/16/16 US TREASURY NOTES DTD 01/31/2012 1.250% 01/31/2019 912828SD3 338,860.35 184.07 339,044.42 4,998.83 4,694.24 SPEC LOT 335,000.00 02/12/16 02/23/16 US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 912828D23 398,378.91 2,002.23 400,381.14 6,078.52 6,179.48 SPEC LOT 390,000.00 02/18/16 15,447.34 11,685.03 (81,023.40) 1,870,672.60 1,855,225.26 1,840,000.00 Transaction Type Sub-Total (4,672.81) 70,942.59 66,269.78 (81,023.40) 11,685.03 Managed Account Sub-Total Total Security Transactions ($81,023.40)$66,269.78 $70,942.59 ($4,672.81)$11,685.03 34 For the Month Ending March 31, 2016Managed 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 03/04/16 US TREASURY NOTES DTD 02/02/2015 1.250% 01/31/2020 912828H52 (1,000,546.88)(1,133.24)(1,001,680.12) 1,000,000.00 03/02/16 03/15/16 BERKSHIRE HATHAWAY INC NOTES DTD 03/15/2016 1.700% 03/15/2019 084664CG4 (194,851.80) 0.00 (194,851.80) 195,000.00 03/08/16 03/15/16 ROYAL BANK OF CANADA NY CD DTD 03/11/2016 1.700% 03/09/2018 78009NZZ2 (830,000.00) 0.00 (830,000.00) 830,000.00 03/11/16 03/21/16 FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 3137EADZ9 (809,732.00) 0.00 (809,732.00) 810,000.00 03/18/16 03/29/16 FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 3137EADZ9 (950,066.50)(237.50)(950,304.00) 950,000.00 03/28/16 03/30/16 US TREASURY NOTES DTD 07/31/2015 1.625% 07/31/2020 912828XM7 (999,775.00)(2,594.42)(1,002,369.42) 985,000.00 03/29/16 (3,965.16)(4,788,937.34)(4,784,972.18) 4,770,000.00 Transaction Type Sub-Total INTEREST 03/01/16 MONEY MARKET FUND MONEY0002 0.00 72.16 72.16 0.00 03/01/16 03/07/16 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 03/07/16 03/08/16 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 03/08/16 03/09/16 FHLB NOTES DTD 08/26/2010 2.000% 09/09/2016 313370TW8 0.00 2,800.00 2,800.00 280,000.00 03/09/16 03/12/16 FNMA NOTES DTD 07/28/2014 1.750% 09/12/2019 3135G0ZG1 0.00 4,375.00 4,375.00 500,000.00 03/12/16 03/15/16 US TREASURY NOTES DTD 09/15/2015 1.000% 09/15/2018 912828L40 0.00 3,500.00 3,500.00 700,000.00 03/15/16 03/28/16 FFCB NOTES DTD 03/28/2012 1.050% 03/28/2016 3133EAJU3 0.00 4,851.00 4,851.00 924,000.00 03/28/16 03/29/16 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 03/29/16 03/30/16 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 03/30/16 03/31/16 US TREASURY NOTES DTD 09/30/2014 1.750% 09/30/2019 912828F39 0.00 7,000.00 7,000.00 800,000.00 03/31/16 35 For the Month Ending March 31, 2016Managed 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 03/31/16 US TREASURY NOTES DTD 09/30/2011 1.375% 09/30/2018 912828RH5 0.00 2,750.00 2,750.00 400,000.00 03/31/16 41,410.66 41,410.66 0.00 7,404,000.00 Transaction Type Sub-Total MATURITY 03/28/16 FFCB NOTES DTD 03/28/2012 1.050% 03/28/2016 3133EAJU3 924,000.00 0.00 924,000.00 (16,879.28) 0.00 924,000.00 03/28/16 03/30/16 FANNIE MAE GLOBAL NOTES DTD 02/15/2013 0.500% 03/30/2016 3135G0VA8 950,000.00 0.00 950,000.00 (1,434.50) 0.00 950,000.00 03/30/16 0.00 0.00 (18,313.78) 1,874,000.00 1,874,000.00 1,874,000.00 Transaction Type Sub-Total SELL 03/15/16 US TREASURY NOTES DTD 02/29/2012 1.375% 02/28/2019 912828SH4 196,919.53 109.29 197,028.82 1,934.76 1,930.85 SPEC LOT 195,000.00 03/08/16 03/15/16 FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 3135G0WJ8 164,392.80 457.19 164,849.99 622.05 478.84 SPEC LOT 165,000.00 03/11/16 03/15/16 FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 3135G0WJ8 428,417.60 1,191.46 429,609.06 8,323.08 3,796.26 SPEC LOT 430,000.00 03/11/16 03/15/16 US TREASURY NOTES DTD 02/28/2013 0.750% 02/28/2018 912828UR9 244,014.26 74.90 244,089.16 4,267.54 1,720.07 SPEC LOT 245,000.00 03/11/16 03/21/16 US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 912828D23 824,586.33 5,134.82 829,721.15 9,808.59 10,121.22 SPEC LOT 810,000.00 03/18/16 6,967.66 18,047.24 24,956.02 1,865,298.18 1,858,330.52 1,845,000.00 Transaction Type Sub-Total (1,052,641.66) 44,413.16 (1,008,228.50) 6,642.24 18,047.24 Managed Account Sub-Total Total Security Transactions $6,642.24 ($1,008,228.50)$44,413.16 ($1,052,641.66)$18,047.24 36