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HomeMy WebLinkAbout08-18-2018 IOC Agenda Packet    CITY OF SAN LUIS OBISPO INVESTMENT OVERSIGHT COMMITTEE REGULAR QUARTERLY AGENDA August 18, 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 May 12, 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 August 18, 2016   5. Items to be addressed at a future meeting 6. Adjourn to the next meeting to be held on November 10, 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.   Minutes Investment Oversight Committee Thursday, May 12, 2016 Regular Meeting of the Investment Oversight Committee CALL TO ORDER A Regular meeting of the Investment Oversight Committee was called to order on Thursday, May 12, 2016, at 1:30 p.m. in the Council Hearing Room at 990 Palm Street, San Luis Obispo, California, by Chair Johnson. ROLL CALL Present: Committee Members Xenia Bradford; Jan Marx; Vilma Warner, and Chair Derek Johnson Absent: Committee Members Steve Barasch, and Katie Lichtig Others Present: Al Eschenbach, Independent Auditor and ex-officio member, Sarah Meacham and Charles Cook, PFM Asset Management LLC (City’s Investment Advisor); Heather Goodwin, Deputy City Clerk PUBLIC COMMENT ON ITEMS NOT ON THE AGENDA None. 1. REVIEW OF INVESTMENT OVERSIGHT COMMITTEE MEETING MINUTES OF FEBRUARY 25, 2016 ACTION: MOTION BY COMMITTEE MEMBER MARX, SECOND BY COMMITTEE MEMBER WARNER, CARRIED 4-0-0-2, to approve the Investment Oversight Committee Meeting minutes of February 25, 2016. 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. Public Comment: None. City of San Luis Obispo, Title, Subtitle    DRAFT Minutes - Investment Oversight Committee Minutes of May 12, 2016 Page 2   ---End of Public Comment--- Chair Johnson discussed Committee Member Barasch’s email entitled “May 12, 2016 Investment Oversight Committee Meeting Agenda Packet” and responded to Committee inquiries. A copy of Committee Member Barasch’s document is included in the record. ACTION: MOTION BY COMMITTEE MEMBER MARX, SECOND BY COMMITTEE MEMBER BRADFORD, CARRIED 4-0-0-2, to confirm the Quarterly Investment Report for the period ending March 31, 2016 is in compliance with the City’s Investment Policy. 3. DISCUSSION OF CASH FLOW AND CITY INVESTMENTS Chair Johnson discussed the Cash Flow Analysis report. Committee questions followed. Public Comment: Leslie Halls, San Luis Obispo, stated that she would like to see a better rate of return on the City’s self-managed accounts and suggested that the City consider paying off long term debt. ---End of Public Comment--- Following discussion, the Committee received and filed the Cash Flow Analysis Report. 4. DISCUSSION OF INVESTMENT OVERSIGHT COMMITTEE CALENDAR The Committee discussed moving the August 11, 2016 Investment Oversight Committee meeting to maximize public participation, allow the Committee members to plan vacations, and to reduce meeting absences. Following discussion, Chair Johnson indicated that he would review Committee Members schedules to determine the next meeting date and report back to the Committee Members of said date. 5. ITEMS TO BE ADDRESSED AT A FUTURE MEETING Discussion ensued regarding Committee Members brining forward recommendations for discussion during future meetings. Following discussion, the Committee agreed to not add any additional recommendations at this time. City of San Luis Obispo, Title, Subtitle    DRAFT Minutes - Investment Oversight Committee Minutes of May 12, 2016 Page 3   ADJOURNMENT The meeting was adjourned at 2:13 p.m. to a date uncertain. APPROVED BY INVESTMENT OVERSIGHT COMMITTEE: 07/19/2016 Quarterly Investment Report As of June 30, 2016 August 10, 2016 This report presents the City’s investment portfolio for the quarter ending June 30, 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 Current Cash and Investment Summary The following is a summary of the City’s cash and investments based on market value as of June 30, 2016 compared with the prior quarter: March 31, 2016 June 30, 2016 Percent of Total Cash and investments held by the City 51,116,750 29,088,628 26.54% Cash and investments managed by PFM 57,532,724 75,903,231 69.25% Cash and investments held by trustees 4,635,459 4,623,364 4.22% TOTAL 113,284,933 109,615,223 100% 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 December, 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 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 June 30, 2016 the market value of the portfolio was $571,776 more than the cost basis. The portfolio’s yield on a market basis as of June 30, 2016 was .69%, and the yield on a cost basis was .96%. (These amounts do not reflect the returns on the assets held by the bond trustee.) As of June 30, 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 June 30, 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 Derek Johnson, Interim Director of Finance at (805) 781-7125. DISTRIBUTION LIST City Council Jan Howell Marx, Mayor John Ashbaugh, Vice Mayor Dan Carpenter, 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 Xenia Bradford, for Derek Johnson Assistant City Manager 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 Sarah Meacham, Managing Director Monique Skype, Portfolio Manager CITY OF SAN LUIS OBISPO SUMMARY OF INVESTMENTS As of June 30, 2016 Percent of Current Market Portfolio Yield Value Local Agency Investment Funds 77% 0.46% 22,328,155.00 Certificate of Deposit 3% 0.27% 1,000,000.00 Money Market Account 3% 0.21% 1,011,502.00 Checking Account 16% 0.25% 4,748,971.28 Treasury Issues 0% 0.00% 0.00 Total Investments Held by the City 100% 0.40% $29,088,628.28 Percent of Current Portfolio Yield Value Federal Agency Issues 47% 1.28% 35,383,205.00 Commercial Paper 13% 0.97% 9,636,600.00 Money Market Fund 0% 0.00% 253,629.00 US Corporate Notes 9% 1.48% 7,038,552.00 Negotiable CD 1% 0.91% 836,469.85 Treasury Issues 30% 0.79% 22,754,775.00 Total Investments Managed by Public Financial Management 100% 1.10% $75,903,230.85 Percent of Current Market Trustee Portfolio Yield Value First American Treasury Funds 1.89% 0.00% 87,286.00 Other Money Market Accounts 0.25% 0.02% 11,518.00 Certificate of Deposit 0.00% 0.00% Guaranteed Investment Contracts 44.05% see below 2,036,624.00 Federal Agency Issues 17.89% 2.47% 827,310.00 Treasury Issues 35.92% Varies 1,660,626.00 Total Investments Held by Trustees 100% $4,623,364.00 Total of all Investments--Market Value $109,615,223.13 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 June 30, 2016 Managed Managed Percent of Market by City by PFM Portfolio Value On Demand 28,088,628.28 97% 28,088,628.28 Within Three Months 0.00 0% 0.00 Within Six Months 1,000,000.00 3% 1,000,000.00 Six Months to One Year 0% 0.00 Within One to Five Years 0.00 0% 0.00 Over Five Years 0% 0.00 TOTAL 29,088,628.28 - 100% $29,088,628.28 Percent of Market Portfolio Value On Demand 2% 98,804.00 Within Six Months 0% Six Months to One Year 0% 0.00 Within One to Five Years 24% 1,121,180.00 Over Five Years 74% 3,403,380.00 TOTAL 100% $4,623,364.00 Total of all Investments--Market Value $33,711,992.28 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 June 30, 2016 Agency Investment Coupon Current Purchase Maturity Market (Broker) Description Rate Yield Date Date Value Local Agency Money Market Fund On Investment Fund City NA 0.46% Varies Demand 22,260,508.00 Local Agency Money Market Fund On Investment Fund CIB NA 0.46% Varies Demand 67,647.00 On Bank of America Checking Account NA 0.25% Varies Demand 4,748,971.28 Collateralized Heritage Oaks Certificate of Deposit NA 0.27% 12/20/2013 12/20/2015 1,000,000.00 On Heritage Oaks Money Market Account NA 0.21% 1/24/2012 Demand 1,011,502.00 TOTAL $29,088,628.28 INVESTMENTS HELD AND MANAGED BY THE CITY CITY OF SAN LUIS OBISPO INVESTMENT DETAIL As of June 30, 2016 Agency Investment Coupon Current Purchase Maturity Market (Broker) Description Rate Yield Date Date Value 2005 Refunding Lease Revenue Bonds U. S. Bank First American Corporate Trust Services Treasury Fund N/A 0.00% Varies on demand $0.00 U. S. Bank United States Corporate Trust Services Treasury Bonds 6.00% 4.26% 6/26/96 2/15/26 $828,092.00 2006 Lease Revenue Bonds U. S. Bank First American Corporate Trust Services Treasury Fund N/A 0.00% Varies on demand $27,439.00 Guaranteed FSA Capital Investment Contract Management Services LLC Treasury Fund 5.545% 5.545% 5/11/06 5/26/36 $1,001,276.00 2006 Water Revenue Bonds U. S. Bank First American Corporate Trust Services Treasury Fund N/A 0.00% Varies on demand $27,875.00 Guaranteed FSA Capital Investment Contract Management Services LLC Treasury Fund 5.355% 5.355% 8/17/06 5/28/36 $1,035,348.00 2009 Lease Revenue Bonds U. S. Bank First American Corporate Trust Services Treasury Fund N/A 0.00% Varies on demand $31,972.00 U. S. Bank Corporate Trust Services Federal Home Loan Bank 1.00% 0.99% 11/25/2014 6/21/2017 $35,137.00 U. S. Bank Fed Home Loan Mort. Corp Corporate Trust Services Medium term Note 0.75% 0.75% 11/25/2014 1/12/2018 $80,137.00 U. S. Bank Corporate Trust Services U.S. Treasury Note 0.88% 0.88% 11/25/2014 1/31/2018 $70,325.00 U. S. Bank Federal Nat'l Mtge. Assoc. Corporate Trust Services Debenture 0.88% 0.88% 11/25/2014 2/8/2018 $80,408.00 U. S. Bank Corporate Trust Services Federal Home Loan Bank 1.38% 1.36% 11/25/2014 3/9/18 $70,816.00 U. S. Bank Corporate Trust Services U.S. Treasury Note 1.38% 1.36% 11/25/2014 6/30/2018 $71,064.00 U. S. Bank Federal Nat'l Mtge. Assoc. Corporate Trust Services Debenture 1.88% 1.83% 11/25/2014 9/18/2018 $35,984.00 U. S. Bank Corporate Trust Services U.S. Treasury Note 1.50% 1.49% 11/25/2014 2/28/2019 $71,499.00 U. S. Bank Corporate Trust Services U.S. Treasury Note 1.13% 1.13% 11/25/2014 5/31/2019 $80,982.00 U. S. Bank Fed Home Loan Mort. Corp Corporate Trust Services Debenture 1.25% 1.26% 11/25/2014 8/1/2019 $80,982.00 U. S. Bank Corporate Trust Services Federal Nat'l Mtge. Assoc. 1.75% 1.74% 11/25/2014 9/12/2019 $51,385.00 INVESTMENTS HELD BY TRUSTEES FOR BOND DEBT SERVICE OBLIGATIONS 2012 Water Revenue Refunding Bonds (Refunded 2002 Water Revenue Bonds) U. S. Bank U.S Bank Money Corporate Trust Services Market Account N/A 0.02% Varies on demand $2,260.00 U. S. Bank United States Corporate Trust Services Treasury Bond 2.00% 2.00% Varies 11/25/21 $235,854.00 U. S. Bank United States Corporate Trust Services Treasury Note 7.125% 5.150% Varies 2/15/23 $302,810.00 2012 Revenue Refunding Bonds (Refunded 2001 Revenue Refunding Bonds) U. S. Bank U.S Bank Money Corporate Trust Services Market Account NA 0.00% Varies on demand $9,258.00 U. S. Bank Corporate Trust Services Federal Home Loan Bank 5.50% 5.21% Varies 8/15/16 $392,461.00 TOTAL $4,623,364.00 CITY OF SAN LUIS OBISPO INVESTMENT DETAIL As of June 30, 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 6/30/2015 Benchmark 06/30/2016 Portfolio 03/31/2016 Portfolio Average Maturity (yrs)2.25 2.22 2.22 Modified Duration 2.18 2.16 2.15 Average Purchase Yield n/a 1.18% 1.16% Average Market Yield 0.75% 0.80% 0.84% Average Quality AA+AA+/Aaa AA+/Aaa Total Market Value $75,903,231 $57,232,725 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. MANAGED BY PUBLIC FINANCIAL MANAGEMENT City of San Luis Obispo Investment Report Period Ending June 30, 2016 PFM Asset Management LLC 50 California Street, Suite 2300 San Francisco, CA 94111 (415) 982-5544 •Section I. Economic Update •Section II. Account Profile •Section III. Consolidated Information •Section IV. Portfolio Holdings •Section V. Monthly Transactions Table of Contents © PFM Asset Management LLC 1 Section I. Economic Update 2 3 •On June 23rd, after 43 years of membership, Britons voted for the United Kingdom to leave the EU. •This historic move is expected to have a major economic impact on both the UK and its major trading partners within the EU. Source: Bloomberg, as of 12/31/2015. $0 $40 $80 $120 $160 GermanyNetherlandsFranceBelgiumSpainItalySwedenPolandBillionTotal Trade with the U.K. Germany 21% United Kingdom 16% France 15% Italy 12% Spain 7% Netherlands 5% Sweden 3% Poland 3% Belgium 3%Others 15% European Union GDP by Country The Brexit Referendum © PFM Asset Management LLC 4 Source: Federal Reserve. Bloomberg. WIRP as of 7/8/16. Meeting 12/31/15 3/31/16 6/30/16 07/27/16 79%32%0% 09/21/16 87%41%0% 11/2/16 89%45%0% 12/14/16 93%54%9% 2/1/17 95%58%9% Probability of Fed Rate Hike•Although the U.S. financial markets have mostly recovered from Brexit, the Federal Reserve will likely be more cautious about lifting rates in the second half of the year. •The Fed’s June minutes suggest that officials will be assessing the economic consequences as they unfold before shifting from the current monetary stance. •The British economy is expected to slow. According to a study by the country’s treasury, the U.K. could suffer a mild recession as a result of Brexit. •Business spending and investment will likely be delayed in the U.K. •Brexit raises concerns about the EU’s future and sets the stage for potential political contagion within the group. Implications of Brexit © PFM Asset Management LLC 5 $20 $30 $40 $50 $60 $70 Jan '15Feb '15Mar '15Apr '15May '15Jun '15Jul '15Aug '15Sep '15Oct '15Nov '15Dec '15Jan '16Feb '16Mar '16Apr '16May '16Jun '16Jul '161,800 1,900 2,000 2,100 2,200 Jan '15Feb '15Mar '15Apr '15May '15Jun '15Jul '15Aug '15Sep '15Oct '15Nov '15Dec '15Jan '16Feb '16Mar '16Apr '16May '16Jun '16Jul '162500 3000 3500 4000 4500 5000 5500 Jan '15Feb '15Mar '15Apr '15May '15Jun '15Jul '15Aug '15Sep '15Oct '15Nov '15Dec '15Jan '16Feb '16Mar '16Apr '16May '16Jun '16Jul '161.25% 1.50% 1.75% 2.00% 2.25% 2.50%Jan' 15Feb' 15Mar' 15Apr' 15May' 15Jun' 15Jul' 15Aug' 15Sep' 15Oct' 15Nov' 15Dec' 15Jan' 16Feb' 16Mar' 16Apr' 16May' 16Jun' 16Jul' 16Source: Bloomberg Shanghai Equity Composite S&P 500 10-Year U.S. TreasuryCrude Oil (WTI) Brexit Global Market Conditions 2015-16 © PFM Asset Management LLC 6 Source: Bloomberg, as of 6/30/16. -1.19%-0.66%-0.63%-0.55%-0.30%-0.20%-0.11% 0.09%0.52%0.56%0.58% 1.59% -2.00% -1.00% 0.00% 1.00% 2.00%SWITZERLANDGERMANYSWEDENFRANCEJAPANSPAINITALYUNITEDKINGDOMCANADAPORTUGALUNITEDSTATESAUSTRALIA2-Year Bond Yields -0.61% -0.22%-0.13% 0.18%0.25% 1.06%1.26%0.86%1.16%1.47%1.98% 2.99% -1.00% 0.00% 1.00% 2.00% 3.00% 4.00%SWITZERLANDJAPANGERMANYFRANCESWEDENCANADAITALYUNITEDKINGDOMSPAINUNITEDSTATESAUSTRALIAPORTUGAL10-Year Bond Yields Global Interest Rates © PFM Asset Management LLC 7 Source: Bloomberg 12/31/15 3/31/16 6/30/16 3-month 0.16%0.20%0.25% 6-month 0.47%0.38%0.35% 1-year 0.60%0.58%0.44% 2-year 1.05%0.72%0.60% 3-year 1.31%0.85%0.71% 5-year 1.76%1.20%1.02% 10-year 2.27%1.77%1.47% 30-Year 3.02%2.61%2.31% MaturityYieldU.S. Treasury Curve 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 5 Y December 31, 2015 March 31, 2016 June 30, 2016 U.S. Treasury Yield Curve © PFM Asset Management LLC 8 Source: Federal Reserve June 15 •The pace of improvement in the labor market has slowed while growth in economic activity appears to have picked up. Although the unemployment rate has declined, job gains have diminished.Growth in household spending has strengthened…the housing sector has continued to improve and the drag from net exports appears to have lessened, but business fixed income has been soft. •Inflation has continued to run below the Committee’s 2% longer-run objective, partly reflecting earlier declines in energy prices and in prices of non-energy imports. Market-based measures of inflation compensation declined…inflation is expected to remain low in the near term. •The Committee continues to closely monitor inflation indicators and global economic and financial developments. •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. FOMC Statement Highlights © PFM Asset Management LLC 9 •U.S. GDP growth increased in the second quarter of 2016, growing at 1.2% according to the final estimate by the Bureau of Economic Analysis. •Second quarter GDP reflected positive contributions from person consumption and exports that were partly offset by reduced business investment, inventories and declining government spending. Source: Bureau of Economic Analysis; Bloomberg survey results as of 06/30/2016. -2% -1% 0% 1% 2% 3% 4% 5% 6%Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q2Q3Q4Q1Q22012 2013 2014 2015 2016 2017QoQ % Change; Seasonally Adjusted Annualized RateU.S. Real GDP Bloomberg Survey of Economists U.S. Economy on Moderate Growth Track © PFM Asset Management LLC 10 •The core personal consumption expenditures (PCE) price index, the Fed’s preferred gauge of core inflation, grew 1.6% year-over-year through June 2016, but continues to undershoot the 2% target. •Wage growth continues to show modest improvement, while higher prices from housing and health care remain strong drivers of inflation. Source: Bloomberg as of 05/31/2016. 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0%Jun '06Jun '07Jun '08Jun '09Jun '10Jun '11Jun '12Jun '13Jun '14Jun '15Jun '16YoY % ChangeInflation Measures Core CPI Core PCE Fed's Long Term Inflation Target Inflation Rising Slowly © PFM Asset Management LLC 11 •The U.S. Labor market added 287,000 jobs in June, after a shockingly low 11,000 in May. •The unemployment rate rose to 4.9% in June as more workers entered the labor market, indicated by the slight increase in labor force participation rate to 62.7%. •Average hourly earnings increased by 0.1% month-over-month while annual growth is at 2.6%. Source: Bureau of Labor Statistics, as of 06/30/2016. 0K 50K 100K 150K 200K 250K 300K 350K 400K Jun '11Dec '11Jun '12Dec '12Jun '13Dec '13Jun '14Dec '14Jun '15Dec '15Jun '16Monthly Change in Nonfarm Payrolls 4% 5% 6% 7% 8% 9% 10%Jun '11Dec '11Jun '12Dec '12Jun '13Dec '13Jun '14Dec '14Jun '15Dec '15Jun '16Unemployment Rate U.S. Labor Market Rebounds in June © PFM Asset Management LLC 12 0% 1% 2% 3% 4% 5% Jun-16 Minutes Mar-16 Minutes Jun-16 Median Mar-16 Median Fed Fund Futures Source: FOMC, Fed Funds Futures as of 6/16/16. Individual dots represent each of the 17 FOMC members’ judgment of the midpoint of the appropriate target range for the federal funds ra te. 2016 2017 2018 Longer Term Fed members lowered expectations in June Fed Dot Plot © PFM Asset Management LLC Section II. Account Profile 13 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 14© PFM Asset Management LLC •PFMAM maintained the portfolio’s duration position neutral to that of its benchmark throughout the quarter. •The yield relationship between U.S. Treasury and federal agency securities remained mostly range -bound during the quarter, but agencies could not quite keep pace with the significant Treasury rally that resulted from Brexit. •Corporate yield spreads continued to march tighter throughout the second quarter as credit conditions improved from the first quarter slowdown in economic growth. •We saw continued value in utilizing 6-12 month commercial paper and negotiable CDs in lieu of 1 -2 year Treasuries and agencies. This allowed us to capture high yields without additional interest rate risk exposure. •The City invested $18 million into its Operating Funds Portfolio which was distributed across the yield curve. Second Quarter 2016 Recap 15© PFM Asset Management LLC $0 $2 $4 $6 $8 $10 $12 Under 1 Year 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years Summary of 2nd Quarter 2016 Purchases by Maturity and Sector U.S. Treasuries Federal Agencies Commercial Paper Corporate Notes Category Standard Comment Treasury Obligations 5 year maximum maturity Complies Government Sponsored Enterprise (GSE) Securities 5 year maximum maturity Complies Corporate Notes 5 year maximum maturity At least two “A” rating; at least one “AA” for financials 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 At least a “AA” or “A-1” 30% maximum,5% per issuer Complies Commercial Paper 270 day maximum maturity At least one “A-1” rating 40% maximum,10% per issuer Complies Collateralized Bank Deposits 25% maximum, 5% per issuer Complies Money Market Mutual Funds Highest rating category by 2 NRSROs 20% maximum,10% per issuer Complies Maximum maturity 10 years; 10% maximum of portfolio in Treasury and GSE obligations with maturity >5 years Complies Duration limit Duration of portfolio equal duration of benchmark plus or minus 10%Complies Social responsibility No investments in companies involved in tobacco, electronic cigarettes, or the direct production or drilling of fossil fuels Complies Compliance 16 •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. Source: City of San Luis Obispo Investment Management Plan, June 2015. © PFM Asset Management LLC City of San Luis Obispo –PFM Managed Portfolio Characteristics 6/30/16 3/31/16 Benchmark Portfolio Portfolio Average Maturity (years)2.24 2.22 2.22 Effective Duration*2.16 2.16 2.15 Average Purchase Yield N/A 1.18%1.16% Average Market Yield 0.64%0.80%0.84% Average Quality AA+AA+/Aaa AA+/Aaa Total Market Value -75,903,231 57,532,725 Account Profile 17 •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 18 June 30, 2016 March 31, 2016 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 U.S. Treasury $22,754,775 30% Federal Agency $35,383,205 47% Negotiable CD $836,470 1% Commercial Paper $9,636,600 13% Corporate $7,038,552 9% Money Market Fund $253,629 <1% Issuers 19 Issuer Name Investment Type % Portfolio U.S. Treasury U.S. Treasury 29.98% FNMA Federal Agency 20.02% FHLMC Federal Agency 16.06% FHLB Federal Agency 9.39% BNP Paribas NY Commercial Paper 2.95% Bank of Tokyo Mitsubishi Commercial Paper 2.63% Toyota Motor Credit Corp Commercial Paper 2.62% JP Morgan Commercial Paper 2.49% Bank of Montreal Chicago Commercial Paper 1.35% Microsoft Corp Corporate Note 1.35% Wells Fargo & Company Corporate Note 1.32% BNY Mellon Corporate Note 1.31% Procter & Gamble Corporate Note 1.21% Berkshire Hathaway Corporate Note 1.19% FFCB Federal Agency 1.16% Royal Bank of Canada NY Negotiable CD 1.10% IBM Corporate Note 0.99% Burlington North Corporate Note 0.73% Credit Agricole Commercial Paper 0.66% Toyota Motor Credit Corp Corporate Note 0.65% American Honda Finance Corporate Note 0.52% Dreyfus Prime Cash Management Fund Money Market Fund 0.33% Total 100.00% As of June 30, 2016. City of San Luis Obispo Issuer Distribution –PFM Managed © PFM Asset Management LLC Quality Distribution 20 AAA AA A <A A-1 NR 6/30/2016 1.7%81.7%3.9%0.0%12.7%0.0% 3/31/2016 3.4%92.1%0.7%0.0%3.9%0.0% City of San Luis Obispo Credit Quality –PFM Managed June 30, 2016 vs. March 31, 2016 Ratings by Standard & Poor’s. © PFM Asset Management LLC 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% AAA AA A <A A-1 NR 6/30/2016 3/31/2016 Maturity Distribution 21 0 –0.25 0.25 –0.5 0.50 –1 1 –2 2 –3 3 –4 4 –5 Portfolio 2.2%7.4%19.8%18.0%20.8%19.3%12.5% Benchmark 7.4%6.3%12.0%23.0%21.4%17.8%12.1% 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 June 30, 2016. © PFM Asset Management LLC 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 Investment Performance 22 City of San Luis Obispo Total Return Period Ending June 30, 2016 Total Rate of Return •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 0.55%1.86%2.06%1.81% 0-5 Yr.Treasury Index 0.67%1.94%1.98%1.84% © PFM Asset Management LLC 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3 Months Periodic 6 Months Periodic 1 Year Since Inception Periodic City of San Luis Obispo 0-5 Yr. Treasury Index Current Outlook and Strategy •We expect the U.S. economy to expand at a moderate pace in the second half of 2016, but concern about Brexit may be a marginal drag. Outside the U.S., economic prospects are more uncertain as focus has shifted to the repercussions of the U.K.’s decision to leave the EU. We will be closely monitoring incoming economic data for any changes to that view. •The Brexit vote changed the prospects for expected Fed action. We now expect no rate hikes until December at the earliest, or even into 2017. This “lower for longer” landscape has implications for both expected returns and risks. Given the likelihood that rates will not move significantly higher in the near-term, we plan to keep the Operating Portfolio’s duration neutral to that of its benchmark, avoiding any significant mismatches. •Federal agency yield spreads widened modestly post-Brexit. New issues will likely continue to offer opportunities to capture incremental yield versus outstanding agency issues and comparable maturity Treasuries. •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 U.S. financial industry, where capital is strong and spreads are wide. But, we are taking our time to closely review issuers’ exposure to the UK and Europe, and are being more cautious about adding credit exposure at this time. 23© PFM Asset Management LLC City of San Luis Obispo -Internal Portfolio Characteristics 6/30/16 3/31/16 Portfolio Portfolio Average Maturity (years)0.02 0.02 Effective Duration*0.02 0.02 Average Purchase Yield 0.41%0.42% Average Market Yield 0.41%0.42% Average Quality AA+/Aaa AA+/Aaa Total Market Value 29,088,628 51,116,750 Account Profile 24 *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 25 LAIF $42,307,225 83% Money Market Rate Account $1,010,748 2% Negotiable CD $1,000,000 2% Cash $6,798,776 13% June 30, 2016 March 31, 2016 City of San Luis Obispo Sector Distribution –Internal *Sector distribution includes market value and excludes accrued interest. © PFM Asset Management LLC LAIF $22,328,155 77% Money Market Rate Account $1,011,502 4% Negotiable CD $1,000,000 3% Cash $4,748,971 16% Issuers 26 As of June 30, 2016. City of San Luis Obispo Issuer Distribution –Internal Issuer Name Investment Type % Portfolio LAIF LAIF 76.76% Cash Cash 16.33% Heritage Oaks Bank Money Market Rate Account 3.48% Heritage Oaks Bank Negotiable CD 3.44% Total 100.00% © PFM Asset Management LLC Section III. Consolidated Information 27 Category Standard Comment Treasury Obligations 5 year maximum maturity Complies Government Sponsored Enterprise (GSE) Securities 5 year maximum maturity Complies Corporate Notes 5 year maximum maturity At least two “A” rating; at least one “AA” for financials 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 At least a “AA” or “A-1” 30% maximum,5% per issuer Complies Commercial Paper 270 day maximum maturity At least one “A-1” rating 40% maximum,10% per issuer Complies Collateralized Bank Deposits 25% maximum, 5% per issuer Complies Money Market Mutual Funds Highest rating category by 2 NRSROs 20% maximum,10% per issuer Complies Maximum maturity 10 years; 10% maximum of portfolio in Treasury and GSE obligations with maturity >5 years Complies Duration limit Duration of portfolio equal duration of benchmark plus or minus 10%Complies Social responsibility No investments in companies involved in tobacco, electronic cigarettes, or the direct production or drilling of fossil fuels Complies Compliance 28 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 *Applies to aggregate portfolio. Source: City of San Luis Obispo Investment Management Plan, June 2015. City of San Luis Obispo -Consolidated Portfolio Characteristics 6/30/16 3/31/16 Portfolio Portfolio Average Maturity (years)1.61 1.18 Effective Duration*1.57 1.15 Average Purchase Yield 0.97%0.81% Average Market Yield 0.69%0.65% Average Quality AA+/Aaa AA+/Aaa Total Market Value 104,991,859 108,649,475 Account Profile 29 *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 30 June 30, 2016 March 31, 2016 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 U.S. Treasury $22,754,775 22% Federal Agency $35,383,205 34%Commercial Paper $9,636,600 9% Corporate $7,038,552 7% Negotiable CD $1,836,470 2% Money Market Fund $253,629 <1% Money Market Rate Account $1,011,502 1% LAIF $22,328,155 21% Cash $4,748,971 4% Maturity Distribution 31 0 –0.25 0.25 –0.50 0.50 –1 1 –2 2 –3 3 –4 4 –5 6/30/2016 28.3%6.3%14.3%13.0%15.0%13.9%9.0% 3/31/2016 52.3%1.8%5.9%13.4%7.1%13.0%6.5% City of San Luis Obispo Portfolio Maturity Distribution –Consolidated Callable securities in portfolio are included in the maturity distribution analysis to their stated maturity date, although they may b e called prior to maturity. © PFM Asset Management LLC 0.0% 10.0% 20.0% 30.0% 40.0% 50.0% 60.0% 0 - 0.25 0.25 - 0.50 0.50 -1.00 1 - 2 2 - 3 3 - 4 4 - 5 6/30/2016 3/31/2016 Issuers 32 Issuer Name Investment Type % Portfolio U.S. Treasury U.S. Treasury 21.67% LAIF LAIF 21.27% FNMA Federal Agency 14.47% FHLMC Federal Agency 11.61% FHLB Federal Agency 6.79% Cash Cash 4.52% BNP Paribas NY Commercial Paper 2.13% Bank of Tokyo Mitsubishi Commercial Paper 1.90% Toyota Motor Credit Corp Commercial Paper 1.90% JP Morgan Commercial Paper 1.80% Bank of Montreal Chicago Commercial Paper 0.97% Microsoft Corp Corporate Note 0.97% Heritage Oaks Bank Money Market Rate Account 0.96% Wells Fargo & Company Corporate Note 0.96% Heritage Oaks Bank Negotiable CD 0.95% BNY Mellon Corporate Note 0.95% Procter & Gamble Corporate Note 0.87% Berkshire Hathaway Corporate Note 0.86% FFCB Federal Agency 0.84% Royal Bank of Canada NY Negotiable CD 0.80% IBM Corporate Note 0.72% Burlington North Corporate Note 0.53% Credit Agricole Commercial Paper 0.48% Toyota Motor Credit Corp Corporate Note 0.47% American Honda Finance Corporate Note 0.38% Dreyfus Prime Cash Management Fund Money Market Fund 0.24% Total 100.00% As of June 30, 2016. City of San Luis Obispo Issuer Distribution –Consolidated © PFM Asset Management LLC Section IV. Portfolio Holdings 33 City of San Luis Obispo Holdings Report For the Quarter Ending June 30, 2016 Security Description Settle Date YTM at Cost Par Cost Value Amortized Cost YTM at Market Market Value* Accrued Interest % of Portfolio Unreal G/L Amort Cost S&P/ Moody's Years to Maturity Duration LAIF LOCAL AGENCY INVESTMENT FUND Various 0.46%22,328,155.00 22,328,155.00 22,328,155.00 0.46%22,328,155.00 - 21.27%- NR NR 0.00 0.00 Total LAIF 0.46%22,328,155.00 22,328,155.00 22,328,155.00 0.46%22,328,155.00 - 21.27%- NR NR 0.00 0.00 Money Market Fund DREYFUS PRIME CASH MANAGEMNT MONEY MARKET FUND Various 0.00%253,629.08 253,629.08 253,629.08 0.00%253,629.08 - 0.24%- AAA Aaa 0.00 0.00 Total Money Market Fund 0.00%253,629.08 253,629.08 253,629.08 0.00%253,629.08 - 0.24%- AAA Aaa 0.00 0.00 Cash CASH ACCOUNT Various 0.25%4,748,971.28 4,748,971.28 4,748,971.28 0.25%4,748,971.28 - 4.52%- NR NR 0.00 0.00 CASH HERITAGE OAKS BANK MONEY MARKET RATE ACCOUNT Various 0.25%1,011,502.00 1,011,502.00 1,011,502.00 0.25%1,011,502.00 - 0.96%- NR NR 0.00 0.00 Total Cash 0.25%5,760,473.28 5,760,473.28 5,760,473.28 0.25%5,760,473.28 - 5.49%- NR NR 0.00 0.00 U.S. Treasury Bond/Note US TREASURY NOTES 912828SY7 0.63% Due 5/31/2017 5/13/2013 0.62%135,000.00 135,005.73 135,001.32 0.53%135,121.23 71.47 0.13%119.91 AA+ Aaa 0.92 0.91 US TREASURY NOTES 912828TB6 0.75% Due 6/30/2017 9/17/2013 1.18%575,000.00 565,882.79 572,558.90 0.52%576,325.38 11.72 0.55%3,766.48 AA+ Aaa 1.00 1.00 US TREASURY NOTES 912828TB6 0.75% Due 6/30/2017 6/7/2016 0.68%1,690,000.00 1,691,254.30 1,691,177.91 0.52%1,693,895.45 34.44 1.61%2,717.54 AA+ Aaa 1.00 1.00 US TREASURY NOTES 912828UE8 0.75% Due 12/31/2017 8/13/2013 1.28%625,000.00 611,061.66 620,148.68 0.57%626,635.63 12.74 0.60%6,486.95 AA+ Aaa 1.50 1.49 US TREASURY NOTES 912828UR9 0.75% Due 2/28/2018 4/24/2014 1.32%680,000.00 665,419.46 673,603.61 0.59%681,859.12 1,704.62 0.65%8,255.51 AA+ Aaa 1.67 1.65 US TREASURY NOTES 912828UR9 0.75% Due 2/28/2018 12/9/2015 1.06%80,000.00 79,456.25 79,591.99 0.59%80,218.72 200.54 0.08%626.73 AA+ Aaa 1.67 1.65 US TREASURY NOTES 912828L40 1.00% Due 9/15/2018 10/14/2015 0.92%700,000.00 701,667.97 701,265.03 0.63%705,687.50 2,054.35 0.67%4,422.47 AA+ Aaa 2.21 2.18 US TREASURY NOTES 912828RH5 1.38% Due 9/30/2018 2/19/2015 1.25%400,000.00 401,765.63 401,109.87 0.63%406,609.20 1,382.51 0.39%5,499.33 AA+ Aaa 2.25 2.21 US TREASURY NOTES 912828RY8 1.38% Due 12/31/2018 2/9/2015 1.08%500,000.00 505,527.34 503,576.54 0.66%508,847.50 18.68 0.48%5,270.96 AA+ Aaa 2.50 2.46 US TREASURY NOTES 912828RY8 1.38% Due 12/31/2018 3/24/2015 1.17%1,000,000.00 1,007,539.06 1,005,033.29 0.66%1,017,695.00 37.36 0.97%12,661.71 AA+ Aaa 2.50 2.46 US TREASURY NOTES 912828RY8 1.38% Due 12/31/2018 4/13/2015 1.10%600,000.00 606,070.31 604,109.01 0.66%610,617.00 22.42 0.58%6,507.99 AA+ Aaa 2.50 2.46 US TREASURY NOTES 912828TH3 0.88% Due 7/31/2019 7/15/2015 1.46%1,275,000.00 1,245,565.43 1,252,411.90 0.74%1,280,230.05 4,658.65 1.22%27,818.15 AA+ Aaa 3.08 3.03 US TREASURY NOTES 912828F39 1.75% Due 9/30/2019 10/14/2015 1.25%800,000.00 815,375.00 812,663.06 0.77%825,031.20 3,519.13 0.79%12,368.14 AA+ Aaa 3.25 3.15 US TREASURY NOTES 912828UF5 1.13% Due 12/31/2019 1/8/2015 1.48%775,000.00 761,891.60 765,691.11 0.81%783,325.05 23.69 0.75%17,633.94 AA+ Aaa 3.50 3.43 US TREASURY NOTES 912828H52 1.25% Due 1/31/2020 3/4/2016 1.24%1,000,000.00 1,000,546.88 1,000,504.17 0.84%1,014,609.00 5,219.78 0.97%14,104.83 AA+ Aaa 3.59 3.49 US TREASURY NOTES 912828UQ1 1.25% Due 2/29/2020 11/9/2015 1.58%1,325,000.00 1,307,040.04 1,309,648.36 0.84%1,344,771.65 5,535.84 1.28%35,123.29 AA+ Aaa 3.67 3.57 US TREASURY NOTES 912828K58 1.38% Due 4/30/2020 2/3/2016 1.25%1,125,000.00 1,130,932.62 1,130,380.76 0.87%1,146,181.50 2,606.15 1.09%15,800.74 AA+ Aaa 3.84 3.72 US TREASURY NOTES 912828ND8 3.50% Due 5/15/2020 5/29/2015 1.50%1,300,000.00 1,423,550.78 1,397,196.42 0.89%1,428,883.30 5,811.14 1.36%31,686.88 AA+ Aaa 3.88 3.64 US TREASURY NOTES 912828VF4 1.38% Due 5/31/2020 12/4/2015 1.56%900,000.00 892,792.97 893,687.23 0.90%916,523.10 1,048.16 0.87%22,835.87 AA+ Aaa 3.92 3.81 34 City of San Luis Obispo Holdings Report For the Quarter Ending June 30, 2016 Security Description Settle Date YTM at Cost Par Cost Value Amortized Cost YTM at Market Market Value* Accrued Interest % of Portfolio Unreal G/L Amort Cost S&P/ Moody's Years to Maturity Duration US TREASURY NOTE 912828XH8 1.63% Due 6/30/2020 7/15/2015 1.70%2,505,000.00 2,496,193.36 2,497,849.60 0.90%2,576,039.30 110.61 2.45%78,189.70 AA+ Aaa 4.00 3.87 US TREASURY NOTES 912828XM7 1.63% Due 7/31/2020 3/30/2016 1.27%985,000.00 999,775.00 998,930.49 0.92%1,012,895.20 6,683.93 0.96%13,964.71 AA+ Aaa 4.09 3.93 US TREASURY NOTES 912828N89 1.38% Due 1/31/2021 6/7/2016 1.25%1,235,000.00 1,241,995.12 1,241,901.03 0.98%1,256,853.33 7,091.07 1.20%14,952.30 AA+ Aaa 4.59 4.41 US TREASURY NOTES 912828B90 2.00% Due 2/28/2021 5/6/2016 1.25%700,000.00 724,472.66 723,723.43 0.99%732,265.80 4,679.35 0.70%8,542.37 AA+ Aaa 4.67 4.44 US TREASURY NOTES 912828Q78 1.38% Due 4/30/2021 6/29/2016 0.98%1,370,000.00 1,395,259.38 1,395,231.70 1.01%1,393,654.42 3,173.71 1.33%(1,577.28) AA+ Aaa 4.84 4.66 Total U.S. Treasury Bond/Note 1.28%22,280,000.00 22,406,041.34 22,406,995.41 0.79%22,754,774.63 55,712.06 21.67%347,779.22 AA+ Aaa 3.27 3.16 Federal Agency Bond/Note FANNIE MAE NOTES 3135G0ES8 1.38% Due 11/15/2016 3/14/2012 1.21%985,000.00 992,545.10 985,617.01 0.45%988,394.31 1,730.59 0.94%2,777.30 AA+ Aaa 0.38 0.37 FHLB NOTES 3130A3J70 0.63% Due 11/23/2016 2/9/2015 0.52%500,000.00 500,915.00 500,202.55 0.49%500,268.50 329.86 0.48%65.95 AA+ Aaa 0.40 0.40 FHLB NOTES 3130A0C65 0.63% Due 12/28/2016 7/15/2015 0.54%1,245,000.00 1,246,444.20 1,245,490.18 0.47%1,245,969.86 64.84 1.19%479.68 AA+ Aaa 0.50 0.49 FANNIE MAE GLOBAL NOTES 3135G0GY3 1.25% Due 1/30/2017 2/27/2012 1.07%800,000.00 807,016.00 800,846.22 0.47%803,616.80 4,194.44 0.77%2,770.58 AA+ Aaa 0.59 0.58 FFCB NOTES 31331KBX7 2.88% Due 2/10/2017 7/25/2012 0.74%865,000.00 947,477.75 876,205.19 0.55%877,262.24 9,740.26 0.84%1,057.05 AA+ Aaa 0.62 0.60 FREDDIE MAC GLOBAL NOTES 3137EADC0 1.00% Due 3/8/2017 3/14/2012 1.29%1,000,000.00 986,050.00 998,027.03 0.52%1,003,279.00 3,138.89 0.96%5,251.97 AA+ Aaa 0.69 0.68 FHLMC NOTES 3137EADF3 1.25% Due 5/12/2017 10/17/2012 0.82%500,000.00 509,635.00 501,848.99 0.58%502,875.50 850.69 0.48%1,026.51 AA+ Aaa 0.87 0.86 FNMA NOTES (EX-CALLABLE) 3136FPYB7 2.05% Due 5/23/2017 8/7/2012 0.90%365,000.00 384,739.20 368,746.54 0.51%370,039.92 789.82 0.35%1,293.38 AA+ Aaa 0.90 0.89 FHLB GLOBAL NOTES 3130A5EP0 0.63% Due 5/30/2017 5/15/2015 0.67%515,000.00 514,572.55 514,807.88 0.57%515,237.93 277.17 0.49%430.05 AA+ Aaa 0.92 0.91 FEDERAL HOME LOAN BANK GLOBAL NOTES 313379DD8 1.00% Due 6/21/2017 11/26/2012 0.70%700,000.00 709,478.00 702,042.02 0.60%702,727.90 194.44 0.67%685.88 AA+ Aaa 0.98 0.97 FREDDIE MAC GLOBAL NOTES 3137EADH9 1.00% Due 6/29/2017 7/30/2012 0.85%775,000.00 780,673.00 776,167.41 0.59%778,152.70 43.06 0.74%1,985.29 AA+ Aaa 1.00 0.99 FREDDIE MAC GLOBAL NOTES 3137EADH9 1.00% Due 6/29/2017 12/14/2012 0.74%135,000.00 136,587.60 135,352.18 0.59%135,549.18 7.50 0.13%197.00 AA+ Aaa 1.00 0.99 FREDDIE MAC GLOBAL NOTES 3137EADJ5 1.00% Due 7/28/2017 11/26/2012 0.80%900,000.00 908,316.00 901,941.12 0.60%903,851.10 3,825.00 0.86%1,909.98 AA+ Aaa 1.08 1.07 FREDDIE MAC GLOBAL NOTES 3137EADJ5 1.00% Due 7/28/2017 3/23/2015 0.82%495,000.00 497,019.60 495,930.18 0.60%497,118.11 2,103.75 0.47%1,187.93 AA+ Aaa 1.08 1.07 FREDDIE MAC GLOBAL NOTES 3137EADJ5 1.00% Due 7/28/2017 7/15/2015 0.76%1,235,000.00 1,241,002.10 1,238,180.51 0.60%1,240,284.57 5,248.75 1.18%2,104.06 AA+ Aaa 1.08 1.07 FHLB NOTES 3130A62S5 0.75% Due 8/28/2017 8/3/2015 0.78%650,000.00 649,662.00 649,809.90 0.61%651,043.25 1,665.63 0.62%1,233.35 AA+ Aaa 1.16 1.15 FANNIE MAE GLOBAL NOTES 3135G0MZ3 0.88% Due 8/28/2017 6/20/2014 1.10%625,000.00 620,687.50 623,419.88 0.64%626,726.25 1,868.49 0.60%3,306.37 AA+ Aaa 1.16 1.15 FREDDIE MAC GLOBAL NOTES 3137EADL0 1.00% Due 9/29/2017 1/4/2013 0.89%950,000.00 954,788.00 951,278.09 0.61%954,544.80 2,427.78 0.91%3,266.71 AA+ Aaa 1.25 1.24 FANNIE MAE GLOBAL NOTES 3135G0PQ0 0.88% Due 10/26/2017 6/20/2014 1.17%625,000.00 618,987.50 622,605.11 0.61%627,176.25 987.41 0.60%4,571.14 AA+ Aaa 1.32 1.31 FHLMC NOTES 3137EADN6 0.75% Due 1/12/2018 10/1/2014 1.26%800,000.00 787,008.00 793,873.50 0.64%801,371.20 2,816.67 0.76%7,497.70 AA+ Aaa 1.54 1.52 FREDDIE MAC GLOBAL NOTES 3137EADP1 0.88% Due 3/7/2018 11/20/2014 1.20%900,000.00 890,469.00 895,089.50 0.76%901,658.70 2,493.75 0.86%6,569.20 AA+ Aaa 1.68 1.67 FEDERAL HOME LOAN BANKS AGCY 3130A8BD4 0.88% Due 6/29/2018 6/6/2016 0.87%3,495,000.00 3,495,174.75 3,495,165.77 0.67%3,508,990.49 169.90 3.34%13,824.72 AA+ Aaa 2.00 1.98 35 City of San Luis Obispo Holdings Report For the Quarter Ending June 30, 2016 Security Description Settle Date YTM at Cost Par Cost Value Amortized Cost YTM at Market Market Value* Accrued Interest % of Portfolio Unreal G/L Amort Cost S&P/ Moody's Years to Maturity Duration FNMA NOTES 3135G0E33 1.13% Due 7/20/2018 7/15/2015 1.17%1,250,000.00 1,248,325.00 1,248,852.63 0.69%1,260,998.75 6,289.06 1.20%12,146.12 AA+ Aaa 2.05 2.02 FNMA BENCHMARK NOTE 3135G0H63 1.38% Due 1/28/2019 1/8/2016 1.40%1,440,000.00 1,439,107.20 1,439,242.30 0.81%1,460,783.52 8,415.00 1.39%21,541.22 AA+ Aaa 2.58 2.52 FNMA BENCHMARK NOTE 3135G0H63 1.38% Due 1/28/2019 2/16/2016 0.96%335,000.00 339,043.45 338,535.93 0.81%339,835.06 1,957.66 0.32%1,299.13 AA+ Aaa 2.58 2.52 FNMA BENCHMARK NOTE 3135G0J53 1.00% Due 2/26/2019 5/16/2016 0.96%375,000.00 375,420.00 375,401.78 0.81%376,845.00 1,302.08 0.36%1,443.22 AA+ Aaa 2.66 2.61 FNMA BENCHMARK NOTE 3135G0J53 1.00% Due 2/26/2019 6/2/2016 1.11%305,000.00 304,112.45 304,138.58 0.81%306,500.60 1,059.03 0.29%2,362.02 AA+ Aaa 2.66 2.61 FNMA BENCHMARK NOTE 3135G0J53 1.00% Due 2/26/2019 6/6/2016 0.96%3,980,000.00 3,984,338.20 3,984,232.21 0.81%3,999,581.60 13,819.44 3.81%15,349.39 AA+ Aaa 2.66 2.61 FREDDIE MAC NOTES 3137EADZ9 1.13% Due 4/15/2019 3/21/2016 1.14%810,000.00 809,732.00 809,756.71 0.82%816,882.57 2,531.25 0.78%7,125.86 AA+ Aaa 2.79 2.74 FREDDIE MAC NOTES 3137EADZ9 1.13% Due 4/15/2019 3/29/2016 1.12%950,000.00 950,066.50 950,062.11 0.82%958,072.15 2,968.75 0.91%8,010.04 AA+ Aaa 2.79 2.74 FREDDIE MAC NOTES 3137EADG1 1.75% Due 5/30/2019 8/4/2014 1.67%900,000.00 903,420.00 902,103.62 0.79%924,747.30 1,356.25 0.88%22,643.68 AA+ Aaa 2.92 2.84 FNMA NOTES 3135G0ZE6 1.75% Due 6/20/2019 8/5/2014 1.74%350,000.00 350,227.50 350,142.38 0.82%359,529.10 187.15 0.34%9,386.72 AA+ Aaa 2.97 2.90 FNMA NOTES 3135G0ZE6 1.75% Due 6/20/2019 10/2/2014 1.77%500,000.00 499,630.00 499,766.53 0.82%513,613.00 267.36 0.49%13,846.47 AA+ Aaa 2.97 2.90 FNMA NOTES 3135G0ZE6 1.75% Due 6/20/2019 11/21/2014 1.71%100,000.00 100,157.00 100,103.50 0.82%102,722.60 53.47 0.10%2,619.10 AA+ Aaa 2.97 2.90 FREDDIE MAC GLOBAL NOTES 3137EADK2 1.25% Due 8/1/2019 9/15/2014 1.88%1,050,000.00 1,019,077.50 1,030,131.41 0.85%1,062,881.40 5,468.75 1.01%32,749.99 AA+ Aaa 3.09 3.01 FNMA NOTES 3135G0ZG1 1.75% Due 9/12/2019 2/9/2015 1.36%500,000.00 508,665.00 506,091.09 0.87%513,845.00 2,649.31 0.49%7,753.91 AA+ Aaa 3.20 3.10 FREDDIE MAC GLOBAL NOTES 3137EADM8 1.25% Due 10/2/2019 12/30/2015 1.65%700,000.00 689,857.00 691,184.17 0.88%708,312.50 2,163.19 0.67%17,128.33 AA+ Aaa 3.26 3.18 FNMA NOTES 3135G0A78 1.63% Due 1/21/2020 4/30/2015 1.54%1,270,000.00 1,274,889.50 1,273,719.39 0.95%1,299,996.13 9,172.22 1.24%26,276.74 AA+ Aaa 3.56 3.43 FNMA NOTES 3135G0A78 1.63% Due 1/21/2020 6/29/2015 1.71%700,000.00 697,298.00 697,877.93 0.95%716,533.30 5,055.56 0.68%18,655.37 AA+ Aaa 3.56 3.43 FNMA NOTES 3135G0J20 1.38% Due 2/26/2021 5/19/2016 1.42%520,000.00 518,850.80 518,879.31 1.15%525,387.20 2,482.64 0.50%6,507.89 AA+ Aaa 4.66 4.48 Total Federal Agency Bond/Note 1.10%35,095,000.00 35,191,464.95 35,092,868.34 0.70%35,383,205.34 112,166.86 33.70%290,337.00 AA+ Aaa 1.95 1.91 Negotiable CD HERITAGE OAKS BANK YANKEE CD 0.25% Due 12/20/2016 12/20/2015 0.27%1,000,000.00 1,000,000.00 1,000,000.00 0.27%1,000,000.00 694.44 0.95%- NR NR 0.47 0.47 ROYAL BANK OF CANADA NY CD 78009NZZ2 1.70% Due 3/9/2018 3/15/2016 1.69%830,000.00 830,000.00 830,000.00 1.21%836,469.85 4,311.39 0.80%6,469.85 AA- Aa3 1.69 1.68 Total Negotiable CD 0.91%1,830,000.00 1,830,000.00 1,830,000.00 0.70%1,836,469.85 5,005.83 1.75%6,469.85 AA- Aa3 1.03 1.02 Commercial Paper CREDIT AGRICOLE CIB NY COMM PAPER 22533TJ64 0.00% Due 9/6/2016 6/7/2016 0.61%500,000.00 499,229.03 499,432.37 0.54%499,494.50 - 0.48%62.13 A-1 P-1 0.19 0.19 BANK OF TOKYO MITSUBISHI LTD COMM PAPER 06538BK44 0.00% Due 10/4/2016 4/4/2016 0.89%1,000,000.00 995,475.83 997,651.39 0.66%998,245.00 - 0.95%593.61 A-1 P-1 0.26 0.26 JP MORGAN SECURITIES LLC COMM PAPER 46640PKB8 0.00% Due 10/11/2016 4/13/2016 0.87%900,000.00 896,063.25 897,781.50 0.59%898,493.40 - 0.86%711.90 A-1 P-1 0.28 0.28 BANK OF TOKYO MITSUBISHI UFJ COMM PAPER 06538BM67 0.00% Due 12/6/2016 6/6/2016 1.00%1,000,000.00 994,967.50 995,655.00 0.84%996,317.00 - 0.95%662.00 A-1 P-1 0.44 0.43 BNP PARIBAS NY BRANCH COMM PAPER 09659BN30 0.00% Due 1/3/2017 4/8/2016 1.04%1,250,000.00 1,240,343.75 1,243,347.91 0.90%1,244,162.50 - 1.19%814.59 A-1 P-1 0.51 0.51 36 City of San Luis Obispo Holdings Report For the Quarter Ending June 30, 2016 Security Description Settle Date YTM at Cost Par Cost Value Amortized Cost YTM at Market Market Value* Accrued Interest % of Portfolio Unreal G/L Amort Cost S&P/ Moody's Years to Maturity Duration TOYOTA MOTOR CREDIT CORP COMM PAPER 89233GN36 0.00% Due 1/3/2017 6/7/2016 0.87%1,000,000.00 994,925.00 995,505.00 0.83%995,704.00 - 0.95%199.00 A-1+ P-1 0.51 0.51 TOYOTA MOTOR CREDIT CORP COMM PAPER 89233GPA8 0.00% Due 2/10/2017 5/16/2016 1.01%1,000,000.00 992,500.00 993,777.78 0.90%994,406.00 - 0.95%628.22 A-1+ P-1 0.62 0.61 BANK OF MONTREAL CHICAGO COMM PAPER 06366GQ36 0.00% Due 3/3/2017 6/10/2016 1.03%1,030,000.00 1,022,220.34 1,022,834.53 0.98%1,023,116.51 - 0.97%281.98 A-1 P-1 0.67 0.67 BNP PARIBAS NY BRANCH COMM PAPER 09659BQ37 0.00% Due 3/3/2017 6/7/2016 1.06%1,000,000.00 992,154.17 992,854.17 0.98%993,317.00 - 0.95%462.83 A-1 P-1 0.67 0.67 JP MORGAN SECURITIES LLC COMM PAPER 46640PQ30 0.00% Due 3/3/2017 6/7/2016 1.07%1,000,000.00 992,079.44 992,786.11 0.98%993,344.00 - 0.95%557.89 A-1 P-1 0.67 0.67 Total Commercial Paper 0.97%9,680,000.00 9,619,958.31 9,631,625.76 0.84%9,636,599.91 - 9.18%4,974.15 A-1 P-1 0.50 0.50 Corporate Note PROCTER & GAMBLE CO NOTES (EX-CALLABLE) 742718DV8 1.45% Due 8/15/2016 8/3/2012 0.82%915,000.00 937,893.30 915,703.81 0.57%915,998.27 5,012.17 0.87%294.46 AA- Aa3 0.13 0.12 BERKSHIRE HATHAWAY FIN GLOBAL NOTES 084664BS9 1.60% Due 5/15/2017 4/24/2013 1.00%700,000.00 716,765.00 703,659.75 0.65%705,806.50 1,431.11 0.67%2,146.75 AA Aa2 0.87 0.87 IBM CORP NOTES 459200HZ7 1.13% Due 2/6/2018 2/9/2015 1.16%750,000.00 749,317.50 749,632.85 0.85%753,228.00 3,398.44 0.72%3,595.15 AA- Aa3 1.61 1.58 TOYOTA MOTOR CREDIT CORP 89236TCP8 1.55% Due 7/13/2018 7/13/2015 1.58%490,000.00 489,583.50 489,715.58 1.07%494,709.88 3,544.33 0.47%4,994.30 AA- Aa3 2.04 1.99 AMERICAN HONDA FINANCE CORP NOTES 02665WBA8 1.70% Due 2/22/2019 2/23/2016 1.71%390,000.00 389,922.00 389,931.01 1.04%396,744.27 2,357.33 0.38%6,813.26 A+ A1 2.65 2.57 BERKSHIRE HATHAWAY INC NOTES 084664CG4 1.70% Due 3/15/2019 3/15/2016 1.73%195,000.00 194,851.80 194,866.04 1.09%198,185.72 976.08 0.19%3,319.68 AA Aa2 2.71 2.63 BURLINGTON NRTH CORP 12189TBC7 4.70% Due 10/1/2019 6/8/2016 1.48%500,000.00 551,950.00 550,972.25 1.37%552,864.50 5,875.00 0.53%1,892.25 A A3 3.25 3.01 MICROSOFT CORP NOTE 594918AY0 1.85% Due 2/12/2020 4/13/2015 1.58%1,000,000.00 1,012,570.00 1,009,498.66 1.23%1,022,037.00 7,143.06 0.97%12,538.34 AAA Aaa 3.62 3.47 BNY MELLON CORP NOTE (CALLABLE) 06406HDD8 2.60% Due 8/17/2020 6/8/2016 1.81%960,000.00 990,316.80 989,866.01 1.67%995,566.08 9,290.67 0.95%5,700.07 A A1 4.13 3.76 WELLS FARGO & COMPANY NOTES 94974BGR5 2.55% Due 12/7/2020 6/8/2016 2.02%975,000.00 997,191.00 996,888.30 1.86%1,003,411.50 1,657.50 0.96%6,523.20 A A2 4.44 4.18 Total Corporate Note 1.48%6,875,000.00 7,030,360.90 6,990,734.26 1.18%7,038,551.72 40,685.69 6.70%47,817.46 AA- Aa3 2.64 2.50 Total Portfolio 0.96%104,102,257.36 104,420,082.86 104,294,481.13 0.69%104,991,858.81 213,570.44 100.00%697,377.68 AA+1.61 1.56 Total Market Value Plus Accrued 105,205,429.25 *Generally, PFM’s market prices are derived from closing bid prices as of the last business day of the month as supplied by Interactive Data, Bloomberg or Telerate. Where prices are not available from generally recognized sources the securities are priced using a yield-based matrix system to arrive at an estimated market value. Prices that fall between data points are interpolated. Non-negotiable FDIC-insured bank certificates of deposit are priced at par. Although PFM believes the prices to be reliable, the values of the securities do not always represent the prices at which the securities could have been bought or sold. 37 Section V. Monthly Transactions 38 For the Month Ending April 30, 2016Managed Account Security Transactions & Interest CITY OF SAN LUIS OBISPO OPERATING FUNDS Transaction Type Trade Settle Security Description CUSIP Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method BUY 04/04/16 BANK OF TOKYO MITSUBISHI LTD COMM PAPER -- 0.000% 10/04/2016 06538BK44 (995,475.83) 0.00 (995,475.83) 1,000,000.00 04/01/16 04/08/16 BNP PARIBAS NY BRANCH COMM PAPER -- 0.000% 01/03/2017 09659BN30 (1,240,343.75) 0.00 (1,240,343.75) 1,250,000.00 04/08/16 04/13/16 JP MORGAN SECURITIES LLC COMM PAPER -- 0.000% 10/11/2016 46640PKB8 (896,063.25) 0.00 (896,063.25) 900,000.00 04/12/16 04/18/16 CREDIT AGRICOLE CIB NY COMM PAPER -- 0.000% 07/18/2016 22533TGJ9 (898,726.00) 0.00 (898,726.00) 900,000.00 04/15/16 0.00 (4,030,608.83)(4,030,608.83) 4,050,000.00 Transaction Type Sub-Total INTEREST 04/02/16 FREDDIE MAC GLOBAL NOTES DTD 10/02/2012 1.250% 10/02/2019 3137EADM8 0.00 4,375.00 4,375.00 700,000.00 04/02/16 04/04/16 MONEY MARKET FUND MONEY0002 0.00 54.24 54.24 0.00 04/04/16 04/11/16 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 04/11/16 04/15/16 US TREASURY NOTES DTD 04/15/2013 0.250% 04/15/2016 912828UW8 0.00 1,125.00 1,125.00 900,000.00 04/15/16 04/26/16 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 04/26/16 04/30/16 US TREASURY NOTES DTD 04/30/2015 1.375% 04/30/2020 912828K58 0.00 7,734.38 7,734.38 1,125,000.00 04/30/16 18,123.00 18,123.00 0.00 4,050,000.00 Transaction Type Sub-Total MATURITY 04/08/16 BNP PARIBAS NY BRANCH COMM PAPER -- 0.000% 04/08/2016 09659BD80 1,250,000.00 0.00 1,250,000.00 5,304.17 0.00 1,250,000.00 04/08/16 39 For the Month Ending April 30, 2016Managed Account Security Transactions & Interest CITY OF SAN LUIS OBISPO OPERATING FUNDS Transaction Type Trade Settle Security Description CUSIP Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method MATURITY 04/11/16 WAL-MART STORES INC GLOBAL NOTES DTD 04/11/2013 0.600% 04/11/2016 931142DE0 700,000.00 0.00 700,000.00 3,983.00 0.00 700,000.00 04/11/16 04/15/16 US TREASURY NOTES DTD 04/15/2013 0.250% 04/15/2016 912828UW8 900,000.00 0.00 900,000.00 2,352.45 0.00 900,000.00 04/15/16 0.00 0.00 11,639.62 2,850,000.00 2,850,000.00 2,850,000.00 Transaction Type Sub-Total SELL 04/04/16 BANK OF TOKYO MITSUBISHI UFJ COMM PAPER -- 0.000% 05/24/2016 06538BEQ2 999,319.44 0.00 999,319.44 2,453.88 180.55 SPEC LOT 1,000,000.00 04/01/16 0.00 180.55 2,453.88 999,319.44 999,319.44 1,000,000.00 Transaction Type Sub-Total (181,289.39) 18,123.00 (163,166.39) 14,093.50 180.55 Managed Account Sub-Total Total Security Transactions $14,093.50 ($163,166.39)$18,123.00 ($181,289.39)$180.55 40 For the Month Ending May 31, 2016Managed Account Security Transactions & Interest CITY OF SAN LUIS OBISPO OPERATING FUNDS Transaction Type Trade Settle Security Description CUSIP Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method BUY 05/06/16 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 912828B90 (724,472.66)(2,548.91)(727,021.57) 700,000.00 05/03/16 05/16/16 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 3135G0J53 (375,420.00)(833.33)(376,253.33) 375,000.00 05/13/16 05/16/16 TOYOTA MOTOR CREDIT CORP COMM PAPER -- 0.000% 02/10/2017 89233GPA8 (992,500.00) 0.00 (992,500.00) 1,000,000.00 05/16/16 05/19/16 FNMA NOTES DTD 02/05/2016 1.375% 02/26/2021 3135G0J20 (518,850.80)(1,648.47)(520,499.27) 520,000.00 05/18/16 (5,030.71) (2,616,274.17)(2,611,243.46) 2,595,000.00 Transaction Type Sub-Total INTEREST 05/03/16 MONEY MARKET FUND MONEY0002 0.00 34.36 34.36 0.00 05/03/16 05/03/16 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 05/03/16 05/12/16 FHLMC NOTES DTD 03/26/2012 1.250% 05/12/2017 3137EADF3 0.00 3,125.00 3,125.00 500,000.00 05/12/16 05/15/16 US TREASURY NOTES DTD 05/15/2013 0.250% 05/15/2016 912828VC1 0.00 875.00 875.00 700,000.00 05/15/16 05/15/16 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 05/15/16 05/15/16 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 05/15/16 05/15/16 FANNIE MAE NOTES DTD 10/20/2011 1.375% 11/15/2016 3135G0ES8 0.00 6,771.88 6,771.88 985,000.00 05/15/16 05/15/16 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 05/15/16 05/19/16 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 05/19/16 05/23/16 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 05/23/16 05/23/16 FHLB NOTES DTD 11/17/2014 0.625% 11/23/2016 3130A3J70 0.00 1,562.50 1,562.50 500,000.00 05/23/16 41 For the Month Ending May 31, 2016Managed Account Security Transactions & Interest CITY OF SAN LUIS OBISPO OPERATING FUNDS Transaction Type Trade Settle Security Description CUSIP Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method INTEREST 05/30/16 FHLB GLOBAL NOTES DTD 05/15/2015 0.625% 05/30/2017 3130A5EP0 0.00 1,609.38 1,609.38 515,000.00 05/30/16 05/30/16 FREDDIE MAC NOTES DTD 04/16/2012 1.750% 05/30/2019 3137EADG1 0.00 7,875.00 7,875.00 900,000.00 05/30/16 05/31/16 US TREASURY NOTES DTD 05/31/2013 1.375% 05/31/2020 912828VF4 0.00 6,187.50 6,187.50 900,000.00 05/31/16 05/31/16 US TREASURY NOTES DTD 05/31/2012 0.625% 05/31/2017 912828SY7 0.00 421.88 421.88 135,000.00 05/31/16 74,941.88 74,941.88 0.00 9,398,000.00 Transaction Type Sub-Total MATURITY 05/03/16 APPLE INC GLOBAL NOTES DTD 05/03/2013 0.450% 05/03/2016 037833AH3 700,000.00 0.00 700,000.00 1,995.00 0.00 700,000.00 05/03/16 05/15/16 JOHNSON & JOHNSON GLOBAL NOTE DTD 05/20/2011 2.150% 05/15/2016 478160AY0 675,000.00 0.00 675,000.00 (34,870.50) 0.00 675,000.00 05/15/16 05/15/16 US TREASURY NOTES DTD 05/15/2013 0.250% 05/15/2016 912828VC1 700,000.00 0.00 700,000.00 5,302.34 0.00 700,000.00 05/15/16 05/19/16 GOOGLE INC GLOBAL NOTES DTD 05/19/2011 2.125% 05/19/2016 38259PAC6 523,000.00 0.00 523,000.00 (25,360.27) 0.00 523,000.00 05/19/16 0.00 0.00 (52,933.43) 2,598,000.00 2,598,000.00 2,598,000.00 Transaction Type Sub-Total (13,243.46) 69,911.17 56,667.71 (52,933.43) 0.00 Managed Account Sub-Total Total Security Transactions ($52,933.43)$56,667.71 $69,911.17 ($13,243.46)$0.00 42 For the Month Ending June 30, 2016Managed Account Security Transactions & Interest CITY OF SAN LUIS OBISPO OPERATING FUNDS Transaction Type Trade Settle Security Description CUSIP Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method BUY 06/02/16 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 3135G0J53 (304,112.45)(813.33)(304,925.78) 305,000.00 06/01/16 06/06/16 FEDERAL HOME LOAN BANKS AGCY DTD 05/27/2016 0.875% 06/29/2018 3130A8BD4 (3,495,174.75)(764.53)(3,495,939.28) 3,495,000.00 06/03/16 06/06/16 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 3135G0J53 (3,984,338.20)(11,055.56)(3,995,393.76) 3,980,000.00 06/03/16 06/06/16 BANK OF TOKYO MITSUBISHI UFJ COMM PAPER -- 0.000% 12/06/2016 06538BM67 (994,967.50) 0.00 (994,967.50) 1,000,000.00 06/03/16 06/08/16 WELLS FARGO & COMPANY NOTES DTD 12/07/2015 2.550% 12/07/2020 94974BGR5 (997,191.00)(69.06)(997,260.06) 975,000.00 06/03/16 06/08/16 BNY MELLON CORP NOTE (CALLABLE) DTD 08/17/2015 2.600% 08/17/2020 06406HDD8 (990,316.80)(7,696.00)(998,012.80) 960,000.00 06/03/16 06/08/16 BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 12189TBC7 (551,950.00)(4,373.61)(556,323.61) 500,000.00 06/03/16 06/07/16 CREDIT AGRICOLE CIB NY COMM PAPER -- 0.000% 09/06/2016 22533TJ64 (998,458.06) 0.00 (998,458.06) 1,000,000.00 06/06/16 06/07/16 TOYOTA MOTOR CREDIT CORP COMM PAPER -- 0.000% 01/03/2017 89233GN36 (994,925.00) 0.00 (994,925.00) 1,000,000.00 06/06/16 06/07/16 US TREASURY NOTES DTD 07/02/2012 0.750% 06/30/2017 912828TB6 (1,691,254.30)(5,536.61)(1,696,790.91) 1,690,000.00 06/06/16 06/07/16 JP MORGAN SECURITIES LLC COMM PAPER -- 0.000% 03/03/2017 46640PQ30 (992,079.44) 0.00 (992,079.44) 1,000,000.00 06/06/16 06/07/16 BNP PARIBAS NY BRANCH COMM PAPER -- 0.000% 03/03/2017 09659BQ37 (992,154.17) 0.00 (992,154.17) 1,000,000.00 06/06/16 06/07/16 US TREASURY NOTES DTD 01/31/2016 1.375% 01/31/2021 912828N89 (1,241,995.12)(5,971.43)(1,247,966.55) 1,235,000.00 06/06/16 06/10/16 BANK OF MONTREAL CHICAGO COMM PAPER -- 0.000% 03/03/2017 06366GQ36 (1,022,220.34) 0.00 (1,022,220.34) 1,030,000.00 06/09/16 43 For the Month Ending June 30, 2016Managed Account Security Transactions & Interest CITY OF SAN LUIS OBISPO OPERATING FUNDS Transaction Type Trade Settle Security Description CUSIP Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method BUY 06/29/16 US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 912828Q78 (1,395,259.38)(3,071.33)(1,398,330.71) 1,370,000.00 06/27/16 (39,351.46) (20,685,747.97)(20,646,396.51) 20,540,000.00 Transaction Type Sub-Total INTEREST 06/01/16 MONEY MARKET FUND MONEY0002 0.00 18.10 18.10 0.00 06/01/16 06/20/16 FNMA NOTES DTD 05/12/2014 1.750% 06/20/2019 3135G0ZE6 0.00 3,062.50 3,062.50 350,000.00 06/20/16 06/20/16 FNMA NOTES DTD 05/12/2014 1.750% 06/20/2019 3135G0ZE6 0.00 875.00 875.00 100,000.00 06/20/16 06/20/16 FNMA NOTES DTD 05/12/2014 1.750% 06/20/2019 3135G0ZE6 0.00 4,375.00 4,375.00 500,000.00 06/20/16 06/21/16 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 06/21/16 06/28/16 FHLB NOTES DTD 11/15/2013 0.625% 12/28/2016 3130A0C65 0.00 3,890.63 3,890.63 1,245,000.00 06/28/16 06/29/16 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 06/29/16 06/29/16 FREDDIE MAC GLOBAL NOTES DTD 05/14/2012 1.000% 06/29/2017 3137EADH9 0.00 675.00 675.00 135,000.00 06/29/16 06/29/16 FEDERAL HOME LOAN BANKS AGCY DTD 05/27/2016 0.875% 06/29/2018 3130A8BD4 0.00 2,718.33 2,718.33 3,495,000.00 06/29/16 06/30/16 US TREASURY NOTES DTD 07/02/2012 0.750% 06/30/2017 912828TB6 0.00 2,156.25 2,156.25 575,000.00 06/30/16 06/30/16 US TREASURY NOTES DTD 07/02/2012 0.750% 06/30/2017 912828TB6 0.00 6,337.50 6,337.50 1,690,000.00 06/30/16 06/30/16 US TREASURY NOTES DTD 01/03/2012 1.375% 12/31/2018 912828RY8 0.00 3,437.50 3,437.50 500,000.00 06/30/16 06/30/16 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 06/30/16 06/30/16 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 06/30/16 44 For the Month Ending June 30, 2016Managed Account Security Transactions & Interest CITY OF SAN LUIS OBISPO OPERATING FUNDS Transaction Type Trade Settle Security Description CUSIP Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method INTEREST 06/30/16 US TREASURY NOTES DTD 12/31/2012 0.750% 12/31/2017 912828UE8 0.00 2,343.75 2,343.75 625,000.00 06/30/16 06/30/16 US TREASURY NOTES DTD 12/31/2012 1.125% 12/31/2019 912828UF5 0.00 4,359.38 4,359.38 775,000.00 06/30/16 06/30/16 US TREASURY NOTES DTD 01/03/2012 1.375% 12/31/2018 912828RY8 0.00 4,125.00 4,125.00 600,000.00 06/30/16 72,977.07 72,977.07 0.00 15,570,000.00 Transaction Type Sub-Total SELL 06/02/16 US TREASURY NOTES DTD 02/29/2012 1.375% 02/28/2019 912828SH4 307,895.12 1,071.23 308,966.35 2,918.95 2,911.57 SPEC LOT 305,000.00 06/01/16 06/10/16 FHLB NOTES DTD 08/26/2010 2.000% 09/09/2016 313370TW8 281,036.00 1,415.56 282,451.56 (9,514.40) 121.42 SPEC LOT 280,000.00 06/09/16 06/10/16 US TREASURY NOTES DTD 07/15/2013 0.625% 07/15/2016 912828VL1 750,263.67 1,893.03 752,156.70 (881.42) 223.66 SPEC LOT 750,000.00 06/09/16 06/29/16 CREDIT AGRICOLE CIB NY COMM PAPER -- 0.000% 09/06/2016 22533TJ64 499,386.67 0.00 499,386.67 157.64 (28.75)SPEC LOT 500,000.00 06/28/16 06/29/16 CREDIT AGRICOLE CIB NY COMM PAPER -- 0.000% 07/18/2016 22533TGJ9 899,753.00 0.00 899,753.00 1,027.00 19.00 SPEC LOT 900,000.00 06/28/16 4,379.82 3,246.90 (6,292.23) 2,742,714.28 2,738,334.46 2,735,000.00 Transaction Type Sub-Total (17,908,062.05) 38,005.43 (17,870,056.62) (6,292.23) 3,246.90 Managed Account Sub-Total Total Security Transactions ($6,292.23)($17,870,056.62)$38,005.43 ($17,908,062.05)$3,246.90 45