Loading...
The URL can be used to link to this page
Your browser does not support the video tag.
Home
My WebLink
About
FIN City Quarterly Investment Report
____________________________________________________________________________________ FOR CITY CLERK ONLY Council Meeting: 5/07/2018 Disposition: Accepted Report Agenda Item No: 4.e Meeting Date: May 7, 2018 SAN RAFAEL CITY COUNCIL AGENDA REPORT Department: Finance Department Prepared by: Mark Moses Finance Director City Manager Approval: ______________ SUBJECT: QUARTERLY INVESTMENT REPORT RECOMMENDATION: Accept investment report for the quarter ending March 31, 2018, as presented. BACKGROUND: Pursuant to the State of California Government Code Section 53601, and the City’s investment policy, last approved by the City Council on August 7, 2017, staff provides the City Council a quarterly report on the City's investment activities and liquidity. Included in the report are the costs of each investment, the interest rates (yield), maturity dates, and market value. Separate reports are prepared for the City and the Successor Agency to San Rafael Redevelopment Agency. The City invests a portion of its pooled funds in the Local Agency Investment Fund (LAIF), a State-run investment pool. Beginning in March 2014, the City incorporated an investment strategy that added purchases of securities outside of LAIF with the assistance of its investment advisor, Insight Investment. ANALYSIS: As of March 31, 2018, the primary LAIF account had a balance of $19,257,368. The other LAIF account holding housing funds for future administrative expenses contained $146,234. Portfolio returns on LAIF deposits were 1.43 percent for the quarter. The remaining investment assets included the $1,455,700 balance of Pt. San Pedro Assessment District bonds, and $23,090,675 in government agency securities and corporate bonds (including T-Note, US Bancorp, Berkshire Hathaway Inc., Toyota Motor Credit Corp., and FNMA). The overall portfolio return for the quarter ended March 31, 2018 was 1.55 percent. The City’s Westamerica account had a balance of $9,696,364 at quarter end. Exhibit A is composed of three parts: (1) Quarterly Investment Portfolio Report; (2) Historical Activity By Quarter summarizing the City’s investments; and (3) the three monthly investment reports from Insight Investment for the quarter. SAN RAFAEL CITY COUNCIL AGENDA REPORT / Page: 2 FISCAL IMPACT: No financial impact occurs by adopting the report. The City continues to meet the priority principles of investing - safety, liquidity and yield in respective order. The portfolio remains conservatively invested. Sufficient liquidity exists to meet daily operating and capital project requirements for the next six months. Operating funds, as defined for this report, exclude cash held with fiscal agents for the payment of bond principal and interest. RECOMMENDATION: The City Council should accept the report as presented in order to satisfy State Investment Code requirements and City policy. ATTACHMENTS: 1. Quarterly Investment Portfolio Report 2. Historical Activity by Quarter Report 3. Insight Investment Statements January through March 2018 SAN RAFAEL CITY COUNCIL AGENDA REPORT / Page: 3 I CERTIFY THAT ALL INVESTMENTS MADE ARE IN CONFORMANCE WITH THE CITY’S APPROVED INVESTMENT POLICY AND STATE INVESTMENT REGULATIONS. THE CITY HAS SUFFICIENT LIQUIDITY TO MEET ALL OF THE OBLIGATIONS REQUIRED DURING THE NEXT SIX -MONTH PERIOD. MARK MOSES FINANCE DIRECTOR %Return LAIF 19,257,368$ 99.2% 1.43% LAIF ‐ RDA 146,234$ 0.8% 1.43% Total Internally Managed 19,403,602$ 44.1% Weighted Average Yield 1.43% Days Effective Average Duration ‐ Internal 1 Weighted Average Maturity ‐ Internal 1 %Return Cash 115,317$ 0.5% 0.00% Treasury Securities 4,439,353$ 18.1% 1.61% Instrumentality Securities 15,006,092$ 61.1% 1.38% Corporate Notes 3,529,912$ 14.4% 1.32% Municipal 1,455,700$ 5.9% 5.25% Total Externally Managed 24,546,375$ 55.9% Weighted Average Yield 1.64% Years Effective Average Duration ‐ External 1.91 Weighted Average Maturity ‐ External 2.20 Total Portfolio Assets %Return LAIF 19,403,602$ 44.1% 1.43% Cash 115,317$ 0.3% 0.00% Treasury Securities 4,439,353$ 10.1% 1.61% Instrumentality Securities 15,006,092$ 34.1% 1.38% Corporate Notes 3,529,912$ 8.0% 1.32% Municipal 1,455,700$ 3.3% 5.25% Total Portfolio Assets 43,949,977$ Weighted Average Yield 1.55% Years Effective Average Duration ‐ Total 1.07 Weighted Average Maturity ‐ Total 1.23 Based on Market Values March 31, 2018 City of Rafael Quarterly Investment Portfolio Report Externally Managed Assets Internally Managed Assets LAIF, 99.2% LAIF ‐RDA, 0.8% Cash , 0.5%Treasury Securities, 18.1% Instrumentality Securities, 61.1% Corporate Notes, 14.4% LAIF 44% Cash 0% Treasury Securities 10% Instrumentality Securities 34% Corporate Notes 8%Municipal 4% Exhibit A Internally Managed Assets %Return %Return %Return %Return %Return LAIF 19,257,368$ 99.2%1.43%24,197,411$ 99.4%1.18%26,120,827$ 99.4%1.08%34,063,133$ 99.6%0.91%24,021,598$ 99.4%0.78% LAIF - Housing 146,234$ 0.8%1.43%145,792$ 0.6%1.18%145,398$ 0.6%1.08%145,064$ 0.4%0.91%144,787$ 0.6%0.78% Total Internally Managed 19,403,602$ 44.1%24,343,203$ 49.8%26,266,225$ 51.7%34,208,197$ 58.2%24,166,385$ 49.6% Weighted Average Yield 1.43%1.18%1.08%0.91%0.78% Externally Managed Assets %Return %Return %Return %Return %Return Cash 115,317$ 0.5%0.00%95,875$ 0.4%0.00%132,133$ 0.5%0.00%34,392$ 0.1%0.00%152,566$ 0.6%0.00% Commercial Paper -$ 0.0%0.00%-$ 0.0%0.00%-$ 0.0%0.00%-$ 0.0%0.00%-$ 0.0%0.00% Treasury Securities 4,439,353$ 18.1%1.61%4,465,904$ 18.2%1.33%4,390,921$ 17.9%1.21%4,146,098$ 16.9%1.08%3,498,184$ 14.2%0.93% Instrumentality Securities 15,006,092$ 61.1%1.38%14,476,033$ 59.0%1.28%14,554,167$ 59.2%1.17%14,829,261$ 60.3%1.02%14,823,678$ 60.4%0.96% Corporate Notes 3,529,912$ 14.4%1.32%4,040,998$ 16.5%1.34%4,053,171$ 16.5%1.34%4,058,635$ 16.5%1.27%4,559,554$ 18.6%1.26% Municipal/Assessment District 1,455,700$ 5.9%5.25%1,455,700$ 5.9%5.25%1,455,700$ 5.9%5.25%1,520,800$ 6.2%5.25%1,520,800$ 6.2%5.25% Total Externally Managed 24,546,375$ 55.9%24,534,510$ 50.2%24,586,091$ 48.3%24,589,185$ 41.8%24,554,781$ 50.4% Weighted Average Yield 1.64%1.53%1.44%1.33%1.27% Years Years Years Years Years Effective Average Duration - External 1.91 2.00 1.98 1.68 1.76 Weighted Average Maturity - External 2.20 2.31 2.37 2.03 2.07 Total Portfolio Assets %Return %Return %Return %Return %Return LAIF 19,403,602$ 44.1%1.43%24,343,203$ 49.8%1.18%26,266,225$ 51.7%1.08%34,208,197$ 58.2%0.91%24,166,385$ 49.6%0.78% Cash 115,317$ 0.3%0.00%95,875$ 0.2%0.00%132,133$ 0.3%0.00%34,392$ 0.1%0.00%152,566$ 0.3%0.00% Treasury Securities 4,439,353$ 10.1%1.61%4,465,904$ 9.1%1.33%4,390,921$ 8.6%1.21%4,146,098$ 7.1%1.08%3,498,184$ 7.2%0.93% Instrumentality Securities 15,006,092$ 34.1%1.38%14,476,033$ 29.6%1.28%14,554,167$ 28.6%1.17%14,829,261$ 25.2%1.02%14,823,678$ 30.4%0.96% Corporate Notes 3,529,912$ 8.0%1.32%4,040,998$ 8.3%1.34%4,053,171$ 8.0%1.34%4,058,635$ 6.9%1.27%4,559,554$ 9.4%1.26% Municipal/Assessment District 1,455,700$ 3.3%5.25%1,455,700$ 3.0%5.25%1,455,700$ 2.9%5.25%1,520,800$ 2.6%5.25%1,520,800$ 3.1%5.25% 43,949,978$ 48,877,713$ 50,852,316$ 58,797,383$ 48,721,166$ Total Portfolio Assets Weighted Average Yield 1.55%1.36%1.25%1.09%1.03% Years Years Years Years Years Effective Average Duration - Total 1.07 1.01 0.96 0.70 0.89 Weighted Average Maturity - Total 1.23 1.16 1.15 0.85 1.04 Performance Recap -The weighted average quarterly portfolio yield increase from 1.36% to 1.55% during the past quarter. The yield has increased over the past year, from 1.03% in the quarter ended March 31, 2017 to 1.55% in the most recent quarter. -This trend is reflective of the general increase in interest rates that occurred througout the year. -Although the effective average duration has increased, from 1.01 to 1.07 years since last quarter due to a reduction in funds, the City is still shortening it's investments in preparation of higher interest rates. -The total portfolio assets decreased by approximately $5 million during the quarter. This is due to the spending down of funds while we await property tax receipts in late April. December 31, 2017 City of San Rafael Historical Activity-By Quarter September 30, 2017 June 30, 2017 March 31, 2017March 31, 2018 W:\Accounting and Budgeting\Finance\Bank Reconciliations\Statements\17-18\March 2018\Quarterly Report combined 3-31-18 SAN RAFAELJanuary 2018FOR PROFESSIONAL CLIENTS ONLYNOT TO BE DISTRIBUTED TO RETAIL CLIENTSTHIS DOCUMENT SHOULD NOT BE REPRODUCED INANY FORM WITHOUT PRIOR WRITTEN APPROVAL ContentsFixed income market review 3Activity and performance summary 4Recap of securities held6Maturity distribution of securities held 7Securities held8GASB 40 - Deposit and investment risk disclosure 12Securities purchased15Securities sold and matured 16Transaction report17Additional information18 FIXED INCOME MARKET REVIEWAs of January 31, 2018SAN RAFAELChart 1: ISM Manufacturing & Non-Manufacturing Indices: 12/31/12—12/31/17Source: BloombergFinanceLP, January31, 2018.Chart 2: Treasury yield curve: 01/31/17 and 01/31/18Source: Bloomberg FinanceLP, January 31, 2018.Economic Indicators and Monetary PolicyThe Federal Open Market Committee (FOMC) met on January 31 and unanimously voted tohold its key interest rate steady in a range of 1.25% to 1.50%.This was in line withexpectations as market participants had placed nearly zeroprobability of a rate increasethis month. The FOMC statement referenced solid gains in employment, householdspending and business fixed investment while noting that inflation indicators excludingfood and energy continue to run below the 2% target. Jerome Powell takes the reigns asFederalReserve Chair on February 3 and the next meeting of the FOMCis on March 21.On January 3, the Institute for Supply Management (ISM) Manufacturing Index revealedthat US manufacturing expanded at the fastest pace in three months in December,increasing to 59.7 from 58.2. The gauge of new orders index increased to the highest levelin nearly 14 years. Meanwhile, the ISM Non-Manufacturing Index was released on January5 showing that the services sector of the economy expanded inDecember at the weakestpace in four months, with a reading of 55.9 versus expectations of 57.6 and a prior level of57.4. New orders fell to 54.3, the lowest since August 2016. (See Chart 1.)The employment report released on January 5 showed that nonfarm payrolls increased148,000 in December, less than the forecast for 190,000 jobsadded. However, the priormonth’s gain of 228,000 jobs was revised upward to 252,000. The unemployment ratewas unchanged at 4.1% and the underemployment rate increased to 8.1% from theNovember level of 8.0%. The annual growth rate for hourly earnings was steady at 2.5% inDecember, in line with expectations, and November’s earnings rate was revised downslightly to2.4%.The first look at US Gross Domestic Product (GDP) for the fourth quarter of last year wasreleased on January 26. The advance reading was 2.6% compared to expectations for 3.0%growth. US GDP increased 3.2% in the third quarter and 3.1% inthe second quarter of lastyear.Interest Rate SummaryAt the end of January the 3-month US Treasury bill yielded 1.46%, the 6-month US Treasurybill yielded 1.65%, the 2-year US Treasury note yielded 2.14%, the 5-year US Treasury noteyielded 2.52% and the 10-year US Treasury note yielded 2.71%. (See Chart 2).3040506070Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17Monthly IndexManufacturingNon-Manufacturing0.00%0.50%1.00%1.50%2.00%2.50%3.00%3 m 6 m 1 yr 2 yr 3 yr 4 yr 5 yr 6 yr 7 yr 8 yr 9 yr 10 yrPercentage1/31/20181/31/20173 ACTIVITY AND PERFORMANCE SUMMARYFor the period January 1, 2018 - January 31, 2018SAN RAFAELAmortized Cost Basis Activity Summary24,723,960.20Opening balance31,260.06Income received31,260.06Total receipts(144.24)Expenses paid(144.24)Total disbursements0.00Interportfolio transfers0.00Total Interportfolio transfers0.00Realized gain (loss)(2,962.17)Total amortization expense1,320.33Total OID/MKT accretion income0.00Return of capitalClosing balance24,753,434.18Ending fair value24,502,364.89(251,069.29)Unrealized gain (loss)Comparative Rates of Return (%)* Twelvemonth trailing* Sixmonth trailing* One monthFed Funds1.07 0.61 0.12Overnight Repo1.02 0.60 0.12Merrill Lynch 3m US Treas Bill 0.98 0.58 0.12Merrill Lynch 6m US Treas Bill 1.10 0.64 0.13ML 1 Year US Treasury Note 1.29 0.75 0.15ML 2 Year US Treasury Note 1.50 0.85 0.17ML 5 Year US Treasury Note 0.00 0.00 0.00* rates reflected are cumulativeSummary of Amortized Cost Basis Return for the PeriodTotal portfolioInterest earned33,459.86Accretion (amortization)(1,641.84)Realized gain (loss) on sales0.00Total income on portfolio31,818.02Average daily amortized cost24,731,395.94Period return (%)Weighted average final maturity in days823YTD return (%)Detail of Amortized Cost Basis ReturnInterestearnedRealizedgain (loss)Accretion(amortization)Totalincome0.00Cash and Cash Equivalents 64.23 0.00 64.230.00Corporate Bonds 5,272.91 (919.86) 4,353.050.00Government Agencies 16,847.89 (879.21) 15,968.680.00Government Bonds 4,906.14 157.23 5,063.370.00Municipal/Provincial Bonds 6,368.69 0.00 6,368.69Total 33,459.86 (1,641.84) 0.00 31,818.020.130.134 ACTIVITY AND PERFORMANCE SUMMARYFor the period January 1, 2018 - January 31, 2018SAN RAFAELFair Value Basis Activity Summary24,534,510.03Opening balance31,260.06Income received31,260.06Total receipts(144.24)Expenses paid(144.24)Total disbursements0.00Interportfolio transfers0.00Total Interportfolio transfers0.00Unrealized gain (loss) on security movements0.00Return of capitalChange in fair value for the period(63,260.96)Ending fair value24,502,364.89Comparative Rates of Return (%)* Twelvemonth trailing* Sixmonth trailing* One monthFed Funds1.07 0.61 0.12Overnight Repo1.02 0.60 0.12ICE ML 1 Year US Treasury Note 0.48 0.19 0.06ICE ML 3m US Treas Bill 0.93 0.58 0.12ICE ML 6m US Treas Bill 0.99 0.60 0.11ICE ML US Treasury 1-5 (0.09) (0.95) (0.57)ICE ML US Treasury 1-3 0.01 (0.51) (0.29)* rates reflected are cumulativeDetail of Fair Value Basis ReturnInterestearnedChange infair valueTotalincomeCash and Cash Equivalents 64.23 0.00 64.23Corporate Bonds 5,272.91 (3,927.10) 1,345.81Government Agencies 16,847.89 (42,617.81) (25,769.92)Government Bonds 4,906.14 (16,716.05) (11,809.91)Municipal/Provincial Bonds 6,368.69 0.00 6,368.69Total33,459.86 (63,260.96) (29,801.10)Summary of Fair Value Basis Return for the PeriodTotal portfolioInterest earned33,459.86Total income on portfolio(29,801.10)Average daily total value *24,626,648.49Period return (%)(0.12)Weighted average final maturity in days823Change in fair value(63,260.96)YTD return (%)(0.12)* Total value equals market value and accrued interest5 RECAP OF SECURITIES HELDAs of January 31, 2018SAN RAFAELWeightedaveragefinalmaturity (days)Weightedaverageeffectiveduration (years)PercentofportfolioAmortizedcostHistoricalcostFair value Unrealizedgain (loss)Cash and Cash Equivalents 37,896.19 37,896.19 37,896.19 0.00 0.15 0.001Corporate Bonds 3,571,541.50 3,560,647.36 3,537,070.60(23,576.76) 340 14.41 0.91Government Agencies 15,227,575.14 15,200,602.64 15,022,509.80 (178,092.84) 577 61.43 1.54Government Bonds 4,495,906.26 4,498,587.99 4,449,188.30 (49,399.69) 588 18.14 1.57Municipal/Provincial Bonds 1,455,700.00 1,455,700.00 1,455,700.00 0.00 5,328 5.87 10.06Total24,788,619.09 24,753,434.18 24,502,364.89 (251,069.29)823 100.00 1.95Cash and Cash Equivalents 0.15Corporate Bonds 14.41Government Agencies 61.43Government Bonds 18.14Municipal/Provincial Bonds 5.87Portfolio diversification (%)6 MATURITY DISTRIBUTION OF SECURITIES HELDAs of January 31, 2018SAN RAFAELMaturityHistoric cost PercentUnder 90 days2,043,366.19 8.2490 to 179 days498,090.00 2.01180 days to 1 year4,830,897.25 19.491 to 2 years8,606,965.63 34.722 to 3 years7,353,600.02 29.673 to 4 years0.00 0.004 to 5 years0.00 0.00Over 5 years1,455,700.00 5.8724,788,619.09 100.00Maturity distribution7 SECURITIES HELDAs of January 31, 2018SAN RAFAELAmortized cost/Accretion(amortization)Fair value/Change in fairvalueInterestreceivedInterestearnedUnrealizedgain(loss)Coupon Maturity/Call dateHistorical cost/Accrued interestpurchasedCusip/DescriptionTotalaccruedinterest%PortcostPar value orsharesCash and Cash Equivalents0.00037,896.19 37,896.190.000.00 0.00 0.00 0.000.00 0.00Cash and Cash Equivalents0.1537,896.1937,896.19Total Cash and Cash Equivalents37,896.19 37,896.19 37,896.19 0.00 0.00 0.000.00 0.000.150.000.0037,896.19Corporate Bonds037833AJ9 1.000 05/03/2018 498,090.00 499,779.62441.00(574.62) 0.00 416.66 1,222.220.00 71.10APPLE INC 1% 03MAY20182.01499,205.00500,000.00084670BX5 1.150 08/15/2018 500,355.00 500,095.48(810.00)(2,140.48) 0.00 479.17 2,651.390.00 (14.69)BERKSHIRE HATHAWAY INC1.15% 15AUG20182.02497,955.00500,000.0025468PDD5 1.500 09/17/2018 555,351.50 551,677.89(375.10)(3,480.79) 0.00 687.50 3,070.830.00 (221.74)WALT DISNEY COMPANY/THE1.5% 17SEP20182.24548,197.10550,000.0091159HHE3 1.950 11/15/2018 509,425.00 503,283.77(489.50)(3,723.77) 0.00 812.50 2,058.3310/15/20180.00 (345.66)US BANCORP 1.95%15NOV2018 (CALLABLE15OCT18)2.06499,560.00500,000.00713448CK2 2.250 01/07/2019 505,530.00 502,845.21(406.50)(1,833.21) 5,625.00 937.50 750.0012/07/20180.00 (253.28)PEPSICO INC 2.25% 07JAN2019(CALLABLE 07DEC18)2.04501,012.00500,000.0014912L6R7 1.350 05/18/2019 498,245.00 499,121.56(1,124.00)(5,139.06) 0.00 562.50 1,368.750.00 56.31CATERPILLAR FINL SERVICE1.35% 18MAY20192.01493,982.50500,000.0089236TCF0 2.150 03/12/2020 504,545.00 503,843.83(1,262.50)(6,684.83) 0.00 895.83 4,150.690.00 (151.33)TOYOTA MOTOR CREDIT CORP2.15% 12MAR20202.04497,159.00500,000.00Total Corporate Bonds3,571,541.50 3,560,647.36 3,537,070.60 (23,576.76) 5,625.00 4,791.660.00 (859.29)14.4115,272.21(4,026.60)3,550,000.008 SECURITIES HELDAs of January 31, 2018SAN RAFAELAmortized cost/Accretion(amortization)Fair value/Change in fairvalueInterestreceivedInterestearnedUnrealizedgain(loss)Coupon Maturity/Call dateHistorical cost/Accrued interestpurchasedCusip/DescriptionTotalaccruedinterest%PortcostPar value orsharesGovernment Agencies313378A43 1.375 03/09/2018 1,007,970.00 1,000,334.2319.00(243.23) 0.00 1,145.83 5,423.610.00 (257.09)FEDERAL HOME LOAN BANK1.375% 09MAR20184.071,000,091.001,000,000.003133EGFQ3 0.875 09/14/2018 500,497.00 500,137.78320.00(2,777.78) 0.00 364.58 1,664.930.00 (18.46)FEDERAL FARM CREDIT BANK0.875% 14SEP20182.02497,360.00500,000.003133EGM69 1.100 12/05/2018 1,247,248.75 1,248,836.16(187.50)(6,311.16) 0.00 1,145.83 2,138.890.00 114.48FEDERAL FARM CREDIT BANK1.1% 05DEC20185.031,242,525.001,250,000.003135G0H63 1.375 01/28/2019 1,012,490.00 1,005,018.43(1,332.00)(10,822.43) 6,875.00 1,145.83 114.580.00 (420.54)FANNIE MAE 1.375%28JAN20194.08994,196.001,000,000.003133782M2 1.500 03/08/2019 1,014,124.28 1,006,038.09(1,440.00)(11,586.09) 0.00 1,250.00 5,958.330.00 (455.13)FEDERAL HOME LOAN BANK1.5% 08MAR20194.09994,452.001,000,000.003135G0L76 1.075 07/11/2019 599,100.00 599,535.28(966.00)(8,361.28) 3,225.00 537.50 358.3304/11/20180.00 26.76FANNIE MAE 1.075%11JUL2019 (CALLABLE11APR18)2.42591,174.00600,000.003133EGSC0 1.000 08/26/2019 1,000,610.00 1,000,318.51(3,080.00)(16,798.51) 0.00 833.34 4,305.560.00 (16.88)FEDERAL FARM CREDIT BANK1% 26AUG20194.04983,520.001,000,000.00313380FB8 1.375 09/13/2019 1,011,510.00 1,006,294.87(3,030.00)(18,594.87) 0.00 1,145.83 5,270.830.00 (323.92)FEDERAL HOME LOAN BANK1.375% 13SEP20194.08987,700.001,000,000.003134G3M49 1.500 09/26/2019 1,001,001.00 1,000,751.38(2,690.00)(10,931.38) 0.00 1,250.00 5,208.330.00 (37.82)FREDDIE MAC 1.5% 26SEP2019CALLABLE4.04989,820.001,000,000.003137EADM8 1.250 10/02/2019 993,010.00 993,988.60(2,724.00)(8,621.60) 0.00 1,041.66 4,131.940.00 299.57FREDDIE MAC 1.25%02OCT20194.01985,367.001,000,000.009 SECURITIES HELDAs of January 31, 2018SAN RAFAELAmortized cost/Accretion(amortization)Fair value/Change in fairvalueInterestreceivedInterestearnedUnrealizedgain(loss)Coupon Maturity/Call dateHistorical cost/Accrued interestpurchasedCusip/DescriptionTotalaccruedinterest%PortcostPar value orsharesGovernment Agencies3135G0R39 1.000 10/24/2019 589,095.11 589,300.86(667.31)(873.06) 0.00 150.00 1,616.67(1,466.67) 205.75FANNIE MAE 1% 24OCT20192.38588,427.80600,000.003130ABCH7 1.500 11/04/2019 750,030.00 750,022.27(2,565.00)(8,767.27) 0.00 937.50 2,718.750.00 (1.06)FEDERAL HOME LOAN BANK1.5% 04NOV20193.03741,255.00750,000.003133ECEY6 1.450 02/11/2020 1,003,130.00 1,001,958.93(4,230.00)(17,988.93) 0.00 1,208.33 6,847.220.00 (80.39)FEDERAL FARM CREDIT BANK1.45% 11FEB20204.05983,970.001,000,000.003134G3K58 1.500 03/19/2020 498,289.00 498,721.32(2,195.00)(6,201.32) 0.00 625.00 2,750.000.00 49.88FREDDIE MAC 1.5%19MAR2020 CALLABLE2.01492,520.00500,000.00313383HU8 1.750 06/12/2020 996,870.00 997,088.69(5,070.00)(8,926.69) 0.00 1,458.33 2,381.940.00 102.51FEDERAL HOME LOAN BANK1.75% 12JUN20204.02988,162.001,000,000.003133EHVX8 1.500 08/24/2020 999,190.00 999,295.92(6,960.00)(20,225.92) 0.00 1,250.00 6,541.670.00 22.86FEDERAL FARM CREDIT BANK1.5% 24AUG20204.03979,070.001,000,000.003135G0RM7 1.630 10/30/2020 1,003,410.00 1,002,961.32(5,820.00)(20,061.32) 0.00 1,358.33 4,075.000.00 (89.73)FANNIE MAE 1.63%30OCT2020 CALLABLE4.05982,900.001,000,000.00Total Government Agencies15,227,575.14 15,200,602.64 15,022,509.80 (178,092.84)10,100.00 16,847.89(1,466.67) (879.21)61.4361,506.58(42,617.81)15,200,000.00Government Bonds912828UR9 0.750 02/28/2018 997,500.00 999,921.26470.00(391.26) 0.00 642.27 3,169.890.00 87.18USA TREASURY 0.75%28FEB20184.02999,530.001,000,000.00912828WL0 1.500 05/31/2019 501,230.47 500,731.35(957.00)(4,188.35) 0.00 638.73 1,277.470.00 (46.74)USA TREASURY 1.5%31MAY20192.02496,543.00500,000.0010 SECURITIES HELDAs of January 31, 2018SAN RAFAELAmortized cost/Accretion(amortization)Fair value/Change in fairvalueInterestreceivedInterestearnedUnrealizedgain(loss)Coupon Maturity/Call dateHistorical cost/Accrued interestpurchasedCusip/DescriptionTotalaccruedinterest%PortcostPar value orsharesGovernment Bonds912828TV2 1.250 10/31/2019 649,009.77 649,316.27(2,132.65)(8,736.07) 0.00 695.79 2,064.920.00 33.22USA TREASURY 1.25%31OCT20192.62640,580.20650,000.00912828H52 1.250 01/31/2020 745,869.14 746,839.07(3,252.00)(10,022.57) 4,687.50 789.74 0.000.00 134.23USA TREASURY 1.25%31JAN20203.01736,816.50750,000.00912828X96 1.500 05/15/2020 596,554.69 596,862.78(3,656.40)(6,261.18) 0.00 770.72 1,914.370.00 116.48USA TREASURY 1.5%15MAY20202.41590,601.60600,000.00912828XM7 1.625 07/31/2020 1,005,742.19 1,004,917.26(7,188.00)(19,800.26) 8,125.00 1,368.89 0.000.00 (167.14)USA TREASURY 1.625%31JUL20204.06985,117.001,000,000.00Total Government Bonds4,495,906.26 4,498,587.99 4,449,188.30 (49,399.69) 12,812.50 4,906.140.00 157.2318.148,426.65(16,716.05)4,500,000.00Municipal/Provincial Bonds888599LS4 5.250 09/02/2032 1,455,700.00 1,455,700.000.000.00 0.00 6,368.69 25,474.750.00 0.00PT. SAN ASSESS DISTRICT5.25% 144A 02SEP2032SANRAF$015.871,455,700.001,455,700.00Total Municipal/Provincial Bonds1,455,700.00 1,455,700.00 1,455,700.00 0.00 0.00 6,368.690.00 0.005.8725,474.750.001,455,700.00Grand total24,788,619.09 24,753,434.18(63,360.46)(251,069.29) 28,537.50 32,914.3824,743,596.19(1,466.67) (1,581.27)100.00110,680.1924,502,364.8911 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSUREAs of January 31, 2018SAN RAFAELCusipS&PratingMoodyratingHistoricalcost% Portfoliohist costMarketvalue% Portfoliomkt valueEffectivedur (yrs)Description Coupon MaturitydateCall date Par value orsharesFederal Home Loan Banks313378A43FEDERAL HOME LOAN 1.375 03/09/2018 AA+ Aaa 1,007,970.00 4.07 1,000,091.00 4.08 0.101,000,000.003133782M2FEDERAL HOME LOAN 1.500 03/08/2019 AA+ Aaa 1,014,124.28 4.09 994,452.00 4.06 1.081,000,000.00313380FB8FEDERAL HOME LOAN 1.375 09/13/2019 AA+ Aaa 1,011,510.00 4.08 987,700.00 4.03 1.581,000,000.003130ABCH7FEDERAL HOME LOAN 1.500 11/04/2019 AA+ Aaa 750,030.00 3.03 741,255.00 3.03 1.72750,000.00313383HU8FEDERAL HOME LOAN 1.750 06/12/2020 AA+ Aaa 996,870.00 4.02 988,162.00 4.03 2.301,000,000.00Issuer total4,750,000.00 4,780,504.28 19.29 4,711,660.00 19.23 1.33Federal Farm Credit Banks3133EGFQ3FEDERAL FARM CREDIT 0.875 09/14/2018 AA+ Aaa 500,497.00 2.02 497,360.00 2.03 0.61500,000.003133EGM69FEDERAL FARM CREDIT 1.100 12/05/2018 AA+ Aaa 1,247,248.75 5.03 1,242,525.00 5.07 0.831,250,000.003133EGSC0FEDERAL FARM CREDIT 1.000 08/26/2019 AA+ Aaa 1,000,610.00 4.04 983,520.00 4.01 1.531,000,000.003133ECEY6FEDERAL FARM CREDIT 1.450 02/11/2020 AA+ Aaa 1,003,130.00 4.05 983,970.00 4.02 1.971,000,000.003133EHVX8FEDERAL FARM CREDIT 1.500 08/24/2020 AA+ Aaa 999,190.00 4.03 979,070.00 4.00 2.481,000,000.00Issuer total4,750,000.00 4,750,675.75 19.16 4,686,445.00 19.13 1.54United States Treasury Note/Bond912828UR9USA TREASURY 0.75% 0.750 02/28/2018 AA+ Aaa 997,500.00 4.02 999,530.00 4.08 0.071,000,000.00912828WL0USA TREASURY 1.5% 1.500 05/31/2019 AA+ Aaa 501,230.47 2.02 496,543.00 2.03 1.30500,000.00912828TV2USA TREASURY 1.25% 1.250 10/31/2019 AA+ Aaa 649,009.77 2.62 640,580.20 2.61 1.71650,000.00912828H52USA TREASURY 1.25% 1.250 01/31/2020 AA+ Aaa 745,869.14 3.01 736,816.50 3.01 1.96750,000.00912828X96USA TREASURY 1.5% 1.500 05/15/2020 AA+ Aaa 596,554.69 2.41 590,601.60 2.41 2.23600,000.00912828XM7USA TREASURY 1.625% 1.625 07/31/2020 AA+ Aaa 1,005,742.19 4.06 985,117.00 4.02 2.431,000,000.00Issuer total4,500,000.00 4,495,906.26 18.14 4,449,188.30 18.16 1.57Federal National Mortgage Association3135G0H63FANNIE MAE 1.375% 1.375 01/28/2019 AA+ Aaa 1,012,490.00 4.08 994,196.00 4.06 0.981,000,000.0012 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSUREAs of January 31, 2018SAN RAFAELCusipS&PratingMoodyratingHistoricalcost% Portfoliohist costMarketvalue% Portfoliomkt valueEffectivedur (yrs)Description Coupon MaturitydateCall datePar value orsharesFederal National Mortgage Association3135G0L76FANNIE MAE 1.075% 1.075 07/11/2019 04/11/2018 AA+ Aaa599,100.00 2.42 591,174.00 2.41 1.42600,000.003135G0R39FANNIE MAE 1%1.000 10/24/2019AA+ Aaa589,095.11 2.38 588,427.80 2.40 1.69600,000.003135G0RM7FANNIE MAE 1.63%1.630 10/30/2020AA+ Aaa1,003,410.00 4.05 982,900.00 4.01 2.661,000,000.00Issuer total3,200,000.00 3,204,095.11 12.93 3,156,697.80 12.88 1.72Federal Home Loan Mortgage Corp3134G3M49FREDDIE MAC 1.5%1.500 09/26/2019AA+ Aaa1,001,001.00 4.04 989,820.00 4.04 1.601,000,000.003137EADM8FREDDIE MAC 1.25% 1.250 10/02/2019AA+ Aaa993,010.00 4.01 985,367.00 4.02 1.631,000,000.003134G3K58FREDDIE MAC 1.5%1.500 03/19/2020AA+ Aaa498,289.00 2.01 492,520.00 2.01 2.03500,000.00Issuer total2,500,000.00 2,492,300.00 10.05 2,467,707.00 10.07 1.70Pt. San Assess District888599LS4 PT. SAN ASSESS5.250 09/02/2032NR NR1,455,700.00 5.87 1,455,700.00 5.94 10.061,455,700.00Issuer total1,455,700.00 1,455,700.00 5.87 1,455,700.00 5.94 10.06Walt Disney Co/The25468PDD5WALT DISNEY1.500 09/17/2018A+ A2555,351.50 2.24 548,197.10 2.24 0.61550,000.00Issuer total550,000.00 555,351.50 2.24 548,197.10 2.24 0.61PepsiCo Inc713448CK2PEPSICO INC 2.25%2.250 01/07/2019 12/07/2018 A+ A1505,530.00 2.04 501,012.00 2.04 0.90500,000.00Issuer total500,000.00 505,530.00 2.04 501,012.00 2.04 0.90US Bancorp91159HHE3US BANCORP 1.95%1.950 11/15/2018 10/15/2018 A+ A1509,425.00 2.06 499,560.00 2.04 0.77500,000.00Issuer total500,000.00 509,425.00 2.06 499,560.00 2.04 0.7713 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSUREAs of January 31, 2018SAN RAFAELCusipS&PratingMoodyratingHistoricalcost% Portfoliohist costMarketvalue% Portfoliomkt valueEffectivedur (yrs)Description Coupon MaturitydateCall date Par value orsharesApple Inc037833AJ9APPLE INC 1% 1.000 05/03/2018 AA+ Aa1 498,090.00 2.01 499,205.00 2.04 0.25500,000.00Issuer total500,000.00 498,090.00 2.01 499,205.00 2.04 0.25Berkshire Hathaway Inc084670BX5BERKSHIRE HATHAWAY 1.150 08/15/2018 AA Aa2 500,355.00 2.02 497,955.00 2.03 0.53500,000.00Issuer total500,000.00 500,355.00 2.02 497,955.00 2.03 0.53Toyota Motor Credit Corp89236TCF0TOYOTA MOTOR CREDIT 2.150 03/12/2020 AA- Aa3 504,545.00 2.04 497,159.00 2.03 2.04500,000.00Issuer total500,000.00 504,545.00 2.04 497,159.00 2.03 2.04Caterpillar Financial Services Corp14912L6R7CATERPILLAR FINL 1.350 05/18/2019 A A3 498,245.00 2.01 493,982.50 2.02 1.27500,000.00Issuer total500,000.00 498,245.00 2.01 493,982.50 2.02 1.27Cash and Cash EquivalentsINVESTED CASH 0.00037,896.19 0.15 37,896.19 0.15 0.0037,896.19Issuer total37,896.19 37,896.19 0.15 37,896.19 0.15 0.00Grand total24,743,596.19 24,788,619.09 100.00 24,502,364.89 100.001.9514 SECURITIES PURCHASEDFor the period January 1, 2018 - January 31, 2018SAN RAFAELPar value orsharesUnit cost Accruedinterest purchasedTrade dateSettle dateCoupon Maturity/Call datePrincipalcostCusip / Description / BrokerGovernment Agencies3135G0R391.00001/19/2018 10/24/2019 600,000.00 98.18 (589,095.11) (1,466.67)FANNIE MAE 1% 24OCT201901/22/2018WELLS FARGO SECURITIES INTL LTD600,000.00 (589,095.11) (1,466.67)Total Government AgenciesGrand totalGrand total600,000.00 (589,095.11) (1,466.67)15 SECURITIES SOLD AND MATUREDFor the period January 1, 2018 - January 31, 2018SAN RAFAELHistorical cost Amortized costat sale or maturity/Accr (amort)Fair value atsale or maturity /Chg.in fair valueRealizedgain(loss)PriceCouponTrade dateSettle dateMaturity/Call datePar value orsharesCusip/Description/BrokerAccruedinterestsoldInterestreceivedInterestearnedCorporate Bonds94988J5A1WELLS FARGO BK N A SANFRANCISCO CALIFMTRANCHE # TR 008411.65% DUE 01-22-20181.65001/22/2018 (500,000.00) 501,930.00 500,000.00(60.57)0.0099.50500,000.00 0.00 0.00 4,125.00 481.2501/22/2018(500,000.00)0.00501,930.00(60.57)500,000.0099.50500,000.00 0.00 4,125.00 481.25Total (Corporate Bonds)Grand totalGrand total(500,000.00)0.00501,930.00(60.57)500,000.00 500,000.00 0.00 4,125.00 481.2599.5016 TRANSACTION REPORTFor the period January 1, 2018 - January 31, 2018SAN RAFAELMaturity Par value orsharesInterest Transaction totalPrincipalTransactionCusip Sec type DescriptionTrade dateSettle dateRealizedgain(loss)5,625.0001/07/201801/07/2018Income713448CK2 Corporate Bonds PEPSICO INC 2.25% 07JAN201901/07/2019 500,000.00 0.00 5,625.000.003,225.0001/11/201801/11/2018Income3135G0L76 Government Agencies FANNIE MAE 1.075% 11JUL2019 07/11/2019 600,000.00 0.00 3,225.000.00(1,466.67)01/19/201801/22/2018Bought3135G0R39 Government Agencies FANNIE MAE 1% 24OCT201910/24/2019 600,000.00 (589,095.11) (590,561.78)0.004,125.0001/22/201801/22/2018Income94988J5A1 Corporate Bonds WELLS FARGO BK N A SAN 01/22/2018 500,000.00 0.00 4,125.000.000.0001/22/201801/22/2018Capital Change94988J5A1 Corporate Bonds WELLS FARGO BK N A SAN 01/22/2018 (500,000.00) 500,000.00 500,000.000.006,875.0001/28/201801/28/2018Income3135G0H63 Government Agencies FANNIE MAE 1.375% 01/28/2019 1,000,000.00 0.00 6,875.000.004,687.5001/31/201801/31/2018Income912828H52 Government Bonds USA TREASURY 1.25% 01/31/2020 750,000.00 0.00 4,687.500.008,125.0001/31/201801/31/2018Income912828XM7 Government Bonds USA TREASURY 1.625% 07/31/2020 1,000,000.00 0.00 8,125.000.0064.23Income Cash and Cash Equivalents Cash64.230.00 0.000.0001/31/201817 ADDITIONAL INFORMATIONAs of January 31, 2018SAN RAFAELPast performance is not a guide to future performance. The value of investments and any income from them will fluctuate and is not guaranteed (this may partly be due to exchange rate changes) and investors may not getback the amount invested. Transactions in foreign securities may be executed and settled in local markets. Performance comparisons will be affected by changes in interest rates. Investment returns fluctuate due to changesin market conditions. Investment involves risk, including the possible loss of principal. No assurance can be given that the performance objectives of a given strategy will be achieved. The information contained herein is foryour reference only and is being provided in response to your specific request and has been obtained from sources believed to be reliable; however, no representation is made regarding its accuracy or completeness. Thisdocument must not be used for the purpose of an offer or solicitation in any jurisdiction or in any circumstances in which such offer or solicitation is unlawful or otherwise not permitted. This document should not beduplicated, amended, or forwarded to a third party without consent from Insight. This is a marketing document intended for professional clients only and should not be made available to or relied upon by retail clientsInvestment advisory services in North America are provided through four different SEC-registered investment advisers using the brand Insight Investment: Cutwater Asset Management Corp. (CAMC), Cutwater InvestorServices Corp. (CISC), Insight North America LLC (INA) and Pareto Investment Management Limited (PIML). The North American investment advisers are associated with a broader group of global investment managers that also(individually and collectively) use the corporate brand Insight Investment and may be referred to as Insight, Insight Group or Insight Investment.Both CISC and CAMC are investment advisers registered with the Securities and Exchange Commission (SEC), under the Investment Advisers Act of 1940, as amended. Registration with the SEC does not imply a certain level ofskill or training. You may request, without charge, additional information about Insight. Moreover, specific information relating to Insights strategies, including investment advisory fees, may be obtained from CAMCs andCISCs Forms ADV Part 2A, which are available without charge upon request.Where indicated, performance numbers used in the analysis are gross returns. The performance reflects the reinvestment of all dividends and income. CAMC and CISC charge management fees on all portfolios managed andthese fees will reduce the returns on the portfolios. For example, assume that $30 million is invested in an account with either CAMC or CISC, and this account achieves a 5.0% annual return compounded monthly, gross of fees,for a period of five years. At the end of five years that account would have grown to $38,500,760 before the deduction of management fees. Assuming management fees of 0.25% per year are deducted monthly from theaccount, the value at the end of the five year period would be $38,022,447. Actual fees for new accounts are dependent on size and subject to negotiation. CAMCS and CISC's investment advisory fees are discussed in Part 2Aof the Firms Form ADV.Unless otherwise stated, the source of information is Insight. Any forecasts or opinions are Insights own at the date of this document (or as otherwise specified) and may change. Material in this publication is for generalinformation only and is not advice, investment advice, or the recommendation of any purchase or sale of any security. Insight makes no implied or expressed recommendations concerning the manner in which an accountshould or would be handled, as appropriate investment strategies depend upon specific investment guidelines and objectives and should not be construed to be an assurance that any particular security in a strategy willremain in any fund, account, or strategy, or that a previously held security will not be repurchased. It should not be assumed that any of the security transactions or holdings referenced herein have been or will prove to beprofitable or that future investment decisions will be profitable or will equal or exceed the past investment performance of the securities listed.For trading activity the Clearing broker will be reflected. In certain cases the Clearing broker will differ from the Executing broker.In calculating ratings distributions and weighted average portfolio quality, Insight assigns U.S Treasury and U.S agency securities a quality rating based on the methodology used within the respective benchmark index. WhenMoodys, S&P and Fitch rate a security, Bank of America and Merrill Lynch indexes assign a simple weighted average statistic while Barclays indexes assign the median statistic. Insight assigns all other securities the lower ofMoodys and S&P ratings.Information about the indices shown here is provided to allow for comparison of the performance of the strategy to that of certain well-known and widely recognized indices. There is no representation that such index is anappropriate benchmark for such comparison. You cannot invest directly in an index and the indices represented do not take into account trading commissions and/or other brokerage or custodial costs. The volatility of theindices may be materially different from that of the strategy. In addition, the strategys holdings may differ substantially from the securities that comprise the indices shown.The BofA Merrill Lynch 3 Mo US T-Bill index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.The BofA Merrill Lynch 6 Mo US T-Bill index measures the performance of Treasury bills with time to maturity of less than 6 months.The BofA Merrill Lynch Current 1-Year US Treasury Index is a one-security index comprised of the most recently issued 1-year US Treasury note. The index is rebalanced monthly. In order to qualify for inclusion, a 1-year notemust be auctioned on or before the third business day before the last business day of the month.The BofA Merrill Lynch Current 3-Year US Treasury Index is a one-security index comprised of the most recently issued 3-year US Treasury note. The index is rebalanced monthly. In order to qualify for inclusion, a 3-year notemust be auctioned on or before the third business day before the last business day of the month.The BofA Merrill Lynch Current 5-Year US Treasury Index is a one-security index comprised of the most recently issued 5-year US Treasury note. The index is rebalanced monthly. In order to qualify for inclusion, a 5-year notemust be auctioned on or before the third business day before the last business day of the month.The BofA Merrill Lynch 1-3 US Year Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years.The BofA Merrill Lynch 1-5 US Year Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than five years.Insight does not provide tax or legal advice to its clients and all investors are strongly urged to consult their tax and legal advisors regarding any potential strategy or investment.18 ADDITIONAL INFORMATIONAs of January 31, 2018SAN RAFAELInsight is a group of wholly owned subsidiaries of The Bank of New York Mellon Corporation. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation and may also be used as a generic term to referencethe Corporation as a whole or its various subsidiaries generally. Products and services may be provided under various brand names and in various countries by subsidiaries, affiliates and joint ventures of The Bank of New YorkMellon Corporation where authorized and regulated as required within each jurisdiction. Unless you are notified to the contrary, the products and services mentioned are not insured by the FDIC (or by any governmental entity)and are not guaranteed by or obligations of The Bank of New York Mellon Corporation or any of its affiliates. The Bank of New York Corporation assumes no responsibility for the accuracy or completeness of the above data anddisclaims all expressed or implied warranties in connection therewith.© 2018 Insight Investment. All rights reserved.19 SAN RAFAELFebruary 2018FOR PROFESSIONAL CLIENTS ONLYNOT TO BE DISTRIBUTED TO RETAIL CLIENTSTHIS DOCUMENT SHOULD NOT BE REPRODUCED INANY FORM WITHOUT PRIOR WRITTEN APPROVAL ContentsFixed income market review 3Activity and performance summary 4Recap of securities held6Maturity distribution of securities held 7Securities held8GASB 40 - Deposit and investment risk disclosure 12Securities purchased15Securities sold and matured 16Transaction report17Additional information18 FIXED INCOME MARKET REVIEWAs of February 28, 2018SAN RAFAELChart 1: Consumer Price Index: 01/31/2013—01/31/2018Source: BloombergFinance LP, February28, 2018.Chart 2: Treasury yield curve: 02/28/2017 and 02/28/2018Source: Bloomberg Finance LP, February 28, 2018.Economic Indicators and Monetary PolicyThe employment report released on February 2 showed stronger than expected job andwage growth in January. Nonfarm payrolls increased 200,000in January compared toexpectations for 180,000 new jobs added, and the December payrolls were revised up to160,000 jobs added versus the original release of 148,000. The unemployment rate wasunchanged in January at 4.1% and the underemployment rateincreased to8.2% from 8.1%.Average hourly earnings increased .3% in January to 2.9% growth on a year-over-year basis,and the December earnings figure was revised to 2.7% from 2.5%. The January increase inaverage hourly earnings was the most since June 2009. The gain in earnings led toconcerns that a pick-up in wages could spark inflation and lead to faster interest-rateincreasesbytheFederalReserve.The Consumer Price Index (CPI) report released on February 14 was stronger thanexpected. Including food and energy, the CPI increased 0.5%in January for year-over-yeargrowth of 2.1%. The core CPI, which excludes the volatile food and energy components,increased 0.3% in January to 1.8% on a year-over-year basis.(See Chart 1). The ProducerPrice Index released on February 15 increased 2.7% year-over-year at the headline leveland 2.2% excluding food and energy.The second reading of fourth quarter US Gross Domestic Product was released onFebruary 28 at 2.5% compared to the advance reading of 2.6%. Personal consumption wasunchanged at 3.8%.Federal Reserve Chairman Jerome Powell was upbeat in his assessment of the USeconomy during testimony provided to the House Financial Services Committee onFebruary 27. In the testimony, Powell noted that the recent tax reform and budget dealshould add to demand in upcoming years and that the economic outlook was strong. Thenext meeting of the FederalOpen Market Committee is on March21.Interest Rate SummaryAt the end of February the 3-month US Treasury bill yielded 1.66%, the 6-month USTreasury bill yielded 1.85%, the 2-year US Treasury note yielded 2.25%, the 5-year USTreasury note yielded 2.64% and the 10-year US Treasury noteyielded 2.86%. (See Chart 2).-0.500.000.501.001.502.002.503.00Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18Yearly % changeCPICPI Ex Food and Energy0.00%0.50%1.00%1.50%2.00%2.50%3.00%3 m 6 m 1 yr 2 yr 3 yr 4 yr 5 yr 6 yr 7 yr 8 yr 9 yr 10 yrPercentage2/28/20182/28/20173 ACTIVITY AND PERFORMANCE SUMMARYFor the period February 1, 2018 - February 28, 2018SAN RAFAELAmortized Cost Basis Activity Summary24,753,434.18Opening balance23,786.21Income received23,786.21Total receipts(144.04)Expenses paid(144.04)Total disbursements0.00Interportfolio transfers0.00Total Interportfolio transfers0.00Realized gain (loss)(2,883.94)Total amortization expense1,620.51Total OID/MKT accretion income0.00Return of capitalClosing balance24,775,812.92Ending fair value24,498,482.96(277,329.96)Unrealized gain (loss)Comparative Rates of Return (%)* Twelvemonth trailing* Sixmonth trailing* One monthFed Funds1.13 0.63 0.11Overnight Repo1.08 0.60 0.10Merrill Lynch 3m US Treas Bill 1.06 0.61 0.12Merrill Lynch 6m US Treas Bill 1.18 0.68 0.13ML 1 Year US Treasury Note 1.37 0.80 0.15ML 2 Year US Treasury Note 1.57 0.91 0.17ML 5 Year US Treasury Note 2.00 1.07 0.20* rates reflected are cumulativeSummary of Amortized Cost Basis Return for the PeriodTotal portfolioInterest earned30,303.38Accretion (amortization)(1,263.43)Realized gain (loss) on sales0.00Total income on portfolio29,039.95Average daily amortized cost24,759,902.89Period return (%)Weighted average final maturity in days814YTD return (%)Detail of Amortized Cost Basis ReturnInterestearnedRealizedgain (loss)Accretion(amortization)Totalincome0.00Cash and Cash Equivalents 59.69 0.00 59.690.00Corporate Bonds 4,312.50 (859.32) 3,453.180.00Government Agencies 15,523.41 (573.58) 14,949.830.00Government Bonds 4,463.67 169.47 4,633.140.00Municipal/Provincial Bonds 5,944.11 0.00 5,944.11Total 30,303.38 (1,263.43) 0.00 29,039.950.120.254 ACTIVITY AND PERFORMANCE SUMMARYFor the period February 1, 2018 - February 28, 2018SAN RAFAELFair Value Basis Activity Summary24,502,364.89Opening balance23,786.21Income received23,786.21Total receipts(144.04)Expenses paid(144.04)Total disbursements0.00Interportfolio transfers0.00Total Interportfolio transfers0.00Unrealized gain (loss) on security movements0.00Return of capitalChange in fair value for the period(27,524.10)Ending fair value24,498,482.96Comparative Rates of Return (%)* Twelvemonth trailing* Sixmonth trailing* One monthFed Funds1.13 0.63 0.11Overnight Repo1.08 0.60 0.10ICE ML 3m US Treas Bill 0.99 0.58 0.09ICE ML 6m US Treas Bill 1.00 0.52 0.06ICE ML 1 Year US Treasury Note 0.45 0.12 0.03ICE ML US Treasury 1-3 (0.13) (0.74) (0.04)ICE ML US Treasury 1-5 (0.37) (1.41) (0.13)* rates reflected are cumulativeDetail of Fair Value Basis ReturnInterestearnedChange infair valueTotalincomeCash and Cash Equivalents 59.69 0.00 59.69Corporate Bonds 4,312.50 (5,759.35) (1,446.85)Government Agencies 15,523.41 (16,112.00) (588.59)Government Bonds 4,463.67 (5,652.75) (1,189.08)Municipal/Provincial Bonds 5,944.11 0.00 5,944.11Total30,303.38 (27,524.10) 2,779.28Summary of Fair Value Basis Return for the PeriodTotal portfolioInterest earned30,303.38Total income on portfolio2,779.28Average daily total value *24,620,690.78Period return (%)0.01Weighted average final maturity in days814Change in fair value(27,524.10)YTD return (%)(0.11)* Total value equals market value and accrued interest5 RECAP OF SECURITIES HELDAs of February 28, 2018SAN RAFAELWeightedaveragefinalmaturity (days)Weightedaverageeffectiveduration (years)PercentofportfolioAmortizedcostHistoricalcostFair value Unrealizedgain (loss)Cash and Cash Equivalents 68,257.11 68,257.11 68,257.11 0.00 0.28 0.001Corporate Bonds 3,571,541.50 3,559,788.04 3,531,311.25(28,476.79) 312 14.39 0.83Government Agencies 15,227,575.14 15,200,029.06 15,006,397.80 (193,631.26) 549 61.36 1.46Government Bonds 4,491,687.51 4,492,038.71 4,436,816.80 (55,221.91) 669 18.10 1.79Municipal/Provincial Bonds 1,455,700.00 1,455,700.00 1,455,700.00 0.00 5,300 5.87 9.99Total24,814,761.26 24,775,812.92 24,498,482.96 (277,329.96)814 100.00 1.93Cash and Cash Equivalents 0.28Corporate Bonds 14.39Government Agencies 61.36Government Bonds 18.10Municipal/Provincial Bonds 5.87Portfolio diversification (%)6 MATURITY DISTRIBUTION OF SECURITIES HELDAs of February 28, 2018SAN RAFAELMaturityHistoric cost PercentUnder 90 days1,574,317.11 6.3490 to 179 days500,355.00 2.02180 days to 1 year4,330,542.25 17.451 to 2 years11,349,246.02 45.742 to 3 years5,604,600.88 22.593 to 4 years0.00 0.004 to 5 years0.00 0.00Over 5 years1,455,700.00 5.8724,814,761.26 100.00Maturity distribution7 SECURITIES HELDAs of February 28, 2018SAN RAFAELAmortized cost/Accretion(amortization)Fair value/Change in fairvalueInterestreceivedInterestearnedUnrealizedgain(loss)Coupon Maturity/Call dateHistorical cost/Accrued interestpurchasedCusip/DescriptionTotalaccruedinterest%PortcostPar value orsharesCash and Cash Equivalents0.00068,257.11 68,257.110.000.00 0.00 0.00 0.000.00 0.00Cash and Cash Equivalents0.2868,257.1168,257.11Total Cash and Cash Equivalents68,257.11 68,257.11 68,257.11 0.00 0.00 0.000.00 0.000.280.000.0068,257.11Corporate Bonds037833AJ9 1.000 05/03/2018 498,090.00 499,850.71(95.00)(740.71) 0.00 375.00 1,597.220.00 71.09APPLE INC 1% 03MAY20182.01499,110.00500,000.00084670BX5 1.150 08/15/2018 500,355.00 500,080.79(126.00)(2,251.79) 2,875.00 431.25 207.640.00 (14.69)BERKSHIRE HATHAWAY INC1.15% 15AUG20182.02497,829.00500,000.0025468PDD5 1.500 09/17/2018 555,351.50 551,456.14(185.35)(3,444.39) 0.00 618.75 3,689.580.00 (221.75)WALT DISNEY COMPANY/THE1.5% 17SEP20182.24548,011.75550,000.0091159HHE3 1.950 11/15/2018 509,425.00 502,938.11(587.00)(3,965.11) 0.00 731.25 2,789.5810/15/20180.00 (345.66)US BANCORP 1.95%15NOV2018 (CALLABLE15OCT18)2.05498,973.00500,000.00713448CK2 2.250 01/07/2019 505,530.00 502,591.92(1,423.50)(3,003.42) 0.00 843.75 1,593.7512/07/20180.00 (253.29)PEPSICO INC 2.25% 07JAN2019(CALLABLE 07DEC18)2.04499,588.50500,000.0014912L6R7 1.350 05/18/2019 498,245.00 499,177.87(1,267.00)(6,462.37) 0.00 506.25 1,875.000.00 56.31CATERPILLAR FINL SERVICE1.35% 18MAY20192.01492,715.50500,000.0089236TCF0 2.150 03/12/2020 504,545.00 503,692.50(2,075.50)(8,609.00) 0.00 806.25 4,956.940.00 (151.33)TOYOTA MOTOR CREDIT CORP2.15% 12MAR20202.03495,083.50500,000.00Total Corporate Bonds3,571,541.50 3,559,788.04 3,531,311.25 (28,476.79) 2,875.00 4,312.500.00 (859.32)14.3916,709.71(5,759.35)3,550,000.008 SECURITIES HELDAs of February 28, 2018SAN RAFAELAmortized cost/Accretion(amortization)Fair value/Change in fairvalueInterestreceivedInterestearnedUnrealizedgain(loss)Coupon Maturity/Call dateHistorical cost/Accrued interestpurchasedCusip/DescriptionTotalaccruedinterest%PortcostPar value orsharesGovernment Agencies313378A43 1.375 03/09/2018 1,007,970.00 1,000,077.13(96.00)(82.13) 0.00 1,031.25 6,454.860.00 (257.10)FEDERAL HOME LOAN BANK1.375% 09MAR20184.06999,995.001,000,000.003133EGFQ3 0.875 09/14/2018 500,497.00 500,119.33(340.00)(3,099.33) 0.00 328.13 1,993.060.00 (18.45)FEDERAL FARM CREDIT BANK0.875% 14SEP20182.02497,020.00500,000.003133EGM69 1.100 12/05/2018 1,247,248.75 1,248,950.63(337.50)(6,763.13) 0.00 1,031.25 3,170.140.00 114.47FEDERAL FARM CREDIT BANK1.1% 05DEC20185.031,242,187.501,250,000.003135G0H63 1.375 01/28/2019 1,012,490.00 1,004,597.89(635.00)(11,036.89) 0.00 1,031.25 1,145.830.00 (420.54)FANNIE MAE 1.375%28JAN20194.08993,561.001,000,000.003133782M2 1.500 03/08/2019 1,014,124.28 1,005,582.96(817.00)(11,947.96) 0.00 1,125.00 7,083.330.00 (455.13)FEDERAL HOME LOAN BANK1.5% 08MAR20194.09993,635.001,000,000.003135G0L76 1.075 07/11/2019 599,100.00 599,562.04(24.00)(8,412.04) 0.00 483.75 842.0804/11/20180.00 26.76FANNIE MAE 1.075%11JUL2019 (CALLABLE11APR18)2.41591,150.00600,000.003133EGSC0 1.000 08/26/2019 1,000,610.00 1,000,301.62(270.00)(17,051.62) 5,000.00 750.00 55.560.00 (16.89)FEDERAL FARM CREDIT BANK1% 26AUG20194.03983,250.001,000,000.00313380FB8 1.375 09/13/2019 1,011,510.00 1,005,970.95(1,070.00)(19,340.95) 0.00 1,031.25 6,302.080.00 (323.92)FEDERAL HOME LOAN BANK1.375% 13SEP20194.08986,630.001,000,000.003134G3M49 1.500 09/26/2019 1,001,001.00 1,000,713.56(1,190.00)(12,083.56) 0.00 1,125.00 6,333.330.00 (37.82)FREDDIE MAC 1.5% 26SEP2019CALLABLE4.03988,630.001,000,000.003137EADM8 1.250 10/02/2019 993,010.00 994,288.17(807.00)(9,728.17) 0.00 937.50 5,069.440.00 299.57FREDDIE MAC 1.25%02OCT20194.00984,560.001,000,000.009 SECURITIES HELDAs of February 28, 2018SAN RAFAELAmortized cost/Accretion(amortization)Fair value/Change in fairvalueInterestreceivedInterestearnedUnrealizedgain(loss)Coupon Maturity/Call dateHistorical cost/Accrued interestpurchasedCusip/DescriptionTotalaccruedinterest%PortcostPar value orsharesGovernment Agencies3135G0R39 1.000 10/24/2019 589,095.11 589,815.24(579.00)(1,966.44) 0.00 450.00 2,066.670.00 514.38FANNIE MAE 1% 24OCT20192.37587,848.80600,000.003130ABCH7 1.500 11/04/2019 750,030.00 750,021.22(1,102.50)(9,868.72) 0.00 843.75 3,562.500.00 (1.05)FEDERAL HOME LOAN BANK1.5% 04NOV20193.02740,152.50750,000.003133ECEY6 1.450 02/11/2020 1,003,130.00 1,001,878.54(820.00)(18,728.54) 7,250.00 1,087.50 684.720.00 (80.39)FEDERAL FARM CREDIT BANK1.45% 11FEB20204.04983,150.001,000,000.003134G3K58 1.500 03/19/2020 498,289.00 498,771.21(845.00)(7,096.21) 0.00 562.50 3,312.500.00 49.89FREDDIE MAC 1.5%19MAR2020 CALLABLE2.01491,675.00500,000.00313383HU8 1.750 06/12/2020 996,870.00 997,191.20(2,019.00)(11,048.20) 0.00 1,312.50 3,694.440.00 102.51FEDERAL HOME LOAN BANK1.75% 12JUN20204.02986,143.001,000,000.003133EHVX8 1.500 08/24/2020 999,190.00 999,318.78(1,220.00)(21,468.78) 7,500.00 1,125.00 166.670.00 22.86FEDERAL FARM CREDIT BANK1.5% 24AUG20204.03977,850.001,000,000.003135G0RM7 1.630 10/30/2020 1,003,410.00 1,002,868.59(3,940.00)(23,908.59) 0.00 1,267.78 5,342.780.00 (92.73)FANNIE MAE 1.63%30OCT2020 CALLABLE4.04978,960.001,000,000.00Total Government Agencies15,227,575.14 15,200,029.06 15,006,397.80 (193,631.26)19,750.00 15,523.410.00 (573.58)61.3657,279.99(16,112.00)15,200,000.00Government Bonds912828WL0 1.500 05/31/2019 501,230.47 500,689.12(508.00)(4,654.12) 0.00 576.93 1,854.400.00 (42.23)USA TREASURY 1.5%31MAY20192.02496,035.00500,000.00912828WS5 1.625 06/30/2019 993,281.25 993,308.73(351.25)(378.73) 0.00 0.00 2,648.48(2,648.48) 27.48USA TREASURY 1.625%30JUN20194.00992,930.001,000,000.0010 SECURITIES HELDAs of February 28, 2018SAN RAFAELAmortized cost/Accretion(amortization)Fair value/Change in fairvalueInterestreceivedInterestearnedUnrealizedgain(loss)Coupon Maturity/Call dateHistorical cost/Accrued interestpurchasedCusip/DescriptionTotalaccruedinterest%PortcostPar value orsharesGovernment Bonds912828TV2 1.250 10/31/2019 649,009.77 649,346.28(965.25)(9,731.33) 0.00 628.45 2,693.370.00 30.01USA TREASURY 1.25%31OCT20192.62639,614.95650,000.00912828H52 1.250 01/31/2020 745,869.14 746,960.31(1,025.25)(11,169.06) 0.00 725.14 725.140.00 121.24USA TREASURY 1.25%31JAN20203.01735,791.25750,000.00912828X96 1.500 05/15/2020 596,554.69 596,967.98(1,125.00)(7,491.38) 0.00 696.13 2,610.500.00 105.20USA TREASURY 1.5%15MAY20202.40589,476.60600,000.00912828XM7 1.625 07/31/2020 1,005,742.19 1,004,766.29(2,148.00)(21,797.29) 0.00 1,256.91 1,256.910.00 (150.97)USA TREASURY 1.625%31JUL20204.05982,969.001,000,000.00Total Government Bonds4,491,687.51 4,492,038.71 4,436,816.80 (55,221.91) 0.003,883.56(2,648.48) 90.7318.1011,788.80(6,122.75)4,500,000.00Municipal/Provincial Bonds888599LS4 5.250 09/02/2032 1,455,700.00 1,455,700.000.000.00 0.00 5,944.11 31,418.860.00 0.00PT. SAN ASSESS DISTRICT5.25% 144A 02SEP2032SANRAF$015.871,455,700.001,455,700.00Total Municipal/Provincial Bonds1,455,700.00 1,455,700.00 1,455,700.00 0.00 0.00 5,944.110.00 0.005.8731,418.860.001,455,700.00Grand total24,814,761.26 24,775,812.92(27,994.10)(277,329.96) 22,625.00 29,663.5824,773,957.11(2,648.48) (1,342.17)100.00117,197.3624,498,482.9611 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSUREAs of February 28, 2018SAN RAFAELCusipS&PratingMoodyratingHistoricalcost% Portfoliohist costMarketvalue% Portfoliomkt valueEffectivedur (yrs)Description Coupon MaturitydateCall date Par value orsharesFederal Home Loan Banks313378A43FEDERAL HOME LOAN 1.375 03/09/2018 AA+ Aaa 1,007,970.00 4.06 999,995.00 4.08 0.021,000,000.003133782M2FEDERAL HOME LOAN 1.500 03/08/2019 AA+ Aaa 1,014,124.28 4.09 993,635.00 4.06 1.001,000,000.00313380FB8FEDERAL HOME LOAN 1.375 09/13/2019 AA+ Aaa 1,011,510.00 4.08 986,630.00 4.03 1.501,000,000.003130ABCH7FEDERAL HOME LOAN 1.500 11/04/2019 AA+ Aaa 750,030.00 3.02 740,152.50 3.02 1.64750,000.00313383HU8FEDERAL HOME LOAN 1.750 06/12/2020 AA+ Aaa 996,870.00 4.02 986,143.00 4.03 2.221,000,000.00Issuer total4,750,000.00 4,780,504.28 19.26 4,706,555.50 19.21 1.25Federal Farm Credit Banks3133EGFQ3FEDERAL FARM CREDIT 0.875 09/14/2018 AA+ Aaa 500,497.00 2.02 497,020.00 2.03 0.53500,000.003133EGM69FEDERAL FARM CREDIT 1.100 12/05/2018 AA+ Aaa 1,247,248.75 5.03 1,242,187.50 5.07 0.751,250,000.003133EGSC0FEDERAL FARM CREDIT 1.000 08/26/2019 AA+ Aaa 1,000,610.00 4.03 983,250.00 4.01 1.461,000,000.003133ECEY6FEDERAL FARM CREDIT 1.450 02/11/2020 AA+ Aaa 1,003,130.00 4.04 983,150.00 4.01 1.911,000,000.003133EHVX8FEDERAL FARM CREDIT 1.500 08/24/2020 AA+ Aaa 999,190.00 4.03 977,850.00 3.99 2.421,000,000.00Issuer total4,750,000.00 4,750,675.75 19.14 4,683,457.50 19.12 1.47United States Treasury Note/Bond912828WL0USA TREASURY 1.5% 1.500 05/31/2019 AA+ Aaa 501,230.47 2.02 496,035.00 2.02 1.23500,000.00912828WS5USA TREASURY 1.625% 1.625 06/30/2019 AA+ Aaa 993,281.25 4.00 992,930.00 4.05 1.311,000,000.00912828TV2USA TREASURY 1.25% 1.250 10/31/2019 AA+ Aaa 649,009.77 2.62 639,614.95 2.61 1.63650,000.00912828H52USA TREASURY 1.25% 1.250 01/31/2020 AA+ Aaa 745,869.14 3.01 735,791.25 3.00 1.88750,000.00912828X96USA TREASURY 1.5% 1.500 05/15/2020 AA+ Aaa 596,554.69 2.40 589,476.60 2.41 2.15600,000.00912828XM7USA TREASURY 1.625% 1.625 07/31/2020 AA+ Aaa 1,005,742.19 4.05 982,969.00 4.01 2.351,000,000.00Issuer total4,500,000.00 4,491,687.51 18.10 4,436,816.80 18.11 1.79Federal National Mortgage Association3135G0H63FANNIE MAE 1.375% 1.375 01/28/2019 AA+ Aaa 1,012,490.00 4.08 993,561.00 4.06 0.901,000,000.0012 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSUREAs of February 28, 2018SAN RAFAELCusipS&PratingMoodyratingHistoricalcost% Portfoliohist costMarketvalue% Portfoliomkt valueEffectivedur (yrs)Description Coupon MaturitydateCall datePar value orsharesFederal National Mortgage Association3135G0L76FANNIE MAE 1.075% 1.075 07/11/2019 04/11/2018 AA+ Aaa599,100.00 2.41 591,150.00 2.41 1.34600,000.003135G0R39FANNIE MAE 1%1.000 10/24/2019AA+ Aaa589,095.11 2.37 587,848.80 2.40 1.62600,000.003135G0RM7FANNIE MAE 1.63%1.630 10/30/2020AA+ Aaa1,003,410.00 4.04 978,960.00 4.00 2.581,000,000.00Issuer total3,200,000.00 3,204,095.11 12.91 3,151,519.80 12.86 1.64Federal Home Loan Mortgage Corp3134G3M49FREDDIE MAC 1.5%1.500 09/26/2019AA+ Aaa1,001,001.00 4.03 988,630.00 4.04 1.521,000,000.003137EADM8FREDDIE MAC 1.25% 1.250 10/02/2019AA+ Aaa993,010.00 4.00 984,560.00 4.02 1.551,000,000.003134G3K58FREDDIE MAC 1.5%1.500 03/19/2020AA+ Aaa498,289.00 2.01 491,675.00 2.01 1.96500,000.00Issuer total2,500,000.00 2,492,300.00 10.04 2,464,865.00 10.06 1.62Pt. San Assess District888599LS4 PT. SAN ASSESS5.250 09/02/2032NR NR1,455,700.00 5.87 1,455,700.00 5.94 9.991,455,700.00Issuer total1,455,700.00 1,455,700.00 5.87 1,455,700.00 5.94 9.99Walt Disney Co/The25468PDD5WALT DISNEY1.500 09/17/2018A+ A2555,351.50 2.24 548,011.75 2.24 0.54550,000.00Issuer total550,000.00 555,351.50 2.24 548,011.75 2.24 0.54PepsiCo Inc713448CK2PEPSICO INC 2.25%2.250 01/07/2019 12/07/2018 A+ A1505,530.00 2.04 499,588.50 2.04 0.83500,000.00Issuer total500,000.00 505,530.00 2.04 499,588.50 2.04 0.83Apple Inc037833AJ9APPLE INC 1%1.000 05/03/2018AA+ Aa1498,090.00 2.01 499,110.00 2.04 0.17500,000.00Issuer total500,000.00 498,090.00 2.01 499,110.00 2.04 0.1713 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSUREAs of February 28, 2018SAN RAFAELCusipS&PratingMoodyratingHistoricalcost% Portfoliohist costMarketvalue% Portfoliomkt valueEffectivedur (yrs)Description Coupon MaturitydateCall date Par value orsharesUS Bancorp91159HHE3US BANCORP 1.95% 1.950 11/15/2018 10/15/2018 A+ A1 509,425.00 2.05 498,973.00 2.04 0.70500,000.00Issuer total500,000.00 509,425.00 2.05 498,973.00 2.04 0.70Berkshire Hathaway Inc084670BX5BERKSHIRE HATHAWAY 1.150 08/15/2018 AA Aa2 500,355.00 2.02 497,829.00 2.03 0.45500,000.00Issuer total500,000.00 500,355.00 2.02 497,829.00 2.03 0.45Toyota Motor Credit Corp89236TCF0TOYOTA MOTOR CREDIT 2.150 03/12/2020 AA- Aa3 504,545.00 2.03 495,083.50 2.02 1.96500,000.00Issuer total500,000.00 504,545.00 2.03 495,083.50 2.02 1.96Caterpillar Financial Services Corp14912L6R7CATERPILLAR FINL 1.350 05/18/2019 A A3 498,245.00 2.01 492,715.50 2.01 1.20500,000.00Issuer total500,000.00 498,245.00 2.01 492,715.50 2.01 1.20Cash and Cash EquivalentsINVESTED CASH 0.00068,257.11 0.28 68,257.11 0.28 0.0068,257.11Issuer total68,257.11 68,257.11 0.28 68,257.11 0.28 0.00Grand total24,773,957.11 24,814,761.26 100.00 24,498,482.96 100.001.9314 SECURITIES PURCHASEDFor the period February 1, 2018 - February 28, 2018SAN RAFAELPar value orsharesUnit cost Accruedinterest purchasedTrade dateSettle dateCoupon Maturity/Call datePrincipalcostCusip / Description / BrokerGovernment Bonds912828WS51.62502/26/2018 06/30/2019 1,000,000.00 99.33 (993,281.25) (2,648.48)USA TREASURY 1.625% 30JUN201902/28/2018BARCLAYS BANK PLC1,000,000.00 (993,281.25) (2,648.48)Total Government BondsGrand totalGrand total1,000,000.00 (993,281.25) (2,648.48)15 SECURITIES SOLD AND MATUREDFor the period February 1, 2018 - February 28, 2018SAN RAFAELHistorical cost Amortized costat sale or maturity/Accr (amort)Fair value atsale or maturity /Chg.in fair valueRealizedgain(loss)PriceCouponTrade dateSettle dateMaturity/Call datePar value orsharesCusip/Description/BrokerAccruedinterestsoldInterestreceivedInterestearnedGovernment Bonds912828UR9USA TREASURY 0.75%28FEB20180.75002/28/2018 (1,000,000.00) 997,500.00 1,000,000.0078.740.00470.001,000,000.00 0.00 0.00 3,750.00 580.1102/28/2018(1,000,000.00)0.00997,500.0078.741,000,000.00470.001,000,000.00 0.00 3,750.00 580.11Total (Government Bonds)Grand totalGrand total(1,000,000.00)0.00997,500.0078.741,000,000.00 1,000,000.00 0.00 3,750.00 580.11470.0016 TRANSACTION REPORTFor the period February 1, 2018 - February 28, 2018SAN RAFAELMaturity Par value orsharesInterest Transaction totalPrincipalTransactionCusip Sec type DescriptionTrade dateSettle dateRealizedgain(loss)7,250.0002/11/201802/11/2018Income3133ECEY6 Government Agencies FEDERAL FARM CREDIT BANK 02/11/2020 1,000,000.00 0.00 7,250.000.002,875.0002/15/201802/15/2018Income084670BX5 Corporate Bonds BERKSHIRE HATHAWAY INC 08/15/2018 500,000.00 0.00 2,875.000.007,500.0002/24/201802/24/2018Income3133EHVX8 Government Agencies FEDERAL FARM CREDIT BANK 08/24/2020 1,000,000.00 0.00 7,500.000.005,000.0002/26/201802/26/2018Income3133EGSC0 Government Agencies FEDERAL FARM CREDIT BANK 08/26/2019 1,000,000.00 0.00 5,000.000.00(2,648.48)02/26/201802/28/2018Bought912828WS5 Government Bonds USA TREASURY 1.625% 06/30/2019 1,000,000.00 (993,281.25) (995,929.73)0.003,750.0002/28/201802/28/2018Income912828UR9 Government Bonds USA TREASURY 0.75% 02/28/2018 1,000,000.00 0.00 3,750.000.000.0002/28/201802/28/2018Capital Change912828UR9 Government Bonds USA TREASURY 0.75% 02/28/2018 (1,000,000.00) 1,000,000.00 1,000,000.000.0059.69Income Cash and Cash Equivalents Cash59.690.00 0.000.0002/28/201817 ADDITIONAL INFORMATIONAs of February 28, 2018SAN RAFAELPast performance is not a guide to future performance. The value of investments and any income from them will fluctuate and is not guaranteed (this may partly be due to exchange rate changes) and investors may not getback the amount invested. Transactions in foreign securities may be executed and settled in local markets. Performance comparisons will be affected by changes in interest rates. Investment returns fluctuate due to changesin market conditions. Investment involves risk, including the possible loss of principal. No assurance can be given that the performance objectives of a given strategy will be achieved. The information contained herein is foryour reference only and is being provided in response to your specific request and has been obtained from sources believed to be reliable; however, no representation is made regarding its accuracy or completeness. Thisdocument must not be used for the purpose of an offer or solicitation in any jurisdiction or in any circumstances in which such offer or solicitation is unlawful or otherwise not permitted. This document should not beduplicated, amended, or forwarded to a third party without consent from Insight. This is a marketing document intended for professional clients only and should not be made available to or relied upon by retail clientsInvestment advisory services in North America are provided through four different SEC-registered investment advisers using the brand Insight Investment: Cutwater Asset Management Corp. (CAMC), Cutwater InvestorServices Corp. (CISC), Insight North America LLC (INA) and Insight Investment International Limited (IIIL). The North American investment advisers are associated with a broader group of global investment managers that also(individually and collectively) use the corporate brand Insight Investment and may be referred to as Insight, Insight Group or Insight Investment.Both CISC and CAMC are investment advisers registered with the Securities and Exchange Commission (SEC), under the Investment Advisers Act of 1940, as amended. Registration with the SEC does not imply a certain level ofskill or training. You may request, without charge, additional information about Insight. Moreover, specific information relating to Insights strategies, including investment advisory fees, may be obtained from CAMCs andCISCs Forms ADV Part 2A, which are available without charge upon request.Where indicated, performance numbers used in the analysis are gross returns. The performance reflects the reinvestment of all dividends and income. CAMC and CISC charge management fees on all portfolios managed andthese fees will reduce the returns on the portfolios. For example, assume that $30 million is invested in an account with either CAMC or CISC, and this account achieves a 5.0% annual return compounded monthly, gross of fees,for a period of five years. At the end of five years that account would have grown to $38,500,760 before the deduction of management fees. Assuming management fees of 0.25% per year are deducted monthly from theaccount, the value at the end of the five year period would be $38,022,447. Actual fees for new accounts are dependent on size and subject to negotiation. CAMCS and CISC's investment advisory fees are discussed in Part 2Aof the Firms Form ADV.Unless otherwise stated, the source of information is Insight. Any forecasts or opinions are Insights own at the date of this document (or as otherwise specified) and may change. Material in this publication is for generalinformation only and is not advice, investment advice, or the recommendation of any purchase or sale of any security. Insight makes no implied or expressed recommendations concerning the manner in which an accountshould or would be handled, as appropriate investment strategies depend upon specific investment guidelines and objectives and should not be construed to be an assurance that any particular security in a strategy willremain in any fund, account, or strategy, or that a previously held security will not be repurchased. It should not be assumed that any of the security transactions or holdings referenced herein have been or will prove to beprofitable or that future investment decisions will be profitable or will equal or exceed the past investment performance of the securities listed.For trading activity the Clearing broker will be reflected. In certain cases the Clearing broker will differ from the Executing broker.In calculating ratings distributions and weighted average portfolio quality, Insight assigns U.S Treasury and U.S agency securities a quality rating based on the methodology used within the respective benchmark index. WhenMoodys, S&P and Fitch rate a security, Bank of America and Merrill Lynch indexes assign a simple weighted average statistic while Barclays indexes assign the median statistic. Insight assigns all other securities the lower ofMoodys and S&P ratings.Information about the indices shown here is provided to allow for comparison of the performance of the strategy to that of certain well-known and widely recognized indices. There is no representation that such index is anappropriate benchmark for such comparison. You cannot invest directly in an index and the indices represented do not take into account trading commissions and/or other brokerage or custodial costs. The volatility of theindices may be materially different from that of the strategy. In addition, the strategys holdings may differ substantially from the securities that comprise the indices shown.The BofA Merrill Lynch 3 Mo US T-Bill index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.The BofA Merrill Lynch 6 Mo US T-Bill index measures the performance of Treasury bills with time to maturity of less than 6 months.The BofA Merrill Lynch Current 1-Year US Treasury Index is a one-security index comprised of the most recently issued 1-year US Treasury note. The index is rebalanced monthly. In order to qualify for inclusion, a 1-year notemust be auctioned on or before the third business day before the last business day of the month.The BofA Merrill Lynch Current 3-Year US Treasury Index is a one-security index comprised of the most recently issued 3-year US Treasury note. The index is rebalanced monthly. In order to qualify for inclusion, a 3-year notemust be auctioned on or before the third business day before the last business day of the month.The BofA Merrill Lynch Current 5-Year US Treasury Index is a one-security index comprised of the most recently issued 5-year US Treasury note. The index is rebalanced monthly. In order to qualify for inclusion, a 5-year notemust be auctioned on or before the third business day before the last business day of the month.The BofA Merrill Lynch 1-3 US Year Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years.The BofA Merrill Lynch 1-5 US Year Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than five years.Insight does not provide tax or legal advice to its clients and all investors are strongly urged to consult their tax and legal advisors regarding any potential strategy or investment.18 ADDITIONAL INFORMATIONAs of February 28, 2018SAN RAFAELInsight is a group of wholly owned subsidiaries of The Bank of New York Mellon Corporation. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation and may also be used as a generic term to referencethe Corporation as a whole or its various subsidiaries generally. Products and services may be provided under various brand names and in various countries by subsidiaries, affiliates and joint ventures of The Bank of New YorkMellon Corporation where authorized and regulated as required within each jurisdiction. Unless you are notified to the contrary, the products and services mentioned are not insured by the FDIC (or by any governmental entity)and are not guaranteed by or obligations of The Bank of New York Mellon Corporation or any of its affiliates. The Bank of New York Corporation assumes no responsibility for the accuracy or completeness of the above data anddisclaims all expressed or implied warranties in connection therewith.© 2018 Insight Investment. All rights reserved.19 SAN RAFAELMarch 2018FOR PROFESSIONAL CLIENTS ONLYNOT TO BE DISTRIBUTED TO RETAIL CLIENTSTHIS DOCUMENT SHOULD NOT BE REPRODUCED INANY FORM WITHOUT PRIOR WRITTEN APPROVAL ContentsFixed income market review 3Activity and performance summary 4Recap of securities held6Maturity distribution of securities held 7Securities held8GASB 40 - Deposit and investment risk disclosure 12Securities purchased15Securities sold and matured 16Transaction report17Additional information18 FIXED INCOME MARKET REVIEWAs of March 31, 2018SAN RAFAELChart 1: US Gross Domestic Product: 12/31/2012—12/31/2017Source: BloombergFinanceLP, March 31, 2018.Chart 2: Treasury yield curve: 03/31/2017 and 03/31/2018Source: Bloomberg Finance LP, March 31, 2018.Economic Indicators and Monetary PolicyThe Federal Open Market Committee (FOMC) met on March 21 and voted unanimously toraise the target range for the fed funds rate by 25 basis points to 1.5% to 1.75%. Duringthe press conference that followed the meeting, Federal Reserve (Fed) Chairman Powellindicated that further gradual increases in the fed funds target rate will support theCommittee’s dual objectives of price stability and a stronglabor market in the context ofcontinued economic expansion. Forward guidance from the FOMC revealed an increasecompared to the December median projections for the fed funds rate at year-end 2019and 2020 to 2.9% and 3.4% respectively. The projected fed funds rate for year-end 2018was unchanged from theDecember FOMCforecastof 2.1%.After the FOMC meeting, two year Treasury yields fell to end the month at 2.27% afterreaching a high of 2.35% the day before the meeting. This decrease in yield was fueled inpart by concerns about the economic impact of a potential trade war with China. Equitymarket volatility also weighed on investor sentiment to close the quarter.The payroll report was released on March 9 and showed that 313,000 jobs were added inFebruary compared to expectations for 205,000 new jobs. January gains were revised to239,000 jobs added from 200,000. The February unemploymentrate was 4.1% and theunderemployment rate was 8.2%, both unchanged from January. Average hourly earningsin February disappointed at 2.6% annual growth compared to expectations of 2.8% andJanuary earnings were reviseddown to 2.8% from 2.9% growth.The Institute for Supply Management (ISM) Manufacturing Index was released on March 1at 60.8 and the Non-Manufacturing Index was released on March 5 at 59.5. Both indicesreflect an expanding economic environment. On March 28 the final estimate for fourthquarter GDP showed growth of 2.9% compared to earlier readings of 2.5% and 2.7%. Thefinal revision was driven in part by increases in consumer spending. Personal consumptionincreased to 4% for the final estimate of fourth quarter GDP.(See Chart 1).Interest Rate SummaryAt the end of March the 3-month US Treasury bill yielded 1.71%, the 6-month US Treasurybill yielded 1.92%, the 2-year US Treasury note yielded 2.27%, the 5-year US Treasury noteyielded 2.56% and the 10-year US Treasury note yielded 2.74%. (See Chart 2).-10.0-8.0-6.0-4.0-2.00.02.04.06.08.010.0Dec-12 Dec-13 Dec-14 Dec-15 Dec-16 Dec-17Quarterly % change0.00%0.50%1.00%1.50%2.00%2.50%3.00%3 m 6 m 1 yr 2 yr 3 yr 4 yr 5 yr 6 yr 7 yr 8 yr 9 yr 10 yrPercentage3/31/20183/31/20173 ACTIVITY AND PERFORMANCE SUMMARYFor the period March 1, 2018 - March 31, 2018SAN RAFAELAmortized Cost Basis Activity Summary24,775,812.92Opening balance78,596.39Income received78,596.39Total receipts(38,212.13)Participant withdrawals(144.02)Expenses paid(38,356.15)Total disbursements0.00Interportfolio transfers0.00Total Interportfolio transfers0.00Realized gain (loss)(2,718.68)Total amortization expense2,310.94Total OID/MKT accretion income0.00Return of capitalClosing balance24,815,645.42Ending fair value24,546,375.25(269,270.17)Unrealized gain (loss)Comparative Rates of Return (%)* Twelvemonth trailing* Sixmonth trailing* One monthFed Funds1.19 0.66 0.13Overnight Repo1.16 0.65 0.13Merrill Lynch 3m US Treas Bill 1.14 0.67 0.14Merrill Lynch 6m US Treas Bill 1.26 0.75 0.15ML 1 Year US Treasury Note 1.46 0.87 0.17ML 2 Year US Treasury Note 1.66 0.98 0.19ML 5 Year US Treasury Note 2.06 1.14 0.22* rates reflected are cumulativeSummary of Amortized Cost Basis Return for the PeriodTotal portfolioInterest earned42,970.52Accretion (amortization)(407.74)Realized gain (loss) on sales0.00Total income on portfolio42,562.78Average daily amortized cost24,797,174.78Period return (%)Weighted average final maturity in days802YTD return (%)Detail of Amortized Cost Basis ReturnInterestearnedRealizedgain (loss)Accretion(amortization)Totalincome0.00Cash and Cash Equivalents 33.57 0.00 33.570.00Corporate Bonds 5,270.84 (859.31) 4,411.530.00Government Agencies 19,025.22 (44.39) 18,980.830.00Government Bonds 5,691.22 495.96 6,187.180.00Municipal/Provincial Bonds 12,949.67 0.00 12,949.67Total 42,970.52 (407.74) 0.00 42,562.780.170.424 ACTIVITY AND PERFORMANCE SUMMARYFor the period March 1, 2018 - March 31, 2018SAN RAFAELFair Value Basis Activity Summary24,498,482.96Opening balance78,596.39Income received78,596.39Total receipts(38,212.13)Participant withdrawals(144.02)Expenses paid(38,356.15)Total disbursements0.00Interportfolio transfers0.00Total Interportfolio transfers0.00Unrealized gain (loss) on security movements0.00Return of capitalChange in fair value for the period7,652.05Ending fair value24,546,375.25Comparative Rates of Return (%)* Twelvemonth trailing* Sixmonth trailing* One monthFed Funds1.19 0.66 0.13Overnight Repo1.16 0.65 0.13ICE ML 3m US Treas Bill 1.11 0.64 0.14ICE ML 6m US Treas Bill 1.15 0.59 0.14ICE ML 1 Year US Treasury Note 0.66 0.27 0.17ICE ML US Treasury 1-3 0.03 (0.38) 0.20ICE ML US Treasury 1-5 (0.10) (0.76) 0.32* rates reflected are cumulativeDetail of Fair Value Basis ReturnInterestearnedChange infair valueTotalincomeCash and Cash Equivalents 33.57 0.00 33.57Corporate Bonds 5,270.84 (1,398.80) 3,872.04Government Agencies 19,025.22 6,514.30 25,539.52Government Bonds 5,691.22 2,536.55 8,227.77Municipal/Provincial Bonds 12,949.67 0.00 12,949.67Total42,970.52 7,652.05 50,622.57Summary of Fair Value Basis Return for the PeriodTotal portfolioInterest earned42,970.52Total income on portfolio50,622.57Average daily total value *24,604,482.50Period return (%)0.21Weighted average final maturity in days802Change in fair value7,652.05YTD return (%)0.10* Total value equals market value and accrued interest5 RECAP OF SECURITIES HELDAs of March 31, 2018SAN RAFAELWeightedaveragefinalmaturity (days)Weightedaverageeffectiveduration (years)PercentofportfolioAmortizedcostHistoricalcostFair value Unrealizedgain (loss)Cash and Cash Equivalents 115,317.35 115,317.35 115,317.35 0.00 0.46 0.001Corporate Bonds 3,571,541.50 3,558,928.73 3,529,912.45(29,016.28) 283 14.37 0.76Government Agencies 15,212,785.14 15,193,164.67 15,006,092.10 (187,072.57) 551 61.23 1.47Government Bonds 4,491,687.51 4,492,534.67 4,439,353.35 (53,181.32) 640 18.08 1.71Municipal/Provincial Bonds 1,455,700.00 1,455,700.00 1,455,700.00 0.00 5,271 5.86 10.15Total24,847,031.50 24,815,645.42 24,546,375.25 (269,270.17)802 100.00 1.91Cash and Cash Equivalents 0.46Corporate Bonds 14.37Government Agencies 61.23Government Bonds 18.08Municipal/Provincial Bonds 5.86Portfolio diversification (%)6 MATURITY DISTRIBUTION OF SECURITIES HELDAs of March 31, 2018SAN RAFAELMaturityHistoric cost PercentUnder 90 days613,407.35 2.4790 to 179 days1,556,203.50 6.26180 days to 1 year4,288,818.03 17.261 to 2 years12,331,135.74 49.632 to 3 years4,601,766.88 18.523 to 4 years0.00 0.004 to 5 years0.00 0.00Over 5 years1,455,700.00 5.8624,847,031.50 100.00Maturity distribution7 SECURITIES HELDAs of March 31, 2018SAN RAFAELAmortized cost/Accretion(amortization)Fair value/Change in fairvalueInterestreceivedInterestearnedUnrealizedgain(loss)Coupon Maturity/Call dateHistorical cost/Accrued interestpurchasedCusip/DescriptionTotalaccruedinterest%PortcostPar value orsharesCash and Cash Equivalents0.000115,317.35 115,317.350.000.00 0.00 0.00 0.000.00 0.00Cash and Cash Equivalents0.46115,317.35115,317.35Total Cash and Cash Equivalents115,317.35 115,317.35 115,317.35 0.00 0.00 0.000.00 0.000.460.000.00115,317.35Corporate Bonds037833AJ9 1.000 05/03/2018 498,090.00 499,921.80390.00(421.80) 0.00 458.34 2,055.560.00 71.09APPLE INC 1% 03MAY20182.00499,500.00500,000.00084670BX5 1.150 08/15/2018 500,355.00 500,066.10(255.50)(2,492.60) 0.00 527.08 734.720.00 (14.69)BERKSHIRE HATHAWAY INC1.15% 15AUG20182.01497,573.50500,000.0025468PDD5 1.500 09/17/2018 555,351.50 551,234.39(322.30)(3,544.94) 4,125.00 756.25 320.830.00 (221.75)WALT DISNEY COMPANY/THE1.5% 17SEP20182.24547,689.45550,000.0091159HHE3 1.950 11/15/2018 509,425.00 502,592.45(478.00)(4,097.45) 0.00 893.75 3,683.3310/15/20180.00 (345.66)US BANCORP 1.95%15NOV2018 (CALLABLE15OCT18)2.05498,495.00500,000.00713448CK2 2.250 01/07/2019 505,530.00 502,338.64(40.50)(2,790.64) 0.00 1,031.25 2,625.0012/07/20180.00 (253.28)PEPSICO INC 2.25% 07JAN2019(CALLABLE 07DEC18)2.03499,548.00500,000.0014912L6R7 1.350 05/18/2019 498,245.00 499,234.18354.50(6,164.18) 0.00 618.75 2,493.750.00 56.31CATERPILLAR FINL SERVICE1.35% 18MAY20192.01493,070.00500,000.0089236TCF0 2.150 03/12/2020 504,545.00 503,541.17(1,047.00)(9,504.67) 5,375.00 985.42 567.360.00 (151.33)TOYOTA MOTOR CREDIT CORP2.15% 12MAR20202.03494,036.50500,000.00Total Corporate Bonds3,571,541.50 3,558,928.73 3,529,912.45 (29,016.28) 9,500.00 5,270.840.00 (859.31)14.3712,480.55(1,398.80)3,550,000.008 SECURITIES HELDAs of March 31, 2018SAN RAFAELAmortized cost/Accretion(amortization)Fair value/Change in fairvalueInterestreceivedInterestearnedUnrealizedgain(loss)Coupon Maturity/Call dateHistorical cost/Accrued interestpurchasedCusip/DescriptionTotalaccruedinterest%PortcostPar value orsharesGovernment Agencies3133EGFQ3 0.875 09/14/2018 500,497.00 500,100.88690.00(2,390.88) 2,187.50 401.04 206.600.00 (18.45)FEDERAL FARM CREDIT BANK0.875% 14SEP20182.01497,710.00500,000.003133EGM69 1.100 12/05/2018 1,247,248.75 1,249,065.11(237.50)(7,115.11) 0.00 1,260.42 4,430.560.00 114.48FEDERAL FARM CREDIT BANK1.1% 05DEC20185.021,241,950.001,250,000.003135G0H63 1.375 01/28/2019 1,012,490.00 1,004,177.35741.00(9,875.35) 0.00 1,260.42 2,406.250.00 (420.54)FANNIE MAE 1.375%28JAN20194.07994,302.001,000,000.003133782M2 1.500 03/08/2019 1,014,124.28 1,005,127.83403.00(11,089.83) 7,500.00 1,375.00 958.330.00 (455.13)FEDERAL HOME LOAN BANK1.5% 08MAR20194.08994,038.001,000,000.00313379EE5 1.625 06/14/2019 993,180.00 993,523.24235.00(108.24) 0.00 993.05 4,829.86(3,836.81) 343.24FEDERAL HOME LOAN BANK1.625% 14JUN20194.00993,415.001,000,000.003135G0L76 1.075 07/11/2019 599,100.00 599,588.80360.00(8,078.80) 0.00 591.25 1,433.3304/11/20180.00 26.76FANNIE MAE 1.075%11JUL2019 (CALLABLE11JUL18)2.41591,510.00600,000.003133EGSC0 1.000 08/26/2019 1,000,610.00 1,000,284.741,100.00(15,934.74) 0.00 916.66 972.220.00 (16.88)FEDERAL FARM CREDIT BANK1% 26AUG20194.03984,350.001,000,000.00313380FB8 1.375 09/13/2019 1,011,510.00 1,005,647.031,080.00(17,937.03) 6,875.00 1,260.42 687.500.00 (323.92)FEDERAL HOME LOAN BANK1.375% 13SEP20194.07987,710.001,000,000.003134G3M49 1.500 09/26/2019 1,001,001.00 1,000,675.74(1,760.00)(13,805.74) 7,500.00 1,375.00 208.330.00 (37.82)FREDDIE MAC 1.5% 26SEP2019CALLABLE4.03986,870.001,000,000.003137EADM8 1.250 10/02/2019 993,010.00 994,587.74446.00(9,581.74) 0.00 1,145.84 6,215.280.00 299.57FREDDIE MAC 1.25%02OCT20194.00985,006.001,000,000.009 SECURITIES HELDAs of March 31, 2018SAN RAFAELAmortized cost/Accretion(amortization)Fair value/Change in fairvalueInterestreceivedInterestearnedUnrealizedgain(loss)Coupon Maturity/Call dateHistorical cost/Accrued interestpurchasedCusip/DescriptionTotalaccruedinterest%PortcostPar value orsharesGovernment Agencies3135G0R39 1.000 10/24/2019 589,095.11 590,329.63310.80(2,170.03) 0.00 550.00 2,616.670.00 514.39FANNIE MAE 1% 24OCT20192.37588,159.60600,000.003130ABCH7 1.500 11/04/2019 750,030.00 750,020.16420.00(9,447.66) 0.00 1,031.25 4,593.750.00 (1.06)FEDERAL HOME LOAN BANK1.5% 04NOV20193.02740,572.50750,000.003133ECEY6 1.450 02/11/2020 1,003,130.00 1,001,798.14940.00(17,708.14) 0.00 1,329.17 2,013.890.00 (80.40)FEDERAL FARM CREDIT BANK1.45% 11FEB20204.04984,090.001,000,000.003134G3K58 1.500 03/19/2020 498,289.00 498,821.09110.00(7,036.09) 3,750.00 687.50 250.000.00 49.88FREDDIE MAC 1.5%19MAR2020 CALLABLE2.01491,785.00500,000.00313383HU8 1.750 06/12/2020 996,870.00 997,293.71(519.00)(11,669.71) 0.00 1,604.17 5,298.610.00 102.51FEDERAL HOME LOAN BANK1.75% 12JUN20204.01985,624.001,000,000.003133EHVX8 1.500 08/24/2020 999,190.00 999,341.64340.00(21,151.64) 0.00 1,375.00 1,541.670.00 22.86FEDERAL FARM CREDIT BANK1.5% 24AUG20204.02978,190.001,000,000.003135G0RM7 1.630 10/30/2020 1,003,410.00 1,002,781.841,850.00(21,971.84) 0.00 1,448.89 6,791.670.00 (86.75)FANNIE MAE 1.63%30OCT2020 CALLABLE4.04980,810.001,000,000.00Total Government Agencies15,212,785.14 15,193,164.67 15,006,092.10 (187,072.57)27,812.50 18,605.08(3,836.81) 32.7461.2345,454.526,509.3015,200,000.00Government Bonds912828WL0 1.500 05/31/2019 501,230.47 500,642.3859.00(4,548.38) 0.00 638.73 2,493.130.00 (46.74)USA TREASURY 1.5%31MAY20192.02496,094.00500,000.00912828WS5 1.625 06/30/2019 993,281.25 993,734.66234.00(570.66) 0.00 1,391.58 4,040.060.00 425.93USA TREASURY 1.625%30JUN20194.00993,164.001,000,000.0010 SECURITIES HELDAs of March 31, 2018SAN RAFAELAmortized cost/Accretion(amortization)Fair value/Change in fairvalueInterestreceivedInterestearnedUnrealizedgain(loss)Coupon Maturity/Call dateHistorical cost/Accrued interestpurchasedCusip/DescriptionTotalaccruedinterest%PortcostPar value orsharesGovernment Bonds912828TV2 1.250 10/31/2019 649,009.77 649,379.50406.25(9,358.30) 0.00 695.79 3,389.160.00 33.22USA TREASURY 1.25%31OCT20192.61640,021.20650,000.00912828H52 1.250 01/31/2020 745,869.14 747,094.54439.50(10,863.79) 0.00 802.83 1,527.970.00 134.23USA TREASURY 1.25%31JAN20203.00736,230.75750,000.00912828X96 1.500 05/15/2020 596,554.69 597,084.45421.80(7,186.05) 0.00 770.72 3,381.220.00 116.47USA TREASURY 1.5%15MAY20202.40589,898.40600,000.00912828XM7 1.625 07/31/2020 1,005,742.19 1,004,599.14976.00(20,654.14) 0.00 1,391.57 2,648.480.00 (167.15)USA TREASURY 1.625%31JUL20204.05983,945.001,000,000.00Total Government Bonds4,491,687.51 4,492,534.67 4,439,353.35 (53,181.32) 0.005,691.220.00 495.9618.0817,480.022,536.554,500,000.00Municipal/Provincial Bonds888599LS4 5.250 09/02/2032 1,455,700.00 1,455,700.000.000.00 38,212.13 12,949.67 6,156.400.00 0.00PT. SAN ASSESS DISTRICT5.25% 144A 02SEP2032SANRAF$015.861,455,700.001,455,700.00Total Municipal/Provincial Bonds1,455,700.00 1,455,700.00 1,455,700.00 0.00 38,212.13 12,949.670.00 0.005.866,156.400.001,455,700.00Grand total24,847,031.50 24,815,645.427,647.05(269,270.17) 75,524.63 42,516.8124,821,017.35(3,836.81) (330.61)100.0081,571.4924,546,375.2511 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSUREAs of March 31, 2018SAN RAFAELCusipS&PratingMoodyratingHistoricalcost% Portfoliohist costMarketvalue% Portfoliomkt valueEffectivedur (yrs)Description Coupon MaturitydateCall date Par value orsharesFederal Home Loan Banks3133782M2FEDERAL HOME LOAN 1.500 03/08/2019 AA+ Aaa 1,014,124.28 4.08 994,038.00 4.05 0.931,000,000.00313379EE5FEDERAL HOME LOAN 1.625 06/14/2019 AA+ Aaa 993,180.00 4.00 993,415.00 4.05 1.181,000,000.00313380FB8FEDERAL HOME LOAN 1.375 09/13/2019 AA+ Aaa 1,011,510.00 4.07 987,710.00 4.02 1.431,000,000.003130ABCH7FEDERAL HOME LOAN 1.500 11/04/2019 AA+ Aaa 750,030.00 3.02 740,572.50 3.02 1.56750,000.00313383HU8FEDERAL HOME LOAN 1.750 06/12/2020 AA+ Aaa 996,870.00 4.01 985,624.00 4.02 2.141,000,000.00Issuer total4,750,000.00 4,765,714.28 19.18 4,701,359.50 19.15 1.44Federal Farm Credit Banks3133EGFQ3FEDERAL FARM CREDIT 0.875 09/14/2018 AA+ Aaa 500,497.00 2.01 497,710.00 2.03 0.45500,000.003133EGM69FEDERAL FARM CREDIT 1.100 12/05/2018 AA+ Aaa 1,247,248.75 5.02 1,241,950.00 5.06 0.671,250,000.003133EGSC0FEDERAL FARM CREDIT 1.000 08/26/2019 AA+ Aaa 1,000,610.00 4.03 984,350.00 4.01 1.391,000,000.003133ECEY6FEDERAL FARM CREDIT 1.450 02/11/2020 AA+ Aaa 1,003,130.00 4.04 984,090.00 4.01 1.831,000,000.003133EHVX8FEDERAL FARM CREDIT 1.500 08/24/2020 AA+ Aaa 999,190.00 4.02 978,190.00 3.99 2.341,000,000.00Issuer total4,750,000.00 4,750,675.75 19.12 4,686,290.00 19.09 1.39United States Treasury Note/Bond912828WL0USA TREASURY 1.5% 1.500 05/31/2019 AA+ Aaa 501,230.47 2.02 496,094.00 2.02 1.15500,000.00912828WS5USA TREASURY 1.625% 1.625 06/30/2019 AA+ Aaa 993,281.25 4.00 993,164.00 4.05 1.231,000,000.00912828TV2USA TREASURY 1.25% 1.250 10/31/2019 AA+ Aaa 649,009.77 2.61 640,021.20 2.61 1.55650,000.00912828H52USA TREASURY 1.25% 1.250 01/31/2020 AA+ Aaa 745,869.14 3.00 736,230.75 3.00 1.80750,000.00912828X96USA TREASURY 1.5% 1.500 05/15/2020 AA+ Aaa 596,554.69 2.40 589,898.40 2.40 2.07600,000.00912828XM7USA TREASURY 1.625% 1.625 07/31/2020 AA+ Aaa 1,005,742.19 4.05 983,945.00 4.01 2.271,000,000.00Issuer total4,500,000.00 4,491,687.51 18.08 4,439,353.35 18.09 1.71Federal National Mortgage Association3135G0H63FANNIE MAE 1.375% 1.375 01/28/2019 AA+ Aaa 1,012,490.00 4.07 994,302.00 4.05 0.821,000,000.0012 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSUREAs of March 31, 2018SAN RAFAELCusipS&PratingMoodyratingHistoricalcost% Portfoliohist costMarketvalue% Portfoliomkt valueEffectivedur (yrs)Description Coupon MaturitydateCall datePar value orsharesFederal National Mortgage Association3135G0L76FANNIE MAE 1.075% 1.075 07/11/2019 04/11/2018 AA+ Aaa599,100.00 2.41 591,510.00 2.41 1.26600,000.003135G0R39FANNIE MAE 1%1.000 10/24/2019AA+ Aaa589,095.11 2.37 588,159.60 2.40 1.54600,000.003135G0RM7FANNIE MAE 1.63%1.630 10/30/2020AA+ Aaa1,003,410.00 4.04 980,810.00 4.00 2.501,000,000.00Issuer total3,200,000.00 3,204,095.11 12.90 3,154,781.60 12.85 1.56Federal Home Loan Mortgage Corp3134G3M49FREDDIE MAC 1.5%1.500 09/26/2019AA+ Aaa1,001,001.00 4.03 986,870.00 4.02 1.461,000,000.003137EADM8FREDDIE MAC 1.25% 1.250 10/02/2019AA+ Aaa993,010.00 4.00 985,006.00 4.01 1.471,000,000.003134G3K58FREDDIE MAC 1.5%1.500 03/19/2020AA+ Aaa498,289.00 2.01 491,785.00 2.00 1.88500,000.00Issuer total2,500,000.00 2,492,300.00 10.03 2,463,661.00 10.04 1.55Pt. San Assess District888599LS4 PT. SAN ASSESS5.250 09/02/2032NR NR1,455,700.00 5.86 1,455,700.00 5.93 10.151,455,700.00Issuer total1,455,700.00 1,455,700.00 5.86 1,455,700.00 5.93 10.15Walt Disney Co/The25468PDD5WALT DISNEY1.500 09/17/2018A+ A2555,351.50 2.24 547,689.45 2.23 0.46550,000.00Issuer total550,000.00 555,351.50 2.24 547,689.45 2.23 0.46PepsiCo Inc713448CK2PEPSICO INC 2.25%2.250 01/07/2019 12/07/2018 A+ A1505,530.00 2.03 499,548.00 2.04 0.75500,000.00Issuer total500,000.00 505,530.00 2.03 499,548.00 2.04 0.75Apple Inc037833AJ9APPLE INC 1%1.000 05/03/2018AA+ Aa1498,090.00 2.00 499,500.00 2.03 0.09500,000.00Issuer total500,000.00 498,090.00 2.00 499,500.00 2.03 0.0913 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSUREAs of March 31, 2018SAN RAFAELCusipS&PratingMoodyratingHistoricalcost% Portfoliohist costMarketvalue% Portfoliomkt valueEffectivedur (yrs)Description Coupon MaturitydateCall date Par value orsharesUS Bancorp91159HHE3US BANCORP 1.95% 1.950 11/15/2018 10/15/2018 A+ A1 509,425.00 2.05 498,495.00 2.03 0.62500,000.00Issuer total500,000.00 509,425.00 2.05 498,495.00 2.03 0.62Berkshire Hathaway Inc084670BX5BERKSHIRE HATHAWAY 1.150 08/15/2018 AA Aa2 500,355.00 2.01 497,573.50 2.03 0.37500,000.00Issuer total500,000.00 500,355.00 2.01 497,573.50 2.03 0.37Toyota Motor Credit Corp89236TCF0TOYOTA MOTOR CREDIT 2.150 03/12/2020 AA- Aa3 504,545.00 2.03 494,036.50 2.01 1.90500,000.00Issuer total500,000.00 504,545.00 2.03 494,036.50 2.01 1.90Caterpillar Financial Services Corp14912L6R7CATERPILLAR FINL 1.350 05/18/2019 A A3 498,245.00 2.01 493,070.00 2.01 1.12500,000.00Issuer total500,000.00 498,245.00 2.01 493,070.00 2.01 1.12Cash and Cash EquivalentsINVESTED CASH 0.000115,317.35 0.46 115,317.35 0.47 0.00115,317.35Issuer total115,317.35 115,317.35 0.46 115,317.35 0.47 0.00Grand total24,821,017.35 24,847,031.50 100.00 24,546,375.25 100.001.9114 SECURITIES PURCHASEDFor the period March 1, 2018 - March 31, 2018SAN RAFAELPar value orsharesUnit cost Accruedinterest purchasedTrade dateSettle dateCoupon Maturity/Call datePrincipalcostCusip / Description / BrokerGovernment Agencies313379EE51.62503/08/2018 06/14/2019 1,000,000.00 99.32 (993,180.00) (3,836.81)FEDERAL HOME LOAN BANK 1.625% 14JUN2019 03/09/2018MORGAN STANLEY AND CO., LLC1,000,000.00 (993,180.00) (3,836.81)Total Government AgenciesGrand totalGrand total1,000,000.00 (993,180.00) (3,836.81)15 SECURITIES SOLD AND MATUREDFor the period March 1, 2018 - March 31, 2018SAN RAFAELHistorical cost Amortized costat sale or maturity/Accr (amort)Fair value atsale or maturity /Chg.in fair valueRealizedgain(loss)PriceCouponTrade dateSettle dateMaturity/Call datePar value orsharesCusip/Description/BrokerAccruedinterestsoldInterestreceivedInterestearnedGovernment Agencies313378A43FEDERAL HOME LN BKSCONS BD 1.375 DUE03-09-20181.37503/09/2018 (1,000,000.00) 1,007,970.00 1,000,000.00(77.13)0.005.001,000,000.00 0.00 0.00 6,875.00 420.1403/09/2018(1,000,000.00)0.001,007,970.00(77.13)1,000,000.005.001,000,000.00 0.00 6,875.00 420.14Total (Government Agencies)Grand totalGrand total(1,000,000.00)0.001,007,970.00(77.13)1,000,000.00 1,000,000.00 0.00 6,875.00 420.145.0016 TRANSACTION REPORTFor the period March 1, 2018 - March 31, 2018SAN RAFAELMaturity Par value orsharesInterest Transaction totalPrincipalTransactionCusip Sec type DescriptionTrade dateSettle dateRealizedgain(loss)38,212.1303/02/201803/02/2018Income888599LS4 Municipal/Provincial Bonds PT. SAN ASSESS DISTRICT 09/02/2032 1,455,700.00 0.00 38,212.130.007,500.0003/08/201803/08/2018Income3133782M2 Government Agencies FEDERAL HOME LOAN BANK 03/08/2019 1,000,000.00 0.00 7,500.000.00(3,836.81)03/08/201803/09/2018Bought313379EE5 Government Agencies FEDERAL HOME LOAN BANK 06/14/2019 1,000,000.00 (993,180.00) (997,016.81)0.006,875.0003/09/201803/09/2018Income313378A43 Government Agencies FEDERAL HOME LN BKS CONS 03/09/2018 1,000,000.00 0.00 6,875.000.000.0003/09/201803/09/2018Capital Change313378A43 Government Agencies FEDERAL HOME LN BKS CONS 03/09/2018 (1,000,000.00) 1,000,000.00 1,000,000.000.005,375.0003/12/201803/12/2018Income89236TCF0 Corporate Bonds TOYOTA MOTOR CREDIT CORP 03/12/2020 500,000.00 0.00 5,375.000.006,875.0003/13/201803/13/2018Income313380FB8 Government Agencies FEDERAL HOME LOAN BANK 09/13/2019 1,000,000.00 0.00 6,875.000.002,187.5003/14/201803/14/2018Income3133EGFQ3 Government Agencies FEDERAL FARM CREDIT BANK 09/14/2018 500,000.00 0.00 2,187.500.004,125.0003/17/201803/17/2018Income25468PDD5 Corporate Bonds WALT DISNEY COMPANY/THE 09/17/2018 550,000.00 0.00 4,125.000.003,750.0003/19/201803/19/2018Income3134G3K58 Government Agencies FREDDIE MAC 1.5% 19MAR2020 03/19/2020 500,000.00 0.00 3,750.000.007,500.0003/26/201803/26/2018Income3134G3M49 Government Agencies FREDDIE MAC 1.5% 26SEP2019 09/26/2019 1,000,000.00 0.00 7,500.000.0033.57Income Cash and Cash Equivalents Cash33.570.00 0.000.0003/31/201817 ADDITIONAL INFORMATIONAs of March 31, 2018SAN RAFAELPast performance is not a guide to future performance. The value of investments and any income from them will fluctuate and is not guaranteed (this may partly be due to exchange rate changes) and investors may not getback the amount invested. Transactions in foreign securities may be executed and settled in local markets. Performance comparisons will be affected by changes in interest rates. Investment returns fluctuate due to changesin market conditions. Investment involves risk, including the possible loss of principal. No assurance can be given that the performance objectives of a given strategy will be achieved. The information contained herein is foryour reference only and is being provided in response to your specific request and has been obtained from sources believed to be reliable; however, no representation is made regarding its accuracy or completeness. Thisdocument must not be used for the purpose of an offer or solicitation in any jurisdiction or in any circumstances in which such offer or solicitation is unlawful or otherwise not permitted. This document should not beduplicated, amended, or forwarded to a third party without consent from Insight. This is a marketing document intended for professional clients only and should not be made available to or relied upon by retail clientsInvestment advisory services in North America are provided through four different SEC-registered investment advisers using the brand Insight Investment: Cutwater Asset Management Corp. (CAMC), Cutwater InvestorServices Corp. (CISC), Insight North America LLC (INA) and Insight Investment International Limited (IIIL). The North American investment advisers are associated with a broader group of global investment managers that also(individually and collectively) use the corporate brand Insight Investment and may be referred to as Insight, Insight Group or Insight Investment.Both CISC and CAMC are investment advisers registered with the Securities and Exchange Commission (SEC), under the Investment Advisers Act of 1940, as amended. Registration with the SEC does not imply a certain level ofskill or training. You may request, without charge, additional information about Insight. Moreover, specific information relating to Insights strategies, including investment advisory fees, may be obtained from CAMCs andCISCs Forms ADV Part 2A, which are available without charge upon request.Where indicated, performance numbers used in the analysis are gross returns. The performance reflects the reinvestment of all dividends and income. CAMC and CISC charge management fees on all portfolios managed andthese fees will reduce the returns on the portfolios. For example, assume that $30 million is invested in an account with either CAMC or CISC, and this account achieves a 5.0% annual return compounded monthly, gross of fees,for a period of five years. At the end of five years that account would have grown to $38,500,760 before the deduction of management fees. Assuming management fees of 0.25% per year are deducted monthly from theaccount, the value at the end of the five year period would be $38,022,447. Actual fees for new accounts are dependent on size and subject to negotiation. CAMCS and CISC's investment advisory fees are discussed in Part 2Aof the Firms Form ADV.Unless otherwise stated, the source of information is Insight. Any forecasts or opinions are Insights own at the date of this document (or as otherwise specified) and may change. Material in this publication is for generalinformation only and is not advice, investment advice, or the recommendation of any purchase or sale of any security. Insight makes no implied or expressed recommendations concerning the manner in which an accountshould or would be handled, as appropriate investment strategies depend upon specific investment guidelines and objectives and should not be construed to be an assurance that any particular security in a strategy willremain in any fund, account, or strategy, or that a previously held security will not be repurchased. It should not be assumed that any of the security transactions or holdings referenced herein have been or will prove to beprofitable or that future investment decisions will be profitable or will equal or exceed the past investment performance of the securities listed.For trading activity the Clearing broker will be reflected. In certain cases the Clearing broker will differ from the Executing broker.In calculating ratings distributions and weighted average portfolio quality, Insight assigns U.S Treasury and U.S agency securities a quality rating based on the methodology used within the respective benchmark index. WhenMoodys, S&P and Fitch rate a security, Bank of America and Merrill Lynch indexes assign a simple weighted average statistic while Barclays indexes assign the median statistic. Insight assigns all other securities the lower ofMoodys and S&P ratings.Information about the indices shown here is provided to allow for comparison of the performance of the strategy to that of certain well-known and widely recognized indices. There is no representation that such index is anappropriate benchmark for such comparison. You cannot invest directly in an index and the indices represented do not take into account trading commissions and/or other brokerage or custodial costs. The volatility of theindices may be materially different from that of the strategy. In addition, the strategys holdings may differ substantially from the securities that comprise the indices shown.The BofA Merrill Lynch 3 Mo US T-Bill index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.The BofA Merrill Lynch 6 Mo US T-Bill index measures the performance of Treasury bills with time to maturity of less than 6 months.The BofA Merrill Lynch Current 1-Year US Treasury Index is a one-security index comprised of the most recently issued 1-year US Treasury note. The index is rebalanced monthly. In order to qualify for inclusion, a 1-year notemust be auctioned on or before the third business day before the last business day of the month.The BofA Merrill Lynch Current 3-Year US Treasury Index is a one-security index comprised of the most recently issued 3-year US Treasury note. The index is rebalanced monthly. In order to qualify for inclusion, a 3-year notemust be auctioned on or before the third business day before the last business day of the month.The BofA Merrill Lynch Current 5-Year US Treasury Index is a one-security index comprised of the most recently issued 5-year US Treasury note. The index is rebalanced monthly. In order to qualify for inclusion, a 5-year notemust be auctioned on or before the third business day before the last business day of the month.The BofA Merrill Lynch 1-3 US Year Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than three years.The BofA Merrill Lynch 1-5 US Year Treasury Index is an unmanaged index that tracks the performance of the direct sovereign debt of the U.S. Government having a maturity of at least one year and less than five years.Insight does not provide tax or legal advice to its clients and all investors are strongly urged to consult their tax and legal advisors regarding any potential strategy or investment.18 ADDITIONAL INFORMATIONAs of March 31, 2018SAN RAFAELInsight is a group of wholly owned subsidiaries of The Bank of New York Mellon Corporation. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation and may also be used as a generic term to referencethe Corporation as a whole or its various subsidiaries generally. Products and services may be provided under various brand names and in various countries by subsidiaries, affiliates and joint ventures of The Bank of New YorkMellon Corporation where authorized and regulated as required within each jurisdiction. Unless you are notified to the contrary, the products and services mentioned are not insured by the FDIC (or by any governmental entity)and are not guaranteed by or obligations of The Bank of New York Mellon Corporation or any of its affiliates. The Bank of New York Corporation assumes no responsibility for the accuracy or completeness of the above data anddisclaims all expressed or implied warranties in connection therewith.© 2018 Insight Investment. All rights reserved.19