HomeMy WebLinkAboutFin CC Investment Report 2016.06CITY OF Agenda Item No: 3_c tA. Meeting Date: August 1, 2016 SAN RAFAEL CITY COUNCIL AGENDA REPORT Department: FINANCE Prepared by: Van Bach City Manager Approval: Accounting Manager SUBJECT: QUARTERLY INVESTMENT REPORT RECOMMENDATION: ACCEPT INVESTMENT REPORT FOR THE QUARTER ENDING JUNE 30, 2016, AS PRESENTED BACKGROUND: Pursuant to the State of California Government Code Section 53601 and the City's investment policy, last reviewed and approved by Council on June 20, 2016, staff provides the governing body a report on the City's investment activities. The report outlines the investment activity for the preceding quarter. Included on the report are the cost of each investment, the interest rates (yield), maturity dates, and market value. Separate schedules are prepared for both the City and the Successor Agency to San Rafael Redevelopment Agency. Since December 2011, the City's pooled funds not used for current operations have been invested almost exclusively in the Local Agency Investment Fund (LAIF), a State-run investment pool. The one exception to this was a $1,750,000 investment in assessment district bonds. Beginning in March 2014, the City returned to an investment strategy that included purchases of securities outside of LAIF with the assistance of its investment advisor, Cutwater Asset Management, now Insight Investment. ANALYSIS: As of June 30, 2016, the primary LAIF account had a balance of $23,953,234. The other LAIF account containing housing funds for future administrative expenses contained $144,126. Portfolio returns on LAIF deposits were 0.58% for the quarter. The remaining investment assets included the $1,582,700 balance of Pt. San Pedro Assessment District bonds, and $21,047,872 in government agency securities and corporate bonds (including T -Note, Toyota Credit Corp, FNMA, Gen.Elec.Cap, FFCB, IBM Corp and Apple Inc.). The overall portfolio return for the quarter ended June 30, 2016 was 0.86%. The City's Westamerica account had a balance of $17,169,241 at quarter end. FOR CITY CLERK ONLY File No.: 8-18 x 8-9 Council Meeting: 08/01/2016 Disposition: Accepted report SAN RAFAEL CITY COUNCIL AGENDA REPORT / Paee: 2 Exhibit A is composed of the Quarterly Investment Portfolio Report summarizing the City's investments for the quarter ended June 30, 2016 as well as the three monthly investment reports from Insight Investment. 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. OPTIONS/ACTION REQUIRED: The City Council should adopt the report as presented in order to satisfy current State Investment Code requirements and City policy. Attachment: Insight Statements April through June 2016 Quarterly Investment Portfolio Report WACouncil Material\Staff Reports\2015\City\cityinvrp093015.doc SAN RAFAEL CITY COUNCIL AGENDA REPORT / Page: 3 TREASURER'S CERTIFICATION 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 City of Rafael Quarterly Investment Portfolio Report June 30, 2016 LAIF $ 23,953,234 99.4% 0.58% LAIF - RDA $ 144,126 0.6% 0.58% Total Internally Managed $ 24,097,360 51.6% Weighted Average Yield 0.58% Days Effective Average Duration - Internal 1 Weighted Average Maturity - Internal 1 LAI F, 99.4% I AIF - RnA n 6% Exhibit A Cash $ 110,082 0.5% 0.00% Cash, 0.5% Commercial Treasury Commercial Paper p $ 499,703 2.2% 0.82% Corporate o Paper, 2.2 /o Securities, Notes, 15.7%�— Treasury Securities $ 6,261,745 27.7% 0.76% j X27.7% Instrumentality Securities $ 10,634,528 47.0% 0.86% Corporate Notes $ 3,541,815 15.7% 1.07% Municipal $ 1,582,700 7.0% 5.25% Total Externally Managed $ 22,630,572 48.4% Weighted Average Yield 1.15% Years Effective Average Duration - External 1.66 Instrumentality Weighted Average Maturity - External 2.06 Securities, 47.0% Total Portfolio Assets % Return LAIF $ 24,097,360 51.6% 0.58% Cash $ 110,082 0.2% 0.00% Corporate Notes Municipal8% 3% Commercial Paper $ 499,703 1.1% 0.82% Instrumentality Treasury Securities $ 6,261,745 13.4% 0.76% Securities 23% Instrumentality Securities $ 10,634,528 22.8% 0.86% Corporate Notes $ 3,541,815 7.6% 1.07% Municipal $ 1,582,700 3.4% 5.25% Total Portfolio Assets $ 46,727,932 Securities 13% Weighted Average Yield 0.86% IF Years 52% Effective Average Duration - Total 1.32 Commercial Cash Weighted Average Maturity - Total 1.51 Paper 0% 1% Based on Market Values SAN RAFAEL April 2016 3 A BNY MELLON COMPANY'"^ FOR PROFESSIONAL CLIENTS ONLY NOT TO BE DISTRIBUTED TO RETAIL CLIENTS THIS DOCUMENT SHOULD NOT BE REPRODUCED IN ANY FORM WITHOUT PRIOR WRITTEN APPROVAL Insight INVESTMENT Contents Fixed income market review Activity and performance summary Recap of securities held Maturity distribution of securities held Securities held GASB 40 - Deposit and investment risk disclosure 12 Transaction report 15 Additional information 16 FIXED INCOME MARKET REVIEW As of April 30, 2016 Chart 1: Gross Domestic Product 3/31/2006 - 3/31/2016 10- 0 8-0 6-0 - 4-0 � 2-0 - a 0-0 T -2-0 C5 D -4-0 -6-0 - -8-0 - -100 Mar -06 Mar -07 Mar -08 Mar -09 Mar -10 Mar -11 Mar -12 Mar -13 Mar -14 Mar -15 Mar -16 Source: Bloomberg Finance LP, March 31, 2016. Chart 2: Treasury Yield Curves 3/31/2016 - 4/30/2016 3-00% - 2-50% - 2-00% ani 1-50% V 1-00% -413(Y2016 3/31/2016 0-00% 3 m 6 m 1 yr 2 yr 3 yr 4 yr 5 yr 6 yr 7 yr 8 yr 9 yr 10 yr Source: Bloomberg Finance LP, March 31, 2016, April 30, 2016. SAN RAFAEL Economic Indicators & Monetary Policv: According to its initial estimate, Gross Domestic Product (GDP) grew at a 0.5% rate during the first quarter of 2016 (See Chart 1). Economic growth was slower than expected as the drop in oil prices paired with the strong US dollar led to weakened output for the energy and manufacturing sectors. In addition, many Americans chose not to spend the savings they received as a result of lower fuel costs, and the savings rate increased to 5.2% from 5.0% in the first quarter. First quarter GDP will be estimated twice more over the next two months. There were signs of growth in the Institute for Supply Management (ISM) indices in March. For the first time since September 2015, the ISM manufacturing index was above 50, indicating economic expansion, and the ISM non- manufacturing index grew for the first time since October 2015, increasing to 54.5 from 53.4. Job growth continued its strong and steady trend as 195,000 jobs were added to the labor force in March. The unemployment rate increased slightly to 5.0% from 4.9% as more workers entered the labor force. Participation in the labor force increased to 63.0% from 62.9% marking six straight months of increasing labor force participation. Wage inflation also showed signs of strength as hourly earnings increased 0.3% and 2.3% on a month -over -month and year -over -year basis, respectively. Inflation indicators underperformed in March, as the Producer Price Index (PPI) including food and energy fell 0.1% on a month -over -month basis, compared to analyst estimates of 0.2% growth. The core PPI on a month -over -month basis also fell 0.1%, while analysts forecasted a 0.1% increase. Similar trends were seen in the Consumer Price Index (CPI) as the headline and core CPI both increased 0.1 compared to expectations of 0.2% growth. Housing data was mixed in March as housing starts and new home sales decreased by 8.8% and 1.5%, respectively. Existing home sales, however, rebounded with a 5.1% increase in March. Existing home sales are measured at the date of closing, while new home sales are measured when the transaction contract is signed. Home prices continue to rise, although the pace of price appreciation has declined according to the Case/Schiller Index, which increased 5.38% in March compared to a 5.75% increase in February. Once again, the Federal Open Market Committee (FOMC) voted to maintain its target interest rate at 0.25 - 0.50%. The FOMC remains cautious on the economy, but projects two interest rate increases in 2016. Yield Curve & SDreads: At the end of April, the 3 -month US Treasury bill yielded 0.21%, the 6 -month US Treasury bill yielded 0.38%, the 2 -year US Treasury note yielded 0.78%, the 5 -year US Treasury note yielded 1.29%, and the 10 -year US Treasury note yielded 1.83% (See Chart 2). 3 ACTIVITY AND PERFORMANCE SUMMARY For the period April 1, 2016 - April 30, 2016 Amortized Cost Basis Activitv Summary Opening balance Income received Total receipts Expenses paid Total disbursements Interportfolio transfers Total Interportfolio transfers Realized gain (loss) Total amortization expense Total OID/MKT accretion income Return of capital Closing balance Ending fair value Unrealized gain (loss) Fed Funds Overnight Repo Merrill Lynch 3m US Treas Bill Merrill Lynch 6m US Treas Bill ML 1 Year US Treasury Note ML 2 Year US Treasury Note ML 5 Year US Treasury Note 22,553,080.70 * Six 14,750.00 month trailing 14,750.00 Realized 0.22 Commercial Paper (131.27) Corporate Bonds (131.27) Government Agencies 0.00 Government Bonds 0.00 Municipal/Provincial Bonds 0.18 Total 0.00 0.28 (4,788.86) 0.76 987.65 0.06 0.00 0.73 22,563,898.22 6,924.31 22,599,485.26 0.00 35,587.04 25,123.28 Comparative Rates of Return W * Twelve * Six * One month month trailing month trailing Realized 0.22 0.15 0.03 0.27 0.19 0.03 0.12 0.11 0.02 0.22 0.18 0.03 0.43 0.28 0.05 0.76 0.43 0.06 1.52 0.73 0.10 * rates reflected are cumulative SAN RAFAEL Detail of Amortized Cost Basis Return Interest Accretion Realized Total earned (amortization) gain (loss) income 0.00 337.79 0.00 337.79 6,525.00 (3,537.42) 0.00 2,987.58 7,962.94 (766.88) 0.00 7,196.06 3,711.03 165.30 0.00 3,876.33 6,924.31 0.00 0.00 6,924.31 25,123.28 (3,801.21) 0.00 21,322.07 Summary of Amortized Cost Basis Return for the Period Total portfolio Interest earned 25,123.28 Accretion (amortization) (3,801.21) Realized gain (loss) on sales 0.00 Total income on portfolio 21,322.07 Average daily amortized cost 22,556,057.84 Period return (%) 0.09 YTD return (%) 0.37 Weighted average final maturity in days 794 ACTIVITY AND PERFORMANCE SUMMARY For the period April 1, 2016 - April 30, 2016 Fair Value Basis Activitv Summary * Twelve Opening balance 22,586,126.80 Income received 14,750.00 month trailing Total receipts 14,750.00 Expenses paid (131.27) 0.22 Total disbursements (131.27) Interportfolio transfers 0.00 0.27 Total Interportfolio transfers 0.00 Unrealized gain (loss) on security movements 0.00 Return of capital 0.00 Change in fair value for the period (1,260.27) Ending fair value 22,599,485.26 Comparative Rates of Return W * rates reflected are cumulative SAN RAFAEL * Twelve * Six * One month Interest month trailing month trailing 22,636,334.98 Fed Funds 0.22 0.15 0.03 Overnight Repo 0.27 0.19 0.03 Merrill Lynch 3m US Treas Bill 0.15 0.14 0.03 Merrill Lynch 6m US Treas Bill 0.41 0.32 0.07 ML 1 Year US Treasury Note 0.44 0.30 0.10 ML US Treasury 1-3 0.91 0.60 0.04 ML US Treasury 1-5 1.59 1.11 (0.01) * rates reflected are cumulative SAN RAFAEL Summary of Fair Value Basis Return for the Period Total portfolio Interest earned Detail of Fair Value Basis Return Change in fair value (1,260.27) Interest Change in Total 22,636,334.98 earned fair value income Commercial Paper 0.00 345.23 345.23 Corporate Bonds 6,525.00 (2,820.00) 3,705.00 Government Agencies 7,962.94 732.50 8,695.44 Government Bonds 3,711.03 482.00 4,193.03 Municipal/Provincial Bonds 6,924.31 0.00 6,924.31 Total 25,123.28 (1,260.27) 23,863.01 Summary of Fair Value Basis Return for the Period Total portfolio Interest earned 25,123.28 Change in fair value (1,260.27) Total income on portfolio 23,863.01 Average daily total value * 22,636,334.98 Period return (%) 0.11 YTD return (%) 0.74 Weighted average final maturity in days 794 * Total value equals market value and accrued interest 5 RECAP OF SECURITIES HELD As of April 30, 2016 Historical Amortized Fair value Unrealized Weighted Percent Weighted cost cost gain (loss) average of average final portfolio effective maturity (days) duration (years) Cash and Cash Equivalents 88,376.94 88,376.94 88,376.94 0.00 1 0.39 0.00 Commercial Paper 497,871.94 498,783.97 499,026.57 242.60 108 2.20 0.29 Corporate Bonds 3,617,570.00 3,539,683.02 3,550,376.75 10,693.73 408 15.97 1.10 Government Agencies 10,622,721.00 10,608,345.00 10,623,172.00 14,827.00 441 46.89 1.15 Government Bonds 6,244,785.17 6,246,009.29 6,255,833.00 9,823.71 373 27.57 1.02 Municipal/Provincial Bonds 1,582,700.00 1,582,700.00 1,582,700.00 0.00 5,968 6.99 11.16 22,654,025.05 22,563,898.22 22,599,485.26 35,587.04 794 100.00 Portfolio diversification (%) ■ Cash and Cash Equivalents 0.39 ■ Commercial Paper 2.20 ■ Corporate Bonds 15.97 ■ Government Agencies 46.89 ■ Government Bonds 27.57 ■ Municipal/Provincial Bonds 6.99 Total 100.00 SAN RAFAEL 6 MATURITY DISTRIBUTION OF SECURITIES HELD As of April 30, 2016 Maturity Under 90 days 90 to 179 days 180 days to 1 year 1 to 2 years 2 to 3 years 3 to 4 years 4 to 5 years Over 5 years 12.00 10.00 E E 8.00 0 0 6.00 u 0 4.00 = 2.00 NOR Maturity distribution ae J�ae`Cp oo- as o o �O Historic cost 589,046.94 4,157, 933.57 4, 253, 693.60 11,572,560.94 498,090.00 0.00 0.00 1,582,700.00 Percent 2.60 18.35 18.78 51.08 2.20 0.00 0.00 6.99 SAN RAFAEL 7 � OJ Percent 2.60 18.35 18.78 51.08 2.20 0.00 0.00 6.99 SAN RAFAEL 7 SECURITIES HELD SAN RAFAEL As of April 30, 2016 Cusip/ Coupon Maturity/ Par value or Historical cost/ Amortized cost/ Fair value/ Unrealized Interest Interest Total Description Call date shares Accrued interest Accretion Change in fair gain received earned accrued Port purchased (amortization) value (loss) interest cost Cash and Cash Equivalents Cash and Cash Equivalents 0.000 88,376.94 88,376.94 88,376.94 88,376.94 0.00 0.00 0.00 0.00 0.39 0.00 0.00 0.00 Total Cash and Cash Equivalents 88,376.94 88,376.94 88,376.94 88,37. 0.00 0.00 0.00 0.00 0.39 0.00 0.00 0.00 Commercial Paper 21687AHG1 0.000 08/16/2016 500,000.00 497,871.94 498,783.97 499,026.57 242.60 0.00 0.00 0.00 2.20 CP RABOBANK 0.00 337.79 345.23 INTERNATIONAL, UTRECHT 0% 16/08/2016 Total Commercial Paper 500,000.00 497,871.94 498,783.97 499,026.57 242.60 0.00 0.00 337.79 345.23 Corporate Bonds 89233P5E2 2.000 09/15/2016 500,000.00 513,850.00 502,328.46 502,416.00 87.54 0.00 805.56 1,250.00 2.27 TOYOTA MOTOR CREDIT CORP 0.00 (517.43) (602.50) 2% 15/09/2016 36962G51-13 3.350 10/17/2016 500,000.00 530,685.00 505,643.61 505,892.50 248.89 8,375.00 1,349.30 604.86 2.34 GENERAL ELECTRIC CO 3.35% 0.00 (1,013.82) (980.00) 17/10/2016 24422ERN1 1.400 03/15/2017 500,000.00 504,785.00 502,093.44 502,979.50 886.06 0.00 563.89 875.00 2.23 JOHN DEERE CAPITAL CORP 0.00 (199.37) 135.50 1.4% 15/03/2017 717081 DJ9 1.100 05/15/2017 500,000.00 499,595.00 499,824.22 502,396.25 2,572.03 0.00 443.05 2,520.83 2.21 PFIZER INC 1.1 % 15/05/2017 0.00 14.06 588.50 459200GJ4 5.700 09/14/2017 500,000.00 568,635.00 529,794.10 532,398.50 2,604.40 0.00 2,295.84 3,641.67 2.51 IBM CORP 5.7% 14/09/2017 09/13/2017 0.00 (1,809.36) (1,465.00) 94988J5A1 1.650 01/22/2018 500,000.00 501,930.00 501,712.50 504,082.00 2,369.50 0.00 664.59 2,085.42 2.22 WELLS FARGO BANK NA 1.65% 0.00 (82.59) 322.00 22/01/2018 8 SECURITIES HELD SAN RAFAEL As of April 30, 2016 Cusip/ Coupon Maturity/ Par value or Historical cost/ Amortized cost/ Fair value/ Unrealized Interest Interest Total Description Call date shares Accrued interest Accretion Change in fair gain received earned accrued Port purchased (amortization) value (loss) interest cost Corporate Bonds 037833AJ9 1.000 05/03/2018 500,000.00 498,090.00 498,286.69 500,212.00 1,925.31 0.00 402.77 2,458.33 2.20 APPLE INC 1%03/05/2018 0.00 71.09 (818.50) Total Corporate Bonds 3,500,000.00 3,617,570.00 3,539,683.02 3,550,376.75 10,693.73 8,375.00 6,525.00 13,436.11 15.97 0.00 (3,537.42) (2,820.00) Government Agencies 3133EDDP4 0.520 06/17/2016 500,000.00 500,670.00 500,038.64 500,180.00 141.36 0.00 209.45 960.56 2.21 FEDERAL FARM CREDIT BANK 0.00 (24.66) (180.00) 0.52% 17/06/2016 3135GOCM3 1.250 09/28/2016 1,000,000.00 1,014,450.00 1,002,368.33 1,003,125.00 756.67 0.00 1,006.94 1,111.11 4.48 FANNIE MAE 1.25%28/09/2016 0.00 (480.06) (439.00) 3133EDYQ9 0.750 01/20/2017 500,000.00 500,000.00 500,000.00 500,005.00 5.00 0.00 302.09 1,041.67 2.21 FEDERAL FARM CREDIT BANK 0.00 0.00 0.00 0.75% 2010112017 (CALLABLE 11/05/16) 3137EADCO 1.000 03/08/2017 500,000.00 501,500.00 500,434.62 501,566.00 1,131.38 0.00 402.78 722.22 2.21 FREDDIE MAC 1% 08/03/2017 0.00 (42.33) 38.50 3135GOZB2 0.750 04/20/2017 500,000.00 496,725.00 498,962.67 500,342.00 1,379.33 1,875.00 302.09 104.17 2.19 FANNIE MAE 0.75%20/04/2017 0.00 88.91 158.00 3133EEX62 0.800 06/16/2017 1,000,000.00 999,770.00 999,870.66 1,001,180.00 1,309.34 0.00 644.45 2,977.78 4.41 FEDERAL FARM CREDIT BANK 0.00 9.55 520.00 0.8% 16/06/2017 3137EADV8 0.750 07/14/2017 1,000,000.00 998,530.00 999,149.36 1,000,692.00 1,542.64 0.00 604.16 2,208.33 4.41 FREDDIE MAC 0.75% 0.00 58.80 334.00 14/07/2017 3136GOZH7 1.050 09/05/2017 1,000,000.00 1,005,150.00 1,003,239.62 1,003,540.00 300.38 0.00 845.84 1,604.17 4.44 FANNIE MAE 1.05%05/09/2017 0.00 (200.39) 1,960.00 CALLABLE 9 SECURITIES HELD SAN RAFAEL As of April 30, 2016 Cusip/ Coupon Maturity/ Par value or Historical cost/ Amortized cost/ Fair value/ Unrealized Interest Interest Total % Description Call date shares Accrued interest Accretion Change in fair gain received earned accrued Port purchased (amortization) value (loss) interest cost Government Agencies 313380EC7 0.750 09/08/2017 1,000,000.00 998,790.00 999,200.97 1,000,002.00 801.03 0.00 604.16 1,083.33 4.41 FEDERAL HOME LOAN BANK 0.00 49.12 519.00 0.75% 08/09/2017 3130A51-56 0.900 10/27/2017 1,000,000.00 999,070.00 999,414.53 1,001,760.00 2,345.47 4,500.00 725.00 75.00 4.41 FEDERAL HOME LOAN BANK 0.00 32.71 (400.00) 0.9% 27/10/2017 3130A6D87 0.900 11/20/2017 1,000,000.00 1,000,660.00 1,000,455.73 1,000,980.00 524.27 0.00 725.00 4,000.00 4.42 FEDERAL HOME LOAN BANK 0.00 (24.42) (370.00) 0.9% 20/11/2017 313378A43 1.375 03/09/2018 1,000,000.00 1,007,970.00 1,005,733.26 1,009,662.00 3,928.74 0.00 1,107.64 1,947.92 4.45 FEDERAL HOME LOAN BANK 0.00 (257.09) (1,318.00) 1.375% 09/03/2018 3134G8NY1 1.000 03/23/2018 600,000.00 599,436.00 599,476.61 600,138.00 661.39 0.00 483.34 616.67 2.65 FREDDIE MAC 1% 23/03/2018 09/23/2016 0.00 22.98 (90.00) (CALLABLE 23/09/16) Total Government Agencies 10,600,000.00 10,622,721.00 10,608,345.00 10,623,172.00 14,827.00 6,375.00 7,962.94 18,452.93 46.89 0.00 (766.88) 732.50 Government Bonds 912828VR8 0.625 08/15/2016 1,000,000.00 1,001,640.63 1,000,223.91 1,000,813.00 589.09 0.00 515.11 1,287.78 4.42 USA TREASURY 0.625% 0.00 (62.78) (76.00) 15/08/2016 912828WF3 0.625 11/15/2016 1,000,000.00 999,765.63 999,945.74 1,000,820.00 874.26 0.00 515.11 2,867.45 4.41 USA TREASURY 0.625% 0.00 8.18 39.00 15/11/2016 912828SJO 0.875 02/28/2017 750,000.00 751,464.84 750,453.94 751,699.50 1,245.56 0.00 534.99 1,087.81 3.32 USA TREASURY 0.875% 0.00 (44.79) 88.50 28/02/2017 912828C32 0.750 03/15/2017 500,000.00 499,453.13 499,820.52 500,801.00 980.48 0.00 305.71 468.75 2.20 USA TREASURY 0.75% 0.00 16.88 234.50 15/03/2017 10 SECURITIES HELD SAN RAFAEL As of April 30, 2016 Cusip/ Coupon Maturity/ Par value or Historical cost/ Amortized cost/ Fair value/ Unrealized Interest Interest Total % Description Call date shares Accrued interest Accretion Change in fair gain received earned accrued Port purchased (amortization) value (loss) interest cost Government Bonds 912828WP1 0.875 06/15/2017 500,000.00 499,414.06 499,734.19 501,289.00 1,554.81 0.00 358.61 1,637.64 2.20 USA TREASURY 0.875% 0.00 19.40 58.50 15/06/2017 912828TM2 0.625 08/31/2017 1,000,000.00 994,921.88 997,300.52 999,297.00 1,996.48 0.00 509.51 1,036.01 4.39 USA TREASURY 0.625% 0.00 165.95 508.00 3110812017 912828G20 0.875 11/15/2017 500,000.00 500,625.00 500,411.80 501,230.50 818.70 0.00 360.57 2,007.21 2.21 USA TREASURY 0.875% 0.00 (21.90) (19.50) 15/11/2017 912828UR9 0.750 02/28/2018 1,000,000.00 997,500.00 998,118.67 999,883.00 1,764.33 0.00 611.42 1,243.21 4.40 USA TREASURY 0.75% 0.00 84.36 (351.00) 28/02/2018 Municipal/Provincial Bonds 888599LS4 5.250 09/02/2032 PT. SAN ASSESS DISTRICT 5.25% 144A 02/09/2032 SANRAF$01 Total Municipal/Provincial Bonds 6,250,000.00 6,244,785.17 0.00 1,582,700.00 1,582,700.00 0.00 1,582,700.00 1,582,700.00 0.00 6,246,009.29 6,255,833.000jw 3,711.03 11,635.86 27.57 165.30 482.00 1,582,700.00 1,582,700.00 0.00 0.00 6,924.31 6,924.31 6.99 0.00 0.00 1,582,700.00 0.00 1,582,700.00 0.00 0.00 6,924.31 6,924.31 6.99 III GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE As of April 30, 2016 SAN RAFAEL Cusip Description Coupon Maturity Call date 5&P Moody Par value or Historical % Portfolio Market % Portfolio Effective date rating rating shares cost hist cost value mkt value dur (yrs) United States Treasury Note/Bond 912828VR8 USA TREASURY 0.625% 0.625 08/15/2016 AA+ Aaa 1,000,000.00 1,001,640.63 4.42 1,000,813.00 4.43 0.29 912828WF3 USA TREASURY 0.625% 0.625 11/15/2016 AA+ Aaa 1,000,000.00 999,765.63 4.41 1,000,820.00 4.43 0.54 9128285/0 USA TREASURY 0.875% 0.875 02/28/2017 AA+ Aaa 750,000.00 751,464.84 3.32 751,699.50 3.33 0.83 912828032 USA TREASURY 0.75% 0.750 03/15/2017 AA+ Aaa 500,000.00 499,453.13 2.20 500,801.00 2.22 0.87 912828WP1 USA TREASURY 0.875% 0.875 06/15/2017 AA+ Aaa 500,000.00 499,414.06 2.20 501,289.00 2.22 1.12 912828TM2 USA TREASURY 0.625% 0.625 08/31/2017 AA+ Aaa 1,000,000.00 994,921.88 4.39 999,297.00 4.42 1.33 912828G20 USA TREASURY 0.875% 0.875 11/15/2017 AA+ Aaa 500,000.00 500,625.00 2.21 501,230.50 2.22 1.53 912828UR9 USA TREASURY 0.75% 0.750 02/28/2018 AA+ Aaa 1,000,000.00 997,500.00 4.40 999,883.00 4.42 1.82 Issuer total 6,250,000.00 6,244,785.17 27.57 6,255,833.00 27.68 1.02 Federal Home Loan Banks 313380EC7 FEDERAL HOME LOAN 0.750 09/08/2017 AA+ Aaa 1,000,000.00 998,790.00 4.41 1,000,002.00 4.42 1.35 3130A5L56 FEDERAL HOME LOAN 0.900 10/27/2017 AA+ Aaa 1,000,000.00 999,070.00 4.41 1,001,760.00 4.43 1.48 3130A6D87 FEDERAL HOME LOAN 0.900 11/20/2017 AA+ Aaa 1,000,000.00 1,000,660.00 4.42 1,000,980.00 4.43 1.54 313378A43 FEDERAL HOME LOAN 1.375 03/09/2018 AA+ Aaa 1,000,000.00 1,007,970.00 4.45 1,009,662.00 4.47 1.83 Issuer total 4,000,000.00 4,006,490.00 17.69 4,012,404.00 17.75 1.55 Federal National Mortgage Association 3135GOCM3 FANNIE MAE 1.25% 1.250 09/28/2016 AA+ Aaa 1,000,000.00 1,014,450.00 4.48 1,003,125.00 4.44 0.41 3135GOZB2 FANNIE MAE 0.75% 0.750 04/20/2017 AA+ Aaa 500,000.00 496,725.00 2.19 500,342.00 2.21 0.97 3136GOZH7 FANNIE MAE 1.05% 1.050 09/05/2017 AA+ Aaa 1,000,000.00 1,005,150.00 4.44 1,003,540.00 4.44 1.34 Issuer total 2,500,000.00 2,516,325.00 11.11 2,507,007.00 11.09 0.89 Federal Home Loan Mortgage Corp 3137EADCO FREDDIEMAC1% 1.000 03/08/2017 AA+ Aaa 500,000.00 501,500.00 2.21 501,566.00 2.22 0.85 3137EADV8 FREDDIE MAC 0.75% 0.750 07/14/2017 AA+ Aaa 1,000,000.00 998,530.00 4.41 1,000,692.00 4.43 1.20 IT, GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE As of April 30, 2016 SAN RAFAEL Cusip Description Coupon Maturity Call date 5&P Moody Par value or Historical % Portfolio Market % Portfolio Effective date rating rating shares cost hist cost value mkt value dur (yrs) Federal Home Loan Mortgage Corp 3134G8NY1 FREDDIEMAC1% 1.000 03/23/2018 09/23/2016 AA+ Aaa 600,000.00 599,436.00 2.65 600,138.00 2.66 1.13 Issuer total 2,100,000.00 2,099,466.00 9.27 2,102,396.00 9.30 1.10 Federal Farm Credit Banks 3133EDDP4 FEDERAL FARM CREDIT 0.520 06/17/2016 AA+ Aaa 500,000.00 500,670.00 2.21 500,180.00 2.21 0.13 3133EDYQ9 FEDERAL FARM CREDIT 0.750 01/20/2017 AA+ Aaa 500,000.00 500,000.00 2.21 500,005.00 2.21 0.47 3133EEX62 FEDERAL FARM CREDIT 0.800 06/16/2017 AA+ Aaa 1,000,000.00 999,770.00 4.41 1,001,180.00 4.43 1.12 Issuer total 2,000,000.00 2,000,440.00 8.83 2,001,365.00 8.86 0.71 Others 888599LS4 PT. SAN ASSESS 5.250 09/02/2032 NR NR 1,582,700.00 1,582,700.00 6.99 1,582,700.00 7.00 11.16 Issuer total 1,582,700.00 1,582,700.00 6.99 1,582,700.00 7.00 11.16 International Business Machines Corp 4592000J4 IBM CORP 5.7% 5.700 09/14/2017 09/13/2017 AA- Aa3 500,000.00 568,635.00 2.51 532,398.50 2.36 1.33 Issuer total 500,000.00 568,635.00 2.51 532,398.50 2.36 1.33 General Electric Co 36962G51-13 GENERAL ELECTRIC CO 3.350 10/17/2016 AA+ Al 500,000.00 530,685.00 2.34 505,892.50 2.24 0.46 Issuer total 500,000.00 530,685.00 2.34 505,892.50 2.24 0.46 Wells Fargo Bank NA 94988J5A1 WELLS FARGO BANK NA 1.650 01/22/2018 AA- Aa2 500,000.00 501,930.00 2.22 504,082.00 2.23 1.70 Issuer total 500,000.00 501,930.00 2.22 504,082.00 2.23 1.70 John Deere Capital Corp 24422ERN1 JOHN DEERE CAPITAL 1.400 03/15/2017 A A2 500,000.00 504,785.00 2.23 502,979.50 2.23 0.87 Issuer total 500,000.00 504,785.00 2.23 502,979.50 2.23 0.87 13 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL As of April 30, 2016 Cusip Description Coupon Maturity Call date 5&P Moody Par value or Historical % Portfolio Market % Portfolio Effective date rating rating shares cost hist cost value mkt value dur (yrs) Toyota Motor Credit Corp 89233P5E2 TOYOTA MOTOR CREDIT 2.000 09/15/2016 AA- Aa3 500,000.00 513,850.00 2.27 502,416.00 2.22 0.38 Issuer total 500,000.00 513,850.00 2.27 502,416.00 2.22 0.38 Pfizer Inc 717081 D19 PFIZER INC 1.1 % 1.100 05/15/2017 AA Al 500,000.00 499,595.00 2.21 502,396.25 2.22 1.03 Issuer total 500,000.00 499,595.00 2.21 502,396.25 2.22 1.03 Apple Inc 037833A19 APPLE INC 1%03/05/2018 1.000 05/03/2018 AA+ Aal 500,000.00 498,090.00 2.20 500,212.00 2.21 1.98 Issuer total 500,000.00 498,090.00 2.20 500,212.00 2.21 1.98 Rabobank 21687AHG1 CP RABOBANK 0.000 08/16/2016 A-1 P-1 500,000.00 497,871.94 2.20 499,026.57 2.21 0.29 Issuer total 500,000.00 497,871.94 2.20 499,026.57 2.21 0.29 Cash and Cash Equivalents INVESTED CASH 0.000 88,376.94 88,376.94 0.39 88,376.94 0.39 0.00 Issuer total 88,376.94 88,376.94 0.39 88,376.94 0.39 0.00 14 TRANSACTION REPORT For the period April 1, 2016 - April 30, 2016 Trade date Cusip Transaction Sec type Description Maturity Par value or Realized Settle date 0.00 1,875.00 1,875.00 0.00 4,500.00 shares gain(loss) 03/31/2016 888599LS4 Income Municipal/Provincial Bonds PT. SAN ASSESS DISTRICT 09/02/2032 1,582,700.00 0.00 03/31/2016 03/31/2016 888599LS4 Income Municipal/Provincial Bonds PT. SAN ASSESS DISTRICT 09/02/2032 (1,582,700.00) 0.00 03/31/2016 04/17/2016 36962G51-13 Income Corporate Bonds GENERAL ELECTRIC CO 3.35% 10/17/2016 500,000.00 0.00 04/17/2016 04/20/2016 3135GOZB2 Income Government Agencies FANNIE MAE 0.75% 20/04/2017 04/20/2017 500,000.00 0.00 04/20/2016 04/27/2016 3130A51-56 Income Government Agencies FEDERAL HOME LOAN BANK 10/27/2017 1,000,000.00 0.00 04/27/2016 SAN RAFAEL Principal Interest Transaction total 0.00 41,545.88 41,545.88 0.00 (41,545.88) (41,545.88) 0.00 8,375.00 8,375.00 0.00 1,875.00 1,875.00 0.00 4,500.00 4,500.00 15 ADDITIONAL INFORMATION As of April 30, 2016 SAN RAFAEL Past 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 get back 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 changes in 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 for your 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. This document 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 be duplicated, 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 clients Investment 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 Investor Services Corp. (CISC), Pareto New York LLC (PINY) 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 of skill 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 and CISCs 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 and these 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 the account, 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 2A of 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 general information 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 account should 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 will remain 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 be profitable or that future investment decisions will be profitable or will equal or exceed the past investment performance of the securities listed. 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. When Moodys, 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 of Moodys 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 an appropriate 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 the indices 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 note must 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 note must 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 note must 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. ADDITIONAL INFORMATION As of April 30, 2016 SAN RAFAEL Insight 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 reference the 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 York Mellon 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 and disclaims all expressed or implied warranties in connection therewith. © 2016 Insight Investment. All rights reserved. 17 SAN RAFAEL May 2016 3 A BNY MELLON COMPANY'"^ FOR PROFESSIONAL CLIENTS ONLY NOT TO BE DISTRIBUTED TO RETAIL CLIENTS THIS DOCUMENT SHOULD NOT BE REPRODUCED IN ANY FORM WITHOUT PRIOR WRITTEN APPROVAL Insight INVESTMENT Contents Fixed income market review Activity and performance summary Recap of securities held Maturity distribution of securities held Securities held GASB 40 - Deposit and investment risk disclosure 1 Transaction report 14 Additional information 15 FIXED INCOME MARKET REVIEW As of May 31, 2016 Chart 1: New and Existing Home Sales 04/30/2011 — 04/30/2016 6.0 5.0 4.0 U) _o 3.0 U) W 2.0 U) 1.0 0.0 Apr -11 Apr -12 Apr -13 Apr -14 Apr -15 Apr -16 Existing Home Sales New Home Sales Source: Bloomberg Finance LP, April 30, 2016. Chart 2: Treasury Yield Curves 4/30/2016 — 5/31/2016 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% SAN RAFAEL Economic indicators and monetary oolicv: The first quarter 2016 growth rate of Gross Domestic Product (GDP) was revised upward to 0.8% from the initial estimate of 0.5%. Stronger gains in personal income helped bolster economic growth in the first quarter. As was the case in the past two years, first quarter 2016 GDP was weak, and analysts hope the economy rebounds with a strong second quarter. Potential growth in the second quarter can be seen in the Institute for Supply Management (ISM) indices. At the end of April, the ISM manufacturing index was 50.8 and the ISM non -manufacturing index rose to 55.7. Values above 50 for the ISM indices indicate a growing economy. New job creation was weaker than expected in April, as the labor force added 160,000 jobs. The unemployment rate however remained at 5.0%, and while analyst estimates exceeded the actual number of jobs created, the trailing 12 month average of new jobs created remains strong at 224,000 per month. Wages continued to rise in April as average hourly earnings increased 0.3% and 2.5% on a month -over -month and year -over - year basis respectively. Wages have increased or stayed flat in each of the last 16 months and 43 of the last 44 months. Participation in the labor force decreased in April to 62.8% compared to 63.0% in March. Prices increased on both the consumer and producer levels in April. The Producer Price Index (PPI) increased 0.2% on a month -over -month basis. Excluding food and energy, the core PPI increased 0.1 %. The Consumer Price Index (CPI) increased 0.4%, while the core CPI increased 0.2%. As the price of oil has increased from its low in February, inflation indicators have returned to positive figures. Real estate data was strong across the board in April, a positive sign for the industry as we approach what has been historically considered to be its busiest season. Existing home sales increased 1.7% to an annualized rate of 5.45 million and new home sales increased 16.6% to an annualized rate 619,000 (see chart 1). Mortgage applications and pending home sales also increased, indicating that home sales may continue to grow. The Federal Open Markets Committee (FOMC) did not meet in May; however, numerous Federal Reserve governors provided statements referring to a potential interest rate 5/31/2016 increase this summer. Governors indicated that if the economy remains strong, an interest rate increase would be warranted. The FOMC will meet June 14 -15th and July 27- 4/30/2016 28th 0.00% 3 m 6 m 1 yr 2 yr 3 yr 4 yr 5 yr 6 yr 7 yr 8 yr 9 yr 10 yr Source: Bloomberg Finance LP, April 30, 2016, May 31, 2016. Yield curve and soreads: At the end of May, the 3 -month US Treasury bill yielded 0.29%, the 6 -month US Treasury bill yielded 0.45%, the 2 -year US Treasury note yielded 0.88%, the 5 -year US Treasury note yielded 1.37%, and the 10 -year Treasury note yielded 1.85% (see chart 2). ACTIVITY AND PERFORMANCE SUMMARY For the period May 1, 2016 - May 31, 2016 Amortized Cost Basis Activitv Summary Opening balance Income received Total receipts Expenses paid Total disbursements Interportfolio transfers Total Interportfolio transfers Realized gain (loss) Total amortization expense Total OID/MKT accretion income Return of capital Closing balance Ending fair value Unrealized gain (loss) Fed Funds Overnight Repo Merrill Lynch 3m US Treas Bill Merrill Lynch 6m US Treas Bill ML 1 Year US Treasury Note ML 2 Year US Treasury Note ML 5 Year US Treasury Note 22,563,898.22 * Six 15,062.50 month trailing 15, 062.50 Realized 0.24 Commercial Paper (131.35) Corporate Bonds (131.35) Government Agencies 0.00 Government Bonds 0.00 Municipal/Provincial Bonds 0.18 Total 0.00 0.29 (4,793.49) 0.77 1,009.01 0.07 0.00 0.69 22,575,044.89 6,924.32 22,588,605.40 0.00 13,560.51 26,241.01 Comparative Rates of Return W * Twelve * Six * One month month trailing month trailing Realized 0.24 0.17 0.03 0.29 0.21 0.03 0.14 0.13 0.02 0.24 0.18 0.03 0.46 0.29 0.05 0.77 0.42 0.07 1.49 0.69 0.11 * rates reflected are cumulative SAN RAFAEL Detail of Amortized Cost Basis Return Interest Accretion Realized Total earned (amortization) gain (loss) income 0.00 349.04 0.00 349.04 6,974.99 (3,537.44) 0.00 3,437.55 8,512.06 (766.88) 0.00 7,745.18 3,829.64 170.80 0.00 4,000.44 6,924.32 0.00 0.00 6,924.32 26,241.01 (3,784.48) 0.00 22,456.53 Summary of Amortized Cost Basis Return for the Period Total portfolio Interest earned 26,241.01 Accretion (amortization) (3,784.48) Realized gain (loss) on sales 0.00 Total income on portfolio 22,456.53 Average daily amortized cost 22,570,140.94 Period return (%) 0.10 YTD return (%) 0.47 Weighted average final maturity in days 764 3 ACTIVITY AND PERFORMANCE SUMMARY For the period May 1, 2016 - May 31, 2016 Fair Value Basis Activitv Summary * Twelve Opening balance 22,599,485.26 Income received 15,062.50 month trailing Total receipts 15,062.50 Expenses paid (131.35) 0.24 Total disbursements (131.35) Interportfolio transfers 0.00 0.29 Total Interportfolio transfers 0.00 Unrealized gain (loss) on security movements 0.00 Return of capital 0.00 Change in fair value for the period (25,811.01) Ending fair value 22,588,605.40 Comparative Rates of Return W * rates reflected are cumulative SAN RAFAEL * Twelve * Six * One month Interest month trailing month trailing 22,651,011.56 Fed Funds 0.24 0.17 0.03 Overnight Repo 0.29 0.21 0.03 Merrill Lynch 3m US Treas Bill 0.15 0.14 0.01 Merrill Lynch 6m US Treas Bill 0.42 0.33 0.01 ML 1 Year US Treasury Note 0.37 0.42 (0.04) ML US Treasury 1-3 0.73 0.74 (0.11) ML US Treasury 1-5 1.35 1.26 (0.15) * rates reflected are cumulative SAN RAFAEL Summary of Fair Value Basis Return for the Period Total portfolio Interest earned Detail of Fair Value Basis Return Change in fair value (25,811.01) Interest Change in Total 22,651,011.56 earned fair value income Commercial Paper 0.00 365.99 365.99 Corporate Bonds 6,974.99 (8,645.50) (1,670.51) Government Agencies 8,512.06 (11,360.50) (2,848.44) Government Bonds 3,829.64 (6,171.00) (2,341.36) Municipal/Provincial Bonds 6,924.32 0.00 6,924.32 Total 26,241.01 (25,811.01) 430.00 Summary of Fair Value Basis Return for the Period Total portfolio Interest earned 26,241.01 Change in fair value (25,811.01) Total income on portfolio 430.00 Average daily total value * 22,651,011.56 Period return (%) 0.00 YTD return (%) 0.75 Weighted average final maturity in days 764 * Total value equals market value and accrued interest RECAP OF SECURITIES HELD As of May 31, 2016 Historical Amortized Fair value Unrealized Weighted Percent Weighted cost cost gain (loss) average of average final portfolio effective maturity (days) duration (years) Cash and Cash Equivalents 103,308.09 103,308.09 103,308.09 0.00 1 0.46 0.00 Commercial Paper 497,871.94 499,133.01 499,392.56 259.55 77 2.20 0.21 Corporate Bonds 3,617,570.00 3,536,145.58 3,541,731.25 5,585.67 378 15.96 1.02 Government Agencies 10,622,721.00 10,607,578.12 10,611,811.50 4,233.38 411 46.86 1.07 Government Bonds 6,244,785.17 6,246,180.09 6,249,662.00 3,481.91 343 27.55 0.93 Municipal/Provincial Bonds 1,582,700.00 1,582,700.00 1,582,700.00 0.00 5,938 6.98 11.04 22,668,956.20 22,575,044.89 22,588,605.40 in 13,560.51 764 1 Portfolio diversification (%) ■ Cash and Cash Equivalents 0.46 ■ Commercial Paper 2.20 ■ Corporate Bonds 15.96 ■ Government Agencies 46.86 ■ Government Bonds 27.55 ■ Municipal/Provincial Bonds 6.98 Total 100.00 SAN RAFAEL 61 MATURITY DISTRIBUTION OF SECURITIES HELD As of May 31, 2016 Maturity Under 90 days 90 to 179 days 180 days to 1 year 1 to 2 years 2 to 3 years 3 to 4 years 4 to 5 years Over 5 years 12.00 10.00 E E 8.00 N 0 U 6.00 U 0 4.00 = 2.00 NOR Maturity distribution ae J�ae`Co C§o-as o o �O Historic cost Percent 2,103, 490.66 9.28 3,658,186.63 16.14 3,753,522.97 16.56 11,571,055.94 51.04 0.00 0.00 0.00 0.00 0.00 0.00 1,582,700.00 6.98 SAN RAFAEL 6 SECURITIES HELD SAN RAFAEL As of May 31, 2016 Cusip/ Coupon Maturity/ Par value or Historical cost/ Amortized cost/ Fair value/ Unrealized Interest Interest Total Description Call date shares Accrued interest Accretion Change in fair gain received earned accrued Port purchased (amortization) value (loss) interest cost Cash and Cash Equivalents Cash and Cash Equivalents 0.000 103,308.09 103,308.09 103,308.09 103,308.09 0.00 0.00 0.00 0.00 0.46 0.00 0.00 0.00 Total Cash and Cash Equivalents 103,308.09 103,308.09 103,308.09 103,308.09 0.00 0.00 0.00 0.00 0.46 0.00 0.00 0.00 Commercial Paper 21687AHG1 0.000 08/16/2016 500,000.00 497,871.94 499,133.01 499,392.56 259.55 0.00 0.00 0.00 2.20 CP RABOBANK 0.00 349.04 365.99 INTERNATIONAL, UTRECHT 0% 16/08/2016 Total Commercial Paper 500,000.00 497,871.94 499,133.01 499,392.56 259.55 0.00 0.00 349.04 365.99 Corporate Bonds 89233P5E2 2.000 09/15/2016 500,000.00 513,850.00 501,811.02 502,019.00 207.98 0.00 861.11 2,111.11 2.27 TOYOTA MOTOR CREDIT CORP 0.00 (517.44) (397.00) 2% 15/09/2016 36962G51-13 3.350 10/17/2016 500,000.00 530,685.00 504,629.79 504,973.00 343.21 0.00 1,442.36 2,047.22 2.34 GENERAL ELECTRIC CO 3.35% 0.00 (1,013.82) (919.50) 17/10/2016 24422ERN1 1.400 03/15/2017 500,000.00 504,785.00 501,894.06 502,193.00 298.94 0.00 602.78 1,477.78 2.23 JOHN DEERE CAPITAL CORP 0.00 (199.38) (786.50) 1.4% 15/03/2017 717081 DJ9 1.100 05/15/2017 500,000.00 499,595.00 499,838.28 500,651.25 812.97 2,750.00 473.61 244.44 2.20 PFIZER INC 1.1 % 15/05/2017 0.00 14.06 (1,745.00) 459200GJ4 5.700 09/14/2017 500,000.00 568,635.00 527,984.75 529,595.50 1,610.75 0.00 2,454.16 6,095.83 2.51 IBM CORP 5.7% 14/09/2017 09/13/2017 0.00 (1,809.35) (2,803.00) 94988J5A1 1.650 01/22/2018 500,000.00 501,930.00 501,629.90 502,954.50 1,324.60 0.00 710.41 2,795.83 2.21 WELLS FARGO BANK NA 1.65% 0.00 (82.60) (1,127.50) 22/01/2018 SECURITIES HELD As of May 31, 2016 Cusip/ Coupon Maturity/ Par value or Historical cost/ Amortized cost/ Fair value/ Unrealized Interest Description Call date shares Accrued interest Accretion Change in fair gain received purchased (amortization) value (loss) Corporate Bonds 037833AJ9 1.000 05/03/2018 500,000.00 498,090.00 498,357.78 499,345.00 987.22 2,500.00 APPLE INC 1%03/05/2018 0.00 71.09 (867.00) Total Corporate Bonds 3,500,000.00 3,617,570.00 3,536,145.58 3,541,731.25 5,585.67 0.00 (3,537.44) (8,645.50) 60 Government Agencies 3133EDDP4 0.520 06/17/2016 500,000.00 500,670.00 500,013.98 500,060.00 46.02 0.00 FEDERAL FARM CREDIT BANK 0.00 (24.66) (120.00) 0.52% 17/06/2016 3135GOCM3 1.250 09/28/2016 1,000,000.00 1,014,450.00 1,001,888.26 1,002,453.00 564.74 0.00 FANNIE MAE 1.25%28/09/2016 0.00 (480.07) (672.00) 3133EDYQ9 0.750 01/20/2017 500,000.00 500,000.00 500,000.00 500,005.00 5.00 0.00 FEDERAL FARM CREDIT BANK 0.00 0.00 0.00 0.75% 2010112017 (CALLABLE 10/06/16) 3137EADCO 1.000 03/08/2017 500,000.00 501,500.00 500,392.29 501,034.00 641.71 0.00 FREDDIE MAC 1% 08/03/2017 0.00 (42.33) (532.00) 3135GOZB2 0.750 04/20/2017 500,000.00 496,725.00 499,051.58 499,963.50 911.92 0.00 FANNIE MAE 0.75%20/04/2017 0.00 88.91 (378.50) 3133EEX62 0.800 06/16/2017 1,000,000.00 999,770.00 999,880.22 1,000,090.00 209.78 0.00 FEDERAL FARM CREDIT BANK 0.00 9.56 (1,090.00) 0.8% 16/06/2017 3137EADV8 0.750 07/14/2017 1,000,000.00 998,530.00 999,208.16 999,532.00 323.84 0.00 FREDDIE MAC 0.75% 0.00 58.80 (1,160.00) 14/07/2017 3136GOZH7 1.050 09/05/2017 1,000,000.00 1,005,150.00 1,003,039.23 1,002,270.00 (769.23) 0.00 FANNIE MAE 1.05%05/09/2017 0.00 (200.39) (1,270.00) CALLABLE SAN RAFAEL Interest Total 427.08 earned accrued Port interest cost 430.56 388.89 2.20 6,974.99 15,161.10 15.96 223.88 1,184.44 2.21 1,076.39 2,187.50 4.48 322.91 1,364.58 2.21 430.56 1,152.78 2.21 322.91 427.08 2.19 688.89 3,666.67 4.41 645.84 2,854.17 4.40 904.16 2,508.33 4.43 8 SECURITIES HELD SAN RAFAEL As of May 31, 2016 Cusip/ Coupon Maturity/ Par value or Historical cost/ Amortized cost/ Fair value/ Unrealized Interest Interest Total % Description Call date shares Accrued interest Accretion Change in fair gain received earned accrued Port purchased (amortization) value (loss) interest cost Government Agencies 313380EC7 0.750 09/08/2017 1,000,000.00 998,790.00 999,250.09 998,762.00 (488.09) 0.00 645.84 1,729.17 4.41 FEDERAL HOME LOAN BANK 0.00 49.12 (1,240.00) 0.75% 08/09/2017 3130A51-56 0.900 10/27/2017 1,000,000.00 999,070.00 999,447.23 1,000,480.00 1,032.77 0.00 775.00 850.00 4.41 FEDERAL HOME LOAN BANK 0.00 32.70 (1,280.00) 0.9% 27/10/2017 3130A6D87 0.900 11/20/2017 1,000,000.00 1,000,660.00 1,000,431.32 999,690.00 (741.32) 4,500.00 775.00 275.00 4.41 FEDERAL HOME LOAN BANK 0.00 (24.41) (1,290.00) 0.9% 20/11/2017 313378A43 1.375 03/09/2018 1,000,000.00 1,007,970.00 1,005,476.16 1,007,748.00 2,271.84 0.00 1,184.02 3,131.94 4.45 FEDERAL HOME LOAN BANK 0.00 (257.10) (1,914.00) 1.375% 09/03/2018 3134G8NY1 1.000 03/23/2018 600,000.00 599,436.00 599,499.60 599,724.00 224.40 0.00 516.66 1,133.33 2.64 FREDDIE MAC 1% 23/03/2018 09/23/2016 0.00 22.99 (414.00) (CALLABLE 23/09/16) Total Government Agencies 10,600,000.00 10,622,721.00 10,607,578.12 10,611,811.50 4,233.38 4,500.00 8,512.06 22,464.99 46.86 0.00 (766.88) (11,360.50) + i Government Bonds 912828VR8 0.625 08/15/2016 1,000,000.00 1,001,640.63 1,000,159.04 1,000,606.00 446.96 0.00 532.28 1,820.06 4.42 USA TREASURY 0.625% 0.00 (64.87) (207.00) 15/08/2016 912828WF3 0.625 11/15/2016 1,000,000.00 999,765.63 999,954.19 1,000,341.00 386.81 3,125.00 529.29 271.74 4.41 USA TREASURY 0.625% 0.00 8.45 (479.00) 15/11/2016 912828SJ0 0.875 02/28/2017 750,000.00 751,464.84 750,407.65 751,054.50 646.85 0.00 552.82 1,640.63 3.31 USA TREASURY 0.875% 0.00 (46.29) (645.00) 28/02/2017 912828C32 0.750 03/15/2017 500,000.00 499,453.13 499,837.96 500,200.00 362.04 0.00 315.90 784.65 2.20 USA TREASURY 0.75% 0.00 17.44 (601.00) 15/03/2017 9 SECURITIES HELD SAN RAFAEL As of May 31, 2016 Cusip/ Coupon Maturity/ Par value or Historical cost/ Amortized cost/ Fair value/ Unrealized Interest Interest Total % Description Call date shares Accrued interest Accretion Change in fair gain received earned accrued Port purchased (amortization) value (loss) interest cost Government Bonds 912828WP1 0.875 06/15/2017 500,000.00 499,414.06 499,754.24 500,683.50 929.26 0.00 370.56 2,008.20 2.20 USA TREASURY 0.875% 0.00 20.05 (605.50) 15/06/2017 912828TM2 0.625 08/31/2017 1,000,000.00 994,921.88 997,472.00 998,164.00 692.00 0.00 526.49 1,562.50 4.39 USA TREASURY 0.625% 0.00 171.48 (1,133.00) 3110812017 912828G20 0.875 11/15/2017 500,000.00 500,625.00 500,389.16 500,449.00 59.84 2,187.50 370.51 190.22 2.21 USA TREASURY 0.875% 0.00 (22.64) (781.50) 15/11/2017 912828UR9 0.750 02/28/2018 1,000,000.00 997,500.00 998,205.85 998,164.00 (41.85) 0.00 631.79 1,875.00 4.40 USA TREASURY 0.75% 0.00 87.18 (1,719.00) 28/02/2018 Municipal/Provincial Bonds 888599LS4 5.250 09/02/2032 PT. SAN ASSESS DISTRICT 5.25% 144A 02/09/2032 SANRAF$01 Total Municipal/Provincial Bonds 6,250,000.00 6,244,785.17 0.00 1,582,700.00 1,582,700.00 0.00 1,582,700.00 1,582,700.00 0.00 6,246,180.09 6,249,662.00 3,481.91 170.80 (6,171.00) 1,582,700.00 1,582,700.00 0.00 0.00 0.00 1,582,700.00 0.00 1,582,700.00 0.00 5,312.50 3,829. 0,153.00 2 0.00 6,924.32 13,848.63 6.98 0.00 6,924.32 13,848.63 6.98 10 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE As of May 31, 2016 SAN RAFAEL Cusip Description Coupon Maturity Call date 5&P Moody Par value or Historical % Portfolio Market % Portfolio Effective date rating rating shares cost hist cost value mkt value dur (yrs) United States Treasury Note/Bond 912828VR8 USA TREASURY 0.625% 0.625 08/15/2016 AA+ Aaa 1,000,000.00 1,001,640.63 4.42 1,000,606.00 4.43 0.20 912828WF3 USA TREASURY 0.625% 0.625 11/15/2016 AA+ Aaa 1,000,000.00 999,765.63 4.41 1,000,341.00 4.43 0.46 9128285/0 USA TREASURY 0.875% 0.875 02/28/2017 AA+ Aaa 750,000.00 751,464.84 3.31 751,054.50 3.32 0.74 912828032 USA TREASURY 0.75% 0.750 03/15/2017 AA+ Aaa 500,000.00 499,453.13 2.20 500,200.00 2.21 0.78 912828WP1 USA TREASURY 0.875% 0.875 06/15/2017 AA+ Aaa 500,000.00 499,414.06 2.20 500,683.50 2.22 1.03 912828TM2 USA TREASURY 0.625% 0.625 08/31/2017 AA+ Aaa 1,000,000.00 994,921.88 4.39 998,164.00 4.42 1.24 912828G20 USA TREASURY 0.875% 0.875 11/15/2017 AA+ Aaa 500,000.00 500,625.00 2.21 500,449.00 2.22 1.45 912828UR9 USA TREASURY 0.75% 0.750 02/28/2018 AA+ Aaa 1,000,000.00 997,500.00 4.40 998,164.00 4.42 1.73 Issuer total 6,250,000.00 6,244,785.17 27.55 6,249,662.00 27.67 0.93 Federal Home Loan Banks 313380EC7 FEDERAL HOME LOAN 0.750 09/08/2017 AA+ Aaa 1,000,000.00 998,790.00 4.41 998,762.00 4.42 1.26 3130A5L56 FEDERAL HOME LOAN 0.900 10/27/2017 AA+ Aaa 1,000,000.00 999,070.00 4.41 1,000,480.00 4.43 1.39 3130A6D87 FEDERAL HOME LOAN 0.900 11/20/2017 AA+ Aaa 1,000,000.00 1,000,660.00 4.41 999,690.00 4.43 1.46 313378A43 FEDERAL HOME LOAN 1.375 03/09/2018 AA+ Aaa 1,000,000.00 1,007,970.00 4.45 1,007,748.00 4.46 1.74 Issuer total 4,000,000.00 4,006,490.00 17.67 4,006,680.00 17.74 1.46 Federal National Mortgage Association 3135GOCM3 FANNIE MAE 1.25% 1.250 09/28/2016 AA+ Aaa 1,000,000.00 1,014,450.00 4.48 1,002,453.00 4.44 0.32 3135GOZB2 FANNIE MAE 0.75% 0.750 04/20/2017 AA+ Aaa 500,000.00 496,725.00 2.19 499,963.50 2.21 0.88 3136GOZH7 FANNIE MAE 1.05% 1.050 09/05/2017 AA+ Aaa 1,000,000.00 1,005,150.00 4.43 1,002,270.00 4.44 1.25 Issuer total 2,500,000.00 2,516,325.00 11.10 2,504,686.50 11.09 0.80 Federal Home Loan Mortgage Corp 3137EADCO FREDDIEMAC1% 1.000 03/08/2017 AA+ Aaa 500,000.00 501,500.00 2.21 501,034.00 2.22 0.76 3137EADV8 FREDDIE MAC 0.75% 0.750 07/14/2017 AA+ Aaa 1,000,000.00 998,530.00 4.40 999,532.00 4.42 1.11 III GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL As of May 31, 2016 Cusip Description Coupon Maturity Call date S&P Moody Par value or Historical % Portfolio Market % Portfolio Effective date rating rating shares cost hist cost value mkt value dur (yrs) Federal Home Loan Mortgage Corp 3134G8NY1 FREDDIE MAC 1 % 1.000 03/23/2018 09/23/2016 AA+ Aaa 600,000.00 599,436.00 2.64 599,724.00 2.65 1.12 Issuer total 2,100,000.00 2,099,466.00 9.26 2,100,290.00 9.30 1.03 Federal Farm Credit Banks 3133EDDP4 FEDERAL FARM CREDIT 3133EDYQ9 FEDERAL FARM CREDIT 3133EEX62 FEDERAL FARM CREDIT Issuer total 0.520 0.750 0.800 06/17/2016 01/20/2017 06/16/2017 AA+ AA+ AA+ Aaa Aaa Aaa 500,000.00 500,000.00 1,000,000.00 2,000,000.00 500,670.00 500,000.00 999,770.00 2,000,440.00 2.21 2.21 4.41 8.82 500,060.00 500,005.00 1,000,090.00 2,000,155.00 2.21 2.21 4.43 8.85 0.04 0.45 1.03 0.64 Pt. San Assess District 888599LS PT. SAN ASSESS 5.250 09/02/2032 NR NR 1,582,700.00 1,582,700.00 6.98 1,582,700.00 7.01 11.04 Issuer total 1,582,700.00 1,582,700.00 6.98 1,582,700.00 7.01 11.04 International Business Machines Corp 4592000J4 IBM CORP 5.7% 5.700 09/14/2017 09/13/2017 AA- Aa3 500,000.00 568,635.00 2.51 529,595.50 2.34 1.24 Issuer total 500,000.00 568,635.00 2.51 529,595.50 2.34 1.24 General Electric Co 36962G51-13 GENERAL ELECTRIC CO 3.350 10/17/2016 AA+ Al 500,000.00 530,685.00 2.34 504,973.00 2.24 0.38 Issuer total 500,000.00 530,685.00 2.34 504,973.00 2.24 0.38 Wells Fargo Bank NA 94988J5A1 WELLS FARGO BANK NA 1.650 01/22/2018 AA- Aa2 500,000.00 501,930.00 2.21 502,954.50 2.23 1.61 Issuer total 500,000.00 501,930.00 2.21 502,954.50 2.23 1.61 John Deere Capital Corp 24422ERN1 JOHN DEERE CAPITAL 1.400 03/15/2017 A A2 500,000.00 504,785.00 2.23 502,193.00 2.22 0.78 Issuer total 500,000.00 504,785.00 2.23 502,193.00 2.22 0.78 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL As of May 31, 2016 Cusip Description Coupon Maturity Call date 5&P Moody Par value or Historical % Portfolio Market % Portfolio Effective date rating rating shares cost hist cost value mkt value dur (yrs) Toyota Motor Credit Corp 89233P5E2 TOYOTA MOTOR CREDIT 2.000 09/15/2016 AA- Aa3 500,000.00 513,850.00 2.27 502,019.00 2.22 0.29 Issuer total 500,000.00 513,850.00 2.27 502,019.00 2.22 0.29 Pfizer Inc 717081 D19 PFIZER INC 1.1 % 1.100 05/15/2017 AA Al 500,000.00 499,595.00 2.20 500,651.25 2.22 0.95 Issuer total 500,000.00 499,595.00 2.20 500,651.25 2.22 0.95 Rabobank 21687AHG1 CP RABOBANK 0.000 08/16/2016 A-1 P-1 500,000.00 497,871.94 2.20 499,392.56 2.21 0.21 Issuer total 500,000.00 497,871.94 2.20 499,392.56 2.21 0.21 Apple Inc 037833A19 APPLE INC 1%03/05/2018 1.000 05/03/2018 AA+ Aal 500,000.00 498,090.00 2.20 499,345.00 2.21 1.90 Issuer total 500,000.00 498,090.00 2.20 499,345.00 2.21 1.90 Cash and Cash Equivalents INVESTED CASH 0.000 103,308.09 103,308.09 0.46 103,308.09 0.46 0.00 Issuer total 103,308.09 103,308.09 0.46 103,308.09 0.46 0.00 13 TRANSACTION REPORT For the period May 1, 2016 - May 31, 2016 Trade date Cusip Transaction Sec type Description Settle date 05/03/2018 500,000.00 0.00 05/15/2017 05/03/2016 037833AJ9 Income Corporate Bonds APPLE INC 1%03/05/2018 05/03/2016 1,000,000.00 0.00 1112012017 1,000,000.00 05/15/2016 717081 DJ9 Income Corporate Bonds PFIZER INC 1.1% 15/05/2017 05/15/2016 05/15/2016 912828G20 Income Government Bonds USA TREASURY 0.875% 05/15/2016 05/15/2016 912828WF3 Income Government Bonds USA TREASURY 0.625% 05/15/2016 05/20/2016 3130A6D87 Income Government Agencies FEDERAL HOME LOAN BANK 05/20/2016 Maturity Par value or Realized 0.00 shares gain(loss) 05/03/2018 500,000.00 0.00 05/15/2017 500,000.00 0.00 11/15/2017 500,000.00 0.00 11/15/2016 1,000,000.00 0.00 1112012017 1,000,000.00 0.00 SAN RAFAEL Principal Interest Transaction total 0.00 2,500.00 2,500.00 0.00 2,750.00 2,750.00 0.00 2,187.50 2,187.50 0.00 3,125.00 3,125.00 0.00 4,500.00 4,500.00 14 ADDITIONAL INFORMATION As of May 31, 2016 SAN RAFAEL Past 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 get back 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 changes in 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 for your 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. This document 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 be duplicated, 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 clients Investment 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 Investor Services Corp. (CISC), Pareto New York LLC (PINY) 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 of skill 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 and CISCs 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 and these 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 the account, 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 2A of 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 general information 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 account should 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 will remain 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 be profitable or that future investment decisions will be profitable or will equal or exceed the past investment performance of the securities listed. 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. When Moodys, 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 of Moodys 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 an appropriate 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 the indices 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 note must 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 note must 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 note must 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. ADDITIONAL INFORMATION As of May 31, 2016 SAN RAFAEL Insight 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 reference the 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 York Mellon 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 and disclaims all expressed or implied warranties in connection therewith. © 2016 Insight Investment. All rights reserved. 16 SAN RAFAEL June 2016 3 A BNY MELLON COMPANY'"^ FOR PROFESSIONAL CLIENTS ONLY NOT TO BE DISTRIBUTED TO RETAIL CLIENTS THIS DOCUMENT SHOULD NOT BE REPRODUCED IN ANY FORM WITHOUT PRIOR WRITTEN APPROVAL Insight INVESTMENT Contents Fixed income market review Activity and performance summary Recap of securities held Maturity distribution of securities held Securities held GASB 40 - Deposit and investment risk disclosure 11 Securities purchased 14 Securities sold and matured 15 Transaction report I[. Additional information 17 FIXED INCOME MARKET REVIEW As of June 30, 2016 Chart 1: New and Existing Home Sales 05/31/2011 - 05/31 /2016 6.0 5.0 4.0 c 0 � 3.0 N 2.0 1.0 0.0 May -11 May -12 May -13 May -14 May -15 May -16 Existing Home Sales New Home Sales Source: Bloomberg Finance LP, May 31, 2016 Chart 2: Treasury Yield Curves 6/30/2015 - 6/30/2016 3.00% 2.50% 2.00% eA 1.50% w 1.00% 0.50% 0.00% SAN RAFAEL Economic Indicators & Monetary Policy: The final estimate of Gross Domestic Product (GDP) showed that the economy grew at a 1.1% rate during the first quarter of 2016. The report showed that consumer spending accelerated during the first quarter, while business investment lagged behind. The upward revision marks the second consecutive positive revision for the first quarter. On an annual basis, GDP growth was 2.1%. The Institute for Supply Management (ISM) indices were mixed in May. The ISM manufacturing index rose to 51.3 from 50.8, while the ISM non -manufacturing index fell to 52.9 from 55.7. Both indices however, indicate economic growth as levels exceeded 50. May was the weakest month for job creation in over five years as only 38,000 jobs were added to the workforce. The April jobs report was also revised downward to 123,000 from the original estimate of 160,000. The unemployment rate in May fell to 4.7% as the labor force participation rate dropped to 62.6%. Labor participation has now declined for two consecutive months after six months of growth. The unemployment rate remained at 9.7% and the wages increased slightly. Average hourly earnings grew 2.5% and 0.2% on a year -over -year and month -over -month basis. Inflation indicators were mixed in May and continue to remain below the 2% long-term goal of the Federal Reserve (Fed). The Producer Price Index (PPI) including food and energy grew 0.4% on a month -over -month basis, while the core PPI increased 0.3%. On an annual basis, headline PPI grew 1.2% while core PPI increased 0.8%. On the consumer side, the headline and core Consumer Price Index (CPI) both increased 0.2% on a month - over -month basis. Headline CPI grew 1.0% on a year -over -year basis, while core CPI was 2.2% higher. Existing home sales increased 1.8% in May after increasing 1.3% in April. New home sales however, retreated, falling 6.0% after a 12.3% increase in April. Home prices continue to rise across the United States, as the Case Shiller Index increased 5.4%. The Federal Open Markets Committee voted to maintain its Fed funds target rate at 0.25 - 0.50% at their June meeting. Fed governors indicated that the economy may warrant an 6/30/2016 interest rate increase at some point this summer, however the Fed meeting took place 6/30/2015 before the United Kingdom voted to exit the European Union, which led to market uncertainty. 3- 6 m 1 yr 2 yr 3 yr 4 yr 5 yr 6 yr 7 yr 8 yr 9 yr 10 yr Source: Bloomberg Finance LP, June 30, 2016. Past performance is no assurance of future returns. Please refer to the important disclosures at the back of this presentation. Yield Curve & Spreads: At the end of June, the 3 -month US Treasury bill yielded 0.26%, the 6 -month US Treasury bill yielded 0.35%, the 2 -year US Treasury note yielded 0.58%, the 5 -year US Treasury note yielded 0.99%, and the 10 -year US Treasury note yielded 1.44% (See Chart 2). ACTIVITY AND PERFORMANCE SUMMARY For the period June 1, 2016 - June 30, 2016 Amortized Cost Basis Activitv Summary Opening balance Income received Total receipts Expenses paid Total disbursements Interportfolio transfers Total Interportfolio transfers Realized gain (loss) Total amortization expense Total OID/MKT accretion income Return of capital Closing balance Ending fair value Unrealized gain (loss) Fed Funds Overnight Repo Merrill Lynch 3m US Treas Bill Merrill Lynch 6m US Treas Bill ML 1 Year US Treasury Note ML 2 Year US Treasury Note ML 5 Year US Treasury Note 22,575,044.89 * Six 7,402.43 month trailing 7,402.43 Realized 0.26 Commercial Paper (131.29) Corporate Bonds (131.29) Government Agencies 0.00 Government Bonds 0.00 Municipal/Provincial Bonds 0.18 Total 0.00 0.28 (4,786.83) 0.78 987.71 0.06 0.00 0.65 22,578,516.91 6,924.31 22,630,571.97 0.00 52,055.06 25,129.23 Comparative Rates of Return W * Twelve * Six * One month month trailing month trailing Realized 0.26 0.18 0.03 0.32 0.22 0.04 0.16 0.13 0.02 0.27 0.18 0.03 0.48 0.28 0.05 0.78 0.40 0.06 1.45 0.65 0.10 * rates reflected are cumulative SAN RAFAEL Detail of Amortized Cost Basis Return Interest Accretion Realized Total earned (amortization) gain (loss) income 0.00 337.79 0.00 337.79 6,525.03 (3,537.44) 0.00 2,987.59 7,978.41 (764.78) 0.00 7,213.63 3,701.48 165.31 0.00 3,866.79 6,924.31 0.00 0.00 6,924.31 25,129.23 (3,799.12) 0.00 21,330.11 Summary of Amortized Cost Basis Return for the Period Total portfolio Interest earned 25,129.23 Accretion (amortization) (3,799.12) Realized gain (loss) on sales 0.00 Total income on portfolio 21,330.11 Average daily amortized cost 22,576,848.12 Period return (%) 0.09 YTD return (%) 0.56 Weighted average final maturity in days 752 3 ACTIVITY AND PERFORMANCE SUMMARY For the period June 1, 2016 - June 30, 2016 Fair Value Basis Activitv Summary * Six Opening balance 22,588,605.40 Income received 7,402.43 Change in Total receipts 7,402.43 Expenses paid (131.29) 0.32 Total disbursements (131.29) Interportfolio transfers 0.00 0.15 Total Interportfolio transfers 0.00 Unrealized gain (loss) on security movements 0.00 Return of capital 0.00 Change in fair value for the period 34,695.43 Ending fair value 22,630,571.97 Fed Funds Overnight Repo Merrill Lynch 3m US Treas Bill Merrill Lynch 6m US Treas Bill ML 1 Year US Treasury Note ML US Treasury 1-3 ML US Treasury 1-5 Comparative Rates of Return W * Twelve * Six * One month month trailing month trailing Change in 0.26 0.18 0.03 0.32 0.22 0.04 0.19 0.15 0.04 0.52 0.41 0.12 0.59 0.65 0.24 1.31 1.43 0.60 2.43 2.39 0.97 * rates reflected are cumulative SAN RAFAEL Summary of Fair Value Basis Return for the Period Total portfolio Interest earned Detail of Fair Value Basis Return Change in fair value 34,695.43 Interest Change in Total 22,681,669.01 earned fair value income Commercial Paper 0.00 310.43 310.43 Corporate Bonds 6,525.03 83.25 6,608.28 Government Agencies 7,978.41 22,219.00 30,197.41 Government Bonds 3,701.48 12,082.75 15,784.23 Municipal/Provincial Bonds 6,924.31 0.00 6,924.31 Total 25,129.23 34,695.43 59,824.66 Summary of Fair Value Basis Return for the Period Total portfolio Interest earned 25,129.23 Change in fair value 34,695.43 Total income on portfolio 59,824.66 Average daily total value * 22,681,669.01 Period return (%) 0.26 YTD return (%) 1.01 Weighted average final maturity in days 752 * Total value equals market value and accrued interest RECAP OF SECURITIES HELD As of June 30, 2016 Portfolio diversification (%) Weighted Historical Amortized Fair value Unrealized average cost cost effective gain (loss) Cash and Cash Equivalents 110,082.23 110,082.23 110,082.23 0.00 Commercial Paper 497,871.94 499,470.80 499,702.99 232.19 Corporate Bonds 3,617,570.00 3,532,608.14 3,541,814.50 9,206.36 Government Agencies 10,622,548.00 10,607,310.34 10,634,527.50 27,217.16 Government Bonds 6,244,785.17 6,246,345.40 6,261,744.75 15,399.35 Municipal/Provincial Bonds 1,582,700.00 1,582,700.00 1,582,700.00 0.00 Portfolio diversification (%) Weighted Percent Weighted average of average final portfolio effective maturity (days) ■ Municipal/Provincial Bonds duration (years) 1 0.49 0.00 47 2.20 0.13 348 15.95 0.94 420 46.85 1.08 313 27.54 0.85 5,908 6.98 10.98 ■ Cash and Cash Equivalents 0.49 ■ Commercial Paper 2.20 ■ Corporate Bonds 15.95 ■ Government Agencies 46.85 ■ Government Bonds 27.54 ■ Municipal/Provincial Bonds 6.98 Total 100.00 SAN RAFAEL 5 MATURITY DISTRIBUTION OF SECURITIES HELD As of June 30, 2016 Maturity Under 90 days 90 to 179 days 180 days to 1 year 1 to 2 years 2 to 3 years 3 to 4 years 4 to 5 years Over 5 years 12.00 10.00 E E 8.00 N 0 U 6.00 U 0 4.00 = 2.00 NOR Maturity distribution ae J�ae`Cp oo- as o o �O Historic cost Percent 2,722,880.80 12.01 2,544,900.63 11.22 5,252,707.03 23.17 10,071,871.88 44.42 500,497.00 2.21 0.00 0.00 0.00 0.00 1,582,700.00 6.98 22,675,55734 100.00 SAN RAFAEL 6 � OJ SAN RAFAEL 6 SECURITIES HELD SAN RAFAEL As of June 30, 2016 Cusip/ Coupon Maturity/ Par value or Historical cost/ Amortized cost/ Fair value/ Unrealized Interest Interest Total Description Call date shares Accrued interest Accretion Change in fair gain received earned accrued Port purchased (amortization) value (loss) interest cost Cash and Cash Equivalents Cash and Cash Equivalents 0.000 110,082.23 110,082.23 110,082.23 110,082.23 0.00 0.00 0.00 0.00 0.49 0.00 0.00 0.00 Total Cash and Cash Equivalents 110,082.23 110,082.23 110,082.23 110,08 0.00 0.00 0.00 0.00 0.49 0.00 0.00 0.0 Commercial Paper 21687AHG1 0.000 08/16/2016 500,000.00 497,871.94 499,470.80 499,702.99 232.19 0.00 0.00 0.00 2.20 CP RABOBANK 0.00 337.79 310.43 INTERNATIONAL, UTRECHT 0% 16/08/2016 Total Commercial Paper 500,000.00 497,871.94 499,470.80 499,702.99 232.19 0.00 0.00 337.79 310.43 Corporate Bonds 89233P5E2 2.000 09/15/2016 500,000.00 513,850.00 501,293.59 501,212.50 (81.09) 0.00 805.56 2,916.67 2.27 TOYOTA MOTOR CREDIT CORP 0.00 (517.43) (806.50) 2% 15/09/2016 36962G51-13 3.350 10/17/2016 500,000.00 530,685.00 503,615.96 503,863.50 247.54 0.00 1,349.31 3,396.53 2.34 GENERAL ELECTRIC CO 3.35% 0.00 (1,013.83) (1,109.50) 17/10/2016 24422ERN1 1.400 03/15/2017 500,000.00 504,785.00 501,694.69 501,908.00 213.31 0.00 563.89 2,041.67 2.23 JOHN DEERE CAPITAL CORP 0.00 (199.37) (285.00) 1.4% 15/03/2017 717081 D.19 1.100 05/15/2017 500,000.00 499,595.00 499,852.34 501,152.50 1,300.16 0.00 443.06 687.50 2.20 PFIZER INC 1.1 % 15/05/2017 0.00 14.06 501.25 459200GJ4 5.700 09/14/2017 500,000.00 568,635.00 526,175.39 528,193.00 2,017.61 0.00 2,295.84 8,391.67 2.51 IBM CORP 5.7% 14/09/2017 09/13/2017 0.00 (1,809.36) (1,402.50) 94988J5A1 1.650 01/22/2018 500,000.00 501,930.00 501,547.30 504,254.50 2,707.20 0.00 664.59 3,460.42 2.21 WELLS FARGO BANK NA 1.65% 0.00 (82.60) 1,300.00 22/01/2018 SECURITIES HELD As of June 30, 2016 Cusip/ Coupon Maturity/ Par value or Historical cost/ Amortized cost/ Fair value/ Unrealized Interest Description Call date shares Accrued interest Accretion Change in fair gain received purchased (amortization) value (loss) Corporate Bonds 037833AJ9 1.000 05/03/2018 500,000.00 498,090.00 498,428.87 501,230.50 2,801.63 0.00 APPLE INC 1%03/05/2018 0.00 71.09 1,885.50 Total Corporate Bonds 3,500,000.00 3,617,570.00 3,532,608.14 3,541,814.50"MRO 0.00 0.00 (3,537.44) 83.25 Government Agencies 3135GOCM3 1.250 09/28/2016 1,000,000.00 1,014,450.00 1,001,408.19 1,001,981.00 572.81 0.00 FANNIE MAE 1.25%28/09/2016 0.00 (480.07) (472.00) 3133EDYQ9 0.750 01/20/2017 500,000.00 500,000.00 500,000.00 500,015.00 15.00 0.00 FEDERAL FARM CREDIT BANK 0.00 0.00 10.00 0.75% 20/01/2017 (CALLABLE 14/07/16) 3137EADC0 1.000 03/08/2017 500,000.00 501,500.00 500,349.95 501,639.50 1,289.55 0.00 FREDDIE MAC 1% 08/03/2017 0.00 (42.34) 605.50 3135GOZB2 0.750 04/20/2017 500,000.00 496,725.00 499,140.50 501,010.00 1,869.50 0.00 FANNIE MAE 0.75% 20/04/2017 0.00 88.92 1,046.50 3133EEX62 0.800 06/16/2017 1,000,000.00 999,770.00 999,889.78 1,001,651.00 1,761.22 4,000.00 FEDERAL FARM CREDIT BANK 0.00 9.56 1,561.00 0.8% 16/06/2017 3137EADV8 0.750 07/14/2017 1,000,000.00 998,530.00 999,266.96 1,001,487.00 2,220.04 0.00 FREDDIE MAC 0.75% 0.00 58.80 1,955.00 14/07/2017 3136GOZH7 1.050 09/05/2017 1,000,000.00 1,005,150.00 1,002,838.85 1,004,910.00 2,071.15 0.00 FANNIE MAE 1.05%05/09/2017 0.00 (200.38) 2,640.00 CALLABLE 313380EC7 0.750 09/08/2017 1,000,000.00 998,790.00 999,299.22 1,001,197.00 1,897.78 0.00 FEDERAL HOME LOAN BANK 0.00 49.13 2,435.00 0.75% 08/09/2017 SAN RAFAEL Interest Total % earned accrued Port interest cost 402.78 791.67 2.20 6,525.03 21,686.13 15.95 1,006.94 3,194.44 4.47 302.09 1,666.67 2.21 402.78 1,555.56 2.21 302.09 729.17 2.19 644.44 311.11 4.41 604.16 3,458.33 4.40 845.84 3,354.17 4.43 604.16 2,333.33 4.40 8 SECURITIES HELD SAN RAFAEL As of June 30, 2016 Cusip/ Coupon Maturity/ Par value or Historical cost/ Amortized cost/ Fair value/ Unrealized Interest Interest Total Description Call date shares Accrued interest Accretion Change in fair gain received earned accrued Port purchased (amortization) value (loss) interest cost Government Agencies 3130A51-56 0.900 10/27/2017 1,000,000.00 999,070.00 999,479.94 1,003,850.00 4,370.06 0.00 725.00 1,575.00 4.41 FEDERAL HOME LOAN BANK 0.00 32.71 3,370.00 0.9% 27/10/2017 3130A6D87 0.900 11/20/2017 1,000,000.00 1,000,660.00 1,000,406.91 1,003,540.00 3,133.09 0.00 725.00 1,000.00 4.41 FEDERAL HOME LOAN BANK 0.00 (24.41) 3,850.00 0.9% 2011112017 313378A43 1.375 03/09/2018 1,000,000.00 1,007,970.00 1,005,219.06 1,011,662.00 6,442.94 0.00 1,107.64 4,239.58 4.45 FEDERAL HOME LOAN BANK 0.00 (257.10) 3,914.00 1.375% 09/03/2018 3134G8NY1 1.000 03/23/2018 600,000.00 599,436.00 599,522.59 600,360.00 837.41 0.00 483.34 1,616.67 2.64 FREDDIE MAC 1% 23/03/2018 09/23/2016 0.00 22.99 636.00 (CALLABLE 23/09/16) 3133EGFQ3 0.875 09/14/2018 500,000.00 500,497.00 500,488.39 501,225.00 736.61 0.00 109.37 194.44 2.21 FEDERAL FARM CREDIT BANK (85.07) (8.61) 728.00 0.875% 14/09/2018 Total Government Agencies 10,600,000.00 10,622,548.00 10,607,310.34 10,634,527.50 27,217.16 4,000.00 7,862.85 25,228.47 46.85 (85.07) (750.80) 22,279.00 Government Bonds 912828VR8 0.625 08/15/2016 1,000,000.00 1,001,640.63 1,000,096.26 1,000,475.00 378.74 0.00 515.11 2,335.17 4.42 USA TREASURY 0.625% 0.00 (62.78) (131.00) 15/08/2016 912828WF3 0.625 11/15/2016 1,000,000.00 999,765.63 999,962.38 1,000,977.00 1,014.62 0.00 509.51 781.25 4.41 USA TREASURY 0.625% 0.00 8.19 636.00 15/11/2016 912828SJ0 0.875 02/28/2017 750,000.00 751,464.84 750,362.85 751,934.25 1,571.40 0.00 534.98 2,175.61 3.31 USA TREASURY 0.875% 0.00 (44.80) 879.75 28/02/2017 912828C32 0.750 03/15/2017 500,000.00 499,453.13 499,854.84 500,937.00 1,082.16 0.00 305.70 1,090.35 2.20 USA TREASURY 0.75% 0.00 16.88 737.00 15/03/2017 9 SECURITIES HELD SAN RAFAEL As of June 30, 2016 Cusip/ Coupon Maturity/ Par value or Historical cost/ Amortized cost/ Fair value/ Unrealized Interest Interest Total % Description Call date shares Accrued interest Accretion Change in fair gain received earned accrued Port purchased (amortization) value (loss) interest cost Government Bonds 912828WP1 0.875 06/15/2017 500,000.00 499,414.06 499,773.64 501,719.00 1,945.36 2,187.50 358.60 179.30 2.20 USA TREASURY 0.875% 0.00 19.40 1,035.50 15/06/2017 912828TM2 0.625 08/31/2017 1,000,000.00 994,921.88 997,637.96 1,000,898.00 3,260.04 0.00 509.51 2,072.01 4.39 USA TREASURY 0.625% 0.00 165.96 2,734.00 31/08/2017 912828G20 0.875 11/15/2017 500,000.00 500,625.00 500,367.26 502,070.50 1,703.24 0.00 356.66 546.88 2.21 USA TREASURY 0.875% 0.00 (21.90) 1,621.50 15/11/2017 912828UR9 0.750 02/28/2018 1,000,000.00 997,500.00 998,290.21 1,002,734.00 4,443.79 0.00 611.41 2,486.41 4.40 USA TREASURY 0.75% 0.00 84.36 4,570.00 28/02/2018 Municipal/Provincial Bonds 888599LS4 5.250 09/02/2032 PT. SAN ASSESS DISTRICT 5.25% 144A 02/09/2032 SANRAF$01 Total Municipal/Provincial Bonds 6,250,000.00 6,244,785.17 0.00 1,582,700.00 1,582,700.00 0.00 1,582,700.00 1,582,700.00 0.00 6,246,345.40 6,261,744.75 15,399.35 2,187.50 3,701.48 11,666.98 27.54 165.31 12,082.75 -006 1,582,700.00 1,582,700.00 0.00 0.00 6,924.31 20,772.94 6.98 0.00 0.00 1,582,700.00 0.00 1,582,700.00 0.00 0.00 6,924.31 20,772.94 6.98 10 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE As of June 30, 2016 SAN RAFAEL Cusip Description Coupon Maturity Call date 5&P Moody Par value or Historical % Portfolio Market % Portfolio Effective date rating rating shares cost hist cost value mkt value dur (yrs) United States Treasury Note/Bond 912828VR8 USA TREASURY 0.625% 0.625 08/15/2016 AA+ Aaa 1,000,000.00 1,001,640.63 4.42 1,000,475.00 4.42 0.12 912828WF3 USA TREASURY 0.625% 0.625 11/15/2016 AA+ Aaa 1,000,000.00 999,765.63 4.41 1,000,977.00 4.42 0.37 9128285/0 USA TREASURY 0.875% 0.875 02/28/2017 AA+ Aaa 750,000.00 751,464.84 3.31 751,934.25 3.32 0.66 912828032 USA TREASURY 0.75% 0.750 03/15/2017 AA+ Aaa 500,000.00 499,453.13 2.20 500,937.00 2.21 0.70 912828WP1 USA TREASURY 0.875% 0.875 06/15/2017 AA+ Aaa 500,000.00 499,414.06 2.20 501,719.00 2.22 0.95 912828TM2 USA TREASURY 0.625% 0.625 08/31/2017 AA+ Aaa 1,000,000.00 994,921.88 4.39 1,000,898.00 4.42 1.16 912828G20 USA TREASURY 0.875% 0.875 11/15/2017 AA+ Aaa 500,000.00 500,625.00 2.21 502,070.50 2.22 1.36 912828UR9 USA TREASURY 0.75% 0.750 02/28/2018 AA+ Aaa 1,000,000.00 997,500.00 4.40 1,002,734.00 4.43 1.65 Issuer total 6,250,000.00 6,244,785.17 27.54 6,261,744.75 27.67 0.85 Federal Home Loan Banks 313380EC7 FEDERAL HOME LOAN 0.750 09/08/2017 AA+ Aaa 1,000,000.00 998,790.00 4.40 1,001,197.00 4.42 1.18 3130A5L56 FEDERAL HOME LOAN 0.900 10/27/2017 AA+ Aaa 1,000,000.00 999,070.00 4.41 1,003,850.00 4.44 1.31 3130A6D87 FEDERAL HOME LOAN 0.900 11/20/2017 AA+ Aaa 1,000,000.00 1,000,660.00 4.41 1,003,540.00 4.43 1.38 313378A43 FEDERAL HOME LOAN 1.375 03/09/2018 AA+ Aaa 1,000,000.00 1,007,970.00 4.45 1,011,662.00 4.47 1.66 Issuer total 4,000,000.00 4,006,490.00 17.67 4,020,249.00 17.76 1.38 Federal National Mortgage Association 3135GOCM3 FANNIE MAE 1.25% 1.250 09/28/2016 AA+ Aaa 1,000,000.00 1,014,450.00 4.47 1,001,981.00 4.43 0.24 3135GOZB2 FANNIE MAE 0.75% 0.750 04/20/2017 AA+ Aaa 500,000.00 496,725.00 2.19 501,010.00 2.21 0.80 3136GOZH7 FANNIE MAE 1.05% 1.050 09/05/2017 AA+ Aaa 1,000,000.00 1,005,150.00 4.43 1,004,910.00 4.44 1.17 Issuer total 2,500,000.00 2,516,325.00 11.10 2,507,901.00 11.08 0.72 Federal Home Loan Mortgage Corp 3137EADCO FREDDIEMAC1% 1.000 03/08/2017 AA+ Aaa 500,000.00 501,500.00 2.21 501,639.50 2.22 0.68 3137EADV8 FREDDIE MAC 0.75% 0.750 07/14/2017 AA+ Aaa 1,000,000.00 998,530.00 4.40 1,001,487.00 4.43 1.03 iTi GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL As of June 30, 2016 Cusip Description Coupon Maturity Call date S&P Moody Par value or Historical % Portfolio Market % Portfolio Effective date rating rating shares cost hist cost value mkt value dur (yrs) Federal Home Loan Mortgage Corp 3134G8NY1 FREDDIE MAC 1 % 1.000 03/23/2018 09/23/2016 AA+ Aaa 600,000.00 599,436.00 2.64 600,360.00 2.65 0.81 Issuer total 2,100,000.00 2,099,466.00 9.26 2,103,486.50 9.29 0.88 Federal Farm Credit Banks 3133EDYQ9 FEDERAL FARM CREDIT 0.750 01/20/2017 3133EEX62 FEDERAL FARM CREDIT 0.800 06/16/2017 3133EGFQ3 FEDERAL FARM CREDIT 0.875 09/14/2018 Issuer total AA+ Aaa 500,000.00 500,000.00 2.21 500,015.00 AA+ Aaa 1,000,000.00 999,770.00 4.41 1,001,651.00 AA+ Aaa 500,000.00 500,497.00 2.21 501,225.00 2,000,000.00 2,000,267.00 8.82 2,002,891.00 2.21 0.38 4.43 0.95 2.21 2.18 8.85 1.12 Pt. San Assess District 888599LS4 PT. SAN ASSESS Issuer total 5.250 09/02/2032 NR NR 1,582,700.00 1,582,700.00 1,582,700.00 1,582,700.00 6.98 6.98 1,582,700.00 1,582,700.00 6.99 6.99 10.98 10.98 International Business Machines Corp 4592000J4 IBM CORP 5.7% 5.700 09/14/2017 09/13/2017 AA- Aa3 500,000.00 568,635.00 2.51 528,193.00 2.33 1.16 Issuer total 500,000.00 568,635.00 2.51 528,193.00 2.33 1.16 Wells Fargo Bank NA 94988J5A1 WELLS FARGO BANK NA 1.650 01/22/2018 AA- Aa2 500,000.00 501,930.00 2.21 504,254.50 2.23 1.53 Issuer total 500,000.00 501,930.00 2.21 504,254.50 2.23 1.53 General Electric Co 36962G51-13 GENERAL ELECTRIC CO 3.350 10/17/2016 AA+ Al 500,000.00 530,685.00 2.34 503,863.50 2.23 0.29 Issuer total 500,000.00 530,685.00 2.34 503,863.50 2.23 0.29 John Deere Capital Corp 24422ERN1 JOHN DEERE CAPITAL 1.400 03/15/2017 A A2 500,000.00 504,785.00 2.23 501,908.00 2.22 0.70 Issuer total 500,000.00 504,785.00 2.23 501,908.00 2.22 0.70 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL As of June 30, 2016 Cusip Description Coupon Maturity Call date 5&P Moody Par value or Historical % Portfolio Market % Portfolio Effective date rating rating shares cost hist cost value mkt value dur (yrs) Apple Inc 037833A19 APPLE INC 1%03/05/2018 1.000 05/03/2018 AA+ Aal 500,000.00 498,090.00 2.20 501,230.50 2.21 1.82 Issuer total 500,000.00 498,090.00 2.20 501,230.50 2.21 1.82 Toyota Motor Credit Corp 89233P5E2 TOYOTA MOTOR CREDIT 2.000 09/15/2016 AA- Aa3 500,000.00 513,850.00 2.27 501,212.50 2.21 0.21 Issuer total 500,000.00 513,850.00 2.27 501,212.50 2.21 0.21 Pfizer Inc 717081D19 PFIZER INC 1.1% 1.100 05/15/2017 AA Al 500,000.00 499,595.00 2.20 501,152.50 2.21 0.87 Issuer total 500,000.00 499,595.00 2.20 501,152.50 2.21 0.87 Rabobank 21687AHG1 CP RABOBANK Issuer 0.000 08/16/2016 A-1 P-1 500,000.00 497,871.94 2.20 499,702.99 2.21 0.13 total 500,000.00 497,871.94 2.20 499,702.99 2.21 0.13 Cash and Cash Equivalents INVESTED CASH 0.000 110,082.23 110,082.23 0.49 110,082.23 0.49 0.00 Issuer total 110,082.23 110,082.23 0.49 110,082.23 0.49 0.00 13 SECURITIES PURCHASED For the period June 1, 2016 - June 30, 2016 Cusip / Description / Broker Trade date Settle date Government Agencies 3133EGFQ3 06/17/2016 FEDERAL FARM CREDIT BANK 0.875% 14/09/2018 06/21/2016 THE BANK OF NEW YORK MELLON Total Government Agencies Grand tota Coupon Maturity/ Par value or Unit cost Call date shares 0.875 09/14/2018 SAN RAFAEL Principal Accrued cost interest purchased 500,000.00 100.10 (500,497.00) (85.07) 500,000.00 (500,497.00) (85.07) 14 SECURITIES SOLD AND MATURED For the period June 1, 2016 - June 30, 2016 Cusip/ Trade date Coupon Maturity/ Par value or Historical cost Amortized cost Description/ Settle date Call date shares at sale or maturity Broker (loss) /Accr (amort) Government Agencies 0.00 0.00 1,300.00 115.56 3133EDDP4 06/17/2016 0.520 (500,000.00) 500,670.00 500,000.00 FEDERAL FARM CR BKS 06/17/2016 (13.98) CONS SYSTEMWIDE BIDS .52% DUE 06-17-2016 Total (Government Agencies) (500,000.00) 500,670.00 500,000.00 (13.98) SAN RAFAEL Price Fair value at Realized Accrued Interest Interest sale or maturity / gain interest received earned Chg.in fair value (loss) sold 0.00 500,000.00 0.00 0.00 1,300.00 115.56 (60.00) 500,000.00 0.00 0.00 1,300.00 115.56 (60.00) 15 TRANSACTION REPORT For the period June 1, 2016 - June 30, 2016 Trade date Cusip Transaction Sec type Description Maturity Par value or Realized Principal Settle date shares gain(loss) 06/15/2016 912828WP1 Income Government Bonds USA TREASURY 0.875% 06/15/2017 500,000.00 0.00 0.00 06/15/2016 06/16/2016 3133EEX62 Income Government Agencies FEDERAL FARM CREDIT BANK 06/16/2017 1,000,000.00 0.00 0.00 06/16/2016 06/17/2016 3133EDDP4 Income Government Agencies FEDERAL FARM CR BKS CONS 06/17/2016 500,000.00 0.00 0.00 06/17/2016 06/17/2016 3133EDDP4 Capital Change Government Agencies FEDERAL FARM CR BKS CONS 06/17/2016 (500,000.00) 0.00 500,000.00 06/17/2016 06/17/2016 3133EGFQ3 Bought Government Agencies FEDERAL FARM CREDIT BANK 09/14/2018 500,000.00 0.00 (500,497.00) 06/21/2016 SAN RAFAEL Interest Transaction total 2,187.50 2,187.50 4,000.00 4,000.00 1,300.00 1,300.00 0.00 500,000.00 (85.07) (500,582.07) 16 ADDITIONAL INFORMATION As of June 30, 2016 SAN RAFAEL Past 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 get back 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 changes in 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 for your 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. This document 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 be duplicated, 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 clients Investment 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 Investor Services Corp. (CISC), Pareto New York LLC (PINY) 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 of skill 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 and CISCs 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 and these 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 the account, 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 2A of 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 general information 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 account should 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 will remain 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 be profitable or that future investment decisions will be profitable or will equal or exceed the past investment performance of the securities listed. 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. When Moodys, 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 of Moodys 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 an appropriate 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 the indices 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 note must 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 note must 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 note must 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. ADDITIONAL INFORMATION As of June 30, 2016 SAN RAFAEL Insight 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 reference the 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 York Mellon 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 and disclaims all expressed or implied warranties in connection therewith. © 2016 Insight Investment. All rights reserved. 18 ROUTING SLIP / APPROVAL FORM INSTRUCTIONS: Use this cover sheet with each submittal of a staff report before approval by the City Council. Save staff report (including this cover sheet) along with all related attachments in the Team Drive (T:) --> CITY COUNCIL AGENDA ITEMS 4 AGENDA ITEM APPROVAL PROCESS 4 [DEPT - AGENDA TOPIC] Agenda Item # Date of Meeting: 8/1/2016 From: Mark Moses/Van Bach Department: Finance Date: 7/22/2016 Topic: CITY -QUARTERLY INVESTMENT REPORT Subject: CITY -QUARTERLY INVESTMENT REPORT Type: ❑ Resolution ❑ Ordinance ❑ Professional Services Agreement ❑ Other: APPROVALS ® Finance Director Remarks: Ready for City Manager's approval ® City Attorney Remarks: ® Author, review and accept City Attorney / Finance changes Remarks: N/A ® City Manager Remarks: