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Fin CC Quarterly Report 2016.03
SAN RAFAE L Agenda Item No: 2.h _ THE CITY WITH A MISSION Meeting Date: November 7, 2016 SAN RAFAEL CITY COUNCIL AGENDA REPORT Department: FINANCE -, P Prepared by: Van Bach City Manager Approval: Accounting Manager SUBJECT: QUARTERLY INVESTMENT REPORT RECOMMENDATION: ACCEPT INVESTMENT REPORT FOR THE QUARTER ENDING SEPTEMBER 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, Insight Investment. ANALYSIS: As of September 30, 2016, the primary LAIF account had a balance of $23,951,309. The other LAIF account containing housing funds for future administrative expenses contained $144,322. Portfolio returns on LAIF deposits were 0.61 % for the quarter. The remaining investment assets included the $1,520,800 balance of Pt. San Pedro Assessment District bonds, and $23,014,457 in government agency securities and corporate bonds (including T -Note, Walt Disney Co., FHLMC, FNMA, Gen.Elec.Cap, IBM Corp and Apple Inc.). The overall portfolio return for the quarter ended September 30, 2016 was 0.89%. The City's Westamerica account had a balance of $8,265,396 at quarter end. Exhibit A is composed of two parts the Quarterly Investment Portfolio Report and Historical Activity By Quarter summarizing the City's investments for the quarter ended September 30, 2016 as well as the three monthly investment reports from Insight Investment. FOR CITY CLERK ONLY File No.: 8-18 x 8-9 Council Meeting: 11/07/2016 Disposition: Accepted Report SAN RAFAEL CITY COUNCIL AGENDA REPORT / Paee: 2 FISCAL IMPACT: No financial impact occurs by adopting the report. The City continues to meet the priority principles of investing - safety, liquidity and yield in respective order. The portfolio remains conservatively invested. Sufficient liquidity exists to meet daily operating and capital project requirements for the next six months. Operating funds, as defined for this report, exclude cash held with fiscal agents for the payment of bond principal and interest. OPTIONS/ACTION REQUIRED: The City Council should adopt the report as presented in order to satisfy current State Investment Code requirements and City policy. ATTACHMENTS: Insight Statements July through September 2016 Quarterly Investment Portfolio Report Historical Activity by Quarter Report 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 SAN RAFAEL July 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 July 31, 2016 Chart 1: Gross Domestic Product 06/30/2006-06/30/2016 10.0 - 8.0 - 6.0 - 0�0 4.0 - 5 2.0 A u'\0.0 °' -2.0 - a 4.0 - -6.0 - -8.0 - -10.0 Jun -06 Jun -07 Jun -08 Jun -09 Jun -10 Jun -11 Jun -12 Jun -13 Jun -14 Jun -15 Jun -16 Source: Bloomberg Finance LP, June 30, 2016. Chart 2: Treasury Yield Curves 7/31/2015-7/31/2016 3.00% 2.50% 2.00% 00 �a c (D 1.50% L a 1.00% 0.50% - u.uui 3 m 6m 1 yr 2 yr 3 yr 4 yr 5 yr 6 yr 7 yr 8 yr 9 yr 10 yr Source: Bloomberg Finance LP, July 31, 2016. SAN RAFAEL Economic Indicators & Monetary Policv; The initial reading of the Gross Domestic Product (GDP) for the second quarter of 2016 was released on Friday July 29th. Economists had estimated that GDP had grown 2.5% in the second quarter but the first estimate on the quarter's growth was a mere 1.2%. Household consumption, which makes up 70% of GDP, jumped to a 4.2% annualized rate. This added 2.8% to the total growth number, which was the largest contribution since the end of 2014. However, both fixed investment and inventories, driven by the business sector, dropped substantially. Fixed investment dropped by 3.2%, the most in seven years, and inventories were reduced by $8.1 billion, the largest decrease since the end of 2011. Government spending also shrank by 0.9%, the most in two years. The report also showed that inflationary pressures remain moderate. The June non-farm payroll report showed a massive increase in new jobs, which were up 287,000 from May. Economists had estimated that the report would show an increase of only 175,000 new jobs. Most analysts expected an increase from the very weak May numbers, but none had predicted anything close to the actual report. The unemployment rate rose slightly to 4.9%, up from 4.8%. Average hourly earnings grew at just 0.1 %, down from the 0.3% growth in May. The average work week remained the same at 34.4 hours. Labor participation rose slightly in June to 62.7% from 62.6%, breaking a streak of two monthly declines. 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 1.9% in June after increasing 1.8% in May. The 5.57 million annualized rate in June was the highest since February 2007. New home sales jumped to the highest level since February 2008, with an increase of 3.5% to an annualized pace of 592,000. Home prices continue to rise across the United States, as the Case Shiller Index increased 5.2%. The Federal Open Markets Committee voted to maintain its fed funds target rate at 0.25-0.50% at their July meeting. Fed governors indicated that the economy may warrant an interest rate increase at some point this year. Yield Curve & Soreads: At the end of July, the 3 -month US Treasury bill yielded 0.26%, the 6 -month US Treasury bill yielded 0.38%, the 2 -year US Treasury note yielded 0.68%, the 5 - year US Treasury note yielded 1.06%, and the 10 -year US Treasury note yielded 1.50% (See Chart 2). ACTIVITY AND PERFORMANCE SUMMARY For the period July 1, 2016 - July 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 22,578,516.91 * Six 9,589.58 month trailing 9,589.58 Realized 0.28 Commercial Paper (131.55) Corporate Bonds (131.55) Government Agencies 0.00 Government Bonds 0.00 Municipal/Provincial Bonds 0.18 Total 0.00 0.28 (4,787.26) 0.78 1,009.03 0.06 0.00 0.61 22,584,196.71 6,924.31 22,623,312.01 0.00 39,115.30 26,389.10 Comparative Rates of Return W * Twelve * Six * One month month trailing month trailing Realized 0.28 0.19 0.03 0.35 0.22 0.04 0.18 0.13 0.02 0.29 0.18 0.03 0.50 0.28 0.04 0.78 0.38 0.06 1.40 0.61 0.09 * rates reflected are cumulative SAN RAFAEL Detail of Amortized Cost Basis Return Interest Accretion Realized Total earned (amortization) gain (loss) income 0.00 349.05 0.00 349.05 6,974.97 (3,537.43) 0.00 3,437.54 8,664.92 (760.65) 0.00 7,904.27 3,824.90 170.80 0.00 3,995.70 6,924.31 0.00 0.00 6,924.31 26,389.10 (3,778.23) 0.00 22,610.87 Summary of Amortized Cost Basis Return for the Period Total portfolio Interest earned 26,389.10 Accretion (amortization) (3,778.23) Realized gain (loss) on sales 0.00 Total income on portfolio 22,610.87 Average daily amortized cost 22,580,703.00 Period return (%) 0.10 YTD return (%) 0.66 Weighted average final maturity in days 721 ACTIVITY AND PERFORMANCE SUMMARY For the period July 1, 2016 - July 31, 2016 Fair Value Basis Activitv Summary * Twelve Opening balance 22,630,571.97 Income received 9,589.58 month trailing Total receipts 9,589.58 Expenses paid (131.55) 0.28 Total disbursements (131.55) Interportfolio transfers 0.00 0.35 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 (16,717.99) Ending fair value 22,623,312.01 Comparative Rates of Return W * rates reflected are cumulative SAN RAFAEL * Twelve * Six * One month Interest month trailing month trailing 22,709,315.08 Fed Funds 0.28 0.19 0.03 Overnight Repo 0.35 0.22 0.04 Merrill Lynch 3m US Treas Bill 0.22 0.17 0.03 Merrill Lynch 6m US Treas Bill 0.56 0.36 0.04 ML 1 Year US Treasury Note 0.56 0.44 (0.01) ML US Treasury 1-3 1.20 0.76 (0.06) ML US Treasury 1-5 2.19 1.25 (0.04) * 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 (16,717.99) Interest Change in Total 22,709,315.08 earned fair value income Commercial Paper 0.00 195.01 195.01 Corporate Bonds 6,974.97 (4,595.00) 2,379.97 Government Agencies 8,664.92 (8,508.00) 156.92 Government Bonds 3,824.90 (3,810.00) 14.90 Municipal/Provincial Bonds 6,924.31 0.00 6,924.31 Total 26,389.10 (16,717.99) 9,671.11 Summary of Fair Value Basis Return for the Period Total portfolio Interest earned 26,389.10 Change in fair value (16,717.99) Total income on portfolio 9,671.11 Average daily total value * 22,709,315.08 Period return (%) 0.04 YTD return (%) 1.05 Weighted average final maturity in days 721 * Total value equals market value and accrued interest 5 RECAP OF SECURITIES HELD As of July 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 119,540.26 119,540.26 119,540.26 0.00 1 0.53 0.00 Commercial Paper 497,871.94 499,819.85 499,898.00 78.15 16 2.19 0.05 Corporate Bonds 3,617,570.00 3,529,070.71 3,537,219.50 8,148.79 317 15.95 0.86 Government Agencies 10,622,548.00 10,606,549.69 10,626,019.50 19,469.81 389 46.83 1.00 Government Bonds 6,244,785.17 6,246,516.20 6,257,934.75 11,418.55 282 27.53 0.77 Municipal/Provincial Bonds 1,582,700.00 1,582,700.00 1,582,700.00 0.00 5,877 6.98 10.88 22,685,015.37 22,584,196.71 22,623,312.01 39,115.30 K --M 721 100.00 Portfolio diversification (%) ■ Cash and Cash Equivalents 0.53 ■ Commercial Paper 2.19 ■ Corporate Bonds 15.95 ■ Government Agencies 46.83 ■ Government Bonds 27.53 ■ Municipal/Provincial Bonds 6.98 Total 100.00 SAN RAFAEL 61 MATURITY DISTRIBUTION OF SECURITIES HELD As of July 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 owl E 8.00 E V 6.00 O L 4.00 8 T = 2.00 NOR Maturity distribution ae J�ae`CO C§�-as o o �O Historic cost Percent 4,277,473.83 18.86 1,499,765.63 6.61 5,751,237.03 25.35 9,073,341.88 40.00 500,497.00 2.21 0.00 0.00 0.00 0.00 1,582,700.00 6.98 100.00 SAN RAFAEL 7 � OJ SAN RAFAEL 7 SECURITIES HELD SAN RAFAEL As of July 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 Corporate Bonds purchased (amortization) value (loss) interest cost Cash and Cash Equivalents 89233P5E2 2.000 09/15/2016 500,000.00 513,850.00 500,776.15 500,752.00 (24.15) 0.00 Cash and Cash Equivalents 0.000 119,540.26 119,540.26 119,540.26 119,540.26 0.00 0.00 0.00 0.00 0.53 0.00 0.00 0.00 Total Cash and Cash Equivalents 119,540.26 119,540.26 119,540.26 11 0.00 0.00 0.00 0.00 0.53 502,602.14 502,829.50 0.00 0.00 0.00 4,838.89 2.34 GENERAL ELECTRIC CO 3.35% Commercial Paper (1,013.82) (1,034.00) 17/10/2016 21687AHG1 0.000 08/16/2016 500,000.00 497,871.94 499,819.85 499,898.00 78.15 0.00 0.00 0.00 2.19 CP RABOBANK 500,000.00 0.00 349.05 195.01 394.69 0.00 602.77 2,644.44 2.23 INTERNATIONAL, UTRECHT 0% 16/08/2016 Total Commercial Paper 500,000.00 497,871.94 499,898.00 78.15 0.00 0.00 195.01 Corporate Bonds 89233P5E2 2.000 09/15/2016 500,000.00 513,850.00 500,776.15 500,752.00 (24.15) 0.00 861.11 3,777.78 2.27 TOYOTA MOTOR CREDIT CORP 0.00 (517.44) (460.50) 2% 15/09/2016 36962G51-13 3.350 10/17/2016 500,000.00 530,685.00 502,602.14 502,829.50 227.36 0.00 1,442.36 4,838.89 2.34 GENERAL ELECTRIC CO 3.35% 0.00 (1,013.82) (1,034.00) 17/10/2016 24422ERN1 1.400 03/15/2017 500,000.00 504,785.00 501,495.31 501,890.00 394.69 0.00 602.77 2,644.44 2.23 JOHN DEERE CAPITAL CORP 0.00 (199.38) (18.00) 1.4% 15/03/2017 717081 D.19 1.100 05/15/2017 500,000.00 499,595.00 499,866.41 500,397.00 530.59 0.00 473.61 1,161.11 2.20 PFIZER INC 1.1 % 15/05/2017 0.00 14.07 (755.50) 459200GJ4 5.700 09/14/2017 500,000.00 568,635.00 524,366.03 526,728.50 2,362.47 0.00 2,454.16 10,845.83 2.51 IBM CORP 5.7% 14/09/2017 09/13/2017 0.00 (1,809.36) (1,464.50) 94988J5A1 1.650 01/22/2018 500,000.00 501,930.00 501,464.71 503,735.50 2,270.79 3,964.58 710.41 206.25 2.21 WELLS FARGO BANK NA 1.65% 0.00 (82.59) (519.00) 22/01/2018 8 SECURITIES HELD As of July 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 500,000.00 498,090.00 498,499.96 500,887.00 2,387.04 0.00 APPLE INC 1%03/05/2018 0.00 71.09 (343.50) Total Corporate Bonds 3,500,000.00 3,617,570.00 3,529,070.71 3,537,219.50 8,148.79 3,964.58 0.00 (3,537.43) (4,595.00) Government Agencies 3135GOCM3 1.250 09/28/2016 1,000,000.00 1,014,450.00 1,000,928.13 1,001,307.00 378.87 0.00 FANNIE MAE 1.25%28/09/2016 0.00 (480.06) (674.00) 3133EDYQ9 0.750 01/20/2017 500,000.00 500,000.00 500,000.00 500,005.00 5.00 1,875.00 FEDERAL FARM CREDIT BANK 0.00 0.00 (10.00) 0.75% 20/01/2017 (CALLABLE 11/08/16) 3137EADC0 1.000 03/08/2017 500,000.00 501,500.00 500,307.62 501,417.50 1,109.88 0.00 FREDDIE MAC 1% 08/03/2017 0.00 (42.33) (222.00) 3135GOZB2 0.750 04/20/2017 500,000.00 496,725.00 499,229.41 500,614.00 1,384.59 0.00 FANNIE MAE 0.75%20/04/2017 0.00 88.91 (396.00) 3133EEX62 0.800 06/16/2017 1,000,000.00 999,770.00 999,899.34 1,001,502.00 1,602.66 0.00 FEDERAL FARM CREDIT BANK 0.00 9.56 (149.00) 0.8% 16/06/2017 3137EADV8 0.750 07/14/2017 1,000,000.00 998,530.00 999,325.76 1,001,124.00 1,798.24 3,750.00 FREDDIE MAC 0.75% 0.00 58.80 (363.00) 14/07/2017 3136GOZH7 1.050 09/05/2017 1,000,000.00 1,005,150.00 1,002,638.46 1,004,020.00 1,381.54 0.00 FANNIE MAE 1.05%05/09/2017 0.00 (200.39) (890.00) CALLABLE 313380EC7 0.750 09/08/2017 1,000,000.00 998,790.00 999,348.34 1,000,931.00 1,582.66 0.00 FEDERAL HOME LOAN BANK 0.00 49.12 (266.00) 0.75% 08/09/2017 SAN RAFAEL Interest Total % earned accrued Port interest cost 430.55 1,222.22 2.20 6,974.97 1,076.39 4,270.83 4.47 322.91 114.58 2.20 430.55 1,986.11 2.21 322.91 1,052.08 2.19 688.89 1,000.00 4.41 645.84 354.17 4.40 904.16 4,258.33 4.43 645.84 2,979.17 4.40 9 SECURITIES HELD SAN RAFAEL As of July 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 3130A51-56 0.900 10/27/2017 1,000,000.00 999,070.00 999,512.65 1,002,640.00 3,127.35 0.00 775.00 2,350.00 4.40 FEDERAL HOME LOAN BANK 0.00 32.71 (1,210.00) 0.9% 27/10/2017 3130A6D87 0.900 11/20/2017 1,000,000.00 1,000,660.00 1,000,382.49 1,002,170.00 1,787.51 0.00 775.00 1,775.00 4.41 FEDERAL HOME LOAN BANK 0.00 (24.42) (1,370.00) 0.9% 2011112017 313378A43 1.375 03/09/2018 1,000,000.00 1,007,970.00 1,004,961.97 1,009,292.00 4,330.03 0.00 1,184.03 5,423.61 4.44 FEDERAL HOME LOAN BANK 0.00 (257.09) (2,370.00) 1.375% 09/03/2018 3134G8NY1 1.000 03/23/2018 600,000.00 599,436.00 599,545.58 600,192.00 646.42 0.00 516.66 2,133.33 2.64 FREDDIE MAC 1% 23/03/2018 09/23/2016 0.00 22.99 (168.00) (CALLABLE 23/09/16) 3133EGFQ3 0.875 09/14/2018 500,000.00 500,497.00 500,469.94 500,805.00 335.06 0.00 376.74 571.18 2.21 FEDERAL FARM CREDIT BANK 0.00 (18.45) (420.00) 0.875% 14/09/2018 Total Government Agencies 10,600,000.00 10,622,548.00 10,606,549.69 10,626,019.50 19,469.81 5,625.00 8,664.92 28,268.39 46.83 0.00 (760.65) (8,508.00) Government Bonds 912828VR8 0.625 08/15/2016 1,000,000.00 1,001,640.63 1,000,031.39 1,000,167.00 135.61 0.00 532.28 2,867.45 4.42 USA TREASURY 0.625% 0.00 (64.87) (308.00) 15/08/2016 912828WF3 0.625 11/15/2016 1,000,000.00 999,765.63 999,970.82 1,000,877.00 906.18 0.00 526.50 1,307.75 4.41 USA TREASURY 0.625% 0.00 8.44 (100.00) 15/11/2016 912828SJ0 0.875 02/28/2017 750,000.00 751,464.84 750,316.56 751,767.75 1,451.19 0.00 552.82 2,728.43 3.31 USA TREASURY 0.875% 0.00 (46.29) (166.50) 28/02/2017 912828C32 0.750 03/15/2017 500,000.00 499,453.13 499,872.28 500,826.50 954.22 0.00 315.90 1,406.25 2.20 USA TREASURY 0.75% 0.00 17.44 (110.50) 15/03/2017 10 SECURITIES HELD SAN RAFAEL As of July 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 500,000.00 499,414.06 499,793.69 501,289.00 1,495.31 0.00 370.56 549.86 2.20 USA TREASURY 0.875% 0.00 20.05 (430.00) 15/06/2017 912828TM2 0.625 08/31/2017 1,000,000.00 994,921.88 997,809.44 1,000,039.00 2,229.56 0.00 526.50 2,598.51 4.39 USA TREASURY 0.625% 0.00 171.48 (859.00) 3110812017 912828G20 0.875 11/15/2017 500,000.00 500,625.00 500,344.63 501,523.50 1,178.87 0.00 368.54 915.42 2.21 USA TREASURY 0.875% 0.00 (22.63) (547.00) 15/11/2017 912828UR9 0.750 02/28/2018 1,000,000.00 997,500.00 998,377.39 1,001,445.00 3,067.61 0.00 631.80 3,118.21 4.40 USA TREASURY 0.75% 0.00 87.18 (1,289.00) 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 6,246,516.20 6,257,934.75 11,418.55 0.00 170.80 (3,810.00) 1,582,700.00 1,582,700.00 1,582,700.00 1,582,700.00 0.00 0.00 0.00 0.00 1,582,700.00 1,582,700.00 0.00 1,582,700.00 0.00 1,582,700.00 0.00 0.00 3,824.90 15,491.88 27.53 0.00 6,924.31 27,697.25 6.98 0.00 6,924.31 27,697.25 6.98 III GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE As of July 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 1,000,167.00 4.42 0.04 912828WF3 USA TREASURY 0.625% 0.625 11/15/2016 AA+ Aaa 1,000,000.00 999,765.63 4.41 1,000,877.00 4.42 0.29 9128285/0 USA TREASURY 0.875% 0.875 02/28/2017 AA+ Aaa 750,000.00 751,464.84 3.31 751,767.75 3.32 0.58 912828032 USA TREASURY 0.75% 0.750 03/15/2017 AA+ Aaa 500,000.00 499,453.13 2.20 500,826.50 2.21 0.62 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 0.87 912828TM2 USA TREASURY 0.625% 0.625 08/31/2017 AA+ Aaa 1,000,000.00 994,921.88 4.39 1,000,039.00 4.42 1.08 912828G20 USA TREASURY 0.875% 0.875 11/15/2017 AA+ Aaa 500,000.00 500,625.00 2.21 501,523.50 2.22 1.29 912828UR9 USA TREASURY 0.75% 0.750 02/28/2018 AA+ Aaa 1,000,000.00 997,500.00 4.40 1,001,445.00 4.43 1.57 Issuer total 6,250,000.00 6,244,785.17 27.53 6,257,934.75 27.66 0.77 Federal Home Loan Banks 313380EC7 FEDERAL HOME LOAN 0.750 09/08/2017 AA+ Aaa 1,000,000.00 998,790.00 4.40 1,000,931.00 4.42 1.10 3130A5L56 FEDERAL HOME LOAN 0.900 10/27/2017 AA+ Aaa 1,000,000.00 999,070.00 4.40 1,002,640.00 4.43 1.23 3130A6D87 FEDERAL HOME LOAN 0.900 11/20/2017 AA+ Aaa 1,000,000.00 1,000,660.00 4.41 1,002,170.00 4.43 1.30 313378A43 FEDERAL HOME LOAN 1.375 03/09/2018 AA+ Aaa 1,000,000.00 1,007,970.00 4.44 1,009,292.00 4.46 1.58 Issuer total 4,000,000.00 4,006,490.00 17.66 4,015,033.00 17.75 1.30 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 1,001,307.00 4.43 0.16 3135GOZB2 FANNIE MAE 0.75% 0.750 04/20/2017 AA+ Aaa 500,000.00 496,725.00 2.19 500,614.00 2.21 0.72 3136GOZH7 FANNIE MAE 1.05% 1.050 09/05/2017 AA+ Aaa 1,000,000.00 1,005,150.00 4.43 1,004,020.00 4.44 1.09 Issuer total 2,500,000.00 2,516,325.00 11.09 2,505,941.00 11.08 0.64 Federal Home Loan Mortgage Corp 3137EADCO FREDDIEMAC1% 1.000 03/08/2017 AA+ Aaa 500,000.00 501,500.00 2.21 501,417.50 2.22 0.60 3137EADV8 FREDDIE MAC 0.75% 0.750 07/14/2017 AA+ Aaa 1,000,000.00 998,530.00 4.40 1,001,124.00 4.43 0.95 IT, GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE As of July 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) Federal Home Loan Mortgage Corp 3134G8NY1 FREDDIEMAC1% 1.000 03/23/2018 09/23/2016 AA+ Aaa 600,000.00 599,436.00 2.64 600,192.00 2.65 0.78 Issuer total 2,100,000.00 2,099,466.00 9.25 2,102,733.50 9.29 0.82 Federal Farm Credit Banks 3133EDYQ9 FEDERAL FARM CREDIT 0.750 01/20/2017 AA+ Aaa 500,000.00 500,000.00 2.20 500,005.00 2.21 0.34 3133EEX62 FEDERAL FARM CREDIT 0.800 06/16/2017 AA+ Aaa 1,000,000.00 999,770.00 4.41 1,001,502.00 4.43 0.87 3133EGFQ3 FEDERAL FARM CREDIT 0.875 09/14/2018 AA+ Aaa 500,000.00 500,497.00 2.21 500,805.00 2.21 2.10 Issuer total 2,000,000.00 2,000,267.00 8.82 2,002,312.00 8.85 1.05 Pt. San Assess 888599LS4 PT. SAN ASSESS 5.250 09/02/2032 NR NR 1,582,700.00 1,582,700.00 6.98 1,582,700.00 7.00 10.88 Issuer total 1,582,700.00 1,582,700.00 6.98 1,582,700.00 7.00 10.88 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 2.51 526,728.50 2.33 1.08 Issuer total 500,000.00 568,635.00 2.51 526,728.50 2.33 1.08 Wells Fargo Bank NA 94988J5A1 WELLS FARGO BANK NA 1.650 01/22/2018 AA- Aa2 500,000.00 501,930.00 2.21 503,735.50 2.23 1.46 Issuer total 500,000.00 501,930.00 2.21 503,735.50 2.23 1.46 General Electric Co 36962G51-13 GENERAL ELECTRIC CO 3.350 10/17/2016 AA+ Al 500,000.00 530,685.00 2.34 502,829.50 2.22 0.22 Issuer total 500,000.00 530,685.00 2.34 502,829.50 2.22 0.22 John Deere Capital Corp 24422ERN1 JOHN DEERE CAPITAL 1.400 03/15/2017 A A2 500,000.00 504,785.00 2.23 501,890.00 2.22 0.62 Issuer total 500,000.00 504,785.00 2.23 501,890.00 2.22 0.62 13 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL As of July 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) Apple Inc 037833A19 APPLE INC 1%03/05/2018 1.000 05/03/2018 AA+ Aal 500,000.00 498,090.00 2.20 500,887.00 2.21 1.74 Issuer total 500,000.00 498,090.00 2.20 500,887.00 2.21 1.74 Toyota Motor Credit Corp 89233P5E2 TOYOTA MOTOR CREDIT 2.000 09/15/2016 AA- Aa3 500,000.00 513,850.00 2.27 500,752.00 2.21 0.13 Issuer total 500,000.00 513,850.00 2.27 500,752.00 2.21 0.13 Pfizer Inc 717081 D19 PFIZER INC 1.1 % 1.100 05/15/2017 AA Al 500,000.00 499,595.00 2.20 500,397.00 2.21 0.79 Issuer total 500,000.00 499,595.00 2.20 500,397.00 2.21 0.79 Rabobank 21687AHG1 CP RABOBANK 0.000 08/16/2016 A-1 P-1 500,000.00 497,871.94 2.19 499,898.00 2.21 0.05 Issuer total 500,000.00 497,871.94 2.19 499,898.00 2.21 0.05 Cash and Cash Equivalents INVESTED CASH 0.000 119,540.26 119,540.26 0.53 119,540.26 0.53 0.00 Issuer total 119,540.26 119,540.26 0.53 119,540.26 0.53 0.00 14 TRANSACTION REPORT For the period July 1, 2016 - July 31, 2016 Trade date Cusip Transaction Sec type Settle date 3,964.58 shares gain(loss) 07/14/2016 3137EADV8 Income Government Agencies 07/14/2016 01/20/2017 500,000.00 0.00 07/20/2016 3133EDYQ9 Income Government Agencies 07/20/2016 07/22/2016 94988J5A1 Income Corporate Bonds 07/22/2016 Description Maturity Par value or Realized 0.00 3,964.58 3,964.58 shares gain(loss) FREDDIE MAC 0.75% 07/14/2017 1,000,000.00 0.00 FEDERAL FARM CREDIT BANK 01/20/2017 500,000.00 0.00 WELLS FARGO BANK NA 1.65% 01/22/2018 500,000.00 0.00 SAN RAFAEL Principal Interest Transaction total 0.00 3,750.00 3,750.00 0.00 1,875.00 1,875.00 0.00 3,964.58 3,964.58 15 ADDITIONAL INFORMATION As of July 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 July 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. 17 SAN RAFAEL August 2016 > 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 Securities purchased 15 Securities sold and matured 16 Transaction report 17 Additional information 18 FIXED INCOME MARKET REVIEW As of August 31, 2016 Chart 1: Institute of Supply Management 08/2011 — 08/2016 70.0 - 65.0 - 60.0 X -6 55.0 - A s 50.0 ^ v v 0 45.0 :Mils 35.0 - 30.0 Aug -11 Aug -12 Aug -13 Aug -14 Manufacturing Source: Bloomberg Finance LP, August 31, 2016. Chart 2: Treasury Yield Curves 8/31/2015 — 8/31/2016 3.00% - 2.50% 2.00% 1.50% U a 1.00% 0.50% SAN RAFAEL Economic Indicators & Monetary Policv Payrolls increased by 151,000 in August, short of expectations for an increase of 180,000 jobs. The August job gains of 151,000 were less than the June and July readings of 292,000 and 275,000 jobs added respectively. August has been a difficult month to estimate in each of the last five years. This may be due to the low response rate in August which leads to subsequent adjustments. The low response rate is primarily due to a large number of vacations during the month and the seasonal adjustment that comes with the start of the new school year. The August unemployment rate held steady at 4.9% for the third straight month and the participation rate remained the same at 62.8%. The participation rate measures the Aug -15 Aug -16 number of people of working age who are either employed or looking for work. The underemployment rate was 9.7%, unchanged from July. 0.00% e— . 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, August 31, 2015, August 31, 2016. The Institute for Supply Management (ISM) reported that manufacturing unexpectedly dropped in August (see Chart 1). The manufacturing index was expected to be 52.0 but came in at 49.4. A reading below 50 indicates a contracting economic environment. The decline in the ISM manufacturing index was the largest since January of 2014 and the first reading below 50 in the last six months. The ISM manufacturing index was 53.2 in June and it was 52.6 in July. The second revision to second quarter GDP was released at the end of August. The original reading of 1.2% grown was revised downward slightly to 1.1%. Personal consumption, however, was revised upward to 4.4% from the original release of 4.2%. Strength in consumer spending was off -set by decreases in corporate outlays and government expenditures. Yield Curve & Spreads At the end of August, the 3 -month US Treasury bill yielded 0.%, the 6 -month US Treasury bill yielded 0.46%, the 2 -year US Treasury note yielded 0.81 %, the 5 -year US Treasury note yielded 1.20%, and the 10 -year US Treasury note yielded 1.58% (see Chart 2). 3 ACTIVITY AND PERFORMANCE SUMMARY For the period August 1, 2016 - August 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 22,584,196.71 0.19 4,509.04 0.23 4,509.04 0.13 0.31 Commercial Paper (131.50) Corporate Bonds (131.50) Government Agencies 1,945,160.00 Government Bonds 1,945,160.00 Municipal/Provincial Bonds (3,812.23) Total 0.00 10,138.91 (5,704.43) 0.00 840.14 3,550.15 0.00 0.00 24,528,869.96 6,924.31 24,540,771.52 0.00 11, 901.56 28,144.62 Comparative Rates of Return 1%) * Twelve * Six month trailing month trailing 0.30 0.19 0.37 0.23 0.20 0.13 0.31 0.18 0.52 0.29 0.78 0.38 1.37 0.61 * rates reflected are cumulative SAN RAFAEL Detail of Amortized Cost Basis Return Summary of Amortized Cost Basis Return for the Period Interest Accretion Realized Total earned (amortization) gain (loss) income 0.00 180.15 0.00 180.15 7,531.25 (3,812.23) 0.00 3,719.02 10,138.91 (1,436.51) 0.00 8,702.40 3,550.15 204.30 0.00 3,754.45 6,924.31 0.00 0.00 6,924.31 28,144.62 (4,864.29) 0.00 23,280.33 4 Summary of Amortized Cost Basis Return for the Period * One month Total portfolio 0.03 Interest earned 28,144.62 0.04 Accretion (amortization) (4,864.29) 0.02 Realized gain (loss) on sales 0.00 0.03 Total income on portfolio 23,280.33 0.05 Average daily amortized cost 24,020,015.00 0.05 0.10 Period return 1%) 0.10 YTD return (%) 0.76 Weighted average final maturity in days 783 4 ACTIVITY AND PERFORMANCE SUMMARY For the period August 1, 2016 - August 31, 2016 Fair Value Basis Activitv Summary * Twelve Opening balance 22,623,312.01 Income received 4,509.04 month trailing Total receipts 4,509.04 Expenses paid (131.50) 0.30 Total disbursements (131.50) I nterportfol i o transfers 1,945,160.00 0.37 Total Interportfolio transfers 1,945,160.00 Unrealized gain (loss) on security movements 0.00 Return of capital 0.00 Change in fair value for the period (32,078.03) Ending fair value 24,540,771.52 Comparative Rates of Return W * rates reflected are cumulative SAN RAFAEL * Twelve * Six * One month Interest month trailing month trailing 24,159,616.40 Fed Funds 0.30 0.19 0.03 Overnight Repo 0.37 0.23 0.04 Merrill Lynch 3m US Treas Bill 0.23 0.17 0.02 Merrill Lynch 6m US Treas Bill 0.56 0.33 0.01 ML 1 Year US Treasury Note 0.56 0.42 (0.01) ML US Treasury 1-3 1.07 0.48 (0.17) ML US Treasury 1-5 1.89 0.69 (0.31) * 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 (32,078.03) Interest Change in Total 24,159,616.40 earned fair value income Commercial Paper 0.00 102.00 102.00 Corporate Bonds 7,531.25 (8,420.25) (889.00) Government Agencies 10,138.91 (19,255.78) (9,116.87) Government Bonds 3,550.15 (4,504.00) (953.85) Municipal/Provincial Bonds 6,924.31 0.00 6,924.31 Total 28,144.62 (32,078.03) (3,933.41) Summary of Fair Value Basis Return for the Period Total portfolio Interest earned 28,144.62 Change in fair value (32,078.03) Total income on portfolio (3,933.41) Average daily total value * 24,159,616.40 Period return (%) (0.02) YTD return (%) 1.04 Weighted average final maturity in days 783 * Total value equals market value and accrued interest 5 RECAP OF SECURITIES HELD As of August 31, 2016 Portfolio diversification (%) ■ Cash and Cash Equivalents Historical Amortized Fair value Unrealized Weighted Percent Weighted ■ Municipal/Provincial Bonds cost cost 100.00 gain (loss) average of average final portfolio effective maturity (days) duration (years) Cash and Cash Equivalents 32,073.52 32,073.52 32,073.52 0.00 1 0.13 0.00 Corporate Bonds 4,627,350.00 4,535,038.48 4,538,579.25 3,540.77 390 18.78 1.04 Government Agencies 13,149,772.28 13,132,337.46 13,133,988.00 1,650.54 505 53.38 1.32 Government Bonds 5,243,144.54 5,246,720.50 5,253,430.75 6,710.25 302 21.28 0.82 Municipal/Provincial Bonds 1,582,700.00 1,582,700.00 1,582,700.00 0.00 5,846 6.42 11.05 24,635,040.34 1 24,528,869.96 24,540,771.52 11,901.56 Portfolio diversification (%) ■ Cash and Cash Equivalents 0.13 ■ Corporate Bonds 18.78 ■ Government Agencies 53.38 ■ Government Bonds 21.28 ■ Municipal/Provincial Bonds 6.42 Total 100.00 SAN RAFAEL 6 MATURITY DISTRIBUTION OF SECURITIES HELD As of August 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 owl E 8.00 E V 6.00 O L 4.00 8 T = 2.00 0.00 ooaa�� c J ae C§ .-o Maturity distribution �11 o�e�`� ti Historic cost 3,690,260.15 0.00 5,751,237.03 9,573,696.88 4,037,146.28 0.00 0.00 1,582,700.00 Percent 14.98 0.00 23.35 38.86 16.39 0.00 0.00 6.43 SAN RAFAEL � OJ Percent 14.98 0.00 23.35 38.86 16.39 0.00 0.00 6.43 SAN RAFAEL SECURITIES HELD SAN RAFAEL As of August 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 32,073.52 32,073.52 32,073.52 32,073.52 0.00 0.00 0.00 0.00 0.13 0.00 0.00 0.00 Total Cash and Cash Equivalents 32,073.52 32,073.52 32,073.52 32,073.52 0.00 0.00 0.00 0.00 0.13 0.00 0.00 0.00 Corporate Bonds 89233P5E2 2.000 09/15/2016 500,000.00 513,850.00 500,258.72 500,155.00 (103.72) 0.00 833.33 4,611.11 2.09 TOYOTA MOTOR CREDIT CORP 0.00 (517.43) (597.00) 2% 15/09/2016 36962G51-13 3.350 10/17/2016 500,000.00 530,685.00 501,588.32 501,559.00 (29.32) 0.00 1,395.83 6,234.72 2.15 GENERAL ELECTRIC CO 3.35% 0.00 (1,013.82) (1,270.50) 17/10/2016 24422ERN1 1.400 03/15/2017 500,000.00 504,785.00 501,295.94 501,362.00 66.06 0.00 583.34 3,227.78 2.05 JOHN DEERE CAPITAL CORP 0.00 (199.37) (528.00) 1.4% 15/03/2017 717081DJ9 1.100 05/15/2017 500,000.00 499,595.00 499,880.47 500,454.75 574.28 0.00 458.33 1,619.44 2.03 PFIZER INC 1.1 % 15/05/2017 0.00 14.06 57.75 459200GJ4 5.700 09/14/2017 500,000.00 568,635.00 522,556.67 524,039.50 1,482.83 0.00 2,375.00 13,220.83 2.31 IBM CORP 5.7% 14/09/2017 09/13/2017 0.00 (1,809.36) (2,689.00) 94988J5A1 1.650 01/22/2018 500,000.00 501,930.00 501,382.11 502,973.00 1,590.89 0.00 687.50 893.75 2.04 WELLS FARGO BANK NA 1.65% 0.00 (82.60) (762.50) 22/01/2018 037833AJ9 1.000 05/03/2018 500,000.00 498,090.00 498,571.05 499,916.50 1,345.45 0.00 416.67 1,638.89 2.02 APPLE INC 1%03/05/2018 0.00 71.09 (970.50) 084670BX5 1.150 08/15/2018 500,000.00 500,355.00 500,345.21 500,390.00 44.79 0.00 239.59 255.56 2.03 BERKSHIRE HATHAWAY INC (15.97) (9.79) 35.00 1.15% 15/08/2018 8 SECURITIES HELD As of August 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 91159HHE3 1.950 11/15/2018 500,000.00 509,425.00 509,159.99 507,729.50 (1,430.49) 0.00 US BANCORP 1.95% 10/15/2018 (2,329.17) (265.01) (1,695.50) 15/11/2018 (CALLABLE 15/10/18) Iota[ Corporate Bonds4,500,000.00 4,627,350.00 4,535,038.48 4,538,579.25 3,540.77 (2,345.14) (3,812.23) (8,420.25) jjjljp0.00 Government Agencies 3135GOCM3 1.250 09/28/2016 1,000,000.00 1,014,450.00 1,000,448.06 1,000,671.00 222.94 0.00 FANNIE MAE 1.25%28/09/2016 0.00 (480.07) (636.00) 3137EADCO 1.000 03/08/2017 500,000.00 501,500.00 500,265.29 501,074.50 809.21 0.00 FREDDIE MAC 1% 08/03/2017 0.00 (42.33) (343.00) 3135GOZB2 0.750 04/20/2017 500,000.00 496,725.00 499,318.33 500,494.50 1,176.17 0.00 FANNIE MAE 0.75%20/04/2017 0.00 88.92 (119.50) 3133EEX62 0.800 06/16/2017 1,000,000.00 999,770.00 999,908.89 1,000,808.00 899.11 0.00 FEDERAL FARM CREDIT BANK 0.00 9.55 (694.00) 0.8% 16/06/2017 3137EADV8 0.750 07/14/2017 1,000,000.00 998,530.00 999,384.56 1,000,491.00 1,106.44 0.00 FREDDIE MAC 0.75% 0.00 58.80 (633.00) 14/07/2017 3136GOZH7 1.050 09/05/2017 1,000,000.00 1,005,150.00 1,002,438.07 1,002,000.00 (438.07) 0.00 FANNIE MAE 1.05%05/09/2017 0.00 (200.39) (2,020.00) CALLABLE 313380EC7 0.750 09/08/2017 1,000,000.00 998,790.00 999,397.46 1,000,119.00 721.54 0.00 FEDERAL HOME LOAN BANK 0.00 49.12 (812.00) 0.75% 08/09/2017 3130A51-56 0.900 10/27/2017 1,000,000.00 999,070.00 999,545.36 1,000,620.00 1,074.64 0.00 FEDERAL HOME LOAN BANK 0.00 32.71 (2,020.00) 0.9% 27/10/2017 SAN RAFAEL Interest Total earned accrued Port interest cost 541.66 2,870.83 2.07 7,531.25 34,572.91 18.78 1,041.67 5,312.50 4.12 416.67 2,402.78 2.04 312.50 1,364.58 2.02 666.67 1,666.67 4.06 625.00 979.17 4.05 875.00 5,133.33 4.08 625.00 3,604.17 4.05 750.00 3,100.00 4.06 9 SECURITIES HELD SAN RAFAEL As of August 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 313OA6D87 0.900 11/20/2017 1,000,000.00 1,000,660.00 1,000,358.08 1,000,080.00 (278.08) 0.00 750.00 2,525.00 4.06 FEDERAL HOME LOAN BANK 0.00 (24.41) (2,090.00) 0.9% 20/11/2017 313378A43 1.375 03/09/2018 1,000,000.00 1,007,970.00 1,004,704.87 1,007,289.00 2,584.13 0.00 1,145.83 6,569.44 4.09 FEDERAL HOME LOAN BANK 0.00 (257.10) (2,003.00) 1.375% 09/03/2018 3134G8NY1 1.000 03/23/2018 600,000.00 599,436.00 599,568.57 600,036.00 467.43 0.00 500.00 2,633.33 2.43 FREDDIE MAC 1% 23/03/2018 09/23/2016 0.00 22.99 (156.00) (CALLABLE 23/09/16) 3133EGFQ3 0.875 09/14/2018 500,000.00 500,497.00 500,451.48 499,460.00 (991.48) 0.00 364.58 935.76 2.03 FEDERAL FARM CREDIT BANK 0.00 (18.46) (1,345.00) 0.875% 14/09/2018 3135GOH63 1.375 01/28/2019 1,000,000.00 1,012,490.00 1,012,167.59 1,010,153.00 (2,014.59) 0.00 802.09 1,260.42 4.11 FANNIE MAE 1.375% (458.33) (322.41) (2,337.00) 2810112019 3133782M2 1.500 03/08/2019 1,000,000.00 1,014,124.28 1,013,775.35 1,012,202.00 (1,573.35) 0.00 875.00 7,208.33 4.12 FEDERAL HOME LOAN BANK (6,333.33) (348.93) (1,922.28) 1.5% 08/03/2019 3133EGSCO 1.000 08/26/2019 1,000,000.00 1,000,610.00 1,000,605.50 998,490.00 (2,115.50) 0.00 138.89 138.89 4.06 FEDERAL FARM CREDIT BANK 0.00 (4.50) (2,120.00) 1% 26/08/2019 Total Government Agencies 13,100,000.00 13,149,772.28 13,132,337.46 13,133,988.00 1,650.54 0.00 Government Bonds 912828WF3 USA TREASURY 0.625% 15/11/2016 912828SJO USA TREASURY 0.875% 28/02/2017 0.625 11/15/2016 1,000,000.00 0.875 02/28/2017 750,000.00 (6,791.66) (1,436.51) (19,250.78) 999,765.63 999,979.28 1,000,600.00 620.72 0.00 526.49 1,834.24 4.06 0.00 8.46 (277.00) 751,464.84 750,270.27 751,308.75 1,038.48 3,281.25 552.82 0.00 3.05 0.00 (46.29) (459.00) 10 SECURITIES HELD SAN RAFAEL As of August 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 912828C32 0.750 03/15/2017 500,000.00 499,453.13 499,889.73 500,566.50 676.77 0.00 315.90 1,722.15 2.03 USA TREASURY 0.75% 0.00 17.45 (260.00) 15/03/2017 912828WP1 0.875 06/15/2017 500,000.00 499,414.06 499,813.74 500,935.50 1,121.76 0.00 370.56 920.42 2.03 USA TREASURY 0.875% 0.00 20.05 (353.50) 15/06/2017 912828TM2 0.625 08/31/2017 1,000,000.00 994,921.88 997,980.92 999,375.00 1,394.08 3,125.00 526.49 0.00 4.04 USA TREASURY 0.625% 0.00 171.48 (664.00) 31/08/2017 912828G20 0.875 11/15/2017 500,000.00 500,625.00 500,321.99 500,918.00 596.01 0.00 368.55 1,283.97 2.03 USA TREASURY 0.875% 0.00 (22.64) (605.50) 15/11/2017 912828UR9 0.750 02/28/2018 1,000,000.00 997,500.00 998,464.57 999,727.00 1,262.43 3,750.00 631.79 0.00 4.05 USA TREASURY 0.75% 0.00 87.18 (1,718.00) 28/02/2018 Total Government Bonds 5,250,000.00 5,243,144.54 5,246,720.50 5,253,430.75 6,710.25 10,156.25 3,292.60 5,760.78 21.28 Municipal/Provincial Bonds 888599LS4 5.250 09/02/2032 1,582,700.00 PT. SAN ASSESS DISTRICT 5.25% 144A 02/09/2032 SANRAF$01 Total Municipal/Provincial Bonds 1,582,700.0 0.00 235.69 (4,337.00) 1,582,700.00 1,582,700.00 1,582,700.00 0.00 0.00 6,924.31 34,621.56 6.42 0.00 0.00 0.00 0 1,582,700.00 1,582,700. 1,582,70000 0.00 0.00 Nor 34,621.56 6.42 III GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE As of August 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 912828WF3 USA TREASURY 0.625% 0.625 11/15/2016 AA+ Aaa 1,000,000.00 999,765.63 4.06 1,000,600.00 4.08 0.20 9128285 0 USA TREASURY 0.875% 0.875 02/28/2017 AA+ Aaa 750,000.00 751,464.84 3.05 751,308.75 3.06 0.49 912828032 USA TREASURY 0.75% 0.750 03/15/2017 AA+ Aaa 500,000.00 499,453.13 2.03 500,566.50 2.04 0.53 912828WP1 USA TREASURY 0.875% 0.875 06/15/2017 AA+ Aaa 500,000.00 499,414.06 2.03 500,935.50 2.04 0.78 912828TM2 USA TREASURY 0.625% 0.625 08/31/2017 AA+ Aaa 1,000,000.00 994,921.88 4.04 999,375.00 4.07 0.99 912828G20 USA TREASURY 0.875% 0.875 11/15/2017 AA+ Aaa 500,000.00 500,625.00 2.03 500,918.00 2.04 1.19 912828UR9 USA TREASURY 0.75% 0.750 02/28/2018 AA+ Aaa 1,000,000.00 997,500.00 4.05 999,727.00 4.07 1.48 Issuer total 5,250,000.00 5,243,144.54 21.28 5,253,430.75 21.41 0.82 Federal Home Loan Banks 313380EC7 FEDERAL HOME LOAN 0.750 09/08/2017 AA+ Aaa 1,000,000.00 998,790.00 4.05 1,000,119.00 4.08 1.01 3130A5L56 FEDERAL HOME LOAN 0.900 10/27/2017 AA+ Aaa 1,000,000.00 999,070.00 4.06 1,000,620.00 4.08 1.14 3130A6D87 FEDERAL HOME LOAN 0.900 11/20/2017 AA+ Aaa 1,000,000.00 1,000,660.00 4.06 1,000,080.00 4.08 1.21 313378A43 FEDERAL HOME LOAN 1.375 03/09/2018 AA+ Aaa 1,000,000.00 1,007,970.00 4.09 1,007,289.00 4.10 1.49 3133782M2 FEDERAL HOME LOAN 1.500 03/08/2019 AA+ Aaa 1,000,000.00 1,014,124.28 4.12 1,012,202.00 4.12 2.45 Issuer total 5,000,000.00 5,020,614.28 20.38 5,020,310.00 20.46 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 4.12 1,000,671.00 4.08 0.07 3135GOZB2 FANNIE MAE 0.75% 0.750 04/20/2017 AA+ Aaa 500,000.00 496,725.00 2.02 500,494.50 2.04 0.63 3136GOZH7 FANNIE MAE 1.05% 1.050 09/05/2017 AA+ Aaa 1,000,000.00 1,005,150.00 4.08 1,002,000.00 4.08 1.00 3135GOH63 FANNIE MAE 1.375% 1.375 01/28/2019 AA+ Aaa 1,000,000.00 1,012,490.00 4.11 1,010,153.00 4.12 2.36 Issuer total 3,500,000.00 3,528,815.00 14.32 3,513,318.50 14.32 1.07 Federal Farm Credit Banks 3133EEX62 FEDERAL FARM CREDIT 0.800 06/16/2017 AA+ Aaa 1,000,000.00 999,770.00 4.06 1,000,808.00 4.08 0.78 IT, GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL As of August 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) Federal Farm Credit Banks 3133EGFQ3 FEDERAL FARM CREDIT 0.875 09/14/2018 AA+ Aaa 500,000.00 500,497.00 2.03 499,460.00 2.04 2.01 3133EGSCO FEDERAL FARM CREDIT 1.000 08/26/2019 AA+ Aaa 1,000,000.00 1,000,610.00 4.06 998,490.00 4.07 2.93 Issuer total 2,500,000.00 2,500,877.00 10.15 2,498,758.00 10.18 1.89 Federal Home Loan Mortgage Corp 3137EADCO FREDDIEMAC1% 1.000 03/08/2017 AA+ Aaa 500,000.00 501,500.00 2.04 501,074.50 2.04 0.51 3137EADV8 FREDDIE MAC 0.75% 0.750 07/14/2017 AA+ Aaa 1,000,000.00 998,530.00 4.05 1,000,491.00 4.08 0.86 3134G8NY1 FREDDIEMAC1% 1.000 03/23/2018 09/23/2016 AA+ Aaa 600,000.00 599,436.00 2.43 600,036.00 2.45 0.74 Issuer total 2,100,000.00 2,099,466.00 8.52 2,101,601.50 8.56 0.74 Pt. San Assess District 888599LS4 PT, SAN ASSESS 5.250 09/02/2032 NR NR 1,582,700.00 1,582,700.00 6.42 1,582,700.00 6.45 11.05 Issuer total 1,582,700.00 1,582,700.00 6.42 1,582,700.00 6.45 11.05 International Business Machines Corp 45920oGJ4 IBM CORP 5.7% 5.700 09/14/2017 09/13/2017 AA- Aa3 500,000.00 568,635.00 2.31 524,039.50 2.14 0.99 Issuer total 500,000.00 568,635.00 2.31 524,039.50 2.14 0.99 US Bancorp 91159HHE3 US BANCORP 1.95% 1.950 11/15/2018 10/15/2018 A+ Al 500,000.00 509,425.00 2.07 507,729.50 2.07 2.09 Issuer total 500,000.00 509,425.00 2.07 507,729.50 2.07 2.09 Wells Fargo Bank NA 94988J5A1 WELLS FARGO BANK NA 1.650 01/22/2018 AA- Aa2 500,000.00 501,930.00 2.04 502,973.00 2.05 1.37 Issuer total 500,000.00 501,930.00 2.04 502,973.00 2.05 1.37 13 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL As of August 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) General Electric Co 36962G5H3 GENERAL ELECTRIC CO 3.350 10/17/2016 AA+ Al 500,000.00 530,685.00 2.15 501,559.00 2.04 0.12 Issuer total 500,000.00 530,685.00 2.15 501,559.00 2.04 0.12 John Deere Capital Corp 24422ERN1 JOHN DEERE CAPITAL 1.400 03/15/2017 A A2 500,000.00 504,785.00 2.05 501,362.00 2.04 0.53 Issuer total 500,000.00 504,785.00 2.05 501,362.00 2.04 0.53 Pfizer Inc 717081DJ9 PFIZER INC 1.1% 1.100 05/15/2017 AA Al 500,000.00 499,595.00 2.03 500,454.75 2.04 0.69 Issuer total 500,000.00 499,595.00 2.03 500,454.75 2.04 0.69 Berkshire Hathaway Inc 0846706x5 BERKSHIRE HATHAWAY 1.150 08/15/2018 AA Aa2 500,000.00 500,355.00 2.03 500,390.00 2.04 1.93 Issuer total 500,000.00 500,355.00 2.03 500,390.00 2.04 1.93 Toyota Motor Credit Corp 89233P5E2 TOYOTA MOTOR CREDIT 2.000 09/15/2016 AA- Aa3 500,000.00 513,850.00 2.09 500,155.00 2.04 0.04 Issuer total 500,000.00 513,850.00 2.09 500,155.00 2.04 0.04 Apple Inc 037833AJ9 APPLE INC 1%03/05/2018 1.000 05/03/2018 AA+ Aal 500,000.00 498,090.00 2.02 499,916.50 2.04 1.64 Issuer total 500,000.00 498,090.00 2.02 499,916.50 2.04 1.64 Cash and Cash Equivalents INVESTED CASH 0.000 32,073.52 32,073.52 0.13 32,073.52 0.13 0.00 Issuer total 32,073.52 32,073.52 0.13 32,073.52 0.13 0.00 Grand total 24,464,773.52 24,635,040.34 100.00 24,540,771.52 100.00 1.78 14 SECURITIES PURCHASED For the period August 1, 2016 - August 31, 2016 Cusip / Description / Broker Trade date 500,000.00 Settle date Corporate Bonds 91159HHE3 08/08/2016 US BANCORP 1.95% 15/11/2018 (CALLABLE 15/10/18) 08/11/2016 BARCLAYS CAPITAL 08/15/2018 084670BX5 08/11/2016 BERKSHIRE HATHAWAY INC 1.15% 15/08/2018 08/16/2016 GOLDMAN, SACHS AND CO. Total Corporate Bonds 1.375 Government Agencies 1,000,000.00 3135GOH63 08/08/2016 FANNIE MAE 1.375%28/01/2019 08/10/2016 WELLS FARGO SECURITIES INTL LTD 101.41 3133782M2 08/08/2016 FEDERAL HOME LOAN BANK 1.5%08/03/2019 08/10/2016 BMO CAPITAL MARKETS LIMITED (1,000,610.00) 3133EGSCO 08/23/2016 FEDERAL FARM CREDIT BANK 1% 26/08/2019 08/26/2016 WELLS FARGO SECURITIES INTL LTD Total Government Agencies Coupon Maturity/ Par value or Unit cost Call date shares SAN RAFAEL Principal Accrued cost interest purchased 1.950 11/15/2018 500,000.00 101.89 (509,425.00) 10/15/2018 1.150 08/15/2018 500,000.00 100.07 (500,355.00) w 1,000,000.00 (1,009,780.00) 1.375 01/28/2019 1,000,000.00 101.25 (1,012,490.00) 1.500 03/08/2019 1,000,000.00 101.41 (1,014,124.28) 1000 08/26/2019 1,000,000.00 100.06 (1,000,610.00) (3,027,224.28) (2,329.17) (15.97) M (458.33) (6,333.33) 0=1 (6,791.66) 15 SECURITIES SOLD AND MATURED SAN RAFAEL For the period August 1, 2016 - August 31, 2016 Cusip/ Trade date Coupon Maturity/ Par value or Historical cost Amortized cost Price Fair value at Realized Accrued Interest Interest Description/ Settle date Call date shares at sale or maturity sale or maturity / gain interest received earned Broker /Accr (amort) Chg.in fair value (loss) sold Commercial Paper 21687AHG1 08/16/2016 0.000 (500,000.00) 497,871.94 500,000.00 0.00 500,000.00 0.00 0.00 0.00 0.00 RABOBANK NEDERLAND 08/16/2016 180.15 102.00 CPN 08-16-2016 Total (Commercial Paper) (500,000.00) 497,871.94 500,000.00 500,000.00 0.00 0.00 0.00 0.00 180.15 102.00 Government Agencies 3133EDYQ9 08/25/2016 0.750 (500,000.00) 500,000.00 500,000.00 0.00 500,000.00 0.00 0.00 364.59 250.01 FEDERAL FARM CREDIT 08/25/2016 0.00 (5.00) BANK 0.75% 20/01/2017 CALLABLE Total (Government Agencies) (500,000.00) 500,000.00 500,000.00 500,000.00 0.00 0.00 364.59 250.01 0.00 (5.00) Government Bonds 912828VR8 08/15/2016 0.625 (1,000,000.00) 1,001,640.63 1,000,000.00 0.00 1,000,000.00 0.00 0.00 3,125.00 257.55 UNITED STATES TREAS NTS 08/15/2016 (31.39) (167.00) DTD 00472.625% DUE 08-15-2016 REG Total (Government Bonds) (1,000,000.00) 1,001,640.63 1,000,000.00 1,000,000.00 0.00 0.00 3,125.00 257.55 16 TRANSACTION REPORT For the period August 1, 2016 - August 31, 2016 Trade date Cusip Transaction Sec type Description Maturity Par value or Realized Principal Settle date shares gain(loss) 08/08/2016 3133782M2 Bought Government Agencies FEDERAL HOME LOAN BANK 03/08/2019 1,000,000.00 0.00 (1,014,124.28) 08/10/2016 08/08/2016 3135GOH63 Bought Government Agencies FANNIE MAE 1.375% 01/28/2019 1,000,000.00 0.00 (1,012,490.00) 08/10/2016 08/08/2016 91159HHE3 Bought Corporate Bonds US BANCORP 1.95% 15/11/2018 11/15/2018 500,000.00 0.00 (509,425.00) 08/11/2016 08/11/2016 084670BX5 Bought Corporate Bonds BERKSHIRE HATHAWAY INC 08/15/2018 500,000.00 0.00 (500,355.00) 08/16/2016 08/15/2016 912828VR8 Income Government Bonds UNITED STATES TREAS NTS 08/15/2016 1,000,000.00 0.00 0.00 08/15/2016 08/15/2016 912828VR8 Capital Change Government Bonds UNITED STATES TREAS NTS 08/15/2016 (1,000,000.00) 0.00 1,000,000.00 08/15/2016 08/16/2016 21687AHG1 Capital Change Commercial Paper RABOBANK NEDERLAND CPN 08/16/2016 (500,000.00) 0.00 500,000.00 08/16/2016 08/23/2016 3133EGSCO Bought Government Agencies FEDERAL FARM CREDIT BANK 08/26/2019 1,000,000.00 0.00 (1,000,610.00) 08/26/2016 08/25/2016 3133EDYQ9 Income Government Agencies FEDERAL FARM CREDIT BANK 01/20/2017 500,000.00 0.00 0.00 08/25/2016 08/25/2016 3133EDYQ9 Capital Change Government Agencies FEDERAL FARM CREDIT BANK 01/20/2017 (500,000.00) 0.00 500,000.00 08/25/2016 08/31/2016 912828SJO Income Government Bonds USA TREASURY 0.875% 02/28/2017 750,000.00 0.00 0.00 08/31/2016 08/31/2016 912828TM2 Income Government Bonds USA TREASURY 0.625% 08/31/2017 1,000,000.00 0.00 0.00 08/31/2016 08/31/2016 912828UR9 Income Government Bonds USA TREASURY 0.75% 02/28/2018 1,000,000.00 0.00 0.00 08/31/2016 SAN RAFAEL Interest Transaction total (6,333.33) (458.33) (2,329.17) (15.97) 3,125.00 0.00 0.00 0.00 364.59 0.00 3,281.25 3,125.00 3,750.00 17 ADDITIONAL INFORMATION As of August 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), Insight North America LLC (INA) and Pareto Investment Management Limited (PIML). The North American investment advisers are associated with a broader group of global investment managers that also (individually and collectively) use the corporate brand Insight Investment and may be referred to as Insight, Insight Group or Insight Investment. Both CISC and CAMC are investment advisers registered with the Securities and Exchange Commission (SEC), under the Investment Advisers Act of 1940, as amended. Registration with the SEC does not imply a certain level 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. For trading activity the Clearing broker will be reflected. In certain cases the Clearing broker will differ from the Executing broker. In calculating ratings distributions and weighted average portfolio quality, Insight assigns U.S Treasury and U.S agency securities a quality rating based on the methodology used within the respective benchmark index. 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 August 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. 19 SAN RAFAEL September 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 Securities purchased 15 Securities sold and matured 16 Transaction report 17 Additional information 19 FIXED INCOME MARKET REVIEW As of September 30, 2016 Chart 1: Institute of Supply Management 09/2011 — 09/2016 60 - 55 • — \ 50/�� 45 0 40 35 30 Sep -11 Sep -12 Sep -13 Sep -14 Sep -15 Sep -16 Manufacturing Source: Bloomberg Finance LP, September 30, 2016. Chart 2: Treasury Yield Curves 9/30/2015 — 9/30/2016 3.00%- 2.50%- uD 2.00%- C CD 1. a) N a 1. 0. 0. 9/30/2016 9/30/2015 3m 6m 1yr 2yr 3yr 4yr 5yr 6yr 7yr 8yr 9yr 10yr Source: Bloomberg Finance LP, September 30, 2015, September 30, 2016. SAN RAFAEL Economic Indicators & Monetary Policv Durable goods orders for the month of August were flat after a 4.4% jump in July. Analysts had expected a drop of 1.5% so the flat number was better than the surveys had predicted. There was also good news from the pick-up in durable goods capital equipment orders for the last three months, which may foreshadow a positive economic contribution from this sector in the latter half of this year. Institute for Supply Management (ISM) survey for the manufacturing sector rebounded significantly in the month of September. The results topped expectations with the index moving from 49.4 in August to 51.5 for September. Any number over 50 represents an expansion of the economic activity within that sector. The third and final revision for the second quarter GDP showed an economy that was stronger than previously reported. The most recent numbers showed the economy expanded at a 1.4% rate in the second quarter up from the 1.1 % rate that was previously reported. This revision beats analysts' expectations. Consumer spending, the most important component of economic growth, remained nearly unchanged. However, exports and non-residential construction were both revised upward for a positive contribution to the overall improvement. Personal Consumption Expenditures (PCE) the Federal Reserve's preferred measure of inflation was up 0.1% for September. The small increase shows that inflation remains very modest. Analysts had expected the September number to increase 0.2% as the August number had remained unchanged. Yield Curve & Soreads At the end of September, the 3 -month US Treasury bill yielded 0.28%, the 6 -month US Treasury bill yielded 0.43%, the 2 -year US Treasury note yielded 0.76%, the 5 - year US Treasury note yielded 1.15%, and the 10 -year US Treasury note yielded 1.60% (see Chart 2). 3 ACTIVITY AND PERFORMANCE SUMMARY SAN RAFAEL For the period September 1, 2016 - September 30, 2016 Amortized Cost Basis Activity Summary Detail of Amortized Cost Basis Return Opening balance 24,528,869.96 Interest Accretion Realized Total Income received 100,457.69 earned (amortization) gain (loss) income Total receipts 100,457.69 Corporate Bonds 7,677.80 (3,764.73) 0.00 3,913.07 Participant withdrawals (103,445.88) Government Agencies 10,849.11 (1,651.84) 413.80 9,611.07 Expenses paid (143.49) Government Bonds 3,216.38 228.06 0.00 3,444.44 Total disbursements (103,589.37) Municipal/Provincial Bonds 6,924.32 0.00 0.00 6,924.32 Interportfolio transfers 000 Total 28,667.61 (5,188.51) 413.80 23,892.90 Total Interportfolio transfers 0.00 Realized gain (loss) 413.80 Total amortization expense (5,840.18) Total OID/MKT accretion income 651.67 Return of capital 0.00 Closing balance 24,520,963.57 Ending fair value 24,535,257.34 Unrealized gain (loss) 14,293.77 Comparative Rates of Return W- Summary of Amortized Cost Basis Return for the Period * Twelve * Six * One month Total portfolio month trailing month trailing Fed Funds 0.32 0.19 0.03 Interest earned 28,667.61 Overnight Repo 0.40 0.23 0.04 Accretion (amortization) (5,188.51) Merrill Lynch 3m US Treas Bill 0.22 0.13 0.02 Realized gain (loss) on sales 413.80 Merrill Lynch 6m US Treas Bill 0.34 0.18 0.03 Total income on portfolio 23,892.90 ML 1 Year US Treasury Note 0.54 0.28 0.05 Average daily amortized cost 24,500,987.62 ML 2 Year US Treasury Note 0.79 0.37 0.06 ML 5 Year US Treasury Note 1.33 0.59 0.10 Period return (%) 0.10 YTD return (%) 0.86 Weighted average final maturity in days 811 * rates reflected are cumulative 4 ACTIVITY AND PERFORMANCE SUMMARY For the period September 1, 2016 - September 30, 2016 Fair Value Basis Activitv Summary Opening balance 24,540,771.52 Income received 100,457.69 Total receipts 100,457.69 Participant withdrawals (103,445.88) Expenses paid (143.49) Total disbursements (103,589.37) Interportfolio transfers 0.00 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 (2,382.50) Ending fair value 24,535,257.34 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 0.32 0.19 0.03 0.40 0.23 0.04 0.27 0.17 0.05 0.54 0.33 0.09 0.54 0.35 0.07 0.88 0.42 0.12 1.52 0.62 0.17 * rates reflected are cumulative SAN RAFAEL Summary of Fair Value Basis Return for the Period Total portfolio Interest earned 28,667.61 Change in fair value (2,382.50) Total income on portfolio 26,285.11 Average daily total value * 24,611,050.54 Period return (%) 0.11 YTD return (%) 1.15 Weighted average final maturity in days 811 * Total value equals market value and accrued interest 5 Detail of Fair Value Basis Return Interest Change in Total earned fair value income Corporate Bonds 7,677.80 (9,151.50) (1,473.70) Government Agencies 10,849.11 5,499.00 16,348.11 Government Bonds 3,216.38 1,270.00 4,486.38 Municipal/Provincial Bonds 6,924.32 0.00 6,924.32 Total 28,667.61 (2,382.50) 26,285.11 Summary of Fair Value Basis Return for the Period Total portfolio Interest earned 28,667.61 Change in fair value (2,382.50) Total income on portfolio 26,285.11 Average daily total value * 24,611,050.54 Period return (%) 0.11 YTD return (%) 1.15 Weighted average final maturity in days 811 * Total value equals market value and accrued interest 5 RECAP OF SECURITIES HELD As of September 30, 2016 Portfolio diversification (%) Weighted Historical Amortized Fair value Unrealized average cost cost effective gain (loss) Cash and Cash Equivalents 24,880.34 24,880.34 24,880.34 0.00 Corporate Bonds 4,668,851.50 4,586,625.25 4,584,779.25 (1,846.00) Government Agencies 13,146,496.28 13,141,709.42 13,150,097.00 8,387.58 Government Bonds 5,243,144.54 5,246,948.56 5,254,700.75 7,752.19 Municipal/Provincial Bonds 1,520,800.00 1,520,800.00 1,520,800.00 0.00 Portfolio diversification (%) Weighted Percent Weighted average of average final portfolio effective maturity (days) Total duration (years) 1 0.10 0.00 443 18.98 1.19 580 53.43 1.51 272 21.31 0.74 5,816 6.18 11.00 ■ Cash and Cash Equivalents 0.10 ■ Corporate Bonds 18.98 ■ Government Agencies 53.43 ■ Government Bonds 21.31 ■ Municipal/Provincial Bonds 6.18 Total 100.00 SAN RAFAEL 6 MATURITY DISTRIBUTION OF SECURITIES HELD As of September 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 8.00 E 6.00 E N 0 U 4.00 U O x 2.00 KIN Maturity distribution J C§l �O Historic cost 1,555,330.97 2,856,302.97 7,061,530.94 7,062,048.50 4,548,159.28 0.00 0.00 1,520,800.00 Percent 6.32 11.61 28.70 28.70 18.49 0.00 0.00 6.18 SAN RAFAEL 7 SECURITIES HELD SAN RAFAEL As of September 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 24,880.34 24,880.34 24,880.34 24,880.34 0.00 0.00 0.00 0.00 0.10 0.00 0.00 0.00 Total Cash and Cash Equivalents 24,880.34 24,880.34 24,880.34 0.00 0.00 0.00 0.10 0.00 0.00 Corporate Bonds 36962G51-13 3.350 10/17/2016 500,000.00 530,685.00 500,574.50 500,389.00 (185.50) 0.00 1,349.31 7,584.03 2.16 GENERAL ELECTRIC CO 3.35% 0.00 (1,013.82) (1,170.00) 17/10/2016 24422ERN1 1.400 03/15/2017 500,000.00 504,785.00 501,096.56 501,061.00 (35.56) 3,500.00 563.89 291.67 2.05 JOHN DEERE CAPITAL CORP 0.00 (199.38) (301.00) 1.4% 15/03/2017 717081 DJ9 1.100 05/15/2017 500,000.00 499,595.00 499,894.53 500,414.25 519.72 0.00 443.06 2,062.50 2.03 PFIZER INC 1.1 % 15/05/2017 0.00 14.06 (40.50) 459200GJ4 5.700 09/14/2017 500,000.00 568,635.00 520,747.31 521,785.50 1,038.19 14,250.00 2,295.84 1,266.67 2.31 IBM CORP 5.7% 14/09/2017 09/13/2017 0.00 (1,809.36) (2,254.00) 94988J5A1 1.650 01/22/2018 500,000.00 501,930.00 501,299.51 501,449.50 149.99 0.00 664.58 1,558.33 2.04 WELLS FARGO BANK NA 1.65% 0.00 (82.60) (1,523.50) 22101/2018 037833AJ9 1.000 05/03/2018 500,000.00 498,090.00 498,642.15 499,303.00 660.85 0.00 402.78 2,041.67 2.02 APPLE INC 1% 03/05/2018 0.00 71.10 (613.50) 084670BX5 1.150 08/15/2018 500,000.00 500,355.00 500,330.52 499,730.00 (600.52) 0.00 463.19 718.75 2.03 BERKSHIRE HATHAWAY INC 0.00 (14.69) (660.00) 1.15% 15/08/2018 25468PDD5 1.500 09/17/2018 550,000.00 555,351.50 555,225.84 554,295.50 (930.34) 4,125.00 320.84 297.92 2.26 WALT DISNEY COMPANY/THE (4,102.08) (125.66) (1,056.00) 1.5% 17/09/2018 8 SECURITIES HELD SAN RAFAEL As of September 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 91159HHE3 1.950 11/15/2018 500,000.00 509,425.00 508,814.33 506,351.50 (2,462.83) 0.00 785.42 3,656.25 2.07 US BANCORP 1.95% 10/15/2018 0.00 (345.66) (1,378.00) 15/11/2018 (CALLABLE 15/10/18) Iota[ Corporate Bonds 4,550,000.00 4,668,851.50 4,586,625.25 4,584,779.25 (1,846.00) 7,288.91 19,477.79 18.98 (4,102.08) (3,506.01) (8,996.50) Government Agencies 3137EADCO 1.000 03/08/2017 500,000.00 501,500.00 500,222.95 501,148.00 925.05 2,500.00 402.78 305.56 2.04 FREDDIE MAC 1% 08/03/2017 0.00 (42.34) 73.50 3135GOZB2 0.750 04/20/2017 500,000.00 496,725.00 499,407.24 500,609.50 1,202.26 0.00 302.09 1,666.67 2.02 FANNIE MAE 0.75%20/04/2017 0.00 88.91 115.00 3133EEX62 0.800 06/16/2017 1,000,000.00 999,770.00 999,918.45 1,001,675.00 1,756.55 0.00 644.44 2,311.11 4.06 FEDERAL FARM CREDIT BANK 0.00 9.56 867.00 0.8% 16/06/2017 3137EADV8 0.750 07/14/2017 1,000,000.00 998,530.00 999,443.36 1,000,965.00 1,521.64 0.00 604.16 1,583.33 4.06 FREDDIE MAC 0.75% 0.00 58.80 474.00 14/07/2017 3136GOZH7 1.050 09/05/2017 1,000,000.00 1,005,150.00 1,002,237.68 1,003,650.00 1,412.32 5,250.00 845.84 729.17 4.09 FANNIE MAE 1.05%05/09/2017 0.00 (200.39) 1,650.00 CALLABLE 313380EC7 0.750 09/08/2017 1,000,000.00 998,790.00 999,446.58 999,975.00 528.42 3,750.00 604.16 458.33 4.06 FEDERAL HOME LOAN BANK 0.00 49.12 (144.00) 0.75% 08/09/2017 3130A51-56 0.900 10/27/2017 1,000,000.00 999,070.00 999,578.07 1,001,070.00 1,491.93 0.00 725.00 3,825.00 4.06 FEDERAL HOME LOAN BANK 0.00 32.71 450.00 0.9% 27/10/2017 313OA6D87 0.900 11/20/2017 1,000,000.00 1,000,660.00 1,000,333.66 1,000,610.00 276.34 0.00 725.00 3,250.00 4.07 FEDERAL HOME LOAN BANK 0.00 (24.42) 530.00 0.9% 2011112017 9 SECURITIES HELD SAN RAFAEL As of September 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 313378A43 1.375 03/09/2018 1,000,000.00 1,007,970.00 1,004,447.77 1,008,150.00 3,702.23 6,875.00 1,107.64 802.08 4.10 FEDERAL HOME LOAN BANK 0.00 (257.10) 861.00 1.375% 09/03/2018 3133EGFQ3 0.875 09/14/2018 500,000.00 500,497.00 500,433.03 499,741.50 (691.53) 1,093.75 352.43 194.44 2.03 FEDERAL FARM CREDIT BANK 0.00 (18.45) 281.50 0.875% 14/09/2018 3135GOH63 1.375 01/28/2019 1,000,000.00 1,012,490.00 1,011,747.05 1,011,047.00 (700.05) 0.00 1,107.64 2,368.06 4.12 FANNIE MAE 1.375% 0.00 (420.54) 894.00 28/01/2019 3133782M2 1.500 03/08/2019 1,000,000.00 1,014,124.28 1,013,320.21 1,013,070.00 (250.21) 7,500.00 1,208.34 916.67 4.12 FEDERAL HOME LOAN BANK 0.00 (455.14) 868.00 1.5% 08/03/2019 3135GOL76 1.075 07/11/2019 600,000.00 599,100.00 599,107.14 598,656.00 (451.14) 0.00 71.67 1,415.42 2.43 FANNIE MAE 1.075% 01/11/2017 (1,343.75) 7.14 (444.00) 1110712019 (CALLABLE 11/01/17) 3133EGSCO 1.000 08/26/2019 1,000,000.00 1,000,610.00 1,000,588.62 999,490.00 (1,098.62) 0.00 805.55 944.44 4.07 FEDERAL FARM CREDIT BANK 0.00 (16.88) 1,000.00 1% 26/08/2019 313380FB8 1.375 09/13/2019 1,000,000.00 1,011,510.00 1,011,477.61 1,010,240.00 (1,237.61) 0.00 38.20 649.31 4.11 FEDERAL HOME LOAN BANK (611.11) (32.39) (1,270.00) 1.375% 13/09/2019 Total Government Agencies 13,100,000.00 13,146,496.28 13,141,709.42 13,150,097.00 8,387.58 26,968.75 9,544.94 21,419.59 53.43 (1,954.86) (1,221.41) 6,206.00 Government Bonds 912828WF3 0.625 11/15/2016 1,000,000.00 999,765.63 999,987.46 1,000,508.00 520.54 0.00 509.51 2,343.75 4.06 USA TREASURY 0.625% 0.00 8.18 (92.00) 15/11/2016 10 SECURITIES HELD SAN RAFAEL As of September 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 912828SJO 0.875 02/28/2017 750,000.00 751,464.84 750,225.47 751,575.75 1,350.28 0.00 543.85 543.85 3.05 USA TREASURY 0.875% 0.00 (44.80) 267.00 28/02/2017 912828032 0.750 03/15/2017 500,000.00 499,453.13 499,906.60 500,664.00 757.40 1,875.00 308.24 155.39 2.03 USA TREASURY 0.75% 0.00 16.87 97.50 15/03/2017 912828WP1 0.875 06/15/2017 500,000.00 499,414.06 499,833.14 500,957.00 1,123.86 0.00 358.61 1,279.03 2.03 USA TREASURY 0.875% 0.00 19.40 21.50 15/06/2017 912828TM2 0.625 08/31/2017 1,000,000.00 994,921.88 998,146.87 999,727.00 1,580.13 0.00 517.96 517.96 4.04 USA TREASURY 0.625% 0.00 165.95 352.00 31/08/2017 912828G20 0.875 11/15/2017 500,000.00 500,625.00 500,300.09 500,957.00 656.91 0.00 356.66 1,640.63 2.03 USA TREASURY 0.875% 0.00 (21.90) 39.00 15/11/2017 912828UR9 0.750 02/28/2018 1,000,000.00 997,500.00 998,548.93 1,000,312.00 1,763.07 0.00 621.55 621.55 4.05 USA TREASURY 0.75% 0.00 84.36 585.00 28/02/2018 Total Government Bonds"W 5,250,000.00 5,243,144.54 5,246,948.56 5,254,700.75 7,752.19 1,875.00 0.00 228.06 1,270.00 Municipal/Provincial Bonds 888599LS4 5.250 09/02/2032 1,520,800.00 1,520,800.00 1,520,800.00 1,520,800.00 0.00 41,545.88 8,278.38 0.00 6.18 PT. SAN ASSESS DISTRICT 0.00 0.00 0.00 5.25% 144A 02/09/2032 SANRAF$01 Total Municipal/Provincial Bonds 1,520,800.00 1,520,800.00 1,520,800.00 1,520,800.00 0.00 41,545.88 8,278.38 0.00 6.18 71 0.00 0.00 0.00 III GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL As of September 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) Federal Home Loan Banks 313380EC7 FEDERAL HOME LOAN 0.750 09/08/2017 AA+ Aaa 1,000,000.00 998,790.00 4.06 999,975.00 4.08 0.93 3130A5L56 FEDERAL HOME LOAN 0.900 10/27/2017 AA+ Aaa 1,000,000.00 999,070.00 4.06 1,001,070.00 4.08 1.06 3130A6D87 FEDERAL HOME LOAN 0.900 11/20/2017 AA+ Aaa 1,000,000.00 1,000,660.00 4.07 1,000,610.00 4.08 1.13 313378A43 FEDERAL HOME LOAN 1.375 03/09/2018 AA+ Aaa 1,000,000.00 1,007,970.00 4.10 1,008,150.00 4.11 1.42 3133782M2 FEDERAL HOME LOAN 1.500 03/08/2019 AA+ Aaa 1,000,000.00 1,014,124.28 4.12 1,013,070.00 4.13 2.39 313380FB8 FEDERAL HOME LOAN 1.375 09/13/2019 AA+ Aaa 1,000,000.00 1,011,510.00 4.11 1,010,240.00 4.12 2.89 Issuer total 6,000,000.00 6,032,124.28 24.52 6,033,115.00 24.59 1.64 United States Treasury Note/Bond 912828WF3 USA TREASURY 0.625% 0.625 11/15/2016 AA+ Aaa 1,000,000.00 999,765.63 4.06 1,000,508.00 4.08 0.12 912828SJO USA TREASURY 0.875% 0.875 02/28/2017 AA+ Aaa 750,000.00 751,464.84 3.05 751,575.75 3.06 0.41 912828C32 USA TREASURY 0.75% 0.750 03/15/2017 AA+ Aaa 500,000.00 499,453.13 2.03 500,664.00 2.04 0.45 912828WP1 USA TREASURY 0.875% 0.875 06/15/2017 AA+ Aaa 500,000.00 499,414.06 2.03 500,957.00 2.04 0.70 912828TM2 USA TREASURY 0.625% 0.625 08/31/2017 AA+ Aaa 1,000,000.00 994,921.88 4.04 999,727.00 4.07 0.91 912828620 USA TREASURY 0.875% 0.875 11/15/2017 AA+ Aaa 500,000.00 500,625.00 2.03 500,957.00 2.04 1.11 912828UR9 USA TREASURY 0.75% 0.750 02/28/2018 AA+ Aaa 1,000,000.00 997,500.00 4.05 1,000,312.00 4.08 1.40 Issuer total 5,250,000.00 5,243,144.54 21.31 5,254,700.75 21.42 0.74 Federal National Mortgage Association 3135GOZB2 FANNIE MAE 0.75% 0.750 04/20/2017 AA+ Aaa 500,000.00 496,725.00 2.02 500,609.50 2.04 0.55 3136GOZH7 FANNIE MAE 1.05% 1.050 09/05/2017 AA+ Aaa 1,000,000.00 1,005,150.00 4.09 1,003,650.00 4.09 0.92 3135GOH63 FANNIE MAE 1.375% 1.375 01/28/2019 AA+ Aaa 1,000,000.00 1,012,490.00 4.12 1,011,047.00 4.12 2.28 3135GOL76 FANNIE MAE 1.075% 1.075 07/11/2019 01/11/2017 AA+ Aaa 600,000.00 599,100.00 2.43 598,656.00 2.44 1.59 Issuer total 3,100,000.00 3,113,465.00 12.65 3,113,962.50 12.69 1.43 IT, GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL As of September 30, 2016 Cusip Description Coupon Maturity Call date 5&P Moody Par value or Historical % Portfolio Market % Portfolio Effective 09/02/2032 NR date rating rating shares cost hist cost value mkt value dur (yrs) Federal Farm Credit Banks 1,520,800.00 1,520,800.00 6.18 1,520,800.00 6.20 11.00 Federal Home Loan Mortgage Corp 3133EEX62 FEDERAL FARM CREDIT 0.800 06/16/2017 AA+ Aaa 1,000,000.00 999,770.00 4.06 1,001,675.00 4.08 0.70 3133EGFQ3 FEDERAL FARM CREDIT 0.875 09/14/2018 AA+ Aaa 500,000.00 500,497.00 2.03 499,741.50 2.04 1.93 3133EGSCO FEDERAL FARM CREDIT 1.000 08/26/2019 AA+ Aaa 1,000,000.00 1,000,610.00 4.07 999,490.00 4.07 2.85 Issuer total 1,502,113.00 6.12 0.66 Walt Disney Co/The 2,500,000.00 2,500,877.00 10.16 2,500,906.50 10.19 1.81 Pt. San Assess District 888599LS4 PT. SAN ASSESS 5.250 09/02/2032 NR NR 1,520,800.00 1,520,800.00 6.18 1,520,800.00 6.20 11.00 Issuer total 1,520,800.00 1,520,800.00 6.18 1,520,800.00 6.20 11.00 Federal Home Loan Mortgage Corp 3137EADCO FREDDIEMAC1% 1.000 03/08/2017 AA+ Aaa 500,000.00 501,500.00 2.04 501,148.00 2.04 0.43 3137EADV8 FREDDIE MAC 0.75% 0.750 07/14/2017 AA+ Aaa 1,000,000.00 998,530.00 4.06 1,000,965.00 4.08 0.78 Issuer total 1,500,000.00 1,500,030.00 6.10 1,502,113.00 6.12 0.66 Walt Disney Co/The 25468PDD5 WALT DISNEY 1.500 09/17/2018 A A2 550,000.00 555,351.50 2.26 554,295.50 2.26 1.93 Issuer total 550,000.00 555,351.50 2.26 554,295.50 2.26 1.93 International Business Machines Corp 4592000/4 IBM CORP 5.7% 5.700 09/14/2017 09/13/2017 AA- Aa3 500,000.00 568,635.00 2.31 521,785.50 2.13 0.94 Issuer total 500,000.00 568,635.00 2.31 521,785.50 2.13 0.94 US Bancorp 91159HHE3 US BANCORP 1.95% 1.950 11/15/2018 10/15/2018 A+ Al 500,000.00 509,425.00 2.07 506,351.50 2.06 2.01 Issuer total 500,000.00 509,425.00 2.07 506,351.50 2.06 2.01 13 GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL As of September 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) Wells Fargo Bank NA 94988J5A1 WELLS FARGO BANK NA 1.650 01/22/2018 AA- Aa2 500,000.00 501,930.00 2.04 501,449.50 2.04 1.29 Issuer total 500,000.00 501,930.00 2.04 501,449.50 2.04 1.29 John Deere Capital Corp 24422ERN1 JOHN DEERE CAPITAL 1.400 03/15/2017 A A2 500,000.00 504,785.00 2.05 501,061.00 2.04 0.45 Issuer total 500,000.00 504,785.00 2.05 501,061.00 2.04 0.45 Pfizer Inc 717081DJ9 PFIZER INC 1.1% 1.100 05/15/2017 AA Al 500,000.00 499,595.00 2.03 500,414.25 2.04 0.61 Issuer total 500,000.00 499,595.00 2.03 500,414.25 2.04 0.61 General Electric Co 36962G5H3 GENERAL ELECTRIC CO 3.350 10/17/2016 AA- Al 500,000.00 530,685.00 2.16 500,389.00 2.04 0.04 Issuer total 500,000.00 530,685.00 2.16 500,389.00 2.04 0.04 Berkshire Hathaway Inc 0846706x5 BERKSHIRE HATHAWAY 1.150 08/15/2018 AA Aa2 500,000.00 500,355.00 2.03 499,730.00 2.04 1.85 Issuer total 500,000.00 500,355.00 2.03 499,730.00 2.04 1.85 Apple Inc 037833AJ9 APPLE INC 1%03/05/2018 1.000 05/03/2018 AA+ Aal 500,000.00 498,090.00 2.02 499,303.00 2.04 1.57 Issuer total 500,000.00 498,090.00 2.02 499,303.00 2.04 1.57 Cash and Cash Equivalents INVESTED CASH 0.000 24,880.34 24,880.34 0.10 24,880.34 0.10 0.00 Issuer total 24,880.34 24,880.34 0.10 24,880.34 0.10 0.00 Grand total 24,445,680.34 24,604,172.66 100.00 24,535,257.34 100.00 1.87 14 SECURITIES PURCHASED For the period September 1, 2016 - September 30, 2016 Cusip / Description / Broker Trade date Coupon Maturity/ Settle date Call date Corporate Bonds 25468PDD5 09/14/2016 1.500 09/17/2018 WALT DISNEY COMPANY/THE 1.5% 17/09/2018 09/16/2016 WELLS FARGO SECURITIES INTL LTD Total Corporate Bonds Government Agencies Par value or Unit cost shares 550, 000.00 100.97 550,000.00 3135GOL76 09/23/2016 1.075 07/11/2019 600,000.00 99.85 FANNIE MAE 1.075% 11/07/2019 (CALLABLE 11/01/17) 09/26/2016 01/11/2017 FIRST TENNESSEE BANK N.A. 313380FB8 09/28/2016 1.375 09/13/2019 1,000,000.00 101.15 FEDERAL HOME LOAN BANK 1.375% 13/09/2019 09/29/2016 MORGAN STANLEY AND CO., LLC Total Government Agencies 1,600,000.00 SAN RAFAEL Principal Accrued cost interest purchased (555,351.50) (555,351.50) (599,100.00) (1,011,510.00) (1,610,610.00) (4,102.08) (4,102.08) (1,343.75) (1,954.86) 15 SECURITIES SOLD AND MATURED SAN RAFAEL For the period September 1, 2016 - September 30, 2016 Cusip/ Trade date Coupon Maturity/ Par value or Historical cost Amortized cost Price Fair value at Realized Accrued Interest Interest Description/ Settle date Call date shares at sale or maturity sale or maturity / gain interest received earned Broker 09/28/2016 /Accr (amort) Chg.in fair value (loss) sold (1,600,000.00) 1,613,886.00 Corporate Bonds 89233P5E2 09/15/2016 2.000 (500,000.00) 513,850.00 500,000.00 0.00 500,000.00 0.00 0.00 5,000.00 388.89 TOYOTA MTR CR CORP 2 09/15/2016 (258.72) (155.00) DUE 09-15-2016 Total (Corporate Bonds) (500,000.00) 513,850.00 500,000.00 500,000.00 0.00 0.00 5,000.00 388.89 Municipal/Provincial Bonds 888599LS4 09/01/2016 5.250 09/02/2032 (61,900.00) PT. SAN ASSESS DISTRICT 09/02/2016 5.25% 144A 02/09/2032 SANRAF$01 Total (Municipal/Provincial Bonds) (61,900.00) 61,900.00 (258.72) i 599,586.20 0.00 17.63 1,000,000.00 0.00 (448.06) 1,599,586.20 (430.43) 61,900.00 100.00 0.00 61,900.00 0.00 (155.00) 600,000.00 413.80 (36.00) 1,000,000.00 0.00 (671.00) 0.00 3,000.00 366.67 0.00 6,250.00 937.50 1,600,000.00 413.80 0.00 9,250.00 1,304.17 (707.00) 61,900.00 0.00 0.00 0.00 (1,354.06) 0.00 61,900.00 0.00 0.00 0.00 0.00 (1,354.06) 16 i Government Agencies 3134G8NY1 09/23/2016 1.000 (600,000.00) 599,436.00 FREDDIE MAC 1 % 09/23/2016 23/03/2018 CALLABLE 3135GOCM3 09/28/2016 1.250 (1,000,000.00) 1,014,450.00 FANNIE MAE 1.25% 09/28/2016 28/09/2016 Total (Government Agencies) (1,600,000.00) 1,613,886.00 It Municipal/Provincial Bonds 888599LS4 09/01/2016 5.250 09/02/2032 (61,900.00) PT. SAN ASSESS DISTRICT 09/02/2016 5.25% 144A 02/09/2032 SANRAF$01 Total (Municipal/Provincial Bonds) (61,900.00) 61,900.00 (258.72) i 599,586.20 0.00 17.63 1,000,000.00 0.00 (448.06) 1,599,586.20 (430.43) 61,900.00 100.00 0.00 61,900.00 0.00 (155.00) 600,000.00 413.80 (36.00) 1,000,000.00 0.00 (671.00) 0.00 3,000.00 366.67 0.00 6,250.00 937.50 1,600,000.00 413.80 0.00 9,250.00 1,304.17 (707.00) 61,900.00 0.00 0.00 0.00 (1,354.06) 0.00 61,900.00 0.00 0.00 0.00 0.00 (1,354.06) 16 TRANSACTION REPORT For the period September 1, 2016 - September 30, 2016 Trade date Cusip Transaction Sec type Description Maturity Par value or Realized Principal Settle date shares gain(loss) 09/01/2016 888599LS4 Principal Paydowns Municipal/Provincial Bonds PT. SAN ASSESS DISTRICT 09/02/2032 (61,900.00) 0.00 61,900.00 09/02/2016 09/05/2016 3136GOZH7 Income Government Agencies FANNIE MAE 1.05% 05/09/2017 09/05/2017 1,000,000.00 0.00 0.00 09/05/2016 09/08/2016 3133782M2 Income Government Agencies FEDERAL HOME LOAN BANK 03/08/2019 1,000,000.00 0.00 0.00 09/08/2016 09/08/2016 313380EC7 Income Government Agencies FEDERAL HOME LOAN BANK 09/08/2017 1,000,000.00 0.00 0.00 09/08/2016 09/08/2016 3137EADCO Income Government Agencies FREDDIE MAC 1%08/03/2017 03/08/2017 500,000.00 0.00 0.00 09/08/2016 09/09/2016 313378A43 Income Government Agencies FEDERAL HOME LOAN BANK 03/09/2018 1,000,000.00 0.00 0.00 09/09/2016 09/14/2016 25468PDD5 Bought Corporate Bonds WALT DISNEY COMPANY/THE 09/17/2018 550,000.00 0.00 (555,351.50) 09/16/2016 09/14/2016 3133EGFQ3 Income Government Agencies FEDERAL FARM CREDIT BANK 09/14/2018 500,000.00 0.00 0.00 09/14/2016 09/14/2016 459200GJ4 Income Corporate Bonds IBM CORP 5.7% 14/09/2017 09/14/2017 500,000.00 0.00 0.00 09/14/2016 09/15/2016 24422ERN1 Income Corporate Bonds JOHN DEERE CAPITAL CORP 03/15/2017 500,000.00 0.00 0.00 09/15/2016 09/15/2016 89233P5E2 Income Corporate Bonds TOYOTA MTR CR CORP 2 DUE 09/15/2016 500,000.00 0.00 0.00 09/15/2016 09/15/2016 89233P5E2 Capital Change Corporate Bonds TOYOTA MTR CR CORP 2 DUE 09/15/2016 (500,000.00) 0.00 500,000.00 09/15/2016 09/15/2016 912828C32 Income Government Bonds USA TREASURY 0.75% 03/15/2017 500,000.00 0.00 0.00 09/15/2016 09/17/2016 25468PDD5 Income Corporate Bonds WALT DISNEY COMPANY/THE 09/17/2018 550,000.00 0.00 0.00 09/17/2016 09/23/2016 3134G8NY1 Income Government Agencies FREDDIE MAC 1%23/03/2018 03/23/2018 600,000.00 0.00 0.00 09/23/2016 09/23/2016 3134G8NY1 Capital Change Government Agencies FREDDIE MAC 1%23/03/2018 03/23/2018 (600,000.00) 413.80 600,000.00 09/23/2016 09/23/2016 3135GOL76 Bought Government Agencies FANNIE MAE 1.075% 07/11/2019 600,000.00 0.00 (599,100.00) 09/26/2016 SAN RAFAEL Interest Transaction total 0.00 5,250.00 7,500.00 3,750.00 2,500.00 6,875.00 (4,102.08) 1,093.75 14,250.00 3,500.00 5,000.00 0.00 1,875.00 4,125.00 3,000.00 0.00 (1,343.75) TRANSACTION REPORT SAN RAFAEL For the period September 1, 2016 - September 30, 2016 Trade date Cusip Transaction Sec type Description Maturity Par value or Realized Principal Interest Transaction total Settle date shares gain(loss) 09/28/2016 313380FB8 Bought Government Agencies FEDERAL HOME LOAN BANK 09/13/2019 1,000,000.00 0.00 (1,011,510.00) (611.11) 09/29/2016 09/28/2016 3135GOCM3 Income Government Agencies FANNIE MAE 1.25% 28/09/2016 09/28/2016 1,000,000.00 0.00 0.00 6,250.00 09/28/2016 09/28/2016 3135GOCM3 Capital Change Government Agencies FANNIE MAE 1.25% 28/09/2016 09/28/2016 (1,000,000.00) 0.00 1,000,000.00 0.00 09/28/2016 09/30/2016 888599LS4 Income Municipal/Provincial Bonds PT. SAN ASSESS DISTRICT 09/02/2032 1,582,700.00 0.00 0.00 41,545.88 09/30/2016 (1,012,121.11) 6,250.00 1,000,000.00 41,545.88 18 ADDITIONAL INFORMATION As of September 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), Insight North America LLC (INA) and Pareto Investment Management Limited (PIML). The North American investment advisers are associated with a broader group of global investment managers that also (individually and collectively) use the corporate brand Insight Investment and may be referred to as Insight, Insight Group or Insight Investment. Both CISC and CAMC are investment advisers registered with the Securities and Exchange Commission (SEC), under the Investment Advisers Act of 1940, as amended. Registration with the SEC does not imply a certain level 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. For trading activity the Clearing broker will be reflected. In certain cases the Clearing broker will differ from the Executing broker. In calculating ratings distributions and weighted average portfolio quality, Insight assigns U.S Treasury and U.S agency securities a quality rating based on the methodology used within the respective benchmark index. 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 September 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. 20 City of San Rafael Quarterly Investment Portfolio Report September 30, 2016 LAIF $ 24,669,361 99.4% 0.58% LAIF - Housing $ 144,126 0.6% 0.58% Total Internally Managed $ 24,813,487 50.3% Weighted Average Yield 0.58% Days Effective Average Duration - Internal 1 Weighted Average Maturity - Internal 1 Cash $ 24,880 0.1% 0.00% Treasury Securities $ 5,254,701 21.4% 0.80% Instrumentality Securities $ 13,150,097 53.6% 0.91% Corporate Notes $ 4,584,779 18.7% 0.87% Municipal $ 1,520,800 6.2% 5.25% Total Externally Managed $ 24,535,257 49.7% Weighted Average Yield 1.15% Years Effective Average Duration - External 1.87 Weighted Average Maturity - External 2.22 LAIF Cash Treasury Securities Instrumentality Securities Corporate Notes Municipal Total Portfolio Assets LAIF, 99.4% LAIF - Housing, Corporate Cash, 0.1% Notes, 18.7% f Instrumentality %M0000 Securities, 53.6% $ 24,813,487 50.3% 0.58% Corporate Notes Municipal $ 24,880 0.1% 0.00% Instrumentality 9% 3% $ 5,254,701 10.6% 0.80% Securities 27% $ 13,150,097 26.6% 0.91% $ 4,584,779 9.3% 0.87% $ 1,520,800 3.1% 5.25% $ 49,348,744 Weighted Average Yield 0.86% Years Effective Average Duration - Total 1.43 Weighted Average Maturity - Total 1.61 Based on Market Values „1a1 r Securities Cash 11% 0% LAIF 50% Exhibit A Treasury Securities, 21.4% 0.016 - 0.0138 0.014 - 0.012 - 0.01 - 0.008 - 0.006 - 0.004 - 0.002 - 0 City of San Rafael vs 2 -Year Treasury and LAIF Yields 2014 Q4 2015 ■ City of San Rafael 0.0117 2 ■ SR - minus SP bonds a 0.0114 Q12016 00%.008 0.0055 Q2 2016 ■ 2 -Year Treasury Yield 0.0117 W:\Accounting and Budgeting\Finance\Bank Reconciliations\Statements\16-17\September 2016\Yield Graph 9-30-16.xlsxYield Graph 9-30-16.xlsx 0.009 0.0072 0.006 Q3 2016 LAIF Exhibit A Exhibit A City of San Rafael Historical Activity -By Quarter Internally Managed Assets September 30, 2016 % Return- June 30, 2016 % Return- March 31, 2016 % Return December 31, 2015 % Return LAIF $ 24,669,361 99.4% 0.61% $ 23,953,234 99.4% 0.58% $ 28,170,969 99.5% 0.47% $ 28,150,402 99.5% 0.41% LAIF- Housing $ 144,126 0.6% 0.61% $ 144,126 0.6% 0.58% $ 143,959 0.5% 0.47% $ 143,826 0.5% 0.41% Total Internally Managed $ 24,813,487 50.3% $ 24,097,360 51.6% $ 28,314,928 55.6% $ 28,294,228 55.8% Weighted Average Yield 0.61% 0.58% 0.47% 0.41% Days Days Days Days Effective Average Duration - Internal 1 1 1 1 Weighted Average Maturity- Internal 1 1 1 1 Externally Managed Assets Cash $ 24,880 % Return- 0.1% 0.00% $ 110,082 % 0.5% Return- 0.00% $ 73,758 % 0.3% Return 0.00% $ 2,104,174 % 9.4% Return 0.00% Commercial Paper $ - 0.0% 0.00% $ 499,703 2.2% 0.82% $ 498,681 2.2% 0.82% Treasury Securities $ 5,254,701 21.4% 0.80% $ 6,261,745 27.7% 0.76% $ 6,255,351 27.7% 0.76% $ 6,230,801 27.8% 0.76% Instrumentality Securities $ 13,150,097 53.6% 0.91% $ 10,634,528 47.0% 0.86% $ 10,622,440 47.0% 0.84% $ 9,981,492 44.5% 0.84% Corporate Notes $ 4,584,779 18.7% 0.87% $ 3,541,815 15.7% 1.07% $ 3,553,197 15.7% 1.07% $ 2,550,442 11.4% 1.03% Municipal $ 1,520,800 6.2% 5.25% $ 1,582,700 7.0% 5.25% $ 1,582,700 7.0% 5.25% $ 1,582,700 7.1% 5.25% Total Externally Managed $ 24,535,257 49.7% $ 22,630,572 48.4% $ 22,586,127 44.4% $ 22,449,609 44.2% Weighted Average Yield 1.15% 1.15% 1.14% 1.07% Years Years Years Years Effective Average Duration - External 1.87 1.66 1.86 1.91 Weighted Average Maturity- External Total Portfolio Assets % Return 2.22 % 2.06 Return % 2.25 Return % 2.35 Return LAIF $ 24,813,487 50.3% 0.61% $ 24,097,360 51.6% 0.58% $ 28,314,928 55.6% 0.47% $ 28,294,228 55.8% 0.41% Cash $ 24,880 0.1% 0.00% $ 110,082 0.2% 0.00% $ 73,758 0.1% 0.00% $ 2,104,174 4.1% 0.00% Commercial Paper $ - 0.0% 0.00% $ 499,703 1.1% 0.82% $ 498,681 1.0% 0.82% Treasury Securities $ 5,254,701 10.6% 0.82% $ 6,261,745 13.4% 0.76% $ 6,255,351 12.3% 0.76% $ 6,230,801 12.3% 0.76% Instrumentality Securities $ 13,150,097 26.6% 0.91% $ 10,634,528 22.8% 0.86% $ 10,622,440 20.9% 0.84% $ 9,981,492 19.7% 0.84% Corporate Notes $ 4,584,779 9.3% 0.87% $ 3,541,815 7.6% 1.07% $ 3,553,197 7.0% 1.07% $ 2,550,442 5.0% 1.03% Municipal $ 1,520,800 3.1% 5.25% $ 1,582,700 3.4% 5.25% $ 1,582,700 3.1% 5.25% $ 1,582,700 3.1% 5.25% Total Portfolio Assets $ 49,348,744 $ 46,727,932 $ 50,901,055 $ 50,743,837 Weighted Average Yield 0.88% 0.86% 0.77% 0.70% Effective Average Duration - Total Weighted Average Maturity - Total Based on Market Values Years Years Years 1.43 1.32 1.38 1.61 1.51 1.55 W:\Accounting and Budgeting\Finance\Bank Reconciliations\Statements\16-17\September 2016\Quarterly Report combined.xlsx Years 1.40 1.60 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: 11/7/2016 From: Mark Moses Department: Finance Date: 11/7/2016 Topic: CITY -QUARTERLY INVESTMENT REPORT Subject: CITY -QUARTERLY INVESTMENT REPORT Type: ❑ Resolution ❑ Ordinance ❑ Professional Services Agreement ❑ Other: APPROVALS ® Finance Director Remarks: ® City Attorney Remarks: LG -Approved 10/24/16 ® Author, review and accept City Attorney / Finance changes Remarks: MM for Van ® City Manager Remarks:
