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HomeMy WebLinkAboutFin City Quarterly Investment ReportSAN RAFAEL
6.
1,,
THE CITY WITH A MISSION
Agenda Item No: 4.f
Meeting Date: February 6, 2017
SAN RAFAEL CITY COUNCIL AGENDA REPORT
Department: Finance Department —�
Prepared by: Mark Moses City Manager Approval:
Finance Director
SUBJECT: QUARTERLY INVESTMENT REPORT
RECOMMENDATION: ACCEPT INVESTMENT REPORT FOR THE QUARTER ENDING
DECEMBER 31, 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.
The City invests a portion of its pooled funds in the Local Agency Investment Fund (LAIF), a State run
investment pool. Beginning in March 2014, the City incorporated an investment strategy that added
purchases of securities outside of LAIF with the assistance of its investment advisor, Insight
Investment.
ANALYSIS: As of December 31, 2016, the primary LAIF account had a balance of $15,987,701. The
other LAIF account containing housing funds for future administrative expenses contained $144,541.
Portfolio returns on LAIF deposits were 0.68% for the quarter. The remaining investment assets
included the $1,520,800 balance of Pt. San Pedro Assessment District bonds, and $22,948,518 in
government agency securities and corporate bonds (including T -Note, John Deere Cap. Corp., Apple
Inc., IBM Corp., FHLMC, FNMA). The overall portfolio return for the quarter ended December 31, 2016
was 1.04%.
The City's Westamerica account had a balance of $20,828,794 at quarter end.
Exhibit A. the Investment Report, is composed of two parts, the Quarterly Investment Portfolio Report
and Historical Activity by Quarter summarizing the City's investments for the quarter ended December
31, 2016, as well as the three monthly investment reports for October through December 2016 from
Insight Investment.
FOR CITY CLERK ONLY
File No.: 8-18 x 8-9
Council Meeting: 02/06/2017
Disposition: Accepted report
SAN RAFAEL CITY COUNCIL AGENDA REPORT / Page: 2
FISCAL IMPACT: No financial impact occurs by adopting the report. The City continues to meet the
priority principles of investing - safety, liquidity and yield in respective order. The portfolio remains
conservatively invested. Sufficient liquidity exists to meet daily operating and capital project
requirements for the next six months. Operating funds, as defined for this report, exclude cash held
with fiscal agents for the payment of bond principal and interest.
OPTIONS/ACTION REQUIRED: The City Council should adopt the report as presented in order to
satisfy current State Investment Code requirements and City policy.
EXHIBITS:
A. Insight Statements October through December 2016
Quarterly Investment Portfolio Report
Historical Activity by Quarter Report
SAN RAFAEL CITY COUNCIL AGENDA REPORT / Page: 3
I CERTIFY THAT ALL INVESTMENTS MADE ARE IN CONFORMANCE WITH THE CITY'S
APPROVED INVESTMENT POLICY AND STATE INVESTMENT REGULATIONS. THE CITY HAS
SUFFICIENT LIQUIDITY TO MEET ALL OF THE OBLIGATIONS REQUIRED DURING THE NEXT
SIX-MONTH PERIOD.
MARK MOSES
FINANCE DIRECTOR
SAN RAFAEL
October 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 18
FIXED INCOME MARKET REVIEW
As of October 31, 2016
Chart 1: Gross Domestic Product 09/2006-09/2016
10.0 -
a)
4.0
5 2.0
0.0
y -2.0
Cy 4.0
-6.0
-8.0
-10.0
Sep -06
Sep -08 Sep -10 Sep -12
Source: Bloomberg Finance LP, October 31, 2016.
Chart 2: Treasury Yield Curves 10/31/2015-10/31/2016
3.00% -
2.50%
2.00%
OD
aa) 1.50%
L
a 1.00%
0.50%
SAN RAFAEL
Economic Indicators and Monetary Policv
The first estimate of third quarter 2016 Gross Domestic Product (GDP) was
released at the end of October. The reading was 2.9%, exceeding analyst
expectations of 2.6% growth. The faster growth was a welcomed improvement
compared to second quarter GDP of 1.4% and first quarter growth of only 0.8%.
(See Chart 1.)
Personal consumption slowed in the third quarter to 2.1 % from the strong 4.3%
reading in the second quarter, which is somewhat concerning as consumer
spending comprises almost 70% of domestic economic activity. The major
drivers of growth in the third quarter were increased exports and inventory
rebuilding, neither of which is likely to be sustained in the fourth quarter. The
current estimate for the fourth quarter growth is 1.9%.
Durable goods orders for the month of September showed some signs of
Sep -14 Sep -16 weakness with the core orders (excluding aircraft) falling 1.2% compared to a
rise of 1.2% in August. The durable goods numbers are notoriously volatile, but
until there is a sustained improvement in the durable goods numbers the
manufacturing sector is likely to remain soft.
The Institute for Supply Management (ISM) survey for the manufacturing sector
improved somewhat to 51.9 in October. The index fell below 50 in August but
has since rebounded. So far this year the index has averaged 51, close to the
average of 51.3 for 2015.
Personal Consumption Expenditures Price Index, the Federal Reserve's (Fed)
preferred measure of inflation, increased 0.2% in September. Year -over -year, the
measure was up 1.2% and excluding food and energy the index was at 1.7%
since September 2015. Inflation hasn't achieved the Fed's 2% goal since 2012.
10/31/2016 Interest Rate Summary
- 10/31/2015
0.001
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, October 31, 2015, October 31, 2016.
At the end of October, the 3 -month US Treasury bill yielded 0.30%, the 6 -month
US Treasury bill yielded 0.49%, the 2 -year US Treasury note yielded 0.84%, the 5 -
year US Treasury note yielded 1.31 %, and the 10 -year US Treasury note yielded
1.83% (See Chart 2).
3
ACTIVITY AND PERFORMANCE SUMMARY
For the period October 1, 2016 - October 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
24,520,963.57
11, 937.48
* Six
11, 937.48
month trailing
month trailing
Cash and Cash Equivalents
(143.84)
Corporate Bonds
(143.84)
Government Agencies
0.00
Government Bonds
0.00
Municipal/Provincial Bonds
0.03
Total
0.00
0.04
(5,084.11)
0.29
695.65
0.81
0.00
0.07
24,528,368.75
0.59
24,527,505.23
0.00
(863.52)
29,556.23
Comnarative Rates of Return W
* Twelve
* Six
* One month
month trailing
month trailing
earned
0.35
0.19
0.03
0.43
0.24
0.04
0.25
0.13
0.03
0.37
0.19
0.04
0.58
0.29
0.06
0.81
0.38
0.07
1.32
0.59
0.11
* rates reflected are cumulative
SAN RAFAEL
Detail of Amortized Cost Basis Return
Interest
Accretion
Realized
Total
earned
(amortization)
gain (loss)
income
(0.02)
0.00
0.00
(0.02)
7,751.36
(3,130.85)
0.00
4,620.51
11,825.19
(1,493.31)
0.00
10,331.88
3,326.20
235.70
0.00
3,561.90
6,653.50
0.00
0.00
6,653.50
29,556.23
(4,388.46)
0.00
25,167.77
Summary of Amortized Cost Basis Return for the Period
Total portfolio
Interest earned
29,556.23
Accretion (amortization)
(4,388.46)
Realized gain (loss) on sales
0.00
Total income on portfolio
25,167.77
Average daily amortized cost
24,522,406.55
Period return (%)
0.10
YTD return (%)
0.96
Weighted average final maturity in days
800
ACTIVITY AND PERFORMANCE SUMMARY
For the period October 1, 2016 - October 31, 2016
Fair Value Basis Activitv Summary
Comnarative Rates of Return W
Opening balance
24,535,257.34
Income received 11,937.48
* Six
Total receipts
11,937.48
Expenses paid (143.84)
month trailing
Total disbursements
(143.84)
Interportfolio transfers 0.00
0.19
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
(19,545.75)
Ending fair value
24,527,505.23
* rates reflected are cumulative
SAN RAFAEL
Comnarative Rates of Return W
Change in fair value
(19,545.75)
* Twelve
* Six
* One month
24,577,946.71
month trailing
month trailing
income
Fed Funds
0.35
0.19
0.03
Overnight Repo
0.43
0.24
0.04
Merrill Lynch 3m US Treas Bill
0.31
0.17
0.03
Merrill Lynch 6m US Treas Bill
0.64
0.32
0.06
ML 1 Year US Treasury Note
0.60
0.30
0.05
ML US Treasury 1-3
0.91
0.32
(0.07)
ML US Treasury 1-5
1.55
0.43
(0.20)
* 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
(19,545.75)
Interest
Change in
Total
24,577,946.71
earned
fair value
income
Cash and Cash Equivalents
(0.02)
0.00
(0.02)
Corporate Bonds
7,751.36
(3,109.00)
4,642.36
Government Agencies
11,825.19
(14,674.50)
(2,849.31)
Government Bonds
3,326.20
(1,762.25)
1,563.95
Municipal/Provincial Bonds
6,653.50
0.00
6,653.50
Total
29,556.23
(19,545.75)
10,010.48
Summary of Fair Value Basis Return for the Period
Total portfolio
Interest earned
29,556.23
Change in fair value
(19,545.75)
Total income on portfolio
10,010.48
Average daily total value *
24,577,946.71
Period return (%)
0.04
YTD return (%)
1.19
Weighted average final maturity in days
800
* Total value equals market value and accrued interest
5
RECAP OF SECURITIES HELD
As of October 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
38,428.98
38,428.98
38,428.98
0.00
1
0.16
0.00
Corporate Bonds
4,636,411.50
4,581,739.40
4,579,915.25
(1,824.15)
517
18.86
1.38
Government Agencies
13,146,496.28
13,140,216.11
13,135,422.50
(4,793.61)
549
53.47
1.45
Government Bonds
5,243,144.54
5,247,184.26
5,252,938.50
5,754.24
241
21.33
0.65
Municipal/Provincial Bonds
1,520,800.00
1,520,800.00
1,520,800.00
0.00
5,785
6.19
10.92
24,585,281.30 1
.:
:00
1 i
Portfolio diversification (%)
■ Cash and Cash Equivalents
0.16
■ Corporate Bonds
18.86
■ Government Agencies
53.47
■ Government Bonds
21.33
■ Municipal/Provincial Bonds
6.19
Total
100.00
SAN RAFAEL
6
MATURITY DISTRIBUTION OF SECURITIES HELD
As of October 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
8.00
E 6.00
E
0
0
4.00
u
0
x
2.00
KIN
Maturity distribution
J C§l
�O
Historic cost
1,637,294.61
2,753,927.97
7,563,875.94
6,572,403.50
4,536,979.28
0.00
0.00
1,520,800.00
Percent
6.66
11.20
30.77
26.73
18.45
0.00
0.00
6.19
SAN RAFAEL
7
SECURITIES HELD SAN RAFAEL
As of October 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
38,428.98
38,428.98
38,428.98
38,428.98
0.00
0.00
0.00
0.00
0.16
0.00
0.00
0.00
Total Cash and Cash Equivalents
38,428.98
38,428.98
38,428.98
* 38,428.98
0.00
0.00
0.00
0.00
0.16
0.00
0.00
0.00
Corporate Bonds
24422ERN1
1.400 03/15/2017
500,000.00
504,785.00
500,897.19
500,770.00
(127.19)
0.00
602.77
894.44
2.05
JOHN DEERE CAPITAL CORP
0.00
(199.37)
(291.00)
1.4% 15/03/2017
717081 DJ9
1.100 05/15/2017
500,000.00
499,595.00
499,908.59
500,676.25
767.66
0.00
473.61
2,536.11
2.03
PFIZER INC 1.1 % 15/05/2017
0.00
14.06
262.00
459200GJ4
5.700 09/14/2017
500,000.00
568,635.00
518,937.95
520,050.50
1,112.55
0.00
2,454.16
3,720.83
2.31
IBM CORP 5.7% 14/09/2017
09/13/2017
0.00
(1,809.36)
(1,735.00)
94988J5A1
1.650 01/22/2018
500,000.00
501,930.00
501,216.92
501,700.00
483.08
0.00
710.42
2,268.75
2.04
WELLS FARGO BANK NA 1.65%
0.00
(82.59)
250.50
22/01/2018
037833AJ9
1.000 05/03/2018
500,000.00
498,090.00
498,713.24
499,339.50
626.26
0.00
430.55
2,472.22
2.03
APPLE INC 1%03/05/2018
0.00
71.09
36.50
084670BX5
1.150 08/15/2018
500,000.00
500,355.00
500,315.83
499,272.00
(1,043.83)
0.00
495.14
1,213.89
2.04
BERKSHIRE HATHAWAY INC
0.00
(14.69)
(458.00)
1.15% 15/08/2018
25468PDD5
1.500 09/17/2018
550,000.00
555,351.50
555,004.10
554,185.50
(818.60)
0.00
710.41
1,008.33
2.26
WALT DISNEY COMPANY/THE
0.00
(221.74)
(110.00)
1.5% 17/09/2018
91159HHE3
1.950 11/15/2018
500,000.00
509,425.00
508,468.67
505,551.00
(2,917.67)
0.00
839.58
4,495.83
2.07
US BANCORP 1.95%
10/15/2018
0.00
(345.66)
(800.50)
15/11/2018 (CALLABLE
15/10/18)
8
SECURITIES HELD
As of October 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
149121-6R7
1.350 05/18/2019
500,000.00
498,245.00
498,276.91
498,370.50
93.59
0.00
CATERPILLAR FINL SERVICE
(2,812.50)
31.91
125.50
1.35% 18/05/2019
Total Corporate Bonds
M:
4,550,000.00
4,636,411.50
4,581,739.40
4,579,915.25
(1,824.15)
0.00
(2,812.50)
(2,556.35)
(2,720.00)
Government Agencies
3137EADC0
1.000 03/08/2017
500,000.00
501,500.00
500,180.62
501,001.50
820.88
0.00
FREDDIE MAC 1% 08/03/2017
0.00
(42.33)
(146.50)
3135GOZB2
0.750 04/20/2017
500,000.00
496,725.00
499,496.15
500,528.50
1,032.35
1,875.00
FANNIE MAE 0.75%20/04/2017
0.00
88.91
(81.00)
3133EEX62
0.800 06/16/2017
1,000,000.00
999,770.00
999,928.01
1,001,333.00
1,404.99
0.00
FEDERAL FARM CREDIT BANK
0.00
9.56
(342.00)
0.8% 16/06/2017
3137EADV8
0.750 07/14/2017
1,000,000.00
998,530.00
999,502.16
1,001,073.00
1,570.84
0.00
FREDDIE MAC 0.75%
0.00
58.80
108.00
14/07/2017
3136GOZH7
1.050 09/05/2017
1,000,000.00
1,005,150.00
1,002,037.29
1,001,290.00
(747.29)
0.00
FANNIE MAE 1.05%05/09/2017
0.00
(200.39)
(2,360.00)
CALLABLE
313380EC7
0.750 09/08/2017
1,000,000.00
998,790.00
999,495.70
1,000,955.00
1,459.30
0.00
FEDERAL HOME LOAN BANK
0.00
49.12
980.00
0.75% 08/09/2017
3130A51-56
0.900 10/27/2017
1,000,000.00
999,070.00
999,610.77
1,000,840.00
1,229.23
4,500.00
FEDERAL HOME LOAN BANK
0.00
32.70
(230.00)
0.9% 27/10/2017
3130A6D87
0.900 11/20/2017
1,000,000.00
1,000,660.00
1,000,309.25
999,690.00
(619.25)
0.00
FEDERAL HOME LOAN BANK
0.00
(24.41)
(920.00)
0.9% 2011112017
SAN RAFAEL
Interest Total
earned accrued Port
interest cost
243.75 3,056.25 2.03
6,960.39 2
430.55 736.11 2.04
688.89 3,000.00 4.07
645.84 2,229.17 4.06
904.16 1,633.33 4.09
645.84 1,104.17 4.06
775.00 100.00 4.06
775.00 4,025.00 4.07
9
SECURITIES HELD SAN RAFAEL
As of October 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
313378A43
1.375 03/09/2018
1,000,000.00
1,007,970.00
1,004,190.68
1,007,480.00
3,289.32
0.00
1,184.03
1,986.11
4.10
FEDERAL HOME LOAN BANK
0.00
(257.09)
(670.00)
1.375% 09/03/2018
3133EGFQ3
0.875 09/14/2018
500,000.00
500,497.00
500,414.58
499,427.50
(987.08)
0.00
376.74
571.18
2.04
FEDERAL FARM CREDIT BANK
0.00
(18.45)
(314.00)
0.875% 14/09/2018
3135GOH63
1.375 01/28/2019
1,000,000.00
1,012,490.00
1,011,326.51
1,008,995.00
(2,331.51)
0.00
1,184.02
3,552.08
4.12
FANNIE MAE 1.375%
0.00
(420.54)
(2,052.00)
28/01/2019
3133782M2
1.500 03/08/2019
1,000,000.00
1,014,124.28
1,012,865.08
1,011,582.00
(1,283.08)
0.00
1,291.66
2,208.33
4.12
FEDERAL HOME LOAN BANK
0.00
(455.13)
(1,488.00)
1.5% 08/03/2019
3135GOL76
1.075 07/11/2019
600,000.00
599,100.00
599,133.89
597,018.00
(2,115.89)
0.00
555.41
1,970.83
2.44
FANNIE MAE 1.075%
01/11/2017
0.00
26.75
(1,638.00)
1110712019 (CALLABLE
11/01/17)
3133EGSCO
1.000 08/26/2019
1,000,000.00
1,000,610.00
1,000,571.73
995,910.00
(4,661.73)
0.00
861.12
1,805.56
4.07
FEDERAL FARM CREDIT BANK
0.00
(16.89)
(3,580.00)
1% 26/08/2019
313380FB8
1.375 09/13/2019
1,000,000.00
1,011,510.00
1,011,153.69
1,008,299.00
(2,854.69)
0.00
1,184.02
1,833.33
4.11
FEDERAL HOME LOAN BANK
0.00
(323.92)
(1,941.00)
1.375% 13/09/2019
Total Government Agencies
13,100,000.00
13,146,496.28
13,140,216.11
13,135,422.50
(4,793.61)
6,375.00
11,825.19
26,869.78
53.47
MEMI& 0.00 (1,493.31) (14,674.50)
Government Bonds
912828WF3 0.625 11/15/2016 1,000,000.00 999,765.63 999,995.91 1,000,169.00 173.09 0.00 526.50 2,870.25 4.07
USA TREASURY 0.625% 0.00 8.45 (339.00)
15/11/2016
10
SECURITIES HELD SAN RAFAEL
As of October 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
912828SJ0
0.875 02/28/2017
750,000.00
751,464.84
750,179.19
751,341.00
1,161.81
0.00
561.99
1,105.84
3.06
USA TREASURY 0.875%
0.00
(46.28)
(234.75)
28/02/2017
912828C32
0.750 03/15/2017
500,000.00
499,453.13
499,924.05
500,627.50
703.45
0.00
321.13
476.52
2.03
USA TREASURY 0.75%
0.00
17.45
(36.50)
15/03/2017
912828WP1
0.875 06/15/2017
500,000.00
499,414.06
499,853.19
500,859.50
1,006.31
0.00
370.56
1,649.59
2.03
USA TREASURY 0.875%
0.00
20.05
(97.50)
15/06/2017
912828TM2
0.625 08/31/2017
1,000,000.00
994,921.88
998,318.36
999,531.00
1,212.64
0.00
535.22
1,053.18
4.05
USA TREASURY 0.625%
0.00
171.49
(196.00)
31/08/2017
912828G20
0.875 11/15/2017
500,000.00
500,625.00
500,277.45
500,683.50
406.05
0.00
368.54
2,009.17
2.04
USA TREASURY 0.875%
0.00
(22.64)
(273.50)
15/11/2017
912828UR9
0.750 02/28/2018
1,000,000.00
997,500.00
998,636.11
999,727.00
1,090.89
0.00
642.26
1,263.81
4.06
USA TREASURY 0.75%
0.00
87.18
(585.00)
28/02/2018
Total Government Bonds
5,250,000.00
5,243,144.54
5,247,184.26
5,252,938.50
0
3,326.20
10,428.36
21.33
5,754.24
235.70
(1,762.25)
�
i
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
0.00
6,653.50
6,653.50
6.19
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 0.00 6,653.50 6,653.50 6.19
IF 0.00 0.00 0.00
III
GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL
As of October 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 Home Loan Banks
313380EC7
FEDERAL HOME LOAN
0.750
09/08/2017
AA+
Aaa
1,000,000.00
998,790.00
4.06
1,000,955.00
4.08
0.85
3130A5L56
FEDERAL HOME LOAN
0.900
10/27/2017
AA+
Aaa
1,000,000.00
999,070.00
4.06
1,000,840.00
4.08
0.98
3130A6D87
FEDERAL HOME LOAN
0.900
11/20/2017
AA+
Aaa
1,000,000.00
1,000,660.00
4.07
999,690.00
4.08
1.04
313378A43
FEDERAL HOME LOAN
1.375
03/09/2018
AA+
Aaa
1,000,000.00
1,007,970.00
4.10
1,007,480.00
4.11
1.34
3133782M2
FEDERAL HOME LOAN
1.500
03/08/2019
AA+
Aaa
1,000,000.00
1,014,124.28
4.12
1,011,582.00
4.12
2.30
313380FB8
FEDERAL HOME LOAN
1.375
09/13/2019
AA+
Aaa
1,000,000.00
1,011,510.00
4.11
1,008,299.00
4.11
2.80
Issuer total
6,000,000.00
6,032,124.28
24.54
6,028,846.00
24.58
1.56
United States Treasury Note/Bond
912828WF3
USA TREASURY 0.625%
0.625
11/15/2016
AA+
Aaa
1,000,000.00
999,765.63
4.07
1,000,169.00
4.08
0.04
912828SJO
USA TREASURY 0.875%
0.875
02/28/2017
AA+
Aaa
750,000.00
751,464.84
3.06
751,341.00
3.06
0.32
912828C32
USA TREASURY 0.75%
0.750
03/15/2017
AA+
Aaa
500,000.00
499,453.13
2.03
500,627.50
2.04
0.37
912828WP1
USA TREASURY 0.875%
0.875
06/15/2017
AA+
Aaa
500,000.00
499,414.06
2.03
500,859.50
2.04
0.61
912828TM2
USA TREASURY 0.625%
0.625
08/31/2017
AA+
Aaa
1,000,000.00
994,921.88
4.05
999,531.00
4.08
0.83
912828620
USA TREASURY 0.875%
0.875
11/15/2017
AA+
Aaa
500,000.00
500,625.00
2.04
500,683.50
2.04
1.03
912828UR9
USA TREASURY 0.75%
0.750
02/28/2018
AA+
Aaa
1,000,000.00
997,500.00
4.06
999,727.00
4.08
1.32
Issuer total
5,250,000.00
5,243,144.54
21.33
5,252,938.50
21.42
0.65
Federal National Mortgage Association
3135GOZB2
FANNIE MAE 0.75%
0.750
04/20/2017
AA+
Aaa
500,000.00
496,725.00
2.02
500,528.50
2.04
0.46
3136GOZH7
FANNIE MAE 1.05%
1.050
09/05/2017
AA+
Aaa
1,000,000.00
1,005,150.00
4.09
1,001,290.00
4.08
0.84
3135GOH63
FANNIE MAE 1.375%
1.375
01/28/2019
AA+
Aaa
1,000,000.00
1,012,490.00
4.12
1,008,995.00
4.11
2.20
3135GOL76
FANNIE MAE 1.075%
1.075
07/11/2019 01/11/2017
AA+
Aaa
600,000.00
599,100.00
2.44
597,018.00
2.43
1.91
Issuer total
3,100,000.00
3,113,465.00
12.66
3,107,831.50
12.67
1.43
IT,
GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE
As of October 31, 2016
Cusip Description Coupon Maturity Call date 5&P Moody Par value or Historical % Portfolio Market % Portfolio
date rating rating shares cost hist cost value mkt value
Federal Farm Credit Banks
3133EEX62 FEDERAL FARM CREDIT
0.800
06/16/2017
AA+
Aaa
1,000,000.00
999,770.00
3133EGFQ3 FEDERAL FARM CREDIT
0.875
09/14/2018
AA+
Aaa
500,000.00
500,497.00
3133EGSCO FEDERAL FARM CREDIT
1.000
08/26/2019
AA+
Aaa
1,000,000.00
1,000,610.00
Issuer total
6.20
10.92
2.04
501,001.50
2,500,000.00
2,500,877.00
Pt. San Assess District
1,001,073.00
4.08
0.69
6.10
1,502,074.50
6.12
888599LS4 PT. SAN ASSESS
5.250
09/02/2032
NR
NR
1,520,800.00
1,520,800.00
Issuer total
1.85
2.31
520,050.50
2.12
1,520,800.00
1,520,800.00
Federal Home Loan Mortgage
Corp
0.85
2.07
505,551.00
2.06
1.93
3137EADCO FREDDIEMAC1%
1.000
03/08/2017
AA+
Aaa
500,000.00
501,500.00
3137EADV8 FREDDIE MAC 0.75%
0.750
07/14/2017
AA+
Aaa
1,000,000.00
998,530.00
Issuer total
1,500,000.00
1,500,030.00
Walt Disney Co/The
25468PDD5 WALT DISNEY
1.500
09/17/2018
A
A2
550,000.00
555,351.50
Issuer total
550,000.00
555,351.50
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
Issuer total
500,000.00
568,635.00
US Bancorp
91159HHE3 US BANCORP 1.95%
1.950
11/15/2018 10/15/2018
A+
Al
500,000.00
509,425.00
Issuer total
500,000.00
509,425.00
SAN RAFAEL
Effective
dur (yrs)
4.07
1,001,333.00
4.08
0.62
2.04
499,427.50
2.04
1.85
4.07
995,910.00
4.06
2.77
10.17
2,496,670.50
10.18
1.73
6.19
1,520,800.00
6.20
10.92
6.19
1,520,800.00
6.20
10.92
2.04
501,001.50
2.04
0.35
4.06
1,001,073.00
4.08
0.69
6.10
1,502,074.50
6.12
0.58
2.26
554,185.50
2.26
1.85
2.26
554,185.50
2.26
1.85
2.31
520,050.50
2.12
0.85
2.31
520,050.50
2.12
0.85
2.07
505,551.00
2.06
1.93
2.07
505,551.00
2.06
1.93
13
GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL
As of October 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)
Wells Fargo Bank NA
94988J5A1 WELLS FARGO BANK NA
1.650
01/22/2018
AA-
Aa2
500,000.00
501,930.00
2.04
501,700.00
2.05
1.21
Issuer total
500,000.00
501,930.00
2.04
501,700.00
2.05
1.21
John Deere Capital Corp
24422ERN1 JOHN DEERE CAPITAL
1.400
03/15/2017
A
A2
500,000.00
504,785.00
2.05
500,770.00
2.04
0.37
Issuer total
500,000.00
504,785.00
2.05
500,770.00
2.04
0.37
Pfizer Inc
717081DJ9 PFIZER INC 1.1%
1.100
05/15/2017
AA
Al
500,000.00
499,595.00
2.03
500,676.25
2.04
0.53
Issuer total
500,000.00
499,595.00
2.03
500,676.25
2.04
0.53
Apple Inc
037833AJ9 APPLE INC 1%03/05/2018
1.000
05/03/2018
AA+
Aal
500,000.00
498,090.00
2.03
499,339.50
2.04
1.48
Issuer total
500,000.00
498,090.00
2.03
499,339.50
2.04
1.48
Berkshire Hathaway Inc
0846706x5 BERKSHIRE HATHAWAY
1.150
08/15/2018
AA
Aa2
500,000.00
500,355.00
2.04
499,272.00
2.04
1.76
Issuer total
500,000.00
500,355.00
2.04
499,272.00
2.04
1.76
Caterpillar Financial Services Corp
14912L6R7 CATERPILLAR FINL
1.350
05/18/2019
A
A2
500,000.00
498,245.00
2.03
498,370.50
2.03
2.49
Issuer total
500,000.00
498,245.00
2.03
498,370.50
2.03
2.49
Cash and Cash Equivalents
INVESTED CASH
0.000
38,428.98
38,428.98
0.16
38,428.98
0.16
0.00
Issuer total
38,428.98
38,428.98
0.16
38,428.98
0.16
0.00
Grand total
24,459,228.98
24,585,281.30
100.00
24,527,505.23
100.00
1.85
14
SECURITIES PURCHASED
For the period October 1, 2016 - October 31, 2016
Cusip / Description / Broker Trade date
Settle date
Corporate Bonds
149121-61R7 10/14/2016
CATERPILLAR FINL SERVICE 1.35% 18/05/2019 10/18/2016
BARCLAYS CAPITAL
Total Corporate Bonds
Coupon Maturity/ Par value or Unit cost
Call date shares
1.350 05/18/2019
IL
SAN RAFAEL
Principal Accrued
cost interest purchased
500,000.00 99.65 (498,245.00) (2,812.50)
500,000.00 (498,245.00) (2,812.50)
15
SECURITIES SOLD AND MATURED
For the period October 1, 2016 - October 31, 2016
Cusip/ Trade date Coupon Maturity/ Par value or Historical cost Amortized cost
Description/ Settle date Call date shares at sale or maturity
Broker /Accr (amort)
Corporate Bonds
36962G5H3 10/17/2016 3.350 (500,000.00) 530,685.00 500,000.00
GENERAL ELEC CAP CORP 10/17/2016 (574.50)
3.35 DUE 10-17-2016
Total (Corporate Bonds) (500,000.00) 530,685.00 500,000.00
SAN RAFAEL
Price Fair value at Realized Accrued Interest Interest
sale or maturity / gain interest received earned
Chg.in fair value (loss) sold
0.00 500,000.00 0.00 0.00 8,375.00 790.97
(389.00)
500,000.00 0.00 0.00 8,375.00 790.97
16
TRANSACTION REPORT SAN RAFAEL
For the period October 1, 2016 - October 31, 2016
Trade date
Cusip
Transaction
Sec type
Description
Maturity
Par value or
Realized
Principal
Interest
Transaction total
Settle date
shares
gain(loss)
10/14/2016
14912L6R7
Bought
Corporate Bonds
CATERPILLAR FINL SERVICE
05/18/2019
500,000.00
0.00
(498,245.00)
(2,812.50)
(501,057.50)
10/18/2016
10/17/2016
36962G5H3
Income
Corporate Bonds
GENERAL ELEC CAP CORP 3.35
10/17/2016
500,000.00
0.00
0.00
8,375.00
8,375.00
10/17/2016
10/17/2016
36962G5H3
Capital Change
Corporate Bonds
GENERAL ELEC CAP CORP 3.35
10/17/2016
(500,000.00)
0.00
500,000.00
0.00
500,000.00
10/17/2016
10/20/2016
3135GOZB2
Income
Government Agencies
FANNIEMAE0.75%20/04/2017
04/20/2017
500,000.00
0.00
0.00
1,875.00
1,875.00
10/20/2016
10/27/2016
3130A51-56
Income
Government Agencies
FEDERAL HOME LOAN BANK
10/27/2017
1,000,000.00
0.00
0.00
4,500.00
4,500.00
10/27/2016
10/31/2016
Income
Cash and Cash Equivalents
Cash
0.00
0.00
0.00
(0.02)
(0.02)
17
ADDITIONAL INFORMATION
As of October 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 October 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
November 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 18
FIXED INCOME MARKET REVIEW
As of November 30, 2016
SAN RAFAEL
Chart 1: Institute of Supply Management (ISM) 11 /30/2011-11/30/2016 Economic Indicators and Monetary Policv
60 - Interest rates increased across the yield curve in November following the
surprising US presidential election results. Market expectations for economic
55growth and inflation have risen, due to higher expected fiscal stimulus fueled by
infrastructure spending and the potential for revised trade policies. Interest rates
50 �, `v�v \/ also responded to the potential of a future tax cut, which was touted during the
Aj"v-
X campaign and could lead to larger budget deficits and an increased likelihood of
45 inflation in the future.
i 40 - In addition to the election results, the market is pricing in the expectation of a
0 25bp increase in the overnight federal funds rate in December. Two additional
2: 35 - moves by the FOMC are currently expected in 2017. The year -over -year shift in
interest rates is shown in Chart 2.
30
Nov -11 Nov -12 Nov -13 Nov -14
Manufacturing
Source: Bloomberg Finance LP, November 30, 2016.
Chart 2: Treasury Yield Curves 11 /30/2015-11/30/2016
3.00% -
2.50%
a� 2.00%
ZAT
1.50% -
a 1.00% -
0.50% -
Nov -15 Nov -16 Economic indicators were generally positive in November. The Institute for Supply
Management (ISM) survey for the manufacturing sector improved in November,
increasing from 51.9 to 53.2. This improvement was the fastest pace in the last
five months. (See Chart 1.)
The unemployment rate tumbled in November from 4.9% to a nine year low of
4.6%. Payrolls rose 178,000 in the most recent survey and hiring continued even
prior to the election in early November.
Although job growth generally met expectations, wage growth was somewhat
disappointing. The expectation was for a 0.2% increase in average hourly wages,
but the actual report showed a drop of 0.1 %. The drop in wages is an indication
that inflation continues to remain in check at this time. Private sector employment
rose 156,000, up from an increase of 135,000 in October. Government payrolls
increased by 22,000, with 19,000 of that number coming from state and local
governments.
—11/30/2016 Interest Rate Summary
—11/30/2015
0.001
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, November30, 2015, November30, 2016.
At the end of November, the 3 -month US Treasury bill yielded 0.49%, the 6 -month
US Treasury bill yielded 0.61%, the 2 -year US Treasury note yielded 1.12%, the 5 -
year US Treasury note yielded 1.85%, and the 10 -year US Treasury note yielded
2.39%. (See Chart 2.)
3
ACTIVITY AND PERFORMANCE SUMMARY
For the period November 1, 2016 - November 30, 2016
Amortized Cost Basis Activitv Summary
Opening balance
Income received
Total receipts
Expenses paid
Total disbursements
Interportfolio transfers
Total Interportfolio transfers
Realized gain (loss)
Total amortization expense
Total OID/MKT accretion income
Return of capital
Closing balance
Ending fair value
Unrealized gain (loss)
Fed Funds
Overnight Repo
Merrill Lynch 3m US Treas Bill
Merrill Lynch 6m US Treas Bill
ML 1 Year US Treasury Note
ML 2 Year US Treasury Note
ML 5 Year US Treasury Note
24,528,368.75
* Twelve
19,526.39
month trailing
19, 526.39
0.37
0.20
Corporate Bonds
(143.79)
Government Agencies
(143.79)
Government Bonds
0.00
Municipal/Provincial Bonds
0.00
Total
0.00
1.32
(4,548.81)
2,967.10
701.94
0.00
0.00
6,653.50
24,543,904.48
0.00
24,468,662.28
28,114.17
(75,242.20)
0.00
Comoarative Rates of Return W
* Twelve
* Six
month trailing
month trailing
0.37
0.20
0.45
0.24
0.27
0.15
0.39
0.21
0.60
0.30
0.82
0.39
1.32
0.62
* 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
6,827.10
(2,531.97)
0.00
4,295.13
11,666.47
(1,538.87)
0.00
10,127.60
2,967.10
223.97
0.00
3,191.07
6,653.50
0.00
0.00
6,653.50
28,114.17
(3,846.87)
0.00
24,267.30
4
Summary of Amortized Cost Basis Return for the Period
* One month
Total portfolio
0.03
Interest earned
28,114.17
0.03
Accretion (amortization)
(3,846.87)
0.03
Realized gain (loss) on sales
0.00
0.04
Total income on portfolio
24,267.30
0.06
Average daily amortized cost
24,536,465.02
0.08
0.13
Period return 1%)
0.10
YTD return (%)
1.06
Weighted average final maturity in days
818
4
ACTIVITY AND PERFORMANCE SUMMARY
For the period November 1, 2016
- November 30, 2016
Fair Value Basis Activitv Summary
Opening balance
24,527,505.23
Income received
19,526.39
Total receipts
19,526.39
Expenses paid
(143.79)
Total disbursements
(143.79)
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
(78,225.55)
Ending fair value
24,468,662.28
* rates reflected are cumulative
SAN RAFAEL
Comnarative Rates of Return W
Change in fair value
(78,225.55)
* Twelve
* Six
* One month
24,564,172.89
month trailing
month trailing
income
Fed Funds
0.37
0.20
0.03
Overnight Repo
0.45
0.24
0.03
Merrill Lynch 3m US Treas Bill
0.32
0.18
0.02
Merrill Lynch 6m US Treas Bill
0.67
0.33
0.02
ML 1 Year US Treasury Note
0.70
0.27
(0.07)
ML US Treasury 1-3
0.76
0.03
(0.40)
ML US Treasury 1-5
0.92
(0.34)
(0.92)
* 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
(78,225.55)
Interest
Change in
Total
24,564,172.89
earned
fair value
income
Corporate Bonds
6,827.10
(17,879.30)
(11,052.20)
Government Agencies
11,666.47
(55,020.50)
(43,354.03)
Government Bonds
2,967.10
(5,325.75)
(2,358.65)
Municipal/Provincial Bonds
6,653.50
0.00
6,653.50
Total
28,114.17
(78,225.55)
(50,111.38)
Summary of Fair Value Basis Return for the Period
Total portfolio
Interest earned
28,114.17
Change in fair value
(78,225.55)
Total income on portfolio
(50,111.38)
Average daily total value *
24,564,172.89
Period return (%)
(0.20)
YTD return (%)
0.98
Weighted average final maturity in days
818
* Total value equals market value and accrued interest
5
RECAP OF SECURITIES HELD
As of November 30, 2016
Portfolio diversification (%)
Weighted
Historical
Amortized
Fair value
Unrealized
average
cost
cost
effective
gain (loss)
Cash and Cash Equivalents
54,681.58
54,681.58
54,681.58
0.00
Corporate Bonds
4,636,411.50
4,579,207.43
4,562,035.95
(17,171.48)
Government Agencies
14,149,626.28
14,141,807.24
14,083,532.00
(58,275.24)
Government Bonds
4,243,378.91
4,247,408.23
4,247,612.75
204.52
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
0.22
0.00
487
18.84
1.31
565
57.51
1.51
264
17.25
0.71
5,755
6.18
10.80
■ Cash and Cash Equivalents
0.22
■ Corporate Bonds
18.84
■ Government Agencies
57.51
■ Government Bonds
17.25
■ Municipal/Provincial Bonds
6.18
Total
100.00
SAN RAFAEL
6
MATURITY DISTRIBUTION OF SECURITIES HELD
As of November 30, 2016
Maturity
Historic cost
Percent
Under 90 days
653,781.58
2.66
90 to 179 days
3,253,522.97
13.22
180 days to 1 year
8,565,565.94
34.81
1 to 2 years
5,071,1 18.50
20.61
2 to 3 years
4,536,979.28
18.44
3 to 4 years
1,003,130.00
4.08
4 to 5 years
0.00
0.00
Over 5 years
1,520,800.00
6.18
owl
E 8.00
E
6.00
0
L 4.00
0
= 2.00
NOR
Maturity distribution
ae
J�ae`Co C§o-as o o
�O
�5
�a
h�
e�
�J
SAN RAFAEL
7
SECURITIES HELD SAN RAFAEL
As of November 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
54,681.58
54,681.58
54,681.58
54,681.58
0.00
0.00
0.00
0.00
0.22
0.00
0.00
0.00
Total Cash and Cash Equivalents
54,681.58
54,681.58
54,681.58
0.00
0.00
0.00
0.00
0.22
0.00
0.00
Corporate Bonds
24422ERN1
1.400 03/15/2017
500,000.00
504,785.00
500,697.81
500,728.50
30.69
0.00
563.89
1,458.33
2.05
JOHN DEERE CAPITAL CORP
0.00
(199.38)
(41.50)
1.4% 15/03/2017
717081 DJ9
1.100 05/15/2017
500,000.00
499,595.00
499,922.66
500,238.75
316.09
2,750.00
443.06
229.17
2.03
PFIZER INC 1.1 % 15/05/2017
0.00
14.07
(437.50)
459200GJ4
5.700 09/14/2017
500,000.00
568,635.00
517,128.59
517,612.00
483.41
0.00
2,295.84
6,016.67
2.31
IBM CORP 5.7% 14/09/2017
09/13/2017
0.00
(1,809.36)
(2,438.50)
94988J5A1
1.650 01/22/2018
500,000.00
501,930.00
501,134.32
500,464.00
(670.32)
0.00
664.58
2,933.33
2.04
WELLS FARGO BANK NA 1.65%
0.00
(82.60)
(1,236.00)
22/01/2018
037833AJ9
1.000 05/03/2018
500,000.00
498,090.00
498,784.33
497,710.00
(1,074.33)
2,500.00
402.78
375.00
2.02
APPLE INC L%03/05/2018
0.00
71.09
(1,629.50)
084670BX5
1.150 08/15/2018
500,000.00
500,355.00
500,301.14
497,514.00
(2,787.14)
0.00
463.19
1,677.08
2.03
BERKSHIRE HATHAWAY INC
0.00
(14.69)
(1,758.00)
1.15% 15/08/2018
25468PDD5
1.500 09/17/2018
550,000.00
555,351.50
554,782.35
551,096.70
(3,685.65)
0.00
664.59
1,672.92
2.26
WALT DISNEY COMPANY/THE
0.00
(221.75)
(3,088.80)
1.5% 17/09/2018
91159HHE3
1.950 11/15/2018
500,000.00
509,425.00
508,123.01
502,720.00
(5,403.01)
4,875.00
785.42
406.25
2.07
US BANCORP 1.95%
10/15/2018
0.00
(345.66)
(2,831.00)
15/11/2018 (CALLABLE
15/10/18)
8
SECURITIES HELD
As of November 30, 2016
Cusip/
Coupon Maturity/
Par value or
Historical cost/
Amortized cost/
Fair value/
Unrealized
Interest
Description
Call date
shares
Accrued interest
Accretion
Change in fair
gain
received
purchased
(amortization)
value
(loss)
Corporate Bonds
149121-6R7
1.350 05/18/2019
500,000.00
498,245.00
498,333.22
493,952.00
(4,381.22)
3,375.00
CATERPILLAR FINL SERVICE
0.00
56.31
(4,418.50)
1.35% 18/05/2019
Total Corporate Bonds
M4,579,207.43
4,550,000.00
4,636,411.50
4,562,035.95
(17,171.48)
13,500.00
0.00
(2 531.9
7,879.30)
Government Agencies
3137EADC0
1.000 03/08/2017
500,000.00
501,500.00
500,138.29
500,643.50
505.21
0.00
FREDDIE MAC 1% 08/03/2017
0.00
(42.33)
(358.00)
3135GOZB2
0.750 04/20/2017
500,000.00
496,725.00
499,585.07
500,171.50
586.43
0.00
FANNIE MAE 0.75%20/04/2017
0.00
88.92
(357.00)
3133EEX62
0.800 06/16/2017
1,000,000.00
999,770.00
999,937.56
1,000,383.00
445.44
0.00
FEDERAL FARM CREDIT BANK
0.00
9.55
(950.00)
0.8% 16/06/2017
3137EADV8
0.750 07/14/2017
1,000,000.00
998,530.00
999,560.96
1,000,239.00
678.04
0.00
FREDDIE MAC 0.75%
0.00
58.80
(834.00)
14/07/2017
3136GOZH7
1.050 09/05/2017
1,000,000.00
1,005,150.00
1,001,836.90
1,001,740.00
(96.90)
0.00
FANNIE MAE 1.05%05/09/2017
0.00
(200.39)
450.00
CALLABLE
313380EC7
0.750 09/08/2017
1,000,000.00
998,790.00
999,544.82
999,207.00
(337.82)
0.00
FEDERAL HOME LOAN BANK
0.00
49.12
(1,748.00)
0.75% 08/09/2017
3130A51-56
0.900 10/27/2017
1,000,000.00
999,070.00
999,643.48
999,470.00
(173.48)
0.00
FEDERAL HOME LOAN BANK
0.00
32.71
(1,370.00)
0.9% 27/10/2017
3130A6D87
0.900 11/20/2017
1,000,000.00
1,000,660.00
1,000,284.83
998,420.00
(1,864.83)
4,500.00
FEDERAL HOME LOAN BANK
0.00
(24.42)
(1,270.00)
0.9% 2011112017
SAN RAFAEL
Interest Total
2,479.17
earned accrued
Port
interest
cost
543.75 225.00
2.02
6,827.10 14,993.75 18.84
402.78 1,138.89 2.04
644.44 3,644.44 4.06
604.16 2,833.33 4.06
845.84
2,479.17
4.09
604.16
1,708.33
4.06
725.00
825.00
4.06
725.00
250.00
4.07
9
SECURITIES HELD
As of November 30, 2016
SAN RAFAEL
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
1,003,933.58
1,004,270.00
336.42
0.00
1,107.64
3,093.75
4.10
FEDERAL HOME LOAN BANK
0.00
(257.10)
(3,210.00)
1.375% 09/03/2018
3133EGFQ3
0.875 09/14/2018
500,000.00
500,497.00
500,396.12
497,195.00
(3,201.12)
0.00
352.43
923.61
2.03
FEDERAL FARM CREDIT BANK
0.00
(18.46)
(2,232.50)
0.875% 14/09/2018
3135GOH63
1.375 01/28/2019
1,000,000.00
1,012,490.00
1,010,905.97
1,003,340.00
(7,565.97)
0.00
1,107.64
4,659.72
4.11
FANNIE MAE 1.375%
0.00
(420.54)
(5,655.00)
28/01/2019
3133782M2
1.500 03/08/2019
1,000,000.00
1,014,124.28
1,012,409.95
1,004,928.00
(7,481.95)
0.00
1,208.34
3,416.67
4.12
FEDERAL HOME LOAN BANK
0.00
(455.13)
(6,654.00)
1.5% 08/03/2019
3135GOL76
1.075 07/11/2019
600,000.00
599,100.00
599,160.65
592,818.00
(6,342.65)
0.00
519.59
2,490.42
2.43
FANNIE MAE 1.075%
01/11/2017
0.00
26.76
(4,200.00)
1110712019 (CALLABLE
11/01/17)
3133EGSCO
1.000 08/26/2019
1,000,000.00
1,000,610.00
1,000,554.85
985,870.00
(14,684.85)
0.00
805.55
2,611.11
4.07
FEDERAL FARM CREDIT BANK
0.00
(16.88)
(10,040.00)
1% 26/08/2019
313380FB8
1.375 09/13/2019
1,000,000.00
1,011,510.00
1,010,829.77
997,577.00
(13,252.77)
0.00
1,107.64
2,940.97
4.11
FEDERAL HOME LOAN BANK
0.00
(323.92)
(10,722.00)
1.375% 13/09/2019
3133ECEY6
1.450 02/11/2020
1,000,000.00
1,003,130.00
1,003,084.44
997,260.00
(5,824.44)
0.00
604.17
4,390.28
4.08
FEDERAL FARM CREDIT BANK
(3,786.11)
(45.56)
(5,870.00)
1.45% 11/02/2020
Total Government Agencie
14,100,000.00
14,149,626.2 14,141,807.24
14,083,532.00
(58,275.24)
4,500.00
11,666.47
37,822.36
57.51
(3,786.11)
(1,538.87)
(55,020.50)
10
SECURITIES HELD SAN RAFAEL
As of November 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
750,134.39
750,780.75
646.36
0.00
543.85
1,649.69
3.05
USA TREASURY 0.875%
0.00
(44.80)
(560.25)
28/02/2017
912828C32
0.750 03/15/2017
500,000.00
499,453.13
499,940.92
500,386.00
445.08
0.00
310.77
787.29
2.03
USA TREASURY 0.75%
0.00
16.87
(241.50)
15/03/2017
912828WP1
0.875 06/15/2017
500,000.00
499,414.06
499,872.59
500,527.50
654.91
0.00
358.61
2,008.20
2.03
USA TREASURY 0.875%
0.00
19.40
(332.00)
15/06/2017
912828TM2
0.625 08/31/2017
1,000,000.00
994,921.88
998,484.31
998,750.00
265.69
0.00
517.95
1,571.13
4.04
USA TREASURY 0.625%
0.00
165.95
(781.00)
31/08/2017
912828G20
0.875 11/15/2017
500,000.00
500,625.00
500,255.55
499,941.50
(314.05)
2,187.50
359.62
181.29
2.03
USA TREASURY 0.875%
0.00
(21.90)
(742.00)
15/11/2017
912828UR9
0.750 02/28/2018
1,000,000.00
997,500.00
998,720.47
997,227.00
(1,493.47)
0.00
621.55
1,885.36
4.05
USA TREASURY 0.75%
0.00
84.36
(2,500.00)
28/02/2018
Total Government Bonds
4,250,000.00
4,247,408.23
4,247,612.75
2,187.50
0.00 219.88 (5,156.75)
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 0.00 6,653.50 13,307.00 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 0.00 6,653.50 13,307.00 6.18
IF 0.00 0.00 0.00
III
GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE
As of November 30, 2016
Cusip Description Coupon Maturity Call date 5&P Moody Par value or Historical % Portfolio
date rating rating shares cost hist cost
Federal Home Loan Banks
313380EC7
FEDERAL HOME LOAN
0.750
09/08/2017
3130A5L56
FEDERAL HOME LOAN
0.900
10/27/2017
3130A6D87
FEDERAL HOME LOAN
0.900
11/20/2017
313378A43
FEDERAL HOME LOAN
1.375
03/09/2018
3133782M2
FEDERAL HOME LOAN
1.500
03/08/2019
313380FB8
FEDERAL HOME LOAN
1.375
09/13/2019
Issuer total
Aaa
1,000,000.00
1,007,970.00
United States Treasury Note/Bond
1,004,270.00
912828SJO
USA TREASURY 0.875%
0.875
02/28/2017
912828C32
USA TREASURY 0.75%
0.750
03/15/2017
912828WP1
USA TREASURY 0.875%
0.875
06/15/2017
912828TM2
USA TREASURY 0.625%
0.625
08/31/2017
912828620
USA TREASURY 0.875%
0.875
11/15/2017
912828UR9
USA TREASURY 0.75%
0.750
02/28/2018
Issuer total
1.47
AA+
Aaa
Federal Farm Credit Banks
751,464.84
3.05
3133EEX62
FEDERAL FARM CREDIT
0.800
06/16/2017
3133EGFQ3
FEDERAL FARM CREDIT
0.875
09/14/2018
3133EGSCO
FEDERAL FARM CREDIT
1.000
08/26/2019
3133ECEY6
FEDERAL FARM CREDIT
1.450
02/11/2020
Issuer total
2.05
0.53
AA+
Federal National Mortgage Association
1,000,000.00
3135GOZB2
FANNIE MAE 0.75%
0.750
04/20/2017
SAN RAFAEL
Market % Portfolio Effective
value mkt value dur (yrs)
AA+
Aaa
1,000,000.00
998,790.00
4.06
999,207.00
4.08
0.76
AA+
Aaa
1,000,000.00
999,070.00
4.06
999,470.00
4.08
0.90
AA+
Aaa
1,000,000.00
1,000,660.00
4.07
998,420.00
4.08
0.96
AA+
Aaa
1,000,000.00
1,007,970.00
4.10
1,004,270.00
4.10
1.25
AA+
Aaa
1,000,000.00
1,014,124.28
4.12
1,004,928.00
4.11
2.22
AA+
Aaa
1,000,000.00
1,011,510.00
4.11
997,577.00
4.08
2.72
6,000,000.00
6,032,124.28
24.52
6,003,872.00
24.54
1.47
AA+
Aaa
750,000.00
751,464.84
3.05
750,780.75
3.07
0.24
AA+
Aaa
500,000.00
499,453.13
2.03
500,386.00
2.05
0.28
AA+
Aaa
500,000.00
499,414.06
2.03
500,527.50
2.05
0.53
AA+
Aaa
1,000,000.00
994,921.88
4.04
998,750.00
4.08
0.74
AA+
Aaa
500,000.00
500,625.00
2.03
499,941.50
2.04
0.95
AA+
Aaa
1,000,000.00
997,500.00
4.05
997,227.00
4.08
1.23
4,250,000.00
4,243,378.91
17.25
4,247,612.75
17.36
0.71
AA+
Aaa
1,000,000.00
999,770.00
4.06
1,000,383.00
4.09
0.53
AA+
Aaa
500,000.00
500,497.00
2.03
497,195.00
2.03
1.77
AA+
Aaa
1,000,000.00
1,000,610.00
4.07
985,870.00
4.03
2.69
AA+
Aaa
1,000,000.00
1,003,130.00
4.08
997,260.00
4.08
3.11
3,500,000.00
3,504,007.00
14.24
3,480,708.00
14.23
2.06
AA+
Aaa
500,000.00
496,725.00
2.02
500,171.50
2.04
0.38
IT,
GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL
As of November 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 National Mortgage Association
1,520,800.00
1,520,800.00
6.18
1,520,800.00
6.22
10.80
Federal Home Loan Mortgage Corp
3136GOZH7 FANNIE MAE 1.05%
1.050
09/05/2017
AA+
Aaa
1,000,000.00
1,005,150.00
4.09
1,001,740.00
4.09
0.76
3135GOH63 FANNIE MAE 1.375%
1.375
01/28/2019
AA+
Aaa
1,000,000.00
1,012,490.00
4.11
1,003,340.00
4.10
2.12
3135GOL76 FANNIE MAE 1.075%
1.075
07/11/2019 01/11/2017
AA+
Aaa
600,000.00
599,100.00
2.43
592,818.00
2.42
2.25
Issuer total
6.10
1,500,882.50
6.13
0.49
3,100,000.00
3,113,465.00
12.65
3,098,069.50
12.66
1.43
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
6.22
10.80
Issuer total
1,520,800.00
1,520,800.00
6.18
1,520,800.00
6.22
10.80
Federal Home Loan Mortgage Corp
3137EADCO FREDDIEMAC1% 1.000
03/08/2017
AA+
Aaa
500,000.00
501,500.00
2.04
500,643.50
2.05
0.26
3137EADV8 FREDDIE MAC 0.75% 0.750
07/14/2017
AA+
Aaa
1,000,000.00
998,530.00
4.06
1,000,239.00
4.09
0.61
Issuer total
1,500,000.00
1,500,030.00
6.10
1,500,882.50
6.13
0.49
Walt Disney Co/The
25468PDD5 WALT DISNEY 1.500
09/17/2018
A
A2
550,000.00
555,351.50
2.26
551,096.70
2.25
1.76
Issuer total
550,000.00
555,351.50
2.26
551,096.70
2.25
1.76
International Business Machines Corp
459200GJ4 IBM CORP 5.7% 5.700
09/14/2017 09/13/2017
AA-
Aa3
500,000.00
568,635.00
2.31
517,612.00
2.12
0.77
Issuer total
500,000.00
568,635.00
2.31
517,612.00
2.12
0.77
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
502,720.00
2.05
1.89
Issuer total
500,000.00
509,425.00
2.07
502,720.00
2.05
1.89
13
GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL
As of November 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)
John Deere Capital Corp
24422ERN1 JOHN DEERE CAPITAL
1.400
03/15/2017
A
A2
500,000.00
504,785.00
2.05
500,728.50
2.05
0.28
Issuer total
500,000.00
504,785.00
2.05
500,728.50
2.05
0.28
Wells Fargo Bank NA
94988J5A1 WELLS FARGO BANK NA
1.650
01/22/2018
AA-
Aa2
500,000.00
501,930.00
2.04
500,464.00
2.05
1.13
Issuer total
500,000.00
501,930.00
2.04
500,464.00
2.05
1.13
Pfizer Inc
717081DJ9 PFIZER INC 1.1%
1.100
05/15/2017
AA
Al
500,000.00
499,595.00
2.03
500,238.75
2.04
0.45
Issuer total
500,000.00
499,595.00
2.03
500,238.75
2.04
0.45
Apple Inc
037833AJ9 APPLE INC 1%03/05/2018
1.000
05/03/2018
AA+
Aal
500,000.00
498,090.00
2.02
497,710.00
2.03
1.41
Issuer total
500,000.00
498,090.00
2.02
497,710.00
2.03
1.41
Berkshire Hathaway Inc
0846706x5 BERKSHIRE HATHAWAY
1.150
08/15/2018
AA
Aa2
500,000.00
500,355.00
2.03
497,514.00
2.03
1.68
Issuer total
500,000.00
500,355.00
2.03
497,514.00
2.03
1.68
Caterpillar Financial Services Corp
14912L6R7 CATERPILLAR FINL
1.350
05/18/2019
A
A2
500,000.00
498,245.00
2.02
493,952.00
2.02
2.42
Issuer total
500,000.00
498,245.00
2.02
493,952.00
2.02
2.42
Cash and Cash Equivalents
INVESTED CASH
0.000
54,681.58
54,681.58
0.22
54,681.58
0.22
0.00
Issuer total
54,681.58
54,681.58
0.22
54,681.58
0.22
0.00
Grand total
24,475,481.58
24,604,898.27
100.00
24,468,662.28
100.00
1.90
14
SECURITIES PURCHASED
For the period November 1, 2016 - November 30, 2016
Cusip / Description / Broker Trade date Coupon Maturity/
Settle date Call date
Government Agencies
3133ECEY6 11/14/2016
FEDERAL FARM CREDIT BANK 1.45% 11/02/2020 11/15/2016
WELLS FARGO SECURITIES INTL LTD
Total Government Agencies
Grand total
Par value or Unit cost
shares
SAN RAFAEL
Principal Accrued
cost interest purchased
1.450 0211112020 1,000,000.00 100.31 (1,003,130.00) (3,786.11)
1,000,000.00 (1,003,130.00) (3,786.11)
15
SECURITIES SOLD AND MATURED
For the period November 1, 2016 - November 30, 2016
Cusip/ Trade date Coupon Maturity/ Par value or Historical cost Amortized cost
Description/ Settle date Call date shares at sale or maturity
Broker /Accr (amort)
Government Bonds
912828WF3 11/15/2016 0.625 (1,000,000.00) 999,765.63 1,000,000.00
UTD STATES TREAS .625% 11/15/2016 4.09
DUE 11-15-2016
Total (Government Bonds) (1,000,000.00) 999,765.63 1,000,000.00
4.09
(1,000,000.00) 999,765.63 1,000,000.00
E I i-- 0.
SAN RAFAEL
Price Fair value at
Realized
Accrued Interest Interest
sale or maturity /
gain
interest received earned
Chg.in fair value
(loss)
sold
0.00 1,000,000.00
0.00
0.00 3,125.00 254.75
(169.00)
iiiL
0.00 3,125.00 254.75
pr -
1111 00 254.75 ke
16
TRANSACTION REPORT
For the period November 1, 2016 - November 30, 2016
Trade date
Cusip
Transaction
Sec type
Description
Maturity
Par value or
Realized
Principal
Settle date
shares
gain(loss)
11/03/2016
037833AJ9
Income
Corporate Bonds
APPLE INC 1%03/05/2018
05/03/2018
500,000.00
0.00
0.00
11/03/2016
11/14/2016
3133ECEY6
Bought
Government Agencies
FEDERAL FARM CREDIT BANK
02/11/2020
1,000,000.00
0.00
(1,003,130.00)
11/15/2016
11/15/2016
717081 DJ9
Income
Corporate Bonds
PFIZER INC 1.1% 15/05/2017
05/15/2017
500,000.00
0.00
0.00
11/15/2016
11/15/2016
91159HHE3
Income
Corporate Bonds
US BANCORP 1.95% 15/11/2018
11/15/2018
500,000.00
0.00
0.00
11/15/2016
11/15/2016
912828G20
Income
Government Bonds
USA TREASURY 0.875%
11/15/2017
500,000.00
0.00
0.00
11/15/2016
11/15/2016
912828WF3
Income
Government Bonds
UTD STATES TREAS .625% DUE
11/15/2016
1,000,000.00
0.00
0.00
11/15/2016
11/15/2016
912828WF3
Capital Change
Government Bonds
UTD STATES TREAS .625% DUE
11/15/2016
(1,000,000.00)
0.00
1,000,000.00
11/15/2016
11/18/2016
14912L6R7
Income
Corporate Bonds
CATERPILLAR FINL SERVICE
05/18/2019
500,000.00
0.00
0.00
11/18/2016
11/20/2016
3130A6D87
Income
Government Agencies
FEDERAL HOME LOAN BANK
11/20/2017
1,000,000.00
0.00
0.00
11/20/2016
SAN RAFAEL
Interest Transaction total
2,500.00
(3,786.11)
2,750.00
4,875.00
2,187.50
3,125.00
0.00
3,375.00
4,500.00
ADDITIONAL INFORMATION
As of November 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 November 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.
19
SAN RAFAEL
December 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 18
FIXED INCOME MARKET REVIEW
As of December 31, 2016
Chart 1: US Gross Domestic Product 9/30/08-9/30/16
10.0
8.0
6.0
4.0
00C
t 2.0
U
0.0
y -2.0
a -4.0
-6.0
-8.0
-10.0
Sep -08 Sep -09 Sep -10 Sep -11 Sep -12 Sep -13 Sep -14 Sep -15 Sep -16
Source: Bloomberg Finance LP, September 30, 2016.
Chart 2: Treasury Yield Curves 12/31/2015 - 12/31/2016
3.00%
2.50%
2.00%
00
1.50%
U
d
1.00%
0.50% /
12/31/2016
12/31/2015
0.00%
3 m 6 m 1 yr 2 yr 3 yr 4 yr 5 yr 6 yr 7 yr 8 yr 9 yr 10 yr
Source: Bloomberg Finance LP, December 31, 2015, December 31, 2016.
SAN RAFAEL
Economic Indicators and Monetary Policv
Interest rates increased across the yield curve in December, supported by
positive economic releases and action by the Federal Reserve. In addition, the
market continues to anticipate future stimulus from changes in policies related to
spending, trade and taxes.
The Federal Open Market Committee (FOMC) delivered the first change in the Fed
funds target rate in 2016 at its December 14th meeting. The target for the
overnight rate was increased to a range of 0.50% to 0.75% from the prior range of
0.25% to 0.50%. The FOMC statement referenced an expanding labor market and
strengthening economic activity.
The payroll report for November was released on December 2nd, showing that
the unemployment rate fell to 4.6% from 4.9% and the underemployment rate
declined to 9.3% from 9.5%. The November payroll data reflected that 178,000
jobs were added, slightly lower than expectations for 180,000 new jobs. Average
hourly earnings fell 0.01%to a 2.5% annual rate.
The final estimate of US Gross Domestic Product (GDP) for the third quarter was
released on December 22nd. The GDP report showed 3.5% growth in the third
quarter, which was revised up from the 3.2% prior estimate. Personal
consumption increased to 3.0% in the final estimate of third quarter GDP from the
2.8% prior estimate. (See Chart 1).
The Producer Price Index (PPI) released on December 14th showed higher than
expected increases in November. The PPI increased 0.4% in November at both the
headline and core levels. Year -over -year, including food and energy the PPI
increased 1.3% and excluding food and energy increased 1.6%. The Consumer
Price Index (CPI) released on December 15th rose in line with expectations to
annual rates of 1.7% including food and energy and 2.1% excluding food and
energy for November.
Interest Rate Summary
At the end of December, the 3 -month US Treasury bill yielded 0.50%, the 6 -month
US Treasury bill yielded 0.61 %, the 2 -year US Treasury note yielded 1.19%, the 5 -
year US Treasury note yielded 1.93% and the 10 -year US Treasury note yielded
2.45% (See Chart 2).
3
ACTIVITY AND PERFORMANCE SUMMARY
For the period December 1, 2016 - December 31, 2016
Amortized Cost Basis Activitv Summary
Opening balance 24,543,904.48
Income received 8,747.51
Total receipts
Expenses paid (143.42)
Total disbursements
Interportfolio transfers 0.00
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
Comoarative Rates of Return W-
* Twelve
* Six
month trailing
month trailing
0.40
0.21
0.45
0.23
0.30
0.17
0.41
0.23
0.61
0.33
0.84
0.44
1.34
0.69
* rates reflected are cumulative
8,747.51
Summary of Amortized Cost Basis Return for the Period
Corporate Bonds
Accretion
Government Agencies
(143.42)
Government Bonds
(amortization)
Municipal/Provincial Bonds
0.00
Total
984.03
0.00
(4,543.09)
13,990.48
788.06
0.00
0.00
2,123.16
24,549,737.57
984.03
24,469,318.11
6,653.50
(80,419.46)
0.00
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
7,297.91
(2,531.95)
0.00
4,765.96
13,990.48
(1,474.50)
0.00
12,515.98
2,123.16
251.42
984.03
3,358.61
6,653.50
0.00
0.00
6,653.50
30,065.05
(3,755.03)
984.03
27,294.05
4
Summary of Amortized Cost Basis Return for the Period
* One month
Total portfolio
0.05
Interest earned
30,065.05
0.03
Accretion (amortization)
(3,755.03)
0.04
Realized gain (loss) on sales
984.03
0.05
Total income on portfolio
27,294.05
0.07
Average daily amortized cost
24,548,269.82
0.10
0.16
Period return 1%)
0.11
YTD return (%)
1.17
Weighted average final maturity in days
820
4
ACTIVITY AND PERFORMANCE SUMMARY
For the period December 1, 2016
- December 31, 2016
Fair Value Basis Activitv Summary
Opening balance
24,468,662.28
Income received
8,747.51
Total receipts
8,747.51
Expenses paid
(143.42)
Total disbursements
(143.42)
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
(7,948.26)
Ending fair value
24,469,318.11
* rates reflected are cumulative
SAN RAFAEL
Comnarative Rates of Return 1%1
* Twelve
* Six
* One month
month trailing
month trailing
income
Fed Funds
0.40
0.21
0.05
Overnight Repo
0.45
0.23
0.03
Merrill Lynch 3m US Treas Bill
0.33
0.18
0.04
Merrill Lynch 6m US Treas Bill
0.67
0.26
0.05
ML 1 Year US Treasury Note
0.76
0.10
0.07
ML US Treasury 1-3
0.89
(0.54)
0.03
ML US Treasury 1-5
1.09
(1.27)
0.02
* rates reflected are cumulative
SAN RAFAEL
Summary of Fair Value Basis Return for the Period
Total portfolio
Interest earned 30,065.05
Change in fair value (7,948.26)
Total income on portfolio 22,116.79
Average daily total value * 24,539,327.57
Period return (%) 0.09
YTD return (%) 1.07
Weighted average final maturity in days 820
* 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
7,297.91
(4,279.45)
3,018.46
Government Agencies
13,990.48
(4,591.25)
9,399.23
Government Bonds
2,123.16
922.44
3,045.60
Municipal/Provincial Bonds
6,653.50
0.00
6,653.50
Total
30,065.05
(7,948.26)
22,116.79
Summary of Fair Value Basis Return for the Period
Total portfolio
Interest earned 30,065.05
Change in fair value (7,948.26)
Total income on portfolio 22,116.79
Average daily total value * 24,539,327.57
Period return (%) 0.09
YTD return (%) 1.07
Weighted average final maturity in days 820
* Total value equals market value and accrued interest
5
RECAP OF SECURITIES HELD
As of December 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
67,091.61
67,091.61
67,091.61
0.00
1
0.27
0.00
Corporate Bonds
4,636,411.50
4,576,675.48
4,557,756.50
(18,918.98)
457
18.84
1.22
Government Agencies
15,396,875.03
15,387,581.49
15,326,189.50
(61,391.99)
549
62.55
1.46
Government Bonds
2,992,460.94
2,997,588.99
2,997,480.50
(108.49)
304
12.16
0.82
Municipal/Provincial Bonds
1,520,800.00
1,520,800.00
1,520,800.00
0.00
5,725
6.18
10.72
24,613,639.08 1
24,549,737.57
24,469,318.11
(80,419.46)
820
100.00
Portfolio diversification (%)
■ Cash and Cash Equivalents
0.27
■ Corporate Bonds
18.84
■ Government Agencies
62.55
■ Government Bonds
12.16
■ Municipal/Provincial Bonds
6.18
Total
100.00
SAN RAFAEL
6
MATURITY DISTRIBUTION OF SECURITIES HELD
As of December 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
8.00
E 6.00
E
N
0
U 4.00
U
O
x
2.00
KIN
Historic cost Percent
1,672,476.61
6.80
2,495,504.06
10.14
7,066,381.88
28.71
6,318,367.25
25.67
4,536,979.28
18.43
1,003,130.00
4.08
0.00
0.00
1,520,800.00
6.18
Maturity distribution
J C§l
�O
SAN RAFAEL
7
SECURITIES HELD SAN RAFAEL
As of December 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
67,091.61
67,091.61
67,091.61
67,091.61
0.00
0.00
0.00
0.00
0.27
0.00
0.00
0.00
Total Cash and Cash Equivalents
67,091.61
67,091.61
67,091.61=
67,091.61
0.00
0.00
0.00
0.00
0.27
0.00
0.00
0.00
Corporate Bonds
24422ERN1
1.400 03/15/2017
500,000.00
504,785.00
500,498.44
500,497.00
(1.44)
0.00
602.78
2,061.11
2.05
JOHN DEERE CAPITAL CORP
0.00
(199.37)
(231.50)
1.4% 15/03/2017
717081 DJ9
1.100 05/15/2017
500,000.00
499,595.00
499,936.72
500,034.25
97.53
0.00
473.61
702.78
2.03
PFIZER INC 1.1 % 15/05/2017
0.00
14.06
(204.50)
459200GJ4
5.700 09/14/2017
500,000.00
568,635.00
515,319.24
514,986.00
(333.24)
0.00
2,454.16
8,470.83
2.31
IBM CORP 5.7% 14/09/2017
09/13/2017
0.00
(1,809.35)
(2,626.00)
94988J5A1
1.650 01/22/2018
500,000.00
501,930.00
501,051.73
499,986.50
(1,065.23)
0.00
710.42
3,643.75
2.04
WELLS FARGO BANK NA 1.65%
0.00
(82.59)
(477.50)
22/01/2018
037833AJ9
1.000 05/03/2018
500,000.00
498,090.00
498,855.42
498,125.00
(730.42)
0.00
430.56
805.56
2.02
APPLE INC 1%03/05/2018
0.00
71.09
415.00
084670BX5
1.150 08/15/2018
500,000.00
500,355.00
500,286.45
497,490.50
(2,795.95)
0.00
495.14
2,172.22
2.03
BERKSHIRE HATHAWAY INC
0.00
(14.69)
(23.50)
1.15% 15/08/2018
25468PDD5
1.500 09/17/2018
550,000.00
555,351.50
554,560.60
551,009.25
(3,551.35)
0.00
710.41
2,383.33
2.26
WALT DISNEY COMPANY/THE
0.00
(221.75)
(87.45)
1.5% 17/09/2018
91159HHE3
1.950 11/15/2018
500,000.00
509,425.00
507,777.35
502,544.00
(5,233.35)
0.00
839.58
1,245.83
2.07
US BANCORP 1.95%
10/15/2018
0.00
(345.66)
(176.00)
15/11/2018 (CALLABLE
15/10/18)
8
SECURITIES HELD SAN RAFAEL
As of December 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
Corporate Bonds
149121-6R7
1.350 05/18/2019
500,000.00
498,245.00
498,389.53
493,084.00
(5,305.53)
0.00
581.25
806.25
2.02
CATERPILLAR FINL SERVICE
0.00
56.31
(868.00)
1.35% 18/05/2019
Total Corporate Bonds
4,550,000.00
4,636,411.50
4,576,675.48
4,557,756.50
(18,918.98)
0
.91
22,291.66
18.84
0.00
(2,5=5)
(4,279.45)
Government Agencies
3137EADC0
1.000 03/08/2017
500,000.00
501,500.00
500,095.95
500,400.50
304.55
0.00
430.55
1,569.44
2.04
FREDDIE MAC 1% 08/03/2017
0.00
(42.34)
(243.00)
3135GOZB2
0.750 04/20/2017
500,000.00
496,725.00
499,673.98
500,194.50
520.52
0.00
322.91
739.58
2.02
FANNIE MAE 0.75%20/04/2017
0.00
88.91
23.00
3133EEX62
0.800 06/16/2017
1,000,000.00
999,770.00
999,947.12
1,000,299.00
351.88
4,000.00
688.89
333.33
4.06
FEDERAL FARM CREDIT BANK
0.00
9.56
(84.00)
0.8% 16/06/2017
3137EADV8
0.750 07/14/2017
1,000,000.00
998,530.00
999,619.76
1,000,165.00
545.24
0.00
645.84
3,479.17
4.06
FREDDIE MAC 0.75%
0.00
58.80
(74.00)
14/07/2017
3136GOZH7
1.050 09/05/2017
1,000,000.00
1,005,150.00
1,001,636.51
1,001,680.00
43.49
0.00
904.16
3,383.33
4.08
FANNIE MAE 1.05%05/09/2017
0.00
(200.39)
(60.00)
CALLABLE
313380EC7
0.750 09/08/2017
1,000,000.00
998,790.00
999,593.94
999,508.00
(85.94)
0.00
645.84
2,354.17
4.06
FEDERAL HOME LOAN BANK
0.00
49.12
301.00
0.75% 08/09/2017
3130A51-56
0.900 10/27/2017
1,000,000.00
999,070.00
999,676.19
1,000,060.00
383.81
0.00
775.00
1,600.00
4.06
FEDERAL HOME LOAN BANK
0.00
32.71
590.00
0.9% 27/10/2017
3130A6D87
0.900 11/20/2017
1,000,000.00
1,000,660.00
1,000,260.42
999,090.00
(1,170.42)
0.00
775.00
1,025.00
4.07
FEDERAL HOME LOAN BANK
0.00
(24.41)
670.00
0.9% 2011112017
9
SECURITIES HELD
As of December 31, 2016
SAN RAFAEL
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
1,003,676.48
1,003,580.00
(96.48)
0.00
1,184.03
4,277.78
4.10
FEDERAL HOME LOAN BANK
0.00
(257.10)
(690.00)
1.375% 09/03/2018
3133EGFQ3
0.875 09/14/2018
500,000.00
500,497.00
500,377.67
497,362.00
(3,015.67)
0.00
376.74
1,300.35
2.03
FEDERAL FARM CREDIT BANK
0.00
(18.45)
167.00
0.875% 14/09/2018
3133EGM69
1.100 12/05/2018
1,250,000.00
1,247,248.75
1,247,347.96
1,246,187.50
(1,160.46)
0.00
916.67
993.06
5.07
FEDERAL FARM CREDIT BANK
(76.39)
99.21
(1,061.25)
1.1% 05/12/2018
3135GOH63
1.375 01/28/2019
1,000,000.00
1,012,490.00
1,010,485.43
1,001,388.00
(9,097.43)
0.00
1,184.03
5,843.75
4.11
FANNIE MAE 1.375%
0.00
(420.54)
(1,952.00)
28/01/2019
3133782M2
1.500 03/08/2019
1,000,000.00
1,014,124.28
1,011,954.81
1,003,015.00
(8,939.81)
0.00
1,291.66
4,708.33
4.12
FEDERAL HOME LOAN BANK
0.00
(455.14)
(1,913.00)
1.5% 08/03/2019
3135GOL76
1.075 07/11/2019
600,000.00
599,100.00
599,187.41
594,414.00
(4,773.41)
0.00
555.41
3,045.83
2.43
FANNIE MAE 1.075%
01/11/2017
0.00
26.76
1,596.00
11 /07/2019 (CALLABLE
11 /04/17)
3133EGSCO
1.000 08/26/2019
1,000,000.00
1,000,610.00
1,000,537.97
985,810.00
(14,727.97)
0.00
861.11
3,472.22
4.07
FEDERAL FARM CREDIT BANK
0.00
(16.88)
(60.00)
1% 26/08/2019
313380FB8
1.375 09/13/2019
1,000,000.00
1,011,510.00
1,010,505.84
996,626.00
(13,879.84)
0.00
1,184.03
4,125.00
4.11
FEDERAL HOME LOAN BANK
0.00
(323.93)
(951.00)
1.375% 13/09/2019
3133ECEY6
1.450 02/11/2020
1,000,000.00
1,003,130.00
1,003,004.05
996,410.00
(6,594.05)
0.00
1,248.61
5,638.89
4.08
FEDERAL FARM CREDIT BANK
0.00
(80.39)
(850.00)
1.45% 11/02/2020
Total Government Agencies
15,350,000.00
15,396,875.03
15,387,581.49
15,326,189.50
(61,391.99)
4,000.00
13,990.48
47,889.23
62.55
Le
(76.39)
(1,474.50)
(4,591.25)
10
SECURITIES HELD
As of December 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)
Government Bonds
912828WP1 0.875 06/15/2017
500,000.00
499,414.06
499,892.64
500,586.00
693.36
2,187.50
USA TREASURY 0.875%
0.00
20.05
58.50
15/06/2017
912828TM2 0.625 08/31/2017
1,000,000.00
994,921.88
998,655.79
999,219.00
563.21
0.00
USA TREASURY 0.625%
0.00
171.48
469.00
31/08/2017
912828G20 0.875 11/15/2017
500,000.00
500,625.00
500,232.91
500,019.50
(213.41)
0.00
USA TREASURY 0.875%
0.00
(22.64)
78.00
15/11/2017
912828UR9 0.750 02/28/2018
1,000,000.00
997,500.00
998,807.65
997,656.00
(1,151.65)
0.00
USA TREASURY 0.75%
0.00
87.18
429.00
28/02/2018
Bon
3,000,000.00
2,992,460.94
2,997,588.99
2,997,480.50
(108.49)
2,187.50
ipvernment
0.00
256.07
1,034.50
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
0.00
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
0.00
0.00
0.00
0.00
SAN RAFAEL
Interest Total
earned accrued
Port
interest
cost
371.61 192.31
2.03
535.22 2,106.35 4.04
374.65 555.94 2.03
642.26 2,527.62 4.05
1,923.74 5,382.22 12.16
6,653.50 19,960.50 6.18
6,653.50 19,960.50 6.18
III
GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE
As of December 31, 2016
Cusip Description Coupon Maturity Call date 5&P Moody Par value or Historical % Portfolio
date rating rating shares cost hist cost
Federal Home Loan Banks
313380EC7
FEDERAL HOME LOAN
0.750
09/08/2017
3130A5L56
FEDERAL HOME LOAN
0.900
10/27/2017
3130A6D87
FEDERAL HOME LOAN
0.900
11/20/2017
313378A43
FEDERAL HOME LOAN
1.375
03/09/2018
3133782M2
FEDERAL HOME LOAN
1.500
03/08/2019
313380FB8
FEDERAL HOME LOAN
1.375
09/13/2019
Issuer total
Aaa
1,000,000.00
1,007,970.00
Federal Farm Credit Banks
1,003,580.00
4.10
3133EEX62
FEDERAL FARM CREDIT
0.800
06/16/2017
3133EGFQ3
FEDERAL FARM CREDIT
0.875
09/14/2018
3133EGM69
FEDERAL FARM CREDIT
1.100
12/05/2018
3133EGSCO
FEDERAL FARM CREDIT
1.000
08/26/2019
3133ECEY6
FEDERAL FARM CREDIT
1.450
02/11/2020
Issuer total
24.51
6,001,879.00
24.53
Federal National Mortgage Association
AA+
3135GOZB2
FANNIE MAE 0.75%
0.750
04/20/2017
3136GOZH7
FANNIE MAE 1.05%
1.050
09/05/2017
3135GOH63
FANNIE MAE 1.375%
1.375
01/28/2019
3135GOL76
FANNIE MAE 1.075%
1.075
07/11/2019 01/11/2017
Issuer total
1,250,000.00
1,247,248.75
5.07
United States Treasury Note/Bond
5.09
912828WP1
USA TREASURY 0.875%
0.875
06/15/2017
912828TM2
USA TREASURY 0.625%
0.625
08/31/2017
SAN RAFAEL
Market % Portfolio Effective
value mkt value dur (yrs)
AA+
Aaa
1,000,000.00
998,790.00
4.06
999,508.00
4.08
0.68
AA+
Aaa
1,000,000.00
999,070.00
4.06
1,000,060.00
4.09
0.82
AA+
Aaa
1,000,000.00
1,000,660.00
4.07
999,090.00
4.08
0.88
AA+
Aaa
1,000,000.00
1,007,970.00
4.10
1,003,580.00
4.10
1.17
AA+
Aaa
1,000,000.00
1,014,124.28
4.12
1,003,015.00
4.10
2.14
AA+
Aaa
1,000,000.00
1,011,510.00
4.11
996,626.00
4.07
2.64
6,000,000.00
6,032,124.28
24.51
6,001,879.00
24.53
1.39
AA+
Aaa
1,000,000.00
999,770.00
4.06
1,000,299.00
4.09
0.45
AA+
Aaa
500,000.00
500,497.00
2.03
497,362.00
2.03
1.68
AA+
Aaa
1,250,000.00
1,247,248.75
5.07
1,246,187.50
5.09
1.90
AA+
Aaa
1,000,000.00
1,000,610.00
4.07
985,810.00
4.03
2.60
AA+
Aaa
1,000,000.00
1,003,130.00
4.08
996,410.00
4.07
3.03
4,750,000.00
4,751,255.75
19.30
4,726,068.50
19.31
1.96
AA+
Aaa
500,000.00
496,725.00
2.02
500,194.50
2.04
0.30
AA+
Aaa
1,000,000.00
1,005,150.00
4.08
1,001,680.00
4.09
0.67
AA+
Aaa
1,000,000.00
1,012,490.00
4.11
1,001,388.00
4.09
2.03
AA+
Aaa
600,000.00
599,100.00
2.43
594,414.00
2.43
2.10
3,100,000.00
3,113,465.00
12.65
3,097,676.50
12.66
1.33
AA+
Aaa
500,000.00
499,414.06
2.03
500,586.00
2.05
0.45
AA+
Aaa
1,000,000.00
994,921.88
4.04
999,219.00
4.08
0.66
GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL
As of December 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)
United States Treasury Note/Bond
912828G20 USA TREASURY 0.875% 0.875
11/15/2017
AA+
Aaa
500,000.00
500,625.00
2.03
500,019.50
2.04
0.87
912828UR9 USA TREASURY 0.75% 0.750
02/28/2018
AA+
Aaa
1,000,000.00
997,500.00
4.05
997,656.00
4.08
1.15
Issuer total
3,000,000.00
2,992,460.94
12.16
2,997,480.50
12.25
0.82
Pt. San Assess District
888599L54 PT. SAN ASSESS 5.250
09/02/2032
NR
NR
1,520,800.00
1,520,800.00
6.18
1,520,800.00
6.22
10.72
Issuer total
1,520,800.00
1,520,800.00
6.18
1,520,800.00
6.22
10.72
Federal Home Loan Mortgage Corp
3137EADCO FREDDIEMAC1% 1.000
03/08/2017
AA+
Aaa
500,000.00
501,500.00
2.04
500,400.50
2.05
0.18
3137EADV8 FREDDIE MAC 0.75% 0.750
07/14/2017
AA+
Aaa
1,000,000.00
998,530.00
4.06
1,000,165.00
4.09
0.53
Issuer total
1,500,000.00
1,500,030.00
6.09
1,500,565.50
6.13
0.41
Walt Disney Co/The
25468PDD5 WALT DISNEY 1.500
09/17/2018
A
A2
550,000.00
555,351.50
2.26
551,009.25
2.25
1.68
Issuer total
550,000.00
555,351.50
2.26
551,009.25
2.25
1.68
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
2.31
514,986.00
2.10
0.69
Issuer total
500,000.00
568,635.00
2.31
514,986.00
2.10
0.69
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
502,544.00
2.05
1.81
Issuer total
500,000.00
509,425.00
2.07
502,544.00
2.05
1.81
John Deere Capital Corp
24422ERN1 JOHN DEERE CAPITAL 1.400
03/15/2017
A
A2
500,000.00
504,785.00
2.05
500,497.00
2.05
0.20
Issuer total
500,000.00
504,785.00
2.05
500,497.00
2.05
0.20
13
GASB 40 - DEPOSIT AND INVESTMENT RISK DISCLOSURE SAN RAFAEL
As of December 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)
Pfizer Inc
717081 DJ9 PFIZER INC 1.1 %
1.100
05/15/2017
AA
Al
500,000.00
499,595.00
2.03
500,034.25
2.04
0.37
Issuer total
500,000.00
499,595.00
2.03
500,034.25
2.04
0.37
Wells Fargo Bank NA
94988J5A1 WELLS FARGO BANK NA
1.650
01/22/2018
AA-
Aa2
500,000.00
501,930.00
2.04
499,986.50
2.04
1.04
Issuer total
500,000.00
501,930.00
2.04
499,986.50
2.04
1.04
Apple Inc
037833AJ9 APPLE INC 1%03/05/2018
1.000
05/03/2018
AA+
Aal
500,000.00
498,090.00
2.02
498,125.00
2.04
1.32
Issuer total
500,000.00
498,090.00
2.02
498,125.00
2.04
1.32
Berkshire Hathaway Inc
0846706x5 BERKSHIRE HATHAWAY
1.150
08/15/2018
AA
Aa2
500,000.00
500,355.00
2.03
497,490.50
2.03
1.60
Issuer total
500,000.00
500,355.00
2.03
497,490.50
2.03
1.60
Caterpillar Financial Services Corp
14912L6R7 CATERPILLAR FINL
1.350
05/18/2019
A
A3
500,000.00
498,245.00
2.02
493,084.00
2.02
2.34
Issuer total
500,000.00
498,245.00
2.02
493,084.00
2.02
2.34
Cash and Cash Equivalents
INVESTED CASH
0.000
67,091.61
67,091.61
0.27
67,091.61
0.27
0.00
Issuer total
67,091.61
67,091.61
0.27
67,091.61
0.27
0.00
14
SECURITIES PURCHASED
For the period December 1, 2016 - December 31, 2016
Cusip / Description / Broker Trade date Coupon Maturity/
Settle date Call date
Government Agencies
3133EGM69 12/05/2016
FEDERAL FARM CREDIT BANK 1.1%05/12/2018 12/07/2016
WELLS FARGO SECURITIES INTL LTD
Total Government Agencies
Grand total
Par value or Unit cost
shares
SAN RAFAEL
Principal Accrued
cost interest purchased
1.100 12/05/2018 1,250,000.00 99.78 (1,247,248.75)
1,250,000.00
(1,247,248.75)
(76.39)
(76.39)
15
SECURITIES SOLD AND MATURED
For the period December 1, 2016 - December 31, 2016
SAN RAFAEL
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
Government Bonds
912828SJO
12/05/2016 0.875 02/28/2017
(750,000.00) 751,464.84 750,126.92
100.09 750,703.13
576.21
1,776.59 0.00 126.90
USA TREASURY 0.875%
12/07/2016
(7.47)
(77.62)
28/02/2017
CITIGROUP GLOBAL
MARKETS INC.
912828C32 12/05/2016 0.750 03/15/2017 (500,000.00) 499,453.13 499,943.74 100.07
USA TREASURY 0.75% 12/07/2016 2.82
15/03/2017
BMO CAPITAL MARKETS
LIMITED
Total (Government Bonds) (1,250,000.00) 1,250,917.97 1,250,070.66
(4.65)
500,351.56 407.82 859.81 0.00 72.52
(34.44)
1,251,054.69 984.03 2,636.40 0.00 199.42
(112.06)
16
TRANSACTION REPORT
For the period December 1, 2016 - December 31, 2016
Trade date
Cusip
Transaction
Sec type
Description
Settle date
shares
gain(loss)
12/05/2016
3133EGM69
Bought
Government Agencies
FEDERAL FARM CREDIT BANK
12/07/2016
(76.39)
(1,247,325.14)
03/15/2017
(500,000.00)
12/05/2016
912828C32
Sold
Government Bonds
USA TREASURY 0.75%
12/07/2016
576.21
750,703.13
1,776.59
752,479.72
12/05/2016
912828SJO
Sold
Government Bonds
USA TREASURY 0.875%
12/07/2016
12/15/2016
912828WP1
Income
Government Bonds
USA TREASURY 0.875%
12/15/2016
SAN RAFAEL
Maturity
Par value or
Realized
Principal
Interest
Transaction total
shares
gain(loss)
12/05/2018
1,250,000.00
0.00
(1,247,248.75)
(76.39)
(1,247,325.14)
03/15/2017
(500,000.00)
407.82
500,351.56
859.81
501,211.37
02/28/2017
(750,000.00)
576.21
750,703.13
1,776.59
752,479.72
06/15/2017
500,000.00
0.00
0.00
2,187.50
2,187.50
12/16/2016 3133EEX62 Income Government Agencies FEDERAL FARM CREDIT BANK 06/16/2017 1,000,000.00 0.00 0.00 4,000.00 4,000.00
12/16/2016
17
ADDITIONAL INFORMATION
As of December 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 December 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
Exhibit A
City of Rafael
Quarterly Investment Portfolio Report
December 31, 2016
LAIF
$
15,270,486
94.7%
0.72%
LAIF - RDA
$
144,541
0.9%
0.72%
LAIF - RDA 02 TARB
$
717,215
4.4%
0.72% LAIF - RDA, 0.9%
Total Internally Managed $ 16,132,242 39.7%
Weighted Average Yield 0.72%
Days
Effective Average Duration - Internal 1 LAIF, 94.7%
Weighted Average Maturity - Internal 1
Cash $ 67,092 0.3% 0.00%
Treasury Securities $ 2,997,481 12.2% 0.85% Corporate
Notes, 18.6%
Instrumentality Securities
$
15,326,190
62.6% 0.96%
Corporate Notes
$
4,557,757
18.6% 1.18%
Municipal
$
1,520,800
6.2% 5.25%
Total Externally Managed
$
24,469,318
60.3%
Weighted Average Yield 1.25%
LAIF - RDA 02
TARB, 4.4%
Cash, 0.3% Treasury
Securities,
on PP 12.2%
Years Instrumentality
Effective Average Duration - External 1.91 Securities, 44"0000pr
Weighted Average Maturity - External 2.25 62.6%
LAIF
Cash
Treasury Securities
Instrumentality Securities
Corporate Notes
Municipal
Total Portfolio Assets
Weighted Average Yield
$ 16,132,242
39.7%
0.72%
$ 67,092
0.2%
0.00%
$ 2,997,481
7.4%
0.85%
$ 15,326,190
37.7%
0.96%
$ 4,557,757
11.2%
1.18%
$ 1,520,800
3.7%
5.25%
$ 40,601,560
Effective Average Duration - Total
Weighted Average Maturity - Total
Based on Market Values
1.04%
Years
1.15
1.36
Corporate Notes
Instrumentz
Securities
38%
Municipal
4%
Treasury
Securities
7°%
AIF
0%
Exhibit A
City of San Rafael
Historical Activity -By Quarter
Internally Managed Assets
$
December 31, 2016
% Return-
39.7%
September 30, 2016
% Return-
24,813,487
June 30, 2016
%
Return
March 31, 2016
% Return
51.6%
December 31, 2015
% Return
LAIF
$
15,987,701
99.1%
0.72% $
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
$
144,541
0.9%
0.72% $
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
$
16,132,242
39.7%
$
24,813,487
50.3%
$
24,097,360
51.6%
$
28,314,928
55.6%
$
28,294,228
55.8%
0.76% $
Weighted Average Yield
12.3%
0.76% $
6,230,801
0.72%
0.76%
Instrumentality Securities
0.61%
15,326,190
37.7%
0.58%
13,150,097
26.6%
0.47%
10,634,528
22.8%
0.41%
10,622,440
20.9%
0.84% $
9,981,492
Days
0.84%
Corporate Notes
Days
4,557,757
11.2%
Days
4,584,779
9.3%
Days
3,541,815
7.6%
Days
Effective Average Duration - Internal
7.0%
1.07% $
2,550,442
1
1.03%
Municipal
1
1,520,800
3.7%
1
1,520,800
3.1%
1
1,582,700
3.4%
1
Weighted Average Maturity- Internal
3.1%
5.25% $
1,582,700
1
5.25%
Total Portfolio Assets
1
40,601,560
1
49,348,744
1
46,727,932
1
Externally Managed Assets
Cash
$
67,092
% Return
0.3%
0.00% $
24,880
% Return
0.1%
0.00% $
110,082
%
0.5%
Return
0.00% $
73,758
% Return
0.3%
0.00% $
2,104,174
%
9.4%
Return
0.00%
Commercial Paper
$
-
0.0%
0.00% $
-
0.0%
0.00% $
499,703
2.2%
0.82% $
498,681
2.2%
0.82%
Years
Treasury Securities
$
2,997,481
12.2%
0.85% $
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
$
15,326,190
62.6%
0.96% $
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
$
4,557,757
18.6%
1.18% $
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% $
1,520,800
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
$
24,469,318
60.3%
$
24,535,257
49.7%
$
22,630,572
48.4%
$
22,586,127
44.4%
$
22,449,609
44.2%
Weighted Average Yield
1.25%
1.15%
1.15%
1.14%
1.07%
Years
Years
Years
Years
Years
Effective Average Duration - External
1.91
1.87
1.66
1.86
1.91
Weighted Average Maturity- External
2.25
2.22
2.06
2.25
2.35
LAIF
$
16,132,242
39.7%
0.72% $
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
$
67,092
0.2%
0.00% $
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% $
-
0.0%
0.00% $
499,703
1.1%
0.82% $
498,681
1.0%
0.82%
Treasury Securities
$
2,997,481
7.4%
0.85% $
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
$
15,326,190
37.7%
0.96% $
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
$
4,557,757
11.2%
1.18% $
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
3.7%
5.25% $
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
$
40,601,560
$
49,348,744
$
46,727,932
$
50,901,055
$
50,743,837
Weighted Average Yield
1.04%
0.88%
0.86%
0.77%
0.70%
Years
Years
Years
Years
Years
Effective Average Duration - Total
1.15
1.43
1.32
1.38
1.40
Weighted Average Maturity - Total
1.36
1.61
1.51
1.55
1.60
Performance Recap
The weighted average quarterly portfolio yield increased from 0.88% to 1.04% during the past quarter. The yield has increased consistently over the past year, from .70% in the quarter ended Dec 31, 2015 -
to 1.04% in the most recent quarter.
This trend is reflective of the general increase in interest rates that occurred througout the year.
The effective average duration has dropped, from 1.43 to 1.15 years as the City shortens its investments in preparation for drawing on funds accumulated for the San Rafael Essential Facilities Project
The total portfolio assets decreased by approximately $9 million during the quarter. This is due to the spending down of funds while we await property tax receipts in late December.
Funds received at the end of December remained in the City's checking account at quarter -end.
WAAccounting and Budgeting\Finance\Bank Reconciliations\Statements\16-17\December 2016\Quarterly Report combined.zlsz
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: 2/6/2017
From: Mark Moses/Van Bach
Department: Finance
Date: 2/6/2017
Topic: CITY -QUARTERLY INVESTMENT REPORT
Subject: CITY -QUARTERLY INVESTMENT REPORT
Type: ❑ Resolution ❑ Ordinance
❑ Professional Services Agreement ❑ Other:
APPROVALS
® Finance Director
Remarks: Ready for City Manager's approval
® City Attorney
Remarks: LG -Approved 1/30/17
® Author, review and accept City Attorney / Finance changes
Remarks:
® City Manager
Remarks: