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Fin City Quarterly Investment Report
SAN 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. 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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: