city of stockton€¦ · pfmassetmanagementllc city of stockton for the quarter ended september 30,...

Investment Performance Review

Client Management Team

Monique Spyke, Managing Director

Allison Kaune, Senior Managing Consultant

50 California Street, Suite 2300

San Francisco, CA 94111

415-982-5544

PFM Asset Management LLC

One Keystone Plaza, Suite 300

Harrisburg, PA 17101-2044

717-232-2723Joseph Creason, Portfolio Manager

Rachael Camacci, Client Consultant

For the Quarter Ended September 30, 2017

CITY OF STOCKTON

Market Update


CITY OF STOCKTON


Market Update

Two-year treasury yields moved modestly higher towards the end of the quarter, possibly due to heightened expectations of another rate hike and a tax overhaul that could increase government borrowing.

Interest Rate Update

2-Year Treasury YieldsSeptember 30, 2016 – September 30, 2017

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

1.60%

Sep '16 Oct '16 Nov '16 Dec '16 Jan '17 Feb '17 Mar '17 Apr '17 May '17 Jun '17 Jul '17 Aug '17 Sep '17

Fed Rate Hike Fed Rate HikeFed Rate Hike

Presidential Election

Source: Bloomberg, as of 9/30/17.

1


CITY OF STOCKTON


Market Update

Treasury yields are substantially higher compared to a year ago. Short-term yields continue to rise in response to the Fed raising rates in their efforts to normalize policy. Longer-term yields still remain relatively low in response to lower inflation and growth expectations.

Short-Term Yields Higher but Curve Flatter in Third Quarter

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3m

6m

1y

2y

3y

5y

U.S. Treasury Yield Curve

September 30, 2017 June 30, 2017 September 30, 2016Maturity 6/30/17 9/30/17 Change

3-Mo. 1.01 1.05 0.04

6-Mo. 1.13 1.19 0.06

1-Yr. 1.23 1.29 0.06

2-Yr. 1.38 1.49 0.11

3-Yr. 1.55 1.62 0.07

5-Yr. 1.89 1.94 0.05

10-Yr. 2.31 2.33 0.02

20-Yr. 2.61 2.60 0.01

30-Yr. 2.84 2.86 0.02

Yield Curve History


2


CITY OF STOCKTON


Market Update

Gross domestic product (GDP) increased at an annualized rate of 3.1% in the second quarter of 2017.

The acceleration in second quarter GDP reflected positive contributions from personal consumption, nonresidential private investments, exports, and federal government spending, offset by negative contributions from residential fixed investments, imports, and state and local government spending.

Economic Growth

3.1%

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

2013 2014 2015 2016 2017

U.S. Real GDPQoQ, SAAR

2.7% 2.7%2.0% 1.9%

Bloomberg Survey of

Economists

Source: Bloomberg, as of 9/30/17. SAAR is seasonally adjusted annualized rate. Orange dashes denotes four-quarter averages.

3


CITY OF STOCKTON


Market Update

Hurricane Harvey is expected to be the second most destructive natural disaster over the last three decades.

Destruction to property caused by Hurricane Harvey is estimated to range from $77 to $97 billion. The lost economic output is forecasted to be $9 – $11 billion.

Hurricane Disruption

$108

$16

$73

$13

$175

$17

$110

$45

$19

$61

$20 $24

$0

$50

$100

$150

$200

Hur

rican

eH

arve

y

Hur

rican

eM

atth

ew

Supe

rsto

rmSa

ndy

Hur

rican

e Ire

ne

Hur

rican

eKa

trina

Hur

rican

e Iv

an

9/11

Los

Ange

les

Nor

thrid

geQ

uake

Mid

wes

t Flo

ods

Hur

rican

eAn

drew

Lom

a Pr

ieta

Qua

ke

Hur

rican

e H

ugo

Total Economic Loss Due to Disasters(Billions of Today's Dollars)

Destruction Lost Output

Hurricane Harvey estimates are preliminary and shown in the chart at the high end of the estimated range. Source: The Economic Impact of Hurricane Harvey, Moody’s Analytics, 9/5/17.

4


CITY OF STOCKTON


Market Update

Labor Market Remains Strong Despite the Impact of Hurricanes

The U.S. labor market lost 33,000 jobs in September. The first decline in U.S. nonfarm payrolls in seven years.

Despite the impact of the hurricanes on the September job numbers, headline unemployment rate ticked down to 4.2%, hitting the lowest level in more than 16 years. The U6 unemployment rate also decreased slightly from 8.6% in June to 8.3% in September, while the labor force participation rate ticked up from 62.8% in June to 63.1% in September.

Average hourly earnings—an important gauge of wage growth—grew 2.9% over the past 12 months.


-100k

0k

100k

200k

300k

400k

Sep '12 Sep '13 Sep '14 Sep '15 Sep '16 Sep '17

Monthly Change in Nonfarm PayrollsNonfarm Payrolls 12-Month Moving Average

7.8%

7.2%

5.9%

5.0% 4.9%

4.2%

4%

5%

6%

7%

8%

9%

Sep '12 Sep '13 Sep '14 Sep '15 Sep '16 Sep '17

Unemployment Rate

5


CITY OF STOCKTON


Market Update

Source: Bloomberg, as of 8/31/17. SA is seasonally adjusted.

-30%

-20%

-10%

0%

10%

20%

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

Conference Board Leading Indicators(SA, YoY)

0

200

400

600

800

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

Initial Jobless Claims(4-week average, in thousand)

-200-100

0100200300400500

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

10 Year – 3 Month Treasury Yield Spread(in bps)

-20%

-10%

0%

10%

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

Industrial Production(YoY)

Recession

RecessionRecession

Recession

Yield Curve Inverts

U.S. Recession Indicators: Low Risk in the Near-Term

6


CITY OF STOCKTON


Market Update


Probability of Fed Rate Hike at the December Meeting

22%

69%

0%

15%

30%

45%

60%

75%

Jun

'30

Jul '

07

Jul '

14

Jul '

21

Jul '

28

Aug

'04

Aug

'11

Aug

'18

Aug

'25

Sep

'01

Sep

'08

Sep

'15

Sep

'22

Sep

'29

Historical Probability of December Rate Hike

Probability of Fed Rate Hike

Meeting Probability (25bps)

12/13/2017 70%

1/31/2018 68%

3/21/2018 54%

5/2/2018 54%

6/13/2018 43%

The probability of a third rate hike in 2017 at the FOMC’s December meeting increased following their September meeting.

The FOMC will initiate the balance sheet normalization program described in the June 2017 Addendum to the Committee’s Policy Normalization Principles and Plans in October.

7

Investment Strategy & Portfolio Review


CITY OF STOCKTON


Portfolio Review

Policy challenges in the U.S. combined with escalating tensions on the geopolitical front led to bouts of uncertainty which triggered

periods of “risk-off” and ”risk-on” during the third quarter. Nonetheless, volatility remained low and equities continued to book new

record highs.

After three rate hikes since December 2016, the Federal Reserve (Fed) shifted gears and announced the beginning of their program to

reduce their enormous balance sheet. The plan is to gradually reduce the Fed's securities holdings by decreasing its reinvestment of

the principal payments on its large holdings of Treasury and agency mortgage-backed securities. This had little impact on the

portfolio’s strategy as the process was telegraphed well in advance and will be gradual and predictable.

As of July 1, 2017, the portfolio’s benchmark was changed from the Bank of America/Merrill Lynch (BAML) 1-5 Year U.S.

Treasury/Agency Index to the BAML 1-5 Year A-Rated and Above U.S. Government/Corporate U.S. Issuers Only Index, to better

reflect the portfolio’s strategy and composition.

• In an effort to minimize return volatility, without a clear trend in the direction of interest rates, PFM, the City’s investment advisor,

managed the portfolio’s duration near neutral to the benchmark’s duration.

Upon the commencement of their role as investment advisor to the City on July 1, PFM began to restructure the portfolio by analyzing

the relative value between the portfolio’s government holdings and the value in government securities available in the market. PFM sold

some of the portfolio’s government securities to purchase U.S. Treasuries and federal agencies that offered additional value. In

addition, PFM sold short-term government securities to purchase similar maturity commercial paper at higher yields, in an effort to

safely increase the portfolio’s earnings.

In the credit sector, PFM sold corporate notes that had become expensive to purchase other corporate notes and negotiable

certificates of deposit that should add to the portfolio’s return going forward. All of the credit securities purchased for the City’s portfolio

are of high credit quality and on PFM’s approved issuer list.

Portfolio Recap

9


CITY OF STOCKTON


Portfolio Review

The portfolio is in compliance with the City’s Investment Policy and the California Government Code.

Sector Allocation and Compliance

As of 9/30/2017. Detail may not add to total due to rounding.

Security Type Market Value % of Portfolio

Permitted by Policy

In Compliance

U.S. Treasury $87,397,681 19.1% 100%

Federal Agency $113,170,882 24.7% 100%

Negotiable CDs $18,019,604 3.9% 30%

Corporate Notes $74,738,921 16.3% 30%

Commercial Paper $57,745,175 12.6% 25%

Asset-Backed Securities $24,663,484 5.4% 20%

Securities Sub-Total $375,735,746 82.0%

Accrued Interest $1,015,293

Securities Total $376,751,039

Money Market Fund $349,891 0.1% 20%

Main City Sweep Account $41,932,688 9.2% 20%

LAIF $40,000,000 8.7% $65 million

Total Investments $459,033,618 100.0%

10

CITY OF STOCKTON


Portfolio Performance

Portfolio Performance (Total Return)

Effective

DurationPortfolio/Benchmark

Annualized Return

10 Year1 Year 3 Year 5 YearSince Inception

(06/30/17) **

Current

Quarter

CITY OF STOCKTON 2.53 0.40% -- - - -

BofA ML 1-5 Year A Rated and Above U.S.

Government/Corporate U.S. Issuers Only Index

2.60 0.34% -- - - -

Difference - 0.06% - - - -

0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

0.30%

0.35%

0.40%

Current Quarter 1 Year 3 Year 5 Year 10 Year Since Inception

0.40%

0.34%

To

tal R

etu

rn

CITY OF STOCKTON BofA ML 1-5 Year A Rated and Above U.S. Government/Corporate U.S.

Issuers Only Index


Portfolio performance is gross of fees unless otherwise indicated. **Since Inception performance is not shown for periods less than one year.

11

CITY OF STOCKTON


Portfolio Snapshot

Portfolio Statistics

As of September 30, 2017

$377,167,294

$377,100,930

$375,735,746

$1,015,293

$349,891

Accrued Interest:

Cash:

Par Value:

Total Market Value:

Security Market Value:

$376,067,598

1.72%

1.71%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:

Effective Duration: 2.53 Years

Duration to Worst: 2.56 Years

Average Maturity: 2.72 Years

Credit Quality (S&P Ratings)

5.4%

A

1.1%

A-

10.2%

A+

15.4%

A-1

0.5%

AA

3.5%

AA-

56.2%

AA+

4.5%

AAA

3.2%

Not Rated**

0%

4%

8%

12%

16%

20%

24%

28%

0 - 1 Year 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years > 5 Years

15.9%15.0%

23.2%

25.5%

20.4%

0.0%

Maturity Distribution

Sector Allocation

6.6%

Asset-Backed

4.8%

Certificate

of Deposit

15.4%

Commercial

Paper

19.9%

Corporate

30.0%

Federal

Agency/GSE

23.3%

U.S.

Treasury


*An average of each security’s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio.** Securities Not Rated by S&P are rated Aaa by Moody's.

12

CITY OF STOCKTON


Portfolio Performance

Portfolio Earnings

Quarter-Ended September 30, 2017

Market Value Basis Accrual (Amortized Cost) Basis

Net Purchases/Sales

Change in Value

Interest Earned

$364,903,601.72

$10,651,839.72

$180,304.18

$1,306,506.60

$1,486,810.78

$375,735,745.62

$365,181,473.43

$10,651,839.72

$234,284.58

$1,306,506.60

$1,540,791.18

$376,067,597.73

Portfolio Earnings

Beginning Value (06/30/2017)

Ending Value (09/30/2017)

PFM Asset Management LLC 13

CITY OF STOCKTON


Portfolio Composition

Sector Allocation

September 30, 2017 June 30, 2017

Sector % of Total% of Total MV ($MM)MV ($MM)

Federal Agency/GSE 113.2 30.0% 130.3 35.6%

U.S. Treasury 87.4 23.3% 83.8 23.0%

Corporate 74.7 19.9% 90.3 24.8%

Commercial Paper 57.7 15.4% 21.5 5.9%

Asset-Backed 24.7 6.6% 29.1 8.0%

Certificate of Deposit 18.0 4.8% 10.0 2.7%

$375.7 100.0% $364.9 100.0%Total

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

September 2017 June 2017

Certif icate of Deposit

Asset-Backed

Commercial Paper

Corporate

U.S. Treasury

Federal Agency/GSE


Detail may not add to total due to rounding.

14

CITY OF STOCKTON



Maturity Distribution


>5

Years

4-5

Years

3-4

Years

2-3

Years

1-2

Years

0-1

YearsYield

at MarketPortfolio/Benchmark

Average

Maturity

1.72% 15.9% 15.0% 23.2% 25.5% 20.4% 0.0%2.72 yrsCITY OF STOCKTON

BofA ML 1-5 Year A Rated and Above U.S. Government/Corporate

U.S. Issuers Only Index

1.68% 1.4% 31.3% 26.3% 21.4% 19.6% 0.0%2.79 yrs

0%

5%

10%

15%

20%

25%

30%

35%

0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years

15.9%15.0%

23.2%

25.5%

20.4%

0.0%1.4%

31.3%

26.3%

21.4%19.6%

0.0%

CITY OF STOCKTON BofA ML 1-5 Year A Rated and Above U.S. Government/Corporate U.S. Issuers Only Index


CITY OF STOCKTON



Issuer Distribution


Market Value ($) % of PortfolioIssuer

UNITED STATES TREASURY 87,397,681 23.3%

FANNIE MAE 60,256,399 16.1%

FREDDIE MAC 44,901,872 12.0%

MITSUBISHI UFJ FINANCIAL GROUP INC 15,674,144 4.2%

JP MORGAN CHASE & CO 11,982,876 3.2%

CREDIT AGRICOLE SA 11,956,332 3.2%

BNP PARIBAS 11,955,864 3.2%

BANK OF MONTREAL 11,954,759 3.2%

FEDERAL HOME LOAN BANKS 8,012,611 2.1%

SKANDINAVISKA ENSKILDA BANKEN AB 7,493,175 2.0%

HONDA AUTO RECEIVABLES 7,474,346 2.0%

WESTPAC BANKING CORP 6,767,624 1.8%

US BANCORP 6,077,636 1.6%

APPLE INC 6,023,550 1.6%

JOHN DEERE OWNER TRUST 5,728,399 1.5%

WELLS FARGO & COMPANY 5,173,984 1.4%

DEERE & COMPANY 4,940,418 1.3%

TOYOTA MOTOR CORP 4,653,396 1.2%

To

p 5

= 5

8.7

%

To

p 1

0 =

72.3

%




Market Value ($) % of Portfolio

CITY OF STOCKTON

Issuer

EXXON MOBIL CORP 4,526,940 1.2%

MICROSOFT CORP 4,451,033 1.2%

HYUNDAI AUTO RECEIVABLES 4,176,977 1.1%

ORACLE CORP 4,070,082 1.1%

THE WALT DISNEY CORPORATION 4,046,760 1.1%

UNITED PARCEL SERVICE INC 4,031,676 1.1%

INTEL CORPORATION 4,028,564 1.1%

THE BANK OF NEW YORK MELLON CORPORATION 4,005,838 1.1%

AMERICAN HONDA FINANCE 3,993,204 1.1%

HOME DEPOT INC 3,833,104 1.0%

IBM CORP 3,132,475 0.8%

NISSAN AUTO RECEIVABLES 2,630,365 0.7%

CISCO SYSTEMS INC 2,413,080 0.6%

STATE STREET CORPORATION 2,364,035 0.6%

AMERICAN EXPRESS CO 2,023,794 0.5%

BERKSHIRE HATHAWAY INC 1,891,387 0.5%

PACCAR FINANCIAL CORP 1,691,366 0.5%

375,735,746 100.0%Grand Total:



CITY OF STOCKTON


Portfolio Review

Although low inflation is a conundrum, recent signaling from Fed officials boosted expectations for another rate hike this year, raising

the market-implied probability of a December hike from 30% in mid-third quarter to over 70%.

With 2-year Treasury yields at the highest level since 2008, PFM plans to manage the portfolio’s duration generally in line with the

benchmark. But, the significant flattening of the yield curve since the beginning of the year has reduced the benefit of some maturity

extensions, so PFM will carefully assess value along the yield curve.

As the end of Janet Yellen’s term as Chair of the Federal Reserve nears, which will expire early next year, PFM will assess the market

implications of all new appointees to the Fed (there will be a total of 4 openings on the Fed’s 7-member Board of Governors).

PFM’s prevailing economic theme includes moderate growth in the U.S. and abroad, further improvements in the tightening U.S. labor

market, healthy consumer demand, and a stable corporate backdrop.

The impact from the recent Gulf Coast hurricanes will likely manifest itself in weaker economic data for September and early fourth

quarter. However, history shows that the effects of weather-related events are typically short-lived, and may be smoothed over by the

subsequent recovery and rebuilding activity.

On the policy front, the potential for tax reform is worth watching, as will be the debt ceiling debate, which will resurface in December.

PFM’s outlook on each of the major investment-grade fixed-income sectors are as follows:

• Limited supply and robust demand will keep yield spreads on federal agencies tight. Generally, we favor U.S. Treasuries over

agencies, except for new issues that offer a fair yield concession. Supranationals remain an attractive alternative.

• Corporate fundamentals remain stable, and we continue to view the sector positively. However, recent spread tightening in the

sector warrants being more selective with industries, issuers, and individual issues. We also find value in negotiable certificates of

deposit, especially in the 2 year and under maturity range.

• Asset-backed securities (ABS) continue to offer opportunity for modest incremental yield. We continue to closely monitor

developments in the underlying collateral.

• Municipal security yield spreads are low and offer limited value. New issue volume is also down relative to last year, constraining

supply.

Outlook and Strategy

18

Transactions & Account Holdings

CITY OF STOCKTON


Portfolio Activity

Quarterly Portfolio Transactions

Trade

Date

Settle

Date

Maturity

DatePar ($) CUSIP Security Description

Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

BUY

7/3/17 7/6/17 5,880,000 912828R77 US TREASURY NOTES 5/31/21 5,798,144.65 1.78%1.37%

7/6/17 7/11/17 2,000,000 46625HQJ2 JP MORGAN CHASE & CO CORP NT (CALLABLE) 3/1/21 2,028,716.67 2.40%2.55%

7/7/17 7/10/17 5,890,000 3135G0T29 FNMA NOTES 2/28/20 5,907,964.50 1.60%1.50%

7/10/17 7/11/17 12,000,000 22533UA86 CREDIT AGRICOLE CIB NY COMM PAPER 1/8/18 11,916,740.00 1.39%0.00%

7/10/17 7/11/17 12,000,000 09659CA81 BNP PARIBAS NY BRANCH COMM PAPER 1/8/18 11,913,723.33 1.44%0.00%

7/10/17 7/11/17 12,000,000 06366HA80 BANK OF MONTREAL CHICAGO COMM PAPER 1/8/18 11,917,313.71 1.38%0.00%

7/10/17 7/11/17 2,800,000 912828S76 US TREASURY NOTES 7/31/21 2,738,212.80 1.82%1.12%

7/10/17 7/13/17 2,000,000 437076BG6 HOME DEPOT INC CORP NOTES 6/1/22 2,035,505.00 2.30%2.62%

7/10/17 7/13/17 6,000,000 037833CQ1 APPLE INC 5/11/22 6,015,786.67 2.33%2.30%

7/10/17 7/13/17 2,000,000 0258M0EG0 AMERICAN EXPRESS CREDIT CORP NOTES 3/3/22 2,038,820.00 2.48%2.70%

7/10/17 7/13/17 4,000,000 458140BB5 INTEL CORP NOTES 5/11/22 4,018,668.89 2.34%2.35%

7/10/17 7/13/17 4,000,000 911312BC9 UNITED PARCEL SERVICE CORP NOTES 5/16/22 4,027,763.33 2.28%2.35%

7/12/17 7/13/17 10,000,000 46640QA92 JP MORGAN SECURITIES LLC COMM PAPER 1/9/18 9,928,500.00 1.44%0.00%

7/13/17 7/18/17 3,123,000 459200JF9 IBM CORP NOTES 2/19/21 3,168,978.37 2.09%2.25%

7/14/17 7/19/17 4,000,000 25468PDQ6 WALT DISNEY COMPANY CORP NOTES 3/4/22 4,084,125.56 2.18%2.45%

7/17/17 7/20/17 845,000 02665WBT7 AMERICAN HONDA FINANCE CORP NOTES 7/20/20 844,146.55 1.98%1.95%

7/18/17 7/19/17 5,195,000 3137EAEH8 FREDDIE MAC NOTES 8/15/19 5,187,363.35 1.45%1.37%

7/19/17 7/24/17 3,155,000 02665WBT7 AMERICAN HONDA FINANCE CORP NOTES 7/20/20 3,157,513.48 1.93%1.95%

7/24/17 7/24/17 12,000,000 06538CCM1 BANK OF TOKYO MITSUBISHI UFJ LTD COMM PA 3/21/18 11,880,800.00 1.51%0.00%

7/28/17 8/1/17 7,335,000 3135G0T60 FNMA NOTES 7/30/20 7,312,774.95 1.60%1.50%

8/2/17 8/3/17 9,500,000 912828R77 US TREASURY NOTES 5/31/21 9,420,048.56 1.67%1.37%

8/3/17 8/4/17 7,500,000 83050FXT3 SKANDINAV ENSKILDA BANKEN NY CD 8/2/19 7,497,075.00 1.85%1.84%

8/3/17 8/7/17 6,735,000 96121T4A3 WESTPAC BANKING CORP NY CD 8/3/20 6,735,000.00 2.05%2.05%

8/9/17 8/16/17 4,185,000 44932GAD7 HYUNDAI ABS 2017-B A3 1/15/22 4,184,274.74 1.78%1.77%

8/25/17 8/28/17 6,475,000 912828P87 US TREASURY N/B 2/28/21 6,413,450.11 1.57%1.12%

8/30/17 8/31/17 9,000,000 912828XQ8 US TREASURY NOTES 7/31/22 9,129,069.29 1.73%2.00%


CITY OF STOCKTON


Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

8/30/17 8/31/17 4,000,000 3135G0T60 FNMA NOTES 7/30/20 4,004,760.00 1.50%1.50%

9/7/17 9/8/17 3,490,000 3130ACE26 FHLB NOTES 9/28/20 3,478,797.10 1.48%1.37%

9/15/17 9/15/17 4,600,000 3130ACE26 FHLB NOTES 9/28/20 4,572,755.86 1.58%1.37%

9/25/17 9/27/17 3,760,000 06539RGM3 BANK TOKYO MITSUBISHI UFJ LTD LT CD 9/25/19 3,760,000.00 2.07%2.07%

175,468,000 175,116,792.47Total BUY

INTEREST

7/3/17 7/3/17 0 MONEY0002 MONEY MARKET FUND 5,873.30

7/5/17 7/5/17 6,400,000 3135G0S38 FANNIE MAE AGENCY NOTES 1/5/22 62,577.78 2.00%

7/6/17 7/6/17 3,000,000 24422ETL3 JOHN DEERE CAPITAL CORP NOTES 1/6/22 39,750.00 2.65%

7/6/17 7/6/17 875,000 24422ETL3 JOHN DEERE CAPITAL CORP NOTES 1/6/22 11,593.75 2.65%

7/6/17 7/6/17 1,000,000 24422ETL3 JOHN DEERE CAPITAL CORP NOTES 1/6/22 13,250.00 2.65%

7/11/17 7/11/17 1,490,000 654747AB0 NISSAN ABS 2017-A A2A 1/15/20 1,825.25 1.47%

7/12/17 7/12/17 655,000 89236TCA1 TOYOTA MOTOR CREDIT CORP NOTE 1/12/18 4,748.75 1.45%

7/12/17 7/12/17 300,000 89236TCA1 TOYOTA MOTOR CREDIT CORP NOTE 1/12/18 2,175.00 1.45%

7/12/17 7/12/17 2,000,000 89236TCA1 TOYOTA MOTOR CREDIT CORP NOTE 1/12/18 14,500.00 1.45%

7/13/17 7/13/17 6,400,000 3137EADB2 FREDDIE MAC GLOBAL NOTES 1/13/22 76,000.00 2.37%

7/14/17 7/14/17 500,000 36962G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 1/14/19 5,750.00 2.30%



7/14/17 7/14/17 1,055,000 36962G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 1/14/19 12,132.50 2.30%



7/15/17 7/15/17 3,107 47787VAC5 JDOT 2014-A A3 4/15/18 2.38 0.92%

7/15/17 7/15/17 2,450,000 47788MAC4 JOHN DEERE ABS 2016-A A3 4/15/20 2,776.67 1.36%

7/15/17 7/15/17 1,770,000 43814QAC2 HONDA ABS 2016-2 A3 4/15/20 2,050.25 1.39%

7/15/17 7/15/17 85,475 477877AD6 JDOT 2014-B A3 11/15/18 76.22 1.07%

7/15/17 7/15/17 2,298,163 47788NAB4 JOHN DEERE ABS 2016-B A2 2/15/19 2,087.50 1.09%


CITY OF STOCKTON


Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

7/15/17 7/15/17 778,565 89236WAC2 TOYOTA ABS 2015-A A3 2/15/19 726.66 1.12%

7/15/17 7/15/17 326,214 89236WAC2 TOYOTA ABS 2015-A A3 2/15/19 304.47 1.12%

7/15/17 7/15/17 142,350 43814HAC2 HONDA ABS 2014-3 A3 6/15/18 104.39 0.88%

7/15/17 7/15/17 1,435,000 47787XAB3 JOHN DEERE ABS 2017-A A2 10/15/19 1,793.75 1.50%

7/15/17 7/15/17 2,135,000 89238MAB4 TOYOTA ABS 2017-A A2A 9/15/19 2,526.42 1.42%

7/15/17 7/15/17 1,628,061 65478WAB1 NISSAN ABS 2016-C A2A 5/15/19 1,451.69 1.07%

7/15/17 7/15/17 2,481,788 89231LAB3 TOYOTA ABS 2016-D A2A 5/15/19 2,192.25 1.06%

7/15/17 7/15/17 24,859 47787VAC5 JDOT 2014-A A3 4/15/18 19.06 0.92%

7/15/17 7/15/17 332,403 477877AD6 JDOT 2014-B A3 11/15/18 296.39 1.07%

7/15/17 7/15/17 163,352 477877AD6 JDOT 2014-B A3 11/15/18 145.66 1.07%

7/15/17 7/15/17 4,140,000 161571HH0 CHASE ISSURANCE TRUST OTHER ABS 9/15/17 3,657.00 1.06%

7/16/17 7/16/17 2,100,000 40428HPH9 HSBC USA INC 1/16/18 17,062.50 1.62%

7/16/17 7/16/17 1,500,000 40428HPH9 HSBC USA INC 1/16/18 12,187.50 1.62%

7/17/17 7/17/17 7,500,000 3137EAEE5 FREDDIE MAC AGENCY NOTE 1/17/20 56,250.00 1.50%

7/18/17 7/18/17 21,115 43814GAC4 HONDA ABS 2014-2 A3 3/18/18 13.55 0.77%

7/18/17 7/18/17 3,803,350 43814RAB2 HONDA ABS 2016-4 A2 4/18/19 3,296.24 1.04%

7/21/17 7/21/17 173,498 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 150.37 1.04%

7/21/17 7/21/17 148,713 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 128.88 1.04%

7/21/17 7/21/17 2,060,000 43814TAB8 HONDA AUTO RECEIVABLES OWNER 2017-1 A2 8/21/18 2,437.67 1.42%

7/21/17 7/21/17 1,221,925 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 1,059.00 1.04%

7/24/17 7/24/17 2,000,000 91159HHP8 US BANCORP (CALLABLE) NOTES 1/24/22 26,250.00 2.62%

7/30/17 7/30/17 1,500,000 94974BGF1 WELLS FARGO & CO CORP BONDS 1/30/20 16,125.00 2.15%

7/30/17 7/30/17 500,000 94974BGF1 WELLS FARGO & CO CORP BONDS 1/30/20 5,375.00 2.15%


7/30/17 7/30/17 1,985,000 94974BGF1 WELLS FARGO & CO CORP BONDS 1/30/20 21,338.75 2.15%


7/31/17 7/31/17 2,800,000 912828S76 US TREASURY NOTES 7/31/21 15,750.00 1.12%

7/31/17 7/31/17 1,505,000 912828TH3 US TREASURY NOTES 7/31/19 6,584.38 0.87%

7/31/17 7/31/17 3,750,000 912828N89 US TREASURY NOTES 1/31/21 25,781.25 1.37%

7/31/17 7/31/17 1,350,000 912828N89 US TREASURY NOTES 1/31/21 9,281.25 1.37%


CITY OF STOCKTON


Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

8/1/17 8/1/17 1,100,000 3137EADK2 FREDDIE MAC GLOBAL NOTES 8/1/19 6,875.00 1.25%



8/1/17 8/1/17 0 MONEY0002 MONEY MARKET FUND 3,357.29

8/8/17 8/8/17 2,125,000 594918BP8 MICROSOFT CORP NOTES 8/8/21 16,468.75 1.55%

8/8/17 8/8/17 855,000 594918BP8 MICROSOFT CORP NOTES 8/8/21 6,626.25 1.55%

8/11/17 8/11/17 1,490,000 654747AB0 NISSAN ABS 2017-A A2A 1/15/20 1,825.25 1.47%

8/11/17 8/11/17 1,730,000 69371RN44 PACCAR FINANCIAL CORP 8/11/21 14,272.50 1.65%

8/12/17 8/12/17 2,330,000 3137EAEC9 FHLMC REFERNCE NOTE 8/12/21 13,106.25 1.12%

8/12/17 8/12/17 4,225,000 3137EAEC9 FHLMC REFERNCE NOTE 8/12/21 23,765.63 1.12%

8/15/17 8/15/17 1,770,000 43814QAC2 HONDA ABS 2016-2 A3 4/15/20 2,050.25 1.39%

8/15/17 8/15/17 71,907 477877AD6 JDOT 2014-B A3 11/15/18 64.12 1.07%

8/15/17 8/15/17 75,646 43814HAC2 HONDA ABS 2014-3 A3 6/15/18 55.47 0.88%


8/15/17 8/15/17 279,639 477877AD6 JDOT 2014-B A3 11/15/18 249.34 1.07%

8/15/17 8/15/17 1,905,000 084664CK5 BERKSHIRE HATHAWAY INC CORPORATE NOTES 8/15/19 12,382.50 1.30%


8/15/17 8/15/17 137,422 477877AD6 JDOT 2014-B A3 11/15/18 122.53 1.07%

8/15/17 8/15/17 285,615 89236WAC2 TOYOTA ABS 2015-A A3 2/15/19 266.57 1.12%



8/15/17 8/15/17 681,667 89236WAC2 TOYOTA ABS 2015-A A3 2/15/19 636.22 1.12%




8/17/17 8/17/17 6,500,000 3135G0N82 FNMA NOTES 8/17/21 40,625.00 1.25%

8/18/17 8/18/17 5,010,000 3130A7CV5 FHLB NOTES 2/18/21 34,443.75 1.37%

8/18/17 8/18/17 1,440,000 3130A7CV5 FHLB NOTES 2/18/21 9,900.00 1.37%

8/18/17 8/18/17 3,456,905 43814RAB2 HONDA ABS 2016-4 A2 4/18/19 2,995.98 1.04%

8/19/17 8/19/17 3,123,000 459200JF9 IBM CORP NOTES 2/19/21 35,133.75 2.25%


CITY OF STOCKTON


Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

8/21/17 8/21/17 130,404 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 113.02 1.04%

8/21/17 8/21/17 1,071,488 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 928.62 1.04%


8/21/17 8/21/17 152,138 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 131.85 1.04%

8/26/17 8/26/17 6,400,000 3135G0J20 FNMA NOTES 2/26/21 44,000.00 1.37%

8/28/17 8/28/17 5,890,000 3135G0T29 FNMA NOTES 2/28/20 44,175.00 1.50%

8/31/17 8/31/17 3,700,000 912828L32 US TREASURY NOTES 8/31/20 25,437.50 1.37%

8/31/17 8/31/17 6,900,000 912828J43 US TREASURY NOTES 2/28/22 60,375.00 1.75%

8/31/17 8/31/17 900,000 912828L32 US TREASURY NOTES 8/31/20 6,187.50 1.37%

8/31/17 8/31/17 2,100,000 912828L32 US TREASURY NOTES 8/31/20 14,437.50 1.37%

8/31/17 8/31/17 6,475,000 912828P87 US TREASURY N/B 2/28/21 36,421.88 1.12%

8/31/17 8/31/17 6,000,000 912828B90 US TREASURY NOTES 2/28/21 60,000.00 2.00%

9/1/17 9/1/17 645,000 17275RAR3 CISCO SYSTEMS INC GLOBAL NOTES 3/1/19 6,853.13 2.12%




9/1/17 9/1/17 0 MONEY0002 MONEY MARKET FUND 882.09


9/1/17 9/1/17 3,078,000 30231GAV4 EXXON MOBIL CORPORATE NOTES 3/1/21 34,196.58 2.22%

9/1/17 9/1/17 1,415,000 30231GAV4 EXXON MOBIL CORPORATE NOTES 3/1/21 15,720.65 2.22%

9/1/17 9/1/17 2,000,000 46625HQJ2 JP MORGAN CHASE & CO CORP NT (CALLABLE) 3/1/21 25,500.00 2.55%

9/3/17 9/3/17 2,000,000 0258M0EG0 AMERICAN EXPRESS CREDIT CORP NOTES 3/3/22 27,000.00 2.70%

9/4/17 9/4/17 4,000,000 25468PDQ6 WALT DISNEY COMPANY CORP NOTES 3/4/22 48,455.56 2.45%

9/11/17 9/11/17 1,585,000 06406HCW7 BANK OF NEW YORK MELLON NT (CALLABLE) 9/11/19 18,227.50 2.30%

9/11/17 9/11/17 750,000 06406HCW7 BANK OF NEW YORK MELLON NT (CALLABLE) 9/11/19 8,625.00 2.30%





9/12/17 9/12/17 3,800,000 3135G0ZG1 FNMA NOTES 9/12/19 33,250.00 1.75%


CITY OF STOCKTON


Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

9/12/17 9/12/17 1,500,000 3135G0ZG1 FNMA NOTES 9/12/19 13,125.00 1.75%


9/15/17 9/15/17 1,770,000 43814QAC2 HONDA ABS 2016-2 A3 4/15/20 2,050.25 1.39%



9/15/17 9/15/17 108,934 477877AD6 JDOT 2014-B A3 11/15/18 97.13 1.07%



9/15/17 9/15/17 248,236 89236WAC2 TOYOTA ABS 2015-A A3 2/15/19 231.69 1.12%

9/15/17 9/15/17 13,926 43814HAC2 HONDA ABS 2014-3 A3 6/15/18 10.21 0.88%


9/15/17 9/15/17 4,185,000 44932GAD7 HYUNDAI ABS 2017-B A3 1/15/22 5,967.11 1.77%

9/15/17 9/15/17 1,490,000 654747AB0 NISSAN ABS 2017-A A2A 1/15/20 1,825.25 1.47%


9/15/17 9/15/17 221,667 477877AD6 JDOT 2014-B A3 11/15/18 197.65 1.07%

9/15/17 9/15/17 57,000 477877AD6 JDOT 2014-B A3 11/15/18 50.83 1.07%

9/15/17 9/15/17 4,100,000 68389XBK0 ORACLE CORP NOTES 9/15/21 38,950.00 1.90%

9/15/17 9/15/17 592,456 89236WAC2 TOYOTA ABS 2015-A A3 2/15/19 552.96 1.12%

9/18/17 9/18/17 3,131,503 43814RAB2 HONDA ABS 2016-4 A2 4/18/19 2,713.97 1.04%

9/21/17 9/21/17 132,563 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 114.89 1.04%

9/21/17 9/21/17 933,625 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 809.14 1.04%

9/21/17 9/21/17 113,626 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 98.48 1.04%


9/28/17 9/28/17 4,600,000 3130ACE26 FHLB NOTES 9/28/20 3,513.89 1.37%

9/28/17 9/28/17 3,490,000 3130ACE26 FHLB NOTES 9/28/20 2,665.97 1.37%

9/30/17 9/30/17 6,550,000 912828T34 US TREASURY N/B 9/30/21 36,843.75 1.12%


9/30/17 9/30/17 6,500,000 912828Q37 US TREASURY NOTES 3/31/21 40,625.00 1.25%




CITY OF STOCKTON


Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

267,245,549 1,552,634.35Total INTEREST

MATURITY

7/7/17 7/7/17 6,455,000 06538BU76 BANK TOKYO-MIT UFJ NY COMM PAPER 7/7/17 6,455,000.00 0.00 0.00%

7/11/17 7/11/17 10,000,000 89113WU20 TORONTO DOMINION BANK NY CERT DEPOS 7/11/17 10,017,452.78 0.00 1.03%

7/11/17 7/11/17 3,000,000 06538BUB7 BANK TOKYO-MIT UFJ NY COMM PAPER 7/11/17 3,000,000.00 0.00 0.00%

7/11/17 7/11/17 3,000,000 89233GUB0 TOYOTA MOTOR CREDIT CORP COMM PAPER 7/11/17 3,000,000.00 0.00 0.00%

7/17/17 7/17/17 1,500,000 06538BUH4 BANK TOKYO MITSUBISHI UFJ LTD COMM PAPER 7/17/17 1,500,000.00 0.00 0.00%

9/15/17 9/15/17 4,140,000 161571HH0 CHASE ISSURANCE TRUST OTHER ABS 9/15/17 4,140,000.00 0.00 1.06%

28,095,000 28,112,452.78 0.00Total MATURITY

PAYDOWNS

7/15/17 7/15/17 40,600 89236WAC2 TOYOTA ABS 2015-A A3 2/15/19 40,599.75 0.00 1.12%

7/15/17 7/15/17 96,898 89236WAC2 TOYOTA ABS 2015-A A3 2/15/19 96,898.07 0.00 1.12%

7/15/17 7/15/17 233,234 89231LAB3 TOYOTA ABS 2016-D A2A 5/15/19 233,234.05 0.00 1.06%

7/15/17 7/15/17 66,703 43814HAC2 HONDA ABS 2014-3 A3 6/15/18 66,703.23 0.00 0.88%

7/15/17 7/15/17 222,591 47788NAB4 JOHN DEERE ABS 2016-B A2 2/15/19 222,590.97 0.00 1.09%

7/15/17 7/15/17 52,764 477877AD6 JDOT 2014-B A3 11/15/18 52,764.17 0.00 1.07%

7/15/17 7/15/17 13,568 477877AD6 JDOT 2014-B A3 11/15/18 13,567.93 0.00 1.07%

7/15/17 7/15/17 25,930 477877AD6 JDOT 2014-B A3 11/15/18 25,929.82 0.00 1.07%

7/15/17 7/15/17 24,859 47787VAC5 JDOT 2014-A A3 4/15/18 24,859.42 0.00 0.92%

7/15/17 7/15/17 3,107 47787VAC5 JDOT 2014-A A3 4/15/18 3,107.43 0.00 0.92%

7/15/17 7/15/17 168,795 65478WAB1 NISSAN ABS 2016-C A2A 5/15/19 168,794.80 0.00 1.07%

7/18/17 7/18/17 21,115 43814GAC4 HONDA ABS 2014-2 A3 3/18/18 21,115.24 0.00 0.77%

7/18/17 7/18/17 346,445 43814RAB2 HONDA ABS 2016-4 A2 4/18/19 346,444.82 0.00 1.04%

7/21/17 7/21/17 150,437 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 150,436.57 0.00 1.04%


CITY OF STOCKTON


Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

7/21/17 7/21/17 18,309 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 18,308.70 0.00 1.04%

7/21/17 7/21/17 21,360 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 21,360.16 0.00 1.04%

8/15/17 8/15/17 37,379 89236WAC2 TOYOTA ABS 2015-A A3 2/15/19 37,378.81 0.00 1.12%

8/15/17 8/15/17 89,211 89236WAC2 TOYOTA ABS 2015-A A3 2/15/19 89,210.75 0.00 1.12%


8/15/17 8/15/17 0 89231LAB3 TOYOTA ABS 2016-D A2A 5/15/19 0.02 0.00 1.06%

8/15/17 8/15/17 61,721 43814HAC2 HONDA ABS 2014-3 A3 6/15/18 61,720.74 0.00 0.88%


8/15/17 8/15/17 14,907 477877AD6 JDOT 2014-B A3 11/15/18 14,906.97 0.00 1.07%

8/15/17 8/15/17 28,489 477877AD6 JDOT 2014-B A3 11/15/18 28,488.87 0.00 1.07%

8/15/17 8/15/17 57,972 477877AD6 JDOT 2014-B A3 11/15/18 57,971.53 0.00 1.07%


8/18/17 8/18/17 325,402 43814RAB2 HONDA ABS 2016-4 A2 4/18/19 325,402.01 0.00 1.04%

8/21/17 8/21/17 16,778 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 16,778.48 0.00 1.04%

8/21/17 8/21/17 137,863 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 137,863.11 0.00 1.04%

8/21/17 8/21/17 19,575 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 19,574.89 0.00 1.04%

9/15/17 9/15/17 13,926 43814HAC2 HONDA ABS 2014-3 A3 6/15/18 13,925.60 0.00 0.88%


9/15/17 9/15/17 12,972 477877AD6 JDOT 2014-B A3 11/15/18 12,972.31 0.00 1.07%

9/15/17 9/15/17 24,792 477877AD6 JDOT 2014-B A3 11/15/18 24,791.53 0.00 1.07%

9/15/17 9/15/17 50,448 477877AD6 JDOT 2014-B A3 11/15/18 50,447.89 0.00 1.07%


9/15/17 9/15/17 37,559 89236WAC2 TOYOTA ABS 2015-A A3 2/15/19 37,559.20 0.00 1.12%

9/15/17 9/15/17 89,641 89236WAC2 TOYOTA ABS 2015-A A3 2/15/19 89,641.30 0.00 1.12%


9/18/17 9/18/17 335,578 43814RAB2 HONDA ABS 2016-4 A2 4/18/19 335,577.64 0.00 1.04%

9/21/17 9/21/17 16,667 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 16,666.75 0.00 1.04%

9/21/17 9/21/17 19,445 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 19,444.55 0.00 1.04%

9/21/17 9/21/17 136,945 43813NAC0 HONDA ABS 2015-2 A3 2/21/19 136,945.20 0.00 1.04%

9/21/17 9/21/17 149,137 43814TAB8 HONDA AUTO RECEIVABLES OWNER 2017-1 A2 8/21/18 149,137.10 0.00 1.42%


CITY OF STOCKTON


Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

4,466,645 4,466,644.55 0.00Total PAYDOWNS

SELL

7/3/17 7/6/17 5,900,000 3135G0K69 FNMA BENCHMARK NOTE 5/6/21 5,803,967.67 1.75% (124,274.00)1.25%

7/7/17 7/10/17 900,000 912828UQ1 US TREASURY NOTES 2/29/20 897,707.20 1.52% (2,668.22)1.25%

7/7/17 7/10/17 1,925,000 912828UQ1 US TREASURY NOTES 2/29/20 1,920,095.96 1.52% 3,824.38 1.25%

7/7/17 7/10/17 3,100,000 912828UQ1 US TREASURY NOTES 2/29/20 3,092,102.58 1.52% 4,493.07 1.25%

7/10/17 7/11/17 2,800,000 3130A8QS5 FHLB GLOBAL NOTE 7/14/21 2,741,455.50 1.81% (52,228.06)1.12%

7/10/17 7/11/17 900,000 3137EADN6 FHLMC NOTES 1/12/18 901,304.25 1.21% (1,192.41)0.75%

7/10/17 7/11/17 2,410,000 313378A43 FHLB NOTES 3/9/18 2,423,278.43 1.24% (3,531.98)1.37%

7/10/17 7/11/17 2,875,000 313378A43 FHLB NOTES 3/9/18 2,890,840.45 1.24% 5,605.50 1.37%

7/10/17 7/13/17 4,045,000 00440EAT4 CHUBB INA HOLDINGS INC (CALLABLE) NOTES 11/3/20 4,091,526.49 2.08% 11,474.29 2.30%

7/10/17 7/13/17 1,665,000 02665WAQ4 AMERICAN HONDA FINANCE CORPORATE NOTES 12/11/17 1,668,226.40 1.41% 1,148.80 1.55%

7/10/17 7/13/17 1,225,000 037833AJ9 APPLE INC GLOBAL NOTES 5/3/18 1,223,498.69 1.40% (59.80)1.00%

7/10/17 7/13/17 1,775,000 037833AJ9 APPLE INC GLOBAL NOTES 5/3/18 1,772,824.64 1.40% (2,864.85)1.00%

7/10/17 7/13/17 1,565,000 22160KAG0 COSTCO WHOLESALE CORPORATE NOTES 2/15/20 1,573,614.46 1.82% (1,774.76)1.75%

7/10/17 7/13/17 95,000 166764AA8 CHEVRON CORP (CALLABLE) GLOBAL NOTES 12/5/17 95,023.30 1.34% 22.33 1.10%


7/10/17 7/13/17 350,000 166764AA8 CHEVRON CORP (CALLABLE) GLOBAL NOTES 12/5/17 350,085.87 1.34% (402.00)1.10%

7/10/17 7/13/17 480,000 166764AA8 CHEVRON CORP (CALLABLE) GLOBAL NOTES 12/5/17 480,117.76 1.34% (441.60)1.10%


7/10/17 7/13/17 300,000 89236TCA1 TOYOTA MOTOR CREDIT CORP NOTE 1/12/18 300,141.09 1.36% 64.31 1.45%

7/10/17 7/13/17 655,000 89236TCA1 TOYOTA MOTOR CREDIT CORP NOTE 1/12/18 655,308.03 1.36% 433.16 1.45%

7/10/17 7/13/17 2,000,000 89236TCA1 TOYOTA MOTOR CREDIT CORP NOTE 1/12/18 2,000,940.55 1.36% (311.28)1.45%

7/10/17 7/13/17 660,000 458140AL4 INTEL CORP CORPORATE NOTES 12/15/17 660,765.60 1.32% (76.30)1.35%

7/10/17 7/13/17 700,000 458140AL4 INTEL CORP CORPORATE NOTES 12/15/17 700,812.00 1.32% 70.94 1.35%

7/10/17 7/13/17 1,040,000 458140AL4 INTEL CORP CORPORATE NOTES 12/15/17 1,041,206.40 1.32% (177.00)1.35%

7/10/17 7/13/17 100,000 458140AL4 INTEL CORP CORPORATE NOTES 12/15/17 100,116.00 1.32% 41.47 1.35%


CITY OF STOCKTON


Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

7/10/17 7/13/17 1,100,000 808513AK1 CHARLES SCHWAB CORP NOTES (CALLABLE) 3/10/18 1,105,934.50 1.46% (1,101.36)1.50%

7/10/17 7/13/17 1,545,000 808513AK1 CHARLES SCHWAB CORP NOTES (CALLABLE) 3/10/18 1,553,335.28 1.46% 397.71 1.50%

7/10/17 7/13/17 450,000 808513AK1 CHARLES SCHWAB CORP NOTES (CALLABLE) 3/10/18 452,427.75 1.46% 16.24 1.50%

7/10/17 7/13/17 540,000 808513AK1 CHARLES SCHWAB CORP NOTES (CALLABLE) 3/10/18 542,913.30 1.46% 174.08 1.50%

7/10/17 7/13/17 1,305,000 747525AD5 QUALCOMM INC CORPORATE GLOBAL NOTES 5/20/20 1,320,989.51 1.93% 20,074.41 2.25%

7/10/17 7/13/17 325,000 747525AD5 QUALCOMM INC CORPORATE GLOBAL NOTES 5/20/20 328,982.06 1.93% 4,105.82 2.25%

7/10/17 7/13/17 740,000 747525AD5 QUALCOMM INC CORPORATE GLOBAL NOTES 5/20/20 749,066.85 1.93% 8,340.60 2.25%



7/10/17 7/13/17 550,000 74005PBH6 PRAXAIR INC (MAKE WHOLE CALL) CORP NOTES 11/7/18 549,593.92 1.48% 296.84 1.25%

7/10/17 7/13/17 2,440,000 74005PBH6 PRAXAIR INC (MAKE WHOLE CALL) CORP NOTES 11/7/18 2,438,198.46 1.48% 6,067.13 1.25%

7/13/17 7/18/17 2,440,000 459200HZ7 IBM CORP NOTES 2/6/18 2,449,302.50 1.35% (1,665.42)1.12%

7/13/17 7/18/17 1,000,000 459200HZ7 IBM CORP NOTES 2/6/18 1,003,812.50 1.35% (140.34)1.12%

7/14/17 7/19/17 500,000 166764AV2 CHEVRON CORP NOTES 3/2/18 502,527.29 1.39% 187.02 1.36%

7/14/17 7/19/17 850,000 166764AV2 CHEVRON CORP NOTES 3/2/18 854,296.40 1.39% (119.00)1.36%

7/18/17 7/19/17 5,195,000 912828TH3 US TREASURY NOTES 7/31/19 5,166,909.38 1.35% (27,922.43)0.87%

7/19/17 7/24/17 500,000 02665WAC5 AMERICAN HONDA FINANCE CORPORATE NOTES 10/10/18 506,634.44 1.53% 1,082.41 2.12%


7/19/17 7/24/17 100,000 02665WAC5 AMERICAN HONDA FINANCE CORPORATE NOTES 10/10/18 101,326.89 1.53% 154.69 2.12%


7/19/17 7/24/17 1,700,000 3135G0ZA4 FANNIE MAE BENCHMARK NOTE 2/19/19 1,727,102.96 1.37% 12,228.05 1.87%

7/19/17 7/24/17 2,000,000 3135G0ZA4 FANNIE MAE BENCHMARK NOTE 2/19/19 2,031,885.83 1.37% 7,573.94 1.87%

7/19/17 7/24/17 2,500,000 313376BR5 FHLB NOTES AGENCY 12/14/18 2,519,311.11 1.33% 9,949.50 1.75%

7/19/17 7/24/17 1,300,000 713448CR7 PEPSICO, INC CORP NOTES 4/30/18 1,302,673.67 1.36% (909.21)1.25%

7/19/17 7/24/17 200,000 713448CR7 PEPSICO, INC CORP NOTES 4/30/18 200,411.33 1.36% 230.02 1.25%

7/19/17 7/24/17 1,020,000 713448CR7 PEPSICO, INC CORP NOTES 4/30/18 1,022,097.80 1.36% (845.50)1.25%

7/19/17 7/24/17 1,045,000 931142DF7 WAL-MART STORES INC GLOBAL NOTES 4/11/18 1,046,764.74 1.34% (1,458.28)1.12%

7/19/17 7/24/17 35,000 3130A4GJ5 FHLB NOTES 4/25/18 35,071.09 1.22% (54.47)1.12%

7/19/17 7/24/17 1,000,000 3130A4GJ5 FHLB NOTES 4/25/18 1,002,031.25 1.22% (1,548.65)1.12%

7/19/17 7/24/17 2,300,000 3130A4GJ5 FHLB NOTES 4/25/18 2,304,671.88 1.22% (1,510.53)1.12%


CITY OF STOCKTON


Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

7/28/17 8/1/17 1,135,000 880591EQ1 TENNESSEE VALLEY AUTHORITY NOTES 10/15/18 1,146,024.00 1.37% 3,085.99 1.75%

7/28/17 8/1/17 1,505,000 880591EQ1 TENNESSEE VALLEY AUTHORITY NOTES 10/15/18 1,519,617.73 1.37% 3,581.98 1.75%

7/28/17 8/1/17 425,000 880591EQ1 TENNESSEE VALLEY AUTHORITY NOTES 10/15/18 429,127.94 1.37% 1,332.93 1.75%

7/28/17 8/1/17 710,000 880591EQ1 TENNESSEE VALLEY AUTHORITY NOTES 10/15/18 716,896.07 1.37% 1,826.72 1.75%

7/28/17 8/1/17 1,425,000 912828VF4 US TREASURY NOTES 5/31/20 1,424,367.01 1.48% 7,352.33 1.37%

7/28/17 8/1/17 1,575,000 912828VF4 US TREASURY NOTES 5/31/20 1,574,300.38 1.48% 6,083.65 1.37%

8/2/17 8/3/17 210,000 36962G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 1/14/19 212,438.92 1.57% 1,081.96 2.30%



8/2/17 8/3/17 500,000 36962G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 1/14/19 505,806.94 1.57% 587.48 2.30%


8/2/17 8/3/17 1,055,000 36962G7G3 GENERAL ELECTRIC CAPITAL CORP NOTES 1/14/19 1,067,252.65 1.57% 11,569.89 2.30%

8/2/17 8/3/17 565,000 24422ESF7 JOHN DEERE CAPITAL CORP NOTES 12/13/18 569,270.46 1.59% 3,079.65 1.95%

8/2/17 8/3/17 6,500,000 912828R85 US TREASURY NOTES 6/15/19 6,452,516.75 1.34% (61,720.32)0.87%

8/2/17 8/3/17 265,000 91159HHE3 US BANCORP NOTES (CALLABLE) 11/15/18 267,537.38 1.53% 1,266.78 1.95%

8/2/17 8/3/17 550,000 912828ST8 US TREASURY NOTES 4/30/19 550,958.39 1.34% 793.69 1.25%

8/2/17 8/3/17 1,000,000 912828ST8 US TREASURY NOTES 4/30/19 1,001,742.53 1.34% 1,384.56 1.25%

8/2/17 8/3/17 3,800,000 912828ST8 US TREASURY NOTES 4/30/19 3,806,621.60 1.34% 22,079.61 1.25%

8/3/17 8/7/17 500,000 3135G0D75 FNMA BENCHMARK NOTES 6/22/20 501,027.50 1.49% (2,803.01)1.50%

8/3/17 8/7/17 5,900,000 3135G0D75 FNMA BENCHMARK NOTES 6/22/20 5,912,124.50 1.49% 46,674.55 1.50%

8/3/17 8/7/17 385,000 912828J84 US TREASURY NOTES 3/31/20 386,369.54 1.42% (724.66)1.37%

8/9/17 8/16/17 725,000 3137EADG1 FREDDIE MAC NOTES 5/30/19 732,927.47 1.34% 2,064.38 1.75%

8/9/17 8/16/17 2,500,000 3137EADG1 FREDDIE MAC NOTES 5/30/19 2,527,336.11 1.34% 14,306.72 1.75%



8/25/17 8/28/17 1,440,000 3130A7CV5 FHLB NOTES 2/18/21 1,431,635.72 1.56% (6,350.92)1.37%

8/25/17 8/28/17 5,010,000 3130A7CV5 FHLB NOTES 2/18/21 4,980,899.29 1.56% (16,803.44)1.37%

8/30/17 8/31/17 2,100,000 40428HPH9 HSBC USA INC 1/16/18 2,105,021.63 1.51% 1,652.01 1.62%

8/30/17 8/31/17 1,500,000 40428HPH9 HSBC USA INC 1/16/18 1,503,586.87 1.51% 1,228.57 1.62%

8/31/17 8/31/17 7,565,000 21687AY31 COOPERATIEVE RABOBANK U.A. COMM PAPER 11/3/17 7,547,785.42 1.28% (1,222.62)0.00%


CITY OF STOCKTON


Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

9/7/17 9/8/17 3,490,000 912828L32 US TREASURY NOTES 8/31/20 3,489,424.56 1.39% (2,318.58)1.37%

9/25/17 9/27/17 125,000 3137EADG1 FREDDIE MAC NOTES 5/30/19 126,375.94 1.43% 150.45 1.75%

9/25/17 9/27/17 1,000,000 3137EADG1 FREDDIE MAC NOTES 5/30/19 1,011,007.50 1.43% 1,671.11 1.75%

9/25/17 9/27/17 1,250,000 3135G0ZE6 FNMA NOTES 6/20/19 1,262,331.60 1.45% 3,082.61 1.75%

131,805,000 131,992,253.37 -31,436.89Total SELL


For the Month Ending September 30, 2017Managed Account Detail of Securities Held

Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value

CITY OF STOCKTON Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle

Par

U.S. Treasury Bond / Note

US TREASURY NOTES

DTD 07/31/2012 0.875% 07/31/2019

1,489,302.85 1,499,412.60 2,218.65 1,494,658.17 03/01/1603/01/16AaaAA+ 1,505,000.00 912828TH3 1.08

US TREASURY NOTES

DTD 11/30/2012 1.000% 11/30/2019

593,671.80 593,193.87 2,016.39 585,377.01 03/05/1503/05/15AaaAA+ 600,000.00 912828UB4 1.54

US TREASURY NOTES

DTD 11/30/2012 1.000% 11/30/2019

989,453.00 986,828.84 3,360.66 973,518.97 06/26/1506/26/15AaaAA+ 1,000,000.00 912828UB4 1.62

US TREASURY NOTES

DTD 11/30/2012 1.000% 11/30/2019

989,453.00 998,193.80 3,360.66 996,878.35 02/23/1602/23/16AaaAA+ 1,000,000.00 912828UB4 1.08

US TREASURY NOTES

DTD 11/30/2012 1.000% 11/30/2019

3,834,130.38 3,820,116.52 13,022.54 3,752,254.18 12/18/1412/18/14AaaAA+ 3,875,000.00 912828UB4 1.67

US TREASURY NOTES

DTD 03/31/2015 1.375% 03/31/2020

1,094,887.20 1,093,274.63 41.55 1,088,445.09 11/23/1511/23/15AaaAA+ 1,100,000.00 912828J84 1.63

US TREASURY NOTES

DTD 03/31/2015 1.375% 03/31/2020

2,403,775.08 2,416,352.76 91.23 2,417,366.48 10/23/1510/23/15AaaAA+ 2,415,000.00 912828J84 1.35

US TREASURY NOTES

DTD 03/31/2015 1.375% 03/31/2020

2,438,612.40 2,463,125.34 92.55 2,471,350.00 02/23/1602/23/16AaaAA+ 2,450,000.00 912828J84 1.16

US TREASURY NOTES

DTD 08/31/2015 1.375% 08/31/2020

208,556.25 210,040.22 247.27 210,066.33 09/29/1509/29/15AaaAA+ 210,000.00 912828L32 1.37

US TREASURY NOTES

DTD 08/31/2015 1.375% 08/31/2020

893,812.50 902,785.95 1,059.74 904,256.92 03/01/1603/01/16AaaAA+ 900,000.00 912828L32 1.27

US TREASURY NOTES

DTD 08/31/2015 1.375% 08/31/2020

2,085,562.50 2,099,112.27 2,472.72 2,098,530.46 10/23/1510/23/15AaaAA+ 2,100,000.00 912828L32 1.39

US TREASURY NOTES

DTD 10/31/2015 1.375% 10/31/2020

396,687.60 404,142.80 2,301.63 405,688.84 07/28/1607/28/16AaaAA+ 400,000.00 912828L99 1.03

US TREASURY NOTES

DTD 10/31/2015 1.375% 10/31/2020

5,950,314.00 5,940,444.42 34,524.46 5,906,035.73 11/23/1511/23/15AaaAA+ 6,000,000.00 912828L99 1.71

US TREASURY NOTES

DTD 01/31/2016 1.375% 01/31/2021

1,335,708.90 1,327,963.38 3,127.38 1,323,109.99 12/28/1612/28/16AaaAA+ 1,350,000.00 912828N89 1.88

32




Par

U.S. Treasury Bond / Note

US TREASURY NOTES

DTD 01/31/2016 1.375% 01/31/2021

3,710,302.50 3,747,500.03 8,687.16 3,746,350.46 03/09/1603/09/16AaaAA+ 3,750,000.00 912828N89 1.40

US TREASURY NOTES

DTD 02/28/2014 2.000% 02/28/2021

6,057,654.00 6,119,969.28 10,276.24 6,168,535.74 04/26/1604/26/16AaaAA+ 6,000,000.00 912828B90 1.40

US TREASURY N/B

DTD 02/29/2016 1.125% 02/28/2021

6,348,536.78 6,380,166.37 6,238.00 6,377,622.07 08/28/1708/25/17AaaAA+ 6,475,000.00 912828P87 1.57

US TREASURY NOTES

DTD 03/31/2016 1.250% 03/31/2021

6,394,628.50 6,376,626.04 223.21 6,349,455.39 12/13/1612/13/16AaaAA+ 6,500,000.00 912828Q37 1.81

US TREASURY NOTES

DTD 05/31/2016 1.375% 05/31/2021

5,800,525.92 5,795,510.46 27,170.90 5,790,192.19 07/06/1707/03/17AaaAA+ 5,880,000.00 912828R77 1.78

US TREASURY NOTES

DTD 05/31/2016 1.375% 05/31/2021

9,371,598.00 9,401,442.25 43,898.57 9,397,207.03 08/03/1708/02/17AaaAA+ 9,500,000.00 912828R77 1.67

US TREASURY NOTES

DTD 08/01/2016 1.125% 07/31/2021

2,731,859.20 2,728,257.03 5,307.07 2,724,203.13 07/11/1707/10/17AaaAA+ 2,800,000.00 912828S76 1.82

US TREASURY N/B

DTD 09/30/2016 1.125% 09/30/2021

6,377,807.05 6,458,884.98 202.44 6,439,234.85 11/09/1611/09/16AaaAA+ 6,550,000.00 912828T34 1.48

US TREASURY NOTES

DTD 03/02/2015 1.750% 02/28/2022

6,866,038.20 6,788,448.60 10,340.47 6,775,230.15 03/13/1703/13/17AaaAA+ 6,900,000.00 912828J43 2.14

US TREASURY NOTES

DTD 07/31/2015 2.000% 07/31/2022

9,034,803.00 9,112,039.20 30,326.09 9,113,906.25 08/31/1708/30/17AaaAA+ 9,000,000.00 912828XQ8 1.73

210,607.58 87,397,680.61 87,663,831.64 1.63 87,509,473.78 88,260,000.00 Security Type Sub-Total

Federal Agency Bond / Note

FNMA NOTES

DTD 05/12/2014 1.750% 06/20/2019

1,607,104.00 1,607,109.94 7,855.56 1,616,168.00 06/29/1506/29/15AaaAA+ 1,600,000.00 3135G0ZE6 1.49

FNMA NOTES

DTD 05/12/2014 1.750% 06/20/2019

2,460,878.00 2,456,533.95 12,028.82 2,466,782.50 12/15/1412/15/14AaaAA+ 2,450,000.00 3135G0ZE6 1.59

FREDDIE MAC GLOBAL NOTES

DTD 07/30/2012 1.250% 08/01/2019

1,045,012.50 1,043,197.76 2,187.50 1,035,061.65 06/26/1506/26/15AaaAA+ 1,050,000.00 3137EADK2 1.61

33




Par



DTD 07/30/2012 1.250% 08/01/2019

1,094,775.00 1,094,035.12 2,291.67 1,085,938.70 03/05/1503/05/15AaaAA+ 1,100,000.00 3137EADK2 1.55


DTD 07/30/2012 1.250% 08/01/2019

3,234,562.50 3,215,966.10 6,770.83 3,161,340.00 09/04/1409/04/14AaaAA+ 3,250,000.00 3137EADK2 1.83

FREDDIE MAC NOTES

DTD 07/19/2017 1.375% 08/15/2019

5,179,399.42 5,188,097.82 14,286.25 5,187,363.35 07/19/1707/18/17AaaAA+ 5,195,000.00 3137EAEH8 1.45

FNMA NOTES

DTD 07/28/2014 1.750% 09/12/2019

1,506,360.00 1,504,743.30 1,385.42 1,510,047.00 06/29/1506/29/15AaaAA+ 1,500,000.00 3135G0ZG1 1.58

FNMA NOTES

DTD 07/28/2014 1.750% 09/12/2019

3,816,112.00 3,803,545.78 3,509.72 3,808,626.00 10/29/1410/29/14AaaAA+ 3,800,000.00 3135G0ZG1 1.70


DTD 10/02/2012 1.250% 10/02/2019

994,272.00 991,704.41 6,215.28 982,648.00 06/26/1506/26/15AaaAA+ 1,000,000.00 3137EADM8 1.67


DTD 10/02/2012 1.250% 10/02/2019

1,093,699.20 1,092,629.05 6,836.81 1,083,495.60 03/05/1503/05/15AaaAA+ 1,100,000.00 3137EADM8 1.59


DTD 10/02/2012 1.250% 10/02/2019

3,231,384.00 3,217,117.15 20,199.65 3,173,235.00 12/18/1412/18/14AaaAA+ 3,250,000.00 3137EADM8 1.77

FREDDIE MAC AGENCY NOTE

DTD 01/17/2017 1.500% 01/17/2020

7,480,237.50 7,483,236.75 23,125.00 7,479,450.00 03/23/1703/23/17AaaAA+ 7,500,000.00 3137EAEE5 1.60

FNMA NOTES

DTD 02/28/2017 1.500% 02/28/2020

5,875,993.58 5,876,812.11 8,098.75 5,875,569.50 07/10/1707/07/17AaaAA+ 5,890,000.00 3135G0T29 1.60

FHLMC AGENCY NOTES

DTD 04/20/2017 1.375% 04/20/2020

6,458,588.50 6,468,113.93 39,970.49 6,462,820.00 04/25/1704/25/17AaaAA+ 6,500,000.00 3137EAEF2 1.57


DTD 04/04/2013 1.375% 05/01/2020

2,187,988.00 2,189,929.65 12,604.17 2,182,030.40 08/26/1508/26/15AaaAA+ 2,200,000.00 3137EADR7 1.56

FNMA NOTES

DTD 08/01/2017 1.500% 07/30/2020

3,978,136.00 3,999,769.56 10,000.00 3,999,760.00 08/31/1708/30/17AaaAA+ 4,000,000.00 3135G0T60 1.50

FNMA NOTES

DTD 08/01/2017 1.500% 07/30/2020

7,294,906.89 7,313,985.96 18,337.50 7,312,774.95 08/01/1707/28/17AaaAA+ 7,335,000.00 3135G0T60 1.60

34




Par


FHLB NOTES

DTD 09/08/2017 1.375% 09/28/2020

3,456,614.66 3,479,017.74 399.90 3,478,797.10 09/08/1709/07/17AaaAA+ 3,490,000.00 3130ACE26 1.48

FHLB NOTES

DTD 09/08/2017 1.375% 09/28/2020

4,555,996.40 4,571,925.83 527.08 4,571,526.00 09/15/1709/15/17AaaAA+ 4,600,000.00 3130ACE26 1.58

FNMA BENCHMARK NOTE

DTD 10/19/2015 1.500% 11/30/2020

397,318.80 401,372.50 2,016.67 402,044.00 02/23/1602/23/16AaaAA+ 400,000.00 3135G0F73 1.39

FNMA BENCHMARK NOTE

DTD 10/19/2015 1.500% 11/30/2020

5,959,782.00 5,926,400.52 30,250.00 5,886,600.00 12/16/1512/16/15AaaAA+ 6,000,000.00 3135G0F73 1.90

FNMA NOTES

DTD 02/05/2016 1.375% 02/26/2021

6,321,203.20 6,391,896.70 8,555.56 6,388,224.00 02/26/1602/26/16AaaAA+ 6,400,000.00 3135G0J20 1.41

FHLMC REFERNCE NOTE

DTD 08/12/2016 1.125% 08/12/2021

2,270,780.72 2,316,335.58 3,567.81 2,312,851.20 09/26/1609/26/16AaaAA+ 2,330,000.00 3137EAEC9 1.28

FHLMC REFERNCE NOTE

DTD 08/12/2016 1.125% 08/12/2021

4,117,617.40 4,192,423.69 6,469.53 4,183,552.75 08/30/1608/30/16AaaAA+ 4,225,000.00 3137EAEC9 1.33

FNMA NOTES

DTD 08/19/2016 1.250% 08/17/2021

6,360,315.00 6,471,846.16 9,930.56 6,464,854.50 10/04/1610/04/16AaaAA+ 6,500,000.00 3135G0N82 1.37

FANNIE MAE BENCHMARK NOTES

DTD 10/07/2016 1.375% 10/07/2021

1,128,293.75 1,144,273.90 7,642.71 1,142,996.50 10/27/1610/27/16AaaAA+ 1,150,000.00 3135G0Q89 1.50

FANNIE MAE AGENCY NOTES

DTD 01/09/2017 2.000% 01/05/2022

6,416,262.40 6,395,726.14 30,577.78 6,395,040.00 01/11/1701/11/17AaaAA+ 6,400,000.00 3135G0S38 2.02


DTD 01/13/2012 2.375% 01/13/2022

6,513,555.20 6,488,837.50 32,933.33 6,502,188.80 01/27/1701/27/17AaaAA+ 6,400,000.00 3137EADB2 2.03

FANNIE MAE NOTES

DTD 04/10/2017 1.875% 04/05/2022

7,133,733.75 7,149,040.76 63,679.69 7,148,920.35 06/20/1706/19/17AaaAA+ 7,150,000.00 3135G0T45 1.88


Corporate Note

CISCO SYSTEMS INC GLOBAL NOTES

DTD 03/03/2014 2.125% 03/01/2019

201,509.80 200,315.65 354.17 201,016.00 06/11/1406/11/14A1AA- 200,000.00 17275RAR3 2.01

35




Par

Corporate Note


DTD 03/03/2014 2.125% 03/01/2019

261,962.74 259,870.34 460.42 259,560.60 03/07/1403/07/14A1AA- 260,000.00 17275RAR3 2.16


DTD 03/03/2014 2.125% 03/01/2019

649,869.11 646,416.30 1,142.19 649,824.60 03/03/1402/27/14A1AA- 645,000.00 17275RAR3 1.97


DTD 03/03/2014 2.125% 03/01/2019

649,869.11 645,993.52 1,142.19 648,379.80 03/04/1403/04/14A1AA- 645,000.00 17275RAR3 2.01


DTD 03/03/2014 2.125% 03/01/2019

649,869.11 645,294.66 1,142.19 645,999.75 03/06/1403/06/14A1AA- 645,000.00 17275RAR3 2.09

US BANCORP (CALLABLE) CORPORATE

NOTES

DTD 04/24/2014 2.200% 04/25/2019

60,369.06 60,144.83 572.00 60,437.40 08/04/1408/04/14A1A+ 60,000.00 91159HHH6 2.04


NOTES

DTD 04/24/2014 2.200% 04/25/2019

578,536.83 576,247.05 5,481.67 578,881.25 06/10/1406/10/14A1A+ 575,000.00 91159HHH6 2.05


NOTES

DTD 04/24/2014 2.200% 04/25/2019

583,567.58 579,654.34 5,529.33 578,938.60 04/28/1404/28/14A1A+ 580,000.00 91159HHH6 2.24


NOTES

DTD 04/24/2014 2.200% 04/25/2019

814,982.31 809,591.22 7,722.00 808,744.50 04/28/1404/28/14A1A+ 810,000.00 91159HHH6 2.23


NOTES

DTD 04/24/2014 2.200% 04/25/2019

2,012,302.00 2,014,460.44 19,066.67 2,029,600.00 02/26/1602/26/16A1A+ 2,000,000.00 91159HHH6 1.72

BERKSHIRE HATHAWAY INC CORPORATE

NOTES

DTD 08/15/2016 1.300% 08/15/2019

1,891,386.87 1,903,838.37 3,164.42 1,903,152.15 08/15/1608/08/16Aa2AA 1,905,000.00 084664CK5 1.33

BANK OF NEW YORK MELLON NT

(CALLABLE)

DTD 09/11/2014 2.300% 09/11/2019

201,551.60 200,547.85 255.56 201,186.00 06/19/1506/19/15A1A 200,000.00 06406HCW7 2.15

36




Par

Corporate Note


(CALLABLE)

DTD 09/11/2014 2.300% 09/11/2019

302,327.40 299,994.79 383.33 299,985.00 07/17/1507/17/15A1A 300,000.00 06406HCW7 2.30


(CALLABLE)

DTD 09/11/2014 2.300% 09/11/2019

352,715.30 351,974.63 447.22 352,520.00 03/21/1703/21/17A1A 350,000.00 06406HCW7 2.00


(CALLABLE)

DTD 09/11/2014 2.300% 09/11/2019

755,818.50 753,393.25 958.33 757,845.00 03/10/1503/10/15A1A 750,000.00 06406HCW7 2.06


(CALLABLE)

DTD 09/11/2014 2.300% 09/11/2019

796,128.82 790,480.71 1,009.44 791,216.60 09/11/1409/08/14A1A 790,000.00 06406HCW7 2.27


(CALLABLE)

DTD 09/11/2014 2.300% 09/11/2019

1,597,296.43 1,584,878.80 2,025.28 1,584,698.85 09/11/1409/04/14A1A 1,585,000.00 06406HCW7 2.30

WELLS FARGO & CO CORP BONDS

DTD 02/02/2015 2.150% 01/30/2020

501,355.00 500,000.00 1,821.53 500,000.00 02/02/1501/26/15A2A 500,000.00 94974BGF1 2.15


DTD 02/02/2015 2.150% 01/30/2020

501,355.00 497,024.98 1,821.53 494,355.00 07/17/1507/17/15A2A 500,000.00 94974BGF1 2.41


DTD 02/02/2015 2.150% 01/30/2020

676,829.25 670,786.16 2,459.06 666,900.00 06/25/1506/25/15A2A 675,000.00 94974BGF1 2.43


DTD 02/02/2015 2.150% 01/30/2020

1,504,065.00 1,501,591.04 5,464.58 1,501,920.00 03/23/1703/23/17A2A 1,500,000.00 94974BGF1 2.10


DTD 02/02/2015 2.150% 01/30/2020

1,990,379.35 1,983,703.62 7,231.47 1,982,300.40 02/02/1501/26/15A2A 1,985,000.00 94974BGF1 2.18

HOME DEPOT INC CORP NOTES

DTD 06/05/2017 1.800% 06/05/2020

1,801,315.80 1,799,065.60 10,440.00 1,798,956.00 06/05/1705/24/17A2A 1,800,000.00 437076BQ4 1.82

AMERICAN HONDA FINANCE CORP NOTES

DTD 07/20/2017 1.950% 07/20/2020

843,564.35 844,201.28 3,249.73 844,146.55 07/20/1707/17/17A1A+ 845,000.00 02665WBT7 1.98

37




Par

Corporate Note

AMERICAN HONDA FINANCE CORP NOTES

DTD 07/20/2017 1.950% 07/20/2020

3,149,639.66 3,156,719.70 12,133.60 3,156,829.90 07/24/1707/19/17A1A+ 3,155,000.00 02665WBT7 1.93

MICROSOFT CORP NOTES

DTD 11/03/2015 2.000% 11/03/2020

1,523,653.68 1,514,237.05 12,456.67 1,513,788.00 11/03/1510/29/15AaaAAA 1,515,000.00 594918BG8 2.02

IBM CORP NOTES

DTD 02/19/2016 2.250% 02/19/2021

3,132,475.18 3,138,995.88 8,197.88 3,139,895.43 07/18/1707/13/17A1A+ 3,123,000.00 459200JF9 2.09

EXXON MOBIL CORPORATE NOTES

DTD 03/03/2016 2.222% 03/01/2021

1,425,688.91 1,415,000.00 2,620.11 1,415,000.00 03/03/1602/29/16AaaAA+ 1,415,000.00 30231GAV4 2.22

JP MORGAN CHASE & CO CORP NT

(CALLABLE)

DTD 03/01/2016 2.550% 03/01/2021

2,019,996.00 2,009,710.30 4,250.00 2,010,300.00 07/11/1707/06/17A3A- 2,000,000.00 46625HQJ2 2.40

EXXON MOBIL CORPORATE NOTES

DTD 03/03/2016 2.222% 03/01/2021

3,101,251.21 3,116,704.06 5,699.43 3,131,957.34 05/16/1605/16/16AaaAA+ 3,078,000.00 30231GAV4 1.84

STATE STREET CORP NOTES

DTD 05/19/2016 1.950% 05/19/2021

148,993.80 150,115.28 1,072.50 150,142.50 11/01/1611/01/16A1A 150,000.00 857477AV5 1.93

STATE STREET CORP NOTES

DTD 05/19/2016 1.950% 05/19/2021

2,215,041.16 2,229,146.31 15,944.50 2,228,840.40 05/19/1605/16/16A1A 2,230,000.00 857477AV5 1.96


DTD 08/08/2016 1.550% 08/08/2021

839,902.41 853,983.05 1,951.06 853,691.85 08/08/1608/02/16AaaAAA 855,000.00 594918BP8 1.58


DTD 08/08/2016 1.550% 08/08/2021

2,087,476.75 2,123,265.55 4,849.13 2,122,768.75 08/08/1608/01/16AaaAAA 2,125,000.00 594918BP8 1.57

PACCAR FINANCIAL CORP

DTD 08/11/2016 1.650% 08/11/2021

1,691,365.64 1,671,722.67 3,964.58 1,661,976.40 01/25/1701/25/17A1A+ 1,730,000.00 69371RN44 2.57

ORACLE CORP NOTES

DTD 07/07/2016 1.900% 09/15/2021

4,070,082.30 4,023,567.02 3,462.22 4,008,201.00 11/29/1611/29/16A1AA- 4,100,000.00 68389XBK0 2.40

JOHN DEERE CAPITAL CORP NOTES

DTD 01/06/2017 2.650% 01/06/2022

886,741.63 876,857.97 5,474.83 877,056.25 03/21/1703/21/17A2A 875,000.00 24422ETL3 2.60


DTD 01/06/2017 2.650% 01/06/2022

1,013,419.00 1,002,920.24 6,256.94 1,003,240.00 03/21/1703/21/17A2A 1,000,000.00 24422ETL3 2.58

38




Par

Corporate Note


DTD 01/06/2017 2.650% 01/06/2022

3,040,257.00 3,009,840.63 18,770.83 3,010,920.00 03/22/1703/22/17A2A 3,000,000.00 24422ETL3 2.57

US BANCORP (CALLABLE) NOTES

DTD 01/24/2017 2.625% 01/24/2022

2,027,878.00 1,997,006.06 9,770.83 1,996,560.00 01/24/1701/19/17A1A+ 2,000,000.00 91159HHP8 2.66

AMERICAN EXPRESS CREDIT CORP NOTES

DTD 03/03/2017 2.700% 03/03/2022

2,023,794.00 2,018,496.22 4,200.00 2,019,320.00 07/13/1707/10/17A2A- 2,000,000.00 0258M0EG0 2.48

WALT DISNEY COMPANY CORP NOTES

DTD 03/06/2017 2.450% 03/04/2022

4,046,760.00 4,045,988.36 7,350.00 4,047,920.00 07/19/1707/14/17A2A+ 4,000,000.00 25468PDQ6 2.18

INTEL CORP NOTES

DTD 05/11/2017 2.350% 05/11/2022

4,028,564.00 4,002,412.52 36,555.56 4,002,480.00 07/13/1707/10/17A1A+ 4,000,000.00 458140BB5 2.34

APPLE INC

DTD 05/11/2017 2.300% 05/11/2022

6,023,550.00 5,992,415.52 53,666.67 5,992,020.00 07/13/1707/10/17Aa1AA+ 6,000,000.00 037833CQ1 2.33

UNITED PARCEL SERVICE CORP NOTES

DTD 05/16/2017 2.350% 05/16/2022

4,031,676.00 4,012,366.60 35,250.00 4,012,880.00 07/13/1707/10/17A1A+ 4,000,000.00 911312BC9 2.28

HOME DEPOT INC CORP NOTES

DTD 06/02/2015 2.625% 06/01/2022

2,031,788.00 2,028,156.66 17,500.00 2,029,380.00 07/13/1707/10/17A2A 2,000,000.00 437076BG6 2.30


Commercial Paper

BNP PARIBAS NY BRANCH COMM PAPER

DTD 07/10/2017 0.000% 01/08/2018

11,955,864.00 11,952,810.00 0.00 11,913,723.33 07/11/1707/10/17P-1A-1 12,000,000.00 09659CA81 1.44

CREDIT AGRICOLE CIB NY COMM PAPER

DTD 07/06/2017 0.000% 01/08/2018

11,956,332.00 11,954,460.00 0.00 11,916,740.00 07/11/1707/10/17P-1A-1 12,000,000.00 22533UA86 1.39

BANK OF MONTREAL CHICAGO COMM

PAPER

DTD 07/10/2017 0.000% 01/08/2018

11,954,758.80 11,954,773.80 0.00 11,917,313.71 07/11/1707/10/17P-1A-1 12,000,000.00 06366HA80 1.38

JP MORGAN SECURITIES LLC COMM PAPER

DTD 07/12/2017 0.000% 01/09/2018

9,962,880.00 9,960,277.80 0.00 9,928,500.00 07/13/1707/12/17P-1A-1 10,000,000.00 46640QA92 1.44

39




Par

Commercial Paper

BANK OF TOKYO MITSUBISHI UFJ LTD

COMM PA

DTD 07/24/2017 0.000% 03/21/2018

11,915,340.00 11,915,070.00 0.00 11,880,800.00 07/24/1707/24/17P-1A-1 12,000,000.00 06538CCM1 1.51

0.00 57,745,174.80 57,737,391.60 1.43 57,557,077.04 58,000,000.00 Security Type Sub-Total

Certificate of Deposit

SKANDINAV ENSKILDA BANKEN NY CD

DTD 08/04/2017 1.840% 08/02/2019

7,493,175.00 7,497,308.03 22,233.33 7,497,075.00 08/04/1708/03/17Aa3A+ 7,500,000.00 83050FXT3 1.85

BANK TOKYO MITSUBISHI UFJ LTD LT CD

DTD 09/27/2017 2.070% 09/25/2019

3,758,804.32 3,760,000.00 864.80 3,760,000.00 09/27/1709/25/17A1A+ 3,760,000.00 06539RGM3 2.07

WESTPAC BANKING CORP NY CD

DTD 08/07/2017 2.050% 08/03/2020

6,767,624.34 6,735,000.00 20,710.13 6,735,000.00 08/07/1708/03/17Aa3AA- 6,735,000.00 96121T4A3 2.05


Asset-Backed Security / Collateralized Mortgage Obligation

HONDA AUTO RECEIVABLES OWNER 2017-1

A2

DTD 03/28/2017 1.420% 08/21/2018

1,910,136.77 1,910,832.65 753.73 1,910,817.23 03/28/1703/21/17AaaNR 1,910,862.90 43814TAB8 1.42

JDOT 2014-B A3

DTD 09/03/2014 1.070% 11/15/2018

44,011.77 44,062.21 20.94 44,113.77 05/08/1505/08/15AaaNR 44,027.78 477877AD6 0.96

JDOT 2014-B A3

DTD 09/03/2014 1.070% 11/15/2018

84,111.39 84,117.36 40.01 84,082.81 07/28/1507/28/15AaaNR 84,141.98 477877AD6 1.11

JDOT 2014-B A3

DTD 09/03/2014 1.070% 11/15/2018

171,156.88 171,206.58 81.42 171,181.74 09/03/1408/26/14AaaNR 171,219.14 477877AD6 1.08

TOYOTA ABS 2015-A A3

DTD 03/04/2015 1.120% 02/15/2019

210,555.58 210,488.38 104.87 210,248.73 11/17/1511/17/15AaaAAA 210,676.66 89236WAC2 1.24

TOYOTA ABS 2015-A A3

DTD 03/04/2015 1.120% 02/15/2019

502,525.99 502,787.59 250.29 502,738.93 03/04/1502/24/15AaaAAA 502,814.96 89236WAC2 1.13

40




Par

Asset-Backed Security / Collateralized Mortgage Obligation

JOHN DEERE ABS 2016-B A2

DTD 07/27/2016 1.090% 02/15/2019

1,548,877.31 1,549,807.57 750.82 1,549,758.88 07/27/1607/19/16AaaNR 1,549,853.41 47788NAB4 1.09

HONDA ABS 2015-2 A3

DTD 05/20/2015 1.040% 02/21/2019

96,850.33 96,805.21 28.01 96,481.79 06/25/1506/25/15NRAAA 96,959.02 43813NAC0 1.22

HONDA ABS 2015-2 A3

DTD 05/20/2015 1.040% 02/21/2019

112,992.04 112,923.32 32.68 112,597.44 12/01/1512/01/15NRAAA 113,118.85 43813NAC0 1.23

HONDA ABS 2015-2 A3

DTD 05/20/2015 1.040% 02/21/2019

795,786.83 796,641.79 230.15 796,557.61 05/20/1505/13/15NRAAA 796,679.91 43813NAC0 1.05

HONDA ABS 2016-4 A2

DTD 10/25/2016 1.040% 04/18/2019

2,791,923.08 2,795,880.69 1,050.03 2,795,847.72 10/25/1610/18/16NRAAA 2,795,925.73 43814RAB2 1.04

NISSAN ABS 2016-C A2A

DTD 08/10/2016 1.070% 05/15/2019

1,140,765.74 1,141,740.91 542.97 1,141,720.02 08/10/1608/02/16AaaNR 1,141,765.01 65478WAB1 1.07

TOYOTA ABS 2016-D A2A

DTD 10/12/2016 1.060% 05/15/2019

1,806,166.40 1,808,165.64 851.89 1,808,104.30 10/12/1610/04/16AaaAAA 1,808,248.96 89231LAB3 1.06

TOYOTA ABS 2017-A A2A

DTD 03/15/2017 1.420% 09/15/2019

2,134,148.35 2,134,837.18 1,347.42 2,134,793.97 03/15/1703/07/17AaaAAA 2,135,000.00 89238MAB4 1.43

JOHN DEERE ABS 2017-A A2

DTD 03/02/2017 1.500% 10/15/2019

1,434,467.33 1,434,995.75 956.67 1,434,994.26 03/02/1702/22/17AaaNR 1,435,000.00 47787XAB3 1.50

NISSAN ABS 2017-A A2A

DTD 03/28/2017 1.470% 01/15/2020

1,489,598.89 1,489,993.89 973.47 1,489,992.40 03/28/1703/21/17AaaNR 1,490,000.00 654747AB0 1.47

HONDA ABS 2016-2 A3

DTD 05/31/2016 1.390% 04/15/2020

1,766,657.00 1,769,979.29 1,093.47 1,769,965.66 05/31/1605/24/16AaaNR 1,770,000.00 43814QAC2 1.39

JOHN DEERE ABS 2016-A A3

DTD 03/02/2016 1.360% 04/15/2020

2,445,774.49 2,449,783.64 1,480.89 2,449,614.37 03/02/1602/23/16AaaNR 2,450,000.00 47788MAC4 1.37

HYUNDAI ABS 2017-B A3

DTD 08/16/2017 1.770% 01/15/2022

4,176,977.36 4,184,294.37 3,292.20 4,184,274.74 08/16/1708/09/17AaaAAA 4,185,000.00 44932GAD7 1.78


41




Par

377,167,294.31 375,572,949.91 1.71 1,015,293.46 376,067,597.73 375,735,745.62 Managed Account Sub-Total

$377,167,294.31 $375,572,949.91 $1,015,293.46 $376,067,597.73 $375,735,745.62 1.71%

$376,751,039.08

$1,015,293.46

Total Investments

Accrued Interest

Securities Sub-Total

42

Appendix

CITY OF STOCKTON


Portfolio Activity

IMPORTANT DISCLOSURES

This material is based on information obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC cannot guarantee its

accuracy, completeness or suitability. This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation. All statements as

to what will or may happen under certain circumstances are based on assumptions, some, but not all of which, are noted in the presentation. Assumptions may or may not be proven

correct as actual events occur, and results may depend on events outside of your or our control. Changes in assumptions may have a material effect on results. Past performance does

not necessarily reflect and is not a guaranty of future results.The information contained in this presentation is not an offer to purchase or sell any securities.

Dime

Ã Market values that include accrued interest are derived from closing bid prices as of the last business day of the month as supplied by Interactive Data, Bloomberg, or Telerate.

Where prices are not available from generally recognized sources, the securities are priced using a yield based matrix system to arrive at an estimated market value.

Ã In accordance with generally accepted accounting principles, information is presented on a trade date basis; forward settling purchases are included in the monthly balances, and

forward settling sales are excluded.

Ã Performance is presented in accordance with the CFA Institute ’s Global Investment Performance Standards (GIPS). Unless otherwise noted, performance is shown gross of fees.

Quarterly returns are presented on an unannualized basis. Returns for periods greater than one year are presented on an annualized basis. Past performance is not indicative of

future returns.

Ã Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets.

Ã Money market fund/cash balances are included in performance and duration computations.

Ã Standard & Poorʼs is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/LGIP holdings.

Ã Callable securities in the portfolio are included in the maturity distribution analysis to their stated maturity date, although, they may be called prior to maturity.

Ã MBS maturities are represented by expected average life.


CITY OF STOCKTON


Appendix

GLOSSARY

Ã ACCRUED INTEREST: Interest that is due on a bond or other fixed income security since the last interest payment was made.

Ã AGENCIES: Federal agency securities and/or Government-sponsored enterprises.

Ã AMORTIZED COST: The original cost of the principal of the security is adjusted for the amount of the periodic reduction of any discount or premium from the purchase date until

the date of the report. Discount or premium with respect to short-term securities (those with less than one year to maturity at time of issuance) is amortized on a straight line basis.

Such discount or premium with respect to longer-term securities is amortized using the constant yield basis.

Ã BANKERS’ ACCEPTANCE: A draft or bill or exchange accepted by a bank or trust company. The accepting institution guarantees payment of the bill as well as the insurer.

Ã COMMERCIAL PAPER: An unsecured obligation issued by a corporation or bank to finance its short-term credit needs, such as accounts receivable and inventory.

Ã CONTRIBUTION TO DURATION: Represents each sector or maturity range ’s relative contribution to the overall duration of the portfolio measured as a percentage weighting. Since

duration is a key measure of interest rate sensitivity, the contribution to duration measures the relative amount or contribution of that sector or maturity range to the total rate

sensitivity of the portfolio.

Ã DURATION TO WORST: A measure of the sensitivity of a security ’s price to a change in interest rates, stated in years, computed from cash flows to the maturity date or to the put

date, whichever results in the highest yield to the investor.

Ã EFFECTIVE DURATION: A measure of the sensitivity of a security’s price to a change in interest rates, stated in years.

Ã EFFECTIVE YIELD: The total yield an investor receives in relation to the nominal yield or coupon of a bond. Effective yield takes into account the power of compounding on

investment returns, while ominal yield does not.

Ã FDIC: Federal Deposit Insurance Corporation. A federal agency that insures bank deposits to a specified amount.

Ã INTEREST RATE: Interest per year divided by principal amount and expressed as a percentage.

Ã MARKET VALUE: The value that would be received or paid for an investment in an orderly transaction between market participants at the measurement date.

Ã MATURITY: The date upon which the principal or stated value of an investment becomes due and payable.

Ã NEGOTIABLE CERTIFICATES OF DEPOSIT: A CD with a very large denomination, usually $1 million or more, that can be traded in secondary markets.

Ã PAR VALUE: The nominal dollar face amount of a security.


CITY OF STOCKTON


Appendix

GLOSSARY

Ã PASS THROUGH SECURITY: A security representing pooled debt obligations that passes income from debtors to its shareholders. The most common type is the

mortgage-backed security.

Ã REPURCHASE AGREEMENTS: A holder of securities sells these securities to an investor with an agreement to repurchase them at a fixed price on a fixed date.

Ã SETTLE DATE: The date on which the transaction is settled and monies/securities are exchanged. If the settle date of the transaction (i.e., coupon payments and maturity

proceeds) occurs on a non-business day, the funds are exchanged on the next business day.

Ã TRADE DATE: The date on which the transaction occurred; however, the final consummation of the security transaction and payment has not yet taken place.

Ã UNSETTLED TRADE: A trade which has been executed; however, the final consummation of the security transaction and payment has not yet taken place.

Ã U.S. TREASURY: The department of the U.S. government that issues Treasury securities.

Ã YIELD: The rate of return based on the current market value, the annual interest receipts, maturity value, and the time period remaining until maturity, stated as a percentage on

an annualized basis.

Ã YTM AT COST: The yield to maturity at cost is the expected rate of return based on the original cost, the annual interest receipts, maturity value, and the time period from

purchase date to maturity, stated as a percentage on an annualized basis.

Ã YTM AT MARKET: The yield to maturity at market is the rate of return based on the current market value, the annual interest receipts, maturity value, and the time period

remaining until maturity, stated as a percentage on an annualized basis.


city of stockton€¦ · pfmassetmanagementllc city of stockton for the quarter ended september 30,...

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