quarterly investment report - santa clara county, california...sep 30, 2017 · quarterly...

Quarterly Investment Report

September 30, 2017

Quarterly Investment ReportTable of Contents

Summary of Cost Values versus Market Values and Yields

Portfolio Strategy, Compliance, Review and Monitoring

Commingled Pool: Allocation by Security Types

Commingled Pool: Allocation by Ratings

Commingled Pool: Holdings by Issuer

Commingled Pool: Historical Month End Book Values

Commingled Pool: Distribution by Maturity

Commingled Pool: Yield to Maturity and Weighted Average Maturity

Approved Issuers and Broker/Dealers

Commingled Pool: Compliance with Investment Policy

Holdings Report: Commingled Pool

Holdings Report: Worker's Compensation

Holdings Report: Park Charter Fund

Holdings Report: San Jose-Evergreen

Transaction Activity Report

Board of Supervisors: Mike Wasserman, Cindy Chavez, Dave Cortese, Ken Yeager, S. Joseph Simitian

County Executive: Jeffrey V. Smith

25

26

28

12

24

10

11

6

7

8

9

Quarterly Investment Review Table of Contents

1

2

4

5

Commingled Investment Pool

Worker's Compensation

Park Charter Fund

San Jose-Evergreen

Medical Malpractice Insurance Fund (1)

Total

Commingled Investment Pool

Worker's Compensation

Weighted Yield

Santa Clara County Commingled Pool and Segregated Investments

-$20,127

$5,466,520,273

$4,121,134

$20,259,473

$9,111,275

$27,954,085 $27,992,658

September 30, 2017

$5,405,118,378

Cost Value** Market Value

$5,390,123,180

VarianceFund

-$14,995,197 -0.28%

% Variance

$38,574 0.14%

$9,131,402

-$1,042

$65,240

-0.22%

1.02%

2016

1.32%

Sep 30

1.02%1.32%

1.38% 1.20%

1.29%

1.29%

1.29%

1.43% 1.38%

Jul 31 Aug 31 Sep 30

2017

0.99%

Fund

Summary of Yields* for Select Santa Clara County Investment Funds

-0.03%

0.32%

$5,451,607,721 -0.27%-$14,912,552

$4,122,176

$20,194,232

*Yield to maturity (YTM) is the rate of return paid on a bond, note, or other fixed income security if the investor buys and holds it to its maturity date and if the coupon interest paid over the life of the bond is reinvested at the same rate as the coupon rate. The calculation for YTM is based on the coupon rate, length of time to maturity, and market price at time of purchase.

Yield is a snapshot measure of the yield of the portfolio on the day it was measured based on the current portfolio holdings on that day. This is not a measure of total return, and is not intended to be, since it does not factor in unrealized capital gains and losses and reinvestment rates are dependent upon interest rate changes

**Cost Value is the amortized book value of the securities as of the date of this report.

(1) Managed by Chandler Asset Management, Inc.

1


Portfolio Strategy

September 30, 2017

Gross domestic product, the broadest measure of goods and services produced in the U.S., grew at a 3 percent annual rate in the third quarter ending September 30, 2017. A number of measures underscore that the U.S. economy is in good health. Third quarter growth sustained the strength of the prior quarter’s 3.1 percent growth and affirmed that much of the economic disruption caused by storm damage from hurricanes Harvey and Irma will likely fade relatively quickly. The 4.1 unemployment rate is the lowest since December 2000. Earnings of large corporations are rising at a healthy pace and consumer confidence is strong. Although September retail sales reflected a sharp increase as a result of rebuilding efforts in the wake of recent hurricanes, economists expect a more normal consumer-driven growth pattern will resume shortly and the trend of underlying economic expansion will continue intact.

Including the results of non-farm payroll growth from October 2017, the labor market has now expanded for 85 consecutive months. This is the longest uninterrupted stretch of growth on record. September’s muted job growth due to storm damage had been widely expected. A post-hurricane rebound in October with job growth of 261,000 comfortably offset September’s results. October’s expansion was driven by those displaced workers returning to work as well as a boost coming from rebuilding and recovery efforts. Additionally, the Labor Department upwardly revised August payrolls from a previously reported increase of 169,000 to a final reading for the month of 208,000, a notably improved picture of job growth during the late summer.

Although labor market trends appear strong, it is important to note that more than half of the increase in U.S. employment from 2011 to 2015 occurred in the nation’s most prosperous postal codes. Uneven economic gains resulting from payroll growth was a conclusion published in a recent study released by the Economic Innovation Group, a Washington, D.C. researcher. Among the country’s 100 largest cities, the top 10 most prosperous are located in Texas or the West, including the major tech hubs of Silicon Valley. Rust belt metros including Cleveland, Buffalo and Detroit ranked among the most “distressed postal codes” and benefited from the least payroll growth. This region is the home of to 52.3 million Americans, 17 percent of the population).

Given the current strength of the U.S. economy, a strong likelihood exists that Federal Reserve Bank (Fed) policy makers will raise interest rates again in December 2017. Policy makers have raised rates by a quarter percentage point four times since late 2015 and most recently in June to a range between 1 and 1.25 percent. Despite consistent hikes by the Fed, the ten-year U.S. Treasury yields have been consistently between 2.01 percent and 2.63 percent throughout 2017. Low expectations about future inflation and record low interest rates around the world has unleashed an unprecedented demand from overseas investors for U.S. domestic bonds. Even the municipal market, still largely considered a low-yielding haven for risk-averse Americans seeking tax-exempt income, has benefited from increased demand from foreign investors. Foreign volume in this market sector has increased three-fold over the last decade.

The portfolio strategy continues to focus on the:

(1) acquisition of high quality issuers; (2) identifying and selecting bonds with attractive valuations; (3) appropriately sizing the liquidity portion of the portfolio to ensure adequate cash for near term obligations; and (4) ensuring that monies targeted for longer term investments are deployed in vehicles with favorable risk-adjusted yields.

Broker-dealers have generally down-sized the amount of securities carried in inventories in response to risk-curbing rules crafted after the 2008 financial crisis. These risk curbing rules include the international regulatory framework for banks called Basel III and the U.S. 2010 Dodd-Frank Law. The Treasury Division has increased its capability to review a larger volume of inventory listings to find attractive bonds. Portfolio structuring does not rely on interest rate anticipation strategies, which primarily speculate on the direction of interest rates as a means to earn favorable returns.

Yield and Weighted Average Maturity

Compliance

Review and Monitoring

Additional Information


Portfolio Compliance, Review, and Monitoring

September 30, 2017

The yield of the Commingled Pool is 1.32 and the weighted average life is 573 days.

The County Treasuer believes the Commingled Pool contains sufficent cash flow from liquid and maturing securities, bank deposits and incoming cash to

meet the next six months of expected expenditures.

FTN Financial Main Street Advisors, the County’s investment advisor, currently monitors the Treasury Department’s investment activities.

Securities are purchased with the expectation that they will be held to maturity, so unrealized gains or losses are not reflected in the yield calculations.

The market values of securities were taken from pricing services provided by the Bank of New York Mellon, Bloomberg Analytics, dealer quotes, and an

independent pricing service.

3

Sector % ChngFederal AgenciesCorporate BondsRepurchase AgreementsCommercial PaperABSABS Green BondsMunicipal SecuritiesU.S. TreasuriesNegotiable CDsLAIFMoney Market FundsSupranationalsSupranationals Green Bonds

Total

SectorFederal AgenciesCorporate BondsRepurchase AgreementsCommercial PaperABSABS Green BondsMunicipal SecuritiesU.S. TreasuriesNegotiable CDsLAIFMoney Market FundsSupranationalSupranationals Green Bonds

Total Amounts are based on book value

3.33% 2.86% 0.5%

179,875,117 192,365,614

40,376,758

327,581,521 345,532,895

68,559,010 68,569,877 3,999,868 3,999,855

5,405,118,378 6,730,196,172

1.02% 0.2%0.74% 0.60% 0.1%

452,223,802 - -

100.00% 100.00%

9/30/2017 6/30/2017

40,139,823 40,185,238 305,000,680 615,001,313

40,469,740

Santa Clara County Commingled Pool

Allocation by Security Types

9/30/2017 6/30/201767.26% 57.60% 9.7%

2.95% 10.90% -7.9%

September 30, 2017

8.37% 6.72% 1.6%0.00% 0.00% 0.0%

0.07% 0.06% 0.0%

0.67% 0.2%0.83%

159,597,007 733,603,055

6.06% 5.13% 0.9%

2.73% 4.71% -2.0%

5.64% 9.14% -3.5%0.75% 0.60% 0.1%

1.27%

3,635,253,077 3,876,524,363 452,217,763

147,424,771 316,813,402

45,000,000 45,000,000

Agy 67.3%

Corp 8.4%

Repo 0.0%

CP 3.0%

ABS 6.1%

ABS Green 0.1%Muni 1.3%

Tsy 0.7% CDs 5.6%

LAIF 0.7%

MMF 2.7%

Supra 3.3%

Supra Green0.8%

4

*Not Rated by Moody's but A-1+ by S&P

**Repurchase Agreements are not rated, but are collateralized by U.S. Treasury securities or securities issued by the Federal Agencies of the U.S.

***LAIF is not rated, but is comprised of State Code allowable securities

Amounts are based on book values

Total

A2

A3

LAIF***

Repo** Not Rated*

Aaa

Aa1

Aa2

Aa3

A1

- 198,094,664

5,405,118,378

11.7%

76.9%

0.6%

2.2%

2.9%

1.3%

0.0%

0.0%

0.7%

0.0%3.7%

100.0%

4,156,813,733


Allocation by Ratings

September 30, 2017

634,508,175

Portfolio %Portfolio $Moody's Rating

P-1

-

40,469,740

34,981,181

116,237,246

154,212,597

69,801,041

-

P-1 11.7%

Aaa 76.9%

Aa1 0.6%

Aa2 2.2%

Aa3 2.9%

A1 1.3%A2 0.0%

LAIF*** 0.7%Repo** 0.0%

Not Rated* 3.7%

5

Amounts are based on book values

September 30, 2017

Holdings by Issuer - Percent of Commingled Pool


0.0%0.0%0.0%0.1%0.1%0.1%0.2%0.2%0.2%0.2%0.3%0.4%0.4%0.5%0.5%0.6%0.6%0.6%0.6%0.6%0.6%0.6%0.7%0.7%0.7%0.8%0.8%0.9%0.9%0.9%0.9%0.9%0.9%0.9%0.9%1.1%1.1%1.3%

1.5%1.6%

2.6%2.7%

3.5%11.9%

15.1%15.9%

23.1%

0% 5% 10% 15% 20% 25%

JPM TE MMK FDMORGAN STANLEY TRSY INSTL 8304

North Dakota State FinanceNew York State Dormatory Auth

UNIVERSITY CALIFORNIA REVSNISSAN AUTO LEASE TRUST

BMW VEHICLE OWNER TRUSTWELLS FARGO

MERCEDES -BENZ AUTO REC TRUSTJPMORGAN

BERKSHIRE HATHWYU S BANK

ROYAL BANK OF CANADABANK OF NOVA SCOTIA

MERCEDES-BENZ AUTO LEASE TRUSTIBM

JOHNSON & JOHNSONBMW VEHICLE LEASE TRUST

AMERICAN EXPRESSIADB

JOHN DEERE OWNER TRUSTAPPLE INC

CITIBANK CREDIT CARD ISSUANCEU.S. TREASURY NOTES

LOCAL AGENCY INVEST FUNDTOYOTA AUTO REC OWNER TRUST

MICROSOFT CORPCHASE ISSUANCE TRUST (ABS)

JP Morgan SecuritiesGENERAL ELECTRIC CAPITAL

BNP PARIBAS NY BRANCHCANADIAN IMP BK

EXXON MOBIL CORPUS BANK

TORONTO DOMINIONBANK OF AMERICA CORP

CALIFORNIA STFAMCA

CHEVRON CORP.HONDA AUTO RECEIVABLES OWNER T

TOYOTA MOTOR CREDITBLACKKROCK TREASURY LIQ FUND

INTL BANK RECON & DEVELOPFNMA

FFCBFHLMC

FHLB

6

Amounts in billions

FY 2018 $5.898 $5.689 $5.408$6.550 $7.556 $7.469 $6.730FY 2017 $5.469 $5.328 $5.088 $5.220 $5.671 $7.082 $6.319 $6.348

FY 2015 $4.267 $4.194 $4.096 $4.051 $6.284 $6.065 $5.690$4.247 $5.639 $5.045 $5.085 $5.420


Historical Month End Book Values

September 30, 2017

Fiscal Year Dec Jan Feb

FY 2014 $4.133 $4.052 $3.975 $3.758 $5.386 $5.487 $5.108$4.271 $5.419 $5.019 $4.520 $4.461FY 2013

$3.541$3.230

$3.736$3.801

$3.508

FY 2010FY 2011

$3.307

FY 2012

$3.373 $3.307 $3.307 $3.408 $4.175$3.032

$3.555 $3.805 $4.567 $4.097$3.143 $2.898 $3.227 $3.943

$3.645 $4.600

$3.695

$4.521

$4.032$4.040 $4.926 $4.525$3.551 $3.712 $4.339

$3.918 $3.982 $4.606 $5.286

$4.179 $3.935

Jul Aug Sep Oct Nov Mar Apr May Jun

FY 2016 $5.212 $4.990 $4.941 $4.587

$4.384 $3.536

$3.833$3.637

$3.408 $3.687 $4.463

$6.911 $6.728 $6.263$5.120 $6.543 $5.997 $5.752 $6.040

$4.952$3.517 $3.515 $3.469

$2.50

$3.50

$4.50

$5.50

$6.50

$7.50

$8.50

Jul-

20

09

No

v-2

00

9

Mar

-20

10

Jul-

20

10

No

v-2

01

0

Mar

-20

11

Jul-

20

11

No

v-2

01

1

Mar

-20

12

Jul-

20

12

No

v-2

01

2

Mar

-20

13

Jul-

20

13

No

v-2

01

3

Mar

-20

14

Jul-

20

14

No

v-2

01

4

Mar

-20

15

Jul-

20

15

No

v-2

01

5

Mar

-20

16

Jul-

20

16

No

v-2

01

6

Mar

-20

17

Jul-

20

17

No

v-2

01

7

Mar

-20

18

Bill

ion

s

7

*Amounts are based on book value

31-90 Days 302,536,314

91-365 Days 1,434,677,280

21.76%

1Yr-2Yr 1,390,204,264

2Yr-3Yr 1,176,100,451

4Yr-5Yr

3Yr-4Yr 7.48%4Yr-5Yr 4.78%

1-30 Days 4.64%

31-90 Days 5.60%

91-365 Days 26.54%

1Yr-2Yr 25.72%

2Yr-3Yr


Distribution by Maturity

September 30, 2017

Maturity Amount*

Overnight 187,894,511

Overnight 3.48%

3Yr-4Yr 404,383,153 258,349,178

Maturity Amount*

5,405,118,378

1-30 Days 250,973,225

100.00%

$0

$200,000,000

$400,000,000

$600,000,000

$800,000,000

$1,000,000,000

$1,200,000,000

$1,400,000,000

$1,600,000,000

Overnight 1-30 Days 31-90 Days 91-365 Days 1Yr-2Yr 2Yr-3Yr 3Yr-4Yr 4Yr-5Yr

Distribution By Maturity Dollars

0%

5%

10%

15%

20%

25%

30%

Overnight 1-30 Days 31-90 Days 91-365 Days 1Yr-2Yr 2Yr-3Yr 3Yr-4Yr 4Yr-5Yr

Distribution By Maturity Percentages

8

2Yr T-Note 1.35% 1.33% 1.49%6 Mon T-Bill 1.13% 1.08% 1.19%

LAIF WAM 192 179 190

SCC WAM 565 557 573

LAIF YTM 1.05% 1.08% 1.11%

Dec-17 Jan-18 Feb-18

SCC YTM 1.29% 1.29% 1.32%


Yield to Maturity and Weighted Average Maturity

September 30, 2017

Item Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Jun-18Mar-18 Apr-18 May-18

1.00%

1.10%

1.20%

1.30%

1.40%

1.50%

1.60%

Yield to Maturity

Santa ClaraLAIF6 Mon T-Bill2Yr T-Note

150

200

250

300

350

400

450

500

550

600

Day

s

Weighted Average Maturity

Santa Clara

LAIF

9

Direct Commercial Paper Issuers Broker/Dealers

General Electric Bank of America Merrill Lynch

Toyota Motor Credit Barclays Capital, Inc

US Bank, NA BMO Capital Markets

BNP Paribas Securities Corp

BNY Mellon Capital Markets, LLC

Brean Capital LLC

Cantor Fitzgerald & Co

Citigroup Global Markets Inc

Daiwa Capital Markets America Inc

Deutsche Bank Securities Inc

FTN Financial, Inc

Incapital LLC

Jefferies & Co

JP Morgan Securities, Inc

Keybanc Capital Markets, Inc

Loop Capital Markets LLC

Mizuho Securities USA, Inc

Piper Jaffray & Co

Raymond James, Inc.

RBC Capital Markets, Inc

Stifel Nicolaus & Co

Suntrust Robinson Humphrey Inc

UBS Financial Serviec Inc

Vining Sparks LP

Williams Capital

Santa Clara County

Approved Issuers and Broker/Dealers

September 30, 2017

10

Yes

Yes

Yes, None in

Portfolio

Yes

Yes, None in

Portfolio

Sector limit 30%, issuer limit 5%, max maturity 5 years, if under 1 year rated by at least two: A-1 (S&P), P-1 (Moody's), F-1

(Fitch), if greater than 1 year rated by at least two: AA- (S&P/Fitch)/Aa3 (Moody's)

Negotiable Certificates of

Deposit

Sector limit 10%, no issuer limit, State of CA, local CA agencies, and other municipal securities of the other 49 states, if long-

term rated, then by at least two: A- (S&P/Fitch)/A3 (Moody's), if short-term rated, then by at least two: SP-1 (S&P), MIG-1

(Moody's), F-1 (Fitch), revenue based bonds payable solely out of the States' or local agencies' revenues

Municipal Securities

Securities LendingSector limit 20%, max maturity 92 days for loans and reinvestment, loan counterparty must be a primary dealer, loaned

securities must be owned for at least 30 days

Bankers' Acceptances

Sector limit 20% in aggregate with ABS, no issuer limit, max maturity 5 years, collateralized by pools of conforming residential

mortgage loans insured by FHLMC/FNMA and residential mortgages guaranteed by FHA (GNMA)

Mortgage-Backed

Securities

Sector limit 20% in aggregate with ABS, no issuer limit, max maturity 5 years, collateralized by pools of loans such as

installment/receivables, security must be rated by at least two: AA- (S&P/Fitch), Aa3 (Moody's), issuer rated by at least two: A-

(S&P/Fitch), A3 (Moody's)

Asset-Backed Securities

Yes

Sector limit 40%, issuer limit 5%, max maturity 270 days, rated by at least two: A-1 (S&P), P-1 (Moody's), F-1 (Fitch), issued by

domestic corporation w/ at least $500 mil of assets, and long term debt rated by at least two: AA- (S&P/Fitch)/Aa3 (Moody's)Commercial Paper Yes

Money Market FundsSector limit 20%, issuer limit 10%, rated by at least two: AAA-m (S&P/Fitch)/Aaa-mf (Moody's), MMF has at least $500 mil

managed Yes

Corporate BondsYes

No sector limit, no Issuer limit, max maturity 92 days, treasury and agency collateral at 102% of investment, if maturity

exceeds 15 days, must be collateralized by securities with 5 years or less maturities

Sector limit 30%, issuer limit 5%, max maturity 5 years, rated by at least two: AA- (S&P/Fitch)/Aa3 (Moody's), issued by

domestic corps/depositories

Repurchase Agreements

Supranational Debt

Obligations

Sector limit 10%, max maturity 5 years, issued or unconditionally gauranteed by the IBRD, rated by at least two: AAA

(S&P/Fitch), Aaa (Moody's)Yes

Sector limit 40%, issuer limit 5%, max maturity 180 days, rated by at least two: A-1 (S&P), P-1 (Moody's), F-1 (Fitch), issued by

commercial banks

Yes, None in

Portfolio

LAIF

U.S. Treasuries

Yes

U.S. Federal Agencies

No sector limit, no issuer limit, CA State's deposit limit $65 million

YesNo sector limit, no issuer limit, max maturity 5 years

Interest Periods Securities must pay interest within one year of the initial investment and at least semiannually in subsequent years

Yes

Investment Swaps Similar maturity swaps, so as not to affect cash flow needs, should have minimum 5 basis point gain

No sector limit, no issuer limit, max maturity 5 years

Issuer LimitsNo more than 5% of the portfolio shall be invested in aggregate of any single institution of the following types: Bankers

Acceptances, CP, Negotiable CDs, and Corporate Notes Yes

Yes

Yes


Compliance with Investment PolicySeptember 30, 2017

Maturity

In Compliance

Yes

ParametersItem/Sector

Weighted Average Maturity (WAM) must be less than 24 months

11

SANTA CLARA COUNTY INVESTMENTS

September 30, 2017

Fund COMM - COMMINGLED POOLInvestments by Fund

Par ValueDays ToMaturity

MaturityDate

CurrentRateMarket ValueCUSIP Investment # Issuer

PurchaseDate Book Value

YTM360

YTM365

Negotiable CDs

BANK OF AMERICA CORP37728 60,000,000.0006052TXD7 01/19/2018 1101.37004/18/2017 60,013,140.00 1.370 1.38960,000,000.00BNP PARIBAS NY BRANCH37616 50,000,000.0005582WRH9 01/16/2018 1071.45003/28/2017 50,018,250.00 1.450 1.47050,000,000.00BANK OF NOVA SCOTIA37164 25,000,000.0006417GQY7 12/01/2017 611.52212/02/2016 25,017,025.00 1.419 1.43825,000,000.00CANADIAN IMP BK37664 50,000,000.0013606BFD3 01/19/2018 1101.38004/07/2017 50,014,600.00 1.380 1.39950,000,000.00ROYAL BANK OF CANADA36156 20,000,000.0078009NVR4 07/30/2018 3021.69307/30/2015 19,998,330.40 1.669 1.69320,000,000.00TORONTO DOMINION37732 50,000,000.0089113WJ98 01/08/2018 991.37004/07/2017 50,012,650.00 1.365 1.38350,000,680.38US BANK37723 50,000,000.0090333VTG5 01/31/2018 1221.20004/17/2017 50,002,800.00 1.200 1.21650,000,000.00

Subtotal and Average 305,000,680.38 305,000,000.00 305,076,795.40 1.380 1.399 118

Federal Agency Bonds

FARMER MAC37079 25,000,000.003132X0LA7 02/02/2018 1240.80011/02/2016 24,975,725.00 0.789 0.80025,000,000.00FFCB NOTES35527 10,000,000.003133EEFE5 12/18/2017 781.12512/18/2014 9,997,420.00 1.077 1.09210,000,684.44FFCB NOTES35529 10,000,000.003133EEFE5 12/18/2017 781.12512/18/2014 9,997,420.00 1.109 1.12510,000,000.00FFCB NOTES35799 9,950,000.003133EEWG1 04/01/2019 5471.30004/01/2015 9,918,428.65 1.353 1.3719,939,578.62FFCB NOTES35940 5,000,000.003133EEE71 05/01/2018 2120.92005/01/2015 4,990,080.00 0.907 0.9205,000,000.00FFCB NOTES35941 5,000,000.003133EEE71 05/01/2018 2120.92005/01/2015 4,990,080.00 0.907 0.9205,000,000.00FFCB NOTES35965 5,000,000.003133EEJ50 05/11/2018 2221.03005/11/2015 4,992,660.00 1.082 1.0974,997,986.39FFCB NOTES36370 15,000,000.003133EFPJ0 11/19/2018 4141.29011/19/2015 14,973,540.00 1.276 1.29414,999,320.00FFCB NOTES36440 20,000,000.003133EFSG3 03/14/2018 1641.10012/14/2015 19,986,620.00 1.085 1.10020,000,000.00FFCB NOTES36441 15,000,000.003133EFSG3 03/14/2018 1641.10012/14/2015 14,989,965.00 1.085 1.10015,000,000.00FFCB NOTES36442 15,000,000.003133EFSH1 06/14/2018 2561.17012/14/2015 14,989,485.00 1.174 1.19014,997,891.67FFCB NOTES36443 20,000,000.003133EFSH1 06/14/2018 2561.17012/14/2015 19,985,980.00 1.174 1.19019,997,132.67FFCB NOTES36584 15,000,000.003133EFZN0 02/12/2019 4991.03002/24/2016 14,914,350.00 1.057 1.07214,991,517.84FFCB NOTES36683 35,000,000.003133EF3B1 04/18/2018 1990.75004/12/2016 34,909,980.00 0.800 0.81134,987,083.75FFCB NOTES36726 26,855,000.003133EF4Y0 04/26/2019 5721.00004/27/2016 26,616,097.92 1.112 1.12826,802,041.89FFCB NOTES36768 25,000,000.003133EGAS4 02/16/2018 1380.75005/18/2016 24,955,300.00 0.841 0.85324,990,433.92FFCB NOTES37018 10,000,000.003133EGWH4 09/29/2021 1,4591.28009/30/2016 9,701,700.00 1.243 1.26010,007,513.73FFCB NOTES37049 5,000,000.003133EGYN9 10/17/2018 3810.94010/17/2016 4,979,375.00 0.927 0.9405,000,000.00FFCB NOTES37112 25,000,000.003133EGJ48 11/16/2018 4110.89011/17/2016 24,848,625.00 1.082 1.09724,942,545.20FFCB NOTES37194 10,000,000.003133EGT47 12/08/2021 1,5292.01012/08/2016 10,045,600.00 1.982 2.01010,000,000.00FFCB NOTES37265 35,000,000.003133EGX67 08/20/2019 6881.35612/20/2016 35,106,155.00 1.288 1.30635,000,000.00

Portfolio SCL2AP

Run Date: 10/25/2017 - 11:13 FI (PRF_FI) 7.1.1Report Ver. 7.3.6.1

12

September 30, 2017


MaturityDate

CurrentRateMarket Value

Fund COMM - COMMINGLED POOLInvestments by Fund Page 2

CUSIP Investment # IssuerPurchase

Date Book ValueYTM360

YTM365


FFCB NOTES37305 25,000,000.003133EG2D6 09/27/2019 7261.55012/30/2016 24,940,100.00 1.490 1.51125,019,042.55FFCB NOTES37378 5,000,000.003133EG5D3 01/27/2022 1,5792.03001/27/2017 5,000,785.00 2.002 2.0305,000,000.00FFCB NOTES37399 20,000,000.003133EG5Q4 02/01/2019 4881.30002/01/2017 19,941,620.00 1.282 1.30020,000,000.00FFCB NOTES37404 15,000,000.003133EG6C4 02/03/2020 8551.55002/03/2017 14,966,025.00 1.533 1.55414,998,362.78FFCB NOTES37466 15,000,000.003133EG3X1 01/17/2019 4731.25002/16/2017 14,958,675.00 1.297 1.31514,987,415.98FFCB NOTES37502 20,000,000.003133EHBA0 03/02/2020 8831.52003/02/2017 19,967,460.00 1.537 1.55819,981,934.81FFCB NOTES37566 13,475,000.003133EHCX9 03/20/2019 5351.45003/20/2017 13,469,529.15 1.485 1.50613,464,010.58FFCB NOTES37574 25,000,000.003133EHCX9 03/20/2019 5351.45003/20/2017 24,989,850.00 1.422 1.44125,002,938.89FFCB NOTES37628 25,000,000.003133EG3X1 01/17/2019 4731.25003/30/2017 24,931,125.00 1.316 1.33424,972,990.73FFCB NOTES37639 15,000,000.003133EHEZ2 04/06/2020 9181.60004/06/2017 14,981,040.00 1.578 1.60015,000,000.00FFCB NOTES37665 15,000,000.003133EHFL2 04/13/2020 9251.55004/13/2017 14,964,870.00 1.541 1.56314,995,148.67FFCB NOTES37666 10,000,000.003133EHFL2 04/13/2020 9251.55004/13/2017 9,976,580.00 1.539 1.5609,997,382.22FFCB NOTES37667 10,000,000.003133EHFL2 04/13/2020 9251.55004/13/2017 9,976,580.00 1.539 1.5609,997,382.22FFCB NOTES37725 25,000,000.003133EHGA5 10/21/2019 7501.44004/21/2017 24,922,450.00 1.406 1.42625,006,783.33FFCB NOTES37746 26,502,000.003133EHGE7 10/24/2018 3881.20004/24/2017 26,422,467.50 1.180 1.19626,502,939.84FFCB NOTES37761 5,000,000.003133EHHG1 05/03/2021 1,3101.75005/03/2017 4,980,200.00 1.726 1.7505,000,000.00FFCB NOTES37762 10,000,000.003133EHHG1 05/03/2021 1,3101.75005/03/2017 9,960,400.00 1.726 1.75010,000,000.00FFCB NOTES37793 35,000,000.003133EHJA2 05/08/2020 9501.55005/08/2017 34,907,775.00 1.539 1.56134,990,282.96FFCB NOTES37841 12,000,000.003133EHKH5 07/23/2020 1,0261.57005/23/2017 11,972,292.00 1.522 1.54312,008,841.68FFCB NOTES37901 5,000,000.003133EHMR1 06/12/2019 6191.37506/12/2017 4,986,850.00 1.356 1.3755,000,000.00FFCB NOTES37905 5,000,000.003133EHMR1 06/12/2019 6191.37506/12/2017 4,986,850.00 1.356 1.3755,000,000.00FFCB NOTES38024 3,000,000.003133EHWM1 09/01/2021 1,4311.70009/01/2017 2,981,907.00 1.624 1.6473,005,992.50FFCB NOTES38025 5,000,000.003133EHWM1 09/01/2021 1,4311.70009/01/2017 4,969,845.00 1.676 1.7005,000,000.00FFCB NOTES38026 7,000,000.003133EHWM1 09/01/2021 1,4311.70009/01/2017 6,957,783.00 1.619 1.6427,015,284.79FFCB NOTES38046 10,000,000.003133EHZA4 09/20/2021 1,4501.66009/20/2017 9,924,930.00 1.715 1.7399,969,534.51FHLB NOTES35684 20,000,000.003130A4GJ5 04/25/2018 2061.12502/27/2015 19,984,840.00 1.124 1.13919,998,350.79FHLB NOTES35685 12,000,000.003130A4GJ5 04/25/2018 2061.12502/27/2015 11,990,904.00 1.124 1.13911,999,010.47FHLB NOTES35803 25,000,000.003130A4WA6 07/06/2018 2781.00004/06/2015 24,958,625.00 0.986 1.00025,000,000.00FHLB NOTES35815 20,000,000.003130A4WB4 01/08/2018 990.87504/08/2015 19,987,940.00 0.863 0.87520,000,000.00FHLB NOTES35816 25,000,000.003130A4UP5 06/29/2018 2711.05004/08/2015 24,971,975.00 0.976 0.99025,010,964.69FHLB NOTES35826 9,460,000.00313383VN8 09/13/2019 7122.00004/09/2015 9,545,499.48 1.321 1.3409,577,778.42FHLB NOTES35827 25,155,000.00313383VN8 09/13/2019 7122.00004/09/2015 25,382,350.89 1.332 1.35125,462,865.95

Portfolio SCL2AP


13

September 30, 2017


MaturityDate





YTM365


FHLB NOTES35855 12,000,000.003130A4WA6 07/06/2018 2781.00004/14/2015 11,980,140.00 0.996 1.01011,999,091.22FHLB NOTES35864 26,500,000.003130A4Y71 06/15/2018 2571.00004/15/2015 26,468,703.50 0.981 0.99426,500,944.70FHLB NOTES35865 16,915,000.003130A4YA4 08/15/2018 3181.05004/15/2015 16,884,958.96 1.025 1.03916,916,460.61FHLB NOTES35867 10,000,000.00313378QK0 03/08/2019 5231.87504/15/2015 10,057,660.00 1.196 1.21310,092,529.37FHLB NOTES35906 20,000,000.00313379DT3 06/08/2018 2501.25004/23/2015 19,994,900.00 0.992 1.00620,032,845.51FHLB NOTES35922 10,000,000.00313378A43 03/09/2018 1591.37504/28/2015 10,008,730.00 0.921 0.93410,019,033.56FHLB NOTES35952 10,000,000.003130A57J2 07/06/2018 2781.00005/06/2015 9,984,060.00 0.997 1.0119,999,143.64FHLB NOTES35956 5,000,000.003133XRFZ8 06/08/2018 2504.75005/07/2015 5,114,235.00 1.138 1.1545,120,832.13FHLB NOTES35957 5,000,000.00313379DT3 06/08/2018 2501.25005/07/2015 4,998,725.00 1.096 1.1125,004,635.42FHLB NOTES35958 15,000,000.003130A57G8 08/07/2018 3101.05005/07/2015 14,965,275.00 1.066 1.08114,996,139.69FHLB NOTES36053 5,000,000.00313378A43 03/09/2018 1591.37506/18/2015 5,004,365.00 1.122 1.1385,005,097.55FHLB NOTES36059 5,000,000.00313378A43 03/09/2018 1591.37506/19/2015 5,004,365.00 1.031 1.0455,007,110.00FHLB NOTES36129 5,000,000.003133XQSE3 04/18/2018 1994.11007/16/2015 5,078,280.00 1.044 1.0585,082,046.93FHLB NOTES36228 5,000,000.003130A6AE7 09/14/2018 3481.12509/16/2015 4,986,785.00 1.182 1.1994,996,531.82FHLB NOTES36267 11,000,000.003130A6LZ8 10/26/2017 250.62510/09/2015 10,997,063.00 0.928 0.94110,999,190.30FHLB NOTES36288 5,000,000.003130A5Z77 07/29/2020 1,0321.83010/21/2015 5,015,020.00 1.461 1.4825,046,189.23FHLB NOTES36289 5,000,000.003130A5Z77 07/29/2020 1,0321.83010/21/2015 5,015,020.00 1.418 1.4385,052,559.14FHLB NOTES36298 5,000,000.003130A5Z77 07/29/2020 1,0321.83010/23/2015 5,015,020.00 1.432 1.4525,051,404.25FHLB NOTES36308 10,000,000.003130A5Z77 07/29/2020 1,0321.83010/26/2015 10,030,040.00 1.498 1.51910,084,387.62FHLB NOTES36310 5,000,000.003130A5Z77 07/29/2020 1,0321.83010/26/2015 5,015,020.00 1.490 1.5115,043,322.94FHLB NOTES36376 20,000,000.003130A6SW8 12/19/2017 791.00011/20/2015 19,996,580.00 0.986 1.00020,000,000.00FHLB NOTES36377 20,000,000.003130A6SW8 12/19/2017 791.00011/20/2015 19,996,580.00 0.986 1.00020,000,000.00FHLB NOTES36402 17,200,000.00313379EE5 06/14/2019 6211.62512/02/2015 17,228,414.40 1.243 1.26117,250,894.42FHLB NOTES36407 10,000,000.003130A4PA4 03/19/2018 1691.10012/03/2015 9,995,880.00 1.075 1.09010,000,447.46FHLB NOTES36508 20,000,000.00313375K48 09/14/2018 3482.00001/11/2016 20,111,680.00 1.175 1.19120,151,162.20FHLB NOTES36550 15,000,000.00313379EE5 06/14/2019 6211.62502/05/2016 15,024,780.00 1.102 1.11715,126,859.06FHLB NOTES36679 10,000,000.003130A7PU3 04/06/2020 9181.20004/11/2016 9,889,740.00 1.131 1.14710,012,928.57FHLB NOTES36707 20,015,000.003133782M2 03/08/2019 5231.50004/19/2016 20,023,506.38 0.946 0.96020,167,676.69FHLB NOTES36735 20,000,000.00313378A43 03/09/2018 1591.37504/29/2016 20,017,460.00 0.845 0.85720,044,994.63FHLB NOTES36756 15,000,000.00313378J77 03/13/2020 8941.87505/12/2016 15,088,935.00 1.105 1.12015,270,635.41FHLB NOTES36760 6,000,000.00313378J77 03/13/2020 8941.87505/13/2016 6,035,574.00 1.133 1.1496,104,037.65FHLB NOTES36796 30,000,000.003130A8BD4 06/29/2018 2710.87505/27/2016 29,916,390.00 1.220 1.23729,974,233.51

Portfolio SCL2AP


14

September 30, 2017


MaturityDate





YTM365


FHLB NOTES36854 25,250,000.003130A8KR3 07/06/2018 2780.82006/29/2016 25,167,811.25 0.715 0.72525,265,568.52FHLB NOTES36877 15,000,000.003133834H1 06/12/2020 9851.37507/12/2016 14,881,185.00 1.040 1.05515,126,436.60FHLB NOTES36886 15,000,000.00313378J77 03/13/2020 8941.87507/15/2016 15,088,935.00 1.055 1.06915,285,980.80FHLB NOTES36896 5,000,000.003130A7L37 03/15/2019 5301.25007/21/2016 4,977,805.00 0.939 0.9525,021,476.31FHLB NOTES36993 19,500,000.00313380WG8 09/11/2020 1,0761.37509/30/2016 19,304,688.00 1.100 1.11519,645,315.48FHLB NOTES37022 12,000,000.00313380WG8 09/11/2020 1,0761.37510/06/2016 11,879,808.00 1.210 1.22712,050,790.11FHLB NOTES37037 10,000,000.003133834H1 06/12/2020 9851.37510/13/2016 9,920,790.00 1.225 1.24210,034,894.16FHLB NOTES37054 10,000,000.00313380WG8 09/11/2020 1,0761.37510/24/2016 9,899,840.00 1.199 1.21610,045,526.13FHLB NOTES37058 15,000,000.00313383HU8 06/12/2020 9851.75010/19/2016 15,024,870.00 1.147 1.16315,231,731.04FHLB NOTES37072 13,860,000.00313380WG8 09/11/2020 1,0761.37510/28/2016 13,721,178.24 1.248 1.26613,903,136.14FHLB NOTES37108 35,000,000.003130AA3R7 11/15/2019 7751.37511/17/2016 34,878,655.00 1.363 1.38234,994,294.81FHLB NOTES37149 15,000,000.003130AABG2 11/29/2021 1,5201.87511/30/2016 15,012,255.00 1.931 1.95714,950,288.72FHLB NOTES37190 50,000,000.003130AAE46 01/16/2019 4721.25012/08/2016 49,878,150.00 1.234 1.25249,998,773.09FHLB NOTES37289 40,000,000.003130AADN5 06/28/2019 6351.37512/28/2016 39,884,000.00 1.353 1.37140,002,173.60FHLB NOTES37372 35,000,000.003130A8Y72 08/05/2019 6730.87501/26/2017 34,572,195.00 1.430 1.45034,636,699.23FHLB NOTES37405 25,000,000.003130AAQ43 01/25/2018 1160.75002/03/2017 24,973,400.00 0.856 0.86824,990,688.92FHLB NOTES37548 20,000,000.003130AAXX1 03/18/2019 5331.37503/10/2017 19,973,560.00 1.471 1.49119,966,410.99FHLB NOTES37549 20,000,000.003130AAXX1 03/18/2019 5331.37503/10/2017 19,973,560.00 1.471 1.49119,966,410.99FHLB NOTES37614 25,000,000.003130AAXX1 03/18/2019 5331.37503/28/2017 24,966,950.00 1.354 1.37325,000,463.91FHLB NOTES37626 20,000,000.003130A6AE7 09/14/2018 3481.12503/31/2017 19,947,140.00 1.217 1.23419,979,406.88FHLB NOTES37656 25,000,000.003130A7CX1 03/19/2018 1690.87504/05/2017 24,965,400.00 1.075 1.09024,975,093.02FHLB NOTES37711 25,860,000.00313382K69 03/12/2021 1,2581.75004/13/2017 25,824,209.76 1.690 1.71425,890,748.44FHLB NOTES37726 25,000,000.00313378CR0 03/11/2022 1,6222.25004/19/2017 25,326,325.00 1.794 1.81925,455,845.63FHLB NOTES37778 14,000,000.00313378J77 03/13/2020 8941.87504/28/2017 14,083,006.00 1.513 1.53514,113,577.74FHLB NOTES37816 30,000,000.003130ABDX1 05/24/2019 6001.40005/24/2017 29,929,620.00 1.380 1.40030,000,000.00FHLB NOTES37961 5,000,000.00313379RB7 06/11/2021 1,3491.87506/30/2017 5,015,065.00 1.722 1.7465,022,790.64FHLB NOTES38033 22,000,000.003130ACE26 09/28/2020 1,0931.37509/08/2017 21,789,548.00 1.462 1.48221,930,856.60FHLB VARIABLE37207 16,000,000.003130A8BJ1 11/27/2017 571.12512/09/2016 16,004,832.00 0.793 0.80416,005,156.80FHLMC NOTES35207 10,000,000.003137EADN6 01/12/2018 1030.75007/09/2014 9,988,310.00 1.255 1.2739,985,693.67FHLMC NOTES35760 10,000,000.003137EADN6 01/12/2018 1030.75003/25/2015 9,988,310.00 0.898 0.9119,995,546.77FHLMC NOTES35761 10,000,000.003137EADN6 01/12/2018 1030.75003/25/2015 9,988,310.00 0.921 0.9339,994,914.90FHLMC NOTES35785 5,000,000.003137EADN6 01/12/2018 1030.75003/30/2015 4,994,155.00 0.914 0.9264,997,555.64

Portfolio SCL2AP


15

September 30, 2017


MaturityDate





YTM365


FHLMC NOTES35873 30,000,000.003137EADM8 10/02/2019 7311.25004/16/2015 29,828,160.00 1.296 1.31429,962,423.60FHLMC NOTES35893 25,000,000.003134G6TF0 06/29/2018 2710.93004/21/2015 24,925,275.00 0.922 0.93424,999,124.56FHLMC NOTES36322 10,000,000.003137EADM8 10/02/2019 7311.25010/29/2015 9,942,720.00 1.343 1.3629,978,211.82FHLMC NOTES36332 18,350,000.003137EADM8 10/02/2019 7311.25011/04/2015 18,244,891.20 1.456 1.47618,269,471.52FHLMC NOTES36337 8,000,000.003137EADM8 10/02/2019 7311.25011/06/2015 7,954,176.00 1.519 1.5407,955,037.50FHLMC NOTES36340 10,000,000.003137EADM8 10/02/2019 7311.25011/09/2015 9,942,720.00 1.576 1.5989,932,627.87FHLMC NOTES36436 20,000,000.003137EADX4 12/15/2017 751.00012/11/2015 19,996,480.00 1.031 1.04619,997,894.48FHLMC NOTES36437 15,000,000.003137EADX4 12/15/2017 751.00012/11/2015 14,997,360.00 1.031 1.04614,998,420.86FHLMC NOTES36989 20,000,000.003137EAEC9 08/12/2021 1,4111.12509/27/2016 19,491,680.00 1.261 1.27819,885,232.59FHLMC NOTES36992 10,000,000.003137EAEC9 08/12/2021 1,4111.12509/29/2016 9,745,840.00 1.248 1.2659,947,470.51FHLMC NOTES37443 20,000,000.003137EAEE5 01/17/2020 8381.50002/09/2017 19,947,300.00 1.456 1.47720,010,149.34FHLMC NOTES37454 20,000,000.003134G3A91 08/22/2019 6901.40001/19/2017 19,946,660.00 1.385 1.40419,998,102.25FHLMC NOTES37580 11,150,000.003134GA6W9 08/28/2019 6961.50002/28/2017 11,115,479.60 1.479 1.50011,150,000.00FHLMC NOTES37835 45,000,000.003137EAEF2 04/20/2020 9321.37504/20/2017 44,713,305.00 1.471 1.49144,869,042.50FHLMC NOTES38057 15,000,000.003137EAEJ4 09/29/2020 1,0941.62509/29/2017 14,961,690.00 1.663 1.68714,972,900.28FNMA NOTES35447 10,000,000.003135G0VC4 02/28/2018 1501.13011/25/2014 9,996,100.00 1.170 1.1869,997,719.18FNMA NOTES35454 6,000,000.003135G0VC4 02/28/2018 1501.13011/26/2014 5,997,660.00 1.148 1.1645,999,179.71FNMA NOTES35762 15,000,000.003135G0WJ8 05/21/2018 2320.87503/25/2015 14,961,660.00 1.022 1.03614,984,784.62FNMA NOTES35814 25,000,000.003135G0YM9 09/18/2018 3521.87504/07/2015 25,121,200.00 1.009 1.02325,201,111.80FNMA NOTES35847 7,000,000.003135G0UU5 03/06/2020 8871.75004/13/2015 7,019,285.00 1.474 1.4947,041,725.04FNMA NOTES35856 14,584,000.003135G0UU5 03/06/2020 8871.75004/14/2015 14,624,178.92 1.469 1.48914,672,573.80FNMA NOTES36088 7,370,000.003136FTZZ5 01/30/2019 4861.75006/26/2015 7,394,040.94 1.397 1.4177,401,701.14FNMA NOTES36347 10,000,000.003135G0A78 01/21/2020 8421.62511/13/2015 10,012,610.00 1.650 1.6739,989,322.28FNMA NOTES36361 20,000,000.003135G0A78 01/21/2020 8421.62511/18/2015 20,025,220.00 1.585 1.60720,003,423.82FNMA NOTES36378 15,000,000.003135G0WJ8 05/21/2018 2320.87511/20/2015 14,961,660.00 1.152 1.16814,972,315.76FNMA NOTES36383 10,000,000.003135G0A78 01/21/2020 8421.62511/24/2015 10,012,610.00 1.635 1.6589,992,625.92FNMA NOTES36384 10,000,000.003135G0A78 01/21/2020 8421.62511/24/2015 10,012,610.00 1.633 1.6569,993,069.47FNMA NOTES36505 25,000,000.003135G0H63 01/28/2019 4841.37501/08/2016 24,974,950.00 1.376 1.39524,993,278.64FNMA NOTES37253 20,000,000.003135G0N33 08/02/2019 6700.87512/19/2016 19,764,180.00 1.515 1.53619,762,797.03FNMA NOTES37582 10,000,000.003135G0S38 01/05/2022 1,5572.00002/09/2017 10,025,410.00 1.866 1.89210,043,692.07FNMA NOTES37620 10,865,000.003136FTZZ5 01/30/2019 4861.75003/29/2017 10,900,441.63 1.324 1.34310,922,869.69FNMA NOTES37783 40,000,000.003135G0T45 04/05/2022 1,6471.87504/10/2017 39,909,000.00 1.943 1.97039,837,509.53

Portfolio SCL2AP


16

September 30, 2017


MaturityDate





YTM365

Subtotal and Average 2,393,972,390.17 2,391,816,000.00 2,386,959,014.37 1.263 1.280 608

Federal Agency Bonds - CALLABLE

FFCB NOTES36323 15,000,000.003133EFKM8 10/20/2017 190.71010/29/2015 14,996,265.00 0.791 0.80214,999,278.48FFCB NOTES36492 13,300,000.003133EFMU8 05/02/2018 2130.95012/31/2015 13,270,048.40 1.324 1.34313,269,901.51FFCB NOTES36688 20,000,000.003133EF2L0 04/13/2020 9251.40004/13/2016 19,798,420.00 1.380 1.40020,000,000.00FFCB NOTES36689 15,000,000.003133EF2L0 04/13/2020 9251.40004/13/2016 14,848,815.00 1.380 1.40015,000,000.00FFCB NOTES36690 15,000,000.003133EF2L0 04/13/2020 9251.40004/13/2016 14,848,815.00 1.380 1.40015,000,000.00FFCB NOTES36866 20,000,000.003133EGKA2 07/06/2021 1,3741.50007/06/2016 19,658,180.00 1.479 1.50020,000,000.00FFCB NOTES37300 10,000,000.003133EG2P9 12/29/2021 1,5502.32012/29/2016 10,001,490.00 2.288 2.32010,000,000.00FFCB NOTES37301 15,000,000.003133EG2P9 12/29/2021 1,5502.32012/29/2016 15,002,235.00 2.288 2.32015,000,000.00FHLB NOTES36117 7,250,000.003130A3XL3 02/10/2020 8621.50007/09/2015 7,223,298.25 1.624 1.6467,225,915.86FHLB NOTES36641 20,000,000.003130A7HM0 03/29/2019 5441.25003/29/2016 19,917,100.00 1.249 1.26719,995,018.52FHLB NOTES37131 15,000,000.003130A9W49 02/24/2020 8761.25011/25/2016 14,840,595.00 1.232 1.25015,000,000.00FHLB NOTES37382 25,000,000.003130AANA2 07/30/2020 1,0331.75001/30/2017 24,983,350.00 1.726 1.75025,000,000.00FHLB NOTES37383 5,000,000.003130AANA2 07/30/2020 1,0331.75001/30/2017 4,996,670.00 1.726 1.7505,000,000.00FHLB NOTES37641 20,000,000.003130AB3T1 07/24/2020 1,0271.75004/24/2017 19,950,460.00 1.726 1.75020,000,000.00FHLB NOTES38016 8,400,000.003130ABZE9 08/28/2020 1,0621.65008/28/2017 8,353,900.80 1.627 1.6508,400,000.00FHLMC NOTES36066 10,000,000.003134G67C1 06/22/2018 2641.20006/22/2015 9,990,670.00 1.225 1.2429,996,979.17FHLMC NOTES36309 2,000,000.003134G34W7 01/30/2018 1211.25010/26/2015 2,000,330.00 0.805 0.8162,002,830.27FHLMC NOTES36393 5,000,000.003134G74S7 08/27/2018 3301.00011/27/2015 4,985,340.00 0.986 1.0005,000,000.00FHLMC NOTES36497 13,875,000.003134G76G1 05/17/2018 2281.05001/04/2016 13,858,211.25 1.327 1.34613,849,671.37FHLMC NOTES36583 12,500,000.003134G8JT7 02/24/2020 8761.50002/24/2016 12,456,650.00 1.479 1.50012,500,000.00FHLMC NOTES36590 5,000,000.003134G8L98 02/26/2018 1481.05002/26/2016 4,994,885.00 1.035 1.0505,000,000.00FHLMC NOTES36591 5,000,000.003134G8L98 02/26/2018 1481.05002/26/2016 4,994,885.00 1.035 1.0505,000,000.00FHLMC NOTES36592 5,000,000.003134G8L98 02/26/2018 1481.05002/26/2016 4,994,885.00 1.035 1.0505,000,000.00FHLMC NOTES36593 5,000,000.003134G8L98 02/26/2018 1481.05002/26/2016 4,994,885.00 1.035 1.0505,000,000.00FHLMC NOTES36644 7,000,000.003134G8TV1 03/29/2019 5441.22003/29/2016 6,965,973.00 1.203 1.2207,000,000.00FHLMC NOTES36648 20,000,000.003134G8S83 12/30/2019 8201.50003/30/2016 19,939,380.00 1.479 1.50020,000,000.00FHLMC NOTES36649 20,000,000.003134G8PD5 09/30/2019 7291.35003/30/2016 19,901,900.00 1.337 1.35519,997,717.46FHLMC NOTES36650 3,715,000.003134G8PD5 09/30/2019 7291.35003/30/2016 3,696,777.93 1.337 1.3553,714,576.02FHLMC NOTES36651 6,375,000.003134G8PD5 09/30/2019 7291.35003/30/2016 6,343,730.63 1.331 1.3506,375,000.00FHLMC NOTES36654 12,500,000.003134G8PD5 09/30/2019 7291.35003/30/2016 12,438,687.50 1.335 1.35412,498,930.06FHLMC NOTES36721 12,000,000.003134G9DD6 04/26/2019 5721.15004/26/2016 11,920,044.00 1.167 1.18411,993,722.22

Portfolio SCL2AP


17

September 30, 2017


MaturityDate





YTM365


FHLMC NOTES36722 25,000,000.003134G8YU7 10/26/2018 3901.05004/26/2016 24,904,400.00 1.099 1.11524,982,888.89FHLMC NOTES36725 10,000,000.003134G8XA2 07/27/2018 2991.00004/27/2016 9,973,200.00 0.986 1.00010,000,000.00FHLMC NOTES36729 15,000,000.003134G9AV9 10/28/2019 7571.25004/28/2016 14,892,390.00 1.261 1.27914,991,107.14FHLMC NOTES36730 4,250,000.003134G9AV9 10/28/2019 7571.25004/28/2016 4,219,510.50 1.261 1.2794,247,480.36FHLMC NOTES36785 9,000,000.003134G9HM2 11/26/2019 7861.30005/26/2016 8,940,933.00 1.282 1.3009,000,000.00FHLMC NOTES36787 5,250,000.003134G9HW0 11/26/2019 7861.25005/26/2016 5,210,850.75 1.232 1.2505,250,000.00FHLMC NOTES36823 20,000,000.003134G9QW0 06/14/2019 6211.28006/14/2016 19,893,380.00 1.262 1.28020,000,000.00FHLMC NOTES36848 10,625,000.003134G9ZR1 12/28/2018 4531.00006/28/2016 10,560,325.63 0.946 0.95910,630,224.31FHLMC NOTES37148 15,000,000.003134GAXX7 11/30/2018 4251.00011/30/2016 14,911,635.00 0.986 1.00015,000,000.00FHLMC NOTES37344 10,000,000.003134G3K90 09/25/2020 1,0901.70001/19/2017 9,987,430.00 1.667 1.69010,002,753.85FHLMC NOTES37518 25,000,000.003134GBBM3 03/29/2021 1,2752.00003/29/2017 25,006,375.00 1.972 2.00025,000,000.00FHLMC NOTES37578 3,500,000.003134GA5T7 01/26/2022 1,5782.12502/28/2017 3,498,414.50 2.095 2.1253,500,000.00FHLMC NOTES37579 20,000,000.003134GA5T7 01/26/2022 1,5782.12502/28/2017 19,990,940.00 2.096 2.12520,000,000.00FHLMC NOTES37621 25,000,000.003134GBEW8 07/26/2019 6631.50004/26/2017 24,902,950.00 1.479 1.50025,000,000.00FHLMC NOTES37668 8,000,000.003134GBEW8 07/26/2019 6631.50004/26/2017 7,968,944.00 1.479 1.5008,000,000.00FHLMC NOTES37669 15,000,000.003134GBGZ9 01/27/2022 1,5792.00004/27/2017 14,960,595.00 1.972 2.00015,000,000.00FHLMC NOTES37696 3,640,000.003134GBEF5 04/27/2020 9391.70004/27/2017 3,640,451.36 1.676 1.7003,640,000.00FHLMC NOTES37741 10,000,000.003134GBJJ2 01/26/2021 1,2131.75004/26/2017 9,965,840.00 1.726 1.75010,000,000.00FHLMC NOTES37742 25,000,000.003134GBJJ2 01/26/2021 1,2131.75004/26/2017 24,914,600.00 1.726 1.75025,000,000.00FHLMC NOTES37801 20,000,000.003134GBLR1 11/25/2020 1,1511.75005/25/2017 19,933,660.00 1.726 1.75020,000,000.00FHLMC NOTES37804 20,000,000.003134GBLQ3 05/22/2020 9641.65005/22/2017 19,936,680.00 1.627 1.65020,000,000.00FHLMC NOTES37817 15,000,000.003134GBPM8 02/24/2022 1,6072.00005/24/2017 14,988,660.00 1.972 2.00015,000,000.00FHLMC NOTES37849 20,000,000.003134GBRR5 06/15/2021 1,3531.80006/15/2017 19,839,500.00 1.775 1.80020,000,000.00FHLMC NOTES37861 30,000,000.003134GBRU8 06/22/2020 9951.62506/22/2017 29,902,140.00 1.602 1.62530,000,000.00FHLMC NOTES37880 5,450,000.003134GBSM5 09/22/2020 1,0871.70006/22/2017 5,422,875.35 1.676 1.7005,450,000.00FHLMC NOTES37893 15,000,000.003134GBRZ7 12/20/2019 8101.50006/20/2017 14,941,875.00 1.479 1.50015,000,000.00FHLMC NOTES37894 5,000,000.003134GBSW3 12/22/2020 1,1781.75006/22/2017 4,984,385.00 1.726 1.7505,000,000.00FHLMC NOTES37988 5,750,000.003134GBYF3 01/27/2021 1,2141.80007/27/2017 5,731,732.25 1.775 1.8005,750,000.00FHLMC NOTES38055 6,000,000.003134GBF64 09/28/2020 1,0931.60009/28/2017 5,974,866.00 1.578 1.6006,000,000.00FNMA NOTES34464 10,500,000.003135G0XA6 05/21/2018 2321.03008/12/2013 10,479,304.50 1.578 1.60010,463,318.41FNMA NOTES36576 15,500,000.003136G2WX1 02/22/2019 5091.25002/22/2016 15,438,961.00 1.232 1.25015,500,000.00FNMA NOTES36782 5,000,000.003136G3NC5 05/24/2019 6001.00005/24/2016 4,940,040.00 1.003 1.0164,998,627.31

Portfolio SCL2AP


18

September 30, 2017


MaturityDate





YTM365


FNMA NOTES36793 5,000,000.003136G3QY4 05/30/2019 6061.25005/27/2016 4,979,975.00 1.212 1.2295,000,000.00FNMA NOTES36794 15,000,000.003136G3QY4 05/30/2019 6061.25005/27/2016 14,939,925.00 1.212 1.22915,000,000.00FNMA NOTES36795 5,000,000.003136G3QY4 05/30/2019 6061.25005/27/2016 4,979,975.00 1.212 1.2295,000,000.00FNMA NOTES36797 25,000,000.003136G3PR0 05/26/2021 1,3331.50005/27/2016 24,691,025.00 1.526 1.54824,957,969.71FNMA NOTES36845 12,980,000.003136G3TD7 06/28/2019 6351.20006/28/2016 12,885,518.58 1.150 1.16512,987,535.61FNMA NOTES36846 12,050,000.003136G3TB1 06/28/2019 6351.10006/28/2016 11,950,093.45 1.043 1.05712,058,744.62FNMA NOTES36849 25,000,000.003136G3SQ9 06/28/2019 6351.15006/28/2016 24,813,425.00 1.134 1.15025,000,000.00FNMA NOTES36875 30,000,000.003135G0L50 07/12/2019 6491.05007/12/2016 29,668,620.00 1.035 1.05030,000,000.00FNMA NOTES36880 7,500,000.003136G3SY2 09/30/2019 7291.25007/13/2016 7,420,755.00 1.232 1.2507,500,000.00FNMA NOTES36902 15,000,000.003136G3A62 07/26/2019 6631.05007/26/2016 14,856,240.00 1.035 1.05015,000,000.00FNMA NOTES37017 20,000,000.003136G4BV4 09/30/2020 1,0951.45009/30/2016 19,662,580.00 1.411 1.43020,011,239.58FNMA NOTES37103 30,000,000.003135G0Q30 09/27/2019 7261.18010/21/2016 29,774,610.00 1.167 1.18329,997,965.91FNMA NOTES37509 3,000,000.003136G4MD2 09/16/2020 1,0811.85003/16/2017 3,000,354.00 1.824 1.8503,000,000.00

Subtotal and Average 1,006,739,396.64 1,006,910,000.00 1,001,647,816.63 1.435 1.455 849

US Treasury Notes

U.S. TREASURY NOTES35886 25,000,000.00912828VK3 06/30/2018 2721.37504/20/2015 25,014,650.00 0.895 0.90725,085,582.69U.S. TREASURY NOTES35887 15,000,000.00912828VQ0 07/31/2018 3031.37504/20/2015 15,004,680.00 0.918 0.93115,054,239.82


Corporate Bonds

APPLE INC36580 5,000,000.00037833BN9 02/23/2018 1451.30002/23/2016 4,998,620.00 1.303 1.3214,999,575.97APPLE INC36918 30,000,000.00037833CB4 08/02/2019 6701.10008/04/2016 29,740,800.00 1.118 1.13429,981,604.82BERKSHIRE HATHWY36620 5,000,000.00084664CG4 03/15/2019 5301.70003/15/2016 5,009,680.00 1.702 1.7264,998,156.30BERKSHIRE HATHWY36933 10,000,000.00084664CK5 08/15/2019 6831.30008/15/2016 9,928,540.00 1.314 1.3339,993,946.48CITIBANK CREDIT CARD ISSUANCE37208 40,000,000.0017305EFW0 11/19/2021 1,5101.75012/08/2016 39,940,100.00 1.725 1.74939,998,208.72CHEVRON CORP.35280 10,000,000.00166764AA8 12/05/2017 651.10408/19/2014 9,995,200.00 1.202 1.2199,997,997.98CHEVRON CORP.35427 30,000,000.00166764AL4 11/15/2017 451.34511/18/2014 30,002,790.00 1.326 1.34530,000,000.00CHEVRON CORP.35694 10,000,000.00166764AV2 03/02/2018 1521.36503/03/2015 9,998,900.00 1.346 1.36510,000,000.00CHEVRON CORP.36355 10,000,000.00166764BC3 11/09/2017 391.34411/17/2015 9,999,780.00 1.340 1.35910,000,000.00CHEVRON CORP.36765 15,000,000.00166764BH2 05/16/2019 5921.56105/16/2016 14,978,790.00 1.539 1.56115,000,000.00CHEVRON CORP.37503 8,000,000.00166764BP4 03/03/2020 8841.99103/03/2017 8,030,112.00 1.963 1.9918,000,000.00

Portfolio SCL2AP


19

September 30, 2017


MaturityDate





YTM365

Corporate Bonds

IBM35633 10,000,000.00459200HZ7 02/06/2018 1281.12502/06/2015 9,991,560.00 1.212 1.2289,996,469.91IBM35644 10,000,000.00459200HK0 02/08/2018 1301.25002/13/2015 9,989,010.00 1.286 1.3049,998,133.40IBM37380 10,000,000.00459200JN2 01/27/2020 8481.90001/27/2017 10,012,810.00 1.906 1.9339,992,568.89JOHNSON & JOHNSON35435 30,000,000.00478160BL7 11/21/2017 511.12511/21/2014 29,992,980.00 1.136 1.15129,998,902.78JPMORGAN36966 12,500,000.0048125LRG9 09/23/2019 7221.65009/23/2016 12,454,100.00 1.661 1.68512,491,594.44MICROSOFT CORP36329 20,000,000.00594918BF0 11/03/2018 3981.30011/03/2015 19,967,760.00 1.315 1.33419,992,740.74MICROSOFT CORP36923 10,000,000.00594918BN3 08/08/2019 6761.10008/08/2016 9,910,830.00 1.119 1.1359,993,638.80MICROSOFT CORP37419 15,000,000.00594918BV5 02/06/2020 8581.85002/06/2017 15,061,755.00 1.847 1.87314,992,136.81TOYOTA MOTOR CREDIT36776 20,000,000.0089236TDE2 05/20/2019 5961.40005/20/2016 19,910,460.00 1.428 1.44719,984,729.63TOYOTA MOTOR CREDIT37057 5,000,000.0089236TDH5 10/18/2019 7471.55010/18/2016 4,973,045.00 1.545 1.5674,998,293.98TOYOTA MOTOR CREDIT37170 50,000,000.0089236TDL6 12/05/2017 651.56612/05/2016 50,021,850.00 1.394 1.41350,000,000.00TOYOTA MOTOR CREDIT37702 5,000,000.0089236TDU6 04/17/2020 9291.95004/17/2017 5,001,825.00 1.938 1.9654,998,049.26U S BANK36773 19,589,000.0090331HML4 10/28/2019 7572.12505/19/2016 19,725,339.44 1.533 1.55419,813,868.44WELLS FARGO36805 12,000,000.0094988J5D5 05/24/2019 6001.75006/02/2016 11,991,696.00 1.740 1.76411,997,145.63EXXON MOBIL CORP35710 50,000,000.0030231GAL6 03/06/2018 1561.30503/06/2015 49,973,550.00 1.287 1.30550,000,000.00


Asset Backed Securities (ABS)

AMERICAN EXPRESS37862 34,000,000.0002582JHG8 12/15/2021 1,5361.64005/30/2017 33,959,121.80 1.602 1.62433,994,553.20BMW VEHICLE LEASE TRUST36274 13,037,664.4405581QAD0 02/20/2019 5071.40010/14/2015 13,038,223.76 1.385 1.40513,037,441.50BMW VEHICLE LEASE TRUST36569 11,617,714.6905581RAD8 06/20/2018 2621.34002/17/2016 11,612,247.39 1.440 1.46011,616,349.61BMW VEHICLE LEASE TRUST37036 7,000,000.0005582XAD4 09/20/2019 7191.43010/13/2016 6,978,550.60 1.423 1.4436,999,074.60BMW VEHICLE OWNER TRUST36893 10,000,000.0005582QAD9 11/25/2020 1,1511.16007/20/2016 9,939,162.00 1.147 1.1639,999,955.00CHASE ISSUANCE TRUST (ABS)35953 25,000,000.00161571GY4 04/15/2020 9271.36005/06/2015 24,988,360.00 1.352 1.37124,995,595.00CHASE ISSUANCE TRUST (ABS)36929 23,000,000.00161571HF4 07/15/2021 1,3831.27008/11/2016 22,799,249.10 1.267 1.28522,993,668.10HONDA AUTO RECEIVABLES OWNER T35986 2,262,377.0643813NAC0 02/21/2019 5081.04005/20/2015 2,259,840.94 1.036 1.0502,262,029.79HONDA AUTO RECEIVABLES OWNER T36587 13,723,100.6143814NAC9 12/18/2019 8081.22002/25/2016 13,692,212.66 1.213 1.23013,721,150.56HONDA AUTO RECEIVABLES OWNER T36800 12,000,000.0043814QAC2 04/15/2020 9271.39005/31/2016 11,977,335.60 1.375 1.39511,999,767.20HONDA AUTO RECEIVABLES OWNER T37059 11,500,000.0043814RAC0 12/18/2020 1,1741.21010/25/2016 11,418,639.80 1.199 1.21611,499,253.65HONDA AUTO RECEIVABLES OWNER T37615 16,500,000.0043814TAC6 06/22/2020 9951.72003/28/2017 16,490,849.10 1.706 1.72916,499,018.25HONDA AUTO RECEIVABLES OWNER T37976 28,000,000.0043811BAC8 08/16/2021 1,4151.68006/27/2017 27,943,759.20 1.666 1.69027,997,578.00JOHN DEERE OWNER TRUST35726 2,898,746.1347787UAD5 06/17/2019 6241.32003/11/2015 2,897,660.84 1.309 1.3272,898,515.68

Portfolio SCL2AP


20

September 30, 2017


MaturityDate





YTM365

Asset Backed Securities (ABS)

JOHN DEERE OWNER TRUST36216 4,331,918.4447787WAC3 10/15/2019 7441.44009/09/2015 4,330,804.70 1.552 1.5734,331,092.35JOHN DEERE OWNER TRUST36600 10,500,000.0047788MAC4 04/15/2020 9271.36003/02/2016 10,481,890.65 1.353 1.37110,498,347.30JOHN DEERE OWNER TRUST36905 8,750,000.0047788NAC2 06/15/2020 9881.25007/27/2016 8,712,926.25 1.240 1.2578,749,303.50JOHN DEERE OWNER TRUST37507 8,500,000.0047787XAC1 04/15/2021 1,2921.78003/02/2017 8,499,805.35 1.769 1.7938,498,789.60MERCEDES-BENZ AUTO LEASE TRUST36623 23,000,000.0058768FAD8 03/15/2019 5301.52003/16/2016 23,007,596.90 1.513 1.53422,996,660.40MERCEDES-BENZ AUTO LEASE TRUST37065 5,000,000.0058768MAC5 08/15/2019 6831.35010/26/2016 4,986,314.00 1.335 1.3544,999,984.00MERCEDES -BENZ AUTO REC TRUST36956 12,000,000.0058769BAD6 02/16/2021 1,2341.26009/14/2016 11,935,636.80 1.251 1.26911,998,537.20NISSAN AUTO LEASE TRUST36557 6,000,000.0065478UAD1 10/15/2020 1,1101.34002/10/2016 5,983,999.80 1.335 1.3535,998,636.80TOYOTA AUTO REC OWNER TRUST36601 15,000,000.0089237KAD5 03/16/2020 8971.25003/02/2016 14,967,336.00 1.238 1.25614,999,149.50TOYOTA AUTO REC OWNER TRUST37035 14,000,000.0089231LAD9 10/15/2020 1,1101.23010/12/2016 13,918,860.20 1.222 1.23913,998,247.20TOYOTA AUTO REC OWNER TRUST37568 10,000,000.0089238MAD0 02/16/2021 1,2341.73003/15/2017 9,993,677.00 1.684 1.7089,998,823.00

Subtotal and Average 327,581,520.99 327,621,521.37 326,814,060.44 1.421 1.441 1,035

Asset Backed Securities-Green Bond

TOYOTA AUTO REC OWNER TRUST36753 4,000,000.0089231UAD9 04/15/2020 9271.30005/11/2016 3,991,077.20 1.283 1.3013,999,867.88


Municipal Bonds

CALIFORNIA ST34650 10,000,000.0013063CFC9 11/01/2017 311.75011/13/2013 10,003,800.00 1.488 1.50810,001,941.18CALIFORNIA ST34729 9,085,000.0013063CFC9 11/01/2017 311.75012/11/2013 9,088,452.30 1.678 1.7019,085,348.47CALIFORNIA ST35534 12,450,000.0013063CPN4 11/01/2017 311.25012/22/2014 12,450,000.00 1.236 1.25312,449,967.33CALIFORNIA ST36313 10,220,000.0013063CSQ4 04/01/2020 9131.80010/27/2015 10,161,439.40 1.632 1.65510,255,545.60CALIFORNIA ST36390 5,000,000.0013063CXU9 11/01/2017 311.00011/25/2015 4,999,000.00 0.989 1.0025,000,000.00CALIFORNIA ST36731 15,000,000.0013063CP87 04/01/2021 1,2781.50004/28/2016 14,683,650.00 1.608 1.63014,947,126.90North Dakota State Finance37523 500,000.0065887PHS7 10/01/2021 1,4615.00003/06/2017 572,415.00 1.400 1.420569,080.61New York State Dormatory Auth36822 3,000,000.0064990CEM9 07/01/2019 6381.45606/14/2016 2,981,220.00 1.435 1.4553,000,000.00UNIVERSITY CALIFORNIA REVS35763 250,000.0091412GWV3 05/15/2019 5912.00303/25/2015 251,535.00 1.975 2.002250,000.00UNIVERSITY CALIFORNIA REVS36710 3,000,000.0091412GD36 05/15/2019 5911.16904/20/2016 2,978,670.00 1.152 1.1683,000,000.00


Commercial Paper, Discount

GENERAL ELECTRIC CAPITAL38059 50,000,000.0036164JX25 10/02/2017 11.07009/29/2017 49,995,480.00 1.070 1.08449,998,542.03

Portfolio SCL2AP


21

September 30, 2017


MaturityDate





YTM365

Commercial Paper, Discount

JP Morgan Securities37690 50,000,000.0046640QA50 01/05/2018 961.42004/11/2017 49,819,516.50 1.454 1.47449,811,378.15TOYOTA MOTOR CREDIT37691 60,000,000.0089233HA46 01/04/2018 951.35004/11/2017 59,798,132.40 1.381 1.40059,787,086.57


Federal Agency Discount Notes

FFCB DISCOUNT NOTE37795 15,000,000.00313313TJ7 02/21/2018 1431.11005/03/2017 14,934,330.00 1.133 1.14914,934,274.39FHLB DISCOUNT37777 25,000,000.00313385NQ5 10/30/2017 290.98004/27/2017 24,980,750.00 0.998 1.01224,980,276.51FANNIE MAE DISCOUNT NOTE38058 150,000,000.00313589ML4 10/02/2017 10.98009/29/2017 150,000,000.00 0.993 1.007149,995,937.46FARMER MAC DISCOUNT NOTE37610 23,800,000.0031315LTC2 02/15/2018 1371.06003/27/2017 23,700,206.60 1.082 1.09723,704,538.77FARMER MAC DISCOUNT NOTE37766 21,000,000.0031315LSK5 01/29/2018 1201.06004/25/2017 20,925,030.00 1.081 1.09620,926,263.16


Local Agency Investment Fund

LOCAL AGENCY INVEST FUND8506 40,469,740.24SYS8506 10.92007/01/2015 40,469,740.24 0.907 0.92040,469,740.24


Money Market

JPM TE MMK FD37590 1,112.87SYS37590 10.87002/27/2017 1,112.87 0.858 0.8701,112.87MORGAN STANLEY TRSY INSTL 830434292 12,851.35SYS34292 10.90005/21/2013 12,851.35 0.887 0.90012,851.35BLACKKROCK TREASURY LIQ FUND23519 147,410,807.02SYS23519 10.91002/01/2008 147,410,807.02 0.897 0.910147,410,807.02


Supranationals - Green Bond

INTL BANK RECON & DEVELOP36643 45,000,000.0045905UVR2 01/29/2019 4851.17003/29/2016 44,837,865.00 1.154 1.17045,000,000.00


Supranationals

IADB37663 35,000,000.004581X0CX4 05/12/2020 9541.62504/12/2017 34,900,040.00 1.680 1.70434,929,679.32INTL BANK RECON & DEVELOP35936 15,000,000.00459058EJ8 06/15/2018 2571.00004/30/2015 14,964,420.00 1.034 1.04814,994,208.80INTL BANK RECON & DEVELOP35937 10,000,000.00459058EJ8 06/15/2018 2571.00004/30/2015 9,976,280.00 1.041 1.0559,996,139.20INTL BANK RECON & DEVELOP36258 15,000,000.00459058ER0 10/05/2018 3691.00010/07/2015 14,941,170.00 1.043 1.05714,991,389.61INTL BANK RECON & DEVELOP36259 25,000,000.00459058ER0 10/05/2018 3691.00010/07/2015 24,901,950.00 1.043 1.05724,985,649.35INTL BANK RECON & DEVELOP36352 20,000,000.00459058DN0 04/10/2018 1911.37611/16/2015 19,996,540.00 1.153 1.16920,021,350.00

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YTM365

Supranationals

INTL BANK RECON & DEVELOP36653 20,000,000.00459058FA6 03/30/2020 9111.37603/30/2016 19,833,560.00 1.435 1.45519,961,792.50INTL BANK RECON & DEVELOP36881 40,000,000.00459058FK4 08/15/2019 6830.87607/13/2016 39,443,240.00 0.869 0.88139,994,908.63


Total Investments and Average 5,405,118,377.57 5,403,636,032.85 5,390,123,180.16 1.299 1.317 572

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Fund WK - WORKERS COMPInvestments by Fund Page 13



YTM365


FHLMC NOTES37310 2,500,000.003137EAEC9 08/12/2021 1,4111.12512/30/2016 2,436,460.00 1.961 1.9882,420,636.84FNMA NOTES34807 4,600,000.003135G0WJ8 05/21/2018 2320.87501/08/2014 4,588,242.40 1.527 1.5484,580,918.33FNMA NOTES37309 3,500,000.003135G0R39 10/24/2019 7531.00012/30/2016 3,459,606.50 1.489 1.5103,464,146.95


US Treasury Notes

U.S. TREASURY NOTES34791 4,500,000.00912828UE8 12/31/2017 910.75012/27/2013 4,495,585.50 1.309 1.3274,493,710.75U.S. TREASURY NOTES34792 4,500,000.00912828A75 12/31/2018 4561.50012/31/2013 4,504,923.00 1.721 1.7454,486,830.85


Money Market

BLACKKROCK TREASURY LIQ FUND34789 8,507,840.95SYS34789 10.91012/26/2013 8,507,840.95 0.897 0.9108,507,840.95


Total Investments and Average 27,954,084.67 28,107,840.95 27,992,658.35 1.365 1.384 341

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YTM365


FFCB NOTES36777 2,000,000.003133EGAS4 02/16/2018 1380.75005/20/2016 1,996,424.00 0.914 0.9271,998,684.50FHLMC NOTES37307 500,000.003137EAEC9 08/12/2021 1,4111.12512/30/2016 487,292.00 1.961 1.988484,127.37FNMA NOTES37308 1,500,000.003135G0R39 10/24/2019 7531.00012/30/2016 1,482,688.50 1.488 1.5081,484,634.41


Money Market

BLACKKROCK TREASURY LIQ FUND33657 154,729.79SYS33657 10.91009/30/2012 154,729.79 0.897 0.910154,729.79

Subtotal and Average 154,729.79 154,729.79 154,729.79 0.898 0.910 1


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YTM365

Municipal Bonds

ALASKA ST35082 200,000.00011770Z56 08/01/2019 6695.00005/08/2014 213,808.00 1.252 1.270213,190.19ALASKA ST35083 250,000.00011770Z56 08/01/2019 6695.00005/08/2014 267,260.00 1.252 1.270266,487.73ARKANSAS ST34919 500,000.00041042UD2 10/01/2017 05.00003/10/2014 500,000.00 0.562 0.570500,000.00CALIFORNIA ST37543 500,000.0013063C5Q9 08/01/2022 1,7655.00003/14/2017 583,735.00 1.844 1.870571,630.15CALIFORNIA ST37573 400,000.0013063BFJ6 03/01/2022 1,6125.25003/20/2017 439,992.00 2.661 2.698441,959.57CALIFORNIA ST37714 225,000.0013063BAM4 10/01/2021 1,4615.25003/08/2017 244,068.75 0.957 0.971246,297.63Connecticut-F37546 500,000.0020772JQ96 11/15/2021 1,5065.00003/09/2017 561,930.00 1.873 1.900560,843.12DELAWARE ST34872 100,000.00246380B65 03/01/2018 1515.00002/07/2014 101,690.00 0.818 0.830101,704.92FLORIDA STATE BOARD EDUCATION34972 350,000.0034153P3H9 06/01/2019 6085.00004/01/2014 372,760.50 1.351 1.370370,373.39FLORIDA STATE BOARD EDUCATION35185 1,065,000.00341150M31 07/01/2020 1,0045.00006/27/2014 1,179,104.10 1.588 1.6101,159,267.85GEORGIA ST34845 500,000.00373384N28 12/01/2018 4265.00001/22/2014 523,440.00 1.055 1.070522,278.73GEORGIA ST34915 350,000.00373384YJ9 07/01/2019 6385.00003/10/2014 374,209.50 1.035 1.050373,469.23LOS ANGELES CALIF DEPT WTR & P34702 500,000.00544525RT7 07/01/2018 2735.00012/05/2013 515,320.00 0.946 0.960514,786.85MASSACHUSETTS ST35081 530,000.0057582PK74 04/01/2019 5475.00005/08/2014 561,285.90 1.242 1.260558,743.38MASSACHUSETTS ST37561 200,000.0057582RKW5 04/01/2022 1,6435.00003/16/2017 231,352.00 1.607 1.630229,001.12MARYLAND ST34869 205,000.005741925H9 03/01/2019 5165.00002/05/2014 216,578.40 1.114 1.130215,892.44MARYLAND ST34870 100,000.005741927Y0 03/15/2019 5305.00002/05/2014 105,803.00 1.114 1.130105,457.86MARYLAND ST35122 440,000.00574193JK5 03/01/2019 5165.00006/02/2014 464,851.20 1.095 1.110463,553.47MARYLAND ST35289 700,000.00574193KQ0 08/01/2018 3045.00008/21/2014 723,429.00 0.798 0.810724,006.55MINNESOTA ST34860 1,000,000.00604129P91 10/01/2018 3655.00001/30/2014 1,039,990.00 1.035 1.0501,038,445.69MINNESOTA ST35288 200,000.006041294D5 08/01/2020 1,0355.00008/21/2014 221,242.00 1.410 1.430219,326.62NORTH CAROLINA ST34874 785,000.00658256T77 05/01/2018 2125.00002/07/2014 803,502.45 0.877 0.890803,427.72NORTH CAROLINA ST34900 115,000.00658256B43 03/01/2019 5165.00003/03/2014 121,479.10 1.035 1.050121,253.17NORTH CAROLINA ST35131 365,000.00658256T93 05/01/2020 9435.00006/05/2014 401,470.80 1.400 1.420397,266.91NEW HAMPSHIRE ST34961 840,000.00644682F27 07/01/2018 2735.00003/27/2014 865,292.40 1.045 1.060864,204.32OHIO ST34836 750,000.006775213U8 03/01/2018 1513.00001/22/2014 756,472.50 0.936 0.949756,267.75OHIO ST37526 305,000.00677521Q82 10/01/2021 1,4615.00003/08/2017 348,020.25 1.509 1.530345,736.27SAN FRANCISCO CITY & CNTY CA34839 100,000.0079771TJS7 06/15/2018 2575.00001/23/2014 102,910.00 0.976 0.990102,761.73SAN FRANCISCO CITY & CNTY CA34853 450,000.00797646XL5 06/15/2018 2575.00001/28/2014 463,095.00 0.925 0.938462,700.56TEXAS STATE REFUNDING35100 170,000.00882722D99 10/01/2017 05.00005/20/2014 170,000.00 0.631 0.640170,000.00VERMONT ST34946 100,000.00924258ZN9 08/15/2019 6835.00003/21/2014 107,397.00 1.262 1.280106,708.10WASHINGTON ST34840 250,000.0093974CJH4 01/01/2018 925.00001/23/2014 252,480.00 0.858 0.870252,531.96

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YTM365

Municipal Bonds

WASHINGTON ST37524 500,000.0093974CC65 07/01/2021 1,3695.00003/08/2017 568,370.00 1.352 1.371565,848.36WISCONSIN STATE34880 250,000.0097705L4E4 05/01/2019 5775.00002/13/2014 265,410.00 1.198 1.214264,240.89WISCONSIN STATE34881 100,000.0097705L4E4 05/01/2019 5775.00002/13/2014 106,164.00 1.169 1.185105,747.04WISCONSIN STATE37717 500,000.0097705MFT7 05/01/2022 1,6735.00003/29/2017 579,540.00 1.647 1.670572,801.15


Money Market - Tax Exempt

Dreyfus Tax Exempt Inst33615 4,906,020.04SYS33615 10.64009/25/2012 4,906,020.04 0.631 0.6404,906,020.04



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SANTA CLARA COUNTY INVESTMENTSTransaction Activity Report

July 1, 2017 - September 30, 2017Sorted by Transaction Date - Transaction Date

COMMINGLED POOL Fund

TotalCashInterest

PrincipalPaydowns

NewPrincipalFundInvestment # IssuerDealerTransactionTypeInv DescripCUSIP

37963 COMM 149,991,083.34 -149,991,083.34GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JU5135505 COMM 25,000,000.00 25,000,000.00FHLB NOTESWELLS FARGORedemptionFEDERAL HOME3130A3P4037962 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JU3635505 COMM 109,375.00 109,375.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A3P4036822 COMM 21,840.00 21,840.00New York StateWELLS FARGOInterestNYSHGR 1.456%64990CEM9

Totals for 07/03/2017 149,991,083.34 75,000,000.00 131,215.00 -74,859,868.34

37964 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JU6937963 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JU5137582 COMM 97,777.78 97,777.78FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3135G0S3837582 COMM 16,666.67 -16,666.67 0.00FNMA NOTESKEYBANC CAPITALAccr IntFEDERAL NATL MTG3135G0S3834292 COMM 12,833.40 12,833.40MORGAN STANLEYInterestMSTI 0.%SYS3429234292 COMM 12,833.40 -12,833.40MORGAN STANLEYPurchaseMSTI 0.%SYS3429237590 COMM 1,111.21 1,111.21JPM TE MMK FDJPMorganChaseInterestJPM TE 0.44%SYS3759037590 COMM 1,111.21 -1,111.21JPM TE MMK FDJPMorganChasePurchaseJPM TE 0.44%SYS37590

Totals for 07/05/2017 150,009,486.28 150,016,666.67 95,055.72 102,236.11

37966 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JU7737964 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JU6938005 COMM 50,000,000.00 50,000,000.00Exxon Mobil GroupCITIGROUP GLOBALRedemptionXON DISC NOTE30229AU6435803 COMM 125,000.00 125,000.00FHLB NOTESWELLS FARGOInterestFHLB 1.% MAT3130A4WA635855 COMM 60,000.00 60,000.00FHLB NOTESWELLS FARGOInterestFHLB 1.% MAT3130A4WA635952 COMM 50,000.00 50,000.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A57J236854 COMM 103,525.00 103,525.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A8KR336866 COMM 150,000.00 150,000.00FFCB NOTESMERRILL LYNCHInterestFEDERAL FARM CR3133EGKA2

Totals for 07/06/2017 149,995,541.67 200,000,000.00 488,525.00 50,492,983.33

37967 COMM 149,986,625.01 -149,986,625.01GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUA037375 COMM 50,000,000.00 50,000,000.00BANK OF AMERICAMERRILL LYNCHRedemptionBA 1.17% MAT06052TVX537966 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JU7737375 COMM 261,625.00 261,625.00BANK OF AMERICAMERRILL LYNCHInterestBA 1.17% MAT06052TVX5

Totals for 07/07/2017 149,986,625.01 200,000,000.00 261,625.00 50,274,999.99

37970 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUB837967 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUA035815 COMM 87,500.00 87,500.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A4WB4

Portfolio SCL2AP

Run Date: 10/25/2017 - 11:15 TA (PRF_TA) 7.1.1Report Ver. 7.3.6.1

28

Sorted by Transaction Date - Transaction DatePage 2Transaction Activity Report


TotalCashInterest

PrincipalPaydowns


Totals for 07/10/2017 149,995,541.67 150,000,000.00 87,500.00 91,958.33

37971 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUC637970 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUB8

Totals for 07/11/2017 149,995,541.67 150,000,000.00 4,458.33

37972 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUD437971 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUC635207 COMM 37,500.00 37,500.00FHLMC NOTESKEYBANC CAPITALInterestFEDERAL HOME LN3137EADN635760 COMM 37,500.00 37,500.00FHLMC NOTESMORGAN STANLEYInterestFEDERAL HOME LN3137EADN635761 COMM 37,500.00 37,500.00FHLMC NOTESUBS FINANCEInterestFEDERAL HOME LN3137EADN635785 COMM 18,750.00 18,750.00FHLMC NOTESMIZUHOInterestFEDERAL HOME LN3137EADN636875 COMM 157,500.00 157,500.00FNMA NOTESBARCLAYS CAPITALInterestFEDERAL NATL MTG3135G0L50

Totals for 07/12/2017 149,995,541.67 150,000,000.00 288,750.00 293,208.33

37973 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUE237972 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUD4

Totals for 07/13/2017 149,995,541.67 150,000,000.00 4,458.33

37974 COMM 149,986,625.01 -149,986,625.01GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUH58506 COMM 92,982.15 -92,982.15LOCAL AGENCYPurchaseLAIF 1.65%SYS850637234 COMM 50,000,000.00 50,000,000.00FHLB VARIABLEDEUTSCHE BANKRedemptionFHLBVR 0.56% MAT3130AAF5237381 COMM 50,000,000.00 50,000,000.00TOYOTA MOTORTOYOTO MOTORRedemptionTOYO DISC NOTE89233GUE437475 COMM 50,000,000.00 50,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0UE437973 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUE237234 COMM 41,833.33 41,833.33FHLB VARIABLEDEUTSCHE BANKInterestFHLBVR 0.56% MAT3130AAF528506 COMM 92,982.15 92,982.15LOCAL AGENCYInterestLAIF 1.65%SYS8506

Totals for 07/14/2017 150,079,607.16 300,000,000.00 134,815.48 150,055,208.32

36753 COMM 4,333.33 4,333.33TOYOTA AUTO RECCITIGROUP GLOBALInterestTOYO 1.3% MAT89231UAD935726 COMM 4,432.71 4,432.71JOHN DEERECITIGROUP GLOBALInterestJDOT 1.32% MAT47787UAD535726 COMM 344,232.15 344,232.15JOHN DEERECITIGROUP GLOBALRedemptionJDOT 1.32% MAT47787UAD535953 COMM 28,333.33 28,333.33CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.36% MAT161571GY435953 COMM 829,289.08 829,289.08CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.36% MAT161571GY436216 COMM 6,532.21 6,532.21JOHN DEEREROYAL BANK OFInterestJDOT 1.44% MAT47787WAC336216 COMM 325,207.97 325,207.97JOHN DEEREROYAL BANK OFRedemptionJDOT 1.44% MAT47787WAC336557 COMM 6,700.00 6,700.00NISSAN AUTOMERRILL LYNCHInterestNALT 1.34% MAT65478UAD136557 COMM 163,569.87 163,569.87NISSAN AUTOMERRILL LYNCHRedemptionNALT 1.34% MAT65478UAD136600 COMM 11,900.00 11,900.00JOHN DEEREMERRILL LYNCHInterestJDOT 1.36% MAT47788MAC436600 COMM 330,633.57 330,633.57JOHN DEEREMERRILL LYNCHRedemptionJDOT 1.36% MAT47788MAC436601 COMM 15,625.00 15,625.00TOYOTA AUTO RECMERRILL LYNCHInterestTAOT 1.25% MAT89237KAD536601 COMM 473,038.24 473,038.24TOYOTA AUTO RECMERRILL LYNCHRedemptionTAOT 1.25% MAT89237KAD536623 COMM 29,133.33 29,133.33MERCEDES-BENZBARCLAYS CAPITALInterestMBALT 1.52% MAT58768FAD8

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TotalCashInterest

PrincipalPaydowns


36623 COMM 1,140,588.56 1,140,588.56MERCEDES-BENZBARCLAYS CAPITALRedemptionMBALT 1.52% MAT58768FAD836800 COMM 13,900.00 13,900.00HONDA AUTOMERRILL LYNCHInterestHAROT 1.39% MAT43814QAC236800 COMM 373,781.33 373,781.33HONDA AUTOMERRILL LYNCHRedemptionHAROT 1.39% MAT43814QAC236905 COMM 9,114.58 9,114.58JOHN DEEREROYAL BANK OFInterestJDOT 1.25% MAT47788NAC236905 COMM 254,396.78 254,396.78JOHN DEEREROYAL BANK OFRedemptionJDOT 1.25% MAT47788NAC236929 COMM 24,341.67 24,341.67CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.27% MAT161571HF436929 COMM 499,183.40 499,183.40CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.27% MAT161571HF437035 COMM 14,350.00 14,350.00TOYOTA AUTO RECJPMorganChaseInterestTAOT 1.23% MAT89231LAD937035 COMM 363,664.20 363,664.20TOYOTA AUTO RECJPMorganChaseRedemptionTAOT 1.23% MAT89231LAD937065 COMM 5,625.00 5,625.00MERCEDES-BENZBANK OF AMERICAInterestMBALT 1.35% MAT58768MAC537065 COMM 196,892.21 196,892.21MERCEDES-BENZBANK OF AMERICARedemptionMBALT 1.35% MAT58768MAC537568 COMM 14,416.67 14,416.67TOYOTA AUTO RECBANK OF AMERICAInterestTAOT 1.73% MAT89238MAD037568 COMM 221,773.01 221,773.01TOYOTA AUTO RECBANK OF AMERICARedemptionTAOT 1.73% MAT89238MAD037862 COMM 46,466.67 46,466.67AMERICANROYAL BANK OFInterestAME 1.64% MAT02582JHG837862 COMM 618,164.37 618,164.37AMERICANROYAL BANK OFRedemptionAME 1.64% MAT02582JHG837976 COMM 23,520.00 23,520.00HONDA AUTOCITIGROUP GLOBALInterestHAROT 1.68% MAT43811BAC837976 COMM 534,573.18 534,573.18HONDA AUTOCITIGROUP GLOBALRedemptionHAROT 1.68% MAT43811BAC8

Totals for 07/15/2017 6,668,987.92 258,724.50 6,927,712.42

35802 COMM 12,500,000.00 12,500,000.00INTL BANK RECON &WELLS FARGORedemptionIBRD 0.9% MAT45905URF335802 COMM 56,250.00 56,250.00INTL BANK RECON &WELLS FARGOInterestIBRD 0.9% MAT45905URF337190 COMM 312,500.00 312,500.00FHLB NOTESBANK OF AMERICAInterestFEDERAL HOME3130AAE46

Totals for 07/16/2017 12,500,000.00 368,750.00 12,868,750.00

37975 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUJ135497 COMM 15,000,000.00 15,000,000.00FFCB NOTESKEYBANC CAPITALRedemptionFEDERAL FARM CR3133EDQM737974 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUH535497 COMM 75,000.00 75,000.00FFCB NOTESKEYBANC CAPITALInterestFEDERAL FARM CR3133EDQM735802 COMM 250.00 250.00INTL BANK RECON &WELLS FARGOInterestIBRD 0.9% MAT45905URF337443 COMM 150,000.00 150,000.00FHLMC NOTESKEYBANC CAPITALInterestFEDERAL HOME LN3137EAEE537443 COMM 18,333.33 -18,333.33 0.00FHLMC NOTESKEYBANC CAPITALAccr IntFEDERAL HOME LN3137EAEE537466 COMM 93,750.00 93,750.00FFCB NOTESDaiwa Capital MarketInterestFEDERAL FARM CR3133EG3X137466 COMM 15,104.17 -15,104.17 0.00FFCB NOTESDaiwa Capital MarketAccr IntFEDERAL FARM CR3133EG3X137628 COMM 156,250.00 156,250.00FFCB NOTESKEYBANC CAPITALInterestFEDERAL FARM CR3133EG3X137628 COMM 63,368.06 -63,368.06 0.00FFCB NOTESKEYBANC CAPITALAccr IntFEDERAL FARM CR3133EG3X136956 COMM 12,600.00 12,600.00MERCEDES -BENZCITIGROUP GLOBALInterestMBART 1.26% MAT58769BAD636956 COMM 286,321.22 286,321.22MERCEDES -BENZCITIGROUP GLOBALRedemptionMBART 1.26% MAT58769BAD637507 COMM 12,608.33 12,608.33JOHN DEEREBANK OF AMERICAInterestJDOT 1.78% MAT47787XAC137507 COMM 184,228.84 184,228.84JOHN DEEREBANK OF AMERICARedemptionJDOT 1.78% MAT47787XAC1

Totals for 07/17/2017 149,995,541.67 165,567,355.62 403,652.77 15,975,466.72

Portfolio SCL2AP


30



TotalCashInterest

PrincipalPaydowns


37977 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUK837975 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUJ136587 COMM 14,233.33 14,233.33HONDA AUTOJPMorganChaseInterestHAROT 1.22% MAT43814NAC936587 COMM 498,727.45 498,727.45HONDA AUTOJPMorganChaseRedemptionHAROT 1.22% MAT43814NAC937059 COMM 11,595.83 11,595.83HONDA AUTOBARCLAYS CAPITALInterestHAROT 1.21% MAT43814RAC037059 COMM 285,160.35 285,160.35HONDA AUTOBARCLAYS CAPITALRedemptionHAROT 1.21% MAT43814RAC0

Totals for 07/18/2017 149,995,541.67 150,783,887.80 25,829.16 814,175.29

37978 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUL637977 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUK8

Totals for 07/19/2017 149,995,541.67 150,000,000.00 4,458.33

37979 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUM437978 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUL637265 COMM 38,856.42 38,856.42FFCB NOTESINCAPITAL LLCInterestFFCB 0.859% MAT3133EGX6735064 COMM 506.88 506.88VOLKSWAGENJPMorganChaseInterestVALET 0.91% MAT92867RAC335064 COMM 364,975.76 364,975.76VOLKSWAGENJPMorganChaseRedemptionVALET 0.91% MAT92867RAC336274 COMM 29,680.79 29,680.79BMW VEHICLECREDIT SUISSEInterestBMWLT 1.4% MAT05581QAD036274 COMM 3,888,919.57 3,888,919.57BMW VEHICLECREDIT SUISSERedemptionBMWLT 1.4% MAT05581QAD036569 COMM 14,516.67 14,516.67BMW VEHICLEMERRILL LYNCHInterestBMWLT 1.34% MAT05581RAD836569 COMM 1,110,886.28 1,110,886.28BMW VEHICLEMERRILL LYNCHRedemptionBMWLT 1.34% MAT05581RAD837036 COMM 8,341.67 8,341.67BMW VEHICLEMIZUHOInterestBMWLT 1.43% MAT05582XAD437036 COMM 265,431.67 265,431.67BMW VEHICLEMIZUHORedemptionBMWLT 1.43% MAT05582XAD4

Totals for 07/20/2017 149,995,541.67 155,630,213.28 91,902.43 5,726,574.04

37980 COMM 149,986,625.01 -149,986,625.01GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUQ537701 COMM 50,000,000.00 50,000,000.00BANK OFBMO CAPITALRedemptionBMOCHI 0.95% MAT06427KS3237876 COMM 75,000,000.00 75,000,000.00FHLB NOTESCITIGROUP GLOBALRedemptionFHLB DISC NOTE313385JK337979 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUM436347 COMM 81,250.00 81,250.00FNMA NOTESCITIGROUP GLOBALInterestFEDERAL NATL MTG3135G0A7836361 COMM 162,500.00 162,500.00FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3135G0A7836383 COMM 81,250.00 81,250.00FNMA NOTESBARCLAYS CAPITALInterestFEDERAL NATL MTG3135G0A7836384 COMM 81,250.00 81,250.00FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3135G0A7837701 COMM 196,597.22 196,597.22BANK OFBMO CAPITALInterestBMOCHI 0.95% MAT06427KS3235986 COMM 3,072.89 3,072.89HONDA AUTOJPMorganChaseInterestHAROT 1.04% MAT43813NAC035986 COMM 427,137.60 427,137.60HONDA AUTOJPMorganChaseRedemptionHAROT 1.04% MAT43813NAC037615 COMM 23,650.00 23,650.00HONDA AUTOBANK OF AMERICAInterestHAROT 1.72% MAT43814TAC637615 COMM 445,268.18 445,268.18HONDA AUTOBANK OF AMERICARedemptionHAROT 1.72% MAT43814TAC6

Totals for 07/21/2017 149,986,625.01 275,872,405.78 629,570.11 126,515,350.88

37981 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUR337980 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUQ5

Portfolio SCL2AP


31



TotalCashInterest

PrincipalPaydowns


37841 COMM 31,400.00 31,400.00FFCB NOTESINCAPITAL LLCInterestFEDERAL FARM CR3133EHKH5

Totals for 07/24/2017 149,995,541.67 150,000,000.00 31,400.00 35,858.33

37982 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUS135942 COMM 10,000,000.00 10,000,000.00FHLMC NOTESWELLS FARGORedemptionFEDERAL HOME LN3134G3ZH637981 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUR335942 COMM 50,000.00 50,000.00FHLMC NOTESWELLS FARGOInterestFEDERAL HOME LN3134G3ZH637405 COMM 93,750.00 93,750.00FHLB NOTESMIZUHOInterestFEDERAL HOME3130AAQ4337405 COMM 4,166.67 -4,166.67 0.00FHLB NOTESMIZUHOAccr IntFEDERAL HOME3130AAQ4336893 COMM 9,666.67 9,666.67BMW VEHICLEJPMorganChaseInterestBMWOT 1.16% MAT05582QAD936893 COMM 258,957.36 258,957.36BMW VEHICLEJPMorganChaseRedemptionBMWOT 1.16% MAT05582QAD9

Totals for 07/25/2017 149,995,541.67 160,263,124.03 149,250.00 10,416,832.36

37984 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUT937982 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUS136902 COMM 78,750.00 78,750.00FNMA NOTESINCAPITAL LLCInterestFEDERAL NATL MTG3136G3A6237741 COMM 43,750.00 43,750.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134GBJJ237742 COMM 109,375.00 109,375.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134GBJJ2

Totals for 07/26/2017 149,995,541.67 150,000,000.00 231,875.00 236,333.33

37988 COMM 5,750,000.00 -5,750,000.00FHLMC NOTESINCAPITAL LLCPurchaseFEDERAL HOME LN3134GBYF337985 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LUU737143 COMM 55,000,000.00 55,000,000.00CHEVRONBANK OF AMERICARedemptionCHEVRO ZERO CPN16677JUT137984 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUT937378 COMM 50,750.00 50,750.00FFCB NOTESINCAPITAL LLCInterestFEDERAL FARM CR3133EG5D337380 COMM 95,000.00 95,000.00IBMROYAL BANK OFInterestINTERNATIONAL459200JN237669 COMM 75,000.00 75,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134GBGZ9

Totals for 07/27/2017 155,745,541.67 205,000,000.00 220,750.00 49,475,208.33

37987 COMM 99,991,083.34 -99,991,083.34GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LUX137986 COMM 49,995,541.67 -49,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JUX035556 COMM 25,000,000.00 25,000,000.00FHLMC NOTESCITIGROUP GLOBALRedemptionFEDERAL HOME LN3137EADJ537686 COMM 60,000,000.00 60,000,000.00APPLE INCBANK OF AMERICARedemptionAAPL DISC NOTE03785DUU837703 COMM 40,000,000.00 40,000,000.00FHLMC NOTESBARCLAYS CAPITALRedemptionFEDERAL HOME LN3134GBHF237985 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LUU735556 COMM 125,000.00 125,000.00FHLMC NOTESCITIGROUP GLOBALInterestFEDERAL HOME LN3137EADJ536505 COMM 171,875.00 171,875.00FNMA NOTESDEUTSCHE BANKInterestFEDERAL NATL MTG3135G0H6337703 COMM 180,000.00 180,000.00FHLMC NOTESBARCLAYS CAPITALInterestFEDERAL HOME LN3134GBHF2

Totals for 07/28/2017 149,986,625.01 275,000,000.00 476,875.00 125,490,249.99

37990 COMM 99,997,027.78 -99,997,027.78GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LV1037989 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JV1937397 COMM 60,000,000.00 60,000,000.00RABOBANKMERRILL LYNCHRedemptionRABO DISC NOTE21687AUX9

Portfolio SCL2AP


32



TotalCashInterest

PrincipalPaydowns


37629 COMM 50,000,000.00 50,000,000.00SOCIETEJPMorganChaseRedemptionSOCNAM 1.16% MAT83369YPE037986 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JUX037987 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LUX135887 COMM 103,125.00 103,125.00U.S. TREASURYCANTORInterestUNITED STATES912828VQ036088 COMM 64,487.50 64,487.50FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3136FTZZ536156 COMM 169,300.00 169,300.00ROYAL BANK OFROYAL BANK OFInterestRBC 1.693% MAT78009NVR436288 COMM 45,750.00 45,750.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A5Z7736289 COMM 45,750.00 45,750.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A5Z7736298 COMM 45,750.00 45,750.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A5Z7736308 COMM 91,500.00 91,500.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A5Z7736309 COMM 12,500.00 12,500.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G34W736310 COMM 45,750.00 45,750.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A5Z7736643 COMM 263,250.00 263,250.00INTL BANK RECON &BMO CAPITALInterestIBRD 1.17% MAT45905UVR237382 COMM 218,750.00 218,750.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME3130AANA237383 COMM 43,750.00 43,750.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME3130AANA237620 COMM 95,068.75 95,068.75FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3136FTZZ537620 COMM 31,161.42 -31,161.42 0.00FNMA NOTESKEYBANC CAPITALAccr IntFEDERAL NATL MTG3136FTZZ537629 COMM 199,777.78 199,777.78SOCIETEJPMorganChaseInterestSOCNAM 1.16% MAT83369YPE0

Totals for 07/31/2017 149,995,541.67 260,031,161.42 1,413,347.61 111,448,967.36

37993 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LV2837992 COMM 99,997,027.78 -99,997,027.78GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JV2737989 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JV1937990 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LV1037399 COMM 130,000.00 130,000.00FFCB NOTESINCAPITAL LLCInterestFFCB 1.3% MAT3133EG5Q4

Totals for 08/01/2017 149,995,541.67 150,000,000.00 130,000.00 134,458.33

37994 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LV3637992 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JV2737993 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LV2837079 COMM 100,000.00 100,000.00FARMER MACMIZUHOInterestFEDERAL AGRIC3132X0LA737253 COMM 87,500.00 87,500.00FNMA NOTESKEYBANC CAPITALInterestFNMA 0.875% MAT3135G0N3334292 COMM 8.32 8.32MORGAN STANLEYInterestMSTI 0.%SYS3429234292 COMM 8.32 -8.32MORGAN STANLEYPurchaseMSTI 0.%SYS3429237590 COMM 0.77 0.77JPM TE MMK FDJPMorganChaseInterestJPM TE 0.44%SYS3759037590 COMM 0.77 -0.77JPM TE MMK FDJPMorganChasePurchaseJPM TE 0.44%SYS37590

Totals for 08/02/2017 149,995,550.76 150,000,000.00 187,509.09 191,958.33

37995 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LV4437994 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LV3637404 COMM 116,250.00 116,250.00FFCB NOTESINCAPITAL LLCInterestFEDERAL FARM CR3133EG6C4

Portfolio SCL2AP


33



TotalCashInterest

PrincipalPaydowns


Totals for 08/03/2017 149,995,541.67 150,000,000.00 116,250.00 120,708.33

37996 COMM 149,986,625.01 -149,986,625.01GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LV7737995 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LV4436918 COMM 165,000.00 165,000.00APPLE INCMERRILL LYNCHInterestAPPLE INC, SR GLBL037833CB4

Totals for 08/04/2017 149,986,625.01 150,000,000.00 165,000.00 178,374.99

37997 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LV8537998 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JV8437996 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LV7735633 COMM 56,250.00 56,250.00IBMCITIGROUP GLOBALInterestIBM 1.125% MAT459200HZ735958 COMM 78,750.00 78,750.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A57G837372 COMM 153,125.00 153,125.00FHLB NOTESCITIGROUP GLOBALInterestFEDERAL HOME3130A8Y7237419 COMM 138,750.00 138,750.00MICROSOFT CORPBARCLAYS CAPITALInterestMICROSOFT CORP,594918BV5

Totals for 08/07/2017 99,997,027.78 150,000,000.00 426,875.00 50,429,847.22

37999 COMM 99,997,027.78 -99,997,027.78GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JV9237203 COMM 60,000,000.00 60,000,000.00Coca-Cola CoJPMorganChaseRedemptionKOPP ZERO CPN19121AV8137997 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LV8537998 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JV8435644 COMM 62,500.00 62,500.00IBMJEFFERIES & CO,InterestINTERNATIONAL459200HK036923 COMM 55,000.00 55,000.00MICROSOFT CORPMERRILL LYNCHInterestMICROSOFT CORP,594918BN3

Totals for 08/08/2017 99,997,027.78 160,000,000.00 117,500.00 60,120,472.22

38001 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVA038000 COMM 99,997,027.78 -99,997,027.78GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JVA937999 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JV92

Totals for 08/09/2017 149,995,541.67 100,000,000.00 -49,995,541.67

38003 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVB838002 COMM 99,997,027.78 -99,997,027.78GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JVB738000 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JVA938001 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVA036117 COMM 54,375.00 54,375.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME3130A3XL3

Totals for 08/10/2017 149,995,541.67 150,000,000.00 54,375.00 58,833.33

38004 COMM 149,986,625.01 -149,986,625.01GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVE237210 COMM 50,000,000.00 50,000,000.00CHEVRONBANK OF AMERICARedemptionCHEVRO ZERO CPN16677JVB938002 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JVB738003 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVB8

Totals for 08/11/2017 149,986,625.01 200,000,000.00 50,013,374.99

38006 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVF938004 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVE2

Portfolio SCL2AP


34



TotalCashInterest

PrincipalPaydowns


36584 COMM 77,250.00 77,250.00FFCB NOTESINCAPITAL LLCInterestFEDERAL FARM CR3133EFZN036989 COMM 112,500.00 112,500.00FHLMC NOTESKEYBANC CAPITALInterestFEDERAL HOME LN3137EAEC936992 COMM 56,250.00 56,250.00FHLMC NOTESKEYBANC CAPITALInterestFEDERAL HOME LN3137EAEC9

Totals for 08/14/2017 149,995,541.67 150,000,000.00 246,000.00 250,458.33

38007 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVG735528 COMM 25,000,000.00 25,000,000.00FHLB NOTESWELLS FARGORedemptionFEDERAL HOME3130A3RW635531 COMM 17,000,000.00 17,000,000.00FHLB NOTESWELLS FARGORedemptionFEDERAL HOME3130A3SZ835756 COMM 15,000,000.00 15,000,000.00FHLMC NOTESKEYBANC CAPITALRedemptionFEDERAL HOME LN3134G3B9038006 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVF935528 COMM 125,000.00 125,000.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A3RW635531 COMM 80,750.00 80,750.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A3SZ835756 COMM 65,625.00 65,625.00FHLMC NOTESKEYBANC CAPITALInterestFEDERAL HOME LN3134G3B9035865 COMM 88,803.75 88,803.75FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A4YA436753 COMM 4,333.33 4,333.33TOYOTA AUTO RECCITIGROUP GLOBALInterestTOYO 1.3% MAT89231UAD936881 COMM 175,200.00 175,200.00INTL BANK RECON &InterestIBRD 0.875% MAT459058FK436933 COMM 65,000.00 65,000.00BERKSHIREBANK OF AMERICAInterestBERKSHIRE084664CK535726 COMM 4,060.52 4,060.52JOHN DEERECITIGROUP GLOBALInterestJDOT 1.32% MAT47787UAD535726 COMM 425,954.56 425,954.56JOHN DEERECITIGROUP GLOBALRedemptionJDOT 1.32% MAT47787UAD535953 COMM 28,333.33 28,333.33CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.36% MAT161571GY435953 COMM 855,726.63 855,726.63CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.36% MAT161571GY436216 COMM 6,157.06 6,157.06JOHN DEEREROYAL BANK OFInterestJDOT 1.44% MAT47787WAC336216 COMM 404,790.44 404,790.44JOHN DEEREROYAL BANK OFRedemptionJDOT 1.44% MAT47787WAC336557 COMM 6,700.00 6,700.00NISSAN AUTOMERRILL LYNCHInterestNALT 1.34% MAT65478UAD136557 COMM 168,412.63 168,412.63NISSAN AUTOMERRILL LYNCHRedemptionNALT 1.34% MAT65478UAD136600 COMM 11,900.00 11,900.00JOHN DEEREMERRILL LYNCHInterestJDOT 1.36% MAT47788MAC436600 COMM 341,719.91 341,719.91JOHN DEEREMERRILL LYNCHRedemptionJDOT 1.36% MAT47788MAC436601 COMM 15,625.00 15,625.00TOYOTA AUTO RECMERRILL LYNCHInterestTAOT 1.25% MAT89237KAD536601 COMM 488,877.00 488,877.00TOYOTA AUTO RECMERRILL LYNCHRedemptionTAOT 1.25% MAT89237KAD536623 COMM 29,133.33 29,133.33MERCEDES-BENZBARCLAYS CAPITALInterestMBALT 1.52% MAT58768FAD836623 COMM 1,198,983.08 1,198,983.08MERCEDES-BENZBARCLAYS CAPITALRedemptionMBALT 1.52% MAT58768FAD836800 COMM 13,900.00 13,900.00HONDA AUTOMERRILL LYNCHInterestHAROT 1.39% MAT43814QAC236800 COMM 386,449.40 386,449.40HONDA AUTOMERRILL LYNCHRedemptionHAROT 1.39% MAT43814QAC236905 COMM 9,114.58 9,114.58JOHN DEEREROYAL BANK OFInterestJDOT 1.25% MAT47788NAC236905 COMM 262,778.47 262,778.47JOHN DEEREROYAL BANK OFRedemptionJDOT 1.25% MAT47788NAC236929 COMM 24,341.67 24,341.67CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.27% MAT161571HF436929 COMM 512,779.88 512,779.88CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.27% MAT161571HF436956 COMM 12,600.00 12,600.00MERCEDES -BENZCITIGROUP GLOBALInterestMBART 1.26% MAT58769BAD636956 COMM 294,647.17 294,647.17MERCEDES -BENZCITIGROUP GLOBALRedemptionMBART 1.26% MAT58769BAD637035 COMM 14,350.00 14,350.00TOYOTA AUTO RECJPMorganChaseInterestTAOT 1.23% MAT89231LAD937035 COMM 374,941.96 374,941.96TOYOTA AUTO RECJPMorganChaseRedemptionTAOT 1.23% MAT89231LAD9

Portfolio SCL2AP


35



TotalCashInterest

PrincipalPaydowns


37065 COMM 5,625.00 5,625.00MERCEDES-BENZBANK OF AMERICAInterestMBALT 1.35% MAT58768MAC537065 COMM 205,391.30 205,391.30MERCEDES-BENZBANK OF AMERICARedemptionMBALT 1.35% MAT58768MAC537507 COMM 12,608.33 12,608.33JOHN DEEREBANK OF AMERICAInterestJDOT 1.78% MAT47787XAC137507 COMM 189,730.81 189,730.81JOHN DEEREBANK OF AMERICARedemptionJDOT 1.78% MAT47787XAC137568 COMM 14,416.67 14,416.67TOYOTA AUTO RECBANK OF AMERICAInterestTAOT 1.73% MAT89238MAD037568 COMM 228,464.78 228,464.78TOYOTA AUTO RECBANK OF AMERICARedemptionTAOT 1.73% MAT89238MAD037862 COMM 46,466.67 46,466.67AMERICANROYAL BANK OFInterestAME 1.64% MAT02582JHG837862 COMM 635,629.37 635,629.37AMERICANROYAL BANK OFRedemptionAME 1.64% MAT02582JHG837976 COMM 39,200.00 39,200.00HONDA AUTOCITIGROUP GLOBALInterestHAROT 1.68% MAT43811BAC837976 COMM 550,142.62 550,142.62HONDA AUTOCITIGROUP GLOBALRedemptionHAROT 1.68% MAT43811BAC8

Totals for 08/15/2017 149,995,541.67 214,525,420.01 899,244.24 65,429,122.58

38008 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVH538007 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVG736768 COMM 93,750.00 93,750.00FFCB NOTESKEYBANC CAPITALInterestFEDERAL FARM CR3133EGAS4

Totals for 08/16/2017 149,995,541.67 150,000,000.00 93,750.00 98,208.33

38009 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVJ138008 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVH5

Totals for 08/17/2017 149,995,541.67 150,000,000.00 4,458.33

38010 COMM 149,986,625.01 -149,986,625.01GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVM438009 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVJ136587 COMM 14,233.33 14,233.33HONDA AUTOJPMorganChaseInterestHAROT 1.22% MAT43814NAC936587 COMM 517,106.27 517,106.27HONDA AUTOJPMorganChaseRedemptionHAROT 1.22% MAT43814NAC937059 COMM 11,595.83 11,595.83HONDA AUTOBARCLAYS CAPITALInterestHAROT 1.21% MAT43814RAC037059 COMM 293,734.41 293,734.41HONDA AUTOBARCLAYS CAPITALRedemptionHAROT 1.21% MAT43814RAC0

Totals for 08/18/2017 149,986,625.01 150,810,840.68 25,829.16 850,044.83

38011 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVN238010 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVM437265 COMM 40,620.59 40,620.59FFCB NOTESINCAPITAL LLCInterestFFCB 0.859% MAT3133EGX6735064 COMM 199.22 199.22VOLKSWAGENJPMorganChaseInterestVALET 0.91% MAT92867RAC335064 COMM 208,492.42 208,492.42VOLKSWAGENJPMorganChaseRedemptionVALET 0.91% MAT92867RAC335986 COMM 2,697.15 2,697.15HONDA AUTOJPMorganChaseInterestHAROT 1.04% MAT43813NAC035986 COMM 391,437.56 391,437.56HONDA AUTOJPMorganChaseRedemptionHAROT 1.04% MAT43813NAC036274 COMM 25,149.91 25,149.91BMW VEHICLECREDIT SUISSEInterestBMWLT 1.4% MAT05581QAD036274 COMM 4,255,598.99 4,255,598.99BMW VEHICLECREDIT SUISSERedemptionBMWLT 1.4% MAT05581QAD036569 COMM 14,566.38 14,566.38BMW VEHICLEMERRILL LYNCHInterestBMWLT 1.34% MAT05581RAD836569 COMM 423,019.98 423,019.98BMW VEHICLEMERRILL LYNCHRedemptionBMWLT 1.34% MAT05581RAD837036 COMM 8,341.67 8,341.67BMW VEHICLEMIZUHOInterestBMWLT 1.43% MAT05582XAD437036 COMM 276,534.11 276,534.11BMW VEHICLEMIZUHORedemptionBMWLT 1.43% MAT05582XAD4

Portfolio SCL2AP


36



TotalCashInterest

PrincipalPaydowns


37615 COMM 23,650.00 23,650.00HONDA AUTOBANK OF AMERICAInterestHAROT 1.72% MAT43814TAC637615 COMM 460,350.21 460,350.21HONDA AUTOBANK OF AMERICARedemptionHAROT 1.72% MAT43814TAC6

Totals for 08/21/2017 149,995,541.67 156,015,433.27 115,224.92 6,135,116.52

38012 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVP738011 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVN236576 COMM 96,875.00 96,875.00FNMA NOTESINCAPITAL LLCInterestFEDERAL NATL MTG3136G2WX137454 COMM 140,000.00 140,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G3A91

Totals for 08/22/2017 149,995,541.67 150,000,000.00 236,875.00 241,333.33

38013 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVQ538012 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVP736580 COMM 32,500.00 32,500.00APPLE INCJPMorganChaseInterestAPPLE INC, SR GLBL037833BN9

Totals for 08/23/2017 149,995,541.67 150,000,000.00 32,500.00 36,958.33

38014 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVR338013 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVQ536583 COMM 93,750.00 93,750.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G8JT737817 COMM 75,000.00 75,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134GBPM8

Totals for 08/24/2017 149,995,541.67 150,000,000.00 168,750.00 173,208.33

38015 COMM 149,986,625.01 -149,986,625.01GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVU637133 COMM 60,000,000.00 60,000,000.00CANADIAN IMP BKMIZUHORedemptionCIBC 1.24% MAT13606A5U837313 COMM 60,000,000.00 60,000,000.00JP Morgan SecuritiesJPMorganChaseRedemptionJPMSCC ZERO CPN46640PVR138014 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVR337133 COMM 558,000.00 558,000.00CANADIAN IMP BKMIZUHOInterestCIBC 1.24% MAT13606A5U836893 COMM 9,666.67 9,666.67BMW VEHICLEJPMorganChaseInterestBMWOT 1.16% MAT05582QAD936893 COMM 266,708.68 266,708.68BMW VEHICLEJPMorganChaseRedemptionBMWOT 1.16% MAT05582QAD9

Totals for 08/25/2017 149,986,625.01 270,266,708.68 567,666.67 120,847,750.34

38016 COMM 8,400,000.00 -8,400,000.00FHLB NOTESINCAPITAL LLCPurchaseFEDERAL HOME3130ABZE938018 COMM 74,997,770.83 -74,997,770.83GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVV438017 COMM 74,997,770.83 -74,997,770.83GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JVV335943 COMM 10,000,000.00 10,000,000.00FNMA NOTESBNP PARIBASRedemptionFEDERAL NATL MTG3135G0MZ336143 COMM 10,000,000.00 10,000,000.00FHLB NOTESBARCLAYS CAPITALRedemptionFHLB 0.75% MAT3130A62S536144 COMM 15,000,000.00 15,000,000.00FHLB NOTESDEUTSCHE BANKRedemptionFHLB 0.75% MAT3130A62S537767 COMM 45,000,000.00 45,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385KZ838015 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVU635447 COMM 56,500.00 56,500.00FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3135G0VC435454 COMM 33,900.00 33,900.00FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3135G0VC435943 COMM 43,750.00 43,750.00FNMA NOTESBNP PARIBASInterestFEDERAL NATL MTG3135G0MZ336143 COMM 37,500.00 37,500.00FHLB NOTESBARCLAYS CAPITALInterestFHLB 0.75% MAT3130A62S536144 COMM 56,250.00 56,250.00FHLB NOTESDEUTSCHE BANKInterestFHLB 0.75% MAT3130A62S5

Portfolio SCL2AP


37



TotalCashInterest

PrincipalPaydowns


36393 COMM 25,000.00 25,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G74S736590 COMM 26,250.00 26,250.00FHLMC NOTESCITIGROUP GLOBALInterestFEDERAL HOME LN3134G8L9836591 COMM 26,250.00 26,250.00FHLMC NOTESFTN FINANCIALInterestFEDERAL HOME LN3134G8L9836592 COMM 26,250.00 26,250.00FHLMC NOTESDEUTSCHE BANKInterestFEDERAL HOME LN3134G8L9836593 COMM 26,250.00 26,250.00FHLMC NOTESWELLS FARGOInterestFEDERAL HOME LN3134G8L9837578 COMM 37,187.50 37,187.50FHLMC NOTESINCAPITAL LLCInterestFHLMC 2.125% MAT3134GA5T737579 COMM 212,500.00 212,500.00FHLMC NOTESINCAPITAL LLCInterestFHLMC 2.125% MAT3134GA5T737580 COMM 83,625.00 83,625.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134GA6W9

Totals for 08/28/2017 158,395,541.66 230,000,000.00 691,212.50 72,295,670.84

38019 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVW238017 COMM 75,000,000.00 75,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JVV338018 COMM 75,000,000.00 75,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVV4

Totals for 08/29/2017 149,995,541.67 150,000,000.00 4,458.33

38021 COMM 149,996,250.00 -149,996,250.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385LC838020 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LVX037121 COMM 50,000,000.00 50,000,000.00TORONTOMIZUHORedemptionTORDOM 1.14% MAT89113WNA038019 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVW237121 COMM 446,500.00 446,500.00TORONTOMIZUHOInterestTORDOM 1.14% MAT89113WNA0

Totals for 08/30/2017 299,991,791.67 200,000,000.00 446,500.00 -99,545,291.67

38023 COMM 99,997,027.78 -99,997,027.78GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LW1938022 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JW1837139 COMM 50,000,000.00 50,000,000.00BANK OFBMO CAPITALRedemptionBMOCHI 1.26% MAT06427KHS937806 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JVX938020 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LVX038021 COMM 150,000,000.00 150,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385LC837139 COMM 481,250.00 481,250.00BANK OFBMO CAPITALInterestBMOCHI 1.26% MAT06427KHS9

Totals for 08/31/2017 149,995,541.67 400,000,000.00 481,250.00 250,485,708.33

38024 COMM 3,006,120.00 -3,006,120.00FFCB NOTESINCAPITAL LLCPurchaseFEDERAL FARM CR3133EHWM138025 COMM 5,000,000.00 -5,000,000.00FFCB NOTESINCAPITAL LLCPurchaseFEDERAL FARM CR3133EHWM138026 COMM 7,015,610.00 -7,015,610.00FFCB NOTESINCAPITAL LLCPurchaseFEDERAL FARM CR3133EHWM138027 COMM 149,982,166.68 -149,982,166.68GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JW5938022 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JW1838023 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LW1937164 COMM 97,224.83 97,224.83BANK OF NOVAROYAL BANK OFInterestBNS 1.25417% MAT06417GQY7

Totals for 09/01/2017 165,003,896.68 150,000,000.00 97,224.83 -14,906,671.85

38029 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LW6838028 COMM 99,997,027.78 -99,997,027.78GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JW6738027 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JW59

Portfolio SCL2AP


38



TotalCashInterest

PrincipalPaydowns


35694 COMM 68,250.00 68,250.00CHEVRON CORP.BARCLAYS CAPITALInterestCHEVRON CORP166764AV237170 COMM 187,585.44 187,585.44TOYOTA MOTORBANK OF AMERICAInterestTOYO 0.19167% MAT89236TDL637502 COMM 152,000.00 152,000.00FFCB NOTESINCAPITAL LLCInterestFEDERAL FARM CR3133EHBA037503 COMM 79,640.00 79,640.00CHEVRON CORP.CITIGROUP GLOBALInterestCHEVRON CORP166764BP434292 COMM 9.63 9.63MORGAN STANLEYInterestMSTI 0.%SYS3429234292 COMM 9.63 -9.63MORGAN STANLEYPurchaseMSTI 0.%SYS3429237590 COMM 0.89 0.89JPM TE MMK FDJPMorganChaseInterestJPM TE 0.44%SYS3759037590 COMM 0.89 -0.89JPM TE MMK FDJPMorganChasePurchaseJPM TE 0.44%SYS37590

Totals for 09/05/2017 149,995,552.19 150,000,000.00 487,485.96 491,933.77

38031 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LW7638030 COMM 99,997,027.78 -99,997,027.78GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JW7538028 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JW6738029 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LW6835710 COMM 326,250.00 326,250.00EXXON MOBILJPMorganChaseInterestEXXON MOBIL30231GAL635847 COMM 61,250.00 61,250.00FNMA NOTESBREAN CAPITAL LLCInterestFEDERAL NATL MTG3135G0UU535856 COMM 127,610.00 127,610.00FNMA NOTESBREAN CAPITAL LLCInterestFEDERAL NATL MTG3135G0UU5

Totals for 09/06/2017 149,995,541.67 150,000,000.00 515,110.00 519,568.33

38032 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LW8438030 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JW7538031 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LW76

Totals for 09/07/2017 149,995,541.67 150,000,000.00 4,458.33

38033 COMM 21,929,380.00 -21,929,380.00FHLB NOTESBARCLAYS CAPITALPurchaseFEDERAL HOME3130ACE2638035 COMM 149,986,625.01 -149,986,625.01GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWB738032 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LW8435867 COMM 93,750.00 93,750.00FHLB NOTESUBS FINANCEInterestFEDERAL HOME313378QK036707 COMM 150,112.50 150,112.50FHLB NOTESMERRILL LYNCHInterestFEDERAL HOME3133782M2

Totals for 09/08/2017 171,916,005.01 150,000,000.00 243,862.50 -21,672,142.51

38036 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWC538035 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWB735922 COMM 68,750.00 68,750.00FHLB NOTESBREAN CAPITAL LLCInterestFEDERAL HOME313378A4336053 COMM 34,375.00 34,375.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313378A4336059 COMM 34,375.00 34,375.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313378A4336735 COMM 137,500.00 137,500.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313378A4336993 COMM 134,062.50 134,062.50FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME313380WG837022 COMM 82,500.00 82,500.00FHLB NOTESInterestFEDERAL HOME313380WG837054 COMM 68,750.00 68,750.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313380WG837072 COMM 95,287.50 95,287.50FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313380WG837726 COMM 281,250.00 281,250.00FHLB NOTESKEYBANC CAPITALInterestFHLB 2.25% MAT313378CR0

Portfolio SCL2AP


39



TotalCashInterest

PrincipalPaydowns


37726 COMM 59,375.00 -59,375.00 0.00FHLB NOTESKEYBANC CAPITALAccr IntFHLB 2.25% MAT313378CR0

Totals for 09/11/2017 149,995,541.67 150,059,375.00 877,475.00 941,308.33

38037 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWD338036 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWC537711 COMM 226,275.00 226,275.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313382K6937711 COMM 38,969.58 -38,969.58 0.00FHLB NOTESKEYBANC CAPITALAccr IntFEDERAL HOME313382K69

Totals for 09/12/2017 149,995,541.67 150,038,969.58 187,305.42 230,733.33

38039 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWE138037 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWD335826 COMM 94,600.00 94,600.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME313383VN835827 COMM 251,550.00 251,550.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313383VN836756 COMM 140,625.00 140,625.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME313378J7736760 COMM 56,250.00 56,250.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME313378J7736886 COMM 140,625.00 140,625.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313378J7737207 COMM 46,000.00 46,000.00FHLB VARIABLEDEUTSCHE BANKInterestFHLBVR 0.855% MAT3130A8BJ137778 COMM 131,250.00 131,250.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313378J7737778 COMM 32,812.50 -32,812.50 0.00FHLB NOTESKEYBANC CAPITALAccr IntFEDERAL HOME313378J77

Totals for 09/13/2017 149,995,541.67 150,032,812.50 828,087.50 865,358.33

38040 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWF838039 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWE136228 COMM 28,125.00 28,125.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A6AE736440 COMM 110,000.00 110,000.00FFCB NOTESDaiwa Capital MarketInterestFEDERAL FARM CR3133EFSG336441 COMM 82,500.00 82,500.00FFCB NOTESWELLS FARGOInterestFEDERAL FARM CR3133EFSG336508 COMM 200,000.00 200,000.00FHLB NOTESBREAN CAPITAL LLCInterestFEDERAL HOME313375K4837626 COMM 112,500.00 112,500.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME3130A6AE737626 COMM 10,625.00 -10,625.00 0.00FHLB NOTESINCAPITAL LLCAccr IntFEDERAL HOME3130A6AE7

Totals for 09/14/2017 149,995,541.67 150,010,625.00 522,500.00 537,583.33

38041 COMM 149,986,625.01 -149,986,625.01GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWJ038040 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWF836620 COMM 42,500.00 42,500.00BERKSHIREJPMorganChaseInterestBERKSHIRE084664CG436753 COMM 4,333.33 4,333.33TOYOTA AUTO RECCITIGROUP GLOBALInterestTOYO 1.3% MAT89231UAD936896 COMM 31,250.00 31,250.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A7L3735726 COMM 3,584.77 3,584.77JOHN DEERECITIGROUP GLOBALInterestJDOT 1.32% MAT47787UAD535726 COMM 335,830.61 335,830.61JOHN DEERECITIGROUP GLOBALRedemptionJDOT 1.32% MAT47787UAD535953 COMM 28,333.33 28,333.33CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.36% MAT161571GY435953 COMM 883,551.09 883,551.09CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.36% MAT161571GY436216 COMM 5,656.89 5,656.89JOHN DEEREROYAL BANK OFInterestJDOT 1.44% MAT47787WAC336216 COMM 329,695.87 329,695.87JOHN DEEREROYAL BANK OFRedemptionJDOT 1.44% MAT47787WAC3

Portfolio SCL2AP


40



TotalCashInterest

PrincipalPaydowns


36557 COMM 6,700.00 6,700.00NISSAN AUTOMERRILL LYNCHInterestNALT 1.34% MAT65478UAD136557 COMM 173,457.83 173,457.83NISSAN AUTOMERRILL LYNCHRedemptionNALT 1.34% MAT65478UAD136600 COMM 11,900.00 11,900.00JOHN DEEREMERRILL LYNCHInterestJDOT 1.36% MAT47788MAC436600 COMM 353,389.72 353,389.72JOHN DEEREMERRILL LYNCHRedemptionJDOT 1.36% MAT47788MAC436601 COMM 15,625.00 15,625.00TOYOTA AUTO RECMERRILL LYNCHInterestTAOT 1.25% MAT89237KAD536601 COMM 505,549.30 505,549.30TOYOTA AUTO RECMERRILL LYNCHRedemptionTAOT 1.25% MAT89237KAD536623 COMM 29,133.33 29,133.33MERCEDES-BENZBARCLAYS CAPITALInterestMBALT 1.52% MAT58768FAD836623 COMM 1,263,115.51 1,263,115.51MERCEDES-BENZBARCLAYS CAPITALRedemptionMBALT 1.52% MAT58768FAD836800 COMM 13,900.00 13,900.00HONDA AUTOMERRILL LYNCHInterestHAROT 1.39% MAT43814QAC236800 COMM 399,784.59 399,784.59HONDA AUTOMERRILL LYNCHRedemptionHAROT 1.39% MAT43814QAC236905 COMM 9,114.58 9,114.58JOHN DEEREROYAL BANK OFInterestJDOT 1.25% MAT47788NAC236905 COMM 271,568.29 271,568.29JOHN DEEREROYAL BANK OFRedemptionJDOT 1.25% MAT47788NAC236929 COMM 24,341.67 24,341.67CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.27% MAT161571HF436929 COMM 526,795.55 526,795.55CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.27% MAT161571HF436956 COMM 12,600.00 12,600.00MERCEDES -BENZCITIGROUP GLOBALInterestMBART 1.26% MAT58769BAD636956 COMM 303,276.22 303,276.22MERCEDES -BENZCITIGROUP GLOBALRedemptionMBART 1.26% MAT58769BAD637035 COMM 14,350.00 14,350.00TOYOTA AUTO RECJPMorganChaseInterestTAOT 1.23% MAT89231LAD937035 COMM 386,692.64 386,692.64TOYOTA AUTO RECJPMorganChaseRedemptionTAOT 1.23% MAT89231LAD937065 COMM 5,625.00 5,625.00MERCEDES-BENZBANK OF AMERICAInterestMBALT 1.35% MAT58768MAC537065 COMM 214,529.49 214,529.49MERCEDES-BENZBANK OF AMERICARedemptionMBALT 1.35% MAT58768MAC537507 COMM 12,608.33 12,608.33JOHN DEEREBANK OF AMERICAInterestJDOT 1.78% MAT47787XAC137507 COMM 195,420.57 195,420.57JOHN DEEREBANK OF AMERICARedemptionJDOT 1.78% MAT47787XAC137568 COMM 14,416.67 14,416.67TOYOTA AUTO RECBANK OF AMERICAInterestTAOT 1.73% MAT89238MAD037568 COMM 235,392.69 235,392.69TOYOTA AUTO RECBANK OF AMERICARedemptionTAOT 1.73% MAT89238MAD037862 COMM 46,466.67 46,466.67AMERICANROYAL BANK OFInterestAME 1.64% MAT02582JHG837862 COMM 653,557.53 653,557.53AMERICANROYAL BANK OFRedemptionAME 1.64% MAT02582JHG837976 COMM 39,200.00 39,200.00HONDA AUTOCITIGROUP GLOBALInterestHAROT 1.68% MAT43811BAC837976 COMM 566,165.08 566,165.08HONDA AUTOCITIGROUP GLOBALRedemptionHAROT 1.68% MAT43811BAC8

Totals for 09/15/2017 149,986,625.01 157,597,772.58 371,639.57 7,982,787.14

38043 COMM 99,997,027.78 -99,997,027.78GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWK738042 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JWK638041 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWJ035814 COMM 234,375.00 234,375.00FNMA NOTESBMO CAPITALInterestFEDERAL NATL MTG3135G0YM937509 COMM 27,750.00 27,750.00FNMA NOTESINCAPITAL LLCInterestFEDERAL NATL MTG3136G4MD237548 COMM 143,611.11 143,611.11FHLB NOTESBANK OF AMERICAInterestFHLB 1.4918% MAT3130AAXX137549 COMM 143,611.11 143,611.11FHLB NOTESDEUTSCHE BANKInterestFHLB 1.4918% MAT3130AAXX137614 COMM 179,513.89 179,513.89FHLB NOTESJEFFERIES & CO,InterestFHLB 1.4918% MAT3130AAXX137614 COMM 17,187.50 -17,187.50 0.00FHLB NOTESJEFFERIES & CO,Accr IntFHLB 1.4918% MAT3130AAXX136587 COMM 14,272.69 14,272.69HONDA AUTOJPMorganChaseInterestHAROT 1.22% MAT43814NAC936587 COMM 276,860.04 276,860.04HONDA AUTOJPMorganChaseRedemptionHAROT 1.22% MAT43814NAC9

Portfolio SCL2AP


41



TotalCashInterest

PrincipalPaydowns


37059 COMM 11,595.83 11,595.83HONDA AUTOBARCLAYS CAPITALInterestHAROT 1.21% MAT43814RAC037059 COMM 302,643.21 302,643.21HONDA AUTOBARCLAYS CAPITALRedemptionHAROT 1.21% MAT43814RAC0

Totals for 09/18/2017 149,995,541.67 150,596,690.75 737,542.13 1,338,691.21

38045 COMM 99,997,027.78 -99,997,027.78GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWL538044 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JWL438042 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JWK638043 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWK736407 COMM 55,000.00 55,000.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A4PA437656 COMM 109,375.00 109,375.00FHLB NOTESMIZUHOInterestFEDERAL HOME3130A7CX137656 COMM 9,722.22 -9,722.22 0.00FHLB NOTESMIZUHOAccr IntFEDERAL HOME3130A7CX1

Totals for 09/19/2017 149,995,541.67 150,009,722.22 154,652.78 168,833.33

38046 COMM 9,969,300.00 -9,969,300.00FFCB NOTESINCAPITAL LLCPurchaseFEDERAL FARM CR3133EHZA438047 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWM335750 COMM 16,365,000.00 16,365,000.00FNMA NOTESKEYBANC CAPITALRedemptionFEDERAL NATL MTG3135G0PP238044 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JWL438045 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWL535750 COMM 81,825.00 81,825.00FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3135G0PP237265 COMM 40,704.38 40,704.38FFCB NOTESINCAPITAL LLCInterestFFCB 0.859% MAT3133EGX6737566 COMM 97,693.75 97,693.75FFCB NOTESINCAPITAL LLCInterestFEDERAL FARM CR3133EHCX937574 COMM 181,250.00 181,250.00FFCB NOTESKEYBANC CAPITALInterestFEDERAL FARM CR3133EHCX936274 COMM 20,184.02 20,184.02BMW VEHICLECREDIT SUISSEInterestBMWLT 1.4% MAT05581QAD036274 COMM 4,201,286.05 4,201,286.05BMW VEHICLECREDIT SUISSERedemptionBMWLT 1.4% MAT05581QAD036569 COMM 14,156.95 14,156.95BMW VEHICLEMERRILL LYNCHInterestBMWLT 1.34% MAT05581RAD836569 COMM 959,102.91 959,102.91BMW VEHICLEMERRILL LYNCHRedemptionBMWLT 1.34% MAT05581RAD837036 COMM 8,341.67 8,341.67BMW VEHICLEMIZUHOInterestBMWLT 1.43% MAT05582XAD437036 COMM 288,431.90 288,431.90BMW VEHICLEMIZUHORedemptionBMWLT 1.43% MAT05582XAD4

Totals for 09/20/2017 159,964,841.67 171,813,820.86 444,155.77 12,293,134.96

38048 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWN138047 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWM335986 COMM 2,357.45 2,357.45HONDA AUTOJPMorganChaseInterestHAROT 1.04% MAT43813NAC035986 COMM 388,831.34 388,831.34HONDA AUTOJPMorganChaseRedemptionHAROT 1.04% MAT43813NAC037615 COMM 23,650.00 23,650.00HONDA AUTOBANK OF AMERICAInterestHAROT 1.72% MAT43814TAC637615 COMM 476,140.68 476,140.68HONDA AUTOBANK OF AMERICARedemptionHAROT 1.72% MAT43814TAC6

Totals for 09/21/2017 149,995,541.67 150,864,972.02 26,007.45 895,437.80

38049 COMM 149,986,625.01 -149,986,625.01GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWR238048 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWN1

Totals for 09/22/2017 149,986,625.01 150,000,000.00 13,374.99

Portfolio SCL2AP


42



TotalCashInterest

PrincipalPaydowns


38051 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWS038050 COMM 99,997,027.78 -99,997,027.78GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JWS935678 COMM 10,000,000.00 10,000,000.00FFCB NOTESBNP PARIBASRedemptionFEDERAL FARM CR3133EEQX135683 COMM 15,000,000.00 15,000,000.00FFCB NOTESKEYBANC CAPITALRedemptionFEDERAL FARM CR3133EEQX135757 COMM 20,000,000.00 20,000,000.00FFCB NOTESBNP PARIBASRedemptionFEDERAL FARM CR3133EEQX135872 COMM 10,000,000.00 10,000,000.00FFCB NOTESDaiwa Capital MarketRedemptionFEDERAL FARM CR3133EEQX138049 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWR235678 COMM 50,000.00 50,000.00FFCB NOTESBNP PARIBASInterestFEDERAL FARM CR3133EEQX135683 COMM 75,000.00 75,000.00FFCB NOTESKEYBANC CAPITALInterestFEDERAL FARM CR3133EEQX135757 COMM 100,000.00 100,000.00FFCB NOTESBNP PARIBASInterestFEDERAL FARM CR3133EEQX135872 COMM 50,000.00 50,000.00FFCB NOTESDaiwa Capital MarketInterestFEDERAL FARM CR3133EEQX136966 COMM 103,125.00 103,125.00JPMORGANJPMorganChaseInterestJPMCC 1.65% MAT48125LRG937344 COMM 85,000.00 85,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G3K9036893 COMM 9,666.67 9,666.67BMW VEHICLEJPMorganChaseInterestBMWOT 1.16% MAT05582QAD936893 COMM 274,773.15 274,773.15BMW VEHICLEJPMorganChaseRedemptionBMWOT 1.16% MAT05582QAD9

Totals for 09/25/2017 149,995,541.67 205,274,773.15 472,791.67 55,752,023.15

38052 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWT838050 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JWS938051 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWS0

Totals for 09/26/2017 149,995,541.67 150,000,000.00 4,458.33

38054 COMM 99,997,027.78 -99,997,027.78GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWU538053 COMM 49,998,513.89 -49,998,513.89GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JWU435755 COMM 20,000,000.00 20,000,000.00FHLMC NOTESMERRILL LYNCHRedemptionFEDERAL HOME LN3134G3M3138052 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWT835755 COMM 100,000.00 100,000.00FHLMC NOTESMERRILL LYNCHInterestFEDERAL HOME LN3134G3M3137103 COMM 177,000.00 177,000.00FNMA NOTESINCAPITAL LLCInterestFEDERAL NATL MTG3135G0Q3037305 COMM 193,750.00 193,750.00FFCB NOTESKEYBANC CAPITALInterestFEDERAL FARM CR3133EG2D6

Totals for 09/27/2017 149,995,541.67 170,000,000.00 470,750.00 20,475,208.33

38055 COMM 6,000,000.00 -6,000,000.00FHLMC NOTESINCAPITAL LLCPurchaseFEDERAL HOME LN3134GBF6438056 COMM 149,995,541.67 -149,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JWV235892 COMM 5,000,000.00 5,000,000.00FFCB NOTESPIPER JAFFRAY &RedemptionFEDERAL FARM CR3133ECBX137632 COMM 30,000,000.00 30,000,000.00JP Morgan SecuritiesJPMorganChaseRedemptionJPMSCC DISC NOTE46640PWU338053 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JWU438054 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWU535892 COMM 20,500.00 20,500.00FFCB NOTESPIPER JAFFRAY &InterestFEDERAL FARM CR3133ECBX138033 COMM 16,805.56 16,805.56FHLB NOTESBARCLAYS CAPITALInterestFEDERAL HOME3130ACE26

Totals for 09/28/2017 155,995,541.67 185,000,000.00 37,305.56 29,041,763.89

38057 COMM 14,972,850.00 -14,972,850.00FHLMC NOTESKEYBANC CAPITALPurchaseFEDERAL HOME LN3137EAEJ4

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TotalCashInterest

PrincipalPaydowns


38058 COMM 149,987,749.50 -149,987,749.50FANNIE MAEMIZUHOPurchaseFNDN DISC NOTE313589ML438059 COMM 49,995,541.67 -49,995,541.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JX2538056 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JWV236641 COMM 125,000.00 125,000.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME3130A7HM036644 COMM 42,700.00 42,700.00FHLMC NOTESINCAPITAL LLCInterestFHLMC 1.22% MAT3134G8TV137018 COMM 64,000.00 64,000.00FFCB NOTESINCAPITAL LLCInterestFEDERAL FARM CR3133EGWH437518 COMM 250,000.00 250,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134GBBM3

Totals for 09/29/2017 214,956,141.17 150,000,000.00 481,700.00 -64,474,441.17

36648 COMM 150,000.00 150,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G8S8336649 COMM 135,000.00 135,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G8PD536650 COMM 25,076.25 25,076.25FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G8PD536651 COMM 43,031.25 43,031.25FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G8PD536653 COMM 137,600.00 137,600.00INTL BANK RECON &MERRILL LYNCHInterestIBRD 1.375% MAT459058FA636654 COMM 84,375.00 84,375.00FHLMC NOTESSUNTRUSTInterestFEDERAL HOME LN3134G8PD536880 COMM 46,875.00 46,875.00FNMA NOTESINCAPITAL LLCInterestFEDERAL NATL MTG3136G3SY237017 COMM 145,000.00 145,000.00FNMA NOTESBREAN CAPITAL LLCInterestFEDERAL NATL MTG3136G4BV4

Totals for 10/02/2017 766,957.50 766,957.50

Grand Total 9,631,740,386.7 10,815,251,738. 18,714,278.00 1,202,225,630.1

Portfolio SCL2AP


44

quarterly investment report - santa clara county, california...sep 30, 2017 · quarterly...

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