HomeMy WebLinkAbout98.02-24-2016 - Board Item 08 - Quarterly Financial Report.pdf Orange County Sanitation District
Second Quarter
Financial Report _ - -
for the period ended December 31 , 2015
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Orange County,California
Table of Contents
ExecutiveSummary...................................................................................................1
Budget Review
Section 1 — Budget Review Summary...................................................................................1
Section 2—Operating Budget Review
Chart of the Cost per Million Gallons by Department—Budget and Actual..............1
Chart of the Net Expenses by Major Category— Budget and Actual........................1
Divisional Contributions to Cost Per Million Gallons ................................................2
Comparison of Expenses by Department.................................................................3
Summary of Collection, Treatment, and Disposal Expenses by Major Category.....4
Summary of District-Wide Revenues .......................................................................5
Summary of Collection, Treatment and Disposal Revenues....................................5
Summary of Collection, Treatment, and Disposal Expenses by Line Item...............6
Summary of Collection, Treatment, and Disposal Expenses by Process.................8
Chartof Staffing Trends...........................................................................................9
Section 3—Capital Improvement Program Budget Review
Capital Improvement Program Graphs by Type and Funding Source......................1
Summary of Capital Improvement Construction Requirements - Current Year........2
Summary of Capital Improvement Construction Requirements - Project Life..........6
Section 4—Capital Assets Schedule & Debt Service Budget Review
CapitalAssets Schedule ..........................................................................................1
Debt Service Budget Review....................................................................................1
Section 5—Self Insurance Budget Review
General Liability and Property Fund Budget Review................................................1
Workers' Compensation Fund Budget Review.........................................................2
Quarterly Treasurers Repo rt........................................................................................1
QuarterlyCOP Repo rt.................................................................................................1
FY 2015-16 Second Quarter Financial Report
This Page Intentionally Left Blank
Executive Summary
Consolidated Financial Reports
For the Second Quarter Ended
December 31, 2015
Included in this consolidated report are the following quarterly financial reports for the
period ended December 31, 2015:
• Second Quarter Budget Review:
The Budget Review Summary provides the Directors, staff, and the general public
with a comprehensive overview of the financial results of the Sanitation District
through the second quarter ended December 31, 2015.
Contained within this Budget Review is the budget-to-actual status of the
Collections, Treatment and Disposal Operations, the Capital Improvement
Program, the Self-Insurance Program, and Debt Service Outlays. Also included
is a Capital Assets Schedule as of December 31, 2015.
Various detail information can be found in this report. In summary:
a) Most major expense categories are anticipated to be at or below budget.
b) Total revenues approximate the budget at 51.5 percent. Except for Permit
Fees and Interest Earnings, all other major revenue sources are currently
tracking close to or exceeding revenue estimates. Overall, total revenues are
projected to approximate budget at year-end. More detailed information on
District revenues is provided within Section 1 — Pages 3 through 5.
c) Collection, Treatment and Disposal Costs:
As indicated within the Budget Review Summary of this report, the net
operating requirements through the second quarter of $71.9 million is
currently tracking at 48.2 percent of the $149.3 million budget. In addition,
net operating expenses have decreased $1.1 million or 1.5 percent in
comparison with the same period last year. Overall, staff expects the total
operating costs to remain within budget throughout the remainder of the year.
More detailed information on District operating expenses is provided within
Section 1- Pages 1 through 3.
The total cost per million gallons is approximately $2,116.5 based on flows of
184.6 million gallons per day. This is $71.5 per million gallons, or 3.5 percent
higher than the budgeted cost per million gallon per day. A further
description of these costs and benchmarking with other agencies is contained
within Section 1 — Pages 6 through 8.
d) The total projected capital outlay cash flow of the Capital Improvement
Program (CIP) for FY 2015-16 has been revised to $134.7 million, or 71.7
Page 1
FY 2015-16 Second Quarter Review
percent of the board approved cash outlay of$187.8 million. The actual cash
outlay spending through the second quarter is $68.7 million, or 36.6 percent
of the total budgeted outlay. More detailed information on the CIP budget
review can be found in Section 3.
• Quarterly Treasurer's Report;
This section reports on financial portfolio performance with respect to the
Sanitation District's funds. Both Long-Term and Liquid Operating Monies
Portfolios are summarized. A performance summary table can be found on page
2 of this section. The report also contains information on the national economic
outlook from the Sanitation District's money manager, Chandler Asset
Management (Chandler).
Chandler reported that the Long-Term Portfolio returned -33 basis points over the
quarter, outperforming the Bank of America Merrill Lynch 1-5 year AAA U.S.
Corporate and Government Index return of -56 basis points, while the Liquid
Operating Monies Portfolio returned 5 basis over the quarter, outperforming its
benchmark, the three-month Treasury Bill index return of 3 basis points.
Chandler further notes that in December the Federal Open Market Committee
(FOMC) increased the fed funds target rate by 25 basis points. It was the first fed
funds target rate increase since June 2006. Although the Fed took its first step
toward normalizing monetary policy, the tone of the FOMC statement was dovish,
suggesting the pace of additional policy tightening will be slower than historical
Fed tightening cycles. Policymakers' median projection for the fed funds rate at
the end of 2016 is 1.375%. In the longer-run, the target fed funds rate is roughly
3.5%. However, the FOMC has emphasized that monetary policy adjustments will
be gradual and the path of the fed funds rate will depend on the economic
outlook. Notably, the FOMC will continue to reinvest principal payments from its
holdings of Agency and Mortgage-Backed securities and will continue rolling over
maturing Treasury securities until normalization of the fed funds rate is well
underway. Overall, monetary policy remains highly accommodative and the Fed is
proceeding with caution as it moves toward a more normalized policy stance.
Economic data is mixed. Trends in the labor market remain favorable, and
consumer confidence rebounded in December. However, the manufacturing
sector remains weak and housing sector data has been volatile. The ISM
manufacturing index declined to 48.2 in December, to the weakest level since July
2009. In terms of housing, new and existing home sales were recently weaker
than expected, but home prices remain firm. Nevertheless, payrolls have
increased by an average of 284,000 per month over the past three months, with
the unemployment rate at 5.0%, which should provide a strong tailwind for
economic growth this year. Third quarter 2015 GDP grew at an annualized pace
of 2.0%, following growth of 3.9% in the second quarter. Last month, the
consensus forecast called for GDP growth of 2.1% in the fourth quarter of 2015,
Page 2
Executive Summary
but many economists have since lowered their forecast significantly. We are
expecting GDP growth of about 2.0%-2.5% in 2016.
During 2015, 2-year Treasury yields increased nearly 40 basis points, while 10-
year Treasuries increased roughly 10 basis points. This bear flattening (with
short-term rates rising more than long-term rates), is consistent with previous Fed
tightening cycles and we expect this trend to continue. Over much of the past
year, financial market volatility has been elevated due to mixed US economic
data, the uncertain timing of the first rate hike, weak global economic growth,
divergent global central bank monetary policies, turmoil in Asian stock markets,
and geopolitical concerns. Ongoing uncertainty about the future pace of monetary
policy normalization, and how the Fed communicates its economic projections,
will likely continue to fuel financial market volatility.
The yield on the two-year Treasury note rose roughly 12 basis points in
December to 1.05%. Meanwhile, the yield on the ten-year Treasury note rose just
six basis points in December to 2.27%. Overall, the Treasury yield curve flattened
during 2015 in anticipation of monetary policy normalization by the Federal
Reserve and we expect this trend to continue. Looking ahead, we believe the
pace of subsequent rate hikes will be slower than historical Fed tightening cycles,
in light of ongoing sluggishness in the global economy.
Economic Outlook
Chandler anticipates the domestic and global economic backdrop will remain
challenging in the first half of 2016. Although the employment picture in the fourth
quarter was strong, with non-farm payrolls averaging 284k and the unemployment
rate holding steady at 5.0%, other measures of employment are not as robust. In
particular, the US participation rate remains moribund at 62.6% and the U-6
unemployment rate, which includes part-time and marginally attached workers, is
still elevated at 9.9%. Commodity markets remain under pressure, with many
market participants focused on the precipitous drop in the price of oil over the past
year. Until the supply picture clears up, with some producers taking supply off-
line, the price of oil will continue to impact market sentiment to the downside.
Intuitively lower oil prices should be good for the consumer, but retail sales have
been soft and overall investors seem to be more concerned about the lack of
aggregate demand on a global basis. US GDP growth in 2016 is forecasted to be
in a range of 2.0-2.5%, consistent with the past several years, but likely not strong
enough to exert material upward pressure on domestic interest rates. The
Chandler team anticipates the Federal Reserve will not be able to meet their dot
plot forecasts and thus we think it is unlikely the Fed Funds rate will be near 1
318% at year-end 2016.
Chandler is forecasting market volatility to remain elevated, similar to the
experience in the second half of 2015. The FOMC (Federal Open Market
Committee) meetings in March, June, September and December will take on
Page 3
FY 2015-16 Second Quarter Review
heightened importance as the current economic projections by the Federal
Reserve are above market expectations and we would anticipate some
capitulation by the Federal Reserve with the upcoming quarterly updates. Spread
valuations in Corporate and Asset Backed look attractive versus long-term
averages, and the team will look to be opportunistic in both sectors.
• Quarterly Certificates of Participation (COP) Report
The report includes a summary of each outstanding debt issuance and a
comparative chart illustrating the COP rate history.
Page 4
Budget Review Summary
Second Quarter Financial Report
December 31, 2015
Financial Management is pleased to present the FY 2015-16 second quarter financial
report. This report provides a comprehensive overview of the financial condition of the
Sanitation District and reports on the status of all capital projects in progress. A
summary of the sections contained within this report is provided below.
Operating Budget Review., This section reports on collection, treatment and disposal
net operating requirements. At December 31, 2015, 48.2 percent, or $71.9 million of
the FY 2015-16 net operating budget of $149.3 million has been expended. Net
operating expenses decreased from the same period last year by $1.1 million, or 1.5
percent, mainly due to a decrease of $2.8 million in Salaries and Benefits and $45,000
in Research and Monitoring, and an increase of $920,000 in indirect costs allocated out
to capital projects. These cost decreases have been partially offset by increases of
$1.1 million in Repairs and Maintenance, $499,000 in Utilities, $384,000 in Contractual
Services, $245,000 in Professional Services, $206,000 in Operating Materials and
Supplies, $140,000 in Administrative Expenses, and $56,000 in Training and Meetings.
These and other variances that factor into this net increase in expenses are discussed
in more detail below. Overall, staff expects the total operating costs to remain at
budget throughout the remainder of the year.
Significant operating results as of December 31, 2015 include the following:
• Salaries. Wages and Benefits — Personnel costs of $46.2 million are slightly
below target at 48.7 percent of budget through the second quarter of FY 2015-
16. Although the budget is based on a 5 percent vacancy factor, staffing is 51 full-
time equivalents (FTE's), or 8.2 percent below the total 624 FTE's approved in the
FY 2015-16 budget. Salary and benefit costs are 5.7 percent, or $2.8 million lower
than the $49.0 million incurred in the same period last year, mainly due to the
decrease in OCERS retirement of $4.0 million. This decrease is reflective of the
decrease in the employee contribution rate as a result of the $175 million pay down
on the unfunded actuarial accrued liability in fiscal year 2014/15. Net operating
personnel costs are expected to be below budget throughout the remainder of
the year.
• Administrative Expenses — Administrative Expenses totaled $973,000, or 59.9
percent of the $1.6 million budget through December 31. These costs are
$140,000 or 16.9 percent higher at December 31 in comparison with the prior year
mainly due to an increase of $176,000 in purchases of small computer items offset
by a decrease of $63,000 due to the timing in membership payments versus when
these payments are due. It is anticipated that the administrative costs will
approximate budget at year-end.
Section 1 - Page 1
FY 2015-16 Second Quarter Report
• Printing and Publication Expenses — Printing and Publication Expenses totaled
$122,000, or 30.0 percent of the $412,000 budget through December 31. These
costs are $20,000 or 13.9 percent lower at December 31 in comparison with the
prior year, mainly due to the prior year purchase of aluminum prints of the new core
values. It is anticipated that the printing and publication costs will be below
budget at year-end
• Training and Meetings — Training and meetings of $330,000 are below target at
31.4 percent of the $1.1 million budget. This account is lower than the
proportionate budget due to the timing of training throughout the year. These costs
have increased over the same period last year by $56,000 or 20.4 percent. Total
training and meeting costs are anticipated to be below budget at year-end.
• Operating Materials and Supplies — Operating materials and supplies of $8.3
million is slightly below target at 48.2 percent of budget through December 31.
Operating Materials and Supplies have increased from the prior year by $206,000 or
2.6 percent, primarily due to increases in Cogen and Miscellaneous Chemicals of
$128,000, Tools of $88,000, Safety Equipment of $84,000, and Gas, Diesel and Oil
of $18,000, offset by decreases in Odor Control of $42,000 and Disinfection of
$76,000. The increases are mainly brought about by a combined increase in the
advanced purchases for tools and equipment. Based on current processes,
operating materials and supplies are anticipated to approximate budget at
year-end.
• Contractual Services — Contractual services is at target at approximately $11.1
million or 46.3 percent of budget through December 31. Solids Removal costs,
budgeted at $17.6 million, comprise the majority of this expense category. With an
increase of $122,000, or 1.4 percent higher than the prior year, solids removal costs
totaled $8.8 million, or 50.1 percent of budget at December 31. In addition, Other
contractual services increased by $378,000 due to an increase in manhole
rehabilitation projects, sewer line cleaning, and CCTV inspections and Temporary
Services increased by $55,000. These increases were somewhat offset by
decreases of $85,000 in Other Waste Disposal and $84,000 in Oxygen Plant
Operation. Overall, Contractual Services is higher by $384,000, or 3.6 percent, over
the same period last year. Total contractual services costs are anticipated to
approximate budget at year-end.
• Professional Services — Professional services costs totaled $1.3 million or 37.8
percent of the $3.5 million budget through December 31. Most professional
service costs, such as Engineering, Environmental Scientific Consulting, Software
Program Consulting Services, and Other Services, are proportionately low through
December 31 due to a variety of factors such as services being in the planning or
request for proposal stage, services not being needed until later in the fiscal year,
the need for the service is being re-evaluated, or utilization of internal staffing for
projects. These costs are $245,000 or 22.9 percent higher at December 31 in
comparison with the prior year mainly due to an increase in legal services and timing
Section 1 - Page 2
Budget Review Summary
of services performed. It is anticipated that the costs for this category will be
below budget at year-end.
• Research and Monitoring — Research and monitoring costs totaled $310,000, or
37.3 percent of the $831,000 budget through December 31. These costs are
$45,000, or 12.8 percent lower at December 31 in comparison with the prior year,
mainly due to a decrease of $36,000 in Air Quality Monitoring due to the timing of
emissions testing. Total Research and Monitoring costs are anticipated to
approximate or be below budget at year-end.
• Repairs and Maintenance — Repair and maintenance costs totaled $7.0 million,
or 56.8 percent of the $12.4 million budget through December 31. These costs
are $1.1 million, or 19.1 percent higher at December 31 in comparison with the prior
year, mainly due to large current period repair services such as Plant 2 Cengen
engine overhaul, digester C treatment, and Plant 1 primary clarifier effluent piping,
offset by a decrease in prior period materials purchases, such as power packs. It is
anticipated that the costs for this category will approximate or exceed budget
at year-end.
• Utilities — Utilities costs totaled $4.3 million, or 55.7 percent of the $7.8 million
budget through December 31. These costs are $499,000 or 13.0 percent higher at
December 31 in comparison with the prior year, primarily due to an increase in
electricity charges of $489,000 as a result of increased rates and usage primarily
related to increased activity, offset by a decrease in natural gas charges of $23,000
The overall operating philosophy of the Central Generation facilities is to purchase
electricity for power production rather than to purchase natural gas as a supplement
to the digester gas needed to run the Central Generation facilities. This operating
philosophy allows the Central Generation facilities to meet air emission
requirements. It is anticipated that the costs will approximate or exceed budget
at year-end.
• Other Operating Supplies — Other operating supplies costs totaled $1.1 million,
or 63.4 percent of the $1.7 million budget through December 31. Regulatory
Operating Fees comprise the majority of this expense category. These costs are
$36,000 or 6.0 percent higher at December 31 in comparison with the prior year
primarily due to the increases in annual permit fees to State Water Resources
Control Board (SWRCB) and emission fees, annual operation fees, and other
miscellaneous regulatory fees to South Coast Air Quality Management District
(SCAQMD). Miscellaneous Operating Expenses have also increased over the prior
year by $21,000, or 22.5 percent due to the increase in safety supplies. These
increases were somewhat offset by a decrease of $60,000, or 91.0% in outside
equipment rental. It is anticipated that the costs will approximate budget at
year-end.
• Revenues — Service Fees and Property Taxes — Through December 31, revenues
from service fees are at $158.9 million, or 54.0 percent of budget and Property
taxes are $40.0 million, or 45.2 percent of budget. These items comprise the
Section 1 - Page 3
FY 2015-16 Second Quarter Report
majority of the Sanitation District's revenues and are mostly collected by the County
through the property tax roll and distributed to the Sanitation District throughout the
year based on a set distribution schedule that begins in November of each year. An
increase of$10.5 million, or 7.1% in service fee revenue over the prior year is due in
part to an increase in fees of 1.9 percent, timing of customer payments, a decrease
in adjustments, and a decrease of $1.1 million in user fee refunds issued in the
current year. An increase of $3.2 million, or 8.6% in property tax revenues over the
prior year is due to an increase of approximately 2% in property tax rates, higher
construction activities and property values, and timing of taxes collected by the
County. In addition, the Redevelopment Agency pass-through of $1.5 million was
not received until January in the prior year. These revenues are expected to
approximate budget at year-end.
• Revenues — Permittee User Fees — Permittee User Fees are at $4.3 million, or
31.8 percent of the $13.6 million budget. The number of permittees Fluctuates
from year to year as businesses are established or close their operations. The
revenues through the second quarter are $1.1 million or 20.2 percent lower in
comparison with the same period last year due to a decrease in amount of discharge
from the permittees. It is estimated that the permittee user charges will be
below budget at year-end.
• Revenues — Inter District Sewer Use - SAWPA — Inter District Sewer revenues-
SAWPA are at $1.5 million, or 55.6 percent of the $2.7 million budget. This
revenue is derived from charges to the Santa Ana Watershed Protection Agency
(SAWPA) for treatment of flows. These revenues are expected to approximate
budget at year-end.
• Revenues — Intra District Sewer Use — IRWD — Intra District Sewer revenues-
IRWD are at $2.1 million, or 83.2 percent of the $2.6 million budget. This
revenue is derived from charges to the Irvine Ranch Water District (IRWD) for
treatment of flows. The revenues through the second quarter are higher than the
same period last year by $782,000 or 58.4 percent mainly due to an increase in
flows discharged from IRWD and the unit costs of operation and maintenance
charges. These revenues are expected to exceed budget at year-end.
• Revenues - Sludge Disposal- IRWD - Sludge Disposal fees-IRWD are at $5.3
million, or 58.9 percent of the $8.9 million budget. The revenue is derived and
fluctuated from flows discharged from IRWD to Sanitation District for the handling,
treatment and disposal of solids. The revenues through the second quarter are
higher than the same period last year by $643,000 or 14.0 percent. These
revenues are expected to approximate or exceed budget at year-end.
• Revenues — Capital Assessments- IRWD — Capital Assessments-IRWD are at
$1.2 million, or 54.2 percent of the $2.3 million budget. The revenues through
the second quarter are higher than the same period last year by $1.9 million or 292.7
percent mainly due to a reversal of $1.5 million in the prior period for projects that
have been accrued and placed in service during the prior year. Projects that are
Section 1 - Page 4
Budget Review Summary
placed in service are accrued and depreciated at year-end and reversed in the
beginning of the following year. It is estimated that the capital assessments will
approximate budget at year-end.
• Revenues — Capital Facilities, Capacity Charges (CFCC) — CFCC are at $5.9
million, or 54.0 percent of the $11.0 million budget. The revenues through the
second quarter are lower than the same period last year by $3.7 million or 38.6
percent due to lower construction activity than at this time last year. These
revenues are expected to approximate or exceed the budget at year-end.
• Revenues — Interest Earnings — Interest Earnings are at $1.4 million or 22.3
percent of the $6.1 million budget. The revenues through the second quarter are
lower than the same period last year by $634,000 or 31.9 percent due to a lower
interest rate environment than anticipated. It is estimated that the interest
earnings will be below the budget amount at year-end.
• Revenues — Wastehauler — Wastehauler revenues are at $338,000 or 42.7
percent of the $790,000 budget. This revenue is derived from fees charged to
wastehaulers allowing them to dump waste into the Sanitation District's system.
These revenues are expected to approximate budget at year-end.
• Revenues — CNG Sales — CNG Sales revenues are at $221,000 or 55.3 percent
of the $400,000 budget. The revenues through the second quarter are higher than
the same period last year by $8,000 or 4.0 percent. These revenues are expected
to approximate or exceed budget at year-end.
• Revenues - Other — Other revenues are at $872,000 or 145.3 percent of the
$600,000 budget. These revenues consist of charges to Sunset Beach Sanitary
District (SBSD) for treatment of flows and other miscellaneous revenues. The
revenues through the second quarter are higher than the same period last year by
$521,000 or 148.3 percent due to an increase in SBSD revenues and a settlement
received from the County of Orange bankruptcy filing in 1994 of $480,000. These
revenues are expected to exceed budget at year-end.
Section 1 - Page 5
FY 2015-16 Second Quarter Report
Comparison of Second Quarter Cost per
Million Gallon Results with Budget
Last Five Years
2,200 /
2,100 Z,111
076 ,M
2,000 2045
1,900 1951 1s57
1.WI aw
1,800
1,700
1,600
1,500
1,400
1,300
1,200
1,100
1.000
111112 12-13 131314 141415 15-16
2nd Annual 2nd Annual 2nd Annual 2nd Annual 2nd Annual
Qtr Budget Qtr Budget Qtr Budget Qtr Budget Qtr Budget
As demonstrated in the preceding graph for each of the last four fiscal years, the cost
per million gallons at the end of the second quarter has been 0.6 percent to 6.3 percent
lower than the annual budget. The FY 2015-16 second quarter is 3.5 percent higher
when compared with this year's budget. The variance from previous years is primarily
due to a decrease in flows, which are 3.4 percent lower than the same period last year.
Staff believes that overall operating costs will be below budget at year-end.
The total cost per million gallons at December 31 is $2,116.5 based on flows of
184.6 million gallons per day. This is $71.5 per million gallons, or 3.5 percent, higher
than the budgeted cost per million gallons of $2,045. There is an inverse relationship
between the amount of flows and the cost per unit of collection, treatment, and disposal.
Consequently, the higher cost per million gallons is due to flows of 184.6 million gallons
per day being 7.7 percent lower than the budgeted flow of 200 million gallons per day,
which is partially offset by net expenses being 3.7 percent less than the proportionate
budget through December 31.
More detailed information on operating revenues, costs, and related information is
provided within Section 2.
Section 1 - Page 6
Budget Review Summary
Following are data tables showing the last five years of Single Family Residential User
Fees (SFR) and the cost per MG to collect, treat, and dispose of wastewater for OCSD
and for similar agencies. The agencies used in the table were determined to be those
that most closely resembled OCSD in terms of services provided and treatment levels.
The summaries demonstrate that OCSD's SFR and cost per million gallons are each
one of the lowest in their respective group.
Benchmark Study
Five-Year Single Family Rate
Rates as of July
2011 2012 2013 2014 2015
Agency SFR SFR SFR SFR SFR Notes
San Francisco $636.00 $667.92 $701.40 $ 744.83 $ 784.44
City of San Diego $608.04 $572.58 $572.58 $ 572.58 $ 572.58
Vallejo Sanitation/Flood Control District $483.12 $495.12 $507.48 $ 520.20 $ 520.20
Central Contra Costa Sanitary District $341.00 $371.00 $405.00 $ 439.00 $ 471.00
City of Los Angeles $358.66 $391.56 $409.20 $ 435.40 $ 464.04 Note 1
Sacramento County $264.00 $288.00 $312.00 $ 348.00 $ 384.00
Dublin San Ramon Services District $345.06 $355.44 $355.44 $ 372.96 $ 382.38
Union Sanitary District $304.33 $319.55 $337.76 $ 357.02 $ 377.00
East Bay MUD $287.98 $305.10 $331.10 $ 358.14 $ 355.18
City of Hayward $317.64 $327.24 $327.24 $ 337.08 $ 347.16
Orange County Sanitation District $267.00 $294.00 $308.00 $ 316.00 $ 322.00
City of Fresno $299.76 $309.00 $309.00 $ 309.00 $ 309.00
Irvine Ranch Water District $202.80 $206.40 $220.80 $ 246.00 $ 288.60 Note 2
Oro Loma Sanitary District $183.00 $189.00 $195.00 $ 200.00 $ 206.00
Los Angeles County $143.00 $149.00 $150.00 $ 151.00 $ 155.00 Note 3
Notes:
(1)- Data is for the typical SFR customer rate and is not the average rate.
(2)- Data represents the maximum SFR rate and is not the average rate.
(3)- Data for 2013 and 2014 was revised to remove ad valorem monies that were inadvertently included.
Section 1 - Page 7
FY 2015-16 Second Quarter Report
Benchmark Study
Five-Year Cost per MG
FY 10-11 FY 11-12 FY 12-13 FY 13-14 FY 14-15
Agency Sc.Tot. Cost/MG Cost/MG Cost/MG Cost/MG Cost/MG Notes
Central Contra Costa Sanitary District B 5 $3,929.80 $4,203.43 $4,621.84 $5,778.43 $6,280.58
Vallejo Sanitation/Flood Control District B 3 $4,536.00 $5,176.00 $5,435.00 $6,153.00 $5,590.00
San Francisco B 3 $3,857.80 $4,778.96 $5,006.74 $5,400.28 $5,357.97 Note 1
Union Sanitary District B 3 $3,206.10 $3,267.06 $3,805.40 $3,832.47 $3,910.73
City of San Diego B 5 $3,208.48 $3,242.30 $3,340.35 $3,156.43 $3,591.69
East Bay MUD T 4 $2,000.31 $2,320.02 $2,359.40 $2,559.18 $2,727.97
Dublin San Ramon Services District B 5 $1,964.64 $2,009.57 $2,159.49 $2,506.60 $2,522.00
Sacramento County T 3 $1,591.75 $3,312.50 $2,143.16 $2,375.47 $2,494.40 Note
City of Los Angeles B 5 $1,836.00 $1,935.00 $2,062.00 $2,163.00 $2,269.00
Orange County Sanitation District B 3 $1,816.62 $1,871.47 $1,906.01 $1,935.05 $2,070.97
City of Fresno B 3 $1,263.50 $1,383.60 $1,411.89 $1,552.39 $1,628.91
Los Angeles County T 5 $1,078.00 $1,156.00 $1,008.00 $1,223.72 $1,239.40 Note 3
Legend for Service Prodded and Treatment Level:
B-Agee cyoperates both collection and treatment facilities
T-Agency proddes treatment services but not collection
2-Advanced prim aryor primary with some secondary treatment
3-Secondary treatment
4-Advanced secondaryor secondarywith some terbarytreatment
5-Terharytreatment
Notes:
(1)-Beginning in Fiscal Year 2012-13,dataset represents wastewater flows from finalued publicly available audited documents.
(2)-Miles of sewers number changed in 2012 to include parallel force main pipes per the 2011 State of the District Report.
(3)-Does not include source control or overhead costs.
Section 1 - Page 8
Budget Review Summary
Capital Outlay Review:
$200,000,000
$150,000,000 '
$100,000,000
$50,000,000
$0
12/31/15 Actual Projected 2015-16 2015-16 Capital Outlay
capdal Outlay Capdal Outlay Cashfiow Budget
$68.727.285 $134,660,100 $187,825,000
As depicted by the preceding chart, Capital Outlays totaled $68.7 million or 36.6
percent of the capital outlay cash flow budget for FY 2015-16 as of December 31,
2015. Costs are proportionately low through the second quarter as some projects are
still in the design phase or have experienced various delays. Examples as of December
31 are the Newport Force Main Rehabilitation which has a FY15-16 cash flow budget of
$23.4 million but actual costs of only $8.3 million and the Gisler-Redhill Trunk
Improvement, which has a budget of $8.2 million but actual costs of only $176,000.
Overall, the capital outlay costs of the capital improvement program are expected
to approximate $134.7 million, or 71.7 percent of the capital outlay cash flow
budget at year-end.
More detailed information on the capital improvement program is provided within
Section 3.
Capital Assets Schedule and Debt Service Budget Review: Section 4 is the Capital
Assets Schedule and Debt Service Section. This section shows the cost value of the
Sanitation District's capital facilities at December 31, 2015, as well as the debt service
costs resulting from the need to provide funding for the construction of capital facilities.
The majority of principal payments on debt issues are due in August during the first
quarter, and in February during the third quarter of each fiscal year. As of December
31, 2015, 49.2 percent of the principal payments have been made through the end of
the second quarter. Total principal payments are expected to approximate budget at
Section 1 - Page 9
FY 2015-16 Second Quarter Report
year-end. Interest costs are expensed ratably throughout the fiscal year. Interest
expense is anticipated to approximate budget at year-end.
Self-Insurance Budget Reviews: Section 5 is the Self-Insurance Section. Through
December 31, the Self-Insurance Fund revenues totaled $1.0 million or 50.2 percent of
the budget, while expenses were $1.3 million or 50.3 percent of the budget.
Separate fund accounting is used for recording the revenue and expenses incurred in
managing these liability claims. The revenues to these funds represent charges to
operating divisions. Expenses to these funds include actual claims paid, claims
administration, and excess loss policies.
Section 1 - Page 10
Operating Budget Review
Cost per Million Gallons by Department
Budget and Actual
December 31, 2015
$1p00
$1,300
$1,200
$1100
$1,000
$900
$900
$200
$600
$500
$400
$300
1200
$100
$0 _
a Y c w
m N _
E E —
z —
E
w � �Butlgei �Adual
Collection,Treatment, & Disposal Expenses by Major Category
Budget and Actual (in thousands)
December 31, 2015
$70,000
$65,000
$60,000
$55,000
$50,000
$05,000
P0,000
$35,000
$30,000
$25,000
$20,000
$15,000
$10,000
$5.000
$Q
N 2 E F' m O m C 5m
-
vQ
�autlBet �Aclual O
Section 2-Page 1
2015-16 Second Quarter Report
Divisional Contributions to Cost Per Million Gallons
For the Six Months Ended December 31,2015
2015-16
12/31/13 12/31/14 Annual 12/31/15
Actual Actual Budget Actual
Flow in Million Gallons 36,665.15 35,166.23 73,000.00 33,974.26
Flow in Million Gallons per Day 199.27 191.12 200.00 184.64
Executive Management Department
General Management Administration $ 30.66 $ 25.60 $ 40.37 $ 31.50
Board Services 8.70 7.32 6.69 6.67
Public Affairs 7.20 7.93 15.83 13.11
Subtotal 46.56 40.85 62.89 51.28
Human Resources Department
Human Resources 51.07 54.65 64.80 56.17
Risk Management 47.92 48.23 49.02 43.67
Subtotal 98.99 102.88 113.82 99.84
Administrative Services Department
Administrative Services 9.16 9.87 8.37 9.43
Financial Management 40.44 45.60 49.72 46.69
Contracts, Purchasing,&Materials Mgmt. 57.49 62.59 60.09 61.57
Information Technology 125.81 150.60 139.58 157.32
Subtotal 232.90 268.66 257.76 275.01
Facilities Support Services Department
Facilities Support Administration 9.24 9.89 11.26 14.91
Facilities Support 7.17 8.21 - -
Equipment Rebuild 21.49 24.89 - -
Fleet Services 24.65 30.11 28.54 32.14
Collections Engineering 41.18 44.33 38.94 42.60
NPDES Source Inspection 38.19 33.08 32.93 34.61
Odor and Corrosion Control 91.39 104.94 110.91 105.34
Collection Facilities O&M 49.13 60.76 56.10 56.94
Subtotal 282.44 316.21 278.68 286.54
Engineering Department
Engineering Administration 5.72 10.43 5.57 7.75
Planning 50.70 44.49 43.84 50.91
Project Management Office 48.69 52.03 47.85 37.39
Engineering and Construction 123.69 129.56 131.18 140.56
Environmental Compliance 99.67 109.09 85.24 105.11
Subtotal 328.47 345.60 313.68 341.72
Operations&Maintenance Department
Operations&Maintenance Administration 11.47 10.66 12.11 13.23
Plant No.1 Operations 348.32 378.10 398.52 489.49
Plant No.2 Operations 294.42 308.15 318.87 309.99
Building,Grounds&Mechanical Maintenance 183.84 205.58 - -
Instrumentabon&Electrical Maintenance 203.82 215.79 - -
Plant No.1 Maintenance - - 264.27 226.80
Plant No.2 Maintenance - - 145.65 171.72
Environmental Laboratory&Ocean Monitoring 109.50 117.48 110.24 120.34
Subtotal 1,151.37 1,235.76 1,249.56 1,331.57
Total Operating Expenses 2.140.73 2,309.96 2,276.39 2,385.96
Cost Allocation (189.57) (234.13) (231.39) (269.45)
Net Operating Requirements $ 1, 551.16 $ 2,0 55.83 $ 2,045.00 $ 2,116.51
Section 2- Page 2
Operating Budget Review
Comparison of Expenses by Department
For the Six Months Ended December 31, 2015
2015-16
12/31/13 12131/14 Year to Date Budget%
Department and Division Actual Actual Budget 12/31/15 Realized
Executive Management Departmenl
General Management Administration $ 1,124,039 $ 900,333 $ 2,947,170 $ 1,070,092 36.31%
Board Services 319,016 257,548 488,410 226,641 46.40%
Public Affairs 264,011 278,804 1,155,850 445,273 38.52%
Subtotal 1,707,066 1,436,685 4,591,430 1,742,006 37.94%
Human Resources Department
Human Resources 1,872,631 1,921,945 4,730,090 1,908,246 40.34%
Risk Management 1,757,117 1,696,087 3,578,550 1,483,739 41.46%
Subtotal 3,629,748 3,618,032 8,308,640 3,391,985 40.82%
Administrative Services Department
Administrative Services 335,920 347,258 610,710 320,249 52.44%
Financial Management 1,482,644 1,603,533 3,629,380 1,586.133 43.70%
Contracts, Purchasing,&Materials Mgmt. 2,107,831 2,200,926 4,386,540 2,091,743 47.69%
Information Technology 4,613,021 5,296,062 10,189,160 5,344,753 52.46%
Subtotal 8,539,416 9,447,779 18,815,790 9,342,878 49.65%
Facilities Support Services Department
Facilities Support Administration 338,721 347,941 822,330 506,529 61.60%
Facilities Support 262,879 288,601 - - N/A
Equipment Rebuild 787,934 875,449 - - N/A
Fleet Services 903,886 1,058,813 2,083,620 1,091,964 52.41%
Collections Engineering 1,509,783 1,558,758 2,842,880 1,447,182 50.91%
NPDES Source Inspection 1,400,106 1,163,166 2,404,160 1,176,019 48.92%
Odor and Corrosion Control 3,350,867 3,690,482 8,096,320 3,578,950 44.20%
Collection Facilities O&M 1,801,385 2,136,631 4.095,100 1,934,347 47.24%
Subtotal 10,355,561 11,119,841 20,344,410 9,734,991 47.85%
Engineering Department
Engineering Administration 209,698 366,932 406,860 263,193 64.69%
Planning 1,858,747 1,564,599 3,200,230 1,729,470 54.04%
Project Management Office 1,785,386 1,829,753 3,493,120 1,270,433 36.37%
Engineering and Construction 4,535,138 4,556,182 9,576,040 4,775,392 49.87%
Environmental Compliance 3,654,435 3,836,238 6,222,510 3,571,061 57.39%
Subtotal 12,043,404 12,153,704 22,898,760 11,609,549 50.70%
Operations&Maintenance Department
Operations&Maintenance Administration 420,381 374,959 884,100 449,368 50.83%
Plant No. l Operations 12,771,362 13,296,458 29,091,695 16,630,063 57.16%
Plant No.2 Operations 10,795,097 10,836,567 23,277,850 10,531,806 45.24%
Building,Grounds&Mechanical Maintenance 6,740,602 7,229,649 - - N/A
Instrumentation&Electrical Maintenance 7,473,215 7,588,641 - - N/A
Plant No.1 Maintenance - - 19,291,815 7,705,229 39.94%
Plant No.2 Maintenance - - 10,624,840 5,833,922 54.91%
Environmental Laboratory&Ocean Monitoring 4,014,998 4,131,065 8,055,110 4,089,195 50.77%
Subtotal 42,215,655 43,457,339 91,225,410 45,239,583 49.59%
Total Operating Expenses 78,490,850 81,233,380 166,184,440 81,060,992 48.78%
Cost Allocation (6,951,354) (8,234,303) (16,877,500) (9,153,971) 54.24%
Net Operating Requirements $ 71,539,496 $ 72,999,077 $ 149,306,940 $ 71,907,021 48A6%
Section 2-Page 3
2015-16 Second Quarter Report
Summary of Collection, Treatment, &Disposal Expenses by Major Category
For the Six Months Ended December 31, 2015
Expense Expense Increase Increase Percent
Budget Through Through (Decrease) (Decrease) Budget Remaining
Description 2015-16 12131/15 12/31/14 $ % Realized Budget
Salary&Wages $ 66,276,100 32,474,470 31,759,579 $ 714,891 2.25% 49.00% $33.801,630
Employee Benefits 28,526,300 13,709,333 17,187,432 (3,478,099) -20.24% 48.06% 14,816,967
Administrative Expenses 1,624,570 972,801 832,506 140,295 16.85% 59.88% 651,769
Printing&Publication 412,020 121,931 141,552 (19,621) -13.86% 29.59% 290,089
Training&Meetings 1,050,500 329,883 273,892 55,991 20.44% 31.40% 720,617
Operating Materials&Supplies 17,191,000 8,281,648 8,075,408 206,240 2.55% 48.17% 8,909,352
Contractual Services 23,938,480 11,085,727 10,701,665 384,062 3.59% 46.31% 12.852,753
Professional Services 3,476,580 1,315,067 1,070,109 244,958 22.89% 37.83% 2,161,513
Research&Monitoring 831,000 309,764 355,036 (45.272) -12.75% 37.28% 521,236
Repairs&Maintenance 12,362,440 7,023,304 5,896,506 1,126,798 19.11% 56.81% 5,339,136
Utilities 7,787,080 4,337.178 3,838,042 499,136 13.00% 55.70% 3,449,902
Other Materials,Supplies,
and Services 2,708,370 1,099,886 1,101,653 (1,767) .0.16% 40.61% 1,608,484
Net Cost Allocation (16,877,500) (9,153,971) (8,234,303) (919,668) 11.17% 54.24% (7,723,529)
Net Operating Requirements 149,306,940 71,907,021 72,999,077 (1,092,056) .1.50% 48.16% 77,399,919
Gallonage Flow(MG) 73,000.00 33,974.26 35,166.23 (1,191.97) -3.39%
Gallonage Flow(MGD) 200.00 184.64 191.12 (6.48) -3.39%
Gallonage Flow($'a/MG) $2,045000 $2,116.51 $2,075.83 $40.68 1.96%
Section 2-Page 4
Operating Budget Review
Summary of Revenues
For the Six Months Ended December 31, 2015
Revenue Percent Revenue Increase Increase
Budget Through Budget Remaining Through (Decrease) (Decrease)
Description 2015-16 12/31/15 Realized Budget 12(31/14 $ %
Service Fees $294,182,000 $158,887,597 54.01% $135,294,403 $148,404,423 $ 10,483,174 7.06%
Permit Fees 13,555,000 4,314,673 31.83% 9,240,327 5,405,811 (1,091,138) -20.18%
Inter District Sewer Use-SAWPA 2,690,000 1.496.637 55.64% 1,193,363 1,180,194 316,443 26.81%
Intre District Sewer Use-IRWD 2,550,570 2,122,170 83.20% 428,400 1,339,826 782,344 58.39%
Sludge Disposal-IRWD 8,900,000 5.246.103 58.94% 3,653,897 4,603,117 642,986 13.97%
Capital Assessments-IRWD 2,293,000 1,243,250 54.22% 1,049,750 (645,227) 1,888,477 292.68%
Capital Facilities Capacity Charges 11,000,000 5,942,431 54.02% 5,057,569 9,670,609 (3,728,178) .38.55%
Debt Proceeds - - N/A N/A 232,240S91 (232,240,891) -100.00%
Property Taxes 88,527,000 40,033.567 45.22% 48,493,433 36,849,090 3,184,477 8.64%
Interest Earnings 6,064,000 1,352,547 22.30% 4,711,453 1,986,100 (633,553) -31.90%
Wastehauler 790,000 337.513 42.72% 452,487 363,202 (25,689) -7.07%
CNG Sales 400,000 221,094 55.27% 178,906 212,663 8,431 3.96%
Rents 8 Leases 254,000 129,940 51.16% 124,060 127,528 2.412 1.89%
Other 600,000 871,558 145.26% (271,558) 350,999 520,559 148.31%
Power Sales 5,000 7,822 156.44% (2,822) 7,472 350 4.68%
Other Sales 10,000 30,717 307.17% (20,717) 15,203 15,514 102.05%
Total Revenues $431,820,570 $ 222,237,619 51.47% $209,582,951 $442,111,901 $(219,874,282) -49.73%
Section 2-Page 5
2015-16 Second Quarter Report
Summary of Collection,Treatment, &Disposal Expenses by Line Item
For the Six Months Ended December 31,2015
Expense Percent Expense Increase Increase
Budget Through Budget Remaining Through (Decrease) (Decrease)
Description 2015-16 IV31115 Expensed Budget lV31114 $ %
Salaries.Waaes&Benefits
Salaries&Wages $ 66,276,100 $ 32,474,470 49.00% $ 33,801,630 $ 31,759,579 $ 714,891 2.25%
Employee Benefits
Retirement 16,726,300 8,099,396 48.42% 8,626,904 12,114,088 (4,014,692) -33.14%
Group Insurances 9,766,200 4,605,766 47.16% 5,160,434 4,423,795 181,971 4.11%
Tuition&Certification Ralmb 154,500 60,625 39.24% 93,875 67,750 (7,125) -10.52%
Edu.degrees,Can.&Lic. 303.300 157,128 51.81% 146.172 153,037 4,091 2.67%
Unfform Rental 47,400 26,643 56.21% 20,]5] 26,308 335 1.27%
Workers Compensation 1,478,700 739,349 50.00% 739,351 3]],501 361,848 95.85%
Unemployment nsurance 9,200 1,459 15.86% 7,741 4,599 (3,140) -68.28%
EMT Supplemental Benefits 40,700 18,967 46.60% 21,733 20,354 (1,387) -6.81%
Total Benefits 28,526,300 13,709,333 48.06% 14,816,967 17,187,432 (3,478,099)
Salaries,Wages&Benefits 94,802,400 46,183,803 48.72% 4&618,597 4&941,011 (2,763,208) -5.65%
Matt.supply,&Services
Administrative Expanses
Memberships 597,840 343,816 57.51% 254,024 406,810 (62,994) -15.48%
Office Exp-Supplies 68.600 25,970 37.86% 42.630 25.501 469 1.84%
Postage 39,970 14,418 36.07% 25,552 13,316 1,102 8.28%
Books&Publications 38,400 15,459 40.26% 22,941 15,079 380 2.52%
Forms 910 231 25.38% 679 - 231 NIA
Small Computer Items 734.000 804933 68.79% 229,067 328.940 175,993 53.50%
Minor Furniture&Fixtures 144,850 67,974 46.93% ]6,8]6 42,860 25,114 58.60%
Sublotal 1,624,570 972,801 59.88% 651,769 832,506 140,295 16.85%
Printing&Publication
Repro-In-House W9,680 110,407 29.87% 259,273 121,365 (10,958) -9.03%
Printing-Oulside 22,450 6,314 28.12% 16,136 13,592 (7,278) -53.55%
Notices&Ad. 19,620 5,210 26.55% 14,410 6,521 (1,311) -20.10%
Photo Processing 270 0.00% 270 74 (74) -100.00%
Subtotal 412,020 121,931 29.59% 290,089 141,552 (19,621)
Training&Meetings
Meetings 212.620 71,634 33.69% 140.986 58,612 13,022 22.22%
Training 837,880 258,249 30.82% 579,631 215,280 42,969 19.96%
Subtotal 1,050,500 329,883 31.40% 720,617 273,892 65,991 20.44%
operating Met-is&Supplies
Chemical Coagulants 6,012,000 3,001,217 49.92% 3,010,783 3,009,374 (8,157) -0.27%
Odor Control 8,043,200 3,747,900 46.60% 4,295,300 3,789,472 (41,572) -1.10%
Disinfection 154,000 100,885 65.51% 53,115 1]],044 (76,159) 43.02%
Chemicals-Misc&Cogan 547,000 144,253 26.37% 402.747 15.918 128,335 801
Gasoline,Diesel&Oil 705,970 304,595 43.15% 401,375 287,073 17,522 6.10%
Tools 351,400 235,123 66.91% 116,217 146,821 88,302 60.14%
Safety equlpmeninods 169,350 328,389 69.97% 140,961 244,535 83,854 34.29%
Soly,Points&Jon.Supplies 88.320 43,353 49.09% 44.967 44.019 (666) -1.51%
Lab Chemicals&Supplies 641,160 289,837 44.79% 357,323 296,769 (6,932) -2.34%
Other Operating Supplies 155,800 84,203 54.05% ]1,59] 64,383 19,820 30.78%
Property Tax Fees 16,800 1,893 11.27% 14,907 1,893 NIA
Subtotal 17,191,000 8,281,648 48.17% 8,909.352 8,075,408 206,240 2.55%
Contractual Services
Solids Removal 17,607,000 8,826,087 50.13% 8,780,913 8,704,358 121,729 1."%
Other Waste,Disposal 943,220 388,010 41.14% 555.210 472.592 (84,582) -17.90%
Groundskeeping 174,000 69,306 39.83% 104,694 80,071 (10,765) -13.44%
Janitorial 478,340 235,632 49.26% 242,708 244,653 (9,021) -3.69%
Outside Lab Services 280,500 91,956 32.78% 188,544 80,206 11,750 14.65%
Oxygen Plant Oper 274.200 208,302 ]8.9]% 65.898 292.206 (83,904) -28.71%
County Service Fee 706,950 21,229 3.00% 685,121 26,640 (5,411) -20.31%
Temporary Serdces t62,380 203,824 44.08% 258,556 149,281 54,643 36.54%
Security Services 582,000 200,691 34.48% 381,309 188,724 11,967 6.34%
Other 2,429,890 840,690 34.60% 1,589,200 162,9M 377,756 81.60%
Subtotal 23,938,480 11,085,72] 46.31% 12,852,753 10,701,665 384,062 3.59%
(Continued)
Section 2-Page 6
Operating Budget Review
Summary of Expenses by Line Item
For the Six Months Ended December 31,2015
Expense Percent Expense Increase Increase
Budget Through Budget Remaining Through (Decrease) (Decrease)
Description 2015.16 IV31115 Expensed Budget lV31114 $ %
Continued:
Professional Services
Legal 948,200 644,443 67.96% 303,767 415,167 229,276 55.23%
Audit&Accounting 211,250 85,607 40.52% 125,643 101.952 (16,345) -16.03%
Engineering 720,000 91,060 12.65% 628.940 48.974 42,086 85.94%
Enym Scientific Consulting 105,000 37,683 35.89% 67,317 22,108 15,575 70.45%
Software PMm Consulting 308,000 115,713 37.57% 192,287 152,278 (36,565) -24.01%
Advocacy Eforls 247,000 112,456 45.53% 134,544 87,628 24,828 28.33%
Industrial Hygiene Services 100,000 41,635 41.64% 58,365 23.139 18,496 79.93%
Labor Negotiation SerAces 60,000 - 0.00% 60,000 20,178 (20,178) -100.00%
Other 777,130 186,470 23.99% 590,660 198,686 (12,215) -8.15%
Subtotal 3,476,580 1,315,067 37.83% 2,161,513 1,070,109 244,958 22.89%
Research&Monitoring
Environmental Monitoring 345,000 97,857 28.36% 247,143 106,786 (8,928) -8.36%
Air Quality Monitoring 85,000 11,907 14.01% 73,093 48,251 (36,344) -75.32%
Research 401,000 200,000 49S8% 201,000 200.000 0.00%
Subtotal 831,000 309,764 3728% 521,236 355,036 (45,272) -12.75%
Bel&Maintenance
Materials&Services 1013641180 5.756,023 55.54% 4.608,157 4,869,837 8861186 18.20%
Svc.Mtc.Agreements 1,990,260 1,267,281 63.42% 730,979 1,026,669 240,612 23.44%
Subtotal 12,362,440 7,023,304 56.81% 5,339,136 5,896,506 1,126,798 19.11%
D6litiac
Telephone 385,000 151,285 39.29% 233,715 149,089 2,196 1.47%
Diesel For Generators 24,160 5,711 23.64% 18,449 12,673 (6,962) -54.94%
Natural Gas 500,000 242,158 48.43% 257,842 265,093 (22,935) 4.65%
Power 6.319,500 3.623,124 57.33% 2.696,376 3,134,519 488,605 15.59%
Water 558,420 314,900 56.39% 243,520 276,668 38,232 13.82%
Subtotal 7,787,080 4,337,178 55.70% 3,449,902 3,838,042 499,136 13.00%
Other Operating Supplies
Outside Equip Rental 105,970 5,919 5.59% 100,051 65,730 (59,811) -90.99%
Insurance Premiums 32,000 31,386 98.08% 614 31,884 (498) -1.56%
Prop&Gen Llab Insurance 496,000 247,998 50.00% 248,002 250,002 (2,004) -0.80%
Freight 69,070 39,738 57.53% 29,332 31.412 8,326 26.51%
Misr.Operating Expense 289,820 115,106 39.72% 174,714 93,955 21,151 22.51%
Regulatory Operating Fees 708,000 637,582 90.05% 70,418 601,597 35,985 5.98%
Subtotal 1,700,860 1,077,729 63.36% 623,131 1,074,580 3,149 0.29%
General Mgr Contingency
&Reappropriations 904,200 0.00% 904,200 N/A
Other Non-Oper Expense
Others 103,310 22,157 21.45% 81,153 27,073 (4,916) -18.16%
Subtotal 103,310 22,157 21.45% 81,153 27,073 (4,916) -18.16%
Total Materials,
Supplies&Services 71,382,040 34,877,189 48.86% 36,504,851 32,286,369 2,590,820 8.02%
Total Expenditures 166,184,440 81,060,992 48.78% 85,123,448 81,233,380 (172,381 -0.21%
Cost Allocation (16,877,500) (9,153,971) 54.24% (7,723,529) (8,234,303) (919,68t1) 11.17%
Net Operating Requirements $ 149,306,940 $ 71.907,021 48.16% $ 77.399,919 $ 72,899,077 $ (1,092,056)
Section 2-Page 7
2015-16 Second Quarter Report
Summary of Collection,Treatment,8 Disposal Expenses by Process
For the Six Months Ended December 31, 2015
Increase Increase
Actual Actual (Decrease) (Decrease)
12/31/15 12/31114 $ %
Process:
Preliminary Treatment $ 4,356,349 $ 4,491,425 $ (135,076) -3.01%
Primary Treatment 6,049,026 6,620,352 (571,327) -8.63%
Secondary Treatment 3,896,615 4,224,456 (327,841) -7.76%
Cryogenic Plant(Plant 2) 389,023 578,599 (189,576) -32.76%
Ef0uent Disposal 609,674 496,791 112,883 22.72%
Solids Handling 23,627,692 24,592,872 (965,180) -3.92%
Cogeneration 9,009,038 6,963,052 2,045,986 29.38%
Utilities 1,451,895 1,475,355 (23,459) -1.59%
Electrical Distribution 1,065,714 1,058,584 7,130 0.67%
Miscellaneous Buildings 4,240,680 3,875,232 365,448 9.43%
External Location 38,192 49,498 (11,305) -22.84%
Nedssa Vessel 102,352 138,886 (36,534) -26.31%
North County Yard 37,504 11 37,493 340945.36%
Laboratory 6,262,185 6,408,570 (146,385) -2.28%
Collections 10,771,083 12,025,395 (1,254,312) -10.43%
Net Operating Requirements $ 71,907,021 $ 72,999,077 $ (1,092,056) -1.50%
Section 2-Page 8
Operating Budget Review
Staffing Trends
Full Time Equivalents
December 31, 2015
700
650 634 626 624 624 624
600 46 38 36 q4
550
500
450
6/30112 6/30113 6/30/14 6130115 12131/15
8Actua1 8Va.a t
At December 31, 2015,the total head count was 586 employees,ore full time equivalency of 573.
Section 2-Page 9
2015-16 Second Quarter Report
This Page Intentionally Left Blank
Section 2- Page 10
CIP Budget Review
Capital Improvement Program
By Type and Funding Source
For the Six Months Ended December 31, 2015
eColledons Facllldes: 20 8%
eHeadwwks: 33%
ePraim,Treatment 2.e%
GSecandary Treatment'. 1.6%
eSolids Handling 8 Dlgeston: 47,6%
130cean OUCaII Systems: 6 8%
13tl4lity Systems: 6.3%
ePmess Relatetl Special Projects 0,6%
elnfam,aton Management Systems: 1.0%
eStrategic 8 Master Planning: 0.0%
eWater Management Projects: 1.1%
eSupp id Facilities: 69%
e Pdor Year Treatment Projects: 0.1%
eCapilal Equipment Purcheses: 0.9%
Total Capital Improvement Outlays -$68,727,285
ReplacemenVRehabilitation: 47%
Improved Treatment: 37%
❑Additional Capacity: 11%
■Support: 5%
Total Capital Improvement Outlays -$68,727,285
Section 3- Page 1
FY 2015-16 Second Quarter Report
Summary of Capital Improvement Construction Requirements - Current Year
For the Six Months Ended December 31, 2015
2015-16 2015-16 2015.16
Cashflow Actual at Projected
Budget 1 213112 01 5 Outlay
Collection System Improvement Projects
Collections Facilities
Santa Ana Trunk Sewer Rehab. $ 1,490,918 $ 1,347,168 $ 1,691,300
SARI Realignment 538,848 76,732 157,600
SARI Rock Stabilizers Removal 98,323 137,121 311,100
Newhope-Placentia Trunk Grade Separation Repl. 653,226 360,774 998,300
Newhope-Placentia Trunk Replacement 6,339,297 1,384,513 5,396,000
Lakeview Grade Separation Project 15,836 - 700
Tustin Rose OCTA Grade Separation Project 109,420 176,320 203,100
Seal Beach Pumping Station Rehabilitation 1,278,051 297,114 3,278,600
Rehabilitation of Western Regional Sewers 642,771 209,674 613,900
Newport Force Main Rehabilitation 23,453,907 8,287,655 11,881,000
Dover Drive Trunk Sewer Relief 716,918 1,083,596 1,097,600
District 6 Trunk Sewer Relief 4,049,977 115,399 263,500
Southwest Costa Mesa Trunk 479,304 96,608 383,900
Gisler-Redhill Trunk Improvements, Reach B 8,202,769 175,645 1,509,400
Master Facilities Engineering Projects-Collections 754,631 371,587 758,100
Master Planning Studies-Collections - 37,231 37,300
Bay Bridge Pump Station and Force Mains Rehab Study 469,725 10,143 132,800
Additional Charges to CIP Closed at 6/30/15 (75,473) (75,500)
Subtotal -Collections Facilities 49,293,921 14,091,807 28,638,700
Revenue Area 14
Newport Force Main Rehabilitation (1.88%) 449,382 184,697 253,600
Subtotal -Revenue Area 14 449,382 184,697 253,600
Total Collection System Improvement Projects 49,743,303 14,276,504 28,892,300
(Confined)
Section 3-Page 2
CIP Budget Review
Summary of Capital Improvement Construction Requirements - Current Year
For the Six Months Ended December 31, 2015
2015-16 2015-16 2015.16
Cashflow Actual at Projected
Budget 1 213112 01 5 Outlay
Treatment&Disposal Projects
Headworks
Headworks Rehabilitation and Expansion at Plant 1 5,907,164 1,028,633 4,456,400
Truck Line Odor Control Improvements P1 5,401,072 1,242,737 4,259,800
Subtotal -Headworks 11,308,236 2,271,370 8,716,200
Primary Treatment
Plant 1 Primary Treatment Upgrades 4,535,914 1,413,772 3,171,700
Plant 2 Primary Treatment System Rehabilitation 257,678 491,693 605,600
Primary Treatment Area Rehabilitation Study 128,777
Subtotal -Primary Treatment 4,922,369 1,905,465 3,777,300
Secondary Treatment
Activated Sludge Aeration Basin Deck Repair at P2 174,861 - 274,200
Oxygen Plant Demolition at Plant No. 2 2,624,473 1,066,032 2,227,000
Subtotal -Secondary Treatment 2,799,334 1,066,032 2,501,200
Solids Handling& Digestion
Digester Rehabilitation at Plant 5,242,131 2,648,588 4,535,100
Sludge Dewatedng and Odor Control at Plant 1 50,905,349 24,539,939 36,925,000
Digester Ferric Chloride System Rehabilitation 54,634 1,969 2,000
Solids Thickening and Processing Upgrades 4,644,432 2,561,452 4,813,700
Sludge Dewatering and Odor Control at Plant 2 6,440,708 2,995,239 7,800,800
Subtotal -Solids Handling&Digestion 67,287,254 32,747,187 54,076,600
Ocean Outfall Systems
Final Ef0uent Sampler and Building Area Upgrades 8,399,791 3,395,221 5,272,200
Ocean Outfall System Rehabilitation 3,546,419 1,129,470 2,156,300
Subtotal -Ocean Oulfall Systems 11,946,210 4,524,691 7,428,500
Utility Systems
Cengen Cooling Water System Replacement 50,604 18,699 84,700
Cengen Emissions Control Project 7,209,612 3,576,757 5,265,700
Natural Gas Pipelines Repl at Plant No. 1 and 2 39,509 - 9,000
Plant Water System Rehabilitation at Plant No. 1 1,112,536 42,068 49,300
Plant Water System Rehabilitation at Plant No. 2 870,583 31,445 61,600
Boiler System Rehab&Scrubbers H & I Demolition at P2 333,046 147,388 202,800
Consolidated Demolition&Utility Improvements at P2 1,980,801 499,121 499,200
Plant Air System Master Plan 120,681 46,003 144,100
Subtotal -Utility Systems 11,717,372 4,361,481 6,316,400
(Confined)
Section 3-Page 3
FY 2015-16 Second Quarter Report
Summary of Capital Improvement Construction Requirements - Current Year
For the Six Months Ended December 31, 2015
2015-16 2015-16 2015-16
Cashflow, Actual at Projected
Budget 1 2/3112 01 5 Outlay
Process Related Special Projects
Safety Improvements at Plants Nos. 1 and 2 51,536 - 5,800
Corrosion Management 1,431,191 285,839 930,800
Odor Control Master Plan 403,127 122,674 455,300
Subtotal -Process Related Special Projects 1,885,854 408,513 1,391,900
Information Management Systems
Programmable Control Panel Upgrades 1,635,577 330,598 1,528,600
SCADA System and Network Upgrades 398,034 103,641 1,073,400
Strategic Information Architecture (SIA) 491,921 - 169,100
Internet/Intranet Development 147,884 - 43,000
Geographic Information System 646,806 109,405 249,500
Information Technology Equipment Upgrade 439,179 975 113,600
EAM Software and Process Implementation 995,396 28,803 78,900
PDS2D Software Replacement 140,308 - 15,000
Software and Computer Equipment Repl. Project 849,874 131,614 387,200
Land Records Mgmt System Project 98,849 - -
Communication Radio System Replacement 119,532
Subtotal -Information Management Systems 5,963,360 705,036 3,658,300
Strategic& Master Planning
Master Planning Studies 908,533 1,178 797,200
Stormwater Master Plan 131,110
Subtotal -Strategic&Master Planning 1,039,643 1,178 797,200
Water Management Projects
Effluent Reuse Study 1,206,269 784,284 1,216,500
Subtotal -Water Management Projects 1,206,269 784,284 1,216,500
Support Facilities
Master Facilities Engineering Projects- Plant 5,007,745 1,437,466 3,198,500
Master Small Capital Replacement/Rehabilitation 2,800,792 30,118 1,033,000
Title 24 Access Compliance&Building Rehab Project 5,196,624 2,264,501 6,169,800
South Perimeter Security and Storm Water Impr.at Pl 675,161 125,790 441,000
Headquarters Complex, Site&Security&Entrance Realign. - 69,726 117,200
Site and Security Improvements at Plant No.2 - - 1,300
Administrative Facilities Implementation Planning 5,083 65,470 70,500
Ongoing Small Capital Replacement/Rehabilitation 986,303 769,877 1,200,700
Subtotal -Support Facilities 14,671,708 4,762,948 12,232,000
(Confined)
Section 3-Page 4
CIP Budget Review
Summary of Capital Improvement Construction Requirements - Current Year
For the Six Months Ended December 31, 2015
2015-16 2015-16 2015-16
Cashflow Actual at Projected
Budget 1 2/3112 01 5 Outlay
Others
Future Research Line Item 102,160 269,385 600,700
Capital Improvement Program Mgmt. Services 183,507 (8,841) (8,900)
Subtotal -Others 285,667 260,544 591,800
Additional Charges to CIP Completed at 6/30/15 14,964 15,000
Total Treatment and Disposal Projects 135,033,276 53,813,693 102,718,900
Capital Equipment Purchases 3,048,900 637,088 3,048,900
Total Collection, Treatment and Disposal Projects
and Capital Equipment Purchases $187,825,479 $68,727,285 $134,660,100
Section 3 - Page 5
FY 2015-16 Second Quarter Report
Summary of Capital Improvement Construction Requirements- Project Life
For the Six Months Ended December 31, 2015
Current Total
Approved June 30,2015 Year Projected Remaining
Project Accumulated Projected Cost at Future
Budget Cost Cost June 30,2016 Budget
Collection System Improvement Pro act
Collections Facilities
Santa Ana Trunk Sewer Rehab. 7,676,000 5,016,145 1,691,300 6,707,445 968,555
Raiff and Bristol Street Sewer Extension 5,319,000 259,075 - 259,075 5,059,925
SARI Realignment 11,404,000 5,485,418 157,600 5,643,018 5,760,982
SARI Rock Stabilizers Removal 3,092,000 44,834 311,100 355,934 2,736,066
Taft Branch Improvements 1,928,000 12,083 - 12,083 1,915,917
Newhope-Placentia Trunk Grade Separation Repl. 5,966,000 3,311,872 998,300 4,310,172 1,655,828
Newhope-Placentia Trunk Replacement 104,890,000 2,210,775 5,396,000 7,606,775 97,283,225
Yoffie Linda Pumping Station Abandonment 4,158,000 - - - 4,158,000
Lakeview Grade Separation Project 330,000 68,892 700 69,592 260,408
Tustin Rose OCTA Grade Separation Project 586,000 107,087 203,100 310,187 275,813
Beach Trunk/KnoU Interceptor Sewer Relief 118,678,000 - - - 118,678,000
Seal Beach Pumping Station Rehabilitation 62,041,000 225,706 3,278,600 3,504,306 58,536,694
Rehabilitation of Western Regional Sewers 112,222,000 157,056 613,900 770,956 111,451,044
Newport Force Main Rehabilitation 62,796,800 41,928,209 11,881,000 53,809,209 8,987,591
Dover Drive Trunk Sewer Relief 14,327,000 12,906,754 1,097,600 14,004,354 322,646
Crystal Cove Pumping Station Upgrade and Rehab 10,514,000 - - - 10,514,000
Bay Bridge Pumping Station Rehabilitation 51,010,000 - - - 51,010,000
District 6 Trunk Sewer Relief 7,795,000 1,061,211 263,500 1,324,711 6,470,289
Southwest Costa Mesa Trunk 14,993,000 1,548,343 383,900 1,932,243 13,060757
Gisler-Redhill Trunk Improvements,Reach B 28,143,000 4,101,645 1,509,400 5,611,045 22,531,955
Browning Subtrunk Sewer Relief 16,952,000 - - - 16,952,000
MacArthur Pump Station Rehabilitation 8762,000 - - - 8,762,000
Main Street Pump Station Rehabilitation 37,892,000 - - - 37,892,000
Edinger/Bolsa Chica Trunk Improvements 5,159,000 - - - 5,159,000
Edinger Pumping Station Upgrade and Rehabilitation 8,890,000 - - - 8,880,000
Slater Avenue Pump Station Rehabilitation 9,729,000 - - - 9,729,000
Master Facilities Engineering Projects-Collections 12,192,006 886,245 758,100 1,644,345 10,547,661
Master Planning Studies-Collections - - 37,300 37,300 (37,300)
Bay Bridge Pump Station and Force Mains Rehab Study 725,000 160,334 132,800 293,134 431,866
Additional Charges to CIP Closed at 6130115 (75,500) (75,500) 75,500
Subtotal-Collections Facilities 728,159,806 79,491,684 28,638,700 108,130,384 620,029,422
Revenue Area 14:
Newport Force Main Rehabilitation(1.88%) 1,203,200 803,353 253,600 1,056,953 146,247
Subtotal-Revenue Area 13 1,203,200 803,353 253,600 1,056,953 146,247
Total Collection System Improvement Projects 729,363,006 80,295,037 28,892,300 109,187,337 620,175,669
(Continued)
Section 3-Page 6
CIP Budget Review
Summary of Capital Improvement Construction Requirements - Project Life
For the Six Months Ended December 31, 2015
Current Total
Approved June 30,2015 Year Projected Remaining
Project Accumulated Projected Cost at Future
Budget Cost Cost June 30,2016 Budget
Treatment&Disposal Pro act
Headworks
Headworks Rehabilitation and Expansion at Plant 1 235,273,000 359,971 4,456,400 4,816,371 230,456,629
Truck Line Odor Control Improvements P1 11,170,000 1,626,415 4,259,800 5,886,215 5,283,785
Subtotal-Headworks 246,443,000 1,986,386 8,716,200 10,702,586 235,740,414
Primary Treatment
Primary Scrubber Rehabilitation at Plant 1 94,228,000 - - - 94,228,000
Plant l Primary Treatment Upgrades 10,317,000 5,344,930 3,171,700 8,516,630 1,800,370
Primary Clarifers Repl&Impr at Plant No.1 122,649,044 - - - 122,649,044
Plant 2 Primary Treatment System Rehabilitation 156,029,000 132,951 605,600 738,551 155,290,449
Primary Treatment Area Rehabilitation Study 1,000,000 157,161 157,161 842,839
Subtotal-Primary Treatment 384,223,044 5,635,04E 3,777,300 9,412,342 374,810,702
Secondary Treatment
Activated Sludge Aeration Basin Deck Repair at P2 6,679,009 - 274,200 274,200 6,404,809
Oxygen Plant Demolition at Plant No.2 4,051,000 623,942 2,227,000 2,850,942 1,200,058
Subtotal-Secondary Treatment 10,730,009 623,942 2,501,200 3,125,142 7,604,867
Solids Handling&Digestion
Digester Rehabilitation at Plant 1 64,902,000 53,301,350 4,535,100 57,836,450 7,065,550
Sludge Dewatering and Odor Control at Plant 1 171,978,000 107,446,409 36,925,000 14Q371,409 27,606,591
Digester Ferric Chloride System Rehabilitation 4,449,000 4,409,613 2,000 4,111,613 37,387
Solids Thickening and Processing Upgrades 51,150,000 41,080,729 4,813,700 45,894,429 5,255,571
Plant No.2 Digester Facilities Rehabilitation 47,600,000 152,343 - 152,343 47,447,657
Sludge Dewatering and Odor Control at Plant 2 86,500,000 15,751,351 7,800,800 23,552,151 62,947,849
Subtotal-Solids Handling&Digestion 426,579,000 222,141,795 54,076,600 276,218,395 150,360,605
Ocean Ouffall Systems
Final Effluent Sampler and Building Area Upgrades 15,973,000 3,829,324 5,272,200 9,101,524 6,871,476
Ocean Oudall System Rehabilitation 76,000,000 505,351 2,156,300 2,661,651 73,338,349
Subtotal-Ocean Oulfall Systems 91,973,000 4,334,675 7,428,500 11,763,175 80,209,825
Utility Systems
Cengen Cooling Water System Replacement 11,477,000 11,304,166 84,700 11,388,866 88,134
Cengen Emissions Control Project 24,950,000 17,184,906 5,265,700 22,450,606 2,499,394
UPS System Upgrades 7,891,000 - - - 7,891,000
Digester Gas Facilities Rehabilitation 85,870,000 - - - 85,870,000
Natural Gas Pipelines Repl at Plant No.1 and 2 1,310,017 - 9,000 9,000 1,301,017
Electrical Power Distribution System Improvements 35,081,000 - - - 35,081,000
Plant Water System Rehabilitation at Plant No.1 8,000,000 6,054,513 49,300 6,103,813 1,896,187
(Continued)
Section 3-Page 7
FY 2015-16 Second Quarter Report
Summary of Capital Improvement Construction Requirements - Project Life
For the Six Months Ended December 31, 2015
Current Total
Approved June 30,2015 Year Projected Remaining
Project Accumulated Projected Cost at Future
Budget Cost Cost June 30,2016 Budget
Utility Systems(continued)
Central Generation Rehab at Plant No. 1 35,646,979 - - - 35,646,979
Plant Water System Rehabilitation at Plant No.2 5,070,000 3,621,641 61,600 3,683,241 1,386,759
Boiler System Rehab&Scrubbers H&I Demolition at P2 3,095,000 2,593,983 202,800 2,796,783 298,217
Consolidated Demolition&UOlity Improvements at P2 43,984,000 1,184,290 499,200 1,683,490 42,300,510
Central Generation Rehab at Plant No.2 41,909,015 - - - 41,909,015
Plant Air System Master Plan 340,000 14g100 144,100 195,900
Subtotal-Utility Systems 304,624,011 41,943,499 6,316,400 48,259,899 256,364,112
Process Related Special Projects
Safety Improvements at Plants Nos.1 and 2 1,708,016 - 5,800 5,800 1,702,216
Corrosion Management 24,518,000 10,333,968 930,800 11,264,768 13,253,232
Odor Control Master Plan 1,900,000 933,582 455,300 1,388,882 511,118
Subtotal-Process Related Special Projects 28,126,016 11,267,550 1,391,900 12,659,450 15,466,566
Information Management Systems
Process SCADA Replacement 24,680,000 - - - 24,680,000
Programmable Control Panel Upgrades 3,177,000 706,439 1,528,600 2,235,039 941,961
SCADA System and Network Upgrades 27,839,000 14,464 1,073,400 1,087,864 26751,136
Strategic Information Architecture(SIA) 2,800,000 1,633,349 169,100 1,802,449 997,551
Inlemetllntranet Development 650,000 277,072 43,000 320,072 329,928
Geographic Information System 4,460,000 1,660,579 249,500 1,910,079 2,549,921
Information Technology Equipment Upgrade 4,148,000 3,205,226 113,600 3,318,826 829,174
EAM Software and Process Implementation 7,500,000 4,671,294 78,900 4,750,194 2749,806
PDS2D Software Replacement 525,000 320,388 15,000 335,388 189,612
Software and Computer Equipment Repl.Project 6,576,000 1,790,758 387,200 2,177,958 4,398,042
Land Records Mgmt System Project 600,000 373,951 - 373,951 226,049
Communication Radio System Replacement 750,000 355,645 355,645 394,355
Subtotal-Information Management Systems 83,705,000 15,009,165 3,658,300 18,667,465 65,037,535
Strategic&Master Planning
Master Planning Studies 11,803,111 - 797,200 797,200 11,005,911
Climate Change Impact Study 400,000 - - - 400,000
Stornm ater Master Plan 700,000 700,000
Subtotal-Strategic&Master Planning 12,903,111 797,200 797,200 12,105,911
Water Management Projects
Effluent Reuse Study 3,250,000 521,193 1,216,500 1,737,693 1,512,307
Subtotal-Water Management Projects 3,250,000 521,193 1,216,500 1,737,693 1,512,307
(Continued)
Section 3-Page 8
CIP Budget Review
Summary of Capital Improvement Construction Requirements - Project Life
For the Six Months Ended December 31, 2015
Current Total
Approved June 30,2015 Year Projected Remaining
Project Accumulated Projected Cost at Future
Budget Cost Cost June 30,2016 Budget
Support Facilities
Master Facilities Engineering Projects-Plant 43,325,807 21,111,389 3,198,500 24,309,889 19,015,918
Master Small Capital ReplacementlRehabilitation 15,622,000 - 1,033,000 1,033,000 14,589,000
Title 24 Access Compliance&Building Rehab Project 17,161,000 7,267,147 6,169,800 13,436,947 3724,053
South Perimeter Security and Storm Water Impr.at P1 5,277,000 107,327 441,000 548,327 4,728,673
Headquarters Complex,Site&Security&Entrance Realign. 168,000,000 - 117,200 117,200 167,882,800
Site and Security Improvements at Plant No.2 252,000 227,170 1,300 228,470 23,530
Administrative Facilities Implementation Planning 800,000 716,399 70,500 786,899 13,101
Ongoing Small Capital ReplacementlRehabilitation 21,672,000 19,420,090 1,200,700 20,620,790 1,051,210
Subtotal-Support Facilities 272,109,807 48.819,522 12,232,000 61,081,522 211,028,285
Others
Future Research Line Item 10,440,032 1,264,527 600,700 1,865,227 8,574,805
Capital Improvement Program Mgml.Services 300,000 10,000 (8,900) 1,100 298,900
Subtotal-Others 10,740,032 1,214,52] 591,800 1,866,327 &873,705
Additional Charges to Cl P Completed at 6130115 15,000 15,000 (15,000)
Total Treatment and Disposal Projects 1,875,406,030 353,587,296 102,718,900 456,306,196 1,419,099,834
Capital Equipment Purchases 13,328,984 5,178,339 3,048,900 8,227,239 5,101,745
Total Collection,Treatment and Disposal Projects
and Capital Equipment Purchases $2,618,098,020 $439,060,672 $134,660,100 $573,720,772 $2,044,377,248
Section 3-Page 9
FY 2015-16 Second Quarter Report
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Section 3- Page 10
Capital Assets Schedule & Debt Service Budget Review
Capital Assets Schedule
For the Six Months Ended December 31, 2015
Capital Facilities Budget Review
Balance Year-to-Date Balance
07/01/15 Additions 12/31/15
CONSTRUCTION IN PROGRESS:
Treatment Plant $ 310,917.052 $ 54,450,781 $ 365,367,833
Collection System 81,292,173 14,276,504 95,568,677
Subtotal 392,209,225 68,727,285 460,936,510
PROPERTY,PLANT&EQUIPMENT(at cost):
Land and Property Rights 15,959,559 - 15,959,559
Collection Lines and Pump Stations 758,158,102 - 758,158,102
Treatment Facilities 2,255,777,614 - 2,255,777,614
Effluent disposal facilities 97,014,820 - 97,014,820
Solids disposal facilities 3,463,236 - 3,463,236
General and administrative facilities 227,945,470 - 227,945,470
Excess purchase price over book value on acquired assets 19,979,000 19,979,000
Subtotal 3,378,297,801 3,378,297,801
Total Property,Plant&Equipment&CIP $ 3,770,507,026 $ 68,727,285 $ 3,839,234,311
Debt Service Budget Review
2015-16 Year-to-Date Remaining
Budget Payments %of Budget Budget
Principal Payments by Debt Issue:
2007A COP 255,000 - 0.00% 255,000
2007B COP 6,775,000 - 0.00% 6,775,000
2008B COP 8,500,000 8,500,000 100.00% -
2009A COP 4,050,000 - 0.00% 4,050,000
2010A BABs - - N/A -
2010C BABs - - N/A -
2011ACOP 9,825,000 9,825,000 100.00% -
2012A COP - - N/A -
2012B COP - - N/A -
2014A COP - - N/A -
2014B CANS 7,827,411 - 0.00% 7,827,411
2015A COP
Subtotal Principal Payments 37,232,411 18,325,000 49.22% 18,907,411
Interest Expense by Debt Issue:
2007A COP 4,114,227 2,059,239 50.05% 2,054,988
2007B COP 12,826,634 5,465,494 42.61% 7,361,140
2008B COP 389,825 153,100 39.27% 236,725
2009A COP 8,825,700 4,412,850 50.00% 4,412,850
2010A BABs 2,897,639 2,108,419 72.76% 789,220
2010C BABs 6,523,780 4,746,908 72.76% 1,776,872
2011A COP 5,398,725 2,822,175 52.27% 2,576,550
2012A COP 3,735,900 1,867,950 50.00% 1,867,950
2012B COP 3,187,400 1,593,700 50.00% 1,593,700
2014A COP - 2,127,250 N/A (2,127,250)
2014B CANS 464,523 2,414,300 519.74% (1,949,777)
2015A COP 6,180,693 3,191,133 51.63% 2,989,560
Subtotal Interest Expense 54,545,046 32,962,518 60.43% 18,592,968
Total Debt Service $ 91,777,457 $ 51,287,518 55.88% $ 37,500,379
Section 4- Page 1
2015-16 Second Quarter Report
This Page Intentionally Left Blank
Section 4 - Page 2
Self Insurance Budget Review
General Liability and Property Fund Budget Review
For the Six Months Ended December 31,2015
Percent
Actual of Budget Remaining Actual
2015-16 Through Through 2015-16 Through Increase
Budget 12/31/15 12/31/15 Budget 12/31/14 (Decrease)
Revenues:
In-Lieu Premiums $ 496,000 $ 247,998 50.00% $ 248,002 $ 250,002 $ (2,004)
Miscellaneous Other Revenue - 14,334 N/A - - 14,334
Service Department Allocations 20,000 2,748 13.74% 17,252 2,748 -
Total Revenues 516,000 265,080 51.37% 265,254 252,750 12,330
Expenses:
Benefits/Claims 75.000 13,549 18.07% 61,451 - 13,549
Contractual Services 200 - 0.00% 200 - -
Legal Services 50,000 28,905 57.81% 21,095 9,578 19,327
Professional Services 2,500 0.00% 2,500
Subtotal 127,700 42,454 33.25% 85,246 9,578 32,876
Policy Premium Expense 1,530,000 580,262 37.93% 949,738 550,936 29,326
Total Expenses 1,657,700 622,716 37.57% 1,034,984 560,514 62,202
Excess Revenue (Expense) (1,141,700) (357,636) $ (769,730) (307,764) (49,872)
Beginning Reserves 56,141,700 56,125,515 56,802,224 (676,709)
Ending Reserves $55, 000,000 $ 55, 667,879 $ 56, 994,460 $ (726,581)
Section 5-Page 1
FY 2015-16 Second Quarter Report
Workers'Compensation Fund Budget Review
For the Six Months Ended December 31, 2015
Percent
Actual of Budget Remaining Actual
2015-16 Through Through 2015-16 Through Increase
Budget 12/31/15 12/31/15 Budget 12/31/14 (Decrease)
Revenues:
In-Lieu Premiums $ 1,478,700 $ 739,350 50.00% $ 739,350 $ 377,500 $ 361,850
Miscellaneous Other Revenue 5,000 - 0.00% 5,000 - -
Service Department Allocations - - N/A - - -
Total Revenues 1,483,700 739,350 49.83% 744,350 377,500 361,850
Expenses:
Benefits/Claims 525,000 433,699 82.61% 91,301 301,605 132,094
Contractual Services - - N/A - - -
Legal Services 130,000 124,201 95.54% 5,799 42,573 81,628
Professional Services 75,000 35,847 47.80% 39,153 15,912 19,935
Subtotal 730,000 593,747 81.34% 136,253 360,090 233,657
Policy Premium Expense 225,000 97,169 43.19% 127,831 111,263 (14,094)
Total Expenses 955,000 690,916 72.35% 264,094 471,353 219,563
Excess Revenue(Expense) 528,700 48,434 $ 480,266 (93,853) 142,287
Beginning Reserves 1,471,300 1,523,264 1,771,820 (248,556)
Ending Reserves $ 2A00,000 _L 1,571.698 $ 1,677,967 $ (106,269)
Section 5-Page 2
a
C�p
January 31, 2016
STAFF REPORT
Quarterly Treasurer's Report
For the Three Months Ended December 31, 2015
SUMMARY
Section 15.0 of the District's Investment Policy includes quarterly reporting requirements
for the District's two investment portfolios. These two funds, the "Liquid Operating
Monies," and the "Long-Term Operating Monies" are managed by Chandler Asset
Management, the District's external money manager.
The ongoing monitoring of the District's investment program by staff and Callan
Associates, the District's independent investment advisor, indicates that the District's
investments are in compliance with the District's adopted Investment Policy and the
California Government Code, and that overall performance has tracked with benchmark
indices. In addition, sufficient liquidity and anticipated revenues are available for the
District to meet budgeted expenditures for the next six months. The District's portfolios
do not include any reverse repurchase agreements or derivative securities.
ADDITIONAL INFORMATION
Performance Reports
The Quarterly Strategy Review, prepared by Chandler Asset Management, and the
Investment Measurement Service Quarterly Review, prepared by Callan Associates, is
attached for reference. Also attached are Long-Term and Liquid Operating Monies
Summary of Performance Data and Portfolio Statistics charts that depict the
performance results, estimated yield and duration, credit quality, and sector
diversification of the District's portfolios, as of December 31, 2015. The Liquid
Operating Monies portfolio, with an average maturity of 77 days, consists entirely of
high quality fixed income investments consistent with the District's investment policy.
Portfolio Performance Summary
The following table presents a performance summary of the District's portfolios as
compared to their benchmarks for the period October 1 through December 31, 2015.
OOSD ♦ P.O.Box 8127 ♦ Fountain Valley,LA 9272B-B127 ♦ (714)962-2411
Quarterly Treasurer's Report
For the Three Months Ended December 31, 2015
Page 2 of 3
Portfolio Performance Summary
Quarter Ended December 31,2015
Liquid Operating Monies %) Long-Tenn Operating Monies °
Total Rate Total Rate of
of Return Benchmark(') Return Benchmark(')
3 Months 0.05 0.03 -0.33 -0.56
6 Months 0.11 0.04 0.19 0.12
9 Months 0.16 0.05 0.03 0A 1
12 Months 0.23 0.05 0.85 1.07
Since inception Nov.30,2014 0.22 0.05 0.58 0.69
Market Value 132.OM 314.8M
Average Quality "AAA"P'Aal" "AN+rAal"
Current Yield(%) 0.5 1.4
Estimated Yield to Maturity(%) 0.4 1.3
Quarterly Deposits(Withdrawals) $88.oM 53.OM
Estimated Annual Income $0.5M $4.1M
(1) Benchmarks:
• Liquid Operating Portfolio: 3-Month Treasury Bill Index
• Long-Teml Operating Portfolio: Merrill Lynch Corp/Govt. 1-5 Year Bond Index
Portfolio Market Values
Comparative marked-to-market quarter-end portfolio values are shown in the following table, and in the
attached bar chart.
Liquid Long-Term
Quarter Operating Operating
Ending Monies($M) Monies($M)
31 Mar.15 49.5 386.8
30 Jun.15 61.8 404.9
30 Sep.15 43.9 262.6
31 Dec.15 132.0 314.8
District's Investment Account Balances as of December 31, 2015
Book Balances Estimated
Investment Accounts December 31, 2015 Yield(%)
Slate of Calif.LAIF $ 42,340,579 0.40
Union Bank Checking Amount 70,860 0.00
Union Bank Overnight Sweep Account 1,713,000 0.01
Union Bank W/C Checking 68,590 0.00
Chandler-Short-term Portfolio 131,826,481 0.49
Chandler-Long-term Portfolio 313,946,130 1.41
Petty Cash 3,000 N/A
BNY Mallon OCIP Reserve 3,602,661 0.25
TOTAL $493.571 301 1.06
Debt Service Reserves w/Tmstees R 32.9.5a_214 1.71
Quarterly Treasurer's Report
For the Three Months Ended December 31, 2015
Page 3 of 3
District's Cost of Funds on Debt Issues as of December 31, 2015
Annual
Cost of Funds Outstanding Intetest
Issue Description COP Bzlance Rate r%)
2007A Fixed $92,140,000 4.50
2007B Fixed 13,885,000 4.71
2008B Fixed 8,815,000 2.96
2009A Fixed 180,235,000 4.72
2010A Fixed 80,000,000 3.68
2010C Fixed 157,000,000 4.11
2011A Fixed 111,465,000 2.61
2012A Fixed 100,645,000 3.54
2012B Fixed 66,395,000 1.50
2014A Fixed 85,090,000 2.34
2014B Fixed 120,850,000 0.35
2015A Fixed 127510.000 3.30
TOTAL $I 144 030 0(I11
Weighted Avg.Cost of Foods 3.24
ATTACHMENTS
1. Chandler Quarterly Report
2. Summary of Performance Data and Portfolio Statistics— Liquid Operating Monies
3. Summary of Performance Data and Portfolio Statistics — L-T Operating Monies
4. Investment Transactions and Balances in LAW
5. Asset Summary by Asset Type— Liquid Operating Portfolio
6. Asset Summary by Asset Type— Long Term Portfolio
7. Asset Summary by Asset Type — Owner Controlled Insurance Program Escrow
Account
8. Investment Listing (Yield Analysis Report).
9. Asset Detail — Consolidated
10. Custody Transaction History -- Consolidated
11. Callan Quarterly Review
12. Chandler Quarterly Review
13. Rating Agency Comparisons
C/" CHANDLER
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MANAGEMENT
December 31, 2015
Mr. Mike White, CPA
Controller
Orange County Sanitation District
10844 Ellis Avenue
Fountain Valley CA 92708-7018
Dear Mike,
Bond Market Recap
As expected, in December the Federal Open Market Committee (FOMC) increased the fed
funds target rate by 25 basis points. It was the first fed funds target rate increase since June
2006. Although the Fed took its first step toward normalizing monetary policy, the tone of the
FOMC statement was dovish, suggesting the pace of additional policy tightening will be slower
than historical Fed tightening cycles. Policymakers' median projection for the fed funds rate at
the end of 2016 is 1.375%. In the longer-run, the target fed funds rate is roughly 3.5%.
However, the FOMC has emphasized that monetary policy adjustments will be gradual and the
path of the fed funds rate will depend on the economic outlook. Notably, the FOMC will continue
to reinvest principal payments from its holdings of Agency and Mortgage-Backed securities and
will continue rolling over maturing Treasury securities until normalization of the fed funds rate is
well underway. Overall, monetary policy remains highly accommodative and the Fed is
proceeding with caution as it moves toward a more normalized policy stance.
Economic data is mixed. Trends in the labor market remain favorable, and consumer confidence
rebounded in December. However, the manufacturing sector remains weak and housing sector
data has been volatile. The ISM manufacturing index declined to 48.2 in December, to the
weakest level since July 2009. In terms of housing, new and existing home sales were recently
weaker than expected, but home prices remain firm. Nevertheless, payrolls have increased by
an average of 284,000 per month over the past three months, with the unemployment rate at
5.0%, which should provide a strong tailwind for economic growth this year. Third quarter 2015
GDP grew at an annualized pace of 2.0%, following growth of 3.9% in the second quarter. Last
month, the consensus forecast called for GDP growth of 2.1% in the fourth quarter of 2015, but
many economists have since lowered their forecast significantly. We are expecting GDP growth
of about 2.0%-2.5% in 2016.
During 2015, 2-year Treasury yields increased nearly 40 basis points, while 10-year Treasuries
increased roughly 10 basis points. This bear flattening (with short-term rates rising more than
long-term rates), is consistent with previous Fed tightening cycles and we expect this trend to
continue. Over much of the past year, financial market volatility has been elevated due to mixed
US economic data, the uncertain timing of the first rate hike, weak global economic growth,
divergent global central bank monetary policies, turmoil in Asian stock markets, and geopolitical
C/" CHANDLER
ASSET
MANAGEMENT
concerns. Ongoing uncertainty about the future pace of monetary policy normalization, and how
the Fed communicates its economic projections, will likely continue to fuel financial market
volatility.
The yield on the two-year Treasury note rose roughly 12 basis points in December to 1.05%.
Meanwhile, the yield on the ten-year Treasury note rose just six basis points in December to
2.27%. Overall, the Treasury yield curve flattened during 2015 in anticipation of monetary policy
normalization by the Federal Reserve and we expect this trend to continue. Looking ahead, we
believe the pace of subsequent rate hikes will be slower than historical Fed tightening cycles, in
light of ongoing sluggishness in the global economy.
2
C/" CHANDLER
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Consumer Prices
In November, the Consumer Price Index (CPI) rose 0.5% on a year-over-year basis, up from
0.2% in October. Year-over-year comparisons have become easier, given the precipitous
decline in energy prices at the end of 2014. Meanwhile, Core CPI (CPI less food and energy)
was up 2.0% in November on a year-over-year basis, vs. up 1.9% in October. The Personal
Consumption Expenditures (PCE) price index was up 0.4% on a year-over-year basis in
November, up from 0.2% in October. Core PCE (excluding food and energy)was unchanged in
November, up 1.3% on a year-over-year basis. Overall, inflation isn't showing signs up
significant upward pressure and remains below the Fed's 2.0% target.
Retail Sales
On a year-over-year basis, retail sales were up 1.4% in November, versus growth of 1.7% in
October. On a month-over-month basis, retail sales rose 0.2% in November, below the
consensus forecast of 0.3%. However, excluding autos and gas, the figure was up 0.5%,
stronger than the consensus forecast. Discretionary categories like restaurants, electronics &
appliances, and clothing & accessories posted healthy gains. Online sales were also strong in
November.
Labor Market
The December employment report was mostly stronger than expected. Nonfarm payrolls rose
by 292,000 in December, above the consensus forecast of 200,000. October and November
payrolls were also revised up by a total of 50,000. The unemployment rate was unchanged at
5.0%. The participation rate inched up to 62.6%from 62.5%. However, wages were flat, missing
expectations for a 0.2% increase. A broader measure of unemployment called the U-6, which
includes those whom are marginally attached to the labor force and employed part time for
economic reasons, was unchanged from November at 9.9%. Over the past three months,
payrolls have increased by an average of 284,000 per month, compared to the trailing six-month
average of 229,000.
Housing Starts
Total housing starts rose 10.5% in November, exceeding expectations. Single-family housing
starts rose 7.6% while multi-family starts rose 16.4%. Housing starts tend to be volatile on a
month-to-month basis, but the trend is favorable. Housing permits rose 11.0% in November,
also exceeding expectations.
3
C/" CHANDLER
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TREASURY YIELDS 12/31/2015 9130/2015 CHANGE
3 Month 0.17 (0.02) 0.15
2 Year 1.05 0.63 0.42
3 Year 1.31 0.90 0.41
5 Year 1.76 1.36 0.40
7 Year 2.09 1.74 0.35
10 Year 2.27 2.04 0.23
30 Year 3.02 2.85 0.17
ECONOMIC INDICATOR CURRENT RELEASE PRIOR RELEASE ONE •
Trade Balance (42.4) $Bin NOV 15 (44.6) $Bln OCT 15 (40.0) $Bln NOV 14
GDP 2.0%SEP 15 3.9%JUN 15 4.3%SEP 14
Unemployment Rate 5.0% DEC 15 5.0% NOV 15 5.6%DEC 14
Prime Rate 3.25% DEC 15 3.25%NOV 15 3.25% DEC 14
CRB Index 176.14 DEC 15 182.54 NOV 15 229.96 DEC 14
Oil (West Texas Int.) $37.04 DEC 15 $41.65 NOV 15 $53.27 DEC 14
Consumer Price Index(y/o/y) 0.5% NOV 15 0.2%OCT 15 1.3% NOV 14
Producer Price Index(y/o/y) (3.2%) NOV 15 (4.1%) OCT 15 1.1% NOV 14
Dollar/EURO 1.09 DEC 15 1.06 NOV 15 1.21 DEC 14
4
C/" CHANDLER
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Performance Attribution
Long-Term Portfolio
The Long-Term portfolio outperformed the benchmark during the quarter, generating a return of
(0.33%) versus (0.56%) for the Bank of America Merrill Lynch 1-5 Year AAA-A US Corporate
and Government Index. The mix of securities in the Corporate allocation positively contributed
to results, even in the face of a modestly lower allocation, as several of the finance names in the
portfolio outperformed. Credit spreads were marginally tighter during the quarter as risk
markets recovered somewhat from the September downdraft. The Treasury positions with
maturities less than one year also positively contributed to results as the move higher in yields
was more pronounced at the two year maturity point and beyond. The Municipal and Agency
allocations were slight detractors from performance as both sectors experienced slight spread
widening during the quarter. Purchased securities added to the portfolio during the quarter were
exclusively in the Treasury, Agency, and Commercial Paper sectors and were predominately at
the short or longer end of the benchmark, with few purchases in the intermediate part of the
maturity distribution. On a net basis $53 million was contributed to the portfolio during the
quarter.
Liquid Portfolio
The Liquidity portfolio outperformed the benchmark during the quarter, generating a return of
0.05% versus 0.03%for the three-month Treasury Bill Index. The portfolio added to exposure in
the Treasury, Agency, Commercial Paper, Negotiable CD, and Corporate sectors of the market
to reinvest to upcoming liquidity needs and to counteract the shortening maturity of the portfolio
due to the passage of time. The overall theme of positioning for upcoming liquidity needs and
out yielding the benchmark with the residual cash remains in place. On a net basis $88 million
was contributed to the portfolio during the quarter.
5
C/" CHANDLER
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Economic Outlook
Chandler anticipates the domestic and global economic backdrop will remain challenging in the
first half of 2016. Although the employment picture in the fourth quarter was strong, with non-
farm payrolls averaging 284k and the unemployment rate holding steady at 5.0%, other
measures of employment are not as robust. In particular, the US participation rate remains
moribund at 62.6% and the U-6 unemployment rate, which includes part-time and marginally
attached workers, is still elevated at 9.9%. Commodity markets remain under pressure, with
many market participants focused on the precipitous drop in the price of oil over the past year.
Until the supply picture clears up, with some producers taking supply off-line, the price of oil will
continue to impact market sentiment to the downside. Intuitively lower oil prices should be good
for the consumer, but retail sales have been soft and overall investors seem to be more
concerned about the lack of aggregate demand on a global basis. US GDP growth in 2016 is
forecasted to be in a range of 2.0-2.5%, consistent with the past several years, but likely not
strong enough to exert material upward pressure on domestic interest rates. The Chandler
team anticipates the Federal Reserve will not be able to meet their dot plot forecasts and thus
we think it is unlikely the Fed Funds rate will be near 1 3/8% at year-end 2016.
Chandler is forecasting market volatility to remain elevated, similar to the experience in the
second half of 2015. The FOMC (Federal Open Market Committee) meetings in March, June,
September and December will take on heightened importance as the current economic
projections by the Federal Reserve are above market expectations and we would anticipate
some capitulation by the Federal Reserve with the upcoming quarterly updates. Spread
valuations in Corporate and Asset Backed look attractive versus long-term averages, and the
team will look to be opportunistic in both sectors.
Strategy
Strategy highlights for the Long-Term Portfolio in coming months:
• Opportunistically increase the Corporate allocation in high quality names to take
advantage of the widening in spreads over the past year. Avoid names predisposed to
M&A activity and sacrificing their balance sheet to the benefit of equity holders.
• Add to the ASS allocation via the new issue market which is typically active in the first
quarter of the year, the current allocation has drifted below our target of 8.0-10.0% of the
portfolio.
• Focus new positions on shorter and longer maturity notes, at the expense of
intermediate maturities, as the curve flattening bias is likely to remain in place.
Strategy highlights for the Liquidity Portfolio in coming months:
• Continue to ladder the Agency discount note exposure to correspond with a portion of
the upcoming liquidity needs.
• Maintain a dedicated allocation to the US Treasury sector of at least 20.0% on an
ongoing basis (current exposure 31.1%).
• After anticipated liquidity needs are met focus on Corporate notes with maturities
between six to twelve months to increase the total return opportunity of the strategy.
6
C/" CHANDLER
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MANAGEMENT
Compliance Issues
Orange County Sanitation District Long Term
Imo/"
` December 31,2015
COMPLIANCE WITH INVESTMENT POLICY
Assets managed by Chandler Asset Management are in full compliance Wth State lawand Wth the investment policy
Category Standard Comment
Treasury Issues 5 years maximum matunty Complies'
Suprareational "AA"or better by 1 of 3 NRSROs; 30%maximum; 5%max; 5 Complies
years maturity; Includes a*. IADB,IBRD,and IFC per CGC
U.S.Agencies 20%maxissuer, 5yearsmawmunmatunty Complies
U.S.Corporate(MTNs) "A"or better long term rating by 1 of 3 NRSROs; 30%maximum; Complies'
5%max issuer 5 years max maturity
Municipal Securities "A"or higher by l of 3 NRSROS;10%maximum; 5%max issuer, Complies'
5 years maxi mum maturity
Asset Backed/CMOs/ "AA"or better by l of NRSROs; "A"or higher issuer rating by l Complies'
Mortgage-backed of3NRSROs; 20%maximum; 5%maxissuer(excludirg
MBS/ ovtagency);5 ars max maturity
Negotiable CDs "A"or better on its long term debt by l of 3 NRSROs; "A71P7"or Complies
highest short term ratings by 1 of 3 NRSROs; 30%maximum;5%
max issuer, 5 years max maturity
CDs/TDS 5%max issuer; 5 years max maturity Complies
Bankers Acceptances A-1,or equivalent highest short temr rating by l of 3 NRSROS; Complies
40%maximum; 5%max issuer;180 days max maturity
Commercial Paper A-1,or equivalent by l of 3 NRSROS; "A"or better by of Complies
NRSROs,if long temp debt issued; 25%maximum; 5%max
issuer; 270 days max maturity,
Money Market Fund Highest rating by 2 of NRSROs; 20%maximum;10%max issuer Complies
Repurchase Agreements 102%collateralization Complies
Reverse Repurchase 5%maximum,90 days max maturity, Complies
Agreements
LAIF Not used by investment adviser Complies
Avg Duration Not to exceed 60 months - (80%to 120%ofthe benchmark) Complies
Maximum Maturity 5 years maximum maturity Complies'
'The portfolio has twentyaigM(28)securities with maturities greater than 5 years including two(2)ABS,Pao(2)CMOs,lwemyore(21) ABS,one
(1)municipal,one(1)comorate and one(I)treasury. All securities were inherited from the previous manager and complied at time of purchase.
7
C/" CHANDLER
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MANAGEMENT
CA` Orange County Sanitation District Liquid
December 31,2015
COMPLIANCE WITH INVESTMENT POLICY
Assets managed by Chandler Asset Management are in full compliance wth State lawand win the investment policy
Category Standard Comment
Treasury Issues 1year maximum maturity, Minimum allocation of 10% Complies
Srpransdonal "AA"orbefterbyl of3NRSROs; 30%maximum; 5%max; 1 Complies
armaWri , Includesonl . fADB,IBRD,and IFC erCGC
U.S.Agencies 20%maxissuer, l yearmaximummaturity Complies
U.S.Corporate(MTNs) "A"or better long term rating by 1 of 3 NRSROs;30%maximum; Complies
5%max issuer; 1 year max maturity
Asset Backed/CMOs "AA"or better by l of NRSROs; "A"or higher issuer rating by l Complies
of 3 NRSROs; 20%maximum; 5%max issuer; 1 year max
maturity
Negotiable CDs "A"or better on its long tenn debt by l of 3 NRSROs; "Al/Pl"or Complies
highest short term ratings by 1 of 3 NRSROs; 30%maximum;5%
max issuer,,l year max maturity
CDs/TDS 5%max issuer; l year max maturity Complies
Bankers Acceptances A-1,or equivalent short term rating by l of 3 NRSROS; 40% Complies
maximum; 5%max issuer,180 days max malunifty
Commercial Paper A-1,or equivalent by l of 3 NRSROS; "A"or better by l of 3 Complies
NRSROs,if long tens debt issued; 25%maximum; 5%max
issuer, 270 days max maturity
Money Market Fund Highest rating by 2 of NRSROs; 20%maximum;10%max issuer Complies
Repurchase Agreements 102%collatemlization Complies
Reverse Repurchase 5%maximum,90 days max maturity Complies
Agreements
LAIF Not used by investment adviser Complies
Prohibited Municipal Securities Complies
Prohibited Mortgage Securities Complies
Avg Duration Nottoexceed 180 days; Maxdumtionofl/2 year iComplies
Maximum Maturity 1 year maximum maturity Complies
8
C/" CHANDLER
ASSET
MANAGEMENT
CAI OCSD Lehman Exposure
December 31,2015
COMPLIANCE WITH INVESTMENT POLICY
Assets managed by Chandler Asset Management are in full compliance with State toward Wth the inveshnent policy
Category Standard Comment
Treasury Issues 5 years maximum maturity Complies
Supranalional "AA"or better by 1 of3 NRSROs; 30%maximum; 5%max 5 Complies
years maturity; Includes only. IADB,IBRD,and IFC per CGC
U.S.Agencies 20%maxissuer, 5yearsmaximummatun Com lies
U.S.Corporate(MTNs) "A"or better long term rating by 1 of 3 NRSROs; 30%maximum; Complies*
5%max issuer; 5 years max maturity
Municipal Securities "A"or higher by l of3 NRSROS;10%maximum; 5%max issuer, Complies
5 years maximum maturity
Asset Backed/CMOs/ "AA"or better by l of 3 NRSROs; "A"or higher issuer rating by l Complies
Mortgage-backed of3NRSROs; 20%maximum; 5%maxissuer(excluding
MBS/ owagency);5 ars max maturity
Negotable CDs "A"or better on its long term debt by l of 3 NRSROs; "A11P7"or Complies
highest short term ratings by 1 of 3 NRSROs; 30%maximum;5%
max issuer, 5 years max maturity
CDs/TDS 5%max issuer; 5 years max maturity Complies
Bankers Acceptances A-1,or equivalent highest short ten rating by l of 3 NRSROS; Complies
40%maximum; 5%max issuer 180 days max maturity
Commercial Paper A-1,or equivalent by l of 3 NRSROS; "A"or better by l of 3 Complies
NRSROs,if long term debt issued; 25%maximum; 5%max
issuer; 270 days max maturity
Money Market Fund Highestrabrg by2 of3 NRSROs; 20%maximum;10%maxissuer Complies
Repurchase A reements 102%collateralizabon Complies
Reverse Repurchase 5%maximum,90 days max maturity Complies
Agreements
LAIF 1 Not used by investment adviser Complies
Avg Duration Nottoexceed60mon8e - 80%to120%oftebenchmark Complies
Maximum Maturity 5 years maximun maturity Complies
Account holds,$2 million face said.(cusip 525ESUY6)and$600,000 face value(cusip 525ESC1B7)of setaulteU Lehman Bros Holdings that were
pumbaseL by the pntmous manager. Con,aied at time of purchase.
9
C/" CHANDLER
ASSET
MANAGEMENT
Defaulted Bonds
C/" l1f.Slll nhmanf xlnanr HOId Ings Report
/1t 1.uIINI FI O%tlA
PoMMOH SLOG(
SLHOPNIN 1eAman Boar—IK tbnbn 60.13811 11131127t< H12013 0a3 3B 1.11 16.00% N HIRNR OW
Imp ERLm OM% m136.11 OOJ% . 00344 W) OW
Ow 1p1111p016
Ndlldl 91.7%; 1111% NRINR 0,00
i0111Ganmon 90H 11]SU1 WA "1"13 0-00% 0.00 OI 3400) NR 0,00
N COMPOMLE
606ESCIBI .-I Boall.Ctluld M.WJW 0Ul.0 M 113,003.00 "1 )S1WW 10.66% NRINR 007
Dm 113@010 OW% $72012.00 OW% OW 030,21290) NR OW
126EEWI1 Wlman 5014n NnDaWIM Lro,"U'V 0011B1AM S1TO1 1.
Oe 1d3012MB OW% 1 W9 roll 2i% NRINR 11
% 0AU'llB 06) NR OW
1.pOd 36.00 L1F60.00 a1.01% NRIXR 26
i0Ol O3 Cvpuele 3.800.00N00 WA 1,pOd 36.08 OLO% 0.00 11.a3fiA 16.001 No
0.00
1,BN,3614 IMU"9 100.00% NRINR 31 40
iOIRL Pool 3.331.4fl19 WA LBU,361.4 OLO% 0.00 0.470,22299) NR 0.00
T07ALIMRUTVAWE PLBSRCCRBED D0.09A19
10
OIL CHANDLER
ASSET
MANAGEMENT
Ratings
Orange County Sanitation District Long Term
tlecemEer 31,2015 vs. SepterrW 30,2015
mob
mob
ao.
mo.
0 w M • A M
M M A J NN
1M1n5 13B% 50.6% 8.5% 6.2% 36%
~1 106% Was. 14.1% 12% 5.5%
wn se`w
Orange County Sanitation District Liquid
Decmber 31.W15 vs. Septern0er W.MIS
mob
mob
LL6% IM M .5 <A M
� 1 VIS • e'MP15
AM M A J No
1201n5 63.3% 23.1% 05% 00% 08%
entl15 36.0% 43.5% 18.6% 0.0% 0.0%
Sun:Lellup
tt
C/" CHANDLER
ASSET
MANAGEMENT
OCSD Investment Program
Quarter End Portfolio Value
$600,000,000
Liquid Operating Monies
$500,000,000 •Long-Term Operating Monies
$400,000,000
$300,000,000
$200,000,000
$100,000,000
$- p y Q
@; 4'e
70 7S 10
HISTORICAL YIELD CURVE
4.00%
DEG 15
-::DECNOV 15 3.02%
3.00% — 14 _
2.27%
2.09
2.00% _______________1.76 -----------------------------------
1.31%
1.05%
1.00
0.48%
0.17%
0.00% a�
12
C/" Orange County Sanitation District Liquid Portfolio Summary
Account#10282 As of 12/31/2015
MEMEMEN
PORTFOLIO CHARACTERISTICS ACCOUNTSUMMARY ••
01111110 Beg.Values End Values Issuer %Portfolio
Average Duration 0.21 as of 11/30/15 as of 12/31/15 Government of United States 31.1 %
Average Coupon 0.49% Market Value 43,886,453 131,842,781
Federal Home Loan Bank 19.9
Average Purchase YTM 0.38% Accrued Interest 62,886 118,943 Drefus Treasury MMKT FD 521 9.8%
Averse Market YTM 0.41 % Total Market Value 43,949,339 131,961,724
9 Federal Home Loan Mortgage Corp 9.5%
Average S&P/Moody Rating AAA/Aal Income Earned 11,137 19,115 Federal Farm Credit Bank 8.4%
Average Final Maturity 0.21 yrs COnt1wD 88.000,000 International Finance Corp 1.9%
Average Life 0.14 yrs Par 43,845,962 131,810,118 Paccar Financial 1.7%
Book Value 43,888,182 131,851,241 Bank of Tokyo-Mr UFJ 1.7%
Cost Value 43,948,710 131.909,648 83.9%
• - - • • MATURITY DISTRIBUTION
US 90% AAA
Conxxah` fig 9"a (B7J%)
0.8%)\
6upmnaaonal US
(1.9%) Treasury 1W96
(31.1%)
NegoaaNs
CD
(0.8%) 40%
Money
Market 194%
Fund 20%
Canmercial ID.7%
Paper NR
(6A%) % I (0.8%)
A9�Y o-ss ss-s s-k 1-1,1 ks-z z.zs as-a a. AA A
(39.3%) Maturity fym) (23.1%) (8.5%)
Total Rate of Return Current Latest Year Annualized Since
As of 12/31/2015 Month 3 Months To Date 1 Yr 5 Yrs 10 Yrs 11/30/2014 11/3012014
Orange County Sanitation District Liquid 0.01 % 0.05% 0.23% 0.23% N/A N/A N/A 0.22% 0.23%
BAML 3-Month US Treasury Bill Index 0.03% 0.03% 0.05% 0.05% N/A N/A N/A 0.05% 0.05%
Chandler Asset Management-CONFIDENTIAL Page 1 Ex cugon Time:19I20161:MA6 PM
C/" Orange County Sanitation District Long Term Portfolio Summary
Account#10268 As of 12/31/2015
PORTFOLIO CHARACTERISTICS ACCOUNTSUMMARY ••
Average Duration 2.42 Beg.Values End Values Issuer %Portfolio
as of 11/30/15 as of 12/31/15 Government of United States 35.4%
Average Coupon 1.41 % Market Value 271,387,265 313,753,445
Federal Home Loan Mortgage Corp 9.4%
Average Purchase YTM 1.30% Accrued Interest 1,031,129 1,011,160 Federal National Mortgage Assoc 9.3%
Averse Market YTM 1.32% Total Market Value 272,418,394 314,764,605
9 Federal Home Loan Bank 6.9%
Average S&P/Moody Rating AA+/Aai Income Earned 286,298 311,066 Drefus Treasury MMKT FD 521 4.7%
Average Final Maturity 2.87 yrs COnt/WD 42.695,056 Toyota ASS 2.9%
Average Life 2.53 yrs Par 269,591,639 312,879,297 Toyota Motor Corp 2.6%
Book Value 270,712,823 313,739,280 Honda ASS 1.8%
I Cost Value 271,551,376 314.607,013 73.0%
• - • • MATURITY DISTRIBUTION
US 25% PA
CoPence
(69 9%I
SupranaGa w
(41%) US �q% 195%
Treasury NR
Municipal (35,E%) (3.6%)
Bantle 15% 14.6% 13.5% BBB
money (d.2%)
Madre) to.3%
MBS 10% e.a%
d%) A
Conare.n
Paper ABS 6% 2.a%
CMO (6.0%)
0.5%) %
Agazy 0- 25 s5-.5 5-1 1-3 2-3 3-a a-s s. APA
23.9%)
Maturity(Yrs) (138%))
Total Rate of Return Current Latest Year Annualized Since
As of 12/31/2015 Month 3 Months To Date 1 Yr 5 Yre 10 Yrs 11/30/2014 11/3012014
Orange County Sanitation District Long Tenn -0.12% -0.33% 0.85% 0.85% N/A N/A N/A 0.58% 0.63%
BAML 1-5 Yr US Corporate/Gout Rated AAA-A Index -0.17% -0.56% 1.07% 1.07% N/A N/A N/A 0.69% 0.75%
BAML US 15 Yr US Corp/Govt Rated AAA-BBB Index -0.21 % -0.54% 1.05% 1.05% N/A N/A N/A 0.62% 0.67%
Chandler Asset Maregamert-CONFIDENTIAL Page 1 Execufion Tme:19120161:01:32 PM
Orange County Sanitation District
Investment Transactions and Balances in the
State of California Local Agency Investment Fund
December 31, 2015
Par Value Book Value Market Value Rate Yield
Balance
December 1, 2015 $35,340,579 $35,340,579 $35,340,579 0.40 0.40
Deposits:
12/3/2015 13,500,000 13,500,000 13,500,000 0.40 0.40
12/18/2015 8,500,000 8,500,000 8,500,000 0.40 0.40
Total Deposits 22,000,000 22,000,000 22,000,000 0.40 0.40
Withdrawals:
12/9/2015 (2,100,000) (2,100,000) (2,100,000) 0.40 0.40
12/11/2015 (2,300,000) (2,300,000) (2,300,000) 0.40 0.40
12/17/2015 (3,000,000) (3,000,000) (3,000,000) 0.40 0.40
12/23/2015 (7,600,000) (7,600,000) (7,600,000) 0.40 0.40
Total Withdrawals (15,000,000) (15,000,000) (15,000,000) 0.40 0.40
Balance
December 31, 2015 $42,340,579 $42,340,579 $42,340,579 0.40 0.40
Report ID: GL8251
Asset Summary Bare Cwnener: Can
i
BNY MELLON by Asset Type with Sectors Alternate eaxs Cwren�.
h..&RaW
Exceage ete:
OCS LNQ OF CHANDLER-OCSF07511102 12 3 L 2G 35 Status: FINAL
Net Unrealized
Cost Market Value % of Gain/Loss
Description Shares Per Base Base Total Base
CASH&CASH EQUWALENTS
U.B.DOLLAR
COMMERCIAL PAPER-DISCOUNT 8,400,000.000 8,392,994.11 8,392,994.11 6.36% 0.00
FEDERAL FARM CREDIT BANK- 1 YR OR LESS 11,075,000.000 11,069,575.03 11,069,575.03 8.39% 0.00
FEDERAL HOME LOAN BANK- 1 YR OR LESS 26,285,000.000 26,260,170.38 26,260,170.38 19.90% 0.00
FEDERAL HOME LOAN MORTGAGES- 1 YR OR LESS 12,500,000.000 12,493,492.99 12,493,492.99 9,47% 0.00
FNMA ISSUES- IYR OR LESS 2,000,000.000 1,998,079.56 1,998,079.56 1.51% 0.00
SHORT TERM INVESTMENT FUNDS(US REGULATED) 12,950,117.860 12,950,117.86 12,950,117.86 9.81% 0.00
U.S.TREASURY BILLS- 1 YR OR LESS 19,000,000mo 18,997,191.83 18,997,191.83 14.40% 0.00
INTEREST 135,649.47 135,649.47 0.10% 0.00
U.S.DOLLAR 92,210,119.860 92,297,271.23 92,297,271.23 69.94% 0.00
CASH&CASH EQUIVALERTS 92,210,117.860 92,297,271.23 92,297,271.23 69.94% 0.00
FEWD INCOME SECURITIES
U.S.DOLLAR
BANKING&FINANCE 8,000,000.000 8,052,170.00 8,030,470.00 6.09% -21,700.00
CERTIFICATES OF DEPOSIT 1,000,000.000 999,830.00 1,000,430.00 0,76% 600.00
CHEMICALS 1,000,000.000 1,001,530.00 1,000,050.00 0.96% -1,480.00
FOOD BEVERAGE&TOBACCO 2,000,000.000 2,007,580.00 2,006,180.00 1.52% -1,400.00
INSURANCE 1,000,000.000 1,014,170.00 1,008,500.00 0.96% -5,670.00
OIL&GAS 1,100,000.000 1,116,489.00 1,100,924.00 0.83% -15,565.00
RETAIL 1,000,000.000 1,032,590.00 1,O07,030.00 0.46% -25,560.00
SUPRANATIONAL ISSUES 2,500,000.000 2,498,750.00 2,498,025.00 1.89% -725.00
US GOVERNMENTS 22,000,000.000 22,024,917.45 22,013,250.00 16.68% -11,667.45
U.B.DOLLAR 39,600,000.000 39,748,026.45 39,664,859.00 30.06% -83,167.49
FIRED INCOME SECURITIES 39,60 ,000.000 39,748,026.45 39,664,859.00 30.06% -83,167.45
TOTAL ASSETS-BASE: 131,810,117.860 132,045,297.68 131,962,130.23 100.00% .83,167.46
111912016 6:27.-IOPM EST 1 Workbench
Asset Summary Report ID: GL8251
Base Currenry: Can
BNY MELLON by Asset Type with Sectors Alteesa[e Base Currency:
Exchange Rate:
OCs LONG CHANDLER-OCSF07522202 12 31 2015 Status: FINAL
Net Unrealized
Cost Market Value % of Gain/Loss
Description Shares Par Base Base Total Base
CASH&CASH EQUIVALENTS
U.S.DOLLAR
CASH EQUIVALENTS 68,128.130 104,812.50 28,818.20 0.01% -75,994.30
COMMERCIAL PAPER-DISCOUNT 8,260,000.000 8,248,763.67 8,248,763.67 2.62% 0.00
SHORT TERM INVESTMENT FUNDS(US REGULATED) 14,810,500.020 14,810,500.02 14,810,500.02 4.70% 0.00
PENDING TRADES 19.33 19.33 0.00% 0.00
INTEREST 1,026,642.18 1,026,642.18 0.33% 0.00
U.S.DOLLAR 23,138,628.150 24,190,737.70 24,114,743.40 7.66% -75,994.30
CASH&CASH EQUIVALENTS 23,138,629.150 24,190,737.70 24,114,743.40 7.66% -75,994.30
FRED INCOME SECURITIES
U.S.DOLLAR
ABS-CAR LOANS 14,927,116.970 14,906,508.12 14,894,693.72 4.73% -11,814.40
ASS-EQUIPMENT 4,000,000.000 4,001,875.00 3,981,360.00 1.26% -20,515.00
ASS-HOME EQUITY 177,265.070 138,854.43 167,241.51 0.05% 28,387.08
ASS-SMALL BUSINESS ADMINISTRATION 102,402.160 102,402.16 110,668.06 0.04% 8,265.90
ASS-STUDENT LOANS 43,030.870 42,856.29 43,060.13 0.01% 203.84
BANKING&FINANCE 46,200,000.000 47,032,874.82 44,951,333.00 14,27% -2,081,541.82
FHLMC MULTICLASS 2,059,266.930 2,254,178.80 2,278,466.90 0.72% 24,288A0
FHLMC POOLS 2,640.270 2,575.93 2,732.07 0.00% 156.14
FNMA POOLS 2,016,830.740 2,115,269.83 2,193,132.06 0.70% 77,862.23
FNMA REMIC 587,007.470 580,379.28 591,211.42 0.19% 10,832.14
GNMA MULTI FAMILY POOLS 281,819.150 281,829.21 290,415.66 0.09% 8,586.45
GNMA REMIC 46,276.070 46,276.07 46,542.62 0.01% 266.55
HEALTHCARE 4,000,000.000 4,009,675.00 4,034,400.00 1,28% 24,725.00
OIL&GAS 6,000,000.000 5,963,540.00 5,947,920.00 1.89% -15,620.00
SUPRANATIONAL ISSUES 13,000,000.000 13,035,120.00 12,959,440.00 4.11% -75,680.00
TAXABLE MUNICIPALS 4,240,000.000 4,307,633.89 4,6M,276.40 1.48% 356,642.51
TECHNOLOGY 7,000,000.000 7,003,475.40 6,954,060.00 2.21% -49,415.40
U.S.TIPS 10,417,368.000 10,300,083.89 9,893,686.91 3.14% -406,396.98
US AGENCIES 75,500,000.000 75,304,956.00 75,093,860.00 23.84% -211,096.00
US GOVERNMENTS 101,300,000.000 101,234,290.74 101,250,948.00 32,15% 16,657.26
WHOLE LOAN-CMO-COLLATERALIZED MTG OBLIG 507,773.030 507,770.72 508,580.39 0.16% 809.67
111912016 6:27.-IOPM EST 2 Workbench
Asset Summary Report ID: GL8251
Base Cunenry: USD
BNY MELLON by Asset Type with Sectors Alteesa[e Ease Currency:
Exchange Rate:
OCS LONG CHANDLER-OCSF07522202 12 31 2015 Status: FINAL
Net Unrealized
Cost Market Value % of Gain/Loss
Description Shares Par Base Base Total Base
U.B. DOLLAR 292,408,796.730 293,172,425.58 290,858,028.85 92.34% -2,314,396.73
F D INCOME SECURITIES 292,408,796.730 293,172,425.58 290,858,029.85 92.34% -2,314,396.73
TOTAL ASSETS-BASE: 315,547,424.880 317,363,163.28 314,972,772.25 100.00Y .2,390,391.03
111912016 6:27.-IOPM EST 3 Workbench
Asset Summary Report ID: GL8251
Base Cuuenry: USD
BNY MELLON by Asset Type with Sectors Alteesa[e Ease Currency:
Exchange Rate:
ESCROW ACCOUNT-OCSFOT555502 12 3L 2015 Status: FINAL
Net Unrealized
Cost Market Value % of Gain/Loss
Description Shares par Base Base Total Base
FIXED INCOME SECURITIES
U.S.DOLLAR
US GOVERNMENTS 3,594,000.000 3,603,596.33 3,594,000.00 100.00% -9,596.33
TOTAL ASSETS-BASE: 3,594,000.000 3,603,596.33 3,594,000.00 100.00% -9,596.33
111912016 6:27.-IOPM EST 4 Workbench
Yield Analysis Report ID: RAM234
Base Currency:
TINY MELLON
OCSF07511102 12/31/2015
Liquid Oper-Pimco
Units Held YTM/ Current Moody's Market Total Coat %Type Option
Security ID Security Description can(EOP) Yield Quality Price Market Value %Market Adj
Rating Value Duration
CASH &.TEMPORARY
Sum o(Accouut Receivables - 0.00
SUMRECV 135,649
AGENCY
10,000,000.00 FEDERAL FARM CR BK CONS SYSTEM GAS Asa 99.99 9,997,764 11.59 0.07
313312SG6 0.000%0 1/26/2016 DD 0 1/26/15 9,997,764 7.58
3,300,000.00 FEDERAL HOME LN BK CONS DISC N 0.13 Asa IM.00 3,298,936 3.82 0.08
313384SK6 MAT 01/29/2016 3,298,936 2.50
13,000,000.00 FEDERAL HOME LN BK CONS DISC 0.15 Asa 99.99 12,996,538 15.06 0.06
313384SH3 0.000%01/27/2016 DD 01/27/15 12,996,538 9.85
2,000,000.00 FEDERAL HOME LN BK CONS DISC 0.23 Asa 99.96 1,997,761 2.32 0.10
313384SS9 MAT 02/03/2016 1,997,761 1.51
985,000.00 FEDERAL HOME LN INKS CONS DISC 0.46 Aae 99.73 982,224 1.14 0.46
313384YFO MAT 06/17/2016 982,224 0.74
COMMERCLtL PAPER
2,000,000.00 FEDERAL NATL MTG ASSN DISC 0.06 Ana 100.00 1,998,080 2.32 0.08
313588SH9 0.000%0 1/27/2016 DD 02/02/201 1,998,080 1.51
2,200,000.00 PACCAR FINL CORP DISC 0.29 P-1 99.98 2,199,273 2.55 0.06
69392AAN2 01/22/2016 2,199,273 1.69
1,000,000.00 COOPERAT CENT DISC 0.39 P-1 99.93 998,754 1.16 0.19
21689ACA9 03/10/2016 998,754 0.96
2,000,000.00 EKKON CORP DISC 0.39 P-1 99.97 1,999,089 2.32 0.08
30229AAU3 01/28/2016 1,999,089 1.51
111912016 6:36:37PM EST 1 Source:The Hank o FPew Pork Meilan Communion
Yield Analysis Report ID: RAM234
Ease Currency: Ban
TINY MELLON
OCSF07511102 12/31/2015
Liquid Oper-Pim<o
Units Held YTM/ Current Moody's Market Total Coat %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market Adj
Rating Value Duration
1,000,000.00 BANK TOKYO-MITSUB DISC 0.39 0.39 1`-1 99.89 998,700 1.16 0.33
06538BBR3 02/25/2016 998,700 0.96
1,200,000.00 BANK TOKYO-MITSUB DISC 0.41 P-1 99.97 1,199,428 1.39 0.08
06538BAV5 01/29/2016 1,199,428 0.91
1,000,000.00 TOYOTA MTR CR CP DISC 0.45 0.45 P-t 99.97 997,750 1.16 0.50
89233GBN5 02/22/2016 997,750 0.96
1,075,000.00 FEDERAL FARM CR BK CONS SYSTEM 0.63 Aaa 99.92 1,071,811 1.24 0.49
313312YJ3 0.000%06/20/2016 DD 06/22/15 1,071,811 0.81
OTHER
12,950,117.86 DREYFUS TREAS&AGY CSH CSH MG - Aaa 12,950,118 15.01 0.08
996085247 VAR RT 12/31/2049 DO 04/09/97 12,950,118 9.81
TREASURIES AND AGENCIES O
9,600,000.00 FEDERAL HOME LN MTG CORP DISC 0.15 Ana 99.99 9,596,652 11.12 0.08
313396SH7 0.000%01/27/2016 DO 01/27/201 9,596,652 7.27
4,000,000.00 FEDERAL HOME LN BK CONS DISC 0.59 Aaa 99.72 3,988,331 4.62 0.48
313384YN3 MAT 06/24/2016 3,988,331 3.02
TREASURY
9,000,000.00 U S TREASURY BILL 0.08 Ass, 100.00 8,998,744 10.43 0.06
912996GY9 0.000%0 1/21/2016 DD 07/23/15 8,998,744 6.82
10,000,000.00 U S TREASURY BILL 0.11 Aaa 99.99 9,998,448 11.59 0.08
912796GZ6 0.000%01/28/2016 DD 07/30/15 9,998,448 9.58
TOTAL:CASH A.TEMPORARY 0.19 0.02 86,268,401 30000 0.11
86,404,060
FIXED INCOME
111912016 6:36:37PM EST 2 Sourc M,B¢Nc. fNew York Meilan Corporaran
Yield Analysis Report ID: RAM234
Base Currency: Ban
TINY MELLON
OCSF07511102 12/31/2015
Liquid Oper-Pim<o
Units Held YTM/ Current Moody's Market Total Cost %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market Adj
Rating Value Duration
AGENCIES is OTHER GOVT OBL
900,000.00 FEDERAL HOME LN MTG CORP DISC 0.13 Aaa 99.99 899,725 1.97 0.08
313396SJ3 0.000%01/28/2016 DO 01/28/15 899,725 0.68
3,000,000.00 FEDERAL HOME LN BK CONS DISC 0.29 Aaa 99.93 2,996,380 6.56 0.24
313384GW7 MAT 03/28/2016 2,996,380 227
2,000,000.00 FEDERAL HOME LN MTG CORD DISC 0.52 Asa 99.92 1,997,116 4.39 0.16
313396TS2 02/26/2016 1,997,116 1.51
RANKS&FDiMCE
1,000,000.00 GENERAL ELECTRIC CAPITAL CORP 0.59 1.49 Al 100.48 1,007,290 2.20 0.53
36962G6Z2 1.500%07/12/2016 DO 07/12/13 1,004,830 0.96
1,000,000.00 BANK OF NEW YORK MELLON CORP/T 0.82 2.28 Al 100.85 1,008,760 2.21 0.57
06406HBX6 2.300%09/28/2016 DO 09/28/11 1,008,470 0.96
1,000,000.00 JPMORGM CHASE&CO 0.82 1.12 A3 100.05 1,002,380 2.19 0.15
46623EJD4 1.125%02/26/2016 DO 02/26/13 1,000,460 0.96
1,000,000.00 BERKSHIRE HATHAWAY INC 0.83 2.18 As2 100.85 1,014,170 2.21 0.61
0846)08133 2.200%08/15/2016 DO 08/15/11 1,008,500 0.76
1,000,000.00 JOHN DEERE CAPITAL CORP 0.90 1.05 A2 100.12 1,001,070 2.19 097
24422ESD2 1.050%10/11/2016 DO 10/11/13 1,001,170 0.76
1,000,000.00 STATE STREET CORD 0.94 2.86 A2 100.35 1,019,240 2.20 0.18
8574]]AH6 2.875%03/07/2016 DD 03/07/11 1,003,520 0.76
1,000,000.00 WELLS FARGO&CO 0.96 1.25 A2 100.16 1,001,870 2.19 0.55
94974BFL9 1.250%07/20/2016 DO 07/29/13 1,001,580 0.76
1,000,000.00 AMERICAN HONDA FINANCE CORP 1.02 1.12 Al 100.08 1,001,660 2.19 0.76
02665WAB7 1.125%10/07/2016 DO 10/10/13 1,000,800 0.76
111912016 6:36:37PM EST 3 Sou¢e:The BaNc. fNeu,Pork Meilan Corporaran
Yield Analysis Report ID: RAM234
Base Currency: Ban
TINY MELLON
OCSF07511102 12/31/2015
Liquid Oper-Pim<o
Units Held YTM/ Current Moody's Market Total Coat %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market AQj
Rating Value Duration
1,000,000.00 US BANCORP L09 2.18 Al 100.96 1,009,900 2.21 0.86
91159HHB9 2.200%11/15/2016 DO 11/03/11 1,009,640 0.99
INDUSTRIALS
1,000,000.00 PRAXAIR LNC 0.71 0.95 A2 100.01 1,001,530 2.19 0.14
74005PBE3 0.750%02/21/2016 DO 02/21/13 1,000,050 0.76
1,000,000.00 COCA-COLA CO/THE 0.83 1.79 Aa3 100.64 1,006,450 2.20 0.66
191216AU4 1.800%09/01/2016 DO 08/10/11 1,006,420 0.76
1,000,000.00 PEPSICO INC 0.86 0.90 Al 99.98 1,001,130 2.19 0.15
713448CE6 0.700%02/26/2016 DO 02/28/13 999,760 0.76
1,000,000.00 HOME DEPOT INC/THE 1.16 5.36 A2 100.70 1,032,590 2.20 0.19
437096AP7 5.400%03/01/2016 DO 03/24/06 1,007,030 0.76
1,100,000.00 OCCIDENTAL PETROLEUM CORD L48 2.50 A2 100.08 1,116,489 2.41 0.08
694599BZ9 2.500%02/01/2016 DO 12/16/10 1,100,924 0.83
SUPRANATIONALS
2,500,000.00 INTERNATIONAL FINANCE CORP 0.71 0.50 Ass 99.92 2,498,750 5.47 0.37
45950VCJ3 0.500%05/16/2016 DO 02/22/13 2,498,025 1.89
TREASURIBB
2,000,000.00 U S TREASURY NOTE 0.50 1.74 Aaa 100.52 2,020,007 4.40 0.41
912828QP8 1.750%05/31/2016 DO 05/31/11 2,010,380 1.52
14,000,000.00 U S TREASURY NOTE 0.52 0.50 Aaa 99.99 14,001,609 30.65 0.46
912828VG2 0.500%06/15/2016 DO 06/15/13 13,998,880 10.61
3,000,000.00 U S TREASURY NOTE 0.61 0.62 Aaa 100.01 2,999,541 6.57 0.54
912828VL1 0.625%07/15/2016 DO 07/15/13 3,000,240 2.27
111912016 6:36:37PM EST 4 Sou¢ Ma BaNc. fNew York Meilan Corporaran
Yield Analysis Report ID: RAM234
Base Currency: Ban
TINY MELLON
OCSF07511102 12/31/2015
Liquid Oper-Pim<o
Units Held YTM/ Current Moody's Market Total Coat %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market Adj
Rating Value Duration
3,000,000.00 U S TREASURY NOTE O.70 0.89 A. 100.13 3,003,760 6.58 0.90
912828V 7 0.895%09/15/2016 DD 09/15/13 3,003,750 2,28
YANREB BONDS-CORPS
1,000,000.00 COOPERATIEVECENTRALMSTLC/D 0.59 0.72 Aa2 100.04 999,830 2.19 0.35
21684131V0 0916h05/06/2016DDO5/13/14 1,000,430 0.76
TOTAL:FDIED DICOME 0.65 0.98 46,641,248 100.00 0.43
45,558,080
TOTAL:Liquid Oper-Pimco 0.37 0.50 131,909,648 100.00 0.22
131,962,130
111912016 6:36:37PM EST $ Sou¢ Ma BaNc. fNew York M,Oa Corporaran
Yield Analysis Report ID: RAM234
Base Currency:
BNY MELLON
OCSF07522202 12/31/2015
Long Term Oper-Pimeo
Units Held YTM/ Current Moody's Market Total Coat %Type Option
Security ID Security Description can(EOP) Yield Quality Price Market Value %Market Adj
Rating Value Duration
CASH &.TEMPORARY
Sum o(Acmuut Receivables - 0.00
SUMRECV 1,026,662
COMMERCIN,PAPER
5,260,000.00 BANK TOKYO-MITSUB DISC 0.39 0.39 P-1 99.87 5,253,162 22.95 0.33
06538BBR3 02/25/2016 5,253,162 1.67
3,000,000.00 TOYOTA MTR CR CP DISC 0.59 P-1 99.87 2,995,602 12.97 0.22
89233GCM6 03/21/2016 2,995,602 0.95
OTHER
68,128.13 SLH PROXY LONG EXPOSURE - - 104,813 0.12 -
99WAEU30 SLHOPNTA4 28,818 0.01
14,810,500.02 DREYFUS TREAS&.AGY CSH CSH MG - Aaa 14,810,500 64.13 0.08
996085247 VAR RT 12/31/2049 DO 04/09/97 14,810,500 4.90
OS CASH
1.00 USD(UNITED STATES DOLLAR) - - 0 0.00 -
NA9123459 GL PAYABLES RECEIVABLES 0 OMO
TOTAL:CASH&TEMPORARY 0.46 0.39 23,164,076 I60.00 0.16
24,114,743
FIXED INCOME
AGENCIES&OTHER GOW OBL
4,000,000.00 FEDERAL NATL WG ASSN 0.84 1.37 Ana 100.46 4,044,200 1.38 0.87
3135GOES8 1.375%11/15/2016 DID 10/20/11 4,018,560 1.28
111912016 6:36:37PM EST 6 Source:The BaNc. fNew York Mellen Communion
Yield Analysis Report ID: RAM234
Base Currency: Ban
BNY MELLON
OCSF07522202 12/31/2015
Long Term.Opar Pimco
Units Held YTM/ Current Moody's Market Total Cost %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market Adj
Rating Value Duration
5,000,000.00 FEDERAL HOME LN MTG CORD 0.88 0.50 Aaa 99.60 4,991,050 1.71 1.07
3137EADU0 0.500%01/27/2017 DD 0 1/16/15 4,979,900 1,58
5,000,000.00 FEDERAL HOME LN BK CONS BD 1.01 1.00 Aaa 99.98 5,025,100 1.71 1.43
313379M4 1.000%06/09/2017 DD 05/10/12 4,998,950 1.59
5,000,000.00 FEDERAL HOME LN MTG CORP 1.11 0.75 Aaa 99.46 4,994,250 1.70 1.52
3137EADV8 0.750%07/14/2017 DD 05/29/15 4,972,850 1.58
5,000,000.00 FEDERAL HOME LN MTG CORP 1.15 0.76 Aaa 99.20 4,967,500 1.70 2.00
3137EADN6 0.750%01/12/2018 DD 11/21/12 4,959,750 1.57
5,000,000.00 FEDERAL HOME LN MTG CORP 1.20 0.88 Aaa 99.30 4,974,100 1.70 2.15
3137EADPl 0.875%03/07/2018 DD 01/17/13 4,964,900 1.58
7,500,000.00 FEDERAL HOME LN BK CONS BD 1.23 1.37 Aaa 100.31 7,544,850 2.58 2.15
313378A43 1.375%03/09/2018 DD 02/13/12 7,523,550 2.39
5,000,000.00 FEDERAL NATL MTG ASSN 1.41 1.13 Aaa 99.17 4,963,950 1.70 2.90
3135GO072 1.125%12/14/2018 DD 11/03/15 4,958,350 1.57
4,000,000.00 FEDERAL HOME LN BK CONS BE, L52 1.50 Ase 99.94 4,043,480 1.37 3.10
3133782M2 1.500%03/08/2019 DO 02/06/12 3,997,400 1.27
5,000,000.00 FEDERAL NATL MTG ASSN L60 1.74 Aaa 100.53 5,021,500 1.72 3.57
3135GOZG1 1.750%09/12/2019 DO 07/28/14 5,026,400 1.60
7,500,000.00 FEDERAL HOME LN MTG CORP 1.63 1.27 Aaa 98.64 7,399,650 2.53 3.66
3157EADM8 L250%10/02/2019 DO 10/02/12 7,397,775 2.35
5,000,000.00 FEDERAL NATL MTG ASSN 1.79 1.52 Aaa 98.76 4,955,650 1.69 4.31
3135GOD75 1.500%06/22/2020 DO 04/27/15 4,937,750 1.57
5,000,000.00 FEDERAL HOME LN BE CONS BD 1.79 1.75 Aaa 99.82 5,008,950 1.71 4.29
313383HU8 1.750%06/12/2020 DD 06/03/13 4,991,000 1.58
111912016 6:36:37PM EST 7 Sourc Ma BaNc. fNew Pork Meilan Corporndon
Yield Analysis Report ID: RAM234
Base Currency: Ban
BNY MELLON
OCSF07522202 12/31/2015
Long Term.Opar Pimco
Units Held YTM/ Current Moody's Market Total Cost %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market Adj
Rating Value Duration
7,500,000.00 FEDERAL NATL MTG ASSN L88 1.53 A. 98.22 7,370,726 2.52 4.95
3135GOF93 1.500%11/30/2020 DO 10/19/15 7,366,725 2,34
BMRB&PDIMCE
5,200,000.00 TOYOTA MOTOR CREDIT CORP 0.59 0.65 Aa3 100.03 5,200,000 1.78 0.38
89236TAK1 VAR RT 05/17/2016 DO 05/17/13 5,201,352 1.65
600,000.00 BANK OF AMERICA NA 0.94 0.96 Al 99.95 600,000 0.21 0.10
0605MIJ03 VAR RT 05/08/2017DDOS/08/14 598,518 0.19
500,000.00 WELLS FARGO RANK NA 1.03 0.99 Aa2 99.63 500,000 0.19 0.19
9498832L0 VAR RT 06/15/2017 DO 06/12/14 498,150 0.16
2,000,000.00 GOLDMAN SACHS GROUP INC/THE 1.46 1.04 A3 99.91 1,895,068 0.68 0.22
38141GEG5 VAN RT 03/22/2016 DD 03/22/06 1,998,120 0.63
3,200,000.00 BEAR STEARNS COS LLC/THE L89 4.35 A3 106.99 3,523,520 1.19 2.33
093902CD8 4.650%07/02/2018 DD 06/25/03 3,416,768 1AS
3,000,000.00 HSBC USA INC 1.89 1.63 A2 99.51 3,003,290 1.02 1.99
40428HPH9 1.625%01/16/2018 DD 12/20/12 2,985,150 0.95
2,900,000.00 AMERICM EXPRESS CO 1.99 6.32 A3 110.90 3,377,386 1.10 2.05
025816AY5 T000%03/19/2018 DO 03/19/08 3,216,071 1.02
3,800,000.00 BANK OF"ERICA CORP 2.02 5.38 Baal 106.98 4,334,014 1.39 1.82
060505DP6 5950%12/01/2017 DO 12/04/07 4,065,050 129
600,000.00 GOLDMAN SACHS GROUP INC/THE 2.09 5.52 A3 109.90 692,806 0.22 1.90
38141GFG4 5.950%01/18/2018 DO 01/18/08 646,188 0.21
5,000,000.00 GENERAL ELECTRIC CAPITAL CORP 2.10 2.19 Al 100.39 5,014,950 1.02 3.81
36962G9MO 2.200%01/09/2020 DO 01/09/15 5,018,500 1.59
111912016 6:36:37PM EST 8 Sou¢e:The BaNc. fNew Pork Meilan Corporndon
Yield Analysis Report ID: RAM234
Base Currency: Ban
BNY MELLON
OCSF07522202 12/31/2015
Long Term.Oper-Pimco
Units Held YTM/ Current Moody's Market Total Coat %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market AQj
Rating Value Duration
5,000,000.00 JOHN DEERE CAPITAL CORP 2.19 2.29 A2 100.38 5,046,984 1.92 3.54
24422ESS9 2.300%09/16/2019 DO 09/15/14 5,019,000 1.59
5,000,000.00 WELLS FARGO&CO 2.66 2.61 A2 99.94 5,001,650 1.01 4.26
94994BGM6 2.600%07/22/2020 DO 07/22/15 4,987,200 1.58
2,000,000.00 JPMORGAN CHASE&CO 2.67 2.29 A3 98.38 1,994,880 0.67 3.84
46625HEA9 2.250%01/23/2020 DD 01/23/15 1,967,560 0.62
2,800,000.00 MORGAN STANLEY 3.13 4.91 A3 112.04 3,200,848 1.09 4.99
61949WAL3 5.500%07/28/2021 DO 09/28/11 3,137,036 1.00
600,000.00 ESC LEHMAN BRTH HLD ESCROW - - 9.38 372,963 0.02 -
525ESCIB9 0.000%11/24/2013 DD 01/22/08 44,250 0.01
2,000,000.00 LEHMAN BRTH PLO ESC - - 7.38 1,254,976 0.05 -
525ESCOY6 0.000%12/30/2016 DD 10/24/05 147,500 0.05
CMs
3,735,855.55 HONDA AUTO RECEIVABLES 201 A3 0.99 0.67 As, 99.82 3,724,473 1.28 0.16
43813JAC9 0.690%11/21/2017 DO 02/27/14 3,729,131 IA8
3,443,837.52 TOYOTA AUTO RECENABLES 2 A A3 1.03 0.69 Aaa 99.99 3,436,708 1.18 0.50
89231MAC9 0.690%12/15/2017 DD 03/19/14 3,436,571 1.09
2,195,000.00 TOYOTA AUTO RECENABLES C A2A 1.14 0.92 A. 99.85 2,194,824 0.95 0.69
89231TAB6 0.920%02/15/2018 DO 08/26/15 2,191,664 0.70
1,957,423.90 HONDA AUTO RECEIVABLES 20 2 A3 1.17 0.77 Asa 99.92 1,956,048 0.67 0.44
43814GAC4 0.990%03/19/2018 DO 05/21/14 1,951,963 0.62
3,595,000.00 TOYOTA AUTO RECENABLES 2 A A3 1.30 1.12 Asa 99.93 3,594,456 1.23 0.99
89236WAC2 1.120%02/15/2019 DO 03/04/15 3,585,365 1.14
EQUIPMENT LOANS
111912016 6:36:37PM EST 9 Sou¢e:TAe Bank fNew York Meilan Corporndon
Yield Analysis Report ID: RAM234
Base Currency: Ban
BNY MELLON
OCSF07522202 12/31/2015
Long Term.Oper-Pimco
Units Held YTM/ Current Moody's Market Total Cost %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market AQj
Rating Value Duration
4,000,000.00 JOHN DEERE OWNER TRUST 20 B A3 1.93 1.08 Aaa 99.53 4,001,875 1.36 0.51
499897AD6 1.070%11/15/2018 DO 09/03/14 3,981,360 1.26
FAHNIE MAB REMIC
133,053.04 FNMA GTD REMIC P/T 07-114 A6 -12.13 0.40 Aaa 99.47 126,567 0.05 0.14
31396X3Q5 VAR RT 10/27/2037 DO 11/30/07 132,345 0.04
453,954.43 FNMA DID REMIC P/T 11-3 FA 0.84 0.89 Aaa 101.08 453,813 0.16 -0.68
31397QRE0 VAR RT 02/25/2041 DO 01/25/11 458,866 0.15
FHLMC
2,640.27 FHLMC POOL#78-6064 L41 2.51 Aaa 103.48 2,576 0.00 L01
31348SWZ3 VAR RT 01/01/2028 DO 12/01/97 2,732 0.00
FHMA
188,421.26 FNMA POOL#0823358 1.34 2.44 Aaa 105.92 186,949 0.09 1.10
31406XWT5 VAR RT 02/01/2035 DO 04/01/05 199,572 0.06
41,857.35 FNMA POOL#0826080 2.18 4.53 Aaa 110.29 44,999 0.02 2.30
31409BXH9 5.000%07/01/2035 DO 06/01/05 46,158 0.01
367,247.75 FNMA POOL#0466397 2.26 3.24 Aaa 104.81 359,300 0.13 4.29
31381PDA3 3.400%11/01/2020 DO 11/01/10 384,905 0.12
6,104.16 FNMA POOL#0748678 228 4.52 Aaa 110.63 6,562 0.00 2.69
31403GXF4 5.000%10/01/2033 DO 10/01/03 6,953 0.00
235,000.56 FNMA POOL#0357969 2.32 4.53 Aaa 110.36 252,626 0.09 2.35
31376XT22 5.000%09/01/2035 DO 09/01/05 259,340 0.08
25,109.80 FNMA POOL#OAL0869 2.36 4.17 Aaa 108.00 26,556 0.01 3.11
3138EG6F6 4.500%06/01/2029 DO 09/01/11 27,119 0.01
111912016 6:36:37PM EST 10 Sou¢e:The HaNc. fNew York M,Fa Corporation
Yield Analysis Report ID: RAM234
Base Currency: Ban
BNY MELLON
OCSF07522202 12/31/2015
Long Term.Opar Pimco
Units Held YTM/ Current Moody's Market Total Coat %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market AQj
Rating Value Duration
222,571.65 FNMA POOL#0745580 2.36 4.53 Aaa 110.30 239,265 0.08 2.50
31403DJZ3 5.000%06/01/2036 DD 05/01/06 245,503 0,08
34,333.59 FNMA 1`001,#0257179 2.36 4.10 Aae 108.00 36,311 0.01 3.38
31391NUC9 4.500%04/01/2028 DD 03/01/08 39,081 0.01
39,886.67 FNMA POOL b0MA0022 2.38 4.10 Aaa 108.00 42,184 0.01 3.20
3141�AY3 4.500%04/01/2029 DD 03/01/09 43,079 0.01
444,085.03 FNMA POOL#0888336 2.40 4.54 Aaa 110.21 499,391 0.19 2.62
3141OF4V4 5.000%07/01/2036 DD 04/01/07 489,417 0.16
412,212.92 FNMA POOL#0815971 2.46 4,54 Aaa 110.19 443,129 0.16 2.60
31406PQY8 5.000%03/01/2035 DD 03/01/05 454,205 0.14
FREDDIE MAC MULTICLASS
68,285.40 FFI MC MULTICLASS MTG E3 A 0.97 2.91 Aaa 102.95 68,357 0.02 0.81
3133ME95 VAR RT 08/15/2032 DD 12/01/97 90,298 0A2
900,000.00 FHLMC MULTICLASS MTG K006 A2 2.15 3.95 NR 109.69 951,047 0.33 3.64
31398VJ98 4.251%01/25/2020 DD 04/01/10 969,228 0.31
1,090,981.53 FHLMC MULTICLASS MTG 58 2A 3.41 5.92 Aaa 113.56 1,234,775 0.42 1.46
31394JY35 6.500%09/25/2043 DD 09/01/03 1,238,940 0.39
ONMA
102,092.74 GNMA II POOL s0080965 0.85 1.98 Aaa 103.58 102,029 0.04 0.88
36225DCBB VARRT 04/20/2034DD04/01/04 105,749 0.03
28,749.04 GNMA II POOL#0080023 1.03 1.97 Aaa 104.01 29,225 0.01 1.39
36225CAZ9 VAR RT 12/20/2026 DO 12/01/96 29,902 0.01
11,981.54 GNMA II POOL a0080395 1.40 2.00 Aaa 102.69 11,873 0.00 0.57
36225CNM4 VAR RT 04/20/203ODD04/01/00 12,301 0.00
111912016 6:36:37PM EST 11 Sou¢ Ma HaNc. fNew York Meilan Corporndon
Yield Analysis Report ID: RAM234
Base Currency: Ban
BNY MELLON
OCSF07522202 12/31/2015
Long Term.Oper-Pimco
Units Held YTM/ Current Moody's Market Total Cost %Type Option
Security ID Security Description can(EOP) Yield Quality Price Market Value %Market AQj
Rating Value Duration
104,093.39 GNMA II POOL k080408X 1.42 2.00 A. 102.58 103,036 0.04 0.92
36225CN28 VAR RT 05/20/2030DD05/01/00 106,778 0,03
34,902.44 GNMA lI POOL A080088M 1.46 2.01 Aaa 102.24 35,666 0.01 0.90
36225CC20 VAR RT 06/20/2029DD06/01/97 35,6116 0.01
GNMA REMIC
46,276.07 GNMA GM REMIC P/T 00-9 FH 0.24 0.84 Aes 100.58 46,276 0.02 0.00
3837H4NX9 VAR RT 02/16/2030 46,543 0.01
HOME EQUITY
43,521.78 SOUNDVIEW HOME LOAN TR OPP3 A4 lAo 0.52 - 99.87 38,422 0.01 0.03
83611MGS1 VARRT 11/25/2035DD09/30/05 43,465 0.01
133,743.29 AMRESCO RESIDENTIAL SECURI I A 1.84 1.02 - 92.55 100,433 0.04 -0.30
03215PFN4 VAR RT 06/25/2029 DO 10/20/99 123,777 0.04
INDUSTRIALS
2,000,000.00 INTEL CORP 1.28 1.35 Al 100.13 2,008,280 0.69 1.93
458140AL4 1.350%12/15/2017 DO 12/11/12 2,002,660 0.64
4,000,000.00 CHEVRON CORP 1.49 1.11 Aal 99.31 3,999,200 1.36 1.90
166964AA8 1.104%12/05/2017 DD 12/05/l2 3,972,480 1.26
4,000,000.00 ELI LILLY&CO 1.69 1.93 A2 100.86 4,009,675 1.38 3.09
532457BF4 1.950%03/15/2019 DD 02/25/14 4,034,400 1.28
2,000,000.00 OCCIDENTAL PETROLEUM CORP 2.09 1.52 A2 98.47 1,986,340 0.68 2.09
604599CD5 1.500%02/15/2018 DD 06/22/12 1,975,440 0.63
2,000,000.00 AMERICAN HONDA FINANCE CORP 2.18 2.24 Al 100.25 2,019,540 0.69 3.45
02665WA114 2.250%08/15/2019 DD 09/09/14 2,004,920 0.64
111912016 6:36:37PM EST 12 Sou¢ Ma BaNc. fNew York Meilan Corporndon
Yield Analysis Report ID: RAM234
Base Currency: Ban
BNY MELLON
OCSF07522202 12/31/2015
Long Term.Oper-Pimco
Units Held YTM/ Current Moody's Market Total Cost %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market AQj
Rating Value Duration
5,000,000.00 QUALCOMM INC 2,48 2.27 Al 99.03 4,995,195 1.90 4.17
747525AD5 2.250%05/20/2020 DD 05/20/15 4,951,400 1,59
OTHER CMO OOVT AOBNCMS
507,973.03 NCUA GUARANTEED NOTES TR R2 IA 0.57 1.05 Ana 100.16 507,771 0.19 0.02
62888UAA8 VAR RT 11/06/2017 DO 11/17/10 508,580 0.16
102,402.16 SBA GTD PARTN CMS 2001-20C 1 1.30 5.89 Aaa 108.09 102,402 0.04 1.57
83162CWO 6.340%03/01/2021 110,668 0.04
STUDENT
43,030.87 SLM STUDENT LOAN TRUST 200 9 A L95 1.82 Aaa 100.09 42,856 0.01 0.06
98445JAA5 VAR RT 04/25/2023DD08/28/08 43,060 0.01
SUPRANATIONALS
5,000,000.00 INTER-AMERICAN DEVELOPMENT BAN 1.10 1.00 Aaa 99.85 5,019,550 1.01 1.52
4581XOCG1 1.000%07/14/2017 DD 04/30/14 4,992,450 1.59
5,000,000.00 INTERNATIONAL FINANCE CORP 1.12 1.00 Aaa 99.84 5,020,700 1.01 1.30
45950KBS8 1.000%04/24/2017 DD 04/24/12 4,991,950 1.58
3,000,000.00 INTERNATIONAL BANK FOR RECONST 1.35 1.01 Aaa 99.17 2,994,870 1.02 2.42
459058EJ8 1.000%06/15/2018 DD 04/30/15 2,975,040 0.94
TIPS
0.00 US TREAS-CPI INFLAT 1.82 1.09 Aaa 103.10 0 0.00 3.30
912828PP9 1.125%01/15/2021 DO 0 1/15/11 0 O.00
10,417,368.00 US TREAS-CPI INFLAT 2.27 0.13 Aaa 94.99 10,300,084 3.39 5.96
912828W O 0A25%07/15/2024 DO 07/15/14 9,893,687 3A4
TREASURIES
7,500,000.00 U S TREASURY NOTE 0.32 0.37 Aea 100.01 7,512,916 2.57 0.08
9128281341 0.375%01/31/2016 DO 0 1/31/14 7,500,375 2.38
111912016 6:36:37PM EST 13 Sou¢ Ma BaNc. fNew Pork Meilan Corporndon
Yield Analysis Report ID: RAM234
Base Currency: Ban
BNY MELLON
OCSF07522202 12/31/2015
Long Term.Opar Pimco
Units Held YTM/ Current Moody's Market Total Coat %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market Adj
Rating Value Duration
3,500,000.00 USTREASURY NOTE 0.59 0.52 A. 100.02 3,500,340 1.20 0.00
91282SD31 VAR RT 04/30/2016DD04/30/14 3,500,790 1.11
12,000,000.00 U S TREASURY NOTE 0.67 0.50 Ann 99.89 11,997,656 4.11 0.66
912828D64 0.500%08/31/2016 DD 08/31/14 11,986,440 3.81
11,000,000.00 U S TREASURY NOTE 0.79 0.50 Ass, 99.93 10,974,972 3.06 0.91
91282SG46 0.500%11/30/2016 DO 11/30/14 10,970,740 3.48
7,500,000.00 U S TREASURY NOTE 0.91 0.88 Asa 99.96 7,500,611 2.57 1.32
912828SSO 0.875%04/30/2017 DO 04/30/12 7,496,775 2.38
10,000,000.00 U S TREASURY NOTE 1.06 0.88 Asa 99.65 9,948,784 3.41 1.85
912828020 0.875%11/15/2017 DD 11/15/14 9,965,200 3.16
11,000,000.00 U S TREASURY NOTE 1.38 1.49 Ass 100.35 11,042,439 3.78 3.00
912828B33 1.500%0 1/31/2019 DD 0 1/31/14 11,038,720 3.50
10,000,000.00 U S TREASURY NOTE 1.49 1.62 Ass 100.45 9,984,307 3.44 3.41
912828WSS 1.625%06/30/2019 DD 06/30/14 10,044,900 3.19
10,000,000.00 U S TREASURY NOTE L52 1.62 Ase 100.35 10,024,777 3.44 3.44
912828W 6 1.625%09/31/2019 DD 09/31/14 10,034,800 3.19
5,800,000.00 USTREASURY NOTE L56 1.74 Asa 100.68 5,873,187 2.00 3.62
912828F39 1.750%09/30/2019 DD 09/30/14 5,839,208 1.85
7,500,000.00 U S TREASURY NOTE 1.61 1.51 Aaa 99.60 7,449,635 2.56 3.81
912828061 1.500%11/30/2019 DD 11/30/14 7,470,150 2.37
5,500,000.00 U S TREASURY NOTE 1.96 1.40 Aaa 98.23 5,424,667 1.85 4.68
912828L99 1.375%10/31/2020 DO 10/31/15 5,402,870 1.72
US TAXABLE MUM BONDS
111912016 6:36:37PM EST 14 Sou¢e:The BaNc. fNew York Meilan Corporndon
Yield Analysis Report ID: RAM234
Ease Currency: ESD
BNY MELLON
OCSF07522202 12/31/2015
Long Term.Oper-Pimco
Units Held YTM/ Current Moody's Market Total Coat %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market Adj
Rating Value Duration
2,440,000.00 PORT AUTH OF NEW YORK&NEW JE 2.09 4.94 Aa3 112.04 2,507,634 0.94 3.57
93358WAG9 &309%12/01/2019 DO 07/01/09 2,733,800 0,89
1,400,000.00 NEW YORK CITY NY TRANSITIONAL 2.68 3.83 Ael 106.28 1,400,000 0.51 4.39
64971M5E8 4.075%11/01/2020 DO 11/03/10 1,487,948 0.47
400,000.00 UNIV OF CALIFORNIA CA ROTS RED 2.88 4.55 Aa3 110.63 400,000 0.15 4.75
913366EJ5 5.035%05/15/2021 DO 11/18/10 442,528 0.14
TOTAL:FRIED INCOME 1.45 1.50 293,172,426 100.00 2.47
290,858,029
TOTAL:Long Term Oper-Ponca 1.42 1.48 316,336,502 100.00 2.30
314,972,772
111912016 6:36:37PM EST 15 Sou¢ Ma BaNc. fNew York McOan Corporation
Yield Analysis Report ID: RAM234
Base currency:
BNY MELLON
OCSF07555502 12/31/2015
O.C.S.Escrow Account
Units Held YTM/ Current Moody's Market Total Cost %Type Option
Security ID Security Description can(SOP) Yield Quality Price Market Value %Market Adj
Rating Value Duration
CASH &.TEMPORARY
Sum o(Acmunt Receivables - 0.00
SUMRECV 0
TOTAL:CASH 3:TEMPORARY 0.00 0.00 300.00
0
FIXED INCOME
TREASURIES
3,594,000.00 U S TREASURY NCTE - 0.38 Asa 100.00 3,603,596 100.00 -
912828SK7 0.375%03/15/2015DD03/15/12 3,594,000 100.00
TOTAL:FIXED INCOME 0.00 0.38 3,603,596 100.00
3,594,000
TOTAL:O.C.S.Escrow Account 0.00 0.38 3,603,596 100.00
3,594,000
111912016 6:36:37PM EST 16 Source:The BaNc. fNew York McOm Communion
Asset Detail Report ID: GL8013
�' Base Curtency: USD
BNY ME LLON by Currency Alternate Buse Currency:
Exchange Rate:
OCSWCONSOMDATED-OCSG00030000 12/31/2015 Statue: FINAL
Net Unrealized
Price Cost Market Value % of Gain/Loss
Description Base Shares Par Base Base Total Base
U.S.DOLLAR
CASH a CASH EQUIVALENTS
INTEREST RECEVABLE 1,162,291.65 1,162,291.65 0.260% 0.00
RECEIVABLE FOR INVESTMENTS 19.33 19.33 0.00% 0.00
SOLD
BANK TOKYO-MITSUB DISC 99.9523 1,200,000.000 1,199,428.00 1,199,428.00 0.27% 0.00
01/29/2016
SEC ID:06538BAV5
BANK TOKYO-MITSUB DISC 99.8700 6,260,000.000 6,251,862.00 6,251,862.00 1.39% 0.00
02/25/2016
SEC ID:06538BBR3
COOPERAT CENT DISC 99.8754 1,000,000.000 998,754.17 998,754.17 0,22% 0.00
03/10/2016
SEC ID:2I687ACA9
EXXON CORP DISC 99.9544 2,000,000.000 1,999,088.88 1,999,088.88 0.44% 0.00
01/28/2016
SEC ID:30229AAU3
FEDERAL FARM CR BK CONS SYSTEM 99.9776 10,000,000.000 9,999,96390 9,997,763A0 2,22% 0.00
0.000%01/26/2016 DD 01/26/15
SEC ID:313312SG6
FEDERAL FARM CR BK CONS SYSTEM 99.7034 1,075,000.000 1,071,811.13 1,091,811A3 0,24% 0.00
0.000%06/20/2016 DO 06/22/15
SEC ID:313312YJ3
FEDERAL HOME LN BK CONS DISC 99.9734 13,000,000.000 12,996,538.33 12,996,53&33 2.88% 0.00
0.000%01/27/2016 DD 01/27/15
SEC ID:313384SH3
FEDERAL HOME LN BK CONS DISC N 99.9678 3,300,000.000 3,298,935.89 3,298,935.89 0.93% 0.00
MAT 01/29/2016
SEC ID:313384SK6
FEDERAL HOME LN BK CONS DISC 99.8881 2,000,000.000 1,997,761.11 1,997,761.11 0.44% 0.00
MAT 02/05/2016
SEC ID:313384SS9
FEDERAL HOME LN BK CONS DISC 99.8793 3,000,000.000 2,996,380.00 2,996,380.00 0.67% 0.00
MAT 03/28/2016
SEC ID:313384UW9
FEDERAL HOME LN BKS CONS DISC 99.7182 985,000.000 982,223.94 982,223.94 0.22% 0.00
MAT 06/17/2016
SEC ID:313384YF0
FEDERAL HOME LN BK CONS DISC 99.7083 4,000,000.000 3,988,331.11 3,988,331.11 0.89% 0.00
MAT 06/24/2016
SEC ID:313384YN3
111912016 6:31:47PM EST 1 Workbench
Asset Detail Report ID: GL8013
�' Base Curteney: LED
BNY ME LLON by Currency Alternate Base Currency:
Exchange Rate:
OCSW CONSOLIDATED-OCSW0030000 12/31/2015 Statue: FINAL
Net Unrealized
Price Cost Market Value % of Gain/Loss
Description Base Shares Par Base Base Total Base
FEDERAL HOME LN MTG CORP DISC 99.9651 9,600,000.000 9,596,651.88 9,596,651.88 2.13% 0,00
0,000%01/27/2016 DO 01/27/201
SEC ID:313396SH9
FEDERAL HOME LN MTG CORP DISC 99.9694 900,000.000 899,725.00 899,725.00 0.20% 0.00
0,000%01/28/2016 DO 01/28/15
SEC ID:313396W3
FEDERAL HOME LN MTG CORP DISC 99.8558 2,MO,000.000 1,997,116.11 1,997,116.11 0.44% 0.00
02/26/2016
SEC ID:313396TS2
FEDERAL NATL MEG ASSN DISC 99.9040 2,000,000.MO 1,998,079.56 1,998,079.56 0.44% 0.00
0.000%01/27/2016 DD 02/02/201
SEC ID:3I3588SH9
PACCAR FINL CORP DISC 99.9670 2,200,000A00 2,199,273.06 2,199,273.06 0.49% 0.00
01/22/2016
SEC ID:69392AAN2
TOYOTA MEE CR CP DISC 99.9950 Ip00,000A00 997,750.00 997,750.00 0.22% 0.00
02/22/2016
SEC ID:89233GBN5
TOYOTA MEE CR CP DISC 99.8534 3,000,000A00 2,995,601.67 2,995,601.67 0.66% 0.00
03/21/2016
SEC ID:89233GCM6
U S TREASURY BILL 99.9860 9,000,000.MO 8,998,743.50 8,998,743.50 2.00% 0.00
0.000%01/21/2016 DD 07/23/15
SEC ID:912796GY9
U S TREASURY BILL 99.9845 10p00,000A00 9,998,448.33 9,998,448.33 2.22% 0.00
0.000%01/28/2016 DD 09/30/15
SEC ID:912796GZ6
DREYFUS TREAS B AGY CSH CSH MG 100.0000 27,760,617.880 27,760,617.88 29,960,6IT88 6.16% 0.00
VAR RT 12/31/2049 DO 04/09/97
SEC ID:996085247
SLH PROXY LONG EXPOSURE 0.4230 68,128.130 104,612.50 28,818.20 0.01% -75,994.30
SLHOPNTA4
SEC ID:99WAEU30
TOTAL CASH a CASH EQ=ALENTS 115,348,746.010 116,488,008.93 116,412,014.63 25.84% -75,994.30
FLUID INCOME SECURITIES
AMERICAN EXPRESS CO 110.8990 2,900,000.000 3,377,385.79 3,216,071.00 0.91% -161,314.79
7.000%03/1912 01 8 DO 03/19/08
SEC ID:025816AY5
AMERICAN HONDA FINANCE CORP 100.0800 1,000,000.000 1,001,660.00 1,000,800A0 0.22% -860.00
1.125% 10/07/2016 DO 10/10/13
SEC ID:02665WAB7
111912016 6:31:47PM EST 2 Workbench
Asset Detail Report ID: GL8013
�' Base Curtency: LED
BNY ME LLON by Currency Alternate Buse Currency:
Exchange Rate:
OCSD CONSOMDATED-OCSW0030000 12/31/2015 Statue: FINAL
Net Unrealized
Price Coat Market Value % of Gain/Loss
Description Base Shares Par Base Base Total Base
AMERICAN HONDA FINANCE CORP 100.2460 2,000,000.000 2,019,540,00 2,004,920.00 0.45% -14,620,00
2,250%08/15/2019 DO 09/09/14
SEC ID:02665WAH4
AMRESCO RESIDENTW,SECURI I A 92.5480 133,743.290 100,432.85 123,776.74 0.03% 23,343.89
VAR RT 06/25/2029 DD 10/20/99
SEC ID:03215PFN4
BANK OF AMERICA CORP 106.9750 3,800,000.000 4,334,014.00 4,065,050.00 0.90% -268,964.00
5.950% 12/01/2017 DD 12/04/07
SEC ID:06U505DP6
BANK OF AMERICA NA 99.7530 600,000.000 600,000.00 598,518.00 0.13% -1,482.00
VAR RT 05/08/2017 DD 05/08/14
SEC ID:06050TLX8
BANK OF NEW YORK MELLON 100.8470 1,000,00OA00 1,008,760.00 1,008,470.00 0.22% -290.00
CORP/T
2.300%07/28/2016 DO 09/28/11
SEC ID:06406HHX6
BEAR STEARNS COS LLC/THE 106.9940 3,200,000.000 3,523,520.00 3,416,968.00 0.96% -106,752.00
4.650%07/02/2018 DO 06/25/03
SEC ID:073902CD8
BERKSHIRE HATHAWAY INC 100.8500 1,000,000.000 1,014,170.00 I,008,500.00 0,22% -5,670.00
2.200%08/15/2016 DO 08/15/11
SEC ID:084670BB3
CHEVRON CORP 99.3120 4,000,000.000 3,999,200.00 3,992,480.00 0,88% -4,720.00
1.104% 12/05/2017 DD 12/05/12
SEC ID: 166764AA8
COCA COLACO/THE 100.6420 1,000,000.000 1,006,450.00 1,006,420.00 0,22% -30.00
1.800%09/01/2016 DD OS/10/11
SEC ID: 191216AU4
COOPERAT[EVE CENTRAL INSTL C/D 100.0430 1,000,000.000 999,830.00 I,000,430.M 0.22% 600.00
0.716%05/06/2016 DD 05/13/14
SEC ID:21684BWO
JOHN DEERE CAPITAL CORP 100.1170 1,000,000.000 1,001,070.00 1,001,170.00 0.22% 100.00
1.050% 10/11/2016 DD 10/11/13
SEC ID:24422ESD2
JOHN DEERE CAPITAL CORP 100.3800 5,000,000.000 5,046,984.00 5,019,000.M 1.11% -29,984.00
2.300%09/16/2019 DD 09/15/14
SEC ID:24422ESS9
FEDERAL HOME LN BK CONS BD 99.9350 4,000,000.000 4,043,480.00 3,997,400.M 0.89% -46,080.00
1.500%03/0812019 DD 02/06/12
SEC ID:3133782M2
FEDERAL HOME LN BK CONS BD 100.3140 7,500,000.000 7,544,850.00 7,523,550.00 1.69% -21,300.00
1.375%03/0912 01 8 DD 02/13112
SEC ID:313378A43
111912016 6:31:47PM EST 3 Workbench
Asset Detail Report ID: GL8013
�' Base Curtency: LED
BNY ME LLON by Currency Alternate Base Currency:
Exchange Rate:
OCSD CONSOLIDATED-0CSW0030000 12/31/2015 Statue: FINAL
Net Unrealized
Price Cost Market Value % of Gain/Loss
Description Base Shares Par Base Base Total Base
FEDERAL HOME LN BE CONS BD 99.9790 5,000,000.000 5,025,100.00 4,998,950.00 1.11% -26,150,00
1.000%06/09/2017 DD 05/10/12
SEC ID:313399FW4
FEDERAL HOME LN BE CONS BD 99.8200 5,000,000.000 5,008,950.00 4,991,000.00 1.11% -17,950.00
1.750%06/12/2020 DD 06/03/13
SEC ID:313383HU8
FHLMC MULTICLASS MTG E3 A 102.9480 68,285.400 68,356.82 70,298.45 0.02% 1,941.63
VAR RE 08/15/2032 DD 12/O1/97
SEC ID:3133ME95
FHLMC POOL#98-6064 103.4090 2,640.270 2,575.93 2,732.07 0.00% 156.14
VAR RT 01/01/2028 DD 12/O1/97
SEC ID:31348SWZ3
FEDERAL NATL MEG ASSN 98.7550 5,000,OOOAOU 4,955,650.00 4,937,750.00 1.10% -17,900.00
1.500%06/22/2020 DD 04/27/15
SECID:3135GOD75
FEDERAL NATL MEG ASSN 100.4640 4,000,000.000 4,044,200.00 4,018,560.00 0.89% -25,640.00
1.395% 11/15/2016 DD 10/20/11
SECID:3135GOESS
FEDERAL NATL MEG ASSN 98.2230 7,500,000AOU 7,370,726.00 7,366,725.00 1.64% -4,001.00
1.500% 11/30/2020 DD 10/19/15
SECID:3135GOF73
FEDERAL NATL MEG ASSN 99.1670 5,000,000.000 4,963,950.00 4,958,350.00 1.10% -5,600.00
1.125% 12/14/2018 DD 11/03/15
SEC ID:3135GOG72
FEDERAL NATL MEG ASSN 100.5280 5,000,000.000 5,021,500.00 5,026,400.00 1.12% 4,900.00
1.950%09/12/2019 DD 09/28/14
SEC ID:3135GOZG1
FNMA POOL#0257179 108.0030 34,333.590 36,311.14 37,081.31 0.01% 710.17
4.500%04/01/2028 DD 03/O1/08
SEC ID:31371NUC7
FNMA POOL#0357969 110.3570 235,000.560 252,625.61 259,339.59 0.06% 6,713.96
5.000%09/01/2035 DD 09/O1/05
SEC ID:31376=2
FEDERAL HOME LN MEG CORP 98.6370 7,500,000.000 7,399,650.00 9,399,996.00 1164% -1,875.00
1.250% 10/02/2019 DD 10/02/12
SEC ID:3137EADM8
FEDERAL HOME LN MEG CORP 99.1950 5,000,000.000 4,967,500.00 4,959,950.00 1110% -7,750.00
0.950%01/12/2018 DD 11/21/12
SEC ID:3137EADN6
FEDERAL HOME LN MEG CORP 99.2980 5,000,000.000 4,974,100.00 4,964,900M0 1.10% -9,200.00
0.875%03/07/2018 DD 01/17/13
SEC ID:3139EADP1
111912016 6:31:47PM EST 4 Workbench
Asset Detail Report ID: GL8013
�' Base Curtency: LED
BNY ME LLON by Currency Alternate Base Currency:
Exchange Rate:
OCSD CONSOLIDATED-OCSW0030000 12/31/2015 Statue: FINAL
Net Unrealized
Price Cost Market Value % of Gain/Loss
Description Base Shares Par Base Base Total Base
FEDERAL HOME LN MTG CORP 99.5980 5,000,000.000 4,991,050,00 4,979,900.00 1.11% -11,150,00
0,500%01/27/2017 DD 01/16/15
SEC ID:3139EADU0
FEDERAL HOME LN MTG CORP 99.4570 5,000,000.000 4,994,250.00 4,972,850.00 1.10% -21,400.00
0.950%09/14/2017 DD 05/29/15
SEC ID:3139EADV8
FNMA POOL#0466397 104.8080 367,247.750 359,300.29 384,905.02 0.09% 25,604.93
3.400% 11/01/2020 DD I1/01/10
SEC ID:313811`1)A3
FNMA POOL#0A10869 108.0030 25,109.800 26,556.08 27,119.34 0.01% 563.26
4.500%06/01/2029 DD 09/01/I I
SEC ID:3I38EG6F6
FHLMC MULTICLASS MEG 58 2A 113.5620 1,090,981.530 1,234,795.10 1,238,940.45 0.27% 4,165.35
6.500%09/25/2043 DD N101103
SEC ID:3I394JY35
FNMA GTD REMIC P/T 09-114 A6 99.4680 133,053.040 126,566.71 132,345.20 0.03% 5,778.49
VAR RE 10/27/2037 DD 11/30/07
SEC ID:3I396X3Q5
FNMA GTD REMIC P/T 11-3 FA 101.0820 453,954.430 453,812.57 458,866.22 0.10% 5,033.65
VAR RE 02/25/2Ml DD 01/25/11
SEC ID:31399QRE0
MIMIC MULTICLASS MEG X006 A2 107.6920 900,000.000 951,046.88 969,228.00 0.22% 18,181.12
4.251%01/25/2020 DD 04/01/10
SEC ID:31398VJ98
FNMA POOL#0745580 110.3030 222,571.650 239,2M.52 245,503.21 0.05% 6,238.69
5.000%06/01/2036 DD 05/01/06
SEC ID:31403DJM
FNMA POOL#0748678 110.6250 6,104A60 6,561.98 6,95233 0.00% 190.75
5.000% 10/01/2033 DD 10/01/03
SEC ID:31403GXF4
FNMA POOL#0815971 110.1870 412,212.920 443,128.90 454,20505 0,10% 11,076.15
5.000%03/01/2035 DD 03/01/05
SEC ID:3I406PQY8
FNMA POOL#0823358 105.9180 188,421.260 186,949.22 199,592.03 0.04% 12,622.81
VARRT 02/01/2035DD04/01/05
SEC ID:31406X 5
FNMA POOL#0826080 110.2740 41,857.350 44,996.64 46,157.99 0.01% 1,161.13
5.000%07/01/2035 DD 06/01/05
SEC ID:314071KXH7
FNMA POOL#0888336 110.2080 444,085.030 477,391.41 489,41Z23 0.11% 12,025.82
5.000%07/01/2036 DD 04/01/07
SEC ID:3141OF4V4
111912016 6:31:47PM EST 5 Workbench
Asset Detail Report ID: GL8013
�' Baae Curtency: LED
BNY ME LLON by Currency Alternate Base Currency:
Exchange Rate:
OCSD CONSOLIDATED-OCSG00030000 12/31/2015 Status: FINAL
Net Unrealized
Price Coat Market Value % of Gain/Loss
Description Base Shares Par Base Base Total Base
FNMA POOL k0MA0022 108.0030 39,886,670 42,184,04 43,078S0 0.01% 894.96
4,500%04/01/2029 DO 03/01/09
SEC ID:3141YYAY3
GNMA II POOL#0080023 104.0110 28,749.O4() 29,225.20 29,902.16 0.01% 676.96
VAR RT 12/20/2026 DO 12/01/96
SEC ID:36225CAZ9
GNMA II POOL A080088M 102.2440 34,902.440 35,665.94 35,685.65 0.01% 19.71
VAR RT 06/20/2027 DO 06/01/97
SEC ID:36225CC20
GNMA II POOL 8080408X 102.5790 104,093.390 103,036.20 106,999.96 0.02% 3,741.76
VAR RT 05/20/203ODD05/01/00
SEC ID:36225CN28
GNMA II POOL#0080395 102.6680 11,981.540 11,872.93 12,301.21 0.00% 428.28
VAR RT 04/20/203ODD04/01/00
SEC TO 36225CNM4
GNMA II POOL#0080965 103.5810 102,092.740 102,028.94 105,748.68 0.02% 3,719.74
VAR RT 07/20/2034 DO 07/01/04
SEC TO 36225DCB8
GENERAL ELECTRIC CAPITAL CORP 100.4830 1,000,000A00 1,007,290.00 1,004,830.00 0.22% -2,460.00
1.500%09/12/2016 DD 09/12/13
SEC ID:36962G6Z2
GENERAL ELECTRIC CAPITAL CORP 100.3700 5,000,000.MO 5,014,950.00 5,018,500.00 1.11% 3,550.00
2.200%01/09/2020 DD 01/09/15
SEC ID:36962G9MO
GOLDMAN SACHS GROUP INC/THE 99.9060 2,000,000.MO 1,895,068.00 1,998,120.00 0.44% 103,052.00
VAR RT 03/22/2016 DO 03/22/06
SEC ID:38141GEG5
GOLDMAN SACHS GROUP INC/THE 107.6980 600,000.000 692,806.00 646,188.00 0.14% -46,618.00
5.950%01/18/2018 DO 01/18/08
SEC ID:38141GFG4
GNMA GM REMIC P/T 00-9 FH 100.5760 46,276.070 46,276.07 46,542.62 0,01% 266.55
VAR RT 02/16/2030
SEC ID:3837114NX9
HSBC USA INC 99.5050 3,000,000.000 3,003,290.00 2,985,150.00 0.66% -18,140.00
1.625%01/16/2018 DO 12/20/12
SEC ID:40428HPH9
HOME DEPOT INC/THE 100.7030 1,000,000.000 1,032,590.00 1,009,030.00 0,22% -25,560.00
5.400%03/01/2016 DO 03/24/06
SEC ID:437096AP7
HONDA AUTO RECEIVABLES 20 1 A3 99.8200 3,735,855.550 3,724,472.87 3,729,131.01 0,83% 4,658.14
0.670% 11/21/2017 DO 02/27/14
SEC ID:43813dAC9
111912016 6:31:47PM EST 6 Workbench
Asset Detail Report ID: GL8013
�' Base Curtency: LED
BNY ME LLON by Currency Alternate Base Currency:
Exchange Rate:
OCSD CONSOMDATW-OCSW0030000 12/31/2015 Statue: FINAL
Net Unrealized
Price Cost Market Value % of Gain/Loss
Description Base Shares Par Base Base Total Base
HONDA AUTO RECENABLES 20 2 A3 99.7210 1,957,423.900 1,956,047.59 1,951,962.69 0.43% -4,084,90
0,770%03/19/2018 DD 05/21/14
SEC ID:43814GAC4
INTEL CORP 100.1330 2,000,000.000 2,008,280.00 2,002,660.00 0.44% -5,620.00
1.350% 12/15/2017 DD 12/1 t/12
SEC ID:458140AL4
INTER-AMERICAN DEVELOPMENT 99.8490 5,000,000AW 5,019,550.00 4,992,450.00 1.11% -27,100.00
BAN
1.000%07/14/2017 DD M/30/14
SEC ID:4581XOCG1
INTERNATIONAL BANK FOR RECONST 99.1680 3,000,000.000 2,994,870.00 2,975,040.M 0.66% -19,830.00
1.000%06/15/20I8 DD M/30/15
SEC ID:459058EJ8
INTERNATIONAL FINANCE CORP 99.8390 5,000,000.000 5,020,700.00 4,991,950.00 1.11% -28,750.00
1.000%M/24/2019 DD M/24/12
SEC ID:45950KBS8
INTERNATIONAL FINANCE CORP 99.9210 2,500,000.000 2,498,750.00 2,498,025.00 0.55% -725.00
0.500%05/16/20I6 DD 02/22/13
SEC ID:45950VCJ3
JPMORGAN CHASE&CO 100.0460 1,000,000.000 1,002,380.00 1,000,460.00 0,22% -1,920.00
1.125%02/26/2016 DD 02/26/13
SEC ID:46623EJU4
JPMORGAN CHASE&CO 98.3780 2,000,000.000 1,994,880.00 1,969,560.00 0.44% -27,320.00
2.250%01/23/2020 DD 01/23/15
SEC ID:46625HKA7
JOHN DEERE OWNER TRUST 20 B A3 99.5340 4,000,000.000 4,001,875.00 3,981,360.00 0,88% -20,515.00
1.090% 11/15/2018 DD 09/03/14
SEC ID:4]]877AD6
LEHMAN BRTH HLD ESC 7.3750 2,000,000.000 1,254,976.13 147,500.00 0.03% -1,107,476.13
0.000% 12/30/2016 DD 10/24/05
SEC ID:525ESCOY6
ESC LEHMAN BETH HLD ESCROW 7.3750 600,000.000 372,962.90 44,250.00 0.01% -328,712.90
0.000% 11/24/2013 DD 01/22/08
SEC ID:525ESCIB7
ELI LILLY&CO 100.8600 4,000,000.000 4,009,675.00 4,034,400A0 0.90% 24,725.00
1.950%03/15/2019 DD 02/25/14
SEC ID:532457BF4
MORGAN STANLEY 112.0370 2,800,000.000 3,200,848.00 3,137,036.00 0.90% -63,812.00
5.500%07/2812021 DD 07/28/11
SEC ID:61747WAL3
NCUA GUARANTEED NOTES TR R2 lA 100.1590 507,793.030 507,770.72 508,580.39 0.11% 809.67
VARRT 11/06/201]DD11/1]/10
SEC ID:62888UAA8
111912016 6:31:47PM EST 7 Workbench
Asset Detail Report ID: GL8013
�' Bese Curteney: LED
BNY ME LLON by Currency Alternate Base Currency:
Exchange Rate:
OCSD CONSOLIDATED-OCSW0030000 12/31/2015 Statue: FINAL
Net Unrealized
Price Cost Market Value % of Gain/Loss
Description Base es Par Base Base Total Base
NEW YORK CITY NY TRANSITIONAL 106.2820 1,400,000.000 1,400,000,00 1,487,948.00 0.33% 87,948,00
4.075% 11/01/2020 DD 11/03/10
SEC ID:64971M5E8
OCCIDENTAL PETROLEUM CORD 100.0840 1,100,000.000 1,116,489.00 1,100,924.00 0.24% -15,565.00
2.500%02/01/2016 DD 12/16/10
SEC ID:674599BZ9
OCCIDENTAL PETROLEUM CORD 98.9920 2,000,000.000 1,986,340.00 1,975,440.00 0.44% -10,900.00
1.500%02/15/2018 DD 06/22/12
SEC ID:694599CD5
PEPSICO INC 99.9760 I,000,000.000 1,001,130.00 999,760.00 0.22% -1,370.00
0.700%02/26/2016 DD 02/28/13
SEC ID:913448CE6
PORT AUTH OF NEW YORK&NEW JE 112.0410 2,440,000A00 2,507,633.89 2,733,800.40 0.61% 226,166.51
5.309% 12/01/2019 DD 07/01/09
SEC ID:93358WAG9
PRAXAIR INC 100.0050 1,000,000A00 1,001,530.00 1,000,050.00 0.22% -1,480.00
0.950%02/21/2016 DD 02/21/13
SEC ID:94005PBE3
QUALCOMM INC 99.0280 5,000,000.000 4,995,195.40 4,951,400.00 1.10% -43,795.40
2.250%05/20/2020 DD 05/20/15
SEC ID:949525AD5
SLM STUDENT LOAN TRUST 200 9 A 100.0680 43,030.870 42,856.29 43,060.13 0.01% 203.84
VAR RT 04/25/2023 DD 08/28/08
SEC ID:78445JAA5
SBA GTD PARTN CTFS 2001-20C 1 108.0720 102,402.160 102,402.16 110,668.06 0.02% 8,265.90
6.340%03/01/2021
SEC ID:83162CWO
SOUNDVIEW HOME LOAN TR OPT3 A4 99.8690 43,521.780 38,421.58 43,464.99 0.01% 5,043.19
VAR RT 11/25/2035DD09/30105
SEC ID:83611MGS1
STATE STREET CORP 100.3520 1,000,000.000 1,019,240.00 1,003,520.00 0,22% -15,720.00
2.895%03/07/2016 DD 03/09/11
SEC ID:8574]]AH6
TOYOTA AUTO RECENABLES 2 A A3 99.7890 3,443,837.520 3,436,707.70 3,436,591.02 0.96% -136.68
0.690% 12/15/2017 DD 03119/14
SEC ID:89231MAC9
TOYOTA AUTO RECENABLES C A2A 99.8480 2,195,000.000 2,194,823.52 2,191,663.60 0,49% -3,159.92
0.920%02/15/2018 DD 08126/15
SEC ID:89231TAB6
TOYOTA MOTOR CREDIT CORP 100.0260 5,200,000.000 5,200,000.00 5,201,352.00 1.15% 1,352.00
VAR RT 05/17/2016 DD 05/17/13
SEC ID:89236TAK1
111912016 6:31:47PM EST $ Workbench
Asset Detail Report ID: GL8013
�' Base Curtency: LED
BNY ME LLON by Currency Alternate Base Currency:
Exchange Rate:
OCSD CONSOLIDATED-OCSW0030000 12/31/2015 Statue: FINAL
Net Unrealized
Price Cost Market Value % of Gain/Loss
Description Base Shares Par Be" Base Total Base
TOYOTA AUTO RECEWABLES 2 A A3 99.7320 3,595,000,000 3,594,456.44 3,585,365.40 0.80% -9,091 04
1.120%02/15/2019 DD 03/04/15
SEC ID:89236WAC2
US BANCORP 100.9640 I,000,000.000 1,009,900.00 1,009,640.00 0.22% -260.00
2.200% 11/15/2016 DD 11/03/11
SEC ID:91159HHB9
U S TREASURY NOTE 100.3520 11,000,000.000 11,042,439.19 11,038,720.00 2.45% -3,719.19
1.500%01/31/2019 DD 01/31/14
SEC ID:912828B33
U S TREASURY NOTE 100.0050 7,500,000.000 7,512,915.75 7,500,375.00 1.66% -12,540.75
0.375%01/31/2016 DD 01/31/14
SEC ID:9I2828B41
U S TREASURY NOTE 100.0220 3,500,000A00 3,500,340.41 3,500,990.00 0.78% 429.59
VAR RT 04/30/2016 DD 04/30/14
SEC ID:9I2828D31
U S TREASURY NOTE 99.8870 12,000,000A00 11,997,656.25 11,986,440.00 2.66% -11,216.25
0.500%08/31/2016 DD 08/31/14
SEC ID:9I2828D64
U STREASURY NOTE 100.6760 5,800,000.000 5,873,186.87 5,839,208.00 1.30% -33,978.87
1.950%09/30/2019 DD 09/30/14
SEC ID:912828F39
U S TREASURY NOTE 99.6520 10,000,000.000 9,948,783.50 9,965,200.00 2.21% 16,416.50
0.895% 11/15/2017 DD 11/15/14
SEC ID:912828G20
U STREASURY NOTE 99.7340 1Ip00,000AW 10,974,971.74 10,990,940.00 2.44% -4,231.74
0.500% 11/30/2016 DD 11/30/14
SEC ID:912828046
U STREASURY NOTE 99.6020 7,500,000.000 7,449,634.50 9,490,150.00 1.66% 20,515.50
1.500% 11/30/2019 DD 11/30/14
SEC ID:912828G61
U S TREASURY NOTE 98.2340 5,500,000.000 5,424,666.87 5,402,890.00 1,20% -21,796.87
1.395% 10/31/2020 DD 10/31/15
SEC ID:9I2828L99
U S TREASURY NOTE 100.5190 2,000,000.000 2,020,006.70 2,010,380.00 0,45% -9,626.70
1.750%05/31/2016 DD 05/31/11
SEC ID:912828QP8
U S TREASURY NOTE 100.0000 3,594,000.000 3,603,596.33 3,594,000.00 0,80% -9,596.33
0.395%03/15/2015 DD 03/15/12
SEC ID:912828SK7
U S TREASURY NOTE 99.9570 7,500,000.000 7,500,611.06 7,496,775.00 1.66% -3,836.06
0.875%04/30/2017 DD 04/30/12
SEC ID:912828SSO
111912016 6:31:47PM EST 9 Workbench
Asset Detail Report ID: GL8013
�' Base Curtency: LED
BNY ME LLON by Currency Alte ne[e Base Currency:
Exchange Rate:
OCSD CONSOLIDATED-OCSGOOOl0O00 12/31/2015 Statue: FINAL
Net Unrealized
Price Coat Market Value % of Gain/Loss
Description Base Shares Par Base Base Total Base
U STREASURY NOTE 99.9920 14,000,000.000 14,001,609,40 13,998,880A0 3.11% -2,729.40
0,500%06/15/2016 DO 06/15/13
SEC ID:912828VG2
U S TREASURY NOTE 100.0080 3,000,000.000 2,999,541.30 3,000,240.00 0.67% 698.70
0.625%09/15/2016 DD 09/15/13
SEC ID:912828VL1
U S TREASURY NOTE 100.1250 3,000,000.000 3,003,760.05 3,003,750.00 0.67% -10.05
0.875%09/15/2016 DD 09/15/13
SEC ID:912828VW9
U S TREASURY NOTE 100.4490 10,000,000.000 9,984,307.20 10,044,900.00 2.23% 60,592.80
1.625%06/30/2019 DO 06/30/14
SEC ID:9I2828WS5
US TREAS-CPI INFLAT 94.9730 10,414,368A00 10,300,083.89 9,893,686.91 2.20% -406,396.98
0.125%07/15/2024 DD 07/15/14
SEC ID:912828WUO
U S TREASURY NOTE 100.3480 10,000,000A00 10,024,999.40 10,034,800.00 2.23% 10,022.60
1.625%07/31/2019 DD 07/31/14
SEC ID:9I2828W W6
UNIV OF CALIFORNIA CA RGTS MED 110.6320 400,000.000 400,000.00 442,528.00 0.10% 42,528.00
5.035%05/15/2021 DD IT/18/10
SEC ID:913366EJ5
WELLS FARGO&CO 100.1580 1,000,000.000 1,001,870.00 1,001,580.00 0.22% -290.00
1.250%07/20/2016 DD 09/29/13
SEC ID:94974BFL9
WELLS FARGO&CO 99.7440 5,000,000A00 5,001,650.00 4,989,200.00 1.11% -14,450.00
2.600%07/22/2020 DD 07/22/15
SEC ID:94974BGM6
WELLS FARGO BANK NA 99.6300 500,000.000 500,000.00 498,15000 0.11% -1,850.00
VAR RT 0 6/1 512 017 DD 06/12/14
SEC ID:94988J2L0
TOTAL=D INCOME SECURITIES 335,602,796.730 336,524,048.36 334,116,887.89 74.16% -2,407,160.51
TOTAL ASSETS U.S.DOLLAR 450,951,542.740 453,012,057.29 450,528,902.48 LOUD % -2,483,154.81
TOTAL ASSETS-BASE: 450,951,942.740 453,012,057.29 450,528,902.48 100.001/e .2,483,154.81
111912016 6:31:47PM EST 10 Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Ctura.ry: USD
OCSD-CONSOLIDATED -OCSGOOOl0O00 12/I/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Cost Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
RECEIPTS AND DISBURSEMENT TRANSACTIONS
CASH/SECURITIES RECEIVED FROM PLAN ADMINISTRATOR
U.S.DOLLAR
RECD FROM PLAN ADMIN
CD 12/3/2015 0.000 12,700,000.00 0.00 0.00 12,700,000.00 0.00 0.00
0CSF07522202 OCS LONG CHANDLER
CD 12/18/2015 0.000 88,000,000.00 0.00 0.00 88,000,000.00 0.00 0.00
0CSF07511102 OCS LIQ OF CHANDLER
CD 12/18/2015 0.000 30,000,000.00 0.00 0.00 30,000,000.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
130,700,000.00 0.00 0.00 130,700,000.00 0.00 0.00
0.001 0.00 T
0.00 C 0.00 S
TOTAL U.S.DOLLAR: 130,7W,000.00 0.00 0.00 130,7W,000.00 ow 0.00
0.001 0.00 T
0.00 C 0.008
TOTAL CASH/SECURITIES RECEIVED 130,700,000.00 0.00 0.00 130,700,000.00 0.00 0.00
FROM PLAN ADMINISTRATOR: 0.001 0.00 T
0.00 C 0.00 S
MISCELLANEOUS INCOME
U.B.DOLLAR
H,H INFLATION ADJUSTMENTS US TREAS-CPI INFLAT
SEC ID:912828WO
Sw 12/1/2015 -520.000 0.00 -520.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/2/2015 -104.000 0.00 -104.00 0.00 0.00 0.00 0.00
OCSF00522202 OCS LONG CHANDLER
Sw 12/3/2015 -208.000 0.00 -208.00 0.00 0.00 0.00 0.00
OCSF00522202 OCS LONG CHANDLER
Sw 12/4/2015 -416.000 0.00 -416.00 0.00 0.00 0.00 0.00
OCSF00522202 OCS LONG CHANDLER
Sw 12/9/2015 -208.000 0.00 -208.00 0.00 0.00 0.00 0.00
OCSF00522202 OCS LONG CHANDLER
Sw 12/8/2015 -104.000 0.00 -104.00 0.00 0.00 0.00 0.00
OCSF01522202 OCS LONG CHANDLER
Sw 12/9/2015 -104.000 0.00 -104.00 0.00 0.00 0.00 0.00
OCSF01522202 OCS LONG CHANDLER
Sw 12/10/2015 -208.000 0.00 -208.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
111912016 6:38:25PM EST I 'Pending S 0.e nt Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Cu.renoy: USD
OCSD-CONSOLIDATED -OC8G00030000 12/I/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Coat Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
SW 12/11/2015 -416.000 0.00 -416.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/14/2015 -208.000 0.00 -208.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/15/2015 -104.000 0.00 -104.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/16/2015 -208.000 0.00 -208.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/17/2015 -104.000 0.00 -104.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/18/2015 -416.000 0.00 -416.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/21/2015 -208.000 0.00 -208.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/22/2015 -104.000 0.00 -104.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/23/2015 -208.000 0.00 -208.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/24/2015 -416,000 0.00 -416.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/28/2015 -312.000 0.00 -312.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/29/2015 -208.000 0.00 -208.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/30/2015 -104.000 0.00 -104.00 0.00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
Sw 12/31/2015 -104.000 0,00 -104.00 0,00 0.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER
0.00 -4,992.00 0.00 0.00 0.00 0.00
0.001 0.00 T
0.00 c 0.008
TOTAL U.S.DOLLAR: 0.00 -4,992.00 0.00 0.00 0.00 0.00
0.001 0.00 T
0.00 C 0.00 S
TOTAL MISCELLANEOUS INCOME: 0.00 -4,992.00 0.00 0.00 O.GO 0.00
0.001 0.00 T
0.00 C 0.008
TOTAL RECEIPTS AND DISBURSEMENT 130,700,000.00 -4,992.00 0.00 130,700,000.00 0.00 0.00
TRANSACTIONS: 0.001 0.00 T
0.00 C 0.00 S
PURCHASES
111912016 6:38:25PM EST 2 'Pending S 0.e nt Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Ctura.ry: USD
OCSD-CONSOLIDATED -OCSG00030000 12/1/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Cost Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
CASH e.CASH EQUIVALENTS
U.S.DOLLAR
BANK TOKYO-MITSUB DISC 01/29/2016
SEC ID:06538BAV5
B 12/21/2015 1,200,000.000 -1,199,428.00 1,199,428.00 0.00 -1,199,428.00 0.00 0.00
12/21/2015
OCSF07511102 OCS LIQ OF CHANDLER
DREYFUS TREAS 14 AGY CSH CSH MG VAR RT 12/31/2049 DD 04/09/97
SEC ID:996085247
B 12/1/2015 174,019.800 -174,019.80 174,019.80 0.00 -174,019.80 0.00 0.00
12/1/2015
OCSF07522202 OCS LONG CHANDLER
B 12/2/2015 0.960 -0.96 0.96 0.00 -0.96 0.00 0.00
12/2/2015
OCSF07511102 OCS LIQ OF CHANDLER
B 12/2/2015 44.110 -44.17 44.17 0.00 -44.11 0.00 0.00
12/2/2015
OCSF07522202 OCS LONG CHANDLER
B 12/3/2015 12,700,000.000 -12,700,000.00 12,700,000.00 0.00 -12,700,000.00 0.00 0.00
12/3/2015
OCSF07522202 OCS LONG CHANDLER
B 12/4/2015 1,004,250.000 -1,004,250.00 1,004,250.00 0.00 -1,004,250.00 0.00 0.00
12/4/2015
OCSM7511102 OCS LIQ OF CHANDLER
B 12/7/2015 1,003,250.000 -1,003,250.00 1,003,250.00 0.00 -1,003,250.00 0.00 0.00
12/T/2015
OCSF07511102 OCS LID OF CHANDLER
B 12/7/2015 22,080.000 -22,080.00 22,080.00 0.00 -22,080.00 0.00 0.00
12/T/2015
OCSF07522202 OCS LONG CHANDLER
B 12/8/2015 11,168.900 -11,168.90 11,168.90 0.00 -11,168.90 0.00 0.00
12/8/2015
OCSF07522202 OCS LONG CHANDLER
e 12/9/2015 25,000.000 -25,000.00 25,000.00 0.00 -25,000.00 0.00 0.00
12/9/2015
OCSF07522202 OCS LONG CHANDLER
B 12/14/2015 43,750,000 43,750.00 43,750.00 0.00 -43,750.00 0.00 0.00
12/14/2015
OCSF07522202 OCS LONG CHANDLER
B 12/15/2015 6,007,500.000 -6,007,500.00 6,007,500.00 0.00 -6,007,500.00 0.00 0.00
12/15/2015
OCSF07511102 OCS LID OF CHANDLER
B 12/15/2015 5,345,724.040 -5,345,724.04 5,345,724.04 0.00 -5,345,724.04 0.00 0.00
12/15/2015
OCSF07522202 OCS LONG CHANDLER
111912016 6:38:25PM EST 3 'Pending S 0.e nt Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Cu.renoy: USD
OCSD-CONSOLIDATED -OC8G00010000 12/1/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Coat Gain/Loss Amount Cost Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
B 12/18/2015 86,000,911.120 -86,000,911.12 86,000,911.12 0.00 -86,000,911.12 0.00 0.00
12/18/2015
OCSF07511102 OCS LIQ OF CHANDLER
B 12/18/2015 30,043,859.430 -30,043,859.43 30,043,859.43 0.00 -30,043,859.43 0.00 0.00
12/18/2015
OCSF07522202 OCS LONG CHANDLER
e 12/22/2015 41,388.730 A1,388.73 41,388.73 0.00 -41,388.73 0.00 0.00
12/22/2015
OCSF07522202 OCS LONG CHANDLER
B 12/28/2015 76,124,870 -76,124.87 76,124.87 0.00 -76,124.87 0.00 0.00
12/28/2015
OCSF07522202 OCS LONG CHANDLER
B 12/31/2015 81,250.000 -81,250.00 81,250.00 0.00 -81,250.00 0.00 0.00
12/31/2015
OCSF07522202 OCS LONG CHANDLER
-142,580,322.02 142,580,322.02 0.00 -142,580,322.02 0.00 0.00
0.001 0.00 T
0.00 C 0.008
EXXON CORP DISC 01/28/2016
SEC ID:30229AAU3
B 12/18/2015 2,000,000.000 -1,999,088.88 1,999,088.88 0.00 -1,999,088.88 0.00 0.00
12/18/2015
OCSF07511102 OCS LIQ OF CHANDLER
FEDERAL FARM CR BK CONS SYSTEM 0.000%01/26/2016 DD 01/26/15
SEC ID:313312SG6
B 12/22/2015 10,000,000.000 -9,997,763.90 9,997,763.90 0.00 -9,997,763.90 0.00 0.00
12/22/2015
OCSF07511102 OCS LIQ OF CHANDLER
FEDERAL FARM CR BK CONS SYSTEM 0.000%06/20/2016 DO 06/22/15
SEC ID:313312YJ3
B 12/22/2015 1,075,000.000 -1,071,811.13 1,071,811.13 0.00 -1,071,811.13 0.00 0.00
12/22/2015
OCSF07511102 OCS LIQ OF CHANDLER
FEDERAL HOME LN BK CONS DISC 0.000%01/27/2016 DO 01/27/15
SEC ID:313384SH3
B 12/21/2015 12,000,000.000 -11,996,793.33 11,996,793.33 0.00 -11,996,793.33 0.00 0.00
12/21/2015
OCSF07511102 OCS LIQ OF CHANDLER
FEDERAL HOME LN BK CONS DISC MAT 06/24/2016
SEC ID:313384YN3
B 12/29/2015 4,000,000.000 -3,988,331.11 3,988,331.11 0.00 -3,988,331.11 0.00 0.00
12/29/2015
OCSF07511102 OCS LIQ OF CHANDLER
FEDERAL HOME LN BKS CONS DISC MAT 06/1S/2016
SEC ID:313384YF0
111912016 6:38:25PM EST 4 'Pending SM0.e ut Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Ctuta.ry: USD
OCSD-CONSOLIDATED -OCSG00010000 12/1/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Cost Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
B 12/22/2015 985,000.000 -982,223.94 982,223.94 0,00 -982,223.94 0.00 0,00
12/22/2015
OCSF07511102 OCS LIQ OF CHANDLER
FEDERAL HOME LN MTG CORD DISC 0.000%01/27/2016 DO 01/27/201
SEC ID:3I3396SH7
B 12/21/2015 2,200,000.000 -2,199,366.88 2,199,366.88 0.00 -2,199,366.88 0.00 0.00
12/21/2015
OCSFO7511102 OCS LIQ OF CHANDLER
PACCAR FINL CORP DISC 01/22/2016
SEC ID:69372AAN2
B 12/21/2015 1,200,000.000 -1,199,626.67 1,199,626.67 0.00 -1,199,626.67 0.00 0.00
12/21/2015
OCSF07511102 OCS LIQ OF CHANDLER
TOYOTA MTR CR CP DISC 03/21/2016
SEC ID:89233GCM6
B 12/21/2015 3,000,000.000 -2,995,601.67 2,995,601.67 0.00 -2,995,601.67 0.00 0.00
12/21/2015
OCSF07522202 OCS LONG CHANDLER
U S TREASURY BILL 0.000%01/21/2016 DD 07/23/15
SEC ID:912996GY9
B 12/23/2015 9,000,000.000 -8,998,743.50 8,998,743.50 0.00 -8,998,743.50 0.00 0.00
12/24/2015
OCSF07511102 OCS LIQ OF CHANDLER
U S TREASURY BILL 0.000%01/28/2016 DO 07/30/15
SEC ID:912796GZ6
B 12/21/2015 10,000,000.000 -9,998,448.33 9,998,448.33 0,00 -9,998,448.33 0.00 0.00
12/21/2015
OCSF07511102 OCS LID OF CHANDLER
TOTAL SETTLED U.S.DOLLAR: ,199,207,549.36 199,207,549.36 0.00 -199,207,549.36 0.00 0.00
0.001 0.00 T
0.00 C coos
TOTAL SETTLED CASH A CASH -199,207,549.36 199,207,549.36 0.00 -199,207,549.36 0.00 0.00
EQUIVALENTS: 0.001 0.00 T
0.00 C 0.008
F=D INCOME SECURITIES
U.S.DOLLAR
AMERICAN HONDA FINANCE CORP 1.125% 10/07/2016 DO I0/10/13
SEC ID:02665WAB7
B 12/21/2015 1,000,000.000 -1,001,660.00 1,001,660.00 0.00 -1,001,660.00 0.00 0.00
12/24/2015
OCSFO7511102 OCS LIQ OF CHANDLER
BANK OF NEW YORK MELLON CORP/T 2.300%07/28/2016 DO 07/28/11
SEC ID:06406HBX6
111912016 6:38:25PM EST 5 'Pending S 0.e nt Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Cu.renoy: USD
OCSD-OONSOLIDATED -OCSG00010000 12/1/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Coat Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
B 12/21/2015 1,000,000.000 -1,008,760.00 1,008,760.00 0,00 -1,008,760.00 0.00 0.00
12/24/2015
OCSF07511102 OCS UQ OF CHANDLER
COCA-COLACO/THE 1.800%09/01/2016DDOB/l0/11
SEC ID: 191216AU4
B 12/21/2015 1,000,000.000 -1,006,450.00 1,006,450.00 0.00 -1,006,450.00 0.00 0.00
12/24/2015
OCSF07511102 OCS LIQ OF CHANDLER
COOPERATIEVE CENTRAL INSTL C/D 0.916%05/06/2016 DD 05/13/14
SEC ID:21684BWO
B 12/22/2015 1,000,000.000 -999,830.00 999,830.00 0.00 -999,830.00 0.00 0.00
12/23/2015
OCSF07511102 OCS UQ OF CHANDLER
FEDERAL HOME LN MTG CORP 1.250%10/02/2019 DO 10/02/12
SEC ID:3137EADM8
B 12/18/2015 4,500,000.000 -4,436,460.00 4,436,460.00 0.00 -4,436,460.00 0.00 0.00
12/21/2015
OCSF07522202 OCS LONG CHANDLER
FEDERAL NATL MTG ASSN 1.125% 12/14/2018 DO 11/03/15
SEC ID:3135GOG12
B 12/18/2015 5,000,000.000 -4,963,950.00 4,963,950.00 0.00 -4,963,950.00 0.00 0.00
12/21/2015
OCSF07522202 OCS LONG CHANDLER
FEDERAL NATL MTG ASSN 1.500%11/30/2020 DO 10/19/15
SEC ID:31350OF73
B 12/15/2015 4,400,000.000 -4,325,596.00 4,325,596.00 0.00 -4,325,596.00 0.00 0.00
12/16/2015
OCSF07522202 OCS LONG CHANDLER
B 12/16/2015 3,100,000.000 -3,045,130.00 3,045,130.00 0.00 -3,045,130.00 0.00 0.00
12/17/2015
OCSF07522202 OCS LONG CHANDLER
-9,370,926.00 7,370,726.00 0.00 -7,370,726.00 0.00 0.00
0.001 0.00 T
0.00 C 0.008
INTERNAUONAL FINANCE CORP 0.500%05/16/2016 DO 02/22/13
SEC ID:45950VCJ3
B 12/29/2015 2,500,000.000 -2,498,750.00 2,498,750.00 0.00 -2,498,750.00 0.00 0.00
12/30/2015
OCSF07511102 OCS UQ OF CHANDLER
JOHN DEERE CAPITAL CORP 1.050% 10/11/2016DD10/11/13
SEC ID:24422ESD2
B 12/21/2015 1,000,000.000 -1,001,070.00 1,001,070.00 0.00 -1,001,070.00 0.00 0.00
12/24/2015
OCSF07511102 OCS UQ OF CHANDLER
U STREASURY NOTE 0.500%06/15/2016 DO 06/15/13
SEC ID:9I2828VG2
111912016 6:38:25PM EST 6 'Pending S 0.e nt Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Cu.renoy: USD
OCSD-CONSOLIDATED -OC8G00010000 12/1/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Coat Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
B 12/21/2015 10,000,000.000 -10,000,814.75 10,000,814.75 0.00 -10,000,814.75 0.00 0.00
12/22/2015
OCSF07511102 OCS LIQ OF CHANDLER
B 12/30/2015 4,000,000.000 -4,000,794.65 4,000,794.65 0.00 -4,000,794.65 0,00 0.00
12/31/2015
OCSF07511102 OCS LIQ OF CHANDLER
-14,001,609.40 14,001,609.40 0.00 -14,001,609.40 0.00 0.00
0.001 0.00 T
0.00 C 0.00 S
U S TREASURY NOTE 0.625%07/15/2016 DO 07/15/13
SEC ID:9I2828VL1
B 12/15/2015 3,000,000.000 -2,999,541.30 2,999,541.30 0.00 -2,999,541.30 0.00 0.00
12/16/2015
OCSF07511102 OCS LIQ OF CHANDLER
U S TREASURY NOTE 0.895%04/30/2017 DO 04/30/12
SEC ID:912828SSO
B 12/22/2015 7,500,000.000 -7,500,611.06 7,500,611.06 0.00 -7,500,611.06 0.00 0.00
12/23/2015
OCSF07522202 OCS LONG CHANDLER
U S TREASURY NOTE 0.875%09/15/2016 DO 09/15/13
SEC ID:9I2828V W]
B 12/15/2015 3,000,000.000 -3,003,760.05 3,003,760.05 0.00 -3,003,760.05 0.00 0.00
12/16/2015
OCSM7511102 OCS LIQ OF CHANDLER
U S TREASURY NOTE 1.375% 10/31/2020 DO 10/31/15
SEC ID:912828L99
B 12/22/2015 3,000,000.000 -2,955,713.18 2,955,713.18 0.00 -2,955,713.18 0.00 0.00
12/23/2015
OCSF07522202 OCS LONG CHANDLER
USTREASURYNOTE 1.500%O1/31/2019DD01/31/14
SEC ID:91282BB33
B 12/22/2015 6,500,000.000 -6,528,713.18 6,528,713.18 0.00 -6,528,713.18 0.00 0.00
12/23/2015
OCSF07522202 OCS LONG CHANDLER
B 12/29/2015 4,500,000.000 -4,513,726.01 4,513,726.01 0.00 -4,513,726.01 0.00 0.00
12/30/2015
OCSF07522202 OCS LONG CHANDLER
.11,042,439.19 11,042,439.19 0.00 -11,042,439.19 0.00 0.00
0.001 0.00 T
0.00 C 0.008
US BANCORP 2.200%11/15/2016 DO 11/03/11
SEC ID:91159HHB9
B 12/21/2015 1,000,000.000 -1,009,900.00 1,009,900.00 0.00 -1,009,900.00 0.00 0.00
12/24/2015
OCSF07511102 OCS LIQ OF CHANDLER
111912016 6:38:25PM EST 7 'Pending S 0.e nt Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Ctura.ry: USD
OCSD-CONSOLIDATED -OCSG00010000 12/1/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Cost Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
WELLS FARGO&CO 1.250%07/20/2016 DO 07/29/13
SEC ID:94994BFL9
B 12/21/2015 1,000,000.000 -1,001,870.00 1,001,870.00 0.00 -1,001,870.00 0,00 0.00
12/24/2015
OCSF07511102 OCS LIQ OF CHANDLER
TOTAL SETTLED U.B.DOLLAR: -67,803,300.18 67,803,300.18 0.00 -67,803,300.18 0.00 0.00
0.001 0.00 T
0.00 C 0.008
TOTAL SETTLED F=D INCOME -67,803,300.18 67,803,300.18 0.00 -67,803,300.18 0.00 0.00
SECURITIES: 0.001 0.00 T
0.00 C 0.008
TOTAL SETTLED PURCHASES: -269,010,649.54 267,010,649.54 0.00 .267,010,6,19.54 0.00 0.00
0.001 0.00 T
0.00 C 0.00 S
SALES
CASH&CASH EQUNALENTS
U.S.DOLLAR
DREYFUS TREAS&AGY CSH CSH MG VAR RT 12/31/2049 DO 04/09/97
SEC ID:996085247
8 12/16/2015 -6,017,782.440 6,017,782.44 -6,017,782.44 0.00 6,017,782.44 0.00 0.00
12/16/2015
OCSF07511102 OCS LIQ OF CHANDLER
S 12/16/2015 -4,327,052.060 4,327,052.06 -4,327,052.06 0.00 4,327,052.06 0.00 0.00
12/16/2015
OCSF07522202 OCS LONG CHANDLER
S 12/17/2015 -3,047,325.830 3,047,325.83 -3,047,325.83 0.00 3,047,325.83 0.00 0.00
12/17/2015
OCSF07522202 OCS LONG CHANDLER
S 12/21/2015 -26,593,663.210 26,593,663.21 -26,593,663.21 0.00 26,593,663.21 0.00 0.00
12/21/2015
OCSF07511102 OCS LIQ OF CHANDLER
S 12/21/2015 -12,140,489.110 12,140,489.11 -12,140,489.11 0.00 12,140,489.11 0.00 0.00
12/21/2015
OCSF07522202 OCS LONG CHANDLER
S 12/22/2015 -22,053,570,000 22,053,570.00 -22,053,570.00 0.00 22,053,570.00 0.00 0.00
12/22/2015
0CSF07511102 OCS LIQ OF CHANDLER
S 12/23/2015 -1,000,765.100 1,000,765.10 -1,000,765.10 0.00 1,000,765.10 0.00 0.00
12/23/2015
OCSF07511102 OCS LIQ OF CHANDLER
111912016 6:3&25PM EST 8 'Pending S 0.e nt Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Cu.renoy: USD
OCSD-CONSOLIDATED -OCSG00010000 12/1/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Coat Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
8 12/23/2015 -14,080,864.000 14,080,864.00 -14,080,864.00 0.00 14,080,864.00 0.00 0.00
12/23/2015
OCSF07522202 OCS LONG CHANDLER
S 12/24/2015 -15,055,697.250 15,055,697.25 -15,055,697.25 0.00 15,055,697.25 0.00 0.00
12/24/2015
OCSF07511102 OCS LIQ OF CHANDLER
S 12/29/2015 -3,988,331.110 3,988,331.11 -3,988,331.11 0.00 3,988,331.11 0.00 0.00
12/29/2015
OCSF07511102 OCS LIQ OF CHANDLER
S 12/30/2015 -2,500,277.780 2,500,277.78 -2,500,277.78 0.00 2,500,277.78 0.00 0.00
12/30/2015
OCSF07511102 OCS LIQ OF CHANDLER
S 12/30/2015 -4,535,497.020 4,535,497.02 -4,535,497.02 0.00 4,535,497.02 0.00 0.00
12/30/2015
OCSF07522202 OCS LONG CHANDLER
S 12/31/2015 -4,001,668.970 4,001,668.97 -4,001,668.97 0.00 4,001,668.97 0.00 0.00
12/31/2015
OCSF07511102 OCS LIQ OP CHANDLER
119,342,983.88 -119,342,983.88 0.00 119,342,983.88 0.00 0.00
0.001 0.00 T
0.00 C 0.008
TOTAL SETTLED U.B.DOLLAR: 119,342,983.88 -119,342,983.88 0.00 119,342,983.88 0.00 0.00
0.001 0.00 T
0.00 C coca
TOTAL SETTLED CASH 8:CASH 119,342,983.88 -119,342,983.88 0.00 119,342,983.88 0.00 0.00
EQUIVALENTS: 0.001 0.00 T
0.00 C 0.003
TOTAL SETTLED SALES: 119,342,983.88 -119,342,983.88 0.00 119,342,983.88 0.00 0.00
0.001 0.00 T
0.00 C 0.00 8
PRINCIPAL PAYMENTS
FLCED INCOME SECURITIES
U.B.DOLLAR
FHLMC POOL#78-6064 VAR RT 01/01/2028 DO 12/01/97
SEC ID:313485WZ3
PC 11/1/2015 -24.470 24.47 0.00 0.00 24.47 0.00 0.00
12/15/2015
OCSF07522202 OCS LONG CHANDLER
. PD 12/1/2015 -19.330 19.33 -18.86 0.47 0.00 0.00 0.00
12/1/2015 0.491 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
111912016 6:38:25PM EST 9 'Pending S 0.e nt Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Cu.renoy: USD
OCSD-CONSOLIDATED -OCSG00030000 12/1/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Cost Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
24.47 0.00 0.00 24.47 0.00 0.00
0.001 0.00 T
0.00 c 0.008
FHLMC MULMCLASS MTG 58 2A 6.500%09/25/2043 DD 09/01/03
SEC ID:31394JY35
PD 12/1/2015 -3,828.390 3,828.39 -4,332.98 -504.59 3,828.39 0,00 0.00
12/28/2015 -504,59 1 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
FHLMC MULTICLASS MTG E3 A VAR RT 08/15/2032 DD 12/01/97
SEC ID:3133TCE95
PD 11/1/2015 -2,614.850 2,614.85 -2,617.59 -2.74 2,614.85 0.00 0.00
12/15/2015 -2.94 1 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA POOL#0257179 4.500%04/01/2028 DD 03/01/08
SEC ID:31391NUC7
PD 12/1/2015 -261.380 261.38 -276.43 -15.05 261.38 0.00 0.00
12/28/2015 -15.051 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA POOL#0357969 5.000%09/01/2035 DD 09/01/05
SEC ID:31396ET22
PD 12/1/2015 -1,888.780 1,888.78 -2,030.44 -141.66 1,888.78 0.00 0.00
12/28/2015 -141,661 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA POOL80466397 3.400% 11/01/2020 DD 11/01/10
SEC ID:31381PDA3
PD 12/1/2015 -625.880 625.88 -612.34 13.54 625.88 0.00 0.00
12/28/2015 13.541 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA POOLA0945580 5.000%06/01/2036DD05/01/06
SEC ID:31403DJ23
PD 12/1/2015 -4,887.670 4,887.67 -5,254.25 -366.58 4,887.67 0.00 0.00
12/28/2015 -366.581 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA POOL#0748678 5.000% 10/01/2033 DD 10/01/03
SEC ID:31403GXF4
PD 12/1/2015 -25.790 25.79 -27.72 -1.93 25.79 0.00 0.00
12/28/2015 -1.931 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA POOLA0815971 5.000%03/01/2035DD03/01/05
SEC ID:31406PQY8
PD 12/1/2015 -12,354,310 12,354.31 -13,280.88 -926.57 12,354.31 0.00 0.00
12/28/2015 -926.57 1 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA POOL#0823358 VAR RT 02/01/2035 DO 04/01/05
SEC ID:31406XWT5
111912016 6:38:25PM EST 10 'Pending S 0.e nt Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Cu.renoy: DSD
OCSD-CONSOLIDATED -OCSG00030000 12/1/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Coat Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
PO 12/1/2015 -629.640 629.64 -624.92 4.92 629.64 0.00 0.00
12/28/2015 4.921 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA POOLn0826080 5.000%09/01/2135DD06/01/05
SEC ID:31400BXH9
PD 12/1/2015 -915.620 915.62 -984.29 -68.67 915.62 0.00 0.00
12/28/2015 -68.67 1 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA POOL#0888336 5.000%07/01/2036 DO 04/01/07
SEC ID:31410F4V4
PD 12/1/2015 -10,151.780 10,151.78 -10,913.16 -761.38 10,151.78 0.00 0.00
12/28/2015 -761,38 1 0.00 T
OCSF00522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA POOL A0AL08694.500%06/O1/2029 DO 09/O1/11
SEC ID:3138EG6F6
PD 12/1/2015 -412.750 412.75 -436.52 -23.77 412.75 0.00 0.00
12/28/2015 -23,771 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA POOL XOMA00224.500%04/01/2029 DO 03/01/09
SEC TO 314IYYAY3
PD 12/1/2015 -682.030 682.03 -721.31 -39.28 682.03 0.00 0.00
12/28/2015 -39,281 0.00 T
OCSF00522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA GM REMIC P/T 09-114 A6 VAR RT 10/27/2037 DO 11/30/07
SEC ID:31396X3Q5
PD 12/25/2015 -6,055.740 6,055.74 -5,760.52 295.22 6,055.74 0.00 0.00
12/30/2015 295,221 0.00 T
OCSF00522202 OCS LONG CHANDLER 0.00 C 0.00 S
FNMA GTD REMIC P/T 11-3 FA VAR RT 02/25/2041 DD O1/25/11
SEC ID:31399QRE0
PD 12/25/2015 -7,545.010 7,545.01 -7,542.65 2.36 7,545.01 0.00 0.00
12/28/2015 2,361 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
GNMA GM REMIC P/T 00-9 PH VAR RT 02/16/2030
SEC ID:3839114NX9
PD 12/16/2015 -1,449.560 1,449.56 -1,449.56 0.00 1,449.56 0.00 0.00
12/16/2015
OCSF07522202 OCS LONG CHANDLER
GNMA II POOL#0080023 VAR RT 12/20/2026 DO 12/O1/96
SEC ID:36225CAZ9
PD 12/1/2015 -217.850 217.85 -221.46 -3.61 217.85 0.00 0.00
12/21/201$ -3.61 1 0.00 T
OCSF09522202 OCS LONG CHANDLER 0.00 C 0.00 S
GNMA 11 POOL#0080395 VAR RT 04/20/2030 DO 04/01/00
SEC ID:36225CNM4
111912016 6:38:25PM EST 11 'Pending S 0.e nt Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Cu.renoy: USD
OCSD-CONSOLIDATED -OCSG00030000 12/1/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Cost Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
PO 12/1/2015 -59.690 59,69 -59.15 0.54 59.69 0.00 0.00
12/21/2015 0.541 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
GNMA II POOL#0080965 VAR RT 07/20/2034 DO 07/01/04
SEC ID:36225DCB8
PD 12/1/2015 -391.260 391.26 -391.02 0.24 391.26 0.00 0.00
12/21/2015 0.241 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
GNMA 11 POOL N080088M VAR RT 06/20/2027 DO 06/01/97
SEC 1D:36225CC20
PD 12/1/2015 -264.650 264.65 -270A4 -5.79 264.65 0.00 0.00
12/21/2015 -5.79 1 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
GNMA 11 POOL N080408X VAR RT 05/20/2030 DO 05/01/00
SEC 1D:36225CN28
PD 12/1/2015 -1,219.720 1,219.72 -1,207.33 12.39 1,219.72 0.00 0.00
12/21/2015 12,391 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
HONDA AUTO RECENABLES 20 1 A3 0.670%11/21/2017 DO 02/27/14
SEC 1D:4381WAC9
PD 12/21/2015 -264,144.450 264,144.45 -263,339.63 804.82 26,L144.45 0.00 0.00
12/21/2015 804,821 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
HONDA AUTO RECENABLES 202 A3 0.990%03/19/2018 DO 05/21/14
SEC 1D:43814GAC4
PD 12/18/2015 -42,516.100 42,576.10 -42,546.16 29.94 42,576.10 0.00 0.00
12/18/2015 29,941 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
NCUA GUARANTEED NOTES TR R2 IA VAR RT 11/06/2019 DO 11/17/10
SEC ID:62888UAA8
PD 12/5/2015 -10,901.600 10,901.60 -10,901.55 0.05 10,901.60 0.00 0.00
12/8/2015 0.051 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
SOUNDVIEW HOME LOAN TR OPT3 A4 VAR RT 11/25/2035 DO 09/30/05
SEC ID:83611MGS1
PD 12/25/2015 -14,700.940 14,700.94 -12,978.17 1,722.77 14,700.94 0.00 0.00
12/28/2015 1,722.791 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
TOYOTA AUTO RECENABLES 2 A A3 0.690% 12/15/2017 DD 03/19/14
SEC ID:89231MAC9
PD 12/15/2015 -296,707.570 296,707.57 -296,093.29 614.28 296,707.57 0.00 0.00
12/15/2015 614.281 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
111912016 6:38:25PM EST 12 -Pending S 0.e nt Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Ease Ctura.ry: USD
OCSD-CONSOLIDATED -OCSGOOOl0O00 12/I/2015 - 12/31/2O15 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Cost Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
TOTAL SETTLED U.S.DOLLAR: 685,537.48 .684,873.56 639.45 685,537.48 0.00 0.00
639.451 0.00 T
0.00 C coca
TOTAL SETTLED FIXED INCOME 685,537.48 -684,B73.56 639.45 685,537.48 0.00 0.00
SECURITIES: 639.451 0.00 T
0.00 C 0.008
TOTAL SETTLED PRINCIPAL PAYMENTS: 685,537.48 -684,873.56 639.45 685,537.48 0.00 0.00
639.451 0.00 T
0.00 C 0.008
MATURITIES
FIXED INCOME SECURITIES
U.S.DOLLAR
CHARLES SCHWAB CORP/THE 0.850%12/04/2015 DD 12/06/12
SEC ID:808513AH8
MT 12/4/2015 -1,000,000.000 1,000,000.00 -1,002,700.00 -2,700.00 1,000,000.00 0.00 0.00
OCSF07511102 OCS LIQ OF CHANDLER -2,700.001 0.00 T
0.00 C O.00 5
COSTCO WHOLESALE CORP 0.650% 12/07/2015 DD 12/07/12
SEC ID:22160KAD7
MT 12/7/2015 -1,000,000.000 1,000,000.00 -1,001,340.00 -1,340.00 1,000,000.00 0.00 0.00
OCSF07511102 OCS LIQ OF CHANDLER -1,340.00 1 0.00 T
0.00 C 0.00 S
U S TREASURY NOTE 0.250% 12/15/2015 DD 12/15/12
SEC ID:912828UC2
MT 12/15/2015 -5,000,000.000 5,000,000.00 -4,998,649.56 1,350.44 5,000,000.00 0.00 0.00
OCSF07522202 OCS LONG CHANDLER 1,350.441 0.00 T
0.00 C 0.00 S
MT 12/15/2015 -6,000,000.000 6,000,000.00 -6,004,004.48 -4,004.48 6,000,000.00 0.00 0.00
OCSF07511102 OCS LIQ OF CHANDLER -4,004.48 1 0.00 T
0.00 C 0.00 S
11,000,000.00 -11,002,654.04 -3,654.04 11,000,000.00 0.00 0.00
.2,654.041 0.00 T
0.00 C 0.00 S
TOTAL U.S.DOLLAR: 13,000,000.00 -13,006,694.04 -6,694.04 13,000,000.00 0.00 0.00
-6,694.041 0.00 T
0.00 C 0.008
TOTAL F=D INCOME SECURITIES: 13,OOaO0uOO -13,006,694.04 -6,694.04 13,000,000.00 0.00 0.00
-6,694.04 I 0.00 T
0.00 C 0.00 S
111912016 6:38:25PM EST 13 'Pending SMU.m ut Workbench
3► Transaction Report Report ID: TX8355
BUY MELLON Base Ctura.ry: USD
OCSD-CONSOLIDATED -OC8G00030000 12/I/2015 - 12/31/2015 Status: FINAL
Trade Date Investment Investment Settle Date Currency Currency
Tran Effective Date Amount Cost Gain/Loss Amount Cost Gain/Loss
Code Settle Date Shares/Par Base Base Base Base Base Base
TOTAL 14ATURITIES: 13,000,000.00 .13,006,694.04 -6,694.04 13,000,000.00 0.00 0.00
-6,694.04 1 0.00 T
0.00 C 0.005
CORPORATE ACTIONS
U.S.DOLLAR
GE EQUIPMENT TRANSPORTATI 1 A3 1.280%02/25/2019 DD 03/04/15
SEC ID:36164EAC9
CAL 12/23/2015 -2,955,000.000 2,955,000.00 -2,954,564.14 435.86 2,955,000.00 0.00 0.00
12/23/2015 435.861 0.00 T
OCSF07522202 OCS LONG CHANDLER 0.00 C 0.00 S
GRAND TOTAL ACTIVITY: -327,128.18 131,016,541.92 -5,618.73 -327,128.16 0.00 0.00
-6,618.73 1 0.00 T
0.00 C 0.00 S
111912016 6:38:25PM EST 14 'Pending S 0.e nt Workbench
Callan
December 11,2015
Orange County Sanitation District
Investment Measurement service
Quarterly Review
The holder, aided waa prepared by Callan Associates Inc. ("CAI"I using Information from sources that include the following: fund thusands); fund
dietodian(s);Investment managaidel CAI computer service;CAI investment manager and fund sponsor database;third party data vendors;and other outside
sources as directed by the client CAI assumes no responsibility for the accuracy or completeness of the information provided,or methodologies employed,by
any information providers external to CAI.Reasonable care has been taken to assure the accuracy of the CAI database and computer software.Callan does
not provide advice reversing, nor shall Callan be responsible for,the purchase,sale, hedge or holding of individual securities, including,without limitation
cuticles of the client(i.e. company stock)or derivatives in the clients accounts.In preparing the following report CAI has not reviewed the risks of individual
cunt,holdings or the conformity of individual seventy holdings with the client's Investment policies and guidelines,nor has it assumed any responsibility to do
a.Advice pertaining to Me medic of individual securities and derivatives sal be discussed with a Mind party securities expert.Copyright 2016 by Callan
Associates mr.
Table of Contents
December 31, 2015
Capital Markel Review 1
Active Management Overview
Market Overview 8
Domestic Fixed Income 9
Asset Allocation
Investment Manager Asset Allocation 11
Investment Manager Returns 12
Asset Class Risk and Return 16
Manager Analysis
Chandler-Long Term Operating Fund 18
Chandler-Liquid Operating Money 22
Callan Research/Education 24
Definitions 27
Disclosures 32
Callan
Orange County Sanitation District
Executive Summary for Period Ending December 31, 2015
Asset Allocation
December 31, 2015
Market Value Weiaht Net New Inv.
Dameac Fixed Imme
Long Tenn operating Fund' 314,972,772 70A7% 531000.000
Total FuM $446.934,902 100.0% $141,000,000
Performance
Last Last Last
Last Last 3 5 7
Quarter Year Years Years Years
Domestic Fixed Income
Long Term Operating FundA (0.33%) 0.85% 0.34% 1.72% 2.64%
Chandler (0.33%) 0.85% - - -
Barclays Gool Cred 1-5 Year ldx (0.57%) 0.97% 0.89% 1.61% 2.38%
ML 15 GwtlCorp (0.54%) 1.05% 0.96% 1.68% 2.49%
Liquid Operating Monies- 0.05% 0.22% 0.15% 0.17% 0.24%
Chandler 0.05% 0.22% - - -
Citlaroup 3-Month Treasury Bill 0 01% 0 03% 0 04% 0.05% 0 08%
Total Fund (0.27%) 0.80% 0.33% 1.47% 2.23%
Target' (0.43%) 0.85% 0.77% 1.36% 2.00%
Current Quarter Target=80.0%ML 1-5 GaNCorp and 20.0%3mo T-Bills.
^Assets were trensfened In kind to Chandler on 12/1/2014.Previous performance reflects PIMCO.
Recent Developments
During the quarter, $141 million was added to the total portfolio. $53 million came from the
Long Term Operating Fund and $88 million from the Liquid Operating Monies.
Organizational Issues
N/A
Manager Performance
Interest rates saw an overall upward trend throughout the quarter. The yield curve shifted
upward and Flattened. The 10-year U.S. Treasury note began the quarter at 2.05% and
climbed steadily to end the quarter at 2.27%. The 30-year Treasury bond, which started the
quarter at 2.85% also rose and ended the quarter at 3.01%. The Barclays Aggregate index
fell 0.57%. Spreads on corporates and mortgages compressed, and although real return was
negative they managed to outperform like-duration U.S. Treasuries by 0.50% and 0.61%,
respectively. High yield bond spreads widened and were the worst performing debt category,
sliding 2.07% on an absolute basis for the quarter and underperforming like-duration
treasuries by 1.19% (Barclays High Yield Index).
Callan Orange Uunty Sanilatm Dinnd
January 29,2016
The Long Term Operating Portfolio was down 0.33% in the quarter, slightly outperforming the
ML 1-5 Govt/Corp Index (-0.54%) and ranking in the W percentile versus peers. Securities
were transferred in-kind from PIMCO to Chandler in December of 2014. Since assuming this
portfolio in late 2014 Chandler has been re-positioning the portfolio in a manner they believe
to be consistent with OCSD's objectives. This has resulted in some legacy securities being
sold, making a decision to allow some legacy securities to mature, and in some cases
considering legacy securities as core holdings of the portfolio. The portfolio is still
transitioning making it difficult to assess Chandlers relative performance. The Portfolio had
less than 30% invested in credit and less than the permitted 20% invested in the combination
of asset-backed securities, commercial mortgage backed securities, and CMOs as of
December 31, 2015 (see page 21).
The Liquid Operating Portfolio returned 0.01% (after fees) in the quarter, which was even
with the return of the 3-Month Treasury Bill (+0.01%). Throughout the quarter, interest rates
rose on the short end of the yield curve. The Portfolio returned 0.07% (after fees) for the
trailing year.
Gordon M. Weightman, CFA
Vice President
2
Capital Market Review
CALLAN
INVES
Callan INST TUTENTS
lit
CMR
Preview
Fourth Quarter 2015
This "Preview" contains excerpts from the upcoming Capital Broad Market Quarterly Returns
Market Review (CMR) newsletter, which will be published at
the and of the month. U.S.Egolry(Russell 3000)-6 V%
Non-uS.Equity(MSCI ACWI ex USA)-3 30%
-0.57%1 U.S.Flxetl(Bamlays Agg�ale)
Back in Black -1.38% M Non-Us Fi.0(CM Non-Us)
U.S. EQUITY I Lauren Mathias,CFA Cash(ag-Day T-Bills) 003%
Soumu Bamlays,01lgmup,.¢ 11 1n6,.111,WoellImestmenl Group
Although it was the strongest quarter of the year, the journey
was volatile.October proved to be a welcome turnaround after a
stumbling third quarter as U.S.indices landed one of their stron- Onwards and Upwards
gesl single months since the financial crisis (S&P 500 Index:
+8.44%).yet a slowing Chinese economy,other weak emerging U.S. FIXED INCOME I Kevin Nagy
markets,commodity price declines,and the strength of the U.S.
Yields rose in the fourth quarter as the Federal Reserve raised
dollar led to a middling November and disappointing December.
interest rotes for the first time in needy a decade.The yield curve
Despite this, the U.S. Federal Reserve deemed the U.S.Soon- flattened, though the effect on spreads was mixed: investment
omy to be in a strong enough position for a rate increase,citing
grade credit and mortgage backed security (MBS) spreads
Continued an pg.2
Continued on pg.4
Tech Takes Over
NON-U.S. EQUITY I Irina Sushch .Slip `n Slide
Surging merger activity, robust tech sector gains,and stronger NON-U.S. FIXED INCOME I Kyle Fekele
than expected Corporate profits drove a positive fourth quarter The Citl Non-U.S. World Government Bond Index declined
for non-U.S. markets (MSCI ACWI ex USA Index: +3.30%). 1,38% for the quarter and 5.54% for the year.As the U.S. dol-
Total global M&A volume in 2015 surpassed $4.3 trillion, lar continued to appreciate, the Index's hedged equivalent
breaking the previous record set in 2007. Companies were inched ahead 0.58%for the quarter and 1.55%for the year.The
persuaded to sign deals by the availability of cheap debt and yield on 10-year German bunds was volatile throughout 2015:
the desire to stay Competitive and efficient in a slow-growth it started off the year at 0.54%, sank to 0.18% on March 31,
environment.The strengthening dollar boosted returns of inter- climbed to 0.76% on June 30, and eventually ended at 0.63%.
national export-oriented Companies. Adding to the noise of 2015, German debt with maturities as
far out as seven years provided negative yields, indicating
As in the U.S.,growth (MSCI ACWI ex USA Growth: +5.61%) bond investors would have to pay to own before adjusting for
fared better than value (MSCI ACWI ex USA Value: +2.17%).
Continued on pg.3 Continued on pg.5
Knowledge.Experience.Integrity.
U.S. Equity: Back in Black Quarterly Performance of Select Sectors
Continued from pg. 1
0Russe111000 0Russe112000
improved labor market conditions and subdued inflation.Third-
quarter U.S. GDP growth of 2.0% looked strong compared to 1
I I I I I
other developed coumriss,but fell below predictions(2.1%)and 1
far short of the second quarter(3.9%).The price of oil continued 4.61%
to decline, but consumer confidence remained above average I I I I
and provided some tailwind to the market I I I I
I I I I
Growth continued to build its lead on value in the fourth quar- H.IM are Technology consumer Energy
ter (Russell 1000 Growth Index: +7.31% and Russell 1000 olscre6onarr,
Value Index: +5.64%); over the year the difference was pro- source:Eosee11 inve ent croup
found (+5.66% vs. -3.83%, respectively).All U.S. equity indi-
ces posted positive results, but larger proved better(Russell
Madcap Index: +3.62%, Russell 2000 Index: +3.59%, and
Russell Microcap Index:+3.74%).The Russell Top 501ndex Rolling One-Year Relative Returns (vs.Russell 1000)
led the way gaining 9.34%.
e Russe111000 Growth a Ruew111000 Value a Russell 1000
An extremely narrow market led to wide dispersion in large 90%
cap sector performance. Energy advanced just 20 bps, while
Materials, Information Technology, and Health Care nearly 20%- - ----- --------- - - - - - - - - - - -
-
reached double digits. Small cap saw similar results—Energy
loos_ _ __ _ _ _ _ _ _ _ _ _
trailed significantly while only Health Care produced a strong
positive result.Commodity price declines and slow global growth 0%
were major factors behind Energy's stumble.Biotech companies
led small cap Health Care. Active managers struggled again, -10%
especially in large cap where the S&P 500 Index total annual -20%- - ----- ------------- - - - - - - - -
return(with dividends)would have been negative without three
stocks: Amazon, Microsoft, and GE. Investors preferred the -39061"6,94 W99 1W0l 04 W66 9O 1'1'2
13 16 15
safety of these and other large cap companies. Equity volatility source:Wessell Inrasenent Group
as measured by the VIX increased during the quarter but ended
the year below average.Assets continued to flow into passive
funds and ETFs,further challenging active managers.
The U.S. equity market was generous in the fourth quarter,
but for the full year four stocks were down for every three that
rose (in the S&P 500). Despite this, broad market valuations
remain above average, leading to questionable prospects as
we enter 2016.
2 1 Callan
Non-U.S. Equity: Tech Takes Over Rolling One-Year Relative Returns
Continued from pg. 1 (vs.MSCI World ex USA,USD hedged)
The MSCI Emerging Markets Index(+0.73%)delivered paltry a MSCI Padfi a MSCI Eumpe a MSCI Word as USA
40%
returns in comparison to its developed market counterpart the 30%
MSCI World ex USA Index(+3.91%).Small cap outpaced large 20%
cap once again due to fewer Energy holdings (MSCI ACWI ex
tors_
USA Small Cap Index: +5.28%).Among sectors, Information 0%
Inv
Technology(+8,40%)was the darling,while Industrials(+4.67%)
_ _ _ _ -
and Consumer Discretionary (+4.59%) helped with high M&A
activity. Energy (-0.43%) and Materials (+0.36%) have now
lagged for two straight quarters.Crude oil ended die year below
-40rc .......L..L..I
$40 per barrel, down 17.85% for the quarter, due to crude's 96 W 98 69 00 01 02 03 04 05 06 el 08 09 10 11 13 13 14 15
unrelenting excess of supply over global demand. souma:MSCI
on Industrials and Materials.Australia thrived (+9,96%)on a
European stocks were up for the first two months of the quar- strong financial sector;the IargestAussie banks raised home-
ter due to investor expectations of amplified European Central loan interest rates during the fourth quarter.
Bank (ECB) stimulus measures. Investors were disappointed
in December when the central bank cuts its deposit rate and Emerging market countries produced a spectrum of returns,
extended its bond-buying program by six months. Returns fal- but closed slightly ahead (+0.73%). Information Technology
tered,yet the MSCI Europe Index ended the quarter up 2.49%. (+6.46%) buoyed returns. Insecurities about U.S. monetary
policy were assuaged by the U.S. Federal Reserve raising
Japanese stocks closed the year on a high note (MSCI rates. China (+4.03%) was more even-tempered than last
Japan: +9.34%;YTD: +9.57%).The weak yen boosted auto- quarter. Its central bank cut interest rates once again, part
mobile companies, and health care companies fared well of an ongoing stream of stimulus measures to fuel consump-
due to robust drug pipelines.The country also completed the tion. China's currency, the renminbi,will join the dollar, sure,
largest state asset sale since 1987 with the privatization of pound, and yen in the International Monetary Fund's basket
Japan Post Holdings accompanied by ramped up stimulus of reserve currencies later this year. The rest of emerging
measures. The remainder of Southeast Asia and the Pacific Asia also had a positive quarter (MSCI Emerging Markets
also enjoyed gains during the fourth quarter(MSCI Pacific ex Asia Index: +3.53%). Indonesia gained 20.87%,with signifi-
Japan Index:+8,29%).New Zealand led the pack,up 18.15%, cant advances in all sectors, thanks to progressive policies
due to increased tourism and the subsequent positive impact and reforms pursued by the government.
Regional Quarterly Performance (U.S.Dollar) On the negative end, Greece's financial woes continued
(-18.99%). Russian stocks declined 3.99% as the economy
MSCI Japan 9.34% deteriorated further. Emerging Europe sank 5.13% in the
MSLI Padfic ex Japan - 8.29% fourth quarter. The Middle East did not fare well amid ongo-
MSCI word ex USA - 3.91% ing political turbulence and declining oil prices. South Africa
MSCI ACWI ex USA - 3.30% plummeted 10.51% with losses in the financials sector and
MSCI Europe -2.49% ongoing political instability. Latin America (-2.61%) had
MSCI Emereing Murals E 0.73% another miserable quarter.Brazil dropped 3.16%,and its debt
rating was cut to below investment grade.
Source:MSCI
Knowledge.Experience.Integrity. 1 3
U.S. Fixed Income: Onwards and Upwards
Continued from pg. 1 High yield corporate bonds slumped as the Barclays Corporate
High Yield Index ended the quarter down 2.07%. The Index
tightened while asset-backed (ABS), commercial MSS, and receded 4.47%for the year and underperformed Treasuries by
high yield spreads widened. The Barclays Aggregate Index 5.77%. New issuance was $35.6bn for the quarter, down from
dropped 0.57%. $42.8bn. New issue activity for 2015 was$260.5 billion, 16.3%
lower than 2014.
According to the Fed,the economy showed signs of moderate
growth, driven by fixed investment from businesses, house-
hold spending, and a strengthening housing sector. Inflation Historical 10-year Yields
remained below the Fed's 2%target.
eu.S.10-YearTreasuryYkld e10-Year TIPS Meld eBreakeven Inflation Rate
After months of restraint,the Fed raised the federal funds rate
band by 0.25%to 0.250/-0.50%. The Fed cited a strong labor 6%
market as a key reason behind the decision.The 10-year U.S. 5%
Treasury yield increased to 2,27%.The breakeven inflation rate 4%_ _ _ _ _ _ _____________ _ _ _ _ _ _ _ _ .
(the difference between nominal and real yields) on 10-year
Treasuries increased from 1.43% to 1.58% as TIPS outper-
formed nominal Treasuries.This measure rebounded from last
quarter,when it reached its lowest level since 2008(1.43%). 1%- - - - - - - --- --------- - - - -
-
o%
Every sector in the Barclays Aggregate posted negative returns
-1%I
on the quarter. Relative to like-duration Treasuries, the strop- os o] oa os 10 n 12 13 14 u
gest performer was U.S. MSS which, although down 0.10%, source:Bloomberg
beat Treasuries by 0.61%. Credit (-0.52%)was the only other
sector to outperform Treasuries, buoyed by strong performance U.S.Treasury Yleld Curves
in Financials(+1.09%relative to Treasuries).Both ABS and U.S.
agencies outperformed like-duration Treasuries for the year, •December 31,2015 •sapernM1erso,2als •Decamber31,2g14
despite trailing in the quarter. 5%
Fixed Income Index Quarterly Returns 4%
Absolub Retum 3%
Aggregate 4.5]%- - - - - - - - - - - - - - - - - --
Sandman B xclays Treasury -0.BC% - - - --
_ _ _ _ _ _ _ _ __ _ _ _____ 2% _ _ _ _ _ _
earclaya Agendem -0.a4%
_ _ _____
Barclays CUBS -02lX
BercleysABa -0.5]X
% -
6arcleys MBS -0.i M6
Barclays Credit -0.52X ___ 0% . . , I ' ' ' ' I ' ' ' ' I . . . . I ' ' ' ' I
_ _ _ _ _ _ _ _ _ _ _ _ _ _ _
Barclays Corr.High YMtl -2A]% 0 5 10 15 20 25 30
Malunty(Year3)
Source:Barclays source:Bloomberg
4 1 Callan
Non-U.S. Fixed Income: Slip `n Slide Emerging Spreads Over Developed (By Region)
Continued from pg. 1
•Emerging,mama, a Emerging EMEACmpe,Mldllece Anr) a Emergingema
Inflation.Approximately a third of the debt issued by European B%
governments had negative yields at the end of the year. U.K.
sovereigns lagged their European counterparts as the 10-year 6% _ ______
gilt fell 1,36%, pushing yields higher than the 10-year German
bund. The Bank of England continued to battle weak inflation Ors
and held interest rates at an all-time low throughout the year.
The Japanese 10-year bond declined to 0.27%,the lowest since 2% _ _ _ _ _ ________-
January.The country dodged a recession as GDP growth was
revised upwards to 1%through September;the original calcula- o% , . , ,
n tz 13 14 rs
tion had it contracting by 0.8%.
soMme:aamiaya
In December, the ECB lowered its deposit rate to -0.3% and
extended its quantitative easing program out to March 2017. 10-Year Global Government Bond Yields
Propelled by the ECBS monetary policy and investors'hunt for
yield, European periphery countries outperformed their core- 0U.S.Treasury eG ddgr eu.K. 0Canada eJMpeo
6%
eurozone counterparts. Italian and Spanish 10-year bonds
returned 1.82%and 1.43%, respectively. Both countries confln- s%nl
- - - - - - - - - - - - - - -------
ued their recovery from record-long recessions as unemplcy- arcment dropped to a three-year low. a%2% _ _ _Emerging markets were mired by political and economic strife.The dollar-denominated JPM EMBI Global Diversified Index 1%--------- - ------ ---
gained 1.25%, outperforming emerging local currencydenom- o%i 1 1 1 . . . i I I . I . . . i . . . . . . . . . i . . . . . . . .
meted sovereign debt. The negative currency effect pulled the oa w os os to n 12 13 14 18
JPM GBI-EM Global Diversified Index down 0.01%. Change in 10-YearYlelds from 3O15 to 4015
U.S.Treasury -0.23%
The South African 10-year bond declined 7.26% (on a dollar- Germany =0.04%
denominated basis)over worries that the country's political and
U.K. -0.20%
economic turmoil could result in a downgrade to junk status. a.a%= Canada
Investors responded harshly after President Jacob Zuma fired ,g.eg%I— Japan
Finance Minister Nhlanhla Nene and hired an unknown candi-
date for the job.Additionally,the rand's exchange rate dropped Soume:Bloomiderg
to record lows against major currencies. The local currency-
denominated South African 10-year bond plummeted 28.22%
in 2015.Brazilian debt declined 30.69%in 2015 on a local cur-
rency basis, in the midst of a corruption scandal and President
Rousseffs possible impeachment. Brazil remains in a steep
recession after being cut to below investment grade by Standard
&Poor's earlier in the year.
Knowledge.Experience.Integrity. 5
Active Management Overview
Market Overview
Active Management vs Index Returns
Market Overview
The charts below illustrate the range of returns across managers in Callan's Separate Account database over the most
recent one quarter and one year time periods. The database is broken down by asset class to illustrate the difference in
returns across those asset classes.An appropriate index is also shown for each asset class for comparison purposes.As an
example, the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter.
The triangle represents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in the
domestic equity manager database.
Range of Separate Account Manager Returns by Asset Class
One Quarter Ended December 31,2015
10%
8%
sl
6%
E 4q (48)
o fi)F1
2%
0% (66)
(2%) D
(4%) Domestic Non-US Domestic Non-US Real Cash
Equity Equity Fixed Income Fixed Income Estate Equivalents
e va
S&P No MSCI EAFE Barclays Age,ad Cie Non-US Gov NCREIF Index 3 Mon T4flii.
10ih Percentile 7.65 e42 (0.19) 041 dA8 0.11
25m PercenLle 8.38 588 (0.36) (0,81) 3.58 0.08
Median 472 465 (045) 118 295 0.04
75th Percentile 2]] 3, ((0.6577 1.3fi 2.09 0.01
90ih Percentile 0.91 259 (0.8]) 1.88 0.32 (0.01)
Index • T04 471 (0.57) (1,38) 3.09 0,03
Range of Separate Account Manager Returns by Asset Class
One Year Ended December 31,2015
25%
20%
15%
c 10%
5%
32
0% •
(5%)
(10%)
(15%) Domestic Non-US Domestic Non-US Real Cash
Equity Equity Fixed Income Fixed Income Estate Equivalents
vs ex vs
5&P No MSCI EAFE Barclays Ager Bd Citi Non-US Gov NCREIF Index 3 Mon T-Bills
10MPercantile 5.66 5.50 1.51 3.58 20.50 0.]2
251h Percentile 2.09 2]6 1.13 0.84 15.86 0.63
Median ((ou) ((11.82)) 0.82 5.89 12.]0 0.39
75ih Percentile (j.65� (d.95) (0.06) 9 2 441 80 0.12
28
90th Percentile
'�
Index • in (0di) 0.55 (5.5a) 13.52 0.05
CallanChange County Sanitation District 6
Domestic Fixed Income
Active Management Overview
Yields rose throughout the 4th quarter as investors grew increasingly certain that the Fed would hike rates before year-end.
Sentiment proved correct as the Fed raised the fed funds target from its 7-year"near zero" target to 0.25%-0.50% at its
December meeting.The yield on the 10-year Treasury rose 21 bps over the quarter and closed the year at 2.27%,up 11 bps
from 12/31/2014. The Barclays Aggregate Index was down modestly for the quarter (-0.6%) but up slightly for the year
(+0.5%). Investment grade credit and mortgages outperformed like-duration US Treasuries for the quarter but
underperformed for the full year. However, declining commodity prices and negative sentiment continued to take a toll on
high yield corporates. The Barclays High Yield Index was down 2.1% for the quarter bringing its 2015 loss to 4.5%. The
Energy component,which comprises 11% of the Index, bore the brunt of the pain with returns of-12.9%for the quarter and
-23.6%for the full year.
Longer duration managers underperformed intermediate and short duration strategies in the 4th quarter. The median
Extended Maturity manager returned-0.8%while the median Intermediate manager posted a-0.5% return and the median
Defensive manager returned-0.2%.
Barclays Universal: (0,55%)
Barclays Aggregate: (05T%)
Separate Account Style Group Median Returns Barclays GoWCretli[ (074%)Barclays Modgage: (0.10%)
for Quarter Ended December 31,2015 Barclays High Yield: (2.07%)
1% Barclays US TIPS: (0.m%)
0.04%
0%
0.16%)
(0.24%)
ga (O.dB%) (045%) (0.51%)
(t%1 _______________________(0.82%L
(1.62%)
(2%)
Active Defensive Interracial Care Core E,dended Bank Mortgage High
Cash Bond Plus Maturity Loans Backed YI.H
Barclays Universal: 0.43%
Barclays Aggregate: 0.55%
Separate Account Style Group Median Returns Barclays GoWCretli[ 0,15%Barclays Mortgage: 1.51%
for One Year Ended December 31,2015 Barclays High Yield: (4.47%)
4% Barclays US TIPS: (144%)
2% _______________________________�.yjy______
1.28%
0.58% 0�919e 0.82% O.TT%
0.20%
as
0%
E
as
(2%) is 34y-----------------------a-------
0%) (3.10%)
(6%)
Ad. Defensive Interracial Care Core Extended Bank Mortgge a High
/'�,,11,,M Cash Band Plus Maturity Loans Backaal Yield
L.A3 L Orange County Sanitation District g
Asset Allocation
Investment Manager Asset Allocation
The table below contrasts the distribution of assets across the Fund's investment managers as of December 31, 2015,with
the distribution as of September 30,2015.The change in asset distribution is broken down into the dollar change due to Net
New Investment and the dollar change due to Investment Return.
Asset Distribution Across Investment Managers
December 31,2015 September 30,2015
Market Value Weight Net New Inv. Inv.Return Market Value Weight
Domestic Fixed Income
Long Term Operating Fund' 314,972.772 7047% 63,000,000 (918,191) 262.690.963 85.68%
liquid Ooeratina Monies' 131,962,130 29.53% 88,000,000 28,627 43,933,504 14.32%
Total Fund 8446,934.902 100.0% $141,000,000 81889,565) 8108.824.487 100.0%
'Chandler replaced PIMCO during the 4th quarter of 2014.Assets were transferred In+lnd as of 100112014.
Callan coerce County Sanitation District „
Investment Manager Returns
The table below details the rates of return for the Fund's investment managers over various time periods ended December
31, 2015. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The
first set of returns for each asset class represents the composite returns for all the fund's accounts for that asset class.
Returns for Periods Ended December 31,2015
Last Last Last
Last Last 3 5 7
Quarter Year Years Years Years
Domestic Fixed Income
Long Term Operating Fund^ (0.33%) 0.85% 0.34% 1.72% 2.64%
Chandler (0.33%) 0.85% - -
Barclays GovUCred 1-5 Year Idx (0.57%) 0.97% 0.89% 1.61% 2.38%
ML 1-5 GovUCorp (0.54%) 1.05% 0.96% 1.68% 2.49%
Liquid Operating Monies^ 0.05% 0.22% 0.15% 0.17% 0.24%
Chandler 0.05% 0.22% - - -
Citigroup 3-Month Treasury Bill 0.01% 0.03% 0.04% 0,05% 0,08%
Total Fund (0.27%) 0.80% 0.33% 1.47% 2.23%
Target* (0,43%) 0.85% 0.77% 1.36% 2,00%
Current Quarter Target=80.0%ML 1-5 Govt/Corp and 20.0%3mo T-Bills.
Callan
were transferred in kind to Chandler on 12/1/2014.Previous performance reflects PIMCO.
Callan Oran,County Sandarinn Distnd 12
Investment Manager Returns
The table below details the rates of return for the Fund's investment managers over various time periods ended December
31, 2015. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The
first set of returns for each asset class represents the composite returns for all the fund's accounts for that asset class.
Returns for Periods Ended December 31,2015
Last Last Last
10 15 20.1/4
Years Years Years
Domestic Fixed Income
Long Term Operating Fund^ 3.53% 3.91% 4.62%
Barclays Govt/Cred 1-5 Year Idx 3.32% 3.78% 4.41%
ML 1-5 GovUCorp 3.35% 3.77% 4.44%
Liquid Operating Monies^ 1,42% 1.80% 2.80%
Citigroup 3-Month Treasury Bill 1.17% 1.52% 2.47%
Total Fund 3.16% 3.57% 4.35%
Target` 2.91% 3.32% 4.05%
Current Quarter Target=80.0%ML 1-5 Govt/Corp and 20.0%3mo T-Bills.
Callan
were transferred in kind to Chandler on 12/1/2014.Previous performance reflects PIMCO.
Callan Oran,County Santlerinn Distnd 13
Investment Manager Returns
The table below details the rates of return for the Fund's investment managers over various time periods. Negative returns
are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each
asset class represents the composite returns for all the fund's accounts for that asset class.
2015 2014 2013 2012 2011
Domestic Fixed Income
Long Term Operating Fund^ 0.85% 1.98% (1.77%) 3.06% 4.59%
Chandler 0.85% - - - -
Barclays Govl/Cred 1-5 Year Idx 0.97% 1.42% 0.28% 2.24% 3.14%
ML 1-5 Govt/Corp 1.05% 1.51% 0.32% 2.47% 3.10%
Liquid Operating Monies^ 0.22% 0.09% 0.13% 0.17% 0.24%
Chandler 0.22% - - -
Citiarouo 3-Month Treasury Bill 0.03% 0.03% 0.05% 0.07% 0.08%
Total Fund 0.80% 1.73% (1.49%) 2.70% 3.70%
Target* 0.85% 1.21% 0.26% 1.99% 2.49%
*Current Quarter Target=80.0%ML 1-5 Govt/Corp and 20.0%3mo T-Bills.
Callan
were transferred in kind to Chandler on 12/1/2014.Previous performance reflects PIMCO.
Callan Orarryre County Santlerinn DisNtl 14
Investment Manager Returns
The table below details the rates of return for the Fund's investment managers over various time periods. Negative returns
are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each
asset class represents the composite returns for all the fund's accounts for that asset class.
2010 2009 2008 2007 2006
Domestic Fixed Income
Long Term Operating Fund^ 4.42% 5.52% 5.37% 7.21% 4.41%
Barclays Govt/Cred 1-5 Year Idx 4.08% 4.62% 5.12% 7.27% 4,22%
ML1-5 Govt/Corp 4.17% 4.88% 4.65% 7.27% 4.26%
Liquid Operating Monies- 0.25% 0.58% 2.40% 5.25% 5,05%
Citigroup 3-Month Treasury Bill 0.13% 0.16% 1.80% 4.74% 4.76%
Total Fund 3.68% 4.65% 4.61% 6.841/6 4.60%
Target` 3.36% 3.93% 4.08% 6.76% 4.36%
Current Quarter Target=80.0%ML 1-5 Govt/Corp and 20.0%3mo T-Bills.
^Assets were transferred in kind to Chandler on 12/1/2014.Previous performance reflects PIMCO.
Callan Orarq,e County SantlerinnDlsNct ,s
Asset Class Risk and Return
The charts below show the seven year annualized risk and return for each asset class component of the Total Fund.The first
graph contrasts these values with those of the appropriate index for each asset class.The second chart contrasts them with
the risk and return of the median portfolio in each of the appropriate CAI comparative databases. In each case, the
crosshairs on the chart represent the return and risk of the Total Fund.
Seven Year Annualized Risk vs Return
Asset Classes vs Benchmark Indices
3.0%
2.5%
2.0%
1.5%
N
K
1.0%
05%
00%
0.0% 0.2% 0.4% 0.6% 0.8% 10% 1.2% 1.4% 1.6% 1.8%
Standard Deviation
Seven Year Annualized Risk vs Return
Asset Classes vs Asset Class Median
2.5%
20%
1.5%
v
,o%
0.5%
0.0% '
0.0% 0.2% 04% 06% 01% 1.0% 1.2% 14% 1.6% 1.8%
/'�,, 1,, Standard Deviation
Callan Omrr County Sandation Oistnd 16
Manager Analysis
Chandler-Long Term Operating Fund
Period Ended December 31, 2015
Investment Philosophy
Chandler Asset Management's Short Term Bond strategy is driven by quantitative models and focuses on active duration
management,sector selection and term structure.The strategy seeks to achieve Consistent above-benchmark returns with
low volatility relative to the style's performance benchmark. The firm has a unique focus on high quality fixed income
management, and places risk control as a higher objective than return. Assets were transferred in kind to Chandler on
12/l/2014.Previous performance reflects PIMCO.
Quarterly Summary and Highlights Quarterly Asset Growth
• Long Term Operating Fund's portfolio posted a (0.33)% Beginning Market Value $262,890,963
return for the quarter placing it in the 68 percentile of the CAI Net New Investment $53,000,000
Defensive Fixed-Inc Style group for the quarter and in the 68 Investment Gains/(Losses) $-918,191
percentile for the last year.
• Long Term Operating Fund's portfolio outperformed the ML Ending Market Value $314,972,772
1-5 Govt/Corp by 0.21%for the quarter and underperformed
the MIL 1-5 Govt/Corp for the year by 0,20%.
Performance vs CAI Defensive Fixed-Inc Style(Gross)
6%
5% (
4% ( )2])�B(245) )
3% (( 31) 1A(3 )
2% A(u 3
6( 261®F�2
1% 20)Rmao 0)® 5)®B(5 )
0% •A( )
9])�B 9
(P%) Last ptr CM1arater Lead Leal3 Yrs Laat 5Ym Last 7Ym Laat10Yra Last19.75Yrs
Inception Yr
I MPOrcentlle (015) 1.13 1,13 1,33 223 4.09 317 457
250,Percentile 3018) 102 1.02 1.00 1.72 2.95 3.40 4A6
Mac 0.24 0.91 0.91 0.90 1.45 2.27 3.05 4.13
75M Percentile 0.36 0.75 0.75 0.73 1.10 1.75 2.79 4.01
90M Percentile (0A3) 082 0a2 0,62 0.93 1.41 2.53 382
Long Term
Operating Fund *A (0.33) 0.85 0.85 ou 1.72 2.64 3.0 4.62
Barclay.GOWCIed
1-5 Year lux IN B (0.57) 0.97 0.97 0.89 1.61 2.38 3.32 4.41
AL 1-5 G.WCorp ♦ (0.54) 105 1.05 0.96 1.68 2.49 3.35 4.44
CAI Defensive Fixed-Inc Style(Gross)
Relative Return vs MIL 1-5 GovtlCorp Annualized Seven Year Risk vs Return
2.0% 5.5%
5% _ 50%
__ __ __ __ __ ___ 4.5%
E t.o% __ __ __ __
-- 4.0%
V 05% _ __ _ __ ____ E3.5%
Of
e 0 3.0%
0.0% N
2.5%
en
W (9S%) __ __ __ __ ____ 2.0% -
__ __ __
1.0%
0.5%
2009 2010 2011 2012 2013 2014 2015 00 0.5 10 15 20 2.5 3.0 3.5 4.0
0 Long Term Operating Fund
Standard Deviation
C/'�,�11,..
aMaiM r L Orange County sanitation District 18
Long Term Operating Fund
Return Analysis Summary
Return Analysis
The graphs below analyze the manager's return on both a dsk-adjusted and unadjusted basis.The first chart illustrates the
manager's ranking over different periods versus the appropriate style group.The second chart shows the historical quarterly
and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager's
ranking relative to their style using various risk-adjusted return measures.
Assets were transferred in kind to Chandler on 12M/2014. Previous performance reflects PIMCO.
Performance vs CAI Defensive Fixed-Inc Style(Gross)
20%
15% (( $y ( ( )
15% B A ]®A 1 �•B 1]b�Bl VI-®B( 9 g( O) H( 55-fTBf i)
o%(5%) 0 )
(10%) 2015 M14 2013 2012 2011 2010 2009 2008 2007 2000
10th Pemen8le 1.13 1.50 1.20 446 2.]2 4.]1 13.]4 fi 63 ].03 5.11
25th Pamanole 1.02 1.2] 0.80 2.60 2.28 4.02 6.60 584 fi.83 4.B4
Median 0.91 1.11 055 101 1.81 3.19 set 338 845 4.61
75th Pemee!a O.75 0..87 0,41 14. 6 1..65 2.72 253 (0.17) 5s6 4426
9h PMe 062 070 a3 092 44 241 1.82 (3.47) 375 4.3 Long Term
0pem8n9 Fund aA 0.05 1.98 (117) 306 4.59 442 5.52 537 7.01 441
Barclays Gov1/Cred
1-5 Year I& ■B 0.97 1.42 0.28 224 3.14 4.06 4.62 5.12 ].2] 4.22
ML1-5
GOWCOT ♦ 1.05 1.51 0.32 2A7 3.10 4.17 4.88 4.65 ].2] 4.26
Cumulative and Quarterly Relative Return vs MIL 1-5 Govt/Corp
6%
m
4%
2% --- --- -------- -- - - --- -- - ---
d
K
a 0%
a (2%)
K
(4%) --- --- -------- --- -- _ -
(6%)
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Long Term cramming Funtl 0 Barclays GcWCred 15 Year Idx 0 CAI Defensive F-1 Slyte
Risk Adjusted Return Measures vs ML 1-5 Govt/Corp
Rankings Against CAI Defensive Fixed-Inc Style(Gross)
Seven years Ended December 31,2015
4 ® .� BA
]s
• . ® �
0 9fi
5
2 10O1 A10 ) B(65
0 A10 15
01 Alpha Treyrwr 20 Warmatlon Sharpe Excess Return
RNIO RMie RMie Ratio
t on Percentile 1.06 3.72 loth Percentile 1.38 2.07 0.89
251h Percentile 038 3.33 25th Percentile 1.10 1.94 0.45
Median 0.47 3.05 Median 074 1.79 (0.27)
751h Percentile 0.2] 2.76 7511 Percentile 0.42 1.63 1.02
son Percentile 0.05 2.47 son Percentile 0.13 1.45 1.33
Long Term Long Term
Opereting Fund •A (046) 2.01 Operating Fund *A (0.53) 1.27 0.16
Barclays GowcrW Barclays GOWCred
1-5 Year Idx ■B (0 o4) 2.35 1-5 Year Idx •B (0.28) 1.63 in.]9)
Callan orange County Sanitation Distdd 19
Long Term Operating Fund
Bond Characteristics Analysis Summary
Portfolio Characteristics
This graph compares the managers portfolio characteristics with the range of characteristics for the portfolios which make up
the manager's style group. This analysis illustrates whether the manager's current holdings are Consistent with other
managers employing the same style.
Fixed Income Portfolio Characteristics
Rankings Against CAI Defensive Fixed-Inc Style
as of December 31,2015
35
3.0 (9)
2.5 (6)♦ (15)
(31)
�(ml
z6
1 s (39)L(77)
(85)
1.0
9.s
0.6
(0.$) A-90 asset a Coupon CA
Duration 'it. Yield Rate cra vealty
101h Pemenole 2.40 2.T3 3.00 3.11 0.08
25ih Percengle 1.89 2.14 1.88 2.50 004
Median 1.T9 1.95 1.61 1.83 0."
75th Pemen9le 1.0 1.84 1.32 1.61 001
got Pemenole 1.55 173 1.19 1.34 (0.02)
Long Term
Operating Fund • 2.42 2.0 1.30 1.41 -
BamlaysGovl/Cred1-5 Ye ♦ 2.69 2.82 1.65 2.23 rod
Sector Allocation and Quality Ratings
The first graph compares the managers sector allocation with the average allocation across all the members of the
manager's style.The second graph compares the manager's weighted average quality rating with the range of quality ratings
for the style.
Sector Allocation Quality Ratings
December 31,2016 vs At Defensive Fixed-Inc Style
�s They
US Tray A�
aa.a
US RMBS7. 41%
s Con,(US$denom) �� Ma (24)
30)
OtherUS ABSCashUS MuniAaus CMBS Weighted Average
Quality Rating
US CMOsI in Percentile251h Percentile Mt
Median M
Gov Rel(US$denom) 951h Percentile M-
861hPercentile A4
0% 10% 20% 30% 60% 50% 60% 70% 80% Long Term
Long Term Operating Fund CAI Cefenarva Fieetl-Inc Syla Operating Fund • Ma
Bamlays G naVCmd 1-5 Ye Bamlays
/'�,, 1,, GoWCred 1-SYe ♦ Ma
Callan Charge County Sanitation Oiatdct 20
Long Term Operating Fund
Portfolio Characteristics Summary
As of December 31, 2015
Portfolio Structure Comparison
The charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatest
influence on return. The first chart compares the two portfolios across sectors. The second chart Compares the duration
distribution.The last chart compares the distribution across quality ratings.
Sector Allocation
US Trsy US Troy
35% 60%
US CMOs
U6 ABS
6%
CasM1
5%
S RMBS
7%Oth 26%
US Muni Gav Rel(USE tlenom)
1% 13%
Carp( % enormCMe, Corp(9%tlenom)
US1%
1
Long Term Operating Fund Barclays GoWCredit 1.5 Year
WeigMetl Average: Duration
Duration Distribution Lmg Term Operating Fund 2.42
50% Sandi GoWCredit 1-5 Year: IN
p 40% ———— ———— ———— ———— ——31. —————————— ————
36.5% 35jilillilloir,
6
a __________ ____
20.9%
m 8%
N
R 3.6%
0% 0.0% 0.0% U 0.0% 0.0% 0.0% 0.0%
<o 0-1 1-2 2-3 3-5 5-7 7-10 N0
Years Duration
W elgMetl Average: Quality
Quality Distribution Lon,Term Operating Fund AAe
100% ■ Bard.,GoWCredit 1-5 Year: AAe
p 80% _Coax ee.ex__ _ ___ ___ __ ___ ___ ___ __ ___ ___
40%
o% _ L
___
a zg% ,�
APA M A BBB o.ouBe .axB naCCCx a.ax cox tin. in, a.axD NIR x
Quality Rating
Callan Oran,County Sanitation DisMd 21
Chandler-Liquid Operating Money
Period Ended December 31, 2015
Investment Philosophy
Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
Quarterly Summary and Highlights Quarterly Asset Growth
• Liquid Operating Money Net's portfolio posted a 0,01% Beginning Market Value $43.933,504
return for the quarter placing it in the 94 percentile of the MF Net New Investment $88,000,000
- Money Market Funds Database group for the quarter and Investment Gains/(Losses) $28,627
in the 99 percentile for the last year.
• Liquid Operating Money Net's portfolio outperformed the Ending Market Value $131,962,130
Citigroup 3-Month Treasury Bill by 0.00%for the quarter and
outperformed the Citigroup 3-Month Treasury Bill for the
year by 0.04%.
Performance vs MF-Money Market Funds Database(Gross)
4.0%
3.5%
3.o%
2.5% ( 00)♦ (95
2.0%-
1.s%
%
( 00)♦ �(10
0. )
.5%
0.0% 0
(0.5%) "at ptr Chandler Last Last 3 Yra Last 5Yrs Last 7Yrs Last 10 Yrs Last 19.75 Yrs
Inception Yr
10T Percentile 021 088 0,88 0,95 1,02 1.11 209 3,15
25th Percentile 0.ifi 0,67 0,67 0.70 0.72 0.75 1.85 3.01
Median 0.12 049 0,49 0.49 0.50 0.53 1.69 2.92
75M Percentlle 008 085 0,35 0.36 0.38 0.41 156 281
90T Percentile 005 024 0,24 0,23 0.26 0.32 146 273
Liquid Operating
Money Net 0 001 007 0,07 (0,00) 0,02 009 127 285
Citigroup 3-Month
Treasury Bill ♦ 0.01 003 0.03 0.04 0.05 0.08 1.17 2.47
Relative Returns vs Cumulative Returns vs
Citigroup 3-Month Treasury Bill Citigroup 3-Month Treasury Bill
0.14% o.45%
- Liquid Operating Money Net
0.12% -- -- -- -- -- ---- ,a 0.40% - Money Market Fds DB --- -
0.10% _ __ __ __ __ ____ E 0.35% -
E 0.08% oao%
006% v . __ __ _ ____ __
Of 'n 0.25%
_
-
0.04% a
> dc 0.20%
fii 0.02% to
tY 0.00% 0.15%
(002%) __ _ __ __ E 0.10%
(0.04%) U 0,05%
(0.06%) 0.00%
2009 2010 2011 2012 2013 2014 2015 2009 2010 2011 2012 2013 2014 2015
/'�,, 1,, Liquid Operating Money Net
Callan Orange County Sanitation Dissid 22
Liquid Operating Money Net
Return Analysis Summary
Return Analysis
The graphs below analyze the manager's return on both a risk-adjusted and unadjusted basis.The first chart illustrates the
manager's ranking over different periods versus the appropriate style group.The second chart shows the historical quarterly
and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the manager's
ranking relative to their style using various risk-adjusted return measures.
Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCQ.
Performance vs MF-Money Market Funds Database(Gross)
]%
6%
5% 952, 99rPi92
4%
2% VQ]3
6]
1% 90
0%
(1%) 2015 M14 2013 2012 2011 2010 2009 2008 2007 2006
101M1 Percentile odd 102 104 136 1.06 1.19 1.32 322 549 5.21
25th PecenUe 0.67 0.73 080 087 0.84 085 ow 301 545 5.18
Median 0.49 0.52 0.52 058 0.56 0.60 0.74 2.68 5.35 5.14
75th Percentile 0.35 cm 0.36 039 0.38 0.42 0.59 2.19 5.20 5.06
Ruth Percentie 024 0.24 024 030 0.29 0.33 Odd V] 4.93 4.93
Liquid Operating
Money Net a 0.07 (0.06) (0.02) 0 r2 0.09 0.10 o`t3 2.25 5.09 4.89
Citigroup 3-MoMM1
Treasury6111 ♦ 0.03 0.03 0.05 007 0.08 0.13 0.16 1.80 4.74 4.76
Cumulative and Quarterly Relative Return vs Citigroup 3-Month Treasury Bill
1.s%
10% ___ ___ ____
E
i 05%
w
o.o%
a
in.5%)
pr%)
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Liquid Operating Money Net MMocey MaMH Poe Da
Risk Adjusted Return Measures vs Citigroup 3-Month Treasury Bill
Rankings Against MF-Money Market Funds Database(Gross)
Seven years Ended December 31,2015
12 50
40-
0 20
08 30
06 20
0.4
o.z 10
o.o 0
(0.2) Alpha Ttvymr (10) IMonna[ion Shame Exceaa ReturnRMIo Ratio Ratio RMIO
1 on Percentile 1.04 0.60 10th Percentile 2373 43.86 22.70
250 Percentile Us 0.38 25n Percentile 16.54 18.43 15.98
Median 045 0.26 Median 10.55 9.17 10.17
15 h Percentile o.34 0.19 75th Percentile 4.69 3.61 4.59
90th Percentile 0.24 0.12 90th Percentile 2.36 1.94 2.21
Liquid Operating Liquid Operating
Callan
• torn) (0.06) Money Nat • (0.11) (0.14) 0.15
Cellar l Orange County Sandation DiaNct 23
Callen Research/Education
CALLAN
INVESTMENTS
Callan INSTITUTE 4th Quarter 2015
Education
Research and Educational Programs
The Callan Investments Institute provides research that keeps clients updated on the latest industry trends while helping them learn
through carefully structured educational programs.
Recent Research
Please visit www.callan.com/research to see all of our publications.
Video:The Education of Beta In this brief video,Eugene Podka- The Department of Labor Weighs in on ESG: Key Takeaways
miner describes the reasons he decided to explore the°smart beta" from Interpretive Bulletin 2015-01A summary of the DOCsIin-
topic in detail. terpretive Bulletin 2015-011,relating to the fiduciary standard un-
der ERISA considering economically targeted investments(ETIs),
2015 Alternative Investments Survey Our and the implications for investors.
2015 Alternative Investments Survey pro-
vides instilWonal investors a wment report on Hedge Fund Monitor, 3rd Quarter 2015 Author Jim McKee
asset allocation trends and investor practices. provides quarterly performance and a snapshot of the asset
class.This quarter's cover story:"Beyond the Glitter and Regret:
Inside Callan's Database, 3rd Quarter 2015 This report graphs Reassessing Hedge Funds'Role in Asset Allocation."
performance and risk data from Callan's proprietary database
alongside relevant market indices. Video:In the Spotlight-Target Date Funds Lod Lucas discuss-
es some of the trends that are causing target date funds to have
Capital Market Review,3rd Quarter 2015 Insights on the econo- lower fees.
my and recent performance in equities,fixed income,alternatives,
real estate,and more. ESG Interest and Implementation Survey Results of Callan's
third annual survey to assess the status of ESG factor Integra-
Market Pulse Flipbook,3rd Quarter 2015 Aquarterly market ref- tion in the U.S.institutional market.
erence guide covering investment and fund sponsor trends in the
U.S.economy,U.S.and non-U.S.equities and fixed income,alter- DC Observer,3rd Quarter 2015 Cover story:Meeting the Chal-
natives,and defined contribution. large of Managed Account Selection and Evaluation.
a.....t ESG Factors: U.S. Investor Usage Grading the Pension Protection Act, Ten Years Later: Sue-
-_LL-s�� ,J Crystalizes This charticle looks at ESG cess Stories and Near Misses Callan grades the performance
- Y _ from the perspectives of U.S.asset owners of nine key PPA provisions over the past decade, listing them
and global investment managers, revealing from least to most effective.
°s
growing incorporation of ESG factors in
investment decision making. Private Markets Trends, Fall 2015 Gary Robertson summa-
-- rizes the market environment, recent events, performance, and
=�—a• other issues involving private equity.
The Center for Investment Training
Events Educational Sessions
Miss out on a Callan conference or workshop? Event summa- The Center for Investment Training, better known as the "Callan
des and speakers' presentations are available on our websile: College;provides a foundation of knowledge for industry profes-
https://w ..cullan.com/education/Cll/ sionals who are involved in the investment decision-making pro.
The National Conference,to be held January 25-27 in San Fran- cess.It was founded in 1994 to provide clients and non-dients alike
dsco,consists of general sessions with presentations by world,po- with basic to inteonediale-level instruction.Our next session is:
10ical,arts,science,and investment industry speakers.The general Introduction to Investments
sessions are followed by smaller breakout sessions on timely in. Atlanta, GA,April 19-20, 2016
dustry topics led by Callan specialists.Attendees include plan/fund San Francisco, CA,July 19-20, 2016
sponsors,investment managers,and Callan associates. Chicago,IL, October 18-19, 2016
Save the date for our Regional Workshops:June 28 in Atlanta, This session familiarizes fund sponsor trustees, staff, and asset
June 29 in San Francisco,October 25 in New York,and October management advisors with basic investment theory,terminology,
26 in Chicago.Also mark your calendars for our fall Investment and practices. It lasts one-and-a-half days and is designed for in-
Manager Conference,September 11-13. dividuals who have less than two years of experience with asset.
management oversight and/or support responsibilities.Tuition for
For more information about research or educational events, the Introductory "Callan College" session is $2,350 per person.
please contact Anna West:415.974.5060/institute@cal lan.com Tuition includes instruction, all materials, breakfast and lunch on
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Customized Sessions
The "Callan College" is equipped to customize a curriculum to
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These tailored sessions range from basic to advanced and can
take place anywhere evenat your office.
Learn more at hnps:IAw .callan.com/education/college/or
contact Kathleen Currie:415.274.3029/cunnie@callan.com
Education: By the Numbers
500 Attendees(on average)of the 50+ Unique pieces of research the
Institutes annual National Conference Institute generates each year
300 Total attendees of the'Callan 1980 Year the Callan Investments
p College since 1994 Institute was founded
"We think the best way to learn something is to teach it.
Entrusting client education to our consultants and specialists
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Callan Callan Investments Institute and the"Callan College"
Definitions
Risk/Reward Statistics
The risk statistics used in this report examine performance characteristics of a manager or a portfolio relative to a benchmark
(market indicator) which assumes to represent overall movements in the asset class being considered. The main unit of
analysis is the excess return, which is the portfolio return minus the return on a risk free asset (3 month T-Bill).
Alpha measures a portfolio's return in excess of the market return adjusted for disk. It is a measure of the manager's
contribution to performance with reference to security selection. A positive alpha indicates that a portfolio was positively
rewarded for the residual risk which was taken for that level of market exposure.
Beta measures the sensitivity of rates of portfolio returns to movements in the market index. A portfolio's beta measures the
expected change in return per 1% change in the return on the market. If a beta of a portfolio is 1.5,a 1 percent increase in
the return on the market will result,on average, in a 1.5 percent increase in the return on the portfolio. The converse would
also be true.
Downside Risk stems from the desire to differentiate between "good risk" (upside volatility) and "bad risk" (downside
volatility). Whereas standard deviation punishes both upside and downside volatility, downside risk measures only the
standard deviation of returns below the target. Returns above the target are assigned a deviation of zero. Both the frequency
and magnitude of underperformance affect the amount of downside risk.
Excess Return Ratio is a measure of risk adjusted relative return. This ratio captures the amount of active management
performance (value added relative to an index) per unit of active management risk (tracking error against the index.) It is
calculated by dividing the managers annualized cumulative excess return relative to the index by the standard deviation of
the individual quarterly excess returns. The Excess Return Ratio can be interpreted as the manager's active risk/reward
tradeoff for diverging from the index when the index is mandated to be the"nskless"market position.
Information Ratio measures the manager's market risk-adjusted excess return per unit of residual risk relative to a
benchmark. It is computed by dividing alpha by the residual risk over a given time period. Assuming all other factors being
equal, managers with lower residual risk achieve higher values in the information ratio. Managers with higher information
ratios will add value relative to the benchmark more reliably and consistently.
R-Squared indicates the extent to which the variability of the portfolio returns are explained by market action. It can also be
thought of as measuring the diversification relative to the appropriate benchmark. An r-squared value of.75 indicates that
75% of the fluctuation in a portfolio return is explained by market action. An r-squared of 1.0 indicates that a portfolio's
returns are entirely related to the market and it is not influenced by other factors. An r-squared of zero indicates that no
relationship exists between the portfolio's return and the market.
Relative Standard Deviation is a simple measure of a managers risk(volatility)relative to a benchmark. It is calculated by
dividing the manager's standard deviation of returns by the benchmark's standard deviation of returns. A relative standard
deviation of 1.20,for example, means the manager has exhibited 20% more risk than the benchmark over that time period.
A ratio of .80 would imply 20% less risk. This ratio is especially useful when analyzing the risk of investment grade
fixed-income products where actual historical durations are not available. By using this relative risk measure over rolling
time periods one can illustrate the "implied" historical duration patterns of the portfolio versus the benchmark.
Residual Portfolio Risk is the unsystematic risk of a fund,the portion of the total risk unique to the fund(manager)itself and
not related to the overall market. This reflects the"bets"which the manager places in that particular asset market. These
bets may reflect emphasis in particular sectors, maturities (for bonds), or other issue specific factors which the manager
considers a good investment opportunity. Diversification of the portfolio will reduce or eliminate the residual risk of that
portfolio.
Callan
28
Risk/Reward Statistics
Sharpe Ratio is a commonly used measure of risk-adjusted return. It is calculated by subtracting the "risk-free" return
(usually 3 Month Treasury Bill)from the portfolio return and dividing the resulting"excess return" by the portfolio's risk level
(standard deviation).The result is a measure of return gained per unit of risk taken.
Sortino Ratio is a downside risk-adjusted measure of value-added. It measures excess return over a benchmark divided by
downside risk. The natural appeal is that it identifies value-added per unit of truly bad risk. The danger of interpretation,
however, lies in these two areas: (1)the statistical significance of the denominator,and (2) its reliance on the persistence of
skewness in return distributions.
Standard Deviation is a statistical measure of portfolio risk. It reflects the average deviation of the observations from their
sample mean. Standard deviation is used as an estimate of risk since it measures how wide the range of returns typically is.
The wider the typical range of returns,the higher the standard deviation of returns,and the higher the portfolio risk. If returns
are normally distributed (ie. has a bell shaped curve distribution) then approximately 2/3 of the returns would occur within
plus or minus one standard deviation from the sample mean.
Total Portfolio Risk is a measure of the volatility of the quarterly excess returns of an asset. Total risk is composed of two
measures of risk: market(non-diversifiable or systematic)risk and residual(diversifiable or unsystematic) risk. The purpose
of portfolio diversification is to reduce the residual risk of the portfolio.
Tracking Error is a statistical measure of a portfolio's risk relative to an index. It reflects the standard deviation of a
portfolio's individual quarterly or monthly returns from the index's returns. Typically,the lower the Tracking Error, the more
"Index-like"the portfolio.
Traynor Ratio represents the portfolio's average excess return over a specified period divided by the beta relative to its
benchmark over that same period. This measure reflects the reward over the risk-free rate relative to the systematic risk
assumed.
Note:Alpha,Total Risk,and Residual Risk are annualized.
Callan
29
Fixed Income Portfolio Characteristics
All Portfolio Characteristics are derived by first calculating the characteristics for each security, and then calculating the
market value weighted average of these values for the portfolio.
Allocation by Sector- Sector allocation is one of the tools which managers often use to add value without impacting the
duration of the portfolio. The sector weights exhibit can be used to contrast a portfolio's weights with those of the index to
identity any significant sector bets.
Average Coupon-The average coupon is the market value weighted average coupon of all securities in the portfolio. The
total portfolio coupon payments per year are divided by the total portfolio par value.
Average Moody's Rating for Total Portfolio- A measure of the credit quality as determined by the individual security
ratings. The ratings for each security, from Moody's Investor Service, are compiled into a composite rating for the whole
portfolio. Quality symbols range from Aaa+ (highest investment quality-lowest credit risk)to C (lowest investment quality-
highest credit risk).
Average Option Adjusted(Effective)Convexity-Convexity is a measure of the portfolio's exposure to interest rate risk. It
is a measure of how much the duration of the portfolio will change given a change in interest rates. Generally,securities with
negative convexities are considered to be risky in that changes in interest rates will result in disadvantageous changes in
duration. When a security's duration changes it indicates that the stream of expected future cash-flows has changed,
generally having a significant impact on the value of the security. The option adjusted convexity for each security in the
portfolio is calculated using models developed by Lehman Brothers and Salomon Brothers which determine the expected
stream of cash-flows for the security based on various interest rate scenarios. Expected cash-flows take into account any
put or call options embedded in the security, any expected sinking-fund paydowns or any expected mortgage principal
prepayments.
Average Option Adjusted(Effective)Duration- Duration is one measure of the portfolio's exposure to interest rate risk.
Generally, the higher a portfolio's duration, the more that its value will change in response to interest rate changes. The
option adjusted duration for each security in the portfolio is calculated using models developed by Lehman Brothers and
Salomon Brothers which determine the expected stream of cash-flows for the security based on various interest rate
scenarios. Expected cash-flows take into account any put or call options embedded in the security, any expected
sinking-fund paydowns or any expected mortgage principal prepayments.
Average Price-The average price is equal to the portfolio market value divided by the number of securities in the portfolio.
Portfolios with an average price above par will tend to generate more current income than those with an average price below
par.
Average Years to Expected Maturity- This is a measure of the market-value-weighted average of the years to expected
maturity across all of the securities in the portfolio. Expected years to maturity takes into account any put or call options
embedded in the security, any expected sinking-fund paydowns or any expected mortgage principal prepayments.
Average Years to Stated Maturity- The average years to stated maturity is the market value weighted average time to
stated maturity,for all securities in the portfolio. This measure does not take into account imbedded options, sinking fund
paydowns,or prepayments.
Current Yield-The current yield is the current annual income generated by the total portfolio market value. It is equal to the
total portfolio coupon payments per year divided by the current total portfolio market value.
Callan
30
Fixed Income Portfolio Characteristics
Duration Dispersion- Duration dispersion is the market-value weighted standard deviation of the portfolio's individual
security durations around the total portfolio duration. The higher the dispersion, the more variable the security durations
relative to the total portfolio duration ('barbellness"), and the smaller the dispersion, the more concentrated the holdings'
durations around the overall portfolio's ('bulletness"). The purpose of this statistic is to gauge the 'bulletness' or
'barbellness'of a portfolio relative to its total duration and to that of its benchmark index.
Effective Yield-The effective yield is the actual total annualized return that would be realized if all securities in the portfolio
were held to their expected maturities. Effective yield is calculated as the internal rate of return, using the current market
value and all expected future interest and principal cash flows. This measure incorporates sinking fund paydowns,expected
mortgage principal prepayments,and the exercise of any"in-the-money"imbedded put or call options.
Weighted Average Life-The weighted average fife of a security is the weighted average time to payment of all remaining
principal. It is calculated by multiplying each expected future principal payment amount by the time left to the payment. This
amount is then divided by the total amount of principal remaining. Weighted average life is commonly used as a measure of
the investment life for pass-through security types for comparison to non-pass-through securities.
Callan
31
Disclosures
Callan ll
Quarterly List as of
December 31, 2015
List of Callan's Investment Manager Clients
Continental—For Callan Client Use Only
Callan takes its fiduciary and disclosure responsibilities to clients very seriously.We recognize that there are numerous potential conflicts of interest
encountered in the investment consulting industry and that it is our responsibility to manage those conflicts effectively and in the best interest of our
clients. At Callan,we employ a robust process to Identify,manage,number and disclose potential conflicts on an oni basis.
The list below is an important component W our conflicts management and disclosure process. It identifies those investment managere that pay Callan
fees for educational,consulting,software,database or repaNng products and services. We update the list quarterly because we believe that our fund
sponsor clients should know the investment managers that do business with Callan,particularly those investment manager clients that the fund sponsor
clients may be using or considering using.Please refer to Callan's ADV Part 2A for a more detailed description of the services and products that Callan
makes available to investment manager clients through our Institutional Consulting Group,Independent Adviser Group and Fund sponsor Consulting
Group. Due to the complex contends and organizational ownership stroclures W many investment management firms,parent and affiliate firm
relationships are not indicated on our list.
Fund sponsor clients may request a copy of the mast currently available list a any time.Fund sponsor clients may also request specific information
regarding the fees paid In Callan by particularfund manager clients. Per company policy,information requests regarding fees are handled exclusively
by Callan'a Compliance Department.
Manager Name Manager Name —
1607 Capital Partners,LLC Calamos Advisi '
Aberdeen Asset Management Capital Group
Acadian Asset Management,Inc. CastleAik Management,LLC (—
Advisory Research Causeway Capital Management
Affiliated Managers Group Champlain Investment Partners
AllianceBernstein Charming Capital Management,LLC
Allianz Global Investors U,S,LLC Charles Schwab Investment Management
Alllanz Life Insurance Company of North Amedoa Churl Investment Partners
AlphaOne Investment Services ClearBridge Investments,LLC(fka ClearBridge Advisors)
American Century Investment Management Cohen&Steers
Analytic Investors Columbia Management Investment Advisors,LLC
Apollo Global Management Columbus Circle Investors
AOR Capital Management Corbin Capital Partners
Area Management Cornerstone Investment Partners,LLC
Adel Investments Cmmer Rosenthal McGlynn,LLC
Aristotle Capital Management Crawford Investment Council
Artisan Partners Limited Credit Suisse Asset Management
Atlanta Cal Management Co.,L.L.C. Crestline Investors
AXA Rosenberg Investment Management Cutwater Asset Management
Babson Capital Management LLC DDJ Capital Management
Ballard DE Shaw Investment Management LLC
Baillie GfioN Overseas Limited Delaware Investments
Baird Advisors DePrince,Race&Zdlo,Inc.
Bank of America Deutsche Asset &Wealth Management
Baring Asset Management Diamond Hill Investments
Baron Capital Management Duff&Phelps Investment Mel
BlackRock Eagle Asset Management,Inc.
Blue Vista Capital Management EARNEST Partners,LLC
BMO Asset Management Eaton Vance Management
BNP Paribas Investment Partners EnTrust Capital Inc.
BNV Mellon Asset Management Epech Investment Partners
Boston Company Asset Management,LLC(The) Fayez Sarofim 8 Company
Boston Partners Federated Investors
Brandea Investment Partners,L.P. Fidelity Institutional Asset Management
Brandywine Global Investment Management,LLC First Eagle Investment Management
Brown Brothers Hammed&Company First Hawaiian Bank Wealth Management Division
Cade Investments Cadence Capital Management First State Invesents i
Callan I Knowledge.Experience.Integrity. Page 1 of 2
Manager NaI Manager Name
Fisher Investments Norman Trust Asset Management
FLAG Capital Management Nu wo Investments Institutional Services Group LLC
Fort Washington Investment Advisors,Inc. Old Mutual Asset Management
Franklin Templeton ' OppenheimerFunds,Inc.
Fred Alger Management Co.,Inc. Pacific Investment Management Company
Fuller&Thaler Asset Management Palisade Capital Management LLC
GAM(USA)Inc. Pani Asset Management
GE Asset Management Paradigm Asset Management
Goldman Sachs Asset Management Parametric Portfolio Associates
Grandi Capital Management Peregrine Capital Management,Inc.
GMO(fka Grantham,Mayo,Van Grouch&Co.,LLC) PineBridge Investments(formerly AIG)
Gresham Investment Management,LLC Pinnacle Asset Management
Guggenheim Investments Asset Management(fka Security Global) Pioneer Investment Management,Inc.
Harbor Capital PNC Capital Advisors,LLC(&a Allegiant Asset Mgmt)
Harding Loevner LP Principal Global Investors
Hanson Street Real Estate Capital Private Advisors
Hartford Funds Prudential Investment Management,Inc.
Hartford Investment Management Co. Putnam Investments,LLC
Henderson Global Investors Pymmis Global Advisors
Hotchkis&Wiley Pzena Investment Management,LLC
HSBC Global Asset Management BBC Global Asset Management HJ 5.)Inc.
Income Research&Management Regions Financial Corporation
Insight Investment Management Riverbridge Partners LLC
Institutional Capital LLC Rothschild Asset Management,Inc.
INTECH Investment Management Royce&Associates
Invasion IRS Investments
Invested Asset Management Russell Investment Management
Janus Capital Group(@a Janus Capital Management,LLC) Santander Global Faciliges
Jensen Investment Management Schroder Investment Management North America Inc.
J.P.Morgan Asset Management Scout Investments
K,Corp SEI Investments
Kopernik Global Investors SEIX Investment Advisors,Inc.
Lazard Asset Management Smith Graham and Company
LMCG Investments(fka Lee Monitor Capital Group) Smith Group Asset Management
Legal&General Investment Management America Standard Life Investments
Lincoln National Corporation Standish(fka,Standish Mellon Asset Management)
Logan Circle Partners,L.P. Slate Street Global Advisors
The London Company Stone Harbor Investment Partners,L.P.
Longview Partners Systematic Financial Management
Loomis,Bayles&Company,L.P. T.Rowe Price Associates,Inc.
Lord Abbott&Company Taplin,Canida&Habacht
Los Angeles Capital Management TIAA-CREF
LSV Asset Management TOW Asset Management Company
Lyncal Partners Tocqueville Asset Management
MacKay Shields LLC UBS Asset Management
Man Investments Van Eck
Manulife Asset Management Versus Capital Group
Martin Currie Victory Capital Management Inc.
Marvin&Palmer Associates,Inc. Vontobel Asset Management
MFS Investment Management Voya Investment Management(fka ING)
MidFirst Bank Waddell&Reed Asset Management Group
Millstreet Capital Management WCM Investment Management
Mondrian Investment Partners Limited WEDGE Capital Management
Montag&Caldwell,Inc. Wellington Management Company,LLP
Morgan Stanley Investment Management Wells Capital Management
Mountain Lake Investment Management LLC Wells Fargo Private Bank
MUFG Union Bank,N.A. Western Asset Management Company
Neuberger Berman,LLC(fka,Lehman Brothers) Westwood Management Corp.
Newton Capital Management William Blair&Go.,Inc.
Norman Lights Capital Group
Callan I Knowledge.Experience.Integrity. Page 2 of 2 December 31,2015
Investment Report
Orange County Sanitation District
Period Ending
December 31 , 2015
Diego, 0
All Table of Contents
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Consolidated Information
SECTION 4 Portfolio Holdings
SECTION 1
Economic Update
o.
C1111 Economic Update
■ As expected, in December the Federal Open Market Committee (FOMC) increased the fed funds target rate
by 25 basis points. It was the first fed funds target rate increase since June 2006.Although the Fed took its first
step toward normalizing monetary policy, the tone of the FOMC statement was dovish, suggesting the pace of
additional policy tightening will be slower than historical Fed tightening cycles. Policymakers' median
projection for the fed funds rate at the end of 2016 is 1.375%. In the longer-run, the target fed funds rate is
roughly 3.5%. However, the FOMC has emphasized that monetary policy adjustments will be gradual and the
path of the fed funds rate vdll depend on the economic outlook. Notably, the FOMC will continue to reinvest
principal payments from its holdings of Agency and Mortgage-Backed securities and will continue rolling over
maturing Treasury securities until normalization of the fed funds rate is well underway. Overall, monetary policy
remains highly accommodative and the Fed is proceeding with caution as it moves toward a more normalized
policy stance.
■ Economic data is mixed. Trends in the labor market remain favorable, and consumer confidence rebounded in
December. However, the manufacturing sector remains weak and housing sector data has been volatile. The
ISM manufacturing index declined to 48.2 in December, to the weakest level since July 2009. In terms of
housing, new and existing home sales were recently weaker than expected, but home prices remain firm.
Nevertheless, payrolls have increased by an average of 284,000 per month over the past three months,with the
unemployment rate at 5.0%,which should provide a strong tailwind for economic growth this year. Third quarter
2015 GDP grew at an annualized pace of 2.0%, following growth of 3.9% in the second quarter. Market
participants are forecasting GDP growth of about 1.4% in the fourth quarter of 2015. We are expecting GDP
growth of about 2.0%-2.5% in 2016.
■ During 2015, 2-year Treasury yields increased nearly 40 basis points, while 10-year Treasuries increased
roughly 10 basis points. This bear flattening (with short-term rates rising more than long-term rates), is
consistent with previous Fed tightening cycles and we expect this trend to continue. Over much of the past year,
financial market volatility has been elevated due to mixed US economic data, the uncertain timing of the first
rate hike,weak global economic growth, divergent global central bank monetary policies,turmoil in Asian stock
markets, and geopolitical concerns. Ongoing uncertainty about the future pace of monetary policy
normalization, and how the Fed communicates its economic projections, will likely continue to fuel financial
market volatility.
Cjjjj Employment
Nonfarm Payroll (000's) Unemployment Rate
450 15.0%
14.0% —UM—PI.ymentR-(U6)
400 13 0% —Unempbymenc Rate(w)
m 350
12.0%
g 300 11.0%
a
c 250 y 10.0%
w
c 200 9.0%
V 8.0%
S 150
7.0%
100
6.0
50 5.0%
0 %
4.0
6h70 v.19 9 � C�q 4kle le 164le Okle O 70 441,
7A 11,,4 I4 1%,1s �270 7s %7s
Scurtn:us Ue dm n(&Labw Soule:US Ceps wto LaG r
The December employment report was mostly stronger than expected. Nonfarm payrolls rose by 292,000 in December, above
the consensus forecast of 200,000. October and November payrolls were also revised up by a total of 50,000. The
unemployment rate was unchanged at 5.0%.The participation rate inched up to 62.6% from 62.5%. However,wages were flat,
missing expectations for a 0.2% increase.A broader measure of unemployment called the U-6,which includes those whom are
marginally attached to the labor force and employed part time for economic reasons, was unchanged from November at 9.9%.
Over the past three months, payrolls have increased by an average of 284,000 per month, compared to the trailing six-month
average of 229,000.
GIII I Consumer
Retail Sales YOY % Change Consumer Confidence
&0% 110
5.0% 105
100
w 4.0% M
i
U 3.0%
X x 85
T a
uj 2.0% 80
]5
1.0%
]0
0.0% 65
061 11.4
Itk
13 441�4 �F 14 041 IV 7S 1S 7S 73 F9 74 74 {' 41.1,
7S 7S ��S %�S
soon:US Nua 'a Cone„. Souse:r arai Reserve
On a year-over-year basis, retail sales were up 2.2% in December, versus growth of 1.6% in November. On a month-over-
month basis, retail sales fell 0.1% in December, below the consensus forecast for sales to be flat. Excluding autos and gas, the
figure was flat, still weaker than the consensus estimate of 0.3%. Overall, consumer spending trends have been disappointing.
The consumer confidence index rebounded to 96.5 in December after declining to 92.6 in November. We believe ongoing
improvement in the labor market, low gas prices, and relatively strong consumer confidence should benefit consumer spending
this year.
GRI Economic Activity
Leading Economic Indicators (LEI) Chicago Fed National Activity Index
1.2%
(CFNAI)
oso
1.0% 0.40
0.8% 0.30
C °
° 0.6% � 0.20
c �
0.4% a
it c 0.10
c
0 0.2% °
f 0.00
ew
Se
0.0%
42% 420
-04% -Q30
N°k'D 'R 9pdh'A N..S- S-� N°k� 's h76 9.. 'S 1'°k's 11470 �'9 41e17
4 q. 7r 11kIV �'S 2>eh'S -q.5.'S "k,7&
Source:ID COMerence BoM Soma.'Fe ml Reserve Bank of CFica
The index of leading economic indicators rose 0.4% in November, following a 0.6% increase in October. This index points to
modest economic activity in the months ahead. The Chicago Fed National Activity Index (CFNAI) 3-month moving average
declined to -0.20 in November from -0.18 in October. Overall, this index is indicative of below-average economic activity. A
reading below -0.70 on a 3-month moving average basis has historically corresponded with the onset of a recession, so
fortunatelythe CFNAI remains safely above that level.
Q111 Housing
Housing Starts S&P/CaseShiller20 City Composite Home
140o 18.0% Price Index
•Mull Fa Mly Housing SYa,b
1200 •siogie Family Hoasogsraro; 14.0%
u 1000 12.0%
g W 10.0%
800 5C
r u 8.0%
600 a'
0 6.0%
c 400 ) 4.0%
U
200 2.0%
a
0 0.0%
ti T 4� ti T a,� ro 4 `�,, "t� 4 •4�, 4, IflK 44
okJiy �1R a'k1A '�r ok1A �)S y`7$ ly. �k7y '7` >R "A 7A ')A 7S 7$ 7S
Souse:US Censw Bureau Saumm S&P
Total housing starts rose 10.5% in November, exceeding expectations. Single-family housing starts rose 7.6% while multi-
family starts rose 16.4%. Housing starts tend to be volatile on a month-to-month basis, but the trend is favorable. Housing
permits rose 11.0% in November,also exceeding expectations. However, new and existing home sales were both weakerthan
expected in November. Pricing has remained firm, which may be keeping some first-time home buyers on the sidelines. The
S&P Case-Shiller home price index was up 5.5%year-over-year in October.
Cjjjj Manufacturing
Institute of Supply Management Capacity Utilization
Purchasing Manager Index 80.0%
60
e:panemy 79.5%
58
79.0%
56
78.5%
54 X
78.0%
sz 8
]].5%
50 77.0%
LenVaUing
48 76.5%
46 76.0%
O�0 7
4 ✓G�7V aL' '4 0�74 7S 7S IS Q Is Q 70 7V ]F ]A O��I I& 7S S 'S' %7$
Sourceansfdufe Supply Management S Sourt :Fe mlRRe—
In December, the Institute for Supply Management(ISM) manufacturing index declined to 48.2 from 48.6 in November. Overall,
manufacturing trends remain under pressure. A reading below 50.0 suggests the manufacturing sector is contracting. The index
fell below 50.0 in November 2015,for the first time since November 2012. Notably, a reading above 43.1 over a period of time
is generally indicative of overall economic expansion, based on the historical relationship between the indexand GDP growth.
Meanwhile, capacity utilization, which is production divided by capacity, declined to 76.5% in December from 76.9% in
November. The capacity utilization rate is lower than the long-run average of 80.1% (1972-2014), suggesting there is excess
capacity in the industrial sector. Overall,growth in the US manufacturing sector continues to be hindered by the strong US dollar
and a sluggish global economy.
iv
�jjjj Gross Domestic Product (GDP)
Gross Domestic Product(GDP)
5.0%
Personal Consumption Expenditures 2.9% 1.2% 2.4% 2.0% 40%
3.0%
Gross Private Domestic Investment 0.4% 1.4% 0.9% -0.1%
2.0%
Net Exports and Imports -0.9% -1.9% 0.2% -0.3% 1.0%
0.0%
Federal Government Expenditures -0.4% 0.1% 0.0% 0.D% -1.0%
-20% =GDP COO%Cron,
State and total[Consumption and Gross 0.2% -0.1% 0.5% 0.3% -310% GDP YOY%Change
Investment)
-4.0% y� 44
2.1% 0.7% 3 C c y Total .9% 2.0% y2, ya, ya, `�, ` , tea, a, `Seq
�O`gyp,YO �) �S`y2,�3 )y �4 'S`So a�S
Source: US Dep.rt I.[Com- Source: US Deponent of Cenvnv e
Third quarter GDP grew at an annualized pace of 2.0% (revised down from the second estimate of 2.1%, and up from the
advance estimate of 1.5%).This follows growth of 3.9% in the second quarter. Market participants are forecasting GDP growth
of about 1.4% in the fourth quarter of 2015.
iiiiii■
GRI Inflation
Consumer Price Index(CPI) Personal Consumption Expenditures
3.0% (PCE)
�CPIYOY%Cflenga 3.0%
2.5% Core CPI YOY%CM1ange 25% —PCEP aWOaor YOY%Cflange
—PCE Care Deflator YOY%CSmge
2.0% 0 2.0%
c O1
5%
1.0% 1.0%
O 0.5% }
0.5%
0.0% 0.0%
-0.5% -0.5%
ryok�3 116�'9 7
4 9.. 71 tiOk70 ?e Q98h7
S $ tigk7e ti01
10 IV
41 'Vp4& �76 '}fdh1& H.. le $
Source:US Department oLLaW S Source:US Department&LaO r 'A
In November, the Consumer Price Index (CPI) rose 0.5% on a year-over-year basis, up from 0.2% in October. Year-over-year
comparisons have become easier, given the precipitous decline in energy prices at the end of 2014. Meanwhile, Core CPI
(CPI less food and energy) was up 2.0% in November on a year-over-year basis, vs. up 1.9% in October. The Personal
Consumption Expenditures (PCE) price index was up 0.4% on a year-over-year basis in November, up from 0.2% in October.
Core PCE (excluding food and energy)was unchanged in November, up 1.3%on a year-over-year basis. Overall, inflation isn't
showing signs up significant upward pressure and remains below the Fed's 2.0%target.
CillI Bond Yields
US Treasury Note Yields US Treasury Yield Curve
3.5% 3.5%
2-veer �0aot5
Se
SYear
3.0% � m-rear 3.0% � n-15
—oec-ta
2.5% NO'N
X 2.0% a' 2.0%
a y
5: 1.5% 5: 1.5%
1.0% 1.0%
0.5% 0.5%
0.0% 0.0%
S. e mba sources etoomaerp
The yield on the two-year Treasury note rose roughly 12 basis points in December to 1.05%. Meanwhile, the yield on the ten-
year Treasury note rose just six basis points in December to 2.27%. Overall, the Treasury yield curve Flattened during 2015 in
anticipation of monetary policy normalization by the Federal Reserve and we expect this trend to continue. Looking ahead, we
believe the pace of subsequent rate hikes will be slower than historical Fed tightening cycles, in light of ongoing sluggishness in
the global economy.
. S=
Account Profile
011 Objectives
Investment Objectives
The investment objectives of the Orange County Sanitation District are first, to provide safety of principal to
ensure the preservation of capital in the overall portfolio; second, to provide sufficient liquidity to meet all
operating requirements; and third, to earn a commensurate rate of return consistent with the constraints
imposed by the safety and liquidity objectives.
Chandler Asset Management Performance Objective
Liquid Operating Monies—will be compared to the 3-month T-Bill rate and operate with a maximum maturity
of one year.
Long-Term Operating Monies—will be compared to the Bank of America Merrill Lynch 1-5 Year Corporate
Government Rated AAA—A Index.
Strategy
In order to achieve these objectives, the portfolio invests in high quality fixed income securities consistent
with the investment policy and California Government Code.
Compliance
C/" Orange County Sanitation District Long Term
December 31,2015
COMPLIANCEPOLICY
Assets managed by ChandlerAsset Management are in full compliance with State lawand win to investment policy
Category Standard Comment
Treasury issues 5 years maw mum maturity Complies'
Supmnational "AA"or batter by of 3 NRSROs; 30%maximum; 5%max; 5 Complies
years maturity Includes on . IADB,SRD,and IFC per CGC
U.S.Agencies 20%max issuer, 5 years maximum maturity Complies
U.S.Corporate(MTNs) "A"or better long term rating by l of 3 NRSROs; 30%platinum; Complies'
5%maxissuer; 5 years max maturly
Municipal Securities "A"or higher by l of 3 NRSROS;10%maximum; 5%max issuer, Complies'
5 years maximum maturity
Asset Backed/CMOs/ "AA"or better by l of 3 NRSROs; "A"or higher issuer rating by l Complies'
Mortgage-backed of 3 NRSROs; 20%maximum; 5%max issuer(excluding
MBS/l pearl S Were max maturity
Negotiable CDs "A"or better on its long tens debt by l of 3 NRSROs; "Al/Pill"or Complies
highest start term but rgs by 1 of 3 NRSROs; 30%maximum;5%
max issuer; 5 years max maturty
CDs/TDS 5%max issuer; 5 years max maturity Complies
Bankers Acceptances A-1,orequvalent highest short term rating by l of 3 NRSROS; Complies
40%ma)dmum, 5%maxissuer,180daysmax,naturilp,
Commercial Paper A-1,orequivalent by l of 3 NRSROSp "A"or better by l of 3 Complies
NRSROs,if long term debt issued; 25%maximum; 5%max
issuer, 270 days max maturity
Money Markel Fund Highest rating by2 of 3 NRSROs; 20%maximu ;10%maxissuer Complies
Repurchase Agreements 102%collateralietion Complies
Reverse Repurchase 5%maximum,90 days max mal Complies
Agreements
LAIF Not used by investment adviser Complies
Avg Duration Nott exceed 60 months - (80%t 120%of the benchmark) Complies
Maximum Maturity 5 years maximum maturity Complies"
'The portrolpo has twenty-eight(2e)secunles with matudtles greater than 5 years pncludhg Nm(2)ABS,two(2)CMCa,twenty-one(21)MBS,one
(1)municipal,me(1)corporate ano one(1)treasury. All humnRiea were inne letl from the all manager and complied al time 0 purchase.
IA Account Profile
Portfolio Characteristics
Orange County Sanitation District Long Term
12/31/2015 09/30/2015
Benchmark` Portfolio Portfolio
Average Maturity(yrs) 2.75 2.87 3.11
Modified Duration 2.59 2.42 2.50
Average Purchase Yield n/a 1.30 % 1.31
Average Market Yield 1.45 % 1.32 % 1.04 %
Average Quality— AAA AA+/Aar AA/Aa1
Total Market Value 314,764,605 262,620,099
'BAML 1-5 Yr US Corporate/Gout Rated AAA-A Index
Benchmark is a blended rating of S&P,Moodys,and Fitch.PoMolio is S&P and Moody's respectively.
Multiple securities were purchased across the Treasury, Agency and Commercial Paper sectors of the market to keep the
portfolio structure in line with Chandler objectives. The purchased securities ranged in maturity from February 2016 to
November 2020. Over the course of the quarter a net$53 million was contributed to the portfolio.
�J" Sector Distribution
Orange County Sanitation District Long Term
December 31, 2015 September 30, 2015
Suprenabonal Supranabonal
41% us 5.0% us
Corporate coryaae
Municipal 19.8% Municipal M.8%
Bonds Bands
15% 1.9%
Money Money
Markel Market
Fuck Fund ..
Mas MBS
Mas 8%
Cmvrw Commercial Pe
Paper Paper
2.8% Tn 2.9% US
Treasury Treasury
CMO 35.4% CMC 35.4°5
0.5% � 0]%
Agency Agency
23.9% 19.4%
ASS ASS
CID% 8.7%
The sector allocation changed moderately during the quarter. The two largest adjustments were the 4.5% increase in
the Agency allocation to 23.9% of the portfolio, partially offset by the 4.0% decline in the Corporate allocation, to 19.8%
of the portfolio.
Issuers
Gilt OrangeCounty Sanitation District Long Term Issuer Report
Account#10268 As of 12131=15
Name Inwstmerit Type %Portfolio
Govemmem of UNmd Slams CS lroavnv 35.39%
Federal llome Loan MmwfCory ARemv 8.69%
Federal National Mortgage Asaovb0on Apse, 837%
Federal Home Loan Bank Alai 6.85%
Dmfus Treasury MMKT FD 521 Money Mmket FuM FI 4.71%
Toyom AM AM 2.93%
HoMa ABS ABS 1.81%
Welk Fargo Corp US Caporate 1.76%
JP Morgan Chase&Co US Corp... 1.74%
Be of Tokyi,Mit UFJ Commercial Paper 1.67%
Toyota Motor Corp US Cmporale 1.65%
General Electric Co US Cmpordle 1.61%
Deere&Company US Corpora , 1.61%
Inner American Dev Dank Supram0onal 1.59%
Immmioml Ensure Carp Supranxtional 1.59%
Quakomm hm US Came.. 1.58%
Bank of Americo Cory US Camara. 1.49%
Eli Lilly&Co US Corporate 1.29%
John Deere AM AM 1.27%
ChevmnTexam Carp US Coporate 1.26%
American Express Credit US Caere. 1.04%
Mown Stanley US Coporate 1.02%
HSBC USA Corp US Coporate 0.96%
Toyma Mmm Corp Commercial Paper 0.95%
InO Bank pecan coal Development Supranatlonal 0.95%
Port AuOndry of New York anal New Jersey Municipal Bonds 0.87%
Goldman Sxhs Inc US Corporate 0,85%
Federal National Mortgage A lation MBS 0.84%
Hmala Moor Corpmtton US Corp... o6 %
Intel Corp US Corporate o"%
Occidental Petroleum Coryormon USCoryom. 0.0%
New York Ciry Transitional Finance Amhoriry Municipal Bonds 0.48%
Federal Home Loan Mortgage Cwp MBS 0.40%
0111 Issuers Continued
C/" Orange County Sanitation District Long Term Issuer Report
Amount#10266 As of 1 213112 01 5
Federal Home Loan Mortgage Corp CIVIC) 0.33%
NCOA Gumemeed Notes CMO 0.16%
Unlvemityof Califomia Mwicipal Bonds 0.14%
GNMA MBS 0.11%
Fedeml National Mortgage Ax iafion CMO 0.04%
AMRESCO Resldental Sewdll s Corp MBS 0.04%
Small Bumom Admin teation ABS 0.04%
Soundvlew Home Equity Loan Trust MBS 0.01%
SLM Carp ABS 0.01%
Total 100.00%
Quality Distribution
Orange County Sanitation District Long Term
December 31, 2015 vs. September 30, 2015
m0.0%
80.0%
80.0% —
40.0%
20.0% —
0.0%
AAA M A A NR
1M1/15 9/30/15
AAA AA A <A NR
12/31/15 13.8% 69.9% 8.5% 4.2% 3.6%
9/30/15 10.6% 68.6% 14.1 % 1.2% 5.5%
Sourm:S&P Ratings
AR Duration Distribution
Orange County Sanitation District Long Term
December 31, 2015 vs. September 30, 2015
25.0%
20.0%
15.0%
10.0%
5.0%
0.0%
0-0.25 025-0.50 0.50-1 1-2 2-3 3-4 4-5 5,
1MIM15 =W-WA15
0-0.25 0.25-0.50 0.50-1 1 -2 2-3 3-4 4-5 5+
12131/15 13.8% 1.2% 11.1 % 20.9% 13.8% 23.4 % 12.2% 3.6 %
9130115 10.2% 2.9% 9.3% 19.4 % 20.9% 21.8 % 10.4% 5.1 %
" Duration Distribution
Orange County Sanitation District Long Term
Portfolio Compared to the Benchmark as of December 31, 2015
35.0%
30.0%
25.0%
20.0%
15.0%
d4�
10.0%
5.0%
0.0%
0-0,25 0.25-0.50 0.50-1 1-2 2-3 3-4 4-5 5+
= Pa dio 201 eenchmerk'
0-0.25 0.25-0.50 0.50-1 1 -2 2-3 3-4 4.5 5+
Portfolio 13.8% 1.2% 11.1 % 20.9% 13.8% 23.4% 12.2% 3.6%
Benchmark' 0.4% 0.1 % 3.7% 31.3% 28.1 % 22.1 % 14.4% 0.0%
'BAML 1-5 Vr US Corporate/Govt Rated AAA-A Index
The duration of the portfolio contracted moderately, currently 2.42 versus 2.50 at the end of the prior quarter.
Chandler's current outlook calls for longer term interest rates to remain contained in the face of potential monetary policy
lightening later in the year, thus the overall duration of the portfolio is likely to remain close to the benchmark in the
coming quarter.
-j Investment Performance
Orange County Sanitation District Long Term
Period Ending
December 31, 2015
Total Rate of Return
Annualized Since Inception
November 30,2014
1.20%
1.00%
0.a0%
060%
0.40%
0.20%
0.00%
12 mumhe 2 team 3 years 5 years 10 years Since Inception
Orange County Sanitation District Lang Term = SAW 1-5 Yr US CorpowadGM Rated AAA-A Index
Annualized
3 months 12 months 2 years 3 years 5 years 10 years Since Inception
Orange County Sanitation District Long Term -0.33% 0.85% N/A N/A N/A N/A 0.58%
BAML 1-5 Yr US Corporate/GoN Rated AAA-A Index -0.56% 1.07% N/A N/A N/A N/A 0.69%
Total rate of return:A measure of a portfolio's performance over time. It is the internal rate of return,which equates the beginning value of the portfolio with the ending value;it
includes interest earnings, realized and unrealized gains and losses in the portfolio.
Compliance
0
" Orange County Sanitation District Liquid
December 31,2015
COMPLIANCE WITH INVESTMENT POLICY
Assets managed by Chandler Asset Management are in full compliance wan State lawand wth the investment policy
Category Standard Comment
Treasury Issues l year maximum maturity, Minimum allocation of 10% Complies
Supranabonal "AA"or better by of 3 NRSROs; 30%maximum; 5%max; 1 Complies
year maturity, Includes only: ADS,IBRD and IFC perCGC
U.S.Agencies 20%max issuer, l year maximum maturity Complies
U.S.Corporate(MTNs) "A"or better long term rating by l of NRSROs;30%maximum; Complies
5%max issuer, 1 war max maturity
Asset Backed/CMOs "AA"or better by l of 3 NRSROs; 'A"or higher issuer rating by l Complies
of 3 NRSROs; 20%maximum; 5%max issuer; 1 year max
maturity
Negotiable CDs "A"or better on its long tam debt by l of 3 NRSROs; "A11P1"or Complies
highest short term ratings by 1 of 3 NRSROs; 30%maximum;5%
max issuer;) year max maturity
CDs/TDS 5%max issuer, l year max maturity Complies
Bankers Acceptances A-1,or equivalent short tens rating by l o1`3 NRSROS; 40% Complies
maximum; 5%max issuer; 180 days max maturity
Commercial Paper A-1,or equivalent by l o1`3 NRSROS; "A"or better by of Complies
NRSROs,if long term debt issued; 25%maximum; 5%max
issuer; 270 days max maturity
Money Market Fund Highest rating by 2 of 3 NRSROs; 20%maximum;10%max issuer Complies
Repurchase Agreements 102%collatemlimtion Complies
Reverse Repurchase 5%maximum,90 days max maturity Complies
Agreements
LAIF Not used by investment adviser Complies
Prohibited Municipal Securities Complies
Prohibited Mortgage Securities Complies
Avg Duration Nottoexceed 180 days; Max duration of 1/2 year Complies
Maximum Maturity 1 year maximum maturity Complies
11% Account Profile
Portfolio Characteristics
Orange County Sanitation District Liquid
12/31/2015 09/30/2015
Benchmark` Portfolio Portfolio
Average Maturity(yrs) 0.16 0.21 0.28
Modified Duration 0.15 0.21 0.28
Average Purchase Yield n/a 0.38 % 0.29 %
Average Market Yield 0.07 % 0.41 % 0.26 %
Average Quality— AAA AAA/Aa1 AA+/Aa1
Total Market Value 131,961,724 43,933,491
'BAML 3-Month US Treasury Bill Index
Benchmark is a blended rating of S&P,Moodys,and Fitch.POMolio is S&P and Moody's respectively.
Many securities were purchased across the Treasury,Agency, Commercial Paper, Negotiable CD, and Corporate sectors
of the market to reinvest nine maturing notes and to account for the $88 million contribution into the portfolio in December
2015. The purchased securities ranged in maturity from January 2016 to November 2016.
IJ" Sector Distribution
Orange County Sanitation District Liquid
December 31, 2015 September 30, 2015
Money
Market Money
comrrercial Fund Market us
Paper Fi Fund corporate
6.4%\ �, 9.8% FI 232%
8.4%
NegobaMe
CD
0.8% commercial
Paper
4.5%
Suprenabonal
1.9%
Agency / Agency
393% / 38.4%
DS
0
Corporate
10.8%
us
us Treasury
Treasury 27.4%
31.1%
The sector allocation changed materially due to the large contribution into the portfolio. The two largest changes were
the 12.4%decline in the Corporate allocation to 10.8%of the portfolio partially offset by the 3.7% and 2.9% increase in
the Treasury and Agency allocation, to 31.1%and 39.3%of the portfolio, respectively.
Issuers
Orange County Sanitation District Liquid Issuer Report
Account#10282 As of 1213112015
Cwernment of United States US Treasury 31.10%
Federal Hmne Luan Bank Agency 19.90%
Drol.Treasury MMKT FD 521 Money Market Fund FI 9.81%
Federal Home Loan Mortgage Carp Agency 9.47%
Federal Farm Credit Bank Agency 8.39%
International Finance Corp Supranallonal 1.89%
Paccar Financial Commercial Paper 1.67%
Bank ofT.kyo-Ml(UFJ Commercial Paper 1.67%
Federal National Mongage Association Agency L52%
Eaxon Mobil Corp Commercial Paper 1.52%
Occidental Petroleum Corporation US Corporate 0.84%
Home Depm US Corporate 0.78%
Bank of New York US Corporate 0.77%
Berkshire Hathaway US Corporate 0.77%
State Street Bank US Corporate 0.77%
US Bancorp US Corporate 0.77%
C.Cola Co. US Corporate 0.77%
General Eleodc Co US Corporate 0.77%
Wells Fargo Corp US Corporate 0.76%
JP Morgan Chace&Co US Corporate 0.76%
Deere&Company US Corporate 0.76%
Honda Motor Corporation US Corporate 0.76%
Prumir US Corporate 0.76%
Pao.Inc US Corporate 0.76%
RaWbank Nederland NV NY Negotiable CD 0.76%
Tryout Motor Corp Commercial Paper 0.76%
liahohark NederlaM NV NY Commercial Paper 076%
Total 100.00%
Quality Distribution
Orange County Sanitation District Liquid
December 31, 2015 vs. September 30, 2015
m0.0%
80.0%
60.0% —
40.0%
20.0%
0.0%
AAA AA A <A NR
12131/15 9/30/15
AAA AA A <A NR
12/31/15 67.7% 23.1 % 8.5% 0.0% 0.8%
9/30/15 38.0% 43.5% 18.6% 0.0% 0.0%
Source:S&P Ratings
AR Duration Distribution
Orange County Sanitation District Liquid
December 31, 2015 vs. September 30, 2015
600%
60.0%
40.0%
20.0% In,
0.0%
0-0.25 025-0.50 0.50-1 1-1.5 1.5-2 2-2.5 2.5-3 3+
1MIM15 M 9062015
0-0.25 0.25-0.50 0.50-1 1 -1.5 1.5-2 2-2.5 2.5-3 3+
12131/15 69.9% 19.4% 10.7% 0.0% 0.0% 0.0% 0.0% 0.0%
9/30115 54.0% 36.7% 9.2% 0.0% 0.0% 0.0% 0.0% 0.0%
" Duration Distribution
Orange County Sanitation District Liquid
Portfolio Compared to the Benchmark as of December 31, 2015
120.0%
100.0%
KID%
60.0%
40.0%
20.0%
0.0%
0-0.25 0.25-050 0.50-1 1-1.5 1.5-2 2-2.5 2.5-3 3+
=Povdio Benchmark'
0-0.25 0.25-0.50 0.50-1 1 -1.5 1.5-2 2-2.5 2.5-3 3+
Portfolio 69.9% 19.4% 10.7% 0.0% 0.0% 0.0% 0.0% 0.0%
Benchmark' 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
`BAML 3-Month US Treasury BIII Index
The duration of the portfolio contracted moderately, currently 0.21 versus 0.28 at the end of the prior quarter. The
portfolio has a large liquidity need at the end of January,thus a portion of the new money invested into the portfolio was
invested into late January, leading to a lower duration on a quarter over quarter basis.
-j Investment Performance
Orange County Sanitation District Liquid
Period Ending
December 31, 2015
Total Rate of Return
Annualized Since Inception
November 30,2014
0.25%
0.20%
0.15%
0.10%
0.05%
0.00%
12 mantra 2 years 3 years 5 years 10 years Since Incepbon
Orange County Sanitation District Liquid BAML 3Montr US Treasury Bill Index
Annualized
3 months 12 months 2 years 3 years 5 years 10 years Since Inception
Orange County Sanitation District Liquid 0.05% 0.23% N/A N/A N/A N/A 0.22%
BAML 3-Month US Treasury Bill Index 0.03% 0.05% N/A N/A N/A N/A 0.05%
Total rate of retum:A measure of a portfolio's performance over time. It is the internal rate of return,which equates the beginning value of the portfolio with the ending value;it
includes interest earnings, realized and unrealized gains and losses in the portfolio.
Compliance
C/" OCSD Lehman Exposure
December 31,2015
COMPLIANCE WITH INVESTMENT POLICY
Assets managed by Chandler Asset Management are in full compliance o th State lawand wth the investment policy
Category Standard Comment
Treasury issues 5 years maximum maturity Complies
Supranational "AA"orbetterbylof3NRSROS; 30%maximum; 5%max; 5 Complies
yeamsmatunty, lincludesonly, IADB,IBRD,and IFC erCGC
U.S.Agencies 20%max issuer, 5 years maximum maturity Complies
U.S.Corporate(MTNs) "A"or better long term rating by 1 of 3 NRSROs; 30%maximum; Complies'
5%max issuer; 5 were max maturity
Municipal Securities "A"or higher by l of NRSROS;10%maximum; 5%max issuer; Complies
5 were maximum matui
Asset Backed/CMOs/ "AA"or better by l of 3 NRSROs; "A"or nigher issuer rating by l Complies
Mortgage-backed of NRSROs; 20%maximum; 5%max issuer(excluding
MBS/ ovtenemy) 5 were max maturity
Negotiable CDs "A"or better on its bng term debt by l of 3 NRS ROS; 'Al/P1"or Complies
highest short term ratings by 1 of 3 NRSROs; 30%maximum;5%
max issuer 5 years max maluri
CDs/TDS 5%max issuer, 5 we.max mosturity Complies
Bankers Acceptances A-1,or equivalent highest short teon rating by l of 3 NRSROS; Complies
40%maximum; 5%max issuer,180 days max matunly
Commercial Paper A-1,or equivalent by l of NRSROS; "A"or better by l of 3 Complies
NRSROs,if big tens debt issued; 25%maximum; 5%max
issuer, 270 days max maturity
Money Market Fund Highest rating by 2 of 3 NRSROs: 20%hall mun;10%max issuer Complies
Repurchase A reements 102%collateralieation Complies
Reverse Repurchase 5%maximum,90 days max matuity, Complies
Agreements
LAIF Not used by investment adviser Com lies
A Duration Not to exceed 60 months - 80%to 120%of the benchmark Com lies
Maximum Maturity 5 years maximum maturity Complies
Acoeunt holds$2 million race lue d Ud1525ESCOVa)and$000,000 toe value(ousip 525ESC1B]l of defaulted umne n Bros Rddings that xere
purchased by the median transfer. Complied at time of pumhase.
IS Account Profile
Portfolio Characteristics
OCSD Lehman Exposure
1213112015 09/30/2015
Portfolio Portfolio
Average Maturity(yrs) 21.40 21.02
Modified Duration 0.00 0.00
Average Purchase Yield 0.00 % 0.00 %
Average Market Yield 0.00 % 0.00 %
Average Quality— NR/NR NR/NR
Total Market Value 170,034 231,783
SECTION 3
i
Consolidated Information
IA Account Profile
Portfolio Characteristics
Orange County Sanitation District Consolidated
12/31/2015 09/30/2015
Portfolio Portfolio
Average Maturity(yrs) 2.09 2.72
Modified Duration 1.77 2.18
Average Purchase Yield 1.02 % 1.15 %
Average Market Yield 1.05 % 0.93 %
Average Quality— AA+/Aai AA+/Aa1
Total Market Value 446,896,363 306,785,374
J�" Sector Distribution
Orange County Sanitation District Consolidated
December 31, 2015 September 30, 2015
Supranatonal Supranational
35% US 43% US
Negotiable Corporate Municipal Corporak
CD 1 17.1% Bontls M.7%
02%
Municipal 1.6%
Bonds Money
0% Market
Money Fund
Mallet
Fund MBS
1.5%
MBS
1.0% Common
Common Stack
Sto k 0.0%
0.0% US Comer US
Commercial / 'Treasury Paper Treasury
Paper � / 34.1% 3.1%CMO 39.3%
17%
CMO 0.6%
0.4%
Agency Agency
28.4% 21.8%
ABS ABS
43°o 7.5%
SECTION 4
Portfolio Holdings
C�" Orange County Sanitation District Long Term Holdings Report
Account g70268 As of 12/31/15
Purchase Da:a Cost Va:u: Mkt Price Market Value %of Pod. MoodyIS&P Maturity
CUSIP Security Description Par Value/Units Book Yie d Book Va Mkt YTM Accrued Int. Gain/Loss Fitch Duration
ASS
43813JAC9 Honda Auto Receivables 2014-1 A3 3,735,855.55 01/22/2015 3,724,472.87 99.82 3,729,138.48 1.18% Aaa INR 1.89
0.67%Due 11/21/2017 0.90% 3,730,033.00 1.04% 695.28 (894.52) AAA 0.49
89231 MAC9 Toyota Auto Receivables Owner 2014-A 3,443,837.52 01/21/2015 3,436,707.70 99.78 3,436,564.14 1.09% Aaa IAAA 1.96
0.67%Due 1211512017 0.90% 3,440,065.23 1.08% 1,025.50 (3,501.09) NR 0.51
89231TAB6 Toyota Auto Receivables Owner 2015-C 2,195,000.00 0811812015 2,194,823.52 99.85 2,191,665.80 0.70% Ass IAAA 2.13
0.92%Due 2/15/2018 0.93% 2,194,848.51 1.14% 897.51 (3,182.71) NR 0]1
43814GAC4 Honda Auto Receivables 20142 A3 1,957,423.90 04/08/2015 1,956,047.59 99.72 1,951,962.69 0.62% Aaa I AAA 2.22
0.77%Due 3/19/2018 0.83% 1,956,520.14 1.21% 544.27 (4,557.45) NR 0.64
4778T/AD6 John Deere Owner Trust 2014-S A3 4,000,000.00 02IM12015 4,001,875.00 99.53 3,981,364.00 1.27% Aaa/NR 2.88
1.07%Due 1111512018 1.05% 4.001,269.80 1.53% 1,902.22 (19,905.80) AAA 1.01
89236WAC2 Toyota Auto Receivables Owner 2015-A 3,695,000.00 02/24/2016 3,594,456.44 99.73 3,685,372.59 1.14% Aaa/AAA 3.13
1.12%Due 2116019 1.13% 3,594,609.08 1.31% 1,789.51 (9,239.49) NR 1A2
83162CLJO Small Business Administration 2001-20C 102,402.16 03/1)6/2001 102,402.16 1WA5 108,697.84 0.04% Aaa/AA+ 5.17
sM%Due WW21 sm% 102,402+16 3.96% 2,1WO 6,295.68 AAA 2.50
78445JAA5 SLMA 2008-9A 43,030,90 0812212008 42,856.32 100.07 43,060.25 0.01 % Aaa/AA+ 9.32
1.823%Due 4/2512023 1.91 % 42,996.30 1.09% 148.17 63.95 AAA 0.06
19,053,641.60 19,027,825.79 6.05% Aaa I AAA 2.44
Total ABS 19,072,550.03 1.00% 19,062,744.22 1.25% 9,166.56 (34,918.43) Aaa 0.83
AGENCY IM
3135GOES8 FNMA Note 4,000,000.00 W/11/2015 4,044,200.00 1W.46 4,018,572.00 1.28% Ann/AA+ 0.88
1.375%Due 11/15Y 016 0.60% 4,027,011.11 0.84% 7,027.78 (8,439.11) AAA 0.87
3137EADUO FHLMC Note 5,000,000.00 01/16/2015 4,991,050.00 Saw 4,979,880.00 1.59% Aaa/AA+ 1.08
0.5%Due 1/2T/2017 0.59% 4,995,Z46.07 0.88% 10,694.44 (15,366.07) AAA 1.06
313379FW4 FHLB Note 5,000,000.00 051UI2015 5.025,100.00 99.98 4,998,970.00 1.59% Aaa/AA+ 1.44
1%Due 6/9/2017 0.75% 5.017,687.92 1.01% 3,055.56 (18,717.92) AAA 1.42
3137EADVB FHLMC Note 5,000,000.00 06/25/2015 4,994,250.00 W." 4,972,850.00 1.59% Aaa/AA+ 1.54
0.T5%Due]114/201T 0.81 % 4,995,700.93 1.11% 22,083.33 (22,850.93) AAA 1.52
3137EADN6 FHLMC Note 5,000,000.00 0112312015 4,967,500.00 99.20 4,959,760.00 1.58% Ass/AA- 2.04
0.75%Due 1/1212018 0.97% 4.977,712.57 1.15% 17,604.17 (17,952.57) AAA 2.00
3137EADPI FHLMC Note 5,000,000.00 01/13/2015 4,974,100.00 99.30 4,964,915.00 1.58% Aaa/AA+ 2.18
0.875%Due 39/2018 1.04% 4,982,041.46 L20% 13,854.17 (17,126.46) AAA 2.15
313378A43 FHLB Note 7,500,000.00 02/11/2015 7,544,850.00 100.31 7,523,557.50 2.40% Aaa/AA+ 2.19
1.375%Due W912018 1,18% 7,531,927.12 1.23% 32,083.33 (8,369.62) AAA 2.14
3135GOG72 FNMA Note 5,000,000.00 1211812015 4.963,950.00 99.17 4,958,345.00 1.58% Aaa/AA+ 2.96
1.125%Due 12/14WB 1.37% 4,964,314.14 1.41% 2,656.25 (5,969.14) AAA 2.89
3133782M2 FHLB Note 4,000,000.00 04/ ,IW5 4,043,480.00 99.94 3,987,408.00 1.28% Aaa/AA+ 3A9
1.5%Due 3/8/2019 1.21 % 4,035,807.06 1.52% 18,833.33 (38,399.%) AAA 3.09
3135GOZG1 FNMA Note 5,000,000.00 1211 W2014 5,021,500.00 1D0.53 5,026,395.00 1.61 % Aaa/AA- 3.70
1.75%Due 9/1212019 1.66% 5,016,767]6 1.60% 26,493.06 9,617.24 AAA 3.55
Chandler Asset Man,ameM-CONFIDENTIAL 37
C�" Orange County Sanitation District Long Term Holdings Report
Account g70268 As of 12/31/15
Purchase Da:a Cost Va:u: Mist Price Market Value %of Pod. MoodyIS&P Maturity
CUSIP Security Description Par Value/Units Book Yie d Book Va Mkt YTM Accrued Int. Gain/Loss Fitch Duration
"CT •
3137EADM8 FHLMC Note 7,500,000.00 Various 7,399,650.00 98.64 7397,767.50 2.36% Ann/AA+ 3.76
1.25%Due 10/2/2019 1.61 % 7,401,174.98 L63% 23,177.08 (3,407.48) AAA 3.64
313383HU8 FHLB Note 5,000,000.00 O1/13/2015 5,008,950.00 99.82 4,991,010.00 1.59% Ma/AA+ 4.45
1.75%Due 611212020 1.71 % 5,008,239+68 1.19% 4,618A6 (17,229.68) NR 4.26
3135GOD75 FNMA Note 5,000,000.00 1111612015 4.955,650.00 98.75 4,937,740.00 1.57% Aaa/AA+ 4.48
1.6%Due 6/22/2020 1.70% 4,956,838.65 1.79% 1,875.00 (19,098.65) AAA 4.30
3135GOFT3 FNMA Note 7,500,000.00 Various 7,370,726.00 Wu 7,366,762.50 2.34% Aaa/AA+ 4.92
1.5%Due 1113012020 1.87% 7,371,838.O7 1.88% 9,681.50 (5,075.57) AAA 4.71
75,304,956.00 75,091 23.92% Me I AA+ 2.87
Total Agency 75,500,000.00 1.26% 75,282,307.52 1.39% 193,743.06 (188,385.02) Me 2.78
6288BUAA8 NCUA Guaranteed Note CMO 2010-R2 507,772.30 1111012010 507,769.99 100.16 508,577.63 0.16% Asai 1.85
0.798%Due 11/6/2017 0.00% 507,769.99 0.69% 218.76 807.64 NR 0.01
31398VJ98 FHLMC FHMS K006 A2 900,000.00 1112312010 951,046.88 1O7.69 969,230.70 0.31 % Ma/AA+ 4.O7
4.251%Do.112512020 3.02% 922,668.84 2.13% 637.65 46,561.86 AAA 3.59
3133TCE95 FHLMC FSPC E3A 68,285.40 03/11/1998 68,356S2 104.54 71,384.26 0.02% Ma/AA+ 16.64
2.954%Due 811512032 2.92% 68,320+00 1.50% 168.10 3,064.26 AAA 1.88
313961 FNMA FNR 2007-114 A6 133,053.04 0111012008 126,566.71 99.47 132,344.93 0.04% Asia/AA- 21.84
0.622%Due 10Y 712037 0.97% 128,300.69 1.12% 9.19 4,0ki AAA 0.35
1,653,740.40 1,681,537.52 0.0% Ma I AA+ 5.33
Total CMO 1,609,110.74 1.91% 1,627,059+52 1.59% 1,033.70 54,478+00 Ass 2.18
COMMERCIAL PAPER
061 Bank of Tokyo Mitsubishi NV Discount 5,260,000.00 10/27/2015 5,253,162,00 99.94 5,256,865.92 1.67% P-1 /A-1 0.15
CP 0.40% 5,256,865.92 0.40% 0.00 0.00 F-1 0.15
0.39%Due 2/25/2016
89233GCM6 Toyota Motor Credit Discount CP 3,000,000.00 1212112015 2,995,601+67 99.87 2,996,133.34 0.95% P-1IA-1+ 0.22
0.58%Due 312112016 0,59% 2,996,133.34 059% 0.00 0,00 F-1+ 0.22
8,248,763.67 8,252,999.26 2.62% P-1IA-1 0.18
Total Commercial Paper 8,260,000.00 0.4T% 8,252,999,26 047% 0.00 0,00 F-1+ oA8
MBS
31381PDA3 FNMA FN 466397 367,247,73 12/01/2010 359,30027 104.81 384906.10 0.12% Ass IAA+ 4.84
3.4%Due 11/V2020 3,80% 363,368+46 2.31 % 242.79 21,537.64 AAA 4.26
36225CAZ9 GNMA Pooh G280023 28,749.10 08I08I1997 29,225.26 104.01 29,902.31 0.01 % Ma/AA+ 10.98
1.625%Due 1MQQ026 1.52% 28,927.22 1.62% 38.93 975.09 AAA 4.58
36225CC20 GNMA Pi G280068 34,902.51 OB/11/1997 35,666G1 102.24 35,685.86 0.01 % Ma/AA+ 11.48
2%Due 612012027 1.86% 35,196+10 1.69% 58.17 489.76 AAA 5.24
Cheadle,Asset Mene,anni-CONFIDENTIAL 38
C�" Orange County Sanitation District Long Term Holdings Report
Account#10268 A.of 12/31/15
Purchase Do:a Cost Va:u: Mid Price Market Value %of Pod. MoodyIS&P Maturity
CUSIP Security Description Par Value/Units Book Yie d Book Va Mkt Y7M Accrued Ind. Gain/Loss Fitch Duration
MBS
31348SWZ3 FHLMC FH 786064 2,640.61 02/18/2000 2,576.30 103.48 2,732.42 0.00% Ann/AA+ 12.01
2.617%Due 11112028 2.81 % 2,612.90 2.29% 5.76 119.52 AAA 0.94
31371NUC7 FNMA FN 257179 34,333.63 12/05/2011 36,311+18 108.00 37,081.25 0.01 % Aaa/AA+ 12.26
4.5%Due 4/l/2028 3.72% 35,819+37 2.05% 128.75 1,261.88 AAA 3.50
3141TAV3 FNMA Pool#FN MA0022 39,886,66 1210512011 42,184A3 108.00 43,078.67 0.01 % Aae/AA+ 13.26
4.5%Due 4/1/2029 3.76% 41,645.67 2.15% 149.57 1,433.00 AAA 3.62
3138EG6F6 FNMA FN AL0869 25,109.83 12/052011 26,556Al 108.00 27,119.29 0.01 % Aaa/AA+ 13A3
4.5%Due 6/1/2029 3.77% 26,220.44 2.13% 21.97 898.85 AAA 3.43
03215PFN4 AMRESCO Residential Securities 1999-1 133,743.29 OW2012011 100,432+85 86.85 116,293.80 ON% NR I AA+ 13.49
A 4.86% 108,918.01 2.67% 35.42 7,375.79 BBB 11.04
1.362%Due 612512029
3837H4NX9 GNMA PooI#2000-9 46,275.99 01242000 46,275S9 100.37 46,445.82 0.01 % Aaa/AA+ 14.14
0.86%Due 2116IM30 0.86% 46,275+99 0.71% 30.W 169.83 AAA 0.03
36225CNM4 GNMA Pool#G280395 11,981.52 031IW2000 11,872.91 102.67 12,301.22 0.00% Asa/AA+ 14.31
1.75%Due 412012030 1.81% 11,929.59 1.58% 17.47 371.63 AAA 4.75
36225CN28 GNMA Pool#G280408 104,093.42 03/192000 103,036.23 102.58 106,778.20 0.03% Aaa/AA+ 14.39
1.75%Due 5/20/2030 1.81 % 103,586.40 1.65% 151.80 3,191.80 AAA 5.46
31403GXF4 FNMA Pool#FN 748678 6,10,115 0611012013 6,561.97 110.0 6,752.74 0.00% Aaa/AA+ 17.76
5%Due 101112033 4.18% 6,506.16 2.06% 25.43 246.58 AAA 3.65
36225DCB8 GNMA Pool#G280965 102,092.75 07119/2004 102,028.95 103.58 105,749.00 0.03% Aaa/AA+ 18.56
1.875%Due 712012OU 1.88% 102,063.17 1.50% 159.52 3,695.83 AAA 4.83
31406XWT5 FNMA Pcol#FN 8233M 188,421.24 01/11/2006 186,949.20 105.92 199,571.26 0.06% Aaa/AA+ 19A0
2.283%Due 21112035 2.34% 187,453+17 0.36% 358.47 12,118+09 AAA 0.85
31406POV8 FNMA Pool#FN 815971 412,212.93 0611012013 443,128.91 110.19 454,207.12 0.14% Ass/AA+ 19.18
5%Due 311/2035 4.21 % 439,606.39 2.21% 1,717.55 14,600.73 AAA 3.85
31407BXH7 FNMA Pcol#FN 826080 41,857.37 M/10/2013 44,996S7 110.27 46,157.63 0.01 % Aaa/AA+ 19.51
5%Due 7/l/2035 4.22% 44,6"A2 2.22% 174.41 1,513.21 AAA 3.87
31376KT22 FNMA FN 357969 235,000.60 0611012013 252,625+65 110.36 259,339.14 0.08% Aaa/AA+ 19.68
5%Due 911=35 4.22% 250,663.19 2.23% 228.47 8,675.95 AAA 3.88
83611MGS1 Soundvlew Home Equity Loan Tr.2005- 43,521.78 09/13/2011 38,421.58 99.61 43,349.87 0.01 % NR/AAA 19.92
OPTS A4 1.80% 39,327.12 3.94% 6.11 4,022.75 A 0.12
0.722%Due 11/25/2035
31403DJZ3 FNMA Poo14745580 222,571.65 0611012013 239,264.52 110.30 245,503.43 0.08% Aaa/AA+ 20.43
5%Due 611W36 4.26% 237,466.80 2.24% 927.38 8,036.63 AAA 3.89
3141OF4V4 FNMA Pool#FN 8883M 444,085.02 W/1012013 477,391.40 110.21 489,415.44 0.16% Aaa/AA+ 20.52
5%Due 111/2036 4.25% 4T3,81 T.33 2.23% 1,850.35 16,598.11 AAA 3.88
31397OREO FNMA FNR 2011-3 FA 453,954.45 12/20/2010 453,812.59 101.15 459,165.85 0.15% Aaa/AA+ 25.17
1.102%Due 212512041 1.10% 453,835+82 0.80% 83.37 5,330.03 AAA 0.09
Chandler Asset Mana9emeM-CONFIDENTIAL 39
C�" Orange County Sanitation District Long Term Holdings Report
Account#10268 As of 12/31/15
Purchase Da:a Cost Va:u: Mid Price Market Value %of Pod. MoodyfS&P Maturity
CUSIP Security Description Par Value/Units Book Yie d Book Va Mkt YTM Accrued Ind. Gain/Loss Fitch Duration
MBS
313NJY35 FHLMC FSPC T-582A 1,090,981.53 06/09/2011 1,235,536.56 116.17 1,267,415.06 0.40% Ann/AA- 2775
6.5%Due 9/25/2043 5.40% 1,215,160.81 3.42% 1,181.90 52,254.25 AAA 5.14
4,274,155.14 4,418,951.48 1.41 % Aaa I AAt 20.64
Total MBS 4,069,767.76 3.89% 41 2.31% 7,593.65 163,916.95 As. 3.92
MONEY MARKET FUND Fit MEW
261908107 Dreyfus Short Intermediate Gov Treasury 14,810,500.02 Various 14,810,500,02 1.00 14,810,500.02 4.71 % Aso/AAA 000
Cash Management Fd521 0.09% 14,810,500,02 0.09% 0.00 0.00 AAA 0.00
14,810,500.02 14,810,500.02 4.71 % Aaa I AAA 0.00
Total Money Market Fund FI 14,810,500.02 0.09% 14,810,500.02 0.09% 0.00 0.00 Me 0.00
MUNICIPAL BONDS
73358WAG9 Pon Authority of NY&NJ TE-REV 2,440,000.00 Various 2,501 Ill.% 2,731,775.20 0.87% Aa3/AA- 3.92
5.309%Due 12/1/2019 4.97% 2,465,428+56 2.11 % 10,794.97 266,346.64 AA- 3.56
64971M5E8 New York NY TE-REV 1,400,000.00 10/27/2010 1.400,000.00 106.49 1,490,874.00 0.48% Aal/AAA 4.84
4.075%Due 11/l/2020 4.08% 1.400,000.00 2.64% 9,508.33 90,874.00 AAA 4.37
913361 Univ of California Rots Med TE-REV 400,000.00 11/09/2010 400,000.00 111.28 445,108.00 0.14% Aa3/AA- 5.38
5.035%Due 5/15/2021 5.04% 400,000.00 236% 2,573.44 45,108.00 NR 4.72
4,307,633.89 4,667,757.20 1.49% Aa2/AA 4.35
Total Municipal Bonds 4,240,000.00 4.68% 4,265,420.56 2.34% 22,876.74 402,328.64 AA 3.93
SUPRANATIONAL
4595OK3S8 International Finance Corp Note 5,000,000.00 03/16/2015 5,0201 Will 4,991,925.00 1.59% Aaa/AAA 1.32
1%Due 4/24/2017 0.80% 5,012,893.76 1.12% 9,305.56 (20,968.76) NR 1.30
4581XOCGI IMer-American Dev Bank Note 5,000,000.00 0612212015 5.019,550.00 99.85 4,992,430.00 1.59% Aaa/AAA 1.54
1%Due 7/14/2017 0.81 % 5.014,558.51 1.10% 23,191 (22,128.51) AAA 1.51
4590MEJB Intl.Bank Recon&Development Note 3,000,000.00 04/22/2015 2,994,870.00 99.17 2,975,034.00 0.95% Aaa/AAA 2.46
1%Due 6/15/2018 1.06% 2,995,975.06 1.35% 1,333.33 (20,941.06) AAA 2.41
13,035,120.00 12,959,381 4.13% Mal AAA 1.66
Total Supranational 13,000,000.00 0.86% 13,023,427.33 1.17% 33,833.33 (64,038.33) Me 1.64
US CORPORATE
38141GEG5 Goldman Sachs Group Inc Note 2,000,000.00 01/04/2011 1,895,068.00 99.91 1,998,112.00 0.63% A3/BBBa 0.22
1.036%Due 3/22/2016 2.09% 1,995,528.94 1.45% 575.28 2,583.06 A 0.23
891 Toyota Motor Credit Corp Note 5,200,000.00 OW14IM13 5,200,000+00 100.03 5,201,331.20 1.65% Aa3/AA- 0.38
0.657%Due 5/17/2016 0.66% 5,200,000.00 0.59% 4,176.24 1,331.20 A 0.13
Chandler Asset Man,ameM-CONFIDENTIAL 40
OROrange County Sanitation District Long Term Holdings Report
Account#10268 As of 12/31/15
Purchase Da:a Cost Vs:u: Mid Price Market Value %of Pod. MoodyIS&P Maturity
CUSIP Security Description Par Value/Units Book Yie d Book Vs Mkt YlrM Accrued Int. Gain/Loss Fitch Duration
US CORPORATE
0605OTLXB Bank of America Note 600,000.00 05/01/2014 600,000.00 99.75 598,518.00 0.19% Al/A 1.35
0.➢61%Due 518/2017 0.76% 600,000.00 0.95% 672.57 (1,482.00) NR 0.10
94988J210 Wells Fargo Bank Callable Note Ghly 500,000.00 0610512014 W0,000.00 99.63 498,150.50 0.16% Aa2/AA- 1.46
6/15/2016 0.79% W0,000.00 1.04% 174.61 (7,848.50) AA 0.21
0.786%Due 611512017
060505DP6 Bank of America Corp Note 3,800,000.00 01/15/2014 4,334,014.00 106.98 4,065,050.00 1.W% Baal/BBB+ 1S2
5.75%Due 121112017 1.95% 4,065,113.33 2.02% 18,200.33 (63.33) A 1.82
166764AA8 Chevron Corp Callable Note Cant 4,000,000.00 121N12014 3,977,200+00 99.31 3,972,496.00 1.26% Art/AA 1.93
11AV17 1.30% 3.985,301.10 1.48% 3,189.33 (12,805.10) NR 1.82
1.104%Due 121512017
458140AL4 Intel Corp Note 2,000,000.00 01/26/2015 2,008,280.00 100.13 2,002,660.00 0.64% At/A+ 1.96
1.35%Due 12/15/2017 1.20% 2,005,625.04 1.28% 1,200.00 (2,965.04) A+ 1.92
40428HPH9 HSBC USA Inc Note 3,000,000.00 Various 3,003,290+00 99.50 2,985,141.00 0.96% A2IA 2.05
1.625%Due 111612018 1.59% 3.002,251.77 1.87% 22,343.75 (17,110.77) AA- 1.98
38141 GFG4 Goldman Sachs Group Inc Note 600,000.00 Various 692,806.00 107.70 646,186.20 0.21 % A31 BBB+ 2.05
5.95%Due 1/18/2018 2.72% 636,732.71 2.09% 16,164.17 9,453.49 A 1.89
674599CD5 Occidental Petroleum Callable Note Cant 2,000,000.00 01/0612015 1,986,340.00 98.T/ 1,975,436.00 0.63% A2/A 2.13
1/15/18 1.73% 1,990,W+17 2.12% 11,333.33 (15,208.17) A 1.99
1.5%Due 2/15/2018
025816AV5 American Express Credit Note 2,900,000.00 Various 3.377,385.79 110.90 3,216,076.80 1.04% A3/BBB+ 2.22
7%Due 3/192018 4.29% 3,048,896.25 1S5% 57,516.67 167,180.55 A+ 204
073902CD8 Bear Stearns Note 3,200,000.00 0111512014 3,523,520+00 106.T, 3,416,768.00 1.11 % MINR 2.50
4.65%Due 712/2018 2,25% 3,381,992.46 1.87% 73,986.67 34,]]5.54 A. 2.32
532457BF4 Ell Lilly 8 Co Note 4,000,000.00 Various 4.009,675.00 100.86 4,034,404.00 1.29% A2/AA- 3.21
1.95%Due 3/15/2019 1.89% 4,007,26]]1 1.67% 22,966.67 27,136.29 A 3.08
02665WAH4 American Honda Finance Note 2,000,000.00 03/1312015 2,019,540.00 100.25 2,004,922.00 0.64% Al/A+ 3.62
2.25%Due BIIW2019 2.02% 2,016,034.69 2.18% 17,000.00 (11,112.69) NR 3.43
24422ESS9 John Deere Capital Corp Note 5,000,000.00 Various 5,046,984.00 100.38 5,019,010.00 1.61 % A21 A 3.71
2.3%Dua 9/16/2019 2.07% 5,039,754.92 2.19% 33,541.67 (20,744.92) NR 3.51
36962G7MO General Electric Capital Corp Callable 5,000,000.00 Various 5,014,960.00 100.37 5,018,520.00 1.61 % At/AA+ 4.03
Note 1X 1MI2019 2.13% 5,012,450.43 2A0% 52,555.55 6,069.67 NR 3.72
2.2%Due 1/9/2020
46625HKA7 JP Morgan Chase Callable NOW Cant 2,000,000.00 021MIN15 1,994,880.00 96.38 1,967,562.00 0.63% A3/A- 4.07
12/23/2019 2.30% 1.995,998.03 2.69% 19,750.00 (28,236.03) A+ 3.81
2.25%Due 1/23/2020
747525AD5 Oualcomm Inc Note 5,000,000.00 05/1912015 4,995,195.40 99.03 4,951,405.00 1.58% Al/A+ 4.39
2.25%Due 5/20/2020 2.27% 4,995,785.11 2.48% 12,812.51 (44,380.11) NR 4.14
94974BGM6 Wells Fargo Corp Note 5,000,000.00 0711612015 5,001,650.00 99.74 4,987,190.00 1.60% A2/A 4.56
2.6%Due 7/22/2020 2.59% 5.001,502.79 2.66% 57,416.67 (14,312.79) AA- 4.22
Chandler Asset Nfim,amem-CONFIDENTIAL 41
C�" Orange County Sanitation District Long Term Holdings Report
Account#10268 As of 12/31/15
Purchase Da:a Cost Va:u: Mid Price Market Value %of Pod. Ml Maturity
CUSIP Security Description Par Value/Units Book Yie d Book Va Mkt YTM Accrued Int. Gain/Loss Fitch Duration
US CORPORATE
61747WAL3 Morgan Stanley Note 2,800,000.00 06/06/2014 3,200,848.00 112.04 3,137,Wsh 1.02% A3IBBB+ 5.58
5.5%Due]/28/2021 3.24% 3,113,258.71 3.13% 65,450.00 23,782.89 A 4.75
62,381,626.19 61,695,980.30 19.76% A2/A+ 2.92
Total US Corporate 60,600,000.00 2.05% 61,593,938.16 1.96% 491,034.02 102,042.14 A+ 2.68
US TREASURY
912828MI US Treasury Note 7,500,000.00 01/13/2015 7,512,91535 1N.01 7,500,375.00 2.39% Ass/AA+ 0.08
0.375%Due 113112016 0.21 % 7,501,014.33 0.32% 11,769.70 (639.33) AAA 0.08
91282BD31 US Treasury Note 3,500,000.00 OW2812014 3,500,340.41 100.02 3,500,784.00 1.11 % Aaa/AA- 0.33
0.089%Due 4/30/2016 0.08% 3.500,058.27 0.02% 527.68 725.73 AAA 0.08
912828DM US Treasury Note 12,000,000.00 0910812014 11,997,656.25 99.89 11,986,404A0 3.81 % Aaa/AA+ 0.67
0.5%Due&31/2016 0.51 % 11,999,211.18 0.67% 20,274.73 (12,807.18) AAA 0.66
91282BG46 US Treasury Note 11,000,000.00 Various 10,974,971.75 99.73 10,970,784.00 3.49% Aaa/AA+ 0.92
0.5%Due 11IN12016 0,62% 10,988,301.00 0.79% 4,808.74 (17,517.00) AAA 0.91
912828SS0 US Treasury Note 7,500,000.00 121UI2015 7.500,611.06 99.96 7,496,775.00 2.39% Aaa/AA+ 1.33
0.875%Due 4/30/2017 0.87% 7,500,599.93 0.91% 11,177.88 (3,824.93) AAA 1.32
91282BG20 US Treasury Note 10,000,000.00 Various 9,948,783.50 99.65 9,965,230.00 3.17% Aaa/AA+ 1.88
0.875%Due 11/15/2017 1.05% 9,967,089.66 1.06% 11,298.00 (1,859.66) AAA 1.85
912828B33 US Treasury Nate 11,000,000.00 Various 11,042,439.19 100.35 11,038,676A0 3.53% Aaa/AA+ 3.09
1.5%Due 1/31/2019 1.37% 11.042,187.17 1.38% 69,WSSI (3,511.17) AAA 2.99
912828WS5 US Treasury Note 10,000,000.00 Various 9,984,307.21 100.45 10,044,920.00 3.19% Aaa/AA+ 3.50
1.625%Due 6/30/2019 1.66% 9,988,885.23 1A9% 446.43 56,034.77 AAA 3.39
912828WW6 US Treasury Note 10,000,000.00 Various 10,024,777.40 1W.35 10,034,770.01 3.21 % Aaa/AA+ 3.58
1.625%Due 7/31/2019 1,57% 10,017,878.39 1.52% 68,002.72 16,891.62 AAA 3.45
912828F39 US Treasury Note 5,800,000.00 10/27/2014 5.873,186.87 100.68 5,839,196.40 1.86% Aaa/AA+ 3.75
1.75%Due 9/30/2019 1.48% 6.866,683.89 1.66% 25,790.98 (16,487.49) AAA 3.60
91282BG61 US Treasury Note 7,500,000.00 12/19/2014 7,449,634.50 99.60 7,470,120.00 2.38% Aaa/AA+ 3.92
1.5%Due 11/30/2019 1.64% 7,460,104.05 1.61% 9,8W.07 10,015.95 AAA 3.78
91282BL99 US Treasury Note 5,500,000.00 Various 5,424,666.87 98.23 5,402,892A0 1.72% Aaa/AA- 4.84
1.375%Due 10/31Q020 1.67% 5.425,862.81 1.76% 12,881.18 (22,970.81) AAA 4.64
Chandler Asset Management-CONFIDENTIAL 42
C�" Orange County Sanitation District Long Term Holdings Report
Account#10268 As of 12/31/15
Purchase Da:a Cost Va:u: Mild Price Market Value %of Pod. MoodyIS&P Maturity
CUSIP Security Description Par Value/Units Book Yie d Book Va Mkt YTM Accrued Ind. Gain/Loss Fitch Duration
US TREASURY
912828WUO US Treasury Inflation Index Note 10,417,368.00 Various 10,302,585.00 94.97 9,893,655.66 3.15% Ann/AA- 8.55
0.125%Due 7/15/2024 0.24% 10,318,964.54 013% 6,015.47 (425,308.88) AAA 8.46
111,536,876.76 111,1",582.07 35.39% Ass I AA+ 2.84
Total US Treasury 111,717,368.00 1.00% 111,565,840.45 1.08% 251,878.57 (421,258.38) As. 2.76
314,607,012.67 313,753,445.14 100.00% Aai I AA+ 2.87
TOTAL PORTFOLIO 312,879,296.55 1.30% 313,739,279.S7 1.32% 1,011,159.63 14,165.57 Aaa 2.42
TOTAL MARKET VALUE PLUS ACCRUED 314,784,604.77
Chandler Asset Management-CONFIDENTIAL 43
Orange County Sanitation District Liquid Holdings Report Accountg10282 As of 12/31/15
Purchase D.:o Cost V.:u: Nut Price Market Value %of Pod. Moodl Maturity
CUSIP Security Description Par Value/Units Book Yie d Book Va Mkt YTM Accrued Int. Gain/Loss Fitch Duration
AGENCY Im
313312SG6 FFCB Discount Note 10,000,000.00 12/22/2015 9,997,763.90 99.98 9,998,402.79 7.58% P-1IA-1+ 0.07
0.23%Due 1/26/2016 0.46% 9,998,402.79 0.46% 638.89 0.00 F-1+ 0.07
313588SH9 FNMA Discount Note 2,000,000.00 0813112015 1,998,079.56 Was 1,999,664.89 1.52% P-1IA-1+ 0.07
0.23%Due 112712016 0.24% 1,899,664.89 0.24% 0.00 0.00 F-1+ 0.07
313396SH9 FHLMC Discount Note 9,600,000.00 Various 9.596,651.88 99.99 9,598,715.88 7.27% P-1/A-1+ 0.07
0.185%Due 112712016 0.19% 9,598,715.88 0.19% 0.00 0.00 F-1+ 0.07
313384SH3 FHLB Discount Note 13,000,000.00 Various 12,996,538.33 99.99 12,997,849.16 9.85% P-1/A-1+ 0.07
0.25%Due 112712016 0.25% 12,997,649.16 0.25% 0.00 0.00 F-1+ 0.07
313396SJ3 FHLMC Discount Note 900,000.00 1012012015 899,725.00 99.99 899,925.75 0."% P-1 I A-1+ 0.08
0.11%Due 1/2612016 0.11% 899,925.75 0.11% 0.00 0.00 F-1+ 0.08
313384SK6 FHLB Discount Note 3,300,00D00 Various 3.298,935.89 99.99 3,299,690.44 2.W% P-1/A-1+ 0.08
0.123%Due 112912016 0.12% 3,299,690.44 0.12% 0.00 0.00 F-1+ 0.08
313384SS9 FHLB Discount Note 2,000,000.00 09/032015 1,997,761.11 99.97 1,999,494.44 1.52% P-11A-1+ 0.10
0.26%Due 2152016 0.26% 1,999,494.44 0.26% 0.00 0.00 F-1+ 0.10
313396TS2 FHLMC Discount Note 2,000,000.00 0910312015 1.997,116.11 99.95 1,999,049.d4 1.51 % P-1 IA-1+ 0.16
0.29%Due 2I29I2016 0.29% 1,999,049.44 0.29% 0.00 0.00 F-1+ 0.16
313384UW7 FHLB Discount Note 3,000,000.00 09/29/2015 2,996,380.00 99.94 2,998,260.00 2.27% P-1IA-1+ 0.24
0.24%Due 312812016 0.24% 2,998,260.00 0.24% 0.00 0.00 F-1+ 0.24
3133MYFO FHLB Discount Note 985,000.00 121KI2015 882,223.94 99.73 982,379.90 0.74% P-11A-1+ 0.46
0.57%Due 611712016 1.14% 982,379.90 1.14% 155.96 0.00 F-1+ 0.46
313312YJ3 FFCB Discount Note 1,075,000.00 12I22I2015 1,071,811.13 99.72 1,071,987.31 0.81 % P-1IA-1+ 0.47
0.59%Due 6/20/2016 1.18% 1,071,987.31 lA8% 176.18 0.00 F-1+ 0.47
313384YN3 FHLB Discount Note 4,000,000.00 1212912015 3,988,331+11 99.71 3,988,527.78 3.02% P-1IA-1+ 0.48
0.59%Due 6/2412016 060% 3,988,52778 060% 0.00 0.00 F-1+ 048
51,821,317.96 51,833,747.78 39.28% P-11A-1+ 0.13
Total Agency 51,860,000.00 0.33% 51,833,747.78 0,33% 971.03 0,00 F-1+ 0,13
COMMERCIAL PAPER
69372AAN2 Paccar Financial Discount CP 21200,000.00 Various 2.199,273+06 99,98 2,199,64417 1.67% P-1/A-1 0.06
0.277%Due 112212016 0.28% 2,199,644.17 028% 0.00 0.00 NR 0.06
30229AAU3 Exxon Mobil Discount CP 2,000,000.00 12/18/2015 1,999,088.88 99.97 1,999,399.99 1.52% P-1/A-1+ 0.08
0.4%Due 1/28/2016 0.41 % 1,999,399.99 0.41% 0.00 0.00 NR 0.08
0653BBAV5 Bank of Tokyo Mitsubishi NY Discount 1,200,000.00 1212112015 1,199,428.00 99.97 1,199,589.33 0.91 % P-1/A-1 0.08
CP 0,45% 1,199,589.33 0.45% 0.00 0.00 F-1 0.08
D."%Due 1IN12016
89233GBN5 Toyota Motor Credit Discount CP 1,000,000.00 W/26/2015 997,750.00 99.94 999,350.00 0.76% P-1IA-1+ 0.16
0.45%Due 2222016 0.46% 999,350.00 OAS% 0.00 0.00 F-1+ 0A4
0653BBBR3 Bank of Tokyo Mitsubishi NY Discount 1,000,000.00 1,272015 998,700.00 99.94 999,404.17 0.76% P-1/A-1 0.15
CP 0.40% 999,404.17 0.40% 0.00 0.00 F-1 0.15
0.39%Due 212512016
Chandler Asset Mane,annl-CONFIDENTIAL 44
Orange County Sanitation District Liquid Holdings Report
Accountg10282 As of 12/31/15
Purchase D.:o Cost V.:u: Mot Price Market Value %of Pod. MoodyIS&P Maturity
CUSIP Security Description Par Value/Units Book You d Book Va Mkt YTM Accrued Int. Gain/Loss Fitch Duration
COMMERCIAL PAPER
e�
21687ACA9 Rabobank Nederland NV NY Discount 1,000,000.00 11/16/2015 998,]54.17 99.93 999,252.50 0.76% P-1I A-1 0.19
CP 0.40% 999,252,50 0.40% 0.00 0.00 NR 0.19
0.39%Due 311012016
8,392,994.11 8,396,640.16 6.36% P-1/A-1 0.10
Total Commercial Paper 8,400,000.00 0.38% 8,396,640.16 0.38% 0.00 0.00 F-ta 0.10
MONEY MARKET FUND FI
261908107 Dreyfus Short-Intermediate Gov Treasury 12,950,117.86 Various 12,950,117,86 1.00 12,950,117.86 9.81 % Aaa I AAA 000
Cash Management Fd521 0.09% 12,950.119.86 009% 0.00 0.00 AAA 000
12,950,117.86 12,950,117.86 9.81 % Aaa/AAA 0.00
Total Money Market Fund Fl 12,950,117.86 0.09% 12,950,117,86 0,09% 0.00 0,00 Aaa 0.00
NEGOTIABLE CD
216MBPVO RaboBank Nederland NV NY Negotiable 11000,000.00 1212212015 999,830,00 99.98 999,841.33 0.76% Aa2/NR 0.35
CD 0,76% 999,841,33 016% 1,094.27 0,00 NR 035
0.716%Due 51612016
999,830.00 999,841.33 0.76% Aa21 NR 0.35
Total Negotiable CD 1,000,000.00 0.76% 999,841.33 0.76% 1,094.27 0.00 NR 0.35
SUPRANATIONAL
45950VCJ3 International Finance Corp Note 2,500,000.00 1212912015 2,498,750.00 99.92 2,498,017.50 1.89% Aaa I AAA 0.38
0.5%Due S/16/2016 0.63% 2,498,768.12 011% 1,562.50 (750.62) AAA 0.37
2,498,750.00 2,498,017.50 1.89% Aaa I AAA 0.38
Total Supranational 2,500,000.00 0.63% 2,498,768.12 0.71% 1,562.50 (750.62) Aaa 0.37
US CORPORATE
674599BZ7 Occidental Petroleum Note 1,100,000.00 0412012015 1,116,489,00 100.08 1,100,919.60 0.84% A2/A 0.09
2.5%Due 2/1/2016 0.55% 1,101,799,86 148% 11,458.33 (880.26) A 0.08
74005PBE3 Praxeir Note 11000,000.00 0612512015 1,001,530.00 100100 1,000,045.00 0116% A21A 0.14
0.75%Due 2/21/2016 0.51 % 1.000,330." 0.72% 2,708.33 (285.64) NR 0.14
46623EJU4 JP Morgan Chase Note 1,000,000.00 03/20/2016 1.002,380.00 100.05 1,000,456.00 0.76% A3/A- 0.16
1.125%Due 2126/2016 0.86% 1,000,394.32 0.82% 3,901 61.68 A+ 0.15
713448CE6 Pepsin Inc.Note 1,000,000.00 0711 W2015 1,001,130+00 Was 999,755.00 0.76% Al/A 0.16
0.7%Due 2R6/2016 0.51 % 1,000,286.33 0.86% 2,430.56 (531.33) A 0.15
437076AP7 Home Depot Note 1,000,000.00 0612512015 1.032,590.00 100.70 1,007,032.00 0.78% A2/A 0.17
5.4%Due 3/1/2016 0.52% 1.007,981.22 1.15% 18,000.00 (949.22) A 0.17
Chandler Asset Man,anart-CONFIDENTIAL 45
Orange County Sanitation District Liquid Holdings Report Accountg10282 A.of 12/31/15
Purchase D.:o Cost V.:u: Mid Price Market Value %of Pod. MoodyIS&P Maturity
CUSIP Security Description Par Value/Units Book Yie d Book Va Mkt YTM Accrued Ind. Gain/Loss Fitch Duration
us�ATB AL
8574TTAH6 State Street Bank Note 1,000,000.00 05/11/2015 1,019,240.00 100.35 1,003,523.00 0]]% A21A 0.18
2.875%Due 3O12016 0.50% 1,004,261.21 0.94% 9,104.17 (738.21) AA- 0.18
36962G6Z2 General Electric Capital Corp Note 1,000,000.00 0612612015 1,007,290.00 100.48 1,004,833.00 on% Al/AA+ 0.53
1.5%Due T/12/2016 0.65% 1,004,452.44 0.59% 7,041.67 380.56 NR 0.53
94974BFL9 Wells Fargo Corp Note 1,000,000.00 1212112015 1.001,890.00 100.16 1,001,580.00 0.76% A2/A 0.55
1.25%Due 7/20/2016 0.92% 1,001,798A2 0.96% 5,590.28 (218.42) AA- 0.56
06406HBX6 Bank of New York Note 1,000,000.00 1212112015 1,008,760.00 100.85 1,008,466.00 o.n% Al/A 0.58
2.3%Due 7/28I2016 0.82% 1,008,437.05 0.82% 9,775.00 28.95 AA- 0.57
084670B83 Berkshire Hathaway Note 1,000,000.00 M12612015 1,014,170.00 100.85 1,008,499.00 O.TT% Aa2/AA 0.62
2.2%Due 8/15/2016 0.71% 1.009,190.26 0.83% 8,311.11 (691.28) A+ 0.61
191216AU4 Coca We Company Note 1,000,00D00 12/21/2016 1.006,460.00 100.64 1,006,417.00 o.T % As3/AA 0.67
1.8%Due 9/1/2016 0.85% 1,006,245.24 OA3% 6,000.00 171.76 A+ OAS
02665WAB7 American Honda Finance Note 1,000,000.00 1212112015 1,001,660.00 100.08 1,000,801.00 0.76% Al/A+ 0.77
1.125%Due 10/712016 0.91% 1,001,613+89 1.02% 2,62500 (812.89) NR 0.76
24422ESD2 John Deere Capital Corp Note 1,000,000.00 12/21/2015 1.001,070.00 100.12 1,001,169.00 0.76% A2I A 0.78
1.05%Due 1011112016 0.91% 1,001,040.68 0.90% 2,333.33 128.32 NR 0.77
91159HHB9 US Bancorp Callable Note Cant 1,000,000.00 1212112015 1,009,900.00 lW.96 1,009,639.00 O.n% Al/A+ OAS
1011412016 ow% 1,009,631+53 109% 2,811.11 7.47 AA 0.86
2.2%Due 1111 512 01 6
14.224,529.00 14,153,134.60 10.79% At/A+ a."
Total US Corporate 14,100,000.00 0.73% 14,157,463.09 693% 92,095.14 (4,328.49) A+ a."
USTRFASURY -
912796GY9 US Treasury Bill 91000,000.00 1212312015 8,998,743+50 99.99 8,999,102.50 6.82% P-11A-1+ 0.06
0.18%Due 1/2112016 0.18% 8.999,102.50 0A8% 0.00 0.00 F-1+ 0.06
912796GZ6 US Treasury TBILL 10,000,000.00 12/21/2015 9,998,448.33 99.99 9,998,897.50 7.58% P-11A-1+ 0.08
0.15%Due 1128/2016 0.30% 9,998,897.50 0.30% 458.33 0.00 F-1+ 0.08
912828GP8 US Treasury Note 2,000,000.00 0912112015 2,020,006.70 100.52 2,010,390.00 1.53% Aaa/AA+ 0.42
1.75%Due W3112016 0.29% 2,011,988+14 0.50% 3,060.11 (1,598.14) AAA 0.41
912828VG2 US Treasury Note 14,000,000.00 Various 14,001,609.40 99.99 13,998,908.00 10.61 % Aea/AA+ 0.46
0.5%Due 6/15/2016 0.48% 14,001,568.35 0.52% 3,251.36 (2,6W.35) AAA 0.46
912828VLI US Treasury Note 3,000,000.00 12/1512015 2,999,541.30 100.01 3,000,234.00 2.28% Ass/AA+ 0.54
0.625%Due 711512016 0.65% 2,999,575.92 0.61% 8,661.68 658.08 AAA 0.54
Chandler Asset Management-CONFIDENTIAL 46
Orange County Sanitation District Liquid Holdings Report
("ARAccountg10282
As of 12/31/15
Purchase D.:o Cost V.:u: Mid Price Market Value %of Pod. MoodyIS&P Maturity
CUSIP Security Description Par Value/Units Book Yie d Book Va Mkt Y7M Accrued Ind. Gain/Loss Fitch Duration
US TREASURY
912828VW7 US Treasury Note 3,000,000.00 12/15/2015 3,003,760.05 100.13 3,003,750.00 2.28% Ann/AA- 0.71
0.875%Due 9/15/2016 0.71 % 3,003,540.49 0,70% 7,788.46 209.51 AAA 0.70
41,022,109.26 41,011,282.00 31.10% P-1/A-1 0.30
Total US Treasury 41,000,000.00 0.39% 41,014,662.90 0A1% 23,219.94 (3,380.90) F-1* 0.30
131,909,648.21 131,842,781.23 100.00% P-21 A-1 0.21
TOTAL PORTFOLIO 131,810,117.86 0.38% 131,851,241.24 0A1% 118,942.88 (8,460.01) F-N 0.21
TOTAL MARKET VALUE PLUS ACCRUED 131,961,724.11
Chandler Asset M.r,anneM-CONFIDENTIAL 47
OROCSD Lehman Exposure Holdings Report
Account#10284 As of 12/31/15
Purchase On:a Cost Va Mkt Price Market Value %of Pod. MoodyIS&P Maturity
CUSIP Security Description Par Value/Units Book Yin d Book V. Mkt YTM Accrued Int. Gain/Loss Fitch Duration
COMMON STOCK
SLHOPNTA4 Lehman Brothers,Inc Open Position 68,128.13 11/21/2014 68,128.13 0.42 28,184.13 16.93% NR/NR 0.00
Long Exposure 0.00% 68,128A3 0.00% 0.00 (39,3 .00) NR 0.00
Due 1M1/2015
68,120.13 20,784.13 16.93% NR/NR 0.00
Total Common Stock 68,128.13 NIA 68,128.13 0.00% 0.00 (39,344.00) NR 0.00
US CORPORATE se
525ESCI67 Lehman Brothers Note-Defaulted 600,000,00 09/19/2008 372,962,90 5.63 33,750.00 19.85% NRINR OOT
Due 112412016 0.00% 372,962.90 000% 0.00 (339,212.90) NR 000
525ESCOV6 Lehman Brothers Note-Defaulted 2,000,000,00 09/18/2008 1,207,166MI) 5.38 107,500.00 63.22% NR/NR 3383
Due 10/2212049 0.00% 1,207,166.09 0.00% 0.00 (1,099,666.09) NR 0.00
1,00,128.99 141,250.00 83.07% NR/NR 25.76
Total US Corporate 2,600,000.00 N/A 1,580,128.99 0.00% 0.00 (1,438,878.99) NR 0.00
1,648,257.12 170,034.10 100.00% NRINR 21.40
TOTAL PORTFOLIO 2,668,128.13 NIA 1,648,257.12 0.00% 0.00 (1,478,222.99) NR 0.00
TOTAL IMRKEr VALUE PLUS ACCRUED 170,030.13
Chandler Asset Management-CONFIDENTIAL 48
Rating Agency Comparisons
A summary of investment grade ratings are listed below. More complete descriptions of
Moody's and Standard & Poor's ratings are included in the following pages.
Quality/Grade Moody's Standard & Poor's Fitch
Best Quality Aaa AAA AAA
High Quality Aal AA+ AA+
Aa2 AA AA
Aa3 AA- AA-
Upper Medium Grade Al A+ A+
A2 A A
A3 A- A-
Medium Grade Baal BBB+ BBB+
Baa2 BBB BBB
Baa3 BBB- BBB1
Moody's - Investment Grade
"Aaa" - Bonds rated Aaa are judged to be of the best quality. They carry the smallest
degree of investment risk. Interest payments are protected by a large or by an
exceptionally stable margin and principal is secure. While the various protective elements
are likely to change, such changes as can be visualized are most unlikely to impair the
fundamentally strong position of such issues.
"Aa" - Bonds which are rated Aa are judged to be of high quality by all standards.
Together with the Aaa group they comprise what are generally known as high grade
bonds. They are rated lower than the best bonds because margins of protection may not
be as large as in Aaa securities or fluctuation of protective elements may be of greater
amplitude or there may be other elements present which make the long-term risks appear
somewhat larger than in Aaa securities.
"A" - Bonds which are rated A possess many favorable investment attributes and are to
be considered as upper medium grade obligations. Factors giving security to principal and
interest are considered adequate, but elements may be present which suggest a
susceptibility to impairment sometime in the future.
Mae" - Bonds which are rated Baa are considered as medium grade obligations; i.e.,
they are neither highly protected nor poorly secured. Interest payments and principal
security appear adequate for the present but certain protective elements may be lacking
or may be characteristically unreliable over any great length of time. Such bonds lack
outstanding investment characteristics and in fact have speculative characteristics as
well.
Bonds in the As, A, and Baa are also assigned "1", "2", or "S' based on the strength of
the issue within each category. Accordingly, "At" would be the strongest group of A
securities and "AY would be the weakest A securities.
Be, B, Caa, Ca, and C - Bonds that possess one of these ratings provide questionable
protection of interest and principal ("Be" indicates some speculative elements; "B"
indicates a general lack of characteristics of desirable investment; "Caa" represents a
poor standing; "Ca" represents obligations which are speculative in a high degree; and
"C" represents the lowest rated class of bonds). "Caa", "Ca" and "C" bonds may be in
default.
Standard and Poor's-investment Grade
AAA- Debt rated "AAA" has the highest rating assigned by S&P. Capacity to pay interest
and repay principal Is extremely strong.
AA - Debt rated "AA" has a very strong capacity to pay interest and repay principal and
differs from the highest rated issues only in small degree.
A - Debt rated "A" has a strong capacity to pay interest and repay principal although it is
somewhat more susceptible to the adverse effects of changes in circumstances and
economic conditions than debt in higher rated categories.
BBB - Debt rated "BBB" is regarded as having an adequate capacity to pay interest and
repay principal. Whereas it normally exhibits adequate protection parameters, adverse
economic conditions or changing circumstances are more likely to lead to a weakened
capacity to pay interest and repay principal for debt in this category than in higher rated
categories.
Standard and Poor's - Speculative Grade Retina
Debt rated "BB", "B", "CCC", "CC" and "C" is regarded as having predominantly
speculative characteristics with respect to capacity to pay interest and repay principal.
"BB" indicates the least degree of speculation and "C" the highest. While such debt will
likely have some quality and protective characteristics these are outweighed by major
uncertainties or major exposures to adverse conditions.
BB - Debt rated "BB" has less near-term vulnerability to default than other speculative
issues. However, it faces major ongoing uncertainties or exposure to adverse business,
financial, or economic conditions which could lead to inadequate capacity to meet timely
interest and principal payments. The "BB" rating category is also used for debt
subordinated to senior debt that is assigned an actual or implied "BBB" rating.
B - Debt rated "B" has a greater vulnerability to default but currently has the capacity to
meet interest payments and principal repayments. Adverse business, financial, or
economic conditions will likely impair capacity or willingness to pay interest and repay
principal. The "B" rating category is also used for debt subordinated to senior debt that is
assigned an actual or implied "BB" or "BB" rating.
CCC - Debt rated "CCC' has a currently identifiable vulnerability to default, and is
dependent upon favorable business, financial, and economic conditions to meet timely
payment of interest and repayment of principal. In the event of adverse business,
financial, or economic conditions, it is not likely to have the capacity to pay interest and
repay principal. The "CCC' rating category is also used for debt subordinated to senior
debt that is assigned an actual or implied 'B" or"B" rating.
CC - The rating "CC' typically is applied to debt subordinated to senior debt that is
assigned an actual or implied "CCC' debt rating.
C-The rating"C'typically is applied to debt subordinated to senior debt which is assigned
an actual or implied "CCC' debt rating. The "C' rating may be used to cover a situation
where a bankruptcy petition has been filed, but debt service payments are continued.
Cl -The rating "Cl" is reserved for income bonds on which no interest is being paid.
D - Debt rated "D" is in payment default. The "D" rating category is used when interest
payments or principal payments are not made on the date due even if the applicable grace
period has not expired, unless S&P believes that such payments will be made during such
grace period. The "D" rating also will be used upon the filing of a bankruptcy petition if
debt service payments are jeopardized.
Plus (+) or Minus (-) - The ratings from "AA" to "CCC' may be modified by the addition
of a plus or minus sign to show relative standing within the major rating categories.
NR-Indicates no rating has been requested,that there is insufficient information on which
to base a rating, or that S&P does not rate a particular type of obligation as a matter of
policy.
a
C�p
January 31, 2016
STAFF REPORT
Certificates of Participation (COP) Quarterly Report
for the Period Ended December 31, 2015
Summary
The District began issuing Certificates of Participation (COPS) in 1990. These COPS
were a part of our long-term financing plan that included both variable interest rate and
traditional fixed rate borrowing. Following are the current outstanding debt issues of the
District:
In May 2007, the District issued $95.18 million of fixed rate COPS, Series 2007A
refunding a portion of the Series 2003 fixed rate debt. The true interest cost for the
issue is 4.5 percent.
In December 2007, the District issued $300 million of fixed rate COPS, Series 2007B at
a true interest cost of 4.71 percent for the issue.
In September 2008, the District issued $27.8 million of fixed rate COPS, Series 2008B
refunding the Series 1993 variable rate debt. The true interest cost for the issue is 2.96
percent.
In May 2009, the District issued $200 million of fixed rate COPS, Series 2009A at a true
interest cost of4.72 percent for the issue.
In May 2010, the District issued $80.0 million of fixed rate BABs, Series 2010A at a true
interest cost of 3.68 percent for the issue.
In December 2010, the District issued $157.0 million of fixed rate BABs, Series 2010C
at a true interest cost of 4.11 percent for the issue.
In October 2011, the District issued $147.595 million of fixed rate COPS, Series 2011A
refunding a portion of the Series 2000 variable rate debt and a portion of the Series
2003 fixed rate debt. The true interest cost for the issue is 2.61 percent.
OCSD ♦ P.O.Box 8127 ♦ Fountain Valley,CA 9272B-B127 ♦ (714)962-2411
Quarterly COP Report
For the Three Months Ended December 31, 2015
Page 2 of 2
In March 2012, the District issued $100.645 million of fixed rate COPs, Series 2012A
refunding the Series 2003 fixed rate debt. The true interest cost for the issue is 3.54
percent.
In August 2012, the District issued $66.395 million of fixed rate COPS, Series 2012E
refunding the Series 2000 variable rate debt. The true interest cost for the issue is 1.50
percent.
With the issuance of Series 201213, there remains no variable interest rate COPS at the
District.
In August 2014, the District issued $85.090 million of fixed rate COPS, Series 2014A,
refunding a portion of Series 2007B debt. The true interest cost for the issue is 2.34
percent.
In October 2014, the District issued $120.850 million of fixed rate CANS, Series 201413,
refunding the Series 2013A CANS. The true interest cost for the issue is 0.41 percent.
In February 2015, the District issued $127.510 million of fixed rate COPs, Series 2015A,
refunding $152,990,000 of the Series 2007B debt. The true interest cost for the issue is
3.30 percent.
Additional Information
The graph entitled, "OCSD COP Rate History Report," shows the various fixed interest
rates of the District's twelve debt issues.
Attachments
1. Graph - OCSD COP Rate History Report
OCSD COP RATE HISTORY REPORT
DECEMBER 2015
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ORANGE COUNTY SANITATION DISTRICT
FINANCIAL MANAGEMENT DIVISION
10844 Ellis Avenue
Fountain Valley, California 92708-7018
714.962.2411
www.ocsewers.com
12/31/15