HomeMy WebLinkAbout98.08-28-2019 Board Meeting Item 11 Attachment - Quarterly Treasurer's Report.pdf
OCSD ♦ P.O. Box 8127 ♦ Fountain Valley, CA 92728-8127 ♦ (714) 962-2411
July 31, 2019
STAFF REPORT
Quarterly Treasurer’s Report
For the Period Ended June 30, 2019
SUMMARY
Section 17.0 of the Sanitation District's Investment Policy includes quarterly reporting
requirements for the Sanitation 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 Sanitation District's external money manager.
The ongoing monitoring of the Sanitation District's investment program by staff and Callan
Associates, the Sanitation District's independent investment advisor, indicates that the
Sanitation District's investments are in compliance with the Sanitation 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 Sanitation District to meet budgeted expenditures for the next six
months. The Sanitation 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
Sanitation District's portfolios, as of June 30, 2019. The Liquid Operating Monies portfolio,
with an average maturity of 88 days, consists entirely of high quality fixed income
investments consistent with the Sanitation District’s investment policy.
Portfolio Performance Summary
The following table presents a performance summary of the Sanitation District's portfolios
as compared to their benchmarks as of June 30, 2019. The long-term portfolio
underperformed the benchmark during the quarter. According to Chandler Asset
Quarterly Treasurer’s Report
For the Period Ended June 30, 2019
Page 2 of 4
Management, underperformance was primarily due to the term structure positioning of
the portfolio. The long-term portfolio was underweight the one to three year portion of the
maturity distribution, at the expense of shorter and longer maturity securities. Additionally,
the overall duration of the portfolio, modestly below the benchmark, detracted from the
relative performance of the portfolio during the quarter as interest rates moved lower.
(1) Benchmarks:
Liquid Operating Portfolio: ICE BAML 3-Month Treasury Bill Index
Long-Term Operating Portfolio: ICE BAML 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.
Quarter
Ending
Liquid
Operating
Monies ($M)
Long-Term
Operating
Monies ($M)
30 Sep. 18 75.2 462.1
31 Dec. 18 176.7 498.8
31 Mar. 19 108.5 506.2
30 Jun 19 164.5 558.1
Portfolio Performance Summary As of June 30, 2019
Liquid Operating Monies (%)Long-Term Operating Monies (%)
Total Rate of Return Benchmark(1) Total Rate of Return Benchmark(1)
3 Months 0.69 0.64 1.70 1.85
6 Months 1.32 1.24 3.23 3.30
9 Months 1.90 1.81 4.60 4.92
12 Months 2.43 2.31 4.87 5.13
Annualized Since inception 30 Nov 2014 1.05 0.95 1.74 1.71
Market Value $164.5 M $558.1 M
Average Quality “AA+”/”Aaa” “AA”/”Aa1”
Current Yield (%) 1.6 2.3
Estimated Yield to Maturity (%) 2.2 2.0
Quarterly Deposits (Withdrawals) $55.0 M $42.4 M
Estimated Annual Income $4.1 M $13.2 M
Quarterly Treasurer’s Report
For the Period Ended June 30, 2019
Page 3 of 4
The Sanitation District’s Investment Account Balances as of June 30, 2019
Investment Accounts
Book Balances
June 30, 2019
Estimated
Yield (%)
State of California LAIF
Banc of California Checking Account
Banc of California Overnight Sweep Account
Banc of California W/C Checking
Union Bank Mount Langley Account
Union Bank Bandilier Account
Chandler – Short-term Portfolio
Chandler – Long-term Portfolio
Petty Cash
BNY Mellon OCIP Reserve
TOTAL
Debt Service Reserves w/Trustees
$35,158,735
50,000
3,939,730
78,605
362,219
625,218
164,566,646
558,200,609
3,000
3,629,890
$766,614,652
$28,766
2.43
0.85
0.20
0.85
0.80
0.80
2.24
1.98
N/A
0.00
2.04
2.24
The Sanitation District’s Cost of Funds on Debt Issues as of June 30, 2019
Cost of Funds
Issue Description
Outstanding
COP Balance
Annual
Interest
Rate (%)
2010A Fixed
2010C Fixed
2011A Fixed
2012A Fixed
2012B Fixed
2014A Fixed
2015A Fixed
2016A Fixed
2017A Fixed
2018A Fixed
TOTAL
Weighted Avg. Cost of Funds
80,000,000
157,000,000
75,370,000
100,645,000
46,475,000
71,330,000
127,510,000
145,880,000
66,370,000
102,200,000
$972,780,000
3.68
4.11
2.61
3.54
1.50
2.34
3.30
3.02
2.55
2.02
3.05
Quarterly Treasurer’s Report
For the Period Ended June 30, 2019
Page 4 of 4
ATTACHMENTS
1. Chandler Quarterly Report
2. Summary of Performance Data and Portfolio Statistics – Liquid Operating Monies
3. Summary of Performance Data and Portfolio Statistics – Long Term Operating
Monies
4. Investment Transactions and Balances in LAIF
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
1
June 30, 2019
Mr. Lorenzo Tyner
Assistant General Manager
Director of Finance and Administrative Services
Orange County Sanitation District
10844 Ellis Avenue
Fountain Valley CA 92708-7018
Dear Lorenzo,
Bond Market Recap
The Federal Open Market Committee (FOMC) kept the fed funds rate unchanged during the second quarter. At its meeting
on May 1st, the FOMC affirmed its plan to remain patient with monetary policy and said the economy was on a healthy
path. During his post-meeting press conference in May, Fed Chair Powell used the word “transient” several times when
referring to the decline in inflation. He indicated that risks to the economy had moderated and noted that economic data
in China and Europe had improved. By the time of the next FOMC in June, the Fed’s tone was significantly more dovish,
following an escalation in the US-China trade dispute. In June, the FOMC again kept the fed funds rate unchanged, but
signaled the possibility of a future rate cut. The FOMC removed the word “patient” from the June policy statement, and
indicated they were prepared to act as appropriate to incoming data in order to sustain the economic expansion. Powell
said the FOMC was specifically concerned about trade developments and the outlook for global economic growth (a
meaningful change from the message he delivered in early May). The Fed’s “dot plot” in June indicated that seven
policymakers were anticipating a 50 basis point rate cut by year-end, one was expecting a 25 basis point cut, eight
members were projecting no changed in the fed funds rate this year, and one was expecting a 25 basis point rate hike.
This was a meaningful change, given that the Fed’s economic projections in March implied the next policy adjustment
would likely be a 25 basis point rate hike in 2020. During his June press conference, Fed Chair Powell noted that many of
those who submitted a projection for no change in the policy rate this year agreed that the case for a future rate cut had
increased. The Fed lowered their longer-run fed funds rate target in June to 2.5% from 2.8%. At the end of the second
quarter, funds futures prices implied a 100% probability of at least one rate cut at the July FOMC meeting. The fed funds
futures market is still pricing in a very high probability of a 25 basis point rate cut this month. In our view, a rate cut is
likely, but the timing and magnitude remain uncertain. We believe financial conditions may tighten in the absence of a
rate cut over the coming months unless we were to see a comprehensive trade deal come to fruition. Notably, the Fed
did not make any changes to their balance sheet normalization program during the second quarter, and the runoff remains
on track to end in September.
Financial conditions remained accommodative during the second quarter, even as concerns about trade and slowing
global economic growth continued. The S&P 500 index rose 2.6% in the second quarter, corporate credit spreads tightened
modestly, and the dollar index (DXY) weakened slightly. Economic data in the second quarter remained generally
consistent with a slow growth environment. Labor market indicators were solid during the second quarter, but inflation
remained below-target. Market participants estimate the economy grew at an annualized pace of 1.8% in the second
quarter, following outsized growth of 3.1% in the first quarter, and 2.2% growth in the fourth quarter last year. The
consensus forecast calls for GDP growth of 2.0% in the current quarter, and full year growth of 2.5% in 2019.
2
Treasury yields declined meaningfully during the second quarter. The yield on 2-year Treasuries fell more than 50 basis
points to 1.76% and the yield on 10-year Treasuries declined 40 basis points to 2.01%. The spread between 2- and 10-year
Treasury yields widened to 25 basis points at the end of the second quarter from 15 basis points at the end of the first
quarter. However, at the end of the second quarter, the 10-year Treasury yield was 8 basis points below the 3-month T-
bill yield. An inversion of the yield curve in which the 10-year Treasury yield is lower than the 3-month T-bill is generally
viewed as a powerful predictive signal of an upcoming recession. However, our 6-month economic forecast does not call
for a recession. We believe the current inversion is due in part to technical factors and reflects a high level of market
participants’ nervousness about the outlook for global economic growth. We believe some of this nervousness could abate
in the coming months if the US and China make additional progress toward a trade agreement, some of the existing tariffs
are lifted, the UK is able to avoid a hard Brexit, and/or economic trends in Europe stabilize. Importantly, all of the major
global central banks have shifted toward more dovish policy stances, which we believe should help support global
economic growth.
Consumer Prices
The Consumer Price Index (CPI) was up just 1.8% year-over-year in May, versus up 2.0% year-over-year in April. Core CPI
(CPI less food and energy) was up 2.0% year-over-year in May, versus up 2.1% year-over-year in April. The Personal
Consumption Expenditures (PCE) index was up 1.5% year-over-year in May, versus up 1.6% year-over-year in April. Core
PCE, which is the Fed's primary inflation gauge, was up 1.6% year-over-year in May, unchanged from April, remaining
below the Fed’s 2.0% inflation target.
Retail Sales
On a year-over-year basis, retail sales were up 3.2% in May, versus up 3.7% year-over-year in April. On a month-over-
month basis, retail sales increased 0.5% in May, and sales growth for April was revised up to 0.3% from -0.2%. Retail sales
excluding autos and gas were up 0.5% in May, better than expectations of 0.4%. Solid growth in May, and upward revisions
to April, indicate that consumer spending trends remain favorable.
Labor Market
U.S. nonfarm payrolls rose by 224,000 in June, well above the consensus forecast of 165,000. April and May payrolls were
revised down by a total of just 11,000. On a trailing 3-month basis payrolls increased an average of 171,000, more than
enough to absorb new entrants into the labor market. The unemployment rate ticked up to 3.7% in June from 3.6% in
May as the participation rate also increased to 62.9% from 62.8%. A broader measure of unemployment called the U-6,
which includes those who are marginally attached to the labor force and employed part time for economic reasons, also
edged up to 7.2% in June from 7.1% in May. Wages rose 0.2% in June (slightly below expectations), following and upwardly
revised 0.3% increase in May. On a year-over-year basis, wages were up 3.1% in June, versus up 3.2% in May.
Housing Starts
Housing starts were stronger than expected in May, down slightly to a 1.269 million annual rate from an upwardly revised
annual rate of 1.281 million in April. Multi-family starts jumped 10.9% to an annualized rate of 449,000, but single-family
starts fell 6.4% to an annualized rate of 820,000. On a year-over-year basis, total housing starts were down 4.7% in May.
3
TREASURY YIELDS 6/30/2019 3/31/2019 CHANGE
3 Month 2.09 2.38 (0.29)
2 Year 1.76 2.26 (0.50)
3 Year 1.71 2.21 (0.50)
5 Year 1.77 2.23 (0.46)
7 Year 1.88 2.31 (0.23)
10 Year 2.01 2.41 (0.40)
30 Year 2.51 2.81 (0.30)
4
Performance Attribution
Long-Term Portfolio
The portfolio underperformed the benchmark during the quarter, generating a return of 1.70% compared to the 1.85%
return of the ICE Bank of America Merrill Lynch 1-5 Year US Corporate and Government AAA-A Index. The predominant
driver of the performance shortfall was the term structure positioning of the portfolio, which was underweight the one to
three year portion of the maturity distribution, at the expense of shorter and longer maturity securities. Additionally, the
overall duration of the portfolio, modestly below the benchmark, detracted from the relative performance of the portfolio
during the quarter as interest rates moved lower. Based on the attribution model the sector allocation of the portfolio
was a positive contributor to the results of the portfolio, with notable outperformance due to the Corporate and Agency
allocations, but the differentiation was not enough to overcome the impact of the duration and term structure mismatch
compared to the benchmark.
Multiple securities were purchased across the Treasury, Agency, Commercial Paper and Corporate sectors of the market
to keep the portfolio invested consistent with Chandler objectives. The purchased securities ranged in maturity from May
2019 to June 2024. Given the team’s market outlook for the balance of the year, new purchases have been focused on
the wings of the maturity distribution, to move the portfolio to be more of a barbell structure. The elevated transaction
volume was partly attributable to the net $42 million contributed to the portfolio during the quarter. The sector allocation
was relatively stable during the quarter. Notably the overall exposure to the Corporate sector increased by 1.8% with the
ABS allocation declining due to paydowns in the asset class. The duration of the portfolio extended modestly, currently
2.43 compared to 2.39 at the end of the prior quarter. Interest rates dropped precipitously during the quarter and the
Chandler team will be looking to keep the duration of the portfolio close to the benchmark on a go forward basis.
Liquid Portfolio
The Liquidity Portfolio modestly outperformance the benchmark, generating a return of 0.69% compared to the 0.64%
return of the ICE Bank of America Merrill Lynch US Treasury Bill Index. Many securities were purchased across the
Treasury, Agency, Certificate of Deposit, Commercial Paper and Corporate sectors of the market to keep the portfolio fully
invested. The purchased securities ranged in maturity from May 2019 to March 2020. A net of $55 million was contributed
to the portfolio during the quarter. The sector allocation was relatively stable. The US Treasury allocation continues to
be elevated relative to the historical experience as the Agency sector typically no longer trades at a discount to the
Treasury market in short maturity notes given supply dynamics in both asset classes. Treasury Bill issuance remains
elevated, increasing yields, whereas the Agency sector is not as dependent on short term financing, lessening supply. The
duration of the portfolio was stable, currently 0.24 compared to 0.27 at the end of the prior quarter. The duration of the
portfolio is primarily driven by the cash flow needs of the District, with a large outflow set to take place at the end of July.
5
Economic Outlook
Late cycle dynamics continue to exert their influence on the capital markets with risk assets experiencing volatile, albeit
positive performance, during the quarter. The US/China trade rhetoric continues to dominate the headlines and
contribute materially to market volatility. In a disconcerting development the US/China trade impasse is having a more
material impact on other regions not directly in the cross fire of the trade deal, pushing down global sovereign bond yields,
including in the US. The Chandler team continues to view progress on intellectual property as the key element of a trade
deal from the US perspective. Given the performance of equity markets on a year-to-date basis President Trump’s
administration is content to let the negotiations drag on, viewing the US in a position of strength relative to China. The
Chandler team believes there are several catalysts to shorten the time line and provide an avenue for both sides to become
more motivated to make progress on a trade deal; a material domestic equity market sell-off or a narrowing of the field
of Democratic candidates for President. We view these as the primary catalysts, with the recent deterioration in GDP
forecasts for the second half of 2019 providing some potential to alter the time line as well.
At the beginning of the year the Chandler team’s outlook called for slower growth in 2019 compared to 2018, but
importantly GDP growth in 2019 was still forecasted to be above trend. The team was forecasting GDP growth of close to
2.5% in 2019, compared to almost 3.0% in 2018. Longer term, trend growth is the US is in the 1.8 to 1.9% range in
Chandler’s view. Coincident economic indicators in the domestic economy remain solid, with the weekly jobless claims
figures close to record lows. The traditional unemployment rate is at 3.7%, and the underemployment rate is currently at
7.2%, with the three-month moving average on non-farm payrolls most recently at 171k. The uncertainty in the global
outlook due to the trade issues is impacting the manufacturing sector globally. Notably the ISM Manufacturing index is
weakening, most recently with a valuation of 51.7 compared to 55.3 at the end of the first quarter and 54.3 at year-end.
The service sector indices are holding up better, with the ISM non-manufacturing index currently at 55.1 compared to
56.1 at the end of the first quarter and 58.0 at year-end. Overall the US consumer is in a solid position, materially reducing
the possibility of a recession in the US despite the deteriorating global backdrop and the risk of full year US GDP coming
in below beginning of year expectations.
In a material pivot from beginning of year expectations, globally central banks are poised to become accommodative in
the second half of the year. The second derivative impact of the US/China trade impasse is a materially slowing down of
global manufacturing trends, with Europe experiencing acute weakness. The Chandler team has long held the view US
rates could not rise to more normalized levels without sovereign bond yields in Europe also moving higher; during the
quarter the German 10y note declined by 26 basis points to close the quarter at -0.33%, helping to drag down US rates as
well. In the US, the market forecast for inflation deteriorated materially, with the Ten-Year Treasury Inflation Protection
security break even rate at 1.70% as of June 30 compared to 1.87% at the end of the prior quarter; still materially divergent
from a ‘normal’ valuation of 2.25% or higher. The Chandler teams believes the inability of market forecasts for inflation
to move higher is one of the primary catalysts for the US Federal Reserve turning dovish. The Chandler team expects a ¼
point reduction it the Fed Funds target at the July meeting, with another ¼ point easing likely before year end. At the
beginning of the year the Chandler team felt a ‘pause’ in the pace of monetary policy normalization would be enough of
a catalyst to move market-based measures of inflation higher, but with the US/China trade negotiations dragging on, along
with the current Administrations willingness to use the threat of tariffs to exert pressure on sovereign allies (i.e. Mexico
tariffs linked to immigration enforcement), the economic outlook has deteriorated. Chandler’s outlook calls for progress
on the US/China trade negotiations providing an opportunity for global economic growth to stabilize and improve late in
the year. If the impasse lingers into 2020, monetary policy in the US will likely have to become more aggressive to sustain
the economic expansion.
6
Strategy
Strategy highlights for the Long-Term Portfolio in coming months:
• Continue to focus on optimizing the underlying securities held in the Corporate sector allocation.
o Similar to the prior quarter the Chandler team will continue to seek out securities with attractive risk
adjusted relative value to add to the portfolio.
o New holdings in the asset class are likely to be near the five year point of the maturity distribution
considering the overall term structure objective of the current Chandler strategy.
• Utilize the new issue calendar to increase the overall exposure to the Asset Backed sector.
o The Chandler team continues to view the relative value in the sector as attractive.
o As the team is able to add Asset Backed securities to the portfolio the Treasury and/or Agency sector
exposure will likely moderate to fund the new holdings in the portfolio.
• The portfolio is likely to moderate towards more of a barbell structure given the team’s outlook for monetary
policy over the next six months.
Strategy highlights for the Liquidity Portfolio in coming months:
• Continue to ladder the Treasury and Agency exposure to coincide with forecasted liquidity needs.
• Opportunistically add Corporate, Negotiable CD and Commercial Paper exposure to the portfolio where the
additional spread compensation versus like maturity Treasury notes is attractive.
• Maintain a dedicated exposure to the Treasury sector on an ongoing basis to ensure ample liquidity in the
portfolio for unexpected cash flow needs.
7
Compliance Issues
Category Standard Comment
Treasury Issues 5 years maxmaturity; Minimum allocation of 10%Complies*
U.S. Agencies 20% max issuer; 5 years max maturity Complies
Supranational "AA" rated or better by a NRSRO; 30% maximum; 5 years max maturity; USD denominated senior unsecured
unsubordinated obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB Complies
Corporate (MTNs)"A" rated or better long term debt by a NRSRO; 30% maximum; 5% max issuer; 5 years max maturity; Issued by
corporations organized and operating within the U.S. or issued by depository institutions licensed by the U.S.Complies
Municipal Securities "A" rated or higher by a NRSRO; 10% maximum; 5% max issuer; 5 years max maturity Complies
Asset Backed/ CMOs/ Mortgage-backed "AA" rated or better by a NRSRO; "A" or higher issuer rating by a NRSRO; 20% maximum; 5% max issuer (excluding
govt agency/mbs); 5 years max maturity Complies*
Negotiable CDs "A" rated or better long term debt by a NRSRO; or "A-1"/ highest short term rating by a NRSRO; 30% maximum; 5% max
issuer; 5 years max maturity Complies
Certificates of Deposit 5% max issuer; 5 years max maturity; Secured/ collateralized Complies
Banker’s Acceptances A-1 rated or equivalent short term rating by a NRSRO; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper
A-1 rated or equivalent short term rating by a NRSRO; "A" or better long term debt issuer by a NRSRO; Issued by a
domestic corporation organized and operating in the US with AUM > $500million; 25% maximum; 5% max issuer;
270 days max maturity
Complies
Mutual Fund & Money Market Mutual
Fund
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience greater
than 5 years; 10% per one Mutual Fund; 20% max per issuer on Money Market Mutual Funds; 20% max of the
District's surplus money
Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
OCIP Not used by investment adviser Complies
Avg Duration Not to exceed 60 months - (80% to 120% of the benchmark)Complies
Max Per Issuer 5% of portfolio (except Supranationals, U.S. Government, Agencies, Mutual Fund)Complies
Maximum Maturity 5 years maximum maturity Complies*
Orange County Sanitation District Long Term
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
*The portfolio has twenty-one (21) securities with maturities greater than 5 years including four (4) CMOs, sixteen (16) MBS and one (1) treasury. All securities were inherited from the previous manager
and complied at time of purchase.
8
Category Standard Comment
Treasury Issues 1 year max maturity; Minimum allocation of 10%Complies
U.S. Agencies 20% max issuer; 1 year max maturity Complies
Supranational "AA" rated or better by a NRSRO; 30% maximum; 1 year max maturity; USD denominated senior unsecured
unsubordinated obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB Complies
Corporate (MTNs)"A" rated or better long term debt by a NRSRO; 30% maximum; 5% max issuer; 1 year max maturity; Issued by
corporations organized and operating within the U.S. or issued by depository institutions licensed by the U.S.Complies
Asset Backed/ CMOs "AA" rated or better by a NRSRO; "A" or higher issuer rating by a NRSRO; 20% maximum; 5% max issuer; 1 year max
maturity Complies
Negotiable CDs "A" rated or better long term debt by a NRSRO; or "A-1"/ highest short term rating by a NRSRO; 30% maximum; 5% max
issuer; 1 year max maturity Complies
Certificates of Deposit 5% max issuer; 1 year max maturity; Secured/collateralized Complies
Banker’s Acceptances A-1 rated or equivalent short term rating by a NRSRO; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1 rated or equivalent short term rating by a NRSRO; "A" or better long term debt issuer by a NRSRO; Issued by a domestic corporation organized and operating in the US with AUM > $500million; 25% maximum; 5% max issuer;
270 days max maturity
Complies
Mutual Fund & Money Market Mutual
Fund
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience greater
than 5 years; 10% per one Mutual Fund; 20% max per issuer on Money Market Mutual Funds; 20% max of the
District's surplus money
Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
OCIP Not used by investment adviser Complies
Prohibited Municipal Securities Complies
Prohibited Mortgage Securities Complies
Avg Duration Not to exceed 180 days; Max duration of 1/2 year Complies
Max Per Issuer 5% of portfolio (except Supranationals, U.S. Government, Agencies, Mutual Fund)Complies
Maximum Maturity 1 year maximum maturity Complies
Orange County Sanitation District Liquid
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
9
Category Standard Comment
Treasury Issues 5 years maximum maturity Complies
Supranational "AA" or better by 1 of 3 NRSROs; 30% maximum; 5% max; 5 years maturity; Includes only: IADB, IBRD, and IFC per
CGC Complies
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; 5% max issuer; 5 years max maturity Complies*
Municipal Securities "A" or higher by 1 of 3 NRSROS; 10% maximum; 5% max issuer; 5 years maximum maturity Complies
Asset Backed/ CMOs/ Mortgage-backed "AA" or better by 1 of 3 NRSROs; "A" or higher issuer rating by 1 of 3 NRSROs; 20% maximum; 5% max issuer
(excluding MBS/govt agency); 5 years max maturity Complies
Negotiable CDs "A" or better on its long term debt by 1 of 3 NRSROs ; "A1/P1" or highest short term ratings by 1 of 3 NRSROs; 30%
maximum; 5% max issuer; 5 years max maturity Complies
CDs/ TDS 5% max issuer; 5 years max maturity Complies
Banker’s Acceptances A-1, or equivalent highest short term rating by 1 of 3 NRSROS; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1, or equivalent by 1 of 3 NRSROS; "A" or better by 1 of 3 NRSROs, if long term debt issued; 25% maximum; 5% max issuer; 270 days max maturity Complies
Money Market Fund Highest rating by 2 of 3 NRSROs; 20% maximum; 10% max issuer Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
Avg Duration Not to exceed 60 months - (80% to 120% of the benchmark)Complies
Maximum Maturity 5 years maximum maturity Complies
OCSD Lehman Exposure
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
* Account holds $2 million face value (cusip 525ESC0Y6) and $600,000 face value (cusip 525ESC1B7) of defaulted Lehman Bros Holdings that were purchased by the previous manager. Complied at
time of purchase.
10
Defaulted Bonds
OCSD Lehman Exposure -Account #10284
CUSIP Security Description Par Value/Units Purchase Date Book Yield Cost ValueBook Value Mkt Price Mkt YTM Market Value Accrued Int.% of Port.Gain/Loss Moody/S&P Fitch Maturity Duration
Common Stock
SLHOPNTA4 Lehman Brothers, Inc Open Position Long Exposure0.000% Due 06/30/2019 60,641.49 11/21/20140.00%57,842.6457,842.64 0.42 0.00%25,621.03 0.00 37.05% (32,221.61)NR / NRNR 0.000.00
TOTAL Common Stock 60,641.49 0.00%57,842.6457,842.64 0.00%25,621.030.00 37.05%(32,221.61)NR / NRNR 0.000.00
US Corporate
525ESCIB7 Lehman Brothers Note-Defaulted0.000% Due 01/24/2020 600,000.00 09/19/20080.00%321,956.66321,956.66 1.69 0.00%10,140.00 0.00 14.66% (311,816.66)NR / NRNR 0.570.00
525ESC0Y6 Lehman Brothers Note-Defaulted0.000% Due 10/22/2049 2,000,000.00 09/18/20080.00%1,037,742.881,037,742.88 1.67 0.00%33,400.00 0.00 48.29% (1,004,342.88)NR / NRNR 30.330.00
TOTAL US Corporate 2,600,000.00 0.00%1,359,699.54
1,359,699.54 0.00%
43,540.00
0.00
62.95%
(1,316,159.54)
NR / NR
NR
23.40
0.00
TOTAL PORTFOLIO 2,660,641.49 0.00%1,417,542.181,417,542.18 0.00%69,161.030.00 100.00%(1,348,381.15)NR / NRNR 14.730.00
TOTAL MARKET VALUE PLUS ACCRUALS 69,161.03
11
Ratings
AAA AA A <A NR
06/30/19 9.7%65.2%16.5%0.5%8.1%
03/31/19 11.8%63.8%14.7%0.6%9.1%
Source: S&P Ratings
June 30, 2019 vs. March 31, 2019
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
AAA AA A <A NR
6/30/2019 3/31/2019
Orange County Sanitation District Long Term
AAA AA A <A NR
06/30/19 13.0%78.4%8.6%0.0%0.0%
03/31/19 24.7%65.5%9.8%0.0%0.0%
Source: S&P Ratings
June 30, 2019 vs. March 31, 2019
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
90.0%
AAA AA A <A NR
6/30/2019 3/31/2019
Orange County Sanitation District Liquid
12
HISTORICAL YIELD CURVE
$-
$100,000,000
$200,000,000
$300,000,000
$400,000,000
$500,000,000
$600,000,000
OCSD Investment Program
Quarter End Portfolio Value
Liquid Operating Monies
Long-Term Operating Monies
0.00%
1.00%
2.00%
3.00%
4.00%
JUN 2019
MAY 2019
JUN 2018
ACCOUNT SUMMARY
Beg. Values
as of 5/31/19
End Values
as of 6/30/19
Market Value 163,473,521 163,717,390
Accrued Interest 665,388 827,941
Total Market Value 164,138,910 164,545,331
Income Earned 341,503 346,977
Cont/WD 0
Par 163,900,226 163,975,571
Book Value 163,437,002 163,621,426
Cost Value 163,011,419 163,102,295
TOP ISSUERS
Government of United States 73.8%
Federal Home Loan Bank 5.1%
First American Govt Obligation 3.6%
MUFG Bank Ltd/NY 2.0%
Westpac Banking Corp NY 1.9%
PNC Financial Services Group 1.8%
HSBC Holdings PLC 1.5%
Bank of Nova Scotia Houston 1.4%
Total 91.1%
PORTFOLIO CHARACTERISTICS
Average Modified Duration 0.24
Average Coupon 1.63%
Average Purchase YTM 2.48%
Average Market YTM 2.24%
Average S&P/Moody Rating AA+/Aaa
Average Final Maturity 0.24 yrs
Average Life 0.21 yrs
CREDIT QUALITY (S&P)MATURITY DISTRIBUTIONSECTOR ALLOCATION
Portfolio Summary
As of June 30, 2019
Orange County Sanitation District Liquid
Account #10282
PERFORMANCE REVIEW
Annualized
TOTAL RATE OF RETURN 1M 3M YTD 1YR 2YRS 3YRS 5YRS 10YRS 11/30/2014
Orange County Sanitation District Liquid 0.25% 0.69% 1.32% 2.43% 1.89% 1.45% N/A N/A 1.05%
ICE BAML 3-Month US Treasury Bill Index 0.22% 0.64% 1.24% 2.31% 1.84% 1.38% N/A N/A 0.95%
Execution Time: 7/1/2019 10:05:02 PMChandler Asset Management - CONFIDENTIAL Page 1
ACCOUNT SUMMARY
Beg. Values
as of 5/31/19
End Values
as of 6/30/19
Market Value 551,609,289 555,646,234
Accrued Interest 2,631,978 2,499,840
Total Market Value 554,241,268 558,146,074
Income Earned 1,061,096 1,095,764
Cont/WD 59,106
Par 548,367,715 548,953,876
Book Value 546,906,666 548,188,549
Cost Value 546,250,527 547,578,053
TOP ISSUERS
Government of United States 30.7%
Federal Home Loan Bank 9.4%
Federal National Mortgage Assoc 8.9%
Federal Home Loan Mortgage Corp 5.8%
Inter-American Dev Bank 3.2%
First American Govt Obligation 3.1%
Honda ABS 2.5%
John Deere ABS 2.1%
Total 65.7%
PORTFOLIO CHARACTERISTICS
Average Modified Duration 2.43
Average Coupon 2.27%
Average Purchase YTM 2.36%
Average Market YTM 1.98%
Average S&P/Moody Rating AA/Aa1
Average Final Maturity 2.77 yrs
Average Life 2.55 yrs
CREDIT QUALITY (S&P)MATURITY DISTRIBUTIONSECTOR ALLOCATION
Portfolio Summary
As of June 30, 2019
Orange County Sanitation District Long Term
Account #10268
PERFORMANCE REVIEW
Annualized
TOTAL RATE OF RETURN 1M 3M YTD 1YR 2YRS 3YRS 5YRS 10YRS 11/30/2014
Orange County Sanitation District Long Term 0.69% 1.70% 3.23% 4.87% 2.46% 1.70% N/A N/A 1.74%
ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index 0.71% 1.85% 3.30% 5.13% 2.42% 1.55% N/A N/A 1.71%
ICE BAML US 1-5 Yr US Corp/Govt Rated AAA-BBB Indx 0.76% 1.91% 3.59% 5.37% 2.57% 1.75% N/A N/A 1.86%
Execution Time: 7/1/2019 9:58:22 PMChandler Asset Management - CONFIDENTIAL Page 1
Par Value Book Value Market Value Rate Yield
Balance
June 1, 2019 $55,158,735 $55,158,735 $55,158,735 2.43 2.43
Deposits:
- - -
Total Deposits - - - 2.43 2.43
Quarterly
Interest
Distribution - - - 2.43 2.43
Withdrawals:
6/4/2019 (400,000) (400,000) (400,000) 2.43 2.43
6/5/2019 (3,100,000) (3,100,000) (3,100,000)
6/12/2019 (3,600,000) (3,600,000) (3,600,000)
6/18/2019 (2,400,000) (2,400,000) (2,400,000)
6/19/2019 (5,400,000) (5,400,000) (5,400,000) 2.43 2.43
6/26/2019 (5,100,000) (5,100,000) (5,100,000) 2.43 2.43
Total Withdrawals (20,000,000) (20,000,000) (20,000,000) 2.43 2.43
Balance
June 30, 2019 $35,158,735 $35,158,735 $35,158,735 2.43 2.43
Orange County Sanitation District
Investment Transactions and Balances in the
State of California Local Agency Investment Fund
June 30, 2019
U.S. Bank
Asset Summary - Liquid
As of 06/30/2019
Industry Name Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
Cash Equivalents
COMMERCIAL PAPER 7,290,000.0000 7,196,863.05 7,246,497.80 4.43 49,634.75
FIRST AMERICAN SHORT TERM FDS 5,955,570.5100 5,955,570.51 5,955,570.51 3.64 -
US AGY - SHORT TERM CASH EQUIV 8,350,000.0000 8,297,664.44 8,326,426.00 5.09 28,761.56
Cash Equivalents Total 21,595,570.5100 21,450,098.00 21,528,494.31 13.15 78,396.31
Fixed Income
CONSUMER DISCRETIONARY 1,977,000.0000 1,972,709.91 1,975,635.87 1.21 2,925.96
FINANCE 9,890,000.0000 9,844,858.70 9,885,300.90 6.04 40,442.20
INDUSTRIAL 1,083,000.0000 1,069,484.16 1,081,516.29 0.66 12,032.13
SHORT TERM FUNDS 7,300,000.0000 7,303,983.82 7,304,306.00 4.46 322.18
TELECOMMUNICATION SERVICES 1,130,000.0000 1,114,812.80 1,129,514.10 0.69 14,701.30
U. S. GOVERNMENT 121,000,000.0000 120,346,347.68 120,821,505.00 73.79 475,157.32
Fixed Income Total 142,380,000.0000 141,652,197.07 142,197,778.16 86.85 545,581.09
Grand Total 163,975,570.5100 163,102,295.07 163,726,272.47 100.00 623,977.40
1 of 1
U.S. Bank
Asset Summary - Long-Term
As of 06/30/2019
Industry Name Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
Cash Equivalents
COMMERCIAL PAPER 11,125,000.0000 11,081,427.08 11,089,622.50 2.00 8,195.42
FIRST AMERICAN SHORT TERM FDS 15,203,201.7200 15,203,201.72 15,203,201.72 2.74 -
Cash Equivalents Total 26,328,201.7200 26,284,628.80 26,292,824.22 4.73 8,195.42
Fixed Income
CONSUMER DISCRETIONARY 6,845,000.0000 6,888,498.15 6,983,369.65 1.26 94,871.50
CONSUMER STAPLES 3,880,000.0000 3,878,991.40 4,077,996.40 0.73 199,005.00
ENERGY 9,000,000.0000 8,942,542.40 9,143,090.00 1.65 200,547.60
FINANCE 68,114,000.0000 67,169,817.21 66,845,947.31 12.03 (323,869.90)
FOREIGN CORPORATE 12,500,000.0000 12,524,750.00 12,790,150.00 2.30 265,400.00
HEALTH CARE 2,000,000.0000 1,948,640.00 2,048,160.00 0.37 99,520.00
INDUSTRIAL 9,410,000.0000 9,435,259.50 9,531,722.90 1.72 96,463.40
INFORMATION TECHNOLOGY 28,715,000.0000 28,626,584.95 29,054,180.65 5.23 427,595.70
INVESTMENT GRADE-MUNI REVENUE 4,240,000.0000 4,307,633.89 4,330,845.20 0.78 23,211.31
MTG RELATED SECURITY 46,930,801.0000 46,861,534.76 47,326,913.07 8.52 465,378.31
SUPRANATIONAL 33,005,000.0000 32,742,600.25 33,041,746.90 5.95 299,146.65
U. S. GOVERNMENT 160,806,828.7000 159,028,008.63 161,754,976.41 29.12 2,726,967.78
U.S. GOVERNMENT TIPS 11,190,920.0000 11,046,200.09 11,171,447.80 2.01 125,247.71
US AGY - LONG TERM ISSUES 128,475,000.0000 129,104,002.45 131,153,015.20 23.61 2,049,012.75
Fixed Income Total 525,112,549.7000 522,505,063.68 529,253,561.49 95.27 6,748,497.81
Grand Total 551,440,751.4200 548,789,692.48 555,546,385.71 100.00 6,756,693.23
1 of 1
The Bank of New York Mellon may utilize subsidiaries and affiliates to provide services and certain products to the Account. Subsidiaries and affiliates may be compensated for their services and products.
The value of securities set forth on this Account Statement are determined by The Bank of New York Mellon for Corporate Trust on the basis of market prices and information obtained by The Bank of New York Mellon from
unaffiliated third parties (including independent pricing vendors) ("third party pricing services"). The Bank of New York Mellon has not verified such market values or information and makes no assurances as to the accuracy or
correctness of such market values or information or that the market values set forth on this Account Statement reflect the value of the securities that can be realized upon the sale of such securities. In addition, the market values
for securities set forth in this Account Statement may differ from the market prices and information for the same securities used by other business units of The Bank of New York Mellon or its subsidiaries or affiliates based upon
market prices and information received from other third party pricing services utilized by such other business units. Corporate Trust does not compare its market values with those used by, or reconcile different market values
used by, other business units of The Bank of New York Mellon or its subsidiaries or its affiliates. The Bank of New York Mellon shall not be liable for any loss, damage or expense incurred as a result of or arising from or
related to the market values or information provided by third party pricing services or the differences in market prices or information provided by other third party pricing services.
No Transactions This Period
Accrued Estimated Market
Shares/Par Value Asset Description Market Price Market Value Cost Average Cost Income Income Yield
Realized
Transaction Date Transaction Description Income Principal Cost Gains/Losses
Statement Period 06/01/2019 Through 06/30/2019
Statement of Assets Held by Asset Classification
Statement of Transactions by Transaction Date
Account 300282 Base Currency = USD
OCSD LIBERTY MUTUAL
3,681,000.000 UNITED STATES TREASURY BILL 98.54100 3,627,294.21 3,599,335.48 97.78146 0.00 0.00 0.00%
CUSIP: 912796SH3
MATURITY DATE: 03/26/2020
RATE: 0.000%
CASH BALANCE 2,595.51 2,595.51 0.00000 0.00 0.00 0.00%
Total Market Value Plus Total Accrued Income 3,629,889.72
Cumulative realized capital gain and loss position from 12/31/2018 for securities held in principal of account:
Short Term: 46,968.75 * Long Term: 0.00 *
* The above gain and loss position does not include transactions where tax cost information is incomplete or unavailable.
CASH AND SHORT TERM
Total CASH AND SHORT TERM 3,629,889.72 3,601,930.99 0.00 0.00 0.00%
ACCOUNT TOTALS 3,629,889.72 3,601,930.99 0.00 0.00 0.00%
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2
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U.S. Bank
Investment Listing - Yield
As of 06/30/2019
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Cash Equivalents 21687BWD9 COOPERATIEVE CENTRAL C P 9/13/19 0.0000% 2,000,000.0000 99.53 1,957,864.44 1,990,620.00
Cash Equivalents 313384JV2 F H L B DISC NTS 7/31/19 0.0000% 5,500,000.0000 N/A N/A 99.82 5,461,946.11 5,489,935.00
Cash Equivalents 313384LW7 F H L B DISC NTS 9/18/19 0.0000% 2,850,000.0000 N/A N/A 99.53 2,835,718.33 2,836,491.00
Cash Equivalents 31846V567 FIRST AM GOVT OB FD CL Z 2.0227% 5,955,570.5100 1.00 5,955,570.51 5,955,570.51
Cash Equivalents 31846V567 FIRST AM GOVT OB FD CL Z 2.0227% 15,203,201.7200 1.00 15,203,201.72 15,203,201.72
Cash Equivalents 62479MVK6 MUFG BANK LTD NY BRAN C P 8/19/19 0.0000% 3,290,000.0000 99.68 3,277,114.17 3,279,537.80
Cash Equivalents 62479MVK6 MUFG BANK LTD NY BRAN C P 8/19/19 0.0000% 11,125,000.0000 99.68 11,081,427.08 11,089,622.50
Cash Equivalents 89233GAH9 TOYOTA MOTOR CREDIT CO C P 1/17/20 0.0000% 2,000,000.0000 98.82 1,961,884.44 1,976,340.00
Fixed Income 00440EAP2 ACE INA HOLDINGS 2.700% 3/13/23 2.6571% 2,000,000.0000 A3 A 101.62 1,937,000.00 2,032,300.00
Fixed Income 00440EAU1 ACE INA HOLDINGS 2.875% 11/03/22 2.8225% 4,169,000.0000 A3 A 101.86 4,232,453.17 4,246,501.71
Fixed Income 02587AAJ3 AMERICAN EXPRESS 1.930% 9/15/22 1.9339% 6,270,000.0000 AAA N/A 99.80 6,174,085.15 6,257,209.20
Fixed Income 02665WAH4 AMERICAN HONDA MTN 2.250% 8/15/19 2.2516% 1,977,000.0000 A2 A 99.93 1,972,709.91 1,975,635.87
Fixed Income 02665WAH4 AMERICAN HONDA MTN 2.250% 8/15/19 2.2516% 4,000,000.0000 A2 A 99.93 4,046,640.00 3,997,240.00
Fixed Income 02665WCJ8 AMERICAN HONDA MTN 3.450% 7/14/23 3.3079% 845,000.0000 A2 A 104.30 843,538.15 881,309.65
Fixed Income 02665WCQ AMERICAN HONDA MTN 3.625% 10/10/23 3.4445% 2,000,000.0000 A2 A 105.24 1,998,320.00 2,104,820.00
Fixed Income 03215PFN4 AMRESCO 0.00001% 6/25/29 0.0000% 133,743.2900 N/A A+ 97.55 100,432.85 130,469.25
Fixed Income 037833BS8 APPLE INC 2.250% 2/23/21 2.2420% 4,000,000.0000 AA1 AA+ 100.36 4,050,840.00 4,014,280.00
Fixed Income 037833CU2 APPLE INC 2.850% 5/11/24 2.7667% 3,000,000.0000 AA1 AA+ 103.01 3,017,760.00 3,090,330.00
Fixed Income 06051GHF9 BANK OF AMERICA 3.550% 3/05/24 3.4244% 6,675,000.0000 A2 A- 103.67 6,770,625.75 6,919,839.00
Fixed Income 06417G5Q7 BANK OF NOVA C D 2.610% 12/23/19 2.6097% 2,300,000.0000 100.01 2,300,614.40 2,300,276.00
Fixed Income 06406HCZ0 BANK OF NY MELLO MTN 2.150% 2/24/20 2.1524% 1,500,000.0000 A1 A 99.89 1,493,925.00 1,498,350.00
Fixed Income 06406HCW7 BANK OF NY MTN 2.300% 9/11/19 2.2999% 2,120,000.0000 A1 A 100.00 2,142,175.20 2,120,063.60
Fixed Income 06406RAA5 BANK OF NY MTN 2.600% 2/07/22 2.5740% 2,500,000.0000 A1 A 101.01 2,504,475.00 2,525,225.00
Fixed Income 06406RAE7 BANK OF NY MTN 2.950% 1/29/23 2.8895% 2,500,000.0000 A1 A 102.09 2,489,555.00 2,552,350.00
Fixed Income 084670BR8 BERKSHIRE HATHAWAY 2.750% 3/15/23 2.7063% 2,500,000.0000 AA2 AA 101.62 2,440,950.00 2,540,400.00
Fixed Income 084664BT7 BERKSHIRE HATHAWAY 3.000% 5/15/22 2.9182% 4,000,000.0000 AA2 AA 102.80 4,131,120.00 4,112,120.00
Fixed Income 09247XAL5 BLACKROCK INC 3.500% 3/18/24 3.2943% 1,000,000.0000 AA3 AA- 106.25 1,036,330.00 1,062,450.00
Fixed Income 808513AT2 CHARLES SCHWAB CORP 2.650% 1/25/23 2.6174% 6,750,000.0000 A2 A 101.24 6,729,480.00 6,833,970.00
Fixed Income 166764BG4 CHEVRON CORP 2.100% 5/16/21 2.0982% 2,500,000.0000 AA2 AA 100.09 2,485,350.00 2,502,200.00
Fixed Income 166764AH3 CHEVRON CORP 3.191% 6/24/23 3.0745% 3,500,000.0000 AA2 AA 103.79 3,441,095.00 3,632,580.00
Fixed Income 30231GAV4 EXXON MOBIL 2.222% 3/01/21 2.2159% 3,000,000.0000 AAA AA+ 100.28 3,016,097.40 3,008,310.00
Fixed Income 3130A1XJ2 F H L B 2.875% 6/14/24 2.7456% 11,110,000.0000 AAA AA+ 104.71 11,589,031.30 11,633,614.30
Fixed Income 3130A7CV5 F H L B DEB 1.375% 2/18/21 1.3852% 5,365,000.0000 AAA AA+ 99.27 5,343,325.40 5,325,620.90
Fixed Income 313383HU8 F H L B DEB 1.750% 6/12/20 1.7544% 5,000,000.0000 AAA AA+ 99.75 5,008,950.00 4,987,400.00
Fixed Income 313379RB7 F H L B DEB 1.875% 6/11/21 1.8745% 4,000,000.0000 AAA AA+ 100.03 4,030,160.00 4,001,080.00
Fixed Income 313383QR5 F H L B DEB 3.250% 6/09/23 3.0878% 5,000,000.0000 AAA AA+ 105.25 5,083,350.00 5,262,600.00
Fixed Income 313383YJ4 F H L B DEB 3.375% 9/08/23 3.1734% 10,000,000.0000 AAA AA+ 106.35 10,211,831.00 10,635,200.00
1 of 5
U.S. Bank
Investment Listing - Yield
As of 06/30/2019
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Fixed Income 3130A0F70 F H L B DEB 3.375% 12/08/23 3.1724% 10,000,000.0000 AAA AA+ 106.39 10,269,043.75 10,638,700.00
Fixed Income 3137EAEN5 F H L M C 2.750% 6/19/23 2.6560% 10,000,000.0000 AAA AA+ 103.54 9,956,500.00 10,354,000.00
Fixed Income 3137EADM8 F H L M C M T N 1.250% 10/02/19 1.2530% 7,500,000.0000 AAA AA+ 99.76 7,399,650.00 7,481,850.00
Fixed Income 3137EAEK1 F H L M C M T N 1.875% 11/17/20 1.8756% 5,000,000.0000 AAA AA+ 99.97 4,986,225.00 4,998,450.00
Fixed Income 3137EAEL9 F H L M C M T N 2.375% 2/16/21 2.3546% 7,500,000.0000 AAA AA+ 100.87 7,484,475.00 7,564,950.00
Fixed Income 31348SWZ3 F H L M C #786064 4.677% 1/01/28 4.5587% 1,897.9600 N/A N/A 102.59 1,851.74 1,947.19
Fixed Income 3133TCE95 F H L M C MLTCL MTG 4.016% 8/15/32 3.9882% 9,215.1500 N/A N/A 100.70 9,224.80 9,279.38
Fixed Income 31398VJ98 F H L M C MLTCL MTG 4.251% 1/25/20 4.2352% 882,281.8500 N/A N/A 100.37 932,323.78 885,572.76
Fixed Income 31394JY35 F H L M C MLTCL MTG 6.500% 9/25/43 5.5920% 709,504.7800 N/A N/A 116.24 803,514.16 824,707.07
Fixed Income 3135G0F73 F N M A 1.500% 11/30/20 1.5074% 7,500,000.0000 AAA AA+ 99.51 7,370,726.00 7,463,250.00
Fixed Income 3135G0T45 F N M A 1.875% 4/05/22 1.8716% 5,000,000.0000 AAA AA+ 100.18 4,972,500.00 5,008,950.00
Fixed Income 3135G0S38 F N M A 2.000% 1/05/22 1.9896% 3,000,000.0000 AAA AA+ 100.53 2,994,570.00 3,015,750.00
Fixed Income 3135G0V34 F N M A 2.500% 2/05/24 2.4271% 5,000,000.0000 AAA AA+ 103.01 4,980,850.00 5,150,250.00
Fixed Income 3135G0U35 F N M A 2.750% 6/22/21 2.7012% 7,500,000.0000 AAA AA+ 101.81 7,515,225.00 7,635,450.00
Fixed Income 31371NUC7 F N M A #257179 4.500% 4/01/28 4.2961% 15,154.1500 N/A N/A 104.75 16,027.00 15,873.37
Fixed Income 31376KT22 F N M A #357969 5.000% 9/01/35 4.5739% 103,945.2200 N/A N/A 109.32 111,741.10 113,627.72
Fixed Income 31381PDA3 F N M A #466397 3.400% 11/01/20 3.3649% 339,495.7400 N/A N/A 101.04 332,148.86 343,040.08
Fixed Income 31403DJZ3 F N M A #745580 5.000% 6/01/36 4.5716% 96,498.7700 N/A N/A 109.37 103,736.18 105,542.63
Fixed Income 31403GXF4 F N M A #748678 5.000% 10/01/33 4.6464% 1,807.8400 N/A N/A 107.61 1,943.43 1,945.43
Fixed Income 31406PQY8 F N M A #815971 5.000% 3/01/35 4.5758% 165,161.3700 N/A N/A 109.27 177,548.48 180,471.83
Fixed Income 31406XWT5 F N M A #823358 4.722% 2/01/35 4.5045% 110,589.1600 N/A N/A 104.83 109,725.18 115,928.40
Fixed Income 31407BXH7 F N M A #826080 5.000% 7/01/35 4.5701% 19,654.4200 N/A N/A 109.41 21,128.49 21,503.31
Fixed Income 31410F4V4 F N M A #888336 5.000% 7/01/36 4.5727% 190,095.5300 N/A N/A 109.35 204,352.69 207,859.96
Fixed Income 3138EG6F6 F N M A #AL0869 4.500% 6/01/29 4.2961% 10,650.7500 N/A N/A 104.75 11,264.22 11,156.34
Fixed Income 31417YAY3 F N M A #MA0022 4.500% 4/01/29 4.2961% 17,384.6900 N/A N/A 104.75 18,386.02 18,209.59
Fixed Income 3135G0J20 F N M A DEB 1.375% 2/26/21 1.3857% 10,000,000.0000 AAA AA+ 99.23 10,040,950.00 9,923,100.00
Fixed Income 3135G0D75 F N M A DEB 1.500% 6/22/20 1.5077% 5,000,000.0000 AAA AA+ 99.49 4,955,650.00 4,974,500.00
Fixed Income 3135G0T94 F N M A DEB 2.375% 1/19/23 2.3292% 5,000,000.0000 AAA AA+ 101.97 4,910,990.00 5,098,300.00
Fixed Income 31397QRE0 F N M A GTD REMIC 1.113% 2/25/41 2.9189% 197,419.0500 N/A N/A 100.93 197,357.36 199,253.07
Fixed Income 36225CAZ9 G N M A I I #080023 4.125% 12/20/26 4.0007% 16,750.7000 N/A N/A 103.11 17,027.43 17,271.14
Fixed Income 36225CC20 G N M A I I #080088 3.625% 6/20/27 3.5732% 16,750.8100 N/A N/A 101.45 17,117.25 16,993.70
Fixed Income 36225CNM4 G N M A I I #080395 3.625% 4/20/30 3.5031% 6,828.7000 N/A N/A 103.48 6,766.79 7,066.41
Fixed Income 36225CN28 G N M A I I #080408 3.625% 5/20/30 3.5031% 53,155.6000 N/A N/A 103.48 52,615.74 55,005.95
Fixed Income 36225DCB8 G N M A I I #080965 3.750% 7/20/34 3.5932% 47,185.9400 N/A N/A 104.36 47,156.45 49,245.13
Fixed Income 369550BE7 GENERAL DYNAMICS 3.000% 5/11/21 2.9522% 3,160,000.0000 A2 A+ 101.62 3,138,038.00 3,211,160.40
Fixed Income 43814RAC0 HONDA AUTO 1.210% 12/18/20 1.2146% 949,016.1100 N/A AAA 99.62 938,599.17 945,400.36
Fixed Income 43814QAC2 HONDA AUTO 1.390% 4/15/20 1.3909% 6,808.6400 AAA N/A 99.94 6,808.51 6,804.35
2 of 5
U.S. Bank
Investment Listing - Yield
As of 06/30/2019
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Fixed Income 43814PAC4 HONDA AUTO 1.790% 9/20/21 1.7948% 2,692,110.0900 N/A AAA 99.73 2,649,414.90 2,684,895.23
Fixed Income 43814WAB1 HONDA AUTO 2.750% 9/20/21 2.7401% 4,395,000.0000 N/A AAA 100.36 4,394,716.96 4,410,865.95
Fixed Income 43815HAC1 HONDA AUTO 2.950% 8/22/22 2.9136% 3,970,000.0000 AAA N/A 101.25 3,969,455.32 4,019,625.00
Fixed Income 43814UAG4 HONDA AUTO 3.010% 5/18/22 2.9730% 1,710,000.0000 N/A AAA 101.25 1,709,962.72 1,731,289.50
Fixed Income 404280BF5 HSBC HOLDINGS PLC 2.650% 1/05/22 2.6398% 4,500,000.0000 A2 A 100.39 4,429,980.00 4,517,460.00
Fixed Income 40428HPR7 HSBC USA INC MTN 2.350% 3/05/20 2.3499% 2,500,000.0000 A2 A 100.00 2,493,300.00 2,500,100.00
Fixed Income 40428HPR7 HSBC USA INC MTN 2.350% 3/05/20 2.3499% 2,500,000.0000 A2 A 100.00 2,472,287.50 2,500,100.00
Fixed Income 44932HAH6 IBM CREDIT CORP 3.000% 2/06/23 2.9323% 5,670,000.0000 A2 A 102.31 5,603,264.40 5,800,863.60
Fixed Income 458140BD1 INTEL CORP 2.875% 5/11/24 2.7932% 5,000,000.0000 A1 A+ 102.93 5,025,900.00 5,146,450.00
Fixed Income 4581X0CS5 INTER AMER BK M T N 1.875% 3/15/21 1.8746% 5,000,000.0000 AAA AAA 100.02 5,059,610.00 5,001,150.00
Fixed Income 4581X0CX4 INTER AMER DEV BK 1.625% 5/12/20 1.6313% 3,035,000.0000 AAA AAA 99.62 3,027,807.05 3,023,345.60
Fixed Income 4581X0CZ9 INTER AMER DEV BK 1.750% 9/14/22 1.7526% 6,500,000.0000 N/A N/A 99.85 6,249,655.00 6,490,380.00
Fixed Income 4581X0CW6 INTER AMER DEV BK 2.125% 1/18/22 2.1082% 3,000,000.0000 AAA N/A 100.80 2,996,310.00 3,023,910.00
Fixed Income 459058FY4 INTL BK 2.000% 1/26/22 1.9894% 10,000,000.0000 AAA N/A 100.53 10,006,350.00 10,053,200.00
Fixed Income 45950KCM0 INTL BK M T N 2.250% 1/25/21 2.2382% 2,970,000.0000 AAA AAA 100.53 2,961,268.20 2,985,711.30
Fixed Income 45950KCJ7 INTL FINANCE CORP 1.125% 7/20/21 1.1414% 2,500,000.0000 AAA AAA 98.56 2,441,600.00 2,464,050.00
Fixed Income 24422ESS9 JOHN DEERE CAP MTN 2.300% 9/16/19 2.3006% 5,000,000.0000 A2 A 99.98 5,046,984.00 4,998,800.00
Fixed Income 24422EUM9 JOHN DEERE MTN 3.650% 10/12/23 3.4518% 1,250,000.0000 A2 A 105.74 1,250,237.50 1,321,762.50
Fixed Income 47788NAD0 JOHN DEERE OWNER 1.490% 5/15/23 1.4935% 1,151,000.0000 AAA N/A 99.77 1,131,936.56 1,148,329.68
Fixed Income 47788BAD6 JOHN DEERE OWNER 1.820% 10/15/21 1.8247% 547,103.9700 AAA N/A 99.74 547,063.92 545,697.91
Fixed Income 47788CAB8 JOHN DEERE OWNER 2.420% 10/15/20 2.4202% 596,531.9200 AAA N/A 99.99 595,320.22 596,484.20
Fixed Income 47788CAC6 JOHN DEERE OWNER 2.660% 4/18/22 2.6479% 1,340,000.0000 AAA N/A 100.46 1,339,903.65 1,346,137.20
Fixed Income 47789JAB2 JOHN DEERE OWNER 2.850% 12/15/21 2.8333% 3,265,000.0000 AAA N/A 100.59 3,264,851.12 3,284,230.85
Fixed Income 47788EAC2 JOHN DEERE OWNER 3.080% 11/15/22 3.0390% 4,630,000.0000 AAA N/A 101.35 4,629,649.05 4,692,412.40
Fixed Income 46625HRL6 JP MORGAN CHASE CO 2.700% 5/18/23 2.6726% 5,000,000.0000 A2 A- 101.03 4,821,910.00 5,051,250.00
Fixed Income 46625HKA7 JPMORGAN CHASE CO 2.250% 1/23/20 2.2507% 1,500,000.0000 A2 A- 99.97 1,490,940.00 1,499,535.00
Fixed Income 46625HKA7 JPMORGAN CHASE CO 2.250% 1/23/20 2.2507% 2,000,000.0000 A2 A- 99.97 1,994,880.00 1,999,380.00
Fixed Income 525ESC0Y6 LEHMAN BRTH HLD ESC 0.0000% 2,000,000.0000 - 1,037,742.88 -
Fixed Income 525ESCIB7 LEHMAN BRTH MTN ES 0.00001% 1/24/13 0.0006% 600,000.0000 N/A N/A 1.69 321,956.66 10,140.00
Fixed Income 58933YAF2 MERCK CO INC 2.800% 5/18/23 2.7342% 2,000,000.0000 A1 AA 102.41 1,948,640.00 2,048,160.00
Fixed Income 594918BP8 MICROSOFT CORP 1.550% 8/08/21 1.5633% 3,045,000.0000 AAA AAA 99.15 3,041,385.15 3,019,087.05
Fixed Income 61747WAL3 MORGAN STANLEY 5.500% 7/28/21 5.1767% 2,800,000.0000 A3 BBB+ 106.25 3,200,848.00 2,974,888.00
Fixed Income 64971M5E8 NEW YORK CITY NY 4.075% 11/01/20 3.9654% 1,400,000.0000 AA1 AAA 102.76 1,400,000.00 1,438,682.00
Fixed Income 65478VAD9 NISSAN AUTO 1.320% 1/15/21 1.3236% 499,041.7800 AAA N/A 99.73 495,045.55 497,689.38
Fixed Income 65477UAD2 NISSAN AUTO 1.500% 9/15/21 1.5008% 217,968.1200 AAA N/A 99.95 216,605.82 217,854.78
Fixed Income 65478GAD2 NISSAN AUTO 1.750% 10/15/21 1.7554% 2,625,000.0000 AAA N/A 99.69 2,584,291.99 2,616,941.25
Fixed Income 65479GAD1 NISSAN AUTO 3.060% 3/15/23 3.0113% 3,560,000.0000 AAA AAA 101.62 3,559,884.66 3,617,565.20
3 of 5
U.S. Bank
Investment Listing - Yield
As of 06/30/2019
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Fixed Income 68389XBK0 ORACLE CORP 1.900% 9/15/21 1.9097% 3,000,000.0000 A1 A+ 99.49 2,892,240.00 2,984,820.00
Fixed Income 69371RN36 PACCAR FINANCIAL MTN 1.200% 8/12/19 1.2016% 1,083,000.0000 A1 A+ 99.86 1,069,484.16 1,081,516.29
Fixed Income 69353REX2 PNC BANK MTN 1.450% 7/29/19 1.4510% 1,890,000.0000 WR N/R 99.93 1,872,668.70 1,888,695.90
Fixed Income 69353RFL7 PNC BANK NA 3.500% 6/08/23 3.3477% 5,000,000.0000 A2 A 104.55 4,993,318.05 5,227,500.00
Fixed Income 69353RDZ8 PNC BANK NA MTN 2.400% 10/18/19 2.3999% 1,000,000.0000 A2 A 100.00 999,000.00 1,000,030.00
Fixed Income 69353RFB9 PNC BANK NA MTN 2.625% 2/17/22 2.6027% 1,000,000.0000 A2 A 100.86 974,940.00 1,008,560.00
Fixed Income 73358WAG9 PORT AUTH NY NJ 5.309% 12/01/19 5.2436% 2,440,000.0000 AA3 AA- 101.25 2,507,633.89 2,470,451.20
Fixed Income 747525AD5 QUALCOMM INC 2.250% 5/20/20 2.2507% 5,000,000.0000 A2 A- 99.97 4,995,195.40 4,998,350.00
Fixed Income 83162CLJ0 S B A GTD DEV PART 6.340% 3/01/21 6.2154% 14,686.0600 N/A N/A 102.01 14,686.06 14,980.52
Fixed Income 78445JAA5 S L M A 4.12559% 4/25/23 4.0798% 14,014.5400 BAA3 B 101.12 13,957.68 14,171.78
Fixed Income 89114MM20 TORONTO DOMINION C D 2.470% 9/30/19 2.4689% 2,000,000.0000 100.04 2,000,066.62 2,000,880.00
Fixed Income 89114QCA4 TORONTO DOMINION MTN 2.650% 6/12/24 2.6263% 3,000,000.0000 AA3 A 100.90 3,000,570.00 3,027,090.00
Fixed Income 89114QC48 TORONTO MTN 3.500% 7/19/23 3.3361% 5,000,000.0000 AA1 AA- 104.91 5,094,200.00 5,245,600.00
Fixed Income 89238BAB8 TOYOTA AUTO 2.100% 10/15/20 2.1015% 1,724,177.0000 AAA AAA 99.93 1,724,000.78 1,722,952.83
Fixed Income 89239AAB9 TOYOTA AUTO 2.830% 10/15/21 2.8179% 3,615,000.0000 AAA AAA 100.43 3,614,671.76 3,630,472.20
Fixed Income 912828WU0 U S TREASURY I P S 0.125% 7/15/24 0.1252% 11,190,920.0000 AAA N/A 99.83 11,046,200.09 11,171,447.80
Fixed Income 912828TH3 U S TREASURY NT 0.875% 7/31/19 0.8760% 15,000,000.0000 WR N/A 99.89 14,874,023.44 14,982,900.00
Fixed Income 912828TR1 U S TREASURY NT 1.000% 9/30/19 1.0029% 10,000,000.0000 AAA N/A 99.72 9,937,500.00 9,971,500.00
Fixed Income 912828T34 U S TREASURY NT 1.125% 9/30/21 1.1400% 7,000,000.0000 AAA N/A 98.68 6,757,914.08 6,907,600.00
Fixed Income 912828H52 U S TREASURY NT 1.250% 1/31/20 1.2562% 13,500,000.0000 AAA N/A 99.51 13,396,542.97 13,433,580.00
Fixed Income 912828T67 U S TREASURY NT 1.250% 10/31/21 1.2641% 6,000,000.0000 AAA N/A 98.89 5,813,691.98 5,933,220.00
Fixed Income 912828N89 U S TREASURY NT 1.375% 1/31/21 1.3847% 6,000,000.0000 AAA N/A 99.30 5,895,840.41 5,957,820.00
Fixed Income 9128282K5 U S TREASURY NT 1.375% 7/31/19 1.3760% 35,000,000.0000 WR N/A 99.93 34,810,156.26 34,974,450.00
Fixed Income 9128282X7 U S TREASURY NT 1.375% 9/30/19 1.3779% 10,000,000.0000 AAA N/A 99.79 9,962,500.00 9,979,300.00
Fixed Income 912828L99 U S TREASURY NT 1.375% 10/31/20 1.3840% 10,000,000.0000 AAA N/A 99.35 9,850,311.40 9,935,200.00
Fixed Income 912828XE5 U S TREASURY NT 1.500% 5/31/20 1.5069% 5,000,000.0000 AAA N/A 99.54 4,966,423.00 4,976,950.00
Fixed Income 912828F62 U S TREASURY NT 1.500% 10/31/19 1.5031% 2,500,000.0000 AAA N/A 99.79 2,486,718.75 2,494,825.00
Fixed Income 912828G61 U S TREASURY NT 1.500% 11/30/19 1.5039% 7,500,000.0000 AAA N/A 99.74 7,449,634.50 7,480,650.00
Fixed Income 912828R69 U S TREASURY NT 1.625% 5/31/23 1.6314% 5,000,000.0000 AAA N/A 99.61 4,757,226.56 4,980,300.00
Fixed Income 912828WS5 U S TREASURY NT 1.625% 6/30/19 1.6250% 2,000,000.0000 WR N/A 1.00 1,996,861.44 2,000,000.00
Fixed Income 912828WW U S TREASURY NT 1.625% 7/31/19 1.6258% 20,000,000.0000 WR N/A 99.95 19,923,437.51 19,989,600.00
Fixed Income 912828WW U S TREASURY NT 1.625% 7/31/19 1.6258% 5,000,000.0000 WR N/A 99.95 5,012,388.70 4,997,400.00
Fixed Income 912828J76 U S TREASURY NT 1.750% 3/31/22 1.7489% 5,000,000.0000 AAA N/A 100.06 4,976,383.94 5,003,150.00
Fixed Income 912828XW5 U S TREASURY NT 1.750% 6/30/22 1.7478% 5,000,000.0000 AAA N/A 100.13 4,973,454.25 5,006,250.00
Fixed Income 912828F39 U S TREASURY NT 1.750% 9/30/19 1.7518% 5,800,000.0000 AAA N/A 99.90 5,873,186.87 5,793,910.00
Fixed Income 912828L57 U S TREASURY NT 1.750% 9/30/22 1.7488% 13,000,000.0000 AAA N/A 100.07 12,763,554.69 13,009,100.00
Fixed Income 912828U65 U S TREASURY NT 1.750% 11/30/21 1.7495% 7,000,000.0000 AAA N/A 100.03 6,900,492.20 7,002,170.00
4 of 5
U.S. Bank
Investment Listing - Yield
As of 06/30/2019
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Fixed Income 912828V72 U S TREASURY NT 1.875% 1/31/22 1.8684% 3,000,000.0000 AAA N/A 100.35 3,004,814.74 3,010,560.00
Fixed Income 912828L24 U S TREASURY NT 1.875% 8/31/22 1.8666% 6,000,000.0000 AAA N/A 100.45 5,987,832.60 6,026,940.00
Fixed Income 9128283S7 U S TREASURY NT 2.000% 1/31/20 2.0006% 15,000,000.0000 AAA N/A 99.97 14,955,468.75 14,995,350.00
Fixed Income 912828M80 U S TREASURY NT 2.000% 11/30/22 1.9821% 8,000,000.0000 AAA N/A 100.90 7,907,500.00 8,072,160.00
Fixed Income 912828W48 U S TREASURY NT 2.125% 2/29/24 2.0905% 10,000,000.0000 AAA N/A 101.65 9,911,718.75 10,164,800.00
Fixed Income 912828U57 U S TREASURY NT 2.125% 11/30/23 2.0916% 15,000,000.0000 AAA N/A 101.60 14,723,632.81 15,239,700.00
Fixed Income 912828N30 U S TREASURY NT 2.125% 12/31/22 2.0964% 5,000,000.0000 AAA N/A 101.36 4,926,562.50 5,068,150.00
Fixed Income 912828V80 U S TREASURY NT 2.250% 1/31/24 2.2023% 7,500,000.0000 AAA 102.17 7,491,503.91 7,662,600.00
Fixed Income 9128284D9 U S TREASURY NT 2.500% 3/31/23 2.4322% 10,000,000.0000 AAA N/A 102.79 9,887,265.63 10,278,900.00
Fixed Income 912828WJ5 U S TREASURY NT 2.500% 5/15/24 2.4170% 7,000,000.0000 AAA N/A 103.43 7,193,046.88 7,240,380.00
Fixed Income 913366EJ5 UNIV OF CALIFORNIA 5.035% 5/15/21 4.7758% 400,000.0000 AA3 AA- 105.43 400,000.00 421,712.00
Fixed Income 90331HNL3 US BANK NA MTN 2.850% 1/23/23 2.7992% 5,000,000.0000 A1 AA- 101.82 4,981,600.00 5,090,800.00
Fixed Income 931142EK5 WALMART INC 3.400% 6/26/23 3.2349% 3,880,000.0000 AA2 AA 105.10 3,878,991.40 4,077,996.40
Fixed Income 25468PDL7 WALT DISNEY MTN 0.875% 7/12/19 0.8754% 1,130,000.0000 WR A 99.96 1,114,812.80 1,129,514.10
Fixed Income 94974BGM6 WELLS FARGO CO MTN 2.600% 7/22/20 2.5915% 5,000,000.0000 A2 A- 100.33 5,001,650.00 5,016,450.00
Fixed Income 94974BGF1 WELLS FARGO MTN 2.150% 1/30/20 2.1520% 1,000,000.0000 A2 A- 99.91 996,600.00 999,060.00
Fixed Income 94988J5G8 WELLS FARGO MTN 2.150% 12/06/19 2.1520% 500,000.0000 AA2 A+ 99.91 498,425.00 499,530.00
Fixed Income 95000U2B8 WELLS FARGO MTN 2.625% 7/22/22 2.6062% 3,000,000.0000 A2 A- 100.72 2,954,520.00 3,021,660.00
Fixed Income 96130ABJ6 WESTPAC BKING C D 2.970% 9/13/19 2.9673% 1,500,000.0000 100.09 1,500,000.00 1,501,380.00
Fixed Income 96130AAK4 WESTPAC BKING C D 2.970% 10/18/19 2.9665% 1,500,000.0000 100.12 1,503,302.80 1,501,770.00
Total Consolidated 719,272,658.18
5 of 5
U.S. Bank
Asset Detail - Consolidated
As of 06/30/2019
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
Cash Equivalents Total
21687BWD9 COOPERATIEVE CENTRAL C P 9/13/19 99.53 2,000,000.00 1,957,864.44 1,990,620.00 0.28 32,755.56
313384JV2 F H L B DISC NTS 7/31/19 99.82 5,500,000.00 5,461,946.11 5,489,935.00 0.76 27,988.89
313384LW7 F H L B DISC NTS 9/18/19 99.53 2,850,000.00 2,835,718.33 2,836,491.00 0.39 772.67
31846V567 FIRST AM GOVT OB FD CL Z 1.00 5,955,570.51 5,955,570.51 5,955,570.51 0.83 -
31846V567 FIRST AM GOVT OB FD CL Z 1.00 15,203,201.72 15,203,201.72 15,203,201.72 2.11 -
62479MVK6 MUFG BANK LTD NY BRAN C P 8/19/19 99.68 11,125,000.00 11,081,427.08 11,089,622.50 1.54 8,195.42
62479MVK6 MUFG BANK LTD NY BRAN C P 8/19/19 99.68 3,290,000.00 3,277,114.17 3,279,537.80 0.46 2,423.63
89233GAH9 TOYOTA MOTOR CREDIT CO C P 1/17/20 98.82 2,000,000.00 1,961,884.44 1,976,340.00 0.27 14,455.56
Cash Equivalents Total 47,923,772.2300 47,734,726.8000 47,821,318.5300 6.6486 86,591.7300
Fixed Income
00440EAP2 ACE INA HOLDINGS 2.700% 3/13/23 101.62 2,000,000.00 1,937,000.00 2,032,300.00 0.28 95,300.00
00440EAU1 ACE INA HOLDINGS 2.875% 11/03/22 101.86 4,169,000.00 4,232,453.17 4,246,501.71 0.59 14,048.54
02587AAJ3 AMERICAN EXPRESS 1.930% 9/15/22 99.80 6,270,000.00 6,174,085.15 6,257,209.20 0.87 83,124.05
02665WAH4 AMERICAN HONDA MTN 2.250% 8/15/19 99.93 1,977,000.00 1,972,709.91 1,975,635.87 0.27 2,925.96
02665WAH4 AMERICAN HONDA MTN 2.250% 8/15/19 99.93 4,000,000.00 4,046,640.00 3,997,240.00 0.56 (49,400.00)
02665WCJ8 AMERICAN HONDA MTN 3.450% 7/14/23 104.30 845,000.00 843,538.15 881,309.65 0.12 37,771.50
02665WCQ2 AMERICAN HONDA MTN 3.625% 10/10/23 105.24 2,000,000.00 1,998,320.00 2,104,820.00 0.29 106,500.00
03215PFN4 AMRESCO 0.00001% 6/25/29 97.55 133,743.29 100,432.85 130,469.25 0.02 30,036.40
037833BS8 APPLE INC 2.250% 2/23/21 100.36 4,000,000.00 4,050,840.00 4,014,280.00 0.56 (36,560.00)
037833CU2 APPLE INC 2.850% 5/11/24 103.01 3,000,000.00 3,017,760.00 3,090,330.00 0.43 72,570.00
06051GHF9 BANK OF AMERICA 3.550% 3/05/24 103.67 6,675,000.00 6,770,625.75 6,919,839.00 0.96 149,213.25
06417G5Q7 BANK OF NOVA C D 2.610% 12/23/19 100.01 2,300,000.00 2,300,614.40 2,300,276.00 0.32 (338.40)
06406HCZ0 BANK OF NY MELLO MTN 2.150% 2/24/20 99.89 1,500,000.00 1,493,925.00 1,498,350.00 0.21 4,425.00
06406HCW7 BANK OF NY MTN 2.300% 9/11/19 100.00 2,120,000.00 2,142,175.20 2,120,063.60 0.29 (22,111.60)
06406RAA5 BANK OF NY MTN 2.600% 2/07/22 101.01 2,500,000.00 2,504,475.00 2,525,225.00 0.35 20,750.00
06406RAE7 BANK OF NY MTN 2.950% 1/29/23 102.09 2,500,000.00 2,489,555.00 2,552,350.00 0.35 62,795.00
084670BR8 BERKSHIRE HATHAWAY 2.750% 3/15/23 101.62 2,500,000.00 2,440,950.00 2,540,400.00 0.35 99,450.00
084664BT7 BERKSHIRE HATHAWAY 3.000% 5/15/22 102.80 4,000,000.00 4,131,120.00 4,112,120.00 0.57 (19,000.00)
09247XAL5 BLACKROCK INC 3.500% 3/18/24 106.25 1,000,000.00 1,036,330.00 1,062,450.00 0.15 26,120.00
808513AT2 CHARLES SCHWAB CORP 2.650% 1/25/23 101.24 6,750,000.00 6,729,480.00 6,833,970.00 0.95 104,490.00
166764BG4 CHEVRON CORP 2.100% 5/16/21 100.09 2,500,000.00 2,485,350.00 2,502,200.00 0.35 16,850.00
166764AH3 CHEVRON CORP 3.191% 6/24/23 103.79 3,500,000.00 3,441,095.00 3,632,580.00 0.51 191,485.00
30231GAV4 EXXON MOBIL 2.222% 3/01/21 100.28 3,000,000.00 3,016,097.40 3,008,310.00 0.42 (7,787.40)
3130A1XJ2 F H L B 2.875% 6/14/24 104.71 11,110,000.00 11,589,031.30 11,633,614.30 1.62 44,583.00
3130A7CV5 F H L B DEB 1.375% 2/18/21 99.27 5,365,000.00 5,343,325.40 5,325,620.90 0.74 (17,704.50)
313383HU8 F H L B DEB 1.750% 6/12/20 99.75 5,000,000.00 5,008,950.00 4,987,400.00 0.69 (21,550.00)
313379RB7 F H L B DEB 1.875% 6/11/21 100.03 4,000,000.00 4,030,160.00 4,001,080.00 0.56 (29,080.00)
313383QR5 F H L B DEB 3.250% 6/09/23 105.25 5,000,000.00 5,083,350.00 5,262,600.00 0.73 179,250.00
313383YJ4 F H L B DEB 3.375% 9/08/23 106.35 10,000,000.00 10,211,831.00 10,635,200.00 1.48 423,369.00
3130A0F70 F H L B DEB 3.375% 12/08/23 106.39 10,000,000.00 10,269,043.75 10,638,700.00 1.48 369,656.25
1 of 5
U.S. Bank
Asset Detail - Consolidated
As of 06/30/2019
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
3137EAEN5 F H L M C 2.750% 6/19/23 103.54 10,000,000.00 9,956,500.00 10,354,000.00 1.44 397,500.00
3137EADM8 F H L M C M T N 1.250% 10/02/19 99.76 7,500,000.00 7,399,650.00 7,481,850.00 1.04 82,200.00
3137EAEK1 F H L M C M T N 1.875% 11/17/20 99.97 5,000,000.00 4,986,225.00 4,998,450.00 0.69 12,225.00
3137EAEL9 F H L M C M T N 2.375% 2/16/21 100.87 7,500,000.00 7,484,475.00 7,564,950.00 1.05 80,475.00
31348SWZ3 F H L M C #786064 4.677% 1/01/28 102.59 1,897.96 1,851.74 1,947.19 0.00 95.45
3133TCE95 F H L M C MLTCL MTG 4.016% 8/15/32 100.70 9,215.15 9,224.80 9,279.38 0.00 54.58
31398VJ98 F H L M C MLTCL MTG 4.251% 1/25/20 100.37 882,281.85 932,323.78 885,572.76 0.12 (46,751.02)
31394JY35 F H L M C MLTCL MTG 6.500% 9/25/43 116.24 709,504.78 803,514.16 824,707.07 0.11 21,192.91
3135G0F73 F N M A 1.500% 11/30/20 99.51 7,500,000.00 7,370,726.00 7,463,250.00 1.04 92,524.00
3135G0T45 F N M A 1.875% 4/05/22 100.18 5,000,000.00 4,972,500.00 5,008,950.00 0.70 36,450.00
3135G0S38 F N M A 2.000% 1/05/22 100.53 3,000,000.00 2,994,570.00 3,015,750.00 0.42 21,180.00
3135G0V34 F N M A 2.500% 2/05/24 103.01 5,000,000.00 4,980,850.00 5,150,250.00 0.72 169,400.00
3135G0U35 F N M A 2.750% 6/22/21 101.81 7,500,000.00 7,515,225.00 7,635,450.00 1.06 120,225.00
31371NUC7 F N M A #257179 4.500% 4/01/28 104.75 15,154.15 16,027.00 15,873.37 0.00 (153.63)
31376KT22 F N M A #357969 5.000% 9/01/35 109.32 103,945.22 111,741.10 113,627.72 0.02 1,886.62
31381PDA3 F N M A #466397 3.400% 11/01/20 101.04 339,495.74 332,148.86 343,040.08 0.05 10,891.22
31403DJZ3 F N M A #745580 5.000% 6/01/36 109.37 96,498.77 103,736.18 105,542.63 0.01 1,806.45
31403GXF4 F N M A #748678 5.000% 10/01/33 107.61 1,807.84 1,943.43 1,945.43 0.00 2.00
31406PQY8 F N M A #815971 5.000% 3/01/35 109.27 165,161.37 177,548.48 180,471.83 0.03 2,923.35
31406XWT5 F N M A #823358 4.722% 2/01/35 104.83 110,589.16 109,725.18 115,928.40 0.02 6,203.22
31407BXH7 F N M A #826080 5.000% 7/01/35 109.41 19,654.42 21,128.49 21,503.31 0.00 374.82
31410F4V4 F N M A #888336 5.000% 7/01/36 109.35 190,095.53 204,352.69 207,859.96 0.03 3,507.27
3138EG6F6 F N M A #AL0869 4.500% 6/01/29 104.75 10,650.75 11,264.22 11,156.34 0.00 (107.88)
31417YAY3 F N M A #MA0022 4.500% 4/01/29 104.75 17,384.69 18,386.02 18,209.59 0.00 (176.43)
3135G0J20 F N M A DEB 1.375% 2/26/21 99.23 10,000,000.00 10,040,950.00 9,923,100.00 1.38 (117,850.00)
3135G0D75 F N M A DEB 1.500% 6/22/20 99.49 5,000,000.00 4,955,650.00 4,974,500.00 0.69 18,850.00
3135G0T94 F N M A DEB 2.375% 1/19/23 101.97 5,000,000.00 4,910,990.00 5,098,300.00 0.71 187,310.00
31397QRE0 F N M A GTD REMIC 1.113% 2/25/41 100.93 197,419.05 197,357.36 199,253.07 0.03 1,895.71
36225CAZ9 G N M A I I #080023 4.125% 12/20/26 103.11 16,750.70 17,027.43 17,271.14 0.00 243.71
36225CC20 G N M A I I #080088 3.625% 6/20/27 101.45 16,750.81 17,117.25 16,993.70 0.00 (123.55)
36225CNM4 G N M A I I #080395 3.625% 4/20/30 103.48 6,828.70 6,766.79 7,066.41 0.00 299.62
36225CN28 G N M A I I #080408 3.625% 5/20/30 103.48 53,155.60 52,615.74 55,005.95 0.01 2,390.21
36225DCB8 G N M A I I #080965 3.750% 7/20/34 104.36 47,185.94 47,156.45 49,245.13 0.01 2,088.68
369550BE7 GENERAL DYNAMICS 3.000% 5/11/21 101.62 3,160,000.00 3,138,038.00 3,211,160.40 0.45 73,122.40
43814RAC0 HONDA AUTO 1.210% 12/18/20 99.62 949,016.11 938,599.17 945,400.36 0.13 6,801.19
43814QAC2 HONDA AUTO 1.390% 4/15/20 99.94 6,808.64 6,808.51 6,804.35 0.00 (4.16)
43814PAC4 HONDA AUTO 1.790% 9/20/21 99.73 2,692,110.09 2,649,414.90 2,684,895.23 0.37 35,480.33
43814WAB1 HONDA AUTO 2.750% 9/20/21 100.36 4,395,000.00 4,394,716.96 4,410,865.95 0.61 16,148.99
43815HAC1 HONDA AUTO 2.950% 8/22/22 101.25 3,970,000.00 3,969,455.32 4,019,625.00 0.56 50,169.68
43814UAG4 HONDA AUTO 3.010% 5/18/22 101.25 1,710,000.00 1,709,962.72 1,731,289.50 0.24 21,326.78
404280BF5 HSBC HOLDINGS PLC 2.650% 1/05/22 100.39 4,500,000.00 4,429,980.00 4,517,460.00 0.63 87,480.00
40428HPR7 HSBC USA INC MTN 2.350% 3/05/20 100.00 2,500,000.00 2,493,300.00 2,500,100.00 0.35 6,800.00
2 of 5
U.S. Bank
Asset Detail - Consolidated
As of 06/30/2019
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
40428HPR7 HSBC USA INC MTN 2.350% 3/05/20 100.00 2,500,000.00 2,472,287.50 2,500,100.00 0.35 27,812.50
44932HAH6 IBM CREDIT CORP 3.000% 2/06/23 102.31 5,670,000.00 5,603,264.40 5,800,863.60 0.81 197,599.20
458140BD1 INTEL CORP 2.875% 5/11/24 102.93 5,000,000.00 5,025,900.00 5,146,450.00 0.72 120,550.00
4581X0CS5 INTER AMER BK M T N 1.875% 3/15/21 100.02 5,000,000.00 5,059,610.00 5,001,150.00 0.70 (58,460.00)
4581X0CX4 INTER AMER DEV BK 1.625% 5/12/20 99.62 3,035,000.00 3,027,807.05 3,023,345.60 0.42 (4,461.45)
4581X0CZ9 INTER AMER DEV BK 1.750% 9/14/22 99.85 6,500,000.00 6,249,655.00 6,490,380.00 0.90 240,725.00
4581X0CW6 INTER AMER DEV BK 2.125% 1/18/22 100.80 3,000,000.00 2,996,310.00 3,023,910.00 0.42 27,600.00
459058FY4 INTL BK 2.000% 1/26/22 100.53 10,000,000.00 10,006,350.00 10,053,200.00 1.40 46,850.00
45950KCM0 INTL BK M T N 2.250% 1/25/21 100.53 2,970,000.00 2,961,268.20 2,985,711.30 0.42 24,443.10
45950KCJ7 INTL FINANCE CORP 1.125% 7/20/21 98.56 2,500,000.00 2,441,600.00 2,464,050.00 0.34 22,450.00
24422ESS9 JOHN DEERE CAP MTN 2.300% 9/16/19 99.98 5,000,000.00 5,046,984.00 4,998,800.00 0.69 (48,184.00)
24422EUM9 JOHN DEERE MTN 3.650% 10/12/23 105.74 1,250,000.00 1,250,237.50 1,321,762.50 0.18 71,525.00
47788NAD0 JOHN DEERE OWNER 1.490% 5/15/23 99.77 1,151,000.00 1,131,936.56 1,148,329.68 0.16 16,393.12
47788BAD6 JOHN DEERE OWNER 1.820% 10/15/21 99.74 547,103.97 547,063.92 545,697.91 0.08 (1,366.01)
47788CAB8 JOHN DEERE OWNER 2.420% 10/15/20 99.99 596,531.92 595,320.22 596,484.20 0.08 1,163.98
47788CAC6 JOHN DEERE OWNER 2.660% 4/18/22 100.46 1,340,000.00 1,339,903.65 1,346,137.20 0.19 6,233.55
47789JAB2 JOHN DEERE OWNER 2.850% 12/15/21 100.59 3,265,000.00 3,264,851.12 3,284,230.85 0.46 19,379.73
47788EAC2 JOHN DEERE OWNER 3.080% 11/15/22 101.35 4,630,000.00 4,629,649.05 4,692,412.40 0.65 62,763.35
46625HRL6 JP MORGAN CHASE CO 2.700% 5/18/23 101.03 5,000,000.00 4,821,910.00 5,051,250.00 0.70 229,340.00
46625HKA7 JPMORGAN CHASE CO 2.250% 1/23/20 99.97 1,500,000.00 1,490,940.00 1,499,535.00 0.21 8,595.00
46625HKA7 JPMORGAN CHASE CO 2.250% 1/23/20 99.97 2,000,000.00 1,994,880.00 1,999,380.00 0.28 4,500.00
525ESC0Y6 LEHMAN BRTH HLD ESC - 2,000,000.00 1,037,742.88 - - (1,037,742.88)
525ESCIB7 LEHMAN BRTH MTN ES 0.00001% 1/24/13 1.69 600,000.00 321,956.66 10,140.00 0.00 (311,816.66)
58933YAF2 MERCK CO INC 2.800% 5/18/23 102.41 2,000,000.00 1,948,640.00 2,048,160.00 0.28 99,520.00
594918BP8 MICROSOFT CORP 1.550% 8/08/21 99.15 3,045,000.00 3,041,385.15 3,019,087.05 0.42 (22,298.10)
61747WAL3 MORGAN STANLEY 5.500% 7/28/21 106.25 2,800,000.00 3,200,848.00 2,974,888.00 0.41 (225,960.00)
64971M5E8 NEW YORK CITY NY 4.075% 11/01/20 102.76 1,400,000.00 1,400,000.00 1,438,682.00 0.20 38,682.00
65478VAD9 NISSAN AUTO 1.320% 1/15/21 99.73 499,041.78 495,045.55 497,689.38 0.07 2,643.83
65477UAD2 NISSAN AUTO 1.500% 9/15/21 99.95 217,968.12 216,605.82 217,854.78 0.03 1,248.96
65478GAD2 NISSAN AUTO 1.750% 10/15/21 99.69 2,625,000.00 2,584,291.99 2,616,941.25 0.36 32,649.26
65479GAD1 NISSAN AUTO 3.060% 3/15/23 101.62 3,560,000.00 3,559,884.66 3,617,565.20 0.50 57,680.54
68389XBK0 ORACLE CORP 1.900% 9/15/21 99.49 3,000,000.00 2,892,240.00 2,984,820.00 0.41 92,580.00
69371RN36 PACCAR FINANCIAL MTN 1.200% 8/12/19 99.86 1,083,000.00 1,069,484.16 1,081,516.29 0.15 12,032.13
69353REX2 PNC BANK MTN 1.450% 7/29/19 99.93 1,890,000.00 1,872,668.70 1,888,695.90 0.26 16,027.20
69353RFL7 PNC BANK NA 3.500% 6/08/23 104.55 5,000,000.00 4,993,318.05 5,227,500.00 0.73 234,181.95
69353RDZ8 PNC BANK NA MTN 2.400% 10/18/19 100.00 1,000,000.00 999,000.00 1,000,030.00 0.14 1,030.00
69353RFB9 PNC BANK NA MTN 2.625% 2/17/22 100.86 1,000,000.00 974,940.00 1,008,560.00 0.14 33,620.00
73358WAG9 PORT AUTH NY NJ 5.309% 12/01/19 101.25 2,440,000.00 2,507,633.89 2,470,451.20 0.34 (37,182.69)
747525AD5 QUALCOMM INC 2.250% 5/20/20 99.97 5,000,000.00 4,995,195.40 4,998,350.00 0.69 3,154.60
83162CLJ0 S B A GTD DEV PART 6.340% 3/01/21 102.01 14,686.06 14,686.06 14,980.52 0.00 294.46
78445JAA5 S L M A 4.12559% 4/25/23 101.12 14,014.54 13,957.68 14,171.78 0.00 214.10
89114MM20 TORONTO DOMINION C D 2.470% 9/30/19 100.04 2,000,000.00 2,000,066.62 2,000,880.00 0.28 813.38
3 of 5
U.S. Bank
Asset Detail - Consolidated
As of 06/30/2019
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
89114QCA4 TORONTO DOMINION MTN 2.650% 6/12/24 100.90 3,000,000.00 3,000,570.00 3,027,090.00 0.42 26,520.00
89114QC48 TORONTO MTN 3.500% 7/19/23 104.91 5,000,000.00 5,094,200.00 5,245,600.00 0.73 151,400.00
89238BAB8 TOYOTA AUTO 2.100% 10/15/20 99.93 1,724,177.00 1,724,000.78 1,722,952.83 0.24 (1,047.95)
89239AAB9 TOYOTA AUTO 2.830% 10/15/21 100.43 3,615,000.00 3,614,671.76 3,630,472.20 0.50 15,800.44
912828WU0 U S TREASURY I P S 0.125% 7/15/24 99.83 11,190,920.00 11,046,200.09 11,171,447.80 1.55 125,247.71
912828TH3 U S TREASURY NT 0.875% 7/31/19 99.89 15,000,000.00 14,874,023.44 14,982,900.00 2.08 108,876.56
912828TR1 U S TREASURY NT 1.000% 9/30/19 99.72 10,000,000.00 9,937,500.00 9,971,500.00 1.39 34,000.00
912828T34 U S TREASURY NT 1.125% 9/30/21 98.68 7,000,000.00 6,757,914.08 6,907,600.00 0.96 149,685.92
912828H52 U S TREASURY NT 1.250% 1/31/20 99.51 13,500,000.00 13,396,542.97 13,433,580.00 1.87 37,037.03
912828T67 U S TREASURY NT 1.250% 10/31/21 98.89 6,000,000.00 5,813,691.98 5,933,220.00 0.82 119,528.02
912828N89 U S TREASURY NT 1.375% 1/31/21 99.30 6,000,000.00 5,895,840.41 5,957,820.00 0.83 61,979.59
9128282K5 U S TREASURY NT 1.375% 7/31/19 99.93 35,000,000.00 34,810,156.26 34,974,450.00 4.86 164,293.74
9128282X7 U S TREASURY NT 1.375% 9/30/19 99.79 10,000,000.00 9,962,500.00 9,979,300.00 1.39 16,800.00
912828L99 U S TREASURY NT 1.375% 10/31/20 99.35 10,000,000.00 9,850,311.40 9,935,200.00 1.38 84,888.60
912828XE5 U S TREASURY NT 1.500% 5/31/20 99.54 5,000,000.00 4,966,423.00 4,976,950.00 0.69 10,527.00
912828F62 U S TREASURY NT 1.500% 10/31/19 99.79 2,500,000.00 2,486,718.75 2,494,825.00 0.35 8,106.25
912828G61 U S TREASURY NT 1.500% 11/30/19 99.74 7,500,000.00 7,449,634.50 7,480,650.00 1.04 31,015.50
912828R69 U S TREASURY NT 1.625% 5/31/23 99.61 5,000,000.00 4,757,226.56 4,980,300.00 0.69 223,073.44
912828WS5 U S TREASURY NT 1.625% 6/30/19 1.00 2,000,000.00 1,996,861.44 2,000,000.00 0.28 3,138.56
912828WW6 U S TREASURY NT 1.625% 7/31/19 99.95 20,000,000.00 19,923,437.51 19,989,600.00 2.78 66,162.49
912828WW6 U S TREASURY NT 1.625% 7/31/19 99.95 5,000,000.00 5,012,388.70 4,997,400.00 0.69 (14,988.70)
912828J76 U S TREASURY NT 1.750% 3/31/22 100.06 5,000,000.00 4,976,383.94 5,003,150.00 0.70 26,766.06
912828XW5 U S TREASURY NT 1.750% 6/30/22 100.13 5,000,000.00 4,973,454.25 5,006,250.00 0.70 32,795.75
912828F39 U S TREASURY NT 1.750% 9/30/19 99.90 5,800,000.00 5,873,186.87 5,793,910.00 0.81 (79,276.87)
912828L57 U S TREASURY NT 1.750% 9/30/22 100.07 13,000,000.00 12,763,554.69 13,009,100.00 1.81 245,545.31
912828U65 U S TREASURY NT 1.750% 11/30/21 100.03 7,000,000.00 6,900,492.20 7,002,170.00 0.97 101,677.80
912828V72 U S TREASURY NT 1.875% 1/31/22 100.35 3,000,000.00 3,004,814.74 3,010,560.00 0.42 5,745.26
912828L24 U S TREASURY NT 1.875% 8/31/22 100.45 6,000,000.00 5,987,832.60 6,026,940.00 0.84 39,107.40
9128283S7 U S TREASURY NT 2.000% 1/31/20 99.97 15,000,000.00 14,955,468.75 14,995,350.00 2.08 39,881.25
912828M80 U S TREASURY NT 2.000% 11/30/22 100.90 8,000,000.00 7,907,500.00 8,072,160.00 1.12 164,660.00
912828W48 U S TREASURY NT 2.125% 2/29/24 101.65 10,000,000.00 9,911,718.75 10,164,800.00 1.41 253,081.25
912828U57 U S TREASURY NT 2.125% 11/30/23 101.60 15,000,000.00 14,723,632.81 15,239,700.00 2.12 516,067.19
912828N30 U S TREASURY NT 2.125% 12/31/22 101.36 5,000,000.00 4,926,562.50 5,068,150.00 0.70 141,587.50
912828V80 U S TREASURY NT 2.250% 1/31/24 102.17 7,500,000.00 7,491,503.91 7,662,600.00 1.07 171,096.09
9128284D9 U S TREASURY NT 2.500% 3/31/23 102.79 10,000,000.00 9,887,265.63 10,278,900.00 1.43 391,634.37
912828WJ5 U S TREASURY NT 2.500% 5/15/24 103.43 7,000,000.00 7,193,046.88 7,240,380.00 1.01 47,333.12
913366EJ5 UNIV OF CALIFORNIA 5.035% 5/15/21 105.43 400,000.00 400,000.00 421,712.00 0.06 21,712.00
90331HNL3 US BANK NA MTN 2.850% 1/23/23 101.82 5,000,000.00 4,981,600.00 5,090,800.00 0.71 109,200.00
931142EK5 WALMART INC 3.400% 6/26/23 105.10 3,880,000.00 3,878,991.40 4,077,996.40 0.57 199,005.00
25468PDL7 WALT DISNEY MTN 0.875% 7/12/19 99.96 1,130,000.00 1,114,812.80 1,129,514.10 0.16 14,701.30
94974BGM6 WELLS FARGO CO MTN 2.600% 7/22/20 100.33 5,000,000.00 5,001,650.00 5,016,450.00 0.70 14,800.00
94974BGF1 WELLS FARGO MTN 2.150% 1/30/20 99.91 1,000,000.00 996,600.00 999,060.00 0.14 2,460.00
4 of 5
U.S. Bank
Asset Detail - Consolidated
As of 06/30/2019
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
94988J5G8 WELLS FARGO MTN 2.150% 12/06/19 99.91 500,000.00 498,425.00 499,530.00 0.07 1,105.00
95000U2B8 WELLS FARGO MTN 2.625% 7/22/22 100.72 3,000,000.00 2,954,520.00 3,021,660.00 0.42 67,140.00
96130ABJ6 WESTPAC BKING C D 2.970% 9/13/19 100.09 1,500,000.00 1,500,000.00 1,501,380.00 0.21 1,380.00
96130AAK4 WESTPAC BKING C D 2.970% 10/18/19 100.12 1,500,000.00 1,503,302.80 1,501,770.00 0.21 (1,532.80)
Fixed Income Total 667,492,549.7000 664,157,260.75 671,451,339.65 93.35 7,294,078.90
Grand Total 715,416,321.9300 711,891,987.55 719,272,658.18 100.00 7,380,670.63
5 of 5
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
ACQUISITIONS
04/01/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 6,551,125.0000 1.000000 -6,551,125.00 6,551,125.00 0.00
04/01/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,410,125.0000 1.000000 -5,410,125.00 5,410,125.00 0.00
04/02/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,021,120.7500 1.000000 -5,021,120.75 5,021,120.75 0.00
04/02/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 81,762.3400 1.000000 -81,762.34 81,762.34 0.00
04/04/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 3,450.5300 1.000000 -3,450.53 3,450.53 0.00
04/05/2019 06417G5Q7 PURCHASED PAR VALUE OF BANK OF NOVA C D 2.610% 12/23/19 /MLPFS
INC/FIXED INCOME/2,300,000 PAR VALUE AT 100.02671304 %
2,300,000.0000 1.000267 -2,300,614.40 2,300,614.40 0.00
04/05/2019 912828TH3 PURCHASED PAR VALUE OF U S TREASURY NT 0.875% 7/31/19 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 99.5117188 %
5,000,000.0000 0.995117 -4,975,585.94 4,975,585.94 0.00
04/05/2019 912828F62 PURCHASED PAR VALUE OF U S TREASURY NT 1.500% 10/31/19 /NOMURA
SECURITIES INTERNATIONA/2,500,000 PAR VALUE AT 99.46875 %
2,500,000.0000 0.994688 -2,486,718.75 2,486,718.75 0.00
04/05/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 46,875.0000 1.000000 -46,875.00 46,875.00 0.00
04/10/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 36,250.0000 1.000000 -36,250.00 36,250.00 0.00
04/12/2019 912828V80 PURCHASED PAR VALUE OF U S TREASURY NT 2.250% 1/31/24 /WELLS FARGO
SECURITIES, LLC/4,500,000 PAR VALUE AT 99.67578133 %
4,500,000.0000 0.996758 -4,485,410.16 4,485,410.16 0.00
04/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 199,798.7100 1.000000 -199,798.71 199,798.71 0.00
04/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 913,201.5100 1.000000 -913,201.51 913,201.51 0.00
04/16/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,500,000.0000 1.000000 -7,500,000.00 7,500,000.00 0.00
04/18/2019 313384JV2 PURCHASED PAR VALUE OF F H L B DISC NTS 7/31/19 /MIZUHO SECURITIES
USA FXD INC/5,500,000 PAR VALUE AT 99.30811109 %
5,500,000.0000 0.993081 -5,461,946.11 5,461,946.11 0.00
04/18/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 250,523.4900 1.000000 -250,523.49 250,523.49 0.00
04/22/2019 912828TR1 PURCHASED PAR VALUE OF U S TREASURY NT 1.000% 9/30/19 /J.P. MORGAN
SECURITIES LLC/10,000,000 PAR VALUE AT 99.375 %
10,000,000.0000 0.993750 -9,937,500.00 9,937,500.00 0.00
04/22/2019 912828H52 PURCHASED PAR VALUE OF U S TREASURY NT 1.250% 1/31/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 99.0703126 %
5,000,000.0000 0.990703 -4,953,515.63 4,953,515.63 0.00
04/22/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 56,500,000.0000 1.000000 -56,500,000.00 56,500,000.00 0.00
04/22/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 36,012,177.1300 1.000000 -36,012,177.13 36,012,177.13 0.00
04/23/2019 94988J5G8 PURCHASED PAR VALUE OF WELLS FARGO MTN 2.150% 12/06/19 /J.P. MORGAN
SECURITIES LLC/500,000 PAR VALUE AT 99.685 %
500,000.0000 0.996850 -498,425.00 498,425.00 0.00
04/24/2019 06051GHF9 PURCHASED PAR VALUE OF BANK OF AMERICA 3.550% 3/05/24 /GOLDMAN
SACHS & CO. LLC/2,900,000 PAR VALUE AT 101.078 %
2,900,000.0000 1.010780 -2,931,262.00 2,931,262.00 0.00
04/24/2019 89233GAH9 PURCHASED PAR VALUE OF TOYOTA MOTOR CREDIT CO C P 1/17/20 /DBTC
AMERICAS/COMMERCIAL PAPER/2,000,000 PAR VALUE AT 98.094222 %
2,000,000.0000 0.980942 -1,961,884.44 1,961,884.44 0.00
04/24/2019 912796VA4 PURCHASED PAR VALUE OF U S TREASURY BILL 5/07/19 /WELLS FARGO
SECURITIES, LLC/12,000,000 PAR VALUE AT 99.91456475 %
12,000,000.0000 0.999146 -11,989,747.77 11,989,747.77 0.00
1 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
04/24/2019 912796VA4 PURCHASED PAR VALUE OF U S TREASURY BILL 5/07/19 /WELLS FARGO
SECURITIES, LLC/20,000,000 PAR VALUE AT 99.9145647 %
20,000,000.0000 0.999146 -19,982,912.94 19,982,912.94 0.00
04/24/2019 912796VC0 PURCHASED PAR VALUE OF U S TREASURY BILL 5/21/19 /WELLS FARGO
SECURITIES, LLC/10,000,000 PAR VALUE AT 99.8219725 %
10,000,000.0000 0.998220 -9,982,197.25 9,982,197.25 0.00
04/25/2019 06406HCZ0 PURCHASED PAR VALUE OF BANK OF NY MELLO MTN 2.150% 2/24/20 /PERSHING
LLC/1,500,000 PAR VALUE AT 99.595 %
1,500,000.0000 0.995950 -1,493,925.00 1,493,925.00 0.00
04/25/2019 912828W48 PURCHASED PAR VALUE OF U S TREASURY NT 2.125% 2/29/24 /J.P. MORGAN
SECURITIES LLC/10,000,000 PAR VALUE AT 99.1171875 %
10,000,000.0000 0.991172 -9,911,718.75 9,911,718.75 0.00
04/25/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 10,125.6000 1.000000 -10,125.60 10,125.60 0.00
04/26/2019 69353RDZ8 PURCHASED PAR VALUE OF PNC BANK NA MTN 2.400% 10/18/19 /J.P. MORGAN
SECURITIES LLC/1,000,000 PAR VALUE AT 99.9 %
1,000,000.0000 0.999000 -999,000.00 999,000.00 0.00
04/30/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 18,750.0000 1.000000 -18,750.00 18,750.00 0.00
04/30/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 106,250.0000 1.000000 -106,250.00 106,250.00 0.00
05/01/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 28,525.0000 1.000000 -28,525.00 28,525.00 0.00
05/02/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 17,655.5600 1.000000 -17,655.56 17,655.56 0.00
05/02/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 39,422.4900 1.000000 -39,422.49 39,422.49 0.00
05/03/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 59,929.3800 1.000000 -59,929.38 59,929.38 0.00
05/06/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 6,400,000.0000 1.000000 -6,400,000.00 6,400,000.00 0.00
05/07/2019 06406RAE7 PURCHASED PAR VALUE OF BANK OF NY MTN 2.950% 1/29/23 /PERSHING
LLC/1,000,000 PAR VALUE AT 100.349 %
1,000,000.0000 1.003490 -1,003,490.00 1,003,490.00 0.00
05/07/2019 46625HRL6 PURCHASED PAR VALUE OF JP MORGAN CHASE CO 2.700% 5/18/23 /SUNTRUST
ROBINSON HUMPHREY, IN/1,000,000 PAR VALUE AT 98.947 %
1,000,000.0000 0.989470 -989,470.00 989,470.00 0.00
05/07/2019 9128283S7 PURCHASED PAR VALUE OF U S TREASURY NT 2.000% 1/31/20 /MLPFS INC/FIXED
INCOME/15,000,000 PAR VALUE AT 99.703125 %
15,000,000.0000 0.997031 -14,955,468.75 14,955,468.75 0.00
05/07/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 9,964,973.2400 1.000000 -9,964,973.24 9,964,973.24 0.00
05/07/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 9,986,334.4400 1.000000 -9,986,334.44 9,986,334.44 0.00
05/10/2019 912796RU5 PURCHASED PAR VALUE OF U S TREASURY BILL 6/13/19 /NOMURA
SECURITIES INTERNATIONA/10,000,000 PAR VALUE AT 99.7754583 %
10,000,000.0000 0.997755 -9,977,545.83 9,977,545.83 0.00
05/13/2019 09247XAL5 PURCHASED PAR VALUE OF BLACKROCK INC 3.500% 3/18/24 /HILLTOP
SECURITIES INC./1,000,000 PAR VALUE AT 103.633 %
1,000,000.0000 1.036330 -1,036,330.00 1,036,330.00 0.00
05/13/2019 458140BD1 PURCHASED PAR VALUE OF INTEL CORP 2.875% 5/11/24 /BARCLAYS CAPITAL
INC. FIXED IN/5,000,000 PAR VALUE AT 100.518 %
5,000,000.0000 1.005180 -5,025,900.00 5,025,900.00 0.00
05/13/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 24,659.3800 1.000000 -24,659.38 24,659.38 0.00
05/14/2019 40428HPR7 PURCHASED PAR VALUE OF HSBC USA INC MTN 2.350% 3/05/20 /J.P. MORGAN
SECURITIES LLC/2,500,000 PAR VALUE AT 99.732 %
2,500,000.0000 0.997320 -2,493,300.00 2,493,300.00 0.00
05/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 923,230.0600 1.000000 -923,230.06 923,230.06 0.00
05/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 149,786.8200 1.000000 -149,786.82 149,786.82 0.00
2 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
05/16/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 26,250.0000 1.000000 -26,250.00 26,250.00 0.00
05/17/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 46,875.0000 1.000000 -46,875.00 46,875.00 0.00
05/20/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 517,797.2900 1.000000 -517,797.29 517,797.29 0.00
05/20/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 6,613.2800 1.000000 -6,613.28 6,613.28 0.00
05/21/2019 037833CU2 PURCHASED PAR VALUE OF APPLE INC 2.850% 5/11/24 /PERSHING
LLC/3,000,000 PAR VALUE AT 100.592 %
3,000,000.0000 1.005920 -3,017,760.00 3,017,760.00 0.00
05/21/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 10,000,000.0000 1.000000 -10,000,000.00 10,000,000.00 0.00
05/21/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 9,759.5700 1.000000 -9,759.57 9,759.57 0.00
05/22/2019 912828H52 PURCHASED PAR VALUE OF U S TREASURY NT 1.250% 1/31/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 99.1914062 %
5,000,000.0000 0.991914 -4,959,570.31 4,959,570.31 0.00
05/22/2019 9128282X7 PURCHASED PAR VALUE OF U S TREASURY NT 1.375% 9/30/19 /WELLS FARGO
SECURITIES, LLC/10,000,000 PAR VALUE AT 99.625 %
10,000,000.0000 0.996250 -9,962,500.00 9,962,500.00 0.00
05/23/2019 808513AT2 PURCHASED PAR VALUE OF CHARLES SCHWAB CORP 2.650% 1/25/23 /CREDIT
SUISSE SECURITIES (USA)/6,750,000 PAR VALUE AT 99.696 %
6,750,000.0000 0.996960 -6,729,480.00 6,729,480.00 0.00
05/23/2019 94974BGF1 PURCHASED PAR VALUE OF WELLS FARGO MTN 2.150% 1/30/20 /WELLS FARGO
SECURITIES, LLC/1,000,000 PAR VALUE AT 99.66 %
1,000,000.0000 0.996600 -996,600.00 996,600.00 0.00
05/28/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 21,691.9100 1.000000 -21,691.91 21,691.91 0.00
05/28/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 30,786.0300 1.000000 -30,786.03 30,786.03 0.00
05/30/2019 89114MM20 PURCHASED PAR VALUE OF TORONTO DOMINION C D 2.470% 9/30/19 /RBC CAPITAL
MARKETS, LLC/2,000,000 PAR VALUE AT 100.003331 %
2,000,000.0000 1.000033 -2,000,066.62 2,000,066.62 0.00
05/30/2019 912796VH9 PURCHASED PAR VALUE OF U S TREASURY BILL 6/25/19 /WELLS FARGO
SECURITIES, LLC/5,000,000 PAR VALUE AT 99.83373 %
5,000,000.0000 0.998337 -4,991,686.50 4,991,686.50 0.00
05/30/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 56,250.0000 1.000000 -56,250.00 56,250.00 0.00
05/31/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 435,000.0000 1.000000 -435,000.00 435,000.00 0.00
06/03/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 64,769.8000 1.000000 -64,769.80 64,769.80 0.00
06/04/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 23,095.0400 1.000000 -23,095.04 23,095.04 0.00
06/04/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 58,362.0400 1.000000 -58,362.04 58,362.04 0.00
06/06/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,375.0000 1.000000 -5,375.00 5,375.00 0.00
06/07/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 26,250.0000 1.000000 -26,250.00 26,250.00 0.00
06/07/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,000,000.0000 1.000000 -1,000,000.00 1,000,000.00 0.00
06/10/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 81,250.0000 1.000000 -81,250.00 81,250.00 0.00
06/10/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 256,250.0000 1.000000 -256,250.00 256,250.00 0.00
06/11/2019 912828WJ5 PURCHASED PAR VALUE OF U S TREASURY NT 2.500% 5/15/24 /RBC CAPITAL
MARKETS, LLC/7,000,000 PAR VALUE AT 102.75781257 %
7,000,000.0000 1.027578 -7,193,046.88 7,193,046.88 0.00
06/11/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,000,000.0000 1.000000 -2,000,000.00 2,000,000.00 0.00
06/11/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 28,917.7800 1.000000 -28,917.78 28,917.78 0.00
3 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
06/12/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 43,750.0000 1.000000 -43,750.00 43,750.00 0.00
06/13/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,000,000.0000 1.000000 -5,000,000.00 5,000,000.00 0.00
06/13/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 11,138,790.3300 1.000000 -11,138,790.33 11,138,790.33 0.00
06/14/2019 89114QCA4 PURCHASED PAR VALUE OF TORONTO DOMINION MTN 2.650% 6/12/24 /MORGAN
STANLEY & CO. LLC/3,000,000 PAR VALUE AT 100.019 %
3,000,000.0000 1.000190 -3,000,570.00 3,000,570.00 0.00
06/17/2019 3130A1XJ2 PURCHASED PAR VALUE OF F H L B 2.875% 6/14/24 /MORGAN STANLEY &
CO. LLC/5,700,000 PAR VALUE AT 104.301 %
5,700,000.0000 1.043010 -5,945,157.00 5,945,157.00 0.00
06/17/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 417.5200 1.000000 -417.52 417.52 0.00
06/18/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 368,908.8300 1.000000 -368,908.83 368,908.83 0.00
06/19/2019 3130A1XJ2 PURCHASED PAR VALUE OF F H L B 2.875% 6/14/24 /NOMURA SECURITIES
INTERNATIONA/5,410,000 PAR VALUE AT 104.323 %
5,410,000.0000 1.043230 -5,643,874.30 5,643,874.30 0.00
06/20/2019 62479MVK6 PURCHASED PAR VALUE OF MUFG BANK LTD NY BRAN C P 8/19/19 /MUFG UNION
BK NA/MMI/PIMS/IPA/11,125,000 PAR VALUE AT 99.6083333 %
11,125,000.0000 0.996083 -11,081,427.08 11,081,427.08 0.00
06/20/2019 62479MVK6 PURCHASED PAR VALUE OF MUFG BANK LTD NY BRAN C P 8/19/19 /MUFG UNION
BK NA/MMI/PIMS/IPA/3,290,000 PAR VALUE AT 99.60833343 %
3,290,000.0000 0.996083 -3,277,114.17 3,277,114.17 0.00
06/20/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,160,000.0000 1.000000 -2,160,000.00 2,160,000.00 0.00
06/20/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 10,023,112.6000 1.000000 -10,023,112.60 10,023,112.60 0.00
06/21/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 9,759.5800 1.000000 -9,759.58 9,759.58 0.00
06/24/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,354,866.3300 1.000000 -1,354,866.33 1,354,866.33 0.00
06/25/2019 96130AAK4 PURCHASED PAR VALUE OF WESTPAC BKING C D 2.970% 10/18/19 /RBC CAPITAL
MARKETS, LLC/1,500,000 PAR VALUE AT 100.22018667 %
1,500,000.0000 1.002202 -1,503,302.80 1,503,302.80 0.00
06/25/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,000,000.0000 1.000000 -5,000,000.00 5,000,000.00 0.00
06/25/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,086,050.4500 1.000000 -1,086,050.45 1,086,050.45 0.00
06/25/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 59,715.6100 1.000000 -59,715.61 59,715.61 0.00
06/26/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 78,406.6400 1.000000 -78,406.64 78,406.64 0.00
06/28/2019 313384LW7 PURCHASED PAR VALUE OF F H L B DISC NTS 9/18/19 /MIZUHO SECURITIES
USA FXD INC/2,850,000 PAR VALUE AT 99.49888877 %
2,850,000.0000 0.994989 -2,835,718.33 2,835,718.33 0.00
06/28/2019 912828H52 PURCHASED PAR VALUE OF U S TREASURY NT 1.250% 1/31/20 /NOMURA
SECURITIES INTERNATIONA/3,500,000 PAR VALUE AT 99.52734371 %
3,500,000.0000 0.995273 -3,483,457.03 3,483,457.03 0.00
TOTAL ACQUISITIONS 403,600,122.0600 -403,730,321.80 403,730,321.80 0.00
DISPOSITIONS
04/01/2019 06051GFD6 MATURED PAR VALUE OF BANK OF AMERICA CORP 2.650% 4/01/19 1,500,000 PAR
VALUE AT 100 %
-1,500,000.0000 1.000000 1,500,000.00 -1,499,910.00 90.00
04/01/2019 912828W97 MATURED PAR VALUE OF U S TREASURY NT 1.250% 3/31/19 5,000,000 PAR
VALUE AT 100 %
-5,000,000.0000 1.000000 5,000,000.00 -4,965,429.69 34,570.31
04/01/2019 912828SN1 MATURED PAR VALUE OF U S TREASURY NT 1.500% 3/31/19 5,000,000 PAR
VALUE AT 100 %
-5,000,000.0000 1.000000 5,000,000.00 -5,016,423.00 -16,423.00
4 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
04/02/2019 912796UV9 MATURED PAR VALUE OF U S TREASURY BILL 4/02/19 5,000,000 PAR VALUE
AT 100 %
-5,000,000.0000 1.000000 4,988,678.47 -4,988,678.47 0.00
04/05/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -2,302,948.9000 1.000000 2,302,948.90 -2,302,948.90 0.00
04/05/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -7,486,199.7200 1.000000 7,486,199.72 -7,486,199.72 0.00
04/12/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -4,482,456.0900 1.000000 4,482,456.09 -4,482,456.09 0.00
04/15/2019 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C #786064 4.677% 1/01/28 MARCH FHLMC
DUE 4/15/19
-16.5100 0.000000 16.51 -16.11 0.40
04/15/2019 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 3.587% 8/15/32 -526.9500 9,961.541873 526.95 -527.50 -0.55
04/15/2019 43814QAC2 PAID DOWN PAR VALUE OF HONDA AUTO 1.390% 4/15/20 -76,138.7700 0.000000 76,138.77 -76,137.29 1.48
04/15/2019 47788MAC4 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.360% 4/15/20 -91,913.6600 0.000000 91,913.66 -91,899.19 14.47
04/15/2019 47788BAB0 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.590% 4/15/20 CMO FINAL
PAYDOWN
-49,440.6300 0.000000 49,440.63 -49,436.34 4.29
04/15/2019 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820% 10/15/21 -17,026.6500 0.000000 17,026.65 -17,025.40 1.25
04/15/2019 47788CAB8 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.420% 10/15/20 -149,119.0200 0.000000 149,119.02 -148,816.12 302.90
04/15/2019 65478VAD9 PAID DOWN PAR VALUE OF NISSAN AUTO 1.320% 1/15/21 -93,704.6400 0.000000 93,704.64 -92,954.27 750.37
04/15/2019 65477UAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.500% 9/15/21 -149,007.6200 0.000000 149,007.62 -148,076.32 931.30
04/15/2019 89238BAB8 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.100% 10/15/20 -376,213.0900 0.000000 376,213.09 -376,174.64 38.45
04/16/2019 912796UX5 MATURED PAR VALUE OF U S TREASURY BILL 4/16/19 7,500,000 PAR VALUE
AT 100 %
-7,500,000.0000 1.000000 7,490,553.83 -7,490,553.83 0.00
04/18/2019 43814RAC0 PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -160,049.4100 0.000000 160,049.41 -158,292.62 1,756.79
04/18/2019 43814PAB6 PAID DOWN PAR VALUE OF HONDA AUTO 1.570% 1/21/20 -69,988.9400 0.000000 69,988.94 -69,982.72 6.22
04/18/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -5,461,946.1100 1.000000 5,461,946.11 -5,461,946.11 0.00
04/22/2019 94974BFU9 MATURED PAR VALUE OF WELLS FARGO COM MTN 2.125% 4/22/19 1,500,000 PAR
VALUE AT 100 %
-1,500,000.0000 1.000000 1,500,000.00 -1,494,090.00 5,910.00
04/22/2019 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I #080023 4.125% 12/20/26 MARCH GNMA
DUE 4/20/19
-172.8500 0.000000 172.85 -175.71 -2.86
04/22/2019 36225CC20 PAID DOWN PAR VALUE OF G N M A I I #080088 3.625% 6/20/27 MARCH GNMA
DUE 4/20/19
-186.9900 0.000000 186.99 -191.08 -4.09
04/22/2019 36225CNM4 PAID DOWN PAR VALUE OF G N M A I I #080395 3.625% 4/20/30 MARCH GNMA
DUE 4/20/19
-89.1500 0.000000 89.15 -88.34 0.81
04/22/2019 36225CN28 PAID DOWN PAR VALUE OF G N M A I I #080408 3.625% 5/20/30 MARCH GNMA
DUE 4/20/19
-368.3400 0.000000 368.34 -364.60 3.74
04/22/2019 36225DCB8 PAID DOWN PAR VALUE OF G N M A I I #080965 3.750% 7/20/34 MARCH GNMA
DUE 4/20/19
-1,140.2200 0.000000 1,140.22 -1,139.51 0.71
04/22/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -14,895,073.8700 1.000000 14,895,073.87 -14,895,073.87 0.00
04/23/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -502,515.9700 1.000000 502,515.97 -502,515.97 0.00
04/24/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -31,926,994.6300 1.000000 31,926,994.63 -31,926,994.63 0.00
5 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
04/24/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -2,945,274.6400 1.000000 2,945,274.64 -2,945,274.64 0.00
04/24/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -11,989,747.7700 1.000000 11,989,747.77 -11,989,747.77 0.00
04/25/2019 31398VJ98 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 -6,937.3500 1,923.676170 6,937.35 -7,330.83 -393.48
04/25/2019 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -2,574.6700 0.000000 2,574.67 -2,915.81 -341.14
04/25/2019 31371NUC7 PAID DOWN PAR VALUE OF F N M A #257179 4.500% 4/01/28 MARCH FNMA
DUE 4/25/19
-143.7900 0.000000 143.79 -152.07 -8.28
04/25/2019 31376KT22 PAID DOWN PAR VALUE OF F N M A #357969 5.000% 9/01/35 MARCH FNMA
DUE 4/25/19
-1,001.0700 0.000000 1,001.07 -1,076.15 -75.08
04/25/2019 31381PDA3 PAID DOWN PAR VALUE OF F N M A #466397 3.400% 11/01/20 MARCH FNMA
DUE 4/25/19
-685.6400 0.000000 685.64 -670.80 14.84
04/25/2019 31403DJZ3 PAID DOWN PAR VALUE OF F N M A #745580 5.000% 6/01/36 MARCH FNMA
DUE 4/25/19
-1,734.0100 0.000000 1,734.01 -1,864.06 -130.05
04/25/2019 31403GXF4 PAID DOWN PAR VALUE OF F N M A #748678 5.000% 10/01/33 MARCH FNMA
DUE 4/25/19
-8.7400 0.000000 8.74 -9.40 -0.66
04/25/2019 31406PQY8 PAID DOWN PAR VALUE OF F N M A #815971 5.000% 3/01/35 MARCH FNMA
DUE 4/25/19
-3,337.0400 0.000000 3,337.04 -3,587.32 -250.28
04/25/2019 31406XWT5 PAID DOWN PAR VALUE OF F N M A #823358 4.722% 2/01/35 MARCH FNMA
DUE 4/25/19
-426.0400 0.000000 426.04 -422.71 3.33
04/25/2019 31407BXH7 PAID DOWN PAR VALUE OF F N M A #826080 5.000% 7/01/35 MARCH FNMA
DUE 4/25/19
-85.1900 0.000000 85.19 -91.58 -6.39
04/25/2019 31410F4V4 PAID DOWN PAR VALUE OF F N M A #888336 5.000% 7/01/36 MARCH FNMA
DUE 4/25/19
-3,226.4600 0.000000 3,226.46 -3,468.44 -241.98
04/25/2019 3138EG6F6 PAID DOWN PAR VALUE OF F N M A #AL0869 4.500% 6/01/29 MARCH FNMA
DUE 4/25/19
-217.1300 0.000000 217.13 -229.64 -12.51
04/25/2019 31417YAY3 PAID DOWN PAR VALUE OF F N M A #MA0022 4.500% 4/01/29 MARCH FNMA
DUE 4/25/19
-294.5100 0.000000 294.51 -311.47 -16.96
04/25/2019 31397QRE0 PAID DOWN PAR VALUE OF F N M A GTD REMIC 1.113% 2/25/41 -3,020.4300 0.000000 3,020.43 -3,019.49 0.94
04/25/2019 78445JAA5 PAID DOWN PAR VALUE OF S L M A 4.27063% 4/25/23 -849.9600 0.000000 849.96 -846.51 3.45
04/25/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,499,389.5800 1.000000 1,499,389.58 -1,499,389.58 0.00
04/25/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -9,917,215.9100 1.000000 9,917,215.91 -9,917,215.91 0.00
04/26/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -999,533.3300 1.000000 999,533.33 -999,533.33 0.00
05/07/2019 912796VA4 MATURED PAR VALUE OF U S TREASURY BILL 5/07/19 12,000,000 PAR VALUE
AT 100 %
-12,000,000.0000 1.000000 11,989,747.77 -11,989,747.77 0.00
05/07/2019 912796VA4 MATURED PAR VALUE OF U S TREASURY BILL 5/07/19 20,000,000 PAR VALUE
AT 100 %
-20,000,000.0000 1.000000 19,982,912.94 -19,982,912.94 0.00
05/07/2019 912796VA4 MATURED PAR VALUE OF U S TREASURY BILL 5/07/19 5,000,000 PAR VALUE
AT 100 %
-5,000,000.0000 1.000000 4,986,733.33 -4,986,733.33 0.00
05/10/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -9,977,545.8300 1.000000 9,977,545.83 -9,977,545.83 0.00
6 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
05/13/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -6,020,975.8300 1.000000 6,020,975.83 -6,020,975.83 0.00
05/14/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -2,504,560.4200 1.000000 2,504,560.42 -2,504,560.42 0.00
05/15/2019 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C #786064 4.677% 1/01/28 APRIL FHLMC
DUE 5/15/19
-16.5800 0.000000 16.58 -16.18 0.40
05/15/2019 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 3.587% 8/15/32 -452.8500 0.000000 452.85 -453.32 -0.47
05/15/2019 43814QAC2 PAID DOWN PAR VALUE OF HONDA AUTO 1.390% 4/15/20 -70,674.2000 0.000000 70,674.20 -70,672.83 1.37
05/15/2019 47788MAC4 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.360% 4/15/20 CMO FINAL
PAYDOWN
-9,026.7700 0.000000 9,026.77 -9,025.35 1.42
05/15/2019 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820% 10/15/21 -66,267.1500 0.000000 66,267.15 -66,262.30 4.85
05/15/2019 47788CAB8 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.420% 10/15/20 -186,540.1400 0.000000 186,540.14 -186,161.23 378.91
05/15/2019 65478VAD9 PAID DOWN PAR VALUE OF NISSAN AUTO 1.320% 1/15/21 -92,045.7800 0.000000 92,045.78 -91,308.70 737.08
05/15/2019 65477UAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.500% 9/15/21 -139,671.4700 0.000000 139,671.47 -138,798.52 872.95
05/15/2019 89238BAB8 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.100% 10/15/20 -373,959.9000 0.000000 373,959.90 -373,921.68 38.22
05/20/2019 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I #080023 4.125% 12/20/26 APRIL GNMA
DUE 5/20/19
-689.8500 0.000000 689.85 -701.25 -11.40
05/20/2019 36225CC20 PAID DOWN PAR VALUE OF G N M A I I #080088 3.625% 6/20/27 APRIL GNMA DUE
5/20/19
-185.1500 0.000000 185.15 -189.20 -4.05
05/20/2019 36225CNM4 PAID DOWN PAR VALUE OF G N M A I I #080395 3.625% 4/20/30 APRIL GNMA DUE
5/20/19
-138.2900 0.000000 138.29 -137.04 1.25
05/20/2019 36225CN28 PAID DOWN PAR VALUE OF G N M A I I #080408 3.625% 5/20/30 APRIL GNMA DUE
5/20/19
-870.9900 0.000000 870.99 -862.14 8.85
05/20/2019 36225DCB8 PAID DOWN PAR VALUE OF G N M A I I #080965 3.750% 7/20/34 APRIL GNMA DUE
5/20/19
-927.7300 0.000000 927.73 -927.15 0.58
05/20/2019 43814RAC0 PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -152,081.3500 0.000000 152,081.35 -150,412.02 1,669.33
05/20/2019 43814PAB6 PAID DOWN PAR VALUE OF HONDA AUTO 1.570% 1/21/20 CMO FINAL
PAYDOWN
-6,613.2800 0.000000 6,613.28 -6,612.69 0.59
05/20/2019 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -190,467.8500 0.000000 190,467.85 -187,447.15 3,020.70
05/21/2019 912796VC0 MATURED PAR VALUE OF U S TREASURY BILL 5/21/19 10,000,000 PAR VALUE
AT 100 %
-10,000,000.0000 1.000000 9,982,197.25 -9,982,197.25 0.00
05/21/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -3,020,135.0000 1.000000 3,020,135.00 -3,020,135.00 0.00
05/22/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -14,960,770.1900 1.000000 14,960,770.19 -14,960,770.19 0.00
05/23/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,003,348.6100 1.000000 1,003,348.61 -1,003,348.61 0.00
05/23/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -6,788,111.2500 1.000000 6,788,111.25 -6,788,111.25 0.00
05/28/2019 31398VJ98 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 -8,972.3300 166.449239 8,972.33 -9,481.23 -508.90
05/28/2019 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -14,670.6000 0.000000 14,670.60 -16,614.45 -1,943.85
05/28/2019 31371NUC7 PAID DOWN PAR VALUE OF F N M A #257179 4.500% 4/01/28 APRIL FNMA DUE
5/25/19
-130.5700 0.000000 130.57 -138.09 -7.52
7 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
05/28/2019 31376KT22 PAID DOWN PAR VALUE OF F N M A #357969 5.000% 9/01/35 APRIL FNMA DUE
5/25/19
-1,214.1400 0.000000 1,214.14 -1,305.20 -91.06
05/28/2019 31381PDA3 PAID DOWN PAR VALUE OF F N M A #466397 3.400% 11/01/20 APRIL FNMA DUE
5/25/19
-734.1300 0.000000 734.13 -718.24 15.89
05/28/2019 31403DJZ3 PAID DOWN PAR VALUE OF F N M A #745580 5.000% 6/01/36 APRIL FNMA DUE
5/25/19
-1,794.9100 0.000000 1,794.91 -1,929.53 -134.62
05/28/2019 31403GXF4 PAID DOWN PAR VALUE OF F N M A #748678 5.000% 10/01/33 APRIL FNMA DUE
5/25/19
-8.2800 0.000000 8.28 -8.90 -0.62
05/28/2019 31406PQY8 PAID DOWN PAR VALUE OF F N M A #815971 5.000% 3/01/35 APRIL FNMA DUE
5/25/19
-5,727.7400 0.000000 5,727.74 -6,157.32 -429.58
05/28/2019 31406XWT5 PAID DOWN PAR VALUE OF F N M A #823358 4.722% 2/01/35 APRIL FNMA DUE
5/25/19
-433.9600 0.000000 433.96 -430.57 3.39
05/28/2019 31407BXH7 PAID DOWN PAR VALUE OF F N M A #826080 5.000% 7/01/35 APRIL FNMA DUE
5/25/19
-245.9700 0.000000 245.97 -264.42 -18.45
05/28/2019 31410F4V4 PAID DOWN PAR VALUE OF F N M A #888336 5.000% 7/01/36 APRIL FNMA DUE
5/25/19
-3,316.0100 0.000000 3,316.01 -3,564.71 -248.70
05/28/2019 3138EG6F6 PAID DOWN PAR VALUE OF F N M A #AL0869 4.500% 6/01/29 APRIL FNMA DUE
5/25/19
-128.8800 0.000000 128.88 -136.30 -7.42
05/28/2019 31417YAY3 PAID DOWN PAR VALUE OF F N M A #MA0022 4.500% 4/01/29 APRIL FNMA DUE
5/25/19
-242.6700 0.000000 242.67 -256.65 -13.98
05/28/2019 31397QRE0 PAID DOWN PAR VALUE OF F N M A GTD REMIC 1.113% 2/25/41 -2,694.2000 0.000000 2,694.20 -2,693.36 0.84
05/30/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -6,991,890.3400 1.000000 6,991,890.34 -6,991,890.34 0.00
06/07/2019 89113X3W2 MATURED PAR VALUE OF TORONTO DOMINION C D 2.700% 6/07/19 1,000,000 PAR
VALUE AT 100 %
-1,000,000.0000 1.000000 1,000,000.00 -1,000,000.00 0.00
06/11/2019 06370RQY8 MATURED PAR VALUE OF BANK MONTREAL C D 2.860% 6/11/19 2,000,000 PAR
VALUE AT 100 %
-2,000,000.0000 1.000000 2,000,000.00 -2,000,000.00 0.00
06/11/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -7,168,386.5500 1.000000 7,168,386.55 -7,168,386.55 0.00
06/13/2019 313384GV5 MATURED PAR VALUE OF F H L B DISC NTS 6/13/19 5,000,000 PAR VALUE AT
100 %
-5,000,000.0000 1.000000 4,971,094.44 -4,971,094.44 0.00
06/13/2019 912796RU5 MATURED PAR VALUE OF U S TREASURY BILL 6/13/19 10,000,000 PAR VALUE
AT 100 %
-10,000,000.0000 1.000000 9,977,545.83 -9,977,545.83 0.00
06/13/2019 674599CK9 SOLD PAR VALUE OF OCCIDENTAL PETROLEUM 2.600% 4/15/22 /WELLS FARGO
SECURITIES, LLC/1,140,000 PAR VALUE AT 99.475 %
-1,140,000.0000 0.994750 1,134,015.00 -1,141,561.80 -7,546.80
06/14/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -3,001,011.6700 1.000000 3,001,011.67 -3,001,011.67 0.00
06/17/2019 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C #786064 4.677% 1/01/28 MAY FHLMC
DUE 6/15/19
-17.3300 0.000000 17.33 -16.91 0.42
06/17/2019 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 3.587% 8/15/32 -385.5000 0.000000 385.50 -385.90 -0.40
06/17/2019 43814QAC2 PAID DOWN PAR VALUE OF HONDA AUTO 1.390% 4/15/20 -67,399.4400 0.000000 67,399.44 -67,398.13 1.31
8 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
06/17/2019 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820% 10/15/21 -44,602.2300 0.000000 44,602.23 -44,598.97 3.26
06/17/2019 47788CAB8 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.420% 10/15/20 -137,653.4000 0.000000 137,653.40 -137,373.79 279.61
06/17/2019 65478VAD9 PAID DOWN PAR VALUE OF NISSAN AUTO 1.320% 1/15/21 -86,066.8200 0.000000 86,066.82 -85,377.61 689.21
06/17/2019 65477UAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.500% 9/15/21 -124,352.2400 0.000000 124,352.24 -123,575.04 777.20
06/17/2019 89238BAB8 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.100% 10/15/20 -369,207.7400 0.000000 369,207.74 -369,170.01 37.73
06/17/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -5,054,463.7500 1.000000 5,054,463.75 -5,054,463.75 0.00
06/18/2019 43814RAC0 PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -141,700.7000 0.000000 141,700.70 -140,145.31 1,555.39
06/18/2019 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -207,422.0600 0.000000 207,422.06 -204,132.48 3,289.58
06/19/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -5,508,534.5400 1.000000 5,508,534.54 -5,508,534.54 0.00
06/20/2019 62479MTL7 MATURED PAR VALUE OF MUFG BANK LTD NY BRAN C P 6/20/19 10,020,000 PAR
VALUE AT 100 %
-10,020,000.0000 1.000000 9,933,160.00 -9,933,160.00 0.00
06/20/2019 62479MTL7 MATURED PAR VALUE OF MUFG BANK LTD NY BRAN C P 6/20/19 2,160,000 PAR
VALUE AT 100 %
-2,160,000.0000 1.000000 2,141,280.00 -2,141,280.00 0.00
06/20/2019 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I #080023 4.125% 12/20/26 MAY GNMA DUE
6/20/19
-176.6500 0.000000 176.65 -179.57 -2.92
06/20/2019 36225CC20 PAID DOWN PAR VALUE OF G N M A I I #080088 3.625% 6/20/27 MAY GNMA DUE
6/20/19
-202.9100 0.000000 202.91 -207.35 -4.44
06/20/2019 36225CNM4 PAID DOWN PAR VALUE OF G N M A I I #080395 3.625% 4/20/30 MAY GNMA DUE
6/20/19
-52.0900 0.000000 52.09 -51.62 0.47
06/20/2019 36225CN28 PAID DOWN PAR VALUE OF G N M A I I #080408 3.625% 5/20/30 MAY GNMA DUE
6/20/19
-1,677.0700 0.000000 1,677.07 -1,660.04 17.03
06/20/2019 36225DCB8 PAID DOWN PAR VALUE OF G N M A I I #080965 3.750% 7/20/34 MAY GNMA DUE
6/20/19
-558.8500 0.000000 558.85 -558.50 0.35
06/20/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -3,277,114.1700 1.000000 3,277,114.17 -3,277,114.17 0.00
06/20/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -11,081,427.0800 1.000000 11,081,427.08 -11,081,427.08 0.00
06/24/2019 674599CK9 SOLD PAR VALUE OF OCCIDENTAL PETROLEUM 2.600% 4/15/22 /MITSUBISHI UFJ
SECURITIES USA/1,150,000 PAR VALUE AT 100.232 %
-1,150,000.0000 1.002320 1,152,668.00 -1,151,575.50 1,092.50
06/25/2019 912796VH9 MATURED PAR VALUE OF U S TREASURY BILL 6/25/19 5,000,000 PAR VALUE
AT 100 %
-5,000,000.0000 1.000000 4,991,686.50 -4,991,686.50 0.00
06/25/2019 31398VJ98 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 -54,896.1900 1.604805 54,896.19 -58,009.83 -3,113.64
06/25/2019 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -10,489.0400 0.000000 10,489.04 -11,878.84 -1,389.80
06/25/2019 31371NUC7 PAID DOWN PAR VALUE OF F N M A #257179 4.500% 4/01/28 MAY FNMA DUE
6/25/19
-134.7400 0.000000 134.74 -142.50 -7.76
06/25/2019 31376KT22 PAID DOWN PAR VALUE OF F N M A #357969 5.000% 9/01/35 MAY FNMA DUE
6/25/19
-2,214.9600 0.000000 2,214.96 -2,381.08 -166.12
06/25/2019 31381PDA3 PAID DOWN PAR VALUE OF F N M A #466397 3.400% 11/01/20 P & I DUE 06/25/19 -691.5400 0.000000 691.54 -676.57 14.97
9 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
06/25/2019 31403DJZ3 PAID DOWN PAR VALUE OF F N M A #745580 5.000% 6/01/36 MAY FNMA DUE
6/25/19
-1,100.2000 0.000000 1,100.20 -1,182.72 -82.52
06/25/2019 31403GXF4 PAID DOWN PAR VALUE OF F N M A #748678 5.000% 10/01/33 MAY FNMA DUE
6/25/19
-9.3100 0.000000 9.31 -10.01 -0.70
06/25/2019 31406PQY8 PAID DOWN PAR VALUE OF F N M A #815971 5.000% 3/01/35 MAY FNMA DUE
6/25/19
-2,620.6700 0.000000 2,620.67 -2,817.22 -196.55
06/25/2019 31406XWT5 PAID DOWN PAR VALUE OF F N M A #823358 4.722% 2/01/35 MAY FNMA DUE
6/25/19
-436.4000 0.000000 436.40 -432.99 3.41
06/25/2019 31407BXH7 PAID DOWN PAR VALUE OF F N M A #826080 5.000% 7/01/35 MAY FNMA DUE
6/25/19
-92.4000 0.000000 92.40 -99.33 -6.93
06/25/2019 31410F4V4 PAID DOWN PAR VALUE OF F N M A #888336 5.000% 7/01/36 MAY FNMA DUE
6/25/19
-3,070.4900 0.000000 3,070.49 -3,300.78 -230.29
06/25/2019 3138EG6F6 PAID DOWN PAR VALUE OF F N M A #AL0869 4.500% 6/01/29 MAY FNMA DUE
6/25/19
-216.4500 0.000000 216.45 -228.92 -12.47
06/25/2019 31417YAY3 PAID DOWN PAR VALUE OF F N M A #MA0022 4.500% 4/01/29 MAY FNMA DUE
6/25/19
-379.9300 0.000000 379.93 -401.81 -21.88
06/25/2019 31397QRE0 PAID DOWN PAR VALUE OF F N M A GTD REMIC 1.113% 2/25/41 -3,794.1000 0.000000 3,794.10 -3,792.91 1.19
06/25/2019 674599CK9 SOLD PAR VALUE OF OCCIDENTAL PETROLEUM 2.600% 4/15/22 /MITSUBISHI UFJ
SECURITIES USA/1,060,000 PAR VALUE AT 100.072 %
-1,060,000.0000 1.000720 1,060,763.20 -1,061,452.20 -689.00
06/25/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,534,116.5500 1.000000 1,534,116.55 -1,534,116.55 0.00
06/26/2019 31398VJ98 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 -1,808.4700 0.000000 1,808.47 -1,911.04 -102.57
06/26/2019 31398VJ98 PAID DOWN-RV PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 RATE
REVISION
54,896.1900 1.604805 -54,896.19 58,009.83 3,113.64
06/26/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -53,087.7200 1.000000 53,087.72 -53,087.72 0.00
06/28/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -6,337,062.1000 1.000000 6,337,062.10 -6,337,062.10 0.00
TOTAL DISPOSITIONS -303,520,961.0400 303,273,997.60 -303,246,860.38 27,137.22
OTHER TRANSACTIONS
04/01/2019 06051GFD6 INTEREST EARNED ON BANK OF AMERICA CORP 2.650% 4/01/19 $1 PV ON
1500000.0000 SHARES DUE 4/1/2019
0.0000 0.000000 19,875.00 0.00 0.00
04/01/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
3/31/2019 INTEREST FROM 3/1/19 TO 3/31/19
0.0000 0.000000 21,120.75 0.00 0.00
04/01/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
3/31/2019 INTEREST FROM 3/1/19 TO 3/31/19
0.0000 0.000000 34,887.34 0.00 0.00
04/01/2019 912828T34 INTEREST EARNED ON U S TREASURY NT 1.125% 9/30/21 $1 PV ON 7000000.0000
SHARES DUE 3/31/2019
0.0000 0.000000 39,375.00 0.00 0.00
04/01/2019 912828W97 INTEREST EARNED ON U S TREASURY NT 1.250% 3/31/19 $1 PV ON 5000000.0000
SHARES DUE 3/31/2019
0.0000 0.000000 31,250.00 0.00 0.00
10 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
04/01/2019 912828SN1 INTEREST EARNED ON U S TREASURY NT 1.500% 3/31/19 $1 PV ON 5000000.0000
SHARES DUE 3/31/2019
0.0000 0.000000 37,500.00 0.00 0.00
04/01/2019 912828J76 INTEREST EARNED ON U S TREASURY NT 1.750% 3/31/22 $1 PV ON 5000000.0000
SHARES DUE 3/31/2019
0.0000 0.000000 43,750.00 0.00 0.00
04/01/2019 912828F39 INTEREST EARNED ON U S TREASURY NT 1.750% 9/30/19 $1 PV ON 5800000.0000
SHARES DUE 3/31/2019
0.0000 0.000000 50,750.00 0.00 0.00
04/01/2019 912828L57 INTEREST EARNED ON U S TREASURY NT 1.750% 9/30/22 $1 PV ON
13000000.0000 SHARES DUE 3/31/2019
0.0000 0.000000 113,750.00 0.00 0.00
04/01/2019 9128284D9 INTEREST EARNED ON U S TREASURY NT 2.500% 3/31/23 $1 PV ON
10000000.0000 SHARES DUE 3/31/2019
0.0000 0.000000 125,000.00 0.00 0.00
04/02/2019 3137EADM8 INTEREST EARNED ON F H L M C M T N 1.250% 10/02/19 $1 PV ON 7500000.0000
SHARES DUE 4/2/2019
0.0000 0.000000 46,875.00 0.00 0.00
04/02/2019 912796UV9 INTEREST EARNED ON U S TREASURY BILL 4/02/19 $1 PV ON 5000000.0000
SHARES DUE 4/2/2019 5,000,000 PAR VALUE AT 100 %
0.0000 0.000000 11,321.53 0.00 0.00
04/04/2019 525ESC0Y6 Unknown LEHMAN BRTH HLD ESC PARTIAL LIQUIDATING DISTRIBUTION PAID @
1.326040
0.0000 0.000000 2,652.08 -2,652.08 0.00
04/04/2019 525ESCIB7 Unknown LEHMAN BRTH MTN ES 0.00001% 1/24/13 PARTIAL LIQUIDATING
DISTRIBUTION PAID @ 1.330750
0.0000 0.000000 798.45 -798.45 0.00
04/05/2019 3135G0T45 INTEREST EARNED ON F N M A 1.875% 4/05/22 $1 PV ON 5000000.0000
SHARES DUE 4/5/2019
0.0000 0.000000 46,875.00 0.00 0.00
04/05/2019 06417G5Q7 PAID ACCRUED INTEREST ON PURCHASE OF BANK OF NOVA C D 2.610% 12/23/19 0.0000 0.000000 -2,334.50 0.00 0.00
04/05/2019 912828TH3 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 0.875% 7/31/19 0.0000 0.000000 -7,734.81 0.00 0.00
04/05/2019 912828F62 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.500% 10/31/19 0.0000 0.000000 -16,160.22 0.00 0.00
04/10/2019 02665WCQ2 INTEREST EARNED ON AMERICAN HONDA MTN 3.625% 10/10/23 $1 PV ON
2000000.0000 SHARES DUE 4/10/2019
0.0000 0.000000 36,250.00 0.00 0.00
04/11/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 22360.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
04/11/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 22360.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 22,360.00 0.00
04/11/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 22360.0000
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
22,360.0000 0.000000 0.00 0.00 0.00
04/11/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 22360.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
04/12/2019 24422EUM9 INTEREST EARNED ON JOHN DEERE MTN 3.650% 10/12/23 $1 PV ON
1250000.0000 SHARES DUE 4/12/2019
0.0000 0.000000 22,812.50 0.00 0.00
04/12/2019 912828V80 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.250% 1/31/24 0.0000 0.000000 -19,858.43 0.00 0.00
04/15/2019 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22 $1 PV ON 10084.2300
SHARES DUE 4/15/2019 $0.00161/PV ON 6,270,000.00 PV DUE 4/15/19
0.0000 0.000000 10,084.23 0.00 0.00
11 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
04/15/2019 31348SWZ3 INTEREST EARNED ON F H L M C #786064 4.677% 1/01/28 $1 PV ON 7.5900 SHARES
DUE 4/15/2019 FEBRUARY FHLMC DUE 4/15/19
0.0000 0.000000 7.59 0.00 0.00
04/15/2019 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 3.587% 8/15/32 $1 PV ON 34.7600
SHARES DUE 4/15/2019 $0.00299/PV ON 10,580.45 PV DUE 4/15/19
0.0000 0.000000 34.76 0.00 0.00
04/15/2019 43814QAC2 INTEREST EARNED ON HONDA AUTO 1.390% 4/15/20 $1 PV ON 256.0200
SHARES DUE 4/15/2019 $0.00116/PV ON 221,021.05 PV DUE 4/15/19
0.0000 0.000000 256.02 0.00 0.00
04/15/2019 47788MAC4 INTEREST EARNED ON JOHN DEERE OWNER 1.360% 4/15/20 $1 PV ON 114.4000
SHARES DUE 4/15/2019 $0.00113/PV ON 100,940.43 PV DUE 4/15/19
0.0000 0.000000 114.40 0.00 0.00
04/15/2019 47788NAD0 INTEREST EARNED ON JOHN DEERE OWNER 1.490% 5/15/23 $1 PV ON 1429.1600
SHARES DUE 4/15/2019 $0.00124/PV ON 1,151,000.00 PV DUE 4/15/19
0.0000 0.000000 1,429.16 0.00 0.00
04/15/2019 47788BAB0 INTEREST EARNED ON JOHN DEERE OWNER 1.590% 4/15/20 $1 PV ON 65.5100
SHARES DUE 4/15/2019 $0.00132/PV ON 49,440.63 PV DUE 4/15/19
0.0000 0.000000 65.51 0.00 0.00
04/15/2019 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820% 10/15/21 $1 PV ON 1023.7500
SHARES DUE 4/15/2019 $0.00152/PV ON 675,000.00 PV DUE 4/15/19
0.0000 0.000000 1,023.75 0.00 0.00
04/15/2019 47788CAB8 INTEREST EARNED ON JOHN DEERE OWNER 2.420% 10/15/20 $1 PV ON 2157.5200
SHARES DUE 4/15/2019 $0.00202/PV ON 1,069,844.48 PV DUE 4/15/19
0.0000 0.000000 2,157.52 0.00 0.00
04/15/2019 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22 $1 PV ON 2970.3400
SHARES DUE 4/15/2019 $0.00222/PV ON 1,340,000.00 PV DUE 4/15/19
0.0000 0.000000 2,970.34 0.00 0.00
04/15/2019 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850% 12/15/21 $1 PV ON 8271.3200
SHARES DUE 4/15/2019 $0.00253/PV ON 3,265,000.00 PV DUE 4/15/19
0.0000 0.000000 8,271.32 0.00 0.00
04/15/2019 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080% 11/15/22 $1 PV ON 11883.6800
SHARES DUE 4/15/2019 $0.00257/PV ON 4,630,000.00 PV DUE 4/15/19
0.0000 0.000000 11,883.68 0.00 0.00
04/15/2019 65478VAD9 INTEREST EARNED ON NISSAN AUTO 1.320% 1/15/21 $1 PV ON 847.9400
SHARES DUE 4/15/2019 $0.00110/PV ON 770,859.02 PV DUE 4/15/19
0.0000 0.000000 847.94 0.00 0.00
04/15/2019 65477UAD2 INTEREST EARNED ON NISSAN AUTO 1.500% 9/15/21 $1 PV ON 788.7500
SHARES DUE 4/15/2019 $0.00125/PV ON 630,999.45 PV DUE 4/15/19
0.0000 0.000000 788.75 0.00 0.00
04/15/2019 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 3828.1200
SHARES DUE 4/15/2019 $0.00146/PV ON 2,625,000.00 PV DUE 4/15/19
0.0000 0.000000 3,828.12 0.00 0.00
04/15/2019 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23 $1 PV ON 9078.0000
SHARES DUE 4/15/2019 $0.00255/PV ON 3,560,000.00 PV DUE 4/15/19
0.0000 0.000000 9,078.00 0.00 0.00
04/15/2019 674599CK9 INTEREST EARNED ON OCCIDENTAL PETROLEUM 2.600% 4/15/22 $1 PV ON
3350000.0000 SHARES DUE 4/15/2019
0.0000 0.000000 43,550.00 0.00 0.00
04/15/2019 89238BAB8 INTEREST EARNED ON TOYOTA AUTO 2.100% 10/15/20 $1 PV ON 4976.2300
SHARES DUE 4/15/2019 $0.00175/PV ON 2,843,557.73 PV DUE 4/15/19
0.0000 0.000000 4,976.23 0.00 0.00
04/15/2019 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830% 10/15/21 $1 PV ON 8525.3600
SHARES DUE 4/15/2019 $0.00236/PV ON 3,615,000.00 PV DUE 4/15/19
0.0000 0.000000 8,525.36 0.00 0.00
04/16/2019 912796UX5 INTEREST EARNED ON U S TREASURY BILL 4/16/19 $1 PV ON 7500000.0000
SHARES DUE 4/16/2019 7,500,000 PAR VALUE AT 100 %
0.0000 0.000000 9,446.17 0.00 0.00
04/18/2019 CASH RECEIPT INCOMING WIRES WIRE REC'D 4/18/19 0.0000 0.000000 55,000,000.00 0.00 0.00
12 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
04/18/2019 CASH RECEIPT INCOMING WIRES WIRE REC'D 4/18/19 0.0000 0.000000 36,000,000.00 0.00 0.00
04/18/2019 43814RAC0 INTEREST EARNED ON HONDA AUTO 1.210% 12/18/20 $1 PV ON 1414.5400
SHARES DUE 4/18/2019 $0.00101/PV ON 1,402,847.57 PV DUE 4/18/19
0.0000 0.000000 1,414.54 0.00 0.00
04/18/2019 43814PAB6 INTEREST EARNED ON HONDA AUTO 1.570% 1/21/20 $1 PV ON 100.2200
SHARES DUE 4/18/2019 $0.00131/PV ON 76,602.22 PV DUE 4/18/19
0.0000 0.000000 100.22 0.00 0.00
04/18/2019 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 4609.2500
SHARES DUE 4/18/2019 $0.00149/PV ON 3,090,000.00 PV DUE 4/18/19
0.0000 0.000000 4,609.25 0.00 0.00
04/18/2019 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 10071.8800
SHARES DUE 4/18/2019 $0.00229/PV ON 4,395,000.00 PV DUE 4/18/19
0.0000 0.000000 10,071.88 0.00 0.00
04/18/2019 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22 $1 PV ON 4289.2500
SHARES DUE 4/18/2019 $0.00251/PV ON 1,710,000.00 PV DUE 4/18/19
0.0000 0.000000 4,289.25 0.00 0.00
04/22/2019 36225CAZ9 INTEREST EARNED ON G N M A I I #080023 4.125% 12/20/26 $1 PV ON 61.1500
SHARES DUE 4/20/2019 MARCH GNMA DUE 4/20/19
0.0000 0.000000 61.15 0.00 0.00
04/22/2019 36225CC20 INTEREST EARNED ON G N M A I I #080088 3.625% 6/20/27 $1 PV ON 52.3400
SHARES DUE 4/20/2019 MARCH GNMA DUE 4/20/19
0.0000 0.000000 52.34 0.00 0.00
04/22/2019 36225CNM4 INTEREST EARNED ON G N M A I I #080395 3.625% 4/20/30 $1 PV ON 21.4700
SHARES DUE 4/20/2019 MARCH GNMA DUE 4/20/19
0.0000 0.000000 21.47 0.00 0.00
04/22/2019 36225CN28 INTEREST EARNED ON G N M A I I #080408 3.625% 5/20/30 $1 PV ON 169.3800
SHARES DUE 4/20/2019 MARCH GNMA DUE 4/20/19
0.0000 0.000000 169.38 0.00 0.00
04/22/2019 36225DCB8 INTEREST EARNED ON G N M A I I #080965 3.750% 7/20/34 $1 PV ON 155.6600
SHARES DUE 4/20/2019 MARCH GNMA DUE 4/20/19
0.0000 0.000000 155.66 0.00 0.00
04/22/2019 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22 $1 PV ON 9759.5800
SHARES DUE 4/21/2019 $0.00246/PV ON 3,970,000.00 PV DUE 4/21/19
0.0000 0.000000 9,759.58 0.00 0.00
04/22/2019 94974BFU9 INTEREST EARNED ON WELLS FARGO COM MTN 2.125% 4/22/19 $1 PV ON
1500000.0000 SHARES DUE 4/22/2019 INTEREST ON 4/22/19 MATURITY
0.0000 0.000000 15,937.50 0.00 0.00
04/22/2019 912828TR1 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.000% 9/30/19 0.0000 0.000000 -6,010.93 0.00 0.00
04/22/2019 912828H52 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.250% 1/31/20 0.0000 0.000000 -13,984.81 0.00 0.00
04/23/2019 94988J5G8 PAID ACCRUED INTEREST ON PURCHASE OF WELLS FARGO MTN 2.150% 12/06/19 0.0000 0.000000 -4,090.97 0.00 0.00
04/24/2019 06051GHF9 PAID ACCRUED INTEREST ON PURCHASE OF BANK OF AMERICA 3.550% 3/05/24 0.0000 0.000000 -14,012.64 0.00 0.00
04/25/2019 03215PFN4 INTEREST EARNED ON AMRESCO 3.5397% 6/25/29 $1 PV ON 394.5100
SHARES DUE 4/25/2019 $0.00295/PV ON 133,743.29 PV DUE 4/25/19
0.0000 0.000000 394.51 0.00 0.00
04/25/2019 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20 $1 PV ON 3188.2500
SHARES DUE 4/25/2019 $0.00354/PV ON 900,000.00 PV DUE 4/25/19
0.0000 0.000000 3,188.25 0.00 0.00
04/25/2019 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43 $1 PV ON 3993.3800
SHARES DUE 4/25/2019 $0.00542/PV ON 737,239.09 PV DUE 4/25/19
0.0000 0.000000 3,993.38 0.00 0.00
04/25/2019 31371NUC7 INTEREST EARNED ON F N M A #257179 4.500% 4/01/28 $1 PV ON 58.3600
SHARES DUE 4/25/2019 MARCH FNMA DUE 4/25/19
0.0000 0.000000 58.36 0.00 0.00
13 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
04/25/2019 31376KT22 INTEREST EARNED ON F N M A #357969 5.000% 9/01/35 $1 PV ON 451.5600
SHARES DUE 4/25/2019 MARCH FNMA DUE 4/25/19
0.0000 0.000000 451.56 0.00 0.00
04/25/2019 31381PDA3 INTEREST EARNED ON F N M A #466397 3.400% 11/01/20 $1 PV ON 1000.1500
SHARES DUE 4/25/2019 MARCH FNMA DUE 4/25/19
0.0000 0.000000 1,000.15 0.00 0.00
04/25/2019 31403DJZ3 INTEREST EARNED ON F N M A #745580 5.000% 6/01/36 $1 PV ON 421.3700
SHARES DUE 4/25/2019 MARCH FNMA DUE 4/25/19
0.0000 0.000000 421.37 0.00 0.00
04/25/2019 31403GXF4 INTEREST EARNED ON F N M A #748678 5.000% 10/01/33 $1 PV ON 7.6400 SHARES
DUE 4/25/2019 MARCH FNMA DUE 4/25/19
0.0000 0.000000 7.64 0.00 0.00
04/25/2019 31406PQY8 INTEREST EARNED ON F N M A #815971 5.000% 3/01/35 $1 PV ON 736.8600
SHARES DUE 4/25/2019 MARCH FNMA DUE 4/25/19
0.0000 0.000000 736.86 0.00 0.00
04/25/2019 31406XWT5 INTEREST EARNED ON F N M A #823358 4.722% 2/01/35 $1 PV ON 440.2700
SHARES DUE 4/25/2019 MARCH FNMA DUE 4/25/19
0.0000 0.000000 440.27 0.00 0.00
04/25/2019 31407BXH7 INTEREST EARNED ON F N M A #826080 5.000% 7/01/35 $1 PV ON 83.6600
SHARES DUE 4/25/2019 MARCH FNMA DUE 4/25/19
0.0000 0.000000 83.66 0.00 0.00
04/25/2019 31410F4V4 INTEREST EARNED ON F N M A #888336 5.000% 7/01/36 $1 PV ON 832.1200
SHARES DUE 4/25/2019 MARCH FNMA DUE 4/25/19
0.0000 0.000000 832.12 0.00 0.00
04/25/2019 3138EG6F6 INTEREST EARNED ON F N M A #AL0869 4.500% 6/01/29 $1 PV ON 42.0500
SHARES DUE 4/25/2019 MARCH FNMA DUE 4/25/19
0.0000 0.000000 42.05 0.00 0.00
04/25/2019 31417YAY3 INTEREST EARNED ON F N M A #MA0022 4.500% 4/01/29 $1 PV ON 68.6300
SHARES DUE 4/25/2019 MARCH FNMA DUE 4/25/19
0.0000 0.000000 68.63 0.00 0.00
04/25/2019 31397QRE0 INTEREST EARNED ON F N M A GTD REMIC 1.113% 2/25/41 $1 PV ON 545.8600
SHARES DUE 4/25/2019 $0.00264/PV ON 206,927.78 PV DUE 4/25/19
0.0000 0.000000 545.86 0.00 0.00
04/25/2019 78445JAA5 INTEREST EARNED ON S L M A 4.27063% 4/25/23 $1 PV ON 158.7000 SHARES
DUE 4/25/2019 $0.01068/PV ON 14,864.50 PV DUE 4/25/19
0.0000 0.000000 158.70 0.00 0.00
04/25/2019 06406HCZ0 PAID ACCRUED INTEREST ON PURCHASE OF BANK OF NY MELLO MTN 2.150%
2/24/20
0.0000 0.000000 -5,464.58 0.00 0.00
04/25/2019 912828W48 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.125% 2/29/24 0.0000 0.000000 -32,336.96 0.00 0.00
04/26/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 23296.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
04/26/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 23296.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 23,296.00 0.00
04/26/2019 69353RDZ8 PAID ACCRUED INTEREST ON PURCHASE OF PNC BANK NA MTN 2.400% 10/18/19 0.0000 0.000000 -533.33 0.00 0.00
04/26/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 23296.0000
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
23,296.0000 0.000000 0.00 0.00 0.00
04/26/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 23296.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
04/30/2019 912828T67 INTEREST EARNED ON U S TREASURY NT 1.250% 10/31/21 $1 PV ON 6000000.0000
SHARES DUE 4/30/2019
0.0000 0.000000 37,500.00 0.00 0.00
14 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
04/30/2019 912828L99 INTEREST EARNED ON U S TREASURY NT 1.375% 10/31/20 $1 PV ON
10000000.0000 SHARES DUE 4/30/2019
0.0000 0.000000 68,750.00 0.00 0.00
04/30/2019 912828F62 INTEREST EARNED ON U S TREASURY NT 1.500% 10/31/19 $1 PV ON 2500000.0000
SHARES DUE 4/30/2019
0.0000 0.000000 18,750.00 0.00 0.00
05/01/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
4/30/2019 INTEREST FROM 4/1/19 TO 4/30/19
0.0000 0.000000 17,655.56 0.00 0.00
05/01/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
4/30/2019 INTEREST FROM 4/1/19 TO 4/30/19
0.0000 0.000000 39,422.49 0.00 0.00
05/01/2019 64971M5E8 INTEREST EARNED ON NEW YORK CITY NY 4.075% 11/01/20 $1 PV ON
1400000.0000 SHARES DUE 5/1/2019
0.0000 0.000000 28,525.00 0.00 0.00
05/03/2019 00440EAU1 INTEREST EARNED ON ACE INA HOLDINGS 2.875% 11/03/22 $1 PV ON
4169000.0000 SHARES DUE 5/3/2019
0.0000 0.000000 59,929.38 0.00 0.00
05/06/2019 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIFORNIA 0.0000 0.000000 6,400,000.00 0.00 0.00
05/07/2019 912796VA4 INTEREST EARNED ON U S TREASURY BILL 5/07/19 $1 PV ON 12000000.0000
SHARES DUE 5/7/2019 12,000,000 PAR VALUE AT 100 %
0.0000 0.000000 10,252.23 0.00 0.00
05/07/2019 912796VA4 INTEREST EARNED ON U S TREASURY BILL 5/07/19 $1 PV ON 20000000.0000
SHARES DUE 5/7/2019 20,000,000 PAR VALUE AT 100 %
0.0000 0.000000 17,087.06 0.00 0.00
05/07/2019 912796VA4 INTEREST EARNED ON U S TREASURY BILL 5/07/19 $1 PV ON 5000000.0000
SHARES DUE 5/7/2019 5,000,000 PAR VALUE AT 100 %
0.0000 0.000000 13,266.67 0.00 0.00
05/07/2019 06406RAE7 PAID ACCRUED INTEREST ON PURCHASE OF BANK OF NY MTN 2.950% 1/29/23 0.0000 0.000000 -8,030.56 0.00 0.00
05/07/2019 46625HRL6 PAID ACCRUED INTEREST ON PURCHASE OF JP MORGAN CHASE CO 2.700%
5/18/23
0.0000 0.000000 -12,675.00 0.00 0.00
05/07/2019 9128283S7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.000% 1/31/20 0.0000 0.000000 -79,558.01 0.00 0.00
05/13/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 29744.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
05/13/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 29744.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 29,744.00 0.00
05/13/2019 369550BE7 INTEREST EARNED ON GENERAL DYNAMICS 3.000% 5/11/21 $1 PV ON
3160000.0000 SHARES DUE 5/11/2019
0.0000 0.000000 47,400.00 0.00 0.00
05/13/2019 4581X0CX4 INTEREST EARNED ON INTER AMER DEV BK 1.625% 5/12/20 $1 PV ON
3035000.0000 SHARES DUE 5/12/2019
0.0000 0.000000 24,659.38 0.00 0.00
05/13/2019 09247XAL5 PAID ACCRUED INTEREST ON PURCHASE OF BLACKROCK INC 3.500% 3/18/24 0.0000 0.000000 -5,347.22 0.00 0.00
05/13/2019 458140BD1 PAID ACCRUED INTEREST ON PURCHASE OF INTEL CORP 2.875% 5/11/24 0.0000 0.000000 -798.61 0.00 0.00
05/13/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 29744.0000
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
29,744.0000 0.000000 0.00 0.00 0.00
05/13/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 29744.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
05/14/2019 40428HPR7 PAID ACCRUED INTEREST ON PURCHASE OF HSBC USA INC MTN 2.350% 3/05/20 0.0000 0.000000 -11,260.42 0.00 0.00
15 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
05/15/2019 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22 $1 PV ON 10084.2400
SHARES DUE 5/15/2019 $0.00161/PV ON 6,270,000.00 PV DUE 5/15/19
0.0000 0.000000 10,084.24 0.00 0.00
05/15/2019 084664BT7 INTEREST EARNED ON BERKSHIRE HATHAWAY 3.000% 5/15/22 $1 PV ON
4000000.0000 SHARES DUE 5/15/2019
0.0000 0.000000 60,000.00 0.00 0.00
05/15/2019 31348SWZ3 INTEREST EARNED ON F H L M C #786064 4.677% 1/01/28 $1 PV ON 7.5300 SHARES
DUE 5/15/2019 MARCH FHLMC DUE 5/15/19
0.0000 0.000000 7.53 0.00 0.00
05/15/2019 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 3.587% 8/15/32 $1 PV ON 33.2400
SHARES DUE 5/15/2019 $0.00299/PV ON 10,053.50 PV DUE 5/15/19
0.0000 0.000000 33.24 0.00 0.00
05/15/2019 43814QAC2 INTEREST EARNED ON HONDA AUTO 1.390% 4/15/20 $1 PV ON 167.8200
SHARES DUE 5/15/2019 $0.00116/PV ON 144,882.28 PV DUE 5/15/19
0.0000 0.000000 167.82 0.00 0.00
05/15/2019 47788MAC4 INTEREST EARNED ON JOHN DEERE OWNER 1.360% 4/15/20 $1 PV ON 10.2300
SHARES DUE 5/15/2019 $0.00113/PV ON 9,026.77 PV DUE 5/15/19
0.0000 0.000000 10.23 0.00 0.00
05/15/2019 47788NAD0 INTEREST EARNED ON JOHN DEERE OWNER 1.490% 5/15/23 $1 PV ON 1429.1600
SHARES DUE 5/15/2019 $0.00124/PV ON 1,151,000.00 PV DUE 5/15/19
0.0000 0.000000 1,429.16 0.00 0.00
05/15/2019 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820% 10/15/21 $1 PV ON 997.9300
SHARES DUE 5/15/2019 $0.00152/PV ON 657,973.35 PV DUE 5/15/19
0.0000 0.000000 997.93 0.00 0.00
05/15/2019 47788CAB8 INTEREST EARNED ON JOHN DEERE OWNER 2.420% 10/15/20 $1 PV ON 1856.8000
SHARES DUE 5/15/2019 $0.00202/PV ON 920,725.46 PV DUE 5/15/19
0.0000 0.000000 1,856.80 0.00 0.00
05/15/2019 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22 $1 PV ON 2970.3400
SHARES DUE 5/15/2019 $0.00222/PV ON 1,340,000.00 PV DUE 5/15/19
0.0000 0.000000 2,970.34 0.00 0.00
05/15/2019 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850% 12/15/21 $1 PV ON 7754.3800
SHARES DUE 5/15/2019 $0.00238/PV ON 3,265,000.00 PV DUE 5/15/19
0.0000 0.000000 7,754.38 0.00 0.00
05/15/2019 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080% 11/15/22 $1 PV ON 11883.6800
SHARES DUE 5/15/2019 $0.00257/PV ON 4,630,000.00 PV DUE 5/15/19
0.0000 0.000000 11,883.68 0.00 0.00
05/15/2019 65478VAD9 INTEREST EARNED ON NISSAN AUTO 1.320% 1/15/21 $1 PV ON 744.8700
SHARES DUE 5/15/2019 $0.00110/PV ON 677,154.38 PV DUE 5/15/19
0.0000 0.000000 744.87 0.00 0.00
05/15/2019 65477UAD2 INTEREST EARNED ON NISSAN AUTO 1.500% 9/15/21 $1 PV ON 602.4900
SHARES DUE 5/15/2019 $0.00125/PV ON 481,991.83 PV DUE 5/15/19
0.0000 0.000000 602.49 0.00 0.00
05/15/2019 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 3828.1200
SHARES DUE 5/15/2019 $0.00146/PV ON 2,625,000.00 PV DUE 5/15/19
0.0000 0.000000 3,828.12 0.00 0.00
05/15/2019 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23 $1 PV ON 9078.0000
SHARES DUE 5/15/2019 $0.00255/PV ON 3,560,000.00 PV DUE 5/15/19
0.0000 0.000000 9,078.00 0.00 0.00
05/15/2019 89238BAB8 INTEREST EARNED ON TOYOTA AUTO 2.100% 10/15/20 $1 PV ON 4317.8500
SHARES DUE 5/15/2019 $0.00175/PV ON 2,467,344.64 PV DUE 5/15/19
0.0000 0.000000 4,317.85 0.00 0.00
05/15/2019 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830% 10/15/21 $1 PV ON 8525.3600
SHARES DUE 5/15/2019 $0.00236/PV ON 3,615,000.00 PV DUE 5/15/19
0.0000 0.000000 8,525.36 0.00 0.00
05/15/2019 913366EJ5 INTEREST EARNED ON UNIV OF CALIFORNIA 5.035% 5/15/21 $1 PV ON 400000.0000
SHARES DUE 5/15/2019
0.0000 0.000000 10,070.00 0.00 0.00
16 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
05/16/2019 166764BG4 INTEREST EARNED ON CHEVRON CORP 2.100% 5/16/21 $1 PV ON 2500000.0000
SHARES DUE 5/16/2019
0.0000 0.000000 26,250.00 0.00 0.00
05/17/2019 3137EAEK1 INTEREST EARNED ON F H L M C M T N 1.875% 11/17/20 $1 PV ON 5000000.0000
SHARES DUE 5/17/2019
0.0000 0.000000 46,875.00 0.00 0.00
05/20/2019 36225CAZ9 INTEREST EARNED ON G N M A I I #080023 4.125% 12/20/26 $1 PV ON 60.5600
SHARES DUE 5/20/2019 APRIL GNMA DUE 5/20/19
0.0000 0.000000 60.56 0.00 0.00
05/20/2019 36225CC20 INTEREST EARNED ON G N M A I I #080088 3.625% 6/20/27 $1 PV ON 51.7700
SHARES DUE 5/20/2019 APRIL GNMA DUE 5/20/19
0.0000 0.000000 51.77 0.00 0.00
05/20/2019 36225CNM4 INTEREST EARNED ON G N M A I I #080395 3.625% 4/20/30 $1 PV ON 21.2000
SHARES DUE 5/20/2019 APRIL GNMA DUE 5/20/19
0.0000 0.000000 21.20 0.00 0.00
05/20/2019 36225CN28 INTEREST EARNED ON G N M A I I #080408 3.625% 5/20/30 $1 PV ON 168.2700
SHARES DUE 5/20/2019 APRIL GNMA DUE 5/20/19
0.0000 0.000000 168.27 0.00 0.00
05/20/2019 36225DCB8 INTEREST EARNED ON G N M A I I #080965 3.750% 7/20/34 $1 PV ON 152.1000
SHARES DUE 5/20/2019 APRIL GNMA DUE 5/20/19
0.0000 0.000000 152.10 0.00 0.00
05/20/2019 43814RAC0 INTEREST EARNED ON HONDA AUTO 1.210% 12/18/20 $1 PV ON 1253.1500
SHARES DUE 5/18/2019 $0.00101/PV ON 1,242,798.16 PV DUE 5/18/19
0.0000 0.000000 1,253.15 0.00 0.00
05/20/2019 43814PAB6 INTEREST EARNED ON HONDA AUTO 1.570% 1/21/20 $1 PV ON 8.6500 SHARES
DUE 5/18/2019 $0.00131/PV ON 6,613.28 PV DUE 5/18/19
0.0000 0.000000 8.65 0.00 0.00
05/20/2019 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 4609.2500
SHARES DUE 5/18/2019 $0.00149/PV ON 3,090,000.00 PV DUE 5/18/19
0.0000 0.000000 4,609.25 0.00 0.00
05/20/2019 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 10071.8800
SHARES DUE 5/18/2019 $0.00229/PV ON 4,395,000.00 PV DUE 5/18/19
0.0000 0.000000 10,071.88 0.00 0.00
05/20/2019 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22 $1 PV ON 4289.2500
SHARES DUE 5/18/2019 $0.00251/PV ON 1,710,000.00 PV DUE 5/18/19
0.0000 0.000000 4,289.25 0.00 0.00
05/20/2019 46625HRL6 INTEREST EARNED ON JP MORGAN CHASE CO 2.700% 5/18/23 $1 PV ON
5000000.0000 SHARES DUE 5/18/2019
0.0000 0.000000 67,500.00 0.00 0.00
05/20/2019 58933YAF2 INTEREST EARNED ON MERCK CO INC 2.800% 5/18/23 $1 PV ON 2000000.0000
SHARES DUE 5/18/2019
0.0000 0.000000 28,000.00 0.00 0.00
05/20/2019 747525AD5 INTEREST EARNED ON QUALCOMM INC 2.250% 5/20/20 $1 PV ON 5000000.0000
SHARES DUE 5/20/2019
0.0000 0.000000 56,250.00 0.00 0.00
05/21/2019 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22 $1 PV ON 9759.5700
SHARES DUE 5/21/2019 $0.00246/PV ON 3,970,000.00 PV DUE 5/21/19
0.0000 0.000000 9,759.57 0.00 0.00
05/21/2019 912796VC0 INTEREST EARNED ON U S TREASURY BILL 5/21/19 $1 PV ON 10000000.0000
SHARES DUE 5/21/2019 10,000,000 PAR VALUE AT 100 %
0.0000 0.000000 17,802.75 0.00 0.00
05/21/2019 037833CU2 PAID ACCRUED INTEREST ON PURCHASE OF APPLE INC 2.850% 5/11/24 0.0000 0.000000 -2,375.00 0.00 0.00
05/22/2019 912828H52 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.250% 1/31/20 0.0000 0.000000 -19,164.36 0.00 0.00
05/22/2019 9128282X7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.375% 9/30/19 0.0000 0.000000 -19,535.52 0.00 0.00
05/23/2019 808513AT2 PAID ACCRUED INTEREST ON PURCHASE OF CHARLES SCHWAB CORP 2.650%
1/25/23
0.0000 0.000000 -58,631.25 0.00 0.00
17 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
05/23/2019 94974BGF1 PAID ACCRUED INTEREST ON PURCHASE OF WELLS FARGO MTN 2.150% 1/30/20 0.0000 0.000000 -6,748.61 0.00 0.00
05/28/2019 03215PFN4 INTEREST EARNED ON AMRESCO 3.75831% 6/25/29 $1 PV ON 418.8700
SHARES DUE 5/25/2019 $0.00313/PV ON 133,743.29 PV DUE 5/25/19
0.0000 0.000000 418.87 0.00 0.00
05/28/2019 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20 $1 PV ON 3163.6700
SHARES DUE 5/25/2019 $0.00354/PV ON 893,062.65 PV DUE 5/25/19
0.0000 0.000000 3,163.67 0.00 0.00
05/28/2019 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43 $1 PV ON 3979.4300
SHARES DUE 5/25/2019 $0.00542/PV ON 734,664.42 PV DUE 5/25/19
0.0000 0.000000 3,979.43 0.00 0.00
05/28/2019 31371NUC7 INTEREST EARNED ON F N M A #257179 4.500% 4/01/28 $1 PV ON 57.8200
SHARES DUE 5/25/2019 APRIL FNMA DUE 5/25/19
0.0000 0.000000 57.82 0.00 0.00
05/28/2019 31376KT22 INTEREST EARNED ON F N M A #357969 5.000% 9/01/35 $1 PV ON 447.3900
SHARES DUE 5/25/2019 APRIL FNMA DUE 5/25/19
0.0000 0.000000 447.39 0.00 0.00
05/28/2019 31381PDA3 INTEREST EARNED ON F N M A #466397 3.400% 11/01/20 $1 PV ON 965.9400
SHARES DUE 5/25/2019 APRIL FNMA DUE 5/25/19
0.0000 0.000000 965.94 0.00 0.00
05/28/2019 31403DJZ3 INTEREST EARNED ON F N M A #745580 5.000% 6/01/36 $1 PV ON 414.1400
SHARES DUE 5/25/2019 APRIL FNMA DUE 5/25/19
0.0000 0.000000 414.14 0.00 0.00
05/28/2019 31403GXF4 INTEREST EARNED ON F N M A #748678 5.000% 10/01/33 $1 PV ON 7.6100 SHARES
DUE 5/25/2019 APRIL FNMA DUE 5/25/19
0.0000 0.000000 7.61 0.00 0.00
05/28/2019 31406PQY8 INTEREST EARNED ON F N M A #815971 5.000% 3/01/35 $1 PV ON 722.9600
SHARES DUE 5/25/2019 APRIL FNMA DUE 5/25/19
0.0000 0.000000 722.96 0.00 0.00
05/28/2019 31406XWT5 INTEREST EARNED ON F N M A #823358 4.722% 2/01/35 $1 PV ON 438.5900
SHARES DUE 5/25/2019 APRIL FNMA DUE 5/25/19
0.0000 0.000000 438.59 0.00 0.00
05/28/2019 31407BXH7 INTEREST EARNED ON F N M A #826080 5.000% 7/01/35 $1 PV ON 83.3000
SHARES DUE 5/25/2019 APRIL FNMA DUE 5/25/19
0.0000 0.000000 83.30 0.00 0.00
05/28/2019 31410F4V4 INTEREST EARNED ON F N M A #888336 5.000% 7/01/36 $1 PV ON 818.6800
SHARES DUE 5/25/2019 APRIL FNMA DUE 5/25/19
0.0000 0.000000 818.68 0.00 0.00
05/28/2019 3138EG6F6 INTEREST EARNED ON F N M A #AL0869 4.500% 6/01/29 $1 PV ON 41.2400
SHARES DUE 5/25/2019 APRIL FNMA DUE 5/25/19
0.0000 0.000000 41.24 0.00 0.00
05/28/2019 31417YAY3 INTEREST EARNED ON F N M A #MA0022 4.500% 4/01/29 $1 PV ON 67.5300
SHARES DUE 5/25/2019 APRIL FNMA DUE 5/25/19
0.0000 0.000000 67.53 0.00 0.00
05/28/2019 31397QRE0 INTEREST EARNED ON F N M A GTD REMIC 1.113% 2/25/41 $1 PV ON 536.3800
SHARES DUE 5/25/2019 $0.00263/PV ON 203,907.35 PV DUE 5/25/19
0.0000 0.000000 536.38 0.00 0.00
05/29/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 32240.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
05/29/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 32240.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 32,240.00 0.00
05/29/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 32240.0000
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
32,240.0000 0.000000 0.00 0.00 0.00
05/29/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 32240.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
18 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
05/30/2019 3135G0F73 INTEREST EARNED ON F N M A 1.500% 11/30/20 $1 PV ON 7500000.0000
SHARES DUE 5/30/2019
0.0000 0.000000 56,250.00 0.00 0.00
05/30/2019 89114MM20 PAID ACCRUED INTEREST ON PURCHASE OF TORONTO DOMINION C D 2.470%
9/30/19
0.0000 0.000000 -137.22 0.00 0.00
05/31/2019 912828XE5 INTEREST EARNED ON U S TREASURY NT 1.500% 5/31/20 $1 PV ON 5000000.0000
SHARES DUE 5/31/2019
0.0000 0.000000 37,500.00 0.00 0.00
05/31/2019 912828G61 INTEREST EARNED ON U S TREASURY NT 1.500% 11/30/19 $1 PV ON 7500000.0000
SHARES DUE 5/31/2019
0.0000 0.000000 56,250.00 0.00 0.00
05/31/2019 912828R69 INTEREST EARNED ON U S TREASURY NT 1.625% 5/31/23 $1 PV ON 5000000.0000
SHARES DUE 5/31/2019
0.0000 0.000000 40,625.00 0.00 0.00
05/31/2019 912828U65 INTEREST EARNED ON U S TREASURY NT 1.750% 11/30/21 $1 PV ON 7000000.0000
SHARES DUE 5/31/2019
0.0000 0.000000 61,250.00 0.00 0.00
05/31/2019 912828M80 INTEREST EARNED ON U S TREASURY NT 2.000% 11/30/22 $1 PV ON 8000000.0000
SHARES DUE 5/31/2019
0.0000 0.000000 80,000.00 0.00 0.00
05/31/2019 912828U57 INTEREST EARNED ON U S TREASURY NT 2.125% 11/30/23 $1 PV ON
15000000.0000 SHARES DUE 5/31/2019
0.0000 0.000000 159,375.00 0.00 0.00
06/03/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
5/31/2019 INTEREST FROM 5/1/19 TO 5/31/19
0.0000 0.000000 23,095.04 0.00 0.00
06/03/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
5/31/2019 INTEREST FROM 5/1/19 TO 5/31/19
0.0000 0.000000 58,362.04 0.00 0.00
06/03/2019 73358WAG9 INTEREST EARNED ON PORT AUTH NY NJ 5.309% 12/01/19 $1 PV ON 2440000.0000
SHARES DUE 6/1/2019
0.0000 0.000000 64,769.80 0.00 0.00
06/06/2019 94988J5G8 INTEREST EARNED ON WELLS FARGO MTN 2.150% 12/06/19 $1 PV ON 500000.0000
SHARES DUE 6/6/2019
0.0000 0.000000 5,375.00 0.00 0.00
06/07/2019 89113X3W2 INTEREST EARNED ON TORONTO DOMINION C D 2.700% 6/07/19 $1 PV ON
1000000.0000 SHARES DUE 6/7/2019 INTEREST ON 6/7/19 MATURITY
0.0000 0.000000 26,250.00 0.00 0.00
06/10/2019 313383QR5 INTEREST EARNED ON F H L B DEB 3.250% 6/09/23 $1 PV ON 5000000.0000
SHARES DUE 6/10/2019 6/10/19 INT
0.0000 0.000000 81,250.00 0.00 0.00
06/10/2019 3130A0F70 INTEREST EARNED ON F H L B DEB 3.375% 12/08/23 $1 PV ON 10000000.0000
SHARES DUE 6/8/2019
0.0000 0.000000 168,750.00 0.00 0.00
06/10/2019 69353RFL7 INTEREST EARNED ON PNC BANK NA 3.500% 6/08/23 $1 PV ON 5000000.0000
SHARES DUE 6/8/2019
0.0000 0.000000 87,500.00 0.00 0.00
06/11/2019 06370RQY8 INTEREST EARNED ON BANK MONTREAL C D 2.860% 6/11/19 $1 PV ON
2000000.0000 SHARES DUE 6/11/2019 INTEREST ON 6/11/19 MATURITY
0.0000 0.000000 28,917.78 0.00 0.00
06/11/2019 313379RB7 INTEREST EARNED ON F H L B DEB 1.875% 6/11/21 $1 PV ON 4000000.0000
SHARES DUE 6/11/2019
0.0000 0.000000 37,500.00 0.00 0.00
06/11/2019 912828WJ5 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.500% 5/15/24 0.0000 0.000000 -12,839.67 0.00 0.00
06/12/2019 313383HU8 INTEREST EARNED ON F H L B DEB 1.750% 6/12/20 $1 PV ON 5000000.0000
SHARES DUE 6/12/2019
0.0000 0.000000 43,750.00 0.00 0.00
19 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
06/13/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 29536.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
06/13/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 29536.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 29,536.00 0.00
06/13/2019 313384GV5 INTEREST EARNED ON F H L B DISC NTS 6/13/19 $1 PV ON 5000000.0000
SHARES DUE 6/13/2019 5,000,000 PAR VALUE AT 100 %
0.0000 0.000000 28,905.56 0.00 0.00
06/13/2019 912796RU5 INTEREST EARNED ON U S TREASURY BILL 6/13/19 $1 PV ON 10000000.0000
SHARES DUE 6/13/2019 10,000,000 PAR VALUE AT 100 %
0.0000 0.000000 22,454.17 0.00 0.00
06/13/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 29536.0000
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
29,536.0000 0.000000 0.00 0.00 0.00
06/13/2019 674599CK9 RECEIVED ACCRUED INTEREST ON SALE OF OCCIDENTAL PETROLEUM 2.600%
4/15/22
0.0000 0.000000 4,775.33 0.00 0.00
06/13/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 29536.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
06/14/2019 89114QCA4 PAID ACCRUED INTEREST ON PURCHASE OF TORONTO DOMINION MTN 2.650%
6/12/24
0.0000 0.000000 -441.67 0.00 0.00
06/17/2019 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22 $1 PV ON 10084.2400
SHARES DUE 6/15/2019 $0.00161/PV ON 6,270,000.00 PV DUE 6/15/19
0.0000 0.000000 10,084.24 0.00 0.00
06/17/2019 31348SWZ3 INTEREST EARNED ON F H L M C #786064 4.677% 1/01/28 $1 PV ON 7.4700 SHARES
DUE 6/15/2019 APRIL FHLMC DUE 6/15/19
0.0000 0.000000 7.47 0.00 0.00
06/17/2019 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 3.587% 8/15/32 $1 PV ON 32.0200
SHARES DUE 6/15/2019 $0.00299/PV ON 9,600.65 PV DUE 6/15/19
0.0000 0.000000 32.02 0.00 0.00
06/17/2019 43814QAC2 INTEREST EARNED ON HONDA AUTO 1.390% 4/15/20 $1 PV ON 85.9600
SHARES DUE 6/15/2019 $0.00116/PV ON 74,208.08 PV DUE 6/15/19
0.0000 0.000000 85.96 0.00 0.00
06/17/2019 47788NAD0 INTEREST EARNED ON JOHN DEERE OWNER 1.490% 5/15/23 $1 PV ON 1429.1600
SHARES DUE 6/15/2019 $0.00124/PV ON 1,151,000.00 PV DUE 6/15/19
0.0000 0.000000 1,429.16 0.00 0.00
06/17/2019 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820% 10/15/21 $1 PV ON 897.4200
SHARES DUE 6/15/2019 $0.00152/PV ON 591,706.20 PV DUE 6/15/19
0.0000 0.000000 897.42 0.00 0.00
06/17/2019 47788CAB8 INTEREST EARNED ON JOHN DEERE OWNER 2.420% 10/15/20 $1 PV ON 1480.6100
SHARES DUE 6/15/2019 $0.00202/PV ON 734,185.32 PV DUE 6/15/19
0.0000 0.000000 1,480.61 0.00 0.00
06/17/2019 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22 $1 PV ON 2970.3300
SHARES DUE 6/15/2019 $0.00222/PV ON 1,340,000.00 PV DUE 6/15/19
0.0000 0.000000 2,970.33 0.00 0.00
06/17/2019 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850% 12/15/21 $1 PV ON 7754.3800
SHARES DUE 6/15/2019 $0.00238/PV ON 3,265,000.00 PV DUE 6/15/19
0.0000 0.000000 7,754.38 0.00 0.00
06/17/2019 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080% 11/15/22 $1 PV ON 11883.6700
SHARES DUE 6/15/2019 $0.00257/PV ON 4,630,000.00 PV DUE 6/15/19
0.0000 0.000000 11,883.67 0.00 0.00
06/17/2019 65478VAD9 INTEREST EARNED ON NISSAN AUTO 1.320% 1/15/21 $1 PV ON 643.6200
SHARES DUE 6/15/2019 $0.00110/PV ON 585,108.60 PV DUE 6/15/19
0.0000 0.000000 643.62 0.00 0.00
20 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
06/17/2019 65477UAD2 INTEREST EARNED ON NISSAN AUTO 1.500% 9/15/21 $1 PV ON 427.9000
SHARES DUE 6/15/2019 $0.00125/PV ON 342,320.36 PV DUE 6/15/19
0.0000 0.000000 427.90 0.00 0.00
06/17/2019 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 3828.1200
SHARES DUE 6/15/2019 $0.00146/PV ON 2,625,000.00 PV DUE 6/15/19
0.0000 0.000000 3,828.12 0.00 0.00
06/17/2019 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23 $1 PV ON 9078.0000
SHARES DUE 6/15/2019 $0.00255/PV ON 3,560,000.00 PV DUE 6/15/19
0.0000 0.000000 9,078.00 0.00 0.00
06/17/2019 89238BAB8 INTEREST EARNED ON TOYOTA AUTO 2.100% 10/15/20 $1 PV ON 3663.4300
SHARES DUE 6/15/2019 $0.00175/PV ON 2,093,384.74 PV DUE 6/15/19
0.0000 0.000000 3,663.43 0.00 0.00
06/17/2019 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830% 10/15/21 $1 PV ON 8525.3700
SHARES DUE 6/15/2019 $0.00236/PV ON 3,615,000.00 PV DUE 6/15/19
0.0000 0.000000 8,525.37 0.00 0.00
06/17/2019 3130A1XJ2 PAID ACCRUED INTEREST ON PURCHASE OF F H L B 2.875% 6/14/24 0.0000 0.000000 -1,365.63 0.00 0.00
06/18/2019 43814RAC0 INTEREST EARNED ON HONDA AUTO 1.210% 12/18/20 $1 PV ON 1099.8100
SHARES DUE 6/18/2019 $0.00101/PV ON 1,090,716.81 PV DUE 6/18/19
0.0000 0.000000 1,099.81 0.00 0.00
06/18/2019 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 4325.1300
SHARES DUE 6/18/2019 $0.00149/PV ON 2,899,532.15 PV DUE 6/18/19
0.0000 0.000000 4,325.13 0.00 0.00
06/18/2019 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 10071.8800
SHARES DUE 6/18/2019 $0.00229/PV ON 4,395,000.00 PV DUE 6/18/19
0.0000 0.000000 10,071.88 0.00 0.00
06/18/2019 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22 $1 PV ON 4289.2500
SHARES DUE 6/18/2019 $0.00251/PV ON 1,710,000.00 PV DUE 6/18/19
0.0000 0.000000 4,289.25 0.00 0.00
06/19/2019 3137EAEN5 INTEREST EARNED ON F H L M C 2.750% 6/19/23 $1 PV ON 10000000.0000
SHARES DUE 6/19/2019
0.0000 0.000000 137,500.00 0.00 0.00
06/19/2019 3130A1XJ2 PAID ACCRUED INTEREST ON PURCHASE OF F H L B 2.875% 6/14/24 0.0000 0.000000 -2,160.24 0.00 0.00
06/20/2019 36225CAZ9 INTEREST EARNED ON G N M A I I #080023 4.125% 12/20/26 $1 PV ON 58.1900
SHARES DUE 6/20/2019 MAY GNMA DUE 6/20/19
0.0000 0.000000 58.19 0.00 0.00
06/20/2019 36225CC20 INTEREST EARNED ON G N M A I I #080088 3.625% 6/20/27 $1 PV ON 51.2100
SHARES DUE 6/20/2019 MAY GNMA DUE 6/20/19
0.0000 0.000000 51.21 0.00 0.00
06/20/2019 36225CNM4 INTEREST EARNED ON G N M A I I #080395 3.625% 4/20/30 $1 PV ON 20.7900
SHARES DUE 6/20/2019 MAY GNMA DUE 6/20/19
0.0000 0.000000 20.79 0.00 0.00
06/20/2019 36225CN28 INTEREST EARNED ON G N M A I I #080408 3.625% 5/20/30 $1 PV ON 165.6400
SHARES DUE 6/20/2019 MAY GNMA DUE 6/20/19
0.0000 0.000000 165.64 0.00 0.00
06/20/2019 36225DCB8 INTEREST EARNED ON G N M A I I #080965 3.750% 7/20/34 $1 PV ON 149.2000
SHARES DUE 6/20/2019 MAY GNMA DUE 6/20/19
0.0000 0.000000 149.20 0.00 0.00
06/20/2019 62479MTL7 INTEREST EARNED ON MUFG BANK LTD NY BRAN C P 6/20/19 $1 PV ON
10020000.0000 SHARES DUE 6/20/2019 10,020,000 PAR VALUE AT 100 %
0.0000 0.000000 86,840.00 0.00 0.00
06/20/2019 62479MTL7 INTEREST EARNED ON MUFG BANK LTD NY BRAN C P 6/20/19 $1 PV ON
2160000.0000 SHARES DUE 6/20/2019 2,160,000 PAR VALUE AT 100 %
0.0000 0.000000 18,720.00 0.00 0.00
06/21/2019 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22 $1 PV ON 9759.5800
SHARES DUE 6/21/2019 $0.00246/PV ON 3,970,000.00 PV DUE 6/21/19
0.0000 0.000000 9,759.58 0.00 0.00
21 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
06/24/2019 166764AH3 INTEREST EARNED ON CHEVRON CORP 3.191% 6/24/23 $1 PV ON 3500000.0000
SHARES DUE 6/24/2019
0.0000 0.000000 55,842.50 0.00 0.00
06/24/2019 3135G0U35 INTEREST EARNED ON F N M A 2.750% 6/22/21 $1 PV ON 7500000.0000
SHARES DUE 6/22/2019
0.0000 0.000000 103,125.00 0.00 0.00
06/24/2019 3135G0D75 INTEREST EARNED ON F N M A DEB 1.500% 6/22/20 $1 PV ON 5000000.0000
SHARES DUE 6/22/2019
0.0000 0.000000 37,500.00 0.00 0.00
06/24/2019 674599CK9 RECEIVED ACCRUED INTEREST ON SALE OF OCCIDENTAL PETROLEUM 2.600%
4/15/22
0.0000 0.000000 5,730.83 0.00 0.00
06/25/2019 03215PFN4 INTEREST EARNED ON AMRESCO 3.14513% 6/25/29 $1 PV ON 350.5300
SHARES DUE 6/25/2019 $0.00262/PV ON 133,743.29 PV DUE 6/25/19
0.0000 0.000000 350.53 0.00 0.00
06/25/2019 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20 $1 PV ON 3131.8900
SHARES DUE 6/25/2019 $0.00354/PV ON 884,090.32 PV DUE 6/25/19
0.0000 0.000000 3,131.89 0.00 0.00
06/25/2019 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43 $1 PV ON 3899.9600
SHARES DUE 6/25/2019 $0.00542/PV ON 719,993.82 PV DUE 6/25/19
0.0000 0.000000 3,899.96 0.00 0.00
06/25/2019 31371NUC7 INTEREST EARNED ON F N M A #257179 4.500% 4/01/28 $1 PV ON 57.3300
SHARES DUE 6/25/2019 MAY FNMA DUE 6/25/19
0.0000 0.000000 57.33 0.00 0.00
06/25/2019 31376KT22 INTEREST EARNED ON F N M A #357969 5.000% 9/01/35 $1 PV ON 442.3300
SHARES DUE 6/25/2019 MAY FNMA DUE 6/25/19
0.0000 0.000000 442.33 0.00 0.00
06/25/2019 31381PDA3 INTEREST EARNED ON F N M A #466397 3.400% 11/01/20 $1 PV ON 995.9900
SHARES DUE 6/25/2019 P & I DUE 06/25/19
0.0000 0.000000 995.99 0.00 0.00
06/25/2019 31403DJZ3 INTEREST EARNED ON F N M A #745580 5.000% 6/01/36 $1 PV ON 406.6600
SHARES DUE 6/25/2019 MAY FNMA DUE 6/25/19
0.0000 0.000000 406.66 0.00 0.00
06/25/2019 31403GXF4 INTEREST EARNED ON F N M A #748678 5.000% 10/01/33 $1 PV ON 7.5700 SHARES
DUE 6/25/2019 MAY FNMA DUE 6/25/19
0.0000 0.000000 7.57 0.00 0.00
06/25/2019 31406PQY8 INTEREST EARNED ON F N M A #815971 5.000% 3/01/35 $1 PV ON 699.0900
SHARES DUE 6/25/2019 MAY FNMA DUE 6/25/19
0.0000 0.000000 699.09 0.00 0.00
06/25/2019 31406XWT5 INTEREST EARNED ON F N M A #823358 4.722% 2/01/35 $1 PV ON 436.8900
SHARES DUE 6/25/2019 MAY FNMA DUE 6/25/19
0.0000 0.000000 436.89 0.00 0.00
06/25/2019 31407BXH7 INTEREST EARNED ON F N M A #826080 5.000% 7/01/35 $1 PV ON 82.2800
SHARES DUE 6/25/2019 MAY FNMA DUE 6/25/19
0.0000 0.000000 82.28 0.00 0.00
06/25/2019 31410F4V4 INTEREST EARNED ON F N M A #888336 5.000% 7/01/36 $1 PV ON 804.8600
SHARES DUE 6/25/2019 MAY FNMA DUE 6/25/19
0.0000 0.000000 804.86 0.00 0.00
06/25/2019 3138EG6F6 INTEREST EARNED ON F N M A #AL0869 4.500% 6/01/29 $1 PV ON 40.7500
SHARES DUE 6/25/2019 MAY FNMA DUE 6/25/19
0.0000 0.000000 40.75 0.00 0.00
06/25/2019 31417YAY3 INTEREST EARNED ON F N M A #MA0022 4.500% 4/01/29 $1 PV ON 66.6200
SHARES DUE 6/25/2019 MAY FNMA DUE 6/25/19
0.0000 0.000000 66.62 0.00 0.00
06/25/2019 31397QRE0 INTEREST EARNED ON F N M A GTD REMIC 1.113% 2/25/41 $1 PV ON 521.4400
SHARES DUE 6/25/2019 $0.00259/PV ON 201,213.15 PV DUE 6/25/19
0.0000 0.000000 521.44 0.00 0.00
22 of 23
U.S. Bank
Transaction History
04/01/2019 Thru 06/30/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
06/25/2019 912796VH9 INTEREST EARNED ON U S TREASURY BILL 6/25/19 $1 PV ON 5000000.0000
SHARES DUE 6/25/2019 5,000,000 PAR VALUE AT 100 %
0.0000 0.000000 8,313.50 0.00 0.00
06/25/2019 96130AAK4 PAID ACCRUED INTEREST ON PURCHASE OF WESTPAC BKING C D 2.970%
10/18/19
0.0000 0.000000 -30,813.75 0.00 0.00
06/25/2019 674599CK9 RECEIVED ACCRUED INTEREST ON SALE OF OCCIDENTAL PETROLEUM 2.600%
4/15/22
0.0000 0.000000 5,358.89 0.00 0.00
06/26/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 29536.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
06/26/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 29536.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 29,536.00 0.00
06/26/2019 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20 $1 PV ON 3131.8900
SHARES DUE 6/25/2019 $0.00354/PV ON 884,090.32 PV DUE 6/25/19
0.0000 0.000000 3,131.89 0.00 0.00
06/26/2019 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20 $1 PV ON 3131.8900
SHARES DUE 6/25/2019 RATE REVISION
0.0000 0.000000 -3,131.89 0.00 0.00
06/26/2019 931142EK5 INTEREST EARNED ON WALMART INC 3.400% 6/26/23 $1 PV ON 3880000.0000
SHARES DUE 6/26/2019
0.0000 0.000000 65,960.00 0.00 0.00
06/26/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 29536.0000
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
29,536.0000 0.000000 0.00 0.00 0.00
06/26/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 29536.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
06/28/2019 912828H52 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.250% 1/31/20 0.0000 0.000000 -17,886.74 0.00 0.00
TOTAL OTHER TRANSACTIONS 166,712.0000 100,456,324.20 163,261.47 0.00
23 of 23
June 30, 2019
Orange County Sanitation District
Investment Measurement Service
Quarterly Review
Information contained herein includes confidential, trade secret and proprietary information. Neither this Report nor any specific information contained herein is
to be used other than by the intended recipient for its intended purpose or disseminated to any other person without Callan’s permission. Certain information
herein has been compiled by Callan and is based on information provided by a variety of sources believed to be reliable for which Callan has not necessarily
verified the accuracy or completeness of or updated. This content may consist of statements of opinion, which are made as of the date they are expressed and
are not statements of fact. This content is for informational purposes only and should not be construed as legal or tax advice on any matter. Any decision you
make on the basis of this content is your sole responsibility. You should consult with legal and tax advisers before applying any of this information to your
particular situation. Past performance is no guarantee of future results. For further information, please see Appendix for Important Information and Disclosures.
Table of Contents
June 30, 2019
Capital Market Review 1
Active Management Overview
Market Overview 7
Domestic Fixed Income 8
Asset Allocation
Investment Manager Asset Allocation 10
Investment Manager Returns 11
Asset Class Risk and Return 15
Manager Analysis
Chandler-Long Term Operating Fund 17
Chandler-Liquid Operating Money 21
Callan Research/Education 23
Definitions 26
Disclosures 31
Orange County Sanitation District Executive Summary for Period Ending June 30, 2019
Asset Allocation
Performance
* Current Quarter Target = 80.0% ML 1-5 Govt/Corp and 20.0% FTSE 3mo T-Bills. ^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
Recent Developments
During the quarter, $42.4 million was deposited into the Long Term Operating Fund and $55.0
million was contributed to the Liquid Operating Monies for a combined net new investment of
$97.4 million.
Organizational Issues
N/A
Fixed Income Market Snapshot
The Fed maintained its target range for the Federal Funds Rate at 2.25% to 2.50% in the
second quarter, but struck a more dovish tone indicating that rate cuts are likely on the horizon
for 2019. Yields on U.S. Treasury bonds fell across the maturity spectrum. One- to five-year
maturities experienced the largest drops in yield, with the 10-year falling 41 bps to 2.00%. The
spread between the three-month and the 10-year maturities ended the quarter in negative
territory, however, the more closely monitored two-year and 10-year spread actually steepened
to 25 bps from 14 bps. Investment-grade credit performed particularly well, supported by
technical tailwinds of lighter supply as compared to 12 months prior. Investment grade credit
June 30, 2019 March 31, 2019
Market Value Weight Net New Inv.Inv. Return Market Value Weight
Domestic Fixed IncomeLong Term Operating Fund*558,200,609 77.23%42,400,000 9,658,595 506,142,014 82.35%Liquid Operating Monies*164,566,646 22.77%55,000,000 1,065,156 108,501,490 17.65%
Total Fund $722,767,255 100.0%$97,400,000 $10,723,751 $614,643,504 100.0%
Last Last LastLastLast 3 5 7
Quarter Year Years Years Years
Domestic Fixed IncomeLong Term Operating Fund^1.77%4.93%1.77%1.79%1.40%
Chandler 1.77%4.93%1.77%-- Blmbg Govt/Cred 1-5 Year Idx 1.92%5.34%1.72%1.82%1.65% ML 1-5 Govt/Corp 1.92%5.37%1.75%1.85%1.71%
Liquid Operating Monies^0.69%2.39%1.44%0.97%0.73% Chandler 0.69%2.39%1.44%-- Citigroup 3-Month Treasury Bill 0.61%2.30%1.36%0.84%0.62%
Total Fund 1.52%4.43%1.65%1.59%1.25%
Target*1.66%4.75%1.67%1.65%1.49%
2
Orange County Sanitation District
spreads tightened four bps during the quarter to 115 bps. RMBS underperformed other fixed
income sectors as pre-payment concerns grew on the back of lower mortgage rates.
Manager Performance
The Long Term Operating Fund returned 1.77% during the quarter, which marked the third
consecutive quarter of underperformance compared to the ML U.S. 1-5 Corp/Gov Index
(+1.92%). Over the trailing 12 months, the Fund has underperformed the benchmark by 44
basis points. However, ranked against peers, the Fund is performing in the top quartile over the
trailing one-quarter (16th percentile) and one-year (21st percentile) periods. During the second
quarter, the Fund was underweight the one- to three-year section of the treasury curve which
contributed to relative underperformance as yields dropped more significantly in that segment of
the maturity distribution. The Fund continued to maintain a lower duration than the benchmark
which also hindered the Fund’s relative performance. Positive sector allocation decisions,
particularly overweights to Corporates and Agencies, helped to mitigate overall
underperformance. The portfolio had less than 30% invested in credit (23%) and less than the
permitted 20% invested in the combination of asset-backed securities (8%), commercial
mortgage backed securities (0%), and CMOs (0%) as of June 30, 2019 (see page 20).
The Liquid Operating Portfolio appreciated 0.66% (after fees) in the second quarter, outpacing
the 3-month Treasury return of 0.61%. Over the trailing 12 months, the Portfolio gained 2.24%,
which ranked in the 28th percentile among peers.
Cordially,
Gordon M. Weightman, CFA
Senior Vice President
Capital Market Review
Russell 3000
Russell 1000
Russell 1000 Growth
Russell 1000 Value
S&P 500
Russell Midcap
Russell 2500
Russell 2000
U.S. Equity: Quarterly Returns
4.1%
4.2%
4.6%
3.8%
4.3%
4.1%
3.0%
2.1%
Russell 3000
Russell 1000
Russell 1000 Growth
Russell 1000 Value
S&P 500
Russell Midcap
Russell 2500
Russell 2000
U.S. Equity: One-Year Returns
9.0%
10.0%
11.6%
8.5%
10.4%
7.8%
1.8%
-3.3%
Source: Standard & Poor’s
U.S. EQUITY
Markets continued to march upward, and U.S. equities neared
record highs. Growth outpaced value, as the dovish stance of
the Fed was a headwind for valuation-sensitive stocks. Small
cap stocks lagged large caps, possibly from economic
weakness.
Large Cap U.S. Equity (S&P 500: +4.3%; Russell 1000:
+4.2%)
–U.S. equity showed strong gains as market participants
anticipated another round of monetary easing from the Fed.
–Financials (+8.0%) was the best-performing sector; Energy
(-2.8%) was the only sector to experience negative returns
over the quarter.
–Trade rhetoric weighed on U.S. stocks in May followed by a
June rebound.
–Given the increase in risk appetite, cyclicals outperformed
while defensive sectors such as Utilities underperformed.
Growth vs. Value (Russell 1000 Growth: +4.6%; Russell 1000
Value: +3.8%)
–Value factors (P/B, P/E trailing, and yield) were mixed while
growth factors (EPS growth, sales growth) were positive in
the quarter.
Small Cap (Russell 2000: +2.1%)
–Market conditions (e.g., more dovish Fed, strong U.S. dollar,
trade tensions) should have benefited small cap companies,
but did not.
–A slowing economy may explain weakness for small caps.
Large caps tend to have stronger balance sheets and are
more capable of weathering downturns.
Capital Market Overview June 30, 2019
S&P Sector Returns, Quarter Ended June 30, 2019
Last Quarter
4.5%5.3%
3.7%
-2.8%
8.0%
1.4%
6.1%
3.6%
6.3%
2.5%3.5%
Services
Communication
Discretionary
Consumer
Staples
Consumer Energy Financials Health Care Industrials
Technology
Information Materials Real Estate Utilities
Sources: FTSE Russell, Standard & Poor’s
Capital Market Overview (continued) June 30, 2019
MSCI EAFE
MSCI ACWI
MSCI World
MSCI ACWI ex USA
MSCI World ex USA
MSCI ACWI ex USA SC
MSCI World ex USA SC
MSCI Europe ex UK
MSCI United Kingdom
MSCI Pacific ex Japan
MSCI Japan
MSCI Emerging Markets
MSCI China
MSCI Frontier Markets
Global Equity: Quarterly Returns
3.7%
3.6%
4.0%
3.0%
3.8%
1.2%
1.8%
5.8%
0.9%
5.2%
1.0%
0.6%
-4.0%
4.7%
MSCI EAFE
MSCI ACWI
MSCI World
MSCI ACWI ex USA
MSCI World ex USA
MSCI ACWI ex USA SC
MSCI World ex USA SC
MSCI Europe ex UK
MSCI United Kingdom
MSCI Pacific ex Japan
MSCI Japan
MSCI Emerging Markets
MSCI China
MSCI Frontier Markets
Global Equity: One-Year Returns
1.1%
5.7%
6.3%
1.3%
1.3%
-5.9%
-6.2%
3.4%
-2.0%
8.1%
-4.2%
1.2%
-6.7%
4.9%
Source: MSCI
NON-U.S./GLOBAL EQUITY
Global equity markets were largely positive in the second
quarter although investor sentiment was fairly muted as both
U.S./China tariff fatigue and Brexit uncertainty continued.
Some non-U.S. markets benefited from a weakening U.S.
dollar relative to local currencies. Global equities were boosted
by dovish central bank commentary that led to lower interest
rates around the globe.
Global/Non-U.S. Developed (MSCI EAFE: +3.7%; MSCI
World ex USA: +3.8%; MSCI ACWI ex USA: +3.0%; MSCI
Europe: +4.5%; MSCI Japan: +1.0%)
–Developed markets rallied as central banks around the world
expressed more accommodative paths with interest rates
and quantitative easing.
–U.K. equities finished the quarter slightly up (+0.9%) as
Brexit uncertainty continues. Prime Minister Theresa May
announced her resignation during the quarter.
–Relative to other developed non-U.S. markets, Europe had a
strong quarter fueled by robust returns from Germany,
France, and Switzerland (30% combined weight), which
benefited from declining bond yields.
–EAFE sector performance was positive across the board with
the exception of real estate. Cyclicals drove the majority of
returns as these are highly correlated with U.S. cyclicals,
which benefited from declining interest rates.
–Factor performance in non-U.S. developed markets favored
growth over value, large caps over small caps, and cyclicals
over defensives.
Emerging Markets (MSCI Emerging Markets Index: +0.6%)
–Emerging market returns were lackluster although,
regionally, returns were bar-belled as many Asian countries
were held back by trade concerns while EM ex-Asia tended
to perform well. Russia (+16.9%) performed strongly with the
help of the ruble appreciating by 4.2% relative to the U.S.
dollar. Brazil (+7.2%) was also a top contributor due to the
initial success of keeping pension reforms on track. China
(-4.0%) faltered on tariff concerns.
–Argentina (+31.7%) was the top country performer, aided by
MSCI’s announcement of its inclusion in the MSCI Emerging
Markets Index at the end of May (eight stocks in total).
–The MSCI EM Value Index outperformed the MSCI EM
Growth Index as many growth-oriented sector and country
returns were impacted by trade disputes.
Non-U.S. Small Cap (MSCI World ex USA Small Cap: +1.8%;
MSCI EM Small Cap: +1.0%; MSCI ACWI ex USA Small Cap:
+1.2%)
–Non-U.S. small caps lagged large caps as investors
preferred lower earnings risk and higher earnings
momentum. Emerging market small caps lagged large caps
as investors searched for a combination of lower volatility
and higher growth that was absent in smaller companies as
tariff uncertainty persisted.
Blmberg Barclays Gov/Cr 1-3 Yr
Blmberg Barclays Interm Gov/Cr
Blmberg Barclays Aggregate
Blmberg Barclays Long Gov/Cr
Blmberg Barclays Universal
CS Leveraged Loans
Blmberg Barclays High Yield
Blmberg Barclays TIPS
U.S. Fixed Income: Quarterly Returns
3.1%
3.1%
1.5%
2.6%
6.6%
1.6%
2.5%
2.9%
Blmberg Barclays Gov/Cr 1-3 Yr
Blmberg Barclays Interm Gov/Cr
Blmberg Barclays Aggregate
Blmberg Barclays Long Gov/Cr
Blmberg Barclays Universal
CS Leveraged Loans
Blmberg Barclays High Yield
Blmberg Barclays TIPS
U.S. Fixed Income: One-Year Returns
7.9%
8.1%
4.3%
6.9%
13.8%
4.1%
7.5%
4.8%
0%
1%
2%
3%
4%
0 5 10 15 20 25 30
Maturity (Years)
June 30, 2019 March 31, 2019
June 30, 2018
U.S. Treasury Yield Curves
FIXED INCOME
U.S. economic data continued to be mixed as a strong labor
market and rising personal income offset waning business
confidence and declining industrial production. The Federal
Reserve’s dovish statements and announced policy objective
to “sustain the expansion” caused risk assets and U.S.
Treasury yields to rally. Uncertainty surrounding trade policy
and muted inflation data provided the Fed with additional cover
for its rationale to potentially cut rates later this year.
U.S. Fixed Income (Bloomberg Barclays US Aggregate Bond
Index: +3.1%)
–U.S. Treasuries gained 3.0% as the U.S. Treasury yield
curve shifted lower across maturities, most dramatically at
the 2-year key rate, as traders priced in expectations for the
Fed to pre-emptively ease in order to boost domestic
economic growth.
–The overall shape of the yield curve did not materially
change during the quarter. The yield differential between the
10-year and 2-year key rates remained positive and widened
11 basis points during the quarter to close at 25 bps.
However, the front-end of the curve remained inverted, with
the 5-year offering less yield than the 2-year key rate.
–Nominal Treasuries outperformed TIPS as inflation
expectations fell; the 10-year breakeven spread was only
1.69% as of quarter-end versus 1.88% at the end of the first
quarter.
Investment Grade Corporates (Bloomberg Barclays
Corporate: +4.5%)
–Credit spreads rallied on the back of dovish Fed policy.
–Gross new corporate supply this quarter was $290.5 billion,
which was 14% lower than a year ago. Year-to-date supply
was 18% lower than in the first half of 2018. New issuance
favored the 6-12 year maturities relative to last year.
–AAA-rated corporates (+5.0%) were the best performers in
absolute return terms. BBB-rated lagged AAA by 18 bps, but
posted a positive excess return over the index (+1.4%).
High Yield (Bloomberg Barclays Corporate High Yield: +2.5%)
–High yield corporates posted positive results for the quarter,
but lagged investment grade corporates on both absolute
and excess returns. High yield gained 9.9% for the first half
of 2019.
–Interest rate sensitive BB-rated issues posted the highest
return (+3.1%) while CCC-rated issues rose 0.3%.
Leveraged Loans (CS Leveraged Loans: +1.6%)
–Bank loans participated in the risk-on rally, but lagged both
longer duration IG and HY corporates as interest rates
declined.
Capital Market Overview (continued) June 30, 2019
Sources: Bloomberg, Bloomberg Barclays, Credit Suisse
Blmberg Barclays Gl Aggregate
Blmberg Barclays Gl Agg (hdg)
Blmberg Barclays Gl High Yield
Blmberg Barclays Gl Agg ex US
JPM EMBI Global Diversified
JPM GBI-EM Global Diversified
JPM EMBI Gl Div/JPM GBI-EM Gl Div
JPM CEMBI
Global Fixed Income: Quarterly Returns
3.3%
2.9%
3.0%
3.4%
4.1%
5.6%
4.9%
3.6%
Blmberg Barclays Gl Aggregate
Blmberg Barclays Gl Agg (hdg)
Blmberg Barclays Gl High Yield
Blmberg Barclays Gl Agg ex US
JPM EMBI Global Diversified
JPM GBI-EM Global Diversified
JPM EMBI Gl Div/JPM GBI-EM Gl Div
JPM CEMBI
Global Fixed Income: One-Year Returns
5.8%
7.8%
7.8%
4.1%
12.4%
9.0%
10.8%
11.1%
-40 bps
-26 bps
-17 bps
-15 bps
-8 bps
-60 -50 -40 -30 -20 -10 0
U.S. Treasury
Germany
U.K.
Canada
Japan
1Q19 to 2Q19
Change in 10-Year Global Government Bond Yields
–Retail outflows remain unabated as the Fed’s dovish tone
dampened enthusiasm for floating rate assets. New CLO
issuance running ahead of expectations has also put
technical pressure on the sector as investors absorbed the
new float.
–Bank loans have less sensitivity to interest rates, but may
have a similar spread duration profile to that of high yield
bonds.
NON-U.S. FIXED INCOME
Global Fixed Income (Bloomberg Barclays Global Aggregate:
+3.3%, unhedged)
–Other developed market sovereign bonds rose in tandem
with the rally in Treasuries and have pushed European
sovereigns further into negative yields. The U.S. dollar
depreciated modestly versus the euro and yen, but gained
versus the U.K. pound.
US$ EMD (JPM EMBI Global Diversified: +4.1%), Local
Currency EMD (JPM GBI-EM Global Diversified: +5.6%)
–Most emerging market currencies appreciated against the
U.S. dollar.
–Top performers included Russia (+10.4%) and Turkey
(+10.1%), while Argentina was the worst performer (-5.0%),
and one of the few countries to post a negative result this
quarter.
Capital Market Overview (continued) June 30, 2019
Sources: Bloomberg, Bloomberg Barclays, JP Morgan
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
Large Cap Equity manager database.
Range of Separate Account Manager Returns by Asset Class
One Quarter Ended June 30, 2019
Re
t
u
r
n
s
0%
1%
2%
3%
4%
5%
6%
7%
8%
Large Cap Small Cap Non-US Domestic Non-US Real
Equity Equity Equity Fixed Income Fixed Income Estate
vs vs vs vs vs vs
S&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi Non-US Govt NCREIF Index
(51)
(68)
(47)
(72)
(26)
(50)
10th Percentile 6.55 7.09 6.08 3.39 4.36 3.39
25th Percentile 5.39 5.13 4.83 3.25 3.96 2.24
Median 4.33 3.04 3.64 3.16 3.57 1.79
75th Percentile 3.36 1.56 2.11 3.04 3.09 1.1890th Percentile 2.53 0.22 1.18 2.98 1.89 0.24
Index 4.30 2.10 3.68 3.08 3.93 1.80
Range of Separate Account Manager Returns by Asset Class
One Year Ended June 30, 2019
Re
t
u
r
n
s
(15%)
(10%)
(5%)
0%
5%
10%
15%
20%
Large Cap Small Cap Non-US Domestic Non-US Real
Equity Equity Equity Fixed Income Fixed Income Estatevs vs vs vs vs vsS&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi Non-US Govt NCREIF Index
(41)
(60)
(41)
(78)
(58)
(51)
10th Percentile 15.75 9.99 5.42 8.61 7.79 13.52
25th Percentile 12.56 5.25 3.09 8.43 6.96 8.81Median 9.47 (1.55)0.46 8.10 5.33 6.98
75th Percentile 6.29 (5.68) (2.22)7.95 3.66 4.35
90th Percentile 2.88 (8.73) (4.36)7.68 2.27 (0.16)
Index 10.42 (3.31)1.08 7.87 4.54 6.82
7Orange County Sanitation District
Domestic Fixed Income
Active Management Overview
In the U.S., the Bloomberg Barclays US Aggregate Bond Index rose 3.1% for the quarter. U.S. Treasury yields hit multi-year
lows in June, and the 10-year closed the quarter at 2.0% (lowest since 11/2016). The curve remained inverted between the
90-day T-bill and the 10-year U.S. Treasury, but the more widely watched spread between the 2- and 10-year widened
during the quarter to 25 bps. Investment grade corporate bonds performed best (Blmbg Barclays Corp: +4.5%) with US
Treasuries following (+3.0%). Agency mortgages trailed (Blmbg Barclays MBS: +2.0%) as lower rates raised concerns
around prepayment risk. TIPS (Blmbg Barclays TIPS: +2.9%) underperformed as inflation expectations fell; the 10-year
breakeven spread was only 1.69% as of quarter-end versus 1.88% as of 3/31/2019. The high yield corporate bond market
(Blmbg Barclays High Yield: +2.5%) underperformed investment grade but is up nearly 10% ytd. Leveraged loans (S&P
LSTA: +1.7%) held their own in spite of negative press and falling rates. Municipal bonds (Blmbg Barclays Municipal Bond:
+2.1%) underperformed U.S. Treasuries in Q2.
Separate Account Style Group Median Returns
for Quarter Ended June 30, 2019
0%
2%
4%
6%
8%
10%
1.52
Defensive
2.54
Intermed
3.16
Core
Bond
3.26
Core Plus
6.64
Extended
Maturity
1.68
Bank
Loans
2.76
High Yield
Re
t
u
r
n
s
Blmbg Aggregate: 3.08%
Blmbg High Yield: 2.50%
Blmbg Long Gov/Cred: 6.59%
Separate Account Style Group Median Returns
for One Year Ended June 30, 2019
0%
5%
10%
15%
20%
4.49
Defensive
6.93
Intermed
8.10
Core
Bond
8.33
Core Plus
14.09
Extended
Maturity
4.16
Bank
Loans
7.84
High Yield
Re
t
u
r
n
s
Blmbg Aggregate: 7.87%
Blmbg High Yield: 7.48%
Blmbg Long Gov/Cred: 13.82%
8Orange County Sanitation District
Asset Allocation
Investment Manager Asset Allocation
The table below contrasts the distribution of assets across the Fund’s investment managers as of June 30, 2019, with the
distribution as of March 31, 2019. 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
June 30, 2019 March 31, 2019
Market Value Weight Net New Inv. Inv. Return Market Value Weight
Domestic Fixed Income
Long Term Operating Fund* 558,200,609 77.23% 42,400,000 9,658,595 506,142,014 82.35%
Liquid Operating Monies* 164,566,646 22.77% 55,000,000 1,065,156 108,501,490 17.65%
Total Fund $722,767,255 100.0% $97,400,000 $10,723,751 $614,643,504 100.0%
*Chandler replaced PIMCO during the 4th quarter of 2014. Assets were transferred in-kind as of 12/01/2014.
10Orange 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 June 30,
2019. 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 June 30, 2019
Last Last Last
Last Last 3 5 7
Quarter Year Years Years Years
Domestic Fixed Income
Long Term Operating Fund^ 1.77% 4.93% 1.77% 1.79% 1.40%
Chandler 1.77% 4.93% 1.77% - -
Blmbg Govt/Cred 1-5 Year Idx 1.92% 5.34% 1.72% 1.82% 1.65%
ML 1-5 Govt/Corp 1.92% 5.37% 1.75% 1.85% 1.71%
Liquid Operating Monies^ 0.69% 2.39% 1.44% 0.97% 0.73%
Chandler 0.69% 2.39% 1.44% - -
Citigroup 3-Month Treasury Bill 0.61% 2.30% 1.36% 0.84% 0.62%
Total Fund 1.52% 4.43% 1.65% 1.59% 1.25%
Target* 1.66% 4.75% 1.67% 1.65% 1.49%
* Current Quarter Target = 80.0% ML US Corp/Govt 1-5Y and 20.0% FTSE 3 Mo T-Bill.
^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
11Orange 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 June 30,
2019. 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 June 30, 2019
Last Last Last
10 15 23-3/4
Years Years Years
Domestic Fixed Income
Long Term Operating Fund^ 2.40% 3.15% 4.25%
Blmbg Govt/Cred 1-5 Year Idx 2.24% 2.95% 4.09%
ML 1-5 Govt/Corp 2.31% 2.98% 4.12%
Liquid Operating Monies^ 0.59% 1.52% 2.58%
Citigroup 3-Month Treasury Bill 0.46% 1.31% 2.29%
Total Fund 2.06% 2.83% 3.99%
Target*1.94% 2.64% 3.75%
* Current Quarter Target = 80.0% ML US Corp/Govt 1-5Y and 20.0% FTSE 3 Mo T-Bill.
^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
12Orange County Sanitation District
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.
12/2018-
6/2019 2018 2017 2016 2015
Domestic Fixed Income
Long Term Operating Fund^ 3.26% 1.60% 1.18% 1.58% 0.85%
Chandler 3.26% 1.60% 1.18% 1.58% 0.85%
Blmbg Govt/Cred 1-5 Year Idx 3.56% 1.38% 1.27% 1.56% 0.97%
ML 1-5 Govt/Corp 3.59% 1.40% 1.28% 1.62% 1.05%
Liquid Operating Monies^ 1.29% 1.90% 0.91% 0.47% 0.22%
Chandler 1.29% 1.90% 0.91% 0.47% 0.22%
Citigroup 3-Month Treasury Bill 1.21% 1.86% 0.84% 0.27% 0.03%
Total Fund 2.86% 1.72% 1.02% 1.15% 0.80%
Target* 3.11% 1.49% 1.19% 1.35% 0.85%
* Current Quarter Target = 80.0% ML US Corp/Govt 1-5Y and 20.0% FTSE 3 Mo T-Bill.
^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
13Orange County Sanitation District
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.
12/2018-
6/2019 2018 2017 2016 2015
Domestic Fixed Income
Long Term Operating Fund^ 3.26% 1.60% 1.18% 1.58% 0.85%
Blmbg Govt/Cred 1-5 Year Idx 3.56% 1.38% 1.27% 1.56% 0.97%
ML 1-5 Govt/Corp 3.59% 1.40% 1.28% 1.62% 1.05%
Liquid Operating Monies^ 1.29% 1.90% 0.91% 0.47% 0.22%
Citigroup 3-Month Treasury Bill 1.21% 1.86% 0.84% 0.27% 0.03%
Total Fund 2.86% 1.72% 1.02% 1.15% 0.80%
Target* 3.11% 1.49% 1.19% 1.35% 0.85%
* Current Quarter Target = 80.0% ML US Corp/Govt 1-5Y and 20.0% FTSE 3 Mo T-Bill.
^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
14Orange County Sanitation District
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
0.2%0.4%0.6%0.8%1.0%1.2%1.4%1.6%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
Total Fund
FTSE 3 Mo T-Bill
Total Fund Target
Blmbg Gov/Cred 1-5 Yr
ML US Corp/Govt 1-5Y
Standard Deviation
Re
t
u
r
n
s
Seven Year Annualized Risk vs Return
Asset Classes vs Asset Class Median
0.30%0.40%0.50%0.60%0.70%0.80%0.90%1.00%1.10%1.20%1.30%1.40%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2.0%
Total Fund
Callan Money Market Funds
Callan Short Fixed Inc
Standard Deviation
Re
t
u
r
n
s
15Orange County Sanitation District
Manager Analysis
Chandler-Long Term Operating Fund
Period Ended June 30, 2019
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
12/1/2014. Previous performance reflects PIMCO.
Quarterly Summary and Highlights
Long Term Operating Fund’s portfolio posted a 1.77% return
for the quarter placing it in the 16 percentile of the Callan
Short Term Fixed Income group for the quarter and in the 21
percentile for the last year.
Long Term Operating Fund’s portfolio underperformed the
ML US Corp/Govt 1-5Y by 0.14% for the quarter and
underperformed the ML US Corp/Govt 1-5Y for the year by
0.44%.
Quarterly Asset Growth
Beginning Market Value $506,142,014
Net New Investment $42,400,000
Investment Gains/(Losses) $9,658,595
Ending Market Value $558,200,609
Performance vs Callan Short Term Fixed Income (Gross)
0%
1%
2%
3%
4%
5%
6%
Last Qtr Last Last 3 Yrs Chandler Last 5 Yrs Last 7 Yrs Last 10 Yrs Since 9/30/95Yr Inception
B(7)A(16)(7)
B(8)
A(21)
(8)
A(79)B(81)(80)B(56)A(61)(50)B(54)A(57)(50)B(56)A(82)(52)
A(42)B(50)(46)
A(16)B(30)(28)
10th Percentile 1.87 5.24 2.71 2.50 2.30 2.34 3.47 4.40
25th Percentile 1.67 4.84 2.32 2.23 2.04 2.08 2.86 4.14
Median 1.52 4.49 2.00 1.98 1.85 1.74 2.23 3.89
75th Percentile 1.41 4.15 1.81 1.75 1.62 1.48 1.79 3.63
90th Percentile 1.10 3.52 1.61 1.55 1.44 1.23 1.24 3.11
Long Term
Operating Fund A 1.77 4.93 1.77 1.88 1.79 1.40 2.40 4.25
Blmbg Govt/Cred
1-5 Year Idx B 1.92 5.34 1.72 1.94 1.82 1.65 2.24 4.09
ML US
Corp/Govt 1-5Y 1.92 5.37 1.75 1.98 1.85 1.71 2.31 4.12
Relative Return vs ML US Corp/Govt 1-5Y
Re
l
a
t
i
v
e
R
e
t
u
r
n
s
(1.4%)
(1.2%)
(1.0%)
(0.8%)
(0.6%)
(0.4%)
(0.2%)
0.0%
0.2%
0.4%
0.6%
12 2013 2014 2015 2016 2017 2018 19
Long Term Operating Fund
Callan Short Term Fixed Income (Gross)
Annualized Seven Year Risk vs Return
0.0 0.5 1.0 1.5 2.0 2.5 3.0
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
Blmbg Govt/Cred 1-5 Year Idx
ML US Corp/Govt 1-5Y
Long Term Operating Fund
Standard Deviation
Re
t
u
r
n
s
17Orange County Sanitation District
Long Term Operating Fund
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 chart illustrates 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 PIMCO.
Performance vs Callan Short Term Fixed Income (Gross)
(3%)
(2%)(1%)0%1%2%
3%4%5%6%
12/18- 6/19 2018 2017 2016 2015 2014 2013 2012 2011 2010
B(15)A(30)14
A(65)B(87)87 B(58)A(65)57 A(49)B(50)47 B(35)A(63)24
A(4)B(17)10
B(90)
A(100)
89
A(21)B(38)27
A(1)
B(4)4
A(15)B(20)17
10th Percentile 3.77 1.99 2.24 2.82 1.17 1.50 1.20 4.46 2.72 4.7125th Percentile 3.32 1.81 1.74 2.17 1.01 1.27 0.81 2.60 2.30 4.01
Median 3.00 1.69 1.31 1.56 0.91 1.11 0.65 1.81 1.85 3.18
75th Percentile 2.72 1.54 0.95 1.18 0.75 0.87 0.40 1.45 1.65 2.72
90th Percentile 2.21 1.33 0.66 1.03 0.64 0.73 0.29 0.92 1.44 2.41
Long Term
Operating Fund A 3.26 1.60 1.18 1.58 0.85 1.98 (1.77)3.06 4.59 4.42
Blmbg Govt/Cred
1-5 Year Idx B 3.56 1.38 1.27 1.56 0.97 1.42 0.28 2.24 3.14 4.08
ML US
Corp/Govt 1-5Y 3.59 1.40 1.28 1.62 1.05 1.51 0.32 2.47 3.10 4.17
Cumulative and Quarterly Relative Return vs ML US Corp/Govt 1-5Y
Re
l
a
t
i
v
e
R
e
t
u
r
n
s
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Long Term Operating Fund Blmbg Govt/Cred 1-5 Year Idx Callan Short Fixed Inc
Risk Adjusted Return Measures vs ML US Corp/Govt 1-5Y
Rankings Against Callan Short Term Fixed Income (Gross)
Seven Years Ended June 30, 2019
(1.5)
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
Alpha Sharpe Excess Return
Ratio Ratio
B(94)A(99)
B(89)A(97)
A(85)
B(97)
10th Percentile 1.05 1.52 1.06
25th Percentile 0.72 1.31 0.54
Median 0.39 1.06 0.08
75th Percentile 0.20 0.87 (0.40)
90th Percentile 0.04 0.67 (0.72)
Long Term Operating Fund A (0.26)0.50 (0.57)
Blmbg Govt/Cred 1-5 Year Idx B (0.05)0.70 (1.01)
18Orange County Sanitation District
Long Term Operating Fund
Bond Characteristics Analysis Summary
Portfolio Characteristics
This graph compares the manager’s 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 Callan Short Term Fixed Income
as of June 30, 2019
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
Average Effective Coupon OA
Duration Life Yield Rate Convexity
(3)(1)(14)(13)
(92)(90)(84)
(10)
10th Percentile 2.34 3.12 2.98 3.50 0.09
25th Percentile 1.91 2.49 2.47 3.09 0.05
Median 1.83 2.07 2.34 2.89 0.03
75th Percentile 1.54 1.91 2.20 2.62 0.00
90th Percentile 0.83 1.19 2.01 2.32 (0.08)
Long Term
Operating Fund 2.49 2.77 - 2.27 -
Blmbg Gov/Cred 1-5 Yr 2.66 2.83 1.98 2.52 0.10
Sector Allocation and Quality Ratings
The first graph compares the manager’s 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
June 30, 2019
0%10%20%30%40%50%60%70%80%
US Trsy
30.7
22.2
64.2
Gov Related
23.6
50
%
Mg
r
M
V
50
%
Mg
r
M
V
2.3
9.6
Corp (incl 144A)
23.0
52.8
26.2
Other
10.3
ABS
7.9
17.3
Cash
3.1
0.6
Tax-Exempt US Muni
0.8
CMOs
0.4
0.4
CMBS
0.2
3.6
RMBS 0.7
Long Term Operating Fund Callan Short Term Fixed Income
Blmbg Gov/Cred 1-5 Yr
Quality Ratings
vs Callan Short Term Fixed Income
A-
A
A+
AA-
AA
AA+
AAA
Trsy
Weighted Average
Quality Rating
(67)(9)
10th Percentile AA
25th Percentile AA
Median AA
75th Percentile A+
90th Percentile A
Long TermOperating Fund AA
Blmbg Gov/Cred 1-5 Yr AA
19Orange County Sanitation District
Long Term Operating Fund
Portfolio Characteristics Summary
As of June 30, 2019
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
Long Term Operating Fund
US Trsy
31%
CMBS
0%
Gov Related
24%
CMOs
0%Corp (incl 144A)
23%
Tax-Exempt US Muni
1%
Other
10%
Cash
3%
ABS
8%
Blmbg Govt/Credit 1-5 Year
US Trsy
64%
Gov Related
10%
Corp (incl 144A)
26%
Duration Distribution
0%
10%
20%
30%
40%
50%
60%
70%
80%
<1
22.7
1.0
1-3
33.4
60.7
3-5
41.9 38.3
5-7
2.0
7-10 >10
Years Duration
Pe
r
c
e
n
t
o
f
P
o
r
t
f
o
l
i
o
Weighted Average: Duration
Long Term Operating Fund:
Blmbg Govt/Credit 1-5 Year:
2.49
2.66
Quality Distribution
0%
20%
40%
60%
80%
100%
AAA
9.7
70.5
AA
65.2
5.1
A
16.511.8
BBB
0.5
12.5
BB B CCC CC C D N/R
8.1
Quality Rating
Pe
r
c
e
n
t
o
f
P
o
r
t
f
o
l
i
o
Weighted Average: Quality
Long Term Operating Fund:
Blmbg Govt/Credit 1-5 Year:
AA
AA
20Orange County Sanitation District
Chandler-Liquid Operating Money
Period Ended June 30, 2019
Investment Philosophy
Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
Quarterly Summary and Highlights
Liquid Operating Money Net’s portfolio posted a 0.66%
return for the quarter placing it in the 21 percentile of the
Callan Money Market Funds group for the quarter and in the
28 percentile for the last year.
Liquid Operating Money Net’s portfolio outperformed the
Citigroup 3-Month Treasury Bill by 0.04% for the quarter and
underperformed the Citigroup 3-Month Treasury Bill for the
year by 0.05%.
Quarterly Asset Growth
Beginning Market Value $108,501,490
Net New Investment $55,000,000
Investment Gains/(Losses) $1,065,156
Ending Market Value $164,566,646
Performance vs Callan Money Market Funds (Net)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
Last Qtr Last Last 3 Yrs Chandler Last 5 Yrs Last 7 Yrs Last 10 Yrs Since 9/30/95
Yr Inception
(21)(25)
(28)(24)
(31)(27)
(27)(26)(28)(26)
(27)(22)
(22)(21)
(12)(25)
10th Percentile 0.86 2.88 1.85 1.50 1.35 1.15 1.07 2.61
25th Percentile 0.62 2.27 1.40 0.95 0.85 0.59 0.42 2.29
Median 0.54 2.00 1.10 0.74 0.66 0.47 0.33 2.13
75th Percentile 0.49 1.80 0.93 0.62 0.55 0.40 0.28 1.99
90th Percentile 0.42 1.51 0.72 0.48 0.43 0.30 0.22 1.85
Liquid Operating
Money Net 0.66 2.24 1.29 0.91 0.82 0.58 0.44 2.43
Citigroup 3-Month
Treasury Bill 0.61 2.30 1.36 0.94 0.84 0.62 0.46 2.29
Relative Returns vs
Citigroup 3-Month Treasury Bill
Re
l
a
t
i
v
e
R
e
t
u
r
n
s
(0.08%)
(0.06%)
(0.04%)
(0.02%)
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
12 2013 2014 2015 2016 2017 2018 19
Liquid Operating Money Net
Callan Money Market Funds (Net)
Annualized Seven Year Risk vs Return
0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
Liquid Operating Money Net
Citigroup 3-Month Treasury Bill
Standard Deviation
Re
t
u
r
n
s
21Orange County Sanitation District
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 chart illustrates 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 PIMCO.
Performance vs Callan Money Market Funds (Net)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
12/18- 6/19 2018 2017 2016 2015 2014 2013 2012 2011 2010
2828
2212
3530
3033 2236 9822 9820 4424 1315 1915
10th Percentile 1.89 1.89 1.42 1.32 0.28 0.35 0.30 0.85 0.12 0.24
25th Percentile 1.27 1.72 0.91 0.40 0.06 0.03 0.04 0.06 0.04 0.08
Median 1.07 1.53 0.61 0.14 0.01 0.01 0.01 0.01 0.01 0.02
75th Percentile 0.97 1.30 0.42 0.04 0.01 0.01 0.01 0.01 0.01 0.0190th Percentile 0.82 1.04 0.23 0.01 0.00 0.00 0.00 0.00 0.00 0.00
Liquid Operating
Money Net 1.22 1.75 0.76 0.32 0.07 (0.06) (0.02)0.02 0.09 0.10
Citigroup 3-Month
Treasury Bill 1.21 1.86 0.84 0.27 0.03 0.03 0.05 0.07 0.08 0.13
Cumulative and Quarterly Relative Return vs Citigroup 3-Month Treasury Bill
Re
l
a
t
i
v
e
R
e
t
u
r
n
s
(0.40%)
(0.30%)
(0.20%)
(0.10%)
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Liquid Operating Money Net Callan Money Market Funds
Risk Adjusted Return Measures vs Citigroup 3-Month Treasury Bill
Rankings Against Callan Money Market Funds (Net)
Seven Years Ended June 30, 2019
(3.0)
(2.5)
(2.0)
(1.5)
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
Alpha Sharpe Excess Return
Ratio Ratio
(33)(27)
(29)
10th Percentile 0.44 0.84 1.24
25th Percentile (0.02) (0.14) (0.23)
Median (0.14) (0.49) (1.90)
75th Percentile (0.21) (0.77) (2.21)
90th Percentile (0.30) (1.25) (2.39)
Liquid Operating Money Net (0.07) (0.17) (0.83)
22Orange County Sanitation District
Callan Research/Education
Research and Educational Programs
The Callan Institute provides research to update clients on the latest industry trends and carefully structured educational programs
to enhance the knowledge of industry professionals. Visit www.callan.com/library to see all of our publications, and www.callan.com/blog
to view our blog “Perspectives.” For more information contact Barb Gerraty at 415-274-3093 / institute@callan.com.
New Research from Callan’s Experts
The OCIO Model: How Do We Measure Success? | This paper
outlines the key issues for evaluating the success of outsourced
chief investment oficer (OCIO) services.
Perspectives on Investing: The Evolution of Strategic
Allocations | In this video, Callan experts discuss the key chal-
lenges of evaluating non-U.S. equity investments.
Opportunities & Challenges: Investing in Private Equity
Partnerships | In this video, Callan experts discuss investing di-
rectly in private equity partnerships.
Building a Pool of Transition Managers: Both an Art and a
Science | Transition management is the restructuring of insti-
tutional portfolios from single or multiple investment managers/
asset classes to a new allocation over a short-term horizon. This
paper offers guidance on building a pool of transition managers.
Callan’s Periodic Table Explained | The popular Callan Periodic
Table of Investment Returns turned 20 this
year. This animated feature discusses the
beneits and some of the history of the table.
The Cobbler’s Shoes: How Asset Managers Run Their Own
401(k) Plans | Can investment manager-sponsored DC plans
provide insights on plan design and implementation? To help an-
swer this question, Callan examined the 401(k) plans of investment
managers. The industry scored high
on retirement savings metrics. But in
contrast to the industry consensus,
asset managers generally embraced
complexity over simplicity in their in-
vestment designs.
How to Distinguish Between Growth Equity and Late-Stage VC
Both growth equity and late-
stage venture capital are
growth-oriented but differ sig-
niicantly in the types of companies they invest in, the structure of
their investments, the way in which they create value, and the trade-
offs between risk and return.
Nurturing Strong Cultures at Professional Firms | In this paper,
Callan Executive Chairman Ron Peyton offers advice for building
effective and transparent corporate cultures.
Opening Doors of Opportunity | This paper reviews the types of
co-investment opportunities offered by hedge funds and funds-of-
funds (FOFs).
Quarterly Periodicals
Private Equity Trends | A newsletter on private equity activity, cov-
ering both the fundraising cycle and performance over time.
Market Pulse Flipbook | A market reference guide covering trends
in the U.S. economy, developments for fund sponsors, and the lat-
est data for U.S. and non-U.S. equities and ixed income, alterna-
tives, and deined contribution plans.
Active vs. Passive Charts | This series of charts compares active
managers alongside relevant benchmarks over the long term.
Capital Market Review | A newsletter providing analysis and a
broad overview of the economy and public and private market activ-
ity each quarter across a wide range of asset classes.
Education
2nd Quarter 2019
Events
Miss out on a Callan conference or workshop? Event summa-
ries and speakers’ presentations are available on our website:
www.callan.com/library/
Please mark your calendar and look forward to upcoming invitations.
October Regional Workshops
October 22, 2019 – Denver
October 24, 2019 – Chicago
2020 National Conference
January 27-29, 2020 – San Francisco
Please also keep your eye out for upcoming Webinars in 2019! We
will be sending invitations for these and also will have registration
links on our website at www.callan.com/events.
For more information about events, please contact Barb
Gerraty: 415-274-3093 / gerraty@callan.com
The Center for Investment Training
Educational Sessions
The Center for Investment Training, better known as the “Callan
College,” provides a foundation of knowledge for industry profes-
sionals who are involved in the investment decision-making pro-
cess. It was founded in 1994 to provide clients and non-clients alike
with basic- to intermediate-level instruction. Our next sessions are:
Introduction to Investments
San Francisco, July 23-24, 2019
Atlanta, October 8-9, 2019
Chicago, October 22-23, 2019
This program familiarizes fund sponsor trustees, staff, and asset
management advisers with basic investment theory, terminology,
and practices. It lasts one-and-a-half days and is designed for in-
dividuals who have less than two years of experience with asset-
management oversight and/or support responsibilities. Tuition for
the Introductory “Callan College” session is $2,350 per person.
Tuition includes instruction, all materials, breakfast and lunch on
each day, and dinner on the irst evening with the instructors.
“Callan College” on Alternative Investments
Chicago, October 29-30, 2019
The “Callan College” on Alternative Investments will cover: private
equity, private credit, hedge funds, real estate, and real assets.
Tuition for the “Callan College” on Alternative Investments ses-
sion is $2,500 per person. Tuition includes instruction, all materi-
als, and breakfast and lunch on each day.
Learn more at www.callan.com/events/callan-college-intro
Unique pieces of research the
Institute generates each year50+
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College” since 19943,700 Year the Callan Institute
was founded1980
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Education: By the Numbers
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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 risk. 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 manager’s 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 "riskless" 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 manager’s 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.
27
Risk/Reward Statistics
Rising Declining Periods refer to the sub-asset class cycles vis-a-vis the broader asset class. This is determined by
evaluating the cumulative relative sub-asset class index performance to that of the broader asset class index. For example,
to determine the Growth Style cycle, the S&P 500 Growth Index (sub-asset class) performance is compared to that of the
S&P 500 Index (broader asset class).
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.
Treynor 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.
28
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
identify 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.
29
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 life 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.
30
Disclosures
List of Callan’s Investment Manager Clients
Confidential – 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, monitor and disclose potential conflicts on an on-going basis.
The list below is an important component of our conflicts management and disclosure process. It identifies those investment managers that pay Callan
fees for educational, consulting, software, database or reporting 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 note that if an investment manager receives a product or service on a complimentary basis (e.g.
attending and educational event), they are not included in the list below. Callan is committed to ensuring that we do not consider an investment
manager’s business relationship with Callan, or lack thereof, in performing evaluations for or making suggestions or recommendations to its other
clients. 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
corporate and organizational ownership structures of many investment management firms, parent and affiliate firm relationships are not indicated on our
list.
Fund sponsor clients may request a copy of the most currently available list at any time. Fund sponsor clients may also request specific information
regarding the fees paid to Callan by particular fund manager clients. Per company policy, information requests regarding fees are handled exclusively
by Callan’s Compliance Department.
Quarterly List as of
June 30, 2019
Knowledge. Experience. Integrity. Page 1 of 2
Manager Name
Aberdeen Standard Investments
Acadian Asset Management LLC
AEGON USA Investment Management
Alcentra
AllianceBernstein
Allianz Global Investors
Allianz Life Insurance Company of North America
American Century Investments
Amundi Pioneer Asset Management
AQR Capital Management
Ares Management LLC
Ariel Investments, LLC
Atlanta Capital Management Co., LLC
Aviva Investors Americas
AXA Investment Managers
Baillie Gifford International, LLC
Baird Advisors
Baron Capital Management, Inc.
Barrow, Hanley, Mewhinney & Strauss, LLC
BlackRock
BMO Global Asset Management
BNP Paribas Asset Management
BNY Mellon Asset Management
Boston Partners
Brandes Investment Partners, L.P.
Brandywine Global Investment Management, LLC
BrightSphere Investment Group
Brown Brothers Harriman & Company
Cambiar Investors, LLC
Capital Group
Carillon Tower Advisers
CastleArk Management, LLC
Causeway Capital Management
Chartwell Investment Partners
Manager Name
ClearBridge Investments, LLC
Cohen & Steers Capital Management, Inc.
Columbia Threadneedle Investments
Columbus Circle Investors
Credit Suisse Asset Management
DePrince, Race & Zollo, Inc.
Diamond Hill Capital Management, Inc.
Dimensional Fund Advisors LP
Doubleline
Duff & Phelps Investment Management Co.
DWS
EARNEST Partners, LLC
Eaton Vance Management
Epoch Investment Partners, Inc.
Fayez Sarofim & Company
Federated Investors
Fidelity Institutional Asset Management
Fiera Capital Corporation
Financial Engines
First Hawaiian Bank Wealth Management Division
First State Investments
Fisher Investments
Franklin Templeton
Fred Alger Management, Inc.
GAM (USA) Inc.
Glenmeade Investment Management, LP
GlobeFlex Capital, L.P.
Goldman Sachs
Green Square Capital LLC
Guggenheim Investments
GW&K Investment Management
Harbor Capital Group Trust
Hartford Investment Management Co.
Heitman LLC
Knowledge. Experience. Integrity. June 30, 2019 Page 2 of 2
Manager Name
Hotchkis & Wiley Capital Management, LLC
HSBC Global Asset Management
Income Research + Management, Inc.
Insight Investment Management Limited
Intech Investment Management, LLC
Intercontinental Real Estate Corporation
Invesco
Investec Asset Management
Ivy Investments
J.P. Morgan
Janus
Jennison Associates LLC
Jobs Peak Advisors
KeyCorp
Lazard Asset Management
Legal & General Investment Management America
Lincoln National Corporation
Logan Circle Partners, L.P.
Longview Partners
Loomis, Sayles & Company, L.P.
Lord Abbett & Company
Los Angeles Capital Management
LSV Asset Management
MacKay Shields LLC
Macquarie Investment Management (MIM)
Manulife Asset Management
Marathon Asset Management, L.P.
McKinley Capital Management, LLC
MFS Investment Management
MidFirst Bank
Mondrian Investment Partners Limited
Montag & Caldwell, LLC
Morgan Stanley Investment Management
Mountain Lake Investment Management LLC
Mountain Pacific Advisors, LLC
MUFG Union Bank, N.A.
Natixis Investment Managers
Neuberger Berman
Newton Investment Management
Nikko Asset Management Co., Ltd.
Northern Trust Asset Management
Nuveen
OFI Global Asset Management
Osterweis Capital Management, LLC
P/E Investments
Manager Name
Pacific Investment Management Company
Pathway Capital Management
Peregrine Capital Management, Inc.
Perkins Investment Management
PGIM Fixed Income
PineBridge Investments
PNC Capital Advisors, LLC
Principal Global Investors
Putnam Investments, LLC
QMA LLC
RBC Global Asset Management
Regions Financial Corporation
Robeco Institutional Asset Management, US Inc.
Rockefeller Capital Management
Rothschild & Co. Asset Management US
Russell Investments
Schroder Investment Management North America Inc.
Smith Graham & Co. Investment Advisors, L.P.
Smith Group Asset Management
South Texas Money Management, Ltd.
State Street Global Advisors
Stone Harbor Investment Partners, L.P.
Sun Life Investment Management
T. Rowe Price Associates, Inc.
The Boston Company Asset Management
The TCW Group, Inc.
Thompson, Siegel & Walmsley LLC
Thornburg Investment Management, Inc.
Tri-Star Trust Bank
UBS Asset Management
VanEck
Versus Capital Group
Victory Capital Management Inc.
Virtus Investment Partners, Inc.
Vontobel Asset Management, Inc.
Voya
WCM Investment Management
WEDGE Capital Management
Wellington Management Company, LLP
Wells Fargo Asset Management
Western Asset Management Company LLC
Westfield Capital Management Company, LP
William Blair & Company LLC
CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending June 30, 2019
Orange County Sanitation District
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Consolidated Information
SECTION 4 Portfolio Holdings
SECTION 5 Transactions
Table of Contents As of June 30, 2019
1
SECTION ||||||||||||||Section 1 |Economic Update
2
Interest rate sensitive sectors such as housing and autos have softened, and financial conditions have tightened in recent
months as equity prices have declined, borrowing costs have increased, and the US dollar has strengthened. Although labor
market conditions remain tight, we expect the pace of job growth is likely to slow as the economy is at or near full
employment. Meanwhile, inflation pressures remain subdued. Though we don't foresee a recession in the near-term,
economic growth has eased. The economy is expected to grow 2.6% this year versus 2.9% in 2018.
Economic Update
The Federal Open Market Committee (FOMC) raised the fed funds targetrate by25basispoints inDecember toa rangeof
2.25%-2.50%. Although recenteconomicdatahas softened, the rate hike was widely expected. The Fed's longrun fed funds
rate target was lowered to 2.8% from the previous estimate of 3.0%. However, the Fed did little to acknowledge the
changing market dynamics and tightening financial conditions, reaffirming their strong economic forecast for 2019 and
emphasizing the balance sheet reduction strategy remains on track. Although the modest adjustment in the Fed’s
projections was a step in the right direction, some market participants were expecting a more dovish tone from the Fed
Chair. We continue to believe the terminal fed funds rate will be below 3.0%and believe the Fed is at risk of making a
policy error if monetary policy continues to tighten at the same quarterly pace of 2018. We believe there is a high
probability that the Fed will keep monetary policy on hold at least through the first quarter.
Treasury yields declined in December. At month-end, the 2-year Treasury yield was down nearly 30basis points to 2.49%,
while the 10-year Treasury yield was down slightlymore than30basispoints to 2.68%. The spread between 2- and 10-year
Treasury yields was just 20 basis points at year-end.
3
U.S. payrolls rose by 312,000 in December, well above the consensus forecast of 184,000. October and November payrolls were revised up by a
total of 58,000. On a trailing3-month and6-month basispayrolls increasedby anaverage of 254,000 and 222,000 per month, respectively, more
than enough to absorb new entrants into the labor market. The unemployment rate increasedto 3.9%in Decemberfrom 3.7%in Novemberas
the labor participation rate increased to 63.1% from 62.9%. A broader measure of unemployment called the U-6, which includes those who are
marginally attached to the laborforce and employed part time foreconomic reasons, was unchanged at 7.6%. Wages jumped 0.4% in December
on a month-over-month basis, exceeding expectations of 0.3%. Wages were up 3.2% on a year-over-year basis in December, versus up 3.1%
year-over-year in November. The average workweek increased to 34.5 hours in December from 34.4 hours in November.
Source: US Department of Labor Source: US Department of Labor
0
50
100
150
200
250
300
350
MO
M
C
h
a
n
g
e
I
n
(
0
0
0
'
s
)
Nonfarm Payroll (000's)
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
11.0%
12.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Ra
t
e
(
%
)
Employment
4
The ConsumerPrice Index (CPI) wasupjust2.2%year-over-yearinNovember,versusup2.5%year-over-yearinOctober.Core CPI(CPI lessfood
andenergy) was alsoup 2.2%year-over-year inNovember, versusup 2.1%year-over-year inOctober. The Personal ConsumptionExpenditures
(PCE) index was up 1.8% year-over-year in November, versus up 2.0% year-over-year in October. Core PCE (excluding food and energy) was up
1.9% on a year-over-year basis in November, versus up 1.8%in October.Core PCEinflation, which is the Fed's primary inflation gauge remains
below the Fed’s 2.0% target.
Source: US Department of Labor Source: US Department of Commerce
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
Inflation
5
On a year-over-year basis, retail sales were up 4.2% in November, versus up 4.8% year-over-year in October. On a month-over-month basis,
retail sales increased 0.2% in November, above expectations fora0.1% increase, following growth of 1.1% in October. Octobersales were likely
boosted in part by a hurricane-related rebound in auto sales and building materials. Lower gas pricesheld backmonthly retail sales growthin
November, butsales growth excluding autos and gas was solid. The Consumer Confidence Index remains strong but eased to 128.1 in December
from 136.4 in November. Looking ahead, labor market strength should continue to support consumer confidence and spending trends.
Source: US Department of Commerce Source: The Conference Board
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
Retail Sales YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
100
105
110
115
120
125
130
135
140
145
In
d
e
x
L
e
v
e
l
Consumer Confidence
Consumer
6
The Index of Leading Economic Indicators (LEI) rose 0.2% month-over-month in November, following a downwardly revised 0.3% decline in
October. Based on the index, the Conference Board believes the US economy will continue to grow at a pace of about 2.8% in early 2019 and
then moderate in the second half of the year. The Chicago Fed National Activity Index (CFNAI) increased to 0.22 in November from a sharply
downwardly revised 0.0 in October (previously 0.24). On a 3-month moving average basis, the index declined to 0.12 in November from 0.23 in
October.
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
Leading Economic Indicators (LEI)
MO
M
(
%
)
C
h
a
n
g
e
-0.40
-0.20
0.00
0.20
0.40
0.60
0.80
Chicago Fed National Activity Index (CFNAI)
3
M
o
n
t
h
A
v
e
r
a
g
e
Source: The Conference Board Source: Federal Reserve Bank of Chicago
Economic Activity
7
Total housing starts were stronger than expected in November, up 3.2% to a 1.256million annualized rate. The growth was driven by multi-
family starts which rose 22.4%. Single-family starts declined 4.6% in November. Permits rose 5.0% in the month. According to the Case-Shiller 20-
City home price index, home prices were up 5.0% year-over-yearin October,versus up 5.2% in September. The housing sectorhas softened as
mortgage rates have increased.
Source: US Department of Commerce Source: S&P
0
200
400
600
800
1000
1200
1400
1600
1800
MO
M
C
h
a
n
g
e
(
I
n
T
h
o
u
s
a
n
d
s
o
f
U
n
i
t
s
)
Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
4.5%
5.0%
5.5%
6.0%
6.5%
7.0%
7.5%
S&P/CaseShiller 20 City Composite Home Price Index
YO
Y
(
%
)
C
h
a
n
g
e
Housing
8
The Institute for Supply Management (ISM) manufacturing index fell to 54.1in December from 59.3in November.Despite the large decline,a
reading above 50.0 suggests the manufacturing sector is expanding. The Industrial Production index was up 3.9% year-over-year in November
versus up 3.8% year-over-year in October. On a month-over-month basis, the manufacturing component of the index was flat in November,
following a 0.1% decline in October. Capacity Utilization increased to 78.5% in November from 78.1% in October, but remains below the long-
run average of 79.8% indicating there is still excess capacity for growth.
Source: Institute for Supply Management Source: Federal Reserve
48
50
52
54
56
58
60
62
64
Institute of Supply Management Purchasing
Manager Index
Expanding
Contracting
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
Industrial Production
YO
Y
(
%
)
C
h
a
n
g
e
Manufacturing
9
According to the second estimate, third quarterGDP grew at an annualized rateof 3.4%(down slightlyfrom the second estimate of 3.5%).This
follows growth of 4.2% in the second quarter.Inventories andconsumer spending drove growth in the third quarter, while netexports were a
drag. The consensus forecast calls for GDP growth of 2.6% in the fourth quarter, 2.3% in the current quarter, and 2.6% in 2019.
Source: US Department of Commerce Source: US Department of Commerce
12/17 3/18 6/18 9/18
2.6% 0.4% 2.6% 2.4%
0.1% 1.6% -0.1% 2.5%
-0.9% 0.0% 1.2% -2.0%
0.3% 0.2% 0.2% 0.2%
0.2% 0.1% 0.2% 0.2%
2.3% 2.2% 4.2% 3.4%Total
Components of GDP
Net Exports and Imports
Personal Consumption Expenditures
Gross Private Domestic Investment
Federal Government Expenditures
State and Local (Consumption and
Gross Investment)
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
10
Source: Bloomberg
On a year-over-year basis, Treasury yields have increased and the Treasury yield curve has flattened. The spread between 2-Year and 10-year
Treasury yields narrowed from 52 basis points to 20 basis points in 2018. Rate hikes by the Federal Reserve have put upward pressure on rates,
while supply and demand imbalances, technical factors, weakening global economic growth, and subdued inflation expectations have
contributed to the curve flattening.
Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yi
e
l
d
(
%
)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
US Treasury Yield Curve
Dec-18
Sep-18
Dec-17
Yi
e
l
d
(
%
)
Bond Yields
11
Section 2|SECTION ||||||||||||||Section 2 |Account Profile
12
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 ICE BAML 1-5 Year Corporate Government Rated
AAA – A Index.
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.
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.
13
Category Standard Comment
Treasury Issues 5 years maxmaturity; Minimum allocation of 10%Complies*
U.S. Agencies 20% max issuer; 5 years max maturity Complies
Supranational "AA" rated or better by a NRSRO; 30% maximum; 5 years max maturity; USD denominated senior unsecured
unsubordinated obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB Complies
Corporate (MTNs)"A" rated or better long term debt by a NRSRO; 30% maximum; 5% max issuer; 5 years max maturity; Issued by
corporations organized and operating within the U.S. or issued by depository institutions licensed by the U.S.Complies
Municipal Securities "A" rated or higher by a NRSRO; 10% maximum; 5% max issuer; 5 years max maturity Complies
Asset Backed/ CMOs/ Mortgage-backed "AA" rated or better by a NRSRO; "A" or higher issuer rating by a NRSRO; 20% maximum; 5% max issuer (excluding
govt agency/mbs); 5 years max maturity Complies*
Negotiable CDs "A" rated or better long term debt by a NRSRO; or "A-1"/ highest short term rating by a NRSRO; 30% maximum; 5% max
issuer; 5 years max maturity Complies
Certificates of Deposit 5% max issuer; 5 years max maturity; Secured/ collateralized Complies
Banker’s Acceptances A-1 rated or equivalent short term rating by a NRSRO; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper
A-1 rated or equivalent short term rating by a NRSRO; "A" or better long term debt issuer by a NRSRO; Issued by a
domestic corporation organized and operating in the US with AUM > $500million; 25% maximum; 5% max issuer;
270 days max maturity
Complies
Mutual Fund & Money Market Mutual
Fund
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience greater
than 5 years; 10% per one Mutual Fund; 20% max per issuer on Money Market Mutual Funds; 20% max of the
District's surplus money
Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
OCIP Not used by investment adviser Complies
Avg Duration Not to exceed 60 months - (80% to 120% of the benchmark)Complies
Max Per Issuer 5% of portfolio (except Supranationals, U.S. Government, Agencies, Mutual Fund)Complies
Maximum Maturity 5 years maximum maturity Complies*
Orange County Sanitation District Long Term
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
*The portfolio has twenty-one (21) securities with maturities greater than 5 years including four (4) CMOs, sixteen (16) MBS and one (1) treasury. All securities were inherited from the previous manager
and complied at time of purchase.
Compliance As of June 30, 2019
14
Portfolio Characteristics
Orange County Sanitation District Long Term
6/30/2019 3/31/2019
Benchmark* Portfolio Portfolio
Average Maturity (yrs)2.66 2.77 2.76
Average Modified Duration 2.54 2.43 2.39
Average Purchase Yield n/a 2.36% 2.37%
Average Market Yield 1.90% 1.98% 2.41%
Average Quality**AAA AA/Aa1 AA/Aa1
Total Market Value 558,146,074 506,243,714
*ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
Multiple securities were purchased across the Treasury, Agency, Commercial Paper and Corporate sectors of the market
to keep the portfolio invested consistent with Chandler objectives. The purchased securities ranged in maturity from
May 2019 to June 2024. Given the team’s outlook for the balance of the year, purchases are focused on the wings of
the maturity distribution, to move the portfolio to be more of a barbell structure. The elevated transaction volume was
partly attributable to the net $42 million contributed to the portfolio during the quarter.
As of June 30, 2019
15
Orange County Sanitation District Long Term
Sector Distribution
ABS
7.9%
Agency
23.6%
CMO
0.4%
Commercial
Paper
2.0%Foreign
Corporate
2.3%
Money Market
Fund FI
3.1%
Mortgage Pass
Thru
0.2%
Municipal Bonds
0.8%
Supranational
6.0%
US Corporate
23.0%
US Treasury
30.7%
June 30, 2019 March 31, 2019
ABS
9.4%
Agency
23.5%
CMO
0.4%
Commercial
Paper
2.0%
Foreign
Corporate
1.9%
Money Market
Fund FI
2.7%
Mortgage Pass
Thru
0.3%
Municipal Bonds
0.9%
Supranational
6.5%
US Corporate
21.6%
US Treasury
31.0%
As of June 30, 2019
The sector allocation was relatively stable during the quarter. Notably the overall exposure to the Corporate sector
increased by 1.8% with the ABS allocation declining due to paydowns in the asset class.
16
Issue Name Investment Type % Portfolio
Government of United States US Treasury 30.73%
Federal Home Loan Bank Agency 9.44%
Federal National Mortgage Association Agency 8.69%
Federal Home Loan Mortgage Corp Agency 5.47%
Inter-American Dev Bank Supranational 3.16%
First American Govt Obligation Fund Class-Z Money Market Fund FI 3.10%
Honda ABS ABS 2.47%
John Deere ABS ABS 2.08%
MUFG Bank Ltd/NY Commercial Paper 1.99%
Intl Bank Recon and Development Supranational 1.82%
Toronto Dominion Holdings Foreign Corporate 1.50%
Wells Fargo Corp US Corporate 1.46%
Bank of New York US Corporate 1.30%
Apple Inc US Corporate 1.28%
JP Morgan Chase & Co US Corporate 1.27%
Honda Motor Corporation US Corporate 1.26%
Bank of America Corp US Corporate 1.25%
Nissan ABS ABS 1.25%
Charles Schwab Corp/The US Corporate 1.24%
Berkshire Hathaway US Corporate 1.20%
Deere & Company US Corporate 1.14%
Chubb Corporation US Corporate 1.13%
American Express ABS ABS 1.12%
PNC Financial Services Group US Corporate 1.12%
ChevronTexaco Corp US Corporate 1.10%
IBM Corp US Corporate 1.05%
International Finance Corp Supranational 0.98%
Toyota ABS ABS 0.96%
Intel Corp US Corporate 0.93%
US Bancorp US Corporate 0.92%
Qualcomm Inc US Corporate 0.90%
HSBC Holdings PLC Foreign Corporate 0.82%
Wal-Mart Stores US Corporate 0.73%
General Dynamics Corp US Corporate 0.58%
Morgan Stanley US Corporate 0.54%
Microsoft US Corporate 0.54%
Exxon Mobil Corp US Corporate 0.54%
Oracle Corp US Corporate 0.54%
Issuers
Orange County Sanitation District Long Term – Account #10268
As of June 30, 2019
17
Issue Name Investment Type % Portfolio
HSBC Holdings PLC US Corporate 0.45%
Port Authority of New York and New Jersey Municipal Bonds 0.44%
Merck & Company US Corporate 0.37%
Federal Home Loan Mortgage Corp CMO 0.31%
New York City Transitional Finance Authority Municipal Bonds 0.26%
Federal National Mortgage Association Mortgage Pass Thru 0.20%
BlackRock Inc/New York US Corporate 0.19%
University of California Municipal Bonds 0.08%
Federal National Mortgage Association CMO 0.04%
GNMA Mortgage Pass Thru 0.03%
AMRESCO Residental Securities Corp CMO 0.02%
Small Business Administration ABS 0.00%
SLM Corp ABS 0.00%
Federal Home Loan Mortgage Corp Mortgage Pass Thru 0.00%
TOTAL 100.00%
Issuers
Orange County Sanitation District Long Term – Account #10268
As of June 30, 2019
18
AAA AA A <A NR
06/30/19 9.7% 65.2% 16.5% 0.5% 8.1%
03/31/19 11.8% 63.8% 14.7% 0.6% 9.1%
Source: S&P Ratings
June 30, 2019 vs. March 31, 2019
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
AAA AA A <A NR
6/30/2019 3/31/2019
Quality Distribution
Orange County Sanitation District Long Term
As of June 30, 2019
19
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
Orange County Sanitation District Long Term ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index
Portfolio Compared to the Benchmark as of June 30, 2019
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
Portfolio 8.6% 4.7% 9.4% 19.4% 14.0% 27.3% 14.6% 2.0%
Benchmark* 0.3% 0.1% 1.6% 33.5% 28.1% 22.4% 14.1% 0.0%
*ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index
Duration Distribution
Orange County Sanitation District Long Term
As of June 30, 2019
The duration of the portfolio extended modestly, currently 2.43 compared to 2.39 at the end of the prior quarter.
Interest rates dropped precipitously during the quarter and the Chandler team will be looking to keep the duration of
the portfolio close to the benchmark on a go forward basis. 20
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
12 months 2 years 3 years 5 years 10 years Since Inception
Orange County Sanitation District Long Term ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index
Total Rate of Return Annualized Since Inception 11/30/2014
Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years
Since
Inception
Orange County Sanitation District Long Term 1.70% 4.87% 2.46% 1.70%N/A N/A 1.74%
ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index 1.85% 5.13% 2.42% 1.55% N/A N/A 1.71%
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.
Investment Performance
Orange County Sanitation District Long Term
As of June 30, 2019
21
Category Standard Comment
Treasury Issues 1 year max maturity; Minimum allocation of 10%Complies
U.S. Agencies 20% max issuer; 1 year max maturity Complies
Supranational "AA" rated or better by a NRSRO; 30% maximum; 1 year max maturity; USD denominated senior unsecured
unsubordinated obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB Complies
Corporate (MTNs)"A" rated or better long term debt by a NRSRO; 30% maximum; 5% max issuer; 1 year max maturity; Issued by
corporations organized and operating within the U.S. or issued by depository institutions licensed by the U.S.Complies
Asset Backed/ CMOs "AA" rated or better by a NRSRO; "A" or higher issuer rating by a NRSRO; 20% maximum; 5% max issuer; 1 year max
maturity Complies
Negotiable CDs "A" rated or better long term debt by a NRSRO; or "A-1"/ highest short term rating by a NRSRO; 30% maximum; 5% max
issuer; 1 year max maturity Complies
Certificates of Deposit 5% max issuer; 1 year max maturity; Secured/collateralized Complies
Banker’s Acceptances A-1 rated or equivalent short term rating by a NRSRO; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper
A-1 rated or equivalent short term rating by a NRSRO; "A" or better long term debt issuer by a NRSRO; Issued by a
domestic corporation organized and operating in the US with AUM > $500million; 25% maximum; 5% max issuer;
270 days max maturity
Complies
Mutual Fund & Money Market Mutual
Fund
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience greater
than 5 years; 10% per one Mutual Fund; 20% max per issuer on Money Market Mutual Funds; 20% max of the
District's surplus money
Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
OCIP Not used by investment adviser Complies
Prohibited Municipal Securities Complies
Prohibited Mortgage Securities Complies
Avg Duration Not to exceed 180 days; Max duration of 1/2 year Complies
Max Per Issuer 5% of portfolio (except Supranationals, U.S. Government, Agencies, Mutual Fund)Complies
Maximum Maturity 1 year maximum maturity Complies
Orange County Sanitation District Liquid
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
Compliance As of June 30, 2019
22
Portfolio Characteristics
Orange County Sanitation District Liquid
6/30/2019 3/31/2019
Benchmark* Portfolio Portfolio
Average Maturity (yrs)0.16 0.24 0.27
Average Modified Duration 0.16 0.24 0.27
Average Purchase Yield n/a 2.48% 2.53%
Average Market Yield 2.08% 2.24% 2.50%
Average Quality**AAA AA+/Aaa AA+/Aa1
Total Market Value 164,545,331 108,504,950
*ICE BAML 3-Month US Treasury Bill Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
Many securities were purchased across the Treasury, Agency, Certificate of Deposit, Commercial Paper and Corporate
sectors of the market to keep the portfolio fully invested. The purchased securities ranged in maturity from May 2019
to March 2020. A net of $55 million was contributed to the portfolio during the quarter.
As of June 30, 2019
23
Orange County Sanitation District Liquid
Sector Distribution
Agency
5.1%Commercial
Paper
4.4%Money Market
Fund FI
3.6%
Negotiable CD
4.5%
US Corporate
8.6%
US Treasury
73.8%
June 30, 2019 March 31, 2019
Agency
4.6%Commercial
Paper
3.8%Money Market
Fund FI
8.6%
Negotiable CD
4.2%
US Corporate
9.8%
US Treasury
69.0%
As of June 30, 2019
The sector allocation was relatively stable. The US Treasury allocation continues to be elevated relative to the historical
experience as the Agency sector typically no longer trades at a discount to the Treasury market in short maturity notes
given supply dynamics in both asset classes. Treasury Bill issuance remains elevated, increasing yields, whereas the
Agency sector is not as dependent on short term financing, lessening supply.
24
Issue Name Investment Type % Portfolio
Government of United States US Treasury 73.82%
Federal Home Loan Bank Agency 5.06%
First American Govt Obligation Fund Class-Z Money Market Fund FI 3.62%
MUFG Bank Ltd/NY Commercial Paper 1.99%
Westpac Banking Corp NY Negotiable CD 1.86%
PNC Financial Services Group US Corporate 1.77%
HSBC Holdings PLC US Corporate 1.53%
Bank of Nova Scotia Houston Negotiable CD 1.41%
Toronto Dominion Holdings Negotiable CD 1.22%
Honda Motor Corporation US Corporate 1.21%
Rabobank Nederland NV NY Commercial Paper 1.21%
Toyota Motor Corp Commercial Paper 1.20%
JP Morgan Chase & Co US Corporate 0.92%
Bank of New York US Corporate 0.92%
Wells Fargo Corp US Corporate 0.92%
TWDC Enterprises 18 Corp US Corporate 0.69%
Paccar Financial US Corporate 0.66%
TOTAL 100.00%
Issuers
Orange County Sanitation District Liquid – Account #10282
As of June 30, 2019
25
AAA AA A <A NR
06/30/19 13.0% 78.4% 8.6% 0.0% 0.0%
03/31/19 24.7% 65.5% 9.8% 0.0% 0.0%
Source: S&P Ratings
June 30, 2019 vs. March 31, 2019
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
90.0%
AAA AA A <A NR
6/30/2019 3/31/2019
Quality Distribution
Orange County Sanitation District Liquid
As of June 30, 2019
26
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
120.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 1.5 1.5 - 2 2 - 2.5 2.5 - 3 3+
Orange County Sanitation District Liquid ICE BAML 3-Month US Treasury Bill Index
Portfolio Compared to the Benchmark as of June 30, 2019
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 1.5 1.5 - 2 2 - 2.5 2.5 - 3 3+
Portfolio 66.6% 10.9% 22.6% 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%
*ICE BAML 3-Month US Treasury Bill Index
Duration Distribution
Orange County Sanitation District Liquid
As of June 30, 2019
The duration of the portfolio was stable, currently 0.24 compared to 0.27 at the end of the prior quarter. The duration
of the portfolio is primarily driven by the cash flow needs of the District, with a large outflow set to take place at the end
of July. 27
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
12 months 2 years 3 years 5 years 10 years Since Inception
Orange County Sanitation District Liquid ICE BAML 3-Month US Treasury Bill Index
Total Rate of Return Annualized Since Inception 11/30/2014
Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years
Since
Inception
Orange County Sanitation District Liquid 0.69% 2.43% 1.89% 1.45% N/A N/A 1.05%
ICE BAML 3-Month US Treasury Bill Index 0.64% 2.31% 1.84% 1.38% N/A N/A 0.95%
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.
Investment Performance
Orange County Sanitation District Liquid
As of June 30, 2019
28
Compliance As of June 30, 2019
Category Standard Comment
Treasury Issues 5 years maximum maturity Complies
Supranational "AA" or better by 1 of 3 NRSROs; 30% maximum; 5% max; 5 years maturity; Includes only: IADB, IBRD, and IFC per
CGC Complies
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; 5% max issuer; 5 years max maturity Complies*
Municipal Securities "A" or higher by 1 of 3 NRSROS; 10% maximum; 5% max issuer; 5 years maximum maturity Complies
Asset Backed/ CMOs/ Mortgage-backed "AA" or better by 1 of 3 NRSROs; "A" or higher issuer rating by 1 of 3 NRSROs; 20% maximum; 5% max issuer
(excluding MBS/govt agency); 5 years max maturity Complies
Negotiable CDs "A" or better on its long term debt by 1 of 3 NRSROs ; "A1/P1" or highest short term ratings by 1 of 3 NRSROs; 30%
maximum; 5% max issuer; 5 years max maturity Complies
CDs/ TDS 5% max issuer; 5 years max maturity Complies
Banker’s Acceptances A-1, or equivalent highest short term rating by 1 of 3 NRSROS; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1, or equivalent by 1 of 3 NRSROS; "A" or better by 1 of 3 NRSROs, if long term debt issued; 25% maximum; 5% max
issuer; 270 days max maturity Complies
Money Market Fund Highest rating by 2 of 3 NRSROs; 20% maximum; 10% max issuer Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
Avg Duration Not to exceed 60 months - (80% to 120% of the benchmark)Complies
Maximum Maturity 5 years maximum maturity Complies
OCSD Lehman Exposure
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
* Account holds $2 million face value (cusip 525ESC0Y6) and $600,000 face value (cusip 525ESC1B7) of defaulted Lehman Bros Holdings that were purchased by the previous manager. Complied at
time of purchase.
29
Portfolio Characteristics
OCSD Lehman Exposure
6/30/2019
Portfolio
3/31/2019
Portfolio
Average Maturity (yrs)14.73 15.62
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 69,161 75,021
*Portfolio is S&P and Moody’s, respectively.
As of June 30, 2019
30
SECTION ||||||||||||||Section 3 |Consolidated Information
31
Portfolio Characteristics
Orange County Sanitation District Consolidated
6/30/2019 3/31/2019
Portfolio Portfolio
Average Maturity (yrs)2.20 2.32
Modified Duration 1.93 2.01
Average Purchase Yield 2.39% 2.39%
Average Market Yield 2.04% 2.43%
Average Quality*AA/Aa1 AA+/Aa1
Total Market Value 722,760,566 614,823,685
* Portfolio is S&P and Moody’s respectively.
As of June 30, 2019
32
Orange County Sanitation District Consolidated
Sector Distribution
ABS
6.1%
Agency
19.4%
CMO
0.3%
Commercial
Paper
2.5%
Foreign
Corporate
1.8%
Money Market
Fund FI
3.2%
Mortgage Pass
Thru
0.2%
Municipal Bonds
0.6%Negotiable CD
1.0%
Supranational
4.6%
US Corporate
19.8%
US Treasury
40.5%
June 30, 2019 March 31, 2019
ABS
7.7%
Agency
20.1%
CMO
0.3%
Commercial
Paper
2.3%
Foreign
Corporate
1.6%Money Market
Fund FI
3.7%
Mortgage Pass
Thru
0.2%Municipal Bonds
0.7%
Negotiable CD
0.7%
Supranational
5.3%
US Corporate
19.5%
US Treasury
37.7%
As of June 30, 2019
33
SECTION ||||||||||||||Section 4 |Portfolio Holdings
34
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
ABS
43814QAC2 Honda Auto Receivables 2016-2 A3
1.390% Due 04/15/2020
6,808.64 05/24/2016
1.40%
6,808.51
6,808.61
99.93
3.41%
6,804.11
4.21
0.00%
(4.50)
Aaa / NR
AAA
0.79
0.03
89238BAB8 Toyota Auto Receivables Owner 2018-A A2A
2.100% Due 10/15/2020
1,724,177.00 01/23/2018
2.12%
1,724,000.78
1,724,092.81
99.93
2.49%
1,722,950.89
1,609.23
0.31%
(1,141.92)
Aaa / AAA
NR
1.30
0.19
47788CAB8 John Deere Owner Trust 2018-A A2
2.420% Due 10/15/2020
596,531.92 03/16/2018
2.59%
595,320.22
595,923.49
99.99
2.48%
596,484.13
641.60
0.11%
560.64
Aaa / NR
AAA
1.30
0.17
43814RAC0 Honda Auto Receivables 2016-4 A3
1.210% Due 12/18/2020
949,016.11 02/07/2018
2.58%
938,599.17
943,662.82
99.62
2.45%
945,399.36
414.67
0.17%
1,736.54
NR / AAA
AAA
1.47
0.31
65478VAD9 NAROT 2016-B A3
1.320% Due 01/15/2021
499,041.78 02/12/2018
1.87%
495,045.55
496,927.45
99.73
2.47%
497,686.58
73.19
0.09%
759.13
Aaa / NR
AAA
1.55
0.24
83162CLJ0 Small Business Administration 2001-20C
6.340% Due 03/01/2021
14,686.06 03/06/2001
6.34%
14,686.06
14,686.06
102.01
4.24%
14,980.53
310.37
0.00%
294.47
Aaa / AA+
AAA
1.67
0.84
65477UAD2 NAROT 2015-A4
1.500% Due 09/15/2021
217,968.12 02/09/2018
1.86%
216,605.82
217,128.90
99.95
3.09%
217,854.33
145.31
0.04%
725.43
Aaa / NR
AAA
2.21
0.03
43814PAC4 Honda Auto Receivables Owner T 17-3 A3
1.790% Due 09/20/2021
2,692,110.09 06/28/2018
2.78%
2,649,414.90
2,662,705.09
99.73
2.22%
2,684,881.05
1,740.15
0.48%
22,175.96
NR / AAA
AAA
2.23
0.64
43814WAB1 HAROT 2019-1 A2
2.750% Due 09/20/2021
4,395,000.00 02/19/2019
2.77%
4,394,716.96
4,394,754.46
100.36
2.35%
4,410,857.16
4,364.48
0.79%
16,102.70
NR / AAA
AAA
2.23
0.87
47788BAD6 John Deere Owner Trust 2017-B A3
1.820% Due 10/15/2021
547,103.97 07/11/2017
1.83%
547,063.92
547,082.34
99.74
2.27%
545,697.27
442.55
0.10%
(1,385.07)
Aaa / NR
AAA
2.30
0.58
65478GAD2 Nissan Auto Receivables Owner 2017-B A3
1.750% Due 10/15/2021
2,625,000.00 11/06/2018
3.10%
2,584,291.99
2,593,215.85
99.69
2.26%
2,616,954.38
2,041.67
0.47%
23,738.53
Aaa / NR
AAA
2.30
0.61
89239AAB9 Toyota Auto Receivables 2019-A A2A
2.830% Due 10/15/2021
3,615,000.00 02/05/2019
2.85%
3,614,671.76
3,614,718.22
100.43
2.26%
3,630,461.36
4,546.87
0.65%
15,743.14
Aaa / AAA
NR
2.30
0.72
47789JAB2 John Deere Owner Trust 2019-A A2
2.850% Due 12/15/2021
3,265,000.00 03/05/2019
2.87%
3,264,851.12
3,264,867.37
100.59
2.20%
3,284,217.79
4,135.67
0.59%
19,350.42
Aaa / NR
AAA
2.46
0.88
47788CAC6 John Deere Owner Trust 2016-B A4
2.660% Due 04/18/2022
1,340,000.00 02/21/2018
2.68%
1,339,903.65
1,339,934.79
100.46
2.21%
1,346,137.20
1,584.18
0.24%
6,202.41
Aaa / NR
AAA
2.80
0.97
43814UAG4 Honda Auto Receivables 2018-2 A3
3.010% Due 05/18/2022
1,710,000.00 05/22/2018
3.03%
1,709,962.72
1,709,972.93
101.25
2.11%
1,731,289.50
1,858.68
0.31%
21,316.57
NR / AAA
AAA
2.88
1.34
43815HAC1 Honda Auto Receivables Owner 2018-3 A3
2.950% Due 08/22/2022
3,970,000.00 08/21/2018
2.98%
3,969,455.32
3,969,570.25
101.25
2.10%
4,019,640.88
3,253.19
0.72%
50,070.63
Aaa / NR
AAA
3.15
1.44
02587AAJ3 American Express Credit 2017-1
1.930% Due 09/15/2022
6,270,000.00 Various
2.91%
6,174,085.15
6,197,078.87
99.80
2.27%
6,257,177.85
5,378.27
1.12%
60,098.98
Aaa / NR
AAA
3.21
0.61
As of June 30, 2019
35
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
47788EAC2 John Deere Owner Trust 2018-B A3
3.080% Due 11/15/2022
4,630,000.00 07/18/2018
3.10%
4,629,649.05
4,629,725.08
101.35
2.13%
4,692,407.68
6,337.96
0.84%
62,682.60
Aaa / NR
AAA
3.38
1.38
65479GAD1 Nissan Auto Receivables Owner 2018-B A3
3.060% Due 03/15/2023
3,560,000.00 07/17/2018
3.08%
3,559,884.66
3,559,907.88
101.62
2.13%
3,617,568.69
4,841.60
0.65%
57,660.81
Aaa / AAA
NR
3.71
1.70
78445JAA5 SLMA 2008-9 A
4.082% Due 04/25/2023
14,014.54 08/22/2008
4.17%
13,957.68
13,999.73
101.12
3.40%
14,171.83
106.48
0.00%
172.10
Baa3 / A
B
3.82
2.60
47788NAD0 John Deere Owner Trust 2016-B A4
1.490% Due 05/15/2023
1,151,000.00 06/27/2018
2.19%
1,131,936.56
1,135,864.85
99.77
2.38%
1,148,335.44
762.22
0.21%
12,470.59
Aaa / NR
AAA
3.88
0.26
TOTAL ABS 43,792,458.23 2.84%
43,574,911.55
43,632,627.85 2.24%
44,001,958.01
44,592.55
7.89%
369,330.16
Aaa / AAA
Aaa
2.74
0.91
Agency
3137EADM8 FHLMC Note
1.250% Due 10/02/2019
7,500,000.00 Various
1.61%
7,399,650.00
7,493,291.44
99.76
2.20%
7,481,812.50
23,177.08
1.34%
(11,478.94)
Aaa / AA+
AAA
0.26
0.25
313383HU8 FHLB Note
1.750% Due 06/12/2020
5,000,000.00 08/13/2015
1.71%
5,008,950.00
5,001,760.57
99.75
2.02%
4,987,400.00
4,618.06
0.89%
(14,360.57)
Aaa / AA+
NR
0.95
0.94
3135G0D75 FNMA Note
1.500% Due 06/22/2020
5,000,000.00 11/16/2015
1.70%
4,955,650.00
4,990,570.01
99.49
2.03%
4,974,485.00
1,875.00
0.89%
(16,085.01)
Aaa / AA+
AAA
0.98
0.96
3137EAEK1 FHLMC Note
1.875% Due 11/17/2020
5,000,000.00 Various
1.97%
4,986,225.00
4,993,535.45
99.97
1.90%
4,998,425.00
11,458.33
0.90%
4,889.55
Aaa / AA+
AAA
1.39
1.35
3135G0F73 FNMA Note
1.500% Due 11/30/2020
7,500,000.00 Various
1.87%
7,370,726.00
7,463,015.11
99.51
1.85%
7,463,212.50
9,687.50
1.34%
197.39
Aaa / AA+
AAA
1.42
1.39
3137EAEL9 FHLMC Note
2.375% Due 02/16/2021
7,500,000.00 02/26/2018
2.45%
7,484,475.00
7,491,471.98
100.87
1.83%
7,564,942.50
66,796.88
1.37%
73,470.52
Aaa / AA+
AAA
1.64
1.58
3130A7CV5 FHLB Note
1.375% Due 02/18/2021
5,365,000.00 02/17/2016
1.46%
5,343,325.40
5,357,905.63
99.27
1.83%
5,325,610.17
27,253.45
0.96%
(32,295.46)
Aaa / AA+
AAA
1.64
1.60
3135G0J20 FNMA Note
1.375% Due 02/26/2021
10,000,000.00 Various
1.28%
10,040,950.00
10,014,808.26
99.23
1.85%
9,923,100.00
47,743.06
1.79%
(91,708.26)
Aaa / AA+
AAA
1.66
1.62
313379RB7 FHLB Note
1.875% Due 06/11/2021
4,000,000.00 08/30/2017
1.67%
4,030,160.00
4,015,538.96
100.03
1.86%
4,001,060.00
4,166.67
0.72%
(14,478.96)
Aaa / AA+
AAA
1.95
1.90
3135G0U35 FNMA Note
2.750% Due 06/22/2021
7,500,000.00 06/28/2018
2.68%
7,515,225.00
7,510,094.08
101.81
1.82%
7,635,427.50
5,156.25
1.37%
125,333.42
Aaa / AA+
AAA
1.98
1.92
3135G0S38 FNMA Note
2.000% Due 01/05/2022
3,000,000.00 01/30/2017
2.04%
2,994,570.00
2,997,227.68
100.52
1.79%
3,015,738.00
29,333.33
0.55%
18,510.32
Aaa / AA+
AAA
2.52
2.42
3135G0T45 FNMA Note
1.875% Due 04/05/2022
5,000,000.00 05/05/2017
1.99%
4,972,500.00
4,984,524.54
100.18
1.81%
5,008,960.00
22,395.83
0.90%
24,435.46
Aaa / AA+
AAA
2.77
2.67
As of June 30, 2019
36
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
3135G0T94 FNMA Note
2.375% Due 01/19/2023
5,000,000.00 Various
2.78%
4,910,990.00
4,933,699.64
101.97
1.80%
5,098,275.00
53,437.50
0.92%
164,575.36
Aaa / AA+
AAA
3.56
3.36
313383QR5 FHLB Note
3.250% Due 06/09/2023
5,000,000.00 08/28/2018
2.87%
5,083,350.00
5,068,733.90
105.25
1.86%
5,262,575.00
9,930.56
0.94%
193,841.10
Aaa / AA+
NR
3.95
3.70
3137EAEN5 FHLMC Note
2.750% Due 06/19/2023
10,000,000.00 Various
2.84%
9,956,500.00
9,965,058.57
103.54
1.82%
10,353,950.00
9,166.66
1.86%
388,891.43
Aaa / AA+
AAA
3.97
3.75
313383YJ4 FHLB Note
3.375% Due 09/08/2023
10,000,000.00 Various
2.88%
10,211,831.00
10,190,727.93
106.35
1.79%
10,635,200.00
105,937.50
1.92%
444,472.07
Aaa / AA+
NR
4.19
3.88
3130A0F70 FHLB Note
3.375% Due 12/08/2023
10,000,000.00 Various
2.79%
10,269,043.75
10,242,023.52
106.39
1.87%
10,638,710.01
21,562.51
1.91%
396,686.49
Aaa / AA+
AAA
4.44
4.12
3135G0V34 FNMA Note
2.500% Due 02/05/2024
5,000,000.00 02/27/2019
2.58%
4,980,850.00
4,982,156.41
103.00
1.82%
5,150,245.00
49,652.78
0.93%
168,088.59
Aaa / AA+
AAA
4.61
4.30
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
11,110,000.00 Various
1.96%
11,589,031.30
11,585,609.27
104.71
1.87%
11,633,647.63
15,083.37
2.09%
48,038.36
Aaa / AA+
NR
4.96
4.61
TOTAL Agency 128,475,000.00 2.21%
129,104,002.45
129,281,752.95 1.87%
131,152,775.81
518,432.32
23.59%
1,871,022.86
Aaa / AA+
Aaa
2.78
2.63
CMO
31398VJ98 FHLMC FHMS K006 A2
4.251% Due 01/25/2020
882,281.85 11/23/2010
3.54%
932,323.78
885,394.51
100.37
2.76%
885,574.51
3,125.48
0.16%
180.00
Aaa / AA+
AAA
0.57
0.43
03215PFN4 AMRESCO Residential Securities 1999-1 A
3.344% Due 06/25/2029
133,743.29 05/20/2011
7.16%
100,432.85
115,356.25
98.17
4.50%
131,293.11
74.54
0.02%
15,936.86
NR / A+
BBB
9.99
6.71
3133TCE95 FHLMC FSPC E3 A
4.016% Due 08/15/2032
9,215.15 03/11/1998
3.98%
9,224.80
9,218.84
100.70
2.49%
9,279.38
30.84
0.00%
60.54
Aaa / AA+
AAA
13.14
1.65
31397QRE0 FNMA FNR 2011-3 FA
3.084% Due 02/25/2041
197,419.05 12/20/2010
3.09%
197,357.36
197,374.63
100.61
3.01%
198,629.23
101.48
0.04%
1,254.60
Aaa / AA+
AAA
21.67
0.07
31394JY35 FHLMC FSPC T-58 2A
6.500% Due 09/25/2043
709,504.78 06/09/2011
5.40%
803,514.16
780,081.58
115.88
3.30%
822,167.04
768.63
0.15%
42,085.46
Aaa / AA+
AAA
24.25
4.87
TOTAL CMO 1,932,164.12 4.47%
2,042,852.95
1,987,425.81 3.11%
2,046,943.27
4,100.97
0.37%
59,517.46
Aaa / AA+
Aaa
12.78
2.58
As of June 30, 2019
37
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Commercial Paper
62479MVK6 MUFG Bank Ltd/NY Discount CP
2.350% Due 08/19/2019
11,125,000.00 06/20/2019
2.39%
11,081,427.08
11,089,415.45
99.68
2.39%
11,089,415.45
0.00
1.99%
0.00
P-1 / A-1
NR
0.14
0.14
TOTAL Commercial Paper 11,125,000.00 2.39%
11,081,427.08
11,089,415.45 2.39%
11,089,415.45
0.00
1.99%
0.00
P-1 / A-1
NR
0.14
0.14
Foreign Corporate
404280BF5 HSBC Holdings PLC Note
2.650% Due 01/05/2022
4,500,000.00 Various
3.08%
4,429,980.00
4,454,381.74
100.39
2.49%
4,517,473.50
58,300.00
0.82%
63,091.76
A2 / A
AA-
2.52
2.39
89114QC48 Toronto Dominion Bank Note
3.500% Due 07/19/2023
5,000,000.00 02/26/2019
3.04%
5,094,200.00
5,086,967.42
104.91
2.23%
5,245,580.00
78,750.00
0.95%
158,612.58
Aa1 / AA-
AA-
4.05
3.72
89114QCA4 Toronto Dominion Bank Note
2.650% Due 06/12/2024
3,000,000.00 06/12/2019
2.65%
3,000,570.00
3,000,564.69
100.90
2.45%
3,027,096.00
4,195.83
0.54%
26,531.31
Aa3 / A
AA-
4.96
4.61
TOTAL Foreign Corporate 12,500,000.00 2.96%
12,524,750.00
12,541,913.85 2.37%
12,790,149.50
141,245.83
2.32%
248,235.65
Aa3 / A+
AA-
3.72
3.46
Money Market Fund FI
31846V567 First American Govt Obligation MMKT Class-Z 17,316,326.72 Various
2.25%
17,316,326.72
17,316,326.72
1.00
2.25%
17,316,326.72
0.00
3.10%
0.00
P-1 / A-1+
F-1
0.00
0.00
TOTAL Money Market Fund FI 17,316,326.72 2.25%
17,316,326.72
17,316,326.72 2.25%
17,316,326.72
0.00
3.10%
0.00
Aaa / AAA
AA
0.00
0.00
Mortgage Pass Thru
31381PDA3 FNMA FN 466397
3.400% Due 11/01/2020
339,495.73 12/01/2010
3.80%
332,148.85
338,502.74
101.04
2.53%
343,041.42
224.44
0.06%
4,538.68
Aaa / AA+
AAA
1.34
1.32
36225CAZ9 GNMA Pool# G2 80023
4.120% Due 12/20/2026
16,750.70 08/08/1997
4.01%
17,028.12
16,821.40
103.11
2.82%
17,271.11
57.51
0.00%
449.71
Aaa / AA+
AAA
7.48
3.01
36225CC20 GNMA Pool# G2 80088
3.860% Due 06/20/2027
16,750.80 08/11/1997
3.72%
17,117.24
16,848.74
101.45
3.04%
16,993.70
53.88
0.00%
144.96
Aaa / AA+
AAA
7.98
3.52
31348SWZ3 FHLMC FH 786064
4.737% Due 01/01/2028
1,897.95 02/18/2000
4.96%
1,851.73
1,883.84
102.59
3.38%
1,947.19
7.49
0.00%
63.35
Aaa / AA+
AAA
8.51
3.80
31371NUC7 FNMA FN 257179
4.500% Due 04/01/2028
15,154.14 12/05/2011
3.72%
16,026.99
15,622.74
104.75
2.66%
15,873.40
56.83
0.00%
250.66
Aaa / AA+
AAA
8.76
2.83
31417YAY3 FNMA Pool# FN MA0022
4.500% Due 04/01/2029
17,384.68 12/05/2011
3.76%
18,386.01
17,949.04
104.74
2.43%
18,209.58
65.19
0.00%
260.54
Aaa / AA+
AAA
9.76
2.97
As of June 30, 2019
38
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
3138EG6F6 FNMA FN AL0869
4.500% Due 06/01/2029
10,650.75 12/05/2011
3.77%
11,264.22
10,999.07
104.75
2.47%
11,156.33
9.32
0.00%
157.26
Aaa / AA+
AAA
9.93
3.02
36225CNM4 GNMA Pool# G2 80395
3.860% Due 04/20/2030
6,828.70 03/15/2000
3.94%
6,766.79
6,806.33
103.48
2.78%
7,066.43
21.97
0.00%
260.10
Aaa / AA+
AAA
10.81
3.71
36225CN28 GNMA Pool# G2 80408
3.860% Due 05/20/2030
53,155.64 03/15/2000
3.95%
52,615.77
52,959.66
103.48
2.83%
55,005.93
170.98
0.01%
2,046.27
Aaa / AA+
AAA
10.90
4.01
31403GXF4 FNMA Pool# FN 748678
5.000% Due 10/01/2033
1,807.84 06/10/2013
4.16%
1,943.43
1,903.45
107.61
2.65%
1,945.43
7.53
0.00%
41.98
Aaa / AA+
AAA
14.27
3.50
36225DCB8 GNMA Pool# G2 80965
4.100% Due 07/20/2034
47,185.93 07/19/2004
4.12%
47,156.44
47,171.09
104.36
2.39%
49,245.17
161.22
0.01%
2,074.08
Aaa / AA+
AAA
15.07
2.65
31406XWT5 FNMA Pool# FN 823358
4.724% Due 02/01/2035
110,589.16 01/11/2006
4.81%
109,725.18
110,125.06
104.83
3.37%
115,928.74
435.33
0.02%
5,803.68
Aaa / AA+
AAA
15.60
6.88
31406PQY8 FNMA Pool# FN 815971
5.000% Due 03/01/2035
165,161.38 06/10/2013
4.21%
177,548.49
174,134.55
109.27
2.80%
180,471.67
688.17
0.03%
6,337.12
Aaa / AA+
AAA
15.68
3.73
31407BXH7 FNMA Pool# FN 826080
5.000% Due 07/01/2035
19,654.43 06/10/2013
4.22%
21,128.51
20,728.43
109.41
2.79%
21,503.36
81.89
0.00%
774.93
Aaa / AA+
AAA
16.01
3.72
31376KT22 FNMA FN 357969
5.000% Due 09/01/2035
103,945.21 06/10/2013
4.22%
111,741.09
109,641.42
109.31
2.80%
113,627.19
101.06
0.02%
3,985.77
Aaa / AA+
AAA
16.18
3.74
31403DJZ3 FNMA Pool #745580
5.000% Due 06/01/2036
96,498.76 06/10/2013
4.26%
103,736.17
101,850.82
109.37
2.82%
105,542.62
402.08
0.02%
3,691.80
Aaa / AA+
AAA
16.93
3.77
31410F4V4 FNMA Pool# FN 888336
5.000% Due 07/01/2036
190,095.55 06/10/2013
4.25%
204,352.72
200,652.01
109.35
2.81%
207,860.55
792.06
0.04%
7,208.54
Aaa / AA+
AAA
17.02
3.76
TOTAL Mortgage Pass Thru 1,213,007.35 4.12%
1,250,537.75
1,244,600.39 2.76%
1,282,689.82
3,336.95
0.23%
38,089.43
Aaa / AA+
Aaa
11.52
3.31
Municipal Bonds
73358WAG9 Port Authority of NY & NJ TE-REV
5.309% Due 12/01/2019
2,440,000.00 Various
4.97%
2,507,633.89
2,442,720.68
101.25
2.30%
2,470,451.20
10,794.97
0.44%
27,730.52
Aa3 / AA-
AA-
0.42
0.42
64971M5E8 New York NY TE-REV
4.075% Due 11/01/2020
1,400,000.00 10/27/2010
4.08%
1,400,000.00
1,400,000.00
102.76
1.97%
1,438,682.00
9,508.33
0.26%
38,682.00
Aa1 / AAA
AAA
1.34
1.29
913366EJ5 Univ of California Rgts Med TE-REV
5.035% Due 05/15/2021
400,000.00 11/09/2010
5.04%
400,000.00
400,000.00
105.43
2.07%
421,712.00
2,573.44
0.08%
21,712.00
Aa3 / AA-
AA-
1.88
1.79
TOTAL Municipal Bonds 4,240,000.00 4.68%
4,307,633.89
4,242,720.68 2.16%
4,330,845.20
22,876.74
0.78%
88,124.52
Aa2 / AA
AA
0.87
0.84
As of June 30, 2019
39
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Supranational
4581X0CX4 Inter-American Dev Bank Note
1.625% Due 05/12/2020
3,035,000.00 04/05/2017
1.70%
3,027,807.05
3,032,981.37
99.62
2.07%
3,023,339.53
6,712.83
0.54%
(9,641.84)
Aaa / AAA
AAA
0.87
0.85
45950KCM0 International Finance Corp Note
2.250% Due 01/25/2021
2,970,000.00 01/18/2018
2.35%
2,961,268.20
2,965,426.96
100.53
1.91%
2,985,711.30
28,957.50
0.54%
20,284.34
Aaa / AAA
NR
1.58
1.52
4581X0CS5 Inter-American Dev Bank Note
1.875% Due 03/15/2021
5,000,000.00 Various
1.68%
5,059,610.00
5,015,536.44
100.02
1.86%
5,001,150.00
27,604.17
0.90%
(14,386.44)
Aaa / AAA
AAA
1.71
1.67
45950KCJ7 International Finance Corp Note
1.125% Due 07/20/2021
2,500,000.00 11/09/2016
1.64%
2,441,600.00
2,474,430.82
98.56
1.84%
2,464,045.00
12,578.13
0.44%
(10,385.82)
Aaa / AAA
NR
2.06
2.01
4581X0CW6 Inter-American Dev Bank Note
2.125% Due 01/18/2022
3,000,000.00 01/10/2017
2.15%
2,996,310.00
2,998,116.60
100.80
1.80%
3,023,922.00
28,864.58
0.55%
25,805.40
Aaa / NR
AAA
2.56
2.45
459058FY4 Intl. Bank Recon & Development Note
2.000% Due 01/26/2022
10,000,000.00 Various
1.99%
10,006,350.00
10,002,469.12
100.53
1.79%
10,053,150.00
86,111.12
1.82%
50,680.88
Aaa / NR
AAA
2.58
2.48
4581X0CZ9 Inter-American Dev Bank Note
1.750% Due 09/14/2022
6,500,000.00 Various
2.65%
6,249,655.00
6,324,347.90
99.85
1.80%
6,490,393.00
33,809.02
1.17%
166,045.10
NR / NR
AAA
3.21
3.09
TOTAL Supranational 33,005,000.00 2.07%
32,742,600.25
32,813,309.21 1.84%
33,041,710.83
224,637.35
5.96%
228,401.62
Aaa / AAA
Aaa
2.28
2.20
US Corporate
02665WAH4 American Honda Finance Note
2.250% Due 08/15/2019
4,000,000.00 Various
1.93%
4,046,640.00
4,001,509.08
99.93
2.78%
3,997,220.00
34,000.00
0.72%
(4,289.08)
A2 / A
NR
0.13
0.12
06406HCW7 Bank of New York Callable Note Cont 8/11/2019
2.300% Due 09/11/2019
2,120,000.00 02/10/2016
1.99%
2,142,175.20
2,120,714.77
100.00
2.27%
2,120,057.24
14,898.89
0.38%
(657.53)
A1 / A
AA-
0.20
0.11
24422ESS9 John Deere Capital Corp Note
2.300% Due 09/16/2019
5,000,000.00 Various
2.07%
5,046,984.00
5,002,260.81
99.98
2.40%
4,998,790.00
33,541.67
0.90%
(3,470.81)
A2 / A
A
0.21
0.21
46625HKA7 JP Morgan Chase Callable Note Cont 12/23/2019
2.250% Due 01/23/2020
2,000,000.00 02/06/2015
2.30%
1,994,880.00
1,999,416.31
99.97
2.30%
1,999,388.00
19,750.00
0.36%
(28.31)
A2 / A-
AA-
0.57
0.55
40428HPR7 HSBC USA Inc Note
2.350% Due 03/05/2020
2,500,000.00 Various
2.64%
2,472,287.50
2,495,299.84
100.00
2.34%
2,500,100.00
18,930.56
0.45%
4,800.16
A2 / A
AA-
0.68
0.67
747525AD5 Qualcomm Inc Note
2.250% Due 05/20/2020
5,000,000.00 05/19/2015
2.27%
4,995,195.40
4,999,147.02
99.97
2.29%
4,998,370.00
12,812.51
0.90%
(777.02)
A2 / A-
NR
0.89
0.87
94974BGM6 Wells Fargo Corp Note
2.600% Due 07/22/2020
5,000,000.00 07/16/2015
2.59%
5,001,650.00
5,000,349.51
100.33
2.28%
5,016,445.00
57,416.67
0.91%
16,095.49
A2 / A-
A+
1.06
1.03
037833BS8 Apple Inc Callable Note Cont 1/23/2021
2.250% Due 02/23/2021
4,000,000.00 05/23/2016
1.96%
4,050,840.00
4,017,076.03
100.36
2.02%
4,014,288.00
32,000.00
0.72%
(2,788.03)
Aa1 / AA+
NR
1.65
1.52
As of June 30, 2019
40
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
30231GAV4 Exxon Mobil Corp Callable Note Cont 2/1/2021
2.222% Due 03/01/2021
3,000,000.00 Various
2.10%
3,016,097.40
3,005,637.33
100.28
2.05%
3,008,313.01
22,220.00
0.54%
2,675.68
Aaa / AA+
NR
1.67
1.62
369550BE7 General Dynamics Corp Note
3.000% Due 05/11/2021
3,160,000.00 05/08/2018
3.24%
3,138,038.00
3,146,373.94
101.62
2.11%
3,211,166.72
13,166.67
0.58%
64,792.78
A2 / A+
NR
1.87
1.80
166764BG4 Chevron Corp Callable Note Cont 4/15/2021
2.100% Due 05/16/2021
2,500,000.00 05/20/2016
2.23%
2,485,350.00
2,494,477.02
100.09
2.05%
2,502,190.00
6,562.50
0.45%
7,712.98
Aa2 / AA
NR
1.88
1.75
61747WAL3 Morgan Stanley Note
5.500% Due 07/28/2021
2,800,000.00 06/06/2014
3.24%
3,200,848.00
2,916,683.10
106.25
2.40%
2,974,896.40
65,450.00
0.54%
58,213.30
A3 / BBB+
A
2.08
1.93
594918BP8 Microsoft Callable Note Cont 7/8/21
1.550% Due 08/08/2021
3,045,000.00 Various
1.57%
3,041,385.15
3,043,477.64
99.15
1.96%
3,019,074.87
18,747.89
0.54%
(24,402.77)
Aaa / AAA
AA+
2.11
2.05
68389XBK0 Oracle Corp Callable Note Cont 8/01/21
1.900% Due 09/15/2021
3,000,000.00 06/28/2018
3.08%
2,892,240.00
2,925,926.47
99.49
2.14%
2,984,814.00
16,783.33
0.54%
58,887.53
A1 / AA-
A
2.21
2.14
06406RAA5 Bank of NY Mellon Corp Callable Note Cont 1/7/2022
2.600% Due 02/07/2022
2,500,000.00 02/08/2017
2.56%
2,504,475.00
2,502,303.79
101.01
2.19%
2,525,222.50
26,000.00
0.46%
22,918.71
A1 / A
AA-
2.61
2.40
69353RFB9 PNC Bank Callable Note Cont 1/18/2022
2.625% Due 02/17/2022
1,000,000.00 03/26/2018
3.32%
974,940.00
983,046.61
100.86
2.28%
1,008,555.00
9,770.83
0.18%
25,508.39
A2 / A
A+
2.64
2.43
084664BT7 Berkshire Hathaway Note
3.000% Due 05/15/2022
4,000,000.00 05/23/2017
2.30%
4,131,120.00
4,075,782.30
102.80
1.99%
4,112,112.00
15,333.33
0.74%
36,329.70
Aa2 / AA
A+
2.88
2.74
95000U2B8 Wells Fargo & Company Note
2.625% Due 07/22/2022
3,000,000.00 Various
2.99%
2,954,520.00
2,969,014.67
100.72
2.38%
3,021,654.00
34,781.26
0.55%
52,639.33
A2 / A-
A+
3.06
2.89
00440EAU1 Chubb INA Holdings Inc Callable Note Cont 9/3/2022
2.875% Due 11/03/2022
4,169,000.00 Various
2.54%
4,232,453.17
4,210,902.97
101.86
2.26%
4,246,489.20
19,310.58
0.76%
35,586.23
A3 / A
A
3.35
3.01
90331HNL3 US Bank NA Callable Note Cont 12/23/22
2.850% Due 01/23/2023
5,000,000.00 01/29/2018
2.93%
4,981,600.00
4,986,822.44
101.82
2.30%
5,090,780.00
62,541.67
0.92%
103,957.56
A1 / AA-
AA-
3.57
3.26
808513AT2 Charles Schwab Corp Callable Note Cont 12/25/2022
2.650% Due 01/25/2023
6,750,000.00 05/21/2019
2.74%
6,729,480.00
6,730,075.89
101.24
2.28%
6,833,963.25
77,512.50
1.24%
103,887.36
A2 / A
A
3.58
3.28
06406RAE7 Bank of NY Mellon Corp Callable Note Cont 12/29/2022
2.950% Due 01/29/2023
2,500,000.00 Various
3.03%
2,489,555.00
2,493,197.24
102.09
2.32%
2,552,340.00
31,138.89
0.46%
59,142.76
A1 / A
AA-
3.59
3.27
44932HAH6 IBM Credit Corp Note
3.000% Due 02/06/2023
5,670,000.00 Various
3.26%
5,603,264.40
5,620,382.73
102.31
2.33%
5,800,846.60
68,512.50
1.05%
180,463.87
A1 / A
A
3.61
3.36
00440EAP2 Chubb INA Holdings Inc Note
2.700% Due 03/13/2023
2,000,000.00 05/24/2018
3.42%
1,937,000.00
1,951,336.19
101.61
2.24%
2,032,296.00
16,200.00
0.37%
80,959.81
A3 / A
A
3.70
3.48
As of June 30, 2019
41
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
084670BR8 Berkshire Hathaway Callable Note Cont 1/15/2023
2.750% Due 03/15/2023
2,500,000.00 04/20/2018
3.28%
2,440,950.00
2,455,266.15
101.62
2.27%
2,540,390.00
20,243.06
0.46%
85,123.85
Aa2 / AA
A+
3.71
3.34
58933YAF2 Merck & Co Note
2.800% Due 05/18/2023
2,000,000.00 10/26/2018
3.41%
1,948,640.00
1,956,184.76
102.41
2.15%
2,048,152.00
6,688.89
0.37%
91,967.24
A1 / AA
A+
3.88
3.66
46625HRL6 JP Morgan Chase Callable Note Cont 3/18/2023
2.700% Due 05/18/2023
5,000,000.00 Various
3.59%
4,821,910.00
4,842,022.52
101.03
2.41%
5,051,260.00
16,125.00
0.91%
209,237.48
A2 / A-
AA-
3.88
3.51
69353RFL7 PNC Bank Callable Note Cont 5/9/2023
3.500% Due 06/08/2023
5,000,000.00 Various
3.53%
4,993,318.05
4,994,729.85
104.55
2.26%
5,227,515.00
11,180.56
0.94%
232,785.15
A2 / A
NR
3.94
3.60
166764AH3 Chevron Corp Callable Note Cont 3/24/2023
3.191% Due 06/24/2023
3,500,000.00 11/08/2018
3.59%
3,441,095.00
3,449,140.22
103.79
2.13%
3,632,562.50
2,171.65
0.65%
183,422.28
Aa2 / AA
NR
3.99
3.51
931142EK5 Wal-Mart Stores Callable Note Cont 5/26/2023
3.400% Due 06/26/2023
3,880,000.00 Various
3.41%
3,878,991.40
3,879,195.33
105.10
2.03%
4,077,988.64
1,832.22
0.73%
198,793.31
Aa2 / AA
AA
3.99
3.66
02665WCJ8 American Honda Finance Note
3.450% Due 07/14/2023
845,000.00 07/11/2018
3.49%
843,538.15
843,818.66
104.30
2.33%
881,305.43
13,523.52
0.16%
37,486.77
A2 / A
NR
4.04
3.71
02665WCQ2 American Honda Finance Note
3.625% Due 10/10/2023
2,000,000.00 Various
3.64%
1,998,320.00
1,998,542.18
105.24
2.33%
2,104,828.00
16,312.50
0.38%
106,285.82
A2 / A
NR
4.28
3.93
24422EUM9 John Deere Capital Corp Note
3.650% Due 10/12/2023
1,250,000.00 11/28/2018
3.64%
1,250,237.50
1,250,209.03
105.74
2.24%
1,321,757.50
10,012.15
0.24%
71,548.47
A2 / A
A
4.29
3.94
06051GHF9 Bank of America Corp Callable Note 1X 3/5/2023
3.550% Due 03/05/2024
6,675,000.00 Various
3.16%
6,770,625.75
6,764,908.86
103.67
2.50%
6,919,832.33
76,354.59
1.25%
154,923.47
A2 / A-
A+
4.68
3.41
09247XAL5 Blackrock Inc Note
3.500% Due 03/18/2024
1,000,000.00 05/09/2019
2.69%
1,036,330.00
1,035,324.82
106.25
2.10%
1,062,452.00
10,013.89
0.19%
27,127.18
Aa3 / AA-
NR
4.72
4.32
458140BD1 Intel Corp Callable Note Cont 3/11/2024
2.875% Due 05/11/2024
5,000,000.00 05/09/2019
2.76%
5,025,900.00
5,025,180.56
102.93
2.22%
5,146,440.00
19,965.28
0.93%
121,259.44
A1 / A+
A+
4.87
4.37
037833CU2 Apple Inc Callable Note Cont 3/11/2024
2.850% Due 05/11/2024
3,000,000.00 05/17/2019
2.72%
3,017,760.00
3,017,345.33
103.01
2.17%
3,090,342.00
11,875.00
0.56%
72,996.67
Aa1 / AA+
NR
4.87
4.37
TOTAL US Corporate 125,364,000.00 2.82%
125,530,634.07
125,203,081.97 2.26%
127,674,197.19
943,680.56
23.04%
2,471,115.22
A1 / A+
A+
2.86
2.58
US Treasury
912828WW6 US Treasury Note
1.625% Due 07/31/2019
5,000,000.00 Various
1.57%
5,012,388.70
5,000,205.19
99.95
2.22%
4,997,395.00
33,891.58
0.90%
(2,810.19)
Aaa / AA+
AAA
0.08
0.09
912828F39 US Treasury Note
1.750% Due 09/30/2019
5,800,000.00 10/27/2014
1.48%
5,873,186.87
5,803,704.12
99.89
2.16%
5,793,881.00
25,513.67
1.04%
(9,823.12)
Aaa / AA+
AAA
0.25
0.25
As of June 30, 2019
42
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
912828G61 US Treasury Note
1.500% Due 11/30/2019
7,500,000.00 12/19/2014
1.64%
7,449,634.50
7,495,756.34
99.74
2.12%
7,480,665.00
9,528.69
1.34%
(15,091.34)
Aaa / AA+
AAA
0.42
0.41
912828XE5 US Treasury Note
1.500% Due 05/31/2020
5,000,000.00 12/21/2016
1.70%
4,966,423.00
4,991,044.35
99.54
2.01%
4,976,955.00
6,352.46
0.89%
(14,089.35)
Aaa / AA+
AAA
0.92
0.91
912828L99 US Treasury Note
1.375% Due 10/31/2020
10,000,000.00 Various
1.81%
9,850,311.40
9,944,511.20
99.35
1.87%
9,935,160.00
23,165.76
1.78%
(9,351.20)
Aaa / AA+
AAA
1.34
1.31
912828N89 US Treasury Note
1.375% Due 01/31/2021
6,000,000.00 Various
1.81%
5,895,840.41
5,960,088.61
99.30
1.83%
5,957,814.00
34,412.99
1.07%
(2,274.61)
Aaa / AA+
AAA
1.59
1.55
912828T34 US Treasury Note
1.125% Due 09/30/2021
7,000,000.00 Various
1.88%
6,757,914.08
6,886,585.80
98.68
1.73%
6,907,579.00
19,795.09
1.24%
20,993.20
Aaa / AA+
AAA
2.25
2.20
912828T67 US Treasury Note
1.250% Due 10/31/2021
6,000,000.00 12/13/2016
1.92%
5,813,691.98
5,910,818.89
98.89
1.74%
5,933,202.00
12,635.87
1.07%
22,383.11
Aaa / AA+
AAA
2.34
2.28
912828U65 US Treasury Note
1.750% Due 11/30/2021
7,000,000.00 12/28/2016
2.06%
6,900,492.20
6,951,104.40
100.03
1.74%
7,002,184.00
10,375.68
1.26%
51,079.60
Aaa / AA+
AAA
2.42
2.35
912828V72 US Treasury Note
1.875% Due 01/31/2022
3,000,000.00 02/27/2017
1.84%
3,004,814.74
3,002,530.55
100.35
1.74%
3,010,548.00
23,463.40
0.54%
8,017.45
Aaa / AA+
AAA
2.59
2.50
912828J76 US Treasury Note
1.750% Due 03/31/2022
5,000,000.00 04/25/2017
1.85%
4,976,383.94
4,986,827.49
100.06
1.73%
5,003,125.00
21,994.54
0.90%
16,297.51
Aaa / AA+
AAA
2.75
2.66
912828XW5 US Treasury Note
1.750% Due 06/30/2022
5,000,000.00 07/25/2017
1.86%
4,973,454.25
4,983,851.34
100.13
1.71%
5,006,250.00
237.77
0.90%
22,398.66
Aaa / AA+
AAA
3.00
2.91
912828L24 US Treasury Note
1.875% Due 08/31/2022
6,000,000.00 09/27/2017
1.92%
5,987,832.60
5,992,170.37
100.45
1.73%
6,026,952.00
37,601.90
1.09%
34,781.63
Aaa / AA+
AAA
3.17
3.05
912828L57 US Treasury Note
1.750% Due 09/30/2022
13,000,000.00 Various
2.15%
12,763,554.69
12,839,294.39
100.07
1.73%
13,009,139.00
57,185.79
2.34%
169,844.61
Aaa / AA+
AAA
3.25
3.13
912828M80 US Treasury Note
2.000% Due 11/30/2022
8,000,000.00 12/22/2017
2.25%
7,907,500.00
7,935,866.67
100.90
1.73%
8,072,184.00
13,551.91
1.45%
136,317.33
Aaa / AA+
AAA
3.42
3.29
912828N30 US Treasury Note
2.125% Due 12/31/2022
5,000,000.00 01/24/2018
2.44%
4,926,562.50
4,947,847.55
101.36
1.72%
5,068,165.00
288.72
0.91%
120,317.45
Aaa / AA+
AAA
3.51
3.36
9128284D9 US Treasury Note
2.500% Due 03/31/2023
10,000,000.00 Various
2.75%
9,887,265.63
9,914,435.14
102.79
1.73%
10,278,910.00
62,841.53
1.85%
364,474.86
Aaa / AA+
AAA
3.75
3.55
912828R69 US Treasury Note
1.625% Due 05/31/2023
5,000,000.00 05/30/2018
2.67%
4,757,226.56
4,809,876.22
99.61
1.73%
4,980,275.00
6,881.83
0.89%
170,398.78
Aaa / AA+
AAA
3.92
3.77
912828U57 US Treasury Note
2.125% Due 11/30/2023
15,000,000.00 Various
2.53%
14,723,632.81
14,747,290.09
101.60
1.75%
15,239,655.00
26,997.95
2.74%
492,364.91
Aaa / AA+
AAA
4.42
4.20
912828V80 US Treasury Note
2.250% Due 01/31/2024
7,500,000.00 Various
2.27%
7,491,503.91
7,491,845.16
102.17
1.76%
7,662,600.00
70,390.20
1.39%
170,754.84
Aaa / AA+
AAA
4.59
4.31
As of June 30, 2019
43
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
912828W48 US Treasury Note
2.125% Due 02/29/2024
10,000,000.00 04/24/2019
2.32%
9,911,718.75
9,915,058.58
101.65
1.76%
10,164,840.00
71,025.82
1.83%
249,781.42
Aaa / AA+
AAA
4.67
4.40
912828WJ5 US Treasury Note
2.500% Due 05/15/2024
7,000,000.00 06/10/2019
1.91%
7,193,046.88
7,190,901.91
103.43
1.76%
7,240,352.00
22,350.54
1.30%
49,450.09
Aaa / AA+
AAA
4.88
4.57
912828WU0 US Treasury Inflation Index Note
0.125% Due 07/15/2024
11,190,920.00 Various
0.23%
11,077,996.09
11,133,759.45
99.83
0.16%
11,171,391.85
6,453.29
2.00%
37,632.40
Aaa / AA+
AAA
5.05
5.02
TOTAL US Treasury 169,990,920.00 1.97%
168,102,376.49
168,835,373.81 1.70%
170,919,221.85
596,936.98
30.73%
2,083,848.04
Aaa / AA+
Aaa
3.06
2.93
TOTAL PORTFOLIO 548,953,876.42 2.37%
547,578,053.20
548,188,548.69 1.98%
555,646,233.65
2,499,840.25
100.00%
7,457,684.96
Aa1 / AA
Aaa
2.77
2.43
TOTAL MARKET VALUE PLUS ACCRUALS 558,146,073.90
As of June 30, 2019
44
Holdings Report
Orange County Sanitation District Liquid - Account #10282
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Agency
313384JV2 FHLB Discount Note
2.395% Due 07/31/2019
5,500,000.00 04/18/2019
2.45%
5,461,946.11
5,489,022.92
99.80
2.45%
5,489,022.92
0.00
3.34%
0.00
P-1 / A-1+
F-1+
0.08
0.08
313384LW7 FHLB Discount Note
2.200% Due 09/18/2019
2,850,000.00 06/28/2019
2.24%
2,835,718.33
2,836,240.83
99.52
2.24%
2,836,240.83
0.00
1.72%
0.00
P-1 / A-1+
F-1+
0.22
0.22
TOTAL Agency 8,350,000.00 2.38%
8,297,664.44
8,325,263.75 2.38%
8,325,263.75
0.00
5.06%
0.00
Aaa / AAA
Aaa
0.13
0.13
Commercial Paper
62479MVK6 MUFG Bank Ltd/NY Discount CP
2.350% Due 08/19/2019
3,290,000.00 06/20/2019
2.39%
3,277,114.17
3,279,476.57
99.68
2.39%
3,279,476.57
0.00
1.99%
0.00
P-1 / A-1
NR
0.14
0.14
21687BWD9 Rabobank Nederland NV NY Discount CP
2.830% Due 09/13/2019
2,000,000.00 12/18/2018
2.92%
1,957,864.44
1,988,365.55
99.42
2.92%
1,988,365.55
0.00
1.21%
0.00
P-1 / A-1
NR
0.21
0.20
89233GAH9 Toyota Motor Credit Discount CP
2.560% Due 01/17/2020
2,000,000.00 04/23/2019
2.63%
1,961,884.44
1,971,555.55
98.58
2.63%
1,971,555.55
0.00
1.20%
0.00
P-1 / A-1+
NR
0.55
0.54
TOTAL Commercial Paper 7,290,000.00 2.60%
7,196,863.05
7,239,397.67 2.60%
7,239,397.67
0.00
4.40%
0.00
P-1 / A-1
NR
0.27
0.26
Money Market Fund FI
31846V567 First American Govt Obligation MMKT Class-Z 5,955,570.51 Various
2.25%
5,955,570.51
5,955,570.51
1.00
2.25%
5,955,570.51
0.00
3.62%
0.00
P-1 / A-1+
F-1
0.00
0.00
TOTAL Money Market Fund FI 5,955,570.51 2.25%
5,955,570.51
5,955,570.51 2.25%
5,955,570.51
0.00
3.62%
0.00
Aaa / AAA
AA
0.00
0.00
Negotiable CD
96130ABJ6 Westpac Banking Corp NY Yankee CD
2.970% Due 09/13/2019
1,500,000.00 12/13/2018
2.97%
1,500,000.00
1,500,000.00
100.00
2.97%
1,500,000.00
24,626.25
0.93%
0.00
P-1 / A-1+
F-1+
0.21
0.20
89114MM20 Toronto Dominion Bank Yankee CD
2.470% Due 09/30/2019
2,000,000.00 05/30/2019
2.46%
2,000,066.62
2,000,049.29
100.00
2.46%
2,000,049.29
4,528.33
1.22%
0.00
P-1 / A-1+
F-1+
0.25
0.25
96130AAK4 Westpac Banking Corp NY Yankee CD
2.970% Due 10/18/2019
1,500,000.00 06/25/2019
2.23%
1,503,302.80
1,503,130.48
100.21
2.23%
1,503,130.48
31,556.25
0.93%
0.00
P-1 / A-1+
F-1+
0.30
0.30
06417G5Q7 Bank of Nova Scotia Yankee CD
2.610% Due 12/23/2019
2,300,000.00 04/05/2019
2.57%
2,300,614.40
2,300,410.38
100.02
2.57%
2,300,410.38
16,841.75
1.41%
0.00
P-1 / A-1
F-1+
0.48
0.48
TOTAL Negotiable CD 7,300,000.00 2.55%
7,303,983.82
7,303,590.15 2.55%
7,303,590.15
77,552.58
4.49%
0.00
Aaa / AAA
Aaa
0.32
0.32
As of June 30, 2019
45
Holdings Report
Orange County Sanitation District Liquid - Account #10282
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
US Corporate
25468PDL7 TWDC Enterprises 18 Corp Note
0.875% Due 07/12/2019
1,130,000.00 10/23/2018
2.79%
1,114,812.80
1,129,357.46
99.96
2.15%
1,129,516.36
4,641.63
0.69%
158.90
A2 / A
A
0.03
0.03
69353REX2 PNC Bank Callable Note Cont 6/29/2019
1.450% Due 07/29/2019
1,890,000.00 12/21/2018
3.02%
1,872,668.70
1,887,742.90
99.93
2.29%
1,888,695.90
11,571.00
1.15%
953.00
A2 / A
A+
0.08
0.08
69371RN36 Paccar Financial Corp Note
1.200% Due 08/12/2019
1,083,000.00 11/13/2018
2.91%
1,069,484.16
1,080,897.54
99.86
2.37%
1,081,516.29
5,017.90
0.66%
618.75
A1 / A+
NR
0.12
0.12
02665WAH4 American Honda Finance Note
2.250% Due 08/15/2019
1,977,000.00 02/22/2019
2.72%
1,972,709.91
1,975,864.39
99.93
2.78%
1,975,625.99
16,804.50
1.21%
(238.40)
A2 / A
NR
0.13
0.12
69353RDZ8 PNC Bank Callable Note Cont 19/18/2019
2.400% Due 10/18/2019
1,000,000.00 04/24/2019
2.61%
999,000.00
999,377.14
100.00
2.38%
1,000,026.00
4,866.67
0.61%
648.86
A2 / A
A+
0.30
0.30
94988J5G8 Wells Fargo Bank Note
2.150% Due 12/06/2019
500,000.00 04/18/2019
2.66%
498,425.00
498,903.74
99.91
2.37%
499,530.00
746.53
0.30%
626.26
Aa2 / A+
AA-
0.44
0.43
46625HKA7 JP Morgan Chase Callable Note Cont 12/23/2019
2.250% Due 01/23/2020
1,500,000.00 02/11/2019
2.90%
1,490,940.00
1,494,574.53
99.97
2.30%
1,499,541.00
14,812.50
0.92%
4,966.47
A2 / A-
AA-
0.57
0.55
94974BGF1 Wells Fargo Corp Note
2.150% Due 01/30/2020
1,000,000.00 05/21/2019
2.65%
996,600.00
997,126.19
99.91
2.31%
999,061.00
9,018.06
0.61%
1,934.81
A2 / A-
A+
0.59
0.57
06406HCZ0 Bank of New York Callable Note Cont 1/24/2020
2.150% Due 02/24/2020
1,500,000.00 04/23/2019
2.64%
1,493,925.00
1,495,259.51
99.89
2.32%
1,498,347.00
11,377.08
0.92%
3,087.49
A1 / A
AA-
0.65
0.64
40428HPR7 HSBC USA Inc Note
2.350% Due 03/05/2020
2,500,000.00 05/10/2019
2.69%
2,493,300.00
2,494,386.49
100.00
2.34%
2,500,100.00
18,930.56
1.53%
5,713.51
A2 / A
AA-
0.68
0.67
TOTAL US Corporate 14,080,000.00 2.77%
14,001,865.57
14,053,489.89 2.38%
14,071,959.54
97,786.43
8.61%
18,469.65
A2 / A
A+
0.37
0.36
US Treasury
912828WW6 US Treasury Note
1.625% Due 07/31/2019
20,000,000.00 Various
2.46%
19,923,437.51
19,986,347.62
99.95
2.22%
19,989,580.00
135,566.29
12.23%
3,232.38
Aaa / AA+
AAA
0.08
0.09
9128282K5 US Treasury Note
1.375% Due 07/31/2019
35,000,000.00 Various
2.50%
34,810,156.26
34,967,709.37
99.93
2.21%
34,974,590.00
200,742.40
21.38%
6,880.63
Aaa / AA+
AAA
0.08
0.09
912828TH3 US Treasury Note
0.875% Due 07/31/2019
15,000,000.00 Various
2.50%
14,874,023.44
14,980,015.32
99.89
2.20%
14,982,960.00
54,747.93
9.14%
2,944.68
Aaa / AA+
AAA
0.08
0.09
912828TR1 US Treasury Note
1.000% Due 09/30/2019
10,000,000.00 04/22/2019
2.43%
9,937,500.00
9,964,673.91
99.71
2.14%
9,971,480.00
25,136.61
6.08%
6,806.09
Aaa / AA+
AAA
0.25
0.25
9128282X7 US Treasury Note
1.375% Due 09/30/2019
10,000,000.00 05/21/2019
2.43%
9,962,500.00
9,973,950.38
99.79
2.20%
9,979,300.00
34,562.84
6.09%
5,349.62
Aaa / AA+
AAA
0.25
0.25
As of June 30, 2019
46
Holdings Report
Orange County Sanitation District Liquid - Account #10282
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
912828F62 US Treasury Note
1.500% Due 10/31/2019
2,500,000.00 04/04/2019
2.44%
2,486,718.75
2,492,247.31
99.79
2.12%
2,494,825.00
6,317.93
1.52%
2,577.69
Aaa / AA+
AAA
0.34
0.33
9128283S7 US Treasury Note
2.000% Due 01/31/2020
15,000,000.00 05/06/2019
2.41%
14,955,468.75
14,964,573.65
99.97
2.05%
14,995,320.00
125,138.12
9.19%
30,746.35
Aaa / AA+
AAA
0.59
0.57
912828H52 US Treasury Note
1.250% Due 01/31/2020
13,500,000.00 Various
2.35%
13,396,542.97
13,414,595.97
99.51
2.10%
13,433,553.00
70,390.19
8.21%
18,957.03
Aaa / AA+
AAA
0.59
0.58
TOTAL US Treasury 121,000,000.00 2.45%
120,346,347.68
120,744,113.53 2.17%
120,821,608.00
652,602.31
73.82%
77,494.47
Aaa / AA+
Aaa
0.24
0.23
TOTAL PORTFOLIO 163,975,570.51 2.48%
163,102,295.07
163,621,425.50 2.24%
163,717,389.62
827,941.32
100.00%
95,964.12
Aaa / AA+
Aaa
0.24
0.24
TOTAL MARKET VALUE PLUS ACCRUALS 164,545,330.94
As of June 30, 2019
47
Holdings Report
OCSD Lehman Exposure - Account #10284
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Common Stock
SLHOPNTA4 Lehman Brothers, Inc Open Position Long Exposure
0.000% Due 06/30/2019
60,641.49 11/21/2014
0.00%
57,842.64
57,842.64
0.42
0.00%
25,621.03
0.00
37.05%
(32,221.61)
NR / NR
NR
0.00
0.00
TOTAL Common Stock 60,641.49 0.00%
57,842.64
57,842.64 0.00%
25,621.03
0.00
37.05%
(32,221.61)
NR / NR
NR
0.00
0.00
US Corporate
525ESCIB7 Lehman Brothers Note-Defaulted
0.000% Due 01/24/2020
600,000.00 09/19/2008
0.00%
321,956.66
321,956.66
1.69
0.00%
10,140.00
0.00
14.66%
(311,816.66)
NR / NR
NR
0.57
0.00
525ESC0Y6 Lehman Brothers Note-Defaulted
0.000% Due 10/22/2049
2,000,000.00 09/18/2008
0.00%
1,037,742.88
1,037,742.88
1.67
0.00%
33,400.00
0.00
48.29%
(1,004,342.88)
NR / NR
NR
30.33
0.00
TOTAL US Corporate 2,600,000.00 0.00%
1,359,699.54
1,359,699.54 0.00%
43,540.00
0.00
62.95%
(1,316,159.54)
NR / NR
NR
23.40
0.00
TOTAL PORTFOLIO 2,660,641.49 0.00%
1,417,542.18
1,417,542.18 0.00%
69,161.03
0.00
100.00%
(1,348,381.15)
NR / NR
NR
14.73
0.00
TOTAL MARKET VALUE PLUS ACCRUALS 69,161.03
As of June 30, 2019
48
SECTION ||||||||||||||Section 5 |Transactions
49
Transaction Ledger
Orange County Sanitation District Long Term - Account #10268
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price
Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 04/12/2019 912828V80 4,500,000.00 US Treasury Note
2.25% Due: 01/31/2024
99.676 2.32% 4,485,410.16 19,858.43 4,505,268.59 0.00
Purchase 04/24/2019 06051GHF9 2,900,000.00 Bank of America Corp Callable Note 1X 3/5/2023
3.55% Due: 03/05/2024
101.078 3.25% 2,931,262.00 14,012.64 2,945,274.64 0.00
Purchase 04/24/2019 912796VA4 12,000,000.00 US Treasury Bill
2.366% Due: 05/07/2019
99.915 2.40% 11,989,747.77 0.00 11,989,747.77 0.00
Purchase 04/25/2019 912828W48 10,000,000.00 US Treasury Note
2.125% Due: 02/29/2024
99.117 2.32% 9,911,718.75 32,336.96 9,944,055.71 0.00
Purchase 05/07/2019 06406RAE7 1,000,000.00 Bank of NY Mellon Corp Callable Note Cont
12/29/2022
2.95% Due: 01/29/2023
100.349 2.85% 1,003,490.00 8,030.56 1,011,520.56 0.00
Purchase 05/07/2019 46625HRL6 1,000,000.00 JP Morgan Chase Callable Note Cont 3/18/2023
2.7% Due: 05/18/2023
98.947 2.98% 989,470.00 12,675.00 1,002,145.00 0.00
Purchase 05/10/2019 912796RU5 10,000,000.00 US Treasury Bill
2.377% Due: 06/13/2019
99.775 2.42% 9,977,545.83 0.00 9,977,545.83 0.00
Purchase 05/13/2019 09247XAL5 1,000,000.00 Blackrock Inc Note
3.5% Due: 03/18/2024
103.633 2.69% 1,036,330.00 5,347.22 1,041,677.22 0.00
Purchase 05/13/2019 458140BD1 5,000,000.00 Intel Corp Callable Note Cont 3/11/2024
2.875% Due: 05/11/2024
100.518 2.76% 5,025,900.00 798.61 5,026,698.61 0.00
Purchase 05/21/2019 037833CU2 3,000,000.00 Apple Inc Callable Note Cont 3/11/2024
2.85% Due: 05/11/2024
100.592 2.72% 3,017,760.00 2,375.00 3,020,135.00 0.00
Purchase 05/23/2019 808513AT2 6,750,000.00 Charles Schwab Corp Callable Note Cont
12/25/2022
2.65% Due: 01/25/2023
99.696 2.74% 6,729,480.00 58,631.25 6,788,111.25 0.00
Purchase 06/11/2019 912828WJ5 7,000,000.00 US Treasury Note
2.5% Due: 05/15/2024
102.758 1.91% 7,193,046.88 12,839.67 7,205,886.55 0.00
Purchase 06/14/2019 89114QCA4 3,000,000.00 Toronto Dominion Bank Note
2.65% Due: 06/12/2024
100.019 2.65% 3,000,570.00 441.67 3,001,011.67 0.00
Purchase 06/17/2019 3130A1XJ2 5,700,000.00 FHLB Note
2.875% Due: 06/14/2024
104.301 1.97% 5,945,157.00 1,365.63 5,946,522.63 0.00
March 31, 2019 through June 30, 2019
As of June 30, 2019
50
Transaction Ledger
Orange County Sanitation District Long Term - Account #10268
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price
Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Purchase 06/19/2019 3130A1XJ2 5,410,000.00 FHLB Note
2.875% Due: 06/14/2024
104.323 1.96% 5,643,874.30 2,160.24 5,646,034.54 0.00
Purchase 06/20/2019 62479MVK6 11,125,000.00 MUFG Bank Ltd/NY Discount CP
2.35% Due: 08/19/2019
99.608 2.39% 11,081,427.08 0.00 11,081,427.08 0.00
Subtotal 89,385,000.00 89,962,189.77 170,872.88 90,133,062.65 0.00
Security
Contribution
04/30/2019 912828WU0 45,656.00 US Treasury Inflation Index Note
0.125% Due: 07/15/2024
100.000 45,656.00 0.00 45,656.00 0.00
Security
Contribution
05/31/2019 912828WU0 61,984.00 US Treasury Inflation Index Note
0.125% Due: 07/15/2024
100.000 61,984.00 29.11 62,013.11 0.00
Security
Contribution
06/30/2019 912828WU0 59,072.00 US Treasury Inflation Index Note
0.125% Due: 07/15/2024
100.000 59,072.00 33.86 59,105.86 0.00
Subtotal 166,712.00 166,712.00 62.97 166,774.97 0.00
TOTAL ACQUISITIONS 89,551,712.00 90,128,901.77 170,935.85 90,299,837.62 0.00
DISPOSITIONS
Sale 06/13/2019 674599CK9 1,140,000.00 Occidental Petroleum Callable Note Cont
3/15/2022
2.6% Due: 04/15/2022
99.475 2.79% 1,134,015.00 4,775.33 1,138,790.33 -6,866.69
Sale 06/24/2019 674599CK9 1,150,000.00 Occidental Petroleum Callable Note Cont
3/15/2022
2.6% Due: 04/15/2022
100.232 2.51% 1,152,668.00 5,730.83 1,158,398.83 1,788.30
Sale 06/25/2019 674599CK9 1,060,000.00 Occidental Petroleum Callable Note Cont
3/15/2022
2.6% Due: 04/15/2022
100.072 2.57% 1,060,763.20 5,358.89 1,066,122.09 -46.84
Subtotal 3,350,000.00 3,347,446.20 15,865.05 3,363,311.25 -5,125.23
March 31, 2019 through June 30, 2019
As of June 30, 2019
51
Transaction Ledger
Orange County Sanitation District Long Term - Account #10268
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price
Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Maturity 04/16/2019 912796UX5 7,500,000.00 US Treasury Bill
2.386% Due: 04/16/2019
100.000 7,500,000.00 0.00 7,500,000.00 0.00
Maturity 05/07/2019 912796VA4 12,000,000.00 US Treasury Bill
2.366% Due: 05/07/2019
100.000 12,000,000.00 0.00 12,000,000.00 0.00
Maturity 06/13/2019 912796RU5 10,000,000.00 US Treasury Bill
2.377% Due: 06/13/2019
100.000 10,000,000.00 0.00 10,000,000.00 0.00
Maturity 06/20/2019 62479MTL7 10,020,000.00 MUFG Bank Ltd/NY Discount CP
2.6% Due: 06/20/2019
99.133 10,020,000.00 0.00 10,020,000.00 0.00
Maturity 06/30/2019 912828WS5 2,000,000.00 US Treasury Note
1.625% Due: 06/30/2019
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Subtotal 41,520,000.00 41,520,000.00 0.00 41,520,000.00 0.00
TOTAL DISPOSITIONS 44,870,000.00 44,867,446.20 15,865.05 44,883,311.25 -5,125.23
March 31, 2019 through June 30, 2019
As of June 30, 2019
52
Transaction Ledger
Orange County Sanitation District Liquid - Account #10282
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price
Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 04/05/2019 06417G5Q7 2,300,000.00 Bank of Nova Scotia Yankee CD
2.61% Due: 12/23/2019
100.027 2.57% 2,300,614.40 2,334.50 2,302,948.90 0.00
Purchase 04/05/2019 912828F62 2,500,000.00 US Treasury Note
1.5% Due: 10/31/2019
99.469 2.44% 2,486,718.75 16,160.22 2,502,878.97 0.00
Purchase 04/05/2019 912828TH3 5,000,000.00 US Treasury Note
0.875% Due: 07/31/2019
99.512 2.39% 4,975,585.94 7,734.81 4,983,320.75 0.00
Purchase 04/18/2019 313384JV2 5,500,000.00 FHLB Discount Note
2.395% Due: 07/31/2019
99.308 2.45% 5,461,946.11 0.00 5,461,946.11 0.00
Purchase 04/22/2019 912828H52 5,000,000.00 US Treasury Note
1.25% Due: 01/31/2020
99.070 2.47% 4,953,515.63 13,984.81 4,967,500.44 0.00
Purchase 04/22/2019 912828TR1 10,000,000.00 US Treasury Note
1% Due: 09/30/2019
99.375 2.43% 9,937,500.00 6,010.93 9,943,510.93 0.00
Purchase 04/23/2019 94988J5G8 500,000.00 Wells Fargo Bank Note
2.15% Due: 12/06/2019
99.685 2.66% 498,425.00 4,090.97 502,515.97 0.00
Purchase 04/24/2019 89233GAH9 2,000,000.00 Toyota Motor Credit Discount CP
2.56% Due: 01/17/2020
98.094 2.63% 1,961,884.44 0.00 1,961,884.44 0.00
Purchase 04/24/2019 912796VA4 20,000,000.00 US Treasury Bill
2.366% Due: 05/07/2019
99.915 2.40% 19,982,912.94 0.00 19,982,912.94 0.00
Purchase 04/24/2019 912796VC0 10,000,000.00 US Treasury Bill
2.374% Due: 05/21/2019
99.822 2.41% 9,982,197.25 0.00 9,982,197.25 0.00
Purchase 04/25/2019 06406HCZ0 1,500,000.00 Bank of New York Callable Note Cont 1/24/2020
2.15% Due: 02/24/2020
99.595 2.64% 1,493,925.00 5,464.58 1,499,389.58 0.00
Purchase 04/26/2019 69353RDZ8 1,000,000.00 PNC Bank Callable Note Cont 19/18/2019
2.4% Due: 10/18/2019
99.900 2.61% 999,000.00 533.33 999,533.33 0.00
Purchase 05/07/2019 9128283S7 15,000,000.00 US Treasury Note
2% Due: 01/31/2020
99.703 2.41% 14,955,468.75 79,558.01 15,035,026.76 0.00
Purchase 05/14/2019 40428HPR7 2,500,000.00 HSBC USA Inc Note
2.35% Due: 03/05/2020
99.732 2.69% 2,493,300.00 11,260.42 2,504,560.42 0.00
Purchase 05/22/2019 9128282X7 10,000,000.00 US Treasury Note
1.375% Due: 09/30/2019
99.625 2.43% 9,962,500.00 19,535.52 9,982,035.52 0.00
March 31, 2019 through June 30, 2019
As of June 30, 2019
53
Transaction Ledger
Orange County Sanitation District Liquid - Account #10282
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price
Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Purchase 05/22/2019 912828H52 5,000,000.00 US Treasury Note
1.25% Due: 01/31/2020
99.191 2.43% 4,959,570.31 19,164.36 4,978,734.67 0.00
Purchase 05/23/2019 94974BGF1 1,000,000.00 Wells Fargo Corp Note
2.15% Due: 01/30/2020
99.660 2.65% 996,600.00 6,748.61 1,003,348.61 0.00
Purchase 05/30/2019 89114MM20 2,000,000.00 Toronto Dominion Bank Yankee CD
2.47% Due: 09/30/2019
100.003 2.46% 2,000,066.62 137.22 2,000,203.84 0.00
Purchase 05/30/2019 912796VH9 5,000,000.00 US Treasury Bill
2.302% Due: 06/25/2019
99.834 2.34% 4,991,686.50 0.00 4,991,686.50 0.00
Purchase 06/20/2019 62479MVK6 3,290,000.00 MUFG Bank Ltd/NY Discount CP
2.35% Due: 08/19/2019
99.608 2.39% 3,277,114.17 0.00 3,277,114.17 0.00
Purchase 06/25/2019 96130AAK4 1,500,000.00 Westpac Banking Corp NY Yankee CD
2.97% Due: 10/18/2019
100.220 2.23% 1,503,302.80 30,813.75 1,534,116.55 0.00
Purchase 06/28/2019 313384LW7 2,850,000.00 FHLB Discount Note
2.2% Due: 09/18/2019
99.499 2.24% 2,835,718.33 0.00 2,835,718.33 0.00
Purchase 06/28/2019 912828H52 3,500,000.00 US Treasury Note
1.25% Due: 01/31/2020
99.527 2.06% 3,483,457.03 17,886.74 3,501,343.77 0.00
Subtotal 116,940,000.00 116,493,009.97 241,418.78 116,734,428.75 0.00
TOTAL ACQUISITIONS 116,940,000.00
116,493,009.9
7 241,418.78 116,734,428.75 0.00
DISPOSITIONS
Maturity 04/01/2019 06051GFD6 1,500,000.00 Bank of America Corp Note
2.65% Due: 04/01/2019
100.000 1,500,000.00 0.00 1,500,000.00 0.00
Maturity 04/02/2019 912796UV9 5,000,000.00 US Treasury Bill
2.397% Due: 04/02/2019
100.000 5,000,000.00 0.00 5,000,000.00 0.00
Maturity 04/22/2019 94974BFU9 1,500,000.00 Wells Fargo Corp Note
2.125% Due: 04/22/2019
100.000 1,500,000.00 0.00 1,500,000.00 0.00
Maturity 05/07/2019 912796VA4 25,000,000.00 US Treasury Bill
2.377% Due: 05/07/2019
100.000 25,000,000.00 0.00 25,000,000.00 0.00
March 31, 2019 through June 30, 2019
As of June 30, 2019
54
Transaction Ledger
Orange County Sanitation District Liquid - Account #10282
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price
Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Maturity 05/21/2019 912796VC0 10,000,000.00 US Treasury Bill
2.374% Due: 05/21/2019
100.000 10,000,000.00 0.00 10,000,000.00 0.00
Maturity 06/07/2019 89113X3W2 1,000,000.00 Toronto Dominion NY Yankee CD
2.7% Due: 06/07/2019
100.000 1,000,000.00 26,250.00 1,026,250.00 0.00
Maturity 06/11/2019 06370RQY8 2,000,000.00 Bank of Montreal Chicago Yankee CD
2.86% Due: 06/11/2019
100.000 2,000,000.00 28,917.78 2,028,917.78 0.00
Maturity 06/13/2019 313384GV5 5,000,000.00 FHLB Discount Note
2.42% Due: 06/13/2019
100.000 5,000,000.00 0.00 5,000,000.00 0.00
Maturity 06/20/2019 62479MTL7 2,160,000.00 MUFG Bank Ltd/NY Discount CP
2.6% Due: 06/20/2019
99.133 2,160,000.00 0.00 2,160,000.00 0.00
Maturity 06/25/2019 912796VH9 5,000,000.00 US Treasury Bill
2.302% Due: 06/25/2019
100.000 5,000,000.00 0.00 5,000,000.00 0.00
Subtotal 58,160,000.00 58,160,000.00 55,167.78 58,215,167.78 0.00
TOTAL DISPOSITIONS 58,160,000.00 58,160,000.00 55,167.78 58,215,167.78 0.00
March 31, 2019 through June 30, 2019
As of June 30, 2019
55
Transaction Ledger
OCSD Lehman Exposure - Account #10284
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price
Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Other Transactions
Cash Capital
Distribution
04/04/2019 525ESC0Y6 0.00 Lehman Brothers Note-Defaulted
Due: 10/22/2049
0.000 2,652.08 0.00 2,652.08 0.00
Cash Capital
Distribution
04/04/2019 525ESCIB7 0.00 Lehman Brothers Note-Defaulted
Due: 01/24/2020
0.000 798.45 0.00 798.45 0.00
Subtotal 0.00 3,450.53 0.00 3,450.53 0.00
TOTAL Other Transactions 0.00 3,450.53 0.00 3,450.53 0.00
March 31, 2019 through June 30, 2019
As of June 30, 2019
56
Important Disclosures
2019 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by IDC, an independent pricing source. In the event IDC does not provide a price or if the price provided is not reflective of fair market
value, Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures. Our valuation procedures are also disclosed in
Item 5 of our Form ADV Part2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return. The deduction of advisory fees lowers performance results. These results include the reinvestment of
dividends and other earnings. Past performance may not be indicative of future results. Therefore, clients should not assume that future performance of any specific investment or investment strategy
will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Economic factors, market conditions or changes in investment strategies,
contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions. Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the
deduction of an investment management fee, the incurrence of which would have the effect of decreasing historical performance results. It is not possible to invest directly in an index.
Source ice Data Indices, LLC ("ICE"), used with permission. ICE permits use of the ICE indices and related data on an "as is" basis; ICE, its affiliates and their respective third party suppliers disclaim any and
all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included
in, related to, or derived therefrom. Neither ICE data, its affiliates or their respective third party providers guarantee the quality, adequacy, accuracy, timeliness or completeness of the indices or the
index data or any component thereof, and the indices and index data and all components thereof are provided on an "as is" basis and licensee's use it at licensee's own risk. ICE data, its affiliates and their
respective third party do not sponsor, endorse, or recommend chandler asset management, or any of its products or services.
This report is provided for informational purposes only and should not be construed as a specific investment or legal advice. The information contained herein was obtained from sources believed to be
reliable as of the date of publication, but may become outdated or superseded at any time without notice. Any opinions or views expressed are based on current market conditions and are subject to
change. This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results. Past performance is not indicative of
future results. This report is not intended to constitute an offer, solicitation, recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a
substitute for the exercise of their own judgment.
Fixed income investments are subject to interest, credit and market risk.Interest rate risk: the value of fixed income investments will decline as interest rates rise. Credit risk: the possibility that the
borrower may not be able to repay interest and principal. Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk. Market risk: the bond market in
general could decline due to economic conditions, especially during periods of rising interest rates.
Ratings information have been provided by Moody’s, S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S. Agency issued mortgage-backed securities (“MBS”) reflect the issuer rating because the securities themselves are not rated. The issuing U.S. Agency guarantees the full and
timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P, Moody’s and Fitch respectively.
As of June 30, 2019
57
Benchmark Disclosures
ICE BAML 3-Month US Treasury Bill Index
The ICE BAML US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a
newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. (Index: G0O1.
Pleasevisit www.mlindex.ml.com for more information)
ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index
The ICE BAML US Issuers 1-5 Year AAA-A US Corporate & Government Index tracks the performance of US dollar denominated investment grade debt publicly issued in the US domestic market, including
US Treasury, US agency, foreign government, supranational and corporate securities. Qualifying securities must issued from US issuers and be rated AAA through A3 (based on an average of Moody’s, S&P
and Fitch). In addition, qualifying securities must have at least one year remaining term to final maturity and less than five years remaining term to final maturity, at least 18 months to final maturity at
point of issuance, a fixed coupon schedule and a minimum amount outstanding of $1 billion for US Treasuries and $250 million for all other securities.(Index: BV10. Please visit www.mlindex.ml.com for
more information)
ICE BAML US 1-5 Yr US Corp/Govt Rated AAA-BBB Indx
The ICE BAML 1-5 Year US Corporate & Government Index tracks the performance of US dollar denominated investment grade debt publicly issued in the US domestic market, including US Treasury, US
agency, foreign government, supranational and corporate securities. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch). In addition, qualifying
securities must have at least one year remaining term to final maturity and less than five years remaining term to final maturity, at least 18 months to final maturity at point of issuance, a fixed coupon
scheduleand a minimum amount outstanding of $1billion for US Treasuriesand $250 million for all other securities. (Index:BVA0. Please visit www.mlindex.ml.com for more information)
As of June 30, 2019
58
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
Aa1
Aa2
Aa3
AA+
AA
AA-
AA+
AA
AA-
Upper Medium Grade
A1
A2
A3
A+
A
A-
A+
A
A-
Medium Grade
Baa1
Baa2
Baa3
BBB+
BBB
BBB-
BBB+
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.
"Baa" - 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 Aa, A, and Baa are also assigned "1", "2", or "3" based on the strength of
the issue within each category. Accordingly, "A1" would be the strongest group of A
securities and "A3" would be the weakest A securities.
Ba, B, Caa, Ca, and C - Bonds that possess one of these ratings provide questionable
protection of interest and principal ("Ba" 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 Rating
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.