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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% e 1 1 6 2 5 5 n 0 9 7 9 2 2 a 0 1 t D O M i W I s 4 1 6 , 2 3 4 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+ Total attendees of the “Callan College” since 19943,700 Year the Callan Institute was founded1980 Attendees (on average) of the Institute’s annual National Conference525 Education: By the Numbers @CallanLLC Callan “Research is the foundation of all we do at Callan, and sharing our best thinking with the investment community is our way of helping to foster dialogue to raise the bar across the industry.” Greg Allen, CEO and Chief Research Oficer                     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 ƒ ƒ ƒ 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.