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98.11-16-2016 Board Item 14 Attachment - Consolidated Financial Reports for the First Quarter Ended 9-30-16.pdf
h,r ! • • ! ii -i- iwm �-+� 1 a 4�JN`I SANITAT�oN 2 p 9oJ sW2 fCj'Ne THE ENV,P�P . ounty, Califo�yj�.� Table of Contents ExecutiveSummary...................................................................................................1 Budget Review Section 1 —Consolidated Financial Reports..........................................................................1 Section 2—Operating Budget Review Chart of the Cost per Million Gallons by Department—Budget and Actual..............1 Chart of the Net Expenses by Major Category— Budget and Actual........................1 Divisional Contributions to Cost Per Million Gallons ................................................2 Comparison of Expenses by Department.................................................................3 Summary of Collection, Treatment, and Disposal Expenses by Major Category.....4 Summary of District-Wide Revenues .......................................................................5 Summary of Collection, Treatment and Disposal Revenues....................................5 Summary of Collection, Treatment, and Disposal Expenses by Line Item...............6 Summary of Collection, Treatment, and Disposal Expenses by Process.................8 Chartof Staffing Trends...........................................................................................9 Section 3—Capital Improvement Program Budget Review Capital Improvement Program Graphs by Type and Funding Source......................1 Summary of Capital Improvement Construction Requirements - Current Year........2 Summary of Capital Improvement Construction Requirements - Project Life..........6 Section 4—Capital Assets Schedule & Debt Service Budget Review CapitalAssets Schedule ..........................................................................................1 Debt Service Budget Review....................................................................................1 Section 5—Self Insurance Budget Review General Liability and Property Fund Budget Review................................................1 Workers' Compensation Fund Budget Review.........................................................2 Quarterly Treasurers Repo rt........................................................................................1 QuarterlyCOP Repo rt.................................................................................................1 FY 2016-17 First Quarter Financial Report This Page Intentionally Left Blank Executive Summary Consolidated Financial Reports For the First Quarter Ended September 30, 2016 Included in this consolidated report are the following quarterly financial reports for the period ended September 30, 2016: • First Quarter Budget Review: The Consolidated Financial Reports Section provides the Directors, staff, and the general public with a comprehensive overview of the financial results of the Sanitation District through the first quarter ended September 30, 2016. Contained within the Consolidated Financial Reports is the budget-to-actual status of the Collections, Treatment and Disposal Operations, the Capital Improvement Program, the Self-Insurance Program, and Debt Service Outlays. Also included is a Capital Assets Schedule as of September 30, 2016. Various detail information can be found in this report. In summary: a) Most major expense categories are anticipated to be at or below budget. b) Total revenues are at 2.9 percent mainly due to the timing of property tax and sewer fee distribution from the County that occurs mostly after the first quarter. These two revenue sources make up 86.9 percent of the District's total budgeted revenue. Except for Service Fees, Permit Fees, Property Taxes, IRWD Capital Assessments, and Interest Earnings, all other major revenue sources are currently tracking close to or exceeding revenue estimates. Overall, total revenues are projected to approximate budget at year-end. More detailed information on District revenues is provided within Section 1 — Pages 3 through 5. c) Collection, Treatment and Disposal Costs: As indicated within the Consolidated Financial Reports Section of this report, the net operating requirements through the first quarter of $32.7 million is currently tracking at 22.3 percent of the $146.4 million budget. In addition, net operating expenses have decreased $1.3 million or 3.8 percent in comparison with the same period last year. Overall, staff expects the total operating costs to remain within budget throughout the remainder of the year. More detailed information on District operating expenses is provided within Section 1- Pages 1 through 3. The total cost per million gallons is approximately $1,923.4 based on flows of 184.7 million gallons per day. This is $243.6 per million gallons, or 11.2 percent lower than the budgeted cost per million gallon per day. A further description of these costs and benchmarking with other agencies is contained within Section 1 — Pages 6 through 8. Page 1 FY 2016-17 First Quarter Review d) The total projected capital outlay cash flow of the Capital Improvement Program (CIP) for FY 2016-17 has been revised to $135.9 million, or 71.4 percent of the board approved cash outlay of$190.3 million. The actual cash outlay spending through the first quarter is $23.4 million, or 12.3 percent of the total budgeted outlay. More detailed information on the CIP budget review can be found in Section 3. Quarterly Treasurer's Report; This section reports on financial portfolio performance with respect to the Sanitation District's funds. Both Long-Term and Liquid Operating Monies Portfolios are summarized. A performance summary table can be found on page 2 of this section. The report also contains information on the national economic outlook from the Sanitation District's money manager, Chandler Asset Management (Chandler). Chandler notes that the Long-Term Portfolio returned 6 basis points over the quarter, outperforming the Bank of America Merrill Lynch 1-5 year AAA U.S. Corporate and Government Index return of a negative 7 basis points, while the Liquid Operating Monies Portfolio returned 10 basis over the quarter, matching the three-month Treasury Bill index return benchmark. Chandler further notes that the Federal Open Market Committee (FOMC) kept the fed funds rate unchanged at a range of 0.25%-0.50% in September. The Fed's overall assessment of the economy was little changed from July. In the policy statement, the Committee noted the labor market has continued to strengthen but inflation remains below target. In deciding whether or not to raise the fed funds target rate, the Committee said "the case for an increase in the federal funds rate has strengthened but decided, for the time being, to wait for further evidence of continued progress toward its objectives." Although the potential exists for a rate increase at the next FOMC meeting on November 1-2, Chandler believes the Fed is likely to keep monetary policy on hold until December. If economic data remains modestly favorable over the next few months, they expect the Fed to hike the fed funds rate range by 25 basis points in December. Market participants estimate the economy grew at an annualized pace of about 2.9% in the third quarter. If accurate, that represents a pick-up from first and second quarter GDP growth of 0.8% and 1.4, respectively. The consensus forecast calls for GDP growth of about 2.5% in the fourth quarter. Labor market trends remain favorable, which should continue to provide a tailwind to economic growth. The unemployment rate was 5.0% in September, wage growth ticked higher, and payrolls increased by 156,000 (more than enough to absorb new entrants into the labor market). Consumer confidence is strong. Housing trends remain positive even though home price appreciation has softened. Oil prices have rebounded from earlier this year. The manufacturing sector, though still Page 2 Executive Summary under pressure, has slightly improved. Overall, domestic economic data remains indicative of slow growth. In September, the 2-year Treasury yield decreased four basis points and the 10- year Treasury yield increased one basis point. Leading up to the FOMC meeting in September, the yield curve steepened slightly. After the FOMC meeting in September, yields modestly declined. More recently, yields across the curve have increased as the market-implied probability of a fed funds rate hike before year- end has risen to more than 65%. In September, the Treasury yield curve was little changed. However, on a year- over-year basis the yield curve flattened with the 2-year Treasury yield up about 13 basis points and the 10-year Treasury yield down more than 44 basis points. Over the past year, financial market volatility has been elevated due to weak global economic growth, volatile commodity prices, political uncertainty, and divergent global central bank monetary policy. Economic Outlook Risk market performance was solid in the third quarter as economic data was generally favorable and market participants looked past the long-term implications of the Brexit vote in late June. Both the S&P 500 and NASDAQ composite were up just over 6.0% YTD through the end of September, compared to a total return of 2.7% and -3.3% YTD at the end of June 2016. Treasury yields also moved higher, with the two year note moving higher by 0.18%, the five year by 0.15%, and the ten year by 0.13%. Commodity prices continued to stabilize with Oil (West Texas Intermediate) trading in a relatively tight range centered around $47 per barrel during the quarter. Despite the continued global rhetoric on production cuts to support the price of oil, Chandler maintains the view the price will remain range bound. Looking out over an intermediate time horizon, Chandler believes that prices are unlikely to touch the lows from earlier in the year, and also unlikely to break out above $60 per barrel. Developed market central bank policy differentiation is likely to remain a theme in the markets over the coming year. The Federal Reserve's recently released Summary of Economic Projections continues to forecast a terminal Fed Funds rate much higher than current market expectations. Chandler anticipates the Federal Reserve and market forecast will gradually converge, with the Federal Reserve forecast adjusting by a greater amount. Sovereign bond yields abroad, particularly in Germany and Japan, remain exceptionally low, and negative in many maturities. The low and negative rates abroad will serve to put a cap on the ability of the US Treasury market interest rates to adjust materially higher. Chandler expects the dollar to strengthen over the coming year, which they say will serve as a de facto tightening of policy, and further expects the terminal Fed Funds rate to settle in above 1.00%, but well below the 3.00% Federal Reserve forecast as of September 2016. The markets are likely to remain volatile as the US Presidential election cycle winds down and investors consider the ability of Page 3 FY 2016-17 First Quarter Review fiscal spending to take a more prominent role in the domestic economic recovery with the new administration and a divided Congress. Chandler anticipates risk market performance will remain generally positive as investors continue to search for yield across asset classes. Treasury yields should continue to be under pressure, and move higher, but not by a dramatic amount as the Federal Reserve will be constrained in its ability to tighten traditional monetary policy due to the aforementioned global influences. • Quarterly Certificates of Participation (COP) Report The report includes a summary of each outstanding debt issuance and a comparative chart illustrating the COP rate history. Page 4 Consolidated Financial Reports First Quarter Financial Report September 30, 2016 Financial Management is pleased to present the FY 2016-17 first quarter financial report. This report provides a comprehensive overview of the financial condition of the Sanitation District and reports on the status of all capital projects in progress. A summary of the sections contained within this report is provided below. Operating Budget Review., This section reports on collection, treatment and disposal net operating requirements. At September 30, 2016, 22.3 percent, or $32.7 million of the FY 2016-17 net operating budget of $146.4 million has been expended. Net operating expenses decreased from the same period last year by $1.3 million, or 3.8 percent, mainly due to a decrease of $526,000 in Utilities, $462,000 in Salaries and Benefits, $234,000 in Operating Materials and Supplies, and $177,000 in Administrative Expenses, and an increase of $440,000 in indirect costs allocated out to capital projects. These reductions to net operating expenses have been partially offset by increases of $200,000 in Other Operating Supplies, $168,000 in Repairs and Maintenance, $63,000 in Training and Meetings, $59,000 in Contractual Services, and $51,000 in Professional Services. These and other variances that factor into this net increase in expenses are discussed in more detail below. Overall, staff expects the total operating costs to remain at budget throughout the remainder of the year. Significant operating results as of September 30, 2016 include the following: • Salaries. Wages and Benefits — Personnel costs of $20.8 million are slightly below target at 23.3 percent of budget through the first quarter of FY 2016-17. Although the budget is based on a 5 percent vacancy factor, staffing is 53 full-time equivalents (FTE's), or 8.5 percent below the total 627 FTE's approved in the FY 2016-17 budget. Salary and benefit costs are $462,000 or 2.2 percent lower than the $21.2 million incurred in the same period last year, mainly due to the decrease in OCERS retirement of $705,000. This decrease is reflective of the decrease in the employee contribution rate as a result of the $175 million pay down on the unfunded actuarial accrued liability over the previous two fiscal years. This decrease is partially offset by an increase of $349,000 in group insurance due to rising costs of healthcare. Net operating personnel costs are expected to be slightly below budget throughout the remainder of the year. • Administrative Expenses — Administrative Expenses totaled $320,000, or 18.2 percent of the $1.8 million budget through September 30. These costs are $177,000 or 35.6 percent lower at September 30 in comparison with the prior year mainly due to a decrease of $189,000 in purchases of small computer items. It is anticipated that the administrative costs will approximate budget at year-end. Section 1 - Page 1 FY 2016-17 First Quarter Report • Printing and Publication Expenses — Printing and Publication Expenses totaled $51,000, or 18.0 percent of the $284,000 budget through September 30. These costs are $7,000 or 12.1 percent lower at September 30 in comparison with the prior year, mainly due to a decrease in copy center costs as a result of removing mailroom services from the Xerox contract. It is anticipated that the printing and publication costs will be below budget at year-end • Training and Meetings — Training and meetings of $210,000 are below target at 18.2 percent of the $1.2 million budget. This account is lower than the proportionate budget due to the timing and need for training throughout the year. These costs have increased over the same period last year by $63,000 or 43.0 percent, which includes $72,000 for Total Productive Maintenance Certification Program costs not incurred in the prior period. Total training and meeting costs are anticipated to be below budget at year-end. • Operating Materials and Supplies — Operating materials and supplies of $4.0 million is slightly below target at 24.0 percent of budget through September 30. Operating Materials and Supplies have decreased from the prior year by $234,000 or 5.5 percent, primarily due to decreases in Tools of $109,000, Chemical Coagulants of $88,000, Safety Equipment of $40,000, and Gas, Diesel and Oil of $33,000, offset by increases in Cogeneration and Miscellaneous Chemicals of $46,000. The decreases are mainly brought about by a decrease in the advance purchases for tools and equipment from the prior year, offset by increased use of activated carbon and urea due to Project J-111 to install emissions controls on 8 engines in Central Generation. Based on current processes, operating materials and supplies are anticipated to approximate budget at year-end. • Contractual Services — Contractual services is slightly below target at $5.6 million or 22.6 percent of budget through September 30. Solids Removal costs, budgeted at $17.2 million, comprise the majority of this expense category. With an increase of $17,000, or 0.4 percent higher than the prior year, solids removal costs totaled $4.5 million, or 26.1 percent of budget at September 30. In addition, Other Contractual Services increased by $63,000 due to an increase preventive maintenance services for the Civil Assets Management Program (CAMP). Overall, Contractual Services is higher by $59,000 or 1.1 percent over the same period last year. Total contractual services costs are anticipated to approximate budget at year-end. • Professional Services — Professional services costs totaled $520,000 or 12.5 percent of the $4.2 million budget through September 30. Most professional service costs, such as Legal, Engineering, Environmental Scientific Consulting, Software Program Consulting Services, Advocacy Efforts, and Other Services, are proportionately low through September 30 due to a variety of factors such as services being in the planning or request for proposal stage, timing of services needed, the need for the service being re-evaluated, or utilization of internal staffing for projects. These costs are $51,000 or 10.8 percent higher at September 30 in comparison with the prior year mainly due to an increase in engineering services Section 1 - Page 2 Consolidated Financial Reports and timing of services performed. It is anticipated that the costs for this category will be below budget at year-end. • Research and Monitoring — Research and monitoring costs totaled $152,000, or 19.0 percent of the $860,000 budget through September 30. These costs are $6,000, or 4.3 percent higher at September 30 in comparison with the prior year, due to an increase in vessel services costs. Total Research and Monitoring costs are anticipated to be below budget at year-end. • Repairs and Maintenance — Repair and maintenance costs totaled $3.3 million, or 23.3 percent of the $14.3 million budget through September 30. These costs are $168,000, or 5.3 percent higher at September 30 in comparison with the prior year, mainly due to Plant 1 engine repairs and an increase in repair materials purchased, offset by a decrease in prior period service maintenance agreements due to timing of payments. It is anticipated that the costs for this category will approximate budget at year-end. • Utilities — Utilities costs totaled $1.9 million, or 21.3 percent of the $8.9 million budget through September 30. These costs are $526,000 or 21.7 percent lower at September 30 in comparison with the prior year, primarily due to a decrease in electricity charges of $552,000 as a result of decreased usage primarily related to decreased activities and outfall pumping, offset by an increase in natural gas charges of $12,000. The overall operating philosophy of the Central Generation facilities is to purchase electricity for power production rather than to purchase natural gas as a supplement to the digester gas needed to run the Central Generation facilities. This operating philosophy allows the Central Generation facilities to meet air emission requirements. It is anticipated that the costs will approximate budget at year-end. • Other Operating Supplies — Other operating supplies costs totaled $500,000, or 22.4 percent of the $2.2 million budget through September 30. Property and General Liability Insurance comprise the majority of this expense category. These costs are $154,000 or 124.0 percent higher at September 30 in comparison with the prior year primarily due to an increase in budgeted in-lieu premium charges in order to maintain recommended reserve balances. Miscellaneous Operating Expenses have also increased over the prior year by $22,000, or 68.6 percent due to the increase in safety incentives and miscellaneous supplies. It is anticipated that the costs will approximate budget at year-end. • Revenues— Service Fees and Property Taxes—Through September 30, revenues from service fees are at ($371,000), or (0.1) percent of budget and Property taxes are $2.4 million, or 2.8 percent of budget. These items comprise the majority of the Sanitation District's revenues and are mostly collected by the County through the property tax roll and distributed to the Sanitation District throughout the year based on a set distribution schedule that begins in November of each year. A decrease of $334,000 or 906.5 percent in service fee revenue over the prior period is due in part to timing of customer payments, and an increase of $362,000 in user Section 1 - Page 3 FY 2016-17 First Quarter Report fee refunds issued in the current period. An increase of $283,000 or 13.0 percent in property tax revenues over the prior period is due to an increase of approximately 2.0 percent in property tax rates, higher construction activities and property values, and timing of taxes collected by the County. These revenues are expected to approximate budget at year-end. • Revenues — Permittee User Fees — Permittee User Fees are at $445,000, or 4.0 percent of the $11.3 million budget. The number of permittees fluctuates from year to year as businesses are established or close their operations. The revenues through the first quarter are $27,000 or 6.5 percent higher in comparison with the same period last year due to an increase in the number of permittees and an increase in the amount of discharge from the permittees. It is estimated that the permittee user charges will be below budget at year-end. • Revenues — Inter District Sewer Use — SAWPA and SBSD — Inter District Sewer revenues- SAWPA and SBSD are at $773,000, or 23.6 percent of the $3.3 million budget. This revenue is derived from charges to the Santa Ana Watershed Protection Agency (SAWPA) and Sunset Beach Sanitary District (SBSD) for treatment of flows. These revenues are expected to approximate budget at year-end. • Revenues — Intra District Sewer Use — IRWD — Intra District Sewer revenues- IRWD are at $1.0 million, or 27.0 percent of the $3.7 million budget. This revenue is derived from charges to the Irvine Ranch Water District (IRWD) for treatment of flows. The revenues through the first quarter are higher than the same period last year by $100,000 or 10.9 percent mainly due to an increase in flows discharged from IRWD and an increase in unit costs of operation and maintenance charges to IRWD. These revenues are expected to approximate or exceed budget at year-end. • Revenues - Sludge Disposal — IRWD — Sludge Disposal fees-IRWD are at $2.5 million, or 27.5 percent of the $9.1 million budget. The revenue is derived and fluctuated from flows discharged from IRWD to Sanitation District for the handling, treatment and disposal of solids. The revenues through the first quarter are higher than the same period last year by $66,000 or 2.7 percent, mainly due to an increase in costs charged to IRWD. These revenues are expected to approximate or exceed budget at year-end. • Revenues — Capital Assessments — IRWD — Capital Assessments-IRWD are at $328,000, or 7.4 percent of the $4.4 million budget. The revenues through the first quarter are lower than the same period last year by $256,000 or 43.9 percent mainly due to a decrease in joint capital costs charged to IRWD. It is estimated that the capital assessments will be below budget at year-end. • Revenues — Capital Facilities Capacity Charges (CFCC) — CFCC are at $4.2 million, or 30.8 percent of the $13.5 million budget. The revenues through the first quarter are higher than the same period last year by $527,000 or 14.5 percent due to increased construction activity, offset by less supplement capital facilities Section 1 - Page 4 Consolidated Financial Reports capacity charges from industrial dischargers than at this time last year. These revenues are expected to approximate or exceed the budget at year-end. • Revenues — Interest Earnings — Interest Earnings are at $697,000 or 8.1 percent of the $8.6 million budget. The revenues through the first quarter are lower than the same period last year by $1.4 million or 66.4 percent due to a lower interest rate environment than anticipated. It is estimated that the interest earnings will be below the budget amount at year-end. • Revenues — Wastehauler — Wastehauler revenues are at $163,000 or 21.7 percent of the $750,000 budget. This revenue is derived from fees charged to wastehaulers allowing them to dump waste into the Sanitation District's system. These revenues are expected to approximate budget at year-end. • Revenues — CNG Sales — CNG Sales revenues are at $108,000 or 27.0 percent of the $400,000 budget. The revenues through the first quarter are lower than the same period last year by $12,000 or 10.3 percent. These revenues are expected to approximate budget at year-end. • Revenues - Other—Other revenues are at$46,000 or 5.8 percent of the $800,000 budget. These revenues consist of miscellaneous revenues, such as reimbursements from insurance and employees. The revenues through the first quarter are lower than the same period last year by $6,000 or 12.3 percent. These revenues are expected to be below budget at year-end. Section 1 - Page 5 FY 2016-17 First Quarter Report Comparison of First Quarter Cost per Million Gallon Results with Budget Last Five Years 2,200 2,150 316] 2,100 2,050 z,9e9 bah 2,000 1,950 Sea ,,ns 900 ,850 1,800 1,609 1,750 1,761 1,700 1,650 1,600 1,550 1,500 12-13 13-14 14-15 15-16 16-17 tat Annual 1st Annual tat Annual tat Annual tat Annual Qtr Budget Qtr Budget Qtr Budget Qtr Budget Qtr Budget As demonstrated in the preceding graph for each of the last four fiscal years, the cost per million gallons at the end of the first quarter has been 3.4 percent to 9.5 percent lower than the annual budget. The FY 2016-17 first quarter is 11.2 percent lower when compared with this year's budget. The variance from previous years is primarily due to a decrease in operating expenses, which are 3.8 percent lower than the same period last year and a decrease in flows, which are 1.3 percent lower than the same period last year. Staff believes that overall operating costs will be below budget at year-end. The total cost per million gallons at September 30 is $1,923.38 based on flows of 184.7 million gallons per day. This is $243.62 per million gallons, or 11.2 percent, lower than the budgeted cost per million gallons of $2,167. There is an inverse relationship between the amount of flows and the cost per unit of collection, treatment, and disposal. Consequently, the lower cost per million gallons is due to net expenses being 10.7 percent less than the proportionate budget through September 30, which is partially offset by flows of 184.7 million gallons per day being 0.2 percent lower than the budgeted flow of 185 million gallons per day. More detailed information on operating revenues, costs, and related information is provided within Section 2. Section 1 - Page 6 Consolidated Financial Reports Following are data tables showing the last five years of Single Family Residential User Fees (SFR) and the cost per MG to collect, treat, and dispose of wastewater for OCSD and for similar agencies. The agencies used in the table were determined to be those that most closely resembled OCSD in terms of services provided and treatment levels. The summaries demonstrate that OCSD's SFR and cost per million gallons are each one of the lowest in their respective group. Benchmark Study Five-Year Single Family Rate Rates as of July 2012 2013 2014 2015 2016 Agency SFR SFR SFR SFR SFR Notes San Francisco $667.92 3701.40 $744.83 $ 784.44 $ 842.14 City of San Diego $572.58 $572.58 $572.58 $ 572.58 $ 572.58 Vallejo Sanitation/Flood Control District $495.12 $507.48 $520.20 $ 520.20 $ 520.20 Central Contra Costa Sanitary District $371.00 $405.00 $439.00 $ 471.00 $ 503.00 City of Los Angeles $391.56 $409.20 $435.40 $ 464.04 $ 494.77 Note 1 Sacramento County $288.00 $312.00 $348.00 $ 384.00 $ 420.00 Dublin San Ramon Senices District $355.44 $355.44 $372.96 $ 382.38 $ 382.38 Union Sanitary District $319.55 $337.76 $357.02 $ 377.00 $ 380.05 East Bay MUD $305.10 $331.10 $358.14 $ 355.18 $ 372.50 City of Hayward $327.24 $327.24 $337.08 $ 347.16 $ 327.00 Orange County Sanitation District $294.00 $308.00 $316.00 $ 322.00 $ 309.00 City of Fresno $309.00 $309.00 $309.00 $ 309.00 $ 309.00 Irvine Ranch Water District $206.40 $220.80 $246.00 $ 288.60 $ 257.60 Note 2 Oro Loma Sanitary District $189.00 $195.00 $200.00 $ 206.00 $ 221.00 Los Angeles County $149.00 $150.00 $151.00 $ 155.00 $ 159.00 Note 3 Notes: (1)- Data is for the typical SFR customer rate and is not the average rate. (2)- Data represents the maximum SFR rate and is not the average rate. (3)- Data for 2013 and 2014 was revised to remove ad valorem monies that were inadvertently included. Section 1 - Page 7 FY 2016-17 First Quarter Report Benchmark Study Five-Year Cost per MG FY 10-11 FY 11-12 FY 12-13 FY 13-14 FY 14-15 Agency Syc.Trt. Cost/MG Cost/MG Cost/MG Cost/MG Cost/MG Notes Central Contra Costa Sanitary District B 5 $3,929.80 $4,203.43 $4,621.84 $5,778.43 $6,280.58 Vallejo Sanitation/Flood Control District B 3 $4,536.00 $5,176.00 $5,435.00 $6,153.00 $5,590.00 San Francisco B 3 $3,857.80 $4,778.96 $5,006.74 $5,400.28 $5,357.97 Note 1 Union Sanitary District B 3 $3,206.10 $3,267.06 $3,805.40 $3,832.47 $3,910.73 City of San Diego B 5 $3,208.48 $3,242.30 $3,340.35 $3,156.43 $3,591.69 East Bay MUD T 4 $2,000.31 $2.320.02 $2,359.40 $2,559.18 $2,727.97 Dublin San Ramon SeMces District B 5 $1,964.64 $2,009.57 $2,159.49 $2,506.60 $2,522.00 Sacramento County T 3 $1,591.75 $3.312.50 $2,143.16 $2,375.47 $2,494.40 Note 2 City of Los Angeles B 5 $1,836.00 $1,935.00 $2,062.00 $2,163.00 $2,269.00 Orange County Sanitation District B 3 $1,816.62 $1,871.47 $1,906.01 $1,935.05 $2,070.97 City of Fresno B 3 $1,263.50 $1,383.60 $1,411.89 $1,552.39 $1,628.91 Los Angeles County T 5 $1,078.00 $1,156.00 $1,008.00 $1,223.72 $1,239.40 Note 3 Legend for Service ProNded and Treatment Level: B-Agencyoperates both collection and treatment facilities T-Agency proNdes treatment semces but not co1lec0on 2-Advanced primary or primary with some seconderytreatment 3-Secondary treatment 4-Advanced secondaryor secondarywith some tertiarytreatment 5-Terharytreatment Notes: (1)-Beginning in Fiscal Year 2012-13,dataset represents wastewater flows from finalised publicly available audited documents. (2)-Miles of sewers number changed in 2012 to include parallel force main pipes per the 2011 State of the District Report. (3)-Does not include source control or overhead costs. Section 1 - Page 8 Consolidated Financial Reports Capital Outlay Review: $200,000,000 $150,000,000 $100,000,000 $50,000,000 $0 9/30116 Actual Projected 2016-17 2016-17 Capital Outlay Capital Outlay Capital Outlay Cashfiow Budget $23,407,415 $135,907,500 $190,309,393 As depicted by the preceding chart, Capital Outlays totaled $23.4 million or 12.3 percent of the capital outlay cash flow budget for FY 2016-17 as of September 30, 2016. Costs are proportionately low through the first quarter as some projects are still in the design phase or have experienced various delays. Examples as of September 30 are the Sludge Dewatering and Odor Control for Plants 1 and 2, which has a combined FY16-17 cash flow budget of $41.9 million but actual costs of only $5.2 million and the Rehabilitation of Western Regional Sewers, which has a budget of $16.0 million but actual costs of only $108,000. Overall, the capital outlay costs of the capital improvement program are expected to approximate $135.9 million, or 71.4 percent of the capital outlay cash flow budget at year-end. More detailed information on the capital improvement program is provided within Section 3. Capital Assets Schedule and Debt Service Budget Review: Section 4 is the Capital Assets Schedule and Debt Service Section. This section shows the cost value of the Sanitation District's capital facilities at September 30, 2016, as well as the debt service costs resulting from the need to provide funding for the construction of capital facilities. The majority of principal payments on debt issues are due in August during the first quarter, and in February during the third quarter of each fiscal year. As of September 30, 2016, 55.2 percent of the principal payments have been made through the end of the first quarter. Total principal payments are expected to approximate budget at year- end. Interest costs are expensed ratably throughout the fiscal year. Interest expense is anticipated to approximate budget at year-end. Section 1 - Page 9 FY 2016-17 First Quarter Report Self-Insurance Budget Reviews: Section 5 is the Self-Insurance Section. Through September 30, the Self-Insurance Fund revenues totaled $582,000 or 24.9 percent of the budget, while expenses were $1.1 million or 45.1 percent of the budget. Separate fund accounting is used for recording the revenue and expenses incurred in managing these liability claims. The revenues to these funds represent charges to operating divisions. Expenses to these funds include actual claims paid, claims administration, and excess loss policies. Section 1 - Page 10 Operating Budget Review Cost per Million Gallons by Department Budget and Actual September 30, 2016 $1 500 $1,400 $1,300 $1,200 $1,100 $1,000 $900 $800 $700 $s00 $s00 S400 $300 $200 $100 $0 _ y c � •fin � b `a' > E i8 w'� � E✓� �y w OE 6 w �eutlget �Aclual Collection, Treatment, & Disposal Expenses by Major Category Budget and Actual (in thousands) September 30, 2016 $70,000 M'000 $50,000 $55,000 W'000 U5,000 $40,000 $35,000 $ g000 $25,Ooo $20,000 $15,000 AIM $10,000 $5,000 Elm $0 w E n @ O g a 4 ¢ rc �8utlgef �ACWeI Section 2-Page 1 2016-17 First Quarter Report Divisional Contributions to Cost Per Million Gallons For the Three Months Ended September 30,2016 2016-1T 9/30114 9I30115 Annual 9130/16 Actual Actual Budget Actual Flow in Million Gallons 17,915.60 17,212.80 67,525.00 16,992.55 Flow in Million Gallons per Day 194.74 18].09 185.00 184.70 Executive Management Department Geneml Management Administration $ 24.31 $ 26.38 $ 43.90 $ 28.32 Board Services 5.57 5.66 9.38 6.82 Public Affairs 6.68 12.25 14.96 12.86 Subtotal 36.56 d4.29 68.24 48.00 Human Resources Department Human Resources 50.48 49.29 58.04 49.02 Risk Management/Safety I Security d4.9] 37.81 60.41 57.06 Subtotal 95.45 87.10 118.45 106.08 Administrative Services Department Administrative Services 8.36 9.55 8.75 6.70 Financial Management 42.16 44.12 50.51 38.85 Contracts,Purchasing,&Materials Mgmt. 59.49 56.92 61.74 59.86 Information Technology 154.53 150.79 152.05 137.15 Subtotal 264.54 261.38 273.05 242.56 Facilities Support Services Department Facilities Support Administration 8.45 12.27 - - Facilities Support 6.65 - - - Equipment Rebuild 24.65 - -Fleet Services 28.66 31.40 -Collections Engineering 39A1 3].]4 - - NPDES Source Inspection 29.06 30.20 - - Odor and Corrosion Control 96.93 106.38 - - Collection Facilities O&M 58.63 55.58 Subtotal 292.14 2]3.5] Environmental Services Department Environmental Services Administration - - 12.41 11.27 Resource Protection - - 88.10 75.32 Laboratory&Ocean Monitoring 153.76 140.12 Subtotal 254.2] 226.71 Engineering Department Engineering Administration 8.79 7.88 5.91 5.72 Planning 41.06 42.08 48.17 43.23 Project Management Offme 49.68 35.66 39.89 34.93 Civil and Mechanical Engineering 114.57 128.50 124.51 121.01 Electrical&Control System Engineering - - 68.29 51.32 Environmental Compliance 85.75 80.79 Subtotal 299.85 294.91 285.]T 256.21 Operations&Maintenance Department Operations&Maintenance Administration 10.36 11.84 10.15 6.43 Collections Facilities 0&M - - 191.04 163.09 Fleet Services - - 30.38 27.21 Plant No. l Operations 371.88 469.66 430.83 430.76 Plant No,2 Operations 313.66 310.96 316.61 287.64 Building,Grounds&Mechanical Maintenance 204.14 - - - Instrumentation&Electrical Maintenance 193.08 - - - PlanlNo. lMaintenance - 213.71 303.59 248.18 Plant No.2 Maintenance - 140.68 168.14 157.29 Environmental Laborotory&Ocean Monitoring 112.18 114.23 Subtotal 1,205.30 1,261.08 1,450.74 1,320.60 Total Operating Expenses 2,193.84 2,222.33 2,451.52 2,200.16 Cost Allocation (208.23) (247.65) (284.52) (27638) Net Operating Requirements $ 1, 885.61 $ 1,9 44.68 $ 2,16].00 $ 1,923.38 Section 2-Page 2 Operating Budget Review Comparison of Expenses by Department For the Three Months Ended September 30,2016 2016.17 9/30114 9130115 Year to Date Budget% Department and Division Actual Actual Budget 9130/16 Realized Executive Management Department General Management Administration $ 435,580 $ 454,052 $ 2,964,220 $ 481,214 16.23% Board Services 99,731 97,421 633,540 115,807 18.28% Public Affairs 119,695 210,898 1,010,100 218,563 21.64% Subtotal 655,006 762,371 4,607,860 815,584 17.70% Human Resources Department Human Resources 904,423 &48,361 3.918,890 833,041 21,26% Risk Management l Safety/Security 805,719 650,820 4,079,050 969,542 23P7% Subtotal 1,710.142 1.499,181 7.997,940 1,802.583 22,54% Administrative Services Department Administrative Services 149,838 164,435 590,830 113,803 19.26% Financial Management 755,290 759,357 3,410,810 660,179 19.36% Contracts,Purchasing,&Materials Mgmt. 1,065,857 979,693 4,169,220 1,017,108 24.40% Information Technology 2,768,527 2.595,479 10.267,510 2,330.501 22,70% Subtotal 4,739,512 4,498,964 18,438,370 4,121,591 22.35% Facilities Support Services Department Facilities Support Administration 151,457 211,132 - - 0.00% Facilities Support 119,146 - - - 0.00% Equipment Rebuild 441,691 - - - 0,00% Fleet Services 513,519 540,554 - - 0.00% Collections Engineering 700,751 649,530 - - 0.00% NPDES Source Inspection 520,712 519,828 - - 0.00% Odor and Corrosion Control 1,736,597 1,831,093 - - 0.00% Collection Facilities 0&M 1,060,312 956,757 0.00% Subtotal 5,234,185 4,708,894 0.00% Environmental Services Department Environmental Services Administration - - 838,250 191,477 22.84% Resource Protected - - 5,948,920 1,279,884 21.51% Laboratory&Ocean Monitoring 10,382,450 2,380,990 22.93% Subtotal 17.169,620 3,852,351 22.44% Engineering Department Engineering Administrator 157,505 135,663 399,390 97,187 24.33% Planning 735,592 724,304 3,252,440 734,644 22.59% Project Management Office 890,090 613,840 2,693,360 593,5A 22.04% Civil and Mechanical Engineering 2,052,518 2,211,829 8,407,280 2,056,323 24,46% Electrical B Control System Engineering - - 4.610,980 872,079 18.91% Environmental Compliance 1,536,320 1,390,674 0.00% Subtotal 5,372,025 5,076,310 19,363,450 4,353,810 22.48% Operations&Maintenance Department Operations&Maintenance Administration 185,645 203,796 685,600 109,297 15.94% Collections Facilities O&M - - 12,900,210 2,771,291 21.48% Fleet Services - - 2,051,320 462,332 22,54% Plant No.1 Operations 6,662,415 8,084,157 29.091,740 7,319,734 25.16% Plant No.2 Operations 5,619,386 5,352,442 21,378,950 4,887,717 22.86% Building,Grounds&Mechanical Maintenance 3,657,346 - - - 0.00% Instrumentation&Electrical Maintenance 3,459,180 - - - 0,00% Plant No.1 Maintenance - 3.678,480 20.499,680 4,217.151 20.57% Plant No.2 Maintenance - 2,421,532 11,353,810 2,672,816 23.54% Environmental Laboratory&Ocean Monitoring 2,009,382 1,966,282 0.00% Subtotal 21,593,354 21,706,689 97,961,310 22,440,338 22.91% Total Operating Expenses 39,304,224 38,252,409 165,538,550 37,386.257 22.58% Cost Allocation (3,730,868) (4,262,690) (19,182,030) (4,703,125) 24.52% Net Operating Requirements $ 35,573,356 $ 33,989,719 $ 146,356,520 $ 32,683,132 22.33% Section 2-Page 3 2016-17 First Quarter Report Summary of Collection, Treatment, &Disposal Expenses by Major Category For the Three Months Ended September 30,2016 Expense Expense Increase Increase Percent Budget Through Through (Decrease) (Decrease) Budget Remaining Description 2016-17 9/30/16 9130115 $ % Realized Budget Salary&Wages $ 66,833,000 15,202,438 15,276,963 $ (74,525) -0.49% 22.75% $51,630,562 Employee Benefits 22,456,800 5,581,855 5,968,981 (387,126) -6.49% 24.86% 16,874,945 Administrative Expenses 1,752,650 319,765 496,641 (176,876) -35.61% 18.24% 1,432,885 Printing&Publication 284,340 51,163 58,216 (7,053) -12.12% 17.99% 233,177 Training&Meetings 1,158,070 210,307 147,076 63,231 42.99% 18.16% 947,763 Operating Materials&Supplies 16,698,250 4,005,543 4,239,826 (234,283) -5.53% 23.99% 12,692,707 Contractual Services 24,831,420 5,614.896 5,555,874 59,022 1.06% 22.61% 19.216,524 Professional Services 4,160,830 519,412 468,646 50,766 10.83% 12.48% 3,641,418 Research&Monitoring 800,000 152,338 146,051 6,287 4.30% 19.04% 647,662 Repairs&Maintenance 14,265,930 3,326,791 3,158,689 168,102 5.32% 23.32% 10,939,139 Utilities 8,912,240 1,896.176 2,422,169 (525,993) -21.72% 21.28% 7,016,064 Other Materials,Supplies, and Services 3,385,020 505,573 313,277 192,296 61.38% 14.94% 2,879,447 Net Cost Allocation (19,182,030) (4,703,125) (4,262,690) (440,435) 10.33% 24.52% (14,478,905) Net Operating Requirements 146,356,620 32,683,132 33,989,719 (1,306,687) -3.84% 22.33% 113,673,388 Gallonage Flow(MG) 67,525.00 16,992.55 17,212.80 (220.25) -1.28% Gallonage Flow(MGD) 185.00 184.70 187.09 (2.39) -1.28% Gallonage Flow($'a/MG) $2,167000 $1,923.38 $1,974.68 ($51.30) -2.60% Section 2-Page 4 Operating Budget Review Summary of Revenues For the Three Months Ended September 30, 2016 Revenue Percent Revenue Increase Increase Budget Through Budget Remaining Through (Decrease) (Decrease) Description 2016-17 9130116 Realized Budget 9/30/15 $ % Service Fees $286,554,000 $ (370,591) 4).13% $286,924,591 $ (36,818) $ (333,773) 906.55% Permit Fees 11,272,000 445,496 3.95% 10,826,504 418,174 27,322 6.53% Inter District Sewer Use-SAWPA&SBSD 3,283,000 773,080 23.55% 2,509.920 710,417 62,663 8.82% Intra District Sewer Use-IRWD 3,737,690 1,010,397 27.03% 2,727,293 910,725 99,672 10.94% Sludge Disposal-IRWD 9,090,000 2,496,973 27.47% 6,593,027 2,430,983 65,990 2.71% Capital Assessments-IRWD 4,402,000 327,606 7.44% 4,074,394 584,040 (256,434) 43.91% Capital Facilities Capacity Charges 13,500,GD0 4,153,808 30.77% 9,346,192 3,626,500 527,308 14.54% Property Taxes 87,017,000 2,449,906 2.82% 94,567,094 2,167,339 282,567 13.04% Interest Earnings 8,606,000 697,031 8.10% 7,908.969 2,074,952 (1,377,921) -66.41% Wastehauler 750,000 162,891 21.72% 587,109 138,947 23,944 17.23% CNG Sales 400,000 107,841 26.96% 292,159 120,260 (12,419) -10.33% Rents&Leases 255,000 62,145 24.37% 192,855 60,921 1,224 2.01% Other 800,000 45,863 5.73% 754,137 52,296 (6,433) -12.30% Power Sales 20,000 8,407 42.04% 11,593 1,418 6,989 492.88% Other Sales 35,000 13,857 39.59% 21,143 16,282 (2,425) -14.89% Total Revenues $429721 690 $ 12384,710 288% $417,336,980 $ 13,276436 S (891,726) -6.729/o Section 2-Page 5 2016-17 First Quarter Report Summary of Collection,Treatment, &Disposal Expenses by Line Item For the Three Months Ended September 30,2016 Expense Percent Expense Increase Increase Budget Through Budget Remaining Through (Decrease) (Decrease) Description 2016.17 9130116 Expenses! Budget 9130115 $ % Salaries.Wanes&Benefits Salaries&Wages $ 66,833,000 $ 15,202,438 22.75% $ 51,630,562 $ 15,276,963 $ (74,525) -0.49% Employee Benefits Retirement 10,950,600 2,840,322 25.94% 8,110,278 3,544,964 (704,642) -19.88% Group Insurances 9,725,700 2,290,335 23.55% 7,435,365 1,941,153 349,182 11.99% Tuition&CortificaOon Relmb 175,600 26,381 15.02% 149,219 25.140 1,241 4.94% Edu.degrees,Cad.&Lic. 314.600 86,382 22.46% 228,218 73,034 13,348 18.28% Uniform Rental 53,200 21,519 40.45% 31,681 13,101 8,418 64.25% Workers Compensation 1,196,300 299,078 25.00% 897,222 W9,677 (70,599) -19.10% Unemployment nsurance 2,900 9,384 323.59% (6,484) 758 8,626 1131.99% EMT Supplemental Benefits 37,900 8,454 22.31% 29,446 1,154 7,3W 632.58% Total Benefits 22,456,800 5,581,855 24.86% 16,974,945 5,968,981 (387,126) 4i.49% Salaries,Wages&Stimulus 89,289,800 20,784,293 23.28% 66,505,507 21,245,944 (461,651) .2.17% Man,Supply.&Services Administrative Expenses Memberships 586,050 175,770 29.99% 410,280 173,067 2,703 1.56% Office Exp-Supplies 62.870 12,767 20.31% 50.103 10.193 2,574 25.25% Postage 41,040 11,653 28.39% 29,387 2,081 9,572 459.97% Books&Publications 50,970 7,551 14.81% 43,419 4,126 3,425 83.01% Forms 1,300 - 0.00% 1,300 - - NIA Small Computer Items 750,000 88,784 11.84% 651,216 277,995 (189,211) -68.06% Minor Furniture&Fixtures 260,420 23,240 8.92% 237,180 29,179 (5,939) Subtotal 1.752,650 319,765 18.24% 1,432,885 496,641 (176,876) -35.61% Printing&Publication Repro-In-House 243,690 43,208 17.73% 200,482 55,161 (11,953) -21.67% Pdnting-Oulside 20,750 4,201 20.25% 16,549 1,241 2,960 238.52% Nations&Ad. 19,850 3,754 18.91% 16,096 1,814 1,940 106.95% Photo Processing 50 0.00% 50 NIA Subtotal 284,340 51,163 17.99% 233,177 5$216 (7,053) Training&Meetings Meetings 208.310 25,194 12.09% 183.116 24.096 1,098 4.56% Training 949,760 185,113 19.49% 764,647 122,980 62,133 50.52% Subtotal 1,158,070 210,307 18.16% 947,763 147,076 63,231 42.99% Operating Mat'Is&Supplies Chemical Coagulants 5,126,550 1,412,902 27.56% 3,713,648 1,500,424 (87,522) -5.83% Odor Control 8,157,300 1,927,869 23.63% 6,229,431 1,900,253 27,616 1.45% Disinfection 170,500 48,414 28.40% 122,086 67.130 (18,716) -27.88% Chemicals-Misc&Cogan 472.000 81,059 17.17% 390.941 34.612 46,447 134.19% Gasoline,Diesel&Oil 632,790 129,315 20.44% 503,475 161,879 (32,564) -20.12% Tools 691,950 60,662 8.75% 631,388 169,156 (108,6m) -64.20% Safety equlpmenthods 587,560 154,700 26.33% 432,860 195,012 (40,312) -20.67% Sol,Paints&Jan.Supplies 82.390 18,626 22.61% 63,764 23.967 (5,341) -22.28% Lab Chemicals&Supplies 601,360 133,869 22.26% 467,491 139,764 (5,895) 4.22% Other OpemOng Supplies 171,850 38,123 22.18% 133,727 45,736 (7,613) -16.65% Property Tax Fees 4,000 IN 2.60% 3,896 1,893 (1,789) -94.51% Subtotal 16,698,250 4,005,543 23.99% 12,692,707 4,239,826 (234,283) Contractual Services Solids Remoyal 17,206,000 4,486,716 26.08% 12,719,284 4,469,375 17,341 0.39% Other Waste Disposal 886,400 188,032 21.21% 698.368 177,084 101948 6.18% Groundskeeping 129,720 34,679 26.73% 95,041 34,653 26 0.08% Janitorial 345,700 96,450 27.90% 249,250 117,834 (21,384) -18.15% Outside Lab Services 275,000 32,080 11.67% 242,920 30,154 1,926 6.39% Oxygen Plant Oper 406.000 85,171 20.98% 320.829 131.930 (46,759) -35.44% County Service Fee 671,700 6,345 0.94% 665,355 5,460 885 16.21% Temporary Sernces 814,400 75,412 9.26% 738,988 88,391 (12,979) -14.68% Security Services 660,000 145,484 22.04% 514,516 99,495 45,989 46.22% Other 3,436,500 464,527 13.52% 2,971,973 401,498 63,029 15.70% Subtotal 24,831,420 5,614,896 22.61% 19,216,524 5,555,874 59,022 1.06% (Continued) Section 2-Page 6 Operating Budget Review Summary of Expenses by Line Item For the Three Months Ended September 30,2016 Expense Percent Expense Increase Increase Budget Through Budget Remaining Through (Decrease) (Decrease) Description 2016-17 9130116 Expensed Budget 9130/15 $ % Continued: Professional Services Legal 1,363,500 123.671 9.07% 1,239,829 184,757 (61,086) -33.06% Audit&Amounting 270,700 70,302 25.97% 200,398 72,964 (2,662) -3.65% Engineering 743.000 105,026 14.14% 637,974 21,429 83.597 390.11% Enviro Scientific Consulting 125,000 13,244 10.60% 111,756 13,293 (49) -0.37% Sethi PMm Consulting 410,000 55,876 13.63% 354,124 42,728 13,148 30.77% Advocacy Efforts 176,000 34,350 19.52% 141,650 33,125 1.225 3.70% Industrial Hygiene Services 50.000 51,371 102.74% (1,371) 9,878 41.493 420.05% Labor Negotiation Services 80,000 23,103 28.80% 56,897 - 23,103 N/A Other 942,630 42,469 4.51% 90g161 90,472 (48,003) -53.06% Subtotal 4,160,830 519,412 12.48% 3,641,418 468,646 W,766 10.83% Research&Monitoring Environmental Monitoring 305,000 51,806 16.99% 253,194 46,051 5,756 12.60% Air Quality Monitoring 95,000 532 0.56% 94,468 - 532 N/A Research 400,000 100,000 25.00% 3001000 1001000 0.00% Subtotal 800,000 152,338 19.04% 647,662 146,051 6,287 4.30% Repairs&Maintenance Materials&Services 11,453,670 2,668,330 23.30% 8,785.340 2,435,402 232.928 9.56% Svc.Mtc.Agreements 2,812,260 658,461 23.41% 2,153,799 723,287 (64,826) -8.96% Subtotal 14,265,930 3,326,791 23.32% 10,939,139 3,158,689 168,102 5.32% Utilities Telephone 400,000 80,588 20.15% 319,412 72,076 8,512 11.81% Diesel For Generators 18,240 2.957 16.21% 15,283 2,904 53 1.83% Natural Gas 519,000 185,326 35.71% 333,674 173,641 11.685 6.73% Power 7,324,000 1,468.354 20.05% 5,855,646 2,020,284 (551.930) -27.32% Water 651,000 lm,951 24.42% 492,049 153,264 5,687 3.71% Subtotal 8,912,240 1,896,176 21.28% 7,016,064 2,422,169 (525,993) -21.72% Other Operating Supplies Outside Equip Rental 139,600 14,249 10.21% 125,351 324 13,925 4297.84% Insurance Premiums 32,000 31,049 97.03% 951 31,386 (337) -1.07% Prop&Gen Liab Insurance 1,111,100 277,776 25.00% 833,324 123,999 153,777 124.01% Freight 70.030 18,758 26.79% 51,272 18,432 326 1.77% Misc.Operating Expense 162,310 53,393 32.90% 108,917 31,662 21,731 68.63% Regulatory Operating Fees 715,900 104,485 14.59% 611,415 93,641 10,&14 11.68% Subtotal 2,230,940 499,710 22.40% 1,731.230 299,444 200,266 66.88% General Mgr Contingency &Reappropriations 1,015,700 0.00% 1,015,700 N/A Other Non-Oper Expense Others 138,380 5,863 4.24% 132,517 13,833 (7,970) -57.62% Subtotal 138,380 5,863 4.24% 132,517 13,833 (7,970) -67.62% Total Materials, Supplies&Services 76,248,750 16,601,964 21.77% 59,646,786 17,006,465 (404,501) Total Expenditures 165,538,550 37,386,257 22.58% 128,152,293 38,252,409 (866,152) -2.26% Cost Allocation (19,182,030) (4,703,125) 24.52% (14,478,905) (4,262,690) (440,435) 10.33% Net Operating Requirements $ 146,356,520 $ 32,683,132 22.33% $ 113,673.388 $ 33,989,719 $ i1,306,587) -3.84% Section 2-Page 7 2016-17 First Quarter Report Summary of Collection,Treatment,8 Disposal Expenses by Process For the Three Months Ended September 30,2016 Increase Increase Actual Actual (Decrease) (Decrease) 9/30116 9130/15 $ % Process: Preliminary Treatment $ 1,849,396 $ 1,855,202 $ (5,806) -0.31% Primary Treatment 2,330,909 2,995,614 (664,705) -22.19% Secondary Treatment 1,794,022 1,921,021 (127,000) -6.61% Cryogenic Plant(Plant 2) 160,618 230,668 (70,051) -30.37% Ef0uent Disposal 160,747 238,773 (78,025) -32.68% Solids Handling 10,811,145 11,052,888 (241,743) -2.19% Cogeneration 3,911,947 4,596,429 (684,483) -14.89% Utilities 661,097 639,619 21,478 3.36% Electrical Distribution 300,583 349,396 (48,813) -13.97% Miscellaneous Buildings 2,002,825 1,885,666 117,158 6.21% External Location 14,060 7,229 6,831 94.50% Nerlssa Vessel 49,858 43,335 6,523 15.05% North County Yard 2,929 37,168 (34,239) -92.12% Laboratory 3,247,852 2,945,812 302,040 10.25% Collections 5,385,146 5,190,898 194,248 3.74% Net Operating Requirements $ 32,683,132 $ 33,989,719 $ (1,306,587) -3.94% Section 2-Page 8 Operating Budget Review Staffing Trends Full Time Equivalents September 30,2016 700 650 626 624 624 624 627 600 38 36 qq 52 53 550 500 450 6/30113 6/30114 6/30/15 6130116 9/30/16 8Adua1 8Va.a t At September 30, 2016, the total head count was 583 employees, or a full time equivalency of 574. Section 2-Page 9 2016-17 First Quarter Report This Page Intentionally Left Blank Section 2- Page 10 CIP Budget Review Capital Improvement Program By Type and Funding Source For the Three Months Ended September 30,2016 MGOIIeMlons Factitks: 40.2% MHeadworks: 3.5% MPrimaty Treatment: 1 2% GSecondary Treatment: 01% MSolids Handling 8 Digestion: 35.5% nOcean Outfall Systems: 5.3% nlltility Systems: 2.2% MP..,e Related Spmml Projects: 0.4% ■Information Management Systems: 2% MStrategic 8 Master Planning: 1.8% M Water Management Projects: 0.6% eResearch 0.2% OSupport Facilites: 4.2% Mothers: 00% Motor Year Treatment Projects: )A% MCapital EOulpment Purchases: 2 4% Total Capital Improvement Outlays -$23,407,415 Replacetnent/Rehabilitation: 35% 0!! Improved Treatment 15% ❑Additional Capacity: 46% ■Support: 4% Total Capital Improvement Outlays -$23,407,415 Section 3- Page 1 FY 2016-17 First Quarter Report Summary of Capital Improvement Construction Requirements - Current Year For the Three Months Ended September 30, 2016 2016-17 2016-17 2016-17 Cashflow Actual at Projected Budget 9/30/2016 Outlay Collection System Improvement Proiects Collections Facilities Santa Ana Trunk Sewer Rehab. $ 74,119 $ 4,865 $ 100,900 Raitt and Bristol Street Sewer Rehab& Extension 204,379 - 196,600 Santa Ana River Interceptor(SARI) Realignment 562,271 17,148 48,600 SARI Rock Stabilizers Removal 312,927 2,542 642,000 Newhope-Placentia Trunk Grade Separation Replacements 934,520 5,009 254,200 Newhope-Placentia Trunk Replacement 7,181,679 6,563,018 14,751,100 Newhope-Placentia Trunk Replacement, Segment B 13,762,266 64,567 64,600 Lakeview Grade Separation Project 154,706 - 104,800 Tustin Rose OCTA Grade Separation Project 71,317 - 164,300 Seal Beach Pumping Station Upgrade and Rehabilitation 5,964,626 68,210 2,594,900 Rehabilitation of Western Regional Sewers 16,018,059 108,347 8,597,200 Newport Force Main Rehabilitation 5,903,015 86,245 171,700 Bay Bridge Pumping Station Replacement - 30,806 216,100 District 6 Trunk Sewer Relief 4,623,818 21,870 1,019,800 Southwest Costa Mesa Trunk 876,199 914 1,000 Gisler-Redhill System Improvements, Reach 'B" 11,951,892 2,375,458 10,994,200 Gisler Red-Hill Interceptor Rehabilitation 102,511 - 50,400 Master Facilities Engineering Projects-Collections 1,429,603 27,923 462,400 Master Planning Studies-Collections 2,748,262 32,420 32,500 Bay Bridge Pump Station and Force Mains Rehab Study 361,019 9,870 209,800 Additional Charges to CIP Closed at 6/30/16 11,B49 11,900 Subtotal -Collections Facilities 73,237,188 9,431,061 40,689,000 Revenue Area 14 Newport Force Main Rehabilitation (2.18%) 131,554 1,922 3,600 Subtotal -Revenue Area 14 131,554 1,922 3,600 Total Collection System Improvement Projects 73,368,742 9,432,983 40,692,600 (Confined) Section 3-Page 2 CIP Budget Review Summary of Capital Improvement Construction Requirements - Current Year For the Three Months Ended September 30, 2016 2016-17 2016-17 2016-17 Cashflow Actual at Projected Budget 9/3 012 01 6 Outlay Treatment&Disposal Projects Headworks Headworks Rehabilitation and Expansion at Plant 1 6,705,388 355,852 6,042,700 Truck Line Odor Control Improvements P1 3,244,621 464,764 1,356,700 Headworks Modifications at P2 for GWRS Final Expansion 36,700 Subtotal -Headworks 9,950,009 820,616 7,436,100 Primary Treatment Primary Clarifier&Trickling Filter Odor Control at P1 95,767 - 58,700 Plant No. 1 Primary Treatment Upgrades 293,871 65,394 171,000 Primary Clarifiers Repl & Impr at Plant No. 1 - 124,268 179,800 A-Side Primary Clarifiers Repl.at P2 1,684,096 85,895 3,170,600 Subtotal -Primary Treatment 2,073,734 275,557 3,580,100 Secondary Treatment Activated Sludge Aeration Basin Deck Repair at P2 295,085 13,143 122,200 Oxygen Plant Demolition at Plant No. 2 428,585 3,123 24,500 Subtotal -Secondary Treatment 723,670 16,266 146,700 Solids Handling& Digestion Digester Rehabilitation at Plant 1 4,754,023 3,033,672 6,060,700 Sludge Dewatedng and Odor Control at Plant 1 18,460,389 2,625,230 12,692,600 Solids Thickening and Processing Upgrades 4,208,003 134,289 1,554,500 Sludge Dewatedng and Odor Control at Plant 2 23,463,706 2,525,153 20,950,000 Subtotal -Solids Handling&Digestion 50,886,121 8,318,344 41,257,800 Ocean Outfall Systems Final Ef0uent Sampler and Building Area Upgrades 5,602,416 789,403 4,458,800 Ocean Outfall System Rehabilitation 4,648,804 448,562 4,363,600 Subtotal -Ocean Outfall Systems 10,251,220 1,237,965 8,822,400 Utility Systems Cengen Cooling Water System Replacement - 1,699 1,700 Cengen Emissions Control Project 692,372 175,347 317,500 Digester Gas Facilities Rehabilitation 332,017 - 133,200 Natural Gas Pipelines Repl at Plant No. 1 and 2 33,573 11,238 108,900 Plant Water System Rehabilitation at Plant No. 1 11,645 410 500 Plant Water System Rehabilitation at Plant No. 2 1,884 4,084 4,100 Consolidated Demolition&Utility Improvements at P2 1,081,187 321,324 1,094,200 Plant Air System Master Plan 45,061 5,800 Subtotal -Utility Systems 2,197,739 514,102 1,665,900 (Confined) Section 3 - Page 3 FY 2016-17 First Quarter Report Summary of Capital Improvement Construction Requirements - Current Year For the Three Months Ended September 30, 2016 2016-17 2016-17 2016-17 Cashflow Actual at Projected Budget 9/30/2016 Outlay Process Related Special Projects Safety Improvements at Plants Nos. 1 and 2 704,960 95,275 3,459,500 Odor Control Master Plan 585,791 663,700 Subtotal -Process Related Special Projects 1,290,751 95,275 4,123,200 Information Management Systems Programmable Control Panel Upgrade 74,645 8,020 79,300 Power Monitoring &Control Systems at P2 2,590,934 89,178 2,425,000 Master Information Technology Capital Program 502,307 79,139 1,641,300 Geographic Information System 616,445 247,909 318,000 EAM Software and Process Implementation 471,467 34,890 109,900 PDS2D Software Replacement 98,061 5,000 5,000 Process Control System Upgrades Study 1,348,089 410 347,400 Subtotal -Information Management Systems 5,701,948 464,546 4,925,900 Strategic& Master Planning Master Planning Studies 3,363,060 425,158 8,777,100 Subtotal -Strategic&Master Planning 3,363,060 425,158 8,777,100 Water Management Projects Ef0uent Reuse Study 1,104,241 147,748 491,000 Subtotal -Water Management Projects 1,104,241 147,748 491,000 Research Research Program 1,149,080 - 247,300 Fuel Cell Demo 16,644 1,628 11,300 SCCWRP Nutrient Cycling Sampling 42,659 - 32,000 AquaCritox Evaluation/Design 255,469 35,320 125,600 Subtotal -Research 1,463,852 36,948 416,200 Support Facilities Master Facilities Engineering Projects- Plant 12,735,831 867,810 4,539,000 Master Small Capital Replacement/Rehabilitation 1,711,019 (19,471) 655,700 Title 24 Access Compliance&Building Rehab Project 3,816,143 102,421 2,219,500 Headquarters Complex, Site& Security&Entrance Realign. 5,951,410 35,678 2,388,200 Site and Security Improvements at Plant No.2 12,797 5,100 Subtotal -Support Facilities 24,227,200 986,438 9,807,500 (Continued) Section 3-Page 4 CIP Budget Review Summary of Capital Improvement Construction Requirements - Current Year For the Three Months Ended September 30, 2016 2016-17 2016-17 2016-17 Cashflow Actual at Projected Budget 913 012 01 6 Outlay Others Capital Improvement Program Mgmt. Services 24,326 12 100 Subtotal -Others 24,326 12 100 Additional Charges to CIP Completed at 6130116 82,046 82,100 Total Treatment and Disposal Projects 113,257,871 13,421,021 91,532,100 Capital Equipment Purchases 3,682,780 553,411 3,682,800 Total Collection,Treatment and Disposal Projects and Capital Equipment Purchases $190,309,393 $ 23,407,415 $135,907,500 Section 3 - Page 5 FY 2016-17 First Quarter Report Summary of Capital Improvement Construction Requirements- Project Life For the Three Months Ended September 30,2016 Current Total Approved June 30,2016 Year Projected Remaining Project Accumulated Projected Cost at Future Budget Cost Cost June 30,2017 Budget Collection System Improvement Projects Collections Facilities Santa Ana Trunk Sewer Rehab. 6,974,000 61686,800 100,900 6,787,700 186,300 Raiff and Bristol Street Sewer Rehab&Extension 13,622,000 259,075 196,600 455,675 13,166,325 Santa Ana River Interceptor(SARI)Realignment 11,404,000 5,592,473 48,600 5,641,073 5,762,927 SARI Rock Stabilizers Removal 3,743,000 265,733 642,000 907,733 2,835,267 Taft Branch Sewer Relief 1,928,000 12,083 - 12,083 1,915,917 Newhope-Placentia Trunk Grade Separation Replacements 5,739,000 4,045,695 254,200 4,299,895 1,439,105 Newhope-Placentia Trunk Replacement 34,708,000 9,737,373 14,751,100 24,488,473 10,219,527 Newhope-Placentia Trunk Replacement,Segment 65,367,000 26,909 64,600 91,509 65,275,491 Yoffie Linda Pumping Station Abandonment 7,053,000 - - - 7,053,000 Lakeview Grade Separation Project 330,000 68,892 104,800 173,692 156,308 Tustin Rose OCTA Grade Separation Project 586,000 283,638 164,300 447,938 138,062 Beach Tmnk/Knott Interceptor Sewer Relief 118,678,000 - - - 118,678,000 Seal Beach Pumping Station Upgrade and Rehabilitation 60,840,000 2,073,689 2,594,900 4,668,589 56,171,411 Rehabilitation of Western Regional Sewers 217,069,000 2,518,370 8,597,200 11,115,570 205,953,430 Newport Force Main Rehabilitation 62,604,800 56,646,974 171,700 56,818,674 5,786,126 Crystal Cove Pumping Station Rehabilitation 10,882,000 - - - 10,882,000 Bay Bridge Pumping Station Replacement 54,000,000 - 216,100 216,100 53,783,900 Newport Beach Pump Stations Odor Control Improvements 4,066,000 - - - 4,066,000 District 6 Trunk Sewer Relief 7,965,000 1,421,400 1,019,800 2,441,200 5,523,800 Southwest Costa Mesa Trunk 29,650,000 1,747,830 1,000 1,748,830 27,901,170 Gisler-Redhill System Improvements,Reach"B" 25,213,000 6,299,980 10,994,200 17,294,180 7,918,820 Browning Subtrunk Sewer Relief 16,952,000 - - - 16,952,000 MacArthur Pumping Station Rehabilitation 8,762,000 - - - 8,762,000 Main Street Pump Station Rehabilitation 39,219,000 - - - 39,219,000 Gisler Red-Hill Interceptor Rehabilitation 5,486,000 - 50,400 50,400 5,435,600 Edinger/Bolsa Chita Trunk Improvements 5,159,000 - - - 5,159,000 Edinger Pumping Station Rehabilitation 8,880,000 - - - 8,880,000 Slater Avenue Pump Station Rehabilitation 9,729,000 - - - 9,729,000 Master Facilities Engineering Projects-Collections 12,192,000 1,199,298 462,400 1,661,698 10,530,302 Master Planning Studies-Collections 10,636,304 402,264 32,500 434,764 10,201,540 Bay Bridge Pump Station and Force Mains Rehab Study 725,000 341,878 209,800 551,678 173,322 Additional Charges to CIP Closed at 6130116 11,900 11,900 (11,900) Subtotal-Collections Facilities 860,162,104 99,630,354 40,689,000 140,319,354 719,842,750 Revenue Area 14: Newport Force Main Rehabilitation(2.18%) 1,395,200 1,262,425 3,600 1,266,025 129,175 Subtotal-Revenue Area 14 1,395,200 1,262,425 3,600 1,266,025 129,175 Total Collection System Improvement Projects 861,557,304 100,892,779 40,692,600 141,585,379 719,971,925 (Continued) Section 3-Page 6 CIP Budget Review Summary of Capital Improvement Construction Requirements - Project Life For the Three Months Ended September 30,2016 Current Total Approved June 30,2016 Year Projected Remaining Project Accumulated Projected Cost at Future Budget Cost Cost June 30,2017 Budget Treatment&Disposal Projects Headworks Headworks Rehabilitation and Expansion at Plant 1 274,841,000 2,433,404 6,042,700 8,476.104 266,364,896 Truck Line Odor Control Improvements P1 9,299,000 7,359,325 1,356,700 8,716,025 582,975 Headworks Modifications at P2 for GWRS Final Expansion 50,000,000 36,700 36,700 49,963,300 Subtotal-Headworks 334,140,000 9,792,729 7,436,100 17,228,829 316,911,171 Primary Treatment Primary Clarifier&Trickling Filter Odor Control at P1 94,228,000 - 58,700 58,700 94,169,300 Plant No.1 Primary Treatment Upgrades 9,146,000 8,118,861 171,000 8,289,861 856,139 Primary Clarifiers Repl&Impr at Plant No.1 158,332,000 - 179,800 179,800 158,152,200 A-Side Primary Clarifiers Reel.at P2 428,264.000 978,734 3,170,600 4,149,334 424,114,666 Subtotal-Primary Treatment 689,970,000 9,097,595 3,580,100 12,677,695 677,292,305 Secondary Treatment Activated Sludge Aeration Basin Deck Repair at P2 2,331,000 55,798 122,200 177,998 2,153,002 Oxygen Plant Demolition at Plant No.2 3,444,000 2,816.671 24,500 2,841,171 602,829 Subtotal-Secondary Treatment 5,775,000 2,872,469 146,700 3,019,169 2,755,831 Solids Handling&Digestion Digester Rehabilitation at Plant 1 66,650,000 57,765,401 6,060,700 63,826,101 2,823,899 Sludge Dewatering and Odor Control at Plant 1 188,328,000 152,105,764 12,692,600 164,798,364 23,529,636 Solids Thickening and Processing Upgrades 51,150,000 46,778,286 1,554,500 48,332,786 2,817,214 Plant No.2 Digester Facilifies Rehabilitation 49,220,000 152,343 - 152,343 49,067,657 Sludge Dewatering and Odor Control at Plant 2 90,477,000 25,961,621 20,950,000 46,911,621 43,565,379 Subtotal-Solids Handling&Digestion 445,825,000 282,763,415 41,257,800 324,021,215 121,803,785 Ocean Outfall Systems Final Effluent Sampler and Building Area Upgrades 16,411,000 11,079,895 4,458,800 15,538,695 872,305 Ocean Outlall System Rehabilitaton 87,683,000 3,043,856 4,363,600 7,407,456 80,275,544 Subtotal-Ocean Outfall Systems 104,094,000 14,123,751 8,822,400 22,946,151 81,147,849 Utility Systems Cengen Cooling Water System Replacement 11,177,000 11,374,655 1,700 11,376,355 100,645 Cengen Emissions Control Project 23,820,000 21,945,471 317,500 22,262,971 1,557,029 UPS System Upgrades 8,087,000 - - - 8,087,000 Digester Gas Facilities Rehabilitation 87,897,000 9,458 133,200 142,658 87,754,342 Natural Gas Pipelines Repl at Plant No.1 and 2 1,310,000 2,282 108,900 111,182 1,198,818 Electrical Power Distribution System Improvements 34,608,000 - - - 34,608,000 Plant Water System Rehabilitation at Plant No.1 6,157,000 6,113,517 500 6,114,017 42,983 (Continued) Section 3-Page 7 FY 2016-17 First Quarter Report Summary of Capital Improvement Construction Requirements-Project Life For the Three Months Ended September 30,2016 Current Total Approved June 30,2016 Year Projected Remaining Project Accumulated Projected Cost at Future Budget Cost Cost June 30,2017 Budget Utility Systems(continued) Central Generation Rehab at Plant No. 1 73,151,000 - - - 73,151,000 Plant Water System Rehabilitation at Plant No.2 3,704,000 3,737,750 4,100 3,741,850 (37,850) Consolidated Demolition&UOlity Improvements at P2 38,460,000 3,205,873 1,094,200 4,300,073 34,159,927 Central Generation Rehab at Plant No.2 95,906,000 - - - 95,906,000 Plant Air System Master Plan 225,000 187,096 5,800 192,896 32,104 Subtotal-Utility Systems 384,802,000 46,576,102 1,665,900 48,242,002 336,559,998 Process Related Special Projects Safety Improvements at Plants Nos.1 and 2 9,702,000 202,858 3,459,500 3,662,358 6,039,642 Odor Control Master Plan 1,950,000 1,233,922 663,700 1,897,622 52,378 Subtotal-Process Related Special Projects 11,652,000 1,436.780 4,123,200 5,559,980 6,092,020 Information Management Systems Process Control Systems Upgrades 102,399,000 - - - 102,399,000 Programmable Control Panel Upgrade 2,283,000 1,785,807 79,300 1,865,107 417,893 Power Monitoring&Control Systems at P2 34,123,000 604,790 2,425,000 3,029,790 31,093,210 Master Information Technology Capital Program 10,000,000 - 1,641,300 1,641,300 8,358,700 Geographic Information System 4,568,000 1,947,390 318,000 2,265,390 2,302,610 EAM Software and Process Implementation 7,500,000 4,700,097 109,900 4,809,997 2,690,003 PDS2D Software Replacement 525,000 342,351 5,000 347,351 177,649 Process Control System Upgrades Study 3,554,000 347,400 347,400 3,206,600 Subtotal-Information Management Systems 164,952,000 9,380,435 4,925,900 14,306,335 150,645,665 Strategic&Master Planning Master Planning Studies 13,015,696 1,190,605 8777,100 9,967,705 3,047,991 Climate Change Impact Study 590,000 590,000 Subtotal-Strategic&Master Planning 13,605,696 1,190,605 8777,100 9,967,705 3,637,991 Water Management Projects Effluent Reuse Study 3,250,000 2,529,365 491,000 3,020,365 229,635 Subtotal-Water Management Projects 3,250,000 2,529,365 491,000 3,020,365 229,635 Research Research Program 8,500,000 - 247,300 247,300 8,252,700 Fuel Cell Demo 135,000 118,192 11,300 129,492 5,508 SCCWRP Nutrient Cycling Sampling 95,000 71,250 32,000 103,250 (8,250) AquaCritoz Evaluation/Design 588,000 402,510 125,600 528,110 59,890 Subtotal-Research 9,318,000 591,952 416,200 1,008,152 8,309,848 (Continued) Section 3-Page 8 CIP Budget Review Summary of Capital Improvement Construction Requirements - Project Life For the Three Months Ended September 30,2016 Current Total Approved June 30,2016 Year Projected Remaining Project Accumulated Projected Cost at Future Budget Cost Cost June 30,2017 Budget Support Facilities Master Facilities Engineering Projects-Plant 43,325,000 7,856,037 4,539,000 12,395,037 30,929,963 Master Small Capital ReplacementlRehabilitation 15,622,000 2,065,761 655,700 2,721,461 12,900,539 Title 24 Access Compliance&Building Rehab Project 17,509,000 12,967,931 2,219,500 15,187,431 2,321,569 Headquarters Complex,Site&Security&Entrance Realign. 179,067,000 169,006 2,388,200 2,557,206 176,509,794 Site and Security Improvements at Plant No.2 252,000 227,660 5,100 232,760 19,240 Subtotal-Support Facilities 255,775,000 23,286,395 9,807,500 33,093,895 222,681,105 Others Banning Gale Relocation&Grading at Plant No.2 2,812,000 227,660 - 227,660 2,584,340 Capital Improvement Program Mgml.Services 300,000 9,591 100 9,691 290,309 Subtotal-Others 3,112,000 237,251 100 237,351 2,874,649 Additional Charges to CIP Completed at 6130116 82,100 82,100 (82,100) Total Treatment and Disposal Projects 2,426,270,696 403,878,844 91,532,100 495,410,944 1,930,859,752 Capital Equipment Purchases 16,000,000 7,083,097 3,682,800 10,765,897 5,234,103 Total Collection,Treatment and Disposal Projects and Capital Equipment Purchases $3,303,828,000 $511,854,720 $135,907,500 $647,762,220 $2,656,065,780 Section 3-Page 9 FY 2016-17 First Quarter Report This Page Intentionally Left Blank Section 3- Page 10 Capital Assets Schedule & Debt Service Budget Review Capital Assets Schedule For the Three Months Ended September 30,2016 Capital Facilities Budget Review Balance Year-to-Date Balance 07/01/16 Additions 9/30116 CONSTRUCTION IN PROGRESS: Treatment Plant $ 405,065,130 $ 13,974,432 $ 419,039,562 Collection System 94,310,929 9,432,983 103,743,912 Subtotal 499,376,059 23,407,415 522,783,474 PROPERTY,PLANT&EQUIPMENT(at cost): Land and Property Rights 15,959,559 - 15,959,559 Collection Lines and Pump Stations 781,138,758 - 781,138,758 Treatment Facilities 2,278,136,004 - 2,278,136,004 Effluent disposal facilities 97,014,820 - 97,014,820 Solids disposal facilities 3,463,236 - 3,463,236 General and administrative facilities 229,446,444 - 229,446,444 Excess purchase price over book value on acquired assets 19,979,000 19,979,000 Subtotal 3,425,137,821 3,425,137,821 Total Property, Plant&Equipment&CIP $ 3,924.513,880 $ 23,407415 $ 3,947.921,295 Debt Service Budget Review 2016-17 Year-to-Date Remaining Budget Payments %of Budget Budget Principal Payments by Debt Issue: 2007A COP 265,000 - 0.00% 265,000 2007B COP 7,110,000 - 0.00% 7,110,000 2008B COP 8,815,000 8,815,000 100.00% - 2009ACOP 4,250,000 - 0.00% 4,250,000 2010A BABs - - 0.00% - 2010C BABs - - 0.00% - 2011ACOP 15,135,000 15,135,000 100.00% - 2012A COP - - 0.00% - 2012B COP - - 0.00% - 2014A COP - - 0.00% - 2014B CANS 7,827,411 - 0.00% 7,827,411 2015A COP - - 0.00% - 2016A COP 0.00 Subtotal Principal Payments 43,402,411 23,950,000 55.18% 19,452,411 Interest Expense by Debt Issue: 2007A COP 4,108,278 1,027,039 25.00% 3,081,239 2007B COP 355,500 88,950 25.02% 266,550 2008B COP 132,225 22,025 16.66% 110,200 2009A COP 585,250 146,225 24.99% 439,025 2010A BABs 2,897,639 993,269 34.28% 1,904,370 2010C BABs 6,523,780 2,236,375 34.28% 4,287,405 2011A COP 4,774,725 1,162,150 24.34% 3,612,575 2012A COP 3,735,900 934,050 25.00% 2,801,850 2012B COP 3,187,400 796,800 25.00% 2,390,600 2014A COP 4,254,500 1,063,650 25.00% 3,190,850 2014B CANS 496,694 1,208,500 243.31% (711,806) 2015A COP 6,375,500 1,593,850 25.00% 4,781,650 2016A COP 5,833,798 1,749,148 29.98% 4,084,650 Subtotal Interest Expense 43,261,189 13,022,031 30.10% 21,372,858 Total Debt Service $ 86,663,600 $ 36,972,031 42.66% $ 40,825,269 Section 4- Page 1 2016-17 First Quarter Report This Page Intentionally Left Blank Section 4 - Page 2 Self Insurance Budget Review General Liability and Property Fund Budget Review For the Three Months Ended September 30,2016 Percent Actual of Budget Remaining Actual 2016-17 Through Through 2016-17 Through Increase Budget 9/30/16 9130116 Budget 9/30/15 (Decrease) Revenues: In-Lieu Premiums $ 1,111,100 $ 277,776 25.00% $ 833,324 $ 123,999 $ 153,777 Service Department Allocations 18,700 4,674 24.99% 14,026 1,374 3,300 Total Revenues 1,129,800 282,450 25.00% 847,350 125,373 157,077 Expenses: Benefits/Claims 40,000 607,372 1518.43% (567,372) 7,549 599,823 Legal Services 130,000 29,404 22.62% 100,596 2,175 27,229 Professional Services 25,313 N/A (25,313) 25,313 Subtotal 170,000 662,089 389.46% (492,089) 9,724 652,365 Policy Premium Expense 1,220,000 293,152 24.03% 926,848 290,131 3,021 Total Expenses 1,390,000 955,241 68.72% 434,759 299,855 655,386 Excess Revenue(Expense) (260,200) (672,791) $ 412,591 (174,482) (498,309) Beginning Reserves 55,260,200 55,252,299 56,125,515 (873,216) Ending Reserves $55, 000,000 $ 54, 779,508 $ 55, 551,033 $(1,371,525) Section 5-Page 1 FY 2016-17 First Quarter Report Workers'Compensation Fund Budget Review For the Three Months Ended September 30,2016 Percent Actual of Budget Remaining Actual 2016-17 Through Through 2016-17 Through Increase Budget 9/30/16 9/30/16 Budget 9130115 (Decrease) Revenues: In-Lieu Premiums $ 1,196,300 $ 299,075 25.00% $ 897,225 $ 369,675 $ (70,600) Miscellaneous Other Revenue 10,000 - 0.00% 10,000 - - Total Revenues 1,206,300 299,075 24.79% 907,225 369,675 (70,600) Expenses: Benefits/Claims 660,000 80,728 12.23% 579,272 248,200 (167,472) Legal Services 170,000 16,913 9.95% 153,087 81,599 (64,686) Professional Services 60,000 14,075 23.46% 45,925 10,556 3,519 Subtotal 890,000 111,716 12.55% 778,284 340,355 (228,639) Policy Premium Expense 200,000 52,206 26.10% 147,794 48,585 3,621 Total Expenses 1,090,000 163,922 15.04% 926,078 388,940 (225,018) Excess Revenue(Expense) 116,300 135,153 $ (18,8531 (19,265) 154,418 Beginning Reserves 1,883,700 1,913,178 1,523,264 389,914 Ending Reserves $ 2,000,000 _L 2.048.331 $ 1.503,999 $ 544,332 Section 5-Page 2 'e? Op October 31, 2016 STAFF REPORT Quarterly Treasurer's Report For the Three Months Ended September 30, 2016 SUMMARY Section 15.0 of the District's Investment Policy includes quarterly reporting requirements for the District's two investment portfolios. These two funds, the "Liquid Operating Monies," and the "Long-Term Operating Monies" are managed by Chandler Asset Management, the District's external money manager. The ongoing monitoring of the District's investment program by staff and Callan Associates, the District's independent investment advisor, indicates that the District's investments are in compliance with the District's adopted Investment Policy and the California Government Code, and that overall performance has tracked with benchmark indices. In addition, sufficient liquidity and anticipated revenues are available for the District to meet budgeted expenditures for the next six months. The District's portfolios do not include any reverse repurchase agreements or derivative securities. ADDITIONAL INFORMATION Performance Reports The Quarterly Strategy Review, prepared by Chandler Asset Management, and the Investment Measurement Service Quarterly Review, prepared by Callan Associates, is attached for reference. Also attached are Long-Term and Liquid Operating Monies Summary of Performance Data and Portfolio Statistics charts that depict the performance results, estimated yield and duration, credit quality, and sector diversification of the District's portfolios, as of September 30, 2016. The Liquid Operating Monies portfolio, with an average maturity of 40 days, consists entirely of high quality fixed income investments consistent with the District's investment policy. Portfolio Performance Summary The following table presents a performance summary of the District's portfolios as compared to their benchmarks for the period July 1 through September 30, 2016. ODSD ♦ P.0.Box8127 ♦ Foun in Velley,C 927284127 ♦ (914)%2-2411 Quarterly Treasurer's Report For the Three Months Ended September 30, 2016 Page 2 of 3 Portfolio Performance Summary Quarter Ended September 30,2016 Liquid Operating Monies(%) Long-Term Operating Monies I%) Total Rate of Total Rate of Return Benchmark') Return Benchmark') 3 Months 0.10 0.10 0.06 -0.07 6 Months 0.19 0.17 0.78 0.80 9 Months 0.36 0.24 2.33 2.38 12 Months 0.41 0.27 2.00 1.81 Annualized Since inception 30 Nov 2014 0.32 0.16 1.61 1.70 Market Value $58om 325.9M Average Quality "AA+"I"A1V -AWP'Aal" Current Yield(%) 0.9 1.6 Estimated Yield to Maturity(%) 0.5 1.1 Quarterly Deposits(Withdrawals) (81.5)M (7.0)M Estimated Annual Income 0.3M W8M (1) Benchmarks: • Liquid Operating Portfolio: 3-Month Treasury Bill Index • Long-Teml Operating Portfolio: Merrill Lynch Corp/Govt. 1-5 Year Bond Index Portfolio Market Values Comparative marked-to-market quarter-end portfolio values are shown in the following table, and in the attached bar chart. Liquid Long-Term Quarter Operating Operating Ending Monies($M) Monies SM) 31 Dec.15 132.0 314.8 31 Mar. 16 63.8 319.6 30 Jun.16 139.4 332.7 30 Sep.16 58.0 325.9 District's Investment Account Balances as of September 30, 2016 Book Balances Estimated Investment Accounts September 30,2016 Yield(%) State of Calif.LAIF $18,672,556 0.63 Union Bank Checking Account 52,554 0.00 Union Bank Overnight Sweep Account 277,000 0.01 Union Bank W/C Checking 86,894 0.00 Chandler-Short-term Portfolio 57,842,514 0.51 Chandler-Long-term Portfolio 325,180,626 1.05 Petty Cash 3,000 N/A BNY Mellon OCIP Reserve 3.602.141 0.88 TOTAL $405.717 2H5 0.95 Debt Service Reserves w/Tmstees $21 9A5 45A 2.52 Quarterly Treasurer's Report For the Three Months Ended September 30, 2016 Page 3 of 3 District's Cost of Funds on Debt Issues as of September 30, 2016 Annual Cost of Funds Outstanding Interest Issue Description COP Balance Rate(%) 2007A Fixed $91,885,000 4.50 2007B Fixed 7,110,000 4.71 2009A Fixed 13,405,000 4.72 2010A Fixed 80,000,000 3.68 2010C Fixed 157,000,000 4.11 2011A Fixed 96,330,000 2.61 2012A Fixed 100,645,000 3.54 2012B Fixed 66,395,000 1.50 2014A Fixed 85,090,000 2.34 2014B Fixed 120,850,000 0.41 2015A Fixed 127,510,000 3.30 2016A Fixed 145,880,000 3.02 TOTAL $1 092 100 OW Weighted Avg.Cost of Funds 2.99 ATTACHMENTS 1. Chandler Quarterly Report 2. Summary of Performance Data and Portfolio Statistics — Liquid Operating Monies 3. Summary of Performance Data and Portfolio Statistics— L-T Operating Monies 4. Investment Transactions and Balances in 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 C/" CHANDLER ASSET MANAGEMENT September 30, 2016 Mr. Mike White, CPA Controller Orange County Sanitation District 10844 Ellis Avenue Fountain Valley CA 92708-7018 Dear Mike, Bond Market Recap The Federal Open Market Committee (FOMC) kept the fed funds rate unchanged at a range of 0.25%-0.50% in September. However, there were three dissenting votes (out of ten), as Esther George (Kansas City), Loretta Master (Cleveland), and Eric Rosengren (Boston) preferred to raise the target range by a quarter percent. The Fed's overall assessment of the economy was little changed from July. In the policy statement, the Committee noted the labor market has continued to strengthen but inflation remains below target. In deciding whether or not to raise the fed funds target rate, the Committee said "the case for an increase in the federal funds rate has strengthened but decided, for the time being, to wait for further evidence of continued progress toward its objectives." In her press conference, Fed Chair Yellen remarked that the next meeting on November 1-2 is a "live" meeting but given its proximity to the US Presidential election on November 8, we think the Fed is likely to keep monetary policy on hold until December. If economic data remains modestly favorable over the next few months, we expect the Fed will hike the fed funds rate range by 25 basis points in December. Market participants estimate the economy grew at an annualized pace of about 2.9% in the third quarter. If accurate, that represents a pick-up from first and second quarter GDP growth of 0.8% and 1.4, respectively. The consensus forecast calls for GDP growth of about 2.5% in the fourth quarter. Labor market trends remain favorable, which should continue to provide a tailwind to economic growth. The unemployment rate was 5.0% in September, wage growth ticked higher, and payrolls increased by 156,000 (more than enough to absorb new entrants into the labor market). Consumer confidence is strong. Housing trends remain positive even though home price appreciation has softened. Oil prices have rebounded from earlier this year. The manufacturing sector, though still under pressure, has slightly improved. Overall, domestic economic data remains indicative of slow growth. In September, the 2-year Treasury yield decreased four basis points and the 10-year Treasury yield increased one basis point. Leading up to the FOMC meeting in September, the yield curve steepened slightly. After the FOMC meeting in September, yields modestly declined. More recently, yields across the curve have increased as the market-implied probability of a fed funds rate hike before year-end has risen to more than 65%. GAL CHANDLER ASSET MANAGEMENT In September, the Treasury yield curve was little changed. However, on a year-over-year basis the yield curve flattened with the 2-year Treasury yield up about 13 basis points and the 10-year Treasury yield down more than 44 basis points. Over the past year, financial market volatility has been elevated due to weak global economic growth, volatile commodity prices, political uncertainty, and divergent global central bank monetary policy. Consumer Prices The Consumer Price Index (CPI) was up 1.1% year-over-year in August, versus up 0.8% year- over-year in July. Core CPI (CPI less food and energy) was up 2.3% year-over-year in August, vs. 2.2% in July. The Personal Consumption Expenditures (PCE) index was up 1.0% year-over- year in August, versus 0.8% in July. Core PCE (excluding food and energy) was up 1.7% year- over-year in August vs. up 1.6% year-over-year in July. Although Core CPI is trending above 2.0%, the Fed's primary inflation gauge is PCE which remains below the Fed's 2.0% target. Retail Sales On a year-over-year basis, total retail sales were up 1.9% in August, compared with a 2.4% increase in July. On a month-over-month basis, retail sales declined 0.3% in August, below expectations. Excluding autos, retail sales fell 0.1% in the month. Labor Market Nonfarm payrolls were lower than expected in September, up 156,000 versus the consensus forecast of 172,000. July and August payrolls were revised down by a net total of 7,000. On a trailing 3-month and 6-month basis, payrolls increased by an average of 192,000 and 169,000 per month, respectively. The unemployment rate inched up in September to 5.0% from 4.9% in August, as the participation rate 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, remained unchanged in September at 9.7%. Wages increased 0.2% in September, following a 0.1% increase in August. On a year- over-year basis, wages were up 2.6% in September, versus 2.4% in August. Housing Starts Total housing starts fell 5.8% in August, following growth of 1.4% in July. Single-family starts fell 6.0% in August while multi-family starts declined 5.4%. Housing starts tend to be volatile on a month-to-month basis but the underlying trend remains favorable. Notably, single-family permit growth was strong in August. 2 C/" CHANDLER ASSET MANAGEMENT TREASURY YIELDS 9/3012016 6130/2016 CHANGE 3 Month 0.28 0.26 0.02 2 Year 0.76 0.58 0.18 3 Year 0.88 0.69 0.19 5 Year 1.15 1.00 0.15 7 Year 1.42 1.28 0.14 10 Year 1.60 1.47 0.13 30 Year 2.32 2.29 0.03 ECONOMIC INDICATOR CURRENT RELEASE PRIOR RELEASE ONE • Trade Balance (40.7) $Bin AUG 16 (39.5) $Bln JUL 16 (44.6) $Bln AUG 15 GDP 1A%JUN 16 0.8% MAR 16 2.6%JUN 15 Unemployment Rate 5.0%SEP 16 4.9%AUG 16 5.1%SEP 15 Prime Rate 3.5%SEP 16 3.5%AUG 16 3.25% SEP 15 CRB Index 186.31 SEP 16 180.21 AUG 16 193.76 SEP 15 Oil (West Texas Int.) $48.24 SEP 16 $44.70 AUG 16 $45.09 SEP 15 Consumer Price Index(y/o/y) 1.1%AUG 16 0.8%JUL 16 0.2%AUG 15 Producer Price Index(y/o/y) (2.1%)AUG 16 (2.2%)JUL 16 (3.1%)AUG 15 Dollar/EURO 1.12 SEP 16 1.12 AUG 16 1.12 SEP 15 3 C/" CHANDLER ASSET MANAGEMENT Performance Attribution Long-Term Portfolio The long-term portfolio produced positive returns during the quarter, both on an absolute and relative basis. The quarterly return for the long-term portfolio was 0.06% versus (0.07%)for the Bank of America Merrill Lynch 1-5 Year AAA-A US Corporate and Government Index. The primary driver of the positive performance differentiation of the portfolio was the term structure positioning of the portfolio. Notably, the portfolio remained underweight in the one to three year maturity range, adding to results as the yield curve re-priced post the large flight to quality in the market after the Brexit vote in late June. During the quarter the Chandler team added several new securities to the portfolio in the Asset Backed, Supranational, Negotiable CD, and Corporate sectors of the market. Changes in regulation related to prime money market funds led to some dislocation in short maturity non Treasury securities and the team took advantage via adding a Negotiable CD position and several ABS securities. The team continues to find the Supranational sector attractive relative to the Agency sector and will look to opportunistically increase exposure. The overall duration of the portfolio remains modestly below the benchmark as Chandler maintains the view the Federal Reserve will tighten policy in December. As the market prices in a higher probability of a tightening the team will look to close the duration gap versus the benchmark. Liquid Portfolio The Liquidity portfolio matched the return of the three month Treasury Bill benchmark during the quarter, generating a return of 0.10%. The portfolio experienced heavy negative cash flows with the net portfolio value shrinking to $57.9 million versus $139.4 million at the end of the prior quarter. Despite the contracting portfolio size the team still purchased many securities across the Treasury, Agency, Commercial Paper, and Corporate sectors of the market of optimize the structure of the portfolio. Similar to prior quarters the Chandler team continues to focus on positioning the portfolio to out-yield the benchmark after taking into account forecasted liquidity needs. 4 C/" CHANDLER ASSET MANAGEMENT Economic Outlook Risk market performance was solid in the third quarter as economic data was generally favorable and market participants looked past the long-term implications of the Brexit vote in late June. Both the S&P 500 and NASDAQ composite were up just over 6.0% YTD through the end of September, compared to a total return of 2.7% and -3.3% YTD at the end of June 2016. Treasury yields also moved higher, with the two year note moving higher by 0.18%, the five year by 0.15%, and the ten year by 0.13%. Commodity prices continued to stabilize with Oil (West Texas Intermediate)trading in a relatively tight range centered around $47 per barrel during the quarter. Despite the continued global rhetoric on production cuts to support the price of oil the Chandler team maintains the view the price will remain range bound. Looking out over an intermediate time horizon prices are unlikely to touch the lows from earlier in the year, and also unlikely to break out above $60 per barrel. Developed market central bank policy differentiation is likely to remain a theme in the markets over the coming year. The Federal Reserve's recently released Summary of Economic Projections continues to forecast a terminal Fed Funds rate much higher than current market expectations. Chandler anticipates the Federal Reserve and market forecast will gradually converge, with the Federal Reserve forecast adjusting by a greater amount. Sovereign bond yields abroad, particularly in Germany and Japan, remain exceptionally low, and negative in many maturities. The low and negative rates abroad will serve to put a cap on the ability of the US Treasury market interest rates to adjust materially higher. We expect the dollar to strengthen over the coming year, which will serve as a de facto tightening of policy, and further expect the terminal Fed Funds rate to settle in above 1.00%, but well below the 3.00% Federal Reserve forecast as of September 2016. The markets are likely to remain volatile as the US Presidential cycle winds down and investors consider the ability of fiscal spending to take a more prominent role in the domestic economic recovery with the new administration and a divided Congress. Chandler anticipates risk market performance will remain generally positive as investors continue to search for yield across asset classes. Treasury yields should continue to be under pressure, and move higher, but not by a dramatic amount as the Federal Reserve will be constrained in its ability to tighten traditional monetary policy due to the aforementioned global influences. Strategy Strategy highlights for the Long-Term Portfolio in coming months: • Continue to optimize the overall term structure positioning of the portfolio by remaining underweight portions of the yield curve most exposed to re-pricing post a December monetary policy tightening by the Federal Reserve. • Opportunistically increase the Corporate and Supranational exposure to enhance the total return opportunity of the strategy. • Continue to take advantage of market dislocations to enhance the total return opportunity of the portfolio. The team will pay particular attention to the evolution of the Commercial Paper market post the change in Money Market Fund regulation in mid- October 2016. 5 C/" CHANDLER ASSET MANAGEMENT Strategy highlights for the Liquidity Portfolio in coming months: • Continue to ladder the Agency discount note and Treasury exposure to correspond to upcoming liquidity needs. • Periodically add to the Corporate exposure of the portfolio between maturities of six months to a year, where the additional spread to the Treasury curve is compelling. • Maintain a dedicated exposure to the Treasury sector of close to 20% on an ongoing basis. 6 C/" CHANDLER ASSET MANAGEMENT Compliance Issues CAS Orange County Sanitation District Long Term Septamber30,2016 COMPLIANCE WITH INVESTMENT POLICY Assets managed by Chandler Asset Management are in full compliance wth State lawand war the investmentpo4sy Category Standard Comment Treasury DA.. 5 yeam matlmun maturity Complies' Supomational "AA-or better by l of3 NRSROs; 30%maximum; 5%max issuer, 5years maturity; Complies Ircludes only ADB.IBM,and FC per COC U.S.Agencies 20%max issuer; 5 ram maximum maturity Complies U.S.Corporate(MTNS) "A'or better brg teml reEig by 1 of 3 NRSROs; 30%maximum;5%max issuer, 5 Complies are max maur Municipal Securldes "A'or higher by l of 3 NRSROS;10%maximum: 5%max issuer, 5 years maxinxm Complies maturity Asset Backed/CMOs/ "As'or better by l of 3 NRSROs; "A"or higher issuer citing by l of 3 NRSROs; 20% Complies* Mo a .backed m; 5%may,issuer(DAkuling MBS/ MA enc ;5 yeards max maturity Negotaba,CDs "A"or better on its dog wml debt by l of 3 NRSRCs; 'A11P1'or Nghest sllorttenm Complies ratings by 1 of3 NRSROs; 30%maximum;5%maxissuer, 5 years Max maturity CDSITDS 5%maxissuec 5yaarsmaxmaturity Complies Bankers Acceptances A-1,orequivalenthighestsMdtemlmIMbyl W3NRSR ; 40%maximun; 5% Complies Max issuer,180 d.W Max Wty Commercial Paper A-1,Or equivalent by 1 of3 NRSRO$ 'A'or better by l of3 NRSROs,iflogMm Complies deblissued' 25%maximum' 5%maxissuer' 270daysmaxmatunty Morey Market Fund Highestm61gby2of3NRSR0s; 20%lreximum;10%maxissuer Complies Repurchase Agreemens 102%collatemlimbon Complies Reverse Repurchase 5%maximum,90 days max maturity COmPI105 Agreements LAIF Not used byi AestmeM adviser Complies Avg Duration Nottoexce A160mon0ce - (80%b120%ofMabenclvrerk) Complies Maximurn Maturity 15 years maximum maturity, Complies• `the IArAM1 oeAty-hur(24)aecuAlles Ash maNnnes greetertlen 5 years lndAng one(1)ADS.Ale(5)CMOs,aews A(17)MISS as me(1)treeeury. All exuitiaswere InhoMe fi iMmm mmana andmmgladMlimaNwmhase. C/" CHANDLER ASSET MANAGEMENT C/" Orange County Sanitation District Liquid September 30,2016 COMPLIANCEe Assets managed by Chandler Asset Management am in full compliance with State lawand alth the investment policy Category Standard Comment Treasury Issues l year maximum maturity, Minimum allocation of 10% Complies Supranational "AA"or better by l of 3 NRSROs; 30%maximum; 5%max issuer; lyear Complies maturity; Includes a*. IADB,FIRD,and IFC per CGC U.S.Agencies 20%max issuer, l year maximum maturity Complies' U.S.Corporate(MTNs) "A"or better long term rating by 1 of 3 NRSROs;30%maximum;5%max issuer, Complies 1 war max maturity Asset Backed/CMOs "AA"or better by l of 3 NRSROs: "A"or higher issuer rating by l of 3 NRSROs; Complies 20%maxi mum; 5%max issuer, 1 year max maturity Negotiable CDs "A"orbetter on its long term debt by l of 3 NRSROs; "A1/P1"or highest shod Complies term ratings by 1 of 3 NRSROs; 30%maximum;5%max issuer;1 year max maturity CDs/TDS 5%max issuer; l year max matuity Complies Bankers Acceptances A-1,or equivalent short term rating by l of 3 NRSROS; 40%maximum; 5%max Complies issuer,180 days max maturity Commercial Paper A-1,or equivalent by l of3 NRSROS; "A"or better by l of 3 NRSROs,if long Complies term debt issued; 25%maximum; 5%max issuer, 270 days max maturity Money Market Fund Highest rating b 2of3 NRSROs' 20%maximum;10%maxissuer Complies Repurchase Agreements 102%collateralization Complies Reverse Repurchase 5%maximum,90 days max maturity Complies Agreements LAIF Not used by investment adviser Complies Prohibited Municipal Securities Complies Prohibited Mortgage Securities Complies Avg Duration Notto exceed 180 days; Max duration of 112 year Complies Maximum Maturity 1 year maximum maturity Complies 'Complies in the aggregate portfolio;Liquidity pmiblio has 24%max issuer concentration on Federel Natiorel Mortgage Axeoc(FNMAs). C/" CHANDLER ASSET MANAGEMENT C/" OCSD Lehman Exposure September 30,2016 COMPLIANCE WITH INVESTMENT POLICY Assets mane ed by Chandler Asset Management are in full com fiance dsh State lawand won the investment olic Category Standard Comment Treasury Issues 5 years maximum maturity Complies Supranatloral "AA"or better by l of 3 NRSROs; 30%maximum; 5%max 5years Complies maturity; Includes ori ADB,IBRD,and IFC per CGC U.S.Atiencies 20%max issuer 5 were maximum maturity Complies U.S.Corporate(MTNs) "A"or better long tens rating by 1 of 3 NRSROs; 30%maximum;5%max Complies" issuer' 5yeam max maturity Municipal Securities "A"or higher by l of 3 NRSRGS;10%maximum; 5%max issuer; 5years Complies maximum maturity Asset Backed/CMOs/ "AA"or better by l of 3 NRSROs; "A"or higher issuer rating by 1 of 3 Complies Mortgage-backed Ni 20%maximum; 5%max issuer(excluding MBS/gout agency);5 years max maturity, Negotiable CDs "A"or better on its long teem debt by l of 3 NRSROs; "A1/P1"or highest Complies short teml ratings by l of 3 NRSR0% 30%maximum;5%max issuer; 5 years max maturity CDs/TDS 5%max issuer 5 years max maturity Complies Bankers Acceptances A-1,or equivalent highest short tens rating by l of 3 NRSROS; 40% Complies maximum; 5%max issuer'180 days max maturity Commercial Paper A-1,or equivalent by l of 3 NRSROS; "A"or better by l of 3 NRSROs,if Complies long tern debt issued; 25%maximum; 5%max issuer, 270 days max maturity Money Market Fund Highest harm by 2of 3 NRSROs' 20%maximum;10%max issuer Complies Repurchase A reements 102%collatemliention complies Reverse Repurchase 5%maximum,90 days max maturity Complies Agreements LAF Not wed by imrestmeMadviser Complies Aw Duration Not to exceed 60 months - 80%to 120%ofthe benchmark Complies Maximum Maturity 5 years maximum maturity complies AccomR holds$2 million face slue(cusip S25ESWY6)ant$600,000 face slue(cusip 52SESC1K)ddefaulted Lehman area Holdings that were purchased by the prewus manager. Cwnplied at time of purchase. 9 C/" CHANDLER ASSET MANAGEMENT Defaulted Bonds CAROCSDLehman exposure Holdings Report Aacaunl p1=34 AsJ9/0116 W aRoNseam AHOPNTM Bn BMhesimOpenposllon 808410 11.1.1 are.1e 0Q ..n 1113% NRINM OD] LoN Emomrt OW% sF.2 a 0W% 000 {33.151) MR OD] Due9=018 R,BQ.N M/M.03 qAt% ..I.R On ]ahl Camon Slod BNBMA NIR Q'BQ.Ba BM% BAB 021.MR) N0. B.N IR W Men MTe 535ESCIB] L.. BMBn 50 e.NdbD..I.d 8 .05000 Osns.s Me 3] ]BB Q 3500n 3051% MR INR 033 Dw1=7 OW% 5.ss 37 0M% 000 {3155]53]) MR OW 525E5Cns6 L.. Bnge¢N..Debdied 2.0w.0f0.00 Os..s 11A0s]5s ]BB 157,5W 00 8637% RW mIDy/ 1 0.1 0M% 000 0i ,.1.) anOAO Mesa... xµle•.Be eanx ss. Oµ.. B.al.eg.slMR Rea B,aB,1q.0 23L3n.Ol WTALFORIMOLO ;aµcaL. 1.s51g.a• B.m,n0.a1MR E PLUs ALL uEB xa,ln.0a 10 OIL CHANDLER ASSET MANAGEMENT Ratings Orange County Sanitation District Long Tenn September 30,2018 vs. Jung 30,2015 rmm mm eem eo.w amR om uw u a .n xx � Rame ■ save AM AA A A MR N0111 133% ae.2% 10.0% 3.4% 51% WNWIs 11.114 )1]% 99% Se% l0% Orange County Sanitation District Liquid Jun.30,2016 ve. March 31,2016 imw mow mow wow mow ow nu en a .• xx ■ Wavle ■ come AM M A <A RR ea0na e1.6% 2s2% 6.1% 0.0% 00% mime 41.3% 07.6% 9.3% 0.0% 18% Bouio'.BfPwtlN. t1 C/" CHANDLER ASSET MANAGEMENT OCSD Investment Program Quarter End Portfolio Value $600,000,000 Liquid Operating Monies $500,000,000 •Long-Term Operating Monies $400,000,000 $300,000,0DD $200,000,000 $100,000,000 $- Q Q HISTORICAL YIELD CURVE 4.00% �-s p 2016 —AUG 2011 3.00% SEP2015 _________________________________________________________ 2.00% _______________________________ ___________________ ------- 2.32%- 0 1.60% 1.42% 1.00% _______ - 1.15%____________________________________________________ 0.43% 0.88% 0.76 0.28% 111 0.00% 701, 12 C/" I Orange County Sanitation District Liquid Portfolio Summary Account#10282 As of 9/30/2016 IN Beg.Values End Values Issuer % Portfolio Average Duration 0.10 as of 8131116 as of 9130116 Federal National Mortgage Assoc 24.4 Average Coupon 0.88% Market Value 57,776,948 57,855,563 Federal Home Loan Bank 19.7 Average Purchase YTM 0.45% Accrued Interest 193,924 133,291 Federal Home Loan Mortgage Corp 10.8 Average Market YTM 0.51 % Total Market Value 57,970,872 57,988,854 9 Government of United States 10.4 Average S&P/Moody Rating AA+/Aai Income Earned 29,668 24,282 Drefus Treasury Money Market Fu 9.1 Average Final Maturity 0.11 yrs Cont/ND 0 Pepsico Inc 2.6 Average Life 0.08 yrs Par 57,713,858 57,818,222 Bank of Tokyo-Mit UFJ 2.2 Book Value 57,774,927 57,859,842 Eli Lilly 8 Cc 1.8 Cost Value 57,842,676 57,919,793 80 9 • - • • MATURITY DISTRIBUTION CREDIT 100% AAA Commercial 870°:a (52a%) Money -Paper Market (5.7%) 80% Fund FI (9.1 %) 6096 us Coryorate 40% (20.0%) 20% Agency as% AA (54.8%) US 3.5% (32A%) Treasury % (10.4%) I 0.35 .25..5 .5,1 1.1.5 1.5.2 2.2.5 2.5.3 Y A Maturity(Yrs) (14.8%) Total Rate of Return Current Latest Year Annualized Since As of 9/30/2016 Month 3 Months To Date 1 Yr 3 Yrs 5 Yrs 10 Yrs 11/30/2014 11/30/2014 Orange County Sanitation District Liquid 0.03% 0A0% 0.36% 0.41 % N/A N/A N/A 0.32% 0.59% BAML 3-Month US Treasury Bill Index 0.05% 0.10% 0.24% 0.27% N/A N/A N/A 0.16% 0.30 Chandler Aw Management-CONFIDENTIAL P...1 E..c .n Time:1091201610:47:22 AM GILI Orange County Sanitation District Long Term Portfolio Summary Account#10268 As of 9/30/2016 Is Beg.Values End Values Issuer % Portfolio Average Duration 2.38 as of 8131116 as of 9130116 Government of United States 25.6 Average Coupon 1.61 % Market Value 324,365,669 324,974,281 Federal National Mortgage Assoc 12.1 Average Purchase YTM 1.48% Accrued Interest 1,139,979 975,605 Federal Home Loan Bank 9.4 Average Market YTM 1.05% Total Market Value 325,505,648 325,949,886 9 Fedeml Home Loan Mortgage Corp 9.2 Average S&P/Moody Rating AA+/Aa1 Income Earned 393,830 393,148 Inter-American Dev Bank 2.6 Average Final Maturity 2.80 yrs COnt/WD -15,999 John Deere ABS 2.6% Average Life 2.47 yrs Par 319,552,770 320,129,636 JP Morgan ABS 2.0 Book Value 320,377,638 320,927,042 Bank of Tokyo-Mit UFJ 2.0 Cost Value 321,581,440 322,156,483 65.5% • - • • MATURITY DISTRIBUTION CREDIT us Mortgage AA Corporate Pass 30% 273% 6g,2%) (22.0%) Thru Commercial (0.7%) 25% Paper US (3.6%) Treasury 20Y 19.5% Municipal (25.6%) J6.3% 16.0% 16.0% Bonds (1.5%) Negotiable 16% Money CD Market (1.3%) 10% BBB (3A%) Fund Suprenational •.•% CMO (5.7%) 5% NR (1.0%) (5.1%) ABS Agency s-.zs ss-s s-1 1-2 z-s 3-4 4-5 s. AAA A (9.0%) (29.3%) Maturity(Yrs) (15.3%) (10.0%) PERFORMANCE Total Rate of Return Current Latest Year Annualized Sinu As of 9/30/2016 Month 3 Months To Date 1 Yr 3 Ym 5 Yrs 10 Yrs 11/30/2014 11/30/2014 Orange County Sanitation District Long Term OA4% 0.06% 2.33% 2.00% N/A N/A N/A 1.61 % 2.98% BAML 1-5 Yr US Corporate/Govt Rated AAA-A Index OAS% -0.07% 2.38% 1.81 % N/A N/A N/A 1.70% 3.15% BAML US 1-5 Yr US Corp/Govt Rated AAA-BBB Index 0.15% 0.05% 2.66% 2.10% N/A N/A N/A 1.81 % 3.35% Chandler Asset Management-CONFIDENTIAL Page 1 Execuaon Time:10/71201610:47:08 AM Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund September 30, 2016 Par Value Book Value Market Value Rate Yield Balance September 1, 2016 $38,772,556 $38,772,556 $38,772,556 0.63 0.63 Deposits: Total Deposits 0 0 0 0.63 0.63 Quarterly Interest Distribution 0.63 0.63 Withdrawals: 9/2/2016 (700,000) (700,000) (700,000) 0.63 0.63 9/9/2016 (5,200,000) (5,200,000) (5,200,000) 0.63 0.63 9/1 412 01 6 (2,800,000) (2,800,000) (2,800,000) 0.63 0.63 911 612 01 6 (400,000) (400,000) (400,000) 0.63 0.63 912 212 01 6 (4,900,000) (4,900,000) (4,900,000) 0.63 0.63 9/2 812 01 6 (3,100,000) (3,100,000) (3,100,000) 0.63 0.63 912 912 01 6 (3,000,000) (3,000,000) (3,000,000) 0.63 0.63 Total Withdrawals (20,100,000) (20,100,000) (20,100,000) 0.63 0.63 Balance September 30, 2016 $18,672,556 $18,672,556 $18,672,556 0.63 0.63 Asset Summary Report ID: GL8251 Base Currency: FIND BNY MELLON by Asset Type with Sectors Alternate Base Currency: Exchange Rate: OCS LIQ OF CHANDLER-OCSF07511102 9 30 2016 Status: FINAL Net Unrealized Cost Market Value % of Gain/Loss Description Shares Par Base Base Total Base CASH&CASH EQUIVALENTS U.S. DOLLAR COMMERCIAL PAPER-DISCOUNT 3,290,000.000 3,282,153.27 3,282,153.27 5.66% 0.00 FEDERAL HOME LOAN BANK- 1 YR OR LESS 11,400,000.000 11,398,131.48 11,398,131.49 19.66% 0.00 FEDERAL HOME LOAN MORTGAGES- 1 YR OR LESS 3,000,000.000 2,999,531.25 2,999,531.25 5.17% 0.00 FNMA ISSUES- 1 YR OR LESS 10,000,000.000 9,991,841.67 9,991,841.67 17.23% 0.00 SHORT TERM INVESTMENT FUNDS(US REGULATED) 5,266,222,230 5,266,222.23 5,266,222.23 9.08% 0.00 INTEREST 146,777.01 146,777.01 0.25% 0.00 U.S.DOLLAR 32,956,222.230 33,084,656.91 33,084,656.91 57.05% 0.00 CASH&CASH EQUTVALENTS 32,956,222.230 33,084,656.91 33,084,656.91 57.05% 0.00 FDIED INCOME SECURITIES U.S.DOLLAR BANKING&FINANCE 6,000,000.000 6,029,770.00 6,008,000.00 10.36% -21,770.00 FOOD BEVERAGE&TOBACCO 1,500,000.000 1,501,765.00 1,500,540.00 2.59% -1,225.00 HEALTH CARE 1,000,000,000 1,027,930.00 1,018,860.00 1.76% -9,070.00 TECHNOLOGY 2,000,000.000 2,005,060.00 2,001,200.00 3.45% -3,860.00 US AGENCIES 7,362,000.000 7,381,543.92 7,367,264.43 12.70% -14,279.49 US GOVERNMENTS 6,000,000.000 6,033,184.16 6,008,370.00 10.36% -24,814.16 UTILITY-TELEPHONE 1,000,000.000 1,002,660.00 1,000,400.00 1.73% -2,260.00 U.S. DOLLAR 24,862,000.000 24,981,913.08 24,904,634.43 42.95% .77,278.65 FIXED INCOME SECURITIES 24,862,000.0o0 24,991,913.08 24,904,634.43 42.95% -77,278.65 TOTAL ASSETS-BASE: 57,818,222.230 58,066,569.99 57,989,291.34 100.00% -77,278.65 10/17/2016 6:52:49PM EDT 1 Workbench Asset Summary Report ID: GL8251 Base Currency: USD BNY MELLON by Asset Type with Sectors Alternate Base Currency: Exchange Rate: OCS LONG CHANDLER-OCSF07522202 9 30 2016 Status: FINAL Net Unrealized Cost Market Value % of Gain/Loss Description Shares Par Base Base Total Base CASH&CASH EQUIVALENTS U.S. DOLLAR CASH EQUIVALENTS 60,641.490 93,294.59 25,621.03 0.01% -67,673.56 CERTIFICATES OF DEPOSIT-U.S. 4,075,000.000 4,075,000.00 4,075,000.00 1.25% 0.00 COMMERCIAL PAPER-DISCOUNT 11,630,000.000 11,591,907.08 11,591,907.08 3.55% 0.00 SHORT TERM INVESTMENT FUNDS(US REGULATED) 1,841,293.620 1,841,293.62 1,841,283.62 0.56% 0.00 CASH -607.28 -607.28 0.00% 0.00 PENDING TRADES 18.62 1&62 0.00% 0.00 INTEREST 1,022,753.89 1,022,753.89 0.31% 0.00 U.B.DOLLAR 17,606,925.110 18,623,650.52 18,555,976.96 5.69% -67,673.56 CASH&CASH EQUIVALENTS 17,606,925.110 19,623,650.52 18,555,976.96 5.69% -67,673.56 FIXED INCOME SECURITIES U.S.DOLLAR ADS-CAR LOANS 14,041,761.510 14,034,903.19 14,048,944.26 4.31% 14,041.07 ASS-CREDIT CARDS 6,640,000,000 6,638,764.23 6,640,970.20 2.04% 2,205.97 ADS-EQUIPMENT 8,355,493.720 8,356,316.41 8,358,717.43 2.56% 2,401.02 ASS-HOME EQUITY 133,743.290 100,432.85 125,690.61 0.04% 25,257.76 ABS-SMALL BUSINESS ADMINISTRATION 70,644.450 70,644.45 75,478.65 0.02% 4,834.20 ADS-STUDENT LOANS 37,851.810 37,698.24 37,935.46 0.01% 237.22 BANKING&FINANCE 39,370,000.000 40,291,126.86 38,395,871.40 11.77% -1,895,255.46 CAPITAL GOODS 5,000,000.000 5,014,950.00 5,126,050.00 1.57% 111,100.00 FHLMC MULTICLASS 1,978,607.100 2,166,093.97 2,244,214.30 0.69% 78,120.33 FHLMC POOLS 2,476.400 2,416.06 2,560.35 0.00% 144.29 FNMA POOLS 1,710,221.170 1,787,039.87 1,875,502.03 0.57% 88,462.16 FNMA REMIC 404,207.960 402,132.36 407,242.56 0.12% 5,110.20 GNMA MULTI FAMILY POOLS 243,698,070 243,780.87 252,982.10 0.08% 9,201.23 GNMA REMIC 35,255.800 35,255.80 35,431.73 0.01% 175.93 HEALTHCARE 4,000,000,000 4,009,675.00 4,069,160.00 1.25% 59,485.00 OIL&GAS 9,500,000.000 9,476,387.40 9,611,580.00 2.95% 135,192.60 SUPRANATIONAL ISSUES 18,500,000,000 18,621,825.00 18,598,535.00 5.70% -23,290.00 TAXABLE MUNICIPALS 4,240,000.000 4,307,633.89 4,735,090.00 1.45% 427,456.11 TECHNOLOGY 14,045,000.000 14,095,700.55 14,247,335.95 4.37% 151,635.40 10/17/2016 6:54:52PM EDT 1 Workbench Asset Summary Report ID: GL8251 Base Currency: USD BNY MELLON by Asset Type with Sectors Alternate Base Currency: Exchange Rate: OCS LONG CHANDLER-OCSF07522202 9 30 2016 Status: FINAL Net Unrealized Cost Market Value % of Gain/Loss Description Shares Par Base Base Total Base U.S.TIPS 10,540,816,000 10,423,531.89 10,694,711.91 3.28% 271,180.02 US AGENCIES 94,363,000.000 94,234,941.40 95,127,625.55 29.16% 892,684.15 US GOVERNMENTS 71,550,000,000 71,479,358.33 72,516,728.50 22.23% 1,037,370.17 WHOLE LOAN-CMO-COLLATERALIZED MTG OBLIG 418,964.850 418,962.95 419,044.45 0.13% 81.50 U.S.DOLLAR 305,183,742.130 306,249,571.57 307,647,402.44 94.31% 1,397,830.87 FIRED INCOME SECURITIES 305,183,742.130 306,249,571.57 307,647,902.44 94.31% 1,397,830.87 TOTAL ASSETS-BASE: 322,790,667.240 324,873,222.09 326,203,379.40 100.00% 1,330,167.31 1011712016 6:54:52PM EDT 2 Workbench Asset Summary Report M: GL8251 Base Currency: USD BNY MELLON by Asset Type with Sectors Alternate Base Currency: Exchange Rate: BSCROWACCOURT-OCSFOT555502 9 30 2016 Status: FINAL Net Unrealized Cost Market Value % of Gain/Loss Description Shares Par Base Base Total Base FIXED INCOME SECURITIES U.B. DOLLAR US GOVERNMENTS 3,594,000.000 3,603,596.33 3,594,000.00 100.00% -9,596,33 TOTAL ASSETS-BASE: 3,594,000.000 3,603,596.33 3,594,000.00 100.00% -9,696.33 1011712016 6:55:51PM EDT 1 Workbench Yield Analysis Report w: RAM23a Base Currency: BNY MELLON MSM7511102 9/30/2016 Liquid Oper-Pimco Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration CASH &TEMPORARY Sum of Account Receivables 0.00 SUMRECV 146,777 AGENCY 10,700,000.00 FEDERAL HOME LN BK CONS DISC 0.19 A. 99.96 10,698,170 32.47 0.03 313384K40 10/12/2016 10,698,170 18.45 700,000.00 FEDERAL HOME LN BK CONS DICS N 0.20 A. 100.00 699,961 2.12 0.01 3133W59 10/05/16 699,961 1.21 3,000,000.00 FEDERAL HOME LN MM CORP DISC 0.21 A. 99.99 2,999,531 9.10 0.03 313396K36 0.000% 10/11/2016 DO 10/13/15 2,999,531 5.17 CERTIFICATES OF DEPOSIT 10,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT 0.90 A. 99.99 9,991,842 30.32 0.04 3135881,37 MAT 10/19/2016 9,991,842 17.23 COMMERCNL PAPER 1,000,000.00 TOYOTA MTR CR CP DISC 0.63 P-1 99.99 999,582 3.03 0.03 89233GKC9 10/12/2016 999,582 1.72 1,290,000.00 BANK TOKYO-MITSUB DISC 0.74 0.74 P-1 99.75 1,286,818 3.91 0.34 06538BKS1 10/26/2016 1,286,818 2.22 1,000,000.00 COOPERAT CENT DISC 0.84 0.84 P-1 99.59 995,753 3.02 0.50 21687AMK6 12/19/2016 995,753 1.72 OTHER 5,266,222.23 DREYFUS TREAS&AGY CSH CSH MG - Asa 5,266,222 15.98 0.08 996085247 VAR RT 12/31/2049 DO 04/09/97 5,266,222 9.08 1011712016 4:04:45PM FAT 1 Source:The Bad::of New York Mellon CoMom6on Yield Analysis Report ID: RAM234 Base Currency: USD BNY MELLON MSM7511102 9/30/2016 ugald Oper P1. Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration TOTAL:CASH It TEMPORARY 0.51 0.07 32,937,880 100.00 0.07 33,084,657 FIXED INCOME AGENCIES&OTHER OOW GEL 3,225,000.00 FEDERAL HOME LN MTG CORP 0.44 0.87 Asa 100.02 3,229,248 12.88 0.04 3137EADS5 0.875% 10/14/2016 DD 08/16/13 3,225,548 5.56 4,137,000.00 FEDERAL NATL MTG ASSN 0.46 1.37 Aaa 100.11 4,152,296 16.54 0.13 3135GOES8 1.375% 11/15/2016 DD 10/20/11 4,141,716 7.14 BANKS&FINANCE 1,000,000.00 JOHN DEERE CAPITAL CORP 0.95 1.05 A2 100.00 1,001,070 3.99 0.03 24422ESD2 1.050% 10/11/2016 DD 10/11/13 1,000,030 1.72 1,000,000.00 AMERICAN HONDA FINANCE CORP 1.07 1.12 Al 100.00 1,001,660 3.99 0.02 02665WAB7 1.125% 10/07/2016 DO 10/10/13 1,000,010 1.72 1,000,000.00 JPMORGAN CHASE&CO 1.22 1.35 A3 100.05 1,000,470 4.00 0.37 46623EJY6 1.350%02/15/2017 DD 02/18/14 1,000,480 1.73 1,000,000.00 WELLS FARGO&CO 1.38 2.09 A2 100.43 1,008,550 4.01 0.60 94974BFD7 2.100%05/08/2017 DD 05/07/12 1,004,320 1.73 1,000,000.00 BANK OF NEW YORK MELLON CORP/T 1.45 2.39 Al 100.28 1,008,120 4.01 0.25 06406HCAS 2.400%01/17/2017 DO 11/23/11 1,002,800 1.73 1,000,000.00 US BANCORP 1.90 2.20 Al 100.04 1,009,900 4.00 0.12 91159HHB9 2.200% 11/15/2016 DD 11/03/11 1,000,360 1.73 INDUSTRLIL6 1,000,000.00 APPLE INC 0.85 1.05 Aal 100.12 1,002,590 4.00 0.59 037833AM2 1.050%05/05/2017 DD 05/06/14 1,001,200 1.73 1011712016 4:04:45PM EDT 2 Source:The BUNG of New York Mellon CoMomdon Yield Analysis Report ID: RAM234 Base Currency: USD BNY MELLON MSM7511102 9/30/2016 Liquid Oper R. Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration 1,500,000.00 PEPSICO INC 0.86 0.95 Al 1W04 1,501,765 5.99 0.39 713448CLO 0.950%02/22/2017 DO 02/28/14 1,500,540 2.59 1,000,000.00 CISCO SYSTEMS INC 1.01 1.10 Al 100.04 1,002,660 4.00 0.42 17275RAT9 1.100%03/03/2017 DD 03/03/14 1,000,400 1.73 1,000,000.00 ELI MLLY&CO 1.06 5.10 A2 101.89 1,027,930 4.07 0.46 532457BB3 5.200%03/15/2017 DD 03/14/07 1,019,860 1.76 1,000,000.00 INTEL CORP 1.94 1.95 Al 100.00 1,002,470 3.99 0.00 458140AR3 1.950% 10/01/2016 DO 09/19/11 1,000,000 1.72 TREASURIES 3,000,000.00 U S TREASURY NOTE 0.22 0.62 A. 100.05 3,003,291 11.99 0.13 912828WF3 0.625% 11/15/2016 DD 11/15/13 3,001,530 5.18 3,000,000.00 U S TREASURY NOTE 0.41 3A2 A. 100.23 3,029,893 12.01 0.08 912828LU2 3.125% 10/31/2016 DD 10/31/09 3,006,840 5,19 TOTAL:FIRED INCOME 0.77 1.63 24,981,913 100.00 0.19 24,904,634 TOTAL:Liquid Oper.Hosea 0.64 0.S5 $7,919,793 100.00 0.12 57,999,291 1011712016 4:04:45PM EDT 3 Source:The Bad::of New York Mellon CoMomdon Yield Analysis Report w: RAM23a Base Currency: BNY MELLON MSM7522202 9/30/2016 Long Term Oper-Plmco Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration CASH &TEMPORARY Sum of Account Receivables 0.00 SUMRECV 1,022,773 CERTIFICATES OF DEPOSIT 4,075,000.00 TORONTO DOMINION BANK C/D 1.13 1.19 - 100.03 4,075,000 23.20 0.45 89113WHP6 1.190%03/13/2017 DO 08/23/16 4,075,000 1.25 COMMERCW PAPER 6,630,000.00 BANK TOKYO-MnSUB DISC 0.74 074 P-1 99.75 6,613,646 37.65 0.34 06538BKS1 10/26/2016 6,613,646 2.03 5,000,000.00 TOYOTA MTR CR CP DISC 4.83 P-1 99.42 4,978,261 28.34 0.13 89233GW3 11/18/2016 4,978,261 1.53 OTHER 60,641.49 SLH PROXY LONG EXPOSURE - - 93,295 0.15 - 99VVAEU30 SLHOPNTA4 25,621 0.01 1,841,283.62 DREYPUS TREAS&AGY CSH CSH MG - Asa 1,841,294 10.48 0.08 996085247 VAR RT 12/31/2049 DD 04/09/97 1,841,294 0.56 US CASH 1.00 USD(UNITED STATES DOLLAR) - - 0 0.00 - NA9123459 GL PAYABLES RECEIVABLES 0 0.00 1.00 US CASH - - 0 0.00 - 999999USD GL PURE CASH -607 0.00 US CASH FUNDS 0.00 SHY MELLON CASH RESERVE 0.43 0.43 - 100.00 0 0.00 0.08 996087094 0.010% 12/31/2049 DO 06/26/97 0 0.00 1011712016 4:04:45PM EDT 4 Source:The BaN of New York Mellon CoMom6on Yield Analysis Report ID: RAM234 Base Currency: USD BNY MELLON MSM7522202 9/30/2016 Long Term Oper-Plmco Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration TOTAL:CASH It TEMPORARY 2.14 0.62 17,601,485 100.00 0.28 18,555,977 FIXED INCOME AGENCIES 6 OTHER OOVT GEL 5,000,000.00 FEDERAL HOME LN MTG CORP 0.40 0.50 Asa 100.03 4,991,050 1.62 0.32 3137EADU0 0.500%01/27/2017 DD 01/16/15 5,001,550 1.53 4,000,000.00 FEDERAL NATL MTG ASSN 0.46 1.37 Aaa 100.11 4,044,200 1.30 0.13 3135GOESS 1.375% 11/15/2016 DD 10/20/11 4,004,560 1.23 5,000,000.00 FEDERAL HOME LN BK CONS BD 0.62 1.00 A. 100.26 5,025,100 1.62 0.69 313379FW4 1.000%06/09/2017 DD 05/10/12 5,013,200 1.54 5,000,000.00 FEDERAL HOME LN MTG CORP 0.63 0.75 Asa 100.10 4,994,250 1.62 0.79 3137EADV8 0.750%07/14/2017 DD 05/29/15 5,004,850 1.53 5,000,000.00 FEDERAL HOME LN MTG CORP 0.77 0.75 Aaa 99.97 4,967,500 1.62 1.27 3137EADN6 0.750%01/12/2018 DO 11/21/12 4,998,550 1.53 7,500,000.00 FEDERAL HOME LN BK CONS BD 0.81 1.36 A. 100.82 7,544,850 2.45 1.43 313378A43 I.375%03/09/2018 DD 02/13/12 7,561,125 2.32 5,000,000.00 FEDERAL HOME LN MTG CORP 0.82 0.87 Asa 100.08 4,974,100 1.62 1.43 3137EADP1 0.875%03/07/2018 DD 01/17/13 5,003,900 1.53 5,000,000.00 FEDERAL NATL MTG ASSN 0.90 1.12 Ass 100.48 4,963,950 1.63 2.17 3135GOG72 1.125% 12/14/2018 DO 11/03/15 5,024,000 1.54 7,500,000.00 FEDERAL HOME LN BK CONS BD 0.96 1.48 Aaa 101.31 7,589,190 2.46 2.39 3133782M2 1.500%03/08/2019 DD 02/06/12 7,598,025 2.33 1011712016 4:04:45PM EDT 5 Source:The BaN of New York Mellon CoMomdon Yield Analysis Report ID: RAM234 Base Currency: USD BNY MELLON MSM7522202 9/30/2016 Long Term Oper-Plmco Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration 5,000,000.00 FEDERAL NATL MTG ASSN 1.00 1.71 Aaa 102A6 5,021,500 1.66 2.88 3135GOM1 1.750%09/12/2019 DD 07/28/14 5,108,100 1.57 7,500,000.00 FEDERAL HOME LN MTG CORP 1.01 1.24 A. 100.71 7,399,650 2.45 2.93 3137EADM8 1.250% 10/02/2019 DO 10/02/12 7,552,950 2.32 5,000,000.00 FEDERAL NATL MTG ASSN 1.08 L48 A. 101.53 4,955,650 1.64 3.62 3135GOD75 1.500%06/22/2020 DO 04/27/15 5,076,500 1.56 5,000,000.00 FEDERAL HOME LN BK CONS BD 1.11 1.71 Aen 102.32 5,008,950 1.66 3.57 313393HUS 1.750%06/12/2020 DD 06/03/13 5,115,800 1.57 7,500,000.00 FEDERAL NATL MTG ASSN 1.17 1.48 Aaa 101.35 7,370,726 2.46 4.03 3135GOF73 1.500% 11/30/2020 DO 10/19/15 7,600,950 2.33 10,000,000.00 FEDERAL NATL MTG ASSN 1.22 L37 A. 100.66 10,040,950 3.26 4.28 3135GOJ20 1.375%02/26/2021 DO 02/05/16 10,066,000 3.09 5,365,000.00 FEDERAL HOME LN BK CONS BD 1.23 1.37 Aaa 100.61 5,343,325 1.75 4.26 3130A7CVS 1.375%02/18/2021 DD 02/18/16 5,397,566 1.65 BARRB 4 Names 600,000.00 BANK OF AMERICA NA 1.01 1.20 Al 100.11 600,000 0.19 0.10 06050TLK8 VAR RT 05/08/2017 DO 05/08/14 600,672 0.18 500,000.00 WELLS FARGO BANK NA 1.14 1.11 As2 99.99 500,000 0.16 0.17 94988J2LO VAR RT 06/15/2017 DD 06/12/14 499,905 0.15 5,000,000.00 GENERAL ELECTRIC CO 1.41 2.15 Al 102.52 5,014,930 1.66 3.15 36962G7MO 2.200%01/09/2020 DO 01/09/15 5,126,050 1.57 5,000,000.00 JOHN DEERE CAPITAL CORP 1.46 2.25 A2 102.43 5,046,984 1.66 2.86 24422ESS9 2.300%09/16/2019 DO 09/15/14 5,121,250 1.57 1011712016 4:04:45PM EDT 6 Source:The BaN of New York Mellon CoMomdon Yield Analysis Report ID: RAM234 Base Currency: USD BNY MELLON MSM7522202 9/30/2016 Long Term Oper-Plmco Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration 2,120,000.00 BANK OF NEW YORK MELLON CORP/T 1.47 2.25 Al 102.37 2,142,175 0.50 2.85 06406HCW7 2.300%09/11/2019 DD 09/11/14 2,170,286 0.67 3,200,000.00 BEAR STEARNS COS LLC/THE 1.51 4.41 A3 105.42 3,523,520 1.09 1.68 073902CDB 4.650%07/02/2018 DO 06/25/03 3,373,504 1.03 2,900,000.00 AMERICAN EXPRESS CO 1.56 6A9 A3 107.87 3,377,386 1.01 1.41 025816AYS 7.000%03/19/2018 DD 03/19/08 3,129,114 0.96 3,000,000.00 HSBC USA INC 1.59 1.62 A2 100.06 3,003,290 0.97 1.27 40428HPH9 1.625%01/16/2018 DD 12/20/12 3,001,650 0.92 3,800,000.00 BANK OF AMERICA CORP 1.61 5.49 Baal 104.77 4,334,014 1.29 1.12 060505DP6 5.750% 12/01/2017 DD 12/04/07 3,981,412 1.22 600,000.00 GOLDMAN SACHS GROUP INC/THE 1.65 5.64 A3 103.50 692,806 0.21 1.25 381410FG4 5.950%01/18/2018 DD 01/18/08 633,024 0.19 2,000,000.00 JPMORGAN CHASE&CO 1.84 2.22 A3 101.31 1,994,880 0.66 3.18 46625HKA7 2.250%01/23/2020 DD 01/23/15 2,026,280 0.62 5,000,000.00 WELLS FARGO&CO 2.04 2.55 A2 102.03 5,001,650 1.65 3.61 94974BGM6 2.600%07/22/2020 DO 07/22/15 5,101,450 1.56 1,250,000.00 HSBC USA INC 2.09 2.33 A2 100.87 1,222,788 0.41 3.29 40428HPR7 2.350%03/05/2020 DO 03/05/15 1,260,850 0.39 2,800,000.00 MORGAN STANLEY 2.40 4.82 A3 114.05 3,200,848 1.03 4.28 61747WAL3 5.500%07/28/2021 DO 07/28/11 3,193,484 0.98 600,000.00 ESC LEHMAN BRTH HLD ESCROW - - 7.55 362,825 0.02 - 525ESCIB7 0.000% 11/24/2013 DO 01/22/08 47,250 0.01 2,000,000.00 LEHMAN BRTH HLD ESC - - 7.55 1,241,321 0.05 - 525ESCOY6 0.000% 12/30/2016 DD 10/24/05 157,500 0.05 1011712016 4:04:45PM EDT 7 Source:The Bw*of New York Mellon CoMomdon Yield Analysis Report ID: RAM234 Base Currency: USD BNY MELLON MSM7522202 9/30/2016 Long Term Oper-Pimco Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration CARDS 4,140,000.00 CHASE ISSUANCE TRUST A7 A7 0.63 1.06 - 100.02 4,139,643 1.34 0.04 161571HHO 1.060%09/16/2019 DD 09/13/16 4,140,745 1.27 2,500,000.00 CHASE ISSUANCE TRUST A8 A8 0.79 1.01 A. 100.01 2,499,121 0.81 0.04 161571GC2 1.010% 10/15/2018 DO 10/31/13 2,500,225 0.77 1,810,000.00 HONDA AUTO RECEIVABLES 20 2 A3 1.14 1.38 Aaa 100.43 1,809,965 0.59 1.69 43814QAC2 1.390%04/15/2020 DD 05/31/16 1,817,855 0.56 CARS 1,074,791.53 TOYOTA AUTO RECEIVABLES 2 A A3 0.87 0.67 Aaa 99.95 1,072,566 0.35 0.19 89231MAC9 0.670% 12/15/2017 DD 03/19/14 1,074,211 0.33 832,992.09 HONDA AUTO RECEIVABLES 20 2 A3 0.93 0.77 Asa 99.94 832,406 0.27 0.36 43814GAC4 0.770%03/19/2018 DO 05/21/14 832,501 0.26 2,565,000.00 HONDA AUTO RECEIVABLES 20 1 A2 0.96 L01 - 100.03 2,564,744 0.83 0.53 43814NAB1 1.010%06/18/2018 DO 02/25/16 2,565,718 0.79 1,080,063.49 TOYOTA AUTO RECEIVABLES C A2A 0.98 0.92 Aaa 99.99 1,079,977 0.35 0.20 89231TAB6 0.920%02/15/2018 DD 08/26/15 1,079,945 0.33 3,595,000.00 TOYOTA AUTO RECEIVABLES 2 A A3 1.01 1.12 Asa 100.07 3,594,456 1.17 0.74 89236WAC2 1.120%02/15/2019 DD 03/04/15 3,597,624 1.10 2,085,000.00 NISSAN AUTO RECEIVABLES C A2A 1.17 1.07 A. 99.93 2,084,918 0.68 0.65 65478WAB1 1.070%05/15/2019 DO 08/10/16 2,083,624 0.64 998,914.40 HONDA AUTO RECEIVABLES 20 1 A3 1.38 0.67 Asa 99.86 995,871 0.32 0.21 43813JAC9 0.670% 11/21/2017 DD 02/27/14 997,466 0.31 EQUIPMENT LOANS 1011712016 4:04:45PM BUT 8 Source:The Bad::of New York Mellon CoMomdon Yield Analysis Report ID: RAM234 Base Currency: USD BNY MELLON MSM7522202 9/30/2016 Long Term Oper-Plmco Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration 2,955,493.72 JOHN DEERE OWNER TRUST 20 B A3 0.93 1.07 Aaa 100.04 2,956,879 0.96 0.30 477877AD6 1.070% 11/15/2018 DO 09/03/14 2,956,735 0.91 2,980,000.00 JOHN DEERE OWNER TRUST 20 B A2 1.11 1.09 Aaa 99.99 2,979,818 0.97 0.49 47788NAB4 1.090%02/15/2019 DD 07/27/16 2,979,732 0.91 2,420,000.00 JOHN DEERE OWNER TRUST 20 A A3 1.29 L36 Aaa 100.09 2,419,619 0.78 1.19 47788MAC4 1.360%04/15/2020 DD 03/02/16 2,422,251 0.74 FARIUE MAE REMIC 40,243.38 FNMA GTD REMIC P/T 07-114 A6 -134.94 0.40 Aaa 99.83 38,282 0.01 0.50 31396X3Q5 VAR RT 10/27/2037 DO 11/30/07 40,173 0.01 363,964.58 FNMA GTD REMIC P/T 11-3 FA 0.98 L 16 Aaa 100.85 363,851 0.12 -2.66 31397QRM VAR RT 02/25/2041 DD 01/25/11 367,069 0.11 FID.MC 2,476.40 FHLMC POOL#78-6064 1.53 2.64 Aaa 103.39 2,416 0.00 0.42 31348SWZ3 VAR RT 01/01/2028 DD 12/01/97 2,560 0.00 FNMA 34,410.55 FNMA POOL#0826090 1.37 4.49 Aaa 111.34 36,991 0.01 1.72 31407BXH7 5.000%07/01/2035 DO 06/01/05 38,312 0.01 361,748.15 FNMA POOL#0466397 1.52 3.18 Aaa 107.01 353,920 0.13 3.70 31381PDM 3.400% 11/01/2020 DD 11/01/10 387,110 0.12 189,489.23 FNMA POOL#0357969 1.54 L49 Aaa 111.33 203,701 0.07 1.74 31376=2 5.000%09/01/2035 DD 09/01/05 211,002 0.06 5,510.49 FNMA POOL#0748678 1.61 4.48 Aaa 111.50 5,924 0.00 2.12 31403GXF4 5.000% 10/01/2033 DO 10/01/03 6,144 0.00 1011712016 4:04:45PM EDT 9 Source:The BaN of New York Mellon CoMomdon Yield Analysis Report ID: RAM234 Base Currency: USD BNY MELLON MSM7522202 9/30/2016 Long Term Oper-Plmco Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call(EDP( t Quality Price Market Value %Market Adj Yield Rating Value Duration 182,993.56 FNMA POOL 00745580 1.63 449 Aaa 111.30 196,718 0.07 1.96 31403DJM 5.000%06/01/2036 DO 05/01/06 203,670 0.06 20,660.13 FNMA POOL#0AL0869 1.69 4A1 A. 109.54 21,850 0.01 2.67 3138EG6F6 4.500%06/01/2029 DO 09/01/11 22,631 0.01 363,649.90 FNMA POOL#0898336 1.72 4,49 A. 111.31 390,923 0.13 2.15 31410F4V4 5.000%07/01/2036 DO 04/01/07 404,770 0.12 31,694.79 FNMA POOL#OMA0022 1.72 4.11 Aaa 109.54 33,520 0.01 2.77 31417YAY3 4.500%04/01/2029 DO 03/01/09 34,719 0.01 26,054.38 FNMA POOL#0257179 1.75 4.11 A. 109.54 27,555 0.01 3.04 31371NUC7 4.500%04/01/2028 DO 03/01/08 28,540 0.01 311,382.97 FNMA POOL#0815971 1.83 C51 A. 110.97 334,737 0.11 2.11 31406PQY8 5.000%03/01/2035 DD 03/01/05 345,554 0.11 182,628.02 FNMA POOL#0823358 1.83 3.01 A. 105.71 181,201 0.06 0.47 31406K 3 VARRT 02/01/2035DD04/01/05 193,049 0.06 FREDDIE MAC MULTICLASS 49,510.10 FHLMC MULTICLASS MTG E3 A 1.25 2.94 A. 102.05 49,562 0.02 0.65 3133ME95 VAR RT 08/15/2032 DO 12/01/97 50,523 0.02 900,000.00 FHLMC MULTICLASS MTG K006 A2 1.51 3.93 NR 108.28 951,047 0.32 2.99 31398VJ98 4.251%01/25/2020 DO 04/01/10 974,520 0.30 1,029,097.00 FHLMC MULTICLASS MTG 58 2A 2.31 5.49 Ana 118.47 1,165,495 0.40 1.86 31394JY35 6.500%09/23/2043 DO 09/01/03 1,219,171 0.37 GRMA 91,575.75 GNMA II POOL#0080965 0.73 2.05 A. 104.30 91,519 0.03 0.94 36225DCBB VAR RT 07/20/2034 DO 07/01/04 95,514 0.03 1011712016 4:04:45PM EDT 10 Source:The Bad::of New York Mellon CoMomdon Yield Analysis Report ID: RAM234 Base Currency: USD BNY MELLON MSM7522202 9/30/2016 Long Term Oper-Plmco Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration 10,868.72 GNMA II POOL#0080395 1.24 2.06 Aaa 10370 10,770 0.00 0.71 36225CNM4 VARRT 04/20/2030DD04/01/00 11,271 0.00 30,443.80 GNMA II POOL#080088M 1.26 2.07 A. 103.33 31,110 0.01 0.95 36225CC20 VAR RT 06/20/2027 DO 06/01/97 31,457 0.01 84,686.66 GNMA II POOL#080408 1.26 2.06 A. 103.64 83,827 0.03 0.85 36225CN28 VARRT 05/20/2030DD05/01/00 87,769 0.03 26,123.14 GNMA II POOL#0080023 1.26 2.07 Asa 103.24 26,556 0.01 0.47 36225CA 9 VAR RT 12/20/2026 DO 12/01/96 26,971 0.01 GNMA REMIC 35,255.80 GNMA GTD REMIC P/T 00-9 FH 0.65 1.00 Aaa 100.50 35,256 0.01 0.03 3837H4M9 VAR RT 02/16/2030 35,432 0.01 HOME EQUITY 133,743.29 AMRESCO RESIDENTUL SECUM 1 A 1.74 Loo - 93.99 100,433 0.04 0.00 03215PFN4 VAR RT 06/25/2029 DO 10/20/99 125,691 0.04 INDUSTRIALS 2,000,000.00 INTEL CORP 1.09 1.35 Al 100.31 2,009,290 0.65 1.19 458140AIR 1.350% 12/15/2017 DO 12/11/12 2,006,240 0.62 2,000,000.00 CHEVRON CORP 1.17 1.10 Aa2 99.93 1,988,600 0.65 1.17 166764AA8 1.104% 12/05/2017 DO 12/05/12 1,998,540 0.61 4,000,000.00 ELI LILLY A CO 1.23 L92 A2 101.73 4,009,675 1.32 2.40 532457BF4 1.950%03/15/2019 DO 02/25/14 4,069,160 1.25 2,000,000.00 OCCIDENTAL PETROLEUM CO" 1.27 1.50 A3 100.31 1,986,340 0.65 1.36 674599CDS 1.500%02/15/2018 DO 06/22/12 2,006,200 0.62 1011712016 4:04:45PM EDT 11 Source:The BaN of New York Mellon CoMomdon Yield Analysis Report ID: RAM234 Base Currency: USD BNY MELLON MSM7522202 9/30/2016 Long Term Oper-Plmco Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration 4,000,000.00 AMERICAN HONDA FINANCE CORP 1.37 2.20 Al 102.48 4,046,640 1.33 2.78 02665WAH4 2.250%08/15/2019 DO 09/09/14 4,099,240 1.26 3,045,000.00 MICROSOFT CORP 1.64 1.56 Ana 99.59 3,041,385 0.98 4.67 594918BPB 1.550%08/08/2021 DD 08/08/16 3,032,546 0.93 4,000,000.00 APPLE INC 1.64 2A9 Aal 102.58 4,050,840 1.33 4.19 037833BS8 2.250%02/23/2021 DD 02/23/16 4,103,200 1.26 5,000,000.00 QUALCOMM INC 1.65 2.20 Al 102.11 4,995,195 1.65 3.47 747525AD5 2.250%05/20/2020 DO 05/20/15 5,105,350 1.57 3,000,000.00 EMON MOBIL CORP 1.71 2.17 A. 102.18 3,016,097 0.99 4.21 30231GAV4 2.222%03/01/2021 DD 03/03/16 3,065,490 0.94 2,500,000.00 CHEVRON CORP 1.73 2.07 As2 101.65 2,485,350 0.82 4.39 166764BG4 2.100%05/16/2021 DO 05/16/16 2,541,330 0.78 OTHER CMO OOVT AGENCIES 418,964.85 NCUA GUARANTEED NOTES TR R2 lA 1.51 1.62 Ass 100.02 419,963 0.14 0.02 62888UAA8 VARRT 11/06/2017 DO 11/17/10 419,044 0.13 70,644.45 SBA GTD PARTN CTFS 2001-20C 1 1.85 5.93 Asa 106.84 70,644 0.02 1.50 83162CWO 6.340%03/01/2021 75,479 0.02 STUDENT 37,851.81 SLM STUDENT LOAN TRUST 200 9 A 2.08 2.21 A. 100.22 37,698 0.01 0.08 78445JAA5 VAR RT 04/25/2023 DD 08/28/08 37,935 0.01 SUPRANATIONALS 5,000,000.00 INTERNATIONAL FINANCE CORP 0.77 1.00 A. 100.13 5,020,700 1.62 0.56 45950RBS8 1.000%04/24/2017 DO 04/24/12 5,006,600 1.53 1011712016 4:04:45PM EDT 12 Source:The Bad::of New York Mellon CoMomdon Yield Analysis Report ID: RAM234 Base Currency: USD BNY MELLON MSM7522202 9/30/2016 Long Term Oper-Plmco Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call(EDP( t Quality Price Market Value %Market Adj Yield Rating Value Duration 5,000,000.00 INTER-AMEMCAN DEVELOPMENT BAN 0.87 1.00 Aaa 100.10 5,019,550 1.62 0.78 4581XOCG1 1.000%07/14/2017 DO 04/30/14 5,005,200 1.53 5,000,000.00 INTERNATIONAL BANK FOR RECONST 0.89 1.00 A. 100.19 4,991,170 1.62 1.69 459058EJ8 1.000%06/15/2018 DO 04/30/15 5,009,700 1.54 3,500,000.00 INTER-AMEWCAN DEVELOPMENT BAN 1.36 L83 A. 102.20 3,590,405 1.16 4.29 4581XOCSS 1.875%03/15/2021 DD 01/14/16 3,577,035 1.10 TIPS 0.00 US TREAS-CPI INFLAT 1.11 1.06 Asa 106.43 0 0.00 2.82 912828PP9 1.125%01/15/2021 DO 0 1/15/11 0 0.00 10,540,816.00 US TREAS-CPI MFLAT 1.51 0.12 Aaa 101.46 10,423,532 3.47 5.24 912828WU0 0.125%07/15/2024 DD 07/15/14 10,694,712 3.28 TREASURIES 3,000,000.00 USTREASURY NOTE 0.21 0.50 A. 100.05 2,993,174 0.97 0.17 912828046 0.500% 11/30/2016 DD 11/30/14 3,001,470 0.92 3,750,000.00 U S TREASURY NOTE 0.54 0.87 Aaa 100.20 3,750,306 1.22 0.58 912828SSO 0.875%04/30/2017 DO 04/30/12 3,757,388 1.15 10,000,000.00 U S TREASURY NOTE 0.70 0.87 A. 100.19 9,948,784 3.25 1.12 91282BG20 0.875% 11/15/2017 DD 11/15/14 10,019,100 3.07 3,500,000.00 U S TREASURY NOTE 0.73 0.75 A. 100.03 3,496,457 1.13 1.41 912828UR9 0.750%02/28/2018 DD 02/28/13 3,501,095 1.07 11,000,000.00 U S TREASURY NOTE 0.83 1.48 Ana 101.54 11,042,439 3.62 2.29 91282SB33 1.500%01/31/2019 DO 01/31/14 11,168,850 3.42 10,000,000.00 U S TREASURY NOTE 0.87 1.59 A. 102.04 9,984,307 3.31 2.68 912828WS5 1.625%06/30/2019 DD 06/30/14 10,203,500 3.13 1011712016 4:04:45PM EDT 13 Source:The BaN of New York Mellon CoMomdon Yield Analysis Report ID: RAM234 Base Currency: USD BNY MELLON MSM7522202 9/30/2016 Long Term Oper-Plmco Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration 10,000,000.00 U S TREASURY NOTE 0.88 1.59 Aaa 102.09 10,024,777 3.31 2.77 912828WW6 1.625%07/31/2019 DO 07/31/14 10,208,600 3.13 5,900,000.00 US TREASURY NOTE 0.91 1.71 A. 102.49 5,873,187 1.93 2.93 912828F39 1.750%09/30/2019 DD 09/30/14 5,944,536 1.82 7,500,000.00 U S TREASURY NOTE 0.94 L47 A. 101.75 7,449,635 2.47 3.08 912828061 1.500% 11/30/2019 DD 11/30/14 7,631,550 2.34 5,500,000.00 U S TREASURY NOTE 1.08 1.36 Aaa 101.17 5,424,667 1.80 3.96 9128281,99 1.375% 10/31/2020 DO 10/31/15 5,564,240 1.71 1,500,000.00 U S TREASURY NOTE 1.12 1.36 A. 101.09 1,491,626 0.49 4.21 912828N89 1.375%01/31/2021 DD 01/31/16 1,516,410 0.46 US TAXABLE MUNI BONDS 2,440,000.00 PORT AUTH OF NEW YORK&NEW JE 1.38 C73 Aa3 112.13 2,507,634 0.89 2.91 73358WA09 5.309% 12/01/2019 DD 07/01/09 2,735,972 0.84 1,400,000.00 NEW YORK CITY NY TRANSITIONAL 1.48 3.70 Aal 110.24 1,400,000 0.50 3.75 64971115E8 4.075% 11/01/2020 DO 11/03/10 1,543,402 0.47 400,000.00 UNW OF CALIFORNIA CA ROTS MED 1.88 4.42 Aa3 113.93 400,000 0.15 4.13 913366EJ5 5.035%05/15/2021 DD 11/18/10 455,716 0.14 TOTAL:FIXED INCOME 1.08 1.63 306,249,572 100.00 2.36 307,647,402 TOTAL:Long Term Oper-Plmco 1.13 1.58 323,851,057 300.00 2.25 326,203,379 1011712016 4:04:45PM EDT 14 Source:The Bad::of New York Mellon CoMormwn Yield Analysis Report w: RAM234 Base cy: BNY MELLON OCSFO7666602 9/30/2016 O.C.S.Escrow Account Units Held YTM/ Curren Moody's Market Total Cost %Type Option Security ID Security Description Call)EOP) t Quality Price Market Value %Market Adj Yield Rating Value Duration CASH &TEMPORARY Sum of Account Receivables 0.00 SUMRECV 0 TOTAL:CASH&TEMPORARY 0.00 0.00 100.00 0 FIXED INCOME TREASURIES 3,594,000.00 USTREASURYNOTE - Aaa 3,603,596 100.00 - 912828SK7 0.375%03/15/2015 DD 03/15/12 3,594,000 100.00 TOTAL:FIRED INCOME 0.00 0.00 3,603,596 100.00 3,594,000 TOTAL:O.C.S.Escrow Account 0.00 0.00 3,603,596 300.00 3,594,000 1011712016 4:04:45PM EDT 15 Source:The Bank of New York McOon CoMomdon Asset Detail BNY MELLON Acct Base Currency Code : USD OCSD-CONSOLIDATED-OCSG00010000 As Of Date : 9/30/2016 Accounting Status : FINAL ass -� Mellon Security Description ShanslPar Base Price Base Cost Base Market Value Percent of Total Local Unrealized Net Unrealized Security ID Gain/Loss GaiNLoss Base Grand Total 386,543,308.41 387,786,670.74 100.00 1,243,282.33 CASH&CASH EQUIVALENTS 51,708,307.43 51,640,633.87 13.32 -67,673.56 U.S.DOLLAR 51,708,307.43 51,640,633.87 13.32 47,673.56 -67,673.56 08530BK81 BANK TOKYO MITSOB DISC IDl2&2016 ON NO ON 99.]5 Q813,81593 8,81$6JA. 111 0SO A. 065MBK51 BANK TOKYOMRBBB DISC LOSSM16 1290 ON NO W]5 12W,B1aX 1,206818.00 0.33 000 0D3 21WMKB COOPERAT CENT DISC 1 WISS2016 I..NO INS B9.Sa W5153.33 Wfi15333 0. 000 0.00 313304D59 FEDERAL HOME IN BK CONS DICS N IMW16 TOO NO NO AN 699851.11 699,961.11 0.18 000 000 3133041<40 FEDERALHOME IN SKCONSDISC 1IMM016 10,]W,NONO 99.96 10,596,17037 10690,1]03] 276 000 000 3133XICO FEDERAL HOME LN MTG CORP DISC OODD%10MIM016 DO 1011 V15 3.000 NO NO .98 2933,53125 2,93953125 0]] 000 am S JRML3] FEDERAL NATL MTG ASSN DISCOUNT MAT 1W19Y1On 1.,..0 NO 99.92 .,.I.16] 9,991,B0181 258 000 A. 89113WHFB TORONTO DOMINION BANK C IIW%W11WM17 DO W23116 4,075,ON NO 100.00 6,0]S,OW.W 4,075 MOSS 1D5 000 003 Rc.GKCB TOYOTA MTR CR CP DISC 101122016 1...0.NO B9.as AB,.184 MY.184 ON 000 0.00 00233GU3 TOYOTA MTR CR CP DISC 11118IN16 60W,W0 No 99.5] 4,918,261,10 497826110 128 000 000 99W05247 DREYFUS TREAS&AGYCSH CSHMGVARRTI2O12M9 DO M109197 I'",U3JN 100.00 1,841,283,62 1841,28361 047 000 000 99E05247 DREYFUS TREAS&AGY CSH Can MG VAR FT IMIS049 DD 044M7 S..2 DO 1NO,m 52W,2n.23 5266,22223 138 000 am R.UX SLN PROXY LONG EXPOSURE SLHOFNTA4 SO.1090 042 93,294.59 .,.IO3 JIn E]67356 67,673% CASH 0.0 1D0 .7. E0128 0.D0 0D0 0.. RECEIVPBLE FOR INVESTMENTS SOLD 0.ON 1.N is. 1362 000 000 0.00 INTEREST RECENPBIE 0.0 1.00 1022,753.89 10237530B 03fi 000 0.00 INTEREST RECENPBIE_ OXO 100 146,7]].01 146 T]]01 004 _ 000 000 FIXED INCOME SECURITIES _ 334,835,080.98 336,146,036.87 86.68 _ 1,310,955.89 U.S.DOLLAR _ 334,835,080.98 336,146,036.87 86.68 1,310,955.89 1.310,955.89 02.1. AMERICAN EXPRESS COT.OLU%ONWOon DO Ml 9AJR 2,9W,W0.000 107R 1,31.79 3,120114,00 0.81 4AA 2]1]9 -M,271.79 02665WABT AMERICAN HONDA FINANCE CORP 1,125%IDN72016 DD 10110113 1...0.NO 100.00 Lual WOW 1NO Oln 00 03fi -165000 _-i.6WD0 02KSWAH4 AMERICAN HONDA FINANCE CORP 2250%OWIW2019 DO 0I 4JX0.0 NO 1=,48 4,046,644.00 4,099 24000 1.re 52W000 _52,600.00 03215PFW AMRESCO RESIDENTIAL SECURI t A VAR RT OWSR029 DO 102N89 _133743NO 9398 10043285 125,69061 0.03 25,25]]6 25,257,76 SI0 IWl 037833AM2 APPLE INC 105D%D52D1]ODDS14 1,000 NO NO 100A2 I'm 590.00 W1200 2B 1, 00 0 -139000 _1390.OD 03]BM. APPLE INC 22W%nNoW21 DO OSON16 4,OW,OW.ON 1025E 60W,840W 4,10,20000 1AS .,.0. 523W.00 06051 BANK OF AMERICA CORP E.]50%1MUCO17 DO DJJV 3,80YONOO 104.77 4,334010W 3,96101200 1.03 -3.,.200 .352NOr O60WTLXa BANKOFAMERICANAVARRT OSN&T017DDOS08114 NONO.NO 1N.fl 6W,000W ON 67200 0.15 61200 6]2.00 06408HCA5 BANK OF NEW YORK MELLON CORP?2400%011171N17 DO 11/23111 I'M.0 No 100.28� 1.000,12000 1W2W000 O.Z6 5 32, 000 _5,3WIN 0641 BANK OF NEW YORK MELLON CORPR 2.NX%09111IM19 DD OWL 1114 2,120000 NO 10237 2,1421751ID 2,170,28640 0.% 2811120 28,11120 R O 073902CO5 BEAR STEARNS COS LLCHEWO%0710 2N 2001B DO OW503 3, ,NO ON 1D542 3'an,more 3,373,504 _ 00 08] :name On .1560160, 181571GU CHASE ISSUANCE TRUST AS AS 1010%HolSOB1 B DD 1001113 2500 NOON imun 24.121,10 250Q22500 0. 1,10390 i'luo. 161571HHO CHASE ISSUANCE TRUST AT AT1Du%0911812018 DO 0911Y18 4,140,ON NO 103.02 413B,643.13 4,14Q74520 1.07 1,10207 1,10207 166T64AA0 CHEVRON COW 1.104%1 MESSO17 DD 12NY12 ...NO 000 99.83 19SHMSW 1Sea,54000 052 994000 ..81 N 1661 CHEVRON COW 2.100%0511841021 DD 0&16116 2,500,W0 No 101.65 2.485,350.00 2,541,M000 006 56M000 55,003.00 9275RAT9 CISCO SYSTEMS INC 1100%OMM017 DD 0303114 1,0W,000 NO 100.04 1,002WOW 1 NI W 026 116000 -2,2W OD 24421ESD2 JOHN DESIRE CAPITAL CORP 1,050%10112016 DO LOD 1113 1,000,000.NO 1WOO I,DDI,=,an I,OWENO0 026 -1M000 -11040.OD 24422E559 JOHN DEERE CAPITAL CORP 23N%OWLV019 DD NUE114 SON AN NO 1.43 S.NS4.W 5,121,25000 132 74,28800 ]4,2W.00 30231. 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FEDERAL HOME IN SK CONS RDIOX%AANV2017 DO NRIOM2 Rare NO NO 1W. 51025,100.00 5,013,.000 1H -1"FULOO .1119X.00 313M3HUB FEDERAL HOME IN BK CONS ED I7W M11212NO DD O&X113 SON ANNO 101 S00Ranou 5,115'.000 132 1OFER000 1DSBW.X 313310E85 FHLMC MULTICLASS MTG E3 A VAR HT O&152032 DD 12ONM7 HE Sit DO ID205 4B,56189 W,52308 On W1.19 98119 Recent TlmeAem,Men ON 17 201601:36:32 PM Page 1 of 3 Asset Detail BNY MELLON Acct Base Currency Code : USD OCSD-CONSOLIDATED-OCSG00010000 As Of Date : 9/30/2016 Accounting Status : FINAL Mellon security Description Shams/Par Base Price Base Cost Base Market Value Percent of Total Local Unrealiurl Net Unrealized Security to "W Gain/Loss GaiNLose Base 313485I FHLMC POOL p]68084 VAR RT 01 M112028 DD 12NLAG 2476400 10339 241808 256035 000 14029 1M.20 3135G00]5 FEDERAL NATL MTG ASSN I SW%OOCOO GO DO M127115 SOW,000.000 10153 4955850,. 59]850000 1.31 1.,.000 1211,850.00 3135GOES8 FEDERAL NATL MTG ASSN I375%11I1A2015 DO 10I20111 SAN 900.000 100.11 4p0 .,. 4,W15600r Ino -IN..0 -396i0Dr 3135GOES8 FEDERAL NATL MTG ASSN 1375%11115GO16 DD 10120111 4,137,W0.000 100.11 4.15229592 4,14171618 1.0] -105]9]4 -10,67974 3135GOFI3 FEDERAL NATL MTG ASSN I50054 1 IIMW20 DO 10119115 7rSW,000 no 101.35 73]0]26.00 7W095000 1.96 23022400 230.22600 313531 FEDERAL NATL MTG ASSN 1125%12/144018 DO t IM115 S,OW,000.Lou lNOA8 4,983,950.00 5,024,00000 I. Soon or W,OW.00 313MOJM FEDERAL NATL MTG ASSN 1375%0212BI2021 D002105116 1QOW.0 No in. 1Q040,950.CU 10,W6W0.Or 2. 25050 or 2SO.. 31MG.1 FEDERAL NATL MTG ASSN I]W%GV2Ol90007120114 SOW,W0.000 ID218 noin W.W 5,108,10000 1.32 BSW000 W,fiO3D0 313]1NUC] FNMA POGLW25]1]94.WO%04N1202SDD0111N8 26054.380 109.54 ZNcoc 20,54033 0.01 98517 9a51] 313761<722 FNMA POOL p03519696.000%01 DO 01 1SOln 230 11135 2OG 7OO 3 211 G0194 0D5 7,A1191 7,301.01 3131 FEDERAL HOME IN MTG CORP 1250%IMM019 DD 1MV12 7rSW,000 no 100.11 7,399,650.00 ],552,950 Or 1.95 153,30000 153.300.00 3137EADN5 FEDERAL HOME MTG CORP 0,750%01/12Y1018 DO 1 lR1/12 SIAN No No POST 4,967,YA.W 4,93455000 129 31,05000 31,050.00 3137EADP1 FEDERAL HOME MTG CORP 0875%03T]R018 Do 01 S,OW,0n No 10U.OB 49]41W.W S,W390000 129 .'.000 29,BW.W 3137EADSS FEDERAL HOME LN MTG CORP 0.875%1iflCoO8 DO 08118113 3,225,NO WO 1W.O2 $22B,248.W 3,225,54825 0.83 $69975 -30.71 3137EADUO FEDERAL HOME LN MTG CORP 0.500%D1=01]DD 01/15115 SAN W0900 1No 03 4,B91P50.W 5.1 No 00 1,28 10,W000 10,sW.W 3137EADYS FEDERAL HOME IN MTG CORP 0]50%017DO 01 5.000,W0 no 100.10 4.K4250.00 5GOO MOLD 1.29 10W000 106N.00 31UIPDM FNMA POOLMOW39]3400%11N1Y10200D11101/10 361748 in 107,01 353,919ID038I,110 31 0.1a 33190 61 33,190.81 3135EGW5 FNMA POOL XOALp89945W%C8p112029 DD%ptltt 20,W0130 lW54 21,SW12 22,63L31 001 781 IS 78119 31391. FHLMC MULTICIASS MTG 582AeMon 09ID5 3DO SNOW 1,.N7 No 11BO 1,18546520 121%17122 031 ESNA 02 53,BPB.02 3139SX3G5 FNMAGTDREMICP?07-l14M8 ARRT IOR]203TDDllARSh DO$43.380 a9.83 ..l' 2 4017336 0.01 1.104 1,89184 31397ORED FNMA GOOD REMIC PTI-3 FA VAR RT O=GcO41 DO 01I25/11 363,954.580 1W.85 .1 a.. W7 We20 10O 32nN 3.219.36 V3WVJW PHONIC MULTICIASS MTG HOOK AD 4,251%01125ONO DD M01110 9W,W0 no 109.2S 951 On as 974,52000 035 23,47312 23A7312 31403DI FNMA POOL 07455805000%OBN1Y1036 DO01 1 w IN No 11130 1%718U WI Or 0.05 6,95192 _6,95192 3144DWF4 FNMA POOL X0]488]85000%1010loW33 DO 10101103 5Sir 49c 11150 5,SGG78 6,14420 0W 21042 220.A2 3ANIDY8 FNMA POOL W81 M715000%01 Do 01 311382 970 11097 3.1.11 345,55414 009 10,817,43 1%1!1743 31406XW15 FNMA POOL WISDOM VAR RT 01 Do MOSS 182,828.020 10511 181,NOw 1B3 OAR]7 095 11,847.52 11,84]52 314WBXH7 FNMA POOL Ifteno05.000%0]N$035 DD 0611N5 34410.110 ill. as dal'. 3a 112O2 0.01 1,52069 _1.320.69 31410F4V4 FNM4 POOL MM366.000%0]NcOW DO 04 W 3W,on.0 11131 390=5S 4C4T032 0.10 _13,54]]4 13,M7,74 31417YAY3 FNMA POOL OMM0224.500%04/OGON DD OWOIA9 31,6NnO 109.54 33,520.33 34]18]9 0.01 1198,46 1.198.46 38225CA29 GNMAIIPOOLWOBW23VARRT IWOoO26D01L01198 M123.140 10124 2555581 269]O1] 001 41476 41418 38225CC211 GNMA II POOL 008WB8M VAR RT 0621 DD OMLAD 30443 W0 1033 31,1ORM 3145667 LIn 34691 315oi 38225CN28 GNMA II POOL ANOLLI VAR RT 05Y10Y2030 DO Ocelne M,One.0 1O3.M 85826.57 67,1431 0.02 5B42S6 59C288 38225CNM4 GNMA II POOL 00OW395 VAR RT 04cOcOW DD MNINO 10,INS IN 103]0 10T]020 11271,19 0.00 _ 50N. No. 362250CB8 GNMA II POOL NOM66 VAR RT ODGOCOM DO ODAUM 915]5]50 lGL30 91,518,53 95,51442 0.IN _3,995.09 3,99589 36932G]MD GENERAL ELECTRIC CO 2,200%01XW020 DO 01N9/15 5.030,000.000 10252 5.014950.00 512605000 1.32 111,10000 111.101 38141GFG4 GIXLMANSACHS GROUP INCITHE 5950%01NWOl 8 DO OINW8 NoonN0 1D550 MOSS W (US.4,00 0.16 MI 00 -59,762.0) 383]X4N%9 GNMA GTO REMIC PIT 00-9 FH VAR RT 0216ORS 35211 on lro5. 352S. 35431]3 0In 17E. 17593 4M20HPH9 HSSC USA INC 1.625%01 DO 1MW12 3,WOOrO.WO 1W.W 3'wM;Gc'oL 3,0LUNG OO 0.]] -1 non -1,610.W 4M20HPR7 HSSC USA INC 2.350%OLOVNW DD GAGl5 1.250,D' . 1W.S7 1,222707.50 1,SonOno0 0.31 Is.2,. ...No 43SINAC9 HONDA AUTO RECEIVABLES 201 AS 0.670%1 IGVW17 DD 02OU14 WES,9144W wSO NEED& W),4659] 0.26 1,595.13 1,59513 43814GAT4 HONDA AUTO RECEIVABLES 202 A30]]0%=1 M018 DD OW1114 832962.090 AS 94 am 406 40 832,50062 021 94.22 94.22 43814NAM HONDA AUTO RECEIVABLES 201 A21.010%Wl=018 DO 01 2,565 W0.W0 tan IC 2W474S. 2Nell .20 0as 97444 01 430DOAD2 HONDA AUTO RECEIVABLES 202 A31390%M/152020 DO NOGU16 1,810 on 000 1W43 1,W9,984.59 1,817,M540 047 7,590.51 7,1scen 4581443 INTEL CORP 1B50%lyelGO16 DO ORION 1 1,OW9W.W0 1W.W 1,W24]OW 1,WO,W090 026 Iloon -2170.W 4.14OAL4 INTEL CORP1N0%1215I DD 1211112 Zurn W0900 1W.31 2W8,290.W 2No b4000 052 1.000 -2.MOD0 45S1X0CG1 INTER-AMERICPN DEVELOPMENT BAN 1.000%017DO0 ONS 5.000,W0 no 100.10 5,019,550.00 5005,200.00 1.29 -14 NON 14.350.0O 4581XOCS5 INTER-AMERICAN DEVELOPMENT RAN 1,875%03/15Y1021 DD 01 3.500 ON No 10220 3.590405.W 3,57,03500 092 -13,37000 -13,370.Or Roped reasons:Men CHI 1]201601:36:32 PM Page 2 of 3 Asset Detail BNY MELLON Acct Base Currency Code : USD OCSD-CONSOLIDATED-OCSG00010000 As Of Date : 9/30/2016 Accounting Status : FINAL Mq Mellon Security Deuripeonswom Shams/Par Base Price Base Cost Base market Value Percent of Total Local Unrealiva Net unrealized Security ID Gain/Loss Gain1ass Base 459058EJ8 INTERNATIONAL BANK FOR RECCNST INO%a llel2018 OD 04I30115 SOW,000.000 100.1E 6991,P000 IMe 7r 00 129 1663000 1653000 45950KBSB INTERNATIONAL FINANCE CORP 1.000%NUOI DO 0404112 SODU Orr 000 lJOA3 K.To.BU 5,W6 W000 129 -10,10000 -14,100.00 4W23EJY6 JPMORGAN CHASE&CO1SW%02MENO17 DO OWHV14 1'.UUM.J00 1ND5 1.0.N,00W 1N000000 1OF _ Run _ 10D0 465251 JPMORGAN CHASE&CO2250%01D312020 DD OW3115 20W,000.01r 101.31 1.99N w,O0 2,02620000 052 314JOXM _31A00D0 q7877AD6 JOHN DEERE OWNER TRUST 211 B M 1070%11I15CAS DO MM14 2,955la110 1W.04 2.9%8/910 295693503 076 _ -14407 -144.07 4]]081 JOHN DEERE OWNER TRUST20 AM1390%ON15IDIID 03IMI16 2420,MLLOU an. 2419,61E--I 24.,O5080 062 2,631 el _263151 4]]BB1. JOHN DEERE OWNER TRUSTM BA21JI00%tlLlecOn On 07127116 2,0.LOU W0 93.9E 2,.Ma. 2,9]9)31,M 0]] Afi 42 -88.42 525ESCOY6 LEHMAN BIRTH HLD ESCO.000%lWJO2016DD 10I 20W,Orr 000 7.66 1241,321.10 157MKOU C.. -1,06382110 -1,083,821.10 525ES0I87 ESC LEHMAN BIRTH HLD ESCROW 011 IOAOO13 DD Unclose SOL OLL.000 7.B6 362,0S5.27 47,2W.00 0.01 315,5]5.2] 315,57527 53245IBB3 ELI LILLY&C05100%03/1 W017 DD 03114N) 1.OW,000.000 1018E 1.02 m,00 I Ole&W O 036 -e W010 -au.Or 532457BF4 ELI LILLY&CO1950%0311 W019 DO=5114 4.00li,W0.000 101]3 4.0096)500 4069,16000 1.05 59,40500 59,485.00 59491eBP8 MICROSOFT CORP 1550%OMM021 DO 0&1 31045 MLLOU an. a,W1385.15 3,M2,54595 0]8 -083920 __LN.20 61]4]WAL3 MORGAN STANLEY 5500%0728Y1021 Do 07R8111 2L.LOU LOU 114ne 3Oocalao, 3,193A84cu 0B2 "eIor ],384.00 0.0. NCUA GUARANTEED NOTES TR R2 IA VAR RT 1 1N&2017 DO 1117110 418,964.850 100.M 418,96293 419 M4.45 Oil el 10 al SO fi4W1M5E0 NEW YORKCITY NY TRANSITIONAL4.075%11NINOW DD HNYIO I..AM.LOU 11024 1A0],CCU.W 1543A0200 040 14340200 143A0200 MOOSWAB1 NISSAN AUTO RECEIVABLES C ASk 1070%0511612019 DO 08110116 2U..0.000 W93 2.084,91785 200362390 0.54 -I.2 Y5 -1.2W.95 674599CD5 OCCIDENTAL PETROLEUM CORP 1.500%OZ15IX18 DO OW2112 2.00li,W0.000 l00.31 I'M 340.00 2006,20000 0.52 lawoor 19,860.00 713148CLO PEPSICO INC 0101 DO 01 1Mr MLLOU 101 1,501)BS.W 1 San 54r PU 039 -122500 122111 733SWAG9 FORT AUTH OF NEW YORK B NEWJE 5903%12AI12019 DO 010E 2440,LOU.LOU 11213 25M,&13.09 2735,97200 0]1 .,...11 228,338A1 TO525AD5 OVALCOMM INC 2250%KOKIM0 DD 0520I15 S.Orr Orr lull 4,.lB500 5,105D5000 1.32 110,15460 110154.60 7841 A5 SW STUDENT LOAN TRUST2009 A VAR RT O@SI2023DDUSQVOB 37811.810 Inc. 376W34 37 W546 0.O1 237,22 23]35 83162CLJO SBA DID PARTN CTFS 2MI-20C 16340%03101I2021 70,OPP 410 1W.84 70644M 7547665 O.W 4,.420 483420 891 TOYOTA AUTO RECEIVABLES 2 A M OaT0%12115COW DO WIIW14 1,074 791 530 99.95 1.M2,56I 1074,21114 028 1,644 T] 1,644,77 89231TAB8 TOYOTA AUTO RECEIVABLES C MA 0920%OM152018 DO ONOWI5 Ilow 1 U 93.9E LON,91684 1,07%a44eA 028 31 Or 3198 89238WAC2 TOYOTAAUTO RECEIVABLES 2 AM 1120%M/1512019 OO 031 3,595 WO.W0 1W.M 3,594458.M 3,B9],82435 093 3,16791 3,18]91 91159HHB9 US BANCORP 2.2UO%1111 W016 DO 11NY11 LOW,Orr Orr l.. LOM,Ep.W 1,"no 00 0.26 -9,64000 -9540.00 .12028B33 U S TREASURY NOTE 1.500%OIMIO019 DD 01131R4 11'.W0.000 10154 11p4243BA. 11,16305000 2BB 12641001 126A10.B1 912828F39 U S TREASURY NOTE I.750%OWS12019 DD 09130/N Sew.0.000 1024E 5,8)3186.8] 5W4,SOM 153T )1,'913 )1,349.11 91 man,20 U S TREASURY NOTE 0.875%1111 SAM7 DO 1111 Ml4 10,001 Or 000 10DA9 9,948,)N.50 10019,10000 258 90,31650 70,31650 912828G16 U S TREASURY NOTE OSOD%1 V302016 DO I IW14 OAK,MLLOU 100.05 2993,174,11 3,00111000 OTr 52958E 62958E 912B28.l U S TREASURY NOTE 1.500%1 lOO12019 DO 1lOON4 T,SW,LOU MI 1M]5 7,M9,& ,. 7,&31,55000 197 181,91550 18191560 9128281.99 U B TREASURY NOTE 1.375%1.11.DO 1.1/15 S.Orr Orr 1U1.1) 5424,TAB B] 5,SO24000 143 139573.13 139,573.13 91MBLUZ U S TREASURY NOTE 3.125%IOGIOO16 DO IMJIN9 3'.AM LOU 1N83 SU29,0Y1R6 3Nfi B4000 01. 3305286 13U5266 912828N88 U S TREASURY NOTE 1.3)5%01131/O21 DD 01131/16 1.5W,000.000 101.08 1.491626.12 1,51641000 0.3E 2470300 24,783.as 9 MKsK] U S TREASURY NOTE 0.375%0311 BR016 DD 03/1 M12 3,594,W0.000 1W.00 3.603,596.m 3,5&,00000 0.93 3596.33 _-9.596.33 912828850 U B TREASURY NOTE 0675%01 DO 01 3,T%MLLOU 1An 20 3750 NEBO 3)9,38T50 097 ],0819] 7,0819] 912828UR9 U B TREASURY NOTE 0.750%OL262018 DO 022L13 a.LOU LOU local 3,4%457,04 3,an,.,00 0. 4627,98 _462]96 912828WF3 U B TREASURY NOTE 0.825%111 W016 DO fl11&13 3UW,Orr OLO 1U0.05 3,UW,R1.]0 3,W1,53000 0P -1,76130 1,761.30 91S028WS5 U S TREASURY NOTE 1.625%U6^JM2019 DO 0&'3N14 I...W0.000 1.04 ...sa" 0 10,20350000 26] 21%nZen 219.1W.90 912828WUO US TREAS-CPI I10,126%0711512024 DD 07/16114 low O16.000 101. 10.423,53189 10 MR 71191 276 271,18002 271.1 SO O0 9128MUNW) U S TREASURY NOTE 1.625%M131R019 DD M131/14 10,000,W0.000 102,09 10,024,171.40 10,20ORM 00 263 183,82260 183,822.80 9133MCE UNIV OF CALIFORNN CA RGTS MED5035%OVIcl021 DO 11118,10 401 MLLU 110. 400,030W 455,71600 OA2 55]1800 55,71600 W9)4BFD) WELLS FARGO B CO 2AOU%OSIOBINII]DO 050]712 1'..Lou 1.43 1'.a.,. 1,.,.0 00 028 -J,23000 <e.. ...CM6 WELLS FARGO&CO 2.63O%MOccee DO M122115 S.Orr Orr 10203 Knol 0.Or 5,10145000 1.32 se.000 998W.Uo McNN21-0 WELLSFARGOBANKNAVARRT O&IO2(n7DDO&12114 SW,W0.000 99.8E We DO 4W,W5.00 013 -9500 -E5.03 Report Teener,Men ON 17 201601:36:32 PM Page 3 of 3 Transaction Report BNY MELLON 0CSD-CONSOLIDATED-OCSG00010000 EHeilive Contrail Trade Date Base Investment Base In"Honl Base Security ID Desdription Date Settle Data Shares/Par Amount Amount GaiNLasc Settle Base Amount GRANDTOTAL 476,856.39 652,382.50 4,081.89 476,875.01 MATURITIES 18,317,554.32 -18,3*1,491 -26,938.10 18,317,554.32 CASH S CASH EQUIVALENTS 4,597,554.32 4,597,51 0.00 4,597,554.32 U.S.DOLLAR 4,597,554.32 41,597,554.32 0.00 4,597,554.32 31XH4G70 FEDERAL HOME LN BK CONS DISC 09111Y1016 02112016 MIM16 -4.600,003.000 4,597554.M dEW,55C.32 am 4,597,554,32 FIXED INCOME SECURITIES 13,720,000.00 -13,146,938.10 -26,938.10 13,720,000.00 U.S.DOLLAR 13720,000.00 -13,1 O6,93840 -26,939.10 13,720,000.00 191216A 4 COCA-COLA CO/THE 18W%09I01IW16 IS 00 loll VoU6 &16m8 -1,0DoNVDX LOOK OJ 0 -1,Wu,4.uD -SAS0IN 1,000003.00 3135G0CM3 FEDERAL NATL MTG ASSN I3W%WOSCONG DO 9Nt&I1 ..016 ..We $]2QON. 2,]20 NO TO -2.725.56510 S.M.1. 2.720.000.03 45S1XOCJ5 INTER-AMERICAN DEVELOPMENT BAN 0625%0911212016 DO 09112114 9tl212016 1911=016 -2.500,00J.000 2,600,000.00 2A99,1W.00 B50.00 2.600,000.00 JEWESS, INTERNATIONAL BANK FOR RECONSTIW3%WI152016 DO WWI 1 911SOO16 91152016 -2.500,003.000 2,NK NO 00 -2.606,22500 -6,225W 2,500,000.00 N TA20VW] U 6 TREASURY NOTE 0075%OWIW016 DO 09115,I3 911SR016 91152018 -3,000OCd-0e 3AW,NO. -3SKSE8005 3,]8005 31000,003.00 91SHMPul U S TREASURY NOTE 1000%OMM016000996T 1 PE.D8 d9012016 1,000,000O.A 2J.Deer. -2,005,]8]95 -5,]8]95 2UaOJW.O3 PRINCIPAL PAYMENTS 1,100,422.19 -1,101,749.41 -1,32732 1,100,403.57 FIXED INCOME SECURITIES 1,1DO,423.19 -1,101,749.41 -1,327.22 1,100,403.57 U.S.DOLLAR 1,100,422.19 -1,101,749.41 -1,327.22 1,100,403.57 31.1 FHLMC POOLp78AOB4VPA RT 01KNIND800 LWOW 91112016 &12m8 -18.H. 180 -18.17 D45 0.00 31340SW23 FHLMC POOL#78 064 VAR RT OUMH2028 DO 12ANAT W12016 .12016 -1a57O 185] _ -18.12 045 18.5] 3139JY35 FHLMC MULTICLASS MTG 58 M6.500%OMSAW43 DDW0103 9tl12016 9112016 4,33TNO ],33T53 -8.30999 97245 7,33753 31337CE95 FHLMC MULTIOLASS MTG E3 A VAR RT OM152032 DO 12101R7 8I12016 81112016 -1,800.SW I,NON -1,80136 -1.68 1,800.50 313]1NUC] FNMA POOL W2571794.500%00012028 DO 03m1100 Piles 91112018 -2830ID 28301 _-27818 -15.11 26301 313]BK122 FNMA POOL N035]9895W0%DOAUQO35 DO OPIUM 91V2018 9112018 -3,1M SAO 3T.. 1,42373 2388T 3,184.B9 31381PDA3 FNMA POOL sulasO9]3100%11NV20200011N1110 VTIC6 &12018 -599550 NO SS d8559 12W SB9.5S 31'HOWZ3 FNMA POOL XO]455805W0%O6NQU36 DO 0SNLC6 &V2015 B112016 A39T]W 4,397 TO _4.727. 32983 4,39775 314(MG)F4 FNMA POOL#07485]850M%10001I2033 DO 1001N3 9tl1ID15 WIO016 36174O So T4 38887 2T.13 WI,74 31406P Y8 FNMA POOL M8159715000%0301IX35 DO OPIUM 911.016 WOO18 -8.2P.110 0,21111 -8,83340 JS1628 8,217,12 31406XWT5 FNMA POOL W823358 VAR RT 02101Y1035 OO"MCAS Piles 9112016 .6n 440 632. -62750 4. an. 3140]BXH] FNMA POOL N0828000 5 001 07701OW35 DO OSNINS 91V2016 9/12m8 -848.230 81823 69585 4.2 848.23 3141C. FNMA POOL MORMIN651G0%07NV2O38 DO CATNAP B112016 &12018 d,949.190 8,949.11 -9520.38 H71.19 8,94E 19 31NEG6F6 FNMA POOLAVLAMI NOHO028DDWI0I/fl &VID15 Wi C.16 -394.590 394.59 -41T.32 -2273 3Ou sa 31417YAY3 FNMA POOL ftMAOC24JW0%M12029 DO 0101109 91112015 911,2016 955.9W MAN -1,012.01 55.11 956.90 313WM05 FNMAGTDREMICPU07-114MVARRT lW7f2037DDIll30N7 911"016 MW016 4195.6X 7195.88 6,64506 350.60 7,19586 31397ORE0 FNMA GTE REMIC POT 113 FA VAR RT OWS2041 DO OIOS11 92S2016 9232016 d11213W 11,121 VI -11,117JIS 348 11.121S3 3837WNM GNMA GTD REMIC PRWA FH VAR RT 0211&2030 911612m8 N182m8 I'l.NO 1194.03 -1194.03 000 1,1.ue 36225CP29 GNMA II POOL AJOBW23 VAR HT 1MM026 DD 120198 9112015 &12m8 -309.6W NO. J14.73 -5.13 WAR WURCNM4 GNMA II POOL W080395 VAR RT 0420203O DO 04AIAA W12016 &I2m6 -151170 16147 -16001 145 161 AT 362250CB8 GNMA II POOL W0809613 VAR RT 0]2012034 DO 07N1X4 91112016 9112016 d03.940 I. A0369 0.25 403.94 36225CC20 GNMA II POOL M80MM VAR RT OWNTID2]DO0610119] _ 9I12016 91112016 333.W0 TO 54 -23665 -5.11 23354 36225CN26 GNMA II POOL#OBWMX VAR RT MOSCOW EO 0501I00 9112016 9112016 d39040 T.04 d34.58 4.48 43904 43813JAC9 HONDA AUTO RECEIVABLES 201 A308]0%11212017 OO 0L2]tl4 9212m8 9212m8 -2B9,I00290 OFF 40029 268,57446 820.83 289,IW.29 43814G4G HONDA AUTO RECEIVABLES 202 AS 0.770%01 DOOW1114 9TVAN. &182018 -109,881.M0 1..109 -109,80383 ]].25 109,881 W 477877AD6 JOHN DEERE OWNER TRUST W B A3I.070%flR NA10 DO WTY14 Wl K2016 &t Y1016 -204J.1700 2W,60271 =204ANS.SH -95.91 OMAN To (OWUPAS NCUAGUARANTEEDNOTESTRR2IAVARRT 11MM017DD11117110 915`2016 &52016 -8.462]W 8,.TO _ -8A6165 0. 8.482.70 83162CLJO FDA GTD PARTN CORE 2001-20C 1 6 340%OWIM21 911,016 WlSO16 -20,465.6ID TO.561 _-20.485 61 0.00 20,48551 O311&14 8ACU.AC9 TOYOTA AUTO RECEIVABLES 2 A As 0.870%12H W017 EE 9/152016 911 W016 334,3430W 2.34308 233,85792 48516 234,34308 RAOUTAB8 TOYOTA AUTO RECEIVABLES C ATA 0 WO%oOlFO018 DO CWW15 91152m8 91 .194,I072W 194,40T25 AP4,39182 Is H3 194,I0725 Round lE TX8355 Report Tlmenamp:Mon Oct 17 20160124:23 PM Pagel of Transaction Report BNY MELLON OCSD-CONSOLIDATED-OCSG00010000 Effective Contrail Trade Date Base Investment Base Investment Base Security ID Description Date Settle Data Shares/Par Amount Amount GaiNLasc Settle Base Amount PURCHASES 48,019,669.83 48,019,669.83 0.00 48,019,669.83 CASH&CASH EQUIVALENTS 43,880,026.70 43,880,026.70 0,00 43,880,026.70 U.S.DOLLAR 43,880,026.70 43,880,026.70 0.00 43,880,026.70 an.m. SHY MFLLON CASH RESERVE EOHM 12I31tRA9 DD OsDFIW 9O/2OlF M2m6 uAll O10 IalS Sall 91 000 -861191 986C6T09i BNY MELLON CASH RESERVE OHM 12311NO 00 MCIOT 9/1.um I.H. es.NO MS,BE090 M5,860.90 ODO MS,BE0.9O BBFA052/] DREYFUS TREA58 AGY CSH CSH MG VAR FIT 1 Ml 0009 DO Mean 9/1/2016 .11016 1.009,OW 000 -1..ON 00 1.009.0eau 000 -1.009,00OD0 996085247 DREYFUS TREASB AGY CSH CSH MG VAR FIT 12J31/2009 DO ON00/9] 9/112016 SHOWS 56,3%.1W _-55,33<10 W.334]0 0.00 -56.336.10 996085247 DREYFUS TREAS&AGY DISH CSH MG VAR FIT 1 W1Y1049 DD 0409197 9/2I2018 FWN16 671.521 -61151 67152 000 -671.52 99EC6524] DREYFUS TREA66 AGY DISH CSH MG VAR FIT 1L312049 DO SWWO SAX16 922018 48O.1W -0%ll 45A18 1. -0W.IS 998OBSM7 DREYFUSTREA56AGYCSHCSHMGVMt RTlMlJ D49DDM1099] 9/fi12OlF 9162m6 S,S000OO -1COOM S'anonO 0or -SAW OO 98Y.`6520 DREYFUS TREA38 AGY CSH CSH MG VAR FIT 12 lOM DO 011 em ..is &fiRm6 14,66].5. -14,6B7 50 14,887.10 000 -14,687.50 98FA05247 DREYFUS TREAS&AGY CSH CSH MG VAR FIT 1 DOHOO49 DO Mean BOrz016 9/]rz016 7.S6O852820 -],MN F.ED 7.51N.S., 2 000 7.50,B5282 99608520 DREYFUS TREAS&AGY CSH CSH MG VAR FIT 12J31/2049 DO ON09R7 902016 9A12016 "'Sul 910 6 86191 &.861.81 0.00 -64,861.91 996005247 DREYFUS TREAS&AGY DISH CSH MG VAR FIT 1231Y1049 DD 0409197 9/122016 Wines 2,507,8125W -2,5DT,BID 50 2.507,81250 000 -2,507,812SO 9 ROSS24] DREYFUS TREA6&AGY CSH CSH MG VAR FIT 1 L312049 DD D41SWO Simla 91 66,130.a. -68130.D0 86,13D.OD 0.00 $6,130.pD 998005M7 DREYFUS TREA56 AGY CSH CSH MG VAR FIT 1Z312049 DD m/099] 9/14/2018 91l. US9W.9W J45,9609D 445,9e0.90 00O A45,9W.90 98606520 DREYFUS TREA36 AGY CSH CSH MG VAR FIT 12 lOM DO Mean M.H. ..is 5,551,625.ON -5,551,San On 5,551,B25.00 000 -5,5S1,62SW BBfA85247 DREYFUS TREAS&AGY CSH CSH MG VAR FIT 12311.DO WNBIW W15rzm6 &15rzm6 72CCl.340 -7.ON 34 72S.61O34 0A0 729610.3f 99W8520 DREYFUS TREAS&AGY CSH CSH MG VAR FIT 12J312049 DO 04N99] WIWO16 91162016 58,724.610 -58)24.61 58.724.61 0.01 -68,724.61 996005247 DREYFUS TREAS&AGY DISH CSH MG VAR FIT 1 W12049 DD 0409197 9/190016 9/190016 214,144.980 -214144W 214,144.98 000 214,144.98 996065247 DREYFUS TREA6&AGY DISH CSH MG VAR FIT 1L312049 DD D41SWO W202016 92D2m6 1,9599W -1,95995 1,959S5 000 -1,9599, 998005M7 DREYFUS TREA56 AGY CSH CSH MG VAR FIT 12,31,Dom DD OV099] 9/21/2m8 NOCO16 4,8000000. A,BW,WOW 4,M3aWOoO 0or <,80000000 98Y.`6520 DREYFUS TREA36 AGY CSH CSH MG VAR FIT 12 lOM DO 0V em 9212m6 .11m6 270,108.430 -90,1.41 2ID,1OSA3 000 -270,106.43 98FA05247 DREYFUS TREAS&AGY CSH CSH MG VAR FIT 123112049 DO Mean 926rzm6 92N2016 62803420 62,W342 S2.XS2 OAO -RAW 996085247 DREYFUS TREAS&AGY CSH CSH MG VAR FIT 12J312049 DO MWW 9282016 WNSOOl6 2.737,W0 ON -2,737 W000 2.737.000.00 0.00 -2.737,003.DO 996085247 DREYFUS TREAS&AGY DISH CSH_MG VAR FIT 1 W12049 DD 0409197 9OW016 MMO16 7.21a SIN -722099 7,22099 000 -7,2W 99 9960,5247 DREYFUS TREA6&AGY CSH CSH MG VAR FIT 1 L312049 DO SWWO SO.016 MOCI 50,7SOOW -50,750.W 50,75AW 100 -50,751 998WSM7 DREYFUS TREAD&AGY CSH CSH MG VAR FIT 12J31,Dom DO OV099] 91302m8 FE.Ols 2,010,OW 000 -DO1.WOW 2,010,000.00 0or -2,111 Or 31336W59 FEDERAL HOME LN BK CONS DICS N 1 b 16 9271016 9/21rzm6 ]W,OW.ON -WE,%1.11 699,961.11 000 ans'Se1.11 31338IX40 FEDERAL HOME LN BK CONS DISC IW1P2016 .016 9/]rzm6 1.20ONE NO -1.1 Se 673.33 1.199.67333 000 -1.188.all.W 3133&0<40 FEDERAL HOME LN BK CONS DISC IWI=016 9/]p016 9fl2018 "a OW.OW -109 SM..] 598.836.6T 0.00 508.8 GT 313WK40 FEDERAL HOME LN SIR CONS DISC 1WIM016 9/13/2018 9/132018 "a ON -2SN 369 25 2.899,3025 000 -2,899,36925 313384.0 FEDERAL HOME LN BK CONS DISC 1WIW016 9/1M2016 911&2m8 2,NoNo NO -I..I2 1,999,BM44 OW 4,999,62444 013... FEDERAL HOME LN BK CONS DISC 10I1 6 9/2]2m8 92]2m6 4,000000.001 -3,999,59660 Ones..HIS 0or -31999,966.S8 313396K3e FEDERAL HOME LN MTG CORE DISC 0.000%1N11rzm8 DO 1 O/1L15 9/1.um WlMol6 3,010. ISSI,531 P5 2,999,531.25 Dun -2,899,531.25 88233GKC8 TOYOTA MIR CR CP DISC lOH2C016 BOrz016 9/]rzm6 L.OuNE 0. -BW,50184 988.58180 O.On ass'.1.SU FIXED INCOME SECURITIES 4,139,643.13 4,139,643.13 0.00 4,139,643.13 U.S.DOLLAR 4,139,643.13 4,139,543.13 0.00 3,139,643.13 161571HHO CHASE ISSUANCE TRUSTA]A]1.W0%011612019 DO 0113116 9MI2016 Wl WD16 4,1400W.OJ0 4,139,64313 4,139,643.13 Ew A,139,643.13 RECEIPTS AND DISBURSEMENT TRANSACTIONS 0.00 .15,392.00 0.00 0.00 MISCELLANEOUS INCOME 0.00 -15,392.00 0.00 0.00 U.S.DOLLAR _ 0.00 -15,392.00 0.00 0.00 m2828WU0 IS INFLATION ADJUSTMENTS US TREASCPI INFtAT 9/12m8 &12m8 ON 1,144.W E. OW 912B28WU0 ILB INFLATION ADJUSTMI US TREASCPI INFLAT BIM2m6 &ZRm6 -1,]W.0.'U ON -1.768.00 O.W O.W 91deswuO ILB INFLATION ADJUSTMENTS US TREASLPI INFIAT 9W2m6 &6Tm6 -1,1H.0.N OOu -1.1HD0 ON OW 9121SWU0 ILB INFLATION ADJUSTMENTS US TREASLPI INFtAT 99Y1016 9]]2016 -520.OW ON 520.00 0.On am Rapm11E TX8355 Report TlmeAemp:Men CI 17 20160124:23 PM Page 2 of Transaction Report BNY MELLON OCSD-CONSOLIDATED-OCSG00010000 Effective Contract Trade Date Base Investment Base Investment Base Security ID Desdri"..a Date Settle Data Stares/Par Amount Amount BeiNLass Settle Base Amount 912B28W00 ILB INFLATION ADJUSTMENTS US TREABCPI INRAT 9/BI2rl6 WB/2016 620 NO 0or AN Or 000 000 912B28WU0 ILB INFLATION ADJUSTMENTS US TREASCGI INFLAT 9/9/2Olu 9I9I2U. -'S.ON 0.00 -1,66M1.00 0.00 000 812828Wu. ILB INFLATION ADJUSTMENTS US TREASLPI INFLAT W12rzm6 wl.,16 -..0W 0.00 62400 0.00 0.00 91=SWUO ILB INFLATION ADJUSTMENTS US TRE4SLPI INFLAT ull. 16 8/132016 5Norr 0.00 5Do.00 0.00 1 Or 912828WU0 ILB INFLATION ADJUSTMENTS US TREMSCPI INFLAT 9/1a0016 9I1M2016 4NOW 0.00 .6.00 000 Or 912520WUO ILB INFLATION ADJUSTMENTS US TREASCPI INRAT 9/15/2018 A152018 320000 000 32000 0or 000 912828WU0 ILB INFLATION ADJUSTMENTS US TREASCPI INRAT 9/l.S. &182m8 -1,]SB.ON 000 -1,78800 000 000 912828WU0 ILB INFLATION ADJUSTMENTS US TREASCGI INFLAT 9/192016 &1912m8 -520.OW 0.00 r20.00 0.On 010 81doswu0 ILS INFLATION ADJUSTMENTS US TREASLPI INFLAT ROM016 SSOI -520.0W 0.00 5Nuo 0.00 000 9128280U0 ILS INFLATION ADJUSTMENTS US TRE4SLPI INFLAT .1Y1016 91 624.ON 000 6.Ou 0.00 0.00 912828WU0 ILE INFLATION ADJUSTMENTS US TREMSCPI INFLAT 9OWO16 R=016 -520.OW 0.00 -52D 00 000 000 W2520WU0 ILB INFLATION ADJUSTMENTS US TREASCPI INFLAT 9/2.W6 9232016 1,7B6.ON 000 -1,78000 0Or SOO 912828WU0 ILB INFLATION ADJUSTMENTS US TREASCPI INRAT 92BRm8 d212 U. -No. 000 r2000 000 OW 912828WU0 ILB INFLATION ADJUSTMENTS US TREASCGI INFLAT W2]2018 A212018 -fi26.0W 0.00 626.00 0.00 0.00 81doswu0 ILS INFLATION ADJUSTMENTS US TREASLPI INFLAT 9rzerz016 9rzSrzm6 -.,.1 0.00 52000 0.00 OOO 91=80AX ILS INFLATION ADJUSTMENTS US TREM9LPI INFLAT SN,22016 9/29/2018 624.0W 0.or 6.Ou 0.00 0.00 912828WU0 ILB INFLATION ADJUSTMENTS US TREMSCPI INFLAT ROW016 MOS2016 SW ON 0on -52D 00 000 OW SALES 27,924,836.93 -27,905,653.50 19,183.43 27,924,836.93 CASH 3 CASH EQUIVALENTS 24,155,34].9] -24,155,347.97 0.00 U,155,34].9] U.S.DOLLAR 24,155,347.97 -24,10,347.97 0.00 24,155,347.97 99EC0]091 BNY MELLON CASH RESERVE OmO%12/31I2049 On 061261 9/e/2016 9RQO16 -8,611 Ru 8,61191 -aml Ol SON 8161191 N.N. BUY MELLON CASH RESERVE SUM 12/31OGn DO OB128197 Al,N2018 wl1 nl8 JONFLALL J05,98090 ."5,96090 0On F'RNA, 99Y.`8520 DREYFUS TREA38 AGY CSX CSH MG VAR FIT 12I316(i90001ASON VNO16 6']2m8 -2,799,091.940 2,799,notW -2,799,09191 0.On 2,799,091al 98FA05247 DREYFUS TREA98 AGY CSH CSH MG VAR FIT 12012049 DO MSA7 SAv2016 9RRm6 -3.717,92fi160 3,]1],We46 -3.717.926.06 0.00 3.711,926A6 9SW0524] DREYFUS TRESS&AGY CSH CSH MG VAR FIT 12J31M049 DD 04A)"n Wi M016 911W2016 -2.80 ,3693W 2,891 -2.899,36825 0.00 2.809369.25 9960052<] DREYFUS TREAS A AGY DISH CSH MG VAR FIT I W1M049 DD MONO 9/13M016 91132016 1,565,6W.030 4,585,WSI 03 d585,604.03 000 4,585,601 99EC0524] DREYFUS TREAB B AGY CSH CSH MO VAR FIT 1 M lRO49 OD WNW 9/160016 911wore -01999,155890 4.999155.89 ARW,15589 SON 4,9911$$89 99800520 DREYFUS TRESS B AGY CSH CAN MG VAR FIT 1 M1M049 DO 040997 9271m8 9272mB <,899,82]]93 4,899,62779 4,699,62]]9 0On 0699,82]]9 FIXED INCOME SECURITIES 3,T89,408.96 J,750,305.53 19,18" 3,759,488.96 U.S.DOLLAR 3,769,48 .96 -3,750,305.53 19,183.43 3,769,488.96 912828SSO U S TREASURY NOTE 0.876%04/302017 DO WOO112 9/]2016 91 -3.750,00D OW 3.769,,18896 3.760,30563 19,18343 3.769ACb.05 Ronan Id TX8355 Report Tlmenamp:Mon Oct 17 20160124:23 PM Page 3 of Callan September 30,2016 Orange County Sanitation District Investment Measurement Service Quarterly Review The following report was prepared by Callan Associates Inc. ('CAI") using 'information from sources that include the following: fund matee(s); fund custodian(s);investment humeri CAI computer software;CAI Investment manager and fund sponsor database;third party data vendors;and other outside sources as directed by the client.CAI assumes no responsibility for the accuracy or completeness of the Information provided,or methodologies employed by any information providers external to CAI.Reasonable care has been taken to assure the accuracy of the CAI database and computer software.Callan does not provide advice regarding, nor shall Callan be responsible for, the purchase, sale, hedge or holding of individual securities, including, without limitation securities of the client(i.e.,company stock)or derivadves In the client's accounts.In preparing the follh ing report,CAI has not reviewed the nsks of individual security holdings m the conformity of individual security holdings with the client's'mvestinent policies and guidelines,nor has it assumed any responsibility to do so.Advice pertaining to the minus of individual securities and derivatives should be discussed with a third party secunties expert Copyright 2016 by Callan Assocates Inc. Table of Contents September 30, 2016 Capital Market Review 1 Active Management Overview Market Overview 8 Domestic Fixed Income 9 Asset Allocation Investment Manager Asset Allocation 11 Investment Manager Returns 12 Asset Class Risk and Return 16 Manager Analysis Chandler-Long Tenn Operating Fund 18 Chandler-Liquid Operating Money 22 Callan Research/Education 24 Definitions 27 Disclosures 32 Callan Orange County Sanitation District Executive Summary for Period Ending September 30, 2016 Asset Allocation September 30, 2016 Market Value Weight Net New Inv. DOmesOc Fixed Incwre Long Term Operating Funtl' 326,203.379 84.91% (7,000,000) Total Fund $3a4,192,571 100.0% $(98,500,000) Performance Last Last Last Last Last 3 5 7 Quarter Year Years Years Years Domestic Fixed Income Long Term Operating FundA 0.09% 2.06% 1.62% 1.43% 2.26% Chandler 0,09% 2,06% - - - BB Barclays Govt/Grad 1-5 Year Idx 0.04% 2.06% 1.73% 1.60% 2.17% ML 1-5 Govt/Corp 0.05% 2.10% 1.78% 1.69% 2.24% Liquid Operating MoniscA 0.10% 0.40% 0.22% 0.20% 0.22% Chandler 0.10% 0.40% - - - Total Fund 0.09% 1.59% 1.36% 1.23% 1.89% Target' 0.05% 1.72% 1.44% 1.36% 1.81% Current Quarter Target=80.0%ML 1-5 GoWCoip and 20.0%3mo T-Bills. Ahssets were transferred in kind to Chandler on 12I1/2014.Previous performance reflects PIMCO. Recent Developments During the quarter, $88.5 million was withdrawn from the total portfolio. $7 million was taken from the Long Term Operating Fund and $81.5 exited the Liquid Operating Monies. Organizational Issues N/A Manager Performance After rates fell in late June and early July, Treasury yields rose across the curve, particularly in short and intermediate maturities. The 10-year hit a record low of 1.37% on July 5" at the height of Brexit-induced worries before trending higher for the remainder of the quarter. As attention shifted away from Brexit, strong U.S. data reignited expectations of a potential future rate hike from the Fed. Although the Fed continued to stay the course this quarter and left the fed funds rate unchanged at a target range of 0.25% - 0.50%, the number of dissenting votes at the September meeting marked a shift in sentiment. Three Federal Reserve officials voted to hike rates; the most since December 2014. As of quarter-end, markets were pricing in a roughly 50% likelihood of a rate hike before the end of the year. Callan Orange County Sanitation District October 31,2016 During the quarter, the 5-year Treasury rose 13 bps to 1.14%, and the 10-year increased 11 bps to 1.60%. The Bloomberg Barclays Aggregate Index gained 0.5%, bringing its year to date return to 5.8%. Government securities trailed the broader market (Barclays Government Index: -0.3%) while Credit securities led the broader market (Barclays Credit Index +1.2%). With the post-Brexit recovery in risk assets, investment grade credit spreads narrowed 18 basis points during the quarter while high yield spreads narrowed 114 basis points. High yield continues to lead other fixed income sectors, gaining 5.5% and 15.2% for the quarter and year to date (ML High Yield CP Index). Inflation protected securities increased 1.0% (Barclays U.S. TIPS Index). The Long Term Operating Fund was up 0.09% in the quarter, beating the ML 1-5 Govt/Corp Index (+0.05%) and ranking in the 61" percentile versus peers. The portfolio was short duration (2.38 versus 2.76 years), which helped as interest rates rose generally, and was underweight the short end of the yield curve (1-3 years). Chandler's allocation to mortgage- backed securities, which benefited from spread tightening, was additive to returns. The Long Term Operating Fund had less than 30% invested in credit and less than the permitted 20% invested in the combination of asset-backed securities, commercial mortgage backed securities, and CMOs as of September 30, 2016 (see page 21). The Liquid Operating Portfolio returned 0.06% (after fees) in the quarter, which was slightly lower than the return of the 3-month Treasury (+0.07%). The Portfolio returned 0.25% (after fees)for the trailing year and ranked 2151 percentile versus peers. Cordially, Gordon M. Weightman, CFA Vice President 2 Capital Market Review CA Callan NSTITUTE l CMR Preview Third Quarter 2016 This "Preview" contains excerpts from the upcoming Capital Broad Market Quarterly Returns Market Review (CMR) newsletter, which will be published in several weeks. a S.Equity(Russell 3000) -4,40% Non-U.S.Equity(MSCI ACWI e,USA) -6.91% U.S.Eked Barclays Aggregate) � 0.46% Sell in May? No Way! Non-U.S.Fixed(Gill Non-U.S.) 0.60% U.S. EQUITY I Mark Wood,CFA Cash(90-DayT-Bills) lam% Sources'.Blaombeg Bamisys,Cillgroup Mi Lynch,MSCI,Russell geRtmax Group The S&P 500 Index rose every month of the third quarter, ending up 3.85%. Small-capitalization companies trounced large cap (Russell 2000 Index: +9,05% vs. Russell 1000 Index: +4,03%), while growth outpaced value in all capitalize- Quantity, not Quality tions(Russell 1000 Growth Index: +4.58%vs. Russell 1000 U.S. FIXED INCOME I Full Lama Value Index: +3.48%; Russell 2000 Growth Index: +9.22% During the third quarter, band investors shook off concerns vs. Russell 2000 Value Index:+8.87%). about the economy and developed a strong appetite for risk in The S&P 500 climbed to its all-time high of 2,193 on August their pursuit of yield. Companies took advantage of low rates 15, ending in positive territory for the fourth quarter in pg.2 centin- row. and issued record supplies of new bonds.The Fed continued to Continued on push off a rate hike,citing a desire for further evidence of ued economic recovery. Calm After the Storm Continued on pg.4 NON-U.S. EQUITY I Inna Sushch Short End of the Stick Following two highly volatile quarters, the third quarter of 2016 NON.U.S. FIXED INCOME I Kyle Fakers bucked the trend—volatility was exceptionally low as investors appeared complacent about Continued accommodative central Sovereign bond markets strengthened during the third quarter, bank policies and steady, albeit slow, economic growth.A risk- with emerging market bonds outmuscling the developed mar- on rally led to stock market highs as anxieties about the U.K.'s kets as investors sought yield. Major currencies were mixed as vote to exit the European Union("Brexit")dwindled. the British pound suffered following the Brexit. In this environment,the MSCI ACWI ex USA Index rose 6.91%. In an extraordinary effort to stimulate economic growth and infla- In contrast to the previous quarter, economically sensitive sac, tion,the Bank of Japan introduced a 0%yield-target for 10-year tors fared best, particularly Information Technology (+15.50%) bonds, aiming to exceed its 2% inflation objective. The central and Materials (+12.56%). Health Care was the only sector in bank also intends to maintain its negative short rate stance in an Continued on p9.3 Continued on pg.5 Knowledge. Experience. Integrity. U.S. Equity: Sell in May? No Way! Rolling One-Year Relative Returns (vs. Russell 1000) Continued from pg. 1 •Russell 1000 Grwne •Russell moo Value •Russell 1000 30% - - - - - - The early days of the quarter were characterized by a strong rebound in equity markets following the late June vote in the 20% - - - - - - - - - - - - - - - - - - - - --------- U.K. to leave the European Union ("Brexit"). Market volatil- ity (as measured by VIX) spiked in the immediate aftermath 10% _ _ _ but retreated just as quickly as investors absorbed the shock. 0% The swift pivot, coupled with optimism over U.S. economic prospects and easing fears on China, led to a risk-on envi- -10% - - - - - - - - - - - - - - - - - - - - - - - - --- ronment. July produced the strongest returns of the quarter across market capitalizations;August and September traded in a narrow (but ultimately positive) range as markets antici- pated the Fed's interest rate decision in mid-September,which 97 98 99 00 01 02 03 04 05 08 07 08 09 10 11 12 13 16 18 16 was to forego a rate hike. Foreign developed market indices Source:Russell mvesrmem Group outperformed the S&P 500 and, consistent with the quarter's risk-on theme, emerging markets were the top performers. 1000 Growth minus Russell 1000 Value). Defensive and high- Size was the single biggest determinant of performance. dividend yield exposures sold off during the third quarter but Smaller companies did better—micro, small, and mid-capi- have performed well year-to-date due to the increased global talization companies outpaced large-cap stocks (Russell economic uncertainty earlier in 2016. Microcap Index: +11.25%, Russell 2000 Index: +9.05%, Russell Midcap Index: +4.52%, and Russell 1000 Index: Sector performance reflected the shift in risk attitudes.Among +4.03%). Additionally, after two strong quarters value under- the worst-performing sectors in the S&P 500 during the quarter performed growth in all capitalizations (Russell 2000 Value were Utilities(-0.7%),Consumer Staples(-0.7%),and Telecom Index: +6,67% and Russell 2000 Growth Index: +9,22%). (+1,0)--all sectors associated with lower volatility and higher The dispersion in style returns was narrow across market dividend yields.After a strong performance in the second quar- capitalizalions,with the widest(110 bps)in large cap(Russell ter, Energy retreated, posting a 1.9% loss for the quarter. The more growth-oriented, risk-on sectors, Technology (+7,9%) and Health Care (+4.9%), were the top performers. In a new Quarterly Performance of Select Sectors development, REITs and other listed real estate companies •Russell 1000 •Ruesell 20o0 were extracted from the Financials sector and elevated to a new Real Estate sector in the Global Industry Classification Standard (GICS). The new sector, representing 3.1% of the S&P 500, had a tough start,finishing down 2.1%. The U.S. equity market continued to rise, even as investor assesse sentiment wavered between positive and negative over the I 1e�=i course of the quarter.Activemanagerscontinuetofinditadif - ficult environment to outperform as macro factors dominated Technology Financial Services consumer Utilities rice aCIIVIt and performance 10 equity markets. Staples P Y P Q Y Source:Russell Investment Coup 2 I Callan Non-U.S. Equity: Calm After the Storm Rolling One-Year Relative Returns Continued from pg. 1 (vs.MSCI World ex USA, USD hedged) e MSCI Pacific a MSCI Europa a MSCI Word ex USA the red (-1.96%), although its defensive counterparts, Utilities 40% (+0.20%) and Telecommunications (+0.43%), faltered as well. 30%--A- ------- - - - - - - - - - - - - - - - - - - - Consistent with the quarter's risk-on theme, emerging mar- 20% kets(MSCI Emerging Markets Index: +9,03%)outpaced their 10%--- — --- -------- -- — developed peers (MSCI World ex USA Index: +6.29%), even 0% excluding Canada (MSCI EAFE Index: +6.43%). The MSCI -10%--- — — ———— — ---------- --- ACWI ex USA Value Index (+7,79%) overcame the MSCI -20% ACWI ex USA Growth Index (+6.06%)for the first time since ao% the second quarter of 2014. Small-cap stocks shot up into the -40%1"'1"I"'I'"I...I...I...I 97 90 99 00 01 02 03 O6 OS Ofi 0] OB 09 10 11 12 13 14 1616 black(MSCI ACWI ex USA Small Cap Index: +7,91%),finish- source:MSCI ing near the top among major non-U.S.indices. health care company makes up approximately 20% of the Equity markets across Europe crashed following the unex- country's index, was particularly hard hit, dropping 6.27%. pected vote for Brezit but regained ground quickly as it became clear the aftermath of the referendum was not immediately Southeast Asia and the Pacific enjoyed a buoyant quarter as catastrophic. British Prime Minister David Cameron resigned well;the MSCI Pacific Index was up 8.46%.Japanese equities and was replaced by Theresa May,who pledged that the U.K. rallied during the quarter, ascending 8.60% due to new cen- would go through with exiting the European Union, but not tral bank policies and a fresh stimulus package. Additionally, hastily. The Bank of England sprang into action to support the Consumer Discretionary, IT,and Materials stocks surged due to economy,and the European Central Bank offered reassurance strong earnings growth in several gaming and automobile com- that it too would work to bolster growth. The MSCI Europe panies. Australia (+7,91%) and New Zealand (+12.44%) also Index climbed 5.40%, with the strong performers including performed well as megabanks and commodities gained ground. Austria (+16.66%), Germany (+10.01%), Spain (+9,32%), the Netherlands (+9.11%), and even the U.K. (+3.98%).Their Emerging markets shot up in the accommodative macroeoo- vigor was attributed to better-than-expected earnings from nomic environment(MSCI Emerging Markets Index:+9.03%). Information Technology giants, improving Commodity prices, The top sector was IT, surging 16.08%. The stocks of smart- rallying financial stocks, and a swell of M&A activity. European phone manufacturers and technology Component suppliers Health Care stocks stumbled(-3.09%)due to intensified global soared,boosting the Asian markets,including Taiwan(+11.70%) scrutiny during the U.S. election; Denmark, where a large and South Korea(+10.98%).China was one of the biggest ben- eficiaries (+13.92%), thanks to its burgeoning internet giants. Regional Quarterly Performance (U.S. Dollar) Latin America was relatively sluggish this quarter(+5.37%)but MSCI Chine 13.92% was propped up by Brazil, which shot up another 11.31%, sky- MSCI EnnergingMarkeis-9.03% rocketing 62.90%Year-to-date.Hopes for economic change run MSCI Japan —a60% high under Michel Temer, who replaced the impeached Dilma MSCI Rousseff as president. Russia did not miss out on the rally, up 8.43%. However, Turkey, the Philippines, and Malaysia were MSCI A ACCWI ex USA—6.91%M.ex Japan —8.10% all in the red as political turmoil Continued to afflict the coun- MSCI Word ex USA-6.296 tries (-5.26%, -5.33%, and -1.52%, respectively). Mexico also MSCI Europe—s.aov. dwindled-2.24%as the peso fell 5%against the dollar. Source:MSCI Knowledge. Experience. Integrity. 13 U.S. Fixed Income: Quantity, not Quality outperformed MSS (+0.60%) and CMBS (+0.59%). Industrials Continued from pg. 1 beat Utilities and Financials on a duration-adjusted basis. Treasuries ended the quarter in the red (-0.28%). For the quarter, the Bloomberg Barclays High Yield Index returned 5.55%while the Bloomberg Barclays U.S.Aggregate Investment-grade corporate issuance totaled $340 billion for Index managed to rise a mere 0.46%. the quarter,setting a record.CMBS and municipal markets also demonstrated robust supply. By the end of September,year-to- Driven by Brexit-induced concerns, the yield on the bench- date corporate investment-grade bond issuance was 8%ahead mark 10-year Treasury note hit a record low of 1.37% in July; of last year's pace.And the record supplies in issuances were however, it rose for the remainder of the quarter and closed met with strong demand as investors snapped up bonds. at 1.60%. While the Fed left the federal funds rate unchanged (between 0.25% and 0.50%), its announcement was notewor- Historical 10-Year Yelds thy because of the high level of disagreement; the three dis- senting votes were the most since December 2014. Based on •Us,10 Year Treasury Yleld 1010-Year TIPS Yield •Breakeyen Inflation Rate federal funds futures contracts, traders are betting there is a 6% 17%chance of a rate hike at the next meeting in November but 5% _ _____________________________ a 67%chance at the meeting after that, in December. Yields varied across the maturity spectrum during the quarter: 3% ------ —-- — ------- -------- While Treasury rates rose along the entire yield curve in August, 2% —— —— —— — — —— ——— —— thecurvesteepenedinSeptemberasthe2-year fell by 4 basis 1% ---- — ——— ————————————————— points to 0.76%and the 30-year rose by 8 basis points to end o% at 2.32%. Intermediate Treasuries (-0.26%)outperformed long Treasuries(-0.36%)during the quarter. 07 08 09 10 11 12 13 14 15 16 Souce:Bloomberg Credit spreads tightened during the quarter and yields inched toward historic lows. High-yield corporates were the stron- gest performer with a 5.55%jump. Despite record issuances U.S.Treasury Yeld Curves in August, the credit sector gained 1.23% for the quarter and •September 30,2016 •June 30,2016 •September 30,2015 5% Fixed Income Index Quarterly Returns 4% Bloomberg Barclays Aggregate .OAS% 3% 4.28%' Bloomberg Barclays Treasury Bloomberg Barclays Agencies 10.14% 2% _________ Bloomberg Barclays CMBS ■ 0.59% Bloomberg Barclays ASS '0.20Y. Bloomberg Bards,MBS ■ 0.60% 1% Bloomberg Barclays Credit _ 1.23% Bloomberg Barclays Corp.High Yield —5.55% 0% . I I . . . . I . . . . I Bloombcrg Barclays US TIPS -0.96% 0 5 10 15 20 25 30 Matunry(years) Source:Bloomberg Barclays Source:Bloomberg 4 I Callan Non-U.S. Fixed Income: Short End Emerging Spreads Over Developed (By Region) of the Stick Emeging Americas a Emerging EMEA IEanse,Midae EZM 4rzl a Emeging Asia Continued from pg. 1 9% - effort to steepen the yield curve and thus help increase proft- 5% _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ ability for banks.The bank's governor termed the new policy a "reinforcement"of its quantitative easing(QE)program.Central 4% banks have typically targeted short-term rates in QE programs, - - - - - - - - - - - - - - - - - - - - - - - - - focusing on maturities of less than a year.Yield on the 10-year 2% _ government bond settled at-0.09%at the end of the quarter. 0% Overall, the European sovereign bond market was flat as the 12 13 14 13 16 European Central Bank left interest rates unchanged. The Source:Bloomberg Bloomberg Barclays Global Aggregate Index rose 0.82% (+0.53% hedged). The ECB committed to a monthly QE pro- gram of buying E80 billion in government bonds, asset-backed 10-Year Global Government Bond Yields securities, and corporate debt through March 2017; however, •U.S.Treasury •Germany U.K •Canada Japan President Mario Draghi announced a review of the program to s% ensure investable assets would not dry up.Yield on the German 5% 10-year bund notched up a basis point to-0.12%.There is now a% __ ____________________- over $12 trillion of negative-yielding debt globally, with Japan accounting for nearly half and Western Europe amely Fmnce, 3% ___ Germany, and the Netherlands—the other half. Investors sus- 2%_________ tained hunt for yield was evident in European bond pricing as 1%----------- -- ------ ----- periphery government Treasuries tended to decline more than 0% their core euro zone counterparts. The Spanish and Italian -1%1 10-year yields declined 28 bps and 7 bps to 0.88%and 1.91%, W 08 09 10 11 12 13 14 15 15 respectively.The euro increased 1.16%against the U.S. dollar. Change In 10-Year Yields from 2016 to 3Q16 US.Treasury 12 bps The Brexit vote loomed over the market—the British pound Garmany 1 1 bps plummeted 2.83%—but despite the economic and politi- 12 bps - U.K. cal uncertainty the "leave" vote left in its wake, data released 8 bps- Canada showed no immediate negative effect on confidence or produc- Japan 13 bps tivity.Yield on the 10-year gilt fell 12 bps to 0.75%. Source:Bloomberg The developing markets advanced for the fourth straight quar- ter in spite of multiple political headwinds. The hard currency J.P. Morgan EMBI Global Index climbed 4.04%. In Brazil, a downgrade by Moody's to junk status, which cited Turkey's Michel Tamer took the office of president after the impeachment heavy reliance on external financing. Loral currency debt, as and removal of his predecessor, Dilma Rousseff,for budgetary measured by the J.P. Morgan GBI-EM Global Diversified indiscretions. Turkey endured a failed coup attempt as well as Index,ticked up 2.68%. Knowledge. Experience. Integrity. I 5 Active Management Overview Market Overview Active Management vs Index Returns Market Overview The charts below illustrate the range of returns across managers in Callan's Separate Account database over the most recent one quarter and one year time periods. The database is broken down by asset class to illustrate the difference in returns across those asset classes.An appropriate index is also shown for each asset class for comparison purposes.As an example, the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter. The triangle represents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in the Large Cap Equity manager database. Range of Separate Account Manager Returns by Asset Class One Quarter Ended September 30,2016 1a% 12% to% (25) is E 8% 6% N 62) 4% (66) 2% ® 33)� 0% 84 ® 82) Large Cap Small Cap Non Equity Domestic Non-US Real Equity Equity Equity Fixed Income Fixed Income Estate v s a S&P 300 Russell 2000 MSCI EAFE Be Barclays Aggr CIU NomU3 Gov[ NCREIF Index 10th Percentile 690 10.78 8.96 1,15 2Y0 3.06 25th Percentile 5.60 9.04 7.80 0,94 2A1 2.48 Median 4.51 7.69 6.]] 0.70 1A6 1.62 75th Percentile 3.41 6.44 5.]] 0.52 0.8] 1.05 90th Percentile 2.05 5.41 4.47 0.33 o23 0.28 Index ♦ 3.85 9.05 6.43 0.46 0.59 2.03 Range of Separate Account Manager Returns by Asset Class One Year Ended September 30, 2016 zs% z0% 16% (14) (35) is K 5% (62) ♦ (83)� 0% (5%) Large Cap Small Cap Non-US Domestic Non-US Real Eqt Equity Equity Fixed Income Fixed Income Estate vs vs vs vs ve S&P Soo Russell 2000 MSCI SAFE Be Barclays Aggr CIS Non-US Govt NCREIF Index 10th Percentile 16,19 19.80 13.33 6.72 14.15 1694 25th Percentile 1445 16.74 10.74 6.11 1&24 1206 Median 12.15 13.49 TM 5.65 11Al 9.34 ]5[h Percentile 1059 8.]8 5.40 5.29 1o03 5.98 10th Percentile 8.32 5.40 3.92 4.96 5.53 (0.M) Intlex • 15.43 15.47 6.52 5.19 12.60 9.51 Callan Orange County Sanitation Dial 8 Domestic Fixed Income Active Management Overview Yields in the US moved modestly higher during the 3rd quarter with the 10-year US Treasury yield rising 11 bps to close at 1.60%. However, the Treasury note did hit a record low of 1.37% on July 8th at the height of the Brexit-induced worries before trending higher through the remainder of the quarter. The yield curve continued its flattening trend in anticipation of eventual Fed rate hikes. Spread sectors outperformed US Treasuries with corporates, and especially high yield, being the strongest. The Bloomberg Barclays US Aggregate returned +0.5% for the quarter and is up 5.8% year-to-date. The BB Barclays High Yield Index gained 5.6% and is up over 15% year-to-date. The median Core and Core Plus Fixed Income managers outperformed the Barclays Aggregate Index. Separate Account Style Group Median Returns for Quarter Ended September 30,2016 Be Barclays Aggregate: 0.46% 7% Be Barclays High Yield. 5.55% Be Barclays Lang Gov/Creel: 1.24% 6% 5.08 5% _________________________________ is4% _________________________________ E d 2% ____________________________ 1.36 1.51 1% __________________ 0.]0 0.15 0.26 0% Defensive Inteoned Core Core Plus Extended Bank High Yield Bond Maturity Loans Separate Account Style Group Median Returns for One Year Ended September 30,2016 Be Barclays Aggregate: 5.19% 20% Be Barclays High Yield. 12.73% Be Barclays Lang Gov/Creel: 14.66% 15% ----------------------- 15.14 E 10.86 3 10% ---- --- m ----------------------- 6.55 6.66 5.]0 5% _____________ 3.83 1.]2 0% Defensive Inteoned Core Core Plus Extended Bank High Yield Bond Matunty Loans Callan Orange County Beginning DisVict g Asset Allocation Investment Manager Asset Allocation The table below contrasts the distribution of assets across the Fund's investment managers as of September 30, 2016, with the distribution as of June 30, 2016. 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 September 30,2016 June 30,2016 Market Value Weiaht Net New Inv. Inv. Return Market Value Weli Domestic Fixed Income Long Tenn Operating Funi 328,203,379 84.91% (7,000,0001 307,934 332,895p45 70A8% Licuid OperimingM ni ) 2 1 15.09% (81,500,0001 88,050 139,401,241 2 . 2 Total Fund $3KI92,671 100.0% $(88,500,000) $395,985 $472,286,686 100.0% 'Chandler ordered PIMCO during the 4U quarter of 2014.Assets were transferred In-kind as of IV01/2014. Callan Orange County Sanitation Dior st 11 Investment Manager Returns The table below details the rates of return for the Fund's investment managers over various time periods ended September 30, 2016. 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 September 30, 2016 Last Last Last Last Last 3 5 7 Quarter Year Years Years Years Domestic Fixed Income Long Term Operating Fund^ 0.09% 2.06% 1.62% 1.43% 2.26% Chandler 0.09% 2.06% - - - BB Barclays Govt/Cred 1-5 Year Idx 0.04% 2.06% 1.73% 1.60% 2.17% MIL 1-5 Govt/Corp 0.05% 2.10% 1.78% 1.69% 2.24% Liquid Operating MoniesA 0.10% 0.40% 0.22% 0.20% 0.22% Chandler 0.10% 0.40% - - - CitiarouD 3-Month Treasury Bill 0.07% 0.20% 0.09% 0.08% 0.09% Total Fund 0.09% 1.59% 1.36% 1.23% 1.89% Target* 0.05% 1.72% 1.44% 1.36% 1.81% "Current Quarter Target=80.0% ML 1-5 Govt/Corp and 20.0%3mo T-Bills. AAssets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO. Callan orange County sanitation Distnot 12 Investment Manager Returns The table below details the rates of return for the Fund's investment managers over various time periods ended September 30, 2016. 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 September 30, 2016 Last Last Last 10 15 21 Years Years Years Domestic Fixed Income Long Term Operating Fund^ 3.43% 3.60% 4.57% BB Barclays GovVCred 1-5 Year Idx 3.26% 3.39% 4.38% MIL 1-5 GovttCorp 3.29% 3.39% 4.41% Liquid Operating Monies^ 1.09% 1.54% 2.72% CitiarouD 3-Month Treasury Bill 0.84% 1.30% 2.39% Total Fund 2.99% 3.24% 4.28% Target' 2.80% 2.97% 4.01% "Current Quarter Target=80.0% ML 1-5 Govt/Corp and 20.0%3mo T-Bills. AAssets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO. Callan orange County sanitation Distract is 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. 12/2015- 9/2016 2015 2014 2013 2012 Domestic Fixed Income Long Term Operating FundA 2.40% 0.85% 1.98% (1.77%) 3.06% Chandler 2.40% 0.85% - - - BB Barclays Govt/Cred 1-5 Year Idx 2.64% 0.97% 1.42% 0.28% 2.24% MIL 1-5 Govt/Corp 2.66% 1.05% 1.51% 0.32% 2.47% Liquid Operating MoniW 0.35% 0.22% 0.09% 0.13% 0.17% Chandler 0.35% 0.22% - - - Citigroup3-Month Treasury Bill 0.19% 0.03% 0.03% 0.05% 0.07% Total Fund 1.86% 0.80% 1.73% (1.49%) 2.70% Target* 2.16% 0.85% 1.21% 0.26% 1.99% "Current Quarter Target=80.0% MIL 1-5 Govt/Corp and 20.0%3mo T-Bills. AAssets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO. Callan orange County 5annation oistnot ty 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. 2011 2010 2009 2008 2007 Domestic Fixed Income Long Term Operating FundA 4.59% 4.42% 5.52% 5.37% 7.21% BB Barclays Govt/Cred 1-5 Year Idx 3.14% 4.08% 4.62% 5.12% 7.27% MIL 1-5 Govt/Corp 3.10% 4.17% 4.88% 4.65% 7.27% Liquid Operating MoniesA 0.24% 0.25% 0.58% 2.40% 5.25% Citigroup 3-Month Treasury Bill 0.08% 0.13% 0.16% 1.80% 4.74% Total Fund 3.70% 3.68% 4.65% 4.61% 6.84% Target* 2.49% 3.36% 3.93% 4.08% 6.76% "Current Quarter Target=80.0% MIL 1-5 Govt/Corp and 20.0%3mo T-Bills. AAssets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO. Callan orange County 5annation piav ct is 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 2.5% 2.0% 1.5% E E d K 1.0% 0.5% 0.0% 0.0% 0.2% 0.4% 06% 0.8% 1.0% 1.2% 1.4% 1.6% Standard Deviation Seven Year Annualized Risk vs Return Asset Classes vs Asset Class Median 2.5% 2,0% r: : 1.5% E E d K 1.0% 0.5% 0.0% 00% 0.2% 0.4% 06% 0.8% 1.0% 1.2% 14% 1.6% Standard Deviation Callan orange County sanitation DiWd 1a Manager Analysis Chandler-Long Term Operating Fund Period Ended September 30, 2016 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 Quarterly Asset Growth • Long Term Operating Fund's portfolio posted a 0.09%return Beginning Market Value $332,895,445 for the quarter placing it in the 61 percentile of the CAI Net New Investment $-7,000,000 Defensive Fixed Income group for the quarter and in the 31 percentile for the last year. Investment Gains/(Losses) $307,934 • Long Term Operating Fund's portfolio outperformed the ML Ending Market Value $326,203,379 1-5 GovtfCorp by 0.04%for the quarter and underperformed the MIL 1-5 Govt/Corp for the year by 0.04%. Performance vs CAI Defensive Fixed Income(Gross) 6% 5% 4% -a1z i 25,®elz 1 3% 2% 29)MC �5)®A�3 2)®^f3 j7)®B�4 J9)®B�3 1% 0% A6 (1%) Laat pr Las[ Chandler Last 3 Yrs Last 5 Yrs Last 7 Yrs Last 10 Yrs Last 20.5 Yrs Yr Inception 101h Percentile 0.59 2.68 2.25 2.06 2.43 2.93 3.67 4,62 25th Percentile 0.M 2.18 1.98 1.74 1.86 2.32 3.31 4.41 Median 0.15 1.72 1.67 1.47 1.48 1.95 2.89 4,09 75th Percentile 0.03 1.35 1.34 1.18 1.13 1.49 2.57 3.94 901h Percentile (0.02) 1.14 1.24 1.06 0.98 1.32 2.34 3,76 Long Term Operating Fund •A 0.09 2.06 1.85 1.62 1.43 2.26 3.43 4,57 as 6ardays GOWCrad 1-5 Year ldx as 0.04 2.06 2.06 1.73 1.60 2.17 3.26 4,38 ML1-5G0VVC0ry ♦ 0.05 2.10 2.12 1.78 1.69 2.24 3.29 441 CAI Defensive Fixed Income(Gross) Relative Return vs MIL 1.5 Govt/Corp Annualized Seven Year Risk vs Return 2.0% 3.5% 1.5% -- -- -- -- -- -- - 3.0% m 1.0% E 2.5% •• dJ 2.0% of In qr (1.5%) 0.5% 09 2010 2011 2012 2013 2014 2015 2016 0.0 0.5 1.0 L5 2.0 2.5 Long Term Operating Fund Standard Deviation Callan Orange County Samation Diemd 18 Long Term Operating Fund Return Analysis Summary Return Analysis The graphs below analyze the managers return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager's ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the managers ranking relative to their style using various risk-adjusted return measures. Assets were transferred in kind to Chandler on 12/112014. Previous performance reflects PIMCO. Performance vs CAI Defensive Fixed Income(Gross) 20% 15% ( 15%115,1116 6eiea,B A lei ]®A 14"A 1 j]5"�A� ®A� B A( 0�5�A1 ) (5%) A 0 ) (10%) 12/1S 9116 2015 2014 M13 2012 2011 2010 moo 2008 2007 10th Pargai 2. 18 1.50 1.20 4.4 2.]2 4.]1 13.74 6s3 7.03 25M1 nte 1 .60 56 6.88POme 29 Metlian 1.94 000 1 6 ] 1.9 .11 0. 5 181 1.8 3. 9 5.91 388 645 ]Sth Percentile 1.51 0.76 0.87 0.41 1.48 1.65 2.72 2.53 (0.1]) 5.66 901M1 Percentile 1.46 0.64 0.70 0.31 0.92 1.44 2.41 1.82 (3.4] 3.75 Long Term Operating Fund •A 2.40 0.85 1.98 (1]]) 3.06 4.59 4.42 5.52 5.37 7.21 Be Sam. s GOWCod I5Yiarltlx ■B 2.64 0.97 1.42 0.28 2.24 3.14 4.08 4.62 5A2 ].2] ML 1-5 GOWC01 ♦ 2.66 1.05 1.51 0.32 2.47 3.10 4.17 4.88 4.65 ].2] Cumulative and Quarterly Relative Return vs ML 1.5 GoWCorp 6% 4% in E 2% -`J 0% N > (2%) (4%) (6%) (8%) 06 2007 2008 2009 2010 2011 2012 2013 2014 2015 416 Long Term Operating Fund 0 Be Barclays GovVCred 1-5 Year W.0 CAl Defensive Fixetl Inc Risk Adjusted Return Measures vs ML 1.5 GoWCorp Rankings Against CAI Defensive Fixed Income(Gross) Seven Years Ended September 30,2016 541 3sp I) 2 •A198� 1.0 �A189 (0.0 0 O}({71 511 1 B 88 B(82 (1) Alpha A99 Tzynor 12.0 Information Sharpe Excess Return Ratio Ratio Raul Ratio 10th Perwnlile 1.18 3.94 101h Percentile 2.02 2.38 0.69 25tM1 Percentile 0.85 3.47 251M1 Percentile 150 2.15 0.10 Medium 0.43 2.89 Median 1.2] 1.98 75th Percentile 0.19 2.51 751h Percentile 070 1.71 (1.us 90th Percentile (0.00) 2.12 90h Percentile 0.02 1.54 Long Term Lung Term Operating Fund •A (0.34) 1.83 Opemting Fund eA (0.40) 1.23 0.03 Be Barclays BB Barclays GOWCred 1-5 Year Itlx e8 (0.07) 2.06 GOWCred 1-5 Year Itlx eB (0.78) 1.57 (crag) Callan Orange County Sanitation District 19 Long Term Operating Fund Bond Characteristics Analysis Summary Portfolio Characteristics This graph compares the managers portfolio characteristics with the range of characteristics for the portfolios which make up the manager's style group. This analysis illustrates whether the manager's current holdings are consistent with other managers employing the same style. Fixed Income Portfolio Characteristics Rankings Against CAI Defensive Fixed Income as of September 30, 2016 3.5 3.0 (1) ♦ (9) 2.5 (8) P(16) (37) 2.0 1.5 ® •(38) (82) 1.0 (64) 0.5 0.0 (0.5) Average Effective coupon OA Duration LIN Yield Raw Convexly loth Percentle 2.19 2.79 2.51 3.05 0.09 25th Percentile 1.91 2.11 1.65 2.41 0.05 Median 1.80 1.98 1.34 1.92 0.04 75[h Percentile 1.63 1.84 1.14 1.70 0.01 90th Percentle 1.52 1.58 0.96 1.36 (0.02) Long Tom Operating Fund • 2.38 2.47 1.48 1.61 - BB Barclays Gov/Cr 1-5 Yr ♦ 2.76 2.89 1.21 2.21 0.07 Sector Allocation and Quality Ratings The first graph compares the managers sector allocation with the average allocation across all the members of the manager's style.The second graph compares the managers weighted average quality rating with the range of quality ratings for the style. Sector Allocation Quality Ratings September 30,2016 vs CAI Defensive Fixed Income as, 1' Tray RMBS th AAA US Tray Corp(incl 144A) s unit AAt 91 Other AA (8T) ABS AA Tax-Exempt US Muni A* CMOs A Welghted Average CMBS Quality Rating Cash loth Percentile AAA 25th Percentile AA Median AA Gov Related s' 758t Percentile AA- 80U Percentile At 0% 10% 20% 30% 40% 50% 60% 70% Long Term Lang Term Operating Fund 0CAI Defensive Fixed Income Operating Fund • AA BB Barclays Go dCr 1-5 Yr BB Barclays Gov/Cr 1-5 Yr ♦ M+ Callan Orange County Sanitation D eprot 20 Long Term Operating Fund Portfolio Characteristics Summary As of September 30, 2016 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 RMBS US Tray 29% 59% Cash Ass 9% 9% Tax-Exempt US Muni M111W 2% US Tray %� Other 10% CMOs Gov Related 3% nd Corp and 144A) 1%S Corp 28%144A) 22% Long Term Operating Fund BB Barclays Govt/Credit 1-5 Year LWeightedge: Duration Duration Distribution Operating Fund. 2.3650% s GovVCrede l-5 Year. 2.]6 0 — 41.4 40% ____ __________ ____ _ _ _____O — —24.]1% toe _1 _ _do a% < 0-1 1-2 2-3 15 5-7 7-10 I10 Years Duration fiWeighted Quality Quality Distribution as g Fund80% VCiedd 1-5 YearO ]0% —a]2 �q_________ ___ ___ __ _r g0a4 _ _________ ___ ___ __ __ ___ a° So% — ------- — — — -- --- W%20% s3a 10% �.a1oo1z.1 1z.6 a.a --- --- -- -- --- a% AAA AA A BBB BB B CCC CC C D WR Quality Rating Callan Orange County Sanitation D"prip 21 Chandler-Liquid Operating Money Period Ended September 30, 2016 Investment Philosophy Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO. Quarterly Summary and Highlights Quarterly Asset Growth • Liquid Operating Money Net's portfolio posted a 0.06% Beginning Market Value $139,401,241 return for the quarter placing it in the 29 percentile of the CAI Net New Investment S-81,500,000 Money Markel Funds group for the quarter and in the 21 percentile for the last year. Investment Gains/(Losses) $88,050 • Liquid Operating Money Net's portfolio underperformed the Ending Market Value $57,989,291 Citigroup 3-Month Treasury Bill by 0.01%for the quarter and outperformed the Citigroup 3-Month Treasury Bill for the year by 0.05%. Performance vs CAI Money Market Funds(Net) 3.0% 2.596 9) (15 2.0% 1.5% 1.0% 50)®(25 0.5% 0.0% 24 29 25) (21 26) (19 23) 26 20 17) 21 Last Otr Last Chandler Last 3 Yrs Last 5 Yes Last 7 Yes Last 10 Yrs Last 2eli Yrs Yr Inception 101h Percentile 0.16 0.50 0.32 0.20 0.15 0.14 1.08 2.0 25th Percentile 0.07 0.20 0.13 0.08 0.05 0.05 0.94 2.47 Median 0.03 0.06 0.04 0.03 0.02 0.02 0.84 2.32 75th Percentile 0.00 0.01 0.01 0.01 0.01 0.01 0.74 2.20 90th Pecedie 0.00 0.00 0.00 0.00 0.00 0.00 0.66 2.04 Liquid Operating Money Net • 0.06 0.25 0.17 0.07 0.05 0.07 0.94 2.57 Citigroup 3-Month Treasury Bill ♦ 0.07 0.20 0.12 0.09 0.08 0,09 0,84 2,39 Relative Returns vs CAI Money Market Funds(Net) Citigroup 3-Month Treasury Bill Annualized Seven Year Risk vs Return 0.10% 5% 0.01 -- -- -- -- -- -- - 0% . . . •. E 8 o04% -- -- -- -- -- -- - w (10%) K 0.02% > of m 0.01 (20%) N K (0.04%) -- -- -- -- -- -- - (30%) (0.06%) (35%) 09 2010 2011 2012 2013 2014 2015 2016 (10) 0 10 20 30 40 Liquid Operating Money Net Standard Deviation Callan Orange County Serration Diarad 22 Liquid Operating Money Net Return Analysis Summary Return Analysis The graphs below analyze the managers return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager's ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last two charts illustrate the managers ranking relative to their style using various risk-adjusted return measures. Assets were transferred in kind to Chandler on 12/112014. Previous performance reflects PIMCO. Performance vs CAI Money Market Funds(Net) 6% 5% 48®16 4% 3% 2% 61®3] 0% 4 0% (t%) 12/1S oil 2016 2014 M13 2012 2011 2010 moo 2000 2007 lour Percentile 0.51 0.11 0.07 0.08 0A8 0.08 0.15 0.52 2.T] 5.20 25th Percentile 0.19 0.03 0.02 0.02 0.03 0.02 0.05 0.28 2.46 4.99 Median 0.06 0.01 0.01 0.01 o.01 0.01 0.01 0.12 2.03 4.71 75th Percentile 0.01 0.00 0.01 0.00 o.01 0.00 0.01 0.03 1.46 4.34 901h Percentile 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 1.08 3.89 Liquid Operating Money Net • 0.23 0.07 (0.06) 10.02) 0.02 0.09 0.10 0.43 2.25 5.09 Citigroup 3-Month Treani ll ♦ 0.19 0.03 0.03 0.0 0.07 0.08 0.13 0.16 1.80 4.74 Cumulative and Quarterly Relative Return vs Citigroup 3-Month Treasury Bill 1.5% w 1.0% c K N � 0.0% N 0.0%) 06 2007 2008 2009 2010 2011 2012 2013 2014 2015 416 10 Liquid Operating Money Net 0CAI Money Marker Funde Risk Adjusted Return Measures vs Citigroup 3-Month Treasury Bill Rankings Against CAI Money Market Funds(Net) Seven Years Ended September 30,2016 0.10 2 0.05 1 0.00 (0.05) (387 0 (0.10) (1) (26) •t18) •(19) (0.15) (0.20) 12) (0.25)(0.30) •(99) 13) (0.35) Alpha Twor (4) IMormation Sharpe Eaeass Return RM10 Ratio Radio Ratio 10th Percentile 0.05 0.02 101h Percentile 1.10 0.48 Us 25th Percentile 0.03) (0.04) 25th Percentile (0.9] ((1.85) (126 Medic 0.05) 0.05) Metlian (1.54 (8.60) (2.09 75th Percentile 0.05) 0.05)) 75th Percentle ((1.81 (32.75) (2.3] 90b Percentile 0.06) 0.0]) "Percentile (2.33 - (2.86 Liquid Operating Liquid Operating Mon..,Net It (0.04) (0.28) Money Net a (lu3) (0]4) (0.48) Cana' 1 Orange County Sanitation Deal 23 Callan Research/Education CA AN LL Callan INSTITUTE 3rd Quarter 2016 Education Research and Educational Programs The Callan Institute provides research that updates clients on the latest industry trends while helping them learn through carefully struc- tured educational programs.Visit www.callan.com/research to see all of our publications, or for more information contact Anna West at 415,974.5060/institute@callan.com. New Research from Callan's Experts Built to Last: Strategic Guidance for Effective Invest- 2016 Nuclear Decommissioning Funding Study I Areport ment Committees I Callan offers our high-level strategic by Julia Moriarty, CFA, covers advice for investment committees,touching on membership, ® 27 investor-owned and 27 public investment policy statements, review processes, and fdu- power utilities with an ownership ciary training and ongoing education. _ _ interest in the 99 operating nucle- ar reactors(and 10 of the non-op- 10 Tips From Successful Investment Committees I Cal- stating reactors)in the U.S. Ian Chairman and CEO Ron Peyton and Consultant Brady O'Connell, CFA, CAIA,offer 10 tips based on their work with How Green Is Your Bond? I Callan Analyst Rufash Lama successful investment committees. tackles the area of green bonds, which are fixed income in- struments issued specifically to support or finance environ- Risky Business I Callan re Aft- mental initiatives. search that found investors over the last 20 years have 00 Periodicals had to take on three times as much risk to earn the same return electrified the institutional investing community.We in- Real Assets Reporter,Summer/Fall 20161 This edition ex- terviewed Jay Kloepfer and Julia Moriarty, CFA, about how plores if the boom in commercial real estate may be ending. the research was done and its implications. Private Markets Trends,Summer 2016 1 Author Gary Rob- Managing DC Plan Investments:A Fiduciary Handbook ertson discusses the recent surge in private equity fundrais- Lori Lucas, CFA, covers responsibilities for DC plan fidu- ing, an indication that some investors are establishing a de- ciaries, including investment structure, investment policy fensive hedge as the five-year bull market pulls in its horns. statements, QDIA oversight, and manager performance. DC Observer, 2nd Quarter 2016 1 Callan's Defined Contd- Ethics 101 for Investment Professionals I Callan Chair- bution Practice Team outlines a framework to evaluate DC man and CEO Ron Peyton outlines his thoughts on how to transaction fees. We explain how common they are, what create, instill, and maintain ethical standards for investment they typically cost, and how they are generally paid. professionals. His advice: the right culture creates the best Hedge Fund Monitor, 2nd Quarter 2016 1 Jim McKee, di- environment to maintain these standards. Firms should de- rector of Callan's Hedge Fund Research group, discusses velop ethical guidelines that are based on principles, not the appeal of momentum-based investing strategies in the rules, since the former offer better guidance for employees current climate of considerable economic uncertainty. across the organization. The Center for Investment Training Events Educational Sessions Miss out on a Callan conference or workshop? Event summa- The Center for Investment Training, better known as the "Callan ries and speakers' presentations are available on our website: College; provides a foundation of knowledge for industry profes- https://w ..callan.com/education/Cil/ sionals who are involved in the investment decision-making pro- Mark your calendars for our fall Regional Workshop, October cess.It was founded in 1994 to provide clients and non-clients alike 25 in New York and October 26 in Chicago, and our National with basic-to intermediate-level instruction.Our next session is: Conference, January 23-25, 2017, at the Palace Hotel in San Introduction to Investments Francisco. San Francisco,April 18-19, 2017 San Francisco,July 25-26, 2017 For more information about events, please contact Barb Chicago, October24-25, 2017 Gerraty: 415.274.3093/gerraty@callan.com This session familiarizes fund sponsor trustees, staff, and asset management advisors 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 first evening with the instructors. Customized Sessions The "Callan College' is equipped to customize a curriculum to meet the training and educational needs of a specific organization. These tailored sessions range from basic to advanced and can take place anywhere—even at your once. Learn more at https:/tw .callan.com/education/college/ or contact Kathleen Cunnie:415.274.3029/cunnie@callan.com Education: By the Numbers 500 Attendees(on average)of the 50+ Unique pieces of research the Institute's annual National Conference Institute generates each year 3 500 Total attendees of the"Callan 980 Year the Callan Institute f College"since 1994 was founded "We think the best way to learn something is to teach it. Entrusting client education to our consultants and specialists ensures that they have a total command of their subject matter. This is one reason why education and research have been cornerstones of our firm for more than 40 years." Ron Peyton,Chairman and CEO Callan V @CallanAssoc ® Callan Associates 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 managers risk(volatility)relative to a benchmark. It is calculated by dividing the manager's standard deviation of returns by the benchmark's standard deviation of returns. A relative standard deviation of 1.20, for example, means the manager has exhibited 20% more risk than the benchmark over that time period. A ratio of .80 would imply 20% less risk. This ratio is especially useful when analyzing the risk of investment grade fixed-income products where actual historical durations are not available. By using this relative risk measure over rolling time periods one can illustrate the "implied" historical duration patterns of the portfolio versus the benchmark. Residual Portfolio Risk is the unsystematic risk of a fund,the portion of the total risk unique to the fund(manager)itself and not related to the overall market. This reflects the "bets"which the manager places in that particular asset market. These bets may reflect emphasis in particular sectors, maturities (for bonds), or other issue specific factors which the manager considers a good investment opportunity. Diversification of the portfolio will reduce or eliminate the residual risk of that portfolio. Callan 28 Risk/Reward Statistics Sharpe Ratio is a commonly used measure of risk-adjusted return. It is calculated by subtracting the 'risk-free" return (usually 3 Month Treasury Bill)from the portfolio return and dividing the resulting "excess return" by the portfolio's risk level (standard deviation).The result is a measure of return gained per unit of risk taken. Sortino Ratio is a downside risk-adjusted measure of value-added. It measures excess return over a benchmark divided by downside risk. The natural appeal is that it identifies value-added per unit of truly bad risk. The danger of interpretation, however, lies in these two areas: (1)the statistical significance of the denominator,and (2) its reliance on the persistence of skewness in return distributions. Standard Deviation is a statistical measure of portfolio risk. It reflects the average deviation of the observations from their sample mean. Standard deviation is used as an estimate of risk since it measures how wide the range of returns typically is. The wider the typical range of returns,the higher the standard deviation of returns,and the higher the portfolio risk. If returns are normally distributed (is. 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-diversifable or systematic)risk and residual (diversifiable or unsystematic)risk. The purpose of portfolio diversification is to reduce the residual risk of the portfolio. Tracking Error is a statistical measure of a portfolio's risk relative to an index. It reflects the standard deviation of a portfolio's individual quarterly or monthly returns from the index's returns. Typically, the lower the Tracking Error, the more "index-like"the portfolio. Traynor Ratio represents the portfolio's average excess return over a specified period divided by the beta relative to its benchmark over that same period. This measure reflects the reward over the risk-free rate relative to the systematic risk assumed. Note:Alpha,Total Risk,and Residual Risk are annualized. Callan 29 Fixed Income Portfolio Characteristics All Portfolio Characteristics are derived by first calculating the characteristics for each security, and then calculating the market value weighted average of these values for the portfolio. Allocation by Sector- Sector allocation is one of the tools which managers often use to add value without impacting the duration of the portfolio. The sector weights exhibit can be used to contrast a portfolio's weights with those of the index to 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 Slated Maturity- The average years to stated maturity is the market value weighted average time to stated maturity for all securities in the portfolio. This measure does not take into account imbedded options, sinking fund paydowns,or prepayments. Current Yield-The current yield is the current annual income generated by the total portfolio market value. It is equal to the total portfolio coupon payments per year divided by the current total portfolio market value. Callan 30 Fixed Income Portfolio Characteristics Duration Dispersion- Duration dispersion is the market-value weighted standard deviation of the portfolio's individual security durations around the total portfolio duration. The higher the dispersion, the more variable the security durations relative to the total portfolio duration ("barbellness"), and the smaller the dispersion, the more concentrated the holdings' durations around the overall portfolio's ("bulletness"). The purpose of this statistic is to gauge the "bulletness" or "barbellness"of a portfolio relative to its total duration and to that of its benchmark index. Effective Yield-The effective yield is the actual total annualized return that would be realized if all securities in the portfolio were held to their expected maturities. Effective yield is calculated as the internal rate of return, using the current market value and all expected future interest and principal cash flows. This measure incorporates sinking fund paydowns, expected mortgage principal prepayments,and the exercise of any"in-the-money"imbedded put or call options. Weighted Average Life-The weighted average 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. Callan 31 Disclosures Callan Quarterly List as of September 30, 2016 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 identifes 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 Pond sponsor clients should know the investment managers that do business with Callan,particularly those investment manager clients that the fund sponsor clients may be using or considering using.Please refer to Callan's ADV Part 2A for a more detailed description of the services and products that Callan makes available to investment manager clients through our Institutional Consulting Group,Independent Adviser Group and Fund Sponsor Consulting Group. Due to the complex corporate and organizational ownership structures of many investment management firms,parent and affiliate film relationships are not indicated on our list. Fund sponsor dients 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. Manager Name Manager Name 1607 Capital Partners,LLC Bmndes Investment Partners,L.P. Aberdeen Asset Management PLC Brandywine Global Investment Management,LLC Acadian Asset Management LLC Brown Brothers Harriman&Company ACR—Alpine Capital Research Brown Investment Advisory&Trust Company AEGON USA Investment Management Cambiar Investors,LLC AEW Capital Management Capital Group Affiliated Managers Group,Inc. CastleArk Management,LLC AllianceBernstein Causeway Capital Management Allianz Global Investors Chartwell Investment Partners Allianz Life Insurance Company of North America ClearBridge Investments,LLC American Century Investment Management Cohen&Steers Capital Management,Inc. Amundi Smith Breeden LLC Columbia Threadneedle Investments Analytic Investors Columbia Wanger Asset Management Angelo,Gordon&Co. Columbus Circle Investors Apollo Global Management Conestoga Capital Advisors AOR Capital Management Corbin Capital Partners,L.P. Area Management LLC Cornerstone Capital Management Adel Investments,LLC Cramer Rosenthal McGlynn,LLC Aristotle Capital Management,LLC Credit Suisse Asset Management Artisan Holdings Crestline Investors,Inc. ASS Capital Management Inc. D.E.Shaw Investment Management,LLC Ativa Capital Management Delaware Investments Atlanta Capital Management Cc.,LLC DePdnce,Race&Zollo,Inc. Aviva Investors Americas Deutsche Asset Management AXA Investment Managers Diamond Hill Investments Babson Capital Management Duff&Phelps Investment Mgmt Co. Sallie Gifford Overseas Limited Eagle Asset Management,Inc. Baird Advisors EARNEST Partners,LLC Bank of America Eaton Vance Management Baring Asset Management Epoch Investment Partners,Inc. Baron Capital Management,Inc. Fayez Sarofm&Company Barrow,Hanley,Mewhinney&Strauss,LLC Federated Investors BlackRock Fidelity Institutional Asset Management BMO Asset Management,Corp. Flom Capital Global Asset Management BNP Paribas Investment Partners First Eagle Investment Management,LLC BNV Mellon Asset Management First Hawaiian Bank Wealth Management Division Boston Partners Fisher Investments CZ11an I Knowledge.Experience.Integrity. Page 1 of 2 Manager Name Manager Name Fort Washington Investment Advisors,Inc. O'Shaughnessy Asset Management,LLC Franklin Templeton Institutional Pacific Alternative Asset Management Co. Fred Alger Management,Inc. Pacific Current Group Fuller&Thaler Asset Management,Inc. Pacific Investment Management Company GAM(USA)Inc. Parametric Portfolio Associates GE Asset Management PIE Investments GMO Peregrine Capital Management,Inc. Goldman Sachs Asset Management PGIM Grand-Jean Capital Management PineBridge Investments Guggenheim Investments Pinnacle Asset Management L P. GW&K Investment Management Pioneer Investments Harbor Capital Group Trust PNC Capital Advisors,LLC Hartford Funds Principal Global Investors Hartford Investment Management Co. Private Advisors, LLC Henderson Global Investors Putnam Investments,LLC Holchkis&Wiley Capital Management,LLC QMA(Quantitative Management Associates) HSBC Global Asset Management BBC Global Asset Management lial Asset Management Limited Regions Financial Corporation Income Research+Management,Inc. Ridgewrorth Capital Management, Inc. Insight Investment Management Limited Riverbridge Partners LLC Institutional Capital LLC Rockefeller&Co.,Inc. INTECH Investment Management,LLC Rothschild Asset Management,Inc. Invesco Russell Investments Investec Asset Management Santander Global Facilities Investment Counselors of Maryland,LLC Schroder Investment Management North America Inc. Janus Capital Management,LLC Scout Investments Jarislowsky Fraser Global Investment Management SEI Investments Jensen Investment Management Shenkman Capital Management,Inc. J.P.Morgan Asset Management Smith,Graham&Co.Investment Advisors,L.P. KeyCorp Smith Group Asset Management Lazard Asset Management Standard Life Investments Limited Legal&General Investment Management America Standish Lincoln National Corporation Stale Street Global Advisors LMCG Investments,LLC Stone Harbor Investment Partners,L.P. Longview Partners Systematic Financial Management Loomis,Sayles&Company,L.P. T.Rowe Price Associates,Inc. Lord Abbett&Company Taplin,Carl&Habacht Los Angeles Capital Management The Boston Company Asset Management,LLC LSV Asset Management The Hartford MacKay Shields LLC The London Company Man Investments Inc. The TCW Group,Inc. Manulife Asset Management Tn-Star Trust Bank Martin Currie Inc. UBS Asset Management McDonnell Investment Management,LLC Van Eck Global MFS Investment Management Versus Capital Group MidFirst Bank Victory Capital Management Inc. Mondrian Investment Partners Limited Vontobel Asset Management,Inc. Montag&Caldwell,LLC Voya Financial Morgan Stanley Investment Management Voya Investment Management(Ma ING) Mountain Lake Investment Management LLC Waddell&Reed Asset Management Group MUFG Union Bank,N A. WCM Investment Management Neuberger Berman Wasatch Advisors, Inc. Newton Investment Management uka Newton Capital Management) WEDGE Capital Management _ Nikko Asset Management Co.,Ltd. Wellington Management Company,LLP Northern Trust Asset Management Wells Capital Management Nuveen Investments,Inc. Western Asset Management Company OR Global Asset Management William Blair&Company Old Mutual Asset Management Opus Capital Management Inc. Callan I Knowledge. Experience.Integrity. Page 2 of 2 Investment Report Orange County Sanitation District Period Ending September 30, 2016 Diego, 0 All Table of Contents SECTION 1 Economic Update SECTION 2 Account Profile SECTION 3 Consolidated Information SECTION 4 Portfolio Holdings SECTION 1 . Economic Update 011 Economic Update ■ The Federal Open Market Committee(FOMC)kept the fed funds rate unchanged at a range of 0.25%-0.50% in September. However, there were three dissenting votes (out of ten), as Esther George (Kansas City), Loretta Mesler (Cleveland), and Eric Rosengren (Boston) preferred to raise the target range by a quarter percent. The Fed's overall assessment of the economy was little changed from July. In the policy statement, the Committee noted the labor market has continued to strengthen but inflation remains below target. In deciding whether or not to raise the fed funds target rate, the Committee said"the case for an increase in the federal funds rate has strengthened but decided,for the time being,to wad for further evidence of continued progress toward its objectives" In her press conference, Fed Chair Yellen remarked that the next meeting on November 1-2 is a "live' meeting but given its proximity to the US Presidential election on November 8,we think the Fed is likely to keep monetary policy on hold until December. 9 economic data remains modestly favorable over the next few months, we expect the Fed will hike the fed funds rate range by 25 basis points in December. ■ The global economy continues to face headwinds, but domestic economic data points toward ongoing slow growth. The U.S. labor market remains healthy.The unemployment rate was 5.0% in September, and payrolls have increased by an average of 192,000 on a trailing 3-month moving average basis. Wage growth is inching higher. Consumer confidence remains strong. Housing trends remain favorable even though home price appreciation has softened. Oil prices have rebounded from earlier this year. The manufacturing sector, though still under pressure, has slightly improved. Second quarter 2016 GDP grew 1.4%, following growth of 0.8%in the first quarter.The consensus forecast calls for a pick-up in GDP growth in the second half of the year to 2.9%and 2.4%in the third and fourth quarters, respectively. ■ In September, the 2-year Treasury yield decreased four basis points and the 10-year Treasury yield increased one basis point. Leading up to the FOMC meeting in September, the yield curve steepened slightly. After the FOMC meeting in September, yields modestly declined. The market-implied probability of a fed funds rate hike before year-end (reflected in fed funds futures prices) is now greater than 60%.According to the Fed's most recent projections, 14 out of 17 policymakers project at least one rate hike before year-end. The Fed's longer-run fed funds rate forecast is now 2.9%. The Fed's "dot ploC of fed funds rate projections has drifted lower over the last few years and we believe the projected terminal fed funds rate of 2.9% remains unrealistically high. We expect it will continue to move down closer to 2.0%.At least over the near-term, we believe multiple global and domestic factors will create an effective cap on rates across the yield curve. s CiIII Employment Nonfarm Payroll (000's) Unemployment Rate 15.0% 14.0% —UndeR�ry�rymant Rare a5) 300 13.0% L —Unemptrymant Rare(U3) 250 2.0% 200 = 10.0% m 50 9.0% 8.0% 100 7,0% 50 8.0% 5.0% 0 4.0% A y 0 fin, S `Se O ,(, "Y ��.` it a4 4'7,, �S �qs %7 mt�e 2�s `Yt�s 441 m441 .�S al.�s %A1& �:75 •1& 19 76 So 2e US Dep donnl of Labor SWooe:US Department of Labor Nonfarm payrolls were lower than expected in September, up 156,000 versus the consensus forecast of 172,000. July and August payrolls were revised down by a net total of 7,000. On a trailing 3-month and 6-month basis, payrolls increased by an average of 192,000 and 169,000 per month, respectively. The unemployment rate inched up in September to 5.0%from 4.9%in August, as the participation rate 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, remained unchanged in September at 9.7%.Wages increased 0.2%in September,following a 0.1% increase in August. On a year-over-year basis,wages were up 2.6%in September,versus 2.4%in August. llll� GRI Inflation Consumer Price Index(CPI) Personal Consumption Expenditures(PCE) 3.0% 3.0% CPI YOT%CM1enge 2.5% —Care CPI TOY%Change 2.5% PCE Pow Oelelar YOY%Cnge PCE C.bAslg.TOT%LhaM1aye 2.0% y 2.0% Z p s' 1.5% ' 1.5% u_ `u X 7.0% 1.0% > i 0.5% O 0.5% 0.0% 0.0% -05% 11 ryOkIf 47$ 441, 1S IS ryes �70 1fh76 9G906 S..:Usoapanna nrLeba source:USNartn td Laeor The Consumer Price Index (CPI)was up 1.1%year-over-year in August, versus up 0.8%year-over-year in July. Core CPI (CPI less food and energy)was up 2.3%year-over-year in August, vs. 2.2% in July. The Personal Consumption Expenditures (PCE) index was up 1.0% year-over-year in August,versus 0.8% in July. Core PCE (excluding food and energy) was up 1.7% year-over-year in August vs. up 1.6% year-over-year in July. Although Core CPI is trending above 2.0%,the Fed's primary inflation gauge is PCE which remains below the Fed's 2.0%target. IIII© CIR I Consumer Retail Sales YOY % Change Consumer Confidence 6.0% 110 5.0% 105 m 4.0% 100 c 95 K 3.0% X 90 2.0% c 85 1.0% 80 a0% g y� 75 sec§ �3;75 ��,75 `xi Is ��le 1s 1@ `A" ry9; ��.7s ,7s h s`�i7s 2.f,70 7s��,7e'7e 7676 7e Sw US Oep qnt W Commertn Sourte:Fetlerel Reserve On a year-over-year basis, total retail sales were solid, up 2.7% in September compared with a 2.1% increase in August. On a month-over-month basis, retail sales were up 0.6% in September, in line with expectations. Excluding autos and gas, retail sales rose 0.3% in the month. Meanwhile, consumer confidence remains strong.The consumer confidence index rose to 104.1 in September from 101.8 in August. s ORS Economic Activity Leading Economic Indicators (LEI) Chicago Fed National Activity Index(CFNAI) 0.8% 0.40 0.6% 0.30 0.20 0.4% R 0.10 0.2% a' 0.00 L Lo 0.10 0.0% ` -0.20 a 0 0.2% VV 0.40 9f.7s -®fc7s 5,S \ 'kt76 %76 �At? `&{ �q��9 �,�5 %1, �7, 'b", ya'76 70 soe�e:me G.me ce eoen S..Me reeeai Re:erysereacnteeo The Index of Leading Economic Indicators (LEI) declined 0.2% in August, below expectations. tvleanwhile,the Chicago Fed National Activity Index(CFNAI) improved to-0.07 in August on a 3-month moving average basis,from-0.09 in July. Both broad economic indices point to weak economic growth ahead. C11% I Housing Housing Starts S&P/CaseShiller20 City Composite Home Price Index 8.0% •MUHiFamiN Hou9 gSlatls 1400 •sireie FamiN rouvng Smrn - 7.0% '0 1200 8.0% 1000 & 5.0% 0 c 800 0 4.0% f $ m 600 3.0% m O 400 2.0% u 200 1.0% x 4F7 q "I& M`1S >S 4F7S "16 `76. �@ Sou .US Census Bureau Scuan:SB Total housing starts fell 5.8% in August, following growth of 1.4% in July. Single-family starts fell 6.0% in August while multi-family starts declined 5.4%. Housing starts tend to be volatile on a month-to-month basis but the underlying trend remains favorable. Notably, single-family permit growth was strong in August.According to the Case-Shiller 20-City home price index, home prices were up just 5.0%year-over-year in July, vs. up 5.1%year-over-year in June. This index suggests that home price appreciation continues to soften. iiiii� C1111 Manufacturing Institute of Supply Management Purchasing Capacity Utilization Manager Index 80v% so pantling 58 79.0% % 78.0% 54 r.0% 52 a 8.0% so 48 75.0% cpnvapune 48 y y 74.0% 16 Q6. Q 1141,76 y 1DkIs �.1 "E", `b. `� p 7 RL� 4i;7 �p `x{ s s 1 s >x >A s s s s a s 10 Source:InslRNe lw Supply A4snag W Source:Fuceal Reserve The Institute for Supply Management(ISM)manufacturing index increased to 51.5 in September from 49.4 in August, suggesting that manufacturing activity is improving. New orders grew solidly in September. A reading above 50.0 suggests the manufacturing sector is expanding, and a reading above 43.1 is generally indicative of broad economic expansion, based on the historical relationship between the index and GDP growth. Meanwhile, capacity utilization, which is production divided by capacity, decreased to 75.5%in August from 75.9%in July.The capacity utilization rate remains below the long-run average of 80.0%(1972-2015), suggesting there is still excess capacity in the industrial sector. �jjjj Gross Domestic Product (GDP) Gross Domestic Product(GDP) 6.0% Personal Consumption Expenditures 1.8% 1.5% 1.1% 2.9% 5.0% Grass Private Domestic Investment 0.4% -0.4% -0.6% -1.3% 4.0% 3.0% Net Exports and Imports -0.5% -0.5% 0.0% 0.2% 2.0% 1.0% Federal Government Expenditures 0.1% 0.3% -0.1% 0.0% 0.0% State and Local(Consumption and Gross .1.0% 0=�GDPQ�%ChwgeInvestment) 0.3% 0.1% 0.4% 0.3% Taal 2.0% 0.9% 0.8% 1.4% �n'vO O%'0 141.7,11 %11 I'll.7? Itk70 10 22a I%hxs�22S IlkvS 22B Source: USDepanmentacommcme Source: US Dejca , tof�rce Second quarter real GDP growth was revised up to an annualized rate of 1.4% from the second estimate of 1.1%, slightly exceeding expectations. This follows growth of 0.8%in the first quarter and 0.9%in the fourth quarter. Nonresidential investment,exports, and inventories were the primary drivers of the revision. Growth from Personal Consumption Expenditures (PCE)was strong in the second quarter and continued to be the biggest overall contributor to economic growth. Market participants are forecasting GDP growth of 2.9%in the third quarter. GIII Bond Yields US Treasury Note Yields US Treasury Yield Curve IWA 3.0% —sap-s iareary- =Jun16 2.5%2.5% — �StP-15 2.0% 2.0% X X 0 1.5% Y' 1.0% 0.5% 0.5% 0.0% 0.0% O 'q -'9 'S Ilk" "I'll 's ''° Ilk" ° 3J°J 2r S^ 'O l °O i souRa:arownner¢ sourceeoarwerp Over the past three months, the yield curve shifted upward with the 2-year Treasury yield up 18 basis points and the 10-year Treasury yield up nearly 13 basis points. However, on a year-over-year basis the yield curve flattened with the 2-year Treasury yield up about 13 basis points and the 10-year Treasury yield down more than 44 basis points. Over the past year, financial market volatility has been elevated due to weak global economic growth, volatile commodity prices, political uncertainty, and divergent global central bank monetary policy. IIIIIIIII� SEA Account Profile so � 011 Objectives Investment Objectives The investment objectives of the Orange County Sanitation District are first, to provide safety of principal to ensure the preservation of capital in the overall portfolio; second, to provide sufficient liquidity to meet all operating requirements; and third, to earn a commensurate rate of return consistent with the constraints imposed by the safety and liquidity objectives. Chandler Asset Management Performance Objective Liquid Operating Monies—will be compared to the 3-month T-Bill rate and operate with a maximum maturity of one year. Long-Term Operating Monies—will be compared to the Bank of America Merrill Lynch 1-5 Year Corporate Government Rated AAA—A Index. Strategy In order to achieve these objectives, the portfolio invests in high quality fixed income securities consistent with the investment policy and California Government Code. C1111 Compliance CA Orange County Sanitation District Long Term September 30,2016 COMPLIANCE • Assets managed by ChandlerAsset Management are in full compliance mith State lawand with the investment policy Category Comment Treasury Issues 5 years maximum maturity Complies" Suprenational "AA"or better by l of 3 NRSR0s; 30%mabmum; 5%max issuer, 5years maturity; Complies includes only. IADB IBRD and IFC per CGC U.S.Agencies 20%max issuer; 5 years maximum maturity Complies U.S.Corporate(MTNs) "A"or better long tens rating by l of 3 NRSROs; 30%mabmum;5%max issuer; 5 Complies years max maturity Municipal Securities "A"or higher by 1 of 3 NRSR0S; 10%mabmum; 5%max issuer; 5 years maximum Complies maturity Asset Backed/CMOs/ "AA"or better by l of 3 NRSR0s; "A"or higher issuer rating by l of 3 NRSROs; 20% Cont Mortgage-backed maximum; 5%max issuer excludi MBS/ ovtagency);5 ars max maturity Negotiable CDs "A"or better on its long tens debt by 1 of 3 NRSROs; "A1/P1"or highest short term Complies ratings by l of 3 NRSR0s; 30%mabmum;5%max issuer; 5years max maturity CDs/TDS 5%maxissuer; 5yearsmaxmatunty Complies Bankers Acceptances A-1,or equivalent highest short term rating by l of 3 NRSROS; 40%mabmum; 5% Complies max issuer; 180 days max aturity Commercial Paper A-1,or equivalent by l of 3 NRSR0S; "A"or better by l of 3 NRSR0s,if long term Complies debt issued; 25%maximum' 5%max issuer, 270 days max maturity Money Markel Fund Highest rating by 2 of 3 NRSROs; 20%maxi mum; 10%max issuer Complies Repurchase Agreements 102%collateralization Complies Reverse Repurchase 5%maximum,90 days max maturity Complies Agreements LAIF Not used by investment adviser Complies Avg Duration Not to exceed 60 months - (80%to 120%of the benchmark) Complies Maximum Maturity 15 years maximum maturity Complies* 'The portfolio has twenty-four(24)securities with maturities greater than 5 years including one(1)Ass,fire(5)CMOs,seventeen(17)MBS and one(1)treasury. All securities were inherited from the previous manager and complied at time of purchase. S,`I Account Profile Portfolio Characteristics Orange County Sanitation District Long Term 09/30/2016 06/30/2016 Benchmark' Portfolio Portfolio Average Maturity(yrs) 2.73 2.80 2.87 Modified Duration 2.62 2.38 2.45 Average Purchase Yield n/a 1.48 % 1.43 Average Market Yield 1.07 % 1.05 % 0.92 % Average Quality— AAA AA+/Aar AA+/Aal Total Market Value 325,949,886 332,689,558 'BAML 1-5 Yr US CorporatelGovt Rated AAA-A Index Benchmark is a blended rating of S&P,Moody's,and Fitch.POMolio is S&P and Mcody's respectively. Several securities were purchased across the Supranational,Asset Backed, Negotiable CD, and Corporate sectors of the market to keep the portfolio structure in-line with Chandler objectives. Several Treasury notes were sold to facilitate the additions to the portfolio and to accommodate a $7 million withdrawal in August. �-J" Sector Distribution Orange County Sanitation District Long Term September 30, 2016 June 30, 2016 foul us Commercial paper Corporate paper us 3.6% 22.0% 3s% corporate 20.8% Muredpal Municipal Bantls Mortgage Bonds 1.5% Pass 1.4% /Thru Mortgage Money 03% Money pass Markel Market Tbru Fund! Fund Ol% FI FI 0.6% us 0.8% .Treasury 25.6% CMO CIAO 1.0% 1.0% us Treasury Negotiable 31.7% CD ABS 1 3% ABS 9.0% TO% sugmussal Agencysupranatkmal Agenoy -4.5% 29.3% 5.]% 28.8% The sector allocation changed moderately. Notably the Treasury allocation was reduced by 6.1%, to 25.6% of the portfolio, partially offset by the 2.0% increase in the Asset Backed allocation, and the 1.2% increase in both the Corporate and Supranational allocation. Issuers «TAOrange County sanitation Distiiel Long Term Issuer Report Accounl810268 As019/302016 Government of United States US Treasury 25.60% Federal National Mortgage Association Agency 11.35% Federal Home I.oan Bank Agency 9A3% Federal l lome Loan Mortgage Corp Agency 8.48% Inmr-American Day Bank Supmnmional 2.64% John Douro ABS ABS 2.57% JP Mmgan ABS ABS 2.04 Bank of Tokyr-Mit UFJ Cmomerelal Paper 2.03% [fond.AILS AHS 1.91 % Toyota ABS ABS 1.77% Wells Fargo Corp US Corporate 1.73% JP Morgan Chase&Co US Corporate 1.67% General Electric Co US Comorele 1.58% Qualcnmm Inc US Corporate 1.59% Caere&Company US Corporate 1.57% Intcmational Finance Corp Suprenational 1.54% In0 Bank Reco t and Development Suprensional 1.54% 1 yoca Motor Carp Commercial Paper 1.53% Bank ofAmerut,Corp US Corporate 1.43% Chevron'I'exaeo Corp US Corporate 1.40% HSBC USA Corp US Corporate 1.31% Apple Inc Its Corporate 1.26% Ilonda Motor Corporation US Corporate 1.26% Toronto Dentition Holdings Negotiable CD 1.25% Eli Lilly&Cc US Corporate 1.25% Morgan Stanley US Corporate 0.0% American Express Credit IIS Co rate 0.%% Exxon Mobil Cory US Corporate 0.94% Microsoft US Corpnram 0.93% Pon Authority of New York and New Jersey Municipal Bonds 0.85% Federal Home Loan Mortgage Corp CMD 0.70% Bank of New York US Corporate 0.67% Nissan ABS ABS 0.64% KI Issuers Continued C." Orange County Sanitation District Long Term Issuer Report Account#10268 As of 9/302016 Intel Cory US Corporate 0.62% Occidental Petroleum Corporation US Corporate 0.62% Federal National Mortgage Association Mortgage Pass Thru 0.59% Drefus Treasury Money Market Fund Money Market Fund FI 0.56% New York City Transitional Finance Authority Municipal Bonds 0A8% Goldman Sachs lrc. US Corporate 0.20% University ofCalifomia Municipal Bonds 0.14% NCUA Guaranteed Notes CMO 0.13% Federal National Mortgage Association CMO 0.12% GNMA Mortgage Pass Thru 0.08% AMRESCO Residemal Securities Corp Mortgage Pass Thru 0.04% Small Busirsss Administration ASS 0.02% SLM Corp ASS O.OI% GNMA CMO 0.01% Federal Home Loan Mortgage Corp Mortgage Pass Thou 0.00 Total 100.00% Quality Distribution Orange County Sanitation District Long Term September 30, 2016 vs. June 30, 2016 100.0% 60.0% 60.0% — 40.0% 20.0% 0.0% AAA AA A <A NR 9/30116 6/30/16 AAA AA A <A NR 9/30/16 15.3% 66.2% 10.0% 3.4% 5.1 % 6/30116 11.1 % 71.7% 9.9% 3.4% 4.0% Source:S&P Ratings " Duration Distribution Orange County Sanitation District Long Term September 30, 2016 vs. June 30, 2016 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% 0-0.25 025-0.50 0.50-1 1 2 2-3 3-4 6-5 5, 9I3U2016 6 12016 0-0.25 0.25-0.50 0.50-1 1 -2 2-3 3-4 4-5 5+ 9/30116 8.6% 4.8% 11.3% 18.6% 25.2% 14.0% 13.7% 3.7% 6/30116 4.3% 10.7% 9.8% 20.8% 17.2% 20.8% 13.2% 3.2 % " Duration Distribution Orange County Sanitation District Long Term Portfolio Compared to the Benchmark as of September 30, 2016 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0%- jib 0-0.25 0.25-0.50 0.50-1 1-2 2-3 3-4 4-5 5+ �Palblb � BYMhnafk' 0-0.25 0.25-0.50 0.50-1 1 -2 2-3 3-4 4-5 5+ Portfolio 8.6% 4.8% 11.3% 18.6% 25.2% 14.0% 13.7% 3.7% Benchmark' 0.7% 0.0% 3.9% 29.9% 27.9% 22.8% 14.7% 0.0% `BAML 1-5 Vr US Corp..WG.v Reted AAA-A Index The duration of the portfolio contracted moderately, currently 2.38 versus 2.45 at the end of the prior reporting period. The Chandler team will continue to keep the overall duration of the portfolio below the benchmark as in our judgment the market is underpricing the risk of a tightening to monetary policy later this year. Investment Performance Orange County Sanitation District Long Term Period Ending September 30,2016 Total Rate of Return Annualized Since Inception November 30,2014 2.00% 1.50% 1 Mile 0.50% 0.W%- L 12 menthe 2years 3years 5years 10 years Since inception Orange County Sanitation District Lang Term = SAME 1-5 Yr US Corperate/Govt Rated AAA-A Index Annualized 3 months 12 months 2 years 3 years 5 years 10 years Since Inception Orange County Sanitation District Long Term 0.06% 2.00% N/A N/A N/A N/A 1.61 % BAML 1-5 Yr US Corporate/Gout Rated AAA-A Index -0.07% 1.81 % N/A N/A N/A N/A 1.70% Total rate of return A measure of a portfolio's performance over time. It is the internal rate of return which equates the beginning value of the portfolio with the ending value;it includes interest earnings,realized and unrealized gains and losses in the portfolio. Compliance CA Orange County Sanitation District Liquid September 30,2016 COMPLIANCE • Assets managed by ChandlerAsset Management are in full compliance Wth State lawand with the investment policy Category Standard Comment Treasury Issues 1 year maximum maturity, Minimum allocation of 10% Complies Supmnational "AA"or better by l of 3 NRSROs; 30%maximum; 5%max issuer, lyear Complies maturity, includes only, IADB IBRD and IFC per CGC U.S.Agencies 20%max issuer, l year maximum maturity Complies" U.S.Corporate(MTNs) "A"or better long term rating by 1 of 3 NRSROs;30%maximurn;5%max issuer; Complies 1 year max maturity Asset Backed/CMOs "AA"or better by l of 3 NRSROs; "A"or higher issuer rating by l of 3 NRSROs; Complies 20%maximum; 5%max issuer; 1 year max maturity Negotiable CDs "A"or better on its longterm debt by l of 3 NRSROs: "A1/P1"or highest short Complies term ratings by 1 of 3 NRSROs; 30%maximum;5%max issuer,1 year max maturity CDs/TDS 5%max issuer, 1 year max maturity Complies Bankers Acceptances A-1,or equivalent short tens rating by l of 3 NRSROS; 40%maximum; 5%max Complies issuer' 180 days max maturity Commercial Paper A-1,or equivalent by l of 3 NRSROS; "A"or better by l of 3 NRSROs,if long Complies tens debt issued; 25%maximum; 5%max issuer, 270 days max maturity Money Market Fund Highest ratinto by 2of3 NRSROs' 20%maximum; 10%max issuer Complies Repurchase Agreements 102%collaterali¢afion Complies Reverse Repurchase 5%maximum,90 days max maturity Complies Agreements LAIF Not used by investment adviser Complies Prohibited Municipal Securities Complies Prohibited Mortgage Securities Complies Avg Duration Not to exceed 180 days; Max duration of 1/2 year Complies Maximum Maturity 1 year maximum maturity Complies 'Complies in the aggregate portfolio;Liquidity portfolio has U%max issuer concerrtretiou on Federal National Mortgage Assoc(FNMAs). 11% Account Profile Portfolio Characteristics Orange County Sanitation District Liquid 09/30/2016 06/30/2016 Benchmark' Portfolio Portfolio Average Maturity(yrs) 0.15 0.11 0.13 Modified Duration 0.15 0.10 0.13 Average Purchase Yield n/a 0.45 % 0.40 Average Market Yield 0.17 % 0.51 % 0.38 % Average Quality— AAA AA+/Aar AAA/Aai Total Market Value 57,988,854 139,402,771 'BAML 3-Month US Treasury BIII Index Benchmark is a blended rating of S&P,Moody's,and Fitch.Portfolio is S&P and Mwdy's respectively. Many securities were purchased across the Treasury, Agency, Commercial Paper, and Corporate sectors of the market to reinvest maturing notes and offset upcoming liquidity needs. A large number of securities matured to offset the $81.5 million withdrawn from the portfolio during the quarter; one security was sold. �-J" Sector Distribution Orange County Sanitation District Liquid September 30, 2016 June 30, 2016 Marcy us M.&M Corporate Fund 11.2% FI 9.1% Commercial - uS Agency Comm .I Pap r�� Treasury 5q,g oo Pa r 4.2% 4e_0% 5.T% Money us Market caryorate Fund 20.0% 1.4%% us jAgency - sugsrudio0el Tre.." 21.8% - 9.5% 10A% The sector allocation changed materially driven by the large cash flows out of the portfolio during the quarter. The higher than normal cash balance was driven by a maturity on September 30. Issuers Orange County Sanitation District Liquid Issuer Report Account p10282 As of 9/30f7016 Federal National Mongage Association Agenq 24.42% Federal Home Loan Bank Agency 19.66% Federal Home Loan Mortgage Corp Alum, 10.76% Govemmem of U.itd States US Treasury 10.44% Daf.Treasury Money Market Fund Money Market Fund FI 9.09% Pepsi.Inc US Corporate 2.59% Bank of Tokyo-Mil UFJ Commercial Paper 2.22% Eli Lilly&Co US Corporate 176% Welk Fargo Corp US Corporate 1.75% Intel Corp US Corporete 1.74% US Bancorp US Corporate 174% Bank of New York US Corporate 174% Honda Motor COWmtion US Corporate 1.73% Apple Inc US Corporate 1.73% Deere&Company US Corporate 1.73% JP Mmllmo Chase&Co US Corporate 1.73% Cis.Systems US Corporate 173% Toyota Motor Corp Commercial Paper 1.72% Rabobank Nederiad NV NY Commercial Paper 1.72% Total 100.00% Quality Distribution Orange County Sanitation District Liquid September 30, 2016 vs. June 30, 2016 1n0.M 80.0% 60.0° 40.0% 20.0% 0.0%; qqp AA A <A NR 9130116 0 6/30/16 AAA AA A <A NR 9/30/1 6 52.9% 32.4% 14.8% 0.0% 0.0% 6/30/16 67.6% 26.2% 6.1 % 0.0% 0.0% Source:S&P Ratings Duration Distribution Orange County Sanitation District Liquid September 30, 2016 vs. June 30, 2016 100.0% 80.0% 60.0% 40.0% 20.0% 0.0% 0-0.25 0.25-0.50 0.50-1 1-1.5 1.5-2 2-2.5 2.5-3 3+ 9130/2016 � 8l8WL016 0-0.25 0.25-0.50 0.50-1 1 -1.5 1.5-2 2-2.5 2.5-3 3+ 9/30116 88.7% 7.8% 3.5% 0.0% 0.0% 0.0% 0.0% 0.0% 6/30116 81.1 % 15.6 % 3.3% 0.0% 0.0% 0.0 % 0.0% 0.0% GKI Duration Distribution Orange County Sanitation District Liquid Portfolio Compared to the Benchmark as of September 30, 2016 120.0% 100.0% MID% 60.0% a0.o% 20.0% - 0.0% 0-0.25 0.25-050 0.50-1 1-1.5 1.5-2 2-2.5 2.5-3 3+ m Pomblin saichnvk' 0-0.25 0.25-0.50 0.50-1 1 -1.5 1.5-2 2-2.5 2.5-3 3+ Portfolio 88.7% 7.8% 3.5% 0.0% 0.0% 0.0% 0.0% 0.0% Benchmark' 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 'BAML 3-Month US Treasury Bill Index The duration of the portfolio contracted slightly, currently 0.10 versus 0.13 at the end of the prior reporting period. The large liquidity need in mid-October is a contributing factor to the relatively short duration of the portfolio. Investment Performance Orange County Sanitation District Liquid Period Ending September 30,2016 Total Rate of Return Annualized Since Inception November 30,2014 0.50% a.4D% 0.30% 0.20% 0.10% 0.00% 12 manNa 2 yearn 3 years 5 years 10 years Since Inception Orange County Sanitation District Liquid BAML 3Monih US Treasury Bill Index Annualized 3 months 12 months 2 years 3 years 5 years 10 years Since Inception Orange County Sanitation District Liquid 0.10% 0.41 % N/A N/A N/A N/A 0.32% BAML 3-Month US Treasury Bill Index 0.10% 0.27% N/A N/A N/A N/A 0.16% Total rate of relum: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. C1111 Compliance C1" OCSD Lehman Exposure September 30,2016 COMPLIANCE • Assets mana ed by Chand/erAsset Management am in full compliance wth State lawand vdth the investment alit Category Standard Comment Treasury Issues 5 years maximum maturity Complies Supranational "AA"or better by l of 3 NRSROs; 30%maximum; 5%max; 5yeam Complies maturi ; hcludes only, LADS,IBRD and IFC per CGC U.S.Agencies 20%max issuer, 5 years,maximum maturity Complies U.S.Corporate(MTNS) "A"or better long term rah g by 1 of 3 NRSROs; 30%maximum;5%max Complies* issuer, 5 years max maturity Municipal Securities "A"or higher by of 3 NRSROS; 10%maximum; 5%max issuer; 5years Complies maximum maturity Asset Backed/CMOs/ "AA"or better by l of 3 NRSROs; "A"or higher issuer rating by l of 3 Complies Mortgage-backed NRSROs; 20%maximum; 5%max issuer(excluding MBS/gout agency):5 ars max maturity Negotiable CDs "A"or betteron its longterm debt by l of 3 NRSROs; "Al/P1"or highest Complies short term ratings by 1 of 3 NRSROs; 30%maximum;5%max issuer; 5 years max maturi CDs/TDS 5%max issuer; 5 years max maturity Complies Bankers Acceptances A-1,or equivalent highest start term rating by l of 3 NRSROS; 40% Complies maximum; 5%max issuer, 180 days max maturity Commercial Paper A-1,or equivalent by 1 of 3 NRSROS; "A"or better by 1 of 3 NRSROs,if Complies long tens debt issued; 25%maximum; 5%max issuer; 270 days max maturity Money Market Fund Highest rating by 2of 3 NRSROs; 20%maximum; 10%max issuer Complies Repurchase A reements 102%collat2relization Complies Reverse Repurchase 5%maximum,90 days max maturity Complies A reements LAIF Not used by investment adviser Com lies A Duration I Not to exceed 60 months - 80%to 120%of the benchmark Com lies Maximum Maturity 5 years maximum maturity Complies 'Account holds$2 million face value(cusip 525ESCOV6)and$600.000 face value(cusip 525ESC1 W)of defaulted Lehman Bros Holdirgs that were purchased by the pmJous manager. Complied at time of purchase. S,`I Account Profile Portfolio Characteristics OCSD Lehman Exposure 09/30/2016 06/30/2016 Portfolio Portfolio Average Maturity(yrs) 22.68 22.17 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 230,371 226,784 Portfolio is S&P and Mows respectively. SECTION 3 i Consolidated Information S,`I Account Profile Portfolio Characteristics Orange County Sanitation District Consolidated 09/30/2016 06/30/2016 Portfolio Portfolio Average Maturity(yrs) 2.41 2.07 Modified Duration 2.04 1.77 Average Purchase Yield 1.32 % 1.12 % Average Market Yield 0.97 % 0.76 % Average Quality— AA+/Aai AA+/Aa1 Total Market Value 384,169,111 472,319,114 Portfolio is S&P and Mows respectively. C�" Sector Distribution Orange County Sanitation District Consolidated September 30, 2016 June 30, 2016 c°anrr°jai us us Corporate Mott 3P 9%_ 21%ram 18.o% Pass age Thru Commercial 0S% Municipal Mortgage Paper Bantle Pass Th. 3.]% 1.2% 0.8% Municipal us Money Bontla Treasu Market u5 1.0% ry Funtl Treasury 35 9% FI 23.3% Money 1.8% Market FuM CMO NegoBable FI 0.8% CO common 1.1 % CMO Stack 0.7% 0.0% ABS Common ].6% 0�% ABS a� 4.9% Sueanelonal Agency `Supranaoonal Agency 5.9% 33.1% 4.9% 28.5% SECTION 4 1 IN _'==- Portfolio Holdings ��" Orange County Sanitation District Long Term Holdings Report Account 010268 As of 9/30116 Purchase Da:o Cost Va:u Mid Price Market Value %of Pod. MoodyIS&P Maturity CUSIP Security Description Par Value/Units Book Yie d Book Va u: Mkt YTM Accrued Ind. Gain/Loss Fitch Duration ABS 111111 43813JAC9 Honda Auto Receivables 2014-1 A3 998,914.40 01/22/2015 995,870.84 99.85 997,464.98 0.31 % Aaa/NR 1.14 0.67%Due 11/21/2017 0.90% 998,559.17 L54% 185.91 (1,094.19) AAA 0.17 89231 MAC9 Toyota Auto Receivables Owner 2014-A 1,074,791.54 0112112015 1,072,566.38 99.95 1,074,209.00 0.33% Aaa I AAA 1.21 0.67%Due 1211512017 0.90% 1,074,458.69 0.96% 320.05 (249.69) NR 0.18 89231TAB6 Toyota Auto Receivables Owner,2015-C 1,080,063.49 0811812015 1,0]9,9]6.64 99.99 1,079,940.36 0.33% Aaa/AAA 1.38 0.92%Due 2/1512018 0.93% 1,080,015.26 0.97% 441.63 (74.90) NR 0.23 43814GAC4 Honda Auto Receivables 2014-2 A3 832,992.17 04/N/2015 832,406.48 99.94 832,504.04 0.26% Aaa I AAA 1.47 0.77%Due 311912018 0.83% 832,817.07 0.95% 231.62 (313.03) NR 0.34 43814NAB1 Honda Auto Receivables 2016-1 A2 2,565,000.00 0211612016 2,564,743.76 1W.W 2,565,718.20 0.79% NR/AAA 1.72 1.01%Due 6/18/2018 1.02% 2,564,810.25 0.95% 935.51 907.95 AAA 0.49 161571GC2 Chase CHAT Pool#2013-A8 2,500,000.00 01/07/2016 2,499,121.10 1N.01 2,500,227.50 O.n% Aaa IAAA 2.04 1.01%Due 10/15/2018 1.03% 2,499,350.64 0.85% 1,122.22 876.86 AAA 0.02 4778nAD6 John Deere Owner Trust 2014-B A3 2,955,493.72 02/0412015 2,956,879.10 1W.04 2,956,740.94 0.91Is Aaa/NR 2.13 1.07%Due 11/15/2018 1.05% 2,956,056.10 0.99% 1405.SO 684.84 AAA 0.48 89236WAC2 Toyota Auto Receivables Owner 2015-A 3,595,000.00 0212412015 3,594,456.44 100.07 3,597,609.97 1.10% Aaa IAAA 2.38 1.12%Due 211512019 1.13% 3,594,747.11 1.01% 1,789.51 2,862.86 NR 0.64 47780NAM John Deere Owner Trust 2016E A2 2,980,000.00 07/19/2016 2,979,818.22 99.99 2,979,734.78 0.91 % Aaa INR 2.38 1.09%Due 211 512 01 9 IAG% 2,979,831.08 1.10% 1,443.64 (96.30) AAA 0.92 654T8WAB1 Nissan Auto Receivables Owner 2016-C 2,085,000.00 0810212016 2,084,917.85 99.93 2,083,619.73 0.64% Aaa/NR 2.62 A2A 1.08% 2.084,922.09 1.14% 991.53 (1,302.36) AAA 1.00 1.07%Due 511 512 01 9 161571HHO Chase CHAT Pool#2016-A7 4,140,000.00 W/0612016 4,139,643.13 1W.02 4,140,732.78 1.27% Aaa I AAA 2.96 1.06%Due 9/1612019 1.08% 4,139,660.63 1.04% 2,194.20 1,072.15 AAA 0.93 47788MA04 John Deere Owner Trust 2016-A A3 2,420,000.00 0212312016 2.419,619.09 100.0 2,422,243.34 0.74% Aaa INR 3.54 1.36%Due 411512020 1.37% 2.419,673.00 1.31% 1,462.76 2,570.34 AAA 1.65 438140AC2 Honda Auto Receivables 2016-2 A3 1,810,000.00 0512412016 1,809,964.89 1M.43 1,817,8W.83 0.56% Aaa INR 3.54 1.39%Due 411512020 1.40% 1,809,967.94 lA6% 1,118.18 7,892.89 AAA 1.82 83162CUO Small Business Administration 2001-20C 70,644.46 031M12001 70,644.46 105.95 74,849.92 0.02% Aaa/AA- 4.42 6.34%Due 3I1=1 6.34% 70,6"A6 3.80% 373.24 4,205.46 AAA 2.30 78445JAA5 SLMA20069A 37,851.84 MI22I2008 37,698.27 100.22 37,935.38 0.01 % Aaa/AA+ 6.57 2.234%Due 4/25/2023 2.33% 37,833.98 2.38% 159.69 101AI) AAA 0.06 29,138,326.65 29,161,391.75 8.95% Aaa I AAA 2.40 Total ABS 29,145,751.62 1.11% 29,143,347.47 1.05% 14,175.19 18,044.28 Aaa 0.76 AGENCY 3135GOES8 FNMA Note 4,000,000.00 06/11/2015 4,044,200.00 100.11 4,OO ,576.00 1.23% Ann/AA- 0.13 1,375%Due 11/15/2016 0,60% 4,003,810.34 046% 20,777.78 765,66 AAA 0.12 3137EADUO FHLMC Note 5,000,000.00 0111612015 4,991,050.00 100.03 5,001,545.00 1.54% Aaa/AA+ 0.33 0.5%Due 1Wl 017 0.59% 4,998,56897 0.40% 4,44444 2,976.03 AAA 0.32 313379FW4 FHLB NO. 5,000,000.00 0512212015 5.025,100,00 100.26 5,013,190.00 1.54% Aaa/AA+ 0.69 1%Do.619/2017 0.75% 5,008,456.51 0.62% 15,555.66 4,733.49 AAA 0.69 Chandler Asset Mane9ement-CONFIDENTIAL 37 '" Orange County Sanitation District Long Term Holdings Report Account#10268 As of 9/30116 Purchase Da:o Cost Va:u: Mut Price Market Value %of Pod. MoodyIS&P Maturity CUSIP Security Description Par Value/Units Book Yie d Book Va Mkt Y7M Accrued Int. Gain/Loss Fitch Duration �IMCy 3137EADVB FHLMC Note 5,000,000.00 06/25/2015 4,994,250.00 100.10 5,OO ,825.00 1.54% Ann/AA+ 079 0J5%Due 7/14/2017 0.81 % 4,997,804.41 0.63% 8,020.83 7,020.59 AAA 0.78 3137EADN6 FHLMC Note 5,000,000.00 0112312015 4,967,500.00 99.97 4,998,525.00 1.54% Aaa/AA+ 1.28 0.75%Due 1n212018 0.97% 4,985,942.70 O.TT% 8,229.17 12,582+30 AAA 1.27 3137EADPI FHLMC Note 5,000,000.00 0111312015 4.974,100.00 100.08 5,003,920.00 1.54% Aee/AA+ 1.43 0.875%Due W12018 1.04% 4,988,223.17 0.82% 2,916.67 15,696.83 AAA 1.42 313378A43 FHLB Note 7,500,000.00 02/11/2015 7,544,850.00 100.82 7,561,147.50 2.32% Ass/AA+ 1.44 1.375%Due 3M/2018 1.10% 7,520,964.67 0.80% 6,302.08 40,182.83 AAA 1.43 3135GOG72 FNMA Note 5,000,000.00 1211812015 4,963,950+00 100.48 5,023,985.00 1.MIs Aaa/AA+ 2.21 1.125%Do.IVI412018 1.37% 4.973,384.57 0.90% 16,918.75 50,600.43 AAA 2.19 3133782102 FHLB Note 7,600,000.00 Various 7,589,190.00 101.31 7,598,025.00 2.33% Aaa/AA+ 2.44 1.5%Due 3/8/2019 1.14% 7,563,476.27 Me% 7,187.50 34,548.73 AAA 2.39 3135GOZGI FNMA Note 5,000,000.00 12/15 014 5,021,500.00 102.16 5,108,075.00 1.57% Aaa/AA+ 2.95 1.75%Due 9/12/2019 1.66% 5,013,364.53 1.00% 4,618A6 94,710+47 AAA 2.87 3137EADM8 FHLMC Note 7,500,000.00 Various 7,399,650.00 100.71 7,552,950.00 2.33% Aee/AA+ 3.01 1.25%Due 10/212019 1.61 % 7,420,939.99 1.01% 46,614.58 132,010.01 AAA 2.93 313383HU8 FHLB Note 5,000,000.00 08/1312015 5,008,950.00 102.32 5,115,795.00 1.58% Ass/AA+ 3.70 1.75%Due 611212020 1.71 % 5,006,849.49 1.11% 26,493.06 108,945.51 NR 3.56 3135GOD75 FNMA Note 5,000,000.00 1111612015 4,955,650+00 101.53 5,076,500.00 1.56Is Aaa/AA+ 3.73 1.5%Due W2212020 1.70% 4,964,076.24 1.08% 20,625.00 112,423.76 AAA 3.61 3135GOR3 FNMA Note 7,500,000.00 Various 7,370,726.00 101.35 7,600,927.50 2.34% Aaa/AA+ 4.17 1.5%Due 1113012020 1.87% 7,391,401.51 1A7% 37,812.50 209,525.99 AAA 4.01 3130A7CV5 FHLB Note 5,365,000.00 0211712016 5,343,325.40 100.61 5,397,565.55 1.66% Aaa/AA+ 4.39 1.375%Due V1812021 1.46% 5,346,006+55 1.23% 8,811.27 51,559+00 AAA 4.24 3135GOJ20 FNMA Note 10,000,000.00 Various 10.040,950.00 100.66 10,065,950.00 3.09% Aas/AA+ 4.41 1.375%Due 212612021 1.28% 10,039,31 y.66 1.22% 13,368.06 26,632.34 AAA 4.26 94,234,941.40 95,127,501.55 29.26% Aaa I AA+ 2.51 Total Agency 94,366,000.00 1,27% 94,222,587.58 0.92% 248,495.31 904,913+97 Aaa 2.44 Ct40 62888UAA8 NCUA Guaranteed Note CMO 2010-R2 419,136.76 11/10/2010 419,134.86 100.02 419,215.56 0.13% Ann/AA+ 1.10 CAN%Due 11/6/2017 0.00% 419,134.86 0s8% 260.00 8030 NR 0.08 31390VJ98 FHLMC FHMS K006 A2 900,000.00 1112312010 951,046.88 108.28 974,520.90 0.w Is Aaa/AA+ 3.32 4.251%Due 1/2512020 3.54% 918,486+18 1.48% 3,188.25 56,034.72 AAA 2.96 3837H4NX9 GNMA PooI#2000-9 35,255.74 0112412000 35,25514 100.54 35,465]1 0.01 % Aee/AA+ 13.39 1.032%Due 211612030 1.04% 36,255.74 0.66% 29.96 190.03 AAA 0.03 3133TCE95 FHLMC FSPC E3A 49,510.10 03/11/1998 49,56189 104.26 51,618.29 0.02% Aaa/AA+ 15.88 3.039%Due 811512032 3.01 % 49,534.05 1.55% 125.38 2,084.24 AAA 1.68 3139BX305 FNMA FNR 2007-114 A6 40,243.38 0111012008 38,281+52 99.83 40,173.44 0.01Is Me/AA. 21.09 0.927%Due 1 OQ712037 1.07% 38,855A0 1.00% 3.25 1,318.04 AAA 0.75 Chandler Aseel Management-CONFIDENTIAL 38 '" Orange County Sanitation District Long Term Holdings Report Account#10268 As of 9/30116 Purchase Da:o Cost Va:u Mut Price Market Value %of Pod. MoodyIS&P Maturity CUSIP Security Description Par Value/Units Book Yie d Book Va u: Mkt YTM Accrued Int. Gain/Loss Fitch Duration CMO 31397QREO FNMA FNR 2011-3 FA 363,964.60 12/20/2010 363,850.86 100.66 366,366.77 0.11 % Asa/AA- 24.42 1.202%Due 2/25/2041 1.20% 363,872.32 L01 % 72.93 2,494.45 AAA 0.07 313WY35 FHLMC FSPC TS82A 1,029,097.01 06/0912011 1,165,452.34 120.21 1,237,087.81 0.WIs Aaii 2700 6.5%Due 9/25/2043 540% 1143,063 75 335% 1,114.86 94,024.06 AAA 6.15 3,022,584.09 3,124,428.54 0.96% Ann I AA+ 15.41 Total CMO 2,837,207.59 3.40% 2,968,202,30 2.07% 4,794.63 156.22624 Asa 3.42 COMMERCIAL PAPER 06538BKS1 Bank of Tokyo Mitsubishi NY Discount 6,630,000.00 0612712016 6,613,645,98 99.95 6,626,592.91 2.03% P-1 I A-1 OD] CP 0.75% 6,626,592.91 015% 0.00 0.00 F-1 OL] 0.74%Due 10/26/2016 89233GLd3 Toyota Motor Credit Discount CP 5,000,000.00 05/19/2016 4,978,261.10 99.89 4,994,266.66 1.53% P-1IA-1+ 0,13 0,86%Due 1111812016 0.88% 4,994,266+66 0.88% 0.00 0.00 F-1 0,13 11,591,907.08 11,620,859.57 3.57% P-1 IA-0 0.10 Total Commercial Paper 11,630,000.00 0.01% 11,620,859.57 0.81% 0.00 0.00 F-1 0.10 MONEY MARKET FUND Fit 261908107 Dreyfus Trsy/Agcy Cash Management 1,840,702.86 Various 1,840,702+86 1.00 1,840,702.86 0.56% Aaa I AAA 000 521 0.21 % 1,840,702+86 0.21% 0.00 0.00 AAA 000 1,040,702.86 1,840,702.86 0.56% Asa I AAA 0.00 Total Money Market Fund Fit 1,840,702.86 0.21% 1,040,702.86 0.21% 0.00 0.00 Asa 0.00 MORTGAGE PASS THRU _ 31381PDA3 FNMA FN 466397 361,748.13 1210112010 353,919+68 107.01 387,109.57 0.12% Asa/AA- 4.09 3.4%Due 11/112020 3,80% 358,519.81 1.56% 239.16 28,589.76 AAA 3.69 36225CAZ9 GNMA Pooh G280023 26,123.20 0810811997 26,555.87 103.24 26,970.64 0.01 % Aiiii 10.23 1.625%Due 12I20Y2026 1.52% 26,273.98 1.56% 35.38 696.66 AAA 4.22 36225CC20 GNMA Pi G280088 30,443.87 OS/11/1997 31,109.84 103.33 31,456.71 0.01Is Aaa/AA+ M 73 2.1%Due 6/20/2027 1.96% 30,683+21 1.66% 53.28 773.50 AAA 4.92 31348SVVZ3 FHLMC FH 786064 2,495.40 0211812000 2,434.64 103.39 2,580.00 0.00% Asa/AA+ 11.26 2.737%Due 1/1/2028 2.93% 2,470.86 2.21% 5.69 109.14 AAA 0.26 31371NUC7 FNMA FN 257179 26,054.42 12/05/2011 27,555.10 109.54 28,540.35 0.01 % Aaa/AA+ 11.51 4.5%Due 4/1/2028 3.72% 27,112S3 1A8% 97.70 1,427.52 AAA 3A6 3141TYAY3 FNMA Pooh FN MA0022 31,694.78 121OWN11 33,520+32 109.54 34718.87 0.01Is Asa/AA+ 12.51 4.5%Due 4/1/2029 3.76% 33.013+39 1.48% 118.86 1,705.48 AAA 3.27 3138EG6F6 FNMA FN AL0889 20,660.16 12I05I2011 21,850.15 109.54 22,631.41 0.01 % Aiiii 12.68 4.5%Due 6/1/2029 3.77% 21,522.86 1.32% 18.08 1,108.55 AAA 3.04 03215PFN4 AMRESCO Residential Securdes 1999-1 133,743.29 05 OI2011 100,432.86 Sege 117,777.60 0.04% NR I AA+ 12.74 A 4.98% 110,299.44 2.83% 32.59 7,478.24 BBB 9.58 1.462%Du0 612512029 Chandler Asset Management-CONFIDENTIAL 39 ��" Orange County Sanitation District Long Term Holdings Report Account 010268 As of 9/30116 DescriptionPurchase Da:o Cost Va:u Mkt Price Market Value %of Pod. MoodyIS&P Maturity CUSIP Security MORTGAGE PASS THRU 36225CNM4 GNMA Pool#G280395 10,86871 03/15/2000 10,770.19 103.70 11,271.20 0.00% Asa/AA- 13.56 2.1%Due 4/20/2030 2.16% 10,824J07 1.68% 19.02 447.13 AAA 6.00 36225CN28 GNMA Pool#G280408 84,686.67 03/15/2000 83,826.58 103.64 87,769.43 0.03% Aaa/AA+ 13.64 2.1%Due 5/20/2030 2.17% 84,295+69 1.39% 148.20 3,473.74 AAA 3.66 31403GXF4 FNMA Pool#FN 748678 5,510.48 0611012013 5,92377 111.50 6,144.21 0.00% Aaa/AA+ 17.01 5%Due 10/1/2033 4.16% 6,868.05 1.58% 22.96 286.16 AAA 3.43 36225DCB8 GNMA Pooht G280965 91,575.75 07/19/2004 91,518S3 104.30 95,514.42 0.03% Asa/AA+ i7.81 1.875%Due 7120120M 1.80% 91,541+69 1.54% 143.09 3,972.73 AAA 5.48 31406X1NT5 FNMA Pool#FN 8233M 182,628.00 01/1112006 181,201+23 105.71 193,049.12 0.06% Aaa/AA+ 18.35 2.535%Due 2/l/2035 2.59% 181,926.58 2.62% 385.80 11,322.54 AAA 0.40 31406PQYB FNMA P.I#FN 816971 311,382.99 W/10/2013 334,]36.]3 110.97 345,653.54 0.11 % Aaa/AA+ 18.43 5%Due 3/1/2035 4.21 % 331,265.75 1A3% 1,297.43 14,287]9 AAA 3A1 31407BXH7 FNMA P.I#FN 826080 34,410.57 M/10/2013 36,991.35 111.34 38,311.97 0.01 % Aaa/AA+ 18.76 5%Due 111W35 422% 36,613+61 1.84% 143.38 1,698.36 AAA 3.63 31376KTU FNMA FN 359969 189,489.28 06/10/2013 203700.98 111.35 211,002.19 0.06% Aaa/AA+ 18.93 5%Due 9/1/2035 4.22% 201,636.83 1.84% 184.23 9,365.36 AAA 3.63 31403DJZ3 FNMA Pool#745580 182,993.55 06/10/2013 196,718.07 111.30 203,669.63 0.06% Asa/AA+ 19.68 5%Due 6/1/2036 4.26% 194,790.04 1.86% 762.47 8,879.59 AAA 3.65 31410F4V4 FNMA P.I#FN 888336 363,648.91 MIIO12013 39092259 111.31 404777.42 0.12% Asa/AA+ 19.76 5%Due 7/V2036 4.25% 387,104.86 185% 1,515.20 17666.56 AAA 3.64 2,133,688.47 2,248,842.38 0.69% Asa I AA+ 15.38 Total Mortgage Pass Thou 2,090,158.16 3.78% 2,135,553.55 1.86% 5,222.52 113,288.81 Asa 3.77 MUNICIPAL BONDS 73358WAG9 Port Authonty of NY&NJ TE-REV 2,440,000.00 Vanous 2,507,633,89 11179 2,727,773.60 0.85% Aa3/AA- 3.17 5.309%Due 12/1/2019 4.97% 2,460,556.24 1.49% 43,179.87 267,217.36 AA- 2.91 64971MSE8 New York NY TE-REV 1,400,000.00 10/27/2010 1,400,000.00 10976 1,536,668.00 0.48% Act IAAA 4.09 4.075%Due 11/112020 4.08% 1,400,000.00 1.60% 23,770.83 136,668.00 AAA 3.73 913366EJ5 Univ of Califomia Rgts Med TE-REV 400,000.00 11IM12010 400,000.00 113.94 455,772.00 0,14% Aa3/AA- 4.62 5,035%Due 511512021 Shut% 400,000A0 1.89% 7,608.44 55,772.00 NR 4.11 4,307,633.89 4,720,213.60 1.47% Aa2/AA 3.61 Total Municipal Bonds 4,240,000.00 4.68% 4,260,556.24 1.56% 74,559.14 459,657.36 AA 3.29 NEGOTIABLE CO i 89113WHFG Taranto Dominion NY Yankee CD 4,075,000.00 08IZ212016 4.075,000.00 100.00 4,075,000.00 1.25% P-1/A-1+ 0.45 1.19%Due 3/13/2017 1.19% 4,075,000.00 1.19% 5,253.35 0.00 F-1+ 0.45 4,075,000.00 4,075,000.00 1.25% P-1/A-1+ a." Total Negotiable CD 4,076,000.00 1.19% 4,075,000.00 1.19% 5,253.35 0.00 F-1+ a." Chandler Ae uManagement-CONFIDENTIAL 40 CAROrangeCounty Sanitation District Long Term Holdings Report Account#10268 As of 9/30116 Purchase Da:o Cost Va:u: Mut Price Market Value %of Pod. MoodypS&P Maturity CUSP Security Description Par Value/Units Book Yie d Book Va Mut)CrM Accrued Int. Gain/Loss Fitch Duration SUPRANATIONAL IM 4595OKBS8 International Finance Corp Note 5,000,000.00 03/16/2015 5,020,700.00 100.13 5,006,615.00 1.54% Aaa I AAA 0.56 1%Due 4/24/2017 0.80% 5,005,518.21 017% 21,805.56 1,096.79 NR 0.56 4581XOCGI Inter-American Dev Bank Note 5,000,000.00 O6I22I2015 5,019,550.00 100.10 5,005,205.00 1.54% Aaa I AAA 0.79 1%Due 7/14/2017 0.81 % 5,007,435.24 0.87% 10,694.44 (2,230.24) AAA 0.78 459058EJB Il Bank Recon B Development Note 5,000,000.00 Various 4,991,170.00 100.19 5,009,705.00 1.54% Aaa/AAA 1.71 1%Do.6/15/2018 1.07% 4,994,354.10 0.89% 14,722.22 16,350.90 AAA 1.69 4581XOCS5 Inter-American Dev Bank Note 3,500,000.00 07/25/2016 3,590,405.00 102.20 3,577,042.00 1.10% sea I AAA 4.46 1.875%Due 311512021 1.30% 3,586,827.25 1.36% 2,916.67 (9,785.25) AAA 4.27 18,621,825.00 18,598,567.00 5.T2% Aaa I AAA 1.68 Total Supranational 18,500,000.00 0.97% 18,594,134.80 0.94% 50,138.09 4,432.20 Asa 1.64 UB CORPORATE 06050TLX8 Bank of America Note 600,000.00 05/01/2014 600,000.00 100.11 600,672.60 0.18% Al/A 0.60 1.226%Due 51812017 1.23% 600,000.00 1.04% 1,083.41 672.60 NR 0.11 94988021.0 Wells Fargo Bank Callable None Carly, 500,000.00 0610512014 500,000.00 99.98 499,905.50 0.15% As2/AA- 071 6/16(2016 1.12% 500,000.00 1.14% 248.12 (94.50) AA 0.21 1.11]%Due 611512017 060505DP6 Bank of America Corp Note 3,800,000.00 0111512014 4,334,014.00 104.1] 3,981,423.40 1.24% Baal IBBB+ 1.17 5.75%Due 12/1/2017 1.95% 3,961,340.40 1.61% 72,833.33 20,083+00 A 1.12 166764AA8 Clb vmn Corp Callable Note Cant 2,000,000.00 12I04I2016 1.988,600.00 99.93 1,998,544.00 0.62% Aa2/AA- 1.18 11I6(17 1.30% 1,996,510.99 1.17% 7,114.67 3,033.01 NR 1.08 1.104%Due 12I512017 458140AL4 Intel Corp Note 2,000,000.00 0112612015 2,008,280+00 100.31 2,005244.00 0.62% Al/A+ 1.21 1.35%Due 12/15/2017 1.20% 2,003,466A1 1.09% 7,950.00 2,777.59 A+ 1.19 40428HPH9 HSBC USA Inc None 3,000,000.00 Various 3,003,290.00 100.05 3,001,641.00 0.92% A2I A 1.30 1.625%Due 1/16/2018 1.59% 3,001,424.71 1.58% 10,156.25 216.29 AA- 1.27 38141 GFG4 Goldman Sachs Group Inc Note 600,000.00 Various 692,806.00 105.50 633,021.60 0.20% A3/BBB+ 1.30 5.95%Due 111812018 2.73% 623,277.15 1.65% 7,239.17 9,744.45 A 1.25 674599CD5 Occidental Petroleum Callable Note Cone 2,000,000.00 0110612015 1.986,340.00 100.31 2,006,198.00 0.62% A3I A 1.38 1/15/18 1.73% 1,993,947.64 1.26% 3,833.33 12,250.36 A 1.27 1.5%Due 2/16(2018 025816AYS American Express Coach Note 2,900,000.00 Various 3,377,385.79 107.07 3,128,119.W 0.96% A31 BBB+ 1.47 7%Due 311912018 4.28% 2,998,404.21 1.56% 6,766.65 129,715+59 A 1.41 073902CD8 Bear Stearns Note 3,200,000,00 011IW2014 3,523,520.00 105.42 3,373,507.20 1.05% A3I NR 1.75 4.65%Due VD2018 2.25% 3.327,374.79 1.51% 36,786.67 46,132.41 A+ 1.68 532457BF4 Eli Lilly B CO Note 4,000,000.00 Various 4,009,675.00 101.73 4,069,148.00 1.25% A2/AA- 2.45 1.95%Due 311512019 1.89% 4,005,564.25 1-23% 3,466.67 63,583.75 A 2.40 02665WAH4 American Honda Finance Note 4,000,000.00 Various 4,046,640.00 102.48 4,099,248A0 1.26% Al/A+ 2.87 2.25%Due 8/15/2019 1.93% 4,035,144.80 1.37% 11,500.00 64,103.20 NR 2.78 Chandler Aeeel Management-CONFIDENTIAL 41 CAROrangeCounty Sanitation District Long Term Holdings Report Account#70268 As of 9/30116 Purchase Da:o Cost Va:u: Mut Price Market Value %of Pod. MoodyIS&P Maturity CUSP Security Description Par Value/Units Book Yie d Book Va Mut Y7rM Accrued Ind. Gain/Loss Fitch Duration US CORPORATE 06406HCM Bank of New York Callable Note Cont 2,120,000.00 02/10/2016 2,142,175.20 102.37 2,170,277.92 0.67% Al/A 2.95 &11/2019 1.99% 2,138,200.40 1A5% 2,708.89 32,077.52 AA- 2.11 2.3%Due all 112019 24422ESS9 John Deere Capital Corp Note 5,000,000.00 Various 5.046,984.00 102.42 5,121,245.00 1.57% A2/A 2.96 2.3%Due 9/16/2019 2.07% 5.031,709.99 1.46% 4,791.67 89,535.01 NR 2.86 36962G7MO General Eledric Capital Corp Callable 5,000,000.00 Various 5,014,960.00 102.52 5,126,065.00 1.58% At/AA- 3.28 Note 1X 12/9I2019 2.13% 5,010,O76.12 1.39% 25,055.55 115,988.88 AA- 3.O7 2.2%Due 1/9/2020 46625HKA7 JP Morgan Chase Callable Note Cant 2,000,000.00 0210612015 1,994,880.00 101.31 2,026,276.00 0.62% A3/A- 3.32 1212312019 2.30% 1.996,574.39 1.83% 8,5D0.D0 29,701.61 A+ 3.09 2.25%Due 112312020 40428HPR7 HSBC USA Inc Note 1,250,000.00 02I0&2016 1,222,787.50 100.87 1,260,853.75 0.39% A21 A 3.43 2.35%Due 31WO20 2,92% 1,227,O75.53 2.09% 2,121.53 33,778.22 AA- 3.28 747525AD5 Oualcomm Inc Note 5,000,000.00 0511912015 4,995,195AO 102.11 5,105,355.00 1.58% Al/A-, 3.64 2.25%Due 512012020 2.27% 4,996,506A6 1.66% 40,937.51 108,848.54 NR 3.46 94974BGM6 Wells Fargo Corp Note 5,000,000.00 07/1612015 5,001,650.00 102.03 5,101,4W.00 1.57% A2/A 3.81 2.6%Due 7/22/2020 2.59% 5,001,255.34 2.04% 24,916.67 100,194.66 AA- 3.60 037833BS8 Apple Inc Callable Note Cant 1123/2021 4,000,000.00 O&23IN16 4,050,840.00 102.58 4,103,196,00 1.26% Aat/AA+ 4.40 2.25%Due 2/23/2021 1.96% 4.047,01879 1.64% 9,500.00 56,197.21 NR 4.19 30231 GAV4 Exxon Mobil Corp Callable Note Cant 3,000,000.00 Various 3,016,097.40 102.18 3,065,490.00 0.94% Aaa/AA+ 4.42 2/1/2021 2.10% 3,014,921AI) 171% 5,655.01 50,568.20 NR 4.19 2.222%Due 31112021 166T64BG4 Chevron Corp Callable NOW Cant 2,500,000.00 OWNIN16 2,485,350.00 101.65 2,5I,331.50 0.79% Aa2/AA- 4.63 4/15/2021 2.23% 2.486,390.09 1.72% 19,687.50 54,947.41 NR 4.29 2.1%Due&16/2021 6174TWAL3 Morgan Stanley Nate 2,800,000.00 06l 3,200,848.00 114.05 3,193,475.60 ON Is A3/BBB+ 4.83 5.5%Due 7/28/2021 3.24% 3,O71,080+39 2.40% 26,950.00 122,395+21 A 4.26 594918BP8 Microsoft Callable Note Cont 7I8/21 3,045,000.00 Various 3.041,385.15 0.59 3,032,555.09 0.93% Aaa IAAA 4.86 1.55%Due Bl&2021 1.57% 3,041,492.05 1.64% 6,948.52 (8,936.96) AA+ 4.65 71,383,693.44 71,245,249.96 21.96% At/A+ 2.96 Total US Corporate 69,315,000.00 2.17% 90,107,756.70 1.59% 346,651.13 1,137,493.26 A+ 2.79 US TREASURY 91282SG46 US Treasury Note 3,000,000.00 Various 2,993,174.11 100D5 3,001,473.00 0.92% Ann/AA+ 0.17 0.6%Due 1113012016 0.62% 2,999,426.83 0.20% 5,040.98 2,046.17 AAA 0.17 912828SSO US Treasury Note 3,750,000.00 1212212015 3,750,305.53 100.20 3,757,398.75 1.16% Me/AA+ 0.58 0.875%Due 4130/2017 0.87% 3,750,130+50 0.54% 13,731.32 7,268.25 AAA 0.58 912828G20 US Treasury Note 10,000,000.00 Various 9,948783.50 100.19 10,019,140.00 3.08% Aaa/AA+ 1.13 0.875%Due 1111 5Y201 7 1.05% 9,960,273.04 0.70% 33,050.27 38,866.96 AAA 1.11 91282BUR9 US Treasury Note 3,500,000.00 04122/2016 3,496,457.04 100.03 3,501,092.00 1.07% Aaa/AA+ 'Al 0.75%Due 212812018 0.81 % 3,497,292.84 0.73% 2,247.93 3,799.16 AAA 1.41 Chandler Aseer Manegemed-CONFIDENTIAL 42 CAROrangeCounty Sanitation District Long Term Holdings Report Account#10268 As of 9/30116 Purchase Da:o Cost Va:u: Mkt Price Market Value %of Pod. MoodyIS&P Maturity CUSP Security Description Par Value/Units Book Yie d Book Va Mkt YTM Accrued Int. Gain/Loss Fitch Duration US TREASURY 111111 91282BB33 US Treasury Note 11,000,000.00 Various 11,042,439.19 101.54 11,168,872.00 3.44% Ads/AA- 2.34 1.5%Due 1/31/2019 1.37% 11,031,921.38 0.83% 27,798.91 136,950.62 AAA 2.29 912828WS5 US Treasury Note 10,000,000.00 Various 9,984,307.21 102.04 10,203,520.00 3.14% Aaa/AA+ 2.75 1.625%Due 613012019 1.66% 9,991,271.94 0.87% 41,066.57 212,248+06 AAA 2.68 912828WW6 US Treasury Note 10,000,000.00 Various 10,024,777.40 102.09 10,208,590.00 3.14% Aaa/AA+ 2.83 1.625%Due 7/31/2019 1.57% 10,014,130.35 0.88% 27,377.73 194,459.65 AAA 276 91282BF39 US Treasury Note 5,800,000.00 10/27/2014 5,873,186.87 102.49 5,944,!ATW 1.82% Aaa/AA+ 3.00 1.75%Due 913012019 1.48% 5,844,530.83 0.91% 278.84 100,016.77 AAA 2.92 912828G61 US Treasury Note 7,500,000.00 12/1912014 7,449.634.50 101.75 7,631,542.50 2.MIs Aaa/AA+ 3.17 1.5%Due 11/30/2019 1.64% 7,467,753.80 0.94% 37,807.38 163788.70 AAA 3.08 91282BL99 US Treasury Note 6,600,000.00 Various 5,424,666.87 101.17 5,564,240.00 1.72% Aaa/AA+ 4.09 1.375%Due 10/31Y2020 1.67% 5,437,371.93 1.08% 31,647.42 126,868.07 AAA 3.94 9128281,189 US Treasury Note 1,500,000.00 03/1512016 1,491,626.12 101A9 1,516,407.00 0.47% Aaa/AA+ 4.34 1.375%Due 113112021 1.49% 1,492,561+25 1.12% 3,474.66 23,845.75 AAA 4.19 912828WUO US Treasury Inflation Index Note 10,UG,816.00 Various 10,426,82171 101.46 10,694,701.35 3.28% Aaa/AA+ 779 0.125%Due 7/1512024 0.23% 10,451,676.67 -0.06% 2,792.73 243,024.68 AAA 7.76 81,906,180.06 83,211,524.20 25.60% Aaa 1 AA+ 3.08 Total US Treasury 82,090,816.00 1.23% 81,958,341.36 0.71% 226,314.94 1,253,182.84 Aaa 3.03 322,156,482S3 324,974,281.39 100.00% Art I AA+ 2.80 TOTAL PORTFOLIO 320,129,636.23 1.48% 320,927,042.43 1.05% 975,605.10 4,047,238.96 Aaa 2.38 TOTAL MARKET VALUE PLUS ACCRUED 325,949,81WA9 Chandler Aseel Management-CONFIDENTIAL 43 C�" Orange County Sanitation District Liquid Holdings Report Account 010282 As of 9/30116 Purchase Da:o Cost Va:u: Mkt Price Market Value %of Pod. Ithi Maturity CUSIP Security Description Par Value/Units Book Yie d Book Va Mkt YTM Accrued Ind. Gain/Loss Fitch Duration AGENCY 111111 313384,159 FHLB Discount Note 700,000.00 09/27/2016 699,961.11 100.00 699,980.56 1.21 % P-1 I A-1+ 0.01 0.25%Due 1015/2016 0.25% 699,980.56 0.25% 0.00 0.00 F-1+ 0.01 3133NK36 FHLMC Discount Note 3,000,000.00 N/1612016 2,999,531.25 99.99 2,999,812.50 5.17% P-11A-1+ 0.03 0.22%Due 1011112016 0.23% 2,999,812+50 0.23% 0.00 0.00 F-1+ 0.03 3133UK40 FHLB Discount Note 10700,000.00 Various 10,698,170.37 99.99 10,699,203.43 18.45% P-1 I A-1+ 0.03 0.244%Due 10/12/2016 0.25% 10,699,203.43 0.26% 0.00 0.00 F-1+ 0.03 3137EADS5 FHLMC Note 3,225,000.00 Various 3,229,248.00 100.02 3,225,557.93 5.58% Aaa/AA+ 0.04 0.875%Due 10/14/2016 0.45% 3,225,486.57 0.43% 13,090.36 71.36 AAA 0.04 3135ML37 FNMA Discount Note 10,000,000.00 0712212016 9,891,841.6] 99.96 9,998,350.00 17.24% P-1IA-1+ 0.05 0.33%Due 10/19/2016 0.33% 9.998,350.00 0.33% 0.00 0.00 F-1+ 0.05 3135GOESS FNMA Note 4,137,000.00 Various 4,152,295.92 100.11 4,141,73273 7.18% Ass IAA+ 0.13 1.375%Due 11/152016 0.49% 4,141,48L27 0.46% 21,489.42 25IA6 AAA 0.12 31,771,048.32 31,764,637.15 54.84%, P-1/A-1+ 0.05 Total Agency 31,762,000.00 0.33% 31,764,314.33 0.32% 34,579.78 322.82 F-0+ 0.05 COMMERCIAL PAPER = 89233GKC9 Toyota Motor Credit Discount CP 1,000,000.00 09/07/2016 999,581.94 99.99 999,868.61 172% P-11A-1+ 0.03 043%Due 1011212016 0PI% 999,868,61 044% 0.00 0,00 F-1 0.03 06538BKS1 Bank 0Tokyo Mitsubishi NY Diswunt 1,290,000.00 M12712016 1,286,818.00 99.95 1,289,337.08 2.22% P-1/A-1 0.07 CP 0.75% 1.289,337.08 0.75% 0.00 0.00 F-1 0.07 0.74%Due 10/26/2016 21687AMK6 Rabol ank Nederland NV NY Discount 1,000,000.00 061 995753.33 99.82 998,156.67 172% P-1/A-1 0.22 CP 0.86% 998,156+67 0.86% 0.00 0.00 NR 0.22 0.84%Due 1211912016 3,282,153.27 3,287,362.36 5.67% P-1IA-1 0.10 Total Commercial Paper 3,290,000.00 0.69% 3,297,362,36 0,69% 0.00 0,00 F-1 0.10 MONEY MARKET FUND FI 261908107 Dreyfus Tray/Agcy Gash Management 5,266,222.23 Various 5,266,222,23 1,00 5266,222.23 9.08% Aaa I AAA 000 521 0.21 % 5,266,222.23 021 % 0.00 0,00 AAA 000 5,266,222.23 5,266,222.23 9.08% Arm I AAA 0.00 Total Money Market Fund FI 5,266,222.23 0.21% 5,266,222.23 0.21% 0.00 0.00 Area 0.00 US CORPORATE 10000E-- 458140AH3 Intel Carp Note 1,000,000.00 0712112016 1.002,470.00 100.00 1,000,000.00 1.74% At/A+ 0.00 1.95%Due 10/112016 0.58% 1,000,000.00 1.95% 9,750.00 0.00 A+ 0.00 02665WAB7 American Honda Finance Note 1,000,000.00 12/21I2015 1,001,660.00 100.00 1,000,006.00 1.73% Al/A+ 0.02 1.125%Due 10912016 0.91% 1,000,034.58 1.09% 5,431.50 (28.58) NR 0.02 24422ESD2 John Deere Capital Corp Note 1,000,0w.w 1212112015 1,001,070.00 100.00 1,000,021.00 1.73% A2I A 0.03 1.05%Due 1011112016 0.91% 1,000,036.64 0.96% 4,958.33 (9.64) NR 0.03 Chandler Asset Mane9emenl-CONFIDENTIAL 44 CAROrangeCounty Sanitation District Liquid Holdings Report Account As of 9/30116 Purchase Da:o Cost Va:u: Mut Price Market Value %of Pod. Moody]S&P Maturity CUSIP Security Description Par Value/Units Book Yie d Book Va Mut YTM Accrued Int. Gain/Loss Fitch Duration US CORPORATE IC 91159HHB9 US Bancorp Callable Note Cent 1,000,000.00 12/21/2015 1,009,900.00 100.04 1,000,356.00 1.74% AI IA- 0.13 10/14/2016 0.96% 1,000,436.27 1M% 8,311.11 (80.27) AA 0.12 2.2%Due 1111 512 01 6 06406HCA5 Bank of New York Callable Note Cont. 1,000,000.00 0612112016 1.008,120.00 100.28 1,002,798.00 1.74% Ai/A 0.30 12/18/16 0.71 % 1.003,578.31 1.10% 4,933.33 (780.31) AA- 0.22 2.4%Due 1/17/2017 46623EJY6 JP Morgan Chase Note 1,000,000.00 0212612016 1,000,470.00 100.05 1,000,479.00 1.73% A3/A- 0.38 1.35%Due 211512017 1.30% 1,000,183+97 1.22% 17250 295.03 A+ 0.37 713448CLO Pepsin Inc.Note 1,500,000,00 Various 1,501,765.00 100.04 1,500,537.00 2.59% At/A 0.40 0.95%Due 2/22/2017 0.75% 1.501,140.29 0.86% 1,543]5 (603.29) A 0.39 17275RAT9 Cisco Systems Note 1,000,000.00 06108/2016 1,002,660.00 100.04 1,000,401.00 1.73% At/AA- 0.42 1.1%Due W312017 0.73% 1,001,547.45 1.00% 855.56 (1,146.45) NR 0.42 532457BB3 Eli Lilly&CO Note 1,000,000.00 0712112016 1,027,930+00 101.89 1,018,861.00 1.76Is A2/AA- 0.45 5.2%Due 311512017 0.79% 1,019,864.01 1.06% 2,311.11 (1,003.01) A 0.46 03]833AM2 Apple Inc Note 1,000,000.00 0610812016 1,002,590.00 100.12 1,001,200.00 1.73% Apt/AA+ 0.59 1.05%Due 515/2017 0.76% 1,001,716.07 0.85% 4,229.17 (516.07) NR 0.59 94974BFD7 Wells Fargo Cory Note 1,000,000.00 06/0212016 1,008,550.00 100.43 1,004,321.00 1.75% A2/A 0.60 2.1%Due 5/8(2017 1.16% 1,005,589+40 1.38% s341.67 (1,268.40) AA- 0.60 11,567,185.00 11,528,986.00 19.97% At/A+ 0.31 Total US Corporate 11,500,000.00 0.87% 11,534,126.99 1.20% 52,396.53 (5,140.99) A+ 0.30 US TREASURY 91282BLU2 US Treasury Note 3,000,000.00 06/17/2016 3.029,892.86 10023 3,006,831.00 525% Ass IAA+ 0.08 3,125%Due 10/31/2016 0,36% 3,006,742,75 042% 39,232.34 88,25 AAA 0.08 912828WF3 US Treasury Note 3,000,000.00 W/39/2016 3,003,291.30 100.05 3,001,524.00 5.19% Aaa/AA+ 0.13 0.625%Due 1111M016 0.33% 3,001,073.25 0.22% 7,082.20 460.75 AAA 0.12 6,033,184.16 6,008,355.00 10.4 Is Aaa I AA+ 0.11 Total US Treasury 6,000,000.00 0.35% 6,007,816.00 0.32% 46,314.54 539.00 Aaa 0.10 57,919,792.98 57,855,562.74 100.00% P-2I A-1 0.11 TOTAL PORTFOLIO 57,818,222.23 OAS% 57,859,841.91 0.51% 133,290.85 (4,279.17) F-1+ 0.10 TOTAL MARKET VALUE PLUS ACCRUED 57,988,853.59 Chandler Aseel Management-CONFIDENTIAL 45 CAROCSDLehman Exposure Holdings Report Account 010284 As of 9/30116 Purchase D :a Cost V :u: Mid Price Market Value %of Pon Ma.d,IS&P Maturity CUSIP Security Description Par Value/Units Book YI:d Book Va Mkt YTM Accrued Int. Gain/Loss Fitch Duration COMMON STOCK SLHOPNTA4 Lehman Brothers,Inc Open Position 60,641.49 11/21/2014 57,842.64 0.42 25,621.03 11.12% NR/NR 0.00 Lang Exposure 0.00% 57,842.64 0.00% 0.00 (32,221.61) NR 0.00 Due 9/30/2016 57,842.64 25,621.03 11.12% NR/NR 0.00 Total Common Stock 60,641.49 NIA 57,842.64 0.00% 0.00 (32,221.61) NR 0.00 US CORPORATE 525ESC167 Lehman Brothers Note-Defaulted 600,000,00 09/19/2008 362,825,27 7.88 47,250,00 20.51 % NRINR 0,32 Due 112412017 0.00% 362,82527 000% 0.00 (315,57527) NR 000 525ESCOV6 Lehman Brothers Note-Defaulted 2,000,000.00 09/18/2008 1,1]3,493.59 7.88 157,500.00 68.37% NR/NR 33D8 Due 10/2212049 0.00% 1,173,493.59 0.00% 0.00 (1,015,993.59) NR 0.00 1,06,318.86 204,750.00 88.88% NR/NR 25.52 Total US Corporate 2,600,000.00 N/A 1,536,318.86 0.00% 0.00 (1,331,568.86) NR 0.00 1,594,161.50 230,371.03 100.00% NRINR 22.68 TOTAL PORTFOLIO 2,660,641.49 NIA 1,594,161.50 0.00% 0.00 (1,363,790.47) NR 0.00 TOTAL MARKET VALUE PLUS ACCRUED 230,371.03 Chandler Ae cManagement-CONFIDENTIAL 46 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 Mood 's Standard & Poor's Fitch Best Quality Aaa AAA AAA High Quality Aal AA+ AA+ Aa2 AA AA Aa3 AA- AA- Upper Medium Grade Al A+ A+ A2 A A A3 A- A- Medium Grade Baal BBB+ BBB+ Baa2 BBB BBB Baa3 BBB- BBB1 Moodv's - Investment Grade "Aaa" - Bonds rated Aaa are judged to be of the best quality. They carry the smallest degree of investment risk. Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues. "Aa" - Bonds which are rated Aa are judged to be of high quality by all standards. Together with the Aaa group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in Aaa securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in Aaa securities. "A" - Bonds which are rated A possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate, but elements may be present which suggest a susceptibility to impairment sometime in the future. Mae" - Bonds which are rated Baa are considered as medium grade obligations; i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well. Bonds in the As, A, and Bee are also assigned "1", "2", or "S' based on the strength of the issue within each category. Accordingly, "At" would be the strongest group of A securities and "AY would be the weakest A securities. Be, B, Caa, Ca, and C - Bonds that possess one of these ratings provide questionable protection of interest and principal ("Be" indicates some speculative elements; "B" indicates a general lack of characteristics of desirable investment; "Caa" represents a poor standing; "Ca" represents obligations which are speculative in a high degree; and "C" represents the lowest rated class of bonds). "Caa", "Ca" and "C" bonds may be in default. Standard and Poor's-Investment Grade AAA- Debt rated "AAA" has the highest rating assigned by S&P. Capacity to pay interest and repay principal Is extremely strong. AA - Debt rated "AA" has a very strong capacity to pay interest and repay principal and differs from the highest rated issues only in small degree. A - Debt rated "A" has a strong capacity to pay interest and repay principal although it is somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories. BBB - Debt rated "BBB" is regarded as having an adequate capacity to pay interest and repay principal. Whereas it normally exhibits adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for debt in this category than in higher rated categories. Standard and Poor's - Speculative Grade Retina Debt rated "BB", "B", "CCC", "CC" and "C" is regarded as having predominantly speculative characteristics with respect to capacity to pay interest and repay principal. "BB" indicates the least degree of speculation and "C" the highest. While such debt will likely have some quality and protective characteristics these are outweighed by major uncertainties or major exposures to adverse conditions. BB - Debt rated "BB" has less near-term vulnerability to default than other speculative issues. However, it faces major ongoing uncertainties or exposure to adverse business, financial, or economic conditions which could lead to inadequate capacity to meet timely interest and principal payments. The "BB" rating category is also used for debt subordinated to senior debt that is assigned an actual or implied "BBB" rating. B - Debt rated "B" has a greater vulnerability to default but currently has the capacity to meet interest payments and principal repayments. Adverse business, financial, or economic conditions will likely impair capacity or willingness to pay interest and repay principal. The "B" rating category is also used for debt subordinated to senior debt that is assigned an actual or implied "BB" or"BB" rating. CCC - Debt rated "CCC' has a currently identifiable vulnerability to default, and is dependent upon favorable business, financial, and economic conditions to meet timely payment of interest and repayment of principal. In the event of adverse business, financial, or economic conditions, it is not likely to have the capacity to pay interest and repay principal. The "CCC' rating category is also used for debt subordinated to senior debt that is assigned an actual or implied "B" or"B" rating. CC - The rating "CC' typically is applied to debt subordinated to senior debt that is assigned an actual or implied "CCC' debt rating. C-The rating"C'typically is applied to debt subordinated to senior debt which is assigned an actual or implied "CCC" debt rating. The "C' rating may be used to cover a situation where a bankruptcy petition has been filed, but debt service payments are continued. Cl -The rating "Cl" is reserved for income bonds on which no interest is being paid. D - Debt rated "D" is in payment default. The "D" rating category is used when interest payments or principal payments are not made on the date due even if the applicable grace period has not expired, unless S&P believes that such payments will be made during such grace period. The "D" rating also will be used upon the filing of a bankruptcy petition if debt service payments are jeopardized. Plus (+) or Minus (-) - The ratings from "AA" to "CCC' may be modified by the addition of a plus or minus sign to show relative standing within the major rating categories. NR-Indicates no rating has been requested,that there is insufficient information on which to base a rating, or that S&P does not rate a particular type of obligation as a matter of policy. 2016-17 First Quarter Review This Page Intentionally Left Blank 'e? Op October 31, 2016 STAFF REPORT Certificates of Participation (COP) Quarterly Report for the Period Ended September 30, 2016 Summary The District began issuing Certificates of Participation (COPS) in 1990. These COPS were a part of our long-term financing plan that included both variable interest rate and traditional fixed rate borrowing. Following are the current outstanding debt issues of the District: In May 2007, the District issued $95.18 million of fixed rate COPs, Series 2007A refunding a portion of the Series 2003 fixed rate debt. The true interest cost for the issue is 4.5 percent. In December 2007, the District issued $300 million of fixed rate COPS, Series 2007B at a true interest cost of 4.71 percent for the issue. In September 2008, the District issued $27.8 million of fixed rate CON, Series 2008B refunding the Series 1993 variable rate debt. The true interest cost for the issue is 2.96 percent. Series 2008B matured on August 1, 2016. In May 2009, the District issued $200 million of fixed rate CON, Series 2009A at a true interest cost of 4.72 percent for the issue. In May 2010, the District issued $80 million of fixed rate BABs, Series 2010A at a true interest cost of 3.68 percent for the issue. In December 2010, the District issued $157 million of fixed rate BABs, Series 2010C at a true interest cost of 4.11 percent for the issue. In October 2011, the District issued $147.595 million of fixed rate COPS, Series 2011A refunding a portion of the Series 2000 variable rate debt and a portion of the Series 2003 fixed rate debt. The true interest cost for the issue is 2.61 percent. ODSD ♦ P.0.Box8127 ♦ Foun in Valley,O 9272M127 ♦ (714)%2-2411 Quarterly COP Report For the Three Months Ended September 30, 2016 Page 2 of 2 In March 2012, the District issued $100.645 million of fixed rate COPS, Series 2012A refunding the Series 2003 fixed rate debt. The true interest cost for the issue is 3.54 percent. In August 2012, the District issued $66.395 million of fixed rate COPS, Series 2012B refunding the Series 2000 variable rate debt. The true interest cost for the issue is 1.50 percent. With the issuance of Series 201213, there remains no variable interest rate COPS at the District. In August 2014, the District issued $85.090 million of fixed rate COPS, Series 2014A, refunding a portion of Series 2007B debt. The true interest cost for the issue is 2.34 percent. In October 2014, the District issued $120.850 million of fixed rate CANS, Series 201413, refunding the Series 2013A CANS. The true interest cost for the issue is 0.41 percent. In February 2015, the District issued $127.510 million of fixed rate COPS, Series 2015A, refunding $152,990,000 of the Series 2007B debt. The true interest cost for the issue is 3.30 percent. In March 2016, the District issued $145.880 million of fixed rate CANS, Series 2016A, refunding the Series 2009A fixed rate debt. The true interest cost for the issue is 3.02 percent. Additional Information The graph entitled, "OCSD COP Rate History Report,' shows the various fixed interest rates of the District's thirteen debt issues. Attachments 1. Graph - OCSD COP Rate History Report Prepared by Finance,10/11/2016,1:31 PM OCSD COP RATE HISTORY REPORT SEPTEMBER 2016 6.00 5.00 4.00 X w 3.00 2.00 1.00 0.00 DATE & a$ 3 R 7 ? a Sera 2007A Fixed —Sere 2007B Fired �Senes2008BFixn —Series 2003A Fixed —Senes2woAFxeE .Sers 2010C Fixed �Sers2011AFixed +Sanes2WMFixed —Series 2012E Fixed Seres 2014A Fixed �Sen520148 Fixed �Sers2015AFixed —Senes2016AFixr HAdepAasdl220\Common\Monthly and Quarterly Treasurer's Report\COP Rate History Report FV 16-17 2016-17 First Quarter Review This Page Intentionally Left Blank ORANGE COUNTY SANITATION DISTRICT FINANCIAL MANAGEMENT DIVISION 10844 Ellis Avenue Fountain Valley, California 92708-7018 714.962.2411 www.ocsewers.com 09/30/16