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HomeMy WebLinkAbout05-27-2020 Board Item 12_FY19-20 3rd Qtr Financial Report ARM �M w0,0 e ,00 f ,,,,,vvvv„vvvv� 18 ��p\\0\\\D\\\\ o ma71 o\o , R; a � e0v1 • i ' ORANGE COUNTY SANITATION DISTRICT Th uaptep Fminancipl Pt for the period ended March 31 , 2020 Orange County, California 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 Chart of 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 Capital Assets 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 Treasurer's Report........................................................................................1 QuarterlyCOP Report.................................................................................................1 FY 2019-20 Third Quarter Financial Report This Page Intentionally Left Blank GO TO TABLE OF CONTENTS Executive Summary Consolidated Financial Reports For the Third Quarter Ended March 31, 2020 Included in this consolidated report are the following quarterly financial reports for the period ended March 31, 2020: • Third 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 third quarter ended March 31, 2020. 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 March 31, 2020. The chart below provides for a summary of these activities. Third Quarter Results as a Percentage of Budget 100.0% 90.0% $66.5M 80.0% $32�.8A4-------$--=- - $ 70.0% 1.7M 60.0% $79.OM 50.0% 40.0% 30.0% 20.0% 10.0% 0.0 Operating Operating Capital Debt Self Ins Revenue Expense Outlays Service Outlays Various detail information can be found in this report. Below is a descriptive summary of these activities through March 31, 2020: a) Most major expense categories are anticipated to be at or below budget. b) Total revenues are at 70.4 percent of the $465.7 million budget. Except for IRWD Intra District Sewer Use, Capital Assessments-IRWD, CIP Reimbursements, Grant Revenue, CNG Sales, Rents & Leases, and Other Revenue, most 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 revenues is provided within Section 1 — Pages 4 through 6. Page 1 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report c) Collection, Treatment and Disposal Costs: As indicated within the Consolidated Financial Reports Section of this report, the net operating requirements through the third quarter of $120.8 million is currently tracking at 71.8 percent of the $168.2 million budget. In addition, net operating expenses have increased $9.2 million or 8.2 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 operating expenses is provided within Section 1 — Pages 1 through 4. The total cost per million gallons is $2,335 based on flows of 188 million gallons per day. This is $116 per million gallons, or 4.8 percent lower than the budgeted cost per million gallons per day. A further description of these costs and benchmarking with other agencies is contained within Section 1 — Pages 7 through 9. d) The total projected capital outlay cash flow of the Capital Improvement Program (CIP) for FY 2019-20 has been revised to $119.7 million, or 78.1 percent of the board approved cash outlay of $153.3 million. The actual cash outlay spending through the third quarter is $79.0 million, or 51.5 percent of the total budgeted outlay. More detailed information on the CIP budget review can be found in Section 3. • Third Quarter Year 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 the Long-Term Portfolio quarterly return of 251 basis points underperformed the ICE BAML 1-5 Year US Corp/Govt Rated AAA-A Index return of 297 basis points, while the Liquid Operating Monies Portfolio quarterly return of 72 basis points outperformed the ICE BAML 3-Month US Treasury Bill Index return of 57 basis points. Chandler further notes that financial markets were extremely turbulent in March, driven by a high level of uncertainty and fear regarding the impact of the COVID- 19 pandemic on the global economy. The S&P 500 index declined 20.0% in the first quarter and the average option adjusted spread on investment grade corporate bonds (based on the ICE BofA US Corporate Index) widened more than 200 basis points. At the end of the first quarter, the yield on 2-year Treasuries was down 132 basis points year-to-date, and the yield on 10-year Treasuries was down nearly 125 basis points, as a global flight to quality put downward pressure on yields. Page 2 GO TO TABLE OF CONTENTS Executive Summary There are still many unknowns about the coronavirus and the outlook for the economy remains uncertain, but we believe the US economy entered a recession in March. Containment efforts and supply chain disruptions will likely cause a sharp increase in unemployment and a swift and deep contraction in economic activity. In the March 28 week, 6.6 million people filed an initial claim for unemployment, following 3.3 million initial claims in the previous week. These figures indicate that the employment report for April will be very weak and that the unemployment rate is already approaching 10%. Financial markets will likely remain volatile over the near-term, but we believe large-scale global monetary and fiscal stimulus programs will help mitigate the longer-term economic impact of the pandemic. At this point, we believe a U-shaped economic recovery heading into 2021 is possible. The speed and level of fiscal and monetary relief from the federal government and Federal Reserve in the last month has already surpassed the financial crisis. President Trump approved a $2 trillion economic relief package on March 27, the largest fiscal stimulus package in US history. We believe it will take a few weeks to fully implement the program, but small businesses have started to apply for paycheck protection program loans and direct payments to households are expected to go out in a few days. Fiscal relief from the government has been complimented by a wide range of aggressive actions by the Federal Reserve to help stabilize and provide liquidity to the financial markets. During March, the Fed lowered the fed funds target rate by a cumulative total of 150 basis points to a range of 0.0%-0.25% and said it will purchase Treasury and agency mortgage- backed securities in any amount needed to support smooth market functioning. Policymakers reinstated the Commercial Paper Funding Facility and Money Market Mutual Fund Liquidity Facility in order to provide liquidity to the commercial paper, money markets, and the municipal bond markets. The Fed also established the Primary Market Corporate Credit Facility and Secondary Market Corporate Credit Facility to support the corporate bond market. The Term Asset-Backed Securities Loan Facility was established to enable the issuance of asset-backed securities backed by student loans, auto loans, credit card loans, and loans guaranteed by the Small Business Administration. The Fed has provided short- term funding through large-scale repo operations and lowered the reserve requirement for depository institutions. Policymakers are also working on a Main Street Business Lending Program to support lending to small-and-medium sized businesses. Looking ahead, we would not rule out the possibility of another phase of fiscal and/or monetary stimulus, depending on the duration of the social distancing guidelines and ultimate impact on the economy. The Consumer Price Index (CPI) was up 2.3% year-over-year in February, down from 2.5% in January. Core CPI (CPI less food and energy) was up 2.4% year- over-year in February, up from 2.3% in January. The Personal Consumption Expenditures (PCE) index was up 1.8% year-over-year in February, unchanged from 1.8% year-over-year in January. Core PCE, which is the Fed's primary Page 3 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report inflation gauge, was up 1.8% year-over-year in February versus 1.7% year-over- year in January. Core PCE was trending below the Fed's 2.0% inflation target before the COVID-19 pandemic. Economic Outlook The coronavirus (COVID-19) is having an acute negative impact on the domestic and global economy as large segments of the economy are essentially shut down. The strength of the US economy prior to the onset of the COVID-19, the US consumer and the `service sector' portion of the economy, had been relatively immune to the more cyclical elements economy over the past several years. At the current juncture the previous strength is a liability with the US consumer quarantined and significant portions of the `service' economy shut down. Until forecasters get some visibility on when, and to what degree, the economy will function as quarantines are lifted later in the year financial markets across asset classes will remain volatile. Chandler's base case is the quarantines will begin to be lifted regionally late in the 2nd half of Q2 with the possibility of `rolling' quarantines later in the year when the infection rate of the coronavirus spikes up again. Progress and visibility on the timing of a vaccine for COVID-19 will serve as a material catalyst for the ultimate recovery of the economy. Assuming additional quarantines are reintroduced later in the year the impact to the economy will be less severe as all will have learned from the current experience. The Chandler team is concerned about the secular implications of the virus and the likely changes to consumer behavior on a go forward basis and will be positioning the fixed income portfolio with those concerns in mind. Prior to the onset of the coronavirus on the domestic economy the data and trajectory of the economy were sound. The low unemployment rate and high savings rate should act as a catalyst to get the economy back on track sooner compared to other periods of severe financial stress in 2000 and 2008. The Federal Reserve has acted preemptively and forcefully to help offset the impact of the coronavirus. Although the Federal Reserve had a Federal Open Market Committee (FOMC) meeting scheduled on March 18th which was ultimately cancelled, on Tuesday, March 3rd the Fed Funds target was reduced by 50 basis points, following by another 100 basis point adjustment lower on Sunday evening, March 15th, to bring the Fed Funds target down to a range of 0.00% to 0.25%, the zero lower bound. Two intra-meeting adjustments by the FOMC in such a short time frame is unprecedented. Ironically risk assets sold off after both surprise adjustments by the Federal Reserve as markets were functioning relatively well prior to the announcements and the change in rates arguably led to a more "risk off" sentiment by investors. As liquidity in the capital markets continued to break down in the 2nd half of March the Federal Reserve reverted to the 2008 playbook an introduced a host of measures to provide liquidity to markets, too numerous to list but notably including unlimited Quantitative Easing (QE). The Federal Reserve's balance sheet will expand significantly over the next several months and has already surpassed the high-water mark from prior periods of QE during the global financial crisis. Page 4 GO TO TABLE OF CONTENTS Executive Summary The impact of the coronavirus is clearly deflationary in the short term and interest rates have re-priced to reflect the new reality. However, on a longer-term basis, the monetary and fiscal stimulus introduced into the economy will create unintended consequences with inflation risk emerging as a potential longer-term concern after the impact of the crisis passes. Although the impact to asset prices has been severe, the Chandler team notes several distinct differences between the current crisis and the global financial crisis of 2008. Importantly, the banking sector enters the crisis in a position of strength and will be able to assist in providing capital and liquidity as the crisis evolves. Also, unlike in 2008, the investment grade new issue market has been functioning very well, with volumes extremely elevated, enabling corporations to raise debt capital to weather the economic impact of the virus. • Third Quarter 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 5 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report This Page Intentionally Left Blank Page 6 GO TO TABLE OF CONTENTS Consolidated Financial Reports Third Quarter Financial Report March 31, 2020 Financial Management is pleased to present the FY 2019-20 third 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 March 31, 2020, 71.8 percent, or $120.8 million of the FY 2019-20 net operating budget of $168.2 million has been expended. Net operating expenses increased from the same period last year by $9.2 million, or 8.2 percent, mainly due to an increase of $5.4 million in Repairs and Maintenance, $2.6 million in Operating Materials and Supplies, $1.6 million in Salaries and Benefits, $495,000 in Professional Services, $440,000 in Other Operating Supplies, $412,000 in Utilities, $370,000 in Research and Monitoring, and $322,000 in Administrative Expenses, partially offset by a decrease of $1.3 million in Contractual Services, $897,000 in Other Non-Operating Expense, and an increase of $203,000 in indirect costs allocated out to capital projects. 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 or slightly below budget throughout the remainder of the year. At March 31, 2020, 70.4 percent, or $327.8 million of the FY 2019-20 budgeted total revenues of $465.7 million has been recognized. Revenues decreased from the same period last year by $84.2 million, or 20.4 percent, mainly due to a decrease in Debt Proceeds of $110.3 million from the issuance of Certificate Anticipation Notes Series 2018A in the prior year, and a decrease in operating revenues of $1 .2 million in IRWD Intra District Sewer Use, $930,000 in Rents & Leases, and $730,000 in Sludge Disposal-IRWD, primarily offset by an increase in operating revenues of $11.2 million in Service Fees, $7.1 million in Interest Earnings, $3.6 million in Permit Fees, $3.3 million in Property Taxes, $2.7 million in CIP Reimbursements, and $1.1 million in Other Revenues. These and other variances that factor into this net decrease in revenues are discussed in more detail below. Overall, staff expects the total revenues to remain at or slightly below budget throughout the remainder of the year. Significant operating results as of March 31 , 2020 include the following: • Salaries, Wages and Benefits — Personnel costs of $74.6 million are on target at 75.8 percent of budget through the third quarter of FY 2019-20. Although the budget is based on a 5 percent vacancy factor, staffing is 39 full-time equivalents (FTEs), or 6.1 percent below the total 640 FTEs approved in the FY 2019-20 budget. Salary and benefit costs are $1 .6 million or 2.2 percent higher than the $73.0 million incurred in the same period last year, mainly due to an increase of $961 ,000 in Section 1 - Page 1 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report salaries and wages resulting from cost of living adjustments included in the current Memorandums of Understanding for all employee bargaining units. Net operating personnel costs are expected to approximate budget throughout the remainder of the year. • Administrative Expenses — Administrative Expenses totaled $1.4 million, or 66.9 percent of the $2.0 million budget through March 31. These costs are $322,000 or 31 .1 percent higher at March 31 in comparison with the prior year, mainly due to increases of $253,000 in purchases of small computer items including HP Elitebooks, $48,000 in minor furniture and fixtures for workstation installations, ergonomic chairs, and renovation of the Control Center breakroom, and $37,000 in books and publications such as various engineering design standards and manuals of practice. It is anticipated that administrative costs will approximate budget at year-end. • Printing and Publication Expenses — Printing and Publication Expenses totaled $227,000 or 68.8 percent of the $330,000 budget through March 31. These costs are $26,000 or 13.2 percent higher at March 31 in comparison with the prior year. Printing and publication costs are expected to approximate budget at year- end. • Training and Meetings — Training and meetings of $414,000 are below target at 37.3 percent of the $1.1 million budget. This account is lower than the proportionate budget due to the timing and need for training throughout the year, and management limiting or canceling training and meetings starting early March until further notice in response to the COVID-19 pandemic. These costs have decreased over the same period last year by $66,000 or 13.8 percent. Total training and meeting costs are anticipated to be below budget at year-end. • Operating Materials and Supplies — Operating materials and supplies of $14.4 million is on target at 68.7 percent of the $21.0 million budget through March 31. Operating Materials and Supplies are higher than the prior year by $2.6 million or 22.3 percent, primarily due to an increase in Chemical Coagulants of $3.5 million brought about by higher chemical unit costs and usage as compared to the prior year, partially offset by a decrease in Odor Control of $980,000. Based on current processes, operating materials and supplies are anticipated to approximate budget at year-end. • Contractual Services — Contractual services is below target at $14.1 million or 64.0 percent of the $22.0 million budget through March 31. Contractual Services is lower by $1.3 million or 8.7 percent over the same period last year. Solids Removal costs, budgeted at $13.4 million, comprise the majority of this expense category at $9.3 million, or 69.2 percent of budget at March 31 . These costs decreased by $2.2 million or 19.4 percent due to a reduction in biosolids production attributable to the new dewatering centrifuges that replaced aging belt presses. This decrease is offset by increases in Other Contractual Services of $813,000 for manhole rehabilitation, industrial cleaning, and digester assessment services and Section 1 - Page 2 GO TO TABLE OF CONTENTS Consolidated Financial Reports Outside Lab Services of $49,000 for compliance and process monitoring. County Service Fees totaled only $19,000 or 3.7 percent of the $512,000 budget through the third quarter as the preponderance of these fees are billed by the County in the fourth quarter, and Temporary Services totaled only $194,000 or 23.9 percent of the $810,000 budget, primarily due to the unused consolidated budget of $350,000 for the Operations and Maintenance divisions for filling extended absences. Total contractual services costs are anticipated to approximate budget at year-end. • Professional Services — Professional services costs totaled $3.0 million or 54.1 percent of the $5.6 million budget through March 31. Professional service costs, such as Audit & Accounting, Environmental Scientific Consulting, and Labor Negotiation Services, are proportionately low through March 31 due to a variety of factors such as timing of services and re-evaluation of needs for services. These costs are $495,000 or 19.6 percent higher at March 31 in comparison with the prior year, mainly due to increases of $304,000 in Other Services, $140,000 in Engineering Services, $96,000 in Software Program Consulting, and $30,000 in Labor Negotiation Services, offset by a decrease of $88,000 in Legal Services. It is anticipated that the costs for this category will be below budget at year-end. • Research and Monitoring — Research and monitoring costs totaled $949,000, or 86.3 percent of the $1.1 million budget through March 31. These costs are $370,000, or 63.8 percent higher at March 31 in comparison with the prior year, due to increases of $138,000 in Research costs, reflecting the annual contribution to Southern California Coastal Water Research Project which is now expensed in full when paid instead of allocating on a quarterly basis, $125,000 in Environmental Monitoring costs for ocean water quality analysis, and $107,000 in Air Quality Monitoring costs for emissions testing. Total research and monitoring costs are anticipated to exceed budget at year-end. • Repairs and Maintenance — Repair and maintenance costs totaled $18.3 million, or 77.8 percent of the $23.5 million budget through March 31. These costs are $5.4 million, or 41.5 percent higher at March 31 in comparison with the prior year, mainly for repair and maintenance services such as digester cleaning, mechanical rehabilitation and overhaul of primary clarifier tanks, and information technology software support. It is anticipated that the costs for this category will approximate budget at year-end. • Utilities — Utilities costs totaled $6.4 million, or 68.9 percent of the $9.3 million budget through March 31. These costs are $412,000, or 6.9 percent higher at March 31 in comparison with the prior year, primarily due to an increase of $285,000 and $192,000 for Water and Power respectively due to the higher demand of these resources by the new biosolids dewatering centrifuges and $97,000 for Telephone due to early cancellation of an internet contract as a strategic move to secure better pricing and higher speeds with another supplier, partially offset by the decrease of $166,000 in Natural Gas costs due to a volatile natural gas market in the prior period that caused unit prices to spike. It is anticipated that the costs will approximate budget at year-end. Section 1 - Page 3 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report • Other Operating Supplies - Other operating supplies costs totaled $2.5 million, or 82.4 percent of the $3.0 million budget through March 31. Property and General Liability Insurance, budgeted at $1.7 million, comprise the majority of this expense category at $1.3 million. These costs are $316,000, or 32.4 percent higher at March 31 in comparison with the prior year, primarily due to an increase in budgeted in-lieu premium charges to maintain recommended reserve balances. It is anticipated that other operating supplies costs will approximate budget at year-end. • Revenues - Service Fees and Property Taxes - Through March 31, revenues from service fees are at $194.6 million, or 65.3 percent of the $298.1 million budget and property taxes are at $65.7 million, or 68.2 percent of the $96.4 million 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. The increase of $11.2 million, or 6.1 percent in service fee revenue over the prior period is due to the timing of receipts, accompanied by an increase in sewer service rates and a reduction in issued user fee rebates. The property tax revenue increase of $3.3 million, or 5.2 percent over the prior period is a result of timing of property tax collections from the County as well as growth in assessed property values. These revenues are expected to approximate budget at year-end. • Revenues - Permittee User Fees - Permittee User Fees are at $9.5 million, or 96.2 percent of the $9.9 million budget. The revenues through the third quarter are higher than the same period last year by $3.6 million due to the prior year having a reduction of $3.3 million for the adjustment of estimated FY 2017-18 supplemental capital facilities capacity charges (CFCC) to industrial users, which were previously recorded as permit user fees. Additionally, the number of permittees and their actual discharge quantity fluctuates from year to year as businesses establish or cease their operations. Permit user fees revenues are expected to approximate or be below budget at year-end. • Revenues - Inter District Sewer Use - SAWPA and SBSD - Inter District Sewer revenues-SAWPA and SBSD are at $2.0 million, or 76.1 percent of the $2.7 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. The revenues through the third quarter are higher than the same period last year by $124,000, or 6.5 percent due to an increase in operation and maintenance charges to these agencies. These revenues are expected to approximate budget at year-end. • Revenues - Intra District Sewer Use - IRWD - Intra District Sewer revenues- IRWD are at $1.3 million, or 18.9 percent of the $6.9 million budget. This revenue is derived from charges to the Irvine Ranch Water District (IRWD) for treatment of flows. The revenues through the third quarter are lower than the same period last year by $1.2 million or 48.0 percent, mainly due to a decrease of $1.5 Section 1 - Page 4 GO TO TABLE OF CONTENTS Consolidated Financial Reports million in operating and maintenance charges to IRWD and an increase of $131,000 in property tax income, offset by a decrease of $391 ,000 in interest income allocated to IRWD based on lower cash reserves held on behalf of this agency. These revenues are expected to be below budget at year-end. • Revenues — Sludge Disposal — IRWD — Sludge Disposal-IRWD fees are at $6.7 million, or 124.7 percent of the $5.4 million budget. The revenue is for the handling, treatment, and disposal of solids derived from flows discharged by IRWD to the Sanitation District. The revenues through the third quarter are lower than the same period last year by $732,000, or 9.8 percent, mainly due to decreased solids received from IRWD. The current fiscal year quarterly billing to IRWD is based on estimates. The budget reflects the anticipated completion of IRWD solids processing facilities that would cease solids to the OCSD line. However, the timeline is no longer forecasted to be complete during the current fiscal year. It is anticipated that IRWD sludge disposal revenues will exceed budget at year-end. • Revenues — Capital Assessments — IRWD — Capital Assessments-IRWD are at $2.4 million, or 44.7 percent of the $5.4 million budget. The revenues through the third quarter are lower than the same period last year by $483,000 or 16.7 percent, mainly due to a decrease in joint capital costs allocable to IRWD. It is estimated that IRWD capital assessments revenues will be below budget at year-end. • Revenues — Capital Facilities Capacity Charges (CFCC) — CFCC are at $14.5 million, or 80.5 percent of the $18.0 million budget. The revenues through the third quarter are lower than the same period last year by $58,000, or 0.4 percent, due to additional charges of $3.3 million in the prior year for the adjustment of estimated FY 2017-18 supplemental capital facilities capacity charges to industrial users, which were previously recorded as permit user fees, mostly offset by an increase in connection fees collected from cities and supplemental capital facilities capacity charges to industrial users in the current year. These revenues are expected to approximate budget at year-end. • Revenues — Interest Earnings — Interest Earnings are at $24.9 million, or 377.0 percent of the $6.6 million budget. The revenues through the third quarter are higher than the same period last year by $7.1 million, or 39.8 percent due to higher yields earned on securities held in the investment portfolios. It is estimated that interest earnings will exceed the budget amount at year-end. • Revenues — CIP Reimbursements — CIP Reimbursements are at $2.8 million, or 46.6 percent of the $6.0 million budget. This revenue is $2.7 million, or 3132.5 percent higher than the same period last year. The increase is due to timing of reimbursements received for construction projects from the Orange County Water District for GWRS Final Expansion. No reimbursements were received for these projects during the same period in the prior year. These revenues are expected to be below budget at year-end. Section 1 - Page 5 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report • Revenues — Wastehauler — Wastehauler revenues are at $817,000, or 109.0 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. The revenues through the third quarter are higher than the same period last year by $266,000, or 48.2 percent due to an increase in waste dumping. These revenues are expected to exceed budget at year-end. • Revenues — CNG Sales — CNG Sales revenues are at $195,000, or 48.8 percent of the $400,000 budget. This revenue is derived from public sales at the Sanitation District's Compressed Natural Gas (CNG) fueling station. The revenues through the third quarter are lower than the same period last year by $49,000, or 20.2 percent. These revenues are expected to be below budget at year-end. • Revenues — Rents & Leases — Rents & Leases revenues are at $538,000, or 23.8 percent of the $2.3 million budget. The revenues through the third quarter are lower than the same period last year by $927,000, or 63.3 percent due to less rent received as tenants move out of the properties acquired for construction of the new headquarters building. These revenues are expected to be below budget at year- end. • Revenues — Other — Other revenues are at $1.5 million, or 22.8 percent of the $6.4 million budget. These revenues are $1.1 million, or 315.0 percent higher than the same period last year, primarily due to receipt of $723,000 for a retrospective insurance adjustment, $290,000 for reimbursement of legal defense fees, $23,000 for a procurement card settlement, and $22,000 for reimbursement of investigative costs not recognized in the prior period. These revenues are expected to be below budget at year-end. Section 1 - Page 6 GO TO TABLE OF CONTENTS Consolidated Financial Reports Comparison of Third Quarter Cost per Million Gallon Results with Budget Last Five Years $2,500 $2,450 ;^� $2,400 $2,350 c�Ni $2,300 : N 4� fR � $2,250 - $2,200 ✓`'''� 4' $2,150 ! N $2,100 `° I o $2,050 T $2,000 o $1,950 { N $1,850 $1,800 $1,750 $1,700 $1,650 $1,600 $1,550 $1,500 15-16 16-17 17-18 18-19 19-20 3rd Annual 3rd Annual 3rd Annual 3rd Annual 3rd 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 third quarter has been between 1.2 percent higher to 11.9 percent lower than the annual budget. The FY 2019-20 third quarter cost per million gallons of $2,335 is 4.8 percent lower when compared with this year's budget. The increase in cost per million gallons of $208 from the previous year is primarily due to an increase in operating expenses, which are 8.2 percent higher than the same period last year, and a decrease in flows, which are 1.4 percent lower than the same period last year. Staff believes that overall operating costs will be below budget at year- end. The total cost per million gallons at March 31 is $2,335 based on flows of 188 million gallons per day. This is $116 per million gallons, or 4.8 percent lower than the budgeted cost per million gallons of $2,451. 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 4.2 percent less than the proportionate budget through March 31 in addition to flows of 188.2 million gallons per day being 0.1 percent more than the budgeted flow of 188.0 million gallons per day. More detailed information on operating revenues, costs, and related information is provided within Section 2. Section 1 - Page 7 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report 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 groups. Benchmark Study Five-Year Single Family Residential Rate Rates as of July 2015 2016 2017 2018 2019 Agency SFR SFR SFR SFR SFR Notes San Francisco $ 784 $ 842 $ 937 $ 988 $ 1,076 Vallejo Sanitation/Flood Control District $ 520 $ 520 $ 520 $ 585 $ 656 Central Contra Costa Sanitary District $ 471 $ 503 $ 530 $ 567 $ 598 City of Los Angeles $ 464 $ 495 $ 527 $ 561 $ 597 Note 1 City of San Diego $ 573 $ 573 $ 573 $ 573 $ 573 Note 4 Dublin San Ramon Services District $ 382 $ 382 $ 397 $ 423 $ 447 Sacramento County $ 384 $ 420 $ 432 $ 444 $ 444 East Bay MUD $ 355 $ 373 $ 391 $ 410 $ 423 Union Sanitary District $ 377 $ 380 $ 393 $ 407 $ 421 City of Hayward $ 347 $ 358 $ 375 $ 394 $ 412 Orange County Sanitation District $ 322 $ 327 $ 331 $ 335 $ 339 Irvine Ranch Water District $ 289 $ 309 $ 309 $ 309 $ 313 Note 2 City of Fresno $ 309 $ 309 $ 309 $ 309 $ 309 Note 3 Oro Loma Sanitary District $ 206 $ 221 $ 238 $ 256 $ 275 Los Angeles County $ 177 $ 182 $ 186 $ 191 $ 196 Note 5 Notes: (1) - Data is for the typical SFR customer rate. (2)- Data represents the usage of 10 hundred cubic feet per unit. (3) - Data represents the minimum SFR rate not including flow. (4)- Data represents the base sewer fee plus the average usage of 9 hundred cubic feet per month. (5) - Data represents the Average Service Charge Rates for the prior fiscal year. Section 1 - Page 8 GO TO TABLE OF CONTENTS Consolidated Financial Reports Benchmark Study Five-Year Cost per MG FY 14-15 FY 15-16 FY 16-17 FY 17-18 FY 18-19 Agency Svc.Trt. Cost/MG Cost/MG Cost/MG Cost/MG Cost/MG Notes Vallejo Sanitation/Flood Control District B 3 $ 5,590 $ 5,396 $ 4,745 $ 5,393 $ 6,661 San Francisco B 3 $ 5,358 $ 5,268 $ 4,916 $ 5,295 $ 5,995 Union Sanitary District B 3 $ 3,911 $ 3,957 $ 4,039 $ 4,757 $ 4,838 City of San Diego B 4 $ 3,592 $ 3,606 $ 3,834 $ 4,147 $ 4,180 Central Contra Costa Sanitary District B 4 $ 6,281 $ 6,454 $ 6,081 $ 5,588 $ 3,980 Note 4 Dublin San Ramon Services District B 4 $ 2,522 $ 2,896 $ 2,961 $ 3,422 $ 3,692 City of Los Angeles B 4 $ 2,269 $ 2,452 $ 2,487 $ 2,329 $ 3,046 Note 2 Sacramento County T 4 $ 2,494 $ 2,571 $ 2,752 $ 2,831 $ 2,812 East Bay MUD T 3 $ 2,728 $ 2,599 $ 2,353 $ 3,137 $ 2,710 Note 3 Orange County Sanitation District B 3 $ 2,071 $ 2,110 $ 2,055 $ 2,069 $ 2,275 City of Fresno B 4 $ 1,629 $ 1,678 $ 1,796 $ 1,813 $ 1,945 Los Angeles County B 4 $ 1,239 $ 1,371 $ 1,151 $ 1,365 $ 1,506 Note 1 Legend for Service Provided and Treatment Level: B -Agency operates both collection and treatment facilities T-Agency provides treatment services but not collection 3-Secondary treatment 4-Advanced secondary or secondary with some tertiary treatment Notes: (1)- Does not include source control or overhead costs. (2)-2017 Influent flow has not been reduced by the amount of sludge discharged to the sewers from DCTW RP and LAGWRP. (3)-Operating expense decreased $1.1 million. (4)-Operating expense decreased $36.4 million; $30.4 million due to an adjustment to the Sanitation District's Other Post Employment Benefit Plan (OPEB)-Transition to CalPers Health Insurance Section 1 - Page 9 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report Capital Outlay Review: $200.000.000 $150.000,000 $100.000.000 $50.000.000 $0 03/31/20 Actual Projected 2019-20 2019-20 Capital Outlay Capital Outlay Capital Outlay Cashflow Budget $79.021.776 $119,673.100 $153:326:000 As depicted by the preceding chart, Capital Outlays totaled $79.0 million or 51.5 percent of the capital outlay cash flow budget for FY 2019-20 as of March 31, 2020. Costs are proportionately low through the third quarter as some projects are still in the design phase or have experienced various delays or deferrals. Examples as of March 31 are Ocean Outfall System Rehabilitation, which has a budget of $26.9 million but actual costs of $12.7 million, Newhope-Placentia Trunk Replacement, which has a budget of $22.7 million but actual costs of $12.5 million, Headquarters Complex and Site Security at Plant 1, which has a budget of $9.8 million but actual costs of $4.6 million, and Rehabilitation of Western Regional Sewers, which has a budget of $9.6 million but actual costs of $1.4 million. Overall, the capital outlay costs of the capital improvement program are expected to approximate $119.7 million, or 78.1 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 March 31 , 2020, 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 February during the third quarter of each fiscal year. As of March 31, 2020, 100.0 percent of the principal payments have been made through the end of the third quarter. Total principal Section 1 - Page 10 GO TO TABLE OF CONTENTS Consolidated Financial Reports 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. Self-Insurance Budget Reviews: Section 5 is the Self-Insurance Section. Through March 31 , the Self-Insurance Fund revenues totaled $2.0 million, or 77.2 percent of the budget, while expenses were $1.7 million, or 66.4 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 11 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report This Page Intentionally Left Blank Section 1 - Page 12 GO TO TABLE OF CONTENTS Operating Budget Review Cost per Million Gallons by Department Budget and Actual March 31, 2020 $1,700 $1,600 $1,500 $1,400 $1,300 $1,200 $1,100 $1,000 $900 $800 $700 $600 $500 $400 $300 $200 $100 $0 m ,a a a) c > C U > N E O ` U a) U_ O O C 7 O y C U m E N _ X 2 d c o m c W m Ecn >cn Qm Q w W p� ■Budget ■Actual Collection, Treatment, & Disposal Expenses by Major Category Budget and Actual (in thousands) March 31, 2020 $75,000 $70,000 $65,000 $60,000 $55,000 $50,000 $45,000 $40,000 $35,000 $30,000 $25,000 $20,000 $15,000 $10,000 $5,000 $0 w c y rn y m y — CCU C m o6 X 3 X (n U) O (0 Vi N N d off$ N N '� d m >, > o6 a> c c c �S .Q O _ _ U O 3 W O E ILU a.2 a Q ■Budget ■Actual Section 2 - Page 1 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report Divisional Contributions to Cost Per Million Gallons For the Nine Months Ended March 31, 2020 2019-20 03/31/18 03/31/19 Annual 03/31/20 Actual Actual Budget Actual Flow in Million Gallons 50,691.86 52,502.90 68,620.00 51,746.04 Flow in Million Gallons per Day 185.00 191.61 188.00 188.17 Executive Management Department General Management Administration $ 34.33 $ 24.47 $ 45.18 $ 29.24 Board Services 9.30 10.57 10.11 10.26 Public Affairs 15.18 14.36 16.84 16.60 Subtotal 58.81 49.40 72.13 56.10 Human Resources Department Human Resources 56.99 58.25 73.73 61.86 Risk Management/Safety/Security 83.97 68.61 84.31 77.83 Subtotal 140.96 126.86 158.04 139.69 Administrative Services Department Administrative Services 7.27 7.01 2.63 8.62 Financial Management 53.38 35.63 50.17 51.27 Contracts, Purchasing, &Materials Mgmt. 67.26 85.08 72.38 61.58 Information Technology 154.81 163.72 177.20 191.86 Subtotal 282.72 291.44 302.38 313.33 Environmental Services Department Environmental Services Administration 12.70 13.10 9.03 15.06 Resource Protection 81.92 84.95 83.86 83.04 Laboratory, Monitoring and Compliance 159.17 161.28 166.03 176.17 Subtotal 253.79 259.33 258.92 274.27 Engineering Department Engineering Administration 7.25 8.18 10.99 15.63 Planning 47.03 48.22 78.91 55.52 Project Management Office 37.12 44.37 73.15 67.10 Design 124.40 124.78 110.52 109.11 Construction Management 69.64 75.44 82.63 96.99 Subtotal 285.44 300.99 356.20 344.35 Operations&Maintenance Department Operations&Maintenance Administration 8.46 8.13 11.73 4.01 Collections Facilities O&M 191.85 170.80 194.83 159.26 Fleet Services 29.02 28.80 27.40 26.78 Plant No. 1 Operations 382.93 383.13 459.68 450.70 Plant No.2 Operations 295.68 301.27 276.73 258.48 Plant No. 1 Maintenance 227.12 202.88 369.47 317.23 Maintenance Reliability and Planning 100.99 88.42 - - Plant No.2 Maintenance 184.88 207.29 260.88 290.81 Subtotal 1,420.93 1,390.72 1,600.72 1,507.27 Total Operating Expenses 2,442.65 2,418.74 2,748.39 2,635.01 Cost Allocation (313.15) (292.18) (297.39) (300.39) Net Operating Requirements $ 2,129.50 $ 2,126.56 $ 2,451.00 $ 2,334.62 Section 2 - Page 2 GO TO TABLE OF CONTENTS Operating Budget Review Comparison of Expenses by Department For the Nine Months Ended March 31, 2020 2019-20 03/31/18 03/31/19 Year to Date Budget% Department and Division Actual Actual Budget 03/31/20 Realized Executive Management Department General Management Administration $ 1,740,416 $ 1,284,666 $ 3,100,280 $ 1,512,830 48.80% Board Services 471,458 555,186 693,980 530,971 76.51% Public Affairs 769,519 754,073 1,155,600 859,066 74.34% Subtotal 2,981,393 2,593,925 4,949,860 2,902,867 58.65% Human Resources Department Human Resources 2,889,181 3,058,534 5,059,600 3,200,832 63.26% Risk Management/Safety/Security 4,256,740 3,602,291 5,785,360 4,027,196 69.61% Subtotal 7,145,921 6,660,825 10,844,960 7,228,028 66.65% Administrative Services Department Administrative Services 368,607 367,875 180,710 446,301 246.97% Financial Management 2,705,945 1,870,696 3,442,410 2,653,218 77.07% Contracts, Purchasing, &Materials Mgmt. 3,409,316 4,467,024 4,966,960 3,186,515 64.15% Information Technology 7,847,646 8,595,607 12,159,200 9,927,936 81.65% Subtotal 14,331,514 15,301,202 20,749,280 16,213,970 78.14% Environmental Services Department Environmental Services Administration 643,868 687,737 619,510 779,439 125.82% Resource Protection 4,152,905 4,460,335 5,754,790 4,297,230 74.67% Laboratory, Monitoring and Compliance 8,068,630 8,467,743 11,393,290 9,116,317 80.01% Subtotal 12,865,403 13,615,815 17,767,590 14,192,986 79.88% Engineering Department Engineering Administration 367,659 429,467 753,920 808,815 107.28% Planning 2,383,797 2,531,679 5,414,675 2,872,954 53.06% Project Management Office 1,881,871 2,329,814 5,019,310 3,472,153 69.18% Design 6,306,084 6,551,416 7,583,810 5,645,889 74.45% Construction Management 3,530,274 3,960,672 5,670,320 5,018,849 88.51% Subtotal 14,469,685 15,803,048 24,442,035 17,818,660 72.90% Operations&Maintenance Department Operations&Maintenance Administration 428,922 426,865 804,870 207,491 25.78% Collections Facilities O&M 9,725,442 8,967,709 13,369,492 8,241,191 61.64% Fleet Services 1,470,972 1,511,908 1,880,480 1,385,591 73.68% Plant No. 1 Operations 19,411,327 20,115,463 31,542,920 23,322,087 73.94% Plant No. 2 Operations 14,988,780 15,817,526 18,989,328 13,375,080 70.43% Plant No. 1 Maintenance 11,513,281 10,651,947 25,352,831 16,415,403 64.75% Maintenance Reliability and Planning 5,119,490 4,642,314 - - 0.00% Plant No. 2 Maintenance 9,371,662 10,883,529 17,901,451 15,048,322 84.06% Subtotal 72,029,876 73,017,261 109,841,372 77,995,165 71.01% Total Operating Expenses 123,823,792 126,992,076 188,595,097 136,351,676 72.30% Cost Allocation (15,875,284) (15,341,607) (20,378,610) (15,544,292) 76.28% Net Operating Requirements $ 107,948,508 $ 111,650,469 $ 168,216,487 $ 120,807,384 71.82% Section 2 - Page 3 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report Summary of Collection, Treatment, & Disposal Expenses by Major Category For the Nine Months Ended March 31, 2020 Expense Expense Increase Increase Percent Budget Through Through (Decrease) (Decrease) Budget Remaining Description 2019-20 03/31/20 03/31/19 $ % Realized Budget Salary&Wages $ 74,364,500 56,233,171 55,271,874 $ 961,297 1.74% 75.62% $ 18,131,329 Employee Benefits 24,069,740 18,413,046 17,762,578 650,468 3.66% 76.50% 5,656,694 Administrative Expenses 2,027,930 1,357,471 1,035,678 321,793 31.07% 66.94% 670,459 Printing&Publication 329,970 226,884 200,501 26,383 13.16% 68.76% 103,086 Training&Meetings 1,109,740 413,799 479,772 (65,973) -13.75% 37.29% 695,941 Operating Materials&Supplies 21,008,781 14,433,764 11,798,048 2,635,716 22.34% 68.70% 6,575,017 Contractual Services 22,033,974 14,100,954 15,445,027 (1,344,073) -8.70% 64.00% 7,933,020 Professional Services 5,586,170 3,021,224 2,526,049 495,175 19.60% 54.08% 2,564,946 Research&Monitoring 1,099,600 949,110 579,488 369,622 63.78% 86.31% 150,490 Repairs&Maintenance 23,469,642 18,255,649 12,901,266 5,354,383 41.50% 77.78% 5,213,993 Utilities 9,250,310 6,372,899 5,961,037 411,862 6.91% 68.89% 2,877,411 Other Materials,Supplies, and Services 4,244,740 2,573,705 3,030,758 (457,053) -15.08% 60.63% 1,671,035 Net Cost Allocation (20,378,610) (15,544,292) (15,341,607) (202,685) 1.32% 76.28% (4,834,318) Net Operating Requirements 168,216,487 120,807,384 111,650,469 9,156,915 8.20% 71.82% 47,409,103 Gallonage Flow(MG) 68,620.00 51,746.04 52,502.90 (756.86) -1.44% Gallonage Flow(MGD) 188.00 188.17 191.61 (3.44) -1.80% Gallonage Flow($'s/MG) $2,451.00 $2,334.62 $2,126.56 $208.06 9.78% Section 2 - Page 4 GO TO TABLE OF CONTENTS Operating Budget Review Summary of Revenues For the Nine Months Ended March 31, 2020 Revenue Percent Revenue Increase Increase Budget Through Budget Remaining Through (Decrease) (Decrease) Description 2019-20 03/31/20 Realized Budget 03/31/19 $ % Service Fees $298,144,000 $194,624,463 65.28% $103,519,537 $183,469,083 $ 11,155,380 6.08% Permit Fees 9,917,000 9,535,328 96.15% 381,672 5,910,525 3,624,803 61.33% Inter District Sewer Use-SAWPA&SBSD 2,654,000 2,020,759 76.14% 633,241 1,897,212 123,547 6.51% Intra District Sewer Use-IRWD 6,861,560 1,298,048 18.92% 5,563,512 2,496,156 (1,198,108) -48.00% Sludge Disposal-IRWD 5,400,000 6,732,446 124.67% (1,332,446) 7,464,317 (731,871) -9.80% Capital Assessments-IRWD 5,397,000 2,412,883 44.71% 2,984,117 2,895,663 (482,780) -16.67% Capital Facilities Capacity Charges 18,000,000 14,483,370 80.46% 3,516,630 14,541,626 (58,256) -0.40% Debt Proceeds - - N/A - 110,302,416 (110,302,416) -100.00% Property Taxes 96,354,000 65,724,632 68.21% 30,629,368 62,458,857 3,265,775 5.23% Interest Earnings 6,602,000 24,887,764 376.97% (18,285,764) 17,799,866 7,087,898 39.82% CIP Reimbursements 5,987,869 2,790,042 46.59% 3,197,827 86,313 2,703,729 3132.47% Wastehauler 750,000 817,486 109.00% (67,486) 551,739 265,747 48.17% Grant Revenue 464,000 50,651 10.92% 413,349 - 50,651 100.00% CNG Sales 400,000 195,167 48.79% 204,833 244,607 (49,440) -20.21% Rents&Leases 2,260,100 537,946 23.80% 1,722,154 1,464,659 (926,713) -63.27% Other Revenues 6,413,529 1,463,135 22.81% 4,950,394 352,599 1,110,536 314.96% Power Sales 25,000 103,843 415.37% (78,843) 22,566 81,277 360.17% Other Sales 50,000 136,465 272.93% (86,465) 86,140 50,325 58.42% Total Revenues $465,680,058 $327,814,428 70.39% $137,865,630 $412,044,344 $ (84,229,916) -20.44% Section 2- Page 5 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report Summary of Collection, Treatment, & Disposal Expenses by Line Item For the Nine Months Ended March 31, 2020 Expense Percent Expense Increase Increase Budget Through Budget Remaining Through (Decrease) (Decrease) Description 2019-20 03/31/20 Expensed Budget 03/31/19 $ % Salaries,Wages&Benefits Salaries&Wages $ 74,364,500 $ 56,233,171 75.62% $ 18,131,329 $ 55,271,874 $ 961,297 1.74% Employee Benefits Retirement 11,478,840 8,924,011 77.74% 2,554,829 8,545,427 378,584 4.43% Group Insurances 11,006,200 8,192,190 74.43% 2,814,010 8,101,144 91,046 1.12% Tuition&Certification Reimb 98,100 64,912 66.17% 33,188 101,147 (36,235) -35.82% Edu.degrees,Cert.&Lic. 470,300 464,806 98.83% 5,494 384,669 80,137 20.83% Uniform Rental 140,800 86,545 61.47% 54,255 109,836 (23,291) -21.21% Workers'Compensation 780,000 584,998 75.00% 195,002 439,948 145,050 32.97% Unemployment Insurance 3,200 12,116 378.63% (8,916) 1,607 10,509 653.95% EMT Supplemental Benefits 92,300 83,468 90.43% 8,832 78,800 4,668 5.92% Total Benefits 24,069,740 18,413,046 76.50% 5,656,694 17,762,578 650,468 3.66% Salaries,Wages&Benefits 98,434,240 74,646,217 75.83% 23,788,023 73,034,452 1,611,765 2.21% Matl,Supply,&Services Administrative Expenses Memberships 639,660 486,589 76.07% 153,071 513,657 (27,068) -5.27% Office Exp-Supplies 71,330 53,516 75.03% 17,814 40,798 12,718 31.17% Postage 43,330 28,187 65.05% 15,143 28,097 90 0.32% Books&Publications 62,340 51,819 83.12% 10,521 15,212 36,607 240.65% Forms 970 - 0.00% 970 1,245 (1,245) -100.00% Small Computer Items 900,300 611,377 67.91% 288,923 358,300 253,077 70.63% Minor Furniture&Fixtures 310,000 125,983 40.64% 184,017 78,369 47,614 60.76% Subtotal 2,027,930 1,357,471 66.94% 670,459 1,035,678 321,793 31.07% Printing&Publication Repro-In-House 200,790 180,132 89.71% 20,658 159,702 20,430 12.79% Printing-Outside 66,480 21,054 31.67% 45,426 15,236 5,818 38.19% Notices&Ads 62,650 25,656 40.95% 36,994 25,552 104 0.41% Photo Processing 50 42 84.00% 8 11 31 281.82% Subtotal 329,970 226,884 68.76% 103,086 200,501 26,383 13.16% Training&Meetings Meetings 170,850 81,224 47.54% 89,626 83,257 (2,033) -2.44% Training 938,890 332,575 35.42% 606,315 396,515 (63,940) -16.13% Subtotal 1,109,740 413,799 37.29% 695,941 479,772 (65,973) -13.75% Operating Mat'Is&Supplies Chemical Coagulants 10,364,188 8,177,378 78.90% 2,186,810 4,638,500 3,538,878 76.29% Odor Control 7,415,288 3,876,899 52.28% 3,538,389 4,856,659 (979,760) -20.17% Disinfection 233,000 136,361 58.52% 96,639 156,151 (19,790) -12.67% Chemicals-Misc&Cogen 331,070 246,324 74.40% 84,746 236,857 9,467 4.00% Gasoline,Diesel&Oil 563,460 370,342 65.73% 193,118 467,132 (96,790) -20.72% Tools 469,135 409,582 87.31% 59,553 344,882 64,700 18.76% Safety equipment/tools 624,500 516,444 82.70% 108,056 413,659 102,785 24.85% Solv,Paints&Jan.Supplies 100,000 88,708 88.71% 11,292 72,390 16,318 22.54% Lab Chemicals&Supplies 639,570 470,990 73.64% 168,580 439,788 31,202 7.09% Other Operating Supplies 176,880 102,037 57.69% 74,843 129,135 (27,098) -20.98% Property Tax Fees 91,690 38,699 42.21% 52,991 42,895 (4,196) -9.78% Subtotal 21,008,781 14,433,764 68.70% 6,575,017 11,798,048 2,635,716 22.34% Contractual Services Solids Removal 13,403,700 9,278,578 69.22% 4,125,122 11,504,909 (2,226,331) -19.35% Other Waste Disposal 840,900 647,112 76.95% 193,788 601,743 45,369 7.54% Groundskeeping 193,000 135,774 70.35% 57,226 131,727 4,047 3.07% Janitorial 444,360 363,792 81.87% 80,568 333,393 30,399 9.12% Outside Lab Services 260,000 144,310 55.50% 115,690 95,492 48,818 51.12% Oxygen 306,000 282,820 92.42% 23,180 262,721 20,099 7.65% County Service Fee 512,410 18,915 3.69% 493,495 46,533 (27,618) -59.35% Temporary Services 810,000 193,857 23.93% 616,143 240,814 (46,957) -19.50% Security Services 1,608,000 1,205,120 74.95% 402,880 1,209,735 (4,615) -0.38% Other 3,655,604 1,830,676 50.08% 1,824,928 1,017,960 812,716 79.84% Subtotal 22,033,974 14,100,954 64.00% 7,933,020 15,445,027 (1,344,073) -8.70% (Continued) Section 2- Page 6 GO TO TABLE OF CONTENTS Operating Budget Review Summary of Expenses by Line Item For the Nine Months Ended March 31, 2020 Expense Percent Expense Increase Increase Budget Through Budget Remaining Through (Decrease) (Decrease) Description 2019-20 03/31/20 Expensed Budget 03/31/19 $ % Continued: Professional Services Legal 1,565,820 939,896 60.03% 625,924 1,028,264 (88,368) -8.59% Audit&Accounting 241,110 75,165 31.17% 165,945 76,745 (1,580) -2.06% Engineering 1,361,000 731,316 53.73% 629,684 591,551 139,765 23.63% Enviro Scientific Consulting 200,000 53,025 26.51% 146,975 37,171 15,854 42.65% Software Prgm Consulting 376,000 243,479 64.76% 132,521 147,853 95,626 64.68% Advocacy Efforts 179,400 110,900 61.82% 68,500 112,502 (1,602) -1.42% Industrial Hygiene Services 50,000 26,102 52.20% 23,898 25,064 1,038 4.14% Labor Negotiation Services 80,000 30,080 37.60% 49,920 - 30,080 N/A Other 1,532,840 811,261 52.93% 721,579 506,899 304,362 60.04% Subtotal 5,586,170 3,021,224 54.08% 2,564,946 2,526,049 495,175 19.60% Research&Monitoring Environmental Monitoring 549,600 352,782 64.19% 196,818 227,713 125,069 54.92% Air Quality Monitoring 100,000 121,328 121.33% (21,328) 14,275 107,053 749.93% Research 450,000 475,000 105.56% (25,000) 337,500 137,500 40.74% Subtotal 1,099,600 949,110 86.31% 150,490 579,488 369,622 63.78% Repairs&Maintenance Materials&Services 19,774,364 14,772,829 74.71% 5,001,535 10,260,008 4,512,821 43.98% Svc.Mtc.Agreements 3,695,278 3,482,820 94.25% 212,458 2,641,258 841,562 31.86% Subtotal 23,469,642 18,255,649 77.78% 5,213,993 12,901,266 5,354,383 41.50% Utilities Telephone 501,100 435,751 86.96% 65,349 339,136 96,615 28.49% Diesel For Generators 17,000 14,466 85.09% 2,534 9,559 4,907 51.33% Natural Gas 722,140 521,554 72.22% 200,586 687,994 (166,440) -24.19% Power 7,237,990 4,588,242 63.39% 2,649,748 4,396,081 192,161 4.37% Water 772,080 812,886 105.29% (40,806) 528,267 284,619 53.88% Subtotal 9,250,310 6,372,899 68.89% 2,877,411 5,961,037 411,862 6.91% Other Operating Supplies Outside Equip Rental 122,000 51,057 41.85% 70,943 40,183 10,874 27.06% Insurance Premiums 37,800 28,501 75.40% 9,299 26,996 1,505 5.57% Prop&Gen Liab Insurance 1,720,000 1,289,997 75.00% 430,003 974,475 315,522 32.38% Freight 87,050 86,779 99.69% 271 66,257 20,522 30.97% Misc.Operating Expense 249,460 184,371 73.91% 65,089 158,735 25,636 16.15% Regulatory Operating Fees 769,000 819,878 106.62% (50,878) 754,380 65,498 8.68% Subtotal 2,985,310 2,460,583 82.42% 524,727 2,021,026 439,557 21.75% General Mgr Contingency &Reappropriations 1,133,800 - 0.00% 1,133,800 - - N/A Other Non-Oper Expense 125,630 113,122 90.04% 12,508 1,009,732 (896,610) -88.80% Total Materials, Supplies&Services 90,160,857 61,705,459 68.44% 28,455,398 53,957,624 7,747,835 14.36% Total Expenditures 188,595,097 136,351,676 72.30% 52,243,421 126,992,076 9,359,600 7.37% Cost Allocation (20,378,610) (15,544,292) 76.28% (4,834,318) (15,341,607) (202,685) 1.32% Net Operating Requirements $ 168,216,487 $ 120,807,384 71.82% $ 47,409,103 $ 111,650,469 $ 9,156,915 8.20% Section 2- Page 7 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report Summary of Collection, Treatment, & Disposal Expenses by Process For the Nine Months Ended March 31, 2020 Increase Increase Actual Actual (Decrease) (Decrease) 03/31/20 03/31/19 $ % Process: Preliminary Treatment $ 5,269,702 $ 5,344,574 $ (74,872) -1.40% Primary Treatment 15,341,428 9,978,388 5,363,040 53.75% Secondary Treatment 7,454,605 6,735,623 718,982 10.67% Cryogenic Plant(Plant 2) 655,425 537,408 118,017 21.96% Effluent Disposal 1,271,539 692,166 579,373 83.70% Solids Handling 37,223,079 35,861,962 1,361,117 3.80% Cogeneration 12,976,510 11,943,655 1,032,855 8.65% Utilities 3,132,420 2,363,524 768,896 32.53% Electrical Distribution 1,886,434 1,373,634 512,800 37.33% Miscellaneous Buildings 7,855,589 7,220,611 634,978 8.79% External Location 195,900 189,023 6,877 3.64% Nerissa Vessel 190,301 179,032 11,269 6.29% Laboratory 13,603,613 12,826,540 777,073 6.06% Collections 13,750,839 16,404,329 (2,653,490) -16.18% Net Operating Requirements $ 120,807,384 $ 111,650,469 $ 9,156,915 8.20% Section 2 - Page 8 GO TO TABLE OF CONTENTS Operating Budget Review Staffing Trends Full Time Equivalents March 31, 2020 700 650 624 627 635 636 640 32 22 39 600 52 49 550 500 450 6/30/16 6/30/17 6/30/18 6/30/19 3/31/20 ■Actual OVacant At March 31, 2020, the total head count was 620 employees, or a full time equivalency of 601. Section 2 - Page 9 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report This Page Intentionally Left Blank Section 2 - Page 10 GO TO TABLE OF CONTENTS CIP Budget Review Capital Improvement Program By Type and Funding Source For the Nine Months Ended March 31, 2020 ❑Collections Facilities: 22.0% \ ❑Liquid Treatment: 38.3% \ ■Solids Handling&Digestion: 9.9% ❑Utility Systems: 5.3% ❑Support Facilities: 11.7% ❑Other: 12.8% Total Capital Improvement Outlays -$79,021,776 ❑Rehabilitation and Replacement: 52% ❑Strategic Initiatives: 26% ❑Additional Capacity: 12% ❑Regulatory: 10% Total Capital Improvement Outlays -$79,021,776 Section 3 - Page 1 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report Summary of Capital Improvement Construction Requirements - Current Year For the Nine Months Ended March 31, 2020 2019-20 2019-20 2019-20 Cashflow Actual at Projected Budget 3/31/2020 Outlay Collection System Improvement Projects Collections Facilities Taft Branch Improvements 105,676 - 172,900 Newhope - Placentia Trunk Grade Separation Replacement 71,875 11,856 11,900 Newhope-Placentia Trunk Replacement 22,653,359 12,461,942 17,127,600 Westminster Blvd Force Main Replacement 2,534,429 458,663 3,541,100 Rehabilitation of Western Regional Sewers 9,563,225 1,441,470 1,955,700 Interstate 405 Widening Project Impacts on OCSD Sewers 107,640 22,052 31,000 Seal Beach Pump Station Replacement 578,588 131,136 328,500 Newport Force Main Rehabilitation - 15,247 15,300 Bay Bridge Pump Station Replacement 1,039,692 243,337 563,500 Newport Beach Pump Station Odor Control Improvements 148,187 53,700 61,900 District 6 Trunk Sewer Relief 465,049 58,357 129,600 Gisler- Red Hill Trunk Improvements - Reach B - 2,471 2,500 Gisler- Red Hill Interceptor Rehabilitation 211,211 52,754 83,200 Main Street Pump Replacement& Force Main Rehabilitation 493,458 46,540 46,600 Small Construction Projects Program - Collections 1,401,472 489,258 489,300 Operations & Maintenance Capital Program - Collections 538,207 85,049 85,100 Planning Studies Program - Collections 571,568 152,540 152,600 Research Program - Collections 33,939 - - SARI Rock Stabilizers Removal 4,065,703 1,602,832 3,589,100 Sunflower and Red-Hill Interceptor Repair 390,189 66,421 194,300 Additional Charges to CIP Closed at 6/30/19 - (8,400) (8,400) Subtotal - Collections Facilities 44,973,467 17,387,225 28,573,300 Revenue Area 14 Newport Force Main Rehabilitation (2.18%) - 340 400 Subtotal - Revenue Area 14 - 340 400 Total Collection System Improvement Projects 44,973,467 17,387,565 28,573,700 (Continued) Section 3 - Page 2 GO TO TABLE OF CONTENTS CIP Budget Review Summary of Capital Improvement Construction Requirements - Current Year For the Nine Months Ended March 31, 2020 2019-20 2019-20 2019-20 Cashflow Actual at Projected Budget 3/31/2020 Outlay Treatment& Disposal Protects Headworks Headworks Rehabilitation and Expansion at Plant 1 7,870,442 6,711,328 8,065,500 Headworks Modifications at P2 for GWRS Final Expansion 4,159,614 1,661,824 3,564,000 Subtotal - Headworks 12,030,056 8,373,152 11,629,500 Primary Treatment Primary Clarifiers Replacements and Improvements at P1 - 854 900 Primary Clarifier Reliability Improvements at Plant No. 1 480,336 247,127 457,200 Primary Treatment Rehabilitation at Plant 2 9,186,737 7,615,814 9,691,000 Subtotal - Primary Treatment 9,667,073 7,863,795 10,149,100 Secondary Treatment Return Activated Sludge Piping Replacement at Plant 1 2,803,867 918,321 3,137,700 Activated Sludge Aeration Basin Deck Repair at Plant 2 14,671 3,136 3,200 Return Activated Sludge Piping Replacement at Plant 2 3,234,395 466,055 1,131,000 Subtotal -Secondary Treatment 6,052,933 1,387,512 4,271,900 Solids Handling & Digestion Sludge Dewatering and Odor Control at Plant 1 6,781,194 3,792,766 4,921,300 Digester Ferric Chloride Piping Replacement at Plant No. 1 68,898 24,079 114,700 Plant No. 2 Digester Facilities Rehabilitation 2,770,904 4,089 4,100 Sludge Dewatering and Odor Control at Plant 2 5,998,220 3,064,417 3,951,000 Interim Food Waste Receiving Facility 641,684 568,314 772,700 TPAD Digester Facility at P2 874,204 366,426 500,400 Subtotal -Solids Handling & Digestion 17,135,104 7,820,091 10,264,200 Ocean Outfall Systems Ocean Outfall System Rehabilitation 26,862,720 12,657,360 18,776,000 Subtotal -Ocean Outfall Systems 26,862,720 12,657,360 18,776,000 Utility Systems Digester Gas Facilities Rehabilitation 3,957,325 1,241,726 3,463,000 Natural Gas Pipelines Replacement at Plants 1 and 2 283,122 235,301 250,800 Electrical Power Distribution System Improvements 851,397 95,025 248,200 Uninterruptable Power Supply Improvements at Plant 1 270,355 49,511 200,400 Consolidated Demolition and Utility Improvements at P2 3,545,396 2,543,362 2,832,300 Substation Replacement at Plant No. 2 506,550 - - Subtotal - Utility Systems 9,414,145 4,164,925 6,994,700 (Continued) Section 3 - Page 3 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report Summary of Capital Improvement Construction Requirements - Current Year For the Nine Months Ended March 31, 2020 2019-20 2019-20 2019-20 Cashflow Actual at Projected Budget 3/31/2020 Outlay Process Related Special Projects Safety Improvements Program 7,701,072 4,432,699 6,450,500 Subtotal - Process Related Special Projects 7,701,072 4,432,699 6,450,500 Information Management Systems Process Control Systems Upgrades 578,902 - - Project Management Information System 1,860,070 144,124 236,800 Information Technology Capital Program 2,749,741 928,599 1,031,900 Geographic Information System 493,346 274,330 289,700 EAM Software and Process Implementation 976,100 289,243 515,500 Process Control Systems Upgrades Study 1,783,597 361,718 673,000 Subtotal - Information Management Systems 8,441,756 1,998,014 2,746,900 Strategic& Master Planning Planning Studies Program 4,990,554 1,245,532 2,783,300 Climate Resiliency Study 222,600 232,135 232,200 Subtotal -Strategic & Master Planning 5,213,154 1,477,667 3,015,500 Water Management Projects GWRS Final Expansion Coordination 182,157 118,893 191,900 Subtotal -Water Management Projects 182,157 118,893 191,900 Research Research Program 2,317,609 931,935 1,599,500 Subtotal - Research 2,317,609 931,935 1,599,500 Support Facilities Small Construction Projects Program 4,628,659 2,397,658 4,801,900 Fleet Services UST Leak Remediation at Plant 1 2,251,879 795,260 795,300 Operations & Maintenance Capital Program 4,522,942 570,174 1,203,400 18350 Mt. Langley Building Purchase and Improvement 155,080 7,570 7,600 Title 24 Access Compliance and Building Rehab Project 1,075,459 541,517 630,500 Headquarters Complex and Site Security at Plant 1 9,765,435 4,567,849 5,363,100 South Perimeter Security and Utility Improvements at Plant 1 781,427 341,453 644,100 Plant 2 Warehouse Relocation 67,593 29,714 48,000 Subtotal -Support Facilities 23,248,474 9,251,195 13,493,900 (Continued) Section 3 - Page 4 GO TO TABLE OF CONTENTS CIP Budget Review Summary of Capital Improvement Construction Requirements - Current Year For the Nine Months Ended March 31, 2020 2019-20 2019-20 2019-20 Cashflow Actual at Projected Budget 3/31/2020 Outlay Others Perimeter Screening at Plant 2 44,087 - - Capital Improvement Program Management Services 118,846 99,724 105,800 Subtotal -Others 162,933 99,724 105,800 Total Treatment and Disposal Projects 128,429,186 60,576,962 89,689,400 Capital Equipment Purchases 2,923,300 1,057,249 1,410,000 Total Collection, Treatment and Disposal Projects and Capital Equipment Purchases 176,325,953 79,021,776 119,673,100 Less: Savings and Deferrals (23,000,000) - - Net Collection, Treatment and Disposal Projects and Capital Equipment Purchases $153,325,953 $ 79,021,776 $119,673,100 Section 3 - Page 5 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report Summary of Capital Improvement Construction Requirements - Project Life For the Nine Months Ended March 31, 2020 Current Total Approved June 30,2019 Year Projected Remaining Project Accumulated Projected Cost at Future Budget Cost Cost June 30,2020 Budget Collection System Improvement Projects Collections Facilities Taft Branch Improvements 8,130,000 12,083 172,900 184,983 7,945,017 Newhope-Placentia Trunk Grade Separation Replacement 4,300,000 4,192,559 11,900 4,204,459 95,541 Newhope-Placentia Trunk Replacement 112,000,000 61,677,495 17,127,600 78,805,095 33,194,905 Yorba Linda Pump Station Abandonment 10,800,000 - - - 10,800,000 Beach Trunk/Knott Interceptor Sewer Relief 21,000,000 - - - 21,000,000 Westminster Blvd Force Main Replacement 54,000,000 6,690,994 3,541,100 10,232,094 43,767,906 Rehabilitation of Western Regional Sewers 202,000,000 15,684,536 1,955,700 17,640,236 184,359,764 Interstate 405 Widening Project Impacts on OCSD Sewers 528,000 94,547 31,000 125,547 402,453 Seal Beach Pump Station Replacement 78,900,000 141,174 328,500 469,674 78,430,326 Los Alamitos Sub-Trunk Extension 66,000,000 - - - 66,000,000 Newport Force Main Rehabilitation 58,367,238 58,305,659 15,300 58,320,959 46,279 Crystal Cove Pumping Station Upgrade and Rehabilitation 17,900,000 - - - 17,900,000 Bay Bridge Pump Station Replacement 64,000,000 1,241,764 563,500 1,805,264 62,194,736 Newport Beach Pump Station Odor Control Improvements 4,066,000 52,522 61,900 114,422 3,951,578 District 6 Trunk Sewer Relief 7,965,000 7,086,802 129,600 7,216,402 748,598 Gisler-Red Hill Trunk Improvements-Reach B 25,213,000 25,017,792 2,500 25,020,292 192,708 MacArthur Pump Station Rehabilitation 9,151,000 - - - 9,151,000 Main Street Pump Station Rehabilitation 40,660,000 - - 40,660,000 Gisler-Red Hill Interceptor Rehabilitation 14,800,000 83,200 83,200 14,716,800 Main Street Pump Replacement&Force Main Rehabilitation 17,160,000 46,600 46,600 17,113,400 MacArthur Force Main Improvement 2,385,000 - - 2,385,000 Edinger Bolsa Chica Trunk Improvements 5,159,000 5,159,000 Edinger Pump Station Upgrade and Rehabilitation 14,100,000 14,100,000 Slater Avenue Pump Station Rehabilitation 25,300,000 25,300,000 Small Construction Projects Program-Collections 9,258,000 3,606,091 489,300 4,095,391 5,162,609 Operations&Maintenance Capital Program-Collections 570,109 33,002 85,100 118,102 452,007 Planning Studies Program-Collections 4,258,600 3,178,275 152,600 3,330,875 927,725 Research Program-Collections 154,000 46,250 - 46,250 107,750 SARI Rock Stabilizers Removal 6,860,000 1,059,637 3,589,100 4,648,737 2,211,263 Sunflower and Red-Hill Interceptor Repair 5,500,000 20,888 194,300 215,188 5,284,812 Additional Charges to CIP Closed at 6/30/19 - - (8,400) (8,400) 8,400 Subtotal-Collections Facilities 890,484,947 188,142,070 28,573,300 216,715,370 673,769,577 Revenue Area 14: Newport Force Main Rehabilitation(2.18%) 1,300,762 1,299,390 400 1,299,790 972 Subtotal-Revenue Area 14 1,300,762 1,299,390 400 1,299,790 972 Total Collection System Improvement Projects 891,785,709 189,441,460 28,573,700 218,015,160 673,770,549 (Continued) Section 3 - Page 6 GO TO TABLE OF CONTENTS CIP Budget Review Summary of Capital Improvement Construction Requirements - Project Life For the Nine Months Ended March 31, 2020 Current Total Approved June 30,2019 Year Projected Remaining Project Accumulated Projected Cost at Future Budget Cost Cost June 30,2020 Budget Treatment&Disposal Projects Headworks Headworks Rehabilitation and Expansion at Plant 1 406,000,000 19,524,945 8,065,500 27,590,445 378,409,555 Headworks Modifications at P2 for GWRS Final Expansion 54,000,000 5,356,267 3,564,000 8,920,267 45,079,733 Subtotal-Headworks 460,000,000 24,881,212 11,629,500 36,510,712 423,489,288 Primary Treatment Primary Clarifiers Replacements and Improvements at P1 106,000,000 521,057 900 521,957 105,478,043 Primary Clarifier Reliability Improvements at Plant No. 1 12,000,000 198,647 457,200 655,847 11,344,153 Primary Treatment Rehabilitation at Plant 2 245,000,000 16,832,705 9,691,000 26,523,705 218,476,295 B/C-Side Primary Clarifiers Rehabilitation at Plant 2 249,560,000 - - - 249,560,000 Subtotal-Primary Treatment 612,560,000 17,552,409 10,149,100 27,701,509 584,858,491 Secondary Treatment Return Activated Sludge Piping Replacement at Plant 1 10,300,000 964,280 3,137,700 4,101,980 6,198,020 Activated Sludge Aeration Basin Deck Repair at Plant 2 1,800,000 1,612,387 3,200 1,615,587 184,413 Return Activated Sludge Piping Replacement at Plant 2 20,000,000 849,751 1,131,000 1,980,751 18,019,249 Subtotal-Secondary Treatment 32,100,000 3,426,418 4,271,900 7,698,318 24,401,682 Solids Handling&Digestion Digester Rehabilitation at Plant 1 66,000,000 65,609,228 - 65,609,228 390,772 Sludge Dewatering and Odor Control at Plant 1 199,500,000 191,251,029 4,921,300 196,172,329 3,327,671 Digester Ferric Chloride Piping Replacement at Plant No. 1 1,360,000 - 114,700 114,700 1,245,300 Plant No.2 Digester Facilities Rehabilitation 15,500,000 14,717 4,100 18,817 15,481,183 Sludge Dewatering and Odor Control at Plant 2 90,477,000 80,701,878 3,951,000 84,652,878 5,824,122 Interim Food Waste Receiving Facility 6,300,000 448,580 772,700 1,221,280 5,078,720 TPAD Digester Facility at P2 405,100,000 - 500,400 500,400 404,599,600 Digester P,Q, R,and S Replacement 166,000,000 - - - 166,000,000 Subtotal-Solids Handling&Digestion 950,237,000 338,025,432 10,264,200 348,289,632 601,947,368 Ocean Outfall Systems Ocean Outfall System Rehabilitation 166,000,000 38,447,897 18,776,000 57,223,897 108,776,103 Subtotal-Ocean Outfall Systems 166,000,000 38,447,897 18,776,000 57,223,897 108,776,103 Utility Systems UPS System Upgrades 4,700,000 - - - 4,700,000 Digester Gas Facilities Rehabilitation 156,500,000 4,894,979 3,463,000 8,357,979 148,142,021 Natural Gas Pipelines Replacement at Plants 1 and 2 1,310,000 221,027 250,800 471,827 838,173 Electrical Power Distribution System Improvements 30,000,000 138,428 248,200 386,628 29,613,372 (Continued) Section 3 - Page 7 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report Summary of Capital Improvement Construction Requirements - Project Life For the Nine Months Ended March 31, 2020 Current Total Approved June 30,2019 Year Projected Remaining Project Accumulated Projected Cost at Future Budget Cost Cost June 30,2020 Budget Utility Systems(continued) Central Generation Rehabilitation at Plant 1 87,000,000 - - - 87,000,000 Uninterruptable Power Supply Improvements at Plant 1 7,000,000 79,108 200,400 279,508 6,720,492 Consolidated Demolition and Utility Improvements at P2 31,000,000 26,399,159 2,832,300 29,231,459 1,768,541 Central Generation Rehabilitation at Plant 2 114,000,000 - - - 114,000,000 Substation Replacement at Plant No.2 40,261,000 - - - 40,261,000 Subtotal-Utility Systems 471,771,000 31,732,701 6,994,700 38,727,401 433,043,599 Process Related Special Projects Safety Improvements Program 19,000,000 8,118,140 6,450,500 14,568,640 4,431,360 Subtotal-Process Related Special Projects 19,000,000 8,118,140 6,450,500 14,568,640 4,431,360 Information Management Systems Process Control Systems Upgrades 46,000,000 - - - 46,000,000 Project Management Information System 4,000,000 1,149,166 236,800 1,385,966 2,614,034 SCADA System and Network Upgrades 5,000,000 4,970,908 - 4,970,908 29,092 Information Technology Capital Program 10,000,000 1,250,053 1,031,900 2,281,953 7,718,047 Geographic Information System 4,568,000 3,058,209 289,700 3,347,909 1,220,091 EAM Software and Process Implementation 7,500,000 5,219,288 515,500 5,734,788 1,765,212 Process Control Systems Upgrades Study 3,554,000 1,224,489 673,000 1,897,489 1,656,511 Subtotal-Information Management Systems 80,622,000 16,872,113 2,746,900 19,619,013 61,002,987 Strategic&Master Planning Planning Studies Program 24,393,400 8,690,620 2,783,300 11,473,920 12,919,480 Climate Resiliency Study 878,000 586,978 232,200 819,178 58,822 Subtotal-Strategic&Master Planning 25,271,400 9,277,598 3,015,500 12,293,098 12,978,302 Water Management Projects GWRS Final Expansion Coordination 1,132,000 232,090 191,900 423,990 708,010 Subtotal-Water Management Projects 1,132,000 232,090 191,900 423,990 708,010 Research Research Program 8,346,000 617,093 1,599,500 2,216,593 6,129,407 Subtotal-Research 8,346,000 617,093 1,599,500 2,216,593 6,129,407 (Continued) Section 3 - Page 8 GO TO TABLE OF CONTENTS CIP Budget Review Summary of Capital Improvement Construction Requirements - Project Life For the Nine Months Ended March 31, 2020 Current Total Approved June 30,2019 Year Projected Remaining Project Accumulated Projected Cost at Future Budget Cost Cost June 30,2020 Budget Support Facilities Small Construction Projects Program 29,040,000 12,847,554 4,801,900 17,649,454 11,390,546 Fleet Services UST Leak Remediation at Plant 1 14,952,000 374,111 795,300 1,169,411 13,782,589 Operations&Maintenance Capital Program 15,051,891 1,334,458 1,203,400 2,537,858 12,514,033 18350 Mt. Langley Building Purchase and Improvement 10,200,000 9,907,140 7,600 9,914,740 285,260 Laboratory Rehabilitation at Plant No. 1 15,000,000 - - - 15,000,000 Title 24 Access Compliance and Building Rehab Project 18,400,000 17,054,173 630,500 17,684,673 715,327 Headquarters Complex and Site Security at Plant 1 167,500,000 24,758,304 5,363,100 30,121,404 137,378,596 South Perimeter Security and Utility Improvements at Plant 1 10,500,000 543,599 644,100 1,187,699 9,312,301 Plant 2 Warehouse Relocation 9,800,000 - 48,000 48,000 9,752,000 Plant 2 Collections Yard Relocation 1,840,000 - - - 1,840,000 Subtotal-Support Facilities 292,283,891 66,819,339 13,493,900 80,313,239 211,970,652 Others Banning Gate Relocation and Grading at Plant 2 2,931,000 - - - 2,931,000 Perimeter Screening at Plant 2 2,800,000 64,040 - 64,040 2,735,960 Capital Improvement Program Management Services 700,000 184,309 105,800 290,109 409,891 Subtotal-Others 6,431,000 248,349 105,800 354,149 6,076,851 Total Treatment and Disposal Projects 3,125,754,291 556,250,791 89,689,400 645,940,191 2,479,814,100 Capital Equipment Purchases 9,727,153 - 1,410,000 1,410,000 8,317,153 Total Collection,Treatment and Disposal Projects and Capital Equipment Purchases $4,027,267,153 $745,692,251 $119,673,100 $865,365,351 $3,161,901,802 Section 3 - Page 9 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report This Page Intentionally Left Blank Section 3 - Page 10 GO TO TABLE OF CONTENTS Capital Assets Schedule & Debt Service Budget Review Capital Assets Schedule For the Nine Months Ended March 31, 2020 Capital Facilities Budget Review Balance Year-to-Date Balance 07/01/19 Activity 03/31/20 CONSTRUCTION IN PROGRESS: Treatment Plant $ 447,941,678 $ 61,634,211 $ 509,575,889 Collection System 73,889,956 17,387,565 91,277,521 Subtotal 521,831,634 79,021,776 600,853,410 PROPERTY, PLANT&EQUIPMENT(at cost): Land and Property Rights 41,967,355 - 41,967,355 Collection Lines and Pump Stations 886,790,503 - 886,790,503 Treatment Facilities 2,478,726,934 - 2,478,726,934 Effluent disposal facilities 96,972,016 - 96,972,016 Solids disposal facilities 3,463,236 - 3,463,236 General and administrative facilities 257,168,345 - 257,168,345 Excess purchase price over book value on acquired assets 19,979,000 - 19,979,000 Subtotal 3,785,067,389 - 3,785,067,389 Total Property, Plant&Equipment&CIP $ 4,306,899,023 $ 79,021,776 $ 4,385,920,799 Debt Service Budget Review 2019-20 Year-to-Date Remaining Budget Payments %of Budget Budget Principal Payments by Debt Issue: 2010A BABs - 0.00% 2010C BABs - - 0.00% 2011A COP - - 0.00% 2012A COP - - 0.00% 2012B COP 20,915,000 20,915,000 100.00% 2014A COP 7,400,000 7,400,000 100.00% - 2015A COP - - 0.00% - 2016A COP 4,415,000 4,415,000 100.00% - 2017A COP - - 0.00% - 2018A CANs - - 0.00% - Subtotal Principal Payments 32,730,000 32,730,000 100.00% - Interest Expense by Debt Issue: 2010A BABs 2,897,700 2,487,335 85.84% 410,365 2010C BABs 6,523,800 5,600,105 85.84% 923,695 2011A COP 3,348,400 2,511,350 75.00% 837,050 2012A COP 3,735,900 2,802,000 75.00% 933,900 2012B COP 2,191,400 1,469,200 67.04% 722,200 2014A COP 3,566,500 2,613,300 73.27% 953,200 2015A COP 6,375,500 4,781,600 75.00% 1,593,900 2016A COP 6,977,300 5,196,200 74.47% 1,781,100 2017A COP 3,318,500 2,488,900 75.00% 829,600 2018A CANs 5,110,000 3,832,500 75.00% 1,277,500 Subtotal Interest Expense 44,045,000 33,782,490 76.70% 4,780,410 Total Debt Service $ 76,775,000 $ 66,512,490 86.63% $ 4,780,410 Section 4 - Page 1 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report This Page Intentionally Left Blank Section 4 - Page 2 GO TO TABLE OF CONTENTS Self Insurance Budget Review General Liability and Property Fund Budget Review For the Nine Months Ended March 31, 2020 Percent Actual of Budget Remaining Actual 2019-20 Through Through 2019-20 Through Increase Budget 03/31/20 03/31/20 Budget 03/31/19 (Decrease) Revenues: In-Lieu Premiums $ 1,720,000 $ 1,289,997 75.00% $ 430,003 $ 974,475 $ 315,522 Miscellaneous Other Revenue 10,000 - 0.00% - 3,794 (3,794) Service Department Allocations 20,000 (2,322) -11.61% 22,322 (2,322) - Total Revenues 1,750,000 1,287,675 73.58% 452,325 975,947 311,728 Expenses: Benefits/Claims 360,000 54,152 15.04% 305,848 54 54,098 Legal Services 40,000 - 0.00% 40,000 - - Professional Services 10,000 - 0.00% 10,000 451 (451) Subtotal 410,000 54,152 13.21% 355,848 505 53,647 Policy Premium Expense 1,340,000 1,063,033 79.33% 276,967 957,673 105,360 Total Expenses 1,750,000 1,117,185 63.84% 632,815 958,178 159,007 Excess Revenue(Expense) - 170,490 $ (180,490) 17,769 152,721 Beginning Reserves 55,000,000 55,389,842 55,367,246 22,596 Ending Reserves $ 55,000,000 $ 55,560,332 $ 55,385,015 $ 175,317 Section 5 - Page 1 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report Workers' Compensation Fund Budget Review For the Nine Months Ended March 31, 2020 Percent Actual of Budget Remaining Actual 2019-20 Through Through 2019-20 Through Increase Budget 03/31/20 03/31/20 Budget 03/31/19 (Decrease) Revenues: In-Lieu Premiums $ 780,000 $ 585,000 75.00% $ 195,000 $ 439,950 $ 145,050 Service Department Allocations - 81,522 N/A (81,522) 81,522 - Total Revenues 780,000 666,522 85.45% 113,478 521,472 145,050 Expenses: Benefits/Claims 430,000 293,507 68.26% 136,493 305,381 (11,874) Legal Services 80,000 77,900 97.38% 2,100 43,081 34,819 Professional Services 60,000 29,774 49.62% 30,226 50,101 (20,327) Subtotal 570,000 401,181 70.38% 168,819 398,563 2,618 Policy Premium Expense 210,000 161,734 77.02% 48,266 161,789 (55) Total Expenses 780,000 562,915 72.17% 217,085 560,352 2,563 Excess Revenue(Expense) - 103,607 $ (103,607) (38,880) 142,487 Beginning Reserves 2,000,000 2,036,708 2,085,542 (48,834) Ending Reserves $ 2,000,000 $ 2,140,315 $ 2,046,662 $ 93,653 Section 5 - Page 2 GO TO TABLE OF CONTENTS o�JNSv SAN/r TT�y � � O s� _ � 9 ti FOr,NC-�E EN.4 April 30, 2020 STAFF REPORT Quarterly Treasurer's Report For the Period Ended March 31, 2020 SUMMARY Section 17.0 of the Orange County Sanitation District's (OCSD) Investment Policy includes quarterly reporting requirements for OCSD's two investment portfolios. These two funds, the "Liquid Operating Monies," and the "Long-Term Operating Monies" are managed by Chandler Asset Management, OCSD's external money manager. The ongoing monitoring of OCSD's investment program by staff and Callan Associates, OCSD's independent investment advisor, indicates that OCSD's investments are in compliance with OCSD'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 OCSD to meet budgeted expenditures for the next six months. OCSD'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 OCSD's portfolios, as of March 31, 2020. The Liquid Operating Monies portfolio, with an average maturity of 81 days, consists entirely of high quality fixed income investments consistent with the OCSD's investment policy. Portfolio Performance Summary The following table presents a performance summary of OCSD's portfolios as compared to their benchmarks as of March 31, 2020. OCSD ♦ P.O.Box 8127 ♦ Fountain Valley,CA 92728-8127 ♦ (714)962-2411 GO TO TABLE OF CONTENTS Quarterly Treasurer's Report For the Period Ended March 31, 2020 Page 2 of 4 Portfolio Performance Summary As of March 31,2020 Liquid Operating Monies(%) Long-Term Operating Monies(%) Total Rate of Total Rate of Return Benchmark0) Return Benchmark(') 3 Months 0.72 0.57 2.51 2.97 6 Months 1.23 1.04 3.01 3.42 9 Months 1.83 1.61 3.92 4.27 12 Months 2.53 2.25 5.68 6.20 Annualized Since inception 30 Nov 2014 1.25 1.12 2.23 2.27 Market Value $113.5 M $590.3 M Average Quality 11AA,171'Aaa11 "AA"P'Aa111 Current Yield(%) 1.58 2.21 Estimated Yield to Maturity(%) 0.45 0.89 Quarterly Deposits(Withdrawals) ($63.0)M ($4.0)M Estimated Annual Income $1.5 M $13.1 M (1) Benchmarks: ■ Liquid Operating Portfolio: ICE BAML 3-Month Treasury Bill Index ■ Long-Term Operating Portfolio: ICE BAML Corp/Govt. 1-5 Year Bond Index Portfolio Market Values Comparative marked-to-market quarter-end portfolio values are shown in the following table, and in the attached bar chart. Liquid Long-Term Quarter Operating Operating Ending Monies($M) Monies($M) 30 Jun 19 164.5 558.1 30 Sep 19 68.2 548.1 31 Dec 19 175.6 579.9 31 Mar 20 113.5 590.3 GO TO TABLE OF CONTENTS Quarterly Treasurer's Report For the Period Ended March 31, 2020 Page 3 of 4 Orange County Sanitation District's Investment Account Balances as of March 31, 2020 Book Balances Estimated Investment Accounts March 31, 2020 Yield (%) State of California LAIF $60,799,265 1.79 Banc of California Checking Account 2,740,389 0.55 Banc of California Overnight Sweep Account 327,530 0.20 Banc of California W/C Checking 86,530 0.55 Union Bank Mount Langley Account 186,221 0.75 Union Bank Bandilier Account 586,246 0.75 Chandler/U.S. Bank—Short-term Portfolio 113,512,314 0.45 Chandler/U.S. Bank—Long-term Portfolio 590,342,927 0.89 Petty Cash 6,500 0.00 BNY Mellon OCIP Reserve 3,601,044 0.00 TOTAL M2,188,966 0.89 Debt Service Reserves w/Trustees 6 993 0.33 Orange County Sanitation District's Cost of Funds on Debt Issues as of March 31, 2020 Annual Cost of Funds Outstanding Interest Issue Description COP Balance Rate(%) 2010A Fixed 80,000,000 3.68 2010C Fixed 157,000,000 4.11 2011A Fixed 75,370,000 2.61 2012A Fixed 100,645,000 3.54 2012E Fixed 25,560,000 1.50 2014A Fixed 63,930,000 2.34 2015A Fixed 127,510,000 3.30 2016A Fixed 141,465,000 3.02 2017A Fixed 66,370,000 2.55 2018A Fixed 102,200,000 2.02 TOTAL $940 050 000 Weighted Avg. Cost of Funds 3.09 GO TO TABLE OF CONTENTS Quarterly Treasurer's Report For the Period Ended March 31, 2020 Page 4 of 4 ATTACHMENTS 1. Chandler Quarterly Report 2. Summary of Performance Data and Portfolio Statistics — Liquid Operating Monies 3. Summary of Performance Data and Portfolio Statistics — Long Term Operating Monies 4. Investment Transactions and Balances in LAIF 5. Asset Summary by Asset Type — Liquid Operating Portfolio 6. Asset Summary by Asset Type — Long Term Portfolio 7. Asset Summary by Asset Type — Owner Controlled Insurance Program Escrow Account 8. Investment Listing (Yield Analysis Report) 9. Asset Detail — Consolidated 10. Custody Transaction History — Consolidated 11. Callan Quarterly Review 12. Chandler Quarterly Review 13. Rating Agency Comparisons GO TO TABLE OF CONTENTS CHANDLER ASSET CS11 MANAGEMENT March 31, 2020 Mr. Lorenzo Tyner Assistant General Manager Director of Finance and Administrative Services Orange County Sanitation District 10844 Ellis Avenue Fountain Valley CA 92708-7018 Dear Lorenzo, Bond Market Recap Financial markets were extremely turbulent in March, driven by a high level of uncertainty and fear regarding the impact of the COVID-19 pandemic on the global economy.The S&P 500 index declined 20.0%in the first quarter and the average option adjusted spread on investment grade corporate bonds (based on the ICE BofA US Corporate Index) widened more than 200 basis points. At the end of the first quarter, the yield on 2-year Treasuries was down 132 basis points year-to- date, and the yield on 10-year Treasuries was down nearly 125 basis points, as a global flight to quality put downward pressure on yields. There are still many unknowns about the coronavirus and the outlook for the economy remains uncertain, but we believe the US economy entered a recession in March. Containment efforts and supply chain disruptions will likely cause a sharp increase in unemployment and a swift and deep contraction in economic activity. In the March 28 week,6.6 million people filed an initial claim for unemployment,following 3.3 million initial claims in the previous week.These figures indicate that the employment report for April will be very weak and that the unemployment rate is already approaching 10%. Financial markets will likely remain volatile over the near-term, but we believe large-scale global monetary and fiscal stimulus programs will help mitigate the longer-term economic impact of the pandemic. At this point, we believe a U-shaped economic recovery heading into 2021 is possible. The speed and level of fiscal and monetary relief from the federal government and Federal Reserve in the last month has already surpassed the financial crisis. President Trump approved a $2 trillion economic relief package on March 27, the largest fiscal stimulus package in US history.We believe it will take a few weeks to fully implement the program, but small businesses have started to apply for paycheck protection program loans and direct payments to households are expected to go out in a few days. Fiscal relief from the government has been complimented by a wide range of aggressive actions by the Federal Reserve to help stabilize and provide liquidity to the financial markets. During March,the Fed lowered the fed funds target rate by a cumulative total of 150 basis points to a range of 0.0%-0.25% and said it will purchase Treasury and agency mortgage-backed securities in any amount needed to support smooth market functioning. Policymakers reinstated the Commercial Paper Funding Facility and Money Market Mutual Fund Liquidity Facility in order to provide liquidity to the commercial paper, money markets, and the municipal bond markets.The Fed also established the Primary Market Corporate Credit Facility and Secondary Market Corporate Credit Facility to support the corporate bond market. The Term Asset-Backed Securities Loan Facility was established to enable the issuance of asset-backed securities backed by student loans, auto loans, credit card loans, and loans guaranteed by the Small Business Administration. The Fed has provided short-term funding through large-scale repo operations and lowered the reserve requirement for depository institutions. Policymakers are also working on a Main Street Business Lending Program to support lending to small-and- medium sized businesses. Looking ahead,we would not rule out the possibility of another phase of fiscal and/or monetary stimulus, depending on the duration of the social distancing guidelines and ultimate impact on the economy. 1 GO TO TABLE OF CONTENTS CHANDLER ASSET CS11 MANAGEMENT Consumer Prices The Consumer Price Index (CPI) was up 2.3% year-over-year in February, down from 2.5% in January. Core CPI (CPI less food and energy) was up 2.4% year-over-year in February, up from 2.3% in January. The Personal Consumption Expenditures (PCE) index was up 1.8%year-over-year in February, unchanged from 1.8%year-over-year in January. Core PCE, which is the Fed's primary inflation gauge, was up 1.8% year-over-year in February versus 1.7% year-over-year in January. Core PCE was trending below the Fed's 2.0% inflation target before the COVID-19 pandemic. Retail Sales On a year-over-year basis, retail sales were up 4.3% in February versus 5.0% in January. On a month-over-month basis, retail sales excluding autos and gas fell 0.2% in February,well below expectations for a 0.4%increase. Control group sales were flat in February, below expectations of a 0.4%gain. Several retail categories showed weakness in February including auto sales and gasoline, building materials, clothing stores, electronics & appliances. The impact of the coronavirus was only beginning to emerge in February but the outlook for retail sales in the coming months is under significant pressure. Labor Market U.S. nonfarm payrolls declined by 701,000 in March. Employment in leisure and hospitality was particularly weak with payrolls down 459,000. The U-3 unemployment rate increased to 4.4% in March from 3.5% in February, and the participation rate declined to 62.7% from 63.4%. 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, increased to 8.7% from 7.0%. Wages rose 0.4% in March and were up 3.1%on year-over-year basis.The average workweek declined to 34.2 hours from 34.4 hours. Notably, the establishment survey of payrolls and the household survey of unemployment were collected in the first half of March,which predates many of the business and school closures related to the pandemic. Housing Starts Housing starts remained strong in February at an annual rate of 1,599,000,exceeding the consensus forecast.On a month- over-month basis, single family starts rose 6.7% to an annualized rate of 1,072,000, while multi-family starts declined 14.9% to an annualized rate of 527,000. Low mortgage rates and a strong labor market were fueling housing activity heading into the COVID-19 crisis. 2 GO TO TABLE OF CONTENTS CHANDLER ASSET C311 MANAGEMENT TREASURY YIELDS 3/31/2020 12/31/2019 CHANGE 3 Month 0.06 1.54 (1.48) 2 Year 0.25 1.57 (1.32) 3 Year 0.29 1.61 (1.32) 5 Year 0.38 1.69 (1.31) 7 Year 0.54 1.83 (1.29) 10 Year 0.67 1.92 (1.25) 30 Year 1.32 2.39 (1.07) Economic Data Is Deteriorating Rapidly Due to the COVID-19 Pandemic ECONOMIC INDICATOR Current Release Prior Release One Year Ago Trade Balance (39.90) $Bln FEB 20 (45.50) $Bln JAN 20 (51.30)$Bln FEB 19 Gross Domestic Product 2.10%DEC 19 2.10%SEP 19 1.10%DEC 18 Unemployment Rate 4.40%MAR 20 3.50%FEB 20 3.80%MAR 19 Prime Rate 3.25%MAR 20 4.75%FEB 20 5.50%MAR 19 Commodity Research Bureau Index 121.79 MAR 20 159.45 FEB 20 183.75 MAR 19 Oil (West Texas Int.) $20.48 MAR 20 $44.76 FEB 20 $60.14 MAR 19 Consumer Price Index(y/o/y) 2.30%FEB 20 2.SO%JAN 20 1.50% FEB 19 Producer Price Index(y/o/y) 1.20%FEB 20 2.50%JAN 20 0.50% FEB 19 Dollar/Euro 1.10 MAR 20 1.10 FEB 20 1.12 MAR 19 Source:Bloomberg 3 GO TO TABLE OF CONTENTS CHANDLER ASSET CS11 MANAGEMENT Performance Attribution Long-Term Portfolio The portfolio generated a positive absolute return of 2.51%during the quarter but materially underperformed the 2.97% return of the ICE Bank of America Merrill Lynch 1-5 Year US Corporate and Government AAA-A Index. The economic impact of the escalation of the coronavirus negatively impacted the spread performance of virtually all asset classes during the month of March, leading to the relative underperformance of the portfolio. Although the portfolio maintains a healthy allocation to the Treasury sector the exposure is significantly underweight relative to the benchmark which was the primary driver related to the relative performance shortfall. Multiple securities were purchased across the Treasury, Agency, Asset Backed and Corporate sectors of the market to keep the portfolio positioned consistent with Chandler targets. The purchased securities ranged in maturity from December 2022 to March 2025. Several securities were sold and two matured to help facilitate the new holding in the portfolio. Additionally, there was a $10 million withdrawal early in the quarter and a $6 million contribution late in the quarter. The sector allocation changed moderately over the most recent quarterly reporting period. Two of the larger changes include the 5.0% increase in the Agency allocation, to 27.8% of the portfolio, partially offset by the 2.4%decline in the US Treasury allocation,to 32.4%of the portfolio. The duration of the portfolio extended to 2.47 compared to 2.41 as of December 31, 2019. The majority of the new holdings in the portfolio were near the five year maturity point as the Chandler team looked to decrease the aggregate interest rate sensitivity of the portfolio relative to the benchmark. Liquid Portfolio The Liquidity Portfolio generated a positive absolute return of 0.72%and outperformed the 0.57% return of the ICE Bank of America Merrill Lynch 3 Month Treasury Bill Index. Many securities were purchased predominately in the Treasury sector to keep the portfolio invested to forecasted liquidity dates. The purchased securities ranged in maturity from February 2020 to August 2020. One security was sold and many matured to meet the liquidity requirements of the portfolio. Cash flows into the portfolio were varied but on a net basis$63 million was withdrawn from the portfolio during the quarter. The sector allocation evolved with the large cash withdrawal from the portfolio and the flight to quality price movements in short maturity Treasury notes. Two of the larger changes include the 11.2% decline in the Treasury allocation to 67.1%of the portfolio and the 19.8% increase in the money market allocation to 22.8%of the portfolio. The Chandler team will be spending down the money market allocation with longer maturity investments during the month of April. The duration of the portfolio was close to unchanged, ending the quarter at 0.22 compared to 0.21 at the end of the year. The Chandler team will be looking to opportunistically increase the duration of the portfolio in the upcoming quarter. 4 GO TO TABLE OF CONTENTS CHANDLER ASSET CS11 MANAGEMENT Economic Outlook The coronavirus (COVID-19) is having an acute negative impact on the domestic and global economy as large segments of the economy are essentially shut down. The strength of the US economy prior to the onset of the COVID-19, the US consumer and the 'service sector' portion of the economy, had been relatively immune to the more cyclical elements economy over the past several years. At the current juncture the previous strength is a liability with the US consumer quarantined and significant portions of the 'service' economy shut down. Until forecasters get some visibility on when, and to what degree, the economy will function as quarantines are lifted later in the year financial markets across asset classes will remain volatile. Chandler's base case is the quarantines will begin to be lifted regionally late in the 2nd half of Q2 with the possibility of'rolling' quarantines later in the year when the infection rate of the coronavirus spikes up again. Progress and visibility on the timing of a vaccine for COVID-19 will serve as a material catalyst for the ultimate recovery of the economy. Assuming additional quarantines are reintroduced later in the year the impact to the economy will be less severe as all will have learned from the current experience. The Chandler team is concerned about the secular implications of the virus and the likely changes to consumer behavior on a go forward basis and will be positioning the fixed income portfolio with those concerns in mind. Prior to the onset of the coronavirus on the domestic economy the data and trajectory of the economy were sound. The low unemployment rate and high savings rate should act as a catalyst to get the economy back on track sooner compared to other periods of severe financial stress in 2000 and 2008. The Federal Reserve has acted preemptively and forcefully to help offset the impact of the coronavirus. Although the Federal Reserve had a Federal Open Market Committee(FOMC) meeting scheduled on March 18th which was ultimately cancelled, on Tuesday, March 3rd the Fed Funds target was reduced by 50 basis points, following by another 100 basis point adjustment lower on Sunday evening, March 15th, to bring the Fed Funds target down to a range of 0.00%to 0.25%,the zero lower bound. Two intra-meeting adjustments by the FOMC in such a short time frame is unprecedented. Ironically risk assets sold off after both surprise adjustments by the Federal Reserve as markets were functioning relatively well prior to the announcements and the change in rates arguably led to a more "risk off' sentiment by investors. As liquidity in the capital markets continued to break down in the 2nd half of March the Federal Reserve reverted to the 2008 playbook an introduced a host of measures to provide liquidity to markets,too numerous to list but notably including unlimited Quantitative Easing(QE). The Federal Reserve's balance sheet will expand significantly over the next several months and has already surpassed the high-water mark from prior periods of QE during the global financial crisis. The impact of the coronavirus is clearly deflationary in the short term and interest rates have re-priced to reflect the new reality. However, on a longer-term basis, the monetary and fiscal stimulus introduced into the economy will create unintended consequences with inflation risk emerging as a potential longer-term concern after the impact of the crisis passes. Although the impact to asset prices has been severe,the Chandler team notes several distinct differences between the current crisis and the global financial crisis of 2008. Importantly, the banking sector enters the crisis in a position of strength and will be able to assist in providing capital and liquidity as the crisis evolves. Also, unlike in 2008,the investment grade new issue market has been functioning very well, with volumes extremely elevated, enabling corporations to raise debt capital to weather the economic impact of the virus. 5 GO TO TABLE OF CONTENTS CHANDLER ASSET C311 MANAGEMENT Strategy Strategy highlights for the Long-Term Portfolio in coming months: • Seek out securities to add to the portfolio with attractive relative value that sync up with Chandler's internal view of the secular impact to the economic outlook and corporate fundamentals due to the onset of the coronavirus. o Continue to look to extend the term structure of the banking exposure in the portfolio as the fundamental and regulatory backdrop in the sector should be supportive. o Opportunistically add exposure in the technology sector which should be someone insulated from the impact of the economic slowdown in the coming months. • Opportunistically increase exposure to the securitized sector with a focus on high quality securities with higher than normal spreads due to the economic fallout from the virus. • Maintain at least a 25% allocation to the Treasury sector to keep the portfolio conservatively allocated to weather the upcoming economic situation. Strategy highlights for the Liquidity Portfolio in coming months: • Continue to ladder the Treasury and Agency exposure to coincide with forecasted liquidity needs. • Opportunistically add Corporate, Negotiable CD and Commercial Paper exposure to the portfolio where the additional spread compensation versus like maturity Treasury notes is attractive. • Maintain a dedicated exposure to the Treasury sector on an ongoing basis to ensure ample liquidity in the portfolio for unexpected cash flow needs. 6 GO TO TABLE OF CONTENTS J ICHANDLER ASSET MANAGEMENT Compliance Issues Orange County Sanitation District Long Term Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy Category Standard Comment Treasury Issues 10%minimum;5 years max maturity Complies* U.S.Agencies 20%max per agency of the U.S.Government,which does not provide the full faith and credit of the U.S.government;5 years max maturity Complies "AA"rated or better by a NRSRO;30%maximum;5 years max maturity;U.S.dollar denominated senior unsecured unsubordinated obligations issued or Supranational Obligations unconditionally guaranteed by the International Bank for Reconstruction and Development("IBRD"),the International Finance Corporation("IFC")or the Complies Inter-American Development Bank("IADB") "A"rated or better long term debt by a NRSRO;30%maximum;5%max issuer;5 years max maturity;Issued by corporations organized and operating Corporate Medium Term Notes Complies within the U.S.or issued by depository institutions licensed by the U.S.or any state and operating within the U.S. Municipal Securities "A"rated or higher by a NRSRO; Taxable or tax-exempt municipal bonds issued by any of the 50 states;10%maximum;5%max issuer;5 years max Complies maturity Mortgage-Backed Securities/Collateralized"AA"rated or better b a NRSRO;20%maximum combined MBS CMO ABS;5%max issuer(except U.S.government or its agencies);5 ears max Mortgage Obligations/Asset-Backed y ( / / ) ( p g 8 )' y Complies* Securities maturity Negotiable Certificates of Deposit(NCD) "A"rated or better long term debt by a NRSRO;or"A-1"/highest short term rating by a NRSRO;30%maximum;5%max issuer;5 years max maturity Complies Certificates of Deposit 5%max issuer;5 years max maturity;Secured/collateralized Complies Banker's Acceptances A-1 rated or highest short term rating by a NRSRO;40%maximum;5%max issuer;180 days max maturity Complies A-1 rated or better by a NRSRO;"A"rated or better long term debt issuer by a NRSRO; Issuer is a corporation organized and operating in the U.S.with Commercial Paper Complies assets>$500 million;25%maximum;5%max issuer; 10%max of the outstanding commercial paper of any single issuer;270 days max maturity Mutual Fund&Money Market Mutual Highest rating or"AAA"rated by two NRSROs;SEC registered adviser with AUM>$500 million and experience>than 5 years;20%maximum in Mutual Fund Funds; 10%per one Mutual Fund;20%max per issuer on Money Market Mutual Funds;20%max of OCSD's surplus money Complies Repurchase Agreements 102%collateralization Complies Reverse Repurchase Agreements 5%maximum,90 days max maturity Complies No more than the lesser of 15%of the portfolio or the statutory maximum invested in LAIF;Not used by investment adviser;Investment of OCSD funds in Local Agency Investment Fund(LAIF) LAIF shall be subject to investigation and due diligence prior to investing Complies 15%maximum;Not used by investment adviser,Orange County Treasurer's Money Market Commingled Investment Pool; Investment of OCSD funds in OCCIP OCCIP shall be subject to investigation and due diligence prior to investing Complies Prohibited Mortgage Derivatives,which include interest-only payments(IOs)and principal-only payments(POs);Inverse floaters,and RE-REMICS(Real Estate Complies Mortgage Investment Conduits) Avg Duration Not to exceed 60 months-(80%to 120%of the benchmark) Complies Max Per Holding 5%max of the total debt outstanding of any issuer per individual holding Complies Max Per Issuer 5%max per issuer(except Supranationals,U.S.Government,Agencies,Mutual Fund) Complies Maximum Maturity 5 years maximum maturity Complies* *The portfolio has twenty(20)securities with maturities greater than 5 years including four(4)CMOs and sixteen(16)MBS.All securities were inherited from the previous manager and complied at time of purchase. Orange County Sanitation District Liquid Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy Category if Standard ' Comment Treasury Issues 10%minimum;1 year max maturity Complies U.S.Agencies 20%max per agency of the U.S.Government,which does not provide the full faith and credit of the U.S.government;1 year max maturity Complies "AA"rated or better by a NRSRO;30%maximum;1 year max maturity;U.S.dollar denominated senior unsecured unsubordinated obligations issued or unconditionally Supranational Obligations guaranteed by the International Bank for Reconstruction and Development("IBRD"),the International Finance Corporation("IFC")or the Inter-American Development Complies Bank("IADB") "A"rated or better long term debt by a NRSRO;30%maximum;5%max issuer;1 year max maturity;Issued by corporations organized and operating within the U.S.or Corporate Medium Term Notes Complies issued by depository institutions licensed by the U.S.or any state and operating within the U.S. Municipal Securities "A"rated or higher by a NRSRO; Taxable or tax-exempt municipal bonds issued by any of the 50 states;10%maximum;5%max issuer;1 year max maturity Complies Mortgage-Backed Securities/Collateralized Mortgage Obligations/Asset-Backed "AA"rated or better by a NRSRO;20%maximum(combined MBS/CMO/ABS);5%max issuer(except U.S.government or its agencies);1 year max maturity Complies Securities Negotiable Certificates of Deposit(NCD) "A"rated or better long term debt by a NRSRO;or"A-1"/highest short term rating by a NRSRO;30%maximum;5%max issuer;1 year max maturity Complies Certificates of Deposit 5%max issuer;1 year max maturity;Secured/collateralized Complies Banker's Acceptances A-1 rated or highest short term rating by a NRSRO;40%maximum;5%max issuer;180 days max maturity Complies A-1 rated or better by a NRSRO;"A"rated or better long term debt issuer by a NRSRO;Issuer is a corporation organized and operating in the U.S.with assets>$500 Commercial Paper million;25%maximum;5%max issuer;10%max of the outstanding commercial paper of any single issuer;270 days max maturity Complies Mutual Fund&Money Market Mutual Highest rating or"AAA"rated by two NRSROs;SEC registered adviser with AUM>$500 million and experience>than 5 years;20%maximum in Mutual Funds;10%per Fund one Mutual Fund;20%max per issuer on Money Market Mutual Funds;20%max of OCSD's surplus money Does no[con Repurchase Agreements 102%collateralization Complies Reverse Repurchase Agreements 5%maximum,90 days max maturity Complies No more than the lesser of 15%of the portfolio or the statutory maximum invested in LAIF;Not used by investment adviser;Investment of OCSD funds in LAIF shall be Local Agency Investment Fund(LAIF) Complies subject to investigation and due diligence prior to investing 15%maximum;Not used by investment adviser;Orange County Treasurer's Money Market Commingled Investment Pool; Investment of OCSD funds in OCCIP shall be OCCIP Complies subject to investigation and due diligence prior to investing Prohibited Mortgage Derivatives,which include interest-only payments(IOs)and principal-only payments(POs);Inverse floaters,and RE-REMICS(Real Estate Mortgage Investment Complies Conduits) Avg Duration Not to exceed 180 days Complies Max Per Holding 5%max of the total debt outstanding of any issuer per individual holding Complies Max Per Issuer 5%max per issuer(except Supranationals,U.S.Government,Agencies,Mutual Fund) Complies Maximum Maturity 1 year maximum maturity Complies *MMF concentration is at 22.8%there were several maturities during the month and a cash contribution on 3/11/20;funds will be reinvested. 7 GO TO TABLE OF CONTENTS J ICHANDLER ASSET MANAGEMENT OCSD Lehman Exposure Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy Category Standard Comment Treasury Issues 5 years maximum maturity complies Supranational "AA"or better by 1 of 3 NRSROs;30%maximum;5%max;5 years maturity; Includes only: IADB,IBRD,and IFC per CGC Complies U.S.Agencies 20%max issuer;5 years maximum maturity Complies U.S.Corporate(MTNs) "A"or better long term rating by 1 of 3 NRSROs;30%maximum;5%max issuer;5 years max maturity Complies* Municipal Securities "A"or higher by 1 of 3 NRSROS;10%maximum;5%max issuer,5 years maximum maturity Complies Asset Backed/CMOs/Mortgage-backed AA or better by 1 of 3 NRSROs;"A"or higher issuer rating by 1 of 3 NRSROs; 20%maximum;5%max issuer(excluding MBS/govt agency);5 years Complies max maturity Negotiable CDs "A"or better on its long term debt by 1 of 3 NRSROs; "Al/Pl"or highest short term ratings by 1 of 3 NRSROs;30%maximum;5%max issuer; 5 years Complies max maturity CDs/TDS 5%max issuer;5 years max maturity Complies Banker's Acceptances A-1,or equivalent highest short term rating by 1 of 3 NRSROS;40%maximum;5%max issuer;180 days max maturity Complies Commercial Paper A-1,or equivalent by 1 of 3 NRSROS; "A"or better by 1 of 3 NRSROs,if long term debt issued;25%maximum;5%max issuer;270 days max maturity Complies Money Market Fund Highest rating by 2 of 3 NRSROs;20%maximum;10%max issuer Complies Repurchase Agreements 102%collateralization Complies Reverse Repurchase Agreements 5%maximum,90 days max maturity Complies LAIF Not used by investment adviser Complies Avg Duration Not to exceed 60 months-(80%to 120%of the benchmark) Complies Maximum Maturity 5 years maximum maturity Complies *Account holds$2 million face value(cusip 525ESCOY6)and$600,000 face value(cusip 525ESCIB7)of defaulted Lehman Bros Holdings that were purchased by the previous manager. Complied at time of purchase. 8 GO TO TABLE OF CONTENTS CHANDLER ASSET MANAGEMENT Defaulted Bonds OCSD Lehman Exposure-Account#10284 CUSIP Security Description Par Value/Units Purchase Date CostValue Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield BookValue Mkt YTM Accrued Int. Gain/Loss Fitch Duration Common Stock l - SLHOPNTA4 Lehman Brothers,Inc Open Position Long Exposure 60,641.49 11/21/2014 57,942.64 0.42 25,621.03 48.41% NR/NR 0.00 0.000% Due 03/31/2020 0.00% 57,942.64 0.00% O.DO (32,221.61) NR 0.00 57842.64 25,621.03 48.41% NR/NR 0.00 TOTAL Common Stock 60,641.49 0.00% 57:842.64 0.00% 0.00 (32,221.61) NR 0.00 Corporate 525ESCIB7 Lehman Brothers Note-Defaulted 600,000.00 09/19/2008 319,005.35 1.05 6,300.00 11.90% NR/NR 0.82 0.000% Due 01/24/2021 0.00% 319,005.35 0.00% 0.00 (312,705.35) NR 0.00 525ESCOY6 Lehman Brothers Note-Defaulted 2,000,000.00 09/18/2008 1,027,939.99 1.05 21,000.00 39.68% NR/NR 29.58 0.000% Due 10/22/2049 0.00% 1,027,939.99 0.00% 0.00 (1,006,939.99) NR 0.00 1,346,945.34 27,300.00 51.59% NR/NR 22.94 TOTAL Corporate 2,600,000.00 0.OD% 1,346,945.34 0.00% 0.00(1,319,645.34) NR 0.00 1,4D4,787.98 52,921.03 100.00% NR/NR 11.84 TOTAL PORTFOLIO 2,660,641A9 0.00% 1,404,787.98 0.00% 0.00(1,351,866.95) NR 0.00 TOTAL MARKET VALUE PLUS ACCRUALS 52,921.03 9 GO TO TABLE OF CONTENTS CHANDLER ASSET MANAGEMENT Ratings Orange County Sanitation District Long Term March 31,2020 vs.December 31,2019 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 4 20.0% 10.0% 0.0% r AAA AA A <A NR ■3/31/2020 ■12/31/2019 03/31/20 9.5% 69.9% 15.2% 0.5% 4.9% 12/31/19 9.0% 68.2% 16.0% 0.5% 6.3% Source:S&P Ratings Orange County Sanitation District Liquid March 31,2020 vs.December 31,2019 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% AAA AA A <A NR ■3/31/2020 ■12/31/2019 03/31/20 32.1% 62.6% 5.3% 0.0% 0.0% 12/31/19 36.1% 57.3% 6.6% 0.0% 0.0% Source:S&P Ratings 10 GO TO TABLE OF CONTENTS J ICHANDLER ASSET MANAGEMENT OCSD Investment Program $700,000,000 Quarter End Portfolio Value a Liquid Operating Monies $600,000,000 ■ Long-Term Operating Monies $500,000,000 - $400,000,000 $300,000,000 $200,000,000 $100,000,000 $_ - 1A 11 1 1 1 fP O c,1 21y � . ffst ,1s r 1r 1S �S 1S 16 �E P O 16 L J01 10 1�1 P ✓ Jj �> o�>60, 0 -4a 1f0 1O 0 o c 0G a Pq� 1P 1> p 1 OPc 1 2!a, HISTORICAL YIELD CURVE 4.00% 3.00% ------------------------------------------------------------------------------------ n n 2.00% --------------------------- ■ 1.00% ---------- -------------- - ------------------------------------ �—FEB 2020 —•—Jan 2020 e FEB 2019 0.00% .P 6` >' S 10 30 11 GO TO TABLE OF CONTENTS Orange County Sanitation District Liquid Portfolio Summary Account#10282 As of March 31, 2020 cill PORTFOLIO CHARACTERISTICS ACCOUNT SUMMARY TOP ISSUERS Average Modified Duration 0.22 Beg.Values End Values Government of United States 67.1% as of 2/29/20 as of 3/31/20 First American Govt Obligation 22.8% Average Coupon 1.58% Market Value 105,897,417 113,205,567 Federal Home Loan Bank 2.6% Average Purchase YTM 1.33% Accrued Interest 212,739 286,690 ° Total Market Value 106,110,157 113,492,258 General Dynamics Corp 1.8/°Average Market YTM 0.45% Income Earned 155,039 132,151 Bank of America Corp 1.8% Average S&P/Moody Rating AA+/Aaa Cont/WD 7,000,000 Qualcomm Inc 1.8% Average Final Maturity 0.22 yrs Par 105,719,094 112,785,023 MUFG Bank Ltd/NY 1.2% Book Value 105,802,365 112,860,565 Bank of Montreal Chicago 0.9% Average Life 0.21 yrs Cost Value 105,809,330 112,907,685 Total 100.0% SECTOR ALLOCATION MATURITY DISTRIBUTION CREDIT QUALITY(S&P) ao% US Treasury 67.1% 67.1 AA(62.6%) Money Mkt Fd_ 22.8% 60% Corporate, 5.3% 40 3 2.9 Agency) 2.6% Comm Paper 11.2% 0-.25 .25-.5 .5-1 1-1.5 1.5-2 2-2.5 2.5-3 3+ Neg CD 0.9% Maturity(yrs) AAA(32.1%) PERFORMANCE REVIEW Annualized TOTAL RATE OF RETURN 1M 3M YTD 1YR 2YRS 3YRS 5YRS 10YRS 11/30/2014 Orange County Sanitation District Liquid 0.35% 0.72% 0.72% 2.53% 2.35% 1.94% 1.32% N/A 1.25% ICE BAML 3-Month US Treasury Bill Index 0.29% 0.57% 0.57% 2.25% 2.19% 1.83% 1.19% N/A 1.12% Chandler Asset Management-CONFIDENTIAL Page 1 Execution Time:4/1/2020 9:52:32 PM GO TO TABLE OF CONTENTS Orange County Sanitation District Long Term Portfolio Summary Account#10268 As of March 31, 2020 cill PORTFOLIO CHARACTERISTICS ACCOUNT SUMMARY TOP ISSUERS Average Modified Duration 2.47 Beg.Values End Values Government of United States 32.4% as of 2/29/20 as of 3/31/20 Federal Home Loan Bank 10.5% Average Coupon 2.21% Market Value 577,890,901 587,824,746 Accrued Interest 2639402 2513864 Federal National Mortgage Assoc 10.4% , , , , Average Purchase YTM 2.22% Federal Home Loan Mortgage Corp 6.3% Total Market Value 580,530,303 590,338,610 Average Market YTM 0.89% Income Earned 1,112,919 1,062,750 Inter-American Dev Bank 3.0% Average S&P/Moody Rating AA/Aa1 Cont/WD 6,041,923 Honda ABS 2.2% Average Final Maturity 2.74 yrs par 560,778,584 567,322,759 First American Govt Obligation 1.8% Book Value 560,914,969 568,145,181 John Deere ABS 1.8% Average Life 2.57 yrs Cost Value 560,042,543 567,269,868 Total 68.4% SECTOR ALLOCATION MATURITY DISTRIBUTION CREDIT QUALITY(S&P) US Treasury 32.4% 25% 23.7% Agency 27.8% 20% 21.4% 20.6% AA(69.9%) Corporate 23.8% 15.6% ABS- 6.1% 15% 11.2°a Supra, 5.7% B(0.0%) 10%Money Mkt Fd, 1.$% 6.4% BBB(0.5%) Comm Paper, 1.7% 5% - NR(4.9%) Muni Bonds 10.3% 0.9% 0.3 MBS 10.2% % AAA(9.5%) 0-.25 .25-.5 .5-1 1-2 2-3 3-4 •1-5 5. CMOI 0.2% Maturity(yrs) A(15.2%) PERFORMANCE REVIEW Annualized TOTAL RATE OF RETURN 1M 3M YTD 1YR 2YRS 3YRS SYRS 10YRS 11/30/2014 Orange County Sanitation District Long Term 0.64% 2.51% 2.51% 5.68% 4.53% 3.10% 2.26% N/A 2.23% ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index 0.99% 2.97% 2.97% 6.20% 4.79% 3.20% 2.29% N/A 2.27% ICE BAML US 1-5 Yr US Corp/Govt Rated AAA-BBB Indx 0.04% 1.95% 1.95% 5.41% 4.48% 3.04% 2.26% N/A 2.24% Chandler Asset Manaeement-CONFIDENTIAL Paee 1 Execution Time:4/1/2020 9:43:36 PM GO TO TABLE OF CONTENTS Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund March 31, 2020 Par Value Book Value Market Value Rate Yield Balance March 1, 2020 $63,099,265 $63,099,265 $63,099,265 1.79 1.79 Deposits: 3/12/2020 11,800,000 11,800,000 11,800,000 1.79 1.79 Total Deposits 11,800,000 11,800,000 11,800,000 1.79 1.79 Quarterly Interest Distribution - - - 1.79 1.79 Withdrawals: 3/4/2020 (2,200,000) (2,200,000) (2,200,000) 1.79 1.79 3/10/2020 (2,700,000) (2,700,000) (2,700,000) 1.79 1.79 3/18/2020 (4,200,000) (4,200,000) (4,200,000) 1.79 1.79 3/24/2020 (2,700,000) (2,700,000) (2,700,000) 1.79 1.79 3/25/2020 (2,300,000) (2,300,000) (2,300,000) 1.79 1.79 Total Withdrawals (14,100,000) (14,100,000) (14,100,000) 1.79 1.79 Balance March 31, 2020 $60,799,265 $60,799,265 $60,799,265 1.79 1.79 GO TO TABLE OF CONTENTS U.S. Bank Asset Summary - Liquid As of 03/31/2020 Industry Name Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss Cash Equivalents COMMERCIAL PAPER 1,365,000.0000 1,353,689.46 1,363,948.95 1.20 10,259.49 FIRST AMERICAN SHORT TERM FDS 25,920,022.9200 25,920,022.92 25,920,022.92 22.89 - U. S. GOVERNMENT 7,500,000.0000 7,489,487.92 7,499,815.00 6.62 10,327.08 US AGY-SHORT TERM CASH EQUIV 3,000,000.0000 2,988,094.17 2,999,820.00 2.65 11,725.83 Cash Equivalents Total 37,785,022.9200 37,751,294.47 37,783,606.87 33.37 32,312.40 Fixed Income FINANCE 2,000,000.0000 2,001,960.00 1,999,680.00 1.77 (2,280.00) INDUSTRIAL 2,000,000.0000 2,011,340.00 2,001,380.00 1.77 (9,960.00) INFORMATION TECHNOLOGY 2,000,000.0000 2,002,700.00 1,999,740.00 1.77 (2,960.00) SHORT TERM FUNDS 1,000,000.0000 1,000,000.00 1,000,990.00 0.88 990.00 U. S. GOVERNMENT 68,000,000.0000 68,140,390.64 68,427,840.00 60.44 287,449.36 Fixed Income Total 75,000,000.0000 75,156,390.64 75,429,630.00 66.63 273,239.36 Grand Total 112,785,022.9200 112,907,685.11 113,213,236.87 100.00 305,551.76 1of1 GO TO TABLE OF CONTENTS U.S. Bank Asset Summary - Long-Term As of 03/31/2020 Industry Name Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss Cash Equivalents COMMERCIAL PAPER 10,000,000.0000 9,917,138.89 9,992,300.00 1.70 75,161.11 FIRST AMERICAN SHORT TERM FDS 10,358,060.7800 10,358,060.78 10,358,060.78 1.76 - Cash Equivalents Total 20,358,060.7800 20,275,199.67 20,350,360.78 3.46 75,161.11 Fixed Income CONSUMER DISCRETIONARY 4,064,000.0000 4,055,701.78 4,089,201.33 0.70 33,499.55 CONSUMER STAPLES 3,880,000.0000 3,878,991.40 4,114,934.00 0.70 235,942.60 ENERGY 9,000,000.0000 8,942,542.40 9,179,050.00 1.56 236,507.60 FINANCE 68,264,000.0000 67,445,450.21 67,082,717.26 11.41 (362,732.95) FOREIGN CORPORATE 19,000,000.0000 19,106,195.00 19,300,660.00 3.28 194,465.00 HEALTH CARE 2,000,000.0000 1,948,640.00 2,013,840.00 0.34 65,200.00 INDUSTRIAL 4,410,000.0000 4,388,275.50 4,502,200.40 0.77 113,924.90 INFORMATION TECHNOLOGY 28,715,000.0000 28,626,584.95 29,414,785.70 5.00 788,200.75 INVESTMENT GRADE-MUNI REVENUE 1,800,000.0000 1,800,000.00 1,841,804.00 0.31 41,804.00 MTG RELATED SECURITY 38,088,334.8100 38,135,683.79 38,388,907.25 6.53 253,223.46 SUPRANATIONAL 33,005,000.0000 32,742,600.25 33,669,959.30 5.73 927,359.05 U. S. GOVERNMENT 171,005,739.0400 169,504,693.83 179,476,791.93 30.53 9,972,098.10 U.S. GOVERNMENT TIPS 11,297,624.0000 11,152,904.09 11,321,687.94 1.93 168,783.85 US AGY- LONG TERM ISSUES 155,035,000.0000 156,581,759.15 163,070,028.95 27.74 6,488,269.80 Fixed Income Total 549,564,697.8500 548,310,022.35 567,466,568.06 96.54 19,156,545.71 Grand Total 569,922,758.6300 568,585,222.02 587,816,928.84 100.00 19,231,706.82 1 of 1 GO TO TABLE OF CONTENTS 16. Aw BNY MELLON Statement Period 03/01/2020 Through 03/31/2020 Account 300282 Base Currency=USD OCSD LIBERTY MUTUAL Statement of Assets Held by Asset Classification Accrued Estimated Market Shares/Par Value Asset Description Market Price Market Value Cost Average Cost Income Income Yield CASH AND SHORT TERM 3,604,000.000 UNITED STATES TREASURY BILL 99.84900 3,598,557.96 3,599,444.94 99.87361 0.00 0.00 0.00% CUSIP:91279621`5 MATURITY DATE:03/25/2021 RATE:0.000% CASH BALANCE 2,486.05 2,486.05 0.00000 0.00 0.00 0.00% Total CASH AND SHORT TERM 3,601,044.01 3,601,930.99 0.00 0.00 0.00% ACCOUNT TOTALS 3,601,044.01 3,601,930.99 0.00 0.00 0.00% Total Market Value Plus Total Accrued Income 3,601,044.01 Statement of Transactions by Transaction Date Realized Transaction Date Transaction Description Income Principal Cost Gains/Losses 03/01/20 ACCOUNT OPENING PERIOD BALANCE 1,203.97- 3,799.48 3,599,335.48 03/26/20 Purchase 0.00 3,599,444.94- 3,599,444.94 0.00 UNITED STATES TREASURY BILL RATE:0.000%MATURITY:03/25/21 TRADE DATE 03/26/20 SET/DATE 03/26/20 CUSIP 9127962F5 3,604,000.000 SHARES m 03/26/20 Redemption 81,664.52 3,599,335.48 3,599,335.48- 81,664.52 UNITED STATES TREASURY BILL w RATE:0.000%MATURITY:03/26/20 TRADE DATE 03/26/20 SET/DATE 03/26/20 CUSIP 912796SH3 3,681,000.000 SHARES a 03/26/20 Cash Debit 81,664.52- 0.00 0.00 0.00 BNF:ORANGE COUNTY SANITATION DIST GEN A d 0 DETAIL:WIRE EXCESS REQUEST DTD 3.2.20 A/C WITH:BANC OF CALIFORNIA NA o 92612,CA,US 0 03/26/20 ACCOUNT CLOSING DAILY BALANCE 1,203.97- 3,690.02 3,599,444.94 81,664.52 4i 03/31/20 ACCOUNT CLOSING PERIOD BALANCE 1,203.97- 3,690.02 3,599,444.94 81,664.52 J W GO TO TABLE OF CONTENTS U.S. Bank Investment Listing -Yield As of 03/31/2020 Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value Cash Equivalents 313384WGO F H L B DISC NTS 5/01/20 0.0000% 3,000,000.0000 N/A N/A 99.99 2,988,094.17 2,999,820.00 Cash Equivalents 31846V567 FIRST AM GOVT OB FD CL Z 0.2115% 25,920,022.9200 1.00 25,920,022.92 25,920,022.92 Cash Equivalents 31846V567 FIRST AM GOVT OB FD CL Z 0.2115% 10,358,060.7800 1.00 10,358,060.78 10,358,060.78 Cash Equivalents 62479LDQ5 MUFG BANK LTD NY BRAN C P 4/24/20 0.0000% 1,365,000.0000 99.92 1,353,689.46 1,363,948.95 Cash Equivalents 62479LDQ5 MUFG BANK LTD NY BRAN C P 4/24/20 0.0000% 10,000,000.0000 99.92 9,917,138.89 9,992,300.00 Cash Equivalents 9127962B4 U S TREASURY BILL 4/14/20 0.0263% 3,500,000.0000 N/A N/A 100.00 3,496,221.94 3,499,895.00 Cash Equivalents 912796TQ2 U S TREASURY BILL 4/09/20 0.0550% 4,000,000.0000 N/A N/A 100.00 3,993,265.98 3,999,920.00 Fixed Income 00440EAP2 ACE INA HOLDINGS 2.700% 3/13/23 2.6389% 2,000,000.0000 A3 A 102.32 1,937,000.00 2,046,300.00 Fixed Income 00440EAUl ACE INA HOLDINGS 2.875% 11/03/22 2.8323% 4,169,000.0000 A3 A 101.51 4,232,453.17 4,231,910.21 Fixed Income 02665WCJ8 AMERICAN HONDA MTN 3.450% 7/14/23 3.4067% 845,000.0000 A3 A 101.27 843,538.15 855,731.50 Fixed Income 02665WCQ2 AMERICAN HONDA MTN 3.625% 10/10/23 3.5678% 2,000,000.0000 A3 A 101.60 1,998,320.00 2,032,060.00 Fixed Income 02665W CZ2 AMERICAN HONDA MTN 2.400% 6/27/24 2.4351% 1,219,000.0000 A3 A 98.56 1,213,843.63 1,201,409.83 Fixed Income 03215PFN4 AMRESCO 2.07531% 6/25/29 2.5908% 119,021.6400 N/A A+ 80.10 89,377.81 95,339.90 Fixed Income 037833BS8 APPLE INC 2.250% 2/23/21 2.2275% 4,000,000.0000 AA1 AA+ 101.01 4,050,840.00 4,040,320.00 Fixed Income 037833CU2 APPLE INC 2.850% 5/11/24 2.6822% 3,000,000.0000 AA1 AA+ 106.26 3,017,760.00 3,187,740.00 Fixed Income 06051GFN4 BANK OF AMERICA MTN 2.250% 4/21/20 2.2504% 2,000,000.0000 WR N/R 99.98 2,001,960.00 1,999,680.00 Fixed Income 06051GHF9 BANK OF AMERICA 3.550% 3/05/24 3.4131% 6,675,000.0000 A2 A- 104.01 6,770,625.75 6,942,734.25 Fixed Income 06367BED7 BANK OF MONTREAL C D 1.890% 5/21/20 1.8881% 1,000,000.0000 100.10 1,000,000.00 1,000,990.00 Fixed Income 06406RAA5 BANK OF NY MTN 2.600% 2/07/22 2.5785% 2,500,000.0000 Al A 100.83 2,504,475.00 2,520,800.00 Fixed Income 06406RAE7 BANK OF NY MTN 2.950% 1/29/23 2.8855% 2,500,000.0000 Al A 102.24 2,489,555.00 2,555,875.00 Fixed Income 084664BT7 BERKSHIRE HATHAWAY 3.000% 5/15/22 2.8881% 4,000,000.0000 AA2 AA 103.87 4,131,120.00 4,154,920.00 Fixed Income 084670BR8 BERKSHIRE HATHAWAY 2.750% 3/15/23 2.6578% 2,500,000.0000 AA2 AA 103.47 2,440,950.00 2,586,750.00 Fixed Income 09247XAL5 BLACKROCK INC 3.500% 3/18/24 3.2546% 1,000,000.0000 AA3 AA- 107.54 1,036,330.00 1,075,400.00 Fixed Income 166764AH3 CHEVRON CORP 3.191% 6/24/23 3.0526% 3,500,000.0000 AA2 AA 104.54 3,441,095.00 3,658,725.00 Fixed Income 166764BG4 CHEVRON CORP 2.100% 5/16/21 2.0993% 2,500,000.0000 AA2 AA 100.03 2,485,350.00 2,500,825.00 Fixed Income 24422EUM9 JOHN DEERE MTN 3.650% 10/12/23 3.4619% 1,250,000.0000 A2 A 105.43 1,250,237.50 1,317,900.00 Fixed Income 30231GAV4 EXXON MOBIL 2.222% 3/01/21 2.2077% 3,000,000.0000 AA1 AA 100.65 3,016,097.40 3,019,500.00 Fixed Income 3130AOF70 F H L B DEB 3.375% 12/08/23 3.0366% 10,000,000.0000 AAA AA+ 111.14 10,269,043.75 11,114,300.00 Fixed Income 3130A1XJ2 F H L B 2.875% 6/14/24 2.6026% 11,110,000.0000 AAA AA+ 110.47 11,589,031.30 12,272,883.70 Fixed Income 3130A2UW4 F H L B DEB 2.875% 9/13/24 2.6158% 2,500,000.0000 AAA AA+ 109.91 2,635,950.00 2,747,725.00 Fixed Income 3130A4CH3 F H L B DEB 2.375% 3/14/25 2.1711% 5,225,000.0000 AAA AA+ 109.39 5,526,848.25 5,715,836.50 Fixed Income 3130A7CV5 F H L B DEB 1.375% 2/18/21 1.3627% 5,365,000.0000 AAA AA+ 100.90 5,343,325.40 5,413,499.60 Fixed Income 313379RB7 F H L B DEB 1.875% 6/11/21 1.8416% 4,000,000.0000 AAA AA+ 101.81 4,030,160.00 4,072,520.00 Fixed Income 313383HU8 F H L B DEB 1.750% 6/12/20 1.7452% 4,000,000.0000 AAA AA+ 100.28 4,007,160.00 4,011,040.00 Fixed Income 313383QR5 F H L B DEB 3.250% 6/09/23 2.9909% 5,000,000.0000 AAA AA+ 108.66 5,083,350.00 5,433,150.00 Fixed Income 313383YJ4 F H L B DEB 3.375% 9/08/23 3.0652% 10,000,000.0000 AAA AA+ 110.11 10,211,831.00 11,010,600.00 Fixed Income 3133EKWV4 F F C B DEB 1.850% 7/26/24 1.7582% 5,000,000.0000 AAA AA+ 105.22 5,048,280.00 5,261,100.00 1 of 5 GO TO TABLE OF CONTENTS U.S. Bank Investment Listing -Yield As of 03/31/2020 Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value Fixed Income 3133TCE95 F H L M C MLTCL MTG 4.025% 8/15/32 4.0189% 5,932.6500 N/A N/A 100.15 5,938.86 5,941.61 Fixed Income 31348SWZ3 F H L M C#786064 3.845% 1/01/28 3.8129% 1,728.7700 N/A N/A 100.84 1,686.68 1,743.33 Fixed Income 3135GOD75 F N M A DEB 1.500% 6/22/20 1.4958% 5,000,000.0000 AAA AA+ 100.28 4,955,650.00 5,014,050.00 Fixed Income 3135GOF73 F N M A 1.500% 11/30/20 1.4900% 7,500,000.0000 AAA AA+ 100.67 7,370,726.00 7,550,550.00 Fixed Income 3135GOJ20 F N M A DEB 1.375% 2/26/21 1.3621% 10,000,000.0000 AAA AA+ 100.95 10,040,950.00 10,095,000.00 Fixed Income 3135GOS38 F N M A 2.000% 1/05/22 1.9443% 3,000,000.0000 AAA AA+ 102.87 2,994,570.00 3,085,950.00 Fixed Income 3135GOT45 F N M A 1.875% 4/05/22 1.8207% 5,000,000.0000 AAA AA+ 102.98 4,972,500.00 5,149,000.00 Fixed Income 3135GOT94 F N M A DEB 2.375% 1/19/23 2.2535% 5,000,000.0000 AAA AA+ 105.39 4,910,990.00 5,269,500.00 Fixed Income 3135GOU35 F N M A 2.750% 6/22/21 2.6731% 7,500,000.0000 AAA AA+ 102.88 7,515,225.00 7,715,775.00 Fixed Income 3135GOV34 F N M A 2.500% 2/05/24 2.3241% 5,000,000.0000 AAA AA+ 107.57 4,980,850.00 5,378,350.00 Fixed Income 3135GOX24 F N M A 1.625% 1/07/25 1.5481% 10,000,000.0000 AAA AA+ 104.97 10,157,936.40 10,496,900.00 Fixed Income 31371 NUC7 F N M A#257179 4.500% 4/01/28 4.1869% 12,976.8300 N/A N/A 107.48 13,724.28 13,947.24 Fixed Income 31376KT22 F N M A#357969 5.000% 9/01/35 4.4919% 87,807.6400 N/A N/A 111.31 94,393.20 97,740.44 Fixed Income 3137EAEK1 F H L M C M T N 1.875% 11/17/20 1.8557% 5,000,000.0000 AAA AA+ 101.04 4,986,225.00 5,052,100.00 Fixed Income 3137EAEL9 F H L M C M T N 2.375% 2/16/21 2.3359% 7,500,000.0000 AAA AA+ 101.67 7,484,475.00 7,625,550.00 Fixed Income 3137EAEN5 F H L M C 2.750% 6/19/23 2.5669% 10,000,000.0000 AAA AA+ 107.13 9,956,500.00 10,713,200.00 Fixed Income 3137EAEPO F H L M C 1.500% 2/12/25 1.4375% 12,335,000.0000 AAA N/A 104.35 12,510,182.05 12,871,449.15 Fixed Income 31381 PDA3 F N M A#466397 3.400% 11/01/20 3.3961% 332,913.3400 N/A N/A 100.12 325,708.91 333,296.19 Fixed Income 3138EG6F6 F N M A#AL0869 4.500% 6/01/29 4.1749% 8,964.5700 N/A N/A 107.79 9,480.93 9,662.73 Fixed Income 31394JY35 F H L M C MLTCL MTG 6.500% 9/25/43 5.6184% 633,348.6500 N/A N/A 115.69 717,267.34 732,727.39 Fixed Income 31397QREO F N M A GTD REMIC 2.472% 2/25/41 1.6311% 166,890.2100 N/A N/A 99.73 166,838.06 166,431.26 Fixed Income 31403DJZ3 F N M A#745580 5.000% 6/01/36 4.4959% 83,766.3200 N/A N/A 111.21 90,048.79 93,159.04 Fixed Income 31403GXF4 F N M A#748678 5.000% 10/01/33 4.5552% 1,726.6200 N/A N/A 109.76 1,856.12 1,895.21 Fixed Income 31406PQY8 F N M A#815971 5.000% 3/01/35 4.5088% 131,227.7700 N/A N/A 110.90 141,069.87 145,525.04 Fixed Income 31406XWT5 F N M A#823358 3.674% 2/01/35 3.6431% 96,005.3200 N/A N/A 100.85 95,255.27 96,818.49 Fixed Income 31407BXH7 F N M A#826080 5.000% 7/01/35 4.4993% 17,200.2000 N/A N/A 111.13 18,490.21 19,114.24 Fixed Income 31410F4V4 F N M A#888336 5.000% 7/01/36 4.4953% 164,301.4800 N/A N/A 111.23 176,624.10 182,749.25 Fixed Income 31417YAY3 F N M A#MA0022 4.500% 4/01/29 4.1758% 14,568.0700 N/A N/A 107.76 15,407.17 15,698.99 Fixed Income 36225CAZ9 G N M A 11#080023 3.125% 12/20/26 3.0349% 13,965.0000 N/A N/A 102.97 14,195.71 14,379.76 Fixed Income 36225CC20 G N M A 11#080088 3.875% 6/20/27 3.8441% 11,624.2500 N/A N/A 100.80 11,878.54 11,717.71 Fixed Income 36225CN28 G N M A 11#080408 3.875% 5/20/30 3.7491% 44,785.1700 N/A N/A 103.36 44,330.33 46,289.06 Fixed Income 36225CNM4 G N M A 11#080395 3.875% 4/20/30 3.7490% 5,739.0400 N/A N/A 103.36 5,687.00 5,931.93 Fixed Income 36225DCB8 G N M A 11#080965 3.250% 7/20/34 3.1404% 40,310.8100 N/A N/A 103.49 40,285.63 41,717.25 Fixed Income 369550BA5 GENERAL DYNAMICS 2.875% 5/11/20 2.8730% 2,000,000.0000 A2 A 100.07 2,011,340.00 2,001,380.00 Fixed Income 369550BE7 GENERAL DYNAMICS 3.000% 5/11/21 2.9771% 3,160,000.0000 A2 A 100.77 3,138,038.00 3,184,300.40 Fixed Income 404280BF5 HSBC HOLDINGS PLC 2.650% 1/05/22 2.6537% 4,500,000.0000 A2 A 99.86 4,429,980.00 4,493,790.00 Fixed Income 43814PAC4 HONDAAUTO 1.790% 9/20/21 1.7918% 1,134,368.6000 N/A AAA 99.90 1,116,378.22 1,133,211.54 2 of 5 GO TO TABLE OF CONTENTS U.S. Bank Investment Listing -Yield As of 03/31/2020 Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value Fixed Income 43814UAG4 HONDA AUTO 3.010% 5/18/22 2.9925% 1,620,960.4700 N/A AAA 100.59 1,620,925.13 1,630,459.30 Fixed Income 43814WAB1 HONDA AUTO 2.750% 9/20/21 2.7566% 2,732,580.8000 N/A AAA 99.76 2,732,404.82 2,725,995.28 Fixed Income 43815HAC1 HONDA AUTO 2.950% 8/22/22 2.9231% 3,918,242.9900 AAA N/A 100.92 3,917,705.41 3,954,290.83 Fixed Income 43815NABO HONDA AUTO 1.900% 4/15/22 1.9036% 3,530,000.0000 AAA AAA 99.81 3,529,752.90 3,523,328.30 Fixed Income 44932HAH6 IBM CREDIT CORP 3.000% 2/06/23 2.8993% 5,670,000.0000 A2 A 103.48 5,603,264.40 5,867,032.50 Fixed Income 458140BD1 INTEL CORP 2.875% 5/11/24 2.7405% 5,000,000.0000 Al A+ 104.91 5,025,900.00 5,245,300.00 Fixed Income 4581XOCS5 INTER AMER BK M T N 1.875% 3/15/21 1.8510% 5,000,000.0000 AAA AAA 101.30 5,059,610.00 5,064,950.00 Fixed Income 4581XOCW6 INTER AMER DEV BK 2.125% 1/18/22 2.0663% 3,000,000.0000 AAA N/A 102.84 2,996,310.00 3,085,170.00 Fixed Income 4581XOCX4 INTER AMER DEV BK 1.625% 5/12/20 1.6225% 3,035,000.0000 AAA AAA 100.16 3,027,807.05 3,039,734.60 Fixed Income 4581XOCZ9 INTER AMER DEV BK 1.750% 9/14/22 1.6991% 6,500,000.0000 AAA AAA 102.99 6,249,655.00 6,694,545.00 Fixed Income 459058FY4 INTL BK 2.000% 1/26/22 1.9500% 10,000,000.0000 AAA N/A 102.56 10,006,350.00 10,256,300.00 Fixed Income 45950KCJ7 INTL FINANCE CORP 1.125% 7/20/21 1.1171% 2,500,000.0000 AAA AAA 100.71 2,441,600.00 2,517,650.00 Fixed Income 45950KCMO INTL BK M T N 2.250% 1/25/21 2.2189% 2,970,000.0000 AAA AAA 101.40 2,961,268.20 3,011,609.70 Fixed Income 46625HRL6 JP MORGAN CHASE CO 2.700% 5/18/23 2.6308% 5,000,000.0000 A2 A- 102.63 4,821,910.00 5,131,500.00 Fixed Income 46647PAUO JPMORGAN CHASE CO 3.797% 7/23/24 3.6276% 2,500,000.0000 A2 A- 104.67 2,632,175.00 2,616,725.00 Fixed Income 477870AB5 JOHN DEERE OWNER 2.280% 5/16/22 2.2768% 2,782,931.0600 AAA N/A 100.14 2,782,920.48 2,786,827.16 Fixed Income 47788BAD6 JOHN DEERE OWNER 1.820% 10/15/21 1.8267% 183,876.6300 AAA N/A 99.63 183,863.16 183,203.64 Fixed Income 47788CAC6 JOHN DEERE OWNER 2.660% 4/18/22 2.6796% 831,754.2700 AAA N/A 99.27 831,694.47 825,682.46 Fixed Income 47788EAC2 JOHN DEERE OWNER 3.080% 11/15/22 3.0609% 4,630,000.0000 AAA N/A 100.62 4,629,649.05 4,658,844.90 Fixed Income 47789JAB2 JOHN DEERE OWNER 2.850% 12/15/21 2.8425% 1,879,859.7500 AAA N/A 100.27 1,879,774.03 1,884,841.38 Fixed Income 525ESCOY6 LEHMAN BRTH HLD ESC 0.0000% 2,000,000.0000 - 1,027,939.99 - Fixed Income 525ESCIB7 LEHMAN BRTH MTN ES 0.00001% 1/24/13 0.0010% 600,000.0000 N/A N/A 1.05 319,005.35 6,300.00 Fixed Income 58770FAC6 MERCEDES BENZ AUTO 1.840% 12/15/22 1.8388% 2,050,000.0000 AAA AAA 100.07 2,049,729.81 2,051,332.50 Fixed Income 58933YAF2 MERCK CO INC 2.800% 5/18/23 2.7808% 2,000,000.0000 Al AA- 100.69 1,948,640.00 2,013,840.00 Fixed Income 594918BP8 MICROSOFT CORP 1.550% 8/08/21 1.5393% 3,045,000.0000 AAA AAA 100.70 3,041,385.15 3,066,193.20 Fixed Income 61747WAL3 MORGAN STANLEY 5.500% 7/28/21 5.2971% 2,800,000.0000 A3 BBB+ 103.83 3,200,848.00 2,907,240.00 Fixed Income 64971 M5E8 NEW YORK CITY NY 4.075% 11/01/20 4.0063% 1,400,000.0000 AA1 AAA 101.71 1,400,000.00 1,423,996.00 Fixed Income 65478GAD2 NISSAN AUTO 1.750% 10/15/21 1.7489% 1,102,968.6800 AAA N/A 100.07 1,085,864.05 1,103,685.61 Fixed Income 65479GAD1 NISSAN AUTO 3.060% 3/15/23 3.0126% 3,560,000.0000 AAA AAA 101.57 3,559,884.66 3,615,963.20 Fixed Income 65479JAD5 NISSAN AUTO 1.930% 7/15/24 1.9112% 4,185,000.0000 AAA AAA 100.99 4,184,779.03 4,226,264.10 Fixed Income 68389XBKO ORACLE CORP 1.900% 9/15/21 1.8944% 3,000,000.0000 A3 A+ 100.30 2,892,240.00 3,008,850.00 Fixed Income 69353RFB9 PNC BANK NA MTN 2.625% 2/17/22 2.5984% 1,000,000.0000 A2 A 101.02 974,940.00 1,010,220.00 Fixed Income 69353RFL7 PNC BANK NA MTN 3.500% 6/08/23 3.3825% 5,000,000.0000 A2 A 103.47 4,993,318.05 5,173,700.00 Fixed Income 747525AD5 QUALCOMM INC 2.250% 5/20/20 2.2503% 2,000,000.0000 A2 A- 99.99 2,002,700.00 1,999,740.00 Fixed Income 747525AD5 QUALCOMM INC 2.250% 5/20/20 2.2503% 5,000,000.0000 A2 A- 99.99 4,995,195.40 4,999,350.00 Fixed Income 78013XZU5 ROYAL BANK OF MTN 2.550% 7/16/24 2.5077% 6,500,000.0000 A2 A 101.69 6,581,445.00 6,609,590.00 Fixed Income 78445JAA5 S L M A 3.33073% 4/25/23 3.3737% 12,192.9300 BAA3 B 98.73 12,143.46 12,037.47 3 of 5 GO TO TABLE OF CONTENTS U.S. Bank Investment Listing -Yield As of 03/31/2020 Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value Fixed Income 808513AT2 CHARLES SCHWAB CORP 2.650% 1/25/23 2.6122% 6,750,000.0000 A2 A 101.45 6,729,480.00 6,847,740.00 Fixed Income 83162CLJO S B A GTD DEV PART 6.340% 3/01/21 6.2660% 5,878.0300 N/A N/A 101.18 5,878.03 5,947.45 Fixed Income 89114QC48 TORONTO MTN 3.500% 7/19/23 3.3981% 5,000,000.0000 AA1 AA- 103.00 5,094,200.00 5,150,000.00 Fixed Income 89114QCA4 TORONTO DOMINION MTN 2.650% 6/12/24 2.6089% 3,000,000.0000 AA3 A 101.58 3,000,570.00 3,047,280.00 Fixed Income 89239AAB9 TOYOTA AUTO 2.830% 10/15/21 2.8264% 1,938,655.2900 AAA AAA 100.13 1,938,479.27 1,941,098.00 Fixed Income 90331HNL3 US BANK NA MTN 2.850% 1/23/23 2.7840% 2,000,000.0000 Al AA- 102.37 1,992,640.00 2,047,440.00 Fixed Income 90331HPL1 US BANK NA MTN 2.050% 1/21/25 2.0652% 7,270,000.0000 Al AA- 99.26 7,254,514.90 7,216,492.80 Fixed Income 9128283,17 U S TREASURY NT 2.125% 11/30/24 1.9657% 16,500,000.0000 AAA N/A 108.10 16,783,886.72 17,836,830.00 Fixed Income 9128284D9 U S TREASURY NT 2.500% 3/31/23 2.3453% 10,000,000.0000 AAA N/A 106.60 9,887,265.63 10,659,800.00 Fixed Income 9128284Y3 U S TREASURY NT 2.625% 8/31/20 2.5980% 7,000,000.0000 AAA N/A 101.04 7,042,382.81 7,072,730.00 Fixed Income 912828,176 U S TREASURY NT 1.750% 3/31/22 1.6980% 5,000,000.0000 AAA N/A 103.06 4,976,383.94 5,153,150.00 Fixed Income 9128281-24 U S TREASURY NT 1.875% 8/31/22 1.8043% 6,000,000.0000 AAA N/A 103.92 5,987,832.60 6,235,080.00 Fixed Income 9128281-32 U S TREASURY NT 1.375% 8/31/20 1.3677% 15,000,000.0000 AAA N/A 100.53 14,977,929.69 15,079,650.00 Fixed Income 9128281-57 U S TREASURY NT 1.750% 9/30/22 1.6872% 16,000,000.0000 AAA N/A 103.72 15,829,492.20 16,595,680.00 Fixed Income 9128281-99 U S TREASURY NT 1.375% 10/31/20 1.3652% 7,000,000.0000 AAA N/A 100.72 6,888,738.85 7,050,330.00 Fixed Income 912828M80 U S TREASURY NT 2.000% 11/30/22 1.9127% 8,000,000.0000 AAA N/A 104.57 7,907,500.00 8,365,280.00 Fixed Income 912828N30 U S TREASURY NT 2.125% 12/31/22 2.0225% 5,000,000.0000 AAA N/A 105.07 4,926,562.50 5,253,500.00 Fixed Income 912828N89 U S TREASURY NT 1.375% 1/31/21 1.3601% 6,000,000.0000 AAA N/A 101.09 5,895,840.41 6,065,640.00 Fixed Income 912828R69 U S TREASURY NT 1.625% 5/31/23 1.5600% 5,000,000.0000 AAA N/A 104.16 4,757,226.56 5,208,200.00 Fixed Income 912828T34 U S TREASURY NT 1.125% 9/30/21 1.1097% 7,000,000.0000 AAA N/A 101.38 6,757,914.08 7,096,250.00 Fixed Income 912828T67 U S TREASURY NT 1.250% 10/31/21 1.2294% 6,000,000.0000 AAA N/A 101.67 5,813,691.98 6,100,320.00 Fixed Income 912828U57 U S TREASURY NT 2.125% 11/30/23 1.9936% 15,000,000.0000 AAA N/A 106.59 14,723,632.81 15,988,500.00 Fixed Income 912828U65 U S TREASURY NT 1.750% 11/30/21 1.7061% 7,000,000.0000 AAA N/A 102.57 6,900,492.20 7,180,180.00 Fixed Income 912828V72 U S TREASURY NT 1.875% 1/31/22 1.8198% 3,000,000.0000 AAA N/A 103.04 3,004,814.74 3,091,050.00 Fixed Income 912828V80 U S TREASURY NT 2.250% 1/31/24 2.0963% 7,500,000.0000 AAA 107.33 7,491,503.91 8,049,900.00 Fixed Income 912828VJ6 U S TREASURY NT 1.875% 6/30/20 1.8668% 15,000,000.0000 AAA N/A 100.44 15,022,265.63 15,066,150.00 Fixed Income 912828VV9 U S TREASURY NT 2.125% 8/31/20 2.1075% 15,000,000.0000 AAA N/A 100.83 15,049,804.69 15,124,800.00 Fixed Income 912828W48 U S TREASURY NT 2.125% 2/29/24 1.9867% 10,000,000.0000 AAA N/A 106.96 9,911,718.75 10,696,100.00 Fixed Income 912828WJ5 U S TREASURY NT 2.500% 5/15/24 2.2977% 7,000,000.0000 AAA N/A 108.81 7,193,046.88 7,616,350.00 Fixed Income 912828WUO U S TREASURY I P S 0.125% 7/15/24 0.1247% 11,297,624.0000 AAA N/A 100.21 11,152,904.09 11,321,687.94 Fixed Income 912828XH8 U S TREASURY NT 1.625% 6/30/20 1.6189% 5,000,000.0000 AAA N/A 100.38 5,001,367.19 5,018,950.00 Fixed Income 912828XW5 U S TREASURY NT 1.750% 6/30/22 1.6918% 5,000,000.0000 AAA N/A 103.44 4,973,454.25 5,171,900.00 Fixed Income 912828XX3 U S TREASURY NT 2.000% 6/30/24 1.8706% 5,000,000.0000 AAA N/A 106.92 5,028,710.94 5,345,900.00 Fixed Income 912828XY1 U S TREASURY NT 2.500% 6/30/20 2.4852% 11,000,000.0000 AAA N/A 100.60 11,046,640.63 11,065,560.00 Fixed Income 912828YH7 U S TREASURY NT 1.500% 9/30/24 1.4275% 14,000,000.0000 AAA N/A 105.08 13,859,296.88 14,710,920.00 Fixed Income 913366EJ5 UNIV OF CALIFORNIA 5.035% 5/15/21 4.8204% 400,000.0000 AA3 AA- 104.45 400,000.00 417,808.00 Fixed Income 931142EK5 WALMART INC 3.400% 6/26/23 3.2059% 3,880,000.0000 AA2 AA 106.06 3,878,991.40 4,114,934.00 4 of 5 GO TO TABLE OF CONTENTS U.S. Bank Investment Listing -Yield As of 03/31/2020 Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value Fixed Income 94974BGM6 WELLS FARGO CO MTN 2.600% 7/22/20 2.5995% 5,000,000.0000 A2 A- 100.02 5,001,650.00 5,000,950.00 Fixed Income 95000U2138 WELLS FARGO MTN 2.625% 7/22/22 2.6165% 3,000,000.0000 A2 A- 100.32 2,954,520.00 3,009,720.00 Total Consolidated 701,030,165.71 5of5 GO TO TABLE OF CONTENTS U.S. Bank Asset Detail - Consolidated As of 03/31/2020 CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss Cash Equivalents Total 313384WGO F H L B DISC NTS 5/01/20 99.99 3,000,000.0000 2,988,094.17 2,999,820.00 0.43 11,725.83 31846V567 FIRST AM GOVT OB FD CL Z 1.00 25,920,022.9200 25,920,022.92 25,920,022.92 3.70 - 31846V567 FIRST AM GOVT OB FD CL Z 1.00 10,358,060.7800 10,358,060.78 10,358,060.78 1.48 - 62479LDQ5 MUFG BANK LTD NY BRAN C P 4/24/20 99.92 1,365,000.0000 1,353,689.46 1,363,948.95 0.19 10,259.49 62479LDQ5 MUFG BANK LTD NY BRAN C P 4/24/20 99.92 10,000,000.0000 9,917,138.89 9,992,300.00 1.43 75,161.11 9127962134 U S TREASURY BILL 4/14/20 100.00 3,500,000.0000 3,496,221.94 3,499,895.00 0.50 3,673.06 912796TQ2 U S TREASURY BILL 4/09/20 100.00 4,000,000.0000 3,993,265.98 3,999,920.00 0.57 6,654.02 Cash Equivalents Total 58,143,083.7000 58,026,494.14 58,133,967.65 8.29 107,473.51 Fixed Income 00440EAP2 ACE INA HOLDINGS 2.700% 3/13/23 102.32 2,000,000.0000 1,937,000.00 2,046,300.00 0.29 109,300.00 00440EAUl ACE INA HOLDINGS 2.875%11/03/22 101.51 4,169,000.0000 4,232,453.17 4,231,910.21 0.60 (542.96) 02665WCJ8 AMERICAN HONDA MTN 3.450% 7/14/23 101.27 845,000.0000 843,538.15 855,731.50 0.12 12,193.35 02665WCQ2 AMERICAN HONDA MTN 3.625%10/10/23 101.60 2,000,000.0000 1,998,320.00 2,032,060.00 0.29 33,740.00 02665WCZ2 AMERICAN HONDA MTN 2.400% 6/27/24 98.56 1,219,000.0000 1,213,843.63 1,201,409.83 0.17 (12,433.80) 03215PFN4 AMRESCO 2.07531% 6/25/29 80.10 119,021.6400 89,377.81 95,339.90 0.01 5,962.09 037833BS8 APPLE INC 2.250% 2/23/21 101.01 4,000,000.0000 4,050,840.00 4,040,320.00 0.58 (10,520.00) 037833CU2 APPLE INC 2.850% 5/11/24 106.26 3,000,000.0000 3,017,760.00 3,187,740.00 0.45 169,980.00 06051GFN4 BANK OF AMERICA MTN 2.250% 4/21/20 99.98 2,000,000.0000 2,001,960.00 1,999,680.00 0.29 (2,280.00) 06051GHF9 BANK OF AMERICA 3.550% 3/05/24 104.01 6,675,000.0000 6,770,625.75 6,942,734.25 0.99 172,108.50 06367BED7 BANK OF MONTREAL C D 1.890% 5/21/20 100.10 1,000,000.0000 1,000,000.00 1,000,990.00 0.14 990.00 06406RAA5 BANK OF NY MTN 2.600% 2/07/22 100.83 2,500,000.0000 2,504,475.00 2,520,800.00 0.36 16,325.00 06406RAE7 BANK OF NY MTN 2.950% 1/29/23 102.24 2,500,000.0000 2,489,555.00 2,555,875.00 0.36 66,320.00 084664BT7 BERKSHIRE HATHAWAY 3.000% 5/15/22 103.87 4,000,000.0000 4,131,120.00 4,154,920.00 0.59 23,800.00 084670BR8 BERKSHIRE HATHAWAY 2.750% 3/15/23 103.47 2,500,000.0000 2,440,950.00 2,586,750.00 0.37 145,800.00 09247XAL5 BLACKROCK INC 3.500% 3/18/24 107.54 1,000,000.0000 1,036,330.00 1,075,400.00 0.15 39,070.00 166764AH3 CHEVRON CORP 3.191% 6/24/23 104.54 3,500,000.0000 3,441,095.00 3,658,725.00 0.52 217,630.00 166764BG4 CHEVRON CORP 2.100% 5/16/21 100.03 2,500,000.0000 2,485,350.00 2,500,825.00 0.36 15,475.00 24422EUM9 JOHN DEERE MTN 3.650%10/12/23 105.43 1,250,000.0000 1,250,237.50 1,317,900.00 0.19 67,662.50 30231GAV4 EXXON MOBIL 2.222% 3/01/21 100.65 3,000,000.0000 3,016,097.40 3,019,500.00 0.43 3,402.60 3130AOF70 F H L B DEB 3.375%12/08/23 111.14 10,000,000.0000 10,269,043.75 11,114,300.00 1.59 845,256.25 3130A1XJ2 F H L B 2.875% 6/14/24 110.47 11,110,000.0000 11,589,031.30 12,272,883.70 1.75 683,852.40 3130A2UW4 F H L B DEB 2.875% 9/13/24 109.91 2,500,000.0000 2,635,950.00 2,747,725.00 0.39 111,775.00 3130A4CH3 F H L B DEB 2.375% 3/14/25 109.39 5,225,000.0000 5,526,848.25 5,715,836.50 0.82 188,988.25 3130A7CV5 F H L B DEB 1.375% 2/18/21 100.90 5,365,000.0000 5,343,325.40 5,413,499.60 0.77 70,174.20 313379RB7 F H L B DEB 1.875% 6/11/21 101.81 4,000,000.0000 4,030,160.00 4,072,520.00 0.58 42,360.00 313383HU8 F H L B DEB 1.750% 6/12/20 100.28 4,000,000.0000 4,007,160.00 4,011,040.00 0.57 3,880.00 313383QR5 F H L B DEB 3.250% 6/09/23 108.66 5,000,000.0000 5,083,350.00 5,433,150.00 0.78 349,800.00 313383YJ4 F H L B DEB 3.375% 9/08/23 110.11 10,000,000.0000 10,211,831.00 11,010,600.00 1.57 798,769.00 3133EKWV4 F F C B DEB 1.850% 7/26/24 105.22 5,000,000.0000 5,048,280.00 5,261,100.00 0.75 212,820.00 3133TCE95 F H L M C MLTCL MTG 4.025% 8/15/32 100.15 5,932.6500 5,938.86 5,941.61 0.00 2.75 1 of 4 GO TO TABLE OF CONTENTS U.S. Bank Asset Detail - Consolidated As of 03/31/2020 CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss 31348SWZ3 F H L M C#786064 3.845% 1/01/28 100.84 1,728.7700 1,686.68 1,743.33 0.00 56.65 3135GOD75 F N M A DEB 1.500% 6/22/20 100.28 5,000,000.0000 4,955,650.00 5,014,050.00 0.72 58,400.00 3135GOF73 F N M A 1.500%11/30/20 100.67 7,500,000.0000 7,370,726.00 7,550,550.00 1.08 179,824.00 3135GOJ20 F N M A DEB 1.375% 2/26/21 100.95 10,000,000.0000 10,040,950.00 10,095,000.00 1.44 54,050.00 3135GOS38 F N M A 2.000% 1/05/22 102.87 3,000,000.0000 2,994,570.00 3,085,950.00 0.44 91,380.00 3135GOT45 F N M A 1.875% 4/05/22 102.98 5,000,000.0000 4,972,500.00 5,149,000.00 0.73 176,500.00 3135GOT94 F N M A DEB 2.375% 1/19/23 105.39 5,000,000.0000 4,910,990.00 5,269,500.00 0.75 358,510.00 3135GOU35 F N M A 2.750% 6/22/21 102.88 7,500,000.0000 7,515,225.00 7,715,775.00 1.10 200,550.00 3135GOV34 F N M A 2.500% 2/05/24 107.57 5,000,000.0000 4,980,850.00 5,378,350.00 0.77 397,500.00 3135GOX24 F N M A 1.625% 1/07/25 104.97 10,000,000.0000 10,157,936.40 10,496,900.00 1.50 338,963.60 31371 NUC7 F N M A#257179 4.500% 4/01/28 107.48 12,976.8300 13,724.28 13,947.24 0.00 222.96 31376KT22 F N M A#357969 5.000% 9/01/35 111.31 87,807.6400 94,393.20 97,740.44 0.01 3,347.24 3137EAEK1 F H L M C M T N 1.875%11/17/20 101.04 5,000,000.0000 4,986,225.00 5,052,100.00 0.72 65,875.00 3137EAEL9 F H L M C M T N 2.375% 2/16/21 101.67 7,500,000.0000 7,484,475.00 7,625,550.00 1.09 141,075.00 3137EAEN5 F H L M C 2.750% 6/19/23 107.13 10,000,000.0000 9,956,500.00 10,713,200.00 1.53 756,700.00 3137EAEPO F H L M C 1.500% 2/12/25 104.35 12,335,000.0000 12,510,182.05 12,871,449.15 1.84 361,267.10 31381PDA3 F N M A#466397 3.400%11/01/20 100.12 332,913.3400 325,708.91 333,296.19 0.05 7,587.28 3138EG6F6 F N M A#AL0869 4.500% 6/01/29 107.79 8,964.5700 9,480.93 9,662.73 0.00 181.80 31394JY35 F H L M C MLTCL MTG 6.500% 9/25/43 115.69 633,348.6500 717,267.34 732,727.39 0.10 15,460.05 31397QREO F N M A GTD REMIC 2.472% 2/25/41 99.73 166,890.2100 166,838.06 166,431.26 0.02 (406.80) 31403DJZ3 F N M A#745580 5.000% 6/01/36 111.21 83,766.3200 90,048.79 93,159.04 0.01 3,110.25 31403GXF4 F N M A#748678 5.000%10/01/33 109.76 1,726.6200 1,856.12 1,895.21 0.00 39.09 31406PQY8 F N M A#815971 5.000% 3/01/35 110.90 131,227.7700 141,069.87 145,525.04 0.02 4,455.17 31406XWT5 F N M A#823358 3.674% 2/01/35 100.85 96,005.3200 95,255.27 96,818.49 0.01 1,563.22 31407BXH7 F N M A#826080 5.000% 7/01/35 111.13 17,200.2000 18,490.21 19,114.24 0.00 624.03 31410F4V4 F N M A#888336 5.000% 7/01/36 111.23 164,301.4800 176,624.10 182,749.25 0.03 6,125.15 31417YAY3 F N M A#MA0022 4.500% 4/01/29 107.76 14,568.0700 15,407.17 15,698.99 0.00 291.82 36225CAZ9 G N M A I I#080023 3.125%12/20/26 102.97 13,965.0000 14,195.71 14,379.76 0.00 184.05 36225CC20 G N M A I I#080088 3.875% 6/20/27 100.80 11,624.2500 11,878.54 11,717.71 0.00 (160.83) 36225CN28 G N M A I I#080408 3.875% 5/20/30 103.36 44,785.1700 44,330.33 46,289.06 0.01 1,958.73 36225CNM4 G N M A I I#080395 3.875% 4/20/30 103.36 5,739.0400 5,687.00 5,931.93 0.00 244.93 36225DCB8 G N M A I I#080965 3.250% 7/20/34 103.49 40,310.8100 40,285.63 41,717.25 0.01 1,431.62 369550BA5 GENERAL DYNAMICS 2.875% 5/11/20 100.07 2,000,000.0000 2,011,340.00 2,001,380.00 0.29 (9,960.00) 369550BE7 GENERAL DYNAMICS 3.000% 5/11/21 100.77 3,160,000.0000 3,138,038.00 3,184,300.40 0.45 46,262.40 404280BF5 HSBC HOLDINGS PLC 2.650% 1/05/22 99.86 4,500,000.0000 4,429,980.00 4,493,790.00 0.64 63,810.00 43814PAC4 HONDAAUTO 1.790% 9/20/21 99.90 1,134,368.6000 1,116,378.22 1,133,211.54 0.16 16,833.32 43814UAG4 HONDA AUTO 3.010% 5/18/22 100.59 1,620,960.4700 1,620,925.13 1,630,459.30 0.23 9,534.17 43814WAB1 HONDA AUTO 2.750% 9/20/21 99.76 2,732,580.8000 2,732,404.82 2,725,995.28 0.39 (6,409.54) 43815HAC1 HONDA AUTO 2.950% 8/22/22 100.92 3,918,242.9900 3,917,705.41 3,954,290.83 0.56 36,585.42 43815NABO HONDA AUTO 1.900% 4/15/22 99.81 3,530,000.0000 3,529,752.90 3,523,328.30 0.50 (6,424.60) 44932HAH6 IBM CREDIT CORP 3.000% 2/06/23 103.48 5,670,000.0000 5,603,264.40 5,867,032.50 0.84 263,768.10 458140BD1 INTEL CORP 2.875% 5/11/24 104.91 5,000,000.0000 5,025,900.00 5,245,300.00 0.75 219,400.00 2of4 GO TO TABLE OF CONTENTS U.S. Bank Asset Detail - Consolidated As of 03/31/2020 CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss 4581XOCS5 INTER AMER BK M T N 1.875% 3/15/21 101.30 5,000,000.0000 5,059,610.00 5,064,950.00 0.72 5,340.00 4581XOCW6 INTER AMER DEV BK 2.125% 1/18/22 102.84 3,000,000.0000 2,996,310.00 3,085,170.00 0.44 88,860.00 4581XOCX4 INTER AMER DEV BK 1.625% 5/12/20 100.16 3,035,000.0000 3,027,807.05 3,039,734.60 0.43 11,927.55 4581XOCZ9 INTER AMER DEV BK 1.750% 9/14/22 102.99 6,500,000.0000 6,249,655.00 6,694,545.00 0.95 444,890.00 459058FY4 INTL BK 2.000% 1/26/22 102.56 10,000,000.0000 10,006,350.00 10,256,300.00 1.46 249,950.00 45950KCJ7 INTL FINANCE CORP 1.125% 7/20/21 100.71 2,500,000.0000 2,441,600.00 2,517,650.00 0.36 76,050.00 45950KCMO INTL BK M T N 2.250% 1/25/21 101.40 2,970,000.0000 2,961,268.20 3,011,609.70 0.43 50,341.50 46625HRL6 JP MORGAN CHASE CO 2.700% 5/18/23 102.63 5,000,000.0000 4,821,910.00 5,131,500.00 0.73 309,590.00 46647PAUO JPMORGAN CHASE CO 3.797% 7/23/24 104.67 2,500,000.0000 2,632,175.00 2,616,725.00 0.37 (15,450.00) 477870AB5 JOHN DEERE OWNER 2.280% 5/16/22 100.14 2,782,931.0600 2,782,920.48 2,786,827.16 0.40 3,906.68 47788BAD6 JOHN DEERE OWNER 1.820%10/15/21 99.63 183,876.6300 183,863.16 183,203.64 0.03 (659.52) 47788CAC6 JOHN DEERE OWNER 2.660% 4/18/22 99.27 831,754.2700 831,694.47 825,682.46 0.12 (6,012.01) 47788EAC2 JOHN DEERE OWNER 3.080%11/15/22 100.62 4,630,000.0000 4,629,649.05 4,658,844.90 0.66 29,195.85 47789JAB2 JOHN DEERE OWNER 2.850%12/15/21 100.27 1,879,859.7500 1,879,774.03 1,884,841.38 0.27 5,067.35 525ESCOY6 LEHMAN BIRTH HLD ESC - 2,000,000.0000 1,027,939.99 - - (1,027,939.99) 525ESCIB7 LEHMAN BIRTH MTN ES 0.00001% 1/24/13 1.05 600,000.0000 319,005.35 6,300.00 0.00 (312,705.35) 58770FAC6 MERCEDES BENZ AUTO 1.840%12/15/22 100.07 2,050,000.0000 2,049,729.81 2,051,332.50 0.29 1,602.69 58933YAF2 MERCK CO INC 2.800% 5/18/23 100.69 2,000,000.0000 1,948,640.00 2,013,840.00 0.29 65,200.00 594918BP8 MICROSOFT CORP 1.550% 8/08/21 100.70 3,045,000.0000 3,041,385.15 3,066,193.20 0.44 24,808.05 61747WAL3 MORGAN STANLEY 5.500% 7/28/21 103.83 2,800,000.0000 3,200,848.00 2,907,240.00 0.41 (293,608.00) 64971M5E8 NEW YORK CITY NY 4.075%11/01/20 101.71 1,400,000.0000 1,400,000.00 1,423,996.00 0.20 23,996.00 65478GAD2 NISSAN AUTO 1.750%10/15/21 100.07 1,102,968.6800 1,085,864.05 1,103,685.61 0.16 17,821.56 65479GAD1 NISSAN AUTO 3.060% 3/15/23 101.57 3,560,000.0000 3,559,884.66 3,615,963.20 0.52 56,078.54 65479JAD5 NISSAN AUTO 1.930% 7/15/24 100.99 4,185,000.0000 4,184,779.03 4,226,264.10 0.60 41,485.07 68389XBKO ORACLE CORP 1.900% 9/15/21 100.30 3,000,000.0000 2,892,240.00 3,008,850.00 0.43 116,610.00 69353RFB9 PNC BANK NA MTN 2.625% 2/17/22 101.02 1,000,000.0000 974,940.00 1,010,220.00 0.14 35,280.00 69353RFL7 PNC BANK NA MTN 3.500% 6/08/23 103.47 5,000,000.0000 4,993,318.05 5,173,700.00 0.74 180,381.95 747525AD5 QUALCOMM INC 2.250% 5/20/20 99.99 2,000,000.0000 2,002,700.00 1,999,740.00 0.29 (2,960.00) 747525AD5 QUALCOMM INC 2.250% 5/20/20 99.99 5,000,000.0000 4,995,195.40 4,999,350.00 0.71 4,154.60 78013XZU5 ROYAL BANK OF MTN 2.550% 7/16/24 101.69 6,500,000.0000 6,581,445.00 6,609,590.00 0.94 28,145.00 78445JAA5 S L M A 3.33073% 4/25/23 98.73 12,192.9300 12,143.46 12,037.47 0.00 (105.99) 808513AT2 CHARLES SCHWAB CORP 2.650% 1/25/23 101.45 6,750,000.0000 6,729,480.00 6,847,740.00 0.98 118,260.00 83162CLJO S B A GTD DEV PART 6.340% 3/01/21 101.18 5,878.0300 5,878.03 5,947.45 0.00 69.42 89114QC48 TORONTO MTN 3.500% 7/19/23 103.00 5,000,000.0000 5,094,200.00 5,150,000.00 0.73 55,800.00 89114QCA4 TORONTO DOMINION MTN 2.650% 6/12/24 101.58 3,000,000.0000 3,000,570.00 3,047,280.00 0.43 46,710.00 89239AAB9 TOYOTA AUTO 2.830%10/15/21 100.13 1,938,655.2900 1,938,479.27 1,941,098.00 0.28 2,618.73 90331 HNL3 US BANK NA MTN 2.850% 1/23/23 102.37 2,000,000.0000 1,992,640.00 2,047,440.00 0.29 54,800.00 90331 HPL1 US BANK NA MTN 2.050% 1/21/25 99.26 7,270,000.0000 7,254,514.90 7,216,492.80 1.03 (38,022.10) 9128283J7 U S TREASURY NT 2.125%11/30/24 108.10 16,500,000.0000 16,783,886.72 17,836,830.00 2.54 1,052,943.28 9128284D9 U S TREASURY NT 2.500% 3/31/23 106.60 10,000,000.0000 9,887,265.63 10,659,800.00 1.52 772,534.37 9128284Y3 U S TREASURY NT 2.625% 8/31/20 101.04 7,000,000.0000 7,042,382.81 7,072,730.00 1.01 30,347.19 912828J76 U S TREASURY NT 1.750% 3/31/22 103.06 5,000,000.0000 4,976,383.94 5,153,150.00 0.74 176,766.06 3of4 GO TO TABLE OF CONTENTS U.S. Bank Asset Detail - Consolidated As of 03/31/2020 CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss 9128281-24 U S TREASURY NT 1.875% 8/31/22 103.92 6,000,000.0000 5,987,832.60 6,235,080.00 0.89 247,247.40 9128281-32 U S TREASURY NT 1.375% 8/31/20 100.53 15,000,000.0000 14,977,929.69 15,079,650.00 2.15 101,720.31 9128281-57 U S TREASURY NT 1.750% 9/30/22 103.72 16,000,000.0000 15,829,492.20 16,595,680.00 2.37 766,187.80 9128281-99 U S TREASURY NT 1.375%10/31/20 100.72 7,000,000.0000 6,888,738.85 7,050,330.00 1.01 161,591.15 912828M80 U S TREASURY NT 2.000%11/30/22 104.57 8,000,000.0000 7,907,500.00 8,365,280.00 1.19 457,780.00 9128281\130 U S TREASURY NT 2.125%12/31/22 105.07 5,000,000.0000 4,926,562.50 5,253,500.00 0.75 326,937.50 9128281\189 U S TREASURY NT 1.375% 1/31/21 101.09 6,000,000.0000 5,895,840.41 6,065,640.00 0.87 169,799.59 912828R69 U S TREASURY NT 1.625% 5/31/23 104.16 5,000,000.0000 4,757,226.56 5,208,200.00 0.74 450,973.44 912828T34 U S TREASURY NT 1.125% 9/30/21 101.38 7,000,000.0000 6,757,914.08 7,096,250.00 1.01 338,335.92 912828T67 U S TREASURY NT 1.250% 10/31/21 101.67 6,000,000.0000 5,813,691.98 6,100,320.00 0.87 286,628.02 912828U57 U S TREASURY NT 2.125%11/30/23 106.59 15,000,000.0000 14,723,632.81 15,988,500.00 2.28 1,264,867.19 912828U65 U S TREASURY NT 1.750%11/30/21 102.57 7,000,000.0000 6,900,492.20 7,180,180.00 1.02 279,687.80 912828V72 U S TREASURY NT 1.875% 1/31/22 103.04 3,000,000.0000 3,004,814.74 3,091,050.00 0.44 86,235.26 912828V80 U S TREASURY NT 2.250% 1/31/24 107.33 7,500,000.0000 7,491,503.91 8,049,900.00 1.15 558,396.09 912828VJ6 U S TREASURY NT 1.875% 6/30/20 100.44 15,000,000.0000 15,022,265.63 15,066,150.00 2.15 43,884.37 912828VV9 U S TREASURY NT 2.125% 8/31/20 100.83 15,000,000.0000 15,049,804.69 15,124,800.00 2.16 74,995.31 912828W48 U S TREASURY NT 2.125% 2/29/24 106.96 10,000,000.0000 9,911,718.75 10,696,100.00 1.53 784,381.25 912828WJ5 U S TREASURY NT 2.500% 5/15/24 108.81 7,000,000.0000 7,193,046.88 7,616,350.00 1.09 423,303.12 912828WUO U S TREASURY I P S 0.125% 7/15/24 100.21 11,297,624.0000 11,152,904.09 11,321,687.94 1.62 168,783.85 912828XH8 U S TREASURY NT 1.625% 6/30/20 100.38 5,000,000.0000 5,001,367.19 5,018,950.00 0.72 17,582.81 912828XW5 U S TREASURY NT 1.750% 6/30/22 103.44 5,000,000.0000 4,973,454.25 5,171,900.00 0.74 198,445.75 912828XX3 U S TREASURY NT 2.000% 6/30/24 106.92 5,000,000.0000 5,028,710.94 5,345,900.00 0.76 317,189.06 912828XY1 U S TREASURY NT 2.500% 6/30/20 100.60 11,000,000.0000 11,046,640.63 11,065,560.00 1.58 18,919.37 912828YH7 U S TREASURY NT 1.500% 9/30/24 105.08 14,000,000.0000 13,859,296.88 14,710,920.00 2.10 851,623.12 913366EJ5 UNIV OF CALIFORNIA 5.035% 5/15/21 104.45 400,000.0000 400,000.00 417,808.00 0.06 17,808.00 931142EK5 WALMART INC 3.400% 6/26/23 106.06 3,880,000.0000 3,878,991.40 4,114,934.00 0.59 235,942.60 94974BGM6 WELLS FARGO CO MTN 2.600% 7/22/20 100.02 5,000,000.0000 5,001,650.00 5,000,950.00 0.71 (700.00) 95000U268 WELLS FARGO MTN 2.625% 7/22/22 100.32 3,000,000.0000 2,954,520.00 3,009,720.00 0.43 55,200.00 Fixed Income Total 624,564,697.8500 623,466,412.99 642,896,198.06 91.71 19,429,785.07 Grand Total 682,707,781.55 681,492,907.13 701,030,165.71 100.00 19,537,258.58 4of4 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss ACQUISITIONS 01/02/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,500,000.0000 1.000000 -7,500,000.00 7,500,000.00 0.00 01/03/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 16,711.5700 1.000000 -16,711.57 16,711.57 0.00 01/03/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 19,501.1700 1.000000 -19,501.17 19,501.17 0.00 01/06/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 89,625.0000 1.000000 -89,625.00 89,625.00 0.00 01/07/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,500,000.0000 1.000000 -7,500,000.00 7,500,000.00 0.00 01/10/2020 3135GOX24 PURCHASED PAR VALUE OF F N M A 1.625% 1/07/25/BARCLAYS CAPITAL 4,340,000.0000 0.996810 -4,326,155.40 4,326,155.40 0.00 INC. FIXED IN/4,340,000 PAR VALUE AT 99.681 % 01/10/2020 822582BG6 PURCHASED PAR VALUE OF SHELL INTERNATIONAL 2.125% 5/11/20/PERSHING 1,000,000.0000 1.001230 -1,001,230.00 1,001,230.00 0.00 LLC/1,000,000 PAR VALUE AT 100.123% 01/14/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 14,576.2500 1.000000 -14,576.25 14,576.25 0.00 01/14/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,200,000.0000 1.000000 -1,200,000.00 1,200,000.00 0.00 01/15/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 42,993.6200 1.000000 -42,993.62 42,993.62 0.00 01/15/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 933,363.2700 1.000000 -933,363.27 933,363.27 0.00 01/15/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CLZ 1,100,000.0000 1.000000 -1,100,000.00 1,100,000.00 0.00 01/16/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 82,875.0000 1.000000 -82,875.00 82,875.00 0.00 01/17/2020 9128281-32 PURCHASED PAR VALUE OF U S TREASURY NT 1.375% 8/31/20/NOMURA 5,000,000.0000 0.998594 -4,992,968.75 4,992,968.75 0.00 SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 99.859375% 01/17/2020 912828XY1 PURCHASED PAR VALUE OF U S TREASURY NT 2.500% 6/30/20/NOMURA 5,000,000.0000 1.004141 -5,020,703.13 5,020,703.13 0.00 SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 100.4140626% 01/17/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,047,172.2100 1.000000 -5,047,172.21 5,047,172.21 0.00 01/21/2020 90331 HPL1 PURCHASED PAR VALUE OF US BANK NA MTN 2.050% 1/21/25/US BANCORP 7,270,000.0000 0.997870 -7,254,514.90 7,254,514.90 0.00 INVESTMENTS INC./7,270,000 PAR VALUE AT 99.787% 01/21/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 14,075.0000 1.000000 -14,075.00 14,075.00 0.00 01/22/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 104,375.0000 1.000000 -104,375.00 104,375.00 0.00 01/23/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 22,366.6700 1.000000 -22,366.67 22,366.67 0.00 01/23/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 75,962.5000 1.000000 -75,962.50 75,962.50 0.00 01/23/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,000,000.0000 1.000000 -7,000,000.00 7,000,000.00 0.00 01/27/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 33,412.5000 1.000000 -33,412.50 33,412.50 0.00 01/27/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 281,251.7700 1.000000 -281,251.77 281,251.77 0.00 01/28/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 117,251.5100 1.000000 -117,251.51 117,251.51 0.00 01/29/2020 58770FAC6 PURCHASED PAR VALUE OF MERCEDES BENZ AUTO 1.840% 12/15/22/MITSUBISHI 2,050,000.0000 0.999868 -2,049,729.81 2,049,729.81 0.00 UFJ SECURITIES USA/2,050,000 PAR VALUE AT 99.98682% 01/29/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 16,368.0400 1.000000 -16,368.04 16,368.04 0.00 01/29/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 4,500,000.0000 1.000000 -4,500,000.00 4,500,000.00 0.00 01/30/2020 9128281-32 PURCHASED PAR VALUE OF U S TREASURY NT 1.375% 8/31/20/NOMURA 5,000,000.0000 0.998789 -4,993,945.31 4,993,945.31 0.00 SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 99.8789062% 1 of 21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 01/30/2020 912828XH8 PURCHASED PAR VALUE OF U S TREASURY NT 1.625% 6/30/20/NOMURA 5,000,000.0000 1.000273 -5,001,367.19 5,001,367.19 0.00 SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 100.0273438% 01/30/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 12,985,765.4700 1.000000 -12,985,765.47 12,985,765.47 0.00 01/31/2020 313384WGO PURCHASED PAR VALUE OF F H L B DISC NTS 5/01/20/BARCLAYS CAPITAL 3,000,000.0000 0.996031 -2,988,094.17 2,988,094.17 0.00 INC. FIXED IN/3,000,000 PAR VALUE AT 99.603139% 01/31/2020 912796TG4 PURCHASED PAR VALUE OF U S TREASURY BILL 2/20/20/NOMURA 2,000,000.0000 0.999161 -1,998,322.22 1,998,322.22 0.00 SECURITIES INTERNATIONA/2,000,000 PAR VALUE AT 99.916111 % 01/31/2020 912796XA2 PURCHASED PAR VALUE OF U S TREASURY BILL 3/10/20/CITIGROUP GLOBAL 2,000,000.0000 0.998351 -1,996,701.25 1,996,701.25 0.00 MARKETS INC./2,000,000 PAR VALUE AT 99.8350625% 01/31/2020 912828XY1 PURCHASED PAR VALUE OF U S TREASURY NT 2.500% 6/30/20/NOMURA 1,000,000.0000 1.003867 -1,003,867.19 1,003,867.19 0.00 SECURITIES INTERNATIONA/1,000,000 PAR VALUE AT 100.386719% 01/31/2020 9128284Y3 PURCHASED PAR VALUE OF U S TREASURY NT 2.625% 8/31/20/CITIGROUP 7,000,000.0000 1.006055 -7,042,382.81 7,042,382.81 0.00 GLOBAL MARKETS INC./7,000,000 PAR VALUE AT 100.60546871 % 01/31/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,222,505.1000 1.000000 -7,222,505.10 7,222,505.10 0.00 01/31/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 33,810,017.6600 1.000000 -33,810,017.66 33,810,017.66 0.00 02/03/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 18,991.6700 1.000000 -18,991.67 18,991.67 0.00 02/03/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,000,000.0000 1.000000 -2,000,000.00 2,000,000.00 0.00 02/04/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 21,570.8400 1.000000 -21,570.84 21,570.84 0.00 02/04/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,886.8000 1.000000 -5,886.80 5,886.80 0.00 02/05/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 62,500.0000 1.000000 -62,500.00 62,500.00 0.00 02/06/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 85,050.0000 1.000000 -85,050.00 85,050.00 0.00 02/07/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 160.0000 1.000000 -160.00 160.00 0.00 02/07/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 32,500.0000 1.000000 -32,500.00 32,500.00 0.00 02/10/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 23,598.7500 1.000000 -23,598.75 23,598.75 0.00 02/14/2020 3137EAEPO PURCHASED PAR VALUE OF F H L M C 1.500% 2/12/25/WELLS FARGO 6,335,000.0000 0.999230 -6,330,122.05 6,330,122.05 0.00 SECURITIES,LLC/6,335,000 PAR VALUE AT 99.923% 02/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,090,625.0000 1.000000 -5,090,625.00 5,090,625.00 0.00 02/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 6,270,000.0000 1.000000 -6,270,000.00 6,270,000.00 0.00 02/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,794,244.8800 1.000000 -1,794,244.88 1,794,244.88 0.00 02/20/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,000,000.0000 1.000000 -2,000,000.00 2,000,000.00 0.00 02/20/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,767.9800 1.000000 -2,767.98 2,767.98 0.00 02/21/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 9,759.5800 1.000000 -9,759.58 9,759.58 0.00 02/24/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 45,000.0000 1.000000 -45,000.00 45,000.00 0.00 02/25/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 37,718.1300 1.000000 -37,718.13 37,718.13 0.00 02/26/2020 912796XBO PURCHASED PAR VALUE OF U S TREASURY BILL 3/17/20/GOLDMAN SACHS& 5,000,000.0000 0.999141 -4,995,705.56 4,995,705.56 0.00 CO.LLC/5,000,000 PAR VALUE AT 99.9141112% 02/26/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 68,750.0000 1.000000 -68,750.00 68,750.00 0.00 2of21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 02/28/2020 912796TQ2 PURCHASED PAR VALUE OF U S TREASURY BILL 4/09/20/WELLS FARGO 4,000,000.0000 0.998316 -3,993,265.98 3,993,265.98 0.00 SECURITIES,LLC/4,000,000 PAR VALUE AT 99.8316495% 03/02/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,021,250.0000 1.000000 -2,021,250.00 2,021,250.00 0.00 03/02/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 354,375.0000 1.000000 -354,375.00 354,375.00 0.00 03/02/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 201,491.0800 1.000000 -201,491.08 201,491.08 0.00 03/03/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 6,470.6500 1.000000 -6,470.65 6,470.65 0.00 03/03/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 4,440.5200 1.000000 -4,440.52 4,440.52 0.00 03/05/2020 3137EAEPO PURCHASED PAR VALUE OF F H L M C 1.500% 2/12/25/WELLS FARGO 6,000,000.0000 1.030010 -6,180,060.00 6,180,060.00 0.00 SECURITIES,LLC/6,000,000 PAR VALUE AT 103.001 % 03/05/2020 9127962134 PURCHASED PAR VALUE OF U S TREASURY BILL 4/14/20/CITIGROUP GLOBAL 3,500,000.0000 0.998921 -3,496,221.94 3,496,221.94 0.00 MARKETS INC./3,500,000 PAR VALUE AT 99.89205543% 03/05/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 6,533,153.0600 1.000000 -6,533,153.06 6,533,153.06 0.00 03/09/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 168,750.0000 1.000000 -168,750.00 168,750.00 0.00 03/10/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,000,000.0000 1.000000 -2,000,000.00 2,000,000.00 0.00 03/12/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,000,000.0000 1.000000 -7,000,000.00 7,000,000.00 0.00 03/12/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 6,000,000.0000 1.000000 -6,000,000.00 6,000,000.00 0.00 03/13/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 62,937.5000 1.000000 -62,937.50 62,937.50 0.00 03/16/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 265.9700 1.000000 -265.97 265.97 0.00 03/16/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,009,127.0400 1.000000 -1,009,127.04 1,009,127.04 0.00 03/17/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,000,000.0000 1.000000 -5,000,000.00 5,000,000.00 0.00 03/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,000,000.0000 1.000000 -1,000,000.00 1,000,000.00 0.00 03/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,055.5600 1.000000 -5,055.56 5,055.56 0.00 03/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 8,519,184.9100 1.000000 -8,519,184.91 8,519,184.91 0.00 03/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 157,216.6600 1.000000 -157,216.66 157,216.66 0.00 03/20/2020 3130A4CH3 PURCHASED PAR VALUE OF F H L B DEB 2.375% 3/14/25/WELLS FARGO 5,225,000.0000 1.057770 -5,526,848.25 5,526,848.25 0.00 SECURITIES,LLC/5,225,000 PAR VALUE AT 105.777% 03/23/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 61,516.5900 1.000000 -61,516.59 61,516.59 0.00 03/25/2020 3135GOX24 PURCHASED PAR VALUE OF F N M A 1.625% 1/07/25/WELLS FARGO 5,660,000.0000 1.030350 -5,831,781.00 5,831,781.00 0.00 SECURITIES,LLC/5,660,000 PAR VALUE AT 103.035% 03/25/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 21,415.1300 1.000000 -21,415.13 21,415.13 0.00 03/31/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 453,125.0000 1.000000 -453,125.00 453,125.00 0.00 TOTAL ACQUISITIONS 233,259,067.6100 -233,9039054.52 233,903,054.52 0.00 DISPOSITIONS 01/02/2020 912796RT8 MATURED PAR VALUE OF U S TREASURY BILL 1/02/20 7,500,000 PAR VALUE AT -7,500,000.0000 1.000000 7,496,905.21 -7,496,905.21 0.00 100% 01/07/2020 912796WM7 MATURED PAR VALUE OF U S TREASURY BILL 1/07/20 7,500,000 PAR VALUE AT -7,500,000.0000 1.000000 7,495,320.31 -7,495,320.31 0.00 100% 3of21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 01/10/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,004,712.6400 1.000000 1,004,712.64 -1,004,712.64 0.00 01/10/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -4,326,155.4000 1.000000 4,326,155.40 -4,326,155.40 0.00 01/14/2020 313384RU5 MATURED PAR VALUE OF F H L B DISC NTS 1/14/20 1,200,000 PAR VALUE AT -1,200,000.0000 1.000000 1,198,691.67 -1,198,691.67 0.00 100% 01/15/2020 69372AAF9 MATURED PAR VALUE OF PACCAR FINANCIAL CORP C P 1/15/20 1,100,000 PAR -1,100,000.0000 1.000000 1,094,969.03 -1,094,969.03 0.00 VALUE AT 100% 01/15/2020 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C#786064 4.677% 1/01/28 DECEMBER FHLMC -17.9700 0.000000 17.97 -17.53 0.44 DUE 1/15/20 01/15/2020 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.023% 8/15/32 -284.5000 0.000000 284.50 -284.80 -0.30 01/15/2020 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820%10/15/21 -44,437.4000 1.529051 44,437.40 -44,434.15 3.25 01/15/2020 47788CAC6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.660% 4/18/22 -97,099.9900 0.699764 97,099.99 -97,093.01 6.98 01/15/2020 47789JAB2 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.850%12/15/21 -285,784.5400 0.237756 285,784.54 -285,771.51 13.03 01/15/2020 65478VAD9 PAID DOWN PAR VALUE OF NISSAN AUTO 1.320% 1/15/21 CMO FINAL -35,911.0400 0.000000 35,911.04 -35,623.47 287.57 PAYDOWN 01/15/2020 65478GAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.750% 10/15/21 -156,814.1100 0.433297 156,814.11 -154,382.27 2,431.84 01/15/2020 89239AAB9 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.830% 10/15/21 -281,903.2300 0.241030 281,903.23 -281,877.63 25.60 01/17/2020 89233GAH9 MATURED PAR VALUE OF TOYOTA MOTOR CREDIT CO C P 1/17/20 2,000,000 PAR -2,000,000.0000 1.000000 1,961,884.44 -1,961,884.44 0.00 VALUE AT 100% 01/17/2020 912828357 SOLD PAR VALUE OF U S TREASURY NT 2.000% 1/31/20/CITIGROUP GLOBAL -5,000,000.0000 1.000195 5,000,976.56 -5,001,953.13 -976.57 MARKETS INC./5,000,000 PAR VALUE AT 100.0195312% 01/17/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -8,045,763.2200 1.000000 8,045,763.22 -8,045,763.22 0.00 01/21/2020 36225CAZ9 PAID DOWN PAR VALUE OF G N M A 1 1#080023 4.125% 12/20/26 DECEMBER GNMA -167.8500 0.000000 167.85 -170.62 -2.77 DUE 1/20/20 01/21/2020 36225CC20 PAID DOWN PAR VALUE OF G N M A 1 1#080088 3.875% 6/20/27 DECEMBER GNMA -147.7300 0.000000 147.73 -150.96 -3.23 DUE 1/20/20 01/21/2020 36225CNM4 PAID DOWN PAR VALUE OF G N M A 11#080395 3.875% 4/20/30 DECEMBER GNMA -275.1700 0.000000 275.17 -272.68 2.49 DUE 1/20/20 01/21/2020 36225CN28 PAID DOWN PAR VALUE OF G N M A 1 1#080408 3.875% 5/20/30 DECEMBER GNMA -333.8300 0.000000 333.83 -330.44 3.39 DUE 1/20/20 01/21/2020 36225DCB8 PAID DOWN PAR VALUE OF G N M A 11#080965 3.250% 7/20/34 DECEMBER GNMA -1,172.7100 0.000000 1,172.71 -1,171.98 0.73 DUE 1/20/20 01/21/2020 43814RACO PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -102,880.6700 0.000000 102,880.67 -101,751.39 1,129.28 01/21/2020 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -158,027.7000 0.000000 158,027.70 -155,521.48 2,506.22 01/21/2020 43814WAB1 PAID DOWN PAR VALUE OF HONDA AUTO 2.750% 9/20/21 -349,944.2700 0.000000 349,944.27 -349,921.73 22.54 01/21/2020 90331HNL3 SOLD PAR VALUE OF US BANK NA MTN 2.850% 1/23/23/STIFEL,NICOLAUS& -3,000,000.0000 1.028270 3,084,810.00 -2,988,960.00 95,850.00 CO.,INC./3,000,000 PAR VALUE AT 102.827% 01/21/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -3,310,003.8700 1.000000 3,310,003.87 -3,310,003.87 0.00 01/23/2020 313384SD2 MATURED PAR VALUE OF F H L B DISC NTS 1/23/20 5,000,000 PAR VALUE AT -5,000,000.0000 1.000000 4,992,586.11 -4,992,586.11 0.00 100% 4of21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 01/23/2020 89114M2Z9 MATURED PAR VALUE OF TORONTO DOMINION C D 2.200% 1/23/20 2,000,000 PAR -2,000,000.0000 1.000000 2,000,000.00 -2,000,285.65 -285.65 VALUE AT 100% 01/27/2020 31398VJ98 MATURED PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 56,619.55 PAR -56,619.5500 0.710912 40,251.51 -59,830.94 -19,579.43 VALUE AT 71.09117983% 01/27/2020 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -6,518.5600 0.000000 6,518.56 -7,382.27 -863.71 01/27/2020 31371NUC7 PAID DOWN PAR VALUE OF F N M A#257179 4.500% 4/01/28 DECEMBER FNMA -166.5700 0.000000 166.57 -176.16 -9.59 DUE 1/25/20 01/27/2020 31376KT22 PAID DOWN PAR VALUE OF F N M A#357969 5.000% 9/01/35 DECEMBER FNMA -994.8700 0.000000 994.87 -1,069.49 -74.62 DUE 1/25/20 01/27/2020 31381PDA3 PAID DOWN PAR VALUE OF F N M A#466397 3.400%11/01/20 DECEMBER FNMA -712.4400 0.000000 712.44 -697.02 15.42 DUE 1/25/20 01/27/2020 31403DJZ3 PAID DOWN PAR VALUE OF F N M A#745580 5.000% 6/01/36 DECEMBER FNMA -1,265.5400 0.000000 1,265.54 -1,360.46 -94.92 DUE 1/25/20 01/27/2020 31403GXF4 PAID DOWN PAR VALUE OF F N M A#748678 5.000%10/01/33 DECEMBER FNMA -9.1100 0.000000 9.11 -9.79 -0.68 DUE 1/25/20 01/27/2020 31406PQY8 PAID DOWN PAR VALUE OF F N M A#815971 5.000% 3/01/35 DECEMBER FNMA -9,088.8000 0.000000 9,088.80 -9,770.46 -681.66 DUE 1/25/20 01/27/2020 31406XWT5 PAID DOWN PAR VALUE OF F N M A#823358 4.347% 2/01/35 DECEMBER FNMA -10,840.8400 0.000000 10,840.84 -10,756.15 84.69 DUE 1/25/20 01/27/2020 31407BXH7 PAID DOWN PAR VALUE OF F N M A#826080 5.000% 7/01/35 DECEMBER FNMA -79.4800 0.000000 79.48 -85.44 -5.96 DUE 1/25/20 01/27/2020 31410F4V4 PAID DOWN PAR VALUE OF F N M A#888336 5.000% 7/01/36 DECEMBER FNMA -1,999.6500 0.000000 1,999.65 -2,149.62 -149.97 DUE 1/25/20 01/27/2020 3138EG6F6 PAID DOWN PAR VALUE OF F N M A#AL0869 4.500% 6/01/29 DECEMBER FNMA -236.5000 0.000000 236.50 -250.12 -13.62 DUE 1/25/20 01/27/2020 31417YAY3 PAID DOWN PAR VALUE OF F N M A#MA0022 4.500% 4/01/29 DECEMBER FNMA -217.1600 0.000000 217.16 -229.67 -12.51 DUE 1/25/20 01/27/2020 31397QREO PAID DOWN PAR VALUE OF F N M A GTD REMIC 2.472% 2/25/41 -4,646.6700 0.000000 4,646.67 -4,645.22 1.45 01/27/2020 78445JAA5 PAID DOWN PAR VALUE OF S L M A 3.5925% 4/25/23 -570.0100 0.000000 570.01 -567.70 2.31 01/29/2020 313384SK6 MATURED PAR VALUE OF F H L B DISC NTS 1/29/20 4,500,000 PAR VALUE AT -4,500,000.0000 1.000000 4,492,175.00 -4,492,175.00 0.00 100% 01/29/2020 31398VJ98 MATURED PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20/DIRECT FROM -40,251.5100 1.000000 40,251.51 -42,534.53 -2,283.02 ISSUER/1/25/2020 MATURITY PROCEEDS 01/29/2020 31398VJ98 MATURED-REV PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 56,619.5500 0.710912 -40,251.51 59,830.94 19,579.43 01/29/2020 31398VJ98 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 DECEMBER -172,468.8200 210.169775 172,468.82 -182,251.03 -9,782.21 PAYMENT 01/29/2020 31398VJ98 PAID DOWN-RV PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 RATE 156,100.7800 0.138540 -156,100.78 164,954.62 8,853.84 REVISION 01/29/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -2,012,854.8100 1.000000 2,012,854.81 -2,012,854.81 0.00 5of21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 01/30/2020 912796RY7 MATURED PAR VALUE OF U S TREASURY BILL 1/30/20 21,000,000 PAR VALUE -21,000,000.0000 1.000000 20,909,107.77 -20,909,107.77 0.00 AT100% 01/30/2020 94974BGF1 MATURED PAR VALUE OF WELLS FARGO MTN 2.150% 1/30/20 1,000,000 PAR -1,000,000.0000 1.000000 1,000,000.00 -996,600.00 3,400.00 VALUE AT 100% 01/30/2020 822582BG6 SOLD PAR VALUE OF SHELL INTERNATIONAL 2.125% 5/11/20/TD SECURITIES -1,000,000.0000 1.001070 1,001,070.00 -1,001,230.00 -160.00 (USA)/1,000,000 PAR VALUE AT 100.107% 01/31/2020 912828H52 MATURED PAR VALUE OF U S TREASURY NT 1.250% 1/31/20 13,500,000 PAR -13,500,000.0000 1.000000 13,500,000.00 -13,396,542.97 103,457.03 VALUE AT 100% 01/31/2020 912828UL2 MATURED PAR VALUE OF U S TREASURY NT 1.375% 1/31/20 5,000,000 PAR VALUE -5,000,000.0000 1.000000 5,000,000.00 -4,988,671.88 11,328.12 AT100% 01/31/2020 912828357 MATURED PAR VALUE OF U S TREASURY NT 2.000% 1/31/20 30,000,000 PAR -30,000,000.0000 1.000000 30,000,000.00 -29,961,132.82 38,867.18 VALUE AT 100% 01/31/2020 9128281-99 SOLD PAR VALUE OF U S TREASURY NT 1.375%10/31/20/NOMURA SECURITIES -3,000,000.0000 0.998633 2,995,898.44 -2,961,572.55 34,325.89 INTERNATIONA/3,000,000 PAR VALUE AT 99.86328133% 01/31/2020 9128281-57 SOLD PAR VALUE OF U S TREASURY NT 1.750% 9/30/22/CITIGROUP GLOBAL -4,000,000.0000 1.009727 4,038,906.25 -3,948,828.12 90,078.13 MARKETS INC./4,000,000 PAR VALUE AT 100.97265625% 01/31/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -70,000,000.0000 1.000000 70,000,000.00 -70,000,000.00 0.00 01/31/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -10,000,000.0000 1.000000 10,000,000.00 -10,000,000.00 0.00 02/03/2020 06406HCZO FULL CALL PAR VALUE OF BANK OF NY MELLO MTN 2.150% 2/24/20/CALLS/ -2,000,000.0000 1.000000 2,000,000.00 -1,994,230.00 5,770.00 02/14/2020 313383HU8 SOLD PAR VALUE OF F H L B DEB 1.750% 6/12/20/MORGAN STANLEY&CO. -1,000,000.0000 1.000630 1,000,630.00 -1,001,790.00 -1,160.00 LLC/1,000,000 PAR VALUE AT 100.063% 02/14/2020 912828XE5 SOLD PAR VALUE OF U S TREASURY NT 1.500% 5/31/20/CITIGROUP GLOBAL -5,000,000.0000 0.999688 4,998,437.50 -4,966,423.00 32,014.50 MARKETS INC./5,000,000 PAR VALUE AT 99.96875% 02/14/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -312,466.8900 1.000000 312,466.89 -312,466.89 0.00 02/18/2020 912828MP2 MATURED PAR VALUE OF U S TREASURY NT 3.625% 2/15/20 5,000,000 PAR VALUE -5,000,000.0000 1.000000 5,000,000.00 -5,013,671.88 -13,671.88 AT100% 02/18/2020 02587AAJ3 PAID DOWN PAR VALUE OF AMERICAN EXPRESS 1.930% 9/15/22 CMO FINAL -6,270,000.0000 0.000000 6,270,000.00 -6,174,085.15 95,914.85 PAYDOWN 02/18/2020 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C#786064 4.174% 1/01/28 JANUARY FHLMC -26.4000 0.000000 26.40 -25.76 0.64 DUE 2/15/20 02/18/2020 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.025% 8/15/32 -311.7000 0.000000 311.70 -312.03 -0.33 02/18/2020 43814RACO PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -102,724.7900 4.035756 102,724.79 -101,597.23 1,127.56 02/18/2020 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -156,674.1900 2.646078 156,674.19 -154,189.44 2,484.75 02/18/2020 43814WAB1 PAID DOWN PAR VALUE OF HONDA AUTO 2.750% 9/20/21 -364,802.1800 1.136430 364,802.18 -364,778.69 23.49 02/18/2020 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820%10/15/21 -54,347.6800 7.628148 54,347.68 -54,343.70 3.98 02/18/2020 47788CAC6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.660% 4/18/22 -110,372.9300 3.756104 110,372.93 -110,364.99 7.94 02/18/2020 47789JAB2 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.850%12/15/21 -349,163.6700 1.187329 349,163.67 -349,147.75 15.92 02/18/2020 65478GAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.750% 10/15/21 -159,623.2300 2.597192 159,623.23 -157,147.82 2,475.41 02/18/2020 89239AAB9 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.830% 10/15/21 -275,836.2800 1.502965 275,836.28 -275,811.23 25.05 6of21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 02/20/2020 912796TG4 MATURED PAR VALUE OF U S TREASURY BILL 2/20/20 2,000,000 PAR VALUE AT -2,000,000.0000 1.000000 1,998,322.22 -1,998,322.22 0.00 100% 02/20/2020 36225CAZ9 PAID DOWN PAR VALUE OF G N M A 1 1#080023 3.125% 12/20/26 JANUARY GNMA -159.8500 0.000000 159.85 -162.49 -2.64 DUE 2/20/20 02/20/2020 36225CC20 PAID DOWN PAR VALUE OF G N M A 1 1#080088 3.875% 6/20/27 JANUARY GNMA -417.4600 0.000000 417.46 -426.59 -9.13 DUE 2/20/20 02/20/2020 36225CNM4 PAID DOWN PAR VALUE OF G N M A 11#080395 3.875% 4/20/30 JANUARY GNMA -41.9200 0.000000 41.92 -41.54 0.38 DUE 2/20/20 02/20/2020 36225CN28 PAID DOWN PAR VALUE OF G N M A 1 1#080408 3.875% 5/20/30 JANUARY GNMA -334.5300 0.000000 334.53 -331.13 3.40 DUE 2/20/20 02/20/2020 36225DCB8 PAID DOWN PAR VALUE OF G N M A 1 1#080965 3.250% 7/20/34 JANUARY GNMA -1,455.8400 0.000000 1,455.84 -1,454.93 0.91 DUE 2/20/20 02/25/2020 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -12,923.4600 0.000000 12,923.46 -14,635.82 -1,712.36 02/25/2020 31371 NUC7 PAID DOWN PAR VALUE OF F N M A#257179 4.500% 4/01/28 JANUARY FNMA -135.1200 0.000000 135.12 -142.90 -7.78 DUE 2/25/20 02/25/2020 31376KT22 PAID DOWN PAR VALUE OF F N M A#357969 5.000% 9/01/35 JANUARY FNMA -2,784.1500 0.000000 2,784.15 -2,992.96 -208.81 DUE 2/25/20 02/25/2020 31381PDA3 PAID DOWN PAR VALUE OF F N M A#466397 3.400%11/01/20 JANUARY FNMA -715.4000 0.000000 715.40 -699.92 15.48 DUE 2/25/20 02/25/2020 31403DJZ3 PAID DOWN PAR VALUE OF F N M A#745580 5.000% 6/01/36 JANUARY FNMA -1,330.5100 0.000000 1,330.51 -1,430.30 -99.79 DUE 2/25/20 02/25/2020 31403GXF4 PAID DOWN PAR VALUE OF F N M A#748678 5.000%10/01/33 JANUARY FNMA -9.1500 0.000000 9.15 -9.84 -0.69 DUE 2/25/20 02/25/2020 31406PQY8 PAID DOWN PAR VALUE OF F N M A#815971 5.000% 3/01/35 JANUARY FNMA -5,154.8100 0.000000 5,154.81 -5,541.42 -386.61 DUE 2/25/20 02/25/2020 31406XWT5 PAID DOWN PAR VALUE OF F N M A#823358 3.674% 2/01/35 JANUARY FNMA -580.9600 0.000000 580.96 -576.42 4.54 DUE 2/25/20 02/25/2020 31407BXH7 PAID DOWN PAR VALUE OF F N M A#826080 5.000% 7/01/35 JANUARY FNMA -279.1200 0.000000 279.12 -300.05 -20.93 DUE 2/25/20 02/25/2020 31410F4V4 PAID DOWN PAR VALUE OF F N M A#888336 5.000% 7/01/36 JANUARY FNMA -2,698.3600 0.000000 2,698.36 -2,900.74 -202.38 DUE 2/25/20 02/25/2020 3138EG6F6 PAID DOWN PAR VALUE OF F N M A#AL0869 4.500% 6/01/29 JANUARY FNMA -148.0800 0.000000 148.08 -156.61 -8.53 DUE 2/25/20 02/25/2020 31417YAY3 PAID DOWN PAR VALUE OF F N M A#MA0022 4.500% 4/01/29 JANUARY FNMA -282.7100 0.000000 282.71 -298.99 -16.28 DUE 2/25/20 02/25/2020 31397QREO PAID DOWN PAR VALUE OF F N M A GTD REMIC 2.472% 2/25/41 -2,973.0000 0.000000 2,973.00 -2,972.07 0.93 02/26/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -4,995,705.5600 1.000000 4,995,705.56 -4,995,705.56 0.00 02/28/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -3,993,265.9800 1.000000 3,993,265.98 -3,993,265.98 0.00 03/02/2020 78012KC62 MATURED PAR VALUE OF ROYAL BANK MTN 2.125% 3/02/20 2,000,000 PAR -2,000,000.0000 1.000000 2,000,000.00 -2,001,340.00 -1,340.00 VALUE AT 100% 7of21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 03/02/2020 83162CLJO PAID DOWN PAR VALUE OF S B A GTD DEV PART 6.340% 3/01/21 -5,306.5300 0.000000 5,306.53 -5,306.53 0.00 03/05/2020 40428HPR7 MATURED PAR VALUE OF HSBC USA INC MTN 2.350% 3/05/20 2,500,000 PAR -2,500,000.0000 1.000000 2,500,000.00 -2,493,300.00 6,700.00 VALUE AT 100% 03/05/2020 40428HPR7 MATURED PAR VALUE OF HSBC USA INC MTN 2.350% 3/05/20 2,500,000 PAR -2,500,000.0000 1.000000 2,500,000.00 -2,472,287.50 27,712.50 VALUE AT 100% 03/05/2020 912796TH2 MATURED PAR VALUE OF U S TREASURY BILL 3/05/20 7,500,000 PAR VALUE AT -7,500,000.0000 1.000000 7,476,699.31 -7,476,699.31 0.00 100% 03/05/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -3,537,453.7500 1.000000 3,537,453.75 -3,537,453.75 0.00 03/10/2020 912796XA2 MATURED PAR VALUE OF U S TREASURY BILL 3/10/20 2,000,000 PAR VALUE AT -2,000,000.0000 1.000000 1,996,701.25 -1,996,701.25 0.00 100% 03/16/2020 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C#786064 3.845% 1/01/28 FEBRUARY FHLMC -19.1500 0.000000 19.15 -18.68 0.47 DUE 3/15/20 03/16/2020 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.025% 8/15/32 -245.3000 0.000000 245.30 -245.56 -0.26 03/16/2020 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820%10/15/21 -41,374.5100 0.000000 41,374.51 -41,371.48 3.03 03/16/2020 477870AB5 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.280% 5/16/22 -17,068.9400 0.000000 17,068.94 -17,068.88 0.06 03/16/2020 47788CAC6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.660% 4/18/22 -73,965.6700 0.000000 73,965.67 -73,960.35 5.32 03/16/2020 47789JAB2 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.850%12/15/21 -250,846.6900 0.000000 250,846.69 -250,835.25 11.44 03/16/2020 65478GAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.750% 10/15/21 -143,817.4200 0.000000 143,817.42 -141,587.13 2,230.29 03/16/2020 89239AAB9 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.830% 10/15/21 -259,247.6600 0.000000 259,247.66 -259,224.12 23.54 03/17/2020 912796XBO MATURED PAR VALUE OF U S TREASURY BILL 3/17/20 5,000,000 PAR VALUE AT -5,000,000.0000 1.000000 4,995,705.56 -4,995,705.56 0.00 100% 03/18/2020 06367BDS5 MATURED PAR VALUE OF BANK OF MONTREAL C D 2.000% 3/18/20 1,000,000 PAR -1,000,000.0000 1.000000 1,000,000.00 -1,000,049.48 -49.48 VALUE AT 100% 03/18/2020 06367BDS5 MATURED PAR VALUE OF BANK OF MONTREAL C D 2.000% 3/18/20 8,000,000 PAR -8,000,000.0000 1.000000 8,000,000.00 -8,000,389.30 -389.30 VALUE AT 100% 03/18/2020 43814RACO PAID DOWN PAR VALUE OF HONDA AUTO 1.210%12/18/20 CMO FINAL -23,443.4300 0.000000 23,443.43 -23,186.10 257.33 PAYDOWN 03/18/2020 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -151,161.0100 0.000000 151,161.01 -148,763.69 2,397.32 03/18/2020 43814WAB1 PAID DOWN PAR VALUE OF HONDA AUTO 2.750% 9/20/21 -341,537.8200 0.000000 341,537.82 -341,515.82 22.00 03/18/2020 43814UAG4 PAID DOWN PAR VALUE OF HONDA AUTO 3.010% 5/18/22 -89,039.5300 0.000000 89,039.53 -89,037.59 1.94 03/20/2020 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I#080023 3.125% 12/20/26 FEBRUARY GNMA -160.9500 0.000000 160.95 -163.61 -2.66 DUE 3/20/20 03/20/2020 36225CC20 PAID DOWN PAR VALUE OF G N M A 1 1#080088 3.875% 6/20/27 FEBRUARY GNMA -135.3000 0.000000 135.30 -138.26 -2.96 DUE 3/20/20 03/20/2020 36225CNM4 PAID DOWN PAR VALUE OF G N M A 11#080395 3.875% 4/20/30 FEBRUARY GNMA -168.9600 0.000000 168.96 -167.43 1.53 DUE 3/20/20 03/20/2020 36225CN28 PAID DOWN PAR VALUE OF G N M A 1 1#080408 3.875% 5/20/30 FEBRUARY GNMA -1,020.5000 0.000000 1,020.50 -1,010.14 10.36 DUE 3/20/20 8of21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 03/20/2020 36225DCB8 PAID DOWN PAR VALUE OF G N M A 1 1#080965 3.250% 7/20/34 FEBRUARY GNMA -201.3300 0.000000 201.33 -201.20 0.13 DUE 3/20/20 03/20/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -5,526,877.9700 1.000000 5,526,877.97 -5,526,877.97 0.00 03/23/2020 43815HAC1 PAID DOWN PAR VALUE OF HONDA AUTO 2.950% 8/22/22 -51,757.0100 0.000000 51,757.01 -51,749.91 7.10 03/25/2020 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -17,887.6000 0.000000 17,887.60 -20,257.71 -2,370.11 03/25/2020 31371NUC7 PAID DOWN PAR VALUE OF F N M A#257179 4.500% 4/01/28 FEBRUARY FNMA -1,032.7800 0.000000 1,032.78 -1,092.27 -59.49 DUE 3/25/20 03/25/2020 31376KT22 PAID DOWN PAR VALUE OF F N M A#357969 5.000% 9/01/35 FEBRUARY FNMA -390.7200 0.000000 390.72 -420.02 -29.30 DUE 3/25/20 03/25/2020 31381PDA3 PAID DOWN PAR VALUE OF F N M A#466397 3.400%11/01/20 FEBRUARY FNMA -807.7400 0.000000 807.74 -790.26 17.48 DUE 3/25/20 03/25/2020 31403DJZ3 PAID DOWN PAR VALUE OF F N M A#745580 5.000% 6/01/36 FEBRUARY FNMA -1,416.1200 0.000000 1,416.12 -1,522.33 -106.21 DUE 3/25/20 03/25/2020 31403GXF4 PAID DOWN PAR VALUE OF F N M A#748678 5.000%10/01/33 FEBRUARY FNMA -9.1900 0.000000 9.19 -9.88 -0.69 DUE 3/25/20 03/25/2020 31406PQY8 PAID DOWN PAR VALUE OF F N M A#815971 5.000% 3/01/35 FEBRUARY FNMA -588.0600 0.000000 588.06 -632.16 -44.10 DUE 3/25/20 03/25/2020 31406XWT5 PAID DOWN PAR VALUE OF F N M A#823358 3.674% 2/01/35 FEBRUARY FNMA -481.7200 0.000000 481.72 -477.96 3.76 DUE 3/25/20 03/25/2020 31407BXH7 PAID DOWN PAR VALUE OF F N M A#826080 5.000% 7/01/35 FEBRUARY FNMA -119.0100 0.000000 119.01 -127.94 -8.93 DUE 3/25/20 03/25/2020 31410F4V4 PAID DOWN PAR VALUE OF F N M A#888336 5.000% 7/01/36 FEBRUARY FNMA -2,681.5000 0.000000 2,681.50 -2,882.61 -201.11 DUE 3/25/20 03/25/2020 3138EG6F6 PAID DOWN PAR VALUE OF F N M A#AL0869 4.500% 6/01/29 FEBRUARY FNMA -167.6900 0.000000 167.69 -177.35 -9.66 DUE 3/25/20 03/25/2020 31417YAY3 PAID DOWN PAR VALUE OF F N M A#MA0022 4.500% 4/01/29 FEBRUARY FNMA -375.0200 0.000000 375.02 -396.62 -21.60 DUE 3/25/20 03/25/2020 31397QREO PAID DOWN PAR VALUE OF F N M A GTD REMIC 2.472% 2/25/41 -3,009.9600 0.000000 3,009.96 -3,009.02 0.94 03/25/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -5,835,891.1900 1.000000 5,835,891.19 -5,835,891.19 0.00 TOTAL DISPOSITIONS -296,666,112.0400 296,595,908.67 -296,061,459.97 534,448.70 OTHER TRANSACTIONS 01/02/2020 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE 0.0000 0.000000 19,501.17 0.00 0.00 12/31/2019 INTEREST FROM 12/1/19 TO 12/31/19 01/02/2020 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE 0.0000 0.000000 16,711.57 0.00 0.00 12/31/2019 INTEREST FROM 12/1/19 TO 12/31/19 01/02/2020 912796RT8 INTEREST EARNED ON U S TREASURY BILL 1/02/20$1 PV ON 7500000.0000 0.0000 0.000000 3,094.79 0.00 0.00 SHARES DUE 1/2/2020 7,500,000 PAR VALUE AT 100% 01/06/2020 3135GOS38 INTEREST EARNED ON F N M A 2.000% 1/05/22$1 PV ON 3000000.0000 0.0000 0.000000 30,000.00 0.00 0.00 SHARES DUE 1/5/2020 9of21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 01/06/2020 404280BF5 INTEREST EARNED ON HSBC HOLDINGS PLC 2.650% 1/05/22$1 PV ON 0.0000 0.000000 59,625.00 0.00 0.00 4500000.0000 SHARES DUE 1/5/2020 01/07/2020 912796WM7 INTEREST EARNED ON U S TREASURY BILL 1/07/20$1 PV ON 7500000.0000 0.0000 0.000000 4,679.69 0.00 0.00 SHARES DUE 1/7/2020 7,500,000 PAR VALUE AT 100% 01/10/2020 822582BG6 PAID ACCRUED INTEREST ON PURCHASE OF SHELL INTERNATIONAL 2.125% 0.0000 0.000000 -3,482.64 0.00 0.00 5/11/20 01/13/2020 912828WUO BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-1872.00 UNITS 0.0000 0.000000 0.00 0.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 01/13/2020 912828WUO FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-1872.00 UNITS 0.0000 0.000000 0.00 -1,872.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 01/13/2020 912828WUO PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-1872.0000 UNITS -1,872.0000 0.000000 0.00 0.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 01/13/2020 912828WUO STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-1872.00 UNITS 0.0000 0.000000 0.00 0.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 01/14/2020 02665WCJ8 INTEREST EARNED ON AMERICAN HONDA MTN 3.450% 7/14/23$1 PV ON 0.0000 0.000000 14,576.25 0.00 0.00 845000.0000 SHARES DUE 1/14/2020 01/14/2020 313384RU5 INTEREST EARNED ON F H L B DISC NTS 1/14/20$1 PV ON 1200000.0000 0.0000 0.000000 1,308.33 0.00 0.00 SHARES DUE 1/14/2020 1,200,000 PAR VALUE AT 100% 01/15/2020 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22$1 PV ON 10084.2400 0.0000 0.000000 10,084.24 0.00 0.00 SHARES DUE 1/15/2020$0.00161/PV ON 6,270,000.00 PV DUE 1/15/20 01/15/2020 31348SWZ3 INTEREST EARNED ON F H L M C#786064 4.677% 1/01/28$1 PV ON 6.9900 SHARES 0.0000 0.000000 6.99 0.00 0.00 DUE 1/15/2020 NOVEMBER FHLMC DUE 1/15/20 01/15/2020 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 4.023% 8/15/32$1 PV ON 22.7100 0.0000 0.000000 22.71 0.00 0.00 SHARES DUE 1/15/2020$0.00335/PV ON 6,774.15 PV DUE 1/15/20 01/15/2020 43815NABO INTEREST EARNED ON HONDA AUTO 1.900% 4/15/22$1 PV ON 5589.1700 0.0000 0.000000 5,589.17 0.00 0.00 SHARES DUE 1/15/2020$0.00158/PV ON 3,530,000.00 PV DUE 1/15/20 01/15/2020 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820%10/15/21 $1 PV ON 491.4500 0.0000 0.000000 491.45 0.00 0.00 SHARES DUE 1/15/2020$0.00152/PV ON 324,036.22 PV DUE 1/15/20 01/15/2020 477870AB5 INTEREST EARNED ON JOHN DEERE OWNER 2.280% 5/16/22$1 PV ON 5320.0000 0.0000 0.000000 5,320.00 0.00 0.00 SHARES DUE 1/15/2020$0.00190/PV ON 2,800,000.00 PV DUE 1/15/20 01/15/2020 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22$1 PV ON 2467.5800 0.0000 0.000000 2,467.58 0.00 0.00 SHARES DUE 1/15/2020$0.00222/PV ON 1,113,192.86 PV DUE 1/15/20 01/15/2020 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850%12/15/21 $1 PV ON 6568.4300 0.0000 0.000000 6,568.43 0.00 0.00 SHARES DUE 1/15/2020$0.00238/PV ON 2,765,654.65 PV DUE 1/15/20 01/15/2020 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080%11/15/22$1 PV ON 11883.6700 0.0000 0.000000 11,883.67 0.00 0.00 SHARES DUE 1/15/2020$0.00257/PV ON 4,630,000.00 PV DUE 1/15/20 01/15/2020 65478VAD9 INTEREST EARNED ON NISSAN AUTO 1.320% 1/15/21 $1 PV ON 39.5000 SHARES 0.0000 0.000000 39.50 0.00 0.00 DUE 1/15/2020$0.00110/PV ON 35,911.04 PV DUE 1/15/20 01/15/2020 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 2279.7000 0.0000 0.000000 2,279.70 0.00 0.00 SHARES DUE 1/15/2020$0.00146/PV ON 1,563,223.44 PV DUE 1/15/20 10 of 21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 01/15/2020 65479JAD5 INTEREST EARNED ON NISSAN AUTO 1.930% 7/15/24$1 PV ON 6730.8700 0.0000 0.000000 6,730.87 0.00 0.00 SHARES DUE 1/15/2020$0.00161/PV ON 4,185,000.00 PV DUE 1/15/20 01/15/2020 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23$1 PV ON 9078.0000 0.0000 0.000000 9,078.00 0.00 0.00 SHARES DUE 1/15/2020$0.00255/PV ON 3,560,000.00 PV DUE 1/15/20 01/15/2020 69372AAF9 INTEREST EARNED ON PACCAR FINANCIAL CORP C P 1/15/20$1 PV ON 0.0000 0.000000 5,030.97 0.00 0.00 1100000.0000 SHARES DUE 1/15/2020 1,100,000 PAR VALUE AT 100% 01/15/2020 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830%10/15/21 $1 PV ON 6498.7200 0.0000 0.000000 6,498.72 0.00 0.00 SHARES DUE 1/15/2020$0.00236/PV ON 2,755,642.46 PV DUE 1/15/20 01/15/2020 912828WUO INTEREST EARNED ON U S TREASURY I P S 0.125% 7/15/24$1 PV ON 0.0000 0.000000 7,043.08 0.00 0.00 11268920.0000 SHARES DUE 1/15/2020 01/16/2020 78013XZU5 INTEREST EARNED ON ROYAL BANK OF MTN 2.550% 7/16/24$1 PV ON 0.0000 0.000000 82,875.00 0.00 0.00 6500000.0000 SHARES DUE 1/16/2020 01/17/2020 89233GAH9 INTEREST EARNED ON TOYOTA MOTOR CREDIT CO C P 1/17/20$1 PV ON 0.0000 0.000000 38,115.56 0.00 0.00 2000000.0000 SHARES DUE 1/17/2020 2,000,000 PAR VALUE AT 100% 01/17/2020 9128281-32 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.375% 8/31/20 0.0000 0.000000 -26,253.43 0.00 0.00 01/17/2020 912828XY1 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.500% 6/30/20 0.0000 0.000000 -5,837.91 0.00 0.00 01/17/2020 912828357 RECEIVED ACCRUED INTEREST ON SALE OF U S TREASURY NT 2.000% 1/31/20 0.0000 0.000000 46,195.65 0.00 0.00 01/21/2020 3135GOT94 INTEREST EARNED ON F N M A DEB 2.375% 1/19/23$1 PV ON 5000000.0000 0.0000 0.000000 59,375.00 0.00 0.00 SHARES DUE 1/19/2020 01/21/2020 36225CAZ9 INTEREST EARNED ON G N M A 1 1#080023 4.125% 12/20/26$1 PV ON 49.6800 0.0000 0.000000 49.68 0.00 0.00 SHARES DUE 1/20/2020 DECEMBER GNMA DUE 1/20/20 01/21/2020 36225CC20 INTEREST EARNED ON G N M A 1 1#080088 3.875% 6/20/27$1 PV ON 39.8000 0.0000 0.000000 39.80 0.00 0.00 SHARES DUE 1/20/2020 DECEMBER GNMA DUE 1/20/20 01/21/2020 36225CNM4 INTEREST EARNED ON G N M A 1 1#080395 3.875% 4/20/30$1 PV ON 20.1000 0.0000 0.000000 20.10 0.00 0.00 SHARES DUE 1/20/2020 DECEMBER GNMA DUE 1/20/20 01/21/2020 36225CN28 INTEREST EARNED ON G N M A 1 1#080408 3.875% 5/20/30$1 PV ON 150.0700 0.0000 0.000000 150.07 0.00 0.00 SHARES DUE 1/20/2020 DECEMBER GNMA DUE 1/20/20 01/21/2020 36225DCB8 INTEREST EARNED ON G N M A 1 1#080965 3.250% 7/20/34$1 PV ON 116.8400 0.0000 0.000000 116.84 0.00 0.00 SHARES DUE 1/20/2020 DECEMBER GNMA DUE 1/20/20 01/21/2020 43814RACO INTEREST EARNED ON HONDA AUTO 1.210%12/18/20$1 PV ON 230.9600 0.0000 0.000000 230.96 0.00 0.00 SHARES DUE 1/18/2020$0.00101/PV ON 229,048.89 PV DUE 1/18/20 01/21/2020 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 2387.0100 0.0000 0.000000 2,387.01 0.00 0.00 SHARES DUE 1/18/2020$0.00149/PV ON 1,600,231.50 PV DUE 1/18/20 01/21/2020 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 8682.8100 0.0000 0.000000 8,682.81 0.00 0.00 SHARES DUE 1/18/2020$0.00229/PV ON 3,788,865.07 PV DUE 1/18/20 01/21/2020 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22$1 PV ON 9759.5800 0.0000 0.000000 9,759.58 0.00 0.00 SHARES DUE 1/21/2020$0.00246/PV ON 3,970,000.00 PV DUE 1/21/20 01/21/2020 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22$1 PV ON 4289.2500 0.0000 0.000000 4,289.25 0.00 0.00 SHARES DUE 1/18/2020$0.00251/PV ON 1,710,000.00 PV DUE 1/18/20 11 of 21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 01/21/2020 4581XOCW6 INTEREST EARNED ON INTER AMER DEV BK 2.125% 1/18/22$1 PV ON 0.0000 0.000000 31,875.00 0.00 0.00 3000000.0000 SHARES DUE 1/18/2020 01/21/2020 45950KCJ7 INTEREST EARNED ON INTL FINANCE CORP 1.125% 7/20/21 $1 PV ON 2500000.0000 0.0000 0.000000 14,075.00 0.00 0.00 SHARES DUE 1/20/2020 01/21/2020 89114QC48 INTEREST EARNED ON TORONTO MTN 3.500% 7/19/23$1 PV ON 5000000.0000 0.0000 0.000000 87,500.00 0.00 0.00 SHARES DUE 1/19/2020 01/21/2020 90331 HNL3 RECEIVED ACCRUED INTEREST ON SALE OF US BANK NA MTN 2.850% 1/23/23 0.0000 0.000000 42,275.00 0.00 0.00 01/22/2020 94974BGM6 INTEREST EARNED ON WELLS FARGO CO MTN 2.600% 7/22/20$1 PV ON 0.0000 0.000000 65,000.00 0.00 0.00 5000000.0000 SHARES DUE 1/22/2020 01/22/2020 95000U2138 INTEREST EARNED ON WELLS FARGO MTN 2.625% 7/22/22$1 PV ON 0.0000 0.000000 39,375.00 0.00 0.00 3000000.0000 SHARES DUE 1/22/2020 01/23/2020 313384SD2 INTEREST EARNED ON F H L B DISC NTS 1/23/20$1 PV ON 5000000.0000 0.0000 0.000000 7,413.89 0.00 0.00 SHARES DUE 1/23/2020 5,000,000 PAR VALUE AT 100% 01/23/2020 46647PAUO INTEREST EARNED ON JPMORGAN CHASE CO 3.797% 7/23/24$1 PV ON 0.0000 0.000000 47,462.50 0.00 0.00 2500000.0000 SHARES DUE 1/23/2020 01/23/2020 89114M2Z9 INTEREST EARNED ON TORONTO DOMINION C D 2.200% 1/23/20$1 PV ON 0.0000 0.000000 22,366.67 0.00 0.00 2000000.0000 SHARES DUE 1/23/2020 INTEREST ON 1/23/20 MATURITY 01/23/2020 90331 HNL3 INTEREST EARNED ON US BANK NA MTN 2.850% 1/23/23$1 PV ON 2000000.0000 0.0000 0.000000 28,500.00 0.00 0.00 SHARES DUE 1/23/2020 01/27/2020 03215PFN4 INTEREST EARNED ON AMRESCO 2.91416% 6/25/29$1 PV ON 289.0400 0.0000 0.000000 289.04 0.00 0.00 SHARES DUE 1/25/2020$0.00243/PV ON 119,021.64 PV DUE 1/25/20 01/27/2020 808513AT2 INTEREST EARNED ON CHARLES SCHWAB CORP 2.650% 1/25/23$1 PV ON 0.0000 0.000000 89,437.50 0.00 0.00 6750000.0000 SHARES DUE 1/25/2020 01/27/2020 3133EKWV4 INTEREST EARNED ON F F C B DEB 1.850% 7/26/24$1 PV ON 5000000.0000 0.0000 0.000000 46,250.00 0.00 0.00 SHARES DUE 1/26/2020 01/27/2020 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20$1 PV ON 142.5900 0.0000 0.000000 142.59 0.00 0.00 SHARES DUE 1/25/2020$0.00354/PV ON 56,619.55 PV DUE 1/25/20 01/27/2020 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43$1 PV ON 3632.8400 0.0000 0.000000 3,632.84 0.00 0.00 SHARES DUE 1/25/2020$0.00542/PV ON 670,678.27 PV DUE 1/25/20 01/27/2020 31371NUC7 INTEREST EARNED ON F N M A#257179 4.500% 4/01/28$1 PV ON 53.6700 SHARES 0.0000 0.000000 53.67 0.00 0.00 DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20 01/27/2020 31376KT22 INTEREST EARNED ON F N M A#357969 5.000% 9/01/35$1 PV ON 383.2400 0.0000 0.000000 383.24 0.00 0.00 SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20 01/27/2020 31381PDA3 INTEREST EARNED ON F N M A#466397 3.400%11/01/20$1 PV ON 981.2400 0.0000 0.000000 981.24 0.00 0.00 SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20 01/27/2020 31403DJZ3 INTEREST EARNED ON F N M A#745580 5.000% 6/01/36$1 PV ON 365.7400 0.0000 0.000000 365.74 0.00 0.00 SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20 01/27/2020 31403GXF4 INTEREST EARNED ON F N M A#748678 5.000%10/01/33$1 PV ON 7.3100 SHARES 0.0000 0.000000 7.31 0.00 0.00 DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20 12 of 21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 01/27/2020 31406PQY8 INTEREST EARNED ON F N M A#815971 5.000% 3/01/35$1 PV ON 608.5800 0.0000 0.000000 608.58 0.00 0.00 SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20 01/27/2020 31406XWT5 INTEREST EARNED ON F N M A#823358 4.347% 2/01/35$1 PV ON 390.9000 0.0000 0.000000 390.90 0.00 0.00 SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20 01/27/2020 31407BXH7 INTEREST EARNED ON F N M A#826080 5.000% 7/01/35$1 PV ON 73.6600 SHARES 0.0000 0.000000 73.66 0.00 0.00 DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20 01/27/2020 31410F4V4 INTEREST EARNED ON F N M A#888336 5.000% 7/01/36$1 PV ON 715.3400 0.0000 0.000000 715.34 0.00 0.00 SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20 01/27/2020 3138EG6F6 INTEREST EARNED ON F N M A#AL0869 4.500% 6/01/29$1 PV ON 35.6900 0.0000 0.000000 35.69 0.00 0.00 SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20 01/27/2020 31417YAY3 INTEREST EARNED ON F N M A#MA0022 4.500% 4/01/29$1 PV ON 57.9100 0.0000 0.000000 57.91 0.00 0.00 SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20 01/27/2020 31397QREO INTEREST EARNED ON F N M A GTD REMIC 2.472% 2/25/41 $1 PV ON 365.6900 0.0000 0.000000 365.69 0.00 0.00 SHARES DUE 1/25/2020$0.00206/PV ON 177,519.84 PV DUE 1/25/20 01/27/2020 459058FY4 INTEREST EARNED ON INTL BK 2.000% 1/26/22$1 PV ON 10000000.0000 0.0000 0.000000 100,000.00 0.00 0.00 SHARES DUE 1/26/2020 01/27/2020 45950KCMO INTEREST EARNED ON INTL BK M T N 2.250% 1/25/21 $1 PV ON 2970000.0000 0.0000 0.000000 33,412.50 0.00 0.00 SHARES DUE 1/25/2020 01/27/2020 78445JAA5 INTEREST EARNED ON S L M A 3.5925% 4/25/23$1 PV ON 114.6300 SHARES 0.0000 0.000000 114.63 0.00 0.00 DUE 1/25/2020$0.00898/PV ON 12,762.94 PV DUE 1/25/20 01/28/2020 61747WAL3 INTEREST EARNED ON MORGAN STANLEY 5.500% 7/28/21 $1 PV ON 0.0000 0.000000 77,000.00 0.00 0.00 2800000.0000 SHARES DUE 1/28/2020 01/29/2020 912828WUO BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-3120.00 UNITS 0.0000 0.000000 0.00 0.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 01/29/2020 912828WUO FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-3120.00 UNITS 0.0000 0.000000 0.00 -3,120.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 01/29/2020 06406RAE7 INTEREST EARNED ON BANK OF NY MTN 2.950% 1/29/23$1 PV ON 2500000.0000 0.0000 0.000000 36,875.00 0.00 0.00 SHARES DUE 1/29/2020 01/29/2020 313384SK6 INTEREST EARNED ON F H L B DISC NTS 1/29/20$1 PV ON 4500000.0000 0.0000 0.000000 7,825.00 0.00 0.00 SHARES DUE 1/29/2020 4,500,000 PAR VALUE AT 100% 01/29/2020 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20$1 PV ON 753.5600 0.0000 0.000000 753.56 0.00 0.00 SHARES DUE 12/25/2019$0.00354/PV ON 212,720.33 PV DUE 12/25/19 01/29/2020 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20$1 PV ON 753.5600 0.0000 0.000000 -753.56 0.00 0.00 SHARES DUE 12/25/2019 RATE REVISION 01/29/2020 912828WUO PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-3120.0000 UNITS -3,120.0000 0.000000 0.00 0.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 01/29/2020 912828WUO STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-3120.00 UNITS 0.0000 0.000000 0.00 0.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 01/30/2020 912796RY7 INTEREST EARNED ON U S TREASURY BILL 1/30/20$1 PV ON 21000000.0000 0.0000 0.000000 90,892.23 0.00 0.00 SHARES DUE 1/30/2020 21,000,000 PAR VALUE AT 100% 13 of 21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 01/30/2020 94974BGF1 INTEREST EARNED ON WELLS FARGO MTN 2.150% 1/30/20$1 PV ON 0.0000 0.000000 10,750.00 0.00 0.00 1000000.0000 SHARES DUE 1/30/2020 01/30/2020 9128281-32 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.375% 8/31/20 0.0000 0.000000 -28,708.79 0.00 0.00 01/30/2020 912828XH8 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.625% 6/30/20 0.0000 0.000000 -6,696.43 0.00 0.00 01/30/2020 822582BG6 RECEIVED ACCRUED INTEREST ON SALE OF SHELL INTERNATIONAL 2.125% 0.0000 0.000000 4,663.19 0.00 0.00 01/31/2020 CASH DISBURSEMENT PAID TO BANC OF CALIFORNIA OUTGOING DOMESTIC WIRE 0.0000 0.000000 -70,000,000.00 0.00 0.00 PER DIR DTD 1/24/2020 01/31/2020 CASH DISBURSEMENT PAID TO BANC OF CALIFORNIA OUTGOING DOMESTIC WIRE 0.0000 0.000000 -10,000,000.00 0.00 0.00 PER DIR DTD 1/24/2020 01/31/2020 9128281-152 INTEREST EARNED ON U S TREASURY NT 1.250% 1/31/20$1 PV ON 0.0000 0.000000 84,375.00 0.00 0.00 13500000.0000 SHARES DUE 1/31/2020 01/31/2020 912828UL2 INTEREST EARNED ON U S TREASURY NT 1.375% 1/31/20$1 PV ON 5000000.0000 0.0000 0.000000 34,375.00 0.00 0.00 SHARES DUE 1/31/2020 01/31/2020 9128281\189 INTEREST EARNED ON U S TREASURY NT 1.375% 1/31/21 $1 PV ON 6000000.0000 0.0000 0.000000 41,250.00 0.00 0.00 SHARES DUE 1/31/2020 01/31/2020 912828V72 INTEREST EARNED ON U S TREASURY NT 1.875% 1/31/22$1 PV ON 3000000.0000 0.0000 0.000000 28,125.00 0.00 0.00 SHARES DUE 1/31/2020 01/31/2020 912828357 INTEREST EARNED ON U S TREASURY NT 2.000% 1/31/20$1 PV ON 0.0000 0.000000 300,000.00 0.00 0.00 30000000.0000 SHARES DUE 1/31/2020 01/31/2020 912828V80 INTEREST EARNED ON U S TREASURY NT 2.250% 1/31/24$1 PV ON 7500000.0000 0.0000 0.000000 84,375.00 0.00 0.00 SHARES DUE 1/31/2020 01/31/2020 912828XY1 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.500% 6/30/20 0.0000 0.000000 -2,129.12 0.00 0.00 01/31/2020 9128284Y3 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.625% 8/31/20 0.0000 0.000000 -77,235.58 0.00 0.00 01/31/2020 9128281-99 RECEIVED ACCRUED INTEREST ON SALE OF U S TREASURY NT 1.375%10/31/20 0.0000 0.000000 10,425.82 0.00 0.00 01/31/2020 9128281-57 RECEIVED ACCRUED INTEREST ON SALE OF U S TREASURY NT 1.750% 9/30/22 0.0000 0.000000 23,524.59 0.00 0.00 02/03/2020 06406HCZO INTEREST EARNED ON BANK OF NY MELLO MTN 2.150% 2/24/20$1 PV ON 0.0000 0.000000 18,991.67 0.00 0.00 2000000.0000 SHARES DUE 2/3/2020 ACCRUED INTEREST ON 2/3/2020 FULL CALL 02/03/2020 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE 0.0000 0.000000 21,570.84 0.00 0.00 1/31/2020 INTEREST FROM 1/1/20 TO 1/31/20 02/03/2020 31846V567 INTEREST EARNED ON FIRST AM GOUT OB FD CL Z UNIT ON 0.0000 SHARES DUE 0.0000 0.000000 5,886.80 0.00 0.00 1/31/2020 INTEREST FROM 1/1/20 TO 1/31/20 02/05/2020 3135GOV34 INTEREST EARNED ON F N M A 2.500% 2/05/24$1 PV ON 5000000.0000 0.0000 0.000000 62,500.00 0.00 0.00 SHARES DUE 2/5/2020 02/06/2020 44932HAH6 INTEREST EARNED ON IBM CREDIT CORP 3.000% 2/06/23$1 PV ON 5670000.0000 0.0000 0.000000 85,050.00 0.00 0.00 SHARES DUE 2/6/2020 02/07/2020 CASH RECEIPT MISCELLANEOUS RECEIPT CHANDLER ASSET MGMT CK#22717 0.0000 0.000000 160.00 0.00 0.00 REIMB FOR SELL INTL 02/07/2020 06406RAA5 INTEREST EARNED ON BANK OF NY MTN 2.600% 2/07/22$1 PV ON 2500000.0000 0.0000 0.000000 32,500.00 0.00 0.00 SHARES DUE 2/7/2020 14 of 21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 02/10/2020 594918BP8 INTEREST EARNED ON MICROSOFT CORP 1.550% 8/08/21 $1 PV ON 3045000.0000 0.0000 0.000000 23,598.75 0.00 0.00 SHARES DUE 2/8/2020 02/13/2020 912828WUO BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-5200.00 UNITS 0.0000 0.000000 0.00 0.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 02/13/2020 912828WUO FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-5200.00 UNITS 0.0000 0.000000 0.00 -5,200.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 02/13/2020 912828WUO PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-5200.0000 UNITS -5,200.0000 0.000000 0.00 0.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 02/13/2020 912828WUO STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-5200.00 UNITS 0.0000 0.000000 0.00 0.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 02/14/2020 313383HU8 RECEIVED ACCRUED INTEREST ON SALE OF F H L B DEB 1.750% 6/12/20 0.0000 0.000000 3,013.89 0.00 0.00 02/14/2020 912828XE5 RECEIVED ACCRUED INTEREST ON SALE OF U S TREASURY NT 1.500% 5/31/20 0.0000 0.000000 15,573.77 0.00 0.00 02/18/2020 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22$1 PV ON 10084.2400 0.0000 0.000000 10,084.24 0.00 0.00 SHARES DUE 2/15/2020$0.00161/PV ON 6,270,000.00 PV DUE 2/15/20 02/18/2020 3130A7CV5 INTEREST EARNED ON F H L B DEB 1.375% 2/18/21 $1 PV ON 5365000.0000 0.0000 0.000000 36,884.38 0.00 0.00 SHARES DUE 2/18/2020 02/18/2020 3137EAEL9 INTEREST EARNED ON F H L M C M T N 2.375% 2/16/21 $1 PV ON 7500000.0000 0.0000 0.000000 89,062.50 0.00 0.00 SHARES DUE 2/16/2020 02/18/2020 31348SWZ3 INTEREST EARNED ON F H L M C#786064 4.174% 1/01/28$1 PV ON 6.1700 SHARES 0.0000 0.000000 6.17 0.00 0.00 DUE 2/15/2020 DECEMBER FHLMC DUE 2/15/20 02/18/2020 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 4.025% 8/15/32$1 PV ON 21.7700 0.0000 0.000000 21.77 0.00 0.00 SHARES DUE 2/15/2020$0.00335/PV ON 6,489.65 PV DUE 2/15/20 02/18/2020 43814RACO INTEREST EARNED ON HONDA AUTO 1.210%12/18/20$1 PV ON 127.2200 0.0000 0.000000 127.22 0.00 0.00 SHARES DUE 2/18/2020$0.00101/PV ON 126,168.22 PV DUE 2/18/20 02/18/2020 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 2151.2900 0.0000 0.000000 2,151.29 0.00 0.00 SHARES DUE 2/18/2020$0.00149/PV ON 1,442,203.80 PV DUE 2/18/20 02/18/2020 43815NABO INTEREST EARNED ON HONDA AUTO 1.900% 4/15/22$1 PV ON 5589.1700 0.0000 0.000000 5,589.17 0.00 0.00 SHARES DUE 2/15/2020$0.00158/PV ON 3,530,000.00 PV DUE 2/15/20 02/18/2020 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 7880.8600 0.0000 0.000000 7,880.86 0.00 0.00 SHARES DUE 2/18/2020$0.00229/PV ON 3,438,920.80 PV DUE 2/18/20 02/18/2020 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22$1 PV ON 4289.2500 0.0000 0.000000 4,289.25 0.00 0.00 SHARES DUE 2/18/2020$0.00251/PV ON 1,710,000.00 PV DUE 2/18/20 02/18/2020 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820%10/15/21 $1 PV ON 424.0600 0.0000 0.000000 424.06 0.00 0.00 SHARES DUE 2/15/2020$0.00152/PV ON 279,598.82 PV DUE 2/15/20 02/18/2020 477870AB5 INTEREST EARNED ON JOHN DEERE OWNER 2.280% 5/16/22$1 PV ON 5320.0000 0.0000 0.000000 5,320.00 0.00 0.00 SHARES DUE 2/15/2020$0.00190/PV ON 2,800,000.00 PV DUE 2/15/20 02/18/2020 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22$1 PV ON 2252.3400 0.0000 0.000000 2,252.34 0.00 0.00 SHARES DUE 2/15/2020$0.00222/PV ON 1,016,092.87 PV DUE 2/15/20 02/18/2020 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850%12/15/21 $1 PV ON 5889.6900 0.0000 0.000000 5,889.69 0.00 0.00 SHARES DUE 2/15/2020$0.00238/PV ON 2,479,870.11 PV DUE 2/15/20 15 of 21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 02/18/2020 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080%11/15/22$1 PV ON 11883.6700 0.0000 0.000000 11,883.67 0.00 0.00 SHARES DUE 2/15/2020$0.00257/PV ON 4,630,000.00 PV DUE 2/15/20 02/18/2020 58770FAC6 INTEREST EARNED ON MERCEDES BENZ AUTO 1.840%12/15/22$1 PV ON 1676.4400 0.0000 0.000000 1,676.44 0.00 0.00 SHARES DUE 2/15/2020$0.00082/PV ON 2,050,000.00 PV DUE 2/15/20 02/18/2020 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750%10/15/21 $1 PV ON 2051.0100 0.0000 0.000000 2,051.01 0.00 0.00 SHARES DUE 2/15/2020$0.00146/PV ON 1,406,409.33 PV DUE 2/15/20 02/18/2020 65479JAD5 INTEREST EARNED ON NISSAN AUTO 1.930% 7/15/24$1 PV ON 6730.8700 0.0000 0.000000 6,730.87 0.00 0.00 SHARES DUE 2/15/2020$0.00161/PV ON 4,185,000.00 PV DUE 2/15/20 02/18/2020 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23$1 PV ON 9078.0000 0.0000 0.000000 9,078.00 0.00 0.00 SHARES DUE 2/15/2020$0.00255/PV ON 3,560,000.00 PV DUE 2/15/20 02/18/2020 69353RFB9 INTEREST EARNED ON PNC BANK NA MTN 2.625% 2/17/22$1 PV ON 1000000.0000 0.0000 0.000000 13,125.00 0.00 0.00 SHARES DUE 2/17/2020 02/18/2020 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830%10/15/21 $1 PV ON 5833.9000 0.0000 0.000000 5,833.90 0.00 0.00 SHARES DUE 2/15/2020$0.00236/PV ON 2,473,739.23 PV DUE 2/15/20 02/18/2020 912828MP2 INTEREST EARNED ON U S TREASURY NT 3.625% 2/15/20$1 PV ON 5000000.0000 0.0000 0.000000 90,625.00 0.00 0.00 SHARES DUE 2/15/2020 02/20/2020 36225CAZ9 INTEREST EARNED ON G N M A 1 1#080023 3.125% 12/20/26$1 PV ON 37.2000 0.0000 0.000000 37.20 0.00 0.00 SHARES DUE 2/20/2020 JANUARY GNMA DUE 2/20/20 02/20/2020 36225CC20 INTEREST EARNED ON G N M A 1 1#080088 3.875% 6/20/27$1 PV ON 39.3200 0.0000 0.000000 39.32 0.00 0.00 SHARES DUE 2/20/2020 JANUARY GNMA DUE 2/20/20 02/20/2020 36225CNM4 INTEREST EARNED ON G N M A 1 1#080395 3.875% 4/20/30$1 PV ON 19.2100 0.0000 0.000000 19.21 0.00 0.00 SHARES DUE 2/20/2020 JANUARY GNMA DUE 2/20/20 02/20/2020 36225CN28 INTEREST EARNED ON G N M A 1 1#080408 3.875% 5/20/30$1 PV ON 148.9900 0.0000 0.000000 148.99 0.00 0.00 SHARES DUE 2/20/2020 JANUARY GNMA DUE 2/20/20 02/20/2020 36225DCB8 INTEREST EARNED ON G N M A 1 1#080965 3.250% 7/20/34$1 PV ON 113.6600 0.0000 0.000000 113.66 0.00 0.00 SHARES DUE 2/20/2020 JANUARY GNMA DUE 2/20/20 02/20/2020 912796TG4 INTEREST EARNED ON U S TREASURY BILL 2/20/20$1 PV ON 2000000.0000 0.0000 0.000000 1,677.78 0.00 0.00 SHARES DUE 2/20/2020 2,000,000 PAR VALUE AT 100% 02/21/2020 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22$1 PV ON 9759.5800 0.0000 0.000000 9,759.58 0.00 0.00 SHARES DUE 2/21/2020$0.00246/PV ON 3,970,000.00 PV DUE 2/21/20 02/24/2020 037833BS8 INTEREST EARNED ON APPLE INC 2.250% 2/23/21 $1 PV ON 4000000.0000 0.0000 0.000000 45,000.00 0.00 0.00 SHARES DUE 2/23/2020 02/25/2020 03215PFN4 INTEREST EARNED ON AMRESCO 2.51415% 6/25/29$1 PV ON 249.3600 0.0000 0.000000 249.36 0.00 0.00 SHARES DUE 2/25/2020$0.00210/PV ON 119,021.64 PV DUE 2/25/20 02/25/2020 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43$1 PV ON 3597.5400 0.0000 0.000000 3,597.54 0.00 0.00 SHARES DUE 2/25/2020$0.00542/PV ON 664,159.71 PV DUE 2/25/20 02/25/2020 31371 NUC7 INTEREST EARNED ON F N M A#257179 4.500% 4/01/28$1 PV ON 53.0400 SHARES 0.0000 0.000000 53.04 0.00 0.00 DUE 2/25/2020 JANUARY FNMA DUE 2/25/20 02/25/2020 31376KT22 INTEREST EARNED ON F N M A#357969 5.000% 9/01/35$1 PV ON 379.0900 0.0000 0.000000 379.09 0.00 0.00 SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20 16 of 21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 02/25/2020 31381PDA3 INTEREST EARNED ON F N M A#466397 3.400%11/01/20$1 PV ON 979.1600 0.0000 0.000000 979.16 0.00 0.00 SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20 02/25/2020 31403DJZ3 INTEREST EARNED ON F N M A#745580 5.000% 6/01/36$1 PV ON 360.4700 0.0000 0.000000 360.47 0.00 0.00 SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20 02/25/2020 31403GXF4 INTEREST EARNED ON F N M A#748678 5.000%10/01/33$1 PV ON 7.2700 SHARES 0.0000 0.000000 7.27 0.00 0.00 DUE 2/25/2020 JANUARY FNMA DUE 2/25/20 02/25/2020 31406PQY8 INTEREST EARNED ON F N M A#815971 5.000% 3/01/35$1 PV ON 570.7100 0.0000 0.000000 570.71 0.00 0.00 SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20 02/25/2020 31406XWT5 INTEREST EARNED ON F N M A#823358 3.674% 2/01/35$1 PV ON 297.1900 0.0000 0.000000 297.19 0.00 0.00 SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20 02/25/2020 31407BXH7 INTEREST EARNED ON F N M A#826080 5.000% 7/01/35$1 PV ON 73.3300 SHARES 0.0000 0.000000 73.33 0.00 0.00 DUE 2/25/2020 JANUARY FNMA DUE 2/25/20 02/25/2020 31410F4V4 INTEREST EARNED ON F N M A#888336 5.000% 7/01/36$1 PV ON 707.0100 0.0000 0.000000 707.01 0.00 0.00 SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20 02/25/2020 3138EG6F6 INTEREST EARNED ON F N M A#AL0869 4.500% 6/01/29$1 PV ON 34.8000 0.0000 0.000000 34.80 0.00 0.00 SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20 02/25/2020 31417YAY3 INTEREST EARNED ON F N M A#MA0022 4.500% 4/01/29$1 PV ON 57.1000 0.0000 0.000000 57.10 0.00 0.00 SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20 02/25/2020 31397QREO INTEREST EARNED ON F N M A GTD REMIC 2.472% 2/25/41 $1 PV ON 337.2300 0.0000 0.000000 337.23 0.00 0.00 SHARES DUE 2/25/2020$0.00195/PV ON 172,873.17 PV DUE 2/25/20 02/26/2020 912828WUO BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-4888.00 UNITS 0.0000 0.000000 0.00 0.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 02/26/2020 912828WUO FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-4888.00 UNITS 0.0000 0.000000 0.00 -4,888.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 02/26/2020 3135GOJ20 INTEREST EARNED ON F N M A DEB 1.375% 2/26/21 $1 PV ON 10000000.0000 0.0000 0.000000 68,750.00 0.00 0.00 SHARES DUE 2/26/2020 02/26/2020 912828WUO PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-4888.0000 UNITS -4,888.0000 0.000000 0.00 0.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 02/26/2020 912828WUO STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY-4888.00 UNITS 0.0000 0.000000 0.00 0.00 0.00 DECREASE TO ADJUST FOR CHANGE IN CPI 03/02/2020 30231GAV4 INTEREST EARNED ON EXXON MOBIL 2.222% 3/01/21 $1 PV ON 3000000.0000 0.0000 0.000000 33,330.00 0.00 0.00 SHARES DUE 3/1/2020 03/02/2020 31846V567 INTEREST EARNED ON FIRST AM GOUT OB FD CL Z UNIT ON 0.0000 SHARES DUE 0.0000 0.000000 6,470.65 0.00 0.00 2/29/2020 INTEREST FROM 2/1/20 TO 2/29/20 03/02/2020 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE 0.0000 0.000000 4,440.52 0.00 0.00 2/29/2020 INTEREST FROM 2/1/20 TO 2/29/20 03/02/2020 78012KC62 INTEREST EARNED ON ROYAL BANK MTN 2.125% 3/02/20$1 PV ON 2000000.0000 0.0000 0.000000 21,250.00 0.00 0.00 SHARES DUE 3/2/2020 03/02/2020 83162CLJO INTEREST EARNED ON S B A GTD DEV PART 6.340% 3/01/21 $1 PV ON 354.5500 0.0000 0.000000 354.55 0.00 0.00 SHARES DUE 3/1/2020$0.03170/PV ON 11,184.56 PV DUE 3/1/20 17 of 21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 03/02/2020 9128281-32 INTEREST EARNED ON U S TREASURY NT 1.375% 8/31/20$1 PV ON 0.0000 0.000000 103,125.00 0.00 0.00 15000000.0000 SHARES DUE 2/29/2020 03/02/2020 9128281-24 INTEREST EARNED ON U S TREASURY NT 1.875% 8/31/22$1 PV ON 6000000.0000 0.0000 0.000000 56,250.00 0.00 0.00 SHARES DUE 2/29/2020 03/02/2020 912828W48 INTEREST EARNED ON U S TREASURY NT 2.125% 2/29/24$1 PV ON 0.0000 0.000000 106,250.00 0.00 0.00 10000000.0000 SHARES DUE 2/29/2020 03/02/2020 912828VV9 INTEREST EARNED ON U S TREASURY NT 2.125% 8/31/20$1 PV ON 0.0000 0.000000 159,375.00 0.00 0.00 15000000.0000 SHARES DUE 2/29/2020 03/02/2020 9128284Y3 INTEREST EARNED ON U S TREASURY NT 2.625% 8/31/20$1 PV ON 7000000.0000 0.0000 0.000000 91,875.00 0.00 0.00 SHARES DUE 2/29/2020 03/05/2020 06051 GHF9 INTEREST EARNED ON BANK OF AMERICA 3.550% 3/05/24$1 PV ON 6675000.0000 0.0000 0.000000 118,481.25 0.00 0.00 SHARES DUE 3/5/2020 03/05/2020 40428HPR7 INTEREST EARNED ON HSBC USA INC MTN 2.350% 3/05/20$1 PV ON 2500000.0000 0.0000 0.000000 29,375.00 0.00 0.00 SHARES DUE 3/5/2020 03/05/2020 40428HPR7 INTEREST EARNED ON HSBC USA INC MTN 2.350% 3/05/20$1 PV ON 2500000.0000 0.0000 0.000000 29,375.00 0.00 0.00 SHARES DUE 3/5/2020 03/05/2020 912796TH2 INTEREST EARNED ON U S TREASURY BILL 3/05/20$1 PV ON 7500000.0000 0.0000 0.000000 23,300.69 0.00 0.00 SHARES DUE 3/5/2020 7,500,000 PAR VALUE AT 100% 03/05/2020 3137EAEPO PAID ACCRUED INTEREST ON PURCHASE OF F H L M C 1.500% 2/12/25 0.0000 0.000000 -5,250.00 0.00 0.00 03/09/2020 313383YJ4 INTEREST EARNED ON F H L B DEB 3.375% 9/08/23$1 PV ON 10000000.0000 0.0000 0.000000 168,750.00 0.00 0.00 SHARES DUE 3/8/2020 03/10/2020 912796XA2 INTEREST EARNED ON U S TREASURY BILL 3/10/20$1 PV ON 2000000.0000 0.0000 0.000000 3,298.75 0.00 0.00 SHARES DUE 3/10/2020 2,000,000 PAR VALUE AT 100% 03/12/2020 912828WUO BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 19344.00 UNITS 0.0000 0.000000 0.00 0.00 0.00 INCREASE TO ADJUST FOR CHANGE IN CPI 03/12/2020 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIF 3/12/2020 0.0000 0.000000 7,000,000.00 0.00 0.00 03/12/2020 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIF 3/12/2020 0.0000 0.000000 6,000,000.00 0.00 0.00 03/12/2020 912828WUO FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 19344.00 UNITS 0.0000 0.000000 0.00 19,344.00 0.00 INCREASE TO ADJUST FOR CHANGE IN CPI 03/12/2020 912828WUO PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 19344.0000 19,344.0000 0.000000 0.00 0.00 0.00 UNITS INCREASE TO ADJUST FOR CHANGE IN CPI 03/12/2020 912828WUO STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 19344.00 UNITS 0.0000 0.000000 0.00 0.00 0.00 INCREASE TO ADJUST FOR CHANGE IN CPI 03/13/2020 00440EAP2 INTEREST EARNED ON ACE INA HOLDINGS 2.700% 3/13/23$1 PV ON 2000000.0000 0.0000 0.000000 27,000.00 0.00 0.00 SHARES DUE 3/13/2020 03/13/2020 3130A2UW4 INTEREST EARNED ON F H L B DEB 2.875% 9/13/24$1 PV ON 2500000.0000 0.0000 0.000000 35,937.50 0.00 0.00 SHARES DUE 3/13/2020 03/16/2020 084670BR8 INTEREST EARNED ON BERKSHIRE HATHAWAY 2.750% 3/15/23$1 PV ON 0.0000 0.000000 34,375.00 0.00 0.00 2500000.0000 SHARES DUE 3/15/2020 18 of 21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 03/16/2020 31348SWZ3 INTEREST EARNED ON F H L M C#786064 3.845% 1/01/28$1 PV ON 5.6000 SHARES 0.0000 0.000000 5.60 0.00 0.00 DUE 3/15/2020 JANUARY FHLMC DUE 3/15/20 03/16/2020 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 4.025% 8/15/32$1 PV ON 20.6700 0.0000 0.000000 20.67 0.00 0.00 SHARES DUE 3/15/2020$0.00335/PV ON 6,177.95 PV DUE 3/15/20 03/16/2020 43815NABO INTEREST EARNED ON HONDA AUTO 1.900% 4/15/22$1 PV ON 5589.1700 0.0000 0.000000 5,589.17 0.00 0.00 SHARES DUE 3/15/2020$0.00158/PV ON 3,530,000.00 PV DUE 3/15/20 03/16/2020 4581XOCS5 INTEREST EARNED ON INTER AMER BK M T N 1.875% 3/15/21 $1 PV ON 0.0000 0.000000 46,875.00 0.00 0.00 5000000.0000 SHARES DUE 3/15/2020 03/16/2020 4581XOCZ9 INTEREST EARNED ON INTER AMER DEV BK 1.750% 9/14/22$1 PV ON 0.0000 0.000000 56,875.00 0.00 0.00 6500000.0000 SHARES DUE 3/14/2020 03/16/2020 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820%10/15/21 $1 PV ON 341.6300 0.0000 0.000000 341.63 0.00 0.00 SHARES DUE 3/15/2020$0.00152/PV ON 225,251.14 PV DUE 3/15/20 03/16/2020 477870AB5 INTEREST EARNED ON JOHN DEERE OWNER 2.280% 5/16/22$1 PV ON 5320.0000 0.0000 0.000000 5,320.00 0.00 0.00 SHARES DUE 3/15/2020$0.00190/PV ON 2,800,000.00 PV DUE 3/15/20 03/16/2020 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22$1 PV ON 2007.6800 0.0000 0.000000 2,007.68 0.00 0.00 SHARES DUE 3/15/2020$0.00222/PV ON 905,719.94 PV DUE 3/15/20 03/16/2020 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850%12/15/21 $1 PV ON 5060.4300 0.0000 0.000000 5,060.43 0.00 0.00 SHARES DUE 3/15/2020$0.00237/PV ON 2,130,706.44 PV DUE 3/15/20 03/16/2020 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080%11/15/22$1 PV ON 11883.6700 0.0000 0.000000 11,883.67 0.00 0.00 SHARES DUE 3/15/2020$0.00257/PV ON 4,630,000.00 PV DUE 3/15/20 03/16/2020 58770FAC6 INTEREST EARNED ON MERCEDES BENZ AUTO 1.840%12/15/22$1 PV ON 3143.3300 0.0000 0.000000 3,143.33 0.00 0.00 SHARES DUE 3/15/2020$0.00153/PV ON 2,050,000.00 PV DUE 3/15/20 03/16/2020 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750%10/15/21 $1 PV ON 1818.2300 0.0000 0.000000 1,818.23 0.00 0.00 SHARES DUE 3/15/2020$0.00146/PV ON 1,246,786.10 PV DUE 3/15/20 03/16/2020 65479JAD5 INTEREST EARNED ON NISSAN AUTO 1.930% 7/15/24$1 PV ON 6730.8700 0.0000 0.000000 6,730.87 0.00 0.00 SHARES DUE 3/15/2020$0.00161/PV ON 4,185,000.00 PV DUE 3/15/20 03/16/2020 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23$1 PV ON 9078.0000 0.0000 0.000000 9,078.00 0.00 0.00 SHARES DUE 3/15/2020$0.00255/PV ON 3,560,000.00 PV DUE 3/15/20 03/16/2020 68389XBKO INTEREST EARNED ON ORACLE CORP 1.900% 9/15/21 $1 PV ON 3000000.0000 0.0000 0.000000 28,500.00 0.00 0.00 SHARES DUE 3/15/2020 03/16/2020 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830%10/15/21 $1 PV ON 5183.3900 0.0000 0.000000 5,183.39 0.00 0.00 SHARES DUE 3/15/2020$0.00236/PV ON 2,197,902.95 PV DUE 3/15/20 03/17/2020 912796XBO INTEREST EARNED ON U S TREASURY BILL 3/17/20$1 PV ON 5000000.0000 0.0000 0.000000 4,294.44 0.00 0.00 SHARES DUE 3/17/2020 5,000,000 PAR VALUE AT 100% 03/18/2020 06367BDS5 INTEREST EARNED ON BANK OF MONTREAL C D 2.000% 3/18/20$1 PV ON 0.0000 0.000000 5,055.56 0.00 0.00 1000000.0000 SHARES DUE 3/18/2020 INTEREST ON 3/18/20 MATURITY 03/18/2020 06367BDS5 INTEREST EARNED ON BANK OF MONTREAL C D 2.000% 3/18/20$1 PV ON 0.0000 0.000000 40,444.45 0.00 0.00 8000000.0000 SHARES DUE 3/18/2020 INTEREST ON 3/18/20 MATURITY 03/18/2020 09247XAL5 INTEREST EARNED ON BLACKROCK INC 3.500% 3/18/24$1 PV ON 1000000.0000 0.0000 0.000000 17,500.00 0.00 0.00 SHARES DUE 3/18/2020 19 of 21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 03/18/2020 43814RACO INTEREST EARNED ON HONDA AUTO 1.210%12/18/20$1 PV ON 23.6400 0.0000 0.000000 23.64 0.00 0.00 SHARES DUE 3/18/2020$0.00101/PV ON 23,443.43 PV DUE 3/18/20 03/18/2020 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 1917.5800 0.0000 0.000000 1,917.58 0.00 0.00 SHARES DUE 3/18/2020$0.00149/PV ON 1,285,529.61 PV DUE 3/18/20 03/18/2020 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 7044.8600 0.0000 0.000000 7,044.86 0.00 0.00 SHARES DUE 3/18/2020$0.00229/PV ON 3,074,118.62 PV DUE 3/18/20 03/18/2020 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22$1 PV ON 4289.2500 0.0000 0.000000 4,289.25 0.00 0.00 SHARES DUE 3/18/2020$0.00251/PV ON 1,710,000.00 PV DUE 3/18/20 03/20/2020 36225CAZ9 INTEREST EARNED ON G N M A 1 1#080023 3.125% 12/20/26$1 PV ON 36.7900 0.0000 0.000000 36.79 0.00 0.00 SHARES DUE 3/20/2020 FEBRUARY GNMA DUE 3/20/20 03/20/2020 36225CC20 INTEREST EARNED ON G N M A 1 1#080088 3.875% 6/20/27$1 PV ON 37.9700 0.0000 0.000000 37.97 0.00 0.00 SHARES DUE 3/20/2020 FEBRUARY GNMA DUE 3/20/20 03/20/2020 36225CNM4 INTEREST EARNED ON G N M A 1 1#080395 3.875% 4/20/30$1 PV ON 19.0800 0.0000 0.000000 19.08 0.00 0.00 SHARES DUE 3/20/2020 FEBRUARY GNMA DUE 3/20/20 03/20/2020 36225CN28 INTEREST EARNED ON G N M A 1 1#080408 3.875% 5/20/30$1 PV ON 147.9100 0.0000 0.000000 147.91 0.00 0.00 SHARES DUE 3/20/2020 FEBRUARY GNMA DUE 3/20/20 03/20/2020 36225DCB8 INTEREST EARNED ON G N M A 1 1#080965 3.250% 7/20/34$1 PV ON 109.7200 0.0000 0.000000 109.72 0.00 0.00 SHARES DUE 3/20/2020 FEBRUARY GNMA DUE 3/20/20 03/20/2020 3130A4CH3 PAID ACCRUED INTEREST ON PURCHASE OF F H L B DEB 2.375% 3/14/25 0.0000 0.000000 -2,068.23 0.00 0.00 03/23/2020 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22$1 PV ON 9759.5800 0.0000 0.000000 9,759.58 0.00 0.00 SHARES DUE 3/21/2020$0.00246/PV ON 3,970,000.00 PV DUE 3/21/20 03/25/2020 03215PFN4 INTEREST EARNED ON AMRESCO 2.48116% 6/25/29$1 PV ON 246.0900 0.0000 0.000000 246.09 0.00 0.00 SHARES DUE 3/25/2020$0.00207/PV ON 119,021.64 PV DUE 3/25/20 03/25/2020 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43$1 PV ON 3527.5300 0.0000 0.000000 3,527.53 0.00 0.00 SHARES DUE 3/25/2020$0.00542/PV ON 651,236.25 PV DUE 3/25/20 03/25/2020 31371 NUC7 INTEREST EARNED ON F N M A#257179 4.500% 4/01/28$1 PV ON 52.5400 SHARES 0.0000 0.000000 52.54 0.00 0.00 DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20 03/25/2020 31376KT22 INTEREST EARNED ON F N M A#357969 5.000% 9/01/35$1 PV ON 367.4900 0.0000 0.000000 367.49 0.00 0.00 SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20 03/25/2020 31381PDA3 INTEREST EARNED ON F N M A#466397 3.400%11/01/20$1 PV ON 914.0300 0.0000 0.000000 914.03 0.00 0.00 SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20 03/25/2020 31403DJZ3 INTEREST EARNED ON F N M A#745580 5.000% 6/01/36$1 PV ON 354.9300 0.0000 0.000000 354.93 0.00 0.00 SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20 03/25/2020 31403GXF4 INTEREST EARNED ON F N M A#748678 5.000%10/01/33$1 PV ON 7.2300 SHARES 0.0000 0.000000 7.23 0.00 0.00 DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20 03/25/2020 31406PQY8 INTEREST EARNED ON F N M A#815971 5.000% 3/01/35$1 PV ON 549.2300 0.0000 0.000000 549.23 0.00 0.00 SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20 03/25/2020 31406XWT5 INTEREST EARNED ON F N M A#823358 3.674% 2/01/35$1 PV ON 295.4100 0.0000 0.000000 295.41 0.00 0.00 SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20 20 of 21 GO TO TABLE OF CONTENTS U.S. Bank Transaction History 01/01/2020 Thru 03/31/2020 Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss 03/25/2020 31407BXH7 INTEREST EARNED ON F N M A#826080 5.000% 7/01/35$1 PV ON 72.1600 SHARES 0.0000 0.000000 72.16 0.00 0.00 DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20 03/25/2020 31410F4V4 INTEREST EARNED ON F N M A#888336 5.000% 7/01/36$1 PV ON 695.7600 0.0000 0.000000 695.76 0.00 0.00 SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20 03/25/2020 3138EG6F6 INTEREST EARNED ON F N M A#AL0869 4.500% 6/01/29$1 PV ON 34.2500 0.0000 0.000000 34.25 0.00 0.00 SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20 03/25/2020 31417YAY3 INTEREST EARNED ON F N M A#MA0022 4.500% 4/01/29$1 PV ON 56.0400 0.0000 0.000000 56.04 0.00 0.00 SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20 03/25/2020 31397QREO INTEREST EARNED ON F N M A GTD REMIC 2.472% 2/25/41 $1 PV ON 326.6000 0.0000 0.000000 326.60 0.00 0.00 SHARES DUE 3/25/2020$0.00192/PV ON 169,900.17 PV DUE 3/25/20 03/25/2020 3135GOX24 PAID ACCRUED INTEREST ON PURCHASE OF F N M A 1.625% 1/07/25 0.0000 0.000000 -19,161.46 0.00 0.00 03/27/2020 912828WUO BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 22568.00 UNITS 0.0000 0.000000 0.00 0.00 0.00 INCREASE TO ADJUST FOR CHANGE IN CPI 03/27/2020 912828WUO FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 22568.00 UNITS 0.0000 0.000000 0.00 22,568.00 0.00 INCREASE TO ADJUST FOR CHANGE IN CPI 03/27/2020 912828WUO PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 22568.0000 22,568.0000 0.000000 0.00 0.00 0.00 UNITS INCREASE TO ADJUST FOR CHANGE IN CPI 03/27/2020 912828WUO STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 22568.00 UNITS 0.0000 0.000000 0.00 0.00 0.00 INCREASE TO ADJUST FOR CHANGE IN CPI 03/31/2020 912828T34 INTEREST EARNED ON U S TREASURY NT 1.125% 9/30/21 $1 PV ON 7000000.0000 0.0000 0.000000 39,375.00 0.00 0.00 SHARES DUE 3/31/2020 03/31/2020 912828YH7 INTEREST EARNED ON U S TREASURY NT 1.500% 9/30/24$1 PV ON 0.0000 0.000000 105,000.00 0.00 0.00 14000000.0000 SHARES DUE 3/31/2020 03/31/2020 912828J76 INTEREST EARNED ON U S TREASURY NT 1.750% 3/31/22$1 PV ON 5000000.0000 0.0000 0.000000 43,750.00 0.00 0.00 SHARES DUE 3/31/2020 03/31/2020 9128281-57 INTEREST EARNED ON U S TREASURY NT 1.750% 9/30/22$1 PV ON 0.0000 0.000000 140,000.00 0.00 0.00 16000000.0000 SHARES DUE 3/31/2020 03/31/2020 9128284D9 INTEREST EARNED ON U S TREASURY NT 2.500% 3/31/23$1 PV ON 0.0000 0.000000 125,000.00 0.00 0.00 10000000.0000 SHARES DUE 3/31/2020 TOTAL OTHER TRANSACTIONS 26,832.0000 -62,692,854.15 26,832.00 0.00 21 of 21 GO TO TABLE OF CONTENTS Callan March 31,2020 Orange County Sanitation District Investment Measurement Service Quarterly Review Information contained herein includes confidential,trade secret and proprietary information.Neither this Report nor any specific information contained herein is to be used other than by the intended recipient for its intended purpose or disseminated to any other person without Callan's permission. Certain information herein has been compiled by Callan and is based on information provided by a variety of sources believed to be reliable for which Callan has not necessarily verified the accuracy or completeness of or updated.This content may consist of statements of opinion,which are made as of the date they are expressed and are not statements of fact.This content is for informational purposes only and should not be construed as legal or tax advice on any matter.Any decision you make on the basis of this content is your sole responsibility.You should consult with legal and tax advisers before applying any of this information to your particular situation.Past performance is no guarantee of future results.For further information,please see Appendix for Important Information and Disclosures. GO TO TABLE OF CONTENTS Table of Contents March 31, 2020 Capital Market Review 1 Active Management Overview Market Overview 7 Domestic Fixed Income 8 Asset Allocation Investment Manager Asset Allocation 10 Investment Manager Returns 11 Asset Class Risk and Return 15 Manager Analysis Chandler-Long Term Operating Fund 17 Chandler-Liquid Operating Money 21 Callan Research/Education 23 Definitions 26 Disclosures 31 Callan GO TO TABLE OF CONTENTS Orange County Sanitation District Executive Summary for Period Ending March 31, 2020 Asset Allocation March 31, 2020 December 31, 2019 Market Value Weight Net New Inv. Inv. Return Market Value Weight Domestic Fixed Income Long Term Operating Fund` 590,342,927 83.87% (4,000,000) 14,428,929 579,913,998 76.75% Liquid Operating IVbnies` 113,512,314 16 13% (63 000,000) 865,897 175,646,417 23 25% Total Fund $703.855.241 100.0% $(67.000.0001 $15.294.826 $755.560.415 100.0% Performance Last Last Last Last Last 3 5 7 Quarter Year Years Years Years Domestic Fixed Income Long Term Operating Fund" 2.51% 5.78% 3.16% 2.33% 1.77% Chandler 2.51% 5.78% 3.16% 2.33% - Blmbg Govt/Cred 1-5 Year Idx 2.17% 5.58% 3.08% 2.27% 1.96% MIL 1-5 Govt/Corp 1.95% 5.41% 3.04% 2.26% 1.98% Liquid Operating Monies^ 0.71% 2.51% 1.92% 1.31% 0.96% Chandler 0.71% 2.51% 1.92% 1.31% - Citigroup 3-Month Treasury Bill 0.39% 2.04% 1.74% 1.12% 0.81% Total Fund 2.18% 5.14% 2.91% 2.08% 1.59% Target* 1.64% 4.73% 2.78% 2.04% 1.74% "Current Quarter Target=80.0%ML 1-5 Govt/Corp and 20.0% FTSE 3mo T-Bills. ^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO. Recent Developments During the quarter, $4.0 million was withdrawn from the Long Term Operating Fund and $63.0 million was withdrawn from the Liquid Operating Monies for a combined withdrawal of $67.0 million. Organizational Issues N/A Fixed Income Market Snapshot Treasury yields fell to record lows as investors flocked to safe-haven assets in response to the global pandemic. As the economy began its slowdown, the Fed reacted with an emergency 50 bps rate cut on March 3, followed by an additional 100 bps on Sunday, March 15. The two cuts brought the fed funds rate target to the lower bound of 0.00% to 0.25%. After first announcing a plan on March 15 to purchase $700 billion in assets, the Fed expanded their quantitative easing policy on March 23 to unspecified "amounts needed" in order to support the economy. Despite uncertainty, corporate debt issuance was strong in March, setting a monthly record at over $259 GO TO TABLE OF CONTENTS CallanOrange County Sanitation District billion in new issues. During the first quarter, yields fell dramatically. All maturities except for the 20- and 30-year yields finished below 1.00%. The 10-year yield reached a record low of 0.31% on March 9, before ending the quarter at 0.70%. Bond trading was challenged in this environment as investors sold money market funds and bonds to raise cash. Bid offer spreads widened dramatically for all bond sectors. Fixed income generally fared better than other asset classes in the first quarter, with the highest quality segments outperforming riskier sectors. The Bloomberg Barclays Aggregate Index rose 3.2% during the quarter, while the Bloomberg Barclays Treasury Index climbed an impressive 8.2%. The impact of falling rates, which benefited Treasuries, was overshadowed for corporate credit by widening spreads. The Bloomberg Barclays Credit Index fell 3.1% and the ML High Yield CP Index dropped over 13%. TIPS (Bloomberg U.S. TIPS Index: 1.7%) underperformed nominal bonds as long-term inflation expectations continued to fall, driving the 10-year break even inflation rate down to 0.87%. Manager Performance The Long Term Operating Fund returned 2.51% in the first quarter which outpaced the 1.95% gain of the ML U.S. 1-5 Corp/Gov Index. The fund also outperformed the benchmark over the trailing year with a return of 5.78% versus the index's 5.41%. The manager is ranked in the top decile among the Callan Short Term Fixed Income Peer Group over the trailing one-quarter, one-year, and three-year periods. The fund's portfolio is conservatively positioned, which benefited performance in the first quarter as pandemic-induced volatility sent investors running for safer assets. Throughout the quarter, the manager increased the allocation to Agencies by 5 percentage points and decreased the allocation to U.S. Treasuries by 2.5 percentage points. The portfolio had less than 30% invested in credit (24%) and less than the permitted 20% invested in the combination of asset-backed securities (6%), commercial mortgage backed securities (0%), and CMOs (0%) as of March 31, 2020 (see page 20). The Liquid Operating Portfolio appreciated 0.67% (after fees) in the first quarter, outperforming the 3-month Treasury return of 0.39%. Over the trailing year, the fund appreciated 2.35%, which beat the benchmark by 31 basis points. Cordially, q4� Iq Alex Ford Vice President 2 GO TO TABLE OF CONTENTS Capital Market Review GO TO TABLE OF CONTENTS Capital Market Overview March 31, 2020 U.S. EQUITY U.S. Equity: Quarterly Returns During the 1st quarter of 2020,the COVID-19 pandemic coupled with an oil price war between Saudi Arabia and Russia Russell 3000 -20.9% spurred extreme global market volatility,which was further exacerbated by the realization that a shelter-in-place mandate was required to overcome the spread of the disease, Russell 1000 -20.2% subsequently inducing an all-but-certain global recession. Russell 1000 Growth -14.1% Large cap(S&P 500:-19.6%; Russell 1000: -20.2%) Cyclicals were punished while Technology,Staples,and Russell 1000 Value -26.7% Health Care were more resilient. Energy(-50.5%)plunged as demand declined and OPEC S&P 500 -19.6% and Russia refused to cut production,driving down oil prices globally. Russell Midcap -27.1% Financials(-31.9%)and Industrials(-27.1%)fell sharply as interest rates were cut by the Fed in an emergency session, Russell 2500 -29.7% and due to expectations of a steep GDP decline because of COVID-19. Russell 2000 -30.6% Technology fared the best(-11.9%).The FAAMG stocks had an average return of-7.9%in Q1, led by Amazon (+5.5%) and Microsoft(+0.3%); Health Care(-12.7%)and Consumer U.S. Equity: One-Year Returns Staples(-12.7%)also held up better than the index average. Large cap outpaced small cap for the quarter Russell 3000 The Russell 2000(-30.6%)experienced its worst quarter on Russell 1000 -8.0% - record. The perceived safety of larger companies combined with Russell 1000 Growth 0.9% more acute exposure to COVID-19 impact(e.g., restaurants, hotels,airlines, REITs)drove the sell-off. Russell 1000 Value -17.2% The performance of the Russell 2000 Value(-35.7%)was driven by its exposure to Energy(especially exploration and S&P 500 -7.0% - production companies)and Financials(banks). Growth outpaces value across market capitalizations Russell Midcap -18.3% The spread between Russell 1000 Growth (-14.1%)and Russell 2000 Value(-35.7%)was one of the widest ever. Russell 2500 22 5% Russell MidCap Value(-0.8%)and Russell 2000 Value(- Russell 2000 -24.0% 2.4%)now have negative annualized returns over a trailing five-year time period. Sources:FTSE Russell,Standard&Poor's S&P Sector Returns, Quarter Ended March 31, 2020 EMMEW = 12.7% -12.7% -11.9% -13.5% -17.0% -19.3% -19.2% -27.0% -26.1 0/6 -31.9% -50.5% Communication Consumer Consumer Energy Financials Health Care Industrials Information Materials Real Estate Utilities Services Discretionary Staples Technology Source:Standard &Poor's Callan GO TO TABLE OF CONTENTS Capital Market Overview (continued) March 31, 2020 GLOBAL/GLOBAL EX-U.S. EQUITY Global Equity: Quarterly Returns The COVID-19 pandemic coupled with the oil price war between Saudi Arabia and Russia injected significant volatility MSCI EAFE -22.8% into the global equity markets,with most major indices entering bear market territory. MSCI ACWI -21.4% Global/Developed ex-U.S. (MSCI EAFE: -22.8%; MSCI World MSCI World -21.1% ex USA: -23.3%; MSCI ACWI ex USA: -23.4%; MSCI Japan: MSCI ACWI ex USA -23.4% -16.8%; MSCI Pacific ex Japan:-27.6%) Fears of the pandemic and a global recession stoked the MSCI World ex USA -23.3% worst quarterly sell off since 2008 as economic activity halted worldwide. MSCI ACWI ex USA SC-29.0% The oil price war further exacerbated the market meltdown, MSCI World ex USA SC -28.4% bidding up safe-haven assets and currencies. MSCI Europe ex UK -22.8% The U.S. dollar outperformed the euro,the British pound, and other major currencies,while underperforming the Swiss MSCI United Kingdom-28.8% franc and yen. Every sector posted negative returns, led by cyclicals like MSCI Pacific ex Japan -27.6% travel-related industries, Energy,and Financials given the MSCI Japan -16.8% state of the economy and oil prices. Defensive sectors generally were under less pressure as MSCI Emerging Markets -23.6% demand for basic necessities to function(i.e., e-commerce MSCI China -10.2% and mobility)and combat the pandemic(i.e.,diagnostics and treatment)helped stabilize Health Care, Consumer Staples, MSCI Frontier Markets -26.6% and Information Technology. Factor performance in developed ex-U.S. markets reflected risk aversion, including beta, size,and volatility. Global Equity: One-Year Returns Emerging Markets(MSCI Emerging Markets Index: -23.6%) MSCI EAFE -14.4% Decisive actions to contain the pandemic and stimulate the economy allowed China to outperform every developed and MSCI ACWI -11.3% - developing country. -A looming global recession and the collapse in oil prices MSCI World -10.4% decimated commodities-levered economies like Brazil, South MSCI ACWI ex USA -15.6% Africa,and Russia. Every sector posted negative returns, led by cyclicals such MSCI World ex USA -14.9% as travel-related industries, Energy,and Financials. MSCI ACWI ex USA SC -21.2% Defensive sectors generally were under less pressure as MSCI World ex USA SC -19.0% demand for basic necessities and for diagnostics and Nov treatment helped stabilize Health Care, Consumer Staples, MSCI Europe ex UK -12.7% and Information Technology. MSCI United Kingdom -23.0% Global ex-U.S.Small Cap(MSCI World ex USA Small Cap: -28.4%; MSCI EM Small Cap: -31.4%; MSCI ACWI ex USA MSCI Pacific ex Japan -23.7% Small Cap:-29.0%) MSCI Japan -6.7% "Risk-off'market environment challenged small cap relative to large cap in both developed and emerging markets. MSCI Emerging Markets -17.7% Growth significantly outperformed value both within MSCI China -5.8% developed and emerging markets,supported by strong performance in Health Care, Consumer Staples,and MSCI Frontier Markets -19.0% Information Technology. Source: MSCI Callan GO TO TABLE OF CONTENTS Capital Market Overview (continued) March 31, 2020 U.S. FIXED INCOME U.S. Fixed Income: Quarterly Returns Treasuries rallied as investors sought safety The 10-year U.S. Treasury yield reached a low in March of Blmberg Barclays Gov/Cr 1-3 Yr 1.7% 0.31%before closing the quarter at 0.70%,down sharply from the 2019 year-end level of 1.92%. Blmberg Barclays Interm Gov/Cr 2.4% The Treasury yield curve steepened as the Fed cut rates to 0%-0.25%. Blmberg Barclays Aggregate 3.1 TIPS underperformed nominal Treasuries as expectations Blmberg Barclays Long Gov/Cr 6.2% for inflation sank.The 10-year breakeven spread ended the hL quarter at 87 bps,down sharply from 177 bps at year-end. Blmberg Barclays Universal 11.3% Investors spurned credit risk Investment grade and high yield bond funds experienced CS Leveraged Loans-13.2% record outflows as investors flocked to cash. Blmberg Barclays High Yield -12.7% Investment grade corporate spreads widened by 149 bps to 272 bps, representing the hardest hit sector in the Bloomberg Barclays US Aggregate Bond Index, particularly Blmberg Barclays TIPS 1.7% within Industrials,where several well-known issuers were downgraded to below investment grade, including Occidental Petroleum and Ford. U.S. Fixed Income: One-Year Returns The quality bias was evident as BBB-rated credit(-7.4%) underperformed single A or higher(+0.5%). Blmberg Barclays Gov/Cr 1-3 Yr 4.5% CCC-rated high yield corporates(-20.6%)lagged BB-rated corporates(-10.2%). Blmberg Barclays Interm Gov/Cr 6.9% Energy(-38.9%)was the lowest-performing high yield bond sub-sector as oil prices collapsed. Blmberg Barclays Aggregate ` 8.9% Blmberg Barclays Long Gov/Cr 19.3% Blmberg Barclays Universal . 7.2% CS Leveraged Loans -9.5% ■ Blmberg Barclays High Yield -6.9% Blmberg Barclays TIPS 6.8% U.S. Treasury Yield Curves 3/31/2020 --e­12/31/2019 3/31/2019 4% l 3% 1 2% 1% 0% 0 5 10 15 20 25 30 Maturity(Years) Sources:Bloomberg, Bloomberg Barclays,Credit Suisse Callan GO TO TABLE OF CONTENTS Capital Market Overview (continued) March 31, 2020 GLOBAL FIXED INCOME Global Fixed Income: Quarterly Returns Global ex-U.S.fixed income ended slightly down Developed market sovereign bond yields ended the quarter Blmberg Barclays GI Aggregate -0.3% slightly higher even as central banks stepped in to provide support to their economies;the European Central Bank Blmberg Barclays GI Agg(hdg) 11.4% launched a€750 billion stimulus program and the Bank of England cut interest rates. Blmberg Barclays GI High Yield-15.0% The U.S. dollar rose against the Australian dollar, British pound,and euro as investors sought safety within the Blmberg Barclays GI Agg ex US -2.7% ' greenback. -Emerging market debt plummeted in the risk-off JPM EMBI Global Diversified -13.4% environment JPM GBI-EM Global Diversified-15.2% Within the dollar-denominated benchmark,returns were mixed amongst its 60+constituents. JPM EMBI GI Div/JPM GBI-EM GI Div -14.3% Within the local currency-denominated benchmark,several local market returns in Latin America dropped about 20% JPM CEMBI -8.6% ■ (Brazil, Mexico, and Colombia)and South Africa dropped 29%as oil-sensitive economies suffered from the drop in oil prices. Global Fixed Income: One-Year Returns Blmberg Barclays GI Aggregate 4.2% Blmberg Barclays GI Agg(hdg) I 6.6% Blmberg Barclays GI High Yield-10.0% - Blmberg Barclays GI Agg ex US 0.7% JPM EMBI Global Diversified -6•8% JPM GBI-EM Global Diversified -6.5% M JPM EMBI GI Div/JPM GBI-EM GI Div -6.7% a JPM CEMBI -1.4% I Change in 10-Year Global Government Bond Yields 4Q19 to 1 Q20 U.S.Treasury Germany -29 bps_ U.K. •• Canada •• Japan 13 bps Sources:Bloomberg, Bloomberg Barclays,JP Morgan Callan GO TO TABLE OF CONTENTS Active Management Overview GO TO TABLE OF CONTENTS 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 March 31, 2020 10% (18) 0% (19) (10%) C (20%) (50) (50) (30%) (43) 7 (40%) (50%) Large Cap Small Cap Non-US Domestic Non-US Real Equity Equity Equity Fixed Income Fixed Income Estate vs vs vs vs vs vs S&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi Non-US Govt NCREIF Index 10th Percentile (12.25) (21.13) (17.62) 3.59 (1.30) 2.29 25th Percentile (14.47) (25.42) (20.38) 2.98 (2.26) 1.88 Median (19.57) (31.75) (22.85) 2.17 (4.15) 1.56 75th Percentile (26.47) (35.15) (24.98) 1.41 (10.83) 0.70 90th Percentile (29.49) (38.03) (28.40) 0.53 (15.53) (5.12) Index ♦ (19.60) (30.61) (22.83) 3.15 (1.88) 0.71 Range of Separate Account Manager Returns by Asset Class One Year Ended March 31, 2020 20% 10% (21) (56) 0% 24 y E (49) (53) (20%) (30%) (47) (40%) Large Cap Small Cap Non-US Domestic Non-US Real Equity Equity Equity Fixed Income Fixed Income Estate vs vs vs vs vs vs S&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi Non-US Govt NCREIF Index 10th Percentile 1.90 (12.42) (5.96) 9.51 3.32 9.04 25th Percentile (1.46) (17.66) (9.39) 8.83 1.74 7.50 Median (7.30) (24.59) (13.90) 8.13 (1.38) 5.80 75th Percentile (15.62) (29.42) (17.53) 7.24 (7.31) 2.02 90th Percentile (20.74) (32.41) (21.95) 6.31 (10.49) (9.10) Index ♦ (6.98) (23.99) (14.38) 8.93 1.79 5.28 Callan Orange County Sanitation District 7 GO TO TABLE OF CONTENTS Domestic Fixed Income Active Management Overview U.S. Treasury yields fell to record lows in March as investors sought safety and the Fed cut rates to 0%-0.25%. The 10-year U.S. Treasury yield reached a low in March of 0.31% before closing the quarter at 0.70%, down sharply from the year-end level of 1.92%. Most sectors underperformed U.S. Treasuries, hurt both by challenging liquidity conditions as well as a flight to safety. While the Bloomberg Barclays US Aggregate Bond Index rose 3.1% for the quarter, results were driven largely by performance of the Treasury sector (+8.2%). Corporates (-3.6%) and most securitized sectors underperformed U.S. Treasuries. The quality bias was evident in the return for the AAA-rated component (+5.8%) versus BBBs (-7.4%). TIPS (Bloomberg Barclays TIPS: +1.7%) sharply underperformed nominal Treasuries as expectations for inflation sank. The 10-year breakeven spread ended the quarter at 87 bps, down sharply from 177 bps at year-end. High yield corporate bonds (Bloomberg Barclays High Yield: -12.7%) fell sharply and ended the quarter with a yield-to-worst of 9.4% though it topped 10% in mid-March, the highest level since the GFC. Excluding the beleaguered Energy sector, high yield fell 9.1%. Leveraged loans performed even worse (S&P LSTA: -13.0%) and both high yield and loans experienced heavy outflows. Separate Account Style Group Median Returns for Quarter Ended March 31, 2020 Blmbg Aggregate: 3.15% 15% Blmbg High Yield: (12.68%) Blmbg Long Gov/Cred: 6.21% 10% 6.07 5% --- 1.78 2.17 0.59 tq 0 C (0.21 ) a) 10� (5%) - ---------------------------------------------------------------- (10%) ----------------------------------------------------------- 0 (11.72) (12.65) (15%) (20%) Defensive Intermed Core Core Plus Extended Bank High Yield Bond Maturity Loans Separate Account Style Group Median Returns for One Year Ended March 31, 2020 Blmbg Aggregate: 8.93% 30% Blmbg High Yield: (6.94%) Blmbg Long Gov/Cred: 19.32% 20% ----------------------------------------------------19.31------------------------------- 10% &.13 E 6.24 5.77 3.55 N 0% AM (10%) --------------------------------------------------------------t7_4T�----- (6.48)---------- (20%) Defensive Intermed Core Core Plus Extended Bank High Yield Bond Maturity Loans Callan Orange County Sanitation District 8 GO TO TABLE OF CONTENTS Asset Allocation GO TO TABLE OF CONTENTS Investment Manager Asset Allocation The table below contrasts the distribution of assets across the Fund's investment managers as of March 31, 2020, with the distribution as of December 31, 2019. The change in asset distribution is broken down into the dollar change due to Net New Investment and the dollar change due to Investment Return. Asset Distribution Across Investment Managers March 31, 2020 December 31,2019 Market Value Weight Net New Inv. Inv. Return Market Value Weight Domestic Fixed Income Long Term Operating Fund` 590,342,927 83.87% (4,000,000) 14,428,929 579,913,998 76.75% Liquid Operating Monies' 113,512,314 16.13% (63,000,000) 865,897 175,646,417 23.25% Total Fund $703,855,241 100.0% $(67,000,000) $15,294,826 $755,560,415 100.0% "Chandler replaced PIMCO during the 4th quarter of 2014.Assets were transferred in-kind as of 12/01/2014. Callan Orange County Sanitation District 10 GO TO TABLE OF CONTENTS Investment Manager Returns The table below details the rates of return for the Fund's investment managers over various time periods ended March 31, 2020. 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 March 31, 2020 Last Last Last Last Last 3 5 7 Quarter Year Years Years Years Domestic Fixed Income Long Term Operating Fund 2.51% 5.78% 3.16% 2.33% 1.77% Chandler 2.51% 5.78% 3.16% 2.33% - Blmbg Govt/Cred 1-5 Year Idx 2.17% 5.58% 3.08% 2.27% 1.96% ML 1-5 Govt/Corp 1.95% 5.41% 3.04% 2.26% 1.98% Liquid Operating Monies^ 0.71% 2.51% 1.92% 1.31% 0.96% Chandler 0.71% 2.51% 1.92% 1.31% - Citigroup 3-Month Treasury Bill 0.39% 2.04% 1.74% 1.12% 0.81% Total Fund 2.18% 5.14% 2.91% 2.08% 1.59% Target* 1.64% 4.73% 2.78% 2.04% 1.74% Current Quarter Target= 80.0% ML:Corp/Gov 1-5 Yr and 20.0% FTSE 3 Mo T-Bill. ^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO. Callan Orange County Sanitation District 11 GO TO TABLE OF CONTENTS Investment Manager Returns The table below details the rates of return for the Fund's investment managers over various time periods ended March 31, 2020. 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 March 31, 2020 Last Last Last 10 15 24-1/2 Years Years Years Domestic Fixed Income Long Term Operating Fund 2.33% 3.31% 4.29% Blmbg Govt/Cred 1-5 Year Idx 2.22% 3.11% 4.11% ML 1-5 Govt/Corp 2.26% 3.12% 4.13% Liquid Operating Monies^ 0.74% 1.54% 2.58% Citigroup 3-Month Treasury Bill 0.60% 1.31% 2.27% Total Fund 2.03% 2.98% 4.01% Target' 1.93% 2.76% 3.76% Current Quarter Target= 80.0% ML:Corp/Gov 1-5 Yr and 20.0% FTSE 3 Mo T-Bill. ^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO. Callan Orange County Sanitation District 12 GO TO TABLE OF CONTENTS 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. 12/2019- 3/2020 2019 2018 2017 2016 Domestic Fixed Income Long Term Operating Fund 2.51% 4.70% 1.60% 1.18% 1.58% Chandler 2.51% 4.70% 1.60% 1.18% 1.58% Blmbg Govt/Cred 1-5 Year Idx 2.17% 5.01% 1.38% 1.27% 1.56% ML 1-5 Govt/Corp 1.95% 5.08% 1.40% 1.28% 1.62% Liquid Operating Monies^ 0.71% 2.39% 1.90% 0.91% 0.47% Chandler 0.71% 2.39% 1.90% 0.91% 0.47% Citigroup 3-Month Treasury Bill 0.39% 2.25% 1.86% 0.84% 0.27% Total Fund 2.18% 4.26% 1.72% 1.02% 1.15% Target* 1.64% 4.51% 1.49% 1.19% 1.35% *Current Quarter Target= 80.0% ML:Corp/Gov 1-5 Yr and 20.0% FTSE 3 Mo T-Bill. ^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO. Callan Orange County Sanitation District 13 GO TO TABLE OF CONTENTS Investment Manager Returns The table below details the rates of return for the Fund's investment managers over various time periods. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund's accounts for that asset class. 2015 2014 2013 2012 2011 Domestic Fixed Income Long Term Operating Fund 0.85% 1.98% (1.77%) 3.06% 4.59% Blmbg Govt/Cred 1-5 Year Idx 0.97% 1.42% 0.28% 2.24% 3.14% ML 1-5 Govt/Corp 1.05% 1.51% 0.32% 2.47% 3.10% Liquid Operating Monies^ 0.22% 0.09% 0.13% 0.17% 0.24% Citigroup 3-Month Treasury Bill 0.03% 0.03% 0.05% 0.07% 0.08% Total Fund 0.80% 1.73% (1.49%) 2.70% 3.70% Target* 0.85% 1.21% 0.26% 1.99% 2.49% Current Quarter Target= 80.0% ML:Corp/Gov 1-5 Yr and 20.0% FTSE 3 Mo T-Bill. ^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO. Callan Orange County Sanitation District 14 GO TO TABLE OF CONTENTS 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 2.2% 2.0% 1.8% 1.6% • W F- 1.4% N ry 1.2% 1.0% 0.8% • 0.6% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 1.4% 1.6% 1.8% Standard Deviation Seven Year Annualized Risk vs Return Asset Classes vs Asset Class Median 2.0% • 1.5% F L N� LL 1.0% 0.5% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 1.4% 1.6% Standard Deviation Callan Orange County Sanitation District 15 GO TO TABLE OF CONTENTS Manager Analysis GO TO TABLE OF CONTENTS Chandler-Long Term Operating Fund Period Ended March 31, 2020 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 2.51% return Beginning Market Value $579,913,998 for the quarter placing it in the 7 percentile of the Callan Net New Investment $4,000,000 Short Term Fixed Income group for the quarter and in the 4 percentile for the last year. Investment Gains/(Losses) $14,428,929 • Long Term Operating Fund's portfolio outperformed the Ending Market Value $590,342,927 ML:Corp/Gov 1-5 Yr by 0.56% for the quarter and outperformed the ML:Corp/Gov 1-5 Yr for the year by 0.37%. Performance vs Callan Short Term Fixed Income(Gross) 7% 6% (8) ♦ *B�8 5% 4% 21)"6�2 ° (7) A(5 S 2% (11) B�9 �B 7 17)�611 �9)�B�14)®A�4 $2)®6�3 1% 0% (1%) (2%) (3%) Last Quarter Last Last 3 Years Last 5 Years Last 5-1/4 Last 7 Years Last 10 Years Last 24-1/2 Year Years Years 10th Percentile 2.05 4.97 2.94 2.39 2.45 2.12 2.65 4.32 25th Percentile 1.48 4.38 2.72 2.20 2.26 1.97 2.45 4.09 Median 0.59 3.55 2.56 1.99 2.01 1.75 2.04 3.82 75th Percentile (0.50) 2.34 2.22 1.84 1.89 1.61 1.68 3.61 90th Percentile (1.86) 1.11 1.89 1.62 1.62 1.37 1.39 3.08 Long Term Operating Fund •A 2.51 5.78 3.16 2.33 2.36 1.77 2.33 4.29 Blmbg Govt/Cred 1-5 Year Idx 2.17 5.58 3.08 2.27 2.35 1.96 2.22 4.11 ML:Corp/Gov 1-5 Yr ♦ 1.95 5.41 3.04 2.26 2.35 1.98 2.26 4.13 Callan Short Term Fixed Income(Gross) Relative Return vs ML:Corp/Gov 1-5 Yr Annualized Seven Year Risk vs Return 1.0%- 3.5% 0.5%----- ----- ----- ----- ------------------ 3.0% c N 0.0%- 2.5%� N � (� (0.5%)- - ----- ----- ----- ------------------ 2.0% • N -- ----- ----- ----- ------------------ 1.5% • • ••- •• (1.5%)- 1.0% 2013 2014 2015 2016 2017 2018 2019 20 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 Standard Deviation - Long Term Operating Fund Callan Orange County Sanitation District 17 GO TO TABLE OF CONTENTS Long Term Operating Fund Return Analysis Summary Return Analysis The graphs below analyze the manager's return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager's ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager's ranking relative to their style using various risk-adjusted return measures. Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO. Performance vs Callan Short Term Fixed Income(Gross) 7% 4%0 { 19®Al 4) SS . •• )) •A(1) 2% 11 Bf 87WWg1 7®A 57®B� B 0®B�17 27 3� 8 �6( ) �21 I� •A(100) 30.1 12/19-3120 2019 2018 2017 2016 2015 2014 2013 2012 2011 10th Percentile 2.05 5.47 2.00 2.23 2.82 1.17 1.50 1.20 4.46 2.72 25th Percentile 1.48 4.92 1.82 1.74 2.17 1.01 1.27 0.80 2.60 2.30 Median 0.59 4.52 1.69 1.31 1.56 0.91 1.11 0.65 1.81 1.85 75th Percentile (0.50) 4.10 1.54 0.95 1.18 0.76 0.87 0.40 1.45 1.65 90th Percentile (1.86) 3.51 1.33 0.66 1.03 0.64 0.73 0.29 0.92 1.44 Long Term Operating Fund •A 2.51 4.70 1.60 1.18 1.58 0.85 1.98 (1.77) 3.06 4.59 Blmbg Govt/Cred 1-5 Year Idx 2.17 5.01 1.38 1.27 1.56 0.97 1.42 0.28 2.24 3.14 ML:Corp/Gov 1-5 Yr ♦ 1.95 5.08 1.40 1.28 1.62 1.05 1.51 0.32 2.47 3.10 Cumulative and Quarterly Relative Return vs ML:Corp/Gov 1-5 Yr 4%- 3%------- -------- ------- -------- -------- ---------------- -------- ---------------- -- cq2% --------------- - --------------- -------- - C L 1%------- ---- -- ------- ---- --- -------- ---------------- -------- ---------------- -- y 0% _ � (2%)------- -------- ------- ----- -------- ----------------- (3%)------------------------------- (4%) --------------- -------- ---------------- -- (5%)- 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20 Long Term Operating Fund Blmbg Govt/Cred 1-5 Year Idx Callan Short Fixed Inc Risk Adjusted Return Measures vs ML:Corp/Gov 1-5 Yr Rankings Against Callan Short Term Fixed Income (Gross) Seven Years Ended March 31, 2020 1.5 1.0 B(73) 0.5 � A 89 0.0 •A98 ■ B35 (0.5) A 65 (1.0) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 0.75 1.10 0.25 25th Percentile 0.50 0.94 (0.01) Median 0.32 0.82 (0.23) 75th Percentile 0.18 0.69 (0.45) 90th Percentile 0.08 0.52 (0.63) Long Term Operating Fund •A (0.23) 0.53 (0.36) Blmbg Govt/Cred 1-5 Year Idx (0.03) 0.70 (0.14) Callan Orange County Sanitation District 18 GO TO TABLE OF CONTENTS Long Term Operating Fund Bond Characteristics Analysis Summary Portfolio Characteristics This graph compares the manager's portfolio characteristics with the range of characteristics for the portfolios which make up the manager's style group. This analysis illustrates whether the manager's current holdings are consistent with other managers employing the same style. Fixed Income Portfolio Characteristics Rankings Against Callan Short Term Fixed Income as of March 31, 2020 6 5 4 3 2 (8) (10) (22) (18) (58) (89) 1 (92) 0 (1) Average Effective Coupon OA Duration Life Yield Rate Convexity 10th Percentile 2.54 2.81 4.70 3.23 0.17 25th Percentile 1.92 2.67 3.13 2.91 0.09 Median 1.84 2.10 2.52 2.61 0.04 75th Percentile 1.75 1.94 1.76 2.35 0.00 90th Percentile 0.55 1.44 1.27 2.18 (0.17) Long Term Operating Fund • 2.47 2.74 - 2.21 - ML:Corp/Gov 1-5 Yr ♦ 2.55 2.70 1.12 2.52 0.08 Sector Allocation and Quality Ratings The first graph compares the manager's sector allocation with the average allocation across all the members of the manager's style. The second graph compares the manager's weighted average quality rating with the range of quality ratings for the style. Sector Allocation Quality Ratings March 31, 2020 > vs Callan Short Term Fixed Income 32.4 Trsy US Trsy 169 64.2 0 27.13--------_--------------- AAA Gov Related 1.4 0 9 > 23.8 p m AA+ Corp(incl 144A) 51.8 rf1� 25.s (10) za AA (63) Other 6.1 ABS 22.7 AA- 1.8 q+ Cash 2.3 0.3 Tax-Exempt US Muni A 0.2 CMBs N 3.0 A Weighted Average 0.2 Quality Rating CMOs 1.2 10th Percentile AA 25th Percentile AA RMBS 0.6 Median AA 75th Percentile A+ 90th Percentile A 0% 10% 20% 30% 40% 50% 60% 70% 80% Long Term Operating Fund Callan Short Term Fixed Income Long Term Operating Fund • AA ML:Corp/Gov 1-5 Yr ML:Corp/Gov 1-5 Yr ♦ AA Callan Orange County Sanitation District 19 GO TO TABLE OF CONTENTS Long Term Operating Fund Portfolio Characteristics Summary As of March 31, 2020 Portfolio Structure Comparison The charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatest influence on return. The first chart compares the two portfolios across sectors. The second chart compares the duration distribution. The last chart compares the distribution across quality ratings. Sector Allocation US Trsy US Trsy 32% 64% CMBS ABS % 6% Cashh Age N 2% Other 7% Gov Related Tax-Exempt US Muni 10 28% 0% 1jr *Gov Related 10% Corp(2n4cl 144A) Corp(in of 144A) CMOs 26/o 0% Long Term Operating Fund ML:Corp/Gov 1-5 Yr Weighted Average: Duration Duration Distribution Long Term Operating Fund: 2.47 80% ML:Corp/Gov 1-5 Yr: 2.55 0 70% ------------- ------------- ---------------------------- ------------- ------------- - t 60% 59.7 --------------------------- ------------- ------ -------------- ------------- - 00 50% ------------- ------ p 40% ------------- --374 ---39=1-- -- c 30% -------- 23.5 20% j- K-- 0 ------------- ---------------------------- N 0_ 10% -fig-- - ------------- - 0% <1 1-3 3-5 5-7 7-10 >10 Years Duration Weighted Average: Quality Quality Distribution Long Term Operating Fund: AA 100% ML:Corp/Gov 1-5 Yr: AA 0 0 80% ------ -------- ------ -------- -------- - � 70.2 69.9 60% O 40% I20% ---- 13-2-125------12.1 -------- ------- -------- -------- ------- - d 0% 48 0.5 0.3 4.9 AAA AA A BBB BB B CCc cc c D Quality Rating Callan Orange County Sanitation District 20 GO TO TABLE OF CONTENTS Chandler-Liquid Operating Money Period Ended March 31, 2020 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 0.67% Beginning Market Value $175,646,417 return for the quarter placing it in the 1 percentile of the Net New Investment $-63,000,000 Callan Money Market Funds group for the quarter and in the 1 percentile for the last year. Investment Gains/(Losses) $865,897 • Liquid Operating Money Net's portfolio outperformed the Ending Market Value $113,512,314 Citigroup 3-Month Treasury Bill by 0.28%for the quarter and outperformed the Citigroup 3-Month Treasury Bill for the year by 0.31%. Performance vs Callan Money Market Funds(Net) 3% (3) •(1) 23)�(10 2% ♦ 1% 18)"(16 19) (16 •(1) 18)®(18 15) (17 (2) 0% (1%) (2%) (3%) Last Quarter Last Last 3 Years Last 5 Years Last 5-1/4 Last 7 Years Last 10 Years Last 24-1/2 Year Years Years 10th Percentile 0.32 1.90 1.72 1.29 1.27 0.97 0.94 2.42 25th Percentile 0.28 1.74 1.56 1.03 0.99 0.74 0.53 2.25 Median 0.24 1.56 1.37 0.88 0.83 0.62 0.44 2.11 75th Percentile 0.12 1.21 1.16 0.74 0.71 0.54 0.38 1.98 90th Percentile (1.86) 0.27 0.93 0.58 0.55 0.42 0.29 1.84 Liquid Operating Money Net • 0.67 2.35 1.77 1.15 1.10 0.81 0.59 2.42 Citigroup 3-Month Treasury Bill ♦ 0.39 2.04 1.74 1.12 1.07 0.81 0.60 2.27 Relative Returns vs Callan Money Market Funds (Net) Citigroup 3-Month Treasury Bill Annualized Seven Year Risk vs Return 0.35%- 1.8% 0.30%----- ----- ----- ----- ------------------ 1.6% 0.25%----- ----- ----- ----- ------------------ 1.4% E 0.20%----- ----- ----- ----- ------------------ 1.2% tY(D 0.15%----- ----- ----- ----- ------------------ E 1.0% • • • • • 0.8% Citigroup3-Month Treasury Bill is LY 0.05% - ------------------ 0.6% INN 0.00% 0.4% (0.05%) - ------------------ 0.2% (0.10%)- 0.0% 2013 2014 2015 2016 2017 2018 2019 20 0 1 2 3 4 5 Standard Deviation - Liquid Operating Money Net Callan Orange County Sanitation District 21 GO TO TABLE OF CONTENTS Liquid Operating Money Net Return Analysis Summary Return Analysis The graphs below analyze the manager's return on both a risk-adjusted and unadjusted basis. The first chart illustrates the manager's ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager's ranking relative to their style using various risk-adjusted return measures. Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO. Performance vs Callan Money Market Funds(Net) 4% 3% 2% 27®28 12p"22 1% 7 0% 2 • 1 30 35 33 30 (1%) (2%) (3%) 12/19-3/20 2019 2018 2017 2016 2015 2014 2013 2012 2011 10th Percentile 0.32 3.21 1.89 1.42 1.32 0.28 0.35 0.30 0.85 0.12 25th Percentile 0.28 2.31 1.72 0.91 0.40 0.06 0.03 0.04 0.06 0.04 Median 0.24 1.96 1.53 0.61 0.14 0.01 0.01 0.01 0.01 0.01 75th Percentile 0.12 1.75 1.30 0.42 0.04 0.01 0.01 0.01 0.01 0.01 90th Percentile (1.86) 1.49 1.04 0.23 0.01 0.00 0.00 0.00 0.00 0.00 Liquid Operating Money Net • 0.67 2.24 1.75 0.76 0.32 0.07 (0.06) (0.02) 0.02 0.09 Citigroup 3-Month Treasury Bill ♦ 0.39 2.25 1.86 0.84 0.27 0.03 0.03 0.05 0.07 0.08 Cumulative and Quarterly Relative Return vs Citigroup 3-Month Treasury Bill 0.6%- 0.4%------- -------- ------- -------- -------- - 0.2%------- -------- ------- -------- - L 0.0% (0.2%)------- -------- ------- -------- - ry ------- ---------------- -------- --------- --- -- (0.6%)------- -------- ------- -------- -------- ---------------- -------- ---------------- -- 75 (0.8%)------- -------- ------- -------- - ry (1.0%) --------------- -------- ---------------- - (1.2%) --------------- -------- ---------------- - (1.4%)- 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20 Liquid Operating Money Net Callan Money Market Funds Risk Adjusted Return Measures vs Citigroup 3-Month Treasury Bill Rankings Against Callan Money Market Funds(Net) Seven Years Ended March 31, 2020 1.0 0.5 0.0 • (0.5) (1.0) (1.5) (2.0) (2.5) (3.0) Alpha Sharpe Excess Return Ratio Ratio 10th Percentile 0.61 0.13 0.29 25th Percentile (0.02) (0.20) (0.41) Median (0.17) (0.59) (2.18) 75th Percentile (0.25) (0.90) (2.46) 90th Percentile (0.35) (1.48) (2.58) Liquid Operating Money Net • (0.08) (0.10) 0.01 Callan Orange County Sanitation District 22 GO TO TABLE OF CONTENTS Callan Research/Education GO TO TABLE OF CONTENTS = Callan Institute Education 1st Quarter 2020 Research and Educational Programs The Callan Institute provides research to update clients on the latest industry trends and carefully structured educational programs to enhance the knowledge of industry professionals.Visit www.callan.com/library to see all of our publications, and www.callan.com/blog to view our blog"Perspectives." For more information contact Barb Gerraty at 415-274-3093/institute@callan.com. New Research from Callan's Experts 2020 National Workshop Summary: Turbocharging DC Plans assumptions to reflect lower starting yields following the Fed pivot In this workshop, Connie Lee, Jana Steele, and James Veneruso in policy, but we held constant our real equity return over inflation. described ways in which defined contribution plan sponsors can improve participant outcomes, including plan design strategies and 2020 National Workshop Summary: Fee Study I In this 2020 investment implementation steps. workshop, presenters Butch Cliff, Mark Stahl, and Brady O'Connell discussed the major themes of our 2019 Investment Management 2019 Nuclear Decommissioning Funding Study I Callan's an- Fee Study and their impact on the institutional investor community. nual study offers insights into the status of nuclear decommission- ing funding to make peer comparisons more accurate and relevant. An Introduction to Our New Hedge Fund Peer Group I The Callan Institutional Hedge Fund Peer Group is designed to help institutional 2020 National Workshop Summary: Diversifying Alternatives investors better understand alpha-oriented solutions that can diver- In this workshop, presenters Pete Keliuotis, Catherine Beard, and sify their existing stock and bond exposures, and it represents the Ashley DeLuce discussed three lesser-known alternatives strate- available pool of hedge fund talent that investors will want to con- gies: specialty lending, emerging market private equity, and insur- sider,or at least compare with their existing hedge fund portfolios. ance-linked strategies. Quarterly Periodicals 2020 DC Trends Survey I Callan's 2020 Defined Contribution Trends Survey is designed to provide a benchmark for sponsors to Private Equity Trends, 4Q19 I A high-level summary of private evaluate their plans compared to peers,and to offer insights to help equity activity in the quarter through all the investment stages sponsors improve their plans and the outcomes for their participants. Active vs. Passive Charts, 4Q19 I A comparison of active man- How Sponsors Can Harness DC Plan Data for Better Outcomes agers alongside relevant benchmarks over the long term Defined contribution (DC) plans are designed to help participants Market Pulse Flipbook, 4Q19 I A quarterly market reference achieve the most beneficial outcomes.But participants'choices may guide covering trends in the U.S. economy, developments for in- not necessarily reflect asset allocation best practices.Sponsors can stitutional investors, and the latest data on the capital markets help participants by analyzing how investment options are used and make adjustments based on those observations. Capital Market Review,4Q19 I Analysis and a broad overview of the economy and public and private market activity each quarter The Callan Periodic Table of Investment Returns I We of- across a wide range of asset classes fer our Periodic Table Collection and the Callan Periodic Table of Investment Returns(Key Indices:2000-2019). Hedge Fund Quarterly,4Q19 1 Commentary on developments for hedge funds and multi-asset class(MAC)strategies Callan's 2020-2029 Capital Market Assumptions I Callan de- velops capital market assumptions to help clients with their long- Real Assets Reporter, 4Q19 I Data and insights on real estate term strategic planning. This year, we reduced our fixed income and other real assets investment topics. Research I Education I Dialogue GO TO TABLE OF CONTENTS Events Education Miss out on a Callan conference or workshop? Event summaries Through the"Callan College,"the Callan Institute offers educational and speakers' presentations are available on our website: sessions for industry professionals involved in the investment deck www.callan.com/library/ sion-making process. It was founded in 1994 to provide both clients and non-clients with basic-to intermediate-level instruction. Please mark your calendar and look forward to upcoming invitations: Upcoming Webinars Introduction to Investments for Institutional Investors May 21 —Hedge Fund Overview This program familiarizes institutional investor trustees and staff July 8—China Update and asset management advisers with basic investment theory, terminology,and practices. It lasts one-and-a-half days and is de- For more information about events, please contact Barb signed for individuals with less than two years of experience with Gerraty: 415-274-3093/gerraty@callan.com asset-management oversight and/or support responsibilities. Tu- ition is $2,350 per person and includes instruction, all materials, breakfast and lunch on each day, and dinner on the first evening with the instructors. Additional information including dates and registration can be found at: www.callan.com/callan-college-intro-2/ Alternative Investments for Institutional Investors Alternative investments like private equity, hedge funds, and real estate can play a key role in any portfolio. In this one-day ses- sion, Callan experts will provide instruction about the importance Education: By the Numbers of allocations to alternatives, and how to integrate, evaluate, and monitor them. 50+ Unique pieces of research the Institute generates each year Learn from some of Callan's senior consultants and experts, in- cluding Pete Keliuotis, the head of Alternatives Consulting. The session will cover private equity, private credit, hedge funds, real 525 Attendees(on average)of the Institute's annual National Conference estate, and real assets; why invest in alternatives; risk/return characteristics and liquidity;designing and implementing an alter- natives program; and trends and case studies. 317 00 Total attendees of the"Callan College"since 1994 Tuition is $2,000 per person and includes instruction, all materi- als, and breakfast and lunch with the instructors. Additional information including dates and registration can be found at: https://www.callan.com/callan-college-alternatives-2/ "Research is the foundation of all we do at Callan, and sharing our best thinking with the investment community is our way of helping to foster dialogue to raise the bar across the industry." Greg Allen,CEO and Chief Research Officer Callan Institute V @CallanLLC ® Callan GO TO TABLE OF CONTENTS Definitions GO TO TABLE OF CONTENTS Risk/Reward Statistics The risk statistics used in this report examine performance characteristics of a manager or a portfolio relative to a benchmark (market indicator) which assumes to represent overall movements in the asset class being considered. The main unit of analysis is the excess return, which is the portfolio return minus the return on a risk free asset (3 month T-Bill). Alpha measures a portfolio's return in excess of the market return adjusted for risk. It is a measure of the manager's contribution to performance with reference to security selection. A positive alpha indicates that a portfolio was positively rewarded for the residual risk which was taken for that level of market exposure. Beta measures the sensitivity of rates of portfolio returns to movements in the market index. A portfolio's beta measures the expected change in return per 1% change in the return on the market. If a beta of a portfolio is 1.5, a 1 percent increase in the return on the market will result, on average, in a 1.5 percent increase in the return on the portfolio. The converse would also be true. Downside Risk stems from the desire to differentiate between "good risk" (upside volatility) and "bad risk" (downside volatility). Whereas standard deviation punishes both upside and downside volatility, downside risk measures only the standard deviation of returns below the target. Returns above the target are assigned a deviation of zero. Both the frequency and magnitude of underperformance affect the amount of downside risk. Excess Return Ratio is a measure of risk adjusted relative return. This ratio captures the amount of active management performance (value added relative to an index) per unit of active management risk (tracking error against the index.) It is calculated by dividing the manager's annualized cumulative excess return relative to the index by the standard deviation of the individual quarterly excess returns. The Excess Return Ratio can be interpreted as the manager's active risk/reward tradeoff for diverging from the index when the index is mandated to be the"riskless" market position. Information Ratio measures the manager's market risk-adjusted excess return per unit of residual risk relative to a benchmark. It is computed by dividing alpha by the residual risk over a given time period. Assuming all other factors being equal, managers with lower residual risk achieve higher values in the information ratio. Managers with higher information ratios will add value relative to the benchmark more reliably and consistently. R-Squared indicates the extent to which the variability of the portfolio returns are explained by market action. It can also be thought of as measuring the diversification relative to the appropriate benchmark. An r-squared value of .75 indicates that 75% of the fluctuation in a portfolio return is explained by market action. An r-squared of 1.0 indicates that a portfolio's returns are entirely related to the market and it is not influenced by other factors. An r-squared of zero indicates that no relationship exists between the portfolio's return and the market. Relative Standard Deviation is a simple measure of a manager's risk (volatility) relative to a benchmark. It is calculated by dividing the manager's standard deviation of returns by the benchmark's standard deviation of returns. A relative standard deviation of 1.20, for example, means the manager has exhibited 20% more risk than the benchmark over that time period. A ratio of .80 would imply 20% less risk. This ratio is especially useful when analyzing the risk of investment grade fixed-income products where actual historical durations are not available. By using this relative risk measure over rolling time periods one can illustrate the "implied" historical duration patterns of the portfolio versus the benchmark. Residual Portfolio Risk is the unsystematic risk of a fund, the portion of the total risk unique to the fund (manager) itself and not related to the overall market. This reflects the "bets" which the manager places in that particular asset market. These bets may reflect emphasis in particular sectors, maturities (for bonds), or other issue specific factors which the manager considers a good investment opportunity. Diversification of the portfolio will reduce or eliminate the residual risk of that portfolio. Callan 27 GO TO TABLE OF CONTENTS Risk/Reward Statistics Rising Declining Periods refer to the sub-asset class cycles vis-a-vis the broader asset class. This is determined by evaluating the cumulative relative sub-asset class index performance to that of the broader asset class index. For example, to determine the Growth Style cycle, the S&P 500 Growth Index (sub-asset class) performance is compared to that of the S&P 500 Index(broader asset class). Sharpe Ratio is a commonly used measure of risk-adjusted return. It is calculated by subtracting the "risk-free" return (usually 3 Month Treasury Bill) from the portfolio return and dividing the resulting "excess return" by the portfolio's risk level (standard deviation). The result is a measure of return gained per unit of risk taken. Sortino Ratio is a downside risk-adjusted measure of value-added. It measures excess return over a benchmark divided by downside risk. The natural appeal is that it identifies value-added per unit of truly bad risk. The danger of interpretation, however, lies in these two areas: (1)the statistical significance of the denominator, and (2) its reliance on the persistence of skewness in return distributions. Standard Deviation is a statistical measure of portfolio risk. It reflects the average deviation of the observations from their sample mean. Standard deviation is used as an estimate of risk since it measures how wide the range of returns typically is. The wider the typical range of returns, the higher the standard deviation of returns, and the higher the portfolio risk. If returns are normally distributed (ie. has a bell shaped curve distribution) then approximately 2/3 of the returns would occur within plus or minus one standard deviation from the sample mean. Total Portfolio Risk is a measure of the volatility of the quarterly excess returns of an asset. Total risk is composed of two measures of risk: market (non-diversifiable or systematic) risk and residual (diversifiable or unsystematic) risk. The purpose of portfolio diversification is to reduce the residual risk of the portfolio. Tracking Error is a statistical measure of a portfolio's risk relative to an index. It reflects the standard deviation of a portfolio's individual quarterly or monthly returns from the index's returns. Typically, the lower the Tracking Error, the more "index-like"the portfolio. Treynor Ratio represents the portfolio's average excess return over a specified period divided by the beta relative to its benchmark over that same period. This measure reflects the reward over the risk-free rate relative to the systematic risk assumed. Note: Alpha, Total Risk, and Residual Risk are annualized. Callan 28 GO TO TABLE OF CONTENTS 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 pa r. Average Years to Expected Maturity- This is a measure of the market-value-weighted average of the years to expected maturity across all of the securities in the portfolio. Expected years to maturity takes into account any put or call options embedded in the security, any expected sinking-fund paydowns or any expected mortgage principal prepayments. Average Years to Stated Maturity- The average years to stated maturity is the market value weighted average time to stated maturity for all securities in the portfolio. This measure does not take into account imbedded options, sinking fund paydowns, or prepayments. Current Yield-The current yield is the current annual income generated by the total portfolio market value. It is equal to the total portfolio coupon payments per year divided by the current total portfolio market value. Callan 29 GO TO TABLE OF CONTENTS 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 30 GO TO TABLE OF CONTENTS Disclosures GO TO TABLE OF CONTENTS Callan Quarterly List as of March 31, 2020 List of Callan's Investment Manager Clients Confidential—For Callan Client Use Only Callan takes its fiduciary and disclosure responsibilities to clients very seriously.We recognize that there are numerous potential conflicts of interest encountered in the investment consulting industry and that it is our responsibility to manage those conflicts effectively and in the best interest of our clients. At Callan,we employ a robust process to identify,manage,monitor and disclose potential conflicts on an on-going basis. The list below is an important component of our conflicts management and disclosure process. It identifies those investment managers that pay Callan fees for educational,consulting,software,database or reporting products and services. We update the list quarterly because we believe that our fund sponsor clients should know the investment managers that do business with Callan,particularly those investment manager clients that the fund sponsor clients may be using or considering using.Please note that if an investment manager receives a product or service on a complimentary basis(e.g. attending an educational event),they are not included in the list below.Callan is committed to ensuring that we do not consider an investment manager's business relationship with Callan,or lack thereof,in performing evaluations for or making suggestions or recommendations to its other clients. Please refer to Callan's ADV Part 2A for a more detailed description of the services and products that Callan makes available to investment manager clients through our Institutional Consulting Group, Independent Adviser Group and Fund Sponsor Consulting Group. Due to the complex corporate and organizational ownership structures of many investment management firms,parent and affiliate firm relationships are not indicated on our list. Fund sponsor clients may request a copy of the most currently available list at any time.Fund sponsor clients may also request specific information regarding the fees paid to Callan by particular fund manager clients. Per company policy,information requests regarding fees are handled exclusively by Callan's Compliance Department. Manager .. r Name - Aberdeen Standard Investments Cohen&Steers Capital Management, Inc. Acadian Asset Management LLC Columbia Threadneedle Investments AEGON USA Investment Management Inc. Columbus Circle Investors AllianceBernstein Credit Suisse Asset Management Allianz D.E.Shaw Investment Management, L.L.C. American Century Investments DePrince, Race&Zollo, Inc. Amundi Pioneer Asset Management Dimensional Fund Advisors LP AQR Capital Management Doubleline Ares Management LLC Duff&Phelps Investment Management Co. Ariel Investments,LLC DWS Aristotle Capital Management,LLC EARNEST Partners,LLC Atlanta Capital Management Co., LLC Eaton Vance Management Aviva Investors Americas Epoch Investment Partners, Inc. AXA Investment Managers Fayez Sarofim&Company Baillie Gifford International,LLC Federated Hermes, Inc. Baird Advisors Fidelity Institutional Asset Management Baron Capital Management, Inc. Fiera Capital Corporation Barrow, Hanley,Mewhinney&Strauss,LLC First Hawaiian Bank Wealth Management Division BlackRock First State Investments BMO Global Asset Management Fisher Investments BNP Paribas Asset Management Franklin Templeton BNY Mellon Asset Management Fred Alger Management, Inc. Boston Partners GAM(USA)Inc. Brandes Investment Partners, L.P. GCM Grosvenor Brandywine Global Investment Management, LLC Glenmeade Investment Management, LP BrightSphere Investment Group GlobeFlex Capital, L.P. Brown Brothers Harriman&Company Goldman Sachs Cambiar Investors, LLC Green Square Capital Advisors,LLC CapFinancial Partners,LLC Guggenheim Investments Capital Group GW&K Investment Management Carillon Tower Advisers Harbor Capital Group Trust CastleArk Management, LLC Hartford Investment Management Co. Causeway Capital Management LLC Heitman LLC Chartwell Investment Partners Hotchkis&Wiley Capital Management, LLC ClearBridge Investments,LLC Income Research+Management, Inc. Callan Knowledge. Experience. Integrity. Page 1 of 2 GO TO TABLE OF CONTENTS 11011111111off- Manager Name Manager Name Insight Investment Management Limited Pathway Capital Management Intech Investment Management, LLC Peregrine Capital Management, LLC. Intercontinental Real Estate Corporation Perkins Investment Management Invesco PFM Asset Management LLC Investec Asset Management North America, Inc. PGIM Fixed Income Ivy Investments PineBridge Investments J.P.Morgan PNC Capital Advisors, LLC Janus Polen Capital Management Jennison Associates LLC Principal Global Investors Jobs Peak Advisors Putnam Investments,LLC KeyCorp QMA LLC Lazard Asset Management RBC Global Asset Management Legal&General Investment Management America Regions Financial Corporation Lincoln National Corporation Robeco Institutional Asset Management, US Inc. Longview Partners Rothschild&Co.Asset Management US Loomis,Sayles&Company,L.P. S&P Dow Jones Indices Lord Abbett&Company Schroder Investment Management North America Inc. Los Angeles Capital Management SLC Management LSV Asset Management Smith Graham&Co. Investment Advisors,L.P. MacKay Shields LLC State Street Global Advisors Macquarie Investment Management(MIM) Stone Harbor Investment Partners L.P. Manulife Investment Management Strategic Global Advisors Marathon Asset Management,L.P. T. Rowe Price Associates, Inc. McKinley Capital Management,LLC The TCW Group, Inc. Mellon Thompson,Siegel&Walmsley LLC MetLife Investment Management Thornburg Investment Management, Inc. MFS Investment Management Tri-Star Trust Bank MidFirst Bank UBS Asset Management Mondrian Investment Partners Limited USAA Real Estate Montag&Caldwell,LLC VanEck Morgan Stanley Investment Management Versus Capital Group Mountain Pacific Advisors,LLC Victory Capital Management Inc. MUFG Union Bank,N.A. Virtus Investment Partners,Inc. Natixis Investment Managers Vontobel Asset Management, Inc. Neuberger Berman Voya Newton Investment Management WCM Investment Management Nikko Asset Management Co., Ltd. WEDGE Capital Management Nile Capital Group LLC Wellington Management Company LLP Northern Trust Asset Management Wells Fargo Asset Management Nuveen Western Asset Management Company LLC P/E Investments Westfield Capital Management Company,LP Pacific Investment Management Company William Blair&Company LLC Parametric Portfolio Associates LLC Callan Knowledge. Experience. Integrity. Page 2 of 2 March 31, 2020 GO TO TABLE OF CONTENTS INVES'IMENT REPO RT Cill CHANDLER ASSET MANAGEMENT Orange County Sanitation District Period Ending March 31, 2020 CHANDIERASSETMANAGEMENT, INC. 1 800.317.47471 www.chandlerasset.com /` t R, Y GO TO TABLE OF CONTENTS ITable of Contents As of March 31, 2020 SECTION 1 Economic Update SECTION 2 Account Profile SECTION 3 Consolidated Information SECTION 4 Portfolio Holdings SECTION 5 Transactions 1 cill GO TO TABLE OF CONTENTS Section 1 Economic Update C GO TO TABLE OF CONTENTS IEconomic Update ■ Financial markets have experienced significant turbulence, driven by a high level of uncertainty about the impact of the COVID-19 pandemic on the global economy. US Treasury yields have declined, amid a global flight to quality. At the end of the first quarter, the yield on 2-year Treasuries was down 132 basis points year-to-date, and the yield on 10-year Treasuries was down nearly 125 basis points. The S&P 500 index declined 20.0% in the first quarter. There are still many unknowns about the coronavirus including how widespread it will become, how long it will take to contain the virus, and the actual impact on economic activity. We believe containment efforts and supply chain disruptions will cause a sharp increase in unemployment and a swift and deep contraction in economic activity. Financial markets will likely remain volatile over the near term but we believe that large-scale global monetary and fiscal stimulus programs will help mitigate the longer-term impact of the pandemic. Notably, President Trump approved a $2 trillion economic relief package on March 27, the largest fiscal stimulus package in US history. • The Fed has taken a wide range of aggressive actions to help stabilize and provide liquidity to the financial markets. The Fed has lowered the fed funds target rate to a range of 0.0%-0.25% and said it will purchase Treasury and agency mortgage- backed securities in any amount needed to support smooth market functioning. Policymakers have established several facilities to help support the flow of credit to businesses and state and local governments including the Commercial Paper Funding Facility, Main Street Lending Facility, Money Market Mutual Fund Liquidity Facility, Municipal Liquidity Facility, Paycheck Protection Program Liquidity Facility, Primary Market Corporate Credit Facility, Secondary Market Corporate Credit Facility, and Term Asset-Backed Securities Loan Facility. The Fed has also provided short-term funding through large-scale repo operations and lowered the reserve requirement for depository institutions. Fed Chair Powell has indicated that the Fed will continue to act "forcefully, proactively, and aggressively' until the economy is solidly on a road to recovery. The slope of the Treasury yield curve steepened in March, though rates across the curve declined meaningfully. At March month-end, the yield on 10-year Treasuries was down 48 basis points to 0.67% while the yield on 2-year Treasuries was down 67 basis points to 0.25%. The yield on 3-month T-bills declined 121 basis points in March. The movement in yields has been driven by fears about the coronavirus and its potential impact on global economic growth and inflation expectations, as well as the cumulative 150 basis point cut to the fed funds target rate in March. 3 C11% GO TO TABLE OF CONTENTS Employment Change in Nonfarm Payrolls and Unemployment Rate March 2015 - March 2020 600 6% �i w 400 200 � 4/0 0 3% c -200 Q. E 2% -400 -600 Nonfarm Payrolls 1% ——— Unemployment Rate -800 0% 2lQ,r 2ldr �dr �dr �dr �dr 19 �p Source:US Department of Labor U.S. nonfarm payrolls declined by 701,000 in March. Employment in leisure and hospitality was particularly weak with payrolls down 459,000. The U-3 unemployment rate increased to 4.4% in March from 3.5% in February, and the participation rate declined to 62.7% from 63.4%. 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, increased to 8.7% from 7.0%. Wages rose 0.4% in March and were up 3.1% on year-over-year basis. The average workweek declined to 34.2 hours from 34.4 hours. Notably, the establishment survey of payrolls and the household survey of unemployment were collected in the first half of March, which predates many of the business and school closures related to the pandemic. 4 C11% GO TO TABLE OF CONTENTS Initial Claims for Unemployment Intitial Claims For Unemployment January 17, 2020-April 03, 2020 8,000 7,000 7,455 6,867 �Initial Jobless Claims 6,606 (Continuing Claims 6,000 5,000 4,000 3,307 y 0 3,000 3,059 w 2,000 1,704 1,753 1,678 1,729 1,692 1,719 1,699 1,702 1,784 1,000 220 212 201 204 215 220 217 211 282 I• mAmm O O O O O O O O O O O O O � 0 j� , O ' 6, 0i O O �O �O -1 O1�O �O A,O 1,�O O Source:US Department of Labor More than 6.6 million people filed an initial claim for unemployment in the April 4 week, following nearly 6.9 million claims in the prior week, and 3.3 million claims two weeks prior. 5 Q1 GO TO TABLE OF CONTENTS Inflation Consumer Price Index (CPI) Personal Consumption Expenditures (PCE) 3.5% 3.5% 3.0% 3.0% 2.5% w _ 2.5 J° 2.0/ J° 2.0% U v ' `♦♦ �d 14b 1.5% �° 1.5 0 0 1.0% — 1.0% 0.5 o CPI YOY%Change 0 5% PCE Price DeflatorYOY%Change ——— Core CPI YOY%Change ——— PCE Core Deflator YOY%Change 0.0% 0.0% �d~18 ✓4h 4SPp1� o(ICI �d~19 ✓`j�19 SPp19 O0c,I �d��p �P61d' �d`18 94g1� �oG18 'cPb19 2jd`19 9G�19 �0�19 �Pb�?O Source:US Department of Labor Source:US Department of Commerce The Consumer Price Index (CPI) was up 1.5%year-over-year in March, down from 2.3% in February. Core CPI (CPI less food and energy) was up 2.1% year-over-year in March, down from 2.4% in February. The CPI data for March indicates that the initial net effect of the pandemic has been deflationary. The Personal Consumption Expenditures (PCE) index was up 1.8% year-over-year in February, unchanged from 1.8% year- over-year in January. Core PCE, which is the Fed's primary inflation gauge, was up 1.8% year-over-year in February versus 1.7%year-over-year in January. Core PCE was trending below the Fed's 2.0% inflation target before the COVID-19 pandemic. 6 CIS% GO TO TABLE OF CONTENTS IConsumer Retail Sales YOY % Change Consumer Confidence 7.0% 145 6.0% 140 5.0% 135 — v 4.0% 130 u � } 3.0% 125 o _0 } c 2.0% — 120 1.0% 115 0.0% 110 �0 6 18 •�d`Z� 9Gg18 •yo`1� ��619 �a`19 14�19 ��`19 ��6�0 �d�18 ✓4�1� SPa1� p00 �0-, ✓��'79 SPp l9 p00 �d~�O Source:US Department of Commerce Source:The Conference Board On a year-over-year basis, retail sales were up 4.3% in February versus 5.0a/o in January. On a month-over-month basis, retail sales excluding autos and gas fell 0.2% in February, well below expectations for a 0.4% increase. Control group sales were flat in February, below expectations of a 0.4% gain. Several retail categories showed weakness in February including auto sales and gasoline, building materials, clothing stores, electronics &appliances. The impact of the coronavirus was only beginning to emerge in February but the outlook for retail sales in the coming months is under significant pressure. The Consumer Confidence Index remained fairly strong in March but declined to 120.0 from 132.6 in February. The cut-off date for the survey was March 19. Confidence was high going into the pandemic, but we expect to see a meaningful decline in the coming months. 7 Q1 GO TO TABLE OF CONTENTS IEconomic Activity Leading Economic Indicators (LEI) Chicago Fed National Activity Index (CFNAI) 0.8% 0.70 0.6/ 0.50 0.30 a 0.4% a c � s 0.10 u 0.2% Al' 4�a -0.10 0 0.0 5; M -0.30 -0.2% -0.50 -0.4% -0.70 �d`1� q��1� �oG�� �Pb19 .j7d`19 q�g19 �0`19 �cP6�o �Pb1� �a�1a g4�18 �oG1� "Pb19 �a`19 g4�1,9 �oG19 �0 6 �0 Source:The Conference Board Source:Federal Reserve Bank of Chicago The Leading Economic Indicators index (LEI) rose a modest 0.1% in February, following a 0.7% increase in January. The LEI was up 0.7% on a year- over-year basis in February versus up 0.8% year-over-over in January. However, the Conference Board cautioned that the February index didn't reflect the impact of the COVID-19 pandemic and that the economy may have now entered a contraction. The Chicago Fed National Activity Index (CFNAI) improved to 0.16 in February from -0.33 in January. On a 3-month moving average basis, the CFNAI declined to -0.21 in February from -0.11 in January. The 3-month moving average is consistent with sub-par economic growth. 8 Q1 GO TO TABLE OF CONTENTS Housing Housing Starts S&P/Case-Shiller 20 City Composite Home Price 1800 Index 1600 Multi Family Housing Starts 7.5% ■ Single Family Housing Starts 0 1400 6.5% LA 1200 c 1000 5.5% — 0 s 800 4.5% 600 3.5% 400 o 200 2.5 0 1.5% . 1� lql1� O1 q / OPb pr` ° l9 170 19 s 1O 1 ,17 s ct'l9 �O9 Source:US Department of Commerce Source:S&P Housing starts remained strong in February at an annual rate of 1,599,000, exceeding the consensus forecast. On a month-over-month basis, single family starts rose 6.7°% to an annualized rate of 1,072,000, while multi-family starts declined 14.9%to an annualized rate of 527,000. Low mortgage rates and a strong labor market were fueling housing activity heading into the COVID-19 crisis. According to the Case-Shiller 20-City home price index, home prices were up 3.1% year-over-year in January, versus up 2.9% year-over-year in December, which suggests that pricing in the sector was gaining momentum prior to the pandemic. 9 C11% GO TO TABLE OF CONTENTS IManufacturing Institute of Supply Management Purchasing Industrial Production Manager Index 64 6.0% 62 5.0% EXPANDING 60 4.0% 58 cu ;i° 3.0% 77\ M 56 2.0% 54 0 1.0% 52 50 0.0% 48 CONTRACTING -1.0% 46 -2.0% �ar -10 18 ✓4�4SPp 1� O�c1cP �d~l9 19 SPp l9 OPc 19 �d~�p �061� 19 18 �oG18 �Pb l9 �aL19 �4e,7 �Ot, �06' Source:Institute for Supply Management Source:Federal Reserve The Institute for Supply Management (ISM) manufacturing index decreased to 49.1 in March from 50.1 in February. The sub-50.0 reading suggests that the manufacturing sector is in contraction but it was stronger than the consensus estimate of 44.0. The Industrial Production index was up 0.04%year-over-year in February. In January, the index was down 1.02%year-over-year. On a month-over-month basis, the index was up 0.6% in February following a 0.5% decline in January. The Boeing 737 Max shutdown weighed on production in both months but there was a large gain in auto production in February. Capacity Utilization increased to 77.0% in February from 76.6% in January, but remained below the long-run average of 79.8% indicating there was still excess capacity for growth. 10 CIll GO TO TABLE OF CONTENTS IGross Domestic Product (GDP) Gross Domestic Product (GDP) Components4.5% 4.0% GDP QOQ%Change Personal Consumption GDP YOY%Change Expenditures 0.8% 3.0% 2.1% 1.2% 3.5% Gross Private Domestic 3.0% 1.1% -1.2% -0.2% -1.1% Investment 2 5% Net Exports and Imports 0.7% -0.7% -0.1% 1.5% 2.0% 1.5% Federal Government 0 Expenditures .1% 0.5% 0.2% 0.2% 1.0% State and Local (Consumption and 0.5% Gross Investment) 0.4% 0.3% 0.1% 0.2% 0.0% Total 3.1% 2.0% 2.1% 2.1% on ✓�''�. �Oc, ✓�'�. �0c, ✓�'�. c, ✓�'�. c, ✓�'�. ��°c, IQ 1s Is. 16' .16. 1> Ij I� 1� 79 l9 Source: US Department of Commerce Source: US Department of Commerce Fourth quarter 2019 GDP grew at a 2.1% annualized rate, in line with expectations. This follows growth of 2.1% in the third quarter, 2.0% in the second quarter, and 3.1% in the first quarter. Overall, GDP grew 2.3% in 2019, down from 2.9% in 2018. Fourth quarter growth was fueled by net exports and consumer spending which contributed 1.5% and 1.2%to GDP in the quarter, respectively, while gross private domestic investment was a drag on the economy. We believe the economy was expanding at a moderate pace at the beginning of this year but containment efforts related to the COVID-19 pandemic have almost certainly resulted in a steep contraction in US economic activity beginning in early March. 11 CA„ GO TO TABLE OF CONTENTS Federal Reserve Federal Reserve Balance Sheet Assets Effective Federal Funds Rate 6,700,000 4.50% 4.00% 6,200,000 3.50% 5,700,000 3.00% o 2.50% '- 5,200,000 2 -- �♦ 2.00% �� 4,700,000 1.50% 1 1.00% 4,200,000 1 0.50% 1 3,700,000 0.00% ` gpr18 ✓�/18 pc�18 ✓d719 gpr'7,9 ✓4/19 pc�19 ✓d��� gpr�0 qa~1d' ✓�i1a pc�1d' ✓d�19 gp~19 ✓�/19 pc�19 ✓d��o q�~�o Source:Federal Reserve Source:Bloomberg The Fed has taken a wide range of aggressive actions this month to help stabilize and provide liquidity to the financial markets. The Fed has lowered the fed funds target rate to a range of 0.0%-0.25% and said it will purchase Treasury and agency mortgage-backed securities in any amount needed to support smooth market functioning. Policymakers reinstated the Commercial Paper Funding Facility and Money Market Mutual Fund Liquidity Facility in orderto provide liquidity to the commercial paper, money markets, and the municipal bond markets. The Fed has established the Primary Market Corporate Credit Facility and Secondary Market Corporate Credit Facility to support the corporate bond market. The Term Asset-Backed Securities Loan Facility has been established to enable the issuance of asset-backed securities backed by student loans, auto loans, credit card loans, and loans guaranteed by the Small Business Administration. The Fed has established the Paycheck Protection Program Liquidity Facility and Fed's Main Street Lending Facility which will support the flow of credit to businesses. The Fed established the Municipal Liquidity Facility to purchase short-term debt directly from US states, counties, and cities. The Fed has also provided short-term funding through large-scale repo operations and lowered the reserve requirement for depository institutions. 12 Q GO TO TABLE OF CONTENTS Bond Yields US Treasury Note Yields US Treasury Yield Curve 4.0% 4.0% 3.5 •••••• 2-Year 3.5% "'••• Mar-20 5-Year ——— Dec-19 3.0% 0-.N.� 10-Year 3.0% —Mar-19 2.5% 2.5% — :2 2.0% 2.0% �•� w v wwww 1.5 o v w.. > 1.5% 1.0% 1.0% 1 0.5% 0.5% 0.0% — — 0.0 1� 1� "4 1cQ 19 19 l,9 ',7 -p 1170�o 11` y� yr 0 Syr Source:Bloomberg Source:Bloomberg At March month-end, Treasury yields were much lower on a year-over-year basis. The 3-month T-bill yield was down 232 basis points, the 2- year Treasury yield was down 202 basis points, and the 10-Year Treasury yield was down 174 basis points, year-over-year. Much of the spread movement was in the month of March, with the Fed cutting rates by a total of 150 basis points and concerns about a global recession and a flight to safe-haven assets driving down yields across the curve. 13 C1„ GO � Section 2 Account Profile C GO TO TABLE OF CONTENTS Objectives As of March 31, 2020 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 ICE BAML 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. 15 cJ„ GO TO TABLE OF CONTENTS Icompliance As of March 31, 2020 Orange County Sanitation District Long Term Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy Category Standard Comment Treasury Issues 10%minimum; 5 years max maturity Complies* U.S.Agencies 20%max per agency of the U.S.Government,which does not provide the full faith and credit of the U.S.government; 5 years max maturity Complies "AA"rated or better by a NRSRO; 30%maximum; 5 years max maturity; U.S.dollar denominated senior unsecured unsubordinated obligations issued or Supranational Obligations unconditionally guaranteed by the International Bank for Reconstruction and Development("IBRD"),the International Finance Corporation("IFC")or the Complies Inter-American Development Bank("IADB") "A"rated or better long term debt by a NRSRO; 30%maximum;5%max issuer; 5 years max maturity; Issued by corporations organized and operating Corporate Medium Term Notes Complies within the U.S.or issued by depository institutions licensed by the U.S.or any state and operating within the U.S. "A"rated or higher by a NRSRO; Taxable or tax-exempt municipal bonds issued by any of the 50 states;10%maximum; 5%max issuer; 5 years max Municipal Securities Complies maturity Mortgage-Backed Securities/Collateralized o 0 "AA"rated or better by a NRSRO; 20%maximum(combined MBS/CMO/ABS); 5/o max issuer(except U.S.government or its agencies);5 years max Mortgage Obligations/Asset-Backed Complies* Securities maturity Negotiable Certificates of Deposit(NCD) "A"rated or better long term debt by a NRSRO;or"A-1"/highest short term rating by a NRSRO; 30%maximum;5%max issuer;5 years max maturity Complies Certificates of Deposit 5%max issuer; 5 years max maturity; Secured/collateralized Complies Banker's Acceptances A-1 rated or highest short term rating by a NRSRO; 40%maximum; 5%max issuer;180 days max maturity Complies A-1 rated or better by a NRSRO; "A"rated or better long term debt issuer by a NRSRO; Issuer is a corporation organized and operating in the U.S.with Commercial Paper Complies assets>$500 million; 25%maximum; 5%max issuer; 10%max of the outstanding commercial paper of any single issuer;270 days max maturity Mutual Fund&Money Market Mutual Highest rating or"AAA"rated by two NRSROs;SEC registered adviser with AUM>$500 million and experience>than 5 years;20%maximum in Mutual Complies Fund Funds; 10%per one Mutual Fund; 20%max per issuer on Money Market Mutual Funds; 20%max of OCSD's surplus money Repurchase Agreements 102%collateralization Complies Reverse Repurchase Agreements 5%maximum,90 days max maturity Complies No more than the lesser of 15%of the portfolio or the statutory maximum invested in LAIF; Not used by investment adviser;Investment of OCSD funds in Local Agency Investment Fund(LAIF) Complies LAIF shall be subject to investigation and due diligence prior to investing 15%maximum; Not used by investment adviser; Orange County Treasurer's Money Market Commingled Investment Pool; Investment of OCSD funds in OCCIP Complies OCCIP shall be subject to investigation and due diligence prior to investing Mortgage Derivatives,which include interest-only payments(IOs)and principal-only payments(POs); Inverse floaters,and RE-REMICS(Real Estate Prohibited Complies Mortgage Investment Conduits) Avg Duration Not to exceed 60 months - (80%to 120%of the benchmark) Complies Max Per Holding 5%max of the total debt outstanding of any issuer per individual holding Complies Max Per Issuer 5%max per issuer(except Supranationals,U.S.Government,Agencies,Mutual Fund) Complies Maximum Maturity 5 years maximum maturity Complies* *The portfolio has twenty(20)securities with maturities greater than 5 years including four(4)CMOs and sixteen(16)M85. All securities were inherited from the previous manager and complied at time of purchase. 16 c,J, GO TO TABLE OF CONTENTS Portfolio Characteristics As of March 31, 2020 Orange County Sanitation District Long Term 020 0 • Benchmark* Portfolio Portfolio Average Maturity(yrs) 2.65 2.74 2.74 Average Modified Duration 2.54 2.47 2.41 Average Purchase Yield n/a 2.22% 2.30% Average Market Yield 0.66% 0.89% 1.72% Average Quality" AAA AA/Aa1 AA/Aa1 Total Market Value 590,338,610 579,895,190 *ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index **Benchmark is a blended rating of S&P, Moody's, and Fitch. Portfolio is S&P and Moody's respectively. Multiple securities were purchased across the Treasury,Agency, Asset Backed and Corporate sectors of the market to keep the portfolio positioned consistent with Chandler targets. The purchased securities ranged in maturity from December 2022 to March 2025. Several securities were sold and two matured to help facilitate the new holding in the portfolio. Additionally,there was a $10 million withdrawal early in the quarter and a $6 million contribution late in the quarter. 17 Q11 GO TO TABLE OF CONTENTS ISector Distribution As of March 31, 2020 Orange County Sanitation District Long Term March 31, 2020 December 31, 2019 ABS Negotiable CD 6.1% 1.4% ABS 7.8% US Treasury 32.4% US Treasury 34.8% Agency 22.8% Agency 27.8% Supranational CMO 5 7% Supranational 0.2% 5.8% � Municipal Bonds CMO Commercial 0.3% 0.2% Municipal Bonds Paper 0.3% 1.7% Mortgage Pass Commercial Corporate Thru Paper Mortgage Pass Money Market Corporate po Thru Money Market 24.1% 0.2% 1.7/o Fund FI 23.8% 0.2% Fund FI 1.8% 1.0% The sector allocation changed moderately over the most recent quarterly reporting period. Two of the larger changes include the 5.0% increase in the Agency allocation, to 27.8% of the portfolio, partially offset by the 2.4% decline in the US Treasury allocation, to 32.4% of the portfolio. 18 C111 GO TO TABLE OF CONTENTS issuers As of March 31, 2020 Orange County Sanitation District Long Term -Account #10268 Issue Name Investment Type %Portfolio Government of United States US Treasury 32.43% Federal Home Loan Bank Agency 10.52% Federal National Mortgage Association Agency 10.17% Federal Home Loan Mortgage Corp Agency 6.17% Inter-American Dev Bank Supranational 3.04% Honda ABS ABS 2.20% First American Govt Obligation Fund Class-Z Money Market Fund FI 1.75% John Deere ABS ABS 1.75% Intl Bank Recon and Development Supranational 1.74% MUFG Bank Ltd/NY Commercial Paper 1.69% US Bancorp Corporate 1.58% Nissan ABS ABS 1.52% Toronto Dominion Holdings Corporate 1.40% Wells Fargo Corp Corporate 1.36% JP Morgan Chase&Co Corporate 1.32% Apple Inc Corporate 1.23% Bank of America Corp Corporate 1.18% Charles Schwab Corp/The Corporate 1.17% Berkshire Hathaway Corporate 1.15% Royal Bank of Canada Corporate 1.13% Chubb Corporation Corporate 1.07% PNC Financial Services Group Corporate 1.06% ChevronTexaco Corp Corporate 1.05% IBM Corp Corporate 1.00% International Finance Corp Supranational 0.94% Intel Corp Corporate 0.90% Federal Farm Credit Bank Agency 0.89% Bank of New York Corporate 0.86% Qualcomm Inc Corporate 0.85% HSBC Holdings PLC Corporate 0.77% Wal-Mart Stores Corporate 0.70% Honda Motor Corporation Corporate 0.70% General Dynamics Corp Corporate 0.55% Microsoft Corporate 0.52% Exxon Mobil Corp Corporate 0.51% Oracle Corp Corporate 0.51% Morgan Stanley Corporate 0.50% Mercedes-Benz Auto Lease Trust ABS 0.35% 19 Q11 GO TO TABLE OF CONTENTS IIssuers As of March 31, 2020 Orange County Sanitation District Long Term —Account #10268 Issue Name Investment Type %Portfolio Merck&Company Corporate 0.34% Toyota ABS ABS 0.33% New York City Transitional Finance Authority Municipal Bonds 0.25% Deere&Company Corporate 0.23% BlackRock Inc/New York Corporate 0.18% Federal National Mortgage Association Mortgage Pass Thru 0.17% Federal Home Loan Mortgage Corp CMO 0.13% University of California Municipal Bonds 0.07% Federal National Mortgage Association CIVIC) 0.03% GNMA Mortgage Pass Thru 0.02% AMRESCO Residental Securities Corp CMO 0.02% SLM Corp ABS 0.00% Small Business Administration ABS 0.00% Federal Home Loan Mortgage Corp Mortgage Pass Thru 0.00% TOTAL 100.00% 20 Q11 GO TO TABLE OF CONTENTS Quality Distribution As of March 31, 2020 Orange County Sanitation District Long Term March 31, 2020 vs. December 31, 2019 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% o 0.0/ AAA AA A <A NR ■3/31/2020 0 12/31/2019 03/31/20 9.5% 69.9% 15.2% 0.5% 4.9% 12/31/19 9.0% 68.2% 16.0% 0.5% 6.3% Source:S&P Ratings 21 C111 GO TO TABLE OF CONTENTS Quality Distribution As of March 31, 2020 Orange County Sanitation District Long Term March 31, 2020 vs. December 31, 2019 80.0% 70.0% 60.0% 50.0% 40.0 30.0% 20.0% 10.0% 0.0% AAA AA A <A NR ■3/31/2020 ■12/31/2019 03/31/2020 75.9% 6.0% 17.1% 0.0% 0.9% 12/31/2019 75.4% 6.1% 17.2% 0.0% 1.3% Source:Moody's Ratings 22 C1" GO TO TABLE OF CONTENTS IDuration Distribution As of March 31, 2020 Orange County Sanitation District Long Term Portfolio Compared to the Benchmark as of March 31, 2020 35.0% 30.0% 25.0% 20.0% 15.0% 10.0% 5.0% 0.0% ■ 0-0.25 0.25 -0.50 0.50- 1 1 -2 2 -3 3 -4 4-5 5+ ■Orange County Sanitation District Long Term ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index i , Portfolio 6.4% 3.0% 14.1% 15.3% 22.1% 22.2% 17.0% 0.0% Benchmark* 0.7% 0.2% 4.4% 33.1% 27.0% 21.6% 13.1% 0.0% 'ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index The duration of the portfolio extended to 2.47 compared to 2.41 as of December 31, 2019. The majority of the new holdings in the portfolio were near the five year maturity point as the Chandler team looked to decrease the aggregate interest rate sensitivity of the portfolio relative to the benchmark. 23 C�" GO TO TABLE OF CONTENTS IInvestment Performance As of March 31, 2020 Orange County Sanitation District Long Term Total Rate of Return Annualized Since Inception 11/30/2014 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% 12 months 2 years 3 years 5 years 10 years Since Inception ■Orange County Sanitation District Long Term ■ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index Annualized TOTAL RATE OF RETURN 12 months 2 years 3 years 5 years 10 years Since Inception Orange County Sanitation District Long Term 5.68% 4.53% 3.10% 2.26% N/A 2.23% ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index 6.20% 4.79% 3.20% 2.29% N/A 2.27% 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. 24 Q11 GO TO TABLE OF CONTENTS Compliance As of March 31, 2020 Orange County Sanitation District Liquid Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy Category Standard Comment Treasury Issues 10%minimum; 1 year max maturity Complies U.S.Agencies 20%max per agency of the U.S.Government,which does not provide the full faith and credit of the U.S.government;1 year max maturity Complies "AA"rated or better by a NRSRO; 30%maximum; 1 year max maturity;U.S.dollar denominated senior unsecured unsubordinated obligations issued or unconditionally Supranational Obligations guaranteed by the International Bank for Reconstruction and Development("IBRD"),the International Finance Corporation("IFC")or the Inter-American Development Complies Bank("IADB") "A"rated or better long term debt by a NRSRO; 30%maximum;5%max issuer; 1 year max maturity; Issued by corporations organized and operating within the U.S.or Corporate Medium Term Notes Complies issued by depository institutions licensed by the U.S.or any state and operating within the U.S. Municipal Securities "A"rated or higher by a NRSRO; Taxable or tax-exempt municipal bonds issued by any of the 50 states;10%maximum; 5%max issuer; 1 year max maturity Complies Mortgage-Backed Securities/Collateralized Mortgage Obligations/Asset-Backed "AA"rated or better by a NRSRO; 20%maximum(combined MBS/CMO/ABS); 5%max issuer(except U.S.government or its agencies);1 year max maturity Complies Securities Negotiable Certificates of Deposit(NCD) "A"rated or better long term debt by a NRSRO;or"A-1"/highest short term rating by a NRSRO; 30%maximum;5%max issuer;1 year max maturity Complies Certificates of Deposit 5%max issuer;1 year max maturity; Secured/collateralized Complies Banker's Acceptances A-1 rated or highest short term rating by a NRSRO; 40%maximum; 5%max issuer;180 days max maturity Complies A-1 rated or better by a NRSRO; "A"rated or better long term debt issuer by a NRSRO; Issuer is a corporation organized and operating in the U.S.with assets>$500 Commercial Paper Complies million; 25%maximum; 5%max issuer; 10%max of the outstanding commercial paper of any single issuer;270 days max maturity Mutual Fund&Money Market Mutual Highest rating or"AAA"rated by two NRSROs;SEC registered adviser with AUM>$500 million and experience>than 5 years;20%maximum in Mutual Funds; 10%per Does not con Fund one Mutual Fund; 20%max per issuer on Money Market Mutual Funds; 20%max of OCSD's surplus money Repurchase Agreements 102%collateralization Complies Reverse Repurchase Agreements 5%maximum,90 days max maturity Complies No more than the lesser of 15%of the portfolio or the statutory maximum invested in LAIF; Not used by investment adviser;Investment of OCSD funds in LAIF shall be Local Agency Investment Fund(LAIF) Complies subject to investigation and due diligence prior to investing 15%maximum; Not used by investment adviser; Orange County Treasurer's Money Market Commingled Investment Pool; Investment of OCSD funds in OCCIP shall be OCCI P Complies subject to investigation and due diligence prior to investing Prohibited Mortgage Derivatives,which include interest-only payments(IOs)and principal-only payments(POs); Inverse floaters,and RE-REMICS(Real Estate Mortgage Investment Complies Conduits) Avg Duration Not to exceed 180 days Complies Max Per Holding 5%max of the total debt outstanding of any issuer per individual holding Complies Max Per Issuer 5%max per issuer(except Supranationals,U.S.Government,Agencies,Mutual Fund) Complies Maximum Maturity 1 year maximum maturity Complies *MMF concentration is at 22.85vo;there were several maturities during the month and a cash contribution on 3/12/20;funds will be reinvested. 25 Q11 GO TO TABLE OF CONTENTS Portfolio Characteristics As of March 31, 2020 Orange County Sanitation District Liquid 020 0 • Benchmark* Portfolio Portfolio Average Maturity(yrs) 0.16 0.22 0.21 Average Modified Duration 0.16 0.22 0.21 Average Purchase Yield n/a 1.33% 1.82% Average Market Yield 0.08% 0.45% 1.68% Average Quality" AAA AA+/Aaa AA+/Aaa Total Market Value 113,492,258 175,617,185 *ICE BAML 3-Month US Treasury Bill Index **Benchmark is a blended rating of S&P,Moody's, and Fitch. Portfolio is S&P and Moody's respectively. Many securities were purchased predominately in the Treasury sector to keep the portfolio invested to forecasted liquidity dates. The purchased securities ranged in maturity from February 2020 to August 2020. One security was sold and many matured to meet the liquidity requirements of the portfolio. Cash flows into the portfolio were varied but on a net basis $63 million was withdrawn from the portfolio during the quarter. 26 C11% GO TO TABLE OF CONTENTS ISector Distribution As of March 31, 2020 Orange County Sanitation District Liquid March 31, 2020 December 31, 2019 Agency Commercial Agency • Paper 6.1% Commercial o Paper 1.2/o Corporate 5.3 Corporate 7.7% Money Market Money Market Fund FI Fund FI 22.8% 3.0% US Treasury Negotiable CD 67.1% US Treasury 2.3% 78.4 Negotiable CD 0.9 The sector allocation evolved with the large cash withdrawal from the portfolio and the flight to quality price movements in short maturity Treasury notes. Two of the larger changes include the 11.2% decline in the Treasury allocation to 67.1% of the portfolio and the 19.8% increase in the money market allocation to 22.8% of the portfolio. The Chandler team will be spending down the money market allocation with longer maturity investments during the month of April. 27 Q1 GO TO TABLE OF CONTENTS IIssuers As of March 31, 2020 Orange County Sanitation District Liquid —Account #10282 Issue Name Investment Type %Portfolio Government of United States US Treasury 67.10% First American Govt Obligation Fund Class-Z Money Market Fund FI 22.84% Federal Home Loan Bank Agency 2.64% General Dynamics Corp Corporate 1.78% Bank of America Corp Corporate 1.78% Qualcomm Inc Corporate 1.78% MUFG Bank Ltd/NY Commercial Paper 1.20% Bank of Montreal Chicago Negotiable CD 0.89% TOTAL 100.00% 28 Q11 GO TO TABLE OF CONTENTS Quality Distribution As of March 31, 2020 Orange County Sanitation District Liquid March 31, 2020 vs. December 31, 2019 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% ■ AAA AA A <A NR ■3/31/2020 ■12/31/2019 03/31/20 32.1% 62.6% 5.3% 0.0% 0.0% 12/31/19 36.1% 57.3% 6.6% 0.0% 0.0% Source:S&P Ratings 29 C11% GO TO TABLE OF CONTENTS Quality Distribution As of March 31, 2020 Orange County Sanitation District Liquid March 31, 2020 vs. December 31, 2019 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% I AAA AA A <A NR ■3/31/2020 ■12/31/2019 03/31/2020 94.7% 0.0% 5.3% 0.0% 0.0% 12/31/2019 92.3% 1.1% 6.6% 0.0% 0.0% Source:Moody's Ratings 30 C11% GO TO TABLE OF CONTENTS Duration Distribution As of March 31, 2020 Orange County Sanitation District Liquid Portfolio Compared to the Benchmark as of March 31, 2020 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 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+ ■Orange County Sanitation District Liquid ■ICE BAML 3-Month US Treasury Bill Index i i i Portfolio 67.1% 32.9% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Benchmark* 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 'ICE BAML 3-Month US Treasury Bill Index The duration of the portfolio was close to unchanged, ending the quarter at 0.22 compared to 0.21 at the end of the year. The Chandler team will be looking to opportunistically increase the duration of the portfolio in the upcoming quarter. 31 C1„ GO TO TABLE OF CONTENTS IInvestment Performance As of March 31, 2020 Orange County Sanitation District Liquid Total Rate of Return Annualized Since Inception 11/30/2014 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% 12 months 2 years 3 years 5 years 10 years Since Inception ■Orange County Sanitation District Liquid ■ICE BAML 3-Month US Treasury Bill Index Annualized TOTAL RATE OF RETURN 12 months 2 years 3 years 5 years 10 years Since Inception Orange County Sanitation District Liquid 2.53% 2.35% 1.94% 1.32% N/A 1.25% ICE BAML 3-Month US Treasury Bill Index 2.25% 2.19% 1.83% 1.19% N/A 1.12% 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. 32 C11% GO TO TABLE OF CONTENTS Icompliance As of March 31, 2020 OCSD Lehman Exposure Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy Category Standard Comment Treasury Issues 5 years maximum maturity Complies Supranational "AA"or better by 1 of 3 NRSROs; 30%maximum; 5%max; 5 years maturity; Includes only: IADB,IBRD,and IFC per CGC Complies U.S.Agencies 20%max issuer; 5 years maximum maturity Complies U.S.Corporate(MTNs) "A"or better long term rating by 1 of 3 NRSROs; 30%maximum;5%max issuer; 5 years max maturity Complies* Municipal Securities "A"or higher by 1 of 3 NRSROS;10%maximum; 5%max issuer; 5 years maximum maturity Complies "AA"or better by 1 of 3 NRSROs; "A"or higher issuer rating by 1 of 3 NRSROs; 20%maximum; 5%max issuer(excluding MBS/govt agency);5 years Asset Backed/CMOs/Mortgage-backed Complies max maturity Negotiable CDs "A"or better on its long term debt by 1 of 3 NRSROs; "A1/P1"or highest short term ratings by 1 of 3 NRSROs; 30%maximum;5%max issuer; 5 years Complies max maturity CDs/TDS 5%max issuer; 5 years max maturity Complies Banker's Acceptances A-1,or equivalent highest short term rating by 1 of 3 NRSROS; 40%maximum; 5%max issuer;180 days max maturity Complies Commercial Paper A-1,or equivalent by 1 of 3 NRSROS; "A"or better by 1 of 3 NRSROs,if long term debt issued; 25%maximum; 5%max issuer; 270 days max maturity Complies Money Market Fund Highest rating by 2 of 3 NRSROs; 20%maximum;10%max issuer Complies Repurchase Agreements 102%collateralization Complies Reverse Repurchase Agreements 5%maximum,90 days max maturity Complies LAIF Not used by investment adviser Complies Avg Duration Not to exceed 60 months - (80%to 120%of the benchmark) Complies Maximum Maturity 5 years maximum maturity Complies *Account holds$2 million face value(cusip 525ESCOY6)and$600,000 face value(cusip 525ESC1B7)of defaulted Lehman Bros Holdings that were purchased by the previous manager. Complied at time of purchase. 33 C1" GO TO TABLE OF CONTENTS Portfolio Characteristics As of March 31, 2020 MD Lehman Exposure 020 0 • Portfolio Portfolio Average Maturity(yrs) 11.84 12.94 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 52,921 58,241 *Portfolio is S&P and Moody's,respectively. 34 Ci„ GO � Section 3 Consolidated Information C GO TO TABLE OF CONTENTS Portfolio Characteristics As of March 31, 2020 Orange County Sanitation District Consolidated 020 0 • Portfolio Portfolio Average Maturity(yrs) 2.34 2.15 Modified Duration 2.11 1.90 Average Purchase Yield 2.07% 2.18% Average Market Yield 0.82% 1.71% Average Quality* AA+/Aa1 AA+/Aa1 Total Market Value 703,883,789 755,570,616 *Portfolio is S&P and Moody's respectively. 36 C11% GO TO TABLE OF CONTENTS ISector Distribution As of March 31, 2020 Orange County Sanitation District Consolidated March 31, 2020 December 31, 2019 ABS 5.2% ABS 6.0% Agency Agency US Treasury 38.0% 3.7% US Treasury 18 9% 44.9% CMO 0.2% CMO 0.1% Commercial Supranational Commercial Paper ° 4. ° Paper 1.9% 1.6% Supranational Negotiable CD 4.4% Common Stock Common Stock 0.0% 0.1% / 0 0% Negotiable CD 1.6% Municipal Bonds Corporate ° Corporate Municipal Bonds 0.3/ Mortgage Pass Money Market p ° Mortgage Pass Money Market 20.3% Thru Fund FI 20.8% 0.3/ Thru Fund FI 0.2% 5.2% 0.2% 1.5% 37 Q1 GO � Section 4 Portfolio Holdings C GO TO TABLE OF CONTENTS Holdings Report As of March 31, 2020 Orange County Sanitation District Long Term - Account #10268 CUSIP Security Description Par Value/Units Purchase Date Cost Value Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration ABS 83162CUO Small Business Administration 2001-20C 1 5,878.03 03/06/2001 5,878.03 101.18 5,947.45 0.00% Aaa/AA+ 0.92 6.340% Due 03/01/2021 6.34% 5,878.03 3.57% 31.06 69.42 AAA 0.63 43814PAC4 Honda Auto Receivables Trust 2017-3A3 1,134,368.60 06/28/2018 1,116,378.22 99.90 1,133,208.10 0.19% NR/AAA 1.47 1.790% Due 09/20/2021 2.78% 1,126,174.51 2.10% 733.24 7,033.59 AAA 0.34 43814WAB1 Honda Auto Receivables Trust 2019-1 A2 2,732,580.80 02/19/2019 2,732,404.82 99.76 2,725,994.16 0.46% NR/AAA 1.47 2.750% Due 09/20/2021 2.77% 2,732,479.84 3.47% 2,713.60 (6,485.68) AAA 0.34 47788BAD6 John Deere Owner Trust 2017-B A3 183,876.63 07/11/2017 183,863.16 99.63 183,203.66 0.03% Aaa/NR 1.54 1.820% Due 10/15/2021 1.83% 183,871.75 3.56% 148.74 (668.09) AAA 0.21 65478GAD2 Nissan Auto Receivables Trust 2017-BA3 1,102,968.68 11/06/2018 1,085,864.05 100.06 1,103,683.40 0.19% Aaa/NR 1.54 1.750% Due 10/15/2021 3.10% 1,094,001.51 1.55% 857.86 9,681.89 AAA 0.31 89239AAB9 Toyota Auto Receivables Trust 2019-A A2A 1,938,655.29 02/05/2019 1,938,479.27 100.13 1,941,103.68 0.33% Aaa/AAA 1.54 2.830% Due 10/15/2021 2.85% 1,938,553.83 2.41% 2,438.40 2,549.85 NR 0.29 47789JAB2 John Deere Owner Trust 2019-AA2 1,879,859.75 03/05/2019 1,879,774.03 100.26 1,884,841.06 0.32% Aaa/NR 1.71 2.850% Due 12/15/2021 2.87% 1,879,806.77 1.93% 2,381.16 5,034.29 AAA 0.28 43815NABO Honda Auto Receivables Trust 2019-3 A2 3,530,000.00 08/20/2019 3,529,752.90 99.81 3,523,328.30 0.60% Aaa/AAA 2.04 1.900% Due 04/15/2022 1.92% 3,529,843.13 2.20% 2,980.89 (6,514.83) NR 0.64 47788CAC6 John Deere Owner Trust 2018-AA3 831,754.27 02/21/2018 831,694.47 99.27 825,678.71 0.14% Aaa/NR 2.05 2.660% Due 04/18/2022 2.68% 831,724.69 0.41% 983.32 (6,045.98) AAA 0.43 477870AB5 John Deere Owner Trust 2019-B A2 2,782,931.06 07/16/2019 2,782,920.48 100.14 2,786,817.45 0.47% Aaa/NR 2.13 2.280% Due 05/16/2022 2.29% 2,782,923.08 1.99% 2,820.04 3,894.37 AAA 0.46 43814LIAG4 Honda Auto Receivables Trust 2018-2 A3 1,620,960.47 05/22/2018 1,620,925.13 100.59 1,630,452.68 0.28% NR/AAA 2.13 3.010% Due 05/18/2022 3.03% 1,620,941.52 2.11% 1,761.89 9,511.16 AAA 0.64 43815HAC1 Honda Auto Receivables Trust 2018-3A3 3,918,242.99 08/21/2018 3,917,705.41 100.92 3,954,290.59 0.67% Aaa/NR 2.39 2.950% Due 08/22/2022 2.98% 3,917,920.44 1.70% 3,210.78 36,370.15 AAA 0.72 47788EAC2 John Deere Owner Trust 2018-B A3 4,630,000.00 07/18/2018 4,629,649.05 100.62 4,658,863.42 0.79% Aaa/NR 2.63 3.080% Due 11/15/2022 3.10% 4,629,786.40 2.16% 6,337.96 29,077.02 AAA 0.66 58770FAC6 Mercedes Benz Auto Lease Trust 2020-A A3 2,050,000.00 01/21/2020 2,049,729.81 100.07 2,051,334.55 0.35% Aaa/AAA 2.71 1.840% Due 12/15/2022 1.87% 2,049,746.01 1.81% 1,676.44 1,588.54 NR 1.77 65479GAD1 Nissan Auto Receivables Trust 2018-BA3 3,560,000.00 07/17/2018 3,559,884.66 101.57 3,615,959.64 0.61% Aaa/AAA 2.96 3.060% Due 03/15/2023 3.08% 3,559,926.60 1.41% 4,841.60 56,033.04 NR 0.94 78445JAA5 SLIM Student Loan Trust 2008-9 A 12,192.93 08/22/2008 12,143.46 98.72 12,037.43 0.00% Baa3/B 3.07 3.295% Due 04/25/2023 3.37% 12,182.59 3.42% 74.78 (145.16) B 2.59 39 Q1 GO TO TABLE OF CONTENTS Holdings Report As of March 31, 2020 Orange County Sanitation District Long Term - Account #10268 CUSIP Security Description Par Value/Units Purchase Date Cost Value Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration 65479JAD5 Nissan Auto Receivables Owner 2019-CA3 4,185,000.00 10/16/2019 4,184,779.03 100.99 4,226,264.10 0.72% Aaa/AAA 4.29 1.930% Due 07/15/2024 1.94% 4,184,799.63 1.49% 3,589.80 41,464.47 NR 2.18 36,061,825.98 36,263,008.38 6.15% Aaa/AAA 2.44 TOTAL ABS 36,099,269.50 2.63% 36,080,560.33 1.97% 37,581.56 182,448.05 Aaa 0.83 Agency 313383HU8 FHLB Note 4,000,000.00 08/13/2015 4,007,160.00 100.28 4,011,020.00 0.68% Aaa/AA+ 0.20 1.750% Due 06/12/2020 1.71% 4,000,292.24 0.35% 21,194.44 10,727.76 NR 0.20 3135GOD75 FNMA Note 5,000,000.00 11/16/2015 4,955,650.00 100.28 5,014,035.00 0.85% Aaa/AA+ 0.23 1.500% Due 06/22/2020 1.70% 4,997,834.01 0.25% 20,625.00 16,200.99 AAA 0.22 3137EAEK1 FHLMC Note 5,000,000.00 Various 4,986,225.00 101.04 5,052,105.00 0.86% Aaa/AA+ 0.63 1.875% Due 11/17/2020 1.97% 4,997,055.75 0.21% 34,895.83 55,049.25 AAA 0.62 3135GOF73 FNMA Note 7,500,000.00 Various 7,370,726.00 100.67 7,550,535.00 1.29% Aaa/AA+ 0.67 1.500% Due 11/30/2020 1.87% 7,482,649.95 0.49% 37,812.50 67,885.05 AAA 0.66 3137EAEL9 FHLMC Note 7,500,000.00 02/26/2018 7,484,475.00 101.67 7,625,565.00 1.30% Aaa/AA+ 0.88 2.375% Due 02/16/2021 2.45% 7,495,406.89 0.46% 22,265.63 130,158.11 AAA 0.87 313OA7CV5 FHLB Note 5,365,000.00 02/17/2016 5,343,325.40 100.90 5,413,510.33 0.92% Aaa/AA+ 0.89 1.375% Due 02/18/2021 1.46% 5,361,168.09 0.35% 8,811.27 52,342.24 AAA 0.88 3135GOJ20 FNMA Note 10,000,000.00 Various 10,040,950.00 100.95 10,095,020.00 1.71% Aaa/AA+ 0.91 1.375% Due 02/26/2021 1.28% 10,008,088.35 0.32% 13,368.06 86,931.65 AAA 0.90 31337911137 FHLB Note 4,000,000.00 08/30/2017 4,030,160.00 101.81 4,072,500.00 0.69% Aaa/AA+ 1.20 1.875% Due 06/11/2021 1.67% 4,009,528.81 0.35% 22,916.67 62,971.19 AAA 1.18 3135GOU35 FNMA Note 7,500,000.00 06/28/2018 7,515,225.00 102.88 7,715,805.00 1.32% Aaa/AA+ 1.23 2.750% Due 06/22/2021 2.68% 7,506,249.38 0.39% 56,718.75 209,555.62 AAA 1.20 3135GOS38 FNMA Note 3,000,000.00 01/30/2017 2,994,570.00 102.87 3,085,959.00 0.53% Aaa/AA+ 1.77 2.000% Due 01/05/2022 2.04% 2,998,057.27 0.37% 14,333.33 87,901.73 AAA 1.73 3135GOT45 FNMA Note 5,000,000.00 05/05/2017 4,972,500.00 102.98 5,148,995.00 0.88% Aaa/AA+ 2.01 1.875% Due 04/05/2022 1.99% 4,988,742.33 0.39% 45,833.33 160,252.67 AAA 1.96 3135GOT94 FNMA Note 5,000,000.00 Various 4,910,990.00 105.39 5,269,490.00 0.90% Aaa/AA+ 2.81 2.375% Due 01/19/2023 2.78% 4,947,746.33 0.44% 23,750.00 321,743.67 AAA 2.71 313383QR5 FHLB Note 5,000,000.00 08/28/2018 5,083,350.00 108.66 5,433,145.00 0.93% Aaa/AA+ 3.19 3.250% Due 06/09/2023 2.87% 5,055,598.51 0.51% 50,555.56 377,546.49 NR 3.03 3137EAEN5 FHLMC Note 10,000,000.00 Various 9,956,500.00 107.13 10,713,180.00 1.83% Aaa/AA+ 3.22 2.750% Due 06/19/2023 2.84% 9,971,689.97 0.51% 77,916.66 741,490.03 AAA 3.08 313383YJ4 FHLB Note 10,000,000.00 Various 10,211,831.00 110.11 11,010,550.01 1.87% Aaa/AA+ 3.44 3.375% Due 09/08/2023 2.88% 10,156,446.76 0.41% 21,562.50 854,103.25 NR 3.27 40 Q1 GO TO TABLE OF CONTENTS Holdings Report As of March 31, 2020 Orange County Sanitation District Long Term - Account #10268 CUSIP Security Description Par Value/Units Purchase Date Cost Value Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration 3130AOF70 FHLB Note 10,000,000.00 Various 10,269,043.75 111.14 11,114,340.00 1.90% Aaa/AA+ 3.69 3.375% Due 12/08/2023 2.79% 10,200,964.62 0.33% 105,937.50 913,375.38 AAA 3.47 3135GOV34 FNMA Note 5,000,000.00 02/27/2019 4,980,850.00 107.57 5,378,355.00 0.91% Aaa/AA+ 3.85 2.500% Due 02/05/2024 2.58% 4,985,077.23 0.51% 19,444.44 393,277.77 AAA 3.67 3130A1XJ2 FHLB Note 11,110,000.00 Various 11,589,031.30 110.47 12,272,872.59 2.10% Aaa/AA+ 4.21 2.875% Due 06/14/2024 1.96% 11,513,348.20 0.36% 94,936.49 759,524.39 NR 3.96 3133EKWV4 FFCB Note 5,000,000.00 08/13/2019 5,048,280.00 105.22 5,261,090.00 0.89% Aaa/AA+ 4.32 1.850% Due 07/26/2024 1.65% 5,042,111.48 0.62% 16,701.39 218,978.52 AAA 4.15 313OA2UW4 FHLB Note 2,500,000.00 09/12/2019 2,635,950.00 109.91 2,747,720.00 0.47% Aaa/AA+ 4.46 2.875% Due 09/13/2024 1.73% 2,620,993.27 0.61% 3,593.75 126,726.73 AAA 4.20 3135GOX24 FNMA Note 10,000,000.00 Various 10,157,936.40 104.97 10,496,920.00 1.78% Aaa/AA+ 4.78 1.625% Due 01/07/2025 1.28% 10,157,871.28 0.57% 36,562.51 339,048.72 AAA 4.58 3137EAEPO FHLMC Note 12,335,000.00 Various 12,510,182.05 104.35 12,871,399.81 2.18% Aaa/AA+ 4.87 1.500% Due 02/12/2025 1.20% 12,507,614.25 0.59% 24,156.04 363,785.56 AAA 4.69 313OA4CH3 FHLB Note 5,225,000.00 03/19/2020 5,526,848.25 109.39 5,715,857.40 0.97% Aaa/AA+ 4.96 2.375% Due 03/14/2025 1.18% 5,524,858.04 0.45% 5,859.98 190,999.36 AAA 4.70 156,581,759.15 163,069,969.14 27.76% Aaa/AA+ 2.79 TOTAL Agency 155,035,000.00 2.05% 156,529,393.01 0.43% 779,751.63 6,540,576.13 Aaa 2.67 CMO 03215PFN4 AMRESCOResidential Securities 1999-1A 119,021.64 05/20/2011 89,377.81 79.49 94,610.30 0.02% NR/A+ 9.24 1.899% Due 06/25/2029 5.48% 103,892.38 5.70% 43.95 (9,282.08) BBB 6.04 3133TCE95 FHLMC FSPC E3 A 5,932.65 03/11/1998 5,938.86 100.15 5,941.61 0.00% Aaa/AA+ 12.38 4.007% Due 08/15/2032 3.97% 5,934.89 2.83% 19.81 6.72 AAA 2.31 31397QREO FNMA FNR 2011-3 FA 166,890.21 12/20/2010 166,838.06 99.48 166,029.06 0.03% Aaa/AA+ 20.92 1.639% Due 02/25/2041 1.64% 166,853.97 1.81% 45.59 (824.91) AAA 3.98 31394JY35 FHLMC FSPC T-58 2A 633,348.65 06/09/2011 717,267.34 118.84 752,646.20 0.13% Aaa/AA+ 23.50 6.500% Due 09/25/2043 5.40% 694,392.72 0.10% 686.13 58,253.48 AAA 2.51 979,422.07 1,019,227.17 0.17% Aaa/AA+ 21.69 TOTAL CMO 925,193.15 4.79% 971,073.96 0.91% 795.48 48,153.21 Aaa 3.08 41 Q11 GO TO TABLE OF CONTENTS Holdings Report As of March 31, 2020 Orange County Sanitation District Long Term - Account #10268 CUSIP Security Description Par Value/Units Purchase Date Cost Value Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration Commercial Paper 62479LDQ5 MUFG Bank Ltd Discount CP 10,000,000.00 11/19/2019 9,917,138.89 99.88 9,987,861.11 1.69% P-1/A-1 0.07 1.900% Due 04/24/2020 1.94% 9,987,861.11 1.94% 0.00 0.00 NR 0.07 9,917,138.89 9,987,861.11 1.69% P-1/A-1 0.07 TOTAL Commercial Paper 10,000,000.00 1.94% 9,987,861.11 1.94% 0.00 0.00 NR 0.07 Corporate 747525AD5 Qualcomm Inc Note 5,000,000.00 05/19/2015 4,995,195.40 99.99 4,999,350.00 0.85% A2/A- 0.14 2.250% Due 05/20/2020 2.27% 4,999,871.00 2.33% 40,937.51 (521.00) NR 0.14 94974BGM6 Wells Fargo Corp Note 5,000,000.00 07/16/2015 5,001,650.00 100.02 5,000,945.00 0.85% A2/A- 0.31 2.600% Due 07/22/2020 2.59% 5,000,101.15 2.53% 24,916.67 843.85 A+ 0.31 037833BS8 Apple Inc Callable Note Cont 1/23/2021 4,000,000.00 05/23/2016 4,050,840.00 101.01 4,040,312.00 0.69% Aal/AA+ 0.90 2.250% Due 02/23/2021 1.96% 4,008,866.40 1.00% 9,500.00 31,445.60 NR 0.81 30231GAV4 Exxon Mobil Corp Callable Note Cont 2/1/2021 3,000,000.00 Various 3,016,097.40 100.65 3,019,509.01 0.51% Aaa/AA 0.92 2.222% Due 03/01/2021 2.10% 3,003,091.74 1.50% 5,555.01 16,417.27 NR 0.90 369550BE7 General Dynamics Corp Note 3,160,000.00 05/08/2018 3,138,038.00 100.77 3,184,313.04 0.55% A2/A 1.11 3.000% Due 05/11/2021 3.24% 3,151,884.48 2.29% 36,866.67 32,428.56 NR 1.08 166764BG4 Chevron Corp Callable Note Cont 4/15/2021 2,500,000.00 05/20/2016 2,485,350.00 100.03 2,500,825.00 0.43% Aa2/AA 1.13 2.100% Due 05/16/2021 2.23% 2,496,694.28 2.06% 19,687.50 4,130.72 NR 1.02 61747WAL3 Morgan Stanley Note 2,800,000.00 06/06/2014 3,200,848.00 103.83 2,907,228.80 0.50% A3/BBB+ 1.33 5.500% Due 07/28/2021 3.24% 2,874,350.84 2.54% 26,950.00 32,877.96 A 1.27 594918BP8 Microsoft Callable Note Cont 7/8/2021 3,045,000.00 Various 3,041,385.15 100.70 3,066,177.98 0.52% Aaa/AAA 1.36 1.550% Due 08/08/2021 1.57% 3,044,022.05 0.99% 6,948.52 22,155.93 AA+ 1.26 68389XBKO Oracle Corp Callable Note Cont 8/15/2021 3,000,000.00 06/28/2018 2,892,240.00 100.29 3,008,841.00 0.51% A3/A+ 1.46 1.900% Due 09/15/2021 3.08% 2,951,168.38 1.68% 2,533.33 57,672.62 A- 1.35 404280BF5 HSBC Holdings PLC Note 4,500,000.00 Various 4,429,980.00 99.86 4,493,772.00 0.77% A2/A 1.77 2.650% Due 01/05/2022 3.08% 4,468,032.47 2.73% 28,487.50 25,739.53 A+ 1.70 06406RAA5 Bank of NY Mellon Corp Callable Note Cont 1/7/2022 2,500,000.00 02/08/2017 2,504,475.00 100.83 2,520,787.50 0.43% Al/A 1.86 2.600% Due 02/07/2022 2.56% 2,501,615.90 2.11% 9,750.00 19,171.60 AA- 1.72 69353RFB9 PNC Bank Callable Note Cont 1/18/2022 1,000,000.00 03/26/2018 974,940.00 101.02 1,010,220.00 0.17% A2/A 1.88 2.625% Due 02/17/2022 3.32% 987,892.95 2.04% 3,208.33 22,327.05 A+ 1.75 084664BT7 Berkshire Hathaway Note 4,000,000.00 05/23/2017 4,131,120.00 103.87 4,154,908.00 0.71% Aa2/AA 2.12 3.000% Due 05/15/2022 2.30% 4,055,915.64 1.15% 45,333.33 98,992.36 A+ 2.04 95000LI2138 Wells Fargo&Company Note 3,000,000.00 Various 2,954,520.00 100.32 3,009,729.00 0.51% A2/A- 2.31 2.625% Due 07/22/2022 2.99% 2,976,643.11 2.48% 15,093.76 33,085.89 A+ 2.22 42 Q11 GO TO TABLE OF CONTENTS Holdings Report As of March 31, 2020 Orange County Sanitation District Long Term - Account #10268 CUSIP Security Description Par Value/Units Purchase Date Cost Value Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration 00440EAUl Chubb INA Holdings Inc Callable Note Cont 9/3/2022 4,169,000.00 Various 4,232,453.17 101.51 4,231,910.21 0.73% A3/A 2.59 2.875% Due 11/03/2022 2.54% 4,200,969.08 2.23% 49,275.26 30,941.13 A 2.31 90331HNL3 US Bank NA Callable Note Cont 12/23/22 2,000,000.00 01/29/2018 1,992,640.00 102.37 2,047,448.00 0.35% Al/AA- 2.82 2.850% Due 01/23/2023 2.93% 1,995,842.29 1.95% 10,766.67 51,605.71 AA- 2.61 808513AT2 Charles Schwab Corp Callable Note Cont 12/25/2022 6,750,000.00 05/21/2019 6,729,480.00 101.45 6,847,706.25 1.17% A2/A 2.82 2.650% Due 01/25/2023 2.74% 6,734,277.68 2.10% 32,793.75 113,428.57 A 2.62 06406RAE7 Bank of NY Mellon Corp Callable Note Cont 12/29/2022 2,500,000.00 Various 2,489,555.00 102.24 2,555,877.50 0.44% Al/A 2.83 2.950% Due 01/29/2023 3.03% 2,494,610.41 2.11% 12,701.39 61,267.09 AA- 2.62 44932HAH6 IBM Credit Corp Note 5,670,000.00 Various 5,603,264.40 103.48 5,867,038.18 1.00% A2/A 2.85 3.000% Due 02/06/2023 3.26% 5,630,751.09 1.74% 25,987.50 236,287.09 NR 2.72 00440EAP2 Chubb INA Holdings Inc Note 2,000,000.00 05/24/2018 1,937,000.00 102.32 2,046,302.00 0.35% A3/A 2.95 2.700% Due 03/13/2023 3.42% 1,961,241.85 1.89% 2,700.00 85,060.15 A 2.83 084670BR8 Berkshire Hathaway Callable Note Cont 1/15/2023 2,500,000.00 04/20/2018 2,440,950.00 103.47 2,586,757.50 0.44% Aa2/AA 2.96 2.750% Due 03/15/2023 3.28% 2,464,358.40 1.47% 3,055.56 122,399.10 A+ 2.68 58933YAF2 Merck&Co Note 2,000,000.00 10/26/2018 1,948,640.00 100.69 2,013,830.00 0.34% Al/AA- 3.13 2.800% Due 05/18/2023 3.41% 1,964,688.07 2.57% 20,688.89 49,141.93 A+ 2.95 46625HRL6 JP Morgan Chase Callable Note Cont 3/18/2023 5,000,000.00 Various 4,821,910.00 102.63 5,131,520.00 0.88% A2/A- 3.13 2.700% Due 05/18/2023 3.59% 4,872,681.53 1.78% 49,875.00 258,838.47 AA- 2.82 69353RFL7 PNC Bank Callable Note Cont 5/9/2023 5,000,000.00 Various 4,993,318.05 103.47 5,173,685.01 0.89% A2/A 3.19 3.500% Due 06/08/2023 3.53% 4,995,737.69 2.33% 54,930.56 177,947.32 NR 2.91 166764AH3 Chevron Corp Callable Note Cont 3/24/2023 3,500,000.00 11/08/2018 3,441,095.00 104.54 3,658,735.50 0.62% Aa2/AA 3.23 3.191% Due 06/24/2023 3.59% 3,458,759.50 1.62% 30,092.90 199,976.00 NR 2.83 931142EK5 Wal-Mart Stores Callable Note Cont 5/26/2023 3,880,000.00 Various 3,878,991.40 106.06 4,114,941.76 0.70% Aa2/AA 3.24 3.400% Due 06/26/2023 3.41% 3,879,347.31 1.43% 34,812.22 235,594.45 AA 2.98 02665WCJ8 American Honda Finance Note 845,000.00 07/11/2018 843,538.15 101.27 855,728.12 0.15% A3/A 3.29 3.450% Due 07/14/2023 3.49% 844,039.06 3.04% 6,235.40 11,689.06 NR 3.07 89114QC48 Toronto Dominion Bank Note 5,000,000.00 02/26/2019 5,094,200.00 103.00 5,150,020.00 0.88% Aal/AA- 3.30 3.500% Due 07/19/2023 3.04% 5,070,797.00 2.55% 35,000.00 79,223.00 AA- 3.09 02665WCQ2 American Honda Finance Note 2,000,000.00 Various 1,998,320.00 101.60 2,032,056.00 0.35% A3/A 3.53 3.625% Due 10/10/2023 3.64% 1,998,798.84 3.14% 34,437.50 33,257.16 NR 3.24 24422EUM9 John Deere Capital Corp Note 1,250,000.00 11/28/2018 1,250,237.50 105.43 1,317,897.50 0.23% A2/A 3.53 3.650% Due 10/12/2023 3.64% 1,250,172.28 2.05% 21,418.40 67,725.22 A 3.26 43 Q1 GO TO TABLE OF CONTENTS Holdings Report As of March 31, 2020 Orange County Sanitation District Long Term - Account #10268 CUSIP Security Description Par Value/Units Purchase Date Cost Value Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration 06051GHF9 Bank of America Corp Callable Note 1X 3/5/2023 6,675,000.00 Various 6,770,625.75 104.01 6,942,727.58 1.18% A2/A- 3.93 3.550% Due 03/05/2024 3.01% 6,751,418.89 2.13% 17,113.96 191,308.69 A+ 2.78 09247XAL5 Blackrock Inc Note 1,000,000.00 05/09/2019 1,036,330.00 107.54 1,075,399.00 0.18% Aa3/AA- 3.97 3.500% Due 03/18/2024 2.69% 1,029,683.52 1.53% 1,263.89 45,715.48 NR 3.71 458140BD3 Intel Corp Callable Note Cont 3/11/2024 5,000,000.00 05/09/2019 5,025,900.00 104.91 5,245,290.00 0.90% Al/A+ 4.12 2.875% Due 05/11/2024 2.76% 5,021,142.86 1.59% 55,902.78 224,147.14 A+ 3.70 037833CU2 Apple Inc Callable Note Cont 3/11/2024 3,000,000.00 05/17/2019 3,017,760.00 106.26 3,187,752.00 0.55% Aal/AA+ 4.12 2.850% Due 05/11/2024 2.72% 3,014,564.01 1.22% 33,250.00 173,187.99 NR 3.71 89114QCA4 Toronto Dominion Bank Note 3,000,000.00 06/12/2019 3,000,570.00 101.58 3,047,295.00 0.52% Aa3/A 4.20 2.650% Due 06/12/2024 2.65% 3,000,478.80 2.25% 24,070.83 46,816.20 AA- 3.93 02665WCZ2 American Honda Finance Note 1,219,000.00 07/10/2019 1,213,843.63 98.56 1,201,407.39 0.20% A3/A 4.24 2.400% Due 06/27/2024 2.49% 1,214,594.89 2.76% 7,639.07 (13,187.50) NR 3.97 78013XZU5 Royal Bank of Canada Note 6,500,000.00 09/10/2019 6,581,445.00 101.69 6,609,616.00 1.13% A2/A 4.30 2.550% Due 07/16/2024 2.28% 6,572,144.89 2.14% 34,531.25 37,471.11 AA 4.03 46647PAUO JP Morgan Chase&Co Callable Note 1X 7/23/2023 2,500,000.00 09/12/2019 2,632,175.00 104.67 2,616,725.00 0.45% A2/A- 4.32 3.797% Due 07/23/2024 2.35% 2,617,406.01 2.32% 17,930.28 (681.01) AA- 3.96 90331HPL1 US Bank NA Callable Note Cont 12/21/2024 7,270,000.00 01/16/2020 7,254,514.90 99.26 7,216,463.72 1.23% Al/AA- 4.81 2.050% Due 01/21/2025 2.10% 7,255,116.67 2.21% 28,979.03 (38,652.95) AA- 4.53 137,045,435.90 139,691,047.55 23.82% Al/A+ 2.76 TOTAL Corporate 136,733,000.00 2.82% 136,813,773.01 2.02% 921,220.22 2,877,274.54 A+ 2.52 Money Market Fund FI 31846V567 First American Govt Obligation MMKT Class-Z 10,358,060.78 Various 10,358,060.78 1.00 10,358,060.78 1.75% P-1/A-1+ 0.00 0.39% 10,358,060.78 0.39% 0.00 0.00 F-1 0.00 10,358,060.78 10,358,060.78 1.75% Aaa/AAA 0.00 TOTAL Money Market Fund FI 10,358,060.78 0.39% 10:358,060.78 0.39% 0.00 0.00 AA 0.00 Mortgage Pass Thru 31381PDA3 FNMA FN 466397 332,913.33 12/01/2010 325,708.90 100.11 333,294.85 0.06% Aaa/AA+ 0.59 3.400% Due 11/01/2020 3.80% 332,487.20 2.93% 220.09 807.65 AAA 0.62 36225CAZ9 GNMA Pool#G2 80023 13,965.00 08/08/1997 14,196.28 102.97 14,379.76 0.00% Aaa/AA+ 6.73 3.030% Due 12/20/2026 2.92% 14,018.00 1.34% 35.26 361.76 AAA 2.83 36225CC20 GNMA Pool#G2 80088 11,624.24 08/11/1997 11,878.53 100.80 11,717.68 0.00% Aaa/AA+ 7.22 3.410% Due 06/20/2027 3.27% 11,685.79 1.28% 33.03 31.89 AAA 1.65 44 Q1 GO TO TABLE OF CONTENTS Holdings Report As of March 31, 2020 Orange County Sanitation District Long Term - Account #10268 CUSIP Security Description Par Value/Units Purchase Date Cost Value Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration 31348SWZ3 FHLMC FH 786064 1,728.76 02/18/2000 1,686.67 100.84 1,743.32 0.00% Aaa/AA+ 7.76 3.887% Due 01/01/2028 4.09% 1,717.05 2.04% 5.60 26.27 AAA 3.62 31371NUC7 FNMA FN 257179 12,976.82 12/05/2011 13,724.27 107.48 13,947.19 0.00% Aaa/AA+ 8.01 4.500% Due 04/01/2028 3.72% 13,343.58 1.22% 48.66 603.61 AAA 2.66 31417YAY3 FNMA Pool#FN MA0022 14,568.06 12/05/2011 15,407.16 107.76 15,698.93 0.00% Aaa/AA+ 9.01 4.500% Due 04/01/2029 3.76% 15,004.47 1.33% 54.63 694.46 AAA 2.81 3138EG6F6 FNMA FN AL0869 8,964.57 12/05/2011 9,480.93 107.79 9,662.74 0.00% Aaa/AA+ 9.18 4.500% Due 06/01/2029 3.77% 9,235.50 1.39% 7.84 427.24 AAA 2.86 36225CNM4 GNMA Pool#G2 80395 5,739.04 03/15/2000 5,687.00 103.36 5,931.95 0.00% Aaa/AA+ 10.06 3.410% Due 04/20/2030 3.49% 5,721.55 1.31% 16.31 210.40 AAA 2.94 36225CN28 GNMA Pool#G2 80408 44,785.21 03/15/2000 44,330.36 103.36 46,289.14 0.01% Aaa/AA+ 10.14 3.410% Due 05/20/2030 3.49% 44,631.52 1.36% 127.26 1,657.62 AAA 3.30 31403GXF4 FNMA Pool#FN 748678 1,726.62 06/10/2013 1,856.12 109.76 1,895.21 0.00% Aaa/AA+ 13.51 5.000% Due 10/01/2033 4.16% 1,813.11 1.51% 7.19 82.10 AAA 3.38 36225DCB8 GNMA Pool#G2 80965 40,310.80 07/19/2004 40,285.62 103.49 41,717.16 0.01% Aaa/AA+ 14.31 3.230% Due 07/20/2034 3.24% 40,298.76 1.29% 108.50 1,418.40 AAA 3.46 31406XWT5 FNMA Pool#FN 823358 96,005.32 01/11/2006 95,255.27 100.85 96,818.87 0.02% Aaa/AA+ 14.85 3.640% Due 02/01/2035 3.71% 95,621.87 1.96% 291.21 1,197.00 AAA 3.20 31406PQY8 FNMA Pool#FN 815971 131,227.78 06/10/2013 141,069.88 110.90 145,525.44 0.02% Aaa/AA+ 14.93 5.000% Due 03/01/2035 4.21% 138,014.70 1.91% 546.78 7,510.74 AAA 3.58 31407BXH7 FNMA Pool#FN 826080 17,200.21 06/10/2013 18,490.23 111.13 19,114.30 0.00% Aaa/AA+ 15.26 5.000% Due 07/01/2035 4.22% 18,095.87 1.91% 71.67 1,018.43 AAA 3.58 31376KT22 FNMA FN 357969 87,807.63 06/10/2013 94,393.19 111.31 97,740.17 0.02% Aaa/AA+ 15.43 5.000% Due 09/01/2035 4.22% 92,395.44 1.95% 85.37 5,344.73 AAA 3.63 31403DJZ3 FNMA Pool#745580 83,766.31 06/10/2013 90,048.78 111.21 93,159.03 0.02% Aaa/AA+ 16.18 5.000% Due 06/01/2036 4.26% 88,205.46 1.96% 349.03 4,953.57 AAA 3.64 31430F4V4 FNMA Pool#FN 888336 164,301.50 06/10/2013 176,624.13 111.23 182,748.45 0.03% Aaa/AA+ 16.26 5.000% Due 07/01/2036 4.25% 173,021.52 1.95% 684.59 9,726.93 AAA 3.62 1,100,123.32 1,131,384.19 0.19% Aaa/AA+ 10.41 TOTAL Mortgage Pass Thru 1,069,611.20 3.95% 1,095,311.39 2.14% 2,693.02 36,072.80 Aaa 2.62 Municipal Bonds In 64971M5E8 New York NY TE-REV 1,400,000.00 10/27/2010 1,400,000.00 101.71 1,423,996.00 0.25% Aa1/AAA 0.59 4.075% Due 11/01/2020 4.08% 1,400,000.00 1.12% 23,770.83 23,996.00 AAA 0.57 45 C1„ GO TO TABLE OF CONTENTS Holdings Report As of March 31, 2020 Orange County Sanitation District Long Term - Account #10268 CUSIP Security Description Par Value/Units Purchase Date Cost Value Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration 913366EJ5 Univ of California Rgts Med TE-REV 400,000.00 11/09/2010 400,000.00 104.45 417,808.00 0.07% Aa3/AA- 1.12 5.035% Due 05/15/2021 5.04% 400,000.00 1.03% 7,608.44 17,808.00 AA- 1.08 1,800,000.00 1,841,804.00 0.32% Aal/AAA 0.71 TOTAL Municipal Bonds 1,800,000.00 4.29% 1,800,000.00 1.10% 31,379.27 41,804.00 Aaa 0.69 Supranational 4581XOCX4 Inter-American Dev Bank Note 3,035,000.00 04/05/2017 3,027,807.05 100.16 3,039,728.53 0.52% Aaa/AAA 0.12 1.625% Due 05/12/2020 1.70% 3,034,738.09 0.26% 19,042.52 4,990.44 AAA 0.11 45950KCMO International Finance Corp Note 2,970,000.00 01/18/2018 2,961,268.20 101.40 3,011,609.70 0.51% Aaa/AAA 0.82 2.250% Due O1/25/2021 2.35% 2,967,617.88 0.53% 12,251.25 43,991.82 NR 0.81 4581XOCS5 Inter-American Dev Bank Note 5,000,000.00 Various 5,059,610.00 101.30 5,064,955.00 0.86% Aaa/AAA 0.96 1.875% Due 03/15/2021 1.69% 5,008,678.46 0.51% 4,166.67 56,276.54 AAA 0.95 45950KCJ7 International Finance Corp Note 2,500,000.00 11/09/2016 2,441,600.00 100.71 2,517,660.00 0.43% Aaa/AAA 1.30 1.125% Due 07/20/2021 1.64% 2,483,806.19 0.58% 5,546.88 33,853.81 NR 1.29 4581XOCW6 Inter-American Dev Bank Note 3,000,000.00 01/10/2017 2,996,310.00 102.84 3,085,179.00 0.52% Aaa/NR 1.80 2.125% Due O1/18/2022 2.15% 2,998,672.33 0.54% 12,927.08 86,506.67 AAA 1.76 459058FY4 Intl.Bank Recon&Development Note 10,000,000.00 Various 10,006,350.00 102.56 10,256,300.00 1.74% Aaa/NR 1.82 2.000% Due O1/26/2022 1.99% 10,001,746.77 0.58% 36,111.12 254,553.23 AAA 1.79 4581XOCZ9 Inter-American Dev Bank Note 6,500,000.00 Various 6,249,655.00 102.99 6,694,571.00 1.13% Aaa/AAA 2.46 1.750% Due 09/14/2022 2.65% 6,365,598.39 0.52% 5,371.52 328,972.61 AAA 2.40 32,742,600.25 33,670,003.23 5.72% Aaa/AAA 1.53 TOTAL Supranational 33,005,000.00 2.07% 32,860,858.11 0.52% 95,417.04 809,145.12 Aaa 1.50 US Treasury ' 912828L99 US Treasury Note 7,000,000.00 Various 6,895,217.98 100.72 7,050,316.00 1.20% Aaa/AA+ 0.59 1.375% Due 10/31/2020 1.81% 6,983,046.35 0.14% 40,456.73 67,269.65 AAA 0.58 912828N89 US Treasury Note 6,000,000.00 Various 5,895,840.41 101.09 6,065,628.00 1.03% Aaa/AA+ 0.84 1.375% Due O1/31/2021 1.81% 5,979,012.11 0.06% 13,825.55 86,615.89 AAA 0.83 912828T34 US Treasury Note 7,000,000.00 Various 6,757,914.08 101.38 7,096,250.00 1.20% Aaa/AA+ 1.50 1.125% Due 09/30/2021 1.88% 6,924,528.50 0.21% 215.16 171,721.50 AAA 1.49 912828T67 US Treasury Note 6,000,000.00 12/13/2016 5,813,691.98 101.67 6,100,314.00 1.04% Aaa/AA+ 1.59 1.250% Due 10/31/2021 1.92% 5,939,570.13 0.19% 31,524.73 160,743.87 AAA 1.56 912828U65 US Treasury Note 7,000,000.00 12/28/2016 6,900,492.20 102.57 7,180,194.00 1.22% Aaa/AA+ 1.67 1.750% Due 11/30/2021 2.06% 6,966,332.36 0.20% 41,168.03 213,861.64 AAA 1.64 912828V72 US Treasury Note 3,000,000.00 02/27/2017 3,004,814.74 103.04 3,091,056.00 0.53% Aaa/AA+ 1.84 1.875% Due O1/31/2022 1.84% 3,001,794.15 0.22% 9,426.51 89,261.85 AAA 1.81 46 Q11 GO TO TABLE OF CONTENTS Holdings Report As of March 31, 2020 Orange County Sanitation District Long Term - Account #10268 CUSIP Security Description Par Value/Units Purchase Date Cost Value Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration 912828.176 US Treasury Note 5,000,000.00 04/25/2017 4,976,383.94 103.06 5,153,125.00 0.87% Aaa/AA+ 2.00 1.750% Due 03/31/2022 1.85% 4,990,435.50 0.21% 239.07 162,689.50 AAA 1.97 912828XW5 US Treasury Note 5,000,000.00 07/25/2017 4,973,454.25 103.44 5,171,875.00 0.88% Aaa/AA+ 2.25 1.750% Due 06/30/2022 1.86% 4,987,906.94 0.22% 22,115.38 183,968.06 AAA 2.21 9128281-24 US Treasury Note 6,000,000.00 09/27/2017 5,987,832.60 103.92 6,235,080.00 1.06% Aaa/AA+ 2.42 1.875% Due 08/31/2022 1.92% 5,994,031.34 0.25% 9,782.61 241,048.66 AAA 2.37 9128281-57 US Treasury Note 16,000,000.00 Various 15,822,656.25 103.72 16,595,632.00 2.81% Aaa/AA+ 2.50 1.750% Due 09/30/2022 1.98% 15,911,876.67 0.26% 765.02 683,755.33 AAA 2.45 9128281VI80 US Treasury Note 8,000,000.00 12/22/2017 7,907,500.00 104.57 8,365,312.00 1.43% Aaa/AA+ 2.67 2.000% Due 11/30/2022 2.25% 7,949,998.61 0.28% 53,770.49 415,313.39 AAA 2.59 912828N30 US Treasury Note 5,000,000.00 01/24/2018 4,926,562.50 105.07 5,253,515.00 0.89% Aaa/AA+ 2.75 2.125% Due 12/31/2022 2.44% 4,959,060.94 0.27% 26,854.40 294,454.06 AAA 2.67 9128284139 US Treasury Note 10,000,000.00 Various 9,887,265.63 106.60 10,659,770.00 1.81% Aaa/AA+ 3.00 2.500% Due 03/31/2023 2.75% 9,931,623.11 0.29% 683.06 728,146.89 AAA 2.91 9128281369 US Treasury Note 5,000,000.00 05/30/2018 4,757,226.56 104.16 5,208,205.00 0.89% Aaa/AA+ 3.17 1.625% Due 05/31/2023 2.67% 4,846,438.49 0.30% 27,305.33 361,766.51 AAA 3.08 912828U57 US Treasury Note 15,000,000.00 Various 14,723,632.81 106.59 15,988,470.00 2.73% Aaa/AA+ 3.67 2.125% Due 11/30/2023 2.53% 14,790,374.55 0.32% 107,120.90 1,198,095.45 AAA 3.52 912828V80 US Treasury Note 7,500,000.00 Various 7,491,503.91 107.33 8,049,900.00 1.37% Aaa/AA+ 3.84 2.250% Due 01/31/2024 2.27% 7,493,184.02 0.32% 28,279.53 556,715.98 AAA 3.68 912828W48 US Treasury Note 10,000,000.00 04/24/2019 9,911,718.75 106.96 10,696,090.00 1.81% Aaa/AA+ 3.92 2.125% Due 02/29/2024 2.32% 9,928,766.85 0.33% 18,478.26 767,323.15 AAA 3.77 912828WJ5 US Treasury Note 7,000,000.00 06/10/2019 7,193,046.88 108.80 7,616,329.00 1.30% Aaa/AA+ 4.13 2.500% Due 05/15/2024 1.91% 7,161,408.64 0.35% 66,346.15 454,920.36 AAA 3.91 912828XX3 US Treasury Note 5,000,000.00 07/12/2019 5,028,710.94 106.92 5,345,900.00 0.91% Aaa/AA+ 4.25 2.000% Due 06/30/2024 1.88% 5,024,575.42 0.36% 25,274.73 321,324.58 AAA 4.08 912828WUO US Treasury Inflation Index Note 11,297,624.00 Various 11,184,851.19 100.21 11,321,721.82 1.92% Aaa/AA+ 4.29 0.125% Due 07/15/2024 0.23% 11,249,066.89 0.08% 2,987.38 72,654.93 AAA 4.28 912828YH7 US Treasury Note 14,000,000.00 Various 13,859,296.88 105.08 14,710,934.00 2.49% Aaa/AA+ 4.50 1.500% Due 09/30/2024 1.72% 13,867,698.96 0.36% 573.77 843,235.04 AAA 4.36 9128283.17 US Treasury Note 16,500,000.00 Various 16,783,886.72 108.10 17,836,764.00 3.04% Aaa/AA+ 4.67 2.125% Due 11/30/2024 1.76% 16,767,558.49 0.37% 117,832.99 1,069,205.51 AAA 4.44 180,683,501.20 190,792,380.82 32.43% Aaa/AA+ 3.12 TOTAL US Treasury 182,297,624.00 1.97% 181,648,289.02 0.27% 645,025.78 9,144,091.80 Aaa 3.02 567,269,867.54 587,824,746.37 100.00% Aal/AA 2.74 TOTAL PORTFOLIO 567,322,758.63 2.23% 568,145,180.72 0.89% 2,513,864.00 19,679,565.65 Aaa 2.47 TOTAL MARKET VALUE PLUS ACCRUALS 590,338,610.37 47 Q11 GO TO TABLE OF CONTENTS Holdings Report As of March 31, 2020 Orange County Sanitation District Liquid - Account #10282 CUSIP Security Description Par Value/Units Purchase Date Cost Value Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration Agency 313384WGO FHLB Discount Note 3,000,000.00 01/30/2020 2,988,094.17 99.87 2,996,075.00 2.64% P-1/A-1+ 0.08 1.570% Due 05/01/2020 1.60% 2,996,075.00 1.60% 0.00 0.00 F-1+ 0.08 2,988,094.17 2,996,075.00 2.64% Aaa/AAA 0.08 TOTAL Agency 3,000,000.00 1.60% 2,996,075.00 1.60% 0.00 0.00 Aaa 0.08 Commercial Paper 62479LDQ5 MUFG Bank Ltd Discount CP 1,365,000.00 11/19/2019 1,353,689.46 99.88 1,363,343.04 1.20% P-1/A-1 0.07 1.900% Due 04/24/2020 1.94% 1,363,343.04 1.94% 0.00 0.00 NR 0.07 1,353,689.46 1,363,343.04 1.20% P-1/A-1 0.07 TOTAL Commercial Paper 1,365,000.00 1.94% 1,363,343.04 1.94% 0.00 0.00 NR 0.07 Corporate 06051GFN4 Bank of America Corp Note 2,000,000.00 08/07/2019 2,001,960.00 99.98 1,999,680.00 1.78% A2/A- 0.06 2.250% Due 04/21/2020 2.11% 2,000,153.13 2.51% 20,000.00 (473.13) A+ 0.06 369550BA5 General Dynamics Corp Note 2,000,000.00 08/13/2019 2,011,340.00 100.07 2,001,380.00 1.78% A2/A 0.11 2.875% Due 05/11/2020 2.10% 2,001,680.00 2.23% 22,361.11 (300.00) NR 0.11 747525AD5 Qualcomm Inc Note 2,000,000.00 08/07/2019 2,002,700.00 99.99 1,999,740.00 1.78% A2/A- 0.14 2.250% Due 05/20/2020 2.07% 2,000,464.21 2.33% 16,375.00 (724.21) NR 0.14 6,016,000.00 6,000,800.00 5.34% A2/A- 0.10 TOTAL Corporate 6,000,000.00 2.09% 6,002,297.34 2.36% 58,736.11 (1,497.34) A+ 0.10 Money Market Fund FI 31846V567 First American Govt Obligation MMKT Class-Z 25,920,022.92 Various 25,920,022.92 1.00 25,920,022.92 22.84% P-1/A-1+ 0.00 0.39% 25,920,022.92 0.39% 0.00 0.00 F-1 0.00 25,920,022.92 25,920,022.92 22.84% Aaa/AAA 0.00 TOTAL Money Market Fund FI 25,920,022.92 0.39% 25,920,022.92 0.39% 0.00 0.00 AA 0.00 Negotiable CD 06367BED7 Bank of Montreal Chicago Yankee CD 1,000,000.00 12/23/2019 1,000,000.00 100.00 1,000,000.00 0.89% P-1/A-1 0.14 1.890% Due 05/21/2020 1.89% 1,000,000.00 1.89% 5,197.50 0.00 F-1+ 0.14 1,000,000.00 1,000,000.00 0.89% Aaa/AA 0.14 TOTAL Negotiable CD 1,000,000.00 1.89% 1,000,000.00 1.89% 5,197.50 0.00 Aaa 0.14 48 Q1 GO TO TABLE OF CONTENTS Holdings Report As of March 31, 2020 Orange County Sanitation District Liquid - Account #10282 CUSIP Security Description Par Value/Units Purchase Date Cost Value Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration US Treasury 912796TQ2 US Treasury Bill 4,000,000.00 02/27/2020 3,993,265.98 99.97 3,998,686.04 3.52% P-1/A-1+ 0.02 1.478% Due 04/09/2020 1.50% 3,998,686.04 1.50% 0.00 0.00 F-1+ 0.02 9127962B4 US Treasury Bill 3,500,000.00 03/04/2020 3,496,221.94 99.96 3,498,772.13 3.08% P-1/A-1+ 0.04 0.972% Due 04/14/2020 0.99% 3,498,772.13 0.99% 0.00 0.00 F-1+ 0.04 912828VJ6 US Treasury Note 15,000,000.00 12/20/2019 15,022,265.63 100.44 15,066,165.00 13.34% Aaa/AA+ 0.25 1.875% Due 06/30/2020 1.59% 15,010,546.88 0.11% 71,085.16 55,618.12 AAA 0.25 912828XH8 US Treasury Note 5,000,000.00 01/29/2020 5,001,367.19 100.38 5,018,970.00 4.44% Aaa/AA+ 0.25 1.625% Due 06/30/2020 1.56% 5,000,809.52 0.11% 20,535.71 18,160.48 AAA 0.25 912828XY1 US Treasury Note 11,000,000.00 Various 11,046,640.63 100.60 11,065,516.00 9.81% Aaa/AA+ 0.25 2.500% Due 06/30/2020 1.60% 11,024,219.64 0.12% 69,505.50 41,296.36 AAA 0.25 912828VV9 US Treasury Note 15,000,000.00 12/20/2019 15,049,804.69 100.83 15,124,800.00 13.35% Aaa/AA+ 0.42 2.125% Due 08/31/2020 1.64% 15,030,040.92 0.12% 27,717.39 94,759.08 AAA 0.42 912828L32 US Treasury Note 15,000,000.00 Various 14,977,929.69 100.53 15,079,680.00 13.30% Aaa/AA+ 0.42 1.375% Due 08/31/2020 1.61% 14,985,506.89 0.10% 17,934.78 94,173.11 AAA 0.42 9128284Y3 US Treasury Note 7,000,000.00 01/30/2020 7,042,382.81 101.04 7,072,737.00 6.25% Aaa/AA+ 0.42 2.625% Due 08/31/2020 1.57% 7,030,245.01 0.12% 15,978.26 42,491.99 AAA 0.42 75,629,878.56 75,925,326.17 67.10% Aaa/AA+ 0.31 TOTAL US Treasury 75,500,000.00 1.57% 75,578,827.03 0.23% 222,756.80 346,499.14 Aaa 0.31 112,907,685.11 113,205,567.13 100.00% Aaa/AA+ 0.22 TOTAL PORTFOLIO 112,785,022.92 1.34% 112,860,565.33 0.45% 286,690.41 345,001.80 Aaa 0.22 TOTAL MARKET VALUE PLUS ACCRUALS 113,492,257.54 49 Q1 GO TO TABLE OF CONTENTS Holdings Report As of March 31, 2020 OCSD Lehman Exposure - Account#10284 CUSIP Security Description Par Value/Units Purchase Date Cost Value Mkt Price Market Value %of Port. Moody/S&P Maturity Book Yield Book Value Mkt YTM Accrued Int. Gain/Loss Fitch Duration Common Stock SLHOPNTA4 Lehman Brothers,Inc Open Position Long Exposure 60,641.49 11/21/2014 57,842.64 0.42 25,621.03 48.41% NR/NR 0.00 0.000% Due 03/31/2020 0.00% 57,842.64 0.00% 0.00 (32,221.61) NR 0.00 57,842.64 25,621.03 48.41% NR/NR 0.00 TOTAL Common Stock 60,641.49 0.00% 57,842.64 0.00% 0.00 (32,221.61) NR 0.00 Corporate 525ESCIB7 Lehman Brothers Note-Defaulted 600,000.00 09/19/2008 319,005.35 1.05 6,300.00 11.90% NR/NR 0.82 0.000% Due 01/24/2021 0.00% 319,005.35 0.00% 0.00 (312,705.35) NR 0.00 525ESCOY6 Lehman Brothers Note-Defaulted 2,000,000.00 09/18/2008 1,027,939.99 1.05 21,000.00 39.68% NR/NR 29.58 0.000% Due 10/22/2049 0.00% 1,027,939.99 0.00% 0.00 (1,006,939.99) NR 0.00 1,346,945.34 27,300.00 51.59% NR/NR 22.94 TOTAL Corporate 2,600,000.00 0.00% 1,346,945.34 0.00% 0.00 (1,319,645.34) NR 0.00 1,404,787.98 52,921.03 100.00% NR/NR 11.84 TOTAL PORTFOLIO 2,660,641.49 0.00% 1,404,787.98 0.00% 0.00 (1,351,866.95) NR 0.00 TOTAL MARKET VALUE PLUS ACCRUALS 52,921.03 50 c1„ GO � Section 5 Transactions C GO TO TABLE OF CONTENTS ITransaction Ledger As of March 31, 2020 Orange County Sanitation District Long Term - Account #10268 December 31, 2019 through March 31,2020 Transaction Settlement CUSIP Quantity Security Description Price Acq/Disp Amount Interest Total Amount Gain/Loss Type Date Yield Pur/Sold ACQUISITIONS Purchase 01/10/2020 3135GOX24 4,340,000.00 FNMA Note 99.681 1.69% 4,326,155.40 0.00 4,326,155.40 0.00 1.625%Due:01/07/2025 Purchase 01/21/2020 90331HPL1 7,270,000.00 US Bank NA Callable Note Cont 12/21/2024 99.787 2.10% 7,254,514.90 0.00 7,254,514.90 0.00 2.05%Due:01/21/2025 Purchase 01/29/2020 58770FAC6 2,050,000.00 Mercedes Benz Auto Lease Trust 2020-A A3 99.987 1.87% 2,049,729.81 0.00 2,049,729.81 0.00 1.84%Due:12/15/2022 Purchase 02/14/2020 3137EAEP0 6,335,000.00 FHLMC Note 99.923 1.52% 6,330,122.05 0.00 6,330,122.05 0.00 1.5%Due:02/12/2025 Purchase 03/05/2020 3137EAEP0 6,000,000.00 FHLMC Note 103.001 0.88% 6,180,060.00 5,250.00 6,185,310.00 0.00 1.5%Due:02/12/2025 Purchase 03/20/2020 3130A4CH3 5,225,000.00 FHLB Note 105.777 1.18% 5,526,848.25 2,068.23 5,528,916.48 0.00 2.375%Due:03/14/2025 Purchase 03/25/2020 3135GOX24 5,660,000.00 FNMA Note 103.035 0.97% 5,831,781.00 19,161.46 5,850,942.46 0.00 1.625%Due:01/07/2025 Subtotal 36,880,000.00 37,499,211.41 26,479.69 37,525,691.10 0.00 Security 03/31/2020 912828WU0 41,912.00 US Treasury Inflation Index Note 100.000 41,912.00 10.94 41,922.94 0.00 Contribution 0.125%Due:07/15/2024 Subtotal 41,912.00 41,912.00 10.94 41,922.94 0.00 TOTAL ACQUISITIONS 36,921,912.00 37,541,123.41 26,490.63 37,567,614.04 0.00 DISPOSITIONS Sale 01/17/2020 912828357 5,000,000.00 US Treasury Note 100.020 1.62% 5,000,976.56 46,195.65 5,047,172.21 275.44 2%Due:01/31/2020 Sale 01/21/2020 90331HNL3 3,000,000.00 US Bank NA Callable Note Cont 12/23/22 102.827 2.93% 3,084,810.00 42,275.00 3,127,085.00 91,477.72 2.85%Due:01/23/2023 52 c1„ GO TO TABLE OF CONTENTS ITransaction Ledger As of March 31, 2020 Orange County Sanitation District Long Term - Account #10268 December 31, 2019 through March 31,2020 Transaction Settlement CUSIP Quantity Security Description Price Acq/Disp Amount I nterest Total Amount Gain/Loss Type Date Yield Pur/Sold Sale 01/31/2020 9128281-57 4,000,000.00 US Treasury Note 100.973 1.95% 4,038,906.25 23,524.59 4,062,430.84 62,410.63 1.75%Due:09/30/2022 Sale 01/31/2020 9128281-99 3,000,000.00 US Treasury Note 99.863 1.77% 2,995,898.44 10,425.82 3,006,324.26 5,245.11 1.375%Due:10/31/2020 Sale 02/14/2020 313383HU8 1,000,000.00 FHLB Note 100.063 1.71% 1,000,630.00 3,013.89 1,003,643.89 509.25 1.75%Due:06/12/2020 Sale 02/14/2020 912828XE5 5,000,000.00 US Treasury Note 99.969 1.70% 4,998,437.50 15,573.77 5,014,011.27 1,297.96 1.5%Due:05/31/2020 Subtotal 21,000,000.00 21,119,658.75 141,008.72 21,260,667.47 161,216.11 Maturity 03/05/2020 40428HPR7 2,500,000.00 HSBC USA Inc Note 100.000 2,500,000.00 0.00 2,500,000.00 0.00 2.35%Due:03/05/2020 Maturity 03/18/2020 06367BDS5 8,000,000.00 Bank of Montreal Chicago Yankee CD 100.000 8,000,000.00 40,444.45 8,040,444.45 0.00 2%Due:03/18/2020 Subtotal 10,500,000.00 10,500,000.00 40,444.45 10,540,444.45 0.00 Security 01/31/2020 912828WUO 4,992.00 US Treasury Inflation Index Note 99.860 0.14% 4,992.00 0.27 4,992.27 22.37 Withdrawal 0.125%Due:07/15/2024 Security 02/29/2020 912828WUO 10,088.00 US Treasury Inflation Index Note 99.860 0.14% 10,088.00 1.56 10,089.56 44.42 Withdrawal 0.125%Due:07/15/2024 Subtotal 15,080.00 15,080.00 1.83 15,081.83 66.79 TOTAL DISPOSITIONS 31,515,080.00 31,634,738.75 181,455.00 31,816,193.75 161,282.90 53 C�„ GO TO TABLE OF CONTENTS ITransaction Ledger As of March 31, 2020 Orange County Sanitation District Liquid - Account #10282 December 31, 2019 through March 31,2020 Transaction Settlement CUSIP Quantity Security Description Price Acq/Disp Amount Interest Total Amount Gain/Loss Type Date Yield Pur/Sold ACQUISITIONS Purchase 01/10/2020 822582BG6 1,000,000.00 Shell International Fin Note 100.123 1.75% 1,001,230.00 3,482.64 1,004,712.64 0.00 2.125%Due:05/11/2020 Purchase 01/17/2020 9128281-32 5,000,000.00 US Treasury Note 99.859 1.60% 4,992,968.75 26,253.43 5,019,222.18 0.00 1.375%Due:08/31/2020 Purchase 01/17/2020 912828XY1 5,000,000.00 US Treasury Note 100.414 1.58% 5,020,703.13 5,837.91 5,026,541.04 0.00 2.5%Due:06/30/2020 Purchase 01/30/2020 9128281-32 5,000,000.00 US Treasury Note 99.879 1.58% 4,993,945.31 28,708.79 5,022,654.10 0.00 1.375%Due:08/31/2020 Purchase 01/30/2020 912828XH8 5,000,000.00 US Treasury Note 100.027 1.56% 5,001,367.19 6,696.43 5,008,063.62 0.00 1.625%Due:06/30/2020 Purchase 01/31/2020 313384WGO 3,000,000.00 FHLB Discount Note 99.603 1.60% 2,988,094.17 0.00 2,988,094.17 0.00 1.57%Due:05/01/2020 Purchase 01/31/2020 912796TG4 2,000,000.00 US Treasury Bill 99.916 1.53% 1,998,322.22 0.00 1,998,322.22 0.00 1.51%Due:02/20/2020 Purchase 01/31/2020 912796XA2 2,000,000.00 US Treasury Bill 99.835 1.55% 1,996,701.25 0.00 1,996,701.25 0.00 1.523%Due:03/10/2020 Purchase 01/31/2020 9128284Y3 7,000,000.00 US Treasury Note 100.605 1.57% 7,042,382.81 77,235.58 7,119,618.39 0.00 2.625%Due:08/31/2020 Purchase 01/31/2020 912828XY1 1,000,000.00 US Treasury Note 100.387 1.56% 1,003,867.19 2,129.12 1,005,996.31 0.00 2.5%Due:06/30/2020 Purchase 02/26/2020 912796XBO 5,000,000.00 US Treasury Bill 99.914 1.57% 4,995,705.56 0.00 4,995,705.56 0.00 1.546%Due:03/17/2020 Purchase 02/28/2020 912796TQ2 4,000,000.00 US Treasury Bill 99.832 1.50% 3,993,265.98 0.00 3,993,265.98 0.00 1.478%Due:04/09/2020 Purchase 03/05/2020 9127962134 3,500,000.00 US Treasury Bill 99.892 0.99% 3,496,221.94 0.00 3,496,221.94 0.00 0.972%Due:04/14/2020 Subtotal 48,500,000.00 48,524,775.50 150,343.90 48,675,119.40 0.00 TOTAL ACQUISITIONS 48,500,000.00 48,524,775.50 150,343.90 48,675,119.40 0.00 54 Q11 GO TO TABLE OF CONTENTS ITransaction Ledger As of March 31, 2020 Orange County Sanitation District Liquid - Account #10282 December 31, 2019 through March 31,2020 Transaction Settlement CUSIP Quantity Security Description Price Acq/Disp Amount Interest Total Amount Gain/Loss Type Date Yield Pur/Sold DISPOSITIONS Sale 01/30/2020 822582BG6 1,000,000.00 Shell International Fin Note 100.107 1.75% 1,001,070.00 4,663.19 1,005,733.19 41.64 2.125%Due:05/11/2020 Subtotal 1,000,000.00 1,001,070.00 4,663.19 1,005,733.19 41.64 Call 02/03/2020 06406HCZO 2,000,000.00 Bank of New York Callable Note Cont 1/24/2020 100.000 2.40% 2,000,000.00 18,991.67 2,018,991.67 418.28 2.15%Due:02/24/2020 Subtotal 2,000,000.00 2,000,000.00 18,991.67 2,018,991.67 418.28 Maturity 01/02/2020 912796RT8 7,500,000.00 US Treasury Bill 100.000 7,500,000.00 0.00 7,500,000.00 0.00 1.486%Due:01/02/2020 Maturity 01/07/2020 912796WM7 7,500,000.00 US Treasury Bill 100.000 7,500,000.00 0.00 7,500,000.00 0.00 1.498%Due:01/07/2020 Maturity 01/14/2020 313384RU5 1,200,000.00 FHLB Discount Note 100.000 1,200,000.00 0.00 1,200,000.00 0.00 1.57%Due:01/14/2020 Maturity 01/15/2020 69372AAF9 1,100,000.00 Paccar Financial Discount CP 99.543 1,100,000.00 0.00 1,100,000.00 0.00 1.85%Due:01/15/2020 Maturity 01/17/2020 89233GAH9 2,000,000.00 Toyota Motor Credit Discount CP 98.094 2,000,000.00 0.00 2,000,000.00 0.00 2.56%Due:01/17/2020 Maturity 01/23/2020 313384SD2 5,000,000.00 FHLB Discount Note 100.000 5,000,000.00 0.00 5,000,000.00 0.00 1.57%Due:01/23/2020 Maturity 01/23/2020 89114M2Z9 2,000,000.00 Toronto Dominion Bank Yankee CD 100.000 2,000,000.00 22,366.67 2,022,366.67 0.00 2.2%Due:01/23/2020 Maturity 01/29/2020 313384SK6 4,500,000.00 FHLB Discount Note 100.000 4,500,000.00 0.00 4,500,000.00 0.00 1.565%Due:01/29/2020 Maturity 01/30/2020 912796RY7 21,000,000.00 US Treasury Bill 100.000 21,000,000.00 0.00 21,000,000.00 0.00 1.72%Due:01/30/2020 Maturity 01/30/2020 94974BGF1 1,000,000.00 Wells Fargo Corp Note 100.000 1,000,000.00 0.00 1,000,000.00 0.00 2.15%Due:01/30/2020 Maturity 01/31/2020 9128283S7 30,000,000.00 US Treasury Note 100.000 30,000,000.00 0.00 30,000,000.00 0.00 2%Due:01/31/2020 Maturity 01/31/2020 9128281-152 13,500,000.00 US Treasury Note 100.000 13,500,000.00 0.00 13,500,000.00 0.00 1.25%Due:01/31/2020 55 C1„ GO TO TABLE OF CONTENTS ITransaction Ledger As of March 31, 2020 Orange County Sanitation District Liquid - Account #10282 December 31, 2019 through March 31, 2020 Transaction Settlement CUSIP Quantity Security Description Price Accl/Disp Amount I nterest Total Amount Gain/Loss Type Date Yield Pur/Sold Maturity 01/31/2020 912828UL2 5,000,000.00 US Treasury Note 100.000 5,000,000.00 0.00 5,000,000.00 0.00 1.375%Due:01/31/2020 Maturity 02/15/2020 912828MP2 5,000,000.00 US Treasury Note 100.000 5,000,000.00 0.00 5,000,000.00 0.00 3.625%Due:02/15/2020 Maturity 02/20/2020 912796TG4 2,000,000.00 US Treasury Bill 100.000 2,000,000.00 0.00 2,000,000.00 0.00 1.51%Due:02/20/2020 Maturity 03/02/2020 78012KC62 2,000,000.00 Royal Bank of Canada Note 100.000 2,000,000.00 0.00 2,000,000.00 0.00 2.125%Due:03/02/2020 Maturity 03/05/2020 40428HPR7 2,500,000.00 HSBC USA Inc Note 100.000 2,500,000.00 0.00 2,500,000.00 0.00 2.35%Due:03/05/2020 Maturity 03/05/2020 912796TH2 7,500,000.00 US Treasury Bill 100.000 7,500,000.00 0.00 7,500,000.00 0.00 1.532%Due:03/05/2020 Maturity 03/10/2020 912796XA2 2,000,000.00 US Treasury Bill 100.000 2,000,000.00 0.00 2,000,000.00 0.00 1.523%Due:03/10/2020 Maturity 03/17/2020 912796XBO 5,000,000.00 US Treasury Bill 100.000 5,000,000.00 0.00 5,000,000.00 0.00 1.546%Due:03/17/2020 Maturity 03/18/2020 06367BDS5 1,000,000.00 Bank of Montreal Chicago Yankee CD 100.000 1,000,000.00 5,055.56 1,005,055.56 0.00 2%Due:03/18/2020 Subtotal 128,300,000.00 128,300,000.00 27,422.23 128,327,422.23 0.00 TOTAL DISPOSITIONS 131,300,000.00 131,301,070.00 51,077.09 131,352,147.09 459.92 56 C11% GO TO TABLE OF CONTENTS IImportant Disclosures As of March 31, 2020 2019 Chandler Asset Management,Inc,An Independent Registered Investment Adviser. Information contained herein is confidential. Prices are provided by IDC,an independent pricing source. In the event IDC does not provide a price or if the price provided is not reflective of fair market value,Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures.Our valuation procedures are also disclosed in Item 5 of our Form ADV Part 2A. Performance results are presented gross-of-advisory fees and represent the client's Total Return.The deduction of advisory fees lowers performance results.These results include the reinvestment of dividends and other earnings. Past performance may not be indicative of future results.Therefore,clients should not assume that future performance of any specific investment or investment strategy will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Economic factors, market conditions or changes in investment strategies, contributions or withdrawals may materially alter the performance and results of your portfolio. Index returns assume reinvestment of all distributions. Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the deduction of an investment management fee,the incurrence of which would have the effect of decreasing historical performance results. It is not possible to invest directly in an index. Source ice Data Indices, LLC("ICE"),used with permission.ICE permits use of the ICE indices and related data on an"as is"basis;ICE,its affiliates and their respective third party suppliers disclaim any and all warranties and representations,express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included in, related to, or derived therefrom. Neither ICE data, its affiliates or their respective third party providers guarantee the quality, adequacy, accuracy,timeliness or completeness of the indices or the index data or any component thereof,and the indices and index data and all components thereof are provided on an"as is"basis and licensee's use it at licensee's own risk.ICE data,its affiliates and their respective third party do not sponsor,endorse,or recommend chandler asset management,or any of its products or services. This report is provided for informational purposes only and should not be construed as a specific investment or legal advice.The information contained herein was obtained from sources believed to be reliable as of the date of publication, but may become outdated or superseded at any time without notice.Any opinions or views expressed are based on current market conditions and are subject to change.This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results. Past performance is not indicative of future results.This report is not intended to constitute an offer, solicitation, recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a substitute for the exercise of their own judgment. Fixed income investments are subject to interest, credit and market risk. Interest rate risk: the value of fixed income investments will decline as interest rates rise. Credit risk:the possibility that the borrower may not be able to repay interest and principal. Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk. Market risk:the bond market in general could decline due to economic conditions,especially during periods of rising interest rates. Ratings information have been provided by Moody's,S&P and Fitch through data feeds we believe to be reliable as of the date of this statement,however we cannot guarantee its accuracy. Security level ratings for U.S.Agency issued mortgage-backed securities("MBS")reflect the issuer rating because the securities themselves are not rated.The issuing U.S.Agency guarantees the full and timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P,Moody's and Fitch respectively. 57 c�„ GO TO TABLE OF CONTENTS Benchmark Disclosures As of March 31, 2020 ICE BAML 3-Month US Treasury Bill Index The ICE BAML US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month.At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. (Index:G001. Please visit www.mlindex.ml.com for more information) ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index The ICE BAML US Issuers 1-5 Year AAA-A US Corporate& Government Index tracks the performance of US dollar denominated investment grade debt publicly issued in the US domestic market including US Treasury, US agency,foreign government,supranational and corporate securities. Qualifying securities must issued from US issuers and be rated AAA through A3(based on an average of Moody's,S&P and Fitch). In addition, qualifying securities must have at least one year remaining term to final maturity and less than five years remaining term to final maturity, at least 18 months to final maturity at point of issuance, a fixed coupon schedule and a minimum amount outstanding of$1 billion for US Treasuries and$250 million for all other securities. (Index:BV10. Please visit www.mlindex.ml.com for more information) ICE BAML US 1-5 Yr US Corp/Govt Rated AAA-BBB Indx The ICE BAML 1-5 Year US Corporate& Government Index tracks the performance of US dollar denominated investment grade debt publicly issued in the US domestic market, including US Treasury, US agency,foreign government,supranational and corporate securities. Qualifying securities must have an investment grade rating(based on an average of Moody's,S&P and Fitch). In addition, qualifying securities must have at least one year remaining term to final maturity and less than five years remaining term to final maturity, at least 18 months to final maturity at point of issuance, a fixed coupon schedule and a minimum amount outstanding of$1 billion for US Treasuries and$250 million for all other securities. (Index:BVAO.Please visit www.mlindex.ml.com for more information) 58 c," GO TO TABLE OF CONTENTS Rating Agency Comparisons A summary of investment grade ratings are listed below. More complete descriptions of Moody's and Standard & Poor's ratings are included in the following pages. Quality/Grade Moody's Standard & Poor's Fitch Best Quality Aaa AAA AAA High Quality Aal AA+ AA+ Aa2 AA AA Aa3 AA- AA- Upper Medium Grade Al A+ A+ A2 A A A3 A- A- Medium Grade Baal BBB+ BBB+ Baa2 BBB BBB Baa3 BBB- BBB1 Moody's - Investment Grade "Aaa" - Bonds rated Aaa are judged to be of the best quality. They carry the smallest degree of investment risk. Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues. "Aa" - Bonds which are rated Aa are judged to be of high quality by all standards. Together with the Aaa group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in Aaa securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in Aaa securities. "A" - Bonds which are rated A possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate, but elements may be present which suggest a susceptibility to impairment sometime in the future. GO TO TABLE OF CONTENTS "Baa" - Bonds which are rated Baa are considered as medium grade obligations; i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well. Bonds in the Aa, A, and Baa are also assigned "V, "2", or "Y based on the strength of the issue within each category. Accordingly, "Al" would be the strongest group of A securities and "AY would be the weakest A securities. Ba, B, Caa, Ca, and C - Bonds that possess one of these ratings provide questionable protection of interest and principal ("Ba" indicates some speculative elements; "B" indicates a general lack of characteristics of desirable investment; "Caa" represents a poor standing; "Ca" represents obligations which are speculative in a high degree; and "C" represents the lowest rated class of bonds). "Caa", "Ca" and "C" bonds may be in default. Standard and Poor's-Investment Grade AAA- Debt rated "AAA" has the highest rating assigned by S&P. Capacity to pay interest and repay principal Is extremely strong. AA - Debt rated "AX 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 Ratinq 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. GO TO TABLE OF CONTENTS 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 "AX 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. GO TO TABLE OF CONTENTS O�JNjv S A N I TgT�2 � � O N� _ � 9 � n ti �F�TiN^E ENv\P�� April 30, 2020 STAFF REPORT Certificates of Participation (COP) Quarterly Report for the Period Ended March 31, 2020 Summary The Orange County Sanitation District (OCSD) 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 OCSD: In May 2010, OCSD issued $80 million of fixed rate BABs, Series 2010A at a true interest cost of 3.68 percent for the issue. In December 2010, OCSD issued $157 million of fixed rate BABs, Series 2010C at a true interest cost of 4.11 percent for the issue. In October 2011, OCSD 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. In March 2012, OCSD 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, OCSD 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 OCSD. In August 2014, OCSD issued $85.09 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. OCSD ♦ P.O.Box 8127 ♦ Fountain Valley,CA 92728-8127 ♦ (714)962-2411 GO TO TABLE OF CONTENTS Quarterly COP Report For the Period Ended March 31, 2020 Page 2 of 2 In February 2015, OCSD issued $127.51 million of fixed rate COPs, Series 2015A, refunding $152.99 million of the Series 2007B debt. The true interest cost for the issue is 3.30 percent. In March 2016, the OCSD issued $145.88 million of fixed rate CANs, Series 2016A, refunding $162.78 million of the Series 2009A fixed rate debt. The true interest cost for the issue is 3.02 percent. In February 2017, OCSD issued $66.37 million of fixed rate COPs, Series 2017A, refunding $91.885 million of the Series 2007A debt. The true interest cost for the issue is 2.55 percent. In November 2018, OCSD issued $102.2 million of fixed rate CANs, Series 2018A, refunding the Series 2016B CANs. The true interest cost for the issue is 2.02 percent. Additional Information The graph entitled, "OCSD COP Rate History Report," shows the various fixed interest rates of the OCSD's ten debt issues. Attachment 1. Graph - OCSD COP Rate History Report GO TO TABLE OF CONTENTS OCSD COP RATE HISTORY REPORT MARCH 2O20 5.00 4.00 3.00 w WWI a 2.00 1.00 0.00 N N N N N N 6. 6. U U U > > 6 6 C C d d A N W A A > > > > N N O O 0i N N A N N DATE tp O M 1� N A O N 1� c N t0 O M h �(1 OD N N A V 00 Series 2010A Fixed t Series 2010C Fixed t Series 2011A Fixed t Series 2012A Fixed —w—Series 2012B Fixed t Series 2014A Fixed Series 2015A Fixed Series 2016A Fixed Series 2017A Fixed t Series 2018A Fixed H:\dept\asd\220\Common\Monthly and Quarterly Treasurer's Report\FY 19-20\COP Rate History Report FY 19-20 GO TO TABLE OF CONTENTS FY 2019-20 Third Quarter Financial Report This Page Intentionally Left Blank ORANGE COUNTY SANITATION DISTRICT FINANCIAL MANAGEMENT DIVISION 10844 Ellis Avenue Fountain Valley, California 92708-7018 714.962.2411 www.ocsd.com 03/31/20