HomeMy WebLinkAbout02-19-2020 Administration Committee Meeting Complete Agenda Packet
February 11, 2020
NOTICE OF MEETING
ADMINISTRATION COMMITTEE
ORANGE COUNTY SANITATION DISTRICT
Wednesday, February 19, 2020 – 5:00 P.M.
Administration Building
10844 Ellis Avenue
Fountain Valley, California 92708
WWW.OCSD.COM
A regular meeting of the Administration Committee of the Orange County
Sanitation District will be held at the above location, date, and time.
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ADMINISTRATION COMMITTEE MEETING DATE
BOARD MEETING DATE
02/19/20 ** 02/26/20
03/11/20 03/25/20
04/08/30 04/22/20
05/13/20 05/27/20
06/10/20 06/24/20
07/08/20 07/22/20
AUGUST DARK 08/26/20
09/09/20 09/23/20
10/14/20 10/28/20
11/10/20 ** 11/18/20 *
12/09/20 12/16/20 *
JANUARY DARK 01/27/21
* Meeting will be held on the third Wednesday of the month
** Meeting will be held on the second Tuesday of the month
ROLL CALL ADMINISTRATION COMMITTEE Finance, Information Technology, Environmental Services
and Human Resources
Meeting Date: February 19, 2020 Time: 5:00 p.m. Adjourn:
COMMITTEE MEMBERS (13)
Chad Wanke, Chair
Richard Murphy, Vice-Chair Jim Ferryman
Cecilia Iglesias
Peter Kim
Mark Murphy
Steve Nagel
Andrew Nguyen
Glenn Parker
Erik Peterson
Christina Shea
David Shawver (Board Chair) John Withers (Board Vice-Chair)
OTHERS
Brad Hogin, General Counsel
STAFF
Jim Herberg, General Manager Rob Thompson, Assistant General Manager
Lorenzo Tyner, Assistant General Manager
Celia Chandler, Director of Human Resources Kathy Millea, Director of Engineering
Lan Wiborg, Director of Environmental Services
Wally Ritchie, Controller
Kelly Lore, Clerk of the Board
ORANGE COUNTY SANITATION DISTRICT Effective 02/05/2020 BOARD OF DIRECTORS Complete Roster AGENCY/CITIES
ACTIVE DIRECTOR
ALTERNATE DIRECTOR
Anaheim
Lucille Kring
Denise Barnes Brea Glenn Parker Cecilia Hupp Buena Park Fred Smith Connor Traut Cypress Mariellen Yarc Stacy Berry Fountain Valley Steve Nagel Patrick Harper Fullerton Jesus J. Silva Jan Flory Garden Grove Steve Jones John O’Neill Huntington Beach Erik Peterson Lyn Semeta Irvine Christina Shea Anthony Kuo
La Habra Tim Shaw Rose Espinoza La Palma Peter Kim Nitesh Patel Los Alamitos Richard Murphy Dean Grose Newport Beach Brad Avery Joy Brenner Orange Mark Murphy Kim Nichols Placentia Chad Wanke Ward Smith Santa Ana Cecilia Iglesias David Penaloza Seal Beach Sandra Massa-Lavitt Schelly Sustarsic Stanton David Shawver Carol Warren Tustin Allan Bernstein Chuck Puckett Villa Park Robert Collacott Chad Zimmerman Sanitary/Water Districts
Costa Mesa Sanitary District
James M. Ferryman
Bob Ooten Midway City Sanitary District Andrew Nguyen Margie L. Rice Irvine Ranch Water District John Withers
Douglas Reinhart
Yorba Linda Water District Brooke Jones Phil Hawkins County Areas
Board of Supervisors Doug Chaffee Michelle Steel
Orange County Sanitation District
ADMINISTRATION COMMITTEE
Regular Meeting Agenda
Wednesday, February 19, 2020 - 5:00 PM
Board Room
Administration Building
10844 Ellis Avenue
Fountain Valley, CA 92708
(714) 593-7433
ACCOMMODATIONS FOR THE DISABLED: Meeting Rooms are wheelchair accessible. If you require any
special disability related accommodations, please contact the Orange County Sanitation District Clerk of the
Board’s office at (714) 593-7433 at least 72 hours prior to the scheduled meeting. Requests must specify the
nature of the disability and the type of accommodation requested.
AGENDA POSTING: In accordance with the requirements of California Government Code Section 54954.2, this
agenda has been posted outside the main gate of the Sanitation District’s Administration Building located at
10844 Ellis Avenue, Fountain Valley, California, and on the Sanitation District’s website at www.ocsd.com not
less than 72 hours prior to the meeting date and time above. All public records relating to each agenda item,
including any public records distributed less than 72 hours prior to the meeting to all, or a majority of the
Board of Directors, are available for public inspection in the office of the Clerk of the Board.
AGENDA DESCRIPTION: The agenda provides a brief general description of each item of business to be
considered or discussed. The recommended action does not indicate what action will be taken. The Board of
Directors may take any action which is deemed appropriate.
MEETING AUDIO: An audio recording of this meeting is available within 24 hours after adjournment of the
meeting. Please contact the Clerk of the Board's office at (714) 593-7433 to request the audio file.
NOTICE TO DIRECTORS: To place items on the agenda for a Committee or Board Meeting, the item must be
submitted in writing to the Clerk of the Board: Kelly A. Lore, MMC, (714) 593-7433 / klore@ocsd.com at least 14
days before the meeting.
FOR ANY QUESTIONS ON THE AGENDA, BOARD MEMBERS MAY CONTACT STAFF AT:
General Manager: Jim Herberg, jherberg@ocsd.com / (714) 593-7300
Asst. General Manager: Lorenzo Tyner, ltyner@ocsd.com / (714) 593-7550
Asst. General Manager: Rob Thompson, rthompson@ocsd.com / (714) 593-7310
Director of Human Resources: Celia Chandler, cchandler@ocsd.com / (714) 593-7202
Director of Engineering: Kathy Millea, kmillea@ocsd.com / (714) 593-7365
Director of Environmental Services: Lan Wiborg, lwiborg@ocsd.com / (714) 593-7450
ADMINISTRATION COMMITTEE Regular Meeting Agenda Wednesday, February 19, 2020
CALL TO ORDER
PLEDGE OF ALLEGIANCE
DECLARATION OF QUORUM:
PUBLIC COMMENTS:
If you wish to address the Committee on any item, please complete a Speaker’s Form (located at the table outside
of the Board Room) and submit it to the Clerk of the Board or notify the Clerk of the Board the item number on
which you wish to speak. Speakers will be recognized by the Chairperson and are requested to limit comments to
three minutes.
REPORTS:
The Committee Chairperson and the General Manager may present verbal reports on miscellaneous matters of
general interest to the Directors. These reports are for information only and require no action by the Directors.
CONSENT CALENDAR:
Consent Calendar Items are considered to be routine and will be enacted, by the Board of Directors, after one
motion, without discussion. Any items withdrawn from the Consent Calendar for separate discussion will be
considered in the regular order of business.
1.2020-885APPROVAL OF MINUTES
RECOMMENDATION:
Approve Minutes of the Regular Meeting of the Administration Committee held
December 11, 2019.
Originator:Kelly Lore
Agenda Report
12-11-2019 Administration Committee Minutes
Attachments:
2.2020-883AWARD CONTRACT FOR MARINE VESSEL NERISSA ENGINE
REBUILD
RECOMMENDATION:
Approve a purchase order contract to Quinn Company to perform a rebuild on M/V
Nerissa’s Caterpillar diesel engines at a cost not to exceed $130,000.
Originator:Lan Wiborg
Agenda ReportAttachments:
Page 1 of 3
ADMINISTRATION COMMITTEE Regular Meeting Agenda Wednesday, February 19, 2020
3.2020-903GENERAL MANAGER APPROVED PURCHASES AND ADDITIONS TO
THE PRE-APPROVED OEM SOLE SOURCE LIST
RECOMMENDATION: Recommend to the Board of Directors to:
A. Receive and file Orange County Sanitation District purchases made under the
General Manager’s authority for the period of October 1, 2019 to December 31,
2019; and
B. Approve the following additions to the pre-approved OEM Sole Source List for
the period of October 1, 2019 to December 31, 2019:
·ALFA LAVAL - Parts and Repairs for Centrifuge Rotating Assembly
·CHEVRON - Chevron 5200 HDAX Low Ash 40 Lubricating Oil
·EMERSON/CALTROL - Fisher Valve Training for Instrumentation Technicians
·FLEXIM - Flow Meters
·INTERSCAN/GAS DETECTION - 2 Point H2S Monitoring Systems
·PATTERSON - Pumps and Parts
·SOLAR TURBINES - Generator Parts and Repairs
·TRANE COMPANY - Equipment, Parts, Maintenance, Repairs, and Training
·TRIDENT - Actuator Parts and Repairs
·TURVAC - Alignment Certification Training
Originator:Lorenzo Tyner
Agenda ReportAttachments:
4.2019-801MID-YEAR CONSOLIDATED FINANCIAL REPORT FOR THE PERIOD
ENDED DECEMBER 31, 2019
RECOMMENDATION: Recommend to the Board of Directors to:
Receive and file the Orange County Sanitation District Mid-Year Financial Report for
the period ended December 31, 2019.
Originator:Lorenzo Tyner
Agenda Report
Mid-Year Consolidated Financial Report for the period ended
December 31, 2019
Attachments:
Page 2 of 3
ADMINISTRATION COMMITTEE Regular Meeting Agenda Wednesday, February 19, 2020
NON-CONSENT:
5.2020-891CONSIDERATION OF BUDGET ASSUMPTIONS AND BUDGET
CALENDAR FOR PREPARATION OF THE FISCAL YEARS 2020-21
AND 2021-22 BUDGET
RECOMMENDATION:
Approve the FY 2020-21 budget assumptions and direct staff to incorporate these
parameters in preparing the FY 2020-21 and 2021-22 budget.
Originator:Lorenzo Tyner
Agenda Report
FY 2020-21 Preliminary Budget Assumptions
Budget Calendar 2020-21
Attachments:
INFORMATION ITEMS:
6.2019-679INVESTMENT PERFORMANCE RESULTS
RECOMMENDATION:
Information Item.
Originator:Lorenzo Tyner
Agenda ReportAttachments:
DEPARTMENT HEAD REPORTS:
OTHER BUSINESS AND COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS, IF
ANY:
BOARD OF DIRECTORS INITIATED ITEMS FOR A FUTURE MEETING:
At this time Committee members may request staff to place an item on a future agenda.
ADJOURNMENT:
The next Administration Committee meeting is scheduled for Wednesday, March 11, 2020 at
5:00 p.m.
Page 3 of 3
Orange County Sanitation District
ADMINISTRATION COMMITTEE
Agenda Report
Administration Building
10844 Ellis Avenue
Fountain Valley, CA 92708
(714) 593-7433
File #:2020-885 Agenda Date:2/19/2020 Agenda Item No:1.
FROM:James D. Herberg, General Manager
Originator: Kelly A. Lore, Clerk of the Board
SUBJECT:
APPROVAL OF MINUTES
GENERAL MANAGER'S RECOMMENDATION
RECOMMENDATION:
Approve Minutes of the Regular Meeting of the Administration Committee held December 11, 2019.
BACKGROUND
In accordance with the Board of Directors Rules of Procedure,an accurate record of each meeting
will be provided to the Directors for subsequent approval at the following meeting.
RELEVANT STANDARDS
·Resolution No. OCSD 19-19
ATTACHMENT
The following attachment(s)are included in hard copy and may also be viewed on-line at the OCSD website
(www.ocsd.com) with the complete agenda package:
·Minutes of the Administration Committee meeting held December 11, 2019
Orange County Sanitation District Printed on 2/4/2020Page 1 of 1
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Orange County Sanitation District
Minutes for the
ADMINISTRATION COMMITTEE
Wednesday, December 11, 2019
5:00 PM
Board Room
Administration Building
10844 Ellis Avenue
Fountain Valley, CA 92708
(714) 593-7433
CALL TO ORDER
A regular meeting of the Administration Committee of the Orange County Sanitation District
was called to order by Committee Vice Chairman Richard Murphy on December 11, 2019 at
5:03 p.m. in the Administration Building of the Orange County Sanitation District. Director
Erik Peterson led the Flag Salute.
DECLARATION OF QUORUM:
A quorum was declared present as follows:
PRESENT:Richard Murphy, Cecilia Iglesias, Mark Murphy, Andrew Nguyen,
Glenn Parker, Erik Peterson, Christina Shea, David Shawver, John
Withers and Patrick Harper (Alternate)
ABSENT:Chad Wanke and James Ferryman
STAFF PRESENT:
Jim Herberg, General Manager; Rob Thompson, Assistant General Manager; Lorenzo Tyner,
Assistant General Manager; Kathy Millea, Director of Engineering; Lan Wiborg, Director of
Environmental Services; Kelly Lore, Clerk of the Board; Randa Abushaban; Jennifer Cabral;
Ron Coss; Michelle Farmer; Rhea de Guzman; Al Garcia; Mark Kawamoto; Jackie Lagade;
Laura Maravilla; Joshua Martinez; Wally Ritchie; Lisa Rothbart; Roya Sohanaki; and Ruth
Zintzun.
OTHERS PRESENT:
Brad Hogin, General Counsel
PUBLIC COMMENTS:
None.
REPORTS:
None.
CONSENT CALENDAR:
1.APPROVAL OF MINUTES 2019-787
Originator: Kelly Lore
MOVED, SECONDED, AND DULY CARRIED TO:
Page 1 of 4
ADMINISTRATION
COMMITTEE
Minutes December 11, 2019
Approve Minutes of the Regular Meeting of the Administration Committee held
November 13, 2019.
AYES:Richard Murphy, Mark Murphy, Andrew Nguyen, Glenn Parker, Erik
Peterson, Christina Shea, David Shawver, John Withers, Marshall
Goodman (Alternate) and Patrick Harper (Alternate)
NOES:None
ABSENT:Chad Wanke, James Ferryman and Cecilia Iglesias
ABSTENTIONS:None
2.PAYMENT OF ANNUAL NATIONAL POLLUTANT DISCHARGE AND
ELIMINATION SYSTEM (NPDES) PERMIT FEES
2019-778
Originator: Lan Wiborg
MOVED, SECONDED, AND DULY CARRIED TO: Recommend to the Board of
Directors to:
Approve payment of $653,081 for annual NPDES (ocean discharge) permit fees.
AYES:Richard Murphy, Mark Murphy, Andrew Nguyen, Glenn Parker, Erik
Peterson, Christina Shea, David Shawver, John Withers, Marshall
Goodman (Alternate) and Patrick Harper (Alternate)
NOES:None
ABSENT:Chad Wanke, James Ferryman and Cecilia Iglesias
ABSTENTIONS:None
NON-CONSENT:
3.INVEST AND/OR REINVEST ORANGE COUNTY SANITATION
DISTRICT’S FUNDS AND ADOPT INVESTMENT POLICY
STATEMENT
2019-674
Originator: Lorenzo Tyner
Assistant General Manager Lorenzo Tyner introduced the item and provided a brief
description of the changes.
MOVED, SECONDED, AND DULY CARRIED TO:
Recommend to the Board of Directors to:
Adopt Resolution No. OCSD 19-XX, entitled: “A Resolution of the Board of Directors of
the Orange County Sanitation District, Authorizing the Orange County Sanitation
District’s Treasurer to Invest and/or Reinvest Orange County Sanitation District’s
Funds, Adopting the Orange County Sanitation District’s Investment Policy Statement
and Performance Benchmarks, and Repealing Resolution No. OCSD 18-23.
Page 2 of 4
ADMINISTRATION
COMMITTEE
Minutes December 11, 2019
AYES:Richard Murphy, Mark Murphy, Andrew Nguyen, Glenn Parker, Erik
Peterson, Christina Shea, David Shawver, John Withers, Marshall
Goodman (Alternate) and Patrick Harper (Alternate)
NOES:None
ABSENT:Chad Wanke, James Ferryman and Cecilia Iglesias
ABSTENTIONS:None
Director Cecilia Iglesias arrived at the meeting at 5:12 p.m.
INFORMATION ITEMS:
4.ORANGE COUNTY SANITATION DISTRICT’S PROCUREMENT
PROCESS
2019-797
Originator: Lorenzo Tyner
Assistant General Manager Tyner introduced Ruth Zintzun, Purchasing & Contracts
Manager, who provided a PowerPoint presentation that included the Contracts,
Purchasing & Materials Management Division's mission statement; an overview of the
Division; rules and regulations followed; approval thresholds; procurement methods;
public works construction; requests for proposal/qualifications; goods and services
bids; emergency procurements; and sole source procurement.
RECEIVED AND FILED THE:
Information Item.
DEPARTMENT HEAD REPORTS:
None.
OTHER BUSINESS AND COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS, IF
ANY:
Board Chair Shawver stated that efforts were underway to reduce paper in the agenda
packets. He asked that if anyone was interested in an online version to let the Clerk of the
Board know.
BOARD OF DIRECTORS INITIATED ITEMS FOR A FUTURE MEETING:
None.
ADJOURNMENT:
Vice-Chair Murphy declared the meeting adjourned at 5:45 p.m. to the Regular meeting to be
held on Wednesday, February 19, 2020 at 5:00 p.m.
Page 3 of 4
ADMINISTRATION
COMMITTEE
Minutes December 11, 2019
Submitted by:
__________________
Kelly A. Lore, MMC
Clerk of the Board
Page 4 of 4
Orange County Sanitation District
ADMINISTRATION COMMITTEE
Agenda Report
Administration Building
10844 Ellis Avenue
Fountain Valley, CA 92708
(714) 593-7433
File #:2020-883 Agenda Date:2/19/2020 Agenda Item No:2.
FROM:James D. Herberg, General Manager
Originator: Lan C. Wiborg, Director of Environmental Services
SUBJECT:
AWARD CONTRACT FOR MARINE VESSEL NERISSA ENGINE REBUILD
GENERAL MANAGER'S RECOMMENDATION
RECOMMENDATION:
Approve a purchase order contract to Quinn Company to perform a rebuild on M/V Nerissa’s
Caterpillar diesel engines at a cost not to exceed $130,000.
BACKGROUND
Under its National Pollution Discharge Elimination System (NPDES)permit,the Orange County
Sanitation District (Sanitation District)is required to conduct a monitoring program of the ocean
waters receiving the discharged treated final effluent.To accomplish this,the Sanitation District owns
and operates a monitoring vessel, Marine Vessel M/V Nerissa.
M/V Nerissa has been in service since November 2004.Her engines currently have over 8,500
hours of operation.A rebuild of the engines is recommended by the manufacturer (Caterpillar)at
8,000 hours.Further,the engines have recently developed oil leaks,in addition to a variety of other
minor repair issues.This indicates that an engine rebuild is necessary to keep the engines on the
M/V Nerissa operational.
The proposed purchase order contract with Quinn Company will ensure that M/V Nerissa’s engines
will be operational for the next five to eight years and all permit-mandated ocean monitoring field
sampling requirements will be met.
RELEVANT STANDARDS
·Comply with environmental permit requirements
·Protect Orange County Sanitation District assets
·Maintain a proactive asset management program
·Ensure the public’s money is wisely spent
·Commitment to safety & reducing risk in all operations
Orange County Sanitation District Printed on 2/11/2020Page 1 of 2
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File #:2020-883 Agenda Date:2/19/2020 Agenda Item No:2.
PROBLEM
An operational vessel is necessary to meet the requirements for environmental monitoring of the
Sanitation District’s ocean discharge of treated wastewater effluent.
PROPOSED SOLUTION
The rebuild of M/V Nerissa’s engines will allow the Ocean Monitoring Team to complete all mandated
field sampling activities on time, ensuring that all related NPDES permit provisions are met.
TIMING CONCERNS
M/V Nerissa’s engines are past due for rebuilding and show signs of significant wear.
RAMIFICATIONS OF NOT TAKING ACTION
NPDES permit-mandated ocean monitoring requirements may not be met if M/V Nerissa’s engines
fail and field samples are not able to be collected or were delayed.
PRIOR COMMITTEE/BOARD ACTIONS
N/A
ADDITIONAL INFORMATION
The bid for this proposed purchase order contract was obtained via a Sourcewell Co-Operative (co-
op)agreement.By utilizing this Sourcewell co-op agreement,the Sanitation District will save over
5% of the cost originally bid by Quinn Company directly.
CEQA
N/A
FINANCIAL CONSIDERATIONS
This request complies with authority levels of the Sanitation District's Purchasing Ordinance.This
item has been budgeted.(2019-2020 Budget Update;Page 43).Project contingency funds will be
used for this contract.
ATTACHMENT
The following attachment(s)may be viewed on-line at the OCSD website (www.ocsd.com)with the complete agenda
package:
N/A
Orange County Sanitation District Printed on 2/11/2020Page 2 of 2
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Orange County Sanitation District
ADMINISTRATION COMMITTEE
Agenda Report
Administration Building
10844 Ellis Avenue
Fountain Valley, CA 92708
(714) 593-7433
File #:2020-903 Agenda Date:2/19/2020 Agenda Item No:3.
FROM:James D. Herberg, General Manager
Originator: Lorenzo Tyner, Assistant General Manager
SUBJECT:
GENERAL MANAGER APPROVED PURCHASES AND ADDITIONS TO THE PRE-APPROVED
OEM SOLE SOURCE LIST
GENERAL MANAGER'S RECOMMENDATION
RECOMMENDATION: Recommend to the Board of Directors to:
A. Receive and file Orange County Sanitation District purchases made under the General
Manager’s authority for the period of October 1, 2019 to December 31, 2019; and
B. Approve the following additions to the pre-approved OEM Sole Source List for the period of
October 1, 2019 to December 31, 2019:
·ALFA LAVAL - Parts and Repairs for Centrifuge Rotating Assembly
·CHEVRON - Chevron 5200 HDAX Low Ash 40 Lubricating Oil
·EMERSON/CALTROL - Fisher Valve Training for Instrumentation Technicians
·FLEXIM - Flow Meters
·INTERSCAN/GAS DETECTION - 2 Point H2S Monitoring Systems
·PATTERSON - Pumps and Parts
·SOLAR TURBINES - Generator Parts and Repairs
·TRANE COMPANY - Equipment, Parts, Maintenance, Repairs, and Training
·TRIDENT - Actuator Parts and Repairs
·TURVAC - Alignment Certification Training
BACKGROUND
Staff provides the Administration Committee and the Board of Directors quarterly reports of General
Manager approved and executed purchases between $50,000 and $100,000;maintenance and
repair Services Task Orders between $50,000 and $300,000;and additions to the pre-approved OEM
Sole Source List.
The list of additions to the pre-approved OEM Sole Source List displays the original equipment
manufacturers (OEM)added this quarter that require sole source procurement to maintain,service,
or replace equipment currently in operation at Orange County Sanitation District facilities,because
the parts and/or service can only be provided by the OEM or their designated representative.
Orange County Sanitation District Printed on 2/11/2020Page 1 of 3
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File #:2020-903 Agenda Date:2/19/2020 Agenda Item No:3.
RELEVANT STANDARDS
·Quarterly financial reporting
·Ensure the public’s money is wisely spent
PRIOR COMMITTEE/BOARD ACTIONS
December 2016 -Minute Order 12(b)authorized the General Manager to ratify additions or deletions
to the OEM Sole Source list on the General Manager’s quarterly approved purchases agenda report.
ADDITIONAL INFORMATION
In accordance with Board purchasing policies,Ordinance No.OCSD-52,the General Manager has
authority to approve and execute purchases between $50,000 and $100,000.Below is a summary of
General Manager approved purchases,in amounts exceeding $50,000,for the second quarter of
fiscal year 2019-20:
Vendor Name Amount Department Description/Discussion
CORTECH
ENGINEERING
$74,729.00 Operations &
Maintenance
Purchase of Seepex Pump to Replace
Sludge Feed Pump 4 at Plant No. 2
Board Approved OEM Sole Source List
M.O. 12/14/16, Item 12 (B)
E&M ELECTRIC AND
MACHINERY INC.
$69,780.00 Information
Technology
Annual Renewal of Wonderware Historian
Licenses with Premium Level Support
11/16/19 to 11/15/20 Board Approved
OEM Sole Source List M.O. 12/14/16,
Item 12 (B)
EIDE BAILLY LLP $75,000.00 Administrative
Services
Internal Auditing Services 10/1/19 to
9/16/20 Specification No. CS-2019-1053
GIERLICH
MITCHELL INC
$63,645.90 Operations &
Maintenance
Purchase of Gear Reducer for
Emerson/Polychem Gearbox Board
Approved OEM Sole Source List M.O.
11/28/18, Item 15 (B)
HOWARD RIDLEY
CO
$56,274.00 Operations &
Maintenance
Repair Structural Deficiency of Walkway
Between Digesters F & G ant Plant No. 2
(MP-688) Specification No. S-2019-1098
PUMPACTION CORP
- SHG USA
$58,469.16 Operations &
Maintenance
Purchase of Putzmeister Pump Parts for
Plant No. 2 Board Approved OEM Sole
Source List M.O. 12/14/16, Item 12 (B)
RJ NOBLE
COMPANY
$58,160.00 Engineering Northwest Tustin Overlay OCSD Utility
Adjustment Sole Source Justification
2194 Reason: Unique Product/Service
used in connection with City’s contractor
VAUGHAN'S
INDUSTRIAL
REPAIR CO. INC
$52,017.50 Operations &
Maintenance
Repair Pump 1 at Plant No. 1 Primary
Effluent Pump Station (PEPS)
Specification No. S-2019-1097
Additionally,in accordance with Board purchasing policies,Ordinance No.OCSD-52,the GeneralOrange County Sanitation District Printed on 2/11/2020Page 2 of 3
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File #:2020-903 Agenda Date:2/19/2020 Agenda Item No:3.
Additionally,in accordance with Board purchasing policies,Ordinance No.OCSD-52,the General
Manager has authority to approve and execute maintenance and repair Services Task Orders
between $50,000 and $300,000.Below is a summary of General Manager approved maintenance
and repair Services Task Orders,in amounts exceeding $50,000,for the second quarter of fiscal year
2019-20:
Vendor Name Amount Department Description/Discussion
J R FILANC
CONSTRUCTION
$291,525.00 Operations &
Maintenance
Valve Replacement and Repairs on
Digesters G & S at Plant No. 2 (MP-690)
Specification No. TOB-2019-1106 of
Master Service Contract S-2018-942BD-4
CEQA
N/A
FINANCIAL CONSIDERATIONS
N/A
ATTACHMENT
The following attachment(s)may be viewed on-line at the OCSD website (www.ocsd.com)with the complete agenda
package:
N/A
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Orange County Sanitation District
ADMINISTRATION COMMITTEE
Agenda Report
Administration Building
10844 Ellis Avenue
Fountain Valley, CA 92708
(714) 593-7433
File #:2019-801 Agenda Date:2/19/2020 Agenda Item No:4.
FROM:James D. Herberg, General Manager
Originator: Lorenzo Tyner, Assistant General Manager
SUBJECT:
MID-YEAR CONSOLIDATED FINANCIAL REPORT FOR THE PERIOD ENDED DECEMBER 31,
2019
GENERAL MANAGER'S RECOMMENDATION
RECOMMENDATION: Recommend to the Board of Directors to:
Receive and file the Orange County Sanitation District Mid-Year Financial Report for the period
ended December 31, 2019.
BACKGROUND
Included in this consolidated report are the following mid-year financial reports for the period ended
December 31, 2019:
·Mid-Year Budget Review
The Budget Review Summary provides the Directors,staff,and general public with a
comprehensive overview of the mid-year financial results of the Orange County Sanitation
District (Sanitation District) for the period ended December 31, 2019.
·Mid-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 agenda report.The report also
contains information on the U.S.and global economic outlook from the Sanitation District’s
investment manager, Chandler Asset Management.
·Mid-Year Certificates of Participation (COP) Report
The report includes a summary of each outstanding debt issuance and a comparative chart
illustrating the COP rate history.
RELEVANT STANDARDS
·Quarterly financial reporting
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File #:2019-801 Agenda Date:2/19/2020 Agenda Item No:4.
ADDITIONAL INFORMATION
The mid-year treasurer’s report contained within the Consolidated Financial Reports for the period
ended December 31,2019 is being submitted in accordance with the Sanitation District’s investment
policy that requires the report be submitted to the governing body following the end of each quarter
and includes the following information:
·Performance results in comparison with the ICE BAML 3-month treasury bill index for the liquid
operating portfolio;and the ICE BAML Corp./Govt.1-5 Year Bond index for the long-term
portfolio as identified in the investment policy;and the time-weighted total rate of return for the
portfolio for the prior three months,six months,nine months,twelve months,and since
inception compared to the Benchmark returns for the same periods:
Portfolio Performance Summary
As of December 31, 2019
Liquid Operating Monies (%)Long-Term Operating Monies (%)
Total Rateof Return Benchmark Total Rateof Return Benchmark
3 Months 0.50 0.46 0.49 0.44
6 Months 1.09 1.02 1.37 1.27
9 Months 1.79 1.67 3.09 3.14
12 Months 2.43 2.28 4.65 4.61
Annualized Since Inception 30 Nov 2014 1.17 1.06 1.84 1.79
·A listing of individual securities held at the end of each reporting period (see the detailed
listings of each security contained within the report).
·Cost and market values of the portfolios:
Liquid Operating Long-Term
Cost $174.7 M $567.6 M
Market Value $175.6 M $579.9 M
·Modified duration of the portfolio compared to the Benchmark:
Liquid Operating Long-Term
District Policy < 0.50 < 5.00
Benchmark 0.16 2.53
Portfolio 0.21 2.41
·Dollar change in value of the portfolio for a one percent (1%) change in interest rates:
Liquid Operating - $362,012
Long- Term - $13,999,829
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File #:2019-801 Agenda Date:2/19/2020 Agenda Item No:4.
·None of the portfolios are currently invested in reverse repurchase agreements.
·The percent of the Liquid Operating Monies portfolio maturing within 90 days: 72.3%
·Average portfolio credit quality:
Liquid Operating - AA+/Aaa
Long- Term - AA/Aa1
·Percent of portfolio with credit ratings below “A”by any rating agency and a description of
such securities:
Liquid Operating - no exceptions
Long- Term - Percent of portfolio - 0.5%
Cost Maturity
Date
Moody S&P Fitch
SLMA 2008-9 A $12,711.16 4/25/2023 Baa3 B B
AMRESCO Residential Securities 1999-1 A $89,377.81 6/25/2029 NR A+BBB
Morgan Stanley Note $3,200,848.00 7/28/2021 A3 BBB+A
·All investments are in compliance with this policy and the California Government Code,except
for the following Lehman Brother holdings that the Sanitation District is pursuing collection
through the bankruptcy court:
Lehman Brothers Note-Defaulted $ 600,000 par value purchased 9/19/2008
Lehman Brothers Note-Defaulted $2,000,000 par value purchased 9/18/2008
·Sufficient funds are available for the Sanitation District to meet its operating expenditure
requirements for the next six months.
CEQA
N/A
FINANCIAL CONSIDERATIONS
N/A
ATTACHMENT
The following attachment(s)may be viewed on-line at the OCSD website (www.ocsd.com)with the complete agenda
package:
·Mid-Year Consolidated Financial Report for the period ended December 31, 2019
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ORANGE COUNTY SANITATION DISTRICT
Mid-Year
Financial Report
for the period ended December 31, 2019 Orange County, California
Table of Contents
Executive Summary………………………………………………………………………..…….………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
Quarterly COP Report…………………………………………………………………………………....1
FY 2019-20 Mid-Year Financial Report
This Page Intentionally Left Blank
Executive Summary
Page 1
Consolidated Financial Reports For the Mid-Year Ended
December 31, 2019 Included in this consolidated report are the following quarterly financial reports for the period ended December 31, 2019:
• Mid-Year 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 mid-year ended December 31, 2019.
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 December 31, 2019. The chart below provides for a summary of these activities.
Various detail information can be found in this report. Below is a descriptive
summary of these activities through December 31st:
a) Most major expense categories are anticipated to be at or below budget.
b) Total revenues are at 53.2 percent of the $465.7 million budget. Except for IRWD Intra District Sewer Use, Capital Assessments-IRWD, CIP Reimbursements, Grant Revenue, 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 3 through 5.
$247.9M $80.5M
$51.0M $24.2M
$1.2M
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Oper.
Rev
Oper Exp Capital
Outlays
Debt
Service
Self Ins
Outlays
Mid-Year Results
as a Percentage of Budget
FY 2019-20 Mid-Year Financial Report
Page 2
c) Collection, Treatment and Disposal Costs:
As indicated within the Consolidated Financial Reports Section of this report, the net operating requirements through the mid-year of $80.5 million is currently tracking at 47.8 percent of the $168.2 million budget. In addition, net operating expenses have increased $5.1 million or 6.7 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 3.
The total cost per million gallons is $2,334 based on flows of 187 million
gallons per day. This is $117 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 6 through 8.
d) The total projected capital outlay cash flow of the Capital Improvement
Program (CIP) for FY 2019-20 has been revised to $116.8 million, or 76.2
percent of the board approved cash outlay of $153.3 million. The actual cash outlay spending through the mid-year is $51.0 million, or 33.3 percent of the total budgeted outlay. More detailed information on the CIP budget review can be found in Section 3.
• Mid-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 49 basis points
outperformed the ICE BAML 1-5 Year US Corp/Govt Rated AAA-A Index return of
44 basis points, while the Liquid Operating Monies Portfolio quarterly return of 50 basis points outperformed the ICE BAML 3-Month US Treasury Bill Index return of 46 basis points.
Chandler further notes that they expect US economic growth to moderate in 2020
toward trend growth of about 1.8% compared to 2.3% in 2019. They believe the
impact of monetary policy on economic growth is somewhat lagged, and the more accommodative monetary policy stance of the Federal Reserve and other global central banks throughout 2019 should provide a tailwind for the economy in 2020. Though slow global growth continues to create a headwind for the US economy,
recent domestic economic data has been mostly in line with expectations and
consistent with modest growth. Most notably, the US labor market remains firm which should continue to support consumer spending trends as well as the housing market.
Executive Summary
Page 3
The Federal Open Market Committee (FOMC) kept the target fed funds rate unchanged in December in a range of 1.50%-1.75%. The vote to keep policy
unchanged was unanimous and the Fed's quarterly update on their Summary of
Economic Projections was little changed from the September 2019 forecast. Notably the Fed's forecast calls for no change to the fed funds rate in 2020. Chandler believes the hurdle rate to tighten policy remains high, as market-based measures of inflation are still too low. Conversely, if market-based inflation metrics
fail to improve, and/or the domestic or global economy experiences an exogenous
shock, Chandler believes the Fed has left the door open for additional policy accommodation. The Treasury yield curve steepened slightly in December. The 2-year Treasury
yield decreased about four basis points to 1.57%, the 5-year Treasury yield
increased almost seven basis points to 1.69%, and the 10-year Treasury yield increased about 14 basis points to 1.92%. Chandler believes the increase in longer-term yields were driven by more favorable developments with regard to global trade and Brexit.
Treasury yields declined meaningfully in 2019. At year-end, the 3-month T-bill yield was down 81 basis points, the 2-Year Treasury yield was down 92 basis points, and the 10-Year Treasury yield was down 77 basis points. Chandler believes the year-over-year decline in long-term Treasury yields largely reflects a
decline in global economic growth and inflation expectations, while the decline in
shorter-term rates is in line with the Fed's three 25 basis point rate cuts in 2019. Notably, the shape of the yield curve has normalized to some extent over the past few months and is now upward sloping, which Chandler believes reflects increased optimism about the domestic economic outlook.
The Consumer Price Index (CPI) was up 2.1% year-over-year in November, up from 1.8% in October. Core CPI (CPI less food and energy) was up 2.3% year-over-year in November, unchanged from October. The Personal Consumption Expenditures (PCE) index was up 1.5% year-over-year in November versus up
1.4% year-over-year in October. Core PCE, which is the Fed's primary inflation
gauge, was up 1.6% year-over-year in November versus 1.7% year-over-year in October. Core PCE softened and remains below the Fed’s 2.0% inflation target. Economic Outlook
Risk assets closed out the year in strong form with equity prices grinding higher over the quarter, investment grade credit spreads moving lower, and the US Treasury yield curve steepening moderately. Although geopolitical risks continue to influence markets and remain a constant element for investors to monitor, the downside risks to the global economic backdrop moderated in Q4. Most
significantly for investor sentiment the US/China trade impasse made incremental progress with the Phase 1 deal expected to be signed in mid-January. Although many long-term challenging issues remain to be resolved specific to US/China
FY 2019-20 Mid-Year Financial Report
Page 4
trade, the modest progress thus far, including some concessions by China on
intellectual property reform, helped to provide a positive catalyst for asset price performance. The protests in Hong Kong continue and remain in the news, however the lack of a draconian response by China has allowed the geopolitical risk in the region to remain contained. In the United Kingdom, Boris Johnson was
able to remain Prime Minister with a strong performance in the December election,
providing a mandate for the country to move forward with Brexit. Policymakers were also active domestically, with the Federal Reserve stepping in to address some of the acute liquidity pressures facing money markets at the end of Q3. Notably the Federal Reserve began to provide ample overnight and term liquidity
via the repo market, in addition to beginning to purchase T-Bills at regular intervals
to increase the size of the Fed’s balance sheet and add liquidity into the banking system. Although the Federal Reserve’s balance sheet is again expanding, the composition of the purchased assets is all in short maturity notes, distinguishing the policy move from earlier forms of quantitative easing where longer maturity
fixed income assets were added to the Fed’s balance sheet. Taking proactive
steps to ensure ample liquidity in the money markets is consistent with Chandler’s view policy makers will continue to be biased to support economic growth, particularly with inflation concerns benign.
In late October the Federal Reserve reduced the Fed Funds rate for the 3rd time in
2019 to a target range of 1.50% to 1.75% to further support the economic expansion. The Chandler team holds the view the front-end of the Treasury curve will continue to trade in a tight range centered around the Federal Reserve’s Federal Funds rate target of 1.50% to 1.75% and is not forecasting additional
easing of policy over an intermediate time horizon. Observed inflation metrics remain low, with the PCE Core inflation most recently coming in at 1.60% year-over-year. Market based measures of inflation also remain very low, with Ten Year Treasury Inflation Breakeven Spreads closing out the year at 1.79%, well below the market’s consensus of a “normal” range of 2.30% to 2.60%. The low levels of
inflation remain a conundrum for policy makers as the unemployment rate remains low at 3.5% and the three-month moving average of non-farm payrolls is strong at 184k. The US consumer remains on solid footing and will be enough to support trend GDP growth in 2020 despite the lingering headwinds in Chandler’s view. Until both observed and market-based measures of inflation start to move higher,
the Federal Reserve will remain biased to keep policy accommodative, which should also continue to support the performance of risk assets. The Treasury yield curve moderately steepened during Q4, with 10y Treasury yields moving higher by 25 basis points to close out the year at 1.92%. Assuming the economic expansion continues, longer term Treasury yields should continue to drift upwards. Given the
low level of rates currently, and the Chandler team’s view negative interest rates in Europe and Japan are largely a policy failure, the Federal Reserve will likely look to embrace alternative tools away from continuing to drop interest rates to support continued growth and higher inflation. The Chandler team is also expecting additional communication from the Federal Reserve on their strategic policy
review, with the 2% inflation target a likely area of focus.
Executive Summary
Page 5
• Mid-Year Certificates of Participation (COP) Report
The report includes a summary of each outstanding debt issuance and a
comparative chart illustrating the COP rate history.
FY 2019-20 Mid-Year Financial Report
Page 6
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Consolidated Financial Reports
Section 1 - Page 1
Mid-Year Financial Report December 31, 2019
Financial Management is pleased to present the FY 2019-20 mid-year financial report. This report provides a comprehensive overview of the financial condition of the Sanitation District and reports on the status of all capital projects in progress. A summary of the sections contained within this report is provided below.
Operating Budget Review: This section reports on collection, treatment and disposal
net operating requirements. At December 31, 2019, 47.8 percent, or $80.5 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 $5.1 million, or 6.7 percent, mainly due to an increase of $3.9 million in Repairs and Maintenance, $1.8 million in
Operating Materials and Supplies, $655,000 in Salaries and Benefits, $398,000 in
Research and Monitoring, $259,000 in Utilities, $256,000 in Administrative Expenses, $65,000 in Professional Services, and a decrease of $138,000 in indirect costs allocated out to capital projects, partially offset by a decrease of $1.3 million in Contractual Services, $899,000 in Other Non-Operating Expense, and $297,000 in
Other Operating Supplies. 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.
Significant operating results as of December 31, 2019 include the following:
• Salaries, Wages and Benefits – Personnel costs of $49.4 million are on target at 50.2 percent of budget through the mid-year of FY 2019-20. Although the budget is based on a 5 percent vacancy factor, staffing is 22 full-time equivalents (FTEs), or 3.4 percent below the total 640 FTEs approved in the FY 2019-20 budget. Salary
and benefit costs are $655,000 or 1.3 percent higher than the $48.7 million incurred in the same period last year, mainly due to an increase of $659,000 in 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 $1.1 million, or 54.1 percent of the $2.0 million budget through December 31. These costs are $256,000 or 30.4 percent higher at December 31 in comparison with the prior year,
mainly due to increases of $174,000 in purchases of small computer items including HP Elitebooks, $68,000 in minor furniture and fixtures for workstation installations, ergonomic chairs, and renovation of the Control Center breakroom, and $35,000 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.
FY 2019-20 Mid-Year Financial Report
Section 1 - Page 2
• Printing and Publication Expenses – Printing and Publication Expenses totaled $147,000 or 44.6 percent of the $330,000 budget through December 31. These
costs are $15,000 or 11.4 percent higher at December 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 $313,000 are below target at
28.2 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. These costs have increased over the same period last year by $3,000 or 1.0
percent. Total training and meeting costs are anticipated to be below budget at year-end.
• Operating Materials and Supplies – Operating materials and supplies of $9.7
million is on target at 46.0 percent of the $21.0 million budget through December 31. Operating Materials and Supplies are higher than the prior year by $1.8 million or 22.9 percent, primarily due to an increase in Chemical Coagulants of
$2.5 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 $699,000. Based on current processes, operating materials and supplies are anticipated to
approximate budget at year-end.
• Contractual Services – Contractual services is below target at $9.0 million or 41.0 percent of the $22.0 million budget through December 31. Contractual
Services is lower by $1.3 million or 12.2 percent over the same period last year. Solids Removal costs, budgeted at $13.4 million, comprise the majority of this expense category at $6.1 million, or 45.2 percent of budget at December 31. These
costs decreased by $1.7 million or 22.1 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
$314,000 for manhole rehabilitation, industrial cleaning, and digester assessment services, Oxygen of $47,000 for liquid oxygen and vaporization system maintenance used for the activated sludge system at Plant 2, Temporary Services of $44,000 as a
result of position vacancies in the current period, and Outside Lab Services of $41,000 for compliance and process monitoring. County Service Fees totaled only $15,000, or 2.9 percent of the $512,000 budget through the mid-year as the
preponderance of these fees are billed by the County in the fourth quarter. Total contractual services costs are anticipated to approximate budget at year-end.
• Professional Services – Professional services costs totaled $1.8 million or 32.8
percent of the $5.6 million budget through December 31. Professional service costs, such as Audit & Accounting, Engineering, Environmental Scientific Consulting, Advocacy Efforts, and Other Services, are proportionately low through December 31
due to a variety of factors such as timing of services and re-evaluation of needs for services. These costs are $65,000 or 3.7 percent higher at December 31 in comparison with the prior year, mainly due to increases of $75,000 in Software
Program Consulting and $30,000 in Labor Negotiation Services, offset by a
Consolidated Financial Reports
Section 1 - Page 3
decrease of $43,000 in Engineering 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 $786,000, or 71.5 percent of the $1.1 million budget through December 31. These costs are $398,000, or 102.3 percent higher at December 31 in comparison with the prior year, mainly due to increases of $250,000 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, $83,000 in Environmental Monitoring costs for ocean water quality analysis, and $64,000 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 $12.4 million, or 53.0 percent of the $23.5 million budget through December 31. These costs are $3.9 million, or 46.3 percent higher at December 31 in comparison with the prior year, mainly for repair and maintenance services such as for digester cleaning, mechanical rehabilitation and overhaul of primary clarifier tanks, and information technology software. It is anticipated that the costs for this category will approximate budget at year-end.
• Utilities – Utilities costs totaled $4.5 million, or 48.2 percent of the $9.3 million budget through December 31. These costs are $259,000, or 6.2 percent higher at December 31 in comparison with the prior year, primarily due to an increase of $187,000 for Water and $183,000 for Power due to the higher demand of these resources by the new biosolids dewatering centrifuges, partially offset by the decrease of $162,000 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.
• Other Operating Supplies – Other operating supplies costs totaled $1.3 million, or 42.3 percent of the $3.0 million budget through December 31. Property and General Liability Insurance, budgeted at $1.7 million, comprise the majority of this expense category at $860,000. These costs are $210,000, or 32.4 percent higher at December 31 in comparison with the prior year, primarily due to an increase in budgeted in-lieu premium charges to maintain recommended reserve balances. In addition, Regulatory Operating Fees decreased by $568,000, or 79.8 percent due to timing of payments for annual ocean discharge permit fees. It is anticipated that other operating supplies costs will approximate budget at year-end.
• Revenues – Service Fees and Property Taxes – Through December 31, revenues from service fees are at $166.9 million, or 56.0 percent of the $298.1 million budget and property taxes are at $47.6 million, or 49.4 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 $5.9 million, or 3.7 percent in service fee revenue over the prior period is due to the timing of receipts,
FY 2019-20 Mid-Year Financial Report
Section 1 - Page 4
accompanied by an increase in sewer service rates and a reduction in issued user fee rebates. The property tax revenue increase of $2.0 million, or 4.5 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 $6.3 million, or 63.8 percent of the $9.9 million budget. The revenues through the mid-year are higher than the same period last year by $3.8 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. The number of permittees fluctuates from year to year as businesses are established or close their operations. Permit user fees revenues are expected to approximate or exceed budget at year-end.
• Revenues – Inter District Sewer Use – SAWPA and SBSD – Inter District Sewer revenues - SAWPA and SBSD are at $1.4 million, or 50.9 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 mid-year are higher than the same period last year by $92,000, or 7.3 percent due to an increase in flows received from these agencies and a resulting increase in operation and maintenance charges. These revenues are expected to approximate budget at year-end.
• Revenues – Intra District Sewer Use – IRWD – Intra District Sewer revenues - IRWD are at $585,000, or 8.5 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 mid-year are higher than the same period last year by $116,000 or 24.7 percent, mainly due to a decrease of $240,000 in interest income allocated to IRWD based on lower cash reserves, offset by an increase of $101,000 in property tax income and a decrease of $23,000 in operating and maintenance charges to IRWD. These revenues are expected to be below budget at year-end.
• Revenues - Sludge Disposal – IRWD – Sludge Disposal fees - IRWD are at $4.5 million, or 83.1 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 mid-year are higher than the same period last year by $503,000, or 12.6 percent, mainly due to increased 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 $1.5 million, or 28.5 percent of the $5.4 million budget. The revenues through the mid-year are lower than the same period last year by $588,000 or 27.6 percent,
Consolidated Financial Reports
Section 1 - Page 5
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 $7.6 million, or 42.4 percent of the $18.0 million budget. The revenues through the mid-year are lower than the same period last year by $1.6 million, or 17.3 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, partially offset by an increase in connection fees collected from cities and supplemental capital facilities capacity charges to industrial users. These revenues are expected to be below the budget at year-end.
• Revenues – Interest Earnings – Interest Earnings are at $9.2 million, or 138.8 percent of the $6.6 million budget. The revenues through the mid-year are lower than the same period last year by $242,000, or 2.6 percent due to lower 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 $662,000, or 11.1 percent of the $6.0 million budget. This revenue is $643,000, or 3443.5 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 P2-122 Headworks Modifications at Plant 2 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.
• Revenues – Wastehauler – Wastehauler revenues are at $502,000, or 67.0 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 mid-year are higher than the same period last year by
$169,000, or 50.9 percent due to an increase in waste dumping. These revenues are expected to approximate or exceed budget at year-end.
• Revenues – CNG Sales – CNG Sales revenues are at $134,000, or 33.4 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
mid-year are lower than the same period last year by $41,000, or 23.5 percent. These revenues are expected to be below budget at year-end.
• Revenues – Rents & Leases – Rents & Leases revenues are at $374,000, or 16.5 percent of the $2.3 million budget. The revenues through the mid-year are lower than the same period last year by $566,000, or 60.2 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.
FY 2019-20 Mid-Year Financial Report
Section 1 - Page 6
Comparison of Mid-Year Cost per Million Gallon Results with Budget Last Five Years
As demonstrated in the preceding graph for each of the last four fiscal years, the cost per million gallons at the end of the mid-year has been between 3.5 percent higher to 8.2 percent lower than the annual budget. The FY 2019-20 mid-year cost per million gallons of $2,334 is 4.8 percent lower when compared with this year’s budget. The
increase in cost per million gallons of $118 from the previous year is primarily due to an
increase in operating expenses, which are 6.7 percent higher than the same period last year, offset by an increase in flows, which are 1.3 percent higher than the same period last year. Staff believes that overall operating costs will be below budget at year-end.
The total cost per million gallons at December 31 is $2,334 based on flows of 187
million gallons per day. This is $117 per million gallons, or 4.8 percent lower than the
budgeted cost per million gallons of $2,451. There is an inverse relationship between the amount of flows and the cost per unit of collection, treatment, and disposal. Consequently, the lower cost per million gallons is due to net expenses being 4.3 percent less than the proportionate budget through December 31, partially offset by
flows of 187 million gallons per day being 0.3 percent less than the budgeted flow of
188 million gallons per day.
More detailed information on operating revenues, costs, and related information is provided within Section 2.
Consolidated Financial Reports
Section 1 - Page 7
Following are data tables showing the last five years of Single Family Residential User Fees (SFR) and the cost per MG to collect, treat, and dispose of wastewater for OCSD and for similar agencies. The agencies used in the table were determined to be those
that most closely resembled OCSD in terms of services provided and treatment levels.
The summaries demonstrate that OCSD’s SFR and cost per million gallons are each one of the lowest in their respective group.
2015 2016 2017 2018 2019
Agency SFR SFR SFR SFR SFR Notes
San Francisco 784$ 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.
Benchmark Study
Five-Year Single Family Residential Rate
Rates as of July
FY 2019-20 Mid-Year Financial Report
Section 1 - Page 8
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$
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
San Francisco B 3 5,358$ 5,268$ 4,916$ 5,295$ N/A
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.
(3) - Operating expense decreased $1.1 million.
N/A - Not currently available.
Benchmark Study
Five-Year Cost per MG
(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
(2) - 2017 Influent flow has not been reduced by the amount of sludge discharged to the sewers from DCTWRP
and LAGWRP.
Consolidated Financial Reports
Section 1 - Page 9
Capital Outlay Review:
As depicted by the preceding chart, Capital Outlays totaled $51.0 million or 33.3 percent of the capital outlay cash flow budget for FY 2019-20 as of December 31,
2019. Costs are proportionately low through the mid-year as some projects are still in
the design phase or have experienced various delays or deferrals. Examples as of December 31 are Ocean Outfall System Rehabilitation, which has a budget of $26.9 million but actual costs of $8.5 million, Newhope-Placentia Trunk Replacement, which has a budget of $22.7 million but actual costs of $6.7 million, Headquarters Complex
and Site Security at Plant 1, which has a budget of $9.8 million but actual costs of $2.4
million, and Rehabilitation of Western Regional Sewers, which has a budget of $9.6 million but actual costs of $950,000. Overall, the capital outlay costs of the capital improvement program are expected to approximate $116.8 million, or 76.2 percent of the capital outlay cash flow budget at year-end.
More detailed information on the capital improvement program is provided within
Section 3.
Capital Assets Schedule and Debt Service Budget Review: Section 4 is the Capital Assets Schedule and Debt Service Section. This section shows the cost value of the Sanitation District’s capital facilities at December 31, 2019, 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 December 31, 2019, no principal payments have been made through the end of the mid-year. Total principal payments are expected to
FY 2019-20 Mid-Year Financial Report
Section 1 - Page 10
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
December 31, the Self-Insurance Fund revenues totaled $1.3 million, or 51.5 percent of
the budget, while expenses were $1.2 million, or 46.7 percent of the budget.
Separate fund accounting is used for recording the revenue and expenses incurred in managing these liability claims. The revenues to these funds represent charges to operating divisions. Expenses to these funds include actual claims paid, claims
administration, and excess loss policies.
Operating Budget Review
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Collection, Treatment, & Disposal Expenses by Major CategoryBudget and Actual (in thousands)December 31, 2019
Budget Actual
Section 2 - Page 1
Divisional Contributions to Cost Per Million GallonsFor the Six Months Ended December 31, 2019
2019-2012/31/17 12/31/18 Annual 12/31/19
Actual Actual Budget Actual
Flow in Million Gallons 34,284.89 34,032.65 68,620.00 34,481.22
Flow in Million Gallons per Day 186.33 184.96 188.00 187.40
Executive Management Department
General Management Administration 37.11$ 28.16$ 46.24$ 32.42$
Board Services 9.27 11.18 10.11 9.24 Public Affairs 14.81 14.62 16.84 16.70
Subtotal 61.19 53.96 73.19 58.36
Human Resources Department
Human Resources 53.80 59.44 72.68 61.43
Risk Management / Safety / Security 83.75 71.06 84.31 79.97
Subtotal 137.55 130.50 156.99 141.40
Administrative Services Department
Administrative Services 7.24 6.92 2.63 9.03
Financial Management 53.97 36.45 50.17 40.85
Contracts, Purchasing, & Materials Mgmt.65.85 94.04 72.38 61.12
Information Technology 159.00 179.28 177.20 204.08
Subtotal 286.06 316.69 302.38 315.08
Environmental Services Department
Environmental Services Administration 12.57 13.10 9.03 19.61 Resource Protection 81.58 88.03 83.86 81.27
Laboratory, Monitoring and Compliance 152.00 174.85 166.03 167.18
Subtotal 246.15 275.98 258.92 268.06
Engineering Department
Engineering Administration 7.49 8.35 10.99 15.27
Planning 47.21 53.25 78.91 52.69
Project Management Office 37.41 44.65 73.15 69.03
Design 122.86 128.17 110.52 108.70
Construction Management 69.63 78.35 82.63 94.69
Subtotal 284.60 312.77 356.20 340.38
Operations & Maintenance Department
Operations & Maintenance Administration 8.39 8.69 11.73 3.97
Collections Facilities O & M 191.55 185.53 194.83 162.97
Fleet Services 27.35 29.99 27.40 27.31
Plant No. 1 Operations 376.33 392.67 459.68 448.06
Plant No. 2 Operations 286.06 304.12 276.73 259.52
Plant No. 1 Maintenance 229.93 193.49 369.47 314.30
Maintenance Reliability and Planning 102.02 93.02 - -
Plant No. 2 Maintenance 183.14 216.89 260.88 285.03
Subtotal 1,404.77 1,424.40 1,600.72 1,501.16
Total Operating Expenses 2,420.32 2,514.30 2,748.40 2,624.44
Cost Allocation (295.56) (298.74) (297.40) (290.83)
Net Operating Requirements 2,124.76$ 2,215.56$ 2,451.00$ 2,333.61$
FY 2019-20 Mid-Year Financial Report
Section 2 - Page 2
Comparison of Expenses by Department
For the Six Months Ended December 31, 2019
2019-20
12/31/17 12/31/18 Year to Date Budget %
Department and Division Actual Actual Budget 12/31/19 Realized
Executive Management Department
General Management Administration 1,272,284$ 958,205$ 3,172,680$ 1,117,989$ 35.24%
Board Services 317,936 380,550 693,980 318,659 45.92%
Public Affairs 507,736 497,665 1,155,600 575,927 49.84%
Subtotal 2,097,956 1,836,420 5,022,260 2,012,575 40.07%
Human Resources Department
Human Resources 1,844,414 2,022,731 4,987,200 2,118,082 42.47%
Risk Management / Safety / Security 2,871,454 2,418,359 5,785,360 2,757,525 47.66%
Subtotal 4,715,868 4,441,090 10,772,560 4,875,607 45.26%
Administrative Services Department
Administrative Services 248,261 235,612 180,710 311,306 172.27%
Financial Management 1,850,402 1,240,322 3,442,410 1,408,491 40.92%
Contracts, Purchasing, & Materials Mgmt.2,257,532 3,200,484 4,966,960 2,107,389 42.43%
Information Technology 5,451,430 6,101,429 12,159,200 7,037,087 57.87%
Subtotal 9,807,625 10,777,847 20,749,280 10,864,273 52.36%
Environmental Services Department
Environmental Services Administration 430,902 445,932 619,510 676,272 109.16%
Resource Protection 2,796,905 2,995,873 5,754,790 2,802,305 48.70%
Laboratory, Monitoring and Compliance 5,211,394 5,950,505 11,393,290 5,764,716 50.60%
Subtotal 8,439,201 9,392,310 17,767,590 9,243,293 52.02%
Engineering Department
Engineering Administration 256,820 284,155 753,920 526,555 69.84%
Planning 1,618,508 1,812,174 5,414,675 1,816,775 33.55%
Project Management Office 1,282,645 1,519,557 5,019,310 2,380,242 47.42%
Design 4,212,371 4,361,898 7,583,810 3,747,941 49.42%
Construction Management 2,387,126 2,666,322 5,670,320 3,264,991 57.58%
Subtotal 9,757,470 10,644,106 24,442,035 11,736,504 48.02%
Operations & Maintenance Department
Operations & Maintenance Administration 287,746 295,795 804,870 136,893 17.01%
Collections Facilities O & M 6,567,237 6,313,957 13,369,492 5,619,439 42.03%
Fleet Services 937,697 1,020,570 1,880,480 941,739 50.08%
Plant No. 1 Operations 12,902,313 13,363,543 31,542,920 15,449,718 48.98%
Plant No. 2 Operations 9,807,555 10,350,051 18,989,328 8,948,614 47.12%
Plant No. 1 Maintenance 7,883,274 6,584,980 25,352,831 10,837,403 42.75%
Maintenance Reliability and Planning 3,497,816 3,165,726 - - 0.00%
Plant No. 2 Maintenance 6,278,849 7,381,359 17,901,451 9,828,144 54.90%
Subtotal 48,162,487 48,475,981 109,841,372 51,761,950 47.12%
Total Operating Expenses 82,980,607 85,567,754 188,595,097 90,494,202 47.98%
Cost Allocation (10,133,335) (10,166,490) (20,378,610) (10,028,374) 49.21%
Net Operating Requirements 72,847,272$ 75,401,264$ 168,216,487$ 80,465,828$ 47.83%
Operating Budget Review
Section 2 - Page 3
Summary of Collection, Treatment, & Disposal Expenses by Major Category
For the Six Months Ended December 31, 2019
Expense Expense Increase Increase Percent
Budget Through Through (Decrease)(Decrease)Budget Remaining
2019-20 12/31/19 12/31/18 $%Realized Budget
Salary & Wages 74,364,500$ 37,684,874 37,026,006 658,868$ 1.78%50.68%36,679,626$
Employee Benefits 24,069,740 11,716,372 11,719,773 (3,401) -0.03%48.68%12,353,368
Administrative Expenses 2,027,930 1,097,299 841,702 255,597 30.37%54.11%930,631
Printing & Publication 329,970 147,174 132,166 15,008 11.36%44.60%182,796
Training & Meetings 1,109,740 312,555 309,481 3,074 0.99%28.16%797,185
Operating Materials & Supplies 21,008,781 9,654,809 7,861,299 1,793,510 22.81%45.96%11,353,972
Contractual Services 22,033,974 9,022,335 10,279,554 (1,257,219) -12.23%40.95%13,011,639
Professional Services 5,586,170 1,832,795 1,767,374 65,421 3.70%32.81%3,753,375
Research & Monitoring 1,099,600 786,047 388,535 397,512 102.31%71.48%313,553
Repairs & Maintenance 23,469,642 12,434,595 8,499,076 3,935,519 46.31%52.98%11,035,047
Utilities 9,250,310 4,453,822 4,195,171 258,651 6.17%48.15%4,796,488
Other Materials, Supplies,
and Services 4,244,740 1,351,525 2,547,617 (1,196,092) -46.95%31.84%2,893,215
Net Cost Allocation (20,378,610) (10,028,374) (10,166,490) 138,116 -1.36%49.21%(10,350,236)
Net Operating Requirements 168,216,487 80,465,828 75,401,264 5,064,564 6.72%47.83%87,750,659
Gallonage Flow (MG)68,620.00 34,481.22 34,032.65 448.57 1.32%
Gallonage Flow (MGD)188.00 187.40 184.96 2.44 1.32%
Gallonage Flow ($'s /MG)$2,451.00 $2,333.61 $2,215.56 $118.05 5.33%
Description
FY 2019-20 Mid-Year Financial Report
Section 2 - Page 4
Revenue Percent Revenue Increase Increase
Budget Through Budget Remaining Through (Decrease)(Decrease)
Description 2019-20 12/31/19 Realized Budget 12/31/18 $%
Service Fees 298,144,000$ 166,912,638$ 55.98%131,231,362$ 160,999,508$ 5,913,130$ 3.67%
Permit Fees 9,917,000 6,329,653 63.83%3,587,347 2,504,500 3,825,153 152.73%
Inter District Sewer Use-SAWPA & SBSD 2,654,000 1,351,132 50.91%1,302,868 1,259,379 91,753 7.29%
Intra District Sewer Use-IRWD 6,861,560 584,513 8.52%6,277,047 468,659 115,854 24.72%
Sludge Disposal-IRWD 5,400,000 4,488,298 83.12%911,702 3,985,272 503,026 12.62%
Capital Assessments-IRWD 5,397,000 1,540,161 28.54%3,856,839 2,128,586 (588,425) -27.64%
Capital Facilities Capacity Charges 18,000,000 7,634,042 42.41%10,365,958 9,232,609 (1,598,567) -17.31%
Debt Proceeds - - N/A - 110,302,416 (110,302,416) -100.00%
Property Taxes 96,354,000 47,582,816 49.38%48,771,184 45,534,460 2,048,356 4.50%
Interest Earnings 6,602,000 9,162,650 138.79%(2,560,650) 9,404,761 (242,111) -2.57%
CIP Reimbursements 5,987,869 661,814 11.05%5,326,055 18,677 643,137 3443.47%
Wastehauler 750,000 502,155 66.95%247,845 332,756 169,399 50.91%
Grant Revenue 464,000 50,651 10.92%413,349 - 50,651 100.00%
CNG Sales 400,000 133,607 33.40%266,393 174,586 (40,979) -23.47%
Rents & Leases 2,260,100 373,785 16.54%1,886,315 939,408 (565,623) -60.21%
Other Revenues 6,413,529 465,378 7.26%5,948,151 244,816 220,562 90.09%
Power Sales 25,000 46,869 187.48%(21,869) 18,442 28,427 154.14%
Other Sales 50,000 106,216 212.43%(56,216) 62,675 43,541 69.47%
Total Revenues 465,680,058$ 247,926,378$ 53.24%217,753,680$ 347,611,510$ (99,685,132)$ -28.68%
Summary of Revenues
For the Six Months Ended December 31, 2019
Operating Budget Review
Section 2 - Page 5
FY 2019-20 Mid-Year Financial Report
Summary of Collection, Treatment, & Disposal Expenses by Line Item
For the Six Months Ended December 31, 2019
Expense Percent Expense Increase
Budget Through Budget Remaining Through (Decrease)
Description 2019-20 12/31/19 Expensed Budget 12/31/18 $
Salaries, Wages & Benefits
Salaries & Wages 74,364,500$ 37,684,874$ 50.68% 36,679,626$ 37,026,006$ 658,868$ 1.78%
Employee Benefits
Retirement 11,478,840 5,858,404 51.04% 5,620,436 5,677,823 180,581 3.18%
Group Insurances 11,006,200 5,024,730 45.65% 5,981,470 5,323,789 (299,059) -5.62%Tuition & Certification Reimb 98,100 40,172 40.95% 57,928 48,104 (7,932) -16.49%
Edu. degrees, Cert. & Lic.470,300 297,322 63.22%172,978 247,557 49,765 20.10%
Uniform Rental 140,800 53,849 38.25% 86,951 70,354 (16,505) -23.46%
Workers' Compensation 780,000 390,002 50.00% 389,998 293,300 96,702 32.97%
Unemployment Insurance 3,200 1,125 35.16% 2,075 1,607 (482) -29.99%
EMT Supplemental Benefits 92,300 50,768 55.00%41,532 57,239 (6,471) -11.31%
Total Benefits 24,069,740 11,716,372 48.68% 12,353,368 11,719,773 (3,401) -0.03%
Salaries, Wages & Benefits 98,434,240 49,401,246 50.19%49,032,994 48,745,779 655,467 1.34%
Matl, Supply, & Services
Administrative ExpensesMemberships 639,660 392,624 61.38% 247,036 421,247 (28,623) -6.79%
Office Exp - Supplies 71,330 36,305 50.90% 35,025 21,594 14,711 68.13%
Postage 43,330 14,654 33.82% 28,676 19,553 (4,899) -25.05%
Books & Publications 62,340 45,228 72.55% 17,112 10,691 34,537 323.05%
Forms 970 - 0.00% 970 1,245 (1,245) -100.00%
Small Computer Items 900,300 505,034 56.10% 395,266 331,490 173,544 52.35%
Minor Furniture & Fixtures 310,000 103,454 33.37% 206,546 35,882 67,572 188.32%
Subtotal 2,027,930 1,097,299 54.11%930,631 841,702 255,597 30.37%
Printing & Publication
Repro-In-House 200,790 112,344 55.95% 88,446 104,944 7,400 7.05%
Printing-Outside 66,480 16,557 24.91% 49,923 11,673 4,884 41.84%
Notices & Ads 62,650 18,231 29.10% 44,419 15,538 2,693 17.33%
Photo Processing 50 42 84.00% 8 11 31 281.82%
Subtotal 329,970 147,174 44.60%182,796 132,166 15,008 11.36%
Training & Meetings
Meetings 170,850 53,454 31.29% 117,396 43,948 9,506 21.63%
Training 938,890 259,101 27.60% 679,789 265,533 (6,432) -2.42%
Subtotal 1,109,740 312,555 28.16%797,185 309,481 3,074 0.99%
Operating Mat'ls & Supplies
Chemical Coagulants 10,364,188 5,268,168 50.83% 5,096,020 2,808,386 2,459,782 87.59%
Odor Control 7,415,288 2,834,913 38.23%4,580,375 3,534,314 (699,401) -19.79%
Disinfection 233,000 86,014 36.92%146,986 98,435 (12,421) -12.62%
Chemicals - Misc & Cogen 331,070 173,041 52.27% 158,029 145,371 27,670 19.03%
Gasoline, Diesel & Oil 563,460 251,180 44.58% 312,280 298,809 (47,629) -15.94%
Tools 469,135 245,492 52.33% 223,643 210,312 35,180 16.73%Safety equipment/tools 624,500 306,576 49.09% 317,924 273,528 33,048 12.08%
Solv, Paints & Jan. Supplies 100,000 57,792 57.79% 42,208 49,416 8,376 16.95%
Lab Chemicals & Supplies 639,570 331,073 51.76% 308,497 306,804 24,269 7.91%
Other Operating Supplies 176,880 62,360 35.26% 114,520 80,103 (17,743) -22.15%
Property Tax Fees 91,690 38,200 41.66% 53,490 55,821 (17,621) -31.57%
Subtotal 21,008,781 9,654,809 45.96%11,353,972 7,861,299 1,793,510 22.81%
Contractual Services
Solids Removal 13,403,700 6,058,861 45.20% 7,344,839 7,777,376 (1,718,515) -22.10%
Other Waste Disposal 840,900 394,020 46.86% 446,880 391,309 2,711 0.69%
Groundskeeping 193,000 93,768 48.58% 99,232 82,351 11,417 13.86%
Janitorial 444,360 239,052 53.80% 205,308 218,280 20,772 9.52%
Outside Lab Services 260,000 100,998 38.85% 159,002 60,303 40,695 67.48%
Oxygen 306,000 200,689 65.58% 105,311 153,813 46,876 30.48%County Service Fee 512,410 14,580 2.85% 497,830 28,398 (13,818) -48.66%
Temporary Services 810,000 151,407 18.69% 658,593 107,643 43,764 40.66%
Security Services 1,608,000 803,965 50.00% 804,035 808,682 (4,717) -0.58%
Other 3,655,604 964,995 26.40% 2,690,609 651,399 313,596 48.14%
Subtotal 22,033,974 9,022,335 40.95%13,011,639 10,279,554 (1,257,219) -12.23%
Increase
(Decrease)
%
Section 2 - Page 6
(Continued)
Operating Budget Review
Summary of Expenses by Line Item
For the Six Months Ended December 31, 2019
Expense Expense Increase Increase
Budget Through Remaining Through (Decrease)(Decrease)
Description 2019-20 12/31/19 Expensed Budget 12/31/18 $%
Continued:
Professional Services
Legal 1,565,820 677,813 43.29% 888,007 662,411 15,402 2.33%Audit & Accounting 241,110 75,165 31.17% 165,945 76,745 (1,580) -2.06%
Engineering 1,361,000 368,296 27.06% 992,704 411,793 (43,497) -10.56%
Enviro Scientific Consulting 200,000 30,990 15.50% 169,010 20,000 10,990 54.95%
Software Prgm Consulting 376,000 195,419 51.97% 180,581 120,340 75,079 62.39%
Advocacy Efforts 179,400 57,800 32.22% 121,600 77,232 (19,432) -25.16%
Industrial Hygiene Services 50,000 26,102 52.20% 23,898 19,734 6,368 32.27%
Labor Negotiation Services 80,000 30,080 37.60% 49,920 - 30,080 N/A
Other 1,532,840 371,130 24.21% 1,161,710 379,119 (7,989) -2.11%
Subtotal 5,586,170 1,832,795 32.81%3,753,375 1,767,374 65,421 3.70%
Research & Monitoring
Environmental Monitoring 549,600 235,559 42.86% 314,041 152,303 83,256 54.66%
Air Quality Monitoring 100,000 75,488 75.49% 24,512 11,232 64,256 572.08%
Research 450,000 475,000 105.56% (25,000) 225,000 250,000 111.11%
Subtotal 1,099,600 786,047 71.48%313,553 388,535 397,512 102.31%
Repairs & Maintenance
Materials & Services 19,774,364 9,612,456 48.61% 10,161,908 6,582,740 3,029,716 46.03%
Svc. Mtc. Agreements 3,695,278 2,822,139 76.37% 873,139 1,916,336 905,803 47.27%
Subtotal 23,469,642 12,434,595 52.98%11,035,047 8,499,076 3,935,519 46.31%
Utilities
Telephone 501,100 268,534 53.59% 232,566 219,704 48,830 22.23%
Diesel For Generators 17,000 10,144 59.67% 6,856 9,469 675 7.13%
Natural Gas 722,140 372,939 51.64% 349,201 534,515 (161,576) -30.23%
Power 7,237,990 3,260,260 45.04% 3,977,730 3,076,765 183,495 5.96%
Water 772,080 541,945 70.19% 230,135 354,718 187,227 52.78%
Subtotal 9,250,310 4,453,822 48.15%4,796,488 4,195,171 258,651 6.17%
Other Operating Supplies
Outside Equip Rental 122,000 42,801 35.08% 79,199 16,024 26,777 167.11%
Insurance Premiums 37,800 28,501 75.40% 9,299 27,302 1,199 4.39%
Prop & Gen Liab Insurance 1,720,000 859,998 50.00% 860,002 649,650 210,348 32.38%
Freight 87,050 53,782 61.78% 33,268 37,998 15,784 41.54%
Misc. Operating Expense 249,460 132,570 53.14% 116,890 115,713 16,857 14.57%
Regulatory Operating Fees 769,000 143,666 18.68% 625,334 711,994 (568,328) -79.82%
Subtotal 2,985,310 1,261,318 42.25%1,723,992 1,558,681 (297,363) -19.08%
General Mgr Contingency
& Reappropriations 1,133,800 - 0.00% 1,133,800 - - N/A
Other Non-Oper Expense 125,630 90,207 71.80% 35,423 988,936 (898,729) -90.88%
Total Materials,
Supplies & Services 90,160,857 41,092,956 45.58% 49,067,901 36,821,975 4,270,981 11.60%
Total Expenditures 188,595,097 90,494,202 47.98%98,100,895 85,567,754 4,926,448 5.76%
Cost Allocation (20,378,610) (10,028,374) 49.21% (10,350,236) (10,166,490) 138,116 -1.36%
Net Operating Requirements 168,216,487$ 80,465,828$ 47.83% 87,750,659$ 75,401,264$ 5,064,564$ 6.72%
Percent
Budget
Section 2 - Page 7
FY 2019-20 Mid-Year Financial Report
Summary of Collection, Treatment, & Disposal Expenses by Process
For the Six Months Ended December 31, 2019
Increase Increase
Actual Actual (Decrease)(Decrease)
12/31/19 12/31/18 $%
Process:
Preliminary Treatment 3,387,645$ 3,656,914$ (269,269)$ -7.36%
Primary Treatment 10,676,160 6,256,818 4,419,342 70.63%
Secondary Treatment 6,024,345 4,382,522 1,641,823 37.46%
Cryogenic Plant (Plant 2)444,696 325,917 118,779 36.44%
Effluent Disposal 674,408 451,190 223,218 49.47%
Solids Handling 23,835,292 24,160,130 (324,838) -1.34%
Cogeneration 9,057,895 8,247,706 810,189 9.82%
Utilities 1,993,360 1,523,956 469,404 30.80%
Electrical Distribution 949,665 875,039 74,626 8.53%
Miscellaneous Buildings 5,074,797 4,635,917 438,880 9.47%
External Location 147,050 164,598 (17,548) -10.66%
Nerissa Vessel 122,668 126,417 (3,749) -2.97%
Laboratory 8,617,374 9,118,072 (500,698) -5.49%
Collections 9,460,473 11,476,068 (2,015,595) -17.56%
Net Operating Requirements 80,465,828$ 75,401,264$ 5,064,564$ 6.72%
Section 2 - Page 8
Staffing Trends
Full Time Equivalents
December 31, 2019
At December 31, 2019, the total head count was 635 employees, or a full time equivalency of 618.
Operating Budget Review
450
500
550
600
650
700
6/30/16 6/30/17 6/30/18 6/30/19 12/31/19
572 578 603 614 618
52 49
32 22 22
Actual Vacant
624 627 635 636 640
Section 2 - Page 9
FY 2019-20 Mid-Year Financial Report
This Page Intentionally Left Blank
Section 2 - Page 10
Capital Improvement ProgramBy Type and Funding SourceFor the Six Months Ended December 31, 2019
CIP Budget Review
Total Capital Improvement Outlays -$51,034,876
Rehabilitation and Replacement: 52%
Strategic Initiatives: 26%
Additional Capacity: 12%
Regulatory: 10%
Total Capital Improvement Outlays -$51,034,876
Collections Facilities: 19.0%
Liquid Treatment: 37.5%
Solids Handling & Digestion: 12.1%
Utility Systems: 6.0%
Support Facilities: 11.7%
Other: 13.7%
Section 3 - Page 1
Summary of Capital Improvement Construction Requirements - Current Year
For the Six Months Ended December 31, 2019
2019-20 2019-20 2019-20
Cashflow Actual at Projected
Budget 12/31/2019 Outlay
Collection System Improvement Projects
Collections FacilitiesTaft Branch Improvements 105,676 - 50,000
Newhope - Placentia Trunk Grade Separation Replacement 71,875 684 325,900
Newhope-Placentia Trunk Replacement 22,653,359 6,694,278 15,286,200
Westminster Blvd Force Main Replacement 2,534,429 315,998 2,430,900
Rehabilitation of Western Regional Sewers 9,563,225 949,885 1,990,900
Interstate 405 Widening Project Impacts on OCSD Sewers 107,640 16,456 24,000
Seal Beach Pump Station Replacement 578,588 81,829 761,900
Newport Force Main Rehabilitation - 6,470 6,500
Bay Bridge Pump Station Replacement 1,039,692 80,186 446,500
Newport Beach Pump Station Odor Control Improvements 148,187 36,525 58,600
District 6 Trunk Sewer Relief 465,049 47,008 80,900
Gisler - Red Hill Trunk Improvements - Reach B - 1,997 2,000
Gisler - Red Hill Interceptor Rehabilitation 211,211 16,032 73,200
Main Street Pump Replacement & Force Main Rehabilitation 493,458 30,309 104,400
Small Construction Projects Program - Collections 1,943,710 280,941 1,120,700
Operations & Maintenance Capital Program - Collections 538,207 85,049 563,700
Planning Studies Program - Collections 571,568 98,376 465,400
SARI Rock Stabilizers Removal 4,065,703 919,820 2,728,200
Sunflower and Red-Hill Interceptor Repair 390,189 37,846 217,900
Additional Charges to CIP Closed at 6/30/19 - (8,400) (8,400)
Subtotal - Collections Facilities 45,515,705 9,691,289 26,729,400
Revenue Area 14
Newport Force Main Rehabilitation (2.18%)- 144 200
Subtotal - Revenue Area 14 - 144 200
Total Collection System Improvement Projects 45,515,705 9,691,433 26,729,600
FY 2019-20 Mid-Year Financial Report
Section 3 - Page 2
(Continued)
Summary of Capital Improvement Construction Requirements - Current Year
For the Six Months Ended December 31, 2019
2019-20 2019-20 2019-20
Cashflow Actual at Projected
Budget 12/31/2019 Outlay
Treatment & Disposal Projects
Headworks
Headworks Rehabilitation and Expansion at Plant 1 7,870,442 4,065,812 7,365,900
Headworks Modifications at P2 for GWRS Final Expansion 4,159,614 1,390,057 3,017,300
Subtotal - Headworks 12,030,056 5,455,869 10,383,200
Primary Treatment
Primary Clarifier Reliability Improvements at Plant No. 1 480,336 82,170 301,200
Primary Treatment Rehabilitation at Plant 2 9,186,737 4,796,913 10,130,700 Subtotal - Primary Treatment 9,667,073 4,879,083 10,431,900
Secondary Treatment
Return Activated Sludge Piping Replacement at Plant 1 2,803,867 117,961 1,953,500
Activated Sludge Aeration Basin Deck Repair at Plant 2 14,671 3,136 3,200
Return Activated Sludge Piping Replacement at Plant 2 3,234,395 128,066 824,500
Subtotal - Secondary Treatment 6,052,933 249,163 2,781,200
Solids Handling & Digestion
Sludge Dewatering and Odor Control at Plant 1 6,781,194 3,412,943 4,283,200
Digester Ferric Chloride Piping Replacement at Plant No. 1 68,898 15,857 98,900
Plant No. 2 Digester Facilities Rehabilitation 2,770,904 1,789 -
Sludge Dewatering and Odor Control at Plant 2 5,998,220 2,286,191 5,286,200
Interim Food Waste Receiving Facility 641,684 220,784 611,700
TPAD Digester Facility at P2 874,204 225,738 502,900
Subtotal - Solids Handling & Digestion 17,135,104 6,163,302 10,782,900
Ocean Outfall Systems
Ocean Outfall System Rehabilitation 26,862,720 8,546,411 18,046,500
Subtotal - Ocean Outfall Systems 26,862,720 8,546,411 18,046,500
Utility Systems
Digester Gas Facilities Rehabilitation 3,957,325 723,209 2,729,100
Natural Gas Pipelines Replacement at Plants 1 and 2 283,122 151,977 194,000
Electrical Power Distribution System Improvements 851,397 72,007 318,100
Uninterruptable Power Supply Improvements at Plant 1 270,355 19,822 164,900
Consolidated Demolition and Utility Improvements at P2 3,545,396 2,091,377 4,027,400
Substation Replacement at Plant No. 2 506,550 - 42,000
Subtotal - Utility Systems 9,414,145 3,058,392 7,475,500
CIP Budget Review
Section 3 - Page 3
(Continued)
Summary of Capital Improvement Construction Requirements - Current Year
For the Six Months Ended December 31, 2019
2019-20 2019-20 2019-20
Cashflow Actual at Projected
Budget 12/31/2019 Outlay
Process Related Special Projects
Safety Improvements Program 7,701,072 2,932,060 5,918,100
Subtotal - Process Related Special Projects 7,701,072 2,932,060 5,918,100
Information Management SystemsProcess Control Systems Upgrades 578,902 - -
Project Management Information System 1,860,070 119,373 199,400
Information Technology Capital Program 2,749,741 783,981 1,568,000
Geographic Information System 493,346 234,732 312,400
EAM Software and Process Implementation 976,100 145,082 679,900
Process Control Systems Upgrades Study 1,783,597 219,649 1,069,700
Subtotal - Information Management Systems 8,441,756 1,502,817 3,829,400
Strategic & Master Planning
Planning Studies Program 4,990,554 787,933 2,426,300
Climate Resiliency Study 222,600 230,249 276,900
Subtotal - Strategic & Master Planning 5,213,154 1,018,182 2,703,200
Water Management Projects
GWRS Final Expansion Coordination 182,157 67,817 211,400
Subtotal - Water Management Projects 182,157 67,817 211,400
Research
Research Program 2,317,609 694,275 1,307,700
Subtotal - Research 2,317,609 694,275 1,307,700
Support Facilities
Small Construction Projects Program 4,086,421 1,670,906 3,607,700
Fleet Services UST Leak Remediation at Plant 1 2,251,879 739,829 739,900
Operations & Maintenance Capital Program 4,522,942 502,458 923,300
18350 Mt. Langley Building Purchase and Improvement 155,080 7,570 7,600
Title 24 Access Compliance and Building Rehab Project 1,075,459 502,852 647,500
Headquarters Complex and Site Security at Plant 1 9,765,435 2,360,718 6,888,500
South Perimeter Security and Utility Improvements at Plant N 781,427 196,279 365,200 Plant 2 Warehouse Relocation 67,593 - 41,000
Subtotal - Support Facilities 22,706,236 5,980,612 13,220,700
FY 2019-20 Mid-Year Financial Report
Section 3 - Page 4
(Continued)
Summary of Capital Improvement Construction Requirements - Current Year
For the Six Months Ended December 31, 2019
2019-20 2019-20 2019-20
Cashflow Actual at Projected
Budget 12/31/2019 Outlay
Others
Perimeter Screening at Plant 2 44,087 - -
Capital Improvement Program Management Services 118,846 58,529 98,600
Subtotal - Others 162,933 58,529 98,600
Total Treatment and Disposal Projects 127,886,948 40,606,512 87,190,300
Capital Equipment Purchases 2,923,300 736,931 2,923,300
Total Collection, Treatment and Disposal Projects
and Capital Equipment Purchases 176,325,953 51,034,876 116,843,200
Less: Savings and Deferrals (23,000,000) - -
Net Collection, Treatment and Disposal Projects and Capital Equipment Purchases 153,325,953$ 51,034,876$ 116,843,200$
CIP Budget Review
Section 3 - Page 5
FY 2019-20 Mid-Year Financial Report
Summary of Capital Improvement Construction Requirements - Project Life
For the Six Months Ended December 31, 2019
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 50,000 62,083 8,067,917
Newhope - Placentia Trunk Grade Separation Replacement 4,300,000 4,192,559 325,900 4,518,459 (218,459)
Newhope-Placentia Trunk Replacement 112,000,000 61,677,495 15,286,200 76,963,695 35,036,305
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 2,430,900 9,121,894 44,878,106
Rehabilitation of Western Regional Sewers 202,000,000 15,684,536 1,990,900 17,675,436 184,324,564
Interstate 405 Widening Project Impacts on OCSD Sewers 528,000 94,547 24,000 118,547 409,453
Seal Beach Pump Station Replacement 78,900,000 141,174 761,900 903,074 77,996,926
Los Alamitos Sub-Trunk Extension 66,000,000 - - - 66,000,000
Newport Force Main Rehabilitation 58,367,238 58,305,659 6,500 58,312,159 55,079
Crystal Cove Pumping Station Upgrade and Rehabilitation 17,900,000 - - - 17,900,000
Bay Bridge Pump Station Replacement 64,000,000 1,241,764 446,500 1,688,264 62,311,736
Newport Beach Pump Station Odor Control Improvements 4,066,000 52,522 58,600 111,122 3,954,878
District 6 Trunk Sewer Relief 7,965,000 7,086,802 80,900 7,167,702 797,298
Gisler - Red Hill Trunk Improvements - Reach B 25,213,000 25,017,792 2,000 25,019,792 193,208
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 - 73,200 73,200 14,726,800
Main Street Pump Replacement & Force Main Rehabilitation 17,160,000 - 104,400 104,400 17,055,600
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 1,120,700 4,726,791 4,531,209
Operations & Maintenance Capital Program - Collections 570,109 33,002 563,700 596,702 (26,593)
Planning Studies Program - Collections 4,258,600 3,178,275 465,400 3,643,675 614,925
Research Program - Collections 154,000 46,250 - 46,250 107,750
SARI Rock Stabilizers Removal 6,860,000 1,059,637 2,728,200 3,787,837 3,072,163
Sunflower and Red-Hill Interceptor Repair 5,500,000 20,888 217,900 238,788 5,261,212
Additional Charges to CIP Closed at 6/30/19 - - (8,400) (8,400) 8,400
Subtotal - Collections Facilities 890,484,947 188,142,070 26,729,400 214,871,470 675,613,477
Revenue Area 14:
Newport Force Main Rehabilitation (2.18%)1,300,762 1,299,390 200 1,299,590 1,172
Subtotal - Revenue Area 14 1,300,762 1,299,390 200 1,299,590 1,172
Total Collection System Improvement Projects 891,785,709 189,441,460 26,729,600 216,171,060 675,614,649
Section 3 - Page 6
(Continued)
Summary of Capital Improvement Construction Requirements - Project Life
For the Six Months Ended December 31, 2019
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 7,365,900 26,890,845 379,109,155
Headworks Modifications at P2 for GWRS Final Expansion 54,000,000 5,356,267 3,017,300 8,373,567 45,626,433
Subtotal - Headworks 460,000,000 24,881,212 10,383,200 35,264,412 424,735,588
Primary Treatment
Primary Clarifiers Replacements and Improvements at P1 106,000,000 521,057 - 521,057 105,478,943
Primary Clarifier Reliability Improvements at Plant No. 1 12,000,000 198,647 301,200 499,847 11,500,153
Primary Treatment Rehabilitation at Plant 2 245,000,000 16,832,705 10,130,700 26,963,405 218,036,595
B/C-Side Primary Clarifiers Rehabilitation at Plant 2 249,560,000 - - - 249,560,000
Subtotal - Primary Treatment 612,560,000 17,552,409 10,431,900 27,984,309 584,575,691
Secondary Treatment
Return Activated Sludge Piping Replacement at Plant 1 10,300,000 964,280 1,953,500 2,917,780 7,382,220
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 20,000,000 849,751 824,500 1,674,251 18,325,749
Subtotal - Secondary Treatment 32,100,000 3,426,418 2,781,200 6,207,618 25,892,382
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 4,283,200 195,534,229 3,965,771
Digester Ferric Chloride Piping Replacement at Plant No. 1 1,360,000 - 98,900 98,900 1,261,100
Plant No. 2 Digester Facilities Rehabilitation 15,500,000 14,717 - 14,717 15,485,283
Sludge Dewatering and Odor Control at Plant 2 90,477,000 80,701,878 5,286,200 85,988,078 4,488,922
Interim Food Waste Receiving Facility 6,300,000 448,580 611,700 1,060,280 5,239,720
TPAD Digester Facility at P2 405,100,000 - 502,900 502,900 404,597,100
Digester P, Q, R, and S Replacement 166,000,000 - - - 166,000,000
Subtotal - Solids Handling & Digestion 950,237,000 338,025,432 10,782,900 348,808,332 601,428,668
Ocean Outfall Systems
Ocean Outfall System Rehabilitation 166,000,000 38,447,897 18,046,500 56,494,397 109,505,603
Subtotal - Ocean Outfall Systems 166,000,000 38,447,897 18,046,500 56,494,397 109,505,603
Utility Systems
UPS System Upgrades 4,700,000 - - - 4,700,000
Digester Gas Facilities Rehabilitation 156,500,000 4,894,979 2,729,100 7,624,079 148,875,921
Natural Gas Pipelines Replacement at Plants 1 and 2 1,310,000 221,027 194,000 415,027 894,973
Electrical Power Distribution System Improvements 30,000,000 138,428 318,100 456,528 29,543,472
CIP Budget Review
Section 3 - Page 7
(Continued)
FY 2019-20 Mid-Year Financial Report
Summary of Capital Improvement Construction Requirements - Project Life
For the Six Months Ended December 31, 2019
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 79,108 164,900 244,008 6,755,992
Consolidated Demolition and Utility Improvements at P2 31,000,000 26,399,159 4,027,400 30,426,559 573,441
Central Generation Rehabilitation at Plant 2 114,000,000 - - - 114,000,000
Substation Replacement at Plant No. 2 40,261,000 - 42,000 42,000 40,219,000
Subtotal - Utility Systems 471,771,000 31,732,701 7,475,500 39,208,201 432,562,799
Process Related Special Projects
Safety Improvements Program 19,000,000 8,118,140 5,918,100 14,036,240 4,963,760
Subtotal - Process Related Special Projects 19,000,000 8,118,140 5,918,100 14,036,240 4,963,760
Information Management Systems
Process Control Systems Upgrades 46,000,000 - - - 46,000,000
Project Management Information System 4,000,000 1,149,166 199,400 1,348,566 2,651,434
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 1,568,000 2,818,053 7,181,947
Geographic Information System 4,568,000 3,058,209 312,400 3,370,609 1,197,391
EAM Software and Process Implementation 7,500,000 5,219,288 679,900 5,899,188 1,600,812
Process Control Systems Upgrades Study 3,554,000 1,224,489 1,069,700 2,294,189 1,259,811
Subtotal - Information Management Systems 80,622,000 16,872,113 3,829,400 20,701,513 59,920,487
Strategic & Master Planning
Planning Studies Program 24,393,400 8,690,620 2,426,300 11,116,920 13,276,480
Climate Resiliency Study 878,000 586,978 276,900 863,878 14,122
Subtotal - Strategic & Master Planning 25,271,400 9,277,598 2,703,200 11,980,798 13,290,602
Water Management Projects
GWRS Final Expansion Coordination 1,132,000 232,090 211,400 443,490 688,510
Subtotal - Water Management Projects 1,132,000 232,090 211,400 443,490 688,510
Research
Research Program 8,346,000 617,093 1,307,700 1,924,793 6,421,207
Subtotal - Research 8,346,000 617,093 1,307,700 1,924,793 6,421,207
Section 3 - Page 8
(Continued)
Summary of Capital Improvement Construction Requirements - Project Life
For the Six Months Ended December 31, 2019
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 3,607,700 16,455,254 12,584,746
Fleet Services UST Leak Remediation at Plant 1 14,952,000 374,111 739,900 1,114,011 13,837,989
Operations & Maintenance Capital Program 15,051,891 1,334,458 923,300 2,257,758 12,794,133
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 17,054,173 647,500 17,701,673 698,327
Headquarters Complex and Site Security at Plant 1 167,500,000 24,758,304 6,888,500 31,646,804 135,853,196
South Perimeter Security and Utility Improvements at Plant N 10,500,000 543,599 365,200 908,799 9,591,201
Plant 2 Warehouse Relocation 9,800,000 - 41,000 41,000 9,759,000
Plant 2 Collections Yard Relocation 1,840,000 - - - 1,840,000
Subtotal - Support Facilities 292,283,891 66,819,339 13,220,700 80,040,039 212,243,852
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 98,600 282,909 417,091
Subtotal - Others 6,431,000 248,349 98,600 346,949 6,084,051
Total Treatment and Disposal Projects 3,125,754,291 556,250,791 87,190,300 643,441,091 2,482,313,200
Capital Equipment Purchases 9,727,153 - 2,923,300 2,923,300 6,803,853
Total Collection, Treatment and Disposal Projects
and Capital Equipment Purchases 4,027,267,153$ $745,692,251 $116,843,200 $862,535,451 $3,164,731,702
CIP Budget Review
Section 3 - Page 9
FY 2019-20 Mid-Year Financial Report
This Page Intentionally Left Blank
Section 3 - Page 10
Capital Assets Schedule
For the Six Months Ended December 31, 2019
Balance Year-to-Date Balance07/01/19 Activity 12/31/19
CONSTRUCTION IN PROGRESS:
Treatment Plant 447,941,678$ 41,343,443$ 489,285,121$
Collection System 73,889,956 9,691,433 83,581,389
Subtotal 521,831,634 51,034,876 572,866,510
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$ 51,034,876$ 4,357,933,899$
2019-20 Year-to-Date RemainingBudgetPayments% of Budget BudgetPrincipal 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 - 0.00%20,915,000
2014A COP 7,400,000 - 0.00%7,400,000
2015A COP - - 0.00%-
2016A COP 4,415,000 - 0.00%4,415,000
2017A COP - - 0.00%-
2018A CANs - - 0.00%-
Subtotal Principal Payments 32,730,000 - 0.00%32,730,000
Interest Expense by Debt Issue:
2010A BABs 2,897,700 2,106,988 72.71%790,712
2010C BABs 6,523,800 4,743,687 72.71%1,780,113
2011A COP 3,348,400 1,674,175 50.00%1,674,225 2012A COP 3,735,900 1,867,950 50.00%1,867,950 2012B COP 2,191,400 1,095,700 50.00%1,095,700
2014A COP 3,566,500 1,783,250 50.00%1,783,250
2015A COP 6,375,500 3,187,750 50.00%3,187,750
2016A COP 6,977,300 3,488,650 50.00%3,488,650
2017A COP 3,318,500 1,659,250 50.00%1,659,250
2018A CANs 5,110,000 2,555,000 50.00%2,555,000
Subtotal Interest Expense 44,045,000 24,162,400 54.86%8,991,950
Total Debt Service 76,775,000$ 24,162,400$ 31.47%41,721,950$
Section 4 - Page 1
Capital Facilities Budget Review
Capital Assets Schedule & Debt Service Budget Review
Debt Service Budget Review
FY 2019-20 Mid-Year Financial Report
This Page Intentionally Left Blank
Section 4 - Page 2
General Liability and Property Fund Budget ReviewFor the Six Months Ended December 31, 2019
Actual Actual2019-20 Through ThroughBudget12/31/19 12/31/18
Revenues:
In-Lieu Premiums 1,720,000$ 859,998$ 50.00%860,002$ 649,650$ 210,348$
Miscellaneous Other Revenue 10,000 - 0.00%- - -
Service Department Allocations 20,000 (1,548) -7.74%21,548 (1,548) -
Total Revenues 1,750,000 858,450 49.05%881,550 648,102 210,348
Expenses:
Benefits/Claims 360,000 53,188 14.77%306,812 - 53,188
Legal Services 40,000 - 0.00%40,000 - -
Professional Services 10,000 - 0.00%10,000 - -
Subtotal 410,000 53,188 12.97%356,812 - 53,188
Policy Premium Expense 1,340,000 708,883 52.90%631,117 638,449 70,434
Total Expenses 1,750,000 762,071 43.55%987,929 638,449 123,622
Excess Revenue (Expense)- 96,379 (106,379)$ 9,653 86,726
Beginning Reserves 55,000,000 55,389,842 55,367,246 22,596
Ending Reserves 55,000,000$ 55,486,221$ 55,376,899$ 109,322$
12/31/19 Budget (Decrease)
Self Insurance Budget Review
Percent
of Budget RemainingThrough2019-20 Increase
Section 5 - Page 1
FY 2019-20 Mid-Year Financial Report
Workers' Compensation Fund Budget ReviewFor the Six Months Ended December 31, 2019
Actual Actual2019-20 Through ThroughBudget12/31/19 12/31/19 12/31/18
Revenues:
In-Lieu Premiums 780,000$ 390,000$ 50.00%390,000$ 293,300$ 96,700$
Service Department Allocations - 54,348 N/A (54,348) 54,348 -
Total Revenues 780,000 444,348 56.97%335,652 347,648 96,700
Expenses:
Benefits/Claims 430,000 232,300 54.02%197,700 201,334 30,966
Legal Services 80,000 58,078 72.60%21,922 26,811 31,267
Professional Services 60,000 19,028 31.71%40,972 31,627 (12,599)
Subtotal 570,000 309,406 54.28%260,594 259,772 49,634
Policy Premium Expense 210,000 108,881 51.85%101,119 109,664 (783)
Total Expenses 780,000 418,287 53.63%361,713 369,436 48,851
Excess Revenue (Expense)- 26,061 (26,061)$ (21,788) 47,849
Beginning Reserves 2,000,000 2,036,708 2,085,542 (48,834)
Ending Reserves 2,000,000$ 2,062,769$ 2,063,754$ (985)$
Budget (Decrease)
Percentof Budget RemainingThrough2019-20 Increase
Section 5 - Page 2
OCSD ♦ P.O. Box 8127 ♦ Fountain Valley, CA 92728-8127 ♦ (714) 962-2411
January 31, 2020
STAFF REPORT
Mid-Year Treasurer’s Report
For the Period Ended December 31, 2019
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 December 31, 2019. The Liquid Operating Monies portfolio, with an
average maturity of 77 days, consists entirely of high quality fixed income investments
consistent with the Sanitation District’s investment policy.
Portfolio Performance Summary
The following table presents a performance summary of the Sanitation District's portfolios
as compared to their benchmarks as of December 31, 2019.
Quarterly Treasurer’s Report
For the Period Ended December 31, 2019
Page 2 of 4
(1) Benchmarks:
Liquid Operating Portfolio: ICE BAML 3-Month Treasury Bill Index
Long-Term Operating Portfolio: ICE BAML Corp/Govt. 1-5 Year Bond Index
Portfolio Market Values
Comparative marked-to-market quarter-end portfolio values are shown in the following table, and in the
attached bar chart.
Quarter
Ending
Liquid
Operating
Monies ($M)
Long-Term
Operating
Monies ($M)
31 Mar 19 108.5 506.2
30 Jun 19 164.5 558.1
30 Sep 19 68.2 548.1
31 Dec 19 175.6 579.9
Portfolio Performance Summary As of December 31, 2019
Liquid Operating Monies (%)Long-Term Operating Monies (%)
Total Rate of Return Benchmark(1) Total Rate of Return Benchmark(1)
3 Months 0.50 0.46 0.49 0.44
6 Months 1.09 1.02 1.37 1.27
9 Months 1.79 1.67 3.09 3.14
12 Months 2.43 2.28 4.65 4.61
Annualized Since inception 30 Nov 2014 1.17 1.06 1.84 1.79
Market Value $175.6 M $579.9 M
Average Quality “AA+”/”Aaa” “AA”/”Aa1”
Current Yield (%) 1.85 2.25
Estimated Yield to Maturity (%) 1.68 1.72
Quarterly Deposits (Withdrawals) $107.0 M $29.0 M
Estimated Annual Income $3.2 M $13.3 M
Quarterly Treasurer’s Report
For the Period Ended December 31, 2019
Page 3 of 4
The Sanitation District’s Investment Account Balances as of December 31, 2019
Investment Accounts
Book Balances
December 31, 2019
Estimated
Yield (%)
State of California LAIF
Banc of California Checking Account
Banc of California Overnight Sweep Account
Banc of California W/C Checking
Union Bank Mount Langley Account
Union Bank Bandilier Account
Chandler/U.S. Bank – Short-term Portfolio
Chandler/U.S. Bank – Long-term Portfolio
Petty Cash
BNY Mellon OCIP Reserve
TOTAL
Debt Service Reserves w/Trustees
$54,397,621
3,000,000
5,174,254
90,040
120,048
594,502
175,646,417
579,913,998
3,000
3,670,638
$822,610,518
$1,578
2.04
0.55
0.20
0.55
0.75
0.75
1.68
1.72
N/A
0.00
1.71
1.51
The Sanitation District’s Cost of Funds on Debt Issues as of December 31, 2019
Cost of Funds
Issue Description
Outstanding
COP Balance
Annual
Interest
Rate (%)
2010A Fixed
2010C Fixed
2011A Fixed
2012A Fixed
2012B Fixed
2014A Fixed
2015A Fixed
2016A Fixed
2017A Fixed
2018A Fixed
TOTAL
Weighted Avg. Cost of Funds
80,000,000
157,000,000
75,370,000
100,645,000
46,475,000
71,330,000
127,510,000
145,880,000
66,370,000
102,200,000
$972,780,000
3.68
4.11
2.61
3.54
1.50
2.34
3.30
3.02
2.55
2.02
3.05
Quarterly Treasurer’s Report
For the Period Ended December 31, 2019
Page 4 of 4
ATTACHMENTS
1. Chandler Quarterly Report
2. Summary of Performance Data and Portfolio Statistics – Liquid Operating Monies
3. Summary of Performance Data and Portfolio Statistics – Long Term Operating
Monies
4. Investment Transactions and Balances in LAIF
5. Asset Summary by Asset Type – Liquid Operating Portfolio
6. Asset Summary by Asset Type – Long Term Portfolio
7. Asset Summary by Asset Type – Owner Controlled Insurance Program Escrow
Account
8. Investment Listing (Yield Analysis Report)
9. Asset Detail – Consolidated
10. Custody Transaction History – Consolidated
11. Callan Quarterly Review
12. Chandler Quarterly Review
13. Rating Agency Comparisons
1
December 31, 2019
Mr. Lorenzo Tyner
Assistant General Manager
Director of Finance and Administrative Services
Orange County Sanitation District
10844 Ellis Avenue
Fountain Valley CA 92708-7018
Dear Lorenzo,
Bond Market Recap
We expect US economic growth to moderate in 2020 toward trend growth of about 1.8% compared to 2.3% in 2019. We
believe the impact of monetary policy on economic growth is somewhat lagged, and the more accommodative monetary
policy stance of the Federal Reserve and other global central banks throughout 2019 should provide a tailwind for the
economy in 2020. Though slow global growth continues to create a headwind for the US economy, recent domestic
economic data has been mostly in line with expectations and consistent with modest growth. Most notably, the US labor
market remains firm which should continue to support consumer spending trends as well as the housing market.
The Federal Open Market Committee (FOMC) kept the target fed funds rate unchanged in December in a range of 1.50%-
1.75%. The vote to keep policy unchanged was unanimous and the Fed's quarterly update on their Summary of Economic
Projections was little changed from the September 2019 forecast. Notably the Fed's forecast calls for no change to the fed
funds rate in 2020. We believe the hurdle rate to tighten policy remains high, as market-based measures of inflation are
still too low. Conversely, if market-based inflation metrics fail to improve, and/or the domestic or global economy
experiences an exogenous shock, we believe the Fed has left the door open for additional policy accommodation.
The Treasury yield curve steepened slightly in December. The 2-year Treasury yield decreased about four basis points to
1.57%, the 5-year Treasury yield increased almost seven basis points to 1.69%, and the 10-year Treasury yield increased
about 14 basis points to 1.92%. We believe the increase in longer-term yields were driven by more favorable developments
with regard to global trade and Brexit.
Treasury yields declined meaningfully in 2019. At year-end, the 3-month T-bill yield was down 81 basis points, the 2-Year
Treasury yield was down 92 basis points, and the 10-Year Treasury yield was down 77 basis points. We believe the year-
over-year decline in long-term Treasury yields largely reflects a decline in global economic growth and inflation
expectations, while the decline in shorter-term rates is in line with the Fed's three 25 basis point rate cuts in 2019. Notably,
the shape of the yield curve has normalized to some extent over the past few months and is now upward sloping, which
we believe reflects increased optimism about the domestic economic outlook.
2
Consumer Prices
The Consumer Price Index (CPI) was up 2.1% year-over-year in November, up from 1.8% in October. Core CPI (CPI less food
and energy) was up 2.3% year-over-year in November, unchanged from October. The Personal Consumption Expenditures
(PCE) index was up 1.5% year-over-year in November versus up 1.4% year-over-year in October. Core PCE, which is the
Fed's primary inflation gauge, was up 1.6% year-over-year in November versus 1.7% year-over-year in October. Core PCE
softened and remains below the Fed’s 2.0% inflation target.
Retail Sales
Retail sales increased 0.2% in November, following growth of 0.4% in October. Excluding auto and gas, retail sales were
flat in November, below expectations of 0.4%. On a year-over-year basis, retail sales increased 3.3% in November, versus
3.2% in October.
Labor Market
U.S. nonfarm payrolls rose by 145,000 in December, below expectations of 160,000. Payrolls for October and November
were revised down by a total of 14,000. On a trailing 3-month and 6-month basis, payrolls increased an average of about
184,000 and 189,000 per month, respectively. The unemployment rate was unchanged at 3.5% and the participation
rate held steady at 63.2%. 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, declined to 6.7% in December from 6.9% in
November. Wages edged up 0.1% in December, below expectations of 0.3%, but the November increase in wages was
revised up slightly to 0.3% from 0.2%. The average workweek was unchanged at 34.3 hours. On a year-over-year basis,
wages were up 2.9% in December, versus up 3.1% in November.
Housing Starts
Housing starts increased 3.2% in November to a 1.365 million annualized rate and starts in the prior month were revised
higher. Permits were also stronger than expected in November, up 1.4%. Multi-family starts rose 4.9% month-over-month
in November to an annualized rate of 427,000. Single-family starts rose 2.4% in November to an annualized rate of
938,000. The trends suggest that low mortgage rates and a strong labor market continue to drive housing activity.
3
TREASURY YIELDS 12/31/2019 9/30/2019 CHANGE
3 Month 1.54 1.81 (0.27)
2 Year 1.57 1.62 (0.05)
3 Year 1.61 1.56 0.05
5 Year 1.69 1.54 0.15
7 Year 1.83 1.61 0.22
10 Year 1.92 1.67 0.25
30 Year 2.39 2.11 0.28
4
Performance Attribution
Long-Term Portfolio
The portfolio outperformed the benchmark during the quarter, generating a return of 0.49% compared to the 0.44%
return of the ICE Bank of America Merrill Lynch 1-5 Year US Corporate and Government AAA-A Index. The overall asset
allocation of the portfolio led to the modest outperformance of the portfolio during the quarter. The out of benchmark
exposure to the Asset Backed sector, currently 7.8% of the overall allocation of the portfolio, as well as the overweight
exposure to the Corporate sector were both additive to the results during the quarter. From a term structure perspective,
the overweight to the front and back end of the maturity distribution, at the expense of the middle portion of the maturity
distribution, led to the positive performance differentiation during the quarter.
Several securities were purchased across the Treasury, Certificate of Deposit, Commercial Paper, and Asset Backed sectors
of the market to keep the portfolio structure in-line with Chandler targets. The purchased securities ranged in maturity
from January 2020 to November 2024. One security was sold and several matured to help facilitate the new holdings in
the portfolio and manage the varied cash flows in the portfolio during the reporting period that totaled a net positive $29
million. The sector allocation was relatively stable. Some of the larger changes include the 4.4% increase in the US
Treasury allocation, to 34.8% of the portfolio, partially offset by the 2.8% decline in the Agency allocation, to 22.8% of the
portfolio. The duration of the portfolio contracted moderately, ending the quarter at 2.41 compared to 2.46 as of
September 30, 2019. The Chandler team will be focusing on keeping the duration of the portfolio in a tight band relative
to the benchmark in the coming quarter.
Liquid Portfolio
The Liquidity Portfolio outperformed the benchmark, generating a return of 0.50% compared to the 0.46% return of the
ICE Bank of America Merrill Lynch 3 Month Treasury Bill Index. Multiple securities were purchased across the Treasury,
Agency, Certificate of Deposit, Commercial Paper and Corporate sectors of the market to keep the portfolio fully invested
in the liquidity strategy. The purchased securities ranged in maturity from January 2020 to August 2020. One security
was called and several matured; a net $107mm was contributed to the portfolio during the quarter. The sector allocation
evolved with the large contribution into the strategy in late December. Due to the timing of the contribution most of the
proceeds were allocated to the Treasury sector, with the Chandler team having several maturities in January 2020 to
facilitate additional holdings in non-Treasury securities when the market is more liquid and not under year-end
constraints. The duration of the portfolio contracted moderately, currently 0.21 compared to 0.30 at the end of the prior
quarter. The Chandler team continues to utilize the Treasury and Agency sectors to immunize the large forecasted liquidity
needs and overlay spread product (i.e. Commercial Paper, Certificates of Deposit, and Corporates) to enhance the total
return strategy of the portfolio.
5
Economic Outlook
Risk assets closed out the year in strong form with equity prices grinding higher over the quarter, investment grade credit
spreads moving lower, and the US Treasury yield curve steepening moderately. Although geopolitical risks continue to
influence markets and remain a constant element for investors to monitor, the downside risks to the global economic
backdrop moderated in Q4. Most significantly for investor sentiment the US/China trade impasse made incremental
progress with the Phase 1 deal expected to be signed in mid-January. Although many long-term challenging issues remain
to be resolved specific to US/China trade, the modest progress thus far, including some concessions by China on
intellectual property reform, helped to provide a positive catalyst for asset price performance. The protests in Hong Kong
continue and remain in the news, however the lack of a draconian response by China has allowed the geopolitical risk in
the region to remain contained. In the United Kingdom, Boris Johnson was able to remain Prime Minister with a strong
performance in the December election, providing a mandate for the country to move forward with Brexit. Policymakers
were also active domestically, with the Federal Reserve stepping in to address some of the acute liquidity pressures facing
money markets at the end of Q3. Notably the Federal Reserve began to provide ample overnight and term liquidity via
the repo market, in addition to beginning to purchase T-Bills at regular intervals to increase the size of the Fed’s balance
sheet and add liquidity into the banking system. Although the Federal Reserve’s balance sheet is again expanding, the
composition of the purchased assets is all in short maturity notes, distinguishing the policy move from earlier forms of
quantitative easing where longer maturity fixed income assets were added to the Fed’s balance sheet. Taking proactive
steps to ensure ample liquidity in the money markets is consistent with Chandler’s view policy makers will continue to be
biased to support economic growth, particularly with inflation concerns benign.
In late October the Federal Reserve reduced the Fed Funds rate for the 3rd time in 2019 to a target range of 1.50% to
1.75% to further support the economic expansion. The Chandler team holds the view the front-end of the Treasury curve
will continue to trade in a tight range centered around the Federal Reserve’s Federal Funds rate target of 1.50% to 1.75%
and we are not forecasting additional easing of policy over an intermediate time horizon. Observed inflation metrics
remain low, with the PCE Core inflation most recently coming in at 1.60% y/y. Market based measures of inflation also
remain very low, with Ten Year Treasury Inflation Breakeven Spreads closing out the year at 1.79%, well below the
market’s consensus of a “normal” range of 2.30% to 2.60%. The low levels of inflation remain a conundrum for policy
makers as the unemployment rate remains low at 3.5% and the three-month moving average of non-farm payrolls is
strong at 184k. The US consumer remains on solid footing and will be enough to support trend GDP growth in 2020 despite
the lingering headwinds in Chandler’s view. Until both observed and market-based measures of inflation start to move
higher, the Federal Reserve will remain biased to keep policy accommodative, which should also continue to support the
performance of risk assets. The Treasury yield curve moderately steepened during Q4, with 10y Treasury yields moving
higher by 25 basis points to close out the year at 1.92%. Assuming the economic expansion continues, longer term
Treasury yields should continue to drift upwards. Given the low level of rates currently, and the Chandler team’s view
negative interest rates in Europe and Japan are largely a policy failure, the Federal Reserve will likely look to embrace
alternative tools away from continuing to drop interest rates to support continued growth and higher inflation. The
Chandler team is also expecting additional communication from the Federal Reserve on their strategic policy review, with
the 2% inflation target a likely area of focus.
6
Strategy
Strategy highlights for the Long-Term Portfolio in coming months:
• Continue to focus on adding securities with attractive relative value consistent with the overall investment
objectives of safety, liquidity and return.
o Extend the term structure of the banking sub sector within the Corporate allocation via swapping out of
some of the shorter maturity holdings in the portfolio.
o Utilize the new issue Corporate calendar where appropriate to further diversify the underlying holdings
in the allocation via maturity, rating, and sector.
• Utilize the new issue calendar to maintain the overall Asset Backed allocation in a range of 7-10% of the overall
portfolio allocation.
• Remain patient in adding Agency and Supranational exposure where spreads are currently at the tight end of the
recent range.
• Continue to maintain bias towards a barbell term structure within the overall term structure of the portfolio.
Strategy highlights for the Liquidity Portfolio in coming months:
• Continue to ladder the Treasury and Agency exposure to coincide with forecasted liquidity needs.
• Opportunistically add Corporate, Negotiable CD and Commercial Paper exposure to the portfolio where the
additional spread compensation versus like maturity Treasury notes is attractive.
• Maintain a dedicated exposure to the Treasury sector on an ongoing basis to ensure ample liquidity in the portfolio
for unexpected cash flow needs.
7
Compliance Issues
Category Standard Comment
Treasury Issues 5 years maxmaturity; Minimum allocation of 10%Complies*
U.S. Agencies 20% max issuer; 5 years max maturity Complies
Supranational "AA" rated or better by a NRSRO; 30% maximum; 5 years max maturity; USD denominated senior unsecured unsubordinated
obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB Complies
Corporate (MTNs)"A" rated or better long term debt by a NRSRO; 30% maximum; 5% max issuer; 5 years max maturity; Issued by corporations
organized and operating within the U.S. or issued by depository institutions licensed by the U.S.Complies
Municipal Securities "A" rated or higher by a NRSRO; 10% maximum; 5% max issuer; 5 years max maturity Complies
Asset Backed/ CMOs/ Mortgage-backed "AA" rated or better by a NRSRO; "A" or higher issuer rating by a NRSRO; 20% maximum; 5% max issuer (excluding govt
agency/mbs); 5 years max maturity Complies*
Negotiable CDs "A" rated or better long term debt by a NRSRO; or "A-1"/ highest short term rating by a NRSRO; 30% maximum; 5% max issuer; 5
years max maturity Complies
Certificates of Deposit 5% max issuer; 5 years max maturity; Secured/ collateralized Complies
Banker’s Acceptances A-1 rated or equivalent short term rating by a NRSRO; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1 rated or equivalent short term rating by a NRSRO; "A" or better long term debt issuer by a NRSRO; Issued by a domestic
corporation organized and operating in the US with AUM > $500million; 25% maximum; 5% max issuer; 270 days max maturity Complies
Mutual Fund & Money Market Mutual
Fund
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience greater than 5 years;
10% per one Mutual Fund; 20% max per issuer on Money Market Mutual Funds; 20% max of the District's surplus money Complies
Repurchase Agreements 102% collateralization CompliesReverse Repurchase Agreements 5% maximum, 90 days max maturity CompliesLAIFNot used by investment adviser Complies
OCIP Not used by investment adviser Complies
Avg Duration Not to exceed 60 months - (80% to 120% of the benchmark)Complies
Max Per Issuer 5% of portfolio (except Supranationals, U.S. Government, Agencies, Mutual Fund)Complies
Maximum Maturity 5 years maximum maturity Complies*
Orange County Sanitation District Long Term
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
*The portfolio has twenty (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.
Category Standard Comment
Treasury Issues 1 year max maturity; Minimum allocation of 10%Complies
U.S. Agencies 20% max issuer; 1 year max maturity Complies
Supranational "AA" rated or better by a NRSRO; 30% maximum; 1 year max maturity; USD denominated senior unsecured unsubordinated
obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB Complies
Corporate (MTNs)"A" rated or better long term debt by a NRSRO; 30% maximum; 5% max issuer; 1 year max maturity; Issued by corporations
organized and operating within the U.S. or issued by depository institutions licensed by the U.S.Complies
Asset Backed/ CMOs "AA" rated or better by a NRSRO; "A" or higher issuer rating by a NRSRO; 20% maximum; 5% max issuer; 1 year max maturity Complies
Negotiable CDs "A" rated or better long term debt by a NRSRO; or "A-1"/ highest short term rating by a NRSRO; 30% maximum; 5% max issuer; 1
year max maturity Complies
Certificates of Deposit 5% max issuer; 1 year max maturity; Secured/collateralized Complies
Banker’s Acceptances A-1 rated or equivalent short term rating by a NRSRO; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1 rated or equivalent short term rating by a NRSRO; "A" or better long term debt issuer by a NRSRO; Issued by a domestic
corporation organized and operating in the US with AUM > $500million; 25% maximum; 5% max issuer; 270 days max maturity Complies
Mutual Fund & Money Market Mutual
Fund
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience greater than 5
years; 10% per one Mutual Fund; 20% max per issuer on Money Market Mutual Funds; 20% max of the District's surplus money Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
OCIP Not used by investment adviser Complies
Prohibited Municipal Securities CompliesProhibitedMortgage Securities Complies
Avg Duration Not to exceed 180 days; Max duration of 1/2 year Complies
Max Per Issuer 5% of portfolio (except Supranationals, U.S. Government, Agencies, Mutual Fund)Complies
Maximum Maturity 1 year maximum maturity Complies
Orange County Sanitation District Liquid
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
8
Category Standard Comment
Treasury Issues 5 years maximum maturity Complies
Supranational "AA" or better by 1 of 3 NRSROs; 30% maximum; 5% max; 5 years maturity; Includes only: IADB, IBRD, and IFC per CGC Complies
U.S. Agencies 20% max issuer; 5 years maximum maturity Complies
U.S. Corporate (MTNs)"A" or better long term rating by 1 of 3 NRSROs; 30% maximum; 5% max issuer; 5 years max maturity Complies*
Municipal Securities "A" or higher by 1 of 3 NRSROS; 10% maximum; 5% max issuer; 5 years maximum maturity Complies
Asset Backed/ CMOs/ Mortgage-backed "AA" or better by 1 of 3 NRSROs; "A" or higher issuer rating by 1 of 3 NRSROs; 20% maximum; 5% max issuer (excluding
MBS/govt agency); 5 years max maturity Complies
Negotiable CDs "A" or better on its long term debt by 1 of 3 NRSROs ; "A1/P1" or highest short term ratings by 1 of 3 NRSROs; 30% maximum;
5% max issuer; 5 years max maturity Complies
CDs/ TDS 5% max issuer; 5 years max maturity Complies
Banker’s Acceptances A-1, or equivalent highest short term rating by 1 of 3 NRSROS; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1, or equivalent by 1 of 3 NRSROS; "A" or better by 1 of 3 NRSROs, if long term debt issued; 25% maximum; 5% max issuer;
270 days max maturity Complies
Money Market Fund Highest rating by 2 of 3 NRSROs; 20% maximum; 10% max issuer Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
Avg Duration Not to exceed 60 months - (80% to 120% of the benchmark)Complies
Maximum Maturity 5 years maximum maturity Complies
OCSD Lehman Exposure
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
* Account holds $2 million face value (cusip 525ESC0Y6) and $600,000 face value (cusip 525ESC1B7) of defaulted Lehman Bros Holdings that were purchased by the previous manager.
Complied at time of purchase.
9
Defaulted Bonds
OCSD Lehman Exposure -Account #10284
CUSIP Security Description Par Value/Units Purchase Date Book Yield Cost ValueBook Value Mkt Price Mkt YTM Market Value Accrued Int.% of Port.Gain/Loss Moody/S&P Fitch Maturity Duration
Common Stock
SLHOPNTA4 Lehman Brothers, Inc Open Position Long Exposure0.000% Due 12/31/2019 60,641.49 11/21/20140.00%57,842.6457,842.64 0.42 0.00%25,621.03 0.00 43.99% (32,221.61)NR / NRNR 0.000.00
TOTAL Common Stock 60,641.49 0.00%57,842.6457,842.64 0.00%25,621.030.00 43.99%(32,221.61)NR / NRNR 0.000.00
US Corporate
525ESCIB7 Lehman Brothers Note-Defaulted0.000% Due 01/24/2020 600,000.00 09/19/20080.00%319,005.35319,005.35 1.27 0.00%7,620.00 0.00 13.08% (311,385.35)NR / NRNR 0.070.00
525ESC0Y6 Lehman Brothers Note-Defaulted0.000% Due 10/22/2049 2,000,000.00 09/18/20080.00%1,027,939.991,027,939.99 1.25 0.00%25,000.00 0.00 42.93% (1,002,939.99)NR / NRNR 29.830.00
TOTAL US Corporate 2,600,000.00 0.00%1,346,945.34
1,346,945.34 0.00%
32,620.00
0.00
56.01%
(1,314,325.34)
NR / NR
NR
22.88
0.00
TOTAL PORTFOLIO 2,660,641.49 0.00%1,404,787.981,404,787.98 0.00%58,241.030.00 100.00%(1,346,546.95)NR / NRNR 12.810.00
TOTAL MARKET VALUE PLUS ACCRUALS 58,241.03
10
Ratings
11
HISTORICAL YIELD CURVE
$-
$100,000,000
$200,000,000
$300,000,000
$400,000,000
$500,000,000
$600,000,000
$700,000,000
OCSD Investment Program
Quarter End Portfolio Value
Liquid Operating Monies
Long-Term Operating Monies
0.00%
1.00%
2.00%
3.00%
4.00%
DEC 2019
NOV 2019
DEC 2018
ACCOUNT SUMMARY
Beg. Values
as of 11/30/19
End Values
as of 12/31/19
Market Value 78,173,288 174,966,288
Accrued Interest 294,268 650,897
Total Market Value 78,467,557 175,617,185
Income Earned 127,215 177,113
Cont/WD 97,000,000
Par 78,236,899 174,935,168
Book Value 78,126,002 174,946,486
Cost Value 77,932,983 174,689,177
TOP ISSUERS
Government of United States 78.3%
Federal Home Loan Bank 6.1%
First American Govt Obligation 3.0%
HSBC Holdings PLC 1.4%
Toronto Dominion Holdings 1.2%
Bank of New York 1.1%
General Dynamics Corp 1.1%
Royal Bank of Canada 1.1%
Total 93.5%
PORTFOLIO CHARACTERISTICS
Average Modified Duration 0.21
Average Coupon 1.85%
Average Purchase YTM 1.82%
Average Market YTM 1.68%
Average S&P/Moody Rating AA+/Aaa
Average Final Maturity 0.21 yrs
Average Life 0.18 yrs
CREDIT QUALITY (S&P)MATURITY DISTRIBUTIONSECTOR ALLOCATION
Portfolio Summary
As of December 31, 2019
Orange County Sanitation District Liquid
Account #10282
PERFORMANCE REVIEW
Annualized
TOTAL RATE OF RETURN 1M 3M YTD 1YR 2YRS 3YRS 5YRS 10YRS 11/30/2014
Orange County Sanitation District Liquid 0.14% 0.50% 2.43% 2.43% 2.17% 1.74% 1.18% N/A 1.17%
ICE BAML 3-Month US Treasury Bill Index 0.14% 0.46% 2.28% 2.28% 2.08% 1.67% 1.07% N/A 1.06%
Execution Time: 1/2/2020 9:01:13 PMChandler Asset Management - CONFIDENTIAL Page 1
ACCOUNT SUMMARY
Beg. Values
as of 11/30/19
End Values
as of 12/31/19
Market Value 537,897,693 577,252,333
Accrued Interest 2,860,714 2,642,857
Total Market Value 540,758,407 579,895,190
Income Earned 1,039,969 1,044,561
Cont/WD 38,025,168
Par 529,467,318 568,552,826
Book Value 529,262,027 568,549,613
Cost Value 528,446,198 567,620,155
TOP ISSUERS
Government of United States 34.8%
Federal Home Loan Bank 9.5%
Federal National Mortgage Assoc 8.6%
Federal Home Loan Mortgage Corp 4.1%
Inter-American Dev Bank 3.0%
Honda ABS 2.6%
John Deere ABS 2.0%
Intl Bank Recon and Development 1.8%
Total 66.4%
PORTFOLIO CHARACTERISTICS
Average Modified Duration 2.41
Average Coupon 2.25%
Average Purchase YTM 2.30%
Average Market YTM 1.72%
Average S&P/Moody Rating AA/Aa1
Average Final Maturity 2.74 yrs
Average Life 2.52 yrs
CREDIT QUALITY (S&P)MATURITY DISTRIBUTIONSECTOR ALLOCATION
Portfolio Summary
As of December 31, 2019
Orange County Sanitation District Long Term
Account #10268
PERFORMANCE REVIEW
Annualized
TOTAL RATE OF RETURN 1M 3M YTD 1YR 2YRS 3YRS 5YRS 10YRS 11/30/2014
Orange County Sanitation District Long Term 0.19% 0.49% 4.65% 4.65% 3.07% 2.43% 1.92% N/A 1.84%
ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index 0.17% 0.44% 4.61% 4.61% 3.04% 2.36% 1.89% N/A 1.79%
ICE BAML US 1-5 Yr US Corp/Govt Rated AAA-BBB Indx 0.22% 0.53% 5.08% 5.08% 3.22% 2.57% 2.07% N/A 1.96%
Execution Time: 1/2/2020 8:53:40 PMChandler Asset Management - CONFIDENTIAL Page 1
Par Value Book Value Market Value Rate Yield
Balance
December 1, 2019 $64,497,621 $64,497,621 $64,497,621 2.04 2.04
Deposits:
12/13/2019 1,300,000 1,300,000 1,300,000 2.04 2.04
12/19/2019 1,600,000 1,600,000 1,600,000 2.04 2.04
Total Deposits 2,900,000 2,900,000 2,900,000 2.04 2.04
Quarterly
Interest
Distribution - - - 2.04 2.04
Withdrawals:
12/3/2019 (2,300,000) (2,300,000) (2,300,000) 2.04 2.04
12/4/2019 (1,100,000) (1,100,000) (1,100,000) 2.04 2.04
12/11/2019 (2,300,000) (2,300,000) (2,300,000) 2.04 2.04
12/17/2019 (2,200,000) (2,200,000) (2,200,000) 2.04 2.04
12/26/2019 (2,200,000) (2,200,000) (2,200,000) 2.04 2.04
12/30/2019 (2,900,000) (2,900,000) (2,900,000) 2.04 2.04
Total Withdrawals (13,000,000) (13,000,000) (13,000,000) 2.04 2.04
Balance
December 31, 2019 $54,397,621 $54,397,621 $54,397,621 2.04 2.04
Orange County Sanitation District
Investment Transactions and Balances in the
State of California Local Agency Investment Fund
December 31, 2019
U.S. Bank
Asset Summary - Liquid
As of 12/31/2019
Industry Name Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
Cash Equivalents
COMMERCIAL PAPER 4,465,000.0000 4,410,542.93 4,455,432.60 2.55 44,889.67
FIRST AMERICAN SHORT TERM FDS 5,270,167.5700 5,270,167.57 5,270,167.57 3.01 -
U. S. GOVERNMENT 43,500,000.0000 43,378,032.60 43,455,120.00 24.83 77,087.40
US AGY - SHORT TERM CASH EQUIV 10,700,000.0000 10,683,452.78 10,689,915.00 6.11 6,462.22
Cash Equivalents Total 63,935,167.5700 63,742,195.88 63,870,635.17 36.50 128,439.29
Fixed Income
FINANCE 7,500,000.0000 7,486,090.00 7,503,465.00 4.29 17,375.00
FOREIGN CORPORATE 2,000,000.0000 2,001,340.00 2,000,740.00 1.14 (600.00)
INDUSTRIAL 2,000,000.0000 2,011,340.00 2,006,940.00 1.15 (4,400.00)
INFORMATION TECHNOLOGY 2,000,000.0000 2,002,700.00 2,002,200.00 1.14 (500.00)
SHORT TERM FUNDS 4,000,000.0000 4,000,335.13 4,000,698.00 2.29 362.87
U. S. GOVERNMENT 93,500,000.0000 93,445,175.81 93,590,880.00 53.49 145,704.19
Fixed Income Total 111,000,000.0000 110,946,980.94 111,104,923.00 63.50 157,942.06
Grand Total 174,935,167.5700 174,689,176.82 174,975,558.17 100.00 286,381.35
1 of 1
U.S. Bank
Asset Summary - Long-Term
As of 12/31/2019
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 9,944,400.00 1.72 27,261.11
FIRST AMERICAN SHORT TERM FDS 6,029,999.8000 6,029,999.80 6,029,999.80 1.04 -
Cash Equivalents Total 16,029,999.8000 15,947,138.69 15,974,399.80 2.77 27,261.11
Fixed Income
CONSUMER DISCRETIONARY 4,064,000.0000 4,055,701.78 4,229,376.46 0.73 173,674.68
CONSUMER STAPLES 3,880,000.0000 3,878,991.40 4,079,820.00 0.71 200,828.60
ENERGY 9,000,000.0000 8,942,542.40 9,177,210.00 1.59 234,667.60
FINANCE 66,494,000.0000 65,652,182.81 65,601,607.83 11.36 (50,574.98)
FOREIGN CORPORATE 19,000,000.0000 19,106,195.00 19,485,890.00 3.38 379,695.00
HEALTH CARE 2,000,000.0000 1,948,640.00 2,060,760.00 0.36 112,120.00
INDUSTRIAL 4,410,000.0000 4,388,275.50 4,537,932.80 0.79 149,657.30
INFORMATION TECHNOLOGY 28,715,000.0000 28,626,584.95 29,210,128.50 5.06 583,543.55
INVESTMENT GRADE-MUNI REVENUE 1,800,000.0000 1,800,000.00 1,842,954.00 0.32 42,954.00
MTG RELATED SECURITY 47,002,809.5200 46,947,454.86 47,345,174.04 8.20 397,719.18
SHORT TERM FUNDS 8,000,000.0000 8,000,389.30 8,001,920.00 1.39 1,530.70
SUPRANATIONAL 33,005,000.0000 32,742,600.25 33,122,990.00 5.74 380,389.75
U. S. GOVERNMENT 188,006,225.0900 186,383,952.28 189,679,554.69 32.86 3,295,602.41
U.S. GOVERNMENT TIPS 11,270,792.0000 11,126,072.09 11,337,853.21 1.96 211,781.12
US AGY - LONG TERM ISSUES 128,475,000.0000 129,388,582.45 131,561,116.60 22.79 2,172,534.15
Fixed Income Total 555,122,826.6100 552,988,165.07 561,274,288.13 97.23 8,286,123.06
Grand Total 571,152,826.4100 568,935,303.76 577,248,687.93 100.00 8,313,384.17
1 of 1
The Bank of New York Mellon may utilize subsidiaries and affiliates to provide services and certain products to the Account. Subsidiaries and affiliates may be compensated for their services and products.
The value of securities set forth on this Account Statement are determined by The Bank of New York Mellon for Corporate Trust on the basis of market prices and information obtained by The Bank of New York Mellon from
unaffiliated third parties (including independent pricing vendors) ("third party pricing services"). The Bank of New York Mellon has not verified such market values or information and makes no assurances as to the accuracy or
correctness of such market values or information or that the market values set forth on this Account Statement reflect the value of the securities that can be realized upon the sale of such securities. In addition, the market values
for securities set forth in this Account Statement may differ from the market prices and information for the same securities used by other business units of The Bank of New York Mellon or its subsidiaries or affiliates based upon
market prices and information received from other third party pricing services utilized by such other business units. Corporate Trust does not compare its market values with those used by, or reconcile different market values
used by, other business units of The Bank of New York Mellon or its subsidiaries or its affiliates. The Bank of New York Mellon shall not be liable for any loss, damage or expense incurred as a result of or arising from or
related to the market values or information provided by third party pricing services or the differences in market prices or information provided by other third party pricing services.
No Transactions This Period
Accrued Estimated Market
Shares/Par Value Asset Description Market Price Market Value Cost Average Cost Income Income Yield
Realized
Transaction Date Transaction Description Income Principal Cost Gains/Losses
Statement Period 12/01/2019 Through 12/31/2019
Statement of Assets Held by Asset Classification
Statement of Transactions by Transaction Date
Account 300282 Base Currency = USD
OCSD LIBERTY MUTUAL
3,681,000.000 UNITED STATES TREASURY BILL 99.64800 3,668,042.88 3,599,335.48 97.78146 0.00 0.00 0.00%
CUSIP: 912796SH3
MATURITY DATE: 03/26/2020
RATE: 0.000%
CASH BALANCE 2,595.51 2,595.51 0.00000 0.00 0.00 0.00%
Total Market Value Plus Total Accrued Income 3,670,638.39
Cumulative realized capital gain and loss position from 12/31/2018 for securities held in principal of account:
Short Term: 46,968.75 * Long Term: 0.00 *
* The above gain and loss position does not include transactions where tax cost information is incomplete or unavailable.
CASH AND SHORT TERM
Total CASH AND SHORT TERM 3,670,638.39 3,601,930.99 0.00 0.00 0.00%
ACCOUNT TOTALS 3,670,638.39 3,601,930.99 0.00 0.00 0.00%
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U.S. Bank
Investment Listing - Yield
As of 12/31/2019
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Cash Equivalents 313384RU5 F H L B DISC NTS 1/14/20 0.0000% 1,200,000.0000 N/A N/A 99.95 1,198,691.67 1,199,400.00
Cash Equivalents 313384SD2 F H L B DISC NTS 1/23/20 0.0000% 5,000,000.0000 N/A N/A 99.91 4,992,586.11 4,995,600.00
Cash Equivalents 313384SK6 F H L B DISC NTS 1/29/20 0.0000% 4,500,000.0000 N/A N/A 99.89 4,492,175.00 4,494,915.00
Cash Equivalents 31846V567 FIRST AM GOVT OB FD CL Z 1.4652% 5,270,167.5700 1.00 5,270,167.57 5,270,167.57
Cash Equivalents 31846V567 FIRST AM GOVT OB FD CL Z 1.4652% 6,029,999.8000 1.00 6,029,999.80 6,029,999.80
Cash Equivalents 62479LDQ5 MUFG BANK LTD NY BRAN C P 4/24/20 0.0000% 1,365,000.0000 99.44 1,353,689.46 1,357,410.60
Cash Equivalents 62479LDQ5 MUFG BANK LTD NY BRAN C P 4/24/20 0.0000% 10,000,000.0000 99.44 9,917,138.89 9,944,400.00
Cash Equivalents 69372AAF9 PACCAR FINANCIAL CORP C P 1/15/20 0.0000% 1,100,000.0000 99.94 1,094,969.03 1,099,362.00
Cash Equivalents 89233GAH9 TOYOTA MOTOR CREDIT CO C P 1/17/20 0.0000% 2,000,000.0000 99.93 1,961,884.44 1,998,660.00
Cash Equivalents 912796RT8 U S TREASURY BILL 1/02/20 1.3900% 7,500,000.0000 N/A N/A 1.00 7,496,905.21 7,500,000.00
Cash Equivalents 912796RY7 U S TREASURY BILL 1/30/20 1.4053% 21,000,000.0000 N/A N/A 99.89 20,909,107.77 20,976,270.00
Cash Equivalents 912796TH2 U S TREASURY BILL 3/05/20 1.5202% 7,500,000.0000 N/A N/A 99.74 7,476,699.31 7,480,275.00
Cash Equivalents 912796WM7 U S TREASURY BILL 1/07/20 1.3553% 7,500,000.0000 N/A N/A 99.98 7,495,320.31 7,498,575.00
Fixed Income 00440EAP2 ACE INA HOLDINGS 2.700% 3/13/23 2.6436% 2,000,000.0000 A3 A 102.13 1,937,000.00 2,042,680.00
Fixed Income 00440EAU1 ACE INA HOLDINGS 2.875% 11/03/22 2.8020% 4,169,000.0000 A3 A 102.61 4,232,453.17 4,277,685.83
Fixed Income 02587AAJ3 AMERICAN EXPRESS 1.930% 9/15/22 1.9301% 6,270,000.0000 AAA N/A 100.00 6,174,085.15 6,269,686.50
Fixed Income 02665WCJ8 AMERICAN HONDA MTN 3.450% 7/14/23 3.2953% 845,000.0000 A2 A 104.69 843,538.15 884,655.85
Fixed Income 02665WCQ AMERICAN HONDA MTN 3.625% 10/10/23 3.4326% 2,000,000.0000 A2 A 105.60 1,998,320.00 2,112,080.00
Fixed Income 02665WCZ2 AMERICAN HONDA MTN 2.400% 6/27/24 2.3734% 1,219,000.0000 A2 A 101.12 1,213,843.63 1,232,640.61
Fixed Income 03215PFN4 AMRESCO 2.91416% 6/25/29 2.9917% 119,021.6400 N/A A+ 97.41 89,377.81 115,937.79
Fixed Income 037833BS8 APPLE INC 2.250% 2/23/21 2.2367% 4,000,000.0000 AA1 AA+ 100.60 4,050,840.00 4,023,800.00
Fixed Income 037833CU2 APPLE INC 2.850% 5/11/24 2.7551% 3,000,000.0000 AA1 AA+ 103.44 3,017,760.00 3,103,320.00
Fixed Income 06051GFN4 BANK OF AMERICA MTN 2.250% 4/21/20 2.2479% 2,000,000.0000 A2 A- 100.09 2,001,960.00 2,001,880.00
Fixed Income 06051GHF9 BANK OF AMERICA 3.550% 3/05/24 3.4205% 6,675,000.0000 A2 A- 103.79 6,770,625.75 6,927,715.50
Fixed Income 06367BDS5 BANK OF MONTREAL C D 2.000% 3/18/20 1.9995% 1,000,000.0000 100.02 1,000,049.48 1,000,240.00
Fixed Income 06367BDS5 BANK OF MONTREAL C D 2.000% 3/18/20 1.9995% 8,000,000.0000 100.02 8,000,389.30 8,001,920.00
Fixed Income 06367BED7 BANK OF MONTREAL C D 1.890% 5/21/20 1.8901% 1,000,000.0000 100.00 1,000,000.00 999,958.00
Fixed Income 06406HCZ0 BANK OF NY MELLO MTN 2.150% 2/24/20 2.1498% 2,000,000.0000 A1 A 100.01 1,994,230.00 2,000,160.00
Fixed Income 06406RAA5 BANK OF NY MTN 2.600% 2/07/22 2.5610% 2,500,000.0000 A1 A 101.52 2,504,475.00 2,538,025.00
Fixed Income 06406RAE7 BANK OF NY MTN 2.950% 1/29/23 2.8724% 2,500,000.0000 A1 A 102.70 2,489,555.00 2,567,525.00
Fixed Income 084664BT7 BERKSHIRE HATHAWAY 3.000% 5/15/22 2.9200% 4,000,000.0000 AA2 AA 102.74 4,131,120.00 4,109,600.00
Fixed Income 084670BR8 BERKSHIRE HATHAWAY 2.750% 3/15/23 2.6818% 2,500,000.0000 AA2 AA 102.54 2,440,950.00 2,563,550.00
Fixed Income 09247XAL5 BLACKROCK INC 3.500% 3/18/24 3.2897% 1,000,000.0000 AA3 AA- 106.39 1,036,330.00 1,063,930.00
Fixed Income 166764AH3 CHEVRON CORP 3.191% 6/24/23 3.0651% 3,500,000.0000 AA2 AA 104.11 3,441,095.00 3,643,710.00
Fixed Income 166764BG4 CHEVRON CORP 2.100% 5/16/21 2.0868% 2,500,000.0000 AA2 AA 100.63 2,485,350.00 2,515,800.00
Fixed Income 24422EUM9 JOHN DEERE MTN 3.650% 10/12/23 3.4440% 1,250,000.0000 A2 A 105.98 1,250,237.50 1,324,750.00
Fixed Income 30231GAV4 EXXON MOBIL 2.222% 3/01/21 2.2090% 3,000,000.0000 AAA AA+ 100.59 3,016,097.40 3,017,700.00
1 of 5
U.S. Bank
Investment Listing - Yield
As of 12/31/2019
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Fixed Income 3130A0F70 F H L B DEB 3.375% 12/08/23 3.1771% 10,000,000.0000 AAA AA+ 106.23 10,269,043.75 10,622,800.00
Fixed Income 3130A1XJ2 F H L B 2.875% 6/14/24 2.7382% 11,110,000.0000 AAA AA+ 105.00 11,589,031.30 11,664,944.50
Fixed Income 3130A2UW4 F H L B DEB 2.875% 9/13/24 2.7320% 2,500,000.0000 AAA AA+ 105.23 2,635,950.00 2,630,825.00
Fixed Income 3130A7CV5 F H L B DEB 1.375% 2/18/21 1.3784% 5,365,000.0000 AAA AA+ 99.75 5,343,325.40 5,351,802.10
Fixed Income 313379RB7 F H L B DEB 1.875% 6/11/21 1.8690% 4,000,000.0000 AAA AA+ 100.32 4,030,160.00 4,012,840.00
Fixed Income 313383HU8 F H L B DEB 1.750% 6/12/20 1.7495% 5,000,000.0000 AAA AA+ 100.03 5,008,950.00 5,001,400.00
Fixed Income 313383QR5 F H L B DEB 3.250% 6/09/23 3.0845% 5,000,000.0000 AAA AA+ 105.36 5,083,350.00 5,268,200.00
Fixed Income 313383YJ4 F H L B DEB 3.375% 9/08/23 3.1812% 10,000,000.0000 AAA AA+ 106.09 10,211,831.00 10,609,100.00
Fixed Income 3133EKWV4 F F C B DEB 1.850% 7/26/24 1.8424% 5,000,000.0000 AAA AA+ 100.41 5,048,280.00 5,020,600.00
Fixed Income 3133TCE95 F H L M C MLTCL MTG 4.023% 8/15/32 4.0071% 6,774.1500 N/A N/A 100.40 6,781.25 6,801.11
Fixed Income 31348SWZ3 F H L M C #786064 4.174% 1/01/28 4.0726% 1,792.2900 N/A N/A 102.49 1,748.65 1,836.92
Fixed Income 3135G0D75 F N M A DEB 1.500% 6/22/20 1.5011% 5,000,000.0000 AAA AA+ 99.93 4,955,650.00 4,996,500.00
Fixed Income 3135G0F73 F N M A 1.500% 11/30/20 1.5005% 7,500,000.0000 AAA AA+ 99.97 7,370,726.00 7,497,375.00
Fixed Income 3135G0J20 F N M A DEB 1.375% 2/26/21 1.3785% 10,000,000.0000 AAA AA+ 99.75 10,040,950.00 9,974,900.00
Fixed Income 3135G0S38 F N M A 2.000% 1/05/22 1.9847% 3,000,000.0000 AAA AA+ 100.77 2,994,570.00 3,023,130.00
Fixed Income 3135G0T45 F N M A 1.875% 4/05/22 1.8630% 5,000,000.0000 AAA AA+ 100.64 4,972,500.00 5,032,200.00
Fixed Income 3135G0T94 F N M A DEB 2.375% 1/19/23 2.3226% 5,000,000.0000 AAA AA+ 102.26 4,910,990.00 5,112,900.00
Fixed Income 3135G0U35 F N M A 2.750% 6/22/21 2.7043% 7,500,000.0000 AAA AA+ 101.69 7,515,225.00 7,626,825.00
Fixed Income 3135G0V34 F N M A 2.500% 2/05/24 2.4250% 5,000,000.0000 AAA AA+ 103.09 4,980,850.00 5,154,700.00
Fixed Income 31371NUC7 F N M A #257179 4.500% 4/01/28 4.2657% 14,311.3000 N/A N/A 105.49 15,135.61 15,097.28
Fixed Income 31376KT22 F N M A #357969 5.000% 9/01/35 4.5366% 91,977.3800 N/A N/A 110.22 98,875.67 101,372.87
Fixed Income 3137EAEK1 F H L M C M T N 1.875% 11/17/20 1.8713% 5,000,000.0000 AAA AA+ 100.20 4,986,225.00 5,009,800.00
Fixed Income 3137EAEL9 F H L M C M T N 2.375% 2/16/21 2.3548% 7,500,000.0000 AAA AA+ 100.86 7,484,475.00 7,564,275.00
Fixed Income 3137EAEN5 F H L M C 2.750% 6/19/23 2.6478% 10,000,000.0000 AAA AA+ 103.86 9,956,500.00 10,386,000.00
Fixed Income 31381PDA3 F N M A #466397 3.400% 11/01/20 3.3872% 335,148.9200 N/A N/A 100.38 327,896.11 336,412.43
Fixed Income 3138EG6F6 F N M A #AL0869 4.500% 6/01/29 4.2241% 9,516.8400 N/A N/A 106.53 10,065.01 10,138.48
Fixed Income 31394JY35 F H L M C MLTCL MTG 6.500% 9/25/43 5.7641% 670,678.2700 N/A N/A 112.77 759,543.14 756,303.76
Fixed Income 31397QRE0 F N M A GTD REMIC 2.472% 2/25/41 2.4557% 177,519.8400 N/A N/A 100.67 177,464.37 178,700.35
Fixed Income 31398VJ98 F H L M C MLTCL MTG 4.251% 1/25/20 4.2583% 56,619.5500 N/A N/A 99.83 59,830.94 56,522.73
Fixed Income 31403DJZ3 F N M A #745580 5.000% 6/01/36 4.5358% 87,778.4900 N/A N/A 110.23 94,361.88 96,761.74
Fixed Income 31403GXF4 F N M A #748678 5.000% 10/01/33 4.5833% 1,754.0700 N/A N/A 109.09 1,885.63 1,913.53
Fixed Income 31406PQY8 F N M A #815971 5.000% 3/01/35 4.5390% 146,059.4400 N/A N/A 110.16 157,013.91 160,894.70
Fixed Income 31406XWT5 F N M A #823358 4.347% 2/01/35 4.1557% 107,908.8400 N/A N/A 104.60 107,065.80 112,875.88
Fixed Income 31407BXH7 F N M A #826080 5.000% 7/01/35 4.5432% 17,677.8100 N/A N/A 110.06 19,003.64 19,455.31
Fixed Income 31410F4V4 F N M A #888336 5.000% 7/01/36 4.5355% 171,680.9900 N/A N/A 110.24 184,557.07 189,264.56
Fixed Income 31417YAY3 F N M A #MA0022 4.500% 4/01/29 4.2651% 15,442.9600 N/A N/A 105.51 16,332.45 16,293.56
Fixed Income 36225CAZ9 G N M A I I #080023 4.125% 12/20/26 4.0162% 14,453.6500 N/A N/A 102.71 14,692.43 14,845.20
2 of 5
U.S. Bank
Investment Listing - Yield
As of 12/31/2019
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Fixed Income 36225CC20 G N M A I I #080088 3.875% 6/20/27 3.8322% 12,324.7400 N/A N/A 101.12 12,594.35 12,462.28
Fixed Income 36225CN28 G N M A I I #080408 3.875% 5/20/30 3.7399% 46,474.0300 N/A N/A 103.61 46,002.04 48,152.67
Fixed Income 36225CNM4 G N M A I I #080395 3.875% 4/20/30 3.7401% 6,225.0900 N/A N/A 103.61 6,168.65 6,449.69
Fixed Income 36225DCB8 G N M A I I #080965 3.250% 7/20/34 3.1121% 43,140.6900 N/A N/A 104.43 43,113.74 45,051.82
Fixed Income 369550BA5 GENERAL DYNAMICS 2.875% 5/11/20 2.8651% 2,000,000.0000 A2 A+ 100.35 2,011,340.00 2,006,940.00
Fixed Income 369550BE7 GENERAL DYNAMICS 3.000% 5/11/21 2.9503% 3,160,000.0000 A2 A+ 101.68 3,138,038.00 3,213,182.80
Fixed Income 404280BF5 HSBC HOLDINGS PLC 2.650% 1/05/22 2.6211% 4,500,000.0000 A2 A 101.10 4,429,980.00 4,549,635.00
Fixed Income 40428HPR7 HSBC USA INC MTN 2.350% 3/05/20 2.3488% 2,500,000.0000 A2 A 100.05 2,493,300.00 2,501,275.00
Fixed Income 40428HPR7 HSBC USA INC MTN 2.350% 3/05/20 2.3488% 2,500,000.0000 A2 A 100.05 2,472,287.50 2,501,275.00
Fixed Income 43814PAC4 HONDA AUTO 1.790% 9/20/21 1.7908% 1,600,231.5000 N/A AAA 99.95 1,574,852.83 1,599,495.39
Fixed Income 43814RAC0 HONDA AUTO 1.210% 12/18/20 1.2109% 229,048.8900 N/A AAA 99.92 226,534.72 228,870.23
Fixed Income 43814UAG4 HONDA AUTO 3.010% 5/18/22 2.9825% 1,710,000.0000 N/A AAA 100.92 1,709,962.72 1,725,783.30
Fixed Income 43814WAB1 HONDA AUTO 2.750% 9/20/21 2.7394% 3,788,865.0700 N/A AAA 100.39 3,788,621.06 3,803,565.87
Fixed Income 43815HAC1 HONDA AUTO 2.950% 8/22/22 2.9206% 3,970,000.0000 AAA N/A 101.01 3,969,455.32 4,010,017.60
Fixed Income 43815NAB0 HONDA AUTO 1.900% 4/15/22 1.9004% 3,530,000.0000 AAA AAA 99.98 3,529,752.90 3,529,294.00
Fixed Income 44932HAH6 IBM CREDIT CORP 3.000% 2/06/23 2.9144% 5,670,000.0000 A2 A 102.94 5,603,264.40 5,836,527.90
Fixed Income 458140BD1 INTEL CORP 2.875% 5/11/24 2.7678% 5,000,000.0000 A1 A+ 103.87 5,025,900.00 5,193,700.00
Fixed Income 4581X0CS5 INTER AMER BK M T N 1.875% 3/15/21 1.8711% 5,000,000.0000 AAA AAA 100.21 5,059,610.00 5,010,350.00
Fixed Income 4581X0CW6 INTER AMER DEV BK 2.125% 1/18/22 2.1068% 3,000,000.0000 AAA N/A 100.87 2,996,310.00 3,025,950.00
Fixed Income 4581X0CX4 INTER AMER DEV BK 1.625% 5/12/20 1.6259% 3,035,000.0000 AAA AAA 99.94 3,027,807.05 3,033,239.70
Fixed Income 4581X0CZ9 INTER AMER DEV BK 1.750% 9/14/22 1.7459% 6,500,000.0000 AAA AAA 100.23 6,249,655.00 6,515,210.00
Fixed Income 459058FY4 INTL BK 2.000% 1/26/22 1.9858% 10,000,000.0000 AAA N/A 100.72 10,006,350.00 10,071,600.00
Fixed Income 45950KCJ7 INTL FINANCE CORP 1.125% 7/20/21 1.1346% 2,500,000.0000 AAA AAA 99.15 2,441,600.00 2,478,850.00
Fixed Income 45950KCM0 INTL BK M T N 2.250% 1/25/21 2.2366% 2,970,000.0000 AAA AAA 100.60 2,961,268.20 2,987,790.30
Fixed Income 46625HRL6 JP MORGAN CHASE CO 2.700% 5/18/23 2.6517% 5,000,000.0000 A2 A- 101.82 4,821,910.00 5,091,000.00
Fixed Income 46647PAU0 JPMORGAN CHASE CO 3.797% 7/23/24 3.6023% 2,500,000.0000 A2 A- 105.41 2,632,175.00 2,635,125.00
Fixed Income 477870AB5 JOHN DEERE OWNER 2.280% 5/16/22 2.2751% 2,800,000.0000 AAA N/A 100.22 2,799,989.36 2,806,048.00
Fixed Income 47788BAD6 JOHN DEERE OWNER 1.820% 10/15/21 1.8216% 324,036.2200 AAA N/A 99.91 324,012.49 323,747.83
Fixed Income 47788CAC6 JOHN DEERE OWNER 2.660% 4/18/22 2.6500% 1,113,192.8600 AAA N/A 100.38 1,113,112.82 1,117,389.60
Fixed Income 47788EAC2 JOHN DEERE OWNER 3.080% 11/15/22 3.0487% 4,630,000.0000 AAA N/A 101.03 4,629,649.05 4,677,550.10
Fixed Income 47789JAB2 JOHN DEERE OWNER 2.850% 12/15/21 2.8408% 2,765,654.6500 AAA N/A 100.33 2,765,528.54 2,774,643.03
Fixed Income 525ESC0Y6 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 0.0008% 600,000.0000 N/A N/A 1.27 319,005.35 7,620.00
Fixed Income 58933YAF2 MERCK CO INC 2.800% 5/18/23 2.7174% 2,000,000.0000 A1 AA 103.04 1,948,640.00 2,060,760.00
Fixed Income 594918BP8 MICROSOFT CORP 1.550% 8/08/21 1.5520% 3,045,000.0000 AAA AAA 99.87 3,041,385.15 3,040,980.60
Fixed Income 61747WAL3 MORGAN STANLEY 5.500% 7/28/21 5.2210% 2,800,000.0000 A3 BBB+ 105.34 3,200,848.00 2,949,604.00
Fixed Income 64971M5E8 NEW YORK CITY NY 4.075% 11/01/20 3.9998% 1,400,000.0000 AA1 AAA 101.88 1,400,000.00 1,426,334.00
3 of 5
U.S. Bank
Investment Listing - Yield
As of 12/31/2019
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Fixed Income 65478GAD2 NISSAN AUTO 1.750% 10/15/21 1.7516% 1,563,223.4400 AAA N/A 99.91 1,538,981.27 1,561,816.54
Fixed Income 65478VAD9 NISSAN AUTO 1.320% 1/15/21 1.3204% 35,911.0400 AAA N/A 99.97 35,623.47 35,900.27
Fixed Income 65479GAD1 NISSAN AUTO 3.060% 3/15/23 3.0191% 3,560,000.0000 AAA AAA 101.35 3,559,884.66 3,608,202.40
Fixed Income 65479JAD5 NISSAN AUTO 1.930% 7/15/24 1.9292% 4,185,000.0000 AAA AAA 100.04 4,184,779.03 4,186,674.00
Fixed Income 68389XBK0 ORACLE CORP 1.900% 9/15/21 1.8960% 3,000,000.0000 A1 A+ 100.21 2,892,240.00 3,006,300.00
Fixed Income 69353RFB9 PNC BANK NA MTN 2.625% 2/17/22 2.5886% 1,000,000.0000 A2 A 101.41 974,940.00 1,014,070.00
Fixed Income 69353RFL7 PNC BANK NA MTN 3.500% 6/08/23 3.3363% 5,000,000.0000 A2 A 104.91 4,993,318.05 5,245,350.00
Fixed Income 747525AD5 QUALCOMM INC 2.250% 5/20/20 2.2475% 2,000,000.0000 A2 A- 100.11 2,002,700.00 2,002,200.00
Fixed Income 747525AD5 QUALCOMM INC 2.250% 5/20/20 2.2475% 5,000,000.0000 A2 A- 100.11 4,995,195.40 5,005,500.00
Fixed Income 78012KC62 ROYAL BANK MTN 2.125% 3/02/20 2.1242% 2,000,000.0000 AA2 AA- 100.04 2,001,340.00 2,000,740.00
Fixed Income 78013XZU5 ROYAL BANK OF MTN 2.550% 7/16/24 2.5114% 6,500,000.0000 A2 A 101.54 6,581,445.00 6,600,035.00
Fixed Income 78445JAA5 S L M A 3.5925% 4/25/23 3.5827% 12,762.9400 BAA3 B 100.28 12,711.16 12,798.04
Fixed Income 808513AT2 CHARLES SCHWAB CORP 2.650% 1/25/23 2.5991% 6,750,000.0000 A2 A 101.96 6,729,480.00 6,882,232.50
Fixed Income 83162CLJ0 S B A GTD DEV PART 6.340% 3/01/21 6.2702% 11,184.5600 N/A N/A 101.11 11,184.56 11,309.16
Fixed Income 89114M2Z9 TORONTO DOMINION C D 2.200% 1/23/20 2.1995% 2,000,000.0000 100.03 2,000,285.65 2,000,500.00
Fixed Income 89114QC48 TORONTO MTN 3.500% 7/19/23 3.3251% 5,000,000.0000 AA1 AA- 105.26 5,094,200.00 5,263,050.00
Fixed Income 89114QCA4 TORONTO DOMINION MTN 2.650% 6/12/24 2.5869% 3,000,000.0000 AA3 A 102.44 3,000,570.00 3,073,170.00
Fixed Income 89239AAB9 TOYOTA AUTO 2.830% 10/15/21 2.8201% 2,755,642.4600 AAA AAA 100.35 2,755,392.25 2,765,287.21
Fixed Income 90331HNL3 US BANK NA MTN 2.850% 1/23/23 2.7828% 5,000,000.0000 A1 AA- 102.41 4,981,600.00 5,120,700.00
Fixed Income 9128283J7 U S TREASURY NT 2.125% 11/30/24 2.0825% 16,500,000.0000 AAA N/A 102.04 16,783,886.72 16,837,095.00
Fixed Income 9128283S7 U S TREASURY NT 2.000% 1/31/20 1.9995% 30,000,000.0000 WR N/A 100.03 29,961,132.82 30,008,100.00
Fixed Income 9128283S7 U S TREASURY NT 2.000% 1/31/20 1.9995% 5,000,000.0000 WR N/A 100.03 5,001,953.13 5,001,350.00
Fixed Income 9128284D9 U S TREASURY NT 2.500% 3/31/23 2.4325% 10,000,000.0000 AAA N/A 102.77 9,887,265.63 10,277,300.00
Fixed Income 912828H52 U S TREASURY NT 1.250% 1/31/20 1.2504% 13,500,000.0000 WR N/A 99.97 13,396,542.97 13,495,680.00
Fixed Income 912828J76 U S TREASURY NT 1.750% 3/31/22 1.7435% 5,000,000.0000 AAA N/A 100.38 4,976,383.94 5,018,750.00
Fixed Income 912828L24 U S TREASURY NT 1.875% 8/31/22 1.8613% 6,000,000.0000 AAA N/A 100.73 5,987,832.60 6,044,040.00
Fixed Income 912828L32 U S TREASURY NT 1.375% 8/31/20 1.3773% 5,000,000.0000 AAA N/A 99.83 4,991,015.63 4,991,600.00
Fixed Income 912828L57 U S TREASURY NT 1.750% 9/30/22 1.7430% 20,000,000.0000 AAA N/A 100.40 19,778,320.32 20,080,400.00
Fixed Income 912828L99 U S TREASURY NT 1.375% 10/31/20 1.3782% 10,000,000.0000 AAA N/A 99.77 9,850,311.40 9,977,000.00
Fixed Income 912828M80 U S TREASURY NT 2.000% 11/30/22 1.9777% 8,000,000.0000 AAA N/A 101.13 7,907,500.00 8,090,320.00
Fixed Income 912828MP2 U S TREASURY NT 3.625% 2/15/20 3.6166% 5,000,000.0000 AAA N/A 100.23 5,013,671.88 5,011,600.00
Fixed Income 912828N30 U S TREASURY NT 2.125% 12/31/22 2.0931% 5,000,000.0000 AAA N/A 101.52 4,926,562.50 5,076,150.00
Fixed Income 912828N89 U S TREASURY NT 1.375% 1/31/21 1.3788% 6,000,000.0000 AAA N/A 99.72 5,895,840.41 5,983,380.00
Fixed Income 912828R69 U S TREASURY NT 1.625% 5/31/23 1.6249% 5,000,000.0000 AAA N/A 100.00 4,757,226.56 5,000,200.00
Fixed Income 912828T34 U S TREASURY NT 1.125% 9/30/21 1.1341% 7,000,000.0000 AAA N/A 99.20 6,757,914.08 6,943,650.00
Fixed Income 912828T67 U S TREASURY NT 1.250% 10/31/21 1.2576% 6,000,000.0000 AAA N/A 99.40 5,813,691.98 5,963,880.00
Fixed Income 912828U57 U S TREASURY NT 2.125% 11/30/23 2.0878% 15,000,000.0000 AAA N/A 101.78 14,723,632.81 15,267,150.00
4 of 5
U.S. Bank
Investment Listing - Yield
As of 12/31/2019
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Fixed Income 912828U65 U S TREASURY NT 1.750% 11/30/21 1.7446% 7,000,000.0000 AAA N/A 100.31 6,900,492.20 7,021,630.00
Fixed Income 912828UL2 U S TREASURY NT 1.375% 1/31/20 1.3753% 5,000,000.0000 WR N/A 99.98 4,988,671.88 4,998,900.00
Fixed Income 912828V72 U S TREASURY NT 1.875% 1/31/22 1.8641% 3,000,000.0000 AAA N/A 100.59 3,004,814.74 3,017,580.00
Fixed Income 912828V80 U S TREASURY NT 2.250% 1/31/24 2.1991% 7,500,000.0000 AAA 102.32 7,491,503.91 7,673,700.00
Fixed Income 912828VJ6 U S TREASURY NT 1.875% 6/30/20 1.8727% 15,000,000.0000 AAA N/A 100.12 15,022,265.63 15,018,150.00
Fixed Income 912828VV9 U S TREASURY NT 2.125% 8/31/20 2.1185% 15,000,000.0000 AAA N/A 100.31 15,049,804.69 15,045,750.00
Fixed Income 912828W48 U S TREASURY NT 2.125% 2/29/24 2.0863% 10,000,000.0000 AAA N/A 101.86 9,911,718.75 10,185,600.00
Fixed Income 912828WJ5 U S TREASURY NT 2.500% 5/15/24 2.4161% 7,000,000.0000 AAA N/A 103.47 7,193,046.88 7,243,110.00
Fixed Income 912828WU0 U S TREASURY I P S 0.125% 7/15/24 0.1243% 11,270,792.0000 AAA N/A 100.60 11,126,072.09 11,337,853.21
Fixed Income 912828XE5 U S TREASURY NT 1.500% 5/31/20 1.5008% 5,000,000.0000 AAA N/A 99.95 4,966,423.00 4,997,250.00
Fixed Income 912828XW5 U S TREASURY NT 1.750% 6/30/22 1.7428% 5,000,000.0000 AAA N/A 100.41 4,973,454.25 5,020,700.00
Fixed Income 912828XX3 U S TREASURY NT 2.000% 6/30/24 1.9726% 5,000,000.0000 AAA N/A 101.39 5,028,710.94 5,069,350.00
Fixed Income 912828XY1 U S TREASURY NT 2.500% 6/30/20 2.4895% 5,000,000.0000 AAA N/A 100.42 5,022,070.31 5,021,100.00
Fixed Income 912828YH7 U S TREASURY NT 1.500% 9/30/24 1.5126% 14,000,000.0000 AAA N/A 99.17 13,859,296.88 13,883,520.00
Fixed Income 913366EJ5 UNIV OF CALIFORNIA 5.035% 5/15/21 4.8341% 400,000.0000 AA3 AA- 104.16 400,000.00 416,620.00
Fixed Income 931142EK5 WALMART INC 3.400% 6/26/23 3.2335% 3,880,000.0000 AA2 AA 105.15 3,878,991.40 4,079,820.00
Fixed Income 94974BGF1 WELLS FARGO MTN 2.150% 1/30/20 2.1497% 1,000,000.0000 WR N/R 100.02 996,600.00 1,000,150.00
Fixed Income 94974BGM6 WELLS FARGO CO MTN 2.600% 7/22/20 2.5901% 5,000,000.0000 A2 A- 100.38 5,001,650.00 5,019,100.00
Fixed Income 95000U2B8 WELLS FARGO MTN 2.625% 7/22/22 2.5864% 3,000,000.0000 A2 A- 101.49 2,954,520.00 3,044,820.00
Total Consolidated 752,224,246.10
5 of 5
U.S. Bank
Asset Detail - Consolidated
As of 12/31/2019
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
Cash Equivalents Total
313384RU5 F H L B DISC NTS 1/14/20 99.95 1,200,000.0000 1,198,691.67 1,199,400.00 0.16 708.33
313384SD2 F H L B DISC NTS 1/23/20 99.91 5,000,000.0000 4,992,586.11 4,995,600.00 0.66 3,013.89
313384SK6 F H L B DISC NTS 1/29/20 99.89 4,500,000.0000 4,492,175.00 4,494,915.00 0.60 2,740.00
31846V567 FIRST AM GOVT OB FD CL Z 1.00 5,270,167.5700 5,270,167.57 5,270,167.57 0.70 -
31846V567 FIRST AM GOVT OB FD CL Z 1.00 6,029,999.8000 6,029,999.80 6,029,999.80 0.80 -
62479LDQ5 MUFG BANK LTD NY BRAN C P 4/24/20 99.44 1,365,000.0000 1,353,689.46 1,357,410.60 0.18 3,721.14
62479LDQ5 MUFG BANK LTD NY BRAN C P 4/24/20 99.44 10,000,000.0000 9,917,138.89 9,944,400.00 1.32 27,261.11
69372AAF9 PACCAR FINANCIAL CORP C P 1/15/20 99.94 1,100,000.0000 1,094,969.03 1,099,362.00 0.15 4,392.97
89233GAH9 TOYOTA MOTOR CREDIT CO C P 1/17/20 99.93 2,000,000.0000 1,961,884.44 1,998,660.00 0.27 36,775.56
912796RT8 U S TREASURY BILL 1/02/20 1.00 7,500,000.0000 7,496,905.21 7,500,000.00 1.00 3,094.79
912796RY7 U S TREASURY BILL 1/30/20 99.89 21,000,000.0000 20,909,107.77 20,976,270.00 2.79 67,162.23
912796TH2 U S TREASURY BILL 3/05/20 99.74 7,500,000.0000 7,476,699.31 7,480,275.00 0.99 3,575.69
912796WM7 U S TREASURY BILL 1/07/20 99.98 7,500,000.0000 7,495,320.31 7,498,575.00 1.00 3,254.69
Cash Equivalents Total 79,965,167.3700 79,689,334.57 79,845,034.97 10.61 155,700.40
Fixed Income
00440EAP2 ACE INA HOLDINGS 2.700% 3/13/23 102.13 2,000,000.0000 1,937,000.00 2,042,680.00 0.27 105,680.00
00440EAU1 ACE INA HOLDINGS 2.875% 11/03/22 102.61 4,169,000.0000 4,232,453.17 4,277,685.83 0.57 45,232.66
02587AAJ3 AMERICAN EXPRESS 1.930% 9/15/22 100.00 6,270,000.0000 6,174,085.15 6,269,686.50 0.83 95,601.35
02665WCJ8 AMERICAN HONDA MTN 3.450% 7/14/23 104.69 845,000.0000 843,538.15 884,655.85 0.12 41,117.70
02665WCQ2 AMERICAN HONDA MTN 3.625% 10/10/23 105.60 2,000,000.0000 1,998,320.00 2,112,080.00 0.28 113,760.00
02665WCZ2 AMERICAN HONDA MTN 2.400% 6/27/24 101.12 1,219,000.0000 1,213,843.63 1,232,640.61 0.16 18,796.98
03215PFN4 AMRESCO 2.91416% 6/25/29 97.41 119,021.6400 89,377.81 115,937.79 0.02 26,559.98
037833BS8 APPLE INC 2.250% 2/23/21 100.60 4,000,000.0000 4,050,840.00 4,023,800.00 0.53 (27,040.00)
037833CU2 APPLE INC 2.850% 5/11/24 103.44 3,000,000.0000 3,017,760.00 3,103,320.00 0.41 85,560.00
06051GFN4 BANK OF AMERICA MTN 2.250% 4/21/20 100.09 2,000,000.0000 2,001,960.00 2,001,880.00 0.27 (80.00)
06051GHF9 BANK OF AMERICA 3.550% 3/05/24 103.79 6,675,000.0000 6,770,625.75 6,927,715.50 0.92 157,089.75
06367BDS5 BANK OF MONTREAL C D 2.000% 3/18/20 100.02 1,000,000.0000 1,000,049.48 1,000,240.00 0.13 190.52
06367BDS5 BANK OF MONTREAL C D 2.000% 3/18/20 100.02 8,000,000.0000 8,000,389.30 8,001,920.00 1.06 1,530.70
06367BED7 BANK OF MONTREAL C D 1.890% 5/21/20 100.00 1,000,000.0000 1,000,000.00 999,958.00 0.13 (42.00)
06406HCZ0 BANK OF NY MELLO MTN 2.150% 2/24/20 100.01 2,000,000.0000 1,994,230.00 2,000,160.00 0.27 5,930.00
06406RAA5 BANK OF NY MTN 2.600% 2/07/22 101.52 2,500,000.0000 2,504,475.00 2,538,025.00 0.34 33,550.00
06406RAE7 BANK OF NY MTN 2.950% 1/29/23 102.70 2,500,000.0000 2,489,555.00 2,567,525.00 0.34 77,970.00
084664BT7 BERKSHIRE HATHAWAY 3.000% 5/15/22 102.74 4,000,000.0000 4,131,120.00 4,109,600.00 0.55 (21,520.00)
084670BR8 BERKSHIRE HATHAWAY 2.750% 3/15/23 102.54 2,500,000.0000 2,440,950.00 2,563,550.00 0.34 122,600.00
09247XAL5 BLACKROCK INC 3.500% 3/18/24 106.39 1,000,000.0000 1,036,330.00 1,063,930.00 0.14 27,600.00
166764AH3 CHEVRON CORP 3.191% 6/24/23 104.11 3,500,000.0000 3,441,095.00 3,643,710.00 0.48 202,615.00
166764BG4 CHEVRON CORP 2.100% 5/16/21 100.63 2,500,000.0000 2,485,350.00 2,515,800.00 0.33 30,450.00
24422EUM9 JOHN DEERE MTN 3.650% 10/12/23 105.98 1,250,000.0000 1,250,237.50 1,324,750.00 0.18 74,512.50
30231GAV4 EXXON MOBIL 2.222% 3/01/21 100.59 3,000,000.0000 3,016,097.40 3,017,700.00 0.40 1,602.60
3130A0F70 F H L B DEB 3.375% 12/08/23 106.23 10,000,000.0000 10,269,043.75 10,622,800.00 1.41 353,756.25
1 of 5
U.S. Bank
Asset Detail - Consolidated
As of 12/31/2019
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
3130A1XJ2 F H L B 2.875% 6/14/24 105.00 11,110,000.0000 11,589,031.30 11,664,944.50 1.55 75,913.20
3130A2UW4 F H L B DEB 2.875% 9/13/24 105.23 2,500,000.0000 2,635,950.00 2,630,825.00 0.35 (5,125.00)
3130A7CV5 F H L B DEB 1.375% 2/18/21 99.75 5,365,000.0000 5,343,325.40 5,351,802.10 0.71 8,476.70
313379RB7 F H L B DEB 1.875% 6/11/21 100.32 4,000,000.0000 4,030,160.00 4,012,840.00 0.53 (17,320.00)
313383HU8 F H L B DEB 1.750% 6/12/20 100.03 5,000,000.0000 5,008,950.00 5,001,400.00 0.66 (7,550.00)
313383QR5 F H L B DEB 3.250% 6/09/23 105.36 5,000,000.0000 5,083,350.00 5,268,200.00 0.70 184,850.00
313383YJ4 F H L B DEB 3.375% 9/08/23 106.09 10,000,000.0000 10,211,831.00 10,609,100.00 1.41 397,269.00
3133EKWV4 F F C B DEB 1.850% 7/26/24 100.41 5,000,000.0000 5,048,280.00 5,020,600.00 0.67 (27,680.00)
3133TCE95 F H L M C MLTCL MTG 4.023% 8/15/32 100.40 6,774.1500 6,781.25 6,801.11 0.00 19.86
31348SWZ3 F H L M C #786064 4.174% 1/01/28 102.49 1,792.2900 1,748.65 1,836.92 0.00 88.27
3135G0D75 F N M A DEB 1.500% 6/22/20 99.93 5,000,000.0000 4,955,650.00 4,996,500.00 0.66 40,850.00
3135G0F73 F N M A 1.500% 11/30/20 99.97 7,500,000.0000 7,370,726.00 7,497,375.00 1.00 126,649.00
3135G0J20 F N M A DEB 1.375% 2/26/21 99.75 10,000,000.0000 10,040,950.00 9,974,900.00 1.33 (66,050.00)
3135G0S38 F N M A 2.000% 1/05/22 100.77 3,000,000.0000 2,994,570.00 3,023,130.00 0.40 28,560.00
3135G0T45 F N M A 1.875% 4/05/22 100.64 5,000,000.0000 4,972,500.00 5,032,200.00 0.67 59,700.00
3135G0T94 F N M A DEB 2.375% 1/19/23 102.26 5,000,000.0000 4,910,990.00 5,112,900.00 0.68 201,910.00
3135G0U35 F N M A 2.750% 6/22/21 101.69 7,500,000.0000 7,515,225.00 7,626,825.00 1.01 111,600.00
3135G0V34 F N M A 2.500% 2/05/24 103.09 5,000,000.0000 4,980,850.00 5,154,700.00 0.69 173,850.00
31371NUC7 F N M A #257179 4.500% 4/01/28 105.49 14,311.3000 15,135.61 15,097.28 0.00 (38.33)
31376KT22 F N M A #357969 5.000% 9/01/35 110.22 91,977.3800 98,875.67 101,372.87 0.01 2,497.20
3137EAEK1 F H L M C M T N 1.875% 11/17/20 100.20 5,000,000.0000 4,986,225.00 5,009,800.00 0.67 23,575.00
3137EAEL9 F H L M C M T N 2.375% 2/16/21 100.86 7,500,000.0000 7,484,475.00 7,564,275.00 1.01 79,800.00
3137EAEN5 F H L M C 2.750% 6/19/23 103.86 10,000,000.0000 9,956,500.00 10,386,000.00 1.38 429,500.00
31381PDA3 F N M A #466397 3.400% 11/01/20 100.38 335,148.9200 327,896.11 336,412.43 0.04 8,516.32
3138EG6F6 F N M A #AL0869 4.500% 6/01/29 106.53 9,516.8400 10,065.01 10,138.48 0.00 73.47
31394JY35 F H L M C MLTCL MTG 6.500% 9/25/43 112.77 670,678.2700 759,543.14 756,303.76 0.10 (3,239.38)
31397QRE0 F N M A GTD REMIC 2.472% 2/25/41 100.67 177,519.8400 177,464.37 178,700.35 0.02 1,235.98
31398VJ98 F H L M C MLTCL MTG 4.251% 1/25/20 99.83 56,619.5500 59,830.94 56,522.73 0.01 (3,308.21)
31403DJZ3 F N M A #745580 5.000% 6/01/36 110.23 87,778.4900 94,361.88 96,761.74 0.01 2,399.86
31403GXF4 F N M A #748678 5.000% 10/01/33 109.09 1,754.0700 1,885.63 1,913.53 0.00 27.90
31406PQY8 F N M A #815971 5.000% 3/01/35 110.16 146,059.4400 157,013.91 160,894.70 0.02 3,880.79
31406XWT5 F N M A #823358 4.347% 2/01/35 104.60 107,908.8400 107,065.80 112,875.88 0.02 5,810.08
31407BXH7 F N M A #826080 5.000% 7/01/35 110.06 17,677.8100 19,003.64 19,455.31 0.00 451.67
31410F4V4 F N M A #888336 5.000% 7/01/36 110.24 171,680.9900 184,557.07 189,264.56 0.03 4,707.49
31417YAY3 F N M A #MA0022 4.500% 4/01/29 105.51 15,442.9600 16,332.45 16,293.56 0.00 (38.89)
36225CAZ9 G N M A I I #080023 4.125% 12/20/26 102.71 14,453.6500 14,692.43 14,845.20 0.00 152.77
36225CC20 G N M A I I #080088 3.875% 6/20/27 101.12 12,324.7400 12,594.35 12,462.28 0.00 (132.07)
36225CN28 G N M A I I #080408 3.875% 5/20/30 103.61 46,474.0300 46,002.04 48,152.67 0.01 2,150.63
36225CNM4 G N M A I I #080395 3.875% 4/20/30 103.61 6,225.0900 6,168.65 6,449.69 0.00 281.04
36225DCB8 G N M A I I #080965 3.250% 7/20/34 104.43 43,140.6900 43,113.74 45,051.82 0.01 1,938.08
369550BA5 GENERAL DYNAMICS 2.875% 5/11/20 100.35 2,000,000.0000 2,011,340.00 2,006,940.00 0.27 (4,400.00)
369550BE7 GENERAL DYNAMICS 3.000% 5/11/21 101.68 3,160,000.0000 3,138,038.00 3,213,182.80 0.43 75,144.80
2 of 5
U.S. Bank
Asset Detail - Consolidated
As of 12/31/2019
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
404280BF5 HSBC HOLDINGS PLC 2.650% 1/05/22 101.10 4,500,000.0000 4,429,980.00 4,549,635.00 0.60 119,655.00
40428HPR7 HSBC USA INC MTN 2.350% 3/05/20 100.05 2,500,000.0000 2,493,300.00 2,501,275.00 0.33 7,975.00
40428HPR7 HSBC USA INC MTN 2.350% 3/05/20 100.05 2,500,000.0000 2,472,287.50 2,501,275.00 0.33 28,987.50
43814PAC4 HONDA AUTO 1.790% 9/20/21 99.95 1,600,231.5000 1,574,852.83 1,599,495.39 0.21 24,642.56
43814RAC0 HONDA AUTO 1.210% 12/18/20 99.92 229,048.8900 226,534.72 228,870.23 0.03 2,335.51
43814UAG4 HONDA AUTO 3.010% 5/18/22 100.92 1,710,000.0000 1,709,962.72 1,725,783.30 0.23 15,820.58
43814WAB1 HONDA AUTO 2.750% 9/20/21 100.39 3,788,865.0700 3,788,621.06 3,803,565.87 0.51 14,944.81
43815HAC1 HONDA AUTO 2.950% 8/22/22 101.01 3,970,000.0000 3,969,455.32 4,010,017.60 0.53 40,562.28
43815NAB0 HONDA AUTO 1.900% 4/15/22 99.98 3,530,000.0000 3,529,752.90 3,529,294.00 0.47 (458.90)
44932HAH6 IBM CREDIT CORP 3.000% 2/06/23 102.94 5,670,000.0000 5,603,264.40 5,836,527.90 0.78 233,263.50
458140BD1 INTEL CORP 2.875% 5/11/24 103.87 5,000,000.0000 5,025,900.00 5,193,700.00 0.69 167,800.00
4581X0CS5 INTER AMER BK M T N 1.875% 3/15/21 100.21 5,000,000.0000 5,059,610.00 5,010,350.00 0.67 (49,260.00)
4581X0CW6 INTER AMER DEV BK 2.125% 1/18/22 100.87 3,000,000.0000 2,996,310.00 3,025,950.00 0.40 29,640.00
4581X0CX4 INTER AMER DEV BK 1.625% 5/12/20 99.94 3,035,000.0000 3,027,807.05 3,033,239.70 0.40 5,432.65
4581X0CZ9 INTER AMER DEV BK 1.750% 9/14/22 100.23 6,500,000.0000 6,249,655.00 6,515,210.00 0.87 265,555.00
459058FY4 INTL BK 2.000% 1/26/22 100.72 10,000,000.0000 10,006,350.00 10,071,600.00 1.34 65,250.00
45950KCJ7 INTL FINANCE CORP 1.125% 7/20/21 99.15 2,500,000.0000 2,441,600.00 2,478,850.00 0.33 37,250.00
45950KCM0 INTL BK M T N 2.250% 1/25/21 100.60 2,970,000.0000 2,961,268.20 2,987,790.30 0.40 26,522.10
46625HRL6 JP MORGAN CHASE CO 2.700% 5/18/23 101.82 5,000,000.0000 4,821,910.00 5,091,000.00 0.68 269,090.00
46647PAU0 JPMORGAN CHASE CO 3.797% 7/23/24 105.41 2,500,000.0000 2,632,175.00 2,635,125.00 0.35 2,950.00
477870AB5 JOHN DEERE OWNER 2.280% 5/16/22 100.22 2,800,000.0000 2,799,989.36 2,806,048.00 0.37 6,058.64
47788BAD6 JOHN DEERE OWNER 1.820% 10/15/21 99.91 324,036.2200 324,012.49 323,747.83 0.04 (264.66)
47788CAC6 JOHN DEERE OWNER 2.660% 4/18/22 100.38 1,113,192.8600 1,113,112.82 1,117,389.60 0.15 4,276.78
47788EAC2 JOHN DEERE OWNER 3.080% 11/15/22 101.03 4,630,000.0000 4,629,649.05 4,677,550.10 0.62 47,901.05
47789JAB2 JOHN DEERE OWNER 2.850% 12/15/21 100.33 2,765,654.6500 2,765,528.54 2,774,643.03 0.37 9,114.49
525ESC0Y6 LEHMAN BRTH HLD ESC - 2,000,000.0000 1,027,939.99 - - (1,027,939.99)
525ESCIB7 LEHMAN BRTH MTN ES 0.00001% 1/24/13 1.27 600,000.0000 319,005.35 7,620.00 0.00 (311,385.35)
58933YAF2 MERCK CO INC 2.800% 5/18/23 103.04 2,000,000.0000 1,948,640.00 2,060,760.00 0.27 112,120.00
594918BP8 MICROSOFT CORP 1.550% 8/08/21 99.87 3,045,000.0000 3,041,385.15 3,040,980.60 0.40 (404.55)
61747WAL3 MORGAN STANLEY 5.500% 7/28/21 105.34 2,800,000.0000 3,200,848.00 2,949,604.00 0.39 (251,244.00)
64971M5E8 NEW YORK CITY NY 4.075% 11/01/20 101.88 1,400,000.0000 1,400,000.00 1,426,334.00 0.19 26,334.00
65478GAD2 NISSAN AUTO 1.750% 10/15/21 99.91 1,563,223.4400 1,538,981.27 1,561,816.54 0.21 22,835.27
65478VAD9 NISSAN AUTO 1.320% 1/15/21 99.97 35,911.0400 35,623.47 35,900.27 0.00 276.80
65479GAD1 NISSAN AUTO 3.060% 3/15/23 101.35 3,560,000.0000 3,559,884.66 3,608,202.40 0.48 48,317.74
65479JAD5 NISSAN AUTO 1.930% 7/15/24 100.04 4,185,000.0000 4,184,779.03 4,186,674.00 0.56 1,894.97
68389XBK0 ORACLE CORP 1.900% 9/15/21 100.21 3,000,000.0000 2,892,240.00 3,006,300.00 0.40 114,060.00
69353RFB9 PNC BANK NA MTN 2.625% 2/17/22 101.41 1,000,000.0000 974,940.00 1,014,070.00 0.13 39,130.00
69353RFL7 PNC BANK NA MTN 3.500% 6/08/23 104.91 5,000,000.0000 4,993,318.05 5,245,350.00 0.70 252,031.95
747525AD5 QUALCOMM INC 2.250% 5/20/20 100.11 2,000,000.0000 2,002,700.00 2,002,200.00 0.27 (500.00)
747525AD5 QUALCOMM INC 2.250% 5/20/20 100.11 5,000,000.0000 4,995,195.40 5,005,500.00 0.67 10,304.60
78012KC62 ROYAL BANK MTN 2.125% 3/02/20 100.04 2,000,000.0000 2,001,340.00 2,000,740.00 0.27 (600.00)
78013XZU5 ROYAL BANK OF MTN 2.550% 7/16/24 101.54 6,500,000.0000 6,581,445.00 6,600,035.00 0.88 18,590.00
3 of 5
U.S. Bank
Asset Detail - Consolidated
As of 12/31/2019
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
78445JAA5 S L M A 3.5925% 4/25/23 100.28 12,762.9400 12,711.16 12,798.04 0.00 86.88
808513AT2 CHARLES SCHWAB CORP 2.650% 1/25/23 101.96 6,750,000.0000 6,729,480.00 6,882,232.50 0.91 152,752.50
83162CLJ0 S B A GTD DEV PART 6.340% 3/01/21 101.11 11,184.5600 11,184.56 11,309.16 0.00 124.60
89114M2Z9 TORONTO DOMINION C D 2.200% 1/23/20 100.03 2,000,000.0000 2,000,285.65 2,000,500.00 0.27 214.35
89114QC48 TORONTO MTN 3.500% 7/19/23 105.26 5,000,000.0000 5,094,200.00 5,263,050.00 0.70 168,850.00
89114QCA4 TORONTO DOMINION MTN 2.650% 6/12/24 102.44 3,000,000.0000 3,000,570.00 3,073,170.00 0.41 72,600.00
89239AAB9 TOYOTA AUTO 2.830% 10/15/21 100.35 2,755,642.4600 2,755,392.25 2,765,287.21 0.37 9,894.96
90331HNL3 US BANK NA MTN 2.850% 1/23/23 102.41 5,000,000.0000 4,981,600.00 5,120,700.00 0.68 139,100.00
9128283J7 U S TREASURY NT 2.125% 11/30/24 102.04 16,500,000.0000 16,783,886.72 16,837,095.00 2.24 53,208.28
9128283S7 U S TREASURY NT 2.000% 1/31/20 100.03 30,000,000.0000 29,961,132.82 30,008,100.00 3.99 46,967.18
9128283S7 U S TREASURY NT 2.000% 1/31/20 100.03 5,000,000.0000 5,001,953.13 5,001,350.00 0.66 (603.13)
9128284D9 U S TREASURY NT 2.500% 3/31/23 102.77 10,000,000.0000 9,887,265.63 10,277,300.00 1.37 390,034.37
912828H52 U S TREASURY NT 1.250% 1/31/20 99.97 13,500,000.0000 13,396,542.97 13,495,680.00 1.79 99,137.03
912828J76 U S TREASURY NT 1.750% 3/31/22 100.38 5,000,000.0000 4,976,383.94 5,018,750.00 0.67 42,366.06
912828L24 U S TREASURY NT 1.875% 8/31/22 100.73 6,000,000.0000 5,987,832.60 6,044,040.00 0.80 56,207.40
912828L32 U S TREASURY NT 1.375% 8/31/20 99.83 5,000,000.0000 4,991,015.63 4,991,600.00 0.66 584.37
912828L57 U S TREASURY NT 1.750% 9/30/22 100.40 20,000,000.0000 19,778,320.32 20,080,400.00 2.67 302,079.68
912828L99 U S TREASURY NT 1.375% 10/31/20 99.77 10,000,000.0000 9,850,311.40 9,977,000.00 1.33 126,688.60
912828M80 U S TREASURY NT 2.000% 11/30/22 101.13 8,000,000.0000 7,907,500.00 8,090,320.00 1.08 182,820.00
912828MP2 U S TREASURY NT 3.625% 2/15/20 100.23 5,000,000.0000 5,013,671.88 5,011,600.00 0.67 (2,071.88)
912828N30 U S TREASURY NT 2.125% 12/31/22 101.52 5,000,000.0000 4,926,562.50 5,076,150.00 0.67 149,587.50
912828N89 U S TREASURY NT 1.375% 1/31/21 99.72 6,000,000.0000 5,895,840.41 5,983,380.00 0.80 87,539.59
912828R69 U S TREASURY NT 1.625% 5/31/23 100.00 5,000,000.0000 4,757,226.56 5,000,200.00 0.66 242,973.44
912828T34 U S TREASURY NT 1.125% 9/30/21 99.20 7,000,000.0000 6,757,914.08 6,943,650.00 0.92 185,735.92
912828T67 U S TREASURY NT 1.250% 10/31/21 99.40 6,000,000.0000 5,813,691.98 5,963,880.00 0.79 150,188.02
912828U57 U S TREASURY NT 2.125% 11/30/23 101.78 15,000,000.0000 14,723,632.81 15,267,150.00 2.03 543,517.19
912828U65 U S TREASURY NT 1.750% 11/30/21 100.31 7,000,000.0000 6,900,492.20 7,021,630.00 0.93 121,137.80
912828UL2 U S TREASURY NT 1.375% 1/31/20 99.98 5,000,000.0000 4,988,671.88 4,998,900.00 0.66 10,228.12
912828V72 U S TREASURY NT 1.875% 1/31/22 100.59 3,000,000.0000 3,004,814.74 3,017,580.00 0.40 12,765.26
912828V80 U S TREASURY NT 2.250% 1/31/24 102.32 7,500,000.0000 7,491,503.91 7,673,700.00 1.02 182,196.09
912828VJ6 U S TREASURY NT 1.875% 6/30/20 100.12 15,000,000.0000 15,022,265.63 15,018,150.00 2.00 (4,115.63)
912828VV9 U S TREASURY NT 2.125% 8/31/20 100.31 15,000,000.0000 15,049,804.69 15,045,750.00 2.00 (4,054.69)
912828W48 U S TREASURY NT 2.125% 2/29/24 101.86 10,000,000.0000 9,911,718.75 10,185,600.00 1.35 273,881.25
912828WJ5 U S TREASURY NT 2.500% 5/15/24 103.47 7,000,000.0000 7,193,046.88 7,243,110.00 0.96 50,063.12
912828WU0 U S TREASURY I P S 0.125% 7/15/24 100.60 11,270,792.0000 11,126,072.09 11,337,853.21 1.51 211,781.12
912828XE5 U S TREASURY NT 1.500% 5/31/20 99.95 5,000,000.0000 4,966,423.00 4,997,250.00 0.66 30,827.00
912828XW5 U S TREASURY NT 1.750% 6/30/22 100.41 5,000,000.0000 4,973,454.25 5,020,700.00 0.67 47,245.75
912828XX3 U S TREASURY NT 2.000% 6/30/24 101.39 5,000,000.0000 5,028,710.94 5,069,350.00 0.67 40,639.06
912828XY1 U S TREASURY NT 2.500% 6/30/20 100.42 5,000,000.0000 5,022,070.31 5,021,100.00 0.67 (970.31)
912828YH7 U S TREASURY NT 1.500% 9/30/24 99.17 14,000,000.0000 13,859,296.88 13,883,520.00 1.85 24,223.12
913366EJ5 UNIV OF CALIFORNIA 5.035% 5/15/21 104.16 400,000.0000 400,000.00 416,620.00 0.06 16,620.00
931142EK5 WALMART INC 3.400% 6/26/23 105.15 3,880,000.0000 3,878,991.40 4,079,820.00 0.54 200,828.60
4 of 5
U.S. Bank
Asset Detail - Consolidated
As of 12/31/2019
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
94974BGF1 WELLS FARGO MTN 2.150% 1/30/20 100.02 1,000,000.0000 996,600.00 1,000,150.00 0.13 3,550.00
94974BGM6 WELLS FARGO CO MTN 2.600% 7/22/20 100.38 5,000,000.0000 5,001,650.00 5,019,100.00 0.67 17,450.00
95000U2B8 WELLS FARGO MTN 2.625% 7/22/22 101.49 3,000,000.0000 2,954,520.00 3,044,820.00 0.40 90,300.00
Fixed Income Total 666,122,826.6100 663,935,146.01 672,379,211.13 89.39 8,444,065.12
Grand Total 746,087,993.9800 743,624,480.58 752,224,246.10 100.00 8,599,765.52
5 of 5
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
ACQUISITIONS
10/02/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,168.7300 1.000000 -5,168.73 5,168.73 0.00
10/02/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,567,929.1900 1.000000 -7,567,929.19 7,567,929.19 0.00
10/03/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,650,000.0000 1.000000 -1,650,000.00 1,650,000.00 0.00
10/03/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,280.5800 1.000000 -5,280.58 5,280.58 0.00
10/07/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 46,875.0000 1.000000 -46,875.00 46,875.00 0.00
10/08/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,250,000.0000 1.000000 -1,250,000.00 1,250,000.00 0.00
10/10/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 36,250.0000 1.000000 -36,250.00 36,250.00 0.00
10/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,250,000.0000 1.000000 -1,250,000.00 1,250,000.00 0.00
10/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,004,126.1100 1.000000 -1,004,126.11 1,004,126.11 0.00
10/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,177,326.8200 1.000000 -1,177,326.82 1,177,326.82 0.00
10/17/2019 06406HCZ0 PURCHASED PAR VALUE OF BANK OF NY MELLO MTN 2.150% 2/24/20 /GOLDMAN
SACHS & CO. LLC/500,000 PAR VALUE AT 100.061 %
500,000.0000 1.000610 -500,305.00 500,305.00 0.00
10/17/2019 90331HNB5 PURCHASED PAR VALUE OF US BANK MTN 2.000% 1/24/20 /GOLDMAN SACHS
& CO. LLC/2,000,000 PAR VALUE AT 100.012 %
2,000,000.0000 1.000120 -2,000,240.00 2,000,240.00 0.00
10/18/2019 69372AAF9 PURCHASED PAR VALUE OF PACCAR FINANCIAL CORP C P 1/15/20 /MIZUHO
SECURITIES USA FXD INC/1,100,000 PAR VALUE AT 99.54263909 %
1,100,000.0000 0.995426 -1,094,969.03 1,094,969.03 0.00
10/18/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,500,000.0000 1.000000 -1,500,000.00 1,500,000.00 0.00
10/18/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 310,745.2800 1.000000 -310,745.28 310,745.28 0.00
10/21/2019 78012KC62 PURCHASED PAR VALUE OF ROYAL BANK MTN 2.125% 3/02/20 /RBC CAPITAL
MARKETS, LLC/2,000,000 PAR VALUE AT 100.067 %
2,000,000.0000 1.000670 -2,001,340.00 2,001,340.00 0.00
10/21/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 11,733.7400 1.000000 -11,733.74 11,733.74 0.00
10/23/2019 65479JAD5 PURCHASED PAR VALUE OF NISSAN AUTO 1.940% 7/15/24 /MIZUHO
SECURITIES USA FXD INC/4,185,000 PAR VALUE AT 99.99471995 %
4,185,000.0000 0.999947 -4,184,779.03 4,184,779.03 0.00
10/25/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 31,447.1800 1.000000 -31,447.18 31,447.18 0.00
10/25/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 234,968.9500 1.000000 -234,968.95 234,968.95 0.00
10/31/2019 912796RY7 PURCHASED PAR VALUE OF U S TREASURY BILL 1/30/20 /NOMURA
SECURITIES INTERNATIONA/3,000,000 PAR VALUE AT 99.611986 %
3,000,000.0000 0.996120 -2,988,359.58 2,988,359.58 0.00
10/31/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,518,750.0000 1.000000 -2,518,750.00 2,518,750.00 0.00
10/31/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,136,625.9000 1.000000 -5,136,625.90 5,136,625.90 0.00
11/01/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 28,525.0000 1.000000 -28,525.00 28,525.00 0.00
11/04/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 4,798.7000 1.000000 -4,798.70 4,798.70 0.00
11/04/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 76,406.8500 1.000000 -76,406.85 76,406.85 0.00
11/12/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 28,750.0000 1.000000 -28,750.00 28,750.00 0.00
11/12/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 186,684.3800 1.000000 -186,684.38 186,684.38 0.00
11/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,520,600.8300 1.000000 -1,520,600.83 1,520,600.83 0.00
11/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 13,785.3100 1.000000 -13,785.31 13,785.31 0.00
1 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/18/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 729,199.9400 1.000000 -729,199.94 729,199.94 0.00
11/19/2019 62479LDQ5 PURCHASED PAR VALUE OF MUFG BANK LTD NY BRAN C P 4/24/20 /MUFG UNION
BK NA/MMI/PIMS/IPA/1,365,000 PAR VALUE AT 99.17138901 %
1,365,000.0000 0.991714 -1,353,689.46 1,353,689.46 0.00
11/19/2019 62479LDQ5 PURCHASED PAR VALUE OF MUFG BANK LTD NY BRAN C P 4/24/20 /MUFG UNION
BK NA/MMI/PIMS/IPA/10,000,000 PAR VALUE AT 99.1713889 %
10,000,000.0000 0.991714 -9,917,138.89 9,917,138.89 0.00
11/19/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,860,000.0000 1.000000 -1,860,000.00 1,860,000.00 0.00
11/19/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 11,255,000.0000 1.000000 -11,255,000.00 11,255,000.00 0.00
11/20/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 22,500.0000 1.000000 -22,500.00 22,500.00 0.00
11/20/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 61,084.4200 1.000000 -61,084.42 61,084.42 0.00
11/21/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 9,759.5800 1.000000 -9,759.58 9,759.58 0.00
11/25/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 25,993.2100 1.000000 -25,993.21 25,993.21 0.00
11/25/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 215,210.7500 1.000000 -215,210.75 215,210.75 0.00
11/27/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 10,000,000.0000 1.000000 -10,000,000.00 10,000,000.00 0.00
11/27/2019 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
11/29/2019 912796RY7 PURCHASED PAR VALUE OF U S TREASURY BILL 1/30/20 /BOFA SECURITIES,
INC./FXD INC/11,000,000 PAR VALUE AT 99.7303 %
11,000,000.0000 0.997303 -10,970,333.00 10,970,333.00 0.00
12/02/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,458,519.8000 1.000000 -5,458,519.80 5,458,519.80 0.00
12/03/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,788.5000 1.000000 -2,788.50 2,788.50 0.00
12/03/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 3,676.2900 1.000000 -3,676.29 3,676.29 0.00
12/06/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,375.0000 1.000000 -5,375.00 5,375.00 0.00
12/06/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 500,000.0000 1.000000 -500,000.00 500,000.00 0.00
12/09/2019 912828YH7 PURCHASED PAR VALUE OF U S TREASURY NT 1.500% 9/30/24 /J.P. MORGAN
SECURITIES LLC/6,000,000 PAR VALUE AT 99.16015633 %
6,000,000.0000 0.991602 -5,949,609.38 5,949,609.38 0.00
12/11/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 37,500.0000 1.000000 -37,500.00 37,500.00 0.00
12/12/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 83,500.0000 1.000000 -83,500.00 83,500.00 0.00
12/13/2019 9128283J7 PURCHASED PAR VALUE OF U S TREASURY NT 2.125% 11/30/24 /GOLDMAN
SACHS & CO. LLC/7,500,000 PAR VALUE AT 101.72265627 %
7,500,000.0000 1.017227 -7,629,199.22 7,629,199.22 0.00
12/16/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,088,240.6500 1.000000 -1,088,240.65 1,088,240.65 0.00
12/16/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 31,233.0000 1.000000 -31,233.00 31,233.00 0.00
12/18/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 637,012.6300 1.000000 -637,012.63 637,012.63 0.00
12/19/2019 06367BDS5 PURCHASED PAR VALUE OF BANK OF MONTREAL C D 2.000% 3/18/20 /RBC CAPITAL
MARKETS, LLC/1,000,000 PAR VALUE AT 100.004948 %
1,000,000.0000 1.000049 -1,000,049.48 1,000,049.48 0.00
12/19/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 95,999,894.9600 1.000000 -95,999,894.96 95,999,894.96 0.00
12/19/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 137,500.0000 1.000000 -137,500.00 137,500.00 0.00
12/19/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 38,000,000.0000 1.000000 -38,000,000.00 38,000,000.00 0.00
12/20/2019 06367BDS5 PURCHASED PAR VALUE OF BANK OF MONTREAL C D 2.000% 3/18/20 /RBC CAPITAL
MARKETS, LLC/8,000,000 PAR VALUE AT 100.00486625 %
8,000,000.0000 1.000049 -8,000,389.30 8,000,389.30 0.00
2 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/20/2019 313384RU5 PURCHASED PAR VALUE OF F H L B DISC NTS 1/14/20 /NOMURA SECURITIES
INTERNATIONA/1,200,000 PAR VALUE AT 99.8909725 %
1,200,000.0000 0.998910 -1,198,691.67 1,198,691.67 0.00
12/20/2019 313384SD2 PURCHASED PAR VALUE OF F H L B DISC NTS 1/23/20 /BARCLAYS CAPITAL
INC. FIXED IN/5,000,000 PAR VALUE AT 99.8517222 %
5,000,000.0000 0.998517 -4,992,586.11 4,992,586.11 0.00
12/20/2019 313384SK6 PURCHASED PAR VALUE OF F H L B DISC NTS 1/29/20 /JEFFERIES
LLC/4,500,000 PAR VALUE AT 99.82611111 %
4,500,000.0000 0.998261 -4,492,175.00 4,492,175.00 0.00
12/20/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 3,848.7300 1.000000 -3,848.73 3,848.73 0.00
12/23/2019 89114M2Z9 PURCHASED PAR VALUE OF TORONTO DOMINION C D 2.200% 1/23/20 /GOLDMAN
SACHS & CO. LLC/2,000,000 PAR VALUE AT 100.0142825 %
2,000,000.0000 1.000143 -2,000,285.65 2,000,285.65 0.00
12/23/2019 912796RT8 PURCHASED PAR VALUE OF U S TREASURY BILL 1/02/20 /CITIGROUP GLOBAL
MARKETS INC./7,500,000 PAR VALUE AT 99.95873613 %
7,500,000.0000 0.999587 -7,496,905.21 7,496,905.21 0.00
12/23/2019 912796WM7 PURCHASED PAR VALUE OF U S TREASURY BILL 1/07/20 /NOMURA
SECURITIES INTERNATIONA/7,500,000 PAR VALUE AT 99.93760413 %
7,500,000.0000 0.999376 -7,495,320.31 7,495,320.31 0.00
12/23/2019 912796TH2 PURCHASED PAR VALUE OF U S TREASURY BILL 3/05/20 /WELLS FARGO
SECURITIES, LLC/7,500,000 PAR VALUE AT 99.68932413 %
7,500,000.0000 0.996893 -7,476,699.31 7,476,699.31 0.00
12/23/2019 912828VJ6 PURCHASED PAR VALUE OF U S TREASURY NT 1.875% 6/30/20 /WELLS FARGO
SECURITIES, LLC/15,000,000 PAR VALUE AT 100.14843753 %
15,000,000.0000 1.001484 -15,022,265.63 15,022,265.63 0.00
12/23/2019 9128283S7 PURCHASED PAR VALUE OF U S TREASURY NT 2.000% 1/31/20 /CITIGROUP
GLOBAL MARKETS INC./5,000,000 PAR VALUE AT 100.0390626 %
5,000,000.0000 1.000391 -5,001,953.13 5,001,953.13 0.00
12/23/2019 9128283S7 PURCHASED PAR VALUE OF U S TREASURY NT 2.000% 1/31/20 /CITIGROUP
GLOBAL MARKETS INC./5,000,000 PAR VALUE AT 100.0390626 %
5,000,000.0000 1.000391 -5,001,953.13 5,001,953.13 0.00
12/23/2019 9128283S7 PURCHASED PAR VALUE OF U S TREASURY NT 2.000% 1/31/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 100.0390626 %
5,000,000.0000 1.000391 -5,001,953.13 5,001,953.13 0.00
12/23/2019 912828VV9 PURCHASED PAR VALUE OF U S TREASURY NT 2.125% 8/31/20 /NOMURA
SECURITIES INTERNATIONA/15,000,000 PAR VALUE AT 100.33203127 %
15,000,000.0000 1.003320 -15,049,804.69 15,049,804.69 0.00
12/24/2019 06367BED7 PURCHASED PAR VALUE OF BANK OF MONTREAL C D 1.890% 5/21/20 /BMO CAPITAL
MARKETS CORP/BONDS/1,000,000 PAR VALUE AT 100 %
1,000,000.0000 1.000000 -1,000,000.00 1,000,000.00 0.00
12/24/2019 912828YH7 PURCHASED PAR VALUE OF U S TREASURY NT 1.500% 9/30/24 /MORGAN
STANLEY & CO. LLC/8,000,000 PAR VALUE AT 98.87109375 %
8,000,000.0000 0.988711 -7,909,687.50 7,909,687.50 0.00
12/24/2019 912828L57 PURCHASED PAR VALUE OF U S TREASURY NT 1.750% 9/30/22 /BOFA
SECURITIES, INC./FXD INC/7,000,000 PAR VALUE AT 100.21093757 %
7,000,000.0000 1.002109 -7,014,765.63 7,014,765.63 0.00
12/24/2019 9128283S7 PURCHASED PAR VALUE OF U S TREASURY NT 2.000% 1/31/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 100.0351562 %
5,000,000.0000 1.000352 -5,001,757.81 5,001,757.81 0.00
12/24/2019 9128283J7 PURCHASED PAR VALUE OF U S TREASURY NT 2.125% 11/30/24 /GOLDMAN
SACHS & CO. LLC/9,000,000 PAR VALUE AT 101.71875 %
9,000,000.0000 1.017188 -9,154,687.50 9,154,687.50 0.00
12/24/2019 912828MP2 PURCHASED PAR VALUE OF U S TREASURY NT 3.625% 2/15/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 100.2734376 %
5,000,000.0000 1.002734 -5,013,671.88 5,013,671.88 0.00
12/26/2019 912828L32 PURCHASED PAR VALUE OF U S TREASURY NT 1.375% 8/31/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 99.8203126 %
5,000,000.0000 0.998203 -4,991,015.63 4,991,015.63 0.00
3 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/26/2019 912828XY1 PURCHASED PAR VALUE OF U S TREASURY NT 2.500% 6/30/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 100.4414062 %
5,000,000.0000 1.004414 -5,022,070.31 5,022,070.31 0.00
12/26/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 0.0700 1.000000 -0.07 0.07 0.00
12/26/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 156,854.3400 1.000000 -156,854.34 156,854.34 0.00
12/26/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 100,634.4500 1.000000 -100,634.45 100,634.45 0.00
12/27/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 14,628.0000 1.000000 -14,628.00 14,628.00 0.00
12/31/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 203,125.0000 1.000000 -203,125.00 203,125.00 0.00
12/31/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 146,875.0000 1.000000 -146,875.00 146,875.00 0.00
TOTAL ACQUISITIONS 381,236,732.8700 -381,315,383.47 381,315,383.47 0.00
DISPOSITIONS
10/02/2019 3137EADM8 MATURED PAR VALUE OF F H L M C M T N 1.250% 10/02/19 7,500,000 PAR VALUE
AT 100 %
-7,500,000.0000 1.000000 7,500,000.00 -7,399,650.00 100,350.00
10/03/2019 912796SL4 MATURED PAR VALUE OF U S TREASURY BILL 10/03/19 1,650,000 PAR VALUE
AT 100 %
-1,650,000.0000 1.000000 1,646,687.63 -1,646,687.63 0.00
10/08/2019 912796VY2 MATURED PAR VALUE OF U S TREASURY BILL 10/08/19 1,250,000 PAR VALUE
AT 100 %
-1,250,000.0000 1.000000 1,249,517.42 -1,249,517.42 0.00
10/15/2019 912796VZ9 MATURED PAR VALUE OF U S TREASURY BILL 10/15/19 1,250,000 PAR VALUE
AT 100 %
-1,250,000.0000 1.000000 1,249,059.90 -1,249,059.90 0.00
10/15/2019 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C #786064 4.677% 1/01/28 SEPTEMBER
FHLMC DUE 10/15/19
-24.9900 0.000000 24.99 -24.38 0.61
10/15/2019 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.016% 8/15/32 -386.6500 0.000000 386.65 -387.05 -0.40
10/15/2019 47788NAD0 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.490% 5/15/23 CMO FINAL
PAYDOWN
-1,003,712.9300 0.000000 1,003,712.93 -987,088.93 16,624.00
10/15/2019 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820% 10/15/21 -42,196.1900 9.824872 42,196.19 -42,193.10 3.09
10/15/2019 47788CAB8 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.420% 10/15/20 -179,120.5700 2.314487 179,120.57 -178,756.74 363.83
10/15/2019 65478VAD9 PAID DOWN PAR VALUE OF NISSAN AUTO 1.320% 1/15/21 -74,892.5400 5.535560 74,892.54 -74,292.81 599.73
10/15/2019 65478GAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.750% 10/15/21 -175,390.0800 2.363715 175,390.08 -172,670.16 2,719.92
10/15/2019 89238BAB8 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.100% 10/15/20 -325,799.3400 1.272477 325,799.34 -325,766.04 33.30
10/15/2019 89239AAB9 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.830% 10/15/21 -289,115.0800 1.433935 289,115.08 -289,088.83 26.25
10/18/2019 96130AAK4 MATURED PAR VALUE OF WESTPAC BKING C D 2.970% 10/18/19 1,500,000 PAR
VALUE AT 100 %
-1,500,000.0000 1.000000 1,500,000.00 -1,503,302.80 -3,302.80
10/18/2019 43814RAC0 PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -115,199.0400 0.000000 115,199.04 -113,934.55 1,264.49
10/18/2019 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -177,461.4800 0.000000 177,461.48 -174,647.05 2,814.43
10/21/2019 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I #080023 4.125% 12/20/26 SEPTEMBER GNMA
DUE 10/20/19
-176.3500 0.000000 176.35 -179.26 -2.91
10/21/2019 36225CC20 PAID DOWN PAR VALUE OF G N M A I I #080088 3.875% 6/20/27 SEPTEMBER GNMA
DUE 10/20/19
-186.0100 0.000000 186.01 -190.08 -4.07
4 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
10/21/2019 36225CNM4 PAID DOWN PAR VALUE OF G N M A I I #080395 3.875% 4/20/30 SEPTEMBER GNMA
DUE 10/20/19
-103.2800 0.000000 103.28 -102.34 0.94
10/21/2019 36225CN28 PAID DOWN PAR VALUE OF G N M A I I #080408 3.875% 5/20/30 SEPTEMBER GNMA
DUE 10/20/19
-337.5300 0.000000 337.53 -334.10 3.43
10/21/2019 36225DCB8 PAID DOWN PAR VALUE OF G N M A I I #080965 3.750% 7/20/34 SEPTEMBER GNMA
DUE 10/20/19
-746.0600 0.000000 746.06 -745.59 0.47
10/25/2019 03215PFN4 PAID DOWN PAR VALUE OF AMRESCO 2.95841% 6/25/29 -4,106.2100 0.000000 4,106.21 -3,083.51 1,022.70
10/25/2019 31398VJ98 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 -232,634.2500 3.215297 232,634.25 -245,828.98 -13,194.73
10/25/2019 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -7,406.7800 0.000000 7,406.78 -8,388.18 -981.40
10/25/2019 31371NUC7 PAID DOWN PAR VALUE OF F N M A #257179 4.500% 4/01/28 SEPTEMBER FNMA
DUE 10/25/19
-133.7500 0.000000 133.75 -141.45 -7.70
10/25/2019 31376KT22 PAID DOWN PAR VALUE OF F N M A #357969 5.000% 9/01/35 SEPTEMBER FNMA
DUE 10/25/19
-1,579.8500 0.000000 1,579.85 -1,698.34 -118.49
10/25/2019 31381PDA3 PAID DOWN PAR VALUE OF F N M A #466397 3.400% 11/01/20 SEPTEMBER FNMA
DUE 10/25/19
-748.4400 0.000000 748.44 -732.24 16.20
10/25/2019 31403DJZ3 PAID DOWN PAR VALUE OF F N M A #745580 5.000% 6/01/36 SEPTEMBER FNMA
DUE 10/25/19
-1,482.5900 0.000000 1,482.59 -1,593.78 -111.19
10/25/2019 31403GXF4 PAID DOWN PAR VALUE OF F N M A #748678 5.000% 10/01/33 SEPTEMBER FNMA
DUE 10/25/19
-8.9800 0.000000 8.98 -9.65 -0.67
10/25/2019 31406PQY8 PAID DOWN PAR VALUE OF F N M A #815971 5.000% 3/01/35 SEPTEMBER FNMA
DUE 10/25/19
-709.0700 0.000000 709.07 -762.25 -53.18
10/25/2019 31406XWT5 PAID DOWN PAR VALUE OF F N M A #823358 4.722% 2/01/35 SEPTEMBER FNMA
DUE 10/25/19
-440.6000 0.000000 440.60 -437.16 3.44
10/25/2019 31407BXH7 PAID DOWN PAR VALUE OF F N M A #826080 5.000% 7/01/35 SEPTEMBER FNMA
DUE 10/25/19
-79.8800 0.000000 79.88 -85.87 -5.99
10/25/2019 31410F4V4 PAID DOWN PAR VALUE OF F N M A #888336 5.000% 7/01/36 SEPTEMBER FNMA
DUE 10/25/19
-2,690.3200 0.000000 2,690.32 -2,892.09 -201.77
10/25/2019 3138EG6F6 PAID DOWN PAR VALUE OF F N M A #AL0869 4.500% 6/01/29 SEPTEMBER FNMA
DUE 10/25/19
-226.9300 0.000000 226.93 -240.00 -13.07
10/25/2019 31417YAY3 PAID DOWN PAR VALUE OF F N M A #MA0022 4.500% 4/01/29 SEPTEMBER FNMA
DUE 10/25/19
-296.1600 0.000000 296.16 -313.22 -17.06
10/25/2019 31397QRE0 PAID DOWN PAR VALUE OF F N M A GTD REMIC 2.825% 2/25/41 -2,555.4600 0.000000 2,555.46 -2,554.66 0.80
10/25/2019 78445JAA5 PAID DOWN PAR VALUE OF S L M A 3.8594% 4/25/23 -581.9100 0.000000 581.91 -579.55 2.36
10/31/2019 912828F62 MATURED PAR VALUE OF U S TREASURY NT 1.500% 10/31/19 2,500,000 PAR
VALUE AT 100 %
-2,500,000.0000 1.000000 2,500,000.00 -2,486,718.75 13,281.25
10/31/2019 912828G61 SOLD PAR VALUE OF U S TREASURY NT 1.500% 11/30/19 /NOMURA SECURITIES
INTERNATIONA/5,000,000 PAR VALUE AT 99.9804688 %
-5,000,000.0000 0.999805 4,999,023.44 -4,966,423.00 32,600.44
11/15/2019 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C #786064 4.678% 1/01/28 OCTOBER FHLMC
DUE 11/15/19
-17.7400 0.000000 17.74 -17.31 0.43
5 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/15/2019 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.016% 8/15/32 -386.6000 1,163.993792 386.60 -387.00 -0.40
11/15/2019 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820% 10/15/21 -46,876.0500 8.844008 46,876.05 -46,872.62 3.43
11/15/2019 47788CAB8 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.420% 10/15/20 CMO FINAL
PAYDOWN
-1,489.7400 0.000000 1,489.74 -1,486.71 3.03
11/15/2019 47788CAC6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.660% 4/18/22 -137,727.6800 3.010086 137,727.68 -137,717.78 9.90
11/15/2019 47789JAB2 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.850% 12/15/21 -249,117.1200 1.664166 249,117.12 -249,105.76 11.36
11/15/2019 65478VAD9 PAID DOWN PAR VALUE OF NISSAN AUTO 1.320% 1/15/21 -75,420.5600 5.496806 75,420.56 -74,816.61 603.95
11/15/2019 65478GAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.750% 10/15/21 -171,609.4500 2.415789 171,609.45 -168,948.16 2,661.29
11/15/2019 89238BAB8 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.100% 10/15/20 -326,607.1000 1.269330 326,607.10 -326,573.72 33.38
11/15/2019 89239AAB9 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.830% 10/15/21 -297,889.1200 1.391700 297,889.12 -297,862.07 27.05
11/18/2019 43814RAC0 PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -113,371.9700 0.000000 113,371.97 -112,127.53 1,244.44
11/18/2019 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -173,527.6900 0.000000 173,527.69 -170,775.65 2,752.04
11/18/2019 43814WAB1 PAID DOWN PAR VALUE OF HONDA AUTO 2.750% 9/20/21 -255,971.3900 0.000000 255,971.39 -255,954.91 16.48
11/19/2019 62479MYK3 MATURED PAR VALUE OF MUFG BANK LTD NY BRAN C P 11/19/19 1,860,000 PAR
VALUE AT 100 %
-1,860,000.0000 1.000000 1,850,032.47 -1,850,032.47 0.00
11/19/2019 62479MYK3 MATURED PAR VALUE OF MUFG BANK LTD NY BRAN C P 11/19/19 11,255,000 PAR
VALUE AT 100 %
-11,255,000.0000 1.000000 11,194,685.71 -11,194,685.71 0.00
11/20/2019 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I #080023 4.125% 12/20/26 OCTOBER GNMA
DUE 11/20/19
-566.7000 0.000000 566.70 -576.06 -9.36
11/20/2019 36225CC20 PAID DOWN PAR VALUE OF G N M A I I #080088 3.875% 6/20/27 OCTOBER GNMA
DUE 11/20/19
-2,399.0700 0.000000 2,399.07 -2,451.55 -52.48
11/20/2019 36225CNM4 PAID DOWN PAR VALUE OF G N M A I I #080395 3.875% 4/20/30 OCTOBER GNMA
DUE 11/20/19
-42.4600 0.000000 42.46 -42.08 0.38
11/20/2019 36225CN28 PAID DOWN PAR VALUE OF G N M A I I #080408 3.875% 5/20/30 OCTOBER GNMA
DUE 11/20/19
-1,091.5100 0.000000 1,091.51 -1,080.42 11.09
11/20/2019 36225DCB8 PAID DOWN PAR VALUE OF G N M A I I #080965 3.250% 7/20/34 OCTOBER GNMA
DUE 11/20/19
-333.2900 0.000000 333.29 -333.08 0.21
11/25/2019 31398VJ98 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 -213,700.1600 0.084664 213,700.16 -225,820.97 -12,120.81
11/25/2019 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -469.7300 0.000000 469.73 -531.97 -62.24
11/25/2019 31371NUC7 PAID DOWN PAR VALUE OF F N M A #257179 4.500% 4/01/28 OCTOBER FNMA
DUE 11/25/19
-135.4500 0.000000 135.45 -143.25 -7.80
11/25/2019 31376KT22 PAID DOWN PAR VALUE OF F N M A #357969 5.000% 9/01/35 OCTOBER FNMA
DUE 11/25/19
-2,206.6400 0.000000 2,206.64 -2,372.14 -165.50
11/25/2019 31381PDA3 PAID DOWN PAR VALUE OF F N M A #466397 3.400% 11/01/20 OCTOBER FNMA
DUE 11/25/19
-706.3800 0.000000 706.38 -691.09 15.29
11/25/2019 31403DJZ3 PAID DOWN PAR VALUE OF F N M A #745580 5.000% 6/01/36 OCTOBER FNMA
DUE 11/25/19
-1,601.3200 0.000000 1,601.32 -1,721.42 -120.10
6 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/25/2019 31403GXF4 PAID DOWN PAR VALUE OF F N M A #748678 5.000% 10/01/33 OCTOBER FNMA
DUE 11/25/19
-9.0200 0.000000 9.02 -9.70 -0.68
11/25/2019 31406PQY8 PAID DOWN PAR VALUE OF F N M A #815971 5.000% 3/01/35 OCTOBER FNMA
DUE 11/25/19
-4,574.2200 0.000000 4,574.22 -4,917.29 -343.07
11/25/2019 31406XWT5 PAID DOWN PAR VALUE OF F N M A #823358 4.722% 2/01/35 OCTOBER FNMA
DUE 11/25/19
-442.5600 0.000000 442.56 -439.10 3.46
11/25/2019 31407BXH7 PAID DOWN PAR VALUE OF F N M A #826080 5.000% 7/01/35 OCTOBER FNMA
DUE 11/25/19
-836.8200 0.000000 836.82 -899.58 -62.76
11/25/2019 31410F4V4 PAID DOWN PAR VALUE OF F N M A #888336 5.000% 7/01/36 OCTOBER FNMA
DUE 11/25/19
-3,099.1200 0.000000 3,099.12 -3,331.55 -232.43
11/25/2019 3138EG6F6 PAID DOWN PAR VALUE OF F N M A #AL0869 4.500% 6/01/29 OCTOBER FNMA
DUE 11/25/19
-180.2600 0.000000 180.26 -190.64 -10.38
11/25/2019 31417YAY3 PAID DOWN PAR VALUE OF F N M A #MA0022 4.500% 4/01/29 OCTOBER FNMA
DUE 11/25/19
-229.0300 0.000000 229.03 -242.22 -13.19
11/25/2019 31397QRE0 PAID DOWN PAR VALUE OF F N M A GTD REMIC 2.825% 2/25/41 -3,329.2300 0.000000 3,329.23 -3,328.19 1.04
12/02/2019 73358WAG9 MATURED PAR VALUE OF PORT AUTH NY NJ 5.309% 12/01/19 2,440,000 PAR
VALUE AT 100 %
-2,440,000.0000 1.000000 2,440,000.00 -2,507,633.89 -67,633.89
12/02/2019 912828G61 MATURED PAR VALUE OF U S TREASURY NT 1.500% 11/30/19 2,500,000 PAR
VALUE AT 100 %
-2,500,000.0000 1.000000 2,500,000.00 -2,483,211.50 16,788.50
12/06/2019 94988J5G8 MATURED PAR VALUE OF WELLS FARGO MTN 2.150% 12/06/19 500,000 PAR
VALUE AT 100 %
-500,000.0000 1.000000 500,000.00 -498,425.00 1,575.00
12/16/2019 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C #786064 4.678% 1/01/28 NOVEMBER
FHLMC DUE 12/15/19
-10.5000 0.000000 10.50 -10.24 0.26
12/16/2019 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.027% 8/15/32 -381.1000 0.000000 381.10 -381.50 -0.40
12/16/2019 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820% 10/15/21 -28,285.3200 14.656796 28,285.32 -28,283.25 2.07
12/16/2019 47788CAC6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.660% 4/18/22 -89,079.4600 4.653959 89,079.46 -89,073.05 6.41
12/16/2019 47789JAB2 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.850% 12/15/21 -250,228.2300 1.656776 250,228.23 -250,216.82 11.41
12/16/2019 65478VAD9 PAID DOWN PAR VALUE OF NISSAN AUTO 1.320% 1/15/21 -65,825.8800 6.298012 65,825.88 -65,298.76 527.12
12/16/2019 65478GAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.750% 10/15/21 -153,480.3600 2.701142 153,480.36 -151,100.22 2,380.14
12/16/2019 89238BAB8 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.100% 10/15/20 CMO FINAL
PAUYDOWN
-31,233.0000 0.000000 31,233.00 -31,229.81 3.19
12/16/2019 89239AAB9 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.830% 10/15/21 -272,353.3400 1.522185 272,353.34 -272,328.61 24.73
12/18/2019 43814RAC0 PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -106,100.0400 0.000000 106,100.04 -104,935.43 1,164.61
12/18/2019 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -164,004.9300 0.000000 164,004.93 -161,403.91 2,601.02
12/18/2019 43814WAB1 PAID DOWN PAR VALUE OF HONDA AUTO 2.750% 9/20/21 -350,163.5400 0.000000 350,163.54 -350,140.99 22.55
12/20/2019 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I #080023 4.125% 12/20/26 NOVEMBER GNMA
DUE 12/20/19
-151.7000 0.000000 151.70 -154.21 -2.51
12/20/2019 36225CC20 PAID DOWN PAR VALUE OF G N M A I I #080088 3.875% 6/20/27 NOVEMBER GNMA
DUE 12/20/19
-187.2300 0.000000 187.23 -191.33 -4.10
7 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/20/2019 36225CNM4 PAID DOWN PAR VALUE OF G N M A I I #080395 3.875% 4/20/30 NOVEMBER GNMA
DUE 12/20/19
-150.5600 0.000000 150.56 -149.19 1.37
12/20/2019 36225CN28 PAID DOWN PAR VALUE OF G N M A I I #080408 3.875% 5/20/30 NOVEMBER GNMA
DUE 12/20/19
-1,851.6900 0.000000 1,851.69 -1,832.88 18.81
12/20/2019 36225DCB8 PAID DOWN PAR VALUE OF G N M A I I #080965 3.250% 7/20/34 NOVEMBER GNMA
DUE 12/20/19
-1,120.4300 0.000000 1,120.43 -1,119.73 0.70
12/23/2019 06417G5Q7 MATURED PAR VALUE OF BANK OF NOVA C D 2.610% 12/23/19 2,300,000 PAR
VALUE AT 100 %
-2,300,000.0000 1.000000 2,300,000.00 -2,300,614.40 -614.40
12/24/2019 90331HNB5 FULL CALL PAR VALUE OF US BANK MTN 2.000% 1/24/20 /CALLS/ -2,000,000.0000 1.000000 2,000,000.00 -2,000,240.00 -240.00
12/26/2019 31398VJ98 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 -156,100.7800 0.138540 156,100.78 -164,954.62 -8,853.84
12/26/2019 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -8,230.9000 0.000000 8,230.90 -9,321.49 -1,090.59
12/26/2019 31371NUC7 PAID DOWN PAR VALUE OF F N M A #257179 4.500% 4/01/28 NOVEMBER FNMA
DUE 12/25/19
-137.0300 0.000000 137.03 -144.92 -7.89
12/26/2019 31376KT22 PAID DOWN PAR VALUE OF F N M A #357969 5.000% 9/01/35 NOVEMBER FNMA
DUE 12/25/19
-3,121.4100 0.000000 3,121.41 -3,355.52 -234.11
12/26/2019 31381PDA3 PAID DOWN PAR VALUE OF F N M A #466397 3.400% 11/01/20 NOVEMBER FNMA
DUE 12/25/19
-754.2900 0.000000 754.29 -737.97 16.32
12/26/2019 31403DJZ3 PAID DOWN PAR VALUE OF F N M A #745580 5.000% 6/01/36 NOVEMBER FNMA
DUE 12/25/19
-1,647.8700 0.000000 1,647.87 -1,771.46 -123.59
12/26/2019 31403GXF4 PAID DOWN PAR VALUE OF F N M A #748678 5.000% 10/01/33 NOVEMBER FNMA
DUE 12/25/19
-9.0700 0.000000 9.07 -9.75 -0.68
12/26/2019 31406PQY8 PAID DOWN PAR VALUE OF F N M A #815971 5.000% 3/01/35 NOVEMBER FNMA
DUE 12/25/19
-5,800.0600 0.000000 5,800.06 -6,235.06 -435.00
12/26/2019 31406XWT5 PAID DOWN PAR VALUE OF F N M A #823358 4.647% 2/01/35 NOVEMBER FNMA
DUE 12/25/19
-477.4000 0.000000 477.40 -473.67 3.73
12/26/2019 31407BXH7 PAID DOWN PAR VALUE OF F N M A #826080 5.000% 7/01/35 NOVEMBER FNMA
DUE 12/25/19
-82.7800 0.000000 82.78 -88.99 -6.21
12/26/2019 31410F4V4 PAID DOWN PAR VALUE OF F N M A #888336 5.000% 7/01/36 NOVEMBER FNMA
DUE 12/25/19
-2,693.7800 0.000000 2,693.78 -2,895.81 -202.03
12/26/2019 3138EG6F6 PAID DOWN PAR VALUE OF F N M A #AL0869 4.500% 6/01/29 NOVEMBER FNMA
DUE 12/25/19
-120.8900 0.000000 120.89 -127.85 -6.96
12/26/2019 31417YAY3 PAID DOWN PAR VALUE OF F N M A #MA0022 4.500% 4/01/29 NOVEMBER FNMA
DUE 12/25/19
-468.6300 0.000000 468.63 -495.62 -26.99
12/26/2019 31397QRE0 PAID DOWN PAR VALUE OF F N M A GTD REMIC 2.825% 2/25/41 -3,091.1500 0.000000 3,091.15 -3,090.18 0.97
TOTAL DISPOSITIONS -49,928,837.8300 49,852,844.40 -49,759,265.38 93,579.02
OTHER TRANSACTIONS
10/01/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
9/30/2019 INTEREST FROM 9/1/19 TO 9/30/19
0.0000 0.000000 5,168.73 0.00 0.00
8 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
10/01/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
9/30/2019 INTEREST FROM 9/1/19 TO 9/30/19
0.0000 0.000000 21,054.19 0.00 0.00
10/02/2019 3137EADM8 INTEREST EARNED ON F H L M C M T N 1.250% 10/02/19 $1 PV ON 7500000.0000
SHARES DUE 10/2/2019
0.0000 0.000000 46,875.00 0.00 0.00
10/03/2019 912796SL4 INTEREST EARNED ON U S TREASURY BILL 10/03/19 $1 PV ON 1650000.0000
SHARES DUE 10/3/2019 1,650,000 PAR VALUE AT 100 %
0.0000 0.000000 3,312.37 0.00 0.00
10/03/2019 525ESC0Y6 Unknown LEHMAN BRTH HLD ESC PARTIAL LIQUIDATING DISTRIBUTION PAID @
2.02/SHARE
0.0000 0.000000 4,058.66 -4,058.66 0.00
10/03/2019 525ESCIB7 Unknown LEHMAN BRTH MTN ES 0.00001% 1/24/13 PARTIAL LIQUIDATING
DISTRIBUTION PAID @ 2.03654000
0.0000 0.000000 1,221.92 -1,221.92 0.00
10/07/2019 3135G0T45 INTEREST EARNED ON F N M A 1.875% 4/05/22 $1 PV ON 5000000.0000
SHARES DUE 10/5/2019
0.0000 0.000000 46,875.00 0.00 0.00
10/08/2019 912796VY2 INTEREST EARNED ON U S TREASURY BILL 10/08/19 $1 PV ON 1250000.0000
SHARES DUE 10/8/2019 1,250,000 PAR VALUE AT 100 %
0.0000 0.000000 482.58 0.00 0.00
10/10/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 416.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
10/10/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 416.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 416.00 0.00
10/10/2019 02665WCQ2 INTEREST EARNED ON AMERICAN HONDA MTN 3.625% 10/10/23 $1 PV ON
2000000.0000 SHARES DUE 10/10/2019
0.0000 0.000000 36,250.00 0.00 0.00
10/10/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 416.0000 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
416.0000 0.000000 0.00 0.00 0.00
10/10/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 416.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
10/15/2019 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22 $1 PV ON 10084.2400
SHARES DUE 10/15/2019 $0.00161/PV ON 6,270,000.00 PV DUE 10/15/19
0.0000 0.000000 10,084.24 0.00 0.00
10/15/2019 31348SWZ3 INTEREST EARNED ON F H L M C #786064 4.677% 1/01/28 $1 PV ON 7.1900 SHARES
DUE 10/15/2019 AUGUST FHLMC DUE 10/15/19
0.0000 0.000000 7.19 0.00 0.00
10/15/2019 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 4.016% 8/15/32 $1 PV ON 26.5300
SHARES DUE 10/15/2019 $0.00335/PV ON 7,928.50 PV DUE 10/15/19
0.0000 0.000000 26.53 0.00 0.00
10/15/2019 43815NAB0 INTEREST EARNED ON HONDA AUTO 1.900% 4/15/22 $1 PV ON 5589.1700
SHARES DUE 10/15/2019 $0.00158/PV ON 3,530,000.00 PV DUE 10/15/19
0.0000 0.000000 5,589.17 0.00 0.00
10/15/2019 24422EUM9 INTEREST EARNED ON JOHN DEERE MTN 3.650% 10/12/23 $1 PV ON 1250000.0000
SHARES DUE 10/12/2019
0.0000 0.000000 22,812.50 0.00 0.00
10/15/2019 47788NAD0 INTEREST EARNED ON JOHN DEERE OWNER 1.490% 5/15/23 $1 PV ON 1246.2800
SHARES DUE 10/15/2019 $0.00124/PV ON 1,003,712.93 PV DUE 10/15/19
0.0000 0.000000 1,246.28 0.00 0.00
10/15/2019 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820% 10/15/21 $1 PV ON 669.4500
SHARES DUE 10/15/2019 $0.00152/PV ON 441,393.78 PV DUE 10/15/19
0.0000 0.000000 669.45 0.00 0.00
10/15/2019 477870AB5 INTEREST EARNED ON JOHN DEERE OWNER 2.280% 5/16/22 $1 PV ON 5320.0000
SHARES DUE 10/15/2019 $0.00190/PV ON 2,800,000.00 PV DUE 10/15/19
0.0000 0.000000 5,320.00 0.00 0.00
9 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
10/15/2019 47788CAB8 INTEREST EARNED ON JOHN DEERE OWNER 2.420% 10/15/20 $1 PV ON 364.2300
SHARES DUE 10/15/2019 $0.00202/PV ON 180,610.31 PV DUE 10/15/19
0.0000 0.000000 364.23 0.00 0.00
10/15/2019 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22 $1 PV ON 2970.3400
SHARES DUE 10/15/2019 $0.00222/PV ON 1,340,000.00 PV DUE 10/15/19
0.0000 0.000000 2,970.34 0.00 0.00
10/15/2019 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850% 12/15/21 $1 PV ON 7754.3800
SHARES DUE 10/15/2019 $0.00238/PV ON 3,265,000.00 PV DUE 10/15/19
0.0000 0.000000 7,754.38 0.00 0.00
10/15/2019 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080% 11/15/22 $1 PV ON
11883.6800 SHARES DUE 10/15/2019 $0.00257/PV ON 4,630,000.00 PV DUE 10/15/19
0.0000 0.000000 11,883.68 0.00 0.00
10/15/2019 65478VAD9 INTEREST EARNED ON NISSAN AUTO 1.320% 1/15/21 $1 PV ON 277.2600
SHARES DUE 10/15/2019 $0.00110/PV ON 252,050.02 PV DUE 10/15/19
0.0000 0.000000 277.26 0.00 0.00
10/15/2019 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 3009.5700
SHARES DUE 10/15/2019 $0.00146/PV ON 2,063,703.33 PV DUE 10/15/19
0.0000 0.000000 3,009.57 0.00 0.00
10/15/2019 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23 $1 PV ON 9078.0000
SHARES DUE 10/15/2019 $0.00255/PV ON 3,560,000.00 PV DUE 10/15/19
0.0000 0.000000 9,078.00 0.00 0.00
10/15/2019 89238BAB8 INTEREST EARNED ON TOYOTA AUTO 2.100% 10/15/20 $1 PV ON 1196.3700
SHARES DUE 10/15/2019 $0.00175/PV ON 683,639.44 PV DUE 10/15/19
0.0000 0.000000 1,196.37 0.00 0.00
10/15/2019 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830% 10/15/21 $1 PV ON 8525.3700
SHARES DUE 10/15/2019 $0.00236/PV ON 3,615,000.00 PV DUE 10/15/19
0.0000 0.000000 8,525.37 0.00 0.00
10/15/2019 912796VZ9 INTEREST EARNED ON U S TREASURY BILL 10/15/19 $1 PV ON 1250000.0000
SHARES DUE 10/15/2019 1,250,000 PAR VALUE AT 100 %
0.0000 0.000000 940.10 0.00 0.00
10/17/2019 06406HCZ0 PAID ACCRUED INTEREST ON PURCHASE OF BANK OF NY MELLO MTN 2.150%
2/24/20
0.0000 0.000000 -1,582.64 0.00 0.00
10/17/2019 90331HNB5 PAID ACCRUED INTEREST ON PURCHASE OF US BANK MTN 2.000% 1/24/20 0.0000 0.000000 -9,222.22 0.00 0.00
10/17/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -2,511,349.8600 1.000000 2,511,349.86 -2,511,349.86 0.00
10/18/2019 43814RAC0 INTEREST EARNED ON HONDA AUTO 1.210% 12/18/20 $1 PV ON 568.4200
SHARES DUE 10/18/2019 $0.00101/PV ON 563,719.94 PV DUE 10/18/19
0.0000 0.000000 568.42 0.00 0.00
10/18/2019 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 3155.2100
SHARES DUE 10/18/2019 $0.00149/PV ON 2,115,225.60 PV DUE 10/18/19
0.0000 0.000000 3,155.21 0.00 0.00
10/18/2019 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 10071.8800
SHARES DUE 10/18/2019 $0.00229/PV ON 4,395,000.00 PV DUE 10/18/19
0.0000 0.000000 10,071.88 0.00 0.00
10/18/2019 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22 $1 PV ON 4289.2500
SHARES DUE 10/18/2019 $0.00251/PV ON 1,710,000.00 PV DUE 10/18/19
0.0000 0.000000 4,289.25 0.00 0.00
10/18/2019 96130AAK4 INTEREST EARNED ON WESTPAC BKING C D 2.970% 10/18/19 $1 PV ON
1500000.0000 SHARES DUE 10/18/2019 INTEREST ON 10/18/19 MATURITY
0.0000 0.000000 45,045.00 0.00 0.00
10/18/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,049,924.0300 1.000000 1,049,924.03 -1,049,924.03 0.00
10/21/2019 06051GFN4 INTEREST EARNED ON BANK OF AMERICA MTN 2.250% 4/21/20 $1 PV ON
2000000.0000 SHARES DUE 10/21/2019
0.0000 0.000000 22,500.00 0.00 0.00
10/21/2019 36225CAZ9 INTEREST EARNED ON G N M A I I #080023 4.125% 12/20/26 $1 PV ON 52.7600
SHARES DUE 10/20/2019 SEPTEMBER GNMA DUE 10/20/19
0.0000 0.000000 52.76 0.00 0.00
10 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
10/21/2019 36225CC20 INTEREST EARNED ON G N M A I I #080088 3.875% 6/20/27 $1 PV ON 48.7500
SHARES DUE 10/20/2019 SEPTEMBER GNMA DUE 10/20/19
0.0000 0.000000 48.75 0.00 0.00
10/21/2019 36225CNM4 INTEREST EARNED ON G N M A I I #080395 3.875% 4/20/30 $1 PV ON 21.0600
SHARES DUE 10/20/2019 SEPTEMBER GNMA DUE 10/20/19
0.0000 0.000000 21.06 0.00 0.00
10/21/2019 36225CN28 INTEREST EARNED ON G N M A I I #080408 3.875% 5/20/30 $1 PV ON 160.6700
SHARES DUE 10/20/2019 SEPTEMBER GNMA DUE 10/20/19
0.0000 0.000000 160.67 0.00 0.00
10/21/2019 36225DCB8 INTEREST EARNED ON G N M A I I #080965 3.750% 7/20/34 $1 PV ON 141.6900
SHARES DUE 10/20/2019 SEPTEMBER GNMA DUE 10/20/19
0.0000 0.000000 141.69 0.00 0.00
10/21/2019 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22 $1 PV ON 9759.5800
SHARES DUE 10/21/2019 $0.00246/PV ON 3,970,000.00 PV DUE 10/21/19
0.0000 0.000000 9,759.58 0.00 0.00
10/21/2019 78012KC62 PAID ACCRUED INTEREST ON PURCHASE OF ROYAL BANK MTN 2.125% 3/02/20 0.0000 0.000000 -5,784.72 0.00 0.00
10/21/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,984,624.7200 1.000000 1,984,624.72 -1,984,624.72 0.00
10/23/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -4,184,779.0300 1.000000 4,184,779.03 -4,184,779.03 0.00
10/25/2019 03215PFN4 INTEREST EARNED ON AMRESCO 2.95841% 6/25/29 $1 PV ON 303.5500
SHARES DUE 10/25/2019 $0.00247/PV ON 123,127.85 PV DUE 10/25/19
0.0000 0.000000 303.55 0.00 0.00
10/25/2019 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20 $1 PV ON 2334.7000
SHARES DUE 10/25/2019 $0.00354/PV ON 659,054.74 PV DUE 10/25/19
0.0000 0.000000 2,334.70 0.00 0.00
10/25/2019 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43 $1 PV ON 3720.0900
SHARES DUE 10/25/2019 $0.00542/PV ON 686,785.68 PV DUE 10/25/19
0.0000 0.000000 3,720.09 0.00 0.00
10/25/2019 31371NUC7 INTEREST EARNED ON F N M A #257179 4.500% 4/01/28 $1 PV ON 55.1900 SHARES
DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 55.19 0.00 0.00
10/25/2019 31376KT22 INTEREST EARNED ON F N M A #357969 5.000% 9/01/35 $1 PV ON 412.0200
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 412.02 0.00 0.00
10/25/2019 31381PDA3 INTEREST EARNED ON F N M A #466397 3.400% 11/01/20 $1 PV ON 955.8500
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 955.85 0.00 0.00
10/25/2019 31403DJZ3 INTEREST EARNED ON F N M A #745580 5.000% 6/01/36 $1 PV ON 385.4600
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 385.46 0.00 0.00
10/25/2019 31403GXF4 INTEREST EARNED ON F N M A #748678 5.000% 10/01/33 $1 PV ON 7.4200 SHARES
DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 7.42 0.00 0.00
10/25/2019 31406PQY8 INTEREST EARNED ON F N M A #815971 5.000% 3/01/35 $1 PV ON 654.7600
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 654.76 0.00 0.00
10/25/2019 31406XWT5 INTEREST EARNED ON F N M A #823358 4.722% 2/01/35 $1 PV ON 429.9800
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 429.98 0.00 0.00
10/25/2019 31407BXH7 INTEREST EARNED ON F N M A #826080 5.000% 7/01/35 $1 PV ON 77.8200 SHARES
DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 77.82 0.00 0.00
10/25/2019 31410F4V4 INTEREST EARNED ON F N M A #888336 5.000% 7/01/36 $1 PV ON 750.6800
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 750.68 0.00 0.00
10/25/2019 3138EG6F6 INTEREST EARNED ON F N M A #AL0869 4.500% 6/01/29 $1 PV ON 37.6700
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 37.67 0.00 0.00
11 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
10/25/2019 31417YAY3 INTEREST EARNED ON F N M A #MA0022 4.500% 4/01/29 $1 PV ON 61.6400
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 61.64 0.00 0.00
10/25/2019 31397QRE0 INTEREST EARNED ON F N M A GTD REMIC 2.825% 2/25/41 $1 PV ON 419.3600
SHARES DUE 10/25/2019 $0.00225/PV ON 186,495.68 PV DUE 10/25/19
0.0000 0.000000 419.36 0.00 0.00
10/25/2019 78445JAA5 INTEREST EARNED ON S L M A 3.8594% 4/25/23 $1 PV ON 128.7600 SHARES
DUE 10/25/2019 $0.00965/PV ON 13,344.85 PV DUE 10/25/19
0.0000 0.000000 128.76 0.00 0.00
10/29/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -312.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
10/29/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -312.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 -312.00 0.00
10/29/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -312.0000 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
-312.0000 0.000000 0.00 0.00 0.00
10/29/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -312.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
10/31/2019 CASH DISBURSEMENT PAID TO BANC OF CALIFORNIA OUTGOING DOMESTIC WIRE
PER DIR DTD 10/29/19
0.0000 0.000000 -15,000,000.00 0.00 0.00
10/31/2019 912828T67 INTEREST EARNED ON U S TREASURY NT 1.250% 10/31/21 $1 PV ON 6000000.0000
SHARES DUE 10/31/2019
0.0000 0.000000 37,500.00 0.00 0.00
10/31/2019 912828L99 INTEREST EARNED ON U S TREASURY NT 1.375% 10/31/20 $1 PV ON
10000000.0000 SHARES DUE 10/31/2019
0.0000 0.000000 68,750.00 0.00 0.00
10/31/2019 912828F62 INTEREST EARNED ON U S TREASURY NT 1.500% 10/31/19 $1 PV ON 2500000.0000
SHARES DUE 10/31/2019
0.0000 0.000000 18,750.00 0.00 0.00
10/31/2019 912828G61 RECEIVED ACCRUED INTEREST ON SALE OF U S TREASURY NT 1.500% 11/30/19 0.0000 0.000000 31,352.46 0.00 0.00
10/31/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -2,988,359.5800 1.000000 2,988,359.58 -2,988,359.58 0.00
10/31/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -15,000,000.0000 1.000000 15,000,000.00 -15,000,000.00 0.00
11/01/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
10/31/2019 INTEREST FROM 10/1/19 TO 10/31/19
0.0000 0.000000 4,798.70 0.00 0.00
11/01/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
10/31/2019 INTEREST FROM 10/1/19 TO 10/31/19
0.0000 0.000000 16,477.47 0.00 0.00
11/01/2019 64971M5E8 INTEREST EARNED ON NEW YORK CITY NY 4.075% 11/01/20 $1 PV ON
1400000.0000 SHARES DUE 11/1/2019
0.0000 0.000000 28,525.00 0.00 0.00
11/04/2019 00440EAU1 INTEREST EARNED ON ACE INA HOLDINGS 2.875% 11/03/22 $1 PV ON
4169000.0000 SHARES DUE 11/3/2019
0.0000 0.000000 59,929.38 0.00 0.00
11/12/2019 037833CU2 INTEREST EARNED ON APPLE INC 2.850% 5/11/24 $1 PV ON 3000000.0000
SHARES DUE 11/11/2019
0.0000 0.000000 42,750.00 0.00 0.00
11/12/2019 369550BA5 INTEREST EARNED ON GENERAL DYNAMICS 2.875% 5/11/20 $1 PV ON
2000000.0000 SHARES DUE 11/11/2019
0.0000 0.000000 28,750.00 0.00 0.00
11/12/2019 369550BE7 INTEREST EARNED ON GENERAL DYNAMICS 3.000% 5/11/21 $1 PV ON
3160000.0000 SHARES DUE 11/11/2019
0.0000 0.000000 47,400.00 0.00 0.00
12 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/12/2019 458140BD1 INTEREST EARNED ON INTEL CORP 2.875% 5/11/24 $1 PV ON 5000000.0000
SHARES DUE 11/11/2019
0.0000 0.000000 71,875.00 0.00 0.00
11/12/2019 4581X0CX4 INTEREST EARNED ON INTER AMER DEV BK 1.625% 5/12/20 $1 PV ON
3035000.0000 SHARES DUE 11/12/2019
0.0000 0.000000 24,659.38 0.00 0.00
11/13/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4160.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
11/13/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4160.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 4,160.00 0.00
11/13/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4160.0000 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
4,160.0000 0.000000 0.00 0.00 0.00
11/13/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4160.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
11/15/2019 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22 $1 PV ON 10084.2300
SHARES DUE 11/15/2019 $0.00161/PV ON 6,270,000.00 PV DUE 11/15/19
0.0000 0.000000 10,084.23 0.00 0.00
11/15/2019 084664BT7 INTEREST EARNED ON BERKSHIRE HATHAWAY 3.000% 5/15/22 $1 PV ON
4000000.0000 SHARES DUE 11/15/2019
0.0000 0.000000 60,000.00 0.00 0.00
11/15/2019 31348SWZ3 INTEREST EARNED ON F H L M C #786064 4.678% 1/01/28 $1 PV ON 7.1000 SHARES
DUE 11/15/2019 SEPTEMBER FHLMC DUE 11/15/19
0.0000 0.000000 7.10 0.00 0.00
11/15/2019 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 4.016% 8/15/32 $1 PV ON 25.2900
SHARES DUE 11/15/2019 $0.00335/PV ON 7,541.85 PV DUE 11/15/19
0.0000 0.000000 25.29 0.00 0.00
11/15/2019 43815NAB0 INTEREST EARNED ON HONDA AUTO 1.900% 4/15/22 $1 PV ON 5589.1500
SHARES DUE 11/15/2019 $0.00158/PV ON 3,530,000.00 PV DUE 11/15/19
0.0000 0.000000 5,589.15 0.00 0.00
11/15/2019 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820% 10/15/21 $1 PV ON 605.4500
SHARES DUE 11/15/2019 $0.00152/PV ON 399,197.59 PV DUE 11/15/19
0.0000 0.000000 605.45 0.00 0.00
11/15/2019 477870AB5 INTEREST EARNED ON JOHN DEERE OWNER 2.280% 5/16/22 $1 PV ON 5320.0000
SHARES DUE 11/15/2019 $0.00190/PV ON 2,800,000.00 PV DUE 11/15/19
0.0000 0.000000 5,320.00 0.00 0.00
11/15/2019 47788CAB8 INTEREST EARNED ON JOHN DEERE OWNER 2.420% 10/15/20 $1 PV ON 3.0000
SHARES DUE 11/15/2019 $0.00202/PV ON 1,489.74 PV DUE 11/15/19
0.0000 0.000000 3.00 0.00 0.00
11/15/2019 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22 $1 PV ON 2970.3400
SHARES DUE 11/15/2019 $0.00222/PV ON 1,340,000.00 PV DUE 11/15/19
0.0000 0.000000 2,970.34 0.00 0.00
11/15/2019 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850% 12/15/21 $1 PV ON 7754.3800
SHARES DUE 11/15/2019 $0.00238/PV ON 3,265,000.00 PV DUE 11/15/19
0.0000 0.000000 7,754.38 0.00 0.00
11/15/2019 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080% 11/15/22 $1 PV ON
11883.6800 SHARES DUE 11/15/2019 $0.00257/PV ON 4,630,000.00 PV DUE 11/15/19
0.0000 0.000000 11,883.68 0.00 0.00
11/15/2019 65478VAD9 INTEREST EARNED ON NISSAN AUTO 1.320% 1/15/21 $1 PV ON 194.8700
SHARES DUE 11/15/2019 $0.00110/PV ON 177,157.48 PV DUE 11/15/19
0.0000 0.000000 194.87 0.00 0.00
11/15/2019 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 2753.7800
SHARES DUE 11/15/2019 $0.00146/PV ON 1,888,313.25 PV DUE 11/15/19
0.0000 0.000000 2,753.78 0.00 0.00
11/15/2019 65479JAD5 INTEREST EARNED ON NISSAN AUTO 1.940% 7/15/24 $1 PV ON 4935.9600
SHARES DUE 11/15/2019 $0.00118/PV ON 4,185,000.00 PV DUE 11/15/19
0.0000 0.000000 4,935.96 0.00 0.00
13 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/15/2019 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23 $1 PV ON 9078.0000
SHARES DUE 11/15/2019 $0.00255/PV ON 3,560,000.00 PV DUE 11/15/19
0.0000 0.000000 9,078.00 0.00 0.00
11/15/2019 89238BAB8 INTEREST EARNED ON TOYOTA AUTO 2.100% 10/15/20 $1 PV ON 626.2200
SHARES DUE 11/15/2019 $0.00175/PV ON 357,840.10 PV DUE 11/15/19
0.0000 0.000000 626.22 0.00 0.00
11/15/2019 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830% 10/15/21 $1 PV ON 7843.5300
SHARES DUE 11/15/2019 $0.00236/PV ON 3,325,884.92 PV DUE 11/15/19
0.0000 0.000000 7,843.53 0.00 0.00
11/15/2019 912828WJ5 INTEREST EARNED ON U S TREASURY NT 2.500% 5/15/24 $1 PV ON 7000000.0000
SHARES DUE 11/15/2019
0.0000 0.000000 87,500.00 0.00 0.00
11/15/2019 913366EJ5 INTEREST EARNED ON UNIV OF CALIFORNIA 5.035% 5/15/21 $1 PV ON 400000.0000
SHARES DUE 11/15/2019
0.0000 0.000000 10,070.00 0.00 0.00
11/18/2019 166764BG4 INTEREST EARNED ON CHEVRON CORP 2.100% 5/16/21 $1 PV ON 2500000.0000
SHARES DUE 11/16/2019
0.0000 0.000000 26,250.00 0.00 0.00
11/18/2019 3137EAEK1 INTEREST EARNED ON F H L M C M T N 1.875% 11/17/20 $1 PV ON 5000000.0000
SHARES DUE 11/17/2019
0.0000 0.000000 46,875.00 0.00 0.00
11/18/2019 43814RAC0 INTEREST EARNED ON HONDA AUTO 1.210% 12/18/20 $1 PV ON 452.2600
SHARES DUE 11/18/2019 $0.00101/PV ON 448,520.90 PV DUE 11/18/19
0.0000 0.000000 452.26 0.00 0.00
11/18/2019 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 2890.5000
SHARES DUE 11/18/2019 $0.00149/PV ON 1,937,764.12 PV DUE 11/18/19
0.0000 0.000000 2,890.50 0.00 0.00
11/18/2019 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 10071.8800
SHARES DUE 11/18/2019 $0.00229/PV ON 4,395,000.00 PV DUE 11/18/19
0.0000 0.000000 10,071.88 0.00 0.00
11/18/2019 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22 $1 PV ON 4289.2500
SHARES DUE 11/18/2019 $0.00251/PV ON 1,710,000.00 PV DUE 11/18/19
0.0000 0.000000 4,289.25 0.00 0.00
11/18/2019 46625HRL6 INTEREST EARNED ON JP MORGAN CHASE CO 2.700% 5/18/23 $1 PV ON
5000000.0000 SHARES DUE 11/18/2019
0.0000 0.000000 67,500.00 0.00 0.00
11/18/2019 58933YAF2 INTEREST EARNED ON MERCK CO INC 2.800% 5/18/23 $1 PV ON 2000000.0000
SHARES DUE 11/18/2019
0.0000 0.000000 28,000.00 0.00 0.00
11/19/2019 62479MYK3 INTEREST EARNED ON MUFG BANK LTD NY BRAN C P 11/19/19 $1 PV ON
11255000.0000 SHARES DUE 11/19/2019 11,255,000 PAR VALUE AT 100 %
0.0000 0.000000 60,314.29 0.00 0.00
11/19/2019 62479MYK3 INTEREST EARNED ON MUFG BANK LTD NY BRAN C P 11/19/19 $1 PV ON
1860000.0000 SHARES DUE 11/19/2019 1,860,000 PAR VALUE AT 100 %
0.0000 0.000000 9,967.53 0.00 0.00
11/19/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,353,689.4600 1.000000 1,353,689.46 -1,353,689.46 0.00
11/19/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -9,917,138.8900 1.000000 9,917,138.89 -9,917,138.89 0.00
11/20/2019 36225CAZ9 INTEREST EARNED ON G N M A I I #080023 4.125% 12/20/26 $1 PV ON 52.1500
SHARES DUE 11/20/2019 OCTOBER GNMA DUE 11/20/19
0.0000 0.000000 52.15 0.00 0.00
11/20/2019 36225CC20 INTEREST EARNED ON G N M A I I #080088 3.875% 6/20/27 $1 PV ON 48.1500
SHARES DUE 11/20/2019 OCTOBER GNMA DUE 11/20/19
0.0000 0.000000 48.15 0.00 0.00
11/20/2019 36225CNM4 INTEREST EARNED ON G N M A I I #080395 3.875% 4/20/30 $1 PV ON 20.7300
SHARES DUE 11/20/2019 OCTOBER GNMA DUE 11/20/19
0.0000 0.000000 20.73 0.00 0.00
11/20/2019 36225CN28 INTEREST EARNED ON G N M A I I #080408 3.875% 5/20/30 $1 PV ON 159.5800
SHARES DUE 11/20/2019 OCTOBER GNMA DUE 11/20/19
0.0000 0.000000 159.58 0.00 0.00
14 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/20/2019 36225DCB8 INTEREST EARNED ON G N M A I I #080965 3.250% 7/20/34 $1 PV ON 120.7800
SHARES DUE 11/20/2019 OCTOBER GNMA DUE 11/20/19
0.0000 0.000000 120.78 0.00 0.00
11/20/2019 747525AD5 INTEREST EARNED ON QUALCOMM INC 2.250% 5/20/20 $1 PV ON 2000000.0000
SHARES DUE 11/20/2019
0.0000 0.000000 22,500.00 0.00 0.00
11/20/2019 747525AD5 INTEREST EARNED ON QUALCOMM INC 2.250% 5/20/20 $1 PV ON 5000000.0000
SHARES DUE 11/20/2019
0.0000 0.000000 56,250.00 0.00 0.00
11/21/2019 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22 $1 PV ON 9759.5800
SHARES DUE 11/21/2019 $0.00246/PV ON 3,970,000.00 PV DUE 11/21/19
0.0000 0.000000 9,759.58 0.00 0.00
11/25/2019 03215PFN4 INTEREST EARNED ON AMRESCO 2.85486% 6/25/29 $1 PV ON 283.1600
SHARES DUE 11/25/2019 $0.00238/PV ON 119,021.64 PV DUE 11/25/19
0.0000 0.000000 283.16 0.00 0.00
11/25/2019 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20 $1 PV ON 1510.5900
SHARES DUE 11/25/2019 $0.00354/PV ON 426,420.49 PV DUE 11/25/19
0.0000 0.000000 1,510.59 0.00 0.00
11/25/2019 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43 $1 PV ON 3679.9700
SHARES DUE 11/25/2019 $0.00542/PV ON 679,378.90 PV DUE 11/25/19
0.0000 0.000000 3,679.97 0.00 0.00
11/25/2019 31371NUC7 INTEREST EARNED ON F N M A #257179 4.500% 4/01/28 $1 PV ON 54.6900 SHARES
DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 54.69 0.00 0.00
11/25/2019 31376KT22 INTEREST EARNED ON F N M A #357969 5.000% 9/01/35 $1 PV ON 405.4400
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 405.44 0.00 0.00
11/25/2019 31381PDA3 INTEREST EARNED ON F N M A #466397 3.400% 11/01/20 $1 PV ON 985.5200
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 985.52 0.00 0.00
11/25/2019 31403DJZ3 INTEREST EARNED ON F N M A #745580 5.000% 6/01/36 $1 PV ON 379.2800
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 379.28 0.00 0.00
11/25/2019 31403GXF4 INTEREST EARNED ON F N M A #748678 5.000% 10/01/33 $1 PV ON 7.3800 SHARES
DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 7.38 0.00 0.00
11/25/2019 31406PQY8 INTEREST EARNED ON F N M A #815971 5.000% 3/01/35 $1 PV ON 651.8100
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 651.81 0.00 0.00
11/25/2019 31406XWT5 INTEREST EARNED ON F N M A #823358 4.722% 2/01/35 $1 PV ON 428.2400
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 428.24 0.00 0.00
11/25/2019 31407BXH7 INTEREST EARNED ON F N M A #826080 5.000% 7/01/35 $1 PV ON 77.4900 SHARES
DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 77.49 0.00 0.00
11/25/2019 31410F4V4 INTEREST EARNED ON F N M A #888336 5.000% 7/01/36 $1 PV ON 739.4700
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 739.47 0.00 0.00
11/25/2019 3138EG6F6 INTEREST EARNED ON F N M A #AL0869 4.500% 6/01/29 $1 PV ON 36.8200
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 36.82 0.00 0.00
11/25/2019 31417YAY3 INTEREST EARNED ON F N M A #MA0022 4.500% 4/01/29 $1 PV ON 60.5300
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 60.53 0.00 0.00
11/25/2019 31397QRE0 INTEREST EARNED ON F N M A GTD REMIC 2.825% 2/25/41 $1 PV ON 383.6300
SHARES DUE 11/25/2019 $0.00209/PV ON 183,940.22 PV DUE 11/25/19
0.0000 0.000000 383.63 0.00 0.00
11/26/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4368.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
15 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/26/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4368.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 4,368.00 0.00
11/26/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4368.0000 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
4,368.0000 0.000000 0.00 0.00 0.00
11/26/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4368.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
11/27/2019 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIF 11/27/19 0.0000 0.000000 10,000,000.00 0.00 0.00
11/27/2019 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIF 11/27/19 0.0000 0.000000 6,000,000.00 0.00 0.00
11/29/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -10,970,333.0000 1.000000 10,970,333.00 -10,970,333.00 0.00
12/02/2019 3135G0F73 INTEREST EARNED ON F N M A 1.500% 11/30/20 $1 PV ON 7500000.0000
SHARES DUE 11/30/2019
0.0000 0.000000 56,250.00 0.00 0.00
12/02/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
11/30/2019 INTEREST FROM 11/1/19 TO 11/30/19
0.0000 0.000000 2,788.50 0.00 0.00
12/02/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
11/30/2019 INTEREST FROM 11/1/19 TO 11/30/19
0.0000 0.000000 3,676.29 0.00 0.00
12/02/2019 73358WAG9 INTEREST EARNED ON PORT AUTH NY NJ 5.309% 12/01/19 $1 PV ON 2440000.0000
SHARES DUE 12/1/2019
0.0000 0.000000 64,769.80 0.00 0.00
12/02/2019 912828XE5 INTEREST EARNED ON U S TREASURY NT 1.500% 5/31/20 $1 PV ON 5000000.0000
SHARES DUE 11/30/2019
0.0000 0.000000 37,500.00 0.00 0.00
12/02/2019 912828G61 INTEREST EARNED ON U S TREASURY NT 1.500% 11/30/19 $1 PV ON 2500000.0000
SHARES DUE 11/30/2019
0.0000 0.000000 18,750.00 0.00 0.00
12/02/2019 912828R69 INTEREST EARNED ON U S TREASURY NT 1.625% 5/31/23 $1 PV ON 5000000.0000
SHARES DUE 11/30/2019
0.0000 0.000000 40,625.00 0.00 0.00
12/02/2019 912828U65 INTEREST EARNED ON U S TREASURY NT 1.750% 11/30/21 $1 PV ON 7000000.0000
SHARES DUE 11/30/2019
0.0000 0.000000 61,250.00 0.00 0.00
12/02/2019 912828M80 INTEREST EARNED ON U S TREASURY NT 2.000% 11/30/22 $1 PV ON 8000000.0000
SHARES DUE 11/30/2019
0.0000 0.000000 80,000.00 0.00 0.00
12/02/2019 912828U57 INTEREST EARNED ON U S TREASURY NT 2.125% 11/30/23 $1 PV ON
15000000.0000 SHARES DUE 11/30/2019
0.0000 0.000000 159,375.00 0.00 0.00
12/06/2019 94988J5G8 INTEREST EARNED ON WELLS FARGO MTN 2.150% 12/06/19 $1 PV ON 500000.0000
SHARES DUE 12/6/2019 ACCRUED INTEREST ON 12/6/2019 MATURITY
0.0000 0.000000 5,375.00 0.00 0.00
12/09/2019 313383QR5 INTEREST EARNED ON F H L B DEB 3.250% 6/09/23 $1 PV ON 5000000.0000
SHARES DUE 12/9/2019
0.0000 0.000000 81,250.00 0.00 0.00
12/09/2019 3130A0F70 INTEREST EARNED ON F H L B DEB 3.375% 12/08/23 $1 PV ON 10000000.0000
SHARES DUE 12/8/2019
0.0000 0.000000 168,750.00 0.00 0.00
12/09/2019 69353RFL7 INTEREST EARNED ON PNC BANK NA MTN 3.500% 6/08/23 $1 PV ON 5000000.0000
SHARES DUE 12/8/2019
0.0000 0.000000 87,500.00 0.00 0.00
12/09/2019 912828YH7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.500% 9/30/24 0.0000 0.000000 -17,213.11 0.00 0.00
12/09/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -5,629,322.4900 1.000000 5,629,322.49 -5,629,322.49 0.00
16 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/11/2019 313379RB7 INTEREST EARNED ON F H L B DEB 1.875% 6/11/21 $1 PV ON 4000000.0000
SHARES DUE 12/11/2019
0.0000 0.000000 37,500.00 0.00 0.00
12/12/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 11856.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
12/12/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 11856.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 11,856.00 0.00
12/12/2019 313383HU8 INTEREST EARNED ON F H L B DEB 1.750% 6/12/20 $1 PV ON 5000000.0000
SHARES DUE 12/12/2019
0.0000 0.000000 43,750.00 0.00 0.00
12/12/2019 89114QCA4 INTEREST EARNED ON TORONTO DOMINION MTN 2.650% 6/12/24 $1 PV ON
3000000.0000 SHARES DUE 12/12/2019
0.0000 0.000000 39,750.00 0.00 0.00
12/12/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 11856.0000
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
11,856.0000 0.000000 0.00 0.00 0.00
12/12/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 11856.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
12/13/2019 9128283J7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.125% 11/30/24 0.0000 0.000000 -5,660.86 0.00 0.00
12/13/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -7,634,860.0800 1.000000 7,634,860.08 -7,634,860.08 0.00
12/16/2019 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22 $1 PV ON 10084.2400
SHARES DUE 12/15/2019 $0.00161/PV ON 6,270,000.00 PV DUE 12/15/19
0.0000 0.000000 10,084.24 0.00 0.00
12/16/2019 3130A1XJ2 INTEREST EARNED ON F H L B 2.875% 6/14/24 $1 PV ON 11110000.0000
SHARES DUE 12/14/2019
0.0000 0.000000 159,706.25 0.00 0.00
12/16/2019 31348SWZ3 INTEREST EARNED ON F H L M C #786064 4.678% 1/01/28 $1 PV ON 7.0300 SHARES
DUE 12/15/2019 OCTOBER FHLMC DUE 12/15/19
0.0000 0.000000 7.03 0.00 0.00
12/16/2019 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 4.027% 8/15/32 $1 PV ON 24.0100
SHARES DUE 12/15/2019 $0.00336/PV ON 7,155.25 PV DUE 12/15/19
0.0000 0.000000 24.01 0.00 0.00
12/16/2019 43815NAB0 INTEREST EARNED ON HONDA AUTO 1.900% 4/15/22 $1 PV ON 5589.1500
SHARES DUE 12/15/2019 $0.00158/PV ON 3,530,000.00 PV DUE 12/15/19
0.0000 0.000000 5,589.15 0.00 0.00
12/16/2019 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820% 10/15/21 $1 PV ON 534.3600
SHARES DUE 12/15/2019 $0.00152/PV ON 352,321.54 PV DUE 12/15/19
0.0000 0.000000 534.36 0.00 0.00
12/16/2019 477870AB5 INTEREST EARNED ON JOHN DEERE OWNER 2.280% 5/16/22 $1 PV ON 5320.0000
SHARES DUE 12/15/2019 $0.00190/PV ON 2,800,000.00 PV DUE 12/15/19
0.0000 0.000000 5,320.00 0.00 0.00
12/16/2019 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22 $1 PV ON 2665.0400
SHARES DUE 12/15/2019 $0.00222/PV ON 1,202,272.32 PV DUE 12/15/19
0.0000 0.000000 2,665.04 0.00 0.00
12/16/2019 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850% 12/15/21 $1 PV ON 7162.7200
SHARES DUE 12/15/2019 $0.00238/PV ON 3,015,882.88 PV DUE 12/15/19
0.0000 0.000000 7,162.72 0.00 0.00
12/16/2019 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080% 11/15/22 $1 PV ON
11883.6700 SHARES DUE 12/15/2019 $0.00257/PV ON 4,630,000.00 PV DUE 12/15/19
0.0000 0.000000 11,883.67 0.00 0.00
12/16/2019 65478VAD9 INTEREST EARNED ON NISSAN AUTO 1.320% 1/15/21 $1 PV ON 111.9100
SHARES DUE 12/15/2019 $0.00110/PV ON 101,736.92 PV DUE 12/15/19
0.0000 0.000000 111.91 0.00 0.00
12/16/2019 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 2503.5200
SHARES DUE 12/15/2019 $0.00146/PV ON 1,716,703.80 PV DUE 12/15/19
0.0000 0.000000 2,503.52 0.00 0.00
17 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/16/2019 65479JAD5 INTEREST EARNED ON NISSAN AUTO 1.930% 7/15/24 $1 PV ON 6730.8700
SHARES DUE 12/15/2019 $0.00161/PV ON 4,185,000.00 PV DUE 12/15/19
0.0000 0.000000 6,730.87 0.00 0.00
12/16/2019 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23 $1 PV ON 9078.0000
SHARES DUE 12/15/2019 $0.00255/PV ON 3,560,000.00 PV DUE 12/15/19
0.0000 0.000000 9,078.00 0.00 0.00
12/16/2019 89238BAB8 INTEREST EARNED ON TOYOTA AUTO 2.100% 10/15/20 $1 PV ON 54.6600
SHARES DUE 12/15/2019 $0.00175/PV ON 31,233.00 PV DUE 12/15/19
0.0000 0.000000 54.66 0.00 0.00
12/16/2019 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830% 10/15/21 $1 PV ON 7141.0300
SHARES DUE 12/15/2019 $0.00236/PV ON 3,027,995.80 PV DUE 12/15/19
0.0000 0.000000 7,141.03 0.00 0.00
12/18/2019 43814RAC0 INTEREST EARNED ON HONDA AUTO 1.210% 12/18/20 $1 PV ON 337.9400
SHARES DUE 12/18/2019 $0.00101/PV ON 335,148.93 PV DUE 12/18/19
0.0000 0.000000 337.94 0.00 0.00
12/18/2019 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 2631.6500
SHARES DUE 12/18/2019 $0.00149/PV ON 1,764,236.43 PV DUE 12/18/19
0.0000 0.000000 2,631.65 0.00 0.00
12/18/2019 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 9485.2800
SHARES DUE 12/18/2019 $0.00229/PV ON 4,139,028.61 PV DUE 12/18/19
0.0000 0.000000 9,485.28 0.00 0.00
12/18/2019 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22 $1 PV ON 4289.2500
SHARES DUE 12/18/2019 $0.00251/PV ON 1,710,000.00 PV DUE 12/18/19
0.0000 0.000000 4,289.25 0.00 0.00
12/19/2019 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIF 12/19/19 0.0000 0.000000 97,000,000.00 0.00 0.00
12/19/2019 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIF 12/19/19 0.0000 0.000000 38,000,000.00 0.00 0.00
12/19/2019 3137EAEN5 INTEREST EARNED ON F H L M C 2.750% 6/19/23 $1 PV ON 10000000.0000
SHARES DUE 12/19/2019
0.0000 0.000000 137,500.00 0.00 0.00
12/19/2019 06367BDS5 PAID ACCRUED INTEREST ON PURCHASE OF BANK OF MONTREAL C D 2.000%
3/18/20
0.0000 0.000000 -55.56 0.00 0.00
12/20/2019 36225CAZ9 INTEREST EARNED ON G N M A I I #080023 4.125% 12/20/26 $1 PV ON 50.2100
SHARES DUE 12/20/2019 NOVEMBER GNMA DUE 12/20/19
0.0000 0.000000 50.21 0.00 0.00
12/20/2019 36225CC20 INTEREST EARNED ON G N M A I I #080088 3.875% 6/20/27 $1 PV ON 40.4000
SHARES DUE 12/20/2019 NOVEMBER GNMA DUE 12/20/19
0.0000 0.000000 40.40 0.00 0.00
12/20/2019 36225CNM4 INTEREST EARNED ON G N M A I I #080395 3.875% 4/20/30 $1 PV ON 20.5900
SHARES DUE 12/20/2019 NOVEMBER GNMA DUE 12/20/19
0.0000 0.000000 20.59 0.00 0.00
12/20/2019 36225CN28 INTEREST EARNED ON G N M A I I #080408 3.875% 5/20/30 $1 PV ON 156.0500
SHARES DUE 12/20/2019 NOVEMBER GNMA DUE 12/20/19
0.0000 0.000000 156.05 0.00 0.00
12/20/2019 36225DCB8 INTEREST EARNED ON G N M A I I #080965 3.250% 7/20/34 $1 PV ON 119.8700
SHARES DUE 12/20/2019 NOVEMBER GNMA DUE 12/20/19
0.0000 0.000000 119.87 0.00 0.00
12/20/2019 06367BDS5 PAID ACCRUED INTEREST ON PURCHASE OF BANK OF MONTREAL C D 2.000%
3/18/20
0.0000 0.000000 -888.89 0.00 0.00
12/20/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -10,683,452.7800 1.000000 10,683,452.78 -10,683,452.78 0.00
12/20/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -8,001,278.1900 1.000000 8,001,278.19 -8,001,278.19 0.00
12/23/2019 06417G5Q7 INTEREST EARNED ON BANK OF NOVA C D 2.610% 12/23/19 $1 PV ON
2300000.0000 SHARES DUE 12/23/2019 INTEREST ON 12/23/19 MATURITY
0.0000 0.000000 46,023.00 0.00 0.00
12/23/2019 3135G0U35 INTEREST EARNED ON F N M A 2.750% 6/22/21 $1 PV ON 7500000.0000
SHARES DUE 12/22/2019
0.0000 0.000000 103,125.00 0.00 0.00
18 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/23/2019 3135G0D75 INTEREST EARNED ON F N M A DEB 1.500% 6/22/20 $1 PV ON 5000000.0000
SHARES DUE 12/22/2019
0.0000 0.000000 37,500.00 0.00 0.00
12/23/2019 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22 $1 PV ON 9759.5800
SHARES DUE 12/21/2019 $0.00246/PV ON 3,970,000.00 PV DUE 12/21/19
0.0000 0.000000 9,759.58 0.00 0.00
12/23/2019 89114M2Z9 PAID ACCRUED INTEREST ON PURCHASE OF TORONTO DOMINION C D 2.200%
1/23/20
0.0000 0.000000 -18,211.11 0.00 0.00
12/23/2019 912828VJ6 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.875% 6/30/20 0.0000 0.000000 -134,510.87 0.00 0.00
12/23/2019 9128283S7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.000% 1/31/20 0.0000 0.000000 -39,402.17 0.00 0.00
12/23/2019 9128283S7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.000% 1/31/20 0.0000 0.000000 -39,402.17 0.00 0.00
12/23/2019 9128283S7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.000% 1/31/20 0.0000 0.000000 -39,402.17 0.00 0.00
12/23/2019 912828VV9 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.125% 8/31/20 0.0000 0.000000 -99,828.30 0.00 0.00
12/23/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -60,558,044.9200 1.000000 60,558,044.92 -60,558,044.92 0.00
12/23/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,972,473.7600 1.000000 1,972,473.76 -1,972,473.76 0.00
12/23/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -4,890,970.7200 1.000000 4,890,970.72 -4,890,970.72 0.00
12/24/2019 166764AH3 INTEREST EARNED ON CHEVRON CORP 3.191% 6/24/23 $1 PV ON 3500000.0000
SHARES DUE 12/24/2019
0.0000 0.000000 55,842.50 0.00 0.00
12/24/2019 90331HNB5 INTEREST EARNED ON US BANK MTN 2.000% 1/24/20 $1 PV ON 2000000.0000
SHARES DUE 12/24/2019
0.0000 0.000000 16,666.60 0.00 0.00
12/24/2019 912828YH7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.500% 9/30/24 0.0000 0.000000 -27,868.85 0.00 0.00
12/24/2019 912828L57 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.750% 9/30/22 0.0000 0.000000 -28,449.45 0.00 0.00
12/24/2019 9128283S7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.000% 1/31/20 0.0000 0.000000 -39,673.91 0.00 0.00
12/24/2019 9128283J7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.125% 11/30/24 0.0000 0.000000 -12,540.98 0.00 0.00
12/24/2019 912828MP2 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 3.625% 2/15/20 0.0000 0.000000 -64,521.06 0.00 0.00
12/24/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -8,102,958.0600 1.000000 8,102,958.06 -8,102,958.06 0.00
12/24/2019 31846V567 SOLD 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
12/24/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -24,092,157.4100 1.000000 24,092,157.41 -24,092,157.41 0.00
12/26/2019 03215PFN4 INTEREST EARNED ON AMRESCO 2.73625% 6/25/29 $1 PV ON 271.3900
SHARES DUE 12/26/2019 $0.00228/PV ON 119,021.64 PV DUE 12/26/19
0.0000 0.000000 271.39 0.00 0.00
12/26/2019 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20 $1 PV ON 753.5600
SHARES DUE 12/25/2019 $0.00354/PV ON 212,720.33 PV DUE 12/25/19
0.0000 0.000000 753.56 0.00 0.00
12/26/2019 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43 $1 PV ON 3677.4200
SHARES DUE 12/25/2019 $0.00542/PV ON 678,909.17 PV DUE 12/25/19
0.0000 0.000000 3,677.42 0.00 0.00
12/26/2019 31371NUC7 INTEREST EARNED ON F N M A #257179 4.500% 4/01/28 $1 PV ON 54.1800 SHARES
DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 54.18 0.00 0.00
12/26/2019 31376KT22 INTEREST EARNED ON F N M A #357969 5.000% 9/01/35 $1 PV ON 396.2400
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 396.24 0.00 0.00
12/26/2019 31381PDA3 INTEREST EARNED ON F N M A #466397 3.400% 11/01/20 $1 PV ON 951.7300
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 951.73 0.00 0.00
19 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/26/2019 31403DJZ3 INTEREST EARNED ON F N M A #745580 5.000% 6/01/36 $1 PV ON 372.6100
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 372.61 0.00 0.00
12/26/2019 31403GXF4 INTEREST EARNED ON F N M A #748678 5.000% 10/01/33 $1 PV ON 7.3500 SHARES
DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 7.35 0.00 0.00
12/26/2019 31406PQY8 INTEREST EARNED ON F N M A #815971 5.000% 3/01/35 $1 PV ON 632.7500
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 632.75 0.00 0.00
12/26/2019 31406XWT5 INTEREST EARNED ON F N M A #823358 4.647% 2/01/35 $1 PV ON 419.7300
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 419.73 0.00 0.00
12/26/2019 31407BXH7 INTEREST EARNED ON F N M A #826080 5.000% 7/01/35 $1 PV ON 74.0000 SHARES
DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 74.00 0.00 0.00
12/26/2019 31410F4V4 INTEREST EARNED ON F N M A #888336 5.000% 7/01/36 $1 PV ON 726.5600
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 726.56 0.00 0.00
12/26/2019 3138EG6F6 INTEREST EARNED ON F N M A #AL0869 4.500% 6/01/29 $1 PV ON 36.1400
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 36.14 0.00 0.00
12/26/2019 31417YAY3 INTEREST EARNED ON F N M A #MA0022 4.500% 4/01/29 $1 PV ON 59.6700
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 59.67 0.00 0.00
12/26/2019 31397QRE0 INTEREST EARNED ON F N M A GTD REMIC 2.825% 2/25/41 $1 PV ON 359.4200
SHARES DUE 12/25/2019 $0.00199/PV ON 180,610.99 PV DUE 12/25/19
0.0000 0.000000 359.42 0.00 0.00
12/26/2019 90331HNB5 INTEREST EARNED ON US BANK MTN 2.000% 1/24/20 $1 PV ON 2000000.0000
SHARES DUE 12/24/2019 ADDITIONAL ACCRUED INTEREST ON 12/24/19 FULL CALL
0.0000 0.000000 0.07 0.00 0.00
12/26/2019 931142EK5 INTEREST EARNED ON WALMART INC 3.400% 6/26/23 $1 PV ON 3880000.0000
SHARES DUE 12/26/2019
0.0000 0.000000 65,960.00 0.00 0.00
12/26/2019 912828L32 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.375% 8/31/20 0.0000 0.000000 -22,098.21 0.00 0.00
12/26/2019 912828XY1 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.500% 6/30/20 0.0000 0.000000 -60,801.63 0.00 0.00
12/26/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -10,095,985.7800 1.000000 10,095,985.78 -10,095,985.78 0.00
12/27/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 13312.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
12/27/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 13312.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 13,312.00 0.00
12/27/2019 02665WCZ2 INTEREST EARNED ON AMERICAN HONDA MTN 2.400% 6/27/24 $1 PV ON
1219000.0000 SHARES DUE 12/27/2019
0.0000 0.000000 14,628.00 0.00 0.00
12/27/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 13312.0000
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
13,312.0000 0.000000 0.00 0.00 0.00
12/27/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 13312.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
12/31/2019 912828XW5 INTEREST EARNED ON U S TREASURY NT 1.750% 6/30/22 $1 PV ON 5000000.0000
SHARES DUE 12/31/2019
0.0000 0.000000 43,750.00 0.00 0.00
12/31/2019 912828VJ6 INTEREST EARNED ON U S TREASURY NT 1.875% 6/30/20 $1 PV ON
15000000.0000 SHARES DUE 12/31/2019
0.0000 0.000000 140,625.00 0.00 0.00
20 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/31/2019 912828XX3 INTEREST EARNED ON U S TREASURY NT 2.000% 6/30/24 $1 PV ON 5000000.0000
SHARES DUE 12/31/2019
0.0000 0.000000 50,000.00 0.00 0.00
12/31/2019 912828N30 INTEREST EARNED ON U S TREASURY NT 2.125% 12/31/22 $1 PV ON 5000000.0000
SHARES DUE 12/31/2019
0.0000 0.000000 53,125.00 0.00 0.00
12/31/2019 912828XY1 INTEREST EARNED ON U S TREASURY NT 2.500% 6/30/20 $1 PV ON 5000000.0000
SHARES DUE 12/31/2019
0.0000 0.000000 62,500.00 0.00 0.00
TOTAL OTHER TRANSACTIONS -192,587,902.7600 331,462,539.07 -192,593,183.34 0.00
21 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
ACQUISITIONS
10/02/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,168.7300 1.000000 -5,168.73 5,168.73 0.00
10/02/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,567,929.1900 1.000000 -7,567,929.19 7,567,929.19 0.00
10/03/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,650,000.0000 1.000000 -1,650,000.00 1,650,000.00 0.00
10/03/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,280.5800 1.000000 -5,280.58 5,280.58 0.00
10/07/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 46,875.0000 1.000000 -46,875.00 46,875.00 0.00
10/08/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,250,000.0000 1.000000 -1,250,000.00 1,250,000.00 0.00
10/10/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 36,250.0000 1.000000 -36,250.00 36,250.00 0.00
10/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,250,000.0000 1.000000 -1,250,000.00 1,250,000.00 0.00
10/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,004,126.1100 1.000000 -1,004,126.11 1,004,126.11 0.00
10/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,177,326.8200 1.000000 -1,177,326.82 1,177,326.82 0.00
10/17/2019 06406HCZ0 PURCHASED PAR VALUE OF BANK OF NY MELLO MTN 2.150% 2/24/20 /GOLDMAN
SACHS & CO. LLC/500,000 PAR VALUE AT 100.061 %
500,000.0000 1.000610 -500,305.00 500,305.00 0.00
10/17/2019 90331HNB5 PURCHASED PAR VALUE OF US BANK MTN 2.000% 1/24/20 /GOLDMAN SACHS
& CO. LLC/2,000,000 PAR VALUE AT 100.012 %
2,000,000.0000 1.000120 -2,000,240.00 2,000,240.00 0.00
10/18/2019 69372AAF9 PURCHASED PAR VALUE OF PACCAR FINANCIAL CORP C P 1/15/20 /MIZUHO
SECURITIES USA FXD INC/1,100,000 PAR VALUE AT 99.54263909 %
1,100,000.0000 0.995426 -1,094,969.03 1,094,969.03 0.00
10/18/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,500,000.0000 1.000000 -1,500,000.00 1,500,000.00 0.00
10/18/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 310,745.2800 1.000000 -310,745.28 310,745.28 0.00
10/21/2019 78012KC62 PURCHASED PAR VALUE OF ROYAL BANK MTN 2.125% 3/02/20 /RBC CAPITAL
MARKETS, LLC/2,000,000 PAR VALUE AT 100.067 %
2,000,000.0000 1.000670 -2,001,340.00 2,001,340.00 0.00
10/21/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 11,733.7400 1.000000 -11,733.74 11,733.74 0.00
10/23/2019 65479JAD5 PURCHASED PAR VALUE OF NISSAN AUTO 1.940% 7/15/24 /MIZUHO
SECURITIES USA FXD INC/4,185,000 PAR VALUE AT 99.99471995 %
4,185,000.0000 0.999947 -4,184,779.03 4,184,779.03 0.00
10/25/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 31,447.1800 1.000000 -31,447.18 31,447.18 0.00
10/25/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 234,968.9500 1.000000 -234,968.95 234,968.95 0.00
10/31/2019 912796RY7 PURCHASED PAR VALUE OF U S TREASURY BILL 1/30/20 /NOMURA
SECURITIES INTERNATIONA/3,000,000 PAR VALUE AT 99.611986 %
3,000,000.0000 0.996120 -2,988,359.58 2,988,359.58 0.00
10/31/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,518,750.0000 1.000000 -2,518,750.00 2,518,750.00 0.00
10/31/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,136,625.9000 1.000000 -5,136,625.90 5,136,625.90 0.00
11/01/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 28,525.0000 1.000000 -28,525.00 28,525.00 0.00
11/04/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 4,798.7000 1.000000 -4,798.70 4,798.70 0.00
11/04/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 76,406.8500 1.000000 -76,406.85 76,406.85 0.00
11/12/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 28,750.0000 1.000000 -28,750.00 28,750.00 0.00
11/12/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 186,684.3800 1.000000 -186,684.38 186,684.38 0.00
11/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,520,600.8300 1.000000 -1,520,600.83 1,520,600.83 0.00
11/15/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 13,785.3100 1.000000 -13,785.31 13,785.31 0.00
1 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/18/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 729,199.9400 1.000000 -729,199.94 729,199.94 0.00
11/19/2019 62479LDQ5 PURCHASED PAR VALUE OF MUFG BANK LTD NY BRAN C P 4/24/20 /MUFG UNION
BK NA/MMI/PIMS/IPA/1,365,000 PAR VALUE AT 99.17138901 %
1,365,000.0000 0.991714 -1,353,689.46 1,353,689.46 0.00
11/19/2019 62479LDQ5 PURCHASED PAR VALUE OF MUFG BANK LTD NY BRAN C P 4/24/20 /MUFG UNION
BK NA/MMI/PIMS/IPA/10,000,000 PAR VALUE AT 99.1713889 %
10,000,000.0000 0.991714 -9,917,138.89 9,917,138.89 0.00
11/19/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,860,000.0000 1.000000 -1,860,000.00 1,860,000.00 0.00
11/19/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 11,255,000.0000 1.000000 -11,255,000.00 11,255,000.00 0.00
11/20/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 22,500.0000 1.000000 -22,500.00 22,500.00 0.00
11/20/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 61,084.4200 1.000000 -61,084.42 61,084.42 0.00
11/21/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 9,759.5800 1.000000 -9,759.58 9,759.58 0.00
11/25/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 25,993.2100 1.000000 -25,993.21 25,993.21 0.00
11/25/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 215,210.7500 1.000000 -215,210.75 215,210.75 0.00
11/27/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 10,000,000.0000 1.000000 -10,000,000.00 10,000,000.00 0.00
11/27/2019 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
11/29/2019 912796RY7 PURCHASED PAR VALUE OF U S TREASURY BILL 1/30/20 /BOFA SECURITIES,
INC./FXD INC/11,000,000 PAR VALUE AT 99.7303 %
11,000,000.0000 0.997303 -10,970,333.00 10,970,333.00 0.00
12/02/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,458,519.8000 1.000000 -5,458,519.80 5,458,519.80 0.00
12/03/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,788.5000 1.000000 -2,788.50 2,788.50 0.00
12/03/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 3,676.2900 1.000000 -3,676.29 3,676.29 0.00
12/06/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,375.0000 1.000000 -5,375.00 5,375.00 0.00
12/06/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 500,000.0000 1.000000 -500,000.00 500,000.00 0.00
12/09/2019 912828YH7 PURCHASED PAR VALUE OF U S TREASURY NT 1.500% 9/30/24 /J.P. MORGAN
SECURITIES LLC/6,000,000 PAR VALUE AT 99.16015633 %
6,000,000.0000 0.991602 -5,949,609.38 5,949,609.38 0.00
12/11/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 37,500.0000 1.000000 -37,500.00 37,500.00 0.00
12/12/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 83,500.0000 1.000000 -83,500.00 83,500.00 0.00
12/13/2019 9128283J7 PURCHASED PAR VALUE OF U S TREASURY NT 2.125% 11/30/24 /GOLDMAN
SACHS & CO. LLC/7,500,000 PAR VALUE AT 101.72265627 %
7,500,000.0000 1.017227 -7,629,199.22 7,629,199.22 0.00
12/16/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,088,240.6500 1.000000 -1,088,240.65 1,088,240.65 0.00
12/16/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 31,233.0000 1.000000 -31,233.00 31,233.00 0.00
12/18/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 637,012.6300 1.000000 -637,012.63 637,012.63 0.00
12/19/2019 06367BDS5 PURCHASED PAR VALUE OF BANK OF MONTREAL C D 2.000% 3/18/20 /RBC CAPITAL
MARKETS, LLC/1,000,000 PAR VALUE AT 100.004948 %
1,000,000.0000 1.000049 -1,000,049.48 1,000,049.48 0.00
12/19/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 95,999,894.9600 1.000000 -95,999,894.96 95,999,894.96 0.00
12/19/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 137,500.0000 1.000000 -137,500.00 137,500.00 0.00
12/19/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 38,000,000.0000 1.000000 -38,000,000.00 38,000,000.00 0.00
12/20/2019 06367BDS5 PURCHASED PAR VALUE OF BANK OF MONTREAL C D 2.000% 3/18/20 /RBC CAPITAL
MARKETS, LLC/8,000,000 PAR VALUE AT 100.00486625 %
8,000,000.0000 1.000049 -8,000,389.30 8,000,389.30 0.00
2 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/20/2019 313384RU5 PURCHASED PAR VALUE OF F H L B DISC NTS 1/14/20 /NOMURA SECURITIES
INTERNATIONA/1,200,000 PAR VALUE AT 99.8909725 %
1,200,000.0000 0.998910 -1,198,691.67 1,198,691.67 0.00
12/20/2019 313384SD2 PURCHASED PAR VALUE OF F H L B DISC NTS 1/23/20 /BARCLAYS CAPITAL
INC. FIXED IN/5,000,000 PAR VALUE AT 99.8517222 %
5,000,000.0000 0.998517 -4,992,586.11 4,992,586.11 0.00
12/20/2019 313384SK6 PURCHASED PAR VALUE OF F H L B DISC NTS 1/29/20 /JEFFERIES
LLC/4,500,000 PAR VALUE AT 99.82611111 %
4,500,000.0000 0.998261 -4,492,175.00 4,492,175.00 0.00
12/20/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 3,848.7300 1.000000 -3,848.73 3,848.73 0.00
12/23/2019 89114M2Z9 PURCHASED PAR VALUE OF TORONTO DOMINION C D 2.200% 1/23/20 /GOLDMAN
SACHS & CO. LLC/2,000,000 PAR VALUE AT 100.0142825 %
2,000,000.0000 1.000143 -2,000,285.65 2,000,285.65 0.00
12/23/2019 912796RT8 PURCHASED PAR VALUE OF U S TREASURY BILL 1/02/20 /CITIGROUP GLOBAL
MARKETS INC./7,500,000 PAR VALUE AT 99.95873613 %
7,500,000.0000 0.999587 -7,496,905.21 7,496,905.21 0.00
12/23/2019 912796WM7 PURCHASED PAR VALUE OF U S TREASURY BILL 1/07/20 /NOMURA
SECURITIES INTERNATIONA/7,500,000 PAR VALUE AT 99.93760413 %
7,500,000.0000 0.999376 -7,495,320.31 7,495,320.31 0.00
12/23/2019 912796TH2 PURCHASED PAR VALUE OF U S TREASURY BILL 3/05/20 /WELLS FARGO
SECURITIES, LLC/7,500,000 PAR VALUE AT 99.68932413 %
7,500,000.0000 0.996893 -7,476,699.31 7,476,699.31 0.00
12/23/2019 912828VJ6 PURCHASED PAR VALUE OF U S TREASURY NT 1.875% 6/30/20 /WELLS FARGO
SECURITIES, LLC/15,000,000 PAR VALUE AT 100.14843753 %
15,000,000.0000 1.001484 -15,022,265.63 15,022,265.63 0.00
12/23/2019 9128283S7 PURCHASED PAR VALUE OF U S TREASURY NT 2.000% 1/31/20 /CITIGROUP
GLOBAL MARKETS INC./5,000,000 PAR VALUE AT 100.0390626 %
5,000,000.0000 1.000391 -5,001,953.13 5,001,953.13 0.00
12/23/2019 9128283S7 PURCHASED PAR VALUE OF U S TREASURY NT 2.000% 1/31/20 /CITIGROUP
GLOBAL MARKETS INC./5,000,000 PAR VALUE AT 100.0390626 %
5,000,000.0000 1.000391 -5,001,953.13 5,001,953.13 0.00
12/23/2019 9128283S7 PURCHASED PAR VALUE OF U S TREASURY NT 2.000% 1/31/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 100.0390626 %
5,000,000.0000 1.000391 -5,001,953.13 5,001,953.13 0.00
12/23/2019 912828VV9 PURCHASED PAR VALUE OF U S TREASURY NT 2.125% 8/31/20 /NOMURA
SECURITIES INTERNATIONA/15,000,000 PAR VALUE AT 100.33203127 %
15,000,000.0000 1.003320 -15,049,804.69 15,049,804.69 0.00
12/24/2019 06367BED7 PURCHASED PAR VALUE OF BANK OF MONTREAL C D 1.890% 5/21/20 /BMO
CAPITAL MARKETS CORP/BONDS/1,000,000 PAR VALUE AT 100 %
1,000,000.0000 1.000000 -1,000,000.00 1,000,000.00 0.00
12/24/2019 912828YH7 PURCHASED PAR VALUE OF U S TREASURY NT 1.500% 9/30/24 /MORGAN
STANLEY & CO. LLC/8,000,000 PAR VALUE AT 98.87109375 %
8,000,000.0000 0.988711 -7,909,687.50 7,909,687.50 0.00
12/24/2019 912828L57 PURCHASED PAR VALUE OF U S TREASURY NT 1.750% 9/30/22 /BOFA
SECURITIES, INC./FXD INC/7,000,000 PAR VALUE AT 100.21093757 %
7,000,000.0000 1.002109 -7,014,765.63 7,014,765.63 0.00
12/24/2019 9128283S7 PURCHASED PAR VALUE OF U S TREASURY NT 2.000% 1/31/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 100.0351562 %
5,000,000.0000 1.000352 -5,001,757.81 5,001,757.81 0.00
12/24/2019 9128283J7 PURCHASED PAR VALUE OF U S TREASURY NT 2.125% 11/30/24 /GOLDMAN
SACHS & CO. LLC/9,000,000 PAR VALUE AT 101.71875 %
9,000,000.0000 1.017188 -9,154,687.50 9,154,687.50 0.00
12/24/2019 912828MP2 PURCHASED PAR VALUE OF U S TREASURY NT 3.625% 2/15/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 100.2734376 %
5,000,000.0000 1.002734 -5,013,671.88 5,013,671.88 0.00
12/26/2019 912828L32 PURCHASED PAR VALUE OF U S TREASURY NT 1.375% 8/31/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 99.8203126 %
5,000,000.0000 0.998203 -4,991,015.63 4,991,015.63 0.00
3 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/26/2019 912828XY1 PURCHASED PAR VALUE OF U S TREASURY NT 2.500% 6/30/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 100.4414062 %
5,000,000.0000 1.004414 -5,022,070.31 5,022,070.31 0.00
12/26/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 0.0700 1.000000 -0.07 0.07 0.00
12/26/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 156,854.3400 1.000000 -156,854.34 156,854.34 0.00
12/26/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 100,634.4500 1.000000 -100,634.45 100,634.45 0.00
12/27/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 14,628.0000 1.000000 -14,628.00 14,628.00 0.00
12/31/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 203,125.0000 1.000000 -203,125.00 203,125.00 0.00
12/31/2019 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 146,875.0000 1.000000 -146,875.00 146,875.00 0.00
TOTAL ACQUISITIONS 381,236,732.8700 -381,315,383.47 381,315,383.47 0.00
DISPOSITIONS
10/02/2019 3137EADM8 MATURED PAR VALUE OF F H L M C M T N 1.250% 10/02/19 7,500,000 PAR VALUE
AT 100 %
-7,500,000.0000 1.000000 7,500,000.00 -7,399,650.00 100,350.00
10/03/2019 912796SL4 MATURED PAR VALUE OF U S TREASURY BILL 10/03/19 1,650,000 PAR VALUE
AT 100 %
-1,650,000.0000 1.000000 1,646,687.63 -1,646,687.63 0.00
10/08/2019 912796VY2 MATURED PAR VALUE OF U S TREASURY BILL 10/08/19 1,250,000 PAR VALUE
AT 100 %
-1,250,000.0000 1.000000 1,249,517.42 -1,249,517.42 0.00
10/15/2019 912796VZ9 MATURED PAR VALUE OF U S TREASURY BILL 10/15/19 1,250,000 PAR VALUE
AT 100 %
-1,250,000.0000 1.000000 1,249,059.90 -1,249,059.90 0.00
10/15/2019 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C #786064 4.677% 1/01/28 SEPTEMBER
FHLMC DUE 10/15/19
-24.9900 0.000000 24.99 -24.38 0.61
10/15/2019 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.016% 8/15/32 -386.6500 0.000000 386.65 -387.05 -0.40
10/15/2019 47788NAD0 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.490% 5/15/23 CMO FINAL
PAYDOWN
-1,003,712.9300 0.000000 1,003,712.93 -987,088.93 16,624.00
10/15/2019 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820% 10/15/21 -42,196.1900 9.824872 42,196.19 -42,193.10 3.09
10/15/2019 47788CAB8 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.420% 10/15/20 -179,120.5700 2.314487 179,120.57 -178,756.74 363.83
10/15/2019 65478VAD9 PAID DOWN PAR VALUE OF NISSAN AUTO 1.320% 1/15/21 -74,892.5400 5.535560 74,892.54 -74,292.81 599.73
10/15/2019 65478GAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.750% 10/15/21 -175,390.0800 2.363715 175,390.08 -172,670.16 2,719.92
10/15/2019 89238BAB8 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.100% 10/15/20 -325,799.3400 1.272477 325,799.34 -325,766.04 33.30
10/15/2019 89239AAB9 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.830% 10/15/21 -289,115.0800 1.433935 289,115.08 -289,088.83 26.25
10/18/2019 96130AAK4 MATURED PAR VALUE OF WESTPAC BKING C D 2.970% 10/18/19 1,500,000 PAR
VALUE AT 100 %
-1,500,000.0000 1.000000 1,500,000.00 -1,503,302.80 -3,302.80
10/18/2019 43814RAC0 PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -115,199.0400 0.000000 115,199.04 -113,934.55 1,264.49
10/18/2019 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -177,461.4800 0.000000 177,461.48 -174,647.05 2,814.43
10/21/2019 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I #080023 4.125% 12/20/26 SEPTEMBER
GNMA DUE 10/20/19
-176.3500 0.000000 176.35 -179.26 -2.91
10/21/2019 36225CC20 PAID DOWN PAR VALUE OF G N M A I I #080088 3.875% 6/20/27 SEPTEMBER GNMA
DUE 10/20/19
-186.0100 0.000000 186.01 -190.08 -4.07
4 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
10/21/2019 36225CNM4 PAID DOWN PAR VALUE OF G N M A I I #080395 3.875% 4/20/30 SEPTEMBER GNMA
DUE 10/20/19
-103.2800 0.000000 103.28 -102.34 0.94
10/21/2019 36225CN28 PAID DOWN PAR VALUE OF G N M A I I #080408 3.875% 5/20/30 SEPTEMBER GNMA
DUE 10/20/19
-337.5300 0.000000 337.53 -334.10 3.43
10/21/2019 36225DCB8 PAID DOWN PAR VALUE OF G N M A I I #080965 3.750% 7/20/34 SEPTEMBER GNMA
DUE 10/20/19
-746.0600 0.000000 746.06 -745.59 0.47
10/25/2019 03215PFN4 PAID DOWN PAR VALUE OF AMRESCO 2.95841% 6/25/29 -4,106.2100 0.000000 4,106.21 -3,083.51 1,022.70
10/25/2019 31398VJ98 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 -232,634.2500 3.215297 232,634.25 -245,828.98 -13,194.73
10/25/2019 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -7,406.7800 0.000000 7,406.78 -8,388.18 -981.40
10/25/2019 31371NUC7 PAID DOWN PAR VALUE OF F N M A #257179 4.500% 4/01/28 SEPTEMBER FNMA
DUE 10/25/19
-133.7500 0.000000 133.75 -141.45 -7.70
10/25/2019 31376KT22 PAID DOWN PAR VALUE OF F N M A #357969 5.000% 9/01/35 SEPTEMBER FNMA
DUE 10/25/19
-1,579.8500 0.000000 1,579.85 -1,698.34 -118.49
10/25/2019 31381PDA3 PAID DOWN PAR VALUE OF F N M A #466397 3.400% 11/01/20 SEPTEMBER FNMA
DUE 10/25/19
-748.4400 0.000000 748.44 -732.24 16.20
10/25/2019 31403DJZ3 PAID DOWN PAR VALUE OF F N M A #745580 5.000% 6/01/36 SEPTEMBER FNMA
DUE 10/25/19
-1,482.5900 0.000000 1,482.59 -1,593.78 -111.19
10/25/2019 31403GXF4 PAID DOWN PAR VALUE OF F N M A #748678 5.000% 10/01/33 SEPTEMBER FNMA
DUE 10/25/19
-8.9800 0.000000 8.98 -9.65 -0.67
10/25/2019 31406PQY8 PAID DOWN PAR VALUE OF F N M A #815971 5.000% 3/01/35 SEPTEMBER FNMA
DUE 10/25/19
-709.0700 0.000000 709.07 -762.25 -53.18
10/25/2019 31406XWT5 PAID DOWN PAR VALUE OF F N M A #823358 4.722% 2/01/35 SEPTEMBER FNMA
DUE 10/25/19
-440.6000 0.000000 440.60 -437.16 3.44
10/25/2019 31407BXH7 PAID DOWN PAR VALUE OF F N M A #826080 5.000% 7/01/35 SEPTEMBER FNMA
DUE 10/25/19
-79.8800 0.000000 79.88 -85.87 -5.99
10/25/2019 31410F4V4 PAID DOWN PAR VALUE OF F N M A #888336 5.000% 7/01/36 SEPTEMBER FNMA
DUE 10/25/19
-2,690.3200 0.000000 2,690.32 -2,892.09 -201.77
10/25/2019 3138EG6F6 PAID DOWN PAR VALUE OF F N M A #AL0869 4.500% 6/01/29 SEPTEMBER FNMA
DUE 10/25/19
-226.9300 0.000000 226.93 -240.00 -13.07
10/25/2019 31417YAY3 PAID DOWN PAR VALUE OF F N M A #MA0022 4.500% 4/01/29 SEPTEMBER FNMA
DUE 10/25/19
-296.1600 0.000000 296.16 -313.22 -17.06
10/25/2019 31397QRE0 PAID DOWN PAR VALUE OF F N M A GTD REMIC 2.825% 2/25/41 -2,555.4600 0.000000 2,555.46 -2,554.66 0.80
10/25/2019 78445JAA5 PAID DOWN PAR VALUE OF S L M A 3.8594% 4/25/23 -581.9100 0.000000 581.91 -579.55 2.36
10/31/2019 912828F62 MATURED PAR VALUE OF U S TREASURY NT 1.500% 10/31/19 2,500,000 PAR
VALUE AT 100 %
-2,500,000.0000 1.000000 2,500,000.00 -2,486,718.75 13,281.25
10/31/2019 912828G61 SOLD PAR VALUE OF U S TREASURY NT 1.500% 11/30/19 /NOMURA SECURITIES
INTERNATIONA/5,000,000 PAR VALUE AT 99.9804688 %
-5,000,000.0000 0.999805 4,999,023.44 -4,966,423.00 32,600.44
11/15/2019 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C #786064 4.678% 1/01/28 OCTOBER FHLMC
DUE 11/15/19
-17.7400 0.000000 17.74 -17.31 0.43
5 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/15/2019 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.016% 8/15/32 -386.6000 1,163.993792 386.60 -387.00 -0.40
11/15/2019 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820% 10/15/21 -46,876.0500 8.844008 46,876.05 -46,872.62 3.43
11/15/2019 47788CAB8 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.420% 10/15/20 CMO FINAL
PAYDOWN
-1,489.7400 0.000000 1,489.74 -1,486.71 3.03
11/15/2019 47788CAC6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.660% 4/18/22 -137,727.6800 3.010086 137,727.68 -137,717.78 9.90
11/15/2019 47789JAB2 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.850% 12/15/21 -249,117.1200 1.664166 249,117.12 -249,105.76 11.36
11/15/2019 65478VAD9 PAID DOWN PAR VALUE OF NISSAN AUTO 1.320% 1/15/21 -75,420.5600 5.496806 75,420.56 -74,816.61 603.95
11/15/2019 65478GAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.750% 10/15/21 -171,609.4500 2.415789 171,609.45 -168,948.16 2,661.29
11/15/2019 89238BAB8 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.100% 10/15/20 -326,607.1000 1.269330 326,607.10 -326,573.72 33.38
11/15/2019 89239AAB9 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.830% 10/15/21 -297,889.1200 1.391700 297,889.12 -297,862.07 27.05
11/18/2019 43814RAC0 PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -113,371.9700 0.000000 113,371.97 -112,127.53 1,244.44
11/18/2019 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -173,527.6900 0.000000 173,527.69 -170,775.65 2,752.04
11/18/2019 43814WAB1 PAID DOWN PAR VALUE OF HONDA AUTO 2.750% 9/20/21 -255,971.3900 0.000000 255,971.39 -255,954.91 16.48
11/19/2019 62479MYK3 MATURED PAR VALUE OF MUFG BANK LTD NY BRAN C P 11/19/19 1,860,000 PAR
VALUE AT 100 %
-1,860,000.0000 1.000000 1,850,032.47 -1,850,032.47 0.00
11/19/2019 62479MYK3 MATURED PAR VALUE OF MUFG BANK LTD NY BRAN C P 11/19/19 11,255,000 PAR
VALUE AT 100 %
-11,255,000.0000 1.000000 11,194,685.71 -11,194,685.71 0.00
11/20/2019 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I #080023 4.125% 12/20/26 OCTOBER GNMA
DUE 11/20/19
-566.7000 0.000000 566.70 -576.06 -9.36
11/20/2019 36225CC20 PAID DOWN PAR VALUE OF G N M A I I #080088 3.875% 6/20/27 OCTOBER GNMA
DUE 11/20/19
-2,399.0700 0.000000 2,399.07 -2,451.55 -52.48
11/20/2019 36225CNM4 PAID DOWN PAR VALUE OF G N M A I I #080395 3.875% 4/20/30 OCTOBER GNMA
DUE 11/20/19
-42.4600 0.000000 42.46 -42.08 0.38
11/20/2019 36225CN28 PAID DOWN PAR VALUE OF G N M A I I #080408 3.875% 5/20/30 OCTOBER GNMA
DUE 11/20/19
-1,091.5100 0.000000 1,091.51 -1,080.42 11.09
11/20/2019 36225DCB8 PAID DOWN PAR VALUE OF G N M A I I #080965 3.250% 7/20/34 OCTOBER GNMA
DUE 11/20/19
-333.2900 0.000000 333.29 -333.08 0.21
11/25/2019 31398VJ98 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 -213,700.1600 0.084664 213,700.16 -225,820.97 -12,120.81
11/25/2019 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -469.7300 0.000000 469.73 -531.97 -62.24
11/25/2019 31371NUC7 PAID DOWN PAR VALUE OF F N M A #257179 4.500% 4/01/28 OCTOBER FNMA
DUE 11/25/19
-135.4500 0.000000 135.45 -143.25 -7.80
11/25/2019 31376KT22 PAID DOWN PAR VALUE OF F N M A #357969 5.000% 9/01/35 OCTOBER FNMA
DUE 11/25/19
-2,206.6400 0.000000 2,206.64 -2,372.14 -165.50
11/25/2019 31381PDA3 PAID DOWN PAR VALUE OF F N M A #466397 3.400% 11/01/20 OCTOBER FNMA
DUE 11/25/19
-706.3800 0.000000 706.38 -691.09 15.29
11/25/2019 31403DJZ3 PAID DOWN PAR VALUE OF F N M A #745580 5.000% 6/01/36 OCTOBER FNMA
DUE 11/25/19
-1,601.3200 0.000000 1,601.32 -1,721.42 -120.10
6 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/25/2019 31403GXF4 PAID DOWN PAR VALUE OF F N M A #748678 5.000% 10/01/33 OCTOBER FNMA
DUE 11/25/19
-9.0200 0.000000 9.02 -9.70 -0.68
11/25/2019 31406PQY8 PAID DOWN PAR VALUE OF F N M A #815971 5.000% 3/01/35 OCTOBER FNMA
DUE 11/25/19
-4,574.2200 0.000000 4,574.22 -4,917.29 -343.07
11/25/2019 31406XWT5 PAID DOWN PAR VALUE OF F N M A #823358 4.722% 2/01/35 OCTOBER FNMA
DUE 11/25/19
-442.5600 0.000000 442.56 -439.10 3.46
11/25/2019 31407BXH7 PAID DOWN PAR VALUE OF F N M A #826080 5.000% 7/01/35 OCTOBER FNMA
DUE 11/25/19
-836.8200 0.000000 836.82 -899.58 -62.76
11/25/2019 31410F4V4 PAID DOWN PAR VALUE OF F N M A #888336 5.000% 7/01/36 OCTOBER FNMA
DUE 11/25/19
-3,099.1200 0.000000 3,099.12 -3,331.55 -232.43
11/25/2019 3138EG6F6 PAID DOWN PAR VALUE OF F N M A #AL0869 4.500% 6/01/29 OCTOBER FNMA
DUE 11/25/19
-180.2600 0.000000 180.26 -190.64 -10.38
11/25/2019 31417YAY3 PAID DOWN PAR VALUE OF F N M A #MA0022 4.500% 4/01/29 OCTOBER FNMA
DUE 11/25/19
-229.0300 0.000000 229.03 -242.22 -13.19
11/25/2019 31397QRE0 PAID DOWN PAR VALUE OF F N M A GTD REMIC 2.825% 2/25/41 -3,329.2300 0.000000 3,329.23 -3,328.19 1.04
12/02/2019 73358WAG9 MATURED PAR VALUE OF PORT AUTH NY NJ 5.309% 12/01/19 2,440,000 PAR
VALUE AT 100 %
-2,440,000.0000 1.000000 2,440,000.00 -2,507,633.89 -67,633.89
12/02/2019 912828G61 MATURED PAR VALUE OF U S TREASURY NT 1.500% 11/30/19 2,500,000 PAR
VALUE AT 100 %
-2,500,000.0000 1.000000 2,500,000.00 -2,483,211.50 16,788.50
12/06/2019 94988J5G8 MATURED PAR VALUE OF WELLS FARGO MTN 2.150% 12/06/19 500,000 PAR
VALUE AT 100 %
-500,000.0000 1.000000 500,000.00 -498,425.00 1,575.00
12/16/2019 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C #786064 4.678% 1/01/28 NOVEMBER
FHLMC DUE 12/15/19
-10.5000 0.000000 10.50 -10.24 0.26
12/16/2019 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.027% 8/15/32 -381.1000 0.000000 381.10 -381.50 -0.40
12/16/2019 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820% 10/15/21 -28,285.3200 14.656796 28,285.32 -28,283.25 2.07
12/16/2019 47788CAC6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.660% 4/18/22 -89,079.4600 4.653959 89,079.46 -89,073.05 6.41
12/16/2019 47789JAB2 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.850% 12/15/21 -250,228.2300 1.656776 250,228.23 -250,216.82 11.41
12/16/2019 65478VAD9 PAID DOWN PAR VALUE OF NISSAN AUTO 1.320% 1/15/21 -65,825.8800 6.298012 65,825.88 -65,298.76 527.12
12/16/2019 65478GAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.750% 10/15/21 -153,480.3600 2.701142 153,480.36 -151,100.22 2,380.14
12/16/2019 89238BAB8 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.100% 10/15/20 CMO FINAL
PAUYDOWN
-31,233.0000 0.000000 31,233.00 -31,229.81 3.19
12/16/2019 89239AAB9 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.830% 10/15/21 -272,353.3400 1.522185 272,353.34 -272,328.61 24.73
12/18/2019 43814RAC0 PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -106,100.0400 0.000000 106,100.04 -104,935.43 1,164.61
12/18/2019 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -164,004.9300 0.000000 164,004.93 -161,403.91 2,601.02
12/18/2019 43814WAB1 PAID DOWN PAR VALUE OF HONDA AUTO 2.750% 9/20/21 -350,163.5400 0.000000 350,163.54 -350,140.99 22.55
12/20/2019 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I #080023 4.125% 12/20/26 NOVEMBER GNMA
DUE 12/20/19
-151.7000 0.000000 151.70 -154.21 -2.51
12/20/2019 36225CC20 PAID DOWN PAR VALUE OF G N M A I I #080088 3.875% 6/20/27 NOVEMBER GNMA
DUE 12/20/19
-187.2300 0.000000 187.23 -191.33 -4.10
7 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/20/2019 36225CNM4 PAID DOWN PAR VALUE OF G N M A I I #080395 3.875% 4/20/30 NOVEMBER GNMA
DUE 12/20/19
-150.5600 0.000000 150.56 -149.19 1.37
12/20/2019 36225CN28 PAID DOWN PAR VALUE OF G N M A I I #080408 3.875% 5/20/30 NOVEMBER GNMA
DUE 12/20/19
-1,851.6900 0.000000 1,851.69 -1,832.88 18.81
12/20/2019 36225DCB8 PAID DOWN PAR VALUE OF G N M A I I #080965 3.250% 7/20/34 NOVEMBER GNMA
DUE 12/20/19
-1,120.4300 0.000000 1,120.43 -1,119.73 0.70
12/23/2019 06417G5Q7 MATURED PAR VALUE OF BANK OF NOVA C D 2.610% 12/23/19 2,300,000 PAR
VALUE AT 100 %
-2,300,000.0000 1.000000 2,300,000.00 -2,300,614.40 -614.40
12/24/2019 90331HNB5 FULL CALL PAR VALUE OF US BANK MTN 2.000% 1/24/20 /CALLS/ -2,000,000.0000 1.000000 2,000,000.00 -2,000,240.00 -240.00
12/26/2019 31398VJ98 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 -156,100.7800 0.138540 156,100.78 -164,954.62 -8,853.84
12/26/2019 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -8,230.9000 0.000000 8,230.90 -9,321.49 -1,090.59
12/26/2019 31371NUC7 PAID DOWN PAR VALUE OF F N M A #257179 4.500% 4/01/28 NOVEMBER FNMA
DUE 12/25/19
-137.0300 0.000000 137.03 -144.92 -7.89
12/26/2019 31376KT22 PAID DOWN PAR VALUE OF F N M A #357969 5.000% 9/01/35 NOVEMBER FNMA
DUE 12/25/19
-3,121.4100 0.000000 3,121.41 -3,355.52 -234.11
12/26/2019 31381PDA3 PAID DOWN PAR VALUE OF F N M A #466397 3.400% 11/01/20 NOVEMBER FNMA
DUE 12/25/19
-754.2900 0.000000 754.29 -737.97 16.32
12/26/2019 31403DJZ3 PAID DOWN PAR VALUE OF F N M A #745580 5.000% 6/01/36 NOVEMBER FNMA
DUE 12/25/19
-1,647.8700 0.000000 1,647.87 -1,771.46 -123.59
12/26/2019 31403GXF4 PAID DOWN PAR VALUE OF F N M A #748678 5.000% 10/01/33 NOVEMBER FNMA
DUE 12/25/19
-9.0700 0.000000 9.07 -9.75 -0.68
12/26/2019 31406PQY8 PAID DOWN PAR VALUE OF F N M A #815971 5.000% 3/01/35 NOVEMBER FNMA
DUE 12/25/19
-5,800.0600 0.000000 5,800.06 -6,235.06 -435.00
12/26/2019 31406XWT5 PAID DOWN PAR VALUE OF F N M A #823358 4.647% 2/01/35 NOVEMBER FNMA
DUE 12/25/19
-477.4000 0.000000 477.40 -473.67 3.73
12/26/2019 31407BXH7 PAID DOWN PAR VALUE OF F N M A #826080 5.000% 7/01/35 NOVEMBER FNMA
DUE 12/25/19
-82.7800 0.000000 82.78 -88.99 -6.21
12/26/2019 31410F4V4 PAID DOWN PAR VALUE OF F N M A #888336 5.000% 7/01/36 NOVEMBER FNMA
DUE 12/25/19
-2,693.7800 0.000000 2,693.78 -2,895.81 -202.03
12/26/2019 3138EG6F6 PAID DOWN PAR VALUE OF F N M A #AL0869 4.500% 6/01/29 NOVEMBER FNMA
DUE 12/25/19
-120.8900 0.000000 120.89 -127.85 -6.96
12/26/2019 31417YAY3 PAID DOWN PAR VALUE OF F N M A #MA0022 4.500% 4/01/29 NOVEMBER FNMA
DUE 12/25/19
-468.6300 0.000000 468.63 -495.62 -26.99
12/26/2019 31397QRE0 PAID DOWN PAR VALUE OF F N M A GTD REMIC 2.825% 2/25/41 -3,091.1500 0.000000 3,091.15 -3,090.18 0.97
TOTAL DISPOSITIONS -49,928,837.8300 49,852,844.40 -49,759,265.38 93,579.02
OTHER TRANSACTIONS
10/01/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
9/30/2019 INTEREST FROM 9/1/19 TO 9/30/19
0.0000 0.000000 5,168.73 0.00 0.00
8 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
10/01/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
9/30/2019 INTEREST FROM 9/1/19 TO 9/30/19
0.0000 0.000000 21,054.19 0.00 0.00
10/02/2019 3137EADM8 INTEREST EARNED ON F H L M C M T N 1.250% 10/02/19 $1 PV ON 7500000.0000
SHARES DUE 10/2/2019
0.0000 0.000000 46,875.00 0.00 0.00
10/03/2019 912796SL4 INTEREST EARNED ON U S TREASURY BILL 10/03/19 $1 PV ON 1650000.0000
SHARES DUE 10/3/2019 1,650,000 PAR VALUE AT 100 %
0.0000 0.000000 3,312.37 0.00 0.00
10/03/2019 525ESC0Y6 Unknown LEHMAN BRTH HLD ESC PARTIAL LIQUIDATING DISTRIBUTION PAID @
2.02/SHARE
0.0000 0.000000 4,058.66 -4,058.66 0.00
10/03/2019 525ESCIB7 Unknown LEHMAN BRTH MTN ES 0.00001% 1/24/13 PARTIAL LIQUIDATING
DISTRIBUTION PAID @ 2.03654000
0.0000 0.000000 1,221.92 -1,221.92 0.00
10/07/2019 3135G0T45 INTEREST EARNED ON F N M A 1.875% 4/05/22 $1 PV ON 5000000.0000
SHARES DUE 10/5/2019
0.0000 0.000000 46,875.00 0.00 0.00
10/08/2019 912796VY2 INTEREST EARNED ON U S TREASURY BILL 10/08/19 $1 PV ON 1250000.0000
SHARES DUE 10/8/2019 1,250,000 PAR VALUE AT 100 %
0.0000 0.000000 482.58 0.00 0.00
10/10/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 416.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
10/10/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 416.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 416.00 0.00
10/10/2019 02665WCQ2 INTEREST EARNED ON AMERICAN HONDA MTN 3.625% 10/10/23 $1 PV ON
2000000.0000 SHARES DUE 10/10/2019
0.0000 0.000000 36,250.00 0.00 0.00
10/10/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 416.0000 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
416.0000 0.000000 0.00 0.00 0.00
10/10/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 416.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
10/15/2019 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22 $1 PV ON 10084.2400
SHARES DUE 10/15/2019 $0.00161/PV ON 6,270,000.00 PV DUE 10/15/19
0.0000 0.000000 10,084.24 0.00 0.00
10/15/2019 31348SWZ3 INTEREST EARNED ON F H L M C #786064 4.677% 1/01/28 $1 PV ON 7.1900
SHARES DUE 10/15/2019 AUGUST FHLMC DUE 10/15/19
0.0000 0.000000 7.19 0.00 0.00
10/15/2019 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 4.016% 8/15/32 $1 PV ON 26.5300
SHARES DUE 10/15/2019 $0.00335/PV ON 7,928.50 PV DUE 10/15/19
0.0000 0.000000 26.53 0.00 0.00
10/15/2019 43815NAB0 INTEREST EARNED ON HONDA AUTO 1.900% 4/15/22 $1 PV ON 5589.1700
SHARES DUE 10/15/2019 $0.00158/PV ON 3,530,000.00 PV DUE 10/15/19
0.0000 0.000000 5,589.17 0.00 0.00
10/15/2019 24422EUM9 INTEREST EARNED ON JOHN DEERE MTN 3.650% 10/12/23 $1 PV ON
1250000.0000 SHARES DUE 10/12/2019
0.0000 0.000000 22,812.50 0.00 0.00
10/15/2019 47788NAD0 INTEREST EARNED ON JOHN DEERE OWNER 1.490% 5/15/23 $1 PV ON 1246.2800
SHARES DUE 10/15/2019 $0.00124/PV ON 1,003,712.93 PV DUE 10/15/19
0.0000 0.000000 1,246.28 0.00 0.00
10/15/2019 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820% 10/15/21 $1 PV ON 669.4500
SHARES DUE 10/15/2019 $0.00152/PV ON 441,393.78 PV DUE 10/15/19
0.0000 0.000000 669.45 0.00 0.00
10/15/2019 477870AB5 INTEREST EARNED ON JOHN DEERE OWNER 2.280% 5/16/22 $1 PV ON 5320.0000
SHARES DUE 10/15/2019 $0.00190/PV ON 2,800,000.00 PV DUE 10/15/19
0.0000 0.000000 5,320.00 0.00 0.00
9 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
10/15/2019 47788CAB8 INTEREST EARNED ON JOHN DEERE OWNER 2.420% 10/15/20 $1 PV ON 364.2300
SHARES DUE 10/15/2019 $0.00202/PV ON 180,610.31 PV DUE 10/15/19
0.0000 0.000000 364.23 0.00 0.00
10/15/2019 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22 $1 PV ON 2970.3400
SHARES DUE 10/15/2019 $0.00222/PV ON 1,340,000.00 PV DUE 10/15/19
0.0000 0.000000 2,970.34 0.00 0.00
10/15/2019 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850% 12/15/21 $1 PV ON 7754.3800
SHARES DUE 10/15/2019 $0.00238/PV ON 3,265,000.00 PV DUE 10/15/19
0.0000 0.000000 7,754.38 0.00 0.00
10/15/2019 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080% 11/15/22 $1 PV ON
11883.6800 SHARES DUE 10/15/2019 $0.00257/PV ON 4,630,000.00 PV DUE 10/15/19
0.0000 0.000000 11,883.68 0.00 0.00
10/15/2019 65478VAD9 INTEREST EARNED ON NISSAN AUTO 1.320% 1/15/21 $1 PV ON 277.2600
SHARES DUE 10/15/2019 $0.00110/PV ON 252,050.02 PV DUE 10/15/19
0.0000 0.000000 277.26 0.00 0.00
10/15/2019 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 3009.5700
SHARES DUE 10/15/2019 $0.00146/PV ON 2,063,703.33 PV DUE 10/15/19
0.0000 0.000000 3,009.57 0.00 0.00
10/15/2019 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23 $1 PV ON 9078.0000
SHARES DUE 10/15/2019 $0.00255/PV ON 3,560,000.00 PV DUE 10/15/19
0.0000 0.000000 9,078.00 0.00 0.00
10/15/2019 89238BAB8 INTEREST EARNED ON TOYOTA AUTO 2.100% 10/15/20 $1 PV ON 1196.3700
SHARES DUE 10/15/2019 $0.00175/PV ON 683,639.44 PV DUE 10/15/19
0.0000 0.000000 1,196.37 0.00 0.00
10/15/2019 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830% 10/15/21 $1 PV ON 8525.3700
SHARES DUE 10/15/2019 $0.00236/PV ON 3,615,000.00 PV DUE 10/15/19
0.0000 0.000000 8,525.37 0.00 0.00
10/15/2019 912796VZ9 INTEREST EARNED ON U S TREASURY BILL 10/15/19 $1 PV ON 1250000.0000
SHARES DUE 10/15/2019 1,250,000 PAR VALUE AT 100 %
0.0000 0.000000 940.10 0.00 0.00
10/17/2019 06406HCZ0 PAID ACCRUED INTEREST ON PURCHASE OF BANK OF NY MELLO MTN 2.150%
2/24/20
0.0000 0.000000 -1,582.64 0.00 0.00
10/17/2019 90331HNB5 PAID ACCRUED INTEREST ON PURCHASE OF US BANK MTN 2.000% 1/24/20 0.0000 0.000000 -9,222.22 0.00 0.00
10/17/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -2,511,349.8600 1.000000 2,511,349.86 -2,511,349.86 0.00
10/18/2019 43814RAC0 INTEREST EARNED ON HONDA AUTO 1.210% 12/18/20 $1 PV ON 568.4200
SHARES DUE 10/18/2019 $0.00101/PV ON 563,719.94 PV DUE 10/18/19
0.0000 0.000000 568.42 0.00 0.00
10/18/2019 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 3155.2100
SHARES DUE 10/18/2019 $0.00149/PV ON 2,115,225.60 PV DUE 10/18/19
0.0000 0.000000 3,155.21 0.00 0.00
10/18/2019 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 10071.8800
SHARES DUE 10/18/2019 $0.00229/PV ON 4,395,000.00 PV DUE 10/18/19
0.0000 0.000000 10,071.88 0.00 0.00
10/18/2019 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22 $1 PV ON 4289.2500
SHARES DUE 10/18/2019 $0.00251/PV ON 1,710,000.00 PV DUE 10/18/19
0.0000 0.000000 4,289.25 0.00 0.00
10/18/2019 96130AAK4 INTEREST EARNED ON WESTPAC BKING C D 2.970% 10/18/19 $1 PV ON
1500000.0000 SHARES DUE 10/18/2019 INTEREST ON 10/18/19 MATURITY
0.0000 0.000000 45,045.00 0.00 0.00
10/18/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,049,924.0300 1.000000 1,049,924.03 -1,049,924.03 0.00
10/21/2019 06051GFN4 INTEREST EARNED ON BANK OF AMERICA MTN 2.250% 4/21/20 $1 PV ON
2000000.0000 SHARES DUE 10/21/2019
0.0000 0.000000 22,500.00 0.00 0.00
10/21/2019 36225CAZ9 INTEREST EARNED ON G N M A I I #080023 4.125% 12/20/26 $1 PV ON 52.7600
SHARES DUE 10/20/2019 SEPTEMBER GNMA DUE 10/20/19
0.0000 0.000000 52.76 0.00 0.00
10 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
10/21/2019 36225CC20 INTEREST EARNED ON G N M A I I #080088 3.875% 6/20/27 $1 PV ON 48.7500
SHARES DUE 10/20/2019 SEPTEMBER GNMA DUE 10/20/19
0.0000 0.000000 48.75 0.00 0.00
10/21/2019 36225CNM4 INTEREST EARNED ON G N M A I I #080395 3.875% 4/20/30 $1 PV ON 21.0600
SHARES DUE 10/20/2019 SEPTEMBER GNMA DUE 10/20/19
0.0000 0.000000 21.06 0.00 0.00
10/21/2019 36225CN28 INTEREST EARNED ON G N M A I I #080408 3.875% 5/20/30 $1 PV ON 160.6700
SHARES DUE 10/20/2019 SEPTEMBER GNMA DUE 10/20/19
0.0000 0.000000 160.67 0.00 0.00
10/21/2019 36225DCB8 INTEREST EARNED ON G N M A I I #080965 3.750% 7/20/34 $1 PV ON 141.6900
SHARES DUE 10/20/2019 SEPTEMBER GNMA DUE 10/20/19
0.0000 0.000000 141.69 0.00 0.00
10/21/2019 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22 $1 PV ON 9759.5800
SHARES DUE 10/21/2019 $0.00246/PV ON 3,970,000.00 PV DUE 10/21/19
0.0000 0.000000 9,759.58 0.00 0.00
10/21/2019 78012KC62 PAID ACCRUED INTEREST ON PURCHASE OF ROYAL BANK MTN 2.125% 3/02/20 0.0000 0.000000 -5,784.72 0.00 0.00
10/21/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,984,624.7200 1.000000 1,984,624.72 -1,984,624.72 0.00
10/23/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -4,184,779.0300 1.000000 4,184,779.03 -4,184,779.03 0.00
10/25/2019 03215PFN4 INTEREST EARNED ON AMRESCO 2.95841% 6/25/29 $1 PV ON 303.5500
SHARES DUE 10/25/2019 $0.00247/PV ON 123,127.85 PV DUE 10/25/19
0.0000 0.000000 303.55 0.00 0.00
10/25/2019 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20 $1 PV ON 2334.7000
SHARES DUE 10/25/2019 $0.00354/PV ON 659,054.74 PV DUE 10/25/19
0.0000 0.000000 2,334.70 0.00 0.00
10/25/2019 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43 $1 PV ON 3720.0900
SHARES DUE 10/25/2019 $0.00542/PV ON 686,785.68 PV DUE 10/25/19
0.0000 0.000000 3,720.09 0.00 0.00
10/25/2019 31371NUC7 INTEREST EARNED ON F N M A #257179 4.500% 4/01/28 $1 PV ON 55.1900
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 55.19 0.00 0.00
10/25/2019 31376KT22 INTEREST EARNED ON F N M A #357969 5.000% 9/01/35 $1 PV ON 412.0200
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 412.02 0.00 0.00
10/25/2019 31381PDA3 INTEREST EARNED ON F N M A #466397 3.400% 11/01/20 $1 PV ON 955.8500
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 955.85 0.00 0.00
10/25/2019 31403DJZ3 INTEREST EARNED ON F N M A #745580 5.000% 6/01/36 $1 PV ON 385.4600
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 385.46 0.00 0.00
10/25/2019 31403GXF4 INTEREST EARNED ON F N M A #748678 5.000% 10/01/33 $1 PV ON 7.4200 SHARES
DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 7.42 0.00 0.00
10/25/2019 31406PQY8 INTEREST EARNED ON F N M A #815971 5.000% 3/01/35 $1 PV ON 654.7600
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 654.76 0.00 0.00
10/25/2019 31406XWT5 INTEREST EARNED ON F N M A #823358 4.722% 2/01/35 $1 PV ON 429.9800
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 429.98 0.00 0.00
10/25/2019 31407BXH7 INTEREST EARNED ON F N M A #826080 5.000% 7/01/35 $1 PV ON 77.8200
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 77.82 0.00 0.00
10/25/2019 31410F4V4 INTEREST EARNED ON F N M A #888336 5.000% 7/01/36 $1 PV ON 750.6800
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 750.68 0.00 0.00
10/25/2019 3138EG6F6 INTEREST EARNED ON F N M A #AL0869 4.500% 6/01/29 $1 PV ON 37.6700
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 37.67 0.00 0.00
11 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
10/25/2019 31417YAY3 INTEREST EARNED ON F N M A #MA0022 4.500% 4/01/29 $1 PV ON 61.6400
SHARES DUE 10/25/2019 SEPTEMBER FNMA DUE 10/25/19
0.0000 0.000000 61.64 0.00 0.00
10/25/2019 31397QRE0 INTEREST EARNED ON F N M A GTD REMIC 2.825% 2/25/41 $1 PV ON 419.3600
SHARES DUE 10/25/2019 $0.00225/PV ON 186,495.68 PV DUE 10/25/19
0.0000 0.000000 419.36 0.00 0.00
10/25/2019 78445JAA5 INTEREST EARNED ON S L M A 3.8594% 4/25/23 $1 PV ON 128.7600 SHARES
DUE 10/25/2019 $0.00965/PV ON 13,344.85 PV DUE 10/25/19
0.0000 0.000000 128.76 0.00 0.00
10/29/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -312.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
10/29/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -312.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 -312.00 0.00
10/29/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -312.0000 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
-312.0000 0.000000 0.00 0.00 0.00
10/29/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -312.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
10/31/2019 CASH DISBURSEMENT PAID TO BANC OF CALIFORNIA OUTGOING DOMESTIC WIRE
PER DIR DTD 10/29/19
0.0000 0.000000 -15,000,000.00 0.00 0.00
10/31/2019 912828T67 INTEREST EARNED ON U S TREASURY NT 1.250% 10/31/21 $1 PV ON
6000000.0000 SHARES DUE 10/31/2019
0.0000 0.000000 37,500.00 0.00 0.00
10/31/2019 912828L99 INTEREST EARNED ON U S TREASURY NT 1.375% 10/31/20 $1 PV ON
10000000.0000 SHARES DUE 10/31/2019
0.0000 0.000000 68,750.00 0.00 0.00
10/31/2019 912828F62 INTEREST EARNED ON U S TREASURY NT 1.500% 10/31/19 $1 PV ON
2500000.0000 SHARES DUE 10/31/2019
0.0000 0.000000 18,750.00 0.00 0.00
10/31/2019 912828G61 RECEIVED ACCRUED INTEREST ON SALE OF U S TREASURY NT 1.500% 11/30/19 0.0000 0.000000 31,352.46 0.00 0.00
10/31/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -2,988,359.5800 1.000000 2,988,359.58 -2,988,359.58 0.00
10/31/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -15,000,000.0000 1.000000 15,000,000.00 -15,000,000.00 0.00
11/01/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
10/31/2019 INTEREST FROM 10/1/19 TO 10/31/19
0.0000 0.000000 4,798.70 0.00 0.00
11/01/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
10/31/2019 INTEREST FROM 10/1/19 TO 10/31/19
0.0000 0.000000 16,477.47 0.00 0.00
11/01/2019 64971M5E8 INTEREST EARNED ON NEW YORK CITY NY 4.075% 11/01/20 $1 PV ON
1400000.0000 SHARES DUE 11/1/2019
0.0000 0.000000 28,525.00 0.00 0.00
11/04/2019 00440EAU1 INTEREST EARNED ON ACE INA HOLDINGS 2.875% 11/03/22 $1 PV ON
4169000.0000 SHARES DUE 11/3/2019
0.0000 0.000000 59,929.38 0.00 0.00
11/12/2019 037833CU2 INTEREST EARNED ON APPLE INC 2.850% 5/11/24 $1 PV ON 3000000.0000
SHARES DUE 11/11/2019
0.0000 0.000000 42,750.00 0.00 0.00
11/12/2019 369550BA5 INTEREST EARNED ON GENERAL DYNAMICS 2.875% 5/11/20 $1 PV ON
2000000.0000 SHARES DUE 11/11/2019
0.0000 0.000000 28,750.00 0.00 0.00
11/12/2019 369550BE7 INTEREST EARNED ON GENERAL DYNAMICS 3.000% 5/11/21 $1 PV ON
3160000.0000 SHARES DUE 11/11/2019
0.0000 0.000000 47,400.00 0.00 0.00
12 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/12/2019 458140BD1 INTEREST EARNED ON INTEL CORP 2.875% 5/11/24 $1 PV ON 5000000.0000
SHARES DUE 11/11/2019
0.0000 0.000000 71,875.00 0.00 0.00
11/12/2019 4581X0CX4 INTEREST EARNED ON INTER AMER DEV BK 1.625% 5/12/20 $1 PV ON
3035000.0000 SHARES DUE 11/12/2019
0.0000 0.000000 24,659.38 0.00 0.00
11/13/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4160.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
11/13/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4160.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 4,160.00 0.00
11/13/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4160.0000 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
4,160.0000 0.000000 0.00 0.00 0.00
11/13/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4160.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
11/15/2019 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22 $1 PV ON 10084.2300
SHARES DUE 11/15/2019 $0.00161/PV ON 6,270,000.00 PV DUE 11/15/19
0.0000 0.000000 10,084.23 0.00 0.00
11/15/2019 084664BT7 INTEREST EARNED ON BERKSHIRE HATHAWAY 3.000% 5/15/22 $1 PV ON
4000000.0000 SHARES DUE 11/15/2019
0.0000 0.000000 60,000.00 0.00 0.00
11/15/2019 31348SWZ3 INTEREST EARNED ON F H L M C #786064 4.678% 1/01/28 $1 PV ON 7.1000
SHARES DUE 11/15/2019 SEPTEMBER FHLMC DUE 11/15/19
0.0000 0.000000 7.10 0.00 0.00
11/15/2019 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 4.016% 8/15/32 $1 PV ON 25.2900
SHARES DUE 11/15/2019 $0.00335/PV ON 7,541.85 PV DUE 11/15/19
0.0000 0.000000 25.29 0.00 0.00
11/15/2019 43815NAB0 INTEREST EARNED ON HONDA AUTO 1.900% 4/15/22 $1 PV ON 5589.1500
SHARES DUE 11/15/2019 $0.00158/PV ON 3,530,000.00 PV DUE 11/15/19
0.0000 0.000000 5,589.15 0.00 0.00
11/15/2019 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820% 10/15/21 $1 PV ON 605.4500
SHARES DUE 11/15/2019 $0.00152/PV ON 399,197.59 PV DUE 11/15/19
0.0000 0.000000 605.45 0.00 0.00
11/15/2019 477870AB5 INTEREST EARNED ON JOHN DEERE OWNER 2.280% 5/16/22 $1 PV ON 5320.0000
SHARES DUE 11/15/2019 $0.00190/PV ON 2,800,000.00 PV DUE 11/15/19
0.0000 0.000000 5,320.00 0.00 0.00
11/15/2019 47788CAB8 INTEREST EARNED ON JOHN DEERE OWNER 2.420% 10/15/20 $1 PV ON 3.0000
SHARES DUE 11/15/2019 $0.00202/PV ON 1,489.74 PV DUE 11/15/19
0.0000 0.000000 3.00 0.00 0.00
11/15/2019 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22 $1 PV ON 2970.3400
SHARES DUE 11/15/2019 $0.00222/PV ON 1,340,000.00 PV DUE 11/15/19
0.0000 0.000000 2,970.34 0.00 0.00
11/15/2019 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850% 12/15/21 $1 PV ON 7754.3800
SHARES DUE 11/15/2019 $0.00238/PV ON 3,265,000.00 PV DUE 11/15/19
0.0000 0.000000 7,754.38 0.00 0.00
11/15/2019 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080% 11/15/22 $1 PV ON
11883.6800 SHARES DUE 11/15/2019 $0.00257/PV ON 4,630,000.00 PV DUE 11/15/19
0.0000 0.000000 11,883.68 0.00 0.00
11/15/2019 65478VAD9 INTEREST EARNED ON NISSAN AUTO 1.320% 1/15/21 $1 PV ON 194.8700
SHARES DUE 11/15/2019 $0.00110/PV ON 177,157.48 PV DUE 11/15/19
0.0000 0.000000 194.87 0.00 0.00
11/15/2019 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 2753.7800
SHARES DUE 11/15/2019 $0.00146/PV ON 1,888,313.25 PV DUE 11/15/19
0.0000 0.000000 2,753.78 0.00 0.00
11/15/2019 65479JAD5 INTEREST EARNED ON NISSAN AUTO 1.940% 7/15/24 $1 PV ON 4935.9600
SHARES DUE 11/15/2019 $0.00118/PV ON 4,185,000.00 PV DUE 11/15/19
0.0000 0.000000 4,935.96 0.00 0.00
13 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/15/2019 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23 $1 PV ON 9078.0000
SHARES DUE 11/15/2019 $0.00255/PV ON 3,560,000.00 PV DUE 11/15/19
0.0000 0.000000 9,078.00 0.00 0.00
11/15/2019 89238BAB8 INTEREST EARNED ON TOYOTA AUTO 2.100% 10/15/20 $1 PV ON 626.2200
SHARES DUE 11/15/2019 $0.00175/PV ON 357,840.10 PV DUE 11/15/19
0.0000 0.000000 626.22 0.00 0.00
11/15/2019 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830% 10/15/21 $1 PV ON 7843.5300
SHARES DUE 11/15/2019 $0.00236/PV ON 3,325,884.92 PV DUE 11/15/19
0.0000 0.000000 7,843.53 0.00 0.00
11/15/2019 912828WJ5 INTEREST EARNED ON U S TREASURY NT 2.500% 5/15/24 $1 PV ON 7000000.0000
SHARES DUE 11/15/2019
0.0000 0.000000 87,500.00 0.00 0.00
11/15/2019 913366EJ5 INTEREST EARNED ON UNIV OF CALIFORNIA 5.035% 5/15/21 $1 PV ON 400000.0000
SHARES DUE 11/15/2019
0.0000 0.000000 10,070.00 0.00 0.00
11/18/2019 166764BG4 INTEREST EARNED ON CHEVRON CORP 2.100% 5/16/21 $1 PV ON 2500000.0000
SHARES DUE 11/16/2019
0.0000 0.000000 26,250.00 0.00 0.00
11/18/2019 3137EAEK1 INTEREST EARNED ON F H L M C M T N 1.875% 11/17/20 $1 PV ON 5000000.0000
SHARES DUE 11/17/2019
0.0000 0.000000 46,875.00 0.00 0.00
11/18/2019 43814RAC0 INTEREST EARNED ON HONDA AUTO 1.210% 12/18/20 $1 PV ON 452.2600
SHARES DUE 11/18/2019 $0.00101/PV ON 448,520.90 PV DUE 11/18/19
0.0000 0.000000 452.26 0.00 0.00
11/18/2019 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 2890.5000
SHARES DUE 11/18/2019 $0.00149/PV ON 1,937,764.12 PV DUE 11/18/19
0.0000 0.000000 2,890.50 0.00 0.00
11/18/2019 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 10071.8800
SHARES DUE 11/18/2019 $0.00229/PV ON 4,395,000.00 PV DUE 11/18/19
0.0000 0.000000 10,071.88 0.00 0.00
11/18/2019 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22 $1 PV ON 4289.2500
SHARES DUE 11/18/2019 $0.00251/PV ON 1,710,000.00 PV DUE 11/18/19
0.0000 0.000000 4,289.25 0.00 0.00
11/18/2019 46625HRL6 INTEREST EARNED ON JP MORGAN CHASE CO 2.700% 5/18/23 $1 PV ON
5000000.0000 SHARES DUE 11/18/2019
0.0000 0.000000 67,500.00 0.00 0.00
11/18/2019 58933YAF2 INTEREST EARNED ON MERCK CO INC 2.800% 5/18/23 $1 PV ON 2000000.0000
SHARES DUE 11/18/2019
0.0000 0.000000 28,000.00 0.00 0.00
11/19/2019 62479MYK3 INTEREST EARNED ON MUFG BANK LTD NY BRAN C P 11/19/19 $1 PV ON
11255000.0000 SHARES DUE 11/19/2019 11,255,000 PAR VALUE AT 100 %
0.0000 0.000000 60,314.29 0.00 0.00
11/19/2019 62479MYK3 INTEREST EARNED ON MUFG BANK LTD NY BRAN C P 11/19/19 $1 PV ON
1860000.0000 SHARES DUE 11/19/2019 1,860,000 PAR VALUE AT 100 %
0.0000 0.000000 9,967.53 0.00 0.00
11/19/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,353,689.4600 1.000000 1,353,689.46 -1,353,689.46 0.00
11/19/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -9,917,138.8900 1.000000 9,917,138.89 -9,917,138.89 0.00
11/20/2019 36225CAZ9 INTEREST EARNED ON G N M A I I #080023 4.125% 12/20/26 $1 PV ON 52.1500
SHARES DUE 11/20/2019 OCTOBER GNMA DUE 11/20/19
0.0000 0.000000 52.15 0.00 0.00
11/20/2019 36225CC20 INTEREST EARNED ON G N M A I I #080088 3.875% 6/20/27 $1 PV ON 48.1500
SHARES DUE 11/20/2019 OCTOBER GNMA DUE 11/20/19
0.0000 0.000000 48.15 0.00 0.00
11/20/2019 36225CNM4 INTEREST EARNED ON G N M A I I #080395 3.875% 4/20/30 $1 PV ON 20.7300
SHARES DUE 11/20/2019 OCTOBER GNMA DUE 11/20/19
0.0000 0.000000 20.73 0.00 0.00
11/20/2019 36225CN28 INTEREST EARNED ON G N M A I I #080408 3.875% 5/20/30 $1 PV ON 159.5800
SHARES DUE 11/20/2019 OCTOBER GNMA DUE 11/20/19
0.0000 0.000000 159.58 0.00 0.00
14 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/20/2019 36225DCB8 INTEREST EARNED ON G N M A I I #080965 3.250% 7/20/34 $1 PV ON 120.7800
SHARES DUE 11/20/2019 OCTOBER GNMA DUE 11/20/19
0.0000 0.000000 120.78 0.00 0.00
11/20/2019 747525AD5 INTEREST EARNED ON QUALCOMM INC 2.250% 5/20/20 $1 PV ON 2000000.0000
SHARES DUE 11/20/2019
0.0000 0.000000 22,500.00 0.00 0.00
11/20/2019 747525AD5 INTEREST EARNED ON QUALCOMM INC 2.250% 5/20/20 $1 PV ON 5000000.0000
SHARES DUE 11/20/2019
0.0000 0.000000 56,250.00 0.00 0.00
11/21/2019 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22 $1 PV ON 9759.5800
SHARES DUE 11/21/2019 $0.00246/PV ON 3,970,000.00 PV DUE 11/21/19
0.0000 0.000000 9,759.58 0.00 0.00
11/25/2019 03215PFN4 INTEREST EARNED ON AMRESCO 2.85486% 6/25/29 $1 PV ON 283.1600
SHARES DUE 11/25/2019 $0.00238/PV ON 119,021.64 PV DUE 11/25/19
0.0000 0.000000 283.16 0.00 0.00
11/25/2019 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20 $1 PV ON 1510.5900
SHARES DUE 11/25/2019 $0.00354/PV ON 426,420.49 PV DUE 11/25/19
0.0000 0.000000 1,510.59 0.00 0.00
11/25/2019 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43 $1 PV ON 3679.9700
SHARES DUE 11/25/2019 $0.00542/PV ON 679,378.90 PV DUE 11/25/19
0.0000 0.000000 3,679.97 0.00 0.00
11/25/2019 31371NUC7 INTEREST EARNED ON F N M A #257179 4.500% 4/01/28 $1 PV ON 54.6900
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 54.69 0.00 0.00
11/25/2019 31376KT22 INTEREST EARNED ON F N M A #357969 5.000% 9/01/35 $1 PV ON 405.4400
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 405.44 0.00 0.00
11/25/2019 31381PDA3 INTEREST EARNED ON F N M A #466397 3.400% 11/01/20 $1 PV ON 985.5200
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 985.52 0.00 0.00
11/25/2019 31403DJZ3 INTEREST EARNED ON F N M A #745580 5.000% 6/01/36 $1 PV ON 379.2800
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 379.28 0.00 0.00
11/25/2019 31403GXF4 INTEREST EARNED ON F N M A #748678 5.000% 10/01/33 $1 PV ON 7.3800 SHARES
DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 7.38 0.00 0.00
11/25/2019 31406PQY8 INTEREST EARNED ON F N M A #815971 5.000% 3/01/35 $1 PV ON 651.8100
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 651.81 0.00 0.00
11/25/2019 31406XWT5 INTEREST EARNED ON F N M A #823358 4.722% 2/01/35 $1 PV ON 428.2400
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 428.24 0.00 0.00
11/25/2019 31407BXH7 INTEREST EARNED ON F N M A #826080 5.000% 7/01/35 $1 PV ON 77.4900
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 77.49 0.00 0.00
11/25/2019 31410F4V4 INTEREST EARNED ON F N M A #888336 5.000% 7/01/36 $1 PV ON 739.4700
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 739.47 0.00 0.00
11/25/2019 3138EG6F6 INTEREST EARNED ON F N M A #AL0869 4.500% 6/01/29 $1 PV ON 36.8200
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 36.82 0.00 0.00
11/25/2019 31417YAY3 INTEREST EARNED ON F N M A #MA0022 4.500% 4/01/29 $1 PV ON 60.5300
SHARES DUE 11/25/2019 OCTOBER FNMA DUE 11/25/19
0.0000 0.000000 60.53 0.00 0.00
11/25/2019 31397QRE0 INTEREST EARNED ON F N M A GTD REMIC 2.825% 2/25/41 $1 PV ON 383.6300
SHARES DUE 11/25/2019 $0.00209/PV ON 183,940.22 PV DUE 11/25/19
0.0000 0.000000 383.63 0.00 0.00
11/26/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4368.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
15 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
11/26/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4368.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 4,368.00 0.00
11/26/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4368.0000 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
4,368.0000 0.000000 0.00 0.00 0.00
11/26/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 4368.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
11/27/2019 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIF 11/27/19 0.0000 0.000000 10,000,000.00 0.00 0.00
11/27/2019 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIF 11/27/19 0.0000 0.000000 6,000,000.00 0.00 0.00
11/29/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -10,970,333.0000 1.000000 10,970,333.00 -10,970,333.00 0.00
12/02/2019 3135G0F73 INTEREST EARNED ON F N M A 1.500% 11/30/20 $1 PV ON 7500000.0000
SHARES DUE 11/30/2019
0.0000 0.000000 56,250.00 0.00 0.00
12/02/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
11/30/2019 INTEREST FROM 11/1/19 TO 11/30/19
0.0000 0.000000 2,788.50 0.00 0.00
12/02/2019 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
11/30/2019 INTEREST FROM 11/1/19 TO 11/30/19
0.0000 0.000000 3,676.29 0.00 0.00
12/02/2019 73358WAG9 INTEREST EARNED ON PORT AUTH NY NJ 5.309% 12/01/19 $1 PV ON
2440000.0000 SHARES DUE 12/1/2019
0.0000 0.000000 64,769.80 0.00 0.00
12/02/2019 912828XE5 INTEREST EARNED ON U S TREASURY NT 1.500% 5/31/20 $1 PV ON 5000000.0000
SHARES DUE 11/30/2019
0.0000 0.000000 37,500.00 0.00 0.00
12/02/2019 912828G61 INTEREST EARNED ON U S TREASURY NT 1.500% 11/30/19 $1 PV ON
2500000.0000 SHARES DUE 11/30/2019
0.0000 0.000000 18,750.00 0.00 0.00
12/02/2019 912828R69 INTEREST EARNED ON U S TREASURY NT 1.625% 5/31/23 $1 PV ON 5000000.0000
SHARES DUE 11/30/2019
0.0000 0.000000 40,625.00 0.00 0.00
12/02/2019 912828U65 INTEREST EARNED ON U S TREASURY NT 1.750% 11/30/21 $1 PV ON
7000000.0000 SHARES DUE 11/30/2019
0.0000 0.000000 61,250.00 0.00 0.00
12/02/2019 912828M80 INTEREST EARNED ON U S TREASURY NT 2.000% 11/30/22 $1 PV ON
8000000.0000 SHARES DUE 11/30/2019
0.0000 0.000000 80,000.00 0.00 0.00
12/02/2019 912828U57 INTEREST EARNED ON U S TREASURY NT 2.125% 11/30/23 $1 PV ON
15000000.0000 SHARES DUE 11/30/2019
0.0000 0.000000 159,375.00 0.00 0.00
12/06/2019 94988J5G8 INTEREST EARNED ON WELLS FARGO MTN 2.150% 12/06/19 $1 PV ON
500000.0000 SHARES DUE 12/6/2019 ACCRUED INTEREST ON 12/6/2019 MATURITY
0.0000 0.000000 5,375.00 0.00 0.00
12/09/2019 313383QR5 INTEREST EARNED ON F H L B DEB 3.250% 6/09/23 $1 PV ON 5000000.0000
SHARES DUE 12/9/2019
0.0000 0.000000 81,250.00 0.00 0.00
12/09/2019 3130A0F70 INTEREST EARNED ON F H L B DEB 3.375% 12/08/23 $1 PV ON 10000000.0000
SHARES DUE 12/8/2019
0.0000 0.000000 168,750.00 0.00 0.00
12/09/2019 69353RFL7 INTEREST EARNED ON PNC BANK NA MTN 3.500% 6/08/23 $1 PV ON
5000000.0000 SHARES DUE 12/8/2019
0.0000 0.000000 87,500.00 0.00 0.00
12/09/2019 912828YH7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.500% 9/30/24 0.0000 0.000000 -17,213.11 0.00 0.00
12/09/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -5,629,322.4900 1.000000 5,629,322.49 -5,629,322.49 0.00
16 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/11/2019 313379RB7 INTEREST EARNED ON F H L B DEB 1.875% 6/11/21 $1 PV ON 4000000.0000
SHARES DUE 12/11/2019
0.0000 0.000000 37,500.00 0.00 0.00
12/12/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 11856.00
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
12/12/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 11856.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 11,856.00 0.00
12/12/2019 313383HU8 INTEREST EARNED ON F H L B DEB 1.750% 6/12/20 $1 PV ON 5000000.0000
SHARES DUE 12/12/2019
0.0000 0.000000 43,750.00 0.00 0.00
12/12/2019 89114QCA4 INTEREST EARNED ON TORONTO DOMINION MTN 2.650% 6/12/24 $1 PV ON
3000000.0000 SHARES DUE 12/12/2019
0.0000 0.000000 39,750.00 0.00 0.00
12/12/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 11856.0000
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
11,856.0000 0.000000 0.00 0.00 0.00
12/12/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 11856.00
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
12/13/2019 9128283J7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.125% 11/30/24 0.0000 0.000000 -5,660.86 0.00 0.00
12/13/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -7,634,860.0800 1.000000 7,634,860.08 -7,634,860.08 0.00
12/16/2019 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22 $1 PV ON 10084.2400
SHARES DUE 12/15/2019 $0.00161/PV ON 6,270,000.00 PV DUE 12/15/19
0.0000 0.000000 10,084.24 0.00 0.00
12/16/2019 3130A1XJ2 INTEREST EARNED ON F H L B 2.875% 6/14/24 $1 PV ON 11110000.0000
SHARES DUE 12/14/2019
0.0000 0.000000 159,706.25 0.00 0.00
12/16/2019 31348SWZ3 INTEREST EARNED ON F H L M C #786064 4.678% 1/01/28 $1 PV ON 7.0300
SHARES DUE 12/15/2019 OCTOBER FHLMC DUE 12/15/19
0.0000 0.000000 7.03 0.00 0.00
12/16/2019 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 4.027% 8/15/32 $1 PV ON 24.0100
SHARES DUE 12/15/2019 $0.00336/PV ON 7,155.25 PV DUE 12/15/19
0.0000 0.000000 24.01 0.00 0.00
12/16/2019 43815NAB0 INTEREST EARNED ON HONDA AUTO 1.900% 4/15/22 $1 PV ON 5589.1500
SHARES DUE 12/15/2019 $0.00158/PV ON 3,530,000.00 PV DUE 12/15/19
0.0000 0.000000 5,589.15 0.00 0.00
12/16/2019 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820% 10/15/21 $1 PV ON 534.3600
SHARES DUE 12/15/2019 $0.00152/PV ON 352,321.54 PV DUE 12/15/19
0.0000 0.000000 534.36 0.00 0.00
12/16/2019 477870AB5 INTEREST EARNED ON JOHN DEERE OWNER 2.280% 5/16/22 $1 PV ON 5320.0000
SHARES DUE 12/15/2019 $0.00190/PV ON 2,800,000.00 PV DUE 12/15/19
0.0000 0.000000 5,320.00 0.00 0.00
12/16/2019 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22 $1 PV ON 2665.0400
SHARES DUE 12/15/2019 $0.00222/PV ON 1,202,272.32 PV DUE 12/15/19
0.0000 0.000000 2,665.04 0.00 0.00
12/16/2019 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850% 12/15/21 $1 PV ON 7162.7200
SHARES DUE 12/15/2019 $0.00238/PV ON 3,015,882.88 PV DUE 12/15/19
0.0000 0.000000 7,162.72 0.00 0.00
12/16/2019 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080% 11/15/22 $1 PV ON
11883.6700 SHARES DUE 12/15/2019 $0.00257/PV ON 4,630,000.00 PV DUE 12/15/19
0.0000 0.000000 11,883.67 0.00 0.00
12/16/2019 65478VAD9 INTEREST EARNED ON NISSAN AUTO 1.320% 1/15/21 $1 PV ON 111.9100
SHARES DUE 12/15/2019 $0.00110/PV ON 101,736.92 PV DUE 12/15/19
0.0000 0.000000 111.91 0.00 0.00
12/16/2019 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 2503.5200
SHARES DUE 12/15/2019 $0.00146/PV ON 1,716,703.80 PV DUE 12/15/19
0.0000 0.000000 2,503.52 0.00 0.00
17 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/16/2019 65479JAD5 INTEREST EARNED ON NISSAN AUTO 1.930% 7/15/24 $1 PV ON 6730.8700
SHARES DUE 12/15/2019 $0.00161/PV ON 4,185,000.00 PV DUE 12/15/19
0.0000 0.000000 6,730.87 0.00 0.00
12/16/2019 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23 $1 PV ON 9078.0000
SHARES DUE 12/15/2019 $0.00255/PV ON 3,560,000.00 PV DUE 12/15/19
0.0000 0.000000 9,078.00 0.00 0.00
12/16/2019 89238BAB8 INTEREST EARNED ON TOYOTA AUTO 2.100% 10/15/20 $1 PV ON 54.6600
SHARES DUE 12/15/2019 $0.00175/PV ON 31,233.00 PV DUE 12/15/19
0.0000 0.000000 54.66 0.00 0.00
12/16/2019 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830% 10/15/21 $1 PV ON 7141.0300
SHARES DUE 12/15/2019 $0.00236/PV ON 3,027,995.80 PV DUE 12/15/19
0.0000 0.000000 7,141.03 0.00 0.00
12/18/2019 43814RAC0 INTEREST EARNED ON HONDA AUTO 1.210% 12/18/20 $1 PV ON 337.9400
SHARES DUE 12/18/2019 $0.00101/PV ON 335,148.93 PV DUE 12/18/19
0.0000 0.000000 337.94 0.00 0.00
12/18/2019 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 2631.6500
SHARES DUE 12/18/2019 $0.00149/PV ON 1,764,236.43 PV DUE 12/18/19
0.0000 0.000000 2,631.65 0.00 0.00
12/18/2019 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 9485.2800
SHARES DUE 12/18/2019 $0.00229/PV ON 4,139,028.61 PV DUE 12/18/19
0.0000 0.000000 9,485.28 0.00 0.00
12/18/2019 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22 $1 PV ON 4289.2500
SHARES DUE 12/18/2019 $0.00251/PV ON 1,710,000.00 PV DUE 12/18/19
0.0000 0.000000 4,289.25 0.00 0.00
12/19/2019 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIF 12/19/19 0.0000 0.000000 97,000,000.00 0.00 0.00
12/19/2019 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIF 12/19/19 0.0000 0.000000 38,000,000.00 0.00 0.00
12/19/2019 3137EAEN5 INTEREST EARNED ON F H L M C 2.750% 6/19/23 $1 PV ON 10000000.0000
SHARES DUE 12/19/2019
0.0000 0.000000 137,500.00 0.00 0.00
12/19/2019 06367BDS5 PAID ACCRUED INTEREST ON PURCHASE OF BANK OF MONTREAL C D 2.000%
3/18/20
0.0000 0.000000 -55.56 0.00 0.00
12/20/2019 36225CAZ9 INTEREST EARNED ON G N M A I I #080023 4.125% 12/20/26 $1 PV ON 50.2100
SHARES DUE 12/20/2019 NOVEMBER GNMA DUE 12/20/19
0.0000 0.000000 50.21 0.00 0.00
12/20/2019 36225CC20 INTEREST EARNED ON G N M A I I #080088 3.875% 6/20/27 $1 PV ON 40.4000
SHARES DUE 12/20/2019 NOVEMBER GNMA DUE 12/20/19
0.0000 0.000000 40.40 0.00 0.00
12/20/2019 36225CNM4 INTEREST EARNED ON G N M A I I #080395 3.875% 4/20/30 $1 PV ON 20.5900
SHARES DUE 12/20/2019 NOVEMBER GNMA DUE 12/20/19
0.0000 0.000000 20.59 0.00 0.00
12/20/2019 36225CN28 INTEREST EARNED ON G N M A I I #080408 3.875% 5/20/30 $1 PV ON 156.0500
SHARES DUE 12/20/2019 NOVEMBER GNMA DUE 12/20/19
0.0000 0.000000 156.05 0.00 0.00
12/20/2019 36225DCB8 INTEREST EARNED ON G N M A I I #080965 3.250% 7/20/34 $1 PV ON 119.8700
SHARES DUE 12/20/2019 NOVEMBER GNMA DUE 12/20/19
0.0000 0.000000 119.87 0.00 0.00
12/20/2019 06367BDS5 PAID ACCRUED INTEREST ON PURCHASE OF BANK OF MONTREAL C D 2.000%
3/18/20
0.0000 0.000000 -888.89 0.00 0.00
12/20/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -10,683,452.7800 1.000000 10,683,452.78 -10,683,452.78 0.00
12/20/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -8,001,278.1900 1.000000 8,001,278.19 -8,001,278.19 0.00
12/23/2019 06417G5Q7 INTEREST EARNED ON BANK OF NOVA C D 2.610% 12/23/19 $1 PV ON
2300000.0000 SHARES DUE 12/23/2019 INTEREST ON 12/23/19 MATURITY
0.0000 0.000000 46,023.00 0.00 0.00
12/23/2019 3135G0U35 INTEREST EARNED ON F N M A 2.750% 6/22/21 $1 PV ON 7500000.0000
SHARES DUE 12/22/2019
0.0000 0.000000 103,125.00 0.00 0.00
18 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/23/2019 3135G0D75 INTEREST EARNED ON F N M A DEB 1.500% 6/22/20 $1 PV ON 5000000.0000
SHARES DUE 12/22/2019
0.0000 0.000000 37,500.00 0.00 0.00
12/23/2019 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22 $1 PV ON 9759.5800
SHARES DUE 12/21/2019 $0.00246/PV ON 3,970,000.00 PV DUE 12/21/19
0.0000 0.000000 9,759.58 0.00 0.00
12/23/2019 89114M2Z9 PAID ACCRUED INTEREST ON PURCHASE OF TORONTO DOMINION C D 2.200%
1/23/20
0.0000 0.000000 -18,211.11 0.00 0.00
12/23/2019 912828VJ6 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.875% 6/30/20 0.0000 0.000000 -134,510.87 0.00 0.00
12/23/2019 9128283S7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.000% 1/31/20 0.0000 0.000000 -39,402.17 0.00 0.00
12/23/2019 9128283S7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.000% 1/31/20 0.0000 0.000000 -39,402.17 0.00 0.00
12/23/2019 9128283S7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.000% 1/31/20 0.0000 0.000000 -39,402.17 0.00 0.00
12/23/2019 912828VV9 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.125% 8/31/20 0.0000 0.000000 -99,828.30 0.00 0.00
12/23/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -60,558,044.9200 1.000000 60,558,044.92 -60,558,044.92 0.00
12/23/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,972,473.7600 1.000000 1,972,473.76 -1,972,473.76 0.00
12/23/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -4,890,970.7200 1.000000 4,890,970.72 -4,890,970.72 0.00
12/24/2019 166764AH3 INTEREST EARNED ON CHEVRON CORP 3.191% 6/24/23 $1 PV ON 3500000.0000
SHARES DUE 12/24/2019
0.0000 0.000000 55,842.50 0.00 0.00
12/24/2019 90331HNB5 INTEREST EARNED ON US BANK MTN 2.000% 1/24/20 $1 PV ON 2000000.0000
SHARES DUE 12/24/2019
0.0000 0.000000 16,666.60 0.00 0.00
12/24/2019 912828YH7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.500% 9/30/24 0.0000 0.000000 -27,868.85 0.00 0.00
12/24/2019 912828L57 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.750% 9/30/22 0.0000 0.000000 -28,449.45 0.00 0.00
12/24/2019 9128283S7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.000% 1/31/20 0.0000 0.000000 -39,673.91 0.00 0.00
12/24/2019 9128283J7 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.125% 11/30/24 0.0000 0.000000 -12,540.98 0.00 0.00
12/24/2019 912828MP2 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 3.625% 2/15/20 0.0000 0.000000 -64,521.06 0.00 0.00
12/24/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -8,102,958.0600 1.000000 8,102,958.06 -8,102,958.06 0.00
12/24/2019 31846V567 SOLD 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
12/24/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -24,092,157.4100 1.000000 24,092,157.41 -24,092,157.41 0.00
12/26/2019 03215PFN4 INTEREST EARNED ON AMRESCO 2.73625% 6/25/29 $1 PV ON 271.3900
SHARES DUE 12/26/2019 $0.00228/PV ON 119,021.64 PV DUE 12/26/19
0.0000 0.000000 271.39 0.00 0.00
12/26/2019 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20 $1 PV ON 753.5600
SHARES DUE 12/25/2019 $0.00354/PV ON 212,720.33 PV DUE 12/25/19
0.0000 0.000000 753.56 0.00 0.00
12/26/2019 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43 $1 PV ON 3677.4200
SHARES DUE 12/25/2019 $0.00542/PV ON 678,909.17 PV DUE 12/25/19
0.0000 0.000000 3,677.42 0.00 0.00
12/26/2019 31371NUC7 INTEREST EARNED ON F N M A #257179 4.500% 4/01/28 $1 PV ON 54.1800
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 54.18 0.00 0.00
12/26/2019 31376KT22 INTEREST EARNED ON F N M A #357969 5.000% 9/01/35 $1 PV ON 396.2400
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 396.24 0.00 0.00
12/26/2019 31381PDA3 INTEREST EARNED ON F N M A #466397 3.400% 11/01/20 $1 PV ON 951.7300
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 951.73 0.00 0.00
19 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/26/2019 31403DJZ3 INTEREST EARNED ON F N M A #745580 5.000% 6/01/36 $1 PV ON 372.6100
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 372.61 0.00 0.00
12/26/2019 31403GXF4 INTEREST EARNED ON F N M A #748678 5.000% 10/01/33 $1 PV ON 7.3500 SHARES
DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 7.35 0.00 0.00
12/26/2019 31406PQY8 INTEREST EARNED ON F N M A #815971 5.000% 3/01/35 $1 PV ON 632.7500
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 632.75 0.00 0.00
12/26/2019 31406XWT5 INTEREST EARNED ON F N M A #823358 4.647% 2/01/35 $1 PV ON 419.7300
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 419.73 0.00 0.00
12/26/2019 31407BXH7 INTEREST EARNED ON F N M A #826080 5.000% 7/01/35 $1 PV ON 74.0000
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 74.00 0.00 0.00
12/26/2019 31410F4V4 INTEREST EARNED ON F N M A #888336 5.000% 7/01/36 $1 PV ON 726.5600
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 726.56 0.00 0.00
12/26/2019 3138EG6F6 INTEREST EARNED ON F N M A #AL0869 4.500% 6/01/29 $1 PV ON 36.1400
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 36.14 0.00 0.00
12/26/2019 31417YAY3 INTEREST EARNED ON F N M A #MA0022 4.500% 4/01/29 $1 PV ON 59.6700
SHARES DUE 12/25/2019 NOVEMBER FNMA DUE 12/25/19
0.0000 0.000000 59.67 0.00 0.00
12/26/2019 31397QRE0 INTEREST EARNED ON F N M A GTD REMIC 2.825% 2/25/41 $1 PV ON 359.4200
SHARES DUE 12/25/2019 $0.00199/PV ON 180,610.99 PV DUE 12/25/19
0.0000 0.000000 359.42 0.00 0.00
12/26/2019 90331HNB5 INTEREST EARNED ON US BANK MTN 2.000% 1/24/20 $1 PV ON 2000000.0000
SHARES DUE 12/24/2019 ADDITIONAL ACCRUED INTEREST ON 12/24/19 FULL CALL
0.0000 0.000000 0.07 0.00 0.00
12/26/2019 931142EK5 INTEREST EARNED ON WALMART INC 3.400% 6/26/23 $1 PV ON 3880000.0000
SHARES DUE 12/26/2019
0.0000 0.000000 65,960.00 0.00 0.00
12/26/2019 912828L32 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.375% 8/31/20 0.0000 0.000000 -22,098.21 0.00 0.00
12/26/2019 912828XY1 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.500% 6/30/20 0.0000 0.000000 -60,801.63 0.00 0.00
12/26/2019 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -10,095,985.7800 1.000000 10,095,985.78 -10,095,985.78 0.00
12/27/2019 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 13312.00
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
12/27/2019 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 13312.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 13,312.00 0.00
12/27/2019 02665WCZ2 INTEREST EARNED ON AMERICAN HONDA MTN 2.400% 6/27/24 $1 PV ON
1219000.0000 SHARES DUE 12/27/2019
0.0000 0.000000 14,628.00 0.00 0.00
12/27/2019 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 13312.0000
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
13,312.0000 0.000000 0.00 0.00 0.00
12/27/2019 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 13312.00
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
12/31/2019 912828XW5 INTEREST EARNED ON U S TREASURY NT 1.750% 6/30/22 $1 PV ON 5000000.0000
SHARES DUE 12/31/2019
0.0000 0.000000 43,750.00 0.00 0.00
12/31/2019 912828VJ6 INTEREST EARNED ON U S TREASURY NT 1.875% 6/30/20 $1 PV ON
15000000.0000 SHARES DUE 12/31/2019
0.0000 0.000000 140,625.00 0.00 0.00
20 of 21
U.S. Bank
Transaction History
10/01/2019 Thru 12/31/2019
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
12/31/2019 912828XX3 INTEREST EARNED ON U S TREASURY NT 2.000% 6/30/24 $1 PV ON 5000000.0000
SHARES DUE 12/31/2019
0.0000 0.000000 50,000.00 0.00 0.00
12/31/2019 912828N30 INTEREST EARNED ON U S TREASURY NT 2.125% 12/31/22 $1 PV ON
5000000.0000 SHARES DUE 12/31/2019
0.0000 0.000000 53,125.00 0.00 0.00
12/31/2019 912828XY1 INTEREST EARNED ON U S TREASURY NT 2.500% 6/30/20 $1 PV ON 5000000.0000
SHARES DUE 12/31/2019
0.0000 0.000000 62,500.00 0.00 0.00
TOTAL OTHER TRANSACTIONS -192,587,902.7600 331,462,539.07 -192,593,183.34 0.00
21 of 21
December 31, 2019
Orange County Sanitation District
Investment Measurement Service
Quarterly Review
Information contained herein includes confidential, trade secret and proprietary information. Neither this Report nor any specific information contained herein is
to be used other than by the intended recipient for its intended purpose or disseminated to any other person without Callan’s permission. Certain information
herein has been compiled by Callan and is based on information provided by a variety of sources believed to be reliable for which Callan has not necessarily
verified the accuracy or completeness of or updated. This content may consist of statements of opinion, which are made as of the date they are expressed and
are not statements of fact. This content is for informational purposes only and should not be construed as legal or tax advice on any matter. Any decision you
make on the basis of this content is your sole responsibility. You should consult with legal and tax advisers before applying any of this information to your
particular situation. Past performance is no guarantee of future results. For further information, please see Appendix for Important Information and Disclosures.
Table of Contents
December 31, 2019
Capital Market Review 1
Active Management Overview
Market Overview 7
Domestic Fixed Income 8
Asset Allocation
Investment Manager Asset Allocation 10
Investment Manager Returns 11
Asset Class Risk and Return 15
Manager Analysis
Chandler-Long Term Operating Fund 17
Chandler-Liquid Operating Money 21
Callan Research/Education 23
Definitions 26
Disclosures 31
Orange County Sanitation District Executive Summary for Period Ending December 31, 2019
Asset Allocation
Performance
* Current Quarter Target = 80.0% ML 1-5 Govt/Corp and 20.0% FTSE 3mo T-Bills. ^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
Recent Developments
During the quarter, $29.0 million was contributed to the Long Term Operating Fund and $107.0
million was added to the Liquid Operating Monies for a combined contribution of $136.0 million.
Organizational Issues
N/A
Fixed Income Market Snapshot
Positive economic data and progressing trade relations with China sent treasury yields higher
across the curve in the fourth quarter. Quarter-over-quarter, the Treasury curve steepened
significantly with the two-year falling five basis points (bps) to 1.58%, the 10-year increasing 24
bps to 1.92% and the 30-year increasing 27 bps to 2.39%. Corporate spreads tightened in
response to positive economic data and a general risk-on tone. Investment grade spreads
tightened 22 bps during the quarter. After cutting rates at their October meeting, the Federal
Open Market Committee (FOMC) left the fed funds rate unchanged at their December meeting,
in line with expectations. To close the year, the fed funds rate target remained at a range of
December 31, 2019 September 30, 2019
Market Value Weight Net New Inv.Inv. Return Market Value Weight
Domestic Fixed IncomeLong Term Operating Fund*579,913,998 76.75%29,000,000 2,787,071 548,126,927 88.93%Liquid Operating Monies*175,646,417 23.25%107,000,000 413,159 68,233,258 11.07%
Total Fund $755,560,415 100.0%$136,000,000 $3,200,230 $616,360,185 100.0%
Last Last Last
Last Last 3 5 7QuarterYearYearsYearsYears
Domestic Fixed Income
Long Term Operating Fund^0.50%4.70%2.48%1.97%1.43% Chandler 0.50%4.70%2.48%1.97%- Blmbg Govt/Cred 1-5 Year Idx 0.50%5.01%2.54%2.03%1.69%
ML 1-5 Govt/Corp 0.53%5.08%2.57%2.07%1.74%
Liquid Operating Monies^0.50%2.39%1.73%1.17%0.87% Chandler 0.50%2.39%1.73%1.17%- Citigroup 3-Month Treasury Bill 0.46%2.25%1.65%1.05%0.76%
Total Fund 0.50%4.26%2.32%1.78%1.30%Target*0.52%4.51%2.39%1.87%1.54%
2
Orange County Sanitation District
1.50-1.75%, and markets are not currently pricing in a greater than 50% chance of additional
Fed actions in the next 12 months.
The Bloomberg Aggregate Index rose 0.2% in the fourth quarter, despite rising rates, bringing
its 2019 return to 8.7%. Performance outside of government sectors was largely positive. U.S.
Treasuries fell in conjunction with rising rates (Bloomberg Government Index: -0.8%) and long
gov/credit bonds (Bloomberg Long Gov/Credit Index: -1.1%) were down more than 1.0% in the
fourth quarter. Light supply and optimistic market tone provided for corporate spread tightening
and lower quality bonds outperformed in the fourth quarter. The Bloomberg Credit Index
returned 1.1% and the ML High Yield CP Index increased 2.6% during the period. TIPS
(Bloomberg U.S. TIPS Index: +0.8%) outperformed as 10-year break even inflation spreads
increased to 1.77% (up from 1.53% at the end of Q3).
Manager Performance
The Long Term Operating Fund returned 0.50% during the quarter, which was generally in line
with the return of the ML U.S. 1-5 Corp/Gov Index (+0.53%). Over the trailing 12 months, the
Fund has underperformed the benchmark by 38 basis points. However, ranked against the
Callan Short Term Fixed Income Peer Group, the Fund is performing above median (35th
percentile). The fund’s out-of-benchmark allocation to Asset Backed Securities contributed
positively to relative performance in the fourth quarter. The manager’s barbell approach of over
allocating to shorter-dated and longer-dated securities at the expense of the middle portion of
the curve also contributed to relative gains. During the quarter, the manager increased the
allocation to U.S. Treasuries by 4.4 percentage points and decreased the allocation to Agencies
by 2.8 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 (8%),
commercial mortgage backed securities (0%), and CMOs (0%) as of December 31, 2019 (see
page 20).
The Liquid Operating Portfolio appreciated 0.46% (after fees) in the fourth quarter, performing in
line with the 3-month Treasury return of 0.46%. During 2019, the Portfolio gained 2.24%, which
ranked in the 28th percentile among peers.
Cordially,
Gordon M. Weightman, CFA
Senior Vice President
Capital Market Review
Russell 3000
Russell 1000
Russell 1000 Growth
Russell 1000 Value
S&P 500
Russell Midcap
Russell 2500
Russell 2000
U.S. Equity: Quarterly Returns
9.1%
9.0%
10.6%
7.4%
9.1%
7.1%
8.5%
9.9%
Russell 3000
Russell 1000
Russell 1000 Growth
Russell 1000 Value
S&P 500
Russell Midcap
Russell 2500
Russell 2000
U.S. Equity: One-Year Returns
31.0%
31.4%
36.4%
26.5%
31.5%
30.5%
27.8%
25.5%
Source: Standard & Poor’s
U.S. EQUITY
The fourth quarter closed out a near-historic year for equity
markets, in particular the S&P 500, which ended 2019 up
31.5%—enough to claim second place behind 2013 for the
strongest year of the decade (during which large cap equities
only saw one down year). Both Apple (+85%) and Microsoft
(+54%) reached over $1 trillion in market cap and accounted
for 15% of the S&P 500’s advance for the year. For the recent
quarter, investors globally were spurred by three interest rate
cuts by the Fed, a potential U.S.-China trade armistice,
continued low inflation, and some clarity around Brexit.
Large cap vs. small cap (Russell 2000: +9.9%; Russell 1000:
+9.0%)
–Small cap trailed for most of 2019 but eclipsed large cap
stocks in the fourth quarter due to notable contributions from
the Health Care sector, where the biotech and
pharmaceutical industries saw heightened new drug
approvals and M&A activity during the quarter.
–Small growth outpaced small value for the quarter, the year,
and the decade; the Russell 2000 Growth Index outpaced
the Russell 2000 Value Index by 3% annualized over the
past 10 years as the low interest rate environment favored
growth stocks and challenged the Russell 2000 Value’s
heavy exposure to Financials.
–While small cap outpaced large cap in the fourth quarter,
large cap stocks led for the third straight year, owing much
to Tech (+50.3%) and Communication Services (+32.7%).
Growth vs. Value (Russell 1000 Growth: +10.6%; Russell
1000 Value: +7.4%)
–Growth continued its dominance over value during the
quarter, closing out a decade-long trend.
–Tech giants Facebook, Apple, Microsoft, and
Alphabet/Google remained meaningful contributors for the
quarter although Health Care (+14.4%) was also among the
top sector performers.
–The fourth quarter saw a rotation away from the more
defensive sectors (e.g., Consumer Staples (+3.5%), Utilities
(+0.8%), and Real Estate (-0.5%)) and into Cyclicals, further
supporting growth stocks.
Capital Market Overview Dec. 31, 2019
S&P Sector Returns, Quarter Ended December 31, 2019
Last Quarter
9.0%
4.5%3.5%
5.5%
10.5%
14.4%14.4%
5.5%6.4%
-0.5%
0.8%
Services
Communication
Discretionary
Consumer
Staples
Consumer Energy Financials Health Care Industrials
Technology
Information Materials Real Estate Utilities
Sources: FTSE Russell, Standard & Poor’s
Capital Market Overview (continued) Dec. 31, 2019
MSCI EAFE
MSCI ACWI
MSCI World
MSCI ACWI ex USA
MSCI World ex USA
MSCI ACWI ex USA SC
MSCI World ex USA SC
MSCI Europe ex UK
MSCI United Kingdom
MSCI Pacific ex Japan
MSCI Japan
MSCI Emerging Markets
MSCI China
MSCI Frontier Markets
Global Equity: Quarterly Returns
8.2%
9.0%
8.6%
8.9%
7.9%
11.0%
11.4%
8.5%
10.0%
5.8%
7.6%
11.8%
14.7%
6.6%
MSCI EAFE
MSCI ACWI
MSCI World
MSCI ACWI ex USA
MSCI World ex USA
MSCI ACWI ex USA SC
MSCI World ex USA SC
MSCI Europe ex UK
MSCI United Kingdom
MSCI Pacific ex Japan
MSCI Japan
MSCI Emerging Markets
MSCI China
MSCI Frontier Markets
Global Equity: One-Year Returns
22.0%
26.6%
27.7%
21.5%
22.5%
22.4%
25.4%
24.8%
21.0%
18.4%
19.6%
18.4%
23.5%
18.0%
Source: MSCI
GLOBAL/GLOBAL EX-U.S. EQUITY
Global equity markets bounced back in the fourth quarter as
uncertainties abated. De-escalation of the U.S.-China trade
war coupled with some Brexit clarity boosted markets. With this
backdrop, trade-related areas of the market led the rally.
Global/Developed ex-U.S. (MSCI EAFE: +8.2%; MSCI World
ex USA: +7.9%; MSCI ACWI ex USA: +8.9%; MSCI Japan:
+7.6%; MSCI Pacific ex Japan: +5.8%)
–Optimism catalyzed by easing tension between the U.S. and
China and nearing conclusion of Brexit boosted the markets,
and the U.S. dollar fell against most currencies within
developed and emerging markets.
–British Prime Minister Boris Johnson gained command of the
Parliament as a result of the Dec. 12 election, adding further
clarity to Brexit and sparking the pound to its best quarterly
results in a decade by rising 7.5% relative to the dollar.
–Accommodative policies such as a fiscal stimulus program
and dovish monetary rhetoric continued to support the
Japanese economy and its market.
–Despite GDP contraction of 3.2% and its first recession in a
decade due to political protests, Hong Kong rose 7.3% as
U.S.-China trade tensions improved.
–Every sector generated positive returns, led by Technology.
Emerging Markets (MSCI Emerging Markets Index: +11.8%)
–Emerging markets were the best-performing among the
global ex-U.S. markets as trade war uncertainty receded.
–China soared 14.7% with easing trade tensions and
expected fiscal and monetary stimulus packages in 2020.
–Brazil posted a 14.2% gain, its best quarter since late 2017,
emboldened by President Jair Bolsonaro’s deregulation
policies, the country’s 1.2% GDP growth, and pending
pension reform.
–Russia was the best-performing country in 2019 (+50.9%)
and a top five performer in the quarter (+16.8%) as rising oil
prices over the past year helped fuel sentiment.
–Every sector generated positive returns, led by Asian
technology companies, given the “phase one” trade deal,
chip demands for 5G, and growth in China.
Global ex-U.S. Small Cap (MSCI World ex USA Small Cap:
+11.4%; MSCI EM Small Cap: +9.5%; MSCI ACWI ex USA
Small Cap: +11.0%)
–The “risk-on” market environment triggered by the U.S.-
China trade war de-escalation enabled small caps to
outperform large caps.
–Additional Brexit clarity drove the U.K. as the top country
performer (+19.4%) within developed ex-U.S.
–Argentina (+33.5%) and Brazil (+24.8%) were two of the top
EM country performers as key appointments in the
Argentinian government, and deregulation and pension
reform in Brazil, boosted market sentiment.
Blmberg Barclays Gov/Cr 1-3 Yr
Blmberg Barclays Interm Gov/Cr
Blmberg Barclays Aggregate
Blmberg Barclays Long Gov/Cr
Blmberg Barclays Universal
CS Leveraged Loans
Blmberg Barclays High Yield
Blmberg Barclays TIPS
U.S. Fixed Income: Quarterly Returns
0.2%
0.5%
0.6%
0.4%
-1.1%
1.7%
2.6%
0.8%
Blmberg Barclays Gov/Cr 1-3 Yr
Blmberg Barclays Interm Gov/Cr
Blmberg Barclays Aggregate
Blmberg Barclays Long Gov/Cr
Blmberg Barclays Universal
CS Leveraged Loans
Blmberg Barclays High Yield
Blmberg Barclays TIPS
U.S. Fixed Income: One-Year Returns
8.7%
9.3%
4.0%
6.8%
19.6%
8.2%
14.3%
8.4%
0%
1%
2%
3%
4%
0 5 10 15 20 25 30
Maturity (Years)
12/31/2019 9/30/2019 12/31/2018
U.S. Treasury Yield Curves
FIXED INCOME
The Federal Open Market Committee (FOMC) cut short-term
interest rates by 25 basis points once in the fourth quarter to
1.50%-1.75%, citing weak business investment and export
data, along with muted inflation. The overall economic
backdrop remained strong supported by a solid labor market,
which led to a pause in rate cuts at the most recent FOMC
meeting. The FOMC indicated its current monetary policy
stance is appropriate to sustain the economic expansion. The
European Central Bank kept rates steady while continuing to
purchase assets in the open market. Yield movement was
mixed in the U.S. as short-term rates fell and long-term rates
rose amid ongoing trade negotiations.
U.S. Fixed Income (Bloomberg Barclays US Aggregate Bond
Index: +0.2%)
–Treasuries fell 0.8% as the Treasury yield curve steepened,
with yields falling on the short end and rising modestly in the
intermediate and long end of the curve on expectations of
stronger economic growth.
–The spread between the 2-year and 10-year Treasury
remained positive, ending the year at 34 bps.
–Long Treasuries fell 4.1% as the 30-year yield rose 27 bps to
end the year at 2.39% as investors favored risk assets.
–TIPS outperformed nominal Treasuries as inflation
expectations rose; the 10-year breakeven spread was 1.77%
at quarter end, up from 1.53% as of Sept. 30.
Investment Grade Corporates (Bloomberg Barclays
Corporate: +1.2%)
–Investment grade corporate credit spreads narrowed in the
fourth quarter and posted the best results within the
Bloomberg Barclays US Aggregate Bond Index amid a risk-
on market environment; BBB-rated corporates (+1.7%)
outperformed single A-rated or higher corporates (+0.7%),
indicating investors’ willingness to extend risk down the
credit spectrum.
–Issuance in the corporate bond market was $200 billion in
the fourth quarter, which was $8 billion lower than that from a
year ago. Issuance was $140 billion lower compared to the
third quarter, as is typical toward year-end; demand
remained strong amid the risk-on market tone as global
investors continued their hunt for positive-yielding assets.
High Yield (Bloomberg Barclays Corporate High Yield: +2.6%)
–CCC-rated corporates (+3.7%) outperformed BB-rated
corporates (+2.5%), as the risk-on market sentiment spurred
demand for lower-rated securities.
–Spreads across credit quality buckets tightened in the fourth
quarter, as the market anticipated improvements in credit
fundamentals.
Capital Market Overview (continued) Dec. 31, 2019
Sources: Bloomberg, Bloomberg Barclays, Credit Suisse
Blmberg Barclays Gl Aggregate
Blmberg Barclays Gl Agg (hdg)
Blmberg Barclays Gl High Yield
Blmberg Barclays Gl Agg ex US
JPM EMBI Global Diversified
JPM GBI-EM Global Diversified
JPM EMBI Gl Div/JPM GBI-EM Gl Div
JPM CEMBI
Global Fixed Income: Quarterly Returns
0.5%
-0.5%
3.5%
0.7%
1.8%
5.2%
3.5%
2.1%
Blmberg Barclays Gl Aggregate
Blmberg Barclays Gl Agg (hdg)
Blmberg Barclays Gl High Yield
Blmberg Barclays Gl Agg ex US
JPM EMBI Global Diversified
JPM GBI-EM Global Diversified
JPM EMBI Gl Div/JPM GBI-EM Gl Div
JPM CEMBI
Global Fixed Income: One-Year Returns
6.8%
8.2%
12.6%
5.1%
15.0%
13.5%
14.3%
13.8%
26 bps
38 bps
33 bps
34 bps
20 bps
0 5 10 15 20 25 30 35 40 45 50
U.S. Treasury
Germany
U.K.
Canada
Japan
3Q19 to 4Q19
Change in 10-Year Global Government Bond Yields
Leveraged Loans (CS Leveraged Loans: +1.7%)
–Bank loans, which have floating-rate coupons,
underperformed high yield as investors shunned loans in
favor of high yield bonds.
–CLO issuance remained consistent, providing technical
support for the leveraged loan market.
Global Fixed Income (Bloomberg Barclays Global Aggregate
(unhedged): +0.5%; (hedged): -0.5%)
–Developed market sovereign bond yields rose modestly in
the fourth quarter as global financial conditions improved, but
ended lower on the year. The ECB kept the deposit rate
steady at its December meeting; negative-yielding debt
totaled less than $12 trillion, down from $17 trillion in the
third quarter.
–The U.S. dollar declined in the fourth quarter versus the
euro, Australian dollar, and British pound; however, it had a
modest gain versus the Japanese yen.
US$ EMD (JPM EMBI Global Diversified: +1.8%), Local
Currency EMD (JPM GBI-EM Global Diversified: +5.2%)
–Broadly, emerging market debt benefited from dovish global
central banks and a risk-on environment.
–Within the dollar-denominated benchmark, which posted
mixed results, Lebanon (-29.4%) was an outlier as the debt-
to-GDP ratio continued to swell and anti-government
protests persisted; Argentina rallied (+20.8%) to end the year
down 23.6% as a new president was inaugurated. Returns in
the local debt benchmark were largely positive, with only
Chile (-6.2%) and the Dominican Republic (-0.7%) declining.
South Africa (+10.2%) and Russia (+10.0%) were top
performers.
Capital Market Overview (continued) Dec. 31, 2019
Sources: Bloomberg, Bloomberg Barclays, JP Morgan
Active Management Overview
Market Overview
Active Management vs Index Returns
Market Overview
The charts below illustrate the range of returns across managers in Callan’s Separate Account database over the most
recent one quarter and one year time periods. The database is broken down by asset class to illustrate the difference in
returns across those asset classes. An appropriate index is also shown for each asset class for comparison purposes. As an
example, the first bar in the upper chart illustrates the range of returns for domestic equity managers over the last quarter.
The triangle represents the S&P 500 return. The number next to the triangle represents the ranking of the S&P 500 in the
Large Cap Equity manager database.
Range of Separate Account Manager Returns by Asset Class
One Quarter Ended December 31, 2019
Re
t
u
r
n
s
(2%)
0%
2%
4%
6%
8%
10%
12%
14%
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
(44)
(26)
(81)
(64)(94)
(74)
10th Percentile 11.07 11.74 11.61 0.39 4.93 4.14
25th Percentile 10.05 10.18 10.52 0.31 3.10 2.64
Median 8.82 8.53 9.32 0.22 1.29 1.87
75th Percentile 7.77 7.42 8.50 0.10 0.84 1.5290th Percentile 6.45 6.04 7.58 (0.04)0.01 1.13
Index 9.07 9.94 8.17 0.18 (0.07)1.55
Range of Separate Account Manager Returns by Asset Class
One Year Ended December 31, 2019
Re
t
u
r
n
s
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
Large Cap Small Cap Non-US Domestic Non-US Real
Equity Equity Equity Fixed Income Fixed Income Estatevs vs vs vs vs vsS&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi Non-US Govt NCREIF Index
(43)
(51)
(66)
(83)
(80)(65)
10th Percentile 37.69 35.81 30.93 9.95 9.17 18.55
25th Percentile 33.97 30.22 28.26 9.58 7.63 9.85Median 30.68 25.76 23.83 9.17 6.43 7.31
75th Percentile 26.88 22.13 20.99 8.89 5.46 5.79
90th Percentile 24.16 19.18 18.18 8.53 4.14 3.84
Index 31.49 25.52 22.01 8.72 5.32 6.42
7Orange County Sanitation District
Domestic Fixed Income
Active Management Overview
Fixed income markets posted strong returns in 2019 fueled both by falling interest rates and strong investor demand,
especially for higher-yielding sectors. The 10-year U.S. Treasury closed the year at 1.92%, up from 1.68% at the end of the
third quarter and down sharply from 2.69% at the close of 2018. The Bloomberg Barclays US Aggregate Bond Index rose
8.7%, the best calendar year return since 2002, with the lowest-quality tier of the Index up 16.4%. Fourth quarter gains were
more muted at 0.2% as Treasury yields rose modestly. Corporate bonds were the best-performing sector in the fourth
quarter and 2019 (Bloomberg Barclays Corporate Index: +1.2%; +14.5%). High yield corporates also posted sharp gains; the
Bloomberg Barclays Corporate High Yield Index rose 2.6% in the fourth quarter and 14.3% in 2019. Leveraged loans
suffered outflows throughout the year, but still posted a solid return (CS Leveraged Loan: +1.7%; +9.0%). The Bloomberg
Barclays US TIPS Index sharply outperformed the Treasury Index in the fourth quarter as inflation expectations rose.
Separate Account Style Group Median Returns
for Quarter Ended December 31, 2019
(2%)
(1%)
0%
1%
2%
3%
4%
0.60
Defensive
0.44
Intermed
0.22
Core
Bond
0.49
Core Plus
(1.00 )
Extended
Maturity
1.76
Bank
Loans
2.65
High Yield
Re
t
u
r
n
s
Blmbg Aggregate: 0.18%
Blmbg High Yield: 2.61%
Blmbg Long Gov/Cred:(1.12%)
Separate Account Style Group Median Returns
for One Year Ended December 31, 2019
0%
5%
10%
15%
20%
25%
30%
4.52
Defensive
7.04
Intermed
9.17
Core
Bond
10.01
Core Plus
20.14
Extended
Maturity
8.76
Bank
Loans
14.95
High Yield
Re
t
u
r
n
s
Blmbg Aggregate: 8.72%
Blmbg High Yield: 14.32%
Blmbg Long Gov/Cred: 19.59%
8Orange County Sanitation District
Asset Allocation
Investment Manager Asset Allocation
The table below contrasts the distribution of assets across the Fund’s investment managers as of December 31, 2019, with
the distribution as of September 30, 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
December 31, 2019 September 30, 2019
Market Value Weight Net New Inv. Inv. Return Market Value Weight
Domestic Fixed Income
Long Term Operating Fund* 579,913,998 76.75% 29,000,000 2,787,071 548,126,927 88.93%
Liquid Operating Monies* 175,646,417 23.25% 107,000,000 413,159 68,233,258 11.07%
Total Fund $755,560,415 100.0% $136,000,000 $3,200,230 $616,360,185 100.0%
*Chandler replaced PIMCO during the 4th quarter of 2014. Assets were transferred in-kind as of 12/01/2014.
10Orange County Sanitation District
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended December
31, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The
first set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended December 31, 2019
Last Last Last
Last Last 3 5 7
Quarter Year Years Years Years
Domestic Fixed Income
Long Term Operating Fund^ 0.50% 4.70% 2.48% 1.97% 1.43%
Chandler 0.50% 4.70% 2.48% 1.97% -
Blmbg Govt/Cred 1-5 Year Idx 0.50% 5.01% 2.54% 2.03% 1.69%
ML 1-5 Govt/Corp 0.53% 5.08% 2.57% 2.07% 1.74%
Liquid Operating Monies^ 0.50% 2.39% 1.73% 1.17% 0.87%
Chandler 0.50% 2.39% 1.73% 1.17% -
Citigroup 3-Month Treasury Bill 0.46% 2.25% 1.65% 1.05% 0.76%
Total Fund 0.50% 4.26% 2.32% 1.78% 1.30%
Target* 0.52% 4.51% 2.39% 1.87% 1.54%
* 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.
11Orange County Sanitation District
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods ended December
31, 2019. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The
first set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended December 31, 2019
Last Last Last
10 15 24-1/4
Years Years Years
Domestic Fixed Income
Long Term Operating Fund^ 2.20% 3.12% 4.22%
Blmbg Govt/Cred 1-5 Year Idx 2.13% 2.92% 4.06%
ML 1-5 Govt/Corp 2.19% 2.95% 4.09%
Liquid Operating Monies^ 0.67% 1.54% 2.57%
Citigroup 3-Month Treasury Bill 0.56% 1.33% 2.28%
Total Fund 1.91% 2.82% 3.96%
Target*1.86% 2.62% 3.73%
* 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.
12Orange County Sanitation District
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods. Negative returns
are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each
asset class represents the composite returns for all the fund’s accounts for that asset class.
2019 2018 2017 2016 2015
Domestic Fixed Income
Long Term Operating Fund^ 4.70% 1.60% 1.18% 1.58% 0.85%
Chandler 4.70% 1.60% 1.18% 1.58% 0.85%
Blmbg Govt/Cred 1-5 Year Idx 5.01% 1.38% 1.27% 1.56% 0.97%
ML 1-5 Govt/Corp 5.08% 1.40% 1.28% 1.62% 1.05%
Liquid Operating Monies^ 2.39% 1.90% 0.91% 0.47% 0.22%
Chandler 2.39% 1.90% 0.91% 0.47% 0.22%
Citigroup 3-Month Treasury Bill 2.25% 1.86% 0.84% 0.27% 0.03%
Total Fund 4.26% 1.72% 1.02% 1.15% 0.80%
Target* 4.51% 1.49% 1.19% 1.35% 0.85%
* 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.
13Orange County Sanitation District
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods. Negative returns
are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each
asset class represents the composite returns for all the fund’s accounts for that asset class.
2014 2013 2012 2011 2010
Domestic Fixed Income
Long Term Operating Fund^ 1.98%(1.77%)3.06% 4.59% 4.42%
Blmbg Govt/Cred 1-5 Year Idx 1.42% 0.28% 2.24% 3.14% 4.08%
ML 1-5 Govt/Corp 1.51% 0.32% 2.47% 3.10% 4.17%
Liquid Operating Monies^ 0.09% 0.13% 0.17% 0.24% 0.25%
Citigroup 3-Month Treasury Bill 0.03% 0.05% 0.07% 0.08% 0.13%
Total Fund 1.73%(1.49%)2.70% 3.70% 3.68%
Target* 1.21% 0.26% 1.99% 2.49% 3.36%
* 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.
14Orange County Sanitation District
Asset Class Risk and Return
The charts below show the seven year annualized risk and return for each asset class component of the Total Fund. The first
graph contrasts these values with those of the appropriate index for each asset class. The second chart contrasts them with
the risk and return of the median portfolio in each of the appropriate CAI comparative databases. In each case, the
crosshairs on the chart represent the return and risk of the Total Fund.
Seven Year Annualized Risk vs Return
Asset Classes vs Benchmark Indices
0.2%0.4%0.6%0.8%1.0%1.2%1.4%1.6%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2.0%
Total Fund
FTSE 3 Mo T-Bill
Total Fund Target
Blmbg Gov/Cred 1-5 Yr
ML:Corp/Gov 1-5 Yr
Standard Deviation
Re
t
u
r
n
s
Seven Year Annualized Risk vs Return
Asset Classes vs Asset Class Median
0.30%0.40%0.50%0.60%0.70%0.80%0.90%1.00%1.10%1.20%1.30%1.40%
0.5%
1.0%
1.5%
2.0%
Total Fund
Callan Money Market Funds
Callan Short Fixed Inc
Standard Deviation
Re
t
u
r
n
s
15Orange County Sanitation District
Manager Analysis
Chandler-Long Term Operating Fund
Period Ended December 31, 2019
Investment Philosophy
Chandler Asset Management’s Short Term Bond strategy is driven by quantitative models and focuses on active duration
management, sector selection and term structure. The strategy seeks to achieve consistent above-benchmark returns with
low volatility relative to the style’s performance benchmark. The firm has a unique focus on high quality fixed income
management, and places risk control as a higher objective than return. Assets were transferred in kind to Chandler on
12/1/2014. Previous performance reflects PIMCO.
Quarterly Summary and Highlights
Long Term Operating Fund’s portfolio posted a 0.50% return
for the quarter placing it in the 79 percentile of the Callan
Short Term Fixed Income group for the quarter and in the 35
percentile for the last year.
Long Term Operating Fund’s portfolio underperformed the
ML:Corp/Gov 1-5 Yr by 0.03% for the quarter and
underperformed the ML:Corp/Gov 1-5 Yr for the year by
0.38%.
Quarterly Asset Growth
Beginning Market Value $548,126,927
Net New Investment $29,000,000
Investment Gains/(Losses) $2,787,071
Ending Market Value $579,913,998
Performance vs Callan Short Term Fixed Income (Gross)
0%
1%
2%
3%
4%
5%
6%
7%
Last Qtr Last Last 3 Yrs Chandler Last 5 Yrs Last 7 Yrs Last 10 Yrs Since 9/30/95
Yr Inception
A(79)B(79)(72)
B(21)A(35)
(20)
B(53)
A(60)(49)B(58)
A(62)(51)B(58)
A(62)(51)B(59)
A(84)(52)
A(41)B(46)(42)
A(15)B(30)(27)
10th Percentile 0.81 5.43 3.11 2.60 2.60 2.27 2.97 4.37
25th Percentile 0.66 4.94 2.79 2.31 2.31 2.03 2.53 4.11
Median 0.60 4.52 2.57 2.08 2.08 1.76 2.09 3.87
75th Percentile 0.52 4.10 2.35 1.83 1.83 1.55 1.74 3.61
90th Percentile 0.44 3.51 2.14 1.65 1.65 1.34 1.27 3.09
Long Term
Operating Fund A 0.50 4.70 2.48 1.97 1.97 1.43 2.20 4.22
Blmbg Govt/Cred
1-5 Year Idx B 0.50 5.01 2.54 2.03 2.03 1.69 2.13 4.06
ML:Corp/Gov 1-5 Yr 0.53 5.08 2.57 2.07 2.07 1.74 2.19 4.09
Relative Return vs ML:Corp/Gov 1-5 Yr
Re
l
a
t
i
v
e
R
e
t
u
r
n
s
(1.4%)
(1.2%)
(1.0%)
(0.8%)
(0.6%)
(0.4%)
(0.2%)
0.0%
0.2%
0.4%
0.6%
2013 2014 2015 2016 2017 2018 2019
Long Term Operating Fund
Callan Short Term Fixed Income (Gross)
Annualized Seven Year Risk vs Return
0.0 0.5 1.0 1.5 2.0 2.5
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
Blmbg Govt/Cred 1-5 Year Idx
Long Term Operating Fund
ML:Corp/Gov 1-5 Yr
Standard Deviation
Re
t
u
r
n
s
17Orange County Sanitation District
Long Term Operating Fund
Return Analysis Summary
Return Analysis
The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the
manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly
and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s ranking
relative to their style using various risk-adjusted return measures.
Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
Performance vs Callan Short Term Fixed Income (Gross)
(3%)(2%)(1%)0%1%2%3%4%5%6%7%
2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
B(21)A(35)20
A(65)B(87)87 B(58)A(65)57 A(49)B(50)47 B(35)
A(63)24 A(4)B(17)10
B(90)
A(100)
89
A(21)
B(38)27
A(1)
B(4)4
A(15)B(20)17
10th Percentile 5.43 2.00 2.23 2.82 1.17 1.50 1.20 4.46 2.72 4.7125th Percentile 4.94 1.82 1.74 2.17 1.01 1.27 0.80 2.60 2.30 4.01
Median 4.52 1.69 1.31 1.56 0.91 1.11 0.65 1.81 1.85 3.18
75th Percentile 4.10 1.54 0.95 1.18 0.75 0.87 0.40 1.45 1.65 2.72
90th Percentile 3.51 1.33 0.66 1.03 0.64 0.73 0.29 0.92 1.44 2.41
Long Term
Operating Fund A 4.70 1.60 1.18 1.58 0.85 1.98 (1.77)3.06 4.59 4.42
Blmbg Govt/Cred
1-5 Year Idx B 5.01 1.38 1.27 1.56 0.97 1.42 0.28 2.24 3.14 4.08
ML:Corp/Gov
1-5 Yr 5.08 1.40 1.28 1.62 1.05 1.51 0.32 2.47 3.10 4.17
Cumulative and Quarterly Relative Return vs ML:Corp/Gov 1-5 Yr
Re
l
a
t
i
v
e
R
e
t
u
r
n
s
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Long Term Operating Fund Blmbg Govt/Cred 1-5 Year Idx Callan Short Fixed Inc
Risk Adjusted Return Measures vs ML:Corp/Gov 1-5 Yr
Rankings Against Callan Short Term Fixed Income (Gross)
Seven Years Ended December 31, 2019
(1.5)
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
Alpha Sharpe Excess Return
Ratio Ratio
B(94)A(98)
B(91)A(97)
A(88)
B(97)
10th Percentile 0.93 1.42 0.91
25th Percentile 0.61 1.21 0.44
Median 0.38 0.96 0.03
75th Percentile 0.21 0.79 (0.31)
90th Percentile 0.06 0.65 (0.61)
Long Term Operating Fund A (0.27)0.43 (0.58)
Blmbg Govt/Cred 1-5 Year Idx B (0.05)0.64 (0.94)
18Orange County Sanitation District
Long Term Operating Fund
Bond Characteristics Analysis Summary
Portfolio Characteristics
This graph compares the manager’s portfolio characteristics with the range of characteristics for the portfolios which make up
the manager’s style group. This analysis illustrates whether the manager’s current holdings are consistent with other
managers employing the same style.
Fixed Income Portfolio Characteristics
Rankings Against Callan Short Term Fixed Income
as of December 31, 2019
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
Average Effective Coupon OA
Duration Life Yield Rate Convexity
(18)(9)(13)(13)
(93)
(89)
(66)
(7)
10th Percentile 2.50 2.94 2.58 3.40 0.05
25th Percentile 2.07 2.48 2.24 2.93 0.04
Median 1.85 2.10 2.05 2.76 0.01
75th Percentile 1.80 1.91 1.97 2.46 (0.02)
90th Percentile 1.76 1.88 1.88 2.22 (0.12)
Long Term
Operating Fund 2.41 2.74 - 2.25 -
ML:Corp/Gov 1-5 Yr 2.54 2.70 1.80 2.61 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
December 31, 2019
0%10%20%30%40%50%60%70%80%
US Trsy
34.8
23.0
62.9
Corp (incl 144A)
24.1
50
%
Mg
r
M
V
50
%
Mg
r
M
V
47.6
27.3
Gov Related
22.8
1.9
9.7
Other
8.8
ABS
7.8
19.5
Cash
1.0
1.2
Tax-Exempt US Muni
0.3
CMBS
0.2
3.7
CMOs
0.2
1.2
RMBS 1.9
Long Term Operating Fund Callan Short Term Fixed Income
ML:Corp/Gov 1-5 Yr
Quality Ratings
vs Callan Short Term Fixed Income
A
A+
AA-
AA
AA+
AAA
Trsy
Weighted Average
Quality Rating
(31)(15)
10th Percentile AA+
25th Percentile AA
Median AA-
75th Percentile AA-
90th Percentile A+
Long TermOperating Fund AA
ML:Corp/Gov 1-5 Yr AA
19Orange County Sanitation District
Long Term Operating Fund
Portfolio Characteristics Summary
As of December 31, 2019
Portfolio Structure Comparison
The charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatest
influence on return. The first chart compares the two portfolios across sectors. The second chart compares the duration
distribution. The last chart compares the distribution across quality ratings.
Sector Allocation
Long Term Operating Fund
US Trsy
35%
CMBS
0%
Corp (incl 144A)
24%
CMOs
0%
Gov Related
23%
Tax-Exempt US Muni
0%
Other
9%
Cash
1%
ABS
8%
ML:Corp/Gov 1-5 Yr
US Trsy
63%
Gov Related
10%
Corp (incl 144A)
27%
Duration Distribution
0%
10%
20%
30%
40%
50%
60%
70%
80%
<1
21.0
2.0
1-3
41.0
62.1
3-5
38.0 35.8
5-7 7-10 >10
Years Duration
Pe
r
c
e
n
t
o
f
P
o
r
t
f
o
l
i
o
Weighted Average: Duration
Long Term Operating Fund:
ML:Corp/Gov 1-5 Yr:
2.41
2.54
Quality Distribution
0%
20%
40%
60%
80%
100%
AAA
9.0
68.7
AA
68.2
5.3
A
16.012.5
BBB
0.5
13.4
BB B CCC CC C D N/R
6.3
Quality Rating
Pe
r
c
e
n
t
o
f
P
o
r
t
f
o
l
i
o
Weighted Average: Quality
Long Term Operating Fund:
ML:Corp/Gov 1-5 Yr:
AA
AA
20Orange County Sanitation District
Chandler-Liquid Operating Money
Period Ended December 31, 2019
Investment Philosophy
Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
Quarterly Summary and Highlights
Liquid Operating Money Net’s portfolio posted a 0.46%
return for the quarter placing it in the 21 percentile of the
Callan Money Market Funds group for the quarter and in the
28 percentile for the last year.
Liquid Operating Money Net’s portfolio underperformed the
Citigroup 3-Month Treasury Bill by 0.00% for the quarter and
underperformed the Citigroup 3-Month Treasury Bill for the
year by 0.01%.
Quarterly Asset Growth
Beginning Market Value $68,233,258
Net New Investment $107,000,000
Investment Gains/(Losses) $413,159
Ending Market Value $175,646,417
Performance vs Callan Money Market Funds (Net)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
Last Qtr Last Last 3 Yrs Chandler Last 5 Yrs Last 7 Yrs Last 10 Yrs Since 9/30/95
Yr Inception
(21)(21)
(28)(27)
(31)(27)
(27)(26)(27)(26)
(26)(23)
(22)(20)
(12)(24)
10th Percentile 0.58 3.21 2.08 1.58 1.58 1.22 1.06 2.52
25th Percentile 0.44 2.31 1.68 1.05 1.05 0.72 0.51 2.28
Median 0.37 1.96 1.37 0.83 0.83 0.59 0.41 2.12
75th Percentile 0.33 1.75 1.18 0.71 0.71 0.51 0.35 1.99
90th Percentile 0.26 1.47 0.94 0.55 0.55 0.40 0.27 1.84
Liquid Operating
Money Net 0.46 2.24 1.58 1.02 1.02 0.72 0.52 2.42
Citigroup 3-Month
Treasury Bill 0.46 2.25 1.65 1.05 1.05 0.76 0.56 2.28
Relative Returns vs
Citigroup 3-Month Treasury Bill
Re
l
a
t
i
v
e
R
e
t
u
r
n
s
(0.08%)
(0.06%)
(0.04%)
(0.02%)
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
2013 2014 2015 2016 2017 2018 2019
Liquid Operating Money Net
Callan Money Market Funds (Net)
Annualized Seven Year Risk vs Return
0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
Liquid Operating Money Net
Citigroup 3-Month Treasury Bill
Standard Deviation
Re
t
u
r
n
s
21Orange County Sanitation District
Liquid Operating Money Net
Return Analysis Summary
Return Analysis
The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the
manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly
and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s ranking
relative to their style using various risk-adjusted return measures.
Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
Performance vs Callan Money Market Funds (Net)
(0.5%)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
2827
2212
3530
3033 2236 9822 9820 4424 1315 1915
10th Percentile 3.21 1.89 1.42 1.32 0.28 0.35 0.30 0.85 0.12 0.24
25th Percentile 2.31 1.72 0.91 0.40 0.06 0.03 0.04 0.06 0.04 0.08
Median 1.96 1.53 0.61 0.14 0.01 0.01 0.01 0.01 0.01 0.02
75th Percentile 1.75 1.30 0.42 0.04 0.01 0.01 0.01 0.01 0.01 0.0190th Percentile 1.47 1.04 0.23 0.01 0.00 0.00 0.00 0.00 0.00 0.00
Liquid Operating
Money Net 2.24 1.75 0.76 0.32 0.07 (0.06) (0.02)0.02 0.09 0.10
Citigroup 3-Month
Treasury Bill 2.25 1.86 0.84 0.27 0.03 0.03 0.05 0.07 0.08 0.13
Cumulative and Quarterly Relative Return vs Citigroup 3-Month Treasury Bill
Re
l
a
t
i
v
e
R
e
t
u
r
n
s
(0.8%)
(0.6%)
(0.4%)
(0.2%)
0.0%
0.2%
0.4%
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Liquid Operating Money Net Callan Money Market Funds
Risk Adjusted Return Measures vs Citigroup 3-Month Treasury Bill
Rankings Against Callan Money Market Funds (Net)
Seven Years Ended December 31, 2019
(3.0)
(2.5)
(2.0)
(1.5)
(1.0)
(0.5)
0.0
0.5
1.0
1.5
2.0
Alpha Sharpe Excess Return
Ratio Ratio
(29)(26)
(28)
10th Percentile 0.39 0.79 1.22
25th Percentile (0.02) (0.12) (0.30)
Median (0.17) (0.49) (2.06)
75th Percentile (0.25) (0.78) (2.36)
90th Percentile (0.36) (1.30) (2.51)
Liquid Operating Money Net (0.06) (0.14) (0.80)
22Orange County Sanitation District
Callan Research/Education
Research and Educational Programs
The Callan Institute provides research to update clients on the latest industry trends and carefully structured educational programs
to enhance the knowledge of industry professionals. Visit www.callan.com/library to see all of our publications, and www.callan.com/blog
to view our blog “Perspectives.” For more information contact Barb Gerraty at 415-274-3093 / institute@callan.com.
New Research from Callan’s Experts
Long-Dated Private Equity Funds: More Illiquidity Please? |
In this paper, Ashley DeLuce of Callan’s Private Equity Consulting
Group analyzes long-dated private equity funds, which have terms
of 15 years or more (some even have no ixed term), and tend to
focus on stable, mature businesses that may not it a traditional
private equity investment proile. Although these companies may
not generate the outsized internal rates of return associated with
traditional private equity investments, they tend to have stronger
downside protection. In evaluating a potential long-dated fund
investment, investors need to be wary of the strategy’s increased
illiquidity and how it can impact annual commitment pacing.
Callan 2019 Investment Management Fee Study | This study
using Callan’s proprietary database is our eighth examination of
institutional investment management
fee trends. The purpose of the study
is to provide a detailed analysis on fee
levels and trends across multiple asset
classes and mandate sizes, for both
active and passive management.
Gold: Real Asset, Risk Mitigator, or Pet Rock? | In this Hedge
Fund Monitor, Jim McKee reviews the history of gold as a form
of money, the reasons behind the recent
renaissance in gold, the potential roles of gold
for institutional investors, and the alternative
approaches to invest in gold-related themes.
For some institutional investors, gold can play
a useful role in diversifying risk or enhancing
returns. For others, particularly those with
higher risk tolerances and longer time horizons, a strategic gold
allocation has about as much purpose as a Pet Rock.
Quarterly Periodicals
Private Equity Trends, 3Q19 | This newsletter from Callan’s Private
Equity Consulting Group provides a high-level summary of private
equity activity in the quarter through all the investment stages, from
fundraising to exits, as well as long-term performance data.
Monthly Periodic Table of Investment Returns, November 2019
| A regular update to Callan’s Periodic Table covering the major
public equity and ixed income asset classes.
Active vs. Passive Report, 3Q19 | This series of charts compares
active managers alongside relevant benchmarks over the long term.
Market Pulse Flipbook, 3Q19 | A quarterly market reference guide
covering trends in the U.S. economy, developments for institutional
investors, and the latest data for U.S. and global ex-U.S. equities
and ixed income, alternatives, and deined contribution plans.
Capital Market Review, 3Q19 | This newsletter provides analysis
and a broad overview of the economy and public and private market
activity each quarter across a wide range of asset classes.
Hedge Fund Quarterly, 3Q19 | Callan’s Jim McKee of our Hedge
Fund Research Group provides commentary on developments for
hedge funds and multi-asset class (MAC) strategies.
Real Estate Indicators: Too Hot to Touch or Cool Enough to
Handle? | Callan’s Real Assets Consulting Group identiies seven
indicators that, combined with an understanding of prevailing
market dynamics, have helped signal when the institutional real
estate market is overheated or cooled.
Real Assets Reporter, 3Q19 | This newsletter from our experts
offers Callan’s data and insights on real estate and other real asset
investment topics.
Education
4th Quarter 2019
Events
Miss out on a Callan conference or workshop? Event summaries
and speakers’ presentations are available on our website:
www.callan.com/library/
Please mark your calendar and look forward to upcoming invitations:
2020 June Regional Workshops
June 23 – San Francisco
June 25 – Chicago
2020 October Regional Workshops
October 27 – Atlanta
October 29 – Portland
Please also keep your eye out for upcoming Webinars in 2020!
We will be sending invitations to register for these events and will
also have registration links on our website at www.callan.com/
webinarsupcoming.
For more information about events, please contact Barb
Gerraty: 415-274-3093 / gerraty@callan.com
Education
Through the “Callan College,” the Callan Institute offers educational
sessions for industry professionals involved in the investment
decision-making process. It was founded in 1994 to provide both
clients and non-clients with basic- to intermediate-level instruction.
Introduction to Investments for Institutional Investors
April 21-22, 2020 – San Francisco
July 21-22, 2020 – Chicago
October 13-14, 2020 – Chicago
This program familiarizes institutional investor trustees and staff
and asset management advisers with basic investment theory,
terminology, and practices. It lasts one-and-a-half days and is
designed for individuals with less than two years of experience
with asset-management oversight and/or support responsibilities.
Tuition is $2,350 per person and includes instruction, all materials,
breakfast and lunch on each day, and dinner on the irst evening
with the instructors.
Learn more at www.callan.com/callan-college-intro-2/
Alternative Investments for Institutional Investors
June 16, 2020 – San Francisco
November 3, 2020 – Chicago
Alternative investments like private equity, hedge funds, and real
estate can play a key role in any portfolio. In this one-day session,
Callan experts will provide instruction about the importance of
allocations to alternatives, and how to integrate, evaluate, and
monitor them.
Learn from some of Callan’s senior consultants and experts,
including the head of Alternatives Consulting Pete Keliuotis. The
session will cover private equity, private credit, hedge funds, real
estate, and real assets; why invest in alternatives; risk/return
characteristics and liquidity; designing and implementing an
alternatives program; and trends and case studies.
Tuition is $2,000 per person and includes instruction, all materials,
and breakfast and lunch with the instructors.
Learn more at: https://www.callan.com/callan-college-alternatives-2/
Unique pieces of research the
Institute generates each year50+
Total attendees of the “Callan
College” since 19943,700
Attendees (on average) of the
Institute’s annual National Conference525
Education: By the Numbers
@CallanLLC Callan
“Research is the foundation of all we do at Callan, and sharing our
best thinking with the investment community is our way of helping
to foster dialogue to raise the bar across the industry.”
Greg Allen, CEO and Chief Research Oficer
Definitions
Risk/Reward Statistics
The risk statistics used in this report examine performance characteristics of a manager or a portfolio relative to a benchmark
(market indicator) which assumes to represent overall movements in the asset class being considered. The main unit of
analysis is the excess return, which is the portfolio return minus the return on a risk free asset (3 month T-Bill).
Alpha measures a portfolio’s return in excess of the market return adjusted for risk. It is a measure of the manager’s
contribution to performance with reference to security selection. A positive alpha indicates that a portfolio was positively
rewarded for the residual risk which was taken for that level of market exposure.
Beta measures the sensitivity of rates of portfolio returns to movements in the market index. A portfolio’s beta measures the
expected change in return per 1% change in the return on the market. If a beta of a portfolio is 1.5, a 1 percent increase in
the return on the market will result, on average, in a 1.5 percent increase in the return on the portfolio. The converse would
also be true.
Downside Risk stems from the desire to differentiate between "good risk" (upside volatility) and "bad risk" (downside
volatility). Whereas standard deviation punishes both upside and downside volatility, downside risk measures only the
standard deviation of returns below the target. Returns above the target are assigned a deviation of zero. Both the frequency
and magnitude of underperformance affect the amount of downside risk.
Excess Return Ratio is a measure of risk adjusted relative return. This ratio captures the amount of active management
performance (value added relative to an index) per unit of active management risk (tracking error against the index.) It is
calculated by dividing the manager’s annualized cumulative excess return relative to the index by the standard deviation of
the individual quarterly excess returns. The Excess Return Ratio can be interpreted as the manager’s active risk/reward
tradeoff for diverging from the index when the index is mandated to be the "riskless" market position.
Information Ratio measures the manager’s market risk-adjusted excess return per unit of residual risk relative to a
benchmark. It is computed by dividing alpha by the residual risk over a given time period. Assuming all other factors being
equal, managers with lower residual risk achieve higher values in the information ratio. Managers with higher information
ratios will add value relative to the benchmark more reliably and consistently.
R-Squared indicates the extent to which the variability of the portfolio returns are explained by market action. It can also be
thought of as measuring the diversification relative to the appropriate benchmark. An r-squared value of .75 indicates that
75% of the fluctuation in a portfolio return is explained by market action. An r-squared of 1.0 indicates that a portfolio’s
returns are entirely related to the market and it is not influenced by other factors. An r-squared of zero indicates that no
relationship exists between the portfolio’s return and the market.
Relative Standard Deviation is a simple measure of a manager’s risk (volatility) relative to a benchmark. It is calculated by
dividing the manager’s standard deviation of returns by the benchmark’s standard deviation of returns. A relative standard
deviation of 1.20, for example, means the manager has exhibited 20% more risk than the benchmark over that time period.
A ratio of .80 would imply 20% less risk. This ratio is especially useful when analyzing the risk of investment grade
fixed-income products where actual historical durations are not available. By using this relative risk measure over rolling
time periods one can illustrate the "implied" historical duration patterns of the portfolio versus the benchmark.
Residual Portfolio Risk is the unsystematic risk of a fund, the portion of the total risk unique to the fund (manager) itself and
not related to the overall market. This reflects the "bets" which the manager places in that particular asset market. These
bets may reflect emphasis in particular sectors, maturities (for bonds), or other issue specific factors which the manager
considers a good investment opportunity. Diversification of the portfolio will reduce or eliminate the residual risk of that
portfolio.
27
Risk/Reward Statistics
Rising Declining Periods refer to the sub-asset class cycles vis-a-vis the broader asset class. This is determined by
evaluating the cumulative relative sub-asset class index performance to that of the broader asset class index. For example,
to determine the Growth Style cycle, the S&P 500 Growth Index (sub-asset class) performance is compared to that of the
S&P 500 Index (broader asset class).
Sharpe Ratio is a commonly used measure of risk-adjusted return. It is calculated by subtracting the "risk-free" return
(usually 3 Month Treasury Bill) from the portfolio return and dividing the resulting "excess return" by the portfolio’s risk level
(standard deviation). The result is a measure of return gained per unit of risk taken.
Sortino Ratio is a downside risk-adjusted measure of value-added. It measures excess return over a benchmark divided by
downside risk. The natural appeal is that it identifies value-added per unit of truly bad risk. The danger of interpretation,
however, lies in these two areas: (1) the statistical significance of the denominator, and (2) its reliance on the persistence of
skewness in return distributions.
Standard Deviation is a statistical measure of portfolio risk. It reflects the average deviation of the observations from their
sample mean. Standard deviation is used as an estimate of risk since it measures how wide the range of returns typically is.
The wider the typical range of returns, the higher the standard deviation of returns, and the higher the portfolio risk. If returns
are normally distributed (ie. has a bell shaped curve distribution) then approximately 2/3 of the returns would occur within
plus or minus one standard deviation from the sample mean.
Total Portfolio Risk is a measure of the volatility of the quarterly excess returns of an asset. Total risk is composed of two
measures of risk: market (non-diversifiable or systematic) risk and residual (diversifiable or unsystematic) risk. The purpose
of portfolio diversification is to reduce the residual risk of the portfolio.
Tracking Error is a statistical measure of a portfolio’s risk relative to an index. It reflects the standard deviation of a
portfolio’s individual quarterly or monthly returns from the index’s returns. Typically, the lower the Tracking Error, the more
"index-like" the portfolio.
Treynor Ratio represents the portfolio’s average excess return over a specified period divided by the beta relative to its
benchmark over that same period. This measure reflects the reward over the risk-free rate relative to the systematic risk
assumed.
Note: Alpha, Total Risk, and Residual Risk are annualized.
28
Fixed Income Portfolio Characteristics
All Portfolio Characteristics are derived by first calculating the characteristics for each security, and then calculating the
market value weighted average of these values for the portfolio.
Allocation by Sector - Sector allocation is one of the tools which managers often use to add value without impacting the
duration of the portfolio. The sector weights exhibit can be used to contrast a portfolio’s weights with those of the index to
identify any significant sector bets.
Average Coupon - The average coupon is the market value weighted average coupon of all securities in the portfolio. The
total portfolio coupon payments per year are divided by the total portfolio par value.
Average Moody’s Rating for Total Portfolio - A measure of the credit quality as determined by the individual security
ratings. The ratings for each security, from Moody’s Investor Service, are compiled into a composite rating for the whole
portfolio. Quality symbols range from Aaa+ (highest investment quality - lowest credit risk) to C (lowest investment quality -
highest credit risk).
Average Option Adjusted (Effective) Convexity - Convexity is a measure of the portfolio’s exposure to interest rate risk. It
is a measure of how much the duration of the portfolio will change given a change in interest rates. Generally, securities with
negative convexities are considered to be risky in that changes in interest rates will result in disadvantageous changes in
duration. When a security’s duration changes it indicates that the stream of expected future cash-flows has changed,
generally having a significant impact on the value of the security. The option adjusted convexity for each security in the
portfolio is calculated using models developed by Lehman Brothers and Salomon Brothers which determine the expected
stream of cash-flows for the security based on various interest rate scenarios. Expected cash-flows take into account any
put or call options embedded in the security, any expected sinking-fund paydowns or any expected mortgage principal
prepayments.
Average Option Adjusted (Effective) Duration - Duration is one measure of the portfolio’s exposure to interest rate risk.
Generally, the higher a portfolio’s duration, the more that its value will change in response to interest rate changes. The
option adjusted duration for each security in the portfolio is calculated using models developed by Lehman Brothers and
Salomon Brothers which determine the expected stream of cash-flows for the security based on various interest rate
scenarios. Expected cash-flows take into account any put or call options embedded in the security, any expected
sinking-fund paydowns or any expected mortgage principal prepayments.
Average Price - The average price is equal to the portfolio market value divided by the number of securities in the portfolio.
Portfolios with an average price above par will tend to generate more current income than those with an average price below
par.
Average Years to Expected Maturity - This is a measure of the market-value-weighted average of the years to expected
maturity across all of the securities in the portfolio. Expected years to maturity takes into account any put or call options
embedded in the security, any expected sinking-fund paydowns or any expected mortgage principal prepayments.
Average Years to Stated Maturity - The average years to stated maturity is the market value weighted average time to
stated maturity for all securities in the portfolio. This measure does not take into account imbedded options, sinking fund
paydowns, or prepayments.
Current Yield - The current yield is the current annual income generated by the total portfolio market value. It is equal to the
total portfolio coupon payments per year divided by the current total portfolio market value.
29
Fixed Income Portfolio Characteristics
Duration Dispersion - Duration dispersion is the market-value weighted standard deviation of the portfolio’s individual
security durations around the total portfolio duration. The higher the dispersion, the more variable the security durations
relative to the total portfolio duration ("barbellness"), and the smaller the dispersion, the more concentrated the holdings’
durations around the overall portfolio’s ("bulletness"). The purpose of this statistic is to gauge the "bulletness" or
"barbellness" of a portfolio relative to its total duration and to that of its benchmark index.
Effective Yield - The effective yield is the actual total annualized return that would be realized if all securities in the portfolio
were held to their expected maturities. Effective yield is calculated as the internal rate of return, using the current market
value and all expected future interest and principal cash flows. This measure incorporates sinking fund paydowns, expected
mortgage principal prepayments, and the exercise of any "in-the-money" imbedded put or call options.
Weighted Average Life - The weighted average life of a security is the weighted average time to payment of all remaining
principal. It is calculated by multiplying each expected future principal payment amount by the time left to the payment. This
amount is then divided by the total amount of principal remaining. Weighted average life is commonly used as a measure of
the investment life for pass-through security types for comparison to non-pass-through securities.
30
Disclosures
List of Callan’s Investment Manager Clients
Confidential – For Callan Client Use Only Callan takes its fiduciary and disclosure responsibilities to clients very seriously. We recognize that there are numerous potential conflicts of interest encountered in the investment consulting industry and that it is our responsibility to manage those conflicts effectively and in the best interest of our clients. At Callan, we employ a robust process to identify, manage, monitor and disclose potential conflicts on an on-going basis. The list below is an important component of our conflicts management and disclosure process. It identifies those investment managers that pay Callan fees for educational, consulting, software, database or reporting products and services. We update the list quarterly because we believe that our fund sponsor clients should know the investment managers that do business with Callan, particularly those investment manager clients that the fund sponsor clients may be using or considering using. Please note that if an investment manager receives a product or service on a complimentary basis (e.g. attending 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.
Quarterly List as of
December 31, 2019
Knowledge. Experience. Integrity. Page 1 of 2
Manager Name
Aberdeen Standard Investments
Acadian Asset Management LLC
AEGON USA Investment Management Inc.
Alcentra
AllianceBernstein
Allianz Global Investors
Allianz Life Insurance Company of North America
American Century Investments
Amundi Pioneer Asset Management
AQR Capital Management
Ares Management LLC
Ariel Investments, LLC
Atlanta Capital Management Co., LLC
Aviva Investors Americas
AXA Investment Managers
Baillie Gifford International, LLC
Baird Advisors
Baron Capital Management, Inc.
Barrow, Hanley, Mewhinney & Strauss, LLC
BlackRock
BMO Global Asset Management
BNP Paribas Asset Management
BNY Mellon Asset Management
Boston Partners
Brandes Investment Partners, L.P.
Brandywine Global Investment Management, LLC
BrightSphere Investment Group
Brown Brothers Harriman & Company
Cadence Capital Management
Cambiar Investors, LLC
Capital Group
Carillon Tower Advisers
CastleArk Management, LLC
Causeway Capital Management LLC
Ceredex Value Advisors
Manager Name
Camplain Investment Partners, LLC
Chartwell Investment Partners
ClearBridge Investments, LLC
Cohen & Steers Capital Management, Inc.
Columbia Threadneedle Investments
Columbus Circle Investors
Credit Suisse Asset Management
Davy Asset Management Limited
DePrince, Race & Zollo, Inc.
Diamond Hill Capital Management, Inc.
Dimensional Fund Advisors LP
Doubleline
Duff & Phelps Investment Management Co.
DWS
EARNEST Partners, LLC
Eaton Vance Management
Epoch Investment Partners, Inc.
Fayez Sarofim & Company
Federated Investors
Fidelity Institutional Asset Management
Fiera Capital Corporation
Financial Engines
First Hawaiian Bank Wealth Management Division
First State Investments
FIS Group, Inc.
Fisher Investments
Franklin Templeton
Fred Alger Management, Inc.
Fuller & Thaler Asset Management, Inc.
GAM (USA) Inc.
Glenmeade Investment Management, LP
GlobeFlex Capital, L.P.
GMO LLC
Goldman Sachs
Green Square Capital Advisors, LLC
Knowledge. Experience. Integrity. December 31, 2019 Page 2 of 2
Manager Name
Guggenheim Investments
GW&K Investment Management
Harbor Capital Group Trust
Hartford Investment Management Co.
Heitman LLC
Hotchkis & Wiley Capital Management, LLC
HSBC Global Asset Management
Impax Asset Management Limited
Income Research + Management, Inc.
Insight Investment Management Limited
Intech Investment Management, LLC
Intercontinental Real Estate Corporation
Invesco
Investec Asset Management North America, Inc.
Iridian Asset Management LLC
Ivy Investments
J.P. Morgan
Janus
Jennison Associates LLC
Jenson Investment Management
JO Hambro Capital Management Limited
Jobs Peak Advisors
John Hancock Investment Management Services, LLC
Kayne Anderson Rudnick Investment Management, LLC
KeyCorp
Lazard Asset Management
L & B Realty Advisors LLP
Legal & General Investment Management America
Lincoln Advisors
Lincoln National Corporation
Logan Circle Partners, L.P.
Longview Partners
Loomis, Sayles & Company, L.P.
Lord Abbett & Company
Los Angeles Capital Management
LSV Asset Management
MacKay Shields LLC
MacKenzie Investments
Macquarie Investment Management (MIM)
Manulife Investment Management
Marathon Asset Management, L.P.
McKinley Capital Management, LLC
Mellon
MFS Investment Management
MidFirst Bank
Mondrian Investment Partners Limited
Montag & Caldwell, LLC
Morgan Stanley Investment Management
Mountain Lake Investment Management LLC
Mountain Pacific Advisors, LLC
MUFG Union Bank, N.A.
Natixis Investment Managers
Neuberger Berman
Newton Investment Management
Nikko Asset Management Co., Ltd.
Northern Trust Asset Management
Manager Name
Nuveen
OFI Global Asset Management
Osterweis Capital Management, LLC
Owl Rock
P/E Investments
Pacific Investment Management Company
Parametric Portfolio Associates LLC
Pathway Capital Management
Peregrine Capital Management, LLC.
Perkins Investment Management
PFM Asset Management LLC
PGIM Fixed Income
PineBridge Investments
PNC Capital Advisors, LLC
Polen Capital Management
Principal Global Investors
Putnam Investments, LLC
QMA LLC
RBC Global Asset Management
Regions Financial Corporation
Riverbridge Partners LLC
Robeco Institutional Asset Management, US Inc.
Rockefeller Capital Management
Rothschild & Co. Asset Management US
Russell Investments
Schroder Investment Management North America Inc.
Segall Bryant & Hamill
Smith Graham & Co. Investment Advisors, L.P.
South Texas Money Management, Ltd.
Sprucegrove Investment Management Ltd.
State Street Global Advisors
Stone Harbor Investment Partners, L.P.
Strategic Global Advisors
Sun Life Investment Management
T. Rowe Price Associates, Inc.
The TCW Group, Inc.
Thompson, Siegel & Walmsley LLC
Thornburg Investment Management, Inc.
Tri-Star Trust Bank
UBS Asset Management
VanEck
Versus Capital Group
Victory Capital Management Inc.
Virtus Investment Partners, Inc.
Vontobel Asset Management, Inc.
Voya
Vulcan Value Partners, LLC
Wasatch Global Investors
WCM Investment Management
WEDGE Capital Management
Wellington Management Company, LLP
Wells Fargo Asset Management
Western Asset Management Company LLC
Westfield Capital Management Company, LP
William Blair & Company LLC
CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending December 31, 2019
Orange County Sanitation District
SECTION 1 Economic Update
SECTION 2 Account Profile
SECTION 3 Consolidated Information
SECTION 4 Portfolio Holdings
SECTION 5 Transactions
Table of Contents As of December 31, 2019
1
SECTION ||||||||||||||Section 1 |Economic Update
2
Economic Update
Economicgrowth has slowed overthe pastyearand the consensus forecast calls for GDP growth of 1.8% in 2020 versus 2.3%
in 2019. We are not anticipating a recession within our 6-month outlook horizon.We believe the impactof monetarypolicy
on economicgrowth is somewhat lagged, and the more accommodative monetary policy stance of the Federal Reserve and
other global central banks throughout 2019 should provide a tailwind for an ongoingslow economicgrowth environment in
2020. However, an uncertain outlook on the future path of global central bank policy, lingering uncertainty about trade
policy and Brexit, and the upcoming US presidential election potentially sets the stage for a continued volatile financial
marketenvironmentthisyear.The recentconfirmationofaphase one trade deal is consistent with our view that there will
be modest incremental progress on trade in front of the presidential election cycle.
The Federal Open Market Committee (FOMC) kept the target fed funds rate unchanged in December in a range of 1.50%-
1.75%. The vote to keep policy unchanged was unanimous and the Fed's quarterly update on their Summary of Economic
Projections was little changed from the September 2019 forecast. Notably the Fed's forecast calls forno change to the fed
funds rate in 2020. We believe the hurdle rate to tighten policy remains high, as market-based measures of inflation are still
toolow.Conversely, ifmarket-based inflationmetrics fail to improve,and/or the domestic orglobal economy experiences
an exogenous shock, we believe the Fed has left the door open for additional policy accommodation.
The Treasury yield curve steepened slightly in December. The 2-year Treasury yield decreased about 4 basis points to 1.57%,
the 5-year Treasury yield increased almost seven basis points to 1.69%, and the 10-year Treasury yield increased about
fourteen basis points to 1.92%. We believe the increase in longer-term yields were driven by more favorable developments
with regard to global trade and Brexit.
3
Source: US Department of Labor Source: US Department of Labor
Employment
U.S. nonfarm payrolls rose by 145,000 in December, below expectations of 160,000. Payrolls for October and November were revised down by a
total of 14,000. On a trailing 3-month and 6-month basis, payrolls increased an average of about 184,000 and 189,000 per month, respectively.
The unemployment rate was unchanged at 3.5% and the participation rate held steady at 63.2%. A broader measure of unemployment called
the U-6, which includes those who are marginally attached to the laborforce and employedpart time for economicreasons, declinedto 6.7%in
December from 6.9% in November. Wages edgedup 0.1%in December,below expectations of 0.3%, but the November increase in wages was
revised up slightly to 0.3% from 0.2%. The average workweek was unchanged at 34.3 hours. On a year-over-year basis, wages were up 2.9% in
December, versus up 3.1% in November.
0
50
100
150
200
250
300
350
MO
M
C
h
a
n
g
e
I
n
(
0
0
0
'
s
)
Nonfarm Payroll (000's)
Non-farm Payroll (000's)
3 month average (000's)
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
11.0%
Unemployment Rate
Underemployment Rate (U6)
Unemployment Rate (U3)
Ra
t
e
(
%
)
4
Source: US Department of Labor Source: US Department of Commerce
Inflation
The ConsumerPrice Index (CPI) wasup 2.1%year-over-year inNovember, upfrom 1.8% in October. Core CPI (CPI lessfood andenergy) wasup
2.3% year-over-year in November, unchanged from October. The Personal Consumption Expenditures (PCE) index was up 1.5% year-over-year
in November versus up 1.4% year-over-year in October. Core PCE, which is the Fed's primary inflation gauge, was up 1.6% year-over-year in
November versus 1.7% year-over-year in October. Core PCE softened and remains below the Fed’s 2.0% inflation target.
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
Personal Consumption Expenditures (PCE)
PCE Price Deflator YOY % Change
PCE Core Deflator YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
Consumer Price Index (CPI)
CPI YOY % Change
Core CPI YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
5
Retail sales increased 0.2% in November, following growth of 0.4% in October. Excluding auto and gas, retail sales were flat in November,
below expectations of 0.4%. On a year-over-year basis, retail sales increased 3.3% in November, versus 3.2% in October. The Consumer
Confidence Index was nearly unchanged at 126.5 in December versus 126.8 in November. Overall, the index remains at a strong level.
Source: US Department of Commerce Source: The Conference Board
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
Retail Sales YOY % Change
YO
Y
(
%
)
C
h
a
n
g
e
110
115
120
125
130
135
140
145
In
d
e
x
L
e
v
e
l
Consumer Confidence
Consumer
6
Source: The Conference Board Source: Federal Reserve Bank of Chicago
Economic Activity
The Leading Economic Index (LEI) was flatin November, following adownwardly-revised 0.2% decline in October. Although the index remains
slightly positive on a year-over-year basis, up 0.1%, the year-over-year rate of change has decelerated. The Conference Board believes the
index points to roughly 2.0% GDP growth in 2020. The Chicago Fed National Activity Index (CFNAI) jumped to +0.56in Novemberfrom -0.76in
October. Weakness in vehicle production related to the GM strike (which ended on October 25) contributed to the October decline. On a 3-
month moving average basis, the index improved to -0.25 in November versus -0.35 in October. Negative values are generally consistent with
below-average growth, but the index suggests that trends are improving. Periods of economic contraction have historically been associated
with values below -0.70 on a 3-month moving average basis.
-0.70
-0.50
-0.30
-0.10
0.10
0.30
0.50
0.70
Chicago Fed National Activity Index (CFNAI)
3
M
o
n
t
h
A
v
e
r
a
g
e
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
Leading Economic Indicators (LEI)
MO
M
(
%
)
C
h
a
n
g
e
7
Source: US Department of Commerce Source: S&P
Housing
0
200
400
600
800
1000
1200
1400
1600
1800
MO
M
C
h
a
n
g
e
(
I
n
T
h
o
u
s
a
n
d
s
o
f
U
n
i
t
s
)
Housing Starts
Multi Family Housing Starts
Single Family Housing Starts
1.5%
2.5%
3.5%
4.5%
5.5%
6.5%
7.5%
S&P/Case-Shiller 20 City Composite Home Price Index
YO
Y
(
%
)
C
h
a
n
g
e
Housing starts increased 3.2% in November to a 1.365million annualized rate and starts in the prior month were revised higher. Permits were
also stronger than expected in November, up 1.4%. Multi-family starts rose 4.9% month-over-month in November to an annualized rate of
427,000. Single-family starts rose 2.4% in November to an annualized rate of 938,000. The trends suggest that low mortgage rates and a strong
labor market continue to drive housing activity. According to the Case-Shiller 20-City home price index, home prices were up 2.2%year-over-
year in October, versus up 2.1% year-over-year in September. The year-over-year pace of price appreciation remains low but suggests that
pricing in the sector may be gaining momentum.
8
Source: Institute for Supply Management Source: Federal Reserve
Manufacturing
The Institute forSupply Management (ISM) manufacturing index decreased to47.2inDecemberfrom48.1inNovember. The reading wasbelow
expectations and suggests the manufacturing sector remains in contraction. The Industrial Production index declined 0.8% year-over-year in
November versus down 1.3% year-over-year in October. On a month-over-month basis, the index rose 1.1% in November, greater than the
consensus forecast of 0.9%, following a 0.9% decline in October. The manufacturing component of the index also rose 1.1% in November,
following a 0.7% decline in October. The GMstrike negatively impacted manufacturing volumes in October. Capacity Utilization increased to
77.3% in November from 76.6% in October, but remains below the long-run average of 79.8% indicating there is still excess capacity for growth.
46
48
50
52
54
56
58
60
62
64
Institute of Supply Management Purchasing Manager
Index
EXPANDING
CONTRACTING
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
Industrial Production
YO
Y
(
%
)
C
h
a
n
g
e
9
Source: US Department of Commerce Source: US Department of Commerce
12/18 3/19 6/19 9/19
1.0% 0.8% 3.0% 2.1%
0.5% 1.1% -1.2% -0.2%
-0.4% 0.7% -0.7% -0.1%
0.1% 0.1% 0.5% 0.2%
-0.1% 0.4% 0.3% 0.1%
1.1% 3.1% 2.0% 2.1%
Net Exports and Imports
Personal Consumption
Expenditures
Gross Private Domestic
Investment
Federal Government
Expenditures
State and Local (Consumption and
Gross Investment)
Components of GDP
Total
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
According to the third estimate, third quarter 2019 GDP grew at a 2.1% annualized rate. This follows growth of 3.1% in the firstquarter, and 2.0%
in the second quarter on 2019. Third quarter growth was fueled by consumer spending which contributed 2.1% to GDP in the quarter, while
business investment and exports were a drag on the economy. The consensus estimate for the fourth quarter signals a slowdown to 1.9%
growth. The consensus forecast calls for GDP growth of 1.6% in the current quarter and 1.8% for the full year 2020.
10
Source: Bloomberg Source: Bloomberg
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
US Treasury Note Yields
2-Year
5-Year
10-Year
Yi
e
l
d
(
%
)
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
US Treasury Yield Curve
Dec-19
Sep-19
Dec-18
Yi
e
l
d
(
%
)
Bond Yields
Treasury yields declined meaningfully in 2019. At year-end, the 3-month T-bill yield was down 81 basis points, the 2-Year Treasury yield was
down 92 basis points, and the 10-Year Treasury yield was down 77 basis points. We believe the year-over-year decline in long-term Treasury
yieldslargelyreflectsadecline inglobal economicgrowth andinflation expectations,while the decline inshorter-term ratesis inline withthe
Fed's three 25 basis point rate cuts in 2019.
11
Section 2|SECTION ||||||||||||||Section 2 |Account Profile
12
Objectives
Chandler Asset Management Performance Objective
Liquid Operating Monies – will be compared to the 3-month T-Bill rate and operate with a maximum
maturity of one year.
Long-Term Operating Monies – will be compared to the ICE BAML 1-5 Year Corporate Government Rated
AAA – A Index.
Investment Objectives
The investment objectives of the Orange County Sanitation District are first, to provide safety of principal
to ensure the preservation of capital in the overall portfolio; second, to provide sufficient liquidity to meet
all operating requirements; and third, to earn a commensurate rate of return consistent with the
constraints imposed by the safety and liquidity objectives.
Strategy
In order to achieve these objectives, the portfolio invests in high quality fixed income securities consistent
with the investment policy and California Government Code.
13
Compliance As of December 31, 2019
Category Standard Comment
Treasury Issues 5 years maxmaturity; Minimum allocation of 10%Complies*
U.S. Agencies 20% max issuer; 5 years max maturity Complies
Supranational "AA" rated or better by a NRSRO; 30% maximum; 5 years max maturity; USD denominated senior unsecured unsubordinated
obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB Complies
Corporate (MTNs)"A" rated or better long term debt by a NRSRO; 30% maximum; 5% max issuer; 5 years max maturity; Issued by corporations
organized and operating within the U.S. or issued by depository institutions licensed by the U.S.Complies
Municipal Securities "A" rated or higher by a NRSRO; 10% maximum; 5% max issuer; 5 years max maturity Complies
Asset Backed/ CMOs/ Mortgage-backed "AA" rated or better by a NRSRO; "A" or higher issuer rating by a NRSRO; 20% maximum; 5% max issuer (excluding govt
agency/mbs); 5 years max maturity Complies*
Negotiable CDs "A" rated or better long term debt by a NRSRO; or "A-1"/ highest short term rating by a NRSRO; 30% maximum; 5% max issuer; 5
years max maturity Complies
Certificates of Deposit 5% max issuer; 5 years max maturity; Secured/ collateralized Complies
Banker’s Acceptances A-1 rated or equivalent short term rating by a NRSRO; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1 rated or equivalent short term rating by a NRSRO; "A" or better long term debt issuer by a NRSRO; Issued by a domestic
corporation organized and operating in the US with AUM > $500million; 25% maximum; 5% max issuer; 270 days max maturity Complies
Mutual Fund & Money Market Mutual
Fund
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience greater than 5 years;
10% per one Mutual Fund; 20% max per issuer on Money Market Mutual Funds; 20% max of the District's surplus money Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
OCIP Not used by investment adviser Complies
Avg Duration Not to exceed 60 months - (80% to 120% of the benchmark)Complies
Max Per Issuer 5% of portfolio (except Supranationals, U.S. Government, Agencies, Mutual Fund)Complies
Maximum Maturity 5 years maximum maturity Complies*
Orange County Sanitation District Long Term
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
*The portfolio has twenty (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.
14
Portfolio Characteristics
Orange County Sanitation District Long Term
12/31/2019 9/30/2019
Benchmark* Portfolio Portfolio
Average Maturity (yrs)2.67 2.74 2.82
Average Modified Duration 2.53 2.41 2.46
Average Purchase Yield n/a 2.30% 2.36%
Average Market Yield 1.71% 1.72% 1.79%
Average Quality**AAA AA/Aa1 AA/Aa1
Total Market Value 579,895,190 548,112,320
*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.
Several securities were purchased across the Treasury, Certificate of Deposit, Commercial Paper, and Asset Backed
sectors of the market to keep the portfolio structure in-line with Chandler targets. The purchased securities ranged in
maturity from January 2020 to November 2024. One security was sold and several matured to help facilitate the new
holdings in the portfolio and manage the varied cash flows in the portfolio during the reporting period that totaled a net
positive $29 million.
As of December 31, 2019
15
Orange County Sanitation District Long Term
Sector Distribution
ABS
7.8%
Agency
22.8%
CMO
0.2%
Commercial
Paper
1.7%Foreign
Corporate
3.4%
Money Market
Fund FI
1.0%Mortgage Pass
Thru
0.2%
Municipal Bonds
0.3%
Supranational
5.8%
US Corporate
20.7%
US Treasury
34.8%
Negotiable CD
1.4%
December 31, 2019 September 30, 2019
ABS
8.5%
Agency
25.6%
CMO
0.3%
Commercial
Paper
2.1%Foreign
Corporate
3.6%
Money Market
Fund FI
0.7%
Mortgage Pass
Thru
0.2%
Municipal Bonds
0.8%
Supranational
6.1%
US Corporate
21.8%
US Treasury
30.4%
As of December 31, 2019
The sector allocation was relatively stable. Some of the larger changes include the 4.4% increase in the US Treasury
allocation, to 34.8% of the portfolio, partially offset by the 2.8% decline in the Agency allocation, to 22.8% of the portfolio.
16
Issue Name Investment Type % Portfolio
Government of United States US Treasury 34.78%
Federal Home Loan Bank Agency 9.55%
Federal National Mortgage Association Agency 8.39%
Federal Home Loan Mortgage Corp Agency 3.97%
Inter-American Dev Bank Supranational 3.05%
Honda ABS ABS 2.57%
John Deere ABS ABS 2.02%
Intl Bank Recon and Development Supranational 1.75%
MUFG Bank Ltd/NY Commercial Paper 1.71%
Nissan ABS ABS 1.62%
Toronto Dominion Holdings Foreign Corporate 1.45%
Wells Fargo Corp US Corporate 1.41%
Bank of Montreal Chicago Negotiable CD 1.38%
JP Morgan Chase & Co US Corporate 1.34%
Apple Inc US Corporate 1.24%
Bank of America Corp US Corporate 1.21%
Charles Schwab Corp/The US Corporate 1.20%
Berkshire Hathaway US Corporate 1.16%
Royal Bank of Canada Foreign Corporate 1.15%
Chubb Corporation US Corporate 1.10%
PNC Financial Services Group US Corporate 1.08%
American Express ABS ABS 1.08%
ChevronTexaco Corp US Corporate 1.06%
First American Govt Obligation Fund Class-Z Money Market Fund FI 1.04%
IBM Corp US Corporate 1.02%
International Finance Corp Supranational 0.95%
Intel Corp US Corporate 0.90%
US Bancorp US Corporate 0.89%
Bank of New York US Corporate 0.89%
Federal Farm Credit Bank Agency 0.87%
Qualcomm Inc US Corporate 0.87%
HSBC Holdings PLC Foreign Corporate 0.79%
Honda Motor Corporation US Corporate 0.73%
Wal-Mart Stores US Corporate 0.70%
General Dynamics Corp US Corporate 0.56%
Microsoft US Corporate 0.53%
Exxon Mobil Corp US Corporate 0.52%
Oracle Corp US Corporate 0.52%
Issuers
Orange County Sanitation District Long Term – Account #10268
As of December 31, 2019
17
Issue Name Investment Type % Portfolio
Morgan Stanley US Corporate 0.52%
Toyota ABS ABS 0.48%
HSBC Holdings PLC US Corporate 0.43%
Merck & Company US Corporate 0.36%
New York City Transitional Finance Authority Municipal Bonds 0.25%
Deere & Company US Corporate 0.23%
BlackRock Inc/New York US Corporate 0.19%
Federal National Mortgage Association Mortgage Pass Thru 0.18%
Federal Home Loan Mortgage Corp CMO 0.14%
University of California Municipal Bonds 0.07%
Federal National Mortgage Association CMO 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%
Issuers
Orange County Sanitation District Long Term – Account #10268
As of December 31, 2019
18
AAA AA A <A NR
12/31/19 9.0% 68.2% 16.0% 0.5% 6.3%
09/30/19 8.9% 66.5% 16.9% 0.5% 7.2%
Source: S&P Ratings
December 31, 2019 vs. September 30, 2019
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
AAA AA A <A NR
12/31/2019 9/30/2019
Quality Distribution
Orange County Sanitation District Long Term
As of December 31, 2019
19
AAA AA A <A NR
12/31/2019 75.4% 6.1% 17.2% 0.0% 1.3%
09/30/2019 73.3% 6.9% 18.2% 0.0% 1.6%
Source: Moody’s Ratings
December 31, 2019 vs. September 30, 2019
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
AAA AA A <A NR
12/31/2019 9/30/2019
Quality Distribution
Orange County Sanitation District Long Term
As of December 31, 2019
20
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
40.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
Orange County Sanitation District Long Term ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index
Portfolio Compared to the Benchmark as of December 31, 2019
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
Portfolio 4.9% 7.9% 8.2% 19.2% 21.8% 22.9% 15.1% 0.0%
Benchmark* 0.3% 0.1% 1.8% 34.6% 28.7% 21.2% 13.5% 0.0%
*ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index
Duration Distribution
Orange County Sanitation District Long Term
As of December 31, 2019
The duration of the portfolio contracted moderately, ending the quarter at 2.41 compared to 2.46 as of September 30, 2019. The
Chandler team will be focusing on keeping the duration of the portfolio in a tight band relative to the benchmark in the coming quarter.
21
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
5.00%
12 months 2 years 3 years 5 years 10 years Since Inception
Orange County Sanitation District Long Term ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index
Total Rate of Return Annualized Since Inception 11/30/2014
Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years
Since
Inception
Orange County Sanitation District Long Term 0.49% 4.65% 3.07% 2.43%1.92% N/A 1.84%
ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index 0.44% 4.61% 3.04% 2.36% 1.89% N/A 1.79%
Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the
ending value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
Investment Performance
Orange County Sanitation District Long Term
As of December 31, 2019
22
Compliance As of December 31, 2019
Category Standard Comment
Treasury Issues 1 year max maturity; Minimum allocation of 10%Complies
U.S. Agencies 20% max issuer; 1 year max maturity Complies
Supranational "AA" rated or better by a NRSRO; 30% maximum; 1 year max maturity; USD denominated senior unsecured unsubordinated
obligations issued or unconditionally guaranteed by IBRD, IFC, or IADB Complies
Corporate (MTNs)"A" rated or better long term debt by a NRSRO; 30% maximum; 5% max issuer; 1 year max maturity; Issued by corporations
organized and operating within the U.S. or issued by depository institutions licensed by the U.S.Complies
Asset Backed/ CMOs "AA" rated or better by a NRSRO; "A" or higher issuer rating by a NRSRO; 20% maximum; 5% max issuer; 1 year max maturity Complies
Negotiable CDs "A" rated or better long term debt by a NRSRO; or "A-1"/ highest short term rating by a NRSRO; 30% maximum; 5% max issuer; 1
year max maturity Complies
Certificates of Deposit 5% max issuer; 1 year max maturity; Secured/collateralized Complies
Banker’s Acceptances A-1 rated or equivalent short term rating by a NRSRO; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1 rated or equivalent short term rating by a NRSRO; "A" or better long term debt issuer by a NRSRO; Issued by a domestic
corporation organized and operating in the US with AUM > $500million; 25% maximum; 5% max issuer; 270 days max maturity Complies
Mutual Fund & Money Market Mutual
Fund
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience greater than 5
years; 10% per one Mutual Fund; 20% max per issuer on Money Market Mutual Funds; 20% max of the District's surplus money Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
OCIP Not used by investment adviser Complies
Prohibited Municipal Securities Complies
Prohibited Mortgage Securities Complies
Avg Duration Not to exceed 180 days; Max duration of 1/2 year Complies
Max Per Issuer 5% of portfolio (except Supranationals, U.S. Government, Agencies, Mutual Fund)Complies
Maximum Maturity 1 year maximum maturity Complies
Orange County Sanitation District Liquid
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
23
Portfolio Characteristics
Orange County Sanitation District Liquid
12/31/2019 9/30/2019
Benchmark* Portfolio Portfolio
Average Maturity (yrs)0.16 0.21 0.31
Average Modified Duration 0.16 0.21 0.30
Average Purchase Yield n/a 1.82% 2.26%
Average Market Yield 1.50% 1.68% 2.01%
Average Quality**AAA AA+/Aaa AA+/Aa1
Total Market Value 175,617,185 68,219,230
*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.
Multiple securities were purchased across the Treasury, Agency, Certificate of Deposit, Commercial Paper and Corporate sectors
of the market to keep the portfolio fully invested in the liquidity strategy. The purchased securities ranged in maturity from
January 2020 to August 2020. One security was called and several matured; a net $107mm was contributed to the portfolio
during the quarter.
As of December 31, 2019
24
Orange County Sanitation District Liquid
Sector Distribution
Commercial
Paper
2.5%Money Market
Fund FI
3.0%
Negotiable CD
2.3%
US Corporate
6.6%
US Treasury
78.3%
Agency
6.1%
Foreign
Corporate
1.1%
December 31, 2019 September 30, 2019
Commercial
Paper
5.6%Money Market
Fund FI
2.6%
Negotiable CD
5.7%
US Corporate
17.0%
US Treasury
69.2%
As of December 31, 2019
The sector allocation evolved with the large contribution into the strategy in late December. Due to the timing of the contribution
most of the proceeds were allocated to the Treasury sector, with the Chandler team having several maturities in January 2020 to
facilitate additional holdings in non-Treasury securities when the market is more liquid and not under year-end constraints.
25
Issue Name Investment Type % Portfolio
Government of United States US Treasury 78.35%
Federal Home Loan Bank Agency 6.09%
First American Govt Obligation Fund Class-Z Money Market Fund FI 3.00%
HSBC Holdings PLC US Corporate 1.44%
Toronto Dominion Holdings Negotiable CD 1.15%
Bank of New York US Corporate 1.15%
General Dynamics Corp US Corporate 1.15%
Royal Bank of Canada Foreign Corporate 1.15%
Bank of America Corp US Corporate 1.14%
Qualcomm Inc US Corporate 1.14%
Bank of Montreal Chicago Negotiable CD 1.14%
Toyota Motor Corp Commercial Paper 1.14%
MUFG Bank Ltd/NY Commercial Paper 0.77%
Paccar Financial Commercial Paper 0.63%
Wells Fargo Corp US Corporate 0.57%
TOTAL 100.00%
Issuers
Orange County Sanitation District Liquid – Account #10282
As of December 31, 2019
26
AAA AA A <A NR
12/31/19 36.1% 57.3% 6.6% 0.0% 0.0%
09/30/19 24.0% 59.0% 17.0% 0.0% 0.0%
Source: S&P Ratings
December 31, 2019 vs. September 30, 2019
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
AAA AA A <A NR
12/31/2019 9/30/2019
Quality Distribution
Orange County Sanitation District Liquid
As of December 31, 2019
27
AAA AA A <A NR
12/31/2019 92.3% 1.1% 6.6% 0.0% 0.0%
09/30/2019 83.0% 0.7% 16.3% 0.0% 0.0%
Source: Moody’s Ratings
December 31, 2019 vs. September 30, 2019
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
90.0%
100.0%
AAA AA A <A NR
12/31/2019 9/30/2019
Quality Distribution
Orange County Sanitation District Liquid
As of December 31, 2019
28
0.0%
20.0%
40.0%
60.0%
80.0%
100.0%
120.0%
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 1.5 1.5 - 2 2 - 2.5 2.5 - 3 3+
Orange County Sanitation District Liquid ICE BAML 3-Month US Treasury Bill Index
Portfolio Compared to the Benchmark as of December 31, 2019
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 1.5 1.5 - 2 2 - 2.5 2.5 - 3 3+
Portfolio 72.3% 16.2% 11.5% 0.0% 0.0% 0.0% 0.0% 0.0%
Benchmark* 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
*ICE BAML 3-Month US Treasury Bill Index
Duration Distribution
Orange County Sanitation District Liquid
As of December 31, 2019
The duration of the portfolio contracted moderately, currently 0.21 compared to 0.30 at the end of the prior quarter. The Chandler
team continues to utilize the Treasury and Agency sectors to immunize the large forecasted liquidity needs and overlay spread
product (i.e. Commercial Paper, Certificates of Deposit, and Corporates) to enhance the total return strategy of the portfolio.
29
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
12 months 2 years 3 years 5 years 10 years Since Inception
Orange County Sanitation District Liquid ICE BAML 3-Month US Treasury Bill Index
Total Rate of Return Annualized Since Inception 11/30/2014
Annualized
TOTAL RATE OF RETURN 3 months 12 months 2 years 3 years 5 years 10 years
Since
Inception
Orange County Sanitation District Liquid 0.50% 2.43% 2.17% 1.74% 1.18% N/A 1.17%
ICE BAML 3-Month US Treasury Bill Index 0.46% 2.28% 2.08% 1.67% 1.07% N/A 1.06%
Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the
ending value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
Investment Performance
Orange County Sanitation District Liquid
As of December 31, 2019
30
Compliance As of December 31, 2019
Category Standard Comment
Treasury Issues 5 years maximum maturity Complies
Supranational "AA" or better by 1 of 3 NRSROs; 30% maximum; 5% max; 5 years maturity; Includes only: IADB, IBRD, and IFC per CGC Complies
U.S. Agencies 20% max issuer; 5 years maximum maturity Complies
U.S. Corporate (MTNs) "A" or better long term rating by 1 of 3 NRSROs; 30% maximum; 5% max issuer; 5 years max maturity Complies*
Municipal Securities "A" or higher by 1 of 3 NRSROS; 10% maximum; 5% max issuer; 5 years maximum maturity Complies
Asset Backed/ CMOs/ Mortgage-backed "AA" or better by 1 of 3 NRSROs; "A" or higher issuer rating by 1 of 3 NRSROs; 20% maximum; 5% max issuer (excluding
MBS/govt agency); 5 years max maturity Complies
Negotiable CDs "A" or better on its long term debt by 1 of 3 NRSROs ; "A1/P1" or highest short term ratings by 1 of 3 NRSROs; 30% maximum;
5% max issuer; 5 years max maturity Complies
CDs/ TDS 5% max issuer; 5 years max maturity Complies
Banker’s Acceptances A-1, or equivalent highest short term rating by 1 of 3 NRSROS; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1, or equivalent by 1 of 3 NRSROS; "A" or better by 1 of 3 NRSROs, if long term debt issued; 25% maximum; 5% max issuer;
270 days max maturity Complies
Money Market Fund Highest rating by 2 of 3 NRSROs; 20% maximum; 10% max issuer Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
Avg Duration Not to exceed 60 months - (80% to 120% of the benchmark)Complies
Maximum Maturity 5 years maximum maturity Complies
OCSD Lehman Exposure
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
* Account holds $2 million face value (cusip 525ESC0Y6) and $600,000 face value (cusip 525ESC1B7) of defaulted Lehman Bros Holdings that were purchased by the previous manager.
Complied at time of purchase.
31
Portfolio Characteristics
OCSD Lehman Exposure
12/31/2019
Portfolio
9/30/2019
Portfolio
Average Maturity (yrs)12.81 13.55
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 58,241 61,941
*Portfolio is S&P and Moody’s, respectively.
As of December 31, 2019
32
SECTION ||||||||||||||Section 3 |Consolidated Information
33
Portfolio Characteristics
Orange County Sanitation District Consolidated
12/31/2019 9/30/2019
Portfolio Portfolio
Average Maturity (yrs)2.15 2.54
Modified Duration 1.90 2.22
Average Purchase Yield 2.18% 2.35%
Average Market Yield 1.71% 1.81%
Average Quality*AA+/Aa1 AA/Aa1
Total Market Value 755,570,616 616,393,490
* Portfolio is S&P and Moody’s respectively.
As of December 31, 2019
34
Orange County Sanitation District Consolidated
Sector Distribution
ABS
6.0%
Agency
18.9%
CMO
0.1%Commercial
Paper
1.9%
Foreign
Corporate
2.9%
Money Market
Fund FI
1.5%
Mortgage Pass
Thru
0.2%
Municipal Bonds
0.2%
Negotiable CD
1.6%
Supranational
4.4%
US Corporate
17.4%
US Treasury
44.9%
December 31, 2019 September 30, 2019
ABS
7.6%
Agency
22.7%
CMO
0.3%
Commercial
Paper
2.4%Foreign
Corporate
3.2%
Money Market
Fund FI
0.9%Mortgage Pass
Thru
0.2%
Municipal Bonds
0.7%
Negotiable CD
0.6%
Supranational
5.4%
US Corporate
21.3%
US Treasury
34.7%
As of December 31, 2019
35
SECTION ||||||||||||||Section 4 |Portfolio Holdings
36
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
ABS
43814RAC0 Honda Auto Receivables Trust 2016-4 A3
1.210% Due 12/18/2020
229,048.89 02/07/2018
2.58%
226,534.72
228,200.39
99.92
2.11%
228,869.72
100.08
0.04%
669.33
NR / AAA
AAA
0.97
0.09
65478VAD9 Nissan Auto Receivables Trust 2016-B A3
1.320% Due 01/15/2021
35,911.04 02/12/2018
1.87%
35,623.47
35,808.53
99.97
2.43%
35,899.84
5.27
0.01%
91.31
Aaa / NR
AAA
1.04
0.02
83162CLJ0 Small Business Administration 2001-20C 1
6.340% Due 03/01/2021
11,184.56 03/06/2001
6.34%
11,184.56
11,184.56
101.11
4.53%
11,309.13
236.37
0.00%
124.57
Aaa / AA+
AAA
1.17
0.61
43814PAC4 Honda Auto Receivables Trust 2017-3 A3
1.790% Due 09/20/2021
1,600,231.50 06/28/2018
2.78%
1,574,852.83
1,586,713.43
99.95
1.90%
1,599,496.95
1,034.37
0.28%
12,783.52
NR / AAA
AAA
1.72
0.44
43814WAB1 Honda Auto Receivables Trust 2019-1 A2
2.750% Due 09/20/2021
3,788,865.07 02/19/2019
2.77%
3,788,621.06
3,788,701.35
100.39
1.91%
3,803,580.64
3,762.55
0.66%
14,879.29
NR / AAA
AAA
1.72
0.45
47788BAD6 John Deere Owner Trust 2017-B A3
1.820% Due 10/15/2021
324,036.22 07/11/2017
1.83%
324,012.49
324,026.22
99.91
2.11%
323,747.32
262.11
0.06%
(278.90)
Aaa / NR
AAA
1.79
0.31
65478GAD2 Nissan Auto Receivables Trust 2017-B A3
1.750% Due 10/15/2021
1,563,223.44 11/06/2018
3.10%
1,538,981.27
1,548,456.52
99.91
1.98%
1,561,818.10
1,215.84
0.27%
13,361.58
Aaa / NR
AAA
1.79
0.40
89239AAB9 Toyota Auto Receivables Trust 2019-A A2A
2.830% Due 10/15/2021
2,755,642.46 02/05/2019
2.85%
2,755,392.25
2,755,474.88
100.35
1.94%
2,765,287.15
3,465.99
0.48%
9,812.27
Aaa / AAA
NR
1.79
0.39
47789JAB2 John Deere Owner Trust 2019-A A2
2.850% Due 12/15/2021
2,765,654.65 03/05/2019
2.87%
2,765,528.54
2,765,565.32
100.33
2.03%
2,774,650.83
3,503.16
0.48%
9,085.51
Aaa / NR
AAA
1.96
0.39
43815NAB0 Honda Auto Receivables Trust 2019-3 A2
1.900% Due 04/15/2022
3,530,000.00 08/20/2019
1.92%
3,529,752.90
3,529,805.47
99.98
1.93%
3,529,301.06
2,980.89
0.61%
(504.41)
Aaa / AAA
NR
2.29
0.92
47788CAC6 John Deere Owner Trust 2018-A A3
2.660% Due 04/18/2022
1,113,192.86 02/21/2018
2.68%
1,113,112.82
1,113,148.44
100.38
1.95%
1,117,387.06
1,316.04
0.19%
4,238.62
Aaa / NR
AAA
2.30
0.52
477870AB5 John Deere Owner Trust 2019-B A2
2.280% Due 05/16/2022
2,800,000.00 07/16/2019
2.29%
2,799,989.36
2,799,991.03
100.22
2.03%
2,806,056.34
2,837.33
0.48%
6,065.31
Aaa / NR
AAA
2.38
0.83
43814UAG4 Honda Auto Receivables Trust 2018-2 A3
3.010% Due 05/18/2022
1,710,000.00 05/22/2018
3.03%
1,709,962.72
1,709,977.67
100.92
1.90%
1,725,774.75
1,858.68
0.30%
15,797.08
NR / AAA
AAA
2.38
0.82
43815HAC1 Honda Auto Receivables Trust 2018-3 A3
2.950% Due 08/22/2022
3,970,000.00 08/21/2018
2.98%
3,969,455.32
3,969,639.13
101.01
1.91%
4,010,009.66
3,253.19
0.69%
40,370.53
Aaa / NR
AAA
2.64
0.95
02587AAJ3 American Express Credit Trust 2017-1 A
1.930% Due 09/15/2022
6,270,000.00 Various
2.91%
6,174,085.15
6,208,527.23
100.00
1.98%
6,269,717.85
5,378.27
1.08%
61,190.62
Aaa / NR
AAA
2.71
0.11
47788EAC2 John Deere Owner Trust 2018-B A3
3.080% Due 11/15/2022
4,630,000.00 07/18/2018
3.10%
4,629,649.05
4,629,766.11
101.03
2.00%
4,677,550.10
6,337.96
0.81%
47,783.99
Aaa / NR
AAA
2.88
0.93
65479GAD1 Nissan Auto Receivables Trust 2018-B A3
3.060% Due 03/15/2023
3,560,000.00 07/17/2018
3.08%
3,559,884.66
3,559,920.41
101.35
1.92%
3,608,188.16
4,841.60
0.62%
48,267.75
Aaa / AAA
NR
3.21
1.16
As of December 31, 2019
37
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
78445JAA5 SLM Student Loan Trust 2008-9 A
3.428% Due 04/25/2023
12,762.94 08/22/2008
3.50%
12,711.16
12,751.24
100.28
3.29%
12,798.05
82.64
0.00%
46.81
Baa3 / B
B
3.32
2.56
65479JAD5 Nissan Auto Receivables Owner 2019-C A3
1.930% Due 07/15/2024
4,185,000.00 10/16/2019
1.94%
4,184,779.03
4,184,787.99
100.04
1.92%
4,186,661.45
3,589.80
0.72%
1,873.46
Aaa / AAA
NR
4.54
2.45
TOTAL ABS 44,854,753.63 2.72%
44,704,113.36
44,762,445.92 1.96%
45,048,104.16
46,062.14
7.78%
285,658.24
Aaa / AAA
Aaa
2.59
0.80
Agency
313383HU8 FHLB Note
1.750% Due 06/12/2020
5,000,000.00 08/13/2015
1.71%
5,008,950.00
5,000,827.01
100.03
1.69%
5,001,405.00
4,618.06
0.86%
577.99
Aaa / AA+
NR
0.45
0.44
3135G0D75 FNMA Note
1.500% Due 06/22/2020
5,000,000.00 11/16/2015
1.70%
4,955,650.00
4,995,430.29
99.93
1.65%
4,996,485.00
1,875.00
0.86%
1,054.71
Aaa / AA+
AAA
0.48
0.47
3137EAEK1 FHLMC Note
1.875% Due 11/17/2020
5,000,000.00 Various
1.97%
4,986,225.00
4,995,890.85
100.20
1.65%
5,009,815.00
11,458.33
0.87%
13,924.15
Aaa / AA+
AAA
0.88
0.87
3135G0F73 FNMA Note
1.500% Due 11/30/2020
7,500,000.00 Various
1.87%
7,370,726.00
7,476,152.60
99.97
1.54%
7,497,390.00
9,687.50
1.29%
21,237.40
Aaa / AA+
AAA
0.92
0.91
3137EAEL9 FHLMC Note
2.375% Due 02/16/2021
7,500,000.00 02/26/2018
2.45%
7,484,475.00
7,494,104.79
100.86
1.60%
7,564,297.50
66,796.88
1.32%
70,192.71
Aaa / AA+
AAA
1.13
1.10
3130A7CV5 FHLB Note
1.375% Due 02/18/2021
5,365,000.00 02/17/2016
1.46%
5,343,325.40
5,360,088.51
99.75
1.60%
5,351,780.64
27,253.45
0.93%
(8,307.87)
Aaa / AA+
AAA
1.14
1.11
3135G0J20 FNMA Note
1.375% Due 02/26/2021
10,000,000.00 Various
1.28%
10,040,950.00
10,010,312.02
99.75
1.60%
9,974,850.00
47,743.06
1.73%
(35,462.02)
Aaa / AA+
AAA
1.16
1.13
313379RB7 FHLB Note
1.875% Due 06/11/2021
4,000,000.00 08/30/2017
1.67%
4,030,160.00
4,011,517.62
100.32
1.65%
4,012,848.00
4,166.67
0.69%
1,330.38
Aaa / AA+
AAA
1.45
1.42
3135G0U35 FNMA Note
2.750% Due 06/22/2021
7,500,000.00 06/28/2018
2.68%
7,515,225.00
7,507,521.63
101.69
1.59%
7,626,840.00
5,156.25
1.32%
119,318.37
Aaa / AA+
AAA
1.48
1.44
3135G0S38 FNMA Note
2.000% Due 01/05/2022
3,000,000.00 01/30/2017
2.04%
2,994,570.00
2,997,782.75
100.77
1.61%
3,023,121.00
29,333.33
0.53%
25,338.25
Aaa / AA+
AAA
2.02
1.95
3135G0T45 FNMA Note
1.875% Due 04/05/2022
5,000,000.00 05/05/2017
1.99%
4,972,500.00
4,987,346.63
100.64
1.58%
5,032,215.00
22,395.83
0.87%
44,868.37
Aaa / AA+
AAA
2.26
2.20
3135G0T94 FNMA Note
2.375% Due 01/19/2023
5,000,000.00 Various
2.78%
4,910,990.00
4,943,098.15
102.26
1.61%
5,112,900.00
53,437.50
0.89%
169,801.85
Aaa / AA+
AAA
3.05
2.91
313383QR5 FHLB Note
3.250% Due 06/09/2023
5,000,000.00 08/28/2018
2.87%
5,083,350.00
5,059,945.13
105.36
1.64%
5,268,180.00
9,930.56
0.91%
208,234.87
Aaa / AA+
NR
3.44
3.25
3137EAEN5 FHLMC Note
2.750% Due 06/19/2023
10,000,000.00 Various
2.84%
9,956,500.00
9,969,495.58
103.86
1.60%
10,385,980.00
9,166.66
1.79%
416,484.42
Aaa / AA+
AAA
3.47
3.30
As of December 31, 2019
38
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
313383YJ4 FHLB Note
3.375% Due 09/08/2023
10,000,000.00 Various
2.88%
10,211,831.00
10,167,790.72
106.09
1.66%
10,609,090.01
105,937.50
1.85%
441,299.29
Aaa / AA+
NR
3.69
3.44
3130A0F70 FHLB Note
3.375% Due 12/08/2023
10,000,000.00 Various
2.79%
10,269,043.75
10,214,551.39
106.23
1.73%
10,622,760.00
21,562.51
1.84%
408,208.61
Aaa / AA+
AAA
3.94
3.69
3135G0V34 FNMA Note
2.500% Due 02/05/2024
5,000,000.00 02/27/2019
2.58%
4,980,850.00
4,984,110.70
103.09
1.71%
5,154,685.00
50,694.44
0.90%
170,574.30
Aaa / AA+
AAA
4.10
3.85
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
11,110,000.00 Various
1.96%
11,589,031.30
11,537,260.04
105.00
1.71%
11,664,988.94
15,083.37
2.01%
127,728.90
Aaa / AA+
NR
4.46
4.18
3133EKWV4 FFCB Note
1.850% Due 07/26/2024
5,000,000.00 08/13/2019
1.65%
5,048,280.00
5,044,541.50
100.41
1.76%
5,020,595.00
39,826.39
0.87%
(23,946.50)
Aaa / AA+
AAA
4.57
4.33
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
2,500,000.00 09/12/2019
1.73%
2,635,950.00
2,627,764.72
105.23
1.71%
2,630,825.00
21,562.50
0.46%
3,060.28
Aaa / AA+
AAA
4.71
4.37
TOTAL Agency 128,475,000.00 2.22%
129,388,582.45
129,385,532.63 1.64%
131,561,051.09
557,685.79
22.78%
2,175,518.46
Aaa / AA+
Aaa
2.55
2.42
CMO
31398VJ98 FHLMC FHMS K006 A2
4.251% Due 01/25/2020
56,619.55 11/23/2010
3.54%
59,830.94
56,642.60
99.83
0.10%
56,522.66
200.57
0.01%
(119.94)
Aaa / AA+
AAA
0.07
0.00
03215PFN4 AMRESCO Residential Securities 1999-1 A
2.745% Due 06/25/2029
119,021.64 05/20/2011
6.46%
89,377.81
103,484.09
98.20
3.12%
116,882.82
63.52
0.02%
13,398.73
NR / A+
BBB
9.49
5.75
3133TCE95 FHLMC FSPC E3 A
4.025% Due 08/15/2032
6,774.15 03/11/1998
3.99%
6,781.25
6,776.76
100.40
2.00%
6,801.10
22.72
0.00%
24.34
Aaa / AA+
AAA
12.63
0.50
31397QRE0 FNMA FNR 2011-3 FA
2.485% Due 02/25/2041
177,519.84 12/20/2010
2.49%
177,464.37
177,480.83
100.32
2.38%
178,095.00
73.52
0.03%
614.17
Aaa / AA+
AAA
21.17
0.06
31394JY35 FHLMC FSPC T-58 2A
6.500% Due 09/25/2043
670,678.27 06/09/2011
5.40%
759,543.14
736,006.12
115.31
0.86%
773,352.41
726.57
0.13%
37,346.29
Aaa / AA+
AAA
23.75
2.63
TOTAL CMO 1,030,613.45 4.95%
1,092,997.51
1,080,390.40 1.30%
1,131,653.99
1,086.90
0.20%
51,263.59
Aaa / AA+
Aaa
20.62
2.40
Commercial Paper
62479LDQ5 MUFG Bank Ltd Discount CP
1.900% Due 04/24/2020
10,000,000.00 11/19/2019
1.94%
9,917,138.89
9,939,833.33
99.40
1.94%
9,939,833.33
0.00
1.71%
0.00
P-1 / A-1
NR
0.32
0.31
TOTAL Commercial Paper 10,000,000.00 1.94%
9,917,138.89
9,939,833.33 1.94%
9,939,833.33
0.00
1.71%
0.00
P-1 / A-1
NR
0.32
0.31
As of December 31, 2019
39
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Foreign Corporate
404280BF5 HSBC Holdings PLC Note
2.650% Due 01/05/2022
4,500,000.00 Various
3.08%
4,429,980.00
4,463,515.32
101.10
2.09%
4,549,648.50
58,300.00
0.79%
86,133.18
A2 / A
A+
2.02
1.93
89114QC48 Toronto Dominion Bank Note
3.500% Due 07/19/2023
5,000,000.00 02/26/2019
3.04%
5,094,200.00
5,076,147.94
105.26
1.96%
5,263,070.00
78,750.00
0.92%
186,922.06
Aa1 / AA-
AA-
3.55
3.29
89114QCA4 Toronto Dominion Bank Note
2.650% Due 06/12/2024
3,000,000.00 06/12/2019
2.65%
3,000,570.00
3,000,507.22
102.44
2.07%
3,073,179.00
4,195.83
0.53%
72,671.78
Aa3 / A
AA-
4.45
4.18
78013XZU5 Royal Bank of Canada Note
2.550% Due 07/16/2024
6,500,000.00 09/10/2019
2.28%
6,581,445.00
6,576,334.54
101.54
2.19%
6,600,028.50
75,968.75
1.15%
23,693.96
A2 / A
AA
4.55
4.22
TOTAL Foreign Corporate 19,000,000.00 2.73%
19,106,195.00
19,116,505.02 2.09%
19,485,926.00
217,214.58
3.40%
369,420.98
A1 / A+
AA-
3.67
3.43
Money Market Fund FI
31846V567 First American Govt Obligation MMKT Class-Z 6,029,999.80 Various
1.47%
6,029,999.80
6,029,999.80
1.00
1.47%
6,029,999.80
0.00
1.04%
0.00
P-1 / A-1+
F-1
0.00
0.00
TOTAL Money Market Fund FI 6,029,999.80 1.47%
6,029,999.80
6,029,999.80 1.47%
6,029,999.80
0.00
1.04%
0.00
Aaa / AAA
AA
0.00
0.00
Mortgage Pass Thru
31381PDA3 FNMA FN 466397
3.400% Due 11/01/2020
335,148.91 12/01/2010
3.80%
327,896.10
334,537.49
100.38
2.77%
336,413.43
221.57
0.06%
1,875.94
Aaa / AA+
AAA
0.84
0.85
36225CAZ9 GNMA Pool# G2 80023
4.120% Due 12/20/2026
14,453.65 08/08/1997
4.01%
14,693.03
14,510.54
102.71
2.24%
14,845.20
49.62
0.00%
334.66
Aaa / AA+
AAA
6.98
2.35
36225CC20 GNMA Pool# G2 80088
3.410% Due 06/20/2027
12,324.73 08/11/1997
3.27%
12,594.34
12,392.24
101.12
1.99%
12,462.21
35.02
0.00%
69.97
Aaa / AA+
AAA
7.47
1.47
31348SWZ3 FHLMC FH 786064
3.887% Due 01/01/2028
1,792.28 02/18/2000
4.09%
1,748.64
1,779.75
102.49
2.99%
1,836.91
5.81
0.00%
57.16
Aaa / AA+
AAA
8.01
3.77
31371NUC7 FNMA FN 257179
4.500% Due 04/01/2028
14,311.29 12/05/2011
3.72%
15,135.60
14,728.36
105.49
2.08%
15,097.22
53.67
0.00%
368.86
Aaa / AA+
AAA
8.26
2.72
31417YAY3 FNMA Pool# FN MA0022
4.500% Due 04/01/2029
15,442.95 12/05/2011
3.76%
16,332.44
15,918.38
105.51
2.06%
16,293.58
57.91
0.00%
375.20
Aaa / AA+
AAA
9.26
2.87
3138EG6F6 FNMA FN AL0869
4.500% Due 06/01/2029
9,516.84 12/05/2011
3.77%
10,065.01
9,812.27
106.53
2.10%
10,138.43
8.33
0.00%
326.16
Aaa / AA+
AAA
9.42
2.93
36225CNM4 GNMA Pool# G2 80395
3.410% Due 04/20/2030
6,225.09 03/15/2000
3.49%
6,168.65
6,205.65
103.61
2.45%
6,449.68
17.69
0.00%
244.03
Aaa / AA+
AAA
10.31
3.52
As of December 31, 2019
40
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
36225CN28 GNMA Pool# G2 80408
3.410% Due 05/20/2030
46,474.07 03/15/2000
3.49%
46,002.07
46,310.66
103.61
2.28%
48,152.90
132.06
0.01%
1,842.24
Aaa / AA+
AAA
10.39
2.86
31403GXF4 FNMA Pool# FN 748678
5.000% Due 10/01/2033
1,754.07 06/10/2013
4.16%
1,885.63
1,843.56
109.09
2.19%
1,913.54
7.31
0.00%
69.98
Aaa / AA+
AAA
13.76
3.55
36225DCB8 GNMA Pool# G2 80965
3.230% Due 07/20/2034
43,140.68 07/19/2004
3.24%
43,113.73
43,127.57
104.43
2.41%
45,051.90
116.12
0.01%
1,924.33
Aaa / AA+
AAA
14.56
4.08
31406XWT5 FNMA Pool# FN 823358
4.724% Due 02/01/2035
107,908.84 01/11/2006
4.81%
107,065.80
107,470.62
104.60
3.21%
112,875.78
424.78
0.02%
5,405.16
Aaa / AA+
AAA
15.10
6.70
31406PQY8 FNMA Pool# FN 815971
5.000% Due 03/01/2035
146,059.45 06/10/2013
4.21%
157,013.92
153,739.64
110.16
2.17%
160,894.71
608.58
0.03%
7,155.07
Aaa / AA+
AAA
15.18
3.82
31407BXH7 FNMA Pool# FN 826080
5.000% Due 07/01/2035
17,677.82 06/10/2013
4.22%
19,003.66
18,613.40
110.06
2.16%
19,455.36
73.66
0.00%
841.96
Aaa / AA+
AAA
15.51
3.81
31376KT22 FNMA FN 357969
5.000% Due 09/01/2035
91,977.37 06/10/2013
4.22%
98,875.66
96,860.71
110.21
2.20%
101,372.77
89.42
0.02%
4,512.06
Aaa / AA+
AAA
15.68
3.86
31403DJZ3 FNMA Pool #745580
5.000% Due 06/01/2036
87,778.48 06/10/2013
4.26%
94,361.87
92,501.95
110.23
2.21%
96,761.73
365.74
0.02%
4,259.78
Aaa / AA+
AAA
16.43
3.88
31410F4V4 FNMA Pool# FN 888336
5.000% Due 07/01/2036
171,681.01 06/10/2013
4.25%
184,557.10
180,932.39
110.24
2.20%
189,264.75
715.34
0.03%
8,332.36
Aaa / AA+
AAA
16.51
3.86
TOTAL Mortgage Pass Thru 1,123,667.53 4.06%
1,156,513.25
1,151,285.18 2.46%
1,189,280.10
2,982.63
0.21%
37,994.92
Aaa / AA+
Aaa
10.83
3.16
Municipal Bonds
64971M5E8 New York NY TE-REV
4.075% Due 11/01/2020
1,400,000.00 10/27/2010
4.08%
1,400,000.00
1,400,000.00
101.88
1.79%
1,426,334.00
9,508.33
0.25%
26,334.00
Aa1 / AAA
AAA
0.84
0.82
913366EJ5 Univ of California Rgts Med TE-REV
5.035% Due 05/15/2021
400,000.00 11/09/2010
5.04%
400,000.00
400,000.00
104.16
1.95%
416,620.00
2,573.44
0.07%
16,620.00
Aa3 / AA-
AA-
1.37
1.32
TOTAL Municipal Bonds 1,800,000.00 4.29%
1,800,000.00
1,800,000.00 1.82%
1,842,954.00
12,081.77
0.32%
42,954.00
Aa1 / AAA
Aaa
0.96
0.93
Negotiable CD
06367BDS5 Bank of Montreal Chicago Yankee CD
2.000% Due 03/18/2020
8,000,000.00 12/20/2019
1.98%
8,000,389.30
8,000,336.81
100.00
1.98%
8,000,336.81
6,222.22
1.38%
0.00
P-1 / A-1
F-1
0.21
0.21
TOTAL Negotiable CD 8,000,000.00 1.98%
8,000,389.30
8,000,336.81 1.98%
8,000,336.81
6,222.22
1.38%
0.00
Aaa / AA
AA
0.21
0.21
As of December 31, 2019
41
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Supranational
4581X0CX4 Inter-American Dev Bank Note
1.625% Due 05/12/2020
3,035,000.00 04/05/2017
1.70%
3,027,807.05
3,034,156.78
99.94
1.78%
3,033,251.84
6,712.83
0.52%
(904.94)
Aaa / AAA
AAA
0.36
0.36
45950KCM0 International Finance Corp Note
2.250% Due 01/25/2021
2,970,000.00 01/18/2018
2.35%
2,961,268.20
2,966,892.88
100.60
1.68%
2,987,802.18
28,957.50
0.52%
20,909.30
Aaa / AAA
NR
1.07
1.04
4581X0CS5 Inter-American Dev Bank Note
1.875% Due 03/15/2021
5,000,000.00 Various
1.69%
5,059,610.00
5,010,947.83
100.21
1.70%
5,010,325.00
27,604.17
0.87%
(622.83)
Aaa / AAA
AAA
1.21
1.18
45950KCJ7 International Finance Corp Note
1.125% Due 07/20/2021
2,500,000.00 11/09/2016
1.64%
2,441,600.00
2,480,703.79
99.15
1.68%
2,478,847.50
12,578.13
0.43%
(1,856.29)
Aaa / AAA
NR
1.55
1.52
4581X0CW6 Inter-American Dev Bank Note
2.125% Due 01/18/2022
3,000,000.00 01/10/2017
2.15%
2,996,310.00
2,998,488.43
100.86
1.69%
3,025,947.00
28,864.58
0.53%
27,458.57
Aaa / NR
AAA
2.05
1.98
459058FY4 Intl. Bank Recon & Development Note
2.000% Due 01/26/2022
10,000,000.00 Various
1.99%
10,006,350.00
10,001,985.80
100.72
1.65%
10,071,630.00
86,111.12
1.75%
69,644.20
Aaa / NR
AAA
2.07
2.00
4581X0CZ9 Inter-American Dev Bank Note
1.750% Due 09/14/2022
6,500,000.00 Various
2.65%
6,249,655.00
6,351,948.23
100.23
1.66%
6,515,210.00
33,809.02
1.13%
163,261.77
Aaa / AAA
AAA
2.71
2.62
TOTAL Supranational 33,005,000.00 2.07%
32,742,600.25
32,845,123.74 1.68%
33,123,013.52
224,637.35
5.75%
277,889.78
Aaa / AAA
Aaa
1.78
1.73
US Corporate
40428HPR7 HSBC USA Inc Note
2.350% Due 03/05/2020
2,500,000.00 Various
2.64%
2,472,287.50
2,498,787.06
100.05
2.05%
2,501,277.50
18,930.56
0.43%
2,490.44
A2 / A
A+
0.18
0.18
747525AD5 Qualcomm Inc Note
2.250% Due 05/20/2020
5,000,000.00 05/19/2015
2.27%
4,995,195.40
4,999,631.43
100.11
1.96%
5,005,495.00
12,812.51
0.87%
5,863.57
A2 / A-
NR
0.39
0.38
94974BGM6 Wells Fargo Corp Note
2.600% Due 07/22/2020
5,000,000.00 07/16/2015
2.59%
5,001,650.00
5,000,183.33
100.38
1.91%
5,019,105.00
57,416.67
0.88%
18,921.67
A2 / A-
A+
0.56
0.55
037833BS8 Apple Inc Callable Note Cont 1/23/2021
2.250% Due 02/23/2021
4,000,000.00 05/23/2016
1.96%
4,050,840.00
4,011,583.04
100.60
1.68%
4,023,808.00
32,000.00
0.70%
12,224.96
Aa1 / AA+
NR
1.15
1.04
30231GAV4 Exxon Mobil Corp Callable Note Cont 2/1/2021
2.222% Due 03/01/2021
3,000,000.00 Various
2.10%
3,016,097.40
3,003,934.10
100.59
1.71%
3,017,709.01
22,220.00
0.52%
13,774.91
Aaa / AA+
NR
1.17
1.14
369550BE7 General Dynamics Corp Note
3.000% Due 05/11/2021
3,160,000.00 05/08/2018
3.24%
3,138,038.00
3,150,060.99
101.68
1.74%
3,213,179.64
13,166.67
0.56%
63,118.65
A2 / A+
NR
1.36
1.33
166764BG4 Chevron Corp Callable Note Cont 4/15/2021
2.100% Due 05/16/2021
2,500,000.00 05/20/2016
2.23%
2,485,350.00
2,495,960.57
100.63
1.60%
2,515,787.50
6,562.50
0.43%
19,826.93
Aa2 / AA
NR
1.38
1.27
61747WAL3 Morgan Stanley Note
5.500% Due 07/28/2021
2,800,000.00 06/06/2014
3.24%
3,200,848.00
2,888,358.97
105.34
2.03%
2,949,601.20
65,450.00
0.52%
61,242.23
A3 / BBB+
A
1.58
1.48
As of December 31, 2019
42
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
594918BP8 Microsoft Callable Note Cont 7/8/2021
1.550% Due 08/08/2021
3,045,000.00 Various
1.57%
3,041,385.15
3,043,841.90
99.87
1.63%
3,040,971.47
18,747.89
0.53%
(2,870.43)
Aaa / AAA
AA+
1.61
1.57
68389XBK0 Oracle Corp Callable Note Cont 8/15/2021
1.900% Due 09/15/2021
3,000,000.00 06/28/2018
3.08%
2,892,240.00
2,942,815.60
100.21
1.77%
3,006,285.00
16,783.33
0.52%
63,469.40
A1 / A+
A
1.71
1.59
06406RAA5 Bank of NY Mellon Corp Callable Note Cont 1/7/2022
2.600% Due 02/07/2022
2,500,000.00 02/08/2017
2.56%
2,504,475.00
2,501,843.53
101.52
1.83%
2,538,017.50
26,000.00
0.44%
36,173.97
A1 / A
AA-
2.11
1.94
69353RFB9 PNC Bank Callable Note Cont 1/18/2022
2.625% Due 02/17/2022
1,000,000.00 03/26/2018
3.32%
974,940.00
986,289.25
101.41
1.92%
1,014,074.00
9,770.83
0.18%
27,784.75
A2 / A
A+
2.13
1.97
084664BT7 Berkshire Hathaway Note
3.000% Due 05/15/2022
4,000,000.00 05/23/2017
2.30%
4,131,120.00
4,062,489.70
102.74
1.81%
4,109,608.00
15,333.33
0.71%
47,118.30
Aa2 / AA
A+
2.37
2.28
95000U2B8 Wells Fargo & Company Note
2.625% Due 07/22/2022
3,000,000.00 Various
2.99%
2,954,520.00
2,974,118.80
101.49
2.02%
3,044,832.00
34,781.26
0.53%
70,713.20
A2 / A-
A+
2.56
2.44
00440EAU1 Chubb INA Holdings Inc Callable Note Cont 9/3/2022
2.875% Due 11/03/2022
4,169,000.00 Various
2.54%
4,232,453.17
4,204,256.29
102.61
1.87%
4,277,690.00
19,310.58
0.74%
73,433.71
A3 / A
A
2.84
2.56
90331HNL3 US Bank NA Callable Note Cont 12/23/22
2.850% Due 01/23/2023
5,000,000.00 01/29/2018
2.93%
4,981,600.00
4,988,684.71
102.41
2.01%
5,120,720.00
62,541.67
0.89%
132,035.29
A1 / AA-
AA-
3.07
2.82
808513AT2 Charles Schwab Corp Callable Note Cont 12/25/2022
2.650% Due 01/25/2023
6,750,000.00 05/21/2019
2.74%
6,729,480.00
6,732,887.27
101.96
1.97%
6,882,246.00
77,512.50
1.20%
149,358.73
A2 / A
A
3.07
2.83
06406RAE7 Bank of NY Mellon Corp Callable Note Cont 12/29/2022
2.950% Due 01/29/2023
2,500,000.00 Various
3.03%
2,489,555.00
2,494,142.78
102.70
2.01%
2,567,512.50
31,138.89
0.45%
73,369.72
A1 / A
AA-
3.08
2.83
44932HAH6 IBM Credit Corp Note
3.000% Due 02/06/2023
5,670,000.00 Various
3.26%
5,603,264.40
5,627,320.10
102.94
2.02%
5,836,510.90
68,512.50
1.02%
209,190.80
A2 / A
NR
3.10
2.92
00440EAP2 Chubb INA Holdings Inc Note
2.700% Due 03/13/2023
2,000,000.00 05/24/2018
3.42%
1,937,000.00
1,957,963.98
102.13
2.01%
2,042,688.00
16,200.00
0.36%
84,724.02
A3 / A
A
3.20
3.03
084670BR8 Berkshire Hathaway Callable Note Cont 1/15/2023
2.750% Due 03/15/2023
2,500,000.00 04/20/2018
3.28%
2,440,950.00
2,461,349.69
102.54
1.88%
2,563,560.00
20,243.06
0.45%
102,210.31
Aa2 / AA
A+
3.21
2.89
58933YAF2 Merck & Co Note
2.800% Due 05/18/2023
2,000,000.00 10/26/2018
3.41%
1,948,640.00
1,961,874.24
103.04
1.87%
2,060,754.00
6,688.89
0.36%
98,879.76
A1 / AA
A+
3.38
3.21
46625HRL6 JP Morgan Chase Callable Note Cont 3/18/2023
2.700% Due 05/18/2023
5,000,000.00 Various
3.59%
4,821,910.00
4,862,536.18
101.82
2.11%
5,090,975.00
16,125.00
0.88%
228,438.82
A2 / A-
AA-
3.38
3.06
69353RFL7 PNC Bank Callable Note Cont 5/9/2023
3.500% Due 06/08/2023
5,000,000.00 Various
3.53%
4,993,318.05
4,995,404.19
104.91
1.98%
5,245,340.00
11,180.56
0.91%
249,935.81
A2 / A
NR
3.44
3.16
As of December 31, 2019
43
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
166764AH3 Chevron Corp Callable Note Cont 3/24/2023
3.191% Due 06/24/2023
3,500,000.00 11/08/2018
3.59%
3,441,095.00
3,455,576.40
104.11
1.87%
3,643,720.50
2,171.65
0.63%
188,144.10
Aa2 / AA
NR
3.48
3.07
931142EK5 Wal-Mart Stores Callable Note Cont 5/26/2023
3.400% Due 06/26/2023
3,880,000.00 Various
3.41%
3,878,991.40
3,879,297.02
105.15
1.83%
4,079,816.12
1,832.22
0.70%
200,519.10
Aa2 / AA
AA
3.49
3.22
02665WCJ8 American Honda Finance Note
3.450% Due 07/14/2023
845,000.00 07/11/2018
3.49%
843,538.15
843,966.13
104.69
2.07%
884,653.32
13,523.52
0.15%
40,687.19
A2 / A
NR
3.54
3.28
02665WCQ2 American Honda Finance Note
3.625% Due 10/10/2023
2,000,000.00 Various
3.64%
1,998,320.00
1,998,713.91
105.60
2.07%
2,112,076.00
16,312.50
0.37%
113,362.09
A2 / A
NR
3.78
3.51
24422EUM9 John Deere Capital Corp Note
3.650% Due 10/12/2023
1,250,000.00 11/28/2018
3.64%
1,250,237.50
1,250,184.44
105.98
2.00%
1,324,747.50
10,012.15
0.23%
74,563.06
A2 / A
A
3.78
3.51
06051GHF9 Bank of America Corp Callable Note 1X 3/5/2023
3.550% Due 03/05/2024
6,675,000.00 Various
3.10%
6,770,625.75
6,756,268.34
103.79
2.30%
6,927,682.13
76,354.59
1.21%
171,413.79
A2 / A-
A+
4.18
2.97
09247XAL5 Blackrock Inc Note
3.500% Due 03/18/2024
1,000,000.00 05/09/2019
2.69%
1,036,330.00
1,031,550.28
106.39
1.91%
1,063,928.00
10,013.89
0.19%
32,377.72
Aa3 / AA-
NR
4.22
3.89
458140BD1 Intel Corp Callable Note Cont 3/11/2024
2.875% Due 05/11/2024
5,000,000.00 05/09/2019
2.76%
5,025,900.00
5,022,478.97
103.87
1.91%
5,193,700.00
19,965.28
0.90%
171,221.03
A1 / A+
A+
4.36
3.94
037833CU2 Apple Inc Callable Note Cont 3/11/2024
2.850% Due 05/11/2024
3,000,000.00 05/17/2019
2.72%
3,017,760.00
3,015,484.37
103.44
1.99%
3,103,317.00
11,875.00
0.54%
87,832.63
Aa1 / AA+
NR
4.36
3.94
02665WCZ2 American Honda Finance Note
2.400% Due 06/27/2024
1,219,000.00 07/10/2019
2.49%
1,213,843.63
1,214,335.93
101.12
2.14%
1,232,643.05
325.07
0.21%
18,307.12
A2 / A
NR
4.49
4.24
46647PAU0 JP Morgan Chase & Co Callable Note Cont 7/23/2023
3.797% Due 07/23/2024
2,500,000.00 09/12/2019
2.35%
2,632,175.00
2,622,116.16
105.41
2.33%
2,635,125.00
41,661.53
0.46%
13,008.84
A2 / A-
AA-
4.56
4.13
TOTAL US Corporate 115,963,000.00 2.88%
116,145,973.50
115,936,289.65 1.94%
118,889,155.84
883,476.60
20.65%
2,952,866.19
A1 / A+
A+
2.72
2.46
US Treasury
9128283S7 US Treasury Note
2.000% Due 01/31/2020
5,000,000.00 12/20/2019
1.62%
5,001,953.13
5,001,502.41
100.03
1.67%
5,001,325.00
41,847.83
0.87%
(177.41)
Aaa / AA+
AAA
0.08
0.08
912828XE5 US Treasury Note
1.500% Due 05/31/2020
5,000,000.00 12/21/2016
1.70%
4,966,423.00
4,995,963.27
99.94
1.63%
4,997,240.00
6,557.38
0.86%
1,276.73
Aaa / AA+
AAA
0.42
0.41
912828L99 US Treasury Note
1.375% Due 10/31/2020
10,000,000.00 Various
1.81%
9,850,311.40
9,965,433.22
99.77
1.65%
9,976,950.00
23,420.33
1.72%
11,516.78
Aaa / AA+
AAA
0.84
0.82
912828N89 US Treasury Note
1.375% Due 01/31/2021
6,000,000.00 Various
1.81%
5,895,840.41
5,972,750.16
99.72
1.63%
5,983,362.00
34,524.45
1.04%
10,611.84
Aaa / AA+
AAA
1.09
1.07
As of December 31, 2019
44
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
912828T34 US Treasury Note
1.125% Due 09/30/2021
7,000,000.00 Various
1.88%
6,757,914.08
6,911,972.91
99.20
1.59%
6,943,671.00
20,010.25
1.20%
31,698.09
Aaa / AA+
AAA
1.75
1.72
912828T67 US Treasury Note
1.250% Due 10/31/2021
6,000,000.00 12/13/2016
1.92%
5,813,691.98
5,930,056.08
99.40
1.58%
5,963,904.00
12,774.73
1.03%
33,847.92
Aaa / AA+
AAA
1.84
1.80
912828U65 US Treasury Note
1.750% Due 11/30/2021
7,000,000.00 12/28/2016
2.06%
6,900,492.20
6,961,293.29
100.31
1.59%
7,021,602.00
10,710.38
1.21%
60,308.71
Aaa / AA+
AAA
1.92
1.87
912828V72 US Treasury Note
1.875% Due 01/31/2022
3,000,000.00 02/27/2017
1.84%
3,004,814.74
3,002,037.83
100.59
1.59%
3,017,577.00
23,539.40
0.52%
15,539.17
Aaa / AA+
AAA
2.09
2.02
912828J76 US Treasury Note
1.750% Due 03/31/2022
5,000,000.00 04/25/2017
1.85%
4,976,383.94
4,989,241.57
100.38
1.58%
5,018,750.00
22,233.61
0.87%
29,508.43
Aaa / AA+
AAA
2.25
2.19
912828XW5 US Treasury Note
1.750% Due 06/30/2022
5,000,000.00 07/25/2017
1.86%
4,973,454.25
4,986,564.90
100.41
1.58%
5,020,705.00
240.38
0.87%
34,140.10
Aaa / AA+
AAA
2.50
2.44
912828L24 US Treasury Note
1.875% Due 08/31/2022
6,000,000.00 09/27/2017
1.92%
5,987,832.60
5,993,415.53
100.73
1.59%
6,044,064.00
38,015.11
1.05%
50,648.47
Aaa / AA+
AAA
2.67
2.58
912828L57 US Treasury Note
1.750% Due 09/30/2022
20,000,000.00 Various
1.98%
19,778,320.32
19,878,854.58
100.40
1.60%
20,080,460.00
88,934.42
3.48%
201,605.42
Aaa / AA+
AAA
2.75
2.66
912828M80 US Treasury Note
2.000% Due 11/30/2022
8,000,000.00 12/22/2017
2.25%
7,907,500.00
7,945,322.22
101.13
1.60%
8,090,312.00
13,989.07
1.40%
144,989.78
Aaa / AA+
AAA
2.92
2.82
912828N30 US Treasury Note
2.125% Due 12/31/2022
5,000,000.00 01/24/2018
2.44%
4,926,562.50
4,955,350.33
101.52
1.60%
5,076,170.00
291.90
0.88%
120,819.67
Aaa / AA+
AAA
3.00
2.90
9128284D9 US Treasury Note
2.500% Due 03/31/2023
10,000,000.00 Various
2.75%
9,887,265.63
9,925,935.46
102.77
1.62%
10,277,340.00
63,524.59
1.78%
351,404.54
Aaa / AA+
AAA
3.25
3.10
912828R69 US Treasury Note
1.625% Due 05/31/2023
5,000,000.00 05/30/2018
2.67%
4,757,226.56
4,834,339.70
100.00
1.62%
5,000,195.00
7,103.83
0.86%
165,855.30
Aaa / AA+
AAA
3.42
3.30
912828U57 US Treasury Note
2.125% Due 11/30/2023
15,000,000.00 Various
2.53%
14,723,632.81
14,776,117.51
101.78
1.65%
15,267,180.00
27,868.85
2.64%
491,062.49
Aaa / AA+
AAA
3.92
3.74
912828V80 US Treasury Note
2.250% Due 01/31/2024
7,500,000.00 Various
2.27%
7,491,503.91
7,492,740.98
102.32
1.66%
7,673,730.00
70,618.20
1.34%
180,989.02
Aaa / AA+
AAA
4.09
3.86
912828W48 US Treasury Note
2.125% Due 02/29/2024
10,000,000.00 04/24/2019
2.32%
9,911,718.75
9,924,230.66
101.86
1.66%
10,185,550.00
71,806.32
1.77%
261,319.34
Aaa / AA+
AAA
4.17
3.95
912828WJ5 US Treasury Note
2.500% Due 05/15/2024
7,000,000.00 06/10/2019
1.91%
7,193,046.88
7,171,168.23
103.47
1.67%
7,243,089.00
22,596.15
1.25%
71,920.77
Aaa / AA+
AAA
4.38
4.13
912828XX3 US Treasury Note
2.000% Due 06/30/2024
5,000,000.00 07/12/2019
1.88%
5,028,710.94
5,026,017.31
101.39
1.68%
5,069,335.00
274.73
0.87%
43,317.69
Aaa / AA+
AAA
4.50
4.29
912828WU0 US Treasury Inflation Index Note
0.125% Due 07/15/2024
11,270,792.00 Various
0.23%
11,157,868.09
11,219,344.40
100.60
(0.01%)
11,337,898.31
6,508.28
1.96%
118,553.91
Aaa / AA+
AAA
4.54
4.53
As of December 31, 2019
45
Holdings Report
Orange County Sanitation District Long Term - Account #10268
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
912828YH7 US Treasury Note
1.500% Due 09/30/2024
14,000,000.00 Various
1.72%
13,859,296.88
13,860,371.27
99.17
1.68%
13,883,520.00
53,360.65
2.40%
23,148.73
Aaa / AA+
AAA
4.75
4.55
9128283J7 US Treasury Note
2.125% Due 11/30/2024
16,500,000.00 Various
1.76%
16,783,886.72
16,781,847.12
102.04
1.69%
16,837,095.00
30,655.74
2.91%
55,247.88
Aaa / AA+
AAA
4.92
4.65
TOTAL US Treasury 199,270,792.00 1.95%
197,535,651.72
198,501,870.94 1.54%
201,011,024.31
691,406.58
34.78%
2,509,153.37
Aaa / AA+
Aaa
3.15
3.03
TOTAL PORTFOLIO 568,552,826.41 2.31%
567,620,155.03
568,549,613.42 1.72%
577,252,332.95
2,642,856.56
100.00%
8,702,719.53
Aa1 / AA
Aaa
2.74
2.41
TOTAL MARKET VALUE PLUS ACCRUALS 579,895,189.51
As of December 31, 2019
46
Holdings Report
Orange County Sanitation District Liquid - Account #10282
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Agency
313384RU5 FHLB Discount Note
1.570% Due 01/14/2020
1,200,000.00 12/20/2019
1.59%
1,198,691.67
1,199,319.67
99.94
1.59%
1,199,319.67
0.00
0.68%
0.00
P-1 / A-1+
F-1+
0.04
0.04
313384SD2 FHLB Discount Note
1.570% Due 01/23/2020
5,000,000.00 12/20/2019
1.59%
4,992,586.11
4,995,202.78
99.90
1.59%
4,995,202.78
0.00
2.84%
0.00
P-1 / A-1+
F-1+
0.06
0.06
313384SK6 FHLB Discount Note
1.565% Due 01/29/2020
4,500,000.00 12/20/2019
1.59%
4,492,175.00
4,494,522.50
99.88
1.59%
4,494,522.50
0.00
2.56%
0.00
P-1 / A-1+
F-1+
0.08
0.08
TOTAL Agency 10,700,000.00 1.59%
10,683,452.78
10,689,044.95 1.59%
10,689,044.95
0.00
6.09%
0.00
Aaa / AAA
Aaa
0.07
0.07
Commercial Paper
69372AAF9 Paccar Financial Discount CP
1.850% Due 01/15/2020
1,100,000.00 10/18/2019
1.88%
1,094,969.03
1,099,208.61
99.93
1.88%
1,099,208.61
0.00
0.63%
0.00
P-1 / A-1
NR
0.04
0.04
89233GAH9 Toyota Motor Credit Discount CP
2.560% Due 01/17/2020
2,000,000.00 04/23/2019
2.63%
1,961,884.44
1,997,724.44
99.89
2.63%
1,997,724.44
0.00
1.14%
0.00
P-1 / A-1+
NR
0.05
0.05
62479LDQ5 MUFG Bank Ltd Discount CP
1.900% Due 04/24/2020
1,365,000.00 11/19/2019
1.94%
1,353,689.46
1,356,787.25
99.40
1.94%
1,356,787.25
0.00
0.77%
0.00
P-1 / A-1
NR
0.32
0.31
TOTAL Commercial Paper 4,465,000.00 2.24%
4,410,542.93
4,453,720.30 2.24%
4,453,720.30
0.00
2.54%
0.00
P-1 / A-1
NR
0.13
0.13
Foreign Corporate
78012KC62 Royal Bank of Canada Note
2.125% Due 03/02/2020
2,000,000.00 10/17/2019
1.93%
2,001,340.00
2,000,614.59
100.04
1.89%
2,000,732.00
14,048.61
1.15%
117.41
Aa2 / AA-
AA
0.17
0.17
TOTAL Foreign Corporate 2,000,000.00 1.93%
2,001,340.00
2,000,614.59 1.89%
2,000,732.00
14,048.61
1.15%
117.41
Aa2 / AA-
AA
0.17
0.17
Money Market Fund FI
31846V567 First American Govt Obligation MMKT Class-Z 5,270,167.57 Various
1.47%
5,270,167.57
5,270,167.57
1.00
1.47%
5,270,167.57
0.00
3.00%
0.00
P-1 / A-1+
F-1
0.00
0.00
TOTAL Money Market Fund FI 5,270,167.57 1.47%
5,270,167.57
5,270,167.57 1.47%
5,270,167.57
0.00
3.00%
0.00
Aaa / AAA
AA
0.00
0.00
Negotiable CD
89114M2Z9 Toronto Dominion Bank Yankee CD
2.200% Due 01/23/2020
2,000,000.00 12/20/2019
2.03%
2,000,285.65
2,000,184.83
100.01
2.03%
2,000,184.83
19,677.78
1.15%
0.00
P-1 / A-1+
F-1+
0.06
0.06
As of December 31, 2019
47
Holdings Report
Orange County Sanitation District Liquid - Account #10282
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
06367BDS5 Bank of Montreal Chicago Yankee CD
2.000% Due 03/18/2020
1,000,000.00 12/19/2019
1.98%
1,000,049.48
1,000,042.33
100.00
1.98%
1,000,042.33
777.78
0.57%
0.00
P-1 / A-1
F-1
0.21
0.21
06367BED7 Bank of Montreal Chicago Yankee CD
1.890% Due 05/21/2020
1,000,000.00 12/23/2019
1.89%
1,000,000.00
1,000,000.00
100.00
1.89%
1,000,000.00
420.00
0.57%
0.00
P-1 / A-1
F-1+
0.39
0.39
TOTAL Negotiable CD 4,000,000.00 1.98%
4,000,335.13
4,000,227.16 1.98%
4,000,227.16
20,875.56
2.29%
0.00
Aaa / AAA
Aaa
0.18
0.18
US Corporate
94974BGF1 Wells Fargo Corp Note
2.150% Due 01/30/2020
1,000,000.00 05/21/2019
2.65%
996,600.00
999,608.73
100.02
1.95%
1,000,150.00
9,018.06
0.57%
541.27
A2 / A-
A+
0.08
0.08
06406HCZ0 Bank of New York Callable Note Cont 1/24/2020
2.150% Due 02/24/2020
2,000,000.00 Various
2.46%
1,994,230.00
1,998,995.29
100.01
1.93%
2,000,168.00
15,169.44
1.15%
1,172.71
A1 / A
AA-
0.15
0.07
40428HPR7 HSBC USA Inc Note
2.350% Due 03/05/2020
2,500,000.00 05/10/2019
2.69%
2,493,300.00
2,498,551.35
100.05
2.05%
2,501,277.50
18,930.56
1.44%
2,726.15
A2 / A
A+
0.18
0.18
06051GFN4 Bank of America Corp Note
2.250% Due 04/21/2020
2,000,000.00 08/07/2019
2.11%
2,001,960.00
2,000,849.84
100.09
1.93%
2,001,872.00
8,750.00
1.14%
1,022.16
A2 / A-
A+
0.31
0.30
369550BA5 General Dynamics Corp Note
2.875% Due 05/11/2020
2,000,000.00 08/13/2019
2.10%
2,011,340.00
2,005,502.00
100.35
1.90%
2,006,934.00
7,986.11
1.15%
1,432.00
A2 / A+
NR
0.36
0.36
747525AD5 Qualcomm Inc Note
2.250% Due 05/20/2020
2,000,000.00 08/07/2019
2.07%
2,002,700.00
2,001,326.32
100.11
1.96%
2,002,198.00
5,125.00
1.14%
871.68
A2 / A-
NR
0.39
0.38
TOTAL US Corporate 11,500,000.00 2.33%
11,500,130.00
11,504,833.53 1.96%
11,512,599.50
64,979.17
6.59%
7,765.97
A2 / A
A+
0.26
0.24
US Treasury
912796RT8 US Treasury Bill
1.486% Due 01/02/2020
7,500,000.00 12/20/2019
1.51%
7,496,905.21
7,499,690.52
100.00
1.51%
7,499,690.52
0.00
4.27%
0.00
P-1 / A-1+
F-1+
0.01
0.01
912796WM7 US Treasury Bill
1.498% Due 01/07/2020
7,500,000.00 12/20/2019
1.52%
7,495,320.31
7,498,128.12
99.98
1.52%
7,498,128.12
0.00
4.27%
0.00
P-1 / A-1+
F-1+
0.02
0.02
912796RY7 US Treasury Bill
1.669% Due 01/30/2020
21,000,000.00 Various
1.70%
20,909,107.77
20,971,772.94
99.86
1.70%
20,971,772.94
0.00
11.94%
0.00
P-1 / A-1+
F-1+
0.08
0.08
912828H52 US Treasury Note
1.250% Due 01/31/2020
13,500,000.00 Various
2.35%
13,396,542.97
13,488,027.47
99.97
1.62%
13,495,653.00
70,618.20
7.72%
7,625.53
Aaa / AA+
AAA
0.08
0.08
912828UL2 US Treasury Note
1.375% Due 01/31/2020
5,000,000.00 08/27/2019
1.91%
4,988,671.88
4,997,821.52
99.98
1.63%
4,998,880.00
28,770.38
2.86%
1,058.48
Aaa / AA+
AAA
0.08
0.08
9128283S7 US Treasury Note
2.000% Due 01/31/2020
30,000,000.00 Various
2.02%
29,961,132.82
29,999,426.25
100.03
1.67%
30,007,950.00
251,086.97
17.23%
8,523.75
Aaa / AA+
AAA
0.08
0.08
As of December 31, 2019
48
Holdings Report
Orange County Sanitation District Liquid - Account #10282
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
912828MP2 US Treasury Note
3.625% Due 02/15/2020
5,000,000.00 12/23/2019
1.70%
5,013,671.88
5,011,608.20
100.23
1.74%
5,011,585.00
68,461.28
2.89%
(23.20)
Aaa / AA+
AAA
0.13
0.12
912796TH2 US Treasury Bill
1.532% Due 03/05/2020
7,500,000.00 12/20/2019
1.56%
7,476,699.31
7,479,572.00
99.73
1.56%
7,479,572.00
0.00
4.26%
0.00
P-1 / A-1+
F-1+
0.18
0.18
912828VJ6 US Treasury Note
1.875% Due 06/30/2020
15,000,000.00 12/20/2019
1.59%
15,022,265.63
15,021,210.94
100.12
1.63%
15,018,165.00
772.66
8.55%
(3,045.94)
Aaa / AA+
AAA
0.50
0.50
912828XY1 US Treasury Note
2.500% Due 06/30/2020
5,000,000.00 12/24/2019
1.63%
5,022,070.31
5,021,362.17
100.42
1.65%
5,021,095.00
343.41
2.86%
(267.17)
Aaa / AA+
AAA
0.50
0.50
912828VV9 US Treasury Note
2.125% Due 08/31/2020
15,000,000.00 12/20/2019
1.64%
15,049,804.69
15,048,025.95
100.30
1.66%
15,045,705.00
107,709.48
8.63%
(2,320.95)
Aaa / AA+
AAA
0.67
0.65
912828L32 US Treasury Note
1.375% Due 08/31/2020
5,000,000.00 12/24/2019
1.64%
4,991,015.63
4,991,232.12
99.83
1.63%
4,991,600.00
23,231.46
2.86%
367.88
Aaa / AA+
AAA
0.67
0.66
TOTAL US Treasury 137,000,000.00 1.79%
136,823,208.41
137,027,878.20 1.64%
137,039,796.58
550,993.84
78.35%
11,918.38
Aaa / AAA
Aaa
0.23
0.23
TOTAL PORTFOLIO 174,935,167.57 1.82%
174,689,176.82
174,946,486.30 1.68%
174,966,288.06
650,897.18
100.00%
19,801.76
Aaa / AA+
Aaa
0.21
0.21
TOTAL MARKET VALUE PLUS ACCRUALS 175,617,185.24
As of December 31, 2019
49
Holdings Report
OCSD Lehman Exposure - Account #10284
CUSIP Security Description Par Value/Units
Purchase Date
Book Yield
Cost Value
Book Value
Mkt Price
Mkt YTM
Market Value
Accrued Int.
% of Port.
Gain/Loss
Moody/S&P
Fitch
Maturity
Duration
Common Stock
SLHOPNTA4 Lehman Brothers, Inc Open Position Long Exposure
0.000% Due 12/31/2019
60,641.49 11/21/2014
0.00%
57,842.64
57,842.64
0.42
0.00%
25,621.03
0.00
43.99%
(32,221.61)
NR / NR
NR
0.00
0.00
TOTAL Common Stock 60,641.49 0.00%
57,842.64
57,842.64 0.00%
25,621.03
0.00
43.99%
(32,221.61)
NR / NR
NR
0.00
0.00
US Corporate
525ESCIB7 Lehman Brothers Note-Defaulted
0.000% Due 01/24/2020
600,000.00 09/19/2008
0.00%
319,005.35
319,005.35
1.27
0.00%
7,620.00
0.00
13.08%
(311,385.35)
NR / NR
NR
0.07
0.00
525ESC0Y6 Lehman Brothers Note-Defaulted
0.000% Due 10/22/2049
2,000,000.00 09/18/2008
0.00%
1,027,939.99
1,027,939.99
1.25
0.00%
25,000.00
0.00
42.93%
(1,002,939.99)
NR / NR
NR
29.83
0.00
TOTAL US Corporate 2,600,000.00 0.00%
1,346,945.34
1,346,945.34 0.00%
32,620.00
0.00
56.01%
(1,314,325.34)
NR / NR
NR
22.88
0.00
TOTAL PORTFOLIO 2,660,641.49 0.00%
1,404,787.98
1,404,787.98 0.00%
58,241.03
0.00
100.00%
(1,346,546.95)
NR / NR
NR
12.81
0.00
TOTAL MARKET VALUE PLUS ACCRUALS 58,241.03
As of December 31, 2019
50
SECTION ||||||||||||||Section 5 |Transactions
51
Transaction Ledger
Orange County Sanitation District Long Term - Account #10268
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price
Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 10/23/2019 65479JAD5 4,185,000.00 Nissan Auto Receivables Owner 2019-C A3
1.93% Due: 07/15/2024
99.995 1.94% 4,184,779.03 0.00 4,184,779.03 0.00
Purchase 11/19/2019 62479LDQ5 10,000,000.00 MUFG Bank Ltd Discount CP
1.9% Due: 04/24/2020
99.171 1.94% 9,917,138.89 0.00 9,917,138.89 0.00
Purchase 12/09/2019 912828YH7 6,000,000.00 US Treasury Note
1.5% Due: 09/30/2024
99.160 1.68% 5,949,609.38 17,213.11 5,966,822.49 0.00
Purchase 12/13/2019 9128283J7 7,500,000.00 US Treasury Note
2.125% Due: 11/30/2024
101.723 1.76% 7,629,199.22 5,660.86 7,634,860.08 0.00
Purchase 12/20/2019 06367BDS5 8,000,000.00 Bank of Montreal Chicago Yankee CD
2% Due: 03/18/2020
100.005 1.98% 8,000,389.30 888.89 8,001,278.19 0.00
Purchase 12/23/2019 9128283S7 5,000,000.00 US Treasury Note
2% Due: 01/31/2020
100.039 1.62% 5,001,953.13 39,402.17 5,041,355.30 0.00
Purchase 12/24/2019 9128283J7 9,000,000.00 US Treasury Note
2.125% Due: 11/30/2024
101.719 1.76% 9,154,687.50 12,540.98 9,167,228.48 0.00
Purchase 12/24/2019 912828L57 7,000,000.00 US Treasury Note
1.75% Due: 09/30/2022
100.211 1.67% 7,014,765.63 28,449.45 7,043,215.08 0.00
Purchase 12/24/2019 912828YH7 8,000,000.00 US Treasury Note
1.5% Due: 09/30/2024
98.871 1.75% 7,909,687.50 27,868.85 7,937,556.35 0.00
Subtotal 64,685,000.00 64,762,209.58 132,024.31 64,894,233.89 0.00
Security
Contribution
10/31/2019 912828WU0 104.00 US Treasury Inflation Index Note
0.125% Due: 07/15/2024
100.000 104.00 0.04 104.04 0.00
Security
Contribution
11/30/2019 912828WU0 8,528.00 US Treasury Inflation Index Note
0.125% Due: 07/15/2024
100.000 8,528.00 4.00 8,532.00 0.00
September 30, 2019 through December 31, 2019
As of December 31, 2019
52
Transaction Ledger
Orange County Sanitation District Long Term - Account #10268
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price
Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Security
Contribution
12/31/2019 912828WU0 25,168.00 US Treasury Inflation Index Note
0.125% Due: 07/15/2024
100.000 25,168.00 0.00 25,168.00 0.00
Subtotal 33,800.00 33,800.00 4.04 33,804.04 0.00
TOTAL ACQUISITIONS 64,718,800.00 64,796,009.58 132,028.35 64,928,037.93 0.00
DISPOSITIONS
Sale 10/31/2019 912828G61 5,000,000.00 US Treasury Note
1.5% Due: 11/30/2019
99.980 1.73% 4,999,023.44 31,352.46 5,030,375.90 -418.18
Subtotal 5,000,000.00 4,999,023.44 31,352.46 5,030,375.90 -418.18
Maturity 10/02/2019 3137EADM8 7,500,000.00 FHLMC Note
1.25% Due: 10/02/2019
100.000 7,500,000.00 0.00 7,500,000.00 0.00
Maturity 11/19/2019 62479MYK3 11,255,000.00 MUFG Bank Ltd/NY Discount CP
2.12% Due: 11/19/2019
99.464 11,255,000.00 0.00 11,255,000.00 0.00
Maturity 11/30/2019 912828G61 2,500,000.00 US Treasury Note
1.5% Due: 11/30/2019
100.000 2,500,000.00 0.00 2,500,000.00 0.00
Maturity 12/01/2019 73358WAG9 2,440,000.00 Port Authority of NY & NJ TE-REV
5.309% Due: 12/01/2019
100.000 2,440,000.00 0.00 2,440,000.00 0.00
Subtotal 23,695,000.00 23,695,000.00 0.00 23,695,000.00 0.00
TOTAL DISPOSITIONS 28,695,000.00 28,694,023.44 31,352.46 28,725,375.90 -418.18
September 30, 2019 through December 31, 2019
As of December 31, 2019
53
Transaction Ledger
Orange County Sanitation District Liquid - Account #10282
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price
Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
ACQUISITIONS
Purchase 10/17/2019 06406HCZ0 500,000.00 Bank of New York Callable Note Cont 1/24/2020
2.15% Due: 02/24/2020
100.061 1.92% 500,305.00 1,582.64 501,887.64 0.00
Purchase 10/17/2019 90331HNB5 2,000,000.00 US Bank NA Callable Note Cont 12/24/2019
2% Due: 01/24/2020
100.012 1.93% 2,000,240.00 9,222.22 2,009,462.22 0.00
Purchase 10/18/2019 69372AAF9 1,100,000.00 Paccar Financial Discount CP
1.85% Due: 01/15/2020
99.543 1.88% 1,094,969.03 0.00 1,094,969.03 0.00
Purchase 10/21/2019 78012KC62 2,000,000.00 Royal Bank of Canada Note
2.125% Due: 03/02/2020
100.067 1.93% 2,001,340.00 5,784.72 2,007,124.72 0.00
Purchase 10/31/2019 912796RY7 3,000,000.00 US Treasury Bill
1.535% Due: 01/30/2020
99.612 1.56% 2,988,359.58 0.00 2,988,359.58 0.00
Purchase 11/19/2019 62479LDQ5 1,365,000.00 MUFG Bank Ltd Discount CP
1.9% Due: 04/24/2020
99.171 1.94% 1,353,689.46 0.00 1,353,689.46 0.00
Purchase 11/29/2019 912796RY7 11,000,000.00 US Treasury Bill
1.566% Due: 01/30/2020
99.730 1.59% 10,970,333.00 0.00 10,970,333.00 0.00
Purchase 12/19/2019 06367BDS5 1,000,000.00 Bank of Montreal Chicago Yankee CD
2% Due: 03/18/2020
100.005 1.98% 1,000,049.48 55.56 1,000,105.04 0.00
Purchase 12/20/2019 313384RU5 1,200,000.00 FHLB Discount Note
1.57% Due: 01/14/2020
99.891 1.59% 1,198,691.67 0.00 1,198,691.67 0.00
Purchase 12/20/2019 313384SD2 5,000,000.00 FHLB Discount Note
1.57% Due: 01/23/2020
99.852 1.59% 4,992,586.11 0.00 4,992,586.11 0.00
Purchase 12/20/2019 313384SK6 4,500,000.00 FHLB Discount Note
1.565% Due: 01/29/2020
99.826 1.59% 4,492,175.00 0.00 4,492,175.00 0.00
Purchase 12/20/2019 89114M2Z9 2,000,000.00 Toronto Dominion Bank Yankee CD
2.2% Due: 01/23/2020
100.014 2.03% 2,000,285.65 18,211.11 2,018,496.76 0.00
Purchase 12/23/2019 912796RT8 7,500,000.00 US Treasury Bill
1.486% Due: 01/02/2020
99.959 1.51% 7,496,905.21 0.00 7,496,905.21 0.00
Purchase 12/23/2019 912796TH2 7,500,000.00 US Treasury Bill
1.532% Due: 03/05/2020
99.689 1.56% 7,476,699.31 0.00 7,476,699.31 0.00
Purchase 12/23/2019 912796WM7 7,500,000.00 US Treasury Bill
1.498% Due: 01/07/2020
99.938 1.52% 7,495,320.31 0.00 7,495,320.31 0.00
September 30, 2019 through December 31, 2019
As of December 31, 2019
54
Transaction Ledger
Orange County Sanitation District Liquid - Account #10282
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price
Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Purchase 12/23/2019 9128283S7 5,000,000.00 US Treasury Note
2% Due: 01/31/2020
100.039 1.62% 5,001,953.13 39,402.17 5,041,355.30 0.00
Purchase 12/23/2019 9128283S7 5,000,000.00 US Treasury Note
2% Due: 01/31/2020
100.039 1.62% 5,001,953.13 39,402.17 5,041,355.30 0.00
Purchase 12/23/2019 912828VJ6 15,000,000.00 US Treasury Note
1.875% Due: 06/30/2020
100.148 1.59% 15,022,265.63 134,510.87 15,156,776.50 0.00
Purchase 12/23/2019 912828VV9 15,000,000.00 US Treasury Note
2.125% Due: 08/31/2020
100.332 1.64% 15,049,804.69 99,828.30 15,149,632.99 0.00
Purchase 12/24/2019 06367BED7 1,000,000.00 Bank of Montreal Chicago Yankee CD
1.89% Due: 05/21/2020
100.000 1.89% 1,000,000.00 0.00 1,000,000.00 0.00
Purchase 12/24/2019 9128283S7 5,000,000.00 US Treasury Note
2% Due: 01/31/2020
100.035 1.65% 5,001,757.81 39,673.91 5,041,431.72 0.00
Purchase 12/24/2019 912828MP2 5,000,000.00 US Treasury Note
3.625% Due: 02/15/2020
100.273 1.70% 5,013,671.88 64,521.06 5,078,192.94 0.00
Purchase 12/26/2019 912828L32 5,000,000.00 US Treasury Note
1.375% Due: 08/31/2020
99.820 1.64% 4,991,015.63 22,098.21 5,013,113.84 0.00
Purchase 12/26/2019 912828XY1 5,000,000.00 US Treasury Note
2.5% Due: 06/30/2020
100.441 1.63% 5,022,070.31 60,801.63 5,082,871.94 0.00
Subtotal 118,165,000.00 118,166,441.02 535,094.57 118,701,535.59 0.00
TOTAL ACQUISITIONS 118,165,000.00
118,166,441.0
2 535,094.57 118,701,535.59 0.00
DISPOSITIONS
Call 12/24/2019 90331HNB5 2,000,000.00 US Bank NA Callable Note Cont 12/24/2019
2% Due: 01/24/2020
100.000 2.00% 2,000,000.00 16,666.67 2,016,666.67 0.00
Subtotal 2,000,000.00 2,000,000.00 16,666.67 2,016,666.67 0.00
Maturity 10/03/2019 912796SL4 1,650,000.00 US Treasury Bill
2.007% Due: 10/03/2019
100.000 1,650,000.00 0.00 1,650,000.00 0.00
September 30, 2019 through December 31, 2019
As of December 31, 2019
55
Transaction Ledger
Orange County Sanitation District Liquid - Account #10282
Transaction
Type
Settlement
Date CUSIP Quantity Security Description Price
Acq/Disp
Yield Amount Interest
Pur/Sold Total Amount Gain/Loss
Maturity 10/08/2019 912796VY2 1,250,000.00 US Treasury Bill
1.737% Due: 10/08/2019
100.000 1,250,000.00 0.00 1,250,000.00 0.00
Maturity 10/15/2019 912796VZ9 1,250,000.00 US Treasury Bill
1.805% Due: 10/15/2019
100.000 1,250,000.00 0.00 1,250,000.00 0.00
Maturity 10/18/2019 96130AAK4 1,500,000.00 Westpac Banking Corp NY Yankee CD
2.97% Due: 10/18/2019
100.000 1,500,000.00 45,045.00 1,545,045.00 0.00
Maturity 10/31/2019 912828F62 2,500,000.00 US Treasury Note
1.5% Due: 10/31/2019
100.000 2,500,000.00 0.00 2,500,000.00 0.00
Maturity 11/19/2019 62479MYK3 1,860,000.00 MUFG Bank Ltd/NY Discount CP
2.12% Due: 11/19/2019
99.464 1,860,000.00 0.00 1,860,000.00 0.00
Maturity 12/06/2019 94988J5G8 500,000.00 Wells Fargo Bank Note
2.15% Due: 12/06/2019
100.000 500,000.00 0.00 500,000.00 0.00
Maturity 12/23/2019 06417G5Q7 2,300,000.00 Bank of Nova Scotia Yankee CD
2.61% Due: 12/23/2019
100.000 2,300,000.00 46,023.00 2,346,023.00 0.00
Subtotal 12,810,000.00 12,810,000.00 91,068.00 12,901,068.00 0.00
TOTAL DISPOSITIONS 14,810,000.00 14,810,000.00 107,734.67 14,917,734.67 0.00
September 30, 2019 through December 31, 2019
As of December 31, 2019
56
Important Disclosures
2019 Chandler Asset Management, Inc, An Independent Registered Investment Adviser.
Information contained herein is confidential. Prices are provided by IDC, an independent pricing source. In the event IDC does not provide a price or if the price provided is not reflective of fair market
value, Chandler will obtain pricing from an alternative approved third party pricing source in accordance with our written valuation policy and procedures. Our valuation procedures are also disclosed in
Item 5 of our Form ADV Part2A.
Performance results are presented gross-of-advisory fees and represent the client’s Total Return. The deduction of advisory fees lowers performance results. These results include the reinvestment of
dividends and other earnings. Past performance may not be indicative of future results. Therefore, clients should not assume that future performance of any specific investment or investment strategy
will be profitable or equal to past performance levels. All investment strategies have the potential for profit or loss. Economic factors, market conditions or changes in investment strategies,
contributions or withdrawals may materially alter the performance and results of your portfolio.
Index returns assume reinvestment of all distributions. Historical performance results for investment indexes generally do not reflect the deduction of transaction and/or custodial charges or the
deduction of an investment management fee, the incurrence of which would have the effect of decreasing historical performance results. It is not possible to invest directly in an index.
Source ice Data Indices, LLC ("ICE"), used with permission. ICE permits use of the ICE indices and related data on an "as is" basis; ICE, its affiliates and their respective third party suppliers disclaim any and
all warranties and representations, express and/or implied, including any warranties of merchantability or fitness for a particular purpose or use, including the indices, index data and any data included
in, related to, or derived therefrom. Neither ICE data, its affiliates or their respective third party providers guarantee the quality, adequacy, accuracy, timeliness or completeness of the indices or the
index data or any component thereof, and the indices and index data and all components thereof are provided on an "as is" basis and licensee's use it at licensee's own risk. ICE data, its affiliates and their
respective third party do not sponsor, endorse, or recommend chandler asset management, or any of its products or services.
This report is provided for informational purposes only and should not be construed as a specific investment or legal advice. The information contained herein was obtained from sources believed to be
reliable as of the date of publication, but may become outdated or superseded at any time without notice. Any opinions or views expressed are based on current market conditions and are subject to
change. This report may contain forecasts and forward-looking statements which are inherently limited and should not be relied upon as indicator of future results. Past performance is not indicative of
future results. This report is not intended to constitute an offer, solicitation, recommendation or advice regarding any securities or investment strategy and should not be regarded by recipients as a
substitute for the exercise of their own judgment.
Fixed income investments are subject to interest, credit and market risk.Interest rate risk: the value of fixed income investments will decline as interest rates rise. Credit risk: the possibility that the
borrower may not be able to repay interest and principal. Low rated bonds generally have to pay higher interest rates to attract investors willing to take on greater risk. Market risk: the bond market in
general could decline due to economic conditions, especially during periods of rising interest rates.
Ratings information have been provided by Moody’s, S&P and Fitch through data feeds we believe to be reliable as of the date of this statement, however we cannot guarantee its accuracy.
Security level ratings for U.S. Agency issued mortgage-backed securities (“MBS”) reflect the issuer rating because the securities themselves are not rated. The issuing U.S. Agency guarantees the full and
timely payment of both principal and interest and carries a AA+/Aaa/AAA by S&P, Moody’s and Fitch respectively.
As of December 31, 2019
57
Benchmark Disclosures
ICE BAML 3-Month US Treasury Bill Index
The ICE BAML US 3-Month Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a
newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. (Index: G0O1.
Pleasevisit www.mlindex.ml.com for more information)
ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index
The ICE BAML US Issuers 1-5 Year AAA-A US Corporate & Government Index tracks the performance of US dollar denominated investment grade debt publicly issued in the US domestic market, including
US Treasury, US agency, foreign government, supranational and corporate securities. Qualifying securities must issued from US issuers and be rated AAA through A3 (based on an average of Moody’s, S&P
and Fitch). In addition, qualifying securities must have at least one year remaining term to final maturity and less than five years remaining term to final maturity, at least 18 months to final maturity at
point of issuance, a fixed coupon schedule and a minimum amount outstanding of $1 billion for US Treasuries and $250 million for all other securities.(Index: BV10. Please visit www.mlindex.ml.com for
more information)
ICE BAML US 1-5 Yr US Corp/Govt Rated AAA-BBB Indx
The ICE BAML 1-5 Year US Corporate & Government Index tracks the performance of US dollar denominated investment grade debt publicly issued in the US domestic market, including US Treasury, US
agency, foreign government, supranational and corporate securities. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch). In addition, qualifying
securities must have at least one year remaining term to final maturity and less than five years remaining term to final maturity, at least 18 months to final maturity at point of issuance, a fixed coupon
scheduleand a minimum amount outstanding of $1billion for US Treasuriesand $250 million for all other securities. (Index:BVA0. Please visit www.mlindex.ml.com for more information)
As of December 31, 2019
58
Rating Agency Comparisons
A summary of investment grade ratings are listed below. More complete descriptions of
Moody's and Standard & Poor's ratings are included in the following pages.
Quality/Grade Moody’s Standard & Poor’s
Fitch
Best Quality
Aaa
AAA
AAA
High Quality
Aa1
Aa2
Aa3
AA+
AA
AA-
AA+
AA
AA-
Upper Medium Grade
A1
A2
A3
A+
A
A-
A+
A
A-
Medium Grade
Baa1
Baa2
Baa3
BBB+
BBB
BBB-
BBB+
BBB
BBB1
Moody's - Investment Grade
"Aaa" - Bonds rated Aaa are judged to be of the best quality. They carry the smallest
degree of investment risk. Interest payments are protected by a large or by an
exceptionally stable margin and principal is secure. While the various protective elements
are likely to change, such changes as can be visualized are most unlikely to impair the
fundamentally strong position of such issues.
"Aa" - Bonds which are rated Aa are judged to be of high quality by all standards.
Together with the Aaa group they comprise what are generally known as high grade
bonds. They are rated lower than the best bonds because margins of protection may not
be as large as in Aaa securities or fluctuation of protective elements may be of greater
amplitude or there may be other elements present which make the long-term risks appear
somewhat larger than in Aaa securities.
"A" - Bonds which are rated A possess many favorable investment attributes and are to
be considered as upper medium grade obligations. Factors giving security to principal and
interest are considered adequate, but elements may be present which suggest a
susceptibility to impairment sometime in the future.
"Baa" - Bonds which are rated Baa are considered as medium grade obligations; i.e.,
they are neither highly protected nor poorly secured. Interest payments and principal
security appear adequate for the present but certain protective elements may be lacking
or may be characteristically unreliable over any great length of time. Such bonds lack
outstanding investment characteristics and in fact have speculative characteristics as
well.
Bonds in the Aa, A, and Baa are also assigned "1", "2", or "3" based on the strength of
the issue within each category. Accordingly, "A1" would be the strongest group of A
securities and "A3" would be the weakest A securities.
Ba, B, Caa, Ca, and C - Bonds that possess one of these ratings provide questionable
protection of interest and principal ("Ba" indicates some speculative elements; "B"
indicates a general lack of characteristics of desirable investment; "Caa" represents a
poor standing; "Ca" represents obligations which are speculative in a high degree; and
“C” represents the lowest rated class of bonds). "Caa”, "Ca" and “C” bonds may be in
default.
Standard and Poor's - Investment Grade
AAA - Debt rated "AAA" has the highest rating assigned by S&P. Capacity to pay interest
and repay principal Is extremely strong.
AA - Debt rated “AA” has a very strong capacity to pay interest and repay principal and
differs from the highest rated issues only in small degree.
A - Debt rated "A" has a strong capacity to pay interest and repay principal although it is
somewhat more susceptible to the adverse effects of changes in circumstances and
economic conditions than debt in higher rated categories.
BBB - Debt rated "BBB" is regarded as having an adequate capacity to pay interest and
repay principal. Whereas it normally exhibits adequate protection parameters, adverse
economic conditions or changing circumstances are more likely to lead to a weakened
capacity to pay interest and repay principal for debt in this category than in higher rated
categories.
Standard and Poor's - Speculative Grade Rating
Debt rated "BB", "B", "CCC", “CC" and "C" is regarded as having predominantly
speculative characteristics with respect to capacity to pay interest and repay principal.
"BB" indicates the least degree of speculation and "C" the highest. While such debt will
likely have some quality and protective characteristics these are outweighed by major
uncertainties or major exposures to adverse conditions.
BB - Debt rated "BB" has less near-term vulnerability to default than other speculative
issues. However, it faces major ongoing uncertainties or exposure to adverse business,
financial, or economic conditions which could lead to inadequate capacity to meet timely
interest and principal payments. The "BB" rating category is also used for debt
subordinated to senior debt that is assigned an actual or implied "BBB" rating.
B - Debt rated "B" has a greater vulnerability to default but currently has the capacity to
meet interest payments and principal repayments. Adverse business, financial, or
economic conditions will likely impair capacity or willingness to pay interest and repay
principal. The "B" rating category is also used for debt subordinated to senior debt that is
assigned an actual or implied "BB" or "BB" rating.
CCC - Debt rated "CCC" has a currently identifiable vulnerability to default, and is
dependent upon favorable business, financial, and economic conditions to meet timely
payment of interest and repayment of principal. In the event of adverse business,
financial, or economic conditions, it is not likely to have the capacity to pay interest and
repay principal. The "CCC" rating category is also used for debt subordinated to senior
debt that is assigned an actual or implied "B" or "B" rating.
CC - The rating "CC" typically is applied to debt subordinated to senior debt that is
assigned an actual or implied "CCC" debt rating.
C - The rating “C” typically is applied to debt subordinated to senior debt which is assigned
an actual or implied “CCC” debt rating. The “C” rating may be used to cover a situation
where a bankruptcy petition has been filed, but debt service payments are continued.
Cl - The rating "Cl" is reserved for income bonds on which no interest is being paid.
D - Debt rated “D” is in payment default. The "D" rating category is used when interest
payments or principal payments are not made on the date due even if the applicable grace
period has not expired, unless S&P believes that such payments will be made during such
grace period. The “D” rating also will be used upon the filing of a bankruptcy petition if
debt service payments are jeopardized.
Plus (+) or Minus (-) - The ratings from "AA" to "CCC" may be modified by the addition
of a plus or minus sign to show relative standing within the major rating categories.
NR - Indicates no rating has been requested, that there is insufficient information on which
to base a rating, or that S&P does not rate a particular type of obligation as a matter of
policy.
OCSD ♦ P.O. Box 8127 ♦ Fountain Valley, CA 92728-8127 ♦ (714) 962-2411
January 31, 2020
STAFF REPORT
Mid-Year Certificates of Participation (COP) Report
for the Period Ended December 31, 2019
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 2012B, 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.
Mid-Year COP Report
For the Period Ended December 31, 2019
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.
Attachments
1. Graph - OCSD COP Rate History Report
H:\dept\asd\220\Common\Monthly and Quarterly Treasurer's Report\FY 19-20\COP Rate History Report FY 19-20
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DATE
OCSD COP RATE HISTORY REPORT
DECEMBER 2019
Series 2010A Fixed Series 2010C Fixed Series 2011A Fixed Series 2012A Fixed Series 2012B Fixed
Series 2014A Fixed Series 2015A Fixed Series 2016A Fixed Series 2017A Fixed Series 2018A Fixed
FY 2019-20 Mid-Year 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
12/31/19
Orange County Sanitation District
ADMINISTRATION COMMITTEE
Agenda Report
Administration Building
10844 Ellis Avenue
Fountain Valley, CA 92708
(714) 593-7433
File #:2020-891 Agenda Date:2/19/2020 Agenda Item No:5.
FROM:James D. Herberg, General Manager
Originator: Lorenzo Tyner, Assistant General Manager
SUBJECT:
CONSIDERATION OF BUDGET ASSUMPTIONS AND BUDGET CALENDAR FOR PREPARATION
OF THE FISCAL YEARS 2020-21 AND 2021-22 BUDGET
GENERAL MANAGER'S RECOMMENDATION
RECOMMENDATION:
Approve the FY 2020-21 budget assumptions and direct staff to incorporate these parameters in
preparing the FY 2020-21 and 2021-22 budget.
BACKGROUND
For the budget process,the Administration Committee establishes the Budget Assumptions and
approves the Budget Calendar. Staff will make a brief presentation at the Committee meeting.
RELEVANT STANDARDS
·Ensure the public’s money is wisely spent
·Produce appropriate financial reporting
ADDITIONAL INFORMATION
Currently,there are no proposed changes to the Orange County Sanitation District (Sanitation
District)Fiscal Policy.The Fiscal Policy is published in the FY 2018-19 and 2019-20 Budget
document (Section 3, Pages 1-8), and is available on the Sanitation District’s website.
ATTACHMENT
The following attachment(s)are included in hard copy and may also be viewed on-line at the OCSD website
(www.ocsd.com) with the complete agenda package:
·FY 2020-21 Preliminary Budget Assumptions
·Budget Calendar 2020-21
Orange County Sanitation District Printed on 2/11/2020Page 1 of 1
powered by Legistar™
FY 2020-21 Preliminary Budget Assumptions
1
Economic Assumptions
Inflation for Orange County in FY 2020-21 is projected to be 1.9 percent based on the 2019 projected percentage change in consumer price index (CPI) obtained from Chapman University. A 1.9 percent inflation factor will also be used for FY 2021-22.
Revenue Assumptions
Based upon the proposed Sewer Service Fee Rate Schedule to be approved by the Board in March 2018, the single-family residence (SFR) rate will increase by $4 (1.2 percent) to
$343 in FY 2020-21, which is less than the projected CPI. Note that each $1 increase in the SFR rate generates approximately $900,000 per year.
The capital facilities capacity charge (CFCC) fee captures only those infrastructure costs that relate to additional capacity. The proposed CFCC fee to be approved by the Board in March 2018 will increase by 8 percent for FY 2020-21. Other infrastructure costs such as improved treatment, rehabilitation, refurbishment, and replacement, will be supported through user fees.
Given the Facilities Master Plan adopted in December 2017, a rate study was completed in December 2017 to ensure that the CFCC fee methodology remains equitable and to confirm that an appropriate share of system costs would be recovered from new development. Revenues will be budgeted to reflect little growth in Equivalent Dwelling Unit (EDU) connections that have remained flat over the past five years.
Permit user rates for flow will increase by 3.8 percent, Biochemical Oxygen Demand (BOD) will increase by 0.5 percent and Total Suspended Solids (TSS) will increase by 2.7 percent for FY 2020-21 based upon the Rate Study completed in December 2017.
Annexation fees capture both the net current assets and the equivalent property tax allocations totaling $4,235 per acre.
Annexable property in OCSD’s service area sphere is minimal; consequently, no
FY 2020-21 income from annexation fees is anticipated.
Property tax revenues are preliminarily estimated to increase by approximately three percent
from FY 2019-20 to $98,354,000. A two percent annual increase in Assessed Value is authorized by the state constitution and is included in the increases noted above. The additional increase in assessed value is from
authorized increases to market value when property is sold at a higher value. Earnings on the investment of OCSD’s operating cash and reserves will be budgeted at 1.0
percent of the average cash and investment balance projected for the fiscal year.
No additional debt issuance is scheduled for FY 2020-21.
Operating Assumptions
Operating expenses are expected to approximate the adopted FY 2019-20 budget of $168 million.
FY 2020-21 Preliminary Budget Assumptions
2
Average daily flows are projected at 188 mgd for FY 2020-21 and 188 MGD for FY 2021-22. The FY 2019-20 flow projection of 188 mgd reflects an increase of 1 mgd from the actual for the first 5 months of the current year and is 2 mgd above the final actual flow for FY 2018-19.
Employee/Staffing Assumptions
Staffing level is expected to remain relatively flat. The total FY 2019-20 authorized staffing level is 640.00 FTEs, excluding Management Discretion positions.
Vacant positions as of 12/31/2019 are budgeted at 50 percent of step 1 for the remainder of FY 2019-20 and at 100 percent of step 2 for FY 2020-21.
New positions will be projected at 100 percent of step 1 for FY 2020-21.
A 3.0 percent vacancy factor on authorized positions has been budgeted for FY 2020-21. The actual vacancy factor is currently running at 4.7 percent due to the streamlined recruitment processes now in place. This vacancy factor accounts for time spent for recruitment and turnover.
The Memorandums of Understanding (MOUs) for the OCEA, the Local 501, and the Supervisor and Professional (SPMT) groups expire on June 30, 2022. Salary adjustments will be included in the budget for COLA based upon the current MOUs.
Retirement costs for employees enrolled in OCERS Plans G and H are estimated at a rate of 14.10 percent of the employee’s base salary for FY 2020-21, up from 13.30 percent in FY 2019-20. The rates for Plans G and H include OCSD’s pickup of 3.5 percent of employees’ required contributions. Employees enrolled in OCERS Plan B are estimated at a rate of 11.97 percent of the employee’s base salary for FY 2020-21, up from 11.25 percent in FY 2019-20. All employees hired on or after January 1, 2013 are enrolled in OCERS Plan U and are estimated at a rate of 10.88 percent for FY 2020-21, up from 10.37 percent in FY 2019-20. Interns are not enrolled in OCERS so their retirement benefits are calculated at 6.2 percent (FICA rate). Other employee benefits and insurances will be budgeted to increase in FY 2020-21 and FY 2021-22 by moderate but yet to be determined amounts. Materials, Supplies, & Services Assumptions
The proposed operating budget will continue to reflect an emphasis on safety, security, and maintenance of plant assets and infrastructure.
An amount equal to half of one percent of the Operating materials and services budget will be a contingency for prior year re-appropriations. Since the current year’s budget lapses on June 30, a contingency is needed in the succeeding budget year for goods or services ordered at the end of one budget year but not delivered until the following year.
An amount equal to 0.85 percent of the Operating materials and services budget will be the
General Manager’s contingency budget. These funds will be allocated to appropriate line items during the year after requests and justifications for unanticipated needs are approved by the General Manager.
FY 2020-21 Preliminary Budget Assumptions
3
Resource needs for strategic initiatives will be included in the budget. Capital Improvement Program Assumptions
The FY 2020-21 and FY 2021-22 cash flow budget, based on the most current Validated Capital Improvement Program (CIP), is the target.
The baseline CIP cash flow for FY 2020-21 is $209 million and for FY 2021-22 is $314 million.
Continual evaluation of the CIP by Financial Management, Project Management Office and Planning may result in deferral or reduction of some projects and a resultant increase in O&M repair costs for materials and services, if the net cash flow impact is a decrease.
For the first five months of FY 2019-20, $39.2 million of the $153.3 million CIP budget, approximately 25.6 percent, was expended.
Debt Financing
OCSD will issue new debt in the form of Certificates of Participation (COP) as needed to fund the CIP and to maintain reserves.
No additional debt issuance is scheduled for FY 2020-21 and FY 2021-22.
Debt will only be used for CIP and capital expenses, not for operating expenses. Capital financing plans no longer include future borrowings over the next ten years as the
approved user fee schedule is considered sufficient.
Borrowing is proposed only for facilities which do not add capacity and that are funded by all users for replacement, rehabilitation, and improved treatment.
Upon COP’s becoming callable or maturing, a determination will be made as to the benefit of paying off the obligation or refinancing the debt. Reserve Assumptions The existing reserve policy is summarized as follows:
► A cash flow criterion will be established to fund operations, maintenance and certificates of participation expenses for the first half of the fiscal year, prior to receipt of the first installment of the property tax allocation and sewer service user fees which are collected
as a separate line item on the property tax bill. The level of this criterion will be established as the sum of an amount equal to six months operations and maintenance expenses and the total of the annual debt (COP) service payments due in August each year.
► An operating contingency criterion will be established to provide for non-recurring expenditures that were not anticipated when the annual budget and sewer service fees
FY 2020-21 Preliminary Budget Assumptions
4
were considered and adopted. The level of this criterion will be established at an amount equal to ten percent of the annual operating budget.
► A capital improvement criterion will be maintained to fund annual increments of the capital improvement program. The long-term target is for one half of the capital improvement program to be funded from borrowing and for one half to be funded from
current revenues and reserves. With this program in mind, the target level of this criterion has been established at one-half of the average annual capital improvement program over the next ten years.
► A catastrophic loss, or self-insurance, criterion will be maintained for property damage including fire, flood and earthquake, for general liability and for workers' compensation. This criterion is intended to work with purchased insurance policies, FEMA disaster reimbursements and State disaster reimbursements. The potential infrastructure loss from a major earthquake, of which OCSD currently has limited outside insurance coverage of $25 million, has been estimated to be as high as $1.3 billion. The level of this criterion has been set at $57 million should such a catastrophic event occur. This criterion amount will assist OCSD with any short-term funding needs until Federal and State assistance becomes available.
► Accumulated capital funds will be set aside for certain specific, short-term capital improvements as the need and availability arise.
► A capital replacement/renewal criterion has been established to provide thirty percent of the funding to replace or refurbish the current collection, treatment and disposal facilities at the end of their useful economic lives. Based on the Facilities Evaluation Report completed in December 2017, the current replacement value of these facilities is estimated to be $3.56 billion for the collection facilities and $7.18 billion for the treatment and disposal facilities. The initial criterion
level has been established at $50 million, which will be augmented by interest earnings and a small portion of the annual sewer user fee, in order to meet projected needs through the year 2030.
► Provisions of the various certificates of participation (COP) issues require debt service reserves to be under the control of the Trustee for that issue. These reserve funds are not available for the general needs of OCSD and must be maintained at specified levels. The current level of required COP service reserves is projected to be $170.8 million.
► Accumulated funds exceeding the levels specified by District policy will be maintained in a rate stabilization fund. These funds will be applied to future years' needs in order to maintain rates or to moderate annual fluctuations. There is no established target for this criterion.
Budget Calendar
1
Tasks Responsibility Event/Due Date
Phase I – Budget Preparation
EMT Strategic Planning Workshop General Manager's Office 8/1/2019
Strategic Plan Workshop for the Board General Manager's Office 8/28/2019
Strategic Plan Workshop for the Board General Manager's Office 9/18/2019
Strategic Plan Workshop for the Board
General Manager's Office 9/25/2019
Strategic Plan adopted by Board of Directors General Manager's Office 11/20/2019
Preliminary Budget Assumptions Identified Financial Planning 1/6/2020
Preliminary Budget Assumptions & Draft Budget Calendar Presented to EMT & Managers Financial Management 1/13/2020
Preparation for Budget Kickoff / Training Session: · Develop line item worksheets · Prepare budget instruction manual Financial Planning 1/16/2020
Budget Kickoff / Training Session: · Distribute budget manual update
· Conduct budget training session · Review submission deadlines
Financial Planning 1/23/2020
CIP - New Project Numbers Assigned Engineering Planning 2/7/2020
Operating Divisional Budgets: All Position Decision Packages Due to Human Resources (Laura Maravilla, Ext. 7007) with copies to Financial Planning (Lina Hsiao, Ext. 7542) · New Position · Position Upgrade · Position Reclassification or Equity Adjustment
Divisional Budget Coordinators 2/7/2020
Operating Budget: Promotional Items and Conference Attendance Request Forms Due to
Jennifer Cabral (Ext. 7581). Email Promotional Items Purchasing Budget Request form to: forinformation@ocsd.com. Include the number of polo shirts needed for your division on the form.
Divisional Budget Coordinators 2/7/2020
Capital Equipment Budget: Vehicle Capital
Equipment Decision Packages Due to Fleet Services (Bob Bell, Ext. 7214)
Divisional Budget Coordinators 2/7/2020
Capital Equipment Budget: Computer Equipment Decision Packages Due to Information Technology
(John Swindler, Ext. 7260)
Divisional Budget Coordinators 2/7/2020
Budget Assumptions Presented to Administration Committee Financial Management 2/19/2020
FY 2020-21 & 2021-22 Budget Manual
2
Mid-Year Financial Report to Administration Committee Financial Management 2/19/2020
Division Budget Packages Due to Finance:
· Update 2019-20 projected costs · Proposed operating costs for 2020-21 & 2021-22 · Operating Budget Expense Detail
· Meetings, Memberships & Training Requests · Capital Equipment Decision Packages (other than computer and vehicle decision packages) · New program decision packages
(Financial Planning will compile this information into
packages for use during the budget review process.)
Divisional Budget Coordinators 2/20/2020
CIP - Preliminary capital equipment request estimates delivered to PMO Financial Planning 2/20/2020
CIP - Engineering Change Control Validation Complete Engineering Project Managers 2/20/2020
Mid-Year Financial Report to Board Financial Management 2/26/2020
Complete the Compilation of the Preliminary Division Budget Packages Financial Planning 2/26/2020
CIP - Future Project Attributes Reviewed and
Updated Engineering Planning 2/28/2020
CIP - Project Budget Reviews Complete Engineering PMO 3/2/2020
Department Narratives for Budget Executive Summary Due to Financial Planning EMT 3/12/2020
CIP - Validated CIP budgets delivered to IT/Finance Engineering Planning 3/30/2020
Phase II - Budget Review
Divisional Budgets - Distribution of Preliminary Line Item Requested Budget to Department Heads and Managers along with Analysis/Questions for Review Financial Planning 3/2/2020
Operating Budget – Information on New Positions, Position Upgrades & Reclassifications Submitted to the General Manager Human Resources 3/5/2020
CIP - Engineering /Finance Budget Review Meetings: Final Adjustments, Confirm 20-year Cash Flow, and
Capital Equipment Delivered to PMO
Engineering/Financial Management 3/2-3/16/2020
Operating Budget - Division Budget Review Meetings with Finance and Division Representatives Financial Planning & Division Representatives 3/9 - 3/12/20
Divisional Budgets - Completion of Preliminary Budget and Compilation into Departmental Budgets Financial Planning 3/11/2020
Budget Revenue Update Presented to Administration
Committee Financial Planning 3/11/2020
Budget Calendar
3
Operating Budget – Recommendations to General Manager Financial Planning 3/12/2020
Divisional Budgets – Performance Budget Documents Due to Financial Planning (Lina Hsiao): · Organization Charts · Performance Results (2018-19) · Performance Measures (2020-21 & 2021-22)
Divisional Budget Coordinators 3/19/2020
Final Operating Budget – General Manager Review of Budget Recommendations Financial Planning, GM, & Department Heads 3/23 - 3/27/20
Capital Equipment Budget - Requests Reviewed & Approved Financial Planning, GM, & Department Heads 3/23 - 3/27/20
Operating Budget – Report of General Manager's Decisions on New Positions, Position Upgrades & Reclassifications Submitted to the Financial Planning General Manager 3/23/2020
CIP – Approve Proposed CIP Budget EMT 3/23/2020
CIP – Operations Committee Review of Proposed Budget Engineering 4/1/2020
Phase III - Budget Presentation Operating Budget – Presentation of Preliminary Budget by Division/Department to EMT Financial Management 4/6/2020
Operating Budget – Overview to Administration Committee Financial Management 4/8/2020
CIP - Final CIP Budget Document Preparation and Incorporation into Final Budget Document Financial Planning 4/16/2020
CIP - Review draft of Final Budget Document pages with Engineering Planning & PMO Financial Planning 4/16/2020
Initial - Proposed Budget Finalized Financial Planning 4/27/2020
Operating Budget - Overview to Operations Committee Financial Planning 5/6/2020
CIP Budget Overview to Operations Committee Engineering/Financial Management 5/6/2020
General Manager’s Budget Message Completed GM / Financial Planning 5/11/2020
Operating Budget - Overview to Administration Committee Financial Planning 5/13/2020
CIP Budget Overview to Administration Committee Engineering/Financial Management 5/13/2020
Approval of General Manager’s Budget Message General Manager 5/13/2020
Final - Proposed Budget to Printer Financial Planning 5/20/2020
Phase IV - Budget Deliberations
Final Draft - Proposed 2020-21 & 2021-22 Budget Presented to Committees Financial Management Ops- 6/3/2020
Admin- 6/10/2020
FY 2020-21 & 2021-22 Budget Manual
4
Public Hearing & Board Adoption Board of Directors 6/24/2020
Phase V – Distribution of Budget
Final line item budget and equipment budgets posted in H:\ntglobal Financial Planning 7/8/2020
Phase VI – Budget Debriefing
Budget Debriefing E-mail Message
· Global Changes that occurred in this year's budget. · Changes since the Departments' original submittal. · Changes that occurred as a result of Board action.
· Results of Budget Survey. · Overview of Budget Monitoring with Oracle JD Edwards EnterpriseOne Software and review of
Budget Coordinator's Responsibility. · Overview of CIP Budget Monitoring. · Suggestions for Budget Process Improvements.
Financial Planning 7/9/2020
Orange County Sanitation District
ADMINISTRATION COMMITTEE
Agenda Report
Administration Building
10844 Ellis Avenue
Fountain Valley, CA 92708
(714) 593-7433
File #:2019-679 Agenda Date:2/19/2020 Agenda Item No:6.
FROM:James D. Herberg, General Manager
Originator: Lorenzo Tyner, Assistant General Manager
SUBJECT:
INVESTMENT PERFORMANCE RESULTS
GENERAL MANAGER'S RECOMMENDATION
RECOMMENDATION:
Information Item.
BACKGROUND
Chandler Asset Management serves as the Orange County Sanitation District’s (Sanitation District)
Investment Manager.The Portfolio Manager and Executive Vice President,William Dennehy II,CFA,
will be providing an informational presentation on the performance of the Sanitation District’s short-
term and long-term investment portfolios over the past year.
RELEVANT STANDARDS
·Ensure that investment proposals and decisions are based on clearly defined standards
·Orange County Sanitation District Investment Policy
·Ensure the public’s money is wisely spent
ATTACHMENT
The following attachment(s)may be viewed on-line at the OCSD website (www.ocsd.com)with the complete agenda
package:
N/A
Orange County Sanitation District Printed on 2/4/2020Page 1 of 1
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ORANGE COUNTY SANITATION DISTRICT
COMMON ACRONYMS
ACWA Association of California
Water Agencies LAFCO Local Agency Formation
Commission RWQCB Regional Water Quality
Control Board
APWA American Public Works
Association LOS Level Of Service SARFPA Santa Ana River Flood
Protection Agency
AQMD Air Quality Management
District MGD Million Gallons Per Day SARI Santa Ana River
Interceptor
ASCE American Society of Civil Engineers MOU Memorandum of Understanding SARWQCB Santa Ana Regional Water Quality Control Board
BOD Biochemical Oxygen Demand NACWA National Association of Clean Water Agencies SAWPA Santa Ana Watershed Project Authority
CARB California Air Resources
Board NEPA National Environmental
Policy Act SCADA Supervisory Control And
Data Acquisition
CASA California Association of Sanitation Agencies NGOs Non-Governmental Organizations SCAP
Southern California
Alliance of Publicly Owned
Treatment Works
CCTV Closed Circuit Television NPDES National Pollutant Discharge
Elimination System SCAQMD South Coast Air Quality
Management District
CEQA California Environmental
Quality Act NWRI National Water Research
Institute SOCWA South Orange County
Wastewater Authority
CIP Capital Improvement
Program O & M Operations & Maintenance SRF Clean Water State
Revolving Fund
CRWQCB California Regional Water
Quality Control Board OCCOG Orange County Council of
Governments SSMP Sewer System
Management Plan
CWA Clean Water Act OCHCA Orange County Health Care Agency SSO Sanitary Sewer Overflow
CWEA California Water Environment
Association OCSD Orange County Sanitation
District SWRCB State Water Resources
Control Board
EIR Environmental Impact Report OCWD Orange County Water District TDS Total Dissolved Solids
EMT Executive Management Team OOBS Ocean Outfall Booster Station TMDL Total Maximum Daily Load
EPA US Environmental Protection
Agency OSHA Occupational Safety and
Health Administration TSS Total Suspended Solids
FOG Fats, Oils, and Grease PCSA
Professional
Consultant/Construction Services Agreement WDR Waste Discharge
Requirements
gpd gallons per day PDSA Professional Design Services
Agreement WEF Water Environment
Federation
GWRS Groundwater Replenishment
System POTW Publicly Owned Treatment
Works WERF Water Environment &
Reuse Foundation
ICS Incident Command System ppm parts per million WIFIA Water Infrastructure
Finance and Innovation Act
IERP Integrated Emergency
Response Plan PSA Professional Services
Agreement WIIN
Water Infrastructure
Improvements for the
Nation Act
JPA Joint Powers Authority RFP Request For Proposal WRDA Water Resources
Development Act
ORANGE COUNTY SANITATION DISTRICT
GLOSSARY OF TERMS
ACTIVATED SLUDGE PROCESS – A secondary biological wastewater treatment process where bacteria reproduce at a high rate with the introduction of excess air or oxygen and consume dissolved nutrients in the wastewater.
BENTHOS – The community of organisms, such as sea stars, worms, and shrimp, which live on, in, or near the seabed, also known as the benthic zone.
BIOCHEMICAL OXYGEN DEMAND (BOD) – The amount of oxygen used when organic matter undergoes decomposition by microorganisms. Testing for BOD is done to assess the amount of organic matter in water.
BIOGAS – A gas that is produced by the action of anaerobic bacteria on organic waste matter in a digester tank that can be used
as a fuel.
BIOSOLIDS – Biosolids are nutrient rich organic and highly treated solid materials produced by the wastewater treatment process. This high-quality product can be recycled as a soil amendment on farmland or further processed as an earth-like product for
commercial and home gardens to improve and maintain fertile soil and stimulate plant growth.
CAPITAL IMPROVEMENT PROGRAM (CIP) – Projects for repair, rehabilitation, and replacement of assets. Also includes treatment improvements, additional capacity, and projects for the support facilities.
COLIFORM BACTERIA – A group of bacteria found in the intestines of humans and other animals, but also occasionally found elsewhere, used as indicators of sewage pollution. E. coli are the most common bacteria in wastewater.
COLLECTIONS SYSTEM – In wastewater, it is the system of typically underground pipes that receive and convey sanitary wastewater or storm water.
CERTIFICATE OF PARTICIPATION (COP) – A type of financing where an investor purchases a share of the lease revenues of a program rather than the bond being secured by those revenues.
CONTAMINANTS OF POTENTIAL CONCERN (CPC) – Pharmaceuticals, hormones, and other organic wastewater contaminants.
DILUTION TO THRESHOLD (D/T) – The dilution at which the majority of people detect the odor becomes the D/T for that air sample.
GREENHOUSE GASES (GHG) – In the order of relative abundance water vapor, carbon dioxide, methane, nitrous oxide, and ozone gases that are considered the cause of global warming (“greenhouse effect”).
GROUNDWATER REPLENISHMENT SYSTEM (GWRS) – A joint water reclamation project that proactively responds to Southern California’s current and future water needs. This joint project between the Orange County Water District and the Orange County
Sanitation District provides 70 million gallons per day of drinking quality water to replenish the local groundwater supply.
LEVEL OF SERVICE (LOS) – Goals to support environmental and public expectations for performance.
N-NITROSODIMETHYLAMINE (NDMA) – A N-nitrosamine suspected cancer-causing agent. It has been found in the
Groundwater Replenishment System process and is eliminated using hydrogen peroxide with extra ultra-violet treatment.
NATIONAL BIOSOLIDS PARTNERSHIP (NBP) – An alliance of the National Association of Clean Water Agencies and Water Environment Federation, with advisory support from the US Environmental Protection Agency. NBP is committed to developing and advancing environmentally sound and sustainable biosolids management practices that go beyond regulatory compliance and promote public participation to enhance the credibility of local agency biosolids programs and improved communications that lead to public acceptance.
PLUME – A visible or measurable concentration of discharge from a stationary source or fixed facility.
PUBLICLY OWNED TREATMENT WORKS (POTW) – A municipal wastewater treatment plant.
SANTA ANA RIVER INTERCEPTOR (SARI) LINE – A regional brine line designed to convey 30 million gallons per day of non-reclaimable wastewater from the upper Santa Ana River basin to the ocean for disposal, after treatment.
SANITARY SEWER – Separate sewer systems specifically for the carrying of domestic and industrial wastewater. Combined sewers carry both wastewater and urban runoff.
SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT (SCAQMD) – Regional regulatory agency that develops plans and regulations designed to achieve public health standards by reducing emissions from business and industry.
SECONDARY TREATMENT – Biological wastewater treatment, particularly the activated sludge process, where bacteria and other microorganisms consume dissolved nutrients in wastewater.
SLUDGE – Untreated solid material created by the treatment of wastewater.
TOTAL SUSPENDED SOLIDS (TSS) – The amount of solids floating and in suspension in wastewater.
TRICKLING FILTER – A biological secondary treatment process in which bacteria and other microorganisms, growing as slime on the surface of rocks or plastic media, consume nutrients in wastewater as it trickles over them.
URBAN RUNOFF – Water from city streets and domestic properties that carry pollutants into the storm drains, rivers, lakes, and oceans.
WASTEWATER – Any water that enters the sanitary sewer.
WATERSHED – A land area from which water drains to a particular water body. The Orange County Sanitation District’s service area is in the Santa Ana River Watershed.