HomeMy WebLinkAbout05-13-2020 Administration Committee Item 4_FY19-20 3rd Qtr Financial ReportOrange 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 Third Quarter Financial Report
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Executive Summary
Page 1
Consolidated Financial Reports
For the Third Quarter Ended
March 31, 2020
Included in this consolidated report are the following quarterly financial reports for the
period ended March 31, 2020:
Third Quarter Budget Review:
The Consolidated Financial Reports Section provides the Directors, staff, and the
general public with a comprehensive overview of the financial results of the
Sanitation District through the third quarter ended March 31, 2020.
Contained within the Consolidated Financial Reports is the budget-to-actual status
of the Collections, Treatment and Disposal Operations, the Capital Improvement
Program, the Self-Insurance Program, and Debt Service Outlays. Also included is
a Capital Assets Schedule as of March 31, 2020. The chart below provides for a
summary of these activities.
Various detail information can be found in this report. Below is a descriptive
summary of these activities through March 31, 2020:
a) Most major expense categories are anticipated to be at or below budget.
b) Total revenues are at 70.4 percent of the $465.7 million budget. Except for
IRWD Intra District Sewer Use, Capital Assessments-IRWD, CIP
Reimbursements, Grant Revenue, CNG Sales, Rents & Leases, and Other
Revenue, most major revenue sources are currently tracking close to or
exceeding revenue estimates. Overall, total revenues are projected to
approximate budget at year-end. More detailed information on revenues is
provided within Section 1 – Pages 4 through 6.
$327.8M $120.8M
$79.0M
$66.5M
$1.7M
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
90.0%
100.0%
Operating
Revenue
Operating
Expense
Capital
Outlays
Debt
Service
Self Ins
Outlays
Third Quarter Results
as a Percentage of Budget
FY 2019-20 Third Quarter 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 third quarter of $120.8 million is
currently tracking at 71.8 percent of the $168.2 million budget. In addition, net
operating expenses have increased $9.2 million or 8.2 percent in comparison
with the same period last year. Overall, staff expects the total operating costs
to remain within budget throughout the remainder of the year. More detailed
information on operating expenses is provided within Section 1 – Pages 1
through 4.
The total cost per million gallons is $2,335 based on flows of 188 million
gallons per day. This is $116 per million gallons, or 4.8 percent lower than the
budgeted cost per million gallons per day. A further description of these costs
and benchmarking with other agencies is contained within Section 1 – Pages
7 through 9.
d) The total projected capital outlay cash flow of the Capital Improvement
Program (CIP) for FY 2019-20 has been revised to $119.7 million, or 78.1
percent of the board approved cash outlay of $153.3 million. The actual cash
outlay spending through the third quarter is $79.0 million, or 51.5 percent of
the total budgeted outlay. More detailed information on the CIP budget review
can be found in Section 3.
Third Quarter Year Treasurer’s Report
This section reports on financial portfolio performance with respect to the
Sanitation District’s funds. Both Long-Term and Liquid Operating Monies Portfolios
are summarized. A performance summary table can be found on page 2 of this
section. The report also contains information on the national economic outlook
from the Sanitation District’s money manager, Chandler Asset Management
(Chandler).
Chandler notes the Long-Term Portfolio quarterly return of 251 basis points
underperformed the ICE BAML 1-5 Year US Corp/Govt Rated AAA-A Index return
of 297 basis points, while the Liquid Operating Monies Portfolio quarterly return of
72 basis points outperformed the ICE BAML 3-Month US Treasury Bill Index return
of 57 basis points.
Chandler further notes that financial markets were extremely turbulent in March,
driven by a high level of uncertainty and fear regarding the impact of the COVID-
19 pandemic on the global economy. The S&P 500 index declined 20.0% in the
first quarter and the average option adjusted spread on investment grade
corporate bonds (based on the ICE BofA US Corporate Index) widened more than
200 basis points. At the end of the first quarter, the yield on 2-year Treasuries was
down 132 basis points year-to-date, and the yield on 10-year Treasuries was down
nearly 125 basis points, as a global flight to quality put downward pressure on
yields.
Executive Summary
Page 3
There are still many unknowns about the coronavirus and the outlook for the
economy remains uncertain, but we believe the US economy entered a recession
in March. Containment efforts and supply chain disruptions will likely cause a
sharp increase in unemployment and a swift and deep contraction in economic
activity. In the March 28 week, 6.6 million people filed an initial claim for
unemployment, following 3.3 million initial claims in the previous week. These
figures indicate that the employment report for April will be very weak and that the
unemployment rate is already approaching 10%. Financial markets will likely
remain volatile over the near-term, but we believe large-scale global monetary and
fiscal stimulus programs will help mitigate the longer-term economic impact of the
pandemic. At this point, we believe a U-shaped economic recovery heading into
2021 is possible.
The speed and level of fiscal and monetary relief from the federal government and
Federal Reserve in the last month has already surpassed the financial crisis.
President Trump approved a $2 trillion economic relief package on March 27, the
largest fiscal stimulus package in US history. We believe it will take a few weeks to
fully implement the program, but small businesses have started to apply for
paycheck protection program loans and direct payments to households are
expected to go out in a few days. Fiscal relief from the government has been
complimented by a wide range of aggressive actions by the Federal Reserve to
help stabilize and provide liquidity to the financial markets. During March, the Fed
lowered the fed funds target rate by a cumulative total of 150 basis points to a
range of 0.0%-0.25% and said it will purchase Treasury and agency mortgage-
backed securities in any amount needed to support smooth market functioning.
Policymakers reinstated the Commercial Paper Funding Facility and Money
Market Mutual Fund Liquidity Facility in order to provide liquidity to the commercial
paper, money markets, and the municipal bond markets. The Fed also established
the Primary Market Corporate Credit Facility and Secondary Market Corporate
Credit Facility to support the corporate bond market. The Term Asset-Backed
Securities Loan Facility was established to enable the issuance of asset-backed
securities backed by student loans, auto loans, credit card loans, and loans
guaranteed by the Small Business Administration. The Fed has provided short-
term funding through large-scale repo operations and lowered the reserve
requirement for depository institutions. Policymakers are also working on a Main
Street Business Lending Program to support lending to small-and-medium sized
businesses. Looking ahead, we would not rule out the possibility of another phase
of fiscal and/or monetary stimulus, depending on the duration of the social
distancing guidelines and ultimate impact on the economy.
The Consumer Price Index (CPI) was up 2.3% year-over-year in February, down
from 2.5% in January. Core CPI (CPI less food and energy) was up 2.4% year-
over-year in February, up from 2.3% in January. The Personal Consumption
Expenditures (PCE) index was up 1.8% year-over-year in February, unchanged
from 1.8% year-over-year in January. Core PCE, which is the Fed's primary
FY 2019-20 Third Quarter Financial Report
Page 4
inflation gauge, was up 1.8% year-over-year in February versus 1.7% year-over-
year in January. Core PCE was trending below the Fed’s 2.0% inflation target
before the COVID-19 pandemic.
Economic Outlook
The coronavirus (COVID-19) is having an acute negative impact on the domestic
and global economy as large segments of the economy are essentially shut down.
The strength of the US economy prior to the onset of the COVID-19, the US
consumer and the ‘service sector’ portion of the economy, had been relatively
immune to the more cyclical elements economy over the past several years. At the
current juncture the previous strength is a liability with the US consumer
quarantined and significant portions of the ‘service’ economy shut down. Until
forecasters get some visibility on when, and to what degree, the economy will
function as quarantines are lifted later in the year financial markets across asset
classes will remain volatile. Chandler’s base case is the quarantines will begin to
be lifted regionally late in the 2nd half of Q2 with the possibility of ‘rolling’
quarantines later in the year when the infection rate of the coronavirus spikes up
again. Progress and visibility on the timing of a vaccine for COVID-19 will serve as
a material catalyst for the ultimate recovery of the economy. Assuming additional
quarantines are reintroduced later in the year the impact to the economy will be
less severe as all will have learned from the current experience. The Chandler
team is concerned about the secular implications of the virus and the likely
changes to consumer behavior on a go forward basis and will be positioning the
fixed income portfolio with those concerns in mind.
Prior to the onset of the coronavirus on the domestic economy the data and
trajectory of the economy were sound. The low unemployment rate and high
savings rate should act as a catalyst to get the economy back on track sooner
compared to other periods of severe financial stress in 2000 and 2008. The
Federal Reserve has acted preemptively and forcefully to help offset the impact of
the coronavirus. Although the Federal Reserve had a Federal Open Market
Committee (FOMC) meeting scheduled on March 18th which was ultimately
cancelled, on Tuesday, March 3rd the Fed Funds target was reduced by 50 basis
points, following by another 100 basis point adjustment lower on Sunday evening,
March 15th, to bring the Fed Funds target down to a range of 0.00% to 0.25%, the
zero lower bound. Two intra-meeting adjustments by the FOMC in such a short
time frame is unprecedented. Ironically risk assets sold off after both surprise
adjustments by the Federal Reserve as markets were functioning relatively well
prior to the announcements and the change in rates arguably led to a more “risk
off” sentiment by investors. As liquidity in the capital markets continued to break
down in the 2nd half of March the Federal Reserve reverted to the 2008 playbook
an introduced a host of measures to provide liquidity to markets, too numerous to
list but notably including unlimited Quantitative Easing (QE). The Federal
Reserve’s balance sheet will expand significantly over the next several months
and has already surpassed the high-water mark from prior periods of QE during
the global financial crisis.
Executive Summary
Page 5
The impact of the coronavirus is clearly deflationary in the short term and interest
rates have re-priced to reflect the new reality. However, on a longer-term basis,
the monetary and fiscal stimulus introduced into the economy will create
unintended consequences with inflation risk emerging as a potential longer-term
concern after the impact of the crisis passes. Although the impact to asset prices
has been severe, the Chandler team notes several distinct differences between
the current crisis and the global financial crisis of 2008. Importantly, the banking
sector enters the crisis in a position of strength and will be able to assist in
providing capital and liquidity as the crisis evolves. Also, unlike in 2008, the
investment grade new issue market has been functioning very well, with volumes
extremely elevated, enabling corporations to raise debt capital to weather the
economic impact of the virus.
Third Quarter Certificates of Participation (COP) Report
The report includes a summary of each outstanding debt issuance and a
comparative chart illustrating the COP rate history.
FY 2019-20 Third Quarter Financial Report
Page 6
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Consolidated Financial Reports
Section 1 - Page 1
Third Quarter Financial Report
March 31, 2020
Financial Management is pleased to present the FY 2019-20 third quarter financial
report. This report provides a comprehensive overview of the financial condition of the
Sanitation District and reports on the status of all capital projects in progress. A
summary of the sections contained within this report is provided below.
Operating Budget Review: This section reports on collection, treatment and disposal
net operating requirements.
At March 31, 2020, 71.8 percent, or $120.8 million of the FY 2019-20 net operating
budget of $168.2 million has been expended. Net operating expenses increased from
the same period last year by $9.2 million, or 8.2 percent, mainly due to an increase of
$5.4 million in Repairs and Maintenance, $2.6 million in Operating Materials and
Supplies, $1.6 million in Salaries and Benefits, $495,000 in Professional Services,
$440,000 in Other Operating Supplies, $412,000 in Utilities, $370,000 in Research and
Monitoring, and $322,000 in Administrative Expenses, partially offset by a decrease of
$1.3 million in Contractual Services, $897,000 in Other Non-Operating Expense, and an
increase of $203,000 in indirect costs allocated out to capital projects. These and other
variances that factor into this net increase in expenses are discussed in more detail
below. Overall, staff expects the total operating costs to remain at or slightly
below budget throughout the remainder of the year.
At March 31, 2020, 70.4 percent, or $327.8 million of the FY 2019-20 budgeted total
revenues of $465.7 million has been recognized. Revenues decreased from the same
period last year by $84.2 million, or 20.4 percent, mainly due to a decrease in Debt
Proceeds of $110.3 million from the issuance of Certificate Anticipation Notes Series
2018A in the prior year, and a decrease in operating revenues of $1.2 million in IRWD
Intra District Sewer Use, $930,000 in Rents & Leases, and $730,000 in Sludge
Disposal-IRWD, primarily offset by an increase in operating revenues of $11.2 million in
Service Fees, $7.1 million in Interest Earnings, $3.6 million in Permit Fees, $3.3 million
in Property Taxes, $2.7 million in CIP Reimbursements, and $1.1 million in Other
Revenues. These and other variances that factor into this net decrease in revenues are
discussed in more detail below. Overall, staff expects the total revenues to remain
at or slightly below budget throughout the remainder of the year.
Significant operating results as of March 31, 2020 include the following:
Salaries, Wages and Benefits – Personnel costs of $74.6 million are on target at
75.8 percent of budget through the third quarter of FY 2019-20. Although the
budget is based on a 5 percent vacancy factor, staffing is 39 full-time equivalents
(FTEs), or 6.1 percent below the total 640 FTEs approved in the FY 2019-20 budget.
Salary and benefit costs are $1.6 million or 2.2 percent higher than the $73.0 million
incurred in the same period last year, mainly due to an increase of $961,000 in
FY 2019-20 Third Quarter Financial Report
Section 1 - Page 2
salaries and wages resulting from cost of living adjustments included in the current
Memorandums of Understanding for all employee bargaining units. Net operating
personnel costs are expected to approximate budget throughout the
remainder of the year.
Administrative Expenses – Administrative Expenses totaled $1.4 million, or 66.9
percent of the $2.0 million budget through March 31. These costs are $322,000
or 31.1 percent higher at March 31 in comparison with the prior year, mainly due to
increases of $253,000 in purchases of small computer items including HP
Elitebooks, $48,000 in minor furniture and fixtures for workstation installations,
ergonomic chairs, and renovation of the Control Center breakroom, and $37,000 in
books and publications such as various engineering design standards and manuals
of practice. It is anticipated that administrative costs will approximate budget at
year-end.
Printing and Publication Expenses – Printing and Publication Expenses totaled
$227,000 or 68.8 percent of the $330,000 budget through March 31. These costs
are $26,000 or 13.2 percent higher at March 31 in comparison with the prior year.
Printing and publication costs are expected to approximate budget at year-
end.
Training and Meetings – Training and meetings of $414,000 are below target at
37.3 percent of the $1.1 million budget. This account is lower than the
proportionate budget due to the timing and need for training throughout the year,
and management limiting or canceling training and meetings starting early March
until further notice in response to the COVID-19 pandemic. These costs have
decreased over the same period last year by $66,000 or 13.8 percent. Total
training and meeting costs are anticipated to be below budget at year-end.
Operating Materials and Supplies – Operating materials and supplies of $14.4
million is on target at 68.7 percent of the $21.0 million budget through March
31. Operating Materials and Supplies are higher than the prior year by $2.6 million or
22.3 percent, primarily due to an increase in Chemical Coagulants of $3.5 million
brought about by higher chemical unit costs and usage as compared to the prior
year, partially offset by a decrease in Odor Control of $980,000. Based on current
processes, operating materials and supplies are anticipated to approximate
budget at year-end.
Contractual Services – Contractual services is below target at $14.1 million or
64.0 percent of the $22.0 million budget through March 31. Contractual Services
is lower by $1.3 million or 8.7 percent over the same period last year. Solids
Removal costs, budgeted at $13.4 million, comprise the majority of this expense
category at $9.3 million, or 69.2 percent of budget at March 31. These costs
decreased by $2.2 million or 19.4 percent due to a reduction in biosolids production
attributable to the new dewatering centrifuges that replaced aging belt presses. This
decrease is offset by increases in Other Contractual Services of $813,000 for
manhole rehabilitation, industrial cleaning, and digester assessment services and
Consolidated Financial Reports
Section 1 - Page 3
Outside Lab Services of $49,000 for compliance and process monitoring. County
Service Fees totaled only $19,000 or 3.7 percent of the $512,000 budget through the
third quarter as the preponderance of these fees are billed by the County in the
fourth quarter, and Temporary Services totaled only $194,000 or 23.9 percent of the
$810,000 budget, primarily due to the unused consolidated budget of $350,000 for
the Operations and Maintenance divisions for filling extended absences. Total
contractual services costs are anticipated to approximate budget at year-end.
Professional Services – Professional services costs totaled $3.0 million or 54.1
percent of the $5.6 million budget through March 31. Professional service costs,
such as Audit & Accounting, Environmental Scientific Consulting, and Labor
Negotiation Services, are proportionately low through March 31 due to a variety of
factors such as timing of services and re-evaluation of needs for services. These
costs are $495,000 or 19.6 percent higher at March 31 in comparison with the prior
year, mainly due to increases of $304,000 in Other Services, $140,000 in
Engineering Services, $96,000 in Software Program Consulting, and $30,000 in
Labor Negotiation Services, offset by a decrease of $88,000 in Legal Services. It is
anticipated that the costs for this category will be below budget at year-end.
Research and Monitoring – Research and monitoring costs totaled $949,000, or
86.3 percent of the $1.1 million budget through March 31. These costs are
$370,000, or 63.8 percent higher at March 31 in comparison with the prior year, due
to increases of $138,000 in Research costs, reflecting the annual contribution to
Southern California Coastal Water Research Project which is now expensed in full
when paid instead of allocating on a quarterly basis, $125,000 in Environmental
Monitoring costs for ocean water quality analysis, and $107,000 in Air Quality
Monitoring costs for emissions testing. Total research and monitoring costs are
anticipated to exceed budget at year-end.
Repairs and Maintenance – Repair and maintenance costs totaled $18.3 million,
or 77.8 percent of the $23.5 million budget through March 31. These costs are
$5.4 million, or 41.5 percent higher at March 31 in comparison with the prior year,
mainly for repair and maintenance services such as digester cleaning, mechanical
rehabilitation and overhaul of primary clarifier tanks, and information technology
software support. It is anticipated that the costs for this category will
approximate budget at year-end.
Utilities – Utilities costs totaled $6.4 million, or 68.9 percent of the $9.3 million
budget through March 31. These costs are $412,000, or 6.9 percent higher at
March 31 in comparison with the prior year, primarily due to an increase of $285,000
and $192,000 for Water and Power respectively due to the higher demand of these
resources by the new biosolids dewatering centrifuges and $97,000 for Telephone
due to early cancellation of an internet contract as a strategic move to secure better
pricing and higher speeds with another supplier, partially offset by the decrease of
$166,000 in Natural Gas costs due to a volatile natural gas market in the prior period
that caused unit prices to spike. It is anticipated that the costs will approximate
budget at year-end.
FY 2019-20 Third Quarter Financial Report
Section 1 - Page 4
Other Operating Supplies – Other operating supplies costs totaled $2.5 million,
or 82.4 percent of the $3.0 million budget through March 31. Property and
General Liability Insurance, budgeted at $1.7 million, comprise the majority of this
expense category at $1.3 million. These costs are $316,000, or 32.4 percent higher
at March 31 in comparison with the prior year, primarily due to an increase in
budgeted in-lieu premium charges to maintain recommended reserve balances. It is
anticipated that other operating supplies costs will approximate budget at
year-end.
Revenues – Service Fees and Property Taxes – Through March 31, revenues
from service fees are at $194.6 million, or 65.3 percent of the $298.1 million
budget and property taxes are at $65.7 million, or 68.2 percent of the $96.4
million budget. These items comprise the majority of the Sanitation District’s
revenues and are mostly collected by the County through the property tax roll and
distributed to the Sanitation District throughout the year based on a set distribution
schedule that begins in November of each year. The increase of $11.2 million, or 6.1
percent in service fee revenue over the prior period is due to the timing of receipts,
accompanied by an increase in sewer service rates and a reduction in issued user
fee rebates. The property tax revenue increase of $3.3 million, or 5.2 percent over
the prior period is a result of timing of property tax collections from the County as
well as growth in assessed property values. These revenues are expected to
approximate budget at year-end.
Revenues – Permittee User Fees – Permittee User Fees are at $9.5 million, or
96.2 percent of the $9.9 million budget. The revenues through the third quarter
are higher than the same period last year by $3.6 million due to the prior year having
a reduction of $3.3 million for the adjustment of estimated FY 2017-18 supplemental
capital facilities capacity charges (CFCC) to industrial users, which were previously
recorded as permit user fees. Additionally, the number of permittees and their actual
discharge quantity fluctuates from year to year as businesses establish or cease
their operations. Permit user fees revenues are expected to approximate or be
below budget at year-end.
Revenues – Inter District Sewer Use – SAWPA and SBSD – Inter District Sewer
revenues-SAWPA and SBSD are at $2.0 million, or 76.1 percent of the $2.7
million budget. This revenue is derived from charges to the Santa Ana Watershed
Protection Agency (SAWPA) and Sunset Beach Sanitary District (SBSD) for
treatment of flows. The revenues through the third quarter are higher than the same
period last year by $124,000, or 6.5 percent due to an increase in operation and
maintenance charges to these agencies. These revenues are expected to
approximate budget at year-end.
Revenues – Intra District Sewer Use – IRWD – Intra District Sewer revenues-
IRWD are at $1.3 million, or 18.9 percent of the $6.9 million budget. This
revenue is derived from charges to the Irvine Ranch Water District (IRWD) for
treatment of flows. The revenues through the third quarter are lower than the same
period last year by $1.2 million or 48.0 percent, mainly due to a decrease of $1.5
Consolidated Financial Reports
Section 1 - Page 5
million in operating and maintenance charges to IRWD and an increase of $131,000
in property tax income, offset by a decrease of $391,000 in interest income allocated
to IRWD based on lower cash reserves held on behalf of this agency. These
revenues are expected to be below budget at year-end.
Revenues – Sludge Disposal – IRWD – Sludge Disposal-IRWD fees are at $6.7
million, or 124.7 percent of the $5.4 million budget. The revenue is for the
handling, treatment, and disposal of solids derived from flows discharged by IRWD
to the Sanitation District. The revenues through the third quarter are lower than the
same period last year by $732,000, or 9.8 percent, mainly due to decreased solids
received from IRWD. The current fiscal year quarterly billing to IRWD is based on
estimates. The budget reflects the anticipated completion of IRWD solids processing
facilities that would cease solids to the OCSD line. However, the timeline is no
longer forecasted to be complete during the current fiscal year. It is anticipated that
IRWD sludge disposal revenues will exceed budget at year-end.
Revenues – Capital Assessments – IRWD – Capital Assessments-IRWD are at
$2.4 million, or 44.7 percent of the $5.4 million budget. The revenues through the
third quarter are lower than the same period last year by $483,000 or 16.7 percent,
mainly due to a decrease in joint capital costs allocable to IRWD. It is estimated
that IRWD capital assessments revenues will be below budget at year-end.
Revenues – Capital Facilities Capacity Charges (CFCC) – CFCC are at $14.5
million, or 80.5 percent of the $18.0 million budget. The revenues through the
third quarter are lower than the same period last year by $58,000, or 0.4 percent,
due to additional charges of $3.3 million in the prior year for the adjustment of
estimated FY 2017-18 supplemental capital facilities capacity charges to industrial
users, which were previously recorded as permit user fees, mostly offset by an
increase in connection fees collected from cities and supplemental capital facilities
capacity charges to industrial users in the current year. These revenues are
expected to approximate budget at year-end.
Revenues – Interest Earnings – Interest Earnings are at $24.9 million, or 377.0
percent of the $6.6 million budget. The revenues through the third quarter are
higher than the same period last year by $7.1 million, or 39.8 percent due to higher
yields earned on securities held in the investment portfolios. It is estimated that
interest earnings will exceed the budget amount at year-end.
Revenues – CIP Reimbursements – CIP Reimbursements are at $2.8 million, or
46.6 percent of the $6.0 million budget. This revenue is $2.7 million, or 3132.5
percent higher than the same period last year. The increase is due to timing of
reimbursements received for construction projects from the Orange County Water
District for GWRS Final Expansion. No reimbursements were received for these
projects during the same period in the prior year. These revenues are expected to
be below budget at year-end.
FY 2019-20 Third Quarter Financial Report
Section 1 - Page 6
Revenues – Wastehauler – Wastehauler revenues are at $817,000, or 109.0
percent of the $750,000 budget. This revenue is derived from fees charged to
wastehaulers allowing them to dump waste into the Sanitation District’s system. The
revenues through the third quarter are higher than the same period last year by
$266,000, or 48.2 percent due to an increase in waste dumping. These revenues
are expected to exceed budget at year-end.
Revenues – CNG Sales – CNG Sales revenues are at $195,000, or 48.8 percent
of the $400,000 budget. This revenue is derived from public sales at the Sanitation
District’s Compressed Natural Gas (CNG) fueling station. The revenues through the
third quarter are lower than the same period last year by $49,000, or 20.2 percent.
These revenues are expected to be below budget at year-end.
Revenues – Rents & Leases – Rents & Leases revenues are at $538,000, or 23.8
percent of the $2.3 million budget. The revenues through the third quarter are
lower than the same period last year by $927,000, or 63.3 percent due to less rent
received as tenants move out of the properties acquired for construction of the new
headquarters building. These revenues are expected to be below budget at year-
end.
Revenues – Other – Other revenues are at $1.5 million, or 22.8 percent of the
$6.4 million budget. These revenues are $1.1 million, or 315.0 percent higher than
the same period last year, primarily due to receipt of $723,000 for a retrospective
insurance adjustment, $290,000 for reimbursement of legal defense fees, $23,000
for a procurement card settlement, and $22,000 for reimbursement of investigative
costs not recognized in the prior period. These revenues are expected to be
below budget at year-end.
Consolidated Financial Reports
Section 1 - Page 7
Comparison of Third Quarter 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 third quarter has been between 1.2 percent higher
to 11.9 percent lower than the annual budget. The FY 2019-20 third quarter cost per
million gallons of $2,335 is 4.8 percent lower when compared with this year’s budget.
The increase in cost per million gallons of $208 from the previous year is primarily due
to an increase in operating expenses, which are 8.2 percent higher than the same
period last year, and a decrease in flows, which are 1.4 percent lower than the same
period last year. Staff believes that overall operating costs will be below budget at year-
end.
The total cost per million gallons at March 31 is $2,335 based on flows of 188
million gallons per day. This is $116 per million gallons, or 4.8 percent lower than the
budgeted cost per million gallons of $2,451. There is an inverse relationship between
the amount of flows and the cost per unit of collection, treatment, and disposal.
Consequently, the lower cost per million gallons is due to net expenses being 4.2
percent less than the proportionate budget through March 31 in addition to flows of
188.2 million gallons per day being 0.1 percent more than the budgeted flow of 188.0
million gallons per day.
More detailed information on operating revenues, costs, and related information is
provided within Section 2.
FY 2019-20 Third Quarter Financial Report
Section 1 - Page 8
Following are data tables showing the last five years of Single Family Residential User
Fees (SFR) and the cost per MG to collect, treat, and dispose of wastewater for OCSD
and for similar agencies. The agencies used in the table were determined to be those
that most closely resembled OCSD in terms of services provided and treatment levels.
The summaries demonstrate that OCSD’s SFR and cost per million gallons are each
one of the lowest in their respective groups.
2015 2016 2017 2018 2019
Agency SFR SFR SFR SFR SFR Notes
San Francisco 784$ 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
Consolidated Financial Reports
Section 1 - Page 9
FY 14-15 FY 15-16 FY 16-17 FY 17-18 FY 18-19
Agency Svc. Trt. Cost/MG Cost/MG Cost/MG Cost/MG Cost/MG Notes
Vallejo Sanitation/Flood Control District B 3 5,590$ 5,396$ 4,745$ 5,393$ 6,661$
San Francisco B 3 5,358$ 5,268$ 4,916$ 5,295$ 5,995$
Union Sanitary District B 3 3,911$ 3,957$ 4,039$ 4,757$ 4,838$
City of San Diego B 4 3,592$ 3,606$ 3,834$ 4,147$ 4,180$
Central Contra Costa Sanitary District B 4 6,281$ 6,454$ 6,081$ 5,588$ 3,980$ Note 4
Dublin San Ramon Services District B 4 2,522$ 2,896$ 2,961$ 3,422$ 3,692$
City of Los Angeles B 4 2,269$ 2,452$ 2,487$ 2,329$ 3,046$ Note 2
Sacramento County T 4 2,494$ 2,571$ 2,752$ 2,831$ 2,812$
East Bay MUD T 3 2,728$ 2,599$ 2,353$ 3,137$ 2,710$ Note 3
Orange County Sanitation District B 3 2,071$ 2,110$ 2,055$ 2,069$ 2,275$
City of Fresno B 4 1,629$ 1,678$ 1,796$ 1,813$ 1,945$
Los Angeles County B 4 1,239$ 1,371$ 1,151$ 1,365$ 1,506$ Note 1
Legend for Service Provided and Treatment Level:
B - Agency operates both collection and treatment facilities
T - Agency provides treatment services but not collection
3 - Secondary treatment
4 - Advanced secondary or secondary with some tertiary treatment
Notes:
(1) - Does not include source control or overhead costs.
(3) - Operating expense decreased $1.1 million.
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.
FY 2019-20 Third Quarter Financial Report
Section 1 - Page 10
Capital Outlay Review:
As depicted by the preceding chart, Capital Outlays totaled $79.0 million or 51.5
percent of the capital outlay cash flow budget for FY 2019-20 as of March 31,
2020. Costs are proportionately low through the third quarter as some projects are still
in the design phase or have experienced various delays or deferrals. Examples as of
March 31 are Ocean Outfall System Rehabilitation, which has a budget of $26.9 million
but actual costs of $12.7 million, Newhope-Placentia Trunk Replacement, which has a
budget of $22.7 million but actual costs of $12.5 million, Headquarters Complex and
Site Security at Plant 1, which has a budget of $9.8 million but actual costs of $4.6
million, and Rehabilitation of Western Regional Sewers, which has a budget of $9.6
million but actual costs of $1.4 million. Overall, the capital outlay costs of the capital
improvement program are expected to approximate $119.7 million, or 78.1 percent
of the capital outlay cash flow budget at year-end.
More detailed information on the capital improvement program is provided within
Section 3.
Capital Assets Schedule and Debt Service Budget Review: Section 4 is the Capital
Assets Schedule and Debt Service Section. This section shows the cost value of the
Sanitation District’s capital facilities at March 31, 2020, as well as the debt service costs
resulting from the need to provide funding for the construction of capital facilities.
The majority of principal payments on debt issues are due in February during the third
quarter of each fiscal year. As of March 31, 2020, 100.0 percent of the principal
payments have been made through the end of the third quarter. Total principal
Consolidated Financial Reports
Section 1 - Page 11
payments are expected to approximate budget at year-end. Interest costs are expensed
ratably throughout the fiscal year. Interest expense is anticipated to approximate budget
at year-end.
Self-Insurance Budget Reviews: Section 5 is the Self-Insurance Section. Through
March 31, the Self-Insurance Fund revenues totaled $2.0 million, or 77.2 percent of the
budget, while expenses were $1.7 million, or 66.4 percent of the budget.
Separate fund accounting is used for recording the revenue and expenses incurred in
managing these liability claims. The revenues to these funds represent charges to
operating divisions. Expenses to these funds include actual claims paid, claims
administration, and excess loss policies.
FY 2019-20 Third Quarter Financial Report
Section 1 - Page 12
This Page Intentionally Left Blank
Operating Budget Review
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Collection, Treatment, & Disposal Expenses by Major Category
Budget and Actual (in thousands)
March 31, 2020
Budget Actual
Section 2 - Page 1
Divisional Contributions to Cost Per Million Gallons
For the Nine Months Ended March 31, 2020
2019-20
03/31/18 03/31/19 Annual 03/31/20
Actual Actual Budget Actual
Flow in Million Gallons 50,691.86 52,502.90 68,620.00 51,746.04
Flow in Million Gallons per Day 185.00 191.61 188.00 188.17
Executive Management Department
General Management Administration 34.33$ 24.47$ 45.18$ 29.24$
Board Services 9.30 10.57 10.11 10.26
Public Affairs 15.18 14.36 16.84 16.60
Subtotal 58.81 49.40 72.13 56.10
Human Resources Department
Human Resources 56.99 58.25 73.73 61.86
Risk Management / Safety / Security 83.97 68.61 84.31 77.83
Subtotal 140.96 126.86 158.04 139.69
Administrative Services Department
Administrative Services 7.27 7.01 2.63 8.62
Financial Management 53.38 35.63 50.17 51.27
Contracts, Purchasing, & Materials Mgmt.67.26 85.08 72.38 61.58
Information Technology 154.81 163.72 177.20 191.86
Subtotal 282.72 291.44 302.38 313.33
Environmental Services Department
Environmental Services Administration 12.70 13.10 9.03 15.06
Resource Protection 81.92 84.95 83.86 83.04
Laboratory, Monitoring and Compliance 159.17 161.28 166.03 176.17
Subtotal 253.79 259.33 258.92 274.27
Engineering Department
Engineering Administration 7.25 8.18 10.99 15.63
Planning 47.03 48.22 78.91 55.52
Project Management Office 37.12 44.37 73.15 67.10
Design 124.40 124.78 110.52 109.11
Construction Management 69.64 75.44 82.63 96.99
Subtotal 285.44 300.99 356.20 344.35
Operations & Maintenance Department
Operations & Maintenance Administration 8.46 8.13 11.73 4.01
Collections Facilities O & M 191.85 170.80 194.83 159.26
Fleet Services 29.02 28.80 27.40 26.78
Plant No. 1 Operations 382.93 383.13 459.68 450.70
Plant No. 2 Operations 295.68 301.27 276.73 258.48
Plant No. 1 Maintenance 227.12 202.88 369.47 317.23
Maintenance Reliability and Planning 100.99 88.42 - -
Plant No. 2 Maintenance 184.88 207.29 260.88 290.81
Subtotal 1,420.93 1,390.72 1,600.72 1,507.27
Total Operating Expenses 2,442.65 2,418.74 2,748.39 2,635.01
Cost Allocation (313.15) (292.18) (297.39) (300.39)
Net Operating Requirements 2,129.50$ 2,126.56$ 2,451.00$ 2,334.62$
FY 2019-20 Third Quarter Financial Report
Section 2 - Page 2
Comparison of Expenses by Department
For the Nine Months Ended March 31, 2020
2019-20
03/31/18 03/31/19 Year to Date Budget %
Department and Division Actual Actual Budget 03/31/20 Realized
Executive Management Department
General Management Administration 1,740,416$ 1,284,666$ 3,100,280$ 1,512,830$ 48.80%
Board Services 471,458 555,186 693,980 530,971 76.51%
Public Affairs 769,519 754,073 1,155,600 859,066 74.34%
Subtotal 2,981,393 2,593,925 4,949,860 2,902,867 58.65%
Human Resources Department
Human Resources 2,889,181 3,058,534 5,059,600 3,200,832 63.26%
Risk Management / Safety / Security 4,256,740 3,602,291 5,785,360 4,027,196 69.61%
Subtotal 7,145,921 6,660,825 10,844,960 7,228,028 66.65%
Administrative Services Department
Administrative Services 368,607 367,875 180,710 446,301 246.97%
Financial Management 2,705,945 1,870,696 3,442,410 2,653,218 77.07%
Contracts, Purchasing, & Materials Mgmt. 3,409,316 4,467,024 4,966,960 3,186,515 64.15%
Information Technology 7,847,646 8,595,607 12,159,200 9,927,936 81.65%
Subtotal 14,331,514 15,301,202 20,749,280 16,213,970 78.14%
Environmental Services Department
Environmental Services Administration 643,868 687,737 619,510 779,439 125.82%
Resource Protection 4,152,905 4,460,335 5,754,790 4,297,230 74.67%
Laboratory, Monitoring and Compliance 8,068,630 8,467,743 11,393,290 9,116,317 80.01%
Subtotal 12,865,403 13,615,815 17,767,590 14,192,986 79.88%
Engineering Department
Engineering Administration 367,659 429,467 753,920 808,815 107.28%
Planning 2,383,797 2,531,679 5,414,675 2,872,954 53.06%
Project Management Office 1,881,871 2,329,814 5,019,310 3,472,153 69.18%
Design 6,306,084 6,551,416 7,583,810 5,645,889 74.45%
Construction Management 3,530,274 3,960,672 5,670,320 5,018,849 88.51%
Subtotal 14,469,685 15,803,048 24,442,035 17,818,660 72.90%
Operations & Maintenance Department
Operations & Maintenance Administration 428,922 426,865 804,870 207,491 25.78%
Collections Facilities O & M 9,725,442 8,967,709 13,369,492 8,241,191 61.64%
Fleet Services 1,470,972 1,511,908 1,880,480 1,385,591 73.68%
Plant No. 1 Operations 19,411,327 20,115,463 31,542,920 23,322,087 73.94%
Plant No. 2 Operations 14,988,780 15,817,526 18,989,328 13,375,080 70.43%
Plant No. 1 Maintenance 11,513,281 10,651,947 25,352,831 16,415,403 64.75%
Maintenance Reliability and Planning 5,119,490 4,642,314 - - 0.00%
Plant No. 2 Maintenance 9,371,662 10,883,529 17,901,451 15,048,322 84.06%
Subtotal 72,029,876 73,017,261 109,841,372 77,995,165 71.01%
Total Operating Expenses 123,823,792 126,992,076 188,595,097 136,351,676 72.30%
Cost Allocation (15,875,284) (15,341,607) (20,378,610) (15,544,292) 76.28%
Net Operating Requirements 107,948,508$ 111,650,469$ 168,216,487$ 120,807,384$ 71.82%
Operating Budget Review
Section 2 - Page 3
Summary of Collection, Treatment, & Disposal Expenses by Major Category
For the Nine Months Ended March 31, 2020
Expense Expense Increase Increase Percent
Budget Through Through (Decrease) (Decrease)Budget Remaining
2019-20 03/31/20 03/31/19 $%Realized Budget
Salary & Wages 74,364,500$ 56,233,171 55,271,874 961,297$ 1.74%75.62%18,131,329$
Employee Benefits 24,069,740 18,413,046 17,762,578 650,468 3.66%76.50%5,656,694
Administrative Expenses 2,027,930 1,357,471 1,035,678 321,793 31.07%66.94%670,459
Printing & Publication 329,970 226,884 200,501 26,383 13.16%68.76%103,086
Training & Meetings 1,109,740 413,799 479,772 (65,973) -13.75%37.29%695,941
Operating Materials & Supplies 21,008,781 14,433,764 11,798,048 2,635,716 22.34%68.70%6,575,017
Contractual Services 22,033,974 14,100,954 15,445,027 (1,344,073) -8.70%64.00%7,933,020
Professional Services 5,586,170 3,021,224 2,526,049 495,175 19.60%54.08%2,564,946
Research & Monitoring 1,099,600 949,110 579,488 369,622 63.78%86.31%150,490
Repairs & Maintenance 23,469,642 18,255,649 12,901,266 5,354,383 41.50%77.78%5,213,993
Utilities 9,250,310 6,372,899 5,961,037 411,862 6.91%68.89%2,877,411
Other Materials, Supplies,
and Services 4,244,740 2,573,705 3,030,758 (457,053) -15.08%60.63%1,671,035
Net Cost Allocation (20,378,610) (15,544,292) (15,341,607) (202,685) 1.32%76.28%(4,834,318)
Net Operating Requirements 168,216,487 120,807,384 111,650,469 9,156,915 8.20%71.82%47,409,103
Gallonage Flow (MG)68,620.00 51,746.04 52,502.90 (756.86) -1.44%
Gallonage Flow (MGD)188.00 188.17 191.61 (3.44) -1.80%
Gallonage Flow ($'s /MG)$2,451.00 $2,334.62 $2,126.56 $208.06 9.78%
Description
FY 2019-20 Third Quarter Financial Report
Section 2 - Page 4
Revenue Percent Revenue Increase Increase
Budget Through Budget Remaining Through (Decrease)(Decrease)
Description 2019-20 03/31/20 Realized Budget 03/31/19 $%
Service Fees 298,144,000$ 194,624,463$ 65.28% 103,519,537$ 183,469,083$ 11,155,380$ 6.08%
Permit Fees 9,917,000 9,535,328 96.15% 381,672 5,910,525 3,624,803 61.33%
Inter District Sewer Use-SAWPA & SBSD 2,654,000 2,020,759 76.14% 633,241 1,897,212 123,547 6.51%
Intra District Sewer Use-IRWD 6,861,560 1,298,048 18.92% 5,563,512 2,496,156 (1,198,108) -48.00%
Sludge Disposal-IRWD 5,400,000 6,732,446 124.67% (1,332,446) 7,464,317 (731,871) -9.80%
Capital Assessments-IRWD 5,397,000 2,412,883 44.71% 2,984,117 2,895,663 (482,780) -16.67%
Capital Facilities Capacity Charges 18,000,000 14,483,370 80.46% 3,516,630 14,541,626 (58,256) -0.40%
Debt Proceeds - - N/A - 110,302,416 (110,302,416) -100.00%
Property Taxes 96,354,000 65,724,632 68.21% 30,629,368 62,458,857 3,265,775 5.23%
Interest Earnings 6,602,000 24,887,764 376.97% (18,285,764) 17,799,866 7,087,898 39.82%
CIP Reimbursements 5,987,869 2,790,042 46.59% 3,197,827 86,313 2,703,729 3132.47%
Wastehauler 750,000 817,486 109.00% (67,486) 551,739 265,747 48.17%
Grant Revenue 464,000 50,651 10.92% 413,349 - 50,651 100.00%
CNG Sales 400,000 195,167 48.79% 204,833 244,607 (49,440) -20.21%
Rents & Leases 2,260,100 537,946 23.80% 1,722,154 1,464,659 (926,713) -63.27%
Other Revenues 6,413,529 1,463,135 22.81% 4,950,394 352,599 1,110,536 314.96%
Power Sales 25,000 103,843 415.37% (78,843) 22,566 81,277 360.17%
Other Sales 50,000 136,465 272.93% (86,465) 86,140 50,325 58.42%
Total Revenues 465,680,058$ 327,814,428$ 70.39% 137,865,630$ 412,044,344$ (84,229,916)$ -20.44%
Summary of Revenues
For the Nine Months Ended March 31, 2020
Operating Budget Review
Section 2 - Page 5
FY 2019-20 Third Quarter Financial Report
Summary of Collection, Treatment, & Disposal Expenses by Line Item
For the Nine Months Ended March 31, 2020
Expense Percent Expense Increase
Budget Through Budget Remaining Through (Decrease)
Description 2019-20 03/31/20 Expensed Budget 03/31/19 $
Salaries, Wages & Benefits
Salaries & Wages 74,364,500$ 56,233,171$ 75.62% 18,131,329$ 55,271,874$ 961,297$ 1.74%
Employee Benefits
Retirement 11,478,840 8,924,011 77.74%2,554,829 8,545,427 378,584 4.43%
Group Insurances 11,006,200 8,192,190 74.43%2,814,010 8,101,144 91,046 1.12%
Tuition & Certification Reimb 98,100 64,912 66.17%33,188 101,147 (36,235) -35.82%
Edu. degrees, Cert. & Lic.470,300 464,806 98.83%5,494 384,669 80,137 20.83%
Uniform Rental 140,800 86,545 61.47%54,255 109,836 (23,291) -21.21%
Workers' Compensation 780,000 584,998 75.00%195,002 439,948 145,050 32.97%
Unemployment Insurance 3,200 12,116 378.63%(8,916) 1,607 10,509 653.95%
EMT Supplemental Benefits 92,300 83,468 90.43%8,832 78,800 4,668 5.92%
Total Benefits 24,069,740 18,413,046 76.50% 5,656,694 17,762,578 650,468 3.66%
Salaries, Wages & Benefits 98,434,240 74,646,217 75.83% 23,788,023 73,034,452 1,611,765 2.21%
Matl, Supply, & Services
Administrative Expenses
Memberships 639,660 486,589 76.07%153,071 513,657 (27,068) -5.27%
Office Exp - Supplies 71,330 53,516 75.03%17,814 40,798 12,718 31.17%
Postage 43,330 28,187 65.05%15,143 28,097 90 0.32%
Books & Publications 62,340 51,819 83.12%10,521 15,212 36,607 240.65%
Forms 970 - 0.00%970 1,245 (1,245) -100.00%
Small Computer Items 900,300 611,377 67.91%288,923 358,300 253,077 70.63%
Minor Furniture & Fixtures 310,000 125,983 40.64%184,017 78,369 47,614 60.76%
Subtotal 2,027,930 1,357,471 66.94% 670,459 1,035,678 321,793 31.07%
Printing & Publication
Repro-In-House 200,790 180,132 89.71%20,658 159,702 20,430 12.79%
Printing-Outside 66,480 21,054 31.67%45,426 15,236 5,818 38.19%
Notices & Ads 62,650 25,656 40.95%36,994 25,552 104 0.41%
Photo Processing 50 42 84.00%8 11 31 281.82%
Subtotal 329,970 226,884 68.76% 103,086 200,501 26,383 13.16%
Training & Meetings
Meetings 170,850 81,224 47.54%89,626 83,257 (2,033) -2.44%
Training 938,890 332,575 35.42%606,315 396,515 (63,940) -16.13%
Subtotal 1,109,740 413,799 37.29% 695,941 479,772 (65,973) -13.75%
Operating Mat'ls & Supplies
Chemical Coagulants 10,364,188 8,177,378 78.90%2,186,810 4,638,500 3,538,878 76.29%
Odor Control 7,415,288 3,876,899 52.28%3,538,389 4,856,659 (979,760) -20.17%
Disinfection 233,000 136,361 58.52%96,639 156,151 (19,790) -12.67%
Chemicals - Misc & Cogen 331,070 246,324 74.40%84,746 236,857 9,467 4.00%
Gasoline, Diesel & Oil 563,460 370,342 65.73%193,118 467,132 (96,790) -20.72%
Tools 469,135 409,582 87.31%59,553 344,882 64,700 18.76%
Safety equipment/tools 624,500 516,444 82.70%108,056 413,659 102,785 24.85%
Solv, Paints & Jan. Supplies 100,000 88,708 88.71%11,292 72,390 16,318 22.54%
Lab Chemicals & Supplies 639,570 470,990 73.64%168,580 439,788 31,202 7.09%
Other Operating Supplies 176,880 102,037 57.69%74,843 129,135 (27,098) -20.98%
Property Tax Fees 91,690 38,699 42.21%52,991 42,895 (4,196) -9.78%
Subtotal 21,008,781 14,433,764 68.70% 6,575,017 11,798,048 2,635,716 22.34%
Contractual Services
Solids Removal 13,403,700 9,278,578 69.22%4,125,122 11,504,909 (2,226,331) -19.35%
Other Waste Disposal 840,900 647,112 76.95%193,788 601,743 45,369 7.54%
Groundskeeping 193,000 135,774 70.35%57,226 131,727 4,047 3.07%
Janitorial 444,360 363,792 81.87%80,568 333,393 30,399 9.12%
Outside Lab Services 260,000 144,310 55.50%115,690 95,492 48,818 51.12%
Oxygen 306,000 282,820 92.42%23,180 262,721 20,099 7.65%
County Service Fee 512,410 18,915 3.69%493,495 46,533 (27,618) -59.35%
Temporary Services 810,000 193,857 23.93%616,143 240,814 (46,957) -19.50%
Security Services 1,608,000 1,205,120 74.95%402,880 1,209,735 (4,615) -0.38%
Other 3,655,604 1,830,676 50.08%1,824,928 1,017,960 812,716 79.84%
Subtotal 22,033,974 14,100,954 64.00% 7,933,020 15,445,027 (1,344,073) -8.70%
Increase
(Decrease)
%
Section 2 - Page 6
(Continued)
Operating Budget Review
Summary of Expenses by Line Item
For the Nine Months Ended March 31, 2020
Expense Expense Increase Increase
Budget Through Remaining Through (Decrease) (Decrease)
Description 2019-20 03/31/20 Expensed Budget 03/31/19 $ %
Continued:
Professional Services
Legal 1,565,820 939,896 60.03% 625,924 1,028,264 (88,368) -8.59%
Audit & Accounting 241,110 75,165 31.17%165,945 76,745 (1,580) -2.06%
Engineering 1,361,000 731,316 53.73% 629,684 591,551 139,765 23.63%
Enviro Scientific Consulting 200,000 53,025 26.51% 146,975 37,171 15,854 42.65%
Software Prgm Consulting 376,000 243,479 64.76% 132,521 147,853 95,626 64.68%
Advocacy Efforts 179,400 110,900 61.82% 68,500 112,502 (1,602) -1.42%
Industrial Hygiene Services 50,000 26,102 52.20% 23,898 25,064 1,038 4.14%
Labor Negotiation Services 80,000 30,080 37.60% 49,920 - 30,080 N/A
Other 1,532,840 811,261 52.93% 721,579 506,899 304,362 60.04%
Subtotal 5,586,170 3,021,224 54.08% 2,564,946 2,526,049 495,175 19.60%
Research & Monitoring
Environmental Monitoring 549,600 352,782 64.19% 196,818 227,713 125,069 54.92%
Air Quality Monitoring 100,000 121,328 121.33% (21,328) 14,275 107,053 749.93%
Research 450,000 475,000 105.56% (25,000) 337,500 137,500 40.74%
Subtotal 1,099,600 949,110 86.31% 150,490 579,488 369,622 63.78%
Repairs & Maintenance
Materials & Services 19,774,364 14,772,829 74.71% 5,001,535 10,260,008 4,512,821 43.98%
Svc. Mtc. Agreements 3,695,278 3,482,820 94.25% 212,458 2,641,258 841,562 31.86%
Subtotal 23,469,642 18,255,649 77.78% 5,213,993 12,901,266 5,354,383 41.50%
Utilities
Telephone 501,100 435,751 86.96% 65,349 339,136 96,615 28.49%
Diesel For Generators 17,000 14,466 85.09% 2,534 9,559 4,907 51.33%
Natural Gas 722,140 521,554 72.22% 200,586 687,994 (166,440) -24.19%
Power 7,237,990 4,588,242 63.39% 2,649,748 4,396,081 192,161 4.37%
Water 772,080 812,886 105.29% (40,806) 528,267 284,619 53.88%
Subtotal 9,250,310 6,372,899 68.89% 2,877,411 5,961,037 411,862 6.91%
Other Operating Supplies
Outside Equip Rental 122,000 51,057 41.85% 70,943 40,183 10,874 27.06%
Insurance Premiums 37,800 28,501 75.40% 9,299 26,996 1,505 5.57%
Prop & Gen Liab Insurance 1,720,000 1,289,997 75.00% 430,003 974,475 315,522 32.38%
Freight 87,050 86,779 99.69% 271 66,257 20,522 30.97%
Misc. Operating Expense 249,460 184,371 73.91% 65,089 158,735 25,636 16.15%
Regulatory Operating Fees 769,000 819,878 106.62% (50,878) 754,380 65,498 8.68%
Subtotal 2,985,310 2,460,583 82.42% 524,727 2,021,026 439,557 21.75%
General Mgr Contingency
& Reappropriations 1,133,800 - 0.00% 1,133,800 - - N/A
Other Non-Oper Expense 125,630 113,122 90.04% 12,508 1,009,732 (896,610) -88.80%
Total Materials,
Supplies & Services 90,160,857 61,705,459 68.44% 28,455,398 53,957,624 7,747,835 14.36%
Total Expenditures 188,595,097 136,351,676 72.30% 52,243,421 126,992,076 9,359,600 7.37%
Cost Allocation (20,378,610) (15,544,292) 76.28%(4,834,318) (15,341,607) (202,685) 1.32%
Net Operating Requirements 168,216,487$ 120,807,384$ 71.82% 47,409,103$ 111,650,469$ 9,156,915$ 8.20%
Percent
Budget
Section 2 - Page 7
FY 2019-20 Third Quarter Financial Report
Summary of Collection, Treatment, & Disposal Expenses by Process
For the Nine Months Ended March 31, 2020
Increase Increase
Actual Actual (Decrease) (Decrease)
03/31/20 03/31/19 $ %
Process:
Preliminary Treatment 5,269,702$ 5,344,574$ (74,872)$ -1.40%
Primary Treatment 15,341,428 9,978,388 5,363,040 53.75%
Secondary Treatment 7,454,605 6,735,623 718,982 10.67%
Cryogenic Plant (Plant 2)655,425 537,408 118,017 21.96%
Effluent Disposal 1,271,539 692,166 579,373 83.70%
Solids Handling 37,223,079 35,861,962 1,361,117 3.80%
Cogeneration 12,976,510 11,943,655 1,032,855 8.65%
Utilities 3,132,420 2,363,524 768,896 32.53%
Electrical Distribution 1,886,434 1,373,634 512,800 37.33%
Miscellaneous Buildings 7,855,589 7,220,611 634,978 8.79%
External Location 195,900 189,023 6,877 3.64%
Nerissa Vessel 190,301 179,032 11,269 6.29%
Laboratory 13,603,613 12,826,540 777,073 6.06%
Collections 13,750,839 16,404,329 (2,653,490) -16.18%
Net Operating Requirements 120,807,384$ 111,650,469$ 9,156,915$ 8.20%
Section 2 - Page 8
Staffing Trends
Full Time Equivalents
March 31, 2020
At March 31, 2020, the total head count was 620 employees, or a full time equivalency of 601.
Operating Budget Review
450
500
550
600
650
700
6/30/16 6/30/17 6/30/18 6/30/19 3/31/20
572 578 603 614 601
52 49
32 22 39
Actual Vacant
624 627 635 636 640
Section 2 - Page 9
FY 2019-20 Third Quarter Financial Report
This Page Intentionally Left Blank
Section 2 - Page 10
Capital Improvement Program
By Type and Funding Source
For the Nine Months Ended March 31, 2020
CIP Budget Review
Total Capital Improvement Outlays - $79,021,776
Rehabilitation and Replacement: 52%
Strategic Initiatives: 26%
Additional Capacity: 12%
Regulatory: 10%
Total Capital Improvement Outlays - $79,021,776
Collections Facilities: 22.0%
Liquid Treatment: 38.3%
Solids Handling & Digestion: 9.9%
Utility Systems: 5.3%
Support Facilities: 11.7%
Other: 12.8%
Section 3 - Page 1
Summary of Capital Improvement Construction Requirements - Current Year
For the Nine Months Ended March 31, 2020
2019-20 2019-20 2019-20
Cashflow Actual at Projected
Budget 3/31/2020 Outlay
Collection System Improvement Projects
Collections Facilities
Taft Branch Improvements 105,676 - 172,900
Newhope - Placentia Trunk Grade Separation Replacement 71,875 11,856 11,900
Newhope-Placentia Trunk Replacement 22,653,359 12,461,942 17,127,600
Westminster Blvd Force Main Replacement 2,534,429 458,663 3,541,100
Rehabilitation of Western Regional Sewers 9,563,225 1,441,470 1,955,700
Interstate 405 Widening Project Impacts on OCSD Sewers 107,640 22,052 31,000
Seal Beach Pump Station Replacement 578,588 131,136 328,500
Newport Force Main Rehabilitation - 15,247 15,300
Bay Bridge Pump Station Replacement 1,039,692 243,337 563,500
Newport Beach Pump Station Odor Control Improvements 148,187 53,700 61,900
District 6 Trunk Sewer Relief 465,049 58,357 129,600
Gisler - Red Hill Trunk Improvements - Reach B - 2,471 2,500
Gisler - Red Hill Interceptor Rehabilitation 211,211 52,754 83,200
Main Street Pump Replacement & Force Main Rehabilitation 493,458 46,540 46,600
Small Construction Projects Program - Collections 1,401,472 489,258 489,300
Operations & Maintenance Capital Program - Collections 538,207 85,049 85,100
Planning Studies Program - Collections 571,568 152,540 152,600
Research Program - Collections 33,939 - -
SARI Rock Stabilizers Removal 4,065,703 1,602,832 3,589,100
Sunflower and Red-Hill Interceptor Repair 390,189 66,421 194,300
Additional Charges to CIP Closed at 6/30/19 - (8,400) (8,400)
Subtotal - Collections Facilities 44,973,467 17,387,225 28,573,300
Revenue Area 14
Newport Force Main Rehabilitation (2.18%) - 340 400
Subtotal - Revenue Area 14 - 340 400
Total Collection System Improvement Projects 44,973,467 17,387,565 28,573,700
FY 2019-20 Third Quarter Financial Report
Section 3 - Page 2
(Continued)
Summary of Capital Improvement Construction Requirements - Current Year
For the Nine Months Ended March 31, 2020
2019-20 2019-20 2019-20
Cashflow Actual at Projected
Budget 3/31/2020 Outlay
Treatment & Disposal Projects
Headworks
Headworks Rehabilitation and Expansion at Plant 1 7,870,442 6,711,328 8,065,500
Headworks Modifications at P2 for GWRS Final Expansion 4,159,614 1,661,824 3,564,000
Subtotal - Headworks 12,030,056 8,373,152 11,629,500
Primary Treatment
Primary Clarifiers Replacements and Improvements at P1 - 854 900
Primary Clarifier Reliability Improvements at Plant No. 1 480,336 247,127 457,200
Primary Treatment Rehabilitation at Plant 2 9,186,737 7,615,814 9,691,000
Subtotal - Primary Treatment 9,667,073 7,863,795 10,149,100
Secondary Treatment
Return Activated Sludge Piping Replacement at Plant 1 2,803,867 918,321 3,137,700
Activated Sludge Aeration Basin Deck Repair at Plant 2 14,671 3,136 3,200
Return Activated Sludge Piping Replacement at Plant 2 3,234,395 466,055 1,131,000
Subtotal - Secondary Treatment 6,052,933 1,387,512 4,271,900
Solids Handling & Digestion
Sludge Dewatering and Odor Control at Plant 1 6,781,194 3,792,766 4,921,300
Digester Ferric Chloride Piping Replacement at Plant No. 1 68,898 24,079 114,700
Plant No. 2 Digester Facilities Rehabilitation 2,770,904 4,089 4,100
Sludge Dewatering and Odor Control at Plant 2 5,998,220 3,064,417 3,951,000
Interim Food Waste Receiving Facility 641,684 568,314 772,700
TPAD Digester Facility at P2 874,204 366,426 500,400
Subtotal - Solids Handling & Digestion 17,135,104 7,820,091 10,264,200
Ocean Outfall Systems
Ocean Outfall System Rehabilitation 26,862,720 12,657,360 18,776,000
Subtotal - Ocean Outfall Systems 26,862,720 12,657,360 18,776,000
Utility Systems
Digester Gas Facilities Rehabilitation 3,957,325 1,241,726 3,463,000
Natural Gas Pipelines Replacement at Plants 1 and 2 283,122 235,301 250,800
Electrical Power Distribution System Improvements 851,397 95,025 248,200
Uninterruptable Power Supply Improvements at Plant 1 270,355 49,511 200,400
Consolidated Demolition and Utility Improvements at P2 3,545,396 2,543,362 2,832,300
Substation Replacement at Plant No. 2 506,550 - -
Subtotal - Utility Systems 9,414,145 4,164,925 6,994,700
CIP Budget Review
Section 3 - Page 3
(Continued)
Summary of Capital Improvement Construction Requirements - Current Year
For the Nine Months Ended March 31, 2020
2019-20 2019-20 2019-20
Cashflow Actual at Projected
Budget 3/31/2020 Outlay
Process Related Special Projects
Safety Improvements Program 7,701,072 4,432,699 6,450,500
Subtotal - Process Related Special Projects 7,701,072 4,432,699 6,450,500
Information Management Systems
Process Control Systems Upgrades 578,902 - -
Project Management Information System 1,860,070 144,124 236,800
Information Technology Capital Program 2,749,741 928,599 1,031,900
Geographic Information System 493,346 274,330 289,700
EAM Software and Process Implementation 976,100 289,243 515,500
Process Control Systems Upgrades Study 1,783,597 361,718 673,000
Subtotal - Information Management Systems 8,441,756 1,998,014 2,746,900
Strategic & Master Planning
Planning Studies Program 4,990,554 1,245,532 2,783,300
Climate Resiliency Study 222,600 232,135 232,200
Subtotal - Strategic & Master Planning 5,213,154 1,477,667 3,015,500
Water Management Projects
GWRS Final Expansion Coordination 182,157 118,893 191,900
Subtotal - Water Management Projects 182,157 118,893 191,900
Research
Research Program 2,317,609 931,935 1,599,500
Subtotal - Research 2,317,609 931,935 1,599,500
Support Facilities
Small Construction Projects Program 4,628,659 2,397,658 4,801,900
Fleet Services UST Leak Remediation at Plant 1 2,251,879 795,260 795,300
Operations & Maintenance Capital Program 4,522,942 570,174 1,203,400
18350 Mt. Langley Building Purchase and Improvement 155,080 7,570 7,600
Title 24 Access Compliance and Building Rehab Project 1,075,459 541,517 630,500
Headquarters Complex and Site Security at Plant 1 9,765,435 4,567,849 5,363,100
South Perimeter Security and Utility Improvements at Plant No. 1 781,427 341,453 644,100
Plant 2 Warehouse Relocation 67,593 29,714 48,000
Subtotal - Support Facilities 23,248,474 9,251,195 13,493,900
FY 2019-20 Third Quarter Financial Report
Section 3 - Page 4
(Continued)
Summary of Capital Improvement Construction Requirements - Current Year
For the Nine Months Ended March 31, 2020
2019-20 2019-20 2019-20
Cashflow Actual at Projected
Budget 3/31/2020 Outlay
Others
Perimeter Screening at Plant 2 44,087 - -
Capital Improvement Program Management Services 118,846 99,724 105,800
Subtotal - Others 162,933 99,724 105,800
Total Treatment and Disposal Projects 128,429,186 60,576,962 89,689,400
Capital Equipment Purchases 2,923,300 1,057,249 1,410,000
Total Collection, Treatment and Disposal Projects
and Capital Equipment Purchases 176,325,953 79,021,776 119,673,100
Less: Savings and Deferrals (23,000,000) - -
Net Collection, Treatment and Disposal Projects
and Capital Equipment Purchases 153,325,953$ 79,021,776$ 119,673,100$
CIP Budget Review
Section 3 - Page 5
FY 2019-20 Third Quarter Financial Report
Summary of Capital Improvement Construction Requirements - Project Life
For the Nine Months Ended March 31, 2020
Current Total
Approved June 30, 2019 Year Projected Remaining
Project Accumulated Projected Cost at Future
Budget Cost Cost June 30, 2020 Budget
Collection System Improvement Projects
Collections Facilities
Taft Branch Improvements 8,130,000 12,083 172,900 184,983 7,945,017
Newhope - Placentia Trunk Grade Separation Replacement 4,300,000 4,192,559 11,900 4,204,459 95,541
Newhope-Placentia Trunk Replacement 112,000,000 61,677,495 17,127,600 78,805,095 33,194,905
Yorba Linda Pump Station Abandonment 10,800,000 - - - 10,800,000
Beach Trunk/Knott Interceptor Sewer Relief 21,000,000 - - - 21,000,000
Westminster Blvd Force Main Replacement 54,000,000 6,690,994 3,541,100 10,232,094 43,767,906
Rehabilitation of Western Regional Sewers 202,000,000 15,684,536 1,955,700 17,640,236 184,359,764
Interstate 405 Widening Project Impacts on OCSD Sewers 528,000 94,547 31,000 125,547 402,453
Seal Beach Pump Station Replacement 78,900,000 141,174 328,500 469,674 78,430,326
Los Alamitos Sub-Trunk Extension 66,000,000 - - - 66,000,000
Newport Force Main Rehabilitation 58,367,238 58,305,659 15,300 58,320,959 46,279
Crystal Cove Pumping Station Upgrade and Rehabilitation 17,900,000 - - - 17,900,000
Bay Bridge Pump Station Replacement 64,000,000 1,241,764 563,500 1,805,264 62,194,736
Newport Beach Pump Station Odor Control Improvements 4,066,000 52,522 61,900 114,422 3,951,578
District 6 Trunk Sewer Relief 7,965,000 7,086,802 129,600 7,216,402 748,598
Gisler - Red Hill Trunk Improvements - Reach B 25,213,000 25,017,792 2,500 25,020,292 192,708
MacArthur Pump Station Rehabilitation 9,151,000 - - - 9,151,000
Main Street Pump Station Rehabilitation 40,660,000 - - - 40,660,000
Gisler - Red Hill Interceptor Rehabilitation 14,800,000 - 83,200 83,200 14,716,800
Main Street Pump Replacement & Force Main Rehabilitation 17,160,000 - 46,600 46,600 17,113,400
MacArthur Force Main Improvement 2,385,000 - - - 2,385,000
Edinger Bolsa Chica Trunk Improvements 5,159,000 - - - 5,159,000
Edinger Pump Station Upgrade and Rehabilitation 14,100,000 - - - 14,100,000
Slater Avenue Pump Station Rehabilitation 25,300,000 - - - 25,300,000
Small Construction Projects Program - Collections 9,258,000 3,606,091 489,300 4,095,391 5,162,609
Operations & Maintenance Capital Program - Collections 570,109 33,002 85,100 118,102 452,007
Planning Studies Program - Collections 4,258,600 3,178,275 152,600 3,330,875 927,725
Research Program - Collections 154,000 46,250 - 46,250 107,750
SARI Rock Stabilizers Removal 6,860,000 1,059,637 3,589,100 4,648,737 2,211,263
Sunflower and Red-Hill Interceptor Repair 5,500,000 20,888 194,300 215,188 5,284,812
Additional Charges to CIP Closed at 6/30/19 - - (8,400) (8,400) 8,400
Subtotal - Collections Facilities 890,484,947 188,142,070 28,573,300 216,715,370 673,769,577
Revenue Area 14:
Newport Force Main Rehabilitation (2.18%) 1,300,762 1,299,390 400 1,299,790 972
Subtotal - Revenue Area 14 1,300,762 1,299,390 400 1,299,790 972
Total Collection System Improvement Projects 891,785,709 189,441,460 28,573,700 218,015,160 673,770,549
Section 3 - Page 6
(Continued)
Summary of Capital Improvement Construction Requirements - Project Life
For the Nine Months Ended March 31, 2020
Current Total
Approved June 30, 2019 Year Projected Remaining
Project Accumulated Projected Cost at Future
Budget Cost Cost June 30, 2020 Budget
Treatment & Disposal Projects
Headworks
Headworks Rehabilitation and Expansion at Plant 1 406,000,000 19,524,945 8,065,500 27,590,445 378,409,555
Headworks Modifications at P2 for GWRS Final Expansion 54,000,000 5,356,267 3,564,000 8,920,267 45,079,733
Subtotal - Headworks 460,000,000 24,881,212 11,629,500 36,510,712 423,489,288
Primary Treatment
Primary Clarifiers Replacements and Improvements at P1 106,000,000 521,057 900 521,957 105,478,043
Primary Clarifier Reliability Improvements at Plant No. 1 12,000,000 198,647 457,200 655,847 11,344,153
Primary Treatment Rehabilitation at Plant 2 245,000,000 16,832,705 9,691,000 26,523,705 218,476,295
B/C-Side Primary Clarifiers Rehabilitation at Plant 2 249,560,000 - - - 249,560,000
Subtotal - Primary Treatment 612,560,000 17,552,409 10,149,100 27,701,509 584,858,491
Secondary Treatment
Return Activated Sludge Piping Replacement at Plant 1 10,300,000 964,280 3,137,700 4,101,980 6,198,020
Activated Sludge Aeration Basin Deck Repair at Plant 2 1,800,000 1,612,387 3,200 1,615,587 184,413
Return Activated Sludge Piping Replacement at Plant 2 20,000,000 849,751 1,131,000 1,980,751 18,019,249
Subtotal - Secondary Treatment 32,100,000 3,426,418 4,271,900 7,698,318 24,401,682
Solids Handling & Digestion
Digester Rehabilitation at Plant 1 66,000,000 65,609,228 - 65,609,228 390,772
Sludge Dewatering and Odor Control at Plant 1 199,500,000 191,251,029 4,921,300 196,172,329 3,327,671
Digester Ferric Chloride Piping Replacement at Plant No. 1 1,360,000 - 114,700 114,700 1,245,300
Plant No. 2 Digester Facilities Rehabilitation 15,500,000 14,717 4,100 18,817 15,481,183
Sludge Dewatering and Odor Control at Plant 2 90,477,000 80,701,878 3,951,000 84,652,878 5,824,122
Interim Food Waste Receiving Facility 6,300,000 448,580 772,700 1,221,280 5,078,720
TPAD Digester Facility at P2 405,100,000 - 500,400 500,400 404,599,600
Digester P, Q, R, and S Replacement 166,000,000 - - - 166,000,000
Subtotal - Solids Handling & Digestion 950,237,000 338,025,432 10,264,200 348,289,632 601,947,368
Ocean Outfall Systems
Ocean Outfall System Rehabilitation 166,000,000 38,447,897 18,776,000 57,223,897 108,776,103
Subtotal - Ocean Outfall Systems 166,000,000 38,447,897 18,776,000 57,223,897 108,776,103
Utility Systems
UPS System Upgrades 4,700,000 - - - 4,700,000
Digester Gas Facilities Rehabilitation 156,500,000 4,894,979 3,463,000 8,357,979 148,142,021
Natural Gas Pipelines Replacement at Plants 1 and 2 1,310,000 221,027 250,800 471,827 838,173
Electrical Power Distribution System Improvements 30,000,000 138,428 248,200 386,628 29,613,372
CIP Budget Review
Section 3 - Page 7
(Continued)
FY 2019-20 Third Quarter Financial Report
Summary of Capital Improvement Construction Requirements - Project Life
For the Nine Months Ended March 31, 2020
Current Total
Approved June 30, 2019 Year Projected Remaining
Project Accumulated Projected Cost at Future
Budget Cost Cost June 30, 2020 Budget
Utility Systems (continued)
Central Generation Rehabilitation at Plant 1 87,000,000 - - - 87,000,000
Uninterruptable Power Supply Improvements at Plant 1 7,000,000 79,108 200,400 279,508 6,720,492
Consolidated Demolition and Utility Improvements at P2 31,000,000 26,399,159 2,832,300 29,231,459 1,768,541
Central Generation Rehabilitation at Plant 2 114,000,000 - - - 114,000,000
Substation Replacement at Plant No. 2 40,261,000 - - - 40,261,000
Subtotal - Utility Systems 471,771,000 31,732,701 6,994,700 38,727,401 433,043,599
Process Related Special Projects
Safety Improvements Program 19,000,000 8,118,140 6,450,500 14,568,640 4,431,360
Subtotal - Process Related Special Projects 19,000,000 8,118,140 6,450,500 14,568,640 4,431,360
Information Management Systems
Process Control Systems Upgrades 46,000,000 - - - 46,000,000
Project Management Information System 4,000,000 1,149,166 236,800 1,385,966 2,614,034
SCADA System and Network Upgrades 5,000,000 4,970,908 - 4,970,908 29,092
Information Technology Capital Program 10,000,000 1,250,053 1,031,900 2,281,953 7,718,047
Geographic Information System 4,568,000 3,058,209 289,700 3,347,909 1,220,091
EAM Software and Process Implementation 7,500,000 5,219,288 515,500 5,734,788 1,765,212
Process Control Systems Upgrades Study 3,554,000 1,224,489 673,000 1,897,489 1,656,511
Subtotal - Information Management Systems 80,622,000 16,872,113 2,746,900 19,619,013 61,002,987
Strategic & Master Planning
Planning Studies Program 24,393,400 8,690,620 2,783,300 11,473,920 12,919,480
Climate Resiliency Study 878,000 586,978 232,200 819,178 58,822
Subtotal - Strategic & Master Planning 25,271,400 9,277,598 3,015,500 12,293,098 12,978,302
Water Management Projects
GWRS Final Expansion Coordination 1,132,000 232,090 191,900 423,990 708,010
Subtotal - Water Management Projects 1,132,000 232,090 191,900 423,990 708,010
Research
Research Program 8,346,000 617,093 1,599,500 2,216,593 6,129,407
Subtotal - Research 8,346,000 617,093 1,599,500 2,216,593 6,129,407
Section 3 - Page 8
(Continued)
Summary of Capital Improvement Construction Requirements - Project Life
For the Nine Months Ended March 31, 2020
Current Total
Approved June 30, 2019 Year Projected Remaining
Project Accumulated Projected Cost at Future
Budget Cost Cost June 30, 2020 Budget
Support Facilities
Small Construction Projects Program 29,040,000 12,847,554 4,801,900 17,649,454 11,390,546
Fleet Services UST Leak Remediation at Plant 1 14,952,000 374,111 795,300 1,169,411 13,782,589
Operations & Maintenance Capital Program 15,051,891 1,334,458 1,203,400 2,537,858 12,514,033
18350 Mt. Langley Building Purchase and Improvement 10,200,000 9,907,140 7,600 9,914,740 285,260
Laboratory Rehabilitation at Plant No. 1 15,000,000 - - - 15,000,000
Title 24 Access Compliance and Building Rehab Project 18,400,000 17,054,173 630,500 17,684,673 715,327
Headquarters Complex and Site Security at Plant 1 167,500,000 24,758,304 5,363,100 30,121,404 137,378,596
South Perimeter Security and Utility Improvements at Plant No. 1 10,500,000 543,599 644,100 1,187,699 9,312,301
Plant 2 Warehouse Relocation 9,800,000 - 48,000 48,000 9,752,000
Plant 2 Collections Yard Relocation 1,840,000 - - - 1,840,000
Subtotal - Support Facilities 292,283,891 66,819,339 13,493,900 80,313,239 211,970,652
Others
Banning Gate Relocation and Grading at Plant 2 2,931,000 - - - 2,931,000
Perimeter Screening at Plant 2 2,800,000 64,040 - 64,040 2,735,960
Capital Improvement Program Management Services 700,000 184,309 105,800 290,109 409,891
Subtotal - Others 6,431,000 248,349 105,800 354,149 6,076,851
Total Treatment and Disposal Projects 3,125,754,291 556,250,791 89,689,400 645,940,191 2,479,814,100
Capital Equipment Purchases 9,727,153 - 1,410,000 1,410,000 8,317,153
Total Collection, Treatment and Disposal Projects
and Capital Equipment Purchases 4,027,267,153$ $745,692,251 $119,673,100 $865,365,351 $3,161,901,802
CIP Budget Review
Section 3 - Page 9
FY 2019-20 Third Quarter Financial Report
This Page Intentionally Left Blank
Section 3 - Page 10
Capital Assets Schedule
For the Nine Months Ended March 31, 2020
Balance Year-to-Date Balance
07/01/19 Activity 03/31/20
CONSTRUCTION IN PROGRESS:
Treatment Plant 447,941,678$ 61,634,211$ 509,575,889$
Collection System 73,889,956 17,387,565 91,277,521
Subtotal 521,831,634 79,021,776 600,853,410
PROPERTY, PLANT & EQUIPMENT (at cost):
Land and Property Rights 41,967,355 - 41,967,355
Collection Lines and Pump Stations 886,790,503 - 886,790,503
Treatment Facilities 2,478,726,934 - 2,478,726,934
Effluent disposal facilities 96,972,016 - 96,972,016
Solids disposal facilities 3,463,236 - 3,463,236
General and administrative facilities 257,168,345 - 257,168,345
Excess purchase price over book value on acquired assets 19,979,000 - 19,979,000
Subtotal 3,785,067,389 - 3,785,067,389
Total Property, Plant & Equipment & CIP 4,306,899,023$ 79,021,776$ 4,385,920,799$
2019-20 Year-to-Date Remaining
Budget Payments % of Budget Budget
Principal Payments by Debt Issue:
2010A BABs - - 0.00% -
2010C BABs - - 0.00% -
2011A COP - - 0.00% -
2012A COP - - 0.00% -
2012B COP 20,915,000 20,915,000 100.00% -
2014A COP 7,400,000 7,400,000 100.00% -
2015A COP - - 0.00% -
2016A COP 4,415,000 4,415,000 100.00% -
2017A COP - - 0.00% -
2018A CANs - - 0.00% -
Subtotal Principal Payments 32,730,000 32,730,000 100.00% -
Interest Expense by Debt Issue:
2010A BABs 2,897,700 2,487,335 85.84% 410,365
2010C BABs 6,523,800 5,600,105 85.84% 923,695
2011A COP 3,348,400 2,511,350 75.00% 837,050
2012A COP 3,735,900 2,802,000 75.00% 933,900
2012B COP 2,191,400 1,469,200 67.04% 722,200
2014A COP 3,566,500 2,613,300 73.27% 953,200
2015A COP 6,375,500 4,781,600 75.00% 1,593,900
2016A COP 6,977,300 5,196,200 74.47% 1,781,100
2017A COP 3,318,500 2,488,900 75.00% 829,600
2018A CANs 5,110,000 3,832,500 75.00% 1,277,500
Subtotal Interest Expense 44,045,000 33,782,490 76.70% 4,780,410
Total Debt Service 76,775,000$ 66,512,490$ 86.63% 4,780,410$
Section 4 - Page 1
Capital Facilities Budget Review
Capital Assets Schedule & Debt Service Budget Review
Debt Service Budget Review
FY 2019-20 Third Quarter Financial Report
This Page Intentionally Left Blank
Section 4 - Page 2
General Liability and Property Fund Budget Review
For the Nine Months Ended March 31, 2020
Actual Actual
2019-20 Through Through
Budget 03/31/20 03/31/19
Revenues:
In-Lieu Premiums 1,720,000$ 1,289,997$ 75.00%430,003$ 974,475$ 315,522$
Miscellaneous Other Revenue 10,000 - 0.00%- 3,794 (3,794)
Service Department Allocations 20,000 (2,322) -11.61%22,322 (2,322) -
Total Revenues 1,750,000 1,287,675 73.58%452,325 975,947 311,728
Expenses:
Benefits/Claims 360,000 54,152 15.04%305,848 54 54,098
Legal Services 40,000 - 0.00%40,000 - -
Professional Services 10,000 - 0.00%10,000 451 (451)
Subtotal 410,000 54,152 13.21%355,848 505 53,647
Policy Premium Expense 1,340,000 1,063,033 79.33%276,967 957,673 105,360
Total Expenses 1,750,000 1,117,185 63.84%632,815 958,178 159,007
Excess Revenue (Expense)- 170,490 (180,490)$ 17,769 152,721
Beginning Reserves 55,000,000 55,389,842 55,367,246 22,596
Ending Reserves 55,000,000$ 55,560,332$ 55,385,015$ 175,317$
03/31/20 Budget (Decrease)
Self Insurance Budget Review
Percent
of Budget Remaining
Through 2019-20 Increase
Section 5 - Page 1
FY 2019-20 Third Quarter Financial Report
Workers' Compensation Fund Budget Review
For the Nine Months Ended March 31, 2020
Actual Actual
2019-20 Through Through
Budget 03/31/20 03/31/20 03/31/19
Revenues:
In-Lieu Premiums 780,000$ 585,000$ 75.00%195,000$ 439,950$ 145,050$
Service Department Allocations - 81,522 N/A (81,522) 81,522 -
Total Revenues 780,000 666,522 85.45%113,478 521,472 145,050
Expenses:
Benefits/Claims 430,000 293,507 68.26%136,493 305,381 (11,874)
Legal Services 80,000 77,900 97.38%2,100 43,081 34,819
Professional Services 60,000 29,774 49.62%30,226 50,101 (20,327)
Subtotal 570,000 401,181 70.38%168,819 398,563 2,618
Policy Premium Expense 210,000 161,734 77.02%48,266 161,789 (55)
Total Expenses 780,000 562,915 72.17%217,085 560,352 2,563
Excess Revenue (Expense)- 103,607 (103,607)$ (38,880) 142,487
Beginning Reserves 2,000,000 2,036,708 2,085,542 (48,834)
Ending Reserves 2,000,000$ 2,140,315$ 2,046,662$ 93,653$
Budget (Decrease)
Percent
of Budget Remaining
Through 2019-20 Increase
Section 5 - Page 2
OCSD ♦ P.O. Box 8127 ♦ Fountain Valley, CA 92728-8127 ♦ (714) 962-2411
April 30, 2020
STAFF REPORT
Quarterly Treasurer’s Report
For the Period Ended March 31, 2020
SUMMARY
Section 17.0 of the Orange County Sanitation District's (OCSD) Investment Policy
includes quarterly reporting requirements for OCSD's two investment portfolios. These
two funds, the "Liquid Operating Monies," and the "Long-Term Operating Monies" are
managed by Chandler Asset Management, OCSD’s external money manager.
The ongoing monitoring of OCSD's investment program by staff and Callan Associates,
OCSD's independent investment advisor, indicates that OCSD's investments are in
compliance with OCSD's adopted Investment Policy and the California Government
Code, and that overall performance has tracked with benchmark indices. In addition,
sufficient liquidity and anticipated revenues are available for OCSD to meet budgeted
expenditures for the next six months. OCSD’s portfolios do not include any reverse
repurchase agreements or derivative securities.
ADDITIONAL INFORMATION
Performance Reports
The Quarterly Strategy Review, prepared by Chandler Asset Management, and the
Investment Measurement Service Quarterly Review, prepared by Callan Associates, is
attached for reference. Also attached are Long-Term and Liquid Operating Monies
Summary of Performance Data and Portfolio Statistics charts that depict the performance
results, estimated yield and duration, credit quality, and sector diversification of OCSD's
portfolios, as of March 31, 2020. The Liquid Operating Monies portfolio, with an average
maturity of 81 days, consists entirely of high quality fixed income investments consistent
with the OCSD’s investment policy.
Portfolio Performance Summary
The following table presents a performance summary of OCSD's portfolios as compared
to their benchmarks as of March 31, 2020.
Quarterly Treasurer’s Report
For the Period Ended March 31, 2020
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)
30 Jun 19 164.5 558.1
30 Sep 19 68.2 548.1
31 Dec 19 175.6 579.9
31 Mar 20 113.5 590.3
Portfolio Performance Summary As of March 31, 2020
Liquid Operating Monies (%)Long-Term Operating Monies (%)
Total Rate of Return Benchmark(1) Total Rate of Return Benchmark(1)
3 Months 0.72 0.57 2.51 2.97
6 Months 1.23 1.04 3.01 3.42
9 Months 1.83 1.61 3.92 4.27
12 Months 2.53 2.25 5.68 6.20
Annualized Since inception 30 Nov 2014 1.25 1.12 2.23 2.27
Market Value $113.5 M $590.3 M
Average Quality “AA+”/”Aaa” “AA”/”Aa1”
Current Yield (%) 1.58 2.21
Estimated Yield to Maturity (%) 0.45 0.89
Quarterly Deposits (Withdrawals) ($63.0) M ($4.0) M
Estimated Annual Income $1.5 M $13.1 M
Quarterly Treasurer’s Report
For the Period Ended March 31, 2020
Page 3 of 4
Orange County Sanitation District’s Investment Account Balances as of March 31, 2020
Investment Accounts
Book Balances
March 31, 2020
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
$60,799,265
2,740,389
327,530
86,530
186,221
586,246
113,512,314
590,342,927
6,500
3,601,044
$772,188,966
$6,993
1.79
0.55
0.20
0.55
0.75
0.75
0.45
0.89
0.00
0.00
0.89
0.33
Orange County Sanitation District’s Cost of Funds on Debt Issues as of March 31, 2020
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
25,560,000
63,930,000
127,510,000
141,465,000
66,370,000
102,200,000
$940,050,000
3.68
4.11
2.61
3.54
1.50
2.34
3.30
3.02
2.55
2.02
3.09
Quarterly Treasurer’s Report
For the Period Ended March 31, 2020
Page 4 of 4
ATTACHMENTS
1. Chandler Quarterly Report
2. Summary of Performance Data and Portfolio Statistics – Liquid Operating Monies
3. Summary of Performance Data and Portfolio Statistics – Long Term Operating
Monies
4. Investment Transactions and Balances in LAIF
5. Asset Summary by Asset Type – Liquid Operating Portfolio
6. Asset Summary by Asset Type – Long Term Portfolio
7. Asset Summary by Asset Type – Owner Controlled Insurance Program Escrow
Account
8. Investment Listing (Yield Analysis Report)
9. Asset Detail – Consolidated
10. Custody Transaction History – Consolidated
11. Callan Quarterly Review
12. Chandler Quarterly Review
13. Rating Agency Comparisons
1
March 31, 2020
Mr. Lorenzo Tyner
Assistant General Manager
Director of Finance and Administrative Services
Orange County Sanitation District
10844 Ellis Avenue
Fountain Valley CA 92708-7018
Dear Lorenzo,
Bond Market Recap
Financial markets were extremely turbulent in March, driven by a high level of uncertainty and fear regarding the impact
of the COVID-19 pandemic on the global economy. The S&P 500 index declined 20.0% in the first quarter and the average
option adjusted spread on investment grade corporate bonds (based on the ICE BofA US Corporate Index) widened more
than 200 basis points. At the end of the first quarter, the yield on 2-year Treasuries was down 132 basis points year-to-
date, and the yield on 10-year Treasuries was down nearly 125 basis points, as a global flight to quality put downward
pressure on yields.
There are still many unknowns about the coronavirus and the outlook for the economy remains uncertain, but we believe
the US economy entered a recession in March. Containment efforts and supply chain disruptions will likely cause a sharp
increase in unemployment and a swift and deep contraction in economic activity. In the March 28 week, 6.6 million people
filed an initial claim for unemployment, following 3.3 million initial claims in the previous week. These figures indicate that
the employment report for April will be very weak and that the unemployment rate is already approaching 10%. Financial
markets will likely remain volatile over the near-term, but we believe large-scale global monetary and fiscal stimulus
programs will help mitigate the longer-term economic impact of the pandemic. At this point, we believe a U-shaped
economic recovery heading into 2021 is possible.
The speed and level of fiscal and monetary relief from the federal government and Federal Reserve in the last month has
already surpassed the financial crisis. President Trump approved a $2 trillion economic relief package on March 27, the
largest fiscal stimulus package in US history. We believe it will take a few weeks to fully implement the program, but small
businesses have started to apply for paycheck protection program loans and direct payments to households are expected
to go out in a few days. Fiscal relief from the government has been complimented by a wide range of aggressive actions
by the Federal Reserve to help stabilize and provide liquidity to the financial markets. During March, the Fed lowered the
fed funds target rate by a cumulative total of 150 basis points to a range of 0.0%-0.25% and said it will purchase Treasury
and agency mortgage-backed securities in any amount needed to support smooth market functioning. Policymakers
reinstated the Commercial Paper Funding Facility and Money Market Mutual Fund Liquidity Facility in order to provide
liquidity to the commercial paper, money markets, and the municipal bond markets. The Fed also established the Primary
Market Corporate Credit Facility and Secondary Market Corporate Credit Facility to support the corporate bond market.
The Term Asset-Backed Securities Loan Facility was established to enable the issuance of asset-backed securities backed
by student loans, auto loans, credit card loans, and loans guaranteed by the Small Business Administration. The Fed has
provided short-term funding through large-scale repo operations and lowered the reserve requirement for depository
institutions. Policymakers are also working on a Main Street Business Lending Program to support lending to small-and-
medium sized businesses. Looking ahead, we would not rule out the possibility of another phase of fiscal and/or monetary
stimulus, depending on the duration of the social distancing guidelines and ultimate impact on the economy.
2
Consumer Prices
The Consumer Price Index (CPI) was up 2.3% year-over-year in February, down from 2.5% in January. Core CPI (CPI less
food and energy) was up 2.4% year-over-year in February, up from 2.3% in January. The Personal Consumption
Expenditures (PCE) index was up 1.8% year-over-year in February, unchanged from 1.8% year-over-year in January. Core
PCE, which is the Fed's primary inflation gauge, was up 1.8% year-over-year in February versus 1.7% year-over-year in
January. Core PCE was trending below the Fed’s 2.0% inflation target before the COVID-19 pandemic.
Retail Sales
On a year-over-year basis, retail sales were up 4.3% in February versus 5.0% in January. On a month-over-month basis,
retail sales excluding autos and gas fell 0.2% in February, well below expectations for a 0.4% increase. Control group sales
were flat in February, below expectations of a 0.4% gain. Several retail categories showed weakness in February including
auto sales and gasoline, building materials, clothing stores, electronics & appliances. The impact of the coronavirus was
only beginning to emerge in February but the outlook for retail sales in the coming months is under significant pressure.
Labor Market
U.S. nonfarm payrolls declined by 701,000 in March. Employment in leisure and hospitality was particularly weak with
payrolls down 459,000. The U-3 unemployment rate increased to 4.4% in March from 3.5% in February, and the
participation rate declined to 62.7% from 63.4%. A broader measure of unemployment called the U-6, which includes
those who are marginally attached to the labor force and employed part time for economic reasons, increased to 8.7%
from 7.0%. Wages rose 0.4% in March and were up 3.1% on year-over-year basis. The average workweek declined to 34.2
hours from 34.4 hours. Notably, the establishment survey of payrolls and the household survey of unemployment were
collected in the first half of March, which predates many of the business and school closures related to the pandemic.
Housing Starts
Housing starts remained strong in February at an annual rate of 1,599,000, exceeding the consensus forecast. On a month-
over-month basis, single family starts rose 6.7% to an annualized rate of 1,072,000, while multi-family starts declined
14.9% to an annualized rate of 527,000. Low mortgage rates and a strong labor market were fueling housing activity
heading into the COVID-19 crisis.
3
TREASURY YIELDS 3/31/2020 12/31/2019 CHANGE
3 Month 0.06 1.54 (1.48)
2 Year 0.25 1.57 (1.32)
3 Year 0.29 1.61 (1.32)
5 Year 0.38 1.69 (1.31)
7 Year 0.54 1.83 (1.29)
10 Year 0.67 1.92 (1.25)
30 Year 1.32 2.39 (1.07)
4
Performance Attribution
Long-Term Portfolio
The portfolio generated a positive absolute return of 2.51% during the quarter but materially underperformed the 2.97%
return of the ICE Bank of America Merrill Lynch 1-5 Year US Corporate and Government AAA-A Index. The economic
impact of the escalation of the coronavirus negatively impacted the spread performance of virtually all asset classes during
the month of March, leading to the relative underperformance of the portfolio. Although the portfolio maintains a healthy
allocation to the Treasury sector the exposure is significantly underweight relative to the benchmark which was the
primary driver related to the relative performance shortfall.
Multiple securities were purchased across the Treasury, Agency, Asset Backed and Corporate sectors of the market to
keep the portfolio positioned consistent with Chandler targets. The purchased securities ranged in maturity from
December 2022 to March 2025. Several securities were sold and two matured to help facilitate the new holding in the
portfolio. Additionally, there was a $10 million withdrawal early in the quarter and a $6 million contribution late in the
quarter. The sector allocation changed moderately over the most recent quarterly reporting period. Two of the larger
changes include the 5.0% increase in the Agency allocation, to 27.8% of the portfolio, partially offset by the 2.4% decline
in the US Treasury allocation, to 32.4% of the portfolio. The duration of the portfolio extended to 2.47 compared to 2.41
as of December 31, 2019. The majority of the new holdings in the portfolio were near the five year maturity point as the
Chandler team looked to decrease the aggregate interest rate sensitivity of the portfolio relative to the benchmark.
Liquid Portfolio
The Liquidity Portfolio generated a positive absolute return of 0.72% and outperformed the 0.57% return of the ICE Bank
of America Merrill Lynch 3 Month Treasury Bill Index. Many securities were purchased predominately in the Treasury
sector to keep the portfolio invested to forecasted liquidity dates. The purchased securities ranged in maturity from
February 2020 to August 2020. One security was sold and many matured to meet the liquidity requirements of the
portfolio. Cash flows into the portfolio were varied but on a net basis $63 million was withdrawn from the portfolio during
the quarter. The sector allocation evolved with the large cash withdrawal from the portfolio and the flight to quality price
movements in short maturity Treasury notes. Two of the larger changes include the 11.2% decline in the Treasury
allocation to 67.1% of the portfolio and the 19.8% increase in the money market allocation to 22.8% of the portfolio. The
Chandler team will be spending down the money market allocation with longer maturity investments during the month
of April. The duration of the portfolio was close to unchanged, ending the quarter at 0.22 compared to 0.21 at the end of
the year. The Chandler team will be looking to opportunistically increase the duration of the portfolio in the upcoming
quarter.
5
Economic Outlook
The coronavirus (COVID-19) is having an acute negative impact on the domestic and global economy as large segments of
the economy are essentially shut down. The strength of the US economy prior to the onset of the COVID-19, the US
consumer and the ‘service sector’ portion of the economy, had been relatively immune to the more cyclical elements
economy over the past several years. At the current juncture the previous strength is a liability with the US consumer
quarantined and significant portions of the ‘service’ economy shut down. Until forecasters get some visibility on when,
and to what degree, the economy will function as quarantines are lifted later in the year financial markets across asset
classes will remain volatile. Chandler’s base case is the quarantines will begin to be lifted regionally late in the 2nd half of
Q2 with the possibility of ‘rolling’ quarantines later in the year when the infection rate of the coronavirus spikes up again.
Progress and visibility on the timing of a vaccine for COVID-19 will serve as a material catalyst for the ultimate recovery of
the economy. Assuming additional quarantines are reintroduced later in the year the impact to the economy will be less
severe as all will have learned from the current experience. The Chandler team is concerned about the secular implications
of the virus and the likely changes to consumer behavior on a go forward basis and will be positioning the fixed income
portfolio with those concerns in mind.
Prior to the onset of the coronavirus on the domestic economy the data and trajectory of the economy were sound. The
low unemployment rate and high savings rate should act as a catalyst to get the economy back on track sooner compared
to other periods of severe financial stress in 2000 and 2008. The Federal Reserve has acted preemptively and forcefully
to help offset the impact of the coronavirus. Although the Federal Reserve had a Federal Open Market Committee (FOMC)
meeting scheduled on March 18th which was ultimately cancelled, on Tuesday, March 3rd the Fed Funds target was
reduced by 50 basis points, following by another 100 basis point adjustment lower on Sunday evening, March 15th, to
bring the Fed Funds target down to a range of 0.00% to 0.25%, the zero lower bound. Two intra-meeting adjustments by
the FOMC in such a short time frame is unprecedented. Ironically risk assets sold off after both surprise adjustments by
the Federal Reserve as markets were functioning relatively well prior to the announcements and the change in rates
arguably led to a more “risk off” sentiment by investors. As liquidity in the capital markets continued to break down in
the 2nd half of March the Federal Reserve reverted to the 2008 playbook an introduced a host of measures to provide
liquidity to markets, too numerous to list but notably including unlimited Quantitative Easing (QE). The Federal Reserve’s
balance sheet will expand significantly over the next several months and has already surpassed the high-water mark from
prior periods of QE during the global financial crisis.
The impact of the coronavirus is clearly deflationary in the short term and interest rates have re-priced to reflect the new
reality. However, on a longer-term basis, the monetary and fiscal stimulus introduced into the economy will create
unintended consequences with inflation risk emerging as a potential longer-term concern after the impact of the crisis
passes. Although the impact to asset prices has been severe, the Chandler team notes several distinct differences between
the current crisis and the global financial crisis of 2008. Importantly, the banking sector enters the crisis in a position of
strength and will be able to assist in providing capital and liquidity as the crisis evolves. Also, unlike in 2008, the investment
grade new issue market has been functioning very well, with volumes extremely elevated, enabling corporations to raise
debt capital to weather the economic impact of the virus.
6
Strategy
Strategy highlights for the Long-Term Portfolio in coming months:
• Seek out securities to add to the portfolio with attractive relative value that sync up with Chandler’s internal
view of the secular impact to the economic outlook and corporate fundamentals due to the onset of the
coronavirus.
o Continue to look to extend the term structure of the banking exposure in the portfolio as the
fundamental and regulatory backdrop in the sector should be supportive.
o Opportunistically add exposure in the technology sector which should be someone insulated from the
impact of the economic slowdown in the coming months.
• Opportunistically increase exposure to the securitized sector with a focus on high quality securities with higher
than normal spreads due to the economic fallout from the virus.
• Maintain at least a 25% allocation to the Treasury sector to keep the portfolio conservatively allocated to
weather the upcoming economic situation.
Strategy highlights for the Liquidity Portfolio in coming months:
• Continue to ladder the Treasury and Agency exposure to coincide with forecasted liquidity needs.
• Opportunistically add Corporate, Negotiable CD and Commercial Paper exposure to the portfolio where the
additional spread compensation versus like maturity Treasury notes is attractive.
• Maintain a dedicated exposure to the Treasury sector on an ongoing basis to ensure ample liquidity in the portfolio
for unexpected cash flow needs.
7
Compliance Issues
Category Standard Comment
Treasury Issues 10% minimum; 5 years max maturity Complies*
U.S. Agencies 20% max per agency of the U.S. Government, which does not provide the full faith and credit of the U.S. government; 5 years max maturity Complies
Supranational Obligations
"AA" rated or better by a NRSRO; 30% maximum; 5 years max maturity; U.S. dollar denominated senior unsecured unsubordinated obligations issued or
unconditionally guaranteed by the International Bank for Reconstruction and Development ("IBRD"), the International Finance Corporation ("IFC") or the
Inter-American Development Bank ("IADB")
Complies
Corporate Medium Term Notes "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. or any state and operating within the U.S.Complies
Municipal Securities "A" rated or higher by a NRSRO; Taxable or tax-exempt municipal bonds issued by any of the 50 states; 10% maximum; 5% max issuer; 5 years max maturity Complies
Mortgage-Backed Securities/ Collateralized Mortgage Obligations/ Asset-Backed Securities
"AA" rated or better by a NRSRO; 20% maximum (combined MBS/CMO/ABS); 5% max issuer (except U.S. government or its agencies) ; 5 years max maturity Complies*
Negotiable Certificates of Deposit (NCD)"A" rated or better long term debt by a NRSRO; or "A-1"/ highest short term rating by a NRSRO; 30% maximum; 5% max issuer; 5 years max maturity Complies
Certificates of Deposit 5% max issuer; 5 years max maturity; Secured/ collateralized Complies
Banker’s Acceptances A-1 rated or highest short term rating by a NRSRO; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1 rated or better by a NRSRO; "A" rated or better long term debt issuer by a NRSRO; Issuer is a corporation organized and operating in the U.S. with
assets > $500 million; 25% maximum; 5% max issuer; 10% max of the outstanding commercial paper of any single issuer; 270 days max maturity Complies
Mutual Fund & Money Market Mutual
Fund
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience > than 5 years; 20% maximum in Mutual
Funds; 10% per one Mutual Fund; 20% max per issuer on Money Market Mutual Funds; 20% max of OCSD's surplus money Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
Local Agency Investment Fund (LAIF)No more than the lesser of 15% of the portfolio or the statutory maximum invested in LAIF; Not used by investment adviser; Investment of OCSD funds in
LAIF shall be subject to investigation and due diligence prior to investing Complies
OCCIP 15% maximum; Not used by investment adviser; Orange County Treasurer's Money Market Commingled Investment Pool; Investment of OCSD funds in
OCCIP shall be subject to investigation and due diligence prior to investing Complies
Prohibited Mortgage Derivatives, which include interest-only payments (IOs) and principal-only payments (POs); Inverse floaters, and RE-REMICS (Real Estate Mortgage Investment Conduits) Complies
Avg Duration Not to exceed 60 months - (80% to 120% of the benchmark)CompliesMax Per Holding 5% max of the total debt outstanding of any issuer per individual holding CompliesMax Per Issuer 5% max per issuer (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 10% minimum; 1 year max maturity Complies
U.S. Agencies 20% max per agency of the U.S. Government, which does not provide the full faith and credit of the U.S. government; 1 year max maturity Complies
Supranational Obligations
"AA" rated or better by a NRSRO; 30% maximum; 1 year max maturity; U.S. dollar denominated senior unsecured unsubordinated obligations issued or unconditionally
guaranteed by the International Bank for Reconstruction and Development ("IBRD"), the International Finance Corporation ("IFC") or the Inter-American Development Bank ("IADB") Complies
Corporate Medium Term Notes "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. or any state and operating within the U.S.Complies
Municipal Securities "A" rated or higher by a NRSRO; Taxable or tax-exempt municipal bonds issued by any of the 50 states; 10% maximum; 5% max issuer; 1 year max maturity Complies
Mortgage-Backed Securities/ Collateralized Mortgage Obligations/ Asset-Backed
Securities
"AA" rated or better by a NRSRO; 20% maximum (combined MBS/CMO/ABS); 5% max issuer (except U.S. government or its agencies) ; 1 year max maturity Complies
Negotiable Certificates of Deposit (NCD)"A" rated or better long term debt by a NRSRO; or "A-1"/ highest short term rating by a NRSRO; 30% maximum; 5% max issuer; 1 year max maturity CompliesCertificates of Deposit 5% max issuer; 1 year max maturity; Secured/collateralized Complies
Banker’s Acceptances A-1 rated or highest short term rating by a NRSRO; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1 rated or better by a NRSRO; "A" rated or better long term debt issuer by a NRSRO; Issuer is a corporation organized and operating in the U.S. with assets > $500 million; 25% maximum; 5% max issuer; 10% max of the outstanding commercial paper of any single issuer; 270 days max maturity Complies
Mutual Fund & Money Market Mutual Fund Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience > than 5 years; 20% maximum in Mutual Funds; 10% per one Mutual Fund; 20% max per issuer on Money Market Mutual Funds; 20% max of OCSD's surplus money Does not com
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
Local Agency Investment Fund (LAIF)No more than the lesser of 15% of the portfolio or the statutory maximum invested in LAIF; Not used by investment adviser; Investment of OCSD funds in LAIF shall be
subject to investigation and due diligence prior to investing Complies
OCCIP 15% maximum; Not used by investment adviser; Orange County Treasurer's Money Market Commingled Investment Pool; Investment of OCSD funds in OCCIP shall be
subject to investigation and due diligence prior to investing Complies
Prohibited Mortgage Derivatives, which include interest-only payments (IOs) and principal-only payments (POs); Inverse floaters, and RE-REMICS (Real Estate Mortgage Investment Conduits) Complies
Avg Duration Not to exceed 180 days CompliesMax Per Holding 5% max of the total debt outstanding of any issuer per individual holding Complies
Max Per Issuer 5% max per issuer (except Supranationals, U.S. Government, Agencies, Mutual Fund)Complies
Maximum Maturity 1 year maximum maturity Complies
Orange County Sanitation District Liquid
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
*MMF concentration is at 22.8%; there were several maturities during the month and a cash contribution on 3/12/20; funds will be reinvested.
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
10
Ratings
11
HISTORICAL YIELD CURVE
ACCOUNT SUMMARY
Beg. Values
as of 2/29/20
End Values
as of 3/31/20
Market Value 105,897,417 113,205,567
Accrued Interest 212,739 286,690
Total Market Value 106,110,157 113,492,258
Income Earned 155,039 132,151
Cont/WD 7,000,000
Par 105,719,094 112,785,023
Book Value 105,802,365 112,860,565
Cost Value 105,809,330 112,907,685
TOP ISSUERS
Government of United States 67.1%
First American Govt Obligation 22.8%
Federal Home Loan Bank 2.6%
General Dynamics Corp 1.8%
Bank of America Corp 1.8%
Qualcomm Inc 1.8%
MUFG Bank Ltd/NY 1.2%
Bank of Montreal Chicago 0.9%
Total 100.0%
PORTFOLIO CHARACTERISTICS
Average Modified Duration 0.22
Average Coupon 1.58%
Average Purchase YTM 1.33%
Average Market YTM 0.45%
Average S&P/Moody Rating AA+/Aaa
Average Final Maturity 0.22 yrs
Average Life 0.21 yrs
CREDIT QUALITY (S&P)MATURITY DISTRIBUTIONSECTOR ALLOCATION
Portfolio Summary
As of March 31, 2020
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 0.35% 0.72% 0.72% 2.53% 2.35% 1.94% 1.32% N/A 1.25%
ICE BAML 3-Month US Treasury Bill Index 0.29% 0.57% 0.57% 2.25% 2.19% 1.83% 1.19% N/A 1.12%
Execution Time: 4/1/2020 9:52:32 PMChandler Asset Management - CONFIDENTIAL Page 1
ACCOUNT SUMMARY
Beg. Values
as of 2/29/20
End Values
as of 3/31/20
Market Value 577,890,901 587,824,746
Accrued Interest 2,639,402 2,513,864
Total Market Value 580,530,303 590,338,610
Income Earned 1,112,919 1,062,750
Cont/WD 6,041,923
Par 560,778,584 567,322,759
Book Value 560,914,969 568,145,181
Cost Value 560,042,543 567,269,868
TOP ISSUERS
Government of United States 32.4%
Federal Home Loan Bank 10.5%
Federal National Mortgage Assoc 10.4%
Federal Home Loan Mortgage Corp 6.3%
Inter-American Dev Bank 3.0%
Honda ABS 2.2%
First American Govt Obligation 1.8%
John Deere ABS 1.8%
Total 68.4%
PORTFOLIO CHARACTERISTICS
Average Modified Duration 2.47
Average Coupon 2.21%
Average Purchase YTM 2.22%
Average Market YTM 0.89%
Average S&P/Moody Rating AA/Aa1
Average Final Maturity 2.74 yrs
Average Life 2.57 yrs
CREDIT QUALITY (S&P)MATURITY DISTRIBUTIONSECTOR ALLOCATION
Portfolio Summary
As of March 31, 2020
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 0.64% 2.51% 2.51% 5.68% 4.53% 3.10% 2.26% N/A 2.23%
ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index 0.99% 2.97% 2.97% 6.20% 4.79% 3.20% 2.29% N/A 2.27%
ICE BAML US 1-5 Yr US Corp/Govt Rated AAA-BBB Indx 0.04% 1.95% 1.95% 5.41% 4.48% 3.04% 2.26% N/A 2.24%
Execution Time: 4/1/2020 9:43:36 PMChandler Asset Management - CONFIDENTIAL Page 1
Par Value Book Value Market Value Rate Yield
Balance
March 1, 2020 $63,099,265 $63,099,265 $63,099,265 1.79 1.79
Deposits:
3/12/2020 11,800,000 11,800,000 11,800,000 1.79 1.79
Total Deposits 11,800,000 11,800,000 11,800,000 1.79 1.79
Quarterly
Interest
Distribution - - - 1.79 1.79
Withdrawals:
3/4/2020 (2,200,000) (2,200,000) (2,200,000) 1.79 1.79
3/10/2020 (2,700,000) (2,700,000) (2,700,000) 1.79 1.79
3/18/2020 (4,200,000) (4,200,000) (4,200,000) 1.79 1.79
3/24/2020 (2,700,000) (2,700,000) (2,700,000) 1.79 1.79
3/25/2020 (2,300,000) (2,300,000) (2,300,000) 1.79 1.79
Total Withdrawals (14,100,000) (14,100,000) (14,100,000) 1.79 1.79
Balance
March 31, 2020 $60,799,265 $60,799,265 $60,799,265 1.79 1.79
Orange County Sanitation District
Investment Transactions and Balances in the
State of California Local Agency Investment Fund
March 31, 2020
U.S. Bank
Asset Summary - Liquid
As of 03/31/2020
Industry Name Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
Cash Equivalents
COMMERCIAL PAPER 1,365,000.0000 1,353,689.46 1,363,948.95 1.20 10,259.49
FIRST AMERICAN SHORT TERM FDS 25,920,022.9200 25,920,022.92 25,920,022.92 22.89 -
U. S. GOVERNMENT 7,500,000.0000 7,489,487.92 7,499,815.00 6.62 10,327.08
US AGY - SHORT TERM CASH EQUIV 3,000,000.0000 2,988,094.17 2,999,820.00 2.65 11,725.83
Cash Equivalents Total 37,785,022.9200 37,751,294.47 37,783,606.87 33.37 32,312.40
Fixed Income
FINANCE 2,000,000.0000 2,001,960.00 1,999,680.00 1.77 (2,280.00)
INDUSTRIAL 2,000,000.0000 2,011,340.00 2,001,380.00 1.77 (9,960.00)
INFORMATION TECHNOLOGY 2,000,000.0000 2,002,700.00 1,999,740.00 1.77 (2,960.00)
SHORT TERM FUNDS 1,000,000.0000 1,000,000.00 1,000,990.00 0.88 990.00
U. S. GOVERNMENT 68,000,000.0000 68,140,390.64 68,427,840.00 60.44 287,449.36
Fixed Income Total 75,000,000.0000 75,156,390.64 75,429,630.00 66.63 273,239.36
Grand Total 112,785,022.9200 112,907,685.11 113,213,236.87 100.00 305,551.76
1 of 1
U.S. Bank
Asset Summary - Long-Term
As of 03/31/2020
Industry Name Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
Cash Equivalents
COMMERCIAL PAPER 10,000,000.0000 9,917,138.89 9,992,300.00 1.70 75,161.11
FIRST AMERICAN SHORT TERM FDS 10,358,060.7800 10,358,060.78 10,358,060.78 1.76 -
Cash Equivalents Total 20,358,060.7800 20,275,199.67 20,350,360.78 3.46 75,161.11
Fixed Income
CONSUMER DISCRETIONARY 4,064,000.0000 4,055,701.78 4,089,201.33 0.70 33,499.55
CONSUMER STAPLES 3,880,000.0000 3,878,991.40 4,114,934.00 0.70 235,942.60
ENERGY 9,000,000.0000 8,942,542.40 9,179,050.00 1.56 236,507.60
FINANCE 68,264,000.0000 67,445,450.21 67,082,717.26 11.41 (362,732.95)
FOREIGN CORPORATE 19,000,000.0000 19,106,195.00 19,300,660.00 3.28 194,465.00
HEALTH CARE 2,000,000.0000 1,948,640.00 2,013,840.00 0.34 65,200.00
INDUSTRIAL 4,410,000.0000 4,388,275.50 4,502,200.40 0.77 113,924.90
INFORMATION TECHNOLOGY 28,715,000.0000 28,626,584.95 29,414,785.70 5.00 788,200.75
INVESTMENT GRADE-MUNI REVENUE 1,800,000.0000 1,800,000.00 1,841,804.00 0.31 41,804.00
MTG RELATED SECURITY 38,088,334.8100 38,135,683.79 38,388,907.25 6.53 253,223.46
SUPRANATIONAL 33,005,000.0000 32,742,600.25 33,669,959.30 5.73 927,359.05
U. S. GOVERNMENT 171,005,739.0400 169,504,693.83 179,476,791.93 30.53 9,972,098.10
U.S. GOVERNMENT TIPS 11,297,624.0000 11,152,904.09 11,321,687.94 1.93 168,783.85
US AGY - LONG TERM ISSUES 155,035,000.0000 156,581,759.15 163,070,028.95 27.74 6,488,269.80
Fixed Income Total 549,564,697.8500 548,310,022.35 567,466,568.06 96.54 19,156,545.71
Grand Total 569,922,758.6300 568,585,222.02 587,816,928.84 100.00 19,231,706.82
1 of 1
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 03/01/2020 Through 03/31/2020
Statement of Assets Held by Asset Classification
Statement of Transactions by Transaction Date
Account 300282 Base Currency = USD
OCSD LIBERTY MUTUAL
3,604,000.000 UNITED STATES TREASURY BILL 99.84900 3,598,557.96 3,599,444.94 99.87361 0.00 0.00 0.00%
CUSIP: 9127962F5
MATURITY DATE: 03/25/2021
RATE: 0.000%
CASH BALANCE 2,486.05 2,486.05 0.00000 0.00 0.00 0.00%
Total Market Value Plus Total Accrued Income 3,601,044.01
03/26/20 Purchase 0.00 3,599,444.94- 3,599,444.94 0.00
UNITED STATES TREASURY BILL
RATE: 0.000% MATURITY: 03/25/21
TRADE DATE 03/26/20 SET/DATE 03/26/20
CUSIP 9127962F5
3,604,000.000 SHARES
03/26/20 Redemption 81,664.52 3,599,335.48 3,599,335.48- 81,664.52
UNITED STATES TREASURY BILL
RATE: 0.000% MATURITY: 03/26/20
TRADE DATE 03/26/20 SET/DATE 03/26/20
CUSIP 912796SH3
3,681,000.000 SHARES
03/26/20 Cash Debit 81,664.52-0.00 0.00 0.00
BNF: ORANGE COUNTY SANITATION DIST GEN A
DETAIL: WIRE EXCESS REQUEST DTD 3.2.20
A/C WITH: BANC OF CALIFORNIA NA
92612,CA,US
CASH AND SHORT TERM
Total CASH AND SHORT TERM 3,601,044.01 3,601,930.99 0.00 0.00 0.00%
ACCOUNT TOTALS 3,601,044.01 3,601,930.99 0.00 0.00 0.00%
03/01/20 ACCOUNT OPENING PERIOD BALANCE 1,203.97- 3,799.48 3,599,335.48
03/26/20 ACCOUNT CLOSING DAILY BALANCE 1,203.97- 3,690.02 3,599,444.94 81,664.52
03/31/20 ACCOUNT CLOSING PERIOD BALANCE 1,203.97- 3,690.02 3,599,444.94 81,664.52
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U.S. Bank
Investment Listing - Yield
As of 03/31/2020
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Cash Equivalents 313384WG0 F H L B DISC NTS 5/01/20 0.0000% 3,000,000.0000 N/A N/A 99.99 2,988,094.17 2,999,820.00
Cash Equivalents 31846V567 FIRST AM GOVT OB FD CL Z 0.2115% 25,920,022.9200 1.00 25,920,022.92 25,920,022.92
Cash Equivalents 31846V567 FIRST AM GOVT OB FD CL Z 0.2115% 10,358,060.7800 1.00 10,358,060.78 10,358,060.78
Cash Equivalents 62479LDQ5 MUFG BANK LTD NY BRAN C P 4/24/20 0.0000% 1,365,000.0000 99.92 1,353,689.46 1,363,948.95
Cash Equivalents 62479LDQ5 MUFG BANK LTD NY BRAN C P 4/24/20 0.0000% 10,000,000.0000 99.92 9,917,138.89 9,992,300.00
Cash Equivalents 9127962B4 U S TREASURY BILL 4/14/20 0.0263% 3,500,000.0000 N/A N/A 100.00 3,496,221.94 3,499,895.00
Cash Equivalents 912796TQ2 U S TREASURY BILL 4/09/20 0.0550% 4,000,000.0000 N/A N/A 100.00 3,993,265.98 3,999,920.00
Fixed Income 00440EAP2 ACE INA HOLDINGS 2.700% 3/13/23 2.6389% 2,000,000.0000 A3 A 102.32 1,937,000.00 2,046,300.00
Fixed Income 00440EAU1 ACE INA HOLDINGS 2.875% 11/03/22 2.8323% 4,169,000.0000 A3 A 101.51 4,232,453.17 4,231,910.21
Fixed Income 02665WCJ8 AMERICAN HONDA MTN 3.450% 7/14/23 3.4067% 845,000.0000 A3 A 101.27 843,538.15 855,731.50
Fixed Income 02665WCQ2 AMERICAN HONDA MTN 3.625% 10/10/23 3.5678% 2,000,000.0000 A3 A 101.60 1,998,320.00 2,032,060.00
Fixed Income 02665WCZ2 AMERICAN HONDA MTN 2.400% 6/27/24 2.4351% 1,219,000.0000 A3 A 98.56 1,213,843.63 1,201,409.83
Fixed Income 03215PFN4 AMRESCO 2.07531% 6/25/29 2.5908% 119,021.6400 N/A A+ 80.10 89,377.81 95,339.90
Fixed Income 037833BS8 APPLE INC 2.250% 2/23/21 2.2275% 4,000,000.0000 AA1 AA+ 101.01 4,050,840.00 4,040,320.00
Fixed Income 037833CU2 APPLE INC 2.850% 5/11/24 2.6822% 3,000,000.0000 AA1 AA+ 106.26 3,017,760.00 3,187,740.00
Fixed Income 06051GFN4 BANK OF AMERICA MTN 2.250% 4/21/20 2.2504% 2,000,000.0000 WR N/R 99.98 2,001,960.00 1,999,680.00
Fixed Income 06051GHF9 BANK OF AMERICA 3.550% 3/05/24 3.4131% 6,675,000.0000 A2 A- 104.01 6,770,625.75 6,942,734.25
Fixed Income 06367BED7 BANK OF MONTREAL C D 1.890% 5/21/20 1.8881% 1,000,000.0000 100.10 1,000,000.00 1,000,990.00
Fixed Income 06406RAA5 BANK OF NY MTN 2.600% 2/07/22 2.5785% 2,500,000.0000 A1 A 100.83 2,504,475.00 2,520,800.00
Fixed Income 06406RAE7 BANK OF NY MTN 2.950% 1/29/23 2.8855% 2,500,000.0000 A1 A 102.24 2,489,555.00 2,555,875.00
Fixed Income 084664BT7 BERKSHIRE HATHAWAY 3.000% 5/15/22 2.8881% 4,000,000.0000 AA2 AA 103.87 4,131,120.00 4,154,920.00
Fixed Income 084670BR8 BERKSHIRE HATHAWAY 2.750% 3/15/23 2.6578% 2,500,000.0000 AA2 AA 103.47 2,440,950.00 2,586,750.00
Fixed Income 09247XAL5 BLACKROCK INC 3.500% 3/18/24 3.2546% 1,000,000.0000 AA3 AA- 107.54 1,036,330.00 1,075,400.00
Fixed Income 166764AH3 CHEVRON CORP 3.191% 6/24/23 3.0526% 3,500,000.0000 AA2 AA 104.54 3,441,095.00 3,658,725.00
Fixed Income 166764BG4 CHEVRON CORP 2.100% 5/16/21 2.0993% 2,500,000.0000 AA2 AA 100.03 2,485,350.00 2,500,825.00
Fixed Income 24422EUM9 JOHN DEERE MTN 3.650% 10/12/23 3.4619% 1,250,000.0000 A2 A 105.43 1,250,237.50 1,317,900.00
Fixed Income 30231GAV4 EXXON MOBIL 2.222% 3/01/21 2.2077% 3,000,000.0000 AA1 AA 100.65 3,016,097.40 3,019,500.00
Fixed Income 3130A0F70 F H L B DEB 3.375% 12/08/23 3.0366% 10,000,000.0000 AAA AA+ 111.14 10,269,043.75 11,114,300.00
Fixed Income 3130A1XJ2 F H L B 2.875% 6/14/24 2.6026% 11,110,000.0000 AAA AA+ 110.47 11,589,031.30 12,272,883.70
Fixed Income 3130A2UW4 F H L B DEB 2.875% 9/13/24 2.6158% 2,500,000.0000 AAA AA+ 109.91 2,635,950.00 2,747,725.00
Fixed Income 3130A4CH3 F H L B DEB 2.375% 3/14/25 2.1711% 5,225,000.0000 AAA AA+ 109.39 5,526,848.25 5,715,836.50
Fixed Income 3130A7CV5 F H L B DEB 1.375% 2/18/21 1.3627% 5,365,000.0000 AAA AA+ 100.90 5,343,325.40 5,413,499.60
Fixed Income 313379RB7 F H L B DEB 1.875% 6/11/21 1.8416% 4,000,000.0000 AAA AA+ 101.81 4,030,160.00 4,072,520.00
Fixed Income 313383HU8 F H L B DEB 1.750% 6/12/20 1.7452% 4,000,000.0000 AAA AA+ 100.28 4,007,160.00 4,011,040.00
Fixed Income 313383QR5 F H L B DEB 3.250% 6/09/23 2.9909% 5,000,000.0000 AAA AA+ 108.66 5,083,350.00 5,433,150.00
Fixed Income 313383YJ4 F H L B DEB 3.375% 9/08/23 3.0652% 10,000,000.0000 AAA AA+ 110.11 10,211,831.00 11,010,600.00
Fixed Income 3133EKWV4 F F C B DEB 1.850% 7/26/24 1.7582% 5,000,000.0000 AAA AA+ 105.22 5,048,280.00 5,261,100.00
1 of 5
U.S. Bank
Investment Listing - Yield
As of 03/31/2020
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Fixed Income 3133TCE95 F H L M C MLTCL MTG 4.025% 8/15/32 4.0189% 5,932.6500 N/A N/A 100.15 5,938.86 5,941.61
Fixed Income 31348SWZ3 F H L M C #786064 3.845% 1/01/28 3.8129% 1,728.7700 N/A N/A 100.84 1,686.68 1,743.33
Fixed Income 3135G0D75 F N M A DEB 1.500% 6/22/20 1.4958% 5,000,000.0000 AAA AA+ 100.28 4,955,650.00 5,014,050.00
Fixed Income 3135G0F73 F N M A 1.500% 11/30/20 1.4900% 7,500,000.0000 AAA AA+ 100.67 7,370,726.00 7,550,550.00
Fixed Income 3135G0J20 F N M A DEB 1.375% 2/26/21 1.3621% 10,000,000.0000 AAA AA+ 100.95 10,040,950.00 10,095,000.00
Fixed Income 3135G0S38 F N M A 2.000% 1/05/22 1.9443% 3,000,000.0000 AAA AA+ 102.87 2,994,570.00 3,085,950.00
Fixed Income 3135G0T45 F N M A 1.875% 4/05/22 1.8207% 5,000,000.0000 AAA AA+ 102.98 4,972,500.00 5,149,000.00
Fixed Income 3135G0T94 F N M A DEB 2.375% 1/19/23 2.2535% 5,000,000.0000 AAA AA+ 105.39 4,910,990.00 5,269,500.00
Fixed Income 3135G0U35 F N M A 2.750% 6/22/21 2.6731% 7,500,000.0000 AAA AA+ 102.88 7,515,225.00 7,715,775.00
Fixed Income 3135G0V34 F N M A 2.500% 2/05/24 2.3241% 5,000,000.0000 AAA AA+ 107.57 4,980,850.00 5,378,350.00
Fixed Income 3135G0X24 F N M A 1.625% 1/07/25 1.5481% 10,000,000.0000 AAA AA+ 104.97 10,157,936.40 10,496,900.00
Fixed Income 31371NUC7 F N M A #257179 4.500% 4/01/28 4.1869% 12,976.8300 N/A N/A 107.48 13,724.28 13,947.24
Fixed Income 31376KT22 F N M A #357969 5.000% 9/01/35 4.4919% 87,807.6400 N/A N/A 111.31 94,393.20 97,740.44
Fixed Income 3137EAEK1 F H L M C M T N 1.875% 11/17/20 1.8557% 5,000,000.0000 AAA AA+ 101.04 4,986,225.00 5,052,100.00
Fixed Income 3137EAEL9 F H L M C M T N 2.375% 2/16/21 2.3359% 7,500,000.0000 AAA AA+ 101.67 7,484,475.00 7,625,550.00
Fixed Income 3137EAEN5 F H L M C 2.750% 6/19/23 2.5669% 10,000,000.0000 AAA AA+ 107.13 9,956,500.00 10,713,200.00
Fixed Income 3137EAEP0 F H L M C 1.500% 2/12/25 1.4375% 12,335,000.0000 AAA N/A 104.35 12,510,182.05 12,871,449.15
Fixed Income 31381PDA3 F N M A #466397 3.400% 11/01/20 3.3961% 332,913.3400 N/A N/A 100.12 325,708.91 333,296.19
Fixed Income 3138EG6F6 F N M A #AL0869 4.500% 6/01/29 4.1749% 8,964.5700 N/A N/A 107.79 9,480.93 9,662.73
Fixed Income 31394JY35 F H L M C MLTCL MTG 6.500% 9/25/43 5.6184% 633,348.6500 N/A N/A 115.69 717,267.34 732,727.39
Fixed Income 31397QRE0 F N M A GTD REMIC 2.472% 2/25/41 1.6311% 166,890.2100 N/A N/A 99.73 166,838.06 166,431.26
Fixed Income 31403DJZ3 F N M A #745580 5.000% 6/01/36 4.4959% 83,766.3200 N/A N/A 111.21 90,048.79 93,159.04
Fixed Income 31403GXF4 F N M A #748678 5.000% 10/01/33 4.5552% 1,726.6200 N/A N/A 109.76 1,856.12 1,895.21
Fixed Income 31406PQY8 F N M A #815971 5.000% 3/01/35 4.5088% 131,227.7700 N/A N/A 110.90 141,069.87 145,525.04
Fixed Income 31406XWT5 F N M A #823358 3.674% 2/01/35 3.6431% 96,005.3200 N/A N/A 100.85 95,255.27 96,818.49
Fixed Income 31407BXH7 F N M A #826080 5.000% 7/01/35 4.4993% 17,200.2000 N/A N/A 111.13 18,490.21 19,114.24
Fixed Income 31410F4V4 F N M A #888336 5.000% 7/01/36 4.4953% 164,301.4800 N/A N/A 111.23 176,624.10 182,749.25
Fixed Income 31417YAY3 F N M A #MA0022 4.500% 4/01/29 4.1758% 14,568.0700 N/A N/A 107.76 15,407.17 15,698.99
Fixed Income 36225CAZ9 G N M A I I #080023 3.125% 12/20/26 3.0349% 13,965.0000 N/A N/A 102.97 14,195.71 14,379.76
Fixed Income 36225CC20 G N M A I I #080088 3.875% 6/20/27 3.8441% 11,624.2500 N/A N/A 100.80 11,878.54 11,717.71
Fixed Income 36225CN28 G N M A I I #080408 3.875% 5/20/30 3.7491% 44,785.1700 N/A N/A 103.36 44,330.33 46,289.06
Fixed Income 36225CNM4 G N M A I I #080395 3.875% 4/20/30 3.7490% 5,739.0400 N/A N/A 103.36 5,687.00 5,931.93
Fixed Income 36225DCB8 G N M A I I #080965 3.250% 7/20/34 3.1404% 40,310.8100 N/A N/A 103.49 40,285.63 41,717.25
Fixed Income 369550BA5 GENERAL DYNAMICS 2.875% 5/11/20 2.8730% 2,000,000.0000 A2 A 100.07 2,011,340.00 2,001,380.00
Fixed Income 369550BE7 GENERAL DYNAMICS 3.000% 5/11/21 2.9771% 3,160,000.0000 A2 A 100.77 3,138,038.00 3,184,300.40
Fixed Income 404280BF5 HSBC HOLDINGS PLC 2.650% 1/05/22 2.6537% 4,500,000.0000 A2 A 99.86 4,429,980.00 4,493,790.00
Fixed Income 43814PAC4 HONDA AUTO 1.790% 9/20/21 1.7918% 1,134,368.6000 N/A AAA 99.90 1,116,378.22 1,133,211.54
2 of 5
U.S. Bank
Investment Listing - Yield
As of 03/31/2020
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Fixed Income 43814UAG4 HONDA AUTO 3.010% 5/18/22 2.9925% 1,620,960.4700 N/A AAA 100.59 1,620,925.13 1,630,459.30
Fixed Income 43814WAB1 HONDA AUTO 2.750% 9/20/21 2.7566% 2,732,580.8000 N/A AAA 99.76 2,732,404.82 2,725,995.28
Fixed Income 43815HAC1 HONDA AUTO 2.950% 8/22/22 2.9231% 3,918,242.9900 AAA N/A 100.92 3,917,705.41 3,954,290.83
Fixed Income 43815NAB0 HONDA AUTO 1.900% 4/15/22 1.9036% 3,530,000.0000 AAA AAA 99.81 3,529,752.90 3,523,328.30
Fixed Income 44932HAH6 IBM CREDIT CORP 3.000% 2/06/23 2.8993% 5,670,000.0000 A2 A 103.48 5,603,264.40 5,867,032.50
Fixed Income 458140BD1 INTEL CORP 2.875% 5/11/24 2.7405% 5,000,000.0000 A1 A+ 104.91 5,025,900.00 5,245,300.00
Fixed Income 4581X0CS5 INTER AMER BK M T N 1.875% 3/15/21 1.8510% 5,000,000.0000 AAA AAA 101.30 5,059,610.00 5,064,950.00
Fixed Income 4581X0CW6 INTER AMER DEV BK 2.125% 1/18/22 2.0663% 3,000,000.0000 AAA N/A 102.84 2,996,310.00 3,085,170.00
Fixed Income 4581X0CX4 INTER AMER DEV BK 1.625% 5/12/20 1.6225% 3,035,000.0000 AAA AAA 100.16 3,027,807.05 3,039,734.60
Fixed Income 4581X0CZ9 INTER AMER DEV BK 1.750% 9/14/22 1.6991% 6,500,000.0000 AAA AAA 102.99 6,249,655.00 6,694,545.00
Fixed Income 459058FY4 INTL BK 2.000% 1/26/22 1.9500% 10,000,000.0000 AAA N/A 102.56 10,006,350.00 10,256,300.00
Fixed Income 45950KCJ7 INTL FINANCE CORP 1.125% 7/20/21 1.1171% 2,500,000.0000 AAA AAA 100.71 2,441,600.00 2,517,650.00
Fixed Income 45950KCM0 INTL BK M T N 2.250% 1/25/21 2.2189% 2,970,000.0000 AAA AAA 101.40 2,961,268.20 3,011,609.70
Fixed Income 46625HRL6 JP MORGAN CHASE CO 2.700% 5/18/23 2.6308% 5,000,000.0000 A2 A- 102.63 4,821,910.00 5,131,500.00
Fixed Income 46647PAU0 JPMORGAN CHASE CO 3.797% 7/23/24 3.6276% 2,500,000.0000 A2 A- 104.67 2,632,175.00 2,616,725.00
Fixed Income 477870AB5 JOHN DEERE OWNER 2.280% 5/16/22 2.2768% 2,782,931.0600 AAA N/A 100.14 2,782,920.48 2,786,827.16
Fixed Income 47788BAD6 JOHN DEERE OWNER 1.820% 10/15/21 1.8267%183,876.6300 AAA N/A 99.63 183,863.16 183,203.64
Fixed Income 47788CAC6 JOHN DEERE OWNER 2.660% 4/18/22 2.6796%831,754.2700 AAA N/A 99.27 831,694.47 825,682.46
Fixed Income 47788EAC2 JOHN DEERE OWNER 3.080% 11/15/22 3.0609% 4,630,000.0000 AAA N/A 100.62 4,629,649.05 4,658,844.90
Fixed Income 47789JAB2 JOHN DEERE OWNER 2.850% 12/15/21 2.8425% 1,879,859.7500 AAA N/A 100.27 1,879,774.03 1,884,841.38
Fixed Income 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 0.0010% 600,000.0000 N/A N/A 1.05 319,005.35 6,300.00
Fixed Income 58770FAC6 MERCEDES BENZ AUTO 1.840% 12/15/22 1.8388% 2,050,000.0000 AAA AAA 100.07 2,049,729.81 2,051,332.50
Fixed Income 58933YAF2 MERCK CO INC 2.800% 5/18/23 2.7808% 2,000,000.0000 A1 AA- 100.69 1,948,640.00 2,013,840.00
Fixed Income 594918BP8 MICROSOFT CORP 1.550% 8/08/21 1.5393% 3,045,000.0000 AAA AAA 100.70 3,041,385.15 3,066,193.20
Fixed Income 61747WAL3 MORGAN STANLEY 5.500% 7/28/21 5.2971% 2,800,000.0000 A3 BBB+ 103.83 3,200,848.00 2,907,240.00
Fixed Income 64971M5E8 NEW YORK CITY NY 4.075% 11/01/20 4.0063% 1,400,000.0000 AA1 AAA 101.71 1,400,000.00 1,423,996.00
Fixed Income 65478GAD2 NISSAN AUTO 1.750% 10/15/21 1.7489% 1,102,968.6800 AAA N/A 100.07 1,085,864.05 1,103,685.61
Fixed Income 65479GAD1 NISSAN AUTO 3.060% 3/15/23 3.0126% 3,560,000.0000 AAA AAA 101.57 3,559,884.66 3,615,963.20
Fixed Income 65479JAD5 NISSAN AUTO 1.930% 7/15/24 1.9112% 4,185,000.0000 AAA AAA 100.99 4,184,779.03 4,226,264.10
Fixed Income 68389XBK0 ORACLE CORP 1.900% 9/15/21 1.8944% 3,000,000.0000 A3 A+ 100.30 2,892,240.00 3,008,850.00
Fixed Income 69353RFB9 PNC BANK NA MTN 2.625% 2/17/22 2.5984% 1,000,000.0000 A2 A 101.02 974,940.00 1,010,220.00
Fixed Income 69353RFL7 PNC BANK NA MTN 3.500% 6/08/23 3.3825% 5,000,000.0000 A2 A 103.47 4,993,318.05 5,173,700.00
Fixed Income 747525AD5 QUALCOMM INC 2.250% 5/20/20 2.2503% 2,000,000.0000 A2 A- 99.99 2,002,700.00 1,999,740.00
Fixed Income 747525AD5 QUALCOMM INC 2.250% 5/20/20 2.2503% 5,000,000.0000 A2 A- 99.99 4,995,195.40 4,999,350.00
Fixed Income 78013XZU5 ROYAL BANK OF MTN 2.550% 7/16/24 2.5077% 6,500,000.0000 A2 A 101.69 6,581,445.00 6,609,590.00
Fixed Income 78445JAA5 S L M A 3.33073% 4/25/23 3.3737% 12,192.9300 BAA3 B 98.73 12,143.46 12,037.47
3 of 5
U.S. Bank
Investment Listing - Yield
As of 03/31/2020
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Fixed Income 808513AT2 CHARLES SCHWAB CORP 2.650% 1/25/23 2.6122% 6,750,000.0000 A2 A 101.45 6,729,480.00 6,847,740.00
Fixed Income 83162CLJ0 S B A GTD DEV PART 6.340% 3/01/21 6.2660% 5,878.0300 N/A N/A 101.18 5,878.03 5,947.45
Fixed Income 89114QC48 TORONTO MTN 3.500% 7/19/23 3.3981% 5,000,000.0000 AA1 AA- 103.00 5,094,200.00 5,150,000.00
Fixed Income 89114QCA4 TORONTO DOMINION MTN 2.650% 6/12/24 2.6089% 3,000,000.0000 AA3 A 101.58 3,000,570.00 3,047,280.00
Fixed Income 89239AAB9 TOYOTA AUTO 2.830% 10/15/21 2.8264% 1,938,655.2900 AAA AAA 100.13 1,938,479.27 1,941,098.00
Fixed Income 90331HNL3 US BANK NA MTN 2.850% 1/23/23 2.7840% 2,000,000.0000 A1 AA- 102.37 1,992,640.00 2,047,440.00
Fixed Income 90331HPL1 US BANK NA MTN 2.050% 1/21/25 2.0652% 7,270,000.0000 A1 AA- 99.26 7,254,514.90 7,216,492.80
Fixed Income 9128283J7 U S TREASURY NT 2.125% 11/30/24 1.9657% 16,500,000.0000 AAA N/A 108.10 16,783,886.72 17,836,830.00
Fixed Income 9128284D9 U S TREASURY NT 2.500% 3/31/23 2.3453% 10,000,000.0000 AAA N/A 106.60 9,887,265.63 10,659,800.00
Fixed Income 9128284Y3 U S TREASURY NT 2.625% 8/31/20 2.5980% 7,000,000.0000 AAA N/A 101.04 7,042,382.81 7,072,730.00
Fixed Income 912828J76 U S TREASURY NT 1.750% 3/31/22 1.6980% 5,000,000.0000 AAA N/A 103.06 4,976,383.94 5,153,150.00
Fixed Income 912828L24 U S TREASURY NT 1.875% 8/31/22 1.8043% 6,000,000.0000 AAA N/A 103.92 5,987,832.60 6,235,080.00
Fixed Income 912828L32 U S TREASURY NT 1.375% 8/31/20 1.3677% 15,000,000.0000 AAA N/A 100.53 14,977,929.69 15,079,650.00
Fixed Income 912828L57 U S TREASURY NT 1.750% 9/30/22 1.6872% 16,000,000.0000 AAA N/A 103.72 15,829,492.20 16,595,680.00
Fixed Income 912828L99 U S TREASURY NT 1.375% 10/31/20 1.3652% 7,000,000.0000 AAA N/A 100.72 6,888,738.85 7,050,330.00
Fixed Income 912828M80 U S TREASURY NT 2.000% 11/30/22 1.9127% 8,000,000.0000 AAA N/A 104.57 7,907,500.00 8,365,280.00
Fixed Income 912828N30 U S TREASURY NT 2.125% 12/31/22 2.0225% 5,000,000.0000 AAA N/A 105.07 4,926,562.50 5,253,500.00
Fixed Income 912828N89 U S TREASURY NT 1.375% 1/31/21 1.3601% 6,000,000.0000 AAA N/A 101.09 5,895,840.41 6,065,640.00
Fixed Income 912828R69 U S TREASURY NT 1.625% 5/31/23 1.5600% 5,000,000.0000 AAA N/A 104.16 4,757,226.56 5,208,200.00
Fixed Income 912828T34 U S TREASURY NT 1.125% 9/30/21 1.1097% 7,000,000.0000 AAA N/A 101.38 6,757,914.08 7,096,250.00
Fixed Income 912828T67 U S TREASURY NT 1.250% 10/31/21 1.2294% 6,000,000.0000 AAA N/A 101.67 5,813,691.98 6,100,320.00
Fixed Income 912828U57 U S TREASURY NT 2.125% 11/30/23 1.9936% 15,000,000.0000 AAA N/A 106.59 14,723,632.81 15,988,500.00
Fixed Income 912828U65 U S TREASURY NT 1.750% 11/30/21 1.7061% 7,000,000.0000 AAA N/A 102.57 6,900,492.20 7,180,180.00
Fixed Income 912828V72 U S TREASURY NT 1.875% 1/31/22 1.8198% 3,000,000.0000 AAA N/A 103.04 3,004,814.74 3,091,050.00
Fixed Income 912828V80 U S TREASURY NT 2.250% 1/31/24 2.0963% 7,500,000.0000 AAA 107.33 7,491,503.91 8,049,900.00
Fixed Income 912828VJ6 U S TREASURY NT 1.875% 6/30/20 1.8668% 15,000,000.0000 AAA N/A 100.44 15,022,265.63 15,066,150.00
Fixed Income 912828VV9 U S TREASURY NT 2.125% 8/31/20 2.1075% 15,000,000.0000 AAA N/A 100.83 15,049,804.69 15,124,800.00
Fixed Income 912828W48 U S TREASURY NT 2.125% 2/29/24 1.9867% 10,000,000.0000 AAA N/A 106.96 9,911,718.75 10,696,100.00
Fixed Income 912828WJ5 U S TREASURY NT 2.500% 5/15/24 2.2977% 7,000,000.0000 AAA N/A 108.81 7,193,046.88 7,616,350.00
Fixed Income 912828WU0 U S TREASURY I P S 0.125% 7/15/24 0.1247% 11,297,624.0000 AAA N/A 100.21 11,152,904.09 11,321,687.94
Fixed Income 912828XH8 U S TREASURY NT 1.625% 6/30/20 1.6189% 5,000,000.0000 AAA N/A 100.38 5,001,367.19 5,018,950.00
Fixed Income 912828XW5 U S TREASURY NT 1.750% 6/30/22 1.6918% 5,000,000.0000 AAA N/A 103.44 4,973,454.25 5,171,900.00
Fixed Income 912828XX3 U S TREASURY NT 2.000% 6/30/24 1.8706% 5,000,000.0000 AAA N/A 106.92 5,028,710.94 5,345,900.00
Fixed Income 912828XY1 U S TREASURY NT 2.500% 6/30/20 2.4852% 11,000,000.0000 AAA N/A 100.60 11,046,640.63 11,065,560.00
Fixed Income 912828YH7 U S TREASURY NT 1.500% 9/30/24 1.4275% 14,000,000.0000 AAA N/A 105.08 13,859,296.88 14,710,920.00
Fixed Income 913366EJ5 UNIV OF CALIFORNIA 5.035% 5/15/21 4.8204% 400,000.0000 AA3 AA- 104.45 400,000.00 417,808.00
Fixed Income 931142EK5 WALMART INC 3.400% 6/26/23 3.2059% 3,880,000.0000 AA2 AA 106.06 3,878,991.40 4,114,934.00
4 of 5
U.S. Bank
Investment Listing - Yield
As of 03/31/2020
Asset Category CUSIP Asset Short Name Yield Shares/Units Moody's S&P Rating Price Cost Basis Market Value
Fixed Income 94974BGM6 WELLS FARGO CO MTN 2.600% 7/22/20 2.5995% 5,000,000.0000 A2 A- 100.02 5,001,650.00 5,000,950.00
Fixed Income 95000U2B8 WELLS FARGO MTN 2.625% 7/22/22 2.6165% 3,000,000.0000 A2 A- 100.32 2,954,520.00 3,009,720.00
Total Consolidated 701,030,165.71
5 of 5
U.S. Bank
Asset Detail - Consolidated
As of 03/31/2020
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
Cash Equivalents Total
313384WG0 F H L B DISC NTS 5/01/20 99.99 3,000,000.0000 2,988,094.17 2,999,820.00 0.43 11,725.83
31846V567 FIRST AM GOVT OB FD CL Z 1.00 25,920,022.9200 25,920,022.92 25,920,022.92 3.70 -
31846V567 FIRST AM GOVT OB FD CL Z 1.00 10,358,060.7800 10,358,060.78 10,358,060.78 1.48 -
62479LDQ5 MUFG BANK LTD NY BRAN C P 4/24/20 99.92 1,365,000.0000 1,353,689.46 1,363,948.95 0.19 10,259.49
62479LDQ5 MUFG BANK LTD NY BRAN C P 4/24/20 99.92 10,000,000.0000 9,917,138.89 9,992,300.00 1.43 75,161.11
9127962B4 U S TREASURY BILL 4/14/20 100.00 3,500,000.0000 3,496,221.94 3,499,895.00 0.50 3,673.06
912796TQ2 U S TREASURY BILL 4/09/20 100.00 4,000,000.0000 3,993,265.98 3,999,920.00 0.57 6,654.02
Cash Equivalents Total 58,143,083.7000 58,026,494.14 58,133,967.65 8.29 107,473.51
Fixed Income
00440EAP2 ACE INA HOLDINGS 2.700% 3/13/23 102.32 2,000,000.0000 1,937,000.00 2,046,300.00 0.29 109,300.00
00440EAU1 ACE INA HOLDINGS 2.875% 11/03/22 101.51 4,169,000.0000 4,232,453.17 4,231,910.21 0.60 (542.96)
02665WCJ8 AMERICAN HONDA MTN 3.450% 7/14/23 101.27 845,000.0000 843,538.15 855,731.50 0.12 12,193.35
02665WCQ2 AMERICAN HONDA MTN 3.625% 10/10/23 101.60 2,000,000.0000 1,998,320.00 2,032,060.00 0.29 33,740.00
02665WCZ2 AMERICAN HONDA MTN 2.400% 6/27/24 98.56 1,219,000.0000 1,213,843.63 1,201,409.83 0.17 (12,433.80)
03215PFN4 AMRESCO 2.07531% 6/25/29 80.10 119,021.6400 89,377.81 95,339.90 0.01 5,962.09
037833BS8 APPLE INC 2.250% 2/23/21 101.01 4,000,000.0000 4,050,840.00 4,040,320.00 0.58 (10,520.00)
037833CU2 APPLE INC 2.850% 5/11/24 106.26 3,000,000.0000 3,017,760.00 3,187,740.00 0.45 169,980.00
06051GFN4 BANK OF AMERICA MTN 2.250% 4/21/20 99.98 2,000,000.0000 2,001,960.00 1,999,680.00 0.29 (2,280.00)
06051GHF9 BANK OF AMERICA 3.550% 3/05/24 104.01 6,675,000.0000 6,770,625.75 6,942,734.25 0.99 172,108.50
06367BED7 BANK OF MONTREAL C D 1.890% 5/21/20 100.10 1,000,000.0000 1,000,000.00 1,000,990.00 0.14 990.00
06406RAA5 BANK OF NY MTN 2.600% 2/07/22 100.83 2,500,000.0000 2,504,475.00 2,520,800.00 0.36 16,325.00
06406RAE7 BANK OF NY MTN 2.950% 1/29/23 102.24 2,500,000.0000 2,489,555.00 2,555,875.00 0.36 66,320.00
084664BT7 BERKSHIRE HATHAWAY 3.000% 5/15/22 103.87 4,000,000.0000 4,131,120.00 4,154,920.00 0.59 23,800.00
084670BR8 BERKSHIRE HATHAWAY 2.750% 3/15/23 103.47 2,500,000.0000 2,440,950.00 2,586,750.00 0.37 145,800.00
09247XAL5 BLACKROCK INC 3.500% 3/18/24 107.54 1,000,000.0000 1,036,330.00 1,075,400.00 0.15 39,070.00
166764AH3 CHEVRON CORP 3.191% 6/24/23 104.54 3,500,000.0000 3,441,095.00 3,658,725.00 0.52 217,630.00
166764BG4 CHEVRON CORP 2.100% 5/16/21 100.03 2,500,000.0000 2,485,350.00 2,500,825.00 0.36 15,475.00
24422EUM9 JOHN DEERE MTN 3.650% 10/12/23 105.43 1,250,000.0000 1,250,237.50 1,317,900.00 0.19 67,662.50
30231GAV4 EXXON MOBIL 2.222% 3/01/21 100.65 3,000,000.0000 3,016,097.40 3,019,500.00 0.43 3,402.60
3130A0F70 F H L B DEB 3.375% 12/08/23 111.14 10,000,000.0000 10,269,043.75 11,114,300.00 1.59 845,256.25
3130A1XJ2 F H L B 2.875% 6/14/24 110.47 11,110,000.0000 11,589,031.30 12,272,883.70 1.75 683,852.40
3130A2UW4 F H L B DEB 2.875% 9/13/24 109.91 2,500,000.0000 2,635,950.00 2,747,725.00 0.39 111,775.00
3130A4CH3 F H L B DEB 2.375% 3/14/25 109.39 5,225,000.0000 5,526,848.25 5,715,836.50 0.82 188,988.25
3130A7CV5 F H L B DEB 1.375% 2/18/21 100.90 5,365,000.0000 5,343,325.40 5,413,499.60 0.77 70,174.20
313379RB7 F H L B DEB 1.875% 6/11/21 101.81 4,000,000.0000 4,030,160.00 4,072,520.00 0.58 42,360.00
313383HU8 F H L B DEB 1.750% 6/12/20 100.28 4,000,000.0000 4,007,160.00 4,011,040.00 0.57 3,880.00
313383QR5 F H L B DEB 3.250% 6/09/23 108.66 5,000,000.0000 5,083,350.00 5,433,150.00 0.78 349,800.00
313383YJ4 F H L B DEB 3.375% 9/08/23 110.11 10,000,000.0000 10,211,831.00 11,010,600.00 1.57 798,769.00
3133EKWV4 F F C B DEB 1.850% 7/26/24 105.22 5,000,000.0000 5,048,280.00 5,261,100.00 0.75 212,820.00
3133TCE95 F H L M C MLTCL MTG 4.025% 8/15/32 100.15 5,932.6500 5,938.86 5,941.61 0.00 2.75
1 of 4
U.S. Bank
Asset Detail - Consolidated
As of 03/31/2020
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
31348SWZ3 F H L M C #786064 3.845% 1/01/28 100.84 1,728.7700 1,686.68 1,743.33 0.00 56.65
3135G0D75 F N M A DEB 1.500% 6/22/20 100.28 5,000,000.0000 4,955,650.00 5,014,050.00 0.72 58,400.00
3135G0F73 F N M A 1.500% 11/30/20 100.67 7,500,000.0000 7,370,726.00 7,550,550.00 1.08 179,824.00
3135G0J20 F N M A DEB 1.375% 2/26/21 100.95 10,000,000.0000 10,040,950.00 10,095,000.00 1.44 54,050.00
3135G0S38 F N M A 2.000% 1/05/22 102.87 3,000,000.0000 2,994,570.00 3,085,950.00 0.44 91,380.00
3135G0T45 F N M A 1.875% 4/05/22 102.98 5,000,000.0000 4,972,500.00 5,149,000.00 0.73 176,500.00
3135G0T94 F N M A DEB 2.375% 1/19/23 105.39 5,000,000.0000 4,910,990.00 5,269,500.00 0.75 358,510.00
3135G0U35 F N M A 2.750% 6/22/21 102.88 7,500,000.0000 7,515,225.00 7,715,775.00 1.10 200,550.00
3135G0V34 F N M A 2.500% 2/05/24 107.57 5,000,000.0000 4,980,850.00 5,378,350.00 0.77 397,500.00
3135G0X24 F N M A 1.625% 1/07/25 104.97 10,000,000.0000 10,157,936.40 10,496,900.00 1.50 338,963.60
31371NUC7 F N M A #257179 4.500% 4/01/28 107.48 12,976.8300 13,724.28 13,947.24 0.00 222.96
31376KT22 F N M A #357969 5.000% 9/01/35 111.31 87,807.6400 94,393.20 97,740.44 0.01 3,347.24
3137EAEK1 F H L M C M T N 1.875% 11/17/20 101.04 5,000,000.0000 4,986,225.00 5,052,100.00 0.72 65,875.00
3137EAEL9 F H L M C M T N 2.375% 2/16/21 101.67 7,500,000.0000 7,484,475.00 7,625,550.00 1.09 141,075.00
3137EAEN5 F H L M C 2.750% 6/19/23 107.13 10,000,000.0000 9,956,500.00 10,713,200.00 1.53 756,700.00
3137EAEP0 F H L M C 1.500% 2/12/25 104.35 12,335,000.0000 12,510,182.05 12,871,449.15 1.84 361,267.10
31381PDA3 F N M A #466397 3.400% 11/01/20 100.12 332,913.3400 325,708.91 333,296.19 0.05 7,587.28
3138EG6F6 F N M A #AL0869 4.500% 6/01/29 107.79 8,964.5700 9,480.93 9,662.73 0.00 181.80
31394JY35 F H L M C MLTCL MTG 6.500% 9/25/43 115.69 633,348.6500 717,267.34 732,727.39 0.10 15,460.05
31397QRE0 F N M A GTD REMIC 2.472% 2/25/41 99.73 166,890.2100 166,838.06 166,431.26 0.02 (406.80)
31403DJZ3 F N M A #745580 5.000% 6/01/36 111.21 83,766.3200 90,048.79 93,159.04 0.01 3,110.25
31403GXF4 F N M A #748678 5.000% 10/01/33 109.76 1,726.6200 1,856.12 1,895.21 0.00 39.09
31406PQY8 F N M A #815971 5.000% 3/01/35 110.90 131,227.7700 141,069.87 145,525.04 0.02 4,455.17
31406XWT5 F N M A #823358 3.674% 2/01/35 100.85 96,005.3200 95,255.27 96,818.49 0.01 1,563.22
31407BXH7 F N M A #826080 5.000% 7/01/35 111.13 17,200.2000 18,490.21 19,114.24 0.00 624.03
31410F4V4 F N M A #888336 5.000% 7/01/36 111.23 164,301.4800 176,624.10 182,749.25 0.03 6,125.15
31417YAY3 F N M A #MA0022 4.500% 4/01/29 107.76 14,568.0700 15,407.17 15,698.99 0.00 291.82
36225CAZ9 G N M A I I #080023 3.125% 12/20/26 102.97 13,965.0000 14,195.71 14,379.76 0.00 184.05
36225CC20 G N M A I I #080088 3.875% 6/20/27 100.80 11,624.2500 11,878.54 11,717.71 0.00 (160.83)
36225CN28 G N M A I I #080408 3.875% 5/20/30 103.36 44,785.1700 44,330.33 46,289.06 0.01 1,958.73
36225CNM4 G N M A I I #080395 3.875% 4/20/30 103.36 5,739.0400 5,687.00 5,931.93 0.00 244.93
36225DCB8 G N M A I I #080965 3.250% 7/20/34 103.49 40,310.8100 40,285.63 41,717.25 0.01 1,431.62
369550BA5 GENERAL DYNAMICS 2.875% 5/11/20 100.07 2,000,000.0000 2,011,340.00 2,001,380.00 0.29 (9,960.00)
369550BE7 GENERAL DYNAMICS 3.000% 5/11/21 100.77 3,160,000.0000 3,138,038.00 3,184,300.40 0.45 46,262.40
404280BF5 HSBC HOLDINGS PLC 2.650% 1/05/22 99.86 4,500,000.0000 4,429,980.00 4,493,790.00 0.64 63,810.00
43814PAC4 HONDA AUTO 1.790% 9/20/21 99.90 1,134,368.6000 1,116,378.22 1,133,211.54 0.16 16,833.32
43814UAG4 HONDA AUTO 3.010% 5/18/22 100.59 1,620,960.4700 1,620,925.13 1,630,459.30 0.23 9,534.17
43814WAB1 HONDA AUTO 2.750% 9/20/21 99.76 2,732,580.8000 2,732,404.82 2,725,995.28 0.39 (6,409.54)
43815HAC1 HONDA AUTO 2.950% 8/22/22 100.92 3,918,242.9900 3,917,705.41 3,954,290.83 0.56 36,585.42
43815NAB0 HONDA AUTO 1.900% 4/15/22 99.81 3,530,000.0000 3,529,752.90 3,523,328.30 0.50 (6,424.60)
44932HAH6 IBM CREDIT CORP 3.000% 2/06/23 103.48 5,670,000.0000 5,603,264.40 5,867,032.50 0.84 263,768.10
458140BD1 INTEL CORP 2.875% 5/11/24 104.91 5,000,000.0000 5,025,900.00 5,245,300.00 0.75 219,400.00
2 of 4
U.S. Bank
Asset Detail - Consolidated
As of 03/31/2020
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
4581X0CS5 INTER AMER BK M T N 1.875% 3/15/21 101.30 5,000,000.0000 5,059,610.00 5,064,950.00 0.72 5,340.00
4581X0CW6 INTER AMER DEV BK 2.125% 1/18/22 102.84 3,000,000.0000 2,996,310.00 3,085,170.00 0.44 88,860.00
4581X0CX4 INTER AMER DEV BK 1.625% 5/12/20 100.16 3,035,000.0000 3,027,807.05 3,039,734.60 0.43 11,927.55
4581X0CZ9 INTER AMER DEV BK 1.750% 9/14/22 102.99 6,500,000.0000 6,249,655.00 6,694,545.00 0.95 444,890.00
459058FY4 INTL BK 2.000% 1/26/22 102.56 10,000,000.0000 10,006,350.00 10,256,300.00 1.46 249,950.00
45950KCJ7 INTL FINANCE CORP 1.125% 7/20/21 100.71 2,500,000.0000 2,441,600.00 2,517,650.00 0.36 76,050.00
45950KCM0 INTL BK M T N 2.250% 1/25/21 101.40 2,970,000.0000 2,961,268.20 3,011,609.70 0.43 50,341.50
46625HRL6 JP MORGAN CHASE CO 2.700% 5/18/23 102.63 5,000,000.0000 4,821,910.00 5,131,500.00 0.73 309,590.00
46647PAU0 JPMORGAN CHASE CO 3.797% 7/23/24 104.67 2,500,000.0000 2,632,175.00 2,616,725.00 0.37 (15,450.00)
477870AB5 JOHN DEERE OWNER 2.280% 5/16/22 100.14 2,782,931.0600 2,782,920.48 2,786,827.16 0.40 3,906.68
47788BAD6 JOHN DEERE OWNER 1.820% 10/15/21 99.63 183,876.6300 183,863.16 183,203.64 0.03 (659.52)
47788CAC6 JOHN DEERE OWNER 2.660% 4/18/22 99.27 831,754.2700 831,694.47 825,682.46 0.12 (6,012.01)
47788EAC2 JOHN DEERE OWNER 3.080% 11/15/22 100.62 4,630,000.0000 4,629,649.05 4,658,844.90 0.66 29,195.85
47789JAB2 JOHN DEERE OWNER 2.850% 12/15/21 100.27 1,879,859.7500 1,879,774.03 1,884,841.38 0.27 5,067.35
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 1.05 600,000.0000 319,005.35 6,300.00 0.00 (312,705.35)
58770FAC6 MERCEDES BENZ AUTO 1.840% 12/15/22 100.07 2,050,000.0000 2,049,729.81 2,051,332.50 0.29 1,602.69
58933YAF2 MERCK CO INC 2.800% 5/18/23 100.69 2,000,000.0000 1,948,640.00 2,013,840.00 0.29 65,200.00
594918BP8 MICROSOFT CORP 1.550% 8/08/21 100.70 3,045,000.0000 3,041,385.15 3,066,193.20 0.44 24,808.05
61747WAL3 MORGAN STANLEY 5.500% 7/28/21 103.83 2,800,000.0000 3,200,848.00 2,907,240.00 0.41 (293,608.00)
64971M5E8 NEW YORK CITY NY 4.075% 11/01/20 101.71 1,400,000.0000 1,400,000.00 1,423,996.00 0.20 23,996.00
65478GAD2 NISSAN AUTO 1.750% 10/15/21 100.07 1,102,968.6800 1,085,864.05 1,103,685.61 0.16 17,821.56
65479GAD1 NISSAN AUTO 3.060% 3/15/23 101.57 3,560,000.0000 3,559,884.66 3,615,963.20 0.52 56,078.54
65479JAD5 NISSAN AUTO 1.930% 7/15/24 100.99 4,185,000.0000 4,184,779.03 4,226,264.10 0.60 41,485.07
68389XBK0 ORACLE CORP 1.900% 9/15/21 100.30 3,000,000.0000 2,892,240.00 3,008,850.00 0.43 116,610.00
69353RFB9 PNC BANK NA MTN 2.625% 2/17/22 101.02 1,000,000.0000 974,940.00 1,010,220.00 0.14 35,280.00
69353RFL7 PNC BANK NA MTN 3.500% 6/08/23 103.47 5,000,000.0000 4,993,318.05 5,173,700.00 0.74 180,381.95
747525AD5 QUALCOMM INC 2.250% 5/20/20 99.99 2,000,000.0000 2,002,700.00 1,999,740.00 0.29 (2,960.00)
747525AD5 QUALCOMM INC 2.250% 5/20/20 99.99 5,000,000.0000 4,995,195.40 4,999,350.00 0.71 4,154.60
78013XZU5 ROYAL BANK OF MTN 2.550% 7/16/24 101.69 6,500,000.0000 6,581,445.00 6,609,590.00 0.94 28,145.00
78445JAA5 S L M A 3.33073% 4/25/23 98.73 12,192.9300 12,143.46 12,037.47 0.00 (105.99)
808513AT2 CHARLES SCHWAB CORP 2.650% 1/25/23 101.45 6,750,000.0000 6,729,480.00 6,847,740.00 0.98 118,260.00
83162CLJ0 S B A GTD DEV PART 6.340% 3/01/21 101.18 5,878.0300 5,878.03 5,947.45 0.00 69.42
89114QC48 TORONTO MTN 3.500% 7/19/23 103.00 5,000,000.0000 5,094,200.00 5,150,000.00 0.73 55,800.00
89114QCA4 TORONTO DOMINION MTN 2.650% 6/12/24 101.58 3,000,000.0000 3,000,570.00 3,047,280.00 0.43 46,710.00
89239AAB9 TOYOTA AUTO 2.830% 10/15/21 100.13 1,938,655.2900 1,938,479.27 1,941,098.00 0.28 2,618.73
90331HNL3 US BANK NA MTN 2.850% 1/23/23 102.37 2,000,000.0000 1,992,640.00 2,047,440.00 0.29 54,800.00
90331HPL1 US BANK NA MTN 2.050% 1/21/25 99.26 7,270,000.0000 7,254,514.90 7,216,492.80 1.03 (38,022.10)
9128283J7 U S TREASURY NT 2.125% 11/30/24 108.10 16,500,000.0000 16,783,886.72 17,836,830.00 2.54 1,052,943.28
9128284D9 U S TREASURY NT 2.500% 3/31/23 106.60 10,000,000.0000 9,887,265.63 10,659,800.00 1.52 772,534.37
9128284Y3 U S TREASURY NT 2.625% 8/31/20 101.04 7,000,000.0000 7,042,382.81 7,072,730.00 1.01 30,347.19
912828J76 U S TREASURY NT 1.750% 3/31/22 103.06 5,000,000.0000 4,976,383.94 5,153,150.00 0.74 176,766.06
3 of 4
U.S. Bank
Asset Detail - Consolidated
As of 03/31/2020
CUSIP Asset Short Name Price Shares/Units Cost Basis Market Value Percent of Total Unrealized Gain/Loss
912828L24 U S TREASURY NT 1.875% 8/31/22 103.92 6,000,000.0000 5,987,832.60 6,235,080.00 0.89 247,247.40
912828L32 U S TREASURY NT 1.375% 8/31/20 100.53 15,000,000.0000 14,977,929.69 15,079,650.00 2.15 101,720.31
912828L57 U S TREASURY NT 1.750% 9/30/22 103.72 16,000,000.0000 15,829,492.20 16,595,680.00 2.37 766,187.80
912828L99 U S TREASURY NT 1.375% 10/31/20 100.72 7,000,000.0000 6,888,738.85 7,050,330.00 1.01 161,591.15
912828M80 U S TREASURY NT 2.000% 11/30/22 104.57 8,000,000.0000 7,907,500.00 8,365,280.00 1.19 457,780.00
912828N30 U S TREASURY NT 2.125% 12/31/22 105.07 5,000,000.0000 4,926,562.50 5,253,500.00 0.75 326,937.50
912828N89 U S TREASURY NT 1.375% 1/31/21 101.09 6,000,000.0000 5,895,840.41 6,065,640.00 0.87 169,799.59
912828R69 U S TREASURY NT 1.625% 5/31/23 104.16 5,000,000.0000 4,757,226.56 5,208,200.00 0.74 450,973.44
912828T34 U S TREASURY NT 1.125% 9/30/21 101.38 7,000,000.0000 6,757,914.08 7,096,250.00 1.01 338,335.92
912828T67 U S TREASURY NT 1.250% 10/31/21 101.67 6,000,000.0000 5,813,691.98 6,100,320.00 0.87 286,628.02
912828U57 U S TREASURY NT 2.125% 11/30/23 106.59 15,000,000.0000 14,723,632.81 15,988,500.00 2.28 1,264,867.19
912828U65 U S TREASURY NT 1.750% 11/30/21 102.57 7,000,000.0000 6,900,492.20 7,180,180.00 1.02 279,687.80
912828V72 U S TREASURY NT 1.875% 1/31/22 103.04 3,000,000.0000 3,004,814.74 3,091,050.00 0.44 86,235.26
912828V80 U S TREASURY NT 2.250% 1/31/24 107.33 7,500,000.0000 7,491,503.91 8,049,900.00 1.15 558,396.09
912828VJ6 U S TREASURY NT 1.875% 6/30/20 100.44 15,000,000.0000 15,022,265.63 15,066,150.00 2.15 43,884.37
912828VV9 U S TREASURY NT 2.125% 8/31/20 100.83 15,000,000.0000 15,049,804.69 15,124,800.00 2.16 74,995.31
912828W48 U S TREASURY NT 2.125% 2/29/24 106.96 10,000,000.0000 9,911,718.75 10,696,100.00 1.53 784,381.25
912828WJ5 U S TREASURY NT 2.500% 5/15/24 108.81 7,000,000.0000 7,193,046.88 7,616,350.00 1.09 423,303.12
912828WU0 U S TREASURY I P S 0.125% 7/15/24 100.21 11,297,624.0000 11,152,904.09 11,321,687.94 1.62 168,783.85
912828XH8 U S TREASURY NT 1.625% 6/30/20 100.38 5,000,000.0000 5,001,367.19 5,018,950.00 0.72 17,582.81
912828XW5 U S TREASURY NT 1.750% 6/30/22 103.44 5,000,000.0000 4,973,454.25 5,171,900.00 0.74 198,445.75
912828XX3 U S TREASURY NT 2.000% 6/30/24 106.92 5,000,000.0000 5,028,710.94 5,345,900.00 0.76 317,189.06
912828XY1 U S TREASURY NT 2.500% 6/30/20 100.60 11,000,000.0000 11,046,640.63 11,065,560.00 1.58 18,919.37
912828YH7 U S TREASURY NT 1.500% 9/30/24 105.08 14,000,000.0000 13,859,296.88 14,710,920.00 2.10 851,623.12
913366EJ5 UNIV OF CALIFORNIA 5.035% 5/15/21 104.45 400,000.0000 400,000.00 417,808.00 0.06 17,808.00
931142EK5 WALMART INC 3.400% 6/26/23 106.06 3,880,000.0000 3,878,991.40 4,114,934.00 0.59 235,942.60
94974BGM6 WELLS FARGO CO MTN 2.600% 7/22/20 100.02 5,000,000.0000 5,001,650.00 5,000,950.00 0.71 (700.00)
95000U2B8 WELLS FARGO MTN 2.625% 7/22/22 100.32 3,000,000.0000 2,954,520.00 3,009,720.00 0.43 55,200.00
Fixed Income Total 624,564,697.8500 623,466,412.99 642,896,198.06 91.71 19,429,785.07
Grand Total 682,707,781.55 681,492,907.13 701,030,165.71 100.00 19,537,258.58
4 of 4
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
ACQUISITIONS
01/02/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,500,000.0000 1.000000 -7,500,000.00 7,500,000.00 0.00
01/03/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 16,711.5700 1.000000 -16,711.57 16,711.57 0.00
01/03/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 19,501.1700 1.000000 -19,501.17 19,501.17 0.00
01/06/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 89,625.0000 1.000000 -89,625.00 89,625.00 0.00
01/07/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,500,000.0000 1.000000 -7,500,000.00 7,500,000.00 0.00
01/10/2020 3135G0X24 PURCHASED PAR VALUE OF F N M A 1.625% 1/07/25 /BARCLAYS CAPITAL
INC. FIXED IN/4,340,000 PAR VALUE AT 99.681 %
4,340,000.0000 0.996810 -4,326,155.40 4,326,155.40 0.00
01/10/2020 822582BG6 PURCHASED PAR VALUE OF SHELL INTERNATIONAL 2.125% 5/11/20 /PERSHING
LLC/1,000,000 PAR VALUE AT 100.123 %
1,000,000.0000 1.001230 -1,001,230.00 1,001,230.00 0.00
01/14/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 14,576.2500 1.000000 -14,576.25 14,576.25 0.00
01/14/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,200,000.0000 1.000000 -1,200,000.00 1,200,000.00 0.00
01/15/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 42,993.6200 1.000000 -42,993.62 42,993.62 0.00
01/15/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 933,363.2700 1.000000 -933,363.27 933,363.27 0.00
01/15/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,100,000.0000 1.000000 -1,100,000.00 1,100,000.00 0.00
01/16/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 82,875.0000 1.000000 -82,875.00 82,875.00 0.00
01/17/2020 912828L32 PURCHASED PAR VALUE OF U S TREASURY NT 1.375% 8/31/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 99.859375 %
5,000,000.0000 0.998594 -4,992,968.75 4,992,968.75 0.00
01/17/2020 912828XY1 PURCHASED PAR VALUE OF U S TREASURY NT 2.500% 6/30/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 100.4140626 %
5,000,000.0000 1.004141 -5,020,703.13 5,020,703.13 0.00
01/17/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,047,172.2100 1.000000 -5,047,172.21 5,047,172.21 0.00
01/21/2020 90331HPL1 PURCHASED PAR VALUE OF US BANK NA MTN 2.050% 1/21/25 /US BANCORP
INVESTMENTS INC./7,270,000 PAR VALUE AT 99.787 %
7,270,000.0000 0.997870 -7,254,514.90 7,254,514.90 0.00
01/21/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 14,075.0000 1.000000 -14,075.00 14,075.00 0.00
01/22/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 104,375.0000 1.000000 -104,375.00 104,375.00 0.00
01/23/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 22,366.6700 1.000000 -22,366.67 22,366.67 0.00
01/23/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 75,962.5000 1.000000 -75,962.50 75,962.50 0.00
01/23/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,000,000.0000 1.000000 -7,000,000.00 7,000,000.00 0.00
01/27/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 33,412.5000 1.000000 -33,412.50 33,412.50 0.00
01/27/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 281,251.7700 1.000000 -281,251.77 281,251.77 0.00
01/28/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 117,251.5100 1.000000 -117,251.51 117,251.51 0.00
01/29/2020 58770FAC6 PURCHASED PAR VALUE OF MERCEDES BENZ AUTO 1.840% 12/15/22 /MITSUBISHI
UFJ SECURITIES USA/2,050,000 PAR VALUE AT 99.98682 %
2,050,000.0000 0.999868 -2,049,729.81 2,049,729.81 0.00
01/29/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 16,368.0400 1.000000 -16,368.04 16,368.04 0.00
01/29/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 4,500,000.0000 1.000000 -4,500,000.00 4,500,000.00 0.00
01/30/2020 912828L32 PURCHASED PAR VALUE OF U S TREASURY NT 1.375% 8/31/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 99.8789062 %
5,000,000.0000 0.998789 -4,993,945.31 4,993,945.31 0.00
1 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
01/30/2020 912828XH8 PURCHASED PAR VALUE OF U S TREASURY NT 1.625% 6/30/20 /NOMURA
SECURITIES INTERNATIONA/5,000,000 PAR VALUE AT 100.0273438 %
5,000,000.0000 1.000273 -5,001,367.19 5,001,367.19 0.00
01/30/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 12,985,765.4700 1.000000 -12,985,765.47 12,985,765.47 0.00
01/31/2020 313384WG0 PURCHASED PAR VALUE OF F H L B DISC NTS 5/01/20 /BARCLAYS CAPITAL
INC. FIXED IN/3,000,000 PAR VALUE AT 99.603139 %
3,000,000.0000 0.996031 -2,988,094.17 2,988,094.17 0.00
01/31/2020 912796TG4 PURCHASED PAR VALUE OF U S TREASURY BILL 2/20/20 /NOMURA
SECURITIES INTERNATIONA/2,000,000 PAR VALUE AT 99.916111 %
2,000,000.0000 0.999161 -1,998,322.22 1,998,322.22 0.00
01/31/2020 912796XA2 PURCHASED PAR VALUE OF U S TREASURY BILL 3/10/20 /CITIGROUP GLOBAL
MARKETS INC./2,000,000 PAR VALUE AT 99.8350625 %
2,000,000.0000 0.998351 -1,996,701.25 1,996,701.25 0.00
01/31/2020 912828XY1 PURCHASED PAR VALUE OF U S TREASURY NT 2.500% 6/30/20 /NOMURA
SECURITIES INTERNATIONA/1,000,000 PAR VALUE AT 100.386719 %
1,000,000.0000 1.003867 -1,003,867.19 1,003,867.19 0.00
01/31/2020 9128284Y3 PURCHASED PAR VALUE OF U S TREASURY NT 2.625% 8/31/20 /CITIGROUP
GLOBAL MARKETS INC./7,000,000 PAR VALUE AT 100.60546871 %
7,000,000.0000 1.006055 -7,042,382.81 7,042,382.81 0.00
01/31/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,222,505.1000 1.000000 -7,222,505.10 7,222,505.10 0.00
01/31/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 33,810,017.6600 1.000000 -33,810,017.66 33,810,017.66 0.00
02/03/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 18,991.6700 1.000000 -18,991.67 18,991.67 0.00
02/03/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,000,000.0000 1.000000 -2,000,000.00 2,000,000.00 0.00
02/04/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 21,570.8400 1.000000 -21,570.84 21,570.84 0.00
02/04/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,886.8000 1.000000 -5,886.80 5,886.80 0.00
02/05/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 62,500.0000 1.000000 -62,500.00 62,500.00 0.00
02/06/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 85,050.0000 1.000000 -85,050.00 85,050.00 0.00
02/07/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 160.0000 1.000000 -160.00 160.00 0.00
02/07/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 32,500.0000 1.000000 -32,500.00 32,500.00 0.00
02/10/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 23,598.7500 1.000000 -23,598.75 23,598.75 0.00
02/14/2020 3137EAEP0 PURCHASED PAR VALUE OF F H L M C 1.500% 2/12/25 /WELLS FARGO
SECURITIES, LLC/6,335,000 PAR VALUE AT 99.923 %
6,335,000.0000 0.999230 -6,330,122.05 6,330,122.05 0.00
02/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,090,625.0000 1.000000 -5,090,625.00 5,090,625.00 0.00
02/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 6,270,000.0000 1.000000 -6,270,000.00 6,270,000.00 0.00
02/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,794,244.8800 1.000000 -1,794,244.88 1,794,244.88 0.00
02/20/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,000,000.0000 1.000000 -2,000,000.00 2,000,000.00 0.00
02/20/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,767.9800 1.000000 -2,767.98 2,767.98 0.00
02/21/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 9,759.5800 1.000000 -9,759.58 9,759.58 0.00
02/24/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 45,000.0000 1.000000 -45,000.00 45,000.00 0.00
02/25/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 37,718.1300 1.000000 -37,718.13 37,718.13 0.00
02/26/2020 912796XB0 PURCHASED PAR VALUE OF U S TREASURY BILL 3/17/20 /GOLDMAN SACHS &
CO. LLC/5,000,000 PAR VALUE AT 99.9141112 %
5,000,000.0000 0.999141 -4,995,705.56 4,995,705.56 0.00
02/26/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 68,750.0000 1.000000 -68,750.00 68,750.00 0.00
2 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
02/28/2020 912796TQ2 PURCHASED PAR VALUE OF U S TREASURY BILL 4/09/20 /WELLS FARGO
SECURITIES, LLC/4,000,000 PAR VALUE AT 99.8316495 %
4,000,000.0000 0.998316 -3,993,265.98 3,993,265.98 0.00
03/02/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,021,250.0000 1.000000 -2,021,250.00 2,021,250.00 0.00
03/02/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 354,375.0000 1.000000 -354,375.00 354,375.00 0.00
03/02/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 201,491.0800 1.000000 -201,491.08 201,491.08 0.00
03/03/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 6,470.6500 1.000000 -6,470.65 6,470.65 0.00
03/03/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 4,440.5200 1.000000 -4,440.52 4,440.52 0.00
03/05/2020 3137EAEP0 PURCHASED PAR VALUE OF F H L M C 1.500% 2/12/25 /WELLS FARGO
SECURITIES, LLC/6,000,000 PAR VALUE AT 103.001 %
6,000,000.0000 1.030010 -6,180,060.00 6,180,060.00 0.00
03/05/2020 9127962B4 PURCHASED PAR VALUE OF U S TREASURY BILL 4/14/20 /CITIGROUP GLOBAL
MARKETS INC./3,500,000 PAR VALUE AT 99.89205543 %
3,500,000.0000 0.998921 -3,496,221.94 3,496,221.94 0.00
03/05/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 6,533,153.0600 1.000000 -6,533,153.06 6,533,153.06 0.00
03/09/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 168,750.0000 1.000000 -168,750.00 168,750.00 0.00
03/10/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 2,000,000.0000 1.000000 -2,000,000.00 2,000,000.00 0.00
03/12/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 7,000,000.0000 1.000000 -7,000,000.00 7,000,000.00 0.00
03/12/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 6,000,000.0000 1.000000 -6,000,000.00 6,000,000.00 0.00
03/13/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 62,937.5000 1.000000 -62,937.50 62,937.50 0.00
03/16/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 265.9700 1.000000 -265.97 265.97 0.00
03/16/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,009,127.0400 1.000000 -1,009,127.04 1,009,127.04 0.00
03/17/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,000,000.0000 1.000000 -5,000,000.00 5,000,000.00 0.00
03/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 1,000,000.0000 1.000000 -1,000,000.00 1,000,000.00 0.00
03/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 5,055.5600 1.000000 -5,055.56 5,055.56 0.00
03/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 8,519,184.9100 1.000000 -8,519,184.91 8,519,184.91 0.00
03/18/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 157,216.6600 1.000000 -157,216.66 157,216.66 0.00
03/20/2020 3130A4CH3 PURCHASED PAR VALUE OF F H L B DEB 2.375% 3/14/25 /WELLS FARGO
SECURITIES, LLC/5,225,000 PAR VALUE AT 105.777 %
5,225,000.0000 1.057770 -5,526,848.25 5,526,848.25 0.00
03/23/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 61,516.5900 1.000000 -61,516.59 61,516.59 0.00
03/25/2020 3135G0X24 PURCHASED PAR VALUE OF F N M A 1.625% 1/07/25 /WELLS FARGO
SECURITIES, LLC/5,660,000 PAR VALUE AT 103.035 %
5,660,000.0000 1.030350 -5,831,781.00 5,831,781.00 0.00
03/25/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 21,415.1300 1.000000 -21,415.13 21,415.13 0.00
03/31/2020 31846V567 PURCHASED UNITS OF FIRST AM GOVT OB FD CL Z 453,125.0000 1.000000 -453,125.00 453,125.00 0.00
TOTAL ACQUISITIONS 233,259,067.6100 -233,903,054.52 233,903,054.52 0.00
DISPOSITIONS
01/02/2020 912796RT8 MATURED PAR VALUE OF U S TREASURY BILL 1/02/20 7,500,000 PAR VALUE AT
100 %
-7,500,000.0000 1.000000 7,496,905.21 -7,496,905.21 0.00
01/07/2020 912796WM7 MATURED PAR VALUE OF U S TREASURY BILL 1/07/20 7,500,000 PAR VALUE AT
100 %
-7,500,000.0000 1.000000 7,495,320.31 -7,495,320.31 0.00
3 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
01/10/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -1,004,712.6400 1.000000 1,004,712.64 -1,004,712.64 0.00
01/10/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -4,326,155.4000 1.000000 4,326,155.40 -4,326,155.40 0.00
01/14/2020 313384RU5 MATURED PAR VALUE OF F H L B DISC NTS 1/14/20 1,200,000 PAR VALUE AT
100 %
-1,200,000.0000 1.000000 1,198,691.67 -1,198,691.67 0.00
01/15/2020 69372AAF9 MATURED PAR VALUE OF PACCAR FINANCIAL CORP C P 1/15/20 1,100,000 PAR
VALUE AT 100 %
-1,100,000.0000 1.000000 1,094,969.03 -1,094,969.03 0.00
01/15/2020 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C #786064 4.677% 1/01/28 DECEMBER FHLMC
DUE 1/15/20
-17.9700 0.000000 17.97 -17.53 0.44
01/15/2020 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.023% 8/15/32 -284.5000 0.000000 284.50 -284.80 -0.30
01/15/2020 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820% 10/15/21 -44,437.4000 1.529051 44,437.40 -44,434.15 3.25
01/15/2020 47788CAC6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.660% 4/18/22 -97,099.9900 0.699764 97,099.99 -97,093.01 6.98
01/15/2020 47789JAB2 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.850% 12/15/21 -285,784.5400 0.237756 285,784.54 -285,771.51 13.03
01/15/2020 65478VAD9 PAID DOWN PAR VALUE OF NISSAN AUTO 1.320% 1/15/21 CMO FINAL
PAYDOWN
-35,911.0400 0.000000 35,911.04 -35,623.47 287.57
01/15/2020 65478GAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.750% 10/15/21 -156,814.1100 0.433297 156,814.11 -154,382.27 2,431.84
01/15/2020 89239AAB9 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.830% 10/15/21 -281,903.2300 0.241030 281,903.23 -281,877.63 25.60
01/17/2020 89233GAH9 MATURED PAR VALUE OF TOYOTA MOTOR CREDIT CO C P 1/17/20 2,000,000 PAR
VALUE AT 100 %
-2,000,000.0000 1.000000 1,961,884.44 -1,961,884.44 0.00
01/17/2020 9128283S7 SOLD PAR VALUE OF U S TREASURY NT 2.000% 1/31/20 /CITIGROUP GLOBAL
MARKETS INC./5,000,000 PAR VALUE AT 100.0195312 %
-5,000,000.0000 1.000195 5,000,976.56 -5,001,953.13 -976.57
01/17/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -8,045,763.2200 1.000000 8,045,763.22 -8,045,763.22 0.00
01/21/2020 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I #080023 4.125% 12/20/26 DECEMBER GNMA
DUE 1/20/20
-167.8500 0.000000 167.85 -170.62 -2.77
01/21/2020 36225CC20 PAID DOWN PAR VALUE OF G N M A I I #080088 3.875% 6/20/27 DECEMBER GNMA
DUE 1/20/20
-147.7300 0.000000 147.73 -150.96 -3.23
01/21/2020 36225CNM4 PAID DOWN PAR VALUE OF G N M A I I #080395 3.875% 4/20/30 DECEMBER GNMA
DUE 1/20/20
-275.1700 0.000000 275.17 -272.68 2.49
01/21/2020 36225CN28 PAID DOWN PAR VALUE OF G N M A I I #080408 3.875% 5/20/30 DECEMBER GNMA
DUE 1/20/20
-333.8300 0.000000 333.83 -330.44 3.39
01/21/2020 36225DCB8 PAID DOWN PAR VALUE OF G N M A I I #080965 3.250% 7/20/34 DECEMBER GNMA
DUE 1/20/20
-1,172.7100 0.000000 1,172.71 -1,171.98 0.73
01/21/2020 43814RAC0 PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -102,880.6700 0.000000 102,880.67 -101,751.39 1,129.28
01/21/2020 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -158,027.7000 0.000000 158,027.70 -155,521.48 2,506.22
01/21/2020 43814WAB1 PAID DOWN PAR VALUE OF HONDA AUTO 2.750% 9/20/21 -349,944.2700 0.000000 349,944.27 -349,921.73 22.54
01/21/2020 90331HNL3 SOLD PAR VALUE OF US BANK NA MTN 2.850% 1/23/23 /STIFEL, NICOLAUS &
CO.,INC./3,000,000 PAR VALUE AT 102.827 %
-3,000,000.0000 1.028270 3,084,810.00 -2,988,960.00 95,850.00
01/21/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -3,310,003.8700 1.000000 3,310,003.87 -3,310,003.87 0.00
01/23/2020 313384SD2 MATURED PAR VALUE OF F H L B DISC NTS 1/23/20 5,000,000 PAR VALUE AT
100 %
-5,000,000.0000 1.000000 4,992,586.11 -4,992,586.11 0.00
4 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
01/23/2020 89114M2Z9 MATURED PAR VALUE OF TORONTO DOMINION C D 2.200% 1/23/20 2,000,000 PAR
VALUE AT 100 %
-2,000,000.0000 1.000000 2,000,000.00 -2,000,285.65 -285.65
01/27/2020 31398VJ98 MATURED PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 56,619.55 PAR
VALUE AT 71.09117983 %
-56,619.5500 0.710912 40,251.51 -59,830.94 -19,579.43
01/27/2020 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -6,518.5600 0.000000 6,518.56 -7,382.27 -863.71
01/27/2020 31371NUC7 PAID DOWN PAR VALUE OF F N M A #257179 4.500% 4/01/28 DECEMBER FNMA
DUE 1/25/20
-166.5700 0.000000 166.57 -176.16 -9.59
01/27/2020 31376KT22 PAID DOWN PAR VALUE OF F N M A #357969 5.000% 9/01/35 DECEMBER FNMA
DUE 1/25/20
-994.8700 0.000000 994.87 -1,069.49 -74.62
01/27/2020 31381PDA3 PAID DOWN PAR VALUE OF F N M A #466397 3.400% 11/01/20 DECEMBER FNMA
DUE 1/25/20
-712.4400 0.000000 712.44 -697.02 15.42
01/27/2020 31403DJZ3 PAID DOWN PAR VALUE OF F N M A #745580 5.000% 6/01/36 DECEMBER FNMA
DUE 1/25/20
-1,265.5400 0.000000 1,265.54 -1,360.46 -94.92
01/27/2020 31403GXF4 PAID DOWN PAR VALUE OF F N M A #748678 5.000% 10/01/33 DECEMBER FNMA
DUE 1/25/20
-9.1100 0.000000 9.11 -9.79 -0.68
01/27/2020 31406PQY8 PAID DOWN PAR VALUE OF F N M A #815971 5.000% 3/01/35 DECEMBER FNMA
DUE 1/25/20
-9,088.8000 0.000000 9,088.80 -9,770.46 -681.66
01/27/2020 31406XWT5 PAID DOWN PAR VALUE OF F N M A #823358 4.347% 2/01/35 DECEMBER FNMA
DUE 1/25/20
-10,840.8400 0.000000 10,840.84 -10,756.15 84.69
01/27/2020 31407BXH7 PAID DOWN PAR VALUE OF F N M A #826080 5.000% 7/01/35 DECEMBER FNMA
DUE 1/25/20
-79.4800 0.000000 79.48 -85.44 -5.96
01/27/2020 31410F4V4 PAID DOWN PAR VALUE OF F N M A #888336 5.000% 7/01/36 DECEMBER FNMA
DUE 1/25/20
-1,999.6500 0.000000 1,999.65 -2,149.62 -149.97
01/27/2020 3138EG6F6 PAID DOWN PAR VALUE OF F N M A #AL0869 4.500% 6/01/29 DECEMBER FNMA
DUE 1/25/20
-236.5000 0.000000 236.50 -250.12 -13.62
01/27/2020 31417YAY3 PAID DOWN PAR VALUE OF F N M A #MA0022 4.500% 4/01/29 DECEMBER FNMA
DUE 1/25/20
-217.1600 0.000000 217.16 -229.67 -12.51
01/27/2020 31397QRE0 PAID DOWN PAR VALUE OF F N M A GTD REMIC 2.472% 2/25/41 -4,646.6700 0.000000 4,646.67 -4,645.22 1.45
01/27/2020 78445JAA5 PAID DOWN PAR VALUE OF S L M A 3.5925% 4/25/23 -570.0100 0.000000 570.01 -567.70 2.31
01/29/2020 313384SK6 MATURED PAR VALUE OF F H L B DISC NTS 1/29/20 4,500,000 PAR VALUE AT
100 %
-4,500,000.0000 1.000000 4,492,175.00 -4,492,175.00 0.00
01/29/2020 31398VJ98 MATURED PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 /DIRECT FROM
ISSUER/1/25/2020 MATURITY PROCEEDS
-40,251.5100 1.000000 40,251.51 -42,534.53 -2,283.02
01/29/2020 31398VJ98 MATURED -REV PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 56,619.5500 0.710912 -40,251.51 59,830.94 19,579.43
01/29/2020 31398VJ98 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 DECEMBER
PAYMENT
-172,468.8200 210.169775 172,468.82 -182,251.03 -9,782.21
01/29/2020 31398VJ98 PAID DOWN-RV PAR VALUE OF F H L M C MLTCL MTG 4.251% 1/25/20 RATE
REVISION
156,100.7800 0.138540 -156,100.78 164,954.62 8,853.84
01/29/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -2,012,854.8100 1.000000 2,012,854.81 -2,012,854.81 0.00
5 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
01/30/2020 912796RY7 MATURED PAR VALUE OF U S TREASURY BILL 1/30/20 21,000,000 PAR VALUE
AT 100 %
-21,000,000.0000 1.000000 20,909,107.77 -20,909,107.77 0.00
01/30/2020 94974BGF1 MATURED PAR VALUE OF WELLS FARGO MTN 2.150% 1/30/20 1,000,000 PAR
VALUE AT 100 %
-1,000,000.0000 1.000000 1,000,000.00 -996,600.00 3,400.00
01/30/2020 822582BG6 SOLD PAR VALUE OF SHELL INTERNATIONAL 2.125% 5/11/20 /TD SECURITIES
(USA)/1,000,000 PAR VALUE AT 100.107 %
-1,000,000.0000 1.001070 1,001,070.00 -1,001,230.00 -160.00
01/31/2020 912828H52 MATURED PAR VALUE OF U S TREASURY NT 1.250% 1/31/20 13,500,000 PAR
VALUE AT 100 %
-13,500,000.0000 1.000000 13,500,000.00 -13,396,542.97 103,457.03
01/31/2020 912828UL2 MATURED PAR VALUE OF U S TREASURY NT 1.375% 1/31/20 5,000,000 PAR VALUE
AT 100 %
-5,000,000.0000 1.000000 5,000,000.00 -4,988,671.88 11,328.12
01/31/2020 9128283S7 MATURED PAR VALUE OF U S TREASURY NT 2.000% 1/31/20 30,000,000 PAR
VALUE AT 100 %
-30,000,000.0000 1.000000 30,000,000.00 -29,961,132.82 38,867.18
01/31/2020 912828L99 SOLD PAR VALUE OF U S TREASURY NT 1.375% 10/31/20 /NOMURA SECURITIES
INTERNATIONA/3,000,000 PAR VALUE AT 99.86328133 %
-3,000,000.0000 0.998633 2,995,898.44 -2,961,572.55 34,325.89
01/31/2020 912828L57 SOLD PAR VALUE OF U S TREASURY NT 1.750% 9/30/22 /CITIGROUP GLOBAL
MARKETS INC./4,000,000 PAR VALUE AT 100.97265625 %
-4,000,000.0000 1.009727 4,038,906.25 -3,948,828.12 90,078.13
01/31/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -70,000,000.0000 1.000000 70,000,000.00 -70,000,000.00 0.00
01/31/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -10,000,000.0000 1.000000 10,000,000.00 -10,000,000.00 0.00
02/03/2020 06406HCZ0 FULL CALL PAR VALUE OF BANK OF NY MELLO MTN 2.150% 2/24/20 /CALLS/ -2,000,000.0000 1.000000 2,000,000.00 -1,994,230.00 5,770.00
02/14/2020 313383HU8 SOLD PAR VALUE OF F H L B DEB 1.750% 6/12/20 /MORGAN STANLEY & CO.
LLC/1,000,000 PAR VALUE AT 100.063 %
-1,000,000.0000 1.000630 1,000,630.00 -1,001,790.00 -1,160.00
02/14/2020 912828XE5 SOLD PAR VALUE OF U S TREASURY NT 1.500% 5/31/20 /CITIGROUP GLOBAL
MARKETS INC./5,000,000 PAR VALUE AT 99.96875 %
-5,000,000.0000 0.999688 4,998,437.50 -4,966,423.00 32,014.50
02/14/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -312,466.8900 1.000000 312,466.89 -312,466.89 0.00
02/18/2020 912828MP2 MATURED PAR VALUE OF U S TREASURY NT 3.625% 2/15/20 5,000,000 PAR VALUE
AT 100 %
-5,000,000.0000 1.000000 5,000,000.00 -5,013,671.88 -13,671.88
02/18/2020 02587AAJ3 PAID DOWN PAR VALUE OF AMERICAN EXPRESS 1.930% 9/15/22 CMO FINAL
PAYDOWN
-6,270,000.0000 0.000000 6,270,000.00 -6,174,085.15 95,914.85
02/18/2020 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C #786064 4.174% 1/01/28 JANUARY FHLMC
DUE 2/15/20
-26.4000 0.000000 26.40 -25.76 0.64
02/18/2020 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.025% 8/15/32 -311.7000 0.000000 311.70 -312.03 -0.33
02/18/2020 43814RAC0 PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 -102,724.7900 4.035756 102,724.79 -101,597.23 1,127.56
02/18/2020 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -156,674.1900 2.646078 156,674.19 -154,189.44 2,484.75
02/18/2020 43814WAB1 PAID DOWN PAR VALUE OF HONDA AUTO 2.750% 9/20/21 -364,802.1800 1.136430 364,802.18 -364,778.69 23.49
02/18/2020 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820% 10/15/21 -54,347.6800 7.628148 54,347.68 -54,343.70 3.98
02/18/2020 47788CAC6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.660% 4/18/22 -110,372.9300 3.756104 110,372.93 -110,364.99 7.94
02/18/2020 47789JAB2 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.850% 12/15/21 -349,163.6700 1.187329 349,163.67 -349,147.75 15.92
02/18/2020 65478GAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.750% 10/15/21 -159,623.2300 2.597192 159,623.23 -157,147.82 2,475.41
02/18/2020 89239AAB9 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.830% 10/15/21 -275,836.2800 1.502965 275,836.28 -275,811.23 25.05
6 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
02/20/2020 912796TG4 MATURED PAR VALUE OF U S TREASURY BILL 2/20/20 2,000,000 PAR VALUE AT
100 %
-2,000,000.0000 1.000000 1,998,322.22 -1,998,322.22 0.00
02/20/2020 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I #080023 3.125% 12/20/26 JANUARY GNMA
DUE 2/20/20
-159.8500 0.000000 159.85 -162.49 -2.64
02/20/2020 36225CC20 PAID DOWN PAR VALUE OF G N M A I I #080088 3.875% 6/20/27 JANUARY GNMA
DUE 2/20/20
-417.4600 0.000000 417.46 -426.59 -9.13
02/20/2020 36225CNM4 PAID DOWN PAR VALUE OF G N M A I I #080395 3.875% 4/20/30 JANUARY GNMA
DUE 2/20/20
-41.9200 0.000000 41.92 -41.54 0.38
02/20/2020 36225CN28 PAID DOWN PAR VALUE OF G N M A I I #080408 3.875% 5/20/30 JANUARY GNMA
DUE 2/20/20
-334.5300 0.000000 334.53 -331.13 3.40
02/20/2020 36225DCB8 PAID DOWN PAR VALUE OF G N M A I I #080965 3.250% 7/20/34 JANUARY GNMA
DUE 2/20/20
-1,455.8400 0.000000 1,455.84 -1,454.93 0.91
02/25/2020 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -12,923.4600 0.000000 12,923.46 -14,635.82 -1,712.36
02/25/2020 31371NUC7 PAID DOWN PAR VALUE OF F N M A #257179 4.500% 4/01/28 JANUARY FNMA
DUE 2/25/20
-135.1200 0.000000 135.12 -142.90 -7.78
02/25/2020 31376KT22 PAID DOWN PAR VALUE OF F N M A #357969 5.000% 9/01/35 JANUARY FNMA
DUE 2/25/20
-2,784.1500 0.000000 2,784.15 -2,992.96 -208.81
02/25/2020 31381PDA3 PAID DOWN PAR VALUE OF F N M A #466397 3.400% 11/01/20 JANUARY FNMA
DUE 2/25/20
-715.4000 0.000000 715.40 -699.92 15.48
02/25/2020 31403DJZ3 PAID DOWN PAR VALUE OF F N M A #745580 5.000% 6/01/36 JANUARY FNMA
DUE 2/25/20
-1,330.5100 0.000000 1,330.51 -1,430.30 -99.79
02/25/2020 31403GXF4 PAID DOWN PAR VALUE OF F N M A #748678 5.000% 10/01/33 JANUARY FNMA
DUE 2/25/20
-9.1500 0.000000 9.15 -9.84 -0.69
02/25/2020 31406PQY8 PAID DOWN PAR VALUE OF F N M A #815971 5.000% 3/01/35 JANUARY FNMA
DUE 2/25/20
-5,154.8100 0.000000 5,154.81 -5,541.42 -386.61
02/25/2020 31406XWT5 PAID DOWN PAR VALUE OF F N M A #823358 3.674% 2/01/35 JANUARY FNMA
DUE 2/25/20
-580.9600 0.000000 580.96 -576.42 4.54
02/25/2020 31407BXH7 PAID DOWN PAR VALUE OF F N M A #826080 5.000% 7/01/35 JANUARY FNMA
DUE 2/25/20
-279.1200 0.000000 279.12 -300.05 -20.93
02/25/2020 31410F4V4 PAID DOWN PAR VALUE OF F N M A #888336 5.000% 7/01/36 JANUARY FNMA
DUE 2/25/20
-2,698.3600 0.000000 2,698.36 -2,900.74 -202.38
02/25/2020 3138EG6F6 PAID DOWN PAR VALUE OF F N M A #AL0869 4.500% 6/01/29 JANUARY FNMA
DUE 2/25/20
-148.0800 0.000000 148.08 -156.61 -8.53
02/25/2020 31417YAY3 PAID DOWN PAR VALUE OF F N M A #MA0022 4.500% 4/01/29 JANUARY FNMA
DUE 2/25/20
-282.7100 0.000000 282.71 -298.99 -16.28
02/25/2020 31397QRE0 PAID DOWN PAR VALUE OF F N M A GTD REMIC 2.472% 2/25/41 -2,973.0000 0.000000 2,973.00 -2,972.07 0.93
02/26/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -4,995,705.5600 1.000000 4,995,705.56 -4,995,705.56 0.00
02/28/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -3,993,265.9800 1.000000 3,993,265.98 -3,993,265.98 0.00
03/02/2020 78012KC62 MATURED PAR VALUE OF ROYAL BANK MTN 2.125% 3/02/20 2,000,000 PAR
VALUE AT 100 %
-2,000,000.0000 1.000000 2,000,000.00 -2,001,340.00 -1,340.00
7 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
03/02/2020 83162CLJ0 PAID DOWN PAR VALUE OF S B A GTD DEV PART 6.340% 3/01/21 -5,306.5300 0.000000 5,306.53 -5,306.53 0.00
03/05/2020 40428HPR7 MATURED PAR VALUE OF HSBC USA INC MTN 2.350% 3/05/20 2,500,000 PAR
VALUE AT 100 %
-2,500,000.0000 1.000000 2,500,000.00 -2,493,300.00 6,700.00
03/05/2020 40428HPR7 MATURED PAR VALUE OF HSBC USA INC MTN 2.350% 3/05/20 2,500,000 PAR
VALUE AT 100 %
-2,500,000.0000 1.000000 2,500,000.00 -2,472,287.50 27,712.50
03/05/2020 912796TH2 MATURED PAR VALUE OF U S TREASURY BILL 3/05/20 7,500,000 PAR VALUE AT
100 %
-7,500,000.0000 1.000000 7,476,699.31 -7,476,699.31 0.00
03/05/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -3,537,453.7500 1.000000 3,537,453.75 -3,537,453.75 0.00
03/10/2020 912796XA2 MATURED PAR VALUE OF U S TREASURY BILL 3/10/20 2,000,000 PAR VALUE AT
100 %
-2,000,000.0000 1.000000 1,996,701.25 -1,996,701.25 0.00
03/16/2020 31348SWZ3 PAID DOWN PAR VALUE OF F H L M C #786064 3.845% 1/01/28 FEBRUARY FHLMC
DUE 3/15/20
-19.1500 0.000000 19.15 -18.68 0.47
03/16/2020 3133TCE95 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 4.025% 8/15/32 -245.3000 0.000000 245.30 -245.56 -0.26
03/16/2020 47788BAD6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 1.820% 10/15/21 -41,374.5100 0.000000 41,374.51 -41,371.48 3.03
03/16/2020 477870AB5 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.280% 5/16/22 -17,068.9400 0.000000 17,068.94 -17,068.88 0.06
03/16/2020 47788CAC6 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.660% 4/18/22 -73,965.6700 0.000000 73,965.67 -73,960.35 5.32
03/16/2020 47789JAB2 PAID DOWN PAR VALUE OF JOHN DEERE OWNER 2.850% 12/15/21 -250,846.6900 0.000000 250,846.69 -250,835.25 11.44
03/16/2020 65478GAD2 PAID DOWN PAR VALUE OF NISSAN AUTO 1.750% 10/15/21 -143,817.4200 0.000000 143,817.42 -141,587.13 2,230.29
03/16/2020 89239AAB9 PAID DOWN PAR VALUE OF TOYOTA AUTO 2.830% 10/15/21 -259,247.6600 0.000000 259,247.66 -259,224.12 23.54
03/17/2020 912796XB0 MATURED PAR VALUE OF U S TREASURY BILL 3/17/20 5,000,000 PAR VALUE AT
100 %
-5,000,000.0000 1.000000 4,995,705.56 -4,995,705.56 0.00
03/18/2020 06367BDS5 MATURED PAR VALUE OF BANK OF MONTREAL C D 2.000% 3/18/20 1,000,000 PAR
VALUE AT 100 %
-1,000,000.0000 1.000000 1,000,000.00 -1,000,049.48 -49.48
03/18/2020 06367BDS5 MATURED PAR VALUE OF BANK OF MONTREAL C D 2.000% 3/18/20 8,000,000 PAR
VALUE AT 100 %
-8,000,000.0000 1.000000 8,000,000.00 -8,000,389.30 -389.30
03/18/2020 43814RAC0 PAID DOWN PAR VALUE OF HONDA AUTO 1.210% 12/18/20 CMO FINAL
PAYDOWN
-23,443.4300 0.000000 23,443.43 -23,186.10 257.33
03/18/2020 43814PAC4 PAID DOWN PAR VALUE OF HONDA AUTO 1.790% 9/20/21 -151,161.0100 0.000000 151,161.01 -148,763.69 2,397.32
03/18/2020 43814WAB1 PAID DOWN PAR VALUE OF HONDA AUTO 2.750% 9/20/21 -341,537.8200 0.000000 341,537.82 -341,515.82 22.00
03/18/2020 43814UAG4 PAID DOWN PAR VALUE OF HONDA AUTO 3.010% 5/18/22 -89,039.5300 0.000000 89,039.53 -89,037.59 1.94
03/20/2020 36225CAZ9 PAID DOWN PAR VALUE OF G N M A I I #080023 3.125% 12/20/26 FEBRUARY GNMA
DUE 3/20/20
-160.9500 0.000000 160.95 -163.61 -2.66
03/20/2020 36225CC20 PAID DOWN PAR VALUE OF G N M A I I #080088 3.875% 6/20/27 FEBRUARY GNMA
DUE 3/20/20
-135.3000 0.000000 135.30 -138.26 -2.96
03/20/2020 36225CNM4 PAID DOWN PAR VALUE OF G N M A I I #080395 3.875% 4/20/30 FEBRUARY GNMA
DUE 3/20/20
-168.9600 0.000000 168.96 -167.43 1.53
03/20/2020 36225CN28 PAID DOWN PAR VALUE OF G N M A I I #080408 3.875% 5/20/30 FEBRUARY GNMA
DUE 3/20/20
-1,020.5000 0.000000 1,020.50 -1,010.14 10.36
8 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
03/20/2020 36225DCB8 PAID DOWN PAR VALUE OF G N M A I I #080965 3.250% 7/20/34 FEBRUARY GNMA
DUE 3/20/20
-201.3300 0.000000 201.33 -201.20 0.13
03/20/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -5,526,877.9700 1.000000 5,526,877.97 -5,526,877.97 0.00
03/23/2020 43815HAC1 PAID DOWN PAR VALUE OF HONDA AUTO 2.950% 8/22/22 -51,757.0100 0.000000 51,757.01 -51,749.91 7.10
03/25/2020 31394JY35 PAID DOWN PAR VALUE OF F H L M C MLTCL MTG 6.500% 9/25/43 -17,887.6000 0.000000 17,887.60 -20,257.71 -2,370.11
03/25/2020 31371NUC7 PAID DOWN PAR VALUE OF F N M A #257179 4.500% 4/01/28 FEBRUARY FNMA
DUE 3/25/20
-1,032.7800 0.000000 1,032.78 -1,092.27 -59.49
03/25/2020 31376KT22 PAID DOWN PAR VALUE OF F N M A #357969 5.000% 9/01/35 FEBRUARY FNMA
DUE 3/25/20
-390.7200 0.000000 390.72 -420.02 -29.30
03/25/2020 31381PDA3 PAID DOWN PAR VALUE OF F N M A #466397 3.400% 11/01/20 FEBRUARY FNMA
DUE 3/25/20
-807.7400 0.000000 807.74 -790.26 17.48
03/25/2020 31403DJZ3 PAID DOWN PAR VALUE OF F N M A #745580 5.000% 6/01/36 FEBRUARY FNMA
DUE 3/25/20
-1,416.1200 0.000000 1,416.12 -1,522.33 -106.21
03/25/2020 31403GXF4 PAID DOWN PAR VALUE OF F N M A #748678 5.000% 10/01/33 FEBRUARY FNMA
DUE 3/25/20
-9.1900 0.000000 9.19 -9.88 -0.69
03/25/2020 31406PQY8 PAID DOWN PAR VALUE OF F N M A #815971 5.000% 3/01/35 FEBRUARY FNMA
DUE 3/25/20
-588.0600 0.000000 588.06 -632.16 -44.10
03/25/2020 31406XWT5 PAID DOWN PAR VALUE OF F N M A #823358 3.674% 2/01/35 FEBRUARY FNMA
DUE 3/25/20
-481.7200 0.000000 481.72 -477.96 3.76
03/25/2020 31407BXH7 PAID DOWN PAR VALUE OF F N M A #826080 5.000% 7/01/35 FEBRUARY FNMA
DUE 3/25/20
-119.0100 0.000000 119.01 -127.94 -8.93
03/25/2020 31410F4V4 PAID DOWN PAR VALUE OF F N M A #888336 5.000% 7/01/36 FEBRUARY FNMA
DUE 3/25/20
-2,681.5000 0.000000 2,681.50 -2,882.61 -201.11
03/25/2020 3138EG6F6 PAID DOWN PAR VALUE OF F N M A #AL0869 4.500% 6/01/29 FEBRUARY FNMA
DUE 3/25/20
-167.6900 0.000000 167.69 -177.35 -9.66
03/25/2020 31417YAY3 PAID DOWN PAR VALUE OF F N M A #MA0022 4.500% 4/01/29 FEBRUARY FNMA
DUE 3/25/20
-375.0200 0.000000 375.02 -396.62 -21.60
03/25/2020 31397QRE0 PAID DOWN PAR VALUE OF F N M A GTD REMIC 2.472% 2/25/41 -3,009.9600 0.000000 3,009.96 -3,009.02 0.94
03/25/2020 31846V567 SOLD UNITS OF FIRST AM GOVT OB FD CL Z -5,835,891.1900 1.000000 5,835,891.19 -5,835,891.19 0.00
TOTAL DISPOSITIONS -296,666,112.0400 296,595,908.67 -296,061,459.97 534,448.70
OTHER TRANSACTIONS
01/02/2020 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
12/31/2019 INTEREST FROM 12/1/19 TO 12/31/19
0.0000 0.000000 19,501.17 0.00 0.00
01/02/2020 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
12/31/2019 INTEREST FROM 12/1/19 TO 12/31/19
0.0000 0.000000 16,711.57 0.00 0.00
01/02/2020 912796RT8 INTEREST EARNED ON U S TREASURY BILL 1/02/20 $1 PV ON 7500000.0000
SHARES DUE 1/2/2020 7,500,000 PAR VALUE AT 100 %
0.0000 0.000000 3,094.79 0.00 0.00
01/06/2020 3135G0S38 INTEREST EARNED ON F N M A 2.000% 1/05/22 $1 PV ON 3000000.0000
SHARES DUE 1/5/2020
0.0000 0.000000 30,000.00 0.00 0.00
9 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
01/06/2020 404280BF5 INTEREST EARNED ON HSBC HOLDINGS PLC 2.650% 1/05/22 $1 PV ON
4500000.0000 SHARES DUE 1/5/2020
0.0000 0.000000 59,625.00 0.00 0.00
01/07/2020 912796WM7 INTEREST EARNED ON U S TREASURY BILL 1/07/20 $1 PV ON 7500000.0000
SHARES DUE 1/7/2020 7,500,000 PAR VALUE AT 100 %
0.0000 0.000000 4,679.69 0.00 0.00
01/10/2020 822582BG6 PAID ACCRUED INTEREST ON PURCHASE OF SHELL INTERNATIONAL 2.125%
5/11/20
0.0000 0.000000 -3,482.64 0.00 0.00
01/13/2020 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -1872.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
01/13/2020 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -1872.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 -1,872.00 0.00
01/13/2020 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -1872.0000 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
-1,872.0000 0.000000 0.00 0.00 0.00
01/13/2020 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -1872.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
01/14/2020 02665WCJ8 INTEREST EARNED ON AMERICAN HONDA MTN 3.450% 7/14/23 $1 PV ON
845000.0000 SHARES DUE 1/14/2020
0.0000 0.000000 14,576.25 0.00 0.00
01/14/2020 313384RU5 INTEREST EARNED ON F H L B DISC NTS 1/14/20 $1 PV ON 1200000.0000
SHARES DUE 1/14/2020 1,200,000 PAR VALUE AT 100 %
0.0000 0.000000 1,308.33 0.00 0.00
01/15/2020 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22 $1 PV ON 10084.2400
SHARES DUE 1/15/2020 $0.00161/PV ON 6,270,000.00 PV DUE 1/15/20
0.0000 0.000000 10,084.24 0.00 0.00
01/15/2020 31348SWZ3 INTEREST EARNED ON F H L M C #786064 4.677% 1/01/28 $1 PV ON 6.9900 SHARES
DUE 1/15/2020 NOVEMBER FHLMC DUE 1/15/20
0.0000 0.000000 6.99 0.00 0.00
01/15/2020 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 4.023% 8/15/32 $1 PV ON 22.7100
SHARES DUE 1/15/2020 $0.00335/PV ON 6,774.15 PV DUE 1/15/20
0.0000 0.000000 22.71 0.00 0.00
01/15/2020 43815NAB0 INTEREST EARNED ON HONDA AUTO 1.900% 4/15/22 $1 PV ON 5589.1700
SHARES DUE 1/15/2020 $0.00158/PV ON 3,530,000.00 PV DUE 1/15/20
0.0000 0.000000 5,589.17 0.00 0.00
01/15/2020 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820% 10/15/21 $1 PV ON 491.4500
SHARES DUE 1/15/2020 $0.00152/PV ON 324,036.22 PV DUE 1/15/20
0.0000 0.000000 491.45 0.00 0.00
01/15/2020 477870AB5 INTEREST EARNED ON JOHN DEERE OWNER 2.280% 5/16/22 $1 PV ON 5320.0000
SHARES DUE 1/15/2020 $0.00190/PV ON 2,800,000.00 PV DUE 1/15/20
0.0000 0.000000 5,320.00 0.00 0.00
01/15/2020 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22 $1 PV ON 2467.5800
SHARES DUE 1/15/2020 $0.00222/PV ON 1,113,192.86 PV DUE 1/15/20
0.0000 0.000000 2,467.58 0.00 0.00
01/15/2020 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850% 12/15/21 $1 PV ON 6568.4300
SHARES DUE 1/15/2020 $0.00238/PV ON 2,765,654.65 PV DUE 1/15/20
0.0000 0.000000 6,568.43 0.00 0.00
01/15/2020 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080% 11/15/22 $1 PV ON 11883.6700
SHARES DUE 1/15/2020 $0.00257/PV ON 4,630,000.00 PV DUE 1/15/20
0.0000 0.000000 11,883.67 0.00 0.00
01/15/2020 65478VAD9 INTEREST EARNED ON NISSAN AUTO 1.320% 1/15/21 $1 PV ON 39.5000 SHARES
DUE 1/15/2020 $0.00110/PV ON 35,911.04 PV DUE 1/15/20
0.0000 0.000000 39.50 0.00 0.00
01/15/2020 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 2279.7000
SHARES DUE 1/15/2020 $0.00146/PV ON 1,563,223.44 PV DUE 1/15/20
0.0000 0.000000 2,279.70 0.00 0.00
10 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
01/15/2020 65479JAD5 INTEREST EARNED ON NISSAN AUTO 1.930% 7/15/24 $1 PV ON 6730.8700
SHARES DUE 1/15/2020 $0.00161/PV ON 4,185,000.00 PV DUE 1/15/20
0.0000 0.000000 6,730.87 0.00 0.00
01/15/2020 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23 $1 PV ON 9078.0000
SHARES DUE 1/15/2020 $0.00255/PV ON 3,560,000.00 PV DUE 1/15/20
0.0000 0.000000 9,078.00 0.00 0.00
01/15/2020 69372AAF9 INTEREST EARNED ON PACCAR FINANCIAL CORP C P 1/15/20 $1 PV ON
1100000.0000 SHARES DUE 1/15/2020 1,100,000 PAR VALUE AT 100 %
0.0000 0.000000 5,030.97 0.00 0.00
01/15/2020 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830% 10/15/21 $1 PV ON 6498.7200
SHARES DUE 1/15/2020 $0.00236/PV ON 2,755,642.46 PV DUE 1/15/20
0.0000 0.000000 6,498.72 0.00 0.00
01/15/2020 912828WU0 INTEREST EARNED ON U S TREASURY I P S 0.125% 7/15/24 $1 PV ON
11268920.0000 SHARES DUE 1/15/2020
0.0000 0.000000 7,043.08 0.00 0.00
01/16/2020 78013XZU5 INTEREST EARNED ON ROYAL BANK OF MTN 2.550% 7/16/24 $1 PV ON
6500000.0000 SHARES DUE 1/16/2020
0.0000 0.000000 82,875.00 0.00 0.00
01/17/2020 89233GAH9 INTEREST EARNED ON TOYOTA MOTOR CREDIT CO C P 1/17/20 $1 PV ON
2000000.0000 SHARES DUE 1/17/2020 2,000,000 PAR VALUE AT 100 %
0.0000 0.000000 38,115.56 0.00 0.00
01/17/2020 912828L32 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.375% 8/31/20 0.0000 0.000000 -26,253.43 0.00 0.00
01/17/2020 912828XY1 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.500% 6/30/20 0.0000 0.000000 -5,837.91 0.00 0.00
01/17/2020 9128283S7 RECEIVED ACCRUED INTEREST ON SALE OF U S TREASURY NT 2.000% 1/31/20 0.0000 0.000000 46,195.65 0.00 0.00
01/21/2020 3135G0T94 INTEREST EARNED ON F N M A DEB 2.375% 1/19/23 $1 PV ON 5000000.0000
SHARES DUE 1/19/2020
0.0000 0.000000 59,375.00 0.00 0.00
01/21/2020 36225CAZ9 INTEREST EARNED ON G N M A I I #080023 4.125% 12/20/26 $1 PV ON 49.6800
SHARES DUE 1/20/2020 DECEMBER GNMA DUE 1/20/20
0.0000 0.000000 49.68 0.00 0.00
01/21/2020 36225CC20 INTEREST EARNED ON G N M A I I #080088 3.875% 6/20/27 $1 PV ON 39.8000
SHARES DUE 1/20/2020 DECEMBER GNMA DUE 1/20/20
0.0000 0.000000 39.80 0.00 0.00
01/21/2020 36225CNM4 INTEREST EARNED ON G N M A I I #080395 3.875% 4/20/30 $1 PV ON 20.1000
SHARES DUE 1/20/2020 DECEMBER GNMA DUE 1/20/20
0.0000 0.000000 20.10 0.00 0.00
01/21/2020 36225CN28 INTEREST EARNED ON G N M A I I #080408 3.875% 5/20/30 $1 PV ON 150.0700
SHARES DUE 1/20/2020 DECEMBER GNMA DUE 1/20/20
0.0000 0.000000 150.07 0.00 0.00
01/21/2020 36225DCB8 INTEREST EARNED ON G N M A I I #080965 3.250% 7/20/34 $1 PV ON 116.8400
SHARES DUE 1/20/2020 DECEMBER GNMA DUE 1/20/20
0.0000 0.000000 116.84 0.00 0.00
01/21/2020 43814RAC0 INTEREST EARNED ON HONDA AUTO 1.210% 12/18/20 $1 PV ON 230.9600
SHARES DUE 1/18/2020 $0.00101/PV ON 229,048.89 PV DUE 1/18/20
0.0000 0.000000 230.96 0.00 0.00
01/21/2020 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 2387.0100
SHARES DUE 1/18/2020 $0.00149/PV ON 1,600,231.50 PV DUE 1/18/20
0.0000 0.000000 2,387.01 0.00 0.00
01/21/2020 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 8682.8100
SHARES DUE 1/18/2020 $0.00229/PV ON 3,788,865.07 PV DUE 1/18/20
0.0000 0.000000 8,682.81 0.00 0.00
01/21/2020 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22 $1 PV ON 9759.5800
SHARES DUE 1/21/2020 $0.00246/PV ON 3,970,000.00 PV DUE 1/21/20
0.0000 0.000000 9,759.58 0.00 0.00
01/21/2020 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22 $1 PV ON 4289.2500
SHARES DUE 1/18/2020 $0.00251/PV ON 1,710,000.00 PV DUE 1/18/20
0.0000 0.000000 4,289.25 0.00 0.00
11 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
01/21/2020 4581X0CW6 INTEREST EARNED ON INTER AMER DEV BK 2.125% 1/18/22 $1 PV ON
3000000.0000 SHARES DUE 1/18/2020
0.0000 0.000000 31,875.00 0.00 0.00
01/21/2020 45950KCJ7 INTEREST EARNED ON INTL FINANCE CORP 1.125% 7/20/21 $1 PV ON 2500000.0000
SHARES DUE 1/20/2020
0.0000 0.000000 14,075.00 0.00 0.00
01/21/2020 89114QC48 INTEREST EARNED ON TORONTO MTN 3.500% 7/19/23 $1 PV ON 5000000.0000
SHARES DUE 1/19/2020
0.0000 0.000000 87,500.00 0.00 0.00
01/21/2020 90331HNL3 RECEIVED ACCRUED INTEREST ON SALE OF US BANK NA MTN 2.850% 1/23/23 0.0000 0.000000 42,275.00 0.00 0.00
01/22/2020 94974BGM6 INTEREST EARNED ON WELLS FARGO CO MTN 2.600% 7/22/20 $1 PV ON
5000000.0000 SHARES DUE 1/22/2020
0.0000 0.000000 65,000.00 0.00 0.00
01/22/2020 95000U2B8 INTEREST EARNED ON WELLS FARGO MTN 2.625% 7/22/22 $1 PV ON
3000000.0000 SHARES DUE 1/22/2020
0.0000 0.000000 39,375.00 0.00 0.00
01/23/2020 313384SD2 INTEREST EARNED ON F H L B DISC NTS 1/23/20 $1 PV ON 5000000.0000
SHARES DUE 1/23/2020 5,000,000 PAR VALUE AT 100 %
0.0000 0.000000 7,413.89 0.00 0.00
01/23/2020 46647PAU0 INTEREST EARNED ON JPMORGAN CHASE CO 3.797% 7/23/24 $1 PV ON
2500000.0000 SHARES DUE 1/23/2020
0.0000 0.000000 47,462.50 0.00 0.00
01/23/2020 89114M2Z9 INTEREST EARNED ON TORONTO DOMINION C D 2.200% 1/23/20 $1 PV ON
2000000.0000 SHARES DUE 1/23/2020 INTEREST ON 1/23/20 MATURITY
0.0000 0.000000 22,366.67 0.00 0.00
01/23/2020 90331HNL3 INTEREST EARNED ON US BANK NA MTN 2.850% 1/23/23 $1 PV ON 2000000.0000
SHARES DUE 1/23/2020
0.0000 0.000000 28,500.00 0.00 0.00
01/27/2020 03215PFN4 INTEREST EARNED ON AMRESCO 2.91416% 6/25/29 $1 PV ON 289.0400
SHARES DUE 1/25/2020 $0.00243/PV ON 119,021.64 PV DUE 1/25/20
0.0000 0.000000 289.04 0.00 0.00
01/27/2020 808513AT2 INTEREST EARNED ON CHARLES SCHWAB CORP 2.650% 1/25/23 $1 PV ON
6750000.0000 SHARES DUE 1/25/2020
0.0000 0.000000 89,437.50 0.00 0.00
01/27/2020 3133EKWV4 INTEREST EARNED ON F F C B DEB 1.850% 7/26/24 $1 PV ON 5000000.0000
SHARES DUE 1/26/2020
0.0000 0.000000 46,250.00 0.00 0.00
01/27/2020 31398VJ98 INTEREST EARNED ON F H L M C MLTCL MTG 4.251% 1/25/20 $1 PV ON 142.5900
SHARES DUE 1/25/2020 $0.00354/PV ON 56,619.55 PV DUE 1/25/20
0.0000 0.000000 142.59 0.00 0.00
01/27/2020 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43 $1 PV ON 3632.8400
SHARES DUE 1/25/2020 $0.00542/PV ON 670,678.27 PV DUE 1/25/20
0.0000 0.000000 3,632.84 0.00 0.00
01/27/2020 31371NUC7 INTEREST EARNED ON F N M A #257179 4.500% 4/01/28 $1 PV ON 53.6700 SHARES
DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20
0.0000 0.000000 53.67 0.00 0.00
01/27/2020 31376KT22 INTEREST EARNED ON F N M A #357969 5.000% 9/01/35 $1 PV ON 383.2400
SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20
0.0000 0.000000 383.24 0.00 0.00
01/27/2020 31381PDA3 INTEREST EARNED ON F N M A #466397 3.400% 11/01/20 $1 PV ON 981.2400
SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20
0.0000 0.000000 981.24 0.00 0.00
01/27/2020 31403DJZ3 INTEREST EARNED ON F N M A #745580 5.000% 6/01/36 $1 PV ON 365.7400
SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20
0.0000 0.000000 365.74 0.00 0.00
01/27/2020 31403GXF4 INTEREST EARNED ON F N M A #748678 5.000% 10/01/33 $1 PV ON 7.3100 SHARES
DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20
0.0000 0.000000 7.31 0.00 0.00
12 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
01/27/2020 31406PQY8 INTEREST EARNED ON F N M A #815971 5.000% 3/01/35 $1 PV ON 608.5800
SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20
0.0000 0.000000 608.58 0.00 0.00
01/27/2020 31406XWT5 INTEREST EARNED ON F N M A #823358 4.347% 2/01/35 $1 PV ON 390.9000
SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20
0.0000 0.000000 390.90 0.00 0.00
01/27/2020 31407BXH7 INTEREST EARNED ON F N M A #826080 5.000% 7/01/35 $1 PV ON 73.6600 SHARES
DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20
0.0000 0.000000 73.66 0.00 0.00
01/27/2020 31410F4V4 INTEREST EARNED ON F N M A #888336 5.000% 7/01/36 $1 PV ON 715.3400
SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20
0.0000 0.000000 715.34 0.00 0.00
01/27/2020 3138EG6F6 INTEREST EARNED ON F N M A #AL0869 4.500% 6/01/29 $1 PV ON 35.6900
SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20
0.0000 0.000000 35.69 0.00 0.00
01/27/2020 31417YAY3 INTEREST EARNED ON F N M A #MA0022 4.500% 4/01/29 $1 PV ON 57.9100
SHARES DUE 1/25/2020 DECEMBER FNMA DUE 1/25/20
0.0000 0.000000 57.91 0.00 0.00
01/27/2020 31397QRE0 INTEREST EARNED ON F N M A GTD REMIC 2.472% 2/25/41 $1 PV ON 365.6900
SHARES DUE 1/25/2020 $0.00206/PV ON 177,519.84 PV DUE 1/25/20
0.0000 0.000000 365.69 0.00 0.00
01/27/2020 459058FY4 INTEREST EARNED ON INTL BK 2.000% 1/26/22 $1 PV ON 10000000.0000
SHARES DUE 1/26/2020
0.0000 0.000000 100,000.00 0.00 0.00
01/27/2020 45950KCM0 INTEREST EARNED ON INTL BK M T N 2.250% 1/25/21 $1 PV ON 2970000.0000
SHARES DUE 1/25/2020
0.0000 0.000000 33,412.50 0.00 0.00
01/27/2020 78445JAA5 INTEREST EARNED ON S L M A 3.5925% 4/25/23 $1 PV ON 114.6300 SHARES
DUE 1/25/2020 $0.00898/PV ON 12,762.94 PV DUE 1/25/20
0.0000 0.000000 114.63 0.00 0.00
01/28/2020 61747WAL3 INTEREST EARNED ON MORGAN STANLEY 5.500% 7/28/21 $1 PV ON
2800000.0000 SHARES DUE 1/28/2020
0.0000 0.000000 77,000.00 0.00 0.00
01/29/2020 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -3120.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
01/29/2020 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -3120.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 -3,120.00 0.00
01/29/2020 06406RAE7 INTEREST EARNED ON BANK OF NY MTN 2.950% 1/29/23 $1 PV ON 2500000.0000
SHARES DUE 1/29/2020
0.0000 0.000000 36,875.00 0.00 0.00
01/29/2020 313384SK6 INTEREST EARNED ON F H L B DISC NTS 1/29/20 $1 PV ON 4500000.0000
SHARES DUE 1/29/2020 4,500,000 PAR VALUE AT 100 %
0.0000 0.000000 7,825.00 0.00 0.00
01/29/2020 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
01/29/2020 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 RATE REVISION
0.0000 0.000000 -753.56 0.00 0.00
01/29/2020 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -3120.0000 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
-3,120.0000 0.000000 0.00 0.00 0.00
01/29/2020 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -3120.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
01/30/2020 912796RY7 INTEREST EARNED ON U S TREASURY BILL 1/30/20 $1 PV ON 21000000.0000
SHARES DUE 1/30/2020 21,000,000 PAR VALUE AT 100 %
0.0000 0.000000 90,892.23 0.00 0.00
13 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
01/30/2020 94974BGF1 INTEREST EARNED ON WELLS FARGO MTN 2.150% 1/30/20 $1 PV ON
1000000.0000 SHARES DUE 1/30/2020
0.0000 0.000000 10,750.00 0.00 0.00
01/30/2020 912828L32 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.375% 8/31/20 0.0000 0.000000 -28,708.79 0.00 0.00
01/30/2020 912828XH8 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 1.625% 6/30/20 0.0000 0.000000 -6,696.43 0.00 0.00
01/30/2020 822582BG6 RECEIVED ACCRUED INTEREST ON SALE OF SHELL INTERNATIONAL 2.125%
5/11/20
0.0000 0.000000 4,663.19 0.00 0.00
01/31/2020 CASH DISBURSEMENT PAID TO BANC OF CALIFORNIA OUTGOING DOMESTIC WIRE
PER DIR DTD 1/24/2020
0.0000 0.000000 -70,000,000.00 0.00 0.00
01/31/2020 CASH DISBURSEMENT PAID TO BANC OF CALIFORNIA OUTGOING DOMESTIC WIRE
PER DIR DTD 1/24/2020
0.0000 0.000000 -10,000,000.00 0.00 0.00
01/31/2020 912828H52 INTEREST EARNED ON U S TREASURY NT 1.250% 1/31/20 $1 PV ON
13500000.0000 SHARES DUE 1/31/2020
0.0000 0.000000 84,375.00 0.00 0.00
01/31/2020 912828UL2 INTEREST EARNED ON U S TREASURY NT 1.375% 1/31/20 $1 PV ON 5000000.0000
SHARES DUE 1/31/2020
0.0000 0.000000 34,375.00 0.00 0.00
01/31/2020 912828N89 INTEREST EARNED ON U S TREASURY NT 1.375% 1/31/21 $1 PV ON 6000000.0000
SHARES DUE 1/31/2020
0.0000 0.000000 41,250.00 0.00 0.00
01/31/2020 912828V72 INTEREST EARNED ON U S TREASURY NT 1.875% 1/31/22 $1 PV ON 3000000.0000
SHARES DUE 1/31/2020
0.0000 0.000000 28,125.00 0.00 0.00
01/31/2020 9128283S7 INTEREST EARNED ON U S TREASURY NT 2.000% 1/31/20 $1 PV ON
30000000.0000 SHARES DUE 1/31/2020
0.0000 0.000000 300,000.00 0.00 0.00
01/31/2020 912828V80 INTEREST EARNED ON U S TREASURY NT 2.250% 1/31/24 $1 PV ON 7500000.0000
SHARES DUE 1/31/2020
0.0000 0.000000 84,375.00 0.00 0.00
01/31/2020 912828XY1 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.500% 6/30/20 0.0000 0.000000 -2,129.12 0.00 0.00
01/31/2020 9128284Y3 PAID ACCRUED INTEREST ON PURCHASE OF U S TREASURY NT 2.625% 8/31/20 0.0000 0.000000 -77,235.58 0.00 0.00
01/31/2020 912828L99 RECEIVED ACCRUED INTEREST ON SALE OF U S TREASURY NT 1.375% 10/31/20 0.0000 0.000000 10,425.82 0.00 0.00
01/31/2020 912828L57 RECEIVED ACCRUED INTEREST ON SALE OF U S TREASURY NT 1.750% 9/30/22 0.0000 0.000000 23,524.59 0.00 0.00
02/03/2020 06406HCZ0 INTEREST EARNED ON BANK OF NY MELLO MTN 2.150% 2/24/20 $1 PV ON
2000000.0000 SHARES DUE 2/3/2020 ACCRUED INTEREST ON 2/3/2020 FULL CALL
0.0000 0.000000 18,991.67 0.00 0.00
02/03/2020 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
1/31/2020 INTEREST FROM 1/1/20 TO 1/31/20
0.0000 0.000000 21,570.84 0.00 0.00
02/03/2020 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
1/31/2020 INTEREST FROM 1/1/20 TO 1/31/20
0.0000 0.000000 5,886.80 0.00 0.00
02/05/2020 3135G0V34 INTEREST EARNED ON F N M A 2.500% 2/05/24 $1 PV ON 5000000.0000
SHARES DUE 2/5/2020
0.0000 0.000000 62,500.00 0.00 0.00
02/06/2020 44932HAH6 INTEREST EARNED ON IBM CREDIT CORP 3.000% 2/06/23 $1 PV ON 5670000.0000
SHARES DUE 2/6/2020
0.0000 0.000000 85,050.00 0.00 0.00
02/07/2020 CASH RECEIPT MISCELLANEOUS RECEIPT CHANDLER ASSET MGMT CK# 22717
REIMB FOR SELL INTL
0.0000 0.000000 160.00 0.00 0.00
02/07/2020 06406RAA5 INTEREST EARNED ON BANK OF NY MTN 2.600% 2/07/22 $1 PV ON 2500000.0000
SHARES DUE 2/7/2020
0.0000 0.000000 32,500.00 0.00 0.00
14 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
02/10/2020 594918BP8 INTEREST EARNED ON MICROSOFT CORP 1.550% 8/08/21 $1 PV ON 3045000.0000
SHARES DUE 2/8/2020
0.0000 0.000000 23,598.75 0.00 0.00
02/13/2020 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -5200.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
02/13/2020 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -5200.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 -5,200.00 0.00
02/13/2020 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -5200.0000 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
-5,200.0000 0.000000 0.00 0.00 0.00
02/13/2020 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -5200.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
02/14/2020 313383HU8 RECEIVED ACCRUED INTEREST ON SALE OF F H L B DEB 1.750% 6/12/20 0.0000 0.000000 3,013.89 0.00 0.00
02/14/2020 912828XE5 RECEIVED ACCRUED INTEREST ON SALE OF U S TREASURY NT 1.500% 5/31/20 0.0000 0.000000 15,573.77 0.00 0.00
02/18/2020 02587AAJ3 INTEREST EARNED ON AMERICAN EXPRESS 1.930% 9/15/22 $1 PV ON 10084.2400
SHARES DUE 2/15/2020 $0.00161/PV ON 6,270,000.00 PV DUE 2/15/20
0.0000 0.000000 10,084.24 0.00 0.00
02/18/2020 3130A7CV5 INTEREST EARNED ON F H L B DEB 1.375% 2/18/21 $1 PV ON 5365000.0000
SHARES DUE 2/18/2020
0.0000 0.000000 36,884.38 0.00 0.00
02/18/2020 3137EAEL9 INTEREST EARNED ON F H L M C M T N 2.375% 2/16/21 $1 PV ON 7500000.0000
SHARES DUE 2/16/2020
0.0000 0.000000 89,062.50 0.00 0.00
02/18/2020 31348SWZ3 INTEREST EARNED ON F H L M C #786064 4.174% 1/01/28 $1 PV ON 6.1700 SHARES
DUE 2/15/2020 DECEMBER FHLMC DUE 2/15/20
0.0000 0.000000 6.17 0.00 0.00
02/18/2020 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 4.025% 8/15/32 $1 PV ON 21.7700
SHARES DUE 2/15/2020 $0.00335/PV ON 6,489.65 PV DUE 2/15/20
0.0000 0.000000 21.77 0.00 0.00
02/18/2020 43814RAC0 INTEREST EARNED ON HONDA AUTO 1.210% 12/18/20 $1 PV ON 127.2200
SHARES DUE 2/18/2020 $0.00101/PV ON 126,168.22 PV DUE 2/18/20
0.0000 0.000000 127.22 0.00 0.00
02/18/2020 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 2151.2900
SHARES DUE 2/18/2020 $0.00149/PV ON 1,442,203.80 PV DUE 2/18/20
0.0000 0.000000 2,151.29 0.00 0.00
02/18/2020 43815NAB0 INTEREST EARNED ON HONDA AUTO 1.900% 4/15/22 $1 PV ON 5589.1700
SHARES DUE 2/15/2020 $0.00158/PV ON 3,530,000.00 PV DUE 2/15/20
0.0000 0.000000 5,589.17 0.00 0.00
02/18/2020 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 7880.8600
SHARES DUE 2/18/2020 $0.00229/PV ON 3,438,920.80 PV DUE 2/18/20
0.0000 0.000000 7,880.86 0.00 0.00
02/18/2020 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22 $1 PV ON 4289.2500
SHARES DUE 2/18/2020 $0.00251/PV ON 1,710,000.00 PV DUE 2/18/20
0.0000 0.000000 4,289.25 0.00 0.00
02/18/2020 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820% 10/15/21 $1 PV ON 424.0600
SHARES DUE 2/15/2020 $0.00152/PV ON 279,598.82 PV DUE 2/15/20
0.0000 0.000000 424.06 0.00 0.00
02/18/2020 477870AB5 INTEREST EARNED ON JOHN DEERE OWNER 2.280% 5/16/22 $1 PV ON 5320.0000
SHARES DUE 2/15/2020 $0.00190/PV ON 2,800,000.00 PV DUE 2/15/20
0.0000 0.000000 5,320.00 0.00 0.00
02/18/2020 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22 $1 PV ON 2252.3400
SHARES DUE 2/15/2020 $0.00222/PV ON 1,016,092.87 PV DUE 2/15/20
0.0000 0.000000 2,252.34 0.00 0.00
02/18/2020 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850% 12/15/21 $1 PV ON 5889.6900
SHARES DUE 2/15/2020 $0.00238/PV ON 2,479,870.11 PV DUE 2/15/20
0.0000 0.000000 5,889.69 0.00 0.00
15 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
02/18/2020 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080% 11/15/22 $1 PV ON 11883.6700
SHARES DUE 2/15/2020 $0.00257/PV ON 4,630,000.00 PV DUE 2/15/20
0.0000 0.000000 11,883.67 0.00 0.00
02/18/2020 58770FAC6 INTEREST EARNED ON MERCEDES BENZ AUTO 1.840% 12/15/22 $1 PV ON 1676.4400
SHARES DUE 2/15/2020 $0.00082/PV ON 2,050,000.00 PV DUE 2/15/20
0.0000 0.000000 1,676.44 0.00 0.00
02/18/2020 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 2051.0100
SHARES DUE 2/15/2020 $0.00146/PV ON 1,406,409.33 PV DUE 2/15/20
0.0000 0.000000 2,051.01 0.00 0.00
02/18/2020 65479JAD5 INTEREST EARNED ON NISSAN AUTO 1.930% 7/15/24 $1 PV ON 6730.8700
SHARES DUE 2/15/2020 $0.00161/PV ON 4,185,000.00 PV DUE 2/15/20
0.0000 0.000000 6,730.87 0.00 0.00
02/18/2020 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23 $1 PV ON 9078.0000
SHARES DUE 2/15/2020 $0.00255/PV ON 3,560,000.00 PV DUE 2/15/20
0.0000 0.000000 9,078.00 0.00 0.00
02/18/2020 69353RFB9 INTEREST EARNED ON PNC BANK NA MTN 2.625% 2/17/22 $1 PV ON 1000000.0000
SHARES DUE 2/17/2020
0.0000 0.000000 13,125.00 0.00 0.00
02/18/2020 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830% 10/15/21 $1 PV ON 5833.9000
SHARES DUE 2/15/2020 $0.00236/PV ON 2,473,739.23 PV DUE 2/15/20
0.0000 0.000000 5,833.90 0.00 0.00
02/18/2020 912828MP2 INTEREST EARNED ON U S TREASURY NT 3.625% 2/15/20 $1 PV ON 5000000.0000
SHARES DUE 2/15/2020
0.0000 0.000000 90,625.00 0.00 0.00
02/20/2020 36225CAZ9 INTEREST EARNED ON G N M A I I #080023 3.125% 12/20/26 $1 PV ON 37.2000
SHARES DUE 2/20/2020 JANUARY GNMA DUE 2/20/20
0.0000 0.000000 37.20 0.00 0.00
02/20/2020 36225CC20 INTEREST EARNED ON G N M A I I #080088 3.875% 6/20/27 $1 PV ON 39.3200
SHARES DUE 2/20/2020 JANUARY GNMA DUE 2/20/20
0.0000 0.000000 39.32 0.00 0.00
02/20/2020 36225CNM4 INTEREST EARNED ON G N M A I I #080395 3.875% 4/20/30 $1 PV ON 19.2100
SHARES DUE 2/20/2020 JANUARY GNMA DUE 2/20/20
0.0000 0.000000 19.21 0.00 0.00
02/20/2020 36225CN28 INTEREST EARNED ON G N M A I I #080408 3.875% 5/20/30 $1 PV ON 148.9900
SHARES DUE 2/20/2020 JANUARY GNMA DUE 2/20/20
0.0000 0.000000 148.99 0.00 0.00
02/20/2020 36225DCB8 INTEREST EARNED ON G N M A I I #080965 3.250% 7/20/34 $1 PV ON 113.6600
SHARES DUE 2/20/2020 JANUARY GNMA DUE 2/20/20
0.0000 0.000000 113.66 0.00 0.00
02/20/2020 912796TG4 INTEREST EARNED ON U S TREASURY BILL 2/20/20 $1 PV ON 2000000.0000
SHARES DUE 2/20/2020 2,000,000 PAR VALUE AT 100 %
0.0000 0.000000 1,677.78 0.00 0.00
02/21/2020 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22 $1 PV ON 9759.5800
SHARES DUE 2/21/2020 $0.00246/PV ON 3,970,000.00 PV DUE 2/21/20
0.0000 0.000000 9,759.58 0.00 0.00
02/24/2020 037833BS8 INTEREST EARNED ON APPLE INC 2.250% 2/23/21 $1 PV ON 4000000.0000
SHARES DUE 2/23/2020
0.0000 0.000000 45,000.00 0.00 0.00
02/25/2020 03215PFN4 INTEREST EARNED ON AMRESCO 2.51415% 6/25/29 $1 PV ON 249.3600
SHARES DUE 2/25/2020 $0.00210/PV ON 119,021.64 PV DUE 2/25/20
0.0000 0.000000 249.36 0.00 0.00
02/25/2020 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43 $1 PV ON 3597.5400
SHARES DUE 2/25/2020 $0.00542/PV ON 664,159.71 PV DUE 2/25/20
0.0000 0.000000 3,597.54 0.00 0.00
02/25/2020 31371NUC7 INTEREST EARNED ON F N M A #257179 4.500% 4/01/28 $1 PV ON 53.0400 SHARES
DUE 2/25/2020 JANUARY FNMA DUE 2/25/20
0.0000 0.000000 53.04 0.00 0.00
02/25/2020 31376KT22 INTEREST EARNED ON F N M A #357969 5.000% 9/01/35 $1 PV ON 379.0900
SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20
0.0000 0.000000 379.09 0.00 0.00
16 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
02/25/2020 31381PDA3 INTEREST EARNED ON F N M A #466397 3.400% 11/01/20 $1 PV ON 979.1600
SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20
0.0000 0.000000 979.16 0.00 0.00
02/25/2020 31403DJZ3 INTEREST EARNED ON F N M A #745580 5.000% 6/01/36 $1 PV ON 360.4700
SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20
0.0000 0.000000 360.47 0.00 0.00
02/25/2020 31403GXF4 INTEREST EARNED ON F N M A #748678 5.000% 10/01/33 $1 PV ON 7.2700 SHARES
DUE 2/25/2020 JANUARY FNMA DUE 2/25/20
0.0000 0.000000 7.27 0.00 0.00
02/25/2020 31406PQY8 INTEREST EARNED ON F N M A #815971 5.000% 3/01/35 $1 PV ON 570.7100
SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20
0.0000 0.000000 570.71 0.00 0.00
02/25/2020 31406XWT5 INTEREST EARNED ON F N M A #823358 3.674% 2/01/35 $1 PV ON 297.1900
SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20
0.0000 0.000000 297.19 0.00 0.00
02/25/2020 31407BXH7 INTEREST EARNED ON F N M A #826080 5.000% 7/01/35 $1 PV ON 73.3300 SHARES
DUE 2/25/2020 JANUARY FNMA DUE 2/25/20
0.0000 0.000000 73.33 0.00 0.00
02/25/2020 31410F4V4 INTEREST EARNED ON F N M A #888336 5.000% 7/01/36 $1 PV ON 707.0100
SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20
0.0000 0.000000 707.01 0.00 0.00
02/25/2020 3138EG6F6 INTEREST EARNED ON F N M A #AL0869 4.500% 6/01/29 $1 PV ON 34.8000
SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20
0.0000 0.000000 34.80 0.00 0.00
02/25/2020 31417YAY3 INTEREST EARNED ON F N M A #MA0022 4.500% 4/01/29 $1 PV ON 57.1000
SHARES DUE 2/25/2020 JANUARY FNMA DUE 2/25/20
0.0000 0.000000 57.10 0.00 0.00
02/25/2020 31397QRE0 INTEREST EARNED ON F N M A GTD REMIC 2.472% 2/25/41 $1 PV ON 337.2300
SHARES DUE 2/25/2020 $0.00195/PV ON 172,873.17 PV DUE 2/25/20
0.0000 0.000000 337.23 0.00 0.00
02/26/2020 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -4888.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
02/26/2020 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -4888.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 -4,888.00 0.00
02/26/2020 3135G0J20 INTEREST EARNED ON F N M A DEB 1.375% 2/26/21 $1 PV ON 10000000.0000
SHARES DUE 2/26/2020
0.0000 0.000000 68,750.00 0.00 0.00
02/26/2020 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -4888.0000 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
-4,888.0000 0.000000 0.00 0.00 0.00
02/26/2020 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY -4888.00 UNITS
DECREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
03/02/2020 30231GAV4 INTEREST EARNED ON EXXON MOBIL 2.222% 3/01/21 $1 PV ON 3000000.0000
SHARES DUE 3/1/2020
0.0000 0.000000 33,330.00 0.00 0.00
03/02/2020 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
2/29/2020 INTEREST FROM 2/1/20 TO 2/29/20
0.0000 0.000000 6,470.65 0.00 0.00
03/02/2020 31846V567 INTEREST EARNED ON FIRST AM GOVT OB FD CL Z UNIT ON 0.0000 SHARES DUE
2/29/2020 INTEREST FROM 2/1/20 TO 2/29/20
0.0000 0.000000 4,440.52 0.00 0.00
03/02/2020 78012KC62 INTEREST EARNED ON ROYAL BANK MTN 2.125% 3/02/20 $1 PV ON 2000000.0000
SHARES DUE 3/2/2020
0.0000 0.000000 21,250.00 0.00 0.00
03/02/2020 83162CLJ0 INTEREST EARNED ON S B A GTD DEV PART 6.340% 3/01/21 $1 PV ON 354.5500
SHARES DUE 3/1/2020 $0.03170/PV ON 11,184.56 PV DUE 3/ 1/20
0.0000 0.000000 354.55 0.00 0.00
17 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
03/02/2020 912828L32 INTEREST EARNED ON U S TREASURY NT 1.375% 8/31/20 $1 PV ON
15000000.0000 SHARES DUE 2/29/2020
0.0000 0.000000 103,125.00 0.00 0.00
03/02/2020 912828L24 INTEREST EARNED ON U S TREASURY NT 1.875% 8/31/22 $1 PV ON 6000000.0000
SHARES DUE 2/29/2020
0.0000 0.000000 56,250.00 0.00 0.00
03/02/2020 912828W48 INTEREST EARNED ON U S TREASURY NT 2.125% 2/29/24 $1 PV ON
10000000.0000 SHARES DUE 2/29/2020
0.0000 0.000000 106,250.00 0.00 0.00
03/02/2020 912828VV9 INTEREST EARNED ON U S TREASURY NT 2.125% 8/31/20 $1 PV ON
15000000.0000 SHARES DUE 2/29/2020
0.0000 0.000000 159,375.00 0.00 0.00
03/02/2020 9128284Y3 INTEREST EARNED ON U S TREASURY NT 2.625% 8/31/20 $1 PV ON 7000000.0000
SHARES DUE 2/29/2020
0.0000 0.000000 91,875.00 0.00 0.00
03/05/2020 06051GHF9 INTEREST EARNED ON BANK OF AMERICA 3.550% 3/05/24 $1 PV ON 6675000.0000
SHARES DUE 3/5/2020
0.0000 0.000000 118,481.25 0.00 0.00
03/05/2020 40428HPR7 INTEREST EARNED ON HSBC USA INC MTN 2.350% 3/05/20 $1 PV ON 2500000.0000
SHARES DUE 3/5/2020
0.0000 0.000000 29,375.00 0.00 0.00
03/05/2020 40428HPR7 INTEREST EARNED ON HSBC USA INC MTN 2.350% 3/05/20 $1 PV ON 2500000.0000
SHARES DUE 3/5/2020
0.0000 0.000000 29,375.00 0.00 0.00
03/05/2020 912796TH2 INTEREST EARNED ON U S TREASURY BILL 3/05/20 $1 PV ON 7500000.0000
SHARES DUE 3/5/2020 7,500,000 PAR VALUE AT 100 %
0.0000 0.000000 23,300.69 0.00 0.00
03/05/2020 3137EAEP0 PAID ACCRUED INTEREST ON PURCHASE OF F H L M C 1.500% 2/12/25 0.0000 0.000000 -5,250.00 0.00 0.00
03/09/2020 313383YJ4 INTEREST EARNED ON F H L B DEB 3.375% 9/08/23 $1 PV ON 10000000.0000
SHARES DUE 3/8/2020
0.0000 0.000000 168,750.00 0.00 0.00
03/10/2020 912796XA2 INTEREST EARNED ON U S TREASURY BILL 3/10/20 $1 PV ON 2000000.0000
SHARES DUE 3/10/2020 2,000,000 PAR VALUE AT 100 %
0.0000 0.000000 3,298.75 0.00 0.00
03/12/2020 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 19344.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
03/12/2020 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIF 3/12/2020 0.0000 0.000000 7,000,000.00 0.00 0.00
03/12/2020 CASH RECEIPT INCOMING WIRES RECEIVED FROM BANC OF CALIF 3/12/2020 0.0000 0.000000 6,000,000.00 0.00 0.00
03/12/2020 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 19344.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 19,344.00 0.00
03/12/2020 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 19344.0000
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
19,344.0000 0.000000 0.00 0.00 0.00
03/12/2020 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 19344.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
03/13/2020 00440EAP2 INTEREST EARNED ON ACE INA HOLDINGS 2.700% 3/13/23 $1 PV ON 2000000.0000
SHARES DUE 3/13/2020
0.0000 0.000000 27,000.00 0.00 0.00
03/13/2020 3130A2UW4 INTEREST EARNED ON F H L B DEB 2.875% 9/13/24 $1 PV ON 2500000.0000
SHARES DUE 3/13/2020
0.0000 0.000000 35,937.50 0.00 0.00
03/16/2020 084670BR8 INTEREST EARNED ON BERKSHIRE HATHAWAY 2.750% 3/15/23 $1 PV ON
2500000.0000 SHARES DUE 3/15/2020
0.0000 0.000000 34,375.00 0.00 0.00
18 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
03/16/2020 31348SWZ3 INTEREST EARNED ON F H L M C #786064 3.845% 1/01/28 $1 PV ON 5.6000 SHARES
DUE 3/15/2020 JANUARY FHLMC DUE 3/15/20
0.0000 0.000000 5.60 0.00 0.00
03/16/2020 3133TCE95 INTEREST EARNED ON F H L M C MLTCL MTG 4.025% 8/15/32 $1 PV ON 20.6700
SHARES DUE 3/15/2020 $0.00335/PV ON 6,177.95 PV DUE 3/15/20
0.0000 0.000000 20.67 0.00 0.00
03/16/2020 43815NAB0 INTEREST EARNED ON HONDA AUTO 1.900% 4/15/22 $1 PV ON 5589.1700
SHARES DUE 3/15/2020 $0.00158/PV ON 3,530,000.00 PV DUE 3/15/20
0.0000 0.000000 5,589.17 0.00 0.00
03/16/2020 4581X0CS5 INTEREST EARNED ON INTER AMER BK M T N 1.875% 3/15/21 $1 PV ON
5000000.0000 SHARES DUE 3/15/2020
0.0000 0.000000 46,875.00 0.00 0.00
03/16/2020 4581X0CZ9 INTEREST EARNED ON INTER AMER DEV BK 1.750% 9/14/22 $1 PV ON
6500000.0000 SHARES DUE 3/14/2020
0.0000 0.000000 56,875.00 0.00 0.00
03/16/2020 47788BAD6 INTEREST EARNED ON JOHN DEERE OWNER 1.820% 10/15/21 $1 PV ON 341.6300
SHARES DUE 3/15/2020 $0.00152/PV ON 225,251.14 PV DUE 3/15/20
0.0000 0.000000 341.63 0.00 0.00
03/16/2020 477870AB5 INTEREST EARNED ON JOHN DEERE OWNER 2.280% 5/16/22 $1 PV ON 5320.0000
SHARES DUE 3/15/2020 $0.00190/PV ON 2,800,000.00 PV DUE 3/15/20
0.0000 0.000000 5,320.00 0.00 0.00
03/16/2020 47788CAC6 INTEREST EARNED ON JOHN DEERE OWNER 2.660% 4/18/22 $1 PV ON 2007.6800
SHARES DUE 3/15/2020 $0.00222/PV ON 905,719.94 PV DUE 3/15/20
0.0000 0.000000 2,007.68 0.00 0.00
03/16/2020 47789JAB2 INTEREST EARNED ON JOHN DEERE OWNER 2.850% 12/15/21 $1 PV ON 5060.4300
SHARES DUE 3/15/2020 $0.00237/PV ON 2,130,706.44 PV DUE 3/15/20
0.0000 0.000000 5,060.43 0.00 0.00
03/16/2020 47788EAC2 INTEREST EARNED ON JOHN DEERE OWNER 3.080% 11/15/22 $1 PV ON 11883.6700
SHARES DUE 3/15/2020 $0.00257/PV ON 4,630,000.00 PV DUE 3/15/20
0.0000 0.000000 11,883.67 0.00 0.00
03/16/2020 58770FAC6 INTEREST EARNED ON MERCEDES BENZ AUTO 1.840% 12/15/22 $1 PV ON 3143.3300
SHARES DUE 3/15/2020 $0.00153/PV ON 2,050,000.00 PV DUE 3/15/20
0.0000 0.000000 3,143.33 0.00 0.00
03/16/2020 65478GAD2 INTEREST EARNED ON NISSAN AUTO 1.750% 10/15/21 $1 PV ON 1818.2300
SHARES DUE 3/15/2020 $0.00146/PV ON 1,246,786.10 PV DUE 3/15/20
0.0000 0.000000 1,818.23 0.00 0.00
03/16/2020 65479JAD5 INTEREST EARNED ON NISSAN AUTO 1.930% 7/15/24 $1 PV ON 6730.8700
SHARES DUE 3/15/2020 $0.00161/PV ON 4,185,000.00 PV DUE 3/15/20
0.0000 0.000000 6,730.87 0.00 0.00
03/16/2020 65479GAD1 INTEREST EARNED ON NISSAN AUTO 3.060% 3/15/23 $1 PV ON 9078.0000
SHARES DUE 3/15/2020 $0.00255/PV ON 3,560,000.00 PV DUE 3/15/20
0.0000 0.000000 9,078.00 0.00 0.00
03/16/2020 68389XBK0 INTEREST EARNED ON ORACLE CORP 1.900% 9/15/21 $1 PV ON 3000000.0000
SHARES DUE 3/15/2020
0.0000 0.000000 28,500.00 0.00 0.00
03/16/2020 89239AAB9 INTEREST EARNED ON TOYOTA AUTO 2.830% 10/15/21 $1 PV ON 5183.3900
SHARES DUE 3/15/2020 $0.00236/PV ON 2,197,902.95 PV DUE 3/15/20
0.0000 0.000000 5,183.39 0.00 0.00
03/17/2020 912796XB0 INTEREST EARNED ON U S TREASURY BILL 3/17/20 $1 PV ON 5000000.0000
SHARES DUE 3/17/2020 5,000,000 PAR VALUE AT 100 %
0.0000 0.000000 4,294.44 0.00 0.00
03/18/2020 06367BDS5 INTEREST EARNED ON BANK OF MONTREAL C D 2.000% 3/18/20 $1 PV ON
1000000.0000 SHARES DUE 3/18/2020 INTEREST ON 3/18/20 MATURITY
0.0000 0.000000 5,055.56 0.00 0.00
03/18/2020 06367BDS5 INTEREST EARNED ON BANK OF MONTREAL C D 2.000% 3/18/20 $1 PV ON
8000000.0000 SHARES DUE 3/18/2020 INTEREST ON 3/18/20 MATURITY
0.0000 0.000000 40,444.45 0.00 0.00
03/18/2020 09247XAL5 INTEREST EARNED ON BLACKROCK INC 3.500% 3/18/24 $1 PV ON 1000000.0000
SHARES DUE 3/18/2020
0.0000 0.000000 17,500.00 0.00 0.00
19 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
03/18/2020 43814RAC0 INTEREST EARNED ON HONDA AUTO 1.210% 12/18/20 $1 PV ON 23.6400
SHARES DUE 3/18/2020 $0.00101/PV ON 23,443.43 PV DUE 3/18/20
0.0000 0.000000 23.64 0.00 0.00
03/18/2020 43814PAC4 INTEREST EARNED ON HONDA AUTO 1.790% 9/20/21 $1 PV ON 1917.5800
SHARES DUE 3/18/2020 $0.00149/PV ON 1,285,529.61 PV DUE 3/18/20
0.0000 0.000000 1,917.58 0.00 0.00
03/18/2020 43814WAB1 INTEREST EARNED ON HONDA AUTO 2.750% 9/20/21 $1 PV ON 7044.8600
SHARES DUE 3/18/2020 $0.00229/PV ON 3,074,118.62 PV DUE 3/18/20
0.0000 0.000000 7,044.86 0.00 0.00
03/18/2020 43814UAG4 INTEREST EARNED ON HONDA AUTO 3.010% 5/18/22 $1 PV ON 4289.2500
SHARES DUE 3/18/2020 $0.00251/PV ON 1,710,000.00 PV DUE 3/18/20
0.0000 0.000000 4,289.25 0.00 0.00
03/20/2020 36225CAZ9 INTEREST EARNED ON G N M A I I #080023 3.125% 12/20/26 $1 PV ON 36.7900
SHARES DUE 3/20/2020 FEBRUARY GNMA DUE 3/20/20
0.0000 0.000000 36.79 0.00 0.00
03/20/2020 36225CC20 INTEREST EARNED ON G N M A I I #080088 3.875% 6/20/27 $1 PV ON 37.9700
SHARES DUE 3/20/2020 FEBRUARY GNMA DUE 3/20/20
0.0000 0.000000 37.97 0.00 0.00
03/20/2020 36225CNM4 INTEREST EARNED ON G N M A I I #080395 3.875% 4/20/30 $1 PV ON 19.0800
SHARES DUE 3/20/2020 FEBRUARY GNMA DUE 3/20/20
0.0000 0.000000 19.08 0.00 0.00
03/20/2020 36225CN28 INTEREST EARNED ON G N M A I I #080408 3.875% 5/20/30 $1 PV ON 147.9100
SHARES DUE 3/20/2020 FEBRUARY GNMA DUE 3/20/20
0.0000 0.000000 147.91 0.00 0.00
03/20/2020 36225DCB8 INTEREST EARNED ON G N M A I I #080965 3.250% 7/20/34 $1 PV ON 109.7200
SHARES DUE 3/20/2020 FEBRUARY GNMA DUE 3/20/20
0.0000 0.000000 109.72 0.00 0.00
03/20/2020 3130A4CH3 PAID ACCRUED INTEREST ON PURCHASE OF F H L B DEB 2.375% 3/14/25 0.0000 0.000000 -2,068.23 0.00 0.00
03/23/2020 43815HAC1 INTEREST EARNED ON HONDA AUTO 2.950% 8/22/22 $1 PV ON 9759.5800
SHARES DUE 3/21/2020 $0.00246/PV ON 3,970,000.00 PV DUE 3/21/20
0.0000 0.000000 9,759.58 0.00 0.00
03/25/2020 03215PFN4 INTEREST EARNED ON AMRESCO 2.48116% 6/25/29 $1 PV ON 246.0900
SHARES DUE 3/25/2020 $0.00207/PV ON 119,021.64 PV DUE 3/25/20
0.0000 0.000000 246.09 0.00 0.00
03/25/2020 31394JY35 INTEREST EARNED ON F H L M C MLTCL MTG 6.500% 9/25/43 $1 PV ON 3527.5300
SHARES DUE 3/25/2020 $0.00542/PV ON 651,236.25 PV DUE 3/25/20
0.0000 0.000000 3,527.53 0.00 0.00
03/25/2020 31371NUC7 INTEREST EARNED ON F N M A #257179 4.500% 4/01/28 $1 PV ON 52.5400 SHARES
DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20
0.0000 0.000000 52.54 0.00 0.00
03/25/2020 31376KT22 INTEREST EARNED ON F N M A #357969 5.000% 9/01/35 $1 PV ON 367.4900
SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20
0.0000 0.000000 367.49 0.00 0.00
03/25/2020 31381PDA3 INTEREST EARNED ON F N M A #466397 3.400% 11/01/20 $1 PV ON 914.0300
SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20
0.0000 0.000000 914.03 0.00 0.00
03/25/2020 31403DJZ3 INTEREST EARNED ON F N M A #745580 5.000% 6/01/36 $1 PV ON 354.9300
SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20
0.0000 0.000000 354.93 0.00 0.00
03/25/2020 31403GXF4 INTEREST EARNED ON F N M A #748678 5.000% 10/01/33 $1 PV ON 7.2300 SHARES
DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20
0.0000 0.000000 7.23 0.00 0.00
03/25/2020 31406PQY8 INTEREST EARNED ON F N M A #815971 5.000% 3/01/35 $1 PV ON 549.2300
SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20
0.0000 0.000000 549.23 0.00 0.00
03/25/2020 31406XWT5 INTEREST EARNED ON F N M A #823358 3.674% 2/01/35 $1 PV ON 295.4100
SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20
0.0000 0.000000 295.41 0.00 0.00
20 of 21
U.S. Bank
Transaction History
01/01/2020 Thru 03/31/2020
Entry Date CUSIP Id Explanation Units Price Net Cash Amt Cost Gain/Loss
03/25/2020 31407BXH7 INTEREST EARNED ON F N M A #826080 5.000% 7/01/35 $1 PV ON 72.1600 SHARES
DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20
0.0000 0.000000 72.16 0.00 0.00
03/25/2020 31410F4V4 INTEREST EARNED ON F N M A #888336 5.000% 7/01/36 $1 PV ON 695.7600
SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20
0.0000 0.000000 695.76 0.00 0.00
03/25/2020 3138EG6F6 INTEREST EARNED ON F N M A #AL0869 4.500% 6/01/29 $1 PV ON 34.2500
SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20
0.0000 0.000000 34.25 0.00 0.00
03/25/2020 31417YAY3 INTEREST EARNED ON F N M A #MA0022 4.500% 4/01/29 $1 PV ON 56.0400
SHARES DUE 3/25/2020 FEBRUARY FNMA DUE 3/25/20
0.0000 0.000000 56.04 0.00 0.00
03/25/2020 31397QRE0 INTEREST EARNED ON F N M A GTD REMIC 2.472% 2/25/41 $1 PV ON 326.6000
SHARES DUE 3/25/2020 $0.00192/PV ON 169,900.17 PV DUE 3/25/20
0.0000 0.000000 326.60 0.00 0.00
03/25/2020 3135G0X24 PAID ACCRUED INTEREST ON PURCHASE OF F N M A 1.625% 1/07/25 0.0000 0.000000 -19,161.46 0.00 0.00
03/27/2020 912828WU0 BOOK VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 22568.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
03/27/2020 912828WU0 FED BASIS OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 22568.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 22,568.00 0.00
03/27/2020 912828WU0 PAR VALUE OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 22568.0000
UNITS INCREASE TO ADJUST FOR CHANGE IN CPI
22,568.0000 0.000000 0.00 0.00 0.00
03/27/2020 912828WU0 STATE COST OF U S TREASURY I P S 0.125% 7/15/24 ADJUSTED BY 22568.00 UNITS
INCREASE TO ADJUST FOR CHANGE IN CPI
0.0000 0.000000 0.00 0.00 0.00
03/31/2020 912828T34 INTEREST EARNED ON U S TREASURY NT 1.125% 9/30/21 $1 PV ON 7000000.0000
SHARES DUE 3/31/2020
0.0000 0.000000 39,375.00 0.00 0.00
03/31/2020 912828YH7 INTEREST EARNED ON U S TREASURY NT 1.500% 9/30/24 $1 PV ON
14000000.0000 SHARES DUE 3/31/2020
0.0000 0.000000 105,000.00 0.00 0.00
03/31/2020 912828J76 INTEREST EARNED ON U S TREASURY NT 1.750% 3/31/22 $1 PV ON 5000000.0000
SHARES DUE 3/31/2020
0.0000 0.000000 43,750.00 0.00 0.00
03/31/2020 912828L57 INTEREST EARNED ON U S TREASURY NT 1.750% 9/30/22 $1 PV ON
16000000.0000 SHARES DUE 3/31/2020
0.0000 0.000000 140,000.00 0.00 0.00
03/31/2020 9128284D9 INTEREST EARNED ON U S TREASURY NT 2.500% 3/31/23 $1 PV ON
10000000.0000 SHARES DUE 3/31/2020
0.0000 0.000000 125,000.00 0.00 0.00
TOTAL OTHER TRANSACTIONS 26,832.0000 -62,692,854.15 26,832.00 0.00
21 of 21
March 31, 2020
Orange County Sanitation District
Investment Measurement Service
Quarterly Review
Information contained herein includes confidential, trade secret and proprietary information. Neither this Report nor any specific information contained herein is
to be used other than by the intended recipient for its intended purpose or disseminated to any other person without Callan’s permission. Certain information
herein has been compiled by Callan and is based on information provided by a variety of sources believed to be reliable for which Callan has not necessarily
verified the accuracy or completeness of or updated. This content may consist of statements of opinion, which are made as of the date they are expressed and
are not statements of fact. This content is for informational purposes only and should not be construed as legal or tax advice on any matter. Any decision you
make on the basis of this content is your sole responsibility. You should consult with legal and tax advisers before applying any of this information to your
particular situation. Past performance is no guarantee of future results. For further information, please see Appendix for Important Information and Disclosures.
Table of Contents
March 31, 2020
Capital Market Review 1
Active Management Overview
Market Overview 7
Domestic Fixed Income 8
Asset Allocation
Investment Manager Asset Allocation 10
Investment Manager Returns 11
Asset Class Risk and Return 15
Manager Analysis
Chandler-Long Term Operating Fund 17
Chandler-Liquid Operating Money 21
Callan Research/Education 23
Definitions 26
Disclosures 31
Orange County Sanitation District
Executive Summary for Period Ending March 31, 2020
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, $4.0 million was withdrawn from the Long Term Operating Fund and $63.0
million was withdrawn from the Liquid Operating Monies for a combined withdrawal of $67.0
million.
Organizational Issues
N/A
Fixed Income Market Snapshot
Treasury yields fell to record lows as investors flocked to safe-haven assets in response to the
global pandemic. As the economy began its slowdown, the Fed reacted with an emergency 50
bps rate cut on March 3, followed by an additional 100 bps on Sunday, March 15. The two cuts
brought the fed funds rate target to the lower bound of 0.00% to 0.25%. After first announcing a
plan on March 15 to purchase $700 billion in assets, the Fed expanded their quantitative easing
policy on March 23 to unspecified "amounts needed" in order to support the economy. Despite
uncertainty, corporate debt issuance was strong in March, setting a monthly record at over $259
March 31, 2020 December 31, 2019
Market Value Weight Net New Inv.Inv. Return Market Value Weight
Domestic Fixed Income
Long Term Operating Fund*590,342,927 83.87%(4,000,000)14,428,929 579,913,998 76.75%
Liquid Operating Monies*113,512,314 16.13%(63,000,000)865,897 175,646,417 23.25%
Total Fund $703,855,241 100.0%$(67,000,000)$15,294,826 $755,560,415 100.0%
Last Last Last
Last Last 3 5 7
Quarter Year Years Years Years
Domestic Fixed Income
Long Term Operating Fund^2.51%5.78%3.16%2.33%1.77%
Chandler 2.51%5.78%3.16%2.33%-
Blmbg Govt/Cred 1-5 Year Idx 2.17%5.58%3.08%2.27%1.96%
ML 1-5 Govt/Corp 1.95%5.41%3.04%2.26%1.98%
Liquid Operating Monies^0.71%2.51%1.92%1.31%0.96%
Chandler 0.71%2.51%1.92%1.31%-
Citigroup 3-Month Treasury Bill 0.39%2.04%1.74%1.12%0.81%
Total Fund 2.18%5.14%2.91%2.08%1.59%
Target*1.64%4.73%2.78%2.04%1.74%
2
Orange County Sanitation District
billion in new issues. During the first quarter, yields fell dramatically. All maturities except for the
20- and 30-year yields finished below 1.00%. The 10-year yield reached a record low of 0.31%
on March 9, before ending the quarter at 0.70%. Bond trading was challenged in this
environment as investors sold money market funds and bonds to raise cash. Bid offer spreads
widened dramatically for all bond sectors.
Fixed income generally fared better than other asset classes in the first quarter, with the highest
quality segments outperforming riskier sectors. The Bloomberg Barclays Aggregate Index rose
3.2% during the quarter, while the Bloomberg Barclays Treasury Index climbed an impressive
8.2%. The impact of falling rates, which benefited Treasuries, was overshadowed for corporate
credit by widening spreads. The Bloomberg Barclays Credit Index fell 3.1% and the ML High
Yield CP Index dropped over 13%. TIPS (Bloomberg U.S. TIPS Index: 1.7%) underperformed
nominal bonds as long-term inflation expectations continued to fall, driving the 10-year break
even inflation rate down to 0.87%.
Manager Performance
The Long Term Operating Fund returned 2.51% in the first quarter which outpaced the 1.95%
gain of the ML U.S. 1-5 Corp/Gov Index. The fund also outperformed the benchmark over the
trailing year with a return of 5.78% versus the index’s 5.41%. The manager is ranked in the top
decile among the Callan Short Term Fixed Income Peer Group over the trailing one-quarter,
one-year, and three-year periods. The fund’s portfolio is conservatively positioned, which
benefited performance in the first quarter as pandemic-induced volatility sent investors running
for safer assets. Throughout the quarter, the manager increased the allocation to Agencies by 5
percentage points and decreased the allocation to U.S. Treasuries by 2.5 percentage points.
The portfolio had less than 30% invested in credit (24%) and less than the permitted 20%
invested in the combination of asset-backed securities (6%), commercial mortgage backed
securities (0%), and CMOs (0%) as of March 31, 2020 (see page 20).
The Liquid Operating Portfolio appreciated 0.67% (after fees) in the first quarter, outperforming
the 3-month Treasury return of 0.39%. Over the trailing year, the fund appreciated 2.35%, which
beat the benchmark by 31 basis points.
Cordially,
Alex Ford
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
-20.9%
-20.2%
-14.1%
-26.7%
-19.6%
-27.1%
-29.7%
-30.6%
Russell 3000
Russell 1000
Russell 1000 Growth
Russell 1000 Value
S&P 500
Russell Midcap
Russell 2500
Russell 2000
U.S. Equity: One-Year Returns
-9.1%
-8.0%
0.9%
-17.2%
-7.0%
-18.3%
-22.5%
-24.0%
Source: Standard & Poor’s
U.S. EQUITY
During the 1st quarter of 2020, the COVID-19 pandemic
coupled with an oil price war between Saudi Arabia and Russia
spurred extreme global market volatility, which was further
exacerbated by the realization that a shelter-in-place mandate
was required to overcome the spread of the disease,
subsequently inducing an all-but-certain global recession.
Large cap (S&P 500: -19.6%; Russell 1000: -20.2%)
–Cyclicals were punished while Technology, Staples, and
Health Care were more resilient.
–Energy (-50.5%) plunged as demand declined and OPEC
and Russia refused to cut production, driving down oil prices
globally.
–Financials (-31.9%) and Industrials (-27.1%) fell sharply as
interest rates were cut by the Fed in an emergency session,
and due to expectations of a steep GDP decline because of
COVID-19.
–Technology fared the best (-11.9%). The FAAMG stocks had
an average return of -7.9% in Q1, led by Amazon (+5.5%)
and Microsoft (+0.3%); Health Care (-12.7%) and Consumer
Staples (-12.7%) also held up better than the index average.
Large cap outpaced small cap for the quarter
–The Russell 2000 (-30.6%) experienced its worst quarter on
record.
–The perceived safety of larger companies combined with
more acute exposure to COVID-19 impact (e.g., restaurants,
hotels, airlines, REITs) drove the sell-off.
–The performance of the Russell 2000 Value (-35.7%) was
driven by its exposure to Energy (especially exploration and
production companies) and Financials (banks).
Growth outpaces value across market capitalizations
–The spread between Russell 1000 Growth (-14.1%) and
Russell 2000 Value (-35.7%) was one of the widest ever.
–Russell MidCap Value (-0.8%) and Russell 2000 Value (-
2.4%) now have negative annualized returns over a trailing
five-year time period.
Capital Market Overview March 31, 2020
Sources: FTSE Russell, Standard & Poor’s
S&P Sector Returns, Quarter Ended March 31, 2020
Last Quarter
-17.0%-19.3%
-12.7%
-50.5%
-31.9%
-12.7%-11.9%
-27.0%-26.1%
-19.2%
-13.5%
Services
Communication
Discretionary
Consumer
Staples
Consumer Energy Financials Health Care Industrials
Technology
Information Materials Real Estate Utilities
Capital Market Overview (continued) March 31, 2020
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
-22.8%
-21.4%
-21.1%
-23.4%
-23.3%
-29.0%
-28.4%
-22.8%
-28.8%
-27.6%
-16.8%
-23.6%
-10.2%
-26.6%
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
-14.4%
-11.3%
-10.4%
-15.6%
-14.9%
-21.2%
-19.0%
-12.7%
-23.0%
-23.7%
-6.7%
-17.7%
-5.8%
-19.0%
Source: MSCI
GLOBAL/GLOBAL EX-U.S. EQUITY
The COVID-19 pandemic coupled with the oil price war
between Saudi Arabia and Russia injected significant volatility
into the global equity markets, with most major indices entering
bear market territory.
Global/Developed ex-U.S. (MSCI EAFE: -22.8%; MSCI World
ex USA: -23.3%; MSCI ACWI ex USA: -23.4%; MSCI Japan:
-16.8%; MSCI Pacific ex Japan: -27.6%)
–Fears of the pandemic and a global recession stoked the
worst quarterly sell off since 2008 as economic activity
halted worldwide.
–The oil price war further exacerbated the market meltdown,
bidding up safe-haven assets and currencies.
–The U.S. dollar outperformed the euro, the British pound,
and other major currencies, while underperforming the Swiss
franc and yen.
–Every sector posted negative returns, led by cyclicals like
travel-related industries, Energy, and Financials given the
state of the economy and oil prices.
–Defensive sectors generally were under less pressure as
demand for basic necessities to function (i.e., e-commerce
and mobility) and combat the pandemic (i.e., diagnostics and
treatment) helped stabilize Health Care, Consumer Staples,
and Information Technology.
–Factor performance in developed ex-U.S. markets reflected
risk aversion, including beta, size, and volatility.
Emerging Markets (MSCI Emerging Markets Index: -23.6%)
–Decisive actions to contain the pandemic and stimulate the
economy allowed China to outperform every developed and
developing country.
–A looming global recession and the collapse in oil prices
decimated commodities-levered economies like Brazil, South
Africa, and Russia.
–Every sector posted negative returns, led by cyclicals such
as travel-related industries, Energy, and Financials.
–Defensive sectors generally were under less pressure as
demand for basic necessities and for diagnostics and
treatment helped stabilize Health Care, Consumer Staples,
and Information Technology.
Global ex-U.S. Small Cap (MSCI World ex USA Small Cap:
-28.4%; MSCI EM Small Cap: -31.4%; MSCI ACWI ex USA
Small Cap: -29.0%)
–“Risk-off” market environment challenged small cap relative
to large cap in both developed and emerging markets.
–Growth significantly outperformed value both within
developed and emerging markets, supported by strong
performance in Health Care, Consumer Staples, and
Information Technology.
Blmberg Barclays Gov/Cr 1-3 Yr
Blmberg Barclays Interm Gov/Cr
Blmberg Barclays Aggregate
Blmberg Barclays Long Gov/Cr
Blmberg Barclays Universal
CS Leveraged Loans
Blmberg Barclays High Yield
Blmberg Barclays TIPS
U.S. Fixed Income: Quarterly Returns
3.1%
1.3%
1.7%
2.4%
6.2%
-13.2%
-12.7%
1.7%
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
8.9%
7.2%
4.5%
6.9%
19.3%
-9.5%
-6.9%
6.8%
0%
1%
2%
3%
4%
0 5 10 15 20 25 30
Maturity (Years)
3/31/2020 12/31/2019 3/31/2019
U.S. Treasury Yield Curves
U.S. FIXED INCOME
Treasuries rallied as investors sought safety
–The 10-year U.S. Treasury yield reached a low in March of
0.31% before closing the quarter at 0.70%, down sharply
from the 2019 year-end level of 1.92%.
–The Treasury yield curve steepened as the Fed cut rates to
0%-0.25%.
–TIPS underperformed nominal Treasuries as expectations
for inflation sank. The 10-year breakeven spread ended the
quarter at 87 bps, down sharply from 177 bps at year-end.
Investors spurned credit risk
–Investment grade and high yield bond funds experienced
record outflows as investors flocked to cash.
–Investment grade corporate spreads widened by 149 bps to
272 bps, representing the hardest hit sector in the
Bloomberg Barclays US Aggregate Bond Index, particularly
within Industrials, where several well-known issuers were
downgraded to below investment grade, including Occidental
Petroleum and Ford.
–The quality bias was evident as BBB-rated credit (-7.4%)
underperformed single A or higher (+0.5%).
–CCC-rated high yield corporates (-20.6%) lagged BB-rated
corporates (-10.2%).
–Energy (-38.9%) was the lowest-performing high yield bond
sub-sector as oil prices collapsed.
Capital Market Overview (continued) March 31, 2020
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
-0.3%
1.4%
-15.0%
-2.7%
-13.4%
-15.2%
-14.3%
-8.6%
Blmberg Barclays Gl Aggregate
Blmberg Barclays Gl Agg (hdg)
Blmberg Barclays Gl High Yield
Blmberg Barclays Gl Agg ex US
JPM EMBI Global Diversified
JPM GBI-EM Global Diversified
JPM EMBI Gl Div/JPM GBI-EM Gl Div
JPM CEMBI
Global Fixed Income: One-Year Returns
4.2%
6.6%
-10.0%
0.7%
-6.8%
-6.5%
-6.7%
-1.4%
-125 bps
-29 bps
-47 bps
-101 bps
3 bps
-150 -130 -110 -90 -70 -50 -30 -10 10 30
U.S. Treasury
Germany
U.K.
Canada
Japan
4Q19 to 1Q20
Change in 10-Year Global Government Bond Yields
GLOBAL FIXED INCOME
Global ex-U.S. fixed income ended slightly down
–Developed market sovereign bond yields ended the quarter
slightly higher even as central banks stepped in to provide
support to their economies; the European Central Bank
launched a €750 billion stimulus program and the Bank of
England cut interest rates.
–The U.S. dollar rose against the Australian dollar, British
pound, and euro as investors sought safety within the
greenback.
Emerging market debt plummeted in the risk-off
environment
–Within the dollar-denominated benchmark, returns were
mixed amongst its 60+ constituents.
–Within the local currency-denominated benchmark, several
local market returns in Latin America dropped about 20%
(Brazil, Mexico, and Colombia) and South Africa dropped
29% as oil-sensitive economies suffered from the drop in oil
prices.
Capital Market Overview (continued) March 31, 2020
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 March 31, 2020
Re
t
u
r
n
s
(50%)
(40%)
(30%)
(20%)
(10%)
0%
10%
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
(50)
(43)
(50)
(18)
(19)(75)
10th Percentile (12.25) (21.13) (17.62)3.59 (1.30)2.29
25th Percentile (14.47) (25.42) (20.38)2.98 (2.26)1.88
Median (19.57) (31.75) (22.85)2.17 (4.15)1.56
75th Percentile (26.47) (35.15) (24.98)1.41 (10.83)0.7090th Percentile (29.49) (38.03) (28.40)0.53 (15.53) (5.12)
Index (19.60) (30.61) (22.83)3.15 (1.88)0.71
Range of Separate Account Manager Returns by Asset Class
One Year Ended March 31, 2020
Re
t
u
r
n
s
(40%)
(30%)
(20%)
(10%)
0%
10%
20%
Large Cap Small Cap Non-US Domestic Non-US Real
Equity Equity Equity Fixed Income Fixed Income Estatevs vs vs vs vs vsS&P 500 Russell 2000 MSCI EAFE Blmbg Aggr Bd Citi Non-US Govt NCREIF Index
(49)
(47)
(53)
(21)
(24)
(56)
10th Percentile 1.90 (12.42) (5.96)9.51 3.32 9.04
25th Percentile (1.46) (17.66) (9.39)8.83 1.74 7.50Median(7.30) (24.59) (13.90)8.13 (1.38)5.80
75th Percentile (15.62) (29.42) (17.53)7.24 (7.31)2.02
90th Percentile (20.74) (32.41) (21.95)6.31 (10.49) (9.10)
Index (6.98) (23.99) (14.38)8.93 1.79 5.28
7Orange County Sanitation District
Domestic Fixed Income
Active Management Overview
U.S. Treasury yields fell to record lows in March as investors sought safety and the Fed cut rates to 0%-0.25%. The 10-year
U.S. Treasury yield reached a low in March of 0.31% before closing the quarter at 0.70%, down sharply from the year-end
level of 1.92%. Most sectors underperformed U.S. Treasuries, hurt both by challenging liquidity conditions as well as a flight
to safety. While the Bloomberg Barclays US Aggregate Bond Index rose 3.1% for the quarter, results were driven largely by
performance of the Treasury sector (+8.2%). Corporates (-3.6%) and most securitized sectors underperformed U.S.
Treasuries. The quality bias was evident in the return for the AAA-rated component (+5.8%) versus BBBs (-7.4%). TIPS
(Bloomberg Barclays TIPS: +1.7%) sharply underperformed nominal Treasuries as expectations for inflation sank. The
10-year breakeven spread ended the quarter at 87 bps, down sharply from 177 bps at year-end. High yield corporate bonds
(Bloomberg Barclays High Yield: -12.7%) fell sharply and ended the quarter with a yield-to-worst of 9.4% though it topped
10% in mid-March, the highest level since the GFC. Excluding the beleaguered Energy sector, high yield fell 9.1%.
Leveraged loans performed even worse (S&P LSTA: -13.0%) and both high yield and loans experienced heavy outflows.
Separate Account Style Group Median Returns
for Quarter Ended March 31, 2020
(20%)
(15%)
(10%)
(5%)
0%
5%
10%
15%
0.59
Defensive
1.78
Intermed
2.17
Core
Bond
(0.21 )
Core Plus
6.07
Extended
Maturity
(11.72 )
Bank
Loans
(12.65 )
High Yield
Re
t
u
r
n
s
Blmbg Aggregate: 3.15%
Blmbg High Yield:(12.68%)
Blmbg Long Gov/Cred: 6.21%
Separate Account Style Group Median Returns
for One Year Ended March 31, 2020
(20%)
(10%)
0%
10%
20%
30%
3.55
Defensive
6.24
Intermed
8.13
Core
Bond
5.77
Core Plus
19.31
Extended
Maturity
(7.47 )
Bank
Loans
(6.48 )
High Yield
Re
t
u
r
n
s
Blmbg Aggregate: 8.93%
Blmbg High Yield:(6.94%)
Blmbg Long Gov/Cred: 19.32%
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 March 31, 2020, with the
distribution as of December 31, 2019. The change in asset distribution is broken down into the dollar change due to Net New
Investment and the dollar change due to Investment Return.
Asset Distribution Across Investment Managers
March 31, 2020 December 31, 2019
Market Value Weight Net New Inv. Inv. Return Market Value Weight
Domestic Fixed Income
Long Term Operating Fund* 590,342,927 83.87%(4,000,000)14,428,929 579,913,998 76.75%
Liquid Operating Monies* 113,512,314 16.13%(63,000,000)865,897 175,646,417 23.25%
Total Fund $703,855,241 100.0%$(67,000,000)$15,294,826 $755,560,415 100.0%
*Chandler replaced PIMCO during the 4th quarter of 2014. Assets were transferred in-kind as of 12/01/2014.
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 March 31,
2020. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first
set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended March 31, 2020
Last Last Last
Last Last 3 5 7
Quarter Year Years Years Years
Domestic Fixed Income
Long Term Operating Fund^ 2.51% 5.78% 3.16% 2.33% 1.77%
Chandler 2.51% 5.78% 3.16% 2.33% -
Blmbg Govt/Cred 1-5 Year Idx 2.17% 5.58% 3.08% 2.27% 1.96%
ML 1-5 Govt/Corp 1.95% 5.41% 3.04% 2.26% 1.98%
Liquid Operating Monies^ 0.71% 2.51% 1.92% 1.31% 0.96%
Chandler 0.71% 2.51% 1.92% 1.31% -
Citigroup 3-Month Treasury Bill 0.39% 2.04% 1.74% 1.12% 0.81%
Total Fund 2.18% 5.14% 2.91% 2.08% 1.59%
Target* 1.64% 4.73% 2.78% 2.04% 1.74%
* Current Quarter Target = 80.0% ML:Corp/Gov 1-5 Yr and 20.0% FTSE 3 Mo T-Bill.
^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
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 March 31,
2020. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first
set of returns for each asset class represents the composite returns for all the fund’s accounts for that asset class.
Returns for Periods Ended March 31, 2020
Last Last Last
10 15 24-1/2
Years Years Years
Domestic Fixed Income
Long Term Operating Fund^ 2.33% 3.31% 4.29%
Blmbg Govt/Cred 1-5 Year Idx 2.22% 3.11% 4.11%
ML 1-5 Govt/Corp 2.26% 3.12% 4.13%
Liquid Operating Monies^ 0.74% 1.54% 2.58%
Citigroup 3-Month Treasury Bill 0.60% 1.31% 2.27%
Total Fund 2.03% 2.98% 4.01%
Target*1.93% 2.76% 3.76%
* Current Quarter Target = 80.0% ML:Corp/Gov 1-5 Yr and 20.0% FTSE 3 Mo T-Bill.
^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
12Orange County Sanitation District
Investment Manager Returns
The table below details the rates of return for the Fund’s investment managers over various time periods. Negative returns
are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each
asset class represents the composite returns for all the fund’s accounts for that asset class.
12/2019-
3/2020 2019 2018 2017 2016
Domestic Fixed Income
Long Term Operating Fund^ 2.51% 4.70% 1.60% 1.18% 1.58%
Chandler 2.51% 4.70% 1.60% 1.18% 1.58%
Blmbg Govt/Cred 1-5 Year Idx 2.17% 5.01% 1.38% 1.27% 1.56%
ML 1-5 Govt/Corp 1.95% 5.08% 1.40% 1.28% 1.62%
Liquid Operating Monies^ 0.71% 2.39% 1.90% 0.91% 0.47%
Chandler 0.71% 2.39% 1.90% 0.91% 0.47%
Citigroup 3-Month Treasury Bill 0.39% 2.25% 1.86% 0.84% 0.27%
Total Fund 2.18% 4.26% 1.72% 1.02% 1.15%
Target* 1.64% 4.51% 1.49% 1.19% 1.35%
* Current Quarter Target = 80.0% ML:Corp/Gov 1-5 Yr and 20.0% FTSE 3 Mo T-Bill.
^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
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.
2015 2014 2013 2012 2011
Domestic Fixed Income
Long Term Operating Fund^ 0.85% 1.98%(1.77%)3.06% 4.59%
Blmbg Govt/Cred 1-5 Year Idx 0.97% 1.42% 0.28% 2.24% 3.14%
ML 1-5 Govt/Corp 1.05% 1.51% 0.32% 2.47% 3.10%
Liquid Operating Monies^ 0.22% 0.09% 0.13% 0.17% 0.24%
Citigroup 3-Month Treasury Bill 0.03% 0.03% 0.05% 0.07% 0.08%
Total Fund 0.80% 1.73%(1.49%)2.70% 3.70%
Target* 0.85% 1.21% 0.26% 1.99% 2.49%
* Current Quarter Target = 80.0% ML:Corp/Gov 1-5 Yr and 20.0% FTSE 3 Mo T-Bill.
^Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
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%1.8%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2.0%
2.2%
Total Fund
Blmbg Gov/Cred 1-5 Yr
FTSE 3 Mo T-Bill
Total Fund Target
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
0.2%0.4%0.6%0.8%1.0%1.2%1.4%1.6%
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 March 31, 2020
Investment Philosophy
Chandler Asset Management’s Short Term Bond strategy is driven by quantitative models and focuses on active duration
management, sector selection and term structure. The strategy seeks to achieve consistent above-benchmark returns with
low volatility relative to the style’s performance benchmark. The firm has a unique focus on high quality fixed income
management, and places risk control as a higher objective than return. Assets were transferred in kind to Chandler on
12/1/2014. Previous performance reflects PIMCO.
Quarterly Summary and Highlights
Long Term Operating Fund’s portfolio posted a 2.51% return
for the quarter placing it in the 7 percentile of the Callan
Short Term Fixed Income group for the quarter and in the 4
percentile for the last year.
Long Term Operating Fund’s portfolio outperformed the
ML:Corp/Gov 1-5 Yr by 0.56% for the quarter and
outperformed the ML:Corp/Gov 1-5 Yr for the year by
0.37%.
Quarterly Asset Growth
Beginning Market Value $579,913,998
Net New Investment $-4,000,000
Investment Gains/(Losses) $14,428,929
Ending Market Value $590,342,927
Performance vs Callan Short Term Fixed Income (Gross)
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
5%
6%
7%
Last Quarter Last Last 3 Years Last 5 Years Last 5-1/4 Last 7 Years Last 10 Years Last 24-1/2
Year Years Years
A(7)B(9)(11)
A(4)B(8)(8)
A(5)B(7)(7)A(13)B(17)(17)A(19)B(19)(19)B(26)A(48)(24)A(31)B(32)(32)
A(11)B(23)(21)
10th Percentile 2.05 4.97 2.94 2.39 2.45 2.12 2.65 4.32
25th Percentile 1.48 4.38 2.72 2.20 2.26 1.97 2.45 4.09
Median 0.59 3.55 2.56 1.99 2.01 1.75 2.04 3.82
75th Percentile (0.50)2.34 2.22 1.84 1.89 1.61 1.68 3.61
90th Percentile (1.86)1.11 1.89 1.62 1.62 1.37 1.39 3.08
Long Term
Operating Fund A 2.51 5.78 3.16 2.33 2.36 1.77 2.33 4.29
Blmbg Govt/Cred
1-5 Year Idx B 2.17 5.58 3.08 2.27 2.35 1.96 2.22 4.11
ML:Corp/Gov 1-5 Yr 1.95 5.41 3.04 2.26 2.35 1.98 2.26 4.13
Relative Return vs ML:Corp/Gov 1-5 Yr
Re
l
a
t
i
v
e
R
e
t
u
r
n
s
(1.5%)
(1.0%)
(0.5%)
0.0%
0.5%
1.0%
2013 2014 2015 2016 2017 2018 2019 20
Long Term Operating Fund
Callan Short Term Fixed Income (Gross)
Annualized Seven Year Risk vs Return
0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
Blmbg Govt/Cred 1-5 Year Idx
ML:Corp/Gov 1-5 Yr
Long Term Operating Fund
Standard Deviation
Re
t
u
r
n
s
17Orange County Sanitation District
Long Term Operating Fund
Return Analysis Summary
Return Analysis
The graphs below analyze the manager’s return on both a risk-adjusted and unadjusted basis. The first chart illustrates the
manager’s ranking over different periods versus the appropriate style group. The second chart shows the historical quarterly
and cumulative manager returns versus the appropriate market benchmark. The last chart illustrates the manager’s ranking
relative to their style using various risk-adjusted return measures.
Assets were transferred in kind to Chandler on 12/1/2014. Previous performance reflects PIMCO.
Performance vs Callan Short Term Fixed Income (Gross)
(3%)(2%)(1%)0%1%2%3%4%5%6%7%
12/19- 3/20 2019 2018 2017 2016 2015 2014 2013 2012 2011
A(7)B(9)11
B(20)A(34)19
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
10th Percentile 2.05 5.47 2.00 2.23 2.82 1.17 1.50 1.20 4.46 2.7225th Percentile 1.48 4.92 1.82 1.74 2.17 1.01 1.27 0.80 2.60 2.30
Median 0.59 4.52 1.69 1.31 1.56 0.91 1.11 0.65 1.81 1.85
75th Percentile (0.50)4.10 1.54 0.95 1.18 0.76 0.87 0.40 1.45 1.65
90th Percentile (1.86)3.51 1.33 0.66 1.03 0.64 0.73 0.29 0.92 1.44
Long Term
Operating Fund A 2.51 4.70 1.60 1.18 1.58 0.85 1.98 (1.77)3.06 4.59
Blmbg Govt/Cred
1-5 Year Idx B 2.17 5.01 1.38 1.27 1.56 0.97 1.42 0.28 2.24 3.14
ML:Corp/Gov
1-5 Yr 1.95 5.08 1.40 1.28 1.62 1.05 1.51 0.32 2.47 3.10
Cumulative and Quarterly Relative Return vs ML:Corp/Gov 1-5 Yr
Re
l
a
t
i
v
e
R
e
t
u
r
n
s
(5%)
(4%)
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20
Long Term Operating Fund Blmbg Govt/Cred 1-5 Year Idx Callan Short Fixed Inc
Risk Adjusted Return Measures vs ML:Corp/Gov 1-5 Yr
Rankings Against Callan Short Term Fixed Income (Gross)
Seven Years Ended March 31, 2020
(1.0)
(0.5)
0.0
0.5
1.0
1.5
Alpha Sharpe Excess Return
Ratio Ratio
B(95)
A(98)
B(73)A(89)
B(35)A(65)
10th Percentile 0.75 1.10 0.25
25th Percentile 0.50 0.94 (0.01)
Median 0.32 0.82 (0.23)
75th Percentile 0.18 0.69 (0.45)
90th Percentile 0.08 0.52 (0.63)
Long Term Operating Fund A (0.23)0.53 (0.36)
Blmbg Govt/Cred 1-5 Year Idx B (0.03)0.70 (0.14)
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 March 31, 2020
(1)
0
1
2
3
4
5
6
Average Effective Coupon OA
Duration Life Yield Rate Convexity
(10)(8)(18)(22)
(92)
(89)(58)
(30)
10th Percentile 2.54 2.81 4.70 3.23 0.17
25th Percentile 1.92 2.67 3.13 2.91 0.09
Median 1.84 2.10 2.52 2.61 0.04
75th Percentile 1.75 1.94 1.76 2.35 0.00
90th Percentile 0.55 1.44 1.27 2.18 (0.17)
Long Term
Operating Fund 2.47 2.74 - 2.21 -
ML:Corp/Gov 1-5 Yr 2.55 2.70 1.12 2.52 0.08
Sector Allocation and Quality Ratings
The first graph compares the manager’s sector allocation with the average allocation across all the members of the
manager’s style. The second graph compares the manager’s weighted average quality rating with the range of quality ratings
for the style.
Sector Allocation
March 31, 2020
0%10%20%30%40%50%60%70%80%
US Trsy
32.4
16.9
64.2
Gov Related
27.8
50
%
Mg
r
M
V
50
%
Mg
r
M
V
1.4
9.9
Corp (incl 144A)
23.8
51.8
25.9
Other
7.4
ABS
6.1
22.7
Cash
1.8
2.3
Tax-Exempt US Muni
0.3
CMBS
0.2
3.0
CMOs
0.2
1.2
RMBS 0.6
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
A+
AA-
AA
AA+
AAA
Trsy
Weighted Average
Quality Rating
(63)(10)
10th Percentile AA
25th Percentile AA
Median AA
75th Percentile A+
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 March 31, 2020
Portfolio Structure Comparison
The charts below compare the structure of the portfolio to that of the index from the three perspectives that have the greatest
influence on return. The first chart compares the two portfolios across sectors. The second chart compares the duration
distribution. The last chart compares the distribution across quality ratings.
Sector Allocation
Long Term Operating Fund
US Trsy
32%
CMBS
0%
Gov Related
28%
CMOs
0%
Corp (incl 144A)
24%
Tax-Exempt US Muni0%
Other
7%
Cash
2%
ABS
6%
ML:Corp/Gov 1-5 Yr
US Trsy
64%
Gov Related
10%
Corp (incl 144A)
26%
Duration Distribution
0%
10%
20%
30%
40%
50%
60%
70%
80%
<1
23.5
4.8
1-3
37.4
59.7
3-5
39.1 35.4
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:
2.47
2.55
Quality Distribution
0%
20%
40%
60%
80%
100%
AAA
9.5
70.2
AA
69.9
4.8
A
15.2 12.5
BBB
0.5
12.1
BB
0.3
B CCC CC C D
4.9
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 March 31, 2020
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 0.67%
return for the quarter placing it in the 1 percentile of the
Callan Money Market Funds group for the quarter and in the
1 percentile for the last year.
Liquid Operating Money Net’s portfolio outperformed the
Citigroup 3-Month Treasury Bill by 0.28% for the quarter and
outperformed the Citigroup 3-Month Treasury Bill for the
year by 0.31%.
Quarterly Asset Growth
Beginning Market Value $175,646,417
Net New Investment $-63,000,000
Investment Gains/(Losses) $865,897
Ending Market Value $113,512,314
Performance vs Callan Money Market Funds (Net)
(3%)
(2%)
(1%)
0%
1%
2%
3%
Last Quarter Last Last 3 Years Last 5 Years Last 5-1/4 Last 7 Years Last 10 Years Last 24-1/2
Year Years Years
(1)
(2)
(1)
(3)
(6)(9)
(16)(18)(16)(19)
(18)(18)(17)(15)
(10)(23)
10th Percentile 0.32 1.90 1.72 1.29 1.27 0.97 0.94 2.42
25th Percentile 0.28 1.74 1.56 1.03 0.99 0.74 0.53 2.25
Median 0.24 1.56 1.37 0.88 0.83 0.62 0.44 2.11
75th Percentile 0.12 1.21 1.16 0.74 0.71 0.54 0.38 1.98
90th Percentile (1.86)0.27 0.93 0.58 0.55 0.42 0.29 1.84
Liquid Operating
Money Net 0.67 2.35 1.77 1.15 1.10 0.81 0.59 2.42
Citigroup 3-Month
Treasury Bill 0.39 2.04 1.74 1.12 1.07 0.81 0.60 2.27
Relative Returns vs
Citigroup 3-Month Treasury Bill
Re
l
a
t
i
v
e
R
e
t
u
r
n
s
(0.10%)
(0.05%)
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
0.35%
2013 2014 2015 2016 2017 2018 2019 20
Liquid Operating Money Net
Callan Money Market Funds (Net)
Annualized Seven Year Risk vs Return
0 1 2 3 4 5
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
Citigroup 3-Month Treasury Bill
Liquid Operating Money Net
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)
(3%)
(2%)
(1%)
0%
1%
2%
3%
4%
12/19- 3/20 2019 2018 2017 2016 2015 2014 2013 2012 2011
12
2827 2212
3530 3033 2236 9822 9820 4424 1315
10th Percentile 0.32 3.21 1.89 1.42 1.32 0.28 0.35 0.30 0.85 0.12
25th Percentile 0.28 2.31 1.72 0.91 0.40 0.06 0.03 0.04 0.06 0.04
Median 0.24 1.96 1.53 0.61 0.14 0.01 0.01 0.01 0.01 0.01
75th Percentile 0.12 1.75 1.30 0.42 0.04 0.01 0.01 0.01 0.01 0.0190th Percentile (1.86)1.49 1.04 0.23 0.01 0.00 0.00 0.00 0.00 0.00
Liquid Operating
Money Net 0.67 2.24 1.75 0.76 0.32 0.07 (0.06) (0.02)0.02 0.09
Citigroup 3-Month
Treasury Bill 0.39 2.25 1.86 0.84 0.27 0.03 0.03 0.05 0.07 0.08
Cumulative and Quarterly Relative Return vs Citigroup 3-Month Treasury Bill
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%
2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 20
Liquid Operating Money Net Callan Money Market Funds
Risk Adjusted Return Measures vs Citigroup 3-Month Treasury Bill
Rankings Against Callan Money Market Funds (Net)
Seven Years Ended March 31, 2020
(3.0)
(2.5)
(2.0)
(1.5)
(1.0)
(0.5)
0.0
0.5
1.0
Alpha Sharpe Excess Return
Ratio Ratio
(34)(19)(18)
10th Percentile 0.61 0.13 0.29
25th Percentile (0.02) (0.20) (0.41)
Median (0.17) (0.59) (2.18)
75th Percentile (0.25) (0.90) (2.46)
90th Percentile (0.35) (1.48) (2.58)
Liquid Operating Money Net (0.08) (0.10)0.01
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
2020 National Workshop Summary: Turbocharging DC Plans
In this workshop, Connie Lee, Jana Steele, and James Veneruso
described ways in which deined contribution plan sponsors can
improve participant outcomes, including plan design strategies and
investment implementation steps.
2019 Nuclear Decommissioning Funding Study | Callan’s an-
nual study offers insights into the status of nuclear decommission-
ing funding to make peer comparisons more accurate and relevant.
2020 National Workshop Summary: Diversifying Alternatives
In this workshop, presenters Pete Keliuotis, Catherine Beard, and
Ashley DeLuce discussed three lesser-known alternatives strate-
gies: specialty lending, emerging market private equity, and insur-
ance-linked strategies.
2020 DC Trends Survey | Callan’s 2020 Deined Contribution
Trends Survey is designed to provide a benchmark for sponsors to
evaluate their plans compared to peers, and to offer insights to help
sponsors improve their plans and the outcomes for their participants.
How Sponsors Can Harness DC Plan Data for Better Outcomes
Deined contribution (DC) plans are designed to help participants
achieve the most beneicial outcomes. But participants’ choices may
not necessarily relect asset allocation best practices. Sponsors can
help participants by analyzing how investment options are used and
make adjustments based on those observations.
The Callan Periodic Table of Investment Returns | We of-
fer our Periodic Table Collection and the Callan Periodic Table of
Investment Returns (Key Indices: 2000-2019).
Callan’s 2020-2029 Capital Market Assumptions | Callan de-
velops capital market assumptions to help clients with their long-
term strategic planning. This year, we reduced our ixed income
assumptions to relect lower starting yields following the Fed pivot
in policy, but we held constant our real equity return over inlation.
2020 National Workshop Summary: Fee Study | In this 2020
workshop, presenters Butch Cliff, Mark Stahl, and Brady O’Connell
discussed the major themes of our 2019 Investment Management
Fee Study and their impact on the institutional investor community.
An Introduction to Our New Hedge Fund Peer Group | The Callan
Institutional Hedge Fund Peer Group is designed to help institutional
investors better understand alpha-oriented solutions that can diver-
sify their existing stock and bond exposures, and it represents the
available pool of hedge fund talent that investors will want to con-
sider, or at least compare with their existing hedge fund portfolios.
Quarterly Periodicals
Private Equity Trends, 4Q19 | A high-level summary of private
equity activity in the quarter through all the investment stages
Active vs. Passive Charts, 4Q19 | A comparison of active man-
agers alongside relevant benchmarks over the long term
Market Pulse Flipbook, 4Q19 | A quarterly market reference
guide covering trends in the U.S. economy, developments for in-
stitutional investors, and the latest data on the capital markets
Capital Market Review, 4Q19 | 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, 4Q19 | Commentary on developments for
hedge funds and multi-asset class (MAC) strategies
Real Assets Reporter, 4Q19 | Data and insights on real estate
and other real assets investment topics.
Education
1st Quarter 2020
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:
Upcoming Webinars
May 21 – Hedge Fund Overview
July 8 – China Update
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 deci-
sion-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
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 de-
signed for individuals with less than two years of experience with
asset-management oversight and/or support responsibilities. Tu-
ition is $2,350 per person and includes instruction, all materials,
breakfast and lunch on each day, and dinner on the irst evening
with the instructors.
Additional information including dates and registration can be
found at: www.callan.com/callan-college-intro-2/
Alternative Investments for Institutional Investors
Alternative investments like private equity, hedge funds, and real
estate can play a key role in any portfolio. In this one-day ses-
sion, Callan experts will provide instruction about the importance
of allocations to alternatives, and how to integrate, evaluate, and
monitor them.
Learn from some of Callan’s senior consultants and experts, in-
cluding Pete Keliuotis, the head of Alternatives Consulting. The
session will cover private equity, private credit, hedge funds, real
estate, and real assets; why invest in alternatives; risk/return
characteristics and liquidity; designing and implementing an alter-
natives program; and trends and case studies.
Tuition is $2,000 per person and includes instruction, all materi-
als, and breakfast and lunch with the instructors.
Additional information including dates and registration can be
found at: https://www.callan.com/callan-college-alternatives-2/
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
March 31, 2020
Knowledge. Experience. Integrity. Page 1 of 2
Manager Name
Aberdeen Standard Investments
Acadian Asset Management LLC
AEGON USA Investment Management Inc.
AllianceBernstein
Allianz
American Century Investments
Amundi Pioneer Asset Management
AQR Capital Management
Ares Management LLC
Ariel Investments, LLC
Aristotle Capital Management, LLC
Atlanta Capital Management Co., LLC
Aviva Investors Americas
AXA Investment Managers
Baillie Gifford International, LLC
Baird Advisors
Baron Capital Management, Inc.
Barrow, Hanley, Mewhinney & Strauss, LLC
BlackRock
BMO Global Asset Management
BNP Paribas Asset Management
BNY Mellon Asset Management
Boston Partners
Brandes Investment Partners, L.P.
Brandywine Global Investment Management, LLC
BrightSphere Investment Group
Brown Brothers Harriman & Company
Cambiar Investors, LLC
CapFinancial Partners, LLC
Capital Group
Carillon Tower Advisers
CastleArk Management, LLC
Causeway Capital Management LLC
Chartwell Investment Partners
ClearBridge Investments, LLC
Manager Name
Cohen & Steers Capital Management, Inc.
Columbia Threadneedle Investments
Columbus Circle Investors
Credit Suisse Asset Management
D.E. Shaw Investment Management, L.L.C.
DePrince, Race & Zollo, 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 Hermes, Inc.
Fidelity Institutional Asset Management
Fiera Capital Corporation
First Hawaiian Bank Wealth Management Division
First State Investments
Fisher Investments
Franklin Templeton
Fred Alger Management, Inc.
GAM (USA) Inc.
GCM Grosvenor
Glenmeade Investment Management, LP
GlobeFlex Capital, L.P.
Goldman Sachs
Green Square Capital Advisors, LLC
Guggenheim Investments
GW&K Investment Management
Harbor Capital Group Trust
Hartford Investment Management Co.
Heitman LLC
Hotchkis & Wiley Capital Management, LLC
Income Research + Management, Inc.
Knowledge. Experience. Integrity. March 31, 2020 Page 2 of 2
Manager Name
Insight Investment Management Limited
Intech Investment Management, LLC
Intercontinental Real Estate Corporation
Invesco
Investec Asset Management North America, Inc.
Ivy Investments
J.P. Morgan
Janus
Jennison Associates LLC
Jobs Peak Advisors
KeyCorp
Lazard Asset Management
Legal & General Investment Management America
Lincoln National Corporation
Longview Partners
Loomis, Sayles & Company, L.P.
Lord Abbett & Company
Los Angeles Capital Management
LSV Asset Management
MacKay Shields LLC
Macquarie Investment Management (MIM)
Manulife Investment Management
Marathon Asset Management, L.P.
McKinley Capital Management, LLC
Mellon
MetLife Investment Management
MFS Investment Management
MidFirst Bank
Mondrian Investment Partners Limited
Montag & Caldwell, LLC
Morgan Stanley Investment Management
Mountain Pacific Advisors, LLC
MUFG Union Bank, N.A.
Natixis Investment Managers
Neuberger Berman
Newton Investment Management
Nikko Asset Management Co., Ltd.
Nile Capital Group LLC
Northern Trust Asset Management
Nuveen
P/E Investments
Pacific Investment Management Company
Parametric Portfolio Associates LLC
Manager Name
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
Robeco Institutional Asset Management, US Inc.
Rothschild & Co. Asset Management US
S&P Dow Jones Indices
Schroder Investment Management North America Inc.
SLC Management
Smith Graham & Co. Investment Advisors, L.P.
State Street Global Advisors
Stone Harbor Investment Partners L.P.
Strategic Global Advisors
T. Rowe Price Associates, Inc.
The TCW Group, Inc.
Thompson, Siegel & Walmsley LLC
Thornburg Investment Management, Inc.
Tri-Star Trust Bank
UBS Asset Management
USAA Real Estate
VanEck
Versus Capital Group
Victory Capital Management Inc.
Virtus Investment Partners, Inc.
Vontobel Asset Management, Inc.
Voya
WCM Investment Management
WEDGE Capital Management
Wellington Management Company LLP
Wells Fargo Asset Management
Western Asset Management Company LLC
Westfield Capital Management Company, LP
William Blair & Company LLC
CHANDLER ASSET MANAGEMENT, INC. | 800.317.4747 | www.chandlerasset.com
INVESTMENT REPORT
Period Ending March 31, 2020
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 March 31, 2020
1
SECTION ||||||||||||||Section 1 |Economic Update
2
Economic Update
Financial markets have experienced significant turbulence, driven by a high level of uncertainty about the impact of the
COVID-19 pandemic on the global economy. US Treasury yields have declined, amid a global flight to quality. Atthe end of
the firstquarter, the yield on 2-yearTreasuries was down 132basis points year-to-date, and the yield on 10-yearTreasuries
was down nearly 125 basis points. The S&P 500 index declined 20.0% in the first quarter. There are still many unknowns
about the coronavirus including how widespread it will become, how long it will take to contain the virus, and the actual
impact on economic activity. We believe containment efforts and supply chain disruptions will cause a sharp increase in
unemployment and aswift and deep contraction in economicactivity. Financial markets will likely remainvolatile overthe
near term but we believe that large-scale global monetary and fiscal stimulus programs will help mitigate the longer-term
impact of the pandemic. Notably, President Trump approved a $2trillion economicrelief package on March 27, the largest
fiscal stimulus package in US history.
The Fed has taken a wide range of aggressive actions to help stabilize and provide liquidity to the financial markets. The Fed
has lowered the fed funds target rate to a range of 0.0%-0.25% and said it will purchase Treasury and agency mortgage-
backed securities in any amount needed to support smooth market functioning. Policymakers have established several
facilities to help support the flow of creditto businesses and state and local governments including the Commercial Paper
Funding Facility, Main Street Lending Facility, Money Market Mutual Fund Liquidity Facility, Municipal Liquidity Facility,
Paycheck Protection Program Liquidity Facility, Primary Market Corporate Credit Facility, Secondary Market Corporate Credit
Facility, and Term Asset-Backed Securities Loan Facility. The Fed has also provided short-term funding through large-scale
repo operations and lowered the reserve requirement for depository institutions. Fed Chair Powell has indicated thatthe
Fed will continue to act “forcefully, proactively, and aggressively” until the economy is solidly on a road to recovery.
The slope of the Treasury yield curve steepened in March, though rates across the curve declined meaningfully. At March
month-end, the yield on 10-year Treasuries was down 48basis points to 0.67% while the yield on 2-year Treasuries was
down67basispointsto0.25%.The yield on3-month T-billsdeclined 121basis pointsin March.The movementin yieldshas
been driven by fears aboutthe coronavirus and its potential impacton global economic growth and inflation expectations,
as well as the cumulative 150 basis point cut to the fed funds target rate in March.
3
Employment
U.S. nonfarm payrolls declined by 701,000 in March. Employment in leisure and hospitality was particularly weak with payrolls down 459,000.
The U-3 unemployment rate increased to 4.4% in March from 3.5% in February,and the participation rate declined to 62.7% from 63.4%. A
broader measure of unemployment called the U-6, which includes those who are marginally attached to the labor force and employed part
time for economic reasons, increased to 8.7% from 7.0%. Wages rose 0.4% in March and were up 3.1% on year-over-year basis. The average
workweek declined to 34.2hours from 34.4hours. Notably,the establishment survey of payrolls and the household survey of unemployment
were collected in the first half of March, which predates many of the business and school closures related to the pandemic.
Source: US Department of Labor
0%
1%
2%
3%
4%
5%
6%
-800
-600
-400
-200
0
200
400
600
Nonfarm Payrolls
Unemployment Rate
Th
o
u
s
a
n
d
s
Change in Nonfarm Payrolls and Unemployment Rate
March 2015 -March 2020
Un
e
m
p
l
o
y
m
e
n
t
R
a
t
e
4
More than6.6millionpeople filedaninitial claimforunemployment inthe April 4week,following nearly6.9millionclaims inthe priorweek,
and 3.3 million claims two weeks prior.
Initial Claims for Unemployment
Source: US Department of Labor
6,606 6,867
3,307
282 211 217 220 215 204 201 212 220
7,455
3,059
1,784 1,702 1,699 1,719 1,692 1,729 1,678 1,753 1,704
-
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
In
t
h
o
u
s
a
n
d
s
Initial Jobless Claims
Continuing Claims
Intitial Claims For Unemployment January 17, 2020 -April 03, 2020
5
Source: US Department of Labor Source: US Department of Commerce
Inflation
The ConsumerPrice Index (CPI) wasup 1.5%year-over-year inMarch, downfrom 2.3% in February. Core CPI (CPI less food and energy) was up
2.1% year-over-year in March, down from 2.4% in February. The CPI data for March indicates that the initial net effect of the pandemic has
been deflationary. The Personal Consumption Expenditures (PCE) index was up 1.8% year-over-year in February, unchanged from 1.8% year-
over-year in January. Core PCE, which is the Fed's primary inflation gauge, was up 1.8% year-over-year in February versus 1.7% year-over-year
in January. Core PCE was trending below the Fed’s 2.0% inflation target before the COVID-19 pandemic.
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
6
On a year-over-year basis, retail sales were up 4.3% in February versus 5.0% in January. On a month-over-month basis, retail sales excluding
autosandgasfell 0.2%inFebruary,well belowexpectationsfora0.4% increase.Control groupsales were flat inFebruary, belowexpectations
of a 0.4% gain. Several retail categories showed weakness in February including auto sales and gasoline, building materials, clothing stores,
electronics &appliances. The impactof the coronavirus was only beginning to emerge in February but the outlook for retail sales in the coming
months is under significant pressure. The Consumer Confidence Index remained fairly strong in March but declined to 120.0 from 132.6 in
February. The cut-off date for the survey was March 19. Confidence was high going into the pandemic, but we expect to see a meaningful
decline in the coming months.
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
7
Source: The Conference Board Source: Federal Reserve Bank of Chicago
Economic Activity
The LeadingEconomicIndicators index (LEI) rose amodest0.1% in February, following a0.7% increase in January. The LEI was up 0.7% on ayear-
over-year basis in February versus up 0.8% year-over-over in January. However, the Conference Board cautioned that the February index
didn't reflect the impact of the COVID-19 pandemic and that the economy may have now entered a contraction. The Chicago Fed National
Activity Index (CFNAI) improved to 0.16 in February from -0.33 in January.On a 3-month moving average basis, the CFNAI declined to -0.21in
February from -0.11 in January. The 3-month moving average is consistent with sub-par economic growth.
-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
8
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 remained strong in February at an annual rate of 1,599,000, exceeding the consensus forecast. On a month-over-month basis,
single family starts rose 6.7% to an annualized rate of 1,072,000, while multi-family starts declined 14.9% to an annualized rate of 527,000. Low
mortgage rates and a strong labor market were fueling housing activity headinginto the COVID-19crisis.According tothe Case-Shiller20-City
home price index, home prices were up 3.1% year-over-year in January, versus up 2.9% year-over-year in December, which suggests that
pricing in the sector was gaining momentum prior to the pandemic.
9
Source: Institute for Supply Management Source: Federal Reserve
Manufacturing
The Institute for Supply Management (ISM) manufacturing index decreased to 49.1 in March from 50.1 in February. The sub-50.0 reading
suggests that the manufacturing sector is in contraction but it was stronger than the consensus estimate of 44.0. The Industrial Production
index was up 0.04% year-over-yearinFebruary. In January, the index was down 1.02% year-over-year. On amonth-over-month basis, the index
was up 0.6% in February following a 0.5% decline in January. The Boeing737 Max shutdown weighed on production in both months butthere
wasalarge gaininautoproductioninFebruary. CapacityUtilization increased to 77.0% in February from 76.6% in January, but remained below
the long-run average of 79.8% indicating there was still excess capacity for growth.
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
10
Source: US Department of Commerce Source: US Department of Commerce
3/19 6/19 9/19 12/19
0.8% 3.0% 2.1% 1.2%
1.1% -1.2% -0.2% -1.1%
0.7% -0.7% -0.1% 1.5%
0.1% 0.5% 0.2% 0.2%
0.4% 0.3% 0.1% 0.2%
3.1% 2.0% 2.1% 2.1%
Gross Private Domestic
Investment
Personal Consumption
Expenditures
Components of GDP
Federal Government
Expenditures
State and Local (Consumption and
Gross Investment)
Net Exports and Imports
Total
0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
Gross Domestic Product (GDP)
GDP QOQ % Change
GDP YOY % Change
Gross Domestic Product (GDP)
Fourth quarter 2019 GDP grew at a 2.1% annualized rate, in line with expectations. This follows growth of 2.1% in the third quarter, 2.0% in the
second quarter, and 3.1% inthe firstquarter. Overall, GDP grew 2.3% in2019, down from 2.9% in 2018. Fourth quarter growth was fueled by net
exports and consumerspending which contributed 1.5% and 1.2% to GDP in the quarter, respectively,while grossprivate domesticinvestment
was adragon the economy. We believe the economy was expanding at amoderate pace at the beginning of this yearbut containment efforts
related to the COVID-19 pandemic have almost certainly resulted in a steep contraction in US economic activity beginning in early March.
11
Federal Reserve
Source: Federal Reserve Source: Bloomberg
The Fed has taken a wide range of aggressive actions this month to help stabilize and provide liquidity to the financial markets. The Fed has
lowered the fed funds target rate to a range of 0.0%-0.25% and said it will purchase Treasury and agency mortgage-backed securities in any
amount needed to support smooth market functioning. Policymakers reinstated the Commercial Paper Funding Facility and Money Market
Mutual FundLiquidityFacilityinordertoprovide liquidityto the commercial paper, money markets, and the municipal bond markets. The Fed
has established the Primary Market Corporate Credit Facility and Secondary Market Corporate Credit Facility to support the corporate bond
market. The Term Asset-Backed Securities Loan Facility has been established to enable the issuance of asset-backed securities backed by
student loans, auto loans, credit card loans, and loans guaranteed by the Small Business Administration. The Fed has established the Paycheck
Protection Program Liquidity Facility and Fed’s Main Street Lending Facility which will support the flow of credit to businesses. The Fed
establishedtheMunicipal LiquidityFacilitytopurchase short-termdebtdirectlyfrom USstates, counties,and cities.The Fedhas alsoprovided
short-term funding through large-scale repo operations and lowered the reserve requirement for depository institutions.
3,700,000
4,200,000
4,700,000
5,200,000
5,700,000
6,200,000
6,700,000
Federal Reserve Balance Sheet Assets
In
$
m
i
l
l
i
o
n
s
0.00%
0.50%
1.00%
1.50%
2.00%
2.50%
3.00%
3.50%
4.00%
4.50%
Effective Federal Funds Rate
Yi
e
l
d
(
%
)
12
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
Mar-20
Dec-19
Mar-19
Yi
e
l
d
(
%
)
Bond Yields
At March month-end, Treasury yields were much lower on a year-over-year basis. The 3-month T-bill yield was down 232 basis points, the 2-
year Treasury yield was down 202 basis points, and the 10-Year Treasury yield was down 174basis points, year-over-year. Much of the spread
movement was in the month of March, with the Fed cutting rates by a total of 150 basis points and concerns about a global recession and a
flight to safe-haven assets driving down yields across the curve.
13
Section 2|SECTION ||||||||||||||Section 2 |Account Profile
14
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.
As of March 31, 2020
15
Compliance As of March 31, 2020
Category Standard Comment
Treasury Issues 10% minimum; 5 years max maturity Complies*
U.S. Agencies 20% max per agency of the U.S. Government, which does not provide the full faith and credit of the U.S. government; 5 years max maturity Complies
Supranational Obligations
"AA" rated or better by a NRSRO; 30% maximum; 5 years max maturity; U.S. dollar denominated senior unsecured unsubordinated obligations issued or
unconditionally guaranteed by the International Bank for Reconstruction and Development ("IBRD"), the International Finance Corporation ("IFC") or the
Inter-American Development Bank ("IADB")
Complies
Corporate Medium Term Notes "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. or any state and operating within the U.S.Complies
Municipal Securities "A" rated or higher by a NRSRO; Taxable or tax-exempt municipal bonds issued by any of the 50 states; 10% maximum; 5% max issuer; 5 years max
maturity Complies
Mortgage-Backed Securities/ Collateralized
Mortgage Obligations/ Asset-Backed
Securities
"AA" rated or better by a NRSRO; 20% maximum (combined MBS/CMO/ABS); 5% max issuer (except U.S. government or its agencies) ; 5 years max
maturity Complies*
Negotiable Certificates of Deposit (NCD) "A" rated or better long term debt by a NRSRO; or "A-1"/ highest short term rating by a NRSRO; 30% maximum; 5% max issuer; 5 years max maturity Complies
Certificates of Deposit 5% max issuer; 5 years max maturity; Secured/ collateralized Complies
Banker’s Acceptances A-1 rated or highest short term rating by a NRSRO; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1 rated or better by a NRSRO; "A" rated or better long term debt issuer by a NRSRO; Issuer is a corporation organized and operating in the U.S. with
assets > $500 million; 25% maximum; 5% max issuer; 10% max of the outstanding commercial paper of any single issuer; 270 days max maturity Complies
Mutual Fund & Money Market Mutual
Fund
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience > than 5 years; 20% maximum in Mutual
Funds; 10% per one Mutual Fund; 20% max per issuer on Money Market Mutual Funds; 20% max of OCSD's surplus money Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
Local Agency Investment Fund (LAIF)No more than the lesser of 15% of the portfolio or the statutory maximum invested in LAIF; Not used by investment adviser; Investment of OCSD funds in
LAIF shall be subject to investigation and due diligence prior to investing Complies
OCCIP 15% maximum; Not used by investment adviser; Orange County Treasurer's Money Market Commingled Investment Pool; Investment of OCSD funds in
OCCIP shall be subject to investigation and due diligence prior to investing Complies
Prohibited Mortgage Derivatives, which include interest-only payments (IOs) and principal-only payments (POs); Inverse floaters, and RE-REMICS (Real Estate
Mortgage Investment Conduits) Complies
Avg Duration Not to exceed 60 months - (80% to 120% of the benchmark)Complies
Max Per Holding 5% max of the total debt outstanding of any issuer per individual holding Complies
Max Per Issuer 5% max per issuer (except Supranationals, U.S. Government, Agencies, Mutual Fund)Complies
Maximum Maturity 5 years maximum maturity Complies*
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.
16
Portfolio Characteristics
Orange County Sanitation District Long Term
3/31/2020 12/31/2019
Benchmark* Portfolio Portfolio
Average Maturity (yrs)2.65 2.74 2.74
Average Modified Duration 2.54 2.47 2.41
Average Purchase Yield n/a 2.22% 2.30%
Average Market Yield 0.66% 0.89% 1.72%
Average Quality**AAA AA/Aa1 AA/Aa1
Total Market Value 590,338,610 579,895,190
*ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
Multiple securities were purchased across the Treasury, Agency, Asset Backed and Corporate sectors of the market to keep the
portfolio positioned consistent with Chandler targets. The purchased securities ranged in maturity from December 2022 to March
2025. Several securities were sold and two matured to help facilitate the new holding in the portfolio. Additionally, therewas a
$10 million withdrawal early in the quarter and a $6 million contribution late in the quarter͘
As of March 31, 2020
17
Orange County Sanitation District Long Term
Sector Distribution
ABS
6.1%
Agency
27.8%
CMO
0.2%
Commercial
Paper
1.7%Corporate
23.8%
Money Market
Fund FI
1.8%
Mortgage Pass
Thru
0.2%
Municipal Bonds
0.3%
Supranational
5.7%
US Treasury
32.4%
March 31, 2020 December 31, 2019
ABS
7.8%
Agency
22.8%
CMO
0.2%
Commercial
Paper
1.7%
Corporate
24.1%Money Market
Fund FI
1.0%
Mortgage Pass
Thru
0.2%
Municipal Bonds
0.3%
Supranational
5.8%
US Treasury
34.8%
Negotiable CD
1.4%
As of March 31, 2020
The sector allocation changed moderately over the most recent quarterly reporting period. Two of the larger changes include the
5.0% increase in the Agency allocation, to 27.8% of the portfolio, partially offset by the 2.4% decline in the US Treasury allocation,
to 32.4% of the portfolio.
18
Issue Name Investment Type % Portfolio
Government of United States US Treasury 32.43%
Federal Home Loan Bank Agency 10.52%
Federal National Mortgage Association Agency 10.17%
Federal Home Loan Mortgage Corp Agency 6.17%
Inter-American Dev Bank Supranational 3.04%
Honda ABS ABS 2.20%
First American Govt Obligation Fund Class-Z Money Market Fund FI 1.75%
John Deere ABS ABS 1.75%
Intl Bank Recon and Development Supranational 1.74%
MUFG Bank Ltd/NY Commercial Paper 1.69%
US Bancorp Corporate 1.58%
Nissan ABS ABS 1.52%
Toronto Dominion Holdings Corporate 1.40%
Wells Fargo Corp Corporate 1.36%
JP Morgan Chase & Co Corporate 1.32%
Apple Inc Corporate 1.23%
Bank of America Corp Corporate 1.18%
Charles Schwab Corp/The Corporate 1.17%
Berkshire Hathaway Corporate 1.15%
Royal Bank of Canada Corporate 1.13%
Chubb Corporation Corporate 1.07%
PNC Financial Services Group Corporate 1.06%
ChevronTexaco Corp Corporate 1.05%
IBM Corp Corporate 1.00%
International Finance Corp Supranational 0.94%
Intel Corp Corporate 0.90%
Federal Farm Credit Bank Agency 0.89%
Bank of New York Corporate 0.86%
Qualcomm Inc Corporate 0.85%
HSBC Holdings PLC Corporate 0.77%
Wal-Mart Stores Corporate 0.70%
Honda Motor Corporation Corporate 0.70%
General Dynamics Corp Corporate 0.55%
Microsoft Corporate 0.52%
Exxon Mobil Corp Corporate 0.51%
Oracle Corp Corporate 0.51%
Morgan Stanley Corporate 0.50%
Mercedes-Benz Auto Lease Trust ABS 0.35%
Issuers
Orange County Sanitation District Long Term – Account #10268
As of March 31, 2020
19
Issue Name Investment Type % Portfolio
Merck & Company Corporate 0.34%
Toyota ABS ABS 0.33%
New York City Transitional Finance Authority Municipal Bonds 0.25%
Deere & Company Corporate 0.23%
BlackRock Inc/New York Corporate 0.18%
Federal National Mortgage Association Mortgage Pass Thru 0.17%
Federal Home Loan Mortgage Corp CMO 0.13%
University of California Municipal Bonds 0.07%
Federal National Mortgage Association 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 March 31, 2020
20
AAA AA A <A NR
03/31/20 9.5% 69.9% 15.2% 0.5% 4.9%
12/31/19 9.0% 68.2% 16.0% 0.5% 6.3%
Source: S&P Ratings
March 31, 2020 vs. December 31, 2019
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
AAA AA A <A NR
3/31/2020 12/31/2019
Quality Distribution
Orange County Sanitation District Long Term
As of March 31, 2020
21
AAA AA A <A NR
03/31/2020 75.9% 6.0% 17.1% 0.0% 0.9%
12/31/2019 75.4% 6.1% 17.2% 0.0% 1.3%
Source: Moody’s Ratings
March 31, 2020 vs. December 31, 2019
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
AAA AA A <A NR
3/31/2020 12/31/2019
Quality Distribution
Orange County Sanitation District Long Term
As of March 31, 2020
22
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
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 March 31, 2020
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5+
Portfolio 6.4% 3.0% 14.1% 15.3% 22.1% 22.2% 17.0% 0.0%
Benchmark* 0.7% 0.2% 4.4% 33.1% 27.0% 21.6% 13.1% 0.0%
*ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index
Duration Distribution
Orange County Sanitation District Long Term
As of March 31, 2020
The duration of the portfolio extended to 2.47 compared to 2.41 as of December 31, 2019. The majority of the new holdings in
the portfolio were near the five year maturity point as the Chandler team looked to decrease the aggregate interest rate
sensitivity of the portfolio relative to the benchmark.
23
0.00%
1.00%
2.00%
3.00%
4.00%
5.00%
6.00%
7.00%
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 12 months 2 years 3 years 5 years 10 years
Since
Inception
Orange County Sanitation District Long Term 5.68% 4.53% 3.10% 2.26%N/A 2.23%
ICE BAML 1-5 Yr US Corp/Govt Rated AAA-A Index 6.20% 4.79% 3.20% 2.29% N/A 2.27%
Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the
ending value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
Investment Performance
Orange County Sanitation District Long Term
As of March 31, 2020
24
Compliance As of March 31, 2020
Category Standard Comment
Treasury Issues 10% minimum; 1 year max maturity Complies
U.S. Agencies 20% max per agency of the U.S. Government, which does not provide the full faith and credit of the U.S. government; 1 year max maturity Complies
Supranational Obligations
"AA" rated or better by a NRSRO; 30% maximum; 1 year max maturity; U.S. dollar denominated senior unsecured unsubordinated obligations issued or unconditionally
guaranteed by the International Bank for Reconstruction and Development ("IBRD"), the International Finance Corporation ("IFC") or the Inter-American Development
Bank ("IADB")
Complies
Corporate Medium Term Notes "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. or any state and operating within the U.S.Complies
Municipal Securities "A" rated or higher by a NRSRO; Taxable or tax-exempt municipal bonds issued by any of the 50 states; 10% maximum; 5% max issuer; 1 year max maturity Complies
Mortgage-Backed Securities/ Collateralized
Mortgage Obligations/ Asset-Backed
Securities
"AA" rated or better by a NRSRO; 20% maximum (combined MBS/CMO/ABS); 5% max issuer (except U.S. government or its agencies) ; 1 year max maturity Complies
Negotiable Certificates of Deposit (NCD) "A" rated or better long term debt by a NRSRO; or "A-1"/ highest short term rating by a NRSRO; 30% maximum; 5% max issuer; 1 year max maturity Complies
Certificates of Deposit 5% max issuer; 1 year max maturity; Secured/collateralized Complies
Banker’s Acceptances A-1 rated or highest short term rating by a NRSRO; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1 rated or better by a NRSRO; "A" rated or better long term debt issuer by a NRSRO; Issuer is a corporation organized and operating in the U.S. with assets > $500
million; 25% maximum; 5% max issuer; 10% max of the outstanding commercial paper of any single issuer; 270 days max maturity Complies
Mutual Fund & Money Market Mutual
Fund
Highest rating or "AAA" rated by two NRSROs; SEC registered adviser with AUM >$500 million and experience > than 5 years; 20% maximum in Mutual Funds; 10% per
one Mutual Fund; 20% max per issuer on Money Market Mutual Funds; 20% max of OCSD's surplus money Does not com
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase Agreements 5% maximum, 90 days max maturity Complies
Local Agency Investment Fund (LAIF)No more than the lesser of 15% of the portfolio or the statutory maximum invested in LAIF; Not used by investment adviser; Investment of OCSD funds in LAIF shall be
subject to investigation and due diligence prior to investing Complies
OCCIP 15% maximum; Not used by investment adviser; Orange County Treasurer's Money Market Commingled Investment Pool; Investment of OCSD funds in OCCIP shall be
subject to investigation and due diligence prior to investing Complies
Prohibited Mortgage Derivatives, which include interest-only payments (IOs) and principal-only payments (POs); Inverse floaters, and RE-REMICS (Real Estate Mortgage Investment
Conduits) Complies
Avg Duration Not to exceed 180 days Complies
Max Per Holding 5% max of the total debt outstanding of any issuer per individual holding Complies
Max Per Issuer 5% max per issuer (except Supranationals, U.S. Government, Agencies, Mutual Fund)Complies
Maximum Maturity 1 year maximum maturity Complies
Orange County Sanitation District Liquid
Assets managed by Chandler Asset Management are in full compliance with state law and with the investment policy
*MMF concentration is at 22.8%; there were several maturities during the month and a cash contribution on 3/12/20; funds will be reinvested.
25
Portfolio Characteristics
Orange County Sanitation District Liquid
3/31/2020 12/31/2019
Benchmark* Portfolio Portfolio
Average Maturity (yrs)0.16 0.22 0.21
Average Modified Duration 0.16 0.22 0.21
Average Purchase Yield n/a 1.33% 1.82%
Average Market Yield 0.08% 0.45% 1.68%
Average Quality**AAA AA+/Aaa AA+/Aaa
Total Market Value 113,492,258 175,617,185
*ICE BAML 3-Month US Treasury Bill Index
**Benchmark is a blended rating of S&P, Moody’s, and Fitch. Portfolio is S&P and Moody’s respectively.
Many securities were purchased predominately in the Treasury sector to keep the portfolio invested to forecasted liquidity dates.
The purchased securities ranged in maturity from February 2020 to August 2020. One security was sold and many matured to
meet the liquidity requirements of the portfolio. Cash flows into the portfolio were varied but on a net basis $63 million was
withdrawn from the portfolio during the quarter.
As of March 31, 2020
26
Orange County Sanitation District Liquid
Sector Distribution
Agency
2.6%Commercial
Paper
1.2%Corporate
5.3%
Money Market
Fund FI
22.8%
Negotiable CD
0.9%
US Treasury
67.1%
March 31, 2020 December 31, 2019
Agency
6.1%Commercial
Paper
2.5%
Corporate
7.7%
Money Market
Fund FI
3.0%
Negotiable CD
2.3%US Treasury
78.4%
As of March 31, 2020
The sector allocation evolved with the large cash withdrawal from the portfolio and the flight to quality price movements in short
maturity Treasury notes. Two of the larger changes include the 11.2% decline in the Treasury allocation to 67.1% of the portfolio
and the 19.8% increase in the money market allocation to 22.8% of the portfolio. The Chandler team will be spending down the
money market allocation with longer maturity investments during the month of April.
27
Issue Name Investment Type % Portfolio
Government of United States US Treasury 67.10%
First American Govt Obligation Fund Class-Z Money Market Fund FI 22.84%
Federal Home Loan Bank Agency 2.64%
General Dynamics Corp Corporate 1.78%
Bank of America Corp Corporate 1.78%
Qualcomm Inc Corporate 1.78%
MUFG Bank Ltd/NY Commercial Paper 1.20%
Bank of Montreal Chicago Negotiable CD 0.89%
TOTAL 100.00%
Issuers
Orange County Sanitation District Liquid – Account #10282
As of March 31, 2020
28
AAA AA A <A NR
03/31/20 32.1% 62.6% 5.3% 0.0% 0.0%
12/31/19 36.1% 57.3% 6.6% 0.0% 0.0%
Source: S&P Ratings
March 31, 2020 vs. December 31, 2019
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
AAA AA A <A NR
3/31/2020 12/31/2019
Quality Distribution
Orange County Sanitation District Liquid
As of March 31, 2020
29
AAA AA A <A NR
03/31/2020 94.7% 0.0% 5.3% 0.0% 0.0%
12/31/2019 92.3% 1.1% 6.6% 0.0% 0.0%
Source: Moody’s Ratings
March 31, 2020 vs. December 31, 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
3/31/2020 12/31/2019
Quality Distribution
Orange County Sanitation District Liquid
As of March 31, 2020
30
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
90.0%
100.0%
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 March 31, 2020
0 - 0.25 0.25 - 0.50 0.50 - 1 1 - 1.5 1.5 - 2 2 - 2.5 2.5 - 3 3+
Portfolio 67.1% 32.9% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
Benchmark* 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
*ICE BAML 3-Month US Treasury Bill Index
Duration Distribution
Orange County Sanitation District Liquid
As of March 31, 2020
The duration of the portfolio was close to unchanged, ending the quarter at 0.22 compared to 0.21 at the end of the year. The
Chandler team will be looking to opportunistically increase the duration of the portfolio in the upcoming quarter.
31
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 12 months 2 years 3 years 5 years 10 years
Since
Inception
Orange County Sanitation District Liquid 2.53% 2.35% 1.94% 1.32% N/A 1.25%
ICE BAML 3-Month US Treasury Bill Index 2.25% 2.19% 1.83% 1.19% N/A 1.12%
Total rate of return: A measure of a portfolio’s performance over time. It is the internal rate of return, which equates the beginning value of the portfolio with the
ending value; it includes interest earnings, realized and unrealized gains and losses in the portfolio.
Investment Performance
Orange County Sanitation District Liquid
As of March 31, 2020
32
Compliance As of March 31, 2020
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.
33
Portfolio Characteristics
OCSD Lehman Exposure
3/31/2020
Portfolio
12/31/2019
Portfolio
Average Maturity (yrs)11.84 12.94
Modified Duration 0.00 0.00
Average Purchase Yield 0.00% 0.00%
Average Market Yield 0.00% 0.00%
Average Quality*NR/NR NR/NR
Total Market Value 52,921 58,241
*Portfolio is S&P and Moody’s, respectively.
As of March 31, 2020
34
SECTION ||||||||||||||Section 3 |Consolidated Information
35
Portfolio Characteristics
Orange County Sanitation District Consolidated
3/31/2020 12/31/2019
Portfolio Portfolio
Average Maturity (yrs)2.34 2.15
Modified Duration 2.11 1.90
Average Purchase Yield 2.07% 2.18%
Average Market Yield 0.82% 1.71%
Average Quality*AA+/Aa1 AA+/Aa1
Total Market Value 703,883,789 755,570,616
* Portfolio is S&P and Moody’s respectively.
As of March 31, 2020
36
Orange County Sanitation District Consolidated
Sector Distribution
ABS
5.2%
Agency
23.7%
CMO
0.1%
Commercial
Paper
1.6%
Common Stock
0.0%
Corporate
20.8%Money Market
Fund FI
5.2%
Mortgage Pass
Thru
0.2%
Municipal Bonds
0.3%
Negotiable CD
0.1%
Supranational
4.8%
US Treasury
38.0%
March 31, 2020 December 31, 2019
ABS
6.0%
Agency
18.9%
CMO
0.2%
Commercial
Paper
1.9%
Common Stock
0.0%
Corporate
20.3%Money Market
Fund FI
1.5%
Mortgage Pass
Thru
0.2%
Municipal Bonds
0.3%
Negotiable CD
1.6%
Supranational
4.4%
US Treasury
44.9%
As of March 31, 2020
37
SECTION ||||||||||||||Section 4 |Portfolio Holdings
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
ABS
83162CLJ0 Small Business Administration 2001-20C 1
6.340% Due 03/01/2021
5,878.03 03/06/2001
6.34%
5,878.03
5,878.03
101.18
3.57%
5,947.45
31.06
0.00%
69.42
Aaa / AA+
AAA
0.92
0.63
43814PAC4 Honda Auto Receivables Trust 2017-3 A3
1.790% Due 09/20/2021
1,134,368.60 06/28/2018
2.78%
1,116,378.22
1,126,174.51
99.90
2.10%
1,133,208.10
733.24
0.19%
7,033.59
NR / AAA
AAA
1.47
0.34
43814WAB1 Honda Auto Receivables Trust 2019-1 A2
2.750% Due 09/20/2021
2,732,580.80 02/19/2019
2.77%
2,732,404.82
2,732,479.84
99.76
3.47%
2,725,994.16
2,713.60
0.46%
(6,485.68)
NR / AAA
AAA
1.47
0.34
47788BAD6 John Deere Owner Trust 2017-B A3
1.820% Due 10/15/2021
183,876.63 07/11/2017
1.83%
183,863.16
183,871.75
99.63
3.56%
183,203.66
148.74
0.03%
(668.09)
Aaa / NR
AAA
1.54
0.21
65478GAD2 Nissan Auto Receivables Trust 2017-B A3
1.750% Due 10/15/2021
1,102,968.68 11/06/2018
3.10%
1,085,864.05
1,094,001.51
100.06
1.55%
1,103,683.40
857.86
0.19%
9,681.89
Aaa / NR
AAA
1.54
0.31
89239AAB9 Toyota Auto Receivables Trust 2019-A A2A
2.830% Due 10/15/2021
1,938,655.29 02/05/2019
2.85%
1,938,479.27
1,938,553.83
100.13
2.41%
1,941,103.68
2,438.40
0.33%
2,549.85
Aaa / AAA
NR
1.54
0.29
47789JAB2 John Deere Owner Trust 2019-A A2
2.850% Due 12/15/2021
1,879,859.75 03/05/2019
2.87%
1,879,774.03
1,879,806.77
100.26
1.93%
1,884,841.06
2,381.16
0.32%
5,034.29
Aaa / NR
AAA
1.71
0.28
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
3,529,843.13
99.81
2.20%
3,523,328.30
2,980.89
0.60%
(6,514.83)
Aaa / AAA
NR
2.04
0.64
47788CAC6 John Deere Owner Trust 2018-A A3
2.660% Due 04/18/2022
831,754.27 02/21/2018
2.68%
831,694.47
831,724.69
99.27
0.41%
825,678.71
983.32
0.14%
(6,045.98)
Aaa / NR
AAA
2.05
0.43
477870AB5 John Deere Owner Trust 2019-B A2
2.280% Due 05/16/2022
2,782,931.06 07/16/2019
2.29%
2,782,920.48
2,782,923.08
100.14
1.99%
2,786,817.45
2,820.04
0.47%
3,894.37
Aaa / NR
AAA
2.13
0.46
43814UAG4 Honda Auto Receivables Trust 2018-2 A3
3.010% Due 05/18/2022
1,620,960.47 05/22/2018
3.03%
1,620,925.13
1,620,941.52
100.59
2.11%
1,630,452.68
1,761.89
0.28%
9,511.16
NR / AAA
AAA
2.13
0.64
43815HAC1 Honda Auto Receivables Trust 2018-3 A3
2.950% Due 08/22/2022
3,918,242.99 08/21/2018
2.98%
3,917,705.41
3,917,920.44
100.92
1.70%
3,954,290.59
3,210.78
0.67%
36,370.15
Aaa / NR
AAA
2.39
0.72
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
4,629,786.40
100.62
2.16%
4,658,863.42
6,337.96
0.79%
29,077.02
Aaa / NR
AAA
2.63
0.66
58770FAC6 Mercedes Benz Auto Lease Trust 2020-A A3
1.840% Due 12/15/2022
2,050,000.00 01/21/2020
1.87%
2,049,729.81
2,049,746.01
100.07
1.81%
2,051,334.55
1,676.44
0.35%
1,588.54
Aaa / AAA
NR
2.71
1.77
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
3,559,926.60
101.57
1.41%
3,615,959.64
4,841.60
0.61%
56,033.04
Aaa / AAA
NR
2.96
0.94
78445JAA5 SLM Student Loan Trust 2008-9 A
3.295% Due 04/25/2023
12,192.93 08/22/2008
3.37%
12,143.46
12,182.59
98.72
3.42%
12,037.43
74.78
0.00%
(145.16)
Baa3 / B
B
3.07
2.59
As of March 31, 2020
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
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
4,184,799.63
100.99
1.49%
4,226,264.10
3,589.80
0.72%
41,464.47
Aaa / AAA
NR
4.29
2.18
TOTAL ABS 36,099,269.50 2.63%
36,061,825.98
36,080,560.33 1.97%
36,263,008.38
37,581.56
6.15%
182,448.05
Aaa / AAA
Aaa
2.44
0.83
Agency
313383HU8 FHLB Note
1.750% Due 06/12/2020
4,000,000.00 08/13/2015
1.71%
4,007,160.00
4,000,292.24
100.28
0.35%
4,011,020.00
21,194.44
0.68%
10,727.76
Aaa / AA+
NR
0.20
0.20
3135G0D75 FNMA Note
1.500% Due 06/22/2020
5,000,000.00 11/16/2015
1.70%
4,955,650.00
4,997,834.01
100.28
0.25%
5,014,035.00
20,625.00
0.85%
16,200.99
Aaa / AA+
AAA
0.23
0.22
3137EAEK1 FHLMC Note
1.875% Due 11/17/2020
5,000,000.00 Various
1.97%
4,986,225.00
4,997,055.75
101.04
0.21%
5,052,105.00
34,895.83
0.86%
55,049.25
Aaa / AA+
AAA
0.63
0.62
3135G0F73 FNMA Note
1.500% Due 11/30/2020
7,500,000.00 Various
1.87%
7,370,726.00
7,482,649.95
100.67
0.49%
7,550,535.00
37,812.50
1.29%
67,885.05
Aaa / AA+
AAA
0.67
0.66
3137EAEL9 FHLMC Note
2.375% Due 02/16/2021
7,500,000.00 02/26/2018
2.45%
7,484,475.00
7,495,406.89
101.67
0.46%
7,625,565.00
22,265.63
1.30%
130,158.11
Aaa / AA+
AAA
0.88
0.87
3130A7CV5 FHLB Note
1.375% Due 02/18/2021
5,365,000.00 02/17/2016
1.46%
5,343,325.40
5,361,168.09
100.90
0.35%
5,413,510.33
8,811.27
0.92%
52,342.24
Aaa / AA+
AAA
0.89
0.88
3135G0J20 FNMA Note
1.375% Due 02/26/2021
10,000,000.00 Various
1.28%
10,040,950.00
10,008,088.35
100.95
0.32%
10,095,020.00
13,368.06
1.71%
86,931.65
Aaa / AA+
AAA
0.91
0.90
313379RB7 FHLB Note
1.875% Due 06/11/2021
4,000,000.00 08/30/2017
1.67%
4,030,160.00
4,009,528.81
101.81
0.35%
4,072,500.00
22,916.67
0.69%
62,971.19
Aaa / AA+
AAA
1.20
1.18
3135G0U35 FNMA Note
2.750% Due 06/22/2021
7,500,000.00 06/28/2018
2.68%
7,515,225.00
7,506,249.38
102.88
0.39%
7,715,805.00
56,718.75
1.32%
209,555.62
Aaa / AA+
AAA
1.23
1.20
3135G0S38 FNMA Note
2.000% Due 01/05/2022
3,000,000.00 01/30/2017
2.04%
2,994,570.00
2,998,057.27
102.87
0.37%
3,085,959.00
14,333.33
0.53%
87,901.73
Aaa / AA+
AAA
1.77
1.73
3135G0T45 FNMA Note
1.875% Due 04/05/2022
5,000,000.00 05/05/2017
1.99%
4,972,500.00
4,988,742.33
102.98
0.39%
5,148,995.00
45,833.33
0.88%
160,252.67
Aaa / AA+
AAA
2.01
1.96
3135G0T94 FNMA Note
2.375% Due 01/19/2023
5,000,000.00 Various
2.78%
4,910,990.00
4,947,746.33
105.39
0.44%
5,269,490.00
23,750.00
0.90%
321,743.67
Aaa / AA+
AAA
2.81
2.71
313383QR5 FHLB Note
3.250% Due 06/09/2023
5,000,000.00 08/28/2018
2.87%
5,083,350.00
5,055,598.51
108.66
0.51%
5,433,145.00
50,555.56
0.93%
377,546.49
Aaa / AA+
NR
3.19
3.03
3137EAEN5 FHLMC Note
2.750% Due 06/19/2023
10,000,000.00 Various
2.84%
9,956,500.00
9,971,689.97
107.13
0.51%
10,713,180.00
77,916.66
1.83%
741,490.03
Aaa / AA+
AAA
3.22
3.08
313383YJ4 FHLB Note
3.375% Due 09/08/2023
10,000,000.00 Various
2.88%
10,211,831.00
10,156,446.76
110.11
0.41%
11,010,550.01
21,562.50
1.87%
854,103.25
Aaa / AA+
NR
3.44
3.27
As of March 31, 2020
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
3130A0F70 FHLB Note
3.375% Due 12/08/2023
10,000,000.00 Various
2.79%
10,269,043.75
10,200,964.62
111.14
0.33%
11,114,340.00
105,937.50
1.90%
913,375.38
Aaa / AA+
AAA
3.69
3.47
3135G0V34 FNMA Note
2.500% Due 02/05/2024
5,000,000.00 02/27/2019
2.58%
4,980,850.00
4,985,077.23
107.57
0.51%
5,378,355.00
19,444.44
0.91%
393,277.77
Aaa / AA+
AAA
3.85
3.67
3130A1XJ2 FHLB Note
2.875% Due 06/14/2024
11,110,000.00 Various
1.96%
11,589,031.30
11,513,348.20
110.47
0.36%
12,272,872.59
94,936.49
2.10%
759,524.39
Aaa / AA+
NR
4.21
3.96
3133EKWV4 FFCB Note
1.850% Due 07/26/2024
5,000,000.00 08/13/2019
1.65%
5,048,280.00
5,042,111.48
105.22
0.62%
5,261,090.00
16,701.39
0.89%
218,978.52
Aaa / AA+
AAA
4.32
4.15
3130A2UW4 FHLB Note
2.875% Due 09/13/2024
2,500,000.00 09/12/2019
1.73%
2,635,950.00
2,620,993.27
109.91
0.61%
2,747,720.00
3,593.75
0.47%
126,726.73
Aaa / AA+
AAA
4.46
4.20
3135G0X24 FNMA Note
1.625% Due 01/07/2025
10,000,000.00 Various
1.28%
10,157,936.40
10,157,871.28
104.97
0.57%
10,496,920.00
36,562.51
1.78%
339,048.72
Aaa / AA+
AAA
4.78
4.58
3137EAEP0 FHLMC Note
1.500% Due 02/12/2025
12,335,000.00 Various
1.20%
12,510,182.05
12,507,614.25
104.35
0.59%
12,871,399.81
24,156.04
2.18%
363,785.56
Aaa / AA+
AAA
4.87
4.69
3130A4CH3 FHLB Note
2.375% Due 03/14/2025
5,225,000.00 03/19/2020
1.18%
5,526,848.25
5,524,858.04
109.39
0.45%
5,715,857.40
5,859.98
0.97%
190,999.36
Aaa / AA+
AAA
4.96
4.70
TOTAL Agency 155,035,000.00 2.05%
156,581,759.15
156,529,393.01 0.43%
163,069,969.14
779,751.63
27.76%
6,540,576.13
Aaa / AA+
Aaa
2.79
2.67
CMO
03215PFN4 AMRESCO Residential Securities 1999-1 A
1.899% Due 06/25/2029
119,021.64 05/20/2011
5.48%
89,377.81
103,892.38
79.49
5.70%
94,610.30
43.95
0.02%
(9,282.08)
NR / A+
BBB
9.24
6.04
3133TCE95 FHLMC FSPC E3 A
4.007% Due 08/15/2032
5,932.65 03/11/1998
3.97%
5,938.86
5,934.89
100.15
2.83%
5,941.61
19.81
0.00%
6.72
Aaa / AA+
AAA
12.38
2.31
31397QRE0 FNMA FNR 2011-3 FA
1.639% Due 02/25/2041
166,890.21 12/20/2010
1.64%
166,838.06
166,853.97
99.48
1.81%
166,029.06
45.59
0.03%
(824.91)
Aaa / AA+
AAA
20.92
3.98
31394JY35 FHLMC FSPC T-58 2A
6.500% Due 09/25/2043
633,348.65 06/09/2011
5.40%
717,267.34
694,392.72
118.84
0.10%
752,646.20
686.13
0.13%
58,253.48
Aaa / AA+
AAA
23.50
2.51
TOTAL CMO 925,193.15 4.79%
979,422.07
971,073.96 0.91%
1,019,227.17
795.48
0.17%
48,153.21
Aaa / AA+
Aaa
21.69
3.08
As of March 31, 2020
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
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
9,987,861.11
99.88
1.94%
9,987,861.11
0.00
1.69%
0.00
P-1 / A-1
NR
0.07
0.07
TOTAL Commercial Paper 10,000,000.00 1.94%
9,917,138.89
9,987,861.11 1.94%
9,987,861.11
0.00
1.69%
0.00
P-1 / A-1
NR
0.07
0.07
Corporate
747525AD5 Qualcomm Inc Note
2.250% Due 05/20/2020
5,000,000.00 05/19/2015
2.27%
4,995,195.40
4,999,871.00
99.99
2.33%
4,999,350.00
40,937.51
0.85%
(521.00)
A2 / A-
NR
0.14
0.14
94974BGM6 Wells Fargo Corp Note
2.600% Due 07/22/2020
5,000,000.00 07/16/2015
2.59%
5,001,650.00
5,000,101.15
100.02
2.53%
5,000,945.00
24,916.67
0.85%
843.85
A2 / A-
A+
0.31
0.31
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
4,008,866.40
101.01
1.00%
4,040,312.00
9,500.00
0.69%
31,445.60
Aa1 / AA+
NR
0.90
0.81
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
3,003,091.74
100.65
1.50%
3,019,509.01
5,555.01
0.51%
16,417.27
Aaa / AA
NR
0.92
0.90
369550BE7 General Dynamics Corp Note
3.000% Due 05/11/2021
3,160,000.00 05/08/2018
3.24%
3,138,038.00
3,151,884.48
100.77
2.29%
3,184,313.04
36,866.67
0.55%
32,428.56
A2 / A
NR
1.11
1.08
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
2,496,694.28
100.03
2.06%
2,500,825.00
19,687.50
0.43%
4,130.72
Aa2 / AA
NR
1.13
1.02
61747WAL3 Morgan Stanley Note
5.500% Due 07/28/2021
2,800,000.00 06/06/2014
3.24%
3,200,848.00
2,874,350.84
103.83
2.54%
2,907,228.80
26,950.00
0.50%
32,877.96
A3 / BBB+
A
1.33
1.27
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
3,044,022.05
100.70
0.99%
3,066,177.98
6,948.52
0.52%
22,155.93
Aaa / AAA
AA+
1.36
1.26
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
2,951,168.38
100.29
1.68%
3,008,841.00
2,533.33
0.51%
57,672.62
A3 / A+
A-
1.46
1.35
404280BF5 HSBC Holdings PLC Note
2.650% Due 01/05/2022
4,500,000.00 Various
3.08%
4,429,980.00
4,468,032.47
99.86
2.73%
4,493,772.00
28,487.50
0.77%
25,739.53
A2 / A
A+
1.77
1.70
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
2,501,615.90
100.83
2.11%
2,520,787.50
9,750.00
0.43%
19,171.60
A1 / A
AA-
1.86
1.72
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
987,892.95
101.02
2.04%
1,010,220.00
3,208.33
0.17%
22,327.05
A2 / A
A+
1.88
1.75
084664BT7 Berkshire Hathaway Note
3.000% Due 05/15/2022
4,000,000.00 05/23/2017
2.30%
4,131,120.00
4,055,915.64
103.87
1.15%
4,154,908.00
45,333.33
0.71%
98,992.36
Aa2 / AA
A+
2.12
2.04
95000U2B8 Wells Fargo & Company Note
2.625% Due 07/22/2022
3,000,000.00 Various
2.99%
2,954,520.00
2,976,643.11
100.32
2.48%
3,009,729.00
15,093.76
0.51%
33,085.89
A2 / A-
A+
2.31
2.22
As of March 31, 2020
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
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
4,200,969.08
101.51
2.23%
4,231,910.21
49,275.26
0.73%
30,941.13
A3 / A
A
2.59
2.31
90331HNL3 US Bank NA Callable Note Cont 12/23/22
2.850% Due 01/23/2023
2,000,000.00 01/29/2018
2.93%
1,992,640.00
1,995,842.29
102.37
1.95%
2,047,448.00
10,766.67
0.35%
51,605.71
A1 / AA-
AA-
2.82
2.61
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
6,734,277.68
101.45
2.10%
6,847,706.25
32,793.75
1.17%
113,428.57
A2 / A
A
2.82
2.62
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
2,494,610.41
102.24
2.11%
2,555,877.50
12,701.39
0.44%
61,267.09
A1 / A
AA-
2.83
2.62
44932HAH6 IBM Credit Corp Note
3.000% Due 02/06/2023
5,670,000.00 Various
3.26%
5,603,264.40
5,630,751.09
103.48
1.74%
5,867,038.18
25,987.50
1.00%
236,287.09
A2 / A
NR
2.85
2.72
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
1,961,241.85
102.32
1.89%
2,046,302.00
2,700.00
0.35%
85,060.15
A3 / A
A
2.95
2.83
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
2,464,358.40
103.47
1.47%
2,586,757.50
3,055.56
0.44%
122,399.10
Aa2 / AA
A+
2.96
2.68
58933YAF2 Merck & Co Note
2.800% Due 05/18/2023
2,000,000.00 10/26/2018
3.41%
1,948,640.00
1,964,688.07
100.69
2.57%
2,013,830.00
20,688.89
0.34%
49,141.93
A1 / AA-
A+
3.13
2.95
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
4,872,681.53
102.63
1.78%
5,131,520.00
49,875.00
0.88%
258,838.47
A2 / A-
AA-
3.13
2.82
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
4,995,737.69
103.47
2.33%
5,173,685.01
54,930.56
0.89%
177,947.32
A2 / A
NR
3.19
2.91
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
3,458,759.50
104.54
1.62%
3,658,735.50
30,092.90
0.62%
199,976.00
Aa2 / AA
NR
3.23
2.83
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
3,879,347.31
106.06
1.43%
4,114,941.76
34,812.22
0.70%
235,594.45
Aa2 / AA
AA
3.24
2.98
02665WCJ8 American Honda Finance Note
3.450% Due 07/14/2023
845,000.00 07/11/2018
3.49%
843,538.15
844,039.06
101.27
3.04%
855,728.12
6,235.40
0.15%
11,689.06
A3 / A
NR
3.29
3.07
89114QC48 Toronto Dominion Bank Note
3.500% Due 07/19/2023
5,000,000.00 02/26/2019
3.04%
5,094,200.00
5,070,797.00
103.00
2.55%
5,150,020.00
35,000.00
0.88%
79,223.00
Aa1 / AA-
AA-
3.30
3.09
02665WCQ2 American Honda Finance Note
3.625% Due 10/10/2023
2,000,000.00 Various
3.64%
1,998,320.00
1,998,798.84
101.60
3.14%
2,032,056.00
34,437.50
0.35%
33,257.16
A3 / A
NR
3.53
3.24
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
1,250,172.28
105.43
2.05%
1,317,897.50
21,418.40
0.23%
67,725.22
A2 / A
A
3.53
3.26
As of March 31, 2020
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
06051GHF9 Bank of America Corp Callable Note 1X 3/5/2023
3.550% Due 03/05/2024
6,675,000.00 Various
3.01%
6,770,625.75
6,751,418.89
104.01
2.13%
6,942,727.58
17,113.96
1.18%
191,308.69
A2 / A-
A+
3.93
2.78
09247XAL5 Blackrock Inc Note
3.500% Due 03/18/2024
1,000,000.00 05/09/2019
2.69%
1,036,330.00
1,029,683.52
107.54
1.53%
1,075,399.00
1,263.89
0.18%
45,715.48
Aa3 / AA-
NR
3.97
3.71
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
5,021,142.86
104.91
1.59%
5,245,290.00
55,902.78
0.90%
224,147.14
A1 / A+
A+
4.12
3.70
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
3,014,564.01
106.26
1.22%
3,187,752.00
33,250.00
0.55%
173,187.99
Aa1 / AA+
NR
4.12
3.71
89114QCA4 Toronto Dominion Bank Note
2.650% Due 06/12/2024
3,000,000.00 06/12/2019
2.65%
3,000,570.00
3,000,478.80
101.58
2.25%
3,047,295.00
24,070.83
0.52%
46,816.20
Aa3 / A
AA-
4.20
3.93
02665WCZ2 American Honda Finance Note
2.400% Due 06/27/2024
1,219,000.00 07/10/2019
2.49%
1,213,843.63
1,214,594.89
98.56
2.76%
1,201,407.39
7,639.07
0.20%
(13,187.50)
A3 / A
NR
4.24
3.97
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
6,572,144.89
101.69
2.14%
6,609,616.00
34,531.25
1.13%
37,471.11
A2 / A
AA
4.30
4.03
46647PAU0 JP Morgan Chase & Co Callable Note 1X 7/23/2023
3.797% Due 07/23/2024
2,500,000.00 09/12/2019
2.35%
2,632,175.00
2,617,406.01
104.67
2.32%
2,616,725.00
17,930.28
0.45%
(681.01)
A2 / A-
AA-
4.32
3.96
90331HPL1 US Bank NA Callable Note Cont 12/21/2024
2.050% Due 01/21/2025
7,270,000.00 01/16/2020
2.10%
7,254,514.90
7,255,116.67
99.26
2.21%
7,216,463.72
28,979.03
1.23%
(38,652.95)
A1 / AA-
AA-
4.81
4.53
TOTAL Corporate 136,733,000.00 2.82%
137,045,435.90
136,813,773.01 2.02%
139,691,047.55
921,220.22
23.82%
2,877,274.54
A1 / A+
A+
2.76
2.52
Money Market Fund FI
31846V567 First American Govt Obligation MMKT Class-Z 10,358,060.78 Various
0.39%
10,358,060.78
10,358,060.78
1.00
0.39%
10,358,060.78
0.00
1.75%
0.00
P-1 / A-1+
F-1
0.00
0.00
TOTAL Money Market Fund FI 10,358,060.78 0.39%
10,358,060.78
10,358,060.78 0.39%
10,358,060.78
0.00
1.75%
0.00
Aaa / AAA
AA
0.00
0.00
Mortgage Pass Thru
31381PDA3 FNMA FN 466397
3.400% Due 11/01/2020
332,913.33 12/01/2010
3.80%
325,708.90
332,487.20
100.11
2.93%
333,294.85
220.09
0.06%
807.65
Aaa / AA+
AAA
0.59
0.62
36225CAZ9 GNMA Pool# G2 80023
3.030% Due 12/20/2026
13,965.00 08/08/1997
2.92%
14,196.28
14,018.00
102.97
1.34%
14,379.76
35.26
0.00%
361.76
Aaa / AA+
AAA
6.73
2.83
36225CC20 GNMA Pool# G2 80088
3.410% Due 06/20/2027
11,624.24 08/11/1997
3.27%
11,878.53
11,685.79
100.80
1.28%
11,717.68
33.03
0.00%
31.89
Aaa / AA+
AAA
7.22
1.65
As of March 31, 2020
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
31348SWZ3 FHLMC FH 786064
3.887% Due 01/01/2028
1,728.76 02/18/2000
4.09%
1,686.67
1,717.05
100.84
2.04%
1,743.32
5.60
0.00%
26.27
Aaa / AA+
AAA
7.76
3.62
31371NUC7 FNMA FN 257179
4.500% Due 04/01/2028
12,976.82 12/05/2011
3.72%
13,724.27
13,343.58
107.48
1.22%
13,947.19
48.66
0.00%
603.61
Aaa / AA+
AAA
8.01
2.66
31417YAY3 FNMA Pool# FN MA0022
4.500% Due 04/01/2029
14,568.06 12/05/2011
3.76%
15,407.16
15,004.47
107.76
1.33%
15,698.93
54.63
0.00%
694.46
Aaa / AA+
AAA
9.01
2.81
3138EG6F6 FNMA FN AL0869
4.500% Due 06/01/2029
8,964.57 12/05/2011
3.77%
9,480.93
9,235.50
107.79
1.39%
9,662.74
7.84
0.00%
427.24
Aaa / AA+
AAA
9.18
2.86
36225CNM4 GNMA Pool# G2 80395
3.410% Due 04/20/2030
5,739.04 03/15/2000
3.49%
5,687.00
5,721.55
103.36
1.31%
5,931.95
16.31
0.00%
210.40
Aaa / AA+
AAA
10.06
2.94
36225CN28 GNMA Pool# G2 80408
3.410% Due 05/20/2030
44,785.21 03/15/2000
3.49%
44,330.36
44,631.52
103.36
1.36%
46,289.14
127.26
0.01%
1,657.62
Aaa / AA+
AAA
10.14
3.30
31403GXF4 FNMA Pool# FN 748678
5.000% Due 10/01/2033
1,726.62 06/10/2013
4.16%
1,856.12
1,813.11
109.76
1.51%
1,895.21
7.19
0.00%
82.10
Aaa / AA+
AAA
13.51
3.38
36225DCB8 GNMA Pool# G2 80965
3.230% Due 07/20/2034
40,310.80 07/19/2004
3.24%
40,285.62
40,298.76
103.49
1.29%
41,717.16
108.50
0.01%
1,418.40
Aaa / AA+
AAA
14.31
3.46
31406XWT5 FNMA Pool# FN 823358
3.640% Due 02/01/2035
96,005.32 01/11/2006
3.71%
95,255.27
95,621.87
100.85
1.96%
96,818.87
291.21
0.02%
1,197.00
Aaa / AA+
AAA
14.85
3.20
31406PQY8 FNMA Pool# FN 815971
5.000% Due 03/01/2035
131,227.78 06/10/2013
4.21%
141,069.88
138,014.70
110.90
1.91%
145,525.44
546.78
0.02%
7,510.74
Aaa / AA+
AAA
14.93
3.58
31407BXH7 FNMA Pool# FN 826080
5.000% Due 07/01/2035
17,200.21 06/10/2013
4.22%
18,490.23
18,095.87
111.13
1.91%
19,114.30
71.67
0.00%
1,018.43
Aaa / AA+
AAA
15.26
3.58
31376KT22 FNMA FN 357969
5.000% Due 09/01/2035
87,807.63 06/10/2013
4.22%
94,393.19
92,395.44
111.31
1.95%
97,740.17
85.37
0.02%
5,344.73
Aaa / AA+
AAA
15.43
3.63
31403DJZ3 FNMA Pool #745580
5.000% Due 06/01/2036
83,766.31 06/10/2013
4.26%
90,048.78
88,205.46
111.21
1.96%
93,159.03
349.03
0.02%
4,953.57
Aaa / AA+
AAA
16.18
3.64
31410F4V4 FNMA Pool# FN 888336
5.000% Due 07/01/2036
164,301.50 06/10/2013
4.25%
176,624.13
173,021.52
111.23
1.95%
182,748.45
684.59
0.03%
9,726.93
Aaa / AA+
AAA
16.26
3.62
TOTAL Mortgage Pass Thru 1,069,611.20 3.95%
1,100,123.32
1,095,311.39 2.14%
1,131,384.19
2,693.02
0.19%
36,072.80
Aaa / AA+
Aaa
10.41
2.62
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
101.71
1.12%
1,423,996.00
23,770.83
0.25%
23,996.00
Aa1 / AAA
AAA
0.59
0.57
As of March 31, 2020
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
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
104.45
1.03%
417,808.00
7,608.44
0.07%
17,808.00
Aa3 / AA-
AA-
1.12
1.08
TOTAL Municipal Bonds 1,800,000.00 4.29%
1,800,000.00
1,800,000.00 1.10%
1,841,804.00
31,379.27
0.32%
41,804.00
Aa1 / AAA
Aaa
0.71
0.69
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
3,034,738.09
100.16
0.26%
3,039,728.53
19,042.52
0.52%
4,990.44
Aaa / AAA
AAA
0.12
0.11
45950KCM0 International Finance Corp Note
2.250% Due 01/25/2021
2,970,000.00 01/18/2018
2.35%
2,961,268.20
2,967,617.88
101.40
0.53%
3,011,609.70
12,251.25
0.51%
43,991.82
Aaa / AAA
NR
0.82
0.81
4581X0CS5 Inter-American Dev Bank Note
1.875% Due 03/15/2021
5,000,000.00 Various
1.69%
5,059,610.00
5,008,678.46
101.30
0.51%
5,064,955.00
4,166.67
0.86%
56,276.54
Aaa / AAA
AAA
0.96
0.95
45950KCJ7 International Finance Corp Note
1.125% Due 07/20/2021
2,500,000.00 11/09/2016
1.64%
2,441,600.00
2,483,806.19
100.71
0.58%
2,517,660.00
5,546.88
0.43%
33,853.81
Aaa / AAA
NR
1.30
1.29
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
2,998,672.33
102.84
0.54%
3,085,179.00
12,927.08
0.52%
86,506.67
Aaa / NR
AAA
1.80
1.76
459058FY4 Intl. Bank Recon & Development Note
2.000% Due 01/26/2022
10,000,000.00 Various
1.99%
10,006,350.00
10,001,746.77
102.56
0.58%
10,256,300.00
36,111.12
1.74%
254,553.23
Aaa / NR
AAA
1.82
1.79
4581X0CZ9 Inter-American Dev Bank Note
1.750% Due 09/14/2022
6,500,000.00 Various
2.65%
6,249,655.00
6,365,598.39
102.99
0.52%
6,694,571.00
5,371.52
1.13%
328,972.61
Aaa / AAA
AAA
2.46
2.40
TOTAL Supranational 33,005,000.00 2.07%
32,742,600.25
32,860,858.11 0.52%
33,670,003.23
95,417.04
5.72%
809,145.12
Aaa / AAA
Aaa
1.53
1.50
US Treasury
912828L99 US Treasury Note
1.375% Due 10/31/2020
7,000,000.00 Various
1.81%
6,895,217.98
6,983,046.35
100.72
0.14%
7,050,316.00
40,456.73
1.20%
67,269.65
Aaa / AA+
AAA
0.59
0.58
912828N89 US Treasury Note
1.375% Due 01/31/2021
6,000,000.00 Various
1.81%
5,895,840.41
5,979,012.11
101.09
0.06%
6,065,628.00
13,825.55
1.03%
86,615.89
Aaa / AA+
AAA
0.84
0.83
912828T34 US Treasury Note
1.125% Due 09/30/2021
7,000,000.00 Various
1.88%
6,757,914.08
6,924,528.50
101.38
0.21%
7,096,250.00
215.16
1.20%
171,721.50
Aaa / AA+
AAA
1.50
1.49
912828T67 US Treasury Note
1.250% Due 10/31/2021
6,000,000.00 12/13/2016
1.92%
5,813,691.98
5,939,570.13
101.67
0.19%
6,100,314.00
31,524.73
1.04%
160,743.87
Aaa / AA+
AAA
1.59
1.56
912828U65 US Treasury Note
1.750% Due 11/30/2021
7,000,000.00 12/28/2016
2.06%
6,900,492.20
6,966,332.36
102.57
0.20%
7,180,194.00
41,168.03
1.22%
213,861.64
Aaa / AA+
AAA
1.67
1.64
912828V72 US Treasury Note
1.875% Due 01/31/2022
3,000,000.00 02/27/2017
1.84%
3,004,814.74
3,001,794.15
103.04
0.22%
3,091,056.00
9,426.51
0.53%
89,261.85
Aaa / AA+
AAA
1.84
1.81
As of March 31, 2020
46
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
912828J76 US Treasury Note
1.750% Due 03/31/2022
5,000,000.00 04/25/2017
1.85%
4,976,383.94
4,990,435.50
103.06
0.21%
5,153,125.00
239.07
0.87%
162,689.50
Aaa / AA+
AAA
2.00
1.97
912828XW5 US Treasury Note
1.750% Due 06/30/2022
5,000,000.00 07/25/2017
1.86%
4,973,454.25
4,987,906.94
103.44
0.22%
5,171,875.00
22,115.38
0.88%
183,968.06
Aaa / AA+
AAA
2.25
2.21
912828L24 US Treasury Note
1.875% Due 08/31/2022
6,000,000.00 09/27/2017
1.92%
5,987,832.60
5,994,031.34
103.92
0.25%
6,235,080.00
9,782.61
1.06%
241,048.66
Aaa / AA+
AAA
2.42
2.37
912828L57 US Treasury Note
1.750% Due 09/30/2022
16,000,000.00 Various
1.98%
15,822,656.25
15,911,876.67
103.72
0.26%
16,595,632.00
765.02
2.81%
683,755.33
Aaa / AA+
AAA
2.50
2.45
912828M80 US Treasury Note
2.000% Due 11/30/2022
8,000,000.00 12/22/2017
2.25%
7,907,500.00
7,949,998.61
104.57
0.28%
8,365,312.00
53,770.49
1.43%
415,313.39
Aaa / AA+
AAA
2.67
2.59
912828N30 US Treasury Note
2.125% Due 12/31/2022
5,000,000.00 01/24/2018
2.44%
4,926,562.50
4,959,060.94
105.07
0.27%
5,253,515.00
26,854.40
0.89%
294,454.06
Aaa / AA+
AAA
2.75
2.67
9128284D9 US Treasury Note
2.500% Due 03/31/2023
10,000,000.00 Various
2.75%
9,887,265.63
9,931,623.11
106.60
0.29%
10,659,770.00
683.06
1.81%
728,146.89
Aaa / AA+
AAA
3.00
2.91
912828R69 US Treasury Note
1.625% Due 05/31/2023
5,000,000.00 05/30/2018
2.67%
4,757,226.56
4,846,438.49
104.16
0.30%
5,208,205.00
27,305.33
0.89%
361,766.51
Aaa / AA+
AAA
3.17
3.08
912828U57 US Treasury Note
2.125% Due 11/30/2023
15,000,000.00 Various
2.53%
14,723,632.81
14,790,374.55
106.59
0.32%
15,988,470.00
107,120.90
2.73%
1,198,095.45
Aaa / AA+
AAA
3.67
3.52
912828V80 US Treasury Note
2.250% Due 01/31/2024
7,500,000.00 Various
2.27%
7,491,503.91
7,493,184.02
107.33
0.32%
8,049,900.00
28,279.53
1.37%
556,715.98
Aaa / AA+
AAA
3.84
3.68
912828W48 US Treasury Note
2.125% Due 02/29/2024
10,000,000.00 04/24/2019
2.32%
9,911,718.75
9,928,766.85
106.96
0.33%
10,696,090.00
18,478.26
1.81%
767,323.15
Aaa / AA+
AAA
3.92
3.77
912828WJ5 US Treasury Note
2.500% Due 05/15/2024
7,000,000.00 06/10/2019
1.91%
7,193,046.88
7,161,408.64
108.80
0.35%
7,616,329.00
66,346.15
1.30%
454,920.36
Aaa / AA+
AAA
4.13
3.91
912828XX3 US Treasury Note
2.000% Due 06/30/2024
5,000,000.00 07/12/2019
1.88%
5,028,710.94
5,024,575.42
106.92
0.36%
5,345,900.00
25,274.73
0.91%
321,324.58
Aaa / AA+
AAA
4.25
4.08
912828WU0 US Treasury Inflation Index Note
0.125% Due 07/15/2024
11,297,624.00 Various
0.23%
11,184,851.19
11,249,066.89
100.21
0.08%
11,321,721.82
2,987.38
1.92%
72,654.93
Aaa / AA+
AAA
4.29
4.28
912828YH7 US Treasury Note
1.500% Due 09/30/2024
14,000,000.00 Various
1.72%
13,859,296.88
13,867,698.96
105.08
0.36%
14,710,934.00
573.77
2.49%
843,235.04
Aaa / AA+
AAA
4.50
4.36
9128283J7 US Treasury Note
2.125% Due 11/30/2024
16,500,000.00 Various
1.76%
16,783,886.72
16,767,558.49
108.10
0.37%
17,836,764.00
117,832.99
3.04%
1,069,205.51
Aaa / AA+
AAA
4.67
4.44
TOTAL US Treasury 182,297,624.00 1.97%
180,683,501.20
181,648,289.02 0.27%
190,792,380.82
645,025.78
32.43%
9,144,091.80
Aaa / AA+
Aaa
3.12
3.02
TOTAL PORTFOLIO 567,322,758.63 2.23%
567,269,867.54
568,145,180.72 0.89%
587,824,746.37
2,513,864.00
100.00%
19,679,565.65
Aa1 / AA
Aaa
2.74
2.47
TOTAL MARKET VALUE PLUS ACCRUALS 590,338,610.37
As of March 31, 2020
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
Agency
313384WG0 FHLB Discount Note
1.570% Due 05/01/2020
3,000,000.00 01/30/2020
1.60%
2,988,094.17
2,996,075.00
99.87
1.60%
2,996,075.00
0.00
2.64%
0.00
P-1 / A-1+
F-1+
0.08
0.08
TOTAL Agency 3,000,000.00 1.60%
2,988,094.17
2,996,075.00 1.60%
2,996,075.00
0.00
2.64%
0.00
Aaa / AAA
Aaa
0.08
0.08
Commercial Paper
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
1,363,343.04
99.88
1.94%
1,363,343.04
0.00
1.20%
0.00
P-1 / A-1
NR
0.07
0.07
TOTAL Commercial Paper 1,365,000.00 1.94%
1,353,689.46
1,363,343.04 1.94%
1,363,343.04
0.00
1.20%
0.00
P-1 / A-1
NR
0.07
0.07
Corporate
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
2,000,153.13
99.98
2.51%
1,999,680.00
20,000.00
1.78%
(473.13)
A2 / A-
A+
0.06
0.06
369550BA5 General Dynamics Corp Note
2.875% Due 05/11/2020
2,000,000.00 08/13/2019
2.10%
2,011,340.00
2,001,680.00
100.07
2.23%
2,001,380.00
22,361.11
1.78%
(300.00)
A2 / A
NR
0.11
0.11
747525AD5 Qualcomm Inc Note
2.250% Due 05/20/2020
2,000,000.00 08/07/2019
2.07%
2,002,700.00
2,000,464.21
99.99
2.33%
1,999,740.00
16,375.00
1.78%
(724.21)
A2 / A-
NR
0.14
0.14
TOTAL Corporate 6,000,000.00 2.09%
6,016,000.00
6,002,297.34 2.36%
6,000,800.00
58,736.11
5.34%
(1,497.34)
A2 / A-
A+
0.10
0.10
Money Market Fund FI
31846V567 First American Govt Obligation MMKT Class-Z 25,920,022.92 Various
0.39%
25,920,022.92
25,920,022.92
1.00
0.39%
25,920,022.92
0.00
22.84%
0.00
P-1 / A-1+
F-1
0.00
0.00
TOTAL Money Market Fund FI 25,920,022.92 0.39%
25,920,022.92
25,920,022.92 0.39%
25,920,022.92
0.00
22.84%
0.00
Aaa / AAA
AA
0.00
0.00
Negotiable CD
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
5,197.50
0.89%
0.00
P-1 / A-1
F-1+
0.14
0.14
TOTAL Negotiable CD 1,000,000.00 1.89%
1,000,000.00
1,000,000.00 1.89%
1,000,000.00
5,197.50
0.89%
0.00
Aaa / AA
Aaa
0.14
0.14
As of March 31, 2020
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
US Treasury
912796TQ2 US Treasury Bill
1.478% Due 04/09/2020
4,000,000.00 02/27/2020
1.50%
3,993,265.98
3,998,686.04
99.97
1.50%
3,998,686.04
0.00
3.52%
0.00
P-1 / A-1+
F-1+
0.02
0.02
9127962B4 US Treasury Bill
0.972% Due 04/14/2020
3,500,000.00 03/04/2020
0.99%
3,496,221.94
3,498,772.13
99.96
0.99%
3,498,772.13
0.00
3.08%
0.00
P-1 / A-1+
F-1+
0.04
0.04
912828VJ6 US Treasury Note
1.875% Due 06/30/2020
15,000,000.00 12/20/2019
1.59%
15,022,265.63
15,010,546.88
100.44
0.11%
15,066,165.00
71,085.16
13.34%
55,618.12
Aaa / AA+
AAA
0.25
0.25
912828XH8 US Treasury Note
1.625% Due 06/30/2020
5,000,000.00 01/29/2020
1.56%
5,001,367.19
5,000,809.52
100.38
0.11%
5,018,970.00
20,535.71
4.44%
18,160.48
Aaa / AA+
AAA
0.25
0.25
912828XY1 US Treasury Note
2.500% Due 06/30/2020
11,000,000.00 Various
1.60%
11,046,640.63
11,024,219.64
100.60
0.12%
11,065,516.00
69,505.50
9.81%
41,296.36
Aaa / AA+
AAA
0.25
0.25
912828VV9 US Treasury Note
2.125% Due 08/31/2020
15,000,000.00 12/20/2019
1.64%
15,049,804.69
15,030,040.92
100.83
0.12%
15,124,800.00
27,717.39
13.35%
94,759.08
Aaa / AA+
AAA
0.42
0.42
912828L32 US Treasury Note
1.375% Due 08/31/2020
15,000,000.00 Various
1.61%
14,977,929.69
14,985,506.89
100.53
0.10%
15,079,680.00
17,934.78
13.30%
94,173.11
Aaa / AA+
AAA
0.42
0.42
9128284Y3 US Treasury Note
2.625% Due 08/31/2020
7,000,000.00 01/30/2020
1.57%
7,042,382.81
7,030,245.01
101.04
0.12%
7,072,737.00
15,978.26
6.25%
42,491.99
Aaa / AA+
AAA
0.42
0.42
TOTAL US Treasury 75,500,000.00 1.57%
75,629,878.56
75,578,827.03 0.23%
75,925,326.17
222,756.80
67.10%
346,499.14
Aaa / AA+
Aaa
0.31
0.31
TOTAL PORTFOLIO 112,785,022.92 1.34%
112,907,685.11
112,860,565.33 0.45%
113,205,567.13
286,690.41
100.00%
345,001.80
Aaa / AA+
Aaa
0.22
0.22
TOTAL MARKET VALUE PLUS ACCRUALS 113,492,257.54
As of March 31, 2020
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 03/31/2020
60,641.49 11/21/2014
0.00%
57,842.64
57,842.64
0.42
0.00%
25,621.03
0.00
48.41%
(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
48.41%
(32,221.61)
NR / NR
NR
0.00
0.00
Corporate
525ESCIB7 Lehman Brothers Note-Defaulted
0.000% Due 01/24/2021
600,000.00 09/19/2008
0.00%
319,005.35
319,005.35
1.05
0.00%
6,300.00
0.00
11.90%
(312,705.35)
NR / NR
NR
0.82
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
1.05
0.00%
21,000.00
0.00
39.68%
(1,006,939.99)
NR / NR
NR
29.58
0.00
TOTAL Corporate 2,600,000.00 0.00%
1,346,945.34
1,346,945.34 0.00%
27,300.00
0.00
51.59%
(1,319,645.34)
NR / NR
NR
22.94
0.00
TOTAL PORTFOLIO 2,660,641.49 0.00%
1,404,787.98
1,404,787.98 0.00%
52,921.03
0.00
100.00%
(1,351,866.95)
NR / NR
NR
11.84
0.00
TOTAL MARKET VALUE PLUS ACCRUALS 52,921.03
As of March 31, 2020
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 01/10/2020 3135G0X24 4,340,000.00 FNMA Note
1.625% Due: 01/07/2025
99.681 1.69% 4,326,155.40 0.00 4,326,155.40 0.00
Purchase 01/21/2020 90331HPL1 7,270,000.00 US Bank NA Callable Note Cont 12/21/2024
2.05% Due: 01/21/2025
99.787 2.10% 7,254,514.90 0.00 7,254,514.90 0.00
Purchase 01/29/2020 58770FAC6 2,050,000.00 Mercedes Benz Auto Lease Trust 2020-A A3
1.84% Due: 12/15/2022
99.987 1.87% 2,049,729.81 0.00 2,049,729.81 0.00
Purchase 02/14/2020 3137EAEP0 6,335,000.00 FHLMC Note
1.5% Due: 02/12/2025
99.923 1.52% 6,330,122.05 0.00 6,330,122.05 0.00
Purchase 03/05/2020 3137EAEP0 6,000,000.00 FHLMC Note
1.5% Due: 02/12/2025
103.001 0.88% 6,180,060.00 5,250.00 6,185,310.00 0.00
Purchase 03/20/2020 3130A4CH3 5,225,000.00 FHLB Note
2.375% Due: 03/14/2025
105.777 1.18% 5,526,848.25 2,068.23 5,528,916.48 0.00
Purchase 03/25/2020 3135G0X24 5,660,000.00 FNMA Note
1.625% Due: 01/07/2025
103.035 0.97% 5,831,781.00 19,161.46 5,850,942.46 0.00
Subtotal 36,880,000.00 37,499,211.41 26,479.69 37,525,691.10 0.00
Security
Contribution
03/31/2020 912828WU0 41,912.00 US Treasury Inflation Index Note
0.125% Due: 07/15/2024
100.000 41,912.00 10.94 41,922.94 0.00
Subtotal 41,912.00 41,912.00 10.94 41,922.94 0.00
TOTAL ACQUISITIONS 36,921,912.00 37,541,123.41 26,490.63 37,567,614.04 0.00
DISPOSITIONS
Sale 01/17/2020 9128283S7 5,000,000.00 US Treasury Note
2% Due: 01/31/2020
100.020 1.62% 5,000,976.56 46,195.65 5,047,172.21 275.44
Sale 01/21/2020 90331HNL3 3,000,000.00 US Bank NA Callable Note Cont 12/23/22
2.85% Due: 01/23/2023
102.827 2.93% 3,084,810.00 42,275.00 3,127,085.00 91,477.72
December 31, 2019 through March 31, 2020
As of March 31, 2020
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
Sale 01/31/2020 912828L57 4,000,000.00 US Treasury Note
1.75% Due: 09/30/2022
100.973 1.95% 4,038,906.25 23,524.59 4,062,430.84 62,410.63
Sale 01/31/2020 912828L99 3,000,000.00 US Treasury Note
1.375% Due: 10/31/2020
99.863 1.77% 2,995,898.44 10,425.82 3,006,324.26 5,245.11
Sale 02/14/2020 313383HU8 1,000,000.00 FHLB Note
1.75% Due: 06/12/2020
100.063 1.71% 1,000,630.00 3,013.89 1,003,643.89 509.25
Sale 02/14/2020 912828XE5 5,000,000.00 US Treasury Note
1.5% Due: 05/31/2020
99.969 1.70% 4,998,437.50 15,573.77 5,014,011.27 1,297.96
Subtotal 21,000,000.00 21,119,658.75 141,008.72 21,260,667.47 161,216.11
Maturity 03/05/2020 40428HPR7 2,500,000.00 HSBC USA Inc Note
2.35% Due: 03/05/2020
100.000 2,500,000.00 0.00 2,500,000.00 0.00
Maturity 03/18/2020 06367BDS5 8,000,000.00 Bank of Montreal Chicago Yankee CD
2% Due: 03/18/2020
100.000 8,000,000.00 40,444.45 8,040,444.45 0.00
Subtotal 10,500,000.00 10,500,000.00 40,444.45 10,540,444.45 0.00
Security
Withdrawal
01/31/2020 912828WU0 4,992.00 US Treasury Inflation Index Note
0.125% Due: 07/15/2024
99.860 0.14% 4,992.00 0.27 4,992.27 22.37
Security
Withdrawal
02/29/2020 912828WU0 10,088.00 US Treasury Inflation Index Note
0.125% Due: 07/15/2024
99.860 0.14% 10,088.00 1.56 10,089.56 44.42
Subtotal 15,080.00 15,080.00 1.83 15,081.83 66.79
TOTAL DISPOSITIONS 31,515,080.00 31,634,738.75 181,455.00 31,816,193.75 161,282.90
December 31, 2019 through March 31, 2020
As of March 31, 2020
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 01/10/2020 822582BG6 1,000,000.00 Shell International Fin Note
2.125% Due: 05/11/2020
100.123 1.75% 1,001,230.00 3,482.64 1,004,712.64 0.00
Purchase 01/17/2020 912828L32 5,000,000.00 US Treasury Note
1.375% Due: 08/31/2020
99.859 1.60% 4,992,968.75 26,253.43 5,019,222.18 0.00
Purchase 01/17/2020 912828XY1 5,000,000.00 US Treasury Note
2.5% Due: 06/30/2020
100.414 1.58% 5,020,703.13 5,837.91 5,026,541.04 0.00
Purchase 01/30/2020 912828L32 5,000,000.00 US Treasury Note
1.375% Due: 08/31/2020
99.879 1.58% 4,993,945.31 28,708.79 5,022,654.10 0.00
Purchase 01/30/2020 912828XH8 5,000,000.00 US Treasury Note
1.625% Due: 06/30/2020
100.027 1.56% 5,001,367.19 6,696.43 5,008,063.62 0.00
Purchase 01/31/2020 313384WG0 3,000,000.00 FHLB Discount Note
1.57% Due: 05/01/2020
99.603 1.60% 2,988,094.17 0.00 2,988,094.17 0.00
Purchase 01/31/2020 912796TG4 2,000,000.00 US Treasury Bill
1.51% Due: 02/20/2020
99.916 1.53% 1,998,322.22 0.00 1,998,322.22 0.00
Purchase 01/31/2020 912796XA2 2,000,000.00 US Treasury Bill
1.523% Due: 03/10/2020
99.835 1.55% 1,996,701.25 0.00 1,996,701.25 0.00
Purchase 01/31/2020 9128284Y3 7,000,000.00 US Treasury Note
2.625% Due: 08/31/2020
100.605 1.57% 7,042,382.81 77,235.58 7,119,618.39 0.00
Purchase 01/31/2020 912828XY1 1,000,000.00 US Treasury Note
2.5% Due: 06/30/2020
100.387 1.56% 1,003,867.19 2,129.12 1,005,996.31 0.00
Purchase 02/26/2020 912796XB0 5,000,000.00 US Treasury Bill
1.546% Due: 03/17/2020
99.914 1.57% 4,995,705.56 0.00 4,995,705.56 0.00
Purchase 02/28/2020 912796TQ2 4,000,000.00 US Treasury Bill
1.478% Due: 04/09/2020
99.832 1.50% 3,993,265.98 0.00 3,993,265.98 0.00
Purchase 03/05/2020 9127962B4 3,500,000.00 US Treasury Bill
0.972% Due: 04/14/2020
99.892 0.99% 3,496,221.94 0.00 3,496,221.94 0.00
Subtotal 48,500,000.00 48,524,775.50 150,343.90 48,675,119.40 0.00
TOTAL ACQUISITIONS 48,500,000.00 48,524,775.50 150,343.90 48,675,119.40 0.00
December 31, 2019 through March 31, 2020
As of March 31, 2020
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
DISPOSITIONS
Sale 01/30/2020 822582BG6 1,000,000.00 Shell International Fin Note
2.125% Due: 05/11/2020
100.107 1.75% 1,001,070.00 4,663.19 1,005,733.19 41.64
Subtotal 1,000,000.00 1,001,070.00 4,663.19 1,005,733.19 41.64
Call 02/03/2020 06406HCZ0 2,000,000.00 Bank of New York Callable Note Cont 1/24/2020
2.15% Due: 02/24/2020
100.000 2.40% 2,000,000.00 18,991.67 2,018,991.67 418.28
Subtotal 2,000,000.00 2,000,000.00 18,991.67 2,018,991.67 418.28
Maturity 01/02/2020 912796RT8 7,500,000.00 US Treasury Bill
1.486% Due: 01/02/2020
100.000 7,500,000.00 0.00 7,500,000.00 0.00
Maturity 01/07/2020 912796WM7 7,500,000.00 US Treasury Bill
1.498% Due: 01/07/2020
100.000 7,500,000.00 0.00 7,500,000.00 0.00
Maturity 01/14/2020 313384RU5 1,200,000.00 FHLB Discount Note
1.57% Due: 01/14/2020
100.000 1,200,000.00 0.00 1,200,000.00 0.00
Maturity 01/15/2020 69372AAF9 1,100,000.00 Paccar Financial Discount CP
1.85% Due: 01/15/2020
99.543 1,100,000.00 0.00 1,100,000.00 0.00
Maturity 01/17/2020 89233GAH9 2,000,000.00 Toyota Motor Credit Discount CP
2.56% Due: 01/17/2020
98.094 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 01/23/2020 313384SD2 5,000,000.00 FHLB Discount Note
1.57% Due: 01/23/2020
100.000 5,000,000.00 0.00 5,000,000.00 0.00
Maturity 01/23/2020 89114M2Z9 2,000,000.00 Toronto Dominion Bank Yankee CD
2.2% Due: 01/23/2020
100.000 2,000,000.00 22,366.67 2,022,366.67 0.00
Maturity 01/29/2020 313384SK6 4,500,000.00 FHLB Discount Note
1.565% Due: 01/29/2020
100.000 4,500,000.00 0.00 4,500,000.00 0.00
Maturity 01/30/2020 912796RY7 21,000,000.00 US Treasury Bill
1.72% Due: 01/30/2020
100.000 21,000,000.00 0.00 21,000,000.00 0.00
Maturity 01/30/2020 94974BGF1 1,000,000.00 Wells Fargo Corp Note
2.15% Due: 01/30/2020
100.000 1,000,000.00 0.00 1,000,000.00 0.00
Maturity 01/31/2020 9128283S7 30,000,000.00 US Treasury Note
2% Due: 01/31/2020
100.000 30,000,000.00 0.00 30,000,000.00 0.00
Maturity 01/31/2020 912828H52 13,500,000.00 US Treasury Note
1.25% Due: 01/31/2020
100.000 13,500,000.00 0.00 13,500,000.00 0.00
December 31, 2019 through March 31, 2020
As of March 31, 2020
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 01/31/2020 912828UL2 5,000,000.00 US Treasury Note
1.375% Due: 01/31/2020
100.000 5,000,000.00 0.00 5,000,000.00 0.00
Maturity 02/15/2020 912828MP2 5,000,000.00 US Treasury Note
3.625% Due: 02/15/2020
100.000 5,000,000.00 0.00 5,000,000.00 0.00
Maturity 02/20/2020 912796TG4 2,000,000.00 US Treasury Bill
1.51% Due: 02/20/2020
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 03/02/2020 78012KC62 2,000,000.00 Royal Bank of Canada Note
2.125% Due: 03/02/2020
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 03/05/2020 40428HPR7 2,500,000.00 HSBC USA Inc Note
2.35% Due: 03/05/2020
100.000 2,500,000.00 0.00 2,500,000.00 0.00
Maturity 03/05/2020 912796TH2 7,500,000.00 US Treasury Bill
1.532% Due: 03/05/2020
100.000 7,500,000.00 0.00 7,500,000.00 0.00
Maturity 03/10/2020 912796XA2 2,000,000.00 US Treasury Bill
1.523% Due: 03/10/2020
100.000 2,000,000.00 0.00 2,000,000.00 0.00
Maturity 03/17/2020 912796XB0 5,000,000.00 US Treasury Bill
1.546% Due: 03/17/2020
100.000 5,000,000.00 0.00 5,000,000.00 0.00
Maturity 03/18/2020 06367BDS5 1,000,000.00 Bank of Montreal Chicago Yankee CD
2% Due: 03/18/2020
100.000 1,000,000.00 5,055.56 1,005,055.56 0.00
Subtotal 128,300,000.00 128,300,000.00 27,422.23 128,327,422.23 0.00
TOTAL DISPOSITIONS 131,300,000.00
131,301,070.0
0 51,077.09 131,352,147.09 459.92
December 31, 2019 through March 31, 2020
As of March 31, 2020
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 March 31, 2020
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 March 31, 2020
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
April 30, 2020
STAFF REPORT
Certificates of Participation (COP) Quarterly Report
for the Period Ended March 31, 2020
Summary
The Orange County Sanitation District (OCSD) began issuing Certificates of
Participation (COPs) in 1990. These COPs were a part of our long-term financing plan
that included both variable interest rate and traditional fixed rate borrowing. Following
are the current outstanding debt issues of OCSD:
In May 2010, OCSD issued $80 million of fixed rate BABs, Series 2010A at a true
interest cost of 3.68 percent for the issue.
In December 2010, OCSD issued $157 million of fixed rate BABs, Series 2010C at a
true interest cost of 4.11 percent for the issue.
In October 2011, OCSD issued $147.595 million of fixed rate COPs, Series 2011A
refunding a portion of the Series 2000 variable rate debt and a portion of the Series
2003 fixed rate debt. The true interest cost for the issue is 2.61 percent.
In March 2012, OCSD issued $100.645 million of fixed rate COPs, Series 2012A
refunding the Series 2003 fixed rate debt. The true interest cost for the issue is 3.54
percent.
In August 2012, OCSD issued $66.395 million of fixed rate COPs, Series 2012B
refunding the Series 2000 variable rate debt. The true interest cost for the issue is 1.50
percent.
With the issuance of Series 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.
Quarterly COP Report
For the Period Ended March 31, 2020
Page 2 of 2
In February 2015, OCSD issued $127.51 million of fixed rate COPs, Series 2015A,
refunding $152.99 million of the Series 2007B debt. The true interest cost for the issue
is 3.30 percent.
In March 2016, the OCSD issued $145.88 million of fixed rate CANs, Series 2016A,
refunding $162.78 million of the Series 2009A fixed rate debt. The true interest cost for
the issue is 3.02 percent.
In February 2017, OCSD issued $66.37 million of fixed rate COPs, Series 2017A,
refunding $91.885 million of the Series 2007A debt. The true interest cost for the issue
is 2.55 percent.
In November 2018, OCSD issued $102.2 million of fixed rate CANs, Series 2018A,
refunding the Series 2016B CANs. The true interest cost for the issue is 2.02 percent.
Additional Information
The graph entitled, "OCSD COP Rate History Report,” shows the various fixed interest
rates of the OCSD’s ten debt issues.
Attachment
1. Graph - OCSD COP Rate History Report
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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1
9
27
-
N
o
v
-
1
9
11
-
D
e
c
-
1
9
25
-
D
e
c
-
1
9
8-
J
a
n
-
2
0
22
-
J
a
n
-
2
0
5-
F
e
b
-
2
0
19
-
F
e
b
-
2
0
4-
M
a
r
-
2
0
18
-
M
a
r
-
2
0
RA
T
E
(
%
)
DATE
OCSD COP RATE HISTORY REPORT
MARCH 2020
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 Third Quarter Financial Report
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