For the Month Ending CITY OF HAYWARD January 31, 2017 Statement.pdf0 - 6 Months6 - 12 Months1 - 2...

CITY OF HAYWARD

ACCOUNT STATEMENT

For the Month Ending

January 31, 2017

Customer Service

PO Box 11813

Harrisburg, PA 17108-1813

Contents

Cover/Disclosures

Summary Statement

Individual Accounts

CITY OF HAYWARD

DIRECTOR OF FINANCE

777 B ST.

HAYWARD, CA 94541

Client Management Team

Accounts included in Statement

35310000 CITY OF HAYWARD

www.pfm.comOnline Access 1-717-232-2723Customer Service

Monique Spyke

Director

50 California Street, Suite 2300

San Francisco, CA 94111

415-982-5544

[email protected]

Robert Cheddar, CFA

Managing Director/Senior Portfolio Manager

One Keystone Plaza, Suite 300

Harrisburg, PA 17101

717-231-6202

[email protected]

For the Month Ending January 31, 2017

Account Statement

Important Disclosures

Important DisclosuresAverage maturity represents the average maturity of all securities and

investments of a portfolio, determined by multiplying the par or

principal value of each security or investment by its maturity (days or

years), summing the products, and dividing the sum by the total

principal value of the portfolio. The stated maturity date of mortgage

backed or callable securities are used in this statement. However the

actual maturity of these securities could vary depending on the level or

prepayments on the underlying mortgages or whether a callable

security has or is still able to be called.

Monthly distribution yield represents the net change in the value of one

share (normally $1.00 per share) resulting from all dividends declared

during the month by a fund expressed as a percentage of the value of

one share at the beginning of the month. This resulting net change is

then annualized by multiplying it by 365 and dividing it by the number of

calendar days in the month.

YTM at Cost The yield to maturity at cost is the expected rate of return,

based on the original cost, the annual interest receipts, maturity value

and the time period from purchase date to maturity, stated as a

percentage, on an annualized basis.

YTM at Market The yield to maturity at market is the rate of return,

based on the current market value, the annual interest receipts,

maturity value and the time period remaining until maturity, stated as a

percentage, on an annualized basis.

Managed Account A portfolio of investments managed discretely by

PFM according to the client’s specific investment policy and

requirements. The investments are directly owned by the client and

held by the client’s custodian.

Unsettled Trade A trade which has been executed however the final

consummation of the security transaction and payment has not yet

taken place.

Please review the detail pages of this statement carefully. If you think

your statement is wrong, missing account information, or if you need

more information about a transaction, please contact PFM within 60

days of receipt. If you have other concerns or questions regarding your

account you should contact a member of your client management team

or PFM Service Operations at the address below.

PFM Asset Management LLC

Attn: Service Operations

One Keystone Plaza, Suite 300

N. Front & Market Sts

Harrisburg, PA 17101

This statement is for general information purposes only and is not

intended to provide specific advice or recommendations. PFM Asset

Management LLC (“PFM”) is an investment advisor registered with the

Securities and Exchange Commission, and is required to maintain a

written disclosure statement of our background and business experience.

If you would like to receive a copy of our current disclosure statement,

please contact Service Operations at the address below.

Proxy Voting PFM does not normally receive proxies to vote on behalf of

its clients. However, it does on occasion receive consent requests. In the

event a consent request is received the portfolio manager contacts the

client and then proceeds according to their instructions. PFM’s Proxy

Voting Policy is available upon request by contacting Service Operations

at the address below.

Questions About an Account PFM’s monthly statement is intended to

detail our investment advisory activity as well as the activity of any

accounts held by clients in pools that are managed by PFM. The custodian

bank maintains the control of assets and executes (i.e., settles) all

investment transactions. The custodian statement is the official record of

security and cash holdings and transactions. PFM recognizes that clients

may use these reports to facilitate record keeping and that the custodian

bank statement and the PFM statement should be reconciled and

differences resolved. Many custodians use a settlement date basis which

may result in the need to reconcile due to a timing difference.

Account Control PFM does not have the authority to withdraw funds from

or deposit funds to the custodian. Our clients retain responsibility for their

internal accounting policies; implementing and enforcing internal controls

and generating ledger entries or otherwise recording transactions.

Market Value Generally, PFM’s market prices are derived from closing bid

prices as of the last business day of the month as supplied by Interactive

Data, Bloomberg or Telerate. Where prices are not available from

generally recognized sources the securities are priced using a yield-based

matrix system to arrive at an estimated market value. Prices that fall

between data points are interpolated. Non-negotiable FDIC-insured bank

certificates of deposit are priced at par. Although PFM believes the prices

to be reliable, the values of the securities do not always represent the

prices at which the securities could have been bought or sold. Explanation

of the valuation methods for money market and TERM funds is contained

in the appropriate fund information statement.

Amortized Cost The original cost of the principal of the security is

adjusted for the amount of the periodic reduction of any discount or

premium from the purchase date until the date of the report. Discount or

premium with respect to short term securities (those with less than one

year to maturity at time of issuance) is amortized on a straightline basis.

Such discount or premium with respect to longer term securities is

amortized using the constant yield basis.

Tax Reporting Cost data and realized gains / losses are provided for

informational purposes only. Please review for accuracy and consult your

tax advisor to determine the tax consequences of your security transactions.

PFM does not report such information to the IRS or other taxing authorities

and is not responsible for the accuracy of such information that may be

required to be reported to federal, state or other taxing authorities.

Financial Situation In order to better serve you, PFM should be promptly

notified of any material change in your investment objective or financial

situation.

Callable Securities Securities subject to redemption prior to maturity may

be redeemed in whole or in part before maturity, which could affect the yield

represented.

Portfolio The securities in this portfolio, including shares of mutual funds,

are not guaranteed or otherwise protected by PFM, the FDIC (except for

certain non-negotiable certificates of deposit) or any government agency.

Investment in securities involves risks, including the possible loss of the

amount invested.

Rating Information provided for ratings is based upon a good faith inquiry of

selected sources, but its accuracy and completeness cannot be guaranteed.

Shares of some money market and TERM funds are marketed through

representatives of PFM's wholly owned subsidiary, PFM Fund Distributors,

Inc. PFM Fund Distributors, Inc. is registered with the SEC as a

broker/dealer and is a member of the Financial Industry Regulatory

Authority (“FINRA”) and the Municipal Securities Rulemaking Board

(“MSRB”). You may reach the FINRA by calling the FINRA Regulator Public

Disclosure Hotline at 1-888-289-9999 or at the FINRA Regulation Internet

website address www.nasd.com. A brochure describing the FINRA

Regulation Public Disclosure Program is also available from the FINRA

upon request.

Key Terms and Definitions

Dividends on money market funds consist of interest earned, plus any

discount ratably amortized to the date of maturity, plus all realized gains and

losses on the sale of securities prior to maturity, less ratable amortization of

any premium and all accrued expenses to the fund. Dividends are accrued

daily and may be paid either monthly or quarterly. The monthly earnings on

this statement represent the estimated dividend accrued for the month for

any program that distributes earnings on a quarterly basis. There is no

guarantee that the estimated amount will be paid on the actual distribution

date.

Current Yield is the net change, exclusive of capital changes and income

other than investment income, in the value of a hypothetical fund account

with a balance of one share over the seven-day base period including the

statement date, expressed as a percentage of the value of one share

(normally $1.00 per share) at the beginning of the seven-day period. This

resulting net change in account value is then annualized by multiplying it by

365 and dividing the result by 7. The yields quoted should not be considered

a representation of the yield of the fund in the future, since the yield is not

fixed.

For the Month Ending January 31, 2017Managed Account Summary Statement

CITY OF HAYWARD - 35310000

Total Cash Basis Earnings

Plus Net Realized Gains/Losses

Less Purchased Interest Related to Interest/Coupons

Interest/Dividends/Coupons Received

Earnings Reconciliation (Cash Basis) - Managed Account

Less Beginning Accrued Interest

Less Beginning Amortized Value of Securities

Less Cost of New Purchases

Plus Coupons/Dividends Received

Plus Proceeds of Maturities/Calls/Principal Payments

Plus Proceeds from Sales

Ending Accrued Interest

Ending Amortized Value of Securities

Earnings Reconciliation (Accrual Basis)

$120,252,586.63

(142,321.78)

(8,321,801.06)

8,590,743.42

880,249.05

49,028.35

$121,308,484.61

139,839.88

(29,249.32)

(9,152.56)

$101,438.00

Total

121,698,883.25

311,143.15

8,344,567.81

142,321.78

117,073.13

(9,502,876.79)

(120,700,123.54)

(296,394.36)

Total Accrual Basis Earnings $114,594.43

Closing Market Value

Change in Current Value

Unsettled Trades

Principal Acquisitions

Principal Dispositions

Maturities/Calls

Opening Market Value

Transaction Summary - Managed Account

_________________

_________________

_______________________________________________ _______________________________________________ Reconciling Transactions

Net Cash Contribution

Security Purchases

Principal Payments

Coupon/Interest/Dividend Income

Sale Proceeds

Maturities/Calls

Cash Transactions Summary - Managed Account

0.00

8,344,567.81

117,073.13

142,321.78

(8,619,992.74)

16,030.02

0.00

Cash Balance

$0.00 Closing Cash Balance

Account 35310000 Page 1

For the Month Ending January 31, 2017Portfolio Summary and Statistics


Account Summary

Percent Par Value Market ValueDescription

U.S. Treasury Bond / Note 20,105,000.00 20,127,577.25 16.59

Supra-National Agency Bond / Note 6,400,000.00 6,347,497.02 5.23

Municipal Bond / Note 2,880,000.00 2,861,597.00 2.36

Federal Agency Collateralized Mortgage

Obligation

7,501,714.40 7,518,631.97 6.20

Federal Agency Bond / Note 71,200,000.00 70,950,640.39 58.49

Corporate Note 8,130,000.00 8,112,834.67 6.69

Certificate of Deposit 3,600,000.00 3,619,068.00 2.98

Asset-Backed Security / Collateralized

Mortgage Obligation

1,770,000.00 1,770,638.31 1.46

Managed Account Sub-Total 121,586,714.40 121,308,484.61 100.00%

Accrued Interest 311,143.15

Total Portfolio 121,586,714.40 121,619,627.76

Unsettled Trades 885,000.00 880,051.74

Sector Allocation

1.46%ABS / CMO

2.98%Cert of Deposit

6.69%Corporate Note

6.20%Fed Agency CMO

58.49%

Fed Agy Bond /Note

2.36%Muni Bond / Note

5.23%

Supra-NationalAgency Bond / Note

16.59%US TSY Bond / Note

0 - 6 Months 6 - 12 Months 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years Over 5 Years

0.92%

4.34%

44.69%47.12%

2.82%0.11% 0.00%

Maturity Distribution Characteristics

Yield to Maturity at Cost

Yield to Maturity at Market

Duration to Worst

Weighted Average Days to Maturity

1.92

725

1.12%

1.29%


For the Month Ending January 31, 2017Managed Account Issuer Summary


Credit Quality (S&P Ratings)

2.09%A

1.00%A+

1.23%A-

0.49%AA

81.81%AA+

4.66%AA-

6.46%AAA

0.88%BBB+

1.38%NR

Issuer Summary

Percentof HoldingsIssuer

Market Value

134,968.41 0.11 ALLY AUTO RECEIVABLES TRUST

594,993.60 0.49 AMERICAN EXPRESS CO

1,050,667.80 0.87 BANK OF NEW YORK CO INC

1,112,797.20 0.92 CA EARTHQUAKE AUTH TXBL REV BOND

1,209,883.20 1.00 CANADIAN IMPERIAL BANK OF COMMERCE

564,999.83 0.47 CARMAX AUTO OWNER TRUST

450,493.74 0.37 CITIBANK CREDIT CARD ISSUANCE

463,815.65 0.38 CITIGROUP INC

234,984.73 0.19 DEERE & COMPANY

650,185.90 0.54 EXXON MOBIL CORP

38,685,182.20 31.90 FANNIE MAE

34,739,592.40 28.65 FEDERAL HOME LOAN BANKS

620,176.33 0.51 FORD CREDIT AUTO OWNER TRUST

3,475,382.26 2.86 FREDDIE MAC

599,368.20 0.49 GOLDMAN SACHS GROUP INC

1,698,503.42 1.40 INTER-AMERICAN DEVELOPMENT BANK

600,208.80 0.49 INTERNATIONAL BUSINESS MACHINES

4,648,993.60 3.83 INTL BANK OF RECONSTRUCTION AND DEV

898,452.90 0.74 JP MORGAN CHASE & CO

285,058.14 0.23 MICROSOFT CORP

1,209,883.20 1.00 NORDEA BANK AB

594,541.85 0.49 PFIZER INC

1,748,799.80 1.44 STATE OF CONNECTICUT

1,199,301.60 0.99 SVENSKA HANDELSBANKEN

1,569,115.50 1.29 TENNESSEE VALLEY AUTHORITY NOTES

891,579.60 0.73 TOYOTA MOTOR CORP

20,127,577.25 16.59 UNITED STATES TREASURY

1,248,977.50 1.03 WELLS FARGO & COMPANY

$121,308,484.61 Total 100.00%


For the Month Ending January 31, 2017Managed Account Detail of Securities Held


Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value

Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle

Par

U.S. Treasury Bond / Note

US TREASURY NOTES

DTD 05/31/2013 1.000% 05/31/2018

2,905,113.30 2,897,044.89 5,027.88 2,890,588.48 12/30/1512/28/15AaaAA+ 2,905,000.00 912828VE7 1.21

US TREASURY NOTES

DTD 12/31/2013 1.500% 12/31/2018

341,912.50 341,805.62 450.83 342,882.03 12/04/1512/01/15AaaAA+ 340,000.00 912828A75 1.22

US TREASURY NOTES

DTD 03/31/2014 1.625% 03/31/2019

3,168,096.88 3,183,502.95 17,409.82 3,199,546.10 03/04/1603/02/16AaaAA+ 3,145,000.00 912828C65 1.05

US TREASURY NOTES

DTD 04/30/2014 1.625% 04/30/2019

3,036,198.47 3,052,606.25 12,586.79 3,056,220.70 11/14/1611/10/16AaaAA+ 3,015,000.00 912828D23 1.06

US TREASURY NOTES

DTD 12/01/2014 1.500% 11/30/2019

5,859,599.85 5,858,662.80 15,187.50 5,859,140.63 12/05/1612/01/16AaaAA+ 5,850,000.00 912828G61 1.45

US TREASURY NOTES

DTD 02/02/2015 1.250% 01/31/2020

4,816,656.25 4,812,268.55 167.47 4,811,351.56 01/05/1701/03/17AaaAA+ 4,850,000.00 912828H52 1.52

50,830.29 20,127,577.25 20,145,891.06 1.30 20,159,729.50 20,105,000.00 Security Type Sub-Total

Supra-National Agency Bond / Note

INTL BANK OF RECON AND DEV GLOBAL

NOTES

DTD 04/30/2015 1.000% 06/15/2018

1,006,990.20 1,009,233.64 1,290.56 1,008,272.90 04/30/1504/22/15AaaAAA 1,010,000.00 459058EJ8 1.06

INTL BANK OF RECON AND DEV SN NOTES

DTD 04/19/2016 0.875% 07/19/2018

2,437,762.25 2,447,158.69 714.58 2,445,663.50 04/19/1604/12/16AaaAAA 2,450,000.00 459058FE8 0.95

INTER-AMERICAN DEVELOPMENT BANK

DTD 04/12/2016 1.000% 05/13/2019

1,698,503.42 1,711,174.71 3,715.83 1,709,855.00 04/12/1604/05/16AaaAAA 1,715,000.00 458182DX7 1.10

INTL BANK OF RECON AND DEV SN NOTE

DTD 07/13/2016 0.875% 08/15/2019

1,204,241.15 1,224,786.63 4,942.53 1,224,742.75 07/13/1607/06/16AaaAAA 1,225,000.00 459058FK4 0.88


Municipal Bond / Note

CA EARTHQUAKE AUTH TXBL REV BONDS

DTD 11/06/2014 1.824% 07/01/2017

190,478.80 190,000.00 288.80 190,000.00 11/06/1410/29/14A3NR 190,000.00 13017HAD8 1.82






Par


CA EARTHQUAKE AUTH TXBL REV BONDS

DTD 11/06/2014 1.824% 07/01/2017

922,318.40 922,759.62 1,398.40 927,893.60 04/20/1604/19/16A3NR 920,000.00 13017HAD8 1.10

CT ST TXBL GO BONDS

DTD 03/25/2015 1.422% 03/15/2018

431,419.00 430,000.00 2,309.96 430,000.00 03/25/1503/13/15Aa3AA- 430,000.00 20772JZJ4 1.42

CT ST TXBL GO BONDS

DTD 08/17/2016 1.300% 08/15/2019

1,317,380.80 1,342,460.55 7,935.78 1,342,894.40 08/17/1608/03/16Aa3AA- 1,340,000.00 20772J3D2 1.23


Federal Agency Collateralized Mortgage Obligation

FNMA SERIES 2015-M1 ASQ2

DTD 01/15/2015 1.626% 02/01/2018

351,278.51 351,461.11 475.13 354,155.85 01/30/1501/15/15AaaAA+ 350,651.97 3136AMKW8 1.26


DTD 04/01/2015 1.550% 04/01/2018

385,031.96 386,184.19 497.29 388,848.61 04/30/1504/15/15AaaAA+ 385,000.00 3136ANJY4 0.83

FNMA SERIES 2015-M3 FA

DTD 02/01/2015 0.800% 06/01/2018

215,772.51 215,736.78 143.89 215,680.42 02/27/1502/12/15AaaAA+ 215,736.78 3136AMMC0 0.39

FNMA SERIES M4 FA

DTD 03/01/2015 0.790% 09/01/2018

233,150.33 233,134.10 153.49 233,074.38 03/31/1503/12/15AaaAA+ 233,134.10 3136AMTM1 0.38


DTD 11/01/2015 1.898% 01/01/2019

516,518.07 517,852.55 814.59 520,149.95 11/30/1511/06/15AaaAA+ 515,000.00 3136AQSW1 1.20


DTD 06/01/2015 0.831% 03/01/2019

1,842,439.46 1,841,505.08 1,275.81 1,840,972.14 06/30/1506/12/15AaaAA+ 1,841,505.08 3136ANA98 0.43


DTD 06/01/2016 1.785% 06/01/2019

921,656.00 927,048.02 1,368.50 929,199.54 06/30/1606/09/16AaaAA+ 920,000.00 3136ASPX8 1.05

FANNIE MAE SERIES 2015-M13 ASQ2

DTD 10/01/2015 1.646% 09/01/2019

1,116,749.94 1,122,128.13 1,529.56 1,126,280.60 10/30/1510/07/15AaaAA+ 1,115,113.96 3136AQDQ0 1.08

FREDDIE MAC SERIES 4459 NB

DTD 04/01/2015 4.500% 01/01/2020

438,963.91 442,461.05 1,613.16 451,013.20 06/11/1506/08/15AaaAA+ 430,176.52 3137BHU39 0.77






Par



DTD 09/01/2015 0.924% 04/01/2020

1,497,071.28 1,495,395.99 1,151.92 1,494,857.65 09/30/1509/10/15AaaAA+ 1,495,395.99 3136AP3Z3 0.54


Federal Agency Bond / Note

TENNESSEE VALLEY AUTHORITY NOTES

DTD 12/22/1997 6.250% 12/15/2017

1,569,115.50 1,568,079.44 11,979.17 1,679,964.00 08/19/1508/18/15AaaAA+ 1,500,000.00 880591CU4 1.01

FEDERAL HOME LOAN BANKS NOTES

DTD 07/19/2016 0.750% 01/19/2018

2,446,898.30 2,448,488.55 612.50 2,447,667.97 07/21/1607/20/16AaaAA+ 2,450,000.00 3130A8SE4 0.81

FHLB NOTES

DTD 02/18/2016 0.875% 03/19/2018

5,445,056.85 5,449,074.32 17,485.42 5,448,310.50 02/18/1602/17/16AaaAA+ 5,450,000.00 3130A7CX1 0.89

FNMA NOTE

DTD 03/04/2016 0.875% 03/28/2018

259,720.24 260,726.06 777.29 261,089.40 07/01/1607/01/16AaaAA+ 260,000.00 3135G0J61 0.63

FNMA NOTE

DTD 03/04/2016 0.875% 03/28/2018

4,045,642.20 4,045,438.32 12,107.81 4,041,900.00 03/04/1603/02/16AaaAA+ 4,050,000.00 3135G0J61 0.97

FEDERAL HOME LOAN BANKS AGCY

DTD 05/27/2016 0.875% 06/29/2018

2,268,827.93 2,275,652.81 1,769.44 2,275,864.50 08/12/1608/11/16AaaAA+ 2,275,000.00 3130A8BD4 0.85

FEDERAL HOME LOAN BANKS AGCY

DTD 05/27/2016 0.875% 06/29/2018

3,824,595.65 3,828,732.27 2,982.78 3,825,757.65 05/27/1605/26/16AaaAA+ 3,835,000.00 3130A8BD4 0.99

FHLB NOTES

DTD 07/08/2016 0.625% 08/07/2018

6,053,133.70 6,090,728.67 18,427.08 6,087,312.00 07/08/1607/07/16AaaAA+ 6,100,000.00 3130A8PK3 0.73

FHLB GLOBAL NOTE

DTD 08/26/2016 0.875% 10/01/2018

5,837,147.12 5,861,817.65 17,106.25 5,861,011.80 08/26/1608/25/16AaaAA+ 5,865,000.00 3130A9AE1 0.91

FNMA BENCHMARK NOTE

DTD 09/01/2015 1.125% 10/19/2018

6,095,461.60 6,094,531.17 19,443.75 6,090,118.00 09/01/1508/27/15AaaAA+ 6,100,000.00 3135G0E58 1.18

FHLB NOTES

DTD 12/08/2016 1.250% 01/16/2019

799,528.80 799,968.00 416.67 799,968.00 12/08/1612/07/16AaaAA+ 800,000.00 3130AAE46 1.25

FNMA BENCHMARK NOTE

DTD 01/08/2016 1.375% 01/28/2019

5,208,714.80 5,192,877.06 595.26 5,191,779.10 01/08/1601/06/16AaaAA+ 5,195,000.00 3135G0H63 1.40






Par


FNMA BENCHMARK NOTE

DTD 02/23/2016 1.000% 02/26/2019

6,062,808.30 6,090,046.81 26,263.89 6,085,604.00 02/23/1602/19/16AaaAA+ 6,100,000.00 3135G0J53 1.08

FREDDIE MAC NOTES

DTD 03/21/2016 1.125% 04/15/2019

3,036,418.35 3,055,288.46 10,103.13 3,057,259.00 03/31/1603/30/16AaaAA+ 3,050,000.00 3137EADZ9 1.05

FHLB GLOBAL NOTE

DTD 06/03/2016 1.125% 06/21/2019

2,535,508.35 2,549,155.21 3,187.50 2,548,929.00 06/03/1606/02/16AaaAA+ 2,550,000.00 3130A8DB6 1.14

FHLB GLOBAL NOTE

DTD 06/03/2016 1.125% 06/21/2019

3,972,296.42 4,024,116.88 4,993.75 4,031,208.60 06/29/1606/27/16AaaAA+ 3,995,000.00 3130A8DB6 0.82

FNMA BENCHMARK NOTE

DTD 08/02/2016 0.875% 08/02/2019

3,009,313.00 3,045,715.42 13,269.62 3,044,876.00 08/02/1607/29/16AaaAA+ 3,050,000.00 3135G0N33 0.93

FNMA NOTES

DTD 09/02/2016 1.000% 08/28/2019

1,285,858.60 1,299,307.14 5,380.56 1,299,220.00 10/05/1610/03/16AaaAA+ 1,300,000.00 3135G0P49 1.02

FNMA NOTES

DTD 09/02/2016 1.000% 08/28/2019

5,637,995.40 5,692,322.04 23,591.67 5,691,108.00 09/02/1608/31/16AaaAA+ 5,700,000.00 3135G0P49 1.05

FHLB GLOBAL NOTES

DTD 09/09/2016 1.000% 09/26/2019

1,556,599.28 1,574,508.24 5,468.75 1,574,448.75 10/05/1610/03/16AaaAA+ 1,575,000.00 3130A9EP2 1.01


Corporate Note

WELLS FARGO & COMPANY GLOBAL NOTES

DTD 12/26/2012 1.500% 01/16/2018

1,248,977.50 1,250,922.69 781.25 1,252,550.00 05/08/1505/05/15A2A 1,250,000.00 94974BFG0 1.42

EXXON MOBIL CORP NOTES

DTD 03/06/2015 1.305% 03/06/2018

650,185.90 650,000.00 3,416.56 650,000.00 03/06/1503/04/15AaaAA+ 650,000.00 30231GAL6 1.31

BANK OF NEW YORK MELLON CORP

(CALLABLE)

DTD 05/29/2015 1.600% 05/22/2018

1,050,667.80 1,049,957.43 3,220.00 1,049,905.50 05/29/1505/22/15A1A 1,050,000.00 06406HDB2 1.60

JOHN DEERE CAPITAL CORP

DTD 01/06/2017 1.650% 10/15/2018

234,984.73 234,852.72 269.27 234,847.25 01/06/1701/03/17A2A 235,000.00 24422ETM1 1.69






Par

Corporate Note

JP MORGAN CHASE & CORP NOTES

(CALLABLE)

DTD 03/23/2016 1.850% 03/22/2019

898,452.90 902,974.65 5,966.25 903,951.00 05/20/1605/17/16A3A- 900,000.00 46625HQU7 1.69

TOYOTA MOTOR CREDIT CORP NOTES

DTD 05/20/2016 1.400% 05/20/2019

891,579.60 899,534.94 2,485.00 899,397.00 05/20/1605/17/16Aa3AA- 900,000.00 89236TDE2 1.42

CITIGROUP INC CORP NOTES

DTD 06/09/2016 2.050% 06/07/2019

463,815.65 464,808.82 1,429.88 464,758.20 06/09/1606/02/16Baa1BBB+ 465,000.00 172967KS9 2.07

AMERICAN EXPRESS CREDIT CORP

DTD 10/31/2016 1.700% 10/30/2019

594,993.60 595,440.00 2,635.00 595,440.00 02/03/1701/31/17A2A- 600,000.00 0258M0EC9 1.99

GOLDMAN SACHS GROUP INC BONDS

DTD 12/13/2016 2.300% 12/13/2019

599,368.20 599,569.43 1,840.00 599,550.00 12/13/1612/08/16A3eBBB+ 600,000.00 38145GAJ9 2.33

PFIZER INC CORP NOTE

DTD 11/21/2016 1.700% 12/15/2019

199,846.00 199,859.62 661.11 199,850.00 11/21/1611/18/16A1AA 200,000.00 717081EB5 1.73

PFIZER INC CORP NOTE

DTD 11/21/2016 1.700% 12/15/2019

394,695.85 394,733.86 1,305.69 394,715.60 11/21/1611/14/16A1AA 395,000.00 717081EB5 1.72

IBM CORP NOTES

DTD 01/27/2017 1.900% 01/27/2020

600,208.80 599,426.08 126.67 599,424.00 01/27/1701/24/17Aa3AA- 600,000.00 459200JN2 1.93

MICROSOFT CORP

DTD 02/06/2017 1.850% 02/06/2020

285,058.14 284,809.05 0.00 284,809.05 02/06/1701/30/17AaaAAA 285,000.00 594918BV5 1.87


Certificate of Deposit

CANADIAN IMPERIAL BANK NY CD

DTD 12/05/2016 1.760% 11/30/2018

1,209,883.20 1,199,138.88 3,402.67 1,199,064.00 12/05/1612/01/16Aa3A+ 1,200,000.00 13606A5Z7 1.78

NORDEA BANK FINLAND NY CD

DTD 12/05/2016 1.760% 11/30/2018

1,209,883.20 1,200,000.00 3,402.67 1,200,000.00 12/05/1612/01/16Aa3AA- 1,200,000.00 65558LWA6 1.74

SVENSKA HANDELSBANKEN NY LT CD

DTD 01/12/2017 1.890% 01/10/2019

1,199,301.60 1,200,000.00 1,260.00 1,200,000.00 01/12/1701/10/17Aa2AA- 1,200,000.00 86958JHB8 1.91






Par


Asset-Backed Security / Collateralized Mortgage Obligation

CARMX 2017-1 A2

DTD 01/31/2017 1.600% 02/15/2020

564,999.83 564,999.84 25.11 564,999.83 01/31/1701/25/17AaaNR 565,000.00 14314JAB6 1.60

FORD ABS 2015-C A3

DTD 09/22/2015 1.410% 02/15/2020

620,176.33 619,920.62 388.53 619,879.35 09/22/1509/15/15AaaAAA 620,000.00 34530YAD5 1.42

CCCIT 2017-A2 A2

DTD 01/26/2017 1.740% 01/17/2021

450,493.74 450,000.00 108.75 449,913.83 01/26/1701/19/17AaaAAA 450,000.00 17305EGA7 1.75

ALLYA 2017-1 A3

DTD 01/31/2017 1.700% 06/15/2021

134,968.41 134,988.20 6.38 134,988.20 01/31/1701/24/17AaaeAAA 135,000.00 02007PAC7 1.70

528.77 1,770,638.31 1,769,908.66 1.58 1,769,781.21 1,770,000.00 Security Type Sub-Total

121,586,714.40 121,834,723.07 1.12 311,143.15 121,698,883.25 121,308,484.61 Managed Account Sub-Total

$121,586,714.40 $121,834,723.07 $311,143.15 $121,698,883.25 $121,308,484.61 1.12%

$121,619,627.76

$311,143.15

Total Investments

Accrued Interest

Securities Sub-Total

Bolded items are forward settling trades.


For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics


Value On Cost Amort Cost to WorstCUSIP Broker Date PriceDated Date/Coupon/Maturity Par at Mkt

Market Unreal G/L Unreal G/L DurationNext Call MarketSecurity Type/Description YTMEffective

Duration

U.S. Treasury Bond / Note

1.32 8,068.41 14,524.82 2,905,113.30 100.00 MORGANST 2,905,000.00 912828VE7US TREASURY NOTES

DTD 05/31/2013 1.000% 05/31/2018

1.00 1.32

1.88 106.88 (969.53) 341,912.50 100.56 NOMURA 340,000.00 912828A75US TREASURY NOTES

DTD 12/31/2013 1.500% 12/31/2018

1.20 1.88

2.11 (15,406.07)(31,449.22) 3,168,096.88 100.73 CITIGRP 3,145,000.00 912828C65US TREASURY NOTES

DTD 03/31/2014 1.625% 03/31/2019

1.28 2.11

2.19 (16,407.78)(20,022.23) 3,036,198.47 100.70 CITIGRP 3,015,000.00 912828D23US TREASURY NOTES

DTD 04/30/2014 1.625% 04/30/2019

1.31 2.19

2.75 937.05 459.22 5,859,599.85 100.16 BARCLAYS 5,850,000.00 912828G61US TREASURY NOTES

DTD 12/01/2014 1.500% 11/30/2019

1.44 2.75

2.93 4,387.70 5,304.69 4,816,656.25 99.31 HSBC 4,850,000.00 912828H52US TREASURY NOTES

DTD 02/02/2015 1.250% 01/31/2020

1.49 2.93

(32,152.25) 1.34 2.39 (18,313.81) 20,127,577.25 20,105,000.00 Security Type Sub-Total 2.39

Supra-National Agency Bond / Note

1.36 (2,243.44)(1,282.70) 1,006,990.20 99.70 BARCLAYS 1,010,000.00 459058EJ8INTL BANK OF RECON AND DEV GLOBAL

NOTES

DTD 04/30/2015 1.000% 06/15/2018

1.22 1.36

1.45 (9,396.44)(7,901.25) 2,437,762.25 99.50 BNP PARI 2,450,000.00 459058FE8INTL BANK OF RECON AND DEV SN NOTES

DTD 04/19/2016 0.875% 07/19/2018

1.22 1.45

2.24 (12,671.29)(11,351.58) 1,698,503.42 99.04 HSBC 1,715,000.00 458182DX7INTER-AMERICAN DEVELOPMENT BANK

DTD 04/12/2016 1.000% 05/13/2019

1.43 2.24

2.49 (20,545.48)(20,501.60) 1,204,241.15 98.31 BNP PARI 1,225,000.00 459058FK4INTL BANK OF RECON AND DEV SN NOTE

DTD 07/13/2016 0.875% 08/15/2019

1.56 2.49



0.42 478.80 478.80 190,478.80 100.25 GOLDMAN 190,000.00 13017HAD8CA EARTHQUAKE AUTH TXBL REV BONDS

DTD 11/06/2014 1.824% 07/01/2017

1.21 0.42

0.42 (441.22)(5,575.20) 922,318.40 100.25 CITIGRP 920,000.00 13017HAD8CA EARTHQUAKE AUTH TXBL REV BONDS

DTD 11/06/2014 1.824% 07/01/2017

1.21 0.42






Duration


1.11 1,419.00 1,419.00 431,419.00 100.33 CITIGRP 430,000.00 20772JZJ4CT ST TXBL GO BONDS

DTD 03/25/2015 1.422% 03/15/2018

1.12 1.11

2.47 (25,079.75)(25,513.60) 1,317,380.80 98.31 MORGANST 1,340,000.00 20772J3D2CT ST TXBL GO BONDS

DTD 08/17/2016 1.300% 08/15/2019

1.98 2.47



0.84 (182.60)(2,877.34) 351,278.51 100.18 MERRILL 350,651.97 3136AMKW8FNMA SERIES 2015-M1 ASQ2

DTD 01/15/2015 1.626% 02/01/2018

1.29 0.89

1.00 (1,152.23)(3,816.65) 385,031.96 100.01 GOLDMAN 385,000.00 3136ANJY4FNMA SERIES 2015-M7 ASQ2

DTD 04/01/2015 1.550% 04/01/2018

1.44 1.01

1.19 35.73 92.09 215,772.51 100.02 GOLDMAN 215,736.78 3136AMMC0FNMA SERIES 2015-M3 FA

DTD 02/01/2015 0.800% 06/01/2018

0.74 0.08

1.45 16.23 75.95 233,150.33 100.01 MORGANST 233,134.10 3136AMTM1FNMA SERIES M4 FA

DTD 03/01/2015 0.790% 09/01/2018

0.75 0.06

1.71 (1,334.48)(3,631.88) 516,518.07 100.29 GOLDMAN 515,000.00 3136AQSW1FNMA SERIES 2015-M15 ASQ2

DTD 11/01/2015 1.898% 01/01/2019

1.65 1.21

1.94 934.38 1,467.32 1,842,439.46 100.05 CITIGRP 1,841,505.08 3136ANA98FNMA SERIES 2015-M10 FA

DTD 06/01/2015 0.831% 03/01/2019

0.78 0.08

2.13 (5,392.02)(7,543.54) 921,656.00 100.18 CSFB 920,000.00 3136ASPX8FNMA SERIES 2016-M9 ASQ2

DTD 06/01/2016 1.785% 06/01/2019

1.64 1.22

2.37 (5,378.19)(9,530.66) 1,116,749.94 100.15 MORGANST 1,115,113.96 3136AQDQ0FANNIE MAE SERIES 2015-M13 ASQ2

DTD 10/01/2015 1.646% 09/01/2019

1.54 1.56

1.50 (3,497.14)(12,049.29) 438,963.91 102.04 CITIGRP 430,176.52 3137BHU39FREDDIE MAC SERIES 4459 NB

DTD 04/01/2015 4.500% 01/01/2020

3.04 0.69

2.99 1,675.29 2,213.63 1,497,071.28 100.11 MERRILL 1,495,395.99 3136AP3Z3FNMA SERIES 2015-M12 FA

DTD 09/01/2015 0.924% 04/01/2020

0.87 0.08



0.85 1,036.06 (110,848.50) 1,569,115.50 104.61 WELLSFAR 1,500,000.00 880591CU4TENNESSEE VALLEY AUTHORITY NOTES

DTD 12/22/1997 6.250% 12/15/2017

0.93 0.85






Duration


0.96 (1,590.25)(769.67) 2,446,898.30 99.87 RBS_SEC 2,450,000.00 3130A8SE4FEDERAL HOME LOAN BANKS NOTES

DTD 07/19/2016 0.750% 01/19/2018

0.88 0.96

1.12 (4,017.47)(3,253.65) 5,445,056.85 99.91 BARCLAYS 5,450,000.00 3130A7CX1FHLB NOTES

DTD 02/18/2016 0.875% 03/19/2018

0.96 1.12

1.15 (1,005.82)(1,369.16) 259,720.24 99.89 CITIGRP 260,000.00 3135G0J61FNMA NOTE

DTD 03/04/2016 0.875% 03/28/2018

0.97 1.15

1.15 203.88 3,742.20 4,045,642.20 99.89 CITIGRP 4,050,000.00 3135G0J61FNMA NOTE

DTD 03/04/2016 0.875% 03/28/2018

0.97 1.15

1.40 (6,824.88)(7,036.57) 2,268,827.93 99.73 NOMURA 2,275,000.00 3130A8BD4FEDERAL HOME LOAN BANKS AGCY

DTD 05/27/2016 0.875% 06/29/2018

1.07 1.40

1.40 (4,136.62)(1,162.00) 3,824,595.65 99.73 MORGANST 3,835,000.00 3130A8BD4FEDERAL HOME LOAN BANKS AGCY

DTD 05/27/2016 0.875% 06/29/2018

1.07 1.40

1.50 (37,594.97)(34,178.30) 6,053,133.70 99.23 BARCLAYS 6,100,000.00 3130A8PK3FHLB NOTES

DTD 07/08/2016 0.625% 08/07/2018

1.14 1.50

1.64 (24,670.53)(23,864.68) 5,837,147.12 99.53 MERRILL 5,865,000.00 3130A9AE1FHLB GLOBAL NOTE

DTD 08/26/2016 0.875% 10/01/2018

1.16 1.64

1.69 930.43 5,343.60 6,095,461.60 99.93 BARCLAYS 6,100,000.00 3135G0E58FNMA BENCHMARK NOTE

DTD 09/01/2015 1.125% 10/19/2018

1.17 1.69

1.93 (439.20)(439.20) 799,528.80 99.94 BAML 800,000.00 3130AAE46FHLB NOTES

DTD 12/08/2016 1.250% 01/16/2019

1.28 1.93

1.96 15,837.74 16,935.70 5,208,714.80 100.26 JPMCHASE 5,195,000.00 3135G0H63FNMA BENCHMARK NOTE

DTD 01/08/2016 1.375% 01/28/2019

1.24 1.96

2.03 (27,238.51)(22,795.70) 6,062,808.30 99.39 JPMCHASE 6,100,000.00 3135G0J53FNMA BENCHMARK NOTE

DTD 02/23/2016 1.000% 02/26/2019

1.30 2.03

2.16 (18,870.11)(20,840.65) 3,036,418.35 99.55 NOMURA 3,050,000.00 3137EADZ9FREDDIE MAC NOTES

DTD 03/21/2016 1.125% 04/15/2019

1.33 2.16

2.35 (13,646.86)(13,420.65) 2,535,508.35 99.43 WELLSFAR 2,550,000.00 3130A8DB6FHLB GLOBAL NOTE

DTD 06/03/2016 1.125% 06/21/2019

1.37 2.35

2.35 (51,820.46)(58,912.18) 3,972,296.42 99.43 NOMURA 3,995,000.00 3130A8DB6FHLB GLOBAL NOTE

DTD 06/03/2016 1.125% 06/21/2019

1.37 2.35

2.45 (36,402.42)(35,563.00) 3,009,313.00 98.67 GOLDMAN 3,050,000.00 3135G0N33FNMA BENCHMARK NOTE

DTD 08/02/2016 0.875% 08/02/2019

1.42 2.45

2.52 (13,448.54)(13,361.40) 1,285,858.60 98.91 HSBC 1,300,000.00 3135G0P49FNMA NOTES

DTD 09/02/2016 1.000% 08/28/2019

1.43 2.52






Duration


2.52 (54,326.64)(53,112.60) 5,637,995.40 98.91 GOLDMAN 5,700,000.00 3135G0P49FNMA NOTES

DTD 09/02/2016 1.000% 08/28/2019

1.43 2.52

2.60 (17,908.96)(17,849.47) 1,556,599.28 98.83 TD SEC U 1,575,000.00 3130A9EP2FHLB GLOBAL NOTES

DTD 09/09/2016 1.000% 09/26/2019

1.45 2.60


Corporate Note

0.95 (1,945.19)(3,572.50) 1,248,977.50 99.92 MKTX 1,250,000.00 94974BFG0WELLS FARGO & COMPANY GLOBAL NOTES

DTD 12/26/2012 1.500% 01/16/2018

1.59 0.95

1.08 185.90 185.90 650,185.90 100.03 JPMCHASE 650,000.00 30231GAL6EXXON MOBIL CORP NOTES

DTD 03/06/2015 1.305% 03/06/2018

1.28 1.08

1.21 710.37 762.30 1,050,667.80 100.06 04/22/18GOLDMAN 1,050,000.00 06406HDB2BANK OF NEW YORK MELLON CORP

(CALLABLE)

DTD 05/29/2015 1.600% 05/22/2018

1.55 1.26

1.67 132.01 137.48 234,984.73 99.99 BAML 235,000.00 24422ETM1JOHN DEERE CAPITAL CORP

DTD 01/06/2017 1.650% 10/15/2018

1.65 1.67

2.08 (4,521.75)(5,498.10) 898,452.90 99.83 02/22/19GOLDMAN 900,000.00 46625HQU7JP MORGAN CHASE & CORP NOTES

(CALLABLE)

DTD 03/23/2016 1.850% 03/22/2019

1.93 2.06

2.25 (7,955.34)(7,817.40) 891,579.60 99.06 CREDITAG 900,000.00 89236TDE2TOYOTA MOTOR CREDIT CORP NOTES

DTD 05/20/2016 1.400% 05/20/2019

1.82 2.25

2.28 (993.17)(942.55) 463,815.65 99.75 CITIGRP 465,000.00 172967KS9CITIGROUP INC CORP NOTES

DTD 06/09/2016 2.050% 06/07/2019

2.16 2.28

2.66 (446.40)(446.40) 594,993.60 99.17 JPM 600,000.00 0258M0EC9AMERICAN EXPRESS CREDIT CORP

DTD 10/31/2016 1.700%

10/30/2019

2.01 2.66

2.75 (201.23)(181.80) 599,368.20 99.89 GS 600,000.00 38145GAJ9GOLDMAN SACHS GROUP INC BONDS

DTD 12/13/2016 2.300% 12/13/2019

2.34 2.75

2.78 (13.62)(4.00) 199,846.00 99.92 JPMCHASE 200,000.00 717081EB5PFIZER INC CORP NOTE

DTD 11/21/2016 1.700% 12/15/2019

1.73 2.78

2.78 (38.01)(19.75) 394,695.85 99.92 MERRILL 395,000.00 717081EB5PFIZER INC CORP NOTE

DTD 11/21/2016 1.700% 12/15/2019

1.73 2.78






Duration

Corporate Note

2.89 782.72 784.80 600,208.80 100.03 RBC 600,000.00 459200JN2IBM CORP NOTES

DTD 01/27/2017 1.900% 01/27/2020

1.89 2.89

2.91 249.09 249.09 285,058.14 100.02 HSBC 285,000.00 594918BV5MICROSOFT CORP

DTD 02/06/2017 1.850%

02/06/2020

1.84 2.91


Certificate of Deposit

1.82 10,744.32 10,819.20 1,209,883.20 100.82 GOLDMAN 1,200,000.00 13606A5Z7CANADIAN IMPERIAL BANK NY CD

DTD 12/05/2016 1.760% 11/30/2018

1.14 1.82

1.82 9,883.20 9,883.20 1,209,883.20 100.82 MERRILL 1,200,000.00 65558LWA6NORDEA BANK FINLAND NY CD

DTD 12/05/2016 1.760% 11/30/2018

1.14 1.82

1.92 (698.40)(698.40) 1,199,301.60 99.94 BAML 1,200,000.00 86958JHB8SVENSKA HANDELSBANKEN NY LT CD

DTD 01/12/2017 1.890% 01/10/2019

1.85 1.92

20,004.00 1.38 1.85 19,929.12 3,619,068.00 3,600,000.00 Security Type Sub-Total 1.85

Asset-Backed Security / Collateralized Mortgage Obligation

1.52 (0.01) 0.00 564,999.83 100.00 BARC 565,000.00 14314JAB6CARMX 2017-1 A2

DTD 01/31/2017 1.600% 02/15/2020

1.60 1.52

2.47 255.71 296.98 620,176.33 100.03 MERRILL 620,000.00 34530YAD5FORD ABS 2015-C A3

DTD 09/22/2015 1.410% 02/15/2020

1.40 1.02

2.16 493.74 579.91 450,493.74 100.11 CITI 450,000.00 17305EGA7CCCIT 2017-A2 A2

DTD 01/26/2017 1.740% 01/17/2021

1.69 1.92

3.93 (19.79)(19.79) 134,968.41 99.98 CITI 135,000.00 02007PAC7ALLYA 2017-1 A3

DTD 01/31/2017 1.700% 06/15/2021

1.71 2.21

857.10 1.56 2.20 729.65 1,770,638.31 1,770,000.00 Security Type Sub-Total 1.50

121,586,714.40 121,308,484.61 (526,238.46) (390,398.64) 1.92 1.29 Managed Account Sub-Total 1.82




Total Investments $121,619,627.76

$311,143.15

$121,308,484.61

Accrued Interest

Securities Sub-Total $121,586,714.40 ($526,238.46) ($390,398.64) 1.92 1.29% 1.82



For the Month Ending January 31, 2017Managed Account Security Transactions & Interest


Transaction Type

Trade CUSIPSecurity DescriptionSettle Par Proceeds

Principal Accrued

Interest Total Cost

Realized G/L Realized G/L Sale

Amort Cost Method

BUY

01/05/17 US TREASURY NOTES

DTD 02/02/2015 1.250% 01/31/2020

912828H52 (5,406,570.31) (29,249.32) (5,435,819.63) 5,450,000.00 01/03/17

01/06/17 JOHN DEERE CAPITAL CORP

DTD 01/06/2017 1.650% 10/15/2018

24422ETM1 (234,847.25) 0.00 (234,847.25) 235,000.00 01/03/17

01/12/17 SVENSKA HANDELSBANKEN NY LT CD

DTD 01/12/2017 1.890% 01/10/2019

86958JHB8 (1,200,000.00) 0.00 (1,200,000.00) 1,200,000.00 01/10/17

01/26/17 CCCIT 2017-A2 A2

DTD 01/26/2017 1.740% 01/17/2021

17305EGA7 (449,913.83) 0.00 (449,913.83) 450,000.00 01/19/17

01/27/17 IBM CORP NOTES

DTD 01/27/2017 1.900% 01/27/2020

459200JN2 (599,424.00) 0.00 (599,424.00) 600,000.00 01/24/17

01/31/17 ALLYA 2017-1 A3

DTD 01/31/2017 1.700% 06/15/2021

02007PAC7 (134,988.20) 0.00 (134,988.20) 135,000.00 01/24/17

01/31/17 CARMX 2017-1 A2

DTD 01/31/2017 1.600% 02/15/2020

14314JAB6 (564,999.83) 0.00 (564,999.83) 565,000.00 01/25/17

02/06/17 MICROSOFT CORP

DTD 02/06/2017 1.850%

02/06/2020

594918BV5 (284,809.05) 0.00 (284,809.05) 285,000.00 01/30/17

02/03/17 AMERICAN EXPRESS CREDIT CORP

DTD 10/31/2016 1.700%

10/30/2019

0258M0EC9 (595,440.00) (2,635.00) (598,075.00) 600,000.00 01/31/17

(31,884.32) (9,502,876.79)(9,470,992.47) 9,520,000.00 Transaction Type Sub-Total

INTEREST

01/01/17 CA EARTHQUAKE AUTH TXBL REV

BONDS

DTD 11/06/2014 1.824% 07/01/2017

13017HAD8 0.00 8,390.40 8,390.40 920,000.00 01/01/17

01/01/17 CA EARTHQUAKE AUTH TXBL REV

BONDS

DTD 11/06/2014 1.824% 07/01/2017

13017HAD8 0.00 1,732.80 1,732.80 190,000.00 01/01/17

01/15/17 FREDDIE MAC SERIES 4459 NB

DTD 04/01/2015 4.500% 01/01/2020

3137BHU39 0.00 1,734.73 1,734.73 462,595.28 01/01/17

01/25/17 FNMA SERIES 2015-M12 FA

DTD 09/01/2015 0.924% 04/01/2020

3136AP3Z3 0.00 1,161.13 1,161.13 1,507,361.20 01/01/17




Transaction Type


Principal Accrued

Interest Total Cost


Amort Cost Method

INTEREST

01/25/17 FNMA SERIES 2016-M9 ASQ2

DTD 06/01/2016 1.785% 06/01/2019

3136ASPX8 0.00 1,368.50 1,368.50 920,000.00 01/01/17

01/25/17 FANNIE MAE SERIES 2015-M13 ASQ2

DTD 10/01/2015 1.646% 09/01/2019

3136AQDQ0 0.00 1,543.13 1,543.13 1,125,000.00 01/01/17


DTD 01/15/2015 1.626% 02/01/2018

3136AMKW8 0.00 545.88 545.88 402,860.70 01/01/17


DTD 11/01/2015 1.898% 01/01/2019

3136AQSW1 0.00 814.59 814.59 515,000.00 01/01/17

01/25/17 FNMA SERIES M4 FA

DTD 03/01/2015 0.790% 09/01/2018

3136AMTM1 0.00 153.64 153.64 233,363.81 01/01/17


DTD 06/01/2015 0.831% 03/01/2019

3136ANA98 0.00 1,286.46 1,286.46 1,856,877.23 01/01/17


DTD 02/01/2015 0.800% 06/01/2018

3136AMMC0 0.00 157.39 157.39 235,977.96 01/01/17


DTD 04/01/2015 1.550% 04/01/2018

3136ANJY4 0.00 497.29 497.29 385,000.00 01/01/17

01/15/17 FORD ABS 2015-C A3

DTD 09/22/2015 1.410% 02/15/2020

34530YAD5 0.00 728.50 728.50 620,000.00 01/15/17

01/16/17 FHLB NOTES

DTD 12/08/2016 1.250% 01/16/2019

3130AAE46 0.00 1,649.31 1,649.31 1,250,000.00 01/16/17

01/16/17 WELLS FARGO & COMPANY GLOBAL

NOTES

DTD 12/26/2012 1.500% 01/16/2018

94974BFG0 0.00 9,375.00 9,375.00 1,250,000.00 01/16/17

01/19/17 INTL BANK OF RECON AND DEV SN

NOTES

DTD 04/19/2016 0.875% 07/19/2018

459058FE8 0.00 10,718.75 10,718.75 2,450,000.00 01/19/17

01/19/17 FEDERAL HOME LOAN BANKS NOTES

DTD 07/19/2016 0.750% 01/19/2018

3130A8SE4 0.00 9,187.50 9,187.50 2,450,000.00 01/19/17

01/28/17 FNMA BENCHMARK NOTE

DTD 01/08/2016 1.375% 01/28/2019

3135G0H63 0.00 35,715.63 35,715.63 5,195,000.00 01/28/17


DTD 02/02/2015 1.250% 01/31/2020

912828H52 0.00 30,312.50 30,312.50 4,850,000.00 01/31/17

117,073.13 117,073.13 0.00 26,819,036.18 Transaction Type Sub-Total




Transaction Type


Principal Accrued

Interest Total Cost


Amort Cost Method

PAYDOWNS

01/15/17 FREDDIE MAC SERIES 4459 NB

DTD 04/01/2015 4.500% 01/01/2020

3137BHU39 32,418.76 0.00 32,418.76 (1,570.28) 0.00 32,418.76 01/01/17

01/25/17 FANNIE MAE SERIES 2015-M13 ASQ2

DTD 10/01/2015 1.646% 09/01/2019

3136AQDQ0 9,886.04 0.00 9,886.04 (99.00) 0.00 9,886.04 01/01/17


DTD 02/01/2015 0.800% 06/01/2018

3136AMMC0 20,241.18 0.00 20,241.18 5.29 0.00 20,241.18 01/01/17

01/25/17 FNMA SERIES M4 FA

DTD 03/01/2015 0.790% 09/01/2018

3136AMTM1 229.71 0.00 229.71 0.06 0.00 229.71 01/01/17


DTD 06/01/2015 0.831% 03/01/2019

3136ANA98 15,372.15 0.00 15,372.15 4.45 0.00 15,372.15 01/01/17


DTD 01/15/2015 1.626% 02/01/2018

3136AMKW8 52,208.73 0.00 52,208.73 (521.70) 0.00 52,208.73 01/01/17


DTD 09/01/2015 0.924% 04/01/2020

3136AP3Z3 11,965.21 0.00 11,965.21 4.31 0.00 11,965.21 01/01/17

0.00 0.00 (2,176.87) 142,321.78 142,321.78 142,321.78 Transaction Type Sub-Total

SELL


DTD 12/31/2012 0.750% 12/31/2017

912828UE8 1,247,998.05 129.49 1,248,127.54 (2,832.03) (2,499.95) FIFO 1,250,000.00 01/03/17


DTD 08/31/2012 0.625% 08/31/2017

912828TM2 999,140.63 2,192.68 1,001,333.31 2,070.32 (36.26) FIFO 1,000,000.00 01/03/17


DTD 01/31/2013 0.875% 01/31/2018

912828UJ7 1,848,193.36 6,950.07 1,855,143.43 16,982.42 4,792.86 FIFO 1,850,000.00 01/03/17


DTD 09/30/2010 1.875% 09/30/2017

912828PA2 1,199,110.94 5,945.91 1,205,056.85 (20,732.03) 1,898.36 FIFO 1,190,000.00 01/03/17

01/06/17 FHLB GLOBAL NOTE

DTD 08/26/2016 0.875% 10/01/2018

3130A9AE1 233,676.95 542.62 234,219.57 (1,163.25) (1,190.27) FIFO 235,000.00 01/03/17

01/12/17 FHLB NOTES

DTD 12/08/2016 1.250% 01/16/2019

3130AAE46 1,199,508.00 1,416.67 1,200,924.67 (444.00) (444.00) FIFO 1,200,000.00 01/10/17

01/26/17 FHLB NOTES

DTD 12/08/2016 1.250% 01/16/2019

3130AAE46 449,473.50 156.25 449,629.75 (508.50) (508.50) FIFO 450,000.00 01/19/17


DTD 02/02/2015 1.250% 01/31/2020

912828H52 595,453.13 3,668.48 599,121.61 234.38 141.96 FIFO 600,000.00 01/24/17




Transaction Type


Principal Accrued

Interest Total Cost


Amort Cost Method

SELL

01/31/17 FHLB NOTES

DTD 02/18/2016 0.875% 03/19/2018

3130A7CX1 549,246.50 1,764.58 551,011.08 (583.00) (660.08) FIFO 550,000.00 01/25/17

22,766.75 1,494.12 (6,975.69) 8,344,567.81 8,321,801.06 8,325,000.00 Transaction Type Sub-Total

(1,006,869.63) 107,955.56 (898,914.07) (9,152.56) 1,494.12 Managed Account Sub-Total

Total Security Transactions ($9,152.56)($898,914.07)$107,955.56 ($1,006,869.63) $1,494.12



For the Month Ending CITY OF HAYWARD January 31, 2017 Statement.pdf0 - 6 Months6 - 12 Months1 - 2...

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