JUNE 2019 - sdttc.com · Yield to maturity (YTM) is the estimated rate of return on a bond given...

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TABLE OF CONTENTS

Summary Portfolio Statistics

Cash Flow Analysis

Participant Cash Balances

Asset Allocation

Note: The Information provided, including all charts, tables, graphs and numerical representations, are provided to readers solely as a

general overview of the economic and market conditions which the Treasurer utilizes in making investment decisions.

Asset Credit Quality

Appendix 09 - Investment Policy Compliance Report 10 - Investment Inventory Report 20 - Investment Transaction Report

Investment Type Par Value Book Value WAM YTM

Asset Backed Securities 728,773,421 728,038,412 733,813,749 7.20 100.692 1188 2.52 912,961 5,775,337 Commercial Paper Disc 2,245,000,000 2,239,742,648 2,239,962,150 22.15 99.776 32 2.74 - 219,502

Federal Agency 2,808,492,000 2,810,058,935 2,810,388,148 27.79 100.068 860 1.95 12,053,199 329,213

Medium-Term Notes 589,151,000 588,745,179 594,534,710 5.82 100.917 823 2.69 3,211,824 5,789,531

Negotiable CDs 1,847,000,000 1,847,001,098 1,849,607,420 18.27 100.141 102 2.82 27,606,921 2,606,322

Supranationals 1,008,250,000 1,009,551,200 1,018,299,365 9.98 100.997 986 2.15 4,757,749 8,748,165

Treasury Coupon Securities 485,000,000 483,638,866 484,450,770 4.78 99.892 661 1.65 2,143,369 811,904

Money Market Accounts 393,100,000 393,100,000 393,100,000 3.89 100.000 1 2.29 216,298 -

Bank Deposit* -4,203,309 -4,203,309 -4,203,309 (0.04) 100.000 1 2.25 11,402 -

Sweep Fund 15,993,098 15,993,098 15,993,098 0.16 100.000 1 1.84 10,695 -

Totals for June 2019 10,116,556,210 10,111,666,126 10,135,946,100 100.00 100.194 528 2.39 50,924,417 24,279,974

Totals for May 2019 10,648,858,292 10,635,149,442 10,645,176,991 100.00 99.967 467 2.43 49,989,845 10,027,549

Change from Prior Month (532,302,082) (523,483,316) (509,230,891) 0.227 61 -0.04 934,572 14,252,425

Portfolio Effective Duration 0.95 years

Return Information Annualized Annualized

Book Value 0.200% 2.433% 2.270% 2.270% 1.204%

NotesYield to maturity (YTM) is the estimated rate of return on a bond given its purchase price, assuming all coupon payments are made on a timely basis and reinvested at this same rate of return to the maturity date.

Weighted Average Maturity (WAM) is average time it takes for securities in a portfolio to mature, weighted in proportion to the dollar amount that is invested in the portfolio.

Yields for the portfolio are aggregated based on the book value of each security.

Monthly Investment Returns are reported gross of fees. Administration fees since fiscal year 17-18 have averaged approximately 7 basis points per annum.

*Negative Bank Deposit balance offset by Sweep Fund balance.

**All Investments held during the month of June 2019 were in compliance with the Investment Policy dated January 1, 2019.

SUMMARY PORTFOLIO STATISTICSCounty of San Diego Pooled Money Fund

As of June 30, 2019

Unrealized

Gain/Loss

Accrued

InterestMarket Value % of Portfolio Market Price

Monthly Return Annualized

2.429%

Calendar Year

To Date Return

Fiscal Year To

Date Return

3

Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19

Beginning Pool Book Balance 10,111,666 9,031,331 8,150,857 7,741,111 7,661,311 7,597,700

CASH FLOW ITEMS

INFLOWS:

Investment Inflows 1,627,000 1,118,044 896,000 316,000 190,000 390,000

Projected Credits/Deposits 1,074,056 893,000 804,000 1,061,500 1,197,850 2,967,000

2,701,056 2,011,044 1,700,000 1,377,500 1,387,850 3,357,000

Outflows

Investment Purchases - - - - - -

Projected Debits 2,154,391 1,773,474 1,213,746 1,141,300 1,261,461 1,652,762

2,154,391 1,773,474 1,213,746 1,141,300 1,261,461 1,652,762

Net Cash Flows (1,080,335) (880,474) (409,746) (79,800) (63,611) 1,314,238

MONTH END POOL BALANCE 9,031,331 8,150,857 7,741,111 7,661,311 7,597,700 8,911,938

PROJECTED MONTH END LIQUIDITY 702,159$ 939,729$ 1,425,983$ 1,662,183$ 1,788,572$ 3,492,810$

The projected cash flows indicate sufficient liquidity to meet all scheduled expenditures for the next 6 months.

Note: The above is not meant to be a complete Cash Flow Statement. The data represents a subset of the main cash flow items and does not

include accrued interest or other adjustment items.

PROJECTED LIQUIDITYCounty of San Diego Pooled Money Fund

As of June 30, 2019

($000)

4

FMV FMV FMV % of FMV FMV FMV % ofPARTICIPANT 04/30/19 05/31/19 06/30/19 Total PARTICIPANT 04/30/19 05/31/19 06/30/19 Total

COUNTY 1,257,216$ 1,107,363$ 694,831$ 6.86% Lakeside FPD 12,415 11,698 10,890 0.11%

COUNTY - SPECIAL TRUST FUNDS 3,274,565 3,011,024 3,117,876 30.76% Leucadia Wastewater District 4,818 4,830 4,815 0.05%

NON-COUNTY INVESTMENT FUNDS 118,927 117,446 115,495 1.14% Lower Sweetwater FPD 760 710 712 0.01%

SCHOOLS - (K THRU 12) 4,773,926 4,720,623 4,511,537 44.51% Metropolitan Transit System 49,451 39,548 32,660 0.32%

Mission Resource Conservation District 268 242 229 0.00%

COMMUNITY COLLEGES North County Cemetery District 5,560 5,565 5,486 0.05%

San Diego 210,126 191,067 201,921 1.99% North County Dispatch 3,035 3,214 3,319 0.03%

Grossmont-Cuyamaca 200,370 179,548 202,278 2.00% North County FPD 6,404 5,424 4,148 0.04%

MiraCosta 154,446 143,704 140,061 1.38% Otay Water District 281 282 281 0.00%

Palomar 283,635 260,178 267,106 2.63% Palomar Health 2,793 0 0 0.00%

Southwestern 201,950 195,651 197,427 1.95% Pomerado Cemetery District 2,045 2,011 1,988 0.02%

Total Community Colleges 1,050,527 970,148 1,008,794 9.95% Public Agencies Self-Insurance System 3,495 3,503 3,492 0.03%

Ramona Cemetery District 1,051 1,037 1,024 0.01%

FIRST 5 COMMISSION 35,332 32,530 31,881 0.31% Rancho Santa Fe FPD 16,979 16,134 16,022 0.16%

SANCAL 785 787 784 0.01% Rincon del Diablo Municipal Water District 3,650 4,661 4,646 0.05%

SDCERA 605 5,586 5,564 0.05% SANDAG 88,436 88,654 98,659 0.97%

SD County Regional Airport Authority 239,934 245,711 241,032 2.38%

CITIES San Diego Housing Commission 21,336 21,388 21,319 0.21%

Chula Vista 62,860 60,543 57,704 0.57% San Diego Geographic Information Source 544 512 379 0.00%

Coronado 50,697 50,822 30,673 0.30% San Diego Law Library 3,778 3,790 3,813 0.04%

Del Mar 2,670 2,676 2,668 0.03% San Diego Local Agency Formation Comm 996 762 844 0.01%

El Cajon 5,004 5,016 5,000 0.05% San Diego Regional Training Center 724 720 745 0.01%

Encinitas 4,048 4,058 4,045 0.04% San Dieguito River Park 1,481 1,287 1,179 0.01%

National City 8,360 8,381 8,354 0.08% San Marcos FPD 1 1 1 0.00%

Oceanside 7,000 7,017 9,992 0.10% San Miguel Consolidated FPD 13,180 12,593 11,798 0.12%

Santa Fe Irrigation District 4,344 4,354 4,340 0.04%

INDEPENDENT AGENCIES Serra Cooperative Library System 1 1 1 0.00%

Alpine FPD 2,764 2,693 2,491 0.02% Upper San Luis Rey Resource Conserv Dist 59 60 60 0.00%

Bonita-Sunnyside FPD 6,431 6,474 6,042 0.06% Vallecitos Water District 5,335 5,349 5,331 0.05%

Borrego Springs FPD 1,534 1,442 1,296 0.01% Valley Center FPD 2,882 2,698 2,356 0.02%

Canebrake County Water District 53 53 53 0.00% Valley Center Cemetery District 431 433 432 0.00%

Deer Springs FPD 11,316 12,225 11,175 0.11% Valley Center Water District 23,460 24,805 24,283 0.24%

Fallbrook Public Utility District 15 15 15 0.00% Vista FPD 4,607 5,822 3,015 0.03%

Grossmont Healthcare District 2 2 2 0.00% Total Voluntary Participants 724,507 718,573 687,413 6.78%

Julian-Cuyamaca FPD 158 162 172 0.00%

Lake Cuyamaca Rec & Park District 341 293 202 0.00% Pooled Money Fund Total 11,199,668$ 10,645,177$ 10,135,946$ 100.00%

0.12%

County of San Diego Pooled Money FundAs of June 30, 2019

($000)

PARTICIPANT CASH BALANCES

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*Totals may not add to 100% due to rounding

INVESTMENT FUND PARTICIPANTS

San Diego Pooled Money FundAs of June 30, 2019

Schools44.51%

Community Colleges9.95%

County Funds37.62%

Non County Funds1.14%

Voluntary Depositors

6.78%

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*Totals may not add to 100% due to rounding

Asset Allocation Credit Quality

As of June 30, 2019

INVESTMENT FUND OVERVIEW

F1+24.02%

F116.83%

A0.31%

A+1.68%

AA-2.30%

AA+1.54%

AAA53.32%

Asset Backed

Securities7.20%

Federal Agencies27.79%

Bank Deposit/

Sweep Fund0.12%

Medium-Term Notes5.82%

Commercial Paper

22.15%

Supranational9.98%

U.S. Treasury Notes4.78%

Negotiable CD's

18.27%

Money Market Funds3.89%

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Category Standard Comment

Treasury Issues No Limit Complies - 4.8%

Agency Issues 35% per issuer Complies

Local Agency Obligations SP-1/"A" by S&P or MIG1/"A" by Moody's or F-1/"A" by Fitch minimum rating by 1 of 3 NRSROs; (ST ratings for 1 year

or less; LT ratings for over 1 year) ; 30% maximum; 10% per issuerComplies

Banker's Acceptance A-1 by S&P or P-1 by Moody's or F-1 by Fitch minimum rating by 1 of 3 NRSROs; 40% maximum; 5% per issuer; 180

days max maturityComplies

Commercial Paper A-1/"A" by S&P or P-1/"A" by Moody's or F-1/"A" by Fitch minimum rating by 1 of 3 NRSROs; 40% maximum; 10% per

issuer; 270 days max maturityComplies - 22.2%

Medium Term Notes A-1/"A" by S&P or P-1/"A" by Moody's or F-1/"A" by Fitch minimum rating by 1 of 3 NRSROs; (ST ratings for 1 year or

less; LT ratings for over 1 year); 30% maximum; 5% per issuerComplies - 5.8%

Negotiable Certificates of Deposit A-1/"A" by S&P or P-1/"A" by Moody's or F-1/"A" by Fitch minimum rating by 1 of 3 NRSROs; (ST ratings for 1 year or

less; LT ratings for over 1 year); 30% maximum; 10% per issuer; 5 years maximum maturity for NCDs; 13 months

max maturity for FDIC insured

Complies - 18.3%

Repurchase Agreements 40% maximum; 10% per issuer if avg weighted maturity >5 days; 15% per issuer if avg weighted maturity <5 days; 1-

year maximum maturity; Complies

Reverse Repurchase Agreements 20% maximum combined with Securities Lending; 10% per issuer; 92-day maximum maturity N/A

Collateralized Certificates of Deposit A-1 by S&P or P-1 by Moody's, or F-1 by Fitch minimum rating; 5%maximum; 5% per issuer; 13 months maximum

maturity; 110% collateral requiredComplies

FDIC & NCUA Insured Deposit 5% maximum; 5% per issuer; 13 months maximum maturity; No minimum credit requirement for FDIC or NCUA

insured deposit accountsComplies - 0.0%

Covered Call Option/ Put Option 10% maximum; 90-day maximum maturity N/A

Money Market Mutual Funds AAAm by S&P, or Aaa-mf by Moody's, or AAAmmf by Fitch minimum rating by 1 of 3 NRSROs; 20% maximum; 10% per

fundComplies - 4.0%

Investment Trust of California - CalTRUST 2.5% maximum Complies

SupranationalsA-1/"AA" by S&P or P-1/"Aa" by Moody's, or F-1/"AA" by Fitch minimum rating by 1 of 3 NRSROs; 30% maximum;

10% per issuer; USD denominated senior unsecured unsubordinated obligations issued by IBRD, IFC, and IADB Complies - 10.0%

Pass-Through Securities Non-mortgaged backed; "A" minimum rated issuer by 1 of 3 NRSROs; "AA" minimum rated by 1 of 3 NRSROs; 20%

maximum; 5% per issuerComplies - 7.2%

Maximum Maturity 5 years Complies

Illiquidity Limitations 10% maximum for combined categories for Collateralized CDs and FDIC Insured Deposit Accounts Complies

Maximum Issuer Exposure 10% per any single CP and CD issuer, and 5% per any single issuer for the other categories listed above (does not

include US Government, repurchase agreements, supranationals, money market fund)Complies

Maturity Policy - Portfolio Structure Minimum 25% ≤ 90 days; and minimum 50% ≤1 year; maximum effective duration for portfolio 1.5 years Complies

Prohibited Securities Inverse floaters; Ranges notes, Interest-only strips from mortgaged backed securities; Zero interest accrual securities Complies

Credit Rating Policy - monitoring ratings Overall credit rating of AAAf/S1, by Fitch; Investments rated below A-1 (short term) or below the "A" category (long

term), at the time of purchase, are prohibited in this policy Complies

Securities Lending92-day maximum maturity; 10% per counterparty; 20% maximum combined with Reverse Repurchase Agreements N/A

*Complied at time of purchase

INVESTMENT POLICY COMPLIANCE REPORTCounty of San Diego Pooled Money Fund

As of June 30, 2019

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IssuerPurchase

Date Par Value Book Value Market Value Coupon YTMMaturity

DateAccrued Interest

Unrealized

Gain/LossAsset Backed SecuritiesJohn Deere Owner Trust 03/13/2019 13,283,104.67 13,283,104.67 13,286,316.52 2.63 2.65 03/16/2020 (1,815.24) 3,211.85Honda Auto Rec Owner Trust 05/30/2016 37,615.98 37,615.25 37,592.31 1.39 1.40 04/15/2020 23.27 (22.94)Honda Auto Rec Owner Trust 12/22/2016 101,187.00 100,839.17 101,123.32 1.39 1.59 04/15/2020 62.53 284.15Honda Auto Rec Owner Trust 04/10/2019 12,395,717.44 12,395,717.44 12,397,485.07 2.60 2.62 04/15/2020 11,086.52 1,767.63Toyota Auto Receivables 03/12/2019 251,027.87 250,557.22 250,877.78 1.30 1.45 04/15/2020 145.04 320.56Honda Auto Rec Owner Trust 12/10/2016 227,482.74 226,416.41 227,229.05 1.16 1.40 05/18/2020 87.94 812.64Ford Credit Auto Owner Trust 06/21/2019 11,500,000.00 11,500,000.00 11,501,046.50 2.39 2.40 07/15/2020 2,541.32 1,046.50Harley-Davidson Motorcycle Tru 06/26/2019 7,000,000.00 7,000,000.00 7,000,000.00 2.39 2.40 07/15/2020 386.59 0.00Toyota Auto Receivables 01/31/2018 7,670,419.96 7,669,636.04 7,664,965.52 2.10 2.12 10/15/2020 7,159.02 (4,670.52)Honda Auto Rec Owner Trust 10/25/2016 3,796,064.31 3,795,817.95 3,781,597.51 1.21 1.22 12/18/2020 1,658.69 (14,220.44)Honda Auto Rec Owner Trust 05/30/2018 13,754,039.39 13,754,018.76 13,763,716.73 2.60 2.61 12/18/2020 (1,895.45) 9,697.97Honda Auto Rec Owner Trust 08/28/2018 24,480,757.98 24,480,334.46 24,511,351.58 2.67 2.69 12/22/2020 27,709.15 31,017.12Honda Auto Rec Owner Trust 01/16/2019 1,291,359.98 1,289,443.12 1,292,973.79 2.67 2.92 12/22/2020 1,461.66 3,530.67Toyota Auto Receivables 03/12/2019 5,691,643.60 5,657,627.09 5,675,572.68 1.76 2.66 07/15/2021 6,712.97 17,945.59Chase Issuance Trust 06/10/2019 8,000,000.00 7,986,250.00 7,991,769.60 1.58 2.55 08/15/2021 5,617.77 5,519.60Toyota Auto Receivables 11/07/2018 20,000,000.00 19,998,250.00 20,037,730.00 2.98 3.01 08/15/2021 26,488.93 39,480.00Honda Auto Rec Owner Trust 02/27/2019 16,000,000.00 15,998,969.60 16,057,724.80 3.10 3.12 09/20/2021 36,577.75 58,755.20Toyota Auto Receivables 02/13/2019 9,000,000.00 8,999,182.80 9,038,495.70 2.83 2.77 10/15/2021 11,320.00 39,312.90Citibank Credit Card Issuance 02/12/2019 25,000,000.00 24,842,002.57 24,949,727.50 1.75 2.72 11/19/2021 51,041.67 107,724.93Citibank Credit Card Issuance 03/07/2019 4,738,000.00 4,710,226.88 4,728,472.36 1.75 2.00 11/19/2021 9,673.42 18,245.48John Deere Owner Trust 03/13/2019 13,250,000.00 13,249,395.80 13,327,989.50 2.85 2.87 12/15/2021 16,783.34 78,593.70Toyota Auto Receivables 11/30/2018 5,500,000.00 5,408,046.88 5,487,635.45 1.93 2.97 01/18/2022 4,717.78 79,588.57Ford Credit Auto Owner Trust 06/21/2019 12,150,000.00 12,149,618.49 12,164,224.01 2.35 2.37 02/15/2022 2,643.75 14,605.52Harley-Davidson Motorcycle Tru 06/26/2019 7,000,000.00 6,999,912.50 6,999,860.00 2.37 2.38 05/15/2022 384.03 (52.50)Bank of America Corp 02/15/2019 15,000,000.00 14,868,750.00 14,969,694.00 1.95 2.42 08/15/2022 13,000.00 100,944.00Honda Auto Rec Owner Trust 05/03/2019 19,923,000.00 20,064,640.08 20,172,125.16 2.95 2.48 08/22/2022 16,325.81 107,485.08American Express Credit Accoun 04/16/2018 7,478,000.00 7,370,503.75 7,462,707.49 1.93 2.62 09/15/2022 6,414.59 92,203.74American Express Credit Accoun 07/25/2018 5,765,000.00 5,681,452.54 5,753,210.58 1.93 2.65 09/15/2022 4,945.09 71,758.04American Express Credit Accoun 08/03/2018 2,100,000.00 2,068,910.15 2,095,705.50 1.93 2.64 09/15/2022 1,801.33 26,795.35American Express Credit Accoun 01/11/2019 15,000,000.00 14,839,453.13 14,969,325.00 1.93 2.46 09/15/2022 12,866.68 129,871.87American Express Credit Accoun 01/23/2019 7,325,000.00 7,249,174.82 7,310,020.38 1.93 2.51 09/15/2022 6,283.22 60,845.56American Express Credit Accoun 04/02/2019 5,925,000.00 5,889,125.98 5,912,883.38 1.93 2.65 09/15/2022 5,082.36 23,757.40American Express Credit Accoun 03/21/2018 23,000,000.00 22,997,329.70 23,072,760.50 2.67 2.69 10/17/2022 27,293.33 75,430.80American Express Credit Accoun 04/20/2018 20,000,000.00 19,971,093.75 20,063,270.00 2.67 2.73 10/17/2022 23,733.33 92,176.25Toyota Auto Receivables 05/03/2019 19,940,000.00 20,138,621.08 20,269,101.72 3.02 2.50 12/15/2022 26,763.89 130,480.64Bank of America Corp 12/11/2018 63,738,000.00 62,450,791.17 63,551,712.95 1.84 1.67 01/17/2023 52,123.66 1,100,921.78Citibank Credit Card Issuance 04/16/2019 28,310,000.00 28,256,725.12 28,503,493.19 2.49 2.55 01/20/2023 146,858.12 246,768.07Toyota Auto Receivables 11/07/2018 15,000,000.00 14,996,755.50 15,300,636.00 3.18 3.15 03/15/2023 21,199.99 303,880.50Honda Auto Rec Owner Trust 02/27/2019 9,750,000.00 9,749,738.70 9,890,196.23 3.11 3.13 03/20/2023 20,049.81 140,457.53American Express Credit Accoun 04/02/2019 11,738,000.00 11,656,842.76 11,731,464.28 2.04 1.23 05/15/2023 10,642.45 74,621.52Citibank Credit Card Issuance 03/18/2019 7,000,000.00 6,992,353.08 7,080,030.30 2.68 2.71 06/07/2023 12,506.67 87,677.22

INVESTMENT INVENTORY - MARKET VALUECounty of San Diego Pooled Money Fund

As of June 30, 2019

10

IssuerPurchase



Unrealized

Gain/Loss


As of June 30, 2019

Honda Auto Rec Owner Trust 05/29/2019 28,500,000.00 28,498,936.95 28,819,681.65 2.52 2.54 06/21/2023 19,950.00 320,744.70Bank of America Corp 03/20/2019 22,790,000.00 22,772,195.31 23,024,217.39 2.70 2.76 07/17/2023 27,348.00 252,022.08Toyota Auto Receivables 02/13/2019 20,000,000.00 19,996,356.00 20,298,882.00 2.91 2.94 07/17/2023 25,866.66 302,526.00Nissan Auto Receivables Owner 05/28/2019 28,000,000.00 27,993,669.20 28,308,557.20 2.50 2.52 11/15/2023 33,362.54 314,888.00American Express Credit Accoun 12/17/2018 38,000,000.00 37,881,250.00 38,605,986.00 2.99 3.04 12/15/2023 50,497.66 724,736.00Discover Card Execution Note T 03/27/2019 30,000,000.00 30,460,546.88 30,629,043.00 3.11 2.39 01/16/2024 41,466.64 168,496.12American Express Credit Accoun 03/27/2019 40,253,000.00 40,825,347.34 41,089,046.76 3.06 2.43 02/15/2024 54,744.08 263,699.42American Express Credit Accoun 06/13/2019 22,120,000.00 22,584,865.63 22,654,520.95 3.18 2.23 04/15/2024 31,262.93 69,655.32Asset Backed Securities Subtotal: 728,773,420.92 728,038,411.72 733,813,748.89 2.55 2.52 912,961.29 5,775,337.17

Bank DepositWells Fargo Bank NA 07/01/2017 (4,203,308.84) (4,203,308.84) (4,203,308.84) 2.25 2.25 11,401.67 0.00Bank Deposit Subtotal: (4,203,308.84) (4,203,308.84) (4,203,308.84) 2.25 2.25 11,401.67 0.00

Commercial PaperBNP Paribas NY 10/29/2018 100,000,000.00 100,000,000.00 99,980,000.00 2.80 2.88 07/01/2019 0.00 (20,000.00)BNP Paribas NY 12/27/2018 100,000,000.00 100,000,000.00 99,980,000.00 2.84 2.91 07/01/2019 0.00 (20,000.00)BNP Paribas NY 06/28/2019 100,000,000.00 100,000,000.00 99,980,000.00 2.33 2.33 07/01/2019 0.00 (20,000.00)Canadian Imperial Holding 06/28/2019 50,000,000.00 50,000,000.00 49,990,000.00 2.33 2.33 07/01/2019 0.00 (10,000.00)ING (US) Funding LLC 11/28/2018 75,000,000.00 75,000,000.00 74,985,000.00 2.88 2.95 07/01/2019 0.00 (15,000.00)JP Morgan 10/31/2018 10,000,000.00 10,000,000.00 9,998,000.00 2.93 3.01 07/01/2019 0.00 (2,000.00)Natixis US Finance Co. 02/05/2019 30,000,000.00 30,000,000.00 29,994,000.00 2.65 2.68 07/01/2019 0.00 (6,000.00)Natixis US Finance Co. 02/19/2019 50,000,000.00 50,000,000.00 49,990,000.00 2.61 2.64 07/01/2019 0.00 (10,000.00)Natixis US Finance Co. 01/02/2019 35,000,000.00 34,997,238.89 34,990,550.00 2.84 2.88 07/02/2019 0.00 (6,688.89)Credit Agricole CIB 11/29/2018 25,000,000.00 24,996,027.78 24,991,750.00 2.86 2.93 07/03/2019 0.00 (4,277.78)Credit Agricole CIB 12/04/2018 100,000,000.00 99,984,111.11 99,967,000.00 2.86 2.94 07/03/2019 0.00 (17,111.11)ING (US) Funding LLC 11/28/2018 75,000,000.00 74,988,000.00 74,975,250.00 2.88 2.95 07/03/2019 0.00 (12,750.00)JP Morgan 12/03/2018 25,000,000.00 24,995,944.44 24,991,750.00 2.92 3.00 07/03/2019 0.00 (4,194.44)MUFG Bank NY 03/29/2019 45,000,000.00 44,993,575.00 44,985,150.00 2.57 2.59 07/03/2019 0.00 (8,425.00)MUFG Bank NY 04/09/2019 25,000,000.00 24,996,430.56 24,991,750.00 2.57 2.59 07/03/2019 0.00 (4,680.56)Natixis US Finance Co. 02/20/2019 15,000,000.00 14,997,858.33 14,994,900.00 2.57 2.59 07/03/2019 0.00 (2,958.33)MUFG Bank NY 04/09/2019 25,000,000.00 24,992,861.11 24,988,500.00 2.57 2.59 07/05/2019 0.00 (4,361.11)MUFG Bank NY 04/10/2019 25,000,000.00 24,992,861.11 24,988,500.00 2.57 2.59 07/05/2019 0.00 (4,361.11)Natixis US Finance Co. 01/07/2019 30,000,000.00 29,990,600.00 29,985,900.00 2.82 2.86 07/05/2019 0.00 (4,700.00)Credit Agricole CIB 01/29/2019 10,000,000.00 9,994,847.22 9,993,500.00 2.65 2.68 07/08/2019 0.00 (1,347.22)MUFG Bank NY 04/09/2019 50,000,000.00 49,975,013.89 49,967,500.00 2.57 2.59 07/08/2019 0.00 (7,513.89)Credit Agricole CIB 01/30/2019 45,000,000.00 44,973,600.00 44,967,600.00 2.64 2.67 07/09/2019 0.00 (6,000.00)MUFG Bank NY 04/10/2019 25,000,000.00 24,985,722.22 24,982,000.00 2.57 2.59 07/09/2019 0.00 (3,722.22)BNP Paribas NY 04/09/2019 50,000,000.00 49,902,777.78 49,898,500.00 2.50 2.52 07/29/2019 0.00 (4,277.78)BNP Paribas NY 04/08/2019 25,000,000.00 24,947,916.67 24,946,000.00 2.50 2.52 07/31/2019 0.00 (1,916.67)MUFG Bank NY 05/06/2019 25,000,000.00 24,946,875.00 24,946,000.00 2.55 2.57 07/31/2019 0.00 (875.00)Canadian Imperial Holding 04/08/2019 50,000,000.00 49,892,361.11 49,887,500.00 2.50 2.52 08/01/2019 0.00 (4,861.11)

11

IssuerPurchase



Unrealized

Gain/Loss


As of June 30, 2019

ING (US) Funding LLC 11/13/2018 50,000,000.00 49,874,708.33 49,887,500.00 2.91 2.99 08/01/2019 0.00 12,791.67JP Morgan 11/05/2018 50,000,000.00 49,870,833.33 49,888,500.00 3.00 3.09 08/01/2019 0.00 17,666.67JP Morgan 11/06/2018 20,000,000.00 19,948,333.33 19,955,400.00 3.00 3.09 08/01/2019 0.00 7,066.67JP Morgan 11/07/2018 60,000,000.00 59,845,000.00 59,866,200.00 3.00 3.09 08/01/2019 0.00 21,200.00BNP Paribas NY 04/09/2019 50,000,000.00 49,888,888.89 49,885,500.00 2.50 2.52 08/02/2019 0.00 (3,388.89)Canadian Imperial Holding 04/09/2019 50,000,000.00 49,878,503.58 49,874,000.00 2.50 2.52 08/05/2019 0.00 (4,503.58)BNP Paribas NY 04/08/2019 50,000,000.00 49,866,472.22 49,865,500.00 2.53 2.55 08/08/2019 0.00 (972.22)Bank of Montreal 12/27/2018 75,000,000.00 74,769,250.00 74,793,750.00 2.84 2.92 08/09/2019 0.00 24,500.00BNP Paribas NY 04/09/2019 30,000,000.00 29,911,450.00 29,911,500.00 2.53 2.55 08/12/2019 0.00 50.00BNP Paribas NY 04/08/2019 50,000,000.00 49,848,902.78 49,849,500.00 2.53 2.55 08/13/2019 0.00 597.22Credit Agricole CIB 11/29/2018 25,000,000.00 24,913,402.78 24,926,750.00 2.90 2.98 08/13/2019 0.00 13,347.22JP Morgan 12/11/2018 130,000,000.00 129,315,911.11 129,431,900.00 2.96 3.05 09/03/2019 0.00 115,988.89BNP Paribas NY 04/22/2019 25,000,000.00 24,885,347.22 24,889,500.00 2.54 2.56 09/04/2019 0.00 4,152.78Canadian Imperial Holding 12/20/2018 25,000,000.00 24,844,930.56 24,868,000.00 2.90 2.99 09/16/2019 0.00 23,069.44Natixis US Finance Co. 03/21/2019 50,000,000.00 49,707,500.00 49,740,500.00 2.60 2.69 09/20/2019 0.00 33,000.00MUFG Bank NY 06/25/2019 30,000,000.00 29,834,450.00 29,826,000.00 2.31 2.32 09/25/2019 0.00 (8,450.00)Natixis US Finance Co. 03/27/2019 80,000,000.00 79,478,266.67 79,532,800.00 2.58 2.67 09/30/2019 0.00 54,533.33BNP Paribas NY 04/24/2019 25,000,000.00 24,825,375.00 24,839,500.00 2.54 2.57 10/08/2019 0.00 14,125.00BNP Paribas NY 04/22/2019 25,000,000.00 24,813,027.78 24,829,250.00 2.54 2.57 10/15/2019 0.00 16,222.22BNP Paribas NY 05/06/2019 50,000,000.00 49,574,694.44 49,612,500.00 2.51 2.54 10/31/2019 0.00 37,805.56BNP Paribas NY 05/06/2019 50,000,000.00 49,571,208.33 49,609,500.00 2.51 2.54 11/01/2019 0.00 38,291.67Canadian Imperial Holding 04/24/2019 25,000,000.00 24,731,569.45 24,742,000.00 2.51 2.59 12/02/2019 0.00 10,430.55Commercial Paper Subtotal: 2,245,000,000.00 2,239,742,648.02 2,239,962,150.00 2.68 2.74 0.00 219,501.98

Medium-Term NotesAmerican Honda Finance 05/17/2019 8,044,000.00 8,041,063.94 8,038,449.64 2.25 2.54 08/15/2019 22,121.00 (2,614.30)US Bank NA Cincinnati 11/16/2018 25,000,000.00 24,923,026.32 24,985,750.00 2.13 3.09 10/28/2019 92,968.75 62,723.68JP Morgan 03/06/2019 6,850,000.00 6,828,567.93 6,847,876.50 2.25 2.82 01/23/2020 49,234.37 19,308.57JP Morgan 03/06/2019 7,320,000.00 7,297,097.41 7,317,730.80 2.25 2.82 01/23/2020 52,612.50 20,633.39JP Morgan 03/13/2019 10,000,000.00 9,970,221.29 9,996,900.00 2.25 2.75 01/23/2020 67,500.00 26,678.71JP Morgan 04/09/2019 8,569,000.00 8,572,961.48 8,602,933.24 2.75 2.70 06/23/2020 5,236.61 29,971.76JP Morgan 06/27/2019 24,306,000.00 24,861,154.09 24,845,593.20 4.40 2.20 07/22/2020 11,882.93 (15,560.89)American Honda Finance 03/04/2019 8,710,000.00 8,748,172.36 8,826,104.30 3.15 2.85 01/08/2021 89,168.62 77,931.94Toyota Motor Credit Corp 01/08/2019 20,000,000.00 19,990,883.33 20,275,000.00 3.05 3.08 01/08/2021 293,138.89 284,116.67US Bank NA Cincinnati 04/01/2019 12,000,000.00 12,080,582.99 12,145,440.00 3.00 2.54 02/04/2021 90,000.00 64,857.01Apple Inc 05/06/2019 10,000,000.00 9,951,139.41 10,035,700.00 2.25 2.55 02/23/2021 34,375.00 84,560.59Apple Inc 05/03/2019 8,137,000.00 8,189,763.89 8,256,044.31 2.85 2.49 05/06/2021 35,429.85 66,280.42American Honda Finance 04/05/2019 14,338,000.00 14,052,817.18 14,183,006.22 1.65 2.67 07/12/2021 56,515.62 130,189.04JP Morgan 03/07/2019 14,780,000.00 14,557,248.23 14,758,273.40 2.30 3.77 08/15/2021 107,413.65 201,025.17JP Morgan 04/05/2019 8,816,000.00 8,730,262.01 8,803,040.48 2.30 3.47 08/15/2021 48,333.72 72,778.47US BANKCORP 04/04/2019 25,000,000.00 24,997,715.35 25,267,250.00 2.63 2.63 01/24/2022 158,593.75 269,534.65US BANKCORP 04/05/2019 5,000,000.00 4,998,765.06 5,053,450.00 2.63 2.63 01/24/2022 31,354.16 54,684.94

12

IssuerPurchase



Unrealized

Gain/Loss


As of June 30, 2019

Microsoft Corp 04/05/2019 50,000,000.00 49,883,422.62 50,525,000.00 2.40 2.49 02/06/2022 286,666.66 641,577.38Apple Inc 04/12/2019 25,000,000.00 24,965,874.14 25,300,500.00 2.50 2.55 02/09/2022 137,152.78 334,625.86Apple Inc 04/22/2019 20,000,000.00 19,766,012.31 20,078,600.00 2.15 2.62 02/09/2022 82,416.67 312,587.69Apple Inc 04/25/2019 8,355,000.00 8,345,320.85 8,455,427.10 2.50 2.55 02/09/2022 38,293.75 110,106.25Apple Inc 04/29/2019 4,950,000.00 4,944,335.42 5,009,499.00 2.50 2.55 02/09/2022 21,312.50 65,163.58Apple Inc 06/07/2019 15,100,000.00 15,218,227.98 15,281,502.00 2.50 2.18 02/09/2022 25,166.67 63,274.02Apple Inc 06/13/2019 13,876,000.00 13,960,411.37 14,042,789.52 2.50 2.25 02/09/2022 17,345.00 82,378.15Toyota Motor Credit Corp 03/18/2019 50,000,000.00 50,000,000.00 50,492,000.00 2.85 2.85 02/18/2022 407,708.33 492,000.00Toyota Motor Credit Corp 04/12/2019 25,000,000.00 24,985,402.08 25,392,250.00 2.65 2.67 04/12/2022 145,381.94 406,847.92Toyota Motor Credit Corp 04/29/2019 50,000,000.00 50,000,000.00 50,372,000.00 2.70 2.70 04/29/2022 232,500.00 372,000.00JP Morgan 04/30/2019 50,000,000.00 50,000,000.00 50,342,000.00 2.75 2.75 04/30/2022 232,986.11 342,000.00US Bank NA OH 05/23/2019 35,000,000.00 34,964,205.37 35,499,100.00 2.65 2.69 05/23/2022 97,902.78 534,894.63Toyota Motor Credit Corp 02/27/2019 25,000,000.00 24,920,524.67 25,505,500.00 2.80 2.52 07/13/2022 241,111.11 584,975.33Medium-Term Notes Subtotal: 589,151,000.00 588,745,179.08 594,534,709.71 2.65 2.69 3,211,823.72 5,789,530.63

Federal AgencyFederal Home Loan Mtg Corp 07/26/2016 25,000,000.00 25,000,000.00 24,979,250.00 1.07 1.07 07/26/2019 115,173.61 (20,750.00)Federal Home Loan Mtg Corp 06/27/2016 25,000,000.00 25,006,947.94 24,979,000.00 1.25 0.91 08/01/2019 130,208.33 (27,947.94)Federal Home Loan Mtg Corp 08/23/2016 25,000,000.00 25,000,000.00 24,959,250.00 1.15 1.15 08/23/2019 102,222.22 (40,750.00)Federal Farm Credit Bank 08/26/2016 50,000,000.00 50,000,000.00 49,913,500.00 1.00 1.00 08/26/2019 173,611.11 (86,500.00)Federal Farm Credit Bank 12/06/2016 25,000,000.00 25,000,000.00 24,982,500.00 1.48 1.63 09/06/2019 118,194.44 (17,500.00)Federal National Mtg Assn 09/30/2016 35,000,000.00 34,998,595.37 34,933,850.00 1.13 1.15 09/09/2019 122,500.00 (64,745.37)Federal National Mtg Assn 09/13/2016 50,000,000.00 50,000,000.00 49,892,500.00 1.15 1.15 09/13/2019 172,500.00 (107,500.00)Federal Home Loan Mtg Corp 03/30/2016 25,000,000.00 25,000,000.00 24,947,500.00 1.40 1.40 09/30/2019 88,472.22 (52,500.00)Federal Home Loan Mtg Corp 11/21/2014 25,000,000.00 24,967,723.68 24,939,500.00 1.25 1.79 10/02/2019 77,256.94 (28,223.68)Federal National Mtg Assn 10/04/2016 25,000,000.00 25,000,000.00 24,935,500.00 1.20 1.20 10/04/2019 72,500.00 (64,500.00)Federal National Mtg Assn 10/28/2016 25,000,000.00 25,000,000.00 24,934,250.00 1.30 1.30 10/28/2019 56,875.00 (65,750.00)Federal Home Loan Bank 05/03/2017 15,000,000.00 14,996,065.95 14,958,900.00 1.38 1.45 11/15/2019 26,354.17 (37,165.95)Federal Home Loan Bank 01/09/2015 20,000,000.00 20,066,363.38 20,012,000.00 2.38 1.61 12/13/2019 23,750.00 (54,363.38)Federal Home Loan Bank 05/03/2017 20,000,000.00 20,079,552.34 20,012,000.00 2.38 1.47 12/13/2019 23,750.00 (67,552.34)Federal Farm Credit Bank 12/27/2016 25,000,000.00 25,000,000.00 24,965,250.00 1.70 1.70 12/27/2019 4,722.22 (34,750.00)Federal National Mtg Assn 03/30/2016 25,000,000.00 25,000,000.00 24,908,000.00 1.38 1.38 12/30/2019 172,829.86 (92,000.00)Federal Home Loan Mtg Corp 07/28/2016 50,000,000.00 50,000,000.00 49,699,000.00 1.10 1.10 01/28/2020 233,750.00 (301,000.00)Federal Farm Credit Bank 02/27/2017 21,870,000.00 21,870,000.00 21,831,290.10 1.71 1.71 02/27/2020 128,814.30 (38,709.90)Federal Home Loan Mtg Corp 04/13/2017 25,000,000.00 25,000,000.00 24,936,750.00 1.80 1.80 04/13/2020 97,500.00 (63,250.00)Federal Home Loan Mtg Corp 04/13/2017 25,000,000.00 25,000,000.00 24,936,750.00 1.80 1.80 04/13/2020 97,500.00 (63,250.00)Federal Home Loan Mtg Corp 05/19/2015 25,000,000.00 24,956,481.48 24,857,250.00 1.38 1.59 05/01/2020 57,291.67 (99,231.48)Federal Farm Credit Bank 11/01/2017 47,000,000.00 47,000,000.00 46,938,900.00 1.83 1.83 06/01/2020 71,675.00 (61,100.00)Federal Farm Credit Bank 06/29/2016 25,000,000.00 25,000,000.00 24,850,750.00 1.42 1.42 06/29/2020 179,472.22 (149,250.00)Federal Home Loan Mtg Corp 07/05/2017 25,000,000.00 25,000,000.00 24,919,750.00 1.75 1.75 06/29/2020 221,180.56 (80,250.00)Federal Home Loan Mtg Corp 07/13/2017 20,000,000.00 20,000,000.00 19,949,000.00 1.85 1.85 07/13/2020 172,666.67 (51,000.00)Federal Home Loan Mtg Corp 07/13/2017 5,000,000.00 5,000,000.00 4,987,250.00 1.85 1.85 07/13/2020 43,166.67 (12,750.00)

13

IssuerPurchase



Unrealized

Gain/Loss


As of June 30, 2019

Federal Farm Credit Bank 07/25/2018 20,000,000.00 19,757,261.30 19,981,800.00 1.77 2.78 09/28/2020 91,450.00 224,538.70Federal Home Loan Mtg Corp 09/29/2017 25,000,000.00 24,992,740.74 24,947,250.00 1.80 1.82 09/29/2020 115,000.00 (45,490.74)Federal National Mtg Assn 11/03/2017 25,000,000.00 25,000,000.00 24,944,500.00 1.85 1.85 10/30/2020 78,368.06 (55,500.00)Federal Home Loan Mtg Corp 11/03/2017 10,000,000.00 10,000,000.00 9,970,400.00 1.96 1.96 11/03/2020 31,577.78 (29,600.00)Federal Home Loan Mtg Corp 11/03/2017 15,000,000.00 15,000,000.00 14,955,600.00 1.96 1.96 11/03/2020 47,366.67 (44,400.00)Federal Farm Credit Bank 11/09/2016 25,000,000.00 25,000,000.00 24,839,750.00 1.36 1.36 11/09/2020 49,111.11 (160,250.00)Federal National Mtg Assn 11/29/2017 25,000,000.00 24,993,094.34 24,917,750.00 1.95 1.97 11/09/2020 70,416.67 (75,344.34)Federal Home Loan Bank 11/30/2017 35,000,000.00 35,000,000.00 35,005,600.00 2.00 2.00 11/25/2020 70,000.00 5,600.00Federal Home Loan Mtg Corp 11/27/2017 15,000,000.00 15,000,000.00 14,981,700.00 1.88 1.88 11/27/2020 26,562.50 (18,300.00)Federal Home Loan Mtg Corp 11/27/2017 25,000,000.00 25,000,000.00 24,969,500.00 1.88 1.88 11/27/2020 44,270.83 (30,500.00)Federal Home Loan Bank 11/27/2018 25,000,000.00 25,000,000.00 25,080,500.00 3.00 3.00 11/27/2020 70,833.33 80,500.00Federal Home Loan Mtg Corp 12/18/2017 15,000,000.00 15,000,000.00 15,018,600.00 2.00 2.00 12/18/2020 10,833.33 18,600.00Federal Home Loan Mtg Corp 04/20/2018 6,045,000.00 5,996,237.61 6,046,027.65 2.15 2.69 01/26/2021 55,958.23 49,790.04Federal National Mtg Assn 04/20/2018 4,910,000.00 4,870,393.16 4,910,834.70 2.15 2.69 01/26/2021 45,451.60 40,441.54Federal Home Loan Bank 04/30/2018 25,000,000.00 24,819,520.73 25,004,500.00 2.25 2.73 01/29/2021 237,500.00 184,979.27Federal Home Loan Bank 09/21/2016 25,000,000.00 25,044,635.30 24,816,500.00 1.38 1.26 02/18/2021 126,996.53 (228,135.30)Federal Home Loan Bank 02/14/2017 25,000,000.00 24,840,546.57 24,816,500.00 1.38 1.78 02/18/2021 126,996.53 (24,046.57)Federal Home Loan Bank 02/17/2017 25,000,000.00 25,000,000.00 24,993,250.00 1.82 1.82 03/17/2021 131,444.44 (6,750.00)Federal Home Loan Bank 10/30/2017 25,000,000.00 25,000,000.00 25,000,500.00 2.00 2.00 04/30/2021 84,722.22 500.00Federal National Mtg Assn 06/17/2016 15,000,000.00 15,003,572.63 14,845,950.00 1.25 1.24 05/06/2021 28,645.83 (157,622.63)Federal National Mtg Assn 09/21/2016 25,000,000.00 24,972,241.74 24,743,250.00 1.25 1.31 05/06/2021 47,743.06 (228,991.74)Federal Home Loan Mtg Corp 06/28/2017 7,900,000.00 7,900,000.00 7,901,580.00 2.00 2.00 05/28/2021 14,483.33 1,580.00Federal Home Loan Bank 07/14/2016 15,000,000.00 15,187,735.13 15,004,050.00 1.88 1.21 06/11/2021 15,625.00 (183,685.13)Federal Home Loan Mtg Corp 07/12/2016 25,000,000.00 25,000,000.00 25,000,250.00 2.00 2.02 07/12/2021 234,722.22 250.00Federal Home Loan Bank 08/04/2016 35,000,000.00 34,939,177.47 34,563,900.00 1.13 1.21 07/14/2021 182,656.25 (375,277.47)Federal Home Loan Mtg Corp 07/20/2016 25,000,000.00 25,000,000.00 24,904,000.00 1.25 1.61 07/20/2021 139,756.94 (96,000.00)Federal National Mtg Assn 07/20/2016 14,500,000.00 14,500,000.00 14,447,945.00 1.25 1.61 07/20/2021 81,059.03 (52,055.00)Federal Home Loan Mtg Corp 07/27/2016 25,000,000.00 25,000,000.00 24,874,000.00 1.50 1.61 07/27/2021 160,416.67 (126,000.00)Federal National Mtg Assn 07/27/2016 25,000,000.00 25,000,000.00 25,000,000.00 1.88 1.89 07/27/2021 200,520.83 0.00Federal National Mtg Assn 07/27/2016 14,445,000.00 14,445,000.00 14,352,407.55 1.40 1.48 07/27/2021 86,509.50 (92,592.45)Federal Home Loan Mtg Corp 08/03/2016 25,000,000.00 25,000,000.00 24,990,000.00 1.50 1.93 08/03/2021 154,166.67 (10,000.00)Federal Home Loan Mtg Corp 10/05/2016 20,000,000.00 19,898,504.29 19,715,600.00 1.13 1.37 08/12/2021 86,875.00 (182,904.29)Federal National Mtg Assn 09/21/2016 35,000,000.00 34,923,183.13 34,602,750.00 1.25 1.36 08/17/2021 162,847.22 (320,433.13)Federal Home Loan Mtg Corp 09/07/2016 25,000,000.00 25,000,000.00 24,989,750.00 1.63 1.85 09/07/2021 128,645.83 (10,250.00)Federal Home Loan Bank 09/27/2017 25,000,000.00 25,000,000.00 24,956,500.00 2.00 2.00 09/27/2021 130,555.56 (43,500.00)Federal Home Loan Mtg Corp 09/30/2016 20,000,000.00 20,000,000.00 19,983,200.00 1.50 1.80 09/30/2021 75,833.33 (16,800.00)Federal Home Loan Mtg Corp 09/30/2016 12,000,000.00 12,000,000.00 11,971,200.00 1.50 1.68 09/30/2021 45,500.00 (28,800.00)Federal Farm Credit Bank 10/05/2017 20,000,000.00 20,000,000.00 19,953,800.00 2.00 2.00 10/05/2021 95,555.56 (46,200.00)Federal National Mtg Assn 11/08/2016 35,000,000.00 34,947,206.78 34,651,750.00 1.38 1.44 10/07/2021 112,291.67 (295,456.78)Federal Home Loan Mtg Corp 10/07/2016 25,000,000.00 25,000,000.00 25,000,500.00 2.00 1.98 10/07/2021 116,666.67 500.00Federal Home Loan Mtg Corp 10/28/2016 50,000,000.00 50,000,000.00 49,934,500.00 1.50 1.98 10/28/2021 131,250.00 (65,500.00)Federal Farm Credit Bank 12/10/2018 10,000,000.00 10,000,000.00 10,046,600.00 3.11 3.11 12/10/2021 18,141.67 46,600.00

14

IssuerPurchase



Unrealized

Gain/Loss


As of June 30, 2019

Federal Farm Credit Bank 12/10/2018 10,000,000.00 10,000,000.00 10,046,600.00 3.11 3.11 12/10/2021 18,141.67 46,600.00Federal Home Loan Bank 03/27/2017 25,000,000.00 25,145,445.63 25,308,250.00 2.25 2.02 03/11/2022 171,875.00 162,804.37Federal Home Loan Bank 04/05/2019 18,290,000.00 18,363,586.07 18,622,329.30 2.50 2.34 03/11/2022 109,231.95 258,743.23Federal National Mtg Assn 04/12/2019 50,000,000.00 49,847,996.30 50,628,000.00 2.25 2.36 04/12/2022 246,875.00 780,003.70Federal National Mtg Assn 09/26/2017 14,475,000.00 14,474,109.23 14,476,013.25 2.25 2.25 04/27/2022 57,900.00 1,904.02Federal Farm Credit Bank 07/25/2017 20,000,000.00 20,020,870.07 20,000,400.00 2.07 2.03 05/09/2022 59,800.00 (20,470.07)Federal Farm Credit Bank 03/19/2019 23,650,000.00 23,639,217.48 23,671,521.50 2.70 2.72 06/06/2022 44,343.75 32,304.02Federal Home Loan Bank 04/08/2019 10,000,000.00 10,009,180.47 10,159,900.00 2.38 2.34 06/10/2022 13,854.17 150,719.53Federal Home Loan Mtg Corp 06/17/2019 25,000,000.00 25,000,000.00 24,954,250.00 2.50 2.50 06/17/2022 24,305.56 (45,750.00)Federal Home Loan Mtg Corp 06/29/2017 15,000,000.00 14,997,754.17 15,010,200.00 2.13 2.13 06/29/2022 161,145.83 12,445.83Federal Home Loan Mtg Corp 07/12/2017 40,000,000.00 39,958,784.44 40,002,800.00 2.00 2.28 07/12/2022 375,555.56 44,015.56Federal Home Loan Mtg Corp 07/27/2017 6,132,000.00 6,132,000.00 6,132,429.24 2.05 2.22 07/27/2022 53,774.23 429.24Federal Farm Credit Bank 08/22/2017 18,250,000.00 18,248,858.61 18,250,182.50 2.05 2.05 08/08/2022 148,610.76 1,323.89Federal Home Loan Bank 08/10/2017 25,000,000.00 25,000,000.00 25,002,750.00 2.00 2.29 08/10/2022 195,833.33 2,750.00Federal Farm Credit Bank 08/29/2017 30,000,000.00 29,996,214.05 30,000,300.00 2.05 2.05 08/23/2022 218,666.67 4,085.95Federal Farm Credit Bank 09/12/2017 25,000,000.00 25,000,000.00 25,000,250.00 2.00 2.00 09/12/2022 151,388.89 250.00Federal Home Loan Bank 04/03/2019 25,000,000.00 24,742,918.99 24,981,750.00 2.15 2.48 09/26/2022 131,388.89 238,831.01Federal Farm Credit Bank 10/11/2017 24,000,000.00 24,000,000.00 23,958,000.00 2.16 2.16 10/11/2022 115,200.00 (42,000.00)Federal Farm Credit Bank 10/17/2017 25,000,000.00 25,000,000.00 24,958,500.00 2.28 2.28 10/17/2022 117,166.67 (41,500.00)Federal Home Loan Bank 11/29/2017 25,000,000.00 24,958,577.39 25,001,250.00 2.28 2.33 10/26/2022 102,916.67 42,672.61Federal Home Loan Mtg Corp 10/30/2017 25,000,000.00 25,000,000.00 25,005,000.00 2.28 2.28 10/26/2022 102,916.67 5,000.00Federal Home Loan Mtg Corp 12/28/2017 10,000,000.00 10,000,000.00 10,002,000.00 2.45 2.45 12/28/2022 2,041.67 2,000.00Federal Farm Credit Bank 04/17/2019 15,000,000.00 15,000,000.00 15,003,900.00 2.71 2.71 01/17/2023 84,687.50 3,900.00Federal Home Loan Bank 04/04/2019 29,195,000.00 29,623,829.40 30,046,910.10 2.75 2.64 03/10/2023 194,025.10 423,080.70Federal Home Loan Bank 04/04/2019 10,000,000.00 10,146,884.53 10,291,800.00 2.75 2.33 03/10/2023 66,458.34 144,915.47Federal Farm Credit Bank 04/17/2019 25,000,000.00 25,000,000.00 25,109,250.00 2.67 2.67 04/17/2023 139,062.50 109,250.00Federal Farm Credit Bank 05/08/2019 30,000,000.00 29,949,432.29 30,019,200.00 2.66 2.71 05/08/2023 117,483.33 69,767.71Federal Home Loan Bank 06/28/2019 48,500,000.00 49,048,344.89 49,083,940.00 2.13 1.83 06/09/2023 8,588.54 35,595.11Federal Farm Credit Bank 06/26/2019 32,250,000.00 32,191,830.18 32,149,380.00 1.77 1.82 06/26/2023 7,928.12 (42,450.18)Federal Home Loan Mtg Corp 04/26/2019 25,000,000.00 25,000,000.00 25,217,250.00 2.49 2.49 07/26/2023 112,395.83 217,250.00Federal National Mtg Assn 04/18/2019 10,000,000.00 10,171,227.59 10,414,900.00 2.88 2.45 09/12/2023 58,298.61 243,672.41Federal National Mtg Assn 06/27/2019 25,000,000.00 26,049,970.46 26,037,250.00 2.88 1.83 09/12/2023 7,986.11 (12,720.46)Federal Home Loan Mtg Corp 03/27/2019 5,070,000.00 5,069,283.63 5,092,815.00 2.75 2.75 09/27/2023 36,405.42 23,531.37Federal Home Loan Mtg Corp 03/29/2019 25,000,000.00 25,000,000.00 25,198,000.00 2.73 2.73 01/09/2024 155,458.33 198,000.00Federal Home Loan Bank 01/29/2019 8,745,000.00 8,745,000.00 8,781,379.20 3.10 3.10 01/29/2024 114,462.33 36,379.20Federal National Mtg Assn 02/07/2019 25,000,000.00 25,000,000.00 25,112,500.00 3.10 3.10 02/07/2024 310,000.00 112,500.00Federal Home Loan Bank 02/15/2019 15,000,000.00 14,950,916.46 15,462,150.00 2.58 2.58 02/13/2024 145,973.90 511,233.54Federal Home Loan Bank 02/22/2019 23,175,000.00 23,175,000.00 23,417,410.50 2.80 2.80 02/22/2024 232,522.50 242,410.50Federal Home Loan Mtg Corp 02/28/2019 20,000,000.00 20,000,000.00 20,080,200.00 2.88 2.88 02/28/2024 196,458.33 80,200.00Federal Home Loan Mtg Corp 03/21/2019 15,200,000.00 15,233,418.64 15,236,632.00 3.20 2.73 03/20/2024 135,111.11 3,213.36Federal Home Loan Mtg Corp 03/22/2019 20,000,000.00 20,000,000.00 20,197,600.00 2.75 2.75 03/22/2024 151,250.00 197,600.00Federal Home Loan Bank 03/27/2019 6,400,000.00 6,400,000.00 6,409,280.00 2.87 2.87 03/27/2024 47,960.89 9,280.00

15

IssuerPurchase



Unrealized

Gain/Loss


As of June 30, 2019

Federal Home Loan Mtg Corp 03/27/2019 2,915,000.00 2,915,000.00 2,927,272.15 2.70 2.70 03/27/2024 20,550.75 12,272.15Federal Home Loan Bank 04/24/2019 8,225,000.00 8,225,000.00 8,262,012.50 2.75 2.75 04/24/2024 42,096.01 37,012.50Federal Home Loan Mtg Corp 04/30/2019 25,000,000.00 24,983,093.06 25,092,750.00 2.70 2.72 04/30/2024 114,375.00 109,656.94Federal Home Loan Mtg Corp 06/05/2019 30,000,000.00 30,000,000.00 30,087,000.00 2.65 2.65 06/05/2024 57,416.67 87,000.00Federal Home Loan Mtg Corp 06/05/2019 25,000,000.00 25,000,000.00 25,006,750.00 2.80 2.80 06/05/2024 50,555.56 6,750.00Federal Farm Credit Bank 06/13/2019 15,000,000.00 14,946,837.00 15,040,950.00 1.95 2.03 06/13/2024 14,625.00 94,113.00Federal Farm Credit Bank 06/26/2019 105,350,000.00 105,725,572.46 105,637,605.50 1.95 1.87 06/13/2024 28,532.29 (87,966.96)Federal Home Loan Mtg Corp 06/24/2019 60,000,000.00 60,000,000.00 60,005,400.00 2.60 2.60 06/24/2024 30,333.33 5,400.00Federal Agency Subtotal: 2,808,492,000.00 2,810,058,934.55 2,810,388,147.74 1.93 1.95 12,053,199.22 329,213.19

Money Market AccountsBlackRock FedFund 07/06/2018 1,000,000.00 1,000,000.00 1,000,000.00 2.29 2.29 3,848.48 0.00BlackRock FedFund 02/07/2019 35,000,000.00 35,000,000.00 35,000,000.00 2.29 2.29 65,459.26 0.00Fidelity Government Fund 06/21/2016 354,400,000.00 354,400,000.00 354,400,000.00 2.29 2.29 141,480.59 0.00Federated Government Fund 06/30/2016 1,700,000.00 1,700,000.00 1,700,000.00 2.28 2.28 3,492.22 0.00Morgan Stanley Govnt Fund 06/01/2015 1,000,000.00 1,000,000.00 1,000,000.00 2.25 2.25 2,017.73 0.00Money Market Accounts Subtotal: 393,100,000.00 393,100,000.00 393,100,000.00 2.29 2.29 216,298.28 0.00

Sweep FundJP Morgan 12/11/2018 15,993,097.72 15,993,097.72 15,993,097.72 1.84 1.84 10,694.51 0.00Sweep Fund Subtotal: 15,993,097.72 15,993,097.72 15,993,097.72 1.84 1.84 10,694.51 0.00

Negotiable CDsToronto Dominion NY 11/20/2018 50,000,000.00 50,000,000.00 50,002,000.00 2.93 2.93 07/01/2019 907,486.11 2,000.00Bank of Nova Scotia 07/02/2018 75,000,000.00 75,000,000.00 75,002,250.00 2.71 2.71 07/03/2019 2,055,083.33 2,250.00Bank of Nova Scotia 11/27/2018 50,000,000.00 50,000,000.00 50,002,500.00 2.85 2.85 07/03/2019 855,000.00 2,500.00Royal Bk of Canada/Dain Rausch 11/28/2018 75,000,000.00 75,000,000.00 75,005,250.00 2.92 2.92 07/03/2019 1,307,916.66 5,250.00Royal Bk of Canada/Dain Rausch 11/29/2018 25,000,000.00 25,000,000.00 25,001,750.00 2.93 2.93 07/03/2019 435,430.56 1,750.00Royal Bk of Canada/Dain Rausch 12/03/2018 45,000,000.00 45,000,000.00 45,003,150.00 2.93 2.93 07/03/2019 769,125.00 3,150.00Toronto Dominion NY 11/20/2018 50,000,000.00 50,000,000.00 50,003,500.00 2.93 2.93 07/03/2019 907,486.11 3,500.00Royal Bk of Canada/Dain Rausch 07/17/2018 25,000,000.00 25,000,000.00 25,002,750.00 2.73 2.73 07/12/2019 661,645.83 2,750.00BNP Paribas SF 07/25/2018 20,000,000.00 20,000,000.00 20,004,400.00 2.74 2.74 07/23/2019 519,077.78 4,400.00Toronto Dominion NY 04/03/2019 50,000,000.00 50,000,000.00 50,006,500.00 2.57 2.57 07/31/2019 317,680.56 6,500.00Royal Bk of Canada/Dain Rausch 11/28/2018 75,000,000.00 75,000,000.00 75,039,750.00 2.97 2.97 08/01/2019 1,330,312.50 39,750.00Toronto Dominion NY 11/08/2018 30,000,000.00 30,000,000.00 30,015,600.00 3.01 3.01 08/01/2019 589,458.34 15,600.00Toronto Dominion NY 11/26/2018 50,000,000.00 50,000,000.00 50,024,500.00 2.97 2.97 08/01/2019 895,125.00 24,500.00Toronto Dominion NY 04/04/2019 65,000,000.00 65,000,000.00 65,009,100.00 2.57 2.57 08/01/2019 408,344.45 9,100.00Canadian Imp Bk Comm NY 02/14/2018 50,000,000.00 50,000,000.00 50,005,500.00 2.45 2.45 08/14/2019 1,706,451.39 5,500.00BNP Paribas SF 08/16/2018 10,000,000.00 10,000,000.00 10,004,400.00 2.74 2.74 08/16/2019 242,794.45 4,400.00Toronto Dominion NY 12/04/2018 100,000,000.00 100,000,000.00 100,097,000.00 2.99 2.99 08/30/2019 1,735,861.11 97,000.00UBS AG Stamford 02/28/2019 60,000,000.00 60,000,000.00 60,027,600.00 2.62 2.62 08/30/2019 537,100.00 27,600.00Toronto Dominion NY 09/27/2018 25,000,000.00 25,000,000.00 25,031,500.00 2.85 2.85 09/27/2019 548,229.16 31,500.00

16

IssuerPurchase



Unrealized

Gain/Loss


As of June 30, 2019

Bank of Nova Scotia 09/26/2018 50,000,000.00 50,000,000.00 50,037,000.00 2.86 2.86 09/30/2019 1,104,277.78 37,000.00Toronto Dominion NY 12/14/2018 30,000,000.00 30,000,000.00 30,053,400.00 3.02 3.02 09/30/2019 500,816.66 53,400.00Westpac Bank NY 12/14/2018 30,000,000.00 30,000,000.00 30,031,500.00 2.97 2.97 09/30/2019 492,525.00 31,500.00JP Morgan 03/27/2019 100,000,000.00 100,000,000.00 100,000,000.00 2.51 2.55 09/30/2019 225,647.68 0.00Nordea Bank Finland 04/04/2019 21,000,000.00 21,000,000.00 21,016,380.00 2.56 2.56 10/08/2019 131,413.33 16,380.00Canadian Imp Bk Comm NY 10/19/2018 10,000,000.00 10,000,000.00 10,024,100.00 3.03 3.03 10/18/2019 214,625.00 24,100.00Royal Bk of Canada/Dain Rausch 04/10/2019 25,000,000.00 25,000,000.00 25,024,250.00 2.55 2.55 10/31/2019 145,208.33 24,250.00Royal Bk of Canada/Dain Rausch 04/10/2019 25,000,000.00 25,000,000.00 25,027,250.00 2.56 2.56 11/08/2019 145,777.78 27,250.00Toronto Dominion NY 04/24/2019 35,000,000.00 35,000,000.00 35,042,350.00 2.58 2.58 11/29/2019 170,566.67 42,350.00Canadian Imp Bk Comm NY 12/20/2018 50,000,000.00 50,000,000.00 50,194,500.00 3.03 3.03 12/11/2019 812,208.34 194,500.00Toronto Dominion NY 12/12/2018 50,000,000.00 50,001,097.79 50,183,000.00 3.08 3.07 12/11/2019 858,437.50 181,902.21Westpac Bank NY 12/17/2018 60,000,000.00 60,000,000.00 60,115,800.00 3.02 3.02 12/11/2019 986,533.34 115,800.00Bank of Montreal 12/06/2018 100,000,000.00 100,000,000.00 100,397,000.00 3.06 3.06 12/13/2019 1,759,500.00 397,000.00Royal Bk of Canada/Dain Rausch 12/11/2018 50,000,000.00 50,000,000.00 50,215,000.00 3.05 3.05 01/09/2020 855,694.45 215,000.00Toronto Dominion NY 01/07/2019 30,000,000.00 30,000,000.00 30,118,500.00 2.91 2.91 01/15/2020 424,375.00 118,500.00UBS AG Stamford 02/15/2019 20,000,000.00 20,000,000.00 20,062,000.00 2.75 2.75 02/18/2020 207,777.78 62,000.00Bank of Montreal 03/15/2019 40,000,000.00 40,000,000.00 40,149,200.00 2.67 2.67 02/21/2020 320,400.00 149,200.00Royal Bk of Canada/Dain Rausch 08/29/2018 50,000,000.00 50,000,000.00 50,253,500.00 2.92 2.92 02/28/2020 498,833.27 253,500.00Bank of Montreal 03/13/2019 1,000,000.00 1,000,000.00 1,004,340.00 2.69 2.69 03/13/2020 8,219.44 4,340.00Bank of Montreal 03/19/2019 25,000,000.00 25,000,000.00 25,114,750.00 2.70 2.70 03/20/2020 195,000.00 114,750.00Bank of Nova Scotia 04/05/2019 50,000,000.00 50,000,000.00 50,006,500.00 2.63 2.63 05/06/2020 317,791.67 6,500.00UBS AG Stamford 05/24/2019 25,000,000.00 25,000,000.00 25,074,750.00 2.55 2.55 05/29/2020 67,291.67 74,750.00UBS AG Stamford 06/04/2019 25,000,000.00 25,000,000.00 25,051,250.00 2.44 2.44 06/03/2020 45,750.00 51,250.00Bank of Montreal 09/06/2018 15,000,000.00 15,000,000.00 15,122,100.00 3.13 3.13 09/08/2020 388,641.67 122,100.00Negotiable CDs Subtotal: 1,847,000,000.00 1,847,001,097.79 1,849,607,420.00 2.82 2.82 27,606,920.70 2,606,322.21

SupranationalsIntl Bank For Recon and Dev 09/30/2016 25,000,000.00 25,000,000.00 24,939,500.00 1.20 1.20 09/30/2019 75,833.33 (60,500.00)Intl Bank For Recon and Dev 09/30/2016 25,000,000.00 25,000,000.00 24,939,500.00 1.20 1.20 09/30/2019 75,833.33 (60,500.00)Intl Bank For Recon and Dev 11/10/2016 25,000,000.00 25,000,000.00 24,918,750.00 1.30 1.30 10/25/2019 59,583.33 (81,250.00)Intl Bank For Recon and Dev 05/12/2017 35,000,000.00 34,958,879.95 34,886,250.00 1.30 1.68 10/25/2019 83,416.67 (72,629.95)Intl Bank For Recon and Dev 12/23/2016 25,000,000.00 24,941,683.11 24,887,500.00 1.13 1.72 11/27/2019 25,937.50 (54,183.11)Intl Bank For Recon and Dev 01/04/2017 25,000,000.00 24,947,647.17 24,887,500.00 1.13 1.66 11/27/2019 25,937.50 (60,147.17)Intl Bank For Recon and Dev 04/06/2017 25,000,000.00 25,043,752.26 24,951,500.00 1.88 1.97 04/21/2020 90,708.33 (92,252.26)Intl Bank For Recon and Dev 04/20/2017 25,000,000.00 25,063,580.02 24,951,500.00 1.88 1.86 04/21/2020 90,708.33 (112,080.02)Inter-American Development Bk 04/12/2017 50,000,000.00 49,966,798.65 49,808,000.00 1.63 1.70 05/12/2020 110,548.61 (158,798.65)Intl Bank For Recon and Dev 08/29/2017 15,000,000.00 14,998,771.94 14,943,000.00 1.63 1.63 09/04/2020 79,079.17 (55,771.94)Intl Bank For Recon and Dev 08/29/2017 35,000,000.00 34,997,134.52 34,867,000.00 1.63 1.63 09/04/2020 184,518.06 (130,134.52)Intl Bank For Recon and Dev 09/21/2017 25,000,000.00 24,985,972.95 24,905,000.00 1.63 1.67 09/04/2020 131,798.61 (80,972.95)Intl Bank For Recon and Dev 10/30/2015 25,000,000.00 25,000,000.00 24,988,250.00 2.00 1.35 10/15/2020 105,638.89 (11,750.00)Inter-American Development Bk 04/19/2018 100,000,000.00 99,868,000.00 101,301,000.00 2.63 2.70 04/19/2021 525,000.00 1,433,000.00International Finance Corp 07/20/2016 25,000,000.00 24,948,372.64 24,640,500.00 1.13 1.23 07/20/2021 124,577.50 (307,872.64)

17

IssuerPurchase



Unrealized

Gain/Loss


As of June 30, 2019

International Finance Corp 10/07/2016 12,500,000.00 12,441,776.41 12,320,250.00 1.13 1.36 07/20/2021 63,156.88 (121,526.41)Intl Bank For Recon and Dev 11/23/2016 10,000,000.00 10,000,000.00 9,951,500.00 1.75 1.75 11/23/2021 24,305.54 (48,500.00)Intl Bank For Recon and Dev 09/29/2017 25,000,000.00 25,000,000.00 24,991,500.00 1.98 1.98 09/29/2022 126,500.00 (8,500.00)Inter-American Development Bk 04/04/2019 15,000,000.00 15,086,366.02 15,357,150.00 2.50 2.33 01/18/2023 90,625.00 270,783.98Inter-American Development Bk 04/04/2019 10,000,000.00 10,058,419.94 10,238,100.00 2.50 2.33 01/18/2023 60,416.66 179,680.06Intl Bank For Recon and Dev 03/06/2019 25,000,000.00 25,000,000.00 25,000,000.00 2.90 2.90 03/06/2023 231,597.22 0.00Inter-American Development Bk 04/16/2019 50,000,000.00 50,000,000.00 50,583,500.00 2.53 2.53 07/06/2023 267,055.56 583,500.00Inter-American Development Bk 04/16/2019 25,000,000.00 25,000,000.00 25,291,750.00 2.53 2.53 07/06/2023 133,527.77 291,750.00Intl Bank For Recon and Dev 04/22/2019 10,000,000.00 10,216,318.87 10,481,400.00 3.00 2.46 09/27/2023 57,500.00 265,081.13Intl Bank For Recon and Dev 04/25/2019 6,000,000.00 6,137,570.05 6,288,840.00 3.00 2.43 09/27/2023 33,000.00 151,269.95Inter-American Development Bk 03/21/2019 25,000,000.00 25,450,606.25 26,168,750.00 3.00 2.55 10/04/2023 181,250.00 718,143.75Inter-American Development Bk 04/25/2019 25,000,000.00 25,192,480.16 25,787,500.00 2.63 2.44 01/16/2024 120,312.50 595,019.84Inter-American Development Bk 04/29/2019 25,000,000.00 25,239,661.90 25,787,500.00 2.63 2.40 01/16/2024 113,020.83 547,838.10Inter-American Development Bk 05/06/2019 34,750,000.00 35,045,847.93 35,844,625.00 2.63 2.45 01/16/2024 139,361.98 798,777.07Inter-American Development Bk 04/02/2019 50,000,000.00 50,000,000.00 51,138,000.00 2.29 2.29 01/31/2024 283,069.44 1,138,000.00Inter-American Development Bk 04/08/2019 50,000,000.00 50,000,000.00 51,112,500.00 2.33 2.33 02/29/2024 268,597.22 1,112,500.00Intl Bank For Recon and Dev 03/11/2019 25,000,000.00 25,000,000.00 25,000,000.00 2.89 2.89 03/11/2024 220,381.94 0.00Intl Bank For Recon and Dev 03/19/2019 25,000,000.00 24,961,559.17 25,715,250.00 2.50 2.53 03/19/2024 177,083.33 753,690.83Intl Bank For Recon and Dev 03/26/2019 25,000,000.00 25,000,000.00 25,388,500.00 2.77 2.77 03/26/2024 182,743.06 388,500.00Intl Bank For Recon and Dev 05/07/2019 25,000,000.00 25,000,000.00 25,446,500.00 2.75 2.75 05/07/2024 103,125.00 446,500.00Intl Bank For Recon and Dev 05/15/2019 25,000,000.00 25,000,000.00 25,591,500.00 2.88 2.88 05/15/2024 92,000.00 591,500.00Supranationals Subtotal: 1,008,250,000.00 1,009,551,199.91 1,018,299,365.00 2.14 2.15 4,757,749.09 8,748,165.09

Treasury Coupon SecuritiesU.S. Treasury 07/15/2016 10,000,000.00 9,999,845.18 9,994,300.00 0.75 0.79 07/15/2019 34,599.45 (5,545.18)U.S. Treasury 08/21/2014 15,000,000.00 14,999,883.14 14,992,200.00 1.63 1.63 07/31/2019 101,674.72 (7,683.14)U.S. Treasury 12/09/2016 42,000,000.00 42,011,232.49 41,978,160.00 1.63 1.29 07/31/2019 284,689.23 (33,072.49)U.S. Treasury 09/15/2017 10,000,000.00 9,997,933.78 9,982,800.00 1.25 1.38 08/31/2019 41,779.89 (15,133.78)U.S. Treasury 10/24/2014 15,000,000.00 15,008,936.03 14,984,250.00 1.75 1.50 09/30/2019 65,983.61 (24,686.03)U.S. Treasury 12/08/2014 15,000,000.00 14,988,977.41 14,961,300.00 1.50 1.68 11/30/2019 19,057.38 (27,677.41)U.S. Treasury 01/09/2015 15,000,000.00 15,008,851.95 14,964,300.00 1.63 1.50 12/31/2019 122,537.36 (44,551.95)U.S. Treasury 02/12/2016 20,000,000.00 20,037,960.45 19,918,800.00 1.38 1.04 01/31/2020 114,709.94 (119,160.45)U.S. Treasury 04/09/2015 10,000,000.00 9,993,732.08 9,947,700.00 1.25 1.35 02/29/2020 41,779.89 (46,032.08)U.S. Treasury 02/12/2016 20,000,000.00 20,040,332.16 19,911,000.00 1.38 1.06 02/29/2020 91,915.76 (129,332.16)U.S. Treasury 04/09/2015 10,000,000.00 9,983,162.30 9,934,400.00 1.13 1.36 03/31/2020 28,278.69 (48,762.30)U.S. Treasury 01/06/2017 20,000,000.00 19,977,868.14 19,902,400.00 1.38 1.53 03/31/2020 69,125.68 (75,468.14)U.S. Treasury 06/05/2015 15,000,000.00 14,981,362.23 14,930,850.00 1.50 1.64 05/31/2020 19,057.38 (50,512.23)U.S. Treasury 07/06/2018 20,000,000.00 19,992,133.62 20,104,600.00 2.50 2.54 06/30/2020 251,358.70 112,466.38U.S. Treasury 01/06/2017 20,000,000.00 19,885,346.57 19,859,400.00 1.38 1.75 01/31/2021 114,709.94 (25,946.57)U.S. Treasury 02/01/2019 13,000,000.00 13,002,824.30 13,136,110.00 2.50 2.49 01/31/2021 134,668.51 133,285.70U.S. Treasury 06/17/2016 35,000,000.00 35,190,453.98 34,737,500.00 1.38 1.08 05/31/2021 40,761.61 (452,953.98)U.S. Treasury 09/07/2016 5,000,000.00 4,998,701.62 4,938,650.00 1.13 1.14 06/30/2021 28,277.85 (60,051.62)

18

IssuerPurchase



Unrealized

Gain/Loss


As of June 30, 2019

U.S. Treasury 09/07/2016 5,000,000.00 5,110,809.58 5,049,600.00 2.25 1.15 07/31/2021 46,926.80 (61,209.58)U.S. Treasury 10/06/2016 25,000,000.00 24,930,312.07 24,670,000.00 1.13 1.25 09/30/2021 70,696.72 (260,312.07)U.S. Treasury 12/09/2016 15,000,000.00 14,972,949.17 15,004,650.00 1.75 1.83 11/30/2021 22,233.61 31,700.83U.S. Treasury 04/30/2019 50,000,000.00 49,114,189.46 50,035,000.00 1.75 2.27 01/31/2023 149,861.88 920,810.54U.S. Treasury 05/31/2019 40,000,000.00 39,065,900.68 39,418,800.00 1.38 1.96 08/31/2023 46,331.52 352,899.32U.S. Treasury 02/01/2019 10,000,000.00 10,015,057.79 10,328,100.00 2.50 2.46 01/31/2024 103,591.16 313,042.21U.S. Treasury 04/02/2019 15,000,000.00 14,917,557.79 15,250,800.00 2.13 2.25 03/31/2024 78,381.15 333,242.21U.S. Treasury 06/11/2019 15,000,000.00 15,412,552.08 15,515,100.00 2.50 1.91 05/15/2024 20,380.43 102,547.92Treasury Coupon Securities Subtotal: 485,000,000.00 483,638,866.05 484,450,770.00 1.61 1.65 2,143,368.86 811,903.95

Grand Total 10,116,556,209.80 10,111,666,126.00 10,135,946,100.22 2.37 2.39 50,924,417.34 24,279,974.22

19

Investment # Instrument Type Issuer Coupon Transaction Type Total Cash Transaction Date

3608 Money Market Funds Fidelity Government 2.33 Purchase -45,000,000.00 06/03/19

4393 Bank Deposit Wells Fargo Bank NA 2.25 Redemption 5,563,068.77 06/03/19

4893 Negotiable CD UBS AG Stamford 2.67 Redemption 25,000,000.00 06/03/19

5066 Commercial Paper Cooperatieve Raboban 2.61 Redemption 100,000,000.00 06/03/19

5068 Commercial Paper Canadian Imperial Ho 2.61 Redemption 50,000,000.00 06/03/19

5309 Sweep Fund JP Morgan 1.85 Purchase -45,641.17 06/03/19

5628 Commercial Paper MUFG Bank NY 2.50 Redemption 25,000,000.00 06/03/19



5722 Commercial Paper Cooperatieve Raboban 2.35 Redemption 290,000,000.00 06/03/19

5724 Commercial Paper Rabobank Nederland 2.35 Purchase -199,986,944.44 06/03/19

5725 Commercial Paper Prudential Funding L 2.37 Purchase -99,993,416.67 06/03/19

4393 Bank Deposit Wells Fargo Bank NA 2.25 Purchase -2,786,952.86 06/04/19

5289 Commercial Paper Natixis US Finance C 2.82 Redemption 50,000,000.00 06/04/19


5724 Commercial Paper Rabobank Nederland 2.35 Redemption 200,000,000.00 06/04/19

5725 Commercial Paper Prudential Funding L 2.37 Redemption 100,000,000.00 06/04/19


5727 Negotiable CD UBS AG Stamford 2.44 Purchase -25,000,000.00 06/04/19


4393 Bank Deposit Wells Fargo Bank NA 2.25 Redemption 27,974.16 06/05/19

5309 Sweep Fund JP Morgan 1.84 Purchase -4,701,890.95 06/05/19




5730 Federal Agencies Federal Home Loan Mt 2.65 Purchase -30,000,000.00 06/05/19


3578 Federal Agencies Federal Home Loan Mt 1.25 Redemption 25,000,000.00 06/06/19

3608 Money Market Funds Fidelity Government 2.30 Redemption 15,000,000.00 06/06/19


5309 Sweep Fund JP Morgan 1.85 Redemption 4,868,544.33 06/06/19

5430 Federal Agencies Federal Farm Credit 2.84 Redemption 9,987,500.00 06/06/19



TRANSACTION ACTIVITY REPORT

20


TRANSACTION ACTIVITY REPORT5732 Commercial Paper Natixis US Finance C 2.35 Purchase -214,985,965.28 06/06/19

5733 Commercial Paper Natixis US Finance C 2.35 Purchase -59,996,083.33 06/06/19



5309 Sweep Fund JP Morgan 1.85 Redemption 58,401.95 06/07/19





5736 Commercial Paper Canadian Imperial Ho 2.35 Purchase -99,980,416.67 06/07/19


5738 Corporate Notes Apple Inc 2.50 Purchase -15,344,989.11 06/07/19





5736 Commercial Paper Canadian Imperial Ho 2.35 Redemption 100,000,000.00 06/10/19




5741 Asset Backed Securities Chase Issuance Trust 1.58 Purchase -8,003,805.56 06/10/19






5743 U.S. Treasury Notes U.S. Treasury 2.50 Purchase -15,444,701.09 06/11/19








21


TRANSACTION ACTIVITY REPORT5744 Commercial Paper Natixis US Finance C 2.35 Redemption 245,000,000.00 06/13/19


5746 Federal Agencies Federal Farm Credit 1.95 Purchase -14,946,300.00 06/13/19

5747 Asset Backed Securities American Express Cre 3.18 Purchase -22,694,285.89 06/13/19

5748 Corporate Notes Apple Inc 2.50 Purchase -14,081,518.98 06/13/19


3612 Federal Agencies Federal Home Loan Ba 1.63 Redemption 25,000,000.00 06/14/19

4393 Bank Deposit Wells Fargo Bank NA 2.25 Purchase -265,673.83 06/14/19

4897 Negotiable CD Bank of Montreal 2.73 Redemption 50,000,000.00 06/14/19





3581 Asset Backed Securities Honda Auto Rec Owner 1.39 Redemption 372,372.63 06/17/19

3946 Asset Backed Securities Honda Auto Rec Owner 1.39 Redemption 1,001,682.37 06/17/19


4674 Asset Backed Securities Toyota Auto Receivab 2.10 Redemption 1,642,510.27 06/17/19

4868 Negotiable CD Royal Bk of Canada/D 2.56 Redemption 25,000,000.00 06/17/19


5448 Asset Backed Securities Toyota Auto Receivab 1.30 Redemption 1,037,701.25 06/17/19

5449 Asset Backed Securities Toyota Auto Receivab 1.76 Redemption 493,048.69 06/17/19

5468 Asset Backed Securities John Deere Owner Tru 2.63 Redemption 2,825,144.90 06/17/19













22


TRANSACTION ACTIVITY REPORT5751 Commercial Paper Natixis US Finance C 2.35 Redemption 150,000,000.00 06/18/19



5755 Commercial Paper Bank of Montreal 2.37 Purchase -29,986,175.00 06/18/19





2966 Federal Agencies Federal National Mtg 1.75 Redemption 20,000,000.00 06/20/19











5758 Asset Backed Securities Ford Credit Auto Own 2.35 Purchase -12,149,618.49 06/21/19

5759 Asset Backed Securities Ford Credit Auto Own 2.39 Purchase -11,500,000.00 06/21/19




4393 Bank Deposit Wells Fargo Bank NA 2.25 Redemption 784,718.96 06/24/19










23


TRANSACTION ACTIVITY REPORT5309 Sweep Fund JP Morgan 1.80 Purchase -4,893,758.34 06/25/19

5755 Commercial Paper Bank of Montreal 2.37 Redemption 30,000,000.00 06/25/19



5765 Commercial Paper MUFG Bank NY 2.31 Purchase -29,822,900.00 06/25/19





4916 Negotiable CD Westpac Bank NY 2.70 Redemption 25,000,000.00 06/26/19




5768 Asset Backed Securities Harley-Davidson Moto 2.39 Purchase -7,000,000.00 06/26/19

5769 Asset Backed Securities Harley-Davidson Moto 2.37 Purchase -6,999,912.50 06/26/19






4393 Bank Deposit Wells Fargo Bank NA 2.25 Purchase -22,682.39 06/27/19

4928 Federal Agencies Federal Farm Credit 3.20 Redemption 15,000,000.00 06/27/19






5775 Federal Agencies Federal National Mtg 2.88 Purchase -26,262,385.42 06/27/19

5776 Corporate Notes JP Morgan 4.40 Purchase -25,327,446.15 06/27/19



4908 Negotiable CD Bank of Nova Scotia 2.73 Redemption 25,000,000.00 06/28/19

4927 Negotiable CD Canadian Imp Bk Comm 2.71 Redemption 25,000,000.00 06/28/19

5112 Commercial Paper JP Morgan 2.87 Redemption 50,000,000.00 06/28/19

24


TRANSACTION ACTIVITY REPORT5158 Negotiable CD Toronto Dominion NY 2.94 Redemption 15,000,000.00 06/28/19

5162 Negotiable CD Toronto Dominion NY 2.94 Redemption 30,000,000.00 06/28/19

5163 Commercial Paper Credit Agricole CIB 2.85 Redemption 15,000,000.00 06/28/19

5182 Negotiable CD Toronto Dominion NY 2.92 Redemption 50,000,000.00 06/28/19

5186 Commercial Paper Credit Agricole CIB 2.85 Redemption 50,000,000.00 06/28/19

5214 Negotiable CD Royal Bk of Canada/D 2.92 Redemption 140,000,000.00 06/28/19

5282 Federal Agencies Federal Home Loan Ba 3.25 Redemption 25,000,000.00 06/28/19

5283 Federal Agencies Federal Home Loan Mt 3.00 Redemption 17,000,000.00 06/28/19







5777 Federal Agencies Federal Home Loan Ba 2.13 Purchase -49,103,899.10 06/28/19

5778 Commercial Paper BNP Paribas NY 2.33 Purchase -99,980,583.33 06/28/19

5779 Commercial Paper Canadian Imperial Ho 2.33 Purchase -49,990,291.67 06/28/19

3860 U.S. Treasury Notes U.S. Treasury 1.63 Redemption 40,000,000.00 07/01/19

Grand Total 528,268,480.98

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