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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
Robert Cheddar, CFA
Managing Director/Senior Portfolio Manager
One Keystone Plaza, Suite 300
Harrisburg, PA 17101
717-231-6202
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
CITY OF HAYWARD - 35310000
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%
Account 35310000 Page 2
For the Month Ending January 31, 2017Managed Account Issuer Summary
CITY OF HAYWARD - 35310000
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%
Account 35310000 Page 3
For the Month Ending January 31, 2017Managed Account Detail of Securities Held
CITY OF HAYWARD - 35310000
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
10,663.50 6,347,497.02 6,392,353.67 1.00 6,388,534.15 6,400,000.00 Security Type Sub-Total
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
Account 35310000 Page 4
For the Month Ending January 31, 2017Managed Account Detail of Securities Held
CITY OF HAYWARD - 35310000
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
Municipal Bond / Note
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
11,932.94 2,861,597.00 2,885,220.17 1.25 2,890,788.00 2,880,000.00 Security Type Sub-Total
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
FNMA SERIES 2015-M7 ASQ2
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
FNMA SERIES 2015-M15 ASQ2
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
FNMA SERIES 2015-M10 FA
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
FNMA SERIES 2016-M9 ASQ2
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
Account 35310000 Page 5
For the Month Ending January 31, 2017Managed Account Detail of Securities Held
CITY OF HAYWARD - 35310000
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
Federal Agency Collateralized Mortgage Obligation
FNMA SERIES 2015-M12 FA
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
9,023.34 7,518,631.97 7,532,907.00 0.75 7,554,232.34 7,501,714.40 Security Type Sub-Total
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
Account 35310000 Page 6
For the Month Ending January 31, 2017Managed Account Detail of Securities Held
CITY OF HAYWARD - 35310000
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
Federal Agency Bond / Note
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
195,962.29 70,950,640.39 71,246,574.52 1.00 71,343,396.27 71,200,000.00 Security Type Sub-Total
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
Account 35310000 Page 7
For the Month Ending January 31, 2017Managed Account Detail of Securities Held
CITY OF HAYWARD - 35310000
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
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
24,136.68 8,112,834.67 8,126,889.29 1.69 8,129,197.60 8,130,000.00 Security Type Sub-Total
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
Account 35310000 Page 8
For the Month Ending January 31, 2017Managed Account Detail of Securities Held
CITY OF HAYWARD - 35310000
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
8,065.34 3,619,068.00 3,599,138.88 1.81 3,599,064.00 3,600,000.00 Security Type Sub-Total
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.
Account 35310000 Page 9
For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics
CITY OF HAYWARD - 35310000
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
(41,037.13) 1.34 1.84 (44,856.65) 6,347,497.02 6,400,000.00 Security Type Sub-Total 1.84
Municipal Bond / Note
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
Account 35310000 Page 10
For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics
CITY OF HAYWARD - 35310000
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
Municipal Bond / Note
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
(29,191.00) 1.55 1.46 (23,623.17) 2,861,597.00 2,880,000.00 Security Type Sub-Total 1.46
Federal Agency Collateralized Mortgage Obligation
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
(35,600.37) 1.26 2.06 (14,275.03) 7,518,631.97 7,501,714.40 Security Type Sub-Total 0.64
Federal Agency Bond / Note
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
Account 35310000 Page 11
For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics
CITY OF HAYWARD - 35310000
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
Federal Agency Bond / Note
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
Account 35310000 Page 12
For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics
CITY OF HAYWARD - 35310000
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
Federal Agency Bond / Note
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
(392,755.88) 1.20 1.79 (295,934.13) 70,950,640.39 71,200,000.00 Security Type Sub-Total 1.79
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
Account 35310000 Page 13
For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics
CITY OF HAYWARD - 35310000
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
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
(16,362.93) 1.78 1.96 (14,054.62) 8,112,834.67 8,130,000.00 Security Type Sub-Total 1.97
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
Account 35310000 Page 14
For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics
CITY OF HAYWARD - 35310000
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
Bolded items are forward settling trades.
Account 35310000 Page 15
For the Month Ending January 31, 2017Managed Account Security Transactions & Interest
CITY OF HAYWARD - 35310000
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
Account 35310000 Page 16
For the Month Ending January 31, 2017Managed Account Security Transactions & Interest
CITY OF HAYWARD - 35310000
Transaction Type
Trade CUSIPSecurity DescriptionSettle Par Proceeds
Principal Accrued
Interest Total Cost
Realized G/L Realized G/L Sale
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
01/25/17 FNMA SERIES 2015-M1 ASQ2
DTD 01/15/2015 1.626% 02/01/2018
3136AMKW8 0.00 545.88 545.88 402,860.70 01/01/17
01/25/17 FNMA SERIES 2015-M15 ASQ2
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
01/25/17 FNMA SERIES 2015-M10 FA
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
01/25/17 FNMA SERIES 2015-M3 FA
DTD 02/01/2015 0.800% 06/01/2018
3136AMMC0 0.00 157.39 157.39 235,977.96 01/01/17
01/25/17 FNMA SERIES 2015-M7 ASQ2
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
01/31/17 US TREASURY NOTES
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
Account 35310000 Page 17
For the Month Ending January 31, 2017Managed Account Security Transactions & Interest
CITY OF HAYWARD - 35310000
Transaction Type
Trade CUSIPSecurity DescriptionSettle Par Proceeds
Principal Accrued
Interest Total Cost
Realized G/L Realized G/L Sale
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
01/25/17 FNMA SERIES 2015-M3 FA
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
01/25/17 FNMA SERIES 2015-M10 FA
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
01/25/17 FNMA SERIES 2015-M1 ASQ2
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
01/25/17 FNMA SERIES 2015-M12 FA
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
01/05/17 US TREASURY NOTES
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
01/05/17 US TREASURY NOTES
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
01/05/17 US TREASURY NOTES
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
01/05/17 US TREASURY NOTES
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
01/27/17 US TREASURY NOTES
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
Account 35310000 Page 18
For the Month Ending January 31, 2017Managed Account Security Transactions & Interest
CITY OF HAYWARD - 35310000
Transaction Type
Trade CUSIPSecurity DescriptionSettle Par Proceeds
Principal Accrued
Interest Total Cost
Realized G/L Realized G/L Sale
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
Bolded items are forward settling trades.
Account 35310000 Page 19