quarterly investment report - santa clara county, california · 3/31/2017 · santa clara county...

Quarterly Investment Report

March 31, 2017

Quarterly Investment ReportTable of Contents

Summary of Cost Values versus Market Values and Yields

Portfolio Strategy, Compliance, Review and Monitoring

Commingled Pool: Allocation by Security Types

Commingled Pool: Allocation by Ratings

Commingled Pool: Holdings by Issuer

Commingled Pool: Historical Month End Book Values

Commingled Pool: Distribution by Maturity

Commingled Pool: Yield to Maturity and Weighted Average Maturity

Approved Issuers and Broker/Dealers

Commingled Pool: Compliance with Investment Policy

Holdings Report: Commingled Pool

Holdings Report: Worker's Compensation

Holdings Report: Mountain View-Los Altos

Holdings Report: Palo Alto Unified

Holdings Report: Park Charter Fund

Holdings Report: San Jose-Evergreen

Transaction Activity Report

Board of Supervisors: Mike Wasserman, Cindy Chavez, Dave Cortese, Ken Yeager, S. Joseph Simitian

County Executive: Jeffrey V. Smith

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27

29

11

24

23

9

10

5

6

7

8

Quarterly Investment Review Table of Contents

1

2

3

4

Commingled Investment Pool

Worker's Compensation

Mountain View-Los Altos

Palo Alto Unified

Park Charter Fund

San Jose-Evergreen

Medical Malpractice Insurance Fund (1)

Total

Commingled Investment Pool

Worker's Compensation

Weighted Yield

Fund

Summary of Yields* for Select Santa Clara County Investment Funds

0.00%

0.00%

-0.02%

0.12%

$6,606,740,429 -0.23%-$15,517,886

$0

$8,989,973

$20,060,358

Jan 31 Feb 28 Mar 31

2017

0.99%

1.01%

1.03%

1.03%

1.39% 1.40%

0.83%

2016

1.10%

Mar 31

0.83%1.10%

1.42% 1.21%

$77,896 0.28%

$13,034,522

$0

-$1,836

$23,927

-0.06%

$0

VarianceFund

-$15,610,072 -0.24%

% Variance

Santa Clara County Commingled Pool and Segregated Investments

-$7,802

$6,622,258,315

$2,028,018

$0

$8,988,137

$20,084,285

$13,026,721

$2,028,018

$27,756,838 $27,834,734

March 31, 2017

$6,550,388,607

Cost Value** Market Value

$6,534,778,535

*Yield to maturity (YTM) is the rate of return paid on a bond, note, or other fixed income security if the investor buys and holds it to its maturity date and if the coupon interest paid over the life of the bond is reinvested at the same rate as the coupon rate. The calculation for YTM is based on the coupon rate, length of time to maturity, and market price at time of purchase.

Yield is a snapshot measure of the yield of the portfolio on the day it was measured based on the current portfolio holdings on that day. This is not a measure of total return, and is not intended to be, since it does not factor in unrealized capital gains and losses and reinvestment rates are dependent upon interest rate changes

**Cost Value is the amortized book value of the securities as of the date of this report.

(1) Managed by Chandler Asset Management, Inc.

1

Yield and Weighted Average Maturity

Compliance

Review and Monitoring

Additional Information

Santa Clara County Commingled Pool and Segregated Investments

Portfolio Compliance, Review, and Monitoring

March 31, 2017

The yield of the Commingled Pool is 1.10 and the weighted average life is 479 days.

The County Treasuer believes the Commingled Pool contains sufficent cash flow from liquid and maturing securities, bank deposits and incoming cash to

meet the next six months of expected expenditures.

FTN Financial Main Street Advisors, the County’s investment advisor, currently monitors the Treasury Department’s investment activities.

Securities are purchased with the expectation that they will be held to maturity, so unrealized gains or losses are not reflected in the yield calculations.

The market values of securities were taken from pricing services provided by the Bank of New York Mellon, Bloomberg Analytics, dealer quotes, and an

independent pricing service.

2

Sector % ChngFederal AgenciesCorporate BondsRepurchase AgreementsCommercial PaperABSABS Green BondsMunicipal SecuritiesU.S. TreasuriesNegotiable CDsLAIFMoney Market FundsSupranationalsSupranationals Green Bonds

Total

SectorFederal AgenciesCorporate BondsRepurchase AgreementsCommercial PaperABSABS Green BondsMunicipal SecuritiesU.S. TreasuriesNegotiable CDsLAIFMoney Market FundsSupranationalSupranationals Green Bonds

Total Amounts are based on book value

2.40% 2.22% 0.2%

157,442,925 157,443,189

40,231,132

292,660,894 265,330,880

68,580,743 87,366,321 3,999,842 3,999,829

6,550,388,607 7,081,500,486

1.23% -0.2%0.77% 1.13% -0.4%

446,259,976 - -

100.00% 100.00%

3/31/2017 12/31/2016

50,278,980 80,286,959 405,000,000 660,000,135

40,299,659

Santa Clara County Commingled Pool

Allocation by Security Types

3/31/2017 12/31/201655.16% 54.52% 0.6%

6.31% 9.98% -3.7%

March 31, 2017

7.16% 6.30% 0.9%0.00% 0.00% 0.0%

0.06% 0.06% 0.0%

0.64% 0.1%0.69%

413,372,894 706,381,461

4.47% 3.75% 0.7%

15.13% 10.28% 4.8%

6.18% 9.32% -3.1%0.62% 0.57% 0.0%

1.05%

3,613,374,765 3,860,960,209 469,232,374

991,145,531 728,240,394

45,000,000 45,000,000

Agy 55.2%Corp 7.2%

Repo 0.0%

CP 6.3%

ABS 4.5%

ABS Green 0.1% Muni 1.0%

Tsy 0.8%

CDs 6.2%

LAIF 0.6%MMF 15.1%

Supra 2.4%Supra Green

0.7%

3

*Not Rated by Moody's but A-1+ by S&P

**Repurchase Agreements are not rated, but are collateralized by U.S. Treasury securities or securities issued by the Federal Agencies of the U.S.

***LAIF is not rated, but is comprised of State Code allowable securities

Amounts are based on book values

Total

A2

A3

LAIF***

Repo** Not Rated*

Aaa

Aa1

Aa2

Aa3

A1

- 145,657,131

6,550,388,607

17.9%

72.9%

0.6%

2.0%

3.5%

0.3%

0.0%

0.0%

0.6%

0.0%2.2%

100.0%

4,772,835,575


Allocation by Ratings

March 31, 2017

1,174,325,576

Portfolio %Portfolio $Moody's Rating

P-1

-

40,299,659

37,975,516

132,228,815

227,198,280

19,868,054

-

P-1 17.9%

Aaa 72.9%

Aa1 0.6%

Aa2 2.0%

Aa3 3.5%

A1 0.3% A2 0.0%

LAIF*** 0.6%Repo** 0.0%

Not Rated* 2.2%

4

Amounts are based on book values

March 31, 2017

Holdings by Issuer - Percent of Commingled Pool


0.0%0.0%0.0%0.0%0.1%0.2%0.2%0.2%0.2%0.2%0.3%0.3%0.4%0.4%0.5%0.5%0.6%0.6%0.6%0.6%0.6%0.7%0.7%0.7%0.7%0.8%0.8%0.8%0.8%0.8%0.8%0.9%0.9%0.9%0.9%0.9%1.1%1.3%1.4%1.5%1.6%

1.9%3.1%

3.8%4.9%

6.4%10.6%

10.9%10.9%

22.2%

0% 5% 10% 15% 20% 25%

North Dakota State FinanceVOLKSWAGEN AUTO LOAN ENHANCED

New York State Dormatory AuthUNIVERSITY CALIFORNIA REVS

NISSAN AUTO LEASE TRUSTBMW VEHICLE OWNER TRUST

WELLS FARGOMERCEDES -BENZ AUTO REC TRUST

JPMORGANBERKSHIRE HATHWY

WALMARTROYAL BANK OF CANADA

BANK OF NOVA SCOTIAMERCEDES-BENZ AUTO LEASE TRUST

IBMJOHNSON & JOHNSON

APPLE INCJOHN DEERE OWNER TRUST

CITIBANK CREDIT CARD ISSUANCEU.S. TREASURY NOTES

LOCAL AGENCY INVEST FUNDTOYOTA AUTO REC OWNER TRUST

MICROSOFT CORPCHASE ISSUANCE TRUST (ABS)

FARMER MAC DISCOUNT NOTEBMW VEHICLE LEASE TRUST

BANK OF AMERICABNP PARIBAS NY BRANCH

EXXON MOBIL CORPSOCIETE GENERALE

TORONTO DOMINIONHONDA AUTO RECEIVABLES OWNER T

RABOBANKCoca-Cola Co

CANADIAN IMP BKCALIFORNIA ST

U S BANKCHEVRON CORP.

JP Morgan SecuritiesBANK OF MONTREAL CHICAGO

CHEVRONTOYOTA MOTOR CREDIT

INTL BANK RECON & DEVELOPJPM TE MMK FD

MORGAN STANLEY TRSY INSTL 8304DREYFUS CASH MANAGEMENT

FNMAFFCB

FHLMCFHLB

5

Amounts in billions

$6.550FY 2017 $5.469 $5.328 $5.088 $5.220 $5.671 $7.082 $6.319 $6.348

FY 2015 $4.267 $4.194 $4.096 $4.051 $6.284 $6.065 $5.690$4.247 $5.639 $5.045 $5.085 $5.420


Historical Month End Book Values

March 31, 2017

Fiscal Year Dec Jan Feb

FY 2014 $4.133 $4.052 $3.975 $3.758 $5.386 $5.487 $5.108$4.271 $5.419 $5.019 $4.520 $4.461

FY 2013

$3.541

$3.230

$3.736$3.801

$3.508

FY 2010

FY 2011

$3.307

FY 2012

$3.373 $3.307 $3.307 $3.408 $4.175

$3.032

$3.555 $3.805 $4.567 $4.097

$3.143 $2.898 $3.227 $3.943

$3.645 $4.600

$3.695

$4.521

$4.032$4.040 $4.926 $4.525

$3.551 $3.712 $4.339

$3.918 $3.982 $4.606 $5.286

$4.179 $3.935

Jul Aug Sep Oct Nov Mar Apr May Jun

FY 2016 $5.212 $4.990 $4.941 $4.587

$4.384 $3.536

$3.833$3.637

$3.408 $3.687 $4.463

$6.911 $6.728 $6.263$5.120 $6.543 $5.997 $5.752 $6.040

$4.952$3.517 $3.515 $3.469

$2.50

$3.00

$3.50

$4.00

$4.50

$5.00

$5.50

$6.00

$6.50

$7.00

$7.50

Jul-

20

09

Oct

-20

09

Jan

-20

10

Ap

r-2

01

0

Jul-

20

10

Oct

-20

10

Jan

-20

11

Ap

r-2

01

1

Jul-

20

11

Oct

-20

11

Jan

-20

12

Ap

r-2

01

2

Jul-

20

12

Oct

-20

12

Jan

-20

13

Ap

r-2

01

3

Jul-

20

13

Oct

-20

13

Jan

-20

14

Ap

r-2

01

4

Jul-

20

14

Oct

-20

14

Jan

-20

15

Ap

r-2

01

5

Jul-

20

15

Oct

-20

15

Jan

-20

16

Ap

r-2

01

6

Jul-

20

16

Oct

-20

16

Jan

-20

17

Bill

ion

s

6

*Amounts are based on book value

31-90 Days 196,031,911

91-365 Days 1,789,431,824

18.24%

1Yr-2Yr 1,269,190,646

2Yr-3Yr 1,195,011,355

4Yr-5Yr

3Yr-4Yr 6.95%4Yr-5Yr 3.97%

1-30 Days 5.40%

31-90 Days 2.99%

91-365 Days 27.32%

1Yr-2Yr 19.38%

2Yr-3Yr


Distribution by Maturity

March 31, 2017

Maturity Amount*

Overnight 1,031,445,190

Overnight 15.75%

3Yr-4Yr 455,015,855 260,272,598

Maturity Amount*

6,550,388,607

1-30 Days 353,989,226

100.00%

$0

$500,000,000

$1,000,000,000

$1,500,000,000

$2,000,000,000

Overnight 1-30 Days 31-90 Days 91-365 Days 1Yr-2Yr 2Yr-3Yr 3Yr-4Yr 4Yr-5Yr

Distribution By Maturity Dollars

0%

5%

10%

15%

20%

25%

30%

Overnight 1-30 Days 31-90 Days 91-365 Days 1Yr-2Yr 2Yr-3Yr 3Yr-4Yr 4Yr-5Yr

Distribution By Maturity Percentages

7

422 471 477 479

2Yr T-Note 0.78% 0.88% 0.58% 0.66%

504 533 518 481

0.81% 0.76% 0.84%0.61% 0.63% 0.74% 0.90%

1.26%1.19% 1.21% 1.26%6 Mon T-Bill 0.38% 0.45% 0.35% 0.37%

LAIF WAM 164 167 167 169 162 180165 163 167 176 180 186

0.63% 0.65% 0.68%

0.46% 0.43% 0.50% 0.61%1.12%

SCC WAM 399 417 439 504

0.96% 1.01% 1.03% 1.10%

LAIF YTM 0.53% 0.55% 0.58% 0.59% 0.61% 0.82%0.72% 0.75% 0.78%

0.98% 0.99% 0.99% 0.97%

Sep-16 Oct-16 Nov-16

SCC YTM 0.83% 0.86% 0.90% 0.96%


Yield to Maturity and Weighted Average Maturity

March 31, 2017

Item Apr-16 May-16 Jun-16 Jul-16 Aug-16 Mar-17Dec-16 Jan-17 Feb-17

0.30%

0.50%

0.70%

0.90%

1.10%

1.30%

Yield to Maturity

Santa ClaraLAIF6 Mon T-Bill2Yr T-Note

125150175200225250275300325350375400425450475500525550

Day

s

Weighted Average Maturity

Santa Clara

LAIF

8

Direct Commercial Paper Issuers Broker/Dealers

General Electric Bank of America Merrill LynchToyota Motor Credit Barclays Capital, Inc

US Bank, NA BMO Capital Markets

BNP Paribas Securities Corp

BNY Mellon Capital Markets, LLC

Brean Capital LLC

Cantor Fitzgerald & Co

Citigroup Global Markets Inc

Daiwa Capital Markets America Inc

Deutsche Bank Securities Inc

FTN Financial, Inc

Incapital LLC

Jefferies & Co

JP Morgan Securities, Inc

Keybanc Capital Markets, Inc

Loop Capital Markets LLC

Mizuho Securities USA, Inc

Piper Jaffray & Co

Raymond James, Inc.

RBC Capital Markets, Inc

Stifel Nicolaus & Co

Suntrust Robinson Humphrey Inc

UBS Financial Serviec Inc

Vining Sparks LP

Williams Capital

Santa Clara County

Approved Issuers and Broker/Dealers

March 31, 2017

9

Yes

Yes

Yes, None in

Portfolio

Yes

Yes, None in

Portfolio

Sector limit 30%, issuer limit 5%, max maturity 5 years, if under 1 year rated by at least two: A-1 (S&P), P-1 (Moody's), F-1

(Fitch), if greater than 1 year rated by at least two: AA- (S&P/Fitch)/Aa3 (Moody's)

Negotiable Certificates of

Deposit

Sector limit 10%, no issuer limit, State of CA, local CA agencies, and other municipal securities of the other 49 states, if long-

term rated, then by at least two: A- (S&P/Fitch)/A3 (Moody's), if short-term rated, then by at least two: SP-1 (S&P), MIG-1

(Moody's), F-1 (Fitch), revenue based bonds payable solely out of the States' or local agencies' revenues

Municipal Securities

Securities LendingSector limit 20%, max maturity 92 days for loans and reinvestment, loan counterparty must be a primary dealer, loaned

securities must be owned for at least 30 days

Bankers' Acceptances

Sector limit 20% in aggregate with ABS, no issuer limit, max maturity 5 years, collateralized by pools of conforming residential

mortgage loans insured by FHLMC/FNMA and residential mortgages guaranteed by FHA (GNMA)

Mortgage-Backed

Securities

Sector limit 20% in aggregate with ABS, no issuer limit, max maturity 5 years, collateralized by pools of loans such as

installment/receivables, security must be rated by at least two: AA- (S&P/Fitch), Aa3 (Moody's), issuer rated by at least two: A-

(S&P/Fitch), A3 (Moody's)

Asset-Backed Securities

Yes

Sector limit 40%, issuer limit 5%, max maturity 270 days, rated by at least two: A-1 (S&P), P-1 (Moody's), F-1 (Fitch), issued by

domestic corporation w/ at least $500 mil of assets, and long term debt rated by at least two: AA- (S&P/Fitch)/Aa3 (Moody's)Commercial Paper Yes

Money Market FundsSector limit 20%, issuer limit 10%, rated by at least two: AAA-m (S&P/Fitch)/Aaa-mf (Moody's), MMF has at least $500 mil

managed Yes

Corporate BondsYes

No sector limit, no Issuer limit, max maturity 92 days, treasury and agency collateral at 102% of investment, if maturity

exceeds 15 days, must be collateralized by securities with 5 years or less maturities

Sector limit 30%, issuer limit 5%, max maturity 5 years, rated by at least two: AA- (S&P/Fitch)/Aa3 (Moody's), issued by

domestic corps/depositories

Repurchase Agreements

Supranational Debt

Obligations

Sector limit 10%, max maturity 5 years, issued or unconditionally gauranteed by the IBRD, rated by at least two: AAA

(S&P/Fitch), Aaa (Moody's)Yes

Sector limit 40%, issuer limit 5%, max maturity 180 days, rated by at least two: A-1 (S&P), P-1 (Moody's), F-1 (Fitch), issued by

commercial banks

Yes, None in

Portfolio

LAIF

U.S. Treasuries

Yes

U.S. Federal Agencies

No sector limit, no issuer limit, CA State's deposit limit $65 million

YesNo sector limit, no issuer limit, max maturity 5 years

Interest Periods Securities must pay interest within one year of the initial investment and at least semiannually in subsequent years

Yes

Investment Swaps Similar maturity swaps, so as not to affect cash flow needs, should have minimum 5 basis point gain

No sector limit, no issuer limit, max maturity 5 years

Issuer LimitsNo more than 5% of the portfolio shall be invested in aggregate of any single institution of the following types: Bankers

Acceptances, CP, Negotiable CDs, and Corporate Notes Yes

Yes

Yes


Compliance with Investment PolicyMarch 31, 2017

Maturity

In Compliance

Yes

ParametersItem/Sector

Weighted Average Maturity (WAM) must be less than 24 months

10

SANTA CLARA COUNTY INVESTMENTS

March 31, 2017

Fund COMM - COMMINGLED POOLInvestments by Fund

Par ValueDays ToMaturity

MaturityDate

CurrentRateMarket ValueCUSIP Investment # Issuer

PurchaseDate Book Value

YTM360

YTM365

Negotiable CDs

BANK OF AMERICA37375 50,000,000.0006052TVX5 07/07/2017 971.17001/27/2017 50,009,300.00 1.170 1.18650,000,000.00BANK OF MONTREAL CHICAGO37139 50,000,000.0006427KHS9 08/31/2017 1521.26011/29/2016 50,010,750.00 1.260 1.27750,000,000.00BANK OF MONTREAL CHICAGO37701 50,000,000.0006427KS32 07/21/2017 1110.95002/22/2017 49,966,500.00 0.950 0.96350,000,000.00BNP PARIBAS NY BRANCH37616 50,000,000.0005582WRH9 01/16/2018 2901.45003/28/2017 49,978,350.00 1.450 1.47050,000,000.00BANK OF NOVA SCOTIA37164 25,000,000.0006417GQY7 12/01/2017 2441.25412/02/2016 25,031,325.00 1.250 1.26825,000,000.00CANADIAN IMP BK37133 60,000,000.0013606A5U8 08/25/2017 1461.24011/28/2016 60,024,180.00 1.240 1.25760,000,000.00ROYAL BANK OF CANADA36156 20,000,000.0078009NVR4 07/30/2018 4851.69307/30/2015 20,000,000.00 1.669 1.69320,000,000.00SOCIETE GENERALE37629 50,000,000.0083369YPE0 07/31/2017 1211.16003/29/2017 49,997,250.00 1.160 1.17650,000,000.00TORONTO DOMINION37121 50,000,000.0089113WNA0 08/30/2017 1511.14011/21/2016 49,986,100.00 1.140 1.15550,000,000.00

Subtotal and Average 405,000,000.00 405,000,000.00 405,003,755.00 1.224 1.241 174

Federal Agency Bonds

FARMER MAC37079 25,000,000.003132X0LA7 02/02/2018 3070.80011/02/2016 24,933,100.00 0.789 0.80025,000,000.00FFCB NOTES35497 15,000,000.003133EDQM7 07/17/2017 1071.00012/10/2014 15,007,695.00 0.942 0.95515,001,951.44FFCB NOTES35527 10,000,000.003133EEFE5 12/18/2017 2611.12512/18/2014 10,005,620.00 1.077 1.09210,002,284.44FFCB NOTES35529 10,000,000.003133EEFE5 12/18/2017 2611.12512/18/2014 10,005,620.00 1.109 1.12510,000,000.00FFCB NOTES35678 10,000,000.003133EEQX1 09/25/2017 1771.00002/26/2015 10,003,360.00 0.909 0.92210,003,691.10FFCB NOTES35683 15,000,000.003133EEQX1 09/25/2017 1771.00002/27/2015 15,005,040.00 0.958 0.97115,002,053.13FFCB NOTES35757 20,000,000.003133EEQX1 09/25/2017 1771.00003/24/2015 20,006,720.00 0.880 0.89320,010,190.10FFCB NOTES35799 9,950,000.003133EEWG1 04/01/2019 7301.30004/01/2015 9,941,771.35 1.353 1.3719,936,104.82FFCB NOTES35872 10,000,000.003133EEQX1 09/25/2017 1771.00004/16/2015 10,003,360.00 0.752 0.76210,011,342.66FFCB NOTES35892 5,000,000.003133ECBX1 09/28/2017 1800.82004/21/2015 4,999,960.00 0.787 0.7985,000,524.74FFCB NOTES35940 5,000,000.003133EEE71 05/01/2018 3950.92005/01/2015 4,986,125.00 0.907 0.9205,000,000.00FFCB NOTES35941 5,000,000.003133EEE71 05/01/2018 3950.92005/01/2015 4,986,125.00 0.907 0.9205,000,000.00FFCB NOTES35965 5,000,000.003133EEJ50 05/11/2018 4051.03005/11/2015 4,996,560.00 1.082 1.0974,996,338.89FFCB NOTES36201 10,000,000.003133EDEB4 06/28/2017 881.10008/31/2015 10,005,470.00 0.734 0.74410,008,514.61FFCB NOTES36370 15,000,000.003133EFPJ0 11/19/2018 5971.29011/19/2015 15,009,420.00 1.276 1.29414,999,020.00FFCB NOTES36440 20,000,000.003133EFSG3 03/14/2018 3471.10012/14/2015 20,007,120.00 1.085 1.10020,000,000.00FFCB NOTES36441 15,000,000.003133EFSG3 03/14/2018 3471.10012/14/2015 15,005,340.00 1.085 1.10015,000,000.00FFCB NOTES36442 15,000,000.003133EFSH1 06/14/2018 4391.17012/14/2015 15,005,925.00 1.174 1.19014,996,391.67FFCB NOTES36443 20,000,000.003133EFSH1 06/14/2018 4391.17012/14/2015 20,007,900.00 1.174 1.19019,995,092.67

Portfolio SCL2AP

Run Date: 04/19/2017 - 12:58 FI (PRF_FI) 7.1.1Report Ver. 7.3.5

11

March 31, 2017


MaturityDate

CurrentRateMarket Value

Fund COMM - COMMINGLED POOLInvestments by Fund Page 2

CUSIP Investment # IssuerPurchase

Date Book ValueYTM360

YTM365


FFCB NOTES36584 15,000,000.003133EFZN0 02/12/2019 6821.03002/24/2016 14,931,390.00 1.057 1.07214,988,408.29FFCB NOTES36683 35,000,000.003133EF3B1 04/18/2018 3820.75004/12/2016 34,856,990.00 0.800 0.81134,975,282.09FFCB NOTES36726 26,855,000.003133EF4Y0 04/26/2019 7551.00004/27/2016 26,605,597.62 1.112 1.12826,785,170.28FFCB NOTES36768 25,000,000.003133EGAS4 02/16/2018 3210.75005/18/2016 24,919,200.00 0.841 0.85324,977,679.14FFCB NOTES37018 10,000,000.003133EGWH4 09/29/2021 1,6421.28009/30/2016 9,662,160.00 1.243 1.26010,008,454.25FFCB NOTES37049 5,000,000.003133EGYN9 10/17/2018 5640.94010/17/2016 4,980,430.00 0.927 0.9405,000,000.00FFCB NOTES37112 25,000,000.003133EGJ48 11/16/2018 5940.89011/17/2016 24,833,725.00 1.082 1.09724,917,009.74FFCB NOTES37194 10,000,000.003133EGT47 12/08/2021 1,7122.01012/08/2016 9,999,400.00 1.982 2.01010,000,000.00FFCB NOTES37265 35,000,000.003133EGX67 08/20/2019 8710.90112/20/2016 35,151,935.00 0.899 0.91135,000,000.00FFCB NOTES37305 25,000,000.003133EG2D6 09/27/2019 9091.55012/30/2016 25,014,975.00 1.490 1.51125,023,829.79FFCB NOTES37378 5,000,000.003133EG5D3 01/27/2022 1,7622.03001/27/2017 4,997,405.00 2.002 2.0305,000,000.00FFCB NOTES37399 20,000,000.003133EG5Q4 02/01/2019 6711.30002/01/2017 19,991,040.00 1.282 1.30020,000,000.00FFCB NOTES37404 15,000,000.003133EG6C4 02/03/2020 1,0381.55002/03/2017 14,999,520.00 1.533 1.55414,998,012.78FFCB NOTES37466 15,000,000.003133EG3X1 01/17/2019 6561.25002/16/2017 14,970,870.00 1.297 1.31514,982,555.20FFCB NOTES37502 20,000,000.003133EHBA0 03/02/2020 1,0661.52003/02/2017 19,948,100.00 1.537 1.55819,978,201.48FFCB NOTES37566 13,475,000.003133EHCX9 03/20/2019 7181.45003/20/2017 13,492,113.25 1.485 1.50613,460,271.26FFCB NOTES37574 25,000,000.003133EHCX9 03/20/2019 7181.45003/20/2017 25,031,750.00 1.422 1.44125,003,938.89FFCB NOTES37628 25,000,000.003133EG3X1 01/17/2019 6561.25003/30/2017 24,951,450.00 1.316 1.33424,962,557.96FHLB NOTES33890 25,000,000.00313379DD8 06/21/2017 811.00012/31/2012 25,009,200.00 0.678 0.68825,017,031.06FHLB NOTES35004 15,000,000.003130A1NN4 05/24/2017 530.87504/11/2014 15,001,800.00 0.925 0.93714,998,633.70FHLB NOTES35505 25,000,000.003130A3P40 07/03/2017 930.87512/11/2014 25,001,325.00 0.912 0.92524,996,851.84FHLB NOTES35528 25,000,000.003130A3RW6 08/15/2017 1361.00012/18/2014 25,005,400.00 0.938 0.95125,004,480.67FHLB NOTES35531 17,000,000.003130A3SZ8 08/15/2017 1360.95012/18/2014 17,000,510.00 0.966 0.98016,998,136.18FHLB NOTES35549 10,000,000.003130A3SL9 06/15/2017 750.95012/30/2014 10,002,810.00 0.907 0.92010,000,602.03FHLB NOTES35684 20,000,000.003130A4GJ5 04/25/2018 3891.12502/27/2015 19,994,680.00 1.124 1.13919,996,895.61FHLB NOTES35685 12,000,000.003130A4GJ5 04/25/2018 3891.12502/27/2015 11,996,808.00 1.124 1.13911,998,137.36FHLB NOTES35803 25,000,000.003130A4WA6 07/06/2018 4611.00004/06/2015 24,941,175.00 0.986 1.00025,000,000.00FHLB NOTES35815 20,000,000.003130A4WB4 01/08/2018 2820.87504/08/2015 19,968,740.00 0.863 0.87520,000,000.00FHLB NOTES35816 25,000,000.003130A4UP5 06/29/2018 4541.05004/08/2015 24,961,875.00 0.976 0.99025,018,329.03FHLB NOTES35826 9,460,000.00313383VN8 09/13/2019 8952.00004/09/2015 9,568,752.16 1.321 1.3409,607,978.02FHLB NOTES35827 25,155,000.00313383VN8 09/13/2019 8952.00004/09/2015 25,444,181.88 1.332 1.35125,541,805.94FHLB NOTES35855 12,000,000.003130A4WA6 07/06/2018 4611.00004/14/2015 11,971,764.00 0.996 1.01011,998,496.39

Portfolio SCL2AP


12

March 31, 2017


MaturityDate





YTM365


FHLB NOTES35864 26,500,000.003130A4Y71 06/15/2018 4401.00004/15/2015 26,454,261.00 0.981 0.99426,501,614.18FHLB NOTES35865 16,915,000.003130A4YA4 08/15/2018 5011.05004/15/2015 16,898,490.96 1.025 1.03916,917,297.90FHLB NOTES35867 10,000,000.00313378QK0 03/08/2019 7061.87504/15/2015 10,097,000.00 1.196 1.21310,124,744.62FHLB NOTES35906 20,000,000.00313379DT3 06/08/2018 4331.25004/23/2015 20,018,000.00 0.992 1.00620,056,781.51FHLB NOTES35922 10,000,000.00313378A43 03/09/2018 3421.37504/28/2015 10,022,940.00 0.921 0.93410,040,717.36FHLB NOTES35952 10,000,000.003130A57J2 07/06/2018 4611.00005/06/2015 9,977,440.00 0.997 1.0119,998,583.11FHLB NOTES35956 5,000,000.003133XRFZ8 06/08/2018 4334.75005/07/2015 5,209,370.00 1.138 1.1545,208,887.94FHLB NOTES35957 5,000,000.00313379DT3 06/08/2018 4331.25005/07/2015 5,004,500.00 1.096 1.1125,008,013.46FHLB NOTES35958 15,000,000.003130A57G8 08/07/2018 4931.05005/07/2015 14,965,800.00 1.066 1.08114,993,868.92FHLB NOTES36053 5,000,000.00313378A43 03/09/2018 3421.37506/18/2015 5,011,470.00 1.122 1.1385,010,904.89FHLB NOTES36059 5,000,000.00313378A43 03/09/2018 3421.37506/19/2015 5,011,470.00 1.031 1.0455,015,210.00FHLB NOTES36129 5,000,000.003133XQSE3 04/18/2018 3824.11007/16/2015 5,154,020.00 1.044 1.0585,157,013.66FHLB NOTES36143 10,000,000.003130A62S5 08/28/2017 1490.75007/24/2015 9,993,830.00 0.846 0.8589,995,632.89FHLB NOTES36144 15,000,000.003130A62S5 08/28/2017 1490.75007/24/2015 14,990,745.00 0.846 0.85814,993,449.34FHLB NOTES36228 5,000,000.003130A6AE7 09/14/2018 5311.12509/16/2015 4,990,345.00 1.182 1.1994,994,711.78FHLB NOTES36267 11,000,000.003130A6LZ8 10/26/2017 2080.62510/09/2015 10,978,517.00 0.928 0.94110,993,360.45FHLB NOTES36288 5,000,000.003130A5Z77 07/29/2020 1,2151.83010/21/2015 5,026,690.00 1.461 1.4825,054,356.29FHLB NOTES36289 5,000,000.003130A5Z77 07/29/2020 1,2151.83010/21/2015 5,026,690.00 1.418 1.4385,061,852.50FHLB NOTES36298 5,000,000.003130A5Z77 07/29/2020 1,2151.83010/23/2015 5,026,690.00 1.432 1.4525,060,493.41FHLB NOTES36308 10,000,000.003130A5Z77 07/29/2020 1,2151.83010/26/2015 10,053,380.00 1.498 1.51910,099,308.81FHLB NOTES36310 5,000,000.003130A5Z77 07/29/2020 1,2151.83010/26/2015 5,026,690.00 1.490 1.5115,050,983.19FHLB NOTES36376 20,000,000.003130A6SW8 12/19/2017 2621.00011/20/2015 19,996,060.00 0.986 1.00020,000,000.00FHLB NOTES36377 20,000,000.003130A6SW8 12/19/2017 2621.00011/20/2015 19,996,060.00 0.986 1.00020,000,000.00FHLB NOTES36402 17,200,000.00313379EE5 06/14/2019 8041.62512/02/2015 17,275,817.60 1.243 1.26117,265,838.95FHLB NOTES36407 10,000,000.003130A4PA4 03/19/2018 3521.10012/03/2015 9,980,190.00 1.075 1.09010,000,926.88FHLB NOTES36508 20,000,000.00313375K48 09/14/2018 5312.00001/11/2016 20,221,400.00 1.175 1.19120,230,489.30FHLB NOTES36550 15,000,000.00313379EE5 06/14/2019 8041.62502/05/2016 15,066,120.00 1.102 1.11715,164,109.68FHLB NOTES36676 20,000,000.00313379FW4 06/09/2017 691.00004/08/2016 20,005,680.00 0.658 0.66720,012,469.36FHLB NOTES36679 10,000,000.003130A7PU3 04/06/2020 1,1011.20004/11/2016 9,880,960.00 1.131 1.14710,015,500.00FHLB NOTES36703 37,375,000.00313379FW4 06/09/2017 691.00004/18/2016 37,385,614.50 0.666 0.67537,397,756.01FHLB NOTES36707 20,015,000.003133782M2 03/08/2019 7061.50004/19/2016 20,067,859.61 0.946 0.96020,220,832.99FHLB NOTES36735 20,000,000.00313378A43 03/09/2018 3421.37504/29/2016 20,045,880.00 0.845 0.85720,096,254.33

Portfolio SCL2AP


13

March 31, 2017


MaturityDate





YTM365


FHLB NOTES36756 15,000,000.00313378J77 03/13/2020 1,0771.87505/12/2016 15,114,645.00 1.105 1.12015,325,867.13FHLB NOTES36760 6,000,000.00313378J77 03/13/2020 1,0771.87505/13/2016 6,045,858.00 1.133 1.1496,125,269.83FHLB NOTES36796 30,000,000.003130A8BD4 06/29/2018 4540.87505/27/2016 29,884,050.00 1.220 1.23729,956,927.66FHLB NOTES36854 25,250,000.003130A8KR3 07/06/2018 4610.82006/29/2016 25,125,239.75 0.715 0.72525,275,758.82FHLB NOTES36877 15,000,000.003133834H1 06/12/2020 1,1681.37507/12/2016 14,859,015.00 1.040 1.05515,149,874.89FHLB NOTES36886 15,000,000.00313378J77 03/13/2020 1,0771.87507/15/2016 15,114,645.00 1.055 1.06915,344,344.23FHLB NOTES36896 5,000,000.003130A7L37 03/15/2019 7131.25007/21/2016 4,995,520.00 0.939 0.9525,028,853.67FHLB NOTES36993 19,500,000.00313380WG8 09/11/2020 1,2591.37509/30/2016 19,232,928.00 1.100 1.11519,669,991.70FHLB NOTES37022 12,000,000.00313380WG8 09/11/2020 1,2591.37510/06/2016 11,835,648.00 1.210 1.22712,059,414.84FHLB NOTES37037 10,000,000.003133834H1 06/12/2020 1,1681.37510/13/2016 9,906,010.00 1.225 1.24210,041,362.70FHLB NOTES37054 10,000,000.00313380WG8 09/11/2020 1,2591.37510/24/2016 9,863,040.00 1.199 1.21610,053,256.98FHLB NOTES37058 15,000,000.00313383HU8 06/12/2020 1,1681.75010/19/2016 15,028,410.00 1.147 1.16315,274,688.39FHLB NOTES37072 13,860,000.00313380WG8 09/11/2020 1,2591.37510/28/2016 13,670,173.44 1.248 1.26613,910,461.15FHLB NOTES37108 35,000,000.003130AA3R7 11/15/2019 9581.37511/17/2016 34,879,005.00 1.363 1.38234,992,950.65FHLB NOTES37149 15,000,000.003130AABG2 11/29/2021 1,7031.87511/30/2016 14,944,770.00 1.931 1.95714,944,315.40FHLB NOTES37190 50,000,000.003130AAE46 01/16/2019 6551.25012/08/2016 49,952,200.00 1.234 1.25249,998,298.15FHLB NOTES37289 40,000,000.003130AADN5 06/28/2019 8181.37512/28/2016 39,916,960.00 1.353 1.37140,002,797.60FHLB NOTES37405 25,000,000.003130AAQ43 01/25/2018 2990.75002/03/2017 24,942,700.00 0.856 0.86824,975,987.22FHLB NOTES37548 20,000,000.003130AAXX1 03/18/2019 7161.49203/10/2017 20,005,720.00 1.586 1.60819,954,938.46FHLB NOTES37549 20,000,000.003130AAXX1 03/18/2019 7161.49203/10/2017 20,005,720.00 1.586 1.60819,954,938.46FHLB NOTES37614 25,000,000.003130AAXX1 03/18/2019 7161.49203/28/2017 25,007,150.00 1.469 1.49025,000,622.36FHLB NOTES37626 20,000,000.003130A6AE7 09/14/2018 5311.12503/31/2017 19,961,380.00 1.217 1.23419,968,600.00FHLB VARIABLE37207 16,000,000.003130A8BJ1 11/27/2017 2400.85512/09/2016 16,026,912.00 0.650 0.65916,021,712.86FHLB VARIABLE37234 50,000,000.003130AAF52 07/14/2017 1040.75612/14/2016 50,013,950.00 0.693 0.70250,000,000.00FHLB VARIABLE37372 35,000,000.003130A8Y72 08/05/2019 8560.87501/26/2017 34,548,290.00 1.430 1.45034,538,214.08FHLMC NOTES35207 10,000,000.003137EADN6 01/12/2018 2860.75007/09/2014 9,977,440.00 1.255 1.2739,960,197.23FHLMC NOTES35498 25,000,000.003137EADH9 06/29/2017 891.00012/10/2014 25,007,775.00 0.891 0.90325,005,793.25FHLMC NOTES35556 25,000,000.003137EADJ5 07/28/2017 1181.00012/30/2014 25,008,950.00 0.987 1.00124,999,905.44FHLMC NOTES35755 20,000,000.003134G3M31 09/27/2017 1791.00003/23/2015 20,004,680.00 0.885 0.89720,009,851.33FHLMC NOTES35756 15,000,000.003134G3B90 08/15/2017 1360.87503/24/2015 15,002,460.00 0.836 0.84815,001,470.73FHLMC NOTES35760 10,000,000.003137EADN6 01/12/2018 2860.75003/25/2015 9,977,440.00 0.898 0.9119,987,610.33FHLMC NOTES35761 10,000,000.003137EADN6 01/12/2018 2860.75003/25/2015 9,977,440.00 0.921 0.9339,985,852.33

Portfolio SCL2AP


14

March 31, 2017


MaturityDate





YTM365


FHLMC NOTES35785 5,000,000.003137EADN6 01/12/2018 2860.75003/30/2015 4,988,720.00 0.914 0.9264,993,199.35FHLMC NOTES35873 30,000,000.003137EADM8 10/02/2019 9141.25004/16/2015 29,832,690.00 1.296 1.31429,953,042.53FHLMC NOTES35893 25,000,000.003134G6TF0 06/29/2018 4540.93004/21/2015 24,912,050.00 0.922 0.93424,998,536.59FHLMC NOTES35942 10,000,000.003134G3ZH6 07/25/2017 1151.00005/01/2015 10,004,400.00 0.742 0.75310,007,737.54FHLMC NOTES36322 10,000,000.003137EADM8 10/02/2019 9141.25010/29/2015 9,944,230.00 1.343 1.3629,972,772.33FHLMC NOTES36332 18,350,000.003137EADM8 10/02/2019 9141.25011/04/2015 18,247,662.05 1.456 1.47618,249,367.32FHLMC NOTES36337 8,000,000.003137EADM8 10/02/2019 9141.25011/06/2015 7,955,384.00 1.519 1.5407,943,812.46FHLMC NOTES36340 10,000,000.003137EADM8 10/02/2019 9141.25011/09/2015 9,944,230.00 1.576 1.5989,915,808.20FHLMC NOTES36436 20,000,000.003137EADX4 12/15/2017 2581.00012/11/2015 19,997,620.00 1.031 1.04619,992,772.93FHLMC NOTES36437 15,000,000.003137EADX4 12/15/2017 2581.00012/11/2015 14,998,215.00 1.031 1.04614,994,579.70FHLMC NOTES36989 20,000,000.003137EAEC9 08/12/2021 1,5941.12509/27/2016 19,312,740.00 1.261 1.27819,870,381.31FHLMC NOTES36992 10,000,000.003137EAEC9 08/12/2021 1,5941.12509/29/2016 9,656,370.00 1.248 1.2659,940,673.02FHLMC NOTES37443 20,000,000.003137EAEE5 01/17/2020 1,0211.50002/09/2017 19,968,140.00 1.456 1.47720,012,361.06FHLMC NOTES37454 20,000,000.003134G3A91 08/22/2019 8731.40001/19/2017 19,964,360.00 1.385 1.40419,997,600.64FHLMC NOTES37580 11,150,000.003134GA6W9 08/28/2019 8791.50002/28/2017 11,149,241.80 1.479 1.50011,150,000.00FNMA NOTES34913 10,000,000.003135G0ZB2 04/20/2017 190.75003/10/2014 9,999,780.00 0.852 0.8639,999,407.95FNMA NOTES35447 10,000,000.003135G0VC4 02/28/2018 3331.13011/25/2014 9,978,760.00 1.170 1.1869,994,926.34FNMA NOTES35454 6,000,000.003135G0VC4 02/28/2018 3331.13011/26/2014 5,987,256.00 1.148 1.1645,998,175.27FNMA NOTES35750 16,365,000.003135G0PP2 09/20/2017 1721.00003/20/2015 16,365,949.17 0.909 0.92216,370,900.13FNMA NOTES35762 15,000,000.003135G0WJ8 05/21/2018 4150.87503/25/2015 14,948,820.00 1.022 1.03614,972,876.93FNMA NOTES35814 25,000,000.003135G0YM9 09/18/2018 5351.87504/07/2015 25,243,375.00 1.009 1.02325,305,434.93FNMA NOTES35847 7,000,000.003135G0UU5 03/06/2020 1,0701.75004/13/2015 7,023,436.00 1.474 1.4947,050,308.48FNMA NOTES35856 14,584,000.003135G0UU5 03/06/2020 1,0701.75004/14/2015 14,632,827.23 1.469 1.48914,690,794.69FNMA NOTES35943 10,000,000.003135G0MZ3 08/28/2017 1490.87505/01/2015 9,997,800.00 0.755 0.76510,004,403.38FNMA NOTES36088 7,370,000.003136FTZZ5 01/30/2019 6691.75006/26/2015 7,417,860.78 1.397 1.4177,413,613.88FNMA NOTES36128 4,619,000.003136FPYB7 05/23/2017 522.05007/16/2015 4,626,732.21 0.727 0.7374,627,682.06FNMA NOTES36347 10,000,000.003135G0A78 01/21/2020 1,0251.62511/13/2015 10,018,440.00 1.650 1.6739,987,006.63FNMA NOTES36361 20,000,000.003135G0A78 01/21/2020 1,0251.62511/18/2015 20,036,880.00 1.585 1.60720,004,166.33FNMA NOTES36378 15,000,000.003135G0WJ8 05/21/2018 4150.87511/20/2015 14,948,820.00 1.152 1.16814,950,649.83FNMA NOTES36383 10,000,000.003135G0A78 01/21/2020 1,0251.62511/24/2015 10,018,440.00 1.635 1.6589,991,026.72FNMA NOTES36384 10,000,000.003135G0A78 01/21/2020 1,0251.62511/24/2015 10,018,440.00 1.633 1.6569,991,566.47FNMA NOTES36505 25,000,000.003135G0H63 01/28/2019 6671.37501/08/2016 25,028,500.00 1.376 1.39524,990,742.27

Portfolio SCL2AP


15

March 31, 2017


MaturityDate





YTM365


FNMA NOTES37253 20,000,000.003135G0N33 08/02/2019 8530.87512/19/2016 19,740,400.00 1.515 1.53619,698,203.18FNMA NOTES37620 10,865,000.003136FTZZ5 01/30/2019 6691.75003/29/2017 10,935,557.31 1.324 1.34310,944,616.12

Subtotal and Average 2,409,443,487.40 2,406,813,000.00 2,403,669,534.67 1.121 1.136 583

Federal Agency Bonds - CALLABLE

FFCB NOTES36323 15,000,000.003133EFKM8 10/20/2017 2020.71010/29/2015 14,984,100.00 0.791 0.80214,992,443.04FFCB NOTES36492 13,300,000.003133EFMU8 05/02/2018 3960.95012/31/2015 13,272,362.60 1.324 1.34313,244,225.08FFCB NOTES36688 20,000,000.003133EF2L0 04/13/2020 1,1081.40004/13/2016 19,803,520.00 1.380 1.40020,000,000.00FFCB NOTES36689 15,000,000.003133EF2L0 04/13/2020 1,1081.40004/13/2016 14,852,640.00 1.380 1.40015,000,000.00FFCB NOTES36690 15,000,000.003133EF2L0 04/13/2020 1,1081.40004/13/2016 14,852,640.00 1.380 1.40015,000,000.00FFCB NOTES36866 20,000,000.003133EGKA2 07/06/2021 1,5571.50007/06/2016 19,183,600.00 1.479 1.50020,000,000.00FFCB NOTES37300 10,000,000.003133EG2P9 12/29/2021 1,7332.32012/29/2016 10,003,080.00 2.288 2.32010,000,000.00FFCB NOTES37301 15,000,000.003133EG2P9 12/29/2021 1,7332.32012/29/2016 15,004,620.00 2.288 2.32015,000,000.00FHLB NOTES36117 7,250,000.003130A3XL3 02/10/2020 1,0451.50007/09/2015 7,269,611.25 1.624 1.6467,220,809.68FHLB NOTES36641 20,000,000.003130A7HM0 03/29/2019 7271.25003/29/2016 19,945,520.00 1.249 1.26719,993,351.85FHLB NOTES37131 15,000,000.003130A9W49 02/24/2020 1,0591.25011/25/2016 14,802,360.00 1.233 1.25015,000,000.00FHLB NOTES37306 30,000,000.003130AAGW2 06/30/2020 1,1861.85012/30/2016 29,999,520.00 1.824 1.85030,000,000.00FHLB NOTES37382 25,000,000.003130AANA2 07/30/2020 1,2161.75001/30/2017 24,985,500.00 1.726 1.75025,000,000.00FHLB NOTES37383 5,000,000.003130AANA2 07/30/2020 1,2161.75001/30/2017 4,997,100.00 1.726 1.7505,000,000.00FHLMC NOTES36066 10,000,000.003134G67C1 06/22/2018 4471.20006/22/2015 9,973,860.00 1.225 1.2429,994,895.83FHLMC NOTES36076 10,000,000.003134G64W0 06/23/2017 830.90006/23/2015 9,999,730.00 0.892 0.9059,999,886.11FHLMC NOTES36087 10,000,000.003134G64W0 06/23/2017 830.90006/26/2015 9,999,730.00 0.866 0.87810,000,480.33FHLMC NOTES36309 2,000,000.003134G34W7 01/30/2018 3041.25010/26/2015 2,002,562.00 0.805 0.8162,007,111.35FHLMC NOTES36393 5,000,000.003134G74S7 08/27/2018 5131.00011/27/2015 4,985,065.00 0.986 1.0005,000,000.00FHLMC NOTES36497 13,875,000.003134G76G1 05/17/2018 4111.05001/04/2016 13,854,784.13 1.327 1.34613,829,498.13FHLMC NOTES36583 12,500,000.003134G8JT7 02/24/2020 1,0591.50002/24/2016 12,453,825.00 1.479 1.50012,500,000.00FHLMC NOTES36590 5,000,000.003134G8L98 02/26/2018 3311.05002/26/2016 4,995,370.00 1.035 1.0505,000,000.00FHLMC NOTES36591 5,000,000.003134G8L98 02/26/2018 3311.05002/26/2016 4,995,370.00 1.035 1.0505,000,000.00FHLMC NOTES36592 5,000,000.003134G8L98 02/26/2018 3311.05002/26/2016 4,995,370.00 1.035 1.0505,000,000.00FHLMC NOTES36593 5,000,000.003134G8L98 02/26/2018 3311.05002/26/2016 4,995,370.00 1.035 1.0505,000,000.00FHLMC NOTES36644 7,000,000.003134G8TV1 03/29/2019 7271.22003/29/2016 6,957,076.00 1.203 1.2207,000,000.00FHLMC NOTES36648 20,000,000.003134G8S83 12/30/2019 1,0031.50003/30/2016 19,964,760.00 1.479 1.50020,000,000.00

Portfolio SCL2AP


16

March 31, 2017


MaturityDate





YTM365


FHLMC NOTES36649 20,000,000.003134G8PD5 09/30/2019 9121.35003/30/2016 19,927,960.00 1.337 1.35519,997,146.03FHLMC NOTES36650 3,715,000.003134G8PD5 09/30/2019 9121.35003/30/2016 3,701,618.57 1.337 1.3553,714,469.88FHLMC NOTES36651 6,375,000.003134G8PD5 09/30/2019 9121.35003/30/2016 6,352,037.25 1.331 1.3506,375,000.00FHLMC NOTES36654 12,500,000.003134G8PD5 09/30/2019 9121.35003/30/2016 12,454,975.00 1.335 1.35412,498,662.20FHLMC NOTES36721 12,000,000.003134G9DD6 04/26/2019 7551.15004/26/2016 11,910,948.00 1.167 1.18411,991,722.22FHLMC NOTES36722 25,000,000.003134G8YU7 10/26/2018 5731.05004/26/2016 24,873,850.00 1.099 1.11524,974,888.89FHLMC NOTES36725 10,000,000.003134G8XA2 07/27/2018 4821.00004/27/2016 9,948,690.00 0.986 1.00010,000,000.00FHLMC NOTES36729 15,000,000.003134G9AV9 10/28/2019 9401.25004/28/2016 14,894,310.00 1.261 1.27914,988,964.29FHLMC NOTES36730 4,250,000.003134G9AV9 10/28/2019 9401.25004/28/2016 4,220,054.50 1.261 1.2794,246,873.21FHLMC NOTES36785 9,000,000.003134G9HM2 11/26/2019 9691.30005/26/2016 8,914,968.00 1.282 1.3009,000,000.00FHLMC NOTES36787 5,250,000.003134G9HW0 11/26/2019 9691.25005/26/2016 5,190,690.75 1.232 1.2505,250,000.00FHLMC NOTES36823 20,000,000.003134G9QW0 06/14/2019 8041.28006/14/2016 19,812,060.00 1.262 1.28020,000,000.00FHLMC NOTES36848 10,625,000.003134G9ZR1 12/28/2018 6361.00006/28/2016 10,570,685.00 0.946 0.95910,632,328.06FHLMC NOTES37148 15,000,000.003134GAXX7 11/30/2018 6081.00011/30/2016 14,914,860.00 0.986 1.00015,000,000.00FHLMC NOTES37344 10,000,000.003134G3K90 09/25/2020 1,2731.70001/19/2017 9,983,010.00 1.667 1.69010,003,215.38FHLMC NOTES37379 30,000,000.003134GAN59 01/27/2020 1,0311.80001/27/2017 30,001,500.00 1.775 1.80030,000,000.00FHLMC NOTES37518 25,000,000.003134GBBM3 03/29/2021 1,4582.00003/29/2017 24,984,375.00 1.972 2.00025,000,000.00FHLMC NOTES37578 3,500,000.003134GA5T7 01/26/2022 1,7612.12502/28/2017 3,496,097.50 2.095 2.1253,500,000.00FHLMC NOTES37579 20,000,000.003134GA5T7 01/26/2022 1,7612.12502/28/2017 19,977,700.00 2.096 2.12520,000,000.00FNMA NOTES34464 10,500,000.003135G0XA6 05/21/2018 4151.03008/12/2013 10,443,142.50 1.578 1.60010,434,611.08FNMA NOTES36576 15,500,000.003136G2WX1 02/22/2019 6921.25002/22/2016 15,464,412.00 1.232 1.25015,500,000.00FNMA NOTES36782 5,000,000.003136G3NC5 05/24/2019 7831.00005/24/2016 4,934,850.00 1.003 1.0164,998,210.65FNMA NOTES36793 5,000,000.003136G3QY4 05/30/2019 7891.25005/27/2016 4,959,405.00 1.212 1.2295,000,000.00FNMA NOTES36794 15,000,000.003136G3QY4 05/30/2019 7891.25005/27/2016 14,878,215.00 1.212 1.22915,000,000.00FNMA NOTES36795 5,000,000.003136G3QY4 05/30/2019 7891.25005/27/2016 4,959,405.00 1.212 1.2295,000,000.00FNMA NOTES36797 25,000,000.003136G3PR0 05/26/2021 1,5161.50005/27/2016 24,313,875.00 1.526 1.54824,952,216.51FNMA NOTES36845 12,980,000.003136G3TD7 06/28/2019 8181.20006/28/2016 12,890,230.32 1.150 1.16512,989,698.94FNMA NOTES36846 12,050,000.003136G3TB1 06/28/2019 8181.10006/28/2016 11,911,702.15 1.043 1.05712,061,255.03FNMA NOTES36849 25,000,000.003136G3SQ9 06/28/2019 8181.15006/28/2016 24,780,425.00 1.134 1.15025,000,000.00FNMA NOTES36875 30,000,000.003135G0L50 07/12/2019 8321.05007/12/2016 29,689,200.00 1.035 1.05030,000,000.00FNMA NOTES36880 7,500,000.003136G3SY2 09/30/2019 9121.25007/13/2016 7,425,022.50 1.232 1.2507,500,000.00FNMA NOTES36902 15,000,000.003136G3A62 07/26/2019 8461.05007/26/2016 14,797,170.00 1.035 1.05015,000,000.00

Portfolio SCL2AP


17

March 31, 2017


MaturityDate





YTM365


FNMA NOTES37017 20,000,000.003136G4BV4 09/30/2020 1,2781.45009/30/2016 19,546,580.00 1.411 1.43020,013,114.58FNMA NOTES37103 30,000,000.003135G0Q30 09/27/2019 9091.18010/21/2016 29,742,810.00 1.167 1.18329,997,454.55FNMA NOTES37509 3,000,000.003136G4MD2 09/16/2020 1,2641.85003/16/2017 3,001,185.00 1.824 1.8503,000,000.00


US Treasury Notes

FNMA NOTES37582 10,000,000.003135G0S38 01/05/2022 1,7402.00002/09/2017 9,996,270.00 1.866 1.89210,048,818.91U.S. TREASURY NOTES35886 25,000,000.00912828VK3 06/30/2018 4551.37504/20/2015 25,072,275.00 0.895 0.90725,143,162.22U.S. TREASURY NOTES35887 15,000,000.00912828VQ0 07/31/2018 4861.37504/20/2015 15,043,365.00 0.918 0.93115,086,998.52


Corporate Bonds

APPLE INC35970 3,000,000.00037833BB5 05/12/2017 410.90005/13/2015 2,999,640.00 0.922 0.9342,999,881.96APPLE INC36580 5,000,000.00037833BN9 02/23/2018 3281.30002/23/2016 5,001,965.00 1.303 1.3214,999,038.47APPLE INC36918 30,000,000.00037833CB4 08/02/2019 8531.10008/04/2016 29,643,570.00 1.118 1.13429,976,595.55BERKSHIRE HATHWY36620 5,000,000.00084664CG4 03/15/2019 7131.70003/15/2016 5,008,650.00 1.702 1.7264,997,522.96BERKSHIRE HATHWY36933 10,000,000.00084664CK5 08/15/2019 8661.30008/15/2016 9,904,280.00 1.314 1.3339,992,329.81CITIBANK CREDIT CARD ISSUANCE37208 40,000,000.0017305EFW0 11/19/2021 1,6931.75012/08/2016 39,934,632.00 1.725 1.74939,997,992.03CHEVRON CORP.35280 10,000,000.00166764AA8 12/05/2017 2481.10408/19/2014 9,983,340.00 1.202 1.2199,992,367.28CHEVRON CORP.35427 30,000,000.00166764AL4 11/15/2017 2281.34511/18/2014 30,002,040.00 1.326 1.34530,000,000.00CHEVRON CORP.35694 10,000,000.00166764AV2 03/02/2018 3351.36503/03/2015 9,994,220.00 1.346 1.36510,000,000.00CHEVRON CORP.36355 10,000,000.00166764BC3 11/09/2017 2221.34411/17/2015 10,003,350.00 1.340 1.35910,000,000.00CHEVRON CORP.36765 15,000,000.00166764BH2 05/16/2019 7751.56105/16/2016 14,950,620.00 1.539 1.56115,000,000.00CHEVRON CORP.37503 8,000,000.00166764BP4 03/03/2020 1,0671.99103/03/2017 8,010,144.00 1.963 1.9918,000,000.00IBM35633 10,000,000.00459200HZ7 02/06/2018 3111.12502/06/2015 9,986,120.00 1.212 1.2289,991,386.57IBM35644 10,000,000.00459200HK0 02/08/2018 3131.25002/13/2015 9,995,230.00 1.286 1.3049,995,487.81IBM37380 10,000,000.00459200JN2 01/27/2020 1,0311.90001/27/2017 10,033,350.00 1.906 1.9339,990,968.89JOHNSON & JOHNSON35435 30,000,000.00478160BL7 11/21/2017 2341.12511/21/2014 29,967,780.00 1.136 1.15129,994,952.78JPMORGAN36966 12,500,000.0048125LRG9 09/23/2019 9051.65009/23/2016 12,435,100.00 1.661 1.68512,489,469.44MICROSOFT CORP36329 20,000,000.00594918BF0 11/03/2018 5811.30011/03/2015 19,995,500.00 1.315 1.33419,989,407.41MICROSOFT CORP36923 10,000,000.00594918BN3 08/08/2019 8591.10008/08/2016 9,890,790.00 1.119 1.1359,991,922.13MICROSOFT CORP37419 15,000,000.00594918BV5 02/06/2020 1,0411.85002/06/2017 15,046,530.00 1.847 1.87314,990,461.81

Portfolio SCL2AP


18

March 31, 2017


MaturityDate





YTM365

Corporate Bonds

TOYOTA MOTOR CREDIT36776 20,000,000.0089236TDE2 05/20/2019 7791.40005/20/2016 19,840,340.00 1.428 1.44719,980,062.96TOYOTA MOTOR CREDIT37057 5,000,000.0089236TDH5 10/18/2019 9301.55010/18/2016 4,959,295.00 1.545 1.5674,997,877.31TOYOTA MOTOR CREDIT37170 50,000,000.0089236TDL6 12/05/2017 2481.19212/05/2016 50,052,150.00 1.191 1.20850,000,000.00U S BANK36773 19,589,000.0090331HML4 10/28/2019 9402.12505/19/2016 19,681,518.85 1.533 1.55419,868,053.61WALMART35034 10,000,000.00931142DN0 04/21/2017 201.00004/22/2014 9,998,350.00 0.991 1.0059,999,972.20WALMART35269 9,000,000.00931142DN0 04/21/2017 201.00008/13/2014 8,998,515.00 0.917 0.9309,000,344.01WELLS FARGO36805 12,000,000.0094988J5D5 05/24/2019 7831.75006/02/2016 11,962,116.00 1.740 1.76411,996,279.22EXXON MOBIL CORP35710 50,000,000.0030231GAL6 03/06/2018 3391.30503/06/2015 49,960,050.00 1.287 1.30550,000,000.00


Asset Backed Securities (ABS)

BMW VEHICLE LEASE TRUST36274 30,000,000.0005581QAD0 02/20/2019 6901.40010/14/2015 30,010,854.00 1.385 1.40529,999,487.00BMW VEHICLE LEASE TRUST36569 13,000,000.0005581RAD8 06/20/2018 4451.34002/17/2016 12,990,424.20 1.440 1.46012,998,472.50BMW VEHICLE LEASE TRUST37036 6,772,529.6405582XAD4 09/20/2019 9021.43010/13/2016 6,749,897.88 1.423 1.4436,771,634.31BMW VEHICLE OWNER TRUST36893 10,000,000.0005582QAD9 11/25/2020 1,3341.16007/20/2016 9,907,917.00 1.147 1.1639,999,955.00CHASE ISSUANCE TRUST (ABS)35953 25,000,000.00161571GY4 04/15/2020 1,1101.36005/06/2015 24,974,492.50 1.352 1.37124,995,595.00CHASE ISSUANCE TRUST (ABS)36929 23,000,000.00161571HF4 07/15/2021 1,5661.27008/11/2016 22,756,103.40 1.267 1.28522,993,668.10HONDA AUTO RECEIVABLES OWNER T35986 4,825,109.8343813NAC0 02/21/2019 6911.04005/20/2015 4,817,888.09 1.036 1.0504,824,369.18HONDA AUTO RECEIVABLES OWNER T36587 14,000,000.0043814NAC9 12/18/2019 9911.22002/25/2016 13,955,330.20 1.213 1.23013,998,010.60HONDA AUTO RECEIVABLES OWNER T36800 12,000,000.0043814QAC2 04/15/2020 1,1101.39005/31/2016 11,976,196.80 1.375 1.39511,999,767.20HONDA AUTO RECEIVABLES OWNER T37059 11,500,000.0043814RAC0 12/18/2020 1,3571.21010/25/2016 11,403,120.55 1.199 1.21611,499,253.65HONDA AUTO RECEIVABLES OWNER T37615 16,500,000.0043814TAC6 06/22/2020 1,1781.72003/28/2017 16,507,203.90 1.706 1.72916,499,018.25JOHN DEERE OWNER TRUST35725 0.0047787UAB9 02/15/2018 3200.87003/11/2015 0.00 0.863 0.8750.00JOHN DEERE OWNER TRUST35726 5,389,895.5247787UAD5 06/17/2019 8071.32003/11/2015 5,388,494.69 1.309 1.3275,389,467.02JOHN DEERE OWNER TRUST36216 5,750,000.0047787WAC3 10/15/2019 9271.44009/09/2015 5,749,706.75 1.552 1.5735,748,903.48JOHN DEERE OWNER TRUST36600 10,500,000.0047788MAC4 04/15/2020 1,1101.36003/02/2016 10,478,174.70 1.353 1.37110,498,347.30JOHN DEERE OWNER TRUST36905 8,750,000.0047788NAC2 06/15/2020 1,1711.25007/27/2016 8,695,667.75 1.240 1.2578,749,303.50JOHN DEERE OWNER TRUST37507 8,500,000.0047787XAC1 04/15/2021 1,4751.78003/02/2017 8,496,809.10 1.769 1.7938,498,789.60MERCEDES-BENZ AUTO LEASE TRUST36623 23,000,000.0058768FAD8 03/15/2019 7131.52003/16/2016 23,016,886.60 1.513 1.53422,996,660.40MERCEDES-BENZ AUTO LEASE TRUST37065 5,000,000.0058768MAC5 08/15/2019 8661.35010/26/2016 4,986,355.50 1.335 1.3544,999,984.00MERCEDES -BENZ AUTO REC TRUST36956 12,000,000.0058769BAD6 02/16/2021 1,4171.26009/14/2016 11,934,357.60 1.251 1.26911,998,537.20NISSAN AUTO LEASE TRUST36078 0.0065473DAB8 11/15/2017 2280.99006/24/2015 0.00 0.985 0.9990.00

Portfolio SCL2AP


19

March 31, 2017


MaturityDate





YTM365

Asset Backed Securities (ABS)

NISSAN AUTO LEASE TRUST36557 6,000,000.0065478UAD1 10/15/2020 1,2931.34002/10/2016 5,978,270.40 1.335 1.3535,998,636.80TOYOTA AUTO REC OWNER TRUST34933 -0.0289231MAC9 12/15/2017 2580.67003/19/2014 -0.02 0.671 0.680-0.02TOYOTA AUTO REC OWNER TRUST36060 0.0089237CAB7 11/15/2017 2280.77006/17/2015 0.00 0.766 0.7760.00TOYOTA AUTO REC OWNER TRUST36601 15,000,000.0089237KAD5 03/16/2020 1,0801.25003/02/2016 14,961,618.00 1.238 1.25614,999,149.50TOYOTA AUTO REC OWNER TRUST37035 14,000,000.0089231LAD9 10/15/2020 1,2931.23010/12/2016 13,901,272.00 1.222 1.23913,998,247.20TOYOTA AUTO REC OWNER TRUST37568 10,000,000.0089238MAD0 02/16/2021 1,4171.73003/15/2017 9,998,823.00 1.718 1.7429,998,823.00VOLKSWAGEN AUTO LOAN ENHANCED35064 2,207,248.7592867RAC3 10/22/2018 5690.91004/30/2014 2,204,978.15 0.908 0.9202,206,813.92

Subtotal and Average 292,660,893.69 292,694,783.72 291,840,842.74 1.368 1.387 1,074

Asset Backed Securities-Green Bond

TOYOTA AUTO REC OWNER TRUST36753 4,000,000.0089231UAD9 04/15/2020 1,1101.30005/11/2016 3,987,105.60 1.283 1.3013,999,841.86

Subtotal and Average 3,999,841.86 4,000,000.00 3,987,105.60 1.284 1.301 1,110

Municipal Bonds

CALIFORNIA ST34650 10,000,000.0013063CFC9 11/01/2017 2141.75011/13/2013 10,032,800.00 1.488 1.50810,013,588.24CALIFORNIA ST34729 9,085,000.0013063CFC9 11/01/2017 2141.75012/11/2013 9,114,798.80 1.678 1.7019,087,439.32CALIFORNIA ST35534 12,450,000.0013063CPN4 11/01/2017 2141.25012/22/2014 12,455,353.50 1.236 1.25312,449,771.33CALIFORNIA ST36313 10,220,000.0013063CSQ4 04/01/2020 1,0961.80010/27/2015 10,119,639.60 1.632 1.65510,262,654.72CALIFORNIA ST36390 5,000,000.0013063CXU9 11/01/2017 2141.00011/25/2015 4,995,050.00 0.989 1.0025,000,000.00CALIFORNIA ST36731 15,000,000.0013063CP87 04/01/2021 1,4611.50004/28/2016 14,591,400.00 1.608 1.63014,939,573.60North Dakota State Finance37523 500,000.0065887PHS7 10/01/2021 1,6445.00003/06/2017 575,225.00 1.400 1.420577,715.68New York State Dormatory Auth36822 3,000,000.0064990CEM9 07/01/2019 8211.45606/14/2016 2,991,180.00 1.435 1.4553,000,000.00UNIVERSITY CALIFORNIA REVS35763 250,000.0091412GWV3 05/15/2019 7742.00303/25/2015 251,105.00 1.975 2.002250,000.00UNIVERSITY CALIFORNIA REVS36710 3,000,000.0091412GD36 05/15/2019 7741.16904/20/2016 2,961,660.00 1.152 1.1683,000,000.00


Commercial Paper, Discount

CHEVRON37143 55,000,000.0016677JUT1 07/27/2017 1171.02011/29/2016 54,626,000.00 1.035 1.05054,816,622.43CHEVRON37210 50,000,000.0016677JVB9 08/11/2017 1321.03012/12/2016 49,653,800.00 1.049 1.06349,809,568.07JP Morgan Securities37313 60,000,000.0046640PVR1 08/25/2017 1461.33001/03/2017 59,481,300.00 1.352 1.37159,674,640.22JP Morgan Securities37632 30,000,000.0046640PWU3 09/28/2017 1801.32003/30/2017 29,806,276.22 1.328 1.34729,806,276.22Coca-Cola Co37203 60,000,000.0019121AV81 08/08/2017 1290.98012/09/2016 59,604,720.00 0.997 1.01159,787,523.63

Portfolio SCL2AP


20

March 31, 2017


MaturityDate





YTM365

Commercial Paper, Discount

RABOBANK37397 60,000,000.0021687AUX9 07/31/2017 1211.16002/01/2017 59,767,134.88 1.166 1.18259,767,134.88TOYOTA MOTOR CREDIT37381 50,000,000.0089233GUE4 07/14/2017 1041.16001/27/2017 49,729,300.00 1.166 1.18249,833,228.60U S BANK37475 50,000,000.009033E0UE4 07/14/2017 1040.85002/22/2017 49,877,899.59 0.852 0.86449,877,899.59


Federal Agency Discount Notes

FFCB DISCOUNT NOTE36857 26,000,000.00313313HM3 06/29/2017 890.57006/30/2016 25,952,862.00 0.580 0.58825,963,180.98FHLB DISCOUNT37630 75,000,000.00313385DW3 04/03/2017 20.45003/31/2017 75,000,000.00 0.456 0.46274,998,121.94FHLB DISCOUNT37631 50,000,000.00313385DW3 04/03/2017 20.30003/31/2017 50,000,000.00 0.304 0.30849,999,165.00FANNIE MAE DISCOUNT NOTE37635 200,000,000.00313589DW0 04/03/2017 20.70003/31/2017 200,000,000.00 0.709 0.719199,992,214.40FARMER MAC DISCOUNT NOTE37610 23,800,000.0031315LTC2 02/15/2018 3201.06003/27/2017 23,593,963.40 1.082 1.09723,576,062.83


Local Agency Investment Fund

LOCAL AGENCY INVEST FUND8506 40,299,659.16SYS8506 10.67007/01/2015 40,299,659.16 0.660 0.67040,299,659.16


Money Market

DREYFUS CASH MANAGEMENT23519 420,897,185.02SYS23519 10.83002/01/2008 420,897,185.02 0.818 0.830420,897,185.02JPM TE MMK FD37590 250,004,862.40SYS37590 10.58002/27/2017 250,004,862.40 0.572 0.580250,004,862.40MORGAN STANLEY TRSY INSTL 830434292 320,243,483.69SYS34292 10.58005/21/2013 320,243,483.69 0.572 0.580320,243,483.69


Supranationals - Green Bond

INTL BANK RECON & DEVELOP36643 45,000,000.0045905UVR2 01/29/2019 6681.17003/29/2016 44,919,495.00 1.154 1.17045,000,000.00


Supranationals

INTL BANK RECON & DEVELOP35802 12,500,000.0045905URF3 07/17/2017 1070.90004/06/2015 12,490,712.50 0.769 0.78012,504,357.49INTL BANK RECON & DEVELOP35936 15,000,000.00459058EJ8 06/15/2018 4401.00004/30/2015 14,947,890.00 1.034 1.04814,990,104.80INTL BANK RECON & DEVELOP35937 10,000,000.00459058EJ8 06/15/2018 4401.00004/30/2015 9,965,260.00 1.041 1.0559,993,403.20INTL BANK RECON & DEVELOP36258 15,000,000.00459058ER0 10/05/2018 5521.00010/07/2015 14,922,795.00 1.043 1.05714,987,131.73INTL BANK RECON & DEVELOP36259 25,000,000.00459058ER0 10/05/2018 5521.00010/07/2015 24,871,325.00 1.043 1.05724,978,552.88

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YTM365

Supranationals

INTL BANK RECON & DEVELOP36352 20,000,000.00459058DN0 04/10/2018 3741.37611/16/2015 20,029,640.00 1.153 1.16920,041,683.33INTL BANK RECON & DEVELOP36653 20,000,000.00459058FA6 03/30/2020 1,0941.37603/30/2016 19,788,200.00 1.435 1.45519,954,142.50INTL BANK RECON & DEVELOP36881 40,000,000.00459058FK4 08/15/2019 8660.87507/13/2016 39,367,160.00 0.869 0.88139,993,548.92


Total Investments and Average 6,550,388,606.51 6,549,516,973.99 6,534,778,534.64 1.091 1.106 479

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March 31, 2017


MaturityDate


Fund WK - WORKERS COMPInvestments by Fund Page 13



YTM365


FHLMC NOTES37310 2,500,000.003137EAEC9 08/12/2021 1,5941.12512/30/2016 2,414,092.50 1.961 1.9882,410,366.98FNMA NOTES34806 4,500,000.003135G0MZ3 08/28/2017 1490.87501/08/2014 4,499,010.00 1.170 1.1864,494,405.02FNMA NOTES34807 4,600,000.003135G0WJ8 05/21/2018 4150.87501/08/2014 4,584,304.80 1.527 1.5484,565,984.86FNMA NOTES37309 3,500,000.003135G0R39 10/24/2019 9361.00012/30/2016 3,457,359.50 1.489 1.5103,455,461.15


US Treasury Notes

U.S. TREASURY NOTES34791 4,500,000.00912828UE8 12/31/2017 2740.75012/27/2013 4,490,860.50 1.309 1.3274,481,063.14U.S. TREASURY NOTES34792 4,500,000.00912828A75 12/31/2018 6391.50012/31/2013 4,521,096.00 1.721 1.7454,481,545.86


Money Market

DREYFUS CASH MANAGEMENT34789 3,868,010.89SYS34789 10.83012/26/2013 3,868,010.89 0.818 0.8303,868,010.89


Total Investments and Average 27,756,837.90 27,968,010.89 27,834,734.19 1.400 1.419 494

Portfolio SCL2AP


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March 31, 2017


MaturityDate


Fund MVLA - MOUNTAIN VIEW-LOS ALTOSInvestments by Fund Page 14



YTM365

Money Market - Tax Exempt

Dreyfus Tax Exempt Inst33614 2,028,017.54SYS33614 10.40009/25/2012 2,028,017.54 0.394 0.4002,028,017.54



Portfolio SCL2AP


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MaturityDate


Fund PA - PALO ALTO UNIFIEDInvestments by Fund Page 15



YTM365


BLACKROCK TAX FREE INST33612 0.00SYS33612 10.02009/25/2012 0.00 0.00 0.000.00

Subtotal and Average 0.00 0.00 0.00 0.00 0.00 1

Total Investments and Average 0.00 0.00 0.00 0.00 0.00 1

Portfolio SCL2AP


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MaturityDate


Fund PCF - PARK CHARTER FUNDInvestments by Fund Page 16



YTM365


FFCB NOTES36777 2,000,000.003133EGAS4 02/16/2018 3210.75005/20/2016 1,993,536.00 0.914 0.9271,996,930.51FHLMC NOTES37307 500,000.003137EAEC9 08/12/2021 1,5941.12512/30/2016 482,818.50 1.961 1.988482,073.40FNMA NOTES37308 1,500,000.003135G0R39 10/24/2019 9361.00012/30/2016 1,481,725.50 1.488 1.5081,480,911.92


Money Market

DREYFUS CASH MANAGEMENT FUND33657 5,030,057.09SYS33657 10.83009/30/2012 5,030,057.09 0.818 0.8305,030,057.09



Portfolio SCL2AP


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Fund SJE - SAN JOSE- EVERGREENInvestments by Fund Page 17



YTM365

Municipal Bonds

ALASKA ST35082 200,000.00011770Z56 08/01/2019 8525.00005/08/2014 217,254.00 1.252 1.270216,787.51ALASKA ST35083 250,000.00011770Z56 08/01/2019 8525.00005/08/2014 271,567.50 1.252 1.270270,984.39ARKANSAS ST34919 500,000.00041042UD2 10/01/2017 1835.00003/10/2014 510,200.00 0.562 0.570510,947.54CALIFORNIA ST37543 500,000.0013063C5Q9 08/01/2022 1,9485.00003/14/2017 582,500.00 1.844 1.870579,040.17CALIFORNIA ST37573 400,000.0013063BFJ6 03/01/2022 1,7955.25003/20/2017 445,752.00 2.661 2.698446,709.71CALIFORNIA ST37714 225,000.0013063BAM4 10/01/2021 1,6445.25003/08/2017 247,452.75 0.957 0.971248,959.83Connecticut-F37546 500,000.0020772JQ96 11/15/2021 1,6895.00003/09/2017 565,045.00 1.873 1.900568,223.01DELAWARE ST34859 750,000.00246381AZ0 07/01/2017 915.00001/30/2014 757,605.00 0.552 0.560758,233.79DELAWARE ST34872 100,000.00246380B65 03/01/2018 3345.00002/07/2014 103,735.00 0.818 0.830103,750.82FLORIDA STATE BOARD EDUCATION34972 350,000.0034153P3H9 06/01/2019 7915.00004/01/2014 378,913.50 1.351 1.370376,485.40FLORIDA STATE BOARD EDUCATION35185 1,065,000.00341150M31 07/01/2020 1,1875.00006/27/2014 1,190,286.60 1.588 1.6101,176,407.46GEORGIA ST34845 500,000.00373384N28 12/01/2018 6095.00001/22/2014 532,920.00 1.055 1.070531,826.76GEORGIA ST34915 350,000.00373384YJ9 07/01/2019 8215.00003/10/2014 380,261.00 1.035 1.050380,174.73LOS ANGELES CALIF DEPT WTR & P34702 500,000.00544525RT7 07/01/2018 4565.00012/05/2013 525,065.00 0.946 0.960524,644.74LOS ANGELES CALIF DEPT WTR & P34703 500,000.00544525RS9 07/01/2017 915.00012/05/2013 505,180.00 0.602 0.610505,419.60MASSACHUSETTS ST35081 530,000.0057582PK74 04/01/2019 7305.00005/08/2014 570,772.90 1.242 1.260568,324.50MASSACHUSETTS ST37561 200,000.0057582RKW5 04/01/2022 1,8265.00003/16/2017 231,960.00 1.607 1.630232,223.47MARYLAND ST34837 500,000.00574193HF8 08/01/2017 1224.50001/22/2014 505,950.00 0.582 0.590506,439.72MARYLAND ST34869 205,000.005741925H9 03/01/2019 6995.00002/05/2014 220,315.55 1.114 1.130219,736.83MARYLAND ST34870 100,000.005741927Y0 03/15/2019 7135.00002/05/2014 107,623.00 1.114 1.130107,332.70MARYLAND ST35122 440,000.00574193JK5 03/01/2019 6995.00006/02/2014 472,872.40 1.095 1.110471,866.45MARYLAND ST35289 700,000.00574193KQ0 08/01/2018 4875.00008/21/2014 737,247.00 0.798 0.810738,410.48MINNESOTA ST34860 1,000,000.00604129P91 10/01/2018 5485.00001/30/2014 1,059,430.00 1.035 1.0501,057,668.53MINNESOTA ST35288 200,000.006041294D5 08/01/2020 1,2185.00008/21/2014 224,258.00 1.410 1.430222,737.20NORTH CAROLINA ST34874 785,000.00658256T77 05/01/2018 3955.00002/07/2014 819,351.60 0.877 0.890819,222.91NORTH CAROLINA ST34900 115,000.00658256B43 03/01/2019 6995.00003/03/2014 123,614.65 1.035 1.050123,460.18NORTH CAROLINA ST35131 365,000.00658256T93 05/01/2020 1,1265.00006/05/2014 406,241.35 1.400 1.420403,512.12NEW HAMPSHIRE ST34961 840,000.00644682F27 07/01/2018 4565.00003/27/2014 882,000.00 1.045 1.060880,340.53OHIO ST34836 750,000.006775213U8 03/01/2018 3343.00001/22/2014 764,377.50 0.936 0.949763,789.05OHIO ST37526 305,000.00677521Q82 10/01/2021 1,6445.00003/08/2017 349,459.85 1.509 1.530350,828.30SAN FRANCISCO CITY & CNTY CA34839 100,000.0079771TJS7 06/15/2018 4405.00001/23/2014 104,883.00 0.976 0.990104,718.86SAN FRANCISCO CITY & CNTY CA34852 450,000.00797646XK7 06/15/2017 755.00001/28/2014 453,712.50 0.564 0.572454,072.34

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YTM365

Municipal Bonds

SAN FRANCISCO CITY & CNTY CA34853 450,000.00797646XL5 06/15/2018 4405.00001/28/2014 471,973.50 0.925 0.938471,700.96TEXAS STATE REFUNDING35100 170,000.00882722D99 10/01/2017 1835.00005/20/2014 173,476.50 0.631 0.640173,660.38VERMONT ST34946 100,000.00924258ZN9 08/15/2019 8665.00003/21/2014 109,187.00 1.262 1.280108,499.58WASHINGTON ST34840 250,000.0093974CJH4 01/01/2018 2755.00001/23/2014 257,642.50 0.858 0.870257,595.89WASHINGTON ST37524 500,000.0093974CC65 07/01/2021 1,5525.00003/08/2017 571,600.00 1.352 1.371574,628.14WISCONSIN STATE34867 500,000.0097705L3U9 05/01/2017 305.00002/04/2014 501,520.00 0.612 0.620501,803.86WISCONSIN STATE34880 250,000.0097705L4E4 05/01/2019 7605.00002/13/2014 270,135.00 1.198 1.214268,738.02WISCONSIN STATE34881 100,000.0097705L4E4 05/01/2019 7605.00002/13/2014 108,054.00 1.169 1.185107,561.90WISCONSIN STATE37717 500,000.0097705MFT7 05/01/2022 1,8565.00003/29/2017 580,764.45 1.647 1.670580,764.45



Dreyfus Tax Exempt Inst33615 1,792,125.16SYS33615 10.40009/25/2012 1,792,125.16 0.394 0.4001,792,125.16



Portfolio SCL2AP


28

SANTA CLARA COUNTY INVESTMENTSTransaction Activity Report

January 1, 2017 - March 31, 2017Sorted by Transaction Date - Transaction Date

COMMINGLED POOL Fund

TotalCashInterest

PrincipalPaydowns

NewPrincipalFundInvestment # IssuerDealerTransactionTypeInv DescripCUSIP

36822 COMM 23,902.67 23,902.67New York StateWELLS FARGOInterestNYSHGR 1.456%64990CEM9

Totals for 01/01/2017 23,902.67 23,902.67

37412 COMM 99,998,694.00 -99,998,694.00FHLB NOTESUBS FINANCEPurchaseFHLB DISC NOTE313385AD837311 COMM 149,997,541.68 -149,997,541.68GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JN4237313 COMM 59,481,300.00 -59,481,300.00JP Morgan SecuritiesJPMorganChasePurchaseJPMSCC ZERO CPN46640PVR137314 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T2R736671 COMM 65,000,000.00 65,000,000.00TOYOTA MOTORTOYOTA MOTORRedemptionTOYO ZERO CPN89233GN3636672 COMM 55,000,000.00 55,000,000.00JP Morgan SecuritiesJPMorganChaseRedemptionJPMSCC ZERO CPN46640PN3337295 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T2P137304 COMM 100,000,000.00 100,000,000.00FHLB DISCOUNTMIZUHORedemptionFHLB DISC NOTE313385AC035505 COMM 109,375.00 109,375.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A3P4035886 COMM 171,875.00 171,875.00U.S. TREASURYMERRILL LYNCHInterestUNITED STATES912828VK337295 COMM 6,250.05 6,250.05U S BANKU S BANKInterestUSB 0.3% MAT90349T2P1

Totals for 01/03/2017 459,477,535.68 370,000,000.00 287,500.05 -89,190,035.63

37318 COMM 199,997,388.00 -199,997,388.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385AE637317 COMM 149,997,541.68 -149,997,541.68GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JN5937316 COMM 100,000,000.00 -100,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T2S537311 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JN4237314 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T2R737412 COMM 100,000,000.00 100,000,000.00FHLB NOTESUBS FINANCERedemptionFHLB DISC NOTE313385AD837314 COMM 1,250.00 1,250.00U S BANKU S BANKInterestUSB 0.3% MAT90349T2R734292 COMM 55,602.36 55,602.36MORGAN STANLEYInterestMSTI 0.%SYS3429234292 COMM 55,602.36 -55,602.36MORGAN STANLEYPurchaseMSTI 0.%SYS34292

Totals for 01/04/2017 450,050,532.04 400,000,000.00 56,852.36 -49,993,679.68

37319 COMM 99,998,750.00 -99,998,750.00FHLB DISCOUNTCITIGROUP GLOBALPurchaseFHDN DISC NOTE313385AF337320 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385AF337316 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T2S537317 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JN5937318 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385AE637316 COMM 833.33 833.33U S BANKU S BANKInterestUSB 0.3% MAT90349T2S5

Totals for 01/05/2017 299,996,250.00 450,000,000.00 833.33 150,004,583.33

37321 COMM 99,996,250.00 -99,996,250.00FHLB NOTESCITIGROUP GLOBALPurchaseFHLB DISC NOTE313385AJ5

Portfolio SCL2AP

Run Date: 04/19/2017 - 13:00 TA (PRF_TA) 7.1.1Report Ver. 7.3.5

29

Sorted by Transaction Date - Transaction DatePage 2Transaction Activity Report


TotalCashInterest

PrincipalPaydowns


37322 COMM 199,992,500.00 -199,992,500.00FHLB NOTESUBS FINANCEPurchaseFHLB DISC NOTE313385AJ537319 COMM 100,000,000.00 100,000,000.00FHLB DISCOUNTCITIGROUP GLOBALRedemptionFHDN DISC NOTE313385AF337320 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385AF335803 COMM 125,000.00 125,000.00FHLB NOTESWELLS FARGOInterestFHLB 1.% MAT3130A4WA635855 COMM 60,000.00 60,000.00FHLB NOTESWELLS FARGOInterestFHLB 1.% MAT3130A4WA635952 COMM 50,000.00 50,000.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A57J236854 COMM 111,001.81 111,001.81FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A8KR336854 COMM 3,450.83 -3,450.83 0.00FHLB NOTESKEYBANC CAPITALAccr IntFEDERAL HOME3130A8KR336866 COMM 150,000.00 150,000.00FFCB NOTESMERRILL LYNCHInterestFEDERAL FARM CR3133EGKA2

Totals for 01/06/2017 299,988,750.00 300,003,450.83 492,550.98 507,251.81

37323 COMM 99,998,888.88 -99,998,888.88FHLB DISCOUNTCITIGROUP GLOBALPurchaseFHDN DISC NOTE313385AK237325 COMM 199,997,778.00 -199,997,778.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385AK237324 COMM 99,998,361.12 -99,998,361.12GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LNA937321 COMM 100,000,000.00 100,000,000.00FHLB NOTESCITIGROUP GLOBALRedemptionFHLB DISC NOTE313385AJ537322 COMM 200,000,000.00 200,000,000.00FHLB NOTESUBS FINANCERedemptionFHLB DISC NOTE313385AJ534292 COMM 100,000,000.00 100,000,000.00MORGAN STANLEYRedemptionMSTI 0.%SYS3429235815 COMM 87,500.00 87,500.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A4WB4

Totals for 01/09/2017 399,995,028.00 400,000,000.00 87,500.00 92,472.00

37326 COMM 199,997,612.00 -199,997,612.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385AL037328 COMM 49,999,180.56 -49,999,180.56GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LNB737327 COMM 99,998,361.12 -99,998,361.12GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JNB637323 COMM 100,000,000.00 100,000,000.00FHLB DISCOUNTCITIGROUP GLOBALRedemptionFHDN DISC NOTE313385AK237324 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LNA937325 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385AK2

Totals for 01/10/2017 349,995,153.68 400,000,000.00 50,004,846.32

37329 COMM 199,997,222.00 -199,997,222.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385AM837330 COMM 149,997,541.68 -149,997,541.68GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JNC437254 COMM 45,000,000.00 45,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385AL037326 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385AL037327 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JNB637328 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LNB7

Totals for 01/11/2017 349,994,763.68 395,000,000.00 45,005,236.32

37332 COMM 199,997,222.00 -199,997,222.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385AN637331 COMM 149,997,583.32 -149,997,583.32GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JND237193 COMM 70,000,000.00 70,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385AM837303 COMM 50,000,000.00 50,000,000.00FFCB DISCOUNTMIZUHORedemptionFCDN DISC NOTE313313AM037329 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385AM837330 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JNC4

Portfolio SCL2AP


30



TotalCashInterest

PrincipalPaydowns


35207 COMM 37,500.00 37,500.00FHLMC NOTESKEYBANC CAPITALInterestFEDERAL HOME LN3137EADN635760 COMM 37,500.00 37,500.00FHLMC NOTESMORGAN STANLEYInterestFEDERAL HOME LN3137EADN635761 COMM 37,500.00 37,500.00FHLMC NOTESUBS FINANCEInterestFEDERAL HOME LN3137EADN635785 COMM 18,750.00 18,750.00FHLMC NOTESMIZUHOInterestFEDERAL HOME LN3137EADN636875 COMM 157,500.00 157,500.00FNMA NOTESBARCLAYS CAPITALInterestFEDERAL NATL MTG3135G0L50

Totals for 01/12/2017 349,994,805.32 470,000,000.00 288,750.00 120,293,944.68

37334 COMM 199,989,112.00 -199,989,112.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385AS537335 COMM 199,988,888.00 -199,988,888.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385AS537333 COMM 149,990,333.34 -149,990,333.34GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JNH38506 COMM 68,527.10 -68,527.10LOCAL AGENCYPurchaseLAIF 1.65%SYS850636693 COMM 40,000,000.00 40,000,000.00CANADIAN IMP BKMERRILL LYNCHRedemptionCIBC 0.97% MAT13606AVE536694 COMM 30,000,000.00 30,000,000.00BNP PARIBAS NYMERRILL LYNCHRedemptionBNP P 0.99% MAT05574R3J236701 COMM 30,000,000.00 30,000,000.00TORONTOMERRILL LYNCHRedemptionTDNY 0.99% MAT89113E6J037276 COMM 100,000,000.00 100,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385AN637331 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JND237332 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385AN636693 COMM 295,311.11 295,311.11CANADIAN IMP BKMERRILL LYNCHInterestCIBC 0.97% MAT13606AVE536694 COMM 226,050.00 226,050.00BNP PARIBAS NYMERRILL LYNCHInterestBNP P 0.99% MAT05574R3J236701 COMM 222,750.00 222,750.00TORONTOMERRILL LYNCHInterestTDNY 0.99% MAT89113E6J08506 COMM 68,527.10 68,527.10LOCAL AGENCYInterestLAIF 1.65%SYS8506

Totals for 01/13/2017 550,036,860.44 550,000,000.00 812,638.21 775,777.77

37234 COMM 24,111.11 24,111.11FHLB VARIABLEDEUTSCHE BANKInterestFHLBVR 0.56% MAT3130AAF52

Totals for 01/14/2017 24,111.11 24,111.11

36753 COMM 4,333.33 4,333.33TOYOTA AUTO RECCITIGROUP GLOBALInterestTOYO 1.3% MAT89231UAD936929 COMM 24,341.66 24,341.66CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.27% MAT161571HF436929 COMM 425,148.05 425,148.05CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.27% MAT161571HF4

Totals for 01/15/2017 425,148.05 28,674.99 453,823.04

37338 COMM 69,999,232.10 -69,999,232.10FHLB NOTESMIZUHOPurchaseFHLB DISC NOTE313385AT337339 COMM 199,997,222.00 -199,997,222.00FHLB NOTESUBS FINANCEPurchaseFHLB DISC NOTE313385AT337336 COMM 49,999,180.56 -49,999,180.56GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LNJ037337 COMM 99,998,361.12 -99,998,361.12GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JNJ937333 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JNH337334 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385AS537335 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385AS535497 COMM 75,000.00 75,000.00FFCB NOTESKEYBANC CAPITALInterestFEDERAL FARM CR3133EDQM735802 COMM 56,250.00 56,250.00INTL BANK RECON &WELLS FARGOInterestIBRD 0.9% MAT45905URF337190 COMM 65,972.22 65,972.22FHLB NOTESBANK OF AMERICAInterestFEDERAL HOME3130AAE4634933 COMM 580.57 580.57TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.67% MAT89231MAC9

Portfolio SCL2AP


31



TotalCashInterest

PrincipalPaydowns


34933 COMM 367,510.89 367,510.89TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.67% MAT89231MAC935725 COMM 1,026.16 1,026.16JOHN DEERECITIGROUP GLOBALInterestJDOT 0.87% MAT47787UAB935725 COMM 766,377.87 766,377.87JOHN DEERECITIGROUP GLOBALRedemptionJDOT 0.87% MAT47787UAB935726 COMM 6,600.00 6,600.00JOHN DEERECITIGROUP GLOBALInterestJDOT 1.32% MAT47787UAD535726 COMM 212,100.73 212,100.73JOHN DEERECITIGROUP GLOBALRedemptionJDOT 1.32% MAT47787UAD535953 COMM 28,333.33 28,333.33CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.36% MAT161571GY435953 COMM 693,997.45 693,997.45CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.36% MAT161571GY436060 COMM 647.84 647.84TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.77% MAT89237CAB736060 COMM 710,819.71 710,819.71TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.77% MAT89237CAB736078 COMM 165.28 165.28NISSAN AUTOBARCLAYS CAPITALInterestNALT 0.99% MAT65473DAB836078 COMM 180,267.50 180,267.50NISSAN AUTOBARCLAYS CAPITALRedemptionNALT 0.99% MAT65473DAB836216 COMM 6,900.00 6,900.00JOHN DEEREROYAL BANK OFInterestJDOT 1.44% MAT47787WAC336216 COMM 180,872.24 180,872.24JOHN DEEREROYAL BANK OFRedemptionJDOT 1.44% MAT47787WAC336557 COMM 6,700.00 6,700.00NISSAN AUTOMERRILL LYNCHInterestNALT 1.34% MAT65478UAD136557 COMM 138,031.83 138,031.83NISSAN AUTOMERRILL LYNCHRedemptionNALT 1.34% MAT65478UAD136600 COMM 11,900.00 11,900.00JOHN DEEREMERRILL LYNCHInterestJDOT 1.36% MAT47788MAC436600 COMM -0.03 -0.03JOHN DEEREMERRILL LYNCHRedemptionJDOT 1.36% MAT47788MAC436601 COMM 15,625.00 15,625.00TOYOTA AUTO RECMERRILL LYNCHInterestTAOT 1.25% MAT89237KAD536601 COMM 392,028.83 392,028.83TOYOTA AUTO RECMERRILL LYNCHRedemptionTAOT 1.25% MAT89237KAD536623 COMM 29,133.34 29,133.34MERCEDES-BENZBARCLAYS CAPITALInterestMBALT 1.52% MAT58768FAD836623 COMM 875,060.27 875,060.27MERCEDES-BENZBARCLAYS CAPITALRedemptionMBALT 1.52% MAT58768FAD836800 COMM 13,900.00 13,900.00HONDA AUTOMERRILL LYNCHInterestHAROT 1.39% MAT43814QAC236800 COMM 308,995.98 308,995.98HONDA AUTOMERRILL LYNCHRedemptionHAROT 1.39% MAT43814QAC236905 COMM 9,114.59 9,114.59JOHN DEEREROYAL BANK OFInterestJDOT 1.25% MAT47788NAC236905 COMM 211,055.53 211,055.53JOHN DEEREROYAL BANK OFRedemptionJDOT 1.25% MAT47788NAC237035 COMM 14,350.00 14,350.00TOYOTA AUTO RECJPMorganChaseInterestTAOT 1.23% MAT89231LAD937035 COMM 304,217.26 304,217.26TOYOTA AUTO RECJPMorganChaseRedemptionTAOT 1.23% MAT89231LAD937065 COMM 5,625.00 5,625.00MERCEDES-BENZBANK OF AMERICAInterestMBALT 1.35% MAT58768MAC537065 COMM 155,971.66 155,971.66MERCEDES-BENZBANK OF AMERICARedemptionMBALT 1.35% MAT58768MAC5

Totals for 01/17/2017 419,993,995.78 555,497,307.72 347,823.33 135,851,135.27

37343 COMM 49,999,319.50 -49,999,319.50FFCB DISCOUNTMIZUHOPurchaseFCDN DISC NOTE313313AU237345 COMM 99,998,639.00 -99,998,639.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385AU037346 COMM 199,997,278.00 -199,997,278.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385AU037341 COMM 49,999,180.56 -49,999,180.56GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LNK737342 COMM 99,998,361.12 -99,998,361.12GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JNK637340 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T2U037336 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LNJ037337 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JNJ937338 COMM 70,000,000.00 70,000,000.00FHLB NOTESMIZUHORedemptionFHLB DISC NOTE313385AT337339 COMM 200,000,000.00 200,000,000.00FHLB NOTESUBS FINANCERedemptionFHLB DISC NOTE313385AT3

Portfolio SCL2AP


32



TotalCashInterest

PrincipalPaydowns


36587 COMM 14,233.34 14,233.34HONDA AUTOJPMorganChaseInterestHAROT 1.22% MAT43814NAC936587 COMM 407,177.04 407,177.04HONDA AUTOJPMorganChaseRedemptionHAROT 1.22% MAT43814NAC937059 COMM 11,595.83 11,595.83HONDA AUTOBARCLAYS CAPITALInterestHAROT 1.21% MAT43814RAC037059 COMM 239,585.95 239,585.95HONDA AUTOBARCLAYS CAPITALRedemptionHAROT 1.21% MAT43814RAC0

Totals for 01/18/2017 649,992,778.18 420,646,762.99 25,829.17 -229,320,186.02

37350 COMM 149,997,916.68 -149,997,916.68FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385AV837351 COMM 199,997,220.00 -199,997,220.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385AV837344 COMM 10,057,233.33 -10,057,233.33FHLMC NOTESINCAPITAL LLCPurchaseFEDERAL HOME LN3134G3K9037454 COMM 20,111,733.33 -20,111,733.33FHLMC NOTESINCAPITAL LLCPurchaseFEDERAL HOME LN3134G3A9137348 COMM 49,999,208.33 -49,999,208.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LNL537349 COMM 99,998,416.66 -99,998,416.66GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JNL437347 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T2V837340 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T2U037341 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LNK737342 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JNK637343 COMM 50,000,000.00 50,000,000.00FFCB DISCOUNTMIZUHORedemptionFCDN DISC NOTE313313AU237345 COMM 100,000,000.00 100,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385AU037346 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385AU037340 COMM 1,250.00 1,250.00U S BANKU S BANKInterestUSB 0.3% MAT90349T2U0

Totals for 01/19/2017 680,161,728.33 650,000,000.00 1,250.00 -30,160,478.33

37354 COMM 99,996,375.00 -99,996,375.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385AY237355 COMM 199,992,000.00 -199,992,000.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385AY237352 COMM 149,992,875.00 -149,992,875.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JNP537353 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T2W636663 COMM 60,000,000.00 60,000,000.00WELLS FARGOWELLS FARGORedemptionWELLS 0.99% MAT94988ETE836673 COMM 50,000,000.00 50,000,000.00BANK OF AMERICAMERRILL LYNCHRedemptionBA 0.88% MAT06052TSR236674 COMM 45,000,000.00 45,000,000.00BANK OFBMO CAPITALRedemptionBMOCHI 0.99% MAT06427EC6636687 COMM 50,000,000.00 50,000,000.00ROYAL BANK OFROYAL BANK OFRedemptionRBC 0.965% MAT78009NB6236695 COMM 25,000,000.00 25,000,000.00RABOBANKMIZUHORedemptionRABO 0.96% MAT21684BB4536717 COMM 50,000,000.00 50,000,000.00JP Morgan SecuritiesJPMorganChaseRedemptionJPMSCC ZERO CPN46640PNL336994 COMM 35,000,000.00 35,000,000.00BANK OFBMO CAPITALRedemptionBMOCHI 0.91% MAT06427KC4737220 COMM 48,600,000.00 48,600,000.00PEPSICO INCJPMorganChaseRedemptionPEPPP DISC NOTE71344TNL237347 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T2V837348 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LNL537349 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JNL437350 COMM 150,000,000.00 150,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385AV837351 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385AV836663 COMM 478,500.00 478,500.00WELLS FARGOWELLS FARGOInterestWELLS 0.99% MAT94988ETE836673 COMM 350,777.78 350,777.78BANK OF AMERICAMERRILL LYNCHInterestBA 0.88% MAT06052TSR2

Portfolio SCL2AP


33



TotalCashInterest

PrincipalPaydowns


36674 COMM 355,162.50 355,162.50BANK OFBMO CAPITALInterestBMOCHI 0.99% MAT06427EC6636687 COMM 377,958.34 377,958.34ROYAL BANK OFROYAL BANK OFInterestRBC 0.965% MAT78009NB6236695 COMM 187,333.33 187,333.33RABOBANKMIZUHOInterestRABO 0.96% MAT21684BB4536994 COMM 100,858.33 100,858.33BANK OFBMO CAPITALInterestBMOCHI 0.91% MAT06427KC4737265 COMM 25,889.31 25,889.31FFCB NOTESINCAPITAL LLCInterestFFCB 0.859% MAT3133EGX6737347 COMM 1,250.00 1,250.00U S BANKU S BANKInterestUSB 0.3% MAT90349T2V835064 COMM 3,286.05 3,286.05VOLKSWAGENJPMorganChaseInterestVALET 0.91% MAT92867RAC335064 COMM 442,757.49 442,757.49VOLKSWAGENJPMorganChaseRedemptionVALET 0.91% MAT92867RAC336274 COMM 35,000.01 35,000.01BMW VEHICLECREDIT SUISSEInterestBMWLT 1.4% MAT05581QAD036274 COMM 1,210,255.65 1,210,255.65BMW VEHICLECREDIT SUISSERedemptionBMWLT 1.4% MAT05581QAD036569 COMM 14,516.67 14,516.67BMW VEHICLEMERRILL LYNCHInterestBMWLT 1.34% MAT05581RAD836569 COMM 738,056.75 738,056.75BMW VEHICLEMERRILL LYNCHRedemptionBMWLT 1.34% MAT05581RAD837036 COMM 8,341.67 8,341.67BMW VEHICLEMIZUHOInterestBMWLT 1.43% MAT05582XAD437036 COMM 211,481.42 211,481.42BMW VEHICLEMIZUHORedemptionBMWLT 1.43% MAT05582XAD4

Totals for 01/20/2017 599,981,250.00 1,016,202,551.3 1,938,873.99 418,160,175.30

37357 COMM 149,998,125.00 -149,998,125.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385AZ937358 COMM 199,997,388.00 -199,997,388.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385AZ937356 COMM 149,997,624.99 -149,997,624.99GENERAL ELECTRICGENERAL ELECTRICPurchaseGE CAP TREAS36164JNQ335877 COMM 12,195,000.00 12,195,000.00FFCB NOTESKEYBANC CAPITALRedemptionFEDERAL FARM CR3133EEUT537352 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JNP537353 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T2W637354 COMM 100,000,000.00 100,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385AY237355 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385AY235877 COMM 42,682.50 42,682.50FFCB NOTESKEYBANC CAPITALInterestFEDERAL FARM CR3133EEUT536347 COMM 81,250.00 81,250.00FNMA NOTESCITIGROUP GLOBALInterestFEDERAL NATL MTG3135G0A7836361 COMM 162,500.00 162,500.00FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3135G0A7836383 COMM 81,250.00 81,250.00FNMA NOTESBARCLAYS CAPITALInterestFEDERAL NATL MTG3135G0A7836384 COMM 81,250.00 81,250.00FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3135G0A7837353 COMM 3,750.00 3,750.00U S BANKU S BANKInterestUSB 0.3% MAT90349T2W635986 COMM 5,504.28 5,504.28HONDA AUTOJPMorganChaseInterestHAROT 1.04% MAT43813NAC035986 COMM 494,338.14 494,338.14HONDA AUTOJPMorganChaseRedemptionHAROT 1.04% MAT43813NAC0

Totals for 01/23/2017 499,993,137.99 612,689,338.14 458,186.78 113,154,386.93

37360 COMM 199,997,222.00 -199,997,222.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BA337361 COMM 149,997,916.50 -149,997,916.50FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BA337359 COMM 124,998,020.83 -124,998,020.83GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JNR137215 COMM 75,000,000.00 75,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385AZ937297 COMM 55,000,000.00 55,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385AZ937356 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE CAP TREAS36164JNQ337357 COMM 150,000,000.00 150,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385AZ9

Portfolio SCL2AP


34



TotalCashInterest

PrincipalPaydowns


37358 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385AZ9

Totals for 01/24/2017 474,993,159.33 630,000,000.00 155,006,840.67

37365 COMM 149,997,916.50 -149,997,916.50FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BB137366 COMM 99,998,611.00 -99,998,611.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BB137415 COMM 199,997,222.00 -199,997,222.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BB137363 COMM 99,998,416.67 -99,998,416.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LNS037362 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T2X436563 COMM 1,000,000.00 1,000,000.00FHLMC NOTESKEYBANC CAPITALRedemptionFEDERAL HOME LN3134G7CU337359 COMM 125,000,000.00 125,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JNR137360 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BA337361 COMM 150,000,000.00 150,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BA337420 COMM 45,000,000.00 45,000,000.00FFCB DISCOUNTMIZUHORedemptionFCDN ZERO CPN313313BA535942 COMM 50,000.00 50,000.00FHLMC NOTESWELLS FARGOInterestFEDERAL HOME LN3134G3ZH636563 COMM 3,125.00 3,125.00FHLMC NOTESKEYBANC CAPITALInterestFEDERAL HOME LN3134G7CU336893 COMM 9,666.67 9,666.67BMW VEHICLEJPMorganChaseInterestBMWOT 1.16% MAT05582QAD936893 COMM 217,917.24 217,917.24BMW VEHICLEJPMorganChaseRedemptionBMWOT 1.16% MAT05582QAD9

Totals for 01/25/2017 699,992,166.17 521,217,917.24 62,791.67 -178,711,457.26

37370 COMM 249,996,527.50 -249,996,527.50FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BC937371 COMM 199,997,222.00 -199,997,222.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BC937372 COMM 34,648,969.44 -34,648,969.44FHLB VARIABLECITIGROUP GLOBALPurchaseFEDERAL HOME3130A8Y7237367 COMM 49,996,041.67 -49,996,041.67GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LNX937368 COMM 74,994,062.50 -74,994,062.50GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JNX837369 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T2Y237362 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T2X437363 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LNS037365 COMM 150,000,000.00 150,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BB137366 COMM 100,000,000.00 100,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BB137415 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BB136902 COMM 78,750.00 78,750.00FNMA NOTESINCAPITAL LLCInterestFEDERAL NATL MTG3136G3A6237362 COMM 1,250.00 1,250.00U S BANKU S BANKInterestUSB 0.3% MAT90349T2X4

Totals for 01/26/2017 759,632,823.11 700,000,000.00 80,000.00 -59,552,823.11

37375 COMM 50,000,000.00 -50,000,000.00BANK OF AMERICAMERRILL LYNCHPurchaseBA 1.17% MAT06052TVX537378 COMM 5,000,000.00 -5,000,000.00FFCB NOTESINCAPITAL LLCPurchaseFEDERAL FARM CR3133EG5D337376 COMM 199,991,666.00 -199,991,666.00FHLB NOTESUBS FINANCEPurchaseFHLB DISC NOTE313385BF237377 COMM 249,989,582.50 -249,989,582.50FHLB NOTESMIZUHOPurchaseFHLB DISC NOTE313385BF237379 COMM 30,000,000.00 -30,000,000.00FHLMC NOTESBARCLAYS CAPITALPurchaseFEDERAL HOME LN3134GAN5937373 COMM 49,997,625.00 -49,997,625.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JNW037380 COMM 9,990,400.00 -9,990,400.00IBMROYAL BANK OFPurchaseINTERNATIONAL459200JN237381 COMM 49,729,333.33 -49,729,333.33TOYOTA MOTORTOYOTO MOTORPurchaseTOYO DISC NOTE89233GUE4

Portfolio SCL2AP


35



TotalCashInterest

PrincipalPaydowns


37374 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T2Z936535 COMM 15,000,000.00 15,000,000.00FARMER MACMIZUHORedemptionFAMCA 0.75% MAT3132X0EW737160 COMM 33,000,000.00 33,000,000.00FHLB DISCOUNTCITIGROUP GLOBALRedemptionFHDN DISC NOTE313385BC937369 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T2Y237370 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BC937371 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BC936535 COMM 56,250.00 56,250.00FARMER MACMIZUHOInterestFAMCA 0.75% MAT3132X0EW737369 COMM 1,250.00 1,250.00U S BANKU S BANKInterestUSB 0.3% MAT90349T2Y2

Totals for 01/27/2017 794,698,606.83 648,000,000.00 57,500.00 -146,641,106.83

37382 COMM 25,000,000.00 -25,000,000.00FHLB NOTESINCAPITAL LLCPurchaseFEDERAL HOME3130AANA237383 COMM 5,000,000.00 -5,000,000.00FHLB NOTESINCAPITAL LLCPurchaseFEDERAL HOME3130AANA237386 COMM 249,996,667.50 -249,996,667.50FHLB NOTESMIZUHOPurchaseFHLB DISC NOTE313385BG037387 COMM 199,997,334.00 -199,997,334.00FHLB NOTESUBS FINANCEPurchaseFHLB DISC NOTE313385BG037384 COMM 49,999,208.33 -49,999,208.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JNX837385 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T3A334738 COMM 30,000,000.00 30,000,000.00FNMA NOTESBNP PARIBASRedemptionFEDERAL NATL MTG3135G0GY335605 COMM 15,356,400.00 15,356,400.00FNMA NOTESBARCLAYS CAPITALRedemptionFNMA 2.% MAT3135G0B7735605 COMM -356,400.00 -356,400.00FNMA NOTESBARCLAYS CAPITALCap G/LFNMA 2.% MAT3135G0B7736564 COMM 7,923,000.00 7,923,000.00FNMA NOTESKEYBANC CAPITALRedemptionFEDERAL NATL MTG3135G0GY337373 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JNW037374 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T2Z937376 COMM 200,000,000.00 200,000,000.00FHLB NOTESUBS FINANCERedemptionFHLB DISC NOTE313385BF237377 COMM 250,000,000.00 250,000,000.00FHLB NOTESMIZUHORedemptionFHLB DISC NOTE313385BF234738 COMM 187,500.00 187,500.00FNMA NOTESBNP PARIBASInterestFEDERAL NATL MTG3135G0GY335556 COMM 125,000.00 125,000.00FHLMC NOTESCITIGROUP GLOBALInterestFEDERAL HOME LN3137EADJ535605 COMM 150,000.00 150,000.00FNMA NOTESBARCLAYS CAPITALInterestFNMA 2.% MAT3135G0B7736088 COMM 64,487.50 64,487.50FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3136FTZZ536156 COMM 169,300.00 169,300.00ROYAL BANK OFROYAL BANK OFInterestRBC 1.693% MAT78009NVR436288 COMM 45,750.00 45,750.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A5Z7736289 COMM 45,750.00 45,750.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A5Z7736298 COMM 45,750.00 45,750.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A5Z7736308 COMM 91,500.00 91,500.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A5Z7736309 COMM 12,500.00 12,500.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G34W736310 COMM 45,750.00 45,750.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A5Z7736505 COMM 171,875.00 171,875.00FNMA NOTESDEUTSCHE BANKInterestFEDERAL NATL MTG3135G0H6336564 COMM 49,518.75 49,518.75FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3135G0GY336643 COMM 263,250.00 263,250.00INTL BANK RECON &BMO CAPITALInterestIBRD 1.17% MAT45905UVR237374 COMM 3,750.00 3,750.00U S BANKU S BANKInterestUSB 0.3% MAT90349T2Z9

Totals for 01/30/2017 679,993,209.83 702,923,000.00 1,471,681.25 24,401,471.42

Portfolio SCL2AP


36



TotalCashInterest

PrincipalPaydowns


37391 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BH837392 COMM 249,996,875.00 -249,996,875.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BH837389 COMM 49,999,208.33 -49,999,208.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LP1737390 COMM 99,998,416.66 -99,998,416.66GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JP1637388 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T3B136686 COMM 35,000,000.00 35,000,000.00RABOBANKMIZUHORedemptionRABO 0.95% MAT21685VNE536702 COMM 40,000,000.00 40,000,000.00U.S. TREASURYBMO CAPITALRedemptionUNITED STATES912828SC537183 COMM 60,000,000.00 60,000,000.00EXXON MOBILBANK OF AMERICARedemptionEX DISC NOTE MAT30229ANX337367 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LNX937368 COMM 75,000,000.00 75,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JNX837384 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JNX837385 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T3A337386 COMM 250,000,000.00 250,000,000.00FHLB NOTESMIZUHORedemptionFHLB DISC NOTE313385BG037387 COMM 200,000,000.00 200,000,000.00FHLB NOTESUBS FINANCERedemptionFHLB DISC NOTE313385BG035887 COMM 103,125.00 103,125.00U.S. TREASURYCANTORInterestUNITED STATES912828VQ036686 COMM 270,618.05 270,618.05RABOBANKMIZUHOInterestRABO 0.95% MAT21685VNE536702 COMM 175,000.00 175,000.00U.S. TREASURYBMO CAPITALInterestUNITED STATES912828SC537385 COMM 1,249.95 1,249.95U S BANKU S BANKInterestUSB 0.3% MAT90349T3A3

Totals for 01/31/2017 749,991,999.99 910,000,000.00 549,993.00 160,557,993.01

37399 COMM 20,000,000.00 -20,000,000.00FFCB NOTESINCAPITAL LLCPurchaseFFCB 1.3% MAT3133EG5Q437395 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHLB DISC NOTE313385BJ437396 COMM 249,996,875.00 -249,996,875.00FHLB DISCOUNTMIZUHOPurchaseFHLB DISC NOTE313385BJ437393 COMM 149,997,624.99 -149,997,624.99GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JP2437397 COMM 59,652,000.00 -59,652,000.00RABOBANKMERRILL LYNCHPurchaseRABO DISC NOTE21687AUX937394 COMM 100,000,000.00 -100,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T3C937388 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T3B137389 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LP1737390 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JP1637391 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BH837392 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BH837388 COMM 1,250.00 1,250.00U S BANKU S BANKInterestUSB 0.3% MAT90349T3B1

Totals for 02/01/2017 779,643,999.99 750,000,000.00 1,250.00 -29,642,749.99

37402 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BK137403 COMM 249,996,875.00 -249,996,875.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BK137400 COMM 149,997,624.99 -149,997,624.99GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LP3337401 COMM 100,000,000.00 -100,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T3D737393 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JP2437394 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T3C937395 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHLB DISC NOTE313385BJ4

Portfolio SCL2AP


37



TotalCashInterest

PrincipalPaydowns


37396 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHLB DISC NOTE313385BJ437079 COMM 50,000.00 50,000.00FARMER MACMIZUHOInterestFEDERAL AGRIC3132X0LA737253 COMM 87,500.00 87,500.00FNMA NOTESKEYBANC CAPITALInterestFNMA 0.875% MAT3135G0N3337253 COMM 66,597.22 -66,597.22 0.00FNMA NOTESKEYBANC CAPITALAccr IntFNMA 0.875% MAT3135G0N3337394 COMM 833.33 833.33U S BANKU S BANKInterestUSB 0.3% MAT90349T3C934292 COMM 101,178.02 101,178.02MORGAN STANLEYInterestMSTI 0.%SYS3429234292 COMM 101,178.02 -101,178.02MORGAN STANLEYPurchaseMSTI 0.%SYS34292

Totals for 02/02/2017 700,093,178.01 700,066,597.22 172,914.13 146,333.34

37404 COMM 14,997,900.00 -14,997,900.00FFCB NOTESINCAPITAL LLCPurchaseFEDERAL FARM CR3133EG6C437406 COMM 199,992,500.00 -199,992,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BN537407 COMM 249,990,625.00 -249,990,625.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BN537405 COMM 24,975,416.67 -24,975,416.67FHLB NOTESMIZUHOPurchaseFEDERAL HOME3130AAQ4337411 COMM 99,995,250.00 -99,995,250.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LP6637410 COMM 49,997,625.00 -49,997,625.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JP6537409 COMM 100,000,000.00 -100,000,000.00U S BANKU S BANKPurchaseUSB 0.3% MAT90349T3E536652 COMM 45,000,000.00 45,000,000.00FFCB DISCOUNTMIZUHORedemptionFCDN ZERO CPN313313BK336847 COMM 30,000,000.00 30,000,000.00BANK OF AMERICAMERRILL LYNCHRedemptionBAC 0.83% MAT06052TTZ337400 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LP3337401 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T3D737402 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BK137403 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BK136847 COMM 152,166.67 152,166.67BANK OF AMERICAMERRILL LYNCHInterestBAC 0.83% MAT06052TTZ337401 COMM 833.33 833.33U S BANKU S BANKInterestUSB 0.3% MAT90349T3D7

Totals for 02/03/2017 739,949,316.67 775,000,000.00 153,000.00 35,203,683.33

37372 COMM 146,319.44 -146,319.44 0.00FHLB VARIABLECITIGROUP GLOBALAccr IntFEDERAL HOME3130A8Y72

Totals for 02/05/2017 146,319.44 -146,319.44 0.00

37417 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BP037418 COMM 249,996,875.00 -249,996,875.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BP037416 COMM 149,997,624.99 -149,997,624.99GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LP7437419 COMM 14,989,950.00 -14,989,950.00MICROSOFT CORPBARCLAYS CAPITALPurchaseMICROSOFT CORP,594918BV537406 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BN537407 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BN537409 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB 0.3% MAT90349T3E537410 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JP6537411 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LP6635633 COMM 56,250.00 56,250.00IBMCITIGROUP GLOBALInterestIBM 1.125% MAT459200HZ736918 COMM 165,000.00 165,000.00APPLE INCMERRILL LYNCHInterestAPPLE INC, SR GLBL037833CB437372 COMM 153,975.69 153,975.69FHLB VARIABLECITIGROUP GLOBALInterestFEDERAL HOME3130A8Y7237409 COMM 2,500.00 2,500.00U S BANKU S BANKInterestUSB 0.3% MAT90349T3E5

Portfolio SCL2AP


38



TotalCashInterest

PrincipalPaydowns


Totals for 02/06/2017 614,981,949.99 700,000,000.00 377,725.69 85,395,775.70

37424 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BQ837425 COMM 249,996,875.00 -249,996,875.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BQ837422 COMM 49,999,208.33 -49,999,208.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LP8237423 COMM 99,998,416.66 -99,998,416.66GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JP8137416 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LP7437417 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BP037418 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BP035958 COMM 78,750.00 78,750.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A57G8

Totals for 02/07/2017 599,991,999.99 600,000,000.00 78,750.00 86,750.01

37427 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BR637428 COMM 249,996,875.00 -249,996,875.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BR637426 COMM 149,997,708.33 -149,997,708.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JP9937422 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LP8237423 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JP8137424 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BQ837425 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BQ835644 COMM 62,500.00 62,500.00IBMJEFFERIES & CO,InterestINTERNATIONAL459200HK036923 COMM 55,000.00 55,000.00MICROSOFT CORPMERRILL LYNCHInterestMICROSOFT CORP,594918BN3

Totals for 02/08/2017 599,992,083.33 600,000,000.00 117,500.00 125,416.67

37433 COMM 199,997,388.00 -199,997,388.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BS437438 COMM 249,996,735.00 -249,996,735.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BS437443 COMM 20,031,333.33 -20,031,333.33FHLMC NOTESKEYBANC CAPITALPurchaseFEDERAL HOME LN3137EAEE537582 COMM 10,066,966.67 -10,066,966.67FNMA NOTESKEYBANC CAPITALPurchaseFEDERAL NATL MTG3135G0S3837430 COMM 99,998,444.44 -99,998,444.44GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LPA737432 COMM 49,999,222.22 -49,999,222.22GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36164JPA637426 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JP9937427 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BR637428 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BR6

Totals for 02/09/2017 630,090,089.66 600,000,000.00 -30,090,089.66

37447 COMM 249,990,207.50 -249,990,207.50FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BV737449 COMM 199,992,164.20 -199,992,164.20FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BV737444 COMM 149,993,000.01 -149,993,000.01GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36164JPD037430 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LPA737432 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36164JPA637433 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BS437438 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BS436117 COMM 54,375.00 54,375.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME3130A3XL3

Portfolio SCL2AP


39



TotalCashInterest

PrincipalPaydowns


Totals for 02/10/2017 599,975,371.71 600,000,000.00 54,375.00 79,003.29

36989 COMM 112,500.00 112,500.00FHLMC NOTESKEYBANC CAPITALInterestFEDERAL HOME LN3137EAEC936989 COMM 28,125.00 -28,125.00 0.00FHLMC NOTESKEYBANC CAPITALAccr IntFEDERAL HOME LN3137EAEC936992 COMM 56,250.00 56,250.00FHLMC NOTESKEYBANC CAPITALInterestFEDERAL HOME LN3137EAEC936992 COMM 14,687.50 -14,687.50 0.00FHLMC NOTESKEYBANC CAPITALAccr IntFEDERAL HOME LN3137EAEC9

Totals for 02/12/2017 42,812.50 125,937.50 168,750.00

37451 COMM 199,997,388.00 -199,997,388.00FHLB NOTESUBS FINANCEPurchaseFHLB DISC NOTE313385BW537452 COMM 249,996,735.00 -249,996,735.00FHLB NOTESMIZUHOPurchaseFHLB DISC NOTE313385BW537453 COMM 149,997,666.66 -149,997,666.66GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JPE832308 COMM 15,000,000.00 15,000,000.00FNMA NOTESMORGAN STANLEYRedemptionFNMA 5.% MAT31359M4D237444 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36164JPD037447 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BV737449 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BV732308 COMM 375,000.00 375,000.00FNMA NOTESMORGAN STANLEYInterestFNMA 5.% MAT31359M4D236584 COMM 77,250.00 77,250.00FFCB NOTESINCAPITAL LLCInterestFEDERAL FARM CR3133EFZN0

Totals for 02/13/2017 599,991,789.66 615,000,000.00 452,250.00 15,460,460.34

37456 COMM 249,996,735.00 -249,996,735.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BX337457 COMM 199,997,388.00 -199,997,388.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BX337455 COMM 149,997,666.66 -149,997,666.66GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36164JPF537451 COMM 200,000,000.00 200,000,000.00FHLB NOTESUBS FINANCERedemptionFHLB DISC NOTE313385BW537452 COMM 250,000,000.00 250,000,000.00FHLB NOTESMIZUHORedemptionFHLB DISC NOTE313385BW537453 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JPE837234 COMM 27,211.11 27,211.11FHLB VARIABLEDEUTSCHE BANKInterestFHLBVR 0.56% MAT3130AAF52

Totals for 02/14/2017 599,991,789.66 600,000,000.00 27,211.11 35,421.45

37460 COMM 199,997,388.00 -199,997,388.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385BY137461 COMM 249,996,735.00 -249,996,735.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385BY137459 COMM 99,998,444.44 -99,998,444.44GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT3690LPG437458 COMM 49,999,222.22 -49,999,222.22GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JPG337268 COMM 50,000,000.00 50,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BX337455 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36164JPF537456 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BX337457 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BX335528 COMM 125,000.00 125,000.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A3RW635531 COMM 80,750.00 80,750.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A3SZ835756 COMM 65,625.00 65,625.00FHLMC NOTESKEYBANC CAPITALInterestFEDERAL HOME LN3134G3B9035865 COMM 88,803.75 88,803.75FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A4YA436753 COMM 4,333.33 4,333.33TOYOTA AUTO RECCITIGROUP GLOBALInterestTOYO 1.3% MAT89231UAD936881 COMM 175,200.00 175,200.00INTL BANK RECON &InterestIBRD 0.875% MAT459058FK4

Portfolio SCL2AP


40



TotalCashInterest

PrincipalPaydowns


36933 COMM 65,000.00 65,000.00BERKSHIREBANK OF AMERICAInterestBERKSHIRE084664CK534933 COMM 374.82 374.82TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.67% MAT89231MAC934933 COMM 364,714.82 364,714.82TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.67% MAT89231MAC935725 COMM 458.55 458.55JOHN DEERECITIGROUP GLOBALInterestJDOT 0.87% MAT47787UAB935725 COMM 580,841.97 580,841.97JOHN DEERECITIGROUP GLOBALRedemptionJDOT 0.87% MAT47787UAB935726 COMM 6,617.27 6,617.27JOHN DEERECITIGROUP GLOBALInterestJDOT 1.32% MAT47787UAD535726 COMM 217,246.85 217,246.85JOHN DEERECITIGROUP GLOBALRedemptionJDOT 1.32% MAT47787UAD535953 COMM 28,333.33 28,333.33CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.36% MAT161571GY435953 COMM 714,192.52 714,192.52CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.36% MAT161571GY436060 COMM 158.89 158.89TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.77% MAT89237CAB736060 COMM 224,074.89 224,074.89TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.77% MAT89237CAB736216 COMM 6,900.00 6,900.00JOHN DEEREROYAL BANK OFInterestJDOT 1.44% MAT47787WAC336216 COMM 186,943.26 186,943.26JOHN DEEREROYAL BANK OFRedemptionJDOT 1.44% MAT47787WAC336557 COMM 6,700.00 6,700.00NISSAN AUTOMERRILL LYNCHInterestNALT 1.34% MAT65478UAD136557 COMM 141,924.54 141,924.54NISSAN AUTOMERRILL LYNCHRedemptionNALT 1.34% MAT65478UAD136600 COMM 11,900.00 11,900.00JOHN DEEREMERRILL LYNCHInterestJDOT 1.36% MAT47788MAC436600 COMM 282,391.55 282,391.55JOHN DEEREMERRILL LYNCHRedemptionJDOT 1.36% MAT47788MAC436601 COMM 15,625.01 15,625.01TOYOTA AUTO RECMERRILL LYNCHInterestTAOT 1.25% MAT89237KAD536601 COMM 404,116.04 404,116.04TOYOTA AUTO RECMERRILL LYNCHRedemptionTAOT 1.25% MAT89237KAD536623 COMM 29,133.34 29,133.34MERCEDES-BENZBARCLAYS CAPITALInterestMBALT 1.52% MAT58768FAD836623 COMM 911,541.71 911,541.71MERCEDES-BENZBARCLAYS CAPITALRedemptionMBALT 1.52% MAT58768FAD836800 COMM 13,900.00 13,900.00HONDA AUTOMERRILL LYNCHInterestHAROT 1.39% MAT43814QAC236800 COMM 318,661.60 318,661.60HONDA AUTOMERRILL LYNCHRedemptionHAROT 1.39% MAT43814QAC236905 COMM 9,032.47 9,032.47JOHN DEEREROYAL BANK OFInterestJDOT 1.25% MAT47788NAC236905 COMM 217,571.92 217,571.92JOHN DEEREROYAL BANK OFRedemptionJDOT 1.25% MAT47788NAC236929 COMM 24,341.59 24,341.59CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.27% MAT161571HF436929 COMM 436,687.14 436,687.14CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.27% MAT161571HF436956 COMM 12,600.00 12,600.00MERCEDES -BENZCITIGROUP GLOBALInterestMBART 1.26% MAT58769BAD636956 COMM 248,596.42 248,596.42MERCEDES -BENZCITIGROUP GLOBALRedemptionMBART 1.26% MAT58769BAD637035 COMM 14,350.00 14,350.00TOYOTA AUTO RECJPMorganChaseInterestTAOT 1.23% MAT89231LAD937035 COMM 313,275.64 313,275.64TOYOTA AUTO RECJPMorganChaseRedemptionTAOT 1.23% MAT89231LAD937065 COMM 5,625.00 5,625.00MERCEDES-BENZBANK OF AMERICAInterestMBALT 1.35% MAT58768MAC537065 COMM 161,823.86 161,823.86MERCEDES-BENZBANK OF AMERICARedemptionMBALT 1.35% MAT58768MAC5

Totals for 02/15/2017 599,991,789.66 655,724,604.73 790,762.35 56,523,577.42

37466 COMM 14,996,444.17 -14,996,444.17FFCB NOTESDaiwa Capital MarketPurchaseFEDERAL FARM CR3133EG3X137463 COMM 249,996,875.00 -249,996,875.00FHLB DISCOUNTMIZUHOPurchaseFHDN ZERO CPN313385BZ837464 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN ZERO CPN313385BZ837465 COMM 149,997,666.66 -149,997,666.66GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36164JPH137458 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JPG337459 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT3690LPG4

Portfolio SCL2AP


41



TotalCashInterest

PrincipalPaydowns


37460 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385BY137461 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385BY136768 COMM 93,750.00 93,750.00FFCB NOTESKEYBANC CAPITALInterestFEDERAL FARM CR3133EGAS4

Totals for 02/16/2017 614,988,485.83 600,000,000.00 93,750.00 -14,894,735.83

37467 COMM 249,987,500.00 -249,987,500.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385CD637468 COMM 199,990,000.00 -199,990,000.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385CD637469 COMM 149,990,833.32 -149,990,833.32GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JPM036790 COMM 29,277,000.00 29,277,000.00FHLB DISCOUNTMIZUHORedemptionFHDN ZERO CPN313385BZ837463 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN ZERO CPN313385BZ837464 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN ZERO CPN313385BZ837465 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36164JPH1

Totals for 02/17/2017 599,968,333.32 629,277,000.00 29,308,666.68

37059 COMM 11,595.83 11,595.83HONDA AUTOBARCLAYS CAPITALInterestHAROT 1.21% MAT43814RAC037059 COMM 246,571.01 246,571.01HONDA AUTOBARCLAYS CAPITALRedemptionHAROT 1.21% MAT43814RAC0

Totals for 02/18/2017 246,571.01 11,595.83 258,166.84

37265 COMM 27,024.64 27,024.64FFCB NOTESINCAPITAL LLCInterestFFCB 0.859% MAT3133EGX6735064 COMM 3,003.64 3,003.64VOLKSWAGENJPMorganChaseInterestVALET 0.91% MAT92867RAC335064 COMM 713,885.23 713,885.23VOLKSWAGENJPMorganChaseRedemptionVALET 0.91% MAT92867RAC336274 COMM 35,000.00 35,000.00BMW VEHICLECREDIT SUISSEInterestBMWLT 1.4% MAT05581QAD036274 COMM 1,261,258.53 1,261,258.53BMW VEHICLECREDIT SUISSERedemptionBMWLT 1.4% MAT05581QAD0

Totals for 02/20/2017 1,975,143.76 65,028.28 2,040,172.04

37471 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385CE437472 COMM 249,996,875.00 -249,996,875.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385CE437470 COMM 149,997,708.33 -149,997,708.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JPN837296 COMM 100,000,000.00 100,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385CD637467 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385CD637468 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385CD637469 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JPM035986 COMM 5,073.93 5,073.93HONDA AUTOJPMorganChaseInterestHAROT 1.04% MAT43813NAC035986 COMM 482,258.02 482,258.02HONDA AUTOJPMorganChaseRedemptionHAROT 1.04% MAT43813NAC036569 COMM 14,516.67 14,516.67BMW VEHICLEMERRILL LYNCHInterestBMWLT 1.34% MAT05581RAD836569 COMM 782,563.16 782,563.16BMW VEHICLEMERRILL LYNCHRedemptionBMWLT 1.34% MAT05581RAD836587 COMM 14,233.34 14,233.34HONDA AUTOJPMorganChaseInterestHAROT 1.22% MAT43814NAC936587 COMM 420,586.81 420,586.81HONDA AUTOJPMorganChaseRedemptionHAROT 1.22% MAT43814NAC937036 COMM 8,341.67 8,341.67BMW VEHICLEMIZUHOInterestBMWLT 1.43% MAT05582XAD437036 COMM 219,247.16 219,247.16BMW VEHICLEMIZUHORedemptionBMWLT 1.43% MAT05582XAD4

Totals for 02/21/2017 599,992,083.33 701,904,655.15 42,165.61 101,954,737.43

Portfolio SCL2AP


42



TotalCashInterest

PrincipalPaydowns


37701 COMM 50,000,000.00 -50,000,000.00BANK OFBMO CAPITALPurchaseBMOCHI 0.95% MAT06427KS3237476 COMM 199,997,500.00 -199,997,500.00FHLB NOTESUBS FINANCEPurchaseFHLB DISC NOTE313385CF137477 COMM 249,996,875.00 -249,996,875.00FHLB NOTESMIZUHOPurchaseFHLB DISC NOTE313385CF137478 COMM 149,997,708.33 -149,997,708.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JPP337475 COMM 49,832,361.11 -49,832,361.11U S BANKU S BANKPurchaseUSB DISC NOTE9033E0UE435507 COMM 15,000,000.00 15,000,000.00FHLMC NOTESJPMorganChaseRedemptionFHLMC 0.8753137EADT337470 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JPN837471 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385CE437472 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385CE435507 COMM 65,625.00 65,625.00FHLMC NOTESJPMorganChaseInterestFHLMC 0.8753137EADT336576 COMM 96,875.00 96,875.00FNMA NOTESINCAPITAL LLCInterestFEDERAL NATL MTG3136G2WX137454 COMM 140,000.00 140,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G3A9137454 COMM 114,333.33 -114,333.33 0.00FHLMC NOTESINCAPITAL LLCAccr IntFEDERAL HOME LN3134G3A91

Totals for 02/22/2017 699,824,444.44 615,114,333.33 188,166.67 -84,521,944.44

37479 COMM 199,990,000.00 -199,990,000.00FHLB NOTESUBS FINANCEPurchaseFHLB DISC NOTE313385CK037482 COMM 249,987,500.00 -249,987,500.00FHLB NOTESMIZUHOPurchaseFHLB DISC NOTE313385CK037483 COMM 149,990,833.32 -149,990,833.32GENERAL ELECTRICGENERAL ELECTRICPurchaseGE 0.550034% MAT36164JPT535536 COMM 20,000,000.00 20,000,000.00FFCB NOTESUBS FINANCERedemptionFEDERAL FARM CR3133EEFZ835537 COMM 30,000,000.00 30,000,000.00FFCB NOTESJEFFERIES & CO,RedemptionFEDERAL FARM CR3133EEFZ837476 COMM 200,000,000.00 200,000,000.00FHLB NOTESUBS FINANCERedemptionFHLB DISC NOTE313385CF137477 COMM 250,000,000.00 250,000,000.00FHLB NOTESMIZUHORedemptionFHLB DISC NOTE313385CF137478 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JPP335536 COMM 70,000.00 70,000.00FFCB NOTESUBS FINANCEInterestFEDERAL FARM CR3133EEFZ835537 COMM 105,000.00 105,000.00FFCB NOTESJEFFERIES & CO,InterestFEDERAL FARM CR3133EEFZ836580 COMM 32,500.00 32,500.00APPLE INCJPMorganChaseInterestAPPLE INC, SR GLBL037833BN9

Totals for 02/23/2017 599,968,333.32 650,000,000.00 207,500.00 50,239,166.68

36853 COMM 25,000,000.00 25,000,000.00ROYAL BANK OFROYAL BANK OFRedemptionRBC 0.9% MAT78009ND7836583 COMM 93,750.00 93,750.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G8JT736853 COMM 150,000.00 150,000.00ROYAL BANK OFROYAL BANK OFInterestRBC 0.9% MAT78009ND78

Totals for 02/24/2017 25,000,000.00 243,750.00 25,243,750.00

36893 COMM 9,666.67 9,666.67BMW VEHICLEJPMorganChaseInterestBMWOT 1.16% MAT05582QAD936893 COMM 224,190.27 224,190.27BMW VEHICLEJPMorganChaseRedemptionBMWOT 1.16% MAT05582QAD9

Totals for 02/25/2017 224,190.27 9,666.67 233,856.94

36590 COMM 26,250.00 26,250.00FHLMC NOTESCITIGROUP GLOBALInterestFEDERAL HOME LN3134G8L9836591 COMM 26,250.00 26,250.00FHLMC NOTESFTN FINANCIALInterestFEDERAL HOME LN3134G8L9836592 COMM 26,250.00 26,250.00FHLMC NOTESDEUTSCHE BANKInterestFEDERAL HOME LN3134G8L9836593 COMM 26,250.00 26,250.00FHLMC NOTESWELLS FARGOInterestFEDERAL HOME LN3134G8L98

Totals for 02/26/2017 105,000.00 105,000.00

Portfolio SCL2AP


43



TotalCashInterest

PrincipalPaydowns


37489 COMM 249,996,847.50 -249,996,847.50FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385CL837490 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385CL837484 COMM 49,999,236.11 -49,999,236.11GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LPU337488 COMM 99,998,472.22 -99,998,472.22GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JPU2437590 COMM 200,000,000.00 -200,000,000.00JPM TE MMK FDJPMorganChasePurchaseJPM TE 0.44%SYS3759034292 COMM 50,000,000.00 -50,000,000.00MORGAN STANLEYPurchaseMSTI 0.%SYS3429237479 COMM 200,000,000.00 200,000,000.00FHLB NOTESUBS FINANCERedemptionFHLB DISC NOTE313385CK037482 COMM 250,000,000.00 250,000,000.00FHLB NOTESMIZUHORedemptionFHLB DISC NOTE313385CK037483 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE 0.550034% MAT36164JPT536393 COMM 25,000.00 25,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G74S737207 COMM 34,960.00 34,960.00FHLB VARIABLEDEUTSCHE BANKInterestFHLBVR 0.855% MAT3130A8BJ137207 COMM 4,560.00 -4,560.00 0.00FHLB VARIABLEDEUTSCHE BANKAccr IntFHLBVR 0.855% MAT3130A8BJ137483 COMM 9,116.59 9,116.59GENERAL ELECTRICGENERAL ELECTRICInterestGE 0.550034% MAT36164JPT5

Totals for 02/27/2017 849,992,055.83 600,004,560.00 64,516.59 -249,922,979.24

37495 COMM 249,997,570.00 -249,997,570.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385CM637496 COMM 199,998,056.00 -199,998,056.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385CM637578 COMM 3,500,000.00 -3,500,000.00FHLMC NOTESINCAPITAL LLCPurchaseFHLMC 2.125% MAT3134GA5T737579 COMM 20,000,000.00 -20,000,000.00FHLMC NOTESINCAPITAL LLCPurchaseFHLMC 2.125% MAT3134GA5T737580 COMM 11,150,000.00 -11,150,000.00FHLMC NOTESINCAPITAL LLCPurchaseFEDERAL HOME LN3134GA6W937497 COMM 149,997,708.33 -149,997,708.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQ1537153 COMM 75,000,000.00 75,000,000.00MICROSOFT CORPMIZUHORedemptionMSFT DISC NOTE59515MPU337484 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LPU337488 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JPU2437489 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385CL837490 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385CL835447 COMM 56,500.00 56,500.00FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3135G0VC435454 COMM 33,900.00 33,900.00FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3135G0VC435943 COMM 43,750.00 43,750.00FNMA NOTESBNP PARIBASInterestFEDERAL NATL MTG3135G0MZ336143 COMM 37,500.00 37,500.00FHLB NOTESBARCLAYS CAPITALInterestFHLB 0.75% MAT3130A62S536144 COMM 56,250.00 56,250.00FHLB NOTESDEUTSCHE BANKInterestFHLB 0.75% MAT3130A62S5

Totals for 02/28/2017 634,643,334.33 675,000,000.00 227,900.00 40,584,565.67

37491 COMM 199,997,611.12 -199,997,611.12FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385CN437493 COMM 249,997,015.00 -249,997,015.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385CN437494 COMM 149,997,708.33 -149,997,708.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQ2332542 COMM 19,250,000.00 19,250,000.00CALIFORNIA STCITIGROUP GLOBALRedemptionCAS 5.75% MAT13063BFQ037495 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385CM637496 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385CM637497 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQ1532542 COMM 553,437.50 553,437.50CALIFORNIA STCITIGROUP GLOBALInterestCAS 5.75% MAT13063BFQ0

Portfolio SCL2AP


44



TotalCashInterest

PrincipalPaydowns


37164 COMM 77,514.67 77,514.67BANK OF NOVAROYAL BANK OFInterestBNS 1.25417% MAT06417GQY7

Totals for 03/01/2017 599,992,334.45 619,250,000.00 630,952.17 19,888,617.72

37502 COMM 19,977,600.00 -19,977,600.00FFCB NOTESINCAPITAL LLCPurchaseFEDERAL FARM CR3133EHBA037504 COMM 199,997,611.12 -199,997,611.12FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385CP937506 COMM 249,997,015.00 -249,997,015.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385CP937501 COMM 149,997,708.33 -149,997,708.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQ3137507 COMM 8,498,789.60 -8,498,789.60JOHN DEEREBANK OF AMERICAPurchaseJDOT 1.78% MAT47787XAC137491 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385CN437493 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385CN437494 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQ2335694 COMM 68,250.00 68,250.00CHEVRON CORP.BARCLAYS CAPITALInterestCHEVRON CORP166764AV234292 COMM 86,703.31 86,703.31MORGAN STANLEYInterestMSTI 0.%SYS3429234292 COMM 86,703.31 -86,703.31MORGAN STANLEYPurchaseMSTI 0.%SYS3429237590 COMM 4,862.40 4,862.40JPM TE MMK FDJPMorganChaseInterestJPM TE 0.44%SYS3759037590 COMM 4,862.40 -4,862.40JPM TE MMK FDJPMorganChasePurchaseJPM TE 0.44%SYS37590

Totals for 03/02/2017 628,560,289.76 600,000,000.00 159,815.71 -28,400,474.05

37503 COMM 8,000,000.00 -8,000,000.00CHEVRON CORP.CITIGROUP GLOBALPurchaseCHEVRON CORP166764BP437498 COMM 199,993,333.33 -199,993,333.33FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385CS337499 COMM 249,991,667.50 -249,991,667.50FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385CS337500 COMM 149,993,124.99 -149,993,124.99GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQ6437501 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQ3137504 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385CP937506 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385CP9

Totals for 03/03/2017 607,978,125.82 600,000,000.00 -7,978,125.82

37516 COMM 199,997,777.76 -199,997,777.76FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385CT137517 COMM 249,997,222.50 -249,997,222.50FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385CT137513 COMM 149,997,708.33 -149,997,708.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQ7237523 COMM 589,678.89 -589,678.89North Dakota State FLOOP CAPITALPurchaseNORTH DAKOTA65887PHS737150 COMM 39,000,000.00 39,000,000.00Coca-Cola CoBANK OF AMERICARedemptionKOPP DISC NOTE19121AQ6137498 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385CS337499 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385CS337500 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQ6435710 COMM 326,250.00 326,250.00EXXON MOBILJPMorganChaseInterestEXXON MOBIL30231GAL635847 COMM 61,250.00 61,250.00FNMA NOTESBREAN CAPITAL LLCInterestFEDERAL NATL MTG3135G0UU535856 COMM 127,610.00 127,610.00FNMA NOTESBREAN CAPITAL LLCInterestFEDERAL NATL MTG3135G0UU537170 COMM 150,613.85 150,613.85TOYOTA MOTORBANK OF AMERICAInterestTOYO 0.19167% MAT89236TDL6

Totals for 03/06/2017 600,582,387.48 639,000,000.00 665,723.85 39,083,336.37

37519 COMM 199,997,611.12 -199,997,611.12FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385CU8

Portfolio SCL2AP


45



TotalCashInterest

PrincipalPaydowns


37520 COMM 249,997,015.00 -249,997,015.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385CU837521 COMM 149,997,708.33 -149,997,708.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQ8037513 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQ7237516 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385CT137517 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385CT1

Totals for 03/07/2017 599,992,334.45 600,000,000.00 7,665.55

37534 COMM 199,997,611.12 -199,997,611.12FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385CV637535 COMM 249,997,015.00 -249,997,015.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385CV637533 COMM 149,997,708.33 -149,997,708.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LQ9935508 COMM 16,917,000.00 16,917,000.00FHLMC NOTESJPMorganChaseRedemptionFHLMC 1.% MAT3137EADC035546 COMM 16,850,000.00 16,850,000.00FHLMC NOTESJPMorganChaseRedemptionFHLMC 1.% MAT3137EADC037519 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385CU837520 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385CU837521 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQ8035508 COMM 84,585.00 84,585.00FHLMC NOTESJPMorganChaseInterestFHLMC 1.% MAT3137EADC035546 COMM 84,250.00 84,250.00FHLMC NOTESJPMorganChaseInterestFHLMC 1.% MAT3137EADC035867 COMM 93,750.00 93,750.00FHLB NOTESUBS FINANCEInterestFEDERAL HOME313378QK036707 COMM 150,112.50 150,112.50FHLB NOTESMERRILL LYNCHInterestFEDERAL HOME3133782M2

Totals for 03/08/2017 599,992,334.45 633,767,000.00 412,697.50 34,187,363.05

37538 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385CW437542 COMM 249,996,875.00 -249,996,875.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385CW437556 COMM 49,999,236.11 -49,999,236.11GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LQA6037541 COMM 99,998,472.22 -99,998,472.22GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQA535879 COMM 10,000,000.00 10,000,000.00FHLB NOTESMIZUHORedemptionFEDERAL HOME3130A4KD337533 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LQ9937534 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385CV637535 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385CV635879 COMM 37,500.00 37,500.00FHLB NOTESMIZUHOInterestFEDERAL HOME3130A4KD335922 COMM 68,750.00 68,750.00FHLB NOTESBREAN CAPITAL LLCInterestFEDERAL HOME313378A4336053 COMM 34,375.00 34,375.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313378A4336059 COMM 34,375.00 34,375.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313378A4336735 COMM 137,500.00 137,500.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313378A43

Totals for 03/09/2017 599,992,083.33 610,000,000.00 312,500.00 10,320,416.67

37548 COMM 19,953,600.00 -19,953,600.00FHLB NOTESBANK OF AMERICAPurchaseFHLB 1.4918% MAT3130AAXX137549 COMM 19,953,600.00 -19,953,600.00FHLB NOTESDEUTSCHE BANKPurchaseFHLB 1.4918% MAT3130AAXX137553 COMM 199,992,500.00 -199,992,500.00FHLB NOTESUBS FINANCEPurchaseFHLB DISC NOTE313385CZ737554 COMM 249,990,625.00 -249,990,625.00FHLB NOTESMIZUHOPurchaseFHLB DISC NOTE313385CZ737552 COMM 149,993,124.99 -149,993,124.99GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQD935516 COMM 25,000,000.00 25,000,000.00FHLB NOTESWELLS FARGORedemptionFEDERAL HOME3133782N0

Portfolio SCL2AP


46



TotalCashInterest

PrincipalPaydowns


35517 COMM 35,000,000.00 35,000,000.00FHLB NOTESMERRILL LYNCHRedemptionFEDERAL HOME3133782N037538 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385CW437541 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQA537542 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385CW437556 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LQA6035516 COMM 109,375.00 109,375.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3133782N035517 COMM 153,125.00 153,125.00FHLB NOTESMERRILL LYNCHInterestFEDERAL HOME3133782N0

Totals for 03/10/2017 639,883,449.99 660,000,000.00 262,500.00 20,379,050.01

36993 COMM 134,062.50 134,062.50FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME313380WG836993 COMM 14,151.04 -14,151.04 0.00FHLB NOTESINCAPITAL LLCAccr IntFEDERAL HOME313380WG837022 COMM 82,500.00 82,500.00FHLB NOTESInterestFEDERAL HOME313380WG837022 COMM 11,458.33 -11,458.33 0.00FHLB NOTESAccr IntFEDERAL HOME313380WG837054 COMM 68,750.00 68,750.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313380WG837054 COMM 16,423.61 -16,423.61 0.00FHLB NOTESKEYBANC CAPITALAccr IntFEDERAL HOME313380WG837072 COMM 95,287.50 95,287.50FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313380WG837072 COMM 24,880.63 -24,880.63 0.00FHLB NOTESKEYBANC CAPITALAccr IntFEDERAL HOME313380WG8

Totals for 03/11/2017 66,913.61 313,686.39 380,600.00

37559 COMM 199,997,611.12 -199,997,611.12FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DA137560 COMM 249,997,015.00 -249,997,015.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DA137558 COMM 149,995,333.32 -149,995,333.32GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQF437552 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQD937553 COMM 200,000,000.00 200,000,000.00FHLB NOTESUBS FINANCERedemptionFHLB DISC NOTE313385CZ737554 COMM 250,000,000.00 250,000,000.00FHLB NOTESMIZUHORedemptionFHLB DISC NOTE313385CZ735826 COMM 94,600.00 94,600.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME313383VN835827 COMM 251,550.00 251,550.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313383VN836756 COMM 140,625.00 140,625.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME313378J7736760 COMM 56,250.00 56,250.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME313378J7736886 COMM 140,625.00 140,625.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME313378J77

Totals for 03/13/2017 599,989,959.44 600,000,000.00 683,650.00 693,690.56

37562 COMM 249,996,875.00 -249,996,875.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DB937564 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DB937559 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DA137560 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DA136228 COMM 28,125.00 28,125.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A6AE736440 COMM 110,000.00 110,000.00FFCB NOTESDaiwa Capital MarketInterestFEDERAL FARM CR3133EFSG336441 COMM 82,500.00 82,500.00FFCB NOTESWELLS FARGOInterestFEDERAL FARM CR3133EFSG336508 COMM 200,000.00 200,000.00FHLB NOTESBREAN CAPITAL LLCInterestFEDERAL HOME313375K4837234 COMM 24,733.33 24,733.33FHLB VARIABLEDEUTSCHE BANKInterestFHLBVR 0.56% MAT3130AAF52

Portfolio SCL2AP


47



TotalCashInterest

PrincipalPaydowns


Totals for 03/14/2017 449,994,375.00 450,000,000.00 445,358.33 450,983.33

37569 COMM 199,997,500.00 -199,997,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DC737571 COMM 249,996,875.00 -249,996,875.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DC737570 COMM 149,997,666.66 -149,997,666.66GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQG237568 COMM 9,998,823.00 -9,998,823.00TOYOTA AUTO RECBANK OF AMERICAPurchaseTAOT 1.73% MAT89238MAD034942 COMM 10,000,000.00 10,000,000.00EXXON MOBILMORGAN STANLEYRedemptionXOM 0.921% MAT30231GAA037558 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQF437562 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DB937564 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DB934942 COMM 46,050.00 46,050.00EXXON MOBILMORGAN STANLEYInterestXOM 0.921% MAT30231GAA036620 COMM 42,500.00 42,500.00BERKSHIREJPMorganChaseInterestBERKSHIRE084664CG436753 COMM 4,333.33 4,333.33TOYOTA AUTO RECCITIGROUP GLOBALInterestTOYO 1.3% MAT89231UAD936896 COMM 31,250.00 31,250.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A7L3734933 COMM 138.07 138.07TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.67% MAT89231MAC934933 COMM 185,760.97 185,760.97TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.67% MAT89231MAC935726 COMM 6,392.24 6,392.24JOHN DEERECITIGROUP GLOBALInterestJDOT 1.32% MAT47787UAD535726 COMM 392,809.13 392,809.13JOHN DEERECITIGROUP GLOBALRedemptionJDOT 1.32% MAT47787UAD535953 COMM 28,333.33 28,333.33CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.36% MAT161571GY435953 COMM 735,230.74 735,230.74CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.36% MAT161571GY436216 COMM 6,900.00 6,900.00JOHN DEEREROYAL BANK OFInterestJDOT 1.44% MAT47787WAC336216 COMM 193,333.79 193,333.79JOHN DEEREROYAL BANK OFRedemptionJDOT 1.44% MAT47787WAC336557 COMM 6,700.00 6,700.00NISSAN AUTOMERRILL LYNCHInterestNALT 1.34% MAT65478UAD136557 COMM 145,949.63 145,949.63NISSAN AUTOMERRILL LYNCHRedemptionNALT 1.34% MAT65478UAD136600 COMM 11,900.03 11,900.03JOHN DEEREMERRILL LYNCHInterestJDOT 1.36% MAT47788MAC436600 COMM 0.03 0.03JOHN DEEREMERRILL LYNCHRedemptionJDOT 1.36% MAT47788MAC436601 COMM 15,625.01 15,625.01TOYOTA AUTO RECMERRILL LYNCHInterestTAOT 1.25% MAT89237KAD536601 COMM 416,709.92 416,709.92TOYOTA AUTO RECMERRILL LYNCHRedemptionTAOT 1.25% MAT89237KAD536623 COMM 29,133.34 29,133.34MERCEDES-BENZBARCLAYS CAPITALInterestMBALT 1.52% MAT58768FAD836623 COMM 950,636.12 950,636.12MERCEDES-BENZBARCLAYS CAPITALRedemptionMBALT 1.52% MAT58768FAD836800 COMM 13,900.00 13,900.00HONDA AUTOMERRILL LYNCHInterestHAROT 1.39% MAT43814QAC236800 COMM 328,732.71 328,732.71HONDA AUTOMERRILL LYNCHRedemptionHAROT 1.39% MAT43814QAC236905 COMM 9,114.59 9,114.59JOHN DEEREROYAL BANK OFInterestJDOT 1.25% MAT47788NAC236905 COMM 224,343.14 224,343.14JOHN DEEREROYAL BANK OFRedemptionJDOT 1.25% MAT47788NAC236929 COMM 24,341.66 24,341.66CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.27% MAT161571HF436929 COMM 448,522.62 448,522.62CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.27% MAT161571HF436956 COMM 12,600.00 12,600.00MERCEDES -BENZCITIGROUP GLOBALInterestMBART 1.26% MAT58769BAD636956 COMM 255,674.22 255,674.22MERCEDES -BENZCITIGROUP GLOBALRedemptionMBART 1.26% MAT58769BAD637035 COMM 14,350.00 14,350.00TOYOTA AUTO RECJPMorganChaseInterestTAOT 1.23% MAT89231LAD937035 COMM 322,643.29 322,643.29TOYOTA AUTO RECJPMorganChaseRedemptionTAOT 1.23% MAT89231LAD937065 COMM 5,625.00 5,625.00MERCEDES-BENZBANK OF AMERICAInterestMBALT 1.35% MAT58768MAC5

Portfolio SCL2AP


48



TotalCashInterest

PrincipalPaydowns


37065 COMM 168,011.79 168,011.79MERCEDES-BENZBANK OF AMERICARedemptionMBALT 1.35% MAT58768MAC5

Totals for 03/15/2017 609,990,864.66 614,768,358.10 309,186.60 5,086,680.04

37584 COMM 199,996,388.88 -199,996,388.88FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DD537585 COMM 249,995,485.00 -249,995,485.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DD537509 COMM 3,000,000.00 -3,000,000.00FNMA NOTESINCAPITAL LLCPurchaseFEDERAL NATL MTG3136G4MD237586 COMM 149,996,583.33 -149,996,583.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQH037569 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DC737570 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQG237571 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DC7

Totals for 03/16/2017 602,988,457.21 600,000,000.00 -2,988,457.21

37589 COMM 249,986,875.00 -249,986,875.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DG837588 COMM 199,989,500.00 -199,989,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DG837587 COMM 149,989,875.00 -149,989,875.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQL137584 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DD537585 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DD537586 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQH0

Totals for 03/17/2017 599,966,250.00 600,000,000.00 33,750.00

37059 COMM 11,595.83 11,595.83HONDA AUTOBARCLAYS CAPITALInterestHAROT 1.21% MAT43814RAC037059 COMM 253,779.39 253,779.39HONDA AUTOBARCLAYS CAPITALRedemptionHAROT 1.21% MAT43814RAC0

Totals for 03/18/2017 253,779.39 11,595.83 265,375.22

37566 COMM 13,460,042.75 -13,460,042.75FFCB NOTESINCAPITAL LLCPurchaseFEDERAL FARM CR3133EHCX937574 COMM 25,004,000.00 -25,004,000.00FFCB NOTESKEYBANC CAPITALPurchaseFEDERAL FARM CR3133EHCX937592 COMM 199,996,500.00 -199,996,500.00FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DH637593 COMM 249,995,625.00 -249,995,625.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DH637594 COMM 149,996,625.00 -149,996,625.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQM937587 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQL137588 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DG837589 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DG835750 COMM 81,825.00 81,825.00FNMA NOTESKEYBANC CAPITALInterestFEDERAL NATL MTG3135G0PP235814 COMM 234,375.00 234,375.00FNMA NOTESBMO CAPITALInterestFEDERAL NATL MTG3135G0YM936407 COMM 55,000.00 55,000.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3130A4PA437265 COMM 24,515.25 24,515.25FFCB NOTESINCAPITAL LLCInterestFFCB 0.859% MAT3133EGX6735064 COMM 2,489.77 2,489.77VOLKSWAGENJPMorganChaseInterestVALET 0.91% MAT92867RAC335064 COMM 853,918.20 853,918.20VOLKSWAGENJPMorganChaseRedemptionVALET 0.91% MAT92867RAC336274 COMM 35,000.00 35,000.00BMW VEHICLECREDIT SUISSEInterestBMWLT 1.4% MAT05581QAD036274 COMM 1,316,092.17 1,316,092.17BMW VEHICLECREDIT SUISSERedemptionBMWLT 1.4% MAT05581QAD036587 COMM 14,233.33 14,233.33HONDA AUTOJPMorganChaseInterestHAROT 1.22% MAT43814NAC936587 COMM 434,649.54 434,649.54HONDA AUTOJPMorganChaseRedemptionHAROT 1.22% MAT43814NAC9

Portfolio SCL2AP


49



TotalCashInterest

PrincipalPaydowns


37036 COMM 8,371.74 8,371.74BMW VEHICLEMIZUHOInterestBMWLT 1.43% MAT05582XAD437036 COMM 227,440.29 227,440.29BMW VEHICLEMIZUHORedemptionBMWLT 1.43% MAT05582XAD4

Totals for 03/20/2017 638,452,792.75 602,832,100.20 455,810.09 -35,164,882.46

37597 COMM 249,995,485.00 -249,995,485.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DJ237599 COMM 199,996,388.88 -199,996,388.88FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DJ237596 COMM 149,996,625.00 -149,996,625.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQN737592 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DH637593 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DH637594 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQM935986 COMM 4,652.74 4,652.74HONDA AUTOJPMorganChaseInterestHAROT 1.04% MAT43813NAC035986 COMM 461,595.31 461,595.31HONDA AUTOJPMorganChaseRedemptionHAROT 1.04% MAT43813NAC036569 COMM 14,516.67 14,516.67BMW VEHICLEMERRILL LYNCHInterestBMWLT 1.34% MAT05581RAD836569 COMM 832,360.15 832,360.15BMW VEHICLEMERRILL LYNCHRedemptionBMWLT 1.34% MAT05581RAD8

Totals for 03/21/2017 599,988,498.88 601,293,955.46 19,169.41 1,324,625.99

37600 COMM 249,995,347.20 -249,995,347.20FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DK937601 COMM 199,996,277.76 -199,996,277.76FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DK937602 COMM 149,996,625.00 -149,996,625.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQP237596 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQN737597 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DJ237599 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DJ2

Totals for 03/22/2017 599,988,249.96 600,000,000.00 11,750.04

37604 COMM 249,995,277.50 -249,995,277.50FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DL737605 COMM 199,996,222.24 -199,996,222.24FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DL737603 COMM 74,998,312.50 -74,998,312.50GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQQ037600 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DK937601 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DK937602 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQP236966 COMM 103,125.00 103,125.00JPMORGANJPMorganChaseInterestJPMCC 1.65% MAT48125LRG9

Totals for 03/23/2017 524,989,812.24 600,000,000.00 103,125.00 75,113,312.76

37607 COMM 199,988,333.32 -199,988,333.32FHLB DISCOUNTUBS FINANCEPurchaseFEDL HOME LOAN313385DP837608 COMM 249,985,417.50 -249,985,417.50FHLB DISCOUNTMIZUHOPurchaseFEDL HOME LOAN313385DP837609 COMM 74,994,937.50 -74,994,937.50GENERAL ELECTRICGENERAL ELECTRICPurchaseGECAP DISC NOTE36164JQT437603 COMM 75,000,000.00 75,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQQ037604 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DL737605 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DL7

Totals for 03/24/2017 524,968,688.32 525,000,000.00 31,311.68

37344 COMM 85,000.00 85,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G3K9037344 COMM 53,833.33 -53,833.33 0.00FHLMC NOTESINCAPITAL LLCAccr IntFEDERAL HOME LN3134G3K90

Portfolio SCL2AP


50



TotalCashInterest

PrincipalPaydowns


Totals for 03/25/2017 53,833.33 31,166.67 85,000.00

37611 COMM 249,995,277.50 -249,995,277.50FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DQ637612 COMM 199,996,222.24 -199,996,222.24FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DQ637610 COMM 23,572,257.80 -23,572,257.80FARMER MACMIZUHOPurchaseFRMDN ZERO CPN31315LTC237613 COMM 149,996,625.00 -149,996,625.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LQU237607 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFEDL HOME LOAN313385DP837608 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFEDL HOME LOAN313385DP837609 COMM 75,000,000.00 75,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGECAP DISC NOTE36164JQT435678 COMM 50,000.00 50,000.00FFCB NOTESBNP PARIBASInterestFEDERAL FARM CR3133EEQX135683 COMM 75,000.00 75,000.00FFCB NOTESKEYBANC CAPITALInterestFEDERAL FARM CR3133EEQX135755 COMM 100,000.00 100,000.00FHLMC NOTESMERRILL LYNCHInterestFEDERAL HOME LN3134G3M3135757 COMM 100,000.00 100,000.00FFCB NOTESBNP PARIBASInterestFEDERAL FARM CR3133EEQX135872 COMM 50,000.00 50,000.00FFCB NOTESDaiwa Capital MarketInterestFEDERAL FARM CR3133EEQX137103 COMM 177,000.00 177,000.00FNMA NOTESINCAPITAL LLCInterestFEDERAL NATL MTG3135G0Q3037103 COMM 23,600.00 -23,600.00 0.00FNMA NOTESINCAPITAL LLCAccr IntFEDERAL NATL MTG3135G0Q3037305 COMM 96,875.00 96,875.00FFCB NOTESKEYBANC CAPITALInterestFEDERAL FARM CR3133EG2D637305 COMM 3,229.17 -3,229.17 0.00FFCB NOTESKEYBANC CAPITALAccr IntFEDERAL FARM CR3133EG2D636893 COMM 9,666.67 9,666.67BMW VEHICLEJPMorganChaseInterestBMWOT 1.16% MAT05582QAD936893 COMM 230,670.19 230,670.19BMW VEHICLEJPMorganChaseRedemptionBMWOT 1.16% MAT05582QAD9

Totals for 03/27/2017 623,560,382.54 525,257,499.36 631,712.50 -97,671,170.68

37616 COMM 50,000,000.00 -50,000,000.00BNP PARIBAS NYJPMorganChasePurchaseBNP P 1.45% MAT05582WRH937618 COMM 249,994,930.00 -249,994,930.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DR437619 COMM 199,995,944.44 -199,995,944.44FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DR437614 COMM 25,019,272.50 -25,019,272.50FHLB NOTESJEFFERIES & CO,PurchaseFHLB 1.4918% MAT3130AAXX137617 COMM 99,997,750.00 -99,997,750.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LQV037615 COMM 16,499,018.25 -16,499,018.25HONDA AUTOBANK OF AMERICAPurchaseHAROT 1.72% MAT43814TAC637611 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DQ637612 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DQ637613 COMM 150,000,000.00 150,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LQU235892 COMM 20,500.00 20,500.00FFCB NOTESPIPER JAFFRAY &InterestFEDERAL FARM CR3133ECBX1

Totals for 03/28/2017 641,506,915.19 600,000,000.00 20,500.00 -41,486,415.19

37622 COMM 199,996,111.12 -199,996,111.12FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DS237623 COMM 249,995,140.00 -249,995,140.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DS237518 COMM 25,000,000.00 -25,000,000.00FHLMC NOTESINCAPITAL LLCPurchaseFEDERAL HOME LN3134GBBM337620 COMM 10,976,019.17 -10,976,019.17FNMA NOTESKEYBANC CAPITALPurchaseFEDERAL NATL MTG3136FTZZ537624 COMM 99,997,750.00 -99,997,750.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LQW837629 COMM 50,000,000.00 -50,000,000.00SOCIETEJPMorganChasePurchaseSOCNAM 1.16% MAT83369YPE037617 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LQV037618 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DR4

Portfolio SCL2AP


51



TotalCashInterest

PrincipalPaydowns


37619 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DR436641 COMM 125,000.00 125,000.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME3130A7HM036644 COMM 42,700.00 42,700.00FHLMC NOTESINCAPITAL LLCInterestFHLMC 1.22% MAT3134G8TV137018 COMM 64,000.00 64,000.00FFCB NOTESINCAPITAL LLCInterestFEDERAL FARM CR3133EGWH437018 COMM 355.56 -355.56 0.00FFCB NOTESINCAPITAL LLCAccr IntFEDERAL FARM CR3133EGWH4

Totals for 03/29/2017 635,965,020.29 550,000,355.56 231,344.44 -85,733,320.29

37628 COMM 25,025,868.06 -25,025,868.06FFCB NOTESKEYBANC CAPITALPurchaseFEDERAL FARM CR3133EG3X137634 COMM 249,995,485.00 -249,995,485.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DT037636 COMM 199,996,388.88 -199,996,388.88FHLB DISCOUNTUBS FINANCEPurchaseFHDN DISC NOTE313385DT037633 COMM 99,997,750.00 -99,997,750.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LQX637632 COMM 29,799,800.00 -29,799,800.00JP Morgan SecuritiesJPMorganChasePurchaseJPMSCC DISC NOTE46640PWU337622 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DS237623 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DS237624 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LQW836648 COMM 150,000.00 150,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G8S8336649 COMM 135,000.00 135,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G8PD536650 COMM 25,076.25 25,076.25FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G8PD536651 COMM 43,031.25 43,031.25FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G8PD536653 COMM 137,600.00 137,600.00INTL BANK RECON &MERRILL LYNCHInterestIBRD 1.375% MAT459058FA636654 COMM 84,375.00 84,375.00FHLMC NOTESSUNTRUSTInterestFEDERAL HOME LN3134G8PD537017 COMM 145,000.00 145,000.00FNMA NOTESBREAN CAPITAL LLCInterestFEDERAL NATL MTG3136G4BV4

Totals for 03/30/2017 604,815,291.94 550,000,000.00 720,082.50 -54,095,209.44

37630 COMM 74,997,187.50 -74,997,187.50FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DW337631 COMM 49,998,750.00 -49,998,750.00FHLB DISCOUNTMIZUHOPurchaseFHDN DISC NOTE313385DW337626 COMM 19,979,225.00 -19,979,225.00FHLB NOTESINCAPITAL LLCPurchaseFEDERAL HOME3130A6AE737635 COMM 199,988,333.32 -199,988,333.32FANNIE MAEUBS FINANCEPurchaseFNDN DISC NOTE313589DW037590 COMM 50,000,000.00 -50,000,000.00JPM TE MMK FDJPMorganChasePurchaseJPM TE 0.44%SYS3759037633 COMM 100,000,000.00 100,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LQX637634 COMM 250,000,000.00 250,000,000.00FHLB DISCOUNTMIZUHORedemptionFHDN DISC NOTE313385DT037636 COMM 200,000,000.00 200,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385DT036880 COMM 46,875.00 46,875.00FNMA NOTESINCAPITAL LLCInterestFEDERAL NATL MTG3136G3SY2

Totals for 03/31/2017 394,963,495.82 550,000,000.00 46,875.00 155,083,379.18

Grand Total 35,712,127,357. 36,328,876,058. 17,029,090.87 633,777,792.49

Portfolio SCL2AP


52

quarterly investment report - santa clara county, california · 3/31/2017 · santa clara county...

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