City of Los Angeles Office of the Treasurer

Transcription

1 City of Los Angeles Office of the Treasurer INVESTMENT REPORT January 31, 2011 Steve Ongele Interim City Treasurer Crista Binder, CTP Assistant Treasurer 200 N. Spring Street Room 201, City Hall Los Angeles, CA (213)

2 CITY OF LOS ANGELES CALIFORNIA STEVE ONGELE Interim City Treasurer CRISTA BINDER Assistant Treasurer OFFICE OF THE TREASURER 200 N. SPRING ST. ROOM 201 CITY HALL LOS ANGELES, CA (213) ANTONIO R. VILLARAIGOSA MAYOR Honorable Members of City Council of the City of Los Angeles Honorable Members: This is the Investment Report for the month ending January 31, It is provided to ensure that the City Council is informed of the Department s activities. It satisfies the recommended reporting requirements of the City of Los Angeles Administrative Code, Chapter 5.1, Article 1, Section 20.90, which addresses the City Council s request for monthly financial information. INVESTMENT ENVIRONMENT 1 The U.S. economy grew at 2.8% in the fourth quarter of 2010, less than the expected 3.2%. The anticipated growth rate for the year increases from 2.9% to 3%. However, the forecast for annualized GDP was revised downwards to 3.0% in 2011 and 3.1% in The U.S. continues to experience a modest economic recovery as consumers remain cautious in spending 1. The expectation for first quarter 2011 consumer spending has been adjusted downward to an annual rate of 2.8%. The unemployment rate was 8.9% for the month of February 2011 and is expected to gradually improve from that level for the rest of 2011 and average 8.3% in Source: Bloomberg Finance L.P.

3 Page 3 The Federal Reserve held the Fed Funds rate within the range of 0.0% to 0.25% at its March 15, 2011 meeting. Most economists believe that the Federal Reserve will continue to maintain low interest rate targets through the end of the third quarter in CAPITAL MARKETS OUTLOOK As of March 17, 2011, Federal Funds futures, which are priced by market participants, indicate that the Fed will likely keep rates at a range of 0.0% to 0.25% until at least November Forward yield curves, which are based on the current (spot) U.S. Treasury Bond market rates, indicate rising short-term and long-term interest rates. The curves depict forecast rates for June 2011, September 2011, and March COMPLIANCE Investment transactions were executed in accordance with the California State Government Code and the City s Investment Policy. REVIEW AND MONITORING Chandler Asset Management, the City s investment advisor, as well as Standard & Poor s, one of the world s largest independent rating agencies, currently monitor the Department s investment activities. PORTFOLIO CHARACTERISTICS The Office of the Treasurer invests in a variety of fixed income securities that vary in maturity from one day to five years. The following table summarizes the key characteristics of the City s investment portfolios as of January 31, 2011.

4 Page 4 Portfolio Funds Amount of Funds at Market Value Effective Yield Average Weighted urity Average Credit Rating Core Portfolio $1,819,460, % 54 Days AAA Reserve Portfolio $4,626,424, % 2.8 Years AAA Total Investment Pool $6,445,885, % 2.0 Years AAA NOTE: Effective yield is a snapshot of how much an investment would yield assuming that when interest is received it is immediately reinvested. It does not include capital gains or losses in its computation. The effective yield of Core Portfolio excludes that of cash (bank balances) and CDARS. INVESTMENT PERFORMANCE 2 Core Portfolio Reserve Portfolio Combined Portfolio Market Value $1,819,460,110 $4,626,424,998 $6,445,885,108 Total Rate of Return 0.02% 0.32% n/a Benchmark Total Rate of Return 0.01% 0.35% n/a Variance 0.01% -0.03% n/a The City measures investment performance on a total return basis to an established industry recognized benchmark. The above table summarizes the January 31, 2011, portfolio total rate of return for the City s General Pool. Additional investment information may be found on page 6 through 38 of this report. REMAINDER OF THIS PAGE INTENTIONALLY LEFT BLANK 2 Performance is measured as mandated by the Global Investment Performance Standards, which is published by the CFA Institute and is widely accepted as the source of industry standard performance metrics. Section 2.A.1 states that total return, including realized and unrealized gains and losses must be used.

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6 Page 6 GENERAL PORTFOLIO ASSET HOLDINGS January 31, 2011 Percent of Average Weighted Description Par Value Market Value Total Days Years Bank Deposits* $70,655,635 $70,655, % Money Market Funds $0 $0 0.00% L.A.I.F. (State of California) $0 $0 0.00% Subtotal: Cash and Overnight Inves $70,655,635 $70,655, % BNY Sweep Account $0 $0 0.00% CDARS $8,000,000 $8,000, % Commercial Paper $425,065,000 $424,916, % Negotiable Certificates of Deposit $0 $0 0.00% Corporate Notes $58,265,000 $60,846, % U.S. Federal Agencies $855,261,000 $855,102, % U.S. Treasuries $400,000,000 $399,938, % Subtotal: Pooled Investments: $1,746,591,000 $1,748,804, % Total Short-Term Core Portfolio: $1,817,246,635 $1,819,460, % BNY Sweep Account $0 $0 0.00% Mortgage-Backed Securities** $13,030,433 $13,079, % Commercial Paper $0 $0 0.00% Negotiable Certificates of Deposit $0 $0 0.00% Corporate Notes $763,336,000 $795,924, % U.S. Federal Agencies $1,089,100,000 $1,123,736, % U.S. Treasuries $2,615,000,000 $2,693,684, % Total Long-Term Reserve Portfolio: $4,480,466,433 $4,626,424, % Total Cash and Pooled Investments: $6,297,713,068 $6,445,885, % * Collected Balance For Bank of America, Wells Fargo, and Wachovia Active Accounts ** Includes CMO's (Collateralized Mortgage Obligations)

7 Page 7 Description LIQUIDITY SCHEDULE January 31, 2011 Percent of Availability Market Value Cumulative Total Funds Bank Deposits* Immediate $70,655,635 $70,655, % Money Market Funds Immediate $0 $70,655, % L.A.I.F. (State of California) Immediate $0 $70,655, % Pooled Investments uring: < 30 days $595,451,428 $666,107, % 31 to 90 days $1,063,337,527 $1,729,444, % 91 to 180 days $30,577,945 $1,760,022, % 181 to 365 days $63,335,807 $1,823,358, % 1 to 2 years $1,310,138,968 $3,133,497, % 2 to 3 years $1,608,935,922 $4,742,433, % 3 to 4 years $1,070,312,052 $5,812,745, % 4 to 5 years $633,139,823 $6,445,885, % Total Cash and Pooled Investments $6,445,885,108 *Collected Balance For Bank of America, Wells Fargo, And Wachovia Active Accounts

8 Page 8 Sector Allocation Chart - Highlights the portfolio differences versus the benchmark with respect to the percentage of assets in each sector. FIN Financial Services IND Industrial UTIL Utilities AGY- Government Agencies FOR GOV Foreign Government and Sovereign Issues MORT Mortgage-Backed Securities TSY Treasury Notes and Bonds MER 1-5 GC Merrill Lynch 1-5 year Government and Corporate Index

9 Page 9 Credit Ratings Chart Highlights the portfolio differences versus the benchmark with respect to percentage of assets in each of the s Credit Ratings allocations. Contribution to Duration Chart Highlights the portfolio differences versus the benchmark based on the contribution to the overall portfolio duration. This measure explains the sensitivity of each sector to changes in interest rates.

10 Page 10 Investment Performance * January 31, Month 3 Month YTD 1 year 3 Years 5 Years 4/30/01 Core Portfolio 0.02% 0.02% 0.02% 0.15% 1.26% 2.85% 2.59% 91 Day Treasury Bill: 0.01% 0.03% 0.01% 0.13% 0.63% 2.36% 2.24% January 31, Month 3 Month YTD 1 year 3 Years 5 Years 11/30/01 Reserve Portfolio 0.32% -0.67% 0.32% 3.29% 4.10% 5.29% 4.44% Merrill Lynch 1 to 5 year Corporate Government, A Rated 0.35% -0.67% 0.35% 3.16% 3.69% 4.92% 4.17% *1, 3, 5 year, and since inception are annualized rates of return

11 Page 11 Portfolio: Core Qual CUSIP Par Value MV w /o Cash WACHOVIA /28/ ,614, ,614, Cash WELLS FARGO /28/2011 3,011, ,011, Cash BANK OF AMERICA /28/ , , AGY FHLB DISC NT /09/2011 AGY AGY BR9 40,000,000 39,999, AGY FHLB DISC NT /09/2011 AGY AGY BR9 50,000,000 49,998, TSY UNITED STATES TREAS BILL /10/2011 TSY TSY V40 50,000,000 49,998, MM MORGAN J.P. CHASE & /22/2011 N/A P J1PN4 25,000,000 24,994, MM MORGAN J.P. CHASE & /22/2011 N/A P J1PN4 50,000,000 49,989, AGY FHLB DISC NT /23/2011 AGY AGY CF4 50,000,000 49,996, AGY FHLMC DISC NT /24/2011 AGY AGY CG6 20,033,000 20,031, AGY FHLMC DISC NT /24/2011 AGY AGY CG6 40,019,000 40,016, AGY FHLMC DISC NT /24/2011 AGY AGY CG6 20,008,000 20,006, AGY FHLMC DISC NT /24/2011 AGY AGY CG6 50,000,000 49,996, AGY FHLMC DISC NT /24/2011 AGY AGY CG6 11,432,000 11,431, AGY FHLMC DISC NT /24/2011 AGY AGY CG6 50,000,000 49,996, MM GENERAL ELECTRIC CO /24/2011 P-1 A MPQ0 34,006,000 34,000, MM NESTLE CAP CORP /24/2011 P-1 A HPQ9 10,005,000 10,003, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 30,000,000 29,997, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 50,000,000 49,995, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 15,000,000 14,998, AGY FHLB DISC NT /01/2011 AGY AGY CM9 25,678,000 25,675, TSY UNITED STATES TREAS BILL /03/2011 TSY TSY D2 50,000,000 49,993, AGY FHLMC DISC NT /09/2011 AGY AGY CV3 5,034,000 5,033,

12 Page 12 Portfolio: Core Qual CUSIP Par Value MV w /o AGY FHLMC DISC NT /09/2011 AGY AGY CV3 50,000,000 49,993, MM NESTLE CAP CORP /09/2011 P-1 A HQ96 20,014,000 20,008, CDR CALIFORNIA UNITED BANK /17/2011 1,000,000 1,000, CDR PACIFIC COMMERCE BANK /17/2011 2,000,000 2,000, CDR PROMERICA BANK /17/2011 5,000,000 5,000, MM GENERAL ELEC CAPT SE /22/2011 P-1 A SQN6 20,027,000 20,019, MM GENERAL ELEC CAPT SE /22/2011 P-1 A SQN6 50,000,000 49,981, MM TOYOTA MOTOR CREDIT /22/2011 P-1 A HQN7 14,031,000 14,025, MM TOYOTA MOTOR CREDIT /22/2011 P-1 A HQN7 50,000,000 49,981, AGY FHLB DISC NT /23/2011 AGY AGY DK2 34,011,000 34,005, AGY FNMA DISC NT /23/2011 AGY AGY DK8 31,000,000 30,994, MM GENERAL ELEC CAPT CO /24/2011 P-1 A JQQ9 16,932,000 16,925, MM MORGAN J.P. CHASE & /24/2011 N/A P J1QQ6 30,022,000 30,005, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY H3 25,000,000 24,994, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY H3 50,000,000 49,988, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY H3 50,000,000 49,988, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY H3 10,000,000 9,997, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY H3 20,000,000 19,995, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY H3 50,000,000 49,988, AGY FNMA DISC NT /05/2011 AGY AGY DY8 20,020,000 20,014, AGY FNMA DISC NT /05/2011 AGY AGY DY8 50,000,000 49,987, AGY FNMA DISC NT /06/2011 AGY AGY DZ5 30,377,000 30,369, MM PROCTOR GAMBLE /06/2011 N/A P UR69 50,000,000 49,976,

13 Page 13 Portfolio: Core Qual CUSIP Par Value MV w /o MM PROCTOR GAMBLE /06/2011 N/A P UR69 20,028,000 20,018, MM GENERAL ELEC CAPT CO /07/2011 P-1 A JR70 35,000,000 34,983, AGY FHLMC DISC NT /25/2011 AGY AGY EU3 50,000,000 49,984, AGY FHLMC DISC NT /25/2011 AGY AGY EU3 48,203,000 48,187, AGY FHLMC DISC NT /25/2011 AGY AGY EU3 50,000,000 49,984, AGY FHLMC DISC NT /25/2011 AGY AGY EU3 35,000,000 34,988, AGY FHLMC DISC NT /25/2011 AGY AGY EU3 3,079,000 3,078, AGY FNMA DISC NT /25/2011 AGY AGY EU5 40,346,000 40,333, AGY FNMA DISC NT /25/2011 AGY AGY EU5 21,007,000 21,000, AGY FNMA DISC NT /31/2011 AGY AGY GG4 30,014,000 29,998, IND BELLSOUTH CORP /15/2011 A2 A- P-1 A AB8 10,000,000 10,386, , IND DEERE JOHN CAP CORP MTNS BE /17/2011 A2 A P-1 A EQD4 20,000,000 20,702, , IND AT&T CORP /15/2011 A2 A- P-2 N.P BC2 16,140,000 16,979, , FIN PROGRESSIVE CORP OHIO /15/2012 A1 A AK9 12,125,000 12,777, , AGY AGY P-1 A-1+ 1,817,246,635 1,819,460, ,

14 Page 14 Portfolio: Reserve Qual CUSIP Par Value MV w /o PASS FHLMC GOLD POOL - M /01/2011 AGY AGY 31282SAC6 826, , , PASS FNMA POOL /01/2011 AGY AGY 31371LSM2 569, , , PASS FNMA POOL /01/2011 AGY AGY 31403CWC1 320, , , CMO FHLMC_3388- AN /15/2011 AGY AGY 31397PK25 2,161,168 2,169, , AGY FEDERAL FARM CR BKS CONS /13/2012 AGY AGY 31331YTQ3 19,875,000 20,476, , AGY FEDERAL FARM CR BKS CONS /13/2012 AGY AGY 31331YTQ3 25,000,000 25,756, , IND KIMBERLY CLARK CORP /15/2012 A2 A P-1 A AR4 5,000,000 5,242, , FIN GENERAL ELEC CAP CORP MTN BE /03/2012 AA2 AA+ P-1 A GG57 11,000,000 11,384, , IND DEERE JOHN CAPITAL CORP /15/2012 A2 A P-1 A BG9 9,350,000 9,992, , IND LILLY ELI & CO /15/2012 A2 AA- P-1 N.P AU2 10,000,000 10,607, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KG4 50,000,000 50,589, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY MU1 10,000,000 10,076, , IND WAL MART STORES INC /05/2012 AA2 AA P-1 A CF8 10,000,000 10,470, , AGY FEDERAL HOME LOAN BANKS /13/2012 AGY AGY 3133XTAW6 40,000,000 40,877, , AGY FEDERAL FARM CR BANKS /24/2012 AGY AGY 31331GNQ8 20,000,000 20,438, , FIN BERKSHIRE HATHAWAY INC DEL /15/2012 AA2 AA+ N.P. A AS7 22,750,000 23,889, , IND PEPSICO INC /15/2012 AA3 A- P-1 A BF4 10,000,000 10,542, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KP4 25,000,000 25,324, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KP4 50,000,000 50,648, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KP4 35,000,000 35,453, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KP4 25,000,000 25,324, , IND UNITED TECHNOLOGIES CORP /15/2012 A2 A P-1 A BF5 8,105,000 8,676, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY GU8 10,000,000 10,581, ,

15 Page 15 Portfolio: Reserve Qual CUSIP Par Value MV w /o FIN GENERAL ELEC CAP CORP MTN BE /15/2012 AA2 AA+ P-1 A GR30 20,000,000 20,751, , FIN MBNA AMER BK NA SUB MTN /15/2012 A1 A P E2AB5 5,310,000 5,662, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KX7 50,000,000 51,017, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KX7 40,000,000 40,814, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KX7 50,000,000 51,017, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KX7 25,000,000 25,508, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KX7 10,000,000 10,203, , AGY FEDERAL FARM CR BANKS /18/2012 AGY AGY 31331GYP8 20,000,000 20,444, , TSY UNITED STATES TREAS NTS /30/2012 TSY TSY GW4 50,000,000 53,161, , TSY UNITED STATES TREAS NTS /30/2012 TSY TSY GW4 25,000,000 26,580, , TSY UNITED STATES TREAS NTS /30/2012 TSY TSY NS5 30,000,000 30,098, , IND HEWLETT PACKARD CO /01/2012 A2 A AG8 14,500,000 15,677, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LB4 45,000,000 45,724, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LB4 10,000,000 10,160, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LB4 45,000,000 45,724, , IND HONEYWELL INTL INC /01/2012 A2 A AV8 5,000,000 5,354, , CMO FHLMC_3478- AB /15/2012 AGY AGY 31397Y3H2 9,153,455 9,181, , AGY FEDERAL HOME LN MTG CORP /28/2012 AGY AGY 3134G1GQ1 20,000,000 20,146, , FIN GOLDMAN SACHS GROUP INC /01/2012 A1 A P-1 A GCG7 20,000,000 21,357, , IND LOWES COS INC /15/2012 A1 A P-1 A CM7 10,000,000 10,752, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LM0 10,000,000 10,146, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LM0 10,000,000 10,146, , FIN PNC FUNDING CORP /28/2012 A3 A P-1 A BD4 9,449,000 10,109, , FIN BB&T CORP /01/2012 A3 A- P-1 A AD9 7,925,000 8,355, ,

16 Page 16 Portfolio: Reserve Qual CUSIP Par Value MV w /o IND PITNEY BOWES INC /01/2012 A2 BBB+ P-1 A AF7 6,000,000 6,287, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LR9 40,000,000 40,606, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LR9 30,000,000 30,454, , FIN CITIGROUP INC /17/2012 A3 A P-1 A EL1 17,155,000 18,136, , IND IBM INTL GROUP CAP LLC /22/2012 AA3 A EAB6 14,370,000 15,412, , IND NUCOR CORP /01/2012 A2 A P-1 A AF2 5,600,000 5,990, , IND NUCOR CORP /01/2012 A2 A P-1 A AF2 6,025,000 6,445, , IND CATERPILLAR FINL SVCS MTNS B /07/2012 A2 A P-1 A L3N9 11,000,000 11,785, , UTIL ALABAMA PWR CO /15/2012 A2 A P-1 A EY0 10,000,000 10,706, , IND PACCAR FINL CORP SR MTNS BK /17/2012 A1 A+ P-1 A RJ72 4,000,000 4,080, , AGY FEDERAL HOME LN MTG CORP /21/2012 AGY AGY 3137EABE8 15,000,000 15,977, , AGY FEDERAL HOME LN MTG CORP /28/2012 AGY AGY 3137EACQ0 20,000,000 20,000, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY HM5 40,000,000 42,373, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY HM5 50,000,000 52,966, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY HM5 25,000,000 26,483, , FIN BANK ONE CORP /30/2013 A1 A 06423AAS2 12,000,000 12,791, AGY FEDERAL NATL MTG ASSN /08/2013 AGY AGY 31398AF23 25,000,000 25,184, , TSY UNITED STATES TREAS NTS /15/2013 TSY TSY MN7 30,000,000 30,470, , AGY FEDERAL NATL MTG ASSN /26/2013 AGY AGY 3135G0AK9 20,000,000 20,027, , TSY UNITED STATES TREAS NTS /15/2013 TSY TSY MT4 20,000,000 20,317, , TSY UNITED STATES TREAS NTS /15/2013 TSY TSY MT4 50,000,000 50,792, , FIN BANK NEW YORK MTN BK /01/2013 AA2 AA HBJ7 29,462,000 31,573, , IND HERSHEY CO /01/2013 A2 A P-1 A AQ1 10,000,000 10,808, , AGY FEDERAL HOME LN MTG CORP /08/2013 AGY AGY 3128X8TZ5 25,000,000 25,100, ,

17 Page 17 Portfolio: Reserve Qual CUSIP Par Value MV w /o AGY FEDERAL HOME LN MTG CORP /08/2013 AGY AGY 3128X8TZ5 50,000,000 50,201, , AGY FEDERAL NATL MTG ASSN /09/2013 AGY AGY 31398AMW9 20,000,000 21,113, , AGY FEDERAL HOME LN MTG CORP /15/2013 AGY AGY 3137EACJ6 20,000,000 20,377, , TSY UNITED STATES TREAS NTS /15/2013 TSY TSY MX5 10,000,000 10,239, , TSY UNITED STATES TREAS NTS /15/2013 TSY TSY MX5 50,000,000 51,195, , FIN BANK AMER FDG CORP /01/2013 A2 A 06051GDW6 10,000,000 10,547, , FIN BANK AMER FDG CORP /01/2013 A2 A 06051GDW6 5,000,000 5,273, , FIN BANK AMER FDG CORP /01/2013 A2 A 06051GDW6 10,000,000 10,547, , FIN JP MORGAN CHASE & CO /01/2013 AA3 A HHB9 10,000,000 10,693, , FIN JACKSON NATL LIFE GLOBA 144A /08/2013 A1 AA 46849LSB8 11,500,000 12,461, , TSY UNITED STATES TREAS NTS /15/2013 TSY TSY NC0 10,000,000 10,156, , AGY FEDERAL HOME LN MTG CORP /29/2013 AGY AGY 3137EABJ7 30,000,000 31,860, , TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JB7 25,000,000 26,640, , AGY FEDERAL HOME LOAN BANKS /14/2013 AGY AGY 3133XRFL9 10,000,000 10,797, , IND PRAXAIR INC /14/2013 A2 A P-2 A PAX2 20,000,000 20,455, , IND DEERE JOHN CAP CORP MTNS BE /17/2013 A2 A P-1 A EQX0 10,000,000 10,169, , AGY FEDERAL HOME LOAN BANKS /17/2013 AGY AGY 3133XRHK9 25,000,000 25,360, , AGY FEDERAL HOME LOAN BANKS /17/2013 AGY AGY 3133XRHK9 25,000,000 25,360, , AGY FEDERAL HOME LN MTG CORP /28/2013 AGY AGY 3137EABM0 30,000,000 32,114, , TSY UNITED STATES TREAS NTS /30/2013 TSY TSY JD3 25,000,000 26,603, , TSY UNITED STATES TREAS NTS /30/2013 TSY TSY JD3 40,000,000 42,565, , TSY UNITED STATES TREAS NTS /30/2013 TSY TSY JD3 50,000,000 53,206, , IND DU PONT E I DE NEMOURS & CO /15/2013 A2 A P-1 A BU2 8,900,000 9,707, , AGY FEDERAL NATL MTG ASSN /16/2013 AGY AGY 31398AV90 20,000,000 20,099, ,

18 Page 18 Portfolio: Reserve Qual CUSIP Par Value MV w /o FIN CME GROUP INC /01/2013 AA3 AA 12572QAA3 5,000,000 5,501, , FIN CME GROUP INC /01/2013 AA3 AA 12572QAA3 5,000,000 5,501, , AGY TENNESSEE VALLEY AUTH /01/2013 AGY AGY DW9 10,000,000 10,930, , AGY TENNESSEE VALLEY AUTH /01/2013 AGY AGY DW9 25,000,000 27,326, , IND WALGREEN CO /01/2013 A2 A AD1 6,935,000 7,570, , IND WALGREEN CO /01/2013 A2 A AD1 5,000,000 5,458, , IND TOYOTA MTR CRD CORP MTN BE /12/2013 AA2 AA P-1 A P4H6 15,000,000 15,088, , IND 3M CO MEDIUM TERM NTS BK ENT /15/2013 AA2 AA EAE5 10,300,000 11,202, , AGY FEDERAL NATL MTG ASSN /20/2013 AGY AGY 31398AX31 25,000,000 25,176, , TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JK7 50,000,000 53,031, , TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JK7 40,000,000 42,425, , TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JK7 45,000,000 47,728, , IND DELL INC /10/2013 A2 A RAK7 5,000,000 5,018, , IND HEWLETT PACKARD CO /13/2013 A2 A BB8 10,000,000 9,989, , FIN U S BANCORP MTNS BK ENT /13/2013 AA3 A+ P-1 A HGY0 12,000,000 12,018, , IND AMER HONDA FIN CORP MTN 144A /20/2013 A1 A+ A QG80 2,000,000 2,008, , AGY FEDERAL HOME LOAN BANKS /26/2013 AGY AGY 3133XS5Z7 9,000,000 9,226, , IND MICROSOFT CORP /27/2013 AAA AAA AF1 12,000,000 11,959, , TSY UNITED STATES TREAS NTS /30/2013 TSY TSY JM3 25,000,000 26,529, , IND WAL MART STORES INC /25/2013 AA2 AA P-1 A CW1 15,000,000 14,893, , TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JQ4 45,000,000 47,302, , TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JQ4 15,000,000 15,767, , TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JQ4 13,000,000 13,665, , UTIL GEORGIA PWR CO /01/2013 A3 A P-1 A JM4 9,150,000 10,287, ,

19 Page 19 Portfolio: Reserve Qual CUSIP Par Value MV w /o IND COCA COLA CO /15/2013 AA3 A+ P-1 A AN0 15,000,000 14,820, , TSY UNITED STATES TREAS NTS /30/2013 TSY TSY JT8 25,000,000 25,763, , TSY UNITED STATES TREAS NTS /30/2013 TSY TSY JT8 25,000,000 25,763, , AGY FEDERAL NATL MTG ASSN /11/2013 AGY AGY 31398AUJ9 20,000,000 20,989, , AGY FEDERAL NATL MTG ASSN /11/2013 AGY AGY 31398AUJ9 20,000,000 20,989, , AGY FEDERAL HOME LOAN BANKS /13/2013 AGY AGY 3133XSP93 25,000,000 26,378, , AGY FEDERAL HOME LOAN BANKS /13/2013 AGY AGY 3133XSP93 30,000,000 31,654, , IND OCCIDENTAL PETE CORP DEL /13/2013 A2 A P-2 A CA1 10,000,000 10,064, , IND DISNEY WALT CO /15/2013 A2 A P-2 A AW6 10,000,000 10,922, , AGY FEDERAL HOME LN MTG CORP /17/2013 AGY AGY 3128X8PV8 25,000,000 25,441, , AGY FEDERAL HOME LN MTG CORP /17/2013 AGY AGY 3128X8PV8 50,000,000 50,883, , AGY FEDERAL HOME LOAN BANKS /30/2013 AGY AGY 3133XXLN5 25,000,000 25,067, , AGY FEDERAL NATL MTG ASSN /27/2014 AGY AGY 3135G0AF0 25,000,000 24,982, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY JZ4 50,000,000 51,152, TSY UNITED STATES TREAS NTS /31/2014 TSY TSY JZ4 50,000,000 51,152, TSY UNITED STATES TREAS NTS /31/2014 TSY TSY JZ4 15,000,000 15,345, TSY UNITED STATES TREAS NTS /31/2014 TSY TSY JZ4 5,000,000 5,115, AGY FEDERAL NATL MTG ASSN /18/2014 AGY AGY 31398AVC3 12,100,000 12,112, , AGY FEDERAL HOME LN MTG CORP /25/2014 AGY AGY 3137EACR8 30,000,000 30,170, , IND CHEVRON CORP /03/2014 AA1 AA AH0 10,000,000 10,756, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY KJ8 50,000,000 51,105, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY KJ8 40,000,000 40,884, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY KJ8 10,000,000 10,221, , IND DELL INC /15/2014 A2 A RAG6 6,000,000 6,651, ,

20 Page 20 Portfolio: Reserve Qual CUSIP Par Value MV w /o AGY FEDERAL HOME LN MTG CORP /23/2014 AGY AGY 3137EACB3 50,000,000 51,814, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY KN9 25,000,000 25,630, , AGY FEDERAL NATL MTG ASSN /15/2014 AGY AGY 31398AXJ6 30,000,000 31,107, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY KV1 10,000,000 10,369, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY KV1 25,000,000 25,923, , FIN SCHWAB CHARLES CORP /01/2014 A2 A AC9 5,000,000 5,442, , FIN SCHWAB CHARLES CORP /01/2014 A2 A AC9 5,000,000 5,442, , FIN SCHWAB CHARLES CORP /01/2014 A2 A AC9 5,000,000 5,442, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY KY5 30,000,000 31,471, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY KY5 10,000,000 10,490, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY LC2 25,000,000 26,218, TSY UNITED STATES TREAS NTS /31/2014 TSY TSY LK4 35,000,000 36,378, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY LK4 40,000,000 41,575, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY LK4 10,000,000 10,393, , AGY FEDERAL NATL MTG ASSN /16/2014 AGY AGY 31398AYY2 40,000,000 42,141, , AGY FEDERAL FARM CR BANKS /22/2014 AGY AGY 31331GL80 40,000,000 41,984, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY LQ1 25,000,000 25,976, , AGY FEDERAL NATL MTG ASSN /15/2014 AGY AGY 31359MWJ8 40,000,000 44,457, , FIN US BK NATL ASSN MINNEAPOLISM /30/2014 AA3 A+ P-1 A HKP7 10,000,000 10,945, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY LS7 10,000,000 10,383, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY LZ1 40,000,000 41,127, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY LZ1 30,000,000 30,845, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY LZ1 30,000,000 30,845, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY LZ1 25,000,000 25,704, ,

21 Page 21 Portfolio: Reserve Qual CUSIP Par Value MV w /o FIN BLACKROCK INC /10/2014 A1 A XAD3 14,550,000 15,235, , FIN BLACKROCK INC /10/2014 A1 A XAD3 10,000,000 10,471, , AGY FEDERAL HOME LOAN BANKS /12/2014 AGY AGY 3133XVNU1 21,770,000 22,627, , AGY FEDERAL HOME LOAN BANKS /12/2014 AGY AGY 3133XVNU1 9,355,000 9,723, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY ME7 25,000,000 26,158, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY ME7 35,000,000 36,621, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY MH0 5,000,000 5,154, TSY UNITED STATES TREAS NTS /31/2015 TSY TSY MH0 20,000,000 20,618, TSY UNITED STATES TREAS NTS /31/2015 TSY TSY MH0 40,000,000 41,237, TSY UNITED STATES TREAS NTS /31/2015 TSY TSY MH0 15,000,000 15,464, TSY UNITED STATES TREAS NTS /31/2015 TSY TSY MH0 50,000,000 51,546, TSY UNITED STATES TREAS NTS /31/2015 TSY TSY MH0 15,000,000 15,464, FIN WELLS FARGO BK NATL ASSN /09/2015 AA3 AA VAA6 15,000,000 15,970, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY MZ0 10,000,000 10,378, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY MZ0 50,000,000 51,890, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY MZ0 25,000,000 25,945, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY MZ0 10,000,000 10,378, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY NF3 10,000,000 10,205, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY NF3 10,000,000 10,205, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY NF3 25,000,000 25,513, , IND TOYOTA MTR CRD CORP MTN BE /17/2015 AA2 AA P-1 A P4B9 15,000,000 15,513, , FIN GENERAL ELEC CAP CORP MTN BE /29/2015 AA2 AA+ P-1 A G4L5 10,000,000 10,230, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY NL0 20,000,000 20,173, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY NL0 50,000,000 50,433, ,

22 Page 22 Portfolio: Reserve Qual CUSIP Par Value MV w /o TSY UNITED STATES TREAS NTS /30/2015 TSY TSY NL0 15,000,000 15,130, , IND WAL MART STORES INC /08/2015 AA2 AA P-1 A CT8 10,000,000 9,996, , FIN U S BANCORP MTNS BK ENT /27/2015 AA3 A+ P-1 A HGX2 3,000,000 2,983, TSY UNITED STATES TREAS NTS /31/2015 TSY TSY NP1 20,000,000 20,029, IND AT&T INC /15/2015 A2 A RAV4 5,000,000 4,990, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY NV8 50,000,000 48,863, , IND DELL INC /10/2015 A2 A RAL5 10,000,000 9,793, , IND HEWLETT PACKARD CO /13/2015 A2 A BC6 15,000,000 14,820, , IND AMER HONDA FIN CORP MTN 144A /21/2015 A1 A+ A QG64 3,000,000 2,980, , IND MICROSOFT CORP /25/2015 AAA AAA AG9 15,000,000 14,647, , IND EBAY INC /15/2015 A2 A AB9 5,000,000 4,813, , IND WAL MART STORES INC /25/2015 AA2 AA P-1 A CX9 5,000,000 4,804, , IND COLGATE PALMOLIVE CO MTNS BE /01/2015 AA3 AA- P-1 A QDQ0 10,000,000 9,624, , FIN GENERAL ELEC CAP CORP MTN BE /09/2015 AA2 AA+ P-1 A G4T8 15,000,000 14,422, , IND COCA COLA CO /15/2015 AA3 A+ P-1 A AP5 5,000,000 4,817, , IND PROCTER & GAMBLE CO /15/2015 AA3 AA- P-1 N.P DS5 5,000,000 4,909, , AGY FEDERAL FARM CR BKS CONS /16/2015 AGY AGY 31331J2S1 10,000,000 9,723, , AGY FEDERAL FARM CR BKS CONS /16/2015 AGY AGY 31331J2S1 7,000,000 6,806, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY PJ3 15,000,000 14,650, , AGY FEDERAL HOME LOAN BANKS /11/2015 AGY AGY C28 30,000,000 30,304, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY PM6 40,000,000 40,387, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY PM6 50,000,000 50,484, , IND TOYOTA MTR CRD CORP MTN BE /11/2016 AA2 AA P-1 A P4R4 15,000,000 15,211, , TSY UNITED STATES TREAS NTS /31/2016 TSY TSY PS3 37,000,000 37,078, AGY AGY P-1 A-1+ 4,480,466,433 4,626,424,998 26,105,

23 Page 23 Portfolio: Wastew ater Qual CUSIP Par Value MV w /o CASH CASH & EQUIVALENTS /28/2011 1,171 1, MM BNP PARIBAS FIN INC /01/2011 P-1 A N1P15 10,004,000 10,003, MM CARGILL INC /01/2011 P-1 A MP10 5,004,000 5,003, AGY FHLB DISC NT /01/2011 AGY AGY BH1 5,002,000 5,001, AGY FNMA DISC NT /01/2011 AGY AGY BH7 3,293,000 3,292, AGY FHLMC DISC NT /08/2011 AGY AGY BQ5 3,501,000 3,500, AGY FHLMC DISC NT /08/2011 AGY AGY BQ5 5,000,000 4,999, AGY FNMA DISC NT /15/2011 AGY AGY BX2 1,500,000 1,499, AGY FNMA DISC NT /15/2011 AGY AGY BX2 7,482,000 7,481, MM NESTLE CAP CORP /17/2011 P-1 A HPH9 7,004,000 7,003, AGY FHLMC DISC NT /22/2011 AGY AGY CE1 5,002,000 5,001, MM ABBOT LABORATORIES /23/2011 P-1 A DPP9 4,816,000 4,815, MM NESTLE CAP CORP /23/2011 P-1 A HPP1 2,000,000 1,999, MM NESTLE CAP CORP /23/2011 P-1 A HPP1 2,001,000 2,000, AGY FHLMC DISC NT /28/2011 AGY AGY CL5 16,025,000 16,023, MM TOYOTA MOTOR CREDIT /01/2011 P-1 A HQ15 11,007,000 11,004, TSY UNITED STATES TREAS BILL /03/2011 TSY TSY D2 8,003,000 8,002, AGY FHLB DISC NT /15/2011 AGY AGY DB2 9,003,000 9,001, AGY FHLMC DISC NT /22/2011 AGY AGY DJ9 3,588,000 3,587, MM MORGAN J.P. CHASE & /22/2011 N/A P J1QN3 7,007,000 7,003, AGY FHLMC DISC NT /30/2011 AGY AGY DS9 6,167,000 6,165, AGY FHLMC DISC NT /30/2011 AGY AGY DS9 4,002,000 4,001, AGY FNMA DISC NT /30/2011 AGY AGY DS1 4,002,000 4,001, MM GENERAL ELEC CAPT SE /01/2011 P-1 A SR13 1,501,000 1,500,

24 Page 24 Portfolio: Wastew ater Qual CUSIP Par Value MV w /o AGY FHLB DISC NT /05/2011 AGY AGY DY2 5,298,000 5,296, MM GENERAL ELEC CAPT SE /05/2011 P-1 A SR54 6,505,000 6,502, MM JOHNSON & JOHNSON /05/2011 AAA AAA P-1 A GR50 7,684,000 7,680, MM NESTLE CAP CORP /05/2011 P-1 A HR53 2,601,000 2,599, AGY FHLB DISC NT /12/2011 AGY AGY EF2 8,003,000 8,000, AGY FHLB DISC NT /19/2011 AGY AGY EN5 2,001,000 2,000, AGY FHLB DISC NT /19/2011 AGY AGY EN5 6,233,000 6,231, AGY FEDERAL HOME LOAN BANKS /20/2011 AGY AGY GH3 7,000,000 6,999, , AGY FHLB DISC NT /26/2011 AGY AGY EV7 4,318,000 4,316, AGY FHLMC DISC NT /26/2011 AGY AGY EV1 3,526,000 3,524, MM NESTLE CAP CORP /02/2011 P-1 A HS29 1,501,000 1,499, AGY FHLMC DISC NT /03/2011 AGY AGY FC2 6,007,000 6,004, AGY FHLMC DISC NT /03/2011 AGY AGY FC2 7,003,000 7,000, AGY FNMA DISC NT /03/2011 AGY AGY FC4 8,504,000 8,500, AGY FNMA DISC NT /10/2011 AGY AGY FK6 3,001,000 2,999, AGY FNMA DISC NT /10/2011 AGY AGY FK6 5,002,000 4,999, AGY FNMA DISC NT /17/2011 AGY AGY FS9 8,004,000 8,000, AGY FHLMC DISC NT /19/2011 AGY AGY FU2 7,009,000 7,005, AGY FNMA DISC NT /24/2011 AGY AGY FZ3 2,001,000 2,000, AGY FNMA DISC NT /01/2011 AGY AGY GH2 7,339,000 7,335, AGY FNMA DISC NT /01/2011 AGY AGY GH2 7,006,000 7,002, AGY FNMA DISC NT /01/2011 AGY AGY GH2 2,778,000 2,776, AGY FHLMC DISC NT /21/2011 AGY AGY HD8 7,010,000 7,005, AGY FNMA DISC NT /19/2011 AGY AGY JH9 7,012,000 7,006,

25 Page 25 Portfolio: Wastew ater Qual CUSIP Par Value MV w /o AGY FNMA DISC NT /16/2011 AGY AGY KM6 5,611,000 5,605, TSY UNITED STATES TREAS BILL /22/2011 TSY TSY F7 2,003,000 2,000, AGY FNMA DISC NT /11/2011 AGY AGY MV4 2,005,000 2,002, TSY UNITED STATES TREAS NTS /31/2011 TSY TSY LT5 1,975,000 1,986, , TSY UNITED STATES TREAS NTS /31/2011 TSY TSY LT5 17,000 17, TSY UNITED STATES TREAS NTS /30/2011 TSY TSY MM9 25,000 25, TSY UNITED STATES TREAS NTS /30/2011 TSY TSY MM9 1,983,000 1,991, , TSY UNITED STATES TREAS BILL /15/2011 TSY TSY T7 15,000 14, TSY UNITED STATES TREAS BILL /15/2011 TSY TSY T7 19,000 18, AGY FEDERAL HOME LOAN BANKS /28/2011 AGY AGY 3133XVRS2 1,975,000 1,986, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY MJ6 1,981,000 1,992, TSY UNITED STATES TREAS NTS /29/2012 TSY TSY MQ0 1,981,000 1,992, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY MU1 1,978,000 1,993, , TSY UNITED STATES TREAS NTS /30/2012 TSY TSY NB2 1,970,000 1,985, , AGY FEDERAL HOME LOAN BANKS /18/2012 AGY AGY 3133XXPV3 1,970,000 1,987, , AGY FEDERAL HOME LOAN BANKS /20/2012 AGY AGY 3133XTS49 1,940,000 1,977, , AGY FEDERAL HOME LN MTG CORP /27/2012 AGY AGY 3137EACK3 1,965,000 1,983, TSY UNITED STATES TREAS NTS /31/2012 TSY TSY NQ9 1,987,000 1,993, AGY FEDERAL NATL MTG ASSN /24/2012 AGY AGY 31398A3N0 1,990,000 1,994, , AGY FEDERAL NATL MTG ASSN /24/2012 AGY AGY 31398A3N0 1,990,000 1,994, , AGY FEDERAL NATL MTG ASSN /30/2012 AGY AGY 31398A4T6 2,000,000 1,997, , AGY FEDERAL HOME LN MTG CORP /30/2012 AGY AGY 3137EACP2 2,005,000 1,996, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY MB3 1,961,000 1,982, , AGY FEDERAL HOME LN BK CHICAGO /16/2013 AGY AGY 3133XW7L7 2,340,000 2,374, ,

26 Page 26 Portfolio: Wastew ater Qual CUSIP Par Value MV w /o AGY FEDERAL HOME LN BKS /08/2013 AGY AGY 3133XES91 3,730,000 4,064, , AGY FEDERAL NATL MTG ASSN /15/2013 AGY AGY 31359MRG0 13,074,000 14,078, , AGY FEDERAL HOME LOAN BANKS /14/2013 AGY AGY 3133XRFL9 24,700,000 26,670, , AGY FEDERAL HOME LN BKS /16/2013 AGY AGY 3133X1BV8 5,000,000 5,455, , AGY FEDERAL HOME LN MTG CORP /27/2013 AGY AGY 3137EABS7 8,775,000 9,496, , AGY FEDERAL FARM CR BANKS /07/2013 AGY AGY 31331GCS6 20,000,000 21,515, , AGY FEDERAL HOME LOAN BANKS /18/2013 AGY AGY 3133XSAE8 20,000,000 21,353, , AGY FEDERAL NATL MTG ASSN /13/2014 AGY AGY 31398AVZ2 2,593,000 2,706, , AGY FEDERAL FARM CR BANKS /26/2014 AGY AGY 31331GRH4 12,065,000 12,597, , TSY UNITED STATES TREAS NTS /15/2020 TSY TSY NT3 12,207,000 11,509, , AGY AGY P-1 A ,091, ,531,636 1,436, REMAINDER OF THIS PAGE INTENTIONALLY LEFT BLANK

27 Page 27 Portfolio: Harbor Emergency Fund #751 Qual CUSIP Par Value MV w /o CASH CASH & EQUIVALENTS /28/ AGY FHLMC DISC NT /08/2011 AGY AGY EB5 37,310,000 37,300, AGY AGY N/A NR 37,310,700 37,300, Portfolio: Batiquitos Long-Term Investment Fund 72W Qual CUSIP Par Value MV w /o CASH CASH & EQUIVALENTS /28/ TSY UNITED STATES TREAS BILL /21/2011 TSY TSY A7 5,990,000 5,985, TSY TSY N/A NR 5,990,271 5,985,

28 Page 28 Portfolio: Harbor Restoration 70L Qual CUSIP Par Value MV w/o CASH CASH & EQUIVALENTS /28/ AGY FHLMC DISC NT /07/2011 AGY AGY CT8 557, , AGY AGY N/A NR 557, , Portfolio: MICLA Lease Revenue 2006A-Police Qual CUSIP Par Value MV w/o TSY UNITED STATES TREAS BILL /03/2011 TSY TSY Y21 25,002,000 25,001, CASH CASH & EQUIVALENTS /28/ ,765,160 14,765, AGY AGY N/A NR 39,767,160 39,766,

29 Page 29 Portfolio: Water System Revenue 2009 Series C Qual CUSIP Par Value MV w /o TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 3,450,000 3,449, CASH CASH & EQUIVALENTS /28/2011 2,284 2, TSY TSY N/A NR 3,452,284 3,451, Portfolio: MICLA Lease Revenue Bonds 2009-D Qual CUSIP Par Value MV w/o CASH CASH & EQUIVALENTS /28/ AAA AAA N/A NR

30 Page 30 Portfolio: Water System Revenue 2009 Series B Qual CUSIP Par Value MV w/o CASH CASH & EQUIVALENTS /28/ Portfolio: Solid Waste Revenue Bonds 2009 A-B Qual CUSIP Par Value MV w/o CASH CASH & EQUIVALENTS /28/

31 Page 31 Portfolio: Pow er System Revenue Bond 2010-A Qual CUSIP Par Value MV w /o TSY UNITED STATES TREAS BILL /17/2011 TSY TSY B6 9,039,000 9,038, TSY UNITED STATES TREAS BILL /17/2011 TSY TSY B6 50,000,000 49,997, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 50,000,000 49,995, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 50,000,000 49,995, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 50,000,000 49,995, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 9,027,000 9,026, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 50,000,000 49,995, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 14,876,000 14,874, CASH CASH & EQUIVALENTS /28/2011 2,322 2, TSY TSY N/A NR 282,944, ,920, Portfolio: Pow er 2010-C Cost of Issuance Qual CUSIP Par Value MV w/o CASH CASH & EQUIVALENTS /28/ AGY FHLMC DISC NT /28/2011 AGY AGY CL5 363, , AGY AGY N/A NR 363, ,

32 Page 32 Portfolio: Pow er 2010-C Construction Fund Qual CUSIP Par Value MV w /o CASH CASH & EQUIVALENTS /28/ ,728 10, TSY UNITED STATES TREAS BILL /17/2011 TSY TSY B6 40,877,000 40,874, TSY UNITED STATES TREAS BILL /17/2011 TSY TSY B6 3,283,000 3,282, AGY FHLMC DISC NT /21/2011 AGY AGY HD8 296, , AGY FNMA DISC NT /21/2011 AGY AGY HD0 175, , AGY FNMA DISC NT /31/2011 AGY AGY NR2 10,000 9, TSY UNITED STATES TREAS NTS /31/2011 TSY TSY LT5 791, , , AGY FNMA DISC NT /23/2011 AGY AGY PQ2 25,000 24, AGY FEDERAL NATL MTG ASSN /23/2011 AGY AGY 31398AZN5 2,339,000 2,352, , AGY FEDERAL HOME LOAN BANKS /28/2011 AGY AGY 3133XVRS2 3,885,000 3,908, , AGY FNMA DISC NT /28/2011 AGY AGY RB3 125, , AGY FEDERAL NATL MTG ASSN /12/2012 AGY AGY 31398AB43 16,058,000 16,132, , TSY UNITED STATES TREAS NTS /29/2012 TSY TSY MQ0 88,000 88, TSY UNITED STATES TREAS NTS /29/2012 TSY TSY MQ0 21,268,000 21,396, , AGY FEDERAL HOME LN MTG CORP /23/2012 AGY AGY 3137EABY4 27,750,000 28,291, , AGY FEDERAL NATL MTG ASSN /20/2012 AGY AGY 31398AWK4 5,507,000 5,604, , AGY FEDERAL HOME LOAN BANKS /18/2012 AGY AGY 3133XXPV3 2,825,000 2,849, , AGY FEDERAL HOME LOAN BANKS /20/2012 AGY AGY 3133XTS49 8,660,000 8,827, , AGY FEDERAL HOME LN MTG CORP /15/2012 AGY AGY 3134A4QD9 2,212,000 2,359, , AGY FEDERAL NATL MTG ASSN /19/2012 AGY AGY 31398AHZ8 1,118,000 1,201, , TSY TSY N/A NR 137,302, ,604, ,

33 Page 33 Portfolio: MICLA Lease Revenue 2010-B Acquisition Qual CUSIP Par Value MV w /o CASH CASH & EQUIVALENTS /28/ ,495 12, TSY UNITED STATES TREAS BILL /30/2011 TSY TSY X22 2,580,000 2,578, TSY UNITED STATES TREAS BILL /22/2011 TSY TSY F7 2,580,000 2,576, TSY UNITED STATES TREAS NTS /31/2011 TSY TSY ML1 1,398,000 1,407, , TSY UNITED STATES TREAS NTS /29/2012 TSY TSY MQ0 1,401,000 1,409, , TSY UNITED STATES TREAS NTS /30/2012 TSY TSY NS5 1,405,000 1,409, AGY FEDERAL NATL MTG ASSN /24/2012 AGY AGY 31398A3N0 1,412,000 1,414, , AGY FEDERAL HOME LN MTG CORP /28/2012 AGY AGY 3137EACQ0 1,427,000 1,427, , TSY TSY N/A NR 12,215,495 12,235, , REMAINDER OF THIS PAGE INTENTIONALLY LEFT BLANK

34 Page 34 Portfolio: MICLA Lease Revenue 2010-C Construction Mood y Qual CUSIP Par Value MV w /o AGY FNMA DISC NT /01/2011 AGY AGY BH7 290, , CASH CASH & EQUIVALENTS /28/2011 AAA AAA CM9 660, , AGY FHLMC DISC NT /28/2011 AGY AGY CL5 600, , AGY FHLMC DISC NT /01/2011 AGY AGY DU4 700, , AGY FHLB DISC NT /29/2011 AGY AGY EY1 350, , AGY FHLMC DISC NT /01/2011 AGY AGY GH0 550, , TSY UNITED STATES TREAS BILL /30/2011 TSY TSY X22 644, , AGY FNMA DISC NT /01/2011 AGY AGY LD5 150, , AGY FHLB DISC NT /01/2011 AGY AGY PY9 941, , AGY AGY N/A NR 4,885,697 4,882, REMAINDER OF THIS PAGE INTENTIONALLY LEFT BLANK

35 Page 35 Portfolio: Pow er System 2010-D Construction Fund Qual CUSIP Par Value MV w /o CASH CASH & EQUIVALENTS /28/ ,648 18, AGY FHLMC DISC NT /15/2011 AGY AGY BX0 50,000,000 49,997, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 11,000 10, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 50,000,000 49,995, TSY UNITED STATES TREAS BILL /17/2011 TSY TSY G5 50,000,000 49,991, AGY FNMA DISC NT /13/2011 AGY AGY EG6 50,000,000 49,985, AGY FHLMC DISC NT /13/2011 AGY AGY FN8 50,000,000 49,978, AGY FHLMC DISC NT /15/2011 AGY AGY GX5 50,000,000 49,970, AGY FHLMC DISC NT /12/2011 AGY AGY JA2 25,300,000 25,281, AGY FNMA DISC NT /15/2011 AGY AGY KL8 25,300,000 25,276, AGY FEDERAL HOME LOAN BANKS /06/2011 AGY AGY ZJ8 17,500,000 17,501, , AGY FEDERAL HOME LOAN BANKS /06/2011 AGY AGY ZJ8 50,000,000 50,003, , AGY FEDERAL HOME LOAN BANKS /10/2012 AGY AGY H5 50,000,000 49,988, , AGY FEDERAL HOME LOAN BANKS /10/2012 AGY AGY H5 17,500,000 17,496, , AGY FEDERAL HOME LOAN BANKS /15/2012 AGY AGY W3 17,500,000 17,503, , AGY FEDERAL HOME LOAN BANKS /15/2012 AGY AGY W3 50,000,000 50,008, , AGY FEDERAL HOME LOAN BANKS /15/2012 AGY AGY A0 17,500,000 17,504, , AGY FEDERAL HOME LOAN BANKS /15/2012 AGY AGY A0 50,000,000 50,011, , AGY FEDERAL HOME LOAN BANKS /13/2012 AGY AGY B8 50,000,000 50,003, , AGY FEDERAL HOME LOAN BANKS /13/2012 AGY AGY B8 17,500,000 17,501, , AGY FEDERAL HOME LOAN BANKS /07/2012 AGY AGY V5 17,850,000 17,851, , AGY FEDERAL HOME LOAN BANKS /07/2012 AGY AGY V5 50,000,000 50,003, , TSY TSY N/A NR 755,979, ,885, ,

36 Page 36 Portfolio: Water System 2010-A Construction Fund Qual CUSIP Par Value MV w /o CASH CASH & EQUIVALENTS /28/ AGY FHLMC DISC NT /24/2011 AGY AGY CG6 48,500,000 48,496, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 50,000,000 49,995, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY C4 14,252,000 14,250, AGY FNMA DISC NT /23/2011 AGY AGY DK8 48,500,000 48,491, AGY FNMA DISC NT /27/2011 AGY AGY EW1 48,500,000 48,483, AGY FNMA DISC NT /25/2011 AGY AGY GA7 48,500,000 48,477, AGY FHLMC DISC NT /28/2011 AGY AGY HL0 48,500,000 48,468, AGY FHLMC DISC NT /26/2011 AGY AGY JQ7 48,500,000 48,462, AGY FHLMC DISC NT /29/2011 AGY AGY LA9 40,000,000 39,960, TSY UNITED STATES TREAS BILL /22/2011 TSY TSY F7 40,000,000 39,951, TSY UNITED STATES TREAS BILL /20/2011 TSY TSY K6 25,722,000 25,686, TSY TSY N/A NR 460,974, ,726, REMAINDER OF THIS PAGE INTENTIONALLY LEFT BLANK

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