City of Los Angeles Office of the Treasurer

Transcription

1 City of Los Angeles Office of the Treasurer INVESTMENT REPORT February 28, 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 February 28, 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 GDP (QoQ%) fourth quarter of 2010, less than the 7 expected 3.2%. The anticipated growth 6 rate for the year increases from 2.9% to 5 4 3%. However, the forecast for 3 annualized GDP was revised downwards 2 to 3.0% in 2011 and 3.0% in The 1 U.S. continues to experience a modest 0 economic recovery as consumers remain -1 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 8.8% for the month of March 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 1 Wk 1 Mo 2 Mo 3 Mo 4 Mo 5 Mo 6 Mo 9 Mo 1 Yr 2 Yr 3 Yr 4 Yr 5 Yr 7 Yr 10Yr 15Yr 20Yr Honorable Members of the City Council 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 Fed Fund Futures (%) CAPITAL MARKETS OUTLOOK 0 As of April 6, 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 July 2011, October 2011, and April Forward U.S. Yield Curves (%) Spot 7/8/ /11/2011 4/9/2012 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, monitored the Department s investment activities for the covered period in this report. 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 February 28, 2011.

4 Page 4 Portfolio Funds Amount of Funds at Market Value Effective Yield Average Weighted Maturity Average Credit Rating Core Portfolio $1,783,731, % 48 Days AAA Reserve Portfolio $4,560,610, % 2.8 Years AAA Total Investment Pool $6,344,342, % 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 $1,783,731,798 $4,560,610,371 $6,344,342,169 Total Rate of Return 0.02% -0.17% n/a Benchmark Total Rate of Return 0.02% -0.12% n/a Variance 0.00% -0.05% n/a The City measures investment performance on a total return basis to an established industry recognized benchmark. The above table summarizes the February 28, 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 February 28, 2011 Percent of Average Weighted Description Par Value Market Value Total Days Years Bank Deposits* $139,815,964 $139,815, % Money Market Funds $0 $0 0.00% L.A.I.F. (State of California) $0 $0 0.00% Subtotal: Cash and Overnight Inves $139,815,964 $139,815, % BNY Sweep Account $0 $0 0.00% CDARS $8,000,000 $8,000, % Commercial Paper $431,093,000 $431,001, % Negotiable Certificates of Deposit $0 $0 0.00% Corporate Notes $63,265,000 $65,823, % U.S. Federal Agencies $791,663,000 $792,118, % U.S. Treasuries $347,006,000 $346,973, % Subtotal: Pooled Investments: $1,641,027,000 $1,643,915, % Total Short-Term Core Portfolio: $1,780,842,964 $1,783,731, % BNY Sweep Account $0 $0 0.00% Mortgage-Backed Securities** $8,824,861 $8,850, % Commercial Paper $0 $0 0.00% Negotiable Certificates of Deposit $0 $0 0.00% Corporate Notes $753,336,000 $783,547, % U.S. Federal Agencies $1,107,125,000 $1,136,889, % U.S. Treasuries $2,565,000,000 $2,631,322, % Total Long-Term Reserve Portfolio: $4,434,285,861 $4,560,610, % Total Cash and Pooled Investments: $6,215,128,825 $6,344,342, % * Collected Balance For Bank of America, Wells Fargo, and Wachovia Active Accounts ** Includes CMO's (Collateralized Mortgage Obligations)

7 Millions Honorable Members of the City Council Page 7 Description LIQUIDITY SCHEDULE February 28, 2011 Percent of Availability Market Value Cumulative Total Funds Bank Deposits* Immediate $139,815,964 $139,815, % Money Market Funds Immediate $0 $139,815, % L.A.I.F. (State of California) Immediate $0 $139,815, % Pooled Investments Maturing: < 30 days $664,337,732 $804,153, % 31 to 90 days $893,977,575 $1,698,131, % 91 to 180 days $555,368 $1,698,686, % 181 to 365 days $99,313,325 $1,797,999, % 1 to 2 years $1,231,314,059 $3,029,314, % 2 to 3 years $1,593,802,910 $4,623,116, % 3 to 4 years $1,011,325,662 $5,634,442, % 4 to 5 years $709,899,573 $6,344,342, % Total Cash and Pooled Investments $6,344,342,169 *Collected Balance For Bank of America, Wells Fargo, And Wachovia Active Accounts LIQUIDITY SCHEDULE February 28, 2011 $1,600 $1,400 $1,200 $1,000 $800 $600 $400 $200 $0

8 Page % Reserve Portfolio and Benchmark Sector Allocation 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% FIN IND UTIL AGY FOR MORT TSY RESERVE 7.4% 9.4% 0.5% 24.9% 0.0% 0.2% 57.6% MER 1-5 GC 10.9% 5.8% 0.8% 17.8% 4.5% 0.0% 60.2% Sector Differences 10.0% 5.0% 0.0% -5.0% FIN IND UTIL AGY FOR MORT TSY Sector Difference -3.5% 3.6% -0.3% 7.1% -4.5% 0.2% -2.6% 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 Reserve and Benchmark Credit Ratings 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% AAA AA A RESERVE 83.5% 6.3% 10.2% MER 1-5 GC 81.5% 7.5% 11.0% Credit Ratings Chart Highlights the portfolio differences versus the benchmark with respect to percentage of assets in each of the S&P s Credit Ratings allocations. Reserve and Benchmark Contribution to Duration FIN IND UTIL AGY FOR MORT TSY RESERVE MER 1-5 GC 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 * February 28, Month 3 Month YTD 1 year 3 Years 5 Years 4/30/01 Core Portfolio 0.02% 0.05% 0.03% 0.15% 1.13% 2.78% 2.57% 91 Day Treasury Bill: 0.02% 0.04% 0.02% 0.14% 0.58% 2.30% 2.23% February 28, Month 3 Month YTD 1 year 3 Years 5 Years 11/30/01 Reserve Portfolio -0.17% -0.44% 0.14% 2.73% 3.70% 5.23% 4.38% Merrill Lynch 1 to 5 year Corporate Government, A Rated -0.12% -0.36% 0.23% 2.69% 3.29% 4.89% 4.12% *1, 3, 5 year, and since inception are annualized rates of return Core Portfolio Performance 0.16% 0.14% 0.12% 0.10% 0.08% 0.06% 0.04% 0.02% 0.00% 1 Month 3 Month YTD 1 year Core Portfolio 0.02% 0.05% 0.03% 0.15% 91 Day Treasury Bill: 0.02% 0.04% 0.02% 0.14% Reserve Portfolio Performance 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% -0.50% 1 Month 3 Month YTD 1 year Reserve Portfolio -0.17% -0.44% 0.14% 2.73% ML 1-5 Corp/Gov No Baa -0.12% -0.36% 0.23% 2.69%

11 Page 11 Portfolio: Core Pricing Date: 02/28/11 Base Currency: USD Sect Issuer Coupon Maturity Mdys S&P Moody S-T S&P Qual S-T CUSIP Par Value MV w /o Accr Accr Income MM WACHOVIA MONEY MARKET /1/ ,013, ,013, MM WELLS FARGO MONEY MARKET /1/2011 3,704,185 3,704, MM BANK OF AMERICA MONEY MARKET /1/ ,431 98, Yld Mat MM BNP PARIBAS FIN INC /01/2011 P-1 A N1Q14 4,000,000 3,999, MM BNP PARIBAS FIN INC /01/2011 P-1 A N1Q14 50,000,000 49,997, AGY FHLB DISC NT /01/2011 AGY AGY CM9 25,678,000 25,677, TSY UNITED STATES TREAS BILL /03/2011 TSY TSY D2 50,000,000 49,999, AGY FHLMC DISC NT /09/2011 AGY AGY CV3 5,034,000 5,033, AGY FHLMC DISC NT /09/2011 AGY AGY CV3 50,000,000 49,998, MM NESTLE CAP CORP /09/2011 P-1 A HQ96 20,014,000 20,012, MM GENERAL ELEC CAPT SE /22/2011 P-1 A SQN6 20,027,000 20,023, 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 50,000,000 49,991, MM TOYOTA MOTOR CREDIT /22/2011 P-1 A HQN7 14,031,000 14,028, MM TOYOTA MOTOR CREDIT /22/2011 P-1 A HQN7 50,000,000 49,991, AGY FHLB DISC NT /23/2011 AGY AGY DK2 34,011,000 34,009, AGY FNMA DISC NT /23/2011 AGY AGY DK8 31,000,000 30,998, MM GENERAL ELEC CAPT CO /24/2011 P-1 A JQQ9 16,932,000 16,929, MM MORGAN J.P. CHASE & /24/2011 N/A P J1QQ6 30,022,000 30,013, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY H3 50,000,000 49,995,

12 Page 12 Moody S&P Sect Issuer Coupon Maturity Mdys S&P S-T Qual S-T CUSIP Par Value MV w /o Accr Income Mat TSY UNITED STATES TREAS BILL /24/2011 TSY TSY H3 50,000,000 49,995, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY H3 20,000,000 19,998, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY H3 50,000,000 49,995, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY H3 25,000,000 24,997, TSY UNITED STATES TREAS BILL /24/2011 TSY TSY H3 10,000,000 9,999, AGY FNMA DISC NT /05/2011 AGY AGY DY8 20,020,000 20,018, AGY FNMA DISC NT /05/2011 AGY AGY DY8 50,000,000 49,995, AGY FNMA DISC NT /06/2011 AGY AGY DZ5 30,377,000 30,374, MM PROCTOR GAMBLE /06/2011 N/A P UR69 20,028,000 20,022, MM PROCTOR GAMBLE /06/2011 N/A P UR69 50,000,000 49,987, MM GENERAL ELEC CAPT CO /07/2011 P-1 A JR70 35,000,000 34,990, MM TOYOTA MOTOR CREDIT /19/2011 P-1 A HRK2 37,017,000 37,004, TSY UNITED STATES TREAS BILL /21/2011 TSY TSY M2 25,000,000 24,995, TSY UNITED STATES TREAS BILL /21/2011 TSY TSY M2 21,006,000 21,002, TSY UNITED STATES TREAS BILL /21/2011 TSY TSY M2 46,000,000 45,991, AGY FHLB DISC NT /25/2011 AGY AGY EU9 30,000,000 29,996, AGY FHLB DISC NT /25/2011 AGY AGY EU9 45,000,000 44,994, AGY FHLMC DISC NT /25/2011 AGY AGY EU3 35,000,000 34,995, AGY FHLMC DISC NT /25/2011 AGY AGY EU3 48,203,000 48,197, AGY FHLMC DISC NT /25/2011 AGY AGY EU3 12,004,000 12,002, AGY FHLMC DISC NT /25/2011 AGY AGY EU3 50,000,000 49,993, AGY FHLMC DISC NT /25/2011 AGY AGY EU3 3,079,000 3,078, AGY FHLMC DISC NT /25/2011 AGY AGY EU3 50,000,000 49,993, AGY FNMA DISC NT /25/2011 AGY AGY EU5 21,007,000 21,004, AGY FNMA DISC NT /25/2011 AGY AGY EU5 40,346,000 40,341, AGY FHLMC DISC NT /03/2011 AGY AGY FC2 12,000,000 11,997, AGY FHLMC DISC NT /04/2011 AGY AGY FD0 41,015,000 41,007, MM TOYOTA MOTOR CREDIT /04/2011 P-1 A HS47 34,022,000 34,006,

13 Page 13 Moody S&P Sect Issuer Coupon Maturity Mdys S&P S-T Qual S-T CUSIP Par Value MV w /o Accr Income Mat AGY FNMA DISC NT /18/2011 AGY AGY FT7 50,000,000 49,988, AGY FNMA DISC NT /18/2011 AGY AGY FT7 8,000,000 7,998, AGY FNMA DISC NT /18/2011 AGY AGY FT7 50,000,000 49,988, AGY FNMA DISC NT /31/2011 AGY AGY GG4 30,014,000 30,006, IND BELLSOUTH CORP /15/2011 A2 A- P-1 A AB8 10,000,000 10,334, , IND DEERE JOHN CAP CORP MTNS BE /17/2011 A2 A P-1 A EQD4 20,000,000 20,626, , IND AT&T CORP /15/2011 A2 A- P-2 N.P BC2 16,140,000 16,891, , FIN PROGRESSIVE CORP OHIO /15/2012 A1 A AK9 12,125,000 12,726, , AGY FEDERAL FARM CR BKS CONS /13/2012 AGY AGY 31331YTQ3 19,875,000 20,422, , IND KIMBERLY CLARK CORP /15/2012 A2 A P-1 A AR4 5,000,000 5,244, , AGY AGY P-1 A-1+ 1,780,842,964 1,783,731,798 1,081, Portfolio: Reserve Pricing Date: 02/28/11 Base Currency: USD Sect Issuer Coupon Maturity Mdys S&P Mood y S-T S&P Qual S-T CUSIP Par Value MV w /o Accr Accr Income PASS FHLMC GOLD POOL - M /01/2011 AGY AGY 31282SAC6 643, , , PASS FNMA POOL /01/2011 AGY AGY 31371LSM2 546, , , PASS FNMA POOL /01/2011 AGY AGY 31403CWC1 212, , Yld Mat CMO FHLMC_3388- AN /15/2011 AGY AGY 31397PK25 1,471,467 1,474, , FIN GENERAL ELEC CAP CORP MTN BE /03/2012 AA2 AA+ P-1 A GG57 11,000,000 11,379, , IND DEERE JOHN CAPITAL CORP /15/2012 A2 A P-1 A BG9 9,350,000 9,970, , IND LILLY ELI & CO /15/2012 A2 AA- P-1 N.P AU2 10,000,000 10,560, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY MU1 10,000,000 10,073, , AGY FEDERAL HOME LOAN BANKS /13/2012 AGY AGY 3133XTAW6 40,000,000 40,802, , AGY FEDERAL FARM CR BANKS /24/2012 AGY AGY 31331GNQ8 20,000,000 20,402, , FIN BERKSHIRE HATHAWAY INC DEL /15/2012 AA2 AA+ N.P. A AS7 22,750,000 23,807, ,

14 Page 14 Mood S&P Sect Issuer Coupon Maturity Mdys S&P y S-T Qual S-T CUSIP Par Value MV w /o Accr Accr Income Mat IND PEPSICO INC /15/2012 AA3 A- P-1 A BF4 10,000,000 10,507, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KP4 35,000,000 35,430, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KP4 25,000,000 25,307, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KP4 25,000,000 25,307, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KP4 50,000,000 50,615, , IND UNITED TECHNOLOGIES CORP /15/2012 A2 A P-1 A BF5 8,105,000 8,642, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY GU8 10,000,000 10,548, , FIN GENERAL ELEC CAP CORP MTN BE /15/2012 AA2 AA+ P-1 A GR30 20,000,000 20,772, , FIN MBNA AMER BK NA SUB MTN /15/2012 A1 A P E2AB5 5,310,000 5,601, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KX7 50,000,000 50,969, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KX7 50,000,000 50,969, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KX7 25,000,000 25,484, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KX7 10,000,000 10,193, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY KX7 40,000,000 40,775, , AGY FEDERAL FARM CR BANKS /18/2012 AGY AGY 31331GYP8 20,000,000 20,410, , TSY UNITED STATES TREAS NTS /30/2012 TSY TSY GW4 50,000,000 52,991, , TSY UNITED STATES TREAS NTS /30/2012 TSY TSY GW4 25,000,000 26,495, , 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 15,586, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LB4 10,000,000 10,153, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LB4 45,000,000 45,688, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LB4 45,000,000 45,688, , IND HONEYWELL INTL INC /01/2012 A2 A AV8 5,000,000 5,354, , CMO FHLMC_3478- AB /15/2012 AGY AGY 31397Y3H2 5,950,437 5,962, ,

15 Page 15 Mood S&P Sect Issuer Coupon Maturity Mdys S&P y S-T Qual S-T CUSIP Par Value MV w /o Accr Accr Income Mat AGY FEDERAL HOME LN MTG CORP /28/2012 AGY AGY 3134G1GQ1 20,000,000 20,121, FIN GOLDMAN SACHS GROUP INC /01/2012 A1 A P-1 A GCG7 20,000,000 21,302, , IND LOWES COS INC /15/2012 A1 A P-1 A CM7 10,000,000 10,706, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LM0 10,000,000 10,136, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LM0 10,000,000 10,136, , FIN PNC FUNDING CORP /28/2012 A3 A P-1 A BD4 9,449,000 10,081, , FIN BB&T CORP /01/2012 A3 A- P-1 A AD9 7,925,000 8,333, , IND PITNEY BOWES INC /01/2012 A2 BBB+ P-1 A AF7 6,000,000 6,313, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LR9 30,000,000 30,411, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY LR9 40,000,000 40,548, , FIN CITIGROUP INC /17/2012 A3 A P-1 A EL1 17,155,000 18,168, , IND IBM INTL GROUP CAP LLC /22/2012 AA3 A EAB6 14,370,000 15,357, , IND NUCOR CORP /01/2012 A2 A P-1 A AF2 5,600,000 5,968, , IND NUCOR CORP /01/2012 A2 A P-1 A AF2 6,025,000 6,421, , IND CATERPILLAR FINL SVCS MTNS B /07/2012 A2 A P-1 A L3N9 11,000,000 11,744, , UTIL ALABAMA PWR CO /15/2012 A2 A P-1 A EY0 10,000,000 10,690, , IND PACCAR FINL CORP SR MTNS BK /17/2012 A1 A+ P-1 A RJ72 4,000,000 4,072, , AGY FEDERAL HOME LN MTG CORP /21/2012 AGY AGY 3137EABE8 15,000,000 15,914, , AGY FEDERAL HOME LN MTG CORP /28/2012 AGY AGY 3137EACQ0 20,000,000 19,974, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY HM5 25,000,000 26,386, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY HM5 40,000,000 42,218, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY HM5 50,000,000 52,773, , FIN BANK ONE CORP /30/2013 A1 A 06423AAS2 12,000,000 12,786, , AGY FEDERAL NATL MTG ASSN /08/2013 AGY AGY 31398AF23 25,000,000 25,158, , TSY UNITED STATES TREAS NTS /15/2013 TSY TSY MN7 30,000,000 30,411, , AGY FEDERAL NATL MTG ASSN /26/2013 AGY AGY 3135G0AK9 20,000,000 20,000, TSY UNITED STATES TREAS NTS /15/2013 TSY TSY MT4 50,000,000 50,675, , TSY UNITED STATES TREAS NTS /15/2013 TSY TSY MT4 20,000,000 20,270, ,

16 Page 16 Mood S&P Sect Issuer Coupon Maturity Mdys S&P y S-T Qual S-T CUSIP Par Value MV w /o Accr Accr Income Mat FIN BANK NEW YORK MTN BK /01/2013 AA2 AA HBJ7 29,462,000 31,472, , IND HERSHEY CO /01/2013 A2 A P-1 A AQ1 10,000,000 10,755, , AGY FEDERAL HOME LN MTG CORP /08/2013 AGY AGY 3128X8TZ5 25,000,000 25,057, , AGY FEDERAL HOME LN MTG CORP /08/2013 AGY AGY 3128X8TZ5 50,000,000 50,114, , AGY FEDERAL NATL MTG ASSN /09/2013 AGY AGY 31398AMW9 20,000,000 21,041, , AGY FEDERAL HOME LN MTG CORP /15/2013 AGY AGY 3137EACJ6 20,000,000 20,332, , TSY UNITED STATES TREAS NTS /15/2013 TSY TSY MX5 10,000,000 10,211, , TSY UNITED STATES TREAS NTS /15/2013 TSY TSY MX5 50,000,000 51,058, , FIN BANK AMER FDG CORP /01/2013 A2 A 06051GDW6 5,000,000 5,296, , FIN BANK AMER FDG CORP /01/2013 A2 A 06051GDW6 10,000,000 10,592, , FIN BANK AMER FDG CORP /01/2013 A2 A 06051GDW6 10,000,000 10,592, , FIN JP MORGAN CHASE & CO /01/2013 AA3 A HHB9 10,000,000 10,685, , FIN JACKSON NATL LIFE GLOBA 144A /08/2013 A1 AA 46849LSB8 11,500,000 12,432, , TSY UNITED STATES TREAS NTS /15/2013 TSY TSY NC0 10,000,000 10,130, , AGY FEDERAL HOME LN MTG CORP /29/2013 AGY AGY 3137EABJ7 30,000,000 31,733, , TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JB7 25,000,000 26,533, , AGY FEDERAL HOME LOAN BANKS /14/2013 AGY AGY 3133XRFL9 10,000,000 10,747, , IND PRAXAIR INC /14/2013 A2 A P-2 A PAX2 20,000,000 20,404, , IND DEERE JOHN CAP CORP MTNS BE /17/2013 A2 A P-1 A EQX0 10,000,000 10,140, , AGY FEDERAL HOME LOAN BANKS /17/2013 AGY AGY 3133XRHK9 25,000,000 25,283, , AGY FEDERAL HOME LOAN BANKS /17/2013 AGY AGY 3133XRHK9 25,000,000 25,283, , AGY FEDERAL HOME LN MTG CORP /28/2013 AGY AGY 3137EABM0 30,000,000 31,971, , TSY UNITED STATES TREAS NTS /30/2013 TSY TSY JD3 50,000,000 52,972, , TSY UNITED STATES TREAS NTS /30/2013 TSY TSY JD3 25,000,000 26,486, , TSY UNITED STATES TREAS NTS /30/2013 TSY TSY JD3 40,000,000 42,377, , IND DU PONT E I DE NEMOURS & CO /15/2013 A2 A P-1 A BU2 8,900,000 9,656, , AGY FEDERAL NATL MTG ASSN /16/2013 AGY AGY 31398AV90 20,000,000 20,065, , FIN CME GROUP INC /01/2013 AA3 AA 12572QAA3 5,000,000 5,486, ,

17 Page 17 Mood S&P Sect Issuer Coupon Maturity Mdys S&P y S-T Qual S-T CUSIP Par Value MV w /o Accr Accr Income Mat FIN CME GROUP INC /01/2013 AA3 AA 12572QAA3 5,000,000 5,486, , AGY TENNESSEE VALLEY AUTH /01/2013 AGY AGY DW9 25,000,000 27,128, , AGY TENNESSEE VALLEY AUTH /01/2013 AGY AGY DW9 10,000,000 10,851, , IND WALGREEN CO /01/2013 A2 A AD1 5,000,000 5,429, , IND WALGREEN CO /01/2013 A2 A AD1 6,935,000 7,530, , IND TOYOTA MTR CRD CORP MTN BE /12/2013 AA2 AA P-1 A P4H6 15,000,000 15,049, , IND 3M CO MEDIUM TERM NTS BK ENT /15/2013 AA2 AA EAE5 10,300,000 11,173, , AGY FEDERAL NATL MTG ASSN /20/2013 AGY AGY 31398AX31 25,000,000 25,118, , TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JK7 50,000,000 52,781, TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JK7 45,000,000 47,503, TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JK7 40,000,000 42,225, IND DELL INC /10/2013 A2 A RAK7 5,000,000 5,005, , IND HEWLETT PACKARD CO /13/2013 A2 A BB8 10,000,000 9,999, , FIN U S BANCORP MTNS BK ENT /13/2013 AA3 A+ P-1 A HGY0 12,000,000 12,005, , IND AMER HONDA FIN CORP MTN 144A /20/2013 A1 A+ A QG80 2,000,000 2,004, , AGY FEDERAL HOME LOAN BANKS /26/2013 AGY AGY 3133XS5Z7 9,000,000 9,198, , IND MICROSOFT CORP /27/2013 AAA AAA AF1 12,000,000 11,936, , TSY UNITED STATES TREAS NTS /30/2013 TSY TSY JM3 25,000,000 26,392, , IND WAL MART STORES INC /25/2013 AA2 AA P-1 A CW1 15,000,000 14,861, , TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JQ4 15,000,000 15,692, , TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JQ4 13,000,000 13,600, , TSY UNITED STATES TREAS NTS /31/2013 TSY TSY JQ4 45,000,000 47,077, , UTIL GEORGIA PWR CO /01/2013 A3 A P-1 A JM4 9,150,000 10,233, , IND COCA COLA CO /15/2013 AA3 A+ P-1 A AN0 15,000,000 14,803, , TSY UNITED STATES TREAS NTS /30/2013 TSY TSY JT8 25,000,000 25,648, , TSY UNITED STATES TREAS NTS /30/2013 TSY TSY JT8 25,000,000 25,648, , AGY FEDERAL NATL MTG ASSN /11/2013 AGY AGY 31398AUJ9 20,000,000 20,909, , AGY FEDERAL NATL MTG ASSN /11/2013 AGY AGY 31398AUJ9 20,000,000 20,909, ,

18 Page 18 Mood S&P Sect Issuer Coupon Maturity Mdys S&P y S-T Qual S-T CUSIP Par Value MV w /o Accr Accr Income Mat AGY FEDERAL HOME LOAN BANKS /13/2013 AGY AGY 3133XSP93 30,000,000 31,484, , AGY FEDERAL HOME LOAN BANKS /13/2013 AGY AGY 3133XSP93 25,000,000 26,237, , IND OCCIDENTAL PETE CORP DEL /13/2013 A2 A P-2 A CA1 10,000,000 10,024, , IND DISNEY WALT CO /15/2013 A2 A P-2 A AW6 10,000,000 10,903, , AGY FEDERAL HOME LN MTG CORP /17/2013 AGY AGY 3128X8PV8 50,000,000 50,810, , AGY FEDERAL HOME LN MTG CORP /17/2013 AGY AGY 3128X8PV8 25,000,000 25,405, , AGY FEDERAL HOME LOAN BANKS /30/2013 AGY AGY 3133XXLN5 25,000,000 25,033, , AGY FEDERAL NATL MTG ASSN /27/2014 AGY AGY 3135G0AF0 25,000,000 24,916, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY JZ4 5,000,000 5,090, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY JZ4 50,000,000 50,906, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY JZ4 15,000,000 15,271, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY JZ4 50,000,000 50,906, , AGY FEDERAL HOME LN MTG CORP /25/2014 AGY AGY 3137EACR8 30,000,000 30,042, , IND CHEVRON CORP /03/2014 AA1 AA AH0 10,000,000 10,699, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY KJ8 10,000,000 10,165, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY KJ8 40,000,000 40,662, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY KJ8 50,000,000 50,827, , IND DELL INC /15/2014 A2 A RAG6 6,000,000 6,603, , AGY FEDERAL HOME LN MTG CORP /23/2014 AGY AGY 3137EACB3 50,000,000 51,660, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY KN9 25,000,000 25,494, , AGY FEDERAL NATL MTG ASSN /15/2014 AGY AGY 31398AXJ6 30,000,000 30,995, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY KV1 10,000,000 10,305, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY KV1 25,000,000 25,763, , FIN SCHWAB CHARLES CORP /01/2014 A2 A AC9 5,000,000 5,453, , FIN SCHWAB CHARLES CORP /01/2014 A2 A AC9 5,000,000 5,453, , FIN SCHWAB CHARLES CORP /01/2014 A2 A AC9 5,000,000 5,453, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY KY5 10,000,000 10,421, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY KY5 30,000,000 31,263, ,

19 Page 19 Mood S&P Sect Issuer Coupon Maturity Mdys S&P y S-T Qual S-T CUSIP Par Value MV w /o Accr Accr Income Mat TSY UNITED STATES TREAS NTS /31/2014 TSY TSY LC2 25,000,000 26,048, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY LK4 35,000,000 36,126, TSY UNITED STATES TREAS NTS /31/2014 TSY TSY LK4 40,000,000 41,287, TSY UNITED STATES TREAS NTS /31/2014 TSY TSY LK4 10,000,000 10,321, AGY FEDERAL NATL MTG ASSN /16/2014 AGY AGY 31398AYY2 40,000,000 41,839, , AGY FEDERAL FARM CR BANKS /22/2014 AGY AGY 31331GL80 40,000,000 41,856, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY LQ1 25,000,000 25,797, , AGY FEDERAL NATL MTG ASSN /15/2014 AGY AGY 31359MWJ8 40,000,000 44,105, , FIN US BK NATL ASSN MINNEAPOLISM /30/2014 AA3 A+ P-1 A HKP7 10,000,000 10,895, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY LS7 10,000,000 10,309, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY LZ1 30,000,000 30,635, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY LZ1 30,000,000 30,635, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY LZ1 25,000,000 25,529, , TSY UNITED STATES TREAS NTS /30/2014 TSY TSY LZ1 40,000,000 40,846, , FIN BLACKROCK INC /10/2014 A1 A XAD3 14,550,000 15,275, , FIN BLACKROCK INC /10/2014 A1 A XAD3 10,000,000 10,498, , AGY FEDERAL HOME LOAN BANKS /12/2014 AGY AGY 3133XVNU1 21,770,000 22,486, , AGY FEDERAL HOME LOAN BANKS /12/2014 AGY AGY 3133XVNU1 9,355,000 9,662, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY ME7 25,000,000 25,970, , TSY UNITED STATES TREAS NTS /31/2014 TSY TSY ME7 35,000,000 36,359, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY MH0 20,000,000 20,474, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY MH0 5,000,000 5,118, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY MH0 40,000,000 40,949, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY MH0 15,000,000 15,356, ,

20 Page 20 Mood S&P Sect Issuer Coupon Maturity Mdys S&P y S-T Qual S-T CUSIP Par Value MV w /o Accr Accr Income Mat TSY UNITED STATES TREAS NTS /31/2015 TSY TSY MH0 50,000,000 51,187, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY MH0 15,000,000 15,356, , FIN WELLS FARGO BK NATL ASSN /09/2015 AA3 AA VAA6 15,000,000 15,872, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY MZ0 10,000,000 10,306, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY MZ0 25,000,000 25,765, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY MZ0 10,000,000 10,306, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY MZ0 50,000,000 51,531, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY NF3 10,000,000 10,141, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY NF3 25,000,000 25,353, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY NF3 10,000,000 10,141, , IND TOYOTA MTR CRD CORP MTN BE /17/2015 AA2 AA P-1 A P4B9 15,000,000 15,454, , FIN GENERAL ELEC CAP CORP MTN BE /29/2015 AA2 AA+ P-1 A G4L5 10,000,000 10,274, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY NL0 20,000,000 20,043, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY NL0 15,000,000 15,032, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY NL0 50,000,000 50,109, , IND WAL MART STORES INC /08/2015 AA2 AA P-1 A CT8 10,000,000 9,986, , FIN U S BANCORP MTNS BK ENT /27/2015 AA3 A+ P-1 A HGX2 3,000,000 2,970, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY NP1 20,000,000 19,903, , IND AT&T INC /15/2015 A2 A RAV4 5,000,000 4,950, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY NV8 50,000,000 48,570, IND DELL INC /10/2015 A2 A RAL5 10,000,000 9,818, , IND HEWLETT PACKARD CO /13/2015 A2 A BC6 15,000,000 14,728, , IND AMER HONDA FIN CORP MTN 144A /21/2015 A1 A+ A QG64 3,000,000 2,958, , IND MICROSOFT CORP /25/2015 AAA AAA AG9 15,000,000 14,557, , IND EBAY INC /15/2015 A2 A AB9 5,000,000 4,787, , 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 9,554, , FIN GENERAL ELEC CAP CORP MTN BE /09/2015 AA2 AA+ P-1 A G4T8 15,000,000 14,532, ,

21 Page 21 Mood S&P Sect Issuer Coupon Maturity Mdys S&P y S-T Qual S-T CUSIP Par Value MV w /o Accr Accr Income Mat IND COCA COLA CO /15/2015 AA3 A+ P-1 A AP5 5,000,000 4,781, , IND PROCTER & GAMBLE CO /15/2015 AA3 AA- P-1 N.P DS5 5,000,000 4,890, , AGY FEDERAL FARM CR BKS CONS /16/2015 AGY AGY 31331J2S1 10,000,000 9,658, , AGY FEDERAL FARM CR BKS CONS /16/2015 AGY AGY 31331J2S1 7,000,000 6,760, , TSY UNITED STATES TREAS NTS /30/2015 TSY TSY PJ3 15,000,000 14,554, , AGY FEDERAL HOME LOAN BANKS /11/2015 AGY AGY C28 30,000,000 30,116, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY PM6 50,000,000 50,136, , TSY UNITED STATES TREAS NTS /31/2015 TSY TSY PM6 40,000,000 40,109, , IND TOYOTA MTR CRD CORP MTN BE /11/2016 AA2 AA P-1 A P4R4 15,000,000 15,139, , TSY UNITED STATES TREAS NTS /31/2016 TSY TSY PS3 37,000,000 36,823, , IND MICROSOFT CORP /08/2016 AAA AAA AK0 5,000,000 5,060, , AGY FEDERAL HOME LOAN BANKS /26/2016 AGY AGY Q56 25,000,000 25,283, , AGY FEDERAL HOME LOAN BANKS /07/2016 AGY AGY V92 50,000,000 49,999, AGY AGY P-1 A-1 4,434,285,861 4,560,610,371 27,002, REMAINDER OF THIS PAGE INTENTIONALLY LEFT BLANK

22 Page 22 Portfolio: Wastew ater Pricing Date: 02/28/11 Base Currency: USD Sect Issuer Coupon Maturity Mdys S&P Mood y S-T S&P Qual S-T CUSIP Par Value MV w /o Accr Accr Income MM BANK OF NY MONEY MARKET SWEEP 9,944 9, AGY FHLB DISC NT /01/2011 AGY AGY CM9 16,025,000 16,024, MM TOYOTA MOTOR CREDIT /01/2011 P-1 A HQ15 11,007,000 11,006, 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 9,002, Yld Mat 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 7,005, AGY FHLMC DISC NT /30/2011 AGY AGY DS9 6,167,000 6,166, 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, AGY FHLB DISC NT /05/2011 AGY AGY DY2 5,298,000 5,297, MM GENERAL ELEC CAPT SE /05/2011 P-1 A SR54 6,505,000 6,503, MM JOHNSON & JOHNSON /05/2011 P-1 A GR50 7,684,000 7,682, MM NESTLE CAP CORP /05/2011 P-1 A HR53 2,601,000 2,600, AGY FHLB DISC NT /12/2011 AGY AGY EF2 8,003,000 8,002, 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 6,232, AGY FEDERAL HOME LOAN BANKS /20/2011 AGY AGY GH3 7,000,000 7,000, , AGY FHLB DISC NT /26/2011 AGY AGY EV7 4,318,000 4,317, AGY FHLMC DISC NT /26/2011 AGY AGY EV1 3,526,000 3,525, MM NESTLE CAP CORP /02/2011 P-1 A HS29 1,501,000 1,500, AGY FHLMC DISC NT /03/2011 AGY AGY FC2 6,007,000 6,005, AGY FHLMC DISC NT /03/2011 AGY AGY FC2 7,003,000 7,001,

23 Page 23 Moody S&P Sect Issuer Coupon Maturity Mdys S&P S-T Qual S-T CUSIP Par Value MV w /o Accr Income Mat AGY FNMA DISC NT /03/2011 AGY AGY FC4 8,504,000 8,502, AGY FNMA DISC NT /10/2011 AGY AGY FK6 3,001,000 3,000, AGY FNMA DISC NT /10/2011 AGY AGY FK6 5,002,000 5,001, AGY FNMA DISC NT /17/2011 AGY AGY FS9 8,004,000 8,002, AGY FHLMC DISC NT /19/2011 AGY AGY FU2 7,009,000 7,007, AGY FHLMC DISC NT /24/2011 AGY AGY FZ1 2,001,000 2,000, AGY FNMA DISC NT /24/2011 AGY AGY FZ3 2,704,000 2,703, AGY FNMA DISC NT /24/2011 AGY AGY FZ3 2,001,000 2,000, TSY UNITED STATES TREAS BILL /26/2011 TSY TSY S9 7,086,000 7,083, MM COCA-COLA COMPANY /01/2011 P-1 A BT17 8,468,000 8,459, AGY FNMA DISC NT /01/2011 AGY AGY GH2 11,206,000 11,202, AGY FNMA DISC NT /01/2011 AGY AGY GH2 2,778,000 2,777, AGY FNMA DISC NT /01/2011 AGY AGY GH2 7,339,000 7,336, AGY FNMA DISC NT /01/2011 AGY AGY GH2 7,865,000 7,862, AGY FNMA DISC NT /01/2011 AGY AGY GH2 7,006,000 7,003, AGY FNMA DISC NT /01/2011 AGY AGY GH2 5,004,000 5,002, MM GENERAL ELEC CAPT CO /01/2011 P-1 A JT11 9,607,000 9,599, MM STANDARD CHARTERED BNK /01/2011 N/A P UT11 14,515,000 14,499, AGY FHLMC DISC NT /21/2011 AGY AGY HD8 7,010,000 7,007, AGY FNMA DISC NT /19/2011 AGY AGY JH9 7,012,000 7,008, AGY FNMA DISC NT /16/2011 AGY AGY KM6 5,611,000 5,607, TSY UNITED STATES TREAS BILL /22/2011 TSY TSY F7 2,003,000 2,001, AGY FNMA DISC NT /11/2011 AGY AGY MV4 2,005,000 2,002, TSY UNITED STATES TREAS NTS /31/2011 TSY TSY LT5 17,000 17, TSY UNITED STATES TREAS NTS /31/2011 TSY TSY LT5 1,975,000 1,985, , TSY UNITED STATES TREAS NTS /30/2011 TSY TSY MM9 1,983,000 1,990, , TSY UNITED STATES TREAS NTS /30/2011 TSY TSY MM9 25,000 25, TSY UNITED STATES TREAS BILL /15/2011 TSY TSY T7 19,000 18,

24 Page 24 Moody S&P Sect Issuer Coupon Maturity Mdys S&P S-T Qual S-T CUSIP Par Value MV w /o Accr Income Mat TSY UNITED STATES TREAS BILL /15/2011 TSY TSY T7 15,000 14, AGY FEDERAL HOME LOAN BANKS /28/2011 AGY AGY 3133XVRS2 1,975,000 1,985, , TSY UNITED STATES TREAS NTS /31/2012 TSY TSY MJ6 1,981,000 1,991, , 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 1,992, , 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 1,985, , AGY FEDERAL HOME LOAN BANKS /20/2012 AGY AGY 3133XTS49 1,940,000 1,974, , AGY FEDERAL HOME LN MTG CORP /27/2012 AGY AGY 3137EACK3 1,965,000 1,981, , 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 1,992, , AGY FEDERAL NATL MTG ASSN /24/2012 AGY AGY 31398A3N0 1,990,000 1,992, , AGY FEDERAL NATL MTG ASSN /30/2012 AGY AGY 31398A4T6 2,000,000 1,995, , AGY FEDERAL HOME LN MTG CORP /30/2012 AGY AGY 3137EACP2 2,005,000 1,994, , TSY UNITED STATES TREAS NTS /15/2012 TSY TSY MB3 1,961,000 1,979, , AGY FEDERAL HOME LN BK CHICAGO /16/2013 AGY AGY 3133XW7L7 2,340,000 2,369, , AGY FEDERAL HOME LN BKS /08/2013 AGY AGY 3133XES91 3,730,000 4,045, , AGY FEDERAL NATL MTG ASSN /15/2013 AGY AGY 31359MRG0 13,074,000 14,020, , AGY FEDERAL HOME LOAN BANKS /14/2013 AGY AGY 3133XRFL9 24,700,000 26,546, , AGY FEDERAL HOME LN BKS /16/2013 AGY AGY 3133X1BV8 5,000,000 5,425, , AGY FEDERAL HOME LN MTG CORP /27/2013 AGY AGY 3137EABS7 8,775,000 9,445, , AGY FEDERAL FARM CR BANKS /07/2013 AGY AGY 31331GCS6 20,000,000 21,398, , AGY FEDERAL HOME LOAN BANKS /18/2013 AGY AGY 3133XSAE8 20,000,000 21,268, , AGY FEDERAL NATL MTG ASSN /13/2014 AGY AGY 31398AVZ2 2,593,000 2,700, , AGY FEDERAL FARM CR BANKS /26/2014 AGY AGY 31331GRH4 12,065,000 12,511, , AGY FEDERAL HOME LN MTG CORP /27/2019 AGY AGY 3137EACA5 155, , , TSY UNITED STATES TREAS NTS /15/2020 TSY TSY NT3 12,207,000 11,474, , AGY AGY P-1 A ,101, ,907, ,641,

25 Page 25 Portfolio: Harbor Emergency Fund Pricing Date: 02/28/11 Base Currency: USD Sect Issuer Coupon Maturity Mdys S&P Mood y S-T S&P Qual S-T CUSIP Par Value MV w /o Accr Accr Income MM BANK OF NY MONEY MARKET SWEEP /31/2011 AAA AAA CM AGY FHLMC DISC NT /08/2011 AGY AGY EB5 37,310,000 37,307, AGY AGY N/A NR 37,310,700 37,307, Yld Mat Portfolio: Batiquitos Long Term Inv FD Pricing Date: 02/28/11 Base Currency: USD Sect Issuer Coupon Maturity Mdys S&P Mood y S-T S&P Qual S-T CUSIP Par Value MV w /o Accr Accr Income MM BANK OF NY MONEY MARKET SWEEP /31/2011 AAA AAA CM TSY UNITED STATES TREAS BILL /21/2011 TSY TSY A7 5,990,000 5,986, TSY TSY N/A NR 5,990,271 5,986, Yld Mat Portfolio: Habor Restoration 70L Pricing Date: 02/28/11 Base Currency: USD Sect Issuer Coupon Maturity Mdys S&P Mood y S-T S&P Qual S-T CUSIP Par Value MV w /o Accr Accr Income MM BANK OF NY MONEY MARKET SWEEP /31/2011 AAA AAA CM AGY FHLMC DISC NT /07/2011 AGY AGY CT8 557, , AGY AGY N/A NR 557, , Yld Mat

26 Page 26 Portfolio: Micla-Lease Rev 2006A-Police Pricing Date: 02/28/11 Base Currency: USD Sect Issuer Coupon Maturity Mdys S&P Mood y S-T S&P Qual S-T CUSIP Par Value MV w /o Accr Accr Income TSY UNITED STATES TREAS BILL /10/2011 TSY TSY V99 25,000,000 24,999, MM BANK OF NY MONEY MARKET SWEEP /31/2011 AAA AAA CM9 14,670,959 14,670, AGY AGY N/A NR 39,670,959 39,670, Yld Mat Portfolio: M9J-Water Sys Rev 2009 Series C Pricing Date: 02/28/11 Base Currency: USD Sect Issuer Coupon Maturity Mdys S&P Mood y S-T S&P Qual S-T CUSIP Par Value MV w /o Accr Accr Income MM BANK OF NY MONEY MARKET SWEEP /31/2011 AAA AAA CM9 1,561 1, TSY UNITED STATES TREAS BILL /31/2011 TSY TSY J9 3,451,000 3,450, TSY TSY N/A NR 3,452,561 3,452, Yld Mat

27 Page 27 Portfolio: J5C-Pow er Sys Rev Bond 2010A Pricing Date: 02/28/11 Base Currency: USD Sect Issuer Coupon Maturity Mdys S&P Mood y S-T S&P Qual S-T CUSIP Par Value MV w /o Accr Accr Income TSY UNITED STATES TREAS BILL /17/2011 TSY TSY G5 50,000,000 49,997, TSY UNITED STATES TREAS BILL /17/2011 TSY TSY G5 9,030,000 9,029, TSY UNITED STATES TREAS BILL /17/2011 TSY TSY G5 50,000,000 49,997, TSY UNITED STATES TREAS BILL /17/2011 TSY TSY G5 50,000,000 49,997, Yld Mat TSY UNITED STATES TREAS BILL /17/2011 TSY TSY G5 14,885,000 14,884, TSY UNITED STATES TREAS BILL /17/2011 TSY TSY G5 50,000,000 49,997, CASH BANK OF NY MONEY MARKET SWEEP /31/2011 AAA AAA CM9 1,906 1, TSY UNITED STATES TREAS BILL /28/2011 TSY TSY N0 9,051,000 9,049, TSY UNITED STATES TREAS BILL /28/2011 TSY TSY N0 50,000,000 49,990, TSY TSY N/A NR 282,967, ,945, Portfolio: J5L- Pow er 2010C Cost of Issuance Pricing Date: 02/28/11 Base Currency: USD Sect Issuer Coupon Maturity Mdys S&P Mood y S-T S&P Qual S-T CUSIP Par Value MV w /o Accr Accr Income MM BANK OF NY MONEY MARKET SWEEP /31/2011 AAA AAA CM TSY UNITED STATES TREAS BILL /31/2011 TSY TSY J9 363, , TSY TSY N/A NR 363, , Yld Mat