CONTRA COSTA COUNTY TREASURER’S QUARTERLY …

CONTRA COSTA COUNTY

TREASURERrsquoS QUARTERLY INVESTMENT REPORT

AS OF SEPTEMBER 30 2015

TABLE OF CONTENTS

Page

I Executive Summary 1

II Contra Costa County Investment Pool Summary 2

III Appendix

A Investment Portfolio DetailmdashManaged by Treasurerrsquos Office

1 Portfolio Summary 5

2 Portfolio Detail 11

3 Market Valuation Sources 34

B Investment Portfolio Detail ndash Managed by Outside Contracted Parties

1 State of California Local Agency Investment Funda Summary 35

2 Asset Management Fundsa Wells Capital Management 36 b CalTRUST 70

3 East Bay Regional Communications System Authority(EBRCS)a Summary 75

EXECUTIVE SUMMARY

The Treasurers investment portfolio is in compliance with Government Code53600 et seq

The Treasurers investment portfolio is in compliance with the Treasurerscurrent investment policy

The Treasurerrsquos investment portfolio has no securities lending reverserepurchase agreements or derivatives

As of 93015 the fair value of the Treasurerrsquos investment portfolio was10008 of the cost More than 74 percent of the portfolio or over $176 billionwill mature in less than a year Historical activities combined with future cashflow projections indicate that the County is able to meet its cash flow needs forthe next six months

Treasurerrsquos Investment Portfolio Characteristics

Par $236548791215

Cost $236765650022

Market Value $236945917911

Weighted Yield to Maturity 055

Weighted Average Days to Maturity 244 days

Weighted Duration 067 year

PERCENT OF

TYPE PAR VALUE COST FAIR VALUE TOTAL COST

A Investments Managed by Treasurers Office

1 US Treasuries (STRIPS Bills Notes) $2916000000 $2925760026 $2932452140 124

2 US Agencies

Federal Home Loan Banks 22350200000 22418446327 22452785356 947

Federal National Mortgage Association 10231600000 10318015667 10304471378 436

Federal Farm Credit Banks 12421100000 12422807324 12456098131 525

Federal Home Loan Mortgage Corporation 8214200000 8232938669 8258308196 348

Municipal Bonds 722500000 745685162 1 745685162 1 031

Subtotal 53939600000 54137893149 54217348223 2287

3 Money Market Instruments

Commercial Paper 61284800000 61192922725 61261659931 2585

Negotiable Certificates of Deposit 49573200000 49572730020 49594995984 2094

Medium Term Certificates of Deposit 202500000 202500000 201230550 009

Money Market Accounts 56531832 56531832 56531832 002

Time Deposit 333577 333577 333577 000

Subtotal 111117365409 111025018154 111114751874 4689

4 Asset Backed SecuritiesMortgage Backed Securities 459500000 460214869 460214869 019

5 Corporate Notes 16100700000 16172612242 16174201321 683

TOTAL (Section A) 184533165409 184721498440 184898968427 7802

B Investments Managed by Outside Contractors

1 Local Agency Investment Fund 19550500378 19550500378 19562126005 2 826

2 Other

a EBRCS Bond 223275690 223275690 223275690 009

b Wells Capital Management 4418795242 4447321018 4438493293 188

c CalTRUST (Short-Term Fund) 14858580969 14858580969 14858580969 628

Subtotal 19500651901 19529177677 19520349952 825

TOTAL (Section B) 39051152279 39079678055 39082475957 1651

C Cash 12964473527 12964473527 12964473527 548

3GRAND TOTAL (FOR A B amp C) $236548791215 $236765650022 $236945917911 10000

Notes

1 Fair Value equals Cost less purchase interest

2 Estimated Fair Value

3 Does not include the Futuris Public Entity Trust of the Contra Costa Community College District Retirement Board of Authority

CONTRA COSTA COUNTY INVESTMENT POOL As of September 30 2015

Page 2

CONTRA COSTA COUNTYINVESTMENT POOL

AT A GLANCEAS OF SEPTEMBER 30 2015

NOTES TO INVESTMENT PORTFOLIO SUMMARY AND AT A GLANCE AS OF SEPTEMBER 30 2015

1 All report information is unaudited but due diligence was utilized in its preparation2 There may be slight differences between the portfolio summary page and the attached exhibits and statements for investments managed by outside contractors or trustees

The variance is due to the timing difference in recording transactions associated with outside contracted parties during interim periods and later transmitted to the appropriate county agency andor the Treasurerrsquos Office In general the Treasurerrsquos records reflect booked costs at the beginning of a period

3 All securities and amounts included in the portfolio are denominated in United States Dollars4 The Contra Costa County investment portfolio maintains Standard amp Poors highest credit quality rating of AAAf and lowest volatility of S1+ The portfolio consists of a large

portion of short-term investments with credit rating of A-1P-1 or better The majority of the long-term investments in the portfolio are rated AA or better5 In accordance with Contra Costa Countys Investment Policy the Treasurers Office has constructed a portfolio that safeguards the principal meets the liquidity needs

and achieves a return As a result more than 74 of the portfolio will mature in less than a year with a weighted average maturity of 244 days

US Treasuries124

USAgencies-Federal State and

Local2286

Money Market4689

ABSMBS019

Corporate Notes683

Outside Contractors-LAIF

826

Outside Contractors-Other

825

Cash548

PORTFOLIO BREAKDOWNBY INVESTMENT

7453

1290950

285 022$0

$200000000

$400000000

$600000000

$800000000

$1000000000

$1200000000

$1400000000

$1600000000

$1800000000

$2000000000

1 yr amp less 1 to 2 yrs 2 to 3 yrs 3 to 4 yrs 4+ yrs

MATURITY DISTRIBUTION

AAA063

AA+2579

AA1629

AA‐199A+

120A103

A‐040

A‐1+403

A‐14284

NR (CASH)548

NR (Misc)031

PORTFOLIO CREDIT QUALITY

05480586

0330

0575

0520

0350

000

010

020

030

040

050

060

070

Total Treasurer LAIF Wells CalTRUST Cash

YIELD TO MATURITY BY PORTFOLIO

Note Total is 100 of the portfolio Treasurer‐78 LAIF‐8 Wells Cap‐2 CalTRUST‐6 and Cash‐6

000

010

020

030

040

050

060

1212 313 613 913 1213 314 614 914 1214 315 615 915

QUARTERLY WEIGHTED YIELD TO MATURITY

YTM

CountyampAgencies4061

School Dist3833

Community College Dist

1486

Voluntary Participants

620

POOL BALANCE BY PARTICIPANTS

Note More than 53 of the School Dist funds from the bond proceeds

Page 3

NoteAll data provided by Bloomberg

MAJOR MARKET AND ECONOMIC DATA


0

1

2

3

4

5

6

7

0996 0999 0902 0905 0908 0911 0914

Percentage

TREASURY YIELDS AND FED TARGET RATE

US 2‐YR TREASURY YIELD US 5‐YR TREASURY YIELD FEDERAL FUND TARGET RATE

‐10

‐8

‐6

‐4

‐2

0

2

4

6

8

10

123115123112123109123106123103123100123197

Percentage

GROSS DOMESTIC PRODUCT

GDP QoQ Change

‐3

‐2

‐1

0

1

2

3

4

5

6

123115083113043011123108083106043004123101083199043097

Percentage

CONSUMER PRICE INDEX

CPI YoY Change Core CPI YoY Change

0

2

4

6

8

10

12

Sep‐96 Sep‐98 Sep‐00 Sep‐02 Sep‐04 Sep‐06 Sep‐08 Sep‐10 Sep‐12 Sep‐14

Percentage

UNEMPLOYMENT RATE

Unemployment Rate

Page 4

SECTION III

APPENDIX

A INVESTMENT PORTFOLIO DETAIL - MANAGED BY TREASURERrsquoS OFFICE

Inventory by Market Value

Contra Costa County

As Of Date 09302015

Run 10202015 012031 PMDate Basis Settlement

Reporting Currency Local

AvantGard APS2 Page 1 of 6

Subtotal 983462 8189300000 8233436042 9158886 30409599

862858 8208097931 100538948 -5046210

Inv Type 29 FHLMC NOTES

Subtotal 240000 24900000 24872154 28884 2532

240573 24840738 99888169 000

Inv Type 28 FHLMC DISCOUNT NOTES

795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690

Inv Type 27 FEDERAL FARM CREDIT BANKS

Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000

Inv Type 26 AGENCY ABS FXD-M 30360

Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796

Inv Type 23 FEDERAL NATIONAL MORTGAGE ASSO

Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890

Inv Type 22 FEDERAL HOME LOAN BANKS

Subtotal 1021082 2916000000 2932452140 6759174 8684053

911013 2925760026 100564202 -846221

Inv Type 12 TREASURY NOTES

Inv Description CUSIP Purchase Coupon Current Par Share Market Value Curr Accr Int Unrealized Gain

No Maturity YTM TR Current Book Market Price Price Source Unrealized Loss

Page 5


Contra Costa County

As Of Date 09302015




Subtotal 328043 61284800000 61261659931 56430381 12307195

328594 61192922725 99962242 -370

Inv Type 71 COMMERCIAL PAPER DISCOUNT

Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000

Inv Type 53 CREDIT ABS FXD-SA 30360

Subtotal 1042646 317000000 316972369 142084 000

1046859 316972369 99991284 000

Inv Type 50 AUTO ABS FXD-M 30360

Subtotal 148207 599700000 599636986 443798 78864

148407 599114324 99989492 000

Inv Type 43 FHLB DISCOUNT NOTES

Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000

Inv Type 42 FARM CREDIT DISCOUNT NOTES

Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000

Inv Type 41 FNMA DISCOUNT NOTES

Subtotal 2133314 722500000 745685162 4095807 000

1186443 745685162 103209019 000

Inv Type 31 MUNICIPAL BONDS



Page 6


Contra Costa County

As Of Date 09302015




Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000

Inv Type 99 MONEY MARKET ACCOUNTS

Subtotal 462200 245000000 244328496 77076 000

510490 244852020 99725917 -523524

Inv Type 80 YCD NCD QTR FLTR

Subtotal 1185757 415000000 414678000 1184241 000

1212249 414678000 99922410 000

Inv Type 79 YCDNCD 30360

1256393 15127367242 100488445 -34126750

Subtotal 1504454 15050700000 15124214321 53058340 41320219

Inv Type 75 CORPORATE NOTES

Subtotal 900000 202500000 201230550 10125 000

900000 202500000 99373111 -1269450

Inv Type 74 CERT OF DEPOSIT MEDIUM TERM

Subtotal 481820 1050000000 1049987000 1193357 4755000

1382208 1045245000 99998762 -13000

Inv Type 73 CORP NOTE FLTG RT ACT- 360

Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000

Inv Type 72 NEGOTIABLE CERT OF DEPOSIT



Page 7


Contra Costa County

As Of Date 09302015




600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000

Inv Type 1000 TD WITH CALC CODE OF CSC-00

Grand Total Count 367 643347 184533165409 184898968427 276750739 266175343

585858 184721498440 100198232 -130630560



Page 8


Contra Costa County

As Of Date 09302015




Money Market Accounts 56532 56532 56532 10000 000 000

TIME DEPOSIT 334 334 334 10000 000 060

MBSABS 459500 460215 460215 10000 000 105

CORPORATE NOTES 16100700 16172612 16174201 10001 11935 126

NCDYCD 49775700 49775230 49796227 10004 20997 037

COMMERCIAL PAPER 61284800 61192923 61261660 10011 12307 033

MUNICIPALS 722500 745685 745685 10000 000 119

US AGENCIES 53217100 53392208 53471663 10015 82468 085

US TREASURIES 2916000 2925760 2932452 10023 7838 091

Totals(000s) 184533165 184721498 184898968 10010 135545 059

Assets (000s) Current Par Current Book Market MKTBook Un GainLoss Yield

Asset Allocation

Page 9


Contra Costa County

As Of Date 09302015




Page 10


Contra Costa County

As Of Date 09302015



AvantGard APS2 Page 1

09302019 1403864 36542813 102120000 SUNGARD 000

82460 CCCSIG GOV US TREAS 912828F39 03272015 1750000 36000000 36763200 1721 220387

03312018 1076208 346541016 99857000 SUNGARD 000

82512 RM GOV US TREASURY 912828ST8 04152015 1250000 500000000 502680000 2615489 492500

03312017 622165 362158668 100729000 SUNGARD -37913

82461 CCCSIG GOV US TREAS 912828SM3 03272015 1000000 359500000 362120755 9822 000

07312018 916641 8619531 101340000 SUNGARD -5631

82377 CCCCD GOV US TREASU 912828VQ0 02042015 1375000 8500000 8613900 19690 000

82403 CCCSIG GOV US TREAS 912828UU2 02272015 750000 350000000 349499500 7172 2958484

02282019 1336788 12518555 101027000 SUNGARD 000

82402 CCCCD GOV US TREASU 912828SH4 02272015 1375000 12500000 12628375 14638 109820


04302019 1138894 502187500 100536000 SUNGARD 000

82056 CCCCD GOV US TREAS 912828VQ0 07312014 1375000 38500000 39015900 89189 622677

10312016 545942 183969297 100641000 SUNGARD -802677

07312018 1446611 38393223 101340000 SUNGARD 000

08312017 1013383 55069273 99922000 SUNGARD 000

82112 CCCSIG GOV US TREAS 912828TM2 09042014 625000 55500000 55456710 29541 387437

82004 CCCSIG GOV US TREAS 912828RM4 06052014 1000000 182000000 183166620 761630 000

81994 CCCCD GOV US TREASU 912828PK0 05092014 2250000 20500000 21173220 155010 79251

06302017 928142 12941602 100275000 SUNGARD 000

11302017 1165963 21093969 103284000 SUNGARD 000

05312017 818703 36357472 100074000 SUNGARD 000

82003 CCCSIG GOV US TREAS 912828SY7 06052014 625000 36500000 36527010 76665 169538

11302017 874222 45733582 99818000 SUNGARD 000

82238 CCCSIG GOV US TREAS 912828UA6 12032014 625000 46000000 45916280 96619 182698

82247 CCCSIG GOV US TREAS 912828SC5 12102014 875000 27500000 27642450 40539 64667

82269 CCCCSD GOV US TREAS 912828TB6 12102014 750000 13000000 13035750 24640 94148

01312017 734933 27577783 100518000 SUNGARD 000

06302017 788660 285758043 100275000 SUNGARD 000

03312019 1589638 7009420 101833000 SUNGARD 000

82136 CCCCD GOV US TREAS 912828C65 10062014 1625000 7000000 7128310 310 118890

82181 CCCCD GOV US TREASU 912828KQ2 11032014 3125000 9500000 10174405 112135 1983

82182 CCCSIG GOV US TREAS 912828TB6 11032014 750000 286000000 286786500 542079 1028457

05152019 1503637 10172422 107099000 SUNGARD 000




Page 11


Contra Costa County

As Of Date 09302015




06102016 475000 249504983 99998000 SUNGARD 000

82012 RM GOV FEDERAL HOME 3130A2C61 06132014 375000 250000000 249995000 289062 490017

82038 RM GOV FHLB NOTES 313379DT3 07152014 1250000 620500000 624489815 2434601 7278465


06082018 1390090 617211350 100643000 SUNGARD 000

80907 WT GOV FHLB NOTES 313380EC7 10102012 750000 17000000 17003910 8147 36720

06102016 745089 299310440 101181000 SUNGARD -11956400

09082017 790076 16967190 100023000 SUNGARD 000

06192017 850065 288880000 100628000 SUNGARD 000

82000 RM GOV FHLB NOTES 313379VE6 06022014 1010000 287500000 289305500 822729 425500

82189 RM GOV FHLB NOTES 3130A3EW0 11072014 500000 250000000 250185000 364582 812500

82122 GOV FHLB NOTES 3130A33J1 09192014 1200000 500000000 504515000 200000 4515000

06082018 1410094 298200000 100643000 SUNGARD 000

09192017 1200000 500000000 100903000 SUNGARD 000

10142016 572077 1001020000 100180000 SUNGARD 000

82187 GOV FHLB NOTES 3130A3CE2 11052014 625000 1000000000 1001800000 2899306 780000

80662 RM GOV FHLB NOTES 313373SZ6 06202012 2125000 284000000 287354040 1860792 000


06102016 760030 199664780 101181000 SUNGARD -7926785


07312018 1111402 97644950 103810000 SUNGARD 000

82670 CCCSIG GOV US TREAS 912828K25 08212015 750000 400000000 399344000 1385246 1140875

04152018 921899 399252305 99836000 SUNGARD 000

82597 CCCSIG GOV US TREAS 912828QY9 07062015 2250000 94500000 98100450 358227 455500

03312018 874966 51323255 99857000 SUNGARD 000

82577 CCCCD GOV US TREAS 912828ND8 05292015 3500000 24000000 26310240 317283 27427

05152020 1503393 26314770 109626000 SUNGARD 000

03312018 860670 169535156 99857000 SUNGARD 000

82711 CCCCD GOV US TREASU 912828SM3 09292015 1000000 168000000 169224720 4590 82845

03312017 545225 169141875 100729000 SUNGARD 000

82679 CCCCD GOV US TREASU 912828VJ6 09032015 1875000 19500000 19960590 92400 121625

06302020 1499897 19903546 102362000 SUNGARD 000

82710 CCCCD GOV US TREASU 912828UU2 09292015 750000 170000000 169756900 3483 221744

911013 2925760026 100564202 -846221

Subtotal 1021082 2916000000 2932452140 6759174 8684053



Page 12


Contra Costa County

As Of Date 09302015




82400 RM GOV FHLB NOTES 3133782M2 02252015 1500000 500000000 505180000 479167 3520000

09282016 615106 196637520 100076000 SUNGARD 000

03082019 1415035 501660000 101036000 SUNGARD 000

09282016 530086 283895537 100076000 SUNGARD 000

82405 CCCSIG GOV FHLB NOT 3130A2T97 03032015 500000 284000000 284215840 11833 320303


82322 CCCCD GOV FHLB NOTE 313371PV2 01212015 1625000 1927500000 1952538225 9744584 000

12092016 571735 1965471750 101299000 SUNGARD -12933525

11232016 556000 209262834 100148000 SUNGARD 000

82324 CCCSIG GOV FHLB NOT 3130A3J70 01222015 625000 209000000 209309320 464443 46486

03102017 739127 300801000 100273000 SUNGARD 000

04252018 1155323 999070000 100679000 SUNGARD 000

82408 GOV FHLB NOTES 3130A4GJ5 03042015 1125000 1000000000 1006790000 4875000 7720000

82419 GOV FHLB NOTES 3130A4K27 03092015 720000 1000000000 1001840000 500000 3470000

82437 RM GOV FHLB NOTES 3133782N0 03162015 875000 300000000 300819000 153125 18000

03062017 802655 998370000 100184000 SUNGARD 000

82256 RM GOV FHLB NOTES 3130A3Q64 12122014 700000 350000000 350623000 741806 416500

12122016 720127 499305000 100148000 SUNGARD 000

12122016 670252 350206500 100178000 SUNGARD 000

12122016 770206 499315000 100178000 SUNGARD 000

82271 GOV FHLB NOTES 3130A3Q64 12232014 700000 500000000 500890000 1059722 1575000

12162016 620043 249372500 100074000 SUNGARD 000

09282016 470153 1147573500 100076000 SUNGARD 000

82196 RM GOV FHLB NOTES 3130A3E75 11182014 160000 37000000 37002960 19733 24050

82255 GOV FHLB NOTES 3130A3PC2 12122014 650000 500000000 500740000 984028 1435000

12012015 215107 36978910 100008000 SUNGARD 000

82275 GOV FHLB NOTES 3130A3TA2 12302014 1000000 1000000000 1005650000 1277778 5650000

12092016 571735 628645050 101299000 SUNGARD -4136715


82316 CCCCD GOV FHLB NOTE 3130A2T97 01212015 500000 76500000 76558140 3188 19890


09282016 470201 76538250 100076000 SUNGARD 000

82280 RM GOV FHLB NOTES 3130A3HF4 12292014 1125000 450000000 452938500 1589064 3658500

08152017 1000000 1000000000 100565000 SUNGARD 000

12082017 1180284 449280000 100653000 SUNGARD 000

01062017 750000 1000000000 100174000 SUNGARD 000

82281 GOV FHLB NOTES 3130A3UR3 01062015 750000 1000000000 1001740000 1770833 1740000



Page 13


Contra Costa County

As Of Date 09302015




82619 CLT GOV FHLB NOTES 3133834R9 07102015 375000 25000000 24976000 25261 000

06242016 330908 25014667 99904000 SUNGARD -34500

82637 CCCSIG GOV FHLB 3130A62S5 07242015 750000 152500000 152632675 104845 474275

10302018 1300000 500000000 100363000 SUNGARD 000

82590 GOV FHLB NOTES 3130A5JD2 06292015 1100000 1000000000 1003510000 2811111 3510000

06292018 1100000 1000000000 100351000 SUNGARD 000

08282017 858202 152158400 100087000 SUNGARD 000

05302017 692495 100021625 100010000 SUNGARD 000

82694 RM GOV FHLB NOTES 313380FB8 09212015 1375000 250000000 250957500 171875 1200000

09132019 1400130 249833889 100383000 SUNGARD 000

82664 GOV FHLB NOTES 3130A6B63 08142015 1200000 1000000000 1005600000 1566667 5600000

08142018 1200000 1000000000 100560000 SUNGARD 000

82669 CCCSIG GOV FHLB 3130A5EP0 08212015 625000 100000000 100010000 210069 129000

82583 GOV FHLB NOTES 3130A5NC9 06112015 1300000 500000000 501815000 1986111 1815000

82503 PW GOV FHLB NOTES 3130A4ZY1 04212015 240000 161000000 160998390 172851 78890

03242017 840000 16500000 100270000 SUNGARD 000

82550 GOV FHLB NOTES 3130A57K9 05042015 1000000 1000000000 1000830000 4083333 2310000

04202016 290248 160920618 99999000 SUNGARD 000

82451 CCCCD GOV FHLB 3130A4QV7 03242015 840000 16500000 16544550 2695 44550

03182016 330364 199739400 100113000 SUNGARD -13965

82438 RM GOV FHLB NOTES 313382K85 03162015 450000 199500000 199725435 32420 000

03242017 840000 160000000 100270000 SUNGARD 000

82450 CCCSIG GOV FHLB 3130A4QV7 03242015 840000 160000000 160432000 26133 432000

82579 GOV FHLB NOTES 3130A5HF9 06012015 730000 1000000000 1001480000 1845274 1480000

05302017 666017 142881310 100010000 SUNGARD 000

06302017 730000 1000000000 100148000 SUNGARD 000

06142019 1563094 250600000 101365000 SUNGARD 000

82582 RM GOV FHLB NOTES 313379EE5 06082015 1625000 250000000 253412500 1207465 2812500


82552 GOV FHLB NOTES 3130A5DD8 05072015 720000 1000000000 1002530000 2500000 2530000

05262017 720000 1000000000 100253000 SUNGARD 000

05042018 1050244 998520000 100083000 SUNGARD 000

Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890



Page 14


Contra Costa County

As Of Date 09302015




81889 AUHSD GOV FNMA NOTE 3135G0ZA4 04012014 1875000 37700000 38572001 82469 732134

09282016 740949 98963095 100801000 SUNGARD -682120

02192019 1795148 37839867 102313000 SUNGARD 000

02192019 1795148 698481789 102313000 SUNGARD 000


05212018 1459815 15952936 99940000 SUNGARD 000

81628 CCCSIG GOV FNMA NOT 3135G0CM3 10032013 1250000 23500000 23688235 2448 000


09282016 748553 23839371 100801000 SUNGARD -151136

81941 GOV FNMA NOTE 3135G0MZ3 04172014 875000 1000000000 1001390000 802083 7310000

82086 CCCSIG GOV FNMA NOT 3135G0ZL0 08252014 1000000 38000000 38170620 4222 277562

81999 MDUSD GOV FNMA NOTE 3135G0ZB2 05212014 750000 4900000 4906370 16435 4998

08282017 1054521 994080000 100139000 SUNGARD 000

04202017 740235 4901372 100130000 SUNGARD 000

11272018 1489435 11567275 101788000 SUNGARD 000

82005 CCCCD GOV FNMA 3135G0YT4 06052014 1625000 11500000 11705620 64368 138345

03152016 1000170 423921135 100926000 SUNGARD -16684725

80281 RM GOV FNMA NOTES 3135G0AL7 01232012 2250000 403500000 407236410 403500 000

09282016 615791 482179778 100801000 SUNGARD -8112675

80833 RM GOV FNMA NOTES 3135G0CM3 09142012 1250000 470300000 474067103 48990 000

10262015 893123 616710000 100100000 SUNGARD -16110000

80020 WT GOV FNMA NOTES 3135G0CM3 11092011 1250000 17300000 17438573 1802 64875

81538 WT GOV FNMA NOTES 3135G0WJ8 07172013 875000 16400000 16390160 51819 437224

80118 RM GOV FNMA NOTES 31398A4M1 12092011 1625000 600000000 600600000 4197917 000

09282016 1160000 17373698 100801000 SUNGARD 000

81230 WT GOV FNMA NOTES 3135G0TG8 02212013 875000 16500000 16525245 21255 101043

05212018 1190082 19697600 99940000 SUNGARD 000

81478 AUHSD GOV FNMA NOTE 3135G0WJ8 06072013 875000 20000000 19988000 63194 290400

06122018 1013910 499795000 100146000 SUNGARD 000

81484 GOV FNMA CALLABLE M 3136G1MU0 06122013 1000000 500000000 500730000 1513889 935000

05222018 750000 1000000000 99996000 SUNGARD -40000

81361 RM GOV FEDERAL NATL 3135G0JA2 04152013 1125000 390000000 393240900 1876876 000

02082018 970000 16424202 100153000 SUNGARD 000

81449 GOV FNMA CALLABLE M 3136G1M63 05222013 750000 1000000000 999960000 2687500 000

04272017 600233 398143200 100831000 SUNGARD -4902300




Page 15


Contra Costa County

As Of Date 09302015




09272017 781143 201042000 100449000 SUNGARD -144000

82570 GOV FNMA NOTES CALL 3136G2K71 05272015 1250000 1000000000 1004610000 4305556 4610000

05252018 1250000 1000000000 100461000 SUNGARD 000


02272019 1329281 608718000 101612000 SUNGARD 000

82436 WT GOV FNMA NOTES 3135G0A78 03162015 1625000 17000000 17175270 53715 177480

01212020 1627650 16997790 101031000 SUNGARD 000

82678 CCCCD GOV FNMA BENC 3135G0E58 09012015 1125000 13000000 13054210 12188 75270

09272017 723255 168928293 100449000 SUNGARD -164640

82709 CCCCD GOV FNMA 31398ADM1 09292015 5375000 155000000 167302350 2522518 000

06122017 642309 169877783 107937000 SUNGARD -99200

82708 CCCCD GOV FNMA 3135G0ZL0 09292015 1000000 168000000 168754320 18666 000

10192018 1177919 12978940 100417000 SUNGARD 000

82707 CCCCD GOV FNMA 3135G0RT2 09292015 875000 170000000 170430100 417327 124100

12202017 793128 170715063 100253000 SUNGARD 000

04272017 895628 20094418 100831000 SUNGARD 000

82115 CCCCD GOV FNMA NOTE 3135G0JA2 09082014 1125000 20000000 20166200 96250 71782

82119 WT GOV FNMA NOTES 3135G0ZG1 09122014 1750000 16600000 16894484 15332 404708


09122019 1889799 16489776 101774000 SUNGARD 000

82087 CCCCD GOV FNMA NOTE 3135G0ZL0 08252014 1000000 13000000 13058370 1444 104780

09272017 1117972 37893058 100449000 SUNGARD 000

09272017 1117972 12953590 100449000 SUNGARD 000

04272017 895628 55830780 100831000 SUNGARD 000

82114 CCCSIG GOV FNMA NOT 3135G0JA2 09082014 1125000 55500000 55961205 267093 130425

07052016 397750 1243589480 100002000 SUNGARD 000

82381 RM GOV FNMA NOTES 3136FTS67 02092015 1700000 600000000 609672000 963333 954000

82314 CCCCD GOV FNMA 3135G0XP3 01212015 375000 563500000 563511270 504802 197225


07052016 397750 563314045 100002000 SUNGARD 000

82236 CCCCD GOV FNMA BENC 3135G0ZY2 12032014 1750000 10000000 10177300 60764 112000

11272018 1385424 12618750 101788000 SUNGARD 000

11262019 1612998 10065300 101773000 SUNGARD 000

11272018 1380107 606649400 101788000 SUNGARD 000

82257 RM GOV FNMA NOTES 3135G0YT4 12122014 1625000 601000000 611745880 3363931 5096480

Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796



Page 16


Contra Costa County

As Of Date 09302015




10102017 1156802 999800000 100782000 SUNGARD 000

82137 GOV FFCB NOTES 3133EDXA5 10102014 1150000 1000000000 1007820000 5462500 8020000

82185 RM GOV FFCB NOTES 3133EDYB2 11042014 1500000 200000000 201282000 625000 2252000

82195 GOV FFCB NOTES 3133EEBU3 11182014 600000 1000000000 1001520000 2283333 1520000

01162019 1620035 199030000 100641000 SUNGARD 000

81732 GOV FEDERAL FARM CR 3133EDBM3 12102013 290000 554500000 554505545 495815 560045

12072016 972048 249713430 100541000 SUNGARD 000

12102015 340213 553945500 100001000 SUNGARD 000

11012016 700000 500000000 100425000 SUNGARD 000

81958 GOV FEDERAL FARM CR 3133EDKJ0 05012014 700000 500000000 502125000 1458333 2125000

82218 GOV FFCB NOTES 3133EEDQ0 12012014 580000 500000000 500995000 966667 1095000

11142016 600000 1000000000 100152000 SUNGARD 000

12012016 590074 499900000 100199000 SUNGARD 000

12152016 720000 1000000000 100283000 SUNGARD 000

82259 GOV FFCB NOTES 3133EEFA3 12152014 720000 1000000000 1002830000 2120000 2830000

80543 RM GOV FFCB NOTES 3133EAJU3 04202012 1050000 395700000 397334241 34625 000

03282016 790000 399681830 100413000 SUNGARD -2347589

03282016 810254 407765280 100413000 SUNGARD -2096760

81579 RM GOV FFCB NOTES 3133ECWV2 08202013 875000 250500000 251855205 694093 2141775


80718 RM GOV FFCB NOTES 3133EAXG8 07232012 650000 249400000 249961150 355741 74820

81479 AUHSD GOV FFCB NOTE 3133ECPT5 06072013 650000 20000000 19975600 48389 84200

05172017 790074 19891400 99878000 SUNGARD 000

11292016 640000 1000000000 100003000 SUNGARD 000

07122016 600206 249886330 100225000 SUNGARD 000

81102 GOV FFCB CALLABLE N 3133EC5B6 12282012 640000 1000000000 1000030000 2168889 30000


82545 CCCSIG GOV FNMA-ACE 3136ANJY4 04302015 1550000 38500000 38884861 49730 000

82344 CCCSIG GOV FNMA ACE 3136AMKW8 01302015 1626000 44000000 44439670 59620 000

02252018 920628 44439670 100999250 BOOK 000

04012018 1201381 38884861 100999639 BOOK 000

Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000




Page 17


Contra Costa County

As Of Date 09302015




03082017 1120062 16901230 100636000 SUNGARD 000

80900 CCCCD GOV FHLMC 3137EADL0 10052012 1000000 4500000 4527225 250 872

79343 WT GOV FHLMC NOTES 3134A4ZT4 02252011 4750000 15500000 15711575 147250 000

01192016 2330564 17226700 101365000 SUNGARD -1515125

80411 WT GOV FHLMC NOT 3137EADC0 03122012 1000000 17000000 17108120 10861 206890


04012016 240573 24840738 99888167 SUNGARD 000

82483 RM GOV FHLMC DISC N 313396VA8 04102015 240000 24900000 24872154 28884 2532

240573 24840738 99888169 000

Subtotal 240000 24900000 24872154 28884 2532


82692 GOV FFCB NOTES 3133EFCY1 09162015 780000 500000000 500725000 184167 1515000

09142017 860067 499231667 100145000 SUNGARD 000

82382 RM GOV FFCB NOTES 3133EELZ1 02092015 1000000 500000000 500870000 27776 2870000

01222018 1096935 997190000 100326000 SUNGARD 000

03292018 1130145 498000000 100174000 SUNGARD 000

04022018 1000000 1000000000 100462000 SUNGARD 000

82472 GOV FFCB NOTES 3133EEWH9 04022015 1000000 1000000000 1004620000 4972222 4620000

03212016 308272 303970816 100084000 SUNGARD 000

82318 CCCCD GOV FFCB AGEN 3133EEKM1 01212015 300000 304000000 304255360 25333 284544


82380 GOV FFCB NOTES 3133EEKB5 02092015 1000000 1000000000 1003260000 1916667 6070000

03212016 308272 1015902464 100084000 SUNGARD 000

08042020 1730194 17046216 101041000 SUNGARD 000

82683 WT GOV FFCB NOTES 3133EE5Z9 09112015 1750000 17000000 17176970 47104 161330

09142017 810304 499700000 100145000 SUNGARD 000


82671 RM GOV FFCB NOTES 3133EE5S5 08252015 1500000 100000000 100507000 233333 000

08052019 1350014 100657333 100507000 SUNGARD -67000

08052019 1350014 301972000 100507000 SUNGARD -201000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690



Page 18


Contra Costa County

As Of Date 09302015




82313 AUHSD GOV FHLMC NOT 3134G3ZW3 01212015 1200000 11000000 11030690 19433 30690

08082018 1200000 248600000 100279000 SUNGARD 000

08082018 1200000 11000000 100279000 SUNGARD 000

03082017 643501 1970224915 100636000 SUNGARD -2287935

82317 CCCCD GOV FREDDIE M 3137EADC0 01212015 1000000 1955500000 1967936980 1249347 000


82081 CCCSIG GOV FHLMC 3137EADJ5 08142014 1000000 46500000 46814340 81375 316936

07282017 1002272 46497404 100676000 SUNGARD 000

01272017 586812 137279806 99981000 SUNGARD 000

82305 CCCSIG GOV FHLMC RE 3137EADU0 01162015 500000 137500000 137473875 122222 194069

07282017 853802 9532300 100676000 SUNGARD 000

03082017 643501 955642205 100636000 SUNGARD -1109745

82319 CCCCD GOV FHLMC 3137EADC0 01212015 1000000 948500000 954532460 605986 000

82343 CCCSIG GOV FHLMC 3137EADC0 01292015 1000000 98500000 99126460 62931 000

82446 CCCCD GOV FHLMC 3137EADJ5 03202015 1000000 9500000 9564220 16625 31920

03082017 672177 99174725 100636000 SUNGARD -48265

81869 RM GOV FEDERAL HOME 3137EADP1 03142014 875000 706100000 706700185 411894 10852757

03082017 780254 389546460 100636000 SUNGARD -85140

03072018 1250049 695847428 100085000 SUNGARD 000

03072018 1279731 15453824 100085000 SUNGARD 000

81870 WT GOV FEDERAL HOME 3137EADP1 03122014 875000 15700000 15713345 9158 259521

09292017 764157 4526353 100605000 SUNGARD 000

07282017 1001893 80995464 100676000 SUNGARD 000

81634 CCCCD GOV FHLMC NOT 3137EADS5 10032013 875000 6500000 6527885 26384 20620

81847 RM GOV FHLMC NOTE3S 3137EADC0 02252014 1000000 387000000 389461320 247250 000

10142016 773322 6507265 100429000 SUNGARD 000

82009 RM GOV FHLMC 3137EADH9 06132014 1000000 248400000 250094088 634800 1285271

07282017 1002272 3999777 100676000 SUNGARD 000


82078 GOV FHLMC NOTES 3137EADL0 08112014 1000000 500000000 503025000 27778 3535000


09292017 1033085 499490000 100605000 SUNGARD 000


06292017 945000 248808817 100682000 SUNGARD 000

09292017 1070130 997770000 100605000 SUNGARD 000

07282017 1001893 7499580 100676000 SUNGARD 000




Page 19


Contra Costa County

As Of Date 09302015




81509 AUHSD MUNI CHICAGO 167486JC4 06272013 5000000 39000000 42131877 487500 000

01012017 1618751 18954234 111495494 BOOK 000

01012017 2592295 42131877 108030454 BOOK 000

01012018 1301222 69692506 116154177 BOOK 000

81510 AUHSD MUNI WASHINGT 93974B3K6 06272013 5000000 60000000 69692506 750000 000

02012016 929226 12040560 100338000 BOOK 000

81319 CCCSIG MUNI CA ST T 13063BN73 03272013 1050000 55000000 55185900 186083 000

81508 AUHSD MUNI CHICAGO 167486JB6 06272013 5000000 17000000 18954234 212500 000

02012016 929226 55185900 100338000 BOOK 000

81512 AUHSD MUNI SOUTH BE 836496NW5 06272013 5000000 50500000 54750638 533056 000

81514 AUHSD MUNI WICOMICO 967545R89 06272013 3500000 39000000 42755012 455000 000

01152016 1616968 54750638 108417105 BOOK 000

12012018 1638640 42755012 109628236 BOOK 000

05152016 907000 41500000 100000000 BOOK 000

81632 CCCSIG MUNI UNIV OF 91412GSX4 10022013 907000 41500000 41500000 142197 000

08012016 6525847 745300 74530000 BOOK 000

80760 CCCCD MUNI PALO ALT 697379UA1 08142012 1402000 44000000 44000000 102813 000

81314 CCCCD MUNI CA ST TX 13063BN73 03272013 1050000 12000000 12040560 40600 000

80198 AUHSD MUNI COMPTON 204712FD0 01032012 000000 1000000 745300 000 000

08012017 1402000 44000000 100000000 BOOK 000

81278 CCCCD MUNI UNIV OF 91412GPY5 03142013 966000 17500000 17500000 63863 000

05152017 966000 17500000 100000000 BOOK 000

81277 CCCSIG MUNI UNIV OF 91412GPX7 03142013 659000 124000000 124000000 308705 000

05152016 659000 124000000 100000000 BOOK 000


05302017 710296 999170000 99991000 SUNGARD 000

82571 RM GOV FHLMC NOTES 3137EADG1 05272015 1750000 300000000 306096000 1764583 1782000

07282017 853802 431963700 100676000 SUNGARD 000

82549 GOV FHLMC NOTES 3134G6YC1 05012015 670000 1000000000 999910000 2251940 740000

05302019 1480153 10125978 102032000 SUNGARD 000


05302019 1379985 304314000 102032000 SUNGARD 000

82635 CCCCD GOV FHLMC NOT 3137EADG1 07222015 1750000 10000000 10203200 58820 102500

862858 8208097931 100538948 -5046210

Subtotal 983462 8189300000 8233436042 9158886 30409599



Page 20


Contra Costa County

As Of Date 09302015




82551 GOV FHLB DISC NOTES 313384NH8 04302015 120000 500000000 499987778 256666 24445

02092016 290853 99407657 99949056 SUNGARD 000

82383 RM GOV FHLB DISCOUN 313384SW0 02102015 290000 99700000 99649208 187132 54419

10232015 120070 499706667 99997556 SUNGARD 000

148407 599114324 99989492 000

Subtotal 148207 599700000 599636986 443798 78864


09012016 431873 109523058 99711000 SUNGARD 000

82680 DCD GOV FFCB DISCOU 313312E30 09042015 430000 110000000 109682100 35475 123567

Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


82684 RM GOV FNMA DISC 313588C29 09112015 400000 29500000 29425660 6556 30221

08152016 401514 29388883 99748000 SUNGARD 000

Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


11012016 1090101 12558625 100469000 BOOK 000

81694 CCCSIG MUNI CA ST T 13063CFD7 11052013 1250000 79000000 79370510 411458 000

11012016 1090101 79370510 100469000 BOOK 000

81633 CCCCD MUNI UNIV OF 91412GSZ9 10022013 2054000 19500000 19500000 151311 000

05152018 2054000 19500000 100000000 BOOK 000

81693 CCCCD MUNI CA ST TA 13063CFD7 11052013 1250000 12500000 12558625 65104 000

82387 CCCSIG MUNI MS ST T 605581FX0 02182015 1090000 11000000 11000000 59950 000

10012017 1090000 11000000 100000000 BOOK 000

82302 CCCSIG MUNI ORANGE 68428LDJ0 01132015 780000 100000000 100000000 125667 000

05022016 780000 100000000 100000000 BOOK 000

1186443 745685162 103209019 000

Subtotal 2133314 722500000 745685162 4095807 000



Page 21


Contra Costa County

As Of Date 09302015




82504 CP BANK OF NOVA SCO 06417KYA1 04162015 270000 2500000000 2499500000 3150000 250000

10132015 330552 1996663333 99994000 SUNGARD 000

82505 CP CREDIT AGRICOLE 22533UYR8 04162015 440000 2500000000 2499312500 5133333 993056

11102015 270422 2496100000 99980000 SUNGARD 000

82501 CP BNP PARIBAS 0556N1XD0 04142015 330000 2000000000 1999880000 3116667 100000

10092015 290426 2496334722 99996000 SUNGARD 000

82482 CP RABOBANK NEDERLA 21687BX97 04102015 290000 2500000000 2499900000 3504167 61111

10232015 380776 2494906944 99989000 SUNGARD 000

82488 CP UBS FINANCE DE 90262DXP5 04132015 380000 2500000000 2499725000 4512500 305556

11252015 441203 2493186111 99972500 SUNGARD 000

82506 CP GENERAL ELECTRIC 36959JXT5 04152015 260000 2500000000 2499675000 3051389 144444

82507 CP BNP PARIBAS NY 09659CXU7 04152015 390000 3000000000 2999595000 5492500 472500

10272015 260367 2496479167 99987000 SUNGARD 000


02222019 1083588 59917969 99863282 BOOK 000

82448 CCCSIG AB CITIBANK 17305EFN0 03202015 1020000 60000000 59917969 66300 000

Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


07172017 710792 62999402 99999051 BOOK 000

82502 CCCSIG ABS NAROT 20 65477UAC4 04142015 1050000 84500000 84482238 39433 000

10152019 1059409 84482238 99978980 BOOK 000

82341 CCCSIG CORP HONDA A 43814KAB7 01282015 700000 42000000 41997808 13067 000

06152017 704310 41997808 99994781 BOOK 000

82409 CCCSIG AB TOYOTA AU 89236WAB4 03042015 710000 63000000 62999402 19881 000

82665 CCCSIG ABS HONDA 20 43814MAC1 08192015 1270000 45500000 45499440 20867 000

04182019 1270662 45499440 99998769 BOOK 000

82636 CCCSIG ABS NISSAN A 65475WAD0 07222015 1340000 82000000 81993481 48836 000

03162020 1343408 81993481 99992050 BOOK 000

1046859 316972369 99991284 000

Subtotal 1042646 317000000 316972369 142084 000




Page 22


Contra Costa County

As Of Date 09302015




82606 PW CP ABBEY NATIONA 0027A1X61 07062015 220000 90100000 90097748 47903 501

10062015 220123 399974999 99997500 SUNGARD 000

10062015 220123 90049344 99997500 SUNGARD 000

10062015 220124 340008732 99997500 SUNGARD 000




10062015 220124 199987499 99997500 SUNGARD 000

10062015 220123 310025599 99997500 SUNGARD 000


10062015 220124 2100018659 99997500 SUNGARD 000

10062015 220124 569979365 99997500 SUNGARD 000




10062015 220124 429958132 99997500 SUNGARD 000

82555 CP RABOBANK NEDERLA 21687BZA2 05112015 310000 2500000000 2498930556 3078472 437501

12112015 290508 1996503889 99956611 SUNGARD 000

12102015 310570 2495414583 99957222 SUNGARD 000

11092015 250314 162295747 99980500 SUNGARD 000

82556 PW CP TOYOTA MOTOR 89233HY99 05122015 250000 162500000 162468313 160243 12323

10282015 390830 2993630000 99986500 SUNGARD 000

10062015 220123 359997488 99997500 SUNGARD 000

82514 CP CREDIT AGRICOLE 22533UYQ0 04202015 440000 3000000000 2999190000 6013333 1170000

82553 CP TOYOTA MOTOR CRE 89233HZB3 05082015 290000 2000000000 1999132222 2352222 276111

11242015 441175 2992006667 99973000 SUNGARD 000

82557 PW CP TOYOTA MOTOR 89233GB54 05122015 360000 50000000 49943556 71000 7056

10062015 220125 110038099 99997500 SUNGARD 000




10062015 220124 239965010 99997500 SUNGARD 000

82588 CP BNP PARIBAS 09659CZG6 06262015 400000 2500000000 2498838889 2694445 950000

02052016 360971 49865500 99887111 SUNGARD 000

12162015 400770 2495194444 99953556 SUNGARD 000

10062015 220124 519507757 99997500 SUNGARD 000




Page 23


Contra Costa County

As Of Date 09302015




82649 PW CP TOYOTA MOTOR 89233HXW9 08032015 210000 25000000 24996375 8604 604

10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

11122015 290234 1998388889 99979000 SUNGARD 000

82650 CP ABBEY NATIONAL N 00280PYC3 08042015 290000 2000000000 1999580000 934444 256667



10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


12102015 350436 2496888889 99957222 SUNGARD 000

82651 CP ABBEY NATIONAL N 00280PZA6 08042015 350000 2500000000 2498930556 1409722 631945

82652 CP RABOBANK NEDERLA 21687BZV6 08042015 300000 3000000000 2998368333 1450000 593333

82657 CP UBS FINANCIAL SE 90262CAU1 08062015 470000 2500000000 2497851389 1827778 1735417

12292015 300368 2996325000 99945611 SUNGARD 000

10062015 220125 155012799 99997500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



10062015 220124 559984987 99997500 SUNGARD 000

10062015 220132 44974699 99997500 SUNGARD 000


10302015 210106 199897334 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



Page 24


Contra Costa County

As Of Date 09302015




82682 PW CP BNP PARIBAS N 09659CX94 09092015 170000 90000000 89996400 9350 000

10092015 170027 76689134 99996000 SUNGARD -170

10092015 170024 89987250 99996000 SUNGARD -200

06172016 653172 393081509 99610000 SUNGARD 000

82695 CCCCD CP JPMSCC 46640PFH1 09222015 650000 395000000 393459500 64187 313804

82676 HR CP CREDIT AGRICO 22533UXW8 08312015 180000 500000000 499927500 77500 000

82677 PW CP UBS FINANCE D 90262CC13 09012015 550000 175000000 174763556 80208 169945


03012016 551533 174513403 99864889 SUNGARD 000

82696 CCCCD CP BK OF TOKY 06538BCM3 09222015 510000 395000000 394396089 50363 358572

03212016 511311 198988449 99847111 SUNGARD 000


82697 CCCCD CP TOYOTA MOT 89233HZM9 09222015 280000 395000000 394804475 27650 53325

03212016 511311 393987154 99847111 SUNGARD 000

12212015 280196 394723500 99950500 SUNGARD 000

06172016 653172 198531040 99610000 SUNGARD 000


82663 CP CREDIT SUISSE NY 2254EBZF1 08112015 320000 2500000000 2498854167 1133333 520834

12152015 290292 2497482639 99954167 SUNGARD 000

12152015 320359 2497200000 99954167 SUNGARD 000

05162016 683473 198983778 99746667 SUNGARD 000

82666 CCCSIG CP JPM SECUR 46640PEG4 08212015 680000 200000000 199493333 154889 354666

01282016 471076 2494288194 99914056 SUNGARD 000

10302015 180054 499850000 99985500 SUNGARD 000

82661 CP BNP PARIBAS 09659CZF8 08112015 340000 2500000000 2498854167 1204167 625000

82662 CP NORDEA BANK AB 65558GZF3 08122015 290000 2500000000 2498854167 1006944 364584

12152015 340405 2497025000 99954167 SUNGARD 000


12162015 320313 2497555556 99953556 SUNGARD 000

10302015 180054 299910000 99985500 SUNGARD 000

10302015 180054 263920800 99985500 SUNGARD 000


02172016 541438 49867250 99876444 SUNGARD 000

82667 PW CP UBS FINANCE D 90262CBH9 08242015 540000 50000000 49938222 28500 42472

82668 CP UBS FINANCE DE 90262CBH9 08242015 540000 50000000 49938222 28500 42472

82673 CP CREDIT AGRICOLE 22533UZG1 08282015 320000 2500000000 2498838889 755555 527778

02172016 541438 49867250 99876444 SUNGARD 000



Page 25


Contra Costa County

As Of Date 09302015




82573 YCD UBS AG STAMFORD 90267RP52 05282015 420000 2500000000 2501709966 3675000 1709966

12152015 430000 2500000000 100069620 SUNGARD 000

12162015 420000 2500000000 100068399 SUNGARD 000

05262017 1150000 195000000 100000000 BOOK 000

82576 CCCSIG YCD NORDEA B 65558LFA5 05292015 1150000 195000000 195000000 778646 000

05202016 730000 200000000 100218822 SUNGARD 000

82563 RM YCD BNP PARIBAS 05572NYL4 05262015 730000 100700000 100926046 261372 226046

82572 YCD ABBEY NATL TREA 00279H6D3 05282015 430000 2500000000 2501740511 3762500 1740511

05262016 730000 100700000 100224474 SUNGARD 000

82580 YCD BNP PARIBAS 05572NYT7 06012015 390000 2500000000 2501529541 3304167 1529541

82589 YCD BANK OF NOVA SC 06417H2Y1 06292015 370000 2500000000 2501424195 2415278 1424195

12152015 390000 2500000000 100061182 SUNGARD 000

12152015 370000 2500000000 100056968 SUNGARD 000

12152015 360000 2500000000 100054858 SUNGARD 000

82594 YCD BNP PARIBAS 05572NZG4 07012015 360000 2500000000 2501371452 2300000 1371452

82328 PW NCD UNION BANK O 62478TEC9 02022015 400000 50000000 50032865 133889 32865

02022016 400000 50000000 100065730 SUNGARD 000

82509 YCD UBS AG STAMFORD 90267RK81 04162015 390000 1000000000 1000354180 1820000 354180

82562 PW YCD BNP PARIBAS 05572NYH3 05202015 730000 200000000 200437645 543444 437645

82270 PW NCD UNION BANK O 62478TCZ0 12222014 400000 50000000 50034539 157222 34539

12222015 400000 50000000 100069078 SUNGARD 000

11132015 390000 1000000000 100035418 SUNGARD 000

11242015 310000 2500000000 100032057 SUNGARD 000

82526 CCCSIG YCD RABOBANK 21684BXH2 04272015 1070000 200000000 200000000 933278 000

04212017 1070000 200000000 100000000 BOOK 000


10302015 370000 1500000000 100022484 SUNGARD 000

82511 NCD BANK OF AMERICA 06052TND8 04202015 310000 2500000000 2500801425 3530556 801425


82704 CP SOCIETE GENERALE 83369BA48 09292015 275000 3000000000 2997941667 45833 118751

12212015 280196 199360350 99950500 SUNGARD 000


01042016 275204 2997777083 99931389 SUNGARD 000

328594 61192922725 99962242 -370

Subtotal 328043 61284800000 61261659931 56430381 12307195



Page 26


Contra Costa County

As Of Date 09302015




82633 PW NCD BANK OF AMER 06052TPK0 07132015 220000 110000000 110004765 53778 4765

10132015 220000 25000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000

12282015 320000 2500000000 100054363 SUNGARD 000

82653 YCD SOCIETE GENERAL 83369TXW2 08042015 320000 2500000000 2501359073 1288889 1359073



10132015 220000 70000000 100004331 SUNGARD 000

10132015 220000 330000000 100004331 SUNGARD 000

10132015 220000 10000000 100004331 SUNGARD 000


12232015 280000 2500000000 100041980 SUNGARD 000

82654 YCD NORDEA BANK FIN 65558LGT3 08042015 280000 2500000000 2501049497 1127778 1049497

82655 YCD ABBEY NATIONAL 00279H6T8 08052015 450000 2500000000 2501664675 1781250 1664675

82656 YCD CREDIT AGRICOLE 22533MX97 08052015 390000 2500000000 2501460468 1543750 1460468

01082016 450000 2500000000 100066587 SUNGARD 000

01062016 390000 110000000 100048921 SUNGARD 000

82615 PW NCD UNION BANK O 62478THN2 07092015 390000 110000000 110053813 100100 53813



01062016 390000 200000000 100048921 SUNGARD 000

82595 YCD SOCIETE GENERAL 83369TWT0 07022015 390000 2500000000 2501549842 2464583 1549842


12162015 390000 2500000000 100061994 SUNGARD 000

01062016 390000 430000000 100048921 SUNGARD 000


10132015 220000 12500000 100004331 SUNGARD 000


10132015 220000 20000000 100004331 SUNGARD 000

10132015 220000 140000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000


10132015 220000 800000000 100004331 SUNGARD 000




10132015 220000 30000000 100004331 SUNGARD 000



Page 27


Contra Costa County

As Of Date 09302015




01102017 433450 50000000 99974000 SUNGARD -13000

81794 CCCSIG CORP BERKSHI 084664CA7 01102014 433450 50000000 49987000 49967 000

81269 CORP GENERAL ELEC C 36962GU51 03082013 484250 1000000000 1000000000 1143390 4755000

01082016 1429873 995245000 100000000 SUNGARD 000

1382208 1045245000 99998762 -13000

Subtotal 481820 1050000000 1049987000 1193357 4755000


82705 YCD STANDARD CHARTE 85325TDV4 09302015 400000 3000000000 3002357118 33333 2357118

01042016 320000 3000000000 100029316 SUNGARD 000

02262016 400000 3000000000 100078571 SUNGARD 000

01272016 300000 3000000000 100029729 SUNGARD 000

82706 YCD CREDIT AGRICOLE 22533M4V0 09302015 300000 3000000000 3000891881 25000 891881

10132015 180000 130000000 100002888 SUNGARD 000

82687 SO YCD BNP PARIBAS 05572NC38 09102015 180000 130000000 130003755 13650 3755



10132015 180000 370000000 100002888 SUNGARD 000


01252016 390000 2500000000 100058419 SUNGARD 000

10132015 180000 210000000 100002888 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000


01082016 250000 2500000000 100011103 SUNGARD 000

82701 YCD NORDEA BANK FIN 65558LHY1 09252015 250000 2500000000 2500277565 104167 277565

82702 YCD BNP PARIBAS 05572NC79 09252015 320000 2500000000 2500816782 133333 816782

82703 YCD CREDIT AGRICOLE 22533M4R9 09282015 320000 3000000000 3000879478 80000 879478

01152016 320000 2500000000 100032671 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000

10132015 180000 770000000 100002888 SUNGARD 000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000



Page 28


Contra Costa County

As Of Date 09302015




08152016 967967 98447795 100315000 SUNGARD 000

81577 CCCSIG CORP BERKSHI 084664BX8 08152013 950000 98500000 98810275 119568 362480


81703 CORP TOYOTA MTR CRD 89233P6S0 11152013 1250000 500000000 500620000 3055556 6170000

08152016 1018105 35432550 100315000 SUNGARD 000

81472 CCCSIG CORP PFIZER 717081DD2 06032013 900000 180000000 180329400 342000 617400

05032018 1076001 17435425 99533000 SUNGARD -17150

01152017 945019 179712000 100183000 SUNGARD 000

01082016 1028965 499635000 100166000 SUNGARD 000

81501 CORP GENERAL ELECTR 36962G6R0 06182013 1000000 500000000 500830000 1152778 1195000

81789 CORP MICROSOFT CORP 594918AV6 01102014 1625000 640600000 649087950 3325337 12241866

10052017 1545080 494450000 100124000 SUNGARD 000

12062018 1750063 636846084 101325000 SUNGARD 000

12152017 1510075 517962978 99821000 SUNGARD 000

81813 CORP INTEL STRUCTUR 458140AL4 01272014 1350000 521100000 520167231 2071374 2204253

80653 CCCCD CORP WALT DIS 25468PCS3 06142012 1125000 13500000 13566960 19406 92070

02152017 1165961 13474890 100496000 SUNGARD 000


81413 CCCCD CORP APPLE IN 037833AJ9 05032013 1000000 17500000 17418275 71944 000

80448 CORP WALMART STORES 931142CX9 03232012 1500000 500000000 500320000 3250000 000

10252015 937036 509910000 100064000 SUNGARD -9590000

02152017 1203989 23914080 100496000 SUNGARD 000

01082016 1000000 500000000 100166000 SUNGARD 000

81217 CCCCD CORP BERKSHIR 084670BH0 02112013 1550000 24500000 24698940 54853 232995

02092018 1579059 24465945 100812000 SUNGARD 000

81054 CCCCD CORP CHEVRON 166764AA8 12052012 1104000 10500000 10457895 37352 000

12052017 1104000 10500000 99599000 SUNGARD -42105



09292016 900000 202500000 99373111 SUNGARD -1269450

82130 CCCSIG YCD TORONTO 89112UXV8 09292014 900000 202500000 201230550 10125 000

900000 202500000 99373111 -1269450

Subtotal 900000 202500000 201230550 10125 000




Page 29


Contra Costa County

As Of Date 09302015




82351 CCCCD CORP AMERICAN 0258M0DC0 01232015 2800000 152500000 155150450 142333 000

01152016 489343 160248340 100419000 SUNGARD -1586320

09192016 840060 157402875 101738000 SUNGARD -2252425

07202016 787164 160089150 100430000 SUNGARD -405450

82352 CCCCD CORP WELLS FA 94974BFL9 01232015 1250000 159000000 159683700 391980 000

82350 CCCCD CORP EI DU PO 263534CD9 01232015 1950000 158000000 158662020 650433 000

82348 CCCCD CORP JOHN DEE 24422ERF8 01232015 1850000 156000000 157761240 128267 000

01082016 475357 159796590 100166000 SUNGARD -532650

09152016 616979 159141840 101129000 SUNGARD -1380600

07222016 490189 159903875 101149000 SUNGARD -1605690

82349 CCCCD CORP IBM CORP 459200GX3 01232015 1950000 156500000 158298185 584919 000

01302017 828281 159360655 100156000 SUNGARD -613395

82353 CCCCD CORP US BANK 90331HMC4 01232015 1100000 158500000 158747260 295426 000

82364 CCCCD CORP GE CAPIT 36962G6R0 01232015 1000000 199000000 199330340 458806 000


01082016 475357 199996990 100166000 SUNGARD -666650

05222017 1200940 99106800 101057000 SUNGARD -576225

81956 CCCSIG CORP TOYOTA 89233P6D3 04282014 1750000 97500000 98530575 611406 000

81991 CCCSIG CORP APPLE I 037833AM2 05062014 1050000 150000000 150577500 634375 657000

82116 CCCSIG CORP WELLS F 94974BGB0 09092014 1400000 81000000 81055890 72450 136080

05052017 1067075 149920500 100385000 SUNGARD 000

81899 CORP WELLS FARGO amp 94974BFG0 04072014 1500000 500000000 499525000 1562500 3535000

82347 CCCCD CORP GECC 36962G6R0 01232015 1000000 159000000 159263940 366583 000

01162018 1720116 495990000 99905000 SUNGARD 000

04212017 1005095 36994450 100393000 SUNGARD 000

81948 CCCSIG CORP WAL-MAR 931142DN0 04222014 1000000 37000000 37145410 164444 150960

09082017 1433868 80919810 100069000 SUNGARD 000

82290 CCCSIG CORP TOYOTA 89236TCA1 01122015 1450000 22000000 22025740 70003 55880

12052017 1250044 995751000 99599000 SUNGARD 000

01122018 1496870 21969860 100117000 SUNGARD 000

05182016 435141 159553320 100153000 SUNGARD -310050

82346 CCCCD CORP MERCK amp 58933YAD7 01232015 700000 159000000 159243270 411192 000

11152017 1345000 35000000 100347000 SUNGARD 000

82197 CCCSIG CORP CHEVRON 166764AL4 11182014 1345000 35000000 35121450 177839 121450

82203 CCCSIG CORP JOHNSON 478160BL7 11212014 1125000 113000000 113726590 459063 815860

82258 CORP CHEVRON CORP 166764AA8 12152014 1104000 1000000000 995990000 3557333 239000

11212017 1151867 112910730 100643000 SUNGARD 000



Page 30


Contra Costa County

As Of Date 09302015




82420 CCCCD CORP AMERICAN 02665WAT8 03132015 1500000 13000000 12977380 9750 000

03022018 1372881 999770000 100091000 SUNGARD 000

03132018 1545883 12982580 99826000 SUNGARD -5200

08072019 1743001 11760300 115655000 SUNGARD -194800

82513 CCCCD CORP GENERAL 36962G4D3 04152015 6000000 10000000 11565500 90000 000

82418 CORP CHEVRON CORP 166764AV2 03092015 1365000 1000000000 1000910000 1099583 1140000

82416 CCCSIG CORP EXXON M 30231GAL6 03062015 1305000 156500000 156869340 141829 369340

03062018 1305000 156500000 100236000 SUNGARD 000

03062018 1305000 12500000 100236000 SUNGARD 000

82417 CCCCD CORP EXXON MO 30231GAL6 03062015 1305000 12500000 12529500 11328 29500

05222018 1603145 159985600 99801000 SUNGARD -304000

05032018 1257267 992760000 99533000 SUNGARD 000

82554 CORP APPLE INC 037833AJ9 05122015 1000000 1000000000 995330000 4111111 2820000

82560 CCCSIG CORP APPLE I 037833BB5 05132015 900000 56500000 56608480 194925 147465

82574 CCCSIG CORP BK OF N 06406HDB2 05292015 1600000 160000000 159681600 867556 000

05122017 934955 56461015 100192000 SUNGARD 000


07222016 490189 200263000 101149000 SUNGARD -2010960

09152016 616979 198927300 101129000 SUNGARD -1725750

05182016 435141 199692520 100153000 SUNGARD -388050


01152016 489343 200310425 100419000 SUNGARD -1982900

03022018 1365000 106500000 100091000 SUNGARD 000



07202016 787164 199859725 100430000 SUNGARD -506175


02062018 1228864 15951200 99758000 SUNGARD 000

82376 CCCCD CORP IBM CORP 459200HZ7 02062015 1125000 16000000 15961280 27500 10080

82386 CORP IBM CORP 459200HZ7 02112015 1125000 500000000 498790000 859375 980000

82404 CCCSIG CORP CHEVRON 166764AV2 03032015 1365000 106500000 106596915 117106 96915

02062018 1274939 497810000 99758000 SUNGARD 000


09192016 840060 196624575 101738000 SUNGARD -2813685

01302017 828281 199075140 100156000 SUNGARD -766260

02062018 1228864 187426600 99758000 SUNGARD 000

82375 CCCSIG CORP IBM COR 459200HZ7 02062015 1125000 188000000 187545040 323125 118440



Page 31


Contra Costa County

As Of Date 09302015




82714 CCCCD CORP GOLDMAN 38147MAA3 09292015 2900000 151000000 154918450 875800 000

05152019 1748923 199938947 101432000 SUNGARD 000


07192018 1927831 155839382 102595000 SUNGARD -69460

82712 CCCCD CORP PFIZER I 717081DD2 09292015 900000 155000000 155283650 294500 000

03012018 1769114 499500556 99773000 SUNGARD -305000

82713 CCCCD CORP PFIZER I 717081DL4 09292015 2100000 196000000 198806720 1554934 399840

01152017 739645 155606050 100183000 SUNGARD -35650

07192018 1927831 199185436 102595000 SUNGARD -88780

02152019 1739996 199404755 110346000 SUNGARD -247710

82718 CCCCD CORP CISCO SY 17275RAE2 09292015 4950000 179500000 198071070 1135338 000

02012019 1927457 198743020 101021000 SUNGARD -31360

82719 CCCCD CORP BBampT CAL 05531FAQ6 09292015 2250000 196000000 198001160 735000 000

06012019 1599996 154856333 109268000 SUNGARD 000

82716 CCCCD CORP MICROSOF 594918AC8 09292015 4200000 140000000 152975200 1960000 46200

04252019 1710407 200128717 101608000 SUNGARD -157950

82717 CCCCD CORP US BANCO 91159HHH6 09292015 2200000 195000000 198135600 1859000 000

82693 CORP JP MORGAN CHAS 46623EKD0 09152015 1700000 500000000 498865000 708334 000

82587 CCCCD CORP CISCO SY 17275RAU6 06172015 1650000 13000000 13094770 61967 96980

06152018 1655855 172470675 100729000 SUNGARD 000


06152018 1655855 12997790 100729000 SUNGARD 000

82586 CCCSIG CORP CISCO S 17275RAU6 06172015 1650000 172500000 173757525 822250 1286850

05222018 1603145 12498875 99801000 SUNGARD -23750

82575 CCCCD CORP BK OF NE 06406HDB2 05292015 1600000 12500000 12475125 67778 000

05152018 1658000 499908681 99381000 SUNGARD -2620000

82581 CORP JP MORGAN CHAS 46625HJL5 06022015 1625000 500000000 496905000 3069445 000

07172017 1139621 9996800 100401000 SUNGARD 000

82634 CCCCD CORP PEPSICO 713448CW6 07172015 1125000 10000000 10040100 23125 43300

08072018 1435833 133761480 100529000 SUNGARD 000

82658 CCCSIG CORP 3M COMP 88579YAP6 08072015 1375000 134000000 134708860 276375 947380

07132018 1567156 499814583 100455000 SUNGARD 000

82620 CCCSIG CORP TOYOTA 89236TCP8 07132015 1550000 41000000 41186550 137692 221400

09082017 1252137 110346500 100069000 SUNGARD -270600

82621 CORP TOYOTA MOTOR C 89236TCP8 07162015 1550000 500000000 502275000 1679166 2525000

07132018 1579121 40965150 100455000 SUNGARD 000

Subtotal 1504454 15050700000 15124214321 53058340 41320219



Page 32


Contra Costa County

As Of Date 09302015




82001 CD CCCCD BERTA KAMM 121101042 05242014 600000 333577 333577 2752 000

05242017 600000 333577 100000000 BOOK 000

600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000


10012015 000000 53722612 100000000 BOOK 000

81524 AUHSD MM DREYFUS TA 26202K205 06272013 000000 53722612 53722612 000 000


10012015 000000 2809220 100000000 BOOK 000

Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


06102016 510490 244852020 99725917 SUNGARD -523524

82011 CCCSIG YCD BK NOVA 06417HMU7 06132014 462200 245000000 244328496 77076 000

510490 244852020 99725917 -523524

Subtotal 462200 245000000 244328496 77076 000


82118 CCCSIG NCD US BANK 90333VPF1 09112014 1375000 200000000 199678000 152778 000

09112017 1430018 199678000 99839000 BOOK 000

82487 CCCSIG YCD CANADIAN 13606JYY9 04102015 1010000 215000000 215000000 1031463 000

04062017 1010000 215000000 100000000 BOOK 000

1212249 414678000 99922410 000

Subtotal 1185757 415000000 414678000 1184241 000


1256393 15127367242 100488445 -34126750


585858 184721498440 100198232 -130630560



Page 33

Page 34

SECTION III

APPENDIX

B INVESTMENT PORTFOLIO DETAIL ndash MANAGED BY OUTSIDE CONTRACTED PARTIES

B1 STATE OF CALIFORNIA LOCAL AGENCY INVESTMENT FUND (LAIF)

CONTRA COSTA COUNTYAS OF SEPTEMBER 30 2015

CALIFORNIA STATE LOCAL STATE CONTROLLER ACCOUNT ESTIMATEDAGENCY INVESTMENT ACCOUNTS ACCOUNT NUMBER BALANCE FAIR VALUE

ACALANES UNION HIGH SCHOOL 75-07-010 94760743 94817092

ANTIOCH UNIFIED SCHOOL DISTRICT 75-07-005 82531657 82580734

BRENTWOOD UNION SCHOOL DISTRICT 75-07-013 812957623 813441045

BYRON UNION SCHOOL DISTRICT 75-07-017 16533828 16543660

CANYON ELEMENTARY SCHOOL DISTRICT 75-07-018 19221928 19233358

CENTRAL CONTRA COSTA SANITARY DISTRICT 70-07-001 3450000000 3452051529

CONTRA COSTA COMMUNITY COLLEGE 75-07-001 61507999 61544574

CONTRA COSTA COUNTY 99-07-000 5000000000 5002973230

CONTRA COSTA COUNTY OFFICE OF EDUCATION 75-07-007 128061685 128137836

CONTRA COSTA COUNTY SCHOOL INSURANCE GROUP 35-07-001 222935644 223068212

CROCKETT COMMUNITY SERVICES DISTRICT 16-07-004 221958891 222090878

DELTA DIABLO SANITATION DISTRICT 70-07-003 7251174 7255486

EAST CONTRA COSTA REG FEE amp FINANCING AUTH 40-07-006 100823508 100883462

JOHN SWETT UNIFIED SCHOOL DISTRICT 75-07-020 239344 239486

KENSINGTON FIRE PROTECTION DISTRICT 17-07-011 360063980 360278091

KENSINGTON POLICE PROTECTION amp COMMUNITY 16-07-003 65990859 66030100 SERVICES DISTRICT

LAFAYETTE SCHOOL DISTRICT 75-07-012 572421500 572761888

MARTINEZ UNIFIED SCHOOL DISTRICT 75-07-011 381650273 381877220

MORAGA ORINDA FIRE DISTRICT 17-07-003 2404640 2406070

MT DIABLO UNIFIED SCHOOL DISTRICT 75-07-008 1462473524 1463343178

MT VIEW SANITARY DISTRICT 70-07-008 855160128 855668646

OAKLEY UNION SCHOOL DISTRICT 75-07-009 24695364 24710049

ORINDA UNION SCHOOL DISTRICT 75-07-015 739918904 740358894

PITTSBURG UNIFIED SCHOOL DISTRICT 75-07-002 3382934311 3384945959

RECLAMATION DISTRICT 800 60-07-003 450431903 450699751

REDEVELOPMENT AGENCY 65-07-015 697703 698118

RODEO -HERCULES FIRE PROTECTION DISTRICT 17-07-001 10572792 10579079

SAN RAMON VALLEY UNIFIED SCHOOL DISTRICT 75-07-004 23928725 23942954

WALNUT CREEK SCHOOL DISTRICT 75-07-003 000 000

WEST CONTRA COSTA UNIFIED SCHOOL DISTRICT 75-07-014 998371748 998965426

TOTAL 19550500378 19562126005

Page 35

SECTION III

APPENDIX

B INVESTMENT PORTFOLIO DETAIL ndashMANAGED BY OUTSIDE CONTRACTED PARTIES

B2 ASSET MANAGEMENT FUNDS

a WELLS CAPITAL MANAGEMENTb CalTRUST

Wells Capital Management GAAPWC-Contra Costa County (19529)Quarter End (Q3 Y2015)07012015 - 09302015Dated 10052015Locked Down

Page 36

Risk Summary (WC-Contra Costa County (19529)) 1

Performance Summary Gross of Fees (WC-Contra Costa County (19529)) 4

Performance Summary Net of Fees (WC-Contra Costa County (19529)) 6

GAAP Financials (WC-Contra Costa County (19529)) 8

Income Detail (WC-Contra Costa County (19529)) 9

Balance Sheet Classification (WC-Contra Costa County (19529)) 12

Trading Activity (WC-Contra Costa County (19529)) 16

Transaction Detail (WC-Contra Costa County (19529)) 20

MMF Transaction Detail (WC-Contra Costa County (19529)) 24

Roll Forward (WC-Contra Costa County (19529)) 26

Shock Analysis (WC-Contra Costa County (19529)) 30

Table of ContentsDated 10052015

Page 37

Asset Class

Issuer Concentration

Issuer Concentration of Base MarketValue + Accrued

Government of the United States 15873

Federal Farm Credit Banks Funding Corporation 1173

Federal Home Loan Banks Office of Finance 11318

International Bank for Reconstruction amp Development 4351

Wells Fargo Funds Trust 3693

Federal National Mortgage Association 2273

Orange County of 1785

Other 48977

--- 10000

Security Type Market Sector

Cash and Fixed Income Summary

Risk Metric Value

Cash 10787

MMFund 163929061

Fixed Income 4274553445

Duration 047

Convexity -0018

WAL 0686

Years to Final Maturity 0899

Years to Effective Maturity 0657

Yield 0575

Book Yield 0521

Avg Credit Rating AA+Aa1AA+

Balance Sheet

Book Value + Accrued 4438629432

Net Unrealized GainLoss -136139

Market Value + Accrued 4438493293

Risk Summary WC-Contra Costa County (19529)07012015 - 09302015 Return to Table of Contents Dated 10052015

1

Page 38

Credit Duration Heat Map

Rating 0 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5 - 7 7 - 10 10 - 15 15 - 30

AAA 57859 600 000 000 000 000 000 000 000

AA 18868 0565 000 000 000 000 000 000 000

A 14937 177 000 000 000 000 000 000 000

BBB 000 000 000 000 000 000 000 000 000

BB 000 000 000 000 000 000 000 000 000

B 000 000 000 000 000 000 000 000 000

CCC 000 000 000 000 000 000 000 000 000

CC 000 000 000 000 000 000 000 000 000

C 000 000 000 000 000 000 000 000 000

NA 000 000 000 000 000 000 000 000 000

Time To Maturity

Credit Rating

Duration


2

Page 39

MMF Asset Allocation CountryCurrency

Base Exposure - Industry Sector Base Exposure - Industry Group Base Exposure - Industry Subgroup


3

Page 40

Gross of Fees (includes trading)

Returns are actual and have not been annualized

No Tax Adjustment

Note that data will not exist prior to the performance inception date of 04012001

Historical data exists for the options shown below

Period Period Begin Period End Total Return Index Total Return Excess Total Return

Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0108 0106 0001

Year to Date 01012015 09302015 0406 0218 0188

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0125 0064 0061

Prior Year 01012014 12312014 0319 012 0199

Trailing Month 09012015 09302015 0064 0106 -0042

Trailing Quarter 07012015 09302015 0108 0106 0001

Trailing Year 10012014 09302015 0487 0231 0256

Account Index Index Start Date Index End Date

WC-Contra Costa County ML 6 Month T-Bill 01311980 11302004

WC-Contra Costa County BofA Merrill Lynch 6 Month Treasury Bill Index (G0O2) 12012004 ---

Performance Summary Gross of Fees WC-Contra Costa County (19529)Base Currency USD As of 09302015 Return to Table of Contents Dated 10052015

4

Page 41

Reported Index Return is always Total Return

Begin Date End Date Return Type Fee Options Tax Options

04012001 01312011 Total Return Net of Fees Gross of Fees Gross Down Method No Tax Adjustment Gross Up Method

04012001 01312011 Income Return Gross of Fees No Tax Adjustment

04012001 01312011 Price Return Gross of Fees No Tax Adjustment

04012001 01312011 Book Return Net of Fees Gross of Fees Gross Down Method No Tax Adjustment Gross Up Method


5

Page 42

Net of Fees (includes management and trading)


No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0094 0106 -0013

Year to Date 01012015 09302015 032 0218 0102

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0082 0064 0018

Prior Year 01012014 12312014 0203 012 0083

Trailing Month 09012015 09302015 0064 0106 -0042

Trailing Quarter 07012015 09302015 0094 0106 -0013

Trailing Year 10012014 09302015 0372 0231 0142




Performance Summary Net of Fees WC-Contra Costa County (19529)Base Currency USD As of 09302015 Return to Table of Contents Dated 10052015

6

Page 43








7

Page 44

Balance Sheet WC-Contra Costa County

As of 06302015 09302015

Book Value 4422985551 4429529127Accrued Balance 12101983 9100306

Book Value + Accrued 4435087533 4438629432Net Unrealized GainLoss 780352 -136139

Market Value + Accrued 4435867885 4438493293

Income Statement WC-Contra Costa County

Begin DateEnd Date

0701201509302015

Net AmortizationAccretion Income -5643946Interest Income 11335070Dividend Income 000Misc Income 000

Income Subtotal 11335070Net Realized GainLoss 000Impairment Loss 000

Net GainLoss 000Expense -626822

Net Income 5064302

Transfers InOut -1522403Change in Unrealized GainLoss -916491

Statement of Cash Flows WC-Contra Costa County

Begin DateEnd Date

0701201509302015

Net Income 5064302AmortizationAccretion on MS 5654524Change in Accrued on MS 2807531Net GainLoss on MS -000Change in Unrealized GL on CE 7529

Subtotal 8469584Purchases of MS -490663679Purchased Accrued of MS -55854Sales of MS 204857994Sold Accrued of MS 250000Maturities of MS 327500000

Net PurchasesSales 41888461Transfers of Cash amp CE -1522403Total Change in Cash amp CE 53899944Beginning Cash amp CE 145032811Ending Cash amp CE 198932755

GAAP Financials WC-Contra Costa County (19529)07012015 - 09302015 Return to Table of Contents Dated 10052015

8

Page 45

Identifier Base Current Units Description Coupon Final Maturity EffectiveMaturity

Transfers InOut Net RealizedGainLoss

Net AmortizationAccretion Income

InterestDividendIncome

BaseExpense

Base Net Income Settle Date

010775AK0 000 ALAMEDA CA CMNTY IMPT 0553 09012015 09012015 000 000 000 9217 000 9217 12232014

0258M0DA4 000 AMER EXPRESS CREDIT CO 275 09152015 09152015 000 000 -350511 423958 000 73447 06302014

02665WAY7 50000000 AMERICAN HONDA FINANCE 0776 09202017 09202017 000 000 000 7549 000 7549 09242015

03255LGX1 75000000 ANAHEIM FING AUTH-B 100 05012016 05012016 000 000 000 187500 000 187500 11142014

06050TLU4 50000000 BANK OF AMERICA NA 0779 02142017 02142017 000 000 000 97481 000 97481 02142014

06050TMB5 25000000 BANK OF AMERICA NA 0782 06052017 06052017 000 000 000 47431 000 47431 06052015

06406HBX6 75000000 BANK OF NEW YORK MELLON 230 07282016 07282016 000 000 -216607 297083 000 80477 01212015


05531FAG8 75000000 BBampT CORPORATION 320 03152016 02162016 000 000 -475139 600000 000 124861 04062015

084664CD1 75000000 BERKSHIRE HATHAWAY FIN 0586 01122018 01122018 000 000 000 112064 000 112064 01152015

097023BC8 75000000 BOEING CO 375 11202016 11202016 000 000 -542232 703125 000 160893 01262015

CCYUSD 087 Cash 000 09302015 09302015 -1522403 000 000 000 -626822 -626822 ---

14912L4X6 000 CATERPILLAR FINANCIAL SE 205 08012016 08012016 000 000 -94872 136809 000 41937 11042014


161571GJ7 77500000 CHAIT 2014-A1 A1 115 01152019 01152017 000 000 -15165 133688 000 118523 08072015

17275RAY8 75000000 CISCO SYSTEMS INC 0593 06152018 06152018 000 000 000 113624 000 113624 06172015

3136G1NQ8 000 FANNIE MAE 100 06192017 06192017 000 000 000 216667 000 216667 06112015

3136FPET0 100000000 FANNIE MAE 200 03102016 03102016 000 000 -419520 500000 000 80480 03262015

313384SS9 100000000 FED HOME LN DISCOUNT NT 000 02052016 02052016 000 000 63889 000 000 63889 02062015

3133EDGC0 100000000 FEDERAL FARM CREDIT BANK 025 11042015 11042015 000 000 33058 62500 000 95558 03242014

3133EFBT3 100000000 FEDERAL FARM CREDIT BANK 042 09012016 09012016 000 000 1584 33833 000 35418 09012015


3133EDQW5 100000000 FEDERAL FARM CREDIT BANK 029 01212016 01212016 000 000 22572 72500 000 95072 08012014

3133EDXG2 100000000 FEDERAL FARM CREDIT BANK 067 10142016 10142015 000 000 -25915 167500 000 141585 10242014

3133EDGM8 100000000 FEDERAL FARM CREDIT BANK 035 03102016 10072015 000 000 22779 87500 000 110279 03142014


3130A4KE1 50000000 FEDERAL HOME LOAN BANK 033 04012016 04012016 000 000 1931 41250 000 43181 04012015

3130A3J70 100000000 FEDERAL HOME LOAN BANK 0625 11232016 11232016 000 000 -35308 156250 000 120942 05182015

3130A2T97 50000000 FEDERAL HOME LOAN BANK 050 09282016 09282016 000 000 -114 694 000 580 09302015

3130A3XU3 100000000 FEDERAL HOME LOAN BANK 025 01222016 01222016 000 000 3322 62500 000 65822 01272015

313373SZ6 100000000 FEDERAL HOME LOAN BANK 2125 06102016 06102016 000 000 -406230 531250 000 125020 07162014

31679KAB6 23963868 FITAT 2014-2 A2A 045 04172017 12182015 000 -001 1129 36587 000 37716 06112014

3134G4TH1 000 FREDDIE MAC 030 07082015 07082015 000 000 -142 5833 000 5691 01132014

36164EAB1 40000000 GEET 2015-1 A2 089 11242017 08192016 000 000 562 89001 000 89563 03042015

36962G6Q2 75000000 GENERAL ELEC CAP CORP 0884 01082016 01082016 000 000 -42208 169328 000 127120 09232013

43814GAB6 4552100 HAROT 2014-2 A2 039 09192016 10192015 000 000 022 542 000 564 05212014

43814GAB6 000 HAROT 2014-2 A2 039 09192016 10192015 000 000 195 6747 000 6943 05212014

43814KAB7 33500000 HAROT 2015-1 A2 070 06152017 02232016 000 000 245 58626 000 58871 01282015

4197915E4 000 HAWAII-TXBL-REF-ES 0731 08012016 08012016 000 000 000 47211 000 47211 11252014


41284AAB4 10809821 HDMOT 2014-1 A2A 049 04152018 01092016 000 001 254 16152 000 16407 04162014

41284BAB2 39974707 HDMOT 2015-1 A2A 080 01152019 03102016 000 -000 110 90035 000 90145 01282015

437076BJ0 75000000 HOME DEPOT INC 0707 09152017 09152017 000 000 000 23573 000 23573 09152015

459056HY6 77100000 INTL BK RECON amp DEVELOP 000 02152016 02152016 000 000 86776 000 000 86776 04302015


45905U7F5 000 INTL BK RECON amp DEVELOP 045 07192016 07192016 000 000 000 23750 000 23750 06262015


47787VAB7 13340757 JDOT 2014-A A2 045 09152016 10232015 000 000 013 2501 000 2515 04092014

47787VAB7 000 JDOT 2014-A A2 045 09152016 10232015 000 000 207 20737 000 20944 04092014

47787WAB5 40000000 JDOT 2015-B A2 098 06152018 10282016 000 000 048 23956 000 24004 09092015

Income Detail WC-Contra Costa County (19529)Base Currency USD 07012015 - 09302015 Return to Table of Contents Dated 10052015

9

Page 46





BaseExpense


46625HHW3 75000000 JPMORGAN CHASE amp CO 260 01152016 01152016 000 000 -326741 487500 000 160759 01212015

54438CQZ8 000 LOS ANGELES CCD-H-TXL 0297 08012015 08012015 000 000 000 18562 000 18562 01082015

5446462Q4 40000000 LOS ANGELES SD-L-TXBL 0486 01012016 01012016 000 000 000 48600 000 48600 08192014

58768EAC3 1563282 MBALT 2014-A A2A 048 06152016 10152015 000 000 096 15691 000 15787 04092014

605581FW2 30000000 MISSISSIPPI ST-B-TXBL 064 10012016 10012016 000 000 000 48000 000 48000 02182015

65477WAB2 60250859 NAROT 2014-B A2 060 06152017 01292016 000 -000 1039 104725 000 105764 12102014

677520FR4 75000000 OH ST-TXB-DEV ASST-A 539 10012015 10012015 000 000 -947785 1010625 000 62840 07112014

68428LDH4 30000000 ORANGE CNTY -TXBL-A 068 02012016 02012016 000 000 000 51000 000 51000 02272015


69371RK96 20500000 PACCAR FINANCIAL CORP 070 11162015 11162015 000 000 -12478 35875 000 23397 12232014


70659PAE1 75000000 PENAR 2013-1A A1 0603 11182017 11182015 000 000 000 112085 000 112085 11212013

69349LAH1 75000000 PNC BANK NA 080 01282016 12282015 000 000 -67860 150000 000 82140 04302015

74153WCA5 000 PRICOA GLOBAL FUNDING 1 0546 08192015 08192015 000 000 -7090 22315 000 15225 01302014

74153WCA5 000 PRICOA GLOBAL FUNDING 1 0546 08192015 08192015 000 000 000 27894 000 27894 08232013

74256LAC3 25000000 PRINCIPAL LFE GLB FND II 100 12112015 12112015 000 000 -35478 62500 000 27022 06302014

CCYUSD 10700 Receivable 000 09302015 09302015 000 000 000 000 000 000 ---

762494QV7 25000000 RIALTO USD-TXBL 1258 02012017 02012017 000 000 000 78625 000 78625 03262015

76912TJC8 12500000 RIVERSIDE PUB FIN-REF 100 09012016 09012016 000 000 2935 10069 000 13004 03262015


857477AH6 28500000 STATE STREET CORP 2875 03072016 03072016 000 000 -161440 204844 000 43403 03232015


89236WAB4 60000000 TAOT 2015-A A2 071 07172017 02172016 000 000 106 106500 000 106606 03042015

89116FYH7 35000000 Toronto Dominion Holdings (USA) Inc 000 11172015 11172015 000 000 10578 000 000 10578 08282015


89233AHP7 50000000 Toyota Motor Credit Corporation 0363 02192016 02192016 000 000 000 17356 000 17356 08282015

91412GUT0 25000000 UNIV OF CALIFORNIA-AN 0634 05152016 05152016 000 000 000 39625 000 39625 04102014

90331HMR1 45000000 US BANK NA CINCINNATI 0595 01262018 12262017 000 000 -11570 67871 000 56301 05122015

90331HMR1 30000000 US BANK NA CINCINNATI 0595 01262018 12262017 000 000 000 45247 000 45247 01272015

912828B82 100000000 US TREASURY NB 025 02292016 02292016 000 000 47512 62731 000 110244 03202014

912828QX1 000 US TREASURY NB 150 07312016 07312016 000 000 -90103 128385 000 38283 11062014

912828QX1 100000000 US TREASURY NB 150 07312016 07312016 000 000 -177299 248641 000 71342 11062014

912828VL1 000 US TREASURY NB 0625 07152016 07152016 000 000 -11004 25870 000 14865 06012015

912828VL1 100000000 US TREASURY NB 0625 07152016 07152016 000 000 -56488 130774 000 74286 06012015

912828RF9 100000000 US TREASURY NB 100 08312016 08312016 000 000 -46350 82418 000 36067 10312014

912828RF9 000 US TREASURY NB 100 08312016 08312016 000 000 -95791 168508 000 72718 10312014

912828WQ9 100000000 US TREASURY NB 050 06302016 06302016 000 000 -10338 125000 000 114662 07012014

912828WQ9 000 US TREASURY NB 050 06302016 06302016 000 000 000 000 000 000 07012014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -422216 502702 000 80486 07312014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -418363 502702 000 84339 12312014

90290KAB1 000 USAOT 2014-1 A2 038 10172016 08152015 000 000 033 2694 000 2728 02282014

90290XAB3 48000000 USAOT 2015-1 A2 082 03152018 06152016 000 000 355 69925 000 70280 07292015

92867GAC7 000 VALET 2012-1 A3 085 08222016 08202015 000 000 -530 1301 000 771 10082013

928668AD4 50000000 VOLKSWAGEN GROUP AMERICA 0549 05232016 05232016 000 000 000 66880 000 66880 05232014

949917397 163929061 WFA HERITAGE MONEY MARK-I 008 09302015 09302015 000 000 000 35053 000 35053 ---

--- 4418795242 --- --- 08242016 05272016 -1522403 000 -5643946 11335070 -626822 5064302 ---


10

Page 47

Weighted By Ending Base Market Value + Accrued Holdings Displayed By Lot


11

Page 48

CE

ST

Identifier Description Base Current Units Market Sector Rating Coupon FinalMaturityEffectiveMaturity

BookYieldYield

Base Original CostBase Book Value

Base Net TotalUnrealized Gain

Loss

MarketPrice

Base AccruedBalance

Base Market Value Base Market Value +Accrued

949917397 WFA HERITAGE MONEY MARK-I 163929061 Cash AAA 008 0930201509302015

000000

163929061163929061

000 100 000 163929061 163929061

89116FYH7 Toronto Dominion Holdings (USA) Inc 35000000 Financial A-1+ 000 1117201511172015

0320176

3497480034985378

7529 9998 000 34992907 34992907

CCYUSD Receivable 10700 Cash AAA 000 0930201509302015

000000

1070010700

000 100 000 10700 10700

CCYUSD Cash 087 Cash AAA 000 0930201509302015

000000

087087

000 100 000 087 087

--- --- 198939848 --- AAA --- 1008201510082015

00560031

198914648198925226

7529 --- 000 198932755 198932755


BookYieldYield



Loss

MarketPrice

Base AccruedBalance


912828B82 US TREASURY NB 100000000 Government AAA 025 0229201602292016

0440145

9963281399922018

124882 100046 21291 100046900 100068191

3130A4KE1 FEDERAL HOME LOAN BANK 50000000 Agency AAA 033 0401201604012016

03450288

4999231949996159

20291 100032 92583 50016450 50109033

69371RK96 PACCAR FINANCIAL CORP 20500000 Industrial A+ 070 1116201511162015

04570676

2054448520506239

-5665 100002 53813 20500574 20554386


04070676

5009100050018360

-16960 100002 131250 50001400 50132650

3136FPET0 FANNIE MAE 100000000 Agency AAA 200 0310201603102016

03260316

101596000100734160

22040 100756 116667 100756200 100872867

313384SS9 FED HOME LN DISCOUNT NT 100000000 Agency A-1+ 000 0205201602052016

02540173

9974722299911805

27895 9994 000 99939700 99939700

36962G6Q2 GENERAL ELEC CAP CORP 75000000 Financial AA+ 0884 0108201601082016

06780491

7538400075045419

31906 100103 156586 75077325 75233911

74256LAC3 PRINCIPAL LFE GLB FND II 25000000 Financial A+ 100 1211201512112015

04340493

2520400025027380

-8580 100075 76389 25018800 25095189

459056HY6 INTL BK RECON amp DEVELOP 16300000 Government AAA 000 0215201602152016

0510252

1623903816269182

16686 99913 000 16285868 16285868


04510252

7682552476970779

62375 99913 000 77033154 77033154

45905U7F5 INTL BK RECON amp DEVELOP 100000000 Government AAA 045 0719201607192016

0450824

100000000100000000

-300000 9970 118750 99700000 99818750

677520FR4 OH ST-TXB-DEV ASST-A 75000000 Municipal AA 539 1001201510012015

03515319

7960500075000000

000 10000 2021250 75000000 77021250

3133EDQW5 FEDERAL FARM CREDIT BANK 100000000 Agency AAA 029 0121201601212016

0380158

9986800099972520

72780 100045 56389 100045300 100101689

69349LAH1 PNC BANK NA 75000000 Financial A+ 080 0128201612282015

04390516

7517850075064909

-13984 100067 105000 75050925 75155925

857477AH6 STATE STREET CORP 28500000 Financial AA- 2875 0307201603072016

0611258

2911417528777256

961 100976 54625 28778217 28832842


05381258

3070590030301438

-8578 100976 57500 30292860 30350360

3133EDGC0 FEDERAL FARM CREDIT BANK 100000000 Agency AAA 025 1104201511042015

03820096

9978800099987783

26817 100015 102083 100014600 100116683

05531FAG8 BBampT CORPORATION 75000000 Financial A+ 320 0315201602162016

06620749

7663200075712709

-60884 100869 106667 75651825 75758492

06406HBX6 BANK OF NEW YORK MELLON 75000000 Financial AA- 230 0728201607282016

06440534

7687500076018727

-57677 101281 301875 75961050 76262925

Balance Sheet Classification WC-Contra Costa County (19529)Base Currency USD As of 09302015 Return to Table of Contents Dated 10052015

12

Page 49


BookYieldYield



Loss

MarketPrice

Base AccruedBalance


3130A3XU3 FEDERAL HOME LOAN BANK 100000000 Agency A-1+ 025 0122201601222016

02630231

9998700099995919

11581 100007 47222 100007500 100054722

3133EFBT3 FEDERAL FARM CREDIT BANK 100000000 Agency AAA 042 0901201609012016

0440404

9998000099981639

43061 100024 35000 100024700 100059700

58768EAC3 MBALT 2014-A A2A 1563282 Asset Backed AAA 048 0615201610152015

04820796

15632411563281

-208 99986 333 1563073 1563406

68428LDH4 ORANGE CNTY -TXBL-A 30000000 Municipal AA 068 0201201602012016

0680185

3000000030000000

49200 100164 32867 30049200 30082067


0680185

4900000049000000

80360 100164 53682 49080360 49134042

03255LGX1 ANAHEIM FING AUTH-B 75000000 Municipal AA- 100 0501201605012016

1000793

7500000075000000

89250 100119 312500 75089250 75401750

912828QX1 US TREASURY NB 100000000 Government AAA 150 0731201607312016

04340339

101839844100883590

69510 100953 252717 100953100 101205817

4197915E4 HAWAII-TXBL-REF-ES 75000000 Municipal AA 0731 0801201608012016

07310525

7500000075000000

128250 100171 91375 75128250 75219625

5446462Q4 LOS ANGELES SD-L-TXBL 40000000 Municipal AA 0486 0101201601012016

04860231

4000000040000000

25200 100063 48600 40025200 40073800

313373SZ6 FEDERAL HOME LOAN BANK 100000000 Agency AAA 2125 0610201606102016

0500431

103068800101117132

63568 101181 655208 101180700 101835908

89233AHP7 Toyota Motor Credit Corporation 50000000 Industrial A-1+ 0363 0219201602192016

03630386

5000000050000000

-3500 99993 1513 49996500 49998013

43814GAB6 HAROT 2014-2 A2 4552100 Asset Backed AAA 039 0919201610192015

03991136

45517444552052

-1723 99961 641 4550329 4550970

91412GUT0 UNIV OF CALIFORNIA-AN 25000000 Municipal AA 0634 0515201605152016

06340413

2500000025000000

34250 100137 59878 25034250 25094128

928668AD4 VOLKSWAGEN GROUP AMERICA 50000000 Industrial A 0549 0523201605232016

05573152

5000000050000000

-768600 98463 28980 49231400 49260380

912828VL1 US TREASURY NB 100000000 Government AAA 0625 0715201607152016

03560322

100300781100211280

25720 100237 132473 100237000 100369473


0300176

3493670834986292

6615 9998 000 34992907 34992907

3130A2T97 FEDERAL HOME LOAN BANK 50000000 Agency AAA 050 0928201609282016

0416000

5004150050041386

-3286 100076 2083 50038100 50040183

912828PS3 US TREASURY NB 100000000 Government AAA 200 0131201601312016

03150138

102519531100559896

72904 100633 336957 100632800 100969757


03350138

101800781100554786

78014 100633 336957 100632800 100969757

14912L4X6 CATERPILLAR FINANCIAL SE 77500000 Industrial A 205 0801201608012016

0643067

7938557578404246

-20126 10114 264792 78384120 78648912

76912TJC8 RIVERSIDE PUB FIN-REF 12500000 Municipal A 100 0901201609012016

13010992

1244687512466000

34875 100007 10417 12500875 12511292

3133EDGM8 FEDERAL FARM CREDIT BANK 100000000 Agency AAA 035 0310201610072015

04410206

9982000099960138

42262 100002 20417 100002400 100022817


0520206

1993360019985090

15390 100002 4083 20000480 20004563

912828RF9 US TREASURY NB 100000000 Government AAA 100 0831201608312016

04320372

101035156100517578

41022 100558 85165 100558600 100643765

912828WQ9 US TREASURY NB 100000000 Government AAA 050 0630201606302016

04590271

100082031100030677

141223 100171 126358 100171900 100298259

47787VAB7 JDOT 2014-A A2 13340757 Asset Backed AAA 045 0915201610232015

04540804

1334023613340717

-2948 99977 2668 13337769 13340437

46625HHW3 JPMORGAN CHASE amp CO 75000000 Financial A+ 260 0115201601152016

0860765

7627500075376462

25463 100535 411667 75401925 75813592

--- --- 2955856139 --- AA+ --- 0403201603252016

04770563

29799313792963765007

211629 --- 6927270 2963976636 2970903906


13

Page 50

LT

Summary


BookYieldYield



Loss

MarketPrice

Base AccruedBalance


605581FW2 MISSISSIPPI ST-B-TXBL 30000000 Municipal AA+ 064 1001201610012016

0640459

3000000030000000

53700 100179 96000 30053700 30149700

90331HMR1 US BANK NA CINCINNATI 45000000 Financial AA- 0595 0126201812262017

05020576

4512060045102743

-84203 100041 49840 45018540 45068380


06050576

3000000030000000

12360 100041 33226 30012360 30045586

3133EDXG2 FEDERAL FARM CREDIT BANK 100000000 Agency AAA 067 1014201610142015

05670213

100100000100003662

13538 100017 310806 100017200 100328006

89236WAB4 TAOT 2015-A A2 60000000 Asset Backed AAA 071 0717201702172016

0712069

5999943059999657

1543 100002 18933 60001200 60020133

17275RAY8 CISCO SYSTEMS INC 75000000 Industrial AA- 0593 0615201806152018

0602081

7500000075000000

-326325 99564 19775 74673675 74693450

06050TLU4 BANK OF AMERICA NA 50000000 Financial A+ 0779 0214201702142017

07930927

5000000050000000

-99000 99802 51953 49901000 49952953

084664CD1 BERKSHIRE HATHAWAY FIN 75000000 Financial AA 0586 0112201801122018

05950768

7500000075000000

-304875 99594 97667 74695125 74792792

43814KAB7 HAROT 2015-1 A2 33500000 Asset Backed AAA 070 0615201702232016

07070726

3349825133498972

-2959 99988 10422 33496014 33506436

762494QV7 RIALTO USD-TXBL 25000000 Municipal AA 1258 0201201702012017

12581164

2500000025000000

40500 100162 52417 25040500 25092917

70659PAE1 PENAR 2013-1A A1 75000000 Asset Backed AAA 0603 1118201711182015

05950699

7500000075000000

-9900 99987 16326 74990100 75006426

41284BAB2 HDMOT 2015-1 A2A 39974707 Asset Backed AAA 080 0115201903102016

08020807

3997438339974499

-5229 99986 14213 39969270 39983483

161571GJ7 CHAIT 2014-A1 A1 77500000 Asset Backed AAA 115 0115201901152017

08560858

7764531377630148

102197 10030 39611 77732345 77771956

31679KAB6 FITAT 2014-2 A2A 23963868 Asset Backed AAA 045 0417201712182015

04630617

2396123523963281

-7944 99964 4793 23955337 23960130

06050TMB5 BANK OF AMERICA NA 25000000 Financial A+ 0782 0605201706052017

07930938

2500000025000000

-63825 99744 12490 24936175 24948665

3130A3J70 FEDERAL HOME LOAN BANK 100000000 Agency AAA 0625 1123201611232016

04840457

100213000100160805

-13205 100147 222222 100147600 100369822

47787WAB5 JDOT 2015-B A2 40000000 Asset Backed AAA 098 0615201810282016

09920938

3999865239998700

14939 100034 23956 40013640 40037596

097023BC8 BOEING CO 75000000 Industrial A 375 1120201611202016

08490764

7891350077451831

105294 103409 1023438 77557125 78580563

90290XAB3 USAOT 2015-1 A2 48000000 Asset Backed AAA 082 0315201806152016

08280693

4799821447998569

99063 100203 17493 48097632 48115125

02665WAY7 AMERICAN HONDA FINANCE 50000000 Industrial A+ 0776 0920201709202017

0788077

5000000050000000

550 100001 7549 50000550 50008099

41284AAB4 HDMOT 2014-1 A2A 10809821 Asset Backed AAA 049 0415201801092016

04970718

1080908910809602

-6602 99936 2354 10803000 10805354

65477WAB2 NAROT 2014-B A2 60250859 Asset Backed AAA 060 0615201701292016

06080785

6024762460249350

-35545 99939 16067 60213804 60229871

437076BJ0 HOME DEPOT INC 75000000 Industrial A 0707 0915201709152017

07070623

7500000075000000

116625 100156 23573 75116625 75140198

36164EAB1 GEET 2015-1 A2 40000000 Asset Backed AAA 089 1124201708192016

09030755

3999570039997074

44005 100102 7911 40041080 40048991

--- --- 1263999255 --- AA --- 0910201711282016

06970689

12684749911266838894

-355297 --- 2173035 1266483597 1268656633


14

Page 51

Grouped By BS Class 2 Groups Sorted By BS Class 2 Weighted By Base Market Value + Accrued


BookYieldYield



Loss

MarketPrice

Base AccruedBalance


--- --- 4418795242 --- AA+ --- 0824201605272016

05210575

44473210184429529127

-136139 --- 9100306 4429392988 4438493293


15

Page 52

Does not Lock Down

Principal Paydown

Buy

Trade DateSettle Date

Transaction Type IdentifierDescription

CouponRate

FinalMaturity

BrokerDealer Base Original UnitsBase Current Units

Price Purchased CostBase Principal

Base AccruedInterest

Base Net TotalRealized Gain

BaseCommission

Base Amount

0915201509152015

Principal Paydown 31679KAB6FITAT 2014-2 A2A

045 04172017 Direct 000-5648497

--- 000-5648497

000 -000 000 5648497

0815201508152015


045 04172017 Direct 000-6011247

--- 000-6011247

000 -000 000 6011247

0715201507152015


045 04172017 Direct 000-6263285

--- 000-6263285

000 -000 000 6263285

0815201508152015

Principal Paydown 41284AAB4HDMOT 2014-1 A2A

049 04152018 Direct 000-1726557

--- 000-1726557

000 000 000 1726557

0715201507152015


049 04152018 Direct 000-1703805

--- 000-1703805

000 000 000 1703805

0915201509152015


049 04152018 Direct 000-1540700

--- 000-1540700

000 000 000 1540700

0815201508152015

Principal Paydown 41284BAB2HDMOT 2015-1 A2A

080 01152019 Direct 000-3595039

--- 000-3595039

000 000 000 3595039

0715201507152015


080 01152019 Direct 000-3002000

--- 000-3002000

000 -000 000 3002000

0915201509152015


080 01152019 Direct 000-3428254

--- 000-3428254

000 -000 000 3428254

0918201509182015

Principal Paydown 43814GAB6HAROT 2014-2 A2

039 09192016 Direct 000-1811448

--- 000-1811448

000 -000 000 1811448

0818201508182015


039 09192016 Direct 000-1906504

--- 000-1906504

000 000 000 1906504

0718201507182015


039 09192016 Direct 000-2005503

--- 000-2005503

000 000 000 2005503

0715201507152015

Principal Paydown 47787VAB7JDOT 2014-A A2

045 09152016 Direct 000-4752217

--- 000-4752217

000 000 000 4752217

0815201508152015


045 09152016 Direct 000-5933214

--- 000-5933214

000 000 000 5933214

0915201509152015


045 09152016 Direct 000-4469878

--- 000-4469878

000 -000 000 4469878

0915201509152015

Principal Paydown 58768EAC3MBALT 2014-A A2A

048 06152016 Direct 000-7784949

--- 000-7784949

000 -000 000 7784949

0815201508152015


048 06152016 Direct 000-7842966

--- 000-7842967

000 000 000 7842967

0715201507152015


048 06152016 Direct 000-8213508

--- 000-8213508

000 000 000 8213508

0815201508152015

Principal Paydown 65477WAB2NAROT 2014-B A2

060 06152017 Direct 000-7684473

--- 000-7684473

000 -000 000 7684473

0915201509152015


060 06152017 Direct 000-7064668

--- 000-7064668

000 000 000 7064668

0715201507152015

Principal Paydown 90290KAB1USAOT 2014-1 A2

038 10172016 Direct 000-6260991

--- 000-6260991

000 -000 000 6260991

0815201508152015


038 10172016 Direct 000-3808377

--- 000-3808377

000 000 000 3808377

0720201507202015

Principal Paydown 92867GAC7VALET 2012-1 A3

085 08222016 Direct 000-2084026

--- 000-2084026

000 -000 000 2084026

0820201508202015


085 08222016 Direct 000-315887

--- 000-315887

000 000 000 315887

------

Principal Paydown ------

--- --- Direct 000-104857994

--- 000-104857994

000 000 000 104857994

Trading Activity WC-Contra Costa County (19529)Base Currency USD 07012015 - 09302015 Return to Table of Contents Dated 10052015

16

Page 53



CouponRate

FinalMaturity





BaseCommission

Base Amount

0921201509242015

Buy 02665WAY7AMERICAN HONDA FINANCE

0776 09202017 Deutsche Bank 5000000050000000

10000 00050000000

000 000 000 -50000000

0804201508072015

Buy 161571GJ7CHAIT 2014-A1 A1

115 01152019 Hong Kong Shanghai Bank Corp 7750000077500000

100188 00077645313

54465 000 000 -77699778

0930201509302015

Buy 3130A2T97FEDERAL HOME LOAN BANK

050 09282016 APX Asset 5000000050000000

100083 00050041500

1389 000 000 -50042889

0827201509012015

Buy 3133EFBT3FEDERAL FARM CREDIT BANK

042 09012016 FIRST TENNESSEE BANK N ABOND

100000000100000000

9998 00099980000

000 000 000 -99980000

0908201509152015

Buy 437076BJ0HOME DEPOT INC

0707 09152017 Bank of America 7500000075000000

10000 00075000000

000 000 000 -75000000

0901201509092015

Buy 47787WAB5JDOT 2015-B A2

098 06152018 Dain Rauscher 4000000040000000

99997 00039998652

000 000 000 -39998652

0827201508282015

Buy 89116FYH7Toronto Dominion Holdings(USA) Inc

000 11172015 TORONTO DOMINION BK 3500000035000000

99928 00034974800

000 000 000 -34974800

0827201508282015

Buy 89233AHP7Toyota Motor Credit Corporation

0369 02192016 Toyota Motor Credit Corp 5000000050000000

10000 00050000000

000 000 000 -50000000

0721201507292015

Buy 90290XAB3USAOT 2015-1 A2

082 03152018 Dain Rauscher 4800000048000000

99996 00047998214

000 000 000 -47998214

0701201507012015

Buy 949917397WFA HERITAGE MONEY MARK-I

005 09302015 Direct 103898103898

100 103898103898

000 000 000 -103898

0708201507082015


005 09302015 Direct 100315648100315648

100 100315648100315648

000 000 000 -100315648

0715201507152015


005 09302015 Direct 47810824781082

100 47810824781082

000 000 000 -4781082

0715201507152015


005 09302015 Direct 2211138522111385

100 2211138522111385

000 000 000 -22111385

0715201507152015


005 09302015 Direct 47629034762903

100 47629034762903

000 000 000 -4762903

0713201507132015


005 09302015 Direct 109181109181

100 109181109181

000 000 000 -109181

0720201507202015


005 09302015 Direct 40945704094570

100 40945704094570

000 000 000 -4094570

0720201507202015


005 09302015 Direct 3833338333

100 3833338333

000 000 000 -38333

0724201507242015


005 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0723201507232015


005 09302015 Direct 125000125000

100 125000125000

000 000 000 -125000

0721201507212015


005 09302015 Direct 145000145000

100 145000145000

000 000 000 -145000

0728201507282015


005 09302015 Direct 11625001162500

100 11625001162500

000 000 000 -1162500

0727201507272015


005 09302015 Direct 109389109389

100 109389109389

000 000 000 -109389

0731201507312015


005 09302015 Direct 27500002750000

100 27500002750000

000 000 000 -2750000

0803201508032015


006 09302015 Direct 125606125606

100 125606125606

000 000 000 -125606

0803201508032015


006 09302015 Direct 7658631276586312

100 7658631276586312

000 000 000 -76586312

0817201508172015


006 09302015 Direct 5513255132

100 5513255132

000 000 000 -55132

0817201508172015


006 09302015 Direct 2900316329003163

100 2900316329003163

000 000 000 -29003163

0814201508142015


006 09302015 Direct 9519495194

100 9519495194

000 000 000 -95194

0820201508202015


006 09302015 Direct 390154390154

100 390154390154

000 000 000 -390154


17

Page 54

Sell



CouponRate

FinalMaturity





BaseCommission

Base Amount

0820201508202015


006 09302015 Direct 224224

100 224224

000 000 000 -224

0820201508202015


006 09302015 Direct 12061206

100 12061206

000 000 000 -1206

0819201508192015


006 09302015 Direct 6750000067500000

100 6750000067500000

000 000 000 -67500000

0819201508192015


006 09302015 Direct 9427194271

100 9427194271

000 000 000 -94271

0818201508182015


006 09302015 Direct 77219737721973

100 77219737721973

000 000 000 -7721973

0818201508182015


006 09302015 Direct 3492134921

100 3492134921

000 000 000 -34921

0818201508182015


006 09302015 Direct 19091921909192

100 19091921909192

000 000 000 -1909192

0825201508252015


006 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0824201508242015


006 09302015 Direct 6300063000

100 6300063000

000 000 000 -63000

0831201508312015


006 09302015 Direct 625000625000

100 625000625000

000 000 000 -625000

0910201509102015


008 09302015 Direct 12100001210000

100 12100001210000

000 000 000 -1210000

0908201509082015


008 09302015 Direct 866615866615

100 866615866615

000 000 000 -866615

0911201509112015


008 09302015 Direct 421162421162

100 421162421162

000 000 000 -421162

0911201509112015


008 09302015 Direct 2243022430

100 2243022430

000 000 000 -22430

0918201509182015


008 09302015 Direct 18135161813516

100 18135161813516

000 000 000 -1813516

0918201509182015


008 09302015 Direct 3807838078

100 3807838078

000 000 000 -38078

0916201509162015


008 09302015 Direct 6830068300

100 6830068300

000 000 000 -68300

0915201509152015


008 09302015 Direct 1124587911245879

100 1124587911245879

000 000 000 -11245879

0915201509152015


008 09302015 Direct 44765574476557

100 44765574476557

000 000 000 -4476557

0915201509152015


008 09302015 Direct 1673996916739969

100 1673996916739969

000 000 000 -16739969

0921201509212015


008 09302015 Direct 9958549499585494

100 9958549499585494

000 000 000 -99585494

0921201509212015


008 09302015 Direct 250000250000

100 250000250000

000 000 000 -250000

0928201509282015


008 09302015 Direct 1584415844

100 1584415844

000 000 000 -15844

------

Buy ------

--- --- --- 987127415987127415

--- 461627415987265894

55854 000 000 -987321748



CouponRate

FinalMaturity





BaseCommission

Base Amount

0919201509192015

Sell 3136G1NQ8FANNIE MAE

100 06192017 Not Provided -100000000-100000000

10000 000-100000000

-250000 000 000 100250000

0720201507202015

Sell 949917397WFA HERITAGE MONEY MARK-I

005 09302015 Direct -633478-633478

100 -633478-633478

000 000 000 633478

0729201507292015


005 09302015 Direct -47998214-47998214

100 -47998214-47998214

000 000 000 47998214


18

Page 55

Maturity

Summary

Grouped By Transaction Type Groups Sorted By Transaction Type Showing transactions with Trade Date within selected date range MMF transactions are expanded

The Transaction DetailTrading Activity reports provide our most up-to-date transactional details As such these reports are subject to change even after the other reports on the website have been locked down While these reports can be useful tools in understanding recent activity

due to their dynamic nature we do not recommend using them for booking journal entries or reconciliation



CouponRate

FinalMaturity





BaseCommission

Base Amount

0807201508072015


006 09302015 Direct -77699778-77699778

100 -77699778-77699778

000 000 000 77699778

0810201508102015


006 09302015 Direct -1522403-1522403

100 -1522403-1522403

000 000 000 1522403

0828201508282015


006 09302015 Direct -84974800-84974800

100 -84974800-84974800

000 000 000 84974800

0901201509012015


008 09302015 Direct -89883832-89883832

100 -89883832-89883832

000 000 000 89883832

0909201509092015


008 09302015 Direct -39998652-39998652

100 -39998652-39998652

000 000 000 39998652

0924201509242015


008 09302015 Direct -49970333-49970333

100 -49970333-49970333

000 000 000 49970333

0930201509302015


008 09302015 Direct -50042889-50042889

100 -50042889-50042889

000 000 000 50042889

------

Sell ------

--- --- --- -542724379-542724379

--- -442724379-542724379

-250000 000 000 542974379



CouponRate

FinalMaturity





BaseCommission

Base Amount

0901201509012015

Maturity 010775AK0ALAMEDA CA CMNTY IMPT

0553 09012015 Maturity -10000000-10000000

10000 000-10000000

000 000 000 10000000

0915201509152015

Maturity 0258M0DA4AMER EXPRESS CREDIT CO

275 09152015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0708201507082015

Maturity 3134G4TH1FREDDIE MAC

030 07082015 Maturity -100000000-100000000

10000 000-100000000

000 000 000 100000000

0801201508012015

Maturity 54438CQZ8LOS ANGELES CCD-H-TXL

0297 08012015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0819201508192015

Maturity 74153WCA5PRICOA GLOBAL FUNDING 1

0546 08192015 Maturity -37500000-37500000

10000 000-37500000

000 000 000 37500000

0819201508192015


0546 08192015 Maturity -30000000-30000000

10000 000-30000000

000 000 000 30000000

------

Maturity ------

--- --- Maturity -327500000-327500000

10000 000-327500000

000 000 000 327500000



CouponRate

FinalMaturity





BaseCommission

Base Amount

------

--- ------

--- --- --- 11690303612045042

--- 1890303612183521

-194146 000 000 -11989375


19

Page 56

Does not Lock Down

Receivable

Settled

Entry Date Settle Date Transaction Type Base Current Units Identifier Description CouponRate

Final Maturity Price Base Amount

09302015 09302015 Money Market Funds 000 949917397 WFA HERITAGE MONEY MARK-I 008 09302015 --- 10614




09012015 09012015 Coupon 000 010775AK0 ALAMEDA CA CMNTY IMPT 0553 09012015 --- 27650

09012015 09012015 Maturity -10000000 010775AK0 ALAMEDA CA CMNTY IMPT 0553 09012015 10000 10000000

09152015 09152015 Coupon 000 0258M0DA4 AMER EXPRESS CREDIT CO 275 09152015 --- 1031250

09152015 09152015 Maturity -75000000 0258M0DA4 AMER EXPRESS CREDIT CO 275 09152015 10000 75000000

09212015 09242015 Buy 50000000 02665WAY7 AMERICAN HONDA FINANCE 0776 09202017 10000 -50000000

09152015 09152015 Coupon 000 05531FAG8 BBampT CORPORATION 320 03152016 --- 1200000

08142015 08142015 Coupon 000 06050TLU4 BANK OF AMERICA NA 0779 02142017 --- 95194

09082015 09082015 Coupon 000 06050TMB5 BANK OF AMERICA NA 0782 06052017 --- 48107

07282015 07282015 Coupon 000 06406HBX6 BANK OF NEW YORK MELLON 230 07282016 --- 862500

07132015 07132015 Coupon 000 084664CD1 BERKSHIRE HATHAWAY FIN 0586 01122018 --- 109181

08012015 08012015 Coupon 000 14912L4X6 CATERPILLAR FINANCIAL SE 205 08012016 --- 794375

08042015 08072015 Buy 77500000 161571GJ7 CHAIT 2014-A1 A1 115 01152019 100188 -77699778

08152015 08152015 Coupon 000 161571GJ7 CHAIT 2014-A1 A1 115 01152019 --- 74271


09152015 09152015 Coupon 000 17275RAY8 CISCO SYSTEMS INC 0593 06152018 --- 111234

09302015 09302015 Buy 50000000 3130A2T97 FEDERAL HOME LOAN BANK 050 09282016 100083 -50042889

07232015 07232015 Coupon 000 3130A3XU3 FEDERAL HOME LOAN BANK 025 01222016 --- 125000

09102015 09102015 Coupon 000 3133EDGM8 FEDERAL FARM CREDIT BANK 035 03102016 --- 210000

07212015 07212015 Coupon 000 3133EDQW5 FEDERAL FARM CREDIT BANK 029 01212016 --- 145000

08272015 09012015 Buy 100000000 3133EFBT3 FEDERAL FARM CREDIT BANK 042 09012016 9998 -99980000

07082015 07082015 Coupon 000 3134G4TH1 FREDDIE MAC 030 07082015 --- 150000

07082015 07082015 Maturity -100000000 3134G4TH1 FREDDIE MAC 030 07082015 10000 100000000

09102015 09102015 Coupon 000 3136FPET0 FANNIE MAE 200 03102016 --- 1000000

09192015 09192015 Sell -100000000 3136G1NQ8 FANNIE MAE 100 06192017 10000 100250000

09152015 09152015 Coupon 000 31679KAB6 FITAT 2014-2 A2A 045 04172017 --- 11105

09152015 09152015 Principal Paydown -5648497 31679KAB6 FITAT 2014-2 A2A 045 04172017 --- 5648497





07232015 07232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

09232015 09232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

08232015 08232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

07082015 07082015 Coupon 000 36962G6Q2 GENERAL ELEC CAP CORP 0884 01082016 --- 165648

08152015 08152015 Coupon 000 41284AAB4 HDMOT 2014-1 A2A 049 04152018 --- 5748

08152015 08152015 Principal Paydown -1726557 41284AAB4 HDMOT 2014-1 A2A 049 04152018 --- 1726557





Transaction Detail WC-Contra Costa County (19529)Base Currency USD 07012015 - 09302015 Return to Table of Contents Dated 10052015

20

Page 57



08152015 08152015 Coupon 000 41284BAB2 HDMOT 2015-1 A2A 080 01152019 --- 31332

08152015 08152015 Principal Paydown -3595039 41284BAB2 HDMOT 2015-1 A2A 080 01152019 --- 3595039





08012015 08012015 Coupon 000 4197915E4 HAWAII-TXBL-REF-ES 0731 08012016 --- 374638

09082015 09152015 Buy 75000000 437076BJ0 HOME DEPOT INC 0707 09152017 10000 -75000000

09182015 09182015 Principal Paydown -1811448 43814GAB6 HAROT 2014-2 A2 039 09192016 --- 1811448

09182015 09182015 Coupon 000 43814GAB6 HAROT 2014-2 A2 039 09192016 --- 2068





07152015 07152015 Coupon 000 43814KAB7 HAROT 2015-1 A2 070 06152017 --- 19542



07152015 07152015 Coupon 000 46625HHW3 JPMORGAN CHASE amp CO 260 01152016 --- 975000

07152015 07152015 Coupon 000 47787VAB7 JDOT 2014-A A2 045 09152016 --- 10686

07152015 07152015 Principal Paydown -4752217 47787VAB7 JDOT 2014-A A2 045 09152016 --- 4752217





09012015 09092015 Buy 40000000 47787WAB5 JDOT 2015-B A2 098 06152018 99997 -39998652

08012015 08012015 Coupon 000 54438CQZ8 LOS ANGELES CCD-H-TXL 0297 08012015 --- 125606

08012015 08012015 Maturity -75000000 54438CQZ8 LOS ANGELES CCD-H-TXL 0297 08012015 10000 75000000

07012015 07012015 Coupon 000 5446462Q4 LOS ANGELES SD-L-TXBL 0486 01012016 --- 97200

09152015 09152015 Coupon 000 58768EAC3 MBALT 2014-A A2A 048 06152016 --- 3739

09152015 09152015 Principal Paydown -7784949 58768EAC3 MBALT 2014-A A2A 048 06152016 --- 7784949





07152015 07152015 Coupon 000 65477WAB2 NAROT 2014-B A2 060 06152017 --- 37500

08152015 08152015 Principal Paydown -7684473 65477WAB2 NAROT 2014-B A2 060 06152017 --- 7684473




08032015 08032015 Coupon 000 68428LDH4 ORANGE CNTY -TXBL-A 068 02012016 --- 298444

07282015 07282015 Coupon 000 69349LAH1 PNC BANK NA 080 01282016 --- 300000

09182015 09182015 Coupon 000 70659PAE1 PENAR 2013-1A A1 0603 11182017 --- 38078



08192015 08192015 Maturity -37500000 74153WCA5 PRICOA GLOBAL FUNDING 1 0546 08192015 10000 37500000

08192015 08192015 Coupon 000 74153WCA5 PRICOA GLOBAL FUNDING 1 0546 08192015 --- 94271


08012015 08012015 Coupon 000 762494QV7 RIALTO USD-TXBL 1258 02012017 --- 109201

09012015 09012015 Coupon 000 76912TJC8 RIVERSIDE PUB FIN-REF 100 09012016 --- 53819

09072015 09072015 Coupon 000 857477AH6 STATE STREET CORP 2875 03072016 --- 840938


21

Page 58



08272015 08282015 Buy 35000000 89116FYH7 Toronto Dominion Holdings (USA) Inc 000 11172015 99928 -34974800

09282015 09282015 Coupon 000 89233AHP7 Toyota Motor Credit Corporation 0363 02192016 --- 15844

08272015 08282015 Buy 50000000 89233AHP7 Toyota Motor Credit Corporation 0369 02192016 10000 -50000000

07152015 07152015 Coupon 000 89236WAB4 TAOT 2015-A A2 071 07172017 --- 35500



07152015 07152015 Principal Paydown -6260991 90290KAB1 USAOT 2014-1 A2 038 10172016 --- 6260991

07152015 07152015 Coupon 000 90290KAB1 USAOT 2014-1 A2 038 10172016 --- 3189



07212015 07292015 Buy 48000000 90290XAB3 USAOT 2015-1 A2 082 03152018 99996 -47998214

09152015 09152015 Coupon 000 90290XAB3 USAOT 2015-1 A2 082 03152018 --- 32800


07272015 07272015 Coupon 000 90331HMR1 US BANK NA CINCINNATI 0595 01262018 --- 109389

08312015 08312015 Coupon 000 912828B82 US TREASURY NB 025 02292016 --- 125000

07312015 07312015 Coupon 000 912828PS3 US TREASURY NB 200 01312016 --- 2000000

07312015 07312015 Coupon 000 912828QX1 US TREASURY NB 150 07312016 --- 750000

08312015 08312015 Coupon 000 912828RF9 US TREASURY NB 100 08312016 --- 500000

07152015 07152015 Coupon 000 912828VL1 US TREASURY NB 0625 07152016 --- 312500

08242015 08242015 Coupon 000 928668AD4 VOLKSWAGEN GROUP AMERICA 0549 05232016 --- 63000

07202015 07202015 Principal Paydown -2084026 92867GAC7 VALET 2012-1 A3 085 08222016 --- 2084026

07202015 07202015 Coupon 000 92867GAC7 VALET 2012-1 A3 085 08222016 --- 1700



07012015 07012015 Buy 103898 949917397 WFA HERITAGE MONEY MARK-I 005 09302015 100 -103898








07202015 07202015 Sell -633478 949917397 WFA HERITAGE MONEY MARK-I 005 09302015 100 633478



















22

Page 59

Summary

Grouped By Status Groups Sorted By Status Showing transactions with Entry Date within selected date range MMF transactions are expanded

































09212015 09212015 Management Fee 000 CCYUSD US Dollar 000 09302015 --- -414506

09112015 09112015 Management Fee 000 CCYUSD US Dollar 000 09302015 --- 421162


08102015 08102015 Cash Transfer 000 CCYUSD US Dollar 000 09302015 --- -1522403

--- --- --- 12045042 --- --- --- --- --- -6699



--- --- --- 12045042 --- --- --- --- --- 3915


23

Page 60

Does not Lock Down

Receivable

Settled

Entry Date Settle Date Transaction Type Base Current Units Identifier Ticker Description Base Amount

09302015 09302015 Money Market Funds 000 949917397 SHIXX WFA HERITAGE MONEY MARK-I 10614



07012015 07012015 Buy 103898 949917397 SHIXX WFA HERITAGE MONEY MARK-I -103898








07202015 07202015 Sell -633478 949917397 SHIXX WFA HERITAGE MONEY MARK-I 633478


































MMF Transaction Detail WC-Contra Costa County (19529)Base Currency USD 07012015 - 09302015 Return to Table of Contents Dated 10052015

24

Page 61

Summary

Grouped By Status Groups Sorted By Status Filtered By Security Type = MMFUND Showing transactions with Entry Date within selected date range MMF transactions are expanded
















--- --- --- 18903036 949917397 SHIXX WFA HERITAGE MONEY MARK-I -18878683




25

Page 62

IdentifierDescription

Beginning MarketValue + AccruedBase Purchases

Base SalesBase Maturities and

Redemptions

Base Paydowns Base Net TransferredValue

Base AmortizationAccretion

Change In AccruedBalance

Net RealizedGainLoss

Base Change InNet Unrealized

GainLoss

Base Change In CashPayablesReceivables

Ending Market Value +Accrued

31679KAB6FITAT 2014-2 A2A

41898878000

000000

-17923029 000 1129 -3585 -001 -13263 000 23960130

41284BAB2HDMOT 2015-1 A2A

50058628000

000000

-10025293 000 110 -3565 -000 -46397 000 39983483

65477WAB2NAROT 2014-B A2

74988125000

000000

-14749141 000 1039 -3933 -000 -6219 000 60229871

949917397WFA HERITAGE MONEY MARK-I

145026025461627415

-442724379000

000 000 000 000 000 000 000 163929061

912828B82US TREASURY NB

100138260000

000000

000 000 47512 -62269 000 -55312 000 100068191

3136G1NQ8FANNIE MAE

100162633000

-100000000000

000 000 000 -33333 000 -129300 000 000

3130A4KE1FEDERAL HOME LOAN BANK

50056533000

000000

000 000 1931 41250 000 9319 000 50109033

36962G6Q2GENERAL ELEC CAP CORP

75376481000

000000

000 000 -42208 3680 000 -104042 000 75233911

74256LAC3PRINCIPAL LFE GLB FND II

25057089000

000000

000 000 -35478 62500 000 11078 000 25095189

605581FW2MISSISSIPPI ST-B-TXBL

30022800000

000000

000 000 000 48000 000 78900 000 30149700

677520FR4OH ST-TXB-DEV ASST-A

76885875000

000000

000 000 -947785 1010625 000 72535 000 77021250

90331HMR1US BANK NA CINCINNATI

44989417000

000000

000 000 -11570 2237 000 88295 000 45068380


29992945000

000000

000 000 000 1491 000 51150 000 30045586

857477AH6STATE STREET CORP

29215583000

000000

000 000 -161440 -204844 000 -16457 000 28832842


30753245000

000000

000 000 -175521 -215625 000 -11739 000 30350360

06050TLU4BANK OF AMERICA NA

50063217000

000000

000 000 000 2287 000 -112550 000 49952953

3133EDGC0FEDERAL FARM CREDIT BANK

100067783000

000000

000 000 33058 62500 000 -46658 000 100116683

084664CD1BERKSHIRE HATHAWAY FIN

75187934000

000000

000 000 000 2883 000 -398025 000 74792792

05531FAG8BBampT CORPORATION

76827617000

000000

000 000 -475139 -600000 000 6014 000 75758492

43814KAB7HAROT 2015-1 A2

33501377000

000000

000 000 245 000 000 4813 000 33506436

3133EFBT3FEDERAL FARM CREDIT BANK

00099980000

000000

000 000 1639 35000 000 43061 000 100059700

54438CQZ8LOS ANGELES CCD-H-TXL

75113794000

000-75000000

000 000 000 -107044 000 -6750 000 000

70659PAE1PENAR 2013-1A A1

75047598000

000000

000 000 000 753 000 -41925 000 75006426

161571GJ7CHAIT 2014-A1 A1

00077645313

000000

000 000 -15165 39611 000 102197 000 77771956

03255LGX1ANAHEIM FING AUTH-B

75100250000

000000

000 000 000 187500 000 114000 000 75401750

912828QX1US TREASURY NB

101844491000

000000

000 000 -267402 -372973 000 1702 000 101205817

4197915E4HAWAII-TXBL-REF-ES

75367200000

000000

000 000 000 -237575 000 90000 000 75219625

89233AHP7Toyota Motor Credit Corporation

00050000000

000000

000 000 000 1513 000 -3500 000 49998013

3130A3J70FEDERAL HOME LOAN BANK

100126572000

000000

000 000 -35308 156250 000 122308 000 100369822

Roll Forward WC-Contra Costa County (19529)Base Currency USD 07012015 - 09302015 Return to Table of Contents Dated 10052015

26

Page 63




Redemptions






GainLoss



097023BC8BOEING CO

78296763000

000000

000 000 -542232 703125 000 122907 000 78580563

90290XAB3USAOT 2015-1 A2

00047998214

000000

000 000 355 17493 000 99063 000 48115125

74153WCA5PRICOA GLOBAL FUNDING 1

30023663000

000-30000000

000 000 -7090 -19583 000 3010 000 000


37529579000

000-37500000

000 000 000 -24479 000 -5100 000 000

928668AD4VOLKSWAGEN GROUP AMERICA

49985300000

000000

000 000 000 3880 000 -728800 000 49260380

912828VL1US TREASURY NB

100561729000

000000

000 000 -67492 -155855 000 31092 000 100369473

89116FYH7Toronto Dominion Holdings (USA) Inc

00034974800

000000

000 000 10578 000 000 7529 000 34992907


34966244000

000000

000 000 26833 000 000 -172 000 34992907

CCYUSDReceivable

6698000

000000

000 000 000 000 000 000 4002 10700

CCYUSDCash

088000

000000

000 000 000 000 000 000 -001 087

CCYUSDPayable

000000

000000

000 000 000 000 000 000 000 000

3130A2T97FEDERAL HOME LOAN BANK

00050041500

000000

000 000 -114 2083 000 -3286 000 50040183

76912TJC8RIVERSIDE PUB FIN-REF

12498486000

000000

000 000 9310 -22569 000 26065 000 12511292

36164EAB1GEET 2015-1 A2

40033871000

000000

000 000 562 000 000 14558 000 40048991

912828RF9US TREASURY NB

101053039000

000000

000 000 -142141 -249074 000 -18059 000 100643765

912828WQ9US TREASURY NB

100165459000

000000

000 000 -10338 125000 000 18138 000 100298259

46625HHW3JPMORGAN CHASE amp CO

76494217000

000000

000 000 -326741 -487500 000 133616 000 75813592

69371RK96PACCAR FINANCIAL CORP

20535773000

000000

000 000 -12478 35875 000 -4784 000 20554386


50087250000

000000

000 000 -36719 87500 000 -5381 000 50132650

3136FPET0FANNIE MAE

101794467000

000000

000 000 -419520 -500000 000 -2080 000 100872867

313384SS9FED HOME LN DISCOUNT NT

99908700000

000000

000 000 63889 000 000 -32889 000 99939700

459056HY6INTL BK RECON amp DEVELOP

76867003000

000000

000 000 86776 000 000 79375 000 77033154


16250741000

000000

000 000 20696 000 000 14431 000 16285868

45905U7F5INTL BK RECON amp DEVELOP

100006250000

000000

000 000 000 112500 000 -300000 000 99818750

3133EDQW5FEDERAL FARM CREDIT BANK

100151989000

000000

000 000 22572 -72500 000 -372 000 100101689

69349LAH1PNC BANK NA

75360600000

000000

000 000 -67860 -150000 000 13185 000 75155925

3133EDXG2FEDERAL FARM CREDIT BANK

100156006000

000000

000 000 -25915 167500 000 30415 000 100328006

89236WAB4TAOT 2015-A A2

59989773000

000000

000 000 106 000 000 30254 000 60020133

17275RAY8CISCO SYSTEMS INC

75148560000

000000

000 000 000 2390 000 -457500 000 74693450


27

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Redemptions






GainLoss



06406HBX6BANK OF NEW YORK MELLON

77069775000

000000

000 000 -311372 -431250 000 -64228 000 76262925

010775AK0ALAMEDA CA CMNTY IMPT

10018733000

000-10000000

000 000 000 -18433 000 -300 000 000

3130A3XU3FEDERAL HOME LOAN BANK

100125422000

000000

000 000 3322 -62500 000 -11522 000 100054722

762494QV7RIALTO USD-TXBL

25084493000

000000

000 000 000 -30576 000 39000 000 25092917

68428LDH4ORANGE CNTY -TXBL-A

30139300000

000000

000 000 000 -62333 000 5100 000 30082067


49227523000

000000

000 000 000 -101811 000 8330 000 49134042

3134G4TH1FREDDIE MAC

100148867000

000-100000000

000 000 -142 -144167 000 -4558 000 000

06050TMB5BANK OF AMERICA NA

25022566000

000000

000 000 000 -676 000 -73225 000 24948665

5446462Q4LOS ANGELES SD-L-TXBL

40100000000

000000

000 000 000 -48600 000 22400 000 40073800

313373SZ6FEDERAL HOME LOAN BANK

101747358000

000000

000 000 -406230 531250 000 -36470 000 101835908

91412GUT0UNIV OF CALIFORNIA-AN

25035503000

000000

000 000 000 39625 000 19000 000 25094128

47787WAB5JDOT 2015-B A2

00039998652

000000

000 000 048 23956 000 14939 000 40037596

02665WAY7AMERICAN HONDA FINANCE

00050000000

000000

000 000 000 7549 000 550 000 50008099

0258M0DA4AMER EXPRESS CREDIT CO

75897542000

000-75000000

000 000 -350511 -607292 000 60261 000 000

437076BJ0HOME DEPOT INC

00075000000

000000

000 000 000 23573 000 116625 000 75140198

912828PS3US TREASURY NB

101896754000

000000

000 000 -422216 -497298 000 -7484 000 100969757


101896754000

000000

000 000 -418363 -497298 000 -11337 000 100969757

3133EDGM8FEDERAL FARM CREDIT BANK

100071817000

000000

000 000 22779 -87500 000 15721 000 100022817


20014363000

000000

000 000 8520 -17500 000 -820 000 20004563

14912L4X6CATERPILLAR FINANCIAL SE

79187459000

000000

000 000 -272756 -397188 000 131396 000 78648912

58768EAC3MBALT 2014-A A2A

25410507000

000000

-23841424 000 096 -5086 000 -687 000 1563406

47787VAB7JDOT 2014-A A2

28501338000

000000

-15155309 000 221 -3031 000 -2782 000 13340437

90290KAB1USAOT 2014-1 A2

10070313000

000000

-10069368 000 033 -1701 000 722 000 000

92867GAC7VALET 2012-1 A3

2401150000

000000

-2399913 000 -530 -623 000 -084 000 000

43814GAB6HAROT 2014-2 A2

10272974000

000000

-5723455 000 218 -806 000 2040 000 4550970

41284AAB4HDMOT 2014-1 A2A

15784776000

000000

-4971062 000 254 -1083 001 -7533 000 10805354

------

4435867885987265894

-542724379-327500000

-104857994 000 -5643946 -3001677 000 -916491 4001 4438493293


28

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Weighted By Ending Base Market Value + Accrued


29

Page 66

Identifier Description Security Type Base Market Value BookYield

Yield Duration -200 Basis PointShock

-100 Basis PointShock


50 Basis PointShock

100 Basis PointShock


02665WAY7 AMERICAN HONDA FINANCE CORP 50000550 0788 077 0224 50086794 50086794 50056552 49944551 49888554 49776568

03255LGX1 ANAHEIM FING AUTH-B MUNI 75089250 100 0793 0589 75439975 75439975 75310388 74868112 74646974 74204699

05531FAG8 BBampT CORPORATION CORP 75651825 0662 0749 0458 75911351 75911351 75825071 75478586 75305355 74958915

06050TLU4 BANK OF AMERICA NA CORP 49901000 0793 0927 012 49956512 49956512 49930941 49871060 49841121 49781248

06050TMB5 BANK OF AMERICA NA CORP 24936175 0793 0938 0188 24980150 24980150 24959615 24912735 24889296 24842420

06406HBX6 BANK OF NEW YORK MELLON CORP 75961050 0644 0534 0823 76294897 76294897 76273640 75648481 75335932 74710898

084664CD1 BERKSHIRE HATHAWAY FIN CORP 74695125 0595 0768 0024 74708892 74708892 74704088 74686162 74677198 74659271

097023BC8 BOEING CO CORP 77557125 0849 0764 1111 78215474 78215474 77987972 77126313 76695535 75834085

14912L4X6 CATERPILLAR FINANCIAL SE CORP 78384120 0643 067 0831 78820559 78820559 78709817 78058445 77732791 77081548

161571GJ7 CHAIT 2014-A1 A1 ABS 77732345 0856 0858 1289 78592101 78592101 78233352 77231382 76730464 75728763

17275RAY8 CISCO SYSTEMS INC CORP 74673675 0602 081 0203 74796463 74796463 74749470 74597882 74522091 74370515

3130A2T97 FEDERAL HOME LOAN BANK AGCY BOND 50038100 0416 000 000 50038100 50038100 50038100 50038100 50038100 50038100

3130A3J70 FEDERAL HOME LOAN BANK AGCY BOND 100147600 0484 0457 1143 100670742 100670742 100670742 99575280 99003008 97858606

3130A3XU3 FEDERAL HOME LOAN BANK AGCY BOND 100007500 0263 0231 0314 100080040 100080040 100080040 99850492 99693491 99379513

3130A4KE1 FEDERAL HOME LOAN BANK AGCY BOND 50016450 0345 0288 0504 50089051 50089051 50089051 49890412 49764380 49512334

313373SZ6 FEDERAL HOME LOAN BANK AGCY BOND 101180700 050 0431 0691 101482045 101482045 101482045 100831130 100481582 99782545

313384SS9 FED HOME LN DISCOUNT NT AGCY DISC 99939700 0254 0173 0347 99999695 99999695 99999695 99766308 99592924 99246178

3133EDGC0 FEDERAL FARM CREDIT BANK AGCY BOND 100014600 0382 0096 0097 100023913 100023913 100023913 99966094 99917591 99820592

3133EDGM8 FEDERAL FARM CREDIT BANK AGCY BOND 120002880 0454 0206 0446 120113135 120113135 120113135 119735280 119467691 118932550

3133EDQW5 FEDERAL FARM CREDIT BANK AGCY BOND 100045300 038 0158 0311 100094461 100094461 100094461 99889733 99734174 99423078

3133EDXG2 FEDERAL FARM CREDIT BANK AGCY BOND 100017200 0567 0213 0435 100109710 100109710 100109710 99798776 99578580 99132868

3133EFBT3 FEDERAL FARM CREDIT BANK AGCY BOND 100024700 044 0404 0919 100396078 100396078 100396078 99565103 99105538 98186506

3136FPET0 FANNIE MAE AGCY BOND 100756200 0326 0316 0447 100898522 100898522 100898522 100531015 100305840 99855520

31679KAB6 FITAT 2014-2 A2A ABS 23955337 0463 0617 0217 23987412 23987412 23981330 23929347 23903357 23851381

36164EAB1 GEET 2015-1 A2 ABS 40041080 0903 0755 000 40041080 40041080 40041080 40041080 40041080 40041080

36962G6Q2 GENERAL ELEC CAP CORP CORP 75077325 0678 0491 002 75084698 75084698 75084698 75069817 75062310 75047294

41284AAB4 HDMOT 2014-1 A2A ABS 10803000 0497 0718 0277 10824486 10824486 10817962 10788038 10773077 10743155

41284BAB2 HDMOT 2015-1 A2A ABS 39969270 0802 0807 0698 40194154 40194154 40108664 39829678 39689889 39409716

4197915E4 HAWAII-TXBL-REF-ES MUNI 75128250 0731 0525 0839 75459171 75459171 75443413 74813087 74497924 73867598

437076BJ0 HOME DEPOT INC CORP 75116625 0707 0623 0211 75215370 75215370 75195874 75037377 74958133 74799648

43814GAB6 HAROT 2014-2 A2 ABS 4550329 0399 1136 0054 4553121 4552786 4551558 4549101 4547872 4545415

43814KAB7 HAROT 2015-1 A2 ABS 33496014 0707 0726 0399 33593046 33593046 33562840 33429191 33362371 33228742

459056HY6 INTL BK RECON amp DEVELOP SOVEREIGNGOV

93319022 0462 0252 0377 93407680 93407680 93407680 93143119 92967223 92615453

45905U7F5 INTL BK RECON amp DEVELOP SOVEREIGNGOV

99700000 045 0824 0801 100358078 100358078 100099311 99300714 98901453 98103005

46625HHW3 JPMORGAN CHASE amp CO CORP 75401925 086 0765 0293 75570939 75570939 75512391 75291463 75181005 74960100

47787VAB7 JDOT 2014-A A2 ABS 13337769 0454 0804 0065 13344739 13344739 13342104 13333434 13329099 13320430

47787WAB5 JDOT 2015-B A2 ABS 40013640 0992 0938 1066 40413771 40413771 40226922 39800376 39587131 39160693

5446462Q4 LOS ANGELES SD-L-TXBL MUNI 40025200 0486 0231 026 40049239 40049239 40049239 39973167 39921134 39817069

58768EAC3 MBALT 2014-A A2A ABS 1563073 0482 0796 0044 1563620 1563620 1563417 1562729 1562385 1561697

605581FW2 MISSISSIPPI ST-B-TXBL MUNI 30053700 064 0459 0998 30191375 30191375 30191375 29903738 29753786 29453918

65477WAB2 NAROT 2014-B A2 ABS 60213804 0608 0785 033 60369794 60369794 60313160 60114454 60015108 59816429

677520FR4 OH ST-TXB-DEV ASST-A MUNI 75000000 0351 5319 0008 75012000 75006000 75003000 74997000 74994000 74988000

68428LDH4 ORANGE CNTY -TXBL-A MUNI 79129560 068 0185 0345 79180064 79180064 79180064 78993061 78856563 78583566

69349LAH1 PNC BANK NA CORP 75050925 0439 0516 0281 75159652 75159652 75156283 74945390 74839679 74627728

69371RK96 PACCAR FINANCIAL CORP CORP 70501974 0421 0676 013 70563933 70563933 70547801 70456149 70410325 70318683

70659PAE1 PENAR 2013-1A A1 ABS 74990100 0595 0699 0053 75017882 75017882 75009972 74970228 74950355 74910610

74256LAC3 PRINCIPAL LFE GLB FND II CORP 25018800 0434 0493 020 25043469 25043469 25043469 24993782 24968764 24918730

762494QV7 RIALTO USD-TXBL MUNI 25040500 1258 1164 133 25428157 25373539 25207019 24873981 24707461 24374423

Shock Analysis WC-Contra Costa County (19529)Base Currency USD As of 09302015 Return to Table of Contents Dated 10052015

30

Page 67

Weighted By Base Market Value + Accrued

The shock analysis includes a yield floor of 0





50 Basis PointShock



76912TJC8 RIVERSIDE PUB FIN-REF MUNI 12500875 1301 0992 0921 12615087 12615087 12558442 12443308 12385742 12270609

857477AH6 STATE STREET CORP CORP 59071077 0573 1258 0436 59395093 59328638 59199855 58942305 58813539 58556024

89116FYH7 Toronto Dominion Holdings (USA) Inc CP 69985813 031 0176 0125 70001210 70001210 70001210 69942073 69898334 69810863

89233AHP7 Toyota Motor Credit Corporation CD 49996500 0363 0386 0393 50072344 50072344 50072344 49898257 49800014 49603528

89236WAB4 TAOT 2015-A A2 ABS 60001200 0712 069 0382 60159357 60159357 60115805 59886600 59772007 59542839

90290XAB3 USAOT 2015-1 A2 ABS 48097632 0828 0693 1504 48598976 48598976 48459345 47735956 47374318 46651153

90331HMR1 US BANK NA CINCINNATI CORP 75030900 0543 0576 0069 75060720 75060720 75056786 75005014 74979129 74927357

912828B82 US TREASURY NB US GOV 100046900 044 0145 042 100107829 100107829 100107829 99836807 99626723 99206586

912828PS3 US TREASURY NB US GOV 201265600 0325 0138 0337 201359201 201359201 201359201 200926475 200587365 199909191

912828QX1 US TREASURY NB US GOV 100953100 0434 0339 0832 101237843 101237843 101237843 100533149 100113226 99273462

912828RF9 US TREASURY NB US GOV 100558600 0432 0372 0916 100901264 100901264 100901264 100098058 99637549 98716628

912828VL1 US TREASURY NB US GOV 100237000 0356 0322 0791 100492311 100492311 100492311 99840575 99444175 98651451

912828WQ9 US TREASURY NB US GOV 100171900 0459 0271 075 100375503 100375503 100375503 99796267 99420656 98669502

91412GUT0 UNIV OF CALIFORNIA-AN MUNI 25034250 0634 0413 0627 25099076 25099076 25099076 24955768 24877285 24720321

928668AD4 VOLKSWAGEN GROUP AMERICA CORP 49231400 0557 3152 0137 49366304 49298849 49265124 49197677 49163955 49096516

949917397 WFA HERITAGE MONEY MARK-I MMFUND 163929061 000 000 000 163929061 163929061 163929061 163929061 163929061 163929061

CCYUSD Receivable CASH 10700 000 000 000 10700 10700 10700 10700 10700 10700

CCYUSD Cash CASH 087 000 000 000 087 087 087 087 087 087

--- --- --- 4429392988 0521 0575 047 4440207556 4440012694 4437618810 4418979071 4408563561 4387727762


31

Page 68

The information contained in this report represents estimated trade date investment calculations provided via Clearwater Analytics for Wells Capital Management clients Certain calculations may not be available for all timeperiods Please refer to your custody statement for official portfolio holdings and transactions Note that certain accounting methods may cause differences between this investment report and your custody statement

DisclaimerAs of 09302015 Return to Table of Contents Dated 10052015

32

Page 69

STATEMENT FOR PERIODSeptember 01 2015 - September 30 2015

CONTRA COSTA COUNTY

Date Transaction SharesPrice Per

ShareAmount

201-000004-10Average

Cost NAV

Average

Cost Amount

Realized

GainLoss

CalTrust Short Term Fund

08312015 BALANCE FORWARD 14828923123 1002 14858580969 1002517967 14866261865

09302015 UNREALIZED GAIN (LOSS) 0000 000 000

09302015 ENDING BALANCE 14828923123 1002 14866261865 14858580969

INCOME DISTRIBUTION PAID - AUGUST 6311887

6536229INCOME ACCRUAL - SEPTEMBER

-7680896CUMULATIVE UNREALIZED GAIN (LOSS)

Please note that this information should not be construed as tax advice and it is recommended that you consult with a tax professional regarding your account

For Inquiries About Your Account Contact

Nottingham Investment Administration

116 South Franklin Street

Rocky Mount NC 27804

Attention CalTRUST Shareholder Services

Phone 8007733863

Fax 252-972-1908

Email caltrustsupportncfundscom

CONTRA COSTA COUNTY

CONTRA COSTA COUNTY

ATTN BELINDA ZHU

625 COURT STREET

ROOM 102

MARTINEZ CA 94553-1281

Page 1 of 1

Page 70

Caltrust Short Term FundMONTH END PORTFOLIO STATISTICS

September 30 2015

CalTrust

Short Term

LAIF

Market Value NA$99191144837

NAV per Share NA$1002

Yield 034052

Period Total Return NA010

Period Yield Return 003004

Effective Duration NA050 yrs

Average Maturity 058 yrs109 yrs

CalTrust

Short Term

Total Return

CalTrust

Short Term

Yield Return

LAIF Yield

Return

010 003004One Month

013 008013Three Month

021 016024Six Month

041 029045One Year

043 027042Two Year

039 027039Three Year

044 032044Five Year

181 172178Ten Year

188 180185Since Inception

Annualized

US Govt Agency 299Corporate 278MBSABS 154Muni 135MONEYMKT 74COMPAPER 50CD 10

Total 1000

Portfolio Sector Breakdown

AA+ 288AAA 261A 135AA- 77AA 65A- 64A-1+ 44A+ 42A-1 20SP-1+ 04

Total 1000

Portfolio Quality Breakdown

Disclosure to Performance Information

This performance information is based on an inception date of February 13 2005 when the CalTrust Short-Term portfolio commenced investment operations according to its investment objective and does not include any investment returns

from temporary investments held before the commencement of those operations

First-month index returns February 13-28 2005 are intra-period and were calculated by calculating the average daily return during the month and multiplying the average daily return by number of days in the shortened period

Performance was calculated net of investment advisory and program administration fees

The Local Agency Investment Fund (LAIF) is a diversified portfolio managed by the State of California for local governments and special districts

Performance for the CalTRUST Short Term Account is on a trade date basis LAIFs monthly performance was calculated by taking the average monthly effective yield and dividing it by 365 then multiplying the result by the number of days in

the month

Yield represents the 7-day net distribution on investments for the period

Rating source - Standard amp Poors

Past performance is no guarantee of future results

Page 71

ltltBack CalTrust Short Term Fund View Export Print HomeSearch Complete Listing Additional Ratings Effective Date 9302015 Go

Ticker CUSIP Description SampP Rating9302015 Mat Date Years Shares Price Value

AM111315 025815AA9 AMERICAN EXPR CENTURION 111315 A- 11132015 02 280000000 1000383 $280107240AX072916 0258M0DG1 AMERICAN EXPRESS CRE DIT 7292016 13 A- 7292016 08 95900000 1003860 $96270174AH121117 02665WAR2 AMERICAN HONDA FINAN CE 12112017 0545 A+ 12112017 22 800000000 995935 $796748000HN092017 02665WAY7 AMERICAN HONDA FINAN CE 9202017 07626 A+ 9202017 20 200000000 1000011 $200002200AN050116 03255LGX1 ANAHEIM FING AUTH-B 512016 1 AA- 512016 07 285000000 1001190 $285339150BA100915 06051GER6 BANK OF AMERICA CORP 15 100915 A- 1092015 01 98800000 1000080 $98807904BA021417 06050TLU4 BANK OF AMERICA NA 2142017 07061 A 2142017 14 50000000 998020 $49901000BA060517 06050TMB5 BANK OF AMERICA NA 06052017 A 652017 18 225000000 997447 $224425575BA111416 06050TLS9 BANK OF AMERICA NA 11142016 07089 A 11142016 12 220000000 999026 $219785720BN021417 06050TLT7 BANK OF AMERICA NA 2142017 125 A 2142017 14 500000000 1000689 $500344500BO111416 06050TLR1 BANK OF AMERICA NA 11142016 1125 A 11142016 12 300000000 999427 $299828100BN011516 06406HBS7 BANK OF NEW YORK MELLON 25 11516 A+ 1152016 03 200000000 1005919 $201183800BN072816 06406HBX6 BANK OF NEW YORK MELLON 23 72816 A+ 7282016 08 394700000 1012814 $399757686BA052218 06406HDC0 BANK OF NY MELLON 52218 VARIABLE A+ 5222018 27 500000000 995242 $497621000BC100215 06945MX27 BARTON CAP LLC 0 1022015 A-1 1022015 01 2000000000 999994 $1999988000BB031516 05531FAG8 BBampT CORPORATION 3152016 32 A- 3152016 05 235000000 1008691 $237042385BR011218 084664CD1 BERKSHIRE HATHAWAY F IN 1122018 05533 AA 1122018 23 275000000 995935 $273882125Au042517 09658UAB5 BMWOT 2014-A A2 4252017 053 AAA 4252017 16 560783557 999409 $560452134BA112016 097023BC8 BOEING CO 11202016 375 A 11202016 12 275000000 1034095 $284376125BB091316 10513KAB0 BRANCH BANKING amp TRU ST 9132016 05899 A- 9132016 10 200000000 998288 $199657600BB120116 07330NAF2 BRANCH BANKING amp TRU ST 1212016 06743 A 1212016 12 500000000 1000785 $500392500BT120116 07330NAG0 BRANCH BANKING amp TRU ST 1212016 105 A 1212016 12 812500000 1000798 $813148375UN070141 91412GFA8 CA UNI-FLTG-TXB-Y-2 712041 0656 AA 712017 18 325000000 999830 $324944750CA120116 13066KW21 CALIFORNIA ST DEPT 991 12116 AAA 1212016 12 125000000 1003350 $125418750CA040116 14912L4S7 CATERPILLAR FINANCIA L SE 412016 265 A 412016 06 155000000 1010870 $156684850Cr101017 17305EEW1 CCCIT 2012-A1 A1 10102017 055 AAA 10102017 21 800000000 1000011 $800008800Cr090718 17305EFE0 CCCIT 2013-A6 A6 972018 132 AAA 972018 30 425000000 1004884 $427075700CH041618 161571BC7 CHAIT 2006-A2 A2 4162018 516 AAA 4162018 26 242600000 1016541 $246612847Cr011519 161571GJ7 CHAIT 2014-A1 A1 1152019 115 AAA 1152019 33 1300000000 1002998 $1303897400CS120415 808513AH8 CHARLES SCHWAB CORP 085 120415 A 1242015 02 450000000 1000754 $450339300CC030218 166764AW0 CHEVRON CORP 322018 0432967 AA 322018 25 400000000 993934 $397573600CI061518 17275RAY8 CISCO SYSTEMS INC 06152018 AA- 6152018 28 550000000 995649 $547606950C031017 172967HL8 CITIGROUP INC 3102017 07744 A- 3102017 15 100000000 998286 $99828600C040116 172967GP0 CITIGROUP INC 412016 13 A- 412016 06 10000000 1001854 $10018540C042718 172967JQ5 CITIGROUP INC 4272018 0967 A- 4272018 26 500000000 996444 $498222000I072516 172967GV7 CITIGROUP INC 7252016 12161 A- 7252016 08 300000000 1002930 $300879000CM061516 20030NAG6 COMCAST CORP 6152016 495 A- 6152016 08 140200000 1029432 $144326366CR042718 22546QAW7 CREDIT SUISSE NEW YO RK 4272018 09574 A 4272018 26 550000000 995435 $547489250CS120715 22549TNZ7 CREDIT SUISSE NEW YO RK 1272015 06513 A 1272015 02 1000000000 999961 $999961000DU050116 26362VFQ6 DUBLIN USD-TXB-BANS 512016 4761 SP-1+ 512016 07 400000000 1022370 $408948000FM022717 3135G0XL2 FANNIE MAE 02272017 065 AA+ 2272017 14 366000000 999260 $365729160FN031016 3136FPET0 FANNIE MAE 3102016 2 AA+ 3102016 05 897500000 1007562 $904286895FF100616 3133EDWQ1 FEDERAL FARM CREDIT BANK 1062016 067 AA+ 1062016 11 1000000000 1000062 $1000062000FF101416 3133EDXG2 FEDERAL FARM CREDIT BANK 10142016 06 AA+ 10142016 11 500000000 1000172 $500086000FF112316 3133EEUS7 FEDERAL FARM CREDIT BANK 11232016 06 AA+ 11232016 12 2100000000 1001759 $2103693900FH012216 3130A3XU3 FEDERAL HOME LOAN BA NK 1222016 025 A-1+ 1222016 03 870000000 1000075 $870065250FH031816 313382K85 FEDERAL HOME LOAN BA NK 3182016 045 AA+ 3182016 05 1065000000 1001128 $1066201320FH061016 313373SZ6 FEDERAL HOME LOAN BA NK 6102016 2125 AA+ 6102016 08 500000000 1011807 $505903500FH080116 313384A41 FEDERAL HOME LOAN BA NKS 080116 A-1+ 812016 09 388500000 997594 $387565269FL092816 3130A2T97 FEDERAL HOME LOAN BA NK 9282016 05 AA+ 9282016 10 1000000000 1000762 $1000762000FL112316 3130A3J70 FEDERAL HOME LOAN BA NK 11232016 0625 AA+ 11232016 12 3000000000 1001476 $3004428000FB111816 31677QAZ2 FIFTH THIRD BANK 11182016 07481 A- 11182016 12 836000000 999042 $835199112FI022616 31677QAX7 FIFTH THIRD BANK 2262016 09 A- 2262016 04 681000000 1000041 $681027921FH031516 3134G4VH8 FREDDIE MAC 3152016 04 AA+ 3152016 05 1000000000 1000574 $1000574000FH041417 3134G6PN7 FREDDIE MAC 4142017 08 AA+ 4142017 16 1000000000 1000937 $1000937000FM052517 3134G6W41 FREDDIE MAC 52517 080 AA+ 5252017 17 1000000000 1000603 $1000603000FM052617 3134G6E82 FREDDIE MAC 085 05262017 AA+ 5262017 17 1154500000 1001021 $1155678745FM061617 3134G6W66 FREDDIE MAC 085 06162017 AA+ 6162017 18 500000000 1003097 $501548500FM082516 3137EACW7 FREDDIE MAC 20 08252016 AA+ 8252016 09 1500000000 1014267 $1521400500FM092616 3134G4XW3 FREDDIE MAC 9262016 06 AA+ 9262016 10 250000000 1000216 $250054000FR052617 3134G6R70 FREDDIE MAC 075 05262017 AA+ 5262017 17 500000000 1000082 $500041000GE042018 36159LCF1 GE DEALER FLOORPLAN MASTER NT 042018 Aaa 4202018 26 469000000 999005 $468533345Ot112417 36164EAB1 GEET 2015-1 A2 11242017 089 Aaa 11242017 22 650000000 1001027 $650667550GE010917 36962G5N0 GENERAL ELEC CAP CORP 29 192017 AA+ 192017 13 300000000 1025139 $307541700GE050916 36962G5C4 GENERAL ELEC CAP CORP 295 5916 AA+ 592016 07 884200000 1014378 $896913028GE051116 36962G2V5 GENERAL ELEC CAP CORP 05112016 AA+ 5112016 07 463500000 1000903 $463918541SO041516 373334JV4 GEORGIA POWER COMPAN Y 4152016 3 A- 4152016 06 439500000 1011814 $444692253GS020716 38143USC6 GOLDMAN SACHS GROUP INC 3625 2716 A- 272016 04 500000000 1009576 $504788000HD011519 41284CAB0 HARLEY-DAVIDSON 08 011519 AAA 1152019 33 550000000 999992 $549995600AH082216 43813JAB1 HAROT 2014-1 A2 8222016 041 Aaa 9212016 10 76968345 999718 $76946640

Page 72

Au122117 43813JAC9 HAROT 2014-1 A3 12212017 067 AAA 11212017 22 425000000 998723 $424457275Au091916 43814GAB6 HAROT 2014-2 A2 9192016 039 AAA 9192016 10 91042000 999611 $91006585Au071717 43814KAB7 HAROT 2015-1 A2 7172017 07 AAA 6152017 18 543500000 999881 $543435324HI080116 4197915E4 HAWAII-TXBL-REF-ES 812016 0731 812016 09 1425000000 1001710 $1427436750Au071618 41283YAC1 HDMOT 2013-1 A3 7162018 065 Aaa 7162018 28 80473765 999533 $80436184Au011519 41284BAB2 HDMOT 2015-1 A2A 1152019 095 AAA 1152019 33 1031347429 999864 $1031207166HA082117 43813NAB2 HONDA AUTO RECEIV- ABLES 08212017 AAA 8212017 19 200000000 999521 $199904200HS011916 40429CFN7 HSBC FINANCE CORP SR NT 01192016 55 A 1192016 03 618500000 1013432 $626807692HB080718 40428HPW6 HSBC USA INC 872018 10809 A 872018 29 200000000 998034 $199606800HB111317 40428HPM8 HSBC USA INC 11132017 057185 A 11132017 22 795500000 990754 $788144807IB072216 459200GX3 IBM CORP 7222016 195 AA- 7222016 08 1245000000 1011489 $1259303805ID010117 45656TAQ1 INDUSTRY PUB FACS-A 112017 1764 AA 112017 13 770000000 1009950 $777661500IN070116 45884AZN6 INTERMOUNTAIN PWR-B 712016 0785 A+ 712016 08 600000000 1000330 $600198000IB091516 459058BS1 INTL BK RECON amp DEVE LOP 9152016 1 AAA 9152016 10 1500000000 1005524 $1508286000Ot021518 47787UAB9 JDOT 2015-A A2A 2152018 087 AAA 2152018 24 715500000 1000019 $715513595Ot061518 47787WAB5 JDOT 2015-B A2 06152018 098 Aaa 6152018 28 450000000 1000341 $450153450DC011618 24422ESU4 JOHN DEERE CAPITAL C ORP 1162018 0543 A 1162018 23 1216500000 996364 $1212076806JP061316 48121CJM9 JP MORGAN CHASE BANK NA 6132016 06101 A 6132016 08 665000000 997857 $663574905JP011516 46625HHW3 JPMORGAN CHASE amp CO 26 11516 A 1152016 03 200000000 1005359 $201071800JP021517 46623EJZ3 JPMORGAN CHASE amp CO 2152017 0750933 A 2152017 14 150000000 999222 $149883300JP030116 46625HHX1 JPMORGAN CHASE amp CO 312016 345 A 312016 05 400000000 1010996 $404398400JP070516 46625HJA9 JPMORGAN CHASE amp CO 752016 315 A 752016 08 150000000 1016930 $152539500JP101515 46623EJR1 JPMORGAN CHASE amp CO 10152015 11 A 10152015 01 200000000 1000230 $200046000KE112516 49327M2E3 KEY BANK NA 11252016 07516 A- 11252016 12 800000000 1000219 $800175200LD080116 54465AFK3 LA CO REDEV-B-TXBL 812016 1074 AA- 812016 09 573500000 1001300 $574245550LD120115 54465AEX6 LOS ANGELES REDEV-D 1212015 048 A+ 1212015 02 351500000 999710 $351398065LA070116 5446462D3 LOS ANGELES SD-L-TXB L 712016 068 AA- 712016 08 100000000 1001840 $100184000LO010116 5446462Q4 LOS ANGELES SD-L-TXB L 112016 0486 AA- 112016 03 198000000 1000630 $198124740PP111515 546676AS6 LOUISVILLE GAS amp ELE C 11152015 1625 A 11152015 02 600000000 1001118 $600670800MA090116 562785LC7 MANHATTAN BEACH CA 856 9116 AA 912016 10 140500000 1002690 $140877945MA072517 55279HAH3 MANUF amp TRADERS TRUS T CO 7252017 053 A 7252017 18 500000000 999051 $499525500Au071516 58768DAC5 MBALT 2013-B A3 7152016 062 AAA 7152016 08 158579368 999944 $158570488Au061516 58768EAC3 MBALT 2014-A A2A 6152016 048 AAA 6152016 08 7983161 999866 $7982091AB021517 58768LAB9 MBALT 2015-A A2A 2152017 078 AAA 2152017 14 349202901 1000200 $349272742Au021517 587729AB0 MBART 2014-1 A2 2152017 043 AAA 2152017 14 75235341 999792 $75219692MI100116 605581FW2 MISSISSIPPI ST-B-TXB L 1012016 064 AA 1012016 11 278000000 1001790 $278497620MS100115 605581EN3 MISSISSIPPI ST-D-REF 1012015 031 AA 1012015 01 251000000 1000000 $251000000MS100116 605581EP8 MISSISSIPPI ST-D-REF 1012016 064 AA 1012016 11 252000000 1001790 $252451080MO010518 61761JVN6 MORGAN STANLEY 152018 1007098 A- 152018 23 793800000 999620 $793498356MS042916 61747YDD4 MORGAN STANLEY 38 042916 A- 4292016 06 200000000 1016394 $203278800UN060616 90520EAC5 MUFG UNION BANK NA 662016 3 A+ 662016 08 68000000 1014778 $69004904Au041717 65490BAB1 NALT 2014-B A2A 4172017 073 AAA 4172017 16 670693606 1000271 $670875364Au061517 65477WAB2 NAROT 2014-B A2 6152017 06 Aaa 6152017 18 311296101 999385 $311104653Au091517 65477UAB6 NAROT 2015-A A2 9152017 067 AAA 9152017 20 500000000 999691 $499845500CM040116 63946BAC4 NBCUNIVERSAL MEDIA L LC 412016 2875 A- 412016 06 200000000 1011017 $202203400NE010116 63968AXN0 NE PUB PWR DIST-B 112016 048 A 112016 03 1200000000 1000650 $1200780000NY021517 64990EJ32 NEW YORK ST DORM AUT 21517 93 AAA 2152017 14 368500000 1006230 $370795755NE031516 650035K56 NEW YORK ST URBAN DE V 3152016 063 AAA 3152016 05 1000000000 1000970 $1000970000NY031516 64990ERF6 NY DORM AUTH-D-TXBL 3152016 066 AAA 3152016 05 250000000 1002220 $250555000OA020116 672211BC2 OAKLAND COLISEUM-A 212016 08 A-1+ 212016 04 200000000 1000470 $200094000OC081516 675371AS7 OCEANSIDE PENSION-RE F 8152016 1406 AA 8152016 09 75000000 1001450 $75108750OH100120 677520FR4 OH ST-TXB-DEV ASST-A 1012020 539 AA 1012015 01 385000000 1000000 $385000000OR020116 68428LDH4 ORANGE CNTY -TXBL-A 212016 068 AA- 212016 04 1093000000 1001640 $1094792520PB060118 69353REN4 PNC BANK NA 06012018 A 612018 28 300000000 994168 $298250400PN012717 69353RCG1 PNC BANK NA 1272017 1125 A 1272017 13 773500000 1000546 $773922331PO061516 738798BC0 POWAY REDEV AGY-B 6152016 095 AA- 6152016 08 200000000 1001370 $200274000PO121515 738798BB2 POWAY REDEV AGY-B 12152015 05 AA- 12152015 02 246500000 999900 $246475350PO121516 738798BD8 POWAY REDEV AGY-B 12152016 11 AA- 12152016 12 354500000 1002340 $355329530PR100115 743755AK6 PRVDNC HLTH amp SVC OB L GR 1012015 080 AA 1012015 01 560000000 1000000 $560000000RI020117 762494QV7 RIALTO USD-TXBL 212017 1258 AA 212017 14 80000000 1001620 $80129600RI090116 76912TJC8 RIVERSIDE PUB FIN-RE F 912016 1 A 912016 10 209000000 1000070 $209014630SA100116 79876CAV0 SAN MARCOS CA REDEV 109 10116 AA- 1012016 11 512500000 1003240 $514160500Au081417 78448MAB3 SMAT 2015-1US A2A 8142017 099 AAA 8142017 19 400000000 1000782 $400312800SS120815 85744NAB7 STATE STREET BANK amp TRST 120815 A+ 1282015 02 428000000 999643 $427847204Au011717 89236RAC3 TAOT 2013-A A3 1172017 055 AAA 1172017 13 96093377 999816 $96075696AT121517 89231MAC9 TAOT 2014-A A3 12152017 067 AAA 12152017 22 125000000 999209 $124901125TO121516 89231RAB0 TAOT 2014-B A2 12152016 04 AAA 12152016 12 31061702 999624 $31050023AT071717 89236WAB4 TAOT 2015-A A2 7172017 071 AAA 7172017 18 670000000 1000020 $670013400Au021518 89231TAB6 TAOT 2015-C A2A 2152018 093 AAA 2152018 24 555000000 1001114 $555618270TD111715 89116FYH7 TORONTO DOMINION 0 11172015 A-1+ 11172015 02 2161000000 999797 $2160561317TO011218 89236TCB9 TOYOTA MOTOR CREDIT CORP 1122018 057 AA- 1122018 23 1300000000 997288 $1296474400TO091516 89233P5E2 TOYOTA MOTOR CREDIT CORP 9152016 2 AA- 9152016 10 89500000 1011705 $90547598TM121015 89233HZA5 TOYOTA MTR CR CORP 0 12102015 A-1+ 12102015 02 800000000 999586 $799668800UB092616 90521APH5 UNION BANK NA 9262016 15 A+ 9262016 10 457500000 1004187 $459415553UN092616 90521APG7 UNION BANK NA 9262016 09996 A+ 9262016 10 251500000 1001286 $251823429UN051516 91412GUT0 UNIV OF CALIFORNIA-A N 5152016 0634 AA 5152016 07 183000000 1001370 $183250710UC070141 91412GEZ4 UNIVERSITY CALIF REVS 07012041 AA 712017 18 1088000000 999830 $1087815040US012618 90331HMR1 US BANK NA CINCINNAT I 1262018 055572 AA- 1262018 23 450000000 1000412 $450185400US013017 90331HMD2 US BANK NA CINCINNAT I 1302017 04661 AA- 1302017 13 500000000 998950 $499475000N053116 912828WM8 US TREASURY NB 5312016 0375 AA+ 5312016 07 600000000 1000820 $600492000N123115 912828PM6 US TREASURY NB 12312015 2125 AA+ 12312015 02 580000000 1005117 $582967860T013116 912828B41 US TREASURY NB 1312016 0375 AA+ 1312016 03 25500000 1000938 $25523919T022916 912828B82 US TREASURY NB 2292016 025 AA+ 2292016 04 500000000 1000469 $500234500T043016 912828C81 US TREASURY NB 4302016 0375 AA+ 4302016 06 2000000000 1000951 $2001902000

Page 73

T083116 912828RF9 US TREASURY NB 8312016 1 AA+ 8312016 09 1000000000 1005586 $1005586000T093016 912828RJ1 US TREASURY NB 9302016 1 AA+ 9302016 10 1000000000 1006055 $1006055000T103115 912828PE4 US TREASURY NB 10312015 125 AA+ 10312015 01 501500000 1000781 $501891672T113015 912828A26 US TREASURY NB 11302015 025 AA+ 11302015 02 300000000 1000286 $300085800T123115 912828A67 US TREASURY NB 12312015 025 AA+ 12312015 02 1000000000 1000326 $1000326000TN51516 912828VC1 US TREASURY NB 5152016 025 AA+ 5152016 07 750000000 1000065 $750048750TR033116 912828C40 US TREASURY NB 0375 033116 AA+ 3312016 05 1500000000 1000977 $1501465500Au121517 90290KAC9 USAOT 2014-1 A3 12152017 058 AAA 12152017 22 209902643 999438 $209784678Au031518 90290XAB3 USAOT 2015-1 A2 3152018 082 AAA 3152018 25 1143000000 1002034 $1145324862Au042018 92867PAC7 VALET 2013-2 A3 4202018 07 AAA 4202018 26 514049503 997883 $512961261VZ060917 92343VCD4 VERIZON COMMUNICATIO NS 692017 06306 A 692017 18 100000000 996002 $99600200VZ091516 92343VBL7 VERIZON COMMUNICATIO NS 9152016 17823 A 9152016 10 192500000 1009493 $194327403Au042017 92867QAD3 VWALT 2014-A A3 4202017 08 AAA 4202017 16 821300000 999981 $821284395Au062017 92867VAB6 VWALT 2015-A A2A 6202017 087 AAA 6202017 18 181775477 999801 $181739304VPWF3801 VP7000236 WELLS FARGO ADVANT- AGE HERITAGE AAA 1012015 01 7430580770 1000000 $7430580770

Grand Total $100196767059 Security ratings are updated monthly at month-end Mandatory put on 10115 Mandatory put on 7117

Page 74

SECTION III

APPENDIX


B 3 EAST BAY REGIONAL COMMUNICATIONS SYSTEM AUTHORITY (EBRCS)

EBRCS TRANSACTIONSFor the Quarter Ending

September 30 2015

FY 2015-2016

FUND BALANCE TJDate TJDate TJDate TJDate TJDate TJDate BALANCE

NUMBER 063015 072115 093015

100300 237517555 (14241865) 223275690

TOTALS 237517555 -14241865 000 000 000 000 000 223275690

East Bay Regional Communications System Authority

Page 75

EXHIBITS

Exhibit ICONTRA COSTA COUNTYPortfolio Summary Report


Portfolio Characteristics

Par $236548791215Cost $236765650022Market Value $236945917911Weighted Yield to Maturity 055Weighted Average Days to Maturity 244

Weighted Duration 067 yr

Portfolio Breakdown by Investment

Investments Par Value Percent of Total

US Treasuries $2916000000 123USAgencies-Federal State and Local 53939600000 2280Money Market 111117365409 4697ABSMBS 459500000 019

Corporate Notes 16100700000 681Outside Contractors-LAIF 19550500378 826Outside Contractors-Other 19500651901 824Cash 12964473527 548

TOTAL $236548791215 10000

Maturity Distribution

Time Par Value Percent of Total

Less 1 yr $176302182693 7453

1 to 2 yrs 30507848304 12902 to 3 yrs 22479209821 950

3 to 4 yrs 6746274707 2854+ yrs 513275690 022

TOTAL $236548791215 10000

Does not include the Futuris Public Entity Trust of the Contra Costa Community College District Retirement Board of Authority May or may not total to 100 due to rounding

US Treasuries123

USAgencies‐Federal State and Local2280

Money Market4697

ABSMBS019

Corporate Notes681Outside

Contractors‐LAIF826

Outside Contractors‐

Other 824

Cash548


Less 1 yr7453

1 to 2 yrs12902 to 3 yrs

9503 to 4 yrs285

4+ yrs022


Exhibit II

CONTRA COSTA COUNTY INVESTMENT POOLPERFORMANCE SUMMARY


AVERAGE DAYS TO3 PERCENT OF MATURITY AT

PAR PORTFOLIO YTM END-OF-QUARTER DURATION

($) () () (day) (year)

A Investments Managed by Treasurers Office $184533165409 7808 05859 305 082 1


1 Local Agency Investment Fund $19550500378 827 03300 1 NA

2 Other

a Wells Capital Management $4418795242 187 05750 328 047 2

b CalTRUST (Short-Term Fund) $14858580969 629 05200 1 NA

C Cash $12964473527 549 03500 4 1 NA

3 Yield to Maturity on Portfolio at End-of-Quarter = 0553 Weighted Average Days to Maturity on Portfolio at End-of-Quarter = 244

3 Weighted Duration at End-of-Quarter = 067

1 Data is provided by Sungard

2 Data is provided by Wells Cap Management

3 Excludes Section B2a (EBRCS Bond) of the Investment Pool summary report and Futuris Public Entity Trust

4 Earnings Credit Rate on Investable Balance

LAIF and CalTRUST Short-Term are subject to a one day call of principal provision

WEIGHTED

Exhibit III

CONTRA COSTA COUNTY INVESTMENT POOL

As of September 30 2015 As of June 30 2015 CHANGE IN VALUE

TYPE PAR VALUE PAR VALUE FROM PREV QTR CHANGEA Investments Managed by Treasurers Office


2 US AgenciesFederal Agriculture Mortgage Corporation 000 000 000 000Federal Home Loan Banks 22350200000 25019700000 (2669500000) -1067Federal National Mortgage Association 10231600000 11015600000 (784000000) -712Federal Farm Credit Banks 12421100000 11894100000 527000000 443Federal Home Loan Mortgage Corporation 8214200000 12559200000 (4345000000) -3460Municipal Bonds 722500000 722500000 000 000Subtotal 53939600000 61211100000 (7271500000) -1188

3 Money Market InstrumentsBankers Acceptances 000 000 000 000Repurchase Agreement 000 000 000 000Commercial Paper 61284800000 86458100000 (25173300000) -2912Negotiable Certificates of Deposit 49573200000 55547100000 (5973900000) -1075Medium Term Certificates of Deposit 202500000 202500000 000 000Money Market Accounts 56531832 56531832 000 000Time Deposit 333577 333577 000 000Subtotal 111117365409 142264565409 (31147200000) -2189


5 Corporate Notes 16100700000 13527200000 2573500000 1902

TOTAL 184533165409 219726365409 (35193200000) -1602


1 Local Agency Investment Fund 19550500378 21194108345 (1643607967) -776

2 Othera EBRCS Bond 223275690 237517555 (14241865) -600b Miscellaneous (BNY) 000 1415406 (1415406) -10000c Wells Capital Management 4418795242 4406746199 12049043 027d CalTRUST (Short-Term Fund) 14858580969 14858580969 000 000

Subtotal 19500651901 19504260129 (3608228) -002

TOTAL 39051152279 40698368474 (1647216195) -405

C Cash 12964473527 29335994238 (16371520711) -5581

GRAND TOTAL (FOR A B amp C) $236548791215 $289760728121 ($53211936906) -1836

Does not include the Futuris Public Entity Trust of the Contra Costa Community College District Retirement Board of Authority

CONTRA COSTA INVESTMENT POOL

INVESTMENTS MANAGED BY TREASURERS OFFICE

QUARTERLY COUPON RATES YIELD TO MATURITY

Exhibit IV

Quarter Ending

Fiscal Year September December March June

201516 Coupon Rate 06433Yield to Maturity 05859

201415 Coupon Rate 05437 04624 04912 05309Yield to Maturity 04605 04185 04379 04894










Source All data is calculated by Sungard


INVESTMENTS MANAGED BY OUTSIDE CONTRACTOR

LAIF QUARTERLY APPORTIONMENT RATES

Exhibit IV (a)

Quarter Ending


201516 Apportionment Rate 032

201415 Apportionment Rate 024 025 026 028










Source Contra Costa County Treasurers Quarterly Investment Report - LAIF Statements

Exhibit IV (b)

000

050

100

150

200

250

300

350

400

450

500

550

Contra Costa County Investment Poolas of September 30 2015

TTC Coupon TTC YTM LAIF

Exhibit IV (c)

-200

-100

000

100

200

300

400

500

600

700

93015 32816 92416 32317 91917 31818 91418 31319 9919 3720 9320

Yie

ld t

o M

atu

rity

Maturity Dates

Risk Assessmentas of September 30 2015

CountyTreasurer

Wells CapitalMgmt

US TreasuriesYield Curve

2 Standard Deviations

1 Standard Deviation

-1 Standard Deviation

-2 Standard Deviations

1 year 2 years 3 years 5 years

Risk Assessment

(Securities Greater Than Two Standard Deviations)

As of September 30 2015

Exhibit IV (d)

CUSIP DESCRIPTIONPURCHASE

DATE PAR COST MARKET COUPON ()MATURITY

DATE YTM ()

204712FD0 AUHSD MUNI COMPTONCA CNTY REDEV 13121 1000000 745300 745300 000 8116 653

677520FR4 OH ST-TXB-DEV ASST-A3 71114 75000000 79605000 77021250 539 10115 532

928668AD4 VOLKSWAGEN GROUP AMERICA3 52314 50000000 50000000 49260380 055 52316 315

167486JC4 AUHSD MUNI CHICAGO UNREF CALL 627132 39000000 42131877 42131877 500 1117 259

3134A4ZT4 WT GOV FHLMC NOTES 22511 15500000 17226700 15711575 475 11916 233

1 Date when the security was transferred from AUHSD to Contra Costa County Investment Pool Managed by Treasurers Office

2 Date when the security was transferred from AUHSDs Fund 5055 to Fund 5057 per Districts request

3 Security purchased by Wells Cap Management

Exhibit V


AVERAGE INFORMATIONJuly 1 2015 through September 30 2015

AVERAGE DAYSAVERAGE DAILY TO MATURITY AVERAGE DAYS TO

BALANCE PERCENT OF AVERAGE AS A PERCENT MATURITY FOR (PAR) PORTFOLIO RETURN OF PORTFOLIO THE QUARTER

A Investments Managed by Treasurers Office $192990356700 7834 05680 25075 320


1 Local Agency Investment Fund $19633955484 797 03290 008 1

2 Othera Wells Capital Management $4412983635 179 05427 605 338b CalTRUST Short Term Fund $14858580969 603 05033 006 1c Cash $14469529707 587 02476 006 1

Total $246365406496 10000

Weighted Average Return of Portfolio = 053 257

Excludes Section B2a (EBRCS Bond) of the Investment Pool Summary and Futuris Public Entity Trust

LAIF and CalTRUST Short Term Fund are subject to a one day call of principal provision

Exhibit V (a)

CONTRA COSTA COUNTY INVESTMENT POOLSUMMARY OF POOL RATES AND BENCHMARKS


AveragePool Rates YTM as of Quarterly Days to

93015 Ave Maturity

Total County Portfolio 055 053 300

Investments Managed by Treasurers Office 059 057 320

Wells Capital Management 058 054 338

CalTRUST Short Term Fund 052 050 436

Quarterly PMIA AveApportionment Effective

Rate Yield

Local Agency Investment Fund (LAIF) 032 033 210

7115 - 93015Benchmarks 93015 High Ave Low

Federal Fund Rate 00500 03500 01322 00500

Six Month Treasury Bill -00150 01925 01054 -00150

Six Month LIBOR 05340 05545 05051 04445

Vanguard Prime Money Mkt Fund 00100

Average days to maturity (with a one day call of principal provision)

Exhibit V (b)

00000

10000

20000

30000

40000

50000

60000

Contra Costa County Investment PoolAverage Quarterly Returns

as of September 30 2015

Treasurer

LAIF

Wells CapitalMgmt

CalTRUST

Exhibit VI

Purchase CouponDescription CUSIP Date Rate Par Market Cost Provisions Fund

GECC Float Rate Note 1816 36962GU51 3813 04843 $1000000000 $1000000000 $995245000 Float quarterly LIBOR +20 bps 8177

Bank of Nova Scotia Float Rate 61016 06417HMU7 61314 04622 $245000000 $244328496 $244852020 Float quarterly LIBOR +18 bps 6911

FFCB Callable Note 112916 3133EC5B6 122812 06400 $1000000000 $1000030000 $1000000000 Anytime on or after 112913 8177

Chicago Unrefunded MUNI 1117 167486JC4 62720132 50000 $39000000 $42131877 $42131877 One time 1116 5057

Chicago Prerefunded MUNI 1117 167486JB6 62720132 50000 $17000000 $18954234 $18954234 One time 1116 5057

Berkshire Hath Float Rate 11017 084664CA7 11014 04335 $50000000 $49987000 $50000000 Float quarterly LIBOR +15 bps 6911

Intel Structured Callable 121517 458140AL4 12714 13500 $521100000 $520167231 $517962978 Make-whole call +125 bps until 121517 8177

FNMA Callable Multi-Step Up 52218 3136G1M63 52213 07500 $1000000000 $999960000 $1000000000 Quarterly First 112213 Last 22218 075 to 817752216 1 to 52217 2 to 112217 3 thereafter

FNMA Callable 52518 3136G2K71 52715 12500 $1000000000 $1004610000 $1000000000 One time 52516 8177

FNMA Callable Mult-Step Up 61218 3136G1MU0 61213 10000 $500000000 $500730000 $499795000 Quarterly First 121213 Last 31218 08 to 817761214 085 to 61215 1 to 61216 125 to61217 15 to 121217 3 to 61218

BBampT Corp Callable 2119 05531FAQ6 92915 22500 $196000000 $198001160 $198743020 Call anytime on or after 1219 7903

Total $5372100000

Fund

5057 Acalanes Unified High School District

6911 Contra Costa County Schools Insurance Group

7903 Contra Costa Community College District Retiree Health Benefits

8177 County (Pool) 1 Date when the security was transferred from AUHSD to Contra Costa County Investment Pool managed by Treasurers Office2 Date when the security was transferred from AUHSDs Fund 5055 to Fund 5057 per Districts request

CONTRA COSTA COUNTYTREASURERS INVESTMENT PORTFOLIO

STRUCTURED SECURITIESSeptember 30 2015

Exhibit VI (a)

DESCRIPTION CUSIP MATURITY DATE PAR MARKET COST PROVISIONS($) ($) ($)

AMERICAN HONDA FINANCE 9202017 07626 02665WAY7 9202017 280000000 280107240 280999600 Float quarterly LIBOR +45 bps

AMERICAN HONDA FINANCE 12112017 0545 02665WAR2 12112014 8000000 796748000 800000000 Float quarterly LIBOR +31 bps

ANAHEIM FING AUTH-B 512016 1 03255LGX1 512016 2850000 285339150 285000000 Make‐whole call

BANK OF AMERICA NA 11142016 07089 06050TLS9 11142016 220000000 219785720 220000000 Float quarterly LIBOR +47 bps

BANK OF AMERICA NA 2142017 07061 06050TLU4 2142017 50000000 49901000 50000000 Float quarterly LIBOR +47 bps

BANK OF AMERICA NA 06052017 06050TMB5 652017 225000000 224425575 225000000 Float quarterly LIBOR +45 bps

BANK OF NY MELLON 52218 VARIABLE 06406HDC0 5222018 500000000 497621000 499850000 Float quarterly LIBOR +38 bps

BBampT CORPORATION 3152016 32 05531FAG8 3152016 235000000 237042385 240102600 Call anytime after 21616

BERKSHIRE HATHAWAY FIN 1122018 05533 084664CD1 1122018 275000000 273882125 275000000 Float quarterly LIBOR +30 bps

BMWOT 2014-A A2 4252017 053 09658UAB5 4252017 560783557 560452134 560764602 5 clean up call

BRANCH BANKING amp TRUST 1212016 06743 07330NAF2 1212016 500000000 500392500 500178000 Float quarterly LIBOR +43 bps Call after 11116

BRANCH BANKING amp TRUST 1212016 105 07330NAG0 1212016 812500000 813148375 813566700 Call anytime after 11116

BRANCH BANKING amp TRUST 9132016 05899 10513KAB0 9132016 200000000 199657600 199485000 Float quarterly LIBOR +32 bps

CA UNI-FLTG-TXB-Y-2 712041 0656 91412GFA8 712017 325000000 324944750 325000000 Float monthly US0001M +50 bps

CALIFORNIA ST DEPT 991 12116 13066KW21 1212016 125000000 125418750 125125000 Make‐whole call +20 bps

CCCIT 2012-A1 A1 10102017 055 17305EEW1 10102017 800000000 800008800 800687504 5 clean up call

CCCIT 2013-A6 A6 972018 132 17305EFE0 972018 425000000 427075700 428287107 5 clean up call

CHAIT 2006-A2 A2 4162018 516 161571BC7 4162018 242600000 246612847 251470063 10 clean up call

CHAIT 2014-A1 A1 1152019 115 161571GJ7 1152019 1300000000 1303897400 1305789069 10 clean up call

CHARLES SCHWABCORP 085 120415 808513AH8 1242015 450000000 450339300 451696500 Make‐whole call +10 bps until 12415

CHEVRON CORP 322018 0432967 166764AW0 322018 400000000 397573600 400000000 Float quarterly LIBOR +17 bps

CISCO SYSTEMS INC 06152018 17275RAY8 6152018 550000000 547606950 550000000 Float quarterly LIBOR +31 bps

CITIGROUP INC 7252016 12161 172967GV7 7252016 300000000 300879000 301857000 Float quarterly LIBOR +96 bps

CITIGROUP INC 3102017 07744 172967HL8 3102017 100000000 99828600 99969000 Float quarterly LIBOR +54 bps

CITIGROUP INC 4272018 0967 172967JQ5 4272018 500000000 498222000 500000000 Float quarterly LIBOR +69 bps

COMCAST CORP 6152016 495 20030NAG6 6152016 140200000 144326366 150116346 Make‐whole call +20 bps until 51515

CREDIT SUISSE NEW YORK 1272015 06513 22549TNZ7 1272015 1000000000 999961000 1000000000 Float quarterly LIBOR +41 bps

CREDIT SUISSE NEW YORK 4272018 09574 22546QAW7 4272018 550000000 547489250 550000000 Float quarterly LIBOR +68 bps

FANNIE MAE 02272017 065 3135G0XL2 2272017 366000000 365729160 365487600 Quarterly First 112713 Last 112716

FREDDIE MAC 4142017 08 3134G6PN7 4142017 1000000000 1000937000 1001250000 One time 41416

FREDDIE MAC 52517 080 3134G6W41 5252017 1000000000 1000603000 1000000000 One time 112515

FREDDIE MAC 085 05262017 3134G6E82 5262017 1154500000 1155678745 1154384550 Quarterly First 82615 Last 22617

FREDDIE MAC075 05262017 3134G6R70 5262017 500000000 500041000 499550000 One time 52616


FEDERAL FARM CREDITBANK 1062016 067 3133EDWQ1 1062016 1000000000 1000062000 999750000 Call anytime after 10615

FEDERAL FARM CREDITBANK 10142016 06 3133EDXG2 10142016 5000000 500086000 500500000 Call anytime after 101415

FIFTH THIRD BANK 2262016 09 31677QAX7 2262016 681000000 681027921 682131080 Call anytime after 12616

FIFTH THIRD BANK 11182016 07481 31677QAZ2 11182016 836000000 835199112 837122150 Float quarterly LIBOR +51 bps Call after 101816

GE DEALER FLOORPLANMASTER NT 042018 36159LCF1 4202018 469000000 468533345 469000000 Float monthly LIBOR +40 bps 10 clean up call

GEET 2015-1 A2 11242017 089 36164EAB1 11242017 650000000 650667550 649930125 10 clean up call

GENERAL ELEC CAPCORP 05112016 36962G2V5 5112016 463500000 463918541 458320770 Float quarterly LIBOR +20 bps

GEORGIA POWER COMPANY 4152016 3 373334JV4 4152016 439500000 444692253 450091950 Make‐whole call +15 bps until 41516

HARLEY-DAVIDSON 08 011519 41284CAB0 1152019 550000000 549995600 549995985 10 clean up call

HAROT 2014‐1 A2 8222016 041 43813JAB1 8222016 76968345 76946640 76962526 10 clean up call

HAROT 2014‐2 A2 9192016 039 43814GAB6 9192016 91042000 91006585 91034890 10 clean up call

HAROT 2015-1 A2 7172017 07 43814KAB7 6152017 543500000 543435324 543761968 10 clean up call

HAROT 2014-1 A3 12212017 067 43813JAC9 12212017 425000000 424457275 424767580 10 clean up call

HAWAII-TXBL-REF-ES 812016 0731 4197915E4 812016 1425000000 1427436750 1425169000 Make‐whole call +10 bps

HDMOT 2013‐1 A3 7162018 065 41283YAC1 7162018 80473765 80436184 80366884 10 clean up call

HDMOT 2015-1 A2A 1152019 095 41284BAB2 1152019 1031347429 1031207166 1031339076 10 clean up call

HONDA AUTO RECEIV-ABLES 08212017 43813NAB2 8212017 200000000 199904200 199988020 10 clean up call

HSBC USA INC 11132017 057185 40428HPM8 11132017 795500000 788144807 795399643 Float quarterly LIBOR +34 bps

HSBC USA INC 872018 10809 40428HPW6 872018 200000000 199606800 200000000 Float quarterly LIBOR +77 bps

IBM CORP 7222016 195 459200GX3 7222016 1245000000 1259303805 1271406450 Make‐whole call +15 bps until 72216

INDUSTRY PUB FACS-A 112017 1764 45656TAQ1 112017 770000000 777661500 770000000 Make‐whole call +25 bps

JDOT 2015-A A2A 2152018 087 47787UAB9 2152018 715500000 715513595 715453922 10 clean up call

JDOT 2015-B A20 6152018 098 47787WAB5 6152018 450000000 450153450 449984835 10 clean up call

JOHN DEERE CAPITAL CORP 1162018 0543 24422ESU4 1162018 1216500000 1212076806 1218159450 Float quarterly LIBOR +29 bps

CONTRA COSTA COUNTYCALTRUST SHORT TERM FUND


Exhibit VI (a)




JP MORGAN CHASE BANKNA 6132016 06101 48121CJM9 6132016 665000000 663574905 657634050 Float quarterly LIBOR +33 bps

JPMORGAN CHASE amp CO 2152017 0750933 46623EJZ3 2152017 150000000 149883300 150318000 Float quarterly LIBOR +52 bps

KEY BANK NA 11252016 07516 49327M2E3 11252016 800000000 800175200 802300800 Float quarterly LIBOR +49 bps Call anytime on or after 102516

LOUISVILLE GAS amp ELEC 11152015 1625 546676AS6 11152015 600000000 600670800 604614000 Make‐whole call +10 bps until 111515

MBALT 2014-A A2A 6152016 048 58768EAC3 6152016 7983161 7982091 7982851 10 clean up call

MANUF amp TRADERS TRUST CO 7252017 053 55279HAH3 7252017 500000000 499525500 500000000 Float quarterly LIBOR +30 bps

MBALT 2013‐B A3 7152016 062 58768DAC5 7152016 397440018 158570488 397485579 10 clean up call

MBALT 2015-A A2A 2152017 078 58768LAB9 2152017 349202901 349272742 349183171 10 clean up call

MBART 2014-1 A2 2152017 043 587729AB0 2152017 75235341 75219692 75230924 10 clean up call

MISSISSIPPI ST-B-TXBL 1012016 064 605581FW2 1012016 278000000 278497620 278000000 Make‐whole call +20 bps

MISSISSIPPI ST-D-REF 1012015 031 605581EN3 1012015 251000000 251000000 251000000 Make‐whole call +25 bps

MISSISSIPPI ST-D-REF 1012016 064 605581EP8 1012016 252000000 252451080 252000000 Make‐whole call +25 bps

MORGAN STANLEY 152018 1007098 61761JVN6 152018 793800000 793498356 794661324 Float quarterly LIBOR +74 bps

NALT 2014-B A2A 4172017 073 65490BAB1 4172017 670693606 670875364 670641091 10 clean up call

NAROT 2014-B A2 6152017 06 65477WAB2 6152017 311296101 311104653 311279384 5 clean up call

NAROT 2015-A A2 9152017 067 65477UAB6 9152017 500000000 499845500 499974800 5 clean up call

NEW YORK ST DORM AUT 21517 93 64990EJ32 2152017 368500000 370795755 368522110 Make‐whole call +20 bps

NEW YORK ST URBAN DEV 3152016 063 650035K56 3152016 1000000000 1000970000 1000000000 Make‐whole call +25 bps

NY DORM AUTH-D-TXBL 3152016 066 64990ERF6 3152016 250000000 250555000 250532500 Make‐whole call +15 bps

OH ST-TXB-DEV ASST-A 1012020 539 677520FR4 1012015 385000000 385000000 408639000 Call anytime after 10115

PNC BANK NA 06012018 69353REN4 612018 300000000 298250400 300000000 Float quarterly LIBOR +42 bps

PNC BANK NA 1272017 1125 69353RCG1 1272017 773500000 773922331 775604790 Call anytime on and after 10115

PRVDNC HLTH amp SVC OBL GR 1012015 080 743755AK6 1012015 560000000 560000000 560000000 Float monthly LIBOR +35 bps

STATE STREET BANK ampTRST 120815 85744NAB7 1282015 428000000 427847204 427205600 Float quarterly LIBOR +20 bps

TAOT 2014‐B A2 12152016 04 89231RAB0 12152016 31061702 31050023 31059009 5 clean up call

TAOT 2013-A A3 1172017 055 89236RAC3 1172017 96093377 96075696 96153436 5 clean up call

TAOT 2014-A A31 2152017 067 89231MAC9 12152017 125000000 124901125 124741211 5 clean up call

TAOT 2015-A A2 7172017 071 89236WAB4 7172017 670000000 670013400 669993635 5 clean up call

TAOT 2015-C A2A 2152018 093 89231TAB6 2152018 555000000 555618270 554955378 5 clean up call

TOYOTA MOTOR CREDITCORP 9152016 2 89233P5E2 9152016 89500000 90547598 91151275 Make‐whole call +20 bps until 91516

UNIV OF CALIFORNIA‐AN 5152016 0634 91412GUT0 5152016 183000000 183250710 183000000 Make‐whole call +5 bps

UNION BANK NA 9262016 09996 90521APG7 9262016 251500000 251823429 251731105 Float quarterly LIBOR +75 bps

TOYOTA MOTOR CREDITCORP 1122018 057 89236TCB9 1122018 1300000000 1296474400 1300000000 Float quarterly LIBOR +32 bps

UNIVERSITY CALIF REVS 070120411 91412GEZ4 712017 1088000000 1087815040 1088000000 Float monthly LIBOR +58 bps

UNION BANK NA9262016 15 90521APH5 9262016 457500000 459415553 460399975 Call anytime on and after 82616

US BANK NA CINCINNATI 1262018 055572 90331HMR1 1262018 450000000 450185400 450396000 Float quarterly LIBOR +30 bps

US BANK NA CINCINNATI 1302017 04661 90331HMD2 1302017 450000000 499475000 450396000 Float quarterly LIBOR +23 bps

USAOT 2014-1 A31 2152017 058 90290KAC9 12152017 242000000 209784678 241905470 10 clean up call

USAOT 2015-1 A2 3152018 082 90290XAB3 3152018 1143000000 1145324862 1142957480 10 clean up call

VALET 2013-2 A3 4202018 07 92867PAC7 4202018 514049503 512961261 512463176 10 clean up call

VERIZON COMMUNICATIONS 9152016 17823 92343VBL7 9152016 192500000 194327403 192500000 Float quarterly LIBOR +153 bps

VERIZON COMMUNICATIONS 692017 06306 92343VCD4 692017 100000000 194327403 100000000 Float quarterly LIBOR +40 bps

VWALT 2014-A A3 4202017 08 92867QAD3 4202017 821300000 821284395 821829262 10 clean up call

VWALT 2015-A A2A 6202017 087 92867VAB6 6202017 181775477 181739304 181774587 10 clean up call

TOTAL 51134346284 51034580657 51239469518

Notes1 The security has a mandatory put date of 712017Contra Costa County invests approximately $1486 million in the CalTRUST Short Term Fund which had assets of $10020 million as of 93015 The above data represents the information at the Short Term Fund level not at the Contra Costa County account level

Exhibit VI (b)

DESCRIPTION CUSIP MATURITY DATE PAR MARKET COST PROVISIONS

AMERICAN HONDA FINANCE 02665WAY7 09202017 $50000000 $50008099 $50000000 Float quarterly LIBOR +45 bpsANAHEIM FING AUTH-B 03255LGX1 05012016 $75000000 $75401750 $75000000 Make-whole callBANK OF AMERICA NA 06050TLU4 02142017 $50000000 $49952953 $50000000 Float quarterly LIBOR +47 bps BANK OF AMERICA NA 06050TMB5 06052017 $25000000 $24948665 $25000000 Float quarterly LIBOR +45 bpsBBampT CORPORATION 05531FAG8 02162016 $75000000 $75758492 $76632000 Call anytime on or after 21616BERKSHIRE HATHAWAY FIN 084664CD1 01122018 $75000000 $74792792 $75000000 Float quarterly LIBOR +30 bps CISCO SYSTEMS INC 17275RAY8 06152018 $75000000 $74693450 $75000000 Float quarterly LIBOR +31 bpsFEDERAL FARM CREDIT BANK 3133EDGM8 03102016 $20000000 $20004563 $19933600 Call anytime on or after 61014FEDERAL FARM CREDIT BANK 3133EDGM8 03102016 $100000000 $100022817 $99820000 Call anytime on or after 61014FEDERAL FARM CREDIT BANK 3133EDXG2 10142016 $100000000 $100328006 $100100000 Call anytime on or after 101415FITAT 2014-2 A2A 31679KAB6 04172017 $23963869 $23960130 $23961235 10 clean up callGEET 2015-1 A2 36164EAB1 11242017 $40000000 $40048991 $39995700 10 clean up callHAROT 2014-2 A2 43814GAB6 09192016 $4552100 $4550970 $4551744 10 clean up callHAROT 2015-1 A2 43814KAB7 06152017 $33500000 $33506436 $33498251 10 clean up callHAWAII-TXBL-REF-ES 4197915E4 08012016 $75000000 $75219625 $75000000 Make-whole call +10 bpsHDMOT 2015-1 A2A 41284BAB2 01152019 $39974707 $39983483 $39974383 10 clean up callHOME DEPOT INC 437076BJ0 09152017 $75000000 $75140198 $75140198 Float quarterly LIBOR +37 bpsHTMOT 2014 - A A2 41284AAB4 04152018 $10809821 $10805354 $10809089 10 clean up callJDOT 2014-A A2 47787VAB7 09152016 $13340757 $13340437 $13340236 10 clean up callJDOT 2015-B A2 47787WAB5 06152018 $40000000 $40037596 $39998652 10 clean up callMBALT 2014-A A2A 58768EAC3 09152015 $1563282 $1563406 $1563241 10 clean up callMISSISSIPPI ST-B-TXBL 605581FW2 10012016 $30000000 $30149700 $30000000 Make-whole call +20 bpsPNC BANK NA 69349LAH1 01282016 $75000000 $75155925 $75178500 Call anytime on or after 122815PENAR 2013-1A A1 70659PAE1 11182017 $75000000 $75006426 $75000000 Float monthly LIBOR +39 bpsNAROT 2014-B A2 65477WAB2 06152017 $60250859 $60229872 $60247624 5 clean up callSTATE OF OHIO REVENUE BOND 677520FR4 10012015 $75000000 $77021250 $75000000 Call anytime on or after 10115TAOT 2015-A A2 89236WAB4 07172017 $60000000 $60020133 $59999430 5 clean up callUNIV OF CALIFORNIA REVENUES 91412GUT0 05152016 $25000000 $25094128 $25000000 Make-whole call +5 bpsUSAOT 2015-1 A2 90290XAB3 03152018 $48000000 $48115125 $47998214 10 clean up callUS BANK NA CINCINNATI 90331HMR1 01262018 $30000000 $30045586 $30000000 Float quarterly LIBOR +30 bps US BANK NA CINCINNATI 90331HMR1 01262018 $45000000 $45068380 $45120600 10 clean up callVOLKSWAGEN GROUP AMERICA 928668AD4 05232016 $50000000 $49260380 $50000000 Float quarterly LIBOR +22 bps

Total $1575955394 $1579235118 $1577862697

CONTRA COSTA COUNTYWELLS CAP MANAGEMENTSTRUCTURED SECURITIES

September 30 2015

Pooled Money Investment Account

Portfolio as of 09-30-15

PAR VALUES MATURING BY DATE AND TYPE

Maturities in Millions of Dollars

1 day 31 days 61 days 91 days 121 days 151 days 181 days 211 days 271 days 1 year 2 years 3 years 4 yearsto to to to to to to to to to to to to

ITEM 30 days 60 days 90 days 120 days 150 days 180 days 210 days 270 days 1 year 2 years 3 years 4 years 5 yearout

TREASURY 2350$ 950$ 1750$ 850$ 800$ 4150$ 500$ 5700$ 6200$ 10900$ 500$

REPO

TDs 1770$ 1058$ 1538$ 522$ 430$ 311$

AGENCY 903$ 250$ 750$ 950$ 1030$ 1350$ 1725$ 1700$ 505$ 577$ 781$

CP 1400$ 650$ 375$ 50$ 150$ 200$

CDs + BNs 5900$ 1500$ 2625$ 1250$ 400$ 600$ 500$ 500$ 200$

CORP BND TOTAL

67100$ 12323$ 4408$ 7038$ 3622$ 2810$ 6611$ 2725$ 7900$ 6905$ 11477$ 1281$

PERCENT 184 66 105 54 42 99 41 118 103 171 19 00 00

Notes 1 SBA Floating Rate Securities are represented at coupon change date2 Mortgages are represented at current book value3 Figures are rounded to the nearest million4 Does not include AB55 and General Fund loans

Exhibit VIIState of California

State of California Pooled Money Investment Account

Market Valuation 9302015

Description Carrying Cost Plus

Accrued Interest Purch Amortized Cost Fair Value Accrued Interest

United States Treasury Bills 1287166459362$ $ 1288316057635 $ 1289150250000 NA Notes 2175324673890$ $ 2175248885394 $ 2178329700000 2744818750$

Federal Agency SBA 60270163628$ 60269336765$ 59690048269$ 52266938$ MBS-REMICs 8058548885$ 8058548885$ 8620937407$ 38260235$ Debentures 136452783795$ 136452618517$ 136582335000$ 138434930$ Debentures FR -$ -$ -$ -$

Discount Notes 708697737495$ 709273801384$ 709340400000$ NA GNMA -$ -$ -$ -$

Supranational Debentures 35016581935$ 35016581935$ 35095000000$ 45451250$

CDs and YCDs FR -$ -$ -$ -$ Bank Notes 60000000000$ 60000000000$ 60001803238$ 45688890$ CDs and YCDs 1287501093358$ $ 1287501093358 $ 1287275917235 875670837$ Commercial Paper 282203431949$ 282372876390$ 282378529862$ NA

Corporate Bonds FR -$ -$ -$ -$ Bonds -$ -$ -$ -$

Repurchase Agreements -$ -$ -$ -$ Reverse Repurchase -$ -$ -$ -$

Time Deposits 562854000000$ 562854000000$ 562854000000$ NA AB 55 amp GF Loans 45855720241$ 45855720241$ 45855720241$ NA

TOTAL 6649401194538$ $ 6651219520504 $ 6655174641252 3940591830$

Fair Value Including Accrued Interest $ 6659115233082

Repurchase Agreements Time Deposits AB 55 amp General Fund loans and Reverse Repurchase agreements are carried at portfolio book value (carrying cost)

The value of each participating dollar equals the fair value divided by the amortized cost (1000594646) As an example if an agency has an account balance of $2000000000 then the agency would report its participation in the LAIF valued at $2001189292 or $2000000000 x1000594646

Exhibit VII (a)State of California

All investments are in US Dollar according to the State of California


DISCLOSURE STATEMENT

Portfolio Holdings Structured Notes and

Asset-Backed Securities

The Treasury Investment Division has received a number of inquiries concerning our various portfolio holdings Questions involving structured notes derivative products and asset-backed securities are the most notable

In an effort to clarify the information provided in our monthly statements we would like to share with you our investment positions in structured notes and asset-backed securities

Following are the State of California Treasurerrsquos holdings in each category as of September 30 2015

The Pooled Money Investment Account Portfolio has not invested in nor will itinvest in Derivative Products as defined in FASB 133

Exhibit VII (b)State of California

1 Structured Notes

Structured notes are debt securities (other than asset-backed securities) whose cash flow characteristics (coupon rate redemption amount or stated maturity) depend upon one or more indices andor that have embedded forwards or options They are issued by corporations and by government-sponsored enterprises such as the Federal National Mortgage Association and the Federal Home Loan Bank System or an international agency such as the World Bank

Securities Accountability

Structured Notes

a Callable Agency $ 0000 million b LIBOR Agency Floater $ 0000 million c 3 month LIBOR Corporate Floater $ 0000 million d 3 month LIBOR Bank Floater $ 0000 million e 2 year CMT Corporate Floater $ 0000 million f 3 month T-Bill Agency Floater $ 0000 million g 3 month T-Bill Corporate Floater $ 0000 million

US $0000 million As of 093015

2 Asset-Backed Securities

Asset-backed securities entitle the purchaser to receive a share of the cash flows froma pool of assets such as principal and interest repayments from a pool of mortgages (such as CMOs) small business loans or credit card receivables (such as ABCP)


a Small Business Administration Pools $ 602693 million b Agency MBS-REMICrsquoS $ 80585 million

(Medium term sub-total) $ 683278 million

c Commercial Paper (Short term sub-total) $ 524146 million



Total Portfolio As of 093015 $6649401194538

Structured notes and Medium-term Asset-backed securities as a percent of portfolio 103

Short-term Asset-Backed Commercial Paper (ABCP) as a percent of portfolio 079

Total Medium-term and Short-term Structured notes and Asset-backed securities as a percent of portfolio 182

ABCP purchased by the Pooled Money Investment Account (PMIA) does not includeStructured Investment Vehicles (SIVs) nor do any of the approved ABCP programs include SIVs as underlying assets


Exhibit VIII

Par Value 184533165409 Book Price 100102

Book Value 184721498440 Average Days to Maturity 305

Market Value 184898968427 Coupon 06433

Market Price 100198 YTM 05859

Yield Change Market Value Market Price GainLoss2

(bps) ($) ($) (bps)

‐50 185664633657 100613 4139

‐25 185280659319 100405 2064

‐10 185051371991 100281 826

0 184898968418 100198 000

10 184746927139 100116 ‐821

25 184519541875 99993 ‐2048

50 184142360805 99788 ‐4094

Note Stress Testing is a form of testing that is used to determine the stability of a given system or entity It reveals how well a portfolio is positioned

in the event the forecasts prove true The stress test conducted on the portfolio managed by the Treasurers Office identifies the sensitivity of our

portfolio to the change in interest rate The test result shows if the yield were to go down by 50 bps the market value of the portfolio would

increase by 4139 bps If the yield were to go up by 50 bps the market value of the portfolio would decrease by 4094 bps

1 The stress test is conducted on the portfolio managed by the Treasurers Office Portfolios managed by outside contractors are excluded All data is provided by Sungard

2 GainLoss is calcuated based on the market valueprice

Portfolio Stress Test1


Exhibit IX

Security Coupon Purchase Maturity Par MarketDescription CUSIP Rate YTM Date Date Value Value2 Fund4

Compton CA Community Redev Agy 204712FD0 00000 65258 1320121 8116 1000000 745300 5033

Palo Alto USD Refunding Bond 697379UA1 14020 14020 81412 8117 44000000 44000000 7903

University of Cal Tax Revenue Bond 91412GPX7 06590 06590 31413 51516 124000000 124000000 6911

University of Cal Tax Revenue Bond 91412GPY5 09660 09660 31413 51517 17500000 17500000 7903

Cal State Taxable GO Bond 13063BN73 10500 09292 32713 2116 12000000 12040560 7903


Chicago Prerefunded Proj amp Refunding Bond 167486JB6 50000 16188 627133 1117 17000000 18954234 5057

Chicago Unrefunded Bal-Proj amp Refunding Bd 167486JC4 50000 25923 627133 1117 39000000 42131877 5057

Washington State GO Bond 93974B3K6 50000 13012 627133 1118 60000000 69692506 5057

South Bend IN Refunding Revenue Bond 836496NW5 50000 16170 627133 11516 50500000 54750638 5057

Wicomico County MD GO Bond 967545R89 35000 16386 627133 12118 39000000 42755012 5057

Univ of Cal Taxable Rev Bond 91412GSX4 09070 09070 10213 51516 41500000 41500000 6911

Univ of Cal Taxable Rev Bond 91412GSZ9 20540 20540 10213 51518 19500000 19500000 7903

Cal State Taxable GO Bond 13063CFD7 12500 10901 11513 11116 12500000 12558625 7903


County of Orange CA Rev Bond 68428LDJ0 07800 07800 11315 5216 100000000 100000000 6911

State of Mississippi GO Bond 605581FX0 10900 10900 21815 10117 11000000 11000000 6911

Total $722500000 $745685162

1 Date when the security was transferred from AUHSD to Contra Costa County Investment Pool managed by Treasurers Office2 Market Value equals Cost less purchase interest3 Date when the security was transferred from Fund 5055 to Fund 5057 per AUHSDs request4 Fund

5033 - Acalanes Unified High School District5055 - Acalanes Unified High School District6911 - Contra Costa County Schools Insurance Group7903 - Contra Costa Community College District Retiree Health Benefits8177 - County (Pool)


MUNICIPAL SECURITIESSeptember 30 2015

Cover Page for the Quarterly Investment Report as of September 30 2015

Table of Contents

Section I Executive Summary

Section II CCC Investment Pool Summary

Section III Appendix A Investment Portfolio Detail - Managed by Treasurers Office

Section III Appendix B1 LAIF

Section III Appendix B2 Asset Management Funds

Section III Appendix B3 EBRCS

Exhibits

Exhibit I - Portfolio Summary Report

Exhibit II - Investment Pool Performance Summary

Exhibit III - Investment Pool Change in Value

Exhibit IV - Rates and Yields

Exhibit IV (a) - LAIF Quarterly Rates

Exhibit IV (b) - Rates and Yields Graph

Exhibit IV (c) - Risk Assessment Graph

Exhibit IV (d) - Risk Assessment Table

Exhibit V - Average Information

Exhibit V (a) - Summary of Pool Rates and Benchmarks

Exhibit V (b) - Average Quarterly Returns

Exhibit VI - Treasurers Investment Portfolio Structured Securities

Exhibit VI (a) - CalTRUST Short-Term Fund Structured Securities

Exhibit VI (b) - Wells Cap Structured Securities

Exhibit VII - PMIA Maturity Schedule

Exhibit VII (a) - PMIA Market Value

Exhibit VII (b) - State of CA Disclosure Statement

Exhibit VIII - Portfolio Stress Test

Exhibit IX - Treasurers Investment Portfolio Municipal Securities

TABLE OF CONTENTS

Page

I Executive Summary 1

II Contra Costa County Investment Pool Summary 2

III Appendix

A Investment Portfolio DetailmdashManaged by Treasurerrsquos Office

1 Portfolio Summary 5

2 Portfolio Detail 11

3 Market Valuation Sources 34

B Investment Portfolio Detail ndash Managed by Outside Contracted Parties

1 State of California Local Agency Investment Funda Summary 35

2 Asset Management Fundsa Wells Capital Management 36 b CalTRUST 70

3 East Bay Regional Communications System Authority(EBRCS)a Summary 75

EXECUTIVE SUMMARY






Par $236548791215

Cost $236765650022





Page 1

PERCENT OF




2 US Agencies





Municipal Bonds 722500000 745685162 1 745685162 1 031

Subtotal 53939600000 54137893149 54217348223 2287






Time Deposit 333577 333577 333577 000

Subtotal 111117365409 111025018154 111114751874 4689


5 Corporate Notes 16100700000 16172612242 16174201321 683

TOTAL (Section A) 184533165409 184721498440 184898968427 7802



2 Other

a EBRCS Bond 223275690 223275690 223275690 009



Subtotal 19500651901 19529177677 19520349952 825

TOTAL (Section B) 39051152279 39079678055 39082475957 1651

C Cash 12964473527 12964473527 12964473527 548


Notes













US Treasuries124


Local2286

Money Market4689

ABSMBS019

Corporate Notes683


826


825

Cash548


7453

1290950

285 022$0

$200000000

$400000000

$600000000

$800000000

$1000000000

$1200000000

$1400000000

$1600000000

$1800000000

$2000000000



AAA063

AA+2579

AA1629

AA‐199A+

120A103

A‐040

A‐1+403

A‐14284

NR (CASH)548

NR (Misc)031


05480586

0330

0575

0520

0350

000

010

020

030

040

050

060

070




000

010

020

030

040

050

060

1212 313 613 913 1213 314 614 914 1214 315 615 915


YTM


School Dist3833


1486


620



Page 3




0

1

2

3

4

5

6

7

0996 0999 0902 0905 0908 0911 0914

Percentage



‐10

‐8

‐6

‐4

‐2

0

2

4

6

8

10

123115123112123109123106123103123100123197

Percentage


GDP QoQ Change

‐3

‐2

‐1

0

1

2

3

4

5

6

123115083113043011123108083106043004123101083199043097

Percentage



0

2

4

6

8

10

12


Percentage

UNEMPLOYMENT RATE

Unemployment Rate

Page 4

SECTION III

APPENDIX



Contra Costa County

As Of Date 09302015




Subtotal 983462 8189300000 8233436042 9158886 30409599

862858 8208097931 100538948 -5046210


Subtotal 240000 24900000 24872154 28884 2532

240573 24840738 99888169 000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690


Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796


Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890


Subtotal 1021082 2916000000 2932452140 6759174 8684053

911013 2925760026 100564202 -846221




Page 5


Contra Costa County

As Of Date 09302015




Subtotal 328043 61284800000 61261659931 56430381 12307195

328594 61192922725 99962242 -370


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


Subtotal 1042646 317000000 316972369 142084 000

1046859 316972369 99991284 000


Subtotal 148207 599700000 599636986 443798 78864

148407 599114324 99989492 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


Subtotal 2133314 722500000 745685162 4095807 000

1186443 745685162 103209019 000




Page 6


Contra Costa County

As Of Date 09302015




Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


Subtotal 462200 245000000 244328496 77076 000

510490 244852020 99725917 -523524


Subtotal 1185757 415000000 414678000 1184241 000

1212249 414678000 99922410 000


1256393 15127367242 100488445 -34126750

Subtotal 1504454 15050700000 15124214321 53058340 41320219


Subtotal 900000 202500000 201230550 10125 000

900000 202500000 99373111 -1269450


Subtotal 481820 1050000000 1049987000 1193357 4755000

1382208 1045245000 99998762 -13000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000




Page 7


Contra Costa County

As Of Date 09302015




600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000



585858 184721498440 100198232 -130630560



Page 8


Contra Costa County

As Of Date 09302015





TIME DEPOSIT 334 334 334 10000 000 060

MBSABS 459500 460215 460215 10000 000 105

CORPORATE NOTES 16100700 16172612 16174201 10001 11935 126

NCDYCD 49775700 49775230 49796227 10004 20997 037


MUNICIPALS 722500 745685 745685 10000 000 119

US AGENCIES 53217100 53392208 53471663 10015 82468 085

US TREASURIES 2916000 2925760 2932452 10023 7838 091

Totals(000s) 184533165 184721498 184898968 10010 135545 059


Asset Allocation

Page 9


Contra Costa County

As Of Date 09302015




Page 10


Contra Costa County

As Of Date 09302015




09302019 1403864 36542813 102120000 SUNGARD 000


03312018 1076208 346541016 99857000 SUNGARD 000


03312017 622165 362158668 100729000 SUNGARD -37913


07312018 916641 8619531 101340000 SUNGARD -5631



02282019 1336788 12518555 101027000 SUNGARD 000



04302019 1138894 502187500 100536000 SUNGARD 000


10312016 545942 183969297 100641000 SUNGARD -802677

07312018 1446611 38393223 101340000 SUNGARD 000

08312017 1013383 55069273 99922000 SUNGARD 000




06302017 928142 12941602 100275000 SUNGARD 000

11302017 1165963 21093969 103284000 SUNGARD 000

05312017 818703 36357472 100074000 SUNGARD 000


11302017 874222 45733582 99818000 SUNGARD 000




01312017 734933 27577783 100518000 SUNGARD 000

06302017 788660 285758043 100275000 SUNGARD 000

03312019 1589638 7009420 101833000 SUNGARD 000




05152019 1503637 10172422 107099000 SUNGARD 000




Page 11


Contra Costa County

As Of Date 09302015




06102016 475000 249504983 99998000 SUNGARD 000




06082018 1390090 617211350 100643000 SUNGARD 000


06102016 745089 299310440 101181000 SUNGARD -11956400

09082017 790076 16967190 100023000 SUNGARD 000

06192017 850065 288880000 100628000 SUNGARD 000



82122 GOV FHLB NOTES 3130A33J1 09192014 1200000 500000000 504515000 200000 4515000

06082018 1410094 298200000 100643000 SUNGARD 000

09192017 1200000 500000000 100903000 SUNGARD 000

10142016 572077 1001020000 100180000 SUNGARD 000




06102016 760030 199664780 101181000 SUNGARD -7926785


07312018 1111402 97644950 103810000 SUNGARD 000


04152018 921899 399252305 99836000 SUNGARD 000


03312018 874966 51323255 99857000 SUNGARD 000


05152020 1503393 26314770 109626000 SUNGARD 000

03312018 860670 169535156 99857000 SUNGARD 000


03312017 545225 169141875 100729000 SUNGARD 000


06302020 1499897 19903546 102362000 SUNGARD 000


911013 2925760026 100564202 -846221

Subtotal 1021082 2916000000 2932452140 6759174 8684053



Page 12


Contra Costa County

As Of Date 09302015





09282016 615106 196637520 100076000 SUNGARD 000

03082019 1415035 501660000 101036000 SUNGARD 000

09282016 530086 283895537 100076000 SUNGARD 000




12092016 571735 1965471750 101299000 SUNGARD -12933525

11232016 556000 209262834 100148000 SUNGARD 000


03102017 739127 300801000 100273000 SUNGARD 000

04252018 1155323 999070000 100679000 SUNGARD 000


82419 GOV FHLB NOTES 3130A4K27 03092015 720000 1000000000 1001840000 500000 3470000


03062017 802655 998370000 100184000 SUNGARD 000


12122016 720127 499305000 100148000 SUNGARD 000

12122016 670252 350206500 100178000 SUNGARD 000

12122016 770206 499315000 100178000 SUNGARD 000

82271 GOV FHLB NOTES 3130A3Q64 12232014 700000 500000000 500890000 1059722 1575000

12162016 620043 249372500 100074000 SUNGARD 000

09282016 470153 1147573500 100076000 SUNGARD 000



12012015 215107 36978910 100008000 SUNGARD 000


12092016 571735 628645050 101299000 SUNGARD -4136715




09282016 470201 76538250 100076000 SUNGARD 000


08152017 1000000 1000000000 100565000 SUNGARD 000

12082017 1180284 449280000 100653000 SUNGARD 000

01062017 750000 1000000000 100174000 SUNGARD 000




Page 13


Contra Costa County

As Of Date 09302015





06242016 330908 25014667 99904000 SUNGARD -34500


10302018 1300000 500000000 100363000 SUNGARD 000


06292018 1100000 1000000000 100351000 SUNGARD 000

08282017 858202 152158400 100087000 SUNGARD 000

05302017 692495 100021625 100010000 SUNGARD 000


09132019 1400130 249833889 100383000 SUNGARD 000

82664 GOV FHLB NOTES 3130A6B63 08142015 1200000 1000000000 1005600000 1566667 5600000

08142018 1200000 1000000000 100560000 SUNGARD 000




03242017 840000 16500000 100270000 SUNGARD 000

82550 GOV FHLB NOTES 3130A57K9 05042015 1000000 1000000000 1000830000 4083333 2310000

04202016 290248 160920618 99999000 SUNGARD 000


03182016 330364 199739400 100113000 SUNGARD -13965


03242017 840000 160000000 100270000 SUNGARD 000



05302017 666017 142881310 100010000 SUNGARD 000

06302017 730000 1000000000 100148000 SUNGARD 000

06142019 1563094 250600000 101365000 SUNGARD 000




05262017 720000 1000000000 100253000 SUNGARD 000

05042018 1050244 998520000 100083000 SUNGARD 000

Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890



Page 14


Contra Costa County

As Of Date 09302015





09282016 740949 98963095 100801000 SUNGARD -682120

02192019 1795148 37839867 102313000 SUNGARD 000

02192019 1795148 698481789 102313000 SUNGARD 000


05212018 1459815 15952936 99940000 SUNGARD 000



09282016 748553 23839371 100801000 SUNGARD -151136

81941 GOV FNMA NOTE 3135G0MZ3 04172014 875000 1000000000 1001390000 802083 7310000



08282017 1054521 994080000 100139000 SUNGARD 000

04202017 740235 4901372 100130000 SUNGARD 000

11272018 1489435 11567275 101788000 SUNGARD 000


03152016 1000170 423921135 100926000 SUNGARD -16684725


09282016 615791 482179778 100801000 SUNGARD -8112675


10262015 893123 616710000 100100000 SUNGARD -16110000




09282016 1160000 17373698 100801000 SUNGARD 000


05212018 1190082 19697600 99940000 SUNGARD 000


06122018 1013910 499795000 100146000 SUNGARD 000


05222018 750000 1000000000 99996000 SUNGARD -40000


02082018 970000 16424202 100153000 SUNGARD 000


04272017 600233 398143200 100831000 SUNGARD -4902300




Page 15


Contra Costa County

As Of Date 09302015




09272017 781143 201042000 100449000 SUNGARD -144000


05252018 1250000 1000000000 100461000 SUNGARD 000


02272019 1329281 608718000 101612000 SUNGARD 000


01212020 1627650 16997790 101031000 SUNGARD 000


09272017 723255 168928293 100449000 SUNGARD -164640


06122017 642309 169877783 107937000 SUNGARD -99200


10192018 1177919 12978940 100417000 SUNGARD 000


12202017 793128 170715063 100253000 SUNGARD 000

04272017 895628 20094418 100831000 SUNGARD 000




09122019 1889799 16489776 101774000 SUNGARD 000


09272017 1117972 37893058 100449000 SUNGARD 000

09272017 1117972 12953590 100449000 SUNGARD 000

04272017 895628 55830780 100831000 SUNGARD 000


07052016 397750 1243589480 100002000 SUNGARD 000




07052016 397750 563314045 100002000 SUNGARD 000


11272018 1385424 12618750 101788000 SUNGARD 000

11262019 1612998 10065300 101773000 SUNGARD 000

11272018 1380107 606649400 101788000 SUNGARD 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796



Page 16


Contra Costa County

As Of Date 09302015




10102017 1156802 999800000 100782000 SUNGARD 000




01162019 1620035 199030000 100641000 SUNGARD 000


12072016 972048 249713430 100541000 SUNGARD 000

12102015 340213 553945500 100001000 SUNGARD 000

11012016 700000 500000000 100425000 SUNGARD 000



11142016 600000 1000000000 100152000 SUNGARD 000

12012016 590074 499900000 100199000 SUNGARD 000

12152016 720000 1000000000 100283000 SUNGARD 000



03282016 790000 399681830 100413000 SUNGARD -2347589

03282016 810254 407765280 100413000 SUNGARD -2096760





05172017 790074 19891400 99878000 SUNGARD 000

11292016 640000 1000000000 100003000 SUNGARD 000

07122016 600206 249886330 100225000 SUNGARD 000





02252018 920628 44439670 100999250 BOOK 000

04012018 1201381 38884861 100999639 BOOK 000

Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000




Page 17


Contra Costa County

As Of Date 09302015




03082017 1120062 16901230 100636000 SUNGARD 000



01192016 2330564 17226700 101365000 SUNGARD -1515125



04012016 240573 24840738 99888167 SUNGARD 000


240573 24840738 99888169 000

Subtotal 240000 24900000 24872154 28884 2532



09142017 860067 499231667 100145000 SUNGARD 000


01222018 1096935 997190000 100326000 SUNGARD 000

03292018 1130145 498000000 100174000 SUNGARD 000

04022018 1000000 1000000000 100462000 SUNGARD 000


03212016 308272 303970816 100084000 SUNGARD 000




03212016 308272 1015902464 100084000 SUNGARD 000

08042020 1730194 17046216 101041000 SUNGARD 000


09142017 810304 499700000 100145000 SUNGARD 000



08052019 1350014 100657333 100507000 SUNGARD -67000

08052019 1350014 301972000 100507000 SUNGARD -201000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690



Page 18


Contra Costa County

As Of Date 09302015





08082018 1200000 248600000 100279000 SUNGARD 000

08082018 1200000 11000000 100279000 SUNGARD 000

03082017 643501 1970224915 100636000 SUNGARD -2287935




07282017 1002272 46497404 100676000 SUNGARD 000

01272017 586812 137279806 99981000 SUNGARD 000


07282017 853802 9532300 100676000 SUNGARD 000

03082017 643501 955642205 100636000 SUNGARD -1109745




03082017 672177 99174725 100636000 SUNGARD -48265


03082017 780254 389546460 100636000 SUNGARD -85140

03072018 1250049 695847428 100085000 SUNGARD 000

03072018 1279731 15453824 100085000 SUNGARD 000


09292017 764157 4526353 100605000 SUNGARD 000

07282017 1001893 80995464 100676000 SUNGARD 000



10142016 773322 6507265 100429000 SUNGARD 000

82009 RM GOV FHLMC 3137EADH9 06132014 1000000 248400000 250094088 634800 1285271

07282017 1002272 3999777 100676000 SUNGARD 000




09292017 1033085 499490000 100605000 SUNGARD 000


06292017 945000 248808817 100682000 SUNGARD 000

09292017 1070130 997770000 100605000 SUNGARD 000

07282017 1001893 7499580 100676000 SUNGARD 000




Page 19


Contra Costa County

As Of Date 09302015





01012017 1618751 18954234 111495494 BOOK 000

01012017 2592295 42131877 108030454 BOOK 000

01012018 1301222 69692506 116154177 BOOK 000


02012016 929226 12040560 100338000 BOOK 000



02012016 929226 55185900 100338000 BOOK 000



01152016 1616968 54750638 108417105 BOOK 000

12012018 1638640 42755012 109628236 BOOK 000

05152016 907000 41500000 100000000 BOOK 000


08012016 6525847 745300 74530000 BOOK 000




08012017 1402000 44000000 100000000 BOOK 000


05152017 966000 17500000 100000000 BOOK 000


05152016 659000 124000000 100000000 BOOK 000


05302017 710296 999170000 99991000 SUNGARD 000


07282017 853802 431963700 100676000 SUNGARD 000


05302019 1480153 10125978 102032000 SUNGARD 000


05302019 1379985 304314000 102032000 SUNGARD 000


862858 8208097931 100538948 -5046210

Subtotal 983462 8189300000 8233436042 9158886 30409599



Page 20


Contra Costa County

As Of Date 09302015





02092016 290853 99407657 99949056 SUNGARD 000


10232015 120070 499706667 99997556 SUNGARD 000

148407 599114324 99989492 000

Subtotal 148207 599700000 599636986 443798 78864


09012016 431873 109523058 99711000 SUNGARD 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


82684 RM GOV FNMA DISC 313588C29 09112015 400000 29500000 29425660 6556 30221

08152016 401514 29388883 99748000 SUNGARD 000

Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


11012016 1090101 12558625 100469000 BOOK 000


11012016 1090101 79370510 100469000 BOOK 000


05152018 2054000 19500000 100000000 BOOK 000



10012017 1090000 11000000 100000000 BOOK 000


05022016 780000 100000000 100000000 BOOK 000

1186443 745685162 103209019 000

Subtotal 2133314 722500000 745685162 4095807 000



Page 21


Contra Costa County

As Of Date 09302015





10132015 330552 1996663333 99994000 SUNGARD 000


11102015 270422 2496100000 99980000 SUNGARD 000


10092015 290426 2496334722 99996000 SUNGARD 000


10232015 380776 2494906944 99989000 SUNGARD 000


11252015 441203 2493186111 99972500 SUNGARD 000



10272015 260367 2496479167 99987000 SUNGARD 000


02222019 1083588 59917969 99863282 BOOK 000


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


07172017 710792 62999402 99999051 BOOK 000


10152019 1059409 84482238 99978980 BOOK 000


06152017 704310 41997808 99994781 BOOK 000



04182019 1270662 45499440 99998769 BOOK 000


03162020 1343408 81993481 99992050 BOOK 000

1046859 316972369 99991284 000

Subtotal 1042646 317000000 316972369 142084 000




Page 22


Contra Costa County

As Of Date 09302015





10062015 220123 399974999 99997500 SUNGARD 000

10062015 220123 90049344 99997500 SUNGARD 000

10062015 220124 340008732 99997500 SUNGARD 000




10062015 220124 199987499 99997500 SUNGARD 000

10062015 220123 310025599 99997500 SUNGARD 000


10062015 220124 2100018659 99997500 SUNGARD 000

10062015 220124 569979365 99997500 SUNGARD 000




10062015 220124 429958132 99997500 SUNGARD 000


12112015 290508 1996503889 99956611 SUNGARD 000

12102015 310570 2495414583 99957222 SUNGARD 000

11092015 250314 162295747 99980500 SUNGARD 000


10282015 390830 2993630000 99986500 SUNGARD 000

10062015 220123 359997488 99997500 SUNGARD 000



11242015 441175 2992006667 99973000 SUNGARD 000


10062015 220125 110038099 99997500 SUNGARD 000




10062015 220124 239965010 99997500 SUNGARD 000


02052016 360971 49865500 99887111 SUNGARD 000

12162015 400770 2495194444 99953556 SUNGARD 000

10062015 220124 519507757 99997500 SUNGARD 000




Page 23


Contra Costa County

As Of Date 09302015





10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

11122015 290234 1998388889 99979000 SUNGARD 000




10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


12102015 350436 2496888889 99957222 SUNGARD 000




12292015 300368 2996325000 99945611 SUNGARD 000

10062015 220125 155012799 99997500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



10062015 220124 559984987 99997500 SUNGARD 000

10062015 220132 44974699 99997500 SUNGARD 000


10302015 210106 199897334 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



Page 24


Contra Costa County

As Of Date 09302015





10092015 170027 76689134 99996000 SUNGARD -170

10092015 170024 89987250 99996000 SUNGARD -200

06172016 653172 393081509 99610000 SUNGARD 000





03012016 551533 174513403 99864889 SUNGARD 000


03212016 511311 198988449 99847111 SUNGARD 000



03212016 511311 393987154 99847111 SUNGARD 000

12212015 280196 394723500 99950500 SUNGARD 000

06172016 653172 198531040 99610000 SUNGARD 000



12152015 290292 2497482639 99954167 SUNGARD 000

12152015 320359 2497200000 99954167 SUNGARD 000

05162016 683473 198983778 99746667 SUNGARD 000


01282016 471076 2494288194 99914056 SUNGARD 000

10302015 180054 499850000 99985500 SUNGARD 000



12152015 340405 2497025000 99954167 SUNGARD 000


12162015 320313 2497555556 99953556 SUNGARD 000

10302015 180054 299910000 99985500 SUNGARD 000

10302015 180054 263920800 99985500 SUNGARD 000


02172016 541438 49867250 99876444 SUNGARD 000




02172016 541438 49867250 99876444 SUNGARD 000



Page 25


Contra Costa County

As Of Date 09302015





12152015 430000 2500000000 100069620 SUNGARD 000

12162015 420000 2500000000 100068399 SUNGARD 000

05262017 1150000 195000000 100000000 BOOK 000


05202016 730000 200000000 100218822 SUNGARD 000



05262016 730000 100700000 100224474 SUNGARD 000



12152015 390000 2500000000 100061182 SUNGARD 000

12152015 370000 2500000000 100056968 SUNGARD 000

12152015 360000 2500000000 100054858 SUNGARD 000



02022016 400000 50000000 100065730 SUNGARD 000




12222015 400000 50000000 100069078 SUNGARD 000

11132015 390000 1000000000 100035418 SUNGARD 000

11242015 310000 2500000000 100032057 SUNGARD 000


04212017 1070000 200000000 100000000 BOOK 000


10302015 370000 1500000000 100022484 SUNGARD 000




12212015 280196 199360350 99950500 SUNGARD 000


01042016 275204 2997777083 99931389 SUNGARD 000

328594 61192922725 99962242 -370

Subtotal 328043 61284800000 61261659931 56430381 12307195



Page 26


Contra Costa County

As Of Date 09302015





10132015 220000 25000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000

12282015 320000 2500000000 100054363 SUNGARD 000




10132015 220000 70000000 100004331 SUNGARD 000

10132015 220000 330000000 100004331 SUNGARD 000

10132015 220000 10000000 100004331 SUNGARD 000


12232015 280000 2500000000 100041980 SUNGARD 000




01082016 450000 2500000000 100066587 SUNGARD 000

01062016 390000 110000000 100048921 SUNGARD 000




01062016 390000 200000000 100048921 SUNGARD 000



12162015 390000 2500000000 100061994 SUNGARD 000

01062016 390000 430000000 100048921 SUNGARD 000


10132015 220000 12500000 100004331 SUNGARD 000


10132015 220000 20000000 100004331 SUNGARD 000

10132015 220000 140000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000


10132015 220000 800000000 100004331 SUNGARD 000




10132015 220000 30000000 100004331 SUNGARD 000



Page 27


Contra Costa County

As Of Date 09302015




01102017 433450 50000000 99974000 SUNGARD -13000



01082016 1429873 995245000 100000000 SUNGARD 000

1382208 1045245000 99998762 -13000

Subtotal 481820 1050000000 1049987000 1193357 4755000



01042016 320000 3000000000 100029316 SUNGARD 000

02262016 400000 3000000000 100078571 SUNGARD 000

01272016 300000 3000000000 100029729 SUNGARD 000


10132015 180000 130000000 100002888 SUNGARD 000




10132015 180000 370000000 100002888 SUNGARD 000


01252016 390000 2500000000 100058419 SUNGARD 000

10132015 180000 210000000 100002888 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000


01082016 250000 2500000000 100011103 SUNGARD 000




01152016 320000 2500000000 100032671 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000

10132015 180000 770000000 100002888 SUNGARD 000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000



Page 28


Contra Costa County

As Of Date 09302015




08152016 967967 98447795 100315000 SUNGARD 000




08152016 1018105 35432550 100315000 SUNGARD 000


05032018 1076001 17435425 99533000 SUNGARD -17150

01152017 945019 179712000 100183000 SUNGARD 000

01082016 1028965 499635000 100166000 SUNGARD 000



10052017 1545080 494450000 100124000 SUNGARD 000

12062018 1750063 636846084 101325000 SUNGARD 000

12152017 1510075 517962978 99821000 SUNGARD 000



02152017 1165961 13474890 100496000 SUNGARD 000




10252015 937036 509910000 100064000 SUNGARD -9590000

02152017 1203989 23914080 100496000 SUNGARD 000

01082016 1000000 500000000 100166000 SUNGARD 000


02092018 1579059 24465945 100812000 SUNGARD 000


12052017 1104000 10500000 99599000 SUNGARD -42105



09292016 900000 202500000 99373111 SUNGARD -1269450


900000 202500000 99373111 -1269450

Subtotal 900000 202500000 201230550 10125 000




Page 29


Contra Costa County

As Of Date 09302015





01152016 489343 160248340 100419000 SUNGARD -1586320

09192016 840060 157402875 101738000 SUNGARD -2252425

07202016 787164 160089150 100430000 SUNGARD -405450




01082016 475357 159796590 100166000 SUNGARD -532650

09152016 616979 159141840 101129000 SUNGARD -1380600

07222016 490189 159903875 101149000 SUNGARD -1605690


01302017 828281 159360655 100156000 SUNGARD -613395




01082016 475357 199996990 100166000 SUNGARD -666650

05222017 1200940 99106800 101057000 SUNGARD -576225




05052017 1067075 149920500 100385000 SUNGARD 000



01162018 1720116 495990000 99905000 SUNGARD 000

04212017 1005095 36994450 100393000 SUNGARD 000


09082017 1433868 80919810 100069000 SUNGARD 000


12052017 1250044 995751000 99599000 SUNGARD 000

01122018 1496870 21969860 100117000 SUNGARD 000

05182016 435141 159553320 100153000 SUNGARD -310050


11152017 1345000 35000000 100347000 SUNGARD 000




11212017 1151867 112910730 100643000 SUNGARD 000



Page 30


Contra Costa County

As Of Date 09302015





03022018 1372881 999770000 100091000 SUNGARD 000

03132018 1545883 12982580 99826000 SUNGARD -5200

08072019 1743001 11760300 115655000 SUNGARD -194800




03062018 1305000 156500000 100236000 SUNGARD 000

03062018 1305000 12500000 100236000 SUNGARD 000


05222018 1603145 159985600 99801000 SUNGARD -304000

05032018 1257267 992760000 99533000 SUNGARD 000

82554 CORP APPLE INC 037833AJ9 05122015 1000000 1000000000 995330000 4111111 2820000



05122017 934955 56461015 100192000 SUNGARD 000


07222016 490189 200263000 101149000 SUNGARD -2010960

09152016 616979 198927300 101129000 SUNGARD -1725750

05182016 435141 199692520 100153000 SUNGARD -388050


01152016 489343 200310425 100419000 SUNGARD -1982900

03022018 1365000 106500000 100091000 SUNGARD 000



07202016 787164 199859725 100430000 SUNGARD -506175


02062018 1228864 15951200 99758000 SUNGARD 000


82386 CORP IBM CORP 459200HZ7 02112015 1125000 500000000 498790000 859375 980000


02062018 1274939 497810000 99758000 SUNGARD 000


09192016 840060 196624575 101738000 SUNGARD -2813685

01302017 828281 199075140 100156000 SUNGARD -766260

02062018 1228864 187426600 99758000 SUNGARD 000




Page 31


Contra Costa County

As Of Date 09302015





05152019 1748923 199938947 101432000 SUNGARD 000


07192018 1927831 155839382 102595000 SUNGARD -69460


03012018 1769114 499500556 99773000 SUNGARD -305000


01152017 739645 155606050 100183000 SUNGARD -35650

07192018 1927831 199185436 102595000 SUNGARD -88780

02152019 1739996 199404755 110346000 SUNGARD -247710


02012019 1927457 198743020 101021000 SUNGARD -31360


06012019 1599996 154856333 109268000 SUNGARD 000


04252019 1710407 200128717 101608000 SUNGARD -157950




06152018 1655855 172470675 100729000 SUNGARD 000


06152018 1655855 12997790 100729000 SUNGARD 000


05222018 1603145 12498875 99801000 SUNGARD -23750


05152018 1658000 499908681 99381000 SUNGARD -2620000


07172017 1139621 9996800 100401000 SUNGARD 000


08072018 1435833 133761480 100529000 SUNGARD 000


07132018 1567156 499814583 100455000 SUNGARD 000


09082017 1252137 110346500 100069000 SUNGARD -270600


07132018 1579121 40965150 100455000 SUNGARD 000

Subtotal 1504454 15050700000 15124214321 53058340 41320219



Page 32


Contra Costa County

As Of Date 09302015





05242017 600000 333577 100000000 BOOK 000

600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000


10012015 000000 53722612 100000000 BOOK 000



10012015 000000 2809220 100000000 BOOK 000

Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


06102016 510490 244852020 99725917 SUNGARD -523524


510490 244852020 99725917 -523524

Subtotal 462200 245000000 244328496 77076 000



09112017 1430018 199678000 99839000 BOOK 000


04062017 1010000 215000000 100000000 BOOK 000

1212249 414678000 99922410 000

Subtotal 1185757 415000000 414678000 1184241 000


1256393 15127367242 100488445 -34126750


585858 184721498440 100198232 -130630560



Page 33

Page 34

SECTION III

APPENDIX



































TOTAL 19550500378 19562126005

Page 35

SECTION III

APPENDIX





Page 36













Page 37

Asset Class










Other 48977

--- 10000



Risk Metric Value

Cash 10787

MMFund 163929061


Duration 047

Convexity -0018

WAL 0686



Yield 0575

Book Yield 0521


Balance Sheet





1

Page 38


Rating 0 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5 - 7 7 - 10 10 - 15 15 - 30

AAA 57859 600 000 000 000 000 000 000 000

AA 18868 0565 000 000 000 000 000 000 000

A 14937 177 000 000 000 000 000 000 000

BBB 000 000 000 000 000 000 000 000 000

BB 000 000 000 000 000 000 000 000 000

B 000 000 000 000 000 000 000 000 000

CCC 000 000 000 000 000 000 000 000 000

CC 000 000 000 000 000 000 000 000 000

C 000 000 000 000 000 000 000 000 000

NA 000 000 000 000 000 000 000 000 000

Time To Maturity

Credit Rating

Duration


2

Page 39




3

Page 40



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0108 0106 0001

Year to Date 01012015 09302015 0406 0218 0188

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0125 0064 0061

Prior Year 01012014 12312014 0319 012 0199

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0487 0231 0256





4

Page 41








5

Page 42



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0094 0106 -0013

Year to Date 01012015 09302015 032 0218 0102

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0082 0064 0018

Prior Year 01012014 12312014 0203 012 0083

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0372 0231 0142





6

Page 43








7

Page 44


As of 06302015 09302015





Begin DateEnd Date

0701201509302015




Net Income 5064302



Begin DateEnd Date

0701201509302015





8

Page 45





BaseExpense












097023BC8 75000000 BOEING CO 375 11202016 11202016 000 000 -542232 703125 000 160893 01262015

CCYUSD 087 Cash 000 09302015 09302015 -1522403 000 000 000 -626822 -626822 ---



161571GJ7 77500000 CHAIT 2014-A1 A1 115 01152019 01152017 000 000 -15165 133688 000 118523 08072015


3136G1NQ8 000 FANNIE MAE 100 06192017 06192017 000 000 000 216667 000 216667 06112015

3136FPET0 100000000 FANNIE MAE 200 03102016 03102016 000 000 -419520 500000 000 80480 03262015














31679KAB6 23963868 FITAT 2014-2 A2A 045 04172017 12182015 000 -001 1129 36587 000 37716 06112014

3134G4TH1 000 FREDDIE MAC 030 07082015 07082015 000 000 -142 5833 000 5691 01132014

36164EAB1 40000000 GEET 2015-1 A2 089 11242017 08192016 000 000 562 89001 000 89563 03042015


43814GAB6 4552100 HAROT 2014-2 A2 039 09192016 10192015 000 000 022 542 000 564 05212014

43814GAB6 000 HAROT 2014-2 A2 039 09192016 10192015 000 000 195 6747 000 6943 05212014

43814KAB7 33500000 HAROT 2015-1 A2 070 06152017 02232016 000 000 245 58626 000 58871 01282015



41284AAB4 10809821 HDMOT 2014-1 A2A 049 04152018 01092016 000 001 254 16152 000 16407 04162014

41284BAB2 39974707 HDMOT 2015-1 A2A 080 01152019 03102016 000 -000 110 90035 000 90145 01282015

437076BJ0 75000000 HOME DEPOT INC 0707 09152017 09152017 000 000 000 23573 000 23573 09152015





47787VAB7 13340757 JDOT 2014-A A2 045 09152016 10232015 000 000 013 2501 000 2515 04092014

47787VAB7 000 JDOT 2014-A A2 045 09152016 10232015 000 000 207 20737 000 20944 04092014

47787WAB5 40000000 JDOT 2015-B A2 098 06152018 10282016 000 000 048 23956 000 24004 09092015


9

Page 46





BaseExpense





58768EAC3 1563282 MBALT 2014-A A2A 048 06152016 10152015 000 000 096 15691 000 15787 04092014


65477WAB2 60250859 NAROT 2014-B A2 060 06152017 01292016 000 -000 1039 104725 000 105764 12102014






70659PAE1 75000000 PENAR 2013-1A A1 0603 11182017 11182015 000 000 000 112085 000 112085 11212013

69349LAH1 75000000 PNC BANK NA 080 01282016 12282015 000 000 -67860 150000 000 82140 04302015










89236WAB4 60000000 TAOT 2015-A A2 071 07172017 02172016 000 000 106 106500 000 106606 03042015







912828B82 100000000 US TREASURY NB 025 02292016 02292016 000 000 47512 62731 000 110244 03202014

912828QX1 000 US TREASURY NB 150 07312016 07312016 000 000 -90103 128385 000 38283 11062014

912828QX1 100000000 US TREASURY NB 150 07312016 07312016 000 000 -177299 248641 000 71342 11062014

912828VL1 000 US TREASURY NB 0625 07152016 07152016 000 000 -11004 25870 000 14865 06012015

912828VL1 100000000 US TREASURY NB 0625 07152016 07152016 000 000 -56488 130774 000 74286 06012015

912828RF9 100000000 US TREASURY NB 100 08312016 08312016 000 000 -46350 82418 000 36067 10312014

912828RF9 000 US TREASURY NB 100 08312016 08312016 000 000 -95791 168508 000 72718 10312014

912828WQ9 100000000 US TREASURY NB 050 06302016 06302016 000 000 -10338 125000 000 114662 07012014

912828WQ9 000 US TREASURY NB 050 06302016 06302016 000 000 000 000 000 000 07012014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -422216 502702 000 80486 07312014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -418363 502702 000 84339 12312014

90290KAB1 000 USAOT 2014-1 A2 038 10172016 08152015 000 000 033 2694 000 2728 02282014

90290XAB3 48000000 USAOT 2015-1 A2 082 03152018 06152016 000 000 355 69925 000 70280 07292015

92867GAC7 000 VALET 2012-1 A3 085 08222016 08202015 000 000 -530 1301 000 771 10082013



--- 4418795242 --- --- 08242016 05272016 -1522403 000 -5643946 11335070 -626822 5064302 ---


10

Page 47



11

Page 48

CE

ST


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



000000

163929061163929061

000 100 000 163929061 163929061


0320176

3497480034985378

7529 9998 000 34992907 34992907


000000

1070010700

000 100 000 10700 10700


000000

087087

000 100 000 087 087

--- --- 198939848 --- AAA --- 1008201510082015

00560031

198914648198925226

7529 --- 000 198932755 198932755


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0440145

9963281399922018

124882 100046 21291 100046900 100068191


03450288

4999231949996159

20291 100032 92583 50016450 50109033


04570676

2054448520506239

-5665 100002 53813 20500574 20554386


04070676

5009100050018360

-16960 100002 131250 50001400 50132650


03260316

101596000100734160

22040 100756 116667 100756200 100872867


02540173

9974722299911805

27895 9994 000 99939700 99939700


06780491

7538400075045419

31906 100103 156586 75077325 75233911


04340493

2520400025027380

-8580 100075 76389 25018800 25095189


0510252

1623903816269182

16686 99913 000 16285868 16285868


04510252

7682552476970779

62375 99913 000 77033154 77033154


0450824

100000000100000000

-300000 9970 118750 99700000 99818750


03515319

7960500075000000

000 10000 2021250 75000000 77021250


0380158

9986800099972520

72780 100045 56389 100045300 100101689


04390516

7517850075064909

-13984 100067 105000 75050925 75155925


0611258

2911417528777256

961 100976 54625 28778217 28832842


05381258

3070590030301438

-8578 100976 57500 30292860 30350360


03820096

9978800099987783

26817 100015 102083 100014600 100116683


06620749

7663200075712709

-60884 100869 106667 75651825 75758492


06440534

7687500076018727

-57677 101281 301875 75961050 76262925


12

Page 49


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



02630231

9998700099995919

11581 100007 47222 100007500 100054722


0440404

9998000099981639

43061 100024 35000 100024700 100059700


04820796

15632411563281

-208 99986 333 1563073 1563406


0680185

3000000030000000

49200 100164 32867 30049200 30082067


0680185

4900000049000000

80360 100164 53682 49080360 49134042


1000793

7500000075000000

89250 100119 312500 75089250 75401750


04340339

101839844100883590

69510 100953 252717 100953100 101205817


07310525

7500000075000000

128250 100171 91375 75128250 75219625


04860231

4000000040000000

25200 100063 48600 40025200 40073800


0500431

103068800101117132

63568 101181 655208 101180700 101835908


03630386

5000000050000000

-3500 99993 1513 49996500 49998013


03991136

45517444552052

-1723 99961 641 4550329 4550970


06340413

2500000025000000

34250 100137 59878 25034250 25094128


05573152

5000000050000000

-768600 98463 28980 49231400 49260380


03560322

100300781100211280

25720 100237 132473 100237000 100369473


0300176

3493670834986292

6615 9998 000 34992907 34992907


0416000

5004150050041386

-3286 100076 2083 50038100 50040183


03150138

102519531100559896

72904 100633 336957 100632800 100969757


03350138

101800781100554786

78014 100633 336957 100632800 100969757


0643067

7938557578404246

-20126 10114 264792 78384120 78648912


13010992

1244687512466000

34875 100007 10417 12500875 12511292


04410206

9982000099960138

42262 100002 20417 100002400 100022817


0520206

1993360019985090

15390 100002 4083 20000480 20004563


04320372

101035156100517578

41022 100558 85165 100558600 100643765


04590271

100082031100030677

141223 100171 126358 100171900 100298259


04540804

1334023613340717

-2948 99977 2668 13337769 13340437


0860765

7627500075376462

25463 100535 411667 75401925 75813592

--- --- 2955856139 --- AA+ --- 0403201603252016

04770563

29799313792963765007

211629 --- 6927270 2963976636 2970903906


13

Page 50

LT

Summary


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0640459

3000000030000000

53700 100179 96000 30053700 30149700


05020576

4512060045102743

-84203 100041 49840 45018540 45068380


06050576

3000000030000000

12360 100041 33226 30012360 30045586


05670213

100100000100003662

13538 100017 310806 100017200 100328006


0712069

5999943059999657

1543 100002 18933 60001200 60020133


0602081

7500000075000000

-326325 99564 19775 74673675 74693450


07930927

5000000050000000

-99000 99802 51953 49901000 49952953


05950768

7500000075000000

-304875 99594 97667 74695125 74792792


07070726

3349825133498972

-2959 99988 10422 33496014 33506436


12581164

2500000025000000

40500 100162 52417 25040500 25092917


05950699

7500000075000000

-9900 99987 16326 74990100 75006426


08020807

3997438339974499

-5229 99986 14213 39969270 39983483


08560858

7764531377630148

102197 10030 39611 77732345 77771956


04630617

2396123523963281

-7944 99964 4793 23955337 23960130


07930938

2500000025000000

-63825 99744 12490 24936175 24948665


04840457

100213000100160805

-13205 100147 222222 100147600 100369822


09920938

3999865239998700

14939 100034 23956 40013640 40037596


08490764

7891350077451831

105294 103409 1023438 77557125 78580563


08280693

4799821447998569

99063 100203 17493 48097632 48115125


0788077

5000000050000000

550 100001 7549 50000550 50008099


04970718

1080908910809602

-6602 99936 2354 10803000 10805354


06080785

6024762460249350

-35545 99939 16067 60213804 60229871


07070623

7500000075000000

116625 100156 23573 75116625 75140198


09030755

3999570039997074

44005 100102 7911 40041080 40048991

--- --- 1263999255 --- AA --- 0910201711282016

06970689

12684749911266838894

-355297 --- 2173035 1266483597 1268656633


14

Page 51



BookYieldYield



Loss

MarketPrice

Base AccruedBalance


--- --- 4418795242 --- AA+ --- 0824201605272016

05210575

44473210184429529127

-136139 --- 9100306 4429392988 4438493293


15

Page 52

Does not Lock Down

Principal Paydown

Buy



CouponRate

FinalMaturity





BaseCommission

Base Amount

0915201509152015


045 04172017 Direct 000-5648497

--- 000-5648497

000 -000 000 5648497

0815201508152015


045 04172017 Direct 000-6011247

--- 000-6011247

000 -000 000 6011247

0715201507152015


045 04172017 Direct 000-6263285

--- 000-6263285

000 -000 000 6263285

0815201508152015


049 04152018 Direct 000-1726557

--- 000-1726557

000 000 000 1726557

0715201507152015


049 04152018 Direct 000-1703805

--- 000-1703805

000 000 000 1703805

0915201509152015


049 04152018 Direct 000-1540700

--- 000-1540700

000 000 000 1540700

0815201508152015


080 01152019 Direct 000-3595039

--- 000-3595039

000 000 000 3595039

0715201507152015


080 01152019 Direct 000-3002000

--- 000-3002000

000 -000 000 3002000

0915201509152015


080 01152019 Direct 000-3428254

--- 000-3428254

000 -000 000 3428254

0918201509182015


039 09192016 Direct 000-1811448

--- 000-1811448

000 -000 000 1811448

0818201508182015


039 09192016 Direct 000-1906504

--- 000-1906504

000 000 000 1906504

0718201507182015


039 09192016 Direct 000-2005503

--- 000-2005503

000 000 000 2005503

0715201507152015


045 09152016 Direct 000-4752217

--- 000-4752217

000 000 000 4752217

0815201508152015


045 09152016 Direct 000-5933214

--- 000-5933214

000 000 000 5933214

0915201509152015


045 09152016 Direct 000-4469878

--- 000-4469878

000 -000 000 4469878

0915201509152015


048 06152016 Direct 000-7784949

--- 000-7784949

000 -000 000 7784949

0815201508152015


048 06152016 Direct 000-7842966

--- 000-7842967

000 000 000 7842967

0715201507152015


048 06152016 Direct 000-8213508

--- 000-8213508

000 000 000 8213508

0815201508152015


060 06152017 Direct 000-7684473

--- 000-7684473

000 -000 000 7684473

0915201509152015


060 06152017 Direct 000-7064668

--- 000-7064668

000 000 000 7064668

0715201507152015


038 10172016 Direct 000-6260991

--- 000-6260991

000 -000 000 6260991

0815201508152015


038 10172016 Direct 000-3808377

--- 000-3808377

000 000 000 3808377

0720201507202015


085 08222016 Direct 000-2084026

--- 000-2084026

000 -000 000 2084026

0820201508202015


085 08222016 Direct 000-315887

--- 000-315887

000 000 000 315887

------


--- --- Direct 000-104857994

--- 000-104857994

000 000 000 104857994


16

Page 53



CouponRate

FinalMaturity





BaseCommission

Base Amount

0921201509242015


0776 09202017 Deutsche Bank 5000000050000000

10000 00050000000

000 000 000 -50000000

0804201508072015



100188 00077645313

54465 000 000 -77699778

0930201509302015


050 09282016 APX Asset 5000000050000000

100083 00050041500

1389 000 000 -50042889

0827201509012015



100000000100000000

9998 00099980000

000 000 000 -99980000

0908201509152015


0707 09152017 Bank of America 7500000075000000

10000 00075000000

000 000 000 -75000000

0901201509092015


098 06152018 Dain Rauscher 4000000040000000

99997 00039998652

000 000 000 -39998652

0827201508282015



99928 00034974800

000 000 000 -34974800

0827201508282015



10000 00050000000

000 000 000 -50000000

0721201507292015


082 03152018 Dain Rauscher 4800000048000000

99996 00047998214

000 000 000 -47998214

0701201507012015


005 09302015 Direct 103898103898

100 103898103898

000 000 000 -103898

0708201507082015


005 09302015 Direct 100315648100315648

100 100315648100315648

000 000 000 -100315648

0715201507152015


005 09302015 Direct 47810824781082

100 47810824781082

000 000 000 -4781082

0715201507152015


005 09302015 Direct 2211138522111385

100 2211138522111385

000 000 000 -22111385

0715201507152015


005 09302015 Direct 47629034762903

100 47629034762903

000 000 000 -4762903

0713201507132015


005 09302015 Direct 109181109181

100 109181109181

000 000 000 -109181

0720201507202015


005 09302015 Direct 40945704094570

100 40945704094570

000 000 000 -4094570

0720201507202015


005 09302015 Direct 3833338333

100 3833338333

000 000 000 -38333

0724201507242015


005 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0723201507232015


005 09302015 Direct 125000125000

100 125000125000

000 000 000 -125000

0721201507212015


005 09302015 Direct 145000145000

100 145000145000

000 000 000 -145000

0728201507282015


005 09302015 Direct 11625001162500

100 11625001162500

000 000 000 -1162500

0727201507272015


005 09302015 Direct 109389109389

100 109389109389

000 000 000 -109389

0731201507312015


005 09302015 Direct 27500002750000

100 27500002750000

000 000 000 -2750000

0803201508032015


006 09302015 Direct 125606125606

100 125606125606

000 000 000 -125606

0803201508032015


006 09302015 Direct 7658631276586312

100 7658631276586312

000 000 000 -76586312

0817201508172015


006 09302015 Direct 5513255132

100 5513255132

000 000 000 -55132

0817201508172015


006 09302015 Direct 2900316329003163

100 2900316329003163

000 000 000 -29003163

0814201508142015


006 09302015 Direct 9519495194

100 9519495194

000 000 000 -95194

0820201508202015


006 09302015 Direct 390154390154

100 390154390154

000 000 000 -390154


17

Page 54

Sell



CouponRate

FinalMaturity





BaseCommission

Base Amount

0820201508202015


006 09302015 Direct 224224

100 224224

000 000 000 -224

0820201508202015


006 09302015 Direct 12061206

100 12061206

000 000 000 -1206

0819201508192015


006 09302015 Direct 6750000067500000

100 6750000067500000

000 000 000 -67500000

0819201508192015


006 09302015 Direct 9427194271

100 9427194271

000 000 000 -94271

0818201508182015


006 09302015 Direct 77219737721973

100 77219737721973

000 000 000 -7721973

0818201508182015


006 09302015 Direct 3492134921

100 3492134921

000 000 000 -34921

0818201508182015


006 09302015 Direct 19091921909192

100 19091921909192

000 000 000 -1909192

0825201508252015


006 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0824201508242015


006 09302015 Direct 6300063000

100 6300063000

000 000 000 -63000

0831201508312015


006 09302015 Direct 625000625000

100 625000625000

000 000 000 -625000

0910201509102015


008 09302015 Direct 12100001210000

100 12100001210000

000 000 000 -1210000

0908201509082015


008 09302015 Direct 866615866615

100 866615866615

000 000 000 -866615

0911201509112015


008 09302015 Direct 421162421162

100 421162421162

000 000 000 -421162

0911201509112015


008 09302015 Direct 2243022430

100 2243022430

000 000 000 -22430

0918201509182015


008 09302015 Direct 18135161813516

100 18135161813516

000 000 000 -1813516

0918201509182015


008 09302015 Direct 3807838078

100 3807838078

000 000 000 -38078

0916201509162015


008 09302015 Direct 6830068300

100 6830068300

000 000 000 -68300

0915201509152015


008 09302015 Direct 1124587911245879

100 1124587911245879

000 000 000 -11245879

0915201509152015


008 09302015 Direct 44765574476557

100 44765574476557

000 000 000 -4476557

0915201509152015


008 09302015 Direct 1673996916739969

100 1673996916739969

000 000 000 -16739969

0921201509212015


008 09302015 Direct 9958549499585494

100 9958549499585494

000 000 000 -99585494

0921201509212015


008 09302015 Direct 250000250000

100 250000250000

000 000 000 -250000

0928201509282015


008 09302015 Direct 1584415844

100 1584415844

000 000 000 -15844

------

Buy ------

--- --- --- 987127415987127415

--- 461627415987265894

55854 000 000 -987321748



CouponRate

FinalMaturity





BaseCommission

Base Amount

0919201509192015


100 06192017 Not Provided -100000000-100000000

10000 000-100000000

-250000 000 000 100250000

0720201507202015


005 09302015 Direct -633478-633478

100 -633478-633478

000 000 000 633478

0729201507292015


005 09302015 Direct -47998214-47998214

100 -47998214-47998214

000 000 000 47998214


18

Page 55

Maturity

Summary






CouponRate

FinalMaturity





BaseCommission

Base Amount

0807201508072015


006 09302015 Direct -77699778-77699778

100 -77699778-77699778

000 000 000 77699778

0810201508102015


006 09302015 Direct -1522403-1522403

100 -1522403-1522403

000 000 000 1522403

0828201508282015


006 09302015 Direct -84974800-84974800

100 -84974800-84974800

000 000 000 84974800

0901201509012015


008 09302015 Direct -89883832-89883832

100 -89883832-89883832

000 000 000 89883832

0909201509092015


008 09302015 Direct -39998652-39998652

100 -39998652-39998652

000 000 000 39998652

0924201509242015


008 09302015 Direct -49970333-49970333

100 -49970333-49970333

000 000 000 49970333

0930201509302015


008 09302015 Direct -50042889-50042889

100 -50042889-50042889

000 000 000 50042889

------

Sell ------

--- --- --- -542724379-542724379

--- -442724379-542724379

-250000 000 000 542974379



CouponRate

FinalMaturity





BaseCommission

Base Amount

0901201509012015


0553 09012015 Maturity -10000000-10000000

10000 000-10000000

000 000 000 10000000

0915201509152015


275 09152015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0708201507082015


030 07082015 Maturity -100000000-100000000

10000 000-100000000

000 000 000 100000000

0801201508012015


0297 08012015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0819201508192015


0546 08192015 Maturity -37500000-37500000

10000 000-37500000

000 000 000 37500000

0819201508192015


0546 08192015 Maturity -30000000-30000000

10000 000-30000000

000 000 000 30000000

------

Maturity ------

--- --- Maturity -327500000-327500000

10000 000-327500000

000 000 000 327500000



CouponRate

FinalMaturity





BaseCommission

Base Amount

------

--- ------

--- --- --- 11690303612045042

--- 1890303612183521

-194146 000 000 -11989375


19

Page 56

Does not Lock Down

Receivable

Settled


















08042015 08072015 Buy 77500000 161571GJ7 CHAIT 2014-A1 A1 115 01152019 100188 -77699778



















07232015 07232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

09232015 09232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

08232015 08232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667









20

Page 57



























09012015 09092015 Buy 40000000 47787WAB5 JDOT 2015-B A2 098 06152018 99997 -39998652



























21

Page 58













07212015 07292015 Buy 48000000 90290XAB3 USAOT 2015-1 A2 082 03152018 99996 -47998214









































22

Page 59

Summary






































--- --- --- 12045042 --- --- --- --- --- -6699



--- --- --- 12045042 --- --- --- --- --- 3915


23

Page 60

Does not Lock Down

Receivable

Settled
















































24

Page 61

Summary





















25

Page 62




Redemptions






GainLoss




41898878000

000000

-17923029 000 1129 -3585 -001 -13263 000 23960130


50058628000

000000

-10025293 000 110 -3565 -000 -46397 000 39983483


74988125000

000000

-14749141 000 1039 -3933 -000 -6219 000 60229871


145026025461627415

-442724379000

000 000 000 000 000 000 000 163929061


100138260000

000000

000 000 47512 -62269 000 -55312 000 100068191

3136G1NQ8FANNIE MAE

100162633000

-100000000000

000 000 000 -33333 000 -129300 000 000


50056533000

000000

000 000 1931 41250 000 9319 000 50109033


75376481000

000000

000 000 -42208 3680 000 -104042 000 75233911


25057089000

000000

000 000 -35478 62500 000 11078 000 25095189


30022800000

000000

000 000 000 48000 000 78900 000 30149700


76885875000

000000

000 000 -947785 1010625 000 72535 000 77021250


44989417000

000000

000 000 -11570 2237 000 88295 000 45068380


29992945000

000000

000 000 000 1491 000 51150 000 30045586


29215583000

000000

000 000 -161440 -204844 000 -16457 000 28832842


30753245000

000000

000 000 -175521 -215625 000 -11739 000 30350360


50063217000

000000

000 000 000 2287 000 -112550 000 49952953


100067783000

000000

000 000 33058 62500 000 -46658 000 100116683


75187934000

000000

000 000 000 2883 000 -398025 000 74792792


76827617000

000000

000 000 -475139 -600000 000 6014 000 75758492

43814KAB7HAROT 2015-1 A2

33501377000

000000

000 000 245 000 000 4813 000 33506436


00099980000

000000

000 000 1639 35000 000 43061 000 100059700


75113794000

000-75000000

000 000 000 -107044 000 -6750 000 000


75047598000

000000

000 000 000 753 000 -41925 000 75006426

161571GJ7CHAIT 2014-A1 A1

00077645313

000000

000 000 -15165 39611 000 102197 000 77771956


75100250000

000000

000 000 000 187500 000 114000 000 75401750


101844491000

000000

000 000 -267402 -372973 000 1702 000 101205817


75367200000

000000

000 000 000 -237575 000 90000 000 75219625


00050000000

000000

000 000 000 1513 000 -3500 000 49998013


100126572000

000000

000 000 -35308 156250 000 122308 000 100369822


26

Page 63




Redemptions






GainLoss



097023BC8BOEING CO

78296763000

000000

000 000 -542232 703125 000 122907 000 78580563

90290XAB3USAOT 2015-1 A2

00047998214

000000

000 000 355 17493 000 99063 000 48115125


30023663000

000-30000000

000 000 -7090 -19583 000 3010 000 000


37529579000

000-37500000

000 000 000 -24479 000 -5100 000 000


49985300000

000000

000 000 000 3880 000 -728800 000 49260380


100561729000

000000

000 000 -67492 -155855 000 31092 000 100369473


00034974800

000000

000 000 10578 000 000 7529 000 34992907


34966244000

000000

000 000 26833 000 000 -172 000 34992907

CCYUSDReceivable

6698000

000000

000 000 000 000 000 000 4002 10700

CCYUSDCash

088000

000000

000 000 000 000 000 000 -001 087

CCYUSDPayable

000000

000000

000 000 000 000 000 000 000 000


00050041500

000000

000 000 -114 2083 000 -3286 000 50040183


12498486000

000000

000 000 9310 -22569 000 26065 000 12511292

36164EAB1GEET 2015-1 A2

40033871000

000000

000 000 562 000 000 14558 000 40048991


101053039000

000000

000 000 -142141 -249074 000 -18059 000 100643765


100165459000

000000

000 000 -10338 125000 000 18138 000 100298259


76494217000

000000

000 000 -326741 -487500 000 133616 000 75813592


20535773000

000000

000 000 -12478 35875 000 -4784 000 20554386


50087250000

000000

000 000 -36719 87500 000 -5381 000 50132650

3136FPET0FANNIE MAE

101794467000

000000

000 000 -419520 -500000 000 -2080 000 100872867


99908700000

000000

000 000 63889 000 000 -32889 000 99939700


76867003000

000000

000 000 86776 000 000 79375 000 77033154


16250741000

000000

000 000 20696 000 000 14431 000 16285868


100006250000

000000

000 000 000 112500 000 -300000 000 99818750


100151989000

000000

000 000 22572 -72500 000 -372 000 100101689


75360600000

000000

000 000 -67860 -150000 000 13185 000 75155925


100156006000

000000

000 000 -25915 167500 000 30415 000 100328006

89236WAB4TAOT 2015-A A2

59989773000

000000

000 000 106 000 000 30254 000 60020133


75148560000

000000

000 000 000 2390 000 -457500 000 74693450


27

Page 64




Redemptions






GainLoss




77069775000

000000

000 000 -311372 -431250 000 -64228 000 76262925


10018733000

000-10000000

000 000 000 -18433 000 -300 000 000


100125422000

000000

000 000 3322 -62500 000 -11522 000 100054722


25084493000

000000

000 000 000 -30576 000 39000 000 25092917


30139300000

000000

000 000 000 -62333 000 5100 000 30082067


49227523000

000000

000 000 000 -101811 000 8330 000 49134042


100148867000

000-100000000

000 000 -142 -144167 000 -4558 000 000


25022566000

000000

000 000 000 -676 000 -73225 000 24948665


40100000000

000000

000 000 000 -48600 000 22400 000 40073800


101747358000

000000

000 000 -406230 531250 000 -36470 000 101835908


25035503000

000000

000 000 000 39625 000 19000 000 25094128

47787WAB5JDOT 2015-B A2

00039998652

000000

000 000 048 23956 000 14939 000 40037596


00050000000

000000

000 000 000 7549 000 550 000 50008099


75897542000

000-75000000

000 000 -350511 -607292 000 60261 000 000


00075000000

000000

000 000 000 23573 000 116625 000 75140198


101896754000

000000

000 000 -422216 -497298 000 -7484 000 100969757


101896754000

000000

000 000 -418363 -497298 000 -11337 000 100969757


100071817000

000000

000 000 22779 -87500 000 15721 000 100022817


20014363000

000000

000 000 8520 -17500 000 -820 000 20004563


79187459000

000000

000 000 -272756 -397188 000 131396 000 78648912


25410507000

000000

-23841424 000 096 -5086 000 -687 000 1563406

47787VAB7JDOT 2014-A A2

28501338000

000000

-15155309 000 221 -3031 000 -2782 000 13340437

90290KAB1USAOT 2014-1 A2

10070313000

000000

-10069368 000 033 -1701 000 722 000 000

92867GAC7VALET 2012-1 A3

2401150000

000000

-2399913 000 -530 -623 000 -084 000 000

43814GAB6HAROT 2014-2 A2

10272974000

000000

-5723455 000 218 -806 000 2040 000 4550970


15784776000

000000

-4971062 000 254 -1083 001 -7533 000 10805354

------

4435867885987265894

-542724379-327500000

-104857994 000 -5643946 -3001677 000 -916491 4001 4438493293


28

Page 65



29

Page 66





50 Basis PointShock










097023BC8 BOEING CO CORP 77557125 0849 0764 1111 78215474 78215474 77987972 77126313 76695535 75834085


161571GJ7 CHAIT 2014-A1 A1 ABS 77732345 0856 0858 1289 78592101 78592101 78233352 77231382 76730464 75728763














31679KAB6 FITAT 2014-2 A2A ABS 23955337 0463 0617 0217 23987412 23987412 23981330 23929347 23903357 23851381

36164EAB1 GEET 2015-1 A2 ABS 40041080 0903 0755 000 40041080 40041080 40041080 40041080 40041080 40041080


41284AAB4 HDMOT 2014-1 A2A ABS 10803000 0497 0718 0277 10824486 10824486 10817962 10788038 10773077 10743155

41284BAB2 HDMOT 2015-1 A2A ABS 39969270 0802 0807 0698 40194154 40194154 40108664 39829678 39689889 39409716



43814GAB6 HAROT 2014-2 A2 ABS 4550329 0399 1136 0054 4553121 4552786 4551558 4549101 4547872 4545415

43814KAB7 HAROT 2015-1 A2 ABS 33496014 0707 0726 0399 33593046 33593046 33562840 33429191 33362371 33228742


93319022 0462 0252 0377 93407680 93407680 93407680 93143119 92967223 92615453


99700000 045 0824 0801 100358078 100358078 100099311 99300714 98901453 98103005


47787VAB7 JDOT 2014-A A2 ABS 13337769 0454 0804 0065 13344739 13344739 13342104 13333434 13329099 13320430

47787WAB5 JDOT 2015-B A2 ABS 40013640 0992 0938 1066 40413771 40413771 40226922 39800376 39587131 39160693


58768EAC3 MBALT 2014-A A2A ABS 1563073 0482 0796 0044 1563620 1563620 1563417 1562729 1562385 1561697


65477WAB2 NAROT 2014-B A2 ABS 60213804 0608 0785 033 60369794 60369794 60313160 60114454 60015108 59816429





70659PAE1 PENAR 2013-1A A1 ABS 74990100 0595 0699 0053 75017882 75017882 75009972 74970228 74950355 74910610




30

Page 67







50 Basis PointShock







89236WAB4 TAOT 2015-A A2 ABS 60001200 0712 069 0382 60159357 60159357 60115805 59886600 59772007 59542839

90290XAB3 USAOT 2015-1 A2 ABS 48097632 0828 0693 1504 48598976 48598976 48459345 47735956 47374318 46651153












CCYUSD Cash CASH 087 000 000 000 087 087 087 087 087 087

--- --- --- 4429392988 0521 0575 047 4440207556 4440012694 4437618810 4418979071 4408563561 4387727762


31

Page 68



32

Page 69


CONTRA COSTA COUNTY


ShareAmount

201-000004-10Average

Cost NAV

Average

Cost Amount

Realized

GainLoss


08312015 BALANCE FORWARD 14828923123 1002 14858580969 1002517967 14866261865


09302015 ENDING BALANCE 14828923123 1002 14866261865 14858580969










Phone 8007733863

Fax 252-972-1908


CONTRA COSTA COUNTY

CONTRA COSTA COUNTY

ATTN BELINDA ZHU

625 COURT STREET

ROOM 102


Page 1 of 1

Page 70


September 30 2015

CalTrust

Short Term

LAIF



Yield 034052





CalTrust

Short Term

Total Return

CalTrust

Short Term

Yield Return

LAIF Yield

Return

010 003004One Month


021 016024Six Month

041 029045One Year

043 027042Two Year


044 032044Five Year

181 172178Ten Year


Annualized


Total 1000



Total 1000









the month




Page 71




Page 72


Page 73



Page 74

SECTION III

APPENDIX




September 30 2015

FY 2015-2016


NUMBER 063015 072115 093015

100300 237517555 (14241865) 223275690

TOTALS 237517555 -14241865 000 000 000 000 000 223275690


Page 75

EXHIBITS










TOTAL $236548791215 10000



Less 1 yr $176302182693 7453

1 to 2 yrs 30507848304 12902 to 3 yrs 22479209821 950

3 to 4 yrs 6746274707 2854+ yrs 513275690 022

TOTAL $236548791215 10000


US Treasuries123


Money Market4697

ABSMBS019




Other 824

Cash548


Less 1 yr7453


9503 to 4 yrs285

4+ yrs022


Exhibit II





($) () () (day) (year)




2 Other



C Cash $12964473527 549 03500 4 1 NA








WEIGHTED

Exhibit III








5 Corporate Notes 16100700000 13527200000 2573500000 1902

TOTAL 184533165409 219726365409 (35193200000) -1602




Subtotal 19500651901 19504260129 (3608228) -002

TOTAL 39051152279 40698368474 (1647216195) -405

C Cash 12964473527 29335994238 (16371520711) -5581






Exhibit IV

Quarter Ending

















Exhibit IV (a)

Quarter Ending














Exhibit IV (b)

000

050

100

150

200

250

300

350

400

450

500

550



Exhibit IV (c)

-200

-100

000

100

200

300

400

500

600

700

93015 32816 92416 32317 91917 31818 91418 31319 9919 3720 9320

Yie

ld t

o M

atu

rity

Maturity Dates


CountyTreasurer

Wells CapitalMgmt







Risk Assessment



Exhibit IV (d)



DATE YTM ()









Exhibit V









Total $246365406496 10000




Exhibit V (a)




93015 Ave Maturity






Rate Yield





Six Month LIBOR 05340 05545 05051 04445



Exhibit V (b)

00000

10000

20000

30000

40000

50000

60000



Treasurer

LAIF

Wells CapitalMgmt

CalTRUST

Exhibit VI













Total $5372100000

Fund







Exhibit VI (a)






























































Exhibit VI (a)
















































TOTAL 51134346284 51034580657 51239469518


Exhibit VI (b)



Total $1575955394 $1579235118 $1577862697


September 30 2015







TREASURY 2350$ 950$ 1750$ 850$ 800$ 4150$ 500$ 5700$ 6200$ 10900$ 500$

REPO

TDs 1770$ 1058$ 1538$ 522$ 430$ 311$

AGENCY 903$ 250$ 750$ 950$ 1030$ 1350$ 1725$ 1700$ 505$ 577$ 781$

CP 1400$ 650$ 375$ 50$ 150$ 200$

CDs + BNs 5900$ 1500$ 2625$ 1250$ 400$ 600$ 500$ 500$ 200$

CORP BND TOTAL

67100$ 12323$ 4408$ 7038$ 3622$ 2810$ 6611$ 2725$ 7900$ 6905$ 11477$ 1281$

PERCENT 184 66 105 54 42 99 41 118 103 171 19 00 00















TOTAL 6649401194538$ $ 6651219520504 $ 6655174641252 3940591830$















1 Structured Notes



Structured Notes

















Exhibit VIII






(bps) ($) ($) (bps)

‐50 185664633657 100613 4139

‐25 185280659319 100405 2064

‐10 185051371991 100281 826

0 184898968418 100198 000

10 184746927139 100116 ‐821

25 184519541875 99993 ‐2048

50 184142360805 99788 ‐4094









Exhibit IX



















Total $722500000 $745685162






Table of Contents







Exhibits




















EXECUTIVE SUMMARY






Par $236548791215

Cost $236765650022





Page 1

PERCENT OF




2 US Agencies





Municipal Bonds 722500000 745685162 1 745685162 1 031

Subtotal 53939600000 54137893149 54217348223 2287






Time Deposit 333577 333577 333577 000

Subtotal 111117365409 111025018154 111114751874 4689


5 Corporate Notes 16100700000 16172612242 16174201321 683

TOTAL (Section A) 184533165409 184721498440 184898968427 7802



2 Other

a EBRCS Bond 223275690 223275690 223275690 009



Subtotal 19500651901 19529177677 19520349952 825

TOTAL (Section B) 39051152279 39079678055 39082475957 1651

C Cash 12964473527 12964473527 12964473527 548


Notes





Page 2









US Treasuries124


Local2286

Money Market4689

ABSMBS019

Corporate Notes683


826


825

Cash548


7453

1290950

285 022$0

$200000000

$400000000

$600000000

$800000000

$1000000000

$1200000000

$1400000000

$1600000000

$1800000000

$2000000000



AAA063

AA+2579

AA1629

AA‐199A+

120A103

A‐040

A‐1+403

A‐14284

NR (CASH)548

NR (Misc)031


05480586

0330

0575

0520

0350

000

010

020

030

040

050

060

070




000

010

020

030

040

050

060

1212 313 613 913 1213 314 614 914 1214 315 615 915


YTM


School Dist3833


1486


620






0

1

2

3

4

5

6

7

0996 0999 0902 0905 0908 0911 0914

Percentage



‐10

‐8

‐6

‐4

‐2

0

2

4

6

8

10

123115123112123109123106123103123100123197

Percentage


GDP QoQ Change

‐3

‐2

‐1

0

1

2

3

4

5

6

123115083113043011123108083106043004123101083199043097

Percentage



0

2

4

6

8

10

12


Percentage

UNEMPLOYMENT RATE

Unemployment Rate

Page 4

SECTION III

APPENDIX



Contra Costa County

As Of Date 09302015




Subtotal 983462 8189300000 8233436042 9158886 30409599

862858 8208097931 100538948 -5046210


Subtotal 240000 24900000 24872154 28884 2532

240573 24840738 99888169 000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690


Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796


Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890


Subtotal 1021082 2916000000 2932452140 6759174 8684053

911013 2925760026 100564202 -846221




Page 5


Contra Costa County

As Of Date 09302015




Subtotal 328043 61284800000 61261659931 56430381 12307195

328594 61192922725 99962242 -370


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


Subtotal 1042646 317000000 316972369 142084 000

1046859 316972369 99991284 000


Subtotal 148207 599700000 599636986 443798 78864

148407 599114324 99989492 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


Subtotal 2133314 722500000 745685162 4095807 000

1186443 745685162 103209019 000




Page 6


Contra Costa County

As Of Date 09302015




Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


Subtotal 462200 245000000 244328496 77076 000

510490 244852020 99725917 -523524


Subtotal 1185757 415000000 414678000 1184241 000

1212249 414678000 99922410 000


1256393 15127367242 100488445 -34126750

Subtotal 1504454 15050700000 15124214321 53058340 41320219


Subtotal 900000 202500000 201230550 10125 000

900000 202500000 99373111 -1269450


Subtotal 481820 1050000000 1049987000 1193357 4755000

1382208 1045245000 99998762 -13000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000




Page 7


Contra Costa County

As Of Date 09302015




600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000



585858 184721498440 100198232 -130630560



Page 8


Contra Costa County

As Of Date 09302015





TIME DEPOSIT 334 334 334 10000 000 060

MBSABS 459500 460215 460215 10000 000 105

CORPORATE NOTES 16100700 16172612 16174201 10001 11935 126

NCDYCD 49775700 49775230 49796227 10004 20997 037


MUNICIPALS 722500 745685 745685 10000 000 119

US AGENCIES 53217100 53392208 53471663 10015 82468 085

US TREASURIES 2916000 2925760 2932452 10023 7838 091

Totals(000s) 184533165 184721498 184898968 10010 135545 059


Asset Allocation

Page 9


Contra Costa County

As Of Date 09302015




Page 10


Contra Costa County

As Of Date 09302015




09302019 1403864 36542813 102120000 SUNGARD 000


03312018 1076208 346541016 99857000 SUNGARD 000


03312017 622165 362158668 100729000 SUNGARD -37913


07312018 916641 8619531 101340000 SUNGARD -5631



02282019 1336788 12518555 101027000 SUNGARD 000



04302019 1138894 502187500 100536000 SUNGARD 000


10312016 545942 183969297 100641000 SUNGARD -802677

07312018 1446611 38393223 101340000 SUNGARD 000

08312017 1013383 55069273 99922000 SUNGARD 000




06302017 928142 12941602 100275000 SUNGARD 000

11302017 1165963 21093969 103284000 SUNGARD 000

05312017 818703 36357472 100074000 SUNGARD 000


11302017 874222 45733582 99818000 SUNGARD 000




01312017 734933 27577783 100518000 SUNGARD 000

06302017 788660 285758043 100275000 SUNGARD 000

03312019 1589638 7009420 101833000 SUNGARD 000




05152019 1503637 10172422 107099000 SUNGARD 000




Page 11


Contra Costa County

As Of Date 09302015




06102016 475000 249504983 99998000 SUNGARD 000




06082018 1390090 617211350 100643000 SUNGARD 000


06102016 745089 299310440 101181000 SUNGARD -11956400

09082017 790076 16967190 100023000 SUNGARD 000

06192017 850065 288880000 100628000 SUNGARD 000



82122 GOV FHLB NOTES 3130A33J1 09192014 1200000 500000000 504515000 200000 4515000

06082018 1410094 298200000 100643000 SUNGARD 000

09192017 1200000 500000000 100903000 SUNGARD 000

10142016 572077 1001020000 100180000 SUNGARD 000




06102016 760030 199664780 101181000 SUNGARD -7926785


07312018 1111402 97644950 103810000 SUNGARD 000


04152018 921899 399252305 99836000 SUNGARD 000


03312018 874966 51323255 99857000 SUNGARD 000


05152020 1503393 26314770 109626000 SUNGARD 000

03312018 860670 169535156 99857000 SUNGARD 000


03312017 545225 169141875 100729000 SUNGARD 000


06302020 1499897 19903546 102362000 SUNGARD 000


911013 2925760026 100564202 -846221

Subtotal 1021082 2916000000 2932452140 6759174 8684053



Page 12


Contra Costa County

As Of Date 09302015





09282016 615106 196637520 100076000 SUNGARD 000

03082019 1415035 501660000 101036000 SUNGARD 000

09282016 530086 283895537 100076000 SUNGARD 000




12092016 571735 1965471750 101299000 SUNGARD -12933525

11232016 556000 209262834 100148000 SUNGARD 000


03102017 739127 300801000 100273000 SUNGARD 000

04252018 1155323 999070000 100679000 SUNGARD 000


82419 GOV FHLB NOTES 3130A4K27 03092015 720000 1000000000 1001840000 500000 3470000


03062017 802655 998370000 100184000 SUNGARD 000


12122016 720127 499305000 100148000 SUNGARD 000

12122016 670252 350206500 100178000 SUNGARD 000

12122016 770206 499315000 100178000 SUNGARD 000

82271 GOV FHLB NOTES 3130A3Q64 12232014 700000 500000000 500890000 1059722 1575000

12162016 620043 249372500 100074000 SUNGARD 000

09282016 470153 1147573500 100076000 SUNGARD 000



12012015 215107 36978910 100008000 SUNGARD 000


12092016 571735 628645050 101299000 SUNGARD -4136715




09282016 470201 76538250 100076000 SUNGARD 000


08152017 1000000 1000000000 100565000 SUNGARD 000

12082017 1180284 449280000 100653000 SUNGARD 000

01062017 750000 1000000000 100174000 SUNGARD 000




Page 13


Contra Costa County

As Of Date 09302015





06242016 330908 25014667 99904000 SUNGARD -34500


10302018 1300000 500000000 100363000 SUNGARD 000


06292018 1100000 1000000000 100351000 SUNGARD 000

08282017 858202 152158400 100087000 SUNGARD 000

05302017 692495 100021625 100010000 SUNGARD 000


09132019 1400130 249833889 100383000 SUNGARD 000

82664 GOV FHLB NOTES 3130A6B63 08142015 1200000 1000000000 1005600000 1566667 5600000

08142018 1200000 1000000000 100560000 SUNGARD 000




03242017 840000 16500000 100270000 SUNGARD 000

82550 GOV FHLB NOTES 3130A57K9 05042015 1000000 1000000000 1000830000 4083333 2310000

04202016 290248 160920618 99999000 SUNGARD 000


03182016 330364 199739400 100113000 SUNGARD -13965


03242017 840000 160000000 100270000 SUNGARD 000



05302017 666017 142881310 100010000 SUNGARD 000

06302017 730000 1000000000 100148000 SUNGARD 000

06142019 1563094 250600000 101365000 SUNGARD 000




05262017 720000 1000000000 100253000 SUNGARD 000

05042018 1050244 998520000 100083000 SUNGARD 000

Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890



Page 14


Contra Costa County

As Of Date 09302015





09282016 740949 98963095 100801000 SUNGARD -682120

02192019 1795148 37839867 102313000 SUNGARD 000

02192019 1795148 698481789 102313000 SUNGARD 000


05212018 1459815 15952936 99940000 SUNGARD 000



09282016 748553 23839371 100801000 SUNGARD -151136

81941 GOV FNMA NOTE 3135G0MZ3 04172014 875000 1000000000 1001390000 802083 7310000



08282017 1054521 994080000 100139000 SUNGARD 000

04202017 740235 4901372 100130000 SUNGARD 000

11272018 1489435 11567275 101788000 SUNGARD 000


03152016 1000170 423921135 100926000 SUNGARD -16684725


09282016 615791 482179778 100801000 SUNGARD -8112675


10262015 893123 616710000 100100000 SUNGARD -16110000




09282016 1160000 17373698 100801000 SUNGARD 000


05212018 1190082 19697600 99940000 SUNGARD 000


06122018 1013910 499795000 100146000 SUNGARD 000


05222018 750000 1000000000 99996000 SUNGARD -40000


02082018 970000 16424202 100153000 SUNGARD 000


04272017 600233 398143200 100831000 SUNGARD -4902300




Page 15


Contra Costa County

As Of Date 09302015




09272017 781143 201042000 100449000 SUNGARD -144000


05252018 1250000 1000000000 100461000 SUNGARD 000


02272019 1329281 608718000 101612000 SUNGARD 000


01212020 1627650 16997790 101031000 SUNGARD 000


09272017 723255 168928293 100449000 SUNGARD -164640


06122017 642309 169877783 107937000 SUNGARD -99200


10192018 1177919 12978940 100417000 SUNGARD 000


12202017 793128 170715063 100253000 SUNGARD 000

04272017 895628 20094418 100831000 SUNGARD 000




09122019 1889799 16489776 101774000 SUNGARD 000


09272017 1117972 37893058 100449000 SUNGARD 000

09272017 1117972 12953590 100449000 SUNGARD 000

04272017 895628 55830780 100831000 SUNGARD 000


07052016 397750 1243589480 100002000 SUNGARD 000




07052016 397750 563314045 100002000 SUNGARD 000


11272018 1385424 12618750 101788000 SUNGARD 000

11262019 1612998 10065300 101773000 SUNGARD 000

11272018 1380107 606649400 101788000 SUNGARD 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796



Page 16


Contra Costa County

As Of Date 09302015




10102017 1156802 999800000 100782000 SUNGARD 000




01162019 1620035 199030000 100641000 SUNGARD 000


12072016 972048 249713430 100541000 SUNGARD 000

12102015 340213 553945500 100001000 SUNGARD 000

11012016 700000 500000000 100425000 SUNGARD 000



11142016 600000 1000000000 100152000 SUNGARD 000

12012016 590074 499900000 100199000 SUNGARD 000

12152016 720000 1000000000 100283000 SUNGARD 000



03282016 790000 399681830 100413000 SUNGARD -2347589

03282016 810254 407765280 100413000 SUNGARD -2096760





05172017 790074 19891400 99878000 SUNGARD 000

11292016 640000 1000000000 100003000 SUNGARD 000

07122016 600206 249886330 100225000 SUNGARD 000





02252018 920628 44439670 100999250 BOOK 000

04012018 1201381 38884861 100999639 BOOK 000

Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000




Page 17


Contra Costa County

As Of Date 09302015




03082017 1120062 16901230 100636000 SUNGARD 000



01192016 2330564 17226700 101365000 SUNGARD -1515125



04012016 240573 24840738 99888167 SUNGARD 000


240573 24840738 99888169 000

Subtotal 240000 24900000 24872154 28884 2532



09142017 860067 499231667 100145000 SUNGARD 000


01222018 1096935 997190000 100326000 SUNGARD 000

03292018 1130145 498000000 100174000 SUNGARD 000

04022018 1000000 1000000000 100462000 SUNGARD 000


03212016 308272 303970816 100084000 SUNGARD 000




03212016 308272 1015902464 100084000 SUNGARD 000

08042020 1730194 17046216 101041000 SUNGARD 000


09142017 810304 499700000 100145000 SUNGARD 000



08052019 1350014 100657333 100507000 SUNGARD -67000

08052019 1350014 301972000 100507000 SUNGARD -201000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690



Page 18


Contra Costa County

As Of Date 09302015





08082018 1200000 248600000 100279000 SUNGARD 000

08082018 1200000 11000000 100279000 SUNGARD 000

03082017 643501 1970224915 100636000 SUNGARD -2287935




07282017 1002272 46497404 100676000 SUNGARD 000

01272017 586812 137279806 99981000 SUNGARD 000


07282017 853802 9532300 100676000 SUNGARD 000

03082017 643501 955642205 100636000 SUNGARD -1109745




03082017 672177 99174725 100636000 SUNGARD -48265


03082017 780254 389546460 100636000 SUNGARD -85140

03072018 1250049 695847428 100085000 SUNGARD 000

03072018 1279731 15453824 100085000 SUNGARD 000


09292017 764157 4526353 100605000 SUNGARD 000

07282017 1001893 80995464 100676000 SUNGARD 000



10142016 773322 6507265 100429000 SUNGARD 000

82009 RM GOV FHLMC 3137EADH9 06132014 1000000 248400000 250094088 634800 1285271

07282017 1002272 3999777 100676000 SUNGARD 000




09292017 1033085 499490000 100605000 SUNGARD 000


06292017 945000 248808817 100682000 SUNGARD 000

09292017 1070130 997770000 100605000 SUNGARD 000

07282017 1001893 7499580 100676000 SUNGARD 000




Page 19


Contra Costa County

As Of Date 09302015





01012017 1618751 18954234 111495494 BOOK 000

01012017 2592295 42131877 108030454 BOOK 000

01012018 1301222 69692506 116154177 BOOK 000


02012016 929226 12040560 100338000 BOOK 000



02012016 929226 55185900 100338000 BOOK 000



01152016 1616968 54750638 108417105 BOOK 000

12012018 1638640 42755012 109628236 BOOK 000

05152016 907000 41500000 100000000 BOOK 000


08012016 6525847 745300 74530000 BOOK 000




08012017 1402000 44000000 100000000 BOOK 000


05152017 966000 17500000 100000000 BOOK 000


05152016 659000 124000000 100000000 BOOK 000


05302017 710296 999170000 99991000 SUNGARD 000


07282017 853802 431963700 100676000 SUNGARD 000


05302019 1480153 10125978 102032000 SUNGARD 000


05302019 1379985 304314000 102032000 SUNGARD 000


862858 8208097931 100538948 -5046210

Subtotal 983462 8189300000 8233436042 9158886 30409599



Page 20


Contra Costa County

As Of Date 09302015





02092016 290853 99407657 99949056 SUNGARD 000


10232015 120070 499706667 99997556 SUNGARD 000

148407 599114324 99989492 000

Subtotal 148207 599700000 599636986 443798 78864


09012016 431873 109523058 99711000 SUNGARD 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


82684 RM GOV FNMA DISC 313588C29 09112015 400000 29500000 29425660 6556 30221

08152016 401514 29388883 99748000 SUNGARD 000

Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


11012016 1090101 12558625 100469000 BOOK 000


11012016 1090101 79370510 100469000 BOOK 000


05152018 2054000 19500000 100000000 BOOK 000



10012017 1090000 11000000 100000000 BOOK 000


05022016 780000 100000000 100000000 BOOK 000

1186443 745685162 103209019 000

Subtotal 2133314 722500000 745685162 4095807 000



Page 21


Contra Costa County

As Of Date 09302015





10132015 330552 1996663333 99994000 SUNGARD 000


11102015 270422 2496100000 99980000 SUNGARD 000


10092015 290426 2496334722 99996000 SUNGARD 000


10232015 380776 2494906944 99989000 SUNGARD 000


11252015 441203 2493186111 99972500 SUNGARD 000



10272015 260367 2496479167 99987000 SUNGARD 000


02222019 1083588 59917969 99863282 BOOK 000


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


07172017 710792 62999402 99999051 BOOK 000


10152019 1059409 84482238 99978980 BOOK 000


06152017 704310 41997808 99994781 BOOK 000



04182019 1270662 45499440 99998769 BOOK 000


03162020 1343408 81993481 99992050 BOOK 000

1046859 316972369 99991284 000

Subtotal 1042646 317000000 316972369 142084 000




Page 22


Contra Costa County

As Of Date 09302015





10062015 220123 399974999 99997500 SUNGARD 000

10062015 220123 90049344 99997500 SUNGARD 000

10062015 220124 340008732 99997500 SUNGARD 000




10062015 220124 199987499 99997500 SUNGARD 000

10062015 220123 310025599 99997500 SUNGARD 000


10062015 220124 2100018659 99997500 SUNGARD 000

10062015 220124 569979365 99997500 SUNGARD 000




10062015 220124 429958132 99997500 SUNGARD 000


12112015 290508 1996503889 99956611 SUNGARD 000

12102015 310570 2495414583 99957222 SUNGARD 000

11092015 250314 162295747 99980500 SUNGARD 000


10282015 390830 2993630000 99986500 SUNGARD 000

10062015 220123 359997488 99997500 SUNGARD 000



11242015 441175 2992006667 99973000 SUNGARD 000


10062015 220125 110038099 99997500 SUNGARD 000




10062015 220124 239965010 99997500 SUNGARD 000


02052016 360971 49865500 99887111 SUNGARD 000

12162015 400770 2495194444 99953556 SUNGARD 000

10062015 220124 519507757 99997500 SUNGARD 000




Page 23


Contra Costa County

As Of Date 09302015





10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

11122015 290234 1998388889 99979000 SUNGARD 000




10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


12102015 350436 2496888889 99957222 SUNGARD 000




12292015 300368 2996325000 99945611 SUNGARD 000

10062015 220125 155012799 99997500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



10062015 220124 559984987 99997500 SUNGARD 000

10062015 220132 44974699 99997500 SUNGARD 000


10302015 210106 199897334 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



Page 24


Contra Costa County

As Of Date 09302015





10092015 170027 76689134 99996000 SUNGARD -170

10092015 170024 89987250 99996000 SUNGARD -200

06172016 653172 393081509 99610000 SUNGARD 000





03012016 551533 174513403 99864889 SUNGARD 000


03212016 511311 198988449 99847111 SUNGARD 000



03212016 511311 393987154 99847111 SUNGARD 000

12212015 280196 394723500 99950500 SUNGARD 000

06172016 653172 198531040 99610000 SUNGARD 000



12152015 290292 2497482639 99954167 SUNGARD 000

12152015 320359 2497200000 99954167 SUNGARD 000

05162016 683473 198983778 99746667 SUNGARD 000


01282016 471076 2494288194 99914056 SUNGARD 000

10302015 180054 499850000 99985500 SUNGARD 000



12152015 340405 2497025000 99954167 SUNGARD 000


12162015 320313 2497555556 99953556 SUNGARD 000

10302015 180054 299910000 99985500 SUNGARD 000

10302015 180054 263920800 99985500 SUNGARD 000


02172016 541438 49867250 99876444 SUNGARD 000




02172016 541438 49867250 99876444 SUNGARD 000



Page 25


Contra Costa County

As Of Date 09302015





12152015 430000 2500000000 100069620 SUNGARD 000

12162015 420000 2500000000 100068399 SUNGARD 000

05262017 1150000 195000000 100000000 BOOK 000


05202016 730000 200000000 100218822 SUNGARD 000



05262016 730000 100700000 100224474 SUNGARD 000



12152015 390000 2500000000 100061182 SUNGARD 000

12152015 370000 2500000000 100056968 SUNGARD 000

12152015 360000 2500000000 100054858 SUNGARD 000



02022016 400000 50000000 100065730 SUNGARD 000




12222015 400000 50000000 100069078 SUNGARD 000

11132015 390000 1000000000 100035418 SUNGARD 000

11242015 310000 2500000000 100032057 SUNGARD 000


04212017 1070000 200000000 100000000 BOOK 000


10302015 370000 1500000000 100022484 SUNGARD 000




12212015 280196 199360350 99950500 SUNGARD 000


01042016 275204 2997777083 99931389 SUNGARD 000

328594 61192922725 99962242 -370

Subtotal 328043 61284800000 61261659931 56430381 12307195



Page 26


Contra Costa County

As Of Date 09302015





10132015 220000 25000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000

12282015 320000 2500000000 100054363 SUNGARD 000




10132015 220000 70000000 100004331 SUNGARD 000

10132015 220000 330000000 100004331 SUNGARD 000

10132015 220000 10000000 100004331 SUNGARD 000


12232015 280000 2500000000 100041980 SUNGARD 000




01082016 450000 2500000000 100066587 SUNGARD 000

01062016 390000 110000000 100048921 SUNGARD 000




01062016 390000 200000000 100048921 SUNGARD 000



12162015 390000 2500000000 100061994 SUNGARD 000

01062016 390000 430000000 100048921 SUNGARD 000


10132015 220000 12500000 100004331 SUNGARD 000


10132015 220000 20000000 100004331 SUNGARD 000

10132015 220000 140000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000


10132015 220000 800000000 100004331 SUNGARD 000




10132015 220000 30000000 100004331 SUNGARD 000



Page 27


Contra Costa County

As Of Date 09302015




01102017 433450 50000000 99974000 SUNGARD -13000



01082016 1429873 995245000 100000000 SUNGARD 000

1382208 1045245000 99998762 -13000

Subtotal 481820 1050000000 1049987000 1193357 4755000



01042016 320000 3000000000 100029316 SUNGARD 000

02262016 400000 3000000000 100078571 SUNGARD 000

01272016 300000 3000000000 100029729 SUNGARD 000


10132015 180000 130000000 100002888 SUNGARD 000




10132015 180000 370000000 100002888 SUNGARD 000


01252016 390000 2500000000 100058419 SUNGARD 000

10132015 180000 210000000 100002888 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000


01082016 250000 2500000000 100011103 SUNGARD 000




01152016 320000 2500000000 100032671 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000

10132015 180000 770000000 100002888 SUNGARD 000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000



Page 28


Contra Costa County

As Of Date 09302015




08152016 967967 98447795 100315000 SUNGARD 000




08152016 1018105 35432550 100315000 SUNGARD 000


05032018 1076001 17435425 99533000 SUNGARD -17150

01152017 945019 179712000 100183000 SUNGARD 000

01082016 1028965 499635000 100166000 SUNGARD 000



10052017 1545080 494450000 100124000 SUNGARD 000

12062018 1750063 636846084 101325000 SUNGARD 000

12152017 1510075 517962978 99821000 SUNGARD 000



02152017 1165961 13474890 100496000 SUNGARD 000




10252015 937036 509910000 100064000 SUNGARD -9590000

02152017 1203989 23914080 100496000 SUNGARD 000

01082016 1000000 500000000 100166000 SUNGARD 000


02092018 1579059 24465945 100812000 SUNGARD 000


12052017 1104000 10500000 99599000 SUNGARD -42105



09292016 900000 202500000 99373111 SUNGARD -1269450


900000 202500000 99373111 -1269450

Subtotal 900000 202500000 201230550 10125 000




Page 29


Contra Costa County

As Of Date 09302015





01152016 489343 160248340 100419000 SUNGARD -1586320

09192016 840060 157402875 101738000 SUNGARD -2252425

07202016 787164 160089150 100430000 SUNGARD -405450




01082016 475357 159796590 100166000 SUNGARD -532650

09152016 616979 159141840 101129000 SUNGARD -1380600

07222016 490189 159903875 101149000 SUNGARD -1605690


01302017 828281 159360655 100156000 SUNGARD -613395




01082016 475357 199996990 100166000 SUNGARD -666650

05222017 1200940 99106800 101057000 SUNGARD -576225




05052017 1067075 149920500 100385000 SUNGARD 000



01162018 1720116 495990000 99905000 SUNGARD 000

04212017 1005095 36994450 100393000 SUNGARD 000


09082017 1433868 80919810 100069000 SUNGARD 000


12052017 1250044 995751000 99599000 SUNGARD 000

01122018 1496870 21969860 100117000 SUNGARD 000

05182016 435141 159553320 100153000 SUNGARD -310050


11152017 1345000 35000000 100347000 SUNGARD 000




11212017 1151867 112910730 100643000 SUNGARD 000



Page 30


Contra Costa County

As Of Date 09302015





03022018 1372881 999770000 100091000 SUNGARD 000

03132018 1545883 12982580 99826000 SUNGARD -5200

08072019 1743001 11760300 115655000 SUNGARD -194800




03062018 1305000 156500000 100236000 SUNGARD 000

03062018 1305000 12500000 100236000 SUNGARD 000


05222018 1603145 159985600 99801000 SUNGARD -304000

05032018 1257267 992760000 99533000 SUNGARD 000

82554 CORP APPLE INC 037833AJ9 05122015 1000000 1000000000 995330000 4111111 2820000



05122017 934955 56461015 100192000 SUNGARD 000


07222016 490189 200263000 101149000 SUNGARD -2010960

09152016 616979 198927300 101129000 SUNGARD -1725750

05182016 435141 199692520 100153000 SUNGARD -388050


01152016 489343 200310425 100419000 SUNGARD -1982900

03022018 1365000 106500000 100091000 SUNGARD 000



07202016 787164 199859725 100430000 SUNGARD -506175


02062018 1228864 15951200 99758000 SUNGARD 000


82386 CORP IBM CORP 459200HZ7 02112015 1125000 500000000 498790000 859375 980000


02062018 1274939 497810000 99758000 SUNGARD 000


09192016 840060 196624575 101738000 SUNGARD -2813685

01302017 828281 199075140 100156000 SUNGARD -766260

02062018 1228864 187426600 99758000 SUNGARD 000




Page 31


Contra Costa County

As Of Date 09302015





05152019 1748923 199938947 101432000 SUNGARD 000


07192018 1927831 155839382 102595000 SUNGARD -69460


03012018 1769114 499500556 99773000 SUNGARD -305000


01152017 739645 155606050 100183000 SUNGARD -35650

07192018 1927831 199185436 102595000 SUNGARD -88780

02152019 1739996 199404755 110346000 SUNGARD -247710


02012019 1927457 198743020 101021000 SUNGARD -31360


06012019 1599996 154856333 109268000 SUNGARD 000


04252019 1710407 200128717 101608000 SUNGARD -157950




06152018 1655855 172470675 100729000 SUNGARD 000


06152018 1655855 12997790 100729000 SUNGARD 000


05222018 1603145 12498875 99801000 SUNGARD -23750


05152018 1658000 499908681 99381000 SUNGARD -2620000


07172017 1139621 9996800 100401000 SUNGARD 000


08072018 1435833 133761480 100529000 SUNGARD 000


07132018 1567156 499814583 100455000 SUNGARD 000


09082017 1252137 110346500 100069000 SUNGARD -270600


07132018 1579121 40965150 100455000 SUNGARD 000

Subtotal 1504454 15050700000 15124214321 53058340 41320219



Page 32


Contra Costa County

As Of Date 09302015





05242017 600000 333577 100000000 BOOK 000

600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000


10012015 000000 53722612 100000000 BOOK 000



10012015 000000 2809220 100000000 BOOK 000

Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


06102016 510490 244852020 99725917 SUNGARD -523524


510490 244852020 99725917 -523524

Subtotal 462200 245000000 244328496 77076 000



09112017 1430018 199678000 99839000 BOOK 000


04062017 1010000 215000000 100000000 BOOK 000

1212249 414678000 99922410 000

Subtotal 1185757 415000000 414678000 1184241 000


1256393 15127367242 100488445 -34126750


585858 184721498440 100198232 -130630560



Page 33

Page 34

SECTION III

APPENDIX



































TOTAL 19550500378 19562126005

Page 35

SECTION III

APPENDIX





Page 36













Page 37

Asset Class










Other 48977

--- 10000



Risk Metric Value

Cash 10787

MMFund 163929061


Duration 047

Convexity -0018

WAL 0686



Yield 0575

Book Yield 0521


Balance Sheet





1

Page 38


Rating 0 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5 - 7 7 - 10 10 - 15 15 - 30

AAA 57859 600 000 000 000 000 000 000 000

AA 18868 0565 000 000 000 000 000 000 000

A 14937 177 000 000 000 000 000 000 000

BBB 000 000 000 000 000 000 000 000 000

BB 000 000 000 000 000 000 000 000 000

B 000 000 000 000 000 000 000 000 000

CCC 000 000 000 000 000 000 000 000 000

CC 000 000 000 000 000 000 000 000 000

C 000 000 000 000 000 000 000 000 000

NA 000 000 000 000 000 000 000 000 000

Time To Maturity

Credit Rating

Duration


2

Page 39




3

Page 40



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0108 0106 0001

Year to Date 01012015 09302015 0406 0218 0188

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0125 0064 0061

Prior Year 01012014 12312014 0319 012 0199

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0487 0231 0256





4

Page 41








5

Page 42



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0094 0106 -0013

Year to Date 01012015 09302015 032 0218 0102

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0082 0064 0018

Prior Year 01012014 12312014 0203 012 0083

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0372 0231 0142





6

Page 43








7

Page 44


As of 06302015 09302015





Begin DateEnd Date

0701201509302015




Net Income 5064302



Begin DateEnd Date

0701201509302015





8

Page 45





BaseExpense












097023BC8 75000000 BOEING CO 375 11202016 11202016 000 000 -542232 703125 000 160893 01262015

CCYUSD 087 Cash 000 09302015 09302015 -1522403 000 000 000 -626822 -626822 ---



161571GJ7 77500000 CHAIT 2014-A1 A1 115 01152019 01152017 000 000 -15165 133688 000 118523 08072015


3136G1NQ8 000 FANNIE MAE 100 06192017 06192017 000 000 000 216667 000 216667 06112015

3136FPET0 100000000 FANNIE MAE 200 03102016 03102016 000 000 -419520 500000 000 80480 03262015














31679KAB6 23963868 FITAT 2014-2 A2A 045 04172017 12182015 000 -001 1129 36587 000 37716 06112014

3134G4TH1 000 FREDDIE MAC 030 07082015 07082015 000 000 -142 5833 000 5691 01132014

36164EAB1 40000000 GEET 2015-1 A2 089 11242017 08192016 000 000 562 89001 000 89563 03042015


43814GAB6 4552100 HAROT 2014-2 A2 039 09192016 10192015 000 000 022 542 000 564 05212014

43814GAB6 000 HAROT 2014-2 A2 039 09192016 10192015 000 000 195 6747 000 6943 05212014

43814KAB7 33500000 HAROT 2015-1 A2 070 06152017 02232016 000 000 245 58626 000 58871 01282015



41284AAB4 10809821 HDMOT 2014-1 A2A 049 04152018 01092016 000 001 254 16152 000 16407 04162014

41284BAB2 39974707 HDMOT 2015-1 A2A 080 01152019 03102016 000 -000 110 90035 000 90145 01282015

437076BJ0 75000000 HOME DEPOT INC 0707 09152017 09152017 000 000 000 23573 000 23573 09152015





47787VAB7 13340757 JDOT 2014-A A2 045 09152016 10232015 000 000 013 2501 000 2515 04092014

47787VAB7 000 JDOT 2014-A A2 045 09152016 10232015 000 000 207 20737 000 20944 04092014

47787WAB5 40000000 JDOT 2015-B A2 098 06152018 10282016 000 000 048 23956 000 24004 09092015


9

Page 46





BaseExpense





58768EAC3 1563282 MBALT 2014-A A2A 048 06152016 10152015 000 000 096 15691 000 15787 04092014


65477WAB2 60250859 NAROT 2014-B A2 060 06152017 01292016 000 -000 1039 104725 000 105764 12102014






70659PAE1 75000000 PENAR 2013-1A A1 0603 11182017 11182015 000 000 000 112085 000 112085 11212013

69349LAH1 75000000 PNC BANK NA 080 01282016 12282015 000 000 -67860 150000 000 82140 04302015










89236WAB4 60000000 TAOT 2015-A A2 071 07172017 02172016 000 000 106 106500 000 106606 03042015







912828B82 100000000 US TREASURY NB 025 02292016 02292016 000 000 47512 62731 000 110244 03202014

912828QX1 000 US TREASURY NB 150 07312016 07312016 000 000 -90103 128385 000 38283 11062014

912828QX1 100000000 US TREASURY NB 150 07312016 07312016 000 000 -177299 248641 000 71342 11062014

912828VL1 000 US TREASURY NB 0625 07152016 07152016 000 000 -11004 25870 000 14865 06012015

912828VL1 100000000 US TREASURY NB 0625 07152016 07152016 000 000 -56488 130774 000 74286 06012015

912828RF9 100000000 US TREASURY NB 100 08312016 08312016 000 000 -46350 82418 000 36067 10312014

912828RF9 000 US TREASURY NB 100 08312016 08312016 000 000 -95791 168508 000 72718 10312014

912828WQ9 100000000 US TREASURY NB 050 06302016 06302016 000 000 -10338 125000 000 114662 07012014

912828WQ9 000 US TREASURY NB 050 06302016 06302016 000 000 000 000 000 000 07012014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -422216 502702 000 80486 07312014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -418363 502702 000 84339 12312014

90290KAB1 000 USAOT 2014-1 A2 038 10172016 08152015 000 000 033 2694 000 2728 02282014

90290XAB3 48000000 USAOT 2015-1 A2 082 03152018 06152016 000 000 355 69925 000 70280 07292015

92867GAC7 000 VALET 2012-1 A3 085 08222016 08202015 000 000 -530 1301 000 771 10082013



--- 4418795242 --- --- 08242016 05272016 -1522403 000 -5643946 11335070 -626822 5064302 ---


10

Page 47



11

Page 48

CE

ST


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



000000

163929061163929061

000 100 000 163929061 163929061


0320176

3497480034985378

7529 9998 000 34992907 34992907


000000

1070010700

000 100 000 10700 10700


000000

087087

000 100 000 087 087

--- --- 198939848 --- AAA --- 1008201510082015

00560031

198914648198925226

7529 --- 000 198932755 198932755


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0440145

9963281399922018

124882 100046 21291 100046900 100068191


03450288

4999231949996159

20291 100032 92583 50016450 50109033


04570676

2054448520506239

-5665 100002 53813 20500574 20554386


04070676

5009100050018360

-16960 100002 131250 50001400 50132650


03260316

101596000100734160

22040 100756 116667 100756200 100872867


02540173

9974722299911805

27895 9994 000 99939700 99939700


06780491

7538400075045419

31906 100103 156586 75077325 75233911


04340493

2520400025027380

-8580 100075 76389 25018800 25095189


0510252

1623903816269182

16686 99913 000 16285868 16285868


04510252

7682552476970779

62375 99913 000 77033154 77033154


0450824

100000000100000000

-300000 9970 118750 99700000 99818750


03515319

7960500075000000

000 10000 2021250 75000000 77021250


0380158

9986800099972520

72780 100045 56389 100045300 100101689


04390516

7517850075064909

-13984 100067 105000 75050925 75155925


0611258

2911417528777256

961 100976 54625 28778217 28832842


05381258

3070590030301438

-8578 100976 57500 30292860 30350360


03820096

9978800099987783

26817 100015 102083 100014600 100116683


06620749

7663200075712709

-60884 100869 106667 75651825 75758492


06440534

7687500076018727

-57677 101281 301875 75961050 76262925


12

Page 49


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



02630231

9998700099995919

11581 100007 47222 100007500 100054722


0440404

9998000099981639

43061 100024 35000 100024700 100059700


04820796

15632411563281

-208 99986 333 1563073 1563406


0680185

3000000030000000

49200 100164 32867 30049200 30082067


0680185

4900000049000000

80360 100164 53682 49080360 49134042


1000793

7500000075000000

89250 100119 312500 75089250 75401750


04340339

101839844100883590

69510 100953 252717 100953100 101205817


07310525

7500000075000000

128250 100171 91375 75128250 75219625


04860231

4000000040000000

25200 100063 48600 40025200 40073800


0500431

103068800101117132

63568 101181 655208 101180700 101835908


03630386

5000000050000000

-3500 99993 1513 49996500 49998013


03991136

45517444552052

-1723 99961 641 4550329 4550970


06340413

2500000025000000

34250 100137 59878 25034250 25094128


05573152

5000000050000000

-768600 98463 28980 49231400 49260380


03560322

100300781100211280

25720 100237 132473 100237000 100369473


0300176

3493670834986292

6615 9998 000 34992907 34992907


0416000

5004150050041386

-3286 100076 2083 50038100 50040183


03150138

102519531100559896

72904 100633 336957 100632800 100969757


03350138

101800781100554786

78014 100633 336957 100632800 100969757


0643067

7938557578404246

-20126 10114 264792 78384120 78648912


13010992

1244687512466000

34875 100007 10417 12500875 12511292


04410206

9982000099960138

42262 100002 20417 100002400 100022817


0520206

1993360019985090

15390 100002 4083 20000480 20004563


04320372

101035156100517578

41022 100558 85165 100558600 100643765


04590271

100082031100030677

141223 100171 126358 100171900 100298259


04540804

1334023613340717

-2948 99977 2668 13337769 13340437


0860765

7627500075376462

25463 100535 411667 75401925 75813592

--- --- 2955856139 --- AA+ --- 0403201603252016

04770563

29799313792963765007

211629 --- 6927270 2963976636 2970903906


13

Page 50

LT

Summary


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0640459

3000000030000000

53700 100179 96000 30053700 30149700


05020576

4512060045102743

-84203 100041 49840 45018540 45068380


06050576

3000000030000000

12360 100041 33226 30012360 30045586


05670213

100100000100003662

13538 100017 310806 100017200 100328006


0712069

5999943059999657

1543 100002 18933 60001200 60020133


0602081

7500000075000000

-326325 99564 19775 74673675 74693450


07930927

5000000050000000

-99000 99802 51953 49901000 49952953


05950768

7500000075000000

-304875 99594 97667 74695125 74792792


07070726

3349825133498972

-2959 99988 10422 33496014 33506436


12581164

2500000025000000

40500 100162 52417 25040500 25092917


05950699

7500000075000000

-9900 99987 16326 74990100 75006426


08020807

3997438339974499

-5229 99986 14213 39969270 39983483


08560858

7764531377630148

102197 10030 39611 77732345 77771956


04630617

2396123523963281

-7944 99964 4793 23955337 23960130


07930938

2500000025000000

-63825 99744 12490 24936175 24948665


04840457

100213000100160805

-13205 100147 222222 100147600 100369822


09920938

3999865239998700

14939 100034 23956 40013640 40037596


08490764

7891350077451831

105294 103409 1023438 77557125 78580563


08280693

4799821447998569

99063 100203 17493 48097632 48115125


0788077

5000000050000000

550 100001 7549 50000550 50008099


04970718

1080908910809602

-6602 99936 2354 10803000 10805354


06080785

6024762460249350

-35545 99939 16067 60213804 60229871


07070623

7500000075000000

116625 100156 23573 75116625 75140198


09030755

3999570039997074

44005 100102 7911 40041080 40048991

--- --- 1263999255 --- AA --- 0910201711282016

06970689

12684749911266838894

-355297 --- 2173035 1266483597 1268656633


14

Page 51



BookYieldYield



Loss

MarketPrice

Base AccruedBalance


--- --- 4418795242 --- AA+ --- 0824201605272016

05210575

44473210184429529127

-136139 --- 9100306 4429392988 4438493293


15

Page 52

Does not Lock Down

Principal Paydown

Buy



CouponRate

FinalMaturity





BaseCommission

Base Amount

0915201509152015


045 04172017 Direct 000-5648497

--- 000-5648497

000 -000 000 5648497

0815201508152015


045 04172017 Direct 000-6011247

--- 000-6011247

000 -000 000 6011247

0715201507152015


045 04172017 Direct 000-6263285

--- 000-6263285

000 -000 000 6263285

0815201508152015


049 04152018 Direct 000-1726557

--- 000-1726557

000 000 000 1726557

0715201507152015


049 04152018 Direct 000-1703805

--- 000-1703805

000 000 000 1703805

0915201509152015


049 04152018 Direct 000-1540700

--- 000-1540700

000 000 000 1540700

0815201508152015


080 01152019 Direct 000-3595039

--- 000-3595039

000 000 000 3595039

0715201507152015


080 01152019 Direct 000-3002000

--- 000-3002000

000 -000 000 3002000

0915201509152015


080 01152019 Direct 000-3428254

--- 000-3428254

000 -000 000 3428254

0918201509182015


039 09192016 Direct 000-1811448

--- 000-1811448

000 -000 000 1811448

0818201508182015


039 09192016 Direct 000-1906504

--- 000-1906504

000 000 000 1906504

0718201507182015


039 09192016 Direct 000-2005503

--- 000-2005503

000 000 000 2005503

0715201507152015


045 09152016 Direct 000-4752217

--- 000-4752217

000 000 000 4752217

0815201508152015


045 09152016 Direct 000-5933214

--- 000-5933214

000 000 000 5933214

0915201509152015


045 09152016 Direct 000-4469878

--- 000-4469878

000 -000 000 4469878

0915201509152015


048 06152016 Direct 000-7784949

--- 000-7784949

000 -000 000 7784949

0815201508152015


048 06152016 Direct 000-7842966

--- 000-7842967

000 000 000 7842967

0715201507152015


048 06152016 Direct 000-8213508

--- 000-8213508

000 000 000 8213508

0815201508152015


060 06152017 Direct 000-7684473

--- 000-7684473

000 -000 000 7684473

0915201509152015


060 06152017 Direct 000-7064668

--- 000-7064668

000 000 000 7064668

0715201507152015


038 10172016 Direct 000-6260991

--- 000-6260991

000 -000 000 6260991

0815201508152015


038 10172016 Direct 000-3808377

--- 000-3808377

000 000 000 3808377

0720201507202015


085 08222016 Direct 000-2084026

--- 000-2084026

000 -000 000 2084026

0820201508202015


085 08222016 Direct 000-315887

--- 000-315887

000 000 000 315887

------


--- --- Direct 000-104857994

--- 000-104857994

000 000 000 104857994


16

Page 53



CouponRate

FinalMaturity





BaseCommission

Base Amount

0921201509242015


0776 09202017 Deutsche Bank 5000000050000000

10000 00050000000

000 000 000 -50000000

0804201508072015



100188 00077645313

54465 000 000 -77699778

0930201509302015


050 09282016 APX Asset 5000000050000000

100083 00050041500

1389 000 000 -50042889

0827201509012015



100000000100000000

9998 00099980000

000 000 000 -99980000

0908201509152015


0707 09152017 Bank of America 7500000075000000

10000 00075000000

000 000 000 -75000000

0901201509092015


098 06152018 Dain Rauscher 4000000040000000

99997 00039998652

000 000 000 -39998652

0827201508282015



99928 00034974800

000 000 000 -34974800

0827201508282015



10000 00050000000

000 000 000 -50000000

0721201507292015


082 03152018 Dain Rauscher 4800000048000000

99996 00047998214

000 000 000 -47998214

0701201507012015


005 09302015 Direct 103898103898

100 103898103898

000 000 000 -103898

0708201507082015


005 09302015 Direct 100315648100315648

100 100315648100315648

000 000 000 -100315648

0715201507152015


005 09302015 Direct 47810824781082

100 47810824781082

000 000 000 -4781082

0715201507152015


005 09302015 Direct 2211138522111385

100 2211138522111385

000 000 000 -22111385

0715201507152015


005 09302015 Direct 47629034762903

100 47629034762903

000 000 000 -4762903

0713201507132015


005 09302015 Direct 109181109181

100 109181109181

000 000 000 -109181

0720201507202015


005 09302015 Direct 40945704094570

100 40945704094570

000 000 000 -4094570

0720201507202015


005 09302015 Direct 3833338333

100 3833338333

000 000 000 -38333

0724201507242015


005 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0723201507232015


005 09302015 Direct 125000125000

100 125000125000

000 000 000 -125000

0721201507212015


005 09302015 Direct 145000145000

100 145000145000

000 000 000 -145000

0728201507282015


005 09302015 Direct 11625001162500

100 11625001162500

000 000 000 -1162500

0727201507272015


005 09302015 Direct 109389109389

100 109389109389

000 000 000 -109389

0731201507312015


005 09302015 Direct 27500002750000

100 27500002750000

000 000 000 -2750000

0803201508032015


006 09302015 Direct 125606125606

100 125606125606

000 000 000 -125606

0803201508032015


006 09302015 Direct 7658631276586312

100 7658631276586312

000 000 000 -76586312

0817201508172015


006 09302015 Direct 5513255132

100 5513255132

000 000 000 -55132

0817201508172015


006 09302015 Direct 2900316329003163

100 2900316329003163

000 000 000 -29003163

0814201508142015


006 09302015 Direct 9519495194

100 9519495194

000 000 000 -95194

0820201508202015


006 09302015 Direct 390154390154

100 390154390154

000 000 000 -390154


17

Page 54

Sell



CouponRate

FinalMaturity





BaseCommission

Base Amount

0820201508202015


006 09302015 Direct 224224

100 224224

000 000 000 -224

0820201508202015


006 09302015 Direct 12061206

100 12061206

000 000 000 -1206

0819201508192015


006 09302015 Direct 6750000067500000

100 6750000067500000

000 000 000 -67500000

0819201508192015


006 09302015 Direct 9427194271

100 9427194271

000 000 000 -94271

0818201508182015


006 09302015 Direct 77219737721973

100 77219737721973

000 000 000 -7721973

0818201508182015


006 09302015 Direct 3492134921

100 3492134921

000 000 000 -34921

0818201508182015


006 09302015 Direct 19091921909192

100 19091921909192

000 000 000 -1909192

0825201508252015


006 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0824201508242015


006 09302015 Direct 6300063000

100 6300063000

000 000 000 -63000

0831201508312015


006 09302015 Direct 625000625000

100 625000625000

000 000 000 -625000

0910201509102015


008 09302015 Direct 12100001210000

100 12100001210000

000 000 000 -1210000

0908201509082015


008 09302015 Direct 866615866615

100 866615866615

000 000 000 -866615

0911201509112015


008 09302015 Direct 421162421162

100 421162421162

000 000 000 -421162

0911201509112015


008 09302015 Direct 2243022430

100 2243022430

000 000 000 -22430

0918201509182015


008 09302015 Direct 18135161813516

100 18135161813516

000 000 000 -1813516

0918201509182015


008 09302015 Direct 3807838078

100 3807838078

000 000 000 -38078

0916201509162015


008 09302015 Direct 6830068300

100 6830068300

000 000 000 -68300

0915201509152015


008 09302015 Direct 1124587911245879

100 1124587911245879

000 000 000 -11245879

0915201509152015


008 09302015 Direct 44765574476557

100 44765574476557

000 000 000 -4476557

0915201509152015


008 09302015 Direct 1673996916739969

100 1673996916739969

000 000 000 -16739969

0921201509212015


008 09302015 Direct 9958549499585494

100 9958549499585494

000 000 000 -99585494

0921201509212015


008 09302015 Direct 250000250000

100 250000250000

000 000 000 -250000

0928201509282015


008 09302015 Direct 1584415844

100 1584415844

000 000 000 -15844

------

Buy ------

--- --- --- 987127415987127415

--- 461627415987265894

55854 000 000 -987321748



CouponRate

FinalMaturity





BaseCommission

Base Amount

0919201509192015


100 06192017 Not Provided -100000000-100000000

10000 000-100000000

-250000 000 000 100250000

0720201507202015


005 09302015 Direct -633478-633478

100 -633478-633478

000 000 000 633478

0729201507292015


005 09302015 Direct -47998214-47998214

100 -47998214-47998214

000 000 000 47998214


18

Page 55

Maturity

Summary






CouponRate

FinalMaturity





BaseCommission

Base Amount

0807201508072015


006 09302015 Direct -77699778-77699778

100 -77699778-77699778

000 000 000 77699778

0810201508102015


006 09302015 Direct -1522403-1522403

100 -1522403-1522403

000 000 000 1522403

0828201508282015


006 09302015 Direct -84974800-84974800

100 -84974800-84974800

000 000 000 84974800

0901201509012015


008 09302015 Direct -89883832-89883832

100 -89883832-89883832

000 000 000 89883832

0909201509092015


008 09302015 Direct -39998652-39998652

100 -39998652-39998652

000 000 000 39998652

0924201509242015


008 09302015 Direct -49970333-49970333

100 -49970333-49970333

000 000 000 49970333

0930201509302015


008 09302015 Direct -50042889-50042889

100 -50042889-50042889

000 000 000 50042889

------

Sell ------

--- --- --- -542724379-542724379

--- -442724379-542724379

-250000 000 000 542974379



CouponRate

FinalMaturity





BaseCommission

Base Amount

0901201509012015


0553 09012015 Maturity -10000000-10000000

10000 000-10000000

000 000 000 10000000

0915201509152015


275 09152015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0708201507082015


030 07082015 Maturity -100000000-100000000

10000 000-100000000

000 000 000 100000000

0801201508012015


0297 08012015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0819201508192015


0546 08192015 Maturity -37500000-37500000

10000 000-37500000

000 000 000 37500000

0819201508192015


0546 08192015 Maturity -30000000-30000000

10000 000-30000000

000 000 000 30000000

------

Maturity ------

--- --- Maturity -327500000-327500000

10000 000-327500000

000 000 000 327500000



CouponRate

FinalMaturity





BaseCommission

Base Amount

------

--- ------

--- --- --- 11690303612045042

--- 1890303612183521

-194146 000 000 -11989375


19

Page 56

Does not Lock Down

Receivable

Settled


















08042015 08072015 Buy 77500000 161571GJ7 CHAIT 2014-A1 A1 115 01152019 100188 -77699778



















07232015 07232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

09232015 09232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

08232015 08232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667









20

Page 57



























09012015 09092015 Buy 40000000 47787WAB5 JDOT 2015-B A2 098 06152018 99997 -39998652



























21

Page 58













07212015 07292015 Buy 48000000 90290XAB3 USAOT 2015-1 A2 082 03152018 99996 -47998214









































22

Page 59

Summary






































--- --- --- 12045042 --- --- --- --- --- -6699



--- --- --- 12045042 --- --- --- --- --- 3915


23

Page 60

Does not Lock Down

Receivable

Settled
















































24

Page 61

Summary





















25

Page 62




Redemptions






GainLoss




41898878000

000000

-17923029 000 1129 -3585 -001 -13263 000 23960130


50058628000

000000

-10025293 000 110 -3565 -000 -46397 000 39983483


74988125000

000000

-14749141 000 1039 -3933 -000 -6219 000 60229871


145026025461627415

-442724379000

000 000 000 000 000 000 000 163929061


100138260000

000000

000 000 47512 -62269 000 -55312 000 100068191

3136G1NQ8FANNIE MAE

100162633000

-100000000000

000 000 000 -33333 000 -129300 000 000


50056533000

000000

000 000 1931 41250 000 9319 000 50109033


75376481000

000000

000 000 -42208 3680 000 -104042 000 75233911


25057089000

000000

000 000 -35478 62500 000 11078 000 25095189


30022800000

000000

000 000 000 48000 000 78900 000 30149700


76885875000

000000

000 000 -947785 1010625 000 72535 000 77021250


44989417000

000000

000 000 -11570 2237 000 88295 000 45068380


29992945000

000000

000 000 000 1491 000 51150 000 30045586


29215583000

000000

000 000 -161440 -204844 000 -16457 000 28832842


30753245000

000000

000 000 -175521 -215625 000 -11739 000 30350360


50063217000

000000

000 000 000 2287 000 -112550 000 49952953


100067783000

000000

000 000 33058 62500 000 -46658 000 100116683


75187934000

000000

000 000 000 2883 000 -398025 000 74792792


76827617000

000000

000 000 -475139 -600000 000 6014 000 75758492

43814KAB7HAROT 2015-1 A2

33501377000

000000

000 000 245 000 000 4813 000 33506436


00099980000

000000

000 000 1639 35000 000 43061 000 100059700


75113794000

000-75000000

000 000 000 -107044 000 -6750 000 000


75047598000

000000

000 000 000 753 000 -41925 000 75006426

161571GJ7CHAIT 2014-A1 A1

00077645313

000000

000 000 -15165 39611 000 102197 000 77771956


75100250000

000000

000 000 000 187500 000 114000 000 75401750


101844491000

000000

000 000 -267402 -372973 000 1702 000 101205817


75367200000

000000

000 000 000 -237575 000 90000 000 75219625


00050000000

000000

000 000 000 1513 000 -3500 000 49998013


100126572000

000000

000 000 -35308 156250 000 122308 000 100369822


26

Page 63




Redemptions






GainLoss



097023BC8BOEING CO

78296763000

000000

000 000 -542232 703125 000 122907 000 78580563

90290XAB3USAOT 2015-1 A2

00047998214

000000

000 000 355 17493 000 99063 000 48115125


30023663000

000-30000000

000 000 -7090 -19583 000 3010 000 000


37529579000

000-37500000

000 000 000 -24479 000 -5100 000 000


49985300000

000000

000 000 000 3880 000 -728800 000 49260380


100561729000

000000

000 000 -67492 -155855 000 31092 000 100369473


00034974800

000000

000 000 10578 000 000 7529 000 34992907


34966244000

000000

000 000 26833 000 000 -172 000 34992907

CCYUSDReceivable

6698000

000000

000 000 000 000 000 000 4002 10700

CCYUSDCash

088000

000000

000 000 000 000 000 000 -001 087

CCYUSDPayable

000000

000000

000 000 000 000 000 000 000 000


00050041500

000000

000 000 -114 2083 000 -3286 000 50040183


12498486000

000000

000 000 9310 -22569 000 26065 000 12511292

36164EAB1GEET 2015-1 A2

40033871000

000000

000 000 562 000 000 14558 000 40048991


101053039000

000000

000 000 -142141 -249074 000 -18059 000 100643765


100165459000

000000

000 000 -10338 125000 000 18138 000 100298259


76494217000

000000

000 000 -326741 -487500 000 133616 000 75813592


20535773000

000000

000 000 -12478 35875 000 -4784 000 20554386


50087250000

000000

000 000 -36719 87500 000 -5381 000 50132650

3136FPET0FANNIE MAE

101794467000

000000

000 000 -419520 -500000 000 -2080 000 100872867


99908700000

000000

000 000 63889 000 000 -32889 000 99939700


76867003000

000000

000 000 86776 000 000 79375 000 77033154


16250741000

000000

000 000 20696 000 000 14431 000 16285868


100006250000

000000

000 000 000 112500 000 -300000 000 99818750


100151989000

000000

000 000 22572 -72500 000 -372 000 100101689


75360600000

000000

000 000 -67860 -150000 000 13185 000 75155925


100156006000

000000

000 000 -25915 167500 000 30415 000 100328006

89236WAB4TAOT 2015-A A2

59989773000

000000

000 000 106 000 000 30254 000 60020133


75148560000

000000

000 000 000 2390 000 -457500 000 74693450


27

Page 64




Redemptions






GainLoss




77069775000

000000

000 000 -311372 -431250 000 -64228 000 76262925


10018733000

000-10000000

000 000 000 -18433 000 -300 000 000


100125422000

000000

000 000 3322 -62500 000 -11522 000 100054722


25084493000

000000

000 000 000 -30576 000 39000 000 25092917


30139300000

000000

000 000 000 -62333 000 5100 000 30082067


49227523000

000000

000 000 000 -101811 000 8330 000 49134042


100148867000

000-100000000

000 000 -142 -144167 000 -4558 000 000


25022566000

000000

000 000 000 -676 000 -73225 000 24948665


40100000000

000000

000 000 000 -48600 000 22400 000 40073800


101747358000

000000

000 000 -406230 531250 000 -36470 000 101835908


25035503000

000000

000 000 000 39625 000 19000 000 25094128

47787WAB5JDOT 2015-B A2

00039998652

000000

000 000 048 23956 000 14939 000 40037596


00050000000

000000

000 000 000 7549 000 550 000 50008099


75897542000

000-75000000

000 000 -350511 -607292 000 60261 000 000


00075000000

000000

000 000 000 23573 000 116625 000 75140198


101896754000

000000

000 000 -422216 -497298 000 -7484 000 100969757


101896754000

000000

000 000 -418363 -497298 000 -11337 000 100969757


100071817000

000000

000 000 22779 -87500 000 15721 000 100022817


20014363000

000000

000 000 8520 -17500 000 -820 000 20004563


79187459000

000000

000 000 -272756 -397188 000 131396 000 78648912


25410507000

000000

-23841424 000 096 -5086 000 -687 000 1563406

47787VAB7JDOT 2014-A A2

28501338000

000000

-15155309 000 221 -3031 000 -2782 000 13340437

90290KAB1USAOT 2014-1 A2

10070313000

000000

-10069368 000 033 -1701 000 722 000 000

92867GAC7VALET 2012-1 A3

2401150000

000000

-2399913 000 -530 -623 000 -084 000 000

43814GAB6HAROT 2014-2 A2

10272974000

000000

-5723455 000 218 -806 000 2040 000 4550970


15784776000

000000

-4971062 000 254 -1083 001 -7533 000 10805354

------

4435867885987265894

-542724379-327500000

-104857994 000 -5643946 -3001677 000 -916491 4001 4438493293


28

Page 65



29

Page 66





50 Basis PointShock










097023BC8 BOEING CO CORP 77557125 0849 0764 1111 78215474 78215474 77987972 77126313 76695535 75834085


161571GJ7 CHAIT 2014-A1 A1 ABS 77732345 0856 0858 1289 78592101 78592101 78233352 77231382 76730464 75728763














31679KAB6 FITAT 2014-2 A2A ABS 23955337 0463 0617 0217 23987412 23987412 23981330 23929347 23903357 23851381

36164EAB1 GEET 2015-1 A2 ABS 40041080 0903 0755 000 40041080 40041080 40041080 40041080 40041080 40041080


41284AAB4 HDMOT 2014-1 A2A ABS 10803000 0497 0718 0277 10824486 10824486 10817962 10788038 10773077 10743155

41284BAB2 HDMOT 2015-1 A2A ABS 39969270 0802 0807 0698 40194154 40194154 40108664 39829678 39689889 39409716



43814GAB6 HAROT 2014-2 A2 ABS 4550329 0399 1136 0054 4553121 4552786 4551558 4549101 4547872 4545415

43814KAB7 HAROT 2015-1 A2 ABS 33496014 0707 0726 0399 33593046 33593046 33562840 33429191 33362371 33228742


93319022 0462 0252 0377 93407680 93407680 93407680 93143119 92967223 92615453


99700000 045 0824 0801 100358078 100358078 100099311 99300714 98901453 98103005


47787VAB7 JDOT 2014-A A2 ABS 13337769 0454 0804 0065 13344739 13344739 13342104 13333434 13329099 13320430

47787WAB5 JDOT 2015-B A2 ABS 40013640 0992 0938 1066 40413771 40413771 40226922 39800376 39587131 39160693


58768EAC3 MBALT 2014-A A2A ABS 1563073 0482 0796 0044 1563620 1563620 1563417 1562729 1562385 1561697


65477WAB2 NAROT 2014-B A2 ABS 60213804 0608 0785 033 60369794 60369794 60313160 60114454 60015108 59816429





70659PAE1 PENAR 2013-1A A1 ABS 74990100 0595 0699 0053 75017882 75017882 75009972 74970228 74950355 74910610




30

Page 67







50 Basis PointShock







89236WAB4 TAOT 2015-A A2 ABS 60001200 0712 069 0382 60159357 60159357 60115805 59886600 59772007 59542839

90290XAB3 USAOT 2015-1 A2 ABS 48097632 0828 0693 1504 48598976 48598976 48459345 47735956 47374318 46651153












CCYUSD Cash CASH 087 000 000 000 087 087 087 087 087 087

--- --- --- 4429392988 0521 0575 047 4440207556 4440012694 4437618810 4418979071 4408563561 4387727762


31

Page 68



32

Page 69


CONTRA COSTA COUNTY


ShareAmount

201-000004-10Average

Cost NAV

Average

Cost Amount

Realized

GainLoss


08312015 BALANCE FORWARD 14828923123 1002 14858580969 1002517967 14866261865


09302015 ENDING BALANCE 14828923123 1002 14866261865 14858580969










Phone 8007733863

Fax 252-972-1908


CONTRA COSTA COUNTY

CONTRA COSTA COUNTY

ATTN BELINDA ZHU

625 COURT STREET

ROOM 102


Page 1 of 1

Page 70


September 30 2015

CalTrust

Short Term

LAIF



Yield 034052





CalTrust

Short Term

Total Return

CalTrust

Short Term

Yield Return

LAIF Yield

Return

010 003004One Month


021 016024Six Month

041 029045One Year

043 027042Two Year


044 032044Five Year

181 172178Ten Year


Annualized


Total 1000



Total 1000









the month




Page 71




Page 72


Page 73



Page 74

SECTION III

APPENDIX




September 30 2015

FY 2015-2016


NUMBER 063015 072115 093015

100300 237517555 (14241865) 223275690

TOTALS 237517555 -14241865 000 000 000 000 000 223275690


Page 75

EXHIBITS










TOTAL $236548791215 10000



Less 1 yr $176302182693 7453

1 to 2 yrs 30507848304 12902 to 3 yrs 22479209821 950

3 to 4 yrs 6746274707 2854+ yrs 513275690 022

TOTAL $236548791215 10000


US Treasuries123


Money Market4697

ABSMBS019




Other 824

Cash548


Less 1 yr7453


9503 to 4 yrs285

4+ yrs022


Exhibit II





($) () () (day) (year)




2 Other



C Cash $12964473527 549 03500 4 1 NA








WEIGHTED

Exhibit III








5 Corporate Notes 16100700000 13527200000 2573500000 1902

TOTAL 184533165409 219726365409 (35193200000) -1602




Subtotal 19500651901 19504260129 (3608228) -002

TOTAL 39051152279 40698368474 (1647216195) -405

C Cash 12964473527 29335994238 (16371520711) -5581






Exhibit IV

Quarter Ending

















Exhibit IV (a)

Quarter Ending














Exhibit IV (b)

000

050

100

150

200

250

300

350

400

450

500

550



Exhibit IV (c)

-200

-100

000

100

200

300

400

500

600

700

93015 32816 92416 32317 91917 31818 91418 31319 9919 3720 9320

Yie

ld t

o M

atu

rity

Maturity Dates


CountyTreasurer

Wells CapitalMgmt







Risk Assessment



Exhibit IV (d)



DATE YTM ()









Exhibit V









Total $246365406496 10000




Exhibit V (a)




93015 Ave Maturity






Rate Yield





Six Month LIBOR 05340 05545 05051 04445



Exhibit V (b)

00000

10000

20000

30000

40000

50000

60000



Treasurer

LAIF

Wells CapitalMgmt

CalTRUST

Exhibit VI













Total $5372100000

Fund







Exhibit VI (a)






























































Exhibit VI (a)
















































TOTAL 51134346284 51034580657 51239469518


Exhibit VI (b)



Total $1575955394 $1579235118 $1577862697


September 30 2015







TREASURY 2350$ 950$ 1750$ 850$ 800$ 4150$ 500$ 5700$ 6200$ 10900$ 500$

REPO

TDs 1770$ 1058$ 1538$ 522$ 430$ 311$

AGENCY 903$ 250$ 750$ 950$ 1030$ 1350$ 1725$ 1700$ 505$ 577$ 781$

CP 1400$ 650$ 375$ 50$ 150$ 200$

CDs + BNs 5900$ 1500$ 2625$ 1250$ 400$ 600$ 500$ 500$ 200$

CORP BND TOTAL

67100$ 12323$ 4408$ 7038$ 3622$ 2810$ 6611$ 2725$ 7900$ 6905$ 11477$ 1281$

PERCENT 184 66 105 54 42 99 41 118 103 171 19 00 00















TOTAL 6649401194538$ $ 6651219520504 $ 6655174641252 3940591830$















1 Structured Notes



Structured Notes

















Exhibit VIII






(bps) ($) ($) (bps)

‐50 185664633657 100613 4139

‐25 185280659319 100405 2064

‐10 185051371991 100281 826

0 184898968418 100198 000

10 184746927139 100116 ‐821

25 184519541875 99993 ‐2048

50 184142360805 99788 ‐4094









Exhibit IX



















Total $722500000 $745685162






Table of Contents







Exhibits




















PERCENT OF




2 US Agencies





Municipal Bonds 722500000 745685162 1 745685162 1 031

Subtotal 53939600000 54137893149 54217348223 2287






Time Deposit 333577 333577 333577 000

Subtotal 111117365409 111025018154 111114751874 4689


5 Corporate Notes 16100700000 16172612242 16174201321 683

TOTAL (Section A) 184533165409 184721498440 184898968427 7802



2 Other

a EBRCS Bond 223275690 223275690 223275690 009



Subtotal 19500651901 19529177677 19520349952 825

TOTAL (Section B) 39051152279 39079678055 39082475957 1651

C Cash 12964473527 12964473527 12964473527 548


Notes





Page 2









US Treasuries124


Local2286

Money Market4689

ABSMBS019

Corporate Notes683


826


825

Cash548


7453

1290950

285 022$0

$200000000

$400000000

$600000000

$800000000

$1000000000

$1200000000

$1400000000

$1600000000

$1800000000

$2000000000



AAA063

AA+2579

AA1629

AA‐199A+

120A103

A‐040

A‐1+403

A‐14284

NR (CASH)548

NR (Misc)031


05480586

0330

0575

0520

0350

000

010

020

030

040

050

060

070




000

010

020

030

040

050

060

1212 313 613 913 1213 314 614 914 1214 315 615 915


YTM


School Dist3833


1486


620



Page 3




0

1

2

3

4

5

6

7

0996 0999 0902 0905 0908 0911 0914

Percentage



‐10

‐8

‐6

‐4

‐2

0

2

4

6

8

10

123115123112123109123106123103123100123197

Percentage


GDP QoQ Change

‐3

‐2

‐1

0

1

2

3

4

5

6

123115083113043011123108083106043004123101083199043097

Percentage



0

2

4

6

8

10

12


Percentage

UNEMPLOYMENT RATE

Unemployment Rate

SECTION III

APPENDIX



Contra Costa County

As Of Date 09302015




Subtotal 983462 8189300000 8233436042 9158886 30409599

862858 8208097931 100538948 -5046210


Subtotal 240000 24900000 24872154 28884 2532

240573 24840738 99888169 000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690


Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796


Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890


Subtotal 1021082 2916000000 2932452140 6759174 8684053

911013 2925760026 100564202 -846221




Page 5


Contra Costa County

As Of Date 09302015




Subtotal 328043 61284800000 61261659931 56430381 12307195

328594 61192922725 99962242 -370


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


Subtotal 1042646 317000000 316972369 142084 000

1046859 316972369 99991284 000


Subtotal 148207 599700000 599636986 443798 78864

148407 599114324 99989492 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


Subtotal 2133314 722500000 745685162 4095807 000

1186443 745685162 103209019 000




Page 6


Contra Costa County

As Of Date 09302015




Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


Subtotal 462200 245000000 244328496 77076 000

510490 244852020 99725917 -523524


Subtotal 1185757 415000000 414678000 1184241 000

1212249 414678000 99922410 000


1256393 15127367242 100488445 -34126750

Subtotal 1504454 15050700000 15124214321 53058340 41320219


Subtotal 900000 202500000 201230550 10125 000

900000 202500000 99373111 -1269450


Subtotal 481820 1050000000 1049987000 1193357 4755000

1382208 1045245000 99998762 -13000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000




Page 7


Contra Costa County

As Of Date 09302015




600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000



585858 184721498440 100198232 -130630560



Page 8


Contra Costa County

As Of Date 09302015





TIME DEPOSIT 334 334 334 10000 000 060

MBSABS 459500 460215 460215 10000 000 105

CORPORATE NOTES 16100700 16172612 16174201 10001 11935 126

NCDYCD 49775700 49775230 49796227 10004 20997 037


MUNICIPALS 722500 745685 745685 10000 000 119

US AGENCIES 53217100 53392208 53471663 10015 82468 085

US TREASURIES 2916000 2925760 2932452 10023 7838 091

Totals(000s) 184533165 184721498 184898968 10010 135545 059


Asset Allocation

Page 9


Contra Costa County

As Of Date 09302015




Page 10


Contra Costa County

As Of Date 09302015




09302019 1403864 36542813 102120000 SUNGARD 000


03312018 1076208 346541016 99857000 SUNGARD 000


03312017 622165 362158668 100729000 SUNGARD -37913


07312018 916641 8619531 101340000 SUNGARD -5631



02282019 1336788 12518555 101027000 SUNGARD 000



04302019 1138894 502187500 100536000 SUNGARD 000


10312016 545942 183969297 100641000 SUNGARD -802677

07312018 1446611 38393223 101340000 SUNGARD 000

08312017 1013383 55069273 99922000 SUNGARD 000




06302017 928142 12941602 100275000 SUNGARD 000

11302017 1165963 21093969 103284000 SUNGARD 000

05312017 818703 36357472 100074000 SUNGARD 000


11302017 874222 45733582 99818000 SUNGARD 000




01312017 734933 27577783 100518000 SUNGARD 000

06302017 788660 285758043 100275000 SUNGARD 000

03312019 1589638 7009420 101833000 SUNGARD 000




05152019 1503637 10172422 107099000 SUNGARD 000




Page 11


Contra Costa County

As Of Date 09302015




06102016 475000 249504983 99998000 SUNGARD 000




06082018 1390090 617211350 100643000 SUNGARD 000


06102016 745089 299310440 101181000 SUNGARD -11956400

09082017 790076 16967190 100023000 SUNGARD 000

06192017 850065 288880000 100628000 SUNGARD 000



82122 GOV FHLB NOTES 3130A33J1 09192014 1200000 500000000 504515000 200000 4515000

06082018 1410094 298200000 100643000 SUNGARD 000

09192017 1200000 500000000 100903000 SUNGARD 000

10142016 572077 1001020000 100180000 SUNGARD 000




06102016 760030 199664780 101181000 SUNGARD -7926785


07312018 1111402 97644950 103810000 SUNGARD 000


04152018 921899 399252305 99836000 SUNGARD 000


03312018 874966 51323255 99857000 SUNGARD 000


05152020 1503393 26314770 109626000 SUNGARD 000

03312018 860670 169535156 99857000 SUNGARD 000


03312017 545225 169141875 100729000 SUNGARD 000


06302020 1499897 19903546 102362000 SUNGARD 000


911013 2925760026 100564202 -846221

Subtotal 1021082 2916000000 2932452140 6759174 8684053



Page 12


Contra Costa County

As Of Date 09302015





09282016 615106 196637520 100076000 SUNGARD 000

03082019 1415035 501660000 101036000 SUNGARD 000

09282016 530086 283895537 100076000 SUNGARD 000




12092016 571735 1965471750 101299000 SUNGARD -12933525

11232016 556000 209262834 100148000 SUNGARD 000


03102017 739127 300801000 100273000 SUNGARD 000

04252018 1155323 999070000 100679000 SUNGARD 000


82419 GOV FHLB NOTES 3130A4K27 03092015 720000 1000000000 1001840000 500000 3470000


03062017 802655 998370000 100184000 SUNGARD 000


12122016 720127 499305000 100148000 SUNGARD 000

12122016 670252 350206500 100178000 SUNGARD 000

12122016 770206 499315000 100178000 SUNGARD 000

82271 GOV FHLB NOTES 3130A3Q64 12232014 700000 500000000 500890000 1059722 1575000

12162016 620043 249372500 100074000 SUNGARD 000

09282016 470153 1147573500 100076000 SUNGARD 000



12012015 215107 36978910 100008000 SUNGARD 000


12092016 571735 628645050 101299000 SUNGARD -4136715




09282016 470201 76538250 100076000 SUNGARD 000


08152017 1000000 1000000000 100565000 SUNGARD 000

12082017 1180284 449280000 100653000 SUNGARD 000

01062017 750000 1000000000 100174000 SUNGARD 000




Page 13


Contra Costa County

As Of Date 09302015





06242016 330908 25014667 99904000 SUNGARD -34500


10302018 1300000 500000000 100363000 SUNGARD 000


06292018 1100000 1000000000 100351000 SUNGARD 000

08282017 858202 152158400 100087000 SUNGARD 000

05302017 692495 100021625 100010000 SUNGARD 000


09132019 1400130 249833889 100383000 SUNGARD 000

82664 GOV FHLB NOTES 3130A6B63 08142015 1200000 1000000000 1005600000 1566667 5600000

08142018 1200000 1000000000 100560000 SUNGARD 000




03242017 840000 16500000 100270000 SUNGARD 000

82550 GOV FHLB NOTES 3130A57K9 05042015 1000000 1000000000 1000830000 4083333 2310000

04202016 290248 160920618 99999000 SUNGARD 000


03182016 330364 199739400 100113000 SUNGARD -13965


03242017 840000 160000000 100270000 SUNGARD 000



05302017 666017 142881310 100010000 SUNGARD 000

06302017 730000 1000000000 100148000 SUNGARD 000

06142019 1563094 250600000 101365000 SUNGARD 000




05262017 720000 1000000000 100253000 SUNGARD 000

05042018 1050244 998520000 100083000 SUNGARD 000

Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890



Page 14


Contra Costa County

As Of Date 09302015





09282016 740949 98963095 100801000 SUNGARD -682120

02192019 1795148 37839867 102313000 SUNGARD 000

02192019 1795148 698481789 102313000 SUNGARD 000


05212018 1459815 15952936 99940000 SUNGARD 000



09282016 748553 23839371 100801000 SUNGARD -151136

81941 GOV FNMA NOTE 3135G0MZ3 04172014 875000 1000000000 1001390000 802083 7310000



08282017 1054521 994080000 100139000 SUNGARD 000

04202017 740235 4901372 100130000 SUNGARD 000

11272018 1489435 11567275 101788000 SUNGARD 000


03152016 1000170 423921135 100926000 SUNGARD -16684725


09282016 615791 482179778 100801000 SUNGARD -8112675


10262015 893123 616710000 100100000 SUNGARD -16110000




09282016 1160000 17373698 100801000 SUNGARD 000


05212018 1190082 19697600 99940000 SUNGARD 000


06122018 1013910 499795000 100146000 SUNGARD 000


05222018 750000 1000000000 99996000 SUNGARD -40000


02082018 970000 16424202 100153000 SUNGARD 000


04272017 600233 398143200 100831000 SUNGARD -4902300




Page 15


Contra Costa County

As Of Date 09302015




09272017 781143 201042000 100449000 SUNGARD -144000


05252018 1250000 1000000000 100461000 SUNGARD 000


02272019 1329281 608718000 101612000 SUNGARD 000


01212020 1627650 16997790 101031000 SUNGARD 000


09272017 723255 168928293 100449000 SUNGARD -164640


06122017 642309 169877783 107937000 SUNGARD -99200


10192018 1177919 12978940 100417000 SUNGARD 000


12202017 793128 170715063 100253000 SUNGARD 000

04272017 895628 20094418 100831000 SUNGARD 000




09122019 1889799 16489776 101774000 SUNGARD 000


09272017 1117972 37893058 100449000 SUNGARD 000

09272017 1117972 12953590 100449000 SUNGARD 000

04272017 895628 55830780 100831000 SUNGARD 000


07052016 397750 1243589480 100002000 SUNGARD 000




07052016 397750 563314045 100002000 SUNGARD 000


11272018 1385424 12618750 101788000 SUNGARD 000

11262019 1612998 10065300 101773000 SUNGARD 000

11272018 1380107 606649400 101788000 SUNGARD 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796



Page 16


Contra Costa County

As Of Date 09302015




10102017 1156802 999800000 100782000 SUNGARD 000




01162019 1620035 199030000 100641000 SUNGARD 000


12072016 972048 249713430 100541000 SUNGARD 000

12102015 340213 553945500 100001000 SUNGARD 000

11012016 700000 500000000 100425000 SUNGARD 000



11142016 600000 1000000000 100152000 SUNGARD 000

12012016 590074 499900000 100199000 SUNGARD 000

12152016 720000 1000000000 100283000 SUNGARD 000



03282016 790000 399681830 100413000 SUNGARD -2347589

03282016 810254 407765280 100413000 SUNGARD -2096760





05172017 790074 19891400 99878000 SUNGARD 000

11292016 640000 1000000000 100003000 SUNGARD 000

07122016 600206 249886330 100225000 SUNGARD 000





02252018 920628 44439670 100999250 BOOK 000

04012018 1201381 38884861 100999639 BOOK 000

Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000




Page 17


Contra Costa County

As Of Date 09302015




03082017 1120062 16901230 100636000 SUNGARD 000



01192016 2330564 17226700 101365000 SUNGARD -1515125



04012016 240573 24840738 99888167 SUNGARD 000


240573 24840738 99888169 000

Subtotal 240000 24900000 24872154 28884 2532



09142017 860067 499231667 100145000 SUNGARD 000


01222018 1096935 997190000 100326000 SUNGARD 000

03292018 1130145 498000000 100174000 SUNGARD 000

04022018 1000000 1000000000 100462000 SUNGARD 000


03212016 308272 303970816 100084000 SUNGARD 000




03212016 308272 1015902464 100084000 SUNGARD 000

08042020 1730194 17046216 101041000 SUNGARD 000


09142017 810304 499700000 100145000 SUNGARD 000



08052019 1350014 100657333 100507000 SUNGARD -67000

08052019 1350014 301972000 100507000 SUNGARD -201000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690



Page 18


Contra Costa County

As Of Date 09302015





08082018 1200000 248600000 100279000 SUNGARD 000

08082018 1200000 11000000 100279000 SUNGARD 000

03082017 643501 1970224915 100636000 SUNGARD -2287935




07282017 1002272 46497404 100676000 SUNGARD 000

01272017 586812 137279806 99981000 SUNGARD 000


07282017 853802 9532300 100676000 SUNGARD 000

03082017 643501 955642205 100636000 SUNGARD -1109745




03082017 672177 99174725 100636000 SUNGARD -48265


03082017 780254 389546460 100636000 SUNGARD -85140

03072018 1250049 695847428 100085000 SUNGARD 000

03072018 1279731 15453824 100085000 SUNGARD 000


09292017 764157 4526353 100605000 SUNGARD 000

07282017 1001893 80995464 100676000 SUNGARD 000



10142016 773322 6507265 100429000 SUNGARD 000

82009 RM GOV FHLMC 3137EADH9 06132014 1000000 248400000 250094088 634800 1285271

07282017 1002272 3999777 100676000 SUNGARD 000




09292017 1033085 499490000 100605000 SUNGARD 000


06292017 945000 248808817 100682000 SUNGARD 000

09292017 1070130 997770000 100605000 SUNGARD 000

07282017 1001893 7499580 100676000 SUNGARD 000




Page 19


Contra Costa County

As Of Date 09302015





01012017 1618751 18954234 111495494 BOOK 000

01012017 2592295 42131877 108030454 BOOK 000

01012018 1301222 69692506 116154177 BOOK 000


02012016 929226 12040560 100338000 BOOK 000



02012016 929226 55185900 100338000 BOOK 000



01152016 1616968 54750638 108417105 BOOK 000

12012018 1638640 42755012 109628236 BOOK 000

05152016 907000 41500000 100000000 BOOK 000


08012016 6525847 745300 74530000 BOOK 000




08012017 1402000 44000000 100000000 BOOK 000


05152017 966000 17500000 100000000 BOOK 000


05152016 659000 124000000 100000000 BOOK 000


05302017 710296 999170000 99991000 SUNGARD 000


07282017 853802 431963700 100676000 SUNGARD 000


05302019 1480153 10125978 102032000 SUNGARD 000


05302019 1379985 304314000 102032000 SUNGARD 000


862858 8208097931 100538948 -5046210

Subtotal 983462 8189300000 8233436042 9158886 30409599



Page 20


Contra Costa County

As Of Date 09302015





02092016 290853 99407657 99949056 SUNGARD 000


10232015 120070 499706667 99997556 SUNGARD 000

148407 599114324 99989492 000

Subtotal 148207 599700000 599636986 443798 78864


09012016 431873 109523058 99711000 SUNGARD 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


82684 RM GOV FNMA DISC 313588C29 09112015 400000 29500000 29425660 6556 30221

08152016 401514 29388883 99748000 SUNGARD 000

Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


11012016 1090101 12558625 100469000 BOOK 000


11012016 1090101 79370510 100469000 BOOK 000


05152018 2054000 19500000 100000000 BOOK 000



10012017 1090000 11000000 100000000 BOOK 000


05022016 780000 100000000 100000000 BOOK 000

1186443 745685162 103209019 000

Subtotal 2133314 722500000 745685162 4095807 000



Page 21


Contra Costa County

As Of Date 09302015





10132015 330552 1996663333 99994000 SUNGARD 000


11102015 270422 2496100000 99980000 SUNGARD 000


10092015 290426 2496334722 99996000 SUNGARD 000


10232015 380776 2494906944 99989000 SUNGARD 000


11252015 441203 2493186111 99972500 SUNGARD 000



10272015 260367 2496479167 99987000 SUNGARD 000


02222019 1083588 59917969 99863282 BOOK 000


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


07172017 710792 62999402 99999051 BOOK 000


10152019 1059409 84482238 99978980 BOOK 000


06152017 704310 41997808 99994781 BOOK 000



04182019 1270662 45499440 99998769 BOOK 000


03162020 1343408 81993481 99992050 BOOK 000

1046859 316972369 99991284 000

Subtotal 1042646 317000000 316972369 142084 000




Page 22


Contra Costa County

As Of Date 09302015





10062015 220123 399974999 99997500 SUNGARD 000

10062015 220123 90049344 99997500 SUNGARD 000

10062015 220124 340008732 99997500 SUNGARD 000




10062015 220124 199987499 99997500 SUNGARD 000

10062015 220123 310025599 99997500 SUNGARD 000


10062015 220124 2100018659 99997500 SUNGARD 000

10062015 220124 569979365 99997500 SUNGARD 000




10062015 220124 429958132 99997500 SUNGARD 000


12112015 290508 1996503889 99956611 SUNGARD 000

12102015 310570 2495414583 99957222 SUNGARD 000

11092015 250314 162295747 99980500 SUNGARD 000


10282015 390830 2993630000 99986500 SUNGARD 000

10062015 220123 359997488 99997500 SUNGARD 000



11242015 441175 2992006667 99973000 SUNGARD 000


10062015 220125 110038099 99997500 SUNGARD 000




10062015 220124 239965010 99997500 SUNGARD 000


02052016 360971 49865500 99887111 SUNGARD 000

12162015 400770 2495194444 99953556 SUNGARD 000

10062015 220124 519507757 99997500 SUNGARD 000




Page 23


Contra Costa County

As Of Date 09302015





10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

11122015 290234 1998388889 99979000 SUNGARD 000




10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


12102015 350436 2496888889 99957222 SUNGARD 000




12292015 300368 2996325000 99945611 SUNGARD 000

10062015 220125 155012799 99997500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



10062015 220124 559984987 99997500 SUNGARD 000

10062015 220132 44974699 99997500 SUNGARD 000


10302015 210106 199897334 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



Page 24


Contra Costa County

As Of Date 09302015





10092015 170027 76689134 99996000 SUNGARD -170

10092015 170024 89987250 99996000 SUNGARD -200

06172016 653172 393081509 99610000 SUNGARD 000





03012016 551533 174513403 99864889 SUNGARD 000


03212016 511311 198988449 99847111 SUNGARD 000



03212016 511311 393987154 99847111 SUNGARD 000

12212015 280196 394723500 99950500 SUNGARD 000

06172016 653172 198531040 99610000 SUNGARD 000



12152015 290292 2497482639 99954167 SUNGARD 000

12152015 320359 2497200000 99954167 SUNGARD 000

05162016 683473 198983778 99746667 SUNGARD 000


01282016 471076 2494288194 99914056 SUNGARD 000

10302015 180054 499850000 99985500 SUNGARD 000



12152015 340405 2497025000 99954167 SUNGARD 000


12162015 320313 2497555556 99953556 SUNGARD 000

10302015 180054 299910000 99985500 SUNGARD 000

10302015 180054 263920800 99985500 SUNGARD 000


02172016 541438 49867250 99876444 SUNGARD 000




02172016 541438 49867250 99876444 SUNGARD 000



Page 25


Contra Costa County

As Of Date 09302015





12152015 430000 2500000000 100069620 SUNGARD 000

12162015 420000 2500000000 100068399 SUNGARD 000

05262017 1150000 195000000 100000000 BOOK 000


05202016 730000 200000000 100218822 SUNGARD 000



05262016 730000 100700000 100224474 SUNGARD 000



12152015 390000 2500000000 100061182 SUNGARD 000

12152015 370000 2500000000 100056968 SUNGARD 000

12152015 360000 2500000000 100054858 SUNGARD 000



02022016 400000 50000000 100065730 SUNGARD 000




12222015 400000 50000000 100069078 SUNGARD 000

11132015 390000 1000000000 100035418 SUNGARD 000

11242015 310000 2500000000 100032057 SUNGARD 000


04212017 1070000 200000000 100000000 BOOK 000


10302015 370000 1500000000 100022484 SUNGARD 000




12212015 280196 199360350 99950500 SUNGARD 000


01042016 275204 2997777083 99931389 SUNGARD 000

328594 61192922725 99962242 -370

Subtotal 328043 61284800000 61261659931 56430381 12307195



Page 26


Contra Costa County

As Of Date 09302015





10132015 220000 25000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000

12282015 320000 2500000000 100054363 SUNGARD 000




10132015 220000 70000000 100004331 SUNGARD 000

10132015 220000 330000000 100004331 SUNGARD 000

10132015 220000 10000000 100004331 SUNGARD 000


12232015 280000 2500000000 100041980 SUNGARD 000




01082016 450000 2500000000 100066587 SUNGARD 000

01062016 390000 110000000 100048921 SUNGARD 000




01062016 390000 200000000 100048921 SUNGARD 000



12162015 390000 2500000000 100061994 SUNGARD 000

01062016 390000 430000000 100048921 SUNGARD 000


10132015 220000 12500000 100004331 SUNGARD 000


10132015 220000 20000000 100004331 SUNGARD 000

10132015 220000 140000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000


10132015 220000 800000000 100004331 SUNGARD 000




10132015 220000 30000000 100004331 SUNGARD 000



Page 27


Contra Costa County

As Of Date 09302015




01102017 433450 50000000 99974000 SUNGARD -13000



01082016 1429873 995245000 100000000 SUNGARD 000

1382208 1045245000 99998762 -13000

Subtotal 481820 1050000000 1049987000 1193357 4755000



01042016 320000 3000000000 100029316 SUNGARD 000

02262016 400000 3000000000 100078571 SUNGARD 000

01272016 300000 3000000000 100029729 SUNGARD 000


10132015 180000 130000000 100002888 SUNGARD 000




10132015 180000 370000000 100002888 SUNGARD 000


01252016 390000 2500000000 100058419 SUNGARD 000

10132015 180000 210000000 100002888 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000


01082016 250000 2500000000 100011103 SUNGARD 000




01152016 320000 2500000000 100032671 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000

10132015 180000 770000000 100002888 SUNGARD 000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000



Page 28


Contra Costa County

As Of Date 09302015




08152016 967967 98447795 100315000 SUNGARD 000




08152016 1018105 35432550 100315000 SUNGARD 000


05032018 1076001 17435425 99533000 SUNGARD -17150

01152017 945019 179712000 100183000 SUNGARD 000

01082016 1028965 499635000 100166000 SUNGARD 000



10052017 1545080 494450000 100124000 SUNGARD 000

12062018 1750063 636846084 101325000 SUNGARD 000

12152017 1510075 517962978 99821000 SUNGARD 000



02152017 1165961 13474890 100496000 SUNGARD 000




10252015 937036 509910000 100064000 SUNGARD -9590000

02152017 1203989 23914080 100496000 SUNGARD 000

01082016 1000000 500000000 100166000 SUNGARD 000


02092018 1579059 24465945 100812000 SUNGARD 000


12052017 1104000 10500000 99599000 SUNGARD -42105



09292016 900000 202500000 99373111 SUNGARD -1269450


900000 202500000 99373111 -1269450

Subtotal 900000 202500000 201230550 10125 000




Page 29


Contra Costa County

As Of Date 09302015





01152016 489343 160248340 100419000 SUNGARD -1586320

09192016 840060 157402875 101738000 SUNGARD -2252425

07202016 787164 160089150 100430000 SUNGARD -405450




01082016 475357 159796590 100166000 SUNGARD -532650

09152016 616979 159141840 101129000 SUNGARD -1380600

07222016 490189 159903875 101149000 SUNGARD -1605690


01302017 828281 159360655 100156000 SUNGARD -613395




01082016 475357 199996990 100166000 SUNGARD -666650

05222017 1200940 99106800 101057000 SUNGARD -576225




05052017 1067075 149920500 100385000 SUNGARD 000



01162018 1720116 495990000 99905000 SUNGARD 000

04212017 1005095 36994450 100393000 SUNGARD 000


09082017 1433868 80919810 100069000 SUNGARD 000


12052017 1250044 995751000 99599000 SUNGARD 000

01122018 1496870 21969860 100117000 SUNGARD 000

05182016 435141 159553320 100153000 SUNGARD -310050


11152017 1345000 35000000 100347000 SUNGARD 000




11212017 1151867 112910730 100643000 SUNGARD 000



Page 30


Contra Costa County

As Of Date 09302015





03022018 1372881 999770000 100091000 SUNGARD 000

03132018 1545883 12982580 99826000 SUNGARD -5200

08072019 1743001 11760300 115655000 SUNGARD -194800




03062018 1305000 156500000 100236000 SUNGARD 000

03062018 1305000 12500000 100236000 SUNGARD 000


05222018 1603145 159985600 99801000 SUNGARD -304000

05032018 1257267 992760000 99533000 SUNGARD 000

82554 CORP APPLE INC 037833AJ9 05122015 1000000 1000000000 995330000 4111111 2820000



05122017 934955 56461015 100192000 SUNGARD 000


07222016 490189 200263000 101149000 SUNGARD -2010960

09152016 616979 198927300 101129000 SUNGARD -1725750

05182016 435141 199692520 100153000 SUNGARD -388050


01152016 489343 200310425 100419000 SUNGARD -1982900

03022018 1365000 106500000 100091000 SUNGARD 000



07202016 787164 199859725 100430000 SUNGARD -506175


02062018 1228864 15951200 99758000 SUNGARD 000


82386 CORP IBM CORP 459200HZ7 02112015 1125000 500000000 498790000 859375 980000


02062018 1274939 497810000 99758000 SUNGARD 000


09192016 840060 196624575 101738000 SUNGARD -2813685

01302017 828281 199075140 100156000 SUNGARD -766260

02062018 1228864 187426600 99758000 SUNGARD 000




Page 31


Contra Costa County

As Of Date 09302015





05152019 1748923 199938947 101432000 SUNGARD 000


07192018 1927831 155839382 102595000 SUNGARD -69460


03012018 1769114 499500556 99773000 SUNGARD -305000


01152017 739645 155606050 100183000 SUNGARD -35650

07192018 1927831 199185436 102595000 SUNGARD -88780

02152019 1739996 199404755 110346000 SUNGARD -247710


02012019 1927457 198743020 101021000 SUNGARD -31360


06012019 1599996 154856333 109268000 SUNGARD 000


04252019 1710407 200128717 101608000 SUNGARD -157950




06152018 1655855 172470675 100729000 SUNGARD 000


06152018 1655855 12997790 100729000 SUNGARD 000


05222018 1603145 12498875 99801000 SUNGARD -23750


05152018 1658000 499908681 99381000 SUNGARD -2620000


07172017 1139621 9996800 100401000 SUNGARD 000


08072018 1435833 133761480 100529000 SUNGARD 000


07132018 1567156 499814583 100455000 SUNGARD 000


09082017 1252137 110346500 100069000 SUNGARD -270600


07132018 1579121 40965150 100455000 SUNGARD 000

Subtotal 1504454 15050700000 15124214321 53058340 41320219



Page 32


Contra Costa County

As Of Date 09302015





05242017 600000 333577 100000000 BOOK 000

600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000


10012015 000000 53722612 100000000 BOOK 000



10012015 000000 2809220 100000000 BOOK 000

Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


06102016 510490 244852020 99725917 SUNGARD -523524


510490 244852020 99725917 -523524

Subtotal 462200 245000000 244328496 77076 000



09112017 1430018 199678000 99839000 BOOK 000


04062017 1010000 215000000 100000000 BOOK 000

1212249 414678000 99922410 000

Subtotal 1185757 415000000 414678000 1184241 000


1256393 15127367242 100488445 -34126750


585858 184721498440 100198232 -130630560



Page 33

Page 34

SECTION III

APPENDIX



































TOTAL 19550500378 19562126005

Page 35

SECTION III

APPENDIX





Page 36













Page 37

Asset Class










Other 48977

--- 10000



Risk Metric Value

Cash 10787

MMFund 163929061


Duration 047

Convexity -0018

WAL 0686



Yield 0575

Book Yield 0521


Balance Sheet





1

Page 38


Rating 0 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5 - 7 7 - 10 10 - 15 15 - 30

AAA 57859 600 000 000 000 000 000 000 000

AA 18868 0565 000 000 000 000 000 000 000

A 14937 177 000 000 000 000 000 000 000

BBB 000 000 000 000 000 000 000 000 000

BB 000 000 000 000 000 000 000 000 000

B 000 000 000 000 000 000 000 000 000

CCC 000 000 000 000 000 000 000 000 000

CC 000 000 000 000 000 000 000 000 000

C 000 000 000 000 000 000 000 000 000

NA 000 000 000 000 000 000 000 000 000

Time To Maturity

Credit Rating

Duration


2

Page 39




3

Page 40



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0108 0106 0001

Year to Date 01012015 09302015 0406 0218 0188

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0125 0064 0061

Prior Year 01012014 12312014 0319 012 0199

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0487 0231 0256





4

Page 41








5

Page 42



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0094 0106 -0013

Year to Date 01012015 09302015 032 0218 0102

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0082 0064 0018

Prior Year 01012014 12312014 0203 012 0083

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0372 0231 0142





6

Page 43








7

Page 44


As of 06302015 09302015





Begin DateEnd Date

0701201509302015




Net Income 5064302



Begin DateEnd Date

0701201509302015





8

Page 45





BaseExpense












097023BC8 75000000 BOEING CO 375 11202016 11202016 000 000 -542232 703125 000 160893 01262015

CCYUSD 087 Cash 000 09302015 09302015 -1522403 000 000 000 -626822 -626822 ---



161571GJ7 77500000 CHAIT 2014-A1 A1 115 01152019 01152017 000 000 -15165 133688 000 118523 08072015


3136G1NQ8 000 FANNIE MAE 100 06192017 06192017 000 000 000 216667 000 216667 06112015

3136FPET0 100000000 FANNIE MAE 200 03102016 03102016 000 000 -419520 500000 000 80480 03262015














31679KAB6 23963868 FITAT 2014-2 A2A 045 04172017 12182015 000 -001 1129 36587 000 37716 06112014

3134G4TH1 000 FREDDIE MAC 030 07082015 07082015 000 000 -142 5833 000 5691 01132014

36164EAB1 40000000 GEET 2015-1 A2 089 11242017 08192016 000 000 562 89001 000 89563 03042015


43814GAB6 4552100 HAROT 2014-2 A2 039 09192016 10192015 000 000 022 542 000 564 05212014

43814GAB6 000 HAROT 2014-2 A2 039 09192016 10192015 000 000 195 6747 000 6943 05212014

43814KAB7 33500000 HAROT 2015-1 A2 070 06152017 02232016 000 000 245 58626 000 58871 01282015



41284AAB4 10809821 HDMOT 2014-1 A2A 049 04152018 01092016 000 001 254 16152 000 16407 04162014

41284BAB2 39974707 HDMOT 2015-1 A2A 080 01152019 03102016 000 -000 110 90035 000 90145 01282015

437076BJ0 75000000 HOME DEPOT INC 0707 09152017 09152017 000 000 000 23573 000 23573 09152015





47787VAB7 13340757 JDOT 2014-A A2 045 09152016 10232015 000 000 013 2501 000 2515 04092014

47787VAB7 000 JDOT 2014-A A2 045 09152016 10232015 000 000 207 20737 000 20944 04092014

47787WAB5 40000000 JDOT 2015-B A2 098 06152018 10282016 000 000 048 23956 000 24004 09092015


9

Page 46





BaseExpense





58768EAC3 1563282 MBALT 2014-A A2A 048 06152016 10152015 000 000 096 15691 000 15787 04092014


65477WAB2 60250859 NAROT 2014-B A2 060 06152017 01292016 000 -000 1039 104725 000 105764 12102014






70659PAE1 75000000 PENAR 2013-1A A1 0603 11182017 11182015 000 000 000 112085 000 112085 11212013

69349LAH1 75000000 PNC BANK NA 080 01282016 12282015 000 000 -67860 150000 000 82140 04302015










89236WAB4 60000000 TAOT 2015-A A2 071 07172017 02172016 000 000 106 106500 000 106606 03042015







912828B82 100000000 US TREASURY NB 025 02292016 02292016 000 000 47512 62731 000 110244 03202014

912828QX1 000 US TREASURY NB 150 07312016 07312016 000 000 -90103 128385 000 38283 11062014

912828QX1 100000000 US TREASURY NB 150 07312016 07312016 000 000 -177299 248641 000 71342 11062014

912828VL1 000 US TREASURY NB 0625 07152016 07152016 000 000 -11004 25870 000 14865 06012015

912828VL1 100000000 US TREASURY NB 0625 07152016 07152016 000 000 -56488 130774 000 74286 06012015

912828RF9 100000000 US TREASURY NB 100 08312016 08312016 000 000 -46350 82418 000 36067 10312014

912828RF9 000 US TREASURY NB 100 08312016 08312016 000 000 -95791 168508 000 72718 10312014

912828WQ9 100000000 US TREASURY NB 050 06302016 06302016 000 000 -10338 125000 000 114662 07012014

912828WQ9 000 US TREASURY NB 050 06302016 06302016 000 000 000 000 000 000 07012014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -422216 502702 000 80486 07312014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -418363 502702 000 84339 12312014

90290KAB1 000 USAOT 2014-1 A2 038 10172016 08152015 000 000 033 2694 000 2728 02282014

90290XAB3 48000000 USAOT 2015-1 A2 082 03152018 06152016 000 000 355 69925 000 70280 07292015

92867GAC7 000 VALET 2012-1 A3 085 08222016 08202015 000 000 -530 1301 000 771 10082013



--- 4418795242 --- --- 08242016 05272016 -1522403 000 -5643946 11335070 -626822 5064302 ---


10

Page 47



11

Page 48

CE

ST


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



000000

163929061163929061

000 100 000 163929061 163929061


0320176

3497480034985378

7529 9998 000 34992907 34992907


000000

1070010700

000 100 000 10700 10700


000000

087087

000 100 000 087 087

--- --- 198939848 --- AAA --- 1008201510082015

00560031

198914648198925226

7529 --- 000 198932755 198932755


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0440145

9963281399922018

124882 100046 21291 100046900 100068191


03450288

4999231949996159

20291 100032 92583 50016450 50109033


04570676

2054448520506239

-5665 100002 53813 20500574 20554386


04070676

5009100050018360

-16960 100002 131250 50001400 50132650


03260316

101596000100734160

22040 100756 116667 100756200 100872867


02540173

9974722299911805

27895 9994 000 99939700 99939700


06780491

7538400075045419

31906 100103 156586 75077325 75233911


04340493

2520400025027380

-8580 100075 76389 25018800 25095189


0510252

1623903816269182

16686 99913 000 16285868 16285868


04510252

7682552476970779

62375 99913 000 77033154 77033154


0450824

100000000100000000

-300000 9970 118750 99700000 99818750


03515319

7960500075000000

000 10000 2021250 75000000 77021250


0380158

9986800099972520

72780 100045 56389 100045300 100101689


04390516

7517850075064909

-13984 100067 105000 75050925 75155925


0611258

2911417528777256

961 100976 54625 28778217 28832842


05381258

3070590030301438

-8578 100976 57500 30292860 30350360


03820096

9978800099987783

26817 100015 102083 100014600 100116683


06620749

7663200075712709

-60884 100869 106667 75651825 75758492


06440534

7687500076018727

-57677 101281 301875 75961050 76262925


12

Page 49


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



02630231

9998700099995919

11581 100007 47222 100007500 100054722


0440404

9998000099981639

43061 100024 35000 100024700 100059700


04820796

15632411563281

-208 99986 333 1563073 1563406


0680185

3000000030000000

49200 100164 32867 30049200 30082067


0680185

4900000049000000

80360 100164 53682 49080360 49134042


1000793

7500000075000000

89250 100119 312500 75089250 75401750


04340339

101839844100883590

69510 100953 252717 100953100 101205817


07310525

7500000075000000

128250 100171 91375 75128250 75219625


04860231

4000000040000000

25200 100063 48600 40025200 40073800


0500431

103068800101117132

63568 101181 655208 101180700 101835908


03630386

5000000050000000

-3500 99993 1513 49996500 49998013


03991136

45517444552052

-1723 99961 641 4550329 4550970


06340413

2500000025000000

34250 100137 59878 25034250 25094128


05573152

5000000050000000

-768600 98463 28980 49231400 49260380


03560322

100300781100211280

25720 100237 132473 100237000 100369473


0300176

3493670834986292

6615 9998 000 34992907 34992907


0416000

5004150050041386

-3286 100076 2083 50038100 50040183


03150138

102519531100559896

72904 100633 336957 100632800 100969757


03350138

101800781100554786

78014 100633 336957 100632800 100969757


0643067

7938557578404246

-20126 10114 264792 78384120 78648912


13010992

1244687512466000

34875 100007 10417 12500875 12511292


04410206

9982000099960138

42262 100002 20417 100002400 100022817


0520206

1993360019985090

15390 100002 4083 20000480 20004563


04320372

101035156100517578

41022 100558 85165 100558600 100643765


04590271

100082031100030677

141223 100171 126358 100171900 100298259


04540804

1334023613340717

-2948 99977 2668 13337769 13340437


0860765

7627500075376462

25463 100535 411667 75401925 75813592

--- --- 2955856139 --- AA+ --- 0403201603252016

04770563

29799313792963765007

211629 --- 6927270 2963976636 2970903906


13

Page 50

LT

Summary


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0640459

3000000030000000

53700 100179 96000 30053700 30149700


05020576

4512060045102743

-84203 100041 49840 45018540 45068380


06050576

3000000030000000

12360 100041 33226 30012360 30045586


05670213

100100000100003662

13538 100017 310806 100017200 100328006


0712069

5999943059999657

1543 100002 18933 60001200 60020133


0602081

7500000075000000

-326325 99564 19775 74673675 74693450


07930927

5000000050000000

-99000 99802 51953 49901000 49952953


05950768

7500000075000000

-304875 99594 97667 74695125 74792792


07070726

3349825133498972

-2959 99988 10422 33496014 33506436


12581164

2500000025000000

40500 100162 52417 25040500 25092917


05950699

7500000075000000

-9900 99987 16326 74990100 75006426


08020807

3997438339974499

-5229 99986 14213 39969270 39983483


08560858

7764531377630148

102197 10030 39611 77732345 77771956


04630617

2396123523963281

-7944 99964 4793 23955337 23960130


07930938

2500000025000000

-63825 99744 12490 24936175 24948665


04840457

100213000100160805

-13205 100147 222222 100147600 100369822


09920938

3999865239998700

14939 100034 23956 40013640 40037596


08490764

7891350077451831

105294 103409 1023438 77557125 78580563


08280693

4799821447998569

99063 100203 17493 48097632 48115125


0788077

5000000050000000

550 100001 7549 50000550 50008099


04970718

1080908910809602

-6602 99936 2354 10803000 10805354


06080785

6024762460249350

-35545 99939 16067 60213804 60229871


07070623

7500000075000000

116625 100156 23573 75116625 75140198


09030755

3999570039997074

44005 100102 7911 40041080 40048991

--- --- 1263999255 --- AA --- 0910201711282016

06970689

12684749911266838894

-355297 --- 2173035 1266483597 1268656633


14

Page 51



BookYieldYield



Loss

MarketPrice

Base AccruedBalance


--- --- 4418795242 --- AA+ --- 0824201605272016

05210575

44473210184429529127

-136139 --- 9100306 4429392988 4438493293


15

Page 52

Does not Lock Down

Principal Paydown

Buy



CouponRate

FinalMaturity





BaseCommission

Base Amount

0915201509152015


045 04172017 Direct 000-5648497

--- 000-5648497

000 -000 000 5648497

0815201508152015


045 04172017 Direct 000-6011247

--- 000-6011247

000 -000 000 6011247

0715201507152015


045 04172017 Direct 000-6263285

--- 000-6263285

000 -000 000 6263285

0815201508152015


049 04152018 Direct 000-1726557

--- 000-1726557

000 000 000 1726557

0715201507152015


049 04152018 Direct 000-1703805

--- 000-1703805

000 000 000 1703805

0915201509152015


049 04152018 Direct 000-1540700

--- 000-1540700

000 000 000 1540700

0815201508152015


080 01152019 Direct 000-3595039

--- 000-3595039

000 000 000 3595039

0715201507152015


080 01152019 Direct 000-3002000

--- 000-3002000

000 -000 000 3002000

0915201509152015


080 01152019 Direct 000-3428254

--- 000-3428254

000 -000 000 3428254

0918201509182015


039 09192016 Direct 000-1811448

--- 000-1811448

000 -000 000 1811448

0818201508182015


039 09192016 Direct 000-1906504

--- 000-1906504

000 000 000 1906504

0718201507182015


039 09192016 Direct 000-2005503

--- 000-2005503

000 000 000 2005503

0715201507152015


045 09152016 Direct 000-4752217

--- 000-4752217

000 000 000 4752217

0815201508152015


045 09152016 Direct 000-5933214

--- 000-5933214

000 000 000 5933214

0915201509152015


045 09152016 Direct 000-4469878

--- 000-4469878

000 -000 000 4469878

0915201509152015


048 06152016 Direct 000-7784949

--- 000-7784949

000 -000 000 7784949

0815201508152015


048 06152016 Direct 000-7842966

--- 000-7842967

000 000 000 7842967

0715201507152015


048 06152016 Direct 000-8213508

--- 000-8213508

000 000 000 8213508

0815201508152015


060 06152017 Direct 000-7684473

--- 000-7684473

000 -000 000 7684473

0915201509152015


060 06152017 Direct 000-7064668

--- 000-7064668

000 000 000 7064668

0715201507152015


038 10172016 Direct 000-6260991

--- 000-6260991

000 -000 000 6260991

0815201508152015


038 10172016 Direct 000-3808377

--- 000-3808377

000 000 000 3808377

0720201507202015


085 08222016 Direct 000-2084026

--- 000-2084026

000 -000 000 2084026

0820201508202015


085 08222016 Direct 000-315887

--- 000-315887

000 000 000 315887

------


--- --- Direct 000-104857994

--- 000-104857994

000 000 000 104857994


16

Page 53



CouponRate

FinalMaturity





BaseCommission

Base Amount

0921201509242015


0776 09202017 Deutsche Bank 5000000050000000

10000 00050000000

000 000 000 -50000000

0804201508072015



100188 00077645313

54465 000 000 -77699778

0930201509302015


050 09282016 APX Asset 5000000050000000

100083 00050041500

1389 000 000 -50042889

0827201509012015



100000000100000000

9998 00099980000

000 000 000 -99980000

0908201509152015


0707 09152017 Bank of America 7500000075000000

10000 00075000000

000 000 000 -75000000

0901201509092015


098 06152018 Dain Rauscher 4000000040000000

99997 00039998652

000 000 000 -39998652

0827201508282015



99928 00034974800

000 000 000 -34974800

0827201508282015



10000 00050000000

000 000 000 -50000000

0721201507292015


082 03152018 Dain Rauscher 4800000048000000

99996 00047998214

000 000 000 -47998214

0701201507012015


005 09302015 Direct 103898103898

100 103898103898

000 000 000 -103898

0708201507082015


005 09302015 Direct 100315648100315648

100 100315648100315648

000 000 000 -100315648

0715201507152015


005 09302015 Direct 47810824781082

100 47810824781082

000 000 000 -4781082

0715201507152015


005 09302015 Direct 2211138522111385

100 2211138522111385

000 000 000 -22111385

0715201507152015


005 09302015 Direct 47629034762903

100 47629034762903

000 000 000 -4762903

0713201507132015


005 09302015 Direct 109181109181

100 109181109181

000 000 000 -109181

0720201507202015


005 09302015 Direct 40945704094570

100 40945704094570

000 000 000 -4094570

0720201507202015


005 09302015 Direct 3833338333

100 3833338333

000 000 000 -38333

0724201507242015


005 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0723201507232015


005 09302015 Direct 125000125000

100 125000125000

000 000 000 -125000

0721201507212015


005 09302015 Direct 145000145000

100 145000145000

000 000 000 -145000

0728201507282015


005 09302015 Direct 11625001162500

100 11625001162500

000 000 000 -1162500

0727201507272015


005 09302015 Direct 109389109389

100 109389109389

000 000 000 -109389

0731201507312015


005 09302015 Direct 27500002750000

100 27500002750000

000 000 000 -2750000

0803201508032015


006 09302015 Direct 125606125606

100 125606125606

000 000 000 -125606

0803201508032015


006 09302015 Direct 7658631276586312

100 7658631276586312

000 000 000 -76586312

0817201508172015


006 09302015 Direct 5513255132

100 5513255132

000 000 000 -55132

0817201508172015


006 09302015 Direct 2900316329003163

100 2900316329003163

000 000 000 -29003163

0814201508142015


006 09302015 Direct 9519495194

100 9519495194

000 000 000 -95194

0820201508202015


006 09302015 Direct 390154390154

100 390154390154

000 000 000 -390154


17

Page 54

Sell



CouponRate

FinalMaturity





BaseCommission

Base Amount

0820201508202015


006 09302015 Direct 224224

100 224224

000 000 000 -224

0820201508202015


006 09302015 Direct 12061206

100 12061206

000 000 000 -1206

0819201508192015


006 09302015 Direct 6750000067500000

100 6750000067500000

000 000 000 -67500000

0819201508192015


006 09302015 Direct 9427194271

100 9427194271

000 000 000 -94271

0818201508182015


006 09302015 Direct 77219737721973

100 77219737721973

000 000 000 -7721973

0818201508182015


006 09302015 Direct 3492134921

100 3492134921

000 000 000 -34921

0818201508182015


006 09302015 Direct 19091921909192

100 19091921909192

000 000 000 -1909192

0825201508252015


006 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0824201508242015


006 09302015 Direct 6300063000

100 6300063000

000 000 000 -63000

0831201508312015


006 09302015 Direct 625000625000

100 625000625000

000 000 000 -625000

0910201509102015


008 09302015 Direct 12100001210000

100 12100001210000

000 000 000 -1210000

0908201509082015


008 09302015 Direct 866615866615

100 866615866615

000 000 000 -866615

0911201509112015


008 09302015 Direct 421162421162

100 421162421162

000 000 000 -421162

0911201509112015


008 09302015 Direct 2243022430

100 2243022430

000 000 000 -22430

0918201509182015


008 09302015 Direct 18135161813516

100 18135161813516

000 000 000 -1813516

0918201509182015


008 09302015 Direct 3807838078

100 3807838078

000 000 000 -38078

0916201509162015


008 09302015 Direct 6830068300

100 6830068300

000 000 000 -68300

0915201509152015


008 09302015 Direct 1124587911245879

100 1124587911245879

000 000 000 -11245879

0915201509152015


008 09302015 Direct 44765574476557

100 44765574476557

000 000 000 -4476557

0915201509152015


008 09302015 Direct 1673996916739969

100 1673996916739969

000 000 000 -16739969

0921201509212015


008 09302015 Direct 9958549499585494

100 9958549499585494

000 000 000 -99585494

0921201509212015


008 09302015 Direct 250000250000

100 250000250000

000 000 000 -250000

0928201509282015


008 09302015 Direct 1584415844

100 1584415844

000 000 000 -15844

------

Buy ------

--- --- --- 987127415987127415

--- 461627415987265894

55854 000 000 -987321748



CouponRate

FinalMaturity





BaseCommission

Base Amount

0919201509192015


100 06192017 Not Provided -100000000-100000000

10000 000-100000000

-250000 000 000 100250000

0720201507202015


005 09302015 Direct -633478-633478

100 -633478-633478

000 000 000 633478

0729201507292015


005 09302015 Direct -47998214-47998214

100 -47998214-47998214

000 000 000 47998214


18

Page 55

Maturity

Summary






CouponRate

FinalMaturity





BaseCommission

Base Amount

0807201508072015


006 09302015 Direct -77699778-77699778

100 -77699778-77699778

000 000 000 77699778

0810201508102015


006 09302015 Direct -1522403-1522403

100 -1522403-1522403

000 000 000 1522403

0828201508282015


006 09302015 Direct -84974800-84974800

100 -84974800-84974800

000 000 000 84974800

0901201509012015


008 09302015 Direct -89883832-89883832

100 -89883832-89883832

000 000 000 89883832

0909201509092015


008 09302015 Direct -39998652-39998652

100 -39998652-39998652

000 000 000 39998652

0924201509242015


008 09302015 Direct -49970333-49970333

100 -49970333-49970333

000 000 000 49970333

0930201509302015


008 09302015 Direct -50042889-50042889

100 -50042889-50042889

000 000 000 50042889

------

Sell ------

--- --- --- -542724379-542724379

--- -442724379-542724379

-250000 000 000 542974379



CouponRate

FinalMaturity





BaseCommission

Base Amount

0901201509012015


0553 09012015 Maturity -10000000-10000000

10000 000-10000000

000 000 000 10000000

0915201509152015


275 09152015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0708201507082015


030 07082015 Maturity -100000000-100000000

10000 000-100000000

000 000 000 100000000

0801201508012015


0297 08012015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0819201508192015


0546 08192015 Maturity -37500000-37500000

10000 000-37500000

000 000 000 37500000

0819201508192015


0546 08192015 Maturity -30000000-30000000

10000 000-30000000

000 000 000 30000000

------

Maturity ------

--- --- Maturity -327500000-327500000

10000 000-327500000

000 000 000 327500000



CouponRate

FinalMaturity





BaseCommission

Base Amount

------

--- ------

--- --- --- 11690303612045042

--- 1890303612183521

-194146 000 000 -11989375


19

Page 56

Does not Lock Down

Receivable

Settled


















08042015 08072015 Buy 77500000 161571GJ7 CHAIT 2014-A1 A1 115 01152019 100188 -77699778



















07232015 07232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

09232015 09232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

08232015 08232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667









20

Page 57



























09012015 09092015 Buy 40000000 47787WAB5 JDOT 2015-B A2 098 06152018 99997 -39998652



























21

Page 58













07212015 07292015 Buy 48000000 90290XAB3 USAOT 2015-1 A2 082 03152018 99996 -47998214









































22

Page 59

Summary






































--- --- --- 12045042 --- --- --- --- --- -6699



--- --- --- 12045042 --- --- --- --- --- 3915


23

Page 60

Does not Lock Down

Receivable

Settled
















































24

Page 61

Summary





















25

Page 62




Redemptions






GainLoss




41898878000

000000

-17923029 000 1129 -3585 -001 -13263 000 23960130


50058628000

000000

-10025293 000 110 -3565 -000 -46397 000 39983483


74988125000

000000

-14749141 000 1039 -3933 -000 -6219 000 60229871


145026025461627415

-442724379000

000 000 000 000 000 000 000 163929061


100138260000

000000

000 000 47512 -62269 000 -55312 000 100068191

3136G1NQ8FANNIE MAE

100162633000

-100000000000

000 000 000 -33333 000 -129300 000 000


50056533000

000000

000 000 1931 41250 000 9319 000 50109033


75376481000

000000

000 000 -42208 3680 000 -104042 000 75233911


25057089000

000000

000 000 -35478 62500 000 11078 000 25095189


30022800000

000000

000 000 000 48000 000 78900 000 30149700


76885875000

000000

000 000 -947785 1010625 000 72535 000 77021250


44989417000

000000

000 000 -11570 2237 000 88295 000 45068380


29992945000

000000

000 000 000 1491 000 51150 000 30045586


29215583000

000000

000 000 -161440 -204844 000 -16457 000 28832842


30753245000

000000

000 000 -175521 -215625 000 -11739 000 30350360


50063217000

000000

000 000 000 2287 000 -112550 000 49952953


100067783000

000000

000 000 33058 62500 000 -46658 000 100116683


75187934000

000000

000 000 000 2883 000 -398025 000 74792792


76827617000

000000

000 000 -475139 -600000 000 6014 000 75758492

43814KAB7HAROT 2015-1 A2

33501377000

000000

000 000 245 000 000 4813 000 33506436


00099980000

000000

000 000 1639 35000 000 43061 000 100059700


75113794000

000-75000000

000 000 000 -107044 000 -6750 000 000


75047598000

000000

000 000 000 753 000 -41925 000 75006426

161571GJ7CHAIT 2014-A1 A1

00077645313

000000

000 000 -15165 39611 000 102197 000 77771956


75100250000

000000

000 000 000 187500 000 114000 000 75401750


101844491000

000000

000 000 -267402 -372973 000 1702 000 101205817


75367200000

000000

000 000 000 -237575 000 90000 000 75219625


00050000000

000000

000 000 000 1513 000 -3500 000 49998013


100126572000

000000

000 000 -35308 156250 000 122308 000 100369822


26

Page 63




Redemptions






GainLoss



097023BC8BOEING CO

78296763000

000000

000 000 -542232 703125 000 122907 000 78580563

90290XAB3USAOT 2015-1 A2

00047998214

000000

000 000 355 17493 000 99063 000 48115125


30023663000

000-30000000

000 000 -7090 -19583 000 3010 000 000


37529579000

000-37500000

000 000 000 -24479 000 -5100 000 000


49985300000

000000

000 000 000 3880 000 -728800 000 49260380


100561729000

000000

000 000 -67492 -155855 000 31092 000 100369473


00034974800

000000

000 000 10578 000 000 7529 000 34992907


34966244000

000000

000 000 26833 000 000 -172 000 34992907

CCYUSDReceivable

6698000

000000

000 000 000 000 000 000 4002 10700

CCYUSDCash

088000

000000

000 000 000 000 000 000 -001 087

CCYUSDPayable

000000

000000

000 000 000 000 000 000 000 000


00050041500

000000

000 000 -114 2083 000 -3286 000 50040183


12498486000

000000

000 000 9310 -22569 000 26065 000 12511292

36164EAB1GEET 2015-1 A2

40033871000

000000

000 000 562 000 000 14558 000 40048991


101053039000

000000

000 000 -142141 -249074 000 -18059 000 100643765


100165459000

000000

000 000 -10338 125000 000 18138 000 100298259


76494217000

000000

000 000 -326741 -487500 000 133616 000 75813592


20535773000

000000

000 000 -12478 35875 000 -4784 000 20554386


50087250000

000000

000 000 -36719 87500 000 -5381 000 50132650

3136FPET0FANNIE MAE

101794467000

000000

000 000 -419520 -500000 000 -2080 000 100872867


99908700000

000000

000 000 63889 000 000 -32889 000 99939700


76867003000

000000

000 000 86776 000 000 79375 000 77033154


16250741000

000000

000 000 20696 000 000 14431 000 16285868


100006250000

000000

000 000 000 112500 000 -300000 000 99818750


100151989000

000000

000 000 22572 -72500 000 -372 000 100101689


75360600000

000000

000 000 -67860 -150000 000 13185 000 75155925


100156006000

000000

000 000 -25915 167500 000 30415 000 100328006

89236WAB4TAOT 2015-A A2

59989773000

000000

000 000 106 000 000 30254 000 60020133


75148560000

000000

000 000 000 2390 000 -457500 000 74693450


27

Page 64




Redemptions






GainLoss




77069775000

000000

000 000 -311372 -431250 000 -64228 000 76262925


10018733000

000-10000000

000 000 000 -18433 000 -300 000 000


100125422000

000000

000 000 3322 -62500 000 -11522 000 100054722


25084493000

000000

000 000 000 -30576 000 39000 000 25092917


30139300000

000000

000 000 000 -62333 000 5100 000 30082067


49227523000

000000

000 000 000 -101811 000 8330 000 49134042


100148867000

000-100000000

000 000 -142 -144167 000 -4558 000 000


25022566000

000000

000 000 000 -676 000 -73225 000 24948665


40100000000

000000

000 000 000 -48600 000 22400 000 40073800


101747358000

000000

000 000 -406230 531250 000 -36470 000 101835908


25035503000

000000

000 000 000 39625 000 19000 000 25094128

47787WAB5JDOT 2015-B A2

00039998652

000000

000 000 048 23956 000 14939 000 40037596


00050000000

000000

000 000 000 7549 000 550 000 50008099


75897542000

000-75000000

000 000 -350511 -607292 000 60261 000 000


00075000000

000000

000 000 000 23573 000 116625 000 75140198


101896754000

000000

000 000 -422216 -497298 000 -7484 000 100969757


101896754000

000000

000 000 -418363 -497298 000 -11337 000 100969757


100071817000

000000

000 000 22779 -87500 000 15721 000 100022817


20014363000

000000

000 000 8520 -17500 000 -820 000 20004563


79187459000

000000

000 000 -272756 -397188 000 131396 000 78648912


25410507000

000000

-23841424 000 096 -5086 000 -687 000 1563406

47787VAB7JDOT 2014-A A2

28501338000

000000

-15155309 000 221 -3031 000 -2782 000 13340437

90290KAB1USAOT 2014-1 A2

10070313000

000000

-10069368 000 033 -1701 000 722 000 000

92867GAC7VALET 2012-1 A3

2401150000

000000

-2399913 000 -530 -623 000 -084 000 000

43814GAB6HAROT 2014-2 A2

10272974000

000000

-5723455 000 218 -806 000 2040 000 4550970


15784776000

000000

-4971062 000 254 -1083 001 -7533 000 10805354

------

4435867885987265894

-542724379-327500000

-104857994 000 -5643946 -3001677 000 -916491 4001 4438493293


28

Page 65



29

Page 66





50 Basis PointShock










097023BC8 BOEING CO CORP 77557125 0849 0764 1111 78215474 78215474 77987972 77126313 76695535 75834085


161571GJ7 CHAIT 2014-A1 A1 ABS 77732345 0856 0858 1289 78592101 78592101 78233352 77231382 76730464 75728763














31679KAB6 FITAT 2014-2 A2A ABS 23955337 0463 0617 0217 23987412 23987412 23981330 23929347 23903357 23851381

36164EAB1 GEET 2015-1 A2 ABS 40041080 0903 0755 000 40041080 40041080 40041080 40041080 40041080 40041080


41284AAB4 HDMOT 2014-1 A2A ABS 10803000 0497 0718 0277 10824486 10824486 10817962 10788038 10773077 10743155

41284BAB2 HDMOT 2015-1 A2A ABS 39969270 0802 0807 0698 40194154 40194154 40108664 39829678 39689889 39409716



43814GAB6 HAROT 2014-2 A2 ABS 4550329 0399 1136 0054 4553121 4552786 4551558 4549101 4547872 4545415

43814KAB7 HAROT 2015-1 A2 ABS 33496014 0707 0726 0399 33593046 33593046 33562840 33429191 33362371 33228742


93319022 0462 0252 0377 93407680 93407680 93407680 93143119 92967223 92615453


99700000 045 0824 0801 100358078 100358078 100099311 99300714 98901453 98103005


47787VAB7 JDOT 2014-A A2 ABS 13337769 0454 0804 0065 13344739 13344739 13342104 13333434 13329099 13320430

47787WAB5 JDOT 2015-B A2 ABS 40013640 0992 0938 1066 40413771 40413771 40226922 39800376 39587131 39160693


58768EAC3 MBALT 2014-A A2A ABS 1563073 0482 0796 0044 1563620 1563620 1563417 1562729 1562385 1561697


65477WAB2 NAROT 2014-B A2 ABS 60213804 0608 0785 033 60369794 60369794 60313160 60114454 60015108 59816429





70659PAE1 PENAR 2013-1A A1 ABS 74990100 0595 0699 0053 75017882 75017882 75009972 74970228 74950355 74910610




30

Page 67







50 Basis PointShock







89236WAB4 TAOT 2015-A A2 ABS 60001200 0712 069 0382 60159357 60159357 60115805 59886600 59772007 59542839

90290XAB3 USAOT 2015-1 A2 ABS 48097632 0828 0693 1504 48598976 48598976 48459345 47735956 47374318 46651153












CCYUSD Cash CASH 087 000 000 000 087 087 087 087 087 087

--- --- --- 4429392988 0521 0575 047 4440207556 4440012694 4437618810 4418979071 4408563561 4387727762


31

Page 68



32

Page 69


CONTRA COSTA COUNTY


ShareAmount

201-000004-10Average

Cost NAV

Average

Cost Amount

Realized

GainLoss


08312015 BALANCE FORWARD 14828923123 1002 14858580969 1002517967 14866261865


09302015 ENDING BALANCE 14828923123 1002 14866261865 14858580969










Phone 8007733863

Fax 252-972-1908


CONTRA COSTA COUNTY

CONTRA COSTA COUNTY

ATTN BELINDA ZHU

625 COURT STREET

ROOM 102


Page 1 of 1

Page 70


September 30 2015

CalTrust

Short Term

LAIF



Yield 034052





CalTrust

Short Term

Total Return

CalTrust

Short Term

Yield Return

LAIF Yield

Return

010 003004One Month


021 016024Six Month

041 029045One Year

043 027042Two Year


044 032044Five Year

181 172178Ten Year


Annualized


Total 1000



Total 1000









the month




Page 71




Page 72


Page 73



Page 74

SECTION III

APPENDIX




September 30 2015

FY 2015-2016


NUMBER 063015 072115 093015

100300 237517555 (14241865) 223275690

TOTALS 237517555 -14241865 000 000 000 000 000 223275690


Page 75

EXHIBITS










TOTAL $236548791215 10000



Less 1 yr $176302182693 7453

1 to 2 yrs 30507848304 12902 to 3 yrs 22479209821 950

3 to 4 yrs 6746274707 2854+ yrs 513275690 022

TOTAL $236548791215 10000


US Treasuries123


Money Market4697

ABSMBS019




Other 824

Cash548


Less 1 yr7453


9503 to 4 yrs285

4+ yrs022


Exhibit II





($) () () (day) (year)




2 Other



C Cash $12964473527 549 03500 4 1 NA








WEIGHTED

Exhibit III








5 Corporate Notes 16100700000 13527200000 2573500000 1902

TOTAL 184533165409 219726365409 (35193200000) -1602




Subtotal 19500651901 19504260129 (3608228) -002

TOTAL 39051152279 40698368474 (1647216195) -405

C Cash 12964473527 29335994238 (16371520711) -5581






Exhibit IV

Quarter Ending

















Exhibit IV (a)

Quarter Ending














Exhibit IV (b)

000

050

100

150

200

250

300

350

400

450

500

550



Exhibit IV (c)

-200

-100

000

100

200

300

400

500

600

700

93015 32816 92416 32317 91917 31818 91418 31319 9919 3720 9320

Yie

ld t

o M

atu

rity

Maturity Dates


CountyTreasurer

Wells CapitalMgmt







Risk Assessment



Exhibit IV (d)



DATE YTM ()









Exhibit V









Total $246365406496 10000




Exhibit V (a)




93015 Ave Maturity






Rate Yield





Six Month LIBOR 05340 05545 05051 04445



Exhibit V (b)

00000

10000

20000

30000

40000

50000

60000



Treasurer

LAIF

Wells CapitalMgmt

CalTRUST

Exhibit VI













Total $5372100000

Fund







Exhibit VI (a)






























































Exhibit VI (a)
















































TOTAL 51134346284 51034580657 51239469518


Exhibit VI (b)



Total $1575955394 $1579235118 $1577862697


September 30 2015







TREASURY 2350$ 950$ 1750$ 850$ 800$ 4150$ 500$ 5700$ 6200$ 10900$ 500$

REPO

TDs 1770$ 1058$ 1538$ 522$ 430$ 311$

AGENCY 903$ 250$ 750$ 950$ 1030$ 1350$ 1725$ 1700$ 505$ 577$ 781$

CP 1400$ 650$ 375$ 50$ 150$ 200$

CDs + BNs 5900$ 1500$ 2625$ 1250$ 400$ 600$ 500$ 500$ 200$

CORP BND TOTAL

67100$ 12323$ 4408$ 7038$ 3622$ 2810$ 6611$ 2725$ 7900$ 6905$ 11477$ 1281$

PERCENT 184 66 105 54 42 99 41 118 103 171 19 00 00















TOTAL 6649401194538$ $ 6651219520504 $ 6655174641252 3940591830$















1 Structured Notes



Structured Notes

















Exhibit VIII






(bps) ($) ($) (bps)

‐50 185664633657 100613 4139

‐25 185280659319 100405 2064

‐10 185051371991 100281 826

0 184898968418 100198 000

10 184746927139 100116 ‐821

25 184519541875 99993 ‐2048

50 184142360805 99788 ‐4094









Exhibit IX



















Total $722500000 $745685162






Table of Contents







Exhibits




























US Treasuries124


Local2286

Money Market4689

ABSMBS019

Corporate Notes683


826


825

Cash548


7453

1290950

285 022$0

$200000000

$400000000

$600000000

$800000000

$1000000000

$1200000000

$1400000000

$1600000000

$1800000000

$2000000000



AAA063

AA+2579

AA1629

AA‐199A+

120A103

A‐040

A‐1+403

A‐14284

NR (CASH)548

NR (Misc)031


05480586

0330

0575

0520

0350

000

010

020

030

040

050

060

070




000

010

020

030

040

050

060

1212 313 613 913 1213 314 614 914 1214 315 615 915


YTM


School Dist3833


1486


620



Page 3




0

1

2

3

4

5

6

7

0996 0999 0902 0905 0908 0911 0914

Percentage



‐10

‐8

‐6

‐4

‐2

0

2

4

6

8

10

123115123112123109123106123103123100123197

Percentage


GDP QoQ Change

‐3

‐2

‐1

0

1

2

3

4

5

6

123115083113043011123108083106043004123101083199043097

Percentage



0

2

4

6

8

10

12


Percentage

UNEMPLOYMENT RATE

Unemployment Rate

Page 4

SECTION III

APPENDIX



Contra Costa County

As Of Date 09302015




Subtotal 983462 8189300000 8233436042 9158886 30409599

862858 8208097931 100538948 -5046210


Subtotal 240000 24900000 24872154 28884 2532

240573 24840738 99888169 000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690


Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796


Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890


Subtotal 1021082 2916000000 2932452140 6759174 8684053

911013 2925760026 100564202 -846221





Contra Costa County

As Of Date 09302015




Subtotal 328043 61284800000 61261659931 56430381 12307195

328594 61192922725 99962242 -370


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


Subtotal 1042646 317000000 316972369 142084 000

1046859 316972369 99991284 000


Subtotal 148207 599700000 599636986 443798 78864

148407 599114324 99989492 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


Subtotal 2133314 722500000 745685162 4095807 000

1186443 745685162 103209019 000




Page 6


Contra Costa County

As Of Date 09302015




Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


Subtotal 462200 245000000 244328496 77076 000

510490 244852020 99725917 -523524


Subtotal 1185757 415000000 414678000 1184241 000

1212249 414678000 99922410 000


1256393 15127367242 100488445 -34126750

Subtotal 1504454 15050700000 15124214321 53058340 41320219


Subtotal 900000 202500000 201230550 10125 000

900000 202500000 99373111 -1269450


Subtotal 481820 1050000000 1049987000 1193357 4755000

1382208 1045245000 99998762 -13000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000




Page 7


Contra Costa County

As Of Date 09302015




600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000



585858 184721498440 100198232 -130630560



Page 8


Contra Costa County

As Of Date 09302015





TIME DEPOSIT 334 334 334 10000 000 060

MBSABS 459500 460215 460215 10000 000 105

CORPORATE NOTES 16100700 16172612 16174201 10001 11935 126

NCDYCD 49775700 49775230 49796227 10004 20997 037


MUNICIPALS 722500 745685 745685 10000 000 119

US AGENCIES 53217100 53392208 53471663 10015 82468 085

US TREASURIES 2916000 2925760 2932452 10023 7838 091

Totals(000s) 184533165 184721498 184898968 10010 135545 059


Asset Allocation

Page 9


Contra Costa County

As Of Date 09302015




Page 10


Contra Costa County

As Of Date 09302015




09302019 1403864 36542813 102120000 SUNGARD 000


03312018 1076208 346541016 99857000 SUNGARD 000


03312017 622165 362158668 100729000 SUNGARD -37913


07312018 916641 8619531 101340000 SUNGARD -5631



02282019 1336788 12518555 101027000 SUNGARD 000



04302019 1138894 502187500 100536000 SUNGARD 000


10312016 545942 183969297 100641000 SUNGARD -802677

07312018 1446611 38393223 101340000 SUNGARD 000

08312017 1013383 55069273 99922000 SUNGARD 000




06302017 928142 12941602 100275000 SUNGARD 000

11302017 1165963 21093969 103284000 SUNGARD 000

05312017 818703 36357472 100074000 SUNGARD 000


11302017 874222 45733582 99818000 SUNGARD 000




01312017 734933 27577783 100518000 SUNGARD 000

06302017 788660 285758043 100275000 SUNGARD 000

03312019 1589638 7009420 101833000 SUNGARD 000




05152019 1503637 10172422 107099000 SUNGARD 000




Page 11


Contra Costa County

As Of Date 09302015




06102016 475000 249504983 99998000 SUNGARD 000




06082018 1390090 617211350 100643000 SUNGARD 000


06102016 745089 299310440 101181000 SUNGARD -11956400

09082017 790076 16967190 100023000 SUNGARD 000

06192017 850065 288880000 100628000 SUNGARD 000



82122 GOV FHLB NOTES 3130A33J1 09192014 1200000 500000000 504515000 200000 4515000

06082018 1410094 298200000 100643000 SUNGARD 000

09192017 1200000 500000000 100903000 SUNGARD 000

10142016 572077 1001020000 100180000 SUNGARD 000




06102016 760030 199664780 101181000 SUNGARD -7926785


07312018 1111402 97644950 103810000 SUNGARD 000


04152018 921899 399252305 99836000 SUNGARD 000


03312018 874966 51323255 99857000 SUNGARD 000


05152020 1503393 26314770 109626000 SUNGARD 000

03312018 860670 169535156 99857000 SUNGARD 000


03312017 545225 169141875 100729000 SUNGARD 000


06302020 1499897 19903546 102362000 SUNGARD 000


911013 2925760026 100564202 -846221

Subtotal 1021082 2916000000 2932452140 6759174 8684053



Page 12


Contra Costa County

As Of Date 09302015





09282016 615106 196637520 100076000 SUNGARD 000

03082019 1415035 501660000 101036000 SUNGARD 000

09282016 530086 283895537 100076000 SUNGARD 000




12092016 571735 1965471750 101299000 SUNGARD -12933525

11232016 556000 209262834 100148000 SUNGARD 000


03102017 739127 300801000 100273000 SUNGARD 000

04252018 1155323 999070000 100679000 SUNGARD 000


82419 GOV FHLB NOTES 3130A4K27 03092015 720000 1000000000 1001840000 500000 3470000


03062017 802655 998370000 100184000 SUNGARD 000


12122016 720127 499305000 100148000 SUNGARD 000

12122016 670252 350206500 100178000 SUNGARD 000

12122016 770206 499315000 100178000 SUNGARD 000

82271 GOV FHLB NOTES 3130A3Q64 12232014 700000 500000000 500890000 1059722 1575000

12162016 620043 249372500 100074000 SUNGARD 000

09282016 470153 1147573500 100076000 SUNGARD 000



12012015 215107 36978910 100008000 SUNGARD 000


12092016 571735 628645050 101299000 SUNGARD -4136715




09282016 470201 76538250 100076000 SUNGARD 000


08152017 1000000 1000000000 100565000 SUNGARD 000

12082017 1180284 449280000 100653000 SUNGARD 000

01062017 750000 1000000000 100174000 SUNGARD 000




Page 13


Contra Costa County

As Of Date 09302015





06242016 330908 25014667 99904000 SUNGARD -34500


10302018 1300000 500000000 100363000 SUNGARD 000


06292018 1100000 1000000000 100351000 SUNGARD 000

08282017 858202 152158400 100087000 SUNGARD 000

05302017 692495 100021625 100010000 SUNGARD 000


09132019 1400130 249833889 100383000 SUNGARD 000

82664 GOV FHLB NOTES 3130A6B63 08142015 1200000 1000000000 1005600000 1566667 5600000

08142018 1200000 1000000000 100560000 SUNGARD 000




03242017 840000 16500000 100270000 SUNGARD 000

82550 GOV FHLB NOTES 3130A57K9 05042015 1000000 1000000000 1000830000 4083333 2310000

04202016 290248 160920618 99999000 SUNGARD 000


03182016 330364 199739400 100113000 SUNGARD -13965


03242017 840000 160000000 100270000 SUNGARD 000



05302017 666017 142881310 100010000 SUNGARD 000

06302017 730000 1000000000 100148000 SUNGARD 000

06142019 1563094 250600000 101365000 SUNGARD 000




05262017 720000 1000000000 100253000 SUNGARD 000

05042018 1050244 998520000 100083000 SUNGARD 000

Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890



Page 14


Contra Costa County

As Of Date 09302015





09282016 740949 98963095 100801000 SUNGARD -682120

02192019 1795148 37839867 102313000 SUNGARD 000

02192019 1795148 698481789 102313000 SUNGARD 000


05212018 1459815 15952936 99940000 SUNGARD 000



09282016 748553 23839371 100801000 SUNGARD -151136

81941 GOV FNMA NOTE 3135G0MZ3 04172014 875000 1000000000 1001390000 802083 7310000



08282017 1054521 994080000 100139000 SUNGARD 000

04202017 740235 4901372 100130000 SUNGARD 000

11272018 1489435 11567275 101788000 SUNGARD 000


03152016 1000170 423921135 100926000 SUNGARD -16684725


09282016 615791 482179778 100801000 SUNGARD -8112675


10262015 893123 616710000 100100000 SUNGARD -16110000




09282016 1160000 17373698 100801000 SUNGARD 000


05212018 1190082 19697600 99940000 SUNGARD 000


06122018 1013910 499795000 100146000 SUNGARD 000


05222018 750000 1000000000 99996000 SUNGARD -40000


02082018 970000 16424202 100153000 SUNGARD 000


04272017 600233 398143200 100831000 SUNGARD -4902300




Page 15


Contra Costa County

As Of Date 09302015




09272017 781143 201042000 100449000 SUNGARD -144000


05252018 1250000 1000000000 100461000 SUNGARD 000


02272019 1329281 608718000 101612000 SUNGARD 000


01212020 1627650 16997790 101031000 SUNGARD 000


09272017 723255 168928293 100449000 SUNGARD -164640


06122017 642309 169877783 107937000 SUNGARD -99200


10192018 1177919 12978940 100417000 SUNGARD 000


12202017 793128 170715063 100253000 SUNGARD 000

04272017 895628 20094418 100831000 SUNGARD 000




09122019 1889799 16489776 101774000 SUNGARD 000


09272017 1117972 37893058 100449000 SUNGARD 000

09272017 1117972 12953590 100449000 SUNGARD 000

04272017 895628 55830780 100831000 SUNGARD 000


07052016 397750 1243589480 100002000 SUNGARD 000




07052016 397750 563314045 100002000 SUNGARD 000


11272018 1385424 12618750 101788000 SUNGARD 000

11262019 1612998 10065300 101773000 SUNGARD 000

11272018 1380107 606649400 101788000 SUNGARD 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796



Page 16


Contra Costa County

As Of Date 09302015




10102017 1156802 999800000 100782000 SUNGARD 000




01162019 1620035 199030000 100641000 SUNGARD 000


12072016 972048 249713430 100541000 SUNGARD 000

12102015 340213 553945500 100001000 SUNGARD 000

11012016 700000 500000000 100425000 SUNGARD 000



11142016 600000 1000000000 100152000 SUNGARD 000

12012016 590074 499900000 100199000 SUNGARD 000

12152016 720000 1000000000 100283000 SUNGARD 000



03282016 790000 399681830 100413000 SUNGARD -2347589

03282016 810254 407765280 100413000 SUNGARD -2096760





05172017 790074 19891400 99878000 SUNGARD 000

11292016 640000 1000000000 100003000 SUNGARD 000

07122016 600206 249886330 100225000 SUNGARD 000





02252018 920628 44439670 100999250 BOOK 000

04012018 1201381 38884861 100999639 BOOK 000

Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000




Page 17


Contra Costa County

As Of Date 09302015




03082017 1120062 16901230 100636000 SUNGARD 000



01192016 2330564 17226700 101365000 SUNGARD -1515125



04012016 240573 24840738 99888167 SUNGARD 000


240573 24840738 99888169 000

Subtotal 240000 24900000 24872154 28884 2532



09142017 860067 499231667 100145000 SUNGARD 000


01222018 1096935 997190000 100326000 SUNGARD 000

03292018 1130145 498000000 100174000 SUNGARD 000

04022018 1000000 1000000000 100462000 SUNGARD 000


03212016 308272 303970816 100084000 SUNGARD 000




03212016 308272 1015902464 100084000 SUNGARD 000

08042020 1730194 17046216 101041000 SUNGARD 000


09142017 810304 499700000 100145000 SUNGARD 000



08052019 1350014 100657333 100507000 SUNGARD -67000

08052019 1350014 301972000 100507000 SUNGARD -201000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690



Page 18


Contra Costa County

As Of Date 09302015





08082018 1200000 248600000 100279000 SUNGARD 000

08082018 1200000 11000000 100279000 SUNGARD 000

03082017 643501 1970224915 100636000 SUNGARD -2287935




07282017 1002272 46497404 100676000 SUNGARD 000

01272017 586812 137279806 99981000 SUNGARD 000


07282017 853802 9532300 100676000 SUNGARD 000

03082017 643501 955642205 100636000 SUNGARD -1109745




03082017 672177 99174725 100636000 SUNGARD -48265


03082017 780254 389546460 100636000 SUNGARD -85140

03072018 1250049 695847428 100085000 SUNGARD 000

03072018 1279731 15453824 100085000 SUNGARD 000


09292017 764157 4526353 100605000 SUNGARD 000

07282017 1001893 80995464 100676000 SUNGARD 000



10142016 773322 6507265 100429000 SUNGARD 000

82009 RM GOV FHLMC 3137EADH9 06132014 1000000 248400000 250094088 634800 1285271

07282017 1002272 3999777 100676000 SUNGARD 000




09292017 1033085 499490000 100605000 SUNGARD 000


06292017 945000 248808817 100682000 SUNGARD 000

09292017 1070130 997770000 100605000 SUNGARD 000

07282017 1001893 7499580 100676000 SUNGARD 000




Page 19


Contra Costa County

As Of Date 09302015





01012017 1618751 18954234 111495494 BOOK 000

01012017 2592295 42131877 108030454 BOOK 000

01012018 1301222 69692506 116154177 BOOK 000


02012016 929226 12040560 100338000 BOOK 000



02012016 929226 55185900 100338000 BOOK 000



01152016 1616968 54750638 108417105 BOOK 000

12012018 1638640 42755012 109628236 BOOK 000

05152016 907000 41500000 100000000 BOOK 000


08012016 6525847 745300 74530000 BOOK 000




08012017 1402000 44000000 100000000 BOOK 000


05152017 966000 17500000 100000000 BOOK 000


05152016 659000 124000000 100000000 BOOK 000


05302017 710296 999170000 99991000 SUNGARD 000


07282017 853802 431963700 100676000 SUNGARD 000


05302019 1480153 10125978 102032000 SUNGARD 000


05302019 1379985 304314000 102032000 SUNGARD 000


862858 8208097931 100538948 -5046210

Subtotal 983462 8189300000 8233436042 9158886 30409599



Page 20


Contra Costa County

As Of Date 09302015





02092016 290853 99407657 99949056 SUNGARD 000


10232015 120070 499706667 99997556 SUNGARD 000

148407 599114324 99989492 000

Subtotal 148207 599700000 599636986 443798 78864


09012016 431873 109523058 99711000 SUNGARD 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


82684 RM GOV FNMA DISC 313588C29 09112015 400000 29500000 29425660 6556 30221

08152016 401514 29388883 99748000 SUNGARD 000

Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


11012016 1090101 12558625 100469000 BOOK 000


11012016 1090101 79370510 100469000 BOOK 000


05152018 2054000 19500000 100000000 BOOK 000



10012017 1090000 11000000 100000000 BOOK 000


05022016 780000 100000000 100000000 BOOK 000

1186443 745685162 103209019 000

Subtotal 2133314 722500000 745685162 4095807 000



Page 21


Contra Costa County

As Of Date 09302015





10132015 330552 1996663333 99994000 SUNGARD 000


11102015 270422 2496100000 99980000 SUNGARD 000


10092015 290426 2496334722 99996000 SUNGARD 000


10232015 380776 2494906944 99989000 SUNGARD 000


11252015 441203 2493186111 99972500 SUNGARD 000



10272015 260367 2496479167 99987000 SUNGARD 000


02222019 1083588 59917969 99863282 BOOK 000


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


07172017 710792 62999402 99999051 BOOK 000


10152019 1059409 84482238 99978980 BOOK 000


06152017 704310 41997808 99994781 BOOK 000



04182019 1270662 45499440 99998769 BOOK 000


03162020 1343408 81993481 99992050 BOOK 000

1046859 316972369 99991284 000

Subtotal 1042646 317000000 316972369 142084 000




Page 22


Contra Costa County

As Of Date 09302015





10062015 220123 399974999 99997500 SUNGARD 000

10062015 220123 90049344 99997500 SUNGARD 000

10062015 220124 340008732 99997500 SUNGARD 000




10062015 220124 199987499 99997500 SUNGARD 000

10062015 220123 310025599 99997500 SUNGARD 000


10062015 220124 2100018659 99997500 SUNGARD 000

10062015 220124 569979365 99997500 SUNGARD 000




10062015 220124 429958132 99997500 SUNGARD 000


12112015 290508 1996503889 99956611 SUNGARD 000

12102015 310570 2495414583 99957222 SUNGARD 000

11092015 250314 162295747 99980500 SUNGARD 000


10282015 390830 2993630000 99986500 SUNGARD 000

10062015 220123 359997488 99997500 SUNGARD 000



11242015 441175 2992006667 99973000 SUNGARD 000


10062015 220125 110038099 99997500 SUNGARD 000




10062015 220124 239965010 99997500 SUNGARD 000


02052016 360971 49865500 99887111 SUNGARD 000

12162015 400770 2495194444 99953556 SUNGARD 000

10062015 220124 519507757 99997500 SUNGARD 000




Page 23


Contra Costa County

As Of Date 09302015





10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

11122015 290234 1998388889 99979000 SUNGARD 000




10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


12102015 350436 2496888889 99957222 SUNGARD 000




12292015 300368 2996325000 99945611 SUNGARD 000

10062015 220125 155012799 99997500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



10062015 220124 559984987 99997500 SUNGARD 000

10062015 220132 44974699 99997500 SUNGARD 000


10302015 210106 199897334 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



Page 24


Contra Costa County

As Of Date 09302015





10092015 170027 76689134 99996000 SUNGARD -170

10092015 170024 89987250 99996000 SUNGARD -200

06172016 653172 393081509 99610000 SUNGARD 000





03012016 551533 174513403 99864889 SUNGARD 000


03212016 511311 198988449 99847111 SUNGARD 000



03212016 511311 393987154 99847111 SUNGARD 000

12212015 280196 394723500 99950500 SUNGARD 000

06172016 653172 198531040 99610000 SUNGARD 000



12152015 290292 2497482639 99954167 SUNGARD 000

12152015 320359 2497200000 99954167 SUNGARD 000

05162016 683473 198983778 99746667 SUNGARD 000


01282016 471076 2494288194 99914056 SUNGARD 000

10302015 180054 499850000 99985500 SUNGARD 000



12152015 340405 2497025000 99954167 SUNGARD 000


12162015 320313 2497555556 99953556 SUNGARD 000

10302015 180054 299910000 99985500 SUNGARD 000

10302015 180054 263920800 99985500 SUNGARD 000


02172016 541438 49867250 99876444 SUNGARD 000




02172016 541438 49867250 99876444 SUNGARD 000



Page 25


Contra Costa County

As Of Date 09302015





12152015 430000 2500000000 100069620 SUNGARD 000

12162015 420000 2500000000 100068399 SUNGARD 000

05262017 1150000 195000000 100000000 BOOK 000


05202016 730000 200000000 100218822 SUNGARD 000



05262016 730000 100700000 100224474 SUNGARD 000



12152015 390000 2500000000 100061182 SUNGARD 000

12152015 370000 2500000000 100056968 SUNGARD 000

12152015 360000 2500000000 100054858 SUNGARD 000



02022016 400000 50000000 100065730 SUNGARD 000




12222015 400000 50000000 100069078 SUNGARD 000

11132015 390000 1000000000 100035418 SUNGARD 000

11242015 310000 2500000000 100032057 SUNGARD 000


04212017 1070000 200000000 100000000 BOOK 000


10302015 370000 1500000000 100022484 SUNGARD 000




12212015 280196 199360350 99950500 SUNGARD 000


01042016 275204 2997777083 99931389 SUNGARD 000

328594 61192922725 99962242 -370

Subtotal 328043 61284800000 61261659931 56430381 12307195



Page 26


Contra Costa County

As Of Date 09302015





10132015 220000 25000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000

12282015 320000 2500000000 100054363 SUNGARD 000




10132015 220000 70000000 100004331 SUNGARD 000

10132015 220000 330000000 100004331 SUNGARD 000

10132015 220000 10000000 100004331 SUNGARD 000


12232015 280000 2500000000 100041980 SUNGARD 000




01082016 450000 2500000000 100066587 SUNGARD 000

01062016 390000 110000000 100048921 SUNGARD 000




01062016 390000 200000000 100048921 SUNGARD 000



12162015 390000 2500000000 100061994 SUNGARD 000

01062016 390000 430000000 100048921 SUNGARD 000


10132015 220000 12500000 100004331 SUNGARD 000


10132015 220000 20000000 100004331 SUNGARD 000

10132015 220000 140000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000


10132015 220000 800000000 100004331 SUNGARD 000




10132015 220000 30000000 100004331 SUNGARD 000



Page 27


Contra Costa County

As Of Date 09302015




01102017 433450 50000000 99974000 SUNGARD -13000



01082016 1429873 995245000 100000000 SUNGARD 000

1382208 1045245000 99998762 -13000

Subtotal 481820 1050000000 1049987000 1193357 4755000



01042016 320000 3000000000 100029316 SUNGARD 000

02262016 400000 3000000000 100078571 SUNGARD 000

01272016 300000 3000000000 100029729 SUNGARD 000


10132015 180000 130000000 100002888 SUNGARD 000




10132015 180000 370000000 100002888 SUNGARD 000


01252016 390000 2500000000 100058419 SUNGARD 000

10132015 180000 210000000 100002888 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000


01082016 250000 2500000000 100011103 SUNGARD 000




01152016 320000 2500000000 100032671 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000

10132015 180000 770000000 100002888 SUNGARD 000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000



Page 28


Contra Costa County

As Of Date 09302015




08152016 967967 98447795 100315000 SUNGARD 000




08152016 1018105 35432550 100315000 SUNGARD 000


05032018 1076001 17435425 99533000 SUNGARD -17150

01152017 945019 179712000 100183000 SUNGARD 000

01082016 1028965 499635000 100166000 SUNGARD 000



10052017 1545080 494450000 100124000 SUNGARD 000

12062018 1750063 636846084 101325000 SUNGARD 000

12152017 1510075 517962978 99821000 SUNGARD 000



02152017 1165961 13474890 100496000 SUNGARD 000




10252015 937036 509910000 100064000 SUNGARD -9590000

02152017 1203989 23914080 100496000 SUNGARD 000

01082016 1000000 500000000 100166000 SUNGARD 000


02092018 1579059 24465945 100812000 SUNGARD 000


12052017 1104000 10500000 99599000 SUNGARD -42105



09292016 900000 202500000 99373111 SUNGARD -1269450


900000 202500000 99373111 -1269450

Subtotal 900000 202500000 201230550 10125 000




Page 29


Contra Costa County

As Of Date 09302015





01152016 489343 160248340 100419000 SUNGARD -1586320

09192016 840060 157402875 101738000 SUNGARD -2252425

07202016 787164 160089150 100430000 SUNGARD -405450




01082016 475357 159796590 100166000 SUNGARD -532650

09152016 616979 159141840 101129000 SUNGARD -1380600

07222016 490189 159903875 101149000 SUNGARD -1605690


01302017 828281 159360655 100156000 SUNGARD -613395




01082016 475357 199996990 100166000 SUNGARD -666650

05222017 1200940 99106800 101057000 SUNGARD -576225




05052017 1067075 149920500 100385000 SUNGARD 000



01162018 1720116 495990000 99905000 SUNGARD 000

04212017 1005095 36994450 100393000 SUNGARD 000


09082017 1433868 80919810 100069000 SUNGARD 000


12052017 1250044 995751000 99599000 SUNGARD 000

01122018 1496870 21969860 100117000 SUNGARD 000

05182016 435141 159553320 100153000 SUNGARD -310050


11152017 1345000 35000000 100347000 SUNGARD 000




11212017 1151867 112910730 100643000 SUNGARD 000



Page 30


Contra Costa County

As Of Date 09302015





03022018 1372881 999770000 100091000 SUNGARD 000

03132018 1545883 12982580 99826000 SUNGARD -5200

08072019 1743001 11760300 115655000 SUNGARD -194800




03062018 1305000 156500000 100236000 SUNGARD 000

03062018 1305000 12500000 100236000 SUNGARD 000


05222018 1603145 159985600 99801000 SUNGARD -304000

05032018 1257267 992760000 99533000 SUNGARD 000

82554 CORP APPLE INC 037833AJ9 05122015 1000000 1000000000 995330000 4111111 2820000



05122017 934955 56461015 100192000 SUNGARD 000


07222016 490189 200263000 101149000 SUNGARD -2010960

09152016 616979 198927300 101129000 SUNGARD -1725750

05182016 435141 199692520 100153000 SUNGARD -388050


01152016 489343 200310425 100419000 SUNGARD -1982900

03022018 1365000 106500000 100091000 SUNGARD 000



07202016 787164 199859725 100430000 SUNGARD -506175


02062018 1228864 15951200 99758000 SUNGARD 000


82386 CORP IBM CORP 459200HZ7 02112015 1125000 500000000 498790000 859375 980000


02062018 1274939 497810000 99758000 SUNGARD 000


09192016 840060 196624575 101738000 SUNGARD -2813685

01302017 828281 199075140 100156000 SUNGARD -766260

02062018 1228864 187426600 99758000 SUNGARD 000




Page 31


Contra Costa County

As Of Date 09302015





05152019 1748923 199938947 101432000 SUNGARD 000


07192018 1927831 155839382 102595000 SUNGARD -69460


03012018 1769114 499500556 99773000 SUNGARD -305000


01152017 739645 155606050 100183000 SUNGARD -35650

07192018 1927831 199185436 102595000 SUNGARD -88780

02152019 1739996 199404755 110346000 SUNGARD -247710


02012019 1927457 198743020 101021000 SUNGARD -31360


06012019 1599996 154856333 109268000 SUNGARD 000


04252019 1710407 200128717 101608000 SUNGARD -157950




06152018 1655855 172470675 100729000 SUNGARD 000


06152018 1655855 12997790 100729000 SUNGARD 000


05222018 1603145 12498875 99801000 SUNGARD -23750


05152018 1658000 499908681 99381000 SUNGARD -2620000


07172017 1139621 9996800 100401000 SUNGARD 000


08072018 1435833 133761480 100529000 SUNGARD 000


07132018 1567156 499814583 100455000 SUNGARD 000


09082017 1252137 110346500 100069000 SUNGARD -270600


07132018 1579121 40965150 100455000 SUNGARD 000

Subtotal 1504454 15050700000 15124214321 53058340 41320219



Page 32


Contra Costa County

As Of Date 09302015





05242017 600000 333577 100000000 BOOK 000

600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000


10012015 000000 53722612 100000000 BOOK 000



10012015 000000 2809220 100000000 BOOK 000

Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


06102016 510490 244852020 99725917 SUNGARD -523524


510490 244852020 99725917 -523524

Subtotal 462200 245000000 244328496 77076 000



09112017 1430018 199678000 99839000 BOOK 000


04062017 1010000 215000000 100000000 BOOK 000

1212249 414678000 99922410 000

Subtotal 1185757 415000000 414678000 1184241 000


1256393 15127367242 100488445 -34126750


585858 184721498440 100198232 -130630560



Page 33

Page 34

SECTION III

APPENDIX



































TOTAL 19550500378 19562126005

Page 35

SECTION III

APPENDIX





Page 36













Page 37

Asset Class










Other 48977

--- 10000



Risk Metric Value

Cash 10787

MMFund 163929061


Duration 047

Convexity -0018

WAL 0686



Yield 0575

Book Yield 0521


Balance Sheet





1

Page 38


Rating 0 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5 - 7 7 - 10 10 - 15 15 - 30

AAA 57859 600 000 000 000 000 000 000 000

AA 18868 0565 000 000 000 000 000 000 000

A 14937 177 000 000 000 000 000 000 000

BBB 000 000 000 000 000 000 000 000 000

BB 000 000 000 000 000 000 000 000 000

B 000 000 000 000 000 000 000 000 000

CCC 000 000 000 000 000 000 000 000 000

CC 000 000 000 000 000 000 000 000 000

C 000 000 000 000 000 000 000 000 000

NA 000 000 000 000 000 000 000 000 000

Time To Maturity

Credit Rating

Duration


2

Page 39




3

Page 40



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0108 0106 0001

Year to Date 01012015 09302015 0406 0218 0188

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0125 0064 0061

Prior Year 01012014 12312014 0319 012 0199

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0487 0231 0256





4

Page 41








5

Page 42



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0094 0106 -0013

Year to Date 01012015 09302015 032 0218 0102

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0082 0064 0018

Prior Year 01012014 12312014 0203 012 0083

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0372 0231 0142





6

Page 43








7

Page 44


As of 06302015 09302015





Begin DateEnd Date

0701201509302015




Net Income 5064302



Begin DateEnd Date

0701201509302015





8

Page 45





BaseExpense












097023BC8 75000000 BOEING CO 375 11202016 11202016 000 000 -542232 703125 000 160893 01262015

CCYUSD 087 Cash 000 09302015 09302015 -1522403 000 000 000 -626822 -626822 ---



161571GJ7 77500000 CHAIT 2014-A1 A1 115 01152019 01152017 000 000 -15165 133688 000 118523 08072015


3136G1NQ8 000 FANNIE MAE 100 06192017 06192017 000 000 000 216667 000 216667 06112015

3136FPET0 100000000 FANNIE MAE 200 03102016 03102016 000 000 -419520 500000 000 80480 03262015














31679KAB6 23963868 FITAT 2014-2 A2A 045 04172017 12182015 000 -001 1129 36587 000 37716 06112014

3134G4TH1 000 FREDDIE MAC 030 07082015 07082015 000 000 -142 5833 000 5691 01132014

36164EAB1 40000000 GEET 2015-1 A2 089 11242017 08192016 000 000 562 89001 000 89563 03042015


43814GAB6 4552100 HAROT 2014-2 A2 039 09192016 10192015 000 000 022 542 000 564 05212014

43814GAB6 000 HAROT 2014-2 A2 039 09192016 10192015 000 000 195 6747 000 6943 05212014

43814KAB7 33500000 HAROT 2015-1 A2 070 06152017 02232016 000 000 245 58626 000 58871 01282015



41284AAB4 10809821 HDMOT 2014-1 A2A 049 04152018 01092016 000 001 254 16152 000 16407 04162014

41284BAB2 39974707 HDMOT 2015-1 A2A 080 01152019 03102016 000 -000 110 90035 000 90145 01282015

437076BJ0 75000000 HOME DEPOT INC 0707 09152017 09152017 000 000 000 23573 000 23573 09152015





47787VAB7 13340757 JDOT 2014-A A2 045 09152016 10232015 000 000 013 2501 000 2515 04092014

47787VAB7 000 JDOT 2014-A A2 045 09152016 10232015 000 000 207 20737 000 20944 04092014

47787WAB5 40000000 JDOT 2015-B A2 098 06152018 10282016 000 000 048 23956 000 24004 09092015


9

Page 46





BaseExpense





58768EAC3 1563282 MBALT 2014-A A2A 048 06152016 10152015 000 000 096 15691 000 15787 04092014


65477WAB2 60250859 NAROT 2014-B A2 060 06152017 01292016 000 -000 1039 104725 000 105764 12102014






70659PAE1 75000000 PENAR 2013-1A A1 0603 11182017 11182015 000 000 000 112085 000 112085 11212013

69349LAH1 75000000 PNC BANK NA 080 01282016 12282015 000 000 -67860 150000 000 82140 04302015










89236WAB4 60000000 TAOT 2015-A A2 071 07172017 02172016 000 000 106 106500 000 106606 03042015







912828B82 100000000 US TREASURY NB 025 02292016 02292016 000 000 47512 62731 000 110244 03202014

912828QX1 000 US TREASURY NB 150 07312016 07312016 000 000 -90103 128385 000 38283 11062014

912828QX1 100000000 US TREASURY NB 150 07312016 07312016 000 000 -177299 248641 000 71342 11062014

912828VL1 000 US TREASURY NB 0625 07152016 07152016 000 000 -11004 25870 000 14865 06012015

912828VL1 100000000 US TREASURY NB 0625 07152016 07152016 000 000 -56488 130774 000 74286 06012015

912828RF9 100000000 US TREASURY NB 100 08312016 08312016 000 000 -46350 82418 000 36067 10312014

912828RF9 000 US TREASURY NB 100 08312016 08312016 000 000 -95791 168508 000 72718 10312014

912828WQ9 100000000 US TREASURY NB 050 06302016 06302016 000 000 -10338 125000 000 114662 07012014

912828WQ9 000 US TREASURY NB 050 06302016 06302016 000 000 000 000 000 000 07012014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -422216 502702 000 80486 07312014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -418363 502702 000 84339 12312014

90290KAB1 000 USAOT 2014-1 A2 038 10172016 08152015 000 000 033 2694 000 2728 02282014

90290XAB3 48000000 USAOT 2015-1 A2 082 03152018 06152016 000 000 355 69925 000 70280 07292015

92867GAC7 000 VALET 2012-1 A3 085 08222016 08202015 000 000 -530 1301 000 771 10082013



--- 4418795242 --- --- 08242016 05272016 -1522403 000 -5643946 11335070 -626822 5064302 ---


10

Page 47



11

Page 48

CE

ST


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



000000

163929061163929061

000 100 000 163929061 163929061


0320176

3497480034985378

7529 9998 000 34992907 34992907


000000

1070010700

000 100 000 10700 10700


000000

087087

000 100 000 087 087

--- --- 198939848 --- AAA --- 1008201510082015

00560031

198914648198925226

7529 --- 000 198932755 198932755


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0440145

9963281399922018

124882 100046 21291 100046900 100068191


03450288

4999231949996159

20291 100032 92583 50016450 50109033


04570676

2054448520506239

-5665 100002 53813 20500574 20554386


04070676

5009100050018360

-16960 100002 131250 50001400 50132650


03260316

101596000100734160

22040 100756 116667 100756200 100872867


02540173

9974722299911805

27895 9994 000 99939700 99939700


06780491

7538400075045419

31906 100103 156586 75077325 75233911


04340493

2520400025027380

-8580 100075 76389 25018800 25095189


0510252

1623903816269182

16686 99913 000 16285868 16285868


04510252

7682552476970779

62375 99913 000 77033154 77033154


0450824

100000000100000000

-300000 9970 118750 99700000 99818750


03515319

7960500075000000

000 10000 2021250 75000000 77021250


0380158

9986800099972520

72780 100045 56389 100045300 100101689


04390516

7517850075064909

-13984 100067 105000 75050925 75155925


0611258

2911417528777256

961 100976 54625 28778217 28832842


05381258

3070590030301438

-8578 100976 57500 30292860 30350360


03820096

9978800099987783

26817 100015 102083 100014600 100116683


06620749

7663200075712709

-60884 100869 106667 75651825 75758492


06440534

7687500076018727

-57677 101281 301875 75961050 76262925


12

Page 49


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



02630231

9998700099995919

11581 100007 47222 100007500 100054722


0440404

9998000099981639

43061 100024 35000 100024700 100059700


04820796

15632411563281

-208 99986 333 1563073 1563406


0680185

3000000030000000

49200 100164 32867 30049200 30082067


0680185

4900000049000000

80360 100164 53682 49080360 49134042


1000793

7500000075000000

89250 100119 312500 75089250 75401750


04340339

101839844100883590

69510 100953 252717 100953100 101205817


07310525

7500000075000000

128250 100171 91375 75128250 75219625


04860231

4000000040000000

25200 100063 48600 40025200 40073800


0500431

103068800101117132

63568 101181 655208 101180700 101835908


03630386

5000000050000000

-3500 99993 1513 49996500 49998013


03991136

45517444552052

-1723 99961 641 4550329 4550970


06340413

2500000025000000

34250 100137 59878 25034250 25094128


05573152

5000000050000000

-768600 98463 28980 49231400 49260380


03560322

100300781100211280

25720 100237 132473 100237000 100369473


0300176

3493670834986292

6615 9998 000 34992907 34992907


0416000

5004150050041386

-3286 100076 2083 50038100 50040183


03150138

102519531100559896

72904 100633 336957 100632800 100969757


03350138

101800781100554786

78014 100633 336957 100632800 100969757


0643067

7938557578404246

-20126 10114 264792 78384120 78648912


13010992

1244687512466000

34875 100007 10417 12500875 12511292


04410206

9982000099960138

42262 100002 20417 100002400 100022817


0520206

1993360019985090

15390 100002 4083 20000480 20004563


04320372

101035156100517578

41022 100558 85165 100558600 100643765


04590271

100082031100030677

141223 100171 126358 100171900 100298259


04540804

1334023613340717

-2948 99977 2668 13337769 13340437


0860765

7627500075376462

25463 100535 411667 75401925 75813592

--- --- 2955856139 --- AA+ --- 0403201603252016

04770563

29799313792963765007

211629 --- 6927270 2963976636 2970903906


13

Page 50

LT

Summary


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0640459

3000000030000000

53700 100179 96000 30053700 30149700


05020576

4512060045102743

-84203 100041 49840 45018540 45068380


06050576

3000000030000000

12360 100041 33226 30012360 30045586


05670213

100100000100003662

13538 100017 310806 100017200 100328006


0712069

5999943059999657

1543 100002 18933 60001200 60020133


0602081

7500000075000000

-326325 99564 19775 74673675 74693450


07930927

5000000050000000

-99000 99802 51953 49901000 49952953


05950768

7500000075000000

-304875 99594 97667 74695125 74792792


07070726

3349825133498972

-2959 99988 10422 33496014 33506436


12581164

2500000025000000

40500 100162 52417 25040500 25092917


05950699

7500000075000000

-9900 99987 16326 74990100 75006426


08020807

3997438339974499

-5229 99986 14213 39969270 39983483


08560858

7764531377630148

102197 10030 39611 77732345 77771956


04630617

2396123523963281

-7944 99964 4793 23955337 23960130


07930938

2500000025000000

-63825 99744 12490 24936175 24948665


04840457

100213000100160805

-13205 100147 222222 100147600 100369822


09920938

3999865239998700

14939 100034 23956 40013640 40037596


08490764

7891350077451831

105294 103409 1023438 77557125 78580563


08280693

4799821447998569

99063 100203 17493 48097632 48115125


0788077

5000000050000000

550 100001 7549 50000550 50008099


04970718

1080908910809602

-6602 99936 2354 10803000 10805354


06080785

6024762460249350

-35545 99939 16067 60213804 60229871


07070623

7500000075000000

116625 100156 23573 75116625 75140198


09030755

3999570039997074

44005 100102 7911 40041080 40048991

--- --- 1263999255 --- AA --- 0910201711282016

06970689

12684749911266838894

-355297 --- 2173035 1266483597 1268656633


14

Page 51



BookYieldYield



Loss

MarketPrice

Base AccruedBalance


--- --- 4418795242 --- AA+ --- 0824201605272016

05210575

44473210184429529127

-136139 --- 9100306 4429392988 4438493293


15

Page 52

Does not Lock Down

Principal Paydown

Buy



CouponRate

FinalMaturity





BaseCommission

Base Amount

0915201509152015


045 04172017 Direct 000-5648497

--- 000-5648497

000 -000 000 5648497

0815201508152015


045 04172017 Direct 000-6011247

--- 000-6011247

000 -000 000 6011247

0715201507152015


045 04172017 Direct 000-6263285

--- 000-6263285

000 -000 000 6263285

0815201508152015


049 04152018 Direct 000-1726557

--- 000-1726557

000 000 000 1726557

0715201507152015


049 04152018 Direct 000-1703805

--- 000-1703805

000 000 000 1703805

0915201509152015


049 04152018 Direct 000-1540700

--- 000-1540700

000 000 000 1540700

0815201508152015


080 01152019 Direct 000-3595039

--- 000-3595039

000 000 000 3595039

0715201507152015


080 01152019 Direct 000-3002000

--- 000-3002000

000 -000 000 3002000

0915201509152015


080 01152019 Direct 000-3428254

--- 000-3428254

000 -000 000 3428254

0918201509182015


039 09192016 Direct 000-1811448

--- 000-1811448

000 -000 000 1811448

0818201508182015


039 09192016 Direct 000-1906504

--- 000-1906504

000 000 000 1906504

0718201507182015


039 09192016 Direct 000-2005503

--- 000-2005503

000 000 000 2005503

0715201507152015


045 09152016 Direct 000-4752217

--- 000-4752217

000 000 000 4752217

0815201508152015


045 09152016 Direct 000-5933214

--- 000-5933214

000 000 000 5933214

0915201509152015


045 09152016 Direct 000-4469878

--- 000-4469878

000 -000 000 4469878

0915201509152015


048 06152016 Direct 000-7784949

--- 000-7784949

000 -000 000 7784949

0815201508152015


048 06152016 Direct 000-7842966

--- 000-7842967

000 000 000 7842967

0715201507152015


048 06152016 Direct 000-8213508

--- 000-8213508

000 000 000 8213508

0815201508152015


060 06152017 Direct 000-7684473

--- 000-7684473

000 -000 000 7684473

0915201509152015


060 06152017 Direct 000-7064668

--- 000-7064668

000 000 000 7064668

0715201507152015


038 10172016 Direct 000-6260991

--- 000-6260991

000 -000 000 6260991

0815201508152015


038 10172016 Direct 000-3808377

--- 000-3808377

000 000 000 3808377

0720201507202015


085 08222016 Direct 000-2084026

--- 000-2084026

000 -000 000 2084026

0820201508202015


085 08222016 Direct 000-315887

--- 000-315887

000 000 000 315887

------


--- --- Direct 000-104857994

--- 000-104857994

000 000 000 104857994


16

Page 53



CouponRate

FinalMaturity





BaseCommission

Base Amount

0921201509242015


0776 09202017 Deutsche Bank 5000000050000000

10000 00050000000

000 000 000 -50000000

0804201508072015



100188 00077645313

54465 000 000 -77699778

0930201509302015


050 09282016 APX Asset 5000000050000000

100083 00050041500

1389 000 000 -50042889

0827201509012015



100000000100000000

9998 00099980000

000 000 000 -99980000

0908201509152015


0707 09152017 Bank of America 7500000075000000

10000 00075000000

000 000 000 -75000000

0901201509092015


098 06152018 Dain Rauscher 4000000040000000

99997 00039998652

000 000 000 -39998652

0827201508282015



99928 00034974800

000 000 000 -34974800

0827201508282015



10000 00050000000

000 000 000 -50000000

0721201507292015


082 03152018 Dain Rauscher 4800000048000000

99996 00047998214

000 000 000 -47998214

0701201507012015


005 09302015 Direct 103898103898

100 103898103898

000 000 000 -103898

0708201507082015


005 09302015 Direct 100315648100315648

100 100315648100315648

000 000 000 -100315648

0715201507152015


005 09302015 Direct 47810824781082

100 47810824781082

000 000 000 -4781082

0715201507152015


005 09302015 Direct 2211138522111385

100 2211138522111385

000 000 000 -22111385

0715201507152015


005 09302015 Direct 47629034762903

100 47629034762903

000 000 000 -4762903

0713201507132015


005 09302015 Direct 109181109181

100 109181109181

000 000 000 -109181

0720201507202015


005 09302015 Direct 40945704094570

100 40945704094570

000 000 000 -4094570

0720201507202015


005 09302015 Direct 3833338333

100 3833338333

000 000 000 -38333

0724201507242015


005 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0723201507232015


005 09302015 Direct 125000125000

100 125000125000

000 000 000 -125000

0721201507212015


005 09302015 Direct 145000145000

100 145000145000

000 000 000 -145000

0728201507282015


005 09302015 Direct 11625001162500

100 11625001162500

000 000 000 -1162500

0727201507272015


005 09302015 Direct 109389109389

100 109389109389

000 000 000 -109389

0731201507312015


005 09302015 Direct 27500002750000

100 27500002750000

000 000 000 -2750000

0803201508032015


006 09302015 Direct 125606125606

100 125606125606

000 000 000 -125606

0803201508032015


006 09302015 Direct 7658631276586312

100 7658631276586312

000 000 000 -76586312

0817201508172015


006 09302015 Direct 5513255132

100 5513255132

000 000 000 -55132

0817201508172015


006 09302015 Direct 2900316329003163

100 2900316329003163

000 000 000 -29003163

0814201508142015


006 09302015 Direct 9519495194

100 9519495194

000 000 000 -95194

0820201508202015


006 09302015 Direct 390154390154

100 390154390154

000 000 000 -390154


17

Page 54

Sell



CouponRate

FinalMaturity





BaseCommission

Base Amount

0820201508202015


006 09302015 Direct 224224

100 224224

000 000 000 -224

0820201508202015


006 09302015 Direct 12061206

100 12061206

000 000 000 -1206

0819201508192015


006 09302015 Direct 6750000067500000

100 6750000067500000

000 000 000 -67500000

0819201508192015


006 09302015 Direct 9427194271

100 9427194271

000 000 000 -94271

0818201508182015


006 09302015 Direct 77219737721973

100 77219737721973

000 000 000 -7721973

0818201508182015


006 09302015 Direct 3492134921

100 3492134921

000 000 000 -34921

0818201508182015


006 09302015 Direct 19091921909192

100 19091921909192

000 000 000 -1909192

0825201508252015


006 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0824201508242015


006 09302015 Direct 6300063000

100 6300063000

000 000 000 -63000

0831201508312015


006 09302015 Direct 625000625000

100 625000625000

000 000 000 -625000

0910201509102015


008 09302015 Direct 12100001210000

100 12100001210000

000 000 000 -1210000

0908201509082015


008 09302015 Direct 866615866615

100 866615866615

000 000 000 -866615

0911201509112015


008 09302015 Direct 421162421162

100 421162421162

000 000 000 -421162

0911201509112015


008 09302015 Direct 2243022430

100 2243022430

000 000 000 -22430

0918201509182015


008 09302015 Direct 18135161813516

100 18135161813516

000 000 000 -1813516

0918201509182015


008 09302015 Direct 3807838078

100 3807838078

000 000 000 -38078

0916201509162015


008 09302015 Direct 6830068300

100 6830068300

000 000 000 -68300

0915201509152015


008 09302015 Direct 1124587911245879

100 1124587911245879

000 000 000 -11245879

0915201509152015


008 09302015 Direct 44765574476557

100 44765574476557

000 000 000 -4476557

0915201509152015


008 09302015 Direct 1673996916739969

100 1673996916739969

000 000 000 -16739969

0921201509212015


008 09302015 Direct 9958549499585494

100 9958549499585494

000 000 000 -99585494

0921201509212015


008 09302015 Direct 250000250000

100 250000250000

000 000 000 -250000

0928201509282015


008 09302015 Direct 1584415844

100 1584415844

000 000 000 -15844

------

Buy ------

--- --- --- 987127415987127415

--- 461627415987265894

55854 000 000 -987321748



CouponRate

FinalMaturity





BaseCommission

Base Amount

0919201509192015


100 06192017 Not Provided -100000000-100000000

10000 000-100000000

-250000 000 000 100250000

0720201507202015


005 09302015 Direct -633478-633478

100 -633478-633478

000 000 000 633478

0729201507292015


005 09302015 Direct -47998214-47998214

100 -47998214-47998214

000 000 000 47998214


18

Page 55

Maturity

Summary






CouponRate

FinalMaturity





BaseCommission

Base Amount

0807201508072015


006 09302015 Direct -77699778-77699778

100 -77699778-77699778

000 000 000 77699778

0810201508102015


006 09302015 Direct -1522403-1522403

100 -1522403-1522403

000 000 000 1522403

0828201508282015


006 09302015 Direct -84974800-84974800

100 -84974800-84974800

000 000 000 84974800

0901201509012015


008 09302015 Direct -89883832-89883832

100 -89883832-89883832

000 000 000 89883832

0909201509092015


008 09302015 Direct -39998652-39998652

100 -39998652-39998652

000 000 000 39998652

0924201509242015


008 09302015 Direct -49970333-49970333

100 -49970333-49970333

000 000 000 49970333

0930201509302015


008 09302015 Direct -50042889-50042889

100 -50042889-50042889

000 000 000 50042889

------

Sell ------

--- --- --- -542724379-542724379

--- -442724379-542724379

-250000 000 000 542974379



CouponRate

FinalMaturity





BaseCommission

Base Amount

0901201509012015


0553 09012015 Maturity -10000000-10000000

10000 000-10000000

000 000 000 10000000

0915201509152015


275 09152015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0708201507082015


030 07082015 Maturity -100000000-100000000

10000 000-100000000

000 000 000 100000000

0801201508012015


0297 08012015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0819201508192015


0546 08192015 Maturity -37500000-37500000

10000 000-37500000

000 000 000 37500000

0819201508192015


0546 08192015 Maturity -30000000-30000000

10000 000-30000000

000 000 000 30000000

------

Maturity ------

--- --- Maturity -327500000-327500000

10000 000-327500000

000 000 000 327500000



CouponRate

FinalMaturity





BaseCommission

Base Amount

------

--- ------

--- --- --- 11690303612045042

--- 1890303612183521

-194146 000 000 -11989375


19

Page 56

Does not Lock Down

Receivable

Settled


















08042015 08072015 Buy 77500000 161571GJ7 CHAIT 2014-A1 A1 115 01152019 100188 -77699778



















07232015 07232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

09232015 09232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

08232015 08232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667









20

Page 57



























09012015 09092015 Buy 40000000 47787WAB5 JDOT 2015-B A2 098 06152018 99997 -39998652



























21

Page 58













07212015 07292015 Buy 48000000 90290XAB3 USAOT 2015-1 A2 082 03152018 99996 -47998214









































22

Page 59

Summary






































--- --- --- 12045042 --- --- --- --- --- -6699



--- --- --- 12045042 --- --- --- --- --- 3915


23

Page 60

Does not Lock Down

Receivable

Settled
















































24

Page 61

Summary





















25

Page 62




Redemptions






GainLoss




41898878000

000000

-17923029 000 1129 -3585 -001 -13263 000 23960130


50058628000

000000

-10025293 000 110 -3565 -000 -46397 000 39983483


74988125000

000000

-14749141 000 1039 -3933 -000 -6219 000 60229871


145026025461627415

-442724379000

000 000 000 000 000 000 000 163929061


100138260000

000000

000 000 47512 -62269 000 -55312 000 100068191

3136G1NQ8FANNIE MAE

100162633000

-100000000000

000 000 000 -33333 000 -129300 000 000


50056533000

000000

000 000 1931 41250 000 9319 000 50109033


75376481000

000000

000 000 -42208 3680 000 -104042 000 75233911


25057089000

000000

000 000 -35478 62500 000 11078 000 25095189


30022800000

000000

000 000 000 48000 000 78900 000 30149700


76885875000

000000

000 000 -947785 1010625 000 72535 000 77021250


44989417000

000000

000 000 -11570 2237 000 88295 000 45068380


29992945000

000000

000 000 000 1491 000 51150 000 30045586


29215583000

000000

000 000 -161440 -204844 000 -16457 000 28832842


30753245000

000000

000 000 -175521 -215625 000 -11739 000 30350360


50063217000

000000

000 000 000 2287 000 -112550 000 49952953


100067783000

000000

000 000 33058 62500 000 -46658 000 100116683


75187934000

000000

000 000 000 2883 000 -398025 000 74792792


76827617000

000000

000 000 -475139 -600000 000 6014 000 75758492

43814KAB7HAROT 2015-1 A2

33501377000

000000

000 000 245 000 000 4813 000 33506436


00099980000

000000

000 000 1639 35000 000 43061 000 100059700


75113794000

000-75000000

000 000 000 -107044 000 -6750 000 000


75047598000

000000

000 000 000 753 000 -41925 000 75006426

161571GJ7CHAIT 2014-A1 A1

00077645313

000000

000 000 -15165 39611 000 102197 000 77771956


75100250000

000000

000 000 000 187500 000 114000 000 75401750


101844491000

000000

000 000 -267402 -372973 000 1702 000 101205817


75367200000

000000

000 000 000 -237575 000 90000 000 75219625


00050000000

000000

000 000 000 1513 000 -3500 000 49998013


100126572000

000000

000 000 -35308 156250 000 122308 000 100369822


26

Page 63




Redemptions






GainLoss



097023BC8BOEING CO

78296763000

000000

000 000 -542232 703125 000 122907 000 78580563

90290XAB3USAOT 2015-1 A2

00047998214

000000

000 000 355 17493 000 99063 000 48115125


30023663000

000-30000000

000 000 -7090 -19583 000 3010 000 000


37529579000

000-37500000

000 000 000 -24479 000 -5100 000 000


49985300000

000000

000 000 000 3880 000 -728800 000 49260380


100561729000

000000

000 000 -67492 -155855 000 31092 000 100369473


00034974800

000000

000 000 10578 000 000 7529 000 34992907


34966244000

000000

000 000 26833 000 000 -172 000 34992907

CCYUSDReceivable

6698000

000000

000 000 000 000 000 000 4002 10700

CCYUSDCash

088000

000000

000 000 000 000 000 000 -001 087

CCYUSDPayable

000000

000000

000 000 000 000 000 000 000 000


00050041500

000000

000 000 -114 2083 000 -3286 000 50040183


12498486000

000000

000 000 9310 -22569 000 26065 000 12511292

36164EAB1GEET 2015-1 A2

40033871000

000000

000 000 562 000 000 14558 000 40048991


101053039000

000000

000 000 -142141 -249074 000 -18059 000 100643765


100165459000

000000

000 000 -10338 125000 000 18138 000 100298259


76494217000

000000

000 000 -326741 -487500 000 133616 000 75813592


20535773000

000000

000 000 -12478 35875 000 -4784 000 20554386


50087250000

000000

000 000 -36719 87500 000 -5381 000 50132650

3136FPET0FANNIE MAE

101794467000

000000

000 000 -419520 -500000 000 -2080 000 100872867


99908700000

000000

000 000 63889 000 000 -32889 000 99939700


76867003000

000000

000 000 86776 000 000 79375 000 77033154


16250741000

000000

000 000 20696 000 000 14431 000 16285868


100006250000

000000

000 000 000 112500 000 -300000 000 99818750


100151989000

000000

000 000 22572 -72500 000 -372 000 100101689


75360600000

000000

000 000 -67860 -150000 000 13185 000 75155925


100156006000

000000

000 000 -25915 167500 000 30415 000 100328006

89236WAB4TAOT 2015-A A2

59989773000

000000

000 000 106 000 000 30254 000 60020133


75148560000

000000

000 000 000 2390 000 -457500 000 74693450


27

Page 64




Redemptions






GainLoss




77069775000

000000

000 000 -311372 -431250 000 -64228 000 76262925


10018733000

000-10000000

000 000 000 -18433 000 -300 000 000


100125422000

000000

000 000 3322 -62500 000 -11522 000 100054722


25084493000

000000

000 000 000 -30576 000 39000 000 25092917


30139300000

000000

000 000 000 -62333 000 5100 000 30082067


49227523000

000000

000 000 000 -101811 000 8330 000 49134042


100148867000

000-100000000

000 000 -142 -144167 000 -4558 000 000


25022566000

000000

000 000 000 -676 000 -73225 000 24948665


40100000000

000000

000 000 000 -48600 000 22400 000 40073800


101747358000

000000

000 000 -406230 531250 000 -36470 000 101835908


25035503000

000000

000 000 000 39625 000 19000 000 25094128

47787WAB5JDOT 2015-B A2

00039998652

000000

000 000 048 23956 000 14939 000 40037596


00050000000

000000

000 000 000 7549 000 550 000 50008099


75897542000

000-75000000

000 000 -350511 -607292 000 60261 000 000


00075000000

000000

000 000 000 23573 000 116625 000 75140198


101896754000

000000

000 000 -422216 -497298 000 -7484 000 100969757


101896754000

000000

000 000 -418363 -497298 000 -11337 000 100969757


100071817000

000000

000 000 22779 -87500 000 15721 000 100022817


20014363000

000000

000 000 8520 -17500 000 -820 000 20004563


79187459000

000000

000 000 -272756 -397188 000 131396 000 78648912


25410507000

000000

-23841424 000 096 -5086 000 -687 000 1563406

47787VAB7JDOT 2014-A A2

28501338000

000000

-15155309 000 221 -3031 000 -2782 000 13340437

90290KAB1USAOT 2014-1 A2

10070313000

000000

-10069368 000 033 -1701 000 722 000 000

92867GAC7VALET 2012-1 A3

2401150000

000000

-2399913 000 -530 -623 000 -084 000 000

43814GAB6HAROT 2014-2 A2

10272974000

000000

-5723455 000 218 -806 000 2040 000 4550970


15784776000

000000

-4971062 000 254 -1083 001 -7533 000 10805354

------

4435867885987265894

-542724379-327500000

-104857994 000 -5643946 -3001677 000 -916491 4001 4438493293


28

Page 65



29

Page 66





50 Basis PointShock










097023BC8 BOEING CO CORP 77557125 0849 0764 1111 78215474 78215474 77987972 77126313 76695535 75834085


161571GJ7 CHAIT 2014-A1 A1 ABS 77732345 0856 0858 1289 78592101 78592101 78233352 77231382 76730464 75728763














31679KAB6 FITAT 2014-2 A2A ABS 23955337 0463 0617 0217 23987412 23987412 23981330 23929347 23903357 23851381

36164EAB1 GEET 2015-1 A2 ABS 40041080 0903 0755 000 40041080 40041080 40041080 40041080 40041080 40041080


41284AAB4 HDMOT 2014-1 A2A ABS 10803000 0497 0718 0277 10824486 10824486 10817962 10788038 10773077 10743155

41284BAB2 HDMOT 2015-1 A2A ABS 39969270 0802 0807 0698 40194154 40194154 40108664 39829678 39689889 39409716



43814GAB6 HAROT 2014-2 A2 ABS 4550329 0399 1136 0054 4553121 4552786 4551558 4549101 4547872 4545415

43814KAB7 HAROT 2015-1 A2 ABS 33496014 0707 0726 0399 33593046 33593046 33562840 33429191 33362371 33228742


93319022 0462 0252 0377 93407680 93407680 93407680 93143119 92967223 92615453


99700000 045 0824 0801 100358078 100358078 100099311 99300714 98901453 98103005


47787VAB7 JDOT 2014-A A2 ABS 13337769 0454 0804 0065 13344739 13344739 13342104 13333434 13329099 13320430

47787WAB5 JDOT 2015-B A2 ABS 40013640 0992 0938 1066 40413771 40413771 40226922 39800376 39587131 39160693


58768EAC3 MBALT 2014-A A2A ABS 1563073 0482 0796 0044 1563620 1563620 1563417 1562729 1562385 1561697


65477WAB2 NAROT 2014-B A2 ABS 60213804 0608 0785 033 60369794 60369794 60313160 60114454 60015108 59816429





70659PAE1 PENAR 2013-1A A1 ABS 74990100 0595 0699 0053 75017882 75017882 75009972 74970228 74950355 74910610




30

Page 67







50 Basis PointShock







89236WAB4 TAOT 2015-A A2 ABS 60001200 0712 069 0382 60159357 60159357 60115805 59886600 59772007 59542839

90290XAB3 USAOT 2015-1 A2 ABS 48097632 0828 0693 1504 48598976 48598976 48459345 47735956 47374318 46651153












CCYUSD Cash CASH 087 000 000 000 087 087 087 087 087 087

--- --- --- 4429392988 0521 0575 047 4440207556 4440012694 4437618810 4418979071 4408563561 4387727762


31

Page 68



32

Page 69


CONTRA COSTA COUNTY


ShareAmount

201-000004-10Average

Cost NAV

Average

Cost Amount

Realized

GainLoss


08312015 BALANCE FORWARD 14828923123 1002 14858580969 1002517967 14866261865


09302015 ENDING BALANCE 14828923123 1002 14866261865 14858580969










Phone 8007733863

Fax 252-972-1908


CONTRA COSTA COUNTY

CONTRA COSTA COUNTY

ATTN BELINDA ZHU

625 COURT STREET

ROOM 102


Page 1 of 1

Page 70


September 30 2015

CalTrust

Short Term

LAIF



Yield 034052





CalTrust

Short Term

Total Return

CalTrust

Short Term

Yield Return

LAIF Yield

Return

010 003004One Month


021 016024Six Month

041 029045One Year

043 027042Two Year


044 032044Five Year

181 172178Ten Year


Annualized


Total 1000



Total 1000









the month




Page 71




Page 72


Page 73



Page 74

SECTION III

APPENDIX




September 30 2015

FY 2015-2016


NUMBER 063015 072115 093015

100300 237517555 (14241865) 223275690

TOTALS 237517555 -14241865 000 000 000 000 000 223275690


Page 75

EXHIBITS










TOTAL $236548791215 10000



Less 1 yr $176302182693 7453

1 to 2 yrs 30507848304 12902 to 3 yrs 22479209821 950

3 to 4 yrs 6746274707 2854+ yrs 513275690 022

TOTAL $236548791215 10000


US Treasuries123


Money Market4697

ABSMBS019




Other 824

Cash548


Less 1 yr7453


9503 to 4 yrs285

4+ yrs022


Exhibit II





($) () () (day) (year)




2 Other



C Cash $12964473527 549 03500 4 1 NA








WEIGHTED

Exhibit III








5 Corporate Notes 16100700000 13527200000 2573500000 1902

TOTAL 184533165409 219726365409 (35193200000) -1602




Subtotal 19500651901 19504260129 (3608228) -002

TOTAL 39051152279 40698368474 (1647216195) -405

C Cash 12964473527 29335994238 (16371520711) -5581






Exhibit IV

Quarter Ending

















Exhibit IV (a)

Quarter Ending














Exhibit IV (b)

000

050

100

150

200

250

300

350

400

450

500

550



Exhibit IV (c)

-200

-100

000

100

200

300

400

500

600

700

93015 32816 92416 32317 91917 31818 91418 31319 9919 3720 9320

Yie

ld t

o M

atu

rity

Maturity Dates


CountyTreasurer

Wells CapitalMgmt







Risk Assessment



Exhibit IV (d)



DATE YTM ()









Exhibit V









Total $246365406496 10000




Exhibit V (a)




93015 Ave Maturity






Rate Yield





Six Month LIBOR 05340 05545 05051 04445



Exhibit V (b)

00000

10000

20000

30000

40000

50000

60000



Treasurer

LAIF

Wells CapitalMgmt

CalTRUST

Exhibit VI













Total $5372100000

Fund







Exhibit VI (a)






























































Exhibit VI (a)
















































TOTAL 51134346284 51034580657 51239469518


Exhibit VI (b)



Total $1575955394 $1579235118 $1577862697


September 30 2015







TREASURY 2350$ 950$ 1750$ 850$ 800$ 4150$ 500$ 5700$ 6200$ 10900$ 500$

REPO

TDs 1770$ 1058$ 1538$ 522$ 430$ 311$

AGENCY 903$ 250$ 750$ 950$ 1030$ 1350$ 1725$ 1700$ 505$ 577$ 781$

CP 1400$ 650$ 375$ 50$ 150$ 200$

CDs + BNs 5900$ 1500$ 2625$ 1250$ 400$ 600$ 500$ 500$ 200$

CORP BND TOTAL

67100$ 12323$ 4408$ 7038$ 3622$ 2810$ 6611$ 2725$ 7900$ 6905$ 11477$ 1281$

PERCENT 184 66 105 54 42 99 41 118 103 171 19 00 00















TOTAL 6649401194538$ $ 6651219520504 $ 6655174641252 3940591830$















1 Structured Notes



Structured Notes

















Exhibit VIII






(bps) ($) ($) (bps)

‐50 185664633657 100613 4139

‐25 185280659319 100405 2064

‐10 185051371991 100281 826

0 184898968418 100198 000

10 184746927139 100116 ‐821

25 184519541875 99993 ‐2048

50 184142360805 99788 ‐4094









Exhibit IX



















Total $722500000 $745685162






Table of Contents







Exhibits























0

1

2

3

4

5

6

7

0996 0999 0902 0905 0908 0911 0914

Percentage



‐10

‐8

‐6

‐4

‐2

0

2

4

6

8

10

123115123112123109123106123103123100123197

Percentage


GDP QoQ Change

‐3

‐2

‐1

0

1

2

3

4

5

6

123115083113043011123108083106043004123101083199043097

Percentage



0

2

4

6

8

10

12


Percentage

UNEMPLOYMENT RATE

Unemployment Rate

Page 4

SECTION III

APPENDIX



Contra Costa County

As Of Date 09302015




Subtotal 983462 8189300000 8233436042 9158886 30409599

862858 8208097931 100538948 -5046210


Subtotal 240000 24900000 24872154 28884 2532

240573 24840738 99888169 000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690


Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796


Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890


Subtotal 1021082 2916000000 2932452140 6759174 8684053

911013 2925760026 100564202 -846221




Page 5


Contra Costa County

As Of Date 09302015




Subtotal 328043 61284800000 61261659931 56430381 12307195

328594 61192922725 99962242 -370


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


Subtotal 1042646 317000000 316972369 142084 000

1046859 316972369 99991284 000


Subtotal 148207 599700000 599636986 443798 78864

148407 599114324 99989492 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


Subtotal 2133314 722500000 745685162 4095807 000

1186443 745685162 103209019 000





Contra Costa County

As Of Date 09302015




Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


Subtotal 462200 245000000 244328496 77076 000

510490 244852020 99725917 -523524


Subtotal 1185757 415000000 414678000 1184241 000

1212249 414678000 99922410 000


1256393 15127367242 100488445 -34126750

Subtotal 1504454 15050700000 15124214321 53058340 41320219


Subtotal 900000 202500000 201230550 10125 000

900000 202500000 99373111 -1269450


Subtotal 481820 1050000000 1049987000 1193357 4755000

1382208 1045245000 99998762 -13000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000




Page 7


Contra Costa County

As Of Date 09302015




600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000



585858 184721498440 100198232 -130630560



Page 8


Contra Costa County

As Of Date 09302015





TIME DEPOSIT 334 334 334 10000 000 060

MBSABS 459500 460215 460215 10000 000 105

CORPORATE NOTES 16100700 16172612 16174201 10001 11935 126

NCDYCD 49775700 49775230 49796227 10004 20997 037


MUNICIPALS 722500 745685 745685 10000 000 119

US AGENCIES 53217100 53392208 53471663 10015 82468 085

US TREASURIES 2916000 2925760 2932452 10023 7838 091

Totals(000s) 184533165 184721498 184898968 10010 135545 059


Asset Allocation

Page 9


Contra Costa County

As Of Date 09302015




Page 10


Contra Costa County

As Of Date 09302015




09302019 1403864 36542813 102120000 SUNGARD 000


03312018 1076208 346541016 99857000 SUNGARD 000


03312017 622165 362158668 100729000 SUNGARD -37913


07312018 916641 8619531 101340000 SUNGARD -5631



02282019 1336788 12518555 101027000 SUNGARD 000



04302019 1138894 502187500 100536000 SUNGARD 000


10312016 545942 183969297 100641000 SUNGARD -802677

07312018 1446611 38393223 101340000 SUNGARD 000

08312017 1013383 55069273 99922000 SUNGARD 000




06302017 928142 12941602 100275000 SUNGARD 000

11302017 1165963 21093969 103284000 SUNGARD 000

05312017 818703 36357472 100074000 SUNGARD 000


11302017 874222 45733582 99818000 SUNGARD 000




01312017 734933 27577783 100518000 SUNGARD 000

06302017 788660 285758043 100275000 SUNGARD 000

03312019 1589638 7009420 101833000 SUNGARD 000




05152019 1503637 10172422 107099000 SUNGARD 000




Page 11


Contra Costa County

As Of Date 09302015




06102016 475000 249504983 99998000 SUNGARD 000




06082018 1390090 617211350 100643000 SUNGARD 000


06102016 745089 299310440 101181000 SUNGARD -11956400

09082017 790076 16967190 100023000 SUNGARD 000

06192017 850065 288880000 100628000 SUNGARD 000



82122 GOV FHLB NOTES 3130A33J1 09192014 1200000 500000000 504515000 200000 4515000

06082018 1410094 298200000 100643000 SUNGARD 000

09192017 1200000 500000000 100903000 SUNGARD 000

10142016 572077 1001020000 100180000 SUNGARD 000




06102016 760030 199664780 101181000 SUNGARD -7926785


07312018 1111402 97644950 103810000 SUNGARD 000


04152018 921899 399252305 99836000 SUNGARD 000


03312018 874966 51323255 99857000 SUNGARD 000


05152020 1503393 26314770 109626000 SUNGARD 000

03312018 860670 169535156 99857000 SUNGARD 000


03312017 545225 169141875 100729000 SUNGARD 000


06302020 1499897 19903546 102362000 SUNGARD 000


911013 2925760026 100564202 -846221

Subtotal 1021082 2916000000 2932452140 6759174 8684053



Page 12


Contra Costa County

As Of Date 09302015





09282016 615106 196637520 100076000 SUNGARD 000

03082019 1415035 501660000 101036000 SUNGARD 000

09282016 530086 283895537 100076000 SUNGARD 000




12092016 571735 1965471750 101299000 SUNGARD -12933525

11232016 556000 209262834 100148000 SUNGARD 000


03102017 739127 300801000 100273000 SUNGARD 000

04252018 1155323 999070000 100679000 SUNGARD 000


82419 GOV FHLB NOTES 3130A4K27 03092015 720000 1000000000 1001840000 500000 3470000


03062017 802655 998370000 100184000 SUNGARD 000


12122016 720127 499305000 100148000 SUNGARD 000

12122016 670252 350206500 100178000 SUNGARD 000

12122016 770206 499315000 100178000 SUNGARD 000

82271 GOV FHLB NOTES 3130A3Q64 12232014 700000 500000000 500890000 1059722 1575000

12162016 620043 249372500 100074000 SUNGARD 000

09282016 470153 1147573500 100076000 SUNGARD 000



12012015 215107 36978910 100008000 SUNGARD 000


12092016 571735 628645050 101299000 SUNGARD -4136715




09282016 470201 76538250 100076000 SUNGARD 000


08152017 1000000 1000000000 100565000 SUNGARD 000

12082017 1180284 449280000 100653000 SUNGARD 000

01062017 750000 1000000000 100174000 SUNGARD 000




Page 13


Contra Costa County

As Of Date 09302015





06242016 330908 25014667 99904000 SUNGARD -34500


10302018 1300000 500000000 100363000 SUNGARD 000


06292018 1100000 1000000000 100351000 SUNGARD 000

08282017 858202 152158400 100087000 SUNGARD 000

05302017 692495 100021625 100010000 SUNGARD 000


09132019 1400130 249833889 100383000 SUNGARD 000

82664 GOV FHLB NOTES 3130A6B63 08142015 1200000 1000000000 1005600000 1566667 5600000

08142018 1200000 1000000000 100560000 SUNGARD 000




03242017 840000 16500000 100270000 SUNGARD 000

82550 GOV FHLB NOTES 3130A57K9 05042015 1000000 1000000000 1000830000 4083333 2310000

04202016 290248 160920618 99999000 SUNGARD 000


03182016 330364 199739400 100113000 SUNGARD -13965


03242017 840000 160000000 100270000 SUNGARD 000



05302017 666017 142881310 100010000 SUNGARD 000

06302017 730000 1000000000 100148000 SUNGARD 000

06142019 1563094 250600000 101365000 SUNGARD 000




05262017 720000 1000000000 100253000 SUNGARD 000

05042018 1050244 998520000 100083000 SUNGARD 000

Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890



Page 14


Contra Costa County

As Of Date 09302015





09282016 740949 98963095 100801000 SUNGARD -682120

02192019 1795148 37839867 102313000 SUNGARD 000

02192019 1795148 698481789 102313000 SUNGARD 000


05212018 1459815 15952936 99940000 SUNGARD 000



09282016 748553 23839371 100801000 SUNGARD -151136

81941 GOV FNMA NOTE 3135G0MZ3 04172014 875000 1000000000 1001390000 802083 7310000



08282017 1054521 994080000 100139000 SUNGARD 000

04202017 740235 4901372 100130000 SUNGARD 000

11272018 1489435 11567275 101788000 SUNGARD 000


03152016 1000170 423921135 100926000 SUNGARD -16684725


09282016 615791 482179778 100801000 SUNGARD -8112675


10262015 893123 616710000 100100000 SUNGARD -16110000




09282016 1160000 17373698 100801000 SUNGARD 000


05212018 1190082 19697600 99940000 SUNGARD 000


06122018 1013910 499795000 100146000 SUNGARD 000


05222018 750000 1000000000 99996000 SUNGARD -40000


02082018 970000 16424202 100153000 SUNGARD 000


04272017 600233 398143200 100831000 SUNGARD -4902300




Page 15


Contra Costa County

As Of Date 09302015




09272017 781143 201042000 100449000 SUNGARD -144000


05252018 1250000 1000000000 100461000 SUNGARD 000


02272019 1329281 608718000 101612000 SUNGARD 000


01212020 1627650 16997790 101031000 SUNGARD 000


09272017 723255 168928293 100449000 SUNGARD -164640


06122017 642309 169877783 107937000 SUNGARD -99200


10192018 1177919 12978940 100417000 SUNGARD 000


12202017 793128 170715063 100253000 SUNGARD 000

04272017 895628 20094418 100831000 SUNGARD 000




09122019 1889799 16489776 101774000 SUNGARD 000


09272017 1117972 37893058 100449000 SUNGARD 000

09272017 1117972 12953590 100449000 SUNGARD 000

04272017 895628 55830780 100831000 SUNGARD 000


07052016 397750 1243589480 100002000 SUNGARD 000




07052016 397750 563314045 100002000 SUNGARD 000


11272018 1385424 12618750 101788000 SUNGARD 000

11262019 1612998 10065300 101773000 SUNGARD 000

11272018 1380107 606649400 101788000 SUNGARD 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796



Page 16


Contra Costa County

As Of Date 09302015




10102017 1156802 999800000 100782000 SUNGARD 000




01162019 1620035 199030000 100641000 SUNGARD 000


12072016 972048 249713430 100541000 SUNGARD 000

12102015 340213 553945500 100001000 SUNGARD 000

11012016 700000 500000000 100425000 SUNGARD 000



11142016 600000 1000000000 100152000 SUNGARD 000

12012016 590074 499900000 100199000 SUNGARD 000

12152016 720000 1000000000 100283000 SUNGARD 000



03282016 790000 399681830 100413000 SUNGARD -2347589

03282016 810254 407765280 100413000 SUNGARD -2096760





05172017 790074 19891400 99878000 SUNGARD 000

11292016 640000 1000000000 100003000 SUNGARD 000

07122016 600206 249886330 100225000 SUNGARD 000





02252018 920628 44439670 100999250 BOOK 000

04012018 1201381 38884861 100999639 BOOK 000

Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000




Page 17


Contra Costa County

As Of Date 09302015




03082017 1120062 16901230 100636000 SUNGARD 000



01192016 2330564 17226700 101365000 SUNGARD -1515125



04012016 240573 24840738 99888167 SUNGARD 000


240573 24840738 99888169 000

Subtotal 240000 24900000 24872154 28884 2532



09142017 860067 499231667 100145000 SUNGARD 000


01222018 1096935 997190000 100326000 SUNGARD 000

03292018 1130145 498000000 100174000 SUNGARD 000

04022018 1000000 1000000000 100462000 SUNGARD 000


03212016 308272 303970816 100084000 SUNGARD 000




03212016 308272 1015902464 100084000 SUNGARD 000

08042020 1730194 17046216 101041000 SUNGARD 000


09142017 810304 499700000 100145000 SUNGARD 000



08052019 1350014 100657333 100507000 SUNGARD -67000

08052019 1350014 301972000 100507000 SUNGARD -201000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690



Page 18


Contra Costa County

As Of Date 09302015





08082018 1200000 248600000 100279000 SUNGARD 000

08082018 1200000 11000000 100279000 SUNGARD 000

03082017 643501 1970224915 100636000 SUNGARD -2287935




07282017 1002272 46497404 100676000 SUNGARD 000

01272017 586812 137279806 99981000 SUNGARD 000


07282017 853802 9532300 100676000 SUNGARD 000

03082017 643501 955642205 100636000 SUNGARD -1109745




03082017 672177 99174725 100636000 SUNGARD -48265


03082017 780254 389546460 100636000 SUNGARD -85140

03072018 1250049 695847428 100085000 SUNGARD 000

03072018 1279731 15453824 100085000 SUNGARD 000


09292017 764157 4526353 100605000 SUNGARD 000

07282017 1001893 80995464 100676000 SUNGARD 000



10142016 773322 6507265 100429000 SUNGARD 000

82009 RM GOV FHLMC 3137EADH9 06132014 1000000 248400000 250094088 634800 1285271

07282017 1002272 3999777 100676000 SUNGARD 000




09292017 1033085 499490000 100605000 SUNGARD 000


06292017 945000 248808817 100682000 SUNGARD 000

09292017 1070130 997770000 100605000 SUNGARD 000

07282017 1001893 7499580 100676000 SUNGARD 000




Page 19


Contra Costa County

As Of Date 09302015





01012017 1618751 18954234 111495494 BOOK 000

01012017 2592295 42131877 108030454 BOOK 000

01012018 1301222 69692506 116154177 BOOK 000


02012016 929226 12040560 100338000 BOOK 000



02012016 929226 55185900 100338000 BOOK 000



01152016 1616968 54750638 108417105 BOOK 000

12012018 1638640 42755012 109628236 BOOK 000

05152016 907000 41500000 100000000 BOOK 000


08012016 6525847 745300 74530000 BOOK 000




08012017 1402000 44000000 100000000 BOOK 000


05152017 966000 17500000 100000000 BOOK 000


05152016 659000 124000000 100000000 BOOK 000


05302017 710296 999170000 99991000 SUNGARD 000


07282017 853802 431963700 100676000 SUNGARD 000


05302019 1480153 10125978 102032000 SUNGARD 000


05302019 1379985 304314000 102032000 SUNGARD 000


862858 8208097931 100538948 -5046210

Subtotal 983462 8189300000 8233436042 9158886 30409599



Page 20


Contra Costa County

As Of Date 09302015





02092016 290853 99407657 99949056 SUNGARD 000


10232015 120070 499706667 99997556 SUNGARD 000

148407 599114324 99989492 000

Subtotal 148207 599700000 599636986 443798 78864


09012016 431873 109523058 99711000 SUNGARD 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


82684 RM GOV FNMA DISC 313588C29 09112015 400000 29500000 29425660 6556 30221

08152016 401514 29388883 99748000 SUNGARD 000

Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


11012016 1090101 12558625 100469000 BOOK 000


11012016 1090101 79370510 100469000 BOOK 000


05152018 2054000 19500000 100000000 BOOK 000



10012017 1090000 11000000 100000000 BOOK 000


05022016 780000 100000000 100000000 BOOK 000

1186443 745685162 103209019 000

Subtotal 2133314 722500000 745685162 4095807 000



Page 21


Contra Costa County

As Of Date 09302015





10132015 330552 1996663333 99994000 SUNGARD 000


11102015 270422 2496100000 99980000 SUNGARD 000


10092015 290426 2496334722 99996000 SUNGARD 000


10232015 380776 2494906944 99989000 SUNGARD 000


11252015 441203 2493186111 99972500 SUNGARD 000



10272015 260367 2496479167 99987000 SUNGARD 000


02222019 1083588 59917969 99863282 BOOK 000


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


07172017 710792 62999402 99999051 BOOK 000


10152019 1059409 84482238 99978980 BOOK 000


06152017 704310 41997808 99994781 BOOK 000



04182019 1270662 45499440 99998769 BOOK 000


03162020 1343408 81993481 99992050 BOOK 000

1046859 316972369 99991284 000

Subtotal 1042646 317000000 316972369 142084 000




Page 22


Contra Costa County

As Of Date 09302015





10062015 220123 399974999 99997500 SUNGARD 000

10062015 220123 90049344 99997500 SUNGARD 000

10062015 220124 340008732 99997500 SUNGARD 000




10062015 220124 199987499 99997500 SUNGARD 000

10062015 220123 310025599 99997500 SUNGARD 000


10062015 220124 2100018659 99997500 SUNGARD 000

10062015 220124 569979365 99997500 SUNGARD 000




10062015 220124 429958132 99997500 SUNGARD 000


12112015 290508 1996503889 99956611 SUNGARD 000

12102015 310570 2495414583 99957222 SUNGARD 000

11092015 250314 162295747 99980500 SUNGARD 000


10282015 390830 2993630000 99986500 SUNGARD 000

10062015 220123 359997488 99997500 SUNGARD 000



11242015 441175 2992006667 99973000 SUNGARD 000


10062015 220125 110038099 99997500 SUNGARD 000




10062015 220124 239965010 99997500 SUNGARD 000


02052016 360971 49865500 99887111 SUNGARD 000

12162015 400770 2495194444 99953556 SUNGARD 000

10062015 220124 519507757 99997500 SUNGARD 000




Page 23


Contra Costa County

As Of Date 09302015





10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

11122015 290234 1998388889 99979000 SUNGARD 000




10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


12102015 350436 2496888889 99957222 SUNGARD 000




12292015 300368 2996325000 99945611 SUNGARD 000

10062015 220125 155012799 99997500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



10062015 220124 559984987 99997500 SUNGARD 000

10062015 220132 44974699 99997500 SUNGARD 000


10302015 210106 199897334 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



Page 24


Contra Costa County

As Of Date 09302015





10092015 170027 76689134 99996000 SUNGARD -170

10092015 170024 89987250 99996000 SUNGARD -200

06172016 653172 393081509 99610000 SUNGARD 000





03012016 551533 174513403 99864889 SUNGARD 000


03212016 511311 198988449 99847111 SUNGARD 000



03212016 511311 393987154 99847111 SUNGARD 000

12212015 280196 394723500 99950500 SUNGARD 000

06172016 653172 198531040 99610000 SUNGARD 000



12152015 290292 2497482639 99954167 SUNGARD 000

12152015 320359 2497200000 99954167 SUNGARD 000

05162016 683473 198983778 99746667 SUNGARD 000


01282016 471076 2494288194 99914056 SUNGARD 000

10302015 180054 499850000 99985500 SUNGARD 000



12152015 340405 2497025000 99954167 SUNGARD 000


12162015 320313 2497555556 99953556 SUNGARD 000

10302015 180054 299910000 99985500 SUNGARD 000

10302015 180054 263920800 99985500 SUNGARD 000


02172016 541438 49867250 99876444 SUNGARD 000




02172016 541438 49867250 99876444 SUNGARD 000



Page 25


Contra Costa County

As Of Date 09302015





12152015 430000 2500000000 100069620 SUNGARD 000

12162015 420000 2500000000 100068399 SUNGARD 000

05262017 1150000 195000000 100000000 BOOK 000


05202016 730000 200000000 100218822 SUNGARD 000



05262016 730000 100700000 100224474 SUNGARD 000



12152015 390000 2500000000 100061182 SUNGARD 000

12152015 370000 2500000000 100056968 SUNGARD 000

12152015 360000 2500000000 100054858 SUNGARD 000



02022016 400000 50000000 100065730 SUNGARD 000




12222015 400000 50000000 100069078 SUNGARD 000

11132015 390000 1000000000 100035418 SUNGARD 000

11242015 310000 2500000000 100032057 SUNGARD 000


04212017 1070000 200000000 100000000 BOOK 000


10302015 370000 1500000000 100022484 SUNGARD 000




12212015 280196 199360350 99950500 SUNGARD 000


01042016 275204 2997777083 99931389 SUNGARD 000

328594 61192922725 99962242 -370

Subtotal 328043 61284800000 61261659931 56430381 12307195



Page 26


Contra Costa County

As Of Date 09302015





10132015 220000 25000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000

12282015 320000 2500000000 100054363 SUNGARD 000




10132015 220000 70000000 100004331 SUNGARD 000

10132015 220000 330000000 100004331 SUNGARD 000

10132015 220000 10000000 100004331 SUNGARD 000


12232015 280000 2500000000 100041980 SUNGARD 000




01082016 450000 2500000000 100066587 SUNGARD 000

01062016 390000 110000000 100048921 SUNGARD 000




01062016 390000 200000000 100048921 SUNGARD 000



12162015 390000 2500000000 100061994 SUNGARD 000

01062016 390000 430000000 100048921 SUNGARD 000


10132015 220000 12500000 100004331 SUNGARD 000


10132015 220000 20000000 100004331 SUNGARD 000

10132015 220000 140000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000


10132015 220000 800000000 100004331 SUNGARD 000




10132015 220000 30000000 100004331 SUNGARD 000



Page 27


Contra Costa County

As Of Date 09302015




01102017 433450 50000000 99974000 SUNGARD -13000



01082016 1429873 995245000 100000000 SUNGARD 000

1382208 1045245000 99998762 -13000

Subtotal 481820 1050000000 1049987000 1193357 4755000



01042016 320000 3000000000 100029316 SUNGARD 000

02262016 400000 3000000000 100078571 SUNGARD 000

01272016 300000 3000000000 100029729 SUNGARD 000


10132015 180000 130000000 100002888 SUNGARD 000




10132015 180000 370000000 100002888 SUNGARD 000


01252016 390000 2500000000 100058419 SUNGARD 000

10132015 180000 210000000 100002888 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000


01082016 250000 2500000000 100011103 SUNGARD 000




01152016 320000 2500000000 100032671 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000

10132015 180000 770000000 100002888 SUNGARD 000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000



Page 28


Contra Costa County

As Of Date 09302015




08152016 967967 98447795 100315000 SUNGARD 000




08152016 1018105 35432550 100315000 SUNGARD 000


05032018 1076001 17435425 99533000 SUNGARD -17150

01152017 945019 179712000 100183000 SUNGARD 000

01082016 1028965 499635000 100166000 SUNGARD 000



10052017 1545080 494450000 100124000 SUNGARD 000

12062018 1750063 636846084 101325000 SUNGARD 000

12152017 1510075 517962978 99821000 SUNGARD 000



02152017 1165961 13474890 100496000 SUNGARD 000




10252015 937036 509910000 100064000 SUNGARD -9590000

02152017 1203989 23914080 100496000 SUNGARD 000

01082016 1000000 500000000 100166000 SUNGARD 000


02092018 1579059 24465945 100812000 SUNGARD 000


12052017 1104000 10500000 99599000 SUNGARD -42105



09292016 900000 202500000 99373111 SUNGARD -1269450


900000 202500000 99373111 -1269450

Subtotal 900000 202500000 201230550 10125 000




Page 29


Contra Costa County

As Of Date 09302015





01152016 489343 160248340 100419000 SUNGARD -1586320

09192016 840060 157402875 101738000 SUNGARD -2252425

07202016 787164 160089150 100430000 SUNGARD -405450




01082016 475357 159796590 100166000 SUNGARD -532650

09152016 616979 159141840 101129000 SUNGARD -1380600

07222016 490189 159903875 101149000 SUNGARD -1605690


01302017 828281 159360655 100156000 SUNGARD -613395




01082016 475357 199996990 100166000 SUNGARD -666650

05222017 1200940 99106800 101057000 SUNGARD -576225




05052017 1067075 149920500 100385000 SUNGARD 000



01162018 1720116 495990000 99905000 SUNGARD 000

04212017 1005095 36994450 100393000 SUNGARD 000


09082017 1433868 80919810 100069000 SUNGARD 000


12052017 1250044 995751000 99599000 SUNGARD 000

01122018 1496870 21969860 100117000 SUNGARD 000

05182016 435141 159553320 100153000 SUNGARD -310050


11152017 1345000 35000000 100347000 SUNGARD 000




11212017 1151867 112910730 100643000 SUNGARD 000



Page 30


Contra Costa County

As Of Date 09302015





03022018 1372881 999770000 100091000 SUNGARD 000

03132018 1545883 12982580 99826000 SUNGARD -5200

08072019 1743001 11760300 115655000 SUNGARD -194800




03062018 1305000 156500000 100236000 SUNGARD 000

03062018 1305000 12500000 100236000 SUNGARD 000


05222018 1603145 159985600 99801000 SUNGARD -304000

05032018 1257267 992760000 99533000 SUNGARD 000

82554 CORP APPLE INC 037833AJ9 05122015 1000000 1000000000 995330000 4111111 2820000



05122017 934955 56461015 100192000 SUNGARD 000


07222016 490189 200263000 101149000 SUNGARD -2010960

09152016 616979 198927300 101129000 SUNGARD -1725750

05182016 435141 199692520 100153000 SUNGARD -388050


01152016 489343 200310425 100419000 SUNGARD -1982900

03022018 1365000 106500000 100091000 SUNGARD 000



07202016 787164 199859725 100430000 SUNGARD -506175


02062018 1228864 15951200 99758000 SUNGARD 000


82386 CORP IBM CORP 459200HZ7 02112015 1125000 500000000 498790000 859375 980000


02062018 1274939 497810000 99758000 SUNGARD 000


09192016 840060 196624575 101738000 SUNGARD -2813685

01302017 828281 199075140 100156000 SUNGARD -766260

02062018 1228864 187426600 99758000 SUNGARD 000




Page 31


Contra Costa County

As Of Date 09302015





05152019 1748923 199938947 101432000 SUNGARD 000


07192018 1927831 155839382 102595000 SUNGARD -69460


03012018 1769114 499500556 99773000 SUNGARD -305000


01152017 739645 155606050 100183000 SUNGARD -35650

07192018 1927831 199185436 102595000 SUNGARD -88780

02152019 1739996 199404755 110346000 SUNGARD -247710


02012019 1927457 198743020 101021000 SUNGARD -31360


06012019 1599996 154856333 109268000 SUNGARD 000


04252019 1710407 200128717 101608000 SUNGARD -157950




06152018 1655855 172470675 100729000 SUNGARD 000


06152018 1655855 12997790 100729000 SUNGARD 000


05222018 1603145 12498875 99801000 SUNGARD -23750


05152018 1658000 499908681 99381000 SUNGARD -2620000


07172017 1139621 9996800 100401000 SUNGARD 000


08072018 1435833 133761480 100529000 SUNGARD 000


07132018 1567156 499814583 100455000 SUNGARD 000


09082017 1252137 110346500 100069000 SUNGARD -270600


07132018 1579121 40965150 100455000 SUNGARD 000

Subtotal 1504454 15050700000 15124214321 53058340 41320219



Page 32


Contra Costa County

As Of Date 09302015





05242017 600000 333577 100000000 BOOK 000

600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000


10012015 000000 53722612 100000000 BOOK 000



10012015 000000 2809220 100000000 BOOK 000

Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


06102016 510490 244852020 99725917 SUNGARD -523524


510490 244852020 99725917 -523524

Subtotal 462200 245000000 244328496 77076 000



09112017 1430018 199678000 99839000 BOOK 000


04062017 1010000 215000000 100000000 BOOK 000

1212249 414678000 99922410 000

Subtotal 1185757 415000000 414678000 1184241 000


1256393 15127367242 100488445 -34126750


585858 184721498440 100198232 -130630560



Page 33

Page 34

SECTION III

APPENDIX



































TOTAL 19550500378 19562126005

Page 35

SECTION III

APPENDIX





Page 36













Page 37

Asset Class










Other 48977

--- 10000



Risk Metric Value

Cash 10787

MMFund 163929061


Duration 047

Convexity -0018

WAL 0686



Yield 0575

Book Yield 0521


Balance Sheet





1

Page 38


Rating 0 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5 - 7 7 - 10 10 - 15 15 - 30

AAA 57859 600 000 000 000 000 000 000 000

AA 18868 0565 000 000 000 000 000 000 000

A 14937 177 000 000 000 000 000 000 000

BBB 000 000 000 000 000 000 000 000 000

BB 000 000 000 000 000 000 000 000 000

B 000 000 000 000 000 000 000 000 000

CCC 000 000 000 000 000 000 000 000 000

CC 000 000 000 000 000 000 000 000 000

C 000 000 000 000 000 000 000 000 000

NA 000 000 000 000 000 000 000 000 000

Time To Maturity

Credit Rating

Duration


2

Page 39




3

Page 40



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0108 0106 0001

Year to Date 01012015 09302015 0406 0218 0188

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0125 0064 0061

Prior Year 01012014 12312014 0319 012 0199

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0487 0231 0256





4

Page 41








5

Page 42



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0094 0106 -0013

Year to Date 01012015 09302015 032 0218 0102

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0082 0064 0018

Prior Year 01012014 12312014 0203 012 0083

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0372 0231 0142





6

Page 43








7

Page 44


As of 06302015 09302015





Begin DateEnd Date

0701201509302015




Net Income 5064302



Begin DateEnd Date

0701201509302015





8

Page 45





BaseExpense












097023BC8 75000000 BOEING CO 375 11202016 11202016 000 000 -542232 703125 000 160893 01262015

CCYUSD 087 Cash 000 09302015 09302015 -1522403 000 000 000 -626822 -626822 ---



161571GJ7 77500000 CHAIT 2014-A1 A1 115 01152019 01152017 000 000 -15165 133688 000 118523 08072015


3136G1NQ8 000 FANNIE MAE 100 06192017 06192017 000 000 000 216667 000 216667 06112015

3136FPET0 100000000 FANNIE MAE 200 03102016 03102016 000 000 -419520 500000 000 80480 03262015














31679KAB6 23963868 FITAT 2014-2 A2A 045 04172017 12182015 000 -001 1129 36587 000 37716 06112014

3134G4TH1 000 FREDDIE MAC 030 07082015 07082015 000 000 -142 5833 000 5691 01132014

36164EAB1 40000000 GEET 2015-1 A2 089 11242017 08192016 000 000 562 89001 000 89563 03042015


43814GAB6 4552100 HAROT 2014-2 A2 039 09192016 10192015 000 000 022 542 000 564 05212014

43814GAB6 000 HAROT 2014-2 A2 039 09192016 10192015 000 000 195 6747 000 6943 05212014

43814KAB7 33500000 HAROT 2015-1 A2 070 06152017 02232016 000 000 245 58626 000 58871 01282015



41284AAB4 10809821 HDMOT 2014-1 A2A 049 04152018 01092016 000 001 254 16152 000 16407 04162014

41284BAB2 39974707 HDMOT 2015-1 A2A 080 01152019 03102016 000 -000 110 90035 000 90145 01282015

437076BJ0 75000000 HOME DEPOT INC 0707 09152017 09152017 000 000 000 23573 000 23573 09152015





47787VAB7 13340757 JDOT 2014-A A2 045 09152016 10232015 000 000 013 2501 000 2515 04092014

47787VAB7 000 JDOT 2014-A A2 045 09152016 10232015 000 000 207 20737 000 20944 04092014

47787WAB5 40000000 JDOT 2015-B A2 098 06152018 10282016 000 000 048 23956 000 24004 09092015


9

Page 46





BaseExpense





58768EAC3 1563282 MBALT 2014-A A2A 048 06152016 10152015 000 000 096 15691 000 15787 04092014


65477WAB2 60250859 NAROT 2014-B A2 060 06152017 01292016 000 -000 1039 104725 000 105764 12102014






70659PAE1 75000000 PENAR 2013-1A A1 0603 11182017 11182015 000 000 000 112085 000 112085 11212013

69349LAH1 75000000 PNC BANK NA 080 01282016 12282015 000 000 -67860 150000 000 82140 04302015










89236WAB4 60000000 TAOT 2015-A A2 071 07172017 02172016 000 000 106 106500 000 106606 03042015







912828B82 100000000 US TREASURY NB 025 02292016 02292016 000 000 47512 62731 000 110244 03202014

912828QX1 000 US TREASURY NB 150 07312016 07312016 000 000 -90103 128385 000 38283 11062014

912828QX1 100000000 US TREASURY NB 150 07312016 07312016 000 000 -177299 248641 000 71342 11062014

912828VL1 000 US TREASURY NB 0625 07152016 07152016 000 000 -11004 25870 000 14865 06012015

912828VL1 100000000 US TREASURY NB 0625 07152016 07152016 000 000 -56488 130774 000 74286 06012015

912828RF9 100000000 US TREASURY NB 100 08312016 08312016 000 000 -46350 82418 000 36067 10312014

912828RF9 000 US TREASURY NB 100 08312016 08312016 000 000 -95791 168508 000 72718 10312014

912828WQ9 100000000 US TREASURY NB 050 06302016 06302016 000 000 -10338 125000 000 114662 07012014

912828WQ9 000 US TREASURY NB 050 06302016 06302016 000 000 000 000 000 000 07012014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -422216 502702 000 80486 07312014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -418363 502702 000 84339 12312014

90290KAB1 000 USAOT 2014-1 A2 038 10172016 08152015 000 000 033 2694 000 2728 02282014

90290XAB3 48000000 USAOT 2015-1 A2 082 03152018 06152016 000 000 355 69925 000 70280 07292015

92867GAC7 000 VALET 2012-1 A3 085 08222016 08202015 000 000 -530 1301 000 771 10082013



--- 4418795242 --- --- 08242016 05272016 -1522403 000 -5643946 11335070 -626822 5064302 ---


10

Page 47



11

Page 48

CE

ST


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



000000

163929061163929061

000 100 000 163929061 163929061


0320176

3497480034985378

7529 9998 000 34992907 34992907


000000

1070010700

000 100 000 10700 10700


000000

087087

000 100 000 087 087

--- --- 198939848 --- AAA --- 1008201510082015

00560031

198914648198925226

7529 --- 000 198932755 198932755


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0440145

9963281399922018

124882 100046 21291 100046900 100068191


03450288

4999231949996159

20291 100032 92583 50016450 50109033


04570676

2054448520506239

-5665 100002 53813 20500574 20554386


04070676

5009100050018360

-16960 100002 131250 50001400 50132650


03260316

101596000100734160

22040 100756 116667 100756200 100872867


02540173

9974722299911805

27895 9994 000 99939700 99939700


06780491

7538400075045419

31906 100103 156586 75077325 75233911


04340493

2520400025027380

-8580 100075 76389 25018800 25095189


0510252

1623903816269182

16686 99913 000 16285868 16285868


04510252

7682552476970779

62375 99913 000 77033154 77033154


0450824

100000000100000000

-300000 9970 118750 99700000 99818750


03515319

7960500075000000

000 10000 2021250 75000000 77021250


0380158

9986800099972520

72780 100045 56389 100045300 100101689


04390516

7517850075064909

-13984 100067 105000 75050925 75155925


0611258

2911417528777256

961 100976 54625 28778217 28832842


05381258

3070590030301438

-8578 100976 57500 30292860 30350360


03820096

9978800099987783

26817 100015 102083 100014600 100116683


06620749

7663200075712709

-60884 100869 106667 75651825 75758492


06440534

7687500076018727

-57677 101281 301875 75961050 76262925


12

Page 49


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



02630231

9998700099995919

11581 100007 47222 100007500 100054722


0440404

9998000099981639

43061 100024 35000 100024700 100059700


04820796

15632411563281

-208 99986 333 1563073 1563406


0680185

3000000030000000

49200 100164 32867 30049200 30082067


0680185

4900000049000000

80360 100164 53682 49080360 49134042


1000793

7500000075000000

89250 100119 312500 75089250 75401750


04340339

101839844100883590

69510 100953 252717 100953100 101205817


07310525

7500000075000000

128250 100171 91375 75128250 75219625


04860231

4000000040000000

25200 100063 48600 40025200 40073800


0500431

103068800101117132

63568 101181 655208 101180700 101835908


03630386

5000000050000000

-3500 99993 1513 49996500 49998013


03991136

45517444552052

-1723 99961 641 4550329 4550970


06340413

2500000025000000

34250 100137 59878 25034250 25094128


05573152

5000000050000000

-768600 98463 28980 49231400 49260380


03560322

100300781100211280

25720 100237 132473 100237000 100369473


0300176

3493670834986292

6615 9998 000 34992907 34992907


0416000

5004150050041386

-3286 100076 2083 50038100 50040183


03150138

102519531100559896

72904 100633 336957 100632800 100969757


03350138

101800781100554786

78014 100633 336957 100632800 100969757


0643067

7938557578404246

-20126 10114 264792 78384120 78648912


13010992

1244687512466000

34875 100007 10417 12500875 12511292


04410206

9982000099960138

42262 100002 20417 100002400 100022817


0520206

1993360019985090

15390 100002 4083 20000480 20004563


04320372

101035156100517578

41022 100558 85165 100558600 100643765


04590271

100082031100030677

141223 100171 126358 100171900 100298259


04540804

1334023613340717

-2948 99977 2668 13337769 13340437


0860765

7627500075376462

25463 100535 411667 75401925 75813592

--- --- 2955856139 --- AA+ --- 0403201603252016

04770563

29799313792963765007

211629 --- 6927270 2963976636 2970903906


13

Page 50

LT

Summary


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0640459

3000000030000000

53700 100179 96000 30053700 30149700


05020576

4512060045102743

-84203 100041 49840 45018540 45068380


06050576

3000000030000000

12360 100041 33226 30012360 30045586


05670213

100100000100003662

13538 100017 310806 100017200 100328006


0712069

5999943059999657

1543 100002 18933 60001200 60020133


0602081

7500000075000000

-326325 99564 19775 74673675 74693450


07930927

5000000050000000

-99000 99802 51953 49901000 49952953


05950768

7500000075000000

-304875 99594 97667 74695125 74792792


07070726

3349825133498972

-2959 99988 10422 33496014 33506436


12581164

2500000025000000

40500 100162 52417 25040500 25092917


05950699

7500000075000000

-9900 99987 16326 74990100 75006426


08020807

3997438339974499

-5229 99986 14213 39969270 39983483


08560858

7764531377630148

102197 10030 39611 77732345 77771956


04630617

2396123523963281

-7944 99964 4793 23955337 23960130


07930938

2500000025000000

-63825 99744 12490 24936175 24948665


04840457

100213000100160805

-13205 100147 222222 100147600 100369822


09920938

3999865239998700

14939 100034 23956 40013640 40037596


08490764

7891350077451831

105294 103409 1023438 77557125 78580563


08280693

4799821447998569

99063 100203 17493 48097632 48115125


0788077

5000000050000000

550 100001 7549 50000550 50008099


04970718

1080908910809602

-6602 99936 2354 10803000 10805354


06080785

6024762460249350

-35545 99939 16067 60213804 60229871


07070623

7500000075000000

116625 100156 23573 75116625 75140198


09030755

3999570039997074

44005 100102 7911 40041080 40048991

--- --- 1263999255 --- AA --- 0910201711282016

06970689

12684749911266838894

-355297 --- 2173035 1266483597 1268656633


14

Page 51



BookYieldYield



Loss

MarketPrice

Base AccruedBalance


--- --- 4418795242 --- AA+ --- 0824201605272016

05210575

44473210184429529127

-136139 --- 9100306 4429392988 4438493293


15

Page 52

Does not Lock Down

Principal Paydown

Buy



CouponRate

FinalMaturity





BaseCommission

Base Amount

0915201509152015


045 04172017 Direct 000-5648497

--- 000-5648497

000 -000 000 5648497

0815201508152015


045 04172017 Direct 000-6011247

--- 000-6011247

000 -000 000 6011247

0715201507152015


045 04172017 Direct 000-6263285

--- 000-6263285

000 -000 000 6263285

0815201508152015


049 04152018 Direct 000-1726557

--- 000-1726557

000 000 000 1726557

0715201507152015


049 04152018 Direct 000-1703805

--- 000-1703805

000 000 000 1703805

0915201509152015


049 04152018 Direct 000-1540700

--- 000-1540700

000 000 000 1540700

0815201508152015


080 01152019 Direct 000-3595039

--- 000-3595039

000 000 000 3595039

0715201507152015


080 01152019 Direct 000-3002000

--- 000-3002000

000 -000 000 3002000

0915201509152015


080 01152019 Direct 000-3428254

--- 000-3428254

000 -000 000 3428254

0918201509182015


039 09192016 Direct 000-1811448

--- 000-1811448

000 -000 000 1811448

0818201508182015


039 09192016 Direct 000-1906504

--- 000-1906504

000 000 000 1906504

0718201507182015


039 09192016 Direct 000-2005503

--- 000-2005503

000 000 000 2005503

0715201507152015


045 09152016 Direct 000-4752217

--- 000-4752217

000 000 000 4752217

0815201508152015


045 09152016 Direct 000-5933214

--- 000-5933214

000 000 000 5933214

0915201509152015


045 09152016 Direct 000-4469878

--- 000-4469878

000 -000 000 4469878

0915201509152015


048 06152016 Direct 000-7784949

--- 000-7784949

000 -000 000 7784949

0815201508152015


048 06152016 Direct 000-7842966

--- 000-7842967

000 000 000 7842967

0715201507152015


048 06152016 Direct 000-8213508

--- 000-8213508

000 000 000 8213508

0815201508152015


060 06152017 Direct 000-7684473

--- 000-7684473

000 -000 000 7684473

0915201509152015


060 06152017 Direct 000-7064668

--- 000-7064668

000 000 000 7064668

0715201507152015


038 10172016 Direct 000-6260991

--- 000-6260991

000 -000 000 6260991

0815201508152015


038 10172016 Direct 000-3808377

--- 000-3808377

000 000 000 3808377

0720201507202015


085 08222016 Direct 000-2084026

--- 000-2084026

000 -000 000 2084026

0820201508202015


085 08222016 Direct 000-315887

--- 000-315887

000 000 000 315887

------


--- --- Direct 000-104857994

--- 000-104857994

000 000 000 104857994


16

Page 53



CouponRate

FinalMaturity





BaseCommission

Base Amount

0921201509242015


0776 09202017 Deutsche Bank 5000000050000000

10000 00050000000

000 000 000 -50000000

0804201508072015



100188 00077645313

54465 000 000 -77699778

0930201509302015


050 09282016 APX Asset 5000000050000000

100083 00050041500

1389 000 000 -50042889

0827201509012015



100000000100000000

9998 00099980000

000 000 000 -99980000

0908201509152015


0707 09152017 Bank of America 7500000075000000

10000 00075000000

000 000 000 -75000000

0901201509092015


098 06152018 Dain Rauscher 4000000040000000

99997 00039998652

000 000 000 -39998652

0827201508282015



99928 00034974800

000 000 000 -34974800

0827201508282015



10000 00050000000

000 000 000 -50000000

0721201507292015


082 03152018 Dain Rauscher 4800000048000000

99996 00047998214

000 000 000 -47998214

0701201507012015


005 09302015 Direct 103898103898

100 103898103898

000 000 000 -103898

0708201507082015


005 09302015 Direct 100315648100315648

100 100315648100315648

000 000 000 -100315648

0715201507152015


005 09302015 Direct 47810824781082

100 47810824781082

000 000 000 -4781082

0715201507152015


005 09302015 Direct 2211138522111385

100 2211138522111385

000 000 000 -22111385

0715201507152015


005 09302015 Direct 47629034762903

100 47629034762903

000 000 000 -4762903

0713201507132015


005 09302015 Direct 109181109181

100 109181109181

000 000 000 -109181

0720201507202015


005 09302015 Direct 40945704094570

100 40945704094570

000 000 000 -4094570

0720201507202015


005 09302015 Direct 3833338333

100 3833338333

000 000 000 -38333

0724201507242015


005 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0723201507232015


005 09302015 Direct 125000125000

100 125000125000

000 000 000 -125000

0721201507212015


005 09302015 Direct 145000145000

100 145000145000

000 000 000 -145000

0728201507282015


005 09302015 Direct 11625001162500

100 11625001162500

000 000 000 -1162500

0727201507272015


005 09302015 Direct 109389109389

100 109389109389

000 000 000 -109389

0731201507312015


005 09302015 Direct 27500002750000

100 27500002750000

000 000 000 -2750000

0803201508032015


006 09302015 Direct 125606125606

100 125606125606

000 000 000 -125606

0803201508032015


006 09302015 Direct 7658631276586312

100 7658631276586312

000 000 000 -76586312

0817201508172015


006 09302015 Direct 5513255132

100 5513255132

000 000 000 -55132

0817201508172015


006 09302015 Direct 2900316329003163

100 2900316329003163

000 000 000 -29003163

0814201508142015


006 09302015 Direct 9519495194

100 9519495194

000 000 000 -95194

0820201508202015


006 09302015 Direct 390154390154

100 390154390154

000 000 000 -390154


17

Page 54

Sell



CouponRate

FinalMaturity





BaseCommission

Base Amount

0820201508202015


006 09302015 Direct 224224

100 224224

000 000 000 -224

0820201508202015


006 09302015 Direct 12061206

100 12061206

000 000 000 -1206

0819201508192015


006 09302015 Direct 6750000067500000

100 6750000067500000

000 000 000 -67500000

0819201508192015


006 09302015 Direct 9427194271

100 9427194271

000 000 000 -94271

0818201508182015


006 09302015 Direct 77219737721973

100 77219737721973

000 000 000 -7721973

0818201508182015


006 09302015 Direct 3492134921

100 3492134921

000 000 000 -34921

0818201508182015


006 09302015 Direct 19091921909192

100 19091921909192

000 000 000 -1909192

0825201508252015


006 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0824201508242015


006 09302015 Direct 6300063000

100 6300063000

000 000 000 -63000

0831201508312015


006 09302015 Direct 625000625000

100 625000625000

000 000 000 -625000

0910201509102015


008 09302015 Direct 12100001210000

100 12100001210000

000 000 000 -1210000

0908201509082015


008 09302015 Direct 866615866615

100 866615866615

000 000 000 -866615

0911201509112015


008 09302015 Direct 421162421162

100 421162421162

000 000 000 -421162

0911201509112015


008 09302015 Direct 2243022430

100 2243022430

000 000 000 -22430

0918201509182015


008 09302015 Direct 18135161813516

100 18135161813516

000 000 000 -1813516

0918201509182015


008 09302015 Direct 3807838078

100 3807838078

000 000 000 -38078

0916201509162015


008 09302015 Direct 6830068300

100 6830068300

000 000 000 -68300

0915201509152015


008 09302015 Direct 1124587911245879

100 1124587911245879

000 000 000 -11245879

0915201509152015


008 09302015 Direct 44765574476557

100 44765574476557

000 000 000 -4476557

0915201509152015


008 09302015 Direct 1673996916739969

100 1673996916739969

000 000 000 -16739969

0921201509212015


008 09302015 Direct 9958549499585494

100 9958549499585494

000 000 000 -99585494

0921201509212015


008 09302015 Direct 250000250000

100 250000250000

000 000 000 -250000

0928201509282015


008 09302015 Direct 1584415844

100 1584415844

000 000 000 -15844

------

Buy ------

--- --- --- 987127415987127415

--- 461627415987265894

55854 000 000 -987321748



CouponRate

FinalMaturity





BaseCommission

Base Amount

0919201509192015


100 06192017 Not Provided -100000000-100000000

10000 000-100000000

-250000 000 000 100250000

0720201507202015


005 09302015 Direct -633478-633478

100 -633478-633478

000 000 000 633478

0729201507292015


005 09302015 Direct -47998214-47998214

100 -47998214-47998214

000 000 000 47998214


18

Page 55

Maturity

Summary






CouponRate

FinalMaturity





BaseCommission

Base Amount

0807201508072015


006 09302015 Direct -77699778-77699778

100 -77699778-77699778

000 000 000 77699778

0810201508102015


006 09302015 Direct -1522403-1522403

100 -1522403-1522403

000 000 000 1522403

0828201508282015


006 09302015 Direct -84974800-84974800

100 -84974800-84974800

000 000 000 84974800

0901201509012015


008 09302015 Direct -89883832-89883832

100 -89883832-89883832

000 000 000 89883832

0909201509092015


008 09302015 Direct -39998652-39998652

100 -39998652-39998652

000 000 000 39998652

0924201509242015


008 09302015 Direct -49970333-49970333

100 -49970333-49970333

000 000 000 49970333

0930201509302015


008 09302015 Direct -50042889-50042889

100 -50042889-50042889

000 000 000 50042889

------

Sell ------

--- --- --- -542724379-542724379

--- -442724379-542724379

-250000 000 000 542974379



CouponRate

FinalMaturity





BaseCommission

Base Amount

0901201509012015


0553 09012015 Maturity -10000000-10000000

10000 000-10000000

000 000 000 10000000

0915201509152015


275 09152015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0708201507082015


030 07082015 Maturity -100000000-100000000

10000 000-100000000

000 000 000 100000000

0801201508012015


0297 08012015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0819201508192015


0546 08192015 Maturity -37500000-37500000

10000 000-37500000

000 000 000 37500000

0819201508192015


0546 08192015 Maturity -30000000-30000000

10000 000-30000000

000 000 000 30000000

------

Maturity ------

--- --- Maturity -327500000-327500000

10000 000-327500000

000 000 000 327500000



CouponRate

FinalMaturity





BaseCommission

Base Amount

------

--- ------

--- --- --- 11690303612045042

--- 1890303612183521

-194146 000 000 -11989375


19

Page 56

Does not Lock Down

Receivable

Settled


















08042015 08072015 Buy 77500000 161571GJ7 CHAIT 2014-A1 A1 115 01152019 100188 -77699778



















07232015 07232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

09232015 09232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

08232015 08232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667









20

Page 57



























09012015 09092015 Buy 40000000 47787WAB5 JDOT 2015-B A2 098 06152018 99997 -39998652



























21

Page 58













07212015 07292015 Buy 48000000 90290XAB3 USAOT 2015-1 A2 082 03152018 99996 -47998214









































22

Page 59

Summary






































--- --- --- 12045042 --- --- --- --- --- -6699



--- --- --- 12045042 --- --- --- --- --- 3915


23

Page 60

Does not Lock Down

Receivable

Settled
















































24

Page 61

Summary





















25

Page 62




Redemptions






GainLoss




41898878000

000000

-17923029 000 1129 -3585 -001 -13263 000 23960130


50058628000

000000

-10025293 000 110 -3565 -000 -46397 000 39983483


74988125000

000000

-14749141 000 1039 -3933 -000 -6219 000 60229871


145026025461627415

-442724379000

000 000 000 000 000 000 000 163929061


100138260000

000000

000 000 47512 -62269 000 -55312 000 100068191

3136G1NQ8FANNIE MAE

100162633000

-100000000000

000 000 000 -33333 000 -129300 000 000


50056533000

000000

000 000 1931 41250 000 9319 000 50109033


75376481000

000000

000 000 -42208 3680 000 -104042 000 75233911


25057089000

000000

000 000 -35478 62500 000 11078 000 25095189


30022800000

000000

000 000 000 48000 000 78900 000 30149700


76885875000

000000

000 000 -947785 1010625 000 72535 000 77021250


44989417000

000000

000 000 -11570 2237 000 88295 000 45068380


29992945000

000000

000 000 000 1491 000 51150 000 30045586


29215583000

000000

000 000 -161440 -204844 000 -16457 000 28832842


30753245000

000000

000 000 -175521 -215625 000 -11739 000 30350360


50063217000

000000

000 000 000 2287 000 -112550 000 49952953


100067783000

000000

000 000 33058 62500 000 -46658 000 100116683


75187934000

000000

000 000 000 2883 000 -398025 000 74792792


76827617000

000000

000 000 -475139 -600000 000 6014 000 75758492

43814KAB7HAROT 2015-1 A2

33501377000

000000

000 000 245 000 000 4813 000 33506436


00099980000

000000

000 000 1639 35000 000 43061 000 100059700


75113794000

000-75000000

000 000 000 -107044 000 -6750 000 000


75047598000

000000

000 000 000 753 000 -41925 000 75006426

161571GJ7CHAIT 2014-A1 A1

00077645313

000000

000 000 -15165 39611 000 102197 000 77771956


75100250000

000000

000 000 000 187500 000 114000 000 75401750


101844491000

000000

000 000 -267402 -372973 000 1702 000 101205817


75367200000

000000

000 000 000 -237575 000 90000 000 75219625


00050000000

000000

000 000 000 1513 000 -3500 000 49998013


100126572000

000000

000 000 -35308 156250 000 122308 000 100369822


26

Page 63




Redemptions






GainLoss



097023BC8BOEING CO

78296763000

000000

000 000 -542232 703125 000 122907 000 78580563

90290XAB3USAOT 2015-1 A2

00047998214

000000

000 000 355 17493 000 99063 000 48115125


30023663000

000-30000000

000 000 -7090 -19583 000 3010 000 000


37529579000

000-37500000

000 000 000 -24479 000 -5100 000 000


49985300000

000000

000 000 000 3880 000 -728800 000 49260380


100561729000

000000

000 000 -67492 -155855 000 31092 000 100369473


00034974800

000000

000 000 10578 000 000 7529 000 34992907


34966244000

000000

000 000 26833 000 000 -172 000 34992907

CCYUSDReceivable

6698000

000000

000 000 000 000 000 000 4002 10700

CCYUSDCash

088000

000000

000 000 000 000 000 000 -001 087

CCYUSDPayable

000000

000000

000 000 000 000 000 000 000 000


00050041500

000000

000 000 -114 2083 000 -3286 000 50040183


12498486000

000000

000 000 9310 -22569 000 26065 000 12511292

36164EAB1GEET 2015-1 A2

40033871000

000000

000 000 562 000 000 14558 000 40048991


101053039000

000000

000 000 -142141 -249074 000 -18059 000 100643765


100165459000

000000

000 000 -10338 125000 000 18138 000 100298259


76494217000

000000

000 000 -326741 -487500 000 133616 000 75813592


20535773000

000000

000 000 -12478 35875 000 -4784 000 20554386


50087250000

000000

000 000 -36719 87500 000 -5381 000 50132650

3136FPET0FANNIE MAE

101794467000

000000

000 000 -419520 -500000 000 -2080 000 100872867


99908700000

000000

000 000 63889 000 000 -32889 000 99939700


76867003000

000000

000 000 86776 000 000 79375 000 77033154


16250741000

000000

000 000 20696 000 000 14431 000 16285868


100006250000

000000

000 000 000 112500 000 -300000 000 99818750


100151989000

000000

000 000 22572 -72500 000 -372 000 100101689


75360600000

000000

000 000 -67860 -150000 000 13185 000 75155925


100156006000

000000

000 000 -25915 167500 000 30415 000 100328006

89236WAB4TAOT 2015-A A2

59989773000

000000

000 000 106 000 000 30254 000 60020133


75148560000

000000

000 000 000 2390 000 -457500 000 74693450


27

Page 64




Redemptions






GainLoss




77069775000

000000

000 000 -311372 -431250 000 -64228 000 76262925


10018733000

000-10000000

000 000 000 -18433 000 -300 000 000


100125422000

000000

000 000 3322 -62500 000 -11522 000 100054722


25084493000

000000

000 000 000 -30576 000 39000 000 25092917


30139300000

000000

000 000 000 -62333 000 5100 000 30082067


49227523000

000000

000 000 000 -101811 000 8330 000 49134042


100148867000

000-100000000

000 000 -142 -144167 000 -4558 000 000


25022566000

000000

000 000 000 -676 000 -73225 000 24948665


40100000000

000000

000 000 000 -48600 000 22400 000 40073800


101747358000

000000

000 000 -406230 531250 000 -36470 000 101835908


25035503000

000000

000 000 000 39625 000 19000 000 25094128

47787WAB5JDOT 2015-B A2

00039998652

000000

000 000 048 23956 000 14939 000 40037596


00050000000

000000

000 000 000 7549 000 550 000 50008099


75897542000

000-75000000

000 000 -350511 -607292 000 60261 000 000


00075000000

000000

000 000 000 23573 000 116625 000 75140198


101896754000

000000

000 000 -422216 -497298 000 -7484 000 100969757


101896754000

000000

000 000 -418363 -497298 000 -11337 000 100969757


100071817000

000000

000 000 22779 -87500 000 15721 000 100022817


20014363000

000000

000 000 8520 -17500 000 -820 000 20004563


79187459000

000000

000 000 -272756 -397188 000 131396 000 78648912


25410507000

000000

-23841424 000 096 -5086 000 -687 000 1563406

47787VAB7JDOT 2014-A A2

28501338000

000000

-15155309 000 221 -3031 000 -2782 000 13340437

90290KAB1USAOT 2014-1 A2

10070313000

000000

-10069368 000 033 -1701 000 722 000 000

92867GAC7VALET 2012-1 A3

2401150000

000000

-2399913 000 -530 -623 000 -084 000 000

43814GAB6HAROT 2014-2 A2

10272974000

000000

-5723455 000 218 -806 000 2040 000 4550970


15784776000

000000

-4971062 000 254 -1083 001 -7533 000 10805354

------

4435867885987265894

-542724379-327500000

-104857994 000 -5643946 -3001677 000 -916491 4001 4438493293


28

Page 65



29

Page 66





50 Basis PointShock










097023BC8 BOEING CO CORP 77557125 0849 0764 1111 78215474 78215474 77987972 77126313 76695535 75834085


161571GJ7 CHAIT 2014-A1 A1 ABS 77732345 0856 0858 1289 78592101 78592101 78233352 77231382 76730464 75728763














31679KAB6 FITAT 2014-2 A2A ABS 23955337 0463 0617 0217 23987412 23987412 23981330 23929347 23903357 23851381

36164EAB1 GEET 2015-1 A2 ABS 40041080 0903 0755 000 40041080 40041080 40041080 40041080 40041080 40041080


41284AAB4 HDMOT 2014-1 A2A ABS 10803000 0497 0718 0277 10824486 10824486 10817962 10788038 10773077 10743155

41284BAB2 HDMOT 2015-1 A2A ABS 39969270 0802 0807 0698 40194154 40194154 40108664 39829678 39689889 39409716



43814GAB6 HAROT 2014-2 A2 ABS 4550329 0399 1136 0054 4553121 4552786 4551558 4549101 4547872 4545415

43814KAB7 HAROT 2015-1 A2 ABS 33496014 0707 0726 0399 33593046 33593046 33562840 33429191 33362371 33228742


93319022 0462 0252 0377 93407680 93407680 93407680 93143119 92967223 92615453


99700000 045 0824 0801 100358078 100358078 100099311 99300714 98901453 98103005


47787VAB7 JDOT 2014-A A2 ABS 13337769 0454 0804 0065 13344739 13344739 13342104 13333434 13329099 13320430

47787WAB5 JDOT 2015-B A2 ABS 40013640 0992 0938 1066 40413771 40413771 40226922 39800376 39587131 39160693


58768EAC3 MBALT 2014-A A2A ABS 1563073 0482 0796 0044 1563620 1563620 1563417 1562729 1562385 1561697


65477WAB2 NAROT 2014-B A2 ABS 60213804 0608 0785 033 60369794 60369794 60313160 60114454 60015108 59816429





70659PAE1 PENAR 2013-1A A1 ABS 74990100 0595 0699 0053 75017882 75017882 75009972 74970228 74950355 74910610




30

Page 67







50 Basis PointShock







89236WAB4 TAOT 2015-A A2 ABS 60001200 0712 069 0382 60159357 60159357 60115805 59886600 59772007 59542839

90290XAB3 USAOT 2015-1 A2 ABS 48097632 0828 0693 1504 48598976 48598976 48459345 47735956 47374318 46651153












CCYUSD Cash CASH 087 000 000 000 087 087 087 087 087 087

--- --- --- 4429392988 0521 0575 047 4440207556 4440012694 4437618810 4418979071 4408563561 4387727762


31

Page 68



32

Page 69


CONTRA COSTA COUNTY


ShareAmount

201-000004-10Average

Cost NAV

Average

Cost Amount

Realized

GainLoss


08312015 BALANCE FORWARD 14828923123 1002 14858580969 1002517967 14866261865


09302015 ENDING BALANCE 14828923123 1002 14866261865 14858580969










Phone 8007733863

Fax 252-972-1908


CONTRA COSTA COUNTY

CONTRA COSTA COUNTY

ATTN BELINDA ZHU

625 COURT STREET

ROOM 102


Page 1 of 1

Page 70


September 30 2015

CalTrust

Short Term

LAIF



Yield 034052





CalTrust

Short Term

Total Return

CalTrust

Short Term

Yield Return

LAIF Yield

Return

010 003004One Month


021 016024Six Month

041 029045One Year

043 027042Two Year


044 032044Five Year

181 172178Ten Year


Annualized


Total 1000



Total 1000









the month




Page 71




Page 72


Page 73



Page 74

SECTION III

APPENDIX




September 30 2015

FY 2015-2016


NUMBER 063015 072115 093015

100300 237517555 (14241865) 223275690

TOTALS 237517555 -14241865 000 000 000 000 000 223275690


Page 75

EXHIBITS










TOTAL $236548791215 10000



Less 1 yr $176302182693 7453

1 to 2 yrs 30507848304 12902 to 3 yrs 22479209821 950

3 to 4 yrs 6746274707 2854+ yrs 513275690 022

TOTAL $236548791215 10000


US Treasuries123


Money Market4697

ABSMBS019




Other 824

Cash548


Less 1 yr7453


9503 to 4 yrs285

4+ yrs022


Exhibit II





($) () () (day) (year)




2 Other



C Cash $12964473527 549 03500 4 1 NA








WEIGHTED

Exhibit III








5 Corporate Notes 16100700000 13527200000 2573500000 1902

TOTAL 184533165409 219726365409 (35193200000) -1602




Subtotal 19500651901 19504260129 (3608228) -002

TOTAL 39051152279 40698368474 (1647216195) -405

C Cash 12964473527 29335994238 (16371520711) -5581






Exhibit IV

Quarter Ending

















Exhibit IV (a)

Quarter Ending














Exhibit IV (b)

000

050

100

150

200

250

300

350

400

450

500

550



Exhibit IV (c)

-200

-100

000

100

200

300

400

500

600

700

93015 32816 92416 32317 91917 31818 91418 31319 9919 3720 9320

Yie

ld t

o M

atu

rity

Maturity Dates


CountyTreasurer

Wells CapitalMgmt







Risk Assessment



Exhibit IV (d)



DATE YTM ()









Exhibit V









Total $246365406496 10000




Exhibit V (a)




93015 Ave Maturity






Rate Yield





Six Month LIBOR 05340 05545 05051 04445



Exhibit V (b)

00000

10000

20000

30000

40000

50000

60000



Treasurer

LAIF

Wells CapitalMgmt

CalTRUST

Exhibit VI













Total $5372100000

Fund







Exhibit VI (a)






























































Exhibit VI (a)
















































TOTAL 51134346284 51034580657 51239469518


Exhibit VI (b)



Total $1575955394 $1579235118 $1577862697


September 30 2015







TREASURY 2350$ 950$ 1750$ 850$ 800$ 4150$ 500$ 5700$ 6200$ 10900$ 500$

REPO

TDs 1770$ 1058$ 1538$ 522$ 430$ 311$

AGENCY 903$ 250$ 750$ 950$ 1030$ 1350$ 1725$ 1700$ 505$ 577$ 781$

CP 1400$ 650$ 375$ 50$ 150$ 200$

CDs + BNs 5900$ 1500$ 2625$ 1250$ 400$ 600$ 500$ 500$ 200$

CORP BND TOTAL

67100$ 12323$ 4408$ 7038$ 3622$ 2810$ 6611$ 2725$ 7900$ 6905$ 11477$ 1281$

PERCENT 184 66 105 54 42 99 41 118 103 171 19 00 00















TOTAL 6649401194538$ $ 6651219520504 $ 6655174641252 3940591830$















1 Structured Notes



Structured Notes

















Exhibit VIII






(bps) ($) ($) (bps)

‐50 185664633657 100613 4139

‐25 185280659319 100405 2064

‐10 185051371991 100281 826

0 184898968418 100198 000

10 184746927139 100116 ‐821

25 184519541875 99993 ‐2048

50 184142360805 99788 ‐4094









Exhibit IX



















Total $722500000 $745685162






Table of Contents







Exhibits




















SECTION III

APPENDIX



Contra Costa County

As Of Date 09302015




Subtotal 983462 8189300000 8233436042 9158886 30409599

862858 8208097931 100538948 -5046210


Subtotal 240000 24900000 24872154 28884 2532

240573 24840738 99888169 000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690


Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796


Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890


Subtotal 1021082 2916000000 2932452140 6759174 8684053

911013 2925760026 100564202 -846221




Page 5


Contra Costa County

As Of Date 09302015




Subtotal 328043 61284800000 61261659931 56430381 12307195

328594 61192922725 99962242 -370


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


Subtotal 1042646 317000000 316972369 142084 000

1046859 316972369 99991284 000


Subtotal 148207 599700000 599636986 443798 78864

148407 599114324 99989492 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


Subtotal 2133314 722500000 745685162 4095807 000

1186443 745685162 103209019 000




Page 6


Contra Costa County

As Of Date 09302015




Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


Subtotal 462200 245000000 244328496 77076 000

510490 244852020 99725917 -523524


Subtotal 1185757 415000000 414678000 1184241 000

1212249 414678000 99922410 000


1256393 15127367242 100488445 -34126750

Subtotal 1504454 15050700000 15124214321 53058340 41320219


Subtotal 900000 202500000 201230550 10125 000

900000 202500000 99373111 -1269450


Subtotal 481820 1050000000 1049987000 1193357 4755000

1382208 1045245000 99998762 -13000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000





Contra Costa County

As Of Date 09302015




600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000



585858 184721498440 100198232 -130630560



Page 8


Contra Costa County

As Of Date 09302015





TIME DEPOSIT 334 334 334 10000 000 060

MBSABS 459500 460215 460215 10000 000 105

CORPORATE NOTES 16100700 16172612 16174201 10001 11935 126

NCDYCD 49775700 49775230 49796227 10004 20997 037


MUNICIPALS 722500 745685 745685 10000 000 119

US AGENCIES 53217100 53392208 53471663 10015 82468 085

US TREASURIES 2916000 2925760 2932452 10023 7838 091

Totals(000s) 184533165 184721498 184898968 10010 135545 059


Asset Allocation

Page 9


Contra Costa County

As Of Date 09302015




Page 10


Contra Costa County

As Of Date 09302015




09302019 1403864 36542813 102120000 SUNGARD 000


03312018 1076208 346541016 99857000 SUNGARD 000


03312017 622165 362158668 100729000 SUNGARD -37913


07312018 916641 8619531 101340000 SUNGARD -5631



02282019 1336788 12518555 101027000 SUNGARD 000



04302019 1138894 502187500 100536000 SUNGARD 000


10312016 545942 183969297 100641000 SUNGARD -802677

07312018 1446611 38393223 101340000 SUNGARD 000

08312017 1013383 55069273 99922000 SUNGARD 000




06302017 928142 12941602 100275000 SUNGARD 000

11302017 1165963 21093969 103284000 SUNGARD 000

05312017 818703 36357472 100074000 SUNGARD 000


11302017 874222 45733582 99818000 SUNGARD 000




01312017 734933 27577783 100518000 SUNGARD 000

06302017 788660 285758043 100275000 SUNGARD 000

03312019 1589638 7009420 101833000 SUNGARD 000




05152019 1503637 10172422 107099000 SUNGARD 000




Page 11


Contra Costa County

As Of Date 09302015




06102016 475000 249504983 99998000 SUNGARD 000




06082018 1390090 617211350 100643000 SUNGARD 000


06102016 745089 299310440 101181000 SUNGARD -11956400

09082017 790076 16967190 100023000 SUNGARD 000

06192017 850065 288880000 100628000 SUNGARD 000



82122 GOV FHLB NOTES 3130A33J1 09192014 1200000 500000000 504515000 200000 4515000

06082018 1410094 298200000 100643000 SUNGARD 000

09192017 1200000 500000000 100903000 SUNGARD 000

10142016 572077 1001020000 100180000 SUNGARD 000




06102016 760030 199664780 101181000 SUNGARD -7926785


07312018 1111402 97644950 103810000 SUNGARD 000


04152018 921899 399252305 99836000 SUNGARD 000


03312018 874966 51323255 99857000 SUNGARD 000


05152020 1503393 26314770 109626000 SUNGARD 000

03312018 860670 169535156 99857000 SUNGARD 000


03312017 545225 169141875 100729000 SUNGARD 000


06302020 1499897 19903546 102362000 SUNGARD 000


911013 2925760026 100564202 -846221

Subtotal 1021082 2916000000 2932452140 6759174 8684053



Page 12


Contra Costa County

As Of Date 09302015





09282016 615106 196637520 100076000 SUNGARD 000

03082019 1415035 501660000 101036000 SUNGARD 000

09282016 530086 283895537 100076000 SUNGARD 000




12092016 571735 1965471750 101299000 SUNGARD -12933525

11232016 556000 209262834 100148000 SUNGARD 000


03102017 739127 300801000 100273000 SUNGARD 000

04252018 1155323 999070000 100679000 SUNGARD 000


82419 GOV FHLB NOTES 3130A4K27 03092015 720000 1000000000 1001840000 500000 3470000


03062017 802655 998370000 100184000 SUNGARD 000


12122016 720127 499305000 100148000 SUNGARD 000

12122016 670252 350206500 100178000 SUNGARD 000

12122016 770206 499315000 100178000 SUNGARD 000

82271 GOV FHLB NOTES 3130A3Q64 12232014 700000 500000000 500890000 1059722 1575000

12162016 620043 249372500 100074000 SUNGARD 000

09282016 470153 1147573500 100076000 SUNGARD 000



12012015 215107 36978910 100008000 SUNGARD 000


12092016 571735 628645050 101299000 SUNGARD -4136715




09282016 470201 76538250 100076000 SUNGARD 000


08152017 1000000 1000000000 100565000 SUNGARD 000

12082017 1180284 449280000 100653000 SUNGARD 000

01062017 750000 1000000000 100174000 SUNGARD 000




Page 13


Contra Costa County

As Of Date 09302015





06242016 330908 25014667 99904000 SUNGARD -34500


10302018 1300000 500000000 100363000 SUNGARD 000


06292018 1100000 1000000000 100351000 SUNGARD 000

08282017 858202 152158400 100087000 SUNGARD 000

05302017 692495 100021625 100010000 SUNGARD 000


09132019 1400130 249833889 100383000 SUNGARD 000

82664 GOV FHLB NOTES 3130A6B63 08142015 1200000 1000000000 1005600000 1566667 5600000

08142018 1200000 1000000000 100560000 SUNGARD 000




03242017 840000 16500000 100270000 SUNGARD 000

82550 GOV FHLB NOTES 3130A57K9 05042015 1000000 1000000000 1000830000 4083333 2310000

04202016 290248 160920618 99999000 SUNGARD 000


03182016 330364 199739400 100113000 SUNGARD -13965


03242017 840000 160000000 100270000 SUNGARD 000



05302017 666017 142881310 100010000 SUNGARD 000

06302017 730000 1000000000 100148000 SUNGARD 000

06142019 1563094 250600000 101365000 SUNGARD 000




05262017 720000 1000000000 100253000 SUNGARD 000

05042018 1050244 998520000 100083000 SUNGARD 000

Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890



Page 14


Contra Costa County

As Of Date 09302015





09282016 740949 98963095 100801000 SUNGARD -682120

02192019 1795148 37839867 102313000 SUNGARD 000

02192019 1795148 698481789 102313000 SUNGARD 000


05212018 1459815 15952936 99940000 SUNGARD 000



09282016 748553 23839371 100801000 SUNGARD -151136

81941 GOV FNMA NOTE 3135G0MZ3 04172014 875000 1000000000 1001390000 802083 7310000



08282017 1054521 994080000 100139000 SUNGARD 000

04202017 740235 4901372 100130000 SUNGARD 000

11272018 1489435 11567275 101788000 SUNGARD 000


03152016 1000170 423921135 100926000 SUNGARD -16684725


09282016 615791 482179778 100801000 SUNGARD -8112675


10262015 893123 616710000 100100000 SUNGARD -16110000




09282016 1160000 17373698 100801000 SUNGARD 000


05212018 1190082 19697600 99940000 SUNGARD 000


06122018 1013910 499795000 100146000 SUNGARD 000


05222018 750000 1000000000 99996000 SUNGARD -40000


02082018 970000 16424202 100153000 SUNGARD 000


04272017 600233 398143200 100831000 SUNGARD -4902300




Page 15


Contra Costa County

As Of Date 09302015




09272017 781143 201042000 100449000 SUNGARD -144000


05252018 1250000 1000000000 100461000 SUNGARD 000


02272019 1329281 608718000 101612000 SUNGARD 000


01212020 1627650 16997790 101031000 SUNGARD 000


09272017 723255 168928293 100449000 SUNGARD -164640


06122017 642309 169877783 107937000 SUNGARD -99200


10192018 1177919 12978940 100417000 SUNGARD 000


12202017 793128 170715063 100253000 SUNGARD 000

04272017 895628 20094418 100831000 SUNGARD 000




09122019 1889799 16489776 101774000 SUNGARD 000


09272017 1117972 37893058 100449000 SUNGARD 000

09272017 1117972 12953590 100449000 SUNGARD 000

04272017 895628 55830780 100831000 SUNGARD 000


07052016 397750 1243589480 100002000 SUNGARD 000




07052016 397750 563314045 100002000 SUNGARD 000


11272018 1385424 12618750 101788000 SUNGARD 000

11262019 1612998 10065300 101773000 SUNGARD 000

11272018 1380107 606649400 101788000 SUNGARD 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796



Page 16


Contra Costa County

As Of Date 09302015




10102017 1156802 999800000 100782000 SUNGARD 000




01162019 1620035 199030000 100641000 SUNGARD 000


12072016 972048 249713430 100541000 SUNGARD 000

12102015 340213 553945500 100001000 SUNGARD 000

11012016 700000 500000000 100425000 SUNGARD 000



11142016 600000 1000000000 100152000 SUNGARD 000

12012016 590074 499900000 100199000 SUNGARD 000

12152016 720000 1000000000 100283000 SUNGARD 000



03282016 790000 399681830 100413000 SUNGARD -2347589

03282016 810254 407765280 100413000 SUNGARD -2096760





05172017 790074 19891400 99878000 SUNGARD 000

11292016 640000 1000000000 100003000 SUNGARD 000

07122016 600206 249886330 100225000 SUNGARD 000





02252018 920628 44439670 100999250 BOOK 000

04012018 1201381 38884861 100999639 BOOK 000

Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000




Page 17


Contra Costa County

As Of Date 09302015




03082017 1120062 16901230 100636000 SUNGARD 000



01192016 2330564 17226700 101365000 SUNGARD -1515125



04012016 240573 24840738 99888167 SUNGARD 000


240573 24840738 99888169 000

Subtotal 240000 24900000 24872154 28884 2532



09142017 860067 499231667 100145000 SUNGARD 000


01222018 1096935 997190000 100326000 SUNGARD 000

03292018 1130145 498000000 100174000 SUNGARD 000

04022018 1000000 1000000000 100462000 SUNGARD 000


03212016 308272 303970816 100084000 SUNGARD 000




03212016 308272 1015902464 100084000 SUNGARD 000

08042020 1730194 17046216 101041000 SUNGARD 000


09142017 810304 499700000 100145000 SUNGARD 000



08052019 1350014 100657333 100507000 SUNGARD -67000

08052019 1350014 301972000 100507000 SUNGARD -201000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690



Page 18


Contra Costa County

As Of Date 09302015





08082018 1200000 248600000 100279000 SUNGARD 000

08082018 1200000 11000000 100279000 SUNGARD 000

03082017 643501 1970224915 100636000 SUNGARD -2287935




07282017 1002272 46497404 100676000 SUNGARD 000

01272017 586812 137279806 99981000 SUNGARD 000


07282017 853802 9532300 100676000 SUNGARD 000

03082017 643501 955642205 100636000 SUNGARD -1109745




03082017 672177 99174725 100636000 SUNGARD -48265


03082017 780254 389546460 100636000 SUNGARD -85140

03072018 1250049 695847428 100085000 SUNGARD 000

03072018 1279731 15453824 100085000 SUNGARD 000


09292017 764157 4526353 100605000 SUNGARD 000

07282017 1001893 80995464 100676000 SUNGARD 000



10142016 773322 6507265 100429000 SUNGARD 000

82009 RM GOV FHLMC 3137EADH9 06132014 1000000 248400000 250094088 634800 1285271

07282017 1002272 3999777 100676000 SUNGARD 000




09292017 1033085 499490000 100605000 SUNGARD 000


06292017 945000 248808817 100682000 SUNGARD 000

09292017 1070130 997770000 100605000 SUNGARD 000

07282017 1001893 7499580 100676000 SUNGARD 000




Page 19


Contra Costa County

As Of Date 09302015





01012017 1618751 18954234 111495494 BOOK 000

01012017 2592295 42131877 108030454 BOOK 000

01012018 1301222 69692506 116154177 BOOK 000


02012016 929226 12040560 100338000 BOOK 000



02012016 929226 55185900 100338000 BOOK 000



01152016 1616968 54750638 108417105 BOOK 000

12012018 1638640 42755012 109628236 BOOK 000

05152016 907000 41500000 100000000 BOOK 000


08012016 6525847 745300 74530000 BOOK 000




08012017 1402000 44000000 100000000 BOOK 000


05152017 966000 17500000 100000000 BOOK 000


05152016 659000 124000000 100000000 BOOK 000


05302017 710296 999170000 99991000 SUNGARD 000


07282017 853802 431963700 100676000 SUNGARD 000


05302019 1480153 10125978 102032000 SUNGARD 000


05302019 1379985 304314000 102032000 SUNGARD 000


862858 8208097931 100538948 -5046210

Subtotal 983462 8189300000 8233436042 9158886 30409599



Page 20


Contra Costa County

As Of Date 09302015





02092016 290853 99407657 99949056 SUNGARD 000


10232015 120070 499706667 99997556 SUNGARD 000

148407 599114324 99989492 000

Subtotal 148207 599700000 599636986 443798 78864


09012016 431873 109523058 99711000 SUNGARD 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


82684 RM GOV FNMA DISC 313588C29 09112015 400000 29500000 29425660 6556 30221

08152016 401514 29388883 99748000 SUNGARD 000

Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


11012016 1090101 12558625 100469000 BOOK 000


11012016 1090101 79370510 100469000 BOOK 000


05152018 2054000 19500000 100000000 BOOK 000



10012017 1090000 11000000 100000000 BOOK 000


05022016 780000 100000000 100000000 BOOK 000

1186443 745685162 103209019 000

Subtotal 2133314 722500000 745685162 4095807 000



Page 21


Contra Costa County

As Of Date 09302015





10132015 330552 1996663333 99994000 SUNGARD 000


11102015 270422 2496100000 99980000 SUNGARD 000


10092015 290426 2496334722 99996000 SUNGARD 000


10232015 380776 2494906944 99989000 SUNGARD 000


11252015 441203 2493186111 99972500 SUNGARD 000



10272015 260367 2496479167 99987000 SUNGARD 000


02222019 1083588 59917969 99863282 BOOK 000


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


07172017 710792 62999402 99999051 BOOK 000


10152019 1059409 84482238 99978980 BOOK 000


06152017 704310 41997808 99994781 BOOK 000



04182019 1270662 45499440 99998769 BOOK 000


03162020 1343408 81993481 99992050 BOOK 000

1046859 316972369 99991284 000

Subtotal 1042646 317000000 316972369 142084 000




Page 22


Contra Costa County

As Of Date 09302015





10062015 220123 399974999 99997500 SUNGARD 000

10062015 220123 90049344 99997500 SUNGARD 000

10062015 220124 340008732 99997500 SUNGARD 000




10062015 220124 199987499 99997500 SUNGARD 000

10062015 220123 310025599 99997500 SUNGARD 000


10062015 220124 2100018659 99997500 SUNGARD 000

10062015 220124 569979365 99997500 SUNGARD 000




10062015 220124 429958132 99997500 SUNGARD 000


12112015 290508 1996503889 99956611 SUNGARD 000

12102015 310570 2495414583 99957222 SUNGARD 000

11092015 250314 162295747 99980500 SUNGARD 000


10282015 390830 2993630000 99986500 SUNGARD 000

10062015 220123 359997488 99997500 SUNGARD 000



11242015 441175 2992006667 99973000 SUNGARD 000


10062015 220125 110038099 99997500 SUNGARD 000




10062015 220124 239965010 99997500 SUNGARD 000


02052016 360971 49865500 99887111 SUNGARD 000

12162015 400770 2495194444 99953556 SUNGARD 000

10062015 220124 519507757 99997500 SUNGARD 000




Page 23


Contra Costa County

As Of Date 09302015





10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

11122015 290234 1998388889 99979000 SUNGARD 000




10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


12102015 350436 2496888889 99957222 SUNGARD 000




12292015 300368 2996325000 99945611 SUNGARD 000

10062015 220125 155012799 99997500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



10062015 220124 559984987 99997500 SUNGARD 000

10062015 220132 44974699 99997500 SUNGARD 000


10302015 210106 199897334 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



Page 24


Contra Costa County

As Of Date 09302015





10092015 170027 76689134 99996000 SUNGARD -170

10092015 170024 89987250 99996000 SUNGARD -200

06172016 653172 393081509 99610000 SUNGARD 000





03012016 551533 174513403 99864889 SUNGARD 000


03212016 511311 198988449 99847111 SUNGARD 000



03212016 511311 393987154 99847111 SUNGARD 000

12212015 280196 394723500 99950500 SUNGARD 000

06172016 653172 198531040 99610000 SUNGARD 000



12152015 290292 2497482639 99954167 SUNGARD 000

12152015 320359 2497200000 99954167 SUNGARD 000

05162016 683473 198983778 99746667 SUNGARD 000


01282016 471076 2494288194 99914056 SUNGARD 000

10302015 180054 499850000 99985500 SUNGARD 000



12152015 340405 2497025000 99954167 SUNGARD 000


12162015 320313 2497555556 99953556 SUNGARD 000

10302015 180054 299910000 99985500 SUNGARD 000

10302015 180054 263920800 99985500 SUNGARD 000


02172016 541438 49867250 99876444 SUNGARD 000




02172016 541438 49867250 99876444 SUNGARD 000



Page 25


Contra Costa County

As Of Date 09302015





12152015 430000 2500000000 100069620 SUNGARD 000

12162015 420000 2500000000 100068399 SUNGARD 000

05262017 1150000 195000000 100000000 BOOK 000


05202016 730000 200000000 100218822 SUNGARD 000



05262016 730000 100700000 100224474 SUNGARD 000



12152015 390000 2500000000 100061182 SUNGARD 000

12152015 370000 2500000000 100056968 SUNGARD 000

12152015 360000 2500000000 100054858 SUNGARD 000



02022016 400000 50000000 100065730 SUNGARD 000




12222015 400000 50000000 100069078 SUNGARD 000

11132015 390000 1000000000 100035418 SUNGARD 000

11242015 310000 2500000000 100032057 SUNGARD 000


04212017 1070000 200000000 100000000 BOOK 000


10302015 370000 1500000000 100022484 SUNGARD 000




12212015 280196 199360350 99950500 SUNGARD 000


01042016 275204 2997777083 99931389 SUNGARD 000

328594 61192922725 99962242 -370

Subtotal 328043 61284800000 61261659931 56430381 12307195



Page 26


Contra Costa County

As Of Date 09302015





10132015 220000 25000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000

12282015 320000 2500000000 100054363 SUNGARD 000




10132015 220000 70000000 100004331 SUNGARD 000

10132015 220000 330000000 100004331 SUNGARD 000

10132015 220000 10000000 100004331 SUNGARD 000


12232015 280000 2500000000 100041980 SUNGARD 000




01082016 450000 2500000000 100066587 SUNGARD 000

01062016 390000 110000000 100048921 SUNGARD 000




01062016 390000 200000000 100048921 SUNGARD 000



12162015 390000 2500000000 100061994 SUNGARD 000

01062016 390000 430000000 100048921 SUNGARD 000


10132015 220000 12500000 100004331 SUNGARD 000


10132015 220000 20000000 100004331 SUNGARD 000

10132015 220000 140000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000


10132015 220000 800000000 100004331 SUNGARD 000




10132015 220000 30000000 100004331 SUNGARD 000



Page 27


Contra Costa County

As Of Date 09302015




01102017 433450 50000000 99974000 SUNGARD -13000



01082016 1429873 995245000 100000000 SUNGARD 000

1382208 1045245000 99998762 -13000

Subtotal 481820 1050000000 1049987000 1193357 4755000



01042016 320000 3000000000 100029316 SUNGARD 000

02262016 400000 3000000000 100078571 SUNGARD 000

01272016 300000 3000000000 100029729 SUNGARD 000


10132015 180000 130000000 100002888 SUNGARD 000




10132015 180000 370000000 100002888 SUNGARD 000


01252016 390000 2500000000 100058419 SUNGARD 000

10132015 180000 210000000 100002888 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000


01082016 250000 2500000000 100011103 SUNGARD 000




01152016 320000 2500000000 100032671 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000

10132015 180000 770000000 100002888 SUNGARD 000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000



Page 28


Contra Costa County

As Of Date 09302015




08152016 967967 98447795 100315000 SUNGARD 000




08152016 1018105 35432550 100315000 SUNGARD 000


05032018 1076001 17435425 99533000 SUNGARD -17150

01152017 945019 179712000 100183000 SUNGARD 000

01082016 1028965 499635000 100166000 SUNGARD 000



10052017 1545080 494450000 100124000 SUNGARD 000

12062018 1750063 636846084 101325000 SUNGARD 000

12152017 1510075 517962978 99821000 SUNGARD 000



02152017 1165961 13474890 100496000 SUNGARD 000




10252015 937036 509910000 100064000 SUNGARD -9590000

02152017 1203989 23914080 100496000 SUNGARD 000

01082016 1000000 500000000 100166000 SUNGARD 000


02092018 1579059 24465945 100812000 SUNGARD 000


12052017 1104000 10500000 99599000 SUNGARD -42105



09292016 900000 202500000 99373111 SUNGARD -1269450


900000 202500000 99373111 -1269450

Subtotal 900000 202500000 201230550 10125 000




Page 29


Contra Costa County

As Of Date 09302015





01152016 489343 160248340 100419000 SUNGARD -1586320

09192016 840060 157402875 101738000 SUNGARD -2252425

07202016 787164 160089150 100430000 SUNGARD -405450




01082016 475357 159796590 100166000 SUNGARD -532650

09152016 616979 159141840 101129000 SUNGARD -1380600

07222016 490189 159903875 101149000 SUNGARD -1605690


01302017 828281 159360655 100156000 SUNGARD -613395




01082016 475357 199996990 100166000 SUNGARD -666650

05222017 1200940 99106800 101057000 SUNGARD -576225




05052017 1067075 149920500 100385000 SUNGARD 000



01162018 1720116 495990000 99905000 SUNGARD 000

04212017 1005095 36994450 100393000 SUNGARD 000


09082017 1433868 80919810 100069000 SUNGARD 000


12052017 1250044 995751000 99599000 SUNGARD 000

01122018 1496870 21969860 100117000 SUNGARD 000

05182016 435141 159553320 100153000 SUNGARD -310050


11152017 1345000 35000000 100347000 SUNGARD 000




11212017 1151867 112910730 100643000 SUNGARD 000



Page 30


Contra Costa County

As Of Date 09302015





03022018 1372881 999770000 100091000 SUNGARD 000

03132018 1545883 12982580 99826000 SUNGARD -5200

08072019 1743001 11760300 115655000 SUNGARD -194800




03062018 1305000 156500000 100236000 SUNGARD 000

03062018 1305000 12500000 100236000 SUNGARD 000


05222018 1603145 159985600 99801000 SUNGARD -304000

05032018 1257267 992760000 99533000 SUNGARD 000

82554 CORP APPLE INC 037833AJ9 05122015 1000000 1000000000 995330000 4111111 2820000



05122017 934955 56461015 100192000 SUNGARD 000


07222016 490189 200263000 101149000 SUNGARD -2010960

09152016 616979 198927300 101129000 SUNGARD -1725750

05182016 435141 199692520 100153000 SUNGARD -388050


01152016 489343 200310425 100419000 SUNGARD -1982900

03022018 1365000 106500000 100091000 SUNGARD 000



07202016 787164 199859725 100430000 SUNGARD -506175


02062018 1228864 15951200 99758000 SUNGARD 000


82386 CORP IBM CORP 459200HZ7 02112015 1125000 500000000 498790000 859375 980000


02062018 1274939 497810000 99758000 SUNGARD 000


09192016 840060 196624575 101738000 SUNGARD -2813685

01302017 828281 199075140 100156000 SUNGARD -766260

02062018 1228864 187426600 99758000 SUNGARD 000




Page 31


Contra Costa County

As Of Date 09302015





05152019 1748923 199938947 101432000 SUNGARD 000


07192018 1927831 155839382 102595000 SUNGARD -69460


03012018 1769114 499500556 99773000 SUNGARD -305000


01152017 739645 155606050 100183000 SUNGARD -35650

07192018 1927831 199185436 102595000 SUNGARD -88780

02152019 1739996 199404755 110346000 SUNGARD -247710


02012019 1927457 198743020 101021000 SUNGARD -31360


06012019 1599996 154856333 109268000 SUNGARD 000


04252019 1710407 200128717 101608000 SUNGARD -157950




06152018 1655855 172470675 100729000 SUNGARD 000


06152018 1655855 12997790 100729000 SUNGARD 000


05222018 1603145 12498875 99801000 SUNGARD -23750


05152018 1658000 499908681 99381000 SUNGARD -2620000


07172017 1139621 9996800 100401000 SUNGARD 000


08072018 1435833 133761480 100529000 SUNGARD 000


07132018 1567156 499814583 100455000 SUNGARD 000


09082017 1252137 110346500 100069000 SUNGARD -270600


07132018 1579121 40965150 100455000 SUNGARD 000

Subtotal 1504454 15050700000 15124214321 53058340 41320219



Page 32


Contra Costa County

As Of Date 09302015





05242017 600000 333577 100000000 BOOK 000

600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000


10012015 000000 53722612 100000000 BOOK 000



10012015 000000 2809220 100000000 BOOK 000

Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


06102016 510490 244852020 99725917 SUNGARD -523524


510490 244852020 99725917 -523524

Subtotal 462200 245000000 244328496 77076 000



09112017 1430018 199678000 99839000 BOOK 000


04062017 1010000 215000000 100000000 BOOK 000

1212249 414678000 99922410 000

Subtotal 1185757 415000000 414678000 1184241 000


1256393 15127367242 100488445 -34126750


585858 184721498440 100198232 -130630560



Page 33

Page 34

SECTION III

APPENDIX



































TOTAL 19550500378 19562126005

Page 35

SECTION III

APPENDIX





Page 36













Page 37

Asset Class










Other 48977

--- 10000



Risk Metric Value

Cash 10787

MMFund 163929061


Duration 047

Convexity -0018

WAL 0686



Yield 0575

Book Yield 0521


Balance Sheet





1

Page 38


Rating 0 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5 - 7 7 - 10 10 - 15 15 - 30

AAA 57859 600 000 000 000 000 000 000 000

AA 18868 0565 000 000 000 000 000 000 000

A 14937 177 000 000 000 000 000 000 000

BBB 000 000 000 000 000 000 000 000 000

BB 000 000 000 000 000 000 000 000 000

B 000 000 000 000 000 000 000 000 000

CCC 000 000 000 000 000 000 000 000 000

CC 000 000 000 000 000 000 000 000 000

C 000 000 000 000 000 000 000 000 000

NA 000 000 000 000 000 000 000 000 000

Time To Maturity

Credit Rating

Duration


2

Page 39




3

Page 40



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0108 0106 0001

Year to Date 01012015 09302015 0406 0218 0188

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0125 0064 0061

Prior Year 01012014 12312014 0319 012 0199

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0487 0231 0256





4

Page 41








5

Page 42



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0094 0106 -0013

Year to Date 01012015 09302015 032 0218 0102

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0082 0064 0018

Prior Year 01012014 12312014 0203 012 0083

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0372 0231 0142





6

Page 43








7

Page 44


As of 06302015 09302015





Begin DateEnd Date

0701201509302015




Net Income 5064302



Begin DateEnd Date

0701201509302015





8

Page 45





BaseExpense












097023BC8 75000000 BOEING CO 375 11202016 11202016 000 000 -542232 703125 000 160893 01262015

CCYUSD 087 Cash 000 09302015 09302015 -1522403 000 000 000 -626822 -626822 ---



161571GJ7 77500000 CHAIT 2014-A1 A1 115 01152019 01152017 000 000 -15165 133688 000 118523 08072015


3136G1NQ8 000 FANNIE MAE 100 06192017 06192017 000 000 000 216667 000 216667 06112015

3136FPET0 100000000 FANNIE MAE 200 03102016 03102016 000 000 -419520 500000 000 80480 03262015














31679KAB6 23963868 FITAT 2014-2 A2A 045 04172017 12182015 000 -001 1129 36587 000 37716 06112014

3134G4TH1 000 FREDDIE MAC 030 07082015 07082015 000 000 -142 5833 000 5691 01132014

36164EAB1 40000000 GEET 2015-1 A2 089 11242017 08192016 000 000 562 89001 000 89563 03042015


43814GAB6 4552100 HAROT 2014-2 A2 039 09192016 10192015 000 000 022 542 000 564 05212014

43814GAB6 000 HAROT 2014-2 A2 039 09192016 10192015 000 000 195 6747 000 6943 05212014

43814KAB7 33500000 HAROT 2015-1 A2 070 06152017 02232016 000 000 245 58626 000 58871 01282015



41284AAB4 10809821 HDMOT 2014-1 A2A 049 04152018 01092016 000 001 254 16152 000 16407 04162014

41284BAB2 39974707 HDMOT 2015-1 A2A 080 01152019 03102016 000 -000 110 90035 000 90145 01282015

437076BJ0 75000000 HOME DEPOT INC 0707 09152017 09152017 000 000 000 23573 000 23573 09152015





47787VAB7 13340757 JDOT 2014-A A2 045 09152016 10232015 000 000 013 2501 000 2515 04092014

47787VAB7 000 JDOT 2014-A A2 045 09152016 10232015 000 000 207 20737 000 20944 04092014

47787WAB5 40000000 JDOT 2015-B A2 098 06152018 10282016 000 000 048 23956 000 24004 09092015


9

Page 46





BaseExpense





58768EAC3 1563282 MBALT 2014-A A2A 048 06152016 10152015 000 000 096 15691 000 15787 04092014


65477WAB2 60250859 NAROT 2014-B A2 060 06152017 01292016 000 -000 1039 104725 000 105764 12102014






70659PAE1 75000000 PENAR 2013-1A A1 0603 11182017 11182015 000 000 000 112085 000 112085 11212013

69349LAH1 75000000 PNC BANK NA 080 01282016 12282015 000 000 -67860 150000 000 82140 04302015










89236WAB4 60000000 TAOT 2015-A A2 071 07172017 02172016 000 000 106 106500 000 106606 03042015







912828B82 100000000 US TREASURY NB 025 02292016 02292016 000 000 47512 62731 000 110244 03202014

912828QX1 000 US TREASURY NB 150 07312016 07312016 000 000 -90103 128385 000 38283 11062014

912828QX1 100000000 US TREASURY NB 150 07312016 07312016 000 000 -177299 248641 000 71342 11062014

912828VL1 000 US TREASURY NB 0625 07152016 07152016 000 000 -11004 25870 000 14865 06012015

912828VL1 100000000 US TREASURY NB 0625 07152016 07152016 000 000 -56488 130774 000 74286 06012015

912828RF9 100000000 US TREASURY NB 100 08312016 08312016 000 000 -46350 82418 000 36067 10312014

912828RF9 000 US TREASURY NB 100 08312016 08312016 000 000 -95791 168508 000 72718 10312014

912828WQ9 100000000 US TREASURY NB 050 06302016 06302016 000 000 -10338 125000 000 114662 07012014

912828WQ9 000 US TREASURY NB 050 06302016 06302016 000 000 000 000 000 000 07012014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -422216 502702 000 80486 07312014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -418363 502702 000 84339 12312014

90290KAB1 000 USAOT 2014-1 A2 038 10172016 08152015 000 000 033 2694 000 2728 02282014

90290XAB3 48000000 USAOT 2015-1 A2 082 03152018 06152016 000 000 355 69925 000 70280 07292015

92867GAC7 000 VALET 2012-1 A3 085 08222016 08202015 000 000 -530 1301 000 771 10082013



--- 4418795242 --- --- 08242016 05272016 -1522403 000 -5643946 11335070 -626822 5064302 ---


10

Page 47



11

Page 48

CE

ST


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



000000

163929061163929061

000 100 000 163929061 163929061


0320176

3497480034985378

7529 9998 000 34992907 34992907


000000

1070010700

000 100 000 10700 10700


000000

087087

000 100 000 087 087

--- --- 198939848 --- AAA --- 1008201510082015

00560031

198914648198925226

7529 --- 000 198932755 198932755


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0440145

9963281399922018

124882 100046 21291 100046900 100068191


03450288

4999231949996159

20291 100032 92583 50016450 50109033


04570676

2054448520506239

-5665 100002 53813 20500574 20554386


04070676

5009100050018360

-16960 100002 131250 50001400 50132650


03260316

101596000100734160

22040 100756 116667 100756200 100872867


02540173

9974722299911805

27895 9994 000 99939700 99939700


06780491

7538400075045419

31906 100103 156586 75077325 75233911


04340493

2520400025027380

-8580 100075 76389 25018800 25095189


0510252

1623903816269182

16686 99913 000 16285868 16285868


04510252

7682552476970779

62375 99913 000 77033154 77033154


0450824

100000000100000000

-300000 9970 118750 99700000 99818750


03515319

7960500075000000

000 10000 2021250 75000000 77021250


0380158

9986800099972520

72780 100045 56389 100045300 100101689


04390516

7517850075064909

-13984 100067 105000 75050925 75155925


0611258

2911417528777256

961 100976 54625 28778217 28832842


05381258

3070590030301438

-8578 100976 57500 30292860 30350360


03820096

9978800099987783

26817 100015 102083 100014600 100116683


06620749

7663200075712709

-60884 100869 106667 75651825 75758492


06440534

7687500076018727

-57677 101281 301875 75961050 76262925


12

Page 49


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



02630231

9998700099995919

11581 100007 47222 100007500 100054722


0440404

9998000099981639

43061 100024 35000 100024700 100059700


04820796

15632411563281

-208 99986 333 1563073 1563406


0680185

3000000030000000

49200 100164 32867 30049200 30082067


0680185

4900000049000000

80360 100164 53682 49080360 49134042


1000793

7500000075000000

89250 100119 312500 75089250 75401750


04340339

101839844100883590

69510 100953 252717 100953100 101205817


07310525

7500000075000000

128250 100171 91375 75128250 75219625


04860231

4000000040000000

25200 100063 48600 40025200 40073800


0500431

103068800101117132

63568 101181 655208 101180700 101835908


03630386

5000000050000000

-3500 99993 1513 49996500 49998013


03991136

45517444552052

-1723 99961 641 4550329 4550970


06340413

2500000025000000

34250 100137 59878 25034250 25094128


05573152

5000000050000000

-768600 98463 28980 49231400 49260380


03560322

100300781100211280

25720 100237 132473 100237000 100369473


0300176

3493670834986292

6615 9998 000 34992907 34992907


0416000

5004150050041386

-3286 100076 2083 50038100 50040183


03150138

102519531100559896

72904 100633 336957 100632800 100969757


03350138

101800781100554786

78014 100633 336957 100632800 100969757


0643067

7938557578404246

-20126 10114 264792 78384120 78648912


13010992

1244687512466000

34875 100007 10417 12500875 12511292


04410206

9982000099960138

42262 100002 20417 100002400 100022817


0520206

1993360019985090

15390 100002 4083 20000480 20004563


04320372

101035156100517578

41022 100558 85165 100558600 100643765


04590271

100082031100030677

141223 100171 126358 100171900 100298259


04540804

1334023613340717

-2948 99977 2668 13337769 13340437


0860765

7627500075376462

25463 100535 411667 75401925 75813592

--- --- 2955856139 --- AA+ --- 0403201603252016

04770563

29799313792963765007

211629 --- 6927270 2963976636 2970903906


13

Page 50

LT

Summary


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0640459

3000000030000000

53700 100179 96000 30053700 30149700


05020576

4512060045102743

-84203 100041 49840 45018540 45068380


06050576

3000000030000000

12360 100041 33226 30012360 30045586


05670213

100100000100003662

13538 100017 310806 100017200 100328006


0712069

5999943059999657

1543 100002 18933 60001200 60020133


0602081

7500000075000000

-326325 99564 19775 74673675 74693450


07930927

5000000050000000

-99000 99802 51953 49901000 49952953


05950768

7500000075000000

-304875 99594 97667 74695125 74792792


07070726

3349825133498972

-2959 99988 10422 33496014 33506436


12581164

2500000025000000

40500 100162 52417 25040500 25092917


05950699

7500000075000000

-9900 99987 16326 74990100 75006426


08020807

3997438339974499

-5229 99986 14213 39969270 39983483


08560858

7764531377630148

102197 10030 39611 77732345 77771956


04630617

2396123523963281

-7944 99964 4793 23955337 23960130


07930938

2500000025000000

-63825 99744 12490 24936175 24948665


04840457

100213000100160805

-13205 100147 222222 100147600 100369822


09920938

3999865239998700

14939 100034 23956 40013640 40037596


08490764

7891350077451831

105294 103409 1023438 77557125 78580563


08280693

4799821447998569

99063 100203 17493 48097632 48115125


0788077

5000000050000000

550 100001 7549 50000550 50008099


04970718

1080908910809602

-6602 99936 2354 10803000 10805354


06080785

6024762460249350

-35545 99939 16067 60213804 60229871


07070623

7500000075000000

116625 100156 23573 75116625 75140198


09030755

3999570039997074

44005 100102 7911 40041080 40048991

--- --- 1263999255 --- AA --- 0910201711282016

06970689

12684749911266838894

-355297 --- 2173035 1266483597 1268656633


14

Page 51



BookYieldYield



Loss

MarketPrice

Base AccruedBalance


--- --- 4418795242 --- AA+ --- 0824201605272016

05210575

44473210184429529127

-136139 --- 9100306 4429392988 4438493293


15

Page 52

Does not Lock Down

Principal Paydown

Buy



CouponRate

FinalMaturity





BaseCommission

Base Amount

0915201509152015


045 04172017 Direct 000-5648497

--- 000-5648497

000 -000 000 5648497

0815201508152015


045 04172017 Direct 000-6011247

--- 000-6011247

000 -000 000 6011247

0715201507152015


045 04172017 Direct 000-6263285

--- 000-6263285

000 -000 000 6263285

0815201508152015


049 04152018 Direct 000-1726557

--- 000-1726557

000 000 000 1726557

0715201507152015


049 04152018 Direct 000-1703805

--- 000-1703805

000 000 000 1703805

0915201509152015


049 04152018 Direct 000-1540700

--- 000-1540700

000 000 000 1540700

0815201508152015


080 01152019 Direct 000-3595039

--- 000-3595039

000 000 000 3595039

0715201507152015


080 01152019 Direct 000-3002000

--- 000-3002000

000 -000 000 3002000

0915201509152015


080 01152019 Direct 000-3428254

--- 000-3428254

000 -000 000 3428254

0918201509182015


039 09192016 Direct 000-1811448

--- 000-1811448

000 -000 000 1811448

0818201508182015


039 09192016 Direct 000-1906504

--- 000-1906504

000 000 000 1906504

0718201507182015


039 09192016 Direct 000-2005503

--- 000-2005503

000 000 000 2005503

0715201507152015


045 09152016 Direct 000-4752217

--- 000-4752217

000 000 000 4752217

0815201508152015


045 09152016 Direct 000-5933214

--- 000-5933214

000 000 000 5933214

0915201509152015


045 09152016 Direct 000-4469878

--- 000-4469878

000 -000 000 4469878

0915201509152015


048 06152016 Direct 000-7784949

--- 000-7784949

000 -000 000 7784949

0815201508152015


048 06152016 Direct 000-7842966

--- 000-7842967

000 000 000 7842967

0715201507152015


048 06152016 Direct 000-8213508

--- 000-8213508

000 000 000 8213508

0815201508152015


060 06152017 Direct 000-7684473

--- 000-7684473

000 -000 000 7684473

0915201509152015


060 06152017 Direct 000-7064668

--- 000-7064668

000 000 000 7064668

0715201507152015


038 10172016 Direct 000-6260991

--- 000-6260991

000 -000 000 6260991

0815201508152015


038 10172016 Direct 000-3808377

--- 000-3808377

000 000 000 3808377

0720201507202015


085 08222016 Direct 000-2084026

--- 000-2084026

000 -000 000 2084026

0820201508202015


085 08222016 Direct 000-315887

--- 000-315887

000 000 000 315887

------


--- --- Direct 000-104857994

--- 000-104857994

000 000 000 104857994


16

Page 53



CouponRate

FinalMaturity





BaseCommission

Base Amount

0921201509242015


0776 09202017 Deutsche Bank 5000000050000000

10000 00050000000

000 000 000 -50000000

0804201508072015



100188 00077645313

54465 000 000 -77699778

0930201509302015


050 09282016 APX Asset 5000000050000000

100083 00050041500

1389 000 000 -50042889

0827201509012015



100000000100000000

9998 00099980000

000 000 000 -99980000

0908201509152015


0707 09152017 Bank of America 7500000075000000

10000 00075000000

000 000 000 -75000000

0901201509092015


098 06152018 Dain Rauscher 4000000040000000

99997 00039998652

000 000 000 -39998652

0827201508282015



99928 00034974800

000 000 000 -34974800

0827201508282015



10000 00050000000

000 000 000 -50000000

0721201507292015


082 03152018 Dain Rauscher 4800000048000000

99996 00047998214

000 000 000 -47998214

0701201507012015


005 09302015 Direct 103898103898

100 103898103898

000 000 000 -103898

0708201507082015


005 09302015 Direct 100315648100315648

100 100315648100315648

000 000 000 -100315648

0715201507152015


005 09302015 Direct 47810824781082

100 47810824781082

000 000 000 -4781082

0715201507152015


005 09302015 Direct 2211138522111385

100 2211138522111385

000 000 000 -22111385

0715201507152015


005 09302015 Direct 47629034762903

100 47629034762903

000 000 000 -4762903

0713201507132015


005 09302015 Direct 109181109181

100 109181109181

000 000 000 -109181

0720201507202015


005 09302015 Direct 40945704094570

100 40945704094570

000 000 000 -4094570

0720201507202015


005 09302015 Direct 3833338333

100 3833338333

000 000 000 -38333

0724201507242015


005 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0723201507232015


005 09302015 Direct 125000125000

100 125000125000

000 000 000 -125000

0721201507212015


005 09302015 Direct 145000145000

100 145000145000

000 000 000 -145000

0728201507282015


005 09302015 Direct 11625001162500

100 11625001162500

000 000 000 -1162500

0727201507272015


005 09302015 Direct 109389109389

100 109389109389

000 000 000 -109389

0731201507312015


005 09302015 Direct 27500002750000

100 27500002750000

000 000 000 -2750000

0803201508032015


006 09302015 Direct 125606125606

100 125606125606

000 000 000 -125606

0803201508032015


006 09302015 Direct 7658631276586312

100 7658631276586312

000 000 000 -76586312

0817201508172015


006 09302015 Direct 5513255132

100 5513255132

000 000 000 -55132

0817201508172015


006 09302015 Direct 2900316329003163

100 2900316329003163

000 000 000 -29003163

0814201508142015


006 09302015 Direct 9519495194

100 9519495194

000 000 000 -95194

0820201508202015


006 09302015 Direct 390154390154

100 390154390154

000 000 000 -390154


17

Page 54

Sell



CouponRate

FinalMaturity





BaseCommission

Base Amount

0820201508202015


006 09302015 Direct 224224

100 224224

000 000 000 -224

0820201508202015


006 09302015 Direct 12061206

100 12061206

000 000 000 -1206

0819201508192015


006 09302015 Direct 6750000067500000

100 6750000067500000

000 000 000 -67500000

0819201508192015


006 09302015 Direct 9427194271

100 9427194271

000 000 000 -94271

0818201508182015


006 09302015 Direct 77219737721973

100 77219737721973

000 000 000 -7721973

0818201508182015


006 09302015 Direct 3492134921

100 3492134921

000 000 000 -34921

0818201508182015


006 09302015 Direct 19091921909192

100 19091921909192

000 000 000 -1909192

0825201508252015


006 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0824201508242015


006 09302015 Direct 6300063000

100 6300063000

000 000 000 -63000

0831201508312015


006 09302015 Direct 625000625000

100 625000625000

000 000 000 -625000

0910201509102015


008 09302015 Direct 12100001210000

100 12100001210000

000 000 000 -1210000

0908201509082015


008 09302015 Direct 866615866615

100 866615866615

000 000 000 -866615

0911201509112015


008 09302015 Direct 421162421162

100 421162421162

000 000 000 -421162

0911201509112015


008 09302015 Direct 2243022430

100 2243022430

000 000 000 -22430

0918201509182015


008 09302015 Direct 18135161813516

100 18135161813516

000 000 000 -1813516

0918201509182015


008 09302015 Direct 3807838078

100 3807838078

000 000 000 -38078

0916201509162015


008 09302015 Direct 6830068300

100 6830068300

000 000 000 -68300

0915201509152015


008 09302015 Direct 1124587911245879

100 1124587911245879

000 000 000 -11245879

0915201509152015


008 09302015 Direct 44765574476557

100 44765574476557

000 000 000 -4476557

0915201509152015


008 09302015 Direct 1673996916739969

100 1673996916739969

000 000 000 -16739969

0921201509212015


008 09302015 Direct 9958549499585494

100 9958549499585494

000 000 000 -99585494

0921201509212015


008 09302015 Direct 250000250000

100 250000250000

000 000 000 -250000

0928201509282015


008 09302015 Direct 1584415844

100 1584415844

000 000 000 -15844

------

Buy ------

--- --- --- 987127415987127415

--- 461627415987265894

55854 000 000 -987321748



CouponRate

FinalMaturity





BaseCommission

Base Amount

0919201509192015


100 06192017 Not Provided -100000000-100000000

10000 000-100000000

-250000 000 000 100250000

0720201507202015


005 09302015 Direct -633478-633478

100 -633478-633478

000 000 000 633478

0729201507292015


005 09302015 Direct -47998214-47998214

100 -47998214-47998214

000 000 000 47998214


18

Page 55

Maturity

Summary






CouponRate

FinalMaturity





BaseCommission

Base Amount

0807201508072015


006 09302015 Direct -77699778-77699778

100 -77699778-77699778

000 000 000 77699778

0810201508102015


006 09302015 Direct -1522403-1522403

100 -1522403-1522403

000 000 000 1522403

0828201508282015


006 09302015 Direct -84974800-84974800

100 -84974800-84974800

000 000 000 84974800

0901201509012015


008 09302015 Direct -89883832-89883832

100 -89883832-89883832

000 000 000 89883832

0909201509092015


008 09302015 Direct -39998652-39998652

100 -39998652-39998652

000 000 000 39998652

0924201509242015


008 09302015 Direct -49970333-49970333

100 -49970333-49970333

000 000 000 49970333

0930201509302015


008 09302015 Direct -50042889-50042889

100 -50042889-50042889

000 000 000 50042889

------

Sell ------

--- --- --- -542724379-542724379

--- -442724379-542724379

-250000 000 000 542974379



CouponRate

FinalMaturity





BaseCommission

Base Amount

0901201509012015


0553 09012015 Maturity -10000000-10000000

10000 000-10000000

000 000 000 10000000

0915201509152015


275 09152015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0708201507082015


030 07082015 Maturity -100000000-100000000

10000 000-100000000

000 000 000 100000000

0801201508012015


0297 08012015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0819201508192015


0546 08192015 Maturity -37500000-37500000

10000 000-37500000

000 000 000 37500000

0819201508192015


0546 08192015 Maturity -30000000-30000000

10000 000-30000000

000 000 000 30000000

------

Maturity ------

--- --- Maturity -327500000-327500000

10000 000-327500000

000 000 000 327500000



CouponRate

FinalMaturity





BaseCommission

Base Amount

------

--- ------

--- --- --- 11690303612045042

--- 1890303612183521

-194146 000 000 -11989375


19

Page 56

Does not Lock Down

Receivable

Settled


















08042015 08072015 Buy 77500000 161571GJ7 CHAIT 2014-A1 A1 115 01152019 100188 -77699778



















07232015 07232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

09232015 09232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

08232015 08232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667









20

Page 57



























09012015 09092015 Buy 40000000 47787WAB5 JDOT 2015-B A2 098 06152018 99997 -39998652



























21

Page 58













07212015 07292015 Buy 48000000 90290XAB3 USAOT 2015-1 A2 082 03152018 99996 -47998214









































22

Page 59

Summary






































--- --- --- 12045042 --- --- --- --- --- -6699



--- --- --- 12045042 --- --- --- --- --- 3915


23

Page 60

Does not Lock Down

Receivable

Settled
















































24

Page 61

Summary





















25

Page 62




Redemptions






GainLoss




41898878000

000000

-17923029 000 1129 -3585 -001 -13263 000 23960130


50058628000

000000

-10025293 000 110 -3565 -000 -46397 000 39983483


74988125000

000000

-14749141 000 1039 -3933 -000 -6219 000 60229871


145026025461627415

-442724379000

000 000 000 000 000 000 000 163929061


100138260000

000000

000 000 47512 -62269 000 -55312 000 100068191

3136G1NQ8FANNIE MAE

100162633000

-100000000000

000 000 000 -33333 000 -129300 000 000


50056533000

000000

000 000 1931 41250 000 9319 000 50109033


75376481000

000000

000 000 -42208 3680 000 -104042 000 75233911


25057089000

000000

000 000 -35478 62500 000 11078 000 25095189


30022800000

000000

000 000 000 48000 000 78900 000 30149700


76885875000

000000

000 000 -947785 1010625 000 72535 000 77021250


44989417000

000000

000 000 -11570 2237 000 88295 000 45068380


29992945000

000000

000 000 000 1491 000 51150 000 30045586


29215583000

000000

000 000 -161440 -204844 000 -16457 000 28832842


30753245000

000000

000 000 -175521 -215625 000 -11739 000 30350360


50063217000

000000

000 000 000 2287 000 -112550 000 49952953


100067783000

000000

000 000 33058 62500 000 -46658 000 100116683


75187934000

000000

000 000 000 2883 000 -398025 000 74792792


76827617000

000000

000 000 -475139 -600000 000 6014 000 75758492

43814KAB7HAROT 2015-1 A2

33501377000

000000

000 000 245 000 000 4813 000 33506436


00099980000

000000

000 000 1639 35000 000 43061 000 100059700


75113794000

000-75000000

000 000 000 -107044 000 -6750 000 000


75047598000

000000

000 000 000 753 000 -41925 000 75006426

161571GJ7CHAIT 2014-A1 A1

00077645313

000000

000 000 -15165 39611 000 102197 000 77771956


75100250000

000000

000 000 000 187500 000 114000 000 75401750


101844491000

000000

000 000 -267402 -372973 000 1702 000 101205817


75367200000

000000

000 000 000 -237575 000 90000 000 75219625


00050000000

000000

000 000 000 1513 000 -3500 000 49998013


100126572000

000000

000 000 -35308 156250 000 122308 000 100369822


26

Page 63




Redemptions






GainLoss



097023BC8BOEING CO

78296763000

000000

000 000 -542232 703125 000 122907 000 78580563

90290XAB3USAOT 2015-1 A2

00047998214

000000

000 000 355 17493 000 99063 000 48115125


30023663000

000-30000000

000 000 -7090 -19583 000 3010 000 000


37529579000

000-37500000

000 000 000 -24479 000 -5100 000 000


49985300000

000000

000 000 000 3880 000 -728800 000 49260380


100561729000

000000

000 000 -67492 -155855 000 31092 000 100369473


00034974800

000000

000 000 10578 000 000 7529 000 34992907


34966244000

000000

000 000 26833 000 000 -172 000 34992907

CCYUSDReceivable

6698000

000000

000 000 000 000 000 000 4002 10700

CCYUSDCash

088000

000000

000 000 000 000 000 000 -001 087

CCYUSDPayable

000000

000000

000 000 000 000 000 000 000 000


00050041500

000000

000 000 -114 2083 000 -3286 000 50040183


12498486000

000000

000 000 9310 -22569 000 26065 000 12511292

36164EAB1GEET 2015-1 A2

40033871000

000000

000 000 562 000 000 14558 000 40048991


101053039000

000000

000 000 -142141 -249074 000 -18059 000 100643765


100165459000

000000

000 000 -10338 125000 000 18138 000 100298259


76494217000

000000

000 000 -326741 -487500 000 133616 000 75813592


20535773000

000000

000 000 -12478 35875 000 -4784 000 20554386


50087250000

000000

000 000 -36719 87500 000 -5381 000 50132650

3136FPET0FANNIE MAE

101794467000

000000

000 000 -419520 -500000 000 -2080 000 100872867


99908700000

000000

000 000 63889 000 000 -32889 000 99939700


76867003000

000000

000 000 86776 000 000 79375 000 77033154


16250741000

000000

000 000 20696 000 000 14431 000 16285868


100006250000

000000

000 000 000 112500 000 -300000 000 99818750


100151989000

000000

000 000 22572 -72500 000 -372 000 100101689


75360600000

000000

000 000 -67860 -150000 000 13185 000 75155925


100156006000

000000

000 000 -25915 167500 000 30415 000 100328006

89236WAB4TAOT 2015-A A2

59989773000

000000

000 000 106 000 000 30254 000 60020133


75148560000

000000

000 000 000 2390 000 -457500 000 74693450


27

Page 64




Redemptions






GainLoss




77069775000

000000

000 000 -311372 -431250 000 -64228 000 76262925


10018733000

000-10000000

000 000 000 -18433 000 -300 000 000


100125422000

000000

000 000 3322 -62500 000 -11522 000 100054722


25084493000

000000

000 000 000 -30576 000 39000 000 25092917


30139300000

000000

000 000 000 -62333 000 5100 000 30082067


49227523000

000000

000 000 000 -101811 000 8330 000 49134042


100148867000

000-100000000

000 000 -142 -144167 000 -4558 000 000


25022566000

000000

000 000 000 -676 000 -73225 000 24948665


40100000000

000000

000 000 000 -48600 000 22400 000 40073800


101747358000

000000

000 000 -406230 531250 000 -36470 000 101835908


25035503000

000000

000 000 000 39625 000 19000 000 25094128

47787WAB5JDOT 2015-B A2

00039998652

000000

000 000 048 23956 000 14939 000 40037596


00050000000

000000

000 000 000 7549 000 550 000 50008099


75897542000

000-75000000

000 000 -350511 -607292 000 60261 000 000


00075000000

000000

000 000 000 23573 000 116625 000 75140198


101896754000

000000

000 000 -422216 -497298 000 -7484 000 100969757


101896754000

000000

000 000 -418363 -497298 000 -11337 000 100969757


100071817000

000000

000 000 22779 -87500 000 15721 000 100022817


20014363000

000000

000 000 8520 -17500 000 -820 000 20004563


79187459000

000000

000 000 -272756 -397188 000 131396 000 78648912


25410507000

000000

-23841424 000 096 -5086 000 -687 000 1563406

47787VAB7JDOT 2014-A A2

28501338000

000000

-15155309 000 221 -3031 000 -2782 000 13340437

90290KAB1USAOT 2014-1 A2

10070313000

000000

-10069368 000 033 -1701 000 722 000 000

92867GAC7VALET 2012-1 A3

2401150000

000000

-2399913 000 -530 -623 000 -084 000 000

43814GAB6HAROT 2014-2 A2

10272974000

000000

-5723455 000 218 -806 000 2040 000 4550970


15784776000

000000

-4971062 000 254 -1083 001 -7533 000 10805354

------

4435867885987265894

-542724379-327500000

-104857994 000 -5643946 -3001677 000 -916491 4001 4438493293


28

Page 65



29

Page 66





50 Basis PointShock










097023BC8 BOEING CO CORP 77557125 0849 0764 1111 78215474 78215474 77987972 77126313 76695535 75834085


161571GJ7 CHAIT 2014-A1 A1 ABS 77732345 0856 0858 1289 78592101 78592101 78233352 77231382 76730464 75728763














31679KAB6 FITAT 2014-2 A2A ABS 23955337 0463 0617 0217 23987412 23987412 23981330 23929347 23903357 23851381

36164EAB1 GEET 2015-1 A2 ABS 40041080 0903 0755 000 40041080 40041080 40041080 40041080 40041080 40041080


41284AAB4 HDMOT 2014-1 A2A ABS 10803000 0497 0718 0277 10824486 10824486 10817962 10788038 10773077 10743155

41284BAB2 HDMOT 2015-1 A2A ABS 39969270 0802 0807 0698 40194154 40194154 40108664 39829678 39689889 39409716



43814GAB6 HAROT 2014-2 A2 ABS 4550329 0399 1136 0054 4553121 4552786 4551558 4549101 4547872 4545415

43814KAB7 HAROT 2015-1 A2 ABS 33496014 0707 0726 0399 33593046 33593046 33562840 33429191 33362371 33228742


93319022 0462 0252 0377 93407680 93407680 93407680 93143119 92967223 92615453


99700000 045 0824 0801 100358078 100358078 100099311 99300714 98901453 98103005


47787VAB7 JDOT 2014-A A2 ABS 13337769 0454 0804 0065 13344739 13344739 13342104 13333434 13329099 13320430

47787WAB5 JDOT 2015-B A2 ABS 40013640 0992 0938 1066 40413771 40413771 40226922 39800376 39587131 39160693


58768EAC3 MBALT 2014-A A2A ABS 1563073 0482 0796 0044 1563620 1563620 1563417 1562729 1562385 1561697


65477WAB2 NAROT 2014-B A2 ABS 60213804 0608 0785 033 60369794 60369794 60313160 60114454 60015108 59816429





70659PAE1 PENAR 2013-1A A1 ABS 74990100 0595 0699 0053 75017882 75017882 75009972 74970228 74950355 74910610




30

Page 67







50 Basis PointShock







89236WAB4 TAOT 2015-A A2 ABS 60001200 0712 069 0382 60159357 60159357 60115805 59886600 59772007 59542839

90290XAB3 USAOT 2015-1 A2 ABS 48097632 0828 0693 1504 48598976 48598976 48459345 47735956 47374318 46651153












CCYUSD Cash CASH 087 000 000 000 087 087 087 087 087 087

--- --- --- 4429392988 0521 0575 047 4440207556 4440012694 4437618810 4418979071 4408563561 4387727762


31

Page 68



32

Page 69


CONTRA COSTA COUNTY


ShareAmount

201-000004-10Average

Cost NAV

Average

Cost Amount

Realized

GainLoss


08312015 BALANCE FORWARD 14828923123 1002 14858580969 1002517967 14866261865


09302015 ENDING BALANCE 14828923123 1002 14866261865 14858580969










Phone 8007733863

Fax 252-972-1908


CONTRA COSTA COUNTY

CONTRA COSTA COUNTY

ATTN BELINDA ZHU

625 COURT STREET

ROOM 102


Page 1 of 1

Page 70


September 30 2015

CalTrust

Short Term

LAIF



Yield 034052





CalTrust

Short Term

Total Return

CalTrust

Short Term

Yield Return

LAIF Yield

Return

010 003004One Month


021 016024Six Month

041 029045One Year

043 027042Two Year


044 032044Five Year

181 172178Ten Year


Annualized


Total 1000



Total 1000









the month




Page 71




Page 72


Page 73



Page 74

SECTION III

APPENDIX




September 30 2015

FY 2015-2016


NUMBER 063015 072115 093015

100300 237517555 (14241865) 223275690

TOTALS 237517555 -14241865 000 000 000 000 000 223275690


Page 75

EXHIBITS










TOTAL $236548791215 10000



Less 1 yr $176302182693 7453

1 to 2 yrs 30507848304 12902 to 3 yrs 22479209821 950

3 to 4 yrs 6746274707 2854+ yrs 513275690 022

TOTAL $236548791215 10000


US Treasuries123


Money Market4697

ABSMBS019




Other 824

Cash548


Less 1 yr7453


9503 to 4 yrs285

4+ yrs022


Exhibit II





($) () () (day) (year)




2 Other



C Cash $12964473527 549 03500 4 1 NA








WEIGHTED

Exhibit III








5 Corporate Notes 16100700000 13527200000 2573500000 1902

TOTAL 184533165409 219726365409 (35193200000) -1602




Subtotal 19500651901 19504260129 (3608228) -002

TOTAL 39051152279 40698368474 (1647216195) -405

C Cash 12964473527 29335994238 (16371520711) -5581






Exhibit IV

Quarter Ending

















Exhibit IV (a)

Quarter Ending














Exhibit IV (b)

000

050

100

150

200

250

300

350

400

450

500

550



Exhibit IV (c)

-200

-100

000

100

200

300

400

500

600

700

93015 32816 92416 32317 91917 31818 91418 31319 9919 3720 9320

Yie

ld t

o M

atu

rity

Maturity Dates


CountyTreasurer

Wells CapitalMgmt







Risk Assessment



Exhibit IV (d)



DATE YTM ()









Exhibit V









Total $246365406496 10000




Exhibit V (a)




93015 Ave Maturity






Rate Yield





Six Month LIBOR 05340 05545 05051 04445



Exhibit V (b)

00000

10000

20000

30000

40000

50000

60000



Treasurer

LAIF

Wells CapitalMgmt

CalTRUST

Exhibit VI













Total $5372100000

Fund







Exhibit VI (a)






























































Exhibit VI (a)
















































TOTAL 51134346284 51034580657 51239469518


Exhibit VI (b)



Total $1575955394 $1579235118 $1577862697


September 30 2015







TREASURY 2350$ 950$ 1750$ 850$ 800$ 4150$ 500$ 5700$ 6200$ 10900$ 500$

REPO

TDs 1770$ 1058$ 1538$ 522$ 430$ 311$

AGENCY 903$ 250$ 750$ 950$ 1030$ 1350$ 1725$ 1700$ 505$ 577$ 781$

CP 1400$ 650$ 375$ 50$ 150$ 200$

CDs + BNs 5900$ 1500$ 2625$ 1250$ 400$ 600$ 500$ 500$ 200$

CORP BND TOTAL

67100$ 12323$ 4408$ 7038$ 3622$ 2810$ 6611$ 2725$ 7900$ 6905$ 11477$ 1281$

PERCENT 184 66 105 54 42 99 41 118 103 171 19 00 00















TOTAL 6649401194538$ $ 6651219520504 $ 6655174641252 3940591830$















1 Structured Notes



Structured Notes

















Exhibit VIII






(bps) ($) ($) (bps)

‐50 185664633657 100613 4139

‐25 185280659319 100405 2064

‐10 185051371991 100281 826

0 184898968418 100198 000

10 184746927139 100116 ‐821

25 184519541875 99993 ‐2048

50 184142360805 99788 ‐4094









Exhibit IX



















Total $722500000 $745685162






Table of Contents







Exhibits





















Contra Costa County

As Of Date 09302015




Subtotal 983462 8189300000 8233436042 9158886 30409599

862858 8208097931 100538948 -5046210


Subtotal 240000 24900000 24872154 28884 2532

240573 24840738 99888169 000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690


Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796


Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890


Subtotal 1021082 2916000000 2932452140 6759174 8684053

911013 2925760026 100564202 -846221




Page 5


Contra Costa County

As Of Date 09302015




Subtotal 328043 61284800000 61261659931 56430381 12307195

328594 61192922725 99962242 -370


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


Subtotal 1042646 317000000 316972369 142084 000

1046859 316972369 99991284 000


Subtotal 148207 599700000 599636986 443798 78864

148407 599114324 99989492 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


Subtotal 2133314 722500000 745685162 4095807 000

1186443 745685162 103209019 000




Page 6


Contra Costa County

As Of Date 09302015




Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


Subtotal 462200 245000000 244328496 77076 000

510490 244852020 99725917 -523524


Subtotal 1185757 415000000 414678000 1184241 000

1212249 414678000 99922410 000


1256393 15127367242 100488445 -34126750

Subtotal 1504454 15050700000 15124214321 53058340 41320219


Subtotal 900000 202500000 201230550 10125 000

900000 202500000 99373111 -1269450


Subtotal 481820 1050000000 1049987000 1193357 4755000

1382208 1045245000 99998762 -13000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000




Page 7


Contra Costa County

As Of Date 09302015




600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000



585858 184721498440 100198232 -130630560




Contra Costa County

As Of Date 09302015





TIME DEPOSIT 334 334 334 10000 000 060

MBSABS 459500 460215 460215 10000 000 105

CORPORATE NOTES 16100700 16172612 16174201 10001 11935 126

NCDYCD 49775700 49775230 49796227 10004 20997 037


MUNICIPALS 722500 745685 745685 10000 000 119

US AGENCIES 53217100 53392208 53471663 10015 82468 085

US TREASURIES 2916000 2925760 2932452 10023 7838 091

Totals(000s) 184533165 184721498 184898968 10010 135545 059


Asset Allocation

Page 9


Contra Costa County

As Of Date 09302015




Page 10


Contra Costa County

As Of Date 09302015




09302019 1403864 36542813 102120000 SUNGARD 000


03312018 1076208 346541016 99857000 SUNGARD 000


03312017 622165 362158668 100729000 SUNGARD -37913


07312018 916641 8619531 101340000 SUNGARD -5631



02282019 1336788 12518555 101027000 SUNGARD 000



04302019 1138894 502187500 100536000 SUNGARD 000


10312016 545942 183969297 100641000 SUNGARD -802677

07312018 1446611 38393223 101340000 SUNGARD 000

08312017 1013383 55069273 99922000 SUNGARD 000




06302017 928142 12941602 100275000 SUNGARD 000

11302017 1165963 21093969 103284000 SUNGARD 000

05312017 818703 36357472 100074000 SUNGARD 000


11302017 874222 45733582 99818000 SUNGARD 000




01312017 734933 27577783 100518000 SUNGARD 000

06302017 788660 285758043 100275000 SUNGARD 000

03312019 1589638 7009420 101833000 SUNGARD 000




05152019 1503637 10172422 107099000 SUNGARD 000




Page 11


Contra Costa County

As Of Date 09302015




06102016 475000 249504983 99998000 SUNGARD 000




06082018 1390090 617211350 100643000 SUNGARD 000


06102016 745089 299310440 101181000 SUNGARD -11956400

09082017 790076 16967190 100023000 SUNGARD 000

06192017 850065 288880000 100628000 SUNGARD 000



82122 GOV FHLB NOTES 3130A33J1 09192014 1200000 500000000 504515000 200000 4515000

06082018 1410094 298200000 100643000 SUNGARD 000

09192017 1200000 500000000 100903000 SUNGARD 000

10142016 572077 1001020000 100180000 SUNGARD 000




06102016 760030 199664780 101181000 SUNGARD -7926785


07312018 1111402 97644950 103810000 SUNGARD 000


04152018 921899 399252305 99836000 SUNGARD 000


03312018 874966 51323255 99857000 SUNGARD 000


05152020 1503393 26314770 109626000 SUNGARD 000

03312018 860670 169535156 99857000 SUNGARD 000


03312017 545225 169141875 100729000 SUNGARD 000


06302020 1499897 19903546 102362000 SUNGARD 000


911013 2925760026 100564202 -846221

Subtotal 1021082 2916000000 2932452140 6759174 8684053



Page 12


Contra Costa County

As Of Date 09302015





09282016 615106 196637520 100076000 SUNGARD 000

03082019 1415035 501660000 101036000 SUNGARD 000

09282016 530086 283895537 100076000 SUNGARD 000




12092016 571735 1965471750 101299000 SUNGARD -12933525

11232016 556000 209262834 100148000 SUNGARD 000


03102017 739127 300801000 100273000 SUNGARD 000

04252018 1155323 999070000 100679000 SUNGARD 000


82419 GOV FHLB NOTES 3130A4K27 03092015 720000 1000000000 1001840000 500000 3470000


03062017 802655 998370000 100184000 SUNGARD 000


12122016 720127 499305000 100148000 SUNGARD 000

12122016 670252 350206500 100178000 SUNGARD 000

12122016 770206 499315000 100178000 SUNGARD 000

82271 GOV FHLB NOTES 3130A3Q64 12232014 700000 500000000 500890000 1059722 1575000

12162016 620043 249372500 100074000 SUNGARD 000

09282016 470153 1147573500 100076000 SUNGARD 000



12012015 215107 36978910 100008000 SUNGARD 000


12092016 571735 628645050 101299000 SUNGARD -4136715




09282016 470201 76538250 100076000 SUNGARD 000


08152017 1000000 1000000000 100565000 SUNGARD 000

12082017 1180284 449280000 100653000 SUNGARD 000

01062017 750000 1000000000 100174000 SUNGARD 000




Page 13


Contra Costa County

As Of Date 09302015





06242016 330908 25014667 99904000 SUNGARD -34500


10302018 1300000 500000000 100363000 SUNGARD 000


06292018 1100000 1000000000 100351000 SUNGARD 000

08282017 858202 152158400 100087000 SUNGARD 000

05302017 692495 100021625 100010000 SUNGARD 000


09132019 1400130 249833889 100383000 SUNGARD 000

82664 GOV FHLB NOTES 3130A6B63 08142015 1200000 1000000000 1005600000 1566667 5600000

08142018 1200000 1000000000 100560000 SUNGARD 000




03242017 840000 16500000 100270000 SUNGARD 000

82550 GOV FHLB NOTES 3130A57K9 05042015 1000000 1000000000 1000830000 4083333 2310000

04202016 290248 160920618 99999000 SUNGARD 000


03182016 330364 199739400 100113000 SUNGARD -13965


03242017 840000 160000000 100270000 SUNGARD 000



05302017 666017 142881310 100010000 SUNGARD 000

06302017 730000 1000000000 100148000 SUNGARD 000

06142019 1563094 250600000 101365000 SUNGARD 000




05262017 720000 1000000000 100253000 SUNGARD 000

05042018 1050244 998520000 100083000 SUNGARD 000

Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890



Page 14


Contra Costa County

As Of Date 09302015





09282016 740949 98963095 100801000 SUNGARD -682120

02192019 1795148 37839867 102313000 SUNGARD 000

02192019 1795148 698481789 102313000 SUNGARD 000


05212018 1459815 15952936 99940000 SUNGARD 000



09282016 748553 23839371 100801000 SUNGARD -151136

81941 GOV FNMA NOTE 3135G0MZ3 04172014 875000 1000000000 1001390000 802083 7310000



08282017 1054521 994080000 100139000 SUNGARD 000

04202017 740235 4901372 100130000 SUNGARD 000

11272018 1489435 11567275 101788000 SUNGARD 000


03152016 1000170 423921135 100926000 SUNGARD -16684725


09282016 615791 482179778 100801000 SUNGARD -8112675


10262015 893123 616710000 100100000 SUNGARD -16110000




09282016 1160000 17373698 100801000 SUNGARD 000


05212018 1190082 19697600 99940000 SUNGARD 000


06122018 1013910 499795000 100146000 SUNGARD 000


05222018 750000 1000000000 99996000 SUNGARD -40000


02082018 970000 16424202 100153000 SUNGARD 000


04272017 600233 398143200 100831000 SUNGARD -4902300




Page 15


Contra Costa County

As Of Date 09302015




09272017 781143 201042000 100449000 SUNGARD -144000


05252018 1250000 1000000000 100461000 SUNGARD 000


02272019 1329281 608718000 101612000 SUNGARD 000


01212020 1627650 16997790 101031000 SUNGARD 000


09272017 723255 168928293 100449000 SUNGARD -164640


06122017 642309 169877783 107937000 SUNGARD -99200


10192018 1177919 12978940 100417000 SUNGARD 000


12202017 793128 170715063 100253000 SUNGARD 000

04272017 895628 20094418 100831000 SUNGARD 000




09122019 1889799 16489776 101774000 SUNGARD 000


09272017 1117972 37893058 100449000 SUNGARD 000

09272017 1117972 12953590 100449000 SUNGARD 000

04272017 895628 55830780 100831000 SUNGARD 000


07052016 397750 1243589480 100002000 SUNGARD 000




07052016 397750 563314045 100002000 SUNGARD 000


11272018 1385424 12618750 101788000 SUNGARD 000

11262019 1612998 10065300 101773000 SUNGARD 000

11272018 1380107 606649400 101788000 SUNGARD 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796



Page 16


Contra Costa County

As Of Date 09302015




10102017 1156802 999800000 100782000 SUNGARD 000




01162019 1620035 199030000 100641000 SUNGARD 000


12072016 972048 249713430 100541000 SUNGARD 000

12102015 340213 553945500 100001000 SUNGARD 000

11012016 700000 500000000 100425000 SUNGARD 000



11142016 600000 1000000000 100152000 SUNGARD 000

12012016 590074 499900000 100199000 SUNGARD 000

12152016 720000 1000000000 100283000 SUNGARD 000



03282016 790000 399681830 100413000 SUNGARD -2347589

03282016 810254 407765280 100413000 SUNGARD -2096760





05172017 790074 19891400 99878000 SUNGARD 000

11292016 640000 1000000000 100003000 SUNGARD 000

07122016 600206 249886330 100225000 SUNGARD 000





02252018 920628 44439670 100999250 BOOK 000

04012018 1201381 38884861 100999639 BOOK 000

Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000




Page 17


Contra Costa County

As Of Date 09302015




03082017 1120062 16901230 100636000 SUNGARD 000



01192016 2330564 17226700 101365000 SUNGARD -1515125



04012016 240573 24840738 99888167 SUNGARD 000


240573 24840738 99888169 000

Subtotal 240000 24900000 24872154 28884 2532



09142017 860067 499231667 100145000 SUNGARD 000


01222018 1096935 997190000 100326000 SUNGARD 000

03292018 1130145 498000000 100174000 SUNGARD 000

04022018 1000000 1000000000 100462000 SUNGARD 000


03212016 308272 303970816 100084000 SUNGARD 000




03212016 308272 1015902464 100084000 SUNGARD 000

08042020 1730194 17046216 101041000 SUNGARD 000


09142017 810304 499700000 100145000 SUNGARD 000



08052019 1350014 100657333 100507000 SUNGARD -67000

08052019 1350014 301972000 100507000 SUNGARD -201000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690



Page 18


Contra Costa County

As Of Date 09302015





08082018 1200000 248600000 100279000 SUNGARD 000

08082018 1200000 11000000 100279000 SUNGARD 000

03082017 643501 1970224915 100636000 SUNGARD -2287935




07282017 1002272 46497404 100676000 SUNGARD 000

01272017 586812 137279806 99981000 SUNGARD 000


07282017 853802 9532300 100676000 SUNGARD 000

03082017 643501 955642205 100636000 SUNGARD -1109745




03082017 672177 99174725 100636000 SUNGARD -48265


03082017 780254 389546460 100636000 SUNGARD -85140

03072018 1250049 695847428 100085000 SUNGARD 000

03072018 1279731 15453824 100085000 SUNGARD 000


09292017 764157 4526353 100605000 SUNGARD 000

07282017 1001893 80995464 100676000 SUNGARD 000



10142016 773322 6507265 100429000 SUNGARD 000

82009 RM GOV FHLMC 3137EADH9 06132014 1000000 248400000 250094088 634800 1285271

07282017 1002272 3999777 100676000 SUNGARD 000




09292017 1033085 499490000 100605000 SUNGARD 000


06292017 945000 248808817 100682000 SUNGARD 000

09292017 1070130 997770000 100605000 SUNGARD 000

07282017 1001893 7499580 100676000 SUNGARD 000




Page 19


Contra Costa County

As Of Date 09302015





01012017 1618751 18954234 111495494 BOOK 000

01012017 2592295 42131877 108030454 BOOK 000

01012018 1301222 69692506 116154177 BOOK 000


02012016 929226 12040560 100338000 BOOK 000



02012016 929226 55185900 100338000 BOOK 000



01152016 1616968 54750638 108417105 BOOK 000

12012018 1638640 42755012 109628236 BOOK 000

05152016 907000 41500000 100000000 BOOK 000


08012016 6525847 745300 74530000 BOOK 000




08012017 1402000 44000000 100000000 BOOK 000


05152017 966000 17500000 100000000 BOOK 000


05152016 659000 124000000 100000000 BOOK 000


05302017 710296 999170000 99991000 SUNGARD 000


07282017 853802 431963700 100676000 SUNGARD 000


05302019 1480153 10125978 102032000 SUNGARD 000


05302019 1379985 304314000 102032000 SUNGARD 000


862858 8208097931 100538948 -5046210

Subtotal 983462 8189300000 8233436042 9158886 30409599



Page 20


Contra Costa County

As Of Date 09302015





02092016 290853 99407657 99949056 SUNGARD 000


10232015 120070 499706667 99997556 SUNGARD 000

148407 599114324 99989492 000

Subtotal 148207 599700000 599636986 443798 78864


09012016 431873 109523058 99711000 SUNGARD 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


82684 RM GOV FNMA DISC 313588C29 09112015 400000 29500000 29425660 6556 30221

08152016 401514 29388883 99748000 SUNGARD 000

Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


11012016 1090101 12558625 100469000 BOOK 000


11012016 1090101 79370510 100469000 BOOK 000


05152018 2054000 19500000 100000000 BOOK 000



10012017 1090000 11000000 100000000 BOOK 000


05022016 780000 100000000 100000000 BOOK 000

1186443 745685162 103209019 000

Subtotal 2133314 722500000 745685162 4095807 000



Page 21


Contra Costa County

As Of Date 09302015





10132015 330552 1996663333 99994000 SUNGARD 000


11102015 270422 2496100000 99980000 SUNGARD 000


10092015 290426 2496334722 99996000 SUNGARD 000


10232015 380776 2494906944 99989000 SUNGARD 000


11252015 441203 2493186111 99972500 SUNGARD 000



10272015 260367 2496479167 99987000 SUNGARD 000


02222019 1083588 59917969 99863282 BOOK 000


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


07172017 710792 62999402 99999051 BOOK 000


10152019 1059409 84482238 99978980 BOOK 000


06152017 704310 41997808 99994781 BOOK 000



04182019 1270662 45499440 99998769 BOOK 000


03162020 1343408 81993481 99992050 BOOK 000

1046859 316972369 99991284 000

Subtotal 1042646 317000000 316972369 142084 000




Page 22


Contra Costa County

As Of Date 09302015





10062015 220123 399974999 99997500 SUNGARD 000

10062015 220123 90049344 99997500 SUNGARD 000

10062015 220124 340008732 99997500 SUNGARD 000




10062015 220124 199987499 99997500 SUNGARD 000

10062015 220123 310025599 99997500 SUNGARD 000


10062015 220124 2100018659 99997500 SUNGARD 000

10062015 220124 569979365 99997500 SUNGARD 000




10062015 220124 429958132 99997500 SUNGARD 000


12112015 290508 1996503889 99956611 SUNGARD 000

12102015 310570 2495414583 99957222 SUNGARD 000

11092015 250314 162295747 99980500 SUNGARD 000


10282015 390830 2993630000 99986500 SUNGARD 000

10062015 220123 359997488 99997500 SUNGARD 000



11242015 441175 2992006667 99973000 SUNGARD 000


10062015 220125 110038099 99997500 SUNGARD 000




10062015 220124 239965010 99997500 SUNGARD 000


02052016 360971 49865500 99887111 SUNGARD 000

12162015 400770 2495194444 99953556 SUNGARD 000

10062015 220124 519507757 99997500 SUNGARD 000




Page 23


Contra Costa County

As Of Date 09302015





10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

11122015 290234 1998388889 99979000 SUNGARD 000




10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


12102015 350436 2496888889 99957222 SUNGARD 000




12292015 300368 2996325000 99945611 SUNGARD 000

10062015 220125 155012799 99997500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



10062015 220124 559984987 99997500 SUNGARD 000

10062015 220132 44974699 99997500 SUNGARD 000


10302015 210106 199897334 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



Page 24


Contra Costa County

As Of Date 09302015





10092015 170027 76689134 99996000 SUNGARD -170

10092015 170024 89987250 99996000 SUNGARD -200

06172016 653172 393081509 99610000 SUNGARD 000





03012016 551533 174513403 99864889 SUNGARD 000


03212016 511311 198988449 99847111 SUNGARD 000



03212016 511311 393987154 99847111 SUNGARD 000

12212015 280196 394723500 99950500 SUNGARD 000

06172016 653172 198531040 99610000 SUNGARD 000



12152015 290292 2497482639 99954167 SUNGARD 000

12152015 320359 2497200000 99954167 SUNGARD 000

05162016 683473 198983778 99746667 SUNGARD 000


01282016 471076 2494288194 99914056 SUNGARD 000

10302015 180054 499850000 99985500 SUNGARD 000



12152015 340405 2497025000 99954167 SUNGARD 000


12162015 320313 2497555556 99953556 SUNGARD 000

10302015 180054 299910000 99985500 SUNGARD 000

10302015 180054 263920800 99985500 SUNGARD 000


02172016 541438 49867250 99876444 SUNGARD 000




02172016 541438 49867250 99876444 SUNGARD 000



Page 25


Contra Costa County

As Of Date 09302015





12152015 430000 2500000000 100069620 SUNGARD 000

12162015 420000 2500000000 100068399 SUNGARD 000

05262017 1150000 195000000 100000000 BOOK 000


05202016 730000 200000000 100218822 SUNGARD 000



05262016 730000 100700000 100224474 SUNGARD 000



12152015 390000 2500000000 100061182 SUNGARD 000

12152015 370000 2500000000 100056968 SUNGARD 000

12152015 360000 2500000000 100054858 SUNGARD 000



02022016 400000 50000000 100065730 SUNGARD 000




12222015 400000 50000000 100069078 SUNGARD 000

11132015 390000 1000000000 100035418 SUNGARD 000

11242015 310000 2500000000 100032057 SUNGARD 000


04212017 1070000 200000000 100000000 BOOK 000


10302015 370000 1500000000 100022484 SUNGARD 000




12212015 280196 199360350 99950500 SUNGARD 000


01042016 275204 2997777083 99931389 SUNGARD 000

328594 61192922725 99962242 -370

Subtotal 328043 61284800000 61261659931 56430381 12307195



Page 26


Contra Costa County

As Of Date 09302015





10132015 220000 25000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000

12282015 320000 2500000000 100054363 SUNGARD 000




10132015 220000 70000000 100004331 SUNGARD 000

10132015 220000 330000000 100004331 SUNGARD 000

10132015 220000 10000000 100004331 SUNGARD 000


12232015 280000 2500000000 100041980 SUNGARD 000




01082016 450000 2500000000 100066587 SUNGARD 000

01062016 390000 110000000 100048921 SUNGARD 000




01062016 390000 200000000 100048921 SUNGARD 000



12162015 390000 2500000000 100061994 SUNGARD 000

01062016 390000 430000000 100048921 SUNGARD 000


10132015 220000 12500000 100004331 SUNGARD 000


10132015 220000 20000000 100004331 SUNGARD 000

10132015 220000 140000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000


10132015 220000 800000000 100004331 SUNGARD 000




10132015 220000 30000000 100004331 SUNGARD 000



Page 27


Contra Costa County

As Of Date 09302015




01102017 433450 50000000 99974000 SUNGARD -13000



01082016 1429873 995245000 100000000 SUNGARD 000

1382208 1045245000 99998762 -13000

Subtotal 481820 1050000000 1049987000 1193357 4755000



01042016 320000 3000000000 100029316 SUNGARD 000

02262016 400000 3000000000 100078571 SUNGARD 000

01272016 300000 3000000000 100029729 SUNGARD 000


10132015 180000 130000000 100002888 SUNGARD 000




10132015 180000 370000000 100002888 SUNGARD 000


01252016 390000 2500000000 100058419 SUNGARD 000

10132015 180000 210000000 100002888 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000


01082016 250000 2500000000 100011103 SUNGARD 000




01152016 320000 2500000000 100032671 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000

10132015 180000 770000000 100002888 SUNGARD 000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000



Page 28


Contra Costa County

As Of Date 09302015




08152016 967967 98447795 100315000 SUNGARD 000




08152016 1018105 35432550 100315000 SUNGARD 000


05032018 1076001 17435425 99533000 SUNGARD -17150

01152017 945019 179712000 100183000 SUNGARD 000

01082016 1028965 499635000 100166000 SUNGARD 000



10052017 1545080 494450000 100124000 SUNGARD 000

12062018 1750063 636846084 101325000 SUNGARD 000

12152017 1510075 517962978 99821000 SUNGARD 000



02152017 1165961 13474890 100496000 SUNGARD 000




10252015 937036 509910000 100064000 SUNGARD -9590000

02152017 1203989 23914080 100496000 SUNGARD 000

01082016 1000000 500000000 100166000 SUNGARD 000


02092018 1579059 24465945 100812000 SUNGARD 000


12052017 1104000 10500000 99599000 SUNGARD -42105



09292016 900000 202500000 99373111 SUNGARD -1269450


900000 202500000 99373111 -1269450

Subtotal 900000 202500000 201230550 10125 000




Page 29


Contra Costa County

As Of Date 09302015





01152016 489343 160248340 100419000 SUNGARD -1586320

09192016 840060 157402875 101738000 SUNGARD -2252425

07202016 787164 160089150 100430000 SUNGARD -405450




01082016 475357 159796590 100166000 SUNGARD -532650

09152016 616979 159141840 101129000 SUNGARD -1380600

07222016 490189 159903875 101149000 SUNGARD -1605690


01302017 828281 159360655 100156000 SUNGARD -613395




01082016 475357 199996990 100166000 SUNGARD -666650

05222017 1200940 99106800 101057000 SUNGARD -576225




05052017 1067075 149920500 100385000 SUNGARD 000



01162018 1720116 495990000 99905000 SUNGARD 000

04212017 1005095 36994450 100393000 SUNGARD 000


09082017 1433868 80919810 100069000 SUNGARD 000


12052017 1250044 995751000 99599000 SUNGARD 000

01122018 1496870 21969860 100117000 SUNGARD 000

05182016 435141 159553320 100153000 SUNGARD -310050


11152017 1345000 35000000 100347000 SUNGARD 000




11212017 1151867 112910730 100643000 SUNGARD 000



Page 30


Contra Costa County

As Of Date 09302015





03022018 1372881 999770000 100091000 SUNGARD 000

03132018 1545883 12982580 99826000 SUNGARD -5200

08072019 1743001 11760300 115655000 SUNGARD -194800




03062018 1305000 156500000 100236000 SUNGARD 000

03062018 1305000 12500000 100236000 SUNGARD 000


05222018 1603145 159985600 99801000 SUNGARD -304000

05032018 1257267 992760000 99533000 SUNGARD 000

82554 CORP APPLE INC 037833AJ9 05122015 1000000 1000000000 995330000 4111111 2820000



05122017 934955 56461015 100192000 SUNGARD 000


07222016 490189 200263000 101149000 SUNGARD -2010960

09152016 616979 198927300 101129000 SUNGARD -1725750

05182016 435141 199692520 100153000 SUNGARD -388050


01152016 489343 200310425 100419000 SUNGARD -1982900

03022018 1365000 106500000 100091000 SUNGARD 000



07202016 787164 199859725 100430000 SUNGARD -506175


02062018 1228864 15951200 99758000 SUNGARD 000


82386 CORP IBM CORP 459200HZ7 02112015 1125000 500000000 498790000 859375 980000


02062018 1274939 497810000 99758000 SUNGARD 000


09192016 840060 196624575 101738000 SUNGARD -2813685

01302017 828281 199075140 100156000 SUNGARD -766260

02062018 1228864 187426600 99758000 SUNGARD 000




Page 31


Contra Costa County

As Of Date 09302015





05152019 1748923 199938947 101432000 SUNGARD 000


07192018 1927831 155839382 102595000 SUNGARD -69460


03012018 1769114 499500556 99773000 SUNGARD -305000


01152017 739645 155606050 100183000 SUNGARD -35650

07192018 1927831 199185436 102595000 SUNGARD -88780

02152019 1739996 199404755 110346000 SUNGARD -247710


02012019 1927457 198743020 101021000 SUNGARD -31360


06012019 1599996 154856333 109268000 SUNGARD 000


04252019 1710407 200128717 101608000 SUNGARD -157950




06152018 1655855 172470675 100729000 SUNGARD 000


06152018 1655855 12997790 100729000 SUNGARD 000


05222018 1603145 12498875 99801000 SUNGARD -23750


05152018 1658000 499908681 99381000 SUNGARD -2620000


07172017 1139621 9996800 100401000 SUNGARD 000


08072018 1435833 133761480 100529000 SUNGARD 000


07132018 1567156 499814583 100455000 SUNGARD 000


09082017 1252137 110346500 100069000 SUNGARD -270600


07132018 1579121 40965150 100455000 SUNGARD 000

Subtotal 1504454 15050700000 15124214321 53058340 41320219



Page 32


Contra Costa County

As Of Date 09302015





05242017 600000 333577 100000000 BOOK 000

600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000


10012015 000000 53722612 100000000 BOOK 000



10012015 000000 2809220 100000000 BOOK 000

Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


06102016 510490 244852020 99725917 SUNGARD -523524


510490 244852020 99725917 -523524

Subtotal 462200 245000000 244328496 77076 000



09112017 1430018 199678000 99839000 BOOK 000


04062017 1010000 215000000 100000000 BOOK 000

1212249 414678000 99922410 000

Subtotal 1185757 415000000 414678000 1184241 000


1256393 15127367242 100488445 -34126750


585858 184721498440 100198232 -130630560



Page 33

Page 34

SECTION III

APPENDIX



































TOTAL 19550500378 19562126005

Page 35

SECTION III

APPENDIX





Page 36













Page 37

Asset Class










Other 48977

--- 10000



Risk Metric Value

Cash 10787

MMFund 163929061


Duration 047

Convexity -0018

WAL 0686



Yield 0575

Book Yield 0521


Balance Sheet





1

Page 38


Rating 0 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5 - 7 7 - 10 10 - 15 15 - 30

AAA 57859 600 000 000 000 000 000 000 000

AA 18868 0565 000 000 000 000 000 000 000

A 14937 177 000 000 000 000 000 000 000

BBB 000 000 000 000 000 000 000 000 000

BB 000 000 000 000 000 000 000 000 000

B 000 000 000 000 000 000 000 000 000

CCC 000 000 000 000 000 000 000 000 000

CC 000 000 000 000 000 000 000 000 000

C 000 000 000 000 000 000 000 000 000

NA 000 000 000 000 000 000 000 000 000

Time To Maturity

Credit Rating

Duration


2

Page 39




3

Page 40



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0108 0106 0001

Year to Date 01012015 09302015 0406 0218 0188

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0125 0064 0061

Prior Year 01012014 12312014 0319 012 0199

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0487 0231 0256





4

Page 41








5

Page 42



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0094 0106 -0013

Year to Date 01012015 09302015 032 0218 0102

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0082 0064 0018

Prior Year 01012014 12312014 0203 012 0083

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0372 0231 0142





6

Page 43








7

Page 44


As of 06302015 09302015





Begin DateEnd Date

0701201509302015




Net Income 5064302



Begin DateEnd Date

0701201509302015





8

Page 45





BaseExpense












097023BC8 75000000 BOEING CO 375 11202016 11202016 000 000 -542232 703125 000 160893 01262015

CCYUSD 087 Cash 000 09302015 09302015 -1522403 000 000 000 -626822 -626822 ---



161571GJ7 77500000 CHAIT 2014-A1 A1 115 01152019 01152017 000 000 -15165 133688 000 118523 08072015


3136G1NQ8 000 FANNIE MAE 100 06192017 06192017 000 000 000 216667 000 216667 06112015

3136FPET0 100000000 FANNIE MAE 200 03102016 03102016 000 000 -419520 500000 000 80480 03262015














31679KAB6 23963868 FITAT 2014-2 A2A 045 04172017 12182015 000 -001 1129 36587 000 37716 06112014

3134G4TH1 000 FREDDIE MAC 030 07082015 07082015 000 000 -142 5833 000 5691 01132014

36164EAB1 40000000 GEET 2015-1 A2 089 11242017 08192016 000 000 562 89001 000 89563 03042015


43814GAB6 4552100 HAROT 2014-2 A2 039 09192016 10192015 000 000 022 542 000 564 05212014

43814GAB6 000 HAROT 2014-2 A2 039 09192016 10192015 000 000 195 6747 000 6943 05212014

43814KAB7 33500000 HAROT 2015-1 A2 070 06152017 02232016 000 000 245 58626 000 58871 01282015



41284AAB4 10809821 HDMOT 2014-1 A2A 049 04152018 01092016 000 001 254 16152 000 16407 04162014

41284BAB2 39974707 HDMOT 2015-1 A2A 080 01152019 03102016 000 -000 110 90035 000 90145 01282015

437076BJ0 75000000 HOME DEPOT INC 0707 09152017 09152017 000 000 000 23573 000 23573 09152015





47787VAB7 13340757 JDOT 2014-A A2 045 09152016 10232015 000 000 013 2501 000 2515 04092014

47787VAB7 000 JDOT 2014-A A2 045 09152016 10232015 000 000 207 20737 000 20944 04092014

47787WAB5 40000000 JDOT 2015-B A2 098 06152018 10282016 000 000 048 23956 000 24004 09092015


9

Page 46





BaseExpense





58768EAC3 1563282 MBALT 2014-A A2A 048 06152016 10152015 000 000 096 15691 000 15787 04092014


65477WAB2 60250859 NAROT 2014-B A2 060 06152017 01292016 000 -000 1039 104725 000 105764 12102014






70659PAE1 75000000 PENAR 2013-1A A1 0603 11182017 11182015 000 000 000 112085 000 112085 11212013

69349LAH1 75000000 PNC BANK NA 080 01282016 12282015 000 000 -67860 150000 000 82140 04302015










89236WAB4 60000000 TAOT 2015-A A2 071 07172017 02172016 000 000 106 106500 000 106606 03042015







912828B82 100000000 US TREASURY NB 025 02292016 02292016 000 000 47512 62731 000 110244 03202014

912828QX1 000 US TREASURY NB 150 07312016 07312016 000 000 -90103 128385 000 38283 11062014

912828QX1 100000000 US TREASURY NB 150 07312016 07312016 000 000 -177299 248641 000 71342 11062014

912828VL1 000 US TREASURY NB 0625 07152016 07152016 000 000 -11004 25870 000 14865 06012015

912828VL1 100000000 US TREASURY NB 0625 07152016 07152016 000 000 -56488 130774 000 74286 06012015

912828RF9 100000000 US TREASURY NB 100 08312016 08312016 000 000 -46350 82418 000 36067 10312014

912828RF9 000 US TREASURY NB 100 08312016 08312016 000 000 -95791 168508 000 72718 10312014

912828WQ9 100000000 US TREASURY NB 050 06302016 06302016 000 000 -10338 125000 000 114662 07012014

912828WQ9 000 US TREASURY NB 050 06302016 06302016 000 000 000 000 000 000 07012014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -422216 502702 000 80486 07312014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -418363 502702 000 84339 12312014

90290KAB1 000 USAOT 2014-1 A2 038 10172016 08152015 000 000 033 2694 000 2728 02282014

90290XAB3 48000000 USAOT 2015-1 A2 082 03152018 06152016 000 000 355 69925 000 70280 07292015

92867GAC7 000 VALET 2012-1 A3 085 08222016 08202015 000 000 -530 1301 000 771 10082013



--- 4418795242 --- --- 08242016 05272016 -1522403 000 -5643946 11335070 -626822 5064302 ---


10

Page 47



11

Page 48

CE

ST


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



000000

163929061163929061

000 100 000 163929061 163929061


0320176

3497480034985378

7529 9998 000 34992907 34992907


000000

1070010700

000 100 000 10700 10700


000000

087087

000 100 000 087 087

--- --- 198939848 --- AAA --- 1008201510082015

00560031

198914648198925226

7529 --- 000 198932755 198932755


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0440145

9963281399922018

124882 100046 21291 100046900 100068191


03450288

4999231949996159

20291 100032 92583 50016450 50109033


04570676

2054448520506239

-5665 100002 53813 20500574 20554386


04070676

5009100050018360

-16960 100002 131250 50001400 50132650


03260316

101596000100734160

22040 100756 116667 100756200 100872867


02540173

9974722299911805

27895 9994 000 99939700 99939700


06780491

7538400075045419

31906 100103 156586 75077325 75233911


04340493

2520400025027380

-8580 100075 76389 25018800 25095189


0510252

1623903816269182

16686 99913 000 16285868 16285868


04510252

7682552476970779

62375 99913 000 77033154 77033154


0450824

100000000100000000

-300000 9970 118750 99700000 99818750


03515319

7960500075000000

000 10000 2021250 75000000 77021250


0380158

9986800099972520

72780 100045 56389 100045300 100101689


04390516

7517850075064909

-13984 100067 105000 75050925 75155925


0611258

2911417528777256

961 100976 54625 28778217 28832842


05381258

3070590030301438

-8578 100976 57500 30292860 30350360


03820096

9978800099987783

26817 100015 102083 100014600 100116683


06620749

7663200075712709

-60884 100869 106667 75651825 75758492


06440534

7687500076018727

-57677 101281 301875 75961050 76262925


12

Page 49


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



02630231

9998700099995919

11581 100007 47222 100007500 100054722


0440404

9998000099981639

43061 100024 35000 100024700 100059700


04820796

15632411563281

-208 99986 333 1563073 1563406


0680185

3000000030000000

49200 100164 32867 30049200 30082067


0680185

4900000049000000

80360 100164 53682 49080360 49134042


1000793

7500000075000000

89250 100119 312500 75089250 75401750


04340339

101839844100883590

69510 100953 252717 100953100 101205817


07310525

7500000075000000

128250 100171 91375 75128250 75219625


04860231

4000000040000000

25200 100063 48600 40025200 40073800


0500431

103068800101117132

63568 101181 655208 101180700 101835908


03630386

5000000050000000

-3500 99993 1513 49996500 49998013


03991136

45517444552052

-1723 99961 641 4550329 4550970


06340413

2500000025000000

34250 100137 59878 25034250 25094128


05573152

5000000050000000

-768600 98463 28980 49231400 49260380


03560322

100300781100211280

25720 100237 132473 100237000 100369473


0300176

3493670834986292

6615 9998 000 34992907 34992907


0416000

5004150050041386

-3286 100076 2083 50038100 50040183


03150138

102519531100559896

72904 100633 336957 100632800 100969757


03350138

101800781100554786

78014 100633 336957 100632800 100969757


0643067

7938557578404246

-20126 10114 264792 78384120 78648912


13010992

1244687512466000

34875 100007 10417 12500875 12511292


04410206

9982000099960138

42262 100002 20417 100002400 100022817


0520206

1993360019985090

15390 100002 4083 20000480 20004563


04320372

101035156100517578

41022 100558 85165 100558600 100643765


04590271

100082031100030677

141223 100171 126358 100171900 100298259


04540804

1334023613340717

-2948 99977 2668 13337769 13340437


0860765

7627500075376462

25463 100535 411667 75401925 75813592

--- --- 2955856139 --- AA+ --- 0403201603252016

04770563

29799313792963765007

211629 --- 6927270 2963976636 2970903906


13

Page 50

LT

Summary


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0640459

3000000030000000

53700 100179 96000 30053700 30149700


05020576

4512060045102743

-84203 100041 49840 45018540 45068380


06050576

3000000030000000

12360 100041 33226 30012360 30045586


05670213

100100000100003662

13538 100017 310806 100017200 100328006


0712069

5999943059999657

1543 100002 18933 60001200 60020133


0602081

7500000075000000

-326325 99564 19775 74673675 74693450


07930927

5000000050000000

-99000 99802 51953 49901000 49952953


05950768

7500000075000000

-304875 99594 97667 74695125 74792792


07070726

3349825133498972

-2959 99988 10422 33496014 33506436


12581164

2500000025000000

40500 100162 52417 25040500 25092917


05950699

7500000075000000

-9900 99987 16326 74990100 75006426


08020807

3997438339974499

-5229 99986 14213 39969270 39983483


08560858

7764531377630148

102197 10030 39611 77732345 77771956


04630617

2396123523963281

-7944 99964 4793 23955337 23960130


07930938

2500000025000000

-63825 99744 12490 24936175 24948665


04840457

100213000100160805

-13205 100147 222222 100147600 100369822


09920938

3999865239998700

14939 100034 23956 40013640 40037596


08490764

7891350077451831

105294 103409 1023438 77557125 78580563


08280693

4799821447998569

99063 100203 17493 48097632 48115125


0788077

5000000050000000

550 100001 7549 50000550 50008099


04970718

1080908910809602

-6602 99936 2354 10803000 10805354


06080785

6024762460249350

-35545 99939 16067 60213804 60229871


07070623

7500000075000000

116625 100156 23573 75116625 75140198


09030755

3999570039997074

44005 100102 7911 40041080 40048991

--- --- 1263999255 --- AA --- 0910201711282016

06970689

12684749911266838894

-355297 --- 2173035 1266483597 1268656633


14

Page 51



BookYieldYield



Loss

MarketPrice

Base AccruedBalance


--- --- 4418795242 --- AA+ --- 0824201605272016

05210575

44473210184429529127

-136139 --- 9100306 4429392988 4438493293


15

Page 52

Does not Lock Down

Principal Paydown

Buy



CouponRate

FinalMaturity





BaseCommission

Base Amount

0915201509152015


045 04172017 Direct 000-5648497

--- 000-5648497

000 -000 000 5648497

0815201508152015


045 04172017 Direct 000-6011247

--- 000-6011247

000 -000 000 6011247

0715201507152015


045 04172017 Direct 000-6263285

--- 000-6263285

000 -000 000 6263285

0815201508152015


049 04152018 Direct 000-1726557

--- 000-1726557

000 000 000 1726557

0715201507152015


049 04152018 Direct 000-1703805

--- 000-1703805

000 000 000 1703805

0915201509152015


049 04152018 Direct 000-1540700

--- 000-1540700

000 000 000 1540700

0815201508152015


080 01152019 Direct 000-3595039

--- 000-3595039

000 000 000 3595039

0715201507152015


080 01152019 Direct 000-3002000

--- 000-3002000

000 -000 000 3002000

0915201509152015


080 01152019 Direct 000-3428254

--- 000-3428254

000 -000 000 3428254

0918201509182015


039 09192016 Direct 000-1811448

--- 000-1811448

000 -000 000 1811448

0818201508182015


039 09192016 Direct 000-1906504

--- 000-1906504

000 000 000 1906504

0718201507182015


039 09192016 Direct 000-2005503

--- 000-2005503

000 000 000 2005503

0715201507152015


045 09152016 Direct 000-4752217

--- 000-4752217

000 000 000 4752217

0815201508152015


045 09152016 Direct 000-5933214

--- 000-5933214

000 000 000 5933214

0915201509152015


045 09152016 Direct 000-4469878

--- 000-4469878

000 -000 000 4469878

0915201509152015


048 06152016 Direct 000-7784949

--- 000-7784949

000 -000 000 7784949

0815201508152015


048 06152016 Direct 000-7842966

--- 000-7842967

000 000 000 7842967

0715201507152015


048 06152016 Direct 000-8213508

--- 000-8213508

000 000 000 8213508

0815201508152015


060 06152017 Direct 000-7684473

--- 000-7684473

000 -000 000 7684473

0915201509152015


060 06152017 Direct 000-7064668

--- 000-7064668

000 000 000 7064668

0715201507152015


038 10172016 Direct 000-6260991

--- 000-6260991

000 -000 000 6260991

0815201508152015


038 10172016 Direct 000-3808377

--- 000-3808377

000 000 000 3808377

0720201507202015


085 08222016 Direct 000-2084026

--- 000-2084026

000 -000 000 2084026

0820201508202015


085 08222016 Direct 000-315887

--- 000-315887

000 000 000 315887

------


--- --- Direct 000-104857994

--- 000-104857994

000 000 000 104857994


16

Page 53



CouponRate

FinalMaturity





BaseCommission

Base Amount

0921201509242015


0776 09202017 Deutsche Bank 5000000050000000

10000 00050000000

000 000 000 -50000000

0804201508072015



100188 00077645313

54465 000 000 -77699778

0930201509302015


050 09282016 APX Asset 5000000050000000

100083 00050041500

1389 000 000 -50042889

0827201509012015



100000000100000000

9998 00099980000

000 000 000 -99980000

0908201509152015


0707 09152017 Bank of America 7500000075000000

10000 00075000000

000 000 000 -75000000

0901201509092015


098 06152018 Dain Rauscher 4000000040000000

99997 00039998652

000 000 000 -39998652

0827201508282015



99928 00034974800

000 000 000 -34974800

0827201508282015



10000 00050000000

000 000 000 -50000000

0721201507292015


082 03152018 Dain Rauscher 4800000048000000

99996 00047998214

000 000 000 -47998214

0701201507012015


005 09302015 Direct 103898103898

100 103898103898

000 000 000 -103898

0708201507082015


005 09302015 Direct 100315648100315648

100 100315648100315648

000 000 000 -100315648

0715201507152015


005 09302015 Direct 47810824781082

100 47810824781082

000 000 000 -4781082

0715201507152015


005 09302015 Direct 2211138522111385

100 2211138522111385

000 000 000 -22111385

0715201507152015


005 09302015 Direct 47629034762903

100 47629034762903

000 000 000 -4762903

0713201507132015


005 09302015 Direct 109181109181

100 109181109181

000 000 000 -109181

0720201507202015


005 09302015 Direct 40945704094570

100 40945704094570

000 000 000 -4094570

0720201507202015


005 09302015 Direct 3833338333

100 3833338333

000 000 000 -38333

0724201507242015


005 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0723201507232015


005 09302015 Direct 125000125000

100 125000125000

000 000 000 -125000

0721201507212015


005 09302015 Direct 145000145000

100 145000145000

000 000 000 -145000

0728201507282015


005 09302015 Direct 11625001162500

100 11625001162500

000 000 000 -1162500

0727201507272015


005 09302015 Direct 109389109389

100 109389109389

000 000 000 -109389

0731201507312015


005 09302015 Direct 27500002750000

100 27500002750000

000 000 000 -2750000

0803201508032015


006 09302015 Direct 125606125606

100 125606125606

000 000 000 -125606

0803201508032015


006 09302015 Direct 7658631276586312

100 7658631276586312

000 000 000 -76586312

0817201508172015


006 09302015 Direct 5513255132

100 5513255132

000 000 000 -55132

0817201508172015


006 09302015 Direct 2900316329003163

100 2900316329003163

000 000 000 -29003163

0814201508142015


006 09302015 Direct 9519495194

100 9519495194

000 000 000 -95194

0820201508202015


006 09302015 Direct 390154390154

100 390154390154

000 000 000 -390154


17

Page 54

Sell



CouponRate

FinalMaturity





BaseCommission

Base Amount

0820201508202015


006 09302015 Direct 224224

100 224224

000 000 000 -224

0820201508202015


006 09302015 Direct 12061206

100 12061206

000 000 000 -1206

0819201508192015


006 09302015 Direct 6750000067500000

100 6750000067500000

000 000 000 -67500000

0819201508192015


006 09302015 Direct 9427194271

100 9427194271

000 000 000 -94271

0818201508182015


006 09302015 Direct 77219737721973

100 77219737721973

000 000 000 -7721973

0818201508182015


006 09302015 Direct 3492134921

100 3492134921

000 000 000 -34921

0818201508182015


006 09302015 Direct 19091921909192

100 19091921909192

000 000 000 -1909192

0825201508252015


006 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0824201508242015


006 09302015 Direct 6300063000

100 6300063000

000 000 000 -63000

0831201508312015


006 09302015 Direct 625000625000

100 625000625000

000 000 000 -625000

0910201509102015


008 09302015 Direct 12100001210000

100 12100001210000

000 000 000 -1210000

0908201509082015


008 09302015 Direct 866615866615

100 866615866615

000 000 000 -866615

0911201509112015


008 09302015 Direct 421162421162

100 421162421162

000 000 000 -421162

0911201509112015


008 09302015 Direct 2243022430

100 2243022430

000 000 000 -22430

0918201509182015


008 09302015 Direct 18135161813516

100 18135161813516

000 000 000 -1813516

0918201509182015


008 09302015 Direct 3807838078

100 3807838078

000 000 000 -38078

0916201509162015


008 09302015 Direct 6830068300

100 6830068300

000 000 000 -68300

0915201509152015


008 09302015 Direct 1124587911245879

100 1124587911245879

000 000 000 -11245879

0915201509152015


008 09302015 Direct 44765574476557

100 44765574476557

000 000 000 -4476557

0915201509152015


008 09302015 Direct 1673996916739969

100 1673996916739969

000 000 000 -16739969

0921201509212015


008 09302015 Direct 9958549499585494

100 9958549499585494

000 000 000 -99585494

0921201509212015


008 09302015 Direct 250000250000

100 250000250000

000 000 000 -250000

0928201509282015


008 09302015 Direct 1584415844

100 1584415844

000 000 000 -15844

------

Buy ------

--- --- --- 987127415987127415

--- 461627415987265894

55854 000 000 -987321748



CouponRate

FinalMaturity





BaseCommission

Base Amount

0919201509192015


100 06192017 Not Provided -100000000-100000000

10000 000-100000000

-250000 000 000 100250000

0720201507202015


005 09302015 Direct -633478-633478

100 -633478-633478

000 000 000 633478

0729201507292015


005 09302015 Direct -47998214-47998214

100 -47998214-47998214

000 000 000 47998214


18

Page 55

Maturity

Summary






CouponRate

FinalMaturity





BaseCommission

Base Amount

0807201508072015


006 09302015 Direct -77699778-77699778

100 -77699778-77699778

000 000 000 77699778

0810201508102015


006 09302015 Direct -1522403-1522403

100 -1522403-1522403

000 000 000 1522403

0828201508282015


006 09302015 Direct -84974800-84974800

100 -84974800-84974800

000 000 000 84974800

0901201509012015


008 09302015 Direct -89883832-89883832

100 -89883832-89883832

000 000 000 89883832

0909201509092015


008 09302015 Direct -39998652-39998652

100 -39998652-39998652

000 000 000 39998652

0924201509242015


008 09302015 Direct -49970333-49970333

100 -49970333-49970333

000 000 000 49970333

0930201509302015


008 09302015 Direct -50042889-50042889

100 -50042889-50042889

000 000 000 50042889

------

Sell ------

--- --- --- -542724379-542724379

--- -442724379-542724379

-250000 000 000 542974379



CouponRate

FinalMaturity





BaseCommission

Base Amount

0901201509012015


0553 09012015 Maturity -10000000-10000000

10000 000-10000000

000 000 000 10000000

0915201509152015


275 09152015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0708201507082015


030 07082015 Maturity -100000000-100000000

10000 000-100000000

000 000 000 100000000

0801201508012015


0297 08012015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0819201508192015


0546 08192015 Maturity -37500000-37500000

10000 000-37500000

000 000 000 37500000

0819201508192015


0546 08192015 Maturity -30000000-30000000

10000 000-30000000

000 000 000 30000000

------

Maturity ------

--- --- Maturity -327500000-327500000

10000 000-327500000

000 000 000 327500000



CouponRate

FinalMaturity





BaseCommission

Base Amount

------

--- ------

--- --- --- 11690303612045042

--- 1890303612183521

-194146 000 000 -11989375


19

Page 56

Does not Lock Down

Receivable

Settled


















08042015 08072015 Buy 77500000 161571GJ7 CHAIT 2014-A1 A1 115 01152019 100188 -77699778



















07232015 07232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

09232015 09232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

08232015 08232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667









20

Page 57



























09012015 09092015 Buy 40000000 47787WAB5 JDOT 2015-B A2 098 06152018 99997 -39998652



























21

Page 58













07212015 07292015 Buy 48000000 90290XAB3 USAOT 2015-1 A2 082 03152018 99996 -47998214









































22

Page 59

Summary






































--- --- --- 12045042 --- --- --- --- --- -6699



--- --- --- 12045042 --- --- --- --- --- 3915


23

Page 60

Does not Lock Down

Receivable

Settled
















































24

Page 61

Summary





















25

Page 62




Redemptions






GainLoss




41898878000

000000

-17923029 000 1129 -3585 -001 -13263 000 23960130


50058628000

000000

-10025293 000 110 -3565 -000 -46397 000 39983483


74988125000

000000

-14749141 000 1039 -3933 -000 -6219 000 60229871


145026025461627415

-442724379000

000 000 000 000 000 000 000 163929061


100138260000

000000

000 000 47512 -62269 000 -55312 000 100068191

3136G1NQ8FANNIE MAE

100162633000

-100000000000

000 000 000 -33333 000 -129300 000 000


50056533000

000000

000 000 1931 41250 000 9319 000 50109033


75376481000

000000

000 000 -42208 3680 000 -104042 000 75233911


25057089000

000000

000 000 -35478 62500 000 11078 000 25095189


30022800000

000000

000 000 000 48000 000 78900 000 30149700


76885875000

000000

000 000 -947785 1010625 000 72535 000 77021250


44989417000

000000

000 000 -11570 2237 000 88295 000 45068380


29992945000

000000

000 000 000 1491 000 51150 000 30045586


29215583000

000000

000 000 -161440 -204844 000 -16457 000 28832842


30753245000

000000

000 000 -175521 -215625 000 -11739 000 30350360


50063217000

000000

000 000 000 2287 000 -112550 000 49952953


100067783000

000000

000 000 33058 62500 000 -46658 000 100116683


75187934000

000000

000 000 000 2883 000 -398025 000 74792792


76827617000

000000

000 000 -475139 -600000 000 6014 000 75758492

43814KAB7HAROT 2015-1 A2

33501377000

000000

000 000 245 000 000 4813 000 33506436


00099980000

000000

000 000 1639 35000 000 43061 000 100059700


75113794000

000-75000000

000 000 000 -107044 000 -6750 000 000


75047598000

000000

000 000 000 753 000 -41925 000 75006426

161571GJ7CHAIT 2014-A1 A1

00077645313

000000

000 000 -15165 39611 000 102197 000 77771956


75100250000

000000

000 000 000 187500 000 114000 000 75401750


101844491000

000000

000 000 -267402 -372973 000 1702 000 101205817


75367200000

000000

000 000 000 -237575 000 90000 000 75219625


00050000000

000000

000 000 000 1513 000 -3500 000 49998013


100126572000

000000

000 000 -35308 156250 000 122308 000 100369822


26

Page 63




Redemptions






GainLoss



097023BC8BOEING CO

78296763000

000000

000 000 -542232 703125 000 122907 000 78580563

90290XAB3USAOT 2015-1 A2

00047998214

000000

000 000 355 17493 000 99063 000 48115125


30023663000

000-30000000

000 000 -7090 -19583 000 3010 000 000


37529579000

000-37500000

000 000 000 -24479 000 -5100 000 000


49985300000

000000

000 000 000 3880 000 -728800 000 49260380


100561729000

000000

000 000 -67492 -155855 000 31092 000 100369473


00034974800

000000

000 000 10578 000 000 7529 000 34992907


34966244000

000000

000 000 26833 000 000 -172 000 34992907

CCYUSDReceivable

6698000

000000

000 000 000 000 000 000 4002 10700

CCYUSDCash

088000

000000

000 000 000 000 000 000 -001 087

CCYUSDPayable

000000

000000

000 000 000 000 000 000 000 000


00050041500

000000

000 000 -114 2083 000 -3286 000 50040183


12498486000

000000

000 000 9310 -22569 000 26065 000 12511292

36164EAB1GEET 2015-1 A2

40033871000

000000

000 000 562 000 000 14558 000 40048991


101053039000

000000

000 000 -142141 -249074 000 -18059 000 100643765


100165459000

000000

000 000 -10338 125000 000 18138 000 100298259


76494217000

000000

000 000 -326741 -487500 000 133616 000 75813592


20535773000

000000

000 000 -12478 35875 000 -4784 000 20554386


50087250000

000000

000 000 -36719 87500 000 -5381 000 50132650

3136FPET0FANNIE MAE

101794467000

000000

000 000 -419520 -500000 000 -2080 000 100872867


99908700000

000000

000 000 63889 000 000 -32889 000 99939700


76867003000

000000

000 000 86776 000 000 79375 000 77033154


16250741000

000000

000 000 20696 000 000 14431 000 16285868


100006250000

000000

000 000 000 112500 000 -300000 000 99818750


100151989000

000000

000 000 22572 -72500 000 -372 000 100101689


75360600000

000000

000 000 -67860 -150000 000 13185 000 75155925


100156006000

000000

000 000 -25915 167500 000 30415 000 100328006

89236WAB4TAOT 2015-A A2

59989773000

000000

000 000 106 000 000 30254 000 60020133


75148560000

000000

000 000 000 2390 000 -457500 000 74693450


27

Page 64




Redemptions






GainLoss




77069775000

000000

000 000 -311372 -431250 000 -64228 000 76262925


10018733000

000-10000000

000 000 000 -18433 000 -300 000 000


100125422000

000000

000 000 3322 -62500 000 -11522 000 100054722


25084493000

000000

000 000 000 -30576 000 39000 000 25092917


30139300000

000000

000 000 000 -62333 000 5100 000 30082067


49227523000

000000

000 000 000 -101811 000 8330 000 49134042


100148867000

000-100000000

000 000 -142 -144167 000 -4558 000 000


25022566000

000000

000 000 000 -676 000 -73225 000 24948665


40100000000

000000

000 000 000 -48600 000 22400 000 40073800


101747358000

000000

000 000 -406230 531250 000 -36470 000 101835908


25035503000

000000

000 000 000 39625 000 19000 000 25094128

47787WAB5JDOT 2015-B A2

00039998652

000000

000 000 048 23956 000 14939 000 40037596


00050000000

000000

000 000 000 7549 000 550 000 50008099


75897542000

000-75000000

000 000 -350511 -607292 000 60261 000 000


00075000000

000000

000 000 000 23573 000 116625 000 75140198


101896754000

000000

000 000 -422216 -497298 000 -7484 000 100969757


101896754000

000000

000 000 -418363 -497298 000 -11337 000 100969757


100071817000

000000

000 000 22779 -87500 000 15721 000 100022817


20014363000

000000

000 000 8520 -17500 000 -820 000 20004563


79187459000

000000

000 000 -272756 -397188 000 131396 000 78648912


25410507000

000000

-23841424 000 096 -5086 000 -687 000 1563406

47787VAB7JDOT 2014-A A2

28501338000

000000

-15155309 000 221 -3031 000 -2782 000 13340437

90290KAB1USAOT 2014-1 A2

10070313000

000000

-10069368 000 033 -1701 000 722 000 000

92867GAC7VALET 2012-1 A3

2401150000

000000

-2399913 000 -530 -623 000 -084 000 000

43814GAB6HAROT 2014-2 A2

10272974000

000000

-5723455 000 218 -806 000 2040 000 4550970


15784776000

000000

-4971062 000 254 -1083 001 -7533 000 10805354

------

4435867885987265894

-542724379-327500000

-104857994 000 -5643946 -3001677 000 -916491 4001 4438493293


28

Page 65



29

Page 66





50 Basis PointShock










097023BC8 BOEING CO CORP 77557125 0849 0764 1111 78215474 78215474 77987972 77126313 76695535 75834085


161571GJ7 CHAIT 2014-A1 A1 ABS 77732345 0856 0858 1289 78592101 78592101 78233352 77231382 76730464 75728763














31679KAB6 FITAT 2014-2 A2A ABS 23955337 0463 0617 0217 23987412 23987412 23981330 23929347 23903357 23851381

36164EAB1 GEET 2015-1 A2 ABS 40041080 0903 0755 000 40041080 40041080 40041080 40041080 40041080 40041080


41284AAB4 HDMOT 2014-1 A2A ABS 10803000 0497 0718 0277 10824486 10824486 10817962 10788038 10773077 10743155

41284BAB2 HDMOT 2015-1 A2A ABS 39969270 0802 0807 0698 40194154 40194154 40108664 39829678 39689889 39409716



43814GAB6 HAROT 2014-2 A2 ABS 4550329 0399 1136 0054 4553121 4552786 4551558 4549101 4547872 4545415

43814KAB7 HAROT 2015-1 A2 ABS 33496014 0707 0726 0399 33593046 33593046 33562840 33429191 33362371 33228742


93319022 0462 0252 0377 93407680 93407680 93407680 93143119 92967223 92615453


99700000 045 0824 0801 100358078 100358078 100099311 99300714 98901453 98103005


47787VAB7 JDOT 2014-A A2 ABS 13337769 0454 0804 0065 13344739 13344739 13342104 13333434 13329099 13320430

47787WAB5 JDOT 2015-B A2 ABS 40013640 0992 0938 1066 40413771 40413771 40226922 39800376 39587131 39160693


58768EAC3 MBALT 2014-A A2A ABS 1563073 0482 0796 0044 1563620 1563620 1563417 1562729 1562385 1561697


65477WAB2 NAROT 2014-B A2 ABS 60213804 0608 0785 033 60369794 60369794 60313160 60114454 60015108 59816429





70659PAE1 PENAR 2013-1A A1 ABS 74990100 0595 0699 0053 75017882 75017882 75009972 74970228 74950355 74910610




30

Page 67







50 Basis PointShock







89236WAB4 TAOT 2015-A A2 ABS 60001200 0712 069 0382 60159357 60159357 60115805 59886600 59772007 59542839

90290XAB3 USAOT 2015-1 A2 ABS 48097632 0828 0693 1504 48598976 48598976 48459345 47735956 47374318 46651153












CCYUSD Cash CASH 087 000 000 000 087 087 087 087 087 087

--- --- --- 4429392988 0521 0575 047 4440207556 4440012694 4437618810 4418979071 4408563561 4387727762


31

Page 68



32

Page 69


CONTRA COSTA COUNTY


ShareAmount

201-000004-10Average

Cost NAV

Average

Cost Amount

Realized

GainLoss


08312015 BALANCE FORWARD 14828923123 1002 14858580969 1002517967 14866261865


09302015 ENDING BALANCE 14828923123 1002 14866261865 14858580969










Phone 8007733863

Fax 252-972-1908


CONTRA COSTA COUNTY

CONTRA COSTA COUNTY

ATTN BELINDA ZHU

625 COURT STREET

ROOM 102


Page 1 of 1

Page 70


September 30 2015

CalTrust

Short Term

LAIF



Yield 034052





CalTrust

Short Term

Total Return

CalTrust

Short Term

Yield Return

LAIF Yield

Return

010 003004One Month


021 016024Six Month

041 029045One Year

043 027042Two Year


044 032044Five Year

181 172178Ten Year


Annualized


Total 1000



Total 1000









the month




Page 71




Page 72


Page 73



Page 74

SECTION III

APPENDIX




September 30 2015

FY 2015-2016


NUMBER 063015 072115 093015

100300 237517555 (14241865) 223275690

TOTALS 237517555 -14241865 000 000 000 000 000 223275690


Page 75

EXHIBITS










TOTAL $236548791215 10000



Less 1 yr $176302182693 7453

1 to 2 yrs 30507848304 12902 to 3 yrs 22479209821 950

3 to 4 yrs 6746274707 2854+ yrs 513275690 022

TOTAL $236548791215 10000


US Treasuries123


Money Market4697

ABSMBS019




Other 824

Cash548


Less 1 yr7453


9503 to 4 yrs285

4+ yrs022


Exhibit II





($) () () (day) (year)




2 Other



C Cash $12964473527 549 03500 4 1 NA








WEIGHTED

Exhibit III








5 Corporate Notes 16100700000 13527200000 2573500000 1902

TOTAL 184533165409 219726365409 (35193200000) -1602




Subtotal 19500651901 19504260129 (3608228) -002

TOTAL 39051152279 40698368474 (1647216195) -405

C Cash 12964473527 29335994238 (16371520711) -5581






Exhibit IV

Quarter Ending

















Exhibit IV (a)

Quarter Ending














Exhibit IV (b)

000

050

100

150

200

250

300

350

400

450

500

550



Exhibit IV (c)

-200

-100

000

100

200

300

400

500

600

700

93015 32816 92416 32317 91917 31818 91418 31319 9919 3720 9320

Yie

ld t

o M

atu

rity

Maturity Dates


CountyTreasurer

Wells CapitalMgmt







Risk Assessment



Exhibit IV (d)



DATE YTM ()









Exhibit V









Total $246365406496 10000




Exhibit V (a)




93015 Ave Maturity






Rate Yield





Six Month LIBOR 05340 05545 05051 04445



Exhibit V (b)

00000

10000

20000

30000

40000

50000

60000



Treasurer

LAIF

Wells CapitalMgmt

CalTRUST

Exhibit VI













Total $5372100000

Fund







Exhibit VI (a)






























































Exhibit VI (a)
















































TOTAL 51134346284 51034580657 51239469518


Exhibit VI (b)



Total $1575955394 $1579235118 $1577862697


September 30 2015







TREASURY 2350$ 950$ 1750$ 850$ 800$ 4150$ 500$ 5700$ 6200$ 10900$ 500$

REPO

TDs 1770$ 1058$ 1538$ 522$ 430$ 311$

AGENCY 903$ 250$ 750$ 950$ 1030$ 1350$ 1725$ 1700$ 505$ 577$ 781$

CP 1400$ 650$ 375$ 50$ 150$ 200$

CDs + BNs 5900$ 1500$ 2625$ 1250$ 400$ 600$ 500$ 500$ 200$

CORP BND TOTAL

67100$ 12323$ 4408$ 7038$ 3622$ 2810$ 6611$ 2725$ 7900$ 6905$ 11477$ 1281$

PERCENT 184 66 105 54 42 99 41 118 103 171 19 00 00















TOTAL 6649401194538$ $ 6651219520504 $ 6655174641252 3940591830$















1 Structured Notes



Structured Notes

















Exhibit VIII






(bps) ($) ($) (bps)

‐50 185664633657 100613 4139

‐25 185280659319 100405 2064

‐10 185051371991 100281 826

0 184898968418 100198 000

10 184746927139 100116 ‐821

25 184519541875 99993 ‐2048

50 184142360805 99788 ‐4094









Exhibit IX



















Total $722500000 $745685162






Table of Contents







Exhibits





















Contra Costa County

As Of Date 09302015




Subtotal 328043 61284800000 61261659931 56430381 12307195

328594 61192922725 99962242 -370


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


Subtotal 1042646 317000000 316972369 142084 000

1046859 316972369 99991284 000


Subtotal 148207 599700000 599636986 443798 78864

148407 599114324 99989492 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


Subtotal 2133314 722500000 745685162 4095807 000

1186443 745685162 103209019 000




Page 6


Contra Costa County

As Of Date 09302015




Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


Subtotal 462200 245000000 244328496 77076 000

510490 244852020 99725917 -523524


Subtotal 1185757 415000000 414678000 1184241 000

1212249 414678000 99922410 000


1256393 15127367242 100488445 -34126750

Subtotal 1504454 15050700000 15124214321 53058340 41320219


Subtotal 900000 202500000 201230550 10125 000

900000 202500000 99373111 -1269450


Subtotal 481820 1050000000 1049987000 1193357 4755000

1382208 1045245000 99998762 -13000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000




Page 7


Contra Costa County

As Of Date 09302015




600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000



585858 184721498440 100198232 -130630560



Page 8


Contra Costa County

As Of Date 09302015





TIME DEPOSIT 334 334 334 10000 000 060

MBSABS 459500 460215 460215 10000 000 105

CORPORATE NOTES 16100700 16172612 16174201 10001 11935 126

NCDYCD 49775700 49775230 49796227 10004 20997 037


MUNICIPALS 722500 745685 745685 10000 000 119

US AGENCIES 53217100 53392208 53471663 10015 82468 085

US TREASURIES 2916000 2925760 2932452 10023 7838 091

Totals(000s) 184533165 184721498 184898968 10010 135545 059


Asset Allocation


Contra Costa County

As Of Date 09302015




Page 10


Contra Costa County

As Of Date 09302015




09302019 1403864 36542813 102120000 SUNGARD 000


03312018 1076208 346541016 99857000 SUNGARD 000


03312017 622165 362158668 100729000 SUNGARD -37913


07312018 916641 8619531 101340000 SUNGARD -5631



02282019 1336788 12518555 101027000 SUNGARD 000



04302019 1138894 502187500 100536000 SUNGARD 000


10312016 545942 183969297 100641000 SUNGARD -802677

07312018 1446611 38393223 101340000 SUNGARD 000

08312017 1013383 55069273 99922000 SUNGARD 000




06302017 928142 12941602 100275000 SUNGARD 000

11302017 1165963 21093969 103284000 SUNGARD 000

05312017 818703 36357472 100074000 SUNGARD 000


11302017 874222 45733582 99818000 SUNGARD 000




01312017 734933 27577783 100518000 SUNGARD 000

06302017 788660 285758043 100275000 SUNGARD 000

03312019 1589638 7009420 101833000 SUNGARD 000




05152019 1503637 10172422 107099000 SUNGARD 000




Page 11


Contra Costa County

As Of Date 09302015




06102016 475000 249504983 99998000 SUNGARD 000




06082018 1390090 617211350 100643000 SUNGARD 000


06102016 745089 299310440 101181000 SUNGARD -11956400

09082017 790076 16967190 100023000 SUNGARD 000

06192017 850065 288880000 100628000 SUNGARD 000



82122 GOV FHLB NOTES 3130A33J1 09192014 1200000 500000000 504515000 200000 4515000

06082018 1410094 298200000 100643000 SUNGARD 000

09192017 1200000 500000000 100903000 SUNGARD 000

10142016 572077 1001020000 100180000 SUNGARD 000




06102016 760030 199664780 101181000 SUNGARD -7926785


07312018 1111402 97644950 103810000 SUNGARD 000


04152018 921899 399252305 99836000 SUNGARD 000


03312018 874966 51323255 99857000 SUNGARD 000


05152020 1503393 26314770 109626000 SUNGARD 000

03312018 860670 169535156 99857000 SUNGARD 000


03312017 545225 169141875 100729000 SUNGARD 000


06302020 1499897 19903546 102362000 SUNGARD 000


911013 2925760026 100564202 -846221

Subtotal 1021082 2916000000 2932452140 6759174 8684053



Page 12


Contra Costa County

As Of Date 09302015





09282016 615106 196637520 100076000 SUNGARD 000

03082019 1415035 501660000 101036000 SUNGARD 000

09282016 530086 283895537 100076000 SUNGARD 000




12092016 571735 1965471750 101299000 SUNGARD -12933525

11232016 556000 209262834 100148000 SUNGARD 000


03102017 739127 300801000 100273000 SUNGARD 000

04252018 1155323 999070000 100679000 SUNGARD 000


82419 GOV FHLB NOTES 3130A4K27 03092015 720000 1000000000 1001840000 500000 3470000


03062017 802655 998370000 100184000 SUNGARD 000


12122016 720127 499305000 100148000 SUNGARD 000

12122016 670252 350206500 100178000 SUNGARD 000

12122016 770206 499315000 100178000 SUNGARD 000

82271 GOV FHLB NOTES 3130A3Q64 12232014 700000 500000000 500890000 1059722 1575000

12162016 620043 249372500 100074000 SUNGARD 000

09282016 470153 1147573500 100076000 SUNGARD 000



12012015 215107 36978910 100008000 SUNGARD 000


12092016 571735 628645050 101299000 SUNGARD -4136715




09282016 470201 76538250 100076000 SUNGARD 000


08152017 1000000 1000000000 100565000 SUNGARD 000

12082017 1180284 449280000 100653000 SUNGARD 000

01062017 750000 1000000000 100174000 SUNGARD 000




Page 13


Contra Costa County

As Of Date 09302015





06242016 330908 25014667 99904000 SUNGARD -34500


10302018 1300000 500000000 100363000 SUNGARD 000


06292018 1100000 1000000000 100351000 SUNGARD 000

08282017 858202 152158400 100087000 SUNGARD 000

05302017 692495 100021625 100010000 SUNGARD 000


09132019 1400130 249833889 100383000 SUNGARD 000

82664 GOV FHLB NOTES 3130A6B63 08142015 1200000 1000000000 1005600000 1566667 5600000

08142018 1200000 1000000000 100560000 SUNGARD 000




03242017 840000 16500000 100270000 SUNGARD 000

82550 GOV FHLB NOTES 3130A57K9 05042015 1000000 1000000000 1000830000 4083333 2310000

04202016 290248 160920618 99999000 SUNGARD 000


03182016 330364 199739400 100113000 SUNGARD -13965


03242017 840000 160000000 100270000 SUNGARD 000



05302017 666017 142881310 100010000 SUNGARD 000

06302017 730000 1000000000 100148000 SUNGARD 000

06142019 1563094 250600000 101365000 SUNGARD 000




05262017 720000 1000000000 100253000 SUNGARD 000

05042018 1050244 998520000 100083000 SUNGARD 000

Subtotal 1003326 21750500000 21853148370 55191484 71040556

857670 21819332003 100471936 -37001890



Page 14


Contra Costa County

As Of Date 09302015





09282016 740949 98963095 100801000 SUNGARD -682120

02192019 1795148 37839867 102313000 SUNGARD 000

02192019 1795148 698481789 102313000 SUNGARD 000


05212018 1459815 15952936 99940000 SUNGARD 000



09282016 748553 23839371 100801000 SUNGARD -151136

81941 GOV FNMA NOTE 3135G0MZ3 04172014 875000 1000000000 1001390000 802083 7310000



08282017 1054521 994080000 100139000 SUNGARD 000

04202017 740235 4901372 100130000 SUNGARD 000

11272018 1489435 11567275 101788000 SUNGARD 000


03152016 1000170 423921135 100926000 SUNGARD -16684725


09282016 615791 482179778 100801000 SUNGARD -8112675


10262015 893123 616710000 100100000 SUNGARD -16110000




09282016 1160000 17373698 100801000 SUNGARD 000


05212018 1190082 19697600 99940000 SUNGARD 000


06122018 1013910 499795000 100146000 SUNGARD 000


05222018 750000 1000000000 99996000 SUNGARD -40000


02082018 970000 16424202 100153000 SUNGARD 000


04272017 600233 398143200 100831000 SUNGARD -4902300




Page 15


Contra Costa County

As Of Date 09302015




09272017 781143 201042000 100449000 SUNGARD -144000


05252018 1250000 1000000000 100461000 SUNGARD 000


02272019 1329281 608718000 101612000 SUNGARD 000


01212020 1627650 16997790 101031000 SUNGARD 000


09272017 723255 168928293 100449000 SUNGARD -164640


06122017 642309 169877783 107937000 SUNGARD -99200


10192018 1177919 12978940 100417000 SUNGARD 000


12202017 793128 170715063 100253000 SUNGARD 000

04272017 895628 20094418 100831000 SUNGARD 000




09122019 1889799 16489776 101774000 SUNGARD 000


09272017 1117972 37893058 100449000 SUNGARD 000

09272017 1117972 12953590 100449000 SUNGARD 000

04272017 895628 55830780 100831000 SUNGARD 000


07052016 397750 1243589480 100002000 SUNGARD 000




07052016 397750 563314045 100002000 SUNGARD 000


11272018 1385424 12618750 101788000 SUNGARD 000

11262019 1612998 10065300 101773000 SUNGARD 000

11272018 1380107 606649400 101788000 SUNGARD 000


Subtotal 1202901 10202100000 10275045718 27180730 36404359

943165 10288626784 100715007 -47090796



Page 16


Contra Costa County

As Of Date 09302015




10102017 1156802 999800000 100782000 SUNGARD 000




01162019 1620035 199030000 100641000 SUNGARD 000


12072016 972048 249713430 100541000 SUNGARD 000

12102015 340213 553945500 100001000 SUNGARD 000

11012016 700000 500000000 100425000 SUNGARD 000



11142016 600000 1000000000 100152000 SUNGARD 000

12012016 590074 499900000 100199000 SUNGARD 000

12152016 720000 1000000000 100283000 SUNGARD 000



03282016 790000 399681830 100413000 SUNGARD -2347589

03282016 810254 407765280 100413000 SUNGARD -2096760





05172017 790074 19891400 99878000 SUNGARD 000

11292016 640000 1000000000 100003000 SUNGARD 000

07122016 600206 249886330 100225000 SUNGARD 000





02252018 920628 44439670 100999250 BOOK 000

04012018 1201381 38884861 100999639 BOOK 000

Subtotal 1590533 82500000 83324531 109350 000

1051646 83324531 100999432 000




Page 17


Contra Costa County

As Of Date 09302015




03082017 1120062 16901230 100636000 SUNGARD 000



01192016 2330564 17226700 101365000 SUNGARD -1515125



04012016 240573 24840738 99888167 SUNGARD 000


240573 24840738 99888169 000

Subtotal 240000 24900000 24872154 28884 2532



09142017 860067 499231667 100145000 SUNGARD 000


01222018 1096935 997190000 100326000 SUNGARD 000

03292018 1130145 498000000 100174000 SUNGARD 000

04022018 1000000 1000000000 100462000 SUNGARD 000


03212016 308272 303970816 100084000 SUNGARD 000




03212016 308272 1015902464 100084000 SUNGARD 000

08042020 1730194 17046216 101041000 SUNGARD 000


09142017 810304 499700000 100145000 SUNGARD 000



08052019 1350014 100657333 100507000 SUNGARD -67000

08052019 1350014 301972000 100507000 SUNGARD -201000


795717 12313284266 100286863 -4712349

Subtotal 792207 12311100000 12346416031 25124171 38229690



Page 18


Contra Costa County

As Of Date 09302015





08082018 1200000 248600000 100279000 SUNGARD 000

08082018 1200000 11000000 100279000 SUNGARD 000

03082017 643501 1970224915 100636000 SUNGARD -2287935




07282017 1002272 46497404 100676000 SUNGARD 000

01272017 586812 137279806 99981000 SUNGARD 000


07282017 853802 9532300 100676000 SUNGARD 000

03082017 643501 955642205 100636000 SUNGARD -1109745




03082017 672177 99174725 100636000 SUNGARD -48265


03082017 780254 389546460 100636000 SUNGARD -85140

03072018 1250049 695847428 100085000 SUNGARD 000

03072018 1279731 15453824 100085000 SUNGARD 000


09292017 764157 4526353 100605000 SUNGARD 000

07282017 1001893 80995464 100676000 SUNGARD 000



10142016 773322 6507265 100429000 SUNGARD 000

82009 RM GOV FHLMC 3137EADH9 06132014 1000000 248400000 250094088 634800 1285271

07282017 1002272 3999777 100676000 SUNGARD 000




09292017 1033085 499490000 100605000 SUNGARD 000


06292017 945000 248808817 100682000 SUNGARD 000

09292017 1070130 997770000 100605000 SUNGARD 000

07282017 1001893 7499580 100676000 SUNGARD 000




Page 19


Contra Costa County

As Of Date 09302015





01012017 1618751 18954234 111495494 BOOK 000

01012017 2592295 42131877 108030454 BOOK 000

01012018 1301222 69692506 116154177 BOOK 000


02012016 929226 12040560 100338000 BOOK 000



02012016 929226 55185900 100338000 BOOK 000



01152016 1616968 54750638 108417105 BOOK 000

12012018 1638640 42755012 109628236 BOOK 000

05152016 907000 41500000 100000000 BOOK 000


08012016 6525847 745300 74530000 BOOK 000




08012017 1402000 44000000 100000000 BOOK 000


05152017 966000 17500000 100000000 BOOK 000


05152016 659000 124000000 100000000 BOOK 000


05302017 710296 999170000 99991000 SUNGARD 000


07282017 853802 431963700 100676000 SUNGARD 000


05302019 1480153 10125978 102032000 SUNGARD 000


05302019 1379985 304314000 102032000 SUNGARD 000


862858 8208097931 100538948 -5046210

Subtotal 983462 8189300000 8233436042 9158886 30409599



Page 20


Contra Costa County

As Of Date 09302015





02092016 290853 99407657 99949056 SUNGARD 000


10232015 120070 499706667 99997556 SUNGARD 000

148407 599114324 99989492 000

Subtotal 148207 599700000 599636986 443798 78864


09012016 431873 109523058 99711000 SUNGARD 000


Subtotal 430000 110000000 109682100 35475 123567

431873 109523058 99711000 000


82684 RM GOV FNMA DISC 313588C29 09112015 400000 29500000 29425660 6556 30221

08152016 401514 29388883 99748000 SUNGARD 000

Subtotal 400000 29500000 29425660 6556 30221

401514 29388883 99748000 000


11012016 1090101 12558625 100469000 BOOK 000


11012016 1090101 79370510 100469000 BOOK 000


05152018 2054000 19500000 100000000 BOOK 000



10012017 1090000 11000000 100000000 BOOK 000


05022016 780000 100000000 100000000 BOOK 000

1186443 745685162 103209019 000

Subtotal 2133314 722500000 745685162 4095807 000



Page 21


Contra Costa County

As Of Date 09302015





10132015 330552 1996663333 99994000 SUNGARD 000


11102015 270422 2496100000 99980000 SUNGARD 000


10092015 290426 2496334722 99996000 SUNGARD 000


10232015 380776 2494906944 99989000 SUNGARD 000


11252015 441203 2493186111 99972500 SUNGARD 000



10272015 260367 2496479167 99987000 SUNGARD 000


02222019 1083588 59917969 99863282 BOOK 000


Subtotal 1020000 60000000 59917969 66300 000

1083588 59917969 99863282 000


07172017 710792 62999402 99999051 BOOK 000


10152019 1059409 84482238 99978980 BOOK 000


06152017 704310 41997808 99994781 BOOK 000



04182019 1270662 45499440 99998769 BOOK 000


03162020 1343408 81993481 99992050 BOOK 000

1046859 316972369 99991284 000

Subtotal 1042646 317000000 316972369 142084 000




Page 22


Contra Costa County

As Of Date 09302015





10062015 220123 399974999 99997500 SUNGARD 000

10062015 220123 90049344 99997500 SUNGARD 000

10062015 220124 340008732 99997500 SUNGARD 000




10062015 220124 199987499 99997500 SUNGARD 000

10062015 220123 310025599 99997500 SUNGARD 000


10062015 220124 2100018659 99997500 SUNGARD 000

10062015 220124 569979365 99997500 SUNGARD 000




10062015 220124 429958132 99997500 SUNGARD 000


12112015 290508 1996503889 99956611 SUNGARD 000

12102015 310570 2495414583 99957222 SUNGARD 000

11092015 250314 162295747 99980500 SUNGARD 000


10282015 390830 2993630000 99986500 SUNGARD 000

10062015 220123 359997488 99997500 SUNGARD 000



11242015 441175 2992006667 99973000 SUNGARD 000


10062015 220125 110038099 99997500 SUNGARD 000




10062015 220124 239965010 99997500 SUNGARD 000


02052016 360971 49865500 99887111 SUNGARD 000

12162015 400770 2495194444 99953556 SUNGARD 000

10062015 220124 519507757 99997500 SUNGARD 000




Page 23


Contra Costa County

As Of Date 09302015





10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

11122015 290234 1998388889 99979000 SUNGARD 000




10302015 210102 24987167 99985500 SUNGARD 000

10302015 210102 24987167 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


12102015 350436 2496888889 99957222 SUNGARD 000




12292015 300368 2996325000 99945611 SUNGARD 000

10062015 220125 155012799 99997500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



10062015 220124 559984987 99997500 SUNGARD 000

10062015 220132 44974699 99997500 SUNGARD 000


10302015 210106 199897334 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000

10302015 210111 49974333 99985500 SUNGARD 000


10302015 210111 49974333 99985500 SUNGARD 000




10302015 210111 49974333 99985500 SUNGARD 000



Page 24


Contra Costa County

As Of Date 09302015





10092015 170027 76689134 99996000 SUNGARD -170

10092015 170024 89987250 99996000 SUNGARD -200

06172016 653172 393081509 99610000 SUNGARD 000





03012016 551533 174513403 99864889 SUNGARD 000


03212016 511311 198988449 99847111 SUNGARD 000



03212016 511311 393987154 99847111 SUNGARD 000

12212015 280196 394723500 99950500 SUNGARD 000

06172016 653172 198531040 99610000 SUNGARD 000



12152015 290292 2497482639 99954167 SUNGARD 000

12152015 320359 2497200000 99954167 SUNGARD 000

05162016 683473 198983778 99746667 SUNGARD 000


01282016 471076 2494288194 99914056 SUNGARD 000

10302015 180054 499850000 99985500 SUNGARD 000



12152015 340405 2497025000 99954167 SUNGARD 000


12162015 320313 2497555556 99953556 SUNGARD 000

10302015 180054 299910000 99985500 SUNGARD 000

10302015 180054 263920800 99985500 SUNGARD 000


02172016 541438 49867250 99876444 SUNGARD 000




02172016 541438 49867250 99876444 SUNGARD 000



Page 25


Contra Costa County

As Of Date 09302015





12152015 430000 2500000000 100069620 SUNGARD 000

12162015 420000 2500000000 100068399 SUNGARD 000

05262017 1150000 195000000 100000000 BOOK 000


05202016 730000 200000000 100218822 SUNGARD 000



05262016 730000 100700000 100224474 SUNGARD 000



12152015 390000 2500000000 100061182 SUNGARD 000

12152015 370000 2500000000 100056968 SUNGARD 000

12152015 360000 2500000000 100054858 SUNGARD 000



02022016 400000 50000000 100065730 SUNGARD 000




12222015 400000 50000000 100069078 SUNGARD 000

11132015 390000 1000000000 100035418 SUNGARD 000

11242015 310000 2500000000 100032057 SUNGARD 000


04212017 1070000 200000000 100000000 BOOK 000


10302015 370000 1500000000 100022484 SUNGARD 000




12212015 280196 199360350 99950500 SUNGARD 000


01042016 275204 2997777083 99931389 SUNGARD 000

328594 61192922725 99962242 -370

Subtotal 328043 61284800000 61261659931 56430381 12307195



Page 26


Contra Costa County

As Of Date 09302015





10132015 220000 25000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000

12282015 320000 2500000000 100054363 SUNGARD 000




10132015 220000 70000000 100004331 SUNGARD 000

10132015 220000 330000000 100004331 SUNGARD 000

10132015 220000 10000000 100004331 SUNGARD 000


12232015 280000 2500000000 100041980 SUNGARD 000




01082016 450000 2500000000 100066587 SUNGARD 000

01062016 390000 110000000 100048921 SUNGARD 000




01062016 390000 200000000 100048921 SUNGARD 000



12162015 390000 2500000000 100061994 SUNGARD 000

01062016 390000 430000000 100048921 SUNGARD 000


10132015 220000 12500000 100004331 SUNGARD 000


10132015 220000 20000000 100004331 SUNGARD 000

10132015 220000 140000000 100004331 SUNGARD 000

10132015 220000 110000000 100004331 SUNGARD 000


10132015 220000 800000000 100004331 SUNGARD 000




10132015 220000 30000000 100004331 SUNGARD 000



Page 27


Contra Costa County

As Of Date 09302015




01102017 433450 50000000 99974000 SUNGARD -13000



01082016 1429873 995245000 100000000 SUNGARD 000

1382208 1045245000 99998762 -13000

Subtotal 481820 1050000000 1049987000 1193357 4755000



01042016 320000 3000000000 100029316 SUNGARD 000

02262016 400000 3000000000 100078571 SUNGARD 000

01272016 300000 3000000000 100029729 SUNGARD 000


10132015 180000 130000000 100002888 SUNGARD 000




10132015 180000 370000000 100002888 SUNGARD 000


01252016 390000 2500000000 100058419 SUNGARD 000

10132015 180000 210000000 100002888 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000


01082016 250000 2500000000 100011103 SUNGARD 000




01152016 320000 2500000000 100032671 SUNGARD 000

10132015 180000 120000000 100002888 SUNGARD 000

10132015 180000 770000000 100002888 SUNGARD 000


Subtotal 355029 48913200000 48935989488 36451768 22789488

355029 48913200000 100046592 000



Page 28


Contra Costa County

As Of Date 09302015




08152016 967967 98447795 100315000 SUNGARD 000




08152016 1018105 35432550 100315000 SUNGARD 000


05032018 1076001 17435425 99533000 SUNGARD -17150

01152017 945019 179712000 100183000 SUNGARD 000

01082016 1028965 499635000 100166000 SUNGARD 000



10052017 1545080 494450000 100124000 SUNGARD 000

12062018 1750063 636846084 101325000 SUNGARD 000

12152017 1510075 517962978 99821000 SUNGARD 000



02152017 1165961 13474890 100496000 SUNGARD 000




10252015 937036 509910000 100064000 SUNGARD -9590000

02152017 1203989 23914080 100496000 SUNGARD 000

01082016 1000000 500000000 100166000 SUNGARD 000


02092018 1579059 24465945 100812000 SUNGARD 000


12052017 1104000 10500000 99599000 SUNGARD -42105



09292016 900000 202500000 99373111 SUNGARD -1269450


900000 202500000 99373111 -1269450

Subtotal 900000 202500000 201230550 10125 000




Page 29


Contra Costa County

As Of Date 09302015





01152016 489343 160248340 100419000 SUNGARD -1586320

09192016 840060 157402875 101738000 SUNGARD -2252425

07202016 787164 160089150 100430000 SUNGARD -405450




01082016 475357 159796590 100166000 SUNGARD -532650

09152016 616979 159141840 101129000 SUNGARD -1380600

07222016 490189 159903875 101149000 SUNGARD -1605690


01302017 828281 159360655 100156000 SUNGARD -613395




01082016 475357 199996990 100166000 SUNGARD -666650

05222017 1200940 99106800 101057000 SUNGARD -576225




05052017 1067075 149920500 100385000 SUNGARD 000



01162018 1720116 495990000 99905000 SUNGARD 000

04212017 1005095 36994450 100393000 SUNGARD 000


09082017 1433868 80919810 100069000 SUNGARD 000


12052017 1250044 995751000 99599000 SUNGARD 000

01122018 1496870 21969860 100117000 SUNGARD 000

05182016 435141 159553320 100153000 SUNGARD -310050


11152017 1345000 35000000 100347000 SUNGARD 000




11212017 1151867 112910730 100643000 SUNGARD 000



Page 30


Contra Costa County

As Of Date 09302015





03022018 1372881 999770000 100091000 SUNGARD 000

03132018 1545883 12982580 99826000 SUNGARD -5200

08072019 1743001 11760300 115655000 SUNGARD -194800




03062018 1305000 156500000 100236000 SUNGARD 000

03062018 1305000 12500000 100236000 SUNGARD 000


05222018 1603145 159985600 99801000 SUNGARD -304000

05032018 1257267 992760000 99533000 SUNGARD 000

82554 CORP APPLE INC 037833AJ9 05122015 1000000 1000000000 995330000 4111111 2820000



05122017 934955 56461015 100192000 SUNGARD 000


07222016 490189 200263000 101149000 SUNGARD -2010960

09152016 616979 198927300 101129000 SUNGARD -1725750

05182016 435141 199692520 100153000 SUNGARD -388050


01152016 489343 200310425 100419000 SUNGARD -1982900

03022018 1365000 106500000 100091000 SUNGARD 000



07202016 787164 199859725 100430000 SUNGARD -506175


02062018 1228864 15951200 99758000 SUNGARD 000


82386 CORP IBM CORP 459200HZ7 02112015 1125000 500000000 498790000 859375 980000


02062018 1274939 497810000 99758000 SUNGARD 000


09192016 840060 196624575 101738000 SUNGARD -2813685

01302017 828281 199075140 100156000 SUNGARD -766260

02062018 1228864 187426600 99758000 SUNGARD 000




Page 31


Contra Costa County

As Of Date 09302015





05152019 1748923 199938947 101432000 SUNGARD 000


07192018 1927831 155839382 102595000 SUNGARD -69460


03012018 1769114 499500556 99773000 SUNGARD -305000


01152017 739645 155606050 100183000 SUNGARD -35650

07192018 1927831 199185436 102595000 SUNGARD -88780

02152019 1739996 199404755 110346000 SUNGARD -247710


02012019 1927457 198743020 101021000 SUNGARD -31360


06012019 1599996 154856333 109268000 SUNGARD 000


04252019 1710407 200128717 101608000 SUNGARD -157950




06152018 1655855 172470675 100729000 SUNGARD 000


06152018 1655855 12997790 100729000 SUNGARD 000


05222018 1603145 12498875 99801000 SUNGARD -23750


05152018 1658000 499908681 99381000 SUNGARD -2620000


07172017 1139621 9996800 100401000 SUNGARD 000


08072018 1435833 133761480 100529000 SUNGARD 000


07132018 1567156 499814583 100455000 SUNGARD 000


09082017 1252137 110346500 100069000 SUNGARD -270600


07132018 1579121 40965150 100455000 SUNGARD 000

Subtotal 1504454 15050700000 15124214321 53058340 41320219



Page 32


Contra Costa County

As Of Date 09302015





05242017 600000 333577 100000000 BOOK 000

600000 333577 100000000 000

Subtotal 600000 333577 333577 2752 000


10012015 000000 53722612 100000000 BOOK 000



10012015 000000 2809220 100000000 BOOK 000

Subtotal 000000 56531832 56531832 000 000

000000 56531832 100000000 000


06102016 510490 244852020 99725917 SUNGARD -523524


510490 244852020 99725917 -523524

Subtotal 462200 245000000 244328496 77076 000



09112017 1430018 199678000 99839000 BOOK 000


04062017 1010000 215000000 100000000 BOOK 000

1212249 414678000 99922410 000

Subtotal 1185757 415000000 414678000 1184241 000


1256393 15127367242 100488445 -34126750


585858 184721498440 100198232 -130630560



Page 33

Page 34

SECTION III

APPENDIX



































TOTAL 19550500378 19562126005

Page 35

SECTION III

APPENDIX





Page 36













Page 37

Asset Class










Other 48977

--- 10000



Risk Metric Value

Cash 10787

MMFund 163929061


Duration 047

Convexity -0018

WAL 0686



Yield 0575

Book Yield 0521


Balance Sheet





1

Page 38


Rating 0 - 1 1 - 2 2 - 3 3 - 4 4 - 5 5 - 7 7 - 10 10 - 15 15 - 30

AAA 57859 600 000 000 000 000 000 000 000

AA 18868 0565 000 000 000 000 000 000 000

A 14937 177 000 000 000 000 000 000 000

BBB 000 000 000 000 000 000 000 000 000

BB 000 000 000 000 000 000 000 000 000

B 000 000 000 000 000 000 000 000 000

CCC 000 000 000 000 000 000 000 000 000

CC 000 000 000 000 000 000 000 000 000

C 000 000 000 000 000 000 000 000 000

NA 000 000 000 000 000 000 000 000 000

Time To Maturity

Credit Rating

Duration


2

Page 39




3

Page 40



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0108 0106 0001

Year to Date 01012015 09302015 0406 0218 0188

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0125 0064 0061

Prior Year 01012014 12312014 0319 012 0199

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0487 0231 0256





4

Page 41








5

Page 42



No Tax Adjustment




Month to Date 09012015 09302015 0064 0106 -0042

Quarter to Date 07012015 09302015 0094 0106 -0013

Year to Date 01012015 09302015 032 0218 0102

Prior Month 08012015 08312015 0011 0007 0004

Prior Quarter 04012015 06302015 0082 0064 0018

Prior Year 01012014 12312014 0203 012 0083

Trailing Month 09012015 09302015 0064 0106 -0042


Trailing Year 10012014 09302015 0372 0231 0142





6

Page 43








7

Page 44


As of 06302015 09302015





Begin DateEnd Date

0701201509302015




Net Income 5064302



Begin DateEnd Date

0701201509302015





8

Page 45





BaseExpense












097023BC8 75000000 BOEING CO 375 11202016 11202016 000 000 -542232 703125 000 160893 01262015

CCYUSD 087 Cash 000 09302015 09302015 -1522403 000 000 000 -626822 -626822 ---



161571GJ7 77500000 CHAIT 2014-A1 A1 115 01152019 01152017 000 000 -15165 133688 000 118523 08072015


3136G1NQ8 000 FANNIE MAE 100 06192017 06192017 000 000 000 216667 000 216667 06112015

3136FPET0 100000000 FANNIE MAE 200 03102016 03102016 000 000 -419520 500000 000 80480 03262015














31679KAB6 23963868 FITAT 2014-2 A2A 045 04172017 12182015 000 -001 1129 36587 000 37716 06112014

3134G4TH1 000 FREDDIE MAC 030 07082015 07082015 000 000 -142 5833 000 5691 01132014

36164EAB1 40000000 GEET 2015-1 A2 089 11242017 08192016 000 000 562 89001 000 89563 03042015


43814GAB6 4552100 HAROT 2014-2 A2 039 09192016 10192015 000 000 022 542 000 564 05212014

43814GAB6 000 HAROT 2014-2 A2 039 09192016 10192015 000 000 195 6747 000 6943 05212014

43814KAB7 33500000 HAROT 2015-1 A2 070 06152017 02232016 000 000 245 58626 000 58871 01282015



41284AAB4 10809821 HDMOT 2014-1 A2A 049 04152018 01092016 000 001 254 16152 000 16407 04162014

41284BAB2 39974707 HDMOT 2015-1 A2A 080 01152019 03102016 000 -000 110 90035 000 90145 01282015

437076BJ0 75000000 HOME DEPOT INC 0707 09152017 09152017 000 000 000 23573 000 23573 09152015





47787VAB7 13340757 JDOT 2014-A A2 045 09152016 10232015 000 000 013 2501 000 2515 04092014

47787VAB7 000 JDOT 2014-A A2 045 09152016 10232015 000 000 207 20737 000 20944 04092014

47787WAB5 40000000 JDOT 2015-B A2 098 06152018 10282016 000 000 048 23956 000 24004 09092015


9

Page 46





BaseExpense





58768EAC3 1563282 MBALT 2014-A A2A 048 06152016 10152015 000 000 096 15691 000 15787 04092014


65477WAB2 60250859 NAROT 2014-B A2 060 06152017 01292016 000 -000 1039 104725 000 105764 12102014






70659PAE1 75000000 PENAR 2013-1A A1 0603 11182017 11182015 000 000 000 112085 000 112085 11212013

69349LAH1 75000000 PNC BANK NA 080 01282016 12282015 000 000 -67860 150000 000 82140 04302015










89236WAB4 60000000 TAOT 2015-A A2 071 07172017 02172016 000 000 106 106500 000 106606 03042015







912828B82 100000000 US TREASURY NB 025 02292016 02292016 000 000 47512 62731 000 110244 03202014

912828QX1 000 US TREASURY NB 150 07312016 07312016 000 000 -90103 128385 000 38283 11062014

912828QX1 100000000 US TREASURY NB 150 07312016 07312016 000 000 -177299 248641 000 71342 11062014

912828VL1 000 US TREASURY NB 0625 07152016 07152016 000 000 -11004 25870 000 14865 06012015

912828VL1 100000000 US TREASURY NB 0625 07152016 07152016 000 000 -56488 130774 000 74286 06012015

912828RF9 100000000 US TREASURY NB 100 08312016 08312016 000 000 -46350 82418 000 36067 10312014

912828RF9 000 US TREASURY NB 100 08312016 08312016 000 000 -95791 168508 000 72718 10312014

912828WQ9 100000000 US TREASURY NB 050 06302016 06302016 000 000 -10338 125000 000 114662 07012014

912828WQ9 000 US TREASURY NB 050 06302016 06302016 000 000 000 000 000 000 07012014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -422216 502702 000 80486 07312014

912828PS3 100000000 US TREASURY NB 200 01312016 01312016 000 000 -418363 502702 000 84339 12312014

90290KAB1 000 USAOT 2014-1 A2 038 10172016 08152015 000 000 033 2694 000 2728 02282014

90290XAB3 48000000 USAOT 2015-1 A2 082 03152018 06152016 000 000 355 69925 000 70280 07292015

92867GAC7 000 VALET 2012-1 A3 085 08222016 08202015 000 000 -530 1301 000 771 10082013



--- 4418795242 --- --- 08242016 05272016 -1522403 000 -5643946 11335070 -626822 5064302 ---


10

Page 47



11

Page 48

CE

ST


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



000000

163929061163929061

000 100 000 163929061 163929061


0320176

3497480034985378

7529 9998 000 34992907 34992907


000000

1070010700

000 100 000 10700 10700


000000

087087

000 100 000 087 087

--- --- 198939848 --- AAA --- 1008201510082015

00560031

198914648198925226

7529 --- 000 198932755 198932755


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0440145

9963281399922018

124882 100046 21291 100046900 100068191


03450288

4999231949996159

20291 100032 92583 50016450 50109033


04570676

2054448520506239

-5665 100002 53813 20500574 20554386


04070676

5009100050018360

-16960 100002 131250 50001400 50132650


03260316

101596000100734160

22040 100756 116667 100756200 100872867


02540173

9974722299911805

27895 9994 000 99939700 99939700


06780491

7538400075045419

31906 100103 156586 75077325 75233911


04340493

2520400025027380

-8580 100075 76389 25018800 25095189


0510252

1623903816269182

16686 99913 000 16285868 16285868


04510252

7682552476970779

62375 99913 000 77033154 77033154


0450824

100000000100000000

-300000 9970 118750 99700000 99818750


03515319

7960500075000000

000 10000 2021250 75000000 77021250


0380158

9986800099972520

72780 100045 56389 100045300 100101689


04390516

7517850075064909

-13984 100067 105000 75050925 75155925


0611258

2911417528777256

961 100976 54625 28778217 28832842


05381258

3070590030301438

-8578 100976 57500 30292860 30350360


03820096

9978800099987783

26817 100015 102083 100014600 100116683


06620749

7663200075712709

-60884 100869 106667 75651825 75758492


06440534

7687500076018727

-57677 101281 301875 75961050 76262925


12

Page 49


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



02630231

9998700099995919

11581 100007 47222 100007500 100054722


0440404

9998000099981639

43061 100024 35000 100024700 100059700


04820796

15632411563281

-208 99986 333 1563073 1563406


0680185

3000000030000000

49200 100164 32867 30049200 30082067


0680185

4900000049000000

80360 100164 53682 49080360 49134042


1000793

7500000075000000

89250 100119 312500 75089250 75401750


04340339

101839844100883590

69510 100953 252717 100953100 101205817


07310525

7500000075000000

128250 100171 91375 75128250 75219625


04860231

4000000040000000

25200 100063 48600 40025200 40073800


0500431

103068800101117132

63568 101181 655208 101180700 101835908


03630386

5000000050000000

-3500 99993 1513 49996500 49998013


03991136

45517444552052

-1723 99961 641 4550329 4550970


06340413

2500000025000000

34250 100137 59878 25034250 25094128


05573152

5000000050000000

-768600 98463 28980 49231400 49260380


03560322

100300781100211280

25720 100237 132473 100237000 100369473


0300176

3493670834986292

6615 9998 000 34992907 34992907


0416000

5004150050041386

-3286 100076 2083 50038100 50040183


03150138

102519531100559896

72904 100633 336957 100632800 100969757


03350138

101800781100554786

78014 100633 336957 100632800 100969757


0643067

7938557578404246

-20126 10114 264792 78384120 78648912


13010992

1244687512466000

34875 100007 10417 12500875 12511292


04410206

9982000099960138

42262 100002 20417 100002400 100022817


0520206

1993360019985090

15390 100002 4083 20000480 20004563


04320372

101035156100517578

41022 100558 85165 100558600 100643765


04590271

100082031100030677

141223 100171 126358 100171900 100298259


04540804

1334023613340717

-2948 99977 2668 13337769 13340437


0860765

7627500075376462

25463 100535 411667 75401925 75813592

--- --- 2955856139 --- AA+ --- 0403201603252016

04770563

29799313792963765007

211629 --- 6927270 2963976636 2970903906


13

Page 50

LT

Summary


BookYieldYield



Loss

MarketPrice

Base AccruedBalance



0640459

3000000030000000

53700 100179 96000 30053700 30149700


05020576

4512060045102743

-84203 100041 49840 45018540 45068380


06050576

3000000030000000

12360 100041 33226 30012360 30045586


05670213

100100000100003662

13538 100017 310806 100017200 100328006


0712069

5999943059999657

1543 100002 18933 60001200 60020133


0602081

7500000075000000

-326325 99564 19775 74673675 74693450


07930927

5000000050000000

-99000 99802 51953 49901000 49952953


05950768

7500000075000000

-304875 99594 97667 74695125 74792792


07070726

3349825133498972

-2959 99988 10422 33496014 33506436


12581164

2500000025000000

40500 100162 52417 25040500 25092917


05950699

7500000075000000

-9900 99987 16326 74990100 75006426


08020807

3997438339974499

-5229 99986 14213 39969270 39983483


08560858

7764531377630148

102197 10030 39611 77732345 77771956


04630617

2396123523963281

-7944 99964 4793 23955337 23960130


07930938

2500000025000000

-63825 99744 12490 24936175 24948665


04840457

100213000100160805

-13205 100147 222222 100147600 100369822


09920938

3999865239998700

14939 100034 23956 40013640 40037596


08490764

7891350077451831

105294 103409 1023438 77557125 78580563


08280693

4799821447998569

99063 100203 17493 48097632 48115125


0788077

5000000050000000

550 100001 7549 50000550 50008099


04970718

1080908910809602

-6602 99936 2354 10803000 10805354


06080785

6024762460249350

-35545 99939 16067 60213804 60229871


07070623

7500000075000000

116625 100156 23573 75116625 75140198


09030755

3999570039997074

44005 100102 7911 40041080 40048991

--- --- 1263999255 --- AA --- 0910201711282016

06970689

12684749911266838894

-355297 --- 2173035 1266483597 1268656633


14

Page 51



BookYieldYield



Loss

MarketPrice

Base AccruedBalance


--- --- 4418795242 --- AA+ --- 0824201605272016

05210575

44473210184429529127

-136139 --- 9100306 4429392988 4438493293


15

Page 52

Does not Lock Down

Principal Paydown

Buy



CouponRate

FinalMaturity





BaseCommission

Base Amount

0915201509152015


045 04172017 Direct 000-5648497

--- 000-5648497

000 -000 000 5648497

0815201508152015


045 04172017 Direct 000-6011247

--- 000-6011247

000 -000 000 6011247

0715201507152015


045 04172017 Direct 000-6263285

--- 000-6263285

000 -000 000 6263285

0815201508152015


049 04152018 Direct 000-1726557

--- 000-1726557

000 000 000 1726557

0715201507152015


049 04152018 Direct 000-1703805

--- 000-1703805

000 000 000 1703805

0915201509152015


049 04152018 Direct 000-1540700

--- 000-1540700

000 000 000 1540700

0815201508152015


080 01152019 Direct 000-3595039

--- 000-3595039

000 000 000 3595039

0715201507152015


080 01152019 Direct 000-3002000

--- 000-3002000

000 -000 000 3002000

0915201509152015


080 01152019 Direct 000-3428254

--- 000-3428254

000 -000 000 3428254

0918201509182015


039 09192016 Direct 000-1811448

--- 000-1811448

000 -000 000 1811448

0818201508182015


039 09192016 Direct 000-1906504

--- 000-1906504

000 000 000 1906504

0718201507182015


039 09192016 Direct 000-2005503

--- 000-2005503

000 000 000 2005503

0715201507152015


045 09152016 Direct 000-4752217

--- 000-4752217

000 000 000 4752217

0815201508152015


045 09152016 Direct 000-5933214

--- 000-5933214

000 000 000 5933214

0915201509152015


045 09152016 Direct 000-4469878

--- 000-4469878

000 -000 000 4469878

0915201509152015


048 06152016 Direct 000-7784949

--- 000-7784949

000 -000 000 7784949

0815201508152015


048 06152016 Direct 000-7842966

--- 000-7842967

000 000 000 7842967

0715201507152015


048 06152016 Direct 000-8213508

--- 000-8213508

000 000 000 8213508

0815201508152015


060 06152017 Direct 000-7684473

--- 000-7684473

000 -000 000 7684473

0915201509152015


060 06152017 Direct 000-7064668

--- 000-7064668

000 000 000 7064668

0715201507152015


038 10172016 Direct 000-6260991

--- 000-6260991

000 -000 000 6260991

0815201508152015


038 10172016 Direct 000-3808377

--- 000-3808377

000 000 000 3808377

0720201507202015


085 08222016 Direct 000-2084026

--- 000-2084026

000 -000 000 2084026

0820201508202015


085 08222016 Direct 000-315887

--- 000-315887

000 000 000 315887

------


--- --- Direct 000-104857994

--- 000-104857994

000 000 000 104857994


16

Page 53



CouponRate

FinalMaturity





BaseCommission

Base Amount

0921201509242015


0776 09202017 Deutsche Bank 5000000050000000

10000 00050000000

000 000 000 -50000000

0804201508072015



100188 00077645313

54465 000 000 -77699778

0930201509302015


050 09282016 APX Asset 5000000050000000

100083 00050041500

1389 000 000 -50042889

0827201509012015



100000000100000000

9998 00099980000

000 000 000 -99980000

0908201509152015


0707 09152017 Bank of America 7500000075000000

10000 00075000000

000 000 000 -75000000

0901201509092015


098 06152018 Dain Rauscher 4000000040000000

99997 00039998652

000 000 000 -39998652

0827201508282015



99928 00034974800

000 000 000 -34974800

0827201508282015



10000 00050000000

000 000 000 -50000000

0721201507292015


082 03152018 Dain Rauscher 4800000048000000

99996 00047998214

000 000 000 -47998214

0701201507012015


005 09302015 Direct 103898103898

100 103898103898

000 000 000 -103898

0708201507082015


005 09302015 Direct 100315648100315648

100 100315648100315648

000 000 000 -100315648

0715201507152015


005 09302015 Direct 47810824781082

100 47810824781082

000 000 000 -4781082

0715201507152015


005 09302015 Direct 2211138522111385

100 2211138522111385

000 000 000 -22111385

0715201507152015


005 09302015 Direct 47629034762903

100 47629034762903

000 000 000 -4762903

0713201507132015


005 09302015 Direct 109181109181

100 109181109181

000 000 000 -109181

0720201507202015


005 09302015 Direct 40945704094570

100 40945704094570

000 000 000 -4094570

0720201507202015


005 09302015 Direct 3833338333

100 3833338333

000 000 000 -38333

0724201507242015


005 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0723201507232015


005 09302015 Direct 125000125000

100 125000125000

000 000 000 -125000

0721201507212015


005 09302015 Direct 145000145000

100 145000145000

000 000 000 -145000

0728201507282015


005 09302015 Direct 11625001162500

100 11625001162500

000 000 000 -1162500

0727201507272015


005 09302015 Direct 109389109389

100 109389109389

000 000 000 -109389

0731201507312015


005 09302015 Direct 27500002750000

100 27500002750000

000 000 000 -2750000

0803201508032015


006 09302015 Direct 125606125606

100 125606125606

000 000 000 -125606

0803201508032015


006 09302015 Direct 7658631276586312

100 7658631276586312

000 000 000 -76586312

0817201508172015


006 09302015 Direct 5513255132

100 5513255132

000 000 000 -55132

0817201508172015


006 09302015 Direct 2900316329003163

100 2900316329003163

000 000 000 -29003163

0814201508142015


006 09302015 Direct 9519495194

100 9519495194

000 000 000 -95194

0820201508202015


006 09302015 Direct 390154390154

100 390154390154

000 000 000 -390154


17

Page 54

Sell



CouponRate

FinalMaturity





BaseCommission

Base Amount

0820201508202015


006 09302015 Direct 224224

100 224224

000 000 000 -224

0820201508202015


006 09302015 Direct 12061206

100 12061206

000 000 000 -1206

0819201508192015


006 09302015 Direct 6750000067500000

100 6750000067500000

000 000 000 -67500000

0819201508192015


006 09302015 Direct 9427194271

100 9427194271

000 000 000 -94271

0818201508182015


006 09302015 Direct 77219737721973

100 77219737721973

000 000 000 -7721973

0818201508182015


006 09302015 Direct 3492134921

100 3492134921

000 000 000 -34921

0818201508182015


006 09302015 Direct 19091921909192

100 19091921909192

000 000 000 -1909192

0825201508252015


006 09302015 Direct 2966729667

100 2966729667

000 000 000 -29667

0824201508242015


006 09302015 Direct 6300063000

100 6300063000

000 000 000 -63000

0831201508312015


006 09302015 Direct 625000625000

100 625000625000

000 000 000 -625000

0910201509102015


008 09302015 Direct 12100001210000

100 12100001210000

000 000 000 -1210000

0908201509082015


008 09302015 Direct 866615866615

100 866615866615

000 000 000 -866615

0911201509112015


008 09302015 Direct 421162421162

100 421162421162

000 000 000 -421162

0911201509112015


008 09302015 Direct 2243022430

100 2243022430

000 000 000 -22430

0918201509182015


008 09302015 Direct 18135161813516

100 18135161813516

000 000 000 -1813516

0918201509182015


008 09302015 Direct 3807838078

100 3807838078

000 000 000 -38078

0916201509162015


008 09302015 Direct 6830068300

100 6830068300

000 000 000 -68300

0915201509152015


008 09302015 Direct 1124587911245879

100 1124587911245879

000 000 000 -11245879

0915201509152015


008 09302015 Direct 44765574476557

100 44765574476557

000 000 000 -4476557

0915201509152015


008 09302015 Direct 1673996916739969

100 1673996916739969

000 000 000 -16739969

0921201509212015


008 09302015 Direct 9958549499585494

100 9958549499585494

000 000 000 -99585494

0921201509212015


008 09302015 Direct 250000250000

100 250000250000

000 000 000 -250000

0928201509282015


008 09302015 Direct 1584415844

100 1584415844

000 000 000 -15844

------

Buy ------

--- --- --- 987127415987127415

--- 461627415987265894

55854 000 000 -987321748



CouponRate

FinalMaturity





BaseCommission

Base Amount

0919201509192015


100 06192017 Not Provided -100000000-100000000

10000 000-100000000

-250000 000 000 100250000

0720201507202015


005 09302015 Direct -633478-633478

100 -633478-633478

000 000 000 633478

0729201507292015


005 09302015 Direct -47998214-47998214

100 -47998214-47998214

000 000 000 47998214


18

Page 55

Maturity

Summary






CouponRate

FinalMaturity





BaseCommission

Base Amount

0807201508072015


006 09302015 Direct -77699778-77699778

100 -77699778-77699778

000 000 000 77699778

0810201508102015


006 09302015 Direct -1522403-1522403

100 -1522403-1522403

000 000 000 1522403

0828201508282015


006 09302015 Direct -84974800-84974800

100 -84974800-84974800

000 000 000 84974800

0901201509012015


008 09302015 Direct -89883832-89883832

100 -89883832-89883832

000 000 000 89883832

0909201509092015


008 09302015 Direct -39998652-39998652

100 -39998652-39998652

000 000 000 39998652

0924201509242015


008 09302015 Direct -49970333-49970333

100 -49970333-49970333

000 000 000 49970333

0930201509302015


008 09302015 Direct -50042889-50042889

100 -50042889-50042889

000 000 000 50042889

------

Sell ------

--- --- --- -542724379-542724379

--- -442724379-542724379

-250000 000 000 542974379



CouponRate

FinalMaturity





BaseCommission

Base Amount

0901201509012015


0553 09012015 Maturity -10000000-10000000

10000 000-10000000

000 000 000 10000000

0915201509152015


275 09152015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0708201507082015


030 07082015 Maturity -100000000-100000000

10000 000-100000000

000 000 000 100000000

0801201508012015


0297 08012015 Maturity -75000000-75000000

10000 000-75000000

000 000 000 75000000

0819201508192015


0546 08192015 Maturity -37500000-37500000

10000 000-37500000

000 000 000 37500000

0819201508192015


0546 08192015 Maturity -30000000-30000000

10000 000-30000000

000 000 000 30000000

------

Maturity ------

--- --- Maturity -327500000-327500000

10000 000-327500000

000 000 000 327500000



CouponRate

FinalMaturity





BaseCommission

Base Amount

------

--- ------

--- --- --- 11690303612045042

--- 1890303612183521

-194146 000 000 -11989375


19

Page 56

Does not Lock Down

Receivable

Settled


















08042015 08072015 Buy 77500000 161571GJ7 CHAIT 2014-A1 A1 115 01152019 100188 -77699778



















07232015 07232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

09232015 09232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667

08232015 08232015 Coupon 000 36164EAB1 GEET 2015-1 A2 089 11242017 --- 29667









20

Page 57



























09012015 09092015 Buy 40000000 47787WAB5 JDOT 2015-B A2 098 06152018 99997 -39998652



























21

Page 58













07212015 07292015 Buy 48000000 90290XAB3 USAOT 2015-1 A2 082 03152018 99996 -47998214









































22

Page 59

Summary






































--- --- --- 12045042 --- --- --- --- --- -6699



--- --- --- 12045042 --- --- --- --- --- 3915


23

Page 60

Does not Lock Down

Receivable

Settled
















































24

Page 61

Summary





















25

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Redemptions






GainLoss




41898878000

000000

-17923029 000 1129 -3585 -001 -13263 000 23960130


50058628000

000000

-10025293 000 110 -3565 -000 -46397 000 39983483


74988125000

000000

-14749141 000 1039 -3933 -000 -6219 000 60229871


145026025461627415

-442724379000

000 000 000 000 000 000 000 163929061


100138260000

000000

000 000 47512 -62269 000 -55312 000 100068191

3136G1NQ8FANNIE MAE

100162633000

-100000000000

000 000 000 -33333 000 -129300 000 000


50056533000

000000

000 000 1931 41250 000 9319 000 50109033


75376481000

000000

000 000 -42208 3680 000 -104042 000 75233911


25057089000

000000

000 000 -35478 62500 000 11078 000 25095189


30022800000

000000

000 000 000 48000 000 78900 000 30149700


76885875000

000000

000 000 -947785 1010625 000 72535 000 77021250


44989417000

000000

000 000 -11570 2237 000 88295 000 45068380


29992945000

000000

000 000 000 1491 000 51150 000 30045586


29215583000

000000

000 000 -161440 -204844 000 -16457 000 28832842


30753245000

000000

000 000 -175521 -215625 000 -11739 000 30350360


50063217000

000000

000 000 000 2287 000 -112550 000 49952953


100067783000

000000

000 000 33058 62500 000 -46658 000 100116683


75187934000

000000

000 000 000 2883 000 -398025 000 74792792


76827617000

000000

000 000 -475139 -600000 000 6014 000 75758492

43814KAB7HAROT 2015-1 A2

33501377000

000000

000 000 245 000 000 4813 000 33506436


00099980000

000000

000 000 1639 35000 000 43061 000 100059700


75113794000

000-75000000

000 000 000 -107044 000 -6750 000 000


75047598000

000000

000 000 000 753 000 -41925 000 75006426

161571GJ7CHAIT 2014-A1 A1

00077645313

000000

000 000 -15165 39611 000 102197 000 77771956


75100250000

000000

000 000 000 187500 000 114000 000 75401750


101844491000

000000

000 000 -267402 -372973 000 1702 000 101205817


75367200000

000000

000 000 000 -237575 000 90000 000 75219625


00050000000

000000

000 000 000 1513 000 -3500 000 49998013


100126572000

000000

000 000 -35308 156250 000 122308 000 100369822


26

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Redemptions






GainLoss



097023BC8BOEING CO

78296763000

000000

000 000 -542232 703125 000 122907 000 78580563

90290XAB3USAOT 2015-1 A2

00047998214

000000

000 000 355 17493 000 99063 000 48115125


30023663000

000-30000000

000 000 -7090 -19583 000 3010 000 000


37529579000

000-37500000

000 000 000 -24479 000 -5100 000 000


49985300000

000000

000 000 000 3880 000 -728800 000 49260380


100561729000

000000

000 000 -67492 -155855 000 31092 000 100369473


00034974800

000000

000 000 10578 000 000 7529 000 34992907


34966244000

000000

000 000 26833 000 000 -172 000 34992907

CCYUSDReceivable

6698000

000000

000 000 000 000 000 000 4002 10700

CCYUSDCash

088000

000000

000 000 000 000 000 000 -001 087

CCYUSDPayable

000000

000000

000 000 000 000 000 000 000 000


00050041500

000000

000 000 -114 2083 000 -3286 000 50040183


12498486000

000000

000 000 9310 -22569 000 26065 000 12511292

36164EAB1GEET 2015-1 A2

40033871000

000000

000 000 562 000 000 14558 000 40048991


101053039000

000000

000 000 -142141 -249074 000 -18059 000 100643765


100165459000

000000

000 000 -10338 125000 000 18138 000 100298259


76494217000

000000

000 000 -326741 -487500 000 133616 000 75813592


20535773000

000000

000 000 -12478 35875 000 -4784 000 20554386


50087250000

000000

000 000 -36719 87500 000 -5381 000 50132650

3136FPET0FANNIE MAE

101794467000

000000

000 000 -419520 -500000 000 -2080 000 100872867


99908700000

000000

000 000 63889 000 000 -32889 000 99939700


76867003000

000000

000 000 86776 000 000 79375 000 77033154


16250741000

000000

000 000 20696 000 000 14431 000 16285868


100006250000

000000

000 000 000 112500 000 -300000 000 99818750


100151989000

000000

000 000 22572 -72500 000 -372 000 100101689


75360600000

000000

000 000 -67860 -150000 000 13185 000 75155925


100156006000

000000

000 000 -25915 167500 000 30415 000 100328006

89236WAB4TAOT 2015-A A2

59989773000

000000

000 000 106 000 000 30254 000 60020133


75148560000

000000

000 000 000 2390 000 -457500 000 74693450


27

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Redemptions






GainLoss




77069775000

000000

000 000 -311372 -431250 000 -64228 000 76262925


10018733000

000-10000000

000 000 000 -18433 000 -300 000 000


100125422000

000000

000 000 3322 -62500 000 -11522 000 100054722


25084493000

000000

000 000 000 -30576 000 39000 000 25092917


30139300000

000000

000 000 000 -62333 000 5100 000 30082067


49227523000

000000

000 000 000 -101811 000 8330 000 49134042


100148867000

000-100000000

000 000 -142 -144167 000 -4558 000 000


25022566000

000000

000 000 000 -676 000 -73225 000 24948665


40100000000

000000

000 000 000 -48600 000 22400 000 40073800


101747358000

000000

000 000 -406230 531250 000 -36470 000 101835908


25035503000

000000

000 000 000 39625 000 19000 000 25094128

47787WAB5JDOT 2015-B A2

00039998652

000000

000 000 048 23956 000 14939 000 40037596


00050000000

000000

000 000 000 7549 000 550 000 50008099


75897542000

000-75000000

000 000 -350511 -607292 000 60261 000 000


00075000000

000000

000 000 000 23573 000 116625 000 75140198


101896754000

000000

000 000 -422216 -497298 000 -7484 000 100969757


101896754000

000000

000 000 -418363 -497298 000 -11337 000 100969757


100071817000

000000

000 000 22779 -87500 000 15721 000 100022817


20014363000

000000

000 000 8520 -17500 000 -820 000 20004563


79187459000

000000

000 000 -272756 -397188 000 131396 000 78648912


25410507000

000000

-23841424 000 096 -5086 000 -687 000 1563406

47787VAB7JDOT 2014-A A2

28501338000

000000

-15155309 000 221 -3031 000 -2782 000 13340437

90290KAB1USAOT 2014-1 A2

10070313000

000000

-10069368 000 033 -1701 000 722 000 000

92867GAC7VALET 2012-1 A3

2401150000

000000

-2399913 000 -530 -623 000 -084 000 000

43814GAB6HAROT 2014-2 A2

10272974000

000000

-5723455 000 218 -806 000 2040 000 4550970


15784776000

000000

-4971062 000 254 -1083 001 -7533 000 10805354

------

4435867885987265894

-542724379-327500000

-104857994 000 -5643946 -3001677 000 -916491 4001 4438493293


28

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29

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50 Basis PointShock










097023BC8 BOEING CO CORP 77557125 0849 0764 1111 78215474 78215474 77987972 77126313 76695535 75834085


161571GJ7 CHAIT 2014-A1 A1 ABS 77732345 0856 0858 1289 78592101 78592101 78233352 77231382 76730464 75728763














31679KAB6 FITAT 2014-2 A2A ABS 23955337 0463 0617 0217 23987412 23987412 23981330 23929347 23903357 23851381

36164EAB1 GEET 2015-1 A2 ABS 40041080 0903 0755 000 40041080 40041080 40041080 40041080 40041080 40041080


41284AAB4 HDMOT 2014-1 A2A ABS 10803000 0497 0718 0277 10824486 10824486 10817962 10788038 10773077 10743155

41284BAB2 HDMOT 2015-1 A2A ABS 39969270 0802 0807 0698 40194154 40194154 40108664 39829678 39689889 39409716



43814GAB6 HAROT 2014-2 A2 ABS 4550329 0399 1136 0054 4553121 4552786 4551558 4549101 4547872 4545415

43814KAB7 HAROT 2015-1 A2 ABS 33496014 0707 0726 0399 33593046 33593046 33562840 33429191 33362371 33228742


93319022 0462 0252 0377 93407680 93407680 93407680 93143119 92967223 92615453


99700000 045 0824 0801 100358078 100358078 100099311 99300714 98901453 98103005


47787VAB7 JDOT 2014-A A2 ABS 13337769 0454 0804 0065 13344739 13344739 13342104 13333434 13329099 13320430

47787WAB5 JDOT 2015-B A2 ABS 40013640 0992 0938 1066 40413771 40413771 40226922 39800376 39587131 39160693


58768EAC3 MBALT 2014-A A2A ABS 1563073 0482 0796 0044 1563620 1563620 1563417 1562729 1562385 1561697


65477WAB2 NAROT 2014-B A2 ABS 60213804 0608 0785 033 60369794 60369794 60313160 60114454 60015108 59816429





70659PAE1 PENAR 2013-1A A1 ABS 74990100 0595 0699 0053 75017882 75017882 75009972 74970228 74950355 74910610




30

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50 Basis PointShock







89236WAB4 TAOT 2015-A A2 ABS 60001200 0712 069 0382 60159357 60159357 60115805 59886600 59772007 59542839

90290XAB3 USAOT 2015-1 A2 ABS 48097632 0828 0693 1504 48598976 48598976 48459345 47735956 47374318 46651153












CCYUSD Cash CASH 087 000 000 000 087 087 087 087 087 087

--- --- --- 4429392988 0521 0575 047 4440207556 4440012694 4437618810 4418979071 4408563561 4387727762


31

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32

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CONTRA COSTA COUNTY


ShareAmount

201-000004-10Average

Cost NAV

Average

Cost Amount

Realized

GainLoss


08312015 BALANCE FORWARD 14828923123 1002 14858580969 1002517967 14866261865


09302015 ENDING BALANCE 14828923123 1002 14866261865 14858580969










Phone 8007733863

Fax 252-972-1908


CONTRA COSTA COUNTY

CONTRA COSTA COUNTY

ATTN BELINDA ZHU

625 COURT STREET

ROOM 102


Page 1 of 1

Page 70


September 30 2015

CalTrust

Short Term

LAIF



Yield 034052





CalTrust

Short Term

Total Return

CalTrust

Short Term

Yield Return

LAIF Yield

Return

010 003004One Month


021 016024Six Month

041 029045One Year

043 027042Two Year


044 032044Five Year

181 172178Ten Year


Annualized


Total 1000



Total 1000









the month




Page 71




Page 72


Page 73



Page 74

SECTION III

APPENDIX




September 30 2015

FY 2015-2016


NUMBER 063015 072115 093015

100300 237517555 (14241865) 223275690

TOTALS 237517555 -14241865 000 000 000 000 000 223275690


Page 75

EXHIBITS










TOTAL $236548791215 10000



Less 1 yr $176302182693 7453

1 to 2 yrs 30507848304 12902 to 3 yrs 22479209821 950

3 to 4 yrs 6746274707 2854+ yrs 513275690 022

TOTAL $236548791215 10000


US Treasuries123


Money Market4697

ABSMBS019




Other 824

Cash548


Less 1 yr7453


9503 to 4 yrs285

4+ yrs022


Exhibit II





($) () () (day) (year)




2 Other



C Cash $12964473527 549 03500 4 1 NA








WEIGHTED

Exhibit III








5 Corporate Notes 16100700000 13527200000 2573500000 1902

TOTAL 184533165409 219726365409 (35193200000) -1602




Subtotal 19500651901 19504260129 (3608228) -002

TOTAL 39051152279 40698368474 (1647216195) -405

C Cash 12964473527 29335994238 (16371520711) -5581






Exhibit IV

Quarter Ending

















Exhibit IV (a)

Quarter Ending














Exhibit IV (b)

000

050

100

150

200

250

300

350

400

450

500

550



Exhibit IV (c)

-200

-100

000

100

200

300

400

500

600

700

93015 32816 92416 32317 91917 31818 91418 31319 9919 3720 9320

Yie

ld t

o M

atu

rity

Maturity Dates


CountyTreasurer

Wells CapitalMgmt







Risk Assessment



Exhibit IV (d)



DATE YTM ()









Exhibit V









Total $246365406496 10000




Exhibit V (a)




93015 Ave Maturity






Rate Yield





Six Month LIBOR 05340 05545 05051 04445



Exhibit V (b)

00000

10000

20000

30000

40000

50000

60000



Treasurer

LAIF

Wells CapitalMgmt

CalTRUST

Exhibit VI













Total $5372100000

Fund







Exhibit VI (a)






























































Exhibit VI (a)
















































TOTAL 51134346284 51034580657 51239469518


Exhibit VI (b)



Total $1575955394 $1579235118 $1577862697


September 30 2015







TREASURY 2350$ 950$ 1750$ 850$ 800$ 4150$ 500$ 5700$ 6200$ 10900$ 500$

REPO

TDs 1770$ 1058$ 1538$ 522$ 430$ 311$

AGENCY 903$ 250$ 750$ 950$ 1030$ 1350$ 1725$ 1700$ 505$ 577$ 781$

CP 1400$ 650$ 375$ 50$ 150$ 200$

CDs + BNs 5900$ 1500$ 2625$ 1250$ 400$ 600$ 500$ 500$ 200$

CORP BND TOTAL

67100$ 12323$ 4408$ 7038$ 3622$ 2810$ 6611$ 2725$ 7900$ 6905$ 11477$ 1281$

PERCENT 184 66 105 54 42 99 41 118 103 171 19 00 00















TOTAL 6649401194538$ $ 6651219520504 $ 6655174641252 3940591830$















1 Structured Notes



Structured Notes

















Exhibit VIII






(bps) ($) ($) (bps)

‐50 185664633657 100613 4139

‐25 185280659319 100405 2064

‐10 185051371991 100281 826

0 184898968418 100198 000

10 184746927139 100116 ‐821

25 184519541875 99993 ‐2048

50 184142360805 99788 ‐4094









Exhibit IX



















Total $722500000 $745685162






Table of Contents







Exhibits




















CONTRA COSTA COUNTY TREASURER’S QUARTERLY …

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Transcript of CONTRA COSTA COUNTY TREASURER’S QUARTERLY …