Quarterly Investment Report - Santa Clara County, California Department... · Quarterly Investment...

Quarterly Investment Report

December 31, 2015

Quarterly Investment ReportTable of Contents

Summary of Cost Values versus Market Values and YieldsPortfolio Strategy, Compliance, Review and MonitoringCommingled Pool: Allocation by Security TypesCommingled Pool: Allocation by RatingsCommingled Pool: Holdings by IssuerCommingled Pool: Historical Month End Book ValuesCommingled Pool: Distribution by MaturityCommingled Pool: Yield to Maturity and Weighted Average MaturityApproved Issuers and Broker/DealersCommingled Pool: Compliance with Investment PolicyHoldings Report: Commingled PoolHoldings Report: Worker's CompensationHoldings Report: Mountain View-Los AltosHoldings Report: Palo Alto UnifiedHoldings Report: Park Charter FundHoldings Report: San Jose-EvergreenTransaction Activity Report

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

County Executive: Jeffrey V. Smith

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Quarterly Investment Review Table of Contents

1245

Commingled Investment PoolWorker's CompensationMountain View-Los AltosPalo Alto UnifiedPark Charter FundSan Jose-EvergreenMedical Malpractice Insurance Fund (1)

Total

Commingled Investment PoolWorker's CompensationWeighted Yield

FundSummary of Yields* for Select Santa Clara County Investment Funds

0.00%0.03%

-0.11%0.19%

$6,607,770,973 -0.15%-$9,659,917

$602,065$11,370,756$19,826,407

Oct 31 Nov 30 Dec 312015

0.77%

0.78%

0.77%

0.77%1.21% 1.21%

0.47%

2014

0.73%

Dec 310.47%0.72%

1.21% 1.22%

$106,854 0.39%

$12,852,294

$173-$12,870$38,042

-0.01%

$89

VarianceFund-$9,791,298 -0.15%

% Variance

Santa Clara County Commingled Pool and Segregated Investments

-$907$6,617,430,890

$2,020,573$602,238

$11,357,886$19,864,449$12,851,387

$2,020,484$27,370,385 $27,477,238

December 31, 2015

$6,543,388,499Cost Value** Market Value

$6,533,597,201

*Yield to maturity (YTM) is the rate of return paid on a bond, note, or other fixed income security if the investor buys and holds it to its maturity date and if the coupon interest paid over the life of the bond is reinvested at the same rate as the coupon rate. The calculation for YTM is based on the coupon rate, length of time to maturity, and market price at time of purchase. Yield is a snapshot measure of the yield of the portfolio on the day it was measured based on the current portfolio holdings on that day. This is not a measure of total return, and is not intended to be, since it does not factor in unrealized capital gains and losses and reinvestment rates are dependent upon interest rate changes **Cost Value is the amortized book value of the securities as of the date of this report.

(1) Managed by Chandler Asset Management, Inc.

1

In contrast to labor markets and real estate, growth of gross domestic product (GDP) slowed. The Commerce Department reported that GDP which represents the total dollar value of goods and services produced in the U.S. rose at a meager 0.7 percent annualized rate in the three months ending in December. GDP had increased 2 percent in the prior quarter. Economists conclude growth slowed because the higher value of the dollar made U.S. exports less competitive. Exports also faced slower global demand. Plunging oil prices caused drilling firms to retrench and significantly reduce production. GDP expanded 2.4 percent in 2015 for a second straight year.

Our portfolio strategy continues to focus on: (1) acquisition of high quality issuers; (2) identifying and selecting bonds with attractive valuations; (3) appropriately sizing the liquidity portion of the portfolio to ensure adequate cash for near term obligations; and (4) ensuring that monies targeted for longer term investments are deployed in instruments with favorable risk adjusted yields. Broker-dealers have generally down-sized the amount of securities carried in inventories in response to risk-curbing rules crafted after the 2008 financial crisis, including Basel III and the 2010 Dodd-Frank Act. With more efficient software, we have been addressing this issue by scanning a larger scope of inventory listings to find attractive bonds. Our portfolio structuring does not engage in interest rate anticipation strategies.


Portfolio StrategyDecember 31, 2015

Real estate markets exhibited solid growth. Sales of existing single-family homes increased 16.1 percent in December which amounted to an annual rate of 4.82 million. Purchases of multifamily properties, including condominiums and townhouses increased 4.9 percent. The median price of an existing U.S. home is $224,000. This price reflects a 7.6 percent increase between December 2014 and December 2015.

U.S. economic news have been mixed. The labor market continue as a source of strength. With nearly 70 percent of economic activity is attributable to consumer spending, employment is a key indicator of economic health. The Labor market roared forward in December when employers added 292,000 jobs to non-farm payrolls. That brought the new jobs total to 2.65 million for 2015.

The Federal Reserve Bank, on December 16, 2015 raised its benchmark interest rate for the first time in almost a decade. Nearly a month later, domestic and global bond yields are lower than before the Federal Reserve Bank enacted its historical decision. Turmoil in financial markets and the subsequent easing of monetary policy in Japan and the Eurozone depressed bond yields. A severe sell-off in equity markets around the world instigated a flight from risky assets to safe havens like U.S. Treasury bonds causing yields to tumble and increasing bond prices. Concern has centered on slowing global economic growth and on China, the world’s second largest economy which generated some 40 percent of total world growth in 2015. The Standard & Poor’s 500 stock index is down approximately 7.6 percent since the December meeting in which Reserve Bank policy makers adjusted interest rates.

2

Yield and Weighted Average Maturity

Compliance

Review and Monitoring

Additional Information


Portfolio Compliance, Review, and MonitoringDecember 31, 2015

The yield of the Commingled Pool is 0.72% and the weighted average life is 402 days.

The County Treasuer believes the Commingled Pool contains sufficent cash flow from liquid and maturing securities, bank deposits and incoming cash to meet the next six months of expected expenditures.

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

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

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

3

Sector % ChngFederal AgenciesCorporate BondsRepurchase AgreementsCommercial PaperAsset-Backed SecuritiesMunicipal SecuritiesU.S. TreasuriesNegotiable CDsLAIFMoney Market FundsSupranationalsTotal

SectorFederal AgenciesCorporate BondsRepurchase AgreementsCommercial PaperAsset-Backed SecuritiesMunicipal SecuritiesU.S. TreasuriesNegotiable CDsLAIFMoney Market FundsSupranationalTotal Amounts are based on book value6,543,388,499 4,904,452,640

788,481,963 672,161,581 97,519,080 37,489,544

175,478,569 200,535,958 585,000,000 35,000,000

40,032,216 40,000,000

147,305,396 186,608,501 99,654,387 84,553,476

4,108,273,874 3,313,179,435 276,909,811 272,413,689

- -

100.00% 100.76%

12/31/2015 9/30/2015

0.76% 0.7%1.49%

224,733,205 100,000,000

2.25% 3.80% -1.6%

4.23% 5.55%

12.05% 13.71% -1.7%

-1.3%0.00% 0.00% 0.0%

8.94% 0.71% 8.2%0.61% 0.82% -0.2%

1.52% 1.72% -0.2%2.68% 4.09% -1.4%

Santa Clara County Commingled Pool

Allocation by Security Types

12/31/2015 9/30/201562.79% 67.55% -4.8%

3.43% 2.04% 1.4%

December 31, 2015

Agy 62.8%

Corp 4.2% Repo 0.0%

CP 3.4%

ABS 2.3% Muni 1.5%

Tsy 2.7% CDs 8.9%

LAIF 0.6%

MMF 12.1%

Supra 1.5%

4

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

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

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

Amounts are based on book values

- 40,032,216

67,976,877 39,259,053

139,371,939 10,001,239

-


Allocation by RatingsDecember 31, 2015

1,413,307,198 Portfolio %Portfolio $Moody's Rating

P-1

- 51,891,131

6,543,388,499

21.6%73.1%1.0%0.6%2.1%0.2%0.0%0.0%0.6%0.0%0.8%

100.0%

4,781,548,846 Aaa Aa1 Aa2 Aa3 A1

Total

A2 A3

LAIF*** Repo**

Not Rated*

P-1 21.6%

Aaa 73.1%

Aa1 1.0% Aa2 0.6%

Aa3 2.1% A1 0.2% A2 0.0%

LAIF*** 0.6% Repo** 0.0% Not Rated* 0.8%

5

Amounts are based on book values

December 31, 2015

Holdings by Issuer - Percent of Commingled Pool


0.0% 0.0% 0.0% 0.0% 0.0% 0.2% 0.2% 0.3% 0.3% 0.3% 0.4% 0.4% 0.4% 0.4% 0.5% 0.6% 0.6% 0.7% 0.8% 0.9% 0.9% 0.9% 0.9% 1.0% 1.0% 1.0% 1.1% 1.1% 1.2% 1.5% 1.5% 1.5%

2.4% 2.7%

3.9% 4.1% 4.1%

6.3% 12.8%

13.3% 29.6%

0% 5% 10% 15% 20% 25% 30% 35%

MORGAN STANLEY TRSY INSTL 8304UNIVERSITY CALIFORNIA REVSBMW VEHICLE OWNER TRUST

NISSAN AUTO LEASE TRUSTAPPLE INC

BERKSHIRE HATHWYHONDA AUTO RECEIVABLES OWNER T

IBMMICROSOFT CORP

VOLKSWAGEN AUTO LOAN ENHANCEDCHASE ISSUANCE TRUST (ABS)

TOYOTA AUTO REC OWNER TRUSTJOHN DEERE OWNER TRUST

WALMARTBMW VEHICLE LEASE TRUST

BANK OF NOVA SCOTIA HOUSTONLOCAL AGENCY INVEST FUND

BANK OF AMERICA CORPFARMER MAC DISCOUNT NOTE

JOHNSON & JOHNSONEXXON MOBIL CORP

RABOBANKROYAL BANK OF CANADA

CHEVRON CORP.CANADIAN IMP BK

TORONTO DOMINIONBNP PARIBAS NY BRANCH

TOYOTA MOTOR CREDITBANK OF MONTREAL CHICAGOINTL BANK RECON & DEVELOP

CALIFORNIA STWELLS FARGO

U S BANKU.S. TREASURY NOTES

MORGAN STANLEY GOVT INSTL 8302BLACKROCK

DREYFUS CASH MANAGEMENTFFCB NOTES

FNMA NOTESFHLMC NOTES

FHLB NOTES

6

Amounts in billionsFY 2016 $5.212 $4.990 $4.941 $4.587

$4.384 $3.536

$3.833$3.637

$3.408 $3.687 $4.463

$5.120 $6.543

$4.952$3.517 $3.515 $3.469

Jul Aug Sep Oct Nov Mar Apr May Jun

$4.521$4.032$4.040 $4.926 $4.525

$3.551 $3.712 $4.339

$3.918 $3.982 $4.606 $5.286

$4.179 $3.935$3.736$3.801

$3.508

FY 2010FY 2011

$3.307

FY 2012

$3.373 $3.307 $3.307 $3.408 $4.175$3.032

$3.555 $3.805 $4.567 $4.097$3.143 $2.898 $3.227 $3.943

$3.645 $4.600

$3.695


Historical Month End Book ValuesDecember 31, 2015

Fiscal Year Dec Jan Feb

FY 2014 $4.133 $4.052 $3.975 $3.758 $5.386 $5.487 $5.108$4.271 $5.419 $5.019 $4.520 $4.461FY 2013

$3.541$3.230

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

$2.50

$3.00

$3.50

$4.00

$4.50

$5.00

$5.50

$6.00

$6.50

$7.00

Jul-2

009

Oct

-200

9

Jan-

2010

Apr-

2010

Jul-2

010

Oct

-201

0

Jan-

2011

Apr-

2011

Jul-2

011

Oct

-201

1

Jan-

2012

Apr-

2012

Jul-2

012

Oct

-201

2

Jan-

2013

Apr-

2013

Jul-2

013

Oct

-201

3

Jan-

2014

Apr-

2014

Jul-2

014

Oct

-201

4

Jan-

2015

Apr-

2015

Jul-2

015

Oct

-201

5

Jan-

2016

Apr-

2016

Billi

ons

7

*Amounts are based on book value

Overnight 828,514,179

Overnight 12.66%

3Yr-4Yr 226,135,541 149,704,080

Maturity Amount*

6,543,388,499

1-30 Days 681,457,224

100.00%


Distribution by MaturityDecember 31, 2015

Maturity Amount*

3Yr-4Yr 3.46%4Yr-5Yr 2.29%

1-30 Days 10.41%31-90 Days 4.18%

91-365 Days 32.60%1Yr-2Yr 16.55%2Yr-3Yr

31-90 Days 273,290,087 91-365 Days 2,132,933,035

17.86%

1Yr-2Yr 1,082,848,660 2Yr-3Yr 1,168,505,693

4Yr-5Yr

$0

$500,000,000

$1,000,000,000

$1,500,000,000

$2,000,000,000

$2,500,000,000

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

Distribution By Maturity Dollars

0%

5%

10%

15%

20%

25%

30%

35%

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

Distribution By Maturity Percentages

8


Yield to Maturity and Weighted Average MaturityDecember 31, 2015

Item Jan-15 Feb-15 Mar-15 Apr-15 May-15 Dec-15Sep-15 Oct-15 Nov-15SCC YTM 0.51% 0.51% 0.54% 0.59% 0.68% 0.70%

Jun-15 Jul-15 Aug-150.68% 0.77% 0.77% 0.72%

LAIF YTM 0.26% 0.26% 0.27% 0.28% 0.29% 0.40%0.33% 0.36% 0.37%0.61% 0.62%

0.74%SCC WAM 419 405 419 466

0.30% 0.32% 0.33%0.06% 0.11% 0.15% 0.23%

222 179239 240 216 211 200 183LAIF WAM 198 208 196 220

6 Mon T-Bill 0.05% 0.07% 0.14% 0.04% 0.07% 0.23% 0.39% 0.48%1.05%0.63% 0.73% 0.93%

463 500 482 4022Yr T-Note 0.45% 0.62% 0.56% 0.57%

471 469 496 4940.61% 0.65% 0.66%

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%

0.80%Yield to Maturity

Santa ClaraLAIF6 Mon T-Bill2Yr T-Note

150

200

250

300

350

400

450

500

550

Days

Weighted Average Maturity

Santa ClaraLAIF

9

Direct Commercial Paper Issuers Broker/DealersToyota Motor Credit Corp Barclays Capital, IncUS Bancorp Blaylock Robert Van, LLCWells Fargo & Co BMO Capital Markets

BNP Paribas Securities CorpBrean Capital LLCCantor Fitzgerald & CoCastleoak Securities LPCitigroup Global Markets IncCredit Suisse Securities, USADaiwa Capital Markets America IncDeutsche Bank Securities IncFTN Financial, IncIncapital LLCJefferies & CoJP Morgan Securities, IncKeybanc Capital Markets, IncLoop Capital Markets LLCMerrill Lynch & Co IncMizuho Securities USA, IncMorgan Stanley & Co IncPiper Jaffray & CoRaymond James, Inc.RBC Capital Markets, IncStifel Nicolaus & CoSuntrust Robinson Humphrey IncUBSVining Sparks LPWedbush Securities IncWells Fargo Institutional SecuritiesWilliams Capital

Santa Clara County

Approved Issuers and Broker/DealersDecember 31, 2015

10

Santa Clara County Commingled PoolCompliance with Investment Policy

December 31, 2015

MaturityIn Compliance

YesParametersItem/Sector

Weighted Average Maturity (WAM) must be less than 24 monthsInterest Periods Securities must pay interest within one year of the initial investment and at least semiannually in subsequent years

Yes

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

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

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

Acceptances, CP, Negotiable CDs, and Corporate Notes Yes

YesYes

LAIF

U.S. Treasuries

YesU.S. Federal Agencies

No sector limit, no issuer limit, CA State's deposit limit $50 millionYesNo sector limit, no issuer limit, max maturity 5 years

Supranational Debt Obligations

Sector limit 10%, max maturity 5 years, issued or unconditionally gauranteed by the IBRD, rated by at least two: AAA (S&P/Fitch), Aaa (Moody's)

Yes

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

Yes, None in Portfolio

Yes

Sector limit 40%, issuer limit 5%, max maturity 270 days, rated by at least two: A-1 (S&P), P-1 (Moody's), F-1 (Fitch), issued by domestic corporation w/ at least $500 mil of assets, and long term debt rated by at least two: AA- (S&P/Fitch)/Aa3 (Moody's)

Commercial Paper Yes

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

managed Yes

Corporate BondsYes

No sector limit, no Issuer limit, max maturity 92 days, treasury and agency collateral at 102% of investment, if maturity exceeds 15 days, must be collateralized by securities with 5 years or less maturities

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

Repurchase Agreements

Sector limit 30%, issuer limit 5%, max maturity 5 years, if under 1 year rated by at least two: A-1 (S&P), P-1 (Moody's), F-1 (Fitch), if greater than 1 year rated by at least two: AA- (S&P/Fitch)/Aa3 (Moody's)

Negotiable Certificates of Deposit

Sector limit 10%, no issuer limit, State of CA, local CA agencies, and other municipal securities of the other 49 states, if long-term rated, then by at least two: A- (S&P/Fitch)/A3 (Moody's), if short-term rated, then by at least two: SP-1 (S&P), MIG-1

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

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

securities must be owned for at least 30 days

Bankers' Acceptances

Sector limit 20% in aggregate with ABS, no issuer limit, max maturity 5 years, collateralized by pools of conforming residential mortgage loans insured by FHLMC/FNMA and residential mortgages guaranteed by FHA (GNMA)

Mortgage-Backed Securities

Sector limit 20% in aggregate with ABS, no issuer limit, max maturity 5 years, collateralized by pools of loans such as installment/receivables, security must be rated by at least two: AA- (S&P/Fitch), Aa3 (Moody's), issuer rated by at least two: A-

(S&P/Fitch), A3 (Moody's)Asset-Backed Securities

Yes

Yes


Yes


11

SANTA CLARA COUNTY INVESTMENTS

December 31, 2015

Fund COMM - COMMINGLED POOLInvestments by Fund

Par ValueDays ToMaturity

MaturityDate

CurrentRateMarket ValueCUSIP Investment # Issuer

PurchaseDate Book Value

YTM360

YTM365

Negotiable CDs

BANK OF AMERICA CORP36484 45,000,000.0006052TRE2 09/23/2016 2660.86012/28/2015 45,054,405.00 0.848 0.86045,000,000.00BANK OF MONTREAL CHICAGO36368 40,000,000.0006427ELG4 02/23/2016 530.32011/19/2015 39,992,880.00 0.315 0.32040,000,000.00BANK OF MONTREAL CHICAGO36464 40,000,000.0006427EPD7 07/29/2016 2100.84012/17/2015 39,995,480.00 0.828 0.84040,000,000.00BNP PARIBAS NY BRANCH36451 45,000,000.0034959TDL7 09/12/2016 2550.92012/15/2015 45,003,375.00 0.907 0.92045,000,000.00BNP PARIBAS NY BRANCH36483 25,000,000.0034959TDP8 07/29/2016 2100.85012/28/2015 25,001,575.00 0.838 0.85025,000,000.00BANK OF NOVA SCOTIA HOUSTON36426 40,000,000.0006417GCG1 02/08/2016 380.40012/09/2015 40,003,800.00 0.394 0.40040,000,000.00CANADIAN IMP BK36466 30,000,000.0013606ALD8 07/15/2016 1960.82012/17/2015 29,998,140.00 0.808 0.82030,000,000.00CANADIAN IMP BK36470 35,000,000.0013606ALN6 07/29/2016 2100.85012/18/2015 35,000,350.00 0.838 0.85035,000,000.00RABOBANK36453 35,000,000.0021685VKR9 07/29/2016 2100.80012/15/2015 34,990,935.00 0.789 0.80035,000,000.00RABOBANK36465 25,000,000.0021684BC36 09/16/2016 2590.85012/17/2015 24,991,150.00 0.838 0.85025,000,000.00ROYAL BANK OF CANADA35643 15,000,000.0078009NTJ5 02/12/2016 420.29202/12/2015 14,999,160.00 0.291 0.29515,000,000.00ROYAL BANK OF CANADA36156 20,000,000.0078009NVR4 07/30/2018 9411.69307/30/2015 20,000,000.00 1.669 1.69320,000,000.00ROYAL BANK OF CANADA36480 25,000,000.0078009NYM2 08/25/2016 2370.91512/24/2015 25,025,950.00 0.902 0.91525,000,000.00TORONTO DOMINION36452 30,000,000.0089113EX27 06/13/2016 1640.79012/15/2015 30,008,160.00 0.779 0.79030,000,000.00TORONTO DOMINION36469 35,000,000.0089113EX92 09/16/2016 2590.94012/18/2015 35,004,935.00 0.927 0.94035,000,000.00WELLS FARGO36386 45,000,000.0094988EMB1 06/21/2016 1720.62011/24/2015 45,051,525.00 0.611 0.62045,000,000.00WELLS FARGO36408 30,000,000.0094988EMF2 06/01/2016 1520.67012/03/2015 30,043,500.00 0.660 0.67030,000,000.00WELLS FARGO36471 25,000,000.0094988EMS4 07/14/2016 1950.82012/18/2015 25,052,650.00 0.808 0.82025,000,000.00

Subtotal and Average 585,000,000.00 585,000,000.00 585,217,970.00 0.765 0.776 212

Federal Agency Bonds

FFCB NOTES35208 20,000,000.003133EDMC3 02/26/2016 560.25007/09/2014 20,005,080.00 0.395 0.40019,995,408.86FFCB NOTES35448 10,000,000.003133EECW8 05/25/2016 1450.37511/25/2014 10,000,470.00 0.369 0.37510,000,000.00FFCB NOTES35449 10,000,000.003133EECW8 05/25/2016 1450.37511/25/2014 10,000,470.00 0.369 0.37510,000,000.00FFCB NOTES35475 10,000,000.003133EEEC0 01/04/2016 30.22012/04/2014 10,000,000.00 0.226 0.2299,999,992.31FFCB NOTES35481 10,500,000.003133EEEC0 01/04/2016 30.22012/05/2014 10,500,000.00 0.239 0.24310,499,979.76FFCB NOTES35497 15,000,000.003133EDQM7 07/17/2017 5631.00012/10/2014 14,981,580.00 0.942 0.95515,010,235.86FFCB NOTES35527 10,000,000.003133EEFE5 12/18/2017 7171.12512/18/2014 9,996,500.00 1.077 1.09210,006,284.44FFCB NOTES35529 10,000,000.003133EEFE5 12/18/2017 7171.12512/18/2014 9,996,500.00 1.109 1.12510,000,000.00FFCB NOTES35536 20,000,000.003133EEFZ8 02/23/2017 4190.70012/23/2014 19,955,980.00 0.690 0.70020,000,000.00FFCB NOTES35537 30,000,000.003133EEFZ8 02/23/2017 4190.70012/23/2014 29,933,970.00 0.739 0.74929,983,044.62

Portfolio SCL2AP

Run Date: 01/28/2016 - 09:53 FI (PRF_FI) 7.1.1Report Ver. 7.3.5

12

December 31, 2015


MaturityDate

CurrentRateMarket Value

Fund COMM - COMMINGLED POOLInvestments by Fund Page 2

CUSIP Investment # IssuerPurchase

Date Book ValueYTM360

YTM365


FFCB NOTES35678 10,000,000.003133EEQX1 09/25/2017 6331.00002/26/2015 9,972,260.00 0.909 0.92210,013,237.06FFCB NOTES35683 15,000,000.003133EEQX1 09/25/2017 6331.00002/27/2015 14,958,390.00 0.958 0.97115,007,362.93FFCB NOTES35757 20,000,000.003133EEQX1 09/25/2017 6331.00003/24/2015 19,944,520.00 0.880 0.89320,036,543.82FFCB NOTES35799 9,950,000.003133EEWG1 04/01/2019 1,1861.30004/01/2015 9,859,166.45 1.353 1.3719,927,420.34FFCB NOTES35872 10,000,000.003133EEQX1 09/25/2017 6331.00004/16/2015 9,972,260.00 0.752 0.76210,040,677.13FFCB NOTES35877 12,195,000.003133EEUT5 01/23/2017 3880.70004/17/2015 12,180,122.10 0.527 0.53412,216,241.54FFCB NOTES35892 5,000,000.003133ECBX1 09/28/2017 6360.82004/21/2015 4,975,085.00 0.787 0.7985,001,858.84FFCB NOTES35940 5,000,000.003133EEE71 05/01/2018 8510.92005/01/2015 4,947,965.00 0.907 0.9205,000,000.00FFCB NOTES35941 5,000,000.003133EEE71 05/01/2018 8510.92005/01/2015 4,947,965.00 0.907 0.9205,000,000.00FFCB NOTES35965 5,000,000.003133EEJ50 05/11/2018 8611.03005/11/2015 4,968,370.00 1.082 1.0974,992,220.14FFCB NOTES36201 10,000,000.003133EDEB4 06/28/2017 5441.10008/31/2015 10,018,290.00 0.734 0.74410,052,555.71FFCB NOTES36370 15,000,000.003133EFPJ0 11/19/2018 1,0531.29011/19/2015 14,952,300.00 1.276 1.29414,998,270.00FFCB NOTES36440 20,000,000.003133EFSG3 03/14/2018 8031.10012/14/2015 19,945,440.00 1.222 1.23920,000,000.00FFCB NOTES36441 15,000,000.003133EFSG3 03/14/2018 8031.10012/14/2015 14,959,080.00 1.222 1.23915,000,000.00FFCB NOTES36442 15,000,000.003133EFSH1 06/14/2018 8951.17012/14/2015 14,935,425.00 1.174 1.19014,992,641.67FFCB NOTES36443 20,000,000.003133EFSH1 06/14/2018 8951.17012/14/2015 19,913,900.00 1.174 1.19019,989,992.67FHLB NOTES33890 25,000,000.00313379DD8 06/21/2017 5371.00012/31/2012 24,986,175.00 0.678 0.68825,112,830.75FHLB NOTES34257 15,000,000.003133834R9 06/24/2016 1750.37505/10/2013 14,981,205.00 0.426 0.43214,995,913.57FHLB NOTES34261 35,000,000.003133834R9 06/24/2016 1750.37505/13/2013 34,956,145.00 0.452 0.45834,986,010.30FHLB NOTES34533 25,000,000.003133834R9 06/24/2016 1750.37509/17/2013 24,968,675.00 0.698 0.70824,960,393.93FHLB NOTES34652 22,355,000.00313373SZ6 06/10/2016 1612.12511/14/2013 22,499,234.46 0.542 0.55022,509,192.28FHLB NOTES34663 25,000,000.00313373SZ6 06/10/2016 1612.12511/19/2013 25,161,300.00 0.479 0.48625,179,587.13FHLB NOTES34682 50,000,000.00313373SZ6 06/10/2016 1612.12511/26/2013 50,322,600.00 0.476 0.48350,359,924.51FHLB NOTES34749 15,000,000.00313373SZ6 06/10/2016 1612.12512/17/2013 15,096,780.00 0.500 0.50715,106,376.88FHLB NOTES34848 10,000,000.003130A0SD3 02/19/2016 490.38001/24/2014 10,000,160.00 0.447 0.4539,999,020.67FHLB NOTES35004 15,000,000.003130A1NN4 05/24/2017 5090.87504/11/2014 14,978,850.00 0.925 0.93714,987,033.08FHLB NOTES35020 15,000,000.00313375RN9 03/11/2016 701.00004/17/2014 15,018,840.00 0.381 0.38615,017,807.02FHLB NOTES35097 10,000,000.003130A22N5 06/06/2016 1570.42005/19/2014 9,996,320.00 0.427 0.4339,999,411.13FHLB NOTES35136 5,000,000.003130A2C61 06/10/2016 1610.37506/06/2014 4,996,930.00 0.439 0.4464,998,440.75FHLB NOTES35193 25,000,000.003130A22N5 06/06/2016 1570.42006/30/2014 24,990,800.00 0.460 0.46624,994,989.22FHLB NOTES35195 5,000,000.003130A2C61 06/10/2016 1610.37506/30/2014 4,996,930.00 0.461 0.4684,997,955.71FHLB NOTES35206 20,000,000.003130A22N5 06/06/2016 1570.42007/09/2014 19,992,640.00 0.503 0.51019,992,283.84

Portfolio SCL2AP


13

December 31, 2015


MaturityDate





YTM365


FHLB NOTES35397 30,000,000.003130A22N5 06/06/2016 1570.42010/30/2014 29,988,960.00 0.416 0.42129,999,757.81FHLB NOTES35398 20,000,000.003130A3CE2 10/14/2016 2870.62510/30/2014 19,990,540.00 0.526 0.53320,014,230.40FHLB NOTES35402 10,000,000.003130A3CE2 10/14/2016 2870.62510/31/2014 9,995,270.00 0.563 0.57110,004,202.73FHLB NOTES35404 10,000,000.003130A3FM1 03/01/2016 600.30011/04/2014 9,999,780.00 0.295 0.30010,000,000.00FHLB NOTES35405 10,000,000.003130A3FM1 03/01/2016 600.30011/04/2014 9,999,780.00 0.295 0.30010,000,000.00FHLB NOTES35407 10,000,000.003130A3CE2 10/14/2016 2870.62511/06/2014 9,995,270.00 0.584 0.59210,002,554.30FHLB NOTES35408 15,000,000.003130A3CE2 10/14/2016 2870.62511/06/2014 14,992,905.00 0.584 0.59215,003,831.45FHLB NOTES35416 10,000,000.003130A3GV0 02/25/2016 550.29011/10/2014 10,000,520.00 0.286 0.29010,000,000.00FHLB NOTES35466 10,000,000.003130A3M35 10/14/2016 2870.52012/02/2014 9,990,130.00 0.500 0.50710,001,010.71FHLB NOTES35482 15,000,000.003130A3P32 07/01/2016 1820.43012/05/2014 14,996,100.00 0.422 0.42815,000,143.11FHLB NOTES35483 10,000,000.003130A3P32 07/01/2016 1820.43012/05/2014 9,997,400.00 0.424 0.43010,000,000.00FHLB NOTES35488 25,000,000.003130A3P32 07/01/2016 1820.43012/09/2014 24,993,500.00 0.479 0.48624,993,033.81FHLB NOTES35496 50,000,000.003130A3PB4 01/04/2016 30.23012/10/2014 50,000,000.00 0.260 0.26349,999,859.38FHLB NOTES35505 25,000,000.003130A3P40 07/03/2017 5490.87512/11/2014 24,948,050.00 0.912 0.92524,981,453.25FHLB NOTES35506 10,000,000.003130A3PB4 01/04/2016 30.23012/11/2014 10,000,000.00 0.260 0.2639,999,971.80FHLB NOTES35512 13,975,000.003130A2C61 06/10/2016 1610.37512/12/2014 13,966,419.35 0.470 0.47713,968,722.16FHLB NOTES35516 25,000,000.003133782N0 03/10/2017 4340.87512/15/2014 24,982,325.00 0.806 0.81825,016,760.31FHLB NOTES35517 35,000,000.003133782N0 03/10/2017 4340.87512/15/2014 34,975,255.00 0.740 0.75135,051,106.96FHLB NOTES35520 25,000,000.003130A2C61 06/10/2016 1610.37512/16/2014 24,984,650.00 0.421 0.42724,994,268.26FHLB NOTES35528 25,000,000.003130A3RW6 08/15/2017 5921.00012/18/2014 24,998,250.00 0.938 0.95125,019,527.69FHLB NOTES35530 25,000,000.003130A3PB4 01/04/2016 30.23012/18/2014 25,000,000.00 0.259 0.26324,999,930.19FHLB NOTES35531 17,000,000.003130A3SZ8 08/15/2017 5920.95012/18/2014 17,000,578.00 0.966 0.98016,991,877.09FHLB NOTES35541 15,000,000.003130A3P81 01/29/2016 280.25012/29/2014 15,001,020.00 0.246 0.25015,000,000.00FHLB NOTES35542 10,000,000.003130A3P81 01/29/2016 280.25012/29/2014 10,000,680.00 0.246 0.25010,000,000.00FHLB NOTES35543 25,000,000.003130A3P81 01/29/2016 280.25012/29/2014 25,001,700.00 0.246 0.25025,000,000.00FHLB NOTES35544 25,000,000.003130A3P81 01/29/2016 280.25012/29/2014 25,001,700.00 0.246 0.25025,000,000.00FHLB NOTES35548 30,000,000.003130A2Y75 03/10/2016 690.40012/30/2014 30,000,270.00 0.374 0.38030,001,140.91FHLB NOTES35549 10,000,000.003130A3SL9 06/15/2017 5310.95012/30/2014 10,016,400.00 0.907 0.92010,004,263.05FHLB NOTES35684 20,000,000.003130A4GJ5 04/25/2018 8451.12502/27/2015 19,947,860.00 1.124 1.13919,993,257.64FHLB NOTES35685 12,000,000.003130A4GJ5 04/25/2018 8451.12502/27/2015 11,968,716.00 1.124 1.13911,995,954.59FHLB NOTES35803 25,000,000.003130A4WA6 07/06/2018 9171.00004/06/2015 24,799,925.00 0.986 1.00025,000,000.00FHLB NOTES35815 20,000,000.003130A4WB4 01/08/2018 7380.87504/08/2015 19,894,860.00 0.863 0.87520,000,000.00

Portfolio SCL2AP


14

December 31, 2015


MaturityDate





YTM365


FHLB NOTES35816 25,000,000.003130A4UP5 06/29/2018 9101.05004/08/2015 24,788,450.00 0.976 0.99025,036,739.88FHLB NOTES35826 9,460,000.00313383VN8 09/13/2019 1,3512.00004/09/2015 9,587,804.60 1.321 1.3409,683,477.01FHLB NOTES35827 25,155,000.00313383VN8 09/13/2019 1,3512.00004/09/2015 25,494,844.05 1.332 1.35125,739,155.91FHLB NOTES35855 12,000,000.003130A4WA6 07/06/2018 9171.00004/14/2015 11,903,964.00 0.996 1.01011,997,009.29FHLB NOTES35864 26,500,000.003130A4Y71 06/15/2018 8961.00004/15/2015 26,289,749.00 0.981 0.99426,503,287.86FHLB NOTES35865 16,915,000.003130A4YA4 08/15/2018 9571.05004/15/2015 16,756,675.60 1.025 1.03916,919,391.13FHLB NOTES35867 10,000,000.00313378QK0 03/08/2019 1,1621.87504/15/2015 10,119,060.00 1.196 1.21310,205,282.75FHLB NOTES35879 10,000,000.003130A4KD3 03/09/2017 4330.75004/17/2015 9,982,150.00 0.561 0.56810,021,379.98FHLB NOTES35906 20,000,000.00313379DT3 06/08/2018 8891.25004/23/2015 19,984,280.00 0.992 1.00620,116,621.51FHLB NOTES35922 10,000,000.00313378A43 03/09/2018 7981.37504/28/2015 10,031,410.00 0.921 0.93410,094,926.87FHLB NOTES35952 10,000,000.003130A57J2 07/06/2018 9171.00005/06/2015 9,925,280.00 0.997 1.0119,997,181.80FHLB NOTES35956 5,000,000.003133XRFZ8 06/08/2018 8894.75005/07/2015 5,410,440.00 1.138 1.1545,429,027.45FHLB NOTES35957 5,000,000.00313379DT3 06/08/2018 8891.25005/07/2015 4,996,070.00 1.096 1.1125,016,458.55FHLB NOTES35958 15,000,000.003130A57G8 08/07/2018 9491.05005/07/2015 14,860,200.00 1.066 1.08114,988,192.00FHLB NOTES36053 5,000,000.00313378A43 03/09/2018 7981.37506/18/2015 5,015,705.00 1.122 1.1385,025,423.24FHLB NOTES36059 5,000,000.00313378A43 03/09/2018 7981.37506/19/2015 5,015,705.00 1.031 1.0455,035,460.00FHLB NOTES36129 5,000,000.003133XQSE3 04/18/2018 8384.11007/16/2015 5,316,495.00 1.044 1.0585,344,430.49FHLB NOTES36143 10,000,000.003130A62S5 08/28/2017 6050.75007/24/2015 9,949,860.00 0.846 0.8589,982,264.19FHLB NOTES36144 15,000,000.003130A62S5 08/28/2017 6050.75007/24/2015 14,924,790.00 0.846 0.85814,973,396.29FHLB NOTES36228 5,000,000.003130A6AE7 09/14/2018 9871.12509/16/2015 4,975,270.00 1.182 1.1994,990,161.69FHLB NOTES36267 11,000,000.003130A6LZ8 10/26/2017 6640.62510/09/2015 10,901,583.00 0.928 0.94110,978,785.82FHLB NOTES36288 5,000,000.003130A5Z77 07/29/2020 1,6711.83010/21/2015 4,989,825.00 1.461 1.4825,074,773.92FHLB NOTES36289 5,000,000.003130A5Z77 07/29/2020 1,6711.83010/21/2015 4,989,825.00 1.418 1.4385,085,085.91FHLB NOTES36298 5,000,000.003130A5Z77 07/29/2020 1,6711.83010/23/2015 4,989,825.00 1.432 1.4525,083,216.32FHLB NOTES36308 10,000,000.003130A5Z77 07/29/2020 1,6711.83010/26/2015 9,979,650.00 1.498 1.51910,136,611.79FHLB NOTES36310 5,000,000.003130A5Z77 07/29/2020 1,6711.83010/26/2015 4,989,825.00 1.490 1.5115,070,133.80FHLB NOTES36376 20,000,000.003130A6SW8 12/19/2017 7181.00011/20/2015 19,950,180.00 0.986 1.00020,000,000.00FHLB NOTES36377 20,000,000.003130A6SW8 12/19/2017 7181.00011/20/2015 19,950,180.00 0.986 1.00020,000,000.00FHLB NOTES36402 17,200,000.00313379EE5 06/14/2019 1,2601.62512/02/2015 17,255,022.80 1.426 1.44617,303,200.27FHLB NOTES36407 10,000,000.003130A4PA4 03/19/2018 8081.10012/03/2015 9,970,660.00 1.075 1.09010,002,125.42FHLMC NOTES33721 20,000,000.003137EACW7 08/25/2016 2372.00011/01/2012 20,160,960.00 0.602 0.61020,178,207.86FHLMC NOTES34532 25,000,000.003137EADQ9 05/13/2016 1330.50009/17/2013 25,002,125.00 0.718 0.72824,979,288.70

Portfolio SCL2AP


15

December 31, 2015


MaturityDate





YTM365


FHLMC NOTES34543 10,000,000.003137EADS5 10/14/2016 2870.87509/23/2013 10,007,390.00 0.819 0.83010,003,418.62FHLMC NOTES34723 50,000,000.003137EADQ9 05/13/2016 1330.50012/10/2013 50,004,250.00 0.455 0.46150,006,970.45FHLMC NOTES34751 44,400,000.003137EADQ9 05/13/2016 1330.50012/17/2013 44,403,774.00 0.470 0.47744,403,654.54FHLMC NOTES34754 25,000,000.003137EADQ9 05/13/2016 1330.50012/18/2013 25,002,125.00 0.457 0.46325,003,334.34FHLMC NOTES34971 20,000,000.003137EADQ9 05/13/2016 1330.50004/01/2014 20,001,700.00 0.502 0.50919,999,272.44FHLMC NOTES35207 10,000,000.003137EADN6 01/12/2018 7420.75007/09/2014 9,919,520.00 1.255 1.2739,896,456.14FHLMC NOTES35498 25,000,000.003137EADH9 06/29/2017 5451.00012/10/2014 24,997,525.00 0.891 0.90325,035,417.85FHLMC NOTES35507 15,000,000.003137EADT3 02/22/2017 4180.87512/11/2014 14,992,185.00 0.701 0.71015,027,824.34FHLMC NOTES35508 16,917,000.003137EADC0 03/08/2017 4321.00012/11/2014 16,931,024.19 0.760 0.77016,962,462.77FHLMC NOTES35546 16,850,000.003137EADC0 03/08/2017 4321.00012/29/2014 16,863,968.65 0.873 0.88516,872,615.31FHLMC NOTES35556 25,000,000.003137EADJ5 07/28/2017 5741.00012/30/2014 24,958,425.00 0.987 1.00124,999,541.76FHLMC NOTES35755 20,000,000.003134G3M31 09/27/2017 6351.00003/23/2015 19,947,980.00 0.885 0.89720,035,039.38FHLMC NOTES35756 15,000,000.003134G3B90 08/15/2017 5920.87503/24/2015 14,961,720.00 0.836 0.84815,006,409.76FHLMC NOTES35760 10,000,000.003137EADN6 01/12/2018 7420.75003/25/2015 9,919,520.00 0.898 0.9119,967,769.22FHLMC NOTES35761 10,000,000.003137EADN6 01/12/2018 7420.75003/25/2015 9,919,520.00 0.921 0.9339,963,195.93FHLMC NOTES35785 5,000,000.003137EADN6 01/12/2018 7420.75003/30/2015 4,959,760.00 0.914 0.9264,982,308.63FHLMC NOTES35873 30,000,000.003137EADM8 10/02/2019 1,3701.25004/16/2015 29,591,070.00 1.296 1.31429,929,589.85FHLMC NOTES35893 25,000,000.003134G6TF0 06/29/2018 9100.93004/21/2015 24,765,225.00 0.922 0.93424,997,066.64FHLMC NOTES35942 10,000,000.003134G3ZH6 07/25/2017 5711.00005/01/2015 10,003,040.00 0.742 0.75310,038,280.45FHLMC NOTES36322 10,000,000.003137EADM8 10/02/2019 1,3701.25010/29/2015 9,863,690.00 1.343 1.3629,959,173.60FHLMC NOTES36332 18,350,000.003137EADM8 10/02/2019 1,3701.25011/04/2015 18,099,871.15 1.456 1.47618,199,106.83FHLMC NOTES36337 8,000,000.003137EADM8 10/02/2019 1,3701.25011/06/2015 7,890,952.00 1.519 1.5407,915,749.87FHLMC NOTES36340 10,000,000.003137EADM8 10/02/2019 1,3701.25011/09/2015 9,863,690.00 1.576 1.5989,873,759.02FHLMC NOTES36396 29,299,000.003134G85H8 11/26/2018 1,0601.40011/30/2015 29,232,403.37 1.390 1.41029,290,463.53FHLMC NOTES36436 20,000,000.003137EADX4 12/15/2017 7141.00012/11/2015 19,946,500.00 1.031 1.04619,979,969.06FHLMC NOTES36437 15,000,000.003137EADX4 12/15/2017 7141.00012/11/2015 14,959,875.00 1.031 1.04614,984,976.80FNMA NOTES32277 20,000,000.003135G0ES8 11/15/2016 3191.37502/06/2012 20,092,860.00 0.941 0.95420,071,567.89FNMA NOTES32308 15,000,000.0031359M4D2 02/13/2017 4095.00002/22/2012 15,678,120.00 1.132 1.14715,625,389.45FNMA NOTES33714 20,000,000.003135G0ES8 11/15/2016 3191.37510/29/2012 20,092,860.00 0.654 0.66320,122,235.71FNMA NOTES34271 20,000,000.003135G0XP3 07/05/2016 1860.37505/17/2013 19,975,880.00 0.481 0.48819,988,451.06FNMA NOTES34555 25,000,000.003135G0YE7 08/26/2016 2380.62509/27/2013 25,001,275.00 0.722 0.73224,982,638.23FNMA NOTES34664 15,000,000.003135G0XP3 07/05/2016 1860.37511/20/2013 14,981,910.00 0.508 0.51514,989,339.68

Portfolio SCL2AP


16

December 31, 2015


MaturityDate





YTM365


FNMA NOTES34692 25,000,000.003135G0XP3 07/05/2016 1860.37511/27/2013 24,969,850.00 0.574 0.58224,984,022.60FNMA NOTES34720 30,000,000.003135G0XP3 07/05/2016 1860.37512/10/2013 29,963,820.00 0.526 0.53329,975,831.35FNMA NOTES34721 25,000,000.003135G0YE7 08/26/2016 2380.62512/10/2013 25,001,275.00 0.574 0.58225,006,922.39FNMA NOTES34738 30,000,000.003135G0GY3 01/30/2017 3951.25012/13/2013 30,112,500.00 0.786 0.79730,144,451.20FNMA NOTES34739 25,000,000.003135G0XP3 07/05/2016 1860.37512/13/2013 24,969,850.00 0.655 0.66524,975,283.73FNMA NOTES34750 35,000,000.003135G0XP3 07/05/2016 1860.37512/17/2013 34,957,790.00 0.606 0.61534,973,026.36FNMA NOTES34913 10,000,000.003135G0ZB2 04/20/2017 4750.75003/10/2014 9,971,650.00 0.852 0.8639,985,385.63FNMA NOTES35447 10,000,000.003135G0VC4 02/28/2018 7891.13011/25/2014 9,954,570.00 1.170 1.1869,987,944.25FNMA NOTES35454 6,000,000.003135G0VC4 02/28/2018 7891.13011/26/2014 5,972,742.00 1.148 1.1645,995,664.18FNMA NOTES35750 16,365,000.003135G0PP2 09/20/2017 6281.00003/20/2015 16,328,947.91 0.909 0.92216,386,610.53FNMA NOTES35762 15,000,000.003135G0WJ8 05/21/2018 8710.87503/25/2015 14,859,390.00 1.022 1.03614,943,107.71FNMA NOTES35814 25,000,000.003135G0YM9 09/18/2018 9911.87504/07/2015 25,350,075.00 1.009 1.02325,566,242.75FNMA NOTES35847 7,000,000.003135G0UU5 03/06/2020 1,5261.75004/13/2015 6,996,241.00 1.474 1.4947,071,767.07FNMA NOTES35856 14,584,000.003135G0UU5 03/06/2020 1,5261.75004/14/2015 14,576,168.39 1.469 1.48914,736,346.93FNMA NOTES35943 10,000,000.003135G0MZ3 08/28/2017 6050.87505/01/2015 9,965,930.00 0.755 0.76510,017,883.11FNMA NOTES36088 7,370,000.003136FTZZ5 01/30/2019 1,1251.75006/26/2015 7,436,661.65 1.397 1.4177,443,395.75FNMA NOTES36128 4,619,000.003136FPYB7 05/23/2017 5082.05007/16/2015 4,685,555.17 0.727 0.7374,702,815.25FNMA NOTES36347 10,000,000.003135G0A78 01/21/2020 1,4811.62511/13/2015 9,962,290.00 1.650 1.6739,981,217.51FNMA NOTES36361 20,000,000.003135G0A78 01/21/2020 1,4811.62511/18/2015 19,924,580.00 1.585 1.60720,006,022.62FNMA NOTES36378 15,000,000.003135G0WJ8 05/21/2018 8710.87511/20/2015 14,859,390.00 1.152 1.16814,896,485.02FNMA NOTES36383 10,000,000.003135G0A78 01/21/2020 1,4811.62511/24/2015 9,962,290.00 1.635 1.6589,987,028.72FNMA NOTES36384 10,000,000.003135G0A78 01/21/2020 1,4811.62511/24/2015 9,962,290.00 1.633 1.6569,987,808.95

Subtotal and Average 2,645,857,406.53 2,640,959,000.00 2,639,224,813.89 0.786 0.797 519

Federal Agency Bonds - CALLABLE

FFCB NOTES36323 15,000,000.003133EFKM8 10/20/2017 6580.71010/29/2015 14,885,325.00 0.791 0.80214,975,354.43FFCB NOTES36492 13,300,000.003133EFMU8 05/02/2018 8520.95012/31/2015 13,179,661.60 1.324 1.34313,180,034.00FHLB NOTES35595 35,000,000.003130A3UU6 01/27/2017 3920.87501/27/2015 34,948,165.00 0.863 0.87535,000,000.00FHLB NOTES35712 15,000,000.003130A3UU6 01/27/2017 3920.87503/09/2015 14,977,785.00 0.832 0.84415,004,867.70FHLB NOTES35782 6,875,000.003130A4MS8 06/30/2017 5461.00003/30/2015 6,864,309.38 0.986 1.0006,875,000.00FHLB NOTES35783 7,500,000.003130A4NZ1 03/29/2019 1,1831.60003/30/2015 7,509,795.00 1.580 1.6027,499,391.24FHLB NOTES35844 5,000,000.003130A4QS4 04/13/2018 8331.25004/13/2015 5,003,530.00 1.232 1.2505,000,000.00

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YTM365


FHLB NOTES35846 10,600,000.003130A4RJ3 07/13/2018 9241.20004/13/2015 10,571,337.60 1.183 1.20010,600,000.00FHLB NOTES35866 5,000,000.003130A4PZ9 10/15/2018 1,0181.45004/15/2015 4,980,565.00 1.430 1.4505,000,000.00FHLB NOTES35905 10,000,000.003130A4YH9 04/20/2018 8401.10004/23/2015 9,946,670.00 1.084 1.09910,000,000.00FHLB NOTES35914 10,000,000.003130A4Y55 04/27/2018 8471.12504/27/2015 9,944,770.00 1.109 1.12510,000,000.00FHLB NOTES35915 10,000,000.003130A4Y55 04/27/2018 8471.12504/27/2015 9,944,770.00 1.109 1.12510,000,000.00FHLB NOTES35916 20,000,000.003130A4Y55 04/27/2018 8471.12504/27/2015 19,889,540.00 1.109 1.12520,000,000.00FHLB NOTES35929 5,000,000.003130A4Z88 10/29/2018 1,0321.22004/29/2015 4,940,590.00 1.203 1.2205,000,000.00FHLB NOTES35935 5,000,000.003130A4Z88 10/29/2018 1,0321.22004/29/2015 4,940,590.00 1.203 1.2205,000,000.00FHLB NOTES36041 10,000,000.003130A4HT2 09/18/2017 6261.75006/15/2015 10,022,630.00 1.287 1.30510,074,753.38FHLB NOTES36117 7,250,000.003130A3XL3 02/10/2020 1,5011.50007/09/2015 7,162,275.00 1.624 1.6467,208,044.24FHLB NOTES36138 7,325,000.003130A5SS9 01/22/2019 1,1171.45007/22/2015 7,333,833.95 1.430 1.4507,325,000.00FHLB NOTES36151 25,000,000.003130A5XK0 07/28/2017 5740.80007/28/2015 24,923,325.00 0.789 0.80025,000,000.00FHLB NOTES36486 25,000,000.003130A6WL7 06/29/2018 9101.30012/29/2015 24,961,325.00 1.282 1.30025,000,000.00FHLMC NOTES35911 10,000,000.003134G6TW3 07/27/2018 9381.15004/27/2015 9,936,540.00 1.134 1.15010,000,000.00FHLMC NOTES35912 12,500,000.003134G6TW3 07/27/2018 9381.15004/27/2015 12,420,675.00 1.140 1.15612,498,021.37FHLMC NOTES35913 15,000,000.003134G6TW3 07/27/2018 9381.15004/27/2015 14,904,810.00 1.134 1.15015,000,000.00FHLMC NOTES35930 10,000,000.003134G6UE1 10/29/2018 1,0321.25004/29/2015 9,945,450.00 1.232 1.25010,000,000.00FHLMC NOTES35931 6,135,000.003134G6UW1 04/29/2019 1,2141.40004/29/2015 6,136,079.76 1.380 1.4006,135,000.00FHLMC NOTES36008 5,000,000.003134G6L76 05/25/2018 8751.25005/29/2015 4,986,945.00 1.232 1.2505,000,000.00FHLMC NOTES36066 10,000,000.003134G67C1 06/22/2018 9031.20006/22/2015 9,933,420.00 1.225 1.2429,989,687.50FHLMC NOTES36076 10,000,000.003134G64W0 06/23/2017 5390.90006/23/2015 9,972,830.00 0.892 0.9059,999,261.11FHLMC NOTES36087 10,000,000.003134G64W0 06/23/2017 5390.90006/26/2015 9,972,830.00 0.866 0.87810,003,116.32FHLMC NOTES36094 6,425,000.003134G6V26 06/29/2018 9101.25006/29/2015 6,432,523.68 1.232 1.2506,425,000.00FHLMC NOTES36147 5,750,000.003134G7GW5 07/27/2018 9381.25007/27/2015 5,751,454.75 1.253 1.2705,747,041.94FHLMC NOTES36148 15,000,000.003134G6FY4 09/11/2017 6190.75007/27/2015 15,005,400.00 1.329 1.34815,025,988.87FHLMC NOTES36309 2,000,000.003134G34W7 01/30/2018 7601.25010/26/2015 2,003,472.00 0.805 0.8162,017,814.05FHLMC NOTES36319 15,000,000.003134G7Z20 10/29/2018 1,0321.25010/29/2015 14,915,370.00 1.232 1.25015,000,000.00FHLMC NOTES36320 20,000,000.003134G7Z20 10/29/2018 1,0321.25010/29/2015 19,887,160.00 1.232 1.25020,000,000.00FHLMC NOTES36393 5,000,000.003134G74S7 08/27/2018 9691.00011/27/2015 4,957,870.00 1.086 1.1015,000,000.00FHLMC NOTES36487 10,465,000.003134G8AB5 06/29/2018 9101.20012/29/2015 10,455,947.78 1.183 1.20010,465,000.00FHLMC NOTES36488 12,000,000.003134G8DY2 09/29/2017 6371.00012/29/2015 11,987,424.00 1.152 1.16812,000,000.00FHLMC NOTES36490 5,000,000.003134G8FC8 12/30/2020 1,8252.10012/30/2015 5,000,235.00 2.071 2.1005,000,000.00

Portfolio SCL2AP


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MaturityDate





YTM365


FNMA NOTES34258 40,000,000.003135G0WY5 11/14/2016 3180.55005/14/2013 39,949,000.00 0.553 0.56139,996,025.00FNMA NOTES34358 50,000,000.003135G0XC2 08/22/2016 2340.50006/20/2013 49,855,150.00 0.713 0.72349,929,203.15FNMA NOTES34398 50,000,000.003135G0VX8 09/26/2016 2690.62507/10/2013 49,985,050.00 0.946 0.96049,878,847.32FNMA NOTES34414 50,000,000.003135G0VX8 09/26/2016 2690.62507/17/2013 49,985,050.00 0.887 0.90049,900,426.11FNMA NOTES34464 10,500,000.003135G0XA6 05/21/2018 8711.03008/12/2013 10,433,566.50 1.578 1.60010,362,842.76FNMA NOTES35605 15,000,000.003135G0B77 01/30/2018 7602.00001/30/2015 15,199,905.00 1.175 1.19115,247,170.00FNMA NOTES35645 10,000,000.003135G0C27 08/13/2018 9551.35002/13/2015 9,980,470.00 1.334 1.3529,999,252.38FNMA NOTES35845 30,000,000.003136G2GD3 04/13/2018 8331.05004/13/2015 29,943,150.00 1.069 1.08329,977,166.67FNMA NOTES36003 7,500,000.003136G2JB4 08/27/2018 9691.20005/27/2015 7,510,680.00 1.183 1.2007,500,000.00FNMA NOTES36077 9,670,000.003136G2K71 05/25/2018 8751.25006/24/2015 9,684,920.81 1.213 1.2309,674,372.20FNMA NOTES36089 13,915,000.003136G2KD8 05/18/2018 8681.15006/26/2015 13,831,885.71 1.181 1.19713,899,549.94FNMA NOTES36093 5,300,000.003136G2KZ9 06/29/2018 9101.20006/29/2015 5,306,980.10 1.191 1.2085,298,898.29FNMA NOTES36227 1,000,000.003135G0E41 06/08/2018 8891.75009/16/2015 1,002,223.00 0.676 0.6851,006,885.61FNMA NOTES36305 25,000,000.003135G0F99 10/26/2018 1,0291.62510/26/2015 25,093,575.00 1.271 1.28925,231,429.40FNMA NOTES36321 13,000,000.003136G2PP6 10/29/2018 1,0321.07010/29/2015 12,943,190.00 1.057 1.07112,999,387.31


US Treasury Notes

U.S. TREASURY NOTES34755 50,000,000.00912828VG2 06/15/2016 1660.50012/18/2013 49,996,100.00 0.460 0.46650,007,481.97U.S. TREASURY NOTES34997 50,000,000.00912828VG2 06/15/2016 1660.50004/09/2014 49,996,100.00 0.493 0.49950,000,000.00U.S. TREASURY NOTES35045 35,000,000.00912828VL1 07/15/2016 1960.62504/24/2014 35,002,730.00 0.532 0.54035,015,821.03U.S. TREASURY NOTES35886 25,000,000.00912828VK3 06/30/2018 9111.37504/20/2015 25,098,625.00 0.895 0.90725,286,639.09U.S. TREASURY NOTES35887 15,000,000.00912828VQ0 07/31/2018 9421.37504/20/2015 15,057,420.00 0.918 0.93115,168,626.75


Corporate Bonds

APPLE INC35970 3,000,000.00037833BB5 05/12/2017 4970.90005/13/2015 2,990,724.00 0.922 0.9342,998,586.41BERKSHIRE HATHWY34456 10,000,000.00084664BX8 08/15/2016 2270.95008/15/2013 10,005,600.00 0.954 0.9679,998,900.74CHEVRON CORP.34349 5,000,000.00166764AC4 06/24/2016 1750.88906/24/2013 5,001,235.00 0.876 0.8895,000,000.00CHEVRON CORP.35280 10,000,000.00166764AA8 12/05/2017 7041.10408/19/2014 9,931,240.00 1.202 1.2199,978,290.56CHEVRON CORP.35427 30,000,000.00166764AL4 11/15/2017 6841.34511/18/2014 29,905,590.00 1.326 1.34530,000,000.00CHEVRON CORP.35694 10,000,000.00166764AV2 03/02/2018 7911.36503/03/2015 9,919,980.00 1.346 1.36510,000,000.00

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YTM365

Corporate Bonds

CHEVRON CORP.36355 10,000,000.00166764BC3 11/09/2017 6781.34411/17/2015 9,977,620.00 1.340 1.35910,000,000.00IBM35633 10,000,000.00459200HZ7 02/06/2018 7671.12502/06/2015 9,933,040.00 1.212 1.2289,978,678.24IBM35644 10,000,000.00459200HK0 02/08/2018 7691.25002/13/2015 9,980,790.00 1.286 1.3049,988,873.86JOHNSON & JOHNSON34700 30,000,000.00478160BF0 11/28/2016 3320.70012/05/2013 29,946,870.00 0.730 0.74129,988,937.47JOHNSON & JOHNSON35435 30,000,000.00478160BL7 11/21/2017 6901.12511/21/2014 29,993,100.00 1.136 1.15129,985,077.78MICROSOFT CORP36329 20,000,000.00594918BF0 11/03/2018 1,0371.30011/03/2015 19,964,300.00 1.315 1.33419,981,074.07U S BANK35627 10,000,000.0090331HMF7 04/22/2016 1120.37702/04/2015 10,000,560.00 0.336 0.34110,001,238.83WALMART35034 10,000,000.00931142DN0 04/21/2017 4761.00004/22/2014 10,007,330.00 0.991 1.0059,999,346.62WALMART35269 9,000,000.00931142DN0 04/21/2017 4761.00008/13/2014 9,006,597.00 0.917 0.9309,008,084.19WALMART34176 2,000,000.00931142DE0 04/11/2016 1010.60004/11/2013 1,999,924.00 0.615 0.6231,999,868.52WALMART34931 8,000,000.00931142DE0 04/11/2016 1010.60003/18/2014 7,999,696.00 0.464 0.4708,002,853.30EXXON MOBIL CORP34942 10,000,000.0030231GAA0 03/15/2017 4390.92103/20/2014 9,988,480.00 0.908 0.92110,000,000.00EXXON MOBIL CORP35710 50,000,000.0030231GAL6 03/06/2018 7951.30503/06/2015 49,920,550.00 1.287 1.30550,000,000.00


Asset Backed Securities (ABS)

BMW VEHICLE LEASE TRUST35060 0.0009657YAD4 06/20/2016 1710.66004/29/2014 0.00 0.465 0.4710.00BMW VEHICLE LEASE TRUST36274 30,000,000.0005581QAD0 02/20/2019 1,1461.40010/14/2015 29,843,301.00 1.342 1.36129,999,487.00BMW VEHICLE OWNER TRUST35376 2,676,185.5209658UAB5 04/25/2017 4800.53010/15/2014 2,674,113.62 0.526 0.5342,676,095.06CHASE ISSUANCE TRUST (ABS)34436 0.00161571FJ8 06/15/2017 5310.79007/29/2013 0.00 0.622 0.6310.00CHASE ISSUANCE TRUST (ABS)35420 0.00161571FJ8 06/15/2017 5310.79011/13/2014 0.00 0.419 0.4250.00CHASE ISSUANCE TRUST (ABS)35953 25,000,000.00161571GY4 04/15/2020 1,5661.36005/06/2015 24,857,022.50 1.352 1.37124,995,595.00HONDA AUTO RECEIVABLES OWNER T34430 0.0043812XAB1 01/15/2016 140.54007/24/2013 0.00 0.518 0.5250.00HONDA AUTO RECEIVABLES OWNER T35457 4,785,013.0643814JAB0 01/17/2017 3820.58011/26/2014 4,781,601.35 0.572 0.5804,784,999.18HONDA AUTO RECEIVABLES OWNER T35986 7,000,000.0043813NAC0 02/21/2019 1,1471.04005/20/2015 6,960,293.90 1.036 1.0506,998,925.50JOHN DEERE OWNER TRUST35311 3,741,155.57477877AB0 07/17/2017 5630.54009/03/2014 3,738,101.66 0.538 0.5463,740,840.94JOHN DEERE OWNER TRUST35725 12,043,291.9447787UAB9 02/15/2018 7760.87003/11/2015 12,027,415.27 0.863 0.87512,042,516.35JOHN DEERE OWNER TRUST35726 6,000,000.0047787UAD5 06/17/2019 1,2631.32003/11/2015 5,968,236.00 1.309 1.3275,999,523.00JOHN DEERE OWNER TRUST36216 5,750,000.0047787WAC3 10/15/2019 1,3831.44009/09/2015 5,722,497.18 1.552 1.5735,748,903.48NISSAN AUTO LEASE TRUST36078 2,946,040.5665473DAB8 11/15/2017 6840.99006/24/2015 2,941,587.91 0.985 0.9992,945,770.11TOYOTA AUTO REC OWNER TRUST34933 6,887,675.0489231MAC9 12/15/2017 7140.67003/19/2014 6,873,127.58 0.671 0.6806,886,402.20TOYOTA AUTO REC OWNER TRUST35375 1,607,542.7889190AAB6 02/15/2017 4110.51010/15/2014 1,606,851.54 0.508 0.5151,607,444.56

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MaturityDate





YTM365

Asset Backed Securities (ABS)

TOYOTA AUTO REC OWNER TRUST35701 7,851,044.7489236WAB4 07/17/2017 5630.71003/04/2015 7,844,428.66 0.702 0.7117,850,970.16TOYOTA AUTO REC OWNER TRUST36060 10,000,000.0089237CAB7 11/15/2017 6840.77006/17/2015 9,988,409.00 0.766 0.7769,999,326.00VOLKSWAGEN AUTO LOAN ENHANCED35064 10,000,000.0092867RAC3 10/22/2018 1,0250.91004/30/2014 9,928,289.00 0.908 0.9209,998,030.00VOLKSWAGEN AUTO LOAN ENHANCED35065 2,162,766.9992867RAB5 03/20/2017 4440.42004/30/2014 2,161,606.88 0.415 0.4212,162,728.49VOLKSWAGEN AUTO LOAN ENHANCED35706 8,867,881.9392867VAB6 06/20/2017 5360.98003/05/2015 8,850,811.26 0.885 0.8988,867,838.48


Municipal Bonds

CALIFORNIA ST32542 19,250,000.0013063BFQ0 03/01/2017 4255.75004/23/2012 20,286,227.50 2.190 2.22119,997,214.96CALIFORNIA ST34625 12,500,000.0013063CFD7 11/01/2016 3051.25011/05/2013 12,538,625.00 1.075 1.09012,516,345.26CALIFORNIA ST34645 5,000,000.0013063CFD7 11/01/2016 3051.25011/12/2013 5,015,450.00 0.899 0.9125,013,849.39CALIFORNIA ST34650 10,000,000.0013063CFC9 11/01/2017 6701.75011/13/2013 10,077,300.00 1.488 1.50810,042,705.88CALIFORNIA ST34729 9,085,000.0013063CFC9 11/01/2017 6701.75012/11/2013 9,155,227.05 1.678 1.7019,092,666.44CALIFORNIA ST35444 15,000,000.0013063CPM6 11/01/2016 3050.75011/25/2014 14,985,300.00 0.645 0.65415,011,896.55CALIFORNIA ST35534 12,450,000.0013063CPN4 11/01/2017 6701.25012/22/2014 12,434,811.00 1.236 1.25312,449,281.31CALIFORNIA ST36313 10,220,000.0013063CSQ4 04/01/2020 1,5521.80010/27/2015 10,123,727.60 1.632 1.65510,280,427.51CALIFORNIA ST36390 5,000,000.0013063CXU9 11/01/2017 6701.00011/25/2015 4,989,750.00 0.989 1.0025,000,000.00UNIVERSITY CALIFORNIA REVS35763 250,000.0091412GWV3 05/15/2019 1,2302.00303/25/2015 251,725.00 1.975 2.002250,000.00


Commercial Paper, Discount Notes

TOYOTA MOTOR CREDIT36366 40,000,000.0089299GFM3 06/21/2016 17211/19/2015 39,878,106.62 0.650 0.65939,878,106.62TOYOTA MOTOR CREDIT36397 35,000,000.0089233GGU4 07/28/2016 2090.71011/30/2015 34,855,098.38 0.724 0.73434,855,098.38


Federal Agency, Discount Notes

FARMER MAC36360 35,000,000.0031315KP61 11/15/2016 3190.61011/18/2015 34,806,135.00 0.621 0.62934,811,414.27FFCB DISCOUNT NOTE36103 20,000,000.00313312XF2 05/24/2016 1440.33506/30/2015 19,967,100.00 0.340 0.34519,973,105.26FFCB DISCOUNT NOTE36457 25,000,000.00313312G20 09/16/2016 2590.70012/16/2015 24,890,675.00 0.712 0.72224,874,742.05FHLB DISCOUNT NOTE36431 25,000,000.00313384RV3 01/15/2016 140.25512/10/2015 24,998,850.00 0.258 0.26224,997,542.13FHLB DISCOUNT NOTE36456 35,000,000.00313384SK6 01/29/2016 280.24512/16/2015 34,996,360.00 0.248 0.25134,993,387.67FHLB NOTES36205 15,000,000.00313384YV5 07/01/2016 1820.39008/31/2015 14,956,740.00 0.396 0.40114,970,327.91

Portfolio SCL2AP


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December 31, 2015


MaturityDate





YTM365

Federal Agency, Discount Notes

FHLB NOTES36403 35,000,000.00313384RJ0 01/04/2016 30.15012/02/2015 35,000,000.00 0.152 0.15434,999,566.17FHLB NOTES36406 35,000,000.00313384RL5 01/06/2016 50.16012/03/2015 34,999,720.00 0.162 0.16434,999,228.77FHLB NOTES36421 50,000,000.00313384SF7 01/25/2016 240.31012/09/2015 49,995,600.00 0.314 0.31849,989,755.91FHLB NOTES36463 25,000,000.00313384UY3 03/30/2016 890.46012/17/2015 24,982,075.00 0.467 0.47324,971,502.93FHLB NOTES36482 23,327,000.00313384TS8 02/29/2016 590.28012/28/2015 23,317,925.80 0.284 0.28723,316,387.51FHLB DISCOUNT36417 50,000,000.00313384SG5 01/26/2016 250.28012/08/2015 49,995,400.00 0.283 0.28749,990,361.13FHLB DISCOUNT36418 50,000,000.00313384SG5 01/26/2016 250.28012/08/2015 49,995,400.00 0.283 0.28749,990,361.13FHLB DISCOUNT36430 30,000,000.00313384RS0 01/12/2016 110.24512/10/2015 29,999,010.00 0.248 0.25129,997,773.44FHLB DISCOUNT36434 25,000,000.00313384RS0 01/12/2016 110.23012/11/2015 24,999,175.00 0.233 0.23624,998,258.10FHLB DISCOUNT36478 25,000,000.00313384TP4 02/26/2016 560.29012/23/2015 24,990,800.00 0.294 0.29824,988,819.03FHLMC DISCOUNT NOTE36459 25,000,000.00313396WJ8 05/03/2016 1230.50012/16/2015 24,965,000.00 0.507 0.51424,957,182.50FHLMC DISCOUNT NOTE36423 6,000,000.00313396SB0 01/21/2016 200.15012/09/2015 5,999,574.00 0.152 0.1545,999,504.19FHLMC DISCOUNT NOTE36427 10,002,000.00313396RM7 01/07/2016 60.15012/09/2015 10,001,869.97 0.152 0.15410,001,752.06FHLMC DISCOUNT NOTE36435 30,000,000.00313396WE9 04/29/2016 1190.51012/11/2015 29,966,160.00 0.518 0.52529,949,570.82FHLMC DISCOUNT NOTE36493 40,000,000.00313396ZY2 07/28/2016 2090.50012/31/2015 39,867,240.00 0.508 0.51539,883,749.19FNMA NOTES36362 30,000,000.00313588WZ4 05/18/2016 1380.36011/18/2015 29,952,750.00 0.365 0.37029,958,477.10FREDDIE MAC DISCOUNT NOTE36446 35,000,000.00313396VH3 04/08/2016 980.45012/15/2015 34,967,660.00 0.456 0.46334,957,255.55FARMER MAC DISCOUNT NOTE36450 10,000,000.0031315KH45 09/26/2016 2690.69012/15/2015 9,954,560.00 0.702 0.7129,948,689.46FARMER MAC DISCOUNT NOTE36460 10,000,000.0031315KH86 09/30/2016 2730.69012/16/2015 9,953,870.00 0.702 0.7129,947,920.98


Commercial Paper-Coupon

U S BANK36491 150,000,000.00SYS36491 01/04/2016 30.20012/31/2015 150,000,000.00 0.199 0.202150,000,000.00


Local Agency Investment Fund

LOCAL AGENCY INVEST FUND8506 40,032,215.82SYS8506 10.32007/01/2015 40,032,215.82 0.315 0.32040,032,215.82


Money Market

BLACKROCK36105 265,043,420.21SYS36105 10.33006/30/2015 265,043,420.21 0.325 0.330265,043,420.21DREYFUS CASH MANAGEMENT23519 268,414,456.69SYS23519 10.22002/01/2008 268,414,456.69 0.216 0.220268,414,456.69

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December 31, 2015


MaturityDate





YTM365

Money Market

MORGAN STANLEY GOVT INSTL 830234291 255,023,983.03SYS34291 10.16005/21/2013 255,023,983.03 0.157 0.160255,023,983.03MORGAN STANLEY TRSY INSTL 830434292 102.75SYS34292 10.03005/21/2013 102.75 0.029 0.030102.75


Supranationals

INTL BANK RECON & DEVELOP35802 12,500,000.0045905URF3 07/17/2017 5630.90004/06/2015 12,479,650.00 0.769 0.78012,522,856.27INTL BANK RECON & DEVELOP35936 15,000,000.00459058EJ8 06/15/2018 8961.00004/30/2015 14,875,170.00 1.034 1.04814,979,844.80INTL BANK RECON & DEVELOP35937 10,000,000.00459058EJ8 06/15/2018 8961.00004/30/2015 9,916,780.00 1.041 1.0559,986,563.20INTL BANK RECON & DEVELOP36258 15,000,000.00459058ER0 10/05/2018 1,0081.00010/07/2015 14,829,915.00 1.043 1.05714,976,487.01INTL BANK RECON & DEVELOP36259 25,000,000.00459058ER0 10/05/2018 1,0081.00010/07/2015 24,716,525.00 1.043 1.05724,960,811.69INTL BANK RECON & DEVELOP36352 20,000,000.00459058DN0 04/10/2018 8301.37511/16/2015 20,077,280.00 1.149 1.16520,092,516.67


Total Investments and Average 6,543,388,499.46 6,538,385,776.63 6,533,597,201.24 0.713 0.723 401

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MaturityDate


Fund WK - WORKERS COMPInvestments by Fund Page 13



YTM365


FHLMC NOTES34808 4,500,000.003137EADS5 10/14/2016 2870.87501/08/2014 4,503,325.50 0.739 0.7504,504,360.08FNMA NOTES34806 4,500,000.003135G0MZ3 08/28/2017 6050.87501/08/2014 4,484,668.50 1.170 1.1864,477,277.54FNMA NOTES34807 4,600,000.003135G0WJ8 05/21/2018 8710.87501/08/2014 4,556,879.60 1.527 1.5484,528,651.16


US Treasury Notes

U.S. TREASURY NOTES34790 4,500,000.00912828A59 12/15/2016 3490.62512/27/2013 4,492,971.00 0.784 0.7954,492,756.00U.S. TREASURY NOTES34791 4,500,000.00912828UE8 12/31/2017 7300.75012/27/2013 4,469,589.00 1.309 1.3274,449,547.78U.S. TREASURY NOTES34792 4,500,000.00912828A75 12/31/2018 1,0951.50012/31/2013 4,520,389.50 1.721 1.7454,468,376.71


Money Market

DREYFUS CASH MANAGEMENT34789 449,415.24SYS34789 10.04012/26/2013 449,415.24 0.039 0.040449,415.24

Subtotal and Average 449,415.24 449,415.24 449,415.24 0.039 0.040 1

Total Investments and Average 27,370,384.51 27,549,415.24 27,477,238.34 1.190 1.206 645

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December 31, 2015


MaturityDate


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



YTM365

Municipal Bonds

SAN FRANCISCO CITY & CNTY CA32345 70,000.00797646QR0 06/15/2016 1665.00003/08/2012 71,457.40 1.084 1.09971,376.18WASHINGTON ST32356 75,000.0093974CR36 02/01/2016 315.00003/09/2012 75,271.50 0.710 0.72075,263.29


Money Market - Tax Exempt

BLACKROCK TAX FREE INST33614 1,873,844.37SYS33614 10.02009/25/2012 1,873,844.37 0.019 0.0201,873,844.37



Portfolio SCL2AP


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December 31, 2015


MaturityDate


Fund PA - PALO ALTO UNIFIEDInvestments by Fund Page 15



YTM365

Municipal Bonds

SAN FRANCISCO CITY & CNTY CA32346 135,000.00797646QR0 06/15/2016 1665.00003/08/2012 137,810.70 1.084 1.099137,654.06WASHINGTON ST32357 150,000.0093974CR36 02/01/2016 315.00003/09/2012 150,543.00 0.710 0.720150,526.58



BLACKROCK TAX FREE INST33612 313,884.32SYS33612 10.02009/25/2012 313,884.32 0.019 0.020313,884.32


Total Investments and Average 602,064.96 598,884.32 602,238.02 0.436 0.442 46

Portfolio SCL2AP


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December 31, 2015


MaturityDate


Fund PCF - PARK CHARTER FUNDInvestments by Fund Page 16



YTM365

US Treasury Notes

U.S. TREASURY NOTES33529 4,000,000.00912828SM3 03/31/2017 4551.00009/13/2012 4,006,248.00 0.603 0.6114,019,015.44U.S. TREASURY NOTES33531 7,000,000.00912828KT6 03/31/2016 902.37509/13/2012 7,033,362.00 0.413 0.4187,033,464.95


Money Market

DREYFUS CASH MANAGEMENT FUND33657 318,275.66SYS33657 10.04009/30/2012 318,275.66 0.039 0.040318,275.66



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Fund SJE - SAN JOSE- EVERGREENInvestments by Fund Page 17



YTM365

Municipal Bonds

ALASKA ST35082 200,000.00011770Z56 08/01/2019 1,3085.00005/08/2014 226,776.00 1.252 1.270225,780.82ALASKA ST35083 250,000.00011770Z56 08/01/2019 1,3085.00005/08/2014 283,470.00 1.252 1.270282,226.02ARKANSAS ST34919 500,000.00041042UD2 10/01/2017 6395.00003/10/2014 535,680.00 0.562 0.570538,316.39DELAWARE ST34859 750,000.00246381AZ0 07/01/2017 5475.00001/30/2014 797,707.50 0.552 0.560799,402.76DELAWARE ST34872 100,000.00246380B65 03/01/2018 7905.00002/07/2014 108,833.00 0.818 0.830108,865.57FLORIDA STATE BOARD EDUCATION34972 350,000.0034153P3H9 06/01/2019 1,2475.00004/01/2014 395,339.00 1.351 1.370391,765.44FLORIDA STATE BOARD EDUCATION35185 1,065,000.00341150M31 07/01/2020 1,6435.00006/27/2014 1,238,200.95 1.588 1.6101,219,256.49GEORGIA ST34845 500,000.00373384N28 12/01/2018 1,0655.00001/22/2014 557,075.00 1.055 1.070555,696.83GEORGIA ST34915 350,000.00373384YJ9 07/01/2019 1,2775.00003/10/2014 396,945.50 1.035 1.050396,938.46GEORGIA ST35212 485,000.00373384Q82 02/01/2017 3975.00007/10/2014 507,979.30 0.483 0.490508,517.44LOS ANGELES CALIF DEPT WTR & P34702 500,000.00544525RT7 07/01/2018 9125.00012/05/2013 550,675.00 0.946 0.960549,289.49LOS ANGELES CALIF DEPT WTR & P34703 500,000.00544525RS9 07/01/2017 5475.00012/05/2013 531,805.00 0.602 0.610532,517.57MASSACHUSETTS ST35081 530,000.0057582PK74 04/01/2019 1,1865.00005/08/2014 593,727.20 1.242 1.260592,277.31MARYLAND ST34837 500,000.00574193HF8 08/01/2017 5784.50001/22/2014 529,440.00 0.582 0.590530,588.65MARYLAND ST34869 205,000.005741925H9 03/01/2019 1,1555.00002/05/2014 230,112.50 1.114 1.130229,347.80MARYLAND ST34870 100,000.005741927Y0 03/15/2019 1,1695.00002/05/2014 112,398.00 1.114 1.130112,019.79MARYLAND ST35122 440,000.00574193JK5 03/01/2019 1,1555.00006/02/2014 493,900.00 1.095 1.110492,648.92MARYLAND ST35289 700,000.00574193KQ0 08/01/2018 9435.00008/21/2014 771,792.00 0.798 0.810774,420.30METROPOLITAN WATER DISTRICT33072 500,000.0059266THW4 07/01/2016 1825.00006/28/2012 511,355.00 0.724 0.734510,680.69MINNESOTA ST34860 1,000,000.00604129P91 10/01/2018 1,0045.00001/30/2014 1,107,970.00 1.035 1.0501,105,725.64MINNESOTA ST35288 200,000.006041294D5 08/01/2020 1,6745.00008/21/2014 233,112.00 1.410 1.430231,263.64NORTH CAROLINA ST34874 785,000.00658256T77 05/01/2018 8515.00002/07/2014 858,892.05 0.877 0.890858,710.88NORTH CAROLINA ST34900 115,000.00658256B43 03/01/2019 1,1555.00003/03/2014 129,125.45 1.035 1.050128,977.68NORTH CAROLINA ST35131 365,000.00658256T93 05/01/2020 1,5825.00006/05/2014 423,206.55 1.400 1.420419,125.14NEW HAMPSHIRE ST34961 840,000.00644682F27 07/01/2018 9125.00003/27/2014 922,513.20 1.045 1.060920,681.07NEW YORK ST POWER AUTH35132 150,000.00649791BE9 03/01/2017 4253.00006/05/2014 154,093.50 0.523 0.530154,284.77OHIO ST34836 750,000.006775213U8 03/01/2018 7903.00001/22/2014 783,825.00 0.936 0.949782,592.29OHIO ST34841 250,000.006775213T1 03/01/2017 4252.00001/22/2014 253,897.50 0.592 0.600254,038.61OREGON ST32420 500,000.0068608UMS2 11/01/2016 3055.00004/04/2012 518,500.00 1.045 1.060515,982.70SAN FRANCISCO CITY & CNTY CA34839 100,000.0079771TJS7 06/15/2018 8965.00001/23/2014 109,905.00 0.976 0.990109,611.68SAN FRANCISCO CITY & CNTY CA34852 450,000.00797646XK7 06/15/2017 5315.00001/28/2014 477,909.00 0.564 0.572478,836.58SAN FRANCISCO CITY & CNTY CA34853 450,000.00797646XL5 06/15/2018 8965.00001/28/2014 495,144.00 0.925 0.938494,201.96

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YTM365

Municipal Bonds

TEXAS STATE REFUNDING35100 170,000.00882722D99 10/01/2017 6395.00005/20/2014 182,345.40 0.631 0.640182,811.32VERMONT ST34946 100,000.00924258ZN9 08/15/2019 1,3225.00003/21/2014 113,757.00 1.262 1.280112,978.29WASHINGTON ST32358 775,000.0093974CR36 02/01/2016 315.00003/09/2012 777,805.50 0.710 0.720777,720.68WASHINGTON ST34840 250,000.0093974CJH4 01/01/2018 7315.00001/23/2014 270,132.50 0.858 0.870270,255.71WISCONSIN STATE34867 500,000.0097705L3U9 05/01/2017 4865.00002/04/2014 528,115.00 0.612 0.620528,861.70WISCONSIN STATE34880 250,000.0097705L4E4 05/01/2019 1,2165.00002/13/2014 281,342.50 1.198 1.214279,980.83WISCONSIN STATE34881 100,000.0097705L4E4 05/01/2019 1,2165.00002/13/2014 112,537.00 1.169 1.185112,099.04



BLACKROCK TAX FREE INST33615 1,757,110.33SYS33615 10.02009/25/2012 1,757,110.33 0.019 0.0201,757,110.33



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SANTA CLARA COUNTY INVESTMENTSTransaction Activity Report

October 1, 2015 - December 31, 2015Sorted by Transaction Date - Transaction Date

COMMINGLED POOL Fund

TotalCashInterest

PrincipalPaydowns

NewPrincipalFundInvestment # IssuerDealerTransactionTypeInv DescripCUSIP

36251 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTE9033E1X2536250 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3625036249 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E1X1734291 COMM 75,000,000.00 75,000,000.00MORGAN STANLEYRedemptionMSGI 0.%SYS3429135799 COMM 64,675.00 64,675.00FFCB NOTESINCAPITAL LLCInterestFEDERAL FARM CR3133EEWG1

Totals for 10/01/2015 199,999,722.22 175,000,000.00 64,675.00 -24,935,047.22

36253 COMM 99,999,166.66 -99,999,166.66U S BANKU S BANKPurchaseUSB DISC NOTE9033E1X5836252 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.07% MATSYS3625236250 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3625036251 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E1X2535873 COMM 187,500.00 187,500.00FHLMC NOTESDaiwa Capital MarketInterestFEDERAL HOME LN3137EADM835873 COMM 14,583.33 -14,583.33 0.00FHLMC NOTESDaiwa Capital MarketAccr IntFEDERAL HOME LN3137EADM836250 COMM 166.67 166.67U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS3625034291 COMM 3,425.55 3,425.55MORGAN STANLEYInterestMSGI 0.%SYS3429134291 COMM 3,425.55 -3,425.55MORGAN STANLEYPurchaseMSGI 0.%SYS3429136105 COMM 2,928.69 2,928.69BLACKROCKInterestBLACKR 0.04%SYS3610536105 COMM 2,928.69 -2,928.69BLACKROCKPurchaseBLACKR 0.04%SYS36105

Totals for 10/02/2015 200,005,520.90 200,014,583.33 179,437.58 188,500.01

36255 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTE9033E1X6636254 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3625436252 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.07% MATSYS3625236253 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E1X5834291 COMM 125,000,000.00 125,000,000.00MORGAN STANLEYRedemptionMSGI 0.%SYS3429136105 COMM 75,000,000.00 75,000,000.00BLACKROCKRedemptionBLACKR 0.04%SYS3610536252 COMM 583.33 583.33U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.07% MATSYS3625234291 COMM 3,534.95 3,534.95MORGAN STANLEYInterestMSGI 0.%SYS3429134291 COMM 3,534.95 -3,534.95MORGAN STANLEYPurchaseMSGI 0.%SYS3429134292 COMM 102.75 102.75MORGAN STANLEYInterestMSTI 0.%SYS3429234292 COMM 102.75 -102.75MORGAN STANLEYPurchaseMSTI 0.%SYS34292

Totals for 10/05/2015 200,003,359.92 400,000,000.00 4,221.03 200,000,861.11

36257 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTE9033E1X7436256 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3625636254 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS36254

Portfolio SCL2AP

Run Date: 01/28/2016 - 09:56 TA (PRF_TA) 7.1.1Report Ver. 7.3.5

30

Sorted by Transaction Date - Transaction DatePage 2Transaction Activity Report


TotalCashInterest

PrincipalPaydowns


36255 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E1X6636254 COMM 166.67 166.67U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS36254

Totals for 10/06/2015 399,999,722.22 200,000,000.00 166.67 -199,999,555.55

36258 COMM 14,974,500.00 -14,974,500.00INTL BANK RECON &Daiwa Capital MarketPurchaseIBRD 1.% MAT459058ER036259 COMM 24,957,500.00 -24,957,500.00INTL BANK RECON &MERRILL LYNCHPurchaseIBRD 1.% MAT459058ER036262 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTE9033E1X8236260 COMM 250,000,000.00 -250,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3626036256 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3625636257 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E1X7436256 COMM 500.00 500.00U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS36256

Totals for 10/07/2015 389,931,722.22 400,000,000.00 500.00 10,068,777.78

36264 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTE9033E1X9036263 COMM 250,000,000.00 -250,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3626336260 COMM 250,000,000.00 250,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3626036262 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E1X8236260 COMM 416.67 416.67U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS36260

Totals for 10/08/2015 349,999,722.22 350,000,000.00 416.67 694.45

36267 COMM 10,976,130.00 -10,976,130.00FHLB NOTESWELLS FARGOPurchaseFEDERAL HOME3130A6LZ836266 COMM 99,998,888.88 -99,998,888.88U S BANKU S BANKPurchaseUSB DISC NOTE9033E1XD136270 COMM 200,922,256.71 -200,922,256.71U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.07% MATSYS3627035825 COMM 7,500,000.00 7,500,000.00FHLB NOTESINCAPITAL LLCRedemptionFEDERAL HOME3130A4NY436263 COMM 250,000,000.00 250,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3626336264 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E1X9035825 COMM 52,500.00 52,500.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME3130A4NY436263 COMM 416.67 416.67U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS36263

Totals for 10/09/2015 311,897,275.59 357,500,000.00 52,916.67 45,655,641.08

34176 COMM 6,000.00 6,000.00WALMARTMORGAN STANLEYInterestWAL-MART STORES931142DE034931 COMM 24,000.00 24,000.00WALMARTJEFFERIES & CO,InterestWAL-MART STORES931142DE0

Totals for 10/11/2015 30,000.00 30,000.00

36269 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTE9033E1XE936268 COMM 200,000,000.00 -200,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.07% MATSYS3626836266 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E1XD136270 COMM 200,922,256.71 200,922,256.71U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.07% MATSYS3627035643 COMM 3,943.40 3,943.40ROYAL BANK OF RBC CAPITALInterestRBC 0.2917% MAT78009NTJ535844 COMM 31,250.00 31,250.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME3130A4QS435845 COMM 157,500.00 157,500.00FNMA NOTESBARCLAYS CAPITALInterestFEDERAL NATL MTG3136G2GD335846 COMM 63,600.00 63,600.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME3130A4RJ336270 COMM 1,562.73 1,562.73U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.07% MATSYS36270

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31



TotalCashInterest

PrincipalPaydowns


Totals for 10/13/2015 299,999,722.22 300,922,256.71 257,856.13 1,180,390.62

36274 COMM 29,999,487.00 -29,999,487.00BMW VEHICLECREDIT SUISSEPurchaseBMWLT 1.4% MAT05581QAD036273 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTE9033E1XF636272 COMM 200,000,000.00 -200,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.1% MATSYS3627235455 COMM 10,009,375.00 10,009,375.00FFCB NOTESCITIGROUP GLOBALRedemptionFEDERAL FARM CR3133EDXG235455 COMM -9,375.00 -9,375.00FFCB NOTESCITIGROUP GLOBALCap G/LFEDERAL FARM CR3133EDXG235467 COMM 8,012,500.00 8,012,500.00FFCB NOTESCITIGROUP GLOBALRedemptionFEDERAL FARM CR3133EDXG235467 COMM -12,500.00 -12,500.00FFCB NOTESCITIGROUP GLOBALCap G/LFEDERAL FARM CR3133EDXG236268 COMM 200,000,000.00 200,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.07% MATSYS3626836269 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E1XE934291 COMM 20,000,000.00 20,000,000.00MORGAN STANLEYRedemptionMSGI 0.%SYS3429134543 COMM 43,750.00 43,750.00FHLMC NOTESBARCLAYS CAPITALInterestFEDERAL HOME LN3137EADS535398 COMM 62,500.00 62,500.00FHLB NOTESMERRILL LYNCHInterestFEDERAL HOME3130A3CE235402 COMM 31,250.00 31,250.00FHLB NOTESDaiwa Capital MarketInterestFEDERAL HOME3130A3CE235407 COMM 31,250.00 31,250.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A3CE235408 COMM 46,875.00 46,875.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A3CE235455 COMM 33,500.00 33,500.00FFCB NOTESCITIGROUP GLOBALInterestFEDERAL FARM CR3133EDXG235466 COMM 26,000.00 26,000.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A3M3535467 COMM 26,800.00 26,800.00FFCB NOTESCITIGROUP GLOBALInterestFEDERAL FARM CR3133EDXG236268 COMM 388.89 388.89U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.07% MATSYS36268

Totals for 10/14/2015 329,999,209.22 338,000,000.00 302,313.89 8,303,104.67

36277 COMM 99,999,722.22 -99,999,722.22U S BANKDEUTSCHE BANKPurchaseUSB DISC NOTE9033E1XG436276 COMM 200,000,000.00 -200,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.11% MATSYS362768506 COMM 32,215.82 -32,215.82LOCAL AGENCYPurchaseLAIF 1.65%SYS850633757 COMM 15,000,000.00 15,000,000.00CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 0.54% MAT161571FR034992 COMM 145,902.47 145,902.47MERCEDES-BENZCITIGROUP GLOBALRedemptionMBALT 0.48% MAT58768EAC335023 COMM 25,000,000.00 25,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUNITED STATES912828TT735031 COMM 30,000,000.00 30,000,000.00FHLB NOTESBNP PARIBASRedemptionFEDERAL HOME3130A1NW435418 COMM 15,000,000.00 15,000,000.00CHASE ISSUANCEMORGAN STANLEYRedemptionCHAIT 0.54% MAT161571FR035423 COMM 6,824,528.91 6,824,528.91AMERICANMORGAN STANLEYRedemptionAME 0.59% MAT02587UAB636272 COMM 200,000,000.00 200,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.1% MATSYS3627236273 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E1XF633757 COMM 6,750.00 6,750.00CHASE ISSUANCEJPMorganChaseInterestCHAIT 0.54% MAT161571FR035023 COMM 31,250.00 31,250.00U.S. TREASURYBARCLAYS CAPITALInterestUNITED STATES912828TT735031 COMM 37,500.00 37,500.00FHLB NOTESBNP PARIBASInterestFEDERAL HOME3130A1NW435418 COMM 6,750.00 6,750.00CHASE ISSUANCEMORGAN STANLEYInterestCHAIT 0.54% MAT161571FR035866 COMM 36,250.00 36,250.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME3130A4PZ936272 COMM 555.56 555.56U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.1% MATSYS3627234933 COMM 4,466.66 4,466.66TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.67% MAT89231MAC9

Portfolio SCL2AP


32



TotalCashInterest

PrincipalPaydowns


34933 COMM 318,929.80 318,929.80TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.67% MAT89231MAC934934 COMM 197.52 197.52TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.41% MAT89231MAB134934 COMM 496,235.08 496,235.08TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.41% MAT89231MAB134992 COMM 58.36 58.36MERCEDES-BENZCITIGROUP GLOBALInterestMBALT 0.48% MAT58768EAC334992 COMM 3.88 3.88MERCEDES-BENZCITIGROUP GLOBALRedemptionMBALT 0.48% MAT58768EAC334992 COMM 0.00MERCEDES-BENZCITIGROUP GLOBALInterestMBALT 0.48% MAT58768EAC334992 COMM 0.00MERCEDES-BENZCITIGROUP GLOBALRedemptionMBALT 0.48% MAT58768EAC335040 COMM -16.40 -16.40TOYOTA AUTO RECMORGAN STANLEYInterestTAOT 0.41% MAT89231MAB135040 COMM 212,773.23 212,773.23TOYOTA AUTO RECMORGAN STANLEYRedemptionTAOT 0.41% MAT89231MAB135087 COMM 578.99 578.99HONDA AUTOCITIGROUP GLOBALInterestHAROT 0.74% MAT43813XAD635087 COMM 534,380.10 534,380.10HONDA AUTOCITIGROUP GLOBALRedemptionHAROT 0.74% MAT43813XAD635143 COMM -39.96 -39.96TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.41% MAT89231MAB135143 COMM 1,050,349.51 1,050,349.51TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.41% MAT89231MAB135311 COMM 2,589.37 2,589.37JOHN DEERE RBC CAPITALInterestJDOT 0.54% MAT477877AB035311 COMM 593,944.83 593,944.83JOHN DEERE RBC CAPITALRedemptionJDOT 0.54% MAT477877AB035375 COMM 1,318.78 1,318.78TOYOTA AUTO RECMERRILL LYNCHInterestTAOT 0.51% MAT89190AAB635375 COMM 495,789.96 495,789.96TOYOTA AUTO RECMERRILL LYNCHRedemptionTAOT 0.51% MAT89190AAB635423 COMM 3,353.17 3,353.17AMERICANMORGAN STANLEYInterestAME 0.59% MAT02587UAB635423 COMM -4,528.91 -4,528.91AMERICANMORGAN STANLEYRedemptionAME 0.59% MAT02587UAB635423 COMM 0.00AMERICANMORGAN STANLEYInterestAME 0.59% MAT02587UAB635423 COMM 0.00AMERICANMORGAN STANLEYRedemptionAME 0.59% MAT02587UAB635457 COMM 4,014.67 4,014.67HONDA AUTOBNP PARIBASInterestHAROT 0.58% MAT43814JAB035457 COMM 1,232,888.12 1,232,888.12HONDA AUTOBNP PARIBASRedemptionHAROT 0.58% MAT43814JAB035701 COMM 5,620.84 5,620.84TOYOTA AUTO RECJPMorganChaseInterestTAOT 0.71% MAT89236WAB435701 COMM 421,030.85 421,030.85TOYOTA AUTO RECJPMorganChaseRedemptionTAOT 0.71% MAT89236WAB435725 COMM 9,425.00 9,425.00JOHN DEERECITIGROUP GLOBALInterestJDOT 0.87% MAT47787UAB935725 COMM 458,456.63 458,456.63JOHN DEERECITIGROUP GLOBALRedemptionJDOT 0.87% MAT47787UAB935726 COMM 6,600.00 6,600.00JOHN DEERECITIGROUP GLOBALInterestJDOT 1.32% MAT47787UAD535726 COMM 134,119.58 134,119.58JOHN DEERECITIGROUP GLOBALRedemptionJDOT 1.32% MAT47787UAD535953 COMM 28,333.33 28,333.33CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.36% MAT161571GY435953 COMM 461,262.53 461,262.53CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.36% MAT161571GY436060 COMM 6,416.67 6,416.67TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.77% MAT89237CAB736060 COMM 387,949.14 387,949.14TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.77% MAT89237CAB736078 COMM 2,475.00 2,475.00NISSAN AUTOBARCLAYS CAPITALInterestNALT 0.99% MAT65473DAB836078 COMM 116,119.42 116,119.42NISSAN AUTOBARCLAYS CAPITALRedemptionNALT 0.99% MAT65473DAB836216 COMM 8,280.00 8,280.00JOHN DEEREROYAL BANK OFInterestJDOT 1.44% MAT47787WAC336216 COMM 114,919.40 114,919.40JOHN DEEREROYAL BANK OFRedemptionJDOT 1.44% MAT47787WAC38506 COMM 32,215.82 32,215.82LOCAL AGENCYInterestLAIF 1.65%SYS8506

Totals for 10/15/2015 300,031,938.04 398,995,054.53 234,943.38 99,198,059.87

Portfolio SCL2AP


33



TotalCashInterest

PrincipalPaydowns


36279 COMM 99,999,166.66 -99,999,166.66U S BANKU S BANKPurchaseUSB DISC NOTESYS3627936278 COMM 200,000,000.00 -200,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.11% MATSYS3627836276 COMM 200,000,000.00 200,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.11% MATSYS3627636277 COMM 100,000,000.00 100,000,000.00U S BANKDEUTSCHE BANKRedemptionUSB DISC NOTE9033E1XG436276 COMM 611.11 611.11U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.11% MATSYS36276

Totals for 10/16/2015 299,999,166.66 300,000,000.00 611.11 1,444.45

36129 COMM 50,233.33 -50,233.33 0.00FHLB NOTESBREAN CAPITAL LLCAccr IntFEDERAL HOME3133XQSE3

Totals for 10/18/2015 50,233.33 -50,233.33 0.00

36281 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTESYS3628136280 COMM 200,000,000.00 -200,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.07% MATSYS3628036278 COMM 200,000,000.00 200,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.11% MATSYS3627836279 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTESYS3627936129 COMM 102,750.00 102,750.00FHLB NOTESBREAN CAPITAL LLCInterestFEDERAL HOME3133XQSE336278 COMM 1,833.33 1,833.33U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.11% MATSYS36278

Totals for 10/19/2015 299,999,722.22 300,000,000.00 104,583.33 104,861.11

36284 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTESYS3628436285 COMM 250,000,000.00 -250,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.07% MATSYS3628535884 COMM 25,000,000.00 25,000,000.00FHLMC NOTESINCAPITAL LLCRedemptionFEDERAL HOME LN3134G6NT635885 COMM 35,000,000.00 35,000,000.00FHLMC NOTESBARCLAYS CAPITALRedemptionFEDERAL HOME LN3134G6TQ636280 COMM 200,000,000.00 200,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.07% MATSYS3628036281 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTESYS3628134913 COMM 37,500.00 37,500.00FNMA NOTESCITIGROUP GLOBALInterestFEDERAL NATL MTG3135G0ZB235884 COMM 150,000.00 150,000.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G6NT635885 COMM 218,750.00 218,750.00FHLMC NOTESBARCLAYS CAPITALInterestFEDERAL HOME LN3134G6TQ635905 COMM 55,000.00 55,000.00FHLB NOTESDEUTSCHE BANKInterestFEDERAL HOME3130A4YH935905 COMM 916.67 -916.67 0.00FHLB NOTESDEUTSCHE BANKAccr IntFEDERAL HOME3130A4YH936280 COMM 388.89 388.89U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.07% MATSYS3628035064 COMM 7,583.33 7,583.33VOLKSWAGENJPMorganChaseInterestVALET 0.91% MAT92867RAC335064 COMM 289,142.32 289,142.32VOLKSWAGENJPMorganChaseRedemptionVALET 0.91% MAT92867RAC335065 COMM 2,728.06 2,728.06VOLKSWAGENJPMorganChaseInterestVALET 0.42% MAT92867RAB535065 COMM 1,799,638.36 1,799,638.36VOLKSWAGENJPMorganChaseRedemptionVALET 0.42% MAT92867RAB535706 COMM 7,910.33 7,910.33VOLKSWAGENBARCLAYS CAPITALInterestVALET 0.98% MAT92867VAB635706 COMM 633,013.32 633,013.32VOLKSWAGENBARCLAYS CAPITALRedemptionVALET 0.98% MAT92867VAB6

Totals for 10/20/2015 349,999,722.22 362,722,710.67 478,943.94 13,201,932.39

36288 COMM 5,101,079.17 -5,101,079.17FHLB NOTESKEYBANC CAPITALPurchaseFEDERAL HOME3130A5Z7736289 COMM 5,111,320.83 -5,111,320.83FHLB NOTESKEYBANC CAPITALPurchaseFEDERAL HOME3130A5Z7736287 COMM 99,999,722.22 -99,999,722.22U S BANKPurchaseUSB DISC NOTE9033E1XN936286 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MAT912828D23

Portfolio SCL2AP


34



TotalCashInterest

PrincipalPaydowns


36284 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTESYS3628436285 COMM 250,000,000.00 250,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.07% MATSYS3628535034 COMM 50,000.00 50,000.00WALMARTCITIGROUP GLOBALInterestWAL-MART STORES931142DN035269 COMM 45,000.00 45,000.00WALMARTJEFFERIES & CO,InterestWAL-MART STORES931142DN036285 COMM 486.11 486.11U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.07% MATSYS3628535986 COMM 6,066.67 6,066.67HONDA AUTOJPMorganChaseInterestHAROT 1.04% MAT43813NAC035986 COMM 173,483.44 173,483.44HONDA AUTOJPMorganChaseRedemptionHAROT 1.04% MAT43813NAC0

Totals for 10/21/2015 410,212,122.22 350,173,483.44 101,552.78 -59,937,086.00

36297 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTESYS3629736295 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3629536286 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MAT912828D2336287 COMM 100,000,000.00 100,000,000.00U S BANKRedemptionUSB DISC NOTE9033E1XN936286 COMM 500.01 500.01U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MAT912828D23

Totals for 10/22/2015 399,999,722.22 400,000,000.00 500.01 777.79

36298 COMM 5,110,287.50 -5,110,287.50FHLB NOTESKEYBANC CAPITALPurchaseFEDERAL HOME3130A5Z7736314 COMM 99,999,166.66 -99,999,166.66U S BANKU S BANKPurchaseUSB DISC NOTESYS3631436301 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.07% MATSYS3630136295 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3629536297 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTESYS3629735627 COMM 10,605.56 10,605.56U S BANKBARCLAYS CAPITALInterestUSB 0.3767% MAT90331HMF736295 COMM 500.02 500.02U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS3629535700 COMM 4,079.17 4,079.17GE EQUIPMERRILL LYNCHInterestGEET 0.89% MAT36164EAB135700 COMM 207,945.41 207,945.41GE EQUIPMERRILL LYNCHRedemptionGEET 0.89% MAT36164EAB1

Totals for 10/23/2015 405,109,454.16 400,207,945.41 15,184.75 -4,886,324.00

35422 COMM 5,490,000.00 5,490,000.00WALMARTMERRILL LYNCHRedemptionWAL MART STORES931142CX935422 COMM 41,175.00 41,175.00WALMARTMERRILL LYNCHInterestWAL MART STORES931142CX935684 COMM 112,500.00 112,500.00FHLB NOTESDEUTSCHE BANKInterestFEDERAL HOME3130A4GJ535685 COMM 67,500.00 67,500.00FHLB NOTESMERRILL LYNCHInterestFEDERAL HOME3130A4GJ535376 COMM 2,346.69 2,346.69BMW VEHICLE RBC CAPITALInterestBMWOT 0.53% MAT09658UAB535376 COMM 880,529.41 880,529.41BMW VEHICLE RBC CAPITALRedemptionBMWOT 0.53% MAT09658UAB5

Totals for 10/25/2015 6,370,529.41 223,521.69 6,594,051.10

36308 COMM 10,190,800.00 -10,190,800.00FHLB NOTESKEYBANC CAPITALPurchaseFEDERAL HOME3130A5Z7736310 COMM 5,097,300.00 -5,097,300.00FHLB NOTESKEYBANC CAPITALPurchaseFEDERAL HOME3130A5Z7736309 COMM 2,025,332.22 -2,025,332.22FHLMC NOTESINCAPITAL LLCPurchaseFEDERAL HOME LN3134G34W736305 COMM 25,246,250.00 -25,246,250.00FNMA NOTESJPMorganChasePurchaseFEDERAL NATL MTG3135G0F9936304 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTESYS3630436303 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3630330108 COMM 25,000,000.00 25,000,000.00FNMA NOTESRESIDENTIALRedemptionFNMA 1.625% MAT31398A4M1

Portfolio SCL2AP


35



TotalCashInterest

PrincipalPaydowns


36301 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.07% MATSYS3630136314 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTESYS3631430108 COMM 203,125.00 203,125.00FNMA NOTESRESIDENTIALInterestFNMA 1.625% MAT31398A4M136267 COMM 3,246.54 3,246.54FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A6LZ836301 COMM 1,749.99 1,749.99U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.07% MATSYS36301

Totals for 10/26/2015 442,559,404.44 425,000,000.00 208,121.53 -17,351,282.91

36313 COMM 10,296,241.20 -10,296,241.20CALIFORNIA STWELLS FARGOPurchaseCALIFORNIA ST FOR13063CSQ436312 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTESYS3631236311 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.05% MATSYS3631136303 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3630336304 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTESYS3630435911 COMM 57,500.00 57,500.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G6TW335912 COMM 71,875.00 71,875.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G6TW335913 COMM 86,250.00 86,250.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G6TW335914 COMM 56,250.00 56,250.00FHLB NOTESJPMorganChaseInterestFEDERAL HOME3130A4Y5535915 COMM 56,250.00 56,250.00FHLB NOTESBREAN CAPITAL LLCInterestFEDERAL HOME3130A4Y5535916 COMM 112,500.00 112,500.00FHLB NOTESJPMorganChaseInterestFEDERAL HOME3130A4Y5536303 COMM 499.98 499.98U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS36303

Totals for 10/27/2015 410,295,963.42 400,000,000.00 441,124.98 -9,854,838.44

36316 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTESYS3631636315 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.05% MATSYS3631535403 COMM 40,102,000.00 40,102,000.00FHLB NOTESDEUTSCHE BANKRedemptionFEDERAL HOME3130A3BP835403 COMM -102,000.00 -102,000.00FHLB NOTESDEUTSCHE BANKCap G/LFEDERAL HOME3130A3BP835545 COMM 19,445,000.00 19,445,000.00FHLB NOTESDEUTSCHE BANKRedemptionFEDERAL HOME3130A3BP835923 COMM 10,250,000.00 10,250,000.00FHLMC NOTESINCAPITAL LLCRedemptionFEDERAL HOME LN3134G6SN435924 COMM 20,005,000.00 20,005,000.00FHLMC NOTESBARCLAYS CAPITALRedemptionFEDERAL HOME LN3134G6UZ435924 COMM -5,000.00 -5,000.00FHLMC NOTESBARCLAYS CAPITALCap G/LFEDERAL HOME LN3134G6UZ435925 COMM 25,000,000.00 25,000,000.00FHLMC NOTESUBS FINANCERedemptionFEDERAL HOME LN3134G6VU436311 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.05% MATSYS3631136312 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTESYS3631235403 COMM 150,000.00 150,000.00FHLB NOTESDEUTSCHE BANKInterestFEDERAL HOME3130A3BP835545 COMM 72,918.75 72,918.75FHLB NOTESDEUTSCHE BANKInterestFEDERAL HOME3130A3BP835923 COMM 43,562.50 43,562.50FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G6SN435924 COMM 75,000.00 75,000.00FHLMC NOTESBARCLAYS CAPITALInterestFEDERAL HOME LN3134G6UZ435925 COMM 93,750.00 93,750.00FHLMC NOTESUBS FINANCEInterestFEDERAL HOME LN3134G6VU436311 COMM 416.68 416.68U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.05% MATSYS36311

Totals for 10/28/2015 399,999,722.22 514,695,000.00 435,647.93 115,130,925.71

36323 COMM 14,975,662.50 -14,975,662.50FFCB NOTESDEUTSCHE BANKPurchaseFEDERAL FARM CR3133EFKM836319 COMM 15,000,000.00 -15,000,000.00FHLMC NOTESDEUTSCHE BANKPurchaseFEDERAL HOME LN3134G7Z20

Portfolio SCL2AP


36



TotalCashInterest

PrincipalPaydowns


36320 COMM 20,000,000.00 -20,000,000.00FHLMC NOTESBARCLAYS CAPITALPurchaseFEDERAL HOME LN3134G7Z2036322 COMM 9,966,675.00 -9,966,675.00FHLMC NOTESKEYBANC CAPITALPurchaseFEDERAL HOME LN3137EADM836321 COMM 12,999,350.00 -12,999,350.00FNMA NOTESUBS FINANCEPurchaseFEDERAL NATL MTG3136G2PP636318 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTESYS3631836317 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3631736315 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.05% MATSYS3631536316 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTESYS3631635929 COMM 30,500.00 30,500.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME3130A4Z8835930 COMM 62,500.00 62,500.00FHLMC NOTESUBS FINANCEInterestFEDERAL HOME LN3134G6UE135931 COMM 42,945.00 42,945.00FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G6UW135935 COMM 30,500.00 30,500.00FHLB NOTESVINING SPARKS IBGInterestFEDERAL HOME3130A4Z8836315 COMM 416.65 416.65U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.05% MATSYS36315

Totals for 10/29/2015 472,941,409.72 400,000,000.00 166,861.65 -72,774,548.07

36324 COMM 99,999,500.00 -99,999,500.00U S BANKU S BANKPurchaseUSB DISC NOTESYS3632434291 COMM 60,000,000.00 -60,000,000.00MORGAN STANLEYPurchaseMSGI 0.%SYS3429136105 COMM 60,000,000.00 -60,000,000.00BLACKROCKPurchaseBLACKR 0.04%SYS3610535063 COMM 20,000,000.00 20,000,000.00FHLB NOTESBNP PARIBASRedemptionFEDERAL HOME3130A1P6936317 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3631736318 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTESYS3631835063 COMM 23,000.00 23,000.00FHLB NOTESBNP PARIBASInterestFEDERAL HOME3130A1P6936317 COMM 499.99 499.99U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS36317

Totals for 10/30/2015 219,999,500.00 420,000,000.00 23,499.99 200,023,999.99

30101 COMM 15,000,000.00 15,000,000.00COLGATE-PALMOLICITICORPRedemptionCP 1.375% MAT19416QDQ030101 COMM 103,125.00 103,125.00COLGATE-PALMOLICITICORPInterestCP 1.375% MAT19416QDQ034625 COMM 78,125.00 78,125.00CALIFORNIA STCITIGROUP GLOBALInterestCAS 1.25% MAT13063CFD734645 COMM 31,250.00 31,250.00CALIFORNIA STCITIGROUP GLOBALInterestCAS 1.25% MAT13063CFD734650 COMM 87,500.00 87,500.00CALIFORNIA STCITIGROUP GLOBALInterestCITIF 1.75% MAT13063CFC934729 COMM 79,493.75 79,493.75CALIFORNIA STCITIGROUP GLOBALInterestCITIF 1.75% MAT13063CFC935444 COMM 56,250.00 56,250.00CALIFORNIA STCITIGROUP GLOBALInterestCALIFORNIA ST FOR13063CPM635534 COMM 77,812.50 77,812.50CALIFORNIA STCITIGROUP GLOBALInterestCALIFORNIA ST FOR13063CPN435940 COMM 23,000.00 23,000.00FFCB NOTESRAYMOND JAMES &InterestFEDERAL FARM CR3133EEE7135941 COMM 23,000.00 23,000.00FFCB NOTESINCAPITAL LLCInterestFEDERAL FARM CR3133EEE71

Totals for 11/01/2015 15,000,000.00 559,556.25 15,559,556.25

36326 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTESYS3632636325 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.05% MATSYS3632536324 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTESYS3632436105 COMM 100,000,000.00 100,000,000.00BLACKROCKRedemptionBLACKR 0.04%SYS36105

Totals for 11/02/2015 199,999,722.22 200,000,000.00 277.78

Portfolio SCL2AP


37



TotalCashInterest

PrincipalPaydowns


36329 COMM 19,980,000.00 -19,980,000.00MICROSOFT CORPJPMorganChasePurchaseMSFT 1.3% MAT594918BF036328 COMM 99,999,722.22 -99,999,722.22U S BANKU S BANKPurchaseUSB DISC NOTESYS3632836327 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3632736325 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.05% MATSYS3632536326 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTESYS3632636325 COMM 138.89 138.89U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.05% MATSYS3632534291 COMM 2,088.28 2,088.28MORGAN STANLEYInterestMSGI 0.%SYS3429134291 COMM 2,088.28 -2,088.28MORGAN STANLEYPurchaseMSGI 0.%SYS3429136105 COMM 23,558.46 23,558.46BLACKROCKInterestBLACKR 0.04%SYS3610536105 COMM 23,558.46 -23,558.46BLACKROCKPurchaseBLACKR 0.04%SYS36105

Totals for 11/03/2015 220,005,368.96 200,000,000.00 25,785.63 -19,979,583.33

36332 COMM 18,213,129.39 -18,213,129.39FHLMC NOTESKEYBANC CAPITALPurchaseFEDERAL HOME LN3137EADM836331 COMM 100,000,000.00 -100,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3633136330 COMM 200,000,000.00 -200,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.07% MATSYS3633035048 COMM 20,108,000.00 20,108,000.00FFCB NOTESUBS FINANCERedemptionFEDERAL FARM CR3133EDGC036327 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3632736328 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTESYS3632835048 COMM 25,135.00 25,135.00FFCB NOTESUBS FINANCEInterestFEDERAL FARM CR3133EDGC036327 COMM 166.66 166.66U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS36327

Totals for 11/04/2015 318,213,129.39 220,108,000.00 25,301.66 -98,079,827.73

36334 COMM 100,000,000.00 -100,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3633436333 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.11% MATSYS3633335006 COMM 20,000,000.00 20,000,000.00FFCB NOTESJPMorganChaseRedemptionFEDERAL FARM CR3133EDET535021 COMM 25,000,000.00 25,000,000.00FFCB NOTESJPMorganChaseRedemptionFEDERAL FARM CR3133EDET536330 COMM 200,000,000.00 200,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.07% MATSYS3633036331 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3633135006 COMM 31,000.00 31,000.00FFCB NOTESJPMorganChaseInterestFEDERAL FARM CR3133EDET535021 COMM 38,750.00 38,750.00FFCB NOTESJPMorganChaseInterestFEDERAL FARM CR3133EDET536330 COMM 388.90 388.90U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.07% MATSYS3633036331 COMM 277.78 277.78U S BANKU S BANKInterestUSB 0.1% MATSYS36331

Totals for 11/05/2015 400,000,000.00 345,000,000.00 70,416.68 -54,929,583.32

36337 COMM 7,921,764.44 -7,921,764.44FHLMC NOTESKEYBANC CAPITALPurchaseFEDERAL HOME LN3137EADM836336 COMM 100,000,000.00 -100,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3633636335 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.07% MATSYS3633536333 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.11% MATSYS3633336334 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3633436333 COMM 916.65 916.65U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.11% MATSYS3633336334 COMM 277.78 277.78U S BANKU S BANKInterestUSB 0.1% MATSYS36334

Portfolio SCL2AP


38



TotalCashInterest

PrincipalPaydowns


Totals for 11/06/2015 407,921,764.44 400,000,000.00 1,194.43 -7,920,570.01

36340 COMM 9,881,747.22 -9,881,747.22FHLMC NOTESKEYBANC CAPITALPurchaseFEDERAL HOME LN3137EADM836339 COMM 100,000,000.00 -100,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3633936338 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3633830190 COMM 5,000,000.00 5,000,000.00GENERAL ELECTRICMORGAN STANLEYRedemptionGE 2.25% MAT36962G4T833735 COMM 10,000,000.00 10,000,000.00FFCB NOTESJEFFERIES & CO,RedemptionFFCB 0.4% MAT3133EA7L636335 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.07% MATSYS3633536336 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3633630190 COMM 56,250.00 56,250.00GENERAL ELECTRICMORGAN STANLEYInterestGE 2.25% MAT36962G4T833735 COMM 20,000.00 20,000.00FFCB NOTESJEFFERIES & CO,InterestFFCB 0.4% MAT3133EA7L636335 COMM 1,750.00 1,750.00U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.07% MATSYS3633536336 COMM 833.33 833.33U S BANKU S BANKInterestUSB 0.1% MATSYS36336

Totals for 11/09/2015 409,881,747.22 415,000,000.00 78,833.33 5,197,086.11

36342 COMM 100,000,000.00 -100,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3634236341 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3634136338 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3633836339 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3633936338 COMM 500.02 500.02U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS3633836339 COMM 277.78 277.78U S BANKU S BANKInterestUSB 0.1% MATSYS36339

Totals for 11/10/2015 400,000,000.00 400,000,000.00 777.80 777.80

35965 COMM 25,750.00 25,750.00FFCB NOTESJPMorganChaseInterestFEDERAL FARM CR3133EEJ50

Totals for 11/11/2015 25,750.00 25,750.00

36344 COMM 100,000,000.00 -100,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3634436343 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.08% MATSYS3634336341 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3634136342 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3634235643 COMM 3,960.63 3,960.63ROYAL BANK OF RBC CAPITALInterestRBC 0.2917% MAT78009NTJ536341 COMM 999.97 999.97U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS3634136342 COMM 555.56 555.56U S BANKU S BANKInterestUSB 0.1% MATSYS36342

Totals for 11/12/2015 400,000,000.00 400,000,000.00 5,516.16 5,516.16

36347 COMM 10,031,155.56 -10,031,155.56FNMA NOTESCITIGROUP GLOBALPurchaseFEDERAL NATL MTG3135G0A7836346 COMM 100,000,000.00 -100,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3634636345 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3634536343 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.08% MATSYS3634336344 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3634434532 COMM 62,500.00 62,500.00FHLMC NOTESDEUTSCHE BANKInterestFEDERAL HOME LN3137EADQ934723 COMM 125,000.00 125,000.00FHLMC NOTESDEUTSCHE BANKInterestFEDERAL HOME LN3137EADQ934751 COMM 111,000.00 111,000.00FHLMC NOTESDaiwa Capital MarketInterestFEDERAL HOME LN3137EADQ9

Portfolio SCL2AP


39



TotalCashInterest

PrincipalPaydowns


34754 COMM 62,500.00 62,500.00FHLMC NOTESBNP PARIBASInterestFEDERAL HOME LN3137EADQ934971 COMM 50,000.00 50,000.00FHLMC NOTESRAYMOND JAMES &InterestFEDERAL HOME LN3137EADQ935970 COMM 13,500.00 13,500.00APPLE INCMERRILL LYNCHInterestAAPL 0.9% MAT037833BB536343 COMM 666.65 666.65U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.08% MATSYS3634336344 COMM 277.78 277.78U S BANKU S BANKInterestUSB 0.1% MATSYS36344

Totals for 11/13/2015 410,031,155.56 400,000,000.00 425,444.43 -9,605,711.13

34258 COMM 110,000.00 110,000.00FNMA NOTESBNP PARIBASInterestFEDERAL NATL MTG3135G0WY5

Totals for 11/14/2015 110,000.00 110,000.00

32277 COMM 137,500.00 137,500.00FNMA NOTESGLEACHER & InterestFNMA 1.375% MAT3135G0ES833714 COMM 137,500.00 137,500.00FNMA NOTESDEUTSCHE BANKInterestFNMA 1.375% MAT3135G0ES835427 COMM 201,750.00 201,750.00CHEVRON CORP.MERRILL LYNCHInterestCHEVRON CORP166764AL435763 COMM 3,199.24 3,199.24UNIVERSITYMORGAN STANLEYInterest91412GWV334933 COMM 4,562.55 4,562.55TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.67% MAT89231MAC934933 COMM 518,813.93 518,813.93TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.67% MAT89231MAC934934 COMM 24.78 24.78TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.41% MAT89231MAB134934 COMM 7,466.68 7,466.68TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.41% MAT89231MAB135040 COMM 10.62 10.62TOYOTA AUTO RECMORGAN STANLEYInterestTAOT 0.41% MAT89231MAB135040 COMM 0.00TOYOTA AUTO RECMORGAN STANLEYRedemptionTAOT 0.41% MAT89231MAB135087 COMM 2,164.18 2,164.18HONDA AUTOCITIGROUP GLOBALInterestHAROT 0.74% MAT43813XAD635087 COMM 0.00HONDA AUTOCITIGROUP GLOBALRedemptionHAROT 0.74% MAT43813XAD635143 COMM 52.45 52.45TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.41% MAT89231MAB135143 COMM 0.00TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.41% MAT89231MAB135311 COMM 2,340.96 2,340.96JOHN DEERE RBC CAPITALInterestJDOT 0.54% MAT477877AB035311 COMM 818,429.30 818,429.30JOHN DEERE RBC CAPITALRedemptionJDOT 0.54% MAT477877AB035375 COMM 1,106.98 1,106.98TOYOTA AUTO RECMERRILL LYNCHInterestTAOT 0.51% MAT89190AAB635375 COMM 477,982.18 477,982.18TOYOTA AUTO RECMERRILL LYNCHRedemptionTAOT 0.51% MAT89190AAB635457 COMM 3,418.60 3,418.60HONDA AUTOBNP PARIBASInterestHAROT 0.58% MAT43814JAB035457 COMM 1,176,098.01 1,176,098.01HONDA AUTOBNP PARIBASRedemptionHAROT 0.58% MAT43814JAB035701 COMM 5,628.12 5,628.12TOYOTA AUTO RECJPMorganChaseInterestTAOT 0.71% MAT89236WAB435701 COMM 765,858.48 765,858.48TOYOTA AUTO RECJPMorganChaseRedemptionTAOT 0.71% MAT89236WAB435725 COMM 9,427.75 9,427.75JOHN DEERECITIGROUP GLOBALInterestJDOT 0.87% MAT47787UAB935725 COMM 42,693.18 42,693.18JOHN DEERECITIGROUP GLOBALRedemptionJDOT 0.87% MAT47787UAB935726 COMM 6,600.00 6,600.00JOHN DEERECITIGROUP GLOBALInterestJDOT 1.32% MAT47787UAD535726 COMM 138,007.37 138,007.37JOHN DEERECITIGROUP GLOBALRedemptionJDOT 1.32% MAT47787UAD535953 COMM 28,333.33 28,333.33CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.36% MAT161571GY435953 COMM 465,062.87 465,062.87CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.36% MAT161571GY436060 COMM 6,416.67 6,416.67TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.77% MAT89237CAB736060 COMM 404,940.75 404,940.75TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.77% MAT89237CAB736078 COMM 2,475.00 2,475.00NISSAN AUTOBARCLAYS CAPITALInterestNALT 0.99% MAT65473DAB8

Portfolio SCL2AP


40



TotalCashInterest

PrincipalPaydowns


36078 COMM 116,524.86 116,524.86NISSAN AUTOBARCLAYS CAPITALRedemptionNALT 0.99% MAT65473DAB836216 COMM 6,900.00 6,900.00JOHN DEEREROYAL BANK OFInterestJDOT 1.44% MAT47787WAC336216 COMM 118,305.36 118,305.36JOHN DEEREROYAL BANK OFRedemptionJDOT 1.44% MAT47787WAC3

Totals for 11/15/2015 5,050,182.97 559,411.23 5,609,594.20

36352 COMM 20,125,120.00 -20,125,120.00INTL BANK RECON &DEUTSCHE BANKPurchaseIBRD 1.375% MAT459058DN036350 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3635036349 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.07% MATSYS3634934934 COMM 72,560.21 72,560.21TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.41% MAT89231MAB135040 COMM 31,112.01 31,112.01TOYOTA AUTO RECMORGAN STANLEYRedemptionTAOT 0.41% MAT89231MAB135087 COMM 3,522,100.07 3,522,100.07HONDA AUTOCITIGROUP GLOBALRedemptionHAROT 0.74% MAT43813XAD635143 COMM 153,583.61 153,583.61TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.41% MAT89231MAB136345 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3634536346 COMM 100,000,000.00 100,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3634636345 COMM 1,500.01 1,500.01U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS3634536346 COMM 833.33 833.33U S BANKU S BANKInterestUSB 0.1% MATSYS3634634934 COMM 0.83 0.83TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.41% MAT89231MAB134934 COMM 0.61 0.61TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.41% MAT89231MAB135040 COMM 0.35 0.35TOYOTA AUTO RECMORGAN STANLEYInterestTAOT 0.41% MAT89231MAB135040 COMM -14.15 -14.15TOYOTA AUTO RECMORGAN STANLEYRedemptionTAOT 0.41% MAT89231MAB135087 COMM 72.14 72.14HONDA AUTOCITIGROUP GLOBALInterestHAROT 0.74% MAT43813XAD635087 COMM -12,612.18 -12,612.18HONDA AUTOCITIGROUP GLOBALRedemptionHAROT 0.74% MAT43813XAD635143 COMM 1.75 1.75TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.41% MAT89231MAB135143 COMM -66.37 -66.37TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.41% MAT89231MAB1

Totals for 11/16/2015 470,125,120.00 403,766,663.81 2,408.41 -66,356,047.78

36355 COMM 10,000,000.00 -10,000,000.00CHEVRON CORP.JPMorganChasePurchaseCHEVRON CORP166764BC336354 COMM 125,000,000.00 -125,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3635436353 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3635336349 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.07% MATSYS3634936350 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3635036349 COMM 583.31 583.31U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.07% MATSYS3634936350 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MATSYS36350

Totals for 11/17/2015 485,000,000.00 450,000,000.00 999.98 -34,999,000.02

36360 COMM 34,784,720.83 -34,784,720.83FARMER MACMIZUHOPurchaseFAMCA ZERO CPN31315KP6136361 COMM 20,111,825.00 -20,111,825.00FNMA NOTESKEYBANC CAPITALPurchaseFEDERAL NATL MTG3135G0A7836362 COMM 29,945,400.00 -29,945,400.00FNMA NOTESDEUTSCHE BANKPurchaseFNMA DISC NOTE313588WZ436358 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MAT90349TFM436357 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.05% MATSYS3635736353 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3635336354 COMM 125,000,000.00 125,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS36354

Portfolio SCL2AP


41



TotalCashInterest

PrincipalPaydowns


36089 COMM 80,011.25 80,011.25FNMA NOTESDEUTSCHE BANKInterestFNMA 1.15% MAT3136G2KD836089 COMM 16,891.26 -16,891.26 0.00FNMA NOTESDEUTSCHE BANKAccr IntFNMA 1.15% MAT3136G2KD836353 COMM 583.35 583.35U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS3635336354 COMM 347.23 347.23U S BANKU S BANKInterestUSB 0.1% MATSYS36354

Totals for 11/18/2015 584,841,945.83 475,016,891.26 64,050.57 -109,761,004.00

36368 COMM 40,000,000.00 -40,000,000.00BANK OFBMO CAPITALPurchaseBMOCHI 0.32% MAT06427ELG436370 COMM 14,998,200.00 -14,998,200.00FFCB NOTESWELLS FARGOPurchaseFEDERAL FARM CR3133EFPJ036366 COMM 39,847,111.11 -39,847,111.11TOYOTA MOTORTOYOTA MOTORPurchaseTOYO ZERO CPN89299GFM336364 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MAT90349TFQ536363 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.05% MATSYS3636336357 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.05% MATSYS3635736358 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MAT90349TFM436357 COMM 486.13 486.13U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.05% MATSYS3635736358 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MAT90349TFM4

Totals for 11/19/2015 594,845,311.11 500,000,000.00 902.80 -94,844,408.31

36376 COMM 20,000,000.00 -20,000,000.00FHLB NOTESBARCLAYS CAPITALPurchaseFEDERAL HOME3130A6SW836377 COMM 20,000,000.00 -20,000,000.00FHLB NOTESDEUTSCHE BANKPurchaseFEDERAL HOME3130A6SW836378 COMM 14,956,810.42 -14,956,810.42FNMA NOTESDEUTSCHE BANKPurchaseFEDERAL NATL MTG3135G0WJ836375 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MAT90349TFS136372 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.05% MATSYS3637236363 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.05% MATSYS3636336364 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MAT90349TFQ536363 COMM 486.11 486.11U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.05% MATSYS3636336364 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MAT90349TFQ535064 COMM 7,583.33 7,583.33VOLKSWAGENJPMorganChaseInterestVALET 0.91% MAT92867RAC335064 COMM 289,297.15 289,297.15VOLKSWAGENJPMorganChaseRedemptionVALET 0.91% MAT92867RAC335065 COMM 2,104.17 2,104.17VOLKSWAGENJPMorganChaseInterestVALET 0.42% MAT92867RAB535065 COMM 2,135,713.50 2,135,713.50VOLKSWAGENJPMorganChaseRedemptionVALET 0.42% MAT92867RAB535706 COMM 7,452.19 7,452.19VOLKSWAGENBARCLAYS CAPITALInterestVALET 0.98% MAT92867VAB635706 COMM 795,455.39 795,455.39VOLKSWAGENBARCLAYS CAPITALRedemptionVALET 0.98% MAT92867VAB636274 COMM 42,000.00 42,000.00BMW VEHICLECREDIT SUISSEInterestBMWLT 1.4% MAT05581QAD036274 COMM 737,943.12 737,943.12BMW VEHICLECREDIT SUISSERedemptionBMWLT 1.4% MAT05581QAD0

Totals for 11/20/2015 554,956,810.42 503,958,409.16 60,042.47 -50,938,358.79

34464 COMM 54,075.00 54,075.00FNMA NOTESUBS FINANCEInterestFEDERAL NATL MTG3135G0XA635435 COMM 168,750.00 168,750.00JOHNSON &JPMorganChaseInterestJOHNSON &478160BL735762 COMM 65,625.00 65,625.00FNMA NOTESMIZUHOInterestFEDERAL NATL MTG3135G0WJ836378 COMM 65,625.00 65,625.00FNMA NOTESDEUTSCHE BANKInterestFEDERAL NATL MTG3135G0WJ836378 COMM 65,260.42 -65,260.42 0.00FNMA NOTESDEUTSCHE BANKAccr IntFEDERAL NATL MTG3135G0WJ835986 COMM 6,066.67 6,066.67HONDA AUTOJPMorganChaseInterestHAROT 1.04% MAT43813NAC0

Portfolio SCL2AP


42



TotalCashInterest

PrincipalPaydowns


35986 COMM 174,463.95 174,463.95HONDA AUTOJPMorganChaseRedemptionHAROT 1.04% MAT43813NAC0

Totals for 11/21/2015 239,724.37 294,881.25 534,605.62

34358 COMM 125,000.00 125,000.00FNMA NOTESCITIGROUP GLOBALInterestFEDERAL NATL MTG3135G0XC2

Totals for 11/22/2015 125,000.00 125,000.00

36380 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MAT90349TFU636379 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.04% MATSYS3637936372 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.05% MATSYS3637236375 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MAT90349TFS136128 COMM 47,344.75 47,344.75FNMA NOTESKEYBANC CAPITALInterestFNMA 2.05% MAT3136FPYB736128 COMM 13,940.40 -13,940.40 0.00FNMA NOTESKEYBANC CAPITALAccr IntFNMA 2.05% MAT3136FPYB736372 COMM 1,458.36 1,458.36U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.05% MATSYS3637236375 COMM 1,250.00 1,250.00U S BANKU S BANKInterestUSB 0.1% MAT90349TFS135700 COMM 4,100.25 4,100.25GE EQUIPMERRILL LYNCHInterestGEET 0.89% MAT36164EAB135700 COMM 196,104.70 196,104.70GE EQUIPMERRILL LYNCHRedemptionGEET 0.89% MAT36164EAB1

Totals for 11/23/2015 500,000,000.00 500,210,045.10 40,212.96 250,258.06

36383 COMM 10,042,220.83 -10,042,220.83FNMA NOTESBARCLAYS CAPITALPurchaseFEDERAL NATL MTG3135G0A7836384 COMM 10,043,020.83 -10,043,020.83FNMA NOTESKEYBANC CAPITALPurchaseFEDERAL NATL MTG3135G0A7836382 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MAT90349TFY836381 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.05% MATSYS3638136386 COMM 45,000,000.00 -45,000,000.00WELLS FARGOWELLS FARGOPurchaseWELLS 0.62% MAT94988EMB136379 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.04% MATSYS3637936380 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MAT90349TFU635004 COMM 65,625.00 65,625.00FHLB NOTESDEUTSCHE BANKInterestFEDERAL HOME3130A1NN436379 COMM 388.91 388.91U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.04% MATSYS3637936380 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MAT90349TFU6

Totals for 11/24/2015 565,085,241.66 500,000,000.00 66,430.58 -65,018,811.08

36390 COMM 5,003,055.56 -5,003,055.56CALIFORNIA STWELLS FARGOPurchaseCALIFORNIA ST FOR13063CXU936389 COMM 45,000,000.00 -45,000,000.00CANADIAN IMP BKUBS FINANCEPurchaseCIBC 0.1% MAT13606AJQ236388 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MAT90349TGF836391 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.09% MATSYS3639135458 COMM 14,150,000.00 14,150,000.00FHLMC NOTESDEUTSCHE BANKRedemptionFEDERAL HOME LN3134G5RD936191 COMM 10,000,000.00 10,000,000.00FHLMC NOTESJEFFERIES & CO,RedemptionFEDERAL HOME LN3134G7PH836192 COMM 10,450,000.00 10,450,000.00FHLMC NOTESWELLS FARGORedemptionFEDERAL HOME LN3134G7PH836381 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.05% MATSYS3638136382 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MAT90349TFY835448 COMM 18,750.00 18,750.00FFCB NOTESWELLS FARGOInterestFEDERAL FARM CR3133EECW835449 COMM 18,750.00 18,750.00FFCB NOTES RBC CAPITALInterestFEDERAL FARM CR3133EECW835458 COMM 45,987.50 45,987.50FHLMC NOTESDEUTSCHE BANKInterestFEDERAL HOME LN3134G5RD9

Portfolio SCL2AP


43



TotalCashInterest

PrincipalPaydowns


36008 COMM 30,555.55 30,555.55FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G6L7636077 COMM 59,766.02 59,766.02FNMA NOTESJPMorganChaseInterestFEDERAL NATL MTG3136G2K7136077 COMM 9,065.63 -9,065.63 0.00FNMA NOTESJPMorganChaseAccr IntFEDERAL NATL MTG3136G2K7136191 COMM 25,000.00 25,000.00FHLMC NOTESJEFFERIES & CO,InterestFEDERAL HOME LN3134G7PH836192 COMM 26,125.00 26,125.00FHLMC NOTESWELLS FARGOInterestFEDERAL HOME LN3134G7PH836381 COMM 486.13 486.13U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.05% MATSYS3638136382 COMM 416.55 416.55U S BANKU S BANKInterestUSB 0.1% MAT90349TFY835376 COMM 1,957.47 1,957.47BMW VEHICLE RBC CAPITALInterestBMWOT 0.53% MAT09658UAB535376 COMM 871,615.99 871,615.99BMW VEHICLE RBC CAPITALRedemptionBMWOT 0.53% MAT09658UAB5

Totals for 11/25/2015 550,003,055.56 535,480,681.62 218,728.59 -14,303,645.35

36393 COMM 5,000,000.00 -5,000,000.00FHLMC NOTESINCAPITAL LLCPurchaseFEDERAL HOME LN3134G74S736392 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MAT90349TGJ036388 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MAT90349TGF836388 COMM 833.34 833.34U S BANKU S BANKInterestUSB 0.1% MAT90349TGF8

Totals for 11/27/2015 155,000,000.00 150,000,000.00 833.34 -4,999,166.66

34700 COMM 105,000.00 105,000.00JOHNSON &JPMorganChaseInterestJOHNSON &478160BF0

Totals for 11/28/2015 105,000.00 105,000.00

36396 COMM 29,290,210.30 -29,290,210.30FHLMC NOTESDEUTSCHE BANKPurchaseFEDERAL HOME LN3134G85H836397 COMM 34,833,643.06 -34,833,643.06TOYOTA MOTORTOYOTA MOTORPurchaseTOYO ZERO CPN89233GGU436395 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MAT90349TGK736394 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.08% MATSYS3639436391 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.09% MATSYS3639136392 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MAT90349TGJ036391 COMM 4,375.00 4,375.00U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.09% MATSYS3639136392 COMM 1,250.00 1,250.00U S BANKU S BANKInterestUSB 0.1% MAT90349TGJ0

Totals for 11/30/2015 314,123,853.36 500,000,000.00 5,625.00 185,881,771.64

36399 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MAT90349TGN136398 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.09% MATSYS3639836394 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.08% MATSYS3639436395 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MAT90349TGK734291 COMM 50,000,000.00 50,000,000.00MORGAN STANLEYRedemptionMSGI 0.%SYS3429136394 COMM 222.22 222.22U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.08% MATSYS3639436395 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MAT90349TGK7

Totals for 12/01/2015 450,000,000.00 300,000,000.00 638.89 -149,999,361.11

36402 COMM 17,436,041.33 -17,436,041.33FHLB NOTESINCAPITAL LLCPurchaseFEDERAL HOME313379EE536403 COMM 34,995,187.50 -34,995,187.50FHLB NOTESDEUTSCHE BANKPurchaseFHLB DISC NOTE313384RJ036401 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MAT90349TGQ436400 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.09% MATSYS36400

Portfolio SCL2AP


44



TotalCashInterest

PrincipalPaydowns


36398 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.09% MATSYS3639836399 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MAT90349TGN136398 COMM 750.01 750.01U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.09% MATSYS3639836399 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MAT90349TGN134291 COMM 2,137.86 2,137.86MORGAN STANLEYInterestMSGI 0.%SYS3429134291 COMM 2,137.86 -2,137.86MORGAN STANLEYPurchaseMSGI 0.%SYS3429136105 COMM 16,933.06 16,933.06BLACKROCKInterestBLACKR 0.04%SYS3610536105 COMM 16,933.06 -16,933.06BLACKROCKPurchaseBLACKR 0.04%SYS36105

Totals for 12/02/2015 552,450,299.75 450,000,000.00 20,237.60 -102,430,062.15

36406 COMM 34,994,711.11 -34,994,711.11FHLB NOTESDEUTSCHE BANKPurchaseFHLB DISC NOTE313384RL536407 COMM 10,024,811.11 -10,024,811.11FHLB NOTESKEYBANC CAPITALPurchaseFEDERAL HOME3130A4PA436405 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MAT90349TGY736404 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.09% MATSYS3640436408 COMM 30,000,000.00 -30,000,000.00WELLS FARGOWELLS FARGOPurchaseWELLS 0.67% MAT94988EMF236400 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.09% MATSYS3640036401 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MAT90349TGQ436400 COMM 874.98 874.98U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.09% MATSYS3640036401 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MAT90349TGQ4

Totals for 12/03/2015 575,019,522.22 500,000,000.00 1,291.65 -75,018,230.57

36410 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MAT90349TGZ436409 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.09% MATSYS3640936404 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.09% MATSYS3640436405 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MAT90349TGY736404 COMM 874.98 874.98U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.09% MATSYS3640436405 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MAT90349TGY7

Totals for 12/04/2015 500,000,000.00 500,000,000.00 1,291.65 1,291.65

35280 COMM 55,200.00 55,200.00CHEVRON CORP.JEFFERIES & CO,InterestCHEVRON CORP166764AA8

Totals for 12/05/2015 55,200.00 55,200.00

35097 COMM 21,000.00 21,000.00FHLB NOTESJPMorganChaseInterestFEDERAL HOME3130A22N535193 COMM 52,500.00 52,500.00FHLB NOTESJPMorganChaseInterestFEDERAL HOME3130A22N535206 COMM 42,000.00 42,000.00FHLB NOTESJPMorganChaseInterestFEDERAL HOME3130A22N535397 COMM 63,000.00 63,000.00FHLB NOTESJPMorganChaseInterestFEDERAL HOME3130A22N5

Totals for 12/06/2015 178,500.00 178,500.00

36413 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3641336412 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.13% MATSYS3641236105 COMM 95,000,000.00 -95,000,000.00BLACKROCKPurchaseBLACKR 0.04%SYS3610536409 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.09% MATSYS3640936410 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MAT90349TGZ4

Portfolio SCL2AP


45



TotalCashInterest

PrincipalPaydowns


36409 COMM 2,624.98 2,624.98U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.09% MATSYS3640936410 COMM 1,250.00 1,250.00U S BANKU S BANKInterestUSB 0.1% MAT90349TGZ4

Totals for 12/07/2015 595,000,000.00 500,000,000.00 3,874.98 -94,996,125.02

36417 COMM 49,980,944.44 -49,980,944.44FHLB DISCOUNTBREAN CAPITAL LLCPurchaseFHLBD DISC NOTE313384SG536418 COMM 49,980,944.44 -49,980,944.44FHLB DISCOUNTBREAN CAPITAL LLCPurchaseFHLBD DISC NOTE313384SG536415 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3641536414 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.16% MATSYS3641436412 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.13% MATSYS3641236413 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3641335906 COMM 125,000.00 125,000.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME313379DT335956 COMM 118,750.00 118,750.00FHLB NOTESKEYBANC CAPITALInterestFEDERAL HOME3133XRFZ835957 COMM 31,250.00 31,250.00FHLB NOTESBREAN CAPITAL LLCInterestFEDERAL HOME313379DT336227 COMM 8,750.00 8,750.00FNMA NOTESMERRILL LYNCHInterestFEDERAL NATL MTG3135G0E4136227 COMM 4,763.89 -4,763.89 0.00FNMA NOTESMERRILL LYNCHAccr IntFEDERAL NATL MTG3135G0E4136412 COMM 1,263.91 1,263.91U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.13% MATSYS3641236413 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MATSYS36413

Totals for 12/08/2015 599,961,888.88 500,004,763.89 280,666.69 -99,676,458.30

36426 COMM 40,000,000.00 -40,000,000.00BANK OF NOVAUBS FINANCEPurchaseBNSHOU 0.4% MAT06417GCG136421 COMM 49,979,764.00 -49,979,764.00FHLB NOTESUBS FINANCEPurchaseFHLB DISC NOTE313384SF736423 COMM 5,998,924.98 -5,998,924.98FHLMC DISCOUNTUBS FINANCEPurchaseFMCDN DISC NOTE313396SB036427 COMM 10,000,791.46 -10,000,791.46FHLMC DISCOUNTUBS FINANCEPurchaseFMCDN DISC NOTE313396RM736420 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3642036419 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.16% MATSYS3641934291 COMM 100,000,000.00 -100,000,000.00MORGAN STANLEYPurchaseMSGI 0.%SYS3429136414 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.16% MATSYS3641436415 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3641536414 COMM 1,555.54 1,555.54U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.16% MATSYS3641436415 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MATSYS36415

Totals for 12/09/2015 705,979,480.44 500,000,000.00 1,972.21 -205,977,508.23

36431 COMM 24,993,625.00 -24,993,625.00FHLB DISCOUNTLOOP CAPITALPurchaseFHDN DISC NOTE313384RV336430 COMM 29,993,262.50 -29,993,262.50FHLB DISCOUNTDEUTSCHE BANKPurchaseFHLBD DISC NOTE313384RS036429 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3642936428 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.16% MATSYS3642836419 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.16% MATSYS3641936420 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3642034652 COMM 237,521.88 237,521.88FHLB NOTESJPMorganChaseInterestFEDERAL HOME313373SZ634663 COMM 265,625.00 265,625.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME313373SZ634682 COMM 531,250.00 531,250.00FHLB NOTESMORGAN STANLEYInterestFEDERAL HOME313373SZ634749 COMM 159,375.00 159,375.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME313373SZ6

Portfolio SCL2AP


46



TotalCashInterest

PrincipalPaydowns


35136 COMM 9,375.00 9,375.00FHLB NOTESRAYMOND JAMES &InterestFEDERAL HOME3130A2C6135195 COMM 9,375.00 9,375.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A2C6135512 COMM 26,203.13 26,203.13FHLB NOTESMORGAN STANLEYInterestFEDERAL HOME3130A2C6135520 COMM 46,875.00 46,875.00FHLB NOTESRAYMOND JAMES &InterestFEDERAL HOME3130A2C6136419 COMM 1,555.58 1,555.58U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.16% MATSYS3641936420 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MATSYS36420

Totals for 12/10/2015 554,986,887.50 500,000,000.00 1,287,572.26 -53,699,315.24

36434 COMM 24,994,888.89 -24,994,888.89FHLB DISCOUNTDEUTSCHE BANKPurchaseFHLBD DISC NOTE313384RS036436 COMM 19,979,400.00 -19,979,400.00FHLMC NOTESWELLS FARGOPurchaseFEDERAL HOME LN3137EADX436437 COMM 14,984,550.00 -14,984,550.00FHLMC NOTESDEUTSCHE BANKPurchaseFEDERAL HOME LN3137EADX436435 COMM 29,940,500.10 -29,940,500.10FHLMC DISCOUNTLOOP CAPITALPurchaseFMCDN DISC NOTE313396WE936433 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3643336432 COMM 349,999,999.80 -349,999,999.80U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.12% MATSYS3643234291 COMM 100,000,000.00 -100,000,000.00MORGAN STANLEYPurchaseMSGI 0.%SYS3429136428 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.16% MATSYS3642836429 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3642936428 COMM 1,555.57 1,555.57U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.16% MATSYS3642836429 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MATSYS36429

Totals for 12/11/2015 689,899,338.79 500,000,000.00 1,972.24 -189,897,366.55

35643 COMM 4,206.66 4,206.66ROYAL BANK OF RBC CAPITALInterestRBC 0.2917% MAT78009NTJ5

Totals for 12/12/2015 4,206.66 4,206.66

36440 COMM 20,000,000.00 -20,000,000.00FFCB NOTESDaiwa Capital MarketPurchaseFEDERAL FARM CR3133EFSG336441 COMM 15,000,000.00 -15,000,000.00FFCB NOTESWELLS FARGOPurchaseFEDERAL FARM CR3133EFSG336442 COMM 14,992,500.00 -14,992,500.00FFCB NOTESWELLS FARGOPurchaseFEDERAL FARM CR3133EFSH136443 COMM 19,989,800.00 -19,989,800.00FFCB NOTESMERRILL LYNCHPurchaseFEDERAL FARM CR3133EFSH136439 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3643936438 COMM 350,000,000.00 -350,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.14% MATSYS3643836432 COMM 349,999,999.80 349,999,999.80U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.12% MATSYS3643236433 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3643336402 COMM 139,750.00 139,750.00FHLB NOTESINCAPITAL LLCInterestFEDERAL HOME313379EE536402 COMM 130,433.33 -130,433.33 0.00FHLB NOTESINCAPITAL LLCAccr IntFEDERAL HOME313379EE536432 COMM 3,500.01 3,500.01U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.12% MATSYS3643236433 COMM 1,250.00 1,250.00U S BANKU S BANKInterestUSB 0.1% MATSYS36433

Totals for 12/14/2015 569,982,300.00 500,130,433.13 14,066.68 -69,837,800.19

36451 COMM 45,000,000.00 -45,000,000.00BNP PARIBAS NYUBS FINANCEPurchaseBNP P 0.92% MAT34959TDL736446 COMM 34,949,687.50 -34,949,687.50FREDDIE MACDEUTSCHE BANKPurchaseFREDN DISC NOTE313396VH336450 COMM 9,945,183.33 -9,945,183.33FARMER MACMIZUHOPurchaseFRMDN ZERO CPN31315KH4536453 COMM 35,000,000.00 -35,000,000.00RABOBANKUBS FINANCEPurchaseRABO 0.8% MAT21685VKR9

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PrincipalPaydowns


36452 COMM 30,000,000.00 -30,000,000.00TORONTOUBS FINANCEPurchaseTORDOM 0.79% MAT89113EX2736448 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3644836447 COMM 400,000,000.00 -400,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.2% MATSYS3644736389 COMM 45,000,000.00 45,000,000.00CANADIAN IMP BKUBS FINANCERedemptionCIBC 0.1% MAT13606AJQ236438 COMM 350,000,000.00 350,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.14% MATSYS3643836439 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3643934755 COMM 125,000.00 125,000.00U.S. TREASURYCITIGROUP GLOBALInterestUNITED STATES912828VG234997 COMM 125,000.00 125,000.00U.S. TREASURYMORGAN STANLEYInterestUNITED STATES912828VG235549 COMM 47,500.00 47,500.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A3SL935864 COMM 132,500.00 132,500.00FHLB NOTESWELLS FARGOInterestFHLB 1.% MAT3130A4Y7135936 COMM 75,000.00 75,000.00INTL BANK RECON &BARCLAYS CAPITALInterestIBRD 1.% MAT459058EJ835937 COMM 50,000.00 50,000.00INTL BANK RECON &BMO CAPITALInterestIBRD 1.% MAT459058EJ836389 COMM 2,500.00 2,500.00CANADIAN IMP BKUBS FINANCEInterestCIBC 0.1% MAT13606AJQ236438 COMM 1,361.13 1,361.13U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.14% MATSYS3643836439 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MATSYS3643934933 COMM 4,286.60 4,286.60TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.67% MAT89231MAC934933 COMM 593,305.48 593,305.48TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.67% MAT89231MAC935311 COMM 1,944.97 1,944.97JOHN DEERE RBC CAPITALInterestJDOT 0.54% MAT477877AB035311 COMM 489,464.60 489,464.60JOHN DEERE RBC CAPITALRedemptionJDOT 0.54% MAT477877AB035375 COMM 902.13 902.13TOYOTA AUTO RECMERRILL LYNCHInterestTAOT 0.51% MAT89190AAB635375 COMM 450,339.36 450,339.36TOYOTA AUTO RECMERRILL LYNCHRedemptionTAOT 0.51% MAT89190AAB635457 COMM 2,849.95 2,849.95HONDA AUTOBNP PARIBASInterestHAROT 0.58% MAT43814JAB035457 COMM 1,104,802.52 1,104,802.52HONDA AUTOBNP PARIBASRedemptionHAROT 0.58% MAT43814JAB035701 COMM 5,176.09 5,176.09TOYOTA AUTO RECJPMorganChaseInterestTAOT 0.71% MAT89236WAB435701 COMM 883,081.11 883,081.11TOYOTA AUTO RECJPMorganChaseRedemptionTAOT 0.71% MAT89236WAB435725 COMM 9,452.91 9,452.91JOHN DEERECITIGROUP GLOBALInterestJDOT 0.87% MAT47787UAB935725 COMM 913,953.27 913,953.27JOHN DEERECITIGROUP GLOBALRedemptionJDOT 0.87% MAT47787UAB935726 COMM 6,600.00 6,600.00JOHN DEERECITIGROUP GLOBALInterestJDOT 1.32% MAT47787UAD535726 COMM 138,760.57 138,760.57JOHN DEERECITIGROUP GLOBALRedemptionJDOT 1.32% MAT47787UAD535953 COMM 28,333.33 28,333.33CHASE ISSUANCEJPMorganChaseInterestCHAIT 1.36% MAT161571GY435953 COMM 468,636.59 468,636.59CHASE ISSUANCEJPMorganChaseRedemptionCHAIT 1.36% MAT161571GY436060 COMM 6,416.67 6,416.67TOYOTA AUTO RECCITIGROUP GLOBALInterestTAOT 0.77% MAT89237CAB736060 COMM 406,072.54 406,072.54TOYOTA AUTO RECCITIGROUP GLOBALRedemptionTAOT 0.77% MAT89237CAB736078 COMM 2,479.95 2,479.95NISSAN AUTOBARCLAYS CAPITALInterestNALT 0.99% MAT65473DAB836078 COMM 53,954.49 53,954.49NISSAN AUTOBARCLAYS CAPITALRedemptionNALT 0.99% MAT65473DAB836216 COMM 6,900.00 6,900.00JOHN DEEREROYAL BANK OFInterestJDOT 1.44% MAT47787WAC336216 COMM 119,289.85 119,289.85JOHN DEEREROYAL BANK OFRedemptionJDOT 1.44% MAT47787WAC3

Totals for 12/15/2015 704,894,870.83 550,621,660.38 634,620.40 -153,638,590.05

36457 COMM 24,866,319.50 -24,866,319.50FFCB DISCOUNTUBS FINANCEPurchaseFCDN ZERO CPN313312G2036456 COMM 34,989,519.44 -34,989,519.44FHLB DISCOUNTDEUTSCHE BANKPurchaseFHDN DISC NOTE313384SK6

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TotalCashInterest

PrincipalPaydowns


36459 COMM 24,951,736.00 -24,951,736.00FHLMC DISCOUNTLOOP CAPITALPurchaseFHLMCD DISC NOTE313396WJ836460 COMM 9,944,608.33 -9,944,608.33FARMER MACMIZUHOPurchaseFRMDN ZERO CPN31315KH8636455 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.1% MATSYS3645536454 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.21% MATSYS3645434291 COMM 100,000,000.00 -100,000,000.00MORGAN STANLEYPurchaseMSGI 0.%SYS3429136447 COMM 400,000,000.00 400,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.2% MATSYS3644736448 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3644836447 COMM 2,222.21 2,222.21U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.2% MATSYS3644736448 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MATSYS36448

Totals for 12/16/2015 644,752,183.27 550,000,000.00 2,638.88 -94,749,544.39

36464 COMM 40,000,000.00 -40,000,000.00BANK OFBMO CAPITALPurchaseBMOCHI 0.84% MAT06427EPD736466 COMM 30,000,000.00 -30,000,000.00CANADIAN IMP BKUBS FINANCEPurchaseCIBC 0.82% MAT13606ALD836463 COMM 24,966,777.78 -24,966,777.78FHLB NOTESDEUTSCHE BANKPurchaseFHLB DISC NOTE313384UY336465 COMM 25,000,000.00 -25,000,000.00RABOBANKUBS FINANCEPurchaseRABO 0.85% MAT21684BC3636462 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.2% MATSYS3646236461 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.3% MATSYS3646136454 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.21% MATSYS3645436455 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.1% MATSYS3645536454 COMM 1,750.00 1,750.00U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.21% MATSYS3645436455 COMM 416.67 416.67U S BANKU S BANKInterestUSB 0.1% MATSYS36455

Totals for 12/17/2015 569,966,777.78 450,000,000.00 2,166.67 -119,964,611.11

36470 COMM 35,000,000.00 -35,000,000.00CANADIAN IMP BKUBS FINANCEPurchaseCIBC 0.85% MAT13606ALN636469 COMM 35,000,000.00 -35,000,000.00TORONTOUBS FINANCEPurchaseTORDOM 0.94% MAT89113EX9236468 COMM 125,000,000.00 -125,000,000.00U S BANKPurchaseUSB 0.2% MATSYS3646836467 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.3% MATSYS3646736471 COMM 25,000,000.00 -25,000,000.00WELLS FARGOWELLS FARGOPurchaseWELLS 0.82% MAT94988EMS436461 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.3% MATSYS3646136462 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.2% MATSYS3646235527 COMM 56,250.00 56,250.00FFCB NOTESMERRILL LYNCHInterestFEDERAL FARM CR3133EEFE535529 COMM 56,250.00 56,250.00FFCB NOTESMERRILL LYNCHInterestFEDERAL FARM CR3133EEFE536461 COMM 2,499.98 2,499.98U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.3% MATSYS3646136462 COMM 833.34 833.34U S BANKU S BANKInterestUSB 0.2% MATSYS36462

Totals for 12/18/2015 520,000,000.00 450,000,000.00 115,833.32 -69,884,166.68

36376 COMM 16,111.20 16,111.20FHLB NOTESBARCLAYS CAPITALInterestFEDERAL HOME3130A6SW836377 COMM 16,111.20 16,111.20FHLB NOTESDEUTSCHE BANKInterestFEDERAL HOME3130A6SW8

Totals for 12/19/2015 32,222.40 32,222.40

35064 COMM 7,583.33 7,583.33VOLKSWAGENJPMorganChaseInterestVALET 0.91% MAT92867RAC335064 COMM 298,197.13 298,197.13VOLKSWAGENJPMorganChaseRedemptionVALET 0.91% MAT92867RAC3

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TotalCashInterest

PrincipalPaydowns


35065 COMM 1,347.19 1,347.19VOLKSWAGENJPMorganChaseInterestVALET 0.42% MAT92867RAB535065 COMM 1,604,696.78 1,604,696.78VOLKSWAGENJPMorganChaseRedemptionVALET 0.42% MAT92867RAB535706 COMM 6,874.57 6,874.57VOLKSWAGENBARCLAYS CAPITALInterestVALET 0.98% MAT92867VAB635706 COMM 610,167.93 610,167.93VOLKSWAGENBARCLAYS CAPITALRedemptionVALET 0.98% MAT92867VAB636274 COMM 35,000.01 35,000.01BMW VEHICLECREDIT SUISSEInterestBMWLT 1.4% MAT05581QAD036274 COMM 762,066.15 762,066.15BMW VEHICLECREDIT SUISSERedemptionBMWLT 1.4% MAT05581QAD0

Totals for 12/20/2015 3,275,127.99 50,805.10 3,325,933.09

36473 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.2% MATSYS3647336472 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.3% MATSYS3647236467 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.3% MATSYS3646736468 COMM 125,000,000.00 125,000,000.00U S BANKRedemptionUSB 0.2% MATSYS3646833890 COMM 125,000.00 125,000.00FHLB NOTESMERRILL LYNCHInterestFHLB 1.% MAT313379DD836467 COMM 7,500.02 7,500.02U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.3% MATSYS3646736468 COMM 2,083.34 2,083.34U S BANKInterestUSB 0.2% MATSYS3646835986 COMM 6,066.67 6,066.67HONDA AUTOJPMorganChaseInterestHAROT 1.04% MAT43813NAC035986 COMM 179,958.56 179,958.56HONDA AUTOJPMorganChaseRedemptionHAROT 1.04% MAT43813NAC0

Totals for 12/21/2015 250,000,000.00 425,179,958.56 140,650.03 175,320,608.59

36475 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.2% MATSYS3647536474 COMM 200,000,000.00 -200,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.23% MATSYS3647436065 COMM 2,224,221.25 2,224,221.25FHLMC NOTESBMO CAPITALRedemptionFEDERAL HOME LN3134G7CQ236065 COMM 778.75 778.75FHLMC NOTESBMO CAPITALCap G/LFEDERAL HOME LN3134G7CQ236472 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.3% MATSYS3647236473 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.2% MATSYS3647336065 COMM 6,953.13 6,953.13FHLMC NOTESBMO CAPITALInterestFEDERAL HOME LN3134G7CQ236066 COMM 60,000.00 60,000.00FHLMC NOTESMORGAN STANLEYInterestFEDERAL HOME LN3134G67C136472 COMM 833.34 833.34U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.3% MATSYS3647236473 COMM 833.34 833.34U S BANKU S BANKInterestUSB 0.2% MATSYS36473

Totals for 12/22/2015 350,000,000.00 252,225,000.00 68,619.81 -97,706,380.19

36478 COMM 24,986,909.72 -24,986,909.72FHLB DISCOUNTDEUTSCHE BANKPurchaseFHLBD DISC NOTE313384TP436477 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.2% MATSYS3647736476 COMM 300,000,000.00 -300,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.27% MATSYS3647635700 COMM 5,303,304.05 5,303,304.05GE EQUIPMERRILL LYNCHRedemptionGEET 0.89% MAT36164EAB136474 COMM 200,000,000.00 200,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.23% MATSYS3647436475 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.2% MATSYS3647536076 COMM 45,000.00 45,000.00FHLMC NOTESJPMorganChaseInterestFEDERAL HOME LN3134G64W036087 COMM 45,000.00 45,000.00FHLMC NOTESJPMorganChaseInterestFEDERAL HOME LN3134G64W036087 COMM 750.00 -750.00 0.00FHLMC NOTESJPMorganChaseAccr IntFEDERAL HOME LN3134G64W036474 COMM 1,277.77 1,277.77U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.23% MATSYS3647436475 COMM 833.34 833.34U S BANKU S BANKInterestUSB 0.2% MATSYS36475

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PrincipalPaydowns


35700 COMM 3,933.70 3,933.70GE EQUIPMERRILL LYNCHInterestGEET 0.89% MAT36164EAB135700 COMM 209,977.69 209,977.69GE EQUIPMERRILL LYNCHRedemptionGEET 0.89% MAT36164EAB135700 COMM 0.00GE EQUIPMERRILL LYNCHInterestGEET 0.89% MAT36164EAB135700 COMM 0.00GE EQUIPMERRILL LYNCHRedemptionGEET 0.89% MAT36164EAB1

Totals for 12/23/2015 474,986,909.72 355,514,031.74 95,294.81 -119,377,583.17

36480 COMM 25,000,000.00 -25,000,000.00ROYAL BANK OFROYAL BANK OFPurchaseRBC 0.915% MAT78009NYM236479 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.2% MATSYS3647936477 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.2% MATSYS3647734257 COMM 28,125.00 28,125.00FHLB NOTESCITIGROUP GLOBALInterestFHLB 0.375% MAT3133834R934261 COMM 65,625.00 65,625.00FHLB NOTESCITIGROUP GLOBALInterestFHLB 0.375% MAT3133834R934349 COMM 22,225.00 22,225.00CHEVRON CORP.BARCLAYS CAPITALInterestCVX 0.889% MAT166764AC434533 COMM 46,875.00 46,875.00FHLB NOTESDEUTSCHE BANKInterestFHLB 0.375% MAT3133834R936477 COMM 833.34 833.34U S BANKU S BANKInterestUSB 0.2% MATSYS36477

Totals for 12/24/2015 175,000,000.00 150,000,000.00 163,683.34 -24,836,316.66

35376 COMM 1,570.67 1,570.67BMW VEHICLE RBC CAPITALInterestBMWOT 0.53% MAT09658UAB535376 COMM 817,452.73 817,452.73BMW VEHICLE RBC CAPITALRedemptionBMWOT 0.53% MAT09658UAB5

Totals for 12/25/2015 817,452.73 1,570.67 819,023.40

36484 COMM 45,000,000.00 -45,000,000.00BANK OF AMERICAMERRILL LYNCHPurchaseBAC 0.86% MAT06052TRE236483 COMM 25,000,000.00 -25,000,000.00BNP PARIBAS NYUBS FINANCEPurchaseBNP P 0.85% MAT34959TDP836482 COMM 23,315,569.77 -23,315,569.77FHLB NOTESDEUTSCHE BANKPurchaseFHLB DISC NOTE313384TS836481 COMM 150,000,000.00 -150,000,000.00U.S. TREASURYU S BANKPurchaseUSTN 0.2% MATSYS3648136476 COMM 300,000,000.00 300,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.27% MATSYS3647636479 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.2% MATSYS3647936201 COMM 55,000.00 55,000.00FFCB NOTESBREAN CAPITAL LLCInterestFEDERAL FARM CR3133EDEB436201 COMM 19,250.00 -19,250.00 0.00FFCB NOTESBREAN CAPITAL LLCAccr IntFEDERAL FARM CR3133EDEB436476 COMM 11,249.98 11,249.98U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.27% MATSYS3647636479 COMM 3,333.33 3,333.33U S BANKU S BANKInterestUSB 0.2% MATSYS36479

Totals for 12/28/2015 243,315,569.77 450,019,250.00 50,333.31 206,754,013.54

36486 COMM 25,000,000.00 -25,000,000.00FHLB NOTESINCAPITAL LLCPurchaseFEDERAL HOME3130A6WL736487 COMM 10,465,000.00 -10,465,000.00FHLMC NOTESINCAPITAL LLCPurchaseFEDERAL HOME LN3134G8AB536488 COMM 12,000,000.00 -12,000,000.00FHLMC NOTESINCAPITAL LLCPurchaseFEDERAL HOME LN3134G8DY236485 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.2% MATSYS3648536481 COMM 150,000,000.00 150,000,000.00U.S. TREASURYU S BANKRedemptionUSTN 0.2% MATSYS3648135498 COMM 125,000.00 125,000.00FHLMC NOTESBNP PARIBASInterestFEDERAL HOME LN3137EADH935816 COMM 131,250.00 131,250.00FHLB NOTESWELLS FARGOInterestFEDERAL HOME3130A4UP535893 COMM 116,250.00 116,250.00FHLMC NOTESDaiwa Capital MarketInterestFEDERAL HOME LN3134G6TF036093 COMM 31,800.00 31,800.00FNMA NOTESUBS FINANCEInterestFEDERAL NATL MTG3136G2KZ936094 COMM 40,156.25 40,156.25FHLMC NOTESINCAPITAL LLCInterestFEDERAL HOME LN3134G6V26

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TotalCashInterest

PrincipalPaydowns


36481 COMM 833.34 833.34U.S. TREASURYU S BANKInterestUSTN 0.2% MATSYS36481

Totals for 12/29/2015 197,465,000.00 150,000,000.00 445,289.59 -47,019,710.41

36490 COMM 5,000,000.00 -5,000,000.00FHLMC NOTESINCAPITAL LLCPurchaseFEDERAL HOME LN3134G8FC836489 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.2% MATSYS3648935554 COMM 10,000,000.00 10,000,000.00FHLMC CALLABLEUBS FINANCERedemptionFHLMCC 1.05% MAT3134G5VV436485 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.2% MATSYS3648535554 COMM 52,500.00 52,500.00FHLMC CALLABLEUBS FINANCEInterestFHLMCC 1.05% MAT3134G5VV436485 COMM 833.34 833.34U S BANKU S BANKInterestUSB 0.2% MATSYS36485

Totals for 12/30/2015 155,000,000.00 160,000,000.00 53,333.34 5,053,333.34

36492 COMM 13,200,741.36 -13,200,741.36FFCB NOTESDEUTSCHE BANKPurchaseFEDERAL FARM CR3133EFMU836493 COMM 39,883,333.33 -39,883,333.33FHLMC DISCOUNTMIZUHOPurchaseFMCDN ZERO CPN313396ZY236491 COMM 150,000,000.00 -150,000,000.00U S BANKU S BANKPurchaseUSB 0.2% MATSYS3649136105 COMM 60,000,000.00 -60,000,000.00BLACKROCKPurchaseBLACKR 0.04%SYS3610536489 COMM 150,000,000.00 150,000,000.00U S BANKU S BANKRedemptionUSB 0.2% MATSYS3648934291 COMM 60,000,000.00 60,000,000.00MORGAN STANLEYRedemptionMSGI 0.%SYS3429135886 COMM 171,875.00 171,875.00U.S. TREASURYMERRILL LYNCHInterestUNITED STATES912828VK336489 COMM 833.40 833.40U S BANKU S BANKInterestUSB 0.2% MATSYS36489

Totals for 12/31/2015 263,084,074.69 210,000,000.00 172,708.40 -52,911,366.29

Grand Total 25,374,763,153. 23,826,270,073. 10,031,732.51 -1,538,461,347.

Portfolio SCL2AP


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