dec 2020 · encinitas 4,211 4,212 4,212 0.03% san diego regional training center 576 348 297 0.00%...

DEC2020

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TABLE OF CONTENTS

Summary Portfolio Statistics

Cash Flow Analysis

Participant Cash Balances

Asset Allocation

Note: The Information provided, including all charts, tables, graphs and numerical representations, are provided to readers solely as a

general overview of the economic and market conditions which the Treasurer utilizes in making investment decisions.

Asset Credit Quality

Appendix 09 - Investment Policy Compliance Report 10 - Investment Inventory Report 20 - Investment Transaction Report

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WAM

Investment Type Par Value Book Value Days YTM

Asset Backed Securities 679,758,336 682,471,417 687,932,260 5.57 101.202 967 1.98 951,927 5,460,844 Commercial Paper 1,640,000,000 1,639,224,962 1,639,311,400 13.37 99.958 84 0.20 - 86,438

Federal Agency Securities 2,945,613,000 2,949,983,288 2,989,257,337 24.06 101.482 1169 1.08 8,028,564 39,274,049

Medium-Term Notes 977,391,000 981,809,412 995,365,985 8.01 101.839 443 2.05 7,232,077 13,556,573

Municipal Bonds 247,650,000 248,053,352 251,073,490 2.02 101.382 1110 0.94 767,239 3,020,137

Negotiable CDs 3,441,250,000 3,441,263,692 3,441,391,288 28.06 100.004 133 1.28 3,695,827 127,595

Supranational Securities 957,415,000 963,584,724 991,833,607 7.86 103.595 949 1.88 6,319,111 28,248,884

U.S. Treasuries 500,000,000 502,541,011 516,547,180 4.10 103.330 865 1.50 2,345,422 14,006,169

Money Market / LGIPs 504,394,669 504,394,669 504,394,669 4.11 100.000 1 0.12 26,439 -

Bank Deposit 349,327,163 349,327,163 349,327,163 2.85 100.000 1 0.15 30,955 -

Totals for December 2020 12,242,799,168 12,262,653,690 12,366,434,378 100.00 101.018 552 0.88 29,397,560 103,780,688

Totals for November 2020 10,396,963,903 10,417,981,190 10,524,410,956 100.00 101.236 643 1.02 27,276,785 106,429,767

Change from Prior Month 1,845,835,265 1,844,672,500 1,842,023,422 (0.218) (91) -0.14 2,120,775 (2,649,079)

Portfolio Effective Duration 1.06 years

Return Information Annualized Annualized

Book Value 0.077% 0.905% 0.612% 1.215% 1.552%

NotesYield to maturity (YTM) is the estimated rate of return on a bond given its purchase price, assuming all coupon payments are made on a timely basis and reinvested at this same rate of return to the maturity date.

Weighted Average Maturity (WAM) is average time it takes for securities in a portfolio to mature, weighted in proportion to the dollar amount that is invested in the portfolio.

Yields for the portfolio are aggregated based on the book value of each security.

Monthly Investment Returns are reported gross of fees. Administration fees since fiscal year 17-18 have averaged approximately 7 basis points per annum.

**All Investments held during the month of December 2020 were in compliance with the Investment Policy dated January 1, 2020.

SUMMARY PORTFOLIO STATISTICSCounty of San Diego Pooled Money Fund

As of December 31, 2020

Unrealized

Gain/Loss

Accrued

InterestMarket Value % of Portfolio Market Price

Monthly Return Annualized

1.548%

Calendar Year

To Date Return

Fiscal Year To

Date Return

3

Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21

Beginning Pool Book Balance 10,417,981 12,262,654 11,389,492 10,824,161 10,696,943 12,002,320

Inflows

Investment Inflows 1,232,590 1,221,270 849,790 560,000 195,000 968,137

Projected Credits 3,090,507 919,739 820,543 1,152,680 2,709,548 585,669

4,323,097 2,141,009 1,670,333 1,712,680 2,904,548 1,553,806

Outflows

Investment Purchases 2,521,000 180,000 - - -

Projected Debits 1,245,834 1,792,901 1,385,874 1,279,898 1,404,171 1,796,367

3,766,834 1,972,901 1,385,874 1,279,898 1,404,171 1,796,367

Net Cash Flows 1,844,673 (873,162) (565,331) (127,218) 1,305,377 (1,210,698)

MONTH END POOL BALANCE 12,262,654 11,389,492 10,824,161 10,696,943 12,002,320 10,791,622

PROJECTED MONTH END LIQUIDITY 343,851$ 511,959$ 796,418$ 1,229,200$ 2,729,577$ 2,487,016$

The projected cash flows indicate sufficient liquidity to meet all scheduled expenditures for the next 6 months.

Note: The above is not meant to be a complete Cash Flow Statement. The data represents a subset of the main cash flow items and does not

include accrued interest or other adjustment items.

PROJECTED LIQUIDITYCounty of San Diego Pooled Money Fund


($000)

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FMV FMV FMV % of FMV FMV FMV % ofPARTICIPANT 10/31/20 11/30/20 12/31/20 Total PARTICIPANT 10/31/20 11/30/20 12/31/20 Total

COUNTY 1,492,794$ 1,908,131$ 2,462,228$ 19.91% Leucadia Wastewater District 6,005 6,005 7,010 0.06%

COUNTY - SPECIAL TRUST FUNDS 1,977,245 1,960,232 2,444,035 19.76% Lower Sweetwater FPD 685 428 547 0.00%

NON-COUNTY INVESTMENT FUNDS 116,851 131,030 138,556 1.12% Metropolitan Transit System 56,063 68,845 62,659 0.51%

SCHOOLS - (K THRU 12) 4,925,549 4,755,622 5,443,073 44.01% Mission Resource Conservation District 102 104 115 0.00%

North County Transit District 20,179 28,226 28,226 0.23%

COMMUNITY COLLEGES North County Cemetery District 6,808 6,787 7,196 0.06%

San Diego 98,368 95,816 141,875 1.16% North County Dispatch 4,819 5,375 4,981 0.04%

Grossmont-Cuyamaca 122,171 121,075 131,331 1.06% North County FPD 2,991 2,790 2,799 0.02%

MiraCosta 346,403 333,640 359,696 2.91% Otay Water District 36,448 41,454 41,455 0.34%

Palomar 203,641 202,814 230,071 1.86% Palomar Health Care District* 0 0 0 0.00%

Southwestern 155,843 152,868 157,984 1.28% Pomerado Cemetery District 1,887 1,870 2,045 0.02%

Total Community Colleges 926,425 906,212 1,020,957 8.26% Public Agencies Self-Insurance System 3,534 3,535 3,507 0.03%

Ramona Cemetery District 1,002 978 1,029 0.01%

FIRST 5 COMMISSION 39,608 40,929 41,919 0.34% Rancho Santa Fe FPD 6,462 6,145 8,317 0.07%

SANCAL 3,925 26 26 0.00% Resource Conservation District of Greater SD* 0 0 0 0.00%

SDCERA 7,874 7,760 2,166 0.02% Rincon del Diablo Municipal Water District 6,845 6,846 6,847 0.06%

SANDAG 147,396 148,098 143,339 1.16%

CITIES SD County Regional Airport Authority 269,412 271,219 271,227 2.19%

Chula Vista 40,258 40,255 40,256 0.33% San Diego Housing Commission 22,195 22,198 22,199 0.18%

Coronado 29,210 26,204 26,205 0.21% San Diego Geographic Information Source 831 937 1,066 0.01%

Del Mar 2,777 2,778 2,778 0.02% San Diego Law Library 4,723 4,738 4,734 0.04%

El Cajon 11 16 0 0.00% San Diego Local Agency Formation Comm 2,574 2,431 2,318 0.02%

Encinitas 4,211 4,212 4,212 0.03% San Diego Regional Training Center 576 348 297 0.00%

National City 36,435 36,440 36,441 0.29% San Dieguito River Park 1,280 1,205 1,093 0.01%

Oceanside* 0 0 0 0.00% San Marcos FPD 1 1 1 0.00%

Solana Beach* 0 0 0 0.00% San Miguel Consolidated FPD 14,651 14,838 13,394 0.11%

Santa Fe Irrigation District 4,519 4,519 4,519 0.04%

INDEPENDENT AGENCIES Serra Cooperative Library System 0 0 0 0.00%

Alpine FPD 681 685 1,610 0.01% Upper San Luis Rey Resource Conserv Dist 71 72 74 0.00%

Bonita-Sunnyside FPD 4,940 5,141 5,832 0.05% Vallecitos Water District 5,550 5,551 5,551 0.04%

Borrego Springs FPD 1,072 1,109 1,486 0.01% Valley Center FPD 949 968 1,218 0.01%

Canebrake County Water District 55 55 55 0.00% Valley Center Cemetery District 393 395 407 0.00%

Deer Springs FPD 12,419 12,772 13,568 0.11% Valley Center Water District 19,142 18,395 18,757 0.15%

Fallbrook Public Utility District 0 0 0 0.00% Vista FPD 3,594 3,594 4,721 0.04%

Grossmont Healthcare District 2 2 2 0.00% Whispering Palms Community Services District* 0 0 0 0.00%

Julian-Cuyamaca FPD 517 517 517 0.00% Total Voluntary Participants 841,599 863,183 857,586 6.93%

Lake Cuyamaca Rec & Park District 177 156 108 0.00%

Lakeside FPD 5,741 5,230 8,754 0.07% Pooled Money Fund Total 10,280,462$ 10,524,411$ 12,366,435$ 100.00%

* Footnote: The Oracle ending balances for these pool participants are under $500. Due to rounding, the FMV will show as zero even though there is an Oracle balance.

County of San Diego Pooled Money FundAs of December 31, 2020

($000)

PARTICIPANT CASH BALANCES

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*Totals may not add to 100% due to rounding

INVESTMENT FUND PARTICIPANTS

San Diego Pooled Money FundAs of December 31, 2020

Schools44.01%

Community Colleges8.26%

County Funds39.67%

Non County Funds1.12%

Voluntary Depositors

6.93%

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*Totals may not add to 100% due to rounding


INVESTMENT FUND OVERVIEW

Asset Allocation Credit Quality

F1+31.60%

F110.04%

A-0.39%

A+2.21%

AA-3.85%

AA0.30%

AA+2.01%

AAA46.76%

NR2.85%

Asset Backed

Securities5.57%

Federal Agency

Securities24.06%

Bank Deposit2.85%

Medium-Term Notes

8.01%

Commercial Paper

13.37%

Municipal Bonds2.02%

Supranational Securities

7.86%

U.S. Treasuries

4.10%

Negotiable CD's

28.06%

Money Market /

LGIPs4.11%

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Category Standard Comment

Treasury Issues No Limit Complies - 4.1%

Agency Issues 35% per issuer Complies - 24.1%

Local Agency Obligations SP-1/"A" by S&P or MIG1/"A" by Moody's or F-1/"A" by Fitch minimum rating by 1 of 3 NRSROs; (ST ratings for 1 year

or less; LT ratings for over 1 year) ; 30% maximum; 10% per issuerComplies - 2.0%

Banker's Acceptance A-1 by S&P or P-1 by Moody's or F-1 by Fitch minimum rating by 1 of 3 NRSROs; 40% maximum; 5% per issuer; 180

days max maturityComplies

Commercial Paper A-1/"A" by S&P or P-1/"A" by Moody's or F-1/"A" by Fitch minimum rating by 1 of 3 NRSROs; 40% maximum; 10% per

issuer; 270 days max maturityComplies - 13.4%

Medium Term Notes A-1/"A" by S&P or P-1/"A" by Moody's or F-1/"A" by Fitch minimum rating by 1 of 3 NRSROs; (ST ratings for 1 year or

less; LT ratings for over 1 year); 30% maximum; 5% per issuerComplies - 8.0%

Negotiable Certificates of Deposit A-1/"A" by S&P or P-1/"A" by Moody's or F-1/"A" by Fitch minimum rating by 1 of 3 NRSROs; (ST ratings for 1 year or

less; LT ratings for over 1 year); 30% maximum; 10% per issuer; 5 years maximum maturity for NCDs; 13 months

max maturity for FDIC insured

Complies - 28.1%

Repurchase Agreements 40% maximum; 10% per issuer if avg weighted maturity >5 days; 15% per issuer if avg weighted maturity <5 days; 1-

year maximum maturity; Complies

Reverse Repurchase Agreements 20% maximum combined with Securities Lending; 10% per issuer; 92-day maximum maturity N/A

Collateralized Certificates of Deposit A-1 by S&P or P-1 by Moody's, or F-1 by Fitch minimum rating; 5% maximum; 5% per issuer; 13 months maximum

maturity; 110% collateral requiredComplies

FDIC & NCUA Insured Deposit 5% maximum; 5% per issuer; 13 months maximum maturity; No minimum credit requirement for FDIC or NCUA

insured deposit accountsComplies - 2.8%

Covered Call Option/ Put Option 10% maximum; 90-day maximum maturity N/A

Money Market Mutual Funds AAAm by S&P, or Aaa-mf by Moody's, or AAAmmf by Fitch minimum rating by 1 of 3 NRSROs; 20% maximum; 10% per

fundComplies - 0.0%

Local Government Investment Pools AAAm by S&P, or Aaa-mf by Moody's, or AAAmmf by Fitch minimum rating by 1 of 3 NRSROs; 5% maximum Complies - 4.1%

SupranationalsA-1/"AA" by S&P or P-1/"Aa" by Moody's, or F-1/"AA" by Fitch minimum rating by 1 of 3 NRSROs; 30% maximum;

10% per issuer; USD denominated senior unsecured unsubordinated obligations issued by IBRD, IFC, and IADB Complies - 7.9%

Pass-Through Securities Non-mortgaged backed; "A" minimum rated issuer by 1 of 3 NRSROs; "AA" minimum rated by 1 of 3 NRSROs; 20%

maximum; 5% per issuerComplies - 5.6%

Maximum Maturity 5 years Complies

Illiquidity Limitations 10% maximum for combined categories for Collateralized CDs and FDIC Insured Deposit Accounts Complies

Maximum Issuer Exposure 10% per any single CP and CD issuer, and 5% per any single issuer for the other categories listed above (does not

include US Government, repurchase agreements, supranationals, money market fund)Complies

Maturity Policy - Portfolio Structure Minimum 15% ≤ 90 days; and minimum 35% ≤1 year; maximum effective duration for portfolio 2 years Complies

Prohibited Securities Inverse floaters; Ranges notes, Interest-only strips from mortgaged backed securities; Zero interest accrual securities Complies

Credit Rating Policy - monitoring ratings Overall credit rating of AAAf/S1, by Fitch; Investments rated below A-1 (short term) or below the "A" category (long

term), at the time of purchase, are prohibited in this policy Complies

Securities Lending92-day maximum maturity; 10% per counterparty; 20% maximum combined with Reverse Repurchase Agreements N/A

*Complied at time of purchase

INVESTMENT POLICY COMPLIANCE REPORTCounty of San Diego Pooled Money Fund


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IssuerPurchase

Date Par Value Book Value Market Value Coupon YTMMaturity

DateAccrued Interest

Unrealized

Gain/LossAsset Backed SecuritiesToyota Auto Receivables 11/30/2018 652,903.23 641,987.50 654,172.93 1.93 2.97 01/18/2022 560.03 12,185.43Ford Credit Auto Owner Trust 06/21/2019 732,630.49 732,607.49 733,216.89 2.35 2.36 02/15/2022 765.15 609.40Honda Auto Rec Owner Trust 08/27/2019 8,397,071.90 8,396,484.10 8,427,096.47 1.90 1.91 04/15/2022 7,090.85 30,612.37Toyota Auto Receivables 08/14/2019 2,921,289.20 2,921,153.36 2,930,562.25 2.00 2.01 04/15/2022 2,041.14 9,408.89Harley-Davidson Motorcycle Tru 06/26/2019 40,477.06 40,476.55 40,508.42 2.37 2.38 05/15/2022 42.63 31.87John Deere Owner Trust 07/24/2019 2,597,634.45 2,597,624.58 2,602,911.28 2.28 2.29 05/16/2022 2,632.29 5,286.70BMW Vehicle Owner Trust 09/18/2019 1,556,984.66 1,556,951.81 1,560,762.99 2.05 2.06 05/25/2022 532.04 3,811.18Hyundai Auto Receivables Trust 11/06/2019 2,135,190.73 2,135,058.56 2,142,669.24 1.93 1.94 07/15/2022 1,831.54 7,610.68Toyota Auto Receivables 11/13/2019 10,300,560.02 10,299,798.81 10,343,493.78 1.92 1.93 07/15/2022 8,789.78 43,694.97GM Financial Securitized Term 07/24/2019 1,762,445.87 1,762,378.02 1,764,894.96 2.23 2.24 08/16/2022 1,636.87 2,516.94Honda Auto Rec Owner Trust 05/03/2019 8,991,201.77 9,055,123.60 9,097,702.55 2.95 2.48 08/22/2022 7,367.90 42,578.95Nissan Auto Receivables Owner 06/30/2020 18,226,284.04 18,225,740.90 18,243,945.31 0.47 0.47 10/17/2022 3,807.24 18,204.41Honda Auto Rec Owner Trust 02/26/2020 10,857,868.75 10,856,768.85 10,926,855.30 1.63 1.64 10/21/2022 4,916.27 70,086.45Honda Auto Rec Owner Trust 05/27/2020 4,470,095.43 4,469,761.07 4,480,239.42 0.74 0.75 11/15/2022 1,470.12 10,478.35Toyota Auto Receivables 02/12/2020 22,035,575.31 22,035,304.27 22,167,605.87 1.67 1.68 11/15/2022 16,355.24 132,301.60GM Financial Securitized Term 03/25/2020 6,768,948.96 6,693,591.49 6,787,024.76 1.84 3.76 11/16/2022 5,189.06 93,433.27Toyota Auto Receivables 05/03/2019 14,501,624.00 14,646,073.76 14,702,591.86 3.02 2.50 12/15/2022 19,464.22 56,518.10Toyota Auto Receivables 08/01/2019 17,847,033.71 18,114,042.07 18,094,363.26 3.02 2.05 12/15/2022 23,954.56 (19,678.81)Harley-Davidson Motorcycle Tru 01/29/2020 3,043,732.73 3,043,579.33 3,056,510.02 1.83 1.84 01/17/2023 2,475.57 12,930.69Citibank Credit Card Issuance 04/16/2019 28,310,000.00 28,279,218.03 28,344,784.50 2.49 2.55 01/20/2023 315,255.44 65,566.47Ford Credit Auto Owner Trust 06/19/2020 20,738,305.24 20,737,392.75 20,760,686.02 0.50 0.50 02/15/2023 4,608.47 23,293.27Honda Auto Rec Owner Trust 09/29/2020 16,000,000.00 15,998,907.20 16,004,992.00 0.27 0.28 02/21/2023 1,560.00 6,084.80BMW Vehicle Owner Trust 07/15/2020 6,709,307.09 6,708,830.73 6,715,629.94 0.39 0.40 02/27/2023 436.11 6,799.21Hyundai Auto Receivables Trust 07/22/2020 6,000,000.00 5,999,419.20 6,005,518.80 0.38 0.39 03/15/2023 1,013.33 6,099.60John Deere Owner Trust 07/22/2020 3,000,000.00 2,999,853.90 3,002,569.20 0.41 0.41 03/15/2023 546.67 2,715.30Toyota Auto Receivables 11/07/2018 12,075,792.31 12,073,180.32 12,272,647.05 3.18 3.21 03/15/2023 17,067.11 199,466.73Honda Auto Rec Owner Trust 02/27/2019 9,206,053.51 9,205,806.79 9,362,610.74 3.11 3.13 03/20/2023 60,388.92 156,803.95Citibank Credit Card Issuance 03/18/2019 7,000,000.00 6,995,269.28 7,075,778.50 2.68 2.71 06/07/2023 12,506.67 80,509.22Nissan Auto Receivables Owner 12/06/2019 7,382,352.75 7,537,209.13 7,524,296.94 3.22 1.91 06/15/2023 10,564.97 (12,912.19)Honda Auto Rec Owner Trust 05/29/2019 28,500,000.00 28,498,936.95 29,030,672.85 2.52 2.54 06/21/2023 19,950.00 531,735.90Bank of America Corp 03/20/2019 22,790,000.00 22,772,195.31 22,858,581.95 2.70 2.73 07/17/2023 27,348.00 86,386.64Toyota Auto Receivables 02/13/2019 18,433,972.30 18,430,613.63 18,755,425.75 2.91 2.94 07/17/2023 23,841.26 324,812.12Honda Auto Rec Owner Trust 08/27/2019 24,000,000.00 23,999,800.80 24,391,756.80 1.78 1.79 08/15/2023 18,986.82 391,956.00Nissan Auto Receivables Owner 05/28/2019 28,000,000.00 27,993,669.20 28,540,960.00 2.50 2.52 11/15/2023 33,362.72 547,290.80GM Financial Securitized Term 10/14/2020 8,000,000.00 7,999,416.00 8,002,588.00 0.26 0.26 11/16/2023 866.65 3,172.00American Express Credit Accoun 12/17/2018 38,000,000.00 37,881,250.00 38,388,975.60 2.99 3.14 12/15/2023 50,497.30 507,725.60Discover Card Execution Note T 03/27/2019 30,000,000.00 30,460,546.88 30,462,375.00 3.11 2.43 01/16/2024 41,466.46 1,828.12Toyota Auto Receivables 11/13/2019 13,500,000.00 13,499,025.30 13,769,202.15 1.92 1.93 01/16/2024 11,520.00 270,176.85Honda Auto Rec Owner Trust 11/26/2019 22,500,000.00 22,495,990.50 22,957,854.75 1.83 1.85 01/18/2024 14,868.76 461,864.25BMW Vehicle Owner Trust 09/18/2019 10,500,000.00 10,498,588.80 10,660,163.85 1.92 1.93 01/25/2024 3,360.00 161,575.05American Express Credit Accoun 03/27/2019 40,253,000.00 40,825,347.34 40,868,528.75 3.06 2.42 02/15/2024 54,744.08 43,181.41Hyundai Auto Receivables Trust 11/06/2019 8,500,000.00 8,499,608.15 8,656,103.35 1.94 1.95 02/15/2024 7,328.89 156,495.20Discover Card Execution Note T 07/11/2019 8,750,000.00 8,959,179.69 8,941,636.38 3.32 2.20 03/15/2024 12,910.93 (17,543.31)

INVESTMENT INVENTORY - MARKET VALUECounty of San Diego Pooled Money Fund


10

IssuerPurchase



Unrealized

Gain/Loss



American Express Credit Accoun 06/13/2019 22,120,000.00 22,584,865.63 22,576,298.00 3.18 2.23 04/15/2024 31,262.93 (8,567.63)GM Financial Securitized Term 07/10/2020 27,900,000.00 28,574,613.28 28,351,377.36 2.18 0.81 04/16/2024 25,342.08 (223,235.92)Honda Auto Rec Owner Trust 02/26/2020 16,500,000.00 16,496,766.00 16,845,275.70 1.61 1.62 04/22/2024 7,379.08 348,509.70Nissan Auto Receivables Owner 10/23/2019 12,000,000.00 11,999,366.40 12,244,741.20 1.93 1.94 07/15/2024 10,293.33 245,374.80John Deere Owner Trust 03/11/2020 12,000,000.00 11,999,266.80 12,150,547.20 1.10 1.11 08/15/2024 5,866.67 151,280.40GM Financial Securitized Term 01/15/2020 13,000,000.00 12,996,938.50 13,281,589.10 1.84 1.86 09/16/2024 8,637.77 284,650.60Harley-Davidson Motorcycle Tru 01/29/2020 6,000,000.00 5,998,691.40 6,094,723.80 1.87 1.89 10/15/2024 4,986.67 96,032.40Toyota Auto Receivables 10/13/2020 7,000,000.00 6,998,695.90 7,013,867.00 0.35 0.36 01/15/2025 1,088.89 15,171.10GM Financial Securitized Term 10/14/2020 7,250,000.00 7,248,450.68 7,262,374.30 0.38 0.39 08/18/2025 1,147.90 13,923.62Asset Backed Securities Subtotal: 679,758,335.51 682,471,416.59 687,932,260.09 2.17 1.98 951,927.38 5,460,843.50

Bank DepositJP Morgan Bank Deposit 10/01/2020 349,327,163.26 349,327,163.26 349,327,163.26 0.15 0.15 30,954.52 0.00Bank Deposit Subtotal: 349,327,163.26 349,327,163.26 349,327,163.26 0.15 0.15 30,954.52 0.00

Commercial PaperToyota Motor Credit Corp 07/08/2020 25,000,000.00 24,999,375.00 24,999,750.00 0.30 0.30 01/04/2021 0.00 375.00Toyota Motor Credit Corp 07/07/2020 50,000,000.00 49,995,833.33 49,998,500.00 0.30 0.31 01/11/2021 0.00 2,666.67Toyota Motor Credit Corp 07/27/2020 25,000,000.00 24,996,250.00 24,998,750.00 0.30 0.30 01/19/2021 0.00 2,500.00Natixis US Finance Co. 10/26/2020 30,000,000.00 29,997,625.00 29,997,900.00 0.15 0.15 01/20/2021 0.00 275.00Natixis US Finance Co. 10/27/2020 75,000,000.00 74,994,062.50 74,994,750.00 0.15 0.15 01/20/2021 0.00 687.50Natixis US Finance Co. 11/12/2020 100,000,000.00 99,992,083.33 99,993,000.00 0.15 0.15 01/20/2021 0.00 916.67Toyota Motor Credit Corp 07/01/2020 25,000,000.00 24,994,222.22 24,998,000.00 0.32 0.33 01/27/2021 0.00 3,777.78Cooperatieve Rabo 09/04/2020 100,000,000.00 99,985,361.11 99,992,000.00 0.17 0.17 02/01/2021 0.00 6,638.89Natixis US Finance Co. 11/13/2020 25,000,000.00 24,995,868.05 24,996,250.00 0.17 0.17 02/05/2021 0.00 381.95Natixis US Finance Co. 11/13/2020 50,000,000.00 49,987,597.22 49,989,500.00 0.19 0.19 02/17/2021 0.00 1,902.78Cooperatieve Rabo 08/25/2020 50,000,000.00 49,985,486.11 49,990,000.00 0.19 0.19 02/25/2021 0.00 4,513.89Natixis US Finance Co. 12/04/2020 75,000,000.00 74,976,645.83 74,979,000.00 0.19 0.19 03/01/2021 0.00 2,354.17Natixis US Finance Co. 12/04/2020 50,000,000.00 49,984,166.67 49,985,500.00 0.19 0.19 03/02/2021 0.00 1,333.33Natixis US Finance Co. 12/09/2020 60,000,000.00 59,980,050.00 59,981,400.00 0.19 0.19 03/05/2021 0.00 1,350.00Toyota Motor Credit Corp 11/24/2020 50,000,000.00 49,985,125.00 49,989,000.00 0.17 0.17 03/05/2021 0.00 3,875.00Cooperatieve Rabo 09/14/2020 50,000,000.00 49,982,583.33 49,986,500.00 0.19 0.19 03/08/2021 0.00 3,916.67Cooperatieve Rabo 09/23/2020 25,000,000.00 24,989,305.56 24,992,000.00 0.20 0.20 03/19/2021 0.00 2,694.44Cooperatieve Rabo 11/09/2020 25,000,000.00 24,988,875.00 24,990,250.00 0.18 0.18 03/31/2021 0.00 1,375.00Toyota Motor Credit Corp 12/08/2020 100,000,000.00 99,955,500.00 99,963,000.00 0.18 0.18 03/31/2021 0.00 7,500.00Toyota Motor Credit Corp 12/08/2020 95,000,000.00 94,940,334.72 94,947,750.00 0.19 0.19 04/30/2021 0.00 7,415.28Cooperatieve Rabo 12/07/2020 125,000,000.00 124,912,500.00 124,912,500.00 0.20 0.20 05/07/2021 0.00 0.00Canadian Imperial Holding 08/14/2020 25,000,000.00 24,978,333.33 24,983,000.00 0.24 0.24 05/11/2021 0.00 4,666.67Cooperatieve Rabo 12/07/2020 75,000,000.00 74,945,416.67 74,945,250.00 0.20 0.20 05/12/2021 0.00 (166.67)Cooperatieve Rabo 12/09/2020 100,000,000.00 99,923,583.34 99,927,000.00 0.21 0.21 05/12/2021 0.00 3,416.66Toyota Motor Credit Corp 12/14/2020 50,000,000.00 49,965,430.56 49,969,000.00 0.19 0.19 05/12/2021 0.00 3,569.44BNP Paribas NY 11/16/2020 25,000,000.00 24,977,833.34 24,983,750.00 0.24 0.24 05/14/2021 0.00 5,916.66Toyota Motor Credit Corp 12/14/2020 50,000,000.00 49,960,152.78 49,962,500.00 0.19 0.19 06/01/2021 0.00 2,347.22

11

IssuerPurchase



Unrealized

Gain/Loss



Canadian Imperial Holding 10/23/2020 35,000,000.00 34,963,045.75 34,960,100.00 0.21 0.21 07/01/2021 0.00 (2,945.75)JP Morgan 12/01/2020 70,000,000.00 69,892,316.66 69,905,500.00 0.26 0.26 08/02/2021 0.00 13,183.34Commercial Paper Subtotal: 1,640,000,000.00 1,639,224,962.41 1,639,311,400.00 0.20 0.20 0.00 86,437.59

Federal AgencyFederal Home Loan Bank 09/21/2016 25,000,000.00 25,003,573.87 25,039,000.00 1.38 1.26 02/18/2021 126,996.53 35,426.13Federal Home Loan Bank 02/14/2017 25,000,000.00 24,987,232.86 25,039,000.00 1.38 1.78 02/18/2021 126,996.53 51,767.14Federal Home Loan Bank 02/17/2017 25,000,000.00 25,000,000.00 25,090,500.00 1.82 1.82 03/17/2021 131,444.44 90,500.00Federal National Mtg Assn 06/17/2016 15,000,000.00 15,000,671.55 15,058,500.00 1.25 1.24 05/06/2021 28,645.83 57,828.45Federal National Mtg Assn 09/21/2016 25,000,000.00 24,994,782.28 25,097,500.00 1.25 1.31 05/06/2021 47,743.06 102,717.72Federal Home Loan Bank 07/14/2016 15,000,000.00 15,042,910.89 15,112,800.00 1.88 1.21 06/11/2021 15,625.00 69,889.11Federal Home Loan Bank 08/04/2016 35,000,000.00 34,983,985.34 35,187,950.00 1.13 1.21 07/14/2021 182,656.25 203,964.66Federal Home Loan Mtg Corp 10/05/2016 20,000,000.00 19,970,524.90 20,122,800.00 1.13 1.37 08/12/2021 86,875.00 152,275.10Federal National Mtg Assn 09/21/2016 35,000,000.00 34,977,336.01 35,250,600.00 1.25 1.36 08/17/2021 162,847.22 273,263.99Federal National Mtg Assn 11/08/2016 35,000,000.00 34,982,143.47 35,333,900.00 1.38 1.44 10/07/2021 112,291.67 351,756.53Federal Home Loan Bank 03/27/2017 25,000,000.00 25,064,475.90 25,633,000.00 2.25 2.02 03/11/2022 171,875.00 568,524.10Federal Home Loan Bank 04/05/2019 18,290,000.00 18,322,620.63 18,807,607.00 2.50 2.34 03/11/2022 139,715.28 484,986.37Federal National Mtg Assn 04/12/2019 50,000,000.00 49,929,996.30 51,396,500.00 2.25 2.36 04/12/2022 246,875.00 1,466,503.70Federal Farm Credit Bank 09/26/2019 29,425,000.00 29,397,692.38 30,019,090.75 1.55 1.62 06/01/2022 38,007.29 621,398.37Federal Farm Credit Bank 09/26/2019 25,000,000.00 24,985,069.95 25,504,750.00 1.55 1.59 06/01/2022 32,291.67 519,680.05Federal Home Loan Bank 04/08/2019 10,000,000.00 10,004,499.21 10,327,200.00 2.38 2.34 06/10/2022 13,854.17 322,700.79Federal Farm Credit Bank 12/16/2019 40,000,000.00 39,998,834.26 40,857,600.00 1.63 1.63 06/15/2022 28,977.78 858,765.74Federal Home Loan Bank 10/24/2019 25,000,000.00 25,154,129.47 25,782,250.00 2.00 1.62 09/09/2022 155,555.56 628,120.53Federal Farm Credit Bank 10/11/2019 10,000,000.00 9,993,303.70 10,217,100.00 1.38 1.41 10/11/2022 30,555.56 223,796.30Federal Farm Credit Bank 07/01/2019 50,000,000.00 49,998,255.81 51,736,500.00 1.85 1.85 02/01/2023 385,416.67 1,738,244.19Federal Farm Credit Bank 07/03/2019 20,000,000.00 20,010,947.20 20,694,600.00 1.85 1.82 02/01/2023 154,166.67 683,652.80Federal Home Loan Bank 04/04/2019 29,195,000.00 29,449,587.20 30,857,655.25 2.75 2.33 03/10/2023 247,549.27 1,408,068.05Federal Home Loan Bank 04/04/2019 10,000,000.00 10,087,202.33 10,569,500.00 2.75 2.33 03/10/2023 84,791.67 482,297.67Federal Home Loan Bank 06/28/2019 48,500,000.00 48,839,525.26 50,795,020.00 2.13 1.83 06/09/2023 62,982.64 1,955,494.74Federal Farm Credit Bank 07/03/2019 11,008,000.00 11,189,961.47 11,628,741.12 2.52 1.82 06/15/2023 12,328.96 438,779.65Federal Farm Credit Bank 06/26/2019 32,250,000.00 32,213,719.87 33,490,657.50 1.77 1.82 06/26/2023 7,928.13 1,276,937.63Federal Farm Credit Bank 07/03/2019 3,425,000.00 3,419,951.65 3,556,759.75 1.77 1.83 06/26/2023 841.98 136,808.10Federal Home Loan Mtg Corp 08/27/2020 50,000,000.00 49,968,819.92 50,108,500.00 0.25 0.28 06/26/2023 1,736.11 139,680.08Federal Home Loan Mtg Corp 08/27/2020 50,000,000.00 49,952,571.15 50,108,500.00 0.25 0.29 06/26/2023 1,736.11 155,928.85Federal Home Loan Mtg Corp 04/26/2019 25,000,000.00 25,000,000.00 25,174,250.00 2.49 2.49 07/26/2023 112,395.83 174,250.00Federal Home Loan Mtg Corp 08/21/2020 40,000,000.00 39,964,097.51 40,078,800.00 0.25 0.28 08/24/2023 36,111.11 114,702.49Federal Home Loan Mtg Corp 08/27/2020 50,000,000.00 49,955,756.73 50,098,500.00 0.25 0.28 08/24/2023 43,055.56 142,743.27Federal National Mtg Assn 08/27/2020 24,465,000.00 24,465,000.00 24,465,489.30 0.34 0.34 08/25/2023 28,651.23 489.30Federal Home Loan Mtg Corp 09/04/2020 65,000,000.00 64,980,865.18 65,126,100.00 0.25 0.26 09/08/2023 52,812.50 145,234.82Federal National Mtg Assn 04/18/2019 10,000,000.00 10,110,034.41 10,715,000.00 2.88 2.44 09/12/2023 87,048.61 604,965.59Federal National Mtg Assn 06/27/2019 25,000,000.00 25,674,732.84 26,787,500.00 2.88 1.83 09/12/2023 217,621.53 1,112,767.16Federal Home Loan Mtg Corp 09/28/2020 25,000,000.00 25,000,000.00 25,004,250.00 0.30 0.30 09/28/2023 19,375.00 4,250.00Federal Farm Credit Bank 10/02/2020 25,000,000.00 24,971,325.23 24,975,750.00 0.20 0.24 10/02/2023 12,361.11 4,424.77Federal Farm Credit Bank 07/03/2019 50,000,000.00 50,004,255.46 52,309,500.00 1.88 1.88 11/01/2023 156,666.67 2,305,244.54

12

IssuerPurchase



Unrealized

Gain/Loss



Federal Home Loan Mtg Corp 11/25/2020 25,000,000.00 24,990,333.64 25,002,250.00 0.32 0.33 11/24/2023 8,000.00 11,916.36Federal National Mtg Assn 11/25/2020 25,000,000.00 24,972,448.24 25,022,500.00 0.25 0.29 11/27/2023 6,250.00 50,051.76Federal Home Loan Mtg Corp 12/04/2020 25,000,000.00 24,975,868.75 25,026,750.00 0.25 0.28 12/04/2023 4,687.50 50,881.25Federal Home Loan Bank 02/15/2019 15,000,000.00 14,966,864.18 16,078,800.00 2.50 2.58 02/13/2024 143,750.00 1,111,935.82Federal Home Loan Bank 02/22/2019 23,175,000.00 23,175,000.00 23,249,855.25 2.80 2.80 02/22/2024 232,522.50 74,855.25Federal Farm Credit Bank 07/08/2019 50,000,000.00 50,427,984.38 53,098,000.00 2.23 1.94 02/23/2024 396,444.44 2,670,015.62Federal National Mtg Assn 08/27/2020 15,455,000.00 15,455,000.00 15,435,372.15 0.38 0.37 02/26/2024 19,962.71 (19,627.85)Federal Home Loan Mtg Corp 09/08/2020 50,000,000.00 50,000,000.00 49,889,500.00 0.38 0.38 03/08/2024 58,854.17 (110,500.00)Federal Home Loan Mtg Corp 03/22/2019 20,000,000.00 20,000,000.00 20,102,200.00 2.75 2.75 03/22/2024 151,250.00 102,200.00Federal Farm Credit Bank 06/13/2019 15,000,000.00 14,962,947.00 15,866,400.00 1.95 2.03 06/13/2024 14,625.00 903,453.00Federal Farm Credit Bank 06/26/2019 105,350,000.00 105,611,762.62 111,435,016.00 1.95 1.87 06/13/2024 102,716.25 5,823,253.38Federal Home Loan Mtg Corp 06/17/2020 25,000,000.00 25,000,000.00 25,011,500.00 0.63 0.63 06/17/2024 6,125.00 11,500.00Federal Farm Credit Bank 06/17/2020 25,000,000.00 25,000,000.00 25,001,500.00 0.68 0.68 06/17/2024 6,611.11 1,500.00Federal Farm Credit Bank 06/17/2020 50,000,000.00 50,000,000.00 50,003,000.00 0.68 0.68 06/17/2024 13,222.22 3,000.00Federal Farm Credit Bank 07/23/2019 54,000,000.00 54,000,000.00 54,415,260.00 2.04 2.04 07/19/2024 495,720.00 415,260.00Federal National Mtg Assn 08/12/2020 50,000,000.00 49,977,413.19 49,964,500.00 0.41 0.42 08/12/2024 79,152.78 (12,913.19)Federal Home Loan Mtg Corp 08/19/2020 25,000,000.00 25,000,000.00 25,000,750.00 0.50 0.50 08/19/2024 45,833.33 750.00Federal Home Loan Mtg Corp 08/19/2020 25,000,000.00 25,000,000.00 25,000,750.00 0.50 0.50 08/19/2024 45,833.33 750.00Federal Farm Credit Bank 09/03/2020 25,000,000.00 25,000,000.00 24,978,250.00 0.48 0.48 09/03/2024 39,333.33 (21,750.00)Federal Home Loan Bank 10/16/2019 21,555,000.00 22,483,606.97 23,638,937.40 2.88 1.66 09/13/2024 185,911.88 1,155,330.43Federal Home Loan Bank 11/06/2019 25,000,000.00 25,985,085.29 27,417,000.00 2.88 1.76 09/13/2024 215,625.00 1,431,914.71Federal Home Loan Bank 11/26/2019 20,000,000.00 20,843,008.69 21,933,600.00 2.88 1.68 09/13/2024 172,500.00 1,090,591.31Federal Farm Credit Bank 09/17/2019 14,000,000.00 13,961,552.89 14,708,960.00 1.60 1.68 09/17/2024 64,711.11 747,407.11Federal Farm Credit Bank 09/17/2019 11,000,000.00 10,969,138.40 11,557,040.00 1.60 1.68 09/17/2024 50,844.44 587,901.60Federal Home Loan Mtg Corp 09/30/2020 25,000,000.00 25,000,000.00 24,948,500.00 0.38 0.38 09/30/2024 23,697.92 (51,500.00)Federal Home Loan Mtg Corp 09/30/2020 25,000,000.00 25,000,000.00 24,969,750.00 0.35 0.35 09/30/2024 22,118.06 (30,250.00)Federal Home Loan Mtg Corp 11/25/2020 25,000,000.00 25,000,000.00 25,006,250.00 0.45 0.45 11/25/2024 11,250.00 6,250.00Federal Home Loan Mtg Corp 11/25/2020 25,000,000.00 25,000,000.00 25,006,250.00 0.45 0.45 11/25/2024 11,250.00 6,250.00Federal Home Loan Mtg Corp 09/02/2020 50,000,000.00 50,000,000.00 50,022,500.00 0.48 0.48 12/02/2024 79,333.33 22,500.00Federal National Mtg Assn 01/10/2020 50,000,000.00 49,871,654.42 52,688,500.00 1.63 1.69 01/07/2025 392,708.33 2,816,845.58Federal Home Loan Bank 02/27/2020 25,405,000.00 25,405,000.00 25,437,772.45 1.80 1.80 02/19/2025 167,673.00 32,772.45Federal Home Loan Mtg Corp 02/27/2020 11,000,000.00 11,000,000.00 11,014,850.00 1.75 1.75 02/24/2025 67,909.72 14,850.00Federal Home Loan Mtg Corp 05/19/2020 25,000,000.00 25,000,000.00 25,002,250.00 0.75 0.75 05/19/2025 21,875.00 2,250.00Federal Home Loan Mtg Corp 05/29/2020 50,000,000.00 50,000,000.00 50,064,000.00 0.75 0.75 05/28/2025 34,375.00 64,000.00Federal Home Loan Mtg Corp 06/02/2020 25,000,000.00 24,995,581.85 25,032,000.00 0.75 0.75 05/28/2025 17,187.50 36,418.15Federal National Mtg Assn 06/11/2020 25,000,000.00 25,000,000.00 25,021,500.00 0.80 0.80 06/11/2025 11,111.11 21,500.00Federal National Mtg Assn 06/16/2020 50,000,000.00 50,000,000.00 50,031,000.00 0.75 0.75 06/16/2025 15,625.00 31,000.00Federal Home Loan Mtg Corp 07/15/2020 5,265,000.00 5,265,000.00 5,235,200.10 0.75 0.75 07/08/2025 18,208.13 (29,799.90)Federal Home Loan Mtg Corp 07/15/2020 25,000,000.00 25,000,000.00 25,005,500.00 0.77 0.77 07/15/2025 88,763.89 5,500.00Federal National Mtg Assn 07/15/2020 30,000,000.00 30,000,000.00 30,002,700.00 0.73 0.73 07/15/2025 100,983.33 2,700.00Federal National Mtg Assn 07/28/2020 20,000,000.00 20,000,000.00 20,006,800.00 0.67 0.67 07/28/2025 56,950.00 6,800.00Federal National Mtg Assn 07/29/2020 25,000,000.00 25,000,000.00 25,027,250.00 0.60 0.60 07/29/2025 63,333.33 27,250.00Federal National Mtg Assn 07/29/2020 25,000,000.00 25,000,000.00 25,027,250.00 0.60 0.60 07/29/2025 63,333.33 27,250.00Federal National Mtg Assn 08/04/2020 25,000,000.00 25,000,000.00 25,024,750.00 0.70 0.70 08/04/2025 71,458.33 24,750.00

13

IssuerPurchase



Unrealized

Gain/Loss



Federal National Mtg Assn 08/12/2020 25,000,000.00 25,000,000.00 24,917,750.00 0.57 0.57 08/12/2025 55,020.83 (82,250.00)Federal National Mtg Assn 08/19/2020 25,000,000.00 25,000,000.00 24,936,250.00 0.55 0.55 08/19/2025 50,416.67 (63,750.00)Federal National Mtg Assn 08/26/2020 25,000,000.00 25,000,000.00 24,974,000.00 0.55 0.55 08/26/2025 47,743.06 (26,000.00)Federal National Mtg Assn 08/27/2020 25,000,000.00 25,000,000.00 25,004,250.00 0.65 0.65 08/27/2025 55,972.22 4,250.00Federal Home Loan Bank 09/11/2020 5,000,000.00 4,985,920.25 4,998,250.00 0.38 0.44 09/04/2025 5,729.17 12,329.75Federal Farm Credit Bank 09/24/2020 40,000,000.00 40,000,000.00 39,849,600.00 0.50 0.50 09/22/2025 53,888.89 (150,400.00)Federal Home Loan Mtg Corp 11/04/2020 10,000,000.00 9,938,364.18 9,983,400.00 0.38 0.51 09/23/2025 5,937.50 45,035.82Federal National Mtg Assn 09/30/2020 25,000,000.00 25,000,000.00 24,923,500.00 0.55 0.55 09/30/2025 34,756.94 (76,500.00)Federal National Mtg Assn 09/30/2020 13,400,000.00 13,400,000.00 13,358,996.00 0.55 0.55 09/30/2025 18,629.72 (41,004.00)Federal National Mtg Assn 10/20/2020 25,000,000.00 25,000,000.00 25,004,000.00 0.58 0.58 10/20/2025 28,597.22 4,000.00Federal Home Loan Mtg Corp 10/28/2020 25,000,000.00 25,000,000.00 24,938,750.00 0.53 0.53 10/28/2025 23,187.50 (61,250.00)Federal National Mtg Assn 10/29/2020 25,000,000.00 25,000,000.00 25,014,250.00 0.60 0.60 10/29/2025 25,833.33 14,250.00Federal Farm Credit Bank 11/04/2020 16,450,000.00 16,393,452.78 16,446,216.50 0.46 0.53 11/03/2025 11,981.09 52,763.72Federal National Mtg Assn 11/12/2020 23,000,000.00 22,919,907.72 23,096,140.00 0.50 0.57 11/07/2025 15,652.78 176,232.28Federal National Mtg Assn 11/17/2020 50,000,000.00 50,000,000.00 50,047,500.00 0.57 0.57 11/17/2025 34,833.33 47,500.00Federal Home Loan Mtg Corp 11/30/2020 25,000,000.00 25,000,000.00 25,080,500.00 0.65 0.65 11/26/2025 13,993.06 80,500.00Federal Home Loan Mtg Corp 12/01/2020 25,000,000.00 25,000,000.00 25,075,000.00 0.62 0.62 12/01/2025 12,916.67 75,000.00Federal National Mtg Assn 12/10/2020 25,000,000.00 25,000,000.00 25,020,250.00 0.65 0.65 12/10/2025 9,479.17 20,250.00Federal National Mtg Assn 12/17/2020 25,000,000.00 25,000,000.00 25,005,750.00 0.65 0.65 12/17/2025 6,319.44 5,750.00Federal National Mtg Assn 12/17/2020 25,000,000.00 25,000,000.00 25,005,750.00 0.65 0.65 12/17/2025 6,319.44 5,750.00Federal National Mtg Assn 12/17/2020 25,000,000.00 25,000,000.00 25,005,750.00 0.65 0.65 12/17/2025 6,319.44 5,750.00Federal Agency Subtotal: 2,945,613,000.00 2,949,983,287.63 2,989,257,336.52 1.13 1.08 8,028,564.08 39,274,048.89

Medium-Term NotesAmerican Honda Finance 03/04/2019 8,710,000.00 8,710,488.49 8,712,787.20 3.15 2.85 01/08/2021 131,847.63 2,298.71Toyota Motor Credit Corp 01/08/2019 20,000,000.00 19,999,883.33 20,004,800.00 3.05 3.08 01/08/2021 293,138.89 4,916.67US Bank NA Cincinnati 04/01/2019 12,000,000.00 12,004,640.90 12,000,000.00 3.00 2.54 02/04/2021 147,000.00 (4,640.90)Apple Inc 05/06/2019 10,000,000.00 9,995,708.19 10,011,900.00 2.25 2.55 02/23/2021 80,000.00 16,191.81JP Morgan 09/01/2020 23,640,000.00 23,716,278.40 23,677,587.60 2.55 0.61 03/01/2021 200,940.00 (38,690.80)Apple Inc 05/03/2019 8,137,000.00 8,146,918.02 8,203,153.81 2.85 2.49 05/06/2021 35,429.85 56,235.79JP Morgan 10/22/2019 50,000,000.00 50,000,000.00 49,070,000.00 0.50 1.09 06/01/2021 23,726.74 (930,000.00)American Honda Finance 04/05/2019 14,338,000.00 14,263,485.75 14,441,233.60 1.65 2.67 07/12/2021 111,059.76 177,747.85JP Morgan 09/02/2020 25,000,000.00 25,639,346.94 25,640,000.00 4.35 0.23 08/15/2021 359,479.16 653.06American Honda Finance 09/09/2019 25,000,000.00 24,952,294.44 25,235,250.00 1.70 1.98 09/09/2021 132,222.22 282,955.56Procter & Gamble 07/02/2019 5,000,000.00 4,988,724.38 5,063,800.00 1.70 1.98 11/03/2021 13,694.44 75,075.62JP Morgan 01/22/2020 10,554,000.00 10,834,881.26 11,024,075.16 4.50 1.94 01/24/2022 207,122.25 189,193.90JP Morgan 08/31/2020 5,406,000.00 5,642,481.33 5,646,783.24 4.50 0.37 01/24/2022 81,090.00 4,301.91JP Morgan 09/11/2020 9,947,000.00 10,385,154.25 10,390,039.38 4.50 0.35 01/24/2022 136,771.25 4,885.13US BANKCORP 04/04/2019 25,000,000.00 24,999,051.98 25,573,750.00 2.63 2.63 01/24/2022 286,197.92 574,698.02US BANKCORP 04/05/2019 5,000,000.00 4,999,487.56 5,114,750.00 2.63 2.63 01/24/2022 57,239.58 115,262.44Microsoft Corp 04/05/2019 50,000,000.00 49,950,750.73 51,019,500.00 2.40 2.49 02/06/2022 483,333.33 1,068,749.27Procter & Gamble 07/02/2019 16,857,000.00 16,917,810.63 17,247,239.55 2.30 1.96 02/06/2022 156,161.38 329,428.92Apple Inc 04/12/2019 25,000,000.00 24,985,520.16 25,569,000.00 2.50 2.55 02/09/2022 246,527.78 583,479.84Apple Inc 04/22/2019 20,000,000.00 19,900,717.38 20,414,600.00 2.15 2.62 02/09/2022 169,611.11 513,882.62

14

IssuerPurchase



Unrealized

Gain/Loss



Apple Inc 04/25/2019 8,355,000.00 8,350,893.07 8,545,159.80 2.50 2.55 02/09/2022 82,389.58 194,266.73Apple Inc 04/29/2019 4,950,000.00 4,947,596.48 5,062,662.00 2.50 2.55 02/09/2022 48,812.50 115,065.52Apple Inc 06/07/2019 15,100,000.00 15,150,164.96 15,443,676.00 2.50 2.18 02/09/2022 148,902.78 293,511.04Apple Inc 06/13/2019 13,876,000.00 13,911,816.34 14,191,817.76 2.50 2.25 02/09/2022 136,832.78 280,001.42Toyota Motor Credit Corp 03/18/2019 50,000,000.00 50,000,000.00 50,255,000.00 2.85 2.85 02/18/2022 407,708.33 255,000.00Toyota Motor Credit Corp 04/12/2019 25,000,000.00 24,993,277.08 25,732,500.00 2.65 2.67 04/12/2022 145,381.94 739,222.92Toyota Motor Credit Corp 04/29/2019 50,000,000.00 50,000,000.00 50,340,500.00 2.70 2.70 04/29/2022 232,500.00 340,500.00JP Morgan 04/30/2019 50,000,000.00 50,000,000.00 50,309,000.00 2.75 2.75 04/30/2022 232,986.11 309,000.00Apple Inc 09/04/2019 10,157,000.00 10,227,974.01 10,438,958.32 2.30 1.77 05/11/2022 32,445.97 210,984.31US Bank NA OH 05/23/2019 35,000,000.00 34,982,755.37 36,101,800.00 2.65 2.69 05/23/2022 97,902.78 1,119,044.63US Bank NA OH 09/01/2020 44,463,000.00 45,865,741.88 45,862,695.24 2.65 0.38 05/23/2022 124,372.89 (3,046.64)JP Morgan 09/01/2020 8,040,000.00 8,203,982.20 8,150,710.80 3.51 2.09 06/18/2022 10,202.31 (53,271.40)Toyota Motor Credit Corp 02/27/2019 25,000,000.00 24,959,825.66 25,947,000.00 2.80 2.52 07/13/2022 326,666.67 987,174.34Procter & Gamble 07/16/2019 20,000,000.00 20,017,636.20 20,627,800.00 2.15 2.09 08/11/2022 167,222.22 610,163.80Procter & Gamble 08/21/2019 10,000,000.00 10,066,781.31 10,313,900.00 2.15 1.72 08/11/2022 83,611.11 247,118.69Procter & Gamble 08/21/2019 20,000,000.00 20,133,562.62 20,627,800.00 2.15 1.72 08/11/2022 167,222.22 494,237.38Exxon Mobil 08/16/2019 5,000,000.00 5,000,000.00 5,143,850.00 1.90 1.90 08/16/2022 35,662.50 143,850.00Toyota Motor Credit Corp 01/15/2020 32,538,000.00 32,717,889.73 33,551,558.70 2.15 1.81 09/08/2022 219,586.31 833,668.97Apple Inc 09/11/2019 20,000,000.00 19,998,079.63 20,505,400.00 1.70 1.71 09/11/2022 103,888.89 507,320.37Apple Inc 07/12/2019 10,475,000.00 10,475,000.00 10,798,991.75 2.10 2.10 09/12/2022 66,603.54 323,991.75Toyota Motor Credit Corp 09/23/2019 25,000,000.00 25,000,000.00 25,316,750.00 2.10 2.10 09/23/2022 142,916.67 316,750.00JP Morgan 01/24/2020 25,000,000.00 25,000,000.00 25,164,750.00 2.00 2.00 10/24/2022 93,055.56 164,750.00JP Morgan 01/24/2020 25,000,000.00 25,000,000.00 25,164,750.00 2.00 2.00 10/24/2022 93,055.56 164,750.00US Bank NA Cincinnati 12/09/2019 35,000,000.00 34,980,717.84 36,106,700.00 1.95 1.98 01/09/2023 326,083.33 1,125,982.16Toyota Motor Credit Corp 01/21/2020 13,000,000.00 13,199,380.48 13,616,460.00 2.63 1.84 01/10/2023 162,093.75 417,079.52JP Morgan 03/17/2020 10,000,000.00 10,120,338.51 10,272,400.00 2.97 2.36 01/15/2023 137,042.22 152,061.49JP Morgan 05/28/2020 16,848,000.00 17,472,374.13 17,713,144.80 2.70 1.11 05/18/2023 54,334.80 240,770.67Medium-Term Notes Subtotal: 977,391,000.00 981,809,411.62 995,365,984.71 2.45 2.05 7,232,076.61 13,556,573.09

Money Market / LGIPsBlackRock CalTrust 02/07/2019 1,000,000.00 1,000,000.00 1,000,000.00 0.01 0.01 13.14 0.00BlackRock FedFund 07/06/2018 1,000,000.00 1,000,000.00 1,000,000.00 0.01 0.01 28.92 0.00CAMP 01/24/2020 499,594,669.02 499,594,669.02 499,594,669.02 0.12 0.12 26,356.15 0.00Fidelity Government Fund 07/01/2017 1,000,000.00 1,000,000.00 1,000,000.00 0.01 0.01 8.49 0.00Federated Government Fund 07/01/2017 800,000.00 800,000.00 800,000.00 0.01 0.01 6.82 0.00Morgan Stanley Govnt Fund 07/01/2017 1,000,000.00 1,000,000.00 1,000,000.00 0.03 0.03 25.46 0.00Money Market / LGIPs Subtotal: 504,394,669.02 504,394,669.02 504,394,669.02 0.12 0.12 26,438.98 0.00

Municipal BondsNew York State 10/30/2019 20,000,000.00 20,000,000.00 20,027,600.00 1.84 1.84 02/15/2021 139,022.22 27,600.00Massachusetts St 12/16/2020 25,000,000.00 25,000,000.00 25,000,500.00 0.23 0.23 05/20/2021 2,395.83 500.00New York State 10/30/2019 10,000,000.00 10,000,000.00 10,261,200.00 1.95 1.95 02/15/2023 73,666.67 261,200.00State oif Maryland 08/05/2020 15,000,000.00 15,000,000.00 15,066,750.00 0.41 0.41 08/01/2023 24,941.67 66,750.00State of California 10/24/2019 26,535,000.00 26,927,283.55 28,013,264.85 2.40 1.84 10/01/2023 159,210.02 1,085,981.30

15

IssuerPurchase



Unrealized

Gain/Loss



New York State 10/30/2019 20,000,000.00 20,000,000.00 20,763,800.00 2.01 2.01 02/15/2024 151,866.67 763,800.00State of Louisiana 10/14/2020 5,000,000.00 5,000,000.00 5,029,450.00 0.65 0.65 06/01/2024 2,708.33 29,450.00State oif Maryland 08/05/2020 25,000,000.00 25,000,000.00 25,134,500.00 0.51 0.51 08/01/2024 51,708.33 134,500.00State of Minnesota 08/25/2020 15,000,000.00 15,011,068.86 15,102,000.00 0.50 0.48 08/01/2024 26,250.00 90,931.14State of Florida 10/22/2020 15,000,000.00 15,000,000.00 15,059,550.00 0.55 0.55 06/01/2025 15,812.50 59,550.00State of Florida 10/22/2020 25,000,000.00 25,000,000.00 25,099,250.00 0.55 0.55 06/01/2025 26,354.17 99,250.00State of Louisiana 10/14/2020 5,000,000.00 5,000,000.00 5,054,500.00 0.84 0.84 06/01/2025 3,500.00 54,500.00Commonwealth of Virginia 11/05/2020 10,860,000.00 10,860,000.00 10,922,119.20 0.55 0.55 06/01/2025 9,291.33 62,119.20State of Hawaii 08/12/2020 5,255,000.00 5,255,000.00 5,276,755.70 0.67 0.67 08/01/2025 13,594.39 21,755.70State oif Maryland 08/05/2020 25,000,000.00 25,000,000.00 25,262,250.00 0.66 0.66 08/01/2025 66,916.67 262,250.00Municipal Bonds Subtotal: 247,650,000.00 248,053,352.41 251,073,489.75 1.00 0.94 767,238.80 3,020,137.34

Negotiable CDsBank of Montreal 12/03/2020 55,000,000.00 55,000,000.00 55,000,550.00 0.18 0.18 01/04/2021 7,975.00 550.00Bank of Montreal 12/04/2020 120,000,000.00 120,000,000.00 120,001,200.00 0.18 0.18 01/04/2021 16,800.00 1,200.00Natixis US Finance Co. 12/22/2020 21,250,000.00 21,263,692.15 21,265,087.50 1.83 0.17 01/15/2021 10,802.08 1,395.35Royal Bk of Canada/Dain Rausch 03/16/2020 80,000,000.00 80,000,000.00 80,040,000.00 1.29 1.29 01/15/2021 834,200.00 40,000.00Canadian Imp Bk Comm NY 06/24/2020 25,000,000.00 25,000,000.00 25,001,750.00 0.27 0.27 01/19/2021 35,812.50 1,750.00Toronto Dominion NY 07/20/2020 25,000,000.00 25,000,000.00 25,001,250.00 0.24 0.24 01/19/2021 27,500.00 1,250.00Credit Agricole CIB 07/29/2020 25,000,000.00 25,000,000.00 25,001,500.00 0.21 0.21 01/22/2021 22,750.00 1,500.00Bank of Montreal 10/29/2020 100,000,000.00 100,000,000.00 100,001,000.00 0.19 0.19 01/27/2021 33,777.78 1,000.00Toronto Dominion NY 08/05/2020 50,000,000.00 50,000,000.00 50,000,500.00 0.20 0.20 01/29/2021 40,354.17 500.00Toronto Dominion NY 12/08/2020 60,000,000.00 60,000,000.00 59,999,400.00 0.17 0.17 01/29/2021 6,800.00 (600.00)Toronto Dominion NY 08/06/2020 50,000,000.00 50,000,000.00 50,000,000.00 0.19 0.19 02/01/2021 39,055.55 0.00Toronto Dominion NY 10/29/2020 25,000,000.00 25,000,000.00 24,999,250.00 0.16 0.16 02/01/2021 7,111.11 (750.00)Toronto Dominion NY 11/20/2020 50,000,000.00 50,000,000.00 50,000,000.00 0.19 0.19 02/01/2021 11,083.33 0.00Westpac Banking 12/09/2020 60,000,000.00 60,000,000.00 60,072,000.00 0.16 0.16 02/02/2021 6,133.33 72,000.00Sumitomo Mitsui Bank NY 11/23/2020 40,000,000.00 40,000,000.00 40,000,800.00 0.15 0.15 02/05/2021 6,500.00 800.00Toronto Dominion NY 11/23/2020 35,000,000.00 35,000,000.00 34,999,650.00 0.19 0.19 02/05/2021 7,204.16 (350.00)Sumitomo Mitsui Bank NY 12/14/2020 25,000,000.00 25,000,000.00 24,999,250.00 0.12 0.12 02/08/2021 1,500.00 (750.00)UBS AG Stamford 02/18/2020 80,000,000.00 80,000,000.00 80,137,600.00 1.62 1.62 02/11/2021 1,144,800.00 137,600.00Sumitomo Mitsui Bank NY 12/14/2020 25,000,000.00 25,000,000.00 25,001,750.00 0.12 0.12 02/12/2021 1,500.00 1,750.00Bank of Montreal 12/08/2020 60,000,000.00 60,000,000.00 59,991,600.00 0.17 0.17 02/26/2021 6,800.00 (8,400.00)Toronto Dominion NY 12/08/2020 60,000,000.00 60,000,000.00 59,998,200.00 0.20 0.20 02/26/2021 8,000.00 (1,800.00)Westpac Banking 12/15/2020 25,000,000.00 25,000,000.00 25,000,500.00 0.19 0.19 03/15/2021 2,243.06 500.00Westpac Banking 12/15/2020 25,000,000.00 25,000,000.00 24,999,250.00 0.19 0.19 03/31/2021 2,243.06 (750.00)Westpac Banking 12/22/2020 50,000,000.00 50,000,000.00 50,000,000.00 0.20 0.20 03/31/2021 2,777.78 0.00Toronto Dominion NY 09/01/2020 150,000,000.00 150,000,000.00 149,968,500.00 0.20 0.20 05/03/2021 101,666.67 (31,500.00)Royal Bk of Canada/Dain Rausch 11/24/2020 50,000,000.00 50,000,000.00 50,000,000.00 0.23 0.23 05/25/2021 12,138.89 0.00Royal Bk of Canada/Dain Rausch 11/25/2020 100,000,000.00 100,000,000.00 100,000,000.00 0.23 0.23 05/26/2021 23,638.89 0.00Bank of Montreal 11/17/2020 50,000,000.00 50,000,000.00 49,998,000.00 0.24 0.24 05/28/2021 15,000.00 (2,000.00)Canadian Imp Bk Comm NY 06/25/2020 35,000,000.00 35,000,000.00 35,027,300.00 0.39 0.39 05/28/2021 72,041.67 27,300.00Royal Bk of Canada/Dain Rausch 11/27/2020 50,000,000.00 50,000,000.00 50,000,000.00 0.23 0.23 05/28/2021 11,180.56 0.00Toronto Dominion NY 06/01/2020 25,000,000.00 25,000,000.00 25,012,250.00 0.39 0.39 05/28/2021 57,958.33 12,250.00

16

IssuerPurchase



Unrealized

Gain/Loss



Royal Bk of Canada/Dain Rausch 12/09/2020 150,000,000.00 150,000,000.00 149,986,500.00 0.21 0.21 06/01/2021 20,125.00 (13,500.00)Royal Bk of Canada/Dain Rausch 12/11/2020 60,000,000.00 60,000,000.00 59,994,600.00 0.21 0.21 06/04/2021 7,350.00 (5,400.00)Toronto Dominion NY 06/08/2020 25,000,000.00 25,000,000.00 25,014,250.00 0.40 0.40 06/08/2021 57,500.00 14,250.00Toronto Dominion NY 06/10/2020 25,000,000.00 25,000,000.00 25,017,500.00 0.43 0.43 06/08/2021 61,215.28 17,500.00Bank of Montreal 08/26/2020 50,000,000.00 50,000,000.00 49,992,500.00 0.23 0.23 06/30/2021 40,888.89 (7,500.00)Canadian Imp Bk Comm NY 12/09/2020 120,000,000.00 120,000,000.00 119,994,000.00 0.23 0.23 06/30/2021 17,633.33 (6,000.00)Rabobank Nederland 12/24/2020 100,000,000.00 100,000,000.00 99,995,000.00 0.21 0.21 06/30/2021 4,666.67 (5,000.00)Toronto Dominion NY 06/26/2020 50,000,000.00 50,000,000.00 50,032,500.00 0.40 0.40 06/30/2021 105,000.00 32,500.00Bank of Montreal 08/26/2020 50,000,000.00 50,000,000.00 49,992,500.00 0.23 0.23 07/01/2021 40,888.89 (7,500.00)Canadian Imp Bk Comm NY 10/19/2020 55,000,000.00 55,000,000.00 54,994,500.00 0.22 0.22 07/01/2021 24,872.22 (5,500.00)Royal Bk of Canada/Dain Rausch 09/28/2020 50,000,000.00 50,000,000.00 49,992,000.00 0.21 0.21 07/01/2021 27,708.33 (8,000.00)Bank of Montreal 08/25/2020 50,000,000.00 50,000,000.00 50,000,000.00 0.23 0.23 07/02/2021 41,208.33 0.00Bank of Montreal 08/31/2020 200,000,000.00 200,000,000.00 199,938,000.00 0.20 0.20 07/02/2021 136,666.67 (62,000.00)Royal Bk of Canada/Dain Rausch 09/28/2020 50,000,000.00 50,000,000.00 49,992,000.00 0.21 0.21 07/02/2021 27,708.33 (8,000.00)Toronto Dominion NY 08/27/2020 100,000,000.00 100,000,000.00 99,970,000.00 0.21 0.21 07/02/2021 74,083.33 (30,000.00)Canadian Imp Bk Comm NY 10/13/2020 25,000,000.00 25,000,000.00 24,998,500.00 0.23 0.23 07/09/2021 12,777.78 (1,500.00)Canadian Imp Bk Comm NY 08/10/2020 100,000,000.00 100,000,000.00 100,009,000.00 0.26 0.26 08/02/2021 104,000.00 9,000.00Canadian Imp Bk Comm NY 09/03/2020 50,000,000.00 50,000,000.00 49,999,000.00 0.24 0.24 08/02/2021 40,000.00 (1,000.00)Royal Bk of Canada/Dain Rausch 09/28/2020 75,000,000.00 75,000,000.00 74,986,500.00 0.22 0.22 08/02/2021 43,541.67 (13,500.00)Canadian Imp Bk Comm NY 08/13/2020 60,000,000.00 60,000,000.00 60,009,600.00 0.27 0.27 08/06/2021 63,450.00 9,600.00Canadian Imp Bk Comm NY 08/17/2020 50,000,000.00 50,000,000.00 50,004,500.00 0.26 0.26 08/20/2021 49,472.22 4,500.00Canadian Imp Bk Comm NY 09/03/2020 25,000,000.00 25,000,000.00 25,000,500.00 0.25 0.25 08/31/2021 20,833.33 500.00Royal Bk of Canada/Dain Rausch 09/30/2020 25,000,000.00 25,000,000.00 24,992,750.00 0.22 0.22 09/01/2021 14,208.33 (7,250.00)Bank of Nova Scotia 12/10/2020 65,000,000.00 65,000,000.00 64,995,450.00 0.25 0.25 09/03/2021 9,930.56 (4,550.00)Bank of Nova Scotia 12/17/2020 50,000,000.00 50,000,000.00 49,993,000.00 0.24 0.24 09/08/2021 5,000.00 (7,000.00)Canadian Imp Bk Comm NY 09/22/2020 50,000,000.00 50,000,000.00 50,000,500.00 0.25 0.25 09/17/2021 35,069.44 500.00Royal Bk of Canada/Dain Rausch 09/25/2020 25,000,000.00 25,000,000.00 24,995,500.00 0.25 0.25 09/20/2021 17,013.89 (4,500.00)Rabobank Nederland 12/24/2020 50,000,000.00 50,000,000.00 49,992,000.00 0.24 0.24 09/30/2021 2,666.67 (8,000.00)Royal Bk of Canada/Dain Rausch 10/15/2020 25,000,000.00 25,000,000.00 24,990,500.00 0.24 0.24 10/15/2021 13,000.00 (9,500.00)Negotiable CDs Subtotal: 3,441,250,000.00 3,441,263,692.15 3,441,391,287.50 0.29 0.28 3,695,827.08 127,595.35

SupranationalsInter-American Development Bk 04/19/2018 100,000,000.00 99,978,000.00 100,693,000.00 2.63 2.70 04/19/2021 525,000.00 715,000.00International Finance Corp 07/20/2016 25,000,000.00 24,986,097.64 25,128,250.00 1.13 1.23 07/20/2021 124,327.50 142,152.36International Finance Corp 10/07/2016 12,500,000.00 12,484,321.39 12,564,125.00 1.13 1.36 07/20/2021 62,844.38 79,803.61Inter-American Development Bk 08/27/2020 50,000,000.00 51,287,549.53 51,337,500.00 1.75 0.23 09/14/2022 260,069.44 49,950.47Inter-American Development Bk 04/04/2019 15,000,000.00 15,049,844.76 15,699,750.00 2.50 2.33 01/18/2023 169,791.67 649,905.24Inter-American Development Bk 04/04/2019 10,000,000.00 10,033,716.13 10,466,500.00 2.50 2.33 01/18/2023 113,194.44 432,783.87Inter-American Development Bk 10/30/2019 54,650,000.00 55,461,453.87 57,199,422.50 2.50 1.75 01/18/2023 618,607.64 1,737,968.63Inter-American Development Bk 12/16/2019 15,050,000.00 15,274,929.15 15,752,082.50 2.50 1.75 01/18/2023 170,357.64 477,153.35Intl Bank For Recon and Dev 12/20/2019 14,750,000.00 14,803,473.96 15,350,030.00 1.88 1.72 06/19/2023 9,071.25 546,556.04Inter-American Development Bk 04/16/2019 50,000,000.00 50,000,000.00 50,570,000.00 2.53 2.53 07/06/2023 298,791.67 570,000.00Inter-American Development Bk 04/16/2019 25,000,000.00 25,000,000.00 25,285,000.00 2.53 2.53 07/06/2023 149,395.84 285,000.00Inter-American Development Bk 09/27/2019 25,000,000.00 25,000,000.00 25,256,250.00 1.95 1.95 09/27/2023 16,250.00 256,250.00

17

IssuerPurchase



Unrealized

Gain/Loss



Intl Bank For Recon and Dev 04/22/2019 10,000,000.00 10,139,770.91 10,745,200.00 3.00 2.46 09/27/2023 78,333.33 605,429.09Intl Bank For Recon and Dev 04/25/2019 6,000,000.00 6,088,888.64 6,447,120.00 3.00 2.43 09/27/2023 47,000.00 358,231.36Intl Bank For Recon and Dev 11/26/2019 25,000,000.00 25,890,148.81 26,863,000.00 3.00 1.65 09/27/2023 195,833.33 972,851.19Intl Bank For Recon and Dev 12/10/2019 22,846,000.00 23,637,958.34 24,548,483.92 3.00 1.69 09/27/2023 178,960.33 910,525.58Inter-American Development Bk 03/21/2019 25,000,000.00 25,291,879.98 26,891,250.00 3.00 2.55 10/04/2023 181,250.00 1,599,370.02Inter-American Development Bk 10/31/2019 7,883,000.00 8,150,575.13 8,479,348.95 3.00 1.72 10/04/2023 57,151.75 328,773.82Inter-American Development Bk 10/31/2019 17,117,000.00 17,696,804.76 18,411,901.05 3.00 1.72 10/04/2023 124,098.25 715,096.29International Finance Corp 11/06/2020 25,000,000.00 25,000,000.00 25,003,250.00 0.29 0.29 11/06/2023 11,076.39 3,250.00Inter-American Development Bk 04/25/2019 25,000,000.00 25,128,908.73 26,763,250.00 2.63 2.44 01/16/2024 300,781.25 1,634,341.27Inter-American Development Bk 04/29/2019 25,000,000.00 25,160,507.51 26,763,250.00 2.63 2.40 01/16/2024 300,781.25 1,602,742.49Inter-American Development Bk 05/06/2019 34,750,000.00 34,948,136.69 37,200,917.50 2.63 2.45 01/16/2024 418,085.94 2,252,780.81Inter-American Development Bk 04/02/2019 50,000,000.00 50,000,000.00 52,730,500.00 2.29 2.29 01/31/2024 480,250.00 2,730,500.00Inter-American Development Bk 10/31/2019 11,869,000.00 12,314,796.58 12,868,725.87 3.00 1.75 02/21/2024 128,580.83 553,929.29Inter-American Development Bk 04/08/2019 50,000,000.00 50,000,000.00 52,824,500.00 2.33 2.33 02/29/2024 392,076.28 2,824,500.00Intl Bank For Recon and Dev 03/11/2019 25,000,000.00 25,000,000.00 25,106,750.00 2.89 2.89 03/11/2024 220,006.94 106,750.00Intl Bank For Recon and Dev 03/19/2019 25,000,000.00 24,973,784.17 26,779,500.00 2.50 2.53 03/19/2024 177,083.33 1,805,715.83Intl Bank For Recon and Dev 03/26/2019 25,000,000.00 25,000,000.00 26,936,750.00 2.77 2.77 03/26/2024 182,743.06 1,936,750.00International Finance Corp 10/16/2019 25,000,000.00 24,944,452.08 25,990,750.00 1.38 1.44 10/16/2024 71,364.58 1,046,297.92International Finance Corp 11/04/2020 25,000,000.00 25,000,000.00 24,956,500.00 0.39 0.39 11/04/2024 15,239.58 (43,500.00)Intl Bank For Recon and Dev 03/03/2020 25,000,000.00 25,000,000.00 25,006,500.00 1.80 1.80 03/03/2025 149,171.27 6,500.00Intl Bank For Recon and Dev 04/22/2020 25,000,000.00 24,916,633.75 25,241,500.00 0.63 0.70 04/22/2025 29,822.92 324,866.25Intl Bank For Recon and Dev 07/28/2020 25,000,000.00 24,969,352.25 24,926,000.00 0.38 0.40 07/25/2025 39,843.75 (43,352.25)Intl Bank For Recon and Dev 10/28/2020 25,000,000.00 24,972,738.75 25,046,750.00 0.50 0.52 10/28/2025 21,875.00 74,011.25Supranationals Subtotal: 957,415,000.00 963,584,723.51 991,833,607.29 2.16 1.88 6,319,110.83 28,248,883.78

Treasury Coupon SecuritiesU.S. Treasury 01/06/2017 20,000,000.00 19,994,069.65 20,018,200.00 1.38 1.75 01/31/2021 115,081.52 24,130.35U.S. Treasury 02/01/2019 13,000,000.00 13,000,146.08 13,022,490.00 2.50 2.49 01/31/2021 136,005.43 22,343.92U.S. Treasury 06/17/2016 35,000,000.00 35,040,811.57 35,180,600.00 1.38 1.08 05/31/2021 42,307.69 139,788.43U.S. Treasury 09/07/2016 5,000,000.00 4,999,679.85 5,025,000.00 1.13 1.14 06/30/2021 155.39 25,320.15U.S. Treasury 09/07/2016 5,000,000.00 5,030,723.81 5,061,350.00 2.25 1.15 07/31/2021 47,078.80 30,626.19U.S. Treasury 10/06/2016 25,000,000.00 24,976,940.25 25,188,500.00 1.13 1.25 09/30/2021 71,857.83 211,559.75U.S. Treasury 12/09/2016 15,000,000.00 14,989,798.50 15,221,550.00 1.75 1.83 11/30/2021 23,076.92 231,751.50U.S. Treasury 11/21/2019 20,000,000.00 20,054,291.62 20,500,000.00 1.75 1.57 07/15/2022 161,684.78 445,708.38U.S. Treasury 09/11/2019 10,000,000.00 10,006,993.09 10,248,400.00 1.63 1.58 08/31/2022 55,214.09 241,406.91U.S. Treasury 04/30/2019 50,000,000.00 49,486,094.65 51,683,500.00 1.75 2.27 01/31/2023 366,168.48 2,197,405.35U.S. Treasury 01/07/2020 15,000,000.00 15,056,061.66 15,505,050.00 1.75 1.57 01/31/2023 109,850.54 448,988.34U.S. Treasury 09/16/2019 12,000,000.00 11,933,737.54 12,365,640.00 1.50 1.75 03/31/2023 45,989.01 431,902.46U.S. Treasury 12/17/2019 15,000,000.00 14,886,420.71 15,459,450.00 1.38 1.69 06/30/2023 569.75 573,029.29U.S. Treasury 02/05/2020 5,000,000.00 4,994,271.25 5,153,150.00 1.38 1.42 06/30/2023 189.92 158,878.75U.S. Treasury 09/06/2019 10,000,000.00 9,949,922.64 10,284,800.00 1.25 1.45 07/31/2023 52,309.78 334,877.36U.S. Treasury 10/10/2019 10,000,000.00 9,944,202.17 10,284,800.00 1.25 1.47 07/31/2023 52,309.78 340,597.83U.S. Treasury 10/11/2019 5,000,000.00 5,145,284.64 5,334,750.00 2.75 1.58 07/31/2023 57,540.76 189,465.36U.S. Treasury 05/31/2019 40,000,000.00 39,403,452.99 41,306,400.00 1.38 1.96 08/31/2023 186,878.45 1,902,947.01

18

IssuerPurchase



Unrealized

Gain/Loss



U.S. Treasury 09/03/2019 15,000,000.00 15,115,555.83 15,626,400.00 1.63 1.34 10/31/2023 41,747.24 510,844.17U.S. Treasury 09/05/2019 10,000,000.00 10,043,889.31 10,417,600.00 1.63 1.46 10/31/2023 27,831.49 373,710.69U.S. Treasury 02/01/2019 10,000,000.00 10,010,113.44 10,714,100.00 2.50 2.46 01/31/2024 104,619.57 703,986.56U.S. Treasury 04/02/2019 15,000,000.00 14,943,692.21 15,936,900.00 2.13 2.25 03/31/2024 81,438.87 993,207.79U.S. Treasury 06/11/2019 15,000,000.00 15,285,078.12 16,163,700.00 2.50 1.91 05/15/2024 48,687.85 878,621.88U.S. Treasury 07/15/2019 25,000,000.00 25,115,531.87 26,563,500.00 2.00 1.86 06/30/2024 1,381.22 1,447,968.13U.S. Treasury 05/04/2020 10,000,000.00 10,501,977.34 10,547,700.00 1.75 0.34 07/31/2024 73,233.70 45,722.66U.S. Treasury 08/29/2019 10,000,000.00 10,343,796.11 10,777,700.00 2.38 1.39 08/15/2024 89,707.88 433,903.89U.S. Treasury 03/10/2020 15,000,000.00 15,477,859.56 15,675,000.00 1.38 0.58 01/31/2025 86,311.14 197,140.44U.S. Treasury 03/13/2020 15,000,000.00 15,399,864.43 15,675,000.00 1.38 0.71 01/31/2025 86,311.14 275,135.57U.S. Treasury 04/28/2020 20,000,000.00 21,328,160.63 21,413,200.00 2.00 0.37 02/15/2025 151,086.96 85,039.37U.S. Treasury 04/13/2020 15,000,000.00 15,050,594.88 15,138,300.00 0.50 0.42 03/31/2025 19,162.09 87,705.12U.S. Treasury 06/01/2020 15,000,000.00 15,031,994.67 15,054,450.00 0.38 0.33 04/30/2025 9,633.98 22,455.33Treasury Coupon Securities Subtotal: 500,000,000.00 502,541,011.07 516,547,180.00 1.61 1.50 2,345,422.05 14,006,168.93

Grand Total 12,242,799,167.79 12,262,653,689.67 12,366,434,378.14 0.96 0.88 29,397,560.33 103,780,688.47

19

Investment # Instrument Type Issuer Coupon Transaction Type Total Cash Transaction Date

6330 Negotiable CD Credit Agricole CIB 0.25 Redemption 100,000,000.00 12/01/20



6575 Bank Deposit JP Morgan Bank Depos 0.15 Redemption 3,701,561.16 12/01/20

6592 Commercial Paper JP Morgan 0.26 Purchase -69,876,644.44 12/01/20

6593 Negotiable CD Canadian Imp Bk Comm 0.11 Purchase -75,000,000.00 12/01/20

6594 Federal Agencies Federal Home Loan Mt 0.62 Purchase -25,000,000.00 12/01/20

6179 Money Market Funds CAMP 0.14 Purchase -27,211.46 12/02/20

6575 Bank Deposit JP Morgan Bank Depos 0.15 Purchase -128,508,106.21 12/02/20

6595 Commercial Paper Cooperatieve Rabo 0.10 Purchase -24,999,027.78 12/02/20


6596 Negotiable CD Bank of Montreal 0.18 Purchase -55,000,000.00 12/03/20





6093 Federal Agencies Federal Home Loan Mt 1.80 Redemption 12,590,000.00 12/04/20



6602 Federal Agencies Federal Home Loan Mt 0.25 Purchase -24,975,250.00 12/04/20

6603 Commercial Paper Natixis US Finance C 0.19 Purchase -49,976,777.78 12/04/20


6372 Commercial Paper Toyota Motor Credit 0.30 Redemption 24,968,958.33 12/07/20

6491 Commercial Paper Toyota Motor Credit 0.20 Redemption 99,949,444.44 12/07/20






6607 Commercial Paper Natixis US Finance C 0.08 Redemption 250,000,000.00 12/08/20



6610 Negotiable CD Toronto Dominion NY 0.17 Purchase -60,000,000.00 12/08/20

6611 Commercial Paper Toyota Motor Credit 0.19 Purchase -94,928,301.39 12/08/20

TRANSACTION ACTIVITY REPORT

20


TRANSACTION ACTIVITY REPORT6612 Commercial Paper Toyota Motor Credit 0.18 Purchase -99,943,500.00 12/08/20

6613 Negotiable CD Toronto Dominion NY 0.20 Purchase -60,000,000.00 12/08/20



6614 Negotiable CD Canadian Imp Bk Comm 0.23 Purchase -120,000,000.00 12/09/20

6615 Negotiable CD Royal Bk of Canada/D 0.21 Purchase -150,000,000.00 12/09/20

6616 Negotiable CD Westpac Banking 0.16 Purchase -60,000,000.00 12/09/20




6619 Federal Agencies Federal National Mtg 0.65 Purchase -25,000,000.00 12/10/20


6621 Negotiable CD Bank of Nova Scotia 0.25 Purchase -65,000,000.00 12/10/20



6622 Negotiable CD Royal Bk of Canada/D 0.21 Purchase -60,000,000.00 12/11/20



6120 Supranational Intl Bank For Recon 2.00 Redemption 50,000,000.00 12/12/20


6623 Commercial Paper Cooperatieve Rabo 0.08 Redemption 80,000,000.00 12/14/20


6625 Negotiable CD Sumitomo Mitsui Bank 0.12 Purchase -25,000,000.00 12/14/20

6626 Negotiable CD Sumitomo Mitsui Bank 0.12 Purchase -25,000,000.00 12/14/20




5142 Asset Backed Securities Toyota Auto Receivab 3.18 Redemption 979,801.26 12/15/20


5371 Asset Backed Securities Toyota Auto Receivab 2.91 Redemption 1,220,608.46 12/15/20


5758 Asset Backed Securities Ford Credit Auto Own 2.35 Redemption 763,366.81 12/15/20

5769 Asset Backed Securities Harley-Davidson Moto 2.37 Redemption 463,072.82 12/15/20

21


TRANSACTION ACTIVITY REPORT5833 Asset Backed Securities John Deere Owner Tru 2.28 Redemption 607,052.78 12/15/20


5939 Asset Backed Securities Honda Auto Rec Owner 1.90 Redemption 1,604,036.65 12/15/20

6063 Asset Backed Securities Hyundai Auto Receiva 1.93 Redemption 397,625.62 12/15/20


6107 Asset Backed Securities Nissan Auto Receivab 3.22 Redemption 545,823.98 12/15/20

6188 Asset Backed Securities Harley-Davidson Moto 1.83 Redemption 449,692.31 12/15/20


6318 Asset Backed Securities Hyundai Auto Receiva 1.20 Redemption 66,999.99 12/15/20

6328 Asset Backed Securities Honda Auto Rec Owner 0.74 Redemption 417,777.76 12/15/20

6356 Asset Backed Securities Ford Credit Auto Own 0.50 Redemption 2,154,822.87 12/15/20

6361 Asset Backed Securities Nissan Auto Receivab 0.47 Redemption 1,773,715.96 12/15/20





6632 Commercial Paper Prudential Funding L 0.12 Purchase -24,999,333.33 12/15/20


5829 Asset Backed Securities GM Financial Securit 2.23 Redemption 1,084,046.41 12/16/20

6262 Asset Backed Securities GM Financial Securit 1.84 Redemption 1,639,070.60 12/16/20



6504 Commercial Paper BNP Paribas NY 0.00 Redemption 25,000,000.00 12/16/20





6634 Municipal Bonds Massachusetts St 0.23 Purchase -25,000,000.00 12/16/20


6590 Negotiable CD Canadian Imp Bk Comm 0.11 Redemption 25,000,000.00 12/17/20


6635 Negotiable CD Bank of Nova Scotia 0.24 Purchase -50,000,000.00 12/17/20


22


TRANSACTION ACTIVITY REPORT6637 Federal Agencies Federal National Mtg 0.65 Purchase -25,000,000.00 12/17/20








6593 Negotiable CD Canadian Imp Bk Comm 0.11 Redemption 75,000,000.00 12/18/20













6642 Negotiable CD Natixis US Finance C 1.83 Purchase -21,641,823.30 12/22/20


6632 Commercial Paper Prudential Funding L 0.12 Redemption 25,000,000.00 12/23/20






6645 Negotiable CD Rabobank Nederland 0.24 Purchase -50,000,000.00 12/24/20

6646 Negotiable CD Rabobank Nederland 0.21 Purchase -100,000,000.00 12/24/20

5981 Asset Backed Securities BMW Vehicle Owner Tr 2.05 Redemption 599,892.48 12/28/20

6369 Asset Backed Securities BMW Vehicle Owner Tr 0.39 Redemption 540,692.91 12/28/20

23


TRANSACTION ACTIVITY REPORT6575 Bank Deposit JP Morgan Bank Depos 0.15 Purchase -42,660,674.33 12/28/20









6179 Money Market Funds CAMP 0.12 Purchase -250,000,000.00 12/31/20



Grand Total -1,847,278,359.08

24

dec 2020 · encinitas 4,211 4,212 4,212 0.03% san diego regional training center 576 348 297 0.00%...

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