pfmreports - san mateo county treasurer 2011... · it is with much sadness and regret that i have...

DATE: December 8, 2011 TO: San Mateo County Pool Participants

FROM: Sandie Arnott, Treasurer-Tax Collector

SUBJECT: Monthly Investment Reports

It is with much sadness and regret that I have to inform you that our previous Treasurer-Tax

Collector, Lee Buffington passed away December 7, 2011.

Gross earnings for the month ending November 30, 2011 were 1.07%. The current average maturity of the portfolio is 2.0 years with an average duration of 1.9 years. The current size of the pool is $2,500,450,000. The portfolio continues to hold no derivative products. The San Mateo County Pool complies with Government Code Section 53646, which requires the ability to meet its expenditure requirements for the next six months.

I certify and our investment advisor, PFM Asset Management confirms these reports are in compliance with the investment policy dated Calendar Year 2011. Please visit our website if you wish to review PFM’s monthly compliance report: http://www.sanmateocountytreasurer.org/PFMReports.html If you have any questions regarding any of these reports, please call Charles Tovstein or me at (650) 363 – 4470. Best regards,

SAN MATEO COUNTY

PORTFOLIO

December 8, 2011

Table of Contents

Month End Pool Earnings Report 1

Fixed Income Distribution 2-3

Portfolio Appraisal 4-12

Realized Gains and Losses 13

Diversification Report 14

Asset Allocation Graph 15

Pooled Funds – Credit Quality Graph 16

Twelve Month Cash-Flow Projection 17

Monthly Actual vs. Estimate Cash-Flow 18

Historical Yield Curves 19-20

COUNTY OF SAN MATEO

ESTIMATED SUMMARY OF POOL EARNINGS

NOVEMBER 2011

11/30/11 Gross

Par Value Earnings

Fixed Income Investments

U S Treasury Notes 410,000,000 220,577

Federal Agencies 706,000,000 356,503

Corporate Notes 219,250,000 302,667

Floating Rate Securities 176,000,000 116,694

Short Term Investments

Federal Agencies 490,200,000 171,727

Corporate Notes 20,000,000 23,025

Floating Rate Securities 85,000,000 30,139

FDIC-TLGP-CB

Commercial Paper 70,000,000 13,861

LAIF 38,000,000 9,344

U S Treasury Bills 35,000,000 0

Repurchase Agreements 251,000,000 502

SUBTOTAL - ACCRUED INCOME $2,500,450,000 $1,245,041

Realized Gain/Loss & Interest Received

U S Treasury Notes 580,386

Federal Agencies 65,832

Corporate Notes 234,680

Floating Rate Securities 13,089

Commercial Paper 1,334

Repurchase Agreements 16,728

GROSS POOL RATE/EARNINGS* 1.07% $2,157,089

POOL 1 NET EARNINGS RATE* 0.93%



* - Earnings %'s are based on NOVEMBER 2011 Average Daily Balance

Pool 1 & 2 rates include banking charges

1

MARKET VALUE ON THE FIXED INCOME DISTRIBUTION REPORT INCLUDES ANY ACCRUED

INTEREST THAT A SECURITY HAS EARNED. TOTAL COST DOES NOT REFLECT AMORTIZATIONS

OR ACCRETIONS BUT INCLUDES PURCHASED ACCRUED INTEREST. MONTHLY TRANSACTION

SUMMARY REPORT IS AVAILABLE UPON REQUEST.

SAN MATEO COUNTY TREASURER'S OFFICE

FIXED INCOME DISTRIBUTION - SETTLED TRADES SAN MATEO COUNTY POOL

November 30, 2011

Summary Information

Totals Weighted Averages

Par Value 2,500,450,000 Average YTM 0.6 Market Value 2,511,232,004.72 Average Maturity (yrs) 2.0 Total Cost 2,501,715,166.80 Average Coupon (%) 0.806 Net Gain/Loss 9,516,837.92 Average Duration 1.9 Annual Income 20,046,723.93 Average Moody Rating Aa2 Accrued Interest 3,765,584.43 Average S&P Rating AA- Number of Issues 128

Distribution by Maturity

% Bond Average Average Average Maturity Number Mkt Value Holdings Y T M Coupon Duration

Under 1 Yr 41 990,753,894.92 39.5 0.2 0.321 % 0.3 1 Yr - 3 Yrs 60 1,003,239,146.82 40.0 0.7 0.889 % 2.0 3 Yrs - 5 Yrs 24 366,329,435.84 14.6 1.4 1.586 % 4.2 5 Yrs - 7 Yrs 3 150,909,527.15 6.0 1.5 1.543 % 6.4

Distribution by Coupon

% Bond Average Average Average Coupon % Number Mkt Value Holdings Y T M Coupon Duration

Under 1% 69 1,579,392,028.87 62.9 0.3 0.378 % 1.1 1% - 3% 55 889,218,096.40 35.4 1.1 1.445 % 3.3 3% - 5% 4 42,621,879.44 1.7 1.2 3.390 % 2.7

Distribution by Duration

% Bond Average Average Average Duration Number Mkt Value Holdings Y T M Coupon Duration

Under 1 Yr 41 990,753,894.92 39.5 0.2 0.321 % 0.3 1 Yr - 3 Yrs 65 1,054,147,885.39 42.0 0.7 0.941 % 2.0 3 Yrs - 5 Yrs 19 315,420,697.26 12.6 1.4 1.527 % 4.4 5 Yrs - 7 Yrs 3 150,909,527.15 6.0 1.5 1.543 % 6.4

Distribution by Moody Rating

% Bond Average Average Average

2

MARKET VALUE ON THE FIXED INCOME DISTRIBUTION REPORT INCLUDES ANY ACCRUED

INTEREST THAT A SECURITY HAS EARNED. TOTAL COST DOES NOT REFLECT AMORTIZATIONS

OR ACCRETIONS BUT INCLUDES PURCHASED ACCRUED INTEREST. MONTHLY TRANSACTION

SUMMARY REPORT IS AVAILABLE UPON REQUEST.


FIXED INCOME DISTRIBUTION - SETTLED TRADES SAN MATEO COUNTY POOL

November 30, 2011

Rating Number Mkt Value Holdings Y T M Coupon Duration

Aaa 93 2,010,907,339.32 80.1 0.6 0.718 % 1.9 Aa1 2 20,808,802.28 0.8 1.0 2.588 % 2.5 Aa2 11 129,182,913.83 5.1 1.3 1.840 % 2.6 Aa3 12 151,211,790.34 6.0 1.1 1.105 % 2.0 A1 3 39,226,075.98 1.6 1.4 1.342 % 2.4 A2 1 25,022,065.08 1.0 0.2 0.506 % 0.2 A3 2 26,894,208.05 1.1 1.6 1.540 % 3.6 P-1 3 69,933,526.50 2.8 0.3 0.000 % 0.3 Not Rated 1 38,045,283.33 1.5 0.4 0.390 % 0.1

Distribution by S&P Rating

% Bond Average Average Average Rating Number Mkt Value Holdings Y T M Coupon Duration

AAA 2 24,036,362.19 1.0 0.5 1.012 % 2.1 AA+ 91 1,959,584,651.12 78.0 0.6 0.745 % 1.9 AA 5 52,590,773.89 2.1 1.2 2.926 % 3.0 AA- 12 162,318,502.00 6.5 0.9 1.089 % 2.0 A+ 6 91,021,722.49 3.6 0.9 0.868 % 2.1 A 1 8,720,043.46 0.3 3.5 1.428 % 1.6 A- 2 26,894,208.05 1.1 1.6 1.540 % 3.6 A-1+ 3 69,933,526.50 2.8 0.3 0.000 % 0.3 Not Rated 6 116,132,215.02 4.6 0.6 0.658 % 1.2

3

** TOTAL COST DOES NOT REFLECT AMORTIZATIONS OR ACCRETIONS BUT INCLUDES PURCHASED ACCRUED INTEREST. MARKET PRICES ARE DOWNLOADED THROUGH (IDC) INTERACTIVE DATA CORP.

SAN MATEO COUNTY TREASURER'S OFFICE PORTFOLIO APPRAISAL SAN MATEO COUNTY POOL

November 30, 2011

Call Call Market Value Date Price Unit Total Market Market Accrued + Pct

Security One One Quantity Cost Cost Price Value Interest Accrued Interest S&P Assets

LOCAL AGENCY INVESTMENT FUND LAIF 38,000,000 100.00 38,000,000.00 100.00 38,000,000.00 45,283.33 38,045,283.33 1.520.390% Due 12-31-11 CERTIFICATE OF DEPOSIT DEUTSCHE BANK NY - CD FLOATER 10,000,000 100.00 10,000,000.00 99.98 9,997,700.00 8,234.68 10,005,934.68 0.400.706% Due 01-19-12 CANADIAN IMPERIAL BK OF COMM NY CD FLTR

20,000,000 100.18 20,035,400.00 100.05 20,010,800.00 14,406.43 20,025,206.43 0.80

0.603% Due 07-17-12 DEUTSCHE BANK NY - CD FLOATER 10,000,000 100.00 10,000,000.00 99.86 9,986,200.00 12,598.04 9,998,798.04 0.401.055% Due 01-18-13

40,000,000 40,035,400.00 39,994,700.00 35,239.16 40,029,939.16 1.60 REPURCHASE AGREEMENTS REPURCHASE AGREEMENT(U.S. TREAS NTS COLLAT)

151,000,000 100.00 151,000,000.00 100.00 151,000,000.00 0.00 151,000,000.00 AA+ 6.02

0.080% Due 12-01-11 REPURCHASE AGREEMENT(U.S. TREAS NTS COLLAT)

100,000,000 100.00 100,000,000.00 100.00 100,000,000.00 0.00 100,000,000.00 AA+ 3.99

0.060% Due 12-01-11

251,000,000 251,000,000.00 251,000,000.00 0.00 251,000,000.00 10.01 COMMERCIAL PAPER TOYOTA MOTOR CREDIT CORPORATION 25,000,000 99.90 24,973,875.00 99.93 24,981,895.00 0.00 24,981,895.00 A-1+ 1.000.000% Due 02-17-12 GENERAL ELECTRIC CAPITAL CORPORATION

25,000,000 99.91 24,977,500.00 99.92 24,979,187.50 0.00 24,979,187.50 A-1+ 1.00

0.000% Due 03-20-12 TOYOTA MOTOR CREDIT CORPORATION 20,000,000 99.84 19,967,555.56 99.86 19,972,444.00 0.00 19,972,444.00 A-1+ 0.800.000% Due 04-02-12

70,000,000 69,918,930.56 69,933,526.50 0.00 69,933,526.50 2.79 UNITED STATES TREASURY BILLS SAN MATEO COUNTY EARNINGS CREDIT PLUS ACCT

35,000,000 100.00 35,000,000.00 100.00 35,000,000.00 0.00 35,000,000.00 AA+ 1.40

0.000% Due 12-31-11 FLOATING RATE SECURITIES WELLS FARGO & COMPANY CB FLOATER 25,000,000 100.00 25,000,000.00 100.04 25,009,075.00 12,990.08 25,022,065.08 AA- 1.000.506% Due 01-24-12

4



November 30, 2011



COCA-COLA CO. 20,000,000 100.00 20,000,000.00 100.04 20,008,580.00 4,226.83 20,012,806.83 A+ 0.800.507% Due 05-15-12 PROCTER & GAMBLE CO. 10,000,000 100.00 10,000,000.00 100.25 10,024,510.00 2,190.13 10,026,700.13 AA- 0.400.493% Due 11-14-12 TORONTO-DOMINION BANK FLOATER 35,000,000 100.00 35,000,000.00 99.80 34,929,020.00 20,426.19 34,949,446.19 AA- 1.390.600% Due 07-26-13 GOLDMAN SACHS GROUP INC.-FLOATER 9,000,000 100.00 9,000,000.00 96.77 8,708,976.00 11,067.46 8,720,043.46 A 0.351.428% Due 07-29-13 JP MORGAN CHASE & CO CB FLOATER 10,000,000 100.68 10,068,240.00 99.20 9,919,820.00 18,953.38 9,938,773.38 A+ 0.401.119% Due 09-30-13 TORONTO-DOMINION BANK FLOAT 23,000,000 100.00 23,000,000.00 100.31 23,070,403.00 1,609.53 23,072,012.53 NA 0.920.087% Due 11-01-13 JP MORGAN CHASE & CO FLOATER 10,000,000 100.11 10,011,400.00 98.73 9,873,220.00 12,155.60 9,885,375.60 A+ 0.391.216% Due 01-24-14 CISCO SYSTEMS INC. - FLOATER 20,000,000 100.00 20,000,000.00 100.02 20,003,180.00 25,362.52 20,028,542.52 A+ 0.800.593% Due 03-14-14 VERIZON COMMUNICATIONS CB FLOATER 12,000,000 100.00 12,000,000.00 100.21 12,025,728.00 20,428.38 12,046,156.38 A- 0.480.973% Due 03-28-14 GENERAL ELECTRIC CAPITAL CORP. CB FLOATER

10,000,000 100.00 10,000,000.00 97.06 9,705,540.00 15,204.15 9,720,744.15 AA+ 0.39

1.014% Due 04-07-14 TORONTO-DOMINION BANK FLOATER 7,000,000 100.00 7,000,000.00 99.35 6,954,745.00 6,404.81 6,961,149.81 AA- 0.280.701% Due 07-14-14 BERKSHIRE HATHAWAY INC. FLOATER 20,000,000 100.00 20,000,000.00 100.54 20,107,660.00 9,643.50 20,117,303.50 AA+ 0.801.157% Due 08-15-14 ROYAL BANK OF CANADA 10,000,000 100.00 10,000,000.00 99.90 9,990,060.00 9,703.95 9,999,763.95 AA- 0.401.127% Due 10-30-14

221,000,000 221,079,640.00 220,330,517.00 170,366.52 220,500,883.52 8.79 CORPORATE BONDS PROCTER & GAMBLE CB 20,000,000 99.93 19,985,400.00 100.55 20,109,080.00 90,902.78 20,199,982.78 AA- 0.801.375% Due 08-01-12 GENERAL ELECTRIC CAPITAL CORPORATION

5,000,000 99.87 4,993,550.00 101.78 5,088,995.00 55,222.22 5,144,217.22 AA+ 0.20

2.800% Due 01-08-13 MICROSOFT CORPORATION 13,750,000 100.21 13,778,875.00 100.90 13,874,217.50 21,054.69 13,895,272.19 AAA 0.550.875% Due 09-27-13 CHEVRON CORPORATION 10,000,000 99.82 9,981,600.00 107.14 10,713,580.00 95,458.33 10,809,038.33 AA 0.433.950% Due 03-03-14 JOHNSON & JOHNSON 10,000,000 99.88 9,988,300.00 101.36 10,136,090.00 5,000.00 10,141,090.00 AAA 0.401.200% Due 05-15-14 WAL-MART STORES INC. 10,000,000 99.99 9,998,700.00 105.56 10,555,940.00 13,333.33 10,569,273.33 AA 0.42

5



November 30, 2011



3.200% Due 05-15-14 GOOGLE INC 10,000,000 99.98 9,997,700.00 101.49 10,149,180.00 3,819.44 10,152,999.44 AA- 0.401.250% Due 05-19-14 TORONTO-DOMINION BANK 7,500,000 99.77 7,482,675.00 100.68 7,551,322.50 38,958.33 7,590,280.83 AA- 0.301.375% Due 07-14-14 IBM Corp 25,000,000 99.89 24,972,000.00 99.96 24,990,675.00 18,229.17 25,008,904.17 A+ 1.000.875% Due 10-31-14 TOYOTA MOTOR CREDIT CORPORATION 10,000,000 99.78 9,978,000.00 99.77 9,977,490.00 4,513.89 9,982,003.89 AA- 0.401.250% Due 11-17-14 BERKSHIRE HATHAWAY INC. 10,000,000 99.83 9,982,600.00 105.16 10,515,530.00 96,888.89 10,612,418.89 AA+ 0.423.200% Due 02-11-15 ABBOTT LABORATORIES 10,000,000 99.88 9,987,580.00 104.75 10,475,240.00 2,250.00 10,477,490.00 AA 0.422.700% Due 05-27-15 TOYOTA MOTOR CREDIT CORPORATION 10,000,000 99.88 9,987,600.00 104.86 10,486,260.00 144,888.89 10,631,148.89 AA 0.423.200% Due 06-17-15 WAL-MART STORES INC 10,000,000 99.46 9,945,900.00 100.89 10,089,240.00 14,583.33 10,103,823.33 AA 0.401.500% Due 10-25-15 GENERAL ELECTRIC CAPITAL CORPORATION

15,000,000 99.92 14,988,750.00 99.05 14,858,190.00 19,687.50 14,877,877.50 AA+ 0.59

2.250% Due 11-09-15 GOOGLE INC 7,000,000 99.45 6,961,780.00 103.19 7,223,356.00 4,545.14 7,227,901.14 AA- 0.292.125% Due 05-19-16 IBM Corp 6,000,000 99.43 5,965,680.00 101.76 6,105,720.00 41,600.00 6,147,320.00 A+ 0.241.950% Due 07-22-16 PROCTER & GAMBLE CO. CB 5,000,000 99.20 4,959,800.00 99.98 4,999,065.00 21,145.83 5,020,210.83 AA- 0.201.450% Due 08-15-16 TOYOTA MOTOR CREDIT CORPORATION 15,000,000 99.48 14,922,150.00 99.48 14,922,480.00 62,500.00 14,984,980.00 0.602.000% Due 09-15-16 TORONTO-DOMINION BANK CB 15,000,000 99.44 14,916,600.00 100.97 15,145,425.00 40,572.92 15,185,997.92 AA- 0.602.375% Due 10-19-16 VERIZON COMMUNICATIONS 15,000,000 99.37 14,905,950.00 98.83 14,823,885.00 24,166.67 14,848,051.67 A- 0.592.000% Due 11-01-16

239,250,000 238,681,190.00 242,790,961.00 819,321.35 243,610,282.35 9.68 FEDERAL AGENCY - FLOATING RATE SECURITIES FEDERAL HOME LOAN MORTGAGE CORPORATION-FLOATER

20,000,000 100.00 20,000,000.00 100.01 20,002,820.00 2,993.93 20,005,813.93 AA+ 0.80

0.186% Due 05-01-12 FEDERAL FARM CREDIT BANK - MONTHLY FLOATER

20,000,000 100.07 20,015,000.00 100.08 20,015,980.00 1,582.22 20,017,562.22 AA+ 0.80

0.285% Due 09-20-12

6



November 30, 2011



40,000,000 40,015,000.00 40,018,800.00 4,576.15 40,023,376.15 1.60

FEDERAL AGENCY SECURITIES FEDERAL HOME LOAN MORTGAGE CORPORATION

20,000,000 99.85 19,970,200.00 100.04 20,008,040.00 103,125.00 20,111,165.00 AA+ 0.80

1.125% Due 12-15-11 FEDERAL NATIONAL MORTGAGE ASSOCIATION DISCOUNT

10,000,000 99.93 9,993,175.00 100.00 9,999,890.00 0.00 9,999,890.00 AA+ 0.40

0.000% Due 12-21-11 FEDERAL HOME LOAN BANK 25,000,000 99.77 24,941,750.00 100.07 25,016,500.00 105,555.56 25,122,055.56 AA+ 1.001.000% Due 12-28-11 FEDERAL NATIONAL MORTGAGE ASSOCIATION DISCOUNT

20,000,000 99.92 19,983,977.78 100.00 19,999,620.00 0.00 19,999,620.00 AA+ 0.80

0.000% Due 01-05-12 FEDERAL HOME LOAN BANK DISCOUNT NOTE

25,000,000 99.91 24,976,375.00 100.00 24,999,500.00 0.00 24,999,500.00 AA+ 1.00

0.000% Due 01-06-12 FEDERAL HOME LOAN BANK 10,000,000 99.98 9,998,500.00 100.00 9,999,780.00 3,861.11 10,003,641.11 AA+ 0.400.100% Due 01-11-12 FEDERAL HOME LOAN MORTGAGE CORPORATION

20,000,000 99.99 19,998,022.22 100.00 19,999,480.00 0.00 19,999,480.00 AA+ 0.80


25,000,000 99.92 24,981,041.67 100.00 24,999,225.00 0.00 24,999,225.00 AA+ 1.00

0.000% Due 01-25-12 FEDERAL HOME LOAN MORTGAGE CORPORATION

6,000,000 99.98 5,998,910.00 100.00 5,999,778.00 0.00 5,999,778.00 AA+ 0.24

0.000% Due 02-06-12 FEDERAL HOME LOAN BANK 15,000,000 99.99 14,997,930.00 100.00 15,000,300.00 7,420.83 15,007,720.83 AA+ 0.600.130% Due 02-13-12 FEDERAL HOME LOAN MORTGAGE CORPORATION

15,000,000 99.98 14,997,604.17 100.00 14,999,385.00 0.00 14,999,385.00 AA+ 0.60


9,200,000 99.98 9,198,190.67 ��혴�0

9,199,613.60 0.00 9,199,613.60 AA+ 0.37


10,000,000 99.98 9,997,933.33 100.00 9,999,540.00 0.00 9,999,540.00 AA+ 0.40


15,000,000 99.98 14,996,875.00 100.00 14,999,310.00 0.00 14,999,310.00 AA+ 0.60

0.000% Due 02-22-12

7



November 30, 2011



FEDERAL HOME LOAN BANK DISCOUNT NOTE

20,000,000 99.90 19,980,944.44 100.00 19,999,060.00 0.00 19,999,060.00 AA+ 0.80

0.000% Due 02-23-12 FEDERAL NATIONAL MORTGAGE ASSOCIATION

10,000,000 99.89 9,988,700.00 100.60 10,059,860.00 54,861.11 10,114,721.11 AA+ 0.40

1.250% Due 06-22-12 FEDERAL HOME LOAN BANK 12-29-11 100.00 20,000,000 100.00 20,000,000.00 99.98 19,996,800.00 29,361.11 20,026,161.11 AA+ 0.800.350% Due 07-17-12 FEDERAL NATIONAL MORTGAGE ASSOCIATION

25,000,000 99.97 24,993,750.00 100.61 25,153,350.00 93,750.00 25,247,100.00 AA+ 1.00


10,000,000 99.93 9,992,600.00 101.07 10,106,830.00 53,472.22 10,160,302.22 AA+ 0.40

1.750% Due 08-10-12 FEDERAL HOME LOAN BANK 02-04-12 100.00 20,000,000 100.00 20,000,000.00 100.04 20,007,760.00 5,777.78 20,013,537.78 AA+ 0.800.400% Due 08-17-12 FEDERAL HOME LOAN BANK 30,000,000 99.87 29,961,300.00 100.45 30,136,290.00 71,458.33 30,207,748.33 AA+ 1.200.875% Due 08-22-12 FEDERAL HOME LOAN BANK 02-28-12 100.00 15,000,000 100.00 15,000,000.00 100.02 15,003,315.00 233.33 15,003,548.33 AA+ 0.600.280% Due 09-07-12 FEDERAL HOME LOAN BANK 12-23-11 100.00 15,000,000 100.00 15,000,000.00 100.01 15,001,860.00 24,531.25 15,026,391.25 AA+ 0.600.375% Due 10-03-12 FEDERAL HOME LOAN BANK 12-15-11 100.00 20,000,000 100.00 20,000,000.00 100.01 20,001,740.00 3,333.33 20,005,073.33 AA+ 0.800.400% Due 11-15-12 FEDERAL HOME LOAN BANK 15,000,000 99.78 14,967,600.00 101.32 15,197,610.00 6,093.75 15,203,703.75 AA+ 0.611.625% Due 11-21-12 FEDERAL HOME LOAN BANK 02-17-12 100.00 10,000,000 100.00 10,000,000.00 99.94 9,994,350.00 1,083.33 9,995,433.33 AA+ 0.400.300% Due 12-10-12 FEDERAL HOME LOAN BANK 02-16-12 100.00 10,000,000 100.00 10,000,000.00 100.02 10,002,110.00 1,166.67 10,003,276.67 AA+ 0.400.300% Due 12-11-12 FEDERAL HOME LOAN BANK 12-28-11 100.00 10,000,000 100.00 10,000,000.00 99.97 9,996,750.00 194.44 9,996,944.44 AA+ 0.400.350% Due 12-21-12 FEDERAL NATIONAL MORTGAGE ASSOCIATION

20,000,000 99.86 19,971,200.00 101.75 20,350,240.00 95,277.78 20,445,517.78 AA+ 0.81

1.750% Due 02-22-13 FEDERAL HOME LOAN BANK 15,000,000 99.82 14,972,700.00 101.69 15,253,365.00 47,395.83 15,300,760.83 AA+ 0.611.625% Due 03-20-13 FEDERAL NATIONAL MORTGAGE ASSOCIATION

20,000,000 99.84 19,967,800.00 101.98 20,395,060.00 22,361.11 20,417,421.11 AA+ 0.81

1.750% Due 05-07-13

8



November 30, 2011



FEDERAL HOME LOAN BANK 10,000,000 100.00 10,000,000.00 99.99 9,998,570.00 0.00 9,998,570.00 AA+ 0.400.350% Due 05-30-13 FEDERAL HOME LOAN MORTGAGE CORPORATION

12-28-11 100.00 10,000,000 100.00 10,000,000.00 100.01 10,001,360.00 25,333.33 10,026,693.33 AA+ 0.40


01-25-12 100.00 40,000,000 100.21 40,083,888.89 100.04 40,016,600.00 97,222.22 40,113,822.22 AA+ 1.60


02-15-12 100.00 5,000,000 100.00 5,000,000.00 100.05 5,002,550.00 9,114.58 5,011,664.58 AA+ 0.20


25,000,000 99.98 24,994,750.00 101.45 25,361,825.00 86,805.56 25,448,630.56 AA+ 1.01


08-23-12 100.00 10,000,000 100.00 10,000,000.00 100.01 10,000,920.00 16,166.67 10,017,086.67 AA+ 0.40

0.600% Due 08-23-13 FEDERAL HOME LOAN BANK 35,000,000 99.86 34,951,350.00 100.17 35,058,275.00 44,722.22 35,102,997.22 AA+ 1.400.500% Due 08-28-13 FEDERAL NATIONAL MORTGAGE ASSOCIATION

09-06-12 100.00 55,000,000 100.02 55,011,587.50 99.96 54,975,415.00 57,750.00 55,033,165.00 AA+ 2.19


04-18-12 100.00 10,000,000 100.00 10,000,000.00 100.06 10,005,980.00 6,416.67 10,012,396.67 AA+ 0.40


20,000,000 99.94 19,987,400.00 99.84 19,967,020.00 6,250.00 19,973,270.00 AA+ 0.80


11-14-12 100.00 45,000,000 99.99 44,996,333.33 100.01 45,004,050.00 12,000.00 45,016,050.00 AA+ 1.79

0.600% Due 11-14-13 FEDERAL HOME LOAN BANK 22,000,000 99.74 21,942,580.00 99.85 21,967,902.00 0.00 21,967,902.00 AA+ 0.880.375% Due 11-27-13 FEDERAL NATIONAL MORTGAGE ASSOCIATION

05-29-12 100.00 50,000,000 100.00 50,000,000.00 99.84 49,921,150.00 902.78 49,922,052.78 AA+ 1.99


12-09-11 100.00 5,000,000 100.00 5,000,000.00 100.01 5,000,665.00 23,750.00 5,024,415.00 AA+ 0.20

1.000% Due 12-09-13 FEDERAL NATIONAL MORTGAGE 10,000,000 99.96 9,995,700.00 100.36 10,035,930.00 33,750.00 10,069,680.00 AA+ 0.40

9



November 30, 2011



ASSOCIATION 0.750% Due 12-18-13 FEDERAL NATIONAL MORTGAGE ASSOCIATION

03-15-12 100.00 8,000,000 100.70 8,055,920.00 100.35 8,028,368.00 20,666.67 8,049,034.67 AA+ 0.32


12-27-11 100.00 10,000,000 100.20 10,020,395.83 100.04 10,004,320.00 44,625.00 10,048,945.00 AA+ 0.40


10,000,000 99.86 9,986,000.00 101.29 10,129,260.00 47,812.50 10,177,072.50 AA+ 0.40


01-11-12 100.00 5,000,000 100.00 5,000,000.00 100.07 5,003,375.00 20,270.83 5,023,645.83 AA+ 0.20


01-18-12 100.00 5,000,000 100.00 5,000,000.00 100.09 5,004,515.00 20,625.00 5,025,140.00 AA+ 0.20


01-25-12 100.00 5,000,000 100.00 5,000,000.00 100.11 5,005,590.00 20,833.33 5,026,423.33 AA+ 0.20


02-08-12 100.00 25,000,000 100.61 25,153,711.94 100.21 25,051,325.00 126,388.89 25,177,713.89 AA+ 1.00


20,000,000 99.87 19,973,600.00 100.94 20,187,880.00 51,666.67 20,239,546.67 AA+ 0.81


08-28-12 100.00 5,000,000 100.00 5,000,000.00 99.80 4,990,225.00 8,305.56 4,998,530.56 AA+ 0.20


03-02-12 100.00 35,000,000 100.10 35,035,222.22 100.08 35,027,125.00 85,555.56 35,112,680.56 AA+ 1.40


09-19-12 100.00 5,000,000 100.00 5,000,000.00 99.71 4,985,665.00 6,902.78 4,992,567.78 AA+ 0.20


10-24-12 100.00 20,000,000 99.92 19,984,472.22 100.11 20,022,140.00 17,000.00 20,039,140.00 AA+ 0.80


10,000,000 99.95 9,995,100.00 99.70 9,969,830.00 5,208.33 9,975,038.33 AA+ 0.40

0.625% Due 10-30-14 FEDERAL HOME LOAN MORTGAGE 05-10-12 100.00 6,000,000 100.05 6,002,850.00 100.16 6,009,462.00 3,166.67 6,012,628.67 AA+ 0.24

10



November 30, 2011



CORPORATION 0.950% Due 11-10-14 FEDERAL HOME LOAN MORTGAGE CORPORATION

11-14-12 100.00 10,000,000 100.00 10,000,000.00 99.98 9,997,780.00 3,888.89 10,001,668.89 AA+ 0.40

0.875% Due 11-14-14 FEDERAL HOME LOAN BANK 12-09-11 100.00 20,000,000 100.80 20,159,166.67 100.03 20,006,600.00 190,000.00 20,196,600.00 AA+ 0.802.000% Due 12-09-14 FEDERAL HOME LOAN MORTGAGE CORPORATION

12-16-11 100.00 5,000,000 100.00 5,000,000.00 100.04 5,002,115.00 34,166.67 5,036,281.67 AA+ 0.20


10,000,000 100.00 9,999,700.00 99.87 9,986,550.00 33,541.67 10,020,091.67 AA+ 0.40


01-27-12 100.00 5,000,000 100.70 5,034,900.00 100.18 5,009,179.69 34,166.67 5,043,346.35 AA+ 0.20


02-24-12 100.00 10,000,000 101.80 10,180,000.00 100.53 10,053,470.00 75,066.67 10,128,536.67 AA+ 0.40


11-30-12 100.00 5,000,000 100.00 5,000,000.00 99.81 4,990,650.00 0.00 4,990,650.00 AA+ 0.20


03-15-12 100.00 5,000,000 100.66 5,033,000.00 100.38 5,019,100.00 20,833.33 5,039,933.33 AA+ 0.20


09-21-12 100.00 10,000,000 100.00 10,000,000.00 99.73 9,972,600.00 28,750.00 10,001,350.00 AA+ 0.40

1.500% Due 09-21-16 FEDERAL NATIONAL MORTGAGE ASSOCIATION - MULTI STEP CPN

03-27-12 100.00 5,000,000 100.00 5,000,000.00 100.23 5,011,610.00 4,375.00 5,015,985.00 AA+ 0.20


10,000,000 99.82 9,981,800.00 99.30 9,930,040.00 21,527.78 9,951,567.78 AA+ 0.40

1.250% Due 09-28-16

1,156,200,000 1,156,381,507.88 1,158,604,848.29 2,098,509.03 1,160,703,357.32 46.21 UNITED STATES TREASURIES UNITED STATES TREAS NTS 50,000,000 99.59 49,796,875.00 100.52 50,257,800.00 103,600.54 50,361,400.54 AA+ 2.000.625% Due 01-31-13 UNITED STATES TREAS NTS 50,000,000 100.00 50,000,000.00 100.60 50,300,800.00 25,755.49 50,326,555.49 AA+ 2.010.625% Due 04-30-13 UNITED STATES TREAS NTS 10,000,000 100.30 10,030,468.75 105.51 10,550,780.00 0.00 10,550,780.00 AA+ 0.42

11



November 30, 2011



2.125% Due 05-31-15 UNITED STATES TREAS NTS 100,000,000 100.52 100,524,789.66 100.34 100,343,800.00 84,699.45 100,428,499.45 AA+ 4.001.000% Due 10-31-16 UNITED STATES TREAS NTS 50,000,000 99.57 49,785,156.25 99.62 49,808,593.75 0.00 49,808,593.75 AA+ 1.990.875% Due 11-30-16 UNITED STATES TREAS NTS 50,000,000 101.37 50,686,383.93 100.22 50,109,400.00 189,538.04 50,298,938.04 AA+ 2.001.500% Due 08-31-18 UNITED STATES TREAS NTS 50,000,000 99.84 49,919,548.33 99.24 49,621,093.75 114,583.33 49,735,677.08 AA+ 1.981.375% Due 09-30-18 UNITED STATES TREAS NTS 50,000,000 101.72 50,860,276.44 101.60 50,800,800.00 74,112.02 50,874,912.02 AA+ 2.031.750% Due 10-31-18

410,000,000 411,603,498.36 411,793,067.50 592,288.89 412,385,356.39 16.42

TOTAL PORTFOLIO 2,500,450,000 2,501,715,166.80 2,507,466,420.29 3,765,584.43 2,511,232,004.72 100.00

12

**THESE ARE GROSS PRINCIPAL FIGURES ONLY. THEY DO NOT REFLECT ANY AMORTIZATIONS OR ACCRETIONS. THE COST BASIS DOES NOT REFLECT ANY PURCHASED ACCRUED INTEREST.


REALIZED GAINS AND LOSSES - SETTLED TRADES SAN MATEO COUNTY POOL

From 11-01-11 Through 11-30-11

Gain Or Loss

Open Close Cost Date Date Quantity Security Basis Proceeds Short Term Long Term

TOTAL GAINS 2,069,601.88 534,375.00TOTAL LOSSES -112,965.62 0.00

920,274,295.01 922,765,306.27 1,956,636.26 534,375.00

TOTAL REALIZED GAIN/LOSS 2,491,011.26

13

DIVERSIFICATION REPORTNovember 30, 2011

Portfolio Total 2,500,450,000

CN/CP FRN Total

CN FRN CN BA CP CD TOTAL % to Portf

Abbott Labs - 10,000,000.00 - 10,000,000.00 0.400%

Berkshire Hathwy 20,000,000.00 10,000,000.00 - 30,000,000.00 1.200%

Canadian Impl Bk NY - - 20,000,000.00 20,000,000.00 0.800%

Chevron Corp - 10,000,000.00 - 10,000,000.00 0.400%

Cisco Systems CB Fltr 20,000,000.00 - - 20,000,000.00 0.800%

Coca Cola Co. Fltr 20,000,000.00 - - 20,000,000.00 0.800%

Deutsche Bank - - - - 20,000,000.00 20,000,000.00 0.800%

General Elec. Captl Corp. 10,000,000.00 20,000,000.00 - 25,000,000.00 55,000,000.00 2.200%

Goldman Sachs Grp 9,000,000.00 - - - 9,000,000.00 0.360%

Google Inc - 17,000,000.00 - 17,000,000.00 0.680%

IBM Corp - 31,000,000.00 - - 31,000,000.00 1.240%

Johnson & Johnson - 10,000,000.00 - - 10,000,000.00 0.400%

JP Morgan Chase 20,000,000.00 - - 20,000,000.00 0.800%

Microsoft Corp - 13,750,000.00 - 13,750,000.00 0.550%

Proctor & Gamble 10,000,000.00 25,000,000.00 - 35,000,000.00 1.400%

Royal Bank of Canada 10,000,000.00 - - - 10,000,000.00 0.400%

Toronto-Dominion Bank 65,000,000.00 22,500,000.00 87,500,000.00 3.499%

Toyota Motor Credit - 35,000,000.00 - 45,000,000.00 80,000,000.00 3.199%

Verizon 12,000,000.00 15,000,000.00 - - 27,000,000.00 1.080%

Wal Mart Stores - 20,000,000.00 - 20,000,000.00 0.800%

Wells Fargo 25,000,000.00 - - 25,000,000.00 1.000%

221,000,000.00 239,250,000.00 - 70,000,000.00 40,000,000.00 570,250,000.00 22.806%

AB: Asset BackedCD: Certificate of DepositCN: Corporate NoteCP: Commercial PaperFRN: Floating Rate NoteTLGP: Temporary Liquidity Guarantee Program

14

Asset AllocationSan Mateo County TreasurerAs of November 30, 2011

CERTIFICATE OF DEPOSIT, 1.6

REPURCHASE AGREEMENTS,

10.04UNITED STATES

TREASURIES, 17.8

CORPORATE BONDS, 18.41

FEDERAL AGENCIES, 47.84

COMMERCIAL PAPER, 2.8

LAIF, 1.52

15

Pooled Funds - Credit QualitySan Mateo County TreasurerAs of November 30, 2011

AAA, 1

AA, 86.6

A, 7.8

Not Rated, 4.6

16

ROLLING YEAR PROJECTED CASHFLOW (IN 000'S)

2011 2012

DECEMBER JANUARY FEBRUARY MARCH APRIL MAY JUNE JULY AUGUST SEPTEMBER OCTOBER NOVEMBER TOTAL

CASH IN: Taxes: Secured $478,627.8 $42,616.8 $48,584.1 $150,880.4 $396,635.7 $7,900.8 $6,330.5 $1,239.2 $0.0 $4,757.7 $110,742.1 $213,497.5 $1,461,812.6 Unsecured $162.3 $866.1 $134.2 $372.1 $33.8 $35.1 $30.9 $2,910.6 $49,653.6 $30,578.7 $1,354.9 $716.5 $86,848.8 Supplemental $3,748.6 $751.0 $1,202.0 $2,035.0 $3,325.8 $486.4 $939.5 $620.5 $872.0 $554.7 $880.6 $1,395.2 $16,811.3 Mixed $3,859.9 $2,940.8 $2,375.6 $9,257.0 $5,682.3 $1,255.1 $2,826.6 $6,133.6 $4,897.1 $2,784.9 $6,277.5 $13,441.0 $61,731.4

Automatics $28,102.8 $20,511.1 $25,764.7 $26,079.9 $36,784.1 $20,353.3 $26,652.0 $20,893.6 $30,439.6 $25,354.2 $28,896.6 $30,850.8 $320,682.7 Automatics - Schools Appt $12,081.8 $13,474.2 $1,678.8 $0.0 $10,468.6 $9,035.7 $914.0 $20,941.5 $20,789.9 $33,283.8 $6,086.0 $13,257.3 $142,011.6

Unscheduled Sub. (Lockbox) $32,278.9 $36,955.5 $35,988.4 $34,292.7 $34,695.8 $26,066.3 $54,678.8 $16,833.4 $38,704.7 $36,352.8 $30,081.1 $24,280.7 $401,209.1

Treasurer's Deposit $14,838.6 $78,696.9 $84,884.4 $127,974.9 $147,152.2 $88,066.3 $104,361.8 $88,627.7 $91,405.8 $65,203.6 $95,274.3 $118,047.5 $1,104,534.0

Hospitals (Treasurer's Office) $841.4 $925.5 $433.5 $953.5 $614.2 $9,583.2 $1,170.5 $531.5 $603.0 $564.8 $507.8 $645.9 $17,374.8

Revenue Services $281.1 $242.0 $261.6 $286.5 $245.1 $213.3 $258.8 $242.9 $280.0 $242.9 $234.8 $216.1 $3,005.1

Housing Authority $5,583.2 $5,420.5 $5,478.2 $5,481.2 $5,715.4 $5,704.9 $5,789.7 $5,702.2 $5,806.7 $7,692.8 $5,756.0 $5,821.5 $69,952.3

TRAN Deposits-county $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0

TRAN Deposits-schools $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $115,004.3 $13,000.0 $0.0 $7,500.0 $0.0 $135,504.3

Bond Proceeds $0.0 $0.0 $0.0 $730.1 $0.0 $0.0 $14,700.0 $0.0 $0.0 $7,647.9 $0.0 $0.0 $23,078.0

Retirement Deposit $10,000.0 $0.0 $0.0 $10,000.0 $10,000.0 $0.0 $7,000.0 $0.0 $0.0 $0.0 $0.0 $10,000.0 $47,000.0

Coupon Interest $1,073.2 $1,032.7 $998.7 $634.4 $560.2 $2,972.2 $903.1 $445.2 $1,254.2 $494.2 $548.5 $1,446.5 $12,363.1

TOTAL CASH IN: $591,479.6 $204,433.1 $207,784.2 $368,977.7 $651,913.2 $171,672.6 $226,556.2 $280,126.2 $257,706.6 $215,513.0 $294,140.2 $433,616.5 $3,903,919.1

CASH OUT: Tax Apportionments: checks ($98,622.4) ($3,479.5) ($17,153.6) $0.0 ($86,471.2) ($2,512.4) ($10,832.0) ($4,523.1) $0.0 $0.0 ($1,803.9) ($20,076.4) ($245,474.5)

Outside Withdrawals ($66,816.8) ($93,280.4) ($48,092.6) ($41,748.1) ($98,219.9) ($26,564.8) ($41,810.7) ($30,723.5) ($29,368.4) ($29,519.5) ($15,055.0) ($26,800.1) ($547,999.8)

Returned Checks/Miscellaneous ($1,274.6) ($531.0) ($603.5) ($688.8) ($1,795.7) ($491.0) ($626.2) ($397.0) ($539.9) ($147.4) ($355.9) ($478.0) ($7,929.0)

TRAN Payments-county $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0 $0.0

TRAN Payments-schools & GO BANs ($107.9) $0.0 ($40,932.9) ($1,008.3) $0.0 $0.0 ($98,859.0) ($28,855.1) ($12,666.6) ($1,064.2) $0.0 $0.0 ($183,494.0)

Bond Payments-GO ($1,543.9) ($20,027.2) ($7,364.9) ($11,773.1) ($2,254.3) $0.0 ($6,092.4) ($42,490.3) ($22,670.5) ($23,679.3) ($7,641.6) $0.0 ($145,537.5)

Housing Authority ($5,731.9) ($5,740.9) ($5,848.5) ($5,995.6) ($6,011.1) ($5,790.3) ($5,975.9) ($6,049.6) ($5,942.3) ($6,094.1) ($5,802.5) ($6,065.7) ($71,048.4)

Payroll-county ($47,235.2) ($39,627.1) ($34,155.5) ($34,053.5) ($36,456.8) ($33,408.1) ($33,514.5) ($45,780.6) ($38,971.9) ($33,756.2) ($33,664.6) ($33,861.1) ($444,485.1)

schools ($57,560.6) ($29,260.9) ($42,881.3) ($43,923.8) ($44,917.7) ($43,708.9) ($52,886.9) ($31,358.3) ($30,325.8) ($38,824.5) ($42,769.2) ($43,694.5) ($502,112.4)

retirement ($12,503.2) ($60,372.2) ($10,685.4) ($11,944.8) ($10,669.2) ($11,893.5) ($11,672.0) ($60,869.5) ($12,105.9) ($11,139.7) ($11,062.1) ($12,080.6) ($236,998.1)

School Vendors ($54,666.0) ($51,057.3) ($48,060.7) ($54,029.1) ($52,455.2) ($56,959.3) ($69,527.3) ($56,076.4) ($57,924.2) ($64,198.3) ($56,677.6) ($48,495.2) ($670,126.6)

Controllers EDP ($60,045.8) ($65,576.8) ($51,536.9) ($59,082.4) ($59,449.2) ($57,102.1) ($53,917.4) ($70,840.9) ($51,824.2) ($62,263.3) ($62,565.4) ($40,224.4) ($694,428.8)

SMCCCD ($19,916.0) ($11,736.6) ($13,909.0) ($17,882.8) ($14,137.0) ($12,896.4) ($10,537.4) ($17,712.3) ($10,212.1) ($17,852.3) ($14,059.1) ($13,350.6) ($174,201.6)

Other ARS Debits ($17,870.1) ($14,719.9) ($15,879.4) ($18,290.9) ($16,043.7) ($21,971.9) ($16,839.7) ($19,915.4) ($16,022.6) ($16,978.8) ($12,120.8) ($19,075.4) ($205,728.6)

TOTAL CASH OUT: ($443,894.4) ($395,409.8) ($337,104.2) ($300,421.2) ($428,881.0) ($273,298.7) ($413,091.4) ($415,592.0) ($288,574.4) ($305,517.6) ($263,577.7) ($264,202.0) ($4,129,564.4)

TOTAL ESTIMATED CASH FLOW $147,585.2 ($190,976.7) ($129,320.0) $68,556.5 $223,032.2 ($101,626.1) ($186,535.2) ($135,465.8) ($30,867.8) ($90,004.6) $30,562.5 $169,414.5 ($225,645.3)QUARTERLY CASH FLOW TOTALS ($104,155.0) ($125,892.6) ($544,499.5)

**MATURING SECURITIES 11/30/11 $55,000.0 $135,000.0 $115,200.0 $25,000.0 $20,000.0 $65,000.0 $10,000.0 $65,000.0 $105,000.0 $35,000.0 $15,000.0 $45,000.0 $690,200.0

** Excludes any overnight investment

Possible Calls 11/30/11 $105,000.0 $85,000.0 $95,000.0 $53,000.0 $10,000.0 $0.0 $5,000.0 $0.0 $15,000.0 $55,000.0 $20,000.0 $55,000.0 $498,000.0

State Funding Removed $75,121.7 ($261,917.5) ($192,751.9) $8,183.9 $141,083.7 ($157,081.4) ($268,780.0) ($194,134.3) ($120,802.0) ($184,995.4) ($34,501.2) $101,025.7 ($1,089,548.7)

THESE CALCULATIONS DO NOT INCLUDE CASH BALANCE

17

COUNTY OF SAN MATEO Actual versus Estimate (in 000's)NOVEMBER 2011

ACTUAL ESTIMATE VARIANCE

CASH IN: Taxes: Secured 213,497.5 213,506.8 (9.3) Unsecured 716.5 735.7 (19.2) Supplemental 1,395.2 1,395.2 0.0 Redemption 13,441.0 13,463.7 (22.7)

Automatics 44,108.1 44,108.1 0.0

Unscheduled Sub. (Lockbox) 24,280.7 24,264.3 16.4

Treasurer's Deposit 118,047.5 117,981.4 66.1

Hospitals 645.9 669.4 (23.5)

Revenue Services 216.1 201.4 14.7

Retirement Deposit 10,000.0 10,000.0 0.0

Housing Authority 5,821.5 5,833.8 (12.3)

TRAN Deposits - County 0.0 0.0 0.0

TRAN Deposits - schools, other 0.0 0.0 0.0

Bond Proceeds 0.0 0.0 0.0

Coupon Interest 1,446.5 1,446.5 0.0

LAIF Wdrl (+) 0.0 0.0 0.0 ---------------- ---------------- ---------------

TOTAL CASH IN: 433,616.5 433,606.3 10.2

CASH OUT:

Tax Apportionments: 20,076.4 20,076.4 0.0

Outside Withdrawls 26,800.1 26,800.1 0.0

Return Checks/Miscellaneous 478.0 477.0 1.0

TRAN Payments - County 0.0 0.0 0.0

TRAN Payments - schools, other 0.0 0.0 0.0

Bond Payments - GO 0.0 0.0 0.0

Housing Authority 6,065.7 6,062.6 3.1

Payroll - county 10031 33,861.1 33,832.3 28.8 schools 10082 43,694.5 43,641.5 53.0 retirement 10058 12,080.6 12,110.3 (29.7)

School Vendors 10074 48,495.2 48,504.2 (9.0)

Controller EDP 10090 40,224.4 40,204.1 20.3

SMCCCD 24903 5,374.4 5,395.9 (21.5)

SMCCCD 25330 483.4 473.0 10.4

SMCCCD 25632 7,492.8 7,517.4 (24.6)

Other ARS Debits 19,075.4 19,091.9 (16.5)

LAIF Inv. (-) 0.0 0.0 0.0 ---------------- ---------------- ---------------

TOTAL CASH OUT: 264,202.0 264,186.7 15.3

NET CASH FLOW 697,818.5 697,793.0 25.5

18

pfmreports - san mateo county treasurer 2011... · it is with much sadness and regret that i have...

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