County of Santa Clara Finance Agency Administration · The Santa Clara County Treasury Investment...

County of Santa Clara

Finance Agency Administration

Board of Supervisors: Mike Wasserman, Cindy Chavez, Dave Cortese, Ken Yeager, S. Joseph Simitian Page 1 of 2 County Executive: Jeffrey V. Smith

69396 DATE: November 26, 2013

TO: Board of Supervisors

FROM: Emily Harrison, Deputy County Executive

SUBJECT: County of Santa Clara Investment Report for the quarter ending September 30, 2013

RECOMMENDED ACTION

Accept and authorize filing of Detailed Investment Portfolio Listing for period ending September 30, 2013.

REASONS FOR RECOMMENDATION

The Santa Clara County Treasury Investment Portfolio Report as of September 30, 2013, is submitted for your review and acceptance in compliance with the State of California Government Codes 783 and 784, Statutes of 1995, and in compliance with County policy.

CHILD IMPACT

The recommended action will have no/neutral impact on children and youth.

SENIOR IMPACT

The recommended action will have no/neutral impact on seniors.

SUSTAINABILITY IMPLICATIONS

The recommended action will have no/neutral sustainability implications.

BACKGROUND

Each quarter, an investment report is submitted to the Board of Supervisors that provides a management summary with a clear status of the current investment portfolio, quarterly transactions, investment philosophy, and market actions and trends. Preparation of the report is required by both the Board's Policy Manual and the County's investment policy. All investment activities during the reporting period were conducted under the guidance of the investment policy. The Board reviewed and approved the proposed changes to the policy at its April 10, 2012, meeting.

Securities Lending Disclosure

Board of Supervisors: Mike Wasserman, Cindy Chavez, Dave Cortese, Ken Yeager, S. Joseph Simitian Page 2 of 2 County Executive: Jeffrey V. Smith Agenda Date: November 26, 2013

Securities lending is a transaction in which the County Treasury lends securities it owns to a counterparty/borrower (a financial institution) in exchange for a pledge of cash collateral. The cash collateral is held by our custodial bank and invested in money market funds to earn incremental income to offset custody banking and investment research fees. The County Treasury retains all ownership rights to coupon interest earned by securities while out on loan to the counterparty/borrower. The borrower is obliged to return the securities, either on demand from the County or at the end of any agreed upon term. As of September 30, 2013, there were no outstanding securities on loan.

ATTACHMENTS:

County of Santa Clara Investment Report for the quarter ending September 30, 2013 (PDF)

Quarterly Investment Report

September 30, 2013

Quarterly Investment ReportTable of Contents

Summary of Cost Values versus Market Values and YieldsPortfolio Strategy, Compliance, Review and MonitoringCommingled Pool: Allocation by Security TypesCommingled Pool: Allocation by RatingsCommingled Pool: Holdings by IssuerCommingled Pool: Historical Month End Book ValuesCommingled Pool: Distribution by MaturityCommingled Pool: Yield to Maturity and Weighted Average MaturityRetiree Health Fund: Month End Cost and Market ValuesRetiree Health Fund: Historical Quarter End Market ValuesRetiree Health Fund: Portfolio Component (Securities) and Benchmark ReturnsRetiree Health Fund: Historical Quarterly Total Return ComparisonApproved Issuers and Broker/DealersCommingled Pool: Compliance with Investment PolicyHoldings Report: Commingled PoolHoldings Report: Retiree Health Fixed IncomeHoldings Report: Retiree Health EquityHoldings Report: Mountain View-Los AltosHoldings Report: Palo Alto UnifiedHoldings Report: Park Charter FundHoldings Report: San Jose-EvergreenHoldings Report: West Valley Mission-CCD Building FundTransaction Activity Report

5678

Quarterly Investment Review Table of Contents

1234

9101112131415232627

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

County Executive: Jeffrey V. Smith

2829303132

Commingled Investment PoolRetiree Health Fixed Income*Retiree Health Equity*Mountain View-Los AltosPalo Alto UnifiedPark Charter FundSan Jose-EvergreenWest Valley Mission CCD - Building FundMedical Malpractice Insurance Fund (1)

Total

Commingled Investment PoolRetiree Health Fixed IncomeWeighted Yield

Summary of Yields** for Select Santa Clara County Investment Funds

0.04%0.06%

-0.36%0.07%0.06%0.31%

$4,094,596,476 0.25%$10,084,290

$2,174,986$11,498,135$19,731,803$26,744,007$14,074,921

$15,422

FundJul 31 Aug 31 Sep 30

2013

3.32%0.84%

2012

0.52%2.70%0.56%

0.52%3.39%0.54% 0.56%

Sep 300.76%0.54%

3.33%

-$41,544

September 30, 2013

$3,975,676,957Cost Value*** Market Value

$3,982,516,392VarianceFund

$6,839,435 0.17%% Variance

-0.68%-$172,801$3,384,674

$729$1,297

48.01%

$13,083

Santa Clara County Commingled Pool and Segregated Investments

$43,997$4,084,512,186

$25,376,115$10,434,222

$2,013,642$2,176,283

$11,456,591$19,744,886$26,759,428$14,118,918

$25,548,916$7,049,548$2,012,913

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

(1) Managed by Chandler Asset Management, Inc.

1

Portfolio Strategy

Yield and Weighted Average Maturity

Compliance

Review and Monitoring

Additional Information

Santa Clara County Commingled Pool and Segregated Investments

Portfolio Strategy, Compliance, Review and MonitoringSeptember 30, 2013

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

The yield of the Commingled Pool is 0.54% and the weighted average life is 437 days.

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

Investment transactions were executed in accordance with the California State Government Code and the County's Investment Policy, as indicated in the attached report from the County Internal Audit Division. The County Treasurer believes the Commingled Pool contains sufficient cash flow liquidity to meet the next six months of expected expenditures.

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

The economy continues to show slow growth and a lack of any real strength in the employment picture. Labor participation rates are at the lowest level in many years, and the latest new employment numbers indicate a slowing in the hiring of new employees. The effects of the U.S. federal government temporary shut down and the uncertainties of the Affordable Health Care Act will not be known for some time to come, but based on forward looking financial numbers the feeling is that the first raise in the Fed Funds level may not come until well into 2015. The expectation earlier in the year that the Feds might slow the purchase of securities resulted in the yield on the 10 year Treasury hitting 3%, the highest number in some time;, however, with the continued weakness in economic reports this rate has gone back to about 2.5%. Janet Yellen is expected to be appointed to be the head of the Federal Reserve. Based on her past comments, it is generally felt that she will not change from the current level of support by the Fed’s in maintaining overnight rates between 0% and .25%. Maintaining these low rates, while supporting some parts of the economy, has also produced the adverse effect of removing considerable earnings power of those on fixed income, pension funds and money generated to support corporate treasuries and local governments.

The focus of the Investment Program will be to find agency and corporate securities that offer value in the two to three year range to enhance yield, while maintaining most of the funds in shorter maturities that match the cash flow needs of the pool. With the current 2 year Treasury yield barely above .30%, increasing the current yield of the pool is a challenge faced by the County as well as all fixed income portfolios.

2

Sector % ChngFederal AgenciesCorporate BondsRepurchase AgreementsCommercial PaperAsset-Backed SecuritiesMunicipal SecuritiesU.S. TreasuriesNegotiable CDsLAIFMoney Market FundsNCUA Corporate Bonds**Mortgage-Backed SecuritiesTotal

SectorFederal AgenciesCorporate BondsRepurchase AgreementsCommercial PaperAsset-Backed SecuritiesMunicipal SecuritiesU.S. TreasuriesNegotiable CDsLAIFMoney Market FundsNCUA Corporate Bonds**Mortgage-Backed Securities * Amounts are in base upon book value

Total **Bonds are guaranteed by the NCUA (National Credit Union Association)

Santa Clara County Commingled Pool

Allocation by Security Types

9/30/2013 6/30/201374.13% 66.29% 7.8%

2.52% 3.12% -0.6%3.43% 3.05% 0.4%

4.44% 4.88%

1.79% 7.86% -6.1%0.13%

-0.4%3.77% 0.00% 3.8%

6.04% 6.50% -0.5%1.01% 1.00% 0.0%

1.12% 1.80% -0.7%1.63% 5.37% -3.7%

0.00% 0.01% 0.0%100.00% 100.00%

9/30/2013 6/30/2013

0.12% 0.0%

99,996,407 124,989,197 136,222,620 121,868,572

44,499,795 71,978,066

2,947,166,233 2,652,615,096 176,456,927 195,468,261 150,000,000 -

71,338,289 314,390,717 4,997,043 4,996,607

- 554,564

64,999,643 214,960,073 240,000,000 260,000,000

40,000,000 40,000,000

3,975,676,957 4,001,821,154

September 30, 2013

Agy 74.1%

Corp 4.4% Repo 3.8%

CP 2.5% ABS 3.4%

Muni 1.1% Tsy 1.6%

CDs 6.0%

LAIF 1.0% MMF 1.8%

NCUA 0.1%

MBS 0.0%

3

*Not Rated securities are issued by Farmer Mac, a U.S. Federal Agency

**Repurchase Agreements are not rated, but are collateralized by U.S. Treasury securities

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

Amounts are based on book values

Total

A2 A3

LAIF*** Repo**

Not Rated*

Aaa Aa1 Aa2 Aa3 A1

150,000,000 37,139,633

3,975,676,957

7.3%81.2%0.1%0.9%3.6%1.1%0.0%0.0%1.0%3.8%0.9%

100.0%

3,228,736,567


Allocation by RatingsSeptember 30, 2013

289,999,180 Portfolio %Portfolio $Moody's Rating

P-1

- 40,000,000

5,000,000 36,992,100

144,453,801 43,355,675

-

P-1 7.3%

Aaa 81.2%

Aa1 0.1%

Aa2 0.9%

Aa3 3.6% A1 1.1%

A2 0.0%

LAIF*** 1.0% Repo** 3.8% Not Rated* 0.9%

4

Amounts are based upon book values

September 30, 2013

Holdings by Issuer - Percent of Commingled Pool


0.0% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.2% 0.3% 0.3% 0.3% 0.3% 0.4% 0.4% 0.6% 0.6% 0.6% 0.6% 0.8% 0.9% 0.9% 0.9% 1.0% 1.2%

1.5% 1.5% 1.8% 1.9% 1.9% 2.0%

5.4% 8.1%

9.9% 27.6% 27.6%

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

CALIFORNIA ST POLL CONTROL FI

SAN BERNARDINO CNTY CA SF

MERCEDES -BENZ AUTO REC TRUST

COLORADO ST HSG & FIN AUTH

NCUA GUARANTEED NOTE

GENERAL ELECTRIC

CHEVRON CORP.

IBM

BERKSHIRE HATHWY

GOOGLE INC

BANK OF AMERICA AUTO TRUST

COOK COUNTY

COLGATE-PALMOLIVE CO

WALMART

VOLKSWAGEN AUTO LOAN ENHANCED

HONDA AUTO RECEIVABLES OWNER T

CALIFORNIA ST

ROYAL BANK OF CANADA

CHASE ISSUANCE TRUST (ABS)

FARMER MAC

BANK OF NEW YORK

JOHNSON & JOHNSON

LOCAL AGENCY INVEST FUND

MERCEDES-BENZ AUTO LEASE TRUST

TORONTO DOMINION

TOYOTA MOTOR CREDIT

DREYFUS CASH MANAGEMENT

U S BANK

NATIONAL AUSTRALIA-BK-NY

BANK OF NOVA SCOTIA

U S TREASURY

FFCB

FHLB

FNMA

FHLMC

5

Amounts in billions

FY 2014 $4.133 $4.052 $3.975


Historical Month End Book ValuesSeptember 30, 2013

Fiscal Year Dec Jan Feb$3.307

FY 2012

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

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

FY 2013

$3.541$3.230$3.801$3.508

FY 2010FY 2011 $3.695

$4.521$4.032

$3.408 $3.687 $4.463

$4.040 $4.926 $4.525$3.551 $3.712 $4.339

$3.918 $3.982 $4.606 $5.286 $4.952$3.517 $3.515 $3.469 $3.645 $4.600

$4.179 $3.935$3.736

Jul Aug Sep Oct Nov Mar Apr May Jun$4.384 $3.536

$3.833$3.637

$2.50

$3.00

$3.50

$4.00

$4.50

$5.00

$5.50Ju

l-200

9

Sep-

2009

Nov

-200

9

Jan-

2010

Mar

-201

0

May

-201

0

Jul-2

010

Sep-

2010

Nov

-201

0

Jan-

2011

Mar

-201

1

May

-201

1

Jul-2

011

Sep-

2011

Nov

-201

1

Jan-

2012

Mar

-201

2

May

-201

2

Jul-2

012

Sep-

2012

Nov

-201

2

Jan-

2013

Mar

-201

3

May

-201

3

Jul-2

013

Sep-

2013

Nov

-201

3

Jan-

2014

Mar

-201

4

May

-201

4

Billi

ons

6

*Amounts are based on book value

31-90 Days 117,875,718 91-365 Days 1,238,521,264

16.31%

1Yr-2Yr 1,073,012,774 2Yr-3Yr 648,241,004

4Yr-5Yr

3Yr-4Yr 4.67%4Yr-5Yr 0.26%

1-30 Days 11.08%31-90 Days 2.96%

91-365 Days 31.15%1Yr-2Yr 26.99%2Yr-3Yr


Distribution by MaturitySeptember 30, 2013

Maturity Amount*Overnight 261,338,289

Overnight 6.57%

3Yr-4Yr 185,856,453 10,233,660

Maturity Amount*

3,975,676,957

1-30 Days 440,597,796

100.00%

$0

$200,000,000

$400,000,000

$600,000,000

$800,000,000

$1,000,000,000

$1,200,000,000

$1,400,000,000

$1,600,000,000

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

Distribution By Maturity Dollars

0%

5%

10%

15%

20%

25%

30%

35%

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

Distribution By Maturity Percentages

7

374 413 405 4372Yr T-Note 0.28% 0.25% 0.25% 0.26%

421 349 304 3290.24% 0.24% 0.21%

0.09% 0.07% 0.05% 0.03%0.32%0.36% 0.31% 0.40%

6 Mon T-Bill 0.15% 0.13% 0.11% 0.11%

LAIF WAM 229 228 208 226 217 239213 214 234 278 265 270

0.29% 0.26% 0.25%0.12% 0.10% 0.08% 0.06%

0.30%SCC WAM 468 456 478 475

0.47% 0.52% 0.52% 0.54%LAIF YTM 0.34% 0.32% 0.33% 0.30% 0.29% 0.25%0.24% 0.27% 0.27%

0.59% 0.49% 0.47% 0.44%Mar-13 Apr-13 May-13

SCC YTM 0.77% 0.71% 0.58% 0.62%


Yield to Maturity and Weighted Average MaturitySeptember 30, 2013

Item Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Sep-13Jun-13 Jul-13 Aug-13

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%

0.80%

0.90%Yield to Maturity

Santa ClaraLAIF6 Mon2Yr

150

200

250

300

350

400

450

500

550

Days

Weighted Average Maturity Santa ClaraLAIF

8

Fixed Income

Equity

Commingled Pool

Total Fund

25,548,916

7,049,548

25,376,115 (172,801)

10,434,222 3,384,674

101,964,579

134,563,043 137,950,295 3,387,252

175,379 102,139,958

Santa Clara County Retiree Health Fund

Month End Cost and Market ValuesSeptember 30, 2013

Segment Cost Value Market Value Variance

$0 $20 $40 $60 $80 $100 $120

CommingledPool

Equity

Fixed Income

Millions

Cost Value vs Market Value Market ValueCost Value

9


Historical Quarter End Market ValuesSeptember 30, 2013

Quarter Dec-10 Mar-11 Jun-11 Sep-11 Dec-11174.911 171.882 161.938 175.019

Mar-12 Jun-12 Sep-12$Millions 156.707 162.824 162.824 173.310 174.139 173.338 142.404 137.950

Sep-13Dec-12 Mar-13 Jun-13

$0

$20

$40

$60

$80

$100

$120

$140

$160

$180

Mill

ions

10

Fixed Income (1)

Retiree Health Fund (2)

BofA/ML US Domestic Master, A rated and above (3)

Commingled (2)Benchmark (4)

Blended Fixed Income ReturnBlended Benchmark

Equity (6)

Vanguard S&P 500 Index InstitutionalS&P 500 Index

Total Retiree Health Fund (5)

Blended Benchmark

Total Retiree Health vs Blended Benchmark Variance

1. Treasury contracted the Bank of New York Mellon (BNYM) to provide custodial banking services including performance measurement starting on February 1, 2008. Return calculations are availableafter this date. The fixed income returns provided by BONY are GIPS (Global Investment Performance Standards) compliant and are consistent with industry standards. Given the difference in computationmethodology, prior returns will not be combined with current returns.

2. Retiree Health & Commingled yields, respectively:

3. The selection of this benchmark is intended to reflect a target mix of a portfolio emulating longer duration liabilities.

4. Bank of America Merrill US Treasury Bills, 0-3 Mo = 30%, Bank of America Merrill Govt/Corp 1-3 yr AA rated & above = 70%

5. The individual fund total returns for the equity portfolio are calculated by BNYM. They are time weighted returns that appropriately weight deposits and withdrawals. Returns are GIPS compliant andare consistent with industry standards. Index returns assume that there are no new investments or withdrawals.

6. The current equity holdings represent the residual left after other holdings were liquidated and the proceeds transferred to the California Employer's Retiree Benefit Trust, an investment trust managed by CalPERS. The trust was established to contain employer contributions to fund future health and other post-employment benefit costs for retirees.

20.0% 19.0% 0.49% -0.91%0.49% -1.90%


Portfolio Component (Securities) and Benchmark ReturnsSeptember 30, 2013

% of Fixed Inc % of Portfolio QTR Return 1 Year Return (1)

100.0%

3.33% 0.54%

% of Equity100.0%

0.35%0.31% 0.25%

80.0% 75.8% 0.19%

0.34%94.8% 0.25%

-0.18%0.10%

1 Year Return (1)

19.01%

100.0% 0.51% 1.10%

4.67%5.2% 5.23% 19.31%

% of Portfolio QTR Return

0.57% 0.83%

-0.06% 0.71%

11

Retiree Health Fixed IncomeFixed Income BenchmarkRetiree Health EquityEquity BenchmarkRetiree Health Total PortfolioTotal Portfolio BenchmarkTotal Portfolio Variance 0.64%0.02% -0.16% 0.01% -0.18% 0.17% 0.86%

Component

-0.21% 0.01% -0.25% -0.13% 0.07%1.76% 1.58% 0.01% 0.63% -1.71% -0.96%

1.59% -0.17% 0.80% -0.84% -0.32%0.67% 2.10% 2.90% 1.47% 0.90%0.68% 1.85% 2.77% 1.54% 0.92%

6.35% -0.38% 10.61% 2.92% 2.92%6.35% -0.39% 10.61% 2.90% 2.90%

-13.87% 11.82% 12.59%5.91% 0.10% -13.87% 11.81% 12.58%

1.60%-2.75%-2.75%2.13% 1.20% -0.04% -0.14% -2.27% -2.27%

1.21% -0.16% 0.04% -1.27% -1.27%1.95%-1.66%-1.43%10.75%10.76%-0.77%-0.56%

Mar-12Dec-11Sep-11Jun-11Mar-11Dec-10

0.28% 2.30% 4.15% 0.88% -0.02%0.30% 2.03% 4.00% 0.96% 0.01%

5.92% 0.10%

Sep-13Jun-13Mar-13Dec-12Sep-12Jun-12


Historical Quarterly Total Return ComparisonSeptember 30, 2013

-2.00%

-1.00%

0.00%

1.00%

2.00%

3.00%

4.00%

Dec

-10

Mar

-11

Jun-

11

Sep-

11

Dec

-11

Mar

-12

Jun-

12

Sep-

12

Dec

-12

Mar

-13

Jun-

13

Sep-

13

Quarterly Total Returns Retiree HealthBenchmark

-0.40%

-0.20%

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

Dec

-10

Feb-

11

Apr-

11

Jun-

11

Aug-

11

Oct

-11

Dec

-11

Feb-

12

Apr-

12

Jun-

12

Aug-

12

Oct

-12

Dec

-12

Feb-

13

Apr-

13

Jun-

13

Aug-

13

Quarterly Variance: Retiree Health vs Benchmark

12

Commercial Paper Issuers Corporate Bond Issuers Asset-Backed Securities Issuers Broker/Dealers & Direct IssuersBank of Nova Scotia NY Bank of New York Mellon Corp Bank of America Auto Trust Barclays Capital, Inc

Barclay's US Funding LLC Chevron Corp Chase Issuance Trust BNP Paribas Securities Corp

BNP Paribas Finance Inc Colgate-Palmolive Co Honda Auto Receivables Owner Trust Cantor Fitzgerald & Co

Deutsche Bank Financial LLC General Electric Capital Corp Mercedes-Benz Auto Receivables Trust Citigroup Global Markets Inc

General Electric Capital Corp General Electric Co Volkswagen Auto Loan Enhanced Trust Daiwa Capital Markets America Inc

General Electric Co Google Inc Deutsche Bank Securities Inc

JP Morgan Chase & Company IBM Corp FTN Financial, Inc

Rabobank USA Finance Corp Johnson & Johnson General Electric Capital Corp

Toyota Motor Credit Corp Met Life Global Funding I Goldman, Sachs & Co

US Bancorp Toyota Motor Credit Corp Jefferies & Co

Wal-Mart Stores Inc US Bancorp JP Morgan Securities, Inc

Wells Fargo & Co Wal-Mart Stores Inc Keyban Capital Markets, Inc

Merrill Lynch & Co Inc

Mizuho Securities USA, Inc

Certificates of Deposit Issuers Municipal Bond Issuers Morgan Stanley & Co Inc

Bank of Nova Scotia Houston State of California Nomura Securities International, Inc

National Australia Bank NY California Pollution Control Financing Authority Piper Jaffray & Co

Rabobank Nederland NV NY Cook County IL RBC Capital Markets, Inc

Royal Bank of Canada NY Colorado St. Housing & Finance Authority RBS Securities, Inc

Toronto Dominion Bank NY San Bernardio County SF Mtg Revenue Toyota Motor Credit Corp

University of California Revenue UBS Securities LLC

Santa Clara County

Approved Issuers and Broker/DealersSeptember 30, 2013

13

Bankers' Acceptances

YesYes

Repurchase Agreements

Yes

Yes

Yes

Yes

Yes, None in Portfolio

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

Mortgage-Backed Securities

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

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

Sector limit 40%, issuer limit 6%, max maturity 180 days, rated by at least two: A-1 (S&P), P-1 (Moody's), F-1 (Fitch), issued by commercial banks

Sector limit 30%, issuer limit 2.25%, max maturity 5 years, if under 1 year rated by at least two: A-1 (S&P), P-1 (Moody's), F-1 (Fitch), if greater than 1 year rated by at least two: AA- (S&P/Fitch)/Aa3 (Moody's), issued by national/state chartered banks

Negotiable Certificates of Deposit

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

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

Yes

Sector limit 40%, issuer limit 10%, max maturity 270 days, rated by at least two: A-1 (S&P), P-1 (Moody's), F-1 (Fitch), issued by domestic corporation w/ at least $500 million of assets, and long term debt rated by at least two: AA- (S&P/Fitch)/Aa3

(Moody's)Commercial Paper Yes

Money Market Funds Sector limit 20%, issuer limit 10%, rated by at least two: AAA (S&P/Fitch)/Aaa (Moody's), MMF has at least $500 mil managed YesCorporate Bonds Yes

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

Sector limit 30%, issuer limit 3%, max maturity 5 years, AA- (S&P/Fitch)/Aa3 (Moody's), issued by domestic corps/depositories

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

securities must be owned for at least 30 daysYes, None in

Portfolio

LAIF

U.S. Treasuries

YesU.S. Federal Agencies

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

Interest Periods Securities must pay interest within one year of the initial investment and at least semiannually in subsequent years

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

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


Compliance with Investment PolicySeptember 30, 2013

MaturityIn Compliance

YesParametersItem/Sector

Weighted Average Maturity (WAM) must be less than 18 months

14

SANTA CLARA COUNTY INVESTMENTS

September 30, 2013

Fund COMM - COMMINGLED POOLInvestments by Fund

Par ValueDays ToMaturity

MaturityDate

CurrentRateMarket ValueCUSIP Investment # Issuer

PurchaseDate Book Value

YTM360

YTM365

Negotiable CDs

BANK OF NOVA SCOTIA34332 25,000,000.0006417FXR6 06/12/2014 2540.30006/12/2013 25,005,250.00 0.295 0.30025,000,000.00BANK OF NOVA SCOTIA34413 30,000,000.0006417FB74 01/10/2014 1010.21007/16/2013 30,000,840.00 0.207 0.21030,000,000.00BANK OF NOVA SCOTIA34559 25,000,000.0006417F5G1 06/27/2014 2690.25009/30/2013 25,000,000.00 0.246 0.25025,000,000.00NATIONAL AUSTRALIA-BK-NY34417 25,000,000.0063253TUY2 10/15/2013 140.15007/17/2013 25,000,400.00 0.147 0.15025,000,000.00NATIONAL AUSTRALIA-BK-NY34421 50,000,000.0063253TUZ9 10/16/2013 150.15007/19/2013 50,000,850.00 0.149 0.15150,000,000.00ROYAL BANK OF CANADA32176 25,000,000.0078009NCV6 06/20/2014 2621.10012/21/2011 25,101,900.00 1.084 1.10025,000,000.00TORONTO DOMINION BANK34188 20,000,000.0089112WN52 10/18/2013 170.18004/16/2013 20,000,900.00 0.180 0.18220,000,000.00TORONTO DOMINION BANK34480 20,000,000.0089112TGJ7 01/13/2014 1040.13508/19/2013 19,999,120.00 0.133 0.13520,000,000.00TORONTO DOMINION34548 20,000,000.0089112TLJ1 01/24/2014 1150.14009/25/2013 19,999,340.00 0.138 0.14020,000,000.00

Subtotal and Average 240,000,000.00 240,000,000.00 240,108,600.00 0.280 0.283 118

Mortgage Backed Securities (MBS)

FHLMC30100 0.0031398JNB5 08/15/2014 3181.85011/02/2010 0.00 0.968 0.9820.00

Subtotal and Average 0.00 0.00 0.00 0.000 0.000 0

Repurchase Agreements

U.S. TREASURY NOTES34556 50,000,000.00SYS34556 10/01/2013 00.04009/30/2013 50,000,000.00 0.040 0.04050,000,000.00U.S. TREASURY NOTES34557 100,000,000.00SYS34557 10/01/2013 00.06009/30/2013 100,000,000.00 0.060 0.060100,000,000.00


Federal Agency Bonds

FARMER MAC30297 35,000,000.0031315PLT4 12/06/2013 661.25012/06/2010 35,068,180.00 1.279 1.29734,997,093.06FFCB NOTES32782 10,000,000.003133EARQ3 06/23/2015 6300.50005/23/2012 10,027,680.00 0.592 0.6009,982,740.90FFCB NOTES33563 25,000,000.003133EAW20 06/19/2014 2610.23009/19/2012 25,018,600.00 0.268 0.27124,992,526.19FFCB NOTES33610 15,000,000.003133EAZ68 09/25/2015 7240.40009/25/2012 14,998,200.00 0.409 0.41514,995,537.50FFCB NOTES33725 20,000,000.003133EA4S4 10/16/2014 3800.25011/02/2012 20,014,660.00 0.305 0.31019,987,535.51FFCB NOTES33726 20,000,000.003133EA6W3 11/05/2014 4000.27011/05/2012 20,017,140.00 0.305 0.31019,991,244.44FFCB NOTES33735 10,000,000.003133EA7L6 11/09/2015 7690.40011/09/2012 9,990,210.00 0.407 0.4139,997,262.78FFCB NOTES33784 10,000,000.003133EC5Q3 03/16/2015 5310.33012/03/2012 10,008,660.00 0.325 0.33010,000,000.00FFCB NOTES33787 10,000,000.003133EC5Q3 03/16/2015 5310.33012/03/2012 10,008,660.00 0.325 0.33010,000,000.00FFCB NOTES33822 20,000,000.003133EC7H1 08/17/2015 6850.34012/17/2012 19,985,660.00 0.359 0.36419,990,986.67

Portfolio SCL2AP

Run Date: 10/31/2013 - 11:11 FI (PRF_FI) 7.1.1Report Ver. 7.3.5

15

September 30, 2013


MaturityDate

CurrentRateMarket Value

Fund COMM - COMMINGLED POOLInvestments by Fund Page 2

CUSIP Investment # IssuerPurchase

Date Book ValueYTM360

YTM365


FFCB NOTES33835 21,000,000.003133EAHP6 03/16/2015 5310.52012/12/2012 21,076,230.00 0.313 0.31821,061,490.79FFCB NOTES33843 47,500,000.003133EC5T7 06/04/2014 2460.25012/12/2012 47,541,277.50 0.239 0.24347,502,169.64FFCB NOTES33864 35,000,000.003133EC5U4 07/07/2014 2790.25012/18/2012 35,031,640.00 0.248 0.25134,999,481.57FFCB NOTES34343 15,000,000.003133ECSP0 06/24/2015 6310.33006/24/2013 14,997,435.00 0.326 0.33114,999,740.42FFCB NOTES34561 40,000,000.003133EARQ3 06/23/2015 6300.50009/30/2013 40,110,720.00 0.295 0.29940,138,177.85FHLB NOTES28136 16,775,000.003133XUMR1 09/12/2014 3463.25012/04/2009 17,264,762.90 2.393 2.42716,897,629.64FHLB NOTES32291 20,000,000.003133783D1 02/13/2014 1350.30002/13/2012 20,016,120.00 0.347 0.35219,996,186.67FHLB NOTES32889 35,000,000.00313379R92 03/06/2014 1560.29006/06/2012 35,021,245.00 0.292 0.29634,999,229.78FHLB NOTES33523 20,000,000.003133X7FK5 06/18/2014 2605.25009/13/2012 20,729,560.00 0.400 0.40620,709,320.00FHLB NOTES33591 20,000,000.00313376UF0 01/29/2014 1200.37509/21/2012 20,019,340.00 0.249 0.25220,007,979.51FHLB NOTES33621 20,000,000.00313379SK6 07/02/2014 2740.40009/26/2012 20,039,060.00 0.300 0.30520,014,231.76FHLB NOTES33733 15,000,000.003133XSAE8 10/18/2013 173.62511/06/2012 15,024,960.00 0.214 0.21715,024,098.25FHLB NOTES33836 35,000,000.00313373JR4 05/28/2014 2391.37512/12/2012 35,287,175.00 0.228 0.23235,262,727.57FHLB NOTES33858 12,000,000.00313379SK6 07/02/2014 2740.40012/14/2012 12,023,436.00 0.250 0.25312,013,171.18FHLB NOTES33859 27,540,000.003133X7FK5 06/18/2014 2605.25012/14/2012 28,544,604.12 0.250 0.25428,519,700.06FHLB NOTES33860 15,425,000.003133XWE70 06/13/2014 2552.50012/14/2012 15,680,237.48 0.250 0.25415,666,880.03FHLB NOTES33890 25,000,000.00313379DD8 06/21/2017 1,3591.00012/31/2012 25,007,450.00 0.678 0.68825,285,270.19FHLB NOTES34257 15,000,000.003133834R9 06/24/2016 9970.37505/10/2013 14,920,965.00 0.426 0.43214,976,780.56FHLB NOTES34261 35,000,000.003133834R9 06/24/2016 9970.37505/13/2013 34,815,585.00 0.452 0.45834,920,509.41FHLB NOTES34270 10,000,000.00313381YP4 02/20/2015 5070.25005/16/2013 9,997,010.00 0.247 0.2519,999,842.59FHLB NOTES34533 25,000,000.003133834R9 06/24/2016 9970.37509/17/2013 24,868,275.00 0.698 0.70824,774,955.12FHLMC NOTES29892 25,000,000.003128X9C73 02/19/2014 1412.17509/10/2010 25,200,700.00 1.219 1.23625,087,739.71FHLMC NOTES29957 6,769,000.003128X23A1 04/02/2014 1834.50009/30/2010 6,916,205.44 1.068 1.0836,882,800.84FHLMC NOTES30053 20,000,000.003128X9C73 02/19/2014 1412.17510/22/2010 20,160,560.00 0.794 0.80620,103,344.36FHLMC NOTES30273 9,102,000.003128X33E1 01/26/2015 4825.05012/02/2010 9,678,256.72 1.499 1.5209,511,280.81FHLMC NOTES30285 1,255,000.003128X33E1 01/26/2015 4825.05012/03/2010 1,334,455.31 1.512 1.5331,311,202.65FHLMC NOTES32003 20,000,000.003134G2UA8 08/20/2014 3231.00009/29/2011 20,145,760.00 0.888 0.90120,059,019.60FHLMC NOTES32004 30,000,000.003134G2UA8 08/20/2014 3231.00009/29/2011 30,218,640.00 0.869 0.88130,092,261.79FHLMC NOTES32007 15,000,000.003134G2UA8 08/20/2014 3231.00009/30/2011 15,109,320.00 0.640 0.64915,046,009.62FHLMC NOTES32008 35,000,000.003134G2U42 10/15/2013 140.37509/30/2011 35,004,025.00 0.513 0.52134,998,533.33FHLMC NOTES32019 25,000,000.003137EACY3 11/25/2014 4200.75010/06/2011 25,162,600.00 0.750 0.76124,996,883.08FHLMC NOTES32030 30,000,000.003134G23H3 10/15/2013 140.50010/21/2011 30,004,890.00 0.505 0.51229,999,858.82

Portfolio SCL2AP


16

September 30, 2013


MaturityDate





YTM365


FHLMC NOTES32087 20,000,000.003137EACH0 02/09/2015 4962.87511/17/2011 20,710,160.00 0.790 0.80120,553,850.60FHLMC NOTES32095 20,000,000.003137EACZ0 11/27/2013 570.37511/18/2011 20,009,180.00 0.567 0.57519,993,808.50FHLMC NOTES32117 35,000,000.003134G2UA8 08/20/2014 3231.00011/29/2011 35,255,080.00 0.736 0.74635,077,620.08FHLMC NOTES32127 25,000,000.003134G2UA8 08/20/2014 3231.00012/01/2011 25,182,200.00 0.679 0.68925,068,101.12FHLMC NOTES32132 30,000,000.003134G3BF6 12/23/2013 830.62512/06/2011 30,035,160.00 0.507 0.51430,007,476.80FHLMC NOTES32142 20,000,000.003134G2U42 10/15/2013 140.37512/09/2011 20,002,300.00 0.376 0.38219,999,945.35FHLMC NOTES32169 25,000,000.003134A4UU6 07/15/2014 2875.00012/19/2011 25,956,650.00 0.578 0.58725,862,504.32FHLMC NOTES32171 8,980,000.003128X23A1 04/02/2014 1834.50012/19/2011 9,175,288.06 0.542 0.5499,156,974.85FHLMC NOTES32303 15,000,000.003134G3NS5 03/21/2014 1710.30002/17/2012 15,017,955.00 0.399 0.40514,992,590.12FHLMC NOTES32326 10,000,000.003134G3JR2 01/09/2014 1000.45002/28/2012 10,010,070.00 0.379 0.38410,001,767.21FHLMC NOTES33442 20,000,000.003134G3H78 12/05/2014 4300.35008/30/2012 20,031,320.00 0.360 0.36519,996,462.33FHLMC NOTES33444 10,000,000.003134G3YW4 08/28/2014 3310.37508/30/2012 10,019,690.00 0.335 0.33910,003,188.02FHLMC NOTES33445 10,573,000.003134G2UA8 08/20/2014 3231.00008/30/2012 10,650,056.02 0.335 0.34010,634,565.24FHLMC NOTES33454 10,000,000.003134G3J76 09/04/2015 7030.45008/30/2012 10,004,170.00 0.439 0.44510,000,831.09FHLMC NOTES33552 10,000,000.003134G3J76 09/04/2015 7030.45009/17/2012 10,004,170.00 0.535 0.54310,001,948.45FHLMC NOTES33600 10,000,000.003134G3JR2 01/09/2014 1000.45009/24/2012 10,010,070.00 0.254 0.25810,005,205.59FHLMC NOTES33611 15,575,000.003137EACL1 10/28/2013 270.87509/25/2012 15,584,282.70 0.229 0.23215,582,487.06FHLMC NOTES33721 20,000,000.003137EACW7 08/25/2016 1,0592.00011/01/2012 20,723,560.00 0.602 0.61020,795,081.22FHLMC NOTES33778 10,788,000.003134G3JR2 01/09/2014 1000.45011/27/2012 10,798,863.52 0.235 0.23910,794,180.29FHLMC NOTES33833 50,000,000.003137EACU1 07/30/2014 3021.00012/11/2012 50,361,150.00 0.235 0.23850,315,498.30FHLMC NOTES33846 25,000,000.003134A4UM4 01/15/2014 1064.50012/13/2012 25,317,625.00 0.200 0.20325,309,811.22FHLMC NOTES33870 35,000,000.003134G3LA6 02/27/2014 1490.37512/18/2012 35,041,860.00 0.200 0.20335,024,299.30FHLMC NOTES34532 25,000,000.003137EADQ9 05/13/2016 9550.50009/17/2013 24,935,225.00 0.718 0.72824,852,196.65FHLMC NOTES34543 10,000,000.003137EADS5 10/14/2016 1,1090.87509/23/2013 10,040,610.00 0.819 0.83010,013,203.36FNMA NOTES29930 25,000,000.003136FPGF8 03/23/2015 5381.75009/23/2010 25,521,350.00 1.726 1.75025,000,000.00FNMA NOTES29997 20,000,000.0031398A4H2 10/08/2013 71.12510/08/2010 20,004,060.00 1.109 1.12520,000,000.00FNMA NOTES30108 25,000,000.0031398A4M1 10/26/2015 7551.62511/03/2010 25,611,400.00 1.359 1.37825,123,072.50FNMA NOTES30999 25,000,000.0031359MWJ8 10/15/2014 3794.62503/08/2011 26,155,625.00 1.688 1.71125,730,698.54FNMA NOTES31053 20,000,000.0031398A3R1 03/21/2014 1711.35003/15/2011 20,119,280.00 1.241 1.25920,008,390.42FNMA NOTES31485 25,000,000.003135G0BJ1 06/27/2014 2691.12505/16/2011 25,187,600.00 1.154 1.17124,991,694.92FNMA NOTES31996 35,000,000.003135G0DW0 10/30/2014 3940.62509/27/2011 35,168,210.00 0.632 0.64134,994,005.97FNMA NOTES32082 20,000,000.0031398A5W8 12/18/2013 780.75011/15/2011 20,029,940.00 0.522 0.52920,009,346.35

Portfolio SCL2AP


17

September 30, 2013


MaturityDate





YTM365


FNMA NOTES32088 30,000,000.003135G0FY4 12/19/2014 4440.75011/17/2011 30,195,840.00 0.740 0.75129,999,645.50FNMA NOTES32161 35,000,000.003135G0BY8 08/28/2014 3310.87512/15/2011 35,231,700.00 0.646 0.65535,069,046.40FNMA NOTES32277 20,000,000.003135G0ES8 11/15/2016 1,1411.37502/06/2012 20,333,160.00 0.941 0.95420,256,185.69FNMA NOTES32308 15,000,000.0031359M4D2 02/13/2017 1,2315.00002/22/2012 17,004,540.00 1.132 1.14716,885,502.51FNMA NOTES33443 10,000,000.003135G0NV1 09/28/2015 7270.50008/30/2012 10,018,190.00 0.460 0.46610,006,600.54FNMA NOTES33524 25,000,000.003135G0BJ1 06/27/2014 2691.12509/13/2012 25,187,600.00 0.468 0.47525,155,201.09FNMA NOTES33714 20,000,000.003135G0ES8 11/15/2016 1,1411.37510/29/2012 20,333,160.00 0.654 0.66320,437,557.14FNMA NOTES33722 20,000,000.003135G0NV1 09/28/2015 7270.50011/01/2012 20,036,380.00 0.429 0.43520,025,338.11FNMA NOTES33777 20,000,000.003135G0KM4 05/27/2015 6030.50011/27/2012 20,059,400.00 0.361 0.36620,044,037.78FNMA NOTES33844 50,000,000.0031398AXJ6 05/15/2014 2262.50012/12/2012 50,741,600.00 0.234 0.23750,702,128.65FNMA NOTES33857 25,000,000.0031398AXJ6 05/15/2014 2262.50012/14/2012 25,370,800.00 0.254 0.25725,347,945.21FNMA NOTES33866 25,000,000.0031359MWJ8 10/15/2014 3794.62512/18/2012 26,155,625.00 0.265 0.26826,127,834.86FNMA NOTES34269 25,000,000.003135G0KM4 05/27/2015 6030.50005/16/2013 25,074,250.00 0.258 0.26225,098,177.95FNMA NOTES34271 20,000,000.003135G0XP3 07/05/2016 1,0080.37505/17/2013 19,822,960.00 0.481 0.48819,937,610.64FNMA NOTES34524 25,000,000.003135G0LN1 07/02/2015 6390.50009/13/2013 25,067,400.00 0.404 0.41025,039,133.67FNMA NOTES34555 25,000,000.003135G0YE7 08/26/2016 1,0600.62509/27/2013 24,926,400.00 0.722 0.73224,922,795.52FNMA NOTES34564 10,000,000.003135G0LN1 07/02/2015 6390.50009/30/2013 10,026,960.00 0.304 0.30910,033,347.15

Subtotal and Average 1,975,782,328.43 1,963,282,000.00 1,980,350,275.77 0.568 0.576 415

Federal Agency Bonds - CALLABLE

FHLMC NOTES32292 35,000,000.003134G3MR8 02/13/2015 5000.55002/13/2012 35,058,310.00 0.519 0.52635,011,177.01FHLMC NOTES32319 10,000,000.003134G3PE4 02/24/2016 8760.85002/24/2012 10,019,190.00 0.838 0.85010,000,000.00FHLMC NOTES32320 30,000,000.003134G3PE4 02/24/2016 8760.85002/24/2012 30,057,570.00 0.838 0.85030,000,000.00FHLMC NOTES32365 15,000,000.003134G3RK8 03/14/2016 8951.00003/14/2012 15,048,510.00 0.986 1.00015,000,000.00FHLMC NOTES33756 20,000,000.003134G3W71 11/26/2014 4210.35011/26/2012 20,005,980.00 0.345 0.35020,000,000.00FHLMC NOTES33793 18,000,000.003134G3Y61 12/10/2014 4350.37512/10/2012 18,007,380.00 0.355 0.35918,003,217.81FHLMC NOTES33834 40,000,000.003134G3MR8 02/13/2015 5000.55012/11/2012 40,066,640.00 0.410 0.41540,073,047.86FHLMC NOTES33842 50,000,000.003134G3Y61 12/10/2014 4350.37512/12/2012 50,020,500.00 0.330 0.33450,023,901.10FHLMC NOTES33847 25,000,000.003134G3Z60 06/19/2015 6260.42012/19/2012 25,005,125.00 0.386 0.39125,012,012.06FHLMC NOTES33861 40,000,000.003134G3Z60 06/19/2015 6260.42012/19/2012 40,008,200.00 0.394 0.39940,013,728.07FHLMC NOTES34164 7,050,000.003134G3Y20 11/27/2015 7870.50004/11/2013 7,043,429.40 0.445 0.4517,057,282.21FHLMC NOTES34350 50,000,000.003134G4B23 06/26/2015 6330.45006/26/2013 50,034,150.00 0.443 0.45050,000,000.00

Portfolio SCL2AP


18

September 30, 2013


MaturityDate





YTM365

Federal Agency Bonds - CALLABLE

FHLMC NOTES34523 20,781,000.003134G42L1 04/29/2016 9410.50009/13/2013 20,681,438.23 0.861 0.87220,583,871.35FHLMC NOTES34560 20,000,000.003134G4GP7 09/30/2016 1,0951.25009/30/2013 20,043,940.00 1.232 1.25020,000,000.00FNMA NOTES32182 50,000,000.003135G0GM9 12/23/2014 4480.82512/23/2011 50,060,450.00 0.792 0.80350,013,284.67FNMA NOTES32183 8,900,000.003135G0GM9 12/23/2014 4480.82512/23/2011 8,910,760.10 0.813 0.8258,900,000.00FNMA NOTES32190 16,525,000.003136FTWW5 12/29/2016 1,1851.25012/29/2011 16,660,686.78 1.253 1.27016,514,281.81FNMA NOTES33730 30,000,000.003135G0RS4 11/06/2015 7660.50011/06/2012 29,993,850.00 0.493 0.50030,000,000.00FNMA NOTES33839 10,000,000.003135G0SE4 06/05/2015 6120.42012/12/2012 10,003,390.00 0.390 0.39510,004,057.46FNMA NOTES33856 25,000,000.003135G0SE4 06/05/2015 6120.42012/14/2012 25,008,475.00 0.392 0.39725,009,318.94FNMA NOTES33867 25,000,000.003135G0SE4 06/05/2015 6120.42012/18/2012 25,008,475.00 0.396 0.40125,007,658.51FNMA NOTES33891 30,000,000.003135G0SE4 06/05/2015 6120.42012/31/2012 30,010,170.00 0.397 0.40330,008,288.94FNMA NOTES34258 40,000,000.003135G0WY5 11/14/2016 1,1400.55005/14/2013 39,653,000.00 0.553 0.56139,985,750.00FNMA NOTES34355 30,905,000.003135G0UM3 02/26/2016 8780.52006/19/2013 30,842,108.33 0.542 0.55030,882,883.91FNMA NOTES34358 50,000,000.003135G0XC2 08/22/2016 1,0560.50006/20/2013 49,608,100.00 0.713 0.72349,680,954.47FNMA NOTES34398 50,000,000.003135G0VX8 09/26/2016 1,0910.62507/10/2013 49,786,100.00 0.946 0.96049,508,531.57FNMA NOTES34414 50,000,000.003135G0VX8 09/26/2016 1,0910.62507/17/2013 49,786,100.00 0.887 0.90049,596,068.19FNMA NOTES34420 15,505,000.003135G0XV0 12/18/2015 8080.40007/18/2013 15,472,858.14 0.509 0.51615,465,228.78FNMA NOTES34464 10,500,000.003135G0XA6 05/21/2018 1,6931.03008/12/2013 10,219,660.50 1.578 1.60010,233,659.77FNMA NOTES34528 30,000,000.003135G0VB6 03/28/2016 9090.65009/16/2013 29,958,480.00 0.838 0.84929,852,467.11


US Treasury Notes

U.S. TREASURY NOTES33794 15,000,000.00912828TA8 06/30/2014 2720.25011/29/2012 15,016,995.00 0.239 0.24215,000,827.20


Corporate Bonds

BANK OF NEW YORK31862 35,000,000.0006406HBW8 07/28/2014 3000.53407/28/2011 35,051,590.00 0.610 0.61935,000,000.00BERKSHIRE HATHWY34456 10,000,000.00084664BX8 08/15/2016 1,0490.95008/15/2013 10,013,010.00 0.954 0.9679,994,925.74COLGATE-PALMOLIVE CO30101 15,000,000.0019416QDQ0 11/01/2015 7611.37511/03/2010 15,238,215.00 1.510 1.53114,952,947.72CHEVRON CORP.34349 5,000,000.00166764AC4 06/24/2016 9970.88906/24/2013 5,019,535.00 0.876 0.8895,000,000.00GENERAL ELECTRIC30190 5,000,000.0036962G4T8 11/09/2015 7692.25011/09/2010 5,133,265.00 2.234 2.2654,998,420.83GOOGLE INC31519 10,000,000.0038259PAA0 05/19/2014 2301.25005/19/2011 10,057,980.00 1.240 1.2579,999,514.44IBM32953 8,500,000.00459200GZ8 10/31/2014 3950.87506/12/2012 8,554,740.00 0.636 0.6458,520,848.68

Portfolio SCL2AP


19

September 30, 2013


MaturityDate





YTM365

Corporate Bonds

JOHNSON & JOHNSON31531 30,000,000.00478160AX2 05/15/2014 2261.20005/20/2011 30,163,470.00 1.223 1.24029,992,686.14JOHNSON & JOHNSON32141 5,000,000.00478160AX2 05/15/2014 2261.20012/09/2011 5,027,245.00 0.634 0.6435,017,145.21TOYOTA MOTOR CREDIT32239 11,000,000.0089233P5V4 01/17/2014 1080.66801/20/2012 11,012,100.00 0.783 0.79411,000,000.00TOYOTA MOTOR CREDIT32302 25,000,000.0089233P5Z5 02/17/2015 5041.00002/17/2012 25,200,025.00 1.036 1.05024,982,777.78WALMART30060 15,000,000.00931142CW1 10/25/2013 240.75010/25/2010 15,003,705.00 0.854 0.86614,998,856.67WALMART34176 2,000,000.00931142DE0 04/11/2016 9230.60004/11/2013 1,991,830.00 0.615 0.6231,998,803.52


Corporate Bonds - NCUA Guaranteed

NCUA GUARANTEED NOTE31686 5,000,000.0062889KAB7 06/12/2015 6191.40006/16/2011 5,087,850.00 1.416 1.4354,997,042.86


Asset Backed Securities (ABS)

CHASE ISSUANCE TRUST (ABS)34436 15,000,000.00161571FJ8 06/15/2017 1,3530.79007/29/2013 15,050,280.00 0.622 0.63115,040,429.69HONDA AUTO RECEIVABLES OWNER T34430 10,000,000.0043812XAB1 01/15/2016 8360.54007/24/2013 10,009,420.00 0.518 0.5259,999,851.00

Subtotal and Average 25,040,280.69 25,000,000.00 25,059,700.00 0.581 0.589 1,146

Asset Backed Securities

BANK OF AMERICA AUTO TRUST32522 11,372,560.3306052YAC3 06/15/2016 9880.78004/18/2012 11,395,316.82 0.781 0.79211,372,296.26CHASE ISSUANCE TRUST (ABS)33757 15,000,000.00161571FR0 10/15/2015 7440.54011/21/2012 14,966,415.00 0.548 0.55514,997,459.99HONDA AUTO RECEIVABLES OWNER T32317 2,000,000.0043813UAC4 03/15/2015 5300.77002/23/2012 2,005,216.00 0.770 0.7801,999,943.01HONDA AUTO RECEIVABLES OWNER T34197 10,749,835.3343814CAB5 06/22/2015 6290.35004/22/2013 10,744,901.16 0.359 0.36410,749,167.50MERCEDES-BENZ AUTO LEASE TRUST34190 17,000,000.0058768VAC5 02/15/2016 8670.59004/24/2013 17,000,068.00 0.593 0.60116,998,747.11MERCEDES-BENZ AUTO LEASE TRUST34191 30,000,000.0058768VAB7 06/15/2015 6220.49004/24/2013 30,002,100.00 0.490 0.49729,999,861.60MERCEDES -BENZ AUTO REC TRUST31830 2,405,037.12587728AC0 03/16/2015 5310.85007/20/2011 2,407,562.41 0.841 0.8532,405,009.49VOLKSWAGEN AUTO LOAN ENHANCED31149 9,108,867.9092867DAC4 06/20/2015 6271.22003/30/2011 9,125,218.32 1.205 1.2229,108,476.55VOLKSWAGEN AUTO LOAN ENHANCED32251 13,551,457.7892867GAC7 06/22/2015 6290.85001/26/2012 13,598,183.21 0.840 0.85213,551,378.15


Municipal Bonds

CALIFORNIA ST32486 3,100,000.0013063A5B6 04/01/2014 1825.25004/16/2012 3,172,478.00 1.055 1.0703,163,936.51CALIFORNIA ST32542 19,250,000.0013063BFQ0 03/01/2017 1,2475.75004/23/2012 21,699,947.50 2.190 2.22121,438,272.38

Portfolio SCL2AP


20

September 30, 2013


MaturityDate





YTM365

Municipal Bonds

CALIFORNIA ST POLL CONTROL FI32033 860,000.00130534XG0 06/01/2014 2435.90010/24/2011 891,605.00 1.085 1.100887,052.28COOK COUNTY32318 12,835,000.00213185DU2 11/15/2013 452.50302/24/2012 12,865,675.65 0.384 0.39012,867,993.18COLORADO ST HSG & FIN AUTH32073 4,000,000.00196479UG2 05/01/2014 2121.13911/10/2011 4,008,000.00 1.125 1.1414,000,000.00SAN BERNARDINO CNTY CA SF32364 2,055,000.00796842BB7 09/01/2014 3358.30003/14/2012 2,152,838.55 0.700 0.7102,142,540.22


Commercial Paper, Discount Notes

TOYOTA MOTOR CREDIT34460 25,000,000.0089233GXW1 10/30/2013 290.14008/09/2013 24,997,500.00 0.140 0.14124,997,227.02U S BANK34455 25,000,000.009033E0X76 10/07/2013 60.10008/07/2013 24,997,500.00 0.100 0.10124,999,590.20U S BANK34558 50,000,000.009033E0X76 10/07/2013 60.05009/30/2013 49,995,000.00 0.049 0.05049,999,590.22


Federal Agency, Discount Notes

FFCB DISCOUNT NOTE34334 25,000,000.00313313XD5 05/23/2014 2340.15006/13/2013 24,991,875.00 0.152 0.15424,975,508.70FHLB DISCOUNT NOTE34158 20,000,000.00313385MT0 10/09/2013 804/10/2013 19,999,920.00 0.117 0.11919,999,485.71FHLB DISCOUNT NOTE34396 25,000,000.00313385NF9 10/21/2013 2007/09/2013 24,999,725.00 0.050 0.05124,999,307.45FHLMC DISCOUNT NOTE34351 25,000,000.00313397XY2 06/11/2014 2530.15006/19/2013 24,989,450.00 0.152 0.15424,973,608.48FNMA DISCOUNT NOTE34461 25,000,000.00313589RL9 01/06/2014 9708/09/2013 24,998,650.00 0.070 0.07124,995,323.06


Treasury Bills

U S TREASURY BILL34166 50,000,000.00912796BF5 10/10/2013 90.09504/11/2013 49,999,800.00 0.096 0.09749,998,815.47


Local Agency Investment Fund

LOCAL AGENCY INVEST FUND8506 40,000,000.00SYS8506 10.25007/01/2013 40,000,000.00 0.246 0.25040,000,000.00


Money Market

DREYFUS CASH MANAGEMENT23519 71,338,289.38SYS23519 10.04002/01/2008 71,338,289.38 0.039 0.04071,338,289.38JP MORGAN US GOVT MMF33702 0.00SYS33702 10.01010/23/2012 0.00 0.009 0.0100.00MORGAN STANLEY GOVT INSTL 830234291 0.00SYS34291 10.04005/21/2013 0.00 0.039 0.0400.00MORGAN STANLEY TRSY INSTL 830434292 0.00SYS34292 10.03005/21/2013 0.00 0.029 0.0300.00

Portfolio SCL2AP


21

September 30, 2013


MaturityDate





YTM365


Total Investments and Average 3,975,676,957.43 3,962,574,047.84 3,982,516,392.25 0.531 0.538 437

Portfolio SCL2AP


22

September 30, 2013


MaturityDate


Fund CP - RETIREE HEALTHInvestments by Fund Page 9



YTM365


FHLMC 30 YR MBS13758 477,701.8831297QSX8 06/01/2035 7,9135.00005/12/2005 516,582.59 5.131 5.203472,700.94FHLMC 30 YR MBS13785 147,051.9831296SMB9 01/01/2034 7,3975.50005/12/2005 160,733.89 5.126 5.197148,637.38FHLMC 30 YR MBS13786 147,051.9731296SMB9 01/01/2034 7,3975.50005/12/2005 160,733.87 5.126 5.197148,637.37FHLMC 30 YR MBS13787 113,200.5031292H7J7 03/01/2034 7,4565.50005/12/2005 123,334.67 5.130 5.201114,420.94FHRR R005 AB15906 0.0031396HAN9 12/15/2018 1,9015.50002/17/2006 0.00 5.667 5.7450.00FNMA 15 YR MBS13695 154,515.0331406E2D5 03/01/2035 7,8214.50005/12/2005 165,265.84 5.018 5.088149,010.43FNMA 15 YR MBS13722 2,680.1131404WC79 07/01/2019 2,0995.00005/17/2005 2,845.95 4.748 4.8142,696.02FNMA 15 YR MBS13723 20,244.3131405HA24 07/01/2019 2,0995.00005/17/2005 21,487.85 4.902 4.97020,364.51FNMA 15 YR MBS13724 21,365.8531405FKM3 08/01/2019 2,1305.00005/17/2005 22,691.56 4.902 4.97021,492.71FNMA 15 YR MBS13725 4,034.4231402VHF0 09/01/2018 1,7965.00005/17/2005 4,294.74 4.902 4.9704,058.37FNMA 15 YR MBS13726 16,770.2531405FJR4 06/01/2019 2,0695.00005/17/2005 17,806.27 4.902 4.97016,869.82FNMA 15 YR MBS13727 47,802.4631405UEY1 01/01/2020 2,2835.00005/17/2005 50,765.27 4.902 4.97048,086.29FNMA 15 YR MBS13728 2,527.3931402VAT7 09/01/2018 1,7965.00005/17/2005 2,689.97 4.902 4.9702,542.40FNMA 15 YR MBS13729 25,107.3831402DEK2 12/01/2018 1,8875.00005/17/2005 26,723.88 4.902 4.97025,256.45FNMA 15 YR MBS13730 97,485.0731404WBY1 07/01/2019 2,0995.00005/17/2005 103,508.49 4.902 4.97098,063.89FNMA 15 YR MBS13731 24,759.9731405TLN0 11/01/2019 2,2225.00005/17/2005 26,296.16 4.902 4.97024,906.98FNMA 15 YR MBS13732 53,843.4931403V2Y4 02/01/2019 1,9495.00005/17/2005 57,299.07 4.902 4.97054,163.19FNMA 15 YR MBS14624 415,164.2231407RZ49 10/01/2020 2,5575.50009/19/2005 449,265.27 5.319 5.393423,337.77FNMA 15 YR MBS14625 3,644.7031402RJC4 06/01/2020 2,4356.00009/19/2005 3,884.89 5.740 5.8193,757.46FNMA 15 YR MBS14626 386,478.4331371MDH7 07/01/2020 2,4654.50009/19/2005 411,138.72 4.726 4.792380,983.19FNMA 30 YR MBS13675 22,647.2531405EB61 08/01/2034 7,6096.50005/12/2005 25,046.14 6.159 6.24523,570.83FNMA 30 YR MBS13676 38,166.5631405SUJ1 03/01/2035 7,8216.50005/12/2005 43,601.49 4.756 4.82339,723.04FNMA 30 YR MBS13677 893.0031379YSC8 08/01/2028 5,4186.50005/12/2005 986.96 4.756 4.823929.42FNMA 30 YR MBS13678 75,522.6031377Z3U4 02/01/2028 5,2366.50005/12/2005 83,984.50 4.756 4.82378,602.51FNMA 30 YR MBS13696 759,488.5731406YGL8 05/01/2035 7,8825.50005/12/2005 826,498.95 5.373 5.448766,727.45FNMA 30 YR MBS14585 365,306.4731402RDG1 04/01/2035 7,8526.00009/14/2005 404,248.37 5.792 5.872373,240.47FNMA 30 YR MBS20674 310,719.8131411WWN3 05/01/2037 8,6135.50005/14/2007 338,055.63 5.730 5.810307,272.76FNMA 30 YR MBS20675 385,583.1431407JFT4 10/01/2036 8,4016.50005/14/2007 426,155.27 5.844 5.925393,535.79FNMA 30 YR MBS20676 766,742.4431409HDV3 05/01/2036 8,2486.50005/14/2007 847,421.20 5.777 5.857782,556.50FNMA 30 YR MBS20677 19,279.1931407JFT4 10/01/2036 8,4016.50005/14/2007 21,307.80 5.844 5.92519,676.82FNMA 30 YR MBS20678 4,494.1031407FGG9 07/01/2035 7,9434.50005/14/2007 4,792.38 5.551 5.6284,225.86FNMA 30 YR MBS20679 7,736.0131407G6Z6 08/01/2035 7,9744.50005/14/2007 8,257.29 5.548 5.6257,274.27

Portfolio SCL2AP


23

September 30, 2013


MaturityDate





YTM365


FNMA 30 YR MBS20680 109,756.9631407YRS0 10/01/2035 8,0354.50005/14/2007 117,303.24 5.541 5.618103,205.84FNMA 30 YR MBS20681 9,754.7231371MJ65 10/01/2035 8,0354.50005/14/2007 10,429.26 5.541 5.6189,172.49FNMA 30 YR MBS20682 10,764.7331407MZK4 09/01/2035 8,0054.50005/14/2007 11,483.89 5.544 5.62110,122.21FNMA 30 YR MBS20683 157,710.9131403CZL8 12/01/2035 8,0964.50005/14/2007 168,515.41 5.533 5.609148,297.54FNMA 30 YR MBS20754 630,540.9831409BDG9 03/01/2021 2,7085.50005/17/2007 682,583.10 5.413 5.488631,821.77FNMA 30 YR MBS20755 203,720.3031410WDM7 04/01/2022 3,1045.00005/17/2007 218,533.41 5.349 5.424200,823.65FNMA 30 YR MBS31514 347,997.5031410KH56 05/01/2038 8,9786.00005/19/2011 380,512.20 2.625 2.662383,993.49FNMA 30 YR MBS31516 583,713.6131416X5D8 05/01/2041 10,0744.50005/19/2011 624,220.12 3.584 3.634607,062.16FNMA 30 YR MBS31517 1,692,324.9036241KXL7 12/15/2038 9,2065.00005/19/2011 1,843,166.98 2.917 2.9571,833,792.68GNMA 30YR14347 329,244.6336292CCK8 08/15/2035 7,9885.00008/18/2005 361,310.57 5.023 5.093327,855.61GNMA 30YR14348 201,702.9736225B6K9 05/15/2034 7,5316.50008/18/2005 226,321.31 6.134 6.220210,779.60



HOUSING URBAN DEV32091 1,000,000.00911759LC0 08/01/2014 3040.67011/17/2011 1,003,826.00 0.660 0.6701,000,000.00


US Treasury Notes

U.S. TREASURY NOTES28890 500,000.00912828MR8 02/28/2015 5152.37503/17/2010 515,273.44 2.350 2.383499,944.40U.S. TREASURY NOTES32097 950,000.00912828KJ8 03/31/2014 1811.75011/21/2011 957,978.10 0.287 0.291956,552.97U.S. TREASURY NOTES32814 937,000.00912828SV3 05/15/2022 3,1481.75005/23/2012 887,441.13 1.764 1.789934,090.99U.S. TREASURY NOTES33804 1,500,000.00912828TJ9 08/15/2022 3,2401.62512/04/2012 1,397,343.00 1.564 1.5861,504,717.95


Corporate Bonds

CATERPILLAR32829 1,000,000.0014912L5F4 06/01/2022 3,1652.85005/30/2012 955,582.00 2.829 2.868998,579.06JOHN DEERE CAPITAL CORP32323 1,000,000.0024422ERM3 03/15/2022 3,0872.75002/27/2012 956,348.00 2.731 2.769998,527.64EBAY INC30076 1,000,000.00278642AA1 10/15/2013 140.87510/28/2010 1,000,226.00 2.504 2.538999,972.84GENERAL ELECTRIC14236 1,100,000.0036962GP65 03/04/2015 5194.87508/02/2005 1,164,026.60 4.683 4.7491,101,564.41IBM26100 1,000,000.00459200GN5 10/15/2013 146.50010/15/2008 1,002,065.00 6.493 6.584999,972.54LEHMAN BROTHERS18995 851,313.63525ESC2W8 02/06/2020 2,3195.25001/12/2007 221,341.54 5.200 5.272850,875.29MORGAN STANLEY29744 1,000,000.006174467N3 07/24/2015 6614.00007/26/2010 1,043,055.00 4.021 4.077998,747.02

Portfolio SCL2AP


24

September 30, 2013


MaturityDate





YTM365

Corporate Bonds

UNITED TECHNOLOGIES32849 1,000,000.00913017BV0 06/01/2022 3,1653.10006/01/2012 983,735.00 3.066 3.109999,332.67


Municipal Bonds

COLORADO ST HSG & FIN AUTH32074 2,000,000.00196479UG2 05/01/2014 2121.13911/10/2011 2,004,000.00 1.125 1.1412,000,000.00


Money Market

BLACKROCK33656 0.00SYS33656 10.05009/30/2012 0.00 0.049 0.0500.00DREYFUS CASH MANAGEMENT FUND13571 1,281,789.35SYS13571 10.05012/31/2004 1,281,789.35 0.049 0.0501,281,789.35


Total Investments and Average 25,548,916.00 25,315,343.74 25,376,114.58 3.280 3.325 3,522

Portfolio SCL2AP


25


September 30, 2013

Fund CT - RETIREE HEALTH EQUITYInvestments by Fund


MaturityDate

CurrentRateMarket ValueCUSIP Investment # Issuer

PurchaseDate Book Value

YTM360

YTM365

Passbook/Checking Accounts

VANGUARD8738 7,049,548.00SYS8738 12.73007/01/2013 10,434,222.26 2.692 2.7307,049,548.00


Total Investments and Average 7,049,548.00 7,049,548.00 10,434,222.26 2.693 2.730 1

Portfolio SCL2AP


26

September 30, 2013


MaturityDate


Fund MVLA - MOUNTAIN VIEW-LOS ALTOSInvestments by Fund Page 13



YTM365

Municipal Bonds

ALASKA ST32335 60,000.00011770V43 08/01/2015 6693.00003/05/2012 62,838.00 0.420 0.42662,807.85CALIFORNIA ST32348 10,000.0013063BRL8 02/01/2014 1235.00003/08/2012 10,159.20 0.621 0.63010,144.54CALIFORNIA ST32557 25,000.0013063BWR9 04/01/2014 1824.00004/24/2012 25,475.50 0.671 0.68025,411.52CALIFORNIA ST HLTH FACS FING A32379 25,000.0013033LWT0 08/15/2014 3184.00003/21/2012 25,727.00 0.602 0.61025,732.67OREGON ST32417 25,000.0068608UMP8 11/01/2013 315.00004/04/2012 25,099.25 0.346 0.35025,096.51PENNSYLVANIA ST32583 100,000.0070914PRZ7 06/01/2014 2434.00004/26/2012 102,536.00 0.414 0.420102,373.30SAN FRANCISCO CITY & CNTY CA32345 70,000.00797646QR0 06/15/2016 9885.00003/08/2012 78,316.00 1.084 1.09978,173.17WASHINGTON ST32356 75,000.0093974CR36 02/01/2016 8535.00003/09/2012 82,689.75 0.710 0.72082,372.17

Subtotal and Average 412,111.73 390,000.00 412,840.70 0.630 0.639 556

Money Market - Tax Exempt

BLACKROCK TAX FREE INST33614 1,600,800.93SYS33614 10.02009/25/2012 1,600,800.93 0.019 0.0201,600,800.93



Portfolio SCL2AP


27

September 30, 2013


MaturityDate


Fund PA - PALO ALTO UNIFIEDInvestments by Fund Page 14



YTM365

Municipal Bonds

ALASKA ST32336 200,000.00011770V43 08/01/2015 6693.00003/05/2012 209,460.00 0.420 0.426209,359.51BEVERLY HILLS CA PUBLIC FING A32447 5,000.00088013DL8 06/01/2014 2434.00004/11/2012 5,122.40 0.385 0.3905,119.70CALIFORNIA ST32349 20,000.0013063BRL8 02/01/2014 1235.00003/08/2012 20,318.40 0.621 0.63020,289.09CALIFORNIA ST32558 40,000.0013063BWR9 04/01/2014 1824.00004/24/2012 40,760.80 0.670 0.68040,658.43CALIFORNIA ST HLTH FACS FING A32378 75,000.0013033LWT0 08/15/2014 3184.00003/21/2012 77,181.00 0.602 0.61077,198.00OREGON ST32418 50,000.0068608UMP8 11/01/2013 315.00004/04/2012 50,198.50 0.346 0.35150,193.02PENNSYLVANIA ST32584 100,000.0070914PRZ7 06/01/2014 2434.00004/26/2012 102,536.00 0.414 0.420102,373.30SAN FRANCISCO CITY & CNTY CA32346 135,000.00797646QR0 06/15/2016 9885.00003/08/2012 151,038.00 1.084 1.099150,762.55WASHINGTON ST32357 150,000.0093974CR36 02/01/2016 8535.00003/09/2012 165,379.50 0.710 0.720164,744.34






Portfolio SCL2AP


28

September 30, 2013


MaturityDate


Fund PCF - PARK CHARTER FUNDInvestments by Fund Page 15



YTM365

US Treasury Notes

U.S. TREASURY NOTES33529 4,000,000.00912828SM3 03/31/2017 1,2771.00009/13/2012 4,018,436.00 0.603 0.6114,053,368.60U.S. TREASURY NOTES33531 7,000,000.00912828KT6 03/31/2016 9122.37509/13/2012 7,332,500.00 0.413 0.4187,339,111.49


Money Market

DREYFUS CASH MANAGEMENT FUND33657 105,655.02SYS33657 10.05009/30/2012 105,655.02 0.049 0.050105,655.02


Total Investments and Average 11,498,135.11 11,105,655.02 11,456,591.02 0.477 0.483 1,032

Portfolio SCL2AP


29

September 30, 2013


MaturityDate


Fund SJE - SAN JOSE- EVERGREENInvestments by Fund Page 16



YTM365

Municipal Bonds

ALASKA ST32337 740,000.00011770V43 08/01/2015 6693.00003/05/2012 775,002.00 0.420 0.426774,630.19BEVERLY HILLS CA PUBLIC FING A32448 20,000.00088013DL8 06/01/2014 2434.00004/11/2012 20,489.60 0.385 0.39020,478.82FLORIDA STATE BOARD EDUCATION32650 1,125,000.0034153PJX7 06/01/2014 2434.00005/04/2012 1,153,451.25 0.414 0.4201,151,703.61METROPOLITAN WATER DISTRICT33072 500,000.0059266THW4 07/01/2016 1,0045.00006/28/2012 558,915.00 0.724 0.734558,919.85OREGON ST32420 500,000.0068608UMS2 11/01/2016 1,1275.00004/04/2012 565,510.00 1.045 1.060559,135.97PENNSYLVANIA ST32585 800,000.0070914PRZ7 06/01/2014 2434.00004/26/2012 820,288.00 0.414 0.420818,986.38WASHINGTON ST32358 775,000.0093974CR36 02/01/2016 8535.00003/09/2012 854,460.75 0.710 0.720851,179.07






Portfolio SCL2AP


30

September 30, 2013


MaturityDate


Fund WVM - WEST VALLEY MISSION-CCDInvestments by Fund Page 17



YTM365

Municipal Bonds

BEVERLY HILLS CA PUBLIC FING A32449 110,000.00088013DL8 06/01/2014 2434.00004/11/2012 112,692.80 0.385 0.390112,633.49CALIFORNIA ST32351 220,000.0013063BRL8 02/01/2014 1235.00003/08/2012 223,502.40 0.621 0.630223,179.98CALIFORNIA ST32559 900,000.0013063BWR9 04/01/2014 1824.00004/24/2012 917,118.00 0.671 0.680914,814.75DISTRICT COULUMBIA REV29064 500,000.002548396J7 04/01/2014 1823.00004/07/2010 506,915.00 1.598 1.620503,316.03OREGON ST32419 1,225,000.0068608UMP8 11/01/2013 315.00004/04/2012 1,229,863.25 0.346 0.3511,229,728.89SAN FRANCISCO CITY & CNTY CA32347 3,700,000.00797646QR0 06/15/2016 9885.00003/08/2012 4,139,560.00 1.084 1.0994,132,010.51WASHINGTON ST32360 4,000,000.0093974CM98 02/01/2014 1233.00003/09/2012 4,037,320.00 0.296 0.3004,035,866.28






Portfolio SCL2AP


31

SANTA CLARA COUNTY INVESTMENTSTransaction Activity Report

July 1, 2013 - September 30, 2013Sorted by Transaction Date - Maturity Date

Selected Funds

TotalCashInterest

PrincipalPaydowns

NewPrincipalFundInvestment # IssuerDealerTransactionTypeInv DescripCUSIP

8506 COMM 40,000,000.00 -40,000,000.00LOCAL AGENCYPurchaseLAIF 1.65%SYS85068738 CT 11,767,120.25 -11,767,120.25VANGUARDVANGUARDPurchaseV 2.73%SYS873831757 MVLA 100,000.00 100,000.00LOS ANGELESMORGAN STANLEYRedemptionLOSUTL 4.% MAT544495WS931758 PA 150,000.00 150,000.00LOS ANGELESMORGAN STANLEYRedemptionLOSUTL 4.% MAT544495WS931759 WVM 1,750,000.00 1,750,000.00LOS ANGELESMORGAN STANLEYRedemptionLOSUTL 4.% MAT544495WS931851 COMM 19,000,000.00 19,000,000.00UNIVERSITYMERRILL LYNCHRedemptionUNIVCA 0.887% MAT91412GFC434375 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.1% MATSYS3437534376 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.1% MATSYS3437634377 COMM 25,000,000.00 25,000,000.00FFCB DISCOUNTUBS FINANCERedemptionFCDN DISC NOTE313313HP631757 MVLA 2,000.00 2,000.00LOS ANGELESMORGAN STANLEYInterestLOSUTL 4.% MAT544495WS931758 PA 3,000.00 3,000.00LOS ANGELESMORGAN STANLEYInterestLOSUTL 4.% MAT544495WS931759 WVM 35,000.00 35,000.00LOS ANGELESMORGAN STANLEYInterestLOSUTL 4.% MAT544495WS931851 COMM 84,265.00 84,265.00UNIVERSITYMERRILL LYNCHInterestUNIVCA 0.887% MAT91412GFC433018 MVLA 750.00 750.00NEW MEXICO STMORGAN STANLEYInterestNMSGEN 3.% MAT647310P9633019 PA 1,500.00 1,500.00NEW MEXICO STMORGAN STANLEYInterestNMSGEN 3.% MAT647310P9633020 SJE 10,125.00 10,125.00NEW MEXICO STMORGAN STANLEYInterestNMSGEN 3.% MAT647310P9633021 WVM 10,125.00 10,125.00NEW MEXICO STMORGAN STANLEYInterestNMSGEN 3.% MAT647310P9634375 COMM 833.33 833.33U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.1% MATSYS3437534376 COMM 833.33 833.33U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.1% MATSYS3437634383 COMM 29,999,991.60 -29,999,991.60FFCB DISCOUNTUBS FINANCEPurchaseFCDN DISC NOTE313313HQ434382 COMM 49,999,902.78 -49,999,902.78RABOBANKMERRILL LYNCHPurchaseRABO DISC NOTE74977KU2334380 COMM 150,000,000.00 -150,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.08% MATSYS3438034381 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.08% MATSYS3438131539 MVLA 5,000.00 5,000.00CALIFORNIA HSGMERRILL LYNCHRedemptionCASHSG 1.2% MAT130333BD831539 MVLA 25.00 25.00CALIFORNIA HSGMERRILL LYNCHInterestCASHSG 1.2% MAT130333BD833794 COMM 18,750.00 18,750.00U.S. TREASURYCITICORPInterestUSTN 0.25% MAT912828TA814371 CP 25,000.00 25,000.00HSBC FIN CORPJ P MORGAN-FDICInterestHSBC 5.088963%40429CCS914427 CP 22,500.00 22,500.00WALMARTLEHMAN BROTHERSInterestWMT 4.5% MAT931142BY833072 SJE 12,500.00 12,500.00METROPOLITANE.J. DE LA ROSA &InterestMET WTR STHRN59266THW432190 COMM 103,281.25 103,281.25FNMA NOTESPIPER JAFFRAY &InterestFNMA 1.25% MAT3136FTWW5

Totals for 07/01/2013 381,767,014.63 246,005,000.00 330,487.91 -135,431,526.72

33702 COMM 356.20 356.20JP MORGAN USInterestJPM LD 0.01%SYS3370233702 COMM 356.20 -356.20JP MORGAN USPurchaseJPM LD 0.01%SYS3370234291 COMM 6,233.54 6,233.54MORGAN STANLEYInterestMSGI 0.%SYS34291

Portfolio SCL2AP

Run Date: 11/01/2013 - 14:51 TA (PRF_TA) 7.1.1Report Ver. 7.3.5

32

Sorted by Transaction Date - Maturity DatePage 2Transaction Activity Report


TotalCashInterest

PrincipalPaydowns


34291 COMM 6,233.54 -6,233.54MORGAN STANLEYPurchaseMSGI 0.%SYS3429134292 COMM 246.60 246.60MORGAN STANLEYInterestMSTI 0.%SYS3429234292 COMM 246.60 -246.60MORGAN STANLEYPurchaseMSTI 0.%SYS3429233018 MVLA 50,000.00 50,000.00NEW MEXICO STMORGAN STANLEYRedemptionNMSGEN 3.% MAT647310P9633019 PA 100,000.00 100,000.00NEW MEXICO STMORGAN STANLEYRedemptionNMSGEN 3.% MAT647310P9633020 SJE 675,000.00 675,000.00NEW MEXICO STMORGAN STANLEYRedemptionNMSGEN 3.% MAT647310P9633021 WVM 675,000.00 675,000.00NEW MEXICO STMORGAN STANLEYRedemptionNMSGEN 3.% MAT647310P9631851 COMM 468.12 468.12UNIVERSITYMERRILL LYNCHInterestUNIVCA 0.887% MAT91412GFC434279 COMM 75,000,000.00 75,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0U2034380 COMM 150,000,000.00 150,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.08% MATSYS3438034381 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.08% MATSYS3438134382 COMM 50,000,000.00 50,000,000.00RABOBANKMERRILL LYNCHRedemptionRABO DISC NOTE74977KU2334383 COMM 30,000,000.00 30,000,000.00FFCB DISCOUNTUBS FINANCERedemptionFCDN DISC NOTE313313HQ434380 COMM 333.33 333.33U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.08% MATSYS3438034381 COMM 222.22 222.22U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.08% MATSYS3438134384 COMM 200,000,000.00 -200,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.05% MATSYS3438434385 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.03% MATSYS3438534386 COMM 49,999,027.78 -49,999,027.78U S BANKU S BANKPurchaseUSBKMN DISC NOTE9033E0UC834387 COMM 49,997,583.33 -49,997,583.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LUX133621 COMM 40,000.00 40,000.00FHLB NOTESMORGAN STANLEYInterestFHLB 0.4% MAT313379SK633858 COMM 24,000.00 24,000.00FHLB NOTESMORGAN STANLEYInterestFHLB 0.4% MAT313379SK634340 COMM 62,500.00 62,500.00FNMA NOTESCITIGROUP GLOBALInterestFNMA 0.5% MAT3135G0LN134340 COMM 56,250.00 -56,250.00 0.00FNMA NOTESCITIGROUP GLOBALAccr IntFNMA 0.5% MAT3135G0LN1

Totals for 07/02/2013 400,003,447.45 406,556,250.00 78,110.01 6,630,912.56

33702 COMM 630.20 630.20JP MORGAN USRedemptionJPM LD 0.01%SYS3370234291 COMM 100,008,357.04 100,008,357.04MORGAN STANLEYRedemptionMSGI 0.%SYS3429134292 COMM 246.60 246.60MORGAN STANLEYRedemptionMSTI 0.%SYS3429234384 COMM 200,000,000.00 200,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.05% MATSYS3438434385 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.03% MATSYS3438534384 COMM 277.78 277.78U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.05% MATSYS3438434385 COMM 83.33 83.33U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.03% MATSYS3438534390 COMM 74,999,166.67 -74,999,166.67RABOBANKMERRILL LYNCHPurchaseRABO DISC NOTE74977KU8034388 COMM 200,000,000.00 -200,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.06% MATSYS3438834389 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.05% MATSYS34389

Totals for 07/03/2013 374,999,166.67 400,009,233.84 361.11 25,010,428.28

34271 COMM 10,000.00 10,000.00FNMA NOTESJPMorganChaseInterestFNMA 0.375% MAT3135G0XP3

Totals for 07/05/2013 10,000.00 10,000.00

30346 CP 2,202.09 2,202.09NCUABARCLAYS CAPITALInterestNCUA 2.4% MAT62888WAC0

Portfolio SCL2AP


33



TotalCashInterest

PrincipalPaydowns


Totals for 07/06/2013 2,202.09 2,202.09

33864 COMM 43,750.00 43,750.00FFCB NOTESMORGAN STANLEYInterestFFCB 0.25% MAT3133EC5U4

Totals for 07/07/2013 43,750.00 43,750.00

34388 COMM 200,000,000.00 200,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.06% MATSYS3438834389 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.05% MATSYS3438934390 COMM 75,000,000.00 75,000,000.00RABOBANKMERRILL LYNCHRedemptionRABO DISC NOTE74977KU8034388 COMM 1,666.67 1,666.67U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.06% MATSYS3438834389 COMM 694.44 694.44U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.05% MATSYS3438934393 COMM 74,999,854.17 -74,999,854.17RABOBANKGOLDMAN, SACHS &PurchaseRABO DISC NOTE74977KU9834391 COMM 200,000,000.00 -200,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.04% MATSYS3439134392 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.03% MATSYS3439230346 CP 19,505.09 19,505.09NCUABARCLAYS CAPITALRedemptionNCUA 2.4% MAT62888WAC030346 CP 48.23 48.23NCUABARCLAYS CAPITALCap G/LNCUA 2.4% MAT62888WAC030346 CP 2.61 2.61NCUABARCLAYS CAPITALInterestNCUA 2.4% MAT62888WAC0

Totals for 07/08/2013 374,999,854.17 375,019,553.32 2,363.72 22,062.87

34246 COMM 25,000,000.00 25,000,000.00FHLB DISCOUNTFTN FINANCIALRedemptionFHDN DISC NOTE313385HX734391 COMM 200,000,000.00 200,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.04% MATSYS3439134392 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.03% MATSYS3439234393 COMM 75,000,000.00 75,000,000.00RABOBANKGOLDMAN, SACHS &RedemptionRABO DISC NOTE74977KU9834391 COMM 222.22 222.22U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.04% MATSYS3439134392 COMM 83.33 83.33U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.03% MATSYS3439234395 COMM 99,999,805.56 -99,999,805.56RABOBANKJPMorganChasePurchaseRABO DISC NOTE74977KUA534394 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3439434397 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.01% MATSYS3439734396 COMM 24,996,388.89 -24,996,388.89FHLB DISCOUNTFTN FINANCIALPurchaseFHLB DISC NOTE313385NF932326 COMM 22,500.00 22,500.00FHLMC NOTESMIZUHOInterestFHLMC 0.45% MAT3134G3JR233600 COMM 22,500.00 22,500.00FHLMC NOTESGOLDMAN, SACHS &InterestFHLMC 0.45% MAT3134G3JR233778 COMM 24,273.00 24,273.00FHLMC NOTESMORGAN STANLEYInterestFHLMC 0.45% MAT3134G3JR2

Totals for 07/09/2013 324,996,194.45 400,000,000.00 69,578.55 75,073,384.10

34394 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3439434395 COMM 100,000,000.00 100,000,000.00RABOBANKJPMorganChaseRedemptionRABO DISC NOTE74977KUA534397 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.01% MATSYS3439734394 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3439434397 COMM 27.78 27.78U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.01% MATSYS3439734401 COMM 74,999,854.17 -74,999,854.17RABOBANKMERRILL LYNCHPurchaseRABO DISC NOTE74977JUB334399 COMM 50,000,000.00 -50,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.005% MATSYS3439934400 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3440034403 COMM 24,999,333.33 -24,999,333.33GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LUS2

Portfolio SCL2AP


34



TotalCashInterest

PrincipalPaydowns


34402 COMM 24,999,222.22 -24,999,222.22U S BANKU S BANKPurchaseUSB DISC NOTE9033E0US334398 COMM 49,561,777.78 -49,561,777.78FNMA NOTESGOLDMAN, SACHS &PurchaseFEDERAL NATL MTG3135G0VX822427 CP 1,022,187.50 1,022,187.50U.S. TREASURYBEAR STEARNSRedemptionUSTN 4.75% MAT912828HA122427 CP 121,250.00 121,250.00U.S. TREASURYBEAR STEARNSCap G/LUSTN 4.75% MAT912828HA122427 CP 19,026.24 19,026.24U.S. TREASURYBEAR STEARNSInterestUSTN 4.75% MAT912828HA126520 CP 1,669,218.75 1,669,218.75U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 3.75% MAT912828JR226520 CP -1,875.00 -1,875.00U.S. TREASURYBARCLAYS CAPITALCap G/LUSTN 3.75% MAT912828JR226520 CP 8,559.78 8,559.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 3.75% MAT912828JR2

Totals for 07/10/2013 324,560,187.50 302,810,781.25 27,641.58 -21,721,764.67

34399 COMM 50,000,000.00 50,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.005% MATSYS3439934400 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3440034401 COMM 75,000,000.00 75,000,000.00RABOBANKMERRILL LYNCHRedemptionRABO DISC NOTE74977JUB334399 COMM 6.94 6.94U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.005% MATSYS3439934400 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3440034405 COMM 99,999,805.56 -99,999,805.56RABOBANKMERRILL LYNCHPurchaseRABO DISC NOTE74977KUC134404 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS34404

Totals for 07/11/2013 199,999,805.56 225,000,000.00 34.72 25,000,229.16

34354 COMM 25,000,000.00 25,000,000.00FHLB DISCOUNTPIPER JAFFRAY &RedemptionFHDN DISC NOTE313385JA534386 COMM 50,000,000.00 50,000,000.00U S BANKU S BANKRedemptionUSBKMN DISC NOTE9033E0UC834404 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3440434405 COMM 100,000,000.00 100,000,000.00RABOBANKMERRILL LYNCHRedemptionRABO DISC NOTE74977KUC134404 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3440434407 COMM 99,999,500.00 -99,999,500.00RABOBANKGOLDMAN, SACHS &PurchaseRABO DISC NOTE74977KUF434408 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3440834406 COMM 49,997,888.89 -49,997,888.89U S BANKU S BANKPurchaseUSBKMN DISC NOTE9033E0UX6

Totals for 07/12/2013 249,997,388.89 275,000,000.00 27.78 25,002,638.89

34407 COMM 100,000,000.00 100,000,000.00RABOBANKGOLDMAN, SACHS &RedemptionRABO DISC NOTE74977KUF434408 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3440834408 COMM 83.33 83.33U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3440834409 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.05% MATSYS3440934410 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.04% MATSYS3441033846 COMM 562,500.00 562,500.00FHLMC NOTESPIPER JAFFRAY &InterestFHLMC 4.5% MAT3134A4UM432169 COMM 625,000.00 625,000.00FHLMC NOTESGLEACHER & InterestFHLMC 5.% MAT3134A4UU630100 COMM -2,000.13 -2,000.13FHLMCRESIDENTIALInterestFHR 1.85% MAT31398JNB530100 COMM 200,167.44 200,167.44FHLMCRESIDENTIALRedemptionFHR 1.85% MAT31398JNB532317 COMM 1,283.33 1,283.33HONDA AUTOMERRILL LYNCHInterestHAROT 0.77% MAT43813UAC431830 COMM 513,483.29 513,483.29MERCEDES -BENZRBS Securities IncRedemptionMBART 0.85% MAT587728AC031830 COMM 14.79 14.79MERCEDES -BENZRBS Securities IncCap G/LMBART 0.85% MAT587728AC031830 COMM 2,817.66 2,817.66MERCEDES -BENZRBS Securities IncInterestMBART 0.85% MAT587728AC0

Portfolio SCL2AP


35



TotalCashInterest

PrincipalPaydowns


34191 COMM 12,250.00 12,250.00MERCEDES-BENZMERRILL LYNCHInterestMBALT 0.49% MAT58768VAB733757 COMM 6,750.00 6,750.00CHASE ISSUANCEJPMorganChaseInterestCHAIT 0.54% MAT161571FR029929 CP 9,750.00 9,750.00DUPONT EIGOLDMAN SACHSInterestDD 1.95% MAT263534CD934190 COMM 8,358.33 8,358.33MERCEDES-BENZMERRILL LYNCHInterestMBALT 0.59% MAT58768VAC532522 COMM 7,475.00 7,475.00BANK OF AMERICABANK OF AMERICAInterestBAAT 0.78% MAT06052YAC330145 CP 15,625.00 15,625.00UNITED PARCELJ P MORGAN-FDICInterestUPS 3.125% MAT911312AM831530 CP 4,886.86 4,886.86FHLMC 15 YR MBSCITIGROUP GLOBALInterestFGCI 4.% MAT3128PUDN931530 CP 9,766.98 9,766.98FHLMC 15 YR MBSCITIGROUP GLOBALRedemptionFGCI 4.% MAT3128PUDN913835 CP 39,780.00 39,780.00IBMLEHMAN BROTHERSInterestIBM 6.5% MAT459200AS013785 CP 640.45 640.45FHLMC 30 YR MBSLEHMAN BROTHERSInterestFGLMC 5.5% MAT31296SMB913785 CP 7,180.60 7,180.60FHLMC 30 YR MBSLEHMAN BROTHERSRedemptionFGLMC 5.5% MAT31296SMB913786 CP 640.45 640.45FHLMC 30 YR MBSLEHMAN BROTHERSInterestFGLMC 5.5% MAT31296SMB913786 CP 7,180.60 7,180.60FHLMC 30 YR MBSLEHMAN BROTHERSRedemptionFGLMC 5.5% MAT31296SMB913787 CP 515.98 515.98FHLMC 30 YR MBSLEHMAN BROTHERSInterestFGLMC 5.5% MAT31292H7J713787 CP 5,130.56 5,130.56FHLMC 30 YR MBSLEHMAN BROTHERSRedemptionFGLMC 5.5% MAT31292H7J714348 CP 892.16 892.16GNMA 30YRGREENWICHInterestGNMA 6.5% MAT36225B6K914348 CP 6,855.13 6,855.13GNMA 30YRGREENWICHRedemptionGNMA 6.5% MAT36225B6K913758 CP 2,465.24 2,465.24FHLMC 30 YR MBSLEHMAN BROTHERSInterestFNMA 5.% MAT31297QSX813758 CP 21,945.84 21,945.84FHLMC 30 YR MBSLEHMAN BROTHERSRedemptionFNMA 5.% MAT31297QSX814347 CP 1,670.03 1,670.03GNMA 30YRGREENWICHInterestGNMA 5.% MAT36292CCK814347 CP 34,624.89 34,624.89GNMA 30YRGREENWICHRedemptionGNMA 5.% MAT36292CCK831517 CP 2,052.95 2,052.95FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 5.% MAT36241KXL731517 CP 75,728.30 75,728.30FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 5.% MAT36241KXL731541 CP 15,115.74 15,115.74GNMA 30 YRGOLDMAN, SACHS &InterestGNSF 4.5% MAT3620AMVL331541 CP 21,798.68 21,798.68GNMA 30 YRGOLDMAN, SACHS &RedemptionGNSF 4.5% MAT3620AMVL3

Totals for 07/15/2013 200,000,000.00 200,903,877.10 1,318,552.38 2,222,429.48

34185 COMM 25,000,000.00 25,000,000.00BANK OF NOVA RBC CAPITALRedemptionBNS 0.18% MAT06417FTG534189 COMM 80,000,000.00 80,000,000.00NATIONALUBS FINANCERedemptionNABNY 0.17% MAT63253TUB234409 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.05% MATSYS3440934410 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.04% MATSYS3441034185 COMM 11,375.00 11,375.00BANK OF NOVA RBC CAPITALInterestBNS 0.18% MAT06417FTG534189 COMM 34,000.00 34,000.00NATIONALUBS FINANCEInterestNABNY 0.17% MAT63253TUB234409 COMM 138.89 138.89U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.05% MATSYS3440934410 COMM 111.11 111.11U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.04% MATSYS3441034412 COMM 99,999,833.33 -99,999,833.33RABOBANKJPMorganChasePurchaseRABO DISC NOTE74977KUH034411 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3441134165 COMM 49,972,121.53 49,972,121.53U S TREASURY BILLMORGAN STANLEYRedemptionUNITED STATES912796AE934165 COMM 23,677.08 23,677.08U S TREASURY BILLMORGAN STANLEYCap G/LUNITED STATES912796AE934413 COMM 30,000,000.00 -30,000,000.00BANK OF NOVAROYAL BANK OFPurchaseBNSHOU 0.21% MAT06417FB74

Portfolio SCL2AP


36



TotalCashInterest

PrincipalPaydowns


Totals for 07/16/2013 229,999,833.33 354,995,798.61 45,625.00 125,041,590.28

31030 COMM 12,325,000.00 12,325,000.00FNMA NOTESGLEACHER & RedemptionFNMA 4.375% MAT31359MSL834411 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3441134412 COMM 100,000,000.00 100,000,000.00RABOBANKJPMorganChaseRedemptionRABO DISC NOTE74977KUH031030 COMM 269,609.38 269,609.38FNMA NOTESGLEACHER & InterestFNMA 4.375% MAT31359MSL834411 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3441134416 COMM 99,999,833.33 -99,999,833.33RABOBANKMERRILL LYNCHPurchaseRABO DISC NOTE74977KUJ634415 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3441534417 COMM 25,000,000.00 -25,000,000.00NATIONALUBS FINANCEPurchaseNABNY 0.15% MAT63253TUY232239 COMM 18,840.99 18,840.99TOYOTA MOTORMIZUHOInterestTOYO 0.9465% MAT89233P5V434414 COMM 49,664,616.82 -49,664,616.82FNMA NOTESGOLDMAN, SACHS &PurchaseFEDERAL NATL MTG3135G0VX8

Totals for 07/17/2013 274,664,450.15 212,325,000.00 288,478.15 -62,050,972.00

34415 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3441534416 COMM 100,000,000.00 100,000,000.00RABOBANKMERRILL LYNCHRedemptionRABO DISC NOTE74977KUJ634415 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3441534419 COMM 99,999,833.33 -99,999,833.33RABOBANKGOLDMAN, SACHS &PurchaseRABO DISC NOTE74977KUK334418 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3441831817 CP 5,625.00 5,625.00TARGET CORPBARCLAYS CAPITALInterestTGT 1.125% MAT87612EAW632065 CP 14,501,929.69 14,501,929.69U.S. TREASURYCITIGROUP GLOBALRedemptionUSTN 0.5% MAT912828RL632065 CP 6,773.44 6,773.44U.S. TREASURYCITIGROUP GLOBALCap G/LUSTN 0.5% MAT912828RL632140 CP 1,002,890.63 1,002,890.63U.S. TREASURYGOLDMAN SACHSRedemptionUSTN 0.5% MAT912828RL632140 CP 1,171.87 1,171.87U.S. TREASURYGOLDMAN SACHSCap G/LUSTN 0.5% MAT912828RL632065 CP 18,556.01 18,556.01U.S. TREASURYCITIGROUP GLOBALInterestUSTN 0.5% MAT912828RL632140 CP 1,284.15 1,284.15U.S. TREASURYGOLDMAN SACHSInterestUSTN 0.5% MAT912828RL634420 COMM 15,466,754.33 -15,466,754.33FNMA NOTESMORGAN STANLEYPurchaseFEDERAL NATL MTG3135G0XV0

Totals for 07/18/2013 215,466,587.66 215,512,765.63 25,492.94 71,670.91

34418 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3441834419 COMM 100,000,000.00 100,000,000.00RABOBANKGOLDMAN, SACHS &RedemptionRABO DISC NOTE74977KUK334418 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3441834423 COMM 49,999,750.00 -49,999,750.00RABOBANKJPMorganChasePurchaseRABO DISC NOTE74977KUN734422 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3442234379 COMM 49,993,500.00 49,993,500.00U S TREASURY BILLMERRILL LYNCHRedemptionUNITED STATES912796BF534379 COMM 3,618.00 3,618.00U S TREASURY BILLMERRILL LYNCHCap G/LUNITED STATES912796BF534421 COMM 50,000,000.00 -50,000,000.00NATIONALUBS FINANCEPurchaseNABNY 0.15% MAT63253TUZ933800 CP 6,503,300.78 6,503,300.78U.S. TREASURYCITICORPRedemptionUSTN 0.25% MAT912828RS133800 CP 1,015.63 1,015.63U.S. TREASURYCITICORPCap G/LUSTN 0.25% MAT912828RS133800 CP 2,175.55 2,175.55U.S. TREASURYCITICORPInterestUSTN 0.25% MAT912828RS113674 CP 4,999,099.22 4,999,099.22US TREASURYBEAR STEARNSRedemptionTRSY 4.% MAT912828DM913674 CP 369,357.42 369,357.42US TREASURYBEAR STEARNSCap G/LTRSY 4.% MAT912828DM9

Portfolio SCL2AP


37



TotalCashInterest

PrincipalPaydowns


13674 CP 86,274.03 86,274.03US TREASURYBEAR STEARNSInterestTRSY 4.% MAT912828DM932056 CP 2,509,179.69 2,509,179.69U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.1% MAT912828RM432056 CP 12,890.62 12,890.62U.S. TREASURYBARCLAYS CAPITALCap G/LUSTN 0.1% MAT912828RM432056 CP 5,434.78 5,434.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.1% MAT912828RM426085 CP 2,040,000.00 2,040,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 4.% MAT912828JH426085 CP 221,093.75 221,093.75U.S. TREASURYBARCLAYS CAPITALCap G/LUSTN 4.% MAT912828JH426085 CP 34,033.15 34,033.15U.S. TREASURYBARCLAYS CAPITALInterestUSTN 4.% MAT912828JH427768 CP 711,397.66 711,397.66U.S. TREASURYBARCLAYS CAPITALRedemptionUST 3.625% MAT912828LJ727768 CP 62,658.59 62,658.59U.S. TREASURYBARCLAYS CAPITALCap G/LUST 3.625% MAT912828LJ727768 CP 10,717.78 10,717.78U.S. TREASURYBARCLAYS CAPITALInterestUST 3.625% MAT912828LJ7

Totals for 07/19/2013 199,999,750.00 267,427,111.36 138,663.07 67,566,024.43

31149 COMM 1,831,790.93 1,831,790.93VOLKSWAGENCITIGROUP GLOBALRedemptionVALET 1.22% MAT92867DAC431149 COMM 193.27 193.27VOLKSWAGENCITIGROUP GLOBALCap G/LVALET 1.22% MAT92867DAC431149 COMM 15,034.35 15,034.35VOLKSWAGENCITIGROUP GLOBALInterestVALET 1.22% MAT92867DAC432251 COMM 9,916.66 9,916.66VOLKSWAGENCITIGROUP GLOBALInterestVALET 0.85% MAT92867GAC7

Totals for 07/20/2013 1,831,984.20 24,951.01 1,856,935.21

34197 COMM 29,389.11 29,389.11HONDA AUTODEUTSCHE BANKInterestHAROT 0.35% MAT43814CAB5

Totals for 07/21/2013 29,389.11 29,389.11

8506 COMM 24,295.91 24,295.91LOCAL AGENCYInterestLAIF 1.65%SYS850634422 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3442234423 COMM 50,000,000.00 50,000,000.00RABOBANKJPMorganChaseRedemptionRABO DISC NOTE74977KUN734422 COMM 83.33 83.33U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3442234425 COMM 99,999,833.33 -99,999,833.33RABOBANKMORGAN STANLEYPurchaseRABO DISC NOTE74977KUP234424 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS34424

Totals for 07/22/2013 199,999,833.33 150,000,000.00 24,379.24 -49,975,454.09

34424 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3442434425 COMM 100,000,000.00 100,000,000.00RABOBANKMORGAN STANLEYRedemptionRABO DISC NOTE74977KUP234424 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3442434427 COMM 99,999,861.11 -99,999,861.11RABOBANKMORGAN STANLEYPurchaseRABO DISC NOTE74977KUQ034426 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3442626120 CP 2,003,700.00 2,003,700.00FHLMC NOTESGREENWICHRedemptionFHLMC 5.% MAT3137EAAS826120 CP 286,080.00 286,080.00FHLMC NOTESGREENWICHCap G/LFHLMC 5.% MAT3137EAAS826120 CP 26,388.89 26,388.89FHLMC NOTESGREENWICHInterestFHLMC 5.% MAT3137EAAS8

Totals for 07/23/2013 199,999,861.11 202,289,780.00 26,416.67 2,316,335.56

34426 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3442634427 COMM 100,000,000.00 100,000,000.00RABOBANKMORGAN STANLEYRedemptionRABO DISC NOTE74977KUQ034426 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3442634429 COMM 99,999,861.11 -99,999,861.11RABOBANKJPMorganChasePurchaseRABO DISC NOTE74977KUR8

Portfolio SCL2AP


38



TotalCashInterest

PrincipalPaydowns


34428 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3442834197 COMM -26,240.28 -26,240.28HONDA AUTODEUTSCHE BANKInterestHAROT 0.35% MAT43814CAB529744 CP 20,000.00 20,000.00MORGAN STANLEYMORGAN STANLEYInterestMS 4.% MAT6174467N334430 COMM 9,999,851.00 -9,999,851.00HONDA AUTOJPMorganChasePurchaseHAROT 0.54% MAT43812XAB128187 CP 4,364,000.00 4,364,000.00FHLB NOTESBARCLAYS CAPITALRedemptionFHLB 5.375% MAT3133XMFY228187 CP 400,160.00 400,160.00FHLB NOTESBARCLAYS CAPITALCap G/LFHLB 5.375% MAT3133XMFY228187 CP 68,083.33 68,083.33FHLB NOTESBARCLAYS CAPITALInterestFHLB 5.375% MAT3133XMFY2

Totals for 07/24/2013 209,999,712.11 204,764,160.00 61,870.83 -5,173,681.28

34428 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3442834429 COMM 100,000,000.00 100,000,000.00RABOBANKJPMorganChaseRedemptionRABO DISC NOTE74977KUR834428 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3442834432 COMM 99,999,833.33 -99,999,833.33RABOBANKMORGAN STANLEYPurchaseRABO DISC NOTE74977KUS634431 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3443134340 COMM 25,054,000.00 25,054,000.00FNMA NOTESCITIGROUP GLOBALRedemptionFNMA 0.5% MAT3135G0LN134340 COMM 7,750.00 7,750.00FNMA NOTESCITIGROUP GLOBALCap G/LFNMA 0.5% MAT3135G0LN134340 COMM 7,986.11 7,986.11FNMA NOTESCITIGROUP GLOBALInterestFNMA 0.5% MAT3135G0LN113725 CP 17.57 17.57FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31402VHF013725 CP 72.77 72.77FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31402VHF013728 CP 11.05 11.05FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31402VAT713728 CP 219.07 219.07FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31402VAT713729 CP 110.18 110.18FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31402DEK213729 CP 1,323.16 1,323.16FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31402DEK213732 CP 237.13 237.13FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31403V2Y413732 CP 861.68 861.68FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31403V2Y413726 CP 145.34 145.34FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405FJR413726 CP 445.98 445.98FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405FJR413722 CP 11.59 11.59FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31404WC7913722 CP 55.40 55.40FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31404WC7913723 CP 89.58 89.58FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405HA2413723 CP 795.60 795.60FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405HA2413730 CP 418.82 418.82FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31404WBY113730 CP 1,767.01 1,767.01FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31404WBY113724 CP 90.74 90.74FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405FKM313724 CP 260.51 260.51FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405FKM313731 CP 106.67 106.67FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405TLN013731 CP 532.50 532.50FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405TLN013727 CP 238.63 238.63FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405UEY113727 CP 944.10 944.10FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405UEY114625 CP 9.58 9.58FNMA 15 YR MBSLEHMAN BROTHERSInterestFN15 6.% MAT31402RJC414625 CP 472.55 472.55FNMA 15 YR MBSLEHMAN BROTHERSRedemptionFN15 6.% MAT31402RJC4

Portfolio SCL2AP


39



TotalCashInterest

PrincipalPaydowns


14626 CP 1,824.94 1,824.94FNMA 15 YR MBSLEHMAN BROTHERSInterestFN15 4.5% MAT31371MDH714626 CP 16,601.72 16,601.72FNMA 15 YR MBSLEHMAN BROTHERSRedemptionFN15 4.5% MAT31371MDH714624 CP 1,859.57 1,859.57FNMA 15 YR MBSLEHMAN BROTHERSInterestFN15 5.5% MAT31407RZ4914624 CP 6,774.15 6,774.15FNMA 15 YR MBSLEHMAN BROTHERSRedemptionFN15 5.5% MAT31407RZ4920754 CP 3,285.25 3,285.25FNMA 30 YR MBSBEAR STEARNSInterestFNCL 5.5% MAT31409BDG920754 CP 40,774.75 40,774.75FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 5.5% MAT31409BDG920755 CP 1,013.56 1,013.56FNMA 30 YR MBSBEAR STEARNSInterestFNCL 5.% MAT31410WDM720755 CP 2,349.91 2,349.91FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 5.% MAT31410WDM713678 CP 207.15 207.15FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.5% MAT31377Z3U413678 CP 6,052.41 6,052.41FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.5% MAT31377Z3U413677 CP 2.88 2.88FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.5% MAT31379YSC813677 CP 58.48 58.48FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.5% MAT31379YSC813675 CP 121.50 121.50FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.5% MAT31405EB6113675 CP 50.90 50.90FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.5% MAT31405EB6113676 CP 218.34 218.34FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.5% MAT31405SUJ113676 CP 82.55 82.55FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.5% MAT31405SUJ113695 CP 889.55 889.55FNMA 15 YR MBSLEHMAN BROTHERSInterestFGLMC 4.5% MAT31406E2D513695 CP 6,407.87 6,407.87FNMA 15 YR MBSLEHMAN BROTHERSRedemptionFGLMC 4.5% MAT31406E2D514585 CP 1,700.80 1,700.80FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.% MAT31402RDG114585 CP 16,809.60 16,809.60FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.% MAT31402RDG113696 CP 3,462.43 3,462.43FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 5.5% MAT31406YGL813696 CP 79,738.85 79,738.85FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 5.5% MAT31406YGL820678 CP 17.55 17.55FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31407FGG920678 CP 9.22 9.22FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31407FGG920679 CP 30.16 30.16FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31407G6Z620679 CP 15.17 15.17FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31407G6Z620682 CP 96.26 96.26FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31407MZK420682 CP 730.29 730.29FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31407MZK420680 CP 1,030.44 1,030.44FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31407YRS020680 CP 8,804.30 8,804.30FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31407YRS020681 CP 88.39 88.39FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31371MJ6520681 CP 765.14 765.14FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31371MJ6531529 CP 2,301.74 2,301.74FNMA 30 YR MBSCITIGROUP GLOBALInterestFNMA 5.% MAT31402RSN031529 CP 115,090.57 115,090.57FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNMA 5.% MAT31402RSN020683 CP 1,294.45 1,294.45FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31403CZL820683 CP 9,846.82 9,846.82FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31403CZL820676 CP 3,138.37 3,138.37FNMA 30 YR MBSBEAR STEARNSInterestFNCL 6.5% MAT31409HDV320676 CP 111,966.19 111,966.19FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 6.5% MAT31409HDV320675 CP 2,174.07 2,174.07FNMA 30 YR MBSBEAR STEARNSInterestFNCL 6.5% MAT31407JFT420675 CP 18,942.36 18,942.36FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 6.5% MAT31407JFT4

Portfolio SCL2AP


40



TotalCashInterest

PrincipalPaydowns


20677 CP 108.70 108.70FNMA 30 YR MBSBEAR STEARNSInterestFNCL 6.5% MAT31407JFT420677 CP 947.12 947.12FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 6.5% MAT31407JFT420674 CP 1,701.21 1,701.21FNMA 30 YR MBSBEAR STEARNSInterestFNCL 5.5% MAT31411WWN320674 CP 11,033.13 11,033.13FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 5.5% MAT31411WWN331514 CP 343.02 343.02FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 6.% MAT31410KH5631514 CP 17,348.23 17,348.23FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 6.% MAT31410KH5631518 CP -518.17 -518.17FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 5.5% MAT31412MSA731518 CP 94,193.64 94,193.64FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 5.5% MAT31412MSA731515 CP 7,862.19 7,862.19FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 4.% MAT31412RBJ531515 CP 66,529.13 66,529.13FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 4.% MAT31412RBJ531516 CP 1,162.31 1,162.31FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 4.5% MAT31416X5D831516 CP 34,223.04 34,223.04FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 4.5% MAT31416X5D8

Totals for 07/25/2013 199,999,833.33 225,735,645.87 44,917.43 25,780,729.97

34402 COMM 25,000,000.00 25,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0US334403 COMM 25,000,000.00 25,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LUS234431 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3443134432 COMM 100,000,000.00 100,000,000.00RABOBANKMORGAN STANLEYRedemptionRABO DISC NOTE74977KUS634431 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3443134434 COMM 99,999,583.33 -99,999,583.33RABOBANKMERRILL LYNCHPurchaseRABO DISC NOTE74977KUV934433 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3443334435 COMM 24,999,833.33 -24,999,833.33U S BANKU S BANKPurchaseUSB DISC NOTE9033E0UW433845 COMM 14,976,910.00 14,976,910.00FNMA NOTESMERRILL LYNCHRedemptionFNMA 0.5% MAT3135G0MQ333845 COMM -26,910.00 -26,910.00FNMA NOTESMERRILL LYNCHCap G/LFNMA 0.5% MAT3135G0MQ330273 COMM 229,825.50 229,825.50FHLMC NOTESBOSC INCInterestFHLMC 5.05% MAT3128X33E130285 COMM 31,688.75 31,688.75FHLMC NOTESBOSC INCInterestFHLMC 5.05% MAT3128X33E133845 COMM 37,375.00 37,375.00FNMA NOTESMERRILL LYNCHInterestFNMA 0.5% MAT3135G0MQ3

Totals for 07/26/2013 224,999,416.66 264,950,000.00 298,917.03 40,249,500.37

31862 COMM 48,270.46 48,270.46BANK OF NEWGOLDMAN SACHSInterestBNY 0.5226% MAT06406HBW831859 CP 23,000.00 23,000.00BANK OF NEWGOLDMAN SACHSInterestBNY 2.3% MAT06406HBX6

Totals for 07/28/2013 71,270.46 71,270.46

34433 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3443334434 COMM 100,000,000.00 100,000,000.00RABOBANKMERRILL LYNCHRedemptionRABO DISC NOTE74977KUV934433 COMM 83.33 83.33U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3443334437 COMM 99,999,861.11 -99,999,861.11RABOBANKMORGAN STANLEYPurchaseRABO DISC NOTE74977KUW734438 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3443833591 COMM 37,500.00 37,500.00FHLB NOTESBARCLAYS CAPITALInterestFHLB 0.375% MAT313376UF014427 CP 981,040.00 981,040.00WALMARTLEHMAN BROTHERSRedemptionWMT 4.5% MAT931142BY814427 CP 94,520.00 94,520.00WALMARTLEHMAN BROTHERSCap G/LWMT 4.5% MAT931142BY814427 CP 3,500.00 3,500.00WALMARTLEHMAN BROTHERSInterestWMT 4.5% MAT931142BY8

Portfolio SCL2AP


41



TotalCashInterest

PrincipalPaydowns


34436 COMM 15,049,646.35 -15,049,646.35CHASE ISSUANCECITIGROUP GLOBALPurchaseCHAIT 0.79% MAT161571FJ8

Totals for 07/29/2013 215,049,507.46 201,075,560.00 41,083.33 -13,932,864.13

34435 COMM 25,000,000.00 25,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0UW434437 COMM 100,000,000.00 100,000,000.00RABOBANKMORGAN STANLEYRedemptionRABO DISC NOTE74977KUW734438 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3443834438 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3443834440 COMM 99,999,861.11 -99,999,861.11RABOBANKGOLDMAN, SACHS &PurchaseRABO DISC NOTE74977KUX534441 COMM 24,999,958.33 -24,999,958.33U S BANKU S BANKPurchaseUSB DISC NOTE9033E0UX234439 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3443931817 CP 999,820.00 999,820.00TARGET CORPBARCLAYS CAPITALRedemptionTGT 1.125% MAT87612EAW631817 CP 7,610.00 7,610.00TARGET CORPBARCLAYS CAPITALCap G/LTGT 1.125% MAT87612EAW631817 CP 375.00 375.00TARGET CORPBARCLAYS CAPITALInterestTGT 1.125% MAT87612EAW633833 COMM 250,000.00 250,000.00FHLMC NOTESCITICORPInterestFHLMC 1.% MAT3137EACU132595 CP 998,690.00 998,690.00GENERAL ELECTRICCITIGROUP GLOBALRedemptionGE 2.3% MAT36962G5W032595 CP 16,840.00 16,840.00GENERAL ELECTRICCITIGROUP GLOBALCap G/LGE 2.3% MAT36962G5W032595 CP 5,941.67 5,941.67GENERAL ELECTRICCITIGROUP GLOBALInterestGE 2.3% MAT36962G5W033380 CP 998,210.00 998,210.00JPMORGANJPMorganChaseRedemptionJPMCC 2.% MAT48126EAA533380 CP 2,290.00 2,290.00JPMORGANJPMorganChaseCap G/LJPMCC 2.% MAT48126EAA533380 CP 9,166.67 9,166.67JPMORGANJPMorganChaseInterestJPMCC 2.% MAT48126EAA532813 CP 495,225.00 495,225.00MCDONALD'S CORPJ P MORGAN-FDICRedemptionMCD 1.875% MAT58013MEQ332813 CP 585.00 585.00MCDONALD'S CORPJ P MORGAN-FDICCap G/LMCD 1.875% MAT58013MEQ332813 CP 1,588.54 1,588.54MCDONALD'S CORPJ P MORGAN-FDICInterestMCD 1.875% MAT58013MEQ330119 CP 998,830.00 998,830.00NORTHERN TRUSTMERRILL LYNCHRedemptionNTRS 3.45% MAT665859AL830119 CP 26,820.00 26,820.00NORTHERN TRUSTMERRILL LYNCHCap G/LNTRS 3.45% MAT665859AL830119 CP 8,241.67 8,241.67NORTHERN TRUSTMERRILL LYNCHInterestNTRS 3.45% MAT665859AL830145 CP 993,300.00 993,300.00UNITED PARCELJ P MORGAN-FDICRedemptionUPS 3.125% MAT911312AM830145 CP 18,260.00 18,260.00UNITED PARCELJ P MORGAN-FDICCap G/LUPS 3.125% MAT911312AM830145 CP 1,302.08 1,302.08UNITED PARCELJ P MORGAN-FDICInterestUPS 3.125% MAT911312AM814246 CP 1,151,380.00 1,151,380.00BELL SOUTHLEHMAN BROTHERSRedemptionBELL 6.875% MAT079860AD414246 CP -33,040.00 -33,040.00BELL SOUTHLEHMAN BROTHERSCap G/LBELL 6.875% MAT079860AD414246 CP 20,052.08 20,052.08BELL SOUTHLEHMAN BROTHERSInterestBELL 6.875% MAT079860AD4

Totals for 07/30/2013 224,999,819.44 231,674,820.00 296,695.49 6,971,696.05

34387 COMM 50,000,000.00 50,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LUX134406 COMM 50,000,000.00 50,000,000.00U S BANKU S BANKRedemptionUSBKMN DISC NOTE9033E0UX634439 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3443934440 COMM 100,000,000.00 100,000,000.00RABOBANKGOLDMAN, SACHS &RedemptionRABO DISC NOTE74977KUX534441 COMM 25,000,000.00 25,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0UX234439 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3443934442 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.07% MATSYS34442

Portfolio SCL2AP


42



TotalCashInterest

PrincipalPaydowns


34443 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.07% MATSYS3444333352 CP 20,000.00 20,000.00U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.5% MAT912828TG5

Totals for 07/31/2013 175,000,000.00 325,000,000.00 20,027.78 150,020,027.78

31539 MVLA 280,000.00 280,000.00CALIFORNIA HSGMERRILL LYNCHRedemptionCASHSG 1.2% MAT130333BD832092 CP 1,000,000.00 1,000,000.00HOUSING URBANMERRILL LYNCHRedemptionHUD 0.43% MAT911759LB234442 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.07% MATSYS3444234443 COMM 75,000,000.00 75,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.07% MATSYS3444331539 MVLA 1,680.00 1,680.00CALIFORNIA HSGMERRILL LYNCHInterestCASHSG 1.2% MAT130333BD832092 CP 2,150.00 2,150.00HOUSING URBANMERRILL LYNCHInterestHUD 0.43% MAT911759LB234442 COMM 194.44 194.44U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.07% MATSYS3444234443 COMM 145.83 145.83U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.07% MATSYS3444334446 COMM 49,999,916.67 -49,999,916.67U S BANKU S BANKPurchaseUSB DISC NOTE9033E0V2934444 COMM 50,000,000.00 -50,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.02% MATSYS3444434445 COMM 50,000,000.00 -50,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MATSYS3444532348 MVLA 250.00 250.00CALIFORNIA STCHASE MANHATTANInterestCAS 5.% MAT13063BRL832349 PA 500.00 500.00CALIFORNIA STCHASE MANHATTANInterestCAS 5.% MAT13063BRL832351 WVM 5,500.00 5,500.00CALIFORNIA STCHASE MANHATTANInterestCAS 5.% MAT13063BRL832360 WVM 60,000.00 60,000.00WASHINGTON STCITIGROUP GLOBALInterestWAS 3.% MAT93974CM9832091 CP 3,350.00 3,350.00HOUSING URBANMERRILL LYNCHInterestHUD 0.67% MAT911759LC032335 MVLA 900.00 900.00ALASKA STSEATTLEInterestAKS 3.% MAT011770V4332336 PA 3,000.00 3,000.00ALASKA STSEATTLEInterestAKS 3.% MAT011770V4332337 SJE 11,100.00 11,100.00ALASKA STSEATTLEInterestAKS 3.% MAT011770V4332356 MVLA 1,875.00 1,875.00WASHINGTON STBANK OF AMERICAInterestWAS 5.% MAT93974CR3632357 PA 3,750.00 3,750.00WASHINGTON STBANK OF AMERICAInterestWAS 5.% MAT93974CR3632358 SJE 19,375.00 19,375.00WASHINGTON STBANK OF AMERICAInterestWAS 5.% MAT93974CR36

Totals for 08/01/2013 149,999,916.67 176,280,000.00 113,770.27 26,393,853.60

34444 COMM 50,000,000.00 50,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.02% MATSYS3444434445 COMM 50,000,000.00 50,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MATSYS3444534446 COMM 50,000,000.00 50,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0V2934444 COMM 27.78 27.78U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.02% MATSYS3444434445 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MATSYS3444534448 COMM 74,999,625.00 -74,999,625.00US BANK-FDICU S BANKPurchaseUSBKMN DISC NOTE9033E0V5234447 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.04% MATSYS3444723426 CP 1,046,050.00 1,046,050.00WALMARTLEHMAN BROTHERSRedemptionWMT 5.8% MAT931142CJ023426 CP 133,740.00 133,740.00WALMARTLEHMAN BROTHERSCap G/LWMT 5.8% MAT931142CJ023426 CP 26,905.56 26,905.56WALMARTLEHMAN BROTHERSInterestWMT 5.8% MAT931142CJ031549 CP 996,190.00 996,190.00U S BANKMORGAN STANLEYRedemptionUSB 4.125% MAT91159HHA131549 CP 60,130.00 60,130.00U S BANKMORGAN STANLEYCap G/LUSB 4.125% MAT91159HHA131549 CP 7,791.67 7,791.67U S BANKMORGAN STANLEYInterestUSB 4.125% MAT91159HHA1

Portfolio SCL2AP


43



TotalCashInterest

PrincipalPaydowns


Totals for 08/02/2013 149,999,625.00 152,236,110.00 34,752.79 2,271,237.79

34447 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.04% MATSYS3444734448 COMM 75,000,000.00 75,000,000.00US BANK-FDICU S BANKRedemptionUSBKMN DISC NOTE9033E0V5234447 COMM 250.00 250.00U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.04% MATSYS3444734449 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.04% MATSYS3444934450 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.04% MATSYS3445017481 CP 2,834,562.50 2,834,562.50U.S. TREASURYBEAR STEARNSRedemptionUSTN 5.125% MAT912828FF217481 CP 320,687.50 320,687.50U.S. TREASURYBEAR STEARNSCap G/LUSTN 5.125% MAT912828FF217481 CP 31,975.54 31,975.54U.S. TREASURYBEAR STEARNSInterestUSTN 5.125% MAT912828FF231859 CP 1,998,300.00 1,998,300.00BANK OF NEWGOLDMAN SACHSRedemptionBNY 2.3% MAT06406HBX631859 CP 67,880.00 67,880.00BANK OF NEWGOLDMAN SACHSCap G/LBNY 2.3% MAT06406HBX631859 CP 894.44 894.44BANK OF NEWGOLDMAN SACHSInterestBNY 2.3% MAT06406HBX633352 CP 7,920,625.00 7,920,625.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.5% MAT912828TG533352 CP -78,750.00 -78,750.00U.S. TREASURYBARCLAYS CAPITALCap G/LUSTN 0.5% MAT912828TG533352 CP 543.48 543.48U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.5% MAT912828TG522800 CP 495,975.00 495,975.00GENERAL ELECTRICLEHMAN BROTHERSRedemptionGE 5.25% MAT369604BC622800 CP 72,900.00 72,900.00GENERAL ELECTRICLEHMAN BROTHERSCap G/LGE 5.25% MAT369604BC622800 CP 4,302.08 4,302.08GENERAL ELECTRICLEHMAN BROTHERSInterestGE 5.25% MAT369604BC622824 CP 995,840.00 995,840.00WELLS FARGOLEHMAN BROTHERSRedemptionWFC 5.625% MAT949746NX522824 CP 150,390.00 150,390.00WELLS FARGOLEHMAN BROTHERSCap G/LWFC 5.625% MAT949746NX522824 CP 8,437.50 8,437.50WELLS FARGOLEHMAN BROTHERSInterestWFC 5.625% MAT949746NX524258 CP 994,790.00 994,790.00VERIZONLEHMAN BROTHERSRedemptionVC 6.1% MAT92343VAM624258 CP 176,660.00 176,660.00VERIZONLEHMAN BROTHERSCap G/LVC 6.1% MAT92343VAM624258 CP 18,638.89 18,638.89VERIZONLEHMAN BROTHERSInterestVC 6.1% MAT92343VAM627989 CP 999,290.00 999,290.00BOEING CAPITALJ P MORGAN-FDICRedemptionBCC 4.7% MAT097014AL827989 CP 124,860.00 124,860.00BOEING CAPITALJ P MORGAN-FDICCap G/LBCC 4.7% MAT097014AL827989 CP 12,794.44 12,794.44BOEING CAPITALJ P MORGAN-FDICInterestBCC 4.7% MAT097014AL813835 CP 1,432,471.68 1,432,471.68IBMLEHMAN BROTHERSRedemptionIBM 6.5% MAT459200AS013835 CP 88,911.36 88,911.36IBMLEHMAN BROTHERSCap G/LIBM 6.5% MAT459200AS013835 CP 4,420.00 4,420.00IBMLEHMAN BROTHERSInterestIBM 6.5% MAT459200AS0

Totals for 08/05/2013 150,000,000.00 168,595,393.04 82,256.37 18,677,649.41

34240 COMM 25,000,000.00 25,000,000.00BANK OF NOVAMERRILL LYNCHRedemptionBNS 0.17% MAT06417FUV034449 COMM 75,000,000.00 75,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.04% MATSYS3444934450 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.04% MATSYS3445034240 COMM 11,333.33 11,333.33BANK OF NOVAMERRILL LYNCHInterestBNS 0.17% MAT06417FUV034449 COMM 83.33 83.33U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.04% MATSYS3444934450 COMM 83.33 83.33U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.04% MATSYS3445034451 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.05% MATSYS3445134452 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.04% MATSYS34452

Portfolio SCL2AP


44



TotalCashInterest

PrincipalPaydowns


18995 CP 22,346.98 22,346.98LEHMAN BROTHERSLEHMAN BROTHERSInterestLB 5.25% MAT525ESC2W830346 CP 20,536.94 20,536.94NCUABARCLAYS CAPITALRedemptionNCUA 2.4% MAT62888WAC030346 CP 50.78 50.78NCUABARCLAYS CAPITALCap G/LNCUA 2.4% MAT62888WAC030346 CP 2,162.99 2,162.99NCUABARCLAYS CAPITALInterestNCUA 2.4% MAT62888WAC0

Totals for 08/06/2013 175,000,000.00 175,020,587.72 36,009.96 56,597.68

34451 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.05% MATSYS3445134452 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.04% MATSYS3445234451 COMM 138.89 138.89U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.05% MATSYS3445134452 COMM 83.33 83.33U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.04% MATSYS3445234454 COMM 74,999,854.17 -74,999,854.17RABOBANKGOLDMAN, SACHS &PurchaseRABO DISC NOTE74977KV8934453 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.03% MATSYS3445334455 COMM 24,995,763.89 -24,995,763.89U S BANKU S BANKPurchaseUSB DISC NOTE9033E0X76

Totals for 08/07/2013 174,995,618.06 175,000,000.00 222.22 4,604.16

34168 COMM 50,000,000.00 50,000,000.00U S TREASURY BILLUBS FINANCERedemptionUNITED STATES912796AV134453 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.03% MATSYS3445334454 COMM 75,000,000.00 75,000,000.00RABOBANKGOLDMAN, SACHS &RedemptionRABO DISC NOTE74977KV8934453 COMM 62.50 62.50U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.03% MATSYS3445334458 COMM 74,999,854.17 -74,999,854.17RABOBANKMERRILL LYNCHPurchaseRABO DISC NOTE74977KV9734457 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MATSYS3445734459 COMM 24,997,444.44 -24,997,444.44GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWP6

Totals for 08/08/2013 174,997,298.61 200,000,000.00 62.50 25,002,763.89

33815 COMM 30,000,000.00 30,000,000.00FNMA NOTESMERRILL LYNCHRedemptionFNMA 0.5% MAT3135G0BR334285 COMM 25,000,000.00 25,000,000.00FNMA DISCOUNTFTN FINANCIALRedemptionFNDN DISC NOTE313589KE234318 COMM 25,000,000.00 25,000,000.00TOYOTA MOTORTOYOTA MOTORRedemptionTOYO DISC NOTE89233GV9434457 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MATSYS3445734458 COMM 75,000,000.00 75,000,000.00RABOBANKMERRILL LYNCHRedemptionRABO DISC NOTE74977KV9733815 COMM 75,000.00 75,000.00FNMA NOTESMERRILL LYNCHInterestFNMA 0.5% MAT3135G0BR334457 COMM 41.67 41.67U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MATSYS3445734462 COMM 74,999,562.50 -74,999,562.50RABOBANKMORGAN STANLEYPurchaseRABO DISC NOTE74977KVC034463 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MATSYS3446334460 COMM 24,992,027.78 -24,992,027.78TOYOTA MOTORTOYOTA MOTORPurchaseTOYO DISC NOTE89233GXW134461 COMM 24,992,708.33 -24,992,708.33FNMA DISCOUNTFTN FINANCIALPurchaseFNDN DISC NOTE313589RL932087 COMM 287,500.00 287,500.00FHLMC NOTESDEUTSCHE BANKInterestFHLMC 2.875% MAT3137EACH0

Totals for 08/09/2013 199,984,298.61 230,000,000.00 362,541.67 30,378,243.06

34348 COMM 25,000,000.00 25,000,000.00FHLB DISCOUNTFTN FINANCIALRedemptionFHDN DISC NOTE313385KH8134462 COMM 75,000,000.00 75,000,000.00RABOBANKMORGAN STANLEYRedemptionRABO DISC NOTE74977KVC034463 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MATSYS3446334463 COMM 125.00 125.00U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MATSYS34463

Portfolio SCL2AP


45



TotalCashInterest

PrincipalPaydowns


34466 COMM 74,999,854.17 -74,999,854.17RABOBANKMORGAN STANLEYPurchaseRABO DISC NOTE74977KVD834465 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.03% MATSYS3446514770 CP 2,426,953.13 2,426,953.13US TREASURYBEAR STEARNSRedemptionTRSY 4.125% MAT912828DV914770 CP 241,015.62 241,015.62US TREASURYBEAR STEARNSCap G/LTRSY 4.125% MAT912828DV914770 CP 24,940.56 24,940.56US TREASURYBEAR STEARNSInterestTRSY 4.125% MAT912828DV915505 CP 1,977,031.25 1,977,031.25US TREASURYJ P MORGAN-FDICRedemptionTRSY 4.25% MAT912828EE615505 CP 179,843.75 179,843.75US TREASURYJ P MORGAN-FDICCap G/LTRSY 4.25% MAT912828EE615505 CP 41,795.58 41,795.58US TREASURYJ P MORGAN-FDICInterestTRSY 4.25% MAT912828EE634464 COMM 10,250,178.75 -10,250,178.75FNMA NOTESUBS FINANCEPurchaseFEDERAL NATL MTG3135G0XA631529 CP 2,210,070.45 2,210,070.45FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNMA 5.% MAT31402RSN031529 CP 3,164.85 3,164.85FNMA 30 YR MBSCITIGROUP GLOBALInterestFNMA 5.% MAT31402RSN031529 CP 22,657.29 22,657.29FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNMA 5.% MAT31402RSN031518 CP 1,408,601.86 1,408,601.86FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 5.5% MAT31412MSA731518 CP 2,182.41 2,182.41FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 5.5% MAT31412MSA731518 CP 4,666.94 4,666.94FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 5.5% MAT31412MSA731515 CP 2,407,728.06 2,407,728.06FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 4.% MAT31412RBJ531515 CP 2,918.16 2,918.16FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 4.% MAT31412RBJ531515 CP 61,927.95 61,927.95FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 4.% MAT31412RBJ5

Totals for 08/12/2013 160,250,032.92 185,940,496.30 75,126.56 25,765,589.94

8738 CT 4,770,368.90 4,770,368.90VANGUARDVANGUARDRedemptionV 2.73%SYS873834465 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.03% MATSYS3446534466 COMM 75,000,000.00 75,000,000.00RABOBANKMORGAN STANLEYRedemptionRABO DISC NOTE74977KVD834465 COMM 62.50 62.50U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.03% MATSYS3446534468 COMM 74,999,854.17 -74,999,854.17RABOBANKMORGAN STANLEYPurchaseRABO DISC NOTE74977KVE634467 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MATSYS3446734469 COMM 25,000,000.00 -25,000,000.00BANK OF NOVAUBS FINANCEPurchaseBNS 0.05% MAT06417FG5332291 COMM 30,000.00 30,000.00FHLB NOTESBARCLAYS CAPITALInterestFHLB 0.3% MAT3133783D132292 COMM 96,250.00 96,250.00FHLMC NOTESDEUTSCHE BANKInterestFHLMC 0.55% MAT3134G3MR833834 COMM 110,000.00 110,000.00FHLMC NOTESDEUTSCHE BANKInterestFHLMC 0.55% MAT3134G3MR814371 CP 993,100.00 993,100.00HSBC FIN CORPJ P MORGAN-FDICRedemptionHSBC 5.088963%40429CCS914371 CP 75,230.00 75,230.00HSBC FIN CORPJ P MORGAN-FDICCap G/LHSBC 5.088963%40429CCS914371 CP 5,972.22 5,972.22HSBC FIN CORPJ P MORGAN-FDICInterestHSBC 5.088963%40429CCS929929 CP 990,470.00 990,470.00DUPONT EIGOLDMAN SACHSRedemptionDD 1.95% MAT263534CD929929 CP 36,700.00 36,700.00DUPONT EIGOLDMAN SACHSCap G/LDD 1.95% MAT263534CD929929 CP 1,516.67 1,516.67DUPONT EIGOLDMAN SACHSInterestDD 1.95% MAT263534CD932308 COMM 375,000.00 375,000.00FNMA NOTESMORGAN STANLEYInterestFNMA 5.% MAT31359M4D230346 CP 1,058,288.33 1,058,288.33NCUABARCLAYS CAPITALRedemptionNCUA 2.4% MAT62888WAC030346 CP 13,226.44 13,226.44NCUABARCLAYS CAPITALCap G/LNCUA 2.4% MAT62888WAC030346 CP 495.09 495.09NCUABARCLAYS CAPITALInterestNCUA 2.4% MAT62888WAC0

Portfolio SCL2AP


46



TotalCashInterest

PrincipalPaydowns


Totals for 08/13/2013 174,999,854.17 157,937,383.67 619,296.48 -16,443,174.02

34467 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MATSYS3446734468 COMM 75,000,000.00 75,000,000.00RABOBANKMORGAN STANLEYRedemptionRABO DISC NOTE74977KVE634467 COMM 41.67 41.67U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MATSYS3446734471 COMM 74,999,854.17 -74,999,854.17RABOBANKMERRILL LYNCHPurchaseRABO DISC NOTE74977KVF334470 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MATSYS3447031530 CP 1,610,817.17 1,610,817.17FHLMC 15 YR MBSCITIGROUP GLOBALRedemptionFGCI 4.% MAT3128PUDN931530 CP 2,232.88 2,232.88FHLMC 15 YR MBSCITIGROUP GLOBALInterestFGCI 4.% MAT3128PUDN931530 CP 15,699.96 15,699.96FHLMC 15 YR MBSCITIGROUP GLOBALRedemptionFGCI 4.% MAT3128PUDN9

Totals for 08/14/2013 149,999,854.17 151,626,517.13 2,274.55 1,628,937.51

34283 COMM 25,000,000.00 25,000,000.00ROYAL BANK OFROYAL BANK OFRedemptionRBC 0.08% MAT78009NMZ634470 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MATSYS3447034471 COMM 75,000,000.00 75,000,000.00RABOBANKMERRILL LYNCHRedemptionRABO DISC NOTE74977KVF334283 COMM 4,833.33 4,833.33ROYAL BANK OFROYAL BANK OFInterestRBC 0.08% MAT78009NMZ634470 COMM 41.67 41.67U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MATSYS3447034473 COMM 49,999,902.78 -49,999,902.78RABOBANKROYAL BANK OFPurchaseRABO DISC NOTE74977KVG134474 COMM 49,999,930.56 -49,999,930.56U S BANKU S BANKPurchaseUSB DISC NOTE9033E0VG834472 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.04% MATSYS3447232378 PA 1,500.00 1,500.00CALIFORNIA STMORGAN STANLEYInterestCASMED 4.% MAT13033LWT032379 MVLA 500.00 500.00CALIFORNIA STMORGAN STANLEYInterestCASMED 4.% MAT13033LWT030100 COMM -1,576.09 -1,576.09FHLMCRESIDENTIALInterestFHR 1.85% MAT31398JNB530100 COMM 143,251.49 143,251.49FHLMCRESIDENTIALRedemptionFHR 1.85% MAT31398JNB532317 COMM 1,283.33 1,283.33HONDA AUTOMERRILL LYNCHInterestHAROT 0.77% MAT43813UAC431830 COMM 569,803.75 569,803.75MERCEDES -BENZRBS Securities IncRedemptionMBART 0.85% MAT587728AC031830 COMM 16.41 16.41MERCEDES -BENZRBS Securities IncCap G/LMBART 0.85% MAT587728AC031830 COMM 2,453.93 2,453.93MERCEDES -BENZRBS Securities IncInterestMBART 0.85% MAT587728AC034191 COMM 12,250.00 12,250.00MERCEDES-BENZMERRILL LYNCHInterestMBALT 0.49% MAT58768VAB733757 COMM 6,750.00 6,750.00CHASE ISSUANCEJPMorganChaseInterestCHAIT 0.54% MAT161571FR034430 COMM 3,150.00 3,150.00HONDA AUTOJPMorganChaseInterestHAROT 0.54% MAT43812XAB134430 COMM 332,771.38 332,771.38HONDA AUTOJPMorganChaseRedemptionHAROT 0.54% MAT43812XAB134190 COMM 8,358.33 8,358.33MERCEDES-BENZMERRILL LYNCHInterestMBALT 0.59% MAT58768VAC532522 COMM 7,475.00 7,475.00BANK OF AMERICABANK OF AMERICAInterestBAAT 0.78% MAT06052YAC334456 COMM 9,994,700.00 -9,994,700.00BERKSHIREGOLDMAN, SACHS &PurchaseBRK 0.95% MAT084664BX834436 COMM 9,875.00 9,875.00CHASE ISSUANCECITIGROUP GLOBALInterestCHAIT 0.79% MAT161571FJ834436 COMM 347,480.50 347,480.50CHASE ISSUANCECITIGROUP GLOBALRedemptionCHAIT 0.79% MAT161571FJ834436 COMM -4,608.33 -4,608.33CHASE ISSUANCECITIGROUP GLOBALInterestCHAIT 0.79% MAT161571FJ834436 COMM 0.00CHASE ISSUANCECITIGROUP GLOBALRedemptionCHAIT 0.79% MAT161571FJ833804 CP 12,187.50 12,187.50U.S. TREASURYCITICORPInterestUSTN 1.625% MAT912828TJ931530 CP 4,029.38 4,029.38FHLMC 15 YR MBSCITIGROUP GLOBALInterestFGCI 4.% MAT3128PUDN9

Portfolio SCL2AP


47



TotalCashInterest

PrincipalPaydowns


31530 CP 30,251.02 30,251.02FHLMC 15 YR MBSCITIGROUP GLOBALRedemptionFGCI 4.% MAT3128PUDN913785 CP 680.62 680.62FHLMC 30 YR MBSLEHMAN BROTHERSInterestFGLMC 5.5% MAT31296SMB913785 CP 361.50 361.50FHLMC 30 YR MBSLEHMAN BROTHERSRedemptionFGLMC 5.5% MAT31296SMB913786 CP 680.62 680.62FHLMC 30 YR MBSLEHMAN BROTHERSInterestFGLMC 5.5% MAT31296SMB913786 CP 361.50 361.50FHLMC 30 YR MBSLEHMAN BROTHERSRedemptionFGLMC 5.5% MAT31296SMB913787 CP 512.45 512.45FHLMC 30 YR MBSLEHMAN BROTHERSInterestFGLMC 5.5% MAT31292H7J713787 CP 3,280.60 3,280.60FHLMC 30 YR MBSLEHMAN BROTHERSRedemptionFGLMC 5.5% MAT31292H7J714348 CP 934.79 934.79GNMA 30YRGREENWICHInterestGNMA 6.5% MAT36225B6K914348 CP 5,040.02 5,040.02GNMA 30YRGREENWICHRedemptionGNMA 6.5% MAT36225B6K913758 CP 2,329.70 2,329.70FHLMC 30 YR MBSLEHMAN BROTHERSInterestFNMA 5.% MAT31297QSX813758 CP 17,869.77 17,869.77FHLMC 30 YR MBSLEHMAN BROTHERSRedemptionFNMA 5.% MAT31297QSX814347 CP 1,381.80 1,381.80GNMA 30YRGREENWICHInterestGNMA 5.% MAT36292CCK814347 CP 787.30 787.30GNMA 30YRGREENWICHRedemptionGNMA 5.% MAT36292CCK831517 CP 1,981.41 1,981.41FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 5.% MAT36241KXL731517 CP 72,881.06 72,881.06FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 5.% MAT36241KXL731541 CP 13,014.57 13,014.57GNMA 30 YRGOLDMAN, SACHS &InterestGNSF 4.5% MAT3620AMVL331541 CP 58,642.63 58,642.63GNMA 30 YRGOLDMAN, SACHS &RedemptionGNSF 4.5% MAT3620AMVL3

Totals for 08/15/2013 184,994,533.34 176,582,798.93 90,019.01 -8,321,715.40

34472 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.04% MATSYS3447234473 COMM 50,000,000.00 50,000,000.00RABOBANKROYAL BANK OFRedemptionRABO DISC NOTE74977KVG134474 COMM 50,000,000.00 50,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0VG834472 COMM 83.33 83.33U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.04% MATSYS3447234476 COMM 74,999,562.50 -74,999,562.50RABOBANKMORGAN STANLEYPurchaseRABO DISC NOTE74977KVK234477 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MAT912828PC834475 COMM 49,999,513.89 -49,999,513.89U S BANKU S BANKPurchaseUSB DISC NOTE9033E0VP8

Totals for 08/16/2013 199,999,076.39 175,000,000.00 83.33 -24,998,993.06

32302 COMM 125,000.00 125,000.00TOYOTA MOTORBARCLAYS CAPITALInterestTOYOTA 1.% MAT89233P5Z533822 COMM 34,000.00 34,000.00FFCB NOTESJEFFERIES & CO,InterestFFCB 0.34% MAT3133EC7H1

Totals for 08/17/2013 159,000.00 159,000.00

34186 COMM 40,000,000.00 40,000,000.00TORONTOMERRILL LYNCHRedemptionTDNY 0.15% MAT89112WN3734476 COMM 75,000,000.00 75,000,000.00RABOBANKMORGAN STANLEYRedemptionRABO DISC NOTE74977KVK234477 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MAT912828PC834186 COMM 20,833.33 20,833.33TORONTOMERRILL LYNCHInterestTDNY 0.15% MAT89112WN3734477 COMM 125.00 125.00U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MAT912828PC834479 COMM 74,999,854.17 -74,999,854.17RABOBANKMERRILL LYNCHPurchaseRABO DISC NOTE74977KVL034478 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3447834480 COMM 20,000,000.00 -20,000,000.00TORONTOMIZUHOPurchaseTDNY 0.135% MAT89112TGJ729892 COMM 271,875.00 271,875.00FHLMC NOTESGLEACHER &InterestFHLMC 2.175% MAT3128X9C7330053 COMM 217,500.00 217,500.00FHLMC NOTESBOSC INCInterestFHLMC 2.175% MAT3128X9C73

Portfolio SCL2AP


48



TotalCashInterest

PrincipalPaydowns


Totals for 08/19/2013 169,999,854.17 190,000,000.00 510,333.33 20,510,479.16

34469 COMM 25,000,000.00 25,000,000.00BANK OF NOVAUBS FINANCERedemptionBNS 0.05% MAT06417FG5334478 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3447834479 COMM 75,000,000.00 75,000,000.00RABOBANKMERRILL LYNCHRedemptionRABO DISC NOTE74977KVL034469 COMM 243.06 243.06BANK OF NOVAUBS FINANCEInterestBNS 0.05% MAT06417FG5334478 COMM 20.83 20.83U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3447834482 COMM 74,999,875.00 -74,999,875.00RABOBANKGOLDMAN, SACHS &PurchaseRABO DISC NOTE74977KVM834481 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3448134483 COMM 24,999,687.50 -24,999,687.50BANK OF NOVABARCLAYS CAPITALPurchaseBNS DISC NOTE06416JVW032003 COMM 100,000.00 100,000.00FHLMC NOTESCITIGROUP GLOBALInterestFHLMC 1.% MAT3134G2UA832004 COMM 150,000.00 150,000.00FHLMC NOTESCITIGROUP GLOBALInterestFHLMC 1.% MAT3134G2UA832007 COMM 75,000.00 75,000.00FHLMC NOTESBNP PARIBASInterestFHLMC 1.% MAT3134G2UA832117 COMM 175,000.00 175,000.00FHLMC NOTESBNP PARIBASInterestFHLMC 1.% MAT3134G2UA832127 COMM 125,000.00 125,000.00FHLMC NOTESJPMorganChaseInterestFHLMC 1.% MAT3134G2UA833445 COMM 52,865.00 52,865.00FHLMC NOTESJPMorganChaseInterestFHLMC 1.% MAT3134G2UA834270 COMM 12,500.00 12,500.00FHLB NOTESUBS FINANCEInterestFEDERAL HOME313381YP434270 COMM 5,972.22 -5,972.22 0.00FHLB NOTESUBS FINANCEAccr IntFEDERAL HOME313381YP431149 COMM 1,727,109.77 1,727,109.77VOLKSWAGENCITIGROUP GLOBALRedemptionVALET 1.22% MAT92867DAC431149 COMM 182.23 182.23VOLKSWAGENCITIGROUP GLOBALCap G/LVALET 1.22% MAT92867DAC431149 COMM 13,171.83 13,171.83VOLKSWAGENCITIGROUP GLOBALInterestVALET 1.22% MAT92867DAC432251 COMM 9,916.66 9,916.66VOLKSWAGENCITIGROUP GLOBALInterestVALET 0.85% MAT92867GAC731541 CP 4,522,596.98 4,522,596.98GNMA 30 YRGOLDMAN, SACHS &RedemptionGNSF 4.5% MAT3620AMVL331541 CP 10,151.13 10,151.13GNMA 30 YRGOLDMAN, SACHS &InterestGNSF 4.5% MAT3620AMVL331541 CP 51,423.46 51,423.46GNMA 30 YRGOLDMAN, SACHS &RedemptionGNSF 4.5% MAT3620AMVL3

Totals for 08/20/2013 174,999,562.50 181,307,284.66 717,896.29 7,025,618.45

34481 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3448134482 COMM 75,000,000.00 75,000,000.00RABOBANKGOLDMAN, SACHS &RedemptionRABO DISC NOTE74977KVM834481 COMM 20.83 20.83U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3448134485 COMM 74,999,875.00 -74,999,875.00RABOBANKMORGAN STANLEYPurchaseRABO DISC NOTE74977KVN634484 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3448434197 COMM 3,148.83 3,148.83HONDA AUTODEUTSCHE BANKInterestHAROT 0.35% MAT43814CAB5

Totals for 08/21/2013 149,999,875.00 150,000,000.00 3,169.66 3,294.66

34484 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3448434485 COMM 75,000,000.00 75,000,000.00RABOBANKMORGAN STANLEYRedemptionRABO DISC NOTE74977KVN634484 COMM 20.83 20.83U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3448434487 COMM 74,999,895.83 -74,999,895.83RABOBANKJPMorganChasePurchaseRABO DISC NOTE74977KVP134486 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3448634488 COMM 24,999,722.22 -24,999,722.22GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT3690LVW2

Portfolio SCL2AP


49



TotalCashInterest

PrincipalPaydowns


Totals for 08/22/2013 174,999,618.05 150,000,000.00 20.83 -24,999,597.22

34280 COMM 25,000,000.00 25,000,000.00FNMA DISCOUNTUBS FINANCERedemptionFNDN DISC NOTE313589KU634281 COMM 25,000,000.00 25,000,000.00FNMA DISCOUNTJEFFERIES & CO,RedemptionFNDN DISC NOTE313589KU634475 COMM 50,000,000.00 50,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0VP834486 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3448634487 COMM 75,000,000.00 75,000,000.00RABOBANKJPMorganChaseRedemptionRABO DISC NOTE74977KVP134486 COMM 20.83 20.83U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3448634490 COMM 74,999,687.50 -74,999,687.50RABOBANKJPMorganChasePurchaseRABO DISC NOTE74977KVS534491 COMM 39,999,866.67 -39,999,866.67U S BANKU S BANKPurchaseUSB DISC NOTE9033E0VS234489 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS34489

Totals for 08/23/2013 189,999,554.17 250,000,000.00 20.83 60,000,466.66

32319 COMM 42,500.00 42,500.00FHLMC NOTESMIZUHOInterestFHLMC 0.85% MAT3134G3PE432320 COMM 127,500.00 127,500.00FHLMC NOTESGOLDMAN SACHSInterestFHLMC 0.85% MAT3134G3PE4

Totals for 08/24/2013 170,000.00 170,000.00

33721 COMM 200,000.00 200,000.00FHLMC NOTESGOLDMAN, SACHS &InterestFHLMC 2.% MAT3137EACW713725 CP 17.21 17.21FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31402VHF013725 CP 82.23 82.23FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31402VHF013728 CP 10.45 10.45FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31402VAT713728 CP 166.83 166.83FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31402VAT713729 CP 106.05 106.05FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31402DEK213729 CP 1,095.12 1,095.12FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31402DEK213732 CP 223.20 223.20FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31403V2Y413732 CP 2,616.92 2,616.92FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31403V2Y413726 CP 38.93 38.93FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405FJR413726 CP 18,160.59 18,160.59FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405FJR413722 CP 11.28 11.28FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31404WC7913722 CP 70.28 70.28FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31404WC7913723 CP 86.27 86.27FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405HA2413723 CP 799.11 799.11FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405HA2413730 CP 411.44 411.44FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31404WBY113730 CP 1,777.52 1,777.52FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31404WBY113724 CP 89.66 89.66FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405FKM313724 CP 261.67 261.67FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405FKM313731 CP 104.45 104.45FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405TLN013731 CP 534.91 534.91FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405TLN013727 CP 186.70 186.70FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405UEY113727 CP 9,078.72 9,078.72FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405UEY114625 CP 10.12 10.12FNMA 15 YR MBSLEHMAN BROTHERSInterestFN15 6.% MAT31402RJC414625 CP 377.84 377.84FNMA 15 YR MBSLEHMAN BROTHERSRedemptionFN15 6.% MAT31402RJC4

Portfolio SCL2AP


50



TotalCashInterest

PrincipalPaydowns


14626 CP 1,598.04 1,598.04FNMA 15 YR MBSLEHMAN BROTHERSInterestFN15 4.5% MAT31371MDH714626 CP 5,248.61 5,248.61FNMA 15 YR MBSLEHMAN BROTHERSRedemptionFN15 4.5% MAT31371MDH714624 CP 1,823.46 1,823.46FNMA 15 YR MBSLEHMAN BROTHERSInterestFN15 5.5% MAT31407RZ4914624 CP 7,067.09 7,067.09FNMA 15 YR MBSLEHMAN BROTHERSRedemptionFN15 5.5% MAT31407RZ4920754 CP 3,125.98 3,125.98FNMA 30 YR MBSBEAR STEARNSInterestFNCL 5.5% MAT31409BDG920754 CP 27,339.30 27,339.30FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 5.5% MAT31409BDG920755 CP 1,240.95 1,240.95FNMA 30 YR MBSBEAR STEARNSInterestFNCL 5.% MAT31410WDM720755 CP 18,803.14 18,803.14FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 5.% MAT31410WDM713678 CP 398.68 398.68FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.5% MAT31377Z3U413678 CP 360.44 360.44FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.5% MAT31377Z3U413677 CP 4.75 4.75FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.5% MAT31379YSC813677 CP 3.03 3.03FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.5% MAT31379YSC813675 CP 121.29 121.29FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.5% MAT31405EB6113675 CP 49.43 49.43FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.5% MAT31405EB6113676 CP 115.86 115.86FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.5% MAT31405SUJ113676 CP 2,686.93 2,686.93FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.5% MAT31405SUJ113695 CP 979.94 979.94FNMA 15 YR MBSLEHMAN BROTHERSInterestFGLMC 4.5% MAT31406E2D513695 CP 9,529.11 9,529.11FNMA 15 YR MBSLEHMAN BROTHERSRedemptionFGLMC 4.5% MAT31406E2D514585 CP 1,650.13 1,650.13FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.% MAT31402RDG114585 CP 15,323.14 15,323.14FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.% MAT31402RDG113696 CP 3,451.22 3,451.22FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 5.5% MAT31406YGL813696 CP 42,582.37 42,582.37FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 5.5% MAT31406YGL820678 CP 17.52 17.52FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31407FGG920678 CP 9.32 9.32FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31407FGG920679 CP 30.11 30.11FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31407G6Z620679 CP 15.49 15.49FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31407G6Z620682 CP 66.68 66.68FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31407MZK420682 CP 310.19 310.19FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31407MZK420680 CP 707.05 707.05FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31407YRS020680 CP 4,262.77 4,262.77FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31407YRS020681 CP 38.29 38.29FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31371MJ6520681 CP 23.92 23.92FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31371MJ6531529 CP 2,083.33 2,083.33FNMA 30 YR MBSCITIGROUP GLOBALInterestFNMA 5.% MAT31402RSN031529 CP 111,404.27 111,404.27FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNMA 5.% MAT31402RSN020683 CP 1,024.20 1,024.20FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31403CZL820683 CP 6,207.93 6,207.93FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31403CZL820676 CP 2,840.50 2,840.50FNMA 30 YR MBSBEAR STEARNSInterestFNCL 6.5% MAT31409HDV320676 CP 97,301.26 97,301.26FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 6.5% MAT31409HDV320675 CP 1,372.58 1,372.58FNMA 30 YR MBSBEAR STEARNSInterestFNCL 6.5% MAT31407JFT420675 CP 53,628.58 53,628.58FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 6.5% MAT31407JFT4

Portfolio SCL2AP


51



TotalCashInterest

PrincipalPaydowns


20677 CP 68.63 68.63FNMA 30 YR MBSBEAR STEARNSInterestFNCL 6.5% MAT31407JFT420677 CP 2,681.43 2,681.43FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 6.5% MAT31407JFT420674 CP 1,649.95 1,649.95FNMA 30 YR MBSBEAR STEARNSInterestFNCL 5.5% MAT31411WWN320674 CP 11,021.95 11,021.95FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 5.5% MAT31411WWN331514 CP -580.33 -580.33FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 6.% MAT31410KH5631514 CP 26,359.57 26,359.57FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 6.% MAT31410KH5631518 CP -2,541.83 -2,541.83FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 5.5% MAT31412MSA731518 CP 115,014.98 115,014.98FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 5.5% MAT31412MSA731515 CP 7,590.63 7,590.63FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 4.% MAT31412RBJ531515 CP 72,703.03 72,703.03FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 4.% MAT31412RBJ531516 CP 993.49 993.49FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 4.5% MAT31416X5D831516 CP 35,403.66 35,403.66FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 4.5% MAT31416X5D8

Totals for 08/25/2013 700,362.68 231,166.86 931,529.54

34489 COMM 75,000,000.00 75,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3448934490 COMM 75,000,000.00 75,000,000.00RABOBANKJPMorganChaseRedemptionRABO DISC NOTE74977KVS534491 COMM 40,000,000.00 40,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0VS234489 COMM 62.50 62.50U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3448934492 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3449234493 COMM 49,999,444.44 -49,999,444.44U S BANKU S BANKPurchaseUSB DISC NOTE9033E0W3634355 COMM 80,353.00 80,353.00FNMA NOTESBNP PARIBASInterestFEDERAL NATL MTG3135G0UM334355 COMM 50,443.83 -50,443.83 0.00FNMA NOTESBNP PARIBASAccr IntFEDERAL NATL MTG3135G0UM3

Totals for 08/26/2013 174,999,444.44 190,050,443.83 29,971.67 15,080,971.06

25730 COMM 4,000,000.00 4,000,000.00BANK OF NEWB of A-FDICRedemptionBOA 5.125% MAT06406HBK434492 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3449225730 COMM 102,500.00 102,500.00BANK OF NEWB of A-FDICInterestBOA 5.125% MAT06406HBK434492 COMM 34.72 34.72U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3449234494 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3449433870 COMM 65,625.00 65,625.00FHLMC NOTESBARCLAYS CAPITALInterestFHLMC 0.375% MAT3134G3LA6

Totals for 08/27/2013 100,000,000.00 129,000,000.00 168,159.72 29,168,159.72

34494 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3449434494 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3449434495 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3449532161 COMM 153,125.00 153,125.00FNMA NOTESDEUTSCHE BANKInterestFNMA 0.875% MAT3135G0BY833444 COMM 18,750.00 18,750.00FHLMC NOTESMERRILL LYNCHInterestFHLMC 0.375% MAT3134G3YW4

Totals for 08/28/2013 125,000,000.00 100,000,000.00 171,902.78 -24,828,097.22

34495 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3449534495 COMM 34.72 34.72U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3449534496 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MATSYS34496

Portfolio SCL2AP


52



TotalCashInterest

PrincipalPaydowns


Totals for 08/29/2013 125,000,000.00 125,000,000.00 34.72 34.72

34483 COMM 25,000,000.00 25,000,000.00BANK OF NOVABARCLAYS CAPITALRedemptionBNS DISC NOTE06416JVW034488 COMM 25,000,000.00 25,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT3690LVW234496 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MATSYS3449634496 COMM 69.44 69.44U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MATSYS3449634498 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.04% MATSYS3449834499 COMM 50,000,000.00 -50,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.02% MATSYS3449934497 COMM 24,998,875.00 -24,998,875.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWS0

Totals for 08/30/2013 199,998,875.00 175,000,000.00 69.44 -24,998,805.56

28890 CP 5,937.50 5,937.50U.S. TREASURYMORGAN STANLEYInterestUSTN 2.375% MAT912828MR8

Totals for 08/31/2013 5,937.50 5,937.50

32364 COMM 1,097,782.50 1,097,782.50SAN BERNARDINOCITIGROUP GLOBALRedemptionSBDSFH 8.3% MAT796842BB732364 COMM -112,782.50 -112,782.50SAN BERNARDINOCITIGROUP GLOBALCap G/LSBDSFH 8.3% MAT796842BB732364 COMM 126,160.00 126,160.00SAN BERNARDINOCITIGROUP GLOBALInterestSBDSFH 8.3% MAT796842BB732542 COMM 553,437.50 553,437.50CALIFORNIA STCITIGROUP GLOBALInterestCAS 5.75% MAT13063BFQ0

Totals for 09/01/2013 985,000.00 679,597.50 1,664,597.50

31947 COMM 20,000,000.00 20,000,000.00FHLMC NOTESGLEACHER & RedemptionFHLMC 0.31% MAT3134G2B5034493 COMM 50,000,000.00 50,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0W3634498 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.04% MATSYS3449834499 COMM 50,000,000.00 50,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.02% MATSYS3449931947 COMM 16,344.44 16,344.44FHLMC NOTESGLEACHER & InterestFHLMC 0.31% MAT3134G2B5034498 COMM 555.56 555.56U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.04% MATSYS3449834499 COMM 111.11 111.11U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.02% MATSYS3449934500 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.05% MATSYS3450034501 COMM 75,000,000.00 -75,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.05% MATSYS3450134502 COMM 49,999,513.89 -49,999,513.89U S BANKU S BANKPurchaseUSB DISC NOTE9033E0WA0

Totals for 09/03/2013 224,999,513.89 245,000,000.00 17,011.11 20,017,497.22

34500 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.05% MATSYS3450034501 COMM 75,000,000.00 75,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.05% MATSYS3450134500 COMM 138.89 138.89U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.05% MATSYS3450034501 COMM 104.17 104.17U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.05% MATSYS3450134505 COMM 79,999,888.89 -79,999,888.89RABOBANKMERRILL LYNCHPurchaseRABO DISC NOTE74977KW5434503 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.04% MATSYS3450334504 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.04% MATSYS3450414236 CP 26,812.50 26,812.50GENERAL ELECTRICDEUTSCHE BANKInterestGE 4.875% MAT36962GP6533454 COMM 22,500.00 22,500.00FHLMC NOTESBNP PARIBASInterestFHLMC 0.45% MAT3134G3J7633552 COMM 22,500.00 22,500.00FHLMC NOTESBNP PARIBASInterestFHLMC 0.45% MAT3134G3J76

Portfolio SCL2AP


53



TotalCashInterest

PrincipalPaydowns


Totals for 09/04/2013 279,999,888.89 175,000,000.00 72,055.56 -104,927,833.33

34167 COMM 50,000,000.00 50,000,000.00U S TREASURY BILLMERRILL LYNCHRedemptionUNITED STATES912796AZ234503 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.04% MATSYS3450334504 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.04% MATSYS3450434505 COMM 80,000,000.00 80,000,000.00RABOBANKMERRILL LYNCHRedemptionRABO DISC NOTE74977KW5434503 COMM 111.11 111.11U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.04% MATSYS3450334504 COMM 111.11 111.11U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.04% MATSYS3450434508 COMM 79,999,888.89 -79,999,888.89RABOBANKGOLDMAN, SACHS &PurchaseRABO DISC NOTE74977KW6234506 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.03% MATSYS3450634507 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.03% MATSYS34507

Totals for 09/05/2013 329,999,888.89 330,000,000.00 222.22 333.33

34252 COMM 25,000,000.00 25,000,000.00TOYOTA MOTORTOYOTA MOTORRedemptionTOYO DISC NOTE89233GW6934506 COMM 125,000,000.00 125,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.03% MATSYS3450634507 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.03% MATSYS3450734508 COMM 80,000,000.00 80,000,000.00RABOBANKGOLDMAN, SACHS &RedemptionRABO DISC NOTE74977KW6234506 COMM 104.17 104.17U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.03% MATSYS3450634507 COMM 104.17 104.17U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.03% MATSYS3450734511 COMM 79,999,733.33 -79,999,733.33RABOBANKMORGAN STANLEYPurchaseRABO DISC NOTE74977KW9634509 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.03% MATSYS3450934510 COMM 150,000,000.00 -150,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.04% MATSYS3451032889 COMM 18,618.04 18,618.04FHLB NOTESInterestFHLB 0.28% MAT313379R92

Totals for 09/06/2013 354,999,733.33 355,000,000.00 18,826.38 19,093.05

34509 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.03% MATSYS3450934510 COMM 150,000,000.00 150,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.04% MATSYS3451034511 COMM 80,000,000.00 80,000,000.00RABOBANKMORGAN STANLEYRedemptionRABO DISC NOTE74977KW9634509 COMM 312.50 312.50U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.03% MATSYS3450934510 COMM 500.00 500.00U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.04% MATSYS3451034512 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MATSYS3451234513 COMM 150,000,000.00 -150,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.03% MATSYS34513

Totals for 09/09/2013 275,000,000.00 355,000,000.00 812.50 80,000,812.50

34502 COMM 50,000,000.00 50,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0WA034512 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MATSYS3451234513 COMM 150,000,000.00 150,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.03% MATSYS3451334512 COMM 69.44 69.44U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MATSYS3451234513 COMM 125.00 125.00U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.03% MATSYS3451334515 COMM 150,000,000.00 -150,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.02% MATSYS3451534516 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3451634514 COMM 49,999,305.56 -49,999,305.56U S BANKU S BANKPurchaseUSB DISC NOTE9033E0WL6

Portfolio SCL2AP


54



TotalCashInterest

PrincipalPaydowns


Totals for 09/10/2013 324,999,305.56 325,000,000.00 194.44 888.88

34515 COMM 150,000,000.00 150,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.02% MATSYS3451534516 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3451634515 COMM 83.33 83.33U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.02% MATSYS3451534516 COMM 34.72 34.72U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3451634517 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3451734518 COMM 150,000,000.00 -150,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.02% MATSYS34518

Totals for 09/11/2013 275,000,000.00 275,000,000.00 118.05 118.05

34517 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3451734518 COMM 150,000,000.00 150,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.02% MATSYS3451834517 COMM 34.72 34.72U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3451734518 COMM 83.33 83.33U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.02% MATSYS3451834519 COMM 150,000,000.00 -150,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.03% MATSYS3451934520 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.03% MATSYS3452028136 COMM 272,593.75 272,593.75FHLB NOTESKEYBANC CAPITALInterestFHLB 3.25% MAT3133XUMR1

Totals for 09/12/2013 275,000,000.00 275,000,000.00 272,711.80 272,711.80

34245 COMM 25,000,000.00 25,000,000.00FHLMC DISCOUNTPIPER JAFFRAY &RedemptionFHLMC DISC NOTE313397LR034519 COMM 150,000,000.00 150,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.03% MATSYS3451934520 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.03% MATSYS3452034519 COMM 125.00 125.00U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.03% MATSYS3451934520 COMM 104.17 104.17U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.03% MATSYS3452034521 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.04% MATSYS3452134522 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.03% MATSYS3452234524 COMM 25,064,902.78 -25,064,902.78FNMA NOTESBARCLAYS CAPITALPurchaseFNMA 0.5% MAT3135G0LN134523 COMM 20,618,723.48 -20,618,723.48FHLMC NOTESJPMorganChasePurchaseFHLMC 0.5% MAT3134G42L1

Totals for 09/13/2013 245,683,626.26 300,000,000.00 229.17 54,316,602.91

32365 COMM 75,000.00 75,000.00FHLMC NOTESCITIGROUP GLOBALInterestFHLMC 1.% MAT3134G3RK8

Totals for 09/14/2013 75,000.00 75,000.00

30100 COMM -295.74 -295.74FHLMCRESIDENTIALInterestFHR 1.85% MAT31398JNB530100 COMM 26,214.81 26,214.81FHLMCRESIDENTIALRedemptionFHR 1.85% MAT31398JNB532317 COMM 1,283.33 1,283.33HONDA AUTOMERRILL LYNCHInterestHAROT 0.77% MAT43813UAC431830 COMM 489,497.10 489,497.10MERCEDES -BENZRBS Securities IncRedemptionMBART 0.85% MAT587728AC031830 COMM 14.10 14.10MERCEDES -BENZRBS Securities IncCap G/LMBART 0.85% MAT587728AC031830 COMM 2,050.30 2,050.30MERCEDES -BENZRBS Securities IncInterestMBART 0.85% MAT587728AC034191 COMM 12,249.99 12,249.99MERCEDES-BENZMERRILL LYNCHInterestMBALT 0.49% MAT58768VAB733757 COMM 6,750.00 6,750.00CHASE ISSUANCEJPMorganChaseInterestCHAIT 0.54% MAT161571FR034430 COMM 4,500.00 4,500.00HONDA AUTOJPMorganChaseInterestHAROT 0.54% MAT43812XAB134430 COMM 345,879.94 345,879.94HONDA AUTOJPMorganChaseRedemptionHAROT 0.54% MAT43812XAB1

Portfolio SCL2AP


55



TotalCashInterest

PrincipalPaydowns


34190 COMM 8,358.34 8,358.34MERCEDES-BENZMERRILL LYNCHInterestMBALT 0.59% MAT58768VAC532522 COMM 127,435.12 127,435.12BANK OF AMERICABANK OF AMERICARedemptionBAAT 0.78% MAT06052YAC332522 COMM 4.55 4.55BANK OF AMERICABANK OF AMERICACap G/LBAAT 0.78% MAT06052YAC332522 COMM 7,475.00 7,475.00BANK OF AMERICABANK OF AMERICAInterestBAAT 0.78% MAT06052YAC334436 COMM 9,875.00 9,875.00CHASE ISSUANCECITIGROUP GLOBALInterestCHAIT 0.79% MAT161571FJ834436 COMM 356,939.09 356,939.09CHASE ISSUANCECITIGROUP GLOBALRedemptionCHAIT 0.79% MAT161571FJ832323 CP 13,750.00 13,750.00JOHN DEERECITIGROUP GLOBALInterestDE 2.75% MAT24422ERM313785 CP 662.02 662.02FHLMC 30 YR MBSLEHMAN BROTHERSInterestFGLMC 5.5% MAT31296SMB913785 CP 1,952.41 1,952.41FHLMC 30 YR MBSLEHMAN BROTHERSRedemptionFGLMC 5.5% MAT31296SMB913786 CP 662.02 662.02FHLMC 30 YR MBSLEHMAN BROTHERSInterestFGLMC 5.5% MAT31296SMB913786 CP 1,952.41 1,952.41FHLMC 30 YR MBSLEHMAN BROTHERSRedemptionFGLMC 5.5% MAT31296SMB913787 CP 500.27 500.27FHLMC 30 YR MBSLEHMAN BROTHERSInterestFGLMC 5.5% MAT31292H7J713787 CP 3,027.04 3,027.04FHLMC 30 YR MBSLEHMAN BROTHERSRedemptionFGLMC 5.5% MAT31292H7J714348 CP 850.37 850.37GNMA 30YRGREENWICHInterestGNMA 6.5% MAT36225B6K914348 CP 6,393.70 6,393.70GNMA 30YRGREENWICHRedemptionGNMA 6.5% MAT36225B6K913758 CP 2,253.78 2,253.78FHLMC 30 YR MBSLEHMAN BROTHERSInterestFNMA 5.% MAT31297QSX813758 CP 17,806.41 17,806.41FHLMC 30 YR MBSLEHMAN BROTHERSRedemptionFNMA 5.% MAT31297QSX814347 CP 1,378.51 1,378.51GNMA 30YRGREENWICHInterestGNMA 5.% MAT36292CCK814347 CP 790.86 790.86GNMA 30YRGREENWICHRedemptionGNMA 5.% MAT36292CCK831517 CP 1,862.32 1,862.32FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 5.% MAT36241KXL731517 CP 70,792.11 70,792.11FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 5.% MAT36241KXL7

Totals for 09/15/2013 1,448,699.65 74,165.51 1,522,865.16

31441 COMM 20,000,000.00 20,000,000.00GENERAL ELECTRICMIZUHORedemptionGE 1.875% MAT36962G4Q434378 COMM 25,000,000.00 25,000,000.00FHLB DISCOUNTUBS FINANCERedemptionFHDN DISC NOTE313385LU834521 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.04% MATSYS3452134522 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.03% MATSYS3452231441 COMM 187,500.00 187,500.00GENERAL ELECTRICMIZUHOInterestGE 1.875% MAT36962G4Q434521 COMM 333.33 333.33U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.04% MATSYS3452134522 COMM 250.00 250.00U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.03% MATSYS3452234525 COMM 150,000,000.00 -150,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.04% MATSYS3452534526 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.04% MATSYS3452634527 COMM 24,999,625.00 -24,999,625.00GENERAL ELECTRICGENERAL ELECTRICPurchaseGE DISC NOTE MAT36960LWR233784 COMM 16,500.00 16,500.00FFCB NOTESPIPER JAFFRAY &InterestFFCB 0.33% MAT3133EC5Q333787 COMM 16,500.00 16,500.00FFCB NOTESPIPER JAFFRAY &InterestFFCB 0.33% MAT3133EC5Q333835 COMM 54,600.00 54,600.00FFCB NOTESPIPER JAFFRAY &InterestFFCB 0.52% MAT3133EAHP634528 COMM 29,859,750.00 -29,859,750.00FNMA NOTESMIZUHOPurchaseFEDERAL NATL MTG3135G0VB6

Totals for 09/16/2013 304,859,375.00 245,000,000.00 275,683.33 -59,583,691.67

34525 COMM 150,000,000.00 150,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.04% MATSYS3452534526 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.04% MATSYS34526

Portfolio SCL2AP


56



TotalCashInterest

PrincipalPaydowns


34525 COMM 166.67 166.67U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.04% MATSYS3452534526 COMM 111.11 111.11U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.04% MATSYS3452634529 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.03% MATSYS3452934530 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.03% MATSYS3453034532 COMM 24,893,055.56 -24,893,055.56FHLMC NOTESDEUTSCHE BANKPurchaseFEDERAL HOME LN3137EADQ934533 COMM 24,793,364.58 -24,793,364.58FHLB NOTESDEUTSCHE BANKPurchaseFHLB 0.375% MAT3133834R9

Totals for 09/17/2013 249,686,420.14 250,000,000.00 277.78 313,857.64

34187 COMM 20,000,000.00 20,000,000.00TORONTOMERRILL LYNCHRedemptionTDNY 0.16% MAT89112WN4534212 COMM 25,000,000.00 25,000,000.00FHLB DISCOUNTPIPER JAFFRAY &RedemptionFHLB DISC NOTE313385LW434529 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.03% MATSYS3452934530 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.03% MATSYS3453034187 COMM 13,777.78 13,777.78TORONTOMERRILL LYNCHInterestTDNY 0.16% MAT89112WN4534529 COMM 83.33 83.33U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.03% MATSYS3452934530 COMM 83.33 83.33U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.03% MATSYS3453034534 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MATSYS3453434535 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.02% MATSYS34535

Totals for 09/18/2013 250,000,000.00 245,000,000.00 13,944.44 -4,986,055.56

34534 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MATSYS3453434535 COMM 125,000,000.00 125,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.02% MATSYS3453534534 COMM 69.44 69.44U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MATSYS3453434535 COMM 69.44 69.44U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.02% MATSYS3453534536 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3453634537 COMM 150,000,000.00 -150,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.02% MATSYS34537

Totals for 09/19/2013 275,000,000.00 250,000,000.00 138.88 -24,999,861.12

34514 COMM 50,000,000.00 50,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0WL634536 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3453634537 COMM 150,000,000.00 150,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.02% MATSYS3453734536 COMM 34.72 34.72U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3453634537 COMM 83.33 83.33U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.02% MATSYS3453734538 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.02% MATSYS3453834539 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MATSYS3453934540 COMM 49,999,305.56 -49,999,305.56U S BANKU S BANKPurchaseUSB DISC NOTE9033E0WW231149 COMM 2,119,519.37 2,119,519.37VOLKSWAGENCITIGROUP GLOBALRedemptionVALET 1.22% MAT92867DAC431149 COMM 223.63 223.63VOLKSWAGENCITIGROUP GLOBALCap G/LVALET 1.22% MAT92867DAC431149 COMM 11,415.75 11,415.75VOLKSWAGENCITIGROUP GLOBALInterestVALET 1.22% MAT92867DAC432251 COMM 448,537.02 448,537.02VOLKSWAGENCITIGROUP GLOBALRedemptionVALET 0.85% MAT92867GAC732251 COMM 5.20 5.20VOLKSWAGENCITIGROUP GLOBALCap G/LVALET 0.85% MAT92867GAC732251 COMM 9,916.66 9,916.66VOLKSWAGENCITIGROUP GLOBALInterestVALET 0.85% MAT92867GAC7

Portfolio SCL2AP


57



TotalCashInterest

PrincipalPaydowns


Totals for 09/20/2013 249,999,305.56 327,568,285.22 21,450.46 77,590,430.12

31053 COMM 135,000.00 135,000.00FNMA NOTESBNP PARIBASInterestFNMA 1.35% MAT31398A3R132303 COMM 22,500.00 22,500.00FHLMC NOTESUBS AMERICAInterestFHLMC 0.3% MAT3134G3NS534197 COMM 3,148.83 3,148.83HONDA AUTODEUTSCHE BANKInterestHAROT 0.35% MAT43814CAB5

Totals for 09/21/2013 160,648.83 160,648.83

31065 COMM 20,000,000.00 20,000,000.00FNMA NOTESCITICORPRedemptionFNMA 1.% MAT31398A2S031109 COMM 10,000,000.00 10,000,000.00FFCB NOTESJ P MORGAN-FDICRedemptionFFCB 0.98% MAT31331KET334459 COMM 25,000,000.00 25,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWP634538 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.02% MATSYS3453834539 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MATSYS3453931065 COMM 100,000.00 100,000.00FNMA NOTESCITICORPInterestFNMA 1.% MAT31398A2S031109 COMM 49,000.00 49,000.00FFCB NOTESJ P MORGAN-FDICInterestFFCB 0.98% MAT31331KET334538 COMM 166.67 166.67U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.02% MATSYS3453834539 COMM 166.67 166.67U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MATSYS3453934541 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.02% MATSYS3454134542 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MATSYS3454229930 COMM 218,750.00 218,750.00FNMA NOTESRBS Securities IncInterestFNMA 1.75% MAT3136FPGF834197 COMM 46,161.06 46,161.06HONDA AUTODEUTSCHE BANKRedemptionHAROT 0.35% MAT43814CAB534197 COMM 3.61 3.61HONDA AUTODEUTSCHE BANKCap G/LHAROT 0.35% MAT43814CAB534197 COMM 0.90 0.90HONDA AUTODEUTSCHE BANKInterestHAROT 0.35% MAT43814CAB534543 COMM 10,022,293.06 -10,022,293.06FHLMC NOTESBARCLAYS CAPITALPurchaseFEDERAL HOME LN3137EADS5

Totals for 09/23/2013 260,022,293.06 255,046,164.67 368,084.24 -4,608,044.15

34541 COMM 125,000,000.00 125,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.02% MATSYS3454134542 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MATSYS3454234541 COMM 69.44 69.44U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.02% MATSYS3454134542 COMM 69.44 69.44U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MATSYS3454234544 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3454434545 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.01% MATSYS34545

Totals for 09/24/2013 200,000,000.00 250,000,000.00 138.88 50,000,138.88

34527 COMM 25,000,000.00 25,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWR234544 COMM 100,000,000.00 100,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3454434545 COMM 100,000,000.00 100,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.01% MATSYS3454534544 COMM 27.78 27.78U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3454434545 COMM 27.78 27.78U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.01% MATSYS3454534546 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.02% MATSYS3454634547 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MATSYS3454734548 COMM 20,000,000.00 -20,000,000.00TORONTOROYAL BANK OFPurchaseTORDOM 0.14% MAT89112TLJ133610 COMM 30,000.00 30,000.00FFCB NOTESJEFFERIES & CO,InterestFFCB 0.4% MAT3133EAZ68

Portfolio SCL2AP


58



TotalCashInterest

PrincipalPaydowns


13725 CP 16.57 16.57FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31402VHF013725 CP 133.43 133.43FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31402VHF013728 CP 10.44 10.44FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31402VAT713728 CP 50.91 50.91FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31402VAT713729 CP 103.18 103.18FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31402DEK213729 CP 810.83 810.83FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31402DEK213732 CP 222.87 222.87FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31403V2Y413732 CP 836.19 836.19FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31403V2Y413726 CP 69.45 69.45FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405FJR413726 CP 246.39 246.39FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405FJR413722 CP 11.07 11.07FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31404WC7913722 CP 55.95 55.95FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31404WC7913723 CP 82.94 82.94FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405HA2413723 CP 802.64 802.64FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405HA2413730 CP 402.62 402.62FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31404WBY113730 CP 2,022.42 2,022.42FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31404WBY113724 CP 88.56 88.56FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405FKM313724 CP 262.84 262.84FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405FKM313731 CP 102.22 102.22FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405TLN013731 CP 537.32 537.32FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405TLN013727 CP 197.68 197.68FNMA 15 YR MBSJ P MORGAN-FDICInterestFN15 5.% MAT31405UEY113727 CP 846.63 846.63FNMA 15 YR MBSJ P MORGAN-FDICRedemptionFN15 5.% MAT31405UEY114625 CP 10.92 10.92FNMA 15 YR MBSLEHMAN BROTHERSInterestFN15 6.% MAT31402RJC414625 CP 290.26 290.26FNMA 15 YR MBSLEHMAN BROTHERSRedemptionFN15 6.% MAT31402RJC414626 CP 1,703.58 1,703.58FNMA 15 YR MBSLEHMAN BROTHERSInterestFN15 4.5% MAT31371MDH714626 CP 13,950.77 13,950.77FNMA 15 YR MBSLEHMAN BROTHERSRedemptionFN15 4.5% MAT31371MDH714624 CP 1,819.43 1,819.43FNMA 15 YR MBSLEHMAN BROTHERSInterestFN15 5.5% MAT31407RZ4914624 CP 5,630.81 5,630.81FNMA 15 YR MBSLEHMAN BROTHERSRedemptionFN15 5.5% MAT31407RZ4920754 CP 2,982.62 2,982.62FNMA 30 YR MBSBEAR STEARNSInterestFNCL 5.5% MAT31409BDG920754 CP 36,373.35 36,373.35FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 5.5% MAT31409BDG920755 CP 1,031.63 1,031.63FNMA 30 YR MBSBEAR STEARNSInterestFNCL 5.% MAT31410WDM720755 CP 9,801.44 9,801.44FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 5.% MAT31410WDM713678 CP 397.06 397.06FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.5% MAT31377Z3U413678 CP 353.70 353.70FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.5% MAT31377Z3U413677 CP 4.73 4.73FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.5% MAT31379YSC813677 CP 3.05 3.05FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.5% MAT31379YSC813675 CP 120.71 120.71FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.5% MAT31405EB6113675 CP 57.59 57.59FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.5% MAT31405EB6113676 CP 204.00 204.00FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.5% MAT31405SUJ113676 CP 80.50 80.50FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.5% MAT31405SUJ1

Portfolio SCL2AP


59



TotalCashInterest

PrincipalPaydowns


13695 CP 699.51 699.51FNMA 15 YR MBSLEHMAN BROTHERSInterestFGLMC 4.5% MAT31406E2D513695 CP 2,940.88 2,940.88FNMA 15 YR MBSLEHMAN BROTHERSRedemptionFGLMC 4.5% MAT31406E2D514585 CP 1,577.97 1,577.97FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 6.% MAT31402RDG114585 CP 15,190.36 15,190.36FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 6.% MAT31402RDG113696 CP 3,287.82 3,287.82FNMA 30 YR MBSLEHMAN BROTHERSInterestFNCL 5.5% MAT31406YGL813696 CP 39,412.76 39,412.76FNMA 30 YR MBSLEHMAN BROTHERSRedemptionFNCL 5.5% MAT31406YGL820678 CP 17.48 17.48FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31407FGG920678 CP 9.36 9.36FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31407FGG920679 CP 30.07 30.07FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31407G6Z620679 CP 15.81 15.81FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31407G6Z620682 CP 131.40 131.40FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31407MZK420682 CP 1,349.37 1,349.37FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31407MZK420680 CP 538.89 538.89FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31407YRS020680 CP 1,881.36 1,881.36FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31407YRS020681 CP 38.16 38.16FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31371MJ6520681 CP 23.51 23.51FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31371MJ6520683 CP 827.62 827.62FNMA 30 YR MBSBEAR STEARNSInterestFNCL 4.5% MAT31403CZL820683 CP 3,501.10 3,501.10FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 4.5% MAT31403CZL820676 CP 3,765.93 3,765.93FNMA 30 YR MBSBEAR STEARNSInterestFNCL 6.5% MAT31409HDV320676 CP 25,952.09 25,952.09FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 6.5% MAT31409HDV320675 CP 1,855.17 1,855.17FNMA 30 YR MBSBEAR STEARNSInterestFNCL 6.5% MAT31407JFT420675 CP 15,663.41 15,663.41FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 6.5% MAT31407JFT420677 CP 92.76 92.76FNMA 30 YR MBSBEAR STEARNSInterestFNCL 6.5% MAT31407JFT420677 CP 783.17 783.17FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 6.5% MAT31407JFT420674 CP 1,598.87 1,598.87FNMA 30 YR MBSBEAR STEARNSInterestFNCL 5.5% MAT31411WWN320674 CP 11,022.68 11,022.68FNMA 30 YR MBSBEAR STEARNSRedemptionFNCL 5.5% MAT31411WWN331514 CP 1,125.45 1,125.45FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 6.% MAT31410KH5631514 CP 6,888.69 6,888.69FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 6.% MAT31410KH5631516 CP 1,815.88 1,815.88FNMA 30 YR MBSCITIGROUP GLOBALInterestFNCL 4.5% MAT31416X5D831516 CP 10,702.64 10,702.64FNMA 30 YR MBSCITIGROUP GLOBALRedemptionFNCL 4.5% MAT31416X5D8

Totals for 09/25/2013 270,000,000.00 225,208,484.21 57,040.82 -44,734,474.97

34497 COMM 25,000,000.00 25,000,000.00GENERAL ELECTRICGENERAL ELECTRICRedemptionGE DISC NOTE MAT36960LWS034546 COMM 125,000,000.00 125,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.02% MATSYS3454634547 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MATSYS3454734546 COMM 69.44 69.44U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.02% MATSYS3454634547 COMM 69.44 69.44U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MATSYS3454734549 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.02% MATSYS3454934550 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.02% MATSYS3455032033 COMM 7,691,248.50 7,691,248.50CALIFORNIA STE.J. DE LA ROSA &RedemptionCASPOL 5.9% MAT130534XG032033 COMM -841,248.50 -841,248.50CALIFORNIA STE.J. DE LA ROSA &Cap G/LCASPOL 5.9% MAT130534XG0

Portfolio SCL2AP


60



TotalCashInterest

PrincipalPaydowns


32033 COMM 129,103.47 129,103.47CALIFORNIA STE.J. DE LA ROSA &InterestCASPOL 5.9% MAT130534XG034398 COMM 156,250.00 156,250.00FNMA NOTESGOLDMAN, SACHS &InterestFEDERAL NATL MTG3135G0VX834398 COMM 90,277.78 -90,277.78 0.00FNMA NOTESGOLDMAN, SACHS &Accr IntFEDERAL NATL MTG3135G0VX834414 COMM 156,250.00 156,250.00FNMA NOTESGOLDMAN, SACHS &InterestFEDERAL NATL MTG3135G0VX834414 COMM 96,354.17 -96,354.17 0.00FNMA NOTESGOLDMAN, SACHS &Accr IntFEDERAL NATL MTG3135G0VX8

Totals for 09/26/2013 250,000,000.00 282,036,631.95 255,110.40 32,291,742.35

33564 COMM 20,000,000.00 20,000,000.00FHLMC NOTESCITIGROUP GLOBALRedemptionFHLMC 4.125% MAT3137EABS734549 COMM 125,000,000.00 125,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.02% MATSYS3454934550 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.02% MATSYS3455033564 COMM 412,500.00 412,500.00FHLMC NOTESCITIGROUP GLOBALInterestFHLMC 4.125% MAT3137EABS734549 COMM 69.44 69.44U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.02% MATSYS3454934550 COMM 69.44 69.44U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.02% MATSYS3455034551 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.01% MATSYS3455134554 COMM 125,000,000.00 -125,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.01% MATSYS3455434555 COMM 24,935,954.86 -24,935,954.86FNMA NOTESUBS FINANCEPurchaseFEDERAL NATL MTG3135G0YE7

Totals for 09/27/2013 274,935,954.86 270,000,000.00 412,638.88 -4,523,315.98

33443 COMM 25,000.00 25,000.00FNMA NOTESUBS AMERICAInterestFNMA 0.5% MAT3135G0NV133722 COMM 50,000.00 50,000.00FNMA NOTESCITIGROUP GLOBALInterestFNMA 0.5% MAT3135G0NV1

Totals for 09/28/2013 75,000.00 75,000.00

8738 CT 52,796.65 -52,796.65VANGUARDVANGUARDPurchaseV 2.73%SYS873831032 COMM 25,000,000.00 25,000,000.00FNMA NOTESGLEACHER & RedemptionFNMA 1.125% MAT31398A2M334540 COMM 50,000,000.00 50,000,000.00U S BANKU S BANKRedemptionUSB DISC NOTE9033E0WW234551 COMM 125,000,000.00 125,000,000.00U.S. TREASURYDEUTSCHE BANKRedemptionUSTN 0.01% MATSYS3455134554 COMM 125,000,000.00 125,000,000.00U.S. TREASURYBARCLAYS CAPITALRedemptionUSTN 0.01% MATSYS3455431032 COMM 140,625.00 140,625.00FNMA NOTESGLEACHER & InterestFNMA 1.125% MAT31398A2M334551 COMM 104.17 104.17U.S. TREASURYDEUTSCHE BANKInterestUSTN 0.01% MATSYS3455134554 COMM 104.17 104.17U.S. TREASURYBARCLAYS CAPITALInterestUSTN 0.01% MATSYS3455434556 COMM 50,000,000.00 -50,000,000.00U.S. TREASURYDEUTSCHE BANKPurchaseUSTN 0.04% MATSYS3455634557 COMM 100,000,000.00 -100,000,000.00U.S. TREASURYBARCLAYS CAPITALPurchaseUSTN 0.06% MATSYS3455734558 COMM 49,999,513.89 -49,999,513.89U S BANKU S BANKPurchaseUSB DISC NOTE9033E0X7630099 COMM 9,985,300.00 9,985,300.00U S BANKMORGAN STANLEYRedemptionUSB 1.125% MAT91159HGZ730099 COMM 14,700.00 14,700.00U S BANKMORGAN STANLEYCap G/LUSB 1.125% MAT91159HGZ730099 COMM 46,875.00 46,875.00U S BANKMORGAN STANLEYInterestUSB 1.125% MAT91159HGZ732097 CP 8,312.50 8,312.50U.S. TREASURYBARCLAYS CAPITALInterestUSTN 1.75% MAT912828KJ834559 COMM 25,000,000.00 -25,000,000.00BANK OF NOVAUBS FINANCEPurchaseBNSHOU 0.25% MAT06417F5G134561 COMM 40,192,288.89 -40,192,288.89FFCB NOTESBARCLAYS CAPITALPurchaseFFCB 0.5% MAT3133EARQ334564 COMM 10,045,622.22 -10,045,622.22FNMA NOTESMERRILL LYNCHPurchaseFNMA 0.5% MAT3135G0LN133531 PCF 83,125.00 83,125.00U.S. TREASURYCITICORPInterestUSTN 2.375% MAT912828KT634560 COMM 20,000,000.00 -20,000,000.00FHLMC NOTESDEUTSCHE BANKPurchaseFEDERAL HOME LN3134G4GP7

Portfolio SCL2AP


61



TotalCashInterest

PrincipalPaydowns


33529 PCF 20,000.00 20,000.00U.S. TREASURYCITIGROUP GLOBALInterestUSTN 1.% MAT912828SM3

Totals for 09/30/2013 295,290,221.65 335,000,000.00 299,145.84 40,008,924.19

Grand Total 14,497,194,082. 15,026,457,964. 10,055,633.75 539,319,516.33

Portfolio SCL2AP


62

Date post:	05-Jul-2020
Category:	Documents
Upload:	others
View:	1 times
Download:	0 times

County of Santa Clara Finance Agency Administration · The Santa Clara County Treasury Investment...

Documents