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HomeMy Public PortalAbout2023-04-11 Item 5CITY OF MILLBRAE 621 MAGNOLIA AVE MILLBRAE, CA 94030 CITY COUNCIL AGENDA REPORT SUBJECT: Approve, by Motion the Quarterly Investments Schedule for the Second Quarter of Fiscal Year 2022- 2023 ATTACHMENTS: 1. Summary of Investments 2. Investment Performance Report from City's Portfolio Manager Report No. 4-! Li Agenda Item: For Agenda of: April 11, 2023 Department: Finance Originator: ' e S , Finance Director Approved: ` -_ Finance Rev' w: MS Budget Action: • Yes © No REPORT TYPE: ® ACTION ❑ INFORMATIONAL ITEM TYPE: ® CONSENT ❑ PUBLIC HEARING ❑ EXISTING BUSINESS ❑ NEW BUSINESS RECOMMENDATION: Staff recommends that the City Council approve, by motion, the quarterly investment schedule for the quarter ended December 31, 2022. BACKGROUND: The California Government Code (Code), Section 53600, requires regular reporting of investment balances to the City Council. The composition of investments must conform to the Council's most recent investment policy. Millbrae's practice is to review the investment policy annually. City's investments must be sufficiently liquid to meet cash flow needs for the next six months. The detailed investment schedules contained in the Investment Performance Report from the City's portfolio manager, PFM Asset Management LLC (PFM) in Attachment 2 meets applicable reporting requirements. The quarterly portfolio holdings as of December 31, 2022 total $78,307,647 (see Attachment 1). That includes funds managed by PFM as well as funds in the San Mateo County Investment Pool, the State Local Agency Investment Fund (LAIF), and the City's bank account at Tri Counties Bank. For Council's information, PFM's detailed report in Attachment 2 includes: • An economic update, • Comparative information on portfolio indexes, • Portfolio earnings, duration, sector, and issuer information • All quarterly transactions • The portfolio holdings itself • A glossary of terms Page 1 of 2 18421782.1 Quarterly Investment Report for the Second Quarter of Fiscal Year 2022-2023 Page 2 of 2 ---------- 18421782.1 All investments within the portfolio meet/met the California Government Code requirements for credit quality, maturity dates, and bond class percentages at the time of purchase. Investments are purchased based upon conformance with City policy, fit within a portfolio plan, and investment manager discretion. The overall portfolio currently yields an average of 2.71% while the longer-term portion of the portfolio managed by PFM also yields 1.88%. The portfolio is designed to provide safety through balance, diversification, credit worthiness, and volatility reduction; liquidity through short-term pools, holding marketable government securities, and investment laddering; and rate of return (yield) through trading governments, higher yielding corporate notes where safe, and higher yielding certificates of deposit. Market Environment: During the quarter interest rates (US 2-year Treasury) continued an upward trend and increased by approximately 19 basis points (0.19%). When interest rates increase, security prices decrease as new securities will pay investors higher interest rates than old ones. The City’s portfolio was impacted by the higher rates in the form of higher income. Overall, the yield (rate of return based on current market value, annual interest receipts, maturity value, and time period remaining until maturity) has increased from 0.75% to 2.71% since the same period last year. FISCAL IMPACT: There are no fiscal impacts from Council’s confirming this investment report. There are sufficient funds to meet the City of Millbrae’s cash flow needs for the next six months. COUNCIL ACTION: Approve, by motion, the quarterly investment schedule for the quarter ended December 31, 2022. ATTACHMENT 1 Par Original Amortized Market Yield at Value Cost Basis (2)Cost Basis (3)Value Cost % Category: Longer term Investments: Funds Managed by City's Outside Portfolio Manager, Public Financial Management (PFM) (1)$26,761,438 $26,477,989 $26,431,254 $25,101,338 1.88% Other:San Mateo County Investment Pool $7,811,572 N/A N/A $7,811,572 1.77% Shorter Term, Cash Equivalents:California Local Agency Investment Pool (LAIF)$4,286,497 N/A N/A $4,286,497 1.98% California Asset Management Program (CAMP)$37,710,393 N/A N/A $37,710,393 3.78% Tri Counties Bank $3,397,847 N/A N/A $3,397,847 0.30% Subtotal, Cash Equivalents:$45,394,737 $45,394,737 TOTAL Portfolio:$79,967,747 $78,307,647 2.71% Notes: (1)Held in trust in City's Name by third party bank. (2)Includes the amount of premiums and discounts at the time of purchase. Instruments are typically purchased on the secondary market and not at the par value, as the interest rates since the time of issuance will have changed the market value. Premiums must be paid when the stated interest rate of the debt instrument is above the then current market rate. Discounts apply when the stated interest rate of the debt instrument is below the then current market rate. At the time of purchase, then, premiums and discounts adjust the market price of a security to factor in the interest that will be paid over the life of the security, given the stated interest rate of the instrument in comparison to the interest rate in effect at the time of purchase on the secondary market. (3)This is an accounting treatment that factors in the unamortized portion of premiums and discounts at the time of the report. Accounting rules require that those premiums and discounts paid or given at purchase be "spread" over the life of the security. That is, the accounting value changes over the life of the security so that at maturity amortized cost will equal par value. Summary of City's Investments 12/31/2022 Page 1 of 1 Investment Performance Review For the Quarter Ended December 31, 2022 Client Management Team PFM Asset Management LLC Monique Spyke, Managing Director Wale Kajopaiye, Senior Managing Consultant 213 Market Street Harrisburg, PA 17101-2141 717-232-2723 1 California Street Ste. 1000 San Francisco, CA 94111-5411 415-393-7270 NOT FDIC INSURED : NO BANK GUARANTEE : MAY LOSE VALUE For Institutional Investor or Investment Professional Use Only - This material is not for inspection by, distribution to, or quotation to the general public CITY OF MILLBRAE ATTACHMENT 2 © PFM Asset Management LLC pfmam.com| •Market Update Account Summary• Portfolio Review• © PFM Asset Management LLC pfmam.com| Market Update PFM Asset Management LLC For the Quarter Ended March 31, 2022 California Affiliated Risk Management Authorities MarketUpdateCLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com The Year in Review Beginning in March, the Fed hiked rates by 425 basis points in 2022 •The 2-year treasury yield rose just 370 bps through 2022 Consumer spending remained resilient despite price pressures and extended credit levels Energy prices surged due to uncertainty, geopolitical conflict (war in Ukraine), and storage challenges 2022 saw an uncommon phenomenon of both stocks and bonds posting negative returns -19.4% -13.0% -5.3% 1.5% 6.7% -20% -15% -10% -5% 0% 5% 10% S&P 500 Barclays U.S. Bond Aggregate 1-5 Year Gov/Corp A or Better Cash Crude Oil 2022 Asset Class Returns Source: Bloomberg, as of 12/31/2022. CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|1 PFM Asset Management LLC For the Quarter Ended March 31, 2022 California Affiliated Risk Management Authorities MarketUpdateCLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com Current Market Themes ▸The U.S. economy is characterized by: ▹High inflation that shows signs of slowing ▹Continued strong labor market ▹Potentially declining health of U.S. household finances ▹Expectations for a modest yet broad economic downturn ▸The Federal Reserve is expected to wrap up their normalization process ▹Slowing pace of rate hikes ▹Fed projecting short-term fed funds rate to reach 5.00% to 5.25% by year- end, with markets expecting rate cuts in the second half of 2023 ▹Fed officials reaffirm that restoring price stability is the utmost priority, despite risks of overtightening ▸Volatile markets potentially calming ▹Treasury yields in the belly of the curve (3-7 years) ended the quarter slightly lower, while shorter and longer maturities ended higher ▹Yield curve inversion has deepened further since last quarter ▹While still elevated, volatility and liquidity challenges have begun subsiding CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|2 For the Quarter Ended March 31, 2022 California Affiliated Risk Management Authorities MarketUpdateCLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com Source: Bloomberg, as of 12/31/2022. Rates Remain Sensitive to Fed and Inflation The 2-year Treasury is commonly used to gauge market reactions and near-term policy expectations 3.75% 4.00% 4.25% 4.50% 4.75% 5.00% Oct-22 Nov-22 Dec-22 Jan-23 Hu n d r e d s 2-Year US Treasury Yield October 13th CPI Consumer prices rise more than expected, catalyzing uncertainty; +17 bps November 10th CPI The first tangible sign that inflation is slowing; -24 bps November 3rd Hawkish stance from the FOMC regarding higher rates; +10 bps November 30th Powell confirms that upcoming rate hikes will be smaller; -16 bps CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|3 PFM Asset Management LLC For the Quarter Ended March 31, 2022 California Affiliated Risk Management Authorities MarketUpdateCLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com Inflation Now Trending Lower Source: Bloomberg, as of December 2022. Lower energy and goods prices help to offset increases in wage-driven services costs Dec-22 6.5% -2% 0% 2% 4% 6% 8% 10% Jun-20 Sep-20 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Consumer Prices (CPI) Top-Line Contributions and Year-over-Year Reading Services (Ex Food & Energy)Goods (Ex Food & Energy)Food Energy Headline YoY% Bloomberg Forecasts Q1 ‘23 Q2 ‘23 Q3 ‘23 Dec-22 CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|4 PFM Asset Management LLC For the Quarter Ended March 31, 2022 California Affiliated Risk Management Authorities MarketUpdateCLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com Source: Federal Reserve and Bloomberg. Individual dots represent each Fed members’ judgement of the midpoint of the appropriate target range for the federal funds rate at each year-end. Fed’s “Dot Plot” Suggests Expectations for a Drawn Out Normalization of Policy 0% 1% 2% 3% 4% 5% 6% Fed Participants’ Assessments of ‘Appropriate’ Monetary Policy Dec-22 FOMC Projections Dec-22 Median Dec 2023 Longer TermDec 2024 Dec 2025 CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|5 For the Quarter Ended March 31, 2022 California Affiliated Risk Management Authorities MarketUpdate What Could the Fed’s Pivot Look Like? CLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com +25 +50 +75 +75 +75 +75 +50 +25 +25 -25 -25 -25 0% 1% 2% 3% 4% 5% 6% -50 -25 0 25 50 75 100 Jan-22 May-22 Jul-22 Nov-22 Feb-23 May-23 Jul-23 Nov-23 Jan-24 Ba s i s P o i n t C h a n g e FOMC Meeting Dates Changes to the Target Fed Funds Rate Actual Market Expectation FF Mid-Point (right axis) Source: Bloomberg WIRP Interest Rate Probability as of 1/9/2023. CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|6 PFM Asset Management LLC For the Quarter Ended March 31, 2022 California Affiliated Risk Management Authorities MarketUpdateCLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com Recession Gauge Flashing Yellow, but GDP Expected to Grow by End of Year Labor market Consumer Retail sales Manufacturing Inverted yield curve Recession Risk Rate hike cycle Inflation 1.1% 0.1% -0.6% 0.0% 0.9% 1.5% 1.8% -2.0% -1.5% -1.0% -0.5% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% Q4 '22 Q1 '23 Q2 '23 Q3 '23 Q4 '23 Q1 '24 Q2 '24 U.S. GDP Forecasts Annualized Rate Range Median of Forecasts Source: Bloomberg, Economist Forecasts. Recession risk based on most recent economic data as of 1/9/2023. Housing CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|7 PFM Asset Management LLC For the Quarter Ended June 30, 2022 California Affiliated Risk Management Authorities MarketUpdateCLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com Yield Curve Inversion Deepens 4Q2022 12/31/22 3Q2022 09/30/22 QoQ Change 3-month 4.34% 3.25%+1.10% 1-year 4.69% 3.93%+0.75% 2-year 4.43% 4.28%+0.15% 3-year 4.22% 4.29%-0.06% 5-year 4.00% 4.09%-0.09% 10-year 3.87% 3.83%+0.05% 30-year 3.96% 3.78%+0.19% 0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 3 M 1 Y 2 Y 3 Y 4 Y 5 Y 10 Y 30 Y Maturity U.S. Treasury Yield Curve December 31, 2022 September 30, 2022 December 31, 2021 Source: Bloomberg, as of December 2022. Treasury yield in the belly of the curve ended the quarter slightly lower, while shorter and longer maturities ended higher CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|8 PFM Asset Management LLC For the Quarter Ended March 31, 2022 California Affiliated Risk Management Authorities MarketUpdateCLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com Higher Yields Can Offset Some of the Price Depreciation Woes Source: ICE BofAML Indices via Bloomberg, as of 12/31/2022. PFMAM Calculations. Income return represents the yield of the benchmark index, as of the end of the prior calendar year, respective to the year of performance shown. 4.34% 4.75% 4.22% 4.00%3.97% 3.87% 2.5% 3.0% 3.5% 4.0% 4.5% 5.0% 5.5% Yi e l d U.S. Treasury Yield Curve December 31, 2022 September 30, 2022 3mo 2yr 5yr 7yr 10yr 2023 Starting Yield: 4.33% -8% -6% -4% -2% 0% 2% 4% 6% 8% 10% 20 0 0 20 0 2 20 0 4 20 0 6 20 0 8 20 1 0 20 1 2 20 1 4 20 1 6 20 1 8 20 2 0 20 2 2 Annual Price & Income Returns 1-5 Year Treasury Index Income Return Price Return Total Return CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|9 PFM Asset Management LLC For the Quarter Ended March 31, 2022 California Affiliated Risk Management Authorities MarketUpdateCLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com Sector Yield Spreads Source: ICE BofAML 1-5 year Indices via Bloomberg, MarketAxess and PFMAM as of 12/31/2022. Spreads on ABS and MBS are option-adjusted spreads of 0-5 year indices based on weighted average life; spreads on agencies are relative to comparable maturity Treasuries. CMBS is Commercial Mortgage-Backed Securities. -0.3% -0.2% -0.1% 0.0% 0.1% 0.2% 0.3% 0.4% 0.5% 0.6% Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Federal Agency Yield Spreads Bullet Callable 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Corporate Notes A-AAA Yield Spreads 0.0% 0.5% 1.0% 1.5% 2.0% Sep-21 Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Mortgage-Backed Securities Yield Spreads Agency MBS AAA CMBS Index 0.0% 0.4% 0.8% 1.2% 1.6% Dec-21 Mar-22 Jun-22 Sep-22 Dec-22 Asset-Backed Securities AAA Yield Spreads CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|10 PFM Asset Management LLC For the Quarter Ended March 31, 2022 California Affiliated Risk Management Authorities MarketUpdateCLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com Source: ICE BofAML Indices. ABS indices are 0-5 year, based on weighted average life. As of 12/31/2022. Right Chart: Generic US Treasury securities via Bloomberg, change in yield from 9/30/2022 to 12/31/2022. Fixed-Income Markets in Q4 2022 0.95% 0.87% 0.78% 1.73% 2.18% 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% U. S . T r e a s u r y Ag e n c y AB S Co r p A - A A A Co r p B B B 1-5 Year Indices Quarterly Returns 1.10% 0.85% 0.15% -0.09% 0.05% -0.20% 0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 3-Month 6-Month 2-Year 5-Year 10-Year Change in U.S. Treasury Yield September 30, 2022 – December 31, 2022 CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|11 PFM Asset Management LLC For the Quarter Ended March 31, 2022 California Affiliated Risk Management Authorities MarketUpdateCLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com Fixed-Income Sector Commentary – 4Q 2022 ▸U.S. Treasury yields settled into a wide range after surging for the first three quarters of the year. The result of more stable yields was generally positive returns for the quarter. ▸Federal agency bullet spreads finally broke single digits and climbed to the widest levels in the past 12 months for certain maturities. Callable structures were attractive early in the quarter as new issues came to market at wide levels on the heels of historically high bond volatility. ▸Supranational issuance fell notably short of expectations in Q4 limiting new investment opportunities. Liquidity was better than that of federal agencies, which provided some ability to swap into other sectors which were more attractive. ▸Investment-Grade Corporate yield spreads fluctuated in Q4 underscoring the historic levels of volatility experienced throughout the year. After reaching post-pandemic wides in late October, credit spreads reversed, ending the quarter modestly tighter. The sector generated strong excess returns in Q4 and buoyed portfolio returns relative to benchmarks. ▸Asset-Backed yield spreads lagged the narrowing move in the corporate sector for much of Q4 but rallied into year end, ending the quarter only modestly wider than where they began. ABS and IG corporate spreads diverged markedly in November, growing to the widest margin since 2020 and leading to a year- end rally which brought performance just shy of matched-duration U.S. Treasuries. ▸Mortgage-Backed Securities reversed course in Q4 after the dreadful negative returns for the first three quarters of 2022. Although still negative for the year, excess returns on MBS were near top-of-class amongst investment-grade options in Q4. ▸Taxable Municipal issuance remained underwhelming as deals were heavily oversubscribed, dragging spreads lower, while secondary inventory at attractive levels was sparse. ▸The short-term credit (commercial paper and CDs) yield curve was notably steep throughout the quarter as the market priced the expectation for further Fed rate increases. The aggressive pace of those rate hikes created valuable opportunities in floating-rate securities. CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|12 PFM Asset Management LLC For the Quarter Ended March 31, 2022 California Affiliated Risk Management Authorities MarketUpdateCLIENT NAME For the Quarter Ended December 31, 2022 MarketUpdate © PFM Asset Management LLC |pfmam.com Fixed-Income Sector Outlook – 1Q 2023 Negative Slightly Negative Neutral Slightly Positive PositiveCurrent outlook Outlook one quarter ago Sector Our Investment Preferences C O M M E R C I A L P AP E R / C D T R E AS U R I E S T-Bill T-Note F E D E R A L AG E N C I E S Bullets Callables S U P R A N A T I O N A L S C O R P O R AT E S Financials Industrials S E C U R I T I Z E D Asset-Backed Agency Mortgage-Backed Agency CMBS M U N I C I P A L S CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Market Update © PFM Asset Management LLC pfmam.com|13 © PFM Asset Management LLC pfmam.com| Account Summary © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Account Summary | Account Summary Yield at market, yield on cost, and portfolio duration only include investments held within the separately managed account(s), excludes balances invested in overnight funds.1. CITY OF MILLBRAE GENERAL FUNDS Portfolio Values December 31, 2022 PFMAM Managed Account $24,973,389 Amortized Cost $26,405,475 Market Value $24,973,389 Accrued Interest $102,170 Cash $25,779 Analytics¹December 31, 2022 Yield at Market 4.43% Yield on Cost 1.88% Portfolio Duration 2.32 15 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Account Summary | 1.4% 17.9% 1.7% 3.2% 1.9% 0.7% 16.4% 56.9% 0.0%20.0%40.0%60.0%80.0%100.0% ABS - $345,510 Corporate - $4,487,619 Negotiable CD - $421,416 Municipal - $800,763 Supranational - $471,367 Agency CMBS - $181,110 Federal Agency - $4,106,340 U.S. Treasury - $14,261,433 Portfolio Allocation Sector Limit for Analysis* Sector Allocation Analytics For informational/analytical purposes only and is not provided for compliance assurance. Includes accrued interest. *Sector Limit for Analysis is as derived from our interpretation of your most recent Investment Policy as provided. 16 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Compliance | Note: Pre- and post-trade compliance for the account(s) managed by PFM Asset Management is provided via Bloomberg Asset and Investment Management ("AIM"). Certificate of Compliance During the reporting period for the quarter ended December 31, 2022, the account(s) managed by PFM Asset Management ("PFMAM") were in compliance with the applicable investment policy and guidelines as furnished to PFMAM. Acknowledged :PFM Asset Management LLC 17 © PFM Asset Management LLC pfmam.com| Portfolio Review: CITY OF MILLBRAE GENERAL FUNDS © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Snapshot | Yield and duration calculations exclude cash and cash equivalents. Sector allocation includes market values and accrued interest. The portfolio’s benchmark is the ICE BofAML 1-5 Year U.S. Treasury Index. Source: Bloomberg. An average of each security’s credit rating was assigned a numeric value and adjusted for its relative weighting in the portfolio. 1. Portfolio Snapshot - CITY OF MILLBRAE GENERAL FUNDS¹ Credit Quality - S&P 19%21% 32% 21% 8%5% 35% 27% 22% 11% 0% 10% 20% 30% 40% 0-1 Yr 1-2 Yrs 2-3 Yrs 3-4 Yrs 4-5 Yrs Portfolio Benchmark Duration Distribution U.S. Treasury | 57% Corporate | 18% Federal Agency | 16% Municipal | 3% Supranational | 2% Negotiable CD | 2% ABS | 1% Agency CMBS | 1% Sector Allocation AAA | 4% AA+ | 76% AA | 4% AA- | 2% A+ | 6% A | 3% A- | 3% BBB+ | 2% A-2 | 1% Not Rated | <1% Portfolio Statistics Portfolio Effective Duration 2.32 years Benchmark Effective Duration 2.48 years Portfolio Credit Quality AA Yield At Market 4.43% Yield At Cost 1.88% Total Market Value $25,101,337.67 $24,973,388.96Securities Sub-Total $25,779.04Cash $102,169.67Accrued Interest 19 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Characteristics | $0.0 $5.2 $10.4 $15.6 $20.8 $26.0 M i l l i o n s December 2022 $0.0 $5.2 $10.4 $15.6 $20.8 $26.0 M i l l i o n s September 2022 $0.0 $5.2 $10.4 $15.6 $20.8 $26.0 M i l l i o n s June 2022 $0.0 $5.2 $10.4 $15.6 $20.8 $26.0 M i l l i o n s March 2022 Sector Allocation Review - CITY OF MILLBRAE GENERAL FUNDS U.S. Treasury Federal Agency Agency CMBS Supranational Municipal Negotiable CD Commercial Paper Corporate ABS Market values, excluding accrued interest. Only includes fixed-income securities held within the separately managed account(s) and LGIPs managed by PFMAM. Detail may not add to total due to rounding. Mar-22 % of TotalSecurity Type Jun-22 % of Total Sep-22 % of Total % of TotalDec-22 U.S. Treasury $9.1 41.6%$13.5 53.6%$13.8 55.9%$14.2 56.9% Federal Agency $4.7 21.6%$4.7 18.5%$4.4 17.9%$4.1 16.4% Agency CMBS $0.4 2.0%$0.3 1.2%$0.2 0.8%$0.2 0.7% Supranational $0.5 2.2%$0.5 1.9%$0.5 1.9%$0.5 1.9% Municipal $0.8 3.8%$0.8 3.2%$0.8 3.2%$0.8 3.2% Negotiable CD $1.4 6.3%$0.7 2.9%$0.4 1.7%$0.4 1.7% Commercial Paper $0.2 0.9%$0.0 0.0%$0.0 0.0%$0.0 0.0% Corporate $4.2 19.4%$4.3 17.1%$4.2 17.1%$4.5 17.8% ABS $0.5 2.2%$0.4 1.6%$0.4 1.5%$0.3 1.4% Total $21.8 100.0%$25.2 100.0%$24.7 100.0%$25.0 100.0% 20 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Activity | Portfolio Activity - CITY OF MILLBRAE GENERAL FUNDS Net Activity by Sector ($ millions) Federal Agency ABS Agency CMBS Negotiable CD Corporate U.S. Treasury Federal Agency ABS Agency CMBS Negotiable CD Corporate U.S. Treasury ($0.4) ($0.2) $0.0 $0.2 $0.4 $0.6 $0.8 Based on total proceeds (principal and accrued interest) of buys, sells, maturities, and principal paydowns. Detail may not add to total due to rounding. Sector Net Activity U.S. Treasury $286,938 Corporate $223,345 Negotiable CD ($941) Agency CMBS ($14,128) ABS ($20,694) Federal Agency ($342,044) $132,476Total Net Activity Sales/Maturities Purchases 21 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Performance | Performance inception date is December 31, 2014.1. Interest earned calculated as the ending accrued interest less beginning accrued interest, plus net interest activity.2. Returns for periods one year or less are presented on a periodic basis. Returns for periods greater than one year are presented on an annualized basis.3. The portfolio’s first benchmark is the ICE BofAML 1-5 Year U.S. Treasury Index. Source: Bloomberg.4. The portfolio’s second benchmark is the ICE BofAML 1-5 Year U.S. Government/Corp A or Better, U.S. issuers only Index. Source: Bloomberg.5. -6.0% -4.0% -2.0% 0.0% 2.0% Re t u r n Portfolio Benchmark Benchmark 2 Portfolio Performance Market Value Basis Earnings 3 Months 1 Year 3 Years 5 Years Since Inception¹ Interest Earned²$99,333 $350,275 $1,166,850 $2,092,999 $3,010,744 Change in Market Value $131,884 ($1,463,531) ($1,493,586) ($1,121,990)($1,442,079) $231,217Total Dollar Return -$1,113,256 -$326,736 $971,009 $1,568,665 Total Return³ Portfolio 0.93%-4.85%-0.48%0.94%1.03% Benchmark⁴0.95%-5.25%-0.77%0.66%0.75% Benchmark 2⁵1.03%-5.30%-0.74%0.72%0.84% 3 Months 1 Year 3 Years 5 Years Since Inception 22 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Performance | The lesser of 10 years or since inception is shown. Performance inception date is December 31, 2014.1. Interest earned calculated as the ending accrued interest less beginning accrued interest, plus net interest activity.2. Realized gains / (losses) are shown on an amortized cost basis.3. Accrual Basis Earnings - CITY OF MILLBRAE GENERAL FUNDS Accrual Basis Earnings Interest Earned² Realized Gains / (Losses)³ Change in Amortized Cost Total Earnings 3 Months $99,333 ($15,572) $17,503 $101,264 1 Year $350,275 ($19,189) $32,894 $363,980 3 Years $1,166,850 $250,661 $1,381 $1,418,893 5 Year $2,092,999 $127,749 $24,829 $2,245,577 Since Inception¹ $3,010,744 $153,233 ($174,849) $2,989,128 23 © PFM Asset Management LLC pfmam.com| Portfolio Holdings and Transactions: CITY OF MILLBRAE GENERAL FUNDS © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Account Summary | Ratings shown are calculated by assigning a numeral value to each security rating, then calculating a weighted average rating for each security type / issuer category using all available security ratings, excluding Not-Rated (NR) ratings. For security type / issuer categories where a rating from the applicable NRSRO is not available, a rating of NR is assigned. Includes accrued interest and excludes balances invested in overnight funds. Issuer Diversification Market Value (%)S&P / Moody's / FitchSecurity Type / Issuer 56.9%U.S. Treasury UNITED STATES TREASURY 56.9% AA / Aaa / AAA 16.4%Federal Agency FANNIE MAE 11.4% AA / Aaa / AAA FEDERAL FARM CREDIT BANKS 1.0%AA / Aaa / AAA FEDERAL HOME LOAN BANKS 2.0%AA / Aaa / NR FREDDIE MAC 1.9%AA / Aaa / AAA 0.7%Agency CMBS FANNIE MAE 0.3% AA / Aaa / AAA FREDDIE MAC 0.4% AA / Aaa / AAA 1.9%Supranational INTER-AMERICAN DEVELOPMENT BANK 1.2% AAA / Aaa / AAA INTL BANK OF RECONSTRUCTION AND DEV 0.7% AAA / Aaa / AAA 3.2%Municipal FLORIDA STATE BOARD OF ADMIN FIN CORP 0.6% AA / Aa / AA LOS ANGELES COMMUNITY COLLEGE DISTRICT 0.3% AA / Aaa / NR NEW JERSEY TURNPIKE AUTHORITY 0.2% AA / A / A OREGON DEPARTMENT OF TRANSPORTATION 0.6% AAA / Aa / AA STATE OF CALIFORNIA 0.8% AA / Aa / AA STATE OF MISSISSIPPI 0.7%AA / Aa / AA 1.7%Negotiable CD CREDIT SUISSE GROUP RK 0.7%BBB / A / BBB TORONTO-DOMINION BANK 1.0%A / A / NR 17.9%Corporate ADOBE INC 1.0% A / A / NR AMAZON.COM INC 1.2% AA / A / AA APPLE INC 1.2% AA / Aaa / NR Market Value (%)S&P / Moody's / FitchSecurity Type / Issuer 17.9%Corporate BANK OF AMERICA CO 1.3%A / A / AA BRISTOL-MYERS SQUIBB CO 0.3%A / A / NR CITIGROUP INC 0.4%BBB / A / A DEERE & COMPANY 0.6%A / A / A GOLDMAN SACHS GROUP INC 0.6%BBB / A / A JP MORGAN CHASE & CO 1.1%A / A / AA MASTERCARD INC 1.5%A / Aa / NR MORGAN STANLEY 0.4%A / A / A NOVARTIS AG 1.2%AA / A / AA PFIZER INC 1.4%A / A / A TARGET CORP 0.6%A / A / A THE BANK OF NEW YORK MELLON CORPORATION 0.8%A / A / AA THE WALT DISNEY CORPORATION 0.8%BBB / A / A TOYOTA MOTOR CORP 0.6%A / A / A US BANCORP 1.4%A / A / A WAL-MART STORES INC 1.4%AA / Aa / AA 1.4%ABS CARMAX AUTO OWNER TRUST 0.4% AAA / NR / AAA DISCOVER FINANCIAL SERVICES 0.2%AAA / Aaa / NR HONDA AUTO RECEIVABLES 0.2%NR / Aaa / AAA HYUNDAI AUTO RECEIVABLES 0.3% AAA / NR / AAA TOYOTA MOTOR CORP 0.3%AAA / Aaa / NR 100.0%Total 25 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Composition | Issuer Distribution As of December 31, 2022 Issuer Market Value ($)% of Portfolio UNITED STATES TREASURY 14,208,884 56.91% FANNIE MAE 2,932,645 11.75% FREDDIE MAC 591,750 2.37% FEDERAL HOME LOAN BANKS 512,316 2.05% MASTERCARD INC 373,607 1.50% US BANCORP 349,174 1.40% PFIZER INC 342,695 1.37% WAL-MART STORES INC 339,718 1.36% BANK OF AMERICA CO 320,412 1.28% AMAZON.COM INC 310,758 1.24% INTER-AMERICAN DEVELOPMENT BANK 307,502 1.23% NOVARTIS AG 306,958 1.23% APPLE INC 288,066 1.15% JP MORGAN CHASE & CO 272,890 1.09% TORONTO-DOMINION BANK 249,894 1.00% ADOBE INC 246,026 0.99% FEDERAL FARM CREDIT BANKS 241,854 0.97% TOYOTA MOTOR CORP 231,270 0.93% STATE OF CALIFORNIA 206,277 0.83% THE WALT DISNEY CORPORATION 204,927 0.82% THE BANK OF NEW YORK MELLON CORPORATION 201,998 0.81% STATE OF MISSISSIPPI 184,592 0.74% CREDIT SUISSE GROUP RK 168,359 0.67% INTL BANK OF RECONSTRUCTION AND DEV 163,372 0.65% 26 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Composition | Issuer Market Value ($)% of Portfolio DEERE & COMPANY 158,850 0.64% FLORIDA STATE BOARD OF ADMIN FIN CORP 150,807 0.60% TARGET CORP 149,664 0.60% GOLDMAN SACHS GROUP INC 144,825 0.58% OREGON DEPARTMENT OF TRANSPORTATION 138,512 0.55% MORGAN STANLEY 108,368 0.43% CITIGROUP INC 107,565 0.43% CARMAX AUTO OWNER TRUST 89,967 0.36% HYUNDAI AUTO RECEIVABLES 78,360 0.31% LOS ANGELES COMMUNITY COLLEGE DISTRICT 77,137 0.31% BRISTOL-MYERS SQUIBB CO 71,821 0.29% DISCOVER FINANCIAL SERVICES 60,500 0.24% HONDA AUTO RECEIVABLES 40,737 0.16% NEW JERSEY TURNPIKE AUTHORITY 40,336 0.16% 24,973,389Grand Total 100.00% 27 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Holdings | Managed Account Detail of Securities Held Security Type/Description Dated Date/Coupon/Maturity CUSIP Par S&P Rating Moody's Rating Settle Date Original Cost Trade Date YTM at Cost Accrued Interest Market Value Amortized Cost U.S. Treasury US TREASURY NOTES DTD 10/01/2018 2.875% 09/30/2023 9128285D8 210,000.00 AA+ Aaa 5/1/2019 5/3/2019 215,520.70 2.25 1,542.55 207,309.38210,932.11 US TREASURY NOTES DTD 11/15/2013 2.750% 11/15/2023 912828WE6 660,000.00 AA+ Aaa 3/6/2019 3/8/2019 666,677.34 2.52 2,356.49 648,656.25661,239.58 US TREASURY NOTES DTD 11/30/2016 2.125% 11/30/2023 912828U57 770,000.00 AA+ Aaa 1/7/2019 1/9/2019 756,224.22 2.52 1,438.46 752,193.75767,431.50 US TREASURY NOTES DTD 02/28/2019 2.375% 02/29/2024 9128286G0 253,000.00 AA+ Aaa 8/11/2021 8/12/2021 266,035.43 0.35 2,041.65 246,398.27258,936.65 US TREASURY N/B NOTES DTD 05/31/2022 2.500% 05/31/2024 91282CER8 910,000.00 AA+ Aaa 6/21/2022 6/22/2022 898,127.34 3.20 2,000.00 882,557.86901,359.25 US TREASURY NOTES DTD 07/31/2017 2.125% 07/31/2024 9128282N9 450,000.00 AA+ Aaa 8/1/2019 8/6/2019 457,189.45 1.79 4,001.70 432,843.75452,278.04 US TREASURY NOTES DTD 10/02/2017 2.125% 09/30/2024 9128282Y5 290,000.00 AA+ Aaa 10/1/2019 10/3/2019 298,666.01 1.50 1,574.48 278,173.45293,031.20 US TREASURY NOTES DTD 10/31/2017 2.250% 10/31/2024 9128283D0 70,000.00 AA+ Aaa 11/1/2019 11/5/2019 72,288.67 1.57 269.75 67,210.9370,840.35 US TREASURY NOTES DTD 11/30/2017 2.125% 11/30/2024 9128283J7 50,000.00 AA+ Aaa 12/2/2019 12/4/2019 51,027.34 1.69 93.41 47,851.5650,393.92 US TREASURY NOTES DTD 11/30/2017 2.125% 11/30/2024 9128283J7 480,000.00 AA+ Aaa 1/3/2020 1/7/2020 491,118.75 1.63 896.70 459,374.98484,344.33 US TREASURY NOTES DTD 01/31/2018 2.500% 01/31/2025 9128283V0 240,000.00 AA+ Aaa 2/3/2020 2/5/2020 253,265.63 1.35 2,510.87 230,737.49245,540.69 US TREASURY NOTES DTD 02/17/2015 2.000% 02/15/2025 912828J27 290,000.00 AA+ Aaa 3/2/2020 3/4/2020 306,074.61 0.85 2,190.76 275,907.80296,895.47 US TREASURY N/B NOTES DTD 05/15/2022 2.750% 05/15/2025 91282CEQ0 910,000.00 AA+ Aaa 6/21/2022 6/22/2022 894,679.30 3.36 3,249.10 877,012.50897,474.10 US TREASURY NOTES DTD 08/31/2020 0.250% 08/31/2025 91282CAJ0 640,000.00 AA+ Aaa 8/2/2021 8/6/2021 632,850.00 0.53 543.65 575,299.97635,318.34 US TREASURY NOTES DTD 09/30/2020 0.250% 09/30/2025 91282CAM3 395,000.00 AA+ Aaa 9/7/2021 9/9/2021 388,365.23 0.67 252.30 354,574.20390,509.67 28 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Holdings | Security Type/Description Dated Date/Coupon/Maturity CUSIP Par S&P Rating Moody's Rating Settle Date Original Cost Trade Date YTM at Cost Accrued Interest Market Value Amortized Cost U.S. Treasury US TREASURY NOTES DTD 10/31/2020 0.250% 10/31/2025 91282CAT8 300,000.00 AA+ Aaa 10/4/2021 10/6/2021 293,648.44 0.78 128.45 268,218.75295,580.41 US TREASURY NOTES DTD 11/30/2020 0.375% 11/30/2025 91282CAZ4 415,000.00 AA+ Aaa 11/2/2021 11/3/2021 404,446.68 1.01 136.81 371,165.63407,453.81 US TREASURY NOTES DTD 12/31/2020 0.375% 12/31/2025 91282CBC4 515,000.00 AA+ Aaa 4/5/2021 4/7/2021 502,788.87 0.89 5.33 459,959.38507,266.52 US TREASURY NOTES DTD 01/31/2021 0.375% 01/31/2026 91282CBH3 550,000.00 AA+ Aaa 7/2/2021 7/7/2021 539,429.69 0.80 863.11 489,156.25542,868.68 US TREASURY NOTES DTD 01/31/2021 0.375% 01/31/2026 91282CBH3 255,000.00 AA+ Aaa 5/3/2022 5/4/2022 231,890.63 2.95 400.17 226,790.63235,978.69 US TREASURY NOTES DTD 01/31/2019 2.625% 01/31/2026 9128286A3 555,000.00 AA+ Aaa 2/2/2021 2/4/2021 614,900.98 0.44 6,096.71 530,285.18592,018.94 US TREASURY NOTES DTD 01/31/2021 0.375% 01/31/2026 91282CBH3 300,000.00 AA+ Aaa 2/26/2021 2/26/2021 293,789.06 0.80 470.79 266,812.50296,114.71 US TREASURY NOTES DTD 01/31/2021 0.375% 01/31/2026 91282CBH3 380,000.00 AA+ Aaa 2/17/2022 2/18/2022 358,639.84 1.86 596.33 337,962.50363,332.27 US TREASURY NOTES DTD 01/31/2021 0.375% 01/31/2026 91282CBH3 400,000.00 AA+ Aaa 1/4/2022 1/6/2022 385,812.50 1.27 627.72 355,750.00389,249.58 US TREASURY NOTES DTD 02/28/2021 0.500% 02/28/2026 91282CBQ3 330,000.00 AA+ Aaa 12/3/2021 12/7/2021 321,105.47 1.15 560.64 293,957.80323,352.15 US TREASURY N/B NOTES DTD 05/31/2021 0.750% 05/31/2026 91282CCF6 510,000.00 AA+ Aaa 6/6/2022 6/8/2022 467,407.03 2.99 336.26 454,776.59473,474.99 US TREASURY N/B NOTES DTD 05/31/2021 0.750% 05/31/2026 91282CCF6 415,000.00 AA+ Aaa 6/2/2021 6/4/2021 414,092.19 0.79 273.63 370,063.30414,379.18 US TREASURY N/B NOTES DTD 05/31/2021 0.750% 05/31/2026 91282CCF6 995,000.00 AA+ Aaa 6/21/2022 6/22/2022 897,754.30 3.42 656.04 887,260.21910,796.98 US TREASURY N/B NOTES DTD 09/30/2021 0.875% 09/30/2026 91282CCZ2 335,000.00 AA+ Aaa 4/5/2022 4/7/2022 308,448.63 2.77 748.92 297,417.19312,811.68 US TREASURY NOTES DTD 02/15/2017 2.250% 02/15/2027 912828V98 400,000.00 AA+ Aaa 7/5/2022 7/7/2022 389,656.25 2.85 3,399.46 372,000.00390,749.59 US TREASURY N/B NOTES DTD 04/30/2020 0.500% 04/30/2027 912828ZN3 690,000.00 AA+ Aaa 8/3/2022 8/5/2022 616,687.50 2.92 590.88 593,939.03623,005.35 US TREASURY NOTES DTD 08/15/2017 2.250% 08/15/2027 9128282R0 730,000.00 AA+ Aaa 9/1/2022 9/6/2022 692,102.73 3.40 6,204.01 675,135.97694,560.59 29 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Holdings | Security Type/Description Dated Date/Coupon/Maturity CUSIP Par S&P Rating Moody's Rating Settle Date Original Cost Trade Date YTM at Cost Accrued Interest Market Value Amortized Cost U.S. Treasury US TREASURY N/B NOTES DTD 09/30/2022 4.125% 09/30/2027 91282CFM8 320,000.00 AA+ Aaa 11/1/2022 11/3/2022 317,912.50 4.27 3,372.53 321,100.00317,981.23 US TREASURY N/B NOTES DTD 10/31/2022 4.125% 10/31/2027 91282CFU0 300,000.00 AA+ Aaa 12/6/2022 12/8/2022 304,171.88 3.81 2,119.48 301,031.25304,115.88 15,313,000.00 15,002,795.19 52,549.14 14,208,884.30Security Type Sub-Total 2.12 15,011,616.43 Supranational INTL BK RECON & DEVELOP NOTES DTD 11/24/2020 0.250% 11/24/2023 459058JM6 170,000.00 AAA Aaa 11/17/2020 11/24/2020 169,634.50 0.32 43.68 163,371.87169,890.85 INTER-AMERICAN DEVEL BK NOTES DTD 09/23/2021 0.500% 09/23/2024 4581X0DZ8 330,000.00 AAA Aaa 9/15/2021 9/23/2021 329,755.80 0.52 449.17 307,502.25329,859.41 500,000.00 499,390.30 492.85 470,874.12Security Type Sub-Total 0.45 499,750.26 Negotiable CD CREDIT SUISSE NEW YORK CERT DEPOS DTD 03/23/2021 0.590% 03/17/2023 22552G3C2 170,000.00 A-2 P-2 3/19/2021 3/23/2021 170,000.00 0.59 807.97 168,358.82170,000.00 TORONTO DOMINION BANK NY CERT DEPOS DTD 10/31/2022 5.470% 10/25/2024 89115B6F2 250,000.00 A A1 10/27/2022 10/31/2022 250,000.00 5.44 2,355.14 249,894.43250,000.00 420,000.00 420,000.00 3,163.11 418,253.25Security Type Sub-Total 3.49 420,000.00 Municipal CA ST TXBL GO BONDS DTD 10/24/2019 2.400% 10/01/2023 13063DRJ9 210,000.00 AA- Aa2 10/16/2019 10/24/2019 214,202.10 1.87 1,260.00 206,276.70210,797.76 MS ST TXBL GO BONDS DTD 08/06/2020 0.565% 11/01/2024 605581MZ7 200,000.00 AA Aa2 7/24/2020 8/6/2020 200,000.00 0.57 188.33 184,592.00200,000.00 OR ST DEPT TRANS TXBL REV BONDS DTD 09/17/2020 0.566% 11/15/2024 68607DVA0 150,000.00 AAA Aa1 9/11/2020 9/17/2020 150,000.00 0.57 108.48 138,511.50150,000.00 30 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Holdings | Security Type/Description Dated Date/Coupon/Maturity CUSIP Par S&P Rating Moody's Rating Settle Date Original Cost Trade Date YTM at Cost Accrued Interest Market Value Amortized Cost Municipal FL ST BOARD OF ADMIN TXBL REV BONDS DTD 09/16/2020 1.258% 07/01/2025 341271AD6 120,000.00 AA Aa3 9/3/2020 9/16/2020 120,000.00 1.26 754.80 109,677.60120,000.00 FL ST BOARD OF ADMIN TXBL REV BONDS DTD 09/16/2020 1.258% 07/01/2025 341271AD6 45,000.00 AA Aa3 9/3/2020 9/16/2020 45,318.15 1.11 283.05 41,129.1045,165.90 LOS ANGELES CCD, CA TXBL GO BONDS DTD 11/10/2020 0.773% 08/01/2025 54438CYK2 85,000.00 AA+ Aaa 10/30/2020 11/10/2020 85,000.00 0.77 273.77 77,136.6585,000.00 NJ TURNPIKE AUTHORITY TXBL REV BONDS DTD 02/04/2021 1.047% 01/01/2026 646140DP5 45,000.00 AA- A1 1/22/2021 2/4/2021 45,000.00 1.05 235.58 40,335.7545,000.00 855,000.00 859,520.25 3,104.01 797,659.30Security Type Sub-Total 1.07 855,963.66 Federal Agency FANNIE MAE NOTES DTD 07/10/2020 0.250% 07/10/2023 3135G05G4 160,000.00 AA+ Aaa 7/8/2020 7/10/2020 159,656.00 0.32 190.00 156,283.20159,940.31 FREDDIE MAC NOTES DTD 08/21/2020 0.250% 08/24/2023 3137EAEV7 200,000.00 AA+ Aaa 8/19/2020 8/21/2020 199,796.00 0.28 176.39 194,216.20199,956.34 FANNIE MAE NOTES DTD 09/14/2018 2.875% 09/12/2023 3135G0U43 500,000.00 AA+ Aaa 12/3/2018 12/6/2018 498,990.00 2.92 4,352.43 493,168.00499,852.65 FEDERAL FARM CREDIT BANK (CALLABLE) DTD 09/21/2020 0.250% 09/21/2023 3133EMAM4 250,000.00 AA+ Aaa 10/7/2020 10/9/2020 249,575.00 0.31 173.61 241,853.75249,896.22 FREDDIE MAC NOTES DTD 12/04/2020 0.250% 12/04/2023 3137EAFA2 105,000.00 AA+ Aaa 12/2/2020 12/4/2020 104,896.05 0.28 19.69 100,624.02104,968.01 FEDERAL HOME LOAN BANKS NOTES DTD 12/09/2013 3.375% 12/08/2023 3130A0F70 320,000.00 AA+ Aaa 1/30/2019 1/31/2019 329,431.64 2.72 690.00 315,485.76321,815.01 FEDERAL HOME LOAN BANK NOTES DTD 04/16/2020 0.500% 04/14/2025 3130AJHU6 215,000.00 AA+ Aaa 4/15/2020 4/16/2020 213,933.60 0.60 229.93 196,829.92214,512.40 FANNIE MAE NOTES DTD 04/24/2020 0.625% 04/22/2025 3135G03U5 290,000.00 AA+ Aaa 4/22/2020 4/24/2020 289,402.60 0.67 347.40 266,049.48289,724.23 31 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Holdings | Security Type/Description Dated Date/Coupon/Maturity CUSIP Par S&P Rating Moody's Rating Settle Date Original Cost Trade Date YTM at Cost Accrued Interest Market Value Amortized Cost Federal Agency FANNIE MAE NOTES DTD 04/24/2020 0.625% 04/22/2025 3135G03U5 360,000.00 AA+ Aaa 6/3/2020 6/5/2020 361,843.20 0.52 431.25 330,268.32360,870.92 FANNIE MAE NOTES DTD 06/19/2020 0.500% 06/17/2025 3135G04Z3 340,000.00 AA+ Aaa 6/17/2020 6/19/2020 339,296.20 0.54 66.11 309,474.80339,653.50 FANNIE MAE NOTES DTD 06/19/2020 0.500% 06/17/2025 3135G04Z3 245,000.00 AA+ Aaa 10/1/2020 10/5/2020 246,149.05 0.40 47.64 223,003.90245,601.31 FREDDIE MAC NOTES DTD 07/23/2020 0.375% 07/21/2025 3137EAEU9 205,000.00 AA+ Aaa 7/21/2020 7/23/2020 203,979.10 0.48 341.67 185,498.35204,478.36 FANNIE MAE NOTES DTD 08/27/2020 0.375% 08/25/2025 3135G05X7 215,000.00 AA+ Aaa 8/25/2020 8/27/2020 213,993.80 0.47 282.19 193,881.41214,466.56 FANNIE MAE NOTES DTD 08/27/2020 0.375% 08/25/2025 3135G05X7 545,000.00 AA+ Aaa 10/21/2020 10/22/2020 542,051.55 0.49 715.31 491,466.83543,387.36 FANNIE MAE NOTES DTD 11/12/2020 0.500% 11/07/2025 3135G06G3 205,000.00 AA+ Aaa 11/9/2020 11/12/2020 204,266.10 0.57 153.75 184,195.17204,580.46 FANNIE MAE NOTES DTD 11/12/2020 0.500% 11/07/2025 3135G06G3 240,000.00 AA+ Aaa 11/19/2020 11/24/2020 239,908.80 0.51 180.00 215,643.12239,947.52 4,395,000.00 4,397,168.69 8,397.37 4,097,942.23Security Type Sub-Total 0.94 4,393,651.16 Corporate US BANK NA CINCINNATI CORP NOTES (CALLAB DTD 02/04/2019 3.375% 02/05/2024 91159HHV5 355,000.00 A+ A2 7/18/2019 7/22/2019 370,850.75 2.33 4,859.06 349,174.45358,592.71 APPLE INC (CALLABLE) BONDS DTD 02/09/2017 3.000% 02/09/2024 037833CG3 295,000.00 AA+ Aaa 7/12/2019 7/16/2019 304,115.50 2.28 3,490.83 288,065.73296,939.95 PFIZER INC CORP NOTES DTD 03/11/2019 2.950% 03/15/2024 717081ES8 350,000.00 A+ A1 4/2/2019 4/4/2019 354,235.00 2.69 3,040.14 342,694.80350,976.57 MORGAN STANLEY CORP NOTES (CALLABLE) DTD 04/22/2021 0.731% 04/05/2024 61772BAA1 25,000.00 A- A1 4/19/2021 4/22/2021 25,000.00 0.73 43.66 24,629.0025,000.00 MORGAN STANLEY CORP NOTES (CALLABLE) DTD 04/22/2021 0.731% 04/05/2024 61772BAA1 85,000.00 A- A1 4/20/2021 4/22/2021 85,107.10 0.69 148.43 83,738.6085,014.12 32 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Holdings | Security Type/Description Dated Date/Coupon/Maturity CUSIP Par S&P Rating Moody's Rating Settle Date Original Cost Trade Date YTM at Cost Accrued Interest Market Value Amortized Cost Corporate AMAZON.COM INC CORPORATE NOTES DTD 05/12/2021 0.450% 05/12/2024 023135BW5 130,000.00 AA A1 5/10/2021 5/12/2021 129,810.20 0.50 79.63 122,639.53129,913.93 WALMART INC CORPORATE NOTES DTD 04/23/2019 2.850% 07/08/2024 931142EL3 350,000.00 AA Aa2 7/10/2019 7/12/2019 360,923.50 2.19 4,793.54 339,717.70353,192.37 WALT DISNEY COMPANY/THE (CALLABLE) DTD 09/06/2019 1.750% 08/30/2024 254687FK7 215,000.00 BBB+ A2 9/3/2019 9/6/2019 214,122.80 1.84 1,264.62 204,926.82214,707.44 BANK OF AMERICA CORP (CALLABLE) CORPORAT DTD 10/21/2020 0.810% 10/24/2024 06051GJH3 170,000.00 A- A2 10/16/2020 10/21/2020 170,000.00 0.81 256.28 163,046.66170,000.00 JOHN DEERE CAPITAL CORP CORPORATE NOTES DTD 01/10/2022 1.250% 01/10/2025 24422EVY2 170,000.00 A A2 3/8/2022 3/10/2022 165,714.30 2.17 1,009.38 158,849.87166,941.74 TOYOTA MOTOR CREDIT CORP CORP NOTES DTD 02/13/2020 1.800% 02/13/2025 89236TGT6 95,000.00 A+ A1 5/20/2020 5/26/2020 95,928.15 1.58 655.50 89,472.9095,416.70 TOYOTA MOTOR CREDIT CORP CORP NOTES DTD 02/13/2020 1.800% 02/13/2025 89236TGT6 70,000.00 A+ A1 5/20/2020 5/26/2020 70,683.90 1.58 483.00 65,927.4070,307.04 NOVARTIS CAPITAL CORP DTD 02/14/2020 1.750% 02/14/2025 66989HAP3 325,000.00 AA- A1 5/6/2020 5/8/2020 336,573.25 0.98 2,164.41 306,957.63330,029.50 MASTERCARD INC CORP NOTES (CALLABLE) DTD 12/03/2019 2.000% 03/03/2025 57636QAN4 160,000.00 A+ Aa3 5/4/2020 5/6/2020 166,929.60 1.08 1,048.89 151,315.04163,053.18 AMAZON.COM INC CORPORATE NOTES DTD 04/13/2022 3.000% 04/13/2025 023135CE4 195,000.00 AA A1 4/11/2022 4/13/2022 194,689.95 3.06 1,267.50 188,118.45194,764.35 CITIGROUP INC (CALLABLE) CORPORATE NOTES DTD 05/04/2021 0.981% 05/01/2025 172967MX6 60,000.00 BBB+ A3 4/28/2021 5/4/2021 60,159.00 0.91 98.10 56,120.8260,070.70 CITIGROUP INC (CALLABLE) CORPORATE NOTES DTD 05/04/2021 0.981% 05/01/2025 172967MX6 55,000.00 BBB+ A3 4/27/2021 5/4/2021 55,000.00 0.98 89.93 51,444.0955,000.00 33 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Holdings | Security Type/Description Dated Date/Coupon/Maturity CUSIP Par S&P Rating Moody's Rating Settle Date Original Cost Trade Date YTM at Cost Accrued Interest Market Value Amortized Cost Corporate GOLDMAN SACHS GROUP INC CORPORATE NOTES DTD 05/22/2015 3.750% 05/22/2025 38148LAE6 150,000.00 BBB+ A2 2/16/2021 2/18/2021 167,011.50 1.02 609.38 144,825.30159,092.15 BRISTOL-MYERS SQUIBB CO CORPORATE NOTES DTD 11/13/2020 0.750% 11/13/2025 110122DN5 80,000.00 A+ A2 6/17/2021 6/21/2021 79,203.20 0.98 80.00 71,820.6479,480.54 BANK OF AMERICA CORP NOTES (CALLABLE) DTD 03/22/2022 3.384% 04/02/2026 06051GKM0 165,000.00 A- A2 3/17/2022 3/22/2022 165,000.00 3.38 1,380.39 157,365.62165,000.00 JPMORGAN CHASE & CO NOTES (CALLABLE) DTD 11/19/2020 1.045% 11/19/2026 46647PBT2 310,000.00 A- A1 4/11/2022 4/13/2022 282,298.40 3.15 377.94 272,889.59286,632.44 MASTERCARD INC CORP NOTES (CALLABLE) DTD 11/21/2016 2.950% 11/21/2026 57636QAG9 235,000.00 A+ Aa3 12/20/2022 12/22/2022 223,442.70 4.33 770.28 222,291.67223,523.52 TARGET CORP CORP NOTES (CALLABLE) DTD 01/24/2022 1.950% 01/15/2027 87612EBM7 30,000.00 A A2 1/19/2022 1/24/2022 29,949.00 1.99 269.75 27,211.5929,958.60 TARGET CORP CORP NOTES (CALLABLE) DTD 01/24/2022 1.950% 01/15/2027 87612EBM7 135,000.00 A A2 1/27/2022 1/31/2022 134,917.65 1.96 1,213.88 122,452.16134,932.89 BANK OF NY MELLON CORP (CALLABLE) CORPOR DTD 01/26/2022 2.050% 01/26/2027 06406RBA4 225,000.00 A A1 1/26/2022 1/28/2022 225,724.50 1.98 1,985.94 201,997.58225,587.92 ADOBE INC (CALLABLE) CORP NOTE DTD 02/03/2020 2.150% 02/01/2027 00724PAC3 270,000.00 A+ A2 12/13/2022 12/15/2022 249,237.00 4.20 2,418.75 246,026.16249,470.91 4,705,000.00 4,716,626.95 33,899.21 4,453,719.80Security Type Sub-Total 2.20 4,673,599.27 Agency CMBS FANNIEMAE-ACES DTD 04/01/2014 3.346% 03/01/2024 3136AJB54 70,137.13 AA+ Aaa 12/13/2019 12/18/2019 73,545.36 2.14 195.57 69,210.3871,080.78 34 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Holdings | Security Type/Description Dated Date/Coupon/Maturity CUSIP Par S&P Rating Moody's Rating Settle Date Original Cost Trade Date YTM at Cost Accrued Interest Market Value Amortized Cost Agency CMBS FHMS K043 A2 DTD 03/01/2015 3.062% 12/01/2024 3137BGK24 115,000.00 AA+ Aaa 3/19/2020 3/25/2020 120,696.09 1.95 293.44 111,410.98117,329.01 185,137.13 194,241.45 489.01 180,621.36Security Type Sub-Total 2.02 188,409.79 ABS HAROT 2021-1 A3 DTD 02/24/2021 0.270% 04/21/2025 43813GAC5 42,074.54 NR Aaa 2/17/2021 2/24/2021 42,073.77 0.27 3.16 40,736.9842,074.11 HART 2021-A A3 DTD 04/28/2021 0.380% 09/15/2025 44933LAC7 42,047.94 AAA NR 4/20/2021 4/28/2021 42,043.52 0.38 7.10 40,667.3542,045.21 CARMX 2021-1 A3 DTD 01/27/2021 0.340% 12/15/2025 14316NAC3 25,972.29 AAA NR 1/20/2021 1/27/2021 25,967.16 0.34 3.92 25,067.7325,969.19 TAOT 2021-C A3 DTD 09/27/2021 0.430% 01/15/2026 89239BAC5 80,000.00 AAA Aaa 9/21/2021 9/27/2021 79,993.62 0.43 15.29 75,869.8779,995.49 CARMX 2021-2 A3 DTD 04/21/2021 0.520% 02/17/2026 14314QAC8 67,426.64 AAA NR 4/13/2021 4/21/2021 67,412.11 0.52 15.58 64,899.5667,417.22 HART 2021-C A3 DTD 11/17/2021 0.740% 05/15/2026 44935FAD6 40,000.00 AAA NR 11/9/2021 11/17/2021 39,991.07 0.75 13.16 37,692.7539,993.30 DCENT 2021-A1 A1 DTD 09/27/2021 0.580% 09/15/2026 254683CP8 65,000.00 AAA Aaa 9/20/2021 9/27/2021 64,986.08 0.58 16.76 60,500.3664,989.62 362,521.41 362,467.33 74.97 345,434.60Security Type Sub-Total 0.48 362,484.14 26,735,658.54 26,452,210.16 102,169.67 24,973,388.96Managed Account Sub Total Securities Sub Total Accrued Interest $26,735,658.54 $26,452,210.16 $102,169.67 $24,973,388.96 $102,169.67 26,405,474.71 $26,405,474.71 1.88 1.88% Total Investments $25,075,558.63 35 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Activity | Quarterly Portfolio Transactions Trade Date Settle Date Par ($)CUSIP Maturity Date Transact Amount ($)Coupon Yield at Market Realized G/L (BV)Security Description BUY 10/27/2022 10/31/2022 250,000.00 89115B6F2 TORONTO DOMINION BANK NY CERT DEPOS 5.47% 10/25/2024 250,000.00 5.44% 11/1/2022 11/3/2022 320,000.00 91282CFM8 US TREASURY N/B NOTES 4.12% 9/30/2027 319,145.47 4.27% 12/6/2022 12/8/2022 300,000.00 91282CFU0 US TREASURY N/B NOTES 4.12% 10/31/2027 305,470.91 3.81% 12/13/2022 12/15/2022 270,000.00 00724PAC3 ADOBE INC (CALLABLE) CORP NOTE 2.15% 2/1/2027 251,397.75 4.20% 12/20/2022 12/22/2022 235,000.00 57636QAG9 MASTERCARD INC CORP NOTES (CALLABLE)2.95% 11/21/2026 224,039.67 4.33% Total BUY 1,375,000.00 1,350,053.80 0.00 INTEREST 10/1/2022 10/25/2022 84,265.33 3136AJB54 FANNIEMAE-ACES 3.34% 3/1/2024 235.91 10/1/2022 10/25/2022 115,000.00 3137BGK24 FHMS K043 A2 3.06% 12/1/2024 293.44 10/1/2022 10/1/2022 210,000.00 13063DRJ9 CA ST TXBL GO BONDS 2.40% 10/1/2023 2,520.00 10/2/2022 10/2/2022 165,000.00 06051GKM0 BANK OF AMERICA CORP NOTES (CALLABLE)3.38% 4/2/2026 2,946.90 10/4/2022 10/4/2022 MONEY0002 MONEY MARKET FUND 111.74 10/5/2022 10/5/2022 110,000.00 61772BAA1 MORGAN STANLEY CORP NOTES (CALLABLE)0.73% 4/5/2024 402.05 10/13/2022 10/13/2022 195,000.00 023135CE4 AMAZON.COM INC CORPORATE NOTES 3.00% 4/13/2025 2,925.00 10/14/2022 10/14/2022 215,000.00 3130AJHU6 FEDERAL HOME LOAN BANK NOTES 0.50% 4/14/2025 537.50 10/15/2022 10/15/2022 70,000.00 14314QAC8 CARMX 2021-2 A3 0.52% 2/17/2026 30.33 10/15/2022 10/15/2022 30,915.01 14316NAC3 CARMX 2021-1 A3 0.34% 12/15/2025 8.76 36 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Activity | Quarterly Portfolio Transactions Trade Date Settle Date Par ($)CUSIP Maturity Date Transact Amount ($)Coupon Yield at Market Realized G/L (BV)Security Description INTEREST 10/15/2022 10/15/2022 40,000.00 44935FAD6 HART 2021-C A3 0.74% 5/15/2026 24.67 10/15/2022 10/15/2022 45,000.00 44933LAC7 HART 2021-A A3 0.38% 9/15/2025 14.25 10/15/2022 10/15/2022 65,000.00 254683CP8 DCENT 2021-A1 A1 0.58% 9/15/2026 31.42 10/15/2022 10/15/2022 80,000.00 89239BAC5 TAOT 2021-C A3 0.43% 1/15/2026 28.67 10/21/2022 10/21/2022 52,300.63 43813GAC5 HAROT 2021-1 A3 0.27% 4/21/2025 11.77 10/22/2022 10/22/2022 650,000.00 3135G03U5 FANNIE MAE NOTES 0.62% 4/22/2025 2,031.25 10/24/2022 10/24/2022 170,000.00 06051GJH3 BANK OF AMERICA CORP (CALLABLE) CORPORAT 0.81% 10/24/2024 688.50 10/31/2022 10/31/2022 70,000.00 9128283D0 US TREASURY NOTES 2.25% 10/31/2024 787.50 10/31/2022 10/31/2022 300,000.00 91282CAT8 US TREASURY NOTES 0.25% 10/31/2025 375.00 10/31/2022 10/31/2022 690,000.00 912828ZN3 US TREASURY N/B NOTES 0.50% 4/30/2027 1,725.00 11/1/2022 11/1/2022 115,000.00 172967MX6 CITIGROUP INC (CALLABLE) CORPORATE NOTES 0.98% 5/1/2025 564.08 11/1/2022 11/1/2022 200,000.00 605581MZ7 MS ST TXBL GO BONDS 0.56% 11/1/2024 565.00 11/1/2022 11/25/2022 82,983.70 3136AJB54 FANNIEMAE-ACES 3.34% 3/1/2024 232.44 11/1/2022 11/25/2022 115,000.00 3137BGK24 FHMS K043 A2 3.06% 12/1/2024 293.44 11/2/2022 11/2/2022 MONEY0002 MONEY MARKET FUND 518.25 11/7/2022 11/7/2022 445,000.00 3135G06G3 FANNIE MAE NOTES 0.50% 11/7/2025 1,112.50 11/12/2022 11/12/2022 130,000.00 023135BW5 AMAZON.COM INC CORPORATE NOTES 0.45% 5/12/2024 292.50 37 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Activity | Quarterly Portfolio Transactions Trade Date Settle Date Par ($)CUSIP Maturity Date Transact Amount ($)Coupon Yield at Market Realized G/L (BV)Security Description INTEREST 11/13/2022 11/13/2022 80,000.00 110122DN5 BRISTOL-MYERS SQUIBB CO CORPORATE NOTES 0.75% 11/13/2025 300.00 11/15/2022 11/15/2022 660,000.00 912828WE6 US TREASURY NOTES 2.75% 11/15/2023 9,075.00 11/15/2022 11/15/2022 80,000.00 89239BAC5 TAOT 2021-C A3 0.43% 1/15/2026 28.67 11/15/2022 11/15/2022 70,000.00 14314QAC8 CARMX 2021-2 A3 0.52% 2/17/2026 30.33 11/15/2022 11/15/2022 150,000.00 68607DVA0 OR ST DEPT TRANS TXBL REV BONDS 0.56% 11/15/2024 424.50 11/15/2022 11/15/2022 40,000.00 44935FAD6 HART 2021-C A3 0.74% 5/15/2026 24.67 11/15/2022 11/15/2022 45,000.00 44933LAC7 HART 2021-A A3 0.38% 9/15/2025 14.25 11/15/2022 11/15/2022 29,150.90 14316NAC3 CARMX 2021-1 A3 0.34% 12/15/2025 8.26 11/15/2022 11/15/2022 65,000.00 254683CP8 DCENT 2021-A1 A1 0.58% 9/15/2026 31.42 11/15/2022 11/15/2022 910,000.00 91282CEQ0 US TREASURY N/B NOTES 2.75% 5/15/2025 12,512.50 11/19/2022 11/19/2022 310,000.00 46647PBT2 JPMORGAN CHASE & CO NOTES (CALLABLE)1.04% 11/19/2026 1,619.75 11/21/2022 11/21/2022 48,612.48 43813GAC5 HAROT 2021-1 A3 0.27% 4/21/2025 10.94 11/22/2022 11/22/2022 150,000.00 38148LAE6 GOLDMAN SACHS GROUP INC CORPORATE NOTES 3.75% 5/22/2025 2,812.50 11/24/2022 11/24/2022 170,000.00 459058JM6 INTL BK RECON & DEVELOP NOTES 0.25% 11/24/2023 212.50 11/30/2022 11/30/2022 530,000.00 9128283J7 US TREASURY NOTES 2.12% 11/30/2024 5,631.25 11/30/2022 11/30/2022 910,000.00 91282CER8 US TREASURY N/B NOTES 2.50% 5/31/2024 11,375.00 11/30/2022 11/30/2022 770,000.00 912828U57 US TREASURY NOTES 2.12% 11/30/2023 8,181.25 38 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Activity | Quarterly Portfolio Transactions Trade Date Settle Date Par ($)CUSIP Maturity Date Transact Amount ($)Coupon Yield at Market Realized G/L (BV)Security Description INTEREST 11/30/2022 11/30/2022 1,920,000.00 91282CCF6 US TREASURY N/B NOTES 0.75% 5/31/2026 7,200.00 11/30/2022 11/30/2022 415,000.00 91282CAZ4 US TREASURY NOTES 0.37% 11/30/2025 778.13 12/1/2022 12/25/2022 70,291.24 3136AJB54 FANNIEMAE-ACES 3.34% 3/1/2024 196.00 12/1/2022 12/25/2022 115,000.00 3137BGK24 FHMS K043 A2 3.06% 12/1/2024 293.44 12/2/2022 12/2/2022 MONEY0002 MONEY MARKET FUND 99.70 12/4/2022 12/4/2022 105,000.00 3137EAFA2 FREDDIE MAC NOTES 0.25% 12/4/2023 131.25 12/8/2022 12/8/2022 320,000.00 3130A0F70 FEDERAL HOME LOAN BANKS NOTES 3.37% 12/8/2023 5,400.00 12/15/2022 12/15/2022 70,000.00 14314QAC8 CARMX 2021-2 A3 0.52% 2/17/2026 30.33 12/15/2022 12/15/2022 44,684.52 44933LAC7 HART 2021-A A3 0.38% 9/15/2025 14.15 12/15/2022 12/15/2022 65,000.00 254683CP8 DCENT 2021-A1 A1 0.58% 9/15/2026 31.42 12/15/2022 12/15/2022 40,000.00 44935FAD6 HART 2021-C A3 0.74% 5/15/2026 24.67 12/15/2022 12/15/2022 27,541.21 14316NAC3 CARMX 2021-1 A3 0.34% 12/15/2025 7.80 12/15/2022 12/15/2022 80,000.00 89239BAC5 TAOT 2021-C A3 0.43% 1/15/2026 28.67 12/17/2022 12/17/2022 585,000.00 3135G04Z3 FANNIE MAE NOTES 0.50% 6/17/2025 1,462.50 12/21/2022 12/21/2022 45,267.42 43813GAC5 HAROT 2021-1 A3 0.27% 4/21/2025 10.19 12/31/2022 12/31/2022 515,000.00 91282CBC4 US TREASURY NOTES 0.37% 12/31/2025 965.63 Total INTEREST 13,881,012.44 88,274.54 0.00 39 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Activity | Quarterly Portfolio Transactions Trade Date Settle Date Par ($)CUSIP Maturity Date Transact Amount ($)Coupon Yield at Market Realized G/L (BV)Security Description MATURITY 10/1/2022 10/1/2022 150,000.00 911312AQ9 UNITED PARCEL SERVICE CORP NOTES 2.45% 10/1/2022 151,837.50 Total MATURITY 150,000.00 151,837.50 0.00 PAYDOWNS 10/1/2022 10/25/2022 1,281.63 3136AJB54 FANNIEMAE-ACES 3.34% 3/1/2024 1,281.63 10/15/2022 10/15/2022 1,764.11 14316NAC3 CARMX 2021-1 A3 0.34% 12/15/2025 1,764.11 10/21/2022 10/21/2022 3,688.15 43813GAC5 HAROT 2021-1 A3 0.27% 4/21/2025 3,688.15 11/1/2022 11/25/2022 12,692.46 3136AJB54 FANNIEMAE-ACES 3.34% 3/1/2024 12,692.46 11/15/2022 11/15/2022 1,609.69 14316NAC3 CARMX 2021-1 A3 0.34% 12/15/2025 1,609.69 11/15/2022 11/15/2022 315.48 44933LAC7 HART 2021-A A3 0.38% 9/15/2025 315.48 11/21/2022 11/21/2022 3,345.06 43813GAC5 HAROT 2021-1 A3 0.27% 4/21/2025 3,345.06 12/1/2022 12/25/2022 154.11 3136AJB54 FANNIEMAE-ACES 3.34% 3/1/2024 154.11 12/15/2022 12/15/2022 2,573.36 14314QAC8 CARMX 2021-2 A3 0.52% 2/17/2026 2,573.36 12/15/2022 12/15/2022 1,568.92 14316NAC3 CARMX 2021-1 A3 0.34% 12/15/2025 1,568.92 12/15/2022 12/15/2022 2,636.58 44933LAC7 HART 2021-A A3 0.38% 9/15/2025 2,636.58 12/21/2022 12/21/2022 3,192.88 43813GAC5 HAROT 2021-1 A3 0.27% 4/21/2025 3,192.88 Total PAYDOWNS 34,822.43 34,822.43 0.00 40 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Portfolio Activity | Quarterly Portfolio Transactions Trade Date Settle Date Par ($)CUSIP Maturity Date Transact Amount ($)Coupon Yield at Market Realized G/L (BV)Security Description SELL 10/27/2022 10/31/2022 15,000.00 912828S92 US TREASURY NOTES 1.25% 7/31/2023 14,695.90 -225.27 11/1/2022 11/3/2022 215,000.00 912828S92 US TREASURY NOTES 1.25% 7/31/2023 210,427.97 -3,483.76 11/1/2022 11/3/2022 115,000.00 912828S92 US TREASURY NOTES 1.25% 7/31/2023 112,554.49 -1,983.94 12/6/2022 12/8/2022 250,000.00 06742TG34 BARCLAYS BANK PLC NY CERT DEPOS 1.05% 2/1/2023 250,940.83 -1,305.00 12/13/2022 12/15/2022 155,000.00 3135G05G4 FANNIE MAE NOTES 0.25% 7/10/2023 151,237.59 -3,866.25 12/13/2022 12/15/2022 100,000.00 00724PAA7 ADOBE INC CORP NOTE 1.70% 2/1/2023 100,254.78 -371.99 12/20/2022 12/22/2022 195,000.00 3137EAES4 FREDDIE MAC NOTES 0.25% 6/26/2023 190,805.98 -4,335.63 Total SELL 1,045,000.00 1,030,917.54 -15,571.84 41 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Appendix | Important Disclosures This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation, as it was prepared without regard to any specific objectives or financial circumstances. Investment advisory services are provided by PFM Asset Management LLC ("PFMAM"), an investment adviser registered with the U.S. Securities and Exchange Commission and a subsidiary of U.S. Bancorp Asset Management, Inc. ("USBAM"). USBAM is a subsidiary of U.S. Bank National Association ("U.S. Bank"). U.S. Bank is a separate entity and subsidiary of U.S. Bancorp. U.S. Bank is not responsible for and does not guarantee the products, services or performance of PFMAM. The information contained is not an offer to purchase or sell any securities. Additional applicable regulatory information is available upon request. PFMAM professionals have exercised reasonable professional care in the preparation of this performance report. Information in this report is obtained from sources external to PFMAM and is generally believed to be reliable and available to the public; however, we cannot guarantee its accuracy, completeness or suitability. We rely on the client's custodian for security holdings and market values. Transaction dates reported by the custodian may differ from money manager statements. While efforts are made to ensure the data contained herein is accurate and complete, we disclaim all responsibility for any errors that may occur. References to particular issuers are for illustrative purposes only and are not intended to be recommendations or advice regarding such issuers. Fixed income manager and index characteristics are gathered from external sources. When average credit quality is not available, it is estimated by taking the market value weights of individual credit tiers on the portion of the strategy rated by a NRSRO. It is not possible to invest directly in an index. The index returns shown throughout this material do not represent the results of actual trading of investor assets. Third-party providers maintain the indices shown and calculate the index levels and performance shown or discussed. Index returns do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause investment performance to be lower than the performance shown. The views expressed within this material constitute the perspective and judgment of PFMAM at the time of distribution and are subject to change. Any forecast, projection, or prediction of the market, the economy, economic trends, and equity or fixed-income markets are based upon certain assumptions and current opinion as of the date of issue and are also subject to change. Some, but not all assumptions are noted in the report. Assumptions may or may not be proven correct as actual events occur, and results may depend on events outside of your or our control. Changes in assumptions may have a material effect on results. Opinions and data presented are not necessarily indicative of future events or expected performance. For more information regarding PFMAM's services or entities, please visit www.pfmam.com. © 2022 PFM Asset Management LLC. Further distribution is not permitted without prior written consent. 42 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Appendix | Important Disclosures Market values that include accrued interest are derived from closing bid prices as of the last business day of the month as supplied by Refinitiv, Bloomberg, or Telerate. Where prices are not available from generally recognized sources, the securities are priced using a yield-based matrix system to arrive at an estimated market value. In accordance with generally accepted accounting principles, information is presented on a trade date basis; forward settling purchases are included in the monthly balances, and forward settling sales are excluded. Performance is presented in accordance with the CFA Institute's Global Investment Performance Standards (GIPS). Unless otherwise noted, performance is shown gross of fees. Quarterly returns are presented on an unannualized basis. Returns for periods greater than one year are presented on an annualized basis. Past performance is not indicative of future returns. Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets. Money market fund/cash balances are included in performance and duration computations. Standard & Poor's is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/LGIP holdings. Callable securities in the portfolio are included in the maturity distribution analysis to their stated maturity date, although, they may be called prior to maturity. MBS maturities are represented by expected average life. 43 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Appendix | Glossary Accrued Interest: Interest that is due on a bond or other fixed income security since the last interest payment was made. Agencies: Federal agency securities and/or Government-sponsored enterprises. Amortized Cost: The original cost of the principal of the security is adjusted for the amount of the periodic reduction of any discount or premium from the purchase date until the date of the report. Discount or premium with respect to short-term securities (those with less than one year to maturity at time of issuance) is amortized on a straight line basis. Such discount or premium with respect to longer-term securities is amortized using the constant yield basis. Asset-Backed Security: A financial instrument collateralized by an underlying pool of assets – usually ones that generate a cash flow from debt, such as loans, leases, credit card balances, and receivables. Bankers’ Acceptance: A draft or bill or exchange accepted by a bank or trust company. The accepting institution guarantees payment of the bill as well as the insurer. Commercial Paper: An unsecured obligation issued by a corporation or bank to finance its short-term credit needs, such as accounts receivable and inventory. Contribution to Total Return: The weight of each individual security multiplied by its return, then summed for each sector to determine how much each sector added or subtracted from the overall portfolio performance. Effective Duration: A measure of the sensitivity of a security’s price to a change in interest rates, stated in years. Effective Yield: The total yield an investor receives in relation to the nominal yield or coupon of a bond. Effective yield takes into account the power of compounding on investment returns, while nominal yield does not. FDIC: Federal Deposit Insurance Corporation. A federal agency that insures bank deposits to a specified amount. Interest Rate: Interest per year divided by principal amount and expressed as a percentage. Market Value: The value that would be received or paid for an investment in an orderly transaction between market participants at the measurement date. Maturity: The date upon which the principal or stated value of an investment becomes due and payable. Negotiable Certificates of Deposit: A CD with a very large denomination, usually $1 million or more, that can be traded in secondary markets. Par Value: The nominal dollar face amount of a security. Pass-through Security: A security representing pooled debt obligations that passes income from debtors to its shareholders. The most common type is the mortgage-backed security. 44 © PFM Asset Management LLC pfmam.com CITY OF MILLBRAE For the Quarter Ended December 31, 2022 Appendix | Glossary Repurchase Agreements: A holder of securities sells these securities to an investor with an agreement to repurchase them at a fixed price on a fixed date. Settle Date: The date on which the transaction is settled and monies/securities are exchanged. If the settle date of the transaction (i.e., coupon payments and maturity proceeds) occurs on a non-business day, the funds are exchanged on the next business day. Supranational: A multinational union or association in which member countries cede authority and sovereignty on at least some internal matters to the group, whose decisions are binding on its members. Trade Date: The date on which the transaction occurred; however, the final consummation of the security transaction and payment has not yet taken place. Unsettled Trade: A trade which has been executed; however, the final consummation of the security transaction and payment has not yet taken place. U.S. Treasury: The department of the U.S. government that issues Treasury securities. Yield: The rate of return based on the current market value, the annual interest receipts, maturity value, and the time period remaining until maturity, stated as a percentage on an annualized basis. YTM at Cost: The yield to maturity at cost is the expected rate of return based on the original cost, the annual interest receipts, maturity value, and the time period from purchase date to maturity, stated as a percentage on an annualized basis. YTM at Market: The yield to maturity at market is the rate of return based on the current market value, the annual interest receipts, maturity value, and the time period remaining until maturity, stated as a percentage on an annualized basis. 45