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6.1.D. - Page 76 <br />Notes to the Basic Financial Statements <br />For the fiscal year ended June 30, 2016 <br />NOTE 2 — CASH AND INVESTMENTS (CONTINUED) <br />These investments may include the following: <br />Structured Notes - are debt securities (other than asset-backed securities) whose cash flow characteristics <br />(coupon rate, redemption amount, or stated maturity) depend upon one or more indices and/or that have <br />embedded forwards or options. <br />Asset -Backed Securities - the bulk of which are mortgage-backed securities, entitle their purchasers to <br />receive a share of the cash flows from a pool of assets such as principal and interest repayments from a <br />pool of mortgages (such as Collateralized Mortgage Obligations) or credit card receivables. <br />As of June 30, 2016, the City had $46,459,995 (estimated fair value) invested in LAIF. LAIF had invested <br />2.81% of the pool investment funds in Structured Notes and Asset -Backed Securities. LAIF determines fair <br />value on its investment portfolio based on market quotations for those securities where market <br />quotations are readily available and based on amortized cost or best estimate for those securities where <br />market value is not readily available. The City valued its investments in LAIF as of June 30, 2016, by <br />multiplying its account balance with LAIF times a fair value factor determined by LAIF. The fair value factor <br />was determined by dividing all LAIF participants' total aggregate fair value by total aggregate amortized <br />costs. <br />Accordingly, as of June 30, 2016, the City's investment in LAIF at fair value amounted to $46,459,995 using <br />a LAIF fair value factor of 1.000621222. The fair value of the City's position in the pool is materially <br />equivalent to the value of the pool shares. <br />The City is also a voluntary participant in the San Mateo County Investment Fund that is regulated by <br />California Government Code Section 16429 under oversight of the Treasurer of the County of San Mateo. <br />The City reports its investment in the San Mateo County Investment Fund at the fair value amount <br />provided by County of San Mateo. Included in the San Mateo County Investment Fund investment <br />portfolio are US Treasury Notes, Obligations issued by agencies of the United States Government, LAIF, <br />Corporate Notes, Commercial Paper, collateralized mortgage obligations, mortgage- backed securities, <br />other asset-backed securities, and floating rate securities issued by federal agencies, government- <br />sponsored enterprises, repurchase agreements, and corporations. <br />E. Investment Valuation <br />Investments (except for money market accounts, time deposits, and commercial paper) are measured at <br />fair value on a recurring basis. Recurring fair value measurements, are those that Governmental Accounting <br />Standards Board (GASB) Statements require or permit in the statement of net position at the end of each <br />reporting period. Fair value measurements are categorized based on the valuation inputs used to measure <br />an asset's fair value: Level 1 inputs are quoted prices in active markets for identical assets; Level 2 inputs <br />are significant other observable inputs; Level 3 inputs are significant unobservable inputs. Investment fair <br />value measurements at June 30, 2016 are described on the following page. <br />Investments included in restricted cash and investments included money market accounts and guaranteed <br />investment contracts are not subject to fair value measurement. <br />R• <br />