May 2019 TPIF

County of Riverside Treasurer’s Pooled Investment Fund

May 2019

Contents

2 | Treasurer’s Pooled Investment Fund

3 | Economy

4 | Market Data

6 | Portfolio Data

8 | Compliance Report

9 | Month End Holdings

See the digital copy of our monthly TPIF report at countytreasurer.org to view video of the Federal Open Market Committee’s May 1 press conference.

Federal Reserve Chair Jerome Powell during the May 1 FOMC press conference. Digital Image. Federal Reserve Board . https://www.youtube.com/user/FedReserveBoard

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

1

Treasurer’s Pooled Investment Fund

Monthly Commentary

May the Yields Be With You

This month, geopolitics and trade disputes intensified, fears of a global economic slow- down grew, and yields moved down. Mean- while, the U.S. economy experienced strong growth. Recently, investors speculated as to when the Federal Reserve (FED) would begin to cut rates. Now in response to growing fear, investors wonder how many times and how deeply the FED will cut rates at the turn of the year. The fallout from the U.S. withdrawal of the Iranian nuclear agreement has increased the risk of a trade dispute between the U.S. and the E.U. The U.S. warned that it would penal- ize the E.U. for bypassing its sanctions against Iran. Steel and aluminum tariffs on NAFTA mem- bers were lifted, but were followed by a 5% tariff on all imported goods from Mexico due to start on June 10th. Levies will continue to rise in increments of 5% to 25% by October 2019 unless an agreement on migration with Mexico is achieved. The U.S.-China trade dispute heated up, with the U.S. increasing tariffs on $200bn worth of Chinese goods from 10% to 25%. In retaliation, China announced plans to im- pose tariffs on $60bn worth of American goods. Both countries are turning towards enacting laws to block each other from ac- cessing or operating in the other country on a

limited scale. In the U.K., Prime Minister Theresa May resigned, ending her term this July; however, her successor faces the same pressure to secure Britain’s withdrawal from the European Union. U.S. real GDP for 1Q19 was revised from 3.2% to 3.1%, a negligible revision that still displays solid economic growth. In contrast, in April, the IMF cut its global growth forecast to the lowest level since the financial crisis. The growth was accompanied by low inflation and strong employment. Core per- sonal consumption expenditures, a preferred measure of inflation for the FED, declined in April and is running below their two-percent target range at 1.6% YoY. The U.S. job market has continued to tighten at a solid rate with 263K nonfarm payrolls being added in April. Leading indicators were mixed. The indus- trial production index has trended downward for the entirety of 2019 and total vehicle sales fell 3.8% YoY in April. On the other hand, new and existing home sales have shown resur- gence in 2019, aided by falling mortgage rates. The U.S. Consumer Confidence index reached 100 points in May, the highest since 2004. Midwestern floods and tariffs are weighing on the agricultural corporate sector. The USDA forecasts that agricultural exports will

fall by 4% in 2019 from 2018 levels. Tariffs create risks to sales and profit mar- gins for consumer staples and industrial man- ufacturers and retailers. Analysts speculate trade tensions could create nationalist senti- ment abroad against U.S. goods and lead to operating restrictions for tech companies like Microsoft and Apple. Despite elevated risks to the corporate sector, Fitch Ratings states that credit risks are “limited at this point,” and should not translate into “broad-based near- term credit risk.” The month of May began with a Federal Open Market Committee meeting in which the FED gave no indication of changing the funds rate in the near future, citing continuing stable growth and low inflation. The yield curve ended the month inverted by 21 basis points, with the 3-month T-bill yielding 2.35% and the 10-year Treasury note yielding 2.14%. An inverted yield curve historically has indi- cated that a recession will occur within 12 to 18 months from that point. Yields on the 2- year Treasury fell more than 30 basis points in May, a sharp turn from the range-bound Treasury market in April.

Jon Christensen Treasurer-Tax Collector

Treasurer’s Statement

Capital Markets Team

The Treasurer’s Pooled Investment Fund is comprised of contributions from the county,

Jon Christensen Treasurer-Tax Collector

schools, special districts, and other discretionary depositors throughout the County of Riverside.

The primary objective of the treasurer shall be to safeguard the principal of the funds under the

Giovane Pizano Chief Investment Manager

Treasurer's control, meet the liquidity needs of the depositor, and to maximize a return on the

funds within the given parameters.

Steve Faeth Senior Investment Manager

The Treasurer-Tax Collector and the Capital Markets team are committed to maintaining

the highest credit ratings. The Treasurer’s Pooled Investment Fund is currently rated Aaa-bf by

Isela Licea Assistant Investment Manager

Moody’s Investor Service and AAAf/S1 by Fitch Ratings, two of the nation’s most trusted bond

credit rating services.

Jake Nieto Administrative Services Assistant

Since its inception, the Treasurer’s Pooled Investment Fund has been in full compliance

with the Treasurer’s Statement of Investment Policy, which is more restrictive than California

Government Code 53646.

6-Month Pool Performance

Month End Market Value ($)*

Month End Book Value ($)

Paper Gain or Loss ($)

Paper Gain or Loss (%)

Book Yield (%)

WAM (Yrs)

May-19

7,583,793,753.68 7,563,023,912.99 20,769,840.69

0.27%

2.35

1.09

Apr-19

8,177,376,431.91 8,168,198,799.92 9,177,631.99

0.11%

2.36

1.09

Mar-19

7,525,389,587.99 7,522,791,418.69 2,598,169.30

0.35%

2.35

1.04

Feb-19

6,837,521,658.62 6,846,174,413.16 (8,652,754.54)

-0.13%

2.32

1.06

Jan-19

6,985,230,147.03 6,993,292,063.97 (8,061,916.94)

-0.12%

2.31

1.05

Dec-18

7,490,825,981.43 7,504,164,940.07 (13,338,958.64)

-0.17%

2.27

1.00

*Market values do not include accrued interest.

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

2

Economy

National Economy

State Economy

263K nonfarm jobs were added in April and the unemploy- ment rate fell to the lowest since 1969. [BLS; 05/31/2019]  Under a falling mortgage rate, new and existing homes sales continued to rebound in April. [Econoday; 05/31/2019]  Despite strong home sales, home price growth continued to fall for the twelfth straight month in March. [FRED; 05/31/2019]  The industrial production index has been softening since 3Q18, suggesting that trade tensions and a strong USD are weighing on the manufacturing sector. [Wells Fargo; 06/03/2019]

CA job growth was “broad-based” in April, with 9 out of 11 industries adding 46K total jobs. [LA Times; 06/03/2019]  California wage growth YoY has averaged 5.2% in 2019, out- pacing the national average of 3.3%. [FRED; 06/03/2019]  Year-on-year, the growth of nonfarm payrolls in CA and the Inland Empire has slowed down in 2019. [FRED; 06/03/2019]  Business activity in the Inland Empire was “weaker than ex- pected”, growing 1.6% YoY in 1Q19 versus national GDP growth of 3.2% YoY. [UCR; 06/03/2019]

Nonfarm Jobs Added - Y/Y

U.S. Real GDP

6.0 Percent

United States

California Inland Empire

Percent

4.0

5.0

3.0

4.0

2.0

3.0

2.0

1.0

1.0

0.0

0.0

2015

2016

2017

2018 2019

U.S. New Homes Sales

U.S. Industrial Production Index

Units Sold (000's)

New Home Sales (LHS)

115

Percent

30-Year Fixed Mortgage Rate (RHS)

800

6.0

110

700

5.0

105

600

4.0

100

500

3.0

95

400

2.0

90

300

1.0

200

0.0

85

*Note: Shaded area indicates U.S. recession.

Key Economic Indicators

Release Date

Indicator

Actual 3.10%

Consensus

Difference

05/30/2019 05/03/2019 05/03/2019 05/10/2019 05/10/2019 05/03/2019 05/23/2019 05/02/2019 05/24/2019

Real GDP - Q/Q Change - SAAR - 1Q19 (2nd estimate)

3.00% 3.80%

0.10%

3.60%

Unemployment Rate - Seasonally Adjusted

-0.20% 83,000 -0.10%

263,000

Non-Farm Payrolls - M/M Change

180,000

2.00% 2.10%

CPI - Y/Y Change

2.10% 2.10%

CPI Ex Food and Energy - Y/Y Change

0.00%

55.5

ISM Non-Manufacturing Index (> 50 indicates growth)

57.3

-1.80

673

New Home Sales - SAAR - Thousands of units

680

-7

1.90%

Factory Orders - M/M Change

1.50%

0.40% 0.10%

-2.10%

Durable Goods Orders - New Orders - M/M Change

-2.20%

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

3

Market Data

FOMC Meeting 05/01/2019

 The FOMC stated that data received since their last meeting in March “indicates that the labor market remains strong

and that economic activity rose at a solid rate.”

 The Federal Open Market Committee maintained the Fed Funds Target Rate at 2.25—2.50%.

 “The Committee continues to view sustained expansion of economic activity, strong labor market conditions, and in-

flation near the Committee's symmetric 2 percent objective as the most likely outcomes,” stated the FOMC in their

May 1 press release.

Fed Funds Target Rate (Upper Limit)

3.00%

2.50%

2.00%

1.50%

1.00%

U.S. Treasury Curve

3.00

05/01/2019

05/31/2019

2.75

2.50

2.25

2.00

1.75

0

5

10

15

20

25

30

Years

Treasury Curve Differentials

3 Mo

6 Mo

1 Yr

2 Yr

3 Yr

5 Yr

10 Yr

30 Yr

05/31/2019 - 05/01/2019

-0.08

-0.09

-0.18

-0.36

-0.38

-0.38

-0.38

-0.34

05/31/2019

2.35

2.35

2.21

1.95

1.90

1.93

2.14

2.58

05/01/2019

2.43

2.44

2.39

2.31

2.28

2.31

2.52

2.92

The US Treasury Curve and its forecasted values are subject to frequent change and will be updated monthly with each

issued TPIF report.

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

4

Market Data cont’d

Commodities

Nymex Crude (LHS)

Nymex Nat Gas (RHS)

Precious Metals

Industrial Metals

180.00

75.00

5.00

4.50

160.00

65.00

4.00

140.00

3.50

55.00

3.00

120.00

2.50

100.00

45.00

2.00

Stocks

28,000.00

8,000.00

3,000.00

NASDAQ 100 (LHS)

S&P 500 (RHS)

Dow Jones

7,500.00

26,000.00

2,800.00

7,000.00

24,000.00

2,600.00

6,500.00

22,000.00

6,000.00

2,400.00

* Values listed on this page are in US dollars and are based on the final business day of each month.

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

5

Portfolio Data

The County of Riverside’s Treasurer’s Pooled Investment Fund is currently rated AAA-bf by Moody’s Investor Service and

AAAf/S1 by Fitch Ratings .

Moody’s Asset Rating (000’s)

Book

MKT/Book % Book

Yield

Aa1 6%

Aaa

5,478,434.55 100.30%

72.44%

2.27%

Aa2 6%

Aa3 3%

Aa1

477,537.95 100.37%

6.31%

2.58%

A1 <1%

Aa2

417,001.27 100.28%

5.51%

2.55%

Aaa 72%

A2 1%

Aa3

199,985.15 100.41%

2.64%

2.72%

NR 12%

A1

10,000.00 100.00%

0.13%

2.59%

A2

69,940.50 100.01%

0.92%

2.38%

NR

910,124.50 100.06%

12.03%

2.49%

Totals:

7,563,023.91 100.27% 100.00%

2.35%

S&P Asset Rating (000’s)

AA 5% AA- 5%

A+ <1%

Book

MKT/Book % Book

Yield

AAA

451,911.23 100.52%

5.98%

2.35%

AA+

5,399,061.28 100.29%

71.39%

2.28%

AA

356,248.36 100.52%

4.71%

2.56%

A <1%

NR 12%

AA-

345,738.05 100.03%

4.57%

2.73%

AA+ 71%

A+

30,000.00 100.00%

0.40%

2.82%

AAA 6%

A

69,940.50 100.01%

0.92%

2.38%

NR

910,124.50 100.06%

12.03%

2.49%

Totals:

7,563,023.91 100.27% 100.00%

2.35%

12-Month Projected Cash Flow

Required Matured Investments

Actual Investments Maturing

Monthly Receipts

Monthly Disbursements Difference

Available to Invest > 1 Year

Month

Balance

06/2019

70.16

1,050.00

1,850.00

(800.00)

729.84

-

1,570.06

06/2019

969.28

1,250.00

(280.72)

280.72

-

727.93

07/2019

900.00

1,200.00

(300.00)

300.00

-

479.04

08/2019

1,100.00

1,200.00

(100.00)

100.00

-

471.18

09/2019

1,100.00

1,300.00

(200.00)

200.00

-

404.28

10/2019

1,300.00

1,200.00

100.00

100.00

380.00

11/2019

2,375.13

1,200.00

1,175.13

1,275.13

20.00

12/2019

1,100.00

2,200.00

(1,100.00)

175.13

162.50

01/2020

1,100.00

1,500.00

(400.00)

224.87

-

115.33

02/2020

1,350.00

1,200.00

150.00

150.00

143.29

03/2020

1,350.00

1,200.00

150.00

300.00

265.65

04/2020

1,700.00

1,700.00

-

142.66

05/2020

TOTALS

15,394.41 17,000.00 (1,605.59) 1,835.43 2,070.42 4,881.91 5,727.59 24.27% 64.55% 75.73%

* Values listed in Cash Flow Table are in millions of USD.

Based on historic and current financial conditions within the County, the Pool is expected to maintain sufficient liquidity of

funds to cover County expenses for the next twelve months.

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

6

Portfolio Data cont’d

Asset Maturity Distribution (Par Value, 000’s)

2,500,000

28.89% 2,194,891.00

2,000,000

20.14% 1,530,055.94

1,500,000

15.23% 1,156,967.00

13.63% 1,035,315.00

12.56% 953,984.00

9.55% 725,558.00

1,000,000

500,000

-

0-1 Mos

1-3 Mos

3-12 Mos

1-2 Yr

2-3 Yr

3-5 Yr

Asset Allocation (000’s)

Assets

Scheduled Book Scheduled Market

Mkt/Book

Yield

WAL (Yr.)

Mat (Yr.)

TREAS

668,828.62 672,735.30

100.58%

2.46% 0.67 0.67

AGENCIES

4,144,874.18 4,153,168.58

100.20%

2.20% 1.24 1.68

MMKT

184,000.00 184,000.00

100.00%

2.32% 0.00 0.00

CASH

705,000.00 705,000.00

100.00%

2.52% 0.00 0.00

CALTRUST FND

4,023.98 4,023.98

100.00%

2.53% 0.00 0.00

COMM PAPER

1,098,758.55 1,104,404.72

100.51%

2.54% 0.18 0.18

NCDS

195,000.00 195,000.00

100.00%

2.82% 0.08 0.08

MEDIUM TERM NOTES

288,841.41 291,764.01

101.01%

2.60% 0.66 0.68

MUNI

273,577.17 273,577.17

100.00%

2.41% 1.71 1.71

LOCAL AGCY OBLIG

120.00 120.00

100.00% 100.27%

2.86% 1.04 1.04

Totals:

7,563,023.91 7,583,793.75

2.35%

0.86

1.09

* For details on the Pool’s composition see Month End Portfolio Holdings, pages 9 to 13.

TIMMI

Pool Yield

TIMMI

2.53% 2.53% 2.52% 2.53% 2.51% 2.46%

2.50%

2.27% 2.33%

2.06% 2.17%

2.08% 2.07%

1.93%

2.27% 2.30% 2.32% 2.35% 2.36% 2.35%

2.00%

2.18%

2.01% 2.09%

1.88% 1.92% 1.96%

1.82%

1.50%

1.00%

The Treasurer’s Institutional Money Market Index (TIMMI) is a composite index of four AAA rated prime institutional money market funds. Their

aggregate yield is compared to the yield of the Treasurer’s Pooled Investment Fund in the above graph.

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

7

Compliance Report

Compliance Status: Full Compliance

The Treasurer’s Pooled Investment Fund was in full compliance with the County of Riverside’s Treasurer’s State-

ment of Investment Policy. The County’s Statement of Investment Policy is more restrictive than California Gov-

ernment Code 53646. The County’s Investment Policy is reviewed annually by the County of Riverside’s Over-

sight Committee and approved by the Board of Supervisors.

GOVERNMENT CODE

COUNTY INVESTMENT POLICY

Maximum Remaining Maturity

Maximum Remaining Maturity

Authorized % Limit

S&P/ Moody's

Authorized % Limit

Investment Category

S&P/ Moody's Actual %

MUNICIPAL BONDS (MUNI)

3.62%

5 YEARS

NO LIMIT

NA

4 YEARS

15%

AA-/Aa3/AA-

U.S. TREASURIES

8.84%

5 YEARS

NO LIMIT

NA

5 YEARS

100%

NA

LOCAL AGENCY OBLIGATIONS (LAO)

INVESTMENT GRADE

<0.01%

5 YEARS

NO LIMIT

NA

3 YEARS

2.50%

FEDERAL AGENCIES

54.80%

5 YEARS

NO LIMIT

AAA

5 YEARS

100%

NA

COMMERCIAL PAPER (CP)

14.53%

270 DAYS

40%

A1/P1

270 DAYS

40%

A1/P1/F1

CERTIFICATE & TIME DEPOSITS (NCD & TCD)

25% Combined

2.58%

5 YEARS

30%

NA

1 YEAR

A1/P1/F1

INT'L BANK FOR RECON- STRUCTION AND DEVEL- OPMENT AND INT'L FI- NANCE CORPORATION

0.00%

NA

NA

NA

4 YEARS

20%

AA/Aa/AA

40% max, 25% in term repo over 7 days

REPURCHASE AGREEMENTS (REPO)

0.00%

1 YEARS

NO LIMIT

NA

45 DAYS

A1/P1/F1

REVERSE REPOS

0.00%

92 DAYS

20%

NA

60 DAYS

10%

NA

MEDIUM TERM NOTES (MTNO)

3.82%

5 YEARS

30%

A

3 YEARS

20%

AA/Aa2/AA

CALTRUST SHORT TERM FUND

DAILY LIQUIDITY

0.05%

NA

NA

NA

1.00%

NA

AAA by 2 Of 3 RATINGS AGC.

MONEY MARKET MUTUAL FUNDS (MMF)

DAILY LIQUIDITY

AAA/Aaa (2)

2.43%

60 DAYS (1)

20%

20%

LOCAL AGENCY INVESTMENT FUND (LAIF)

DAILY LIQUIDITY

Max $50 million

<0.01%

NA

NA

NA

NA

CASH/DEPOSIT ACCOUNT

9.32%

NA

NA

NA

NA

NA

NA

1 Money Market Mutual Funds maturity may be interpreted as a weighted average maturity not exceeding 60 days.

2 Or must have an investment advisor with no fewer than 5 years experience and with assets under management of $500,000,000 USD.

THIS COMPLETES THE REPORT REQUIREMENTS OF CALIFORNIA GOVERNMENT CODE 53646.

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

8

Month End Portfolio Holdings

CUSIP

Description

Maturity Date

Coupon

Yield To Mat

Par Value

Book Value

Market Price

Market Value

Unrealized Gain/Loss

Modified Duration

Years To Maturity

1060: MMKT ACCTS-A/365-6

GOFXX FRGXX FGTXX WFFXX

FIDELITY GOV

06/01/2019 06/01/2019 06/01/2019 06/01/2019

2.318 2.306 2.316 2.327 2.319

2.318 2.306 2.316 2.327 2.319

121,000,000.00 1,000,000.00 31,000,000.00 31,000,000.00 184,000,000.00

121,000,000.00 100.000000 1,000,000.00 100.000000 31,000,000.00 100.000000 31,000,000.00 100.000000 184,000,000.00 100.000000

121,000,000.00 1,000,000.00 31,000,000.00 31,000,000.00 184,000,000.00

0.00 0.00 0.00 0.00 0.00

.003 .003 .003 .003 .003

.003 .003 .003 .003 .003

FEDERATED GOV

GOLDMAN SACHS GOV

WELLS FARGO GOV

1065: CLTR-A/365-6

CLTR

CALTRUST SHT TERM FUND

06/01/2019

2.547 2.547

2.535 2.535

4,015,944.14 4,015,944.14

4,023,976.03 100.200000 4,023,976.03 100.200000

4,023,976.03 4,023,976.03

0.00 0.00

.003 .003

.003 .003

1080: MGD RATE-A/365-6

CASH

BANK OF THE WEST

06/01/2019

2.582 2.582

2.582 2.582

300,000,000.00 300,000,000.00

300,000,000.00 100.000000 300,000,000.00 100.000000

300,000,000.00 300,000,000.00

0.00 0.00

.003 .003

.003 .003

1170: MGD RATE-A/360

CASH CASH CASH CASH

UB MANAGED RATE PACIFIC PREMIER BANK FIRST REPUBLIC BANK UB EXCEPTION RATE

06/01/2019 06/01/2019 06/01/2019 06/01/2019

2.480 2.475 2.480 2.480 2.480

2.480 2.475 2.480 2.480 2.480

160,000,000.00 40,000,000.00 5,000,000.00 200,000,000.00 405,000,000.00

160,000,000.00 100.000000 40,000,000.00 100.000000 5,000,000.00 100.000000 200,000,000.00 100.000000 405,000,000.00 100.000000

160,000,000.00 40,000,000.00 5,000,000.00 200,000,000.00 405,000,000.00

0.00 0.00 0.00 0.00 0.00

.003 .003 .003 .003 .003

.003 .003 .003 .003 .003

1175: LAO-SINKING FND-A/360

LAO

US DIST COURTHOUSE

06/15/2020

2.861 2.861

2.861 2.861

120,000.00 120,000.00

120,000.00 100.000000 120,000.00 100.000000

120,000.00 120,000.00

0.00 0.00

.274 .274

1.044 1.044

1300: U.S. TREASURY BILL

912796SF7

U.S. TREASURY BILL

08/29/2019

2.458 2.458

2.488 2.488

40,000,000.00 40,000,000.00

39,503,038.80 99.443000 39,503,038.80 99.443000

39,777,200.00 39,777,200.00

274,161.20 274,161.20

.240 .240

.247 .247

1310: U.S. TREASURY BOND

3134G8TG4 3134G9Q75 3134GABZ6 3134GAVF8 3134GAXZ2 3134GAYK4 3134GBWH1 3134GBG30 3134GBG30 3134GBTX0 3137EAEE5 3134GBK35 3134G9W37 3134GBX80 3134GSMF9 3134GSQL2 3134GBYS5 3134GSB53 3134GSA96 3134GSA96 3134GTED1 3134GS5Y7 3134GS6Q3 3134GTDQ3 3134GTCP6 3134GTHV8 3134GTHH9 3134GTEB5 3134GSH40 3134GSN68 3134GBXV9 3134GSC45 3134GSD44 3134GSA96 3134GTGX5 3134GTGX5 3134GTLZ4 3134GTLU5 3134GTKG7 3134G9JX6 3134G8L31 3134G8KU2 3134G7S77 3134G9JW8 3134G9NU7 3134G9UM7 3134G9VA2 3134G9UX3 912828WS5 9128282K5 9128282K5 9128282K5 912828TH3 912828TV2 912828U32 912828TN0 912828F62 912828UB4 9128286G0 912828W71 912828W63 912828UL2 912828U32 912828U32 912828T59 3134GTFF5

U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND FHLMC 3.5YrNc6MoE FHLMC 3YrNc3MoB FHLMC 3.5YrNc1YrE FHLMC 3.5YrNc1YrE FHLMC 4YrNc6MoE FHLMC 4YrNc1YrE FHLMC 2.25YrNc6MoB FHLMC 2YrNc3MoB FHLMC 3YrNc3MoB FHLMC 2.75YrNc2MoB FHLMC 2YrNc5MoB FHLMC 2YrNc6MoB FHLMC 2.5YrNc3MoB FHLMC 4.5YrNc7MoB FHLMC 5YrNc3YrE FHLMC 5YrNc2YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 1.6YrNc1Yr FHLMC 2YrNc6MoB FHLMC 2.7YrNc6MoB FHLMC 5YrNc3MoB FHLMC 3.75YrNc6MoB FHLMC 1.08YrNc3MoB FHLMC 3YrNc3MoB FHLMC 3.5YrNc6MoQ FHLMC 5YrNc6MoE FHLMC 2.75YrNc9MoE FHLMC 5YrNc1YrE FHLMC 5YrNc1YrE FHLMC 5YrNc1YrE FHLMC 5YrNc2YrB FHLMC 1YrNc3MoB FHLMC 3YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 2.75Yr FHLMC 1YrNc9MoE

07/31/2019 07/31/2019 06/30/2019 07/31/2019 07/31/2019 11/15/2019 10/31/2019 08/31/2019 10/31/2019 11/30/2019 10/15/2019 11/15/2019 11/15/2019 01/31/2020 03/15/2020 02/29/2024 03/31/2024 10/11/2019 07/26/2019 02/25/2020 05/08/2020 11/25/2020 11/30/2020 09/27/2019 07/26/2019 09/29/2020 01/17/2020 06/29/2020 09/27/2019 09/27/2019 08/10/2020 11/14/2022 05/26/2023 06/29/2023 10/29/2021 11/15/2021 11/15/2021 11/15/2021 11/26/2021 11/26/2021 07/13/2020 12/20/2021 09/21/2021 03/14/2024 12/27/2022 05/01/2020 04/12/2022 10/17/2022 04/22/2024 01/24/2022 04/24/2024 04/24/2024 04/24/2024 05/03/2024 05/29/2020 05/09/2022 10/29/2020 02/26/2021 02/26/2021 06/09/2021 05/25/2021 06/16/2021 06/30/2021 06/30/2021 06/30/2021 04/08/2020

1.375 1.375 1.625 1.375 1.000 1.250 1.000 1.500 1.000 1.000 1.000 1.000 1.375 1.625 2.375 2.125 1.268 1.500 1.250 1.250 1.200 1.370 1.440 1.500 1.600 1.800 1.500 1.750 1.500 1.500 1.450 2.300 3.000 3.100 3.100 3.150 3.150 3.150 3.150 3.160 1.850 3.150 3.030 3.030 2.850 2.550 2.750 2.625 2.570 2.500 2.625 2.610 2.610 2.600 2.530 2.750 2.279 2.000 1.500 1.500 1.600 1.625 1.750 1.500 1.700 1.500 .875 2.460 2.460

1.428 1.418 2.591 2.608 2.601 2.628 2.606 2.603 2.557 2.541 2.529 2.534 2.524 2.462 2.449 2.300 2.299 2.454 1.500 1.250 1.250 1.200 1.370 1.440 1.509 1.600 1.800 1.602 1.780 1.620 1.621 2.421 2.755 3.000 3.100 3.100 3.150 3.150 3.150 3.150 3.160 2.870 3.150 3.030 3.020 2.850 2.550 2.750 2.625 2.570 2.500 2.625 2.610 2.610 2.600 2.530 2.750 2.351 2.000 1.500 1.500 1.600 1.625 1.757 1.500 1.700 1.500 2.475 2.475

25,000,000.00 25,000,000.00 40,000,000.00 25,000,000.00 25,000,000.00 75,000,000.00 50,000,000.00 50,000,000.00 50,000,000.00 40,000,000.00 45,000,000.00 40,000,000.00 35,000,000.00 50,000,000.00 15,000,000.00 15,000,000.00 30,000,000.00 635,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 25,000,000.00 10,000,000.00 6,250,000.00 5,000,000.00 15,000,000.00 25,000,000.00 20,000,000.00 20,000,000.00 25,000,000.00 10,000,000.00 12,628,000.00 15,000,000.00 5,000,000.00 5,000,000.00 10,000,000.00 5,000,000.00 5,000,000.00 25,000,000.00 10,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 26,445,000.00 10,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 15,000,000.00 5,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 560,323,000.00 15,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 20,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 25,000,000.00 25,000,000.00

24,975,585.94 99.828000 24,980,468.75 99.828000 39,787,500.00 99.940000 24,811,523.44 99.828000 24,736,328.13 99.749000 73,939,453.13 99.395000 49,449,218.75 99.543000 49,480,468.75 99.645000 49,611,328.13 99.641000 39,528,125.00 99.320000 44,569,335.94 99.500000 39,565,625.00 99.395000 34,652,734.38 99.395000 49,539,062.50 99.383000 14,889,257.81 99.481000 15,050,976.56 102.012000 29,758,593.75 100.828000 629,325,585.96 99.678441 15,000,000.00 99.694000 10,000,000.00 99.820000 10,000,000.00 99.222000 15,000,000.00 99.027000 25,000,000.00 98.929000 10,000,000.00 99.025000 6,248,750.00 99.734000 5,000,000.00 99.875000 15,000,000.00 99.549000 24,942,750.00 99.490000 19,983,860.00 99.572000 19,953,600.00 99.744000 24,942,500.00 99.744000 9,769,000.00 99.171000 12,381,754.00 100.027000 15,000,000.00 101.373000 5,000,000.00 100.987000 5,000,000.00 100.404000 10,000,000.00 100.455000 5,000,000.00 100.455000 5,000,000.00 100.455000 25,000,000.00 100.500000 10,000,000.00 100.514000 14,758,950.00 99.555000 10,000,000.00 100.041000 15,000,000.00 100.034000 26,456,900.25 100.020000 10,000,000.00 100.120000 25,000,000.00 100.014000 25,000,000.00 100.030000 25,000,000.00 100.146000 15,000,000.00 100.101000 5,000,000.00 100.213000 15,000,000.00 100.311000 15,000,000.00 100.266000 15,000,000.00 100.266000 10,000,000.00 100.730000 15,000,000.00 100.022000 15,000,000.00 100.066000 559,438,064.25 99.935283 15,000,000.00 99.874000 10,000,000.00 99.716000 10,000,000.00 99.856000 15,000,000.00 99.341000 20,000,000.00 99.461000 14,997,000.00 99.884000 15,000,000.00 99.381000 15,000,000.00 99.682000 10,000,000.00 99.437000 24,996,250.00 100.101000 24,996,250.00 100.101000

24,957,000.00 24,957,000.00 39,976,000.00 24,957,000.00 24,937,250.00 74,546,250.00 49,771,500.00 49,822,500.00 49,820,500.00 39,728,000.00 44,775,000.00 39,758,000.00 34,788,250.00 49,691,500.00 14,922,150.00 15,301,800.00 30,248,400.00 632,958,100.00 14,954,100.00 9,982,000.00 9,922,200.00 14,854,050.00 24,732,250.00 9,902,500.00 6,233,375.00 4,993,750.00 14,932,350.00 24,872,500.00 19,914,400.00 19,948,800.00 24,936,000.00 9,917,100.00 12,631,409.56 15,205,950.00 5,049,350.00 5,020,200.00 10,045,500.00 5,022,750.00 5,022,750.00 25,125,000.00 10,051,400.00 14,933,250.00 10,004,100.00 15,005,100.00 26,450,289.00 10,012,000.00 25,003,500.00 25,007,500.00 25,036,500.00 15,015,150.00 5,010,650.00 15,046,650.00 15,039,900.00 15,039,900.00 10,073,000.00 15,003,300.00 15,009,900.00 559,960,373.56 14,981,100.00 9,971,600.00 9,985,600.00 14,901,150.00 19,892,200.00 14,982,600.00 14,907,150.00 14,952,300.00 9,943,700.00 25,025,250.00 25,025,250.00

-18,585.94 -23,468.75 188,500.00 145,476.56 200,921.87 606,796.87 322,281.25 342,031.25 209,171.87 199,875.00 205,664.06 192,375.00 135,515.62 152,437.50 32,892.19 250,823.44 489,806.25 3,632,514.04 -45,900.00 -18,000.00 -77,800.00 -145,950.00 -267,750.00 -97,500.00 -15,375.00 -6,250.00 -67,650.00 -70,250.00 -69,460.00 -4,800.00 -6,500.00 148,100.00 249,655.56 205,950.00 49,350.00 20,200.00 45,500.00 22,750.00 22,750.00 125,000.00 51,400.00 174,300.00 4,100.00 5,100.00 -6,611.25 12,000.00 3,500.00 7,500.00 36,500.00 15,150.00 10,650.00 46,650.00 39,900.00 39,900.00 73,000.00 3,300.00 9,900.00 522,309.31 -18,900.00 -28,400.00 -14,400.00 -98,850.00 -107,800.00 -14,400.00 -92,850.00 -47,700.00 -56,300.00 29,000.00 29,000.00

.166 .166 .081 .165 .165 .454 .414 .249 .414 .495 .370 .454 .454 .655 .775

.167 .167 .082 .167 .167 .460 .419 .252 .419 .501 .375 .460 .460 .671 .792

4.444 4.550

4.753 4.838

.675

.701

1420: FHLMC-Fxd-Q 30/360

.838 .838

.858 .858

1425: FHLMC-Fxd-S 30/360

.361 .152 .726 .928

.364 .153 .740 .940

1.463 1.479

1.490 1.504

.323 .152

.326 .153

1.303

1.334

.619

.633

1.055

1.082

.323 .323

.326 .326

1.167 3.289 3.729 3.754 2.300 2.342 2.342 2.342 2.372 2.372 1.087 2.401 2.213 4.397 3.357 2.726 3.203 4.557 .899 2.539 4.556 4.558 4.558 4.584 1.389 1.705 1.705 1.967 1.945 1.987 2.031 2.034 2.031 .976 2.800 2.155

1.197 3.460 3.989 4.082 2.416 2.463 2.463 2.463 2.493 2.493 1.121 2.559 2.312 4.792 3.578 2.868 3.384 4.899 .921 2.655 4.904 4.904 4.904 4.929 1.416 1.745 1.745 2.027 1.986 2.047 2.085 2.085 2.085 .997 2.942 2.280

1465: FHLMC-STEP%-S30/360

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

9

Month End Portfolio Holdings

CUSIP

Description

Maturity Date

Coupon

Yield To Mat

Par Value

Book Value

Market Price

Market Value

Unrealized Gain/Loss 1,950.00 -3,450.00 -86,850.00 -134,250.00 -93,750.00 -49,600.00 -100,500.00 -121,500.00 -122,850.00 -131,800.00 -51,800.00 -108,735.00 -154,400.00 -81,600.00 -73,800.00 -69,700.00 -46,733.85 -38,300.00 -149,550.00 -149,550.00 -12,600.00 -125,550.00 -125,550.00 -54,700.00 -157,250.00 -76,580.00 -44,010.00 -194,000.00 -33,800.00 -24,200.00 -32,000.00 -32,000.00 7,053.75 13,200.00 -8,300.00 -92,200.00 -13,500.00 -52,000.00 -3,000.00 -23,250.00 -24,900.00 -4,800.00 -2,700.00 -16,800.00 157,530.00 53,430.00 200,000.00 -21,500.00 -80,700.00 -26,250.00 -21,200.00 -21,200.00 -30,450.00 -47,750.00 -27,700.00 -49,200.00 -46,200.00 -42,400.00 -4,300.00 24,150.00 -1,994.76 238,050.00 190,400.00 229,816.02 45,900.00 399,600.00 707,071.26 -200.00 2,000.00 -93,600.00 -62,250.00 -55,000.00 -154,500.00 -156,400.00 -12,000.00 -1,400.00 -6,100.00 -30,900.00 -74,000.00 -28,800.00 -10,700.00 -11,600.00 -114,150.00 -114,150.00 -11,400.00 1,200.00

Modified Duration

Years To Maturity

3130A0XD7 3130A0XD7 3130ADPR7 3130ADFW7 313379Q69 313378WG2 3130ACBD5 3130ABY34 3130ABRS7 3130ABYZ3 3130AC2C7 3130ABZE9 3130AC3J1 3136G3EH4 3136G3DV4 3136G3PB5 3136G3TG0 3136G3XT7 3136G3ZW8 3130A8Y72 3130ABB21 3136G3SY2 3135G0M26 3136G3RL1 3136G3WC5 3135G0M26 3136G3A62 3136G3P25 3135G0R39 3136G4GU1 3135G0T60 3136G0YK1 3135G0S46 3135G0A78 3135G0UU5 3135G0T78 3135G0T94 3135G0P49 3134GBTD4 3134GBTE2 3134GBSD5 3134GBYK2 3134GBWD0 3134GBSE3 3134GBPJ5 3134GBMP4 3134GBKC5 3134GBWS7 3134GBYN6 3134G92T3 3134GBZQ8 3134GBHN5 3134G7S77 3134GBGB2 3134GAYR9 3134GAA87 3134GAA87 3134GAYG3 3134GBRW4 3134GAPA6 3134GAQV9 3134GAQV9 3134GARL0 3134GASF2 3134GAPM0 3134GATB0 3134GATA2 3134GAUA0 3134GATA2 3134GASF2 3134GAYF5 3134GANB6 3134GAPM0 3134G9UH8 3134G9XA0 3134G9S40 3134G9R66 3134G9S57 3134G9T23 3134G9U47 3134G95W3 3134G96A0 3134GAEB6 3134GAEG5 3134GADP6 3134GAET7 3134GAKY9 3136G3SG1 3135G0U43 3135G0V42

FHLMC 3.5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 4YrNc6MoB FHLMC 5YrNc3MoB FHLMC 4YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 4.25YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 3.5YrNc6MoB FHLMC 3YrNc3MoB FHLMC 3YrNc3MoB FHLMC 3YrNc3MoB FHLMC 3YrNc6MoB FHLMC 4YrNc6MoB FHLMC 3YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 3.5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc2MoB FHLMC3YrNc2MoB FNMA 3.5YrNc6MoB FNMA 4YrNc6MoE FNMA 3.25YrNc6MoB FNMA 3YrNc6MoE FNMA 3YrNc6MoE FNMA 3YrNc1YrE FNMA 3.5YrNc1YrE FHLMC 3.5Yr

12/30/2019 07/13/2021 07/27/2020 08/10/2021 08/10/2020 08/10/2021 08/25/2021 08/25/2021 08/25/2021 12/08/2020 08/24/2021 09/13/2021 09/30/2021 09/30/2021 09/30/2021 10/25/2021 10/25/2021 10/27/2020 10/27/2021 10/27/2021 10/28/2021 10/27/2021 10/27/2021 10/27/2021 11/10/2021 10/27/2021 11/30/2021 11/26/2021 12/09/2021 12/09/2021 12/30/2021 12/30/2021 10/29/2020 10/27/2020 04/27/2020 04/27/2020 05/22/2020 05/22/2020 02/24/2021 11/24/2020 06/29/2022 06/22/2022 07/05/2022 01/20/2021 07/27/2022 07/27/2022 08/08/2023 07/27/2022 06/15/2022 12/16/2019 07/13/2020 09/30/2019 07/26/2019 07/26/2019 07/26/2019 07/26/2019 10/24/2019 11/25/2019 07/30/2020 08/28/2019 01/27/2020 01/21/2020 03/06/2020 10/05/2022 01/19/2023 08/28/2019 04/29/2022 09/12/2023 03/09/2020 03/30/2020 03/30/2021 06/09/2021 06/30/2020 07/27/2021 07/27/2021 08/05/2019 07/26/2019 07/12/2019 05/22/2020 08/28/2020 08/28/2020 08/28/2019 05/29/2020 06/29/2020 06/10/2022 01/25/2021 03/12/2021 03/12/2021 09/15/2020 03/11/2022 09/09/2020

2.500 1.750 1.500 1.500 1.500 1.500 1.500 1.500 1.375 1.500 1.500 1.500 1.500 1.450 1.500 1.500 1.500 1.500 1.400 1.400 1.500 1.500 1.500 1.500 1.550 1.500 1.500 1.550 1.750 1.650 1.900 1.900 2.000 2.500 2.000 1.650 2.000 1.900 1.875 1.875 2.050 2.000 2.000 1.750 2.050 2.100 1.500 2.250 2.000 1.698 1.500 1.350 1.250 1.000 1.000 1.050 1.125 1.000 1.400 1.500 1.500 1.650 1.625 1.750 2.000 2.375 1.000 2.650 2.875 1.678 2.000 2.500 2.000 1.550 1.500 1.400 1.375 1.375 1.460 1.600 2.000 1.650 1.550 1.613 1.650 2.125 2.200 2.375 2.375 2.500 2.500 .875 1.625 1.625

2.500 1.750 1.500 1.500 1.500 1.500 1.500 1.500 1.375 1.500 1.500 1.500 1.500 1.450 1.500 1.500 1.500 1.500 1.400 1.400 1.500 1.500 1.500 1.500 1.550 1.500 1.500 1.550 1.750 1.650 1.900 1.900 2.153 2.500 2.000 1.650 2.000 1.900 2.000 2.050 2.000 1.750 2.050 2.100 1.875 1.875 2.399 2.732 2.603 1.715 1.500 1.350 1.250 1.000 1.000 1.050 1.125 1.091 1.400 1.911 1.800 1.400 1.913 2.322 1.604 2.495 2.655 2.659 2.333 1.851 1.550 2.000 1.500 1.400 2.000 2.500 1.375 1.444 1.483 1.600 1.790 1.650 1.550 1.813 1.861 2.182 2.212 2.484 2.489 2.500 2.619 .940 1.625 1.625

15,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 20,000,000.00 20,000,000.00 16,500,000.00 20,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 6,705,000.00 10,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 17,000,000.00 14,000,000.00 4,500,000.00 20,000,000.00 10,000,000.00 20,000,000.00 10,000,000.00 10,000,000.00 7,125,000.00 15,000,000.00 10,000,000.00 20,000,000.00 10,000,000.00 20,000,000.00 15,000,000.00 15,000,000.00 20,000,000.00 15,000,000.00 20,000,000.00 10,000,000.00 20,000,000.00 20,000,000.00 5,000,000.00 3,000,000.00 10,000,000.00 803,830,000.00 5,000,000.00 10,000,000.00 7,500,000.00 10,000,000.00 10,000,000.00 15,000,000.00 25,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 5,000,000.00 15,000,000.00 11,082,000.00 15,000,000.00 10,000,000.00 28,799,000.00 30,000,000.00 30,000,000.00 267,381,000.00 15,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 20,000,000.00 15,000,000.00 20,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00 5,000,000.00 10,000,000.00 5,000,000.00 5,000,000.00 10,000,000.00 5,350,000.00 7,975,000.00 15,000,000.00 10,000,000.00 10,000,000.00 5,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00

15,000,000.00 100.013000 15,000,000.00 99.977000 15,000,000.00 99.421000 15,000,000.00 99.105000 15,000,000.00 99.375000 10,000,000.00 99.504000 15,000,000.00 99.330000 10,000,000.00 98.785000 15,000,000.00 99.181000 20,000,000.00 99.341000 20,000,000.00 99.741000 16,500,000.00 99.341000 20,000,000.00 99.228000 15,000,000.00 99.456000 15,000,000.00 99.508000 10,000,000.00 99.303000 6,705,000.00 99.303000 10,000,000.00 99.617000 15,000,000.00 99.003000 15,000,000.00 99.003000 10,000,000.00 99.874000 15,000,000.00 99.163000 15,000,000.00 99.163000 10,000,000.00 99.453000 17,000,000.00 99.075000 14,000,000.00 99.453000 4,500,000.00 99.022000 20,000,000.00 99.030000 10,000,000.00 99.662000 20,000,000.00 99.879000 10,000,000.00 99.680000 10,000,000.00 99.680000 7,108,968.75 99.874000 15,000,000.00 100.088000 10,000,000.00 99.917000 20,000,000.00 99.539000 10,000,000.00 99.865000 20,000,000.00 99.740000 15,000,000.00 99.980000 15,000,000.00 99.845000 20,000,000.00 99.999000 15,000,000.00 99.834000 20,000,000.00 99.976000 10,000,000.00 99.973000 20,000,000.00 99.916000 20,000,000.00 100.010000 4,790,170.00 98.954000 2,946,600.00 100.001000 9,799,500.00 99.995000 803,347,238.75 99.570829 5,000,000.00 99.570000 10,000,000.00 99.193000 7,500,000.00 99.650000 10,000,000.00 99.788000 10,000,000.00 99.788000 15,000,000.00 99.797000 25,000,000.00 99.809000 9,973,200.00 99.455000 10,000,000.00 99.508000 9,969,700.00 99.235000 10,019,600.00 99.772000 4,983,850.00 99.591000 14,910,900.00 99.567000 11,042,326.44 99.624000 14,782,200.00 100.135000 9,944,100.00 101.345000 28,472,995.32 99.666000 29,992,500.00 100.128000 30,670,500.00 103.567000 267,261,871.76 100.219890 15,000,000.00 99.924000 10,000,000.00 100.012000 15,000,000.00 99.376000 15,000,000.00 99.585000 20,000,000.00 99.725000 15,000,000.00 98.970000 20,000,000.00 99.218000 14,971,200.00 99.728000 9,986,000.00 99.846000 9,995,400.00 99.893000 5,000,000.00 99.382000 10,061,000.00 99.870000 5,000,000.00 99.424000 5,000,000.00 99.786000 9,950,500.00 99.389000 5,321,270.50 99.536000 7,955,620.75 100.447000 14,994,900.00 100.272000 9,968,000.00 100.618000 9,966,500.00 100.618000 5,000,000.00 100.015000 9,954,700.00 101.429000 15,000,000.00 99.239000 15,000,000.00 99.239000

15,001,950.00 14,996,550.00 14,913,150.00 14,865,750.00 14,906,250.00 9,950,400.00 14,899,500.00 9,878,500.00 14,877,150.00 19,868,200.00 19,948,200.00 16,391,265.00 19,845,600.00 14,918,400.00 14,926,200.00 9,930,300.00 6,658,266.15 9,961,700.00 14,850,450.00 14,850,450.00 9,987,400.00 14,874,450.00 14,874,450.00 9,945,300.00 16,842,750.00 13,923,420.00 4,455,990.00 19,806,000.00 9,966,200.00 19,975,800.00 9,968,000.00 9,968,000.00 7,116,022.50 15,013,200.00 9,991,700.00 19,907,800.00 9,986,500.00 19,948,000.00 14,997,000.00 14,976,750.00 19,999,800.00 14,975,100.00 19,995,200.00 9,997,300.00 19,983,200.00 20,002,000.00 4,947,700.00 3,000,030.00 9,999,500.00 4,978,500.00 9,919,300.00 7,473,750.00 9,978,800.00 9,978,800.00 14,969,550.00 24,952,250.00 9,945,500.00 9,950,800.00 9,923,500.00 9,977,200.00 4,979,550.00 14,935,050.00 11,040,331.68 15,020,250.00 10,134,500.00 28,702,811.34 30,038,400.00 31,070,100.00 267,968,943.02 14,988,600.00 10,001,200.00 14,906,400.00 14,937,750.00 19,945,000.00 14,845,500.00 19,843,600.00 14,959,200.00 9,984,600.00 9,989,300.00 4,969,100.00 9,987,000.00 4,971,200.00 4,989,300.00 9,938,900.00 5,325,176.00 8,010,648.25 15,040,800.00 10,061,800.00 10,061,800.00 5,000,750.00 10,142,900.00 14,885,850.00 14,885,850.00

.574

.584

2.067 1.138 2.145 1.174 2.145 2.180 2.180 2.184 1.490 2.183 2.230 2.279 2.281 2.283 2.348 2.348 1.386 2.355 2.355 2.360 2.351 2.351 2.353 2.385 2.353 2.445 2.429 2.445 2.441 2.490 2.490 1.388 1.378 1.690 1.455 2.943 2.927 2.963 1.600 3.020 3.017 4.003 2.999 2.904 2.067 .893 .894 .962 .962

2.121 1.159 2.197 1.197 2.197 2.238 2.238 2.238 1.526 2.236 2.290 2.337 2.337 2.337 2.405 2.405 1.411 2.411 2.411 2.414 2.411 2.411 2.411 2.449 2.411 2.504 2.493 2.529 2.529 2.586 2.586 1.416 1.411 1.740 1.488 3.082 3.063 3.099 1.644 3.159 3.159 4.192 3.159 3.044 2.129 .910 .910 .978 .978

800,380,193.65 -2,967,045.10

1525: FNMA-Fxd-S 30/360

.534

.545

1.099

1.121

.332 .153 .153 .153 .152 .398 .484 .646 .629 .242 .752

.334 .153 .153 .153 .153 .488 .400 .660 .644 .244 .767

FNMA 3Yr

FNMA 3YrNc6MoB

FNMA 3Yr FNMA 2Yr

1.144

1.167

FNMA 2.16Yr2MoB

FNMA 2Yr

FNMA 2.25Yr FNMA 4.83Yr FNMA 5Yr FNMA 8Mo

3.430 3.204

3.641 3.351

.240

.244

FNMA 3YrNc6MoB

2.778 3.991 1.365

1.436 4.288 2.915

FNMA 4.41Yr

1560: FNMA-STEP%-Q 30/360

FNMA 4.25YrNc6MoB

1.254 1.254

1.279 1.279

3136G3BX2 1565: FNMA-STEP%-S 30/360

FNMA 4YrNc6MoB FNMA 4YrNc6MoB FNMA 5YrNc6MoB FNMA 5YrNc6MoB FNMA 4YrNc6MoB FNMA 5YrNc6MoB FNMA 5YrNc6MoB

.761 .820

.775 .833

1.969 1.795 1.067 2.110 2.110

2.027 1.833 1.085 2.159 2.159

FHLB 3Yr

.180 .152 .114 .963

.181 .153 .115 .978

FHLB 2.25YrNc2YrE

FHLB 2Yr

FHLB 2.75YrNc9MoE FHLB 3YrNc1YrE FHLB 3YrNc1YrE FHLB 2YrNc3MoB

1.216 1.219

1.247 1.247 .244 1.082 3.030 1.658 1.784 1.784 1.296 2.781 .997

.982 .242

FHLB 2.5Yr

FHLB 2.58YrNc1MoB

3,905.50 55,027.50 45,900.00 93,800.00 95,300.00

2.885 1.056 1.600 1.724 1.724 1.255 2.652

FHLB 4.5 Yr

FHLB 3Yr FHLB 3Yr FHLB 3Yr

FHLB 2.5YrNc3MoB

750.00

FHLB 4.08Yr

188,200.00

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

10

Month End Portfolio Holdings

CUSIP

Description

Maturity Date

Coupon

Yield To Mat

Par Value

Book Value

Market Price

Market Value

Unrealized Gain/Loss

Modified Duration

Years To Maturity

3133EGR49 3133EGC94 3133EGXX8 3133EGVK8 3133EHAJ2 3133EGSA4 3133EHRK1 3133EHUL5 3133EHWN9 3133EEZ60 3133EHWN9 3133EHZN6 3133EHJ95 3133EHP98 3133EH6X6 3133EJKN8 3133EJNS4 3133EJCE7 3133EHFD0 3133EJD48 3133EJP52 3133EHB85 3133EJT74 3133EFE86 3133EFX44 3133EJ3L1 3133EJ7K9 3133EJ7K9 3133EKDY9 3133EKBU9 3133EKDY9 3133EKDY9 3133EJEM7 3133EKDY9 3133EKCG9 3133EF5D5 3130AA5Y0 3130A9TV3 3130AC4T8 3130AC6H2 3130ABVZ6 3130ABZW9 3130AA2T4 3130AA5A2 3130AA2T4 3130A9DH1 3130A9DA6 3130ABQV1 3130AG7E9 3130AG7E9 3130ADUJ9 3130AG7E9 3130AG7E9 3130AG7E9 3130AGE68 313378WG2 3130AGC52 3130AGHC2 3130AFZK6 3130AG7E9 3130AFY50 3130AFZ67 3130AG7E9 3130AFXN2 3130AG7E9 3130AFER4 3130AFCU9 3130A8CK7 3130A8R54 3130A9M40 3130A9EP2 3133XTYY6 3130AE6U9 3130AE6U9 3130A8DB6 3130ADG48 313382AX1 3130ADR53 3130ADG48 3130A9FR7 3130A9FR7 313312KZ2 313312MJ6 313312LX6 3130A8NF6

FHLB 2YrNc3MoB

03/20/2020 01/29/2021 01/29/2021 03/10/2023 06/21/2019 05/07/2021 05/07/2021 06/14/2019 09/29/2022 07/28/2023 09/26/2019 11/26/2021 12/06/2021 06/09/2023 03/11/2021 12/11/2020 03/26/2021 03/28/2022 04/03/2020 04/03/2020 04/03/2020 04/03/2020 04/03/2020 04/03/2020 04/03/2020 04/03/2020 03/30/2020 03/11/2022 11/09/2021 09/23/2019 05/28/2020 09/30/2021 09/30/2021 12/09/2021 12/09/2021 12/08/2021 07/26/2022 02/09/2022 08/24/2022 08/24/2022 05/24/2022 11/08/2021 11/25/2022 04/27/2020 08/24/2020 09/21/2020 10/13/2020 11/02/2020 12/07/2020 02/27/2020 01/17/2020 08/10/2020 08/28/2019 06/24/2019 08/28/2019 03/20/2020 10/26/2020 11/06/2019 01/12/2022 03/01/2021 02/12/2021 04/11/2023 05/10/2021 04/11/2023 10/02/2023 11/01/2022 04/03/2023 11/15/2021 03/01/2023 10/05/2022 06/24/2020 11/08/2021 11/08/2021 02/27/2020 12/26/2023 12/26/2023 12/26/2023 09/05/2023 12/26/2023 09/22/2020 09/22/2020 09/28/2020 09/28/2020 07/01/2020 09/30/2019 09/19/2019 08/28/2019

2.350 2.250 2.250 2.125 1.125 2.700 2.700 4.375 1.650 1.800 1.000 3.125 3.220 2.050 2.650 2.600 2.650 2.900 2.550 2.550 2.550 2.550 2.550 2.550 2.550 2.550 2.375 2.500 2.625 2.450 2.510 2.249 1.750 1.750 1.600 1.600 1.700 2.000 1.850 2.000 2.000 2.000 1.500 1.750 1.817 2.586 2.586 2.580 2.580 2.583 1.420 1.320 1.350 1.340 1.380 1.770 1.710 1.520 1.550 1.400 1.520 1.400 1.450 1.750 1.600 2.200 2.500 2.350 2.700 2.700 2.400 3.050 3.330 2.280 3.050 2.200 2.050 2.750 2.720 2.720 2.520 2.830 2.830 2.830 2.900 2.830 2.717 2.717 2.570 2.570 2.440 2.545

3.147 3.220 2.700 2.600 2.703 2.725 2.373 2.965 2.929 2.687 2.650 2.900 2.550 2.550 2.550 2.550 2.550 2.550 2.550 2.550 2.513 2.716 2.263 3.150 2.429 2.308 2.631 2.456 2.510 2.406 1.750 1.750 1.600 1.600 1.700 2.000 1.850 2.000 2.000 2.000 2.579 2.436 1.906 2.586 2.586 2.580 2.580 2.583 2.350 2.553 2.622 2.620 2.467 2.592 1.320 1.420 1.350 1.340 1.380 1.770 1.710 1.520 1.550 1.400 1.400 1.410 2.474 2.501 2.721 2.747 3.160 3.095 3.330 3.166 1.511 1.760 1.667 2.365 2.922 3.060 3.050 2.757 2.720 2.555 2.720 2.830 2.810 2.810 2.889 2.815 2.717 2.717

10,000,000.00 20,000,000.00 10,000,000.00 11,750,000.00 10,620,000.00 7,650,000.00 10,000,000.00 5,000,000.00 15,730,000.00 3,700,000.00 20,180,000.00 10,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 21,135,000.00 10,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00 25,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 47,210,000.00 30,000,000.00 10,000,000.00 29,450,000.00 15,000,000.00 590,750,000.00 15,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 20,000,000.00 10,000,000.00 15,000,000.00 20,000,000.00 10,000,000.00 5,100,000.00 160,100,000.00 10,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 50,000,000.00 7,700,000.00 10,000,000.00 10,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 5,000,000.00 5,000,000.00 5,000,000.00 10,000,000.00 20,000,000.00 20,000,000.00 25,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00 5,000,000.00 10,000,000.00 5,000,000.00 21,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 20,000,000.00 32,880,000.00 38,000,000.00 32,635,000.00 19,750,000.00 25,000,000.00 25,000,000.00 75,000,000.00 25,000,000.00 24,000,000.00 124,000,000.00

10,000,000.00 100.002000 19,833,600.00 100.008000 9,928,600.00 100.008000 11,432,397.50 100.518000 10,480,240.80 99.931000 7,644,492.00 101.389000 9,999,100.00 101.389000 5,092,350.00 100.059000 14,940,354.00 98.918000 3,504,196.00 98.899000 19,877,300.00 99.552000 9,992,900.00 100.394000 10,000,000.00 100.009000 9,540,100.00 100.000000 14,985,495.00 100.008000 21,135,000.00 100.077000 10,000,000.00 100.137000 15,000,000.00 100.048000 10,000,000.00 100.016000 10,000,000.00 100.016000 25,000,000.00 100.016000 10,000,000.00 100.016000 10,000,000.00 100.016000 10,000,000.00 100.016000 10,000,000.00 100.016000 10,000,000.00 100.016000 47,186,395.00 100.058000 30,158,100.00 101.429000 9,998,500.00 100.029000 29,448,880.90 100.000000 15,000,000.00 100.063000 588,295,442.45 100.088072 15,000,000.00 99.749000 15,000,000.00 99.741000 10,000,000.00 99.392000 10,000,000.00 99.392000 15,000,000.00 99.807000 15,000,000.00 99.985000 20,000,000.00 99.992000 10,000,000.00 99.804000 15,000,000.00 99.810000 20,000,000.00 100.018000 9,690,500.00 99.411000 4,967,400.00 99.374000 159,657,900.00 99.771252 10,000,000.00 100.165000 15,000,000.00 100.165000 10,000,000.00 100.197000 15,000,000.00 100.197000 50,000,000.00 100.181000 7,700,000.00 99.311000 10,000,000.00 99.154000 10,000,000.00 99.145000 15,000,000.00 99.095000 10,000,000.00 99.118000 10,000,000.00 99.641000 10,000,000.00 99.644000 10,000,000.00 99.572000 5,000,000.00 99.433000 5,000,000.00 99.790000 5,010,640.00 99.949000 9,998,000.00 99.790000 19,970,400.00 99.406000 19,994,000.00 99.619000 24,967,247.50 99.688000 9,938,000.00 100.571000 9,999,700.00 100.825000 14,948,670.00 100.497000 9,990,300.00 102.688000 9,986,600.00 101.314000 4,839,900.00 100.001000 9,979,300.00 104.410000 5,000,000.00 100.419000 20,237,490.00 100.001000 10,035,700.00 102.476000 9,660,530.00 100.001000 9,640,870.00 100.000000 9,999,000.00 100.747000 10,000,000.00 100.003000 10,000,000.00 100.003000 9,996,600.00 100.225000 20,000,000.00 100.117000 32,909,592.00 100.117000 38,035,112.00 100.117000 32,649,587.85 100.003000 19,763,825.00 100.117000 25,000,000.00 100.246000 25,000,000.00 100.246000 73,511,541.67 99.223000 24,525,263.89 99.295000 23,736,480.00 99.439000 121,773,285.56 99.279323

10,000,200.00 20,001,600.00 10,000,800.00 11,810,865.00 10,612,672.20 7,756,258.50 10,138,900.00 5,002,950.00 15,559,801.40 3,659,263.00 20,089,593.60 10,039,400.00 10,000,900.00 10,000,000.00 15,001,200.00 21,151,273.95 10,013,700.00 15,007,200.00 10,001,600.00 10,001,600.00 25,004,000.00 10,001,600.00 10,001,600.00 10,001,600.00 10,001,600.00 10,001,600.00 47,237,381.80 30,428,700.00 10,002,900.00 29,450,000.00 15,009,450.00 591,270,283.70 14,962,350.00 14,961,150.00 9,939,200.00 9,939,200.00 14,971,050.00 14,997,750.00 19,998,400.00 9,980,400.00 14,971,500.00 20,003,600.00 9,941,100.00 5,068,074.00 159,733,774.00 10,016,500.00 15,024,750.00 10,019,700.00 15,029,550.00 50,090,500.00 7,646,947.00 9,915,400.00 9,914,500.00 14,864,250.00 9,911,800.00 9,964,100.00 9,964,400.00 9,957,200.00 4,971,650.00 4,989,500.00 4,997,450.00 9,979,000.00 19,881,200.00 19,923,800.00 24,922,000.00 10,057,100.00 10,082,500.00 15,074,550.00 10,268,800.00 10,131,400.00 5,000,050.00 10,441,000.00 5,020,950.00 21,000,210.00 10,247,600.00 10,000,100.00 10,000,000.00 10,074,700.00 10,000,300.00 10,000,300.00 10,022,500.00 20,023,400.00 32,918,469.60 38,044,460.00 32,635,979.05 19,773,107.50 25,061,500.00 25,061,500.00 74,417,250.00 24,823,750.00 23,865,360.00 123,106,360.00

200.00

.788

.805

FHLB 2.83YrNc1.33YrE FHLB 2.75YrNc1.25YrE

168,000.00 72,200.00 378,467.50 132,431.40 111,766.50 139,800.00 -89,400.00 619,447.40 155,067.00 212,293.60 46,500.00 459,900.00 15,705.00 16,273.95 13,700.00 7,200.00 1,600.00 1,600.00 4,000.00 1,600.00 1,600.00 1,600.00 1,600.00 1,600.00 50,986.80 270,600.00 900.00 -37,650.00 -38,850.00 -60,800.00 -60,800.00 -28,950.00 -2,250.00 -1,600.00 -19,600.00 -28,500.00 250,600.00 100,674.00 75,874.00 16,500.00 24,750.00 19,700.00 29,550.00 90,500.00 3,600.00 905,708.33 298,486.11 128,880.00 1,333,074.44 -53,053.00 -84,600.00 -85,500.00 -135,750.00 -88,200.00 -35,900.00 -35,600.00 -42,800.00 -28,350.00 -10,500.00 -13,190.00 -19,000.00 -89,200.00 -70,200.00 -45,247.50 119,100.00 82,800.00 125,880.00 278,500.00 144,800.00 160,150.00 461,700.00 20,950.00 762,720.00 211,900.00 339,570.00 359,130.00 75,700.00 4,400.00 1,119.10 9,450.00 2,974,841.25 61,500.00 61,500.00

1.607 1.608 3.580

1.668 1.668 3.778

FHLB 4.9Yr

FHLB 1.167Yr

.057

.058

FHLB 3Yr FHLB 3Yr

1.868 1.868

1.937 1.937

FHLB 11Mo FHLB 4.17Yr

.038

.038

3.194 3.938

3.334 4.162

FHLB 4.9YrNc1Mo

FHLB 11MoB

.319

.323

FHLB 3YrNc1YrE FHLB 3 YrNc6MoB

1.480 1.716 1.757 3.779 2.360 2.373 2.681

2.521 2.493 4.027 1.781 1.534 1.822 2.827

FHLB 4.5Yr

FHLB 2YrNc3MoB FHLB 1.75YrNc6MoB FHLB 2YrNc6MoB FHLB 3YrNc3MoB FHLB 1YrNc3MoB FHLB 1YrNc3MoB FHLB 1YrNc3MoB FHLB 1YrNc3MoB FHLB 1YrNc3MoB FHLB 1YrNc3MoB FHLB 1YrNc3MoB FHLB 1YrNc3MoB

.822 .822 .822 .822 .822 .822 .822 .822 .818

.844 .844 .844 .844 .844 .844 .844 .844 .833

FHLB 11Mo FHLB 2.91Yr

2.656 2.344

2.781 2.447

FHLB 2.5YrNc3MoB

FHLB 4Mo

.311 .973

.315 .995

FHLB 1YrNc3MoB

1.396

1.451

1765: FHLB-STEP%-S 30/360

FHLB 5YrNc3MoB FHLB 5YrNc3MoB FHLB 5YrNc6MoB FHLB 5YrNc6MoB FHLB 5YrNc1YrB FHLB 5YrNc6MoB FHLB 5YrNc6MoB FHLB 5YrNc3MoB FHLB 5YrNc3MoB FHLB 5YrNc3MoB FHLB 3.4YrNc2MoB FHLB 4.16YrNc2MoB

2.280 2.280 2.444 2.444 2.436 3.020 2.600 3.097 3.097 2.885 2.374 3.370 2.668 1.300 1.300 1.317 1.317 1.309

2.337 2.337 2.529 2.529 2.526 3.156 2.699 3.236 3.236 2.984 2.444 3.490 2.766 1.315 1.315 1.332 1.332 1.324

1767: FHLB-Var-M A/360 3130A9FU0 3130A9FM8

FHLB 4Yr FHLB 4Yr FHLB 4Yr FHLB 4Yr

1770: FHLB-Var-Q A/360

FHLB 3Yr

1.071 1.071

1.088 1.088

1900: FFCB-DISC NOTE

FFCB DISC NTE FFCB DISC NTE FFCB DISC NTE

.325 .296 .238 .302

.334 .304 .244 .311

1925: FFCB-Fxd-S 30/360

FFCB 4YrNc1YrA FFCB 4YrNc1YrA FFCB 4YrNc1YrA FFCB 4YrNc1YrA FFCB 4YrNc3MoA FFCB 4YrNc1YrA FFCB 3YrNc1YrE

.896

.910

1.213 1.287 1.348 1.400 1.477

1.236 1.312 1.373 1.427 1.523

.728 .619

.745 .633

FFCB 2.5Yr FFCB 3Yr FFCB 2Yr FFCB 2Yr FFCB 2Yr FFCB 3Yr FFCB 3Yr FFCB 2Yr FFCB 4Yr FFCB 3Yr FFCB 2.8Yr FFCB 5Yr FFCB 3Yr FFCB 4.5Yr FFCB 5Yr

1.171

1.197

.242 .065 .793 .242

.244 .244 .066 .805

1.378

1.408

.432

.436

1.642 1.692 3.630 1.876 3.639 2.504 3.624 2.347 3.196 3.544 4.013 3.189 1.029 2.351 2.351 3.955 4.363 4.362 4.236 4.363 .723

2.622 1.753 1.707 3.866 1.945 3.866 4.342 3.425 3.844 2.463 3.753 3.351 1.068 2.444 2.444 4.268 4.575 4.575 4.575 4.575 .745

FFCB4 4YrNc1YrA

FFCB 4.4YrA FFCB 2.9Yr

FFCB 4.2YrNc1WKA FFCB 3.8YrNc1WKA

FFCB 1.5Yr

FFCB 2.75YrNc3MoA FFCB 2.75YrNc3MoA

300.00 300.00

FFCB 1Yr

25,900.00 23,400.00 8,877.60 9,348.00 -13,608.80

FFCB 4.75YrA

FFCB 4.75YrNc6MoA FFCB 4.75YrNc6MoA FFCB 4.5YrNc3MoA FFCB 4.75YrNc6MoA

9,282.50

11

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

Page 1 Page 2 Page 3 Page 4 Page 5 Page 6 Page 7 Page 8 Page 9 Page 10 Page 11 Page 12 Page 13 Page 14 Page 15 Page 16

www.countytreasurer.org

Made with FlippingBook - Online Brochure Maker