November 2019 TPIF

County of Riverside Treasurer’s Pooled Investment Fund

November 2019

Contents

2 | Treasurer’s Pooled Investment Fund

3 | Economy

4 | Market Data

6 | Portfolio Data

8 | Compliance Report

9 | Month End Holdings

Hot air balloons over Lake Skinner in Temecula, Southwest Riverside County, CA. Digital Image. NBC San Diego . http://www.nbcsandiego.com/news/local/temecula-valley-2014-balloon-wine-festival-north-san-diego-261142951.html

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

1

Treasurer’s Pooled Investment Fund

Monthly Commentary

It’s All Gravy: Markets Looking More Optimistic in November

In November, U.S. labor market and con- sumer data provided a confirmation of eco- nomic strength during a month that has been dominated by a cornucopia of U.S.-China trade dispute headlines. Following the third 25bps rate cut by the Federal Reserve (Fed) this year in October, markets became more optimistic in November and stopped pricing in additional rate cuts. As a result, short-term Treasury yields traded in a very narrow range. This offers the TPIF predictable investment options, but at lower rates. Every November, in the same way turkey producers see their revenues increase at a faster rate, the TPIF’s balance increases from property tax collec- tions. The confluence of increased funds for investing and lower interest rates means that the TPIF’s yield will likely move downward towards the Fed Funds Target Rate range of 1.50-1.75%. The first week of the month saw Treasury rates rise fairly aggressively due to strong job growth and positive developments in U.S.- China trade rhetoric. Mid month, Treasury rates drifted back down due to a mixed print in economic indicators and another negative shift in tone in U.S.-China trade talks. Ultimate- ly, Treasury rates ended higher in November. The 2-year Treasury began the month at 1.56% and ended at 1.61%, while the 5-year

Treasury began at 1.55% and ended the month at 1.62%. The U.S.-China phase-one trade deal nev- er materialized, but that doesn’t mean that investors weren’t monitoring the situation closely. As the clock ticked closer to another 15% tariff hike on $160bn worth of Chinese imports in mid-December, markets became bumpier with every shift in tone in trade rheto- ric. Additionally, the impending Brexit-defining general election in the U.K. in December and civil unrest in Hong Kong, Chile, Bolivia, and Ecuador continued to cast a shadow over global market sentiment. Overall, economic indicators continue to point to a robust U.S. economy, thanks in large part to consumer spending. Real GDP for 3Q19 was revised modestly upward to 2.1% SAAR from 1.9%. Although consumer sentiment, personal consumption, and retail sales figures fell below expectations in No- vember at 96.8, 0.4% MoM and 0.2% MoM apiece, they are still indicative of a healthy consumer sector. The labor market, with 3.6% unemployment, 128K jobs added, and aver- age hourly earnings increasing by 3.0% Y/Y, remains resilient. The Federal Open Market Committee’s preferred measure of inflation continues to run below their 2.0% objective.

This diminishes the likelihood for a Fed rate hike in the near term. Sales of existing homes grew by 4.6% Y/Y, the strongest since early 2018. New home sales were measured at an annualized rate of 738K in September and 733K in October; both are twelve-year highs. The U.S. housing mar- ket is being propped up by low mortgage rates, flattening home prices, a strong job market, and robust consumer confidence. The U.S. manufacturing sector is not perform- ing as well as the broader economy. The industrial production index and durable goods orders have contracted on a Y/Y basis, respectively, for the past two and three months. Additionally, residential construction spending fell by 3.2% Y/Y as of September. In Riverside County, the median home price in October 2019 was $400K, an increase of 5.5% from October 2018. Over the same period, median home prices grew 0.7% in Orange County, 5.4% in Los Angeles County, and 8.0% in San Bernardino County. Nonfarm payrolls in the Inland Empire grew by 2.0% Y/Y in October, outpacing California (1.8% Y/Y) and the Nation (1.4% Y/Y). 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 Analyst

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)

Nov-19

6,701,954,259.60 6,686,612,679.23 15,341,580.37

0.23%

1.91

1.13

Oct-19

6,439,190,828.38 6,419,496,517.32 19,694,311.06

0.31%

2.03

1.13

Sep-19

6,351,986,977.01 6,333,085,946.48 18,901,030.53

0.30%

2.13

1.10

Aug-19

6,417,639,034.28 6,389,269,000.29 28,370,033.99

0.44%

2.23

1.13

Jul-19

6,570,927,735.30 6,550,099,863.71 20,827,871.59

0.32%

2.29

1.13

Jun-19

6,838,812,308.82 6,811,213,591.28 27,598,717.54

0.41%

2.32

1.06

*Market values do not include accrued interest.

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

2

Economy

National Economy

State Economy

U.S. economic activity expanded modestly from October to mid- November, with consumer spending growing “moderately” and manufacturing activity stagnating. [Federal Reserve; 12/05/2019]  Job growth has averaged 167k per month in 2019, compared to 223k per month in 2018. Strike activity has adversely affect- ed payrolls in automotive manufacturing. [BLS; 12/05/2019]  Consumer confidence declined for the fourth straight month in November, but confidence levels remain high and should support holiday spending. [Conference Board; 12/05/2019]

California’s labor force grew substantially in September (21.2k) and October (40.8k), a sign that the strong economy is encourag- ing individuals to seek employment. [LA Times; 12/05/2019]  Job growth was led by the construction sector over last twelve months (4.0% Y/Y), followed by education and health services (3.3% Y/Y). [BLS; 12/05/2019]  In October, California ranked 42nd among states in home price growth with 2.0% Y/Y, compared to the national aver- age of 3.5% Y/Y. In Riverside County, home prices grew 5.5% Y/Y over the same period. [CoreLogic; 12/05/2019]

Private Sector Average Hourly Earnings Y/Y

Industrial Production Index Y/Y

10 Percent

Recession

3.4 Percent

Industrial Production Index

3.2

5

3.0

0

2.8

2.6

-5

2.4

-10

2.2

2.0

-15

New Home Sales SAAR

Nonfarm Payrolls Added Y/Y

4.5 Percent

U.S.

CA

Inland Empire

Thousands

Percent

New Home Sales (LHS)

800

7.0

30-Year Fixed Mortgage Rate (RHS)

4.0

6.0

700

3.5

5.0

600

4.0

3.0

500

3.0

2.5

400

2.0

2.0

300

1.0

1.5

200

0.0

1.0

Key Economic Indicators

Release Date

Indicator

Actual

Consensus

Prior Year

2.1% 3.6%

11/27/2019 11/01/2019 11/01/2019 11/13/2019 11/13/2019 11/05/2019 11/26/2019 11/04/2019 11/27/2019

Real GDP - Q/Q Change - SAAR - 3Q19 (2nd estimate) Unemployment Rate - Seasonally Adjusted Non-Farm Payrolls - M/M Change - Thousands

1.9% 3.6%

3.5% 3.7%

128

85

250

1.8% 2.3%

CPI - Y/Y Change

1.7% 2.4% 53.5

2.5% 2.1% 60.3

CPI Ex Food and Energy - Y/Y Change

54.7

ISM Non-Manufacturing Index (> 50 indicates growth)

733

New Home Sales - SAAR - Thousands

705

544

-0.6%

Factory Orders - M/M Change

-0.5% -0.9%

0.7%

0.6%

Durable Goods Orders - New Orders - M/M Change

-4.4%

*Note: 'Prior Year' displays final estimates of indicator values from the equivalent period of the prior year.

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

3

Market Data

FOMC Meeting 10/30/2019

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

strong and that economic activity has been rising at a moderate rate.”

 The Federal Open Market Committee lowered the Fed Funds Target Rate to 1.50—1.75% from 1.75—2.00%.

 The FOMC stated in their October 30 press release that “sustained expansion of economic activity, strong labor mar-

ket conditions, and inflation near the Committee’s symmetric 2 percent objective as the most likely outcomes, but

uncertainties about this outlook remain.”

Fed Funds Target Rate (Upper Limit)

3.00%

2.50%

2.00%

1.50%

1.00%

U.S. Treasury Curve

2.50

11/01/2019 11/29/2019

2.00

1.50

1.00

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

11/29/2019 - 11/01/2019

0.07

0.08

0.07

0.05

0.06

0.07

0.05

0.00

11/29/2019

1.59

1.63

1.60

1.61

1.61

1.62

1.78

2.21

11/01/2019

1.52

1.55

1.53

1.56

1.55

1.55

1.73

2.21

The US Treasury Curve and its 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

U.S. Treasuries

Recession 3M-10Y Treasury Yield Spread

Percent

Percent

Recession

2Y Treasury Yield

5.0

4.0

4.0

3.0

3.0

2.0

2.0

1.0

1.0

0.0

0.0

-1.0

Commodities

Precious Metals

Industrial Metals

Nymex Crude (LHS)

Nymex Nat Gas (RHS)

200.00

75.00

5.00

4.50

180.00

65.00

4.00

160.00

3.50

140.00

55.00

3.00

120.00

2.50

100.00

45.00

2.00

Stocks

29,000.00

8,500.00

3,500.00

NASDAQ 100 (LHS) S&P 500 (RHS)

Dow Jones

8,000.00

3,300.00

27,000.00

7,500.00

3,100.00

7,000.00

2,900.00

25,000.00

6,500.00

2,700.00

23,000.00

6,000.00

2,500.00

* Values listed for commodities and stocks are in US dollars and are as of 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)

Aa1 9%

Book

MKT/Book % Book

Yield

Aa2 4%

Aaa

4,804,065.86 100.27%

71.85%

1.91%

Aa3 3%

Aaa 72%

Aa1

570,665.35 100.20%

8.53%

1.87%

Aa2

NR 12%

266,410.86 100.13%

3.98%

1.83%

Aa3

225,385.91 100.03%

3.37%

2.26%

NR

820,084.70 100.08%

12.26%

1.90%

Totals:

6,686,612.68 100.23% 100.00%

1.91%

S&P Asset Rating (000’s)

AA- 10%

Book

MKT/Book % Book

Yield

AA <1%

AAA

303,641.31

100.78%

4.54%

2.08%

A+ 1% NR 12%

AA+

4,795,997.26

100.25%

71.73%

1.90%

AA

25,526.86

100.00%

0.38%

2.36%

AA+ 72%

AA-

691,362.54

100.05%

10.34%

1.93%

AAA 5%

A+

50,000.00

100.00%

0.75%

1.84%

NR

820,084.70

100.08%

12.26%

1.90%

Totals:

6,686,612.68 100.23%

100.00%

1.91%

12-Month Projected Cash Flow

Required Matured Investments

Actual Investments Maturing

Monthly Receipts

Monthly Disbursements Difference

Available to Invest > 1 Year

Month

Balance

12/2019

386.72

2,375.13

1,200.00

1,175.13

1,561.85

921.97

12/2019

1,100.00

2,200.00

(1,100.00)

461.85

1,317.09

01/2020

1,100.00

1,500.00

(400.00)

61.85

649.33

02/2020

1,350.00

1,200.00

150.00

211.85

150.29

03/2020

1,350.00

1,200.00

150.00

361.85

140.65

04/2020

1,700.00

1,700.00

-

361.85

461.66

05/2020

1,000.00

1,736.13

(736.13)

374.28

-

130.43

06/2020

1,177.22

1,435.00

(257.78)

257.78

-

106.83

07/2020

1,000.00

1,300.00

(300.00)

300.00

-

108.35

08/2020

1,030.00

1,300.00

(270.00)

270.00

-

115.00

09/2020

1,100.00

1,300.00

(200.00)

200.00

-

87.25

10/2020

11/2020

1,200.00

1,320.00

(120.00)

120.00

-

130.10

TOTALS

15,482.35 17,391.13 (1,908.78) 1,522.06 3,407.82 4,318.95 5,164.55 22.76% 64.59% 77.24%

* 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)

29.32% 1,966,421.00

2,000,000

21.18% 1,420,557.00

1,500,000

15.73% 1,054,949.00

13.75% 921,970.97

1,000,000

10.31% 691,537.00

9.70% 650,335.00

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

387,509.14 388,552.65

100.27%

1.83% 1.48 1.48

AGENCIES

3,715,232.15 3,723,830.08

100.23%

1.92% 0.96 1.71

MMKT

208,000.00 208,000.00

100.00%

1.68% 0.00 0.00

CASH

665,000.00 665,000.00

100.00%

1.83% 0.00 0.00

CALTRUST FND

4,023.98 4,023.98

100.00%

1.96% 0.00 0.00

COMM PAPER

1,067,424.63 1,070,758.58

100.31%

1.85% 0.21 0.21

NCDS

340,000.00 340,000.00

100.00%

1.79% 0.31 0.31

MEDIUM TERM NOTES

138,386.54 140,752.74

101.71%

2.59% 0.60 0.64

MUNI

160,956.23 160,956.23

100.00%

2.63% 1.36 1.36

LOCAL AGCY OBLIG

80.00 80.00

100.00% 100.23%

2.53% 0.54 0.54

Totals:

6,686,612.68 6,701,954.26

1.91%

0.71

1.13

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

TIMMI

Pool Yield

TIMMI

2.53% 2.52% 2.53% 2.51%

2.53%

2.46% 2.42%

2.50%

2.33%

2.31%

2.22%

2.13%

2.35%

2.03%

2.36%

2.32%

2.29%

2.27% 2.30% 2.32% 2.35%

1.91%

2.18%

2.00%

2.18%

2.00%

1.79%

1.71%

1.50%

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

Their average 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

S&P/Moody's/ Fitch

Investment Category

Actual %

MUNICIPAL BONDS (MUNI)

2.41%

5 YEARS

NO LIMIT

NA

4 YEARS

15%

AA-/Aa3/AA-

U.S. TREASURIES

5.80%

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

55.56%

5 YEARS

NO LIMIT

AAA

5 YEARS

100%

NA

COMMERCIAL PAPER (CP)

15.96%

270 DAYS

40%

A1/P1

270 DAYS

40%

A1/P1/F1

CERTIFICATE & TIME DEPOSITS (NCD & TCD)

25% Combined

5.08%

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)

2.07%

5 YEARS

30%

A

3 YEARS

20%

AA/Aa2/AA

CALTRUST SHORT TERM FUND

DAILY LIQUIDITY

0.06%

NA

NA

NA

1.00%

NA

MONEY MARKET MUTUAL FUNDS (MMF)

DAILY LIQUIDITY

AAA by 2 Of 3 RATINGS AGC.

AAA/Aaa (2)

3.11%

60 DAYS (1)

20%

20%

LOCAL AGENCY INVESTMENT FUND (LAIF)

DAILY LIQUIDITY

Max $50 million

0.00%

NA

NA

NA

NA

CASH/DEPOSIT ACCOUNT

9.95%

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

Fund: 1 POOL FUND

1060: MMKT ACCTS-A/365-6

FRGXX

FIDELITY GOV

12/01/2019 12/01/2019 12/01/2019 12/01/2019 12/01/2019 12/01/2019

1.609 1.603 1.588 1.604 1.760 1.767 1.683

1.603 1.609 1.588 1.604 1.758 1.764 1.682

105,000,000.00 1,000,000.00 1,000,000.00 1,000,000.00 49,985,004.50 49,970,017.99 207,955,022.49

105,000,000.00 100.000000 1,000,000.00 100.000000 1,000,000.00 100.000000 1,000,000.00 100.000000 50,000,000.00 100.030000 50,000,000.00 100.060000 208,000,000.00 100.021628

105,000,000.00 1,000,000.00 1,000,000.00 1,000,000.00 50,000,000.00 50,000,000.00 208,000,000.00

0.00 0.00 0.00 0.00 0.00 0.00 0.00

.003 .003 .003 .003 .003 .003 .003

.003 .003 .003 .003 .003 .003 .003

GOFXX

FEDERATED GOV

WFFXX

WELLS FARGO GOV

FGTXX

GOLDMAN SACHS GOV

CJPXX TMPXX

JP MORGAN PRIME BLACKROCK PRIME

1065: CLTR-A/365-6

CLTR

CALTRUST SHT TERM FUND

12/01/2019

1.971 1.971

1.959 1.959

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

12/01/2019

1.890 1.890

1.890 1.890

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

PACIFIC PREMIER BANK

12/01/2019

1.784

1.784

40,000,000.00

40,000,000.00 100.000000

40,000,000.00

0.00

.003

.003

CASH CASH

FIRST REPUBLIC BANK UB MANAGED RATE

12/01/2019 12/01/2019

1.785 1.780 1.781

1.785 1.780 1.781

25,000,000.00 300,000,000.00 365,000,000.00

25,000,000.00 100.000000 300,000,000.00 100.000000 365,000,000.00 100.000000

25,000,000.00 300,000,000.00 365,000,000.00

0.00 0.00 0.00

.003 .003 .003

.003 .003 .003

1175: LAO-SINKING FND-A/360

LAO

US DIST COURTHOUSE

06/15/2020

2.527 2.527

2.527 2.527

80,000.00 80,000.00

80,000.00 100.000000 80,000.00 100.000000

80,000.00 80,000.00

0.00 0.00

.031 .031

.542 .542

1300: U.S. TREASURY BILL

912796TC3 912796TE9

U.S. TREASURY BILL U.S. TREASURY BILL U.S. TREASURY BILL

01/23/2020 02/06/2020 05/07/2020

2.022 1.951 1.523 1.832 1.375 1.625 2.625 1.500 1.500 1.375 1.500 1.125 1.250 1.375 1.486 1.250 1.200 1.370 1.440 1.800 1.500 1.750 1.450 3.000 3.100 1.850 2.500 2.625 2.610 2.610 2.600 2.400 2.250 2.125 2.125 2.000 2.000 2.125 2.190 2.150 2.300 2.150 2.300 2.150 2.300 1.880 1.860 2.125 1.860 1.920 2.050 1.875 2.000 2.125 1.800 1.800 1.998 1.860 1.860 2.460 2.460

2.042 1.970 1.535 1.850 2.449 1.662 2.462 1.668 1.601 1.627 1.711 1.735 1.702 1.634 1.825 1.250 1.200 1.370 1.440 1.800 1.602 1.780 2.421 3.000 3.100 2.870 2.500 2.625 2.610 2.610 2.600 2.400 2.250 2.125 2.125 2.000 2.000 2.125 2.190 2.150 2.300 2.150 2.300 2.150 2.300 1.880 1.860 2.125 1.860 1.920 2.050 1.875 2.000 2.125 1.800 1.814 2.042 1.875 1.875 2.475 2.475

25,000,000.00 25,000,000.00 25,000,000.00 75,000,000.00 50,000,000.00 15,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 50,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 50,000,000.00 315,000,000.00 10,000,000.00 15,000,000.00 25,000,000.00 10,000,000.00 15,000,000.00 25,000,000.00 20,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 50,000,000.00 15,000,000.00 5,000,000.00 5,000,000.00 1,000,000.00 5,000,000.00 5,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 50,000,000.00 45,000,000.00 25,000,000.00 10,000,000.00 25,000,000.00 5,000,000.00 5,000,000.00 15,000,000.00 5,000,000.00 40,000,000.00 40,000,000.00 25,000,000.00 25,000,000.00

24,744,504.86 24,753,415.28 24,807,509.72

99.774000 99.714000 99.321000

24,943,500.00 24,928,500.00 24,830,250.00 74,702,250.00 49,975,500.00 14,997,150.00 25,156,250.00 24,845,750.00 24,843,750.00 49,886,500.00 24,929,750.00 24,788,000.00 24,574,250.00 49,853,500.00 313,850,400.00

198,995.14 175,084.72

.145 .183 .429 .252 .168 .287 .655

.148 .186 .436 .256 .170 .290 .668

912796TT6

22,740.28

74,305,429.86 99.603000

396,820.14

1310: U.S. TREASURY BOND

912828UL2

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

01/31/2020 03/15/2020 07/31/2020 09/30/2024 10/31/2024 08/31/2020 08/31/2021 06/30/2021 08/31/2024

49,539,062.50 14,889,257.81

99.951000 99.981000

436,437.50 107,892.19

912828W63

912828Y46

25,179,687.50 100.625000

-23,437.50

912828L32 912828YC8 912828YH7 912828YM6 912828YE4 912828L99 912828S27

24,801,757.81 24,878,906.25 49,898,437.50 24,906,250.00 24,753,906.25 24,479,492.19

99.383000 99.375000 99.773000 99.719000 99.152000 98.297000

43,992.19

4.630 4.714

4.838 4.923

-35,156.25 -11,937.50 23,500.00 34,093.75 94,757.81 -23,453.13 646,689.06

.741

.753

1.713 1.553 4.572

1.753 1.584 4.756

U.S. TREASURY BOND

10/31/2020

49,876,953.13

99.707000

.906

.921

313,203,710.94 99.635048

1.711

1.770

1400: FHLMC-DISC NOTE 313396RP0

FHLMC DISC NTE

01/09/2020

39,749,530.00

99.832000

39,932,800.00 39,932,800.00

183,270.00 183,270.00

.107 .107

.110 .110

39,749,530.00 99.832000

1420: FHLMC-Fxd-Q 30/360

3134GTFF5

FHLMC 1YrNc9MoE

04/08/2020

24,996,250.00 100.082000 24,996,250.00 100.082000

25,020,500.00 25,020,500.00

24,250.00 24,250.00

.352 .352

.356 .356

1425: FHLMC-Fxd-S 30/360

3134GAVF8 3134GAXZ2 3134GAYK4 3134GBK35 3134GABZ6

FHLMC 3.5YrNc1YrE FHLMC 3.5YrNc1YrE FHLMC 4YrNc6MoE

02/25/2020 05/08/2020 11/25/2020 11/30/2020 09/29/2020 01/17/2020 06/29/2020 08/10/2020 05/26/2023 06/29/2023 07/13/2020 01/24/2022 04/24/2024 04/24/2024 04/24/2024 05/03/2024 06/10/2022 06/20/2024 07/01/2024 07/01/2024 07/01/2022 04/01/2022 07/01/2024 07/08/2024 07/15/2024 07/15/2024 07/15/2024 07/24/2023 08/07/2024 08/07/2024 09/09/2021 09/09/2021 09/12/2024 09/13/2022 10/07/2024 10/07/2021 10/15/2024 10/21/2021 10/30/2024 11/27/2023 08/28/2023

10,000,000.00 15,000,000.00 25,000,000.00 10,000,000.00

99.919000 99.843000 99.768000 99.833000 99.980000 99.959000 99.841000

9,991,900.00

-8,100.00

.237 .435 .976 .989 .819 .130 .571 .683

.238 .438 .989 .833 .132 .581 .696 1.003 3.488 3.581 2.153 4.403 4.403 4.403 4.427 2.529 4.559 4.589 4.589 2.586 2.337 4.589 4.608 4.627 4.627 4.627 3.649 4.690 4.690 1.778 1.778 4.789 2.789 4.858 1.855 4.879 1.893 4.921 3.995 3.745 2.993 .619

14,976,450.00 24,942,000.00

-23,550.00 -58,000.00 -16,700.00

FHLMC 4YrNc1YrE

9,983,300.00

FHLMC 3YrNc3MoB

15,000,000.00 100.004000

15,000,600.00 24,995,000.00 19,991,800.00

600.00

3137EAEE5

FHLMC 2.75Yr

24,942,750.00 19,983,860.00

52,250.00

3134GBTX0

FHLMC 2.75YrNc2MoB FHLMC 2.5YrNc3MoB FHLMC 5YrNc3YrE FHLMC 5YrNc2YrE FHLMC 1.6YrNc1Yr FHLMC 2.75YrNc9MoE FHLMC 5YrNc1YrE FHLMC 5YrNc1YrE FHLMC 5YrNc1YrE FHLMC 5YrNc2YrB FHLMC 3YrNc1YrE FHLMC 5YrNc6MoE

7,940.00

3134GTHH9 3134GBXV9 3134GSMF9 3134GSQL2 3134G9W37 3134GTGX5 3134GTGX5 3134GTKG7 3134GTSF1 3134GTTX1 3134GTYT4 3134GTXJ7 3134GTYP2 3134GTYS6 3134GTYT4 3134GTYT4 3134GTEB5 3134GTP23 3134GTA37 3134GTW82 3134GTW74 3134GT6P3 3134GT5H2 3134GUFQ8 3134GT6N8 3134GT5P4 3134GTA37 3134GTA52 3134GUWP1 3134GUMY3 3134GUKC3 3134GUHK9 3134GUFS4

9,769,000.00

9,984,100.00

215,100.00 226,500.00

15,000,000.00 101.510000

15,226,500.00

3.288 3.322

5,000,000.00 100.716000

5,035,800.00

35,800.00

14,758,950.00 100.009000

15,001,350.00

242,400.00

.606

5,000,000.00 100.085000

5,004,250.00

4,250.00

2.075 4.120 4.121 4.121 4.147 2.411 4.265 4.310 4.310 2.488 2.274 4.310 4.321 4.346 4.327 4.346 3.457 4.406 4.387 1.731 1.731 4.505 2.693 4.600 1.804 4.628 1.844 4.637 3.834 3.609 2.839

15,000,000.00 100.256000 15,000,000.00 100.240000 15,000,000.00 100.240000 10,000,000.00 100.983000 15,000,000.00 100.040000 15,000,000.00 100.105000 15,000,000.00 100.105000 15,000,000.00 100.117000 15,000,000.00 100.015000 15,000,000.00 100.105000 50,000,000.00 100.063000 15,000,000.00 100.095000 5,000,000.00 100.114000 5,000,000.00 100.095000 1,000,000.00 100.015000 5,000,000.00 100.357000

15,038,400.00 15,036,000.00 15,036,000.00 10,098,300.00 15,006,000.00 15,015,750.00 15,015,750.00 15,017,550.00 15,002,250.00 15,015,750.00 50,031,500.00 15,014,250.00 5,005,700.00 5,004,750.00 1,000,150.00 4,992,300.00 4,992,500.00 24,926,750.00 25,000,000.00 24,883,750.00 49,694,500.00 44,675,100.00 24,921,250.00 5,017,850.00

38,400.00 36,000.00 36,000.00 98,300.00 17,850.00 15,750.00 15,750.00 17,550.00 15,750.00 31,500.00 14,250.00 5,700.00 4,750.00 -7,700.00 -7,500.00 -73,250.00 -116,250.00 -305,500.00 -324,900.00 -78,750.00 -51,900.00 6,000.00 2,250.00 150.00 0.00

FHLMC 1YrNc1YrE FHLMC 1YrNc1YrE FHLMC 3YrNc1YrE

FHLMC 2.75YrNc9MoE

FHLMC 5YrNc1YrE FHLMC 5YrNc1YrE FHLMC 5YrNc1YrE FHLMC 5YrNc1YrQ

FHLMC 5YrNc1YrE

FHLMC 3.9YrNc5MoQ

FHLMC 5YrNc1YrQ

5,000,000.00 5,000,000.00 25,000,000.00 25,000,000.00 50,000,000.00 45,000,000.00 25,000,000.00 10,000,000.00

99.846000 99.850000 99.707000 99.535000 99.389000 99.278000 99.685000 99.481000 99.894000 99.795000 99.872000

FHLMC 5YrNc6MoQ FHLMC 2YrNc6MoO FHLMC 2YrNc6MoO FHLMC 5YrNc6MoQ FHLMC 3YrNC4MoO FHLMC 5YrNc3MoO FHLMC 2YrNc3MoQ

25,000,000.00 100.000000

FHLMC 5YrNc1Q

9,948,100.00

FHLMC 2YrNc3MoQ FHLMC 5YrNc3MoQ

25,000,000.00 100.000000

25,000,000.00

0.00

5,000,000.00

5,000,000.00

4,994,700.00

-5,300.00

FHLMC 4YrNc1YrB

15,000,000.00

15,000,000.00

14,969,250.00

-30,750.00

3134GUTX8

FHLMC 3.75YrNc9MoB

695,000.00

694,652.50

694,110.40

-542.10

656,695,000.00

656,149,212.50 99.921777

656,181,310.40

32,097.90

1465: FHLMC-STEP%-S30/360

3134G9JX6 3134G9JW8

FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB

06/09/2021 05/25/2021

1.750 1.750

1.750 1.750

15,000,000.00 20,000,000.00

15,000,000.00 20,000,000.00

99.806000 99.857000

14,970,900.00 19,971,400.00

-29,100.00 -28,600.00

1.488 1.462

1.526 1.485

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

Modified Duration

Years To Maturity

3134G9NU7

FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 4YrNc6MoB FHLMC 5YrNc3MoB FHLMC 4YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 4.25YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB 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 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB

06/16/2021 06/30/2021 06/30/2021 06/30/2021 07/27/2020 08/10/2021 08/10/2020 08/10/2021 08/25/2021 08/25/2021 08/25/2021 12/08/2020 09/13/2021 09/30/2021 09/30/2021 09/30/2021 10/25/2021 10/25/2021 10/27/2021 10/27/2021 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 06/29/2022 06/22/2022 07/05/2022 08/08/2023 12/16/2019 07/13/2020 07/30/2020 01/27/2020 01/21/2020 03/06/2020 10/05/2022 01/19/2023 09/12/2023 10/28/2024 01/29/2020 01/03/2020 01/10/2020 02/14/2020 01/24/2020 01/15/2020 01/15/2020 02/14/2020 01/09/2020 02/07/2020 01/15/2020 02/14/2020 05/01/2020 05/06/2020 01/08/2020 02/12/2020 02/12/2020 01/10/2020 04/05/2021 04/06/2020 05/22/2020 08/28/2020 08/28/2020 05/29/2020 06/29/2020 06/10/2022 01/25/2021 03/12/2021 03/12/2021 03/11/2022 03/10/2023 09/09/2020 03/30/2021 06/09/2021 06/30/2020 07/27/2021 07/27/2021

2.000 1.625 1.700 2.000 1.750 1.500 1.750 1.750 1.625 1.500 1.625 1.750 1.625 1.625 1.750 1.750 1.750 1.750 1.625 1.625 1.625 1.625 1.625 1.625 1.625 1.625 1.625 1.750 1.650 1.900 1.900 2.050 2.000 2.000 1.500 1.727 1.500 1.350 1.500 1.650 1.625 1.750 2.000 2.375 2.875 2.000 2.048 2.000 1.625 1.750 1.500 1.750 1.728 2.028 1.905 1.875 1.625 1.648 1.640 1.640 1.610 1.650 1.630 1.630 1.580 1.530 1.569 1.549 1.560 1.572 1.559 1.662 1.375 1.200 1.600 2.000 1.650 1.613 1.650 2.125 2.200 2.375 2.375 2.500 2.125 1.750 1.750

2.010 1.625 1.700 2.000 1.750 1.500 1.750 1.750 1.625 1.500 1.625 1.750 1.625 1.625 1.750 1.750 1.750 1.750 1.625 1.625 1.625 1.625 1.625 1.625 1.625 1.625 1.625 1.750 1.650 1.900 1.900 2.050 2.000 2.000 2.399 1.736 1.500 1.350 1.604 1.800 1.911 1.913 2.322 2.333 2.495 2.000 2.034 2.000 1.625 1.750 1.500 1.750 1.728 2.049 1.915 1.885 1.633 1.655 1.656 1.618 1.646 1.637 1.636 1.646 1.587 1.542 1.582 1.553 1.566 1.578 1.563 1.670 1.790 1.600 1.650 1.813 1.390 1.210 1.861 2.182 2.212 2.484 2.489 2.619 2.716 1.750 1.750

15,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 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 16,500,000.00 20,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 17,000,000.00 14,000,000.00 20,000,000.00 10,000,000.00 20,000,000.00 10,000,000.00 10,000,000.00 20,000,000.00 15,000,000.00 20,000,000.00 6,705,000.00 4,500,000.00

14,997,000.00 100.005000

15,000,750.00 14,979,450.00 14,997,000.00 9,993,000.00 14,995,500.00 14,950,050.00 14,991,900.00

3,750.00

1.507 1.548 1.551 1.546

1.545 1.584 1.584 1.584

3134G9UM7

15,000,000.00

99.863000

-20,550.00

3134G9VA2 3134G9UX3 3134G9S40 3134G9S57 3134G9R66

15,000,000.00 10,000,000.00 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 16,500,000.00 20,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 17,000,000.00 14,000,000.00 6,705,000.00

99.980000 99.930000 99.970000 99.667000 99.946000 99.929000 99.822000 99.806000 99.745000 99.817000 99.802000 99.878000 99.922000 99.930000 99.834000 99.834000 99.692000 99.692000 99.715000 99.715000 99.891000 99.661000 99.891000 99.485000 99.653000 99.996000

-3,000.00 -7,000.00 -4,500.00 -49,950.00 -8,100.00 -7,100.00 -26,700.00 -19,400.00 -38,250.00 -36,600.00 -32,670.00 -24,400.00 -11,700.00 -10,500.00 -16,600.00 -11,130.30 -46,200.00 -46,200.00 -42,750.00 -42,750.00 -10,900.00 -57,630.00 -15,260.00 -23,175.00 -69,400.00

.650

.658

1.663

1.696

.686

.696

3134G9T23

9,992,900.00

1.661 1.700 1.701 1.702 1.004 1.750 1.796 1.796 1.797 1.866 1.866 1.872 1.872 1.871 1.871 1.872 1.906 1.872 1.962 1.950 1.971 1.968 2.018 2.018 2.480 2.463 2.499 3.541 1.770

1.696 1.737 1.737 1.737 1.025 1.789 1.836 1.836 1.836 1.904 1.904 1.910 1.910 1.910 1.910 1.910 1.948 1.910 2.003 1.992 2.027 2.027 2.085 2.085 2.581 2.562 2.597 3.690 1.815

3134G9U47

14,973,300.00

3134GAYR9 3134GAA87 3134GAA87 3134GAYG3 3134GATA2 3134GATB0 3134GATA2 3134GAUA0 3134GAYF5 3134GASF2 3134GASF2 3134G96A0 3134GAEB6 3134G95W3 3134GADP6 3134GAET7 3134GAKY9 3134GANB6 3134GAPM0 3134GAPM0 3134GAQV9 3134GAQV9

9,980,600.00

14,961,750.00 19,963,400.00 16,467,330.00 19,975,600.00 14,988,300.00 14,989,500.00 9,983,400.00 6,693,869.70 14,953,800.00 14,953,800.00 14,957,250.00 14,957,250.00

9,989,100.00

16,942,370.00 13,984,740.00

4,500,000.00

4,476,825.00

20,000,000.00 10,000,000.00

19,930,600.00

9,999,600.00

-400.00

20,000,000.00 100.001000

20,000,200.00 9,999,400.00 9,999,400.00 20,004,400.00 15,000,900.00 20,004,600.00

200.00

10,000,000.00 10,000,000.00

99.994000 99.994000

-600.00 -600.00 4,400.00

3134GBTD4

20,000,000.00 100.022000 15,000,000.00 100.006000 20,000,000.00 100.023000

3134GBTE2

900.00

3134GBYK2

4,600.00

3134G92T3

5,000,000.00

4,790,170.00

99.180000

4,959,000.00

168,830.00 -559,035.30

523,705,000.00

523,492,170.00 99.852614

522,933,134.70

1525: FNMA-Fxd-S 30/360

3136G3RL1

FNMA 3.5YrNc6MoB

5,000,000.00

5,000,000.00

99.995000 99.811000 99.898000 99.971000 99.999000

4,999,750.00 9,981,100.00 9,989,800.00 4,998,550.00 14,999,850.00 11,084,992.14 15,177,600.00 10,221,500.00 31,330,500.00

-250.00

.043 .612 .658 .157 .141 .263

.044 .619 .666 .159 .142 .266

3135G0UU5 3135G0A78 3135G0T94 3135G0T78 3135G0U43 3135G0S46 3135G0T60 3136G3WC5

FNMA 4YrNc6MoE

10,000,000.00 10,000,000.00

10,000,000.00 9,969,700.00 4,983,850.00 14,910,900.00

-18,900.00

FNMA 3Yr

20,100.00 14,700.00 88,950.00 42,665.70 395,400.00 277,400.00 660,000.00

FNMA 2.16Yr2MoB

5,000,000.00

FNMA 2Yr

15,000,000.00 11,082,000.00 15,000,000.00 10,000,000.00 30,000,000.00 10,000,000.00 121,082,000.00

FNMA 2.25Yr FNMA 4.83Yr

11,042,326.44 100.027000 14,782,200.00 101.184000

2.742 2.978 3.551 4.648 2.023

2.849 3.140 3.786 4.915 2.133

FNMA 5Yr

9,944,100.00 102.215000

FNMA 4.41Yr

30,670,500.00 104.435000

3136G4TY9

FNMA 5YrNc1YrQ

10,000,000.00

99.551000

9,955,100.00

-44,900.00

121,303,576.44 101.368281

122,738,742.14

1,435,165.70

1560: FNMA-STEP%-Q 30/360

3136G3SG1

FNMA 4.25YrNc6MoB

15,000,000.00 15,000,000.00

15,000,000.00 100.001000 15,000,000.00 100.001000

15,000,150.00 15,000,150.00

150.00 150.00

.766 .766

.778 .778

1565: FNMA-STEP%-S 30/360

3136G3TG0 3136G3PB5 3136G3ZW8 3136G3XT7 3136G3DV4

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

15,000,000.00 15,000,000.00 20,000,000.00 15,000,000.00 20,000,000.00 85,000,000.00 25,000,000.00 60,000,000.00 25,000,000.00 20,000,000.00 20,000,000.00 50,000,000.00 50,000,000.00 50,000,000.00 25,000,000.00 50,000,000.00 50,000,000.00 50,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 625,000,000.00

15,000,000.00

99.772000

14,965,800.00 15,000,150.00 20,000,000.00 14,946,450.00 19,997,600.00 84,910,000.00 24,936,000.00 59,915,400.00 24,957,000.00 19,934,200.00 19,953,200.00 49,903,000.00 49,903,000.00 49,835,500.00 24,958,000.00 49,851,000.00 49,903,000.00 49,835,500.00 24,832,250.00 24,826,750.00 24,959,250.00 24,920,000.00 24,920,000.00 24,957,000.00 623,300,050.00 4,979,000.00 9,985,400.00 4,999,200.00 10,026,400.00 5,000,500.00 9,997,200.00 5,350,267.50 8,064,878.25 15,086,700.00 10,088,700.00 10,088,700.00 10,186,000.00 11,925,427.50

-34,200.00

1.310 1.490

1.332 1.526

15,000,000.00 100.001000 20,000,000.00 100.000000

150.00

0.00

.575

.584

15,000,000.00 20,000,000.00

99.643000 99.988000

-53,550.00

1.628 1.625 1.299

1.658 1.658 1.324

-2,400.00

85,000,000.00 99.894118

-90,000.00

1700: FHLB-DISC NOTE 313384SK6 313384RH4

FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE FHLB DISC NTE

24,743,683.33 59,679,325.20 24,861,979.17 19,897,986.11 19,916,684.44 49,813,222.22 49,813,222.22 49,749,555.56 24,916,354.17 49,771,347.22 49,823,416.67 49,765,194.44 24,809,812.50 24,801,695.83 24,939,761.11 24,901,416.67 24,900,658.33 24,939,372.22

99.744000 99.859000 99.828000 99.671000 99.766000 99.806000 99.806000 99.671000 99.832000 99.702000 99.806000 99.671000 99.329000 99.307000 99.837000 99.680000 99.680000 99.828000

192,316.67 236,074.80 95,020.83 36,213.89 36,515.56 89,777.78 89,777.78 85,944.44 41,645.83 79,652.78 79,583.33 70,305.56 22,437.50 25,054.17 19,488.89 18,583.33 19,341.67 17,627.78 1,255,362.59

.161 .091 .110 .205 .148 .205 .108 .124 .186 .124 .124 .426 .413 .105 .199 .199 .111 .205 .171 .738 .473 .740 .491 .348 .571

.126 .151 .208 .126 .112 .164 .093 .208 .110 .189 .126 .208 .419 .433 .107 .203 .203 .173 .112 .745 .477 .745 .496 .351 .581

313384RV3 313384TB5 313384RV3 313384RP6 313384SU4 313384RV3 313384SE0 313384TB5 313384RQ4 3130A7PU3 3130ABYZ3 3130A7PV1 3130AC2C7 3130ABY34 3130ACBD5 3130ABZE9 313384SZ3 313384RN1 313384SZ3 313384RQ4 313384WG0 313384WM7 313379Q69 3130ADFW7 3130A0XD7 3130A0XD7 313378WG2 313384TB5

622,044,687.41 99.728008

1725: FHLB-Fxd-S 30/360

FHLB 5Yr FHLB 4Yr

5,000,000.00

4,996,350.00 9,996,000.00 5,000,000.00

99.580000 99.854000 99.984000

-17,350.00 -10,600.00

1.328

1.348

10,000,000.00

FHLB 2.75YrNc9MoE

5,000,000.00

-800.00

FHLB 3YrNc1YrE FHLB 3YrNc1YrE

10,000,000.00

10,061,000.00 100.264000

-34,600.00

5,000,000.00

5,000,000.00 100.010000

500.00

FHLB 2.5Yr

10,000,000.00

9,950,500.00

99.972000

46,700.00 28,997.00 109,257.50 91,800.00 120,700.00 122,200.00 231,300.00 493,030.00

FHLB 2.58YrNc1MoB

5,350,000.00

5,321,270.50 100.005000

FHLB 4.5 Yr

7,975,000.00 15,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 11,750,000.00

7,955,620.75 101.127000 14,994,900.00 100.578000 9,968,000.00 100.887000 9,966,500.00 100.887000 9,954,700.00 101.860000 11,432,397.50 101.493000

2.424 1.124 1.250 1.250 2.191 3.126

2.529 1.156 1.282 1.282 2.279 3.277

FHLB 3Yr FHLB 3Yr FHLB 3Yr

FHLB 4.08Yr

313382AX1

FHLB 4.9Yr

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 119,875.50

Modified Duration

Years To Maturity

3130A9DA6 3130A9DH1 3130AA2T4 3130AA2T4 3130AA5A2 3130A9TV3 3130AHM59 3130AHGS6 3130AHG56 3130AHG31 3130AHMR1 3130AHG64 3130AHMR1 3130AH5N9 3130AGYJ8 3130AH5D1 3130AHE33 3130AHE66 3130A8CK7 3130A9M40 3130A8R54 313378WG2 3130AH2K8 3130ADUJ9 3130AE6U9 3130AE6U9

FHLB 3Yr FHLB 3Yr

05/07/2021 05/07/2021 09/29/2022 07/28/2023 06/09/2023 03/30/2020 03/11/2022 09/10/2020 09/23/2021 08/26/2022 06/23/2021 10/21/2024 10/21/2024 10/28/2024 10/29/2024 10/29/2024 10/28/2022 08/27/2024 11/27/2024 11/27/2024 09/30/2021 09/30/2021 12/09/2021 12/09/2021 12/08/2021 11/08/2021

2.700 2.700 1.650 1.800 2.050 2.375 2.500 2.050 2.050 2.000 2.000 2.000 2.000 2.000 2.125 1.800 2.000 1.875 2.100 2.100 2.075 2.000 2.000 1.600 1.600 1.700 1.750 1.800 1.866 1.866 1.852 1.852 1.859 1.420 1.320 1.350 1.340 1.380 1.770 1.710 1.520 1.550 1.450 1.750 2.200 2.500 2.350 2.700 2.700 3.050 3.050 2.050 2.750 2.520 2.220 1.500 1.900 1.920 1.820 1.600 1.930 2.080 1.670 1.660 1.770 1.970 1.875 2.016 2.008 1.978 1.978 2.003 1.792 1.810 1.960 1.790 1.960 1.960 1.960 2.224 2.224 1.850 1.530 1.570 1.700

1.585 1.714 1.545 1.862 1.420 1.320 1.350 1.340 1.380 1.770 1.710 1.520 1.550 1.511 1.760 2.365 2.501 2.474 2.721 2.747 2.922 3.050 3.095 2.757 2.555 2.220 1.529 1.900 1.920 1.820 1.672 1.930 1.688 1.741 1.660 1.793 1.992 1.922 1.978 2.008 1.978 1.567 2.016 1.792 1.810 1.914 1.790 1.960 1.960 1.960 2.725 2.703 2.929 2.965 3.147 2.429 2.308 2.060 2.050 2.021 2.009 2.000 2.000 2.000 2.125 1.800 2.000 1.886 2.100 2.100 2.169 1.600 1.700 1.600 2.000 2.000 3.363 2.015 1.866 1.866 1.852 1.859 1.852 2.224 2.224

7,650,000.00

7,644,492.00 101.495000 9,999,100.00 101.495000

7,764,367.50

1.397 1.397 2.729 3.483 3.330

1.436 1.436 2.833 3.660 3.526

10,000,000.00

10,149,500.00

150,400.00

FHLB 4.17Yr

15,730,000.00 3,700,000.00 10,000,000.00 47,210,000.00 30,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 25,000,000.00 50,000,000.00 11,200,000.00 10,000,000.00 10,000,000.00 490,565,000.00 15,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 10,000,000.00 75,000,000.00 10,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 50,000,000.00 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 20,000,000.00 20,000,000.00 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 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 14,435,000.00 10,000,000.00 10,000,000.00 10,000,000.00 6,128,000.00 5,000,000.00 2,064,000.00 50,000,000.00 50,000,000.00 50,000,000.00 15,000,000.00 465,327,000.00 25,000,000.00 50,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 140,000,000.00 15,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 5,000,000.00 25,000,000.00 25,000,000.00 50,000,000.00 25,000,000.00 25,000,000.00 100,000,000.00 7,700,000.00

14,940,354.00 3,504,196.00

99.114000 99.936000

15,590,632.20 3,697,632.00 10,000,000.00 47,310,557.30 30,558,000.00 25,001,000.00 25,026,500.00 25,001,250.00 25,007,500.00 10,000,800.00 10,000,200.00 14,934,000.00 25,016,000.00 50,029,000.00 11,174,576.00 9,996,400.00 9,996,400.00 491,984,888.25 9,952,200.00 15,000,000.00 14,998,950.00 9,985,900.00 9,985,900.00 14,999,850.00 9,995,100.00 74,965,700.00 10,012,300.00 15,018,450.00 10,012,400.00 15,018,600.00 50,061,750.00 10,000,000.00 9,998,400.00 4,996,600.00 19,991,600.00 20,014,600.00 10,116,600.00 10,109,700.00 15,122,400.00 10,354,400.00 10,150,300.00 10,529,400.00 10,263,400.00 10,000,000.00 10,061,000.00 10,023,500.00 10,028,000.00 14,374,228.65 9,991,200.00 9,954,200.00 9,965,500.00 6,117,704.96 4,989,200.00 2,105,878.56 49,952,500.00 49,973,000.00 49,952,500.00 14,977,650.00 466,667,009.17 25,013,750.00 50,031,000.00 10,032,200.00 10,032,200.00 15,022,050.00 14,939,400.00 14,981,100.00 140,051,700.00 14,994,600.00 24,985,500.00 24,985,500.00 24,985,500.00 25,046,500.00 25,046,500.00 49,907,500.00 24,774,500.00 24,780,000.00 99,462,000.00 7,693,147.00 9,976,300.00 9,976,600.00 14,964,300.00 9,957,400.00 9,985,800.00

650,278.20 193,436.00 459,900.00 124,162.30 399,900.00

FHLB 4.9YrNc1Mo

FHLB 4.5Yr

9,540,100.00 100.000000

FHLB 11Mo FHLB 2.91Yr

47,186,395.00 100.213000 30,158,100.00 101.860000 24,997,500.00 100.004000 25,000,000.00 100.106000 24,985,000.00 100.005000 24,996,250.00 100.030000 10,000,000.00 100.008000

.327

.332

2.194

2.279

FHLB 1YrNc3MoQ

3,500.00

.765

.781

FHLB 2YrNc6MoB

26,500.00 16,250.00 11,250.00

1.766 2.640 1.526 4.628 4.628 4.648 4.635 4.676 2.810 4.515 4.715 4.715 2.291 1.970 1.964 1.888 1.970 1.888 1.795 1.795

1.816 2.740 1.564 4.896 4.896 4.915 4.918 4.918 2.912 4.745 4.997 4.997 2.391 2.027 2.027 1.836 2.025 1.942 1.939 1.836

FHLB 2.9YrNc5MoB

FHLB 1.66YrNc5MoQ FHLB 5YrNc1YrQ FHLB 5YrNc1YrQ FHLB 5YrNc1YrQ FHLB 5YrNc3MoQ

800.00

10,000,000.00

99.522000

-47,800.00

10,000,000.00 100.002000

200.00

15,000,000.00

99.560000

-66,000.00 16,000.00 29,000.00 -19,824.00 -3,600.00 -3,600.00

FHLB 5YrNc2YrQ

25,000,000.00 100.064000 50,000,000.00 100.058000

FHLB 3YrNc6MoQ

FHLB 1.75YrNc9MoB FHLB 5YrNc3MoB FHLB 5YrNc3MoB

11,194,400.00 10,000,000.00 10,000,000.00

99.773000 99.964000 99.964000

488,743,125.75 100.289439

3,241,762.50

1765: FHLB-STEP%-S 30/360

FHLB 5YrNc3MoB FHLB 5YrNc3MoB FHLB 5YrNc6MoB FHLB 5YrNc6MoB

15,000,000.00 100.000000

0.00

15,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00

99.993000 99.859000 99.859000 99.999000 99.951000

-1,050.00

-14,100.00 -14,100.00

FHLB 5YrNc1YrB

-150.00

FHLB 3.4YrNc2MoB

9,690,500.00

304,600.00 275,200.00

74,690,500.00 99.954267

1767: FHLB-Var-M A/360

3130A9FM8 3130A9FU0 3130A9FR7 3130A9FR7

FHLB 4Yr FHLB 4Yr FHLB 4Yr

09/22/2020 09/22/2020 09/28/2020

10,000,000.00 100.123000 15,000,000.00 100.123000 10,000,000.00 100.124000 15,000,000.00 100.124000 50,000,000.00 100.123500

12,300.00 18,450.00 12,400.00 18,600.00 61,750.00

.808 .808 .830 .830 .819

.830 .814 .814 .830 .822

FHLB 4Yr

09/28/2020

1770: FHLB-Var-Q A/360

3130A8NF6

FHLB 3Yr

07/01/2020

25,000,000.00 100.186000 25,000,000.00 100.186000

46,500.00 46,500.00

.581 .581

.586 .586

1900: FFCB-DISC NOTE

313312YL8 313312YF1 313312RT9

FFCB DISC NTE FFCB DISC NTE FFCB DISC NTE

01/13/2020 06/22/2020 06/17/2020

49,676,250.00 24,755,625.00 24,768,861.11

99.815000 99.098000 99.120000

231,250.00 18,875.00 11,138.89 261,263.89

.553 .118 .539 .331 .405 .725 .800 .860 .912 .997 .242 .130 .685 .302 .893

.121 .562 .548 .337 .408 .734 .811 .871 .926 .244 .132 .696 .304 .907

99,200,736.11 99.462000

1925: FFCB-Fxd-S 30/360

3133EF5D5

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

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 03/20/2020 10/26/2020 01/12/2022 03/01/2021 02/12/2021 04/11/2023 05/10/2021 10/02/2023 11/15/2021 10/05/2022 06/24/2020 02/27/2020 06/21/2024 09/06/2022 09/11/2023 10/15/2024 10/28/2024 09/17/2024 10/30/2023 09/10/2024 05/13/2021 11/19/2020 02/14/2022 08/26/2024 04/01/2020 04/13/2020 05/25/2021 05/25/2021 01/18/2022 02/21/2023 10/04/2021

7,700,000.00

99.911000 99.763000 99.766000 99.762000 99.574000 99.858000

-6,853.00

3133EGSA4 3133EGVK8 3133EGC94 3133EGXX8 3133EJKN8 3133EJNS4 3133EJCE7 3133EH6X6 3133EJEM7 3133EJT74 3133EJD48 3133EHJ95 3133EHZN6 3133EHRK1 3133EHUL5 3133EHAJ2 3133EGR49 3133EK4B9 3133EK2A3 3133EKM45 3133EKM94 3133EJ3L1 3133EKBU9 3133EKRP3 3133EK4A1 3133EKP75 3133EFX44 3133EK5Y8 3133ELBA1 3133EK7L4 3133EK6Y7 3133EKQA7 3133EG4C6 3133EJDG1 3133EJJE0 3133EGCE3 3133EGCE3 3133EFT56 3133EF2Z9

10,000,000.00 10,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00

-23,700.00 -23,400.00 -35,700.00 -42,600.00 -14,200.00 -1,600.00 -3,400.00 21,200.00 20,600.00 178,600.00 110,000.00 173,730.00 364,100.00 163,700.00 550,100.00 227,700.00 359,130.00 62,000.00 26,900.00 28,000.00 -48,645.95 0.00

1.022

10,000,000.00 100.000000

FFCB 2.5Yr

10,000,000.00

99.984000 99.932000

FFCB 3Yr

5,000,000.00

FFCB 3Yr FFCB 3Yr FFCB 4Yr

19,970,400.00

99.958000

19,994,000.00 100.073000

9,938,000.00 101.166000

2.039

2.121

FFCB 3Yr

9,999,700.00 101.097000 14,948,670.00 100.816000 9,990,300.00 103.544000 9,986,600.00 101.503000 9,979,300.00 105.294000 10,035,700.00 102.634000 9,640,870.00 100.000000 9,999,000.00 100.610000 9,996,600.00 100.235000 10,000,000.00 100.280000

1.219 1.168 3.184 1.405 1.886 2.729 3.579 4.271 2.691 3.617 4.622 4.671 4.584 3.749 4.517 1.428 .241 .552

1.252 1.205 3.364 1.444 3.841 1.962 2.849 4.562 2.770 3.784 4.879 4.915 4.803 3.918 4.784 1.452 .567 .244

FFCB 2.8Yr

FFCB 5Yr FFCB 3Yr

FFCB 5Yr

FFCB 2.9Yr

FFCB 3.8YrNc1WKA

FFCB 1.5Yr

FFCB 1Yr

FFCB 5YrNc2YrA

FFCB 3Yr

14,422,874.60 10,000,000.00 10,000,000.00 10,000,000.00 6,107,471.20 5,000,000.00 49,947,500.00 50,000,000.00 49,975,000.00 14,985,000.00

99.579000 99.912000 99.542000 99.655000 99.832000 99.784000 99.905000 99.946000 99.905000 99.851000

FFCB 4YrNc1YrA FFCB 5YrNc1YrA FFCB 5YrNc2YrA

-8,800.00

-45,800.00 -34,500.00

FFCB 4.9Yr

10,233.76

FFCB 4YrNc1YrA

-10,800.00

FFCB 4.9Yr

2,101,585.44 102.029000

4,293.12 5,000.00

FFCB 1.5YrNc3MoA

FFCB 1YrNc6MoA

-27,000.00 -22,500.00

.957

.973

FFCB 2.25YrNc3MoA FFCB 4.75YrNc3MoA

2.164 4.501 1.784

2.211 4.742 1.852

-7,350.00

464,718,571.24 100.287972

1,948,437.93

1930: FFCB-Var-M A/360

FFCB 4Yr FFCB 4Yr FFCB 5Yr FFCB 5Yr

25,000,000.00 100.055000 50,000,000.00 100.062000 10,000,000.00 100.322000 10,000,000.00 100.322000 15,139,095.00 100.147000

13,750.00 31,000.00 32,200.00 32,200.00

.335 .368

.337 .370

1.476 1.476 2.089 3.134 1.808 1.155 1.774 2.844 2.845 2.845

1.485 1.485 2.137 3.230 1.847 1.176 2.940 2.940 1.819 2.940

FFCB 3.9Yr

-117,045.00 -60,600.00 -18,900.00 -87,395.00

FFCB 5Yr

15,000,000.00 15,000,000.00

99.596000 99.874000

FFCB 3.5Yr

140,139,095.00 100.036929

1936: FFCB-Var-SOFR-Q A/360

3133EKT63

FFCB 2Yr FFCB 3Yr FFCB 3Yr FFCB 3Yr

09/24/2021 11/07/2022 11/07/2022 11/07/2022

15,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00

99.964000 99.942000 99.942000 99.942000

-5,400.00

3133EK6V3 3133EK6V3 3133EK6V3

-14,500.00 -14,500.00 -14,500.00

11

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

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