October 2019 TPIF

County of Riverside Treasurer’s Pooled Investment Fund

October 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 October 30 press conference.

Federal Reserve Chair Jerome Powell during the October 30 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

Global Risks and Slowing U.S. Economy Spook Federal Reserve

A strong GDP report for 3Q19 and anoth- er round of economic stimulus from the Federal Reserve (FED) helped allay fears of a slowing U.S. economy. However, a slow- ing global economy, trade tensions, civil unrest, and Brexit continue to weigh on U.S. financial markets, especially as waning global demand curtails corporate invest- ment and pulls the domestic manufactur- ing sector into a contraction. Consequent- ly, U.S. yields ended the month lower. The TPIF’s yield fell in turn. On October 30, 2019, the Federal Open Market Committee voted to lower the tar- get range for the Federal funds rate to 1.50 –1.75%. The Federal Reserve stated the implications of slower global economic growth and muted inflationary pressures as primary reasons for the rate cut. The rates markets were volatile during the month. The three-month Treasury bill dropped from 1.82% at the beginning of the month to 1.54% by the end. Money market rates tend to settle in close to the lower bound of the Federal funds target range. As a result, the TPIF yield dropped down to 2.03%. The TPIF yield will continue to edge lower as more and more of the maturing securities are re-invested at lower rates. Geopolitical events and trade policy continue to be the main source of market

concerns. On the Brexit front, the UK’s de- parture from the European Union was de- layed, prompting a snap election in at- tempts to break the deadlock in parlia- ment on December 12. Meanwhile, a par- tial verbal trade agreement between the U.S. and China was reached this month; however, many bond investors are not cel- ebrating, as trade uncertainty has weighed heavily on markets and corporate invest- ments decisions already. Other geopolitical risks such as riots in Hong Kong (the world’s third largest financial center) and Chile, along with disruptions in the Middle East also continue to weigh on global financial markets. GDP and employment indicators point to moderate, slowing growth in the U.S. economy, and potentially lower interest rates down the road. In the U.S., real GDP expanded by 1.9% SAAR in 3Q19, largely driven by 2.9% growth in real consumer spending. Economic growth in 2019 has been more moderate than in 2018, but remains solid by historical standards. Key measures of inflation have remained below the Federal Reserve’s 2.0% target rate throughout 2019. The U.S. job market re- mains rock solid, backed by a 3.5% unem- ployment rate. The rate of jobs added in 2019 has slowed down from last year’s lev- els, but remains strong at 160k/month.

Manufacturing indicators in October reflect a contraction in the sector, which is largely attributed to slowing global eco- nomic growth weighing on exports. In Sep- tember, durable goods orders declined by 1.1% M/M and the ISM manufacturing index posted 47.8 (<50 indicates contraction). However, the U.S. housing market remains firm. In September, the three-month aver- age for new home sales was the strongest since the 2007-2010 Sub-Prime Mortgage Crisis and existing home sales grew 3.9% Y/Y in September, the highest since March 2017. Despite strong home sales, growth in national home prices continues to soften, trending downward from 3.4% Y/Y in Janu- ary to 2.0% Y/Y in September. In Riverside County, house price growth continues to defy national trends. Following 3.4% Y/Y growth in July, house prices grew 3.9% Y/Y in August and September. Job growth in the Inland Empire also continues to outpace national and statewide labor markets. In the Inland Empire, the rate of jobs added accelerated to 2.3% Y/Y in September, compared to 1.8% Y/Y in Cali- fornia and 1.4% Y/Y nationwide.

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)

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

May-19

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

0.27%

2.35

1.09

*Market values do not include accrued interest.

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

2

Economy

National Economy

State Economy

GDP and consumer spending were solid in 3Q19, while business fixed investment and exports lagged. [Econoday; 10/30/19]  Amid historically-low 3.5% unemployment, median weekly earnings grew 3.6% Y/Y in 3Q19. [BLS; 10/30/19]  Payrolls in manufacturing fell by 2k in September, adding to evidence that the sector is stagnating. [BLS; 10/31/19]  The construction sector continues to stagnate. Construction spending declined by 1.9% Y/Y in August, falling for the elev- enth consecutive month. Additionally, in September, con- struction payrolls remained unchanged. [FRED; 10/31/2019]

California’s economy expanded for the 115th consecutive month in September, setting a historical record. [WaPo; 10/31/2019]  California’s unemployment rate fell to 4.0% in September, beating August’s historical low of 4.1% [FRED; 10/31/2019]  Job growth in CA has picked up in recent months, up to 1.9% Y/Y in September from 1.6% Y/Y in April. However, job growth in the trade, transportation, and utilities sector has been flat over the same period. [BLS; 10/31/2019]  Inland Empire payrolls grew 2.3% Y/Y in September, with edu- cation and health services jobs rising 5.4% Y/Y. [BLS; 10/31/19]

Real GDP and Real PCE (SAAR)

Consumer Price Index Y/Y

FED 2-Percent Inflation Target Consumer Price Index

Personal Consumption Expenditures Gross Domestic Product

Percent

3.0 Percent

5.0

4.0

2.5

3.0

2.0

2.0

1.5

1.0

0.0

1.0

2016

2017

2018

2019

Labor Force Participation Rate: 25 to 54 Years

Nonfarm Payrolls Added Y/Y

Recession

4.5 Percent

84.0 Percentage

U.S.

CA

Inland Empire

Labor Force Participation Rate: 25 to 54 year olds

83.5

4.0

83.0

3.5

82.5

3.0

82.0

2.5

81.5

2.0

81.0

1.5

80.5

80.0

1.0

Key Economic Indicators

Release Date

Indicator

Actual

Consensus

Prior Year

1.9% 3.5%

10/30/2019 10/04/2019 10/04/2019 10/10/2019 10/10/2019 10/03/2019 10/24/2019 10/03/2019 10/24/2019

Real GDP - Q/Q Change - SAAR - 3Q19 (1st estimate) Unemployment Rate - Seasonally Adjusted Non-Farm Payrolls - M/M Change - Thousands

1.7% 3.7%

2.9% 3.7%

136

145

108

1.7% 2.4%

CPI - Y/Y Change

1.8% 2.4% 55.5

2.3% 2.2% 60.8

CPI Ex Food and Energy - Y/Y Change

52.6

ISM Non-Manufacturing Index (> 50 indicates growth)

701

New Home Sales - SAAR - Thousands

698

607

-0.1% -1.1%

Factory Orders - M/M Change

-0.6% -0.7%

1.0% 2.2%

Durable Goods Orders - New Orders - M/M Change

*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

10/01/2019 10/31/2019

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

10/31/2019 - 10/01/2019

-0.28

-0.24

-0.20

-0.04

0.01

0.00

0.04

0.06

10/31/2019

1.54

1.57

1.53

1.52

1.52

1.51

1.69

2.17

10/01/2019

1.82

1.81

1.73

1.56

1.51

1.51

1.65

2.11

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

4.0 Percent

Percent

Recession

2Y Treasury Yield

5.0

4.5

3.0

4.0

3.5

2.0

3.0

2.5

1.0

2.0

1.5

1.0

0.0

0.5

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

45.00

2.00

100.00

Stocks

28,000.00

8,500.00

3,200.00

Dow Jones

8,000.00

3,000.00

26,000.00

7,500.00

2,800.00

7,000.00

24,000.00

2,600.00

6,500.00

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

22,000.00

6,000.00

2,400.00

* 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

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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

Aa2 3%

Aa1 4%

Aaa

4,995,941.32 100.32%

77.82%

1.99%

Aaa 78%

Aa1

275,437.42 100.41%

4.29%

2.05%

Aa3 2%

Aa2

226,976.96 100.78%

3.54%

2.22%

NR 13%

Aa3

101,056.12 100.00%

1.57%

2.80%

NR

820,084.70 100.09%

12.77%

2.10%

Totals:

6,419,496.52 100.31% 100.00%

2.03%

S&P Asset Rating (000’s)

Book

MKT/Book % Book

Yield

AA- 3%

AAA

543,641.31 100.43%

8.47%

2.00%

AA+

4,742,644.80 100.31%

73.88%

2.00%

AA 2%

NR 13%

AA

148,247.84 101.03%

2.31%

2.35%

AA+ 74%

AA-

164,877.86 100.12%

2.57%

2.48%

AAA 8%

NR

820,084.70 100.09%

12.77%

2.10%

Totals:

6,419,496.52 100.31% 100.00%

2.03%

12-Month Projected Cash Flow

Required Matured Investments

Actual Investments Maturing

Monthly Receipts

Monthly Disbursements Difference

Available to Invest > 1 Year

Month

Balance

101.36

11/2019

1,300.00

1,200.00

100.00

201.36

1,607.02

11/2019

2,375.13

1,200.00

1,175.13

1,376.49

20.00

12/2019

1,100.00

2,200.00

(1,100.00)

276.49

1,052.09

01/2020

1,100.00

1,500.00

(400.00)

123.51

-

455.33

02/2020

1,350.00

1,200.00

150.00

150.00

108.29

03/2020

1,350.00

1,200.00

150.00

300.00

140.65

04/2020

1,700.00

1,700.00

-

300.00

87.66

05/2020

1,000.00

1,736.13

(736.13)

436.13

-

80.43

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

-

107.65

08/2020

1,030.00

1,300.00

(270.00)

270.00

-

140.00

09/2020

1,100.00

1,300.00

(200.00)

470.00

270.00

37.25

10/2020

TOTALS

15,582.35 17,271.13 (1,688.78) 1,857.42 2,975.70 3,943.19 4,562.08 28.93% 61.43% 71.07%

* 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)

2,000,000

24.96% 1,607,015.94

21.32% 1,372,331.00

1,500,000

17.60% 1,133,049.00

14.97% 963,847.00

1,000,000

11.61% 747,335.00

9.55% 614,742.00

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

336,944.40 339,854.40

100.86%

2.26% 0.89 0.89

AGENCIES

3,789,373.20 3,799,692.76

100.27%

1.99% 0.97 1.71

MMKT

398,000.00 398,000.00

100.00%

1.80% 0.00 0.00

CASH

665,000.00 665,000.00

100.00%

2.07% 0.00 0.00

CALTRUST FND

4,023.98 4,023.98

100.00%

2.12% 0.00 0.00

COMM PAPER

927,432.16 931,575.03

100.45%

2.01% 0.17 0.17

NCDS

- -

0.00%

0.00% - -

MEDIUM TERM NOTES

138,386.54 140,708.43

101.68%

2.59% 0.69 0.72

MUNI

160,256.23 160,256.23

100.00%

2.63% 1.45 1.45

LOCAL AGCY OBLIG

80.00 80.00

100.00% 100.31%

2.73% 0.63 0.63

Totals:

6,419,496.52 6,439,190.83

2.03%

0.69

1.13

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

TIMMI

Pool Yield

TIMMI

2.53% 2.53% 2.52% 2.53% 2.51%

2.46% 2.42%

2.50%

2.33%

2.31%

2.27%

2.22%

2.13%

2.03%

2.32% 2.29%

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

2.18%

2.00%

2.18%

2.09%

2.00%

1.79%

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)

2.50%

5 YEARS

NO LIMIT

NA

4 YEARS

15%

AA-/Aa3/AA-

U.S. TREASURIES

5.25%

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

59.03%

5 YEARS

NO LIMIT

AAA

5 YEARS

100%

NA

COMMERCIAL PAPER (CP)

14.45%

270 DAYS

40%

A1/P1

270 DAYS

40%

A1/P1/F1

CERTIFICATE & TIME DEPOSITS (NCD & TCD)

25% Combined

0.00%

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)

2.16%

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)

6.20%

60 DAYS (1)

20%

20%

LOCAL AGENCY INVESTMENT FUND (LAIF)

DAILY LIQUIDITY

Max $50 million

0.00%

NA

NA

NA

NA

CASH/DEPOSIT ACCOUNT

10.36%

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

11/01/2019 11/01/2019 11/01/2019 11/01/2019

1.819 1.799 1.782 1.764 1.803

1.803 1.764 1.782 1.799 1.819

214,000,000.00 76,000,000.00 57,000,000.00 51,000,000.00 398,000,000.00

214,000,000.00 100.000000 76,000,000.00 100.000000 57,000,000.00 100.000000 51,000,000.00 100.000000 398,000,000.00 100.000000

214,000,000.00 76,000,000.00 57,000,000.00 51,000,000.00 398,000,000.00

0.00 0.00 0.00 0.00 0.00

.003 .003 .003 .003 .003

.003 .003 .003 .003 .003

GOFXX

FEDERATED GOV

WFFXX

WELLS FARGO GOV

FGTXX

GOLDMAN SACHS GOV

1065: CLTR-A/365-6 CLTR

CALTRUST SHT TERM FUND

11/01/2019

2.135 2.135

2.123 2.123

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

11/01/2019

2.120 2.120

2.120 2.120

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

PACIFIC PREMIER BANK

11/01/2019 11/01/2019 11/01/2019

2.021 2.020 2.020 2.020

2.020 2.020 2.020 2.021

40,000,000.00 25,000,000.00 300,000,000.00 365,000,000.00

40,000,000.00 100.000000 25,000,000.00 100.000000 300,000,000.00 100.000000 365,000,000.00 100.000000

40,000,000.00 25,000,000.00 300,000,000.00 365,000,000.00

0.00 0.00 0.00 0.00

.003 .003 .003 .003

.003 .003 .003 .003

FIRST REPUBLIC BANK

UB MANAGED RATE

1175: LAO-SINKING FND-A/360

LAO

US DIST COURTHOUSE

06/15/2020

2.727 2.727

2.727 2.727

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

.113 .113

.625 .625

1300: U.S. TREASURY BILL 912796TC3

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

01/23/2020 02/06/2020

2.022 1.951 1.986

2.006 1.970 2.042

25,000,000.00 25,000,000.00 50,000,000.00

24,744,504.86 24,753,415.28

99.650000 99.588000

24,912,500.00 24,897,000.00 49,809,500.00

167,995.14 143,584.72 311,579.86

.263 .244 .225

.268 .249 .230

912796TE9

49,497,920.14 99.619000

1310: U.S. TREASURY BOND

912828U32

U.S. TREASURY BOND

11/15/2019

1.000

2.628

75,000,000.00

73,939,453.13

99.967000

74,975,250.00

1,035,796.87

.041

.041

912828UL2 912828W63 912828U32 912828U32

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

11/15/2019 11/15/2019 01/31/2020 03/15/2020 07/31/2020 09/30/2024 10/31/2024

1.000 1.000 1.375 1.625 2.625 1.500 1.500 1.323

2.310 1.601 1.668 1.662 2.449 2.462 2.524 2.534

40,000,000.00 35,000,000.00 50,000,000.00 15,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 290,000,000.00

39,565,625.00 34,652,734.38 49,539,062.50 14,889,257.81

99.967000 99.967000 99.938000 99.996000

39,986,800.00 34,988,450.00 49,969,000.00 14,999,400.00 25,186,500.00 24,965,750.00 24,973,750.00 290,044,900.00

421,175.00 335,715.62 429,937.50 110,142.19

.249 .368 .737 .041 .041

.252 .373 .751 .041 .041

912828Y46

25,179,687.50 100.746000

6,812.50

912828YH7 912828YM6

24,801,757.81 24,878,906.25

99.863000 99.895000

163,992.19

4.712 4.797

1.004 5.005 4.921

94,843.75

287,446,484.38 100.015483

2,598,415.62

.966

1400: FHLMC-DISC NOTE

313396RP0

FHLMC DISC NTE

01/09/2020

1.860 1.860

1.875 1.875

40,000,000.00 40,000,000.00

39,749,530.00

99.690000

39,876,000.00 39,876,000.00

126,470.00 126,470.00

.188 .188

.192 .192

39,749,530.00 99.690000

1420: FHLMC-Fxd-Q 30/360

3134GTFF5

FHLMC 1YrNc9MoE

04/08/2020

2.460 2.460

2.475 2.475

25,000,000.00 25,000,000.00

24,996,250.00 100.146000 24,996,250.00 100.146000

25,036,500.00 25,036,500.00

40,250.00 40,250.00

.432 .432

.438 .438

1425: FHLMC-Fxd-S 30/360 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 11/15/2021 11/15/2021 11/15/2021 11/26/2021 11/26/2021 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 08/08/2022 11/12/2020 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

1.250 1.200 1.370 1.440 1.800 1.500 1.750 1.450 3.000 3.100 3.150 3.150 3.150 3.150 3.160 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 2.250 2.060 1.880 1.860 2.125 1.860 1.920 2.050 1.875 2.000 2.125 2.099

2.125 2.138 2.000 1.875 2.050 1.920 1.860 2.125 1.860 1.880 2.060 2.250 2.300 2.150 2.300 2.150 2.150 2.300 2.190 2.125 2.000 2.000 2.125 2.125 2.250 2.400 2.600 2.610 2.610 2.625 2.500 2.870 3.160 3.150 3.150 3.150 3.150 3.100 3.000 2.421 1.780 1.602 1.800 1.440 1.370 1.200 1.250

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 5,000,000.00 5,000,000.00 25,000,000.00 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 15,000,000.00 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 10,000,000.00 5,000,000.00 5,000,000.00

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

99.885000 99.800000 99.787000 99.860000 99.968000 99.988000 99.863000

9,988,500.00 14,970,000.00 24,946,750.00

-11,500.00 -30,000.00 -53,250.00 -14,000.00 49,250.00 13,740.00 217,300.00 263,400.00 5,400.00 2,700.00 2,700.00 24,500.00 10,000.00 245,400.00 54,150.00 51,000.00 51,000.00 119,700.00 15,550.00 16,200.00 28,500.00 28,500.00 29,250.00 28,500.00 72,000.00 27,300.00 10,150.00 2,550.00 44,250.00 7,750.00 8,700.00

.318 .513

.321 .521

3134GAVF8 3134GAXZ2 3134GAYK4 3134GBK35 3134GBTX0 3134G9W37 3134GSMF9 3134GSQL2 3134GSA96 3134GSD44 3134GSC45 3134GBXV9 3134GSA96 3134GTHH9 3134GSA96 3137EAEE5 3134GTTX1 3134GTYT4 3134GTYT4 3134GTYS6 3134GTSF1 3134GTYP2 3134GTXJ7 3134GTYT4 3134GTKG7 3134GTGX5 3134GTGX5 3134GTEB5 3134GUFQ8 3134GT5P4 3134GT6N8 3134GTX65 3134GT6P3 3134GT5H2 3134GUHK9 3134GUKC3 3134GUMY3 3134GTW82 3134GTW74 3134GTW90 3134GTA37 3134GTA52 3134GTA37 3134GTP23 3134GUFS4

1.049 1.065

1.071 1.085

FHLMC 4YrNc1YrE

9,986,000.00

FHLMC 3YrNc3MoB

15,000,000.00 100.017000

15,002,550.00 24,992,000.00 19,997,600.00

.651 .762 .212 .899

.663 .778 .214 .915

FHLMC 2.75Yr

24,942,750.00 19,983,860.00

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

9,769,000.00

9,986,300.00

15,000,000.00 101.756000

15,263,400.00

4.720 2.777 1.923 4.708 1.884 4.680 2.773 4.585 1.811 1.811 1.005 2.657 3.536 4.486 4.425 4.407 4.467 4.425 4.401 4.390 2.354 2.568 4.390 4.390 4.344 2.491 4.172 4.201 4.201 4.199 2.155 1.962 1.962 1.932 1.932 1.932 3.401 3.319 .686

5.003 2.927 1.975 4.962 1.937 4.940 2.871 4.871 1.860 2.773 4.773 1.036 4.773 1.860 3.732 4.710 4.710 4.710 4.690 4.671 2.419 2.668 4.671 4.671 4.641 2.611 4.510 4.485 4.485 4.485 2.236 2.074 2.074 2.044 2.044 2.044 3.663 3.570 .701

5,000,000.00 100.885000

5,044,250.00

10,000,000.00 100.054000 5,000,000.00 100.054000 5,000,000.00 100.054000 25,000,000.00 100.098000 10,000,000.00 100.100000 14,758,950.00 100.029000 15,000,000.00 100.361000 15,000,000.00 100.340000 15,000,000.00 100.340000 10,000,000.00 101.197000 15,000,000.00 100.108000 15,000,000.00 100.190000 15,000,000.00 100.190000 15,000,000.00 100.195000 15,000,000.00 100.058000 15,000,000.00 100.190000 50,000,000.00 100.144000 15,000,000.00 100.182000 5,000,000.00 100.203000 5,000,000.00 100.182000 1,000,000.00 100.048000 5,000,000.00 100.155000 5,000,000.00 100.311000

10,005,400.00 5,002,700.00 5,002,700.00 25,024,500.00 10,010,000.00 15,004,350.00 15,054,150.00 15,051,000.00 15,051,000.00 10,119,700.00 15,016,200.00 15,028,500.00 15,028,500.00 15,029,250.00 15,008,700.00 15,028,500.00 50,072,000.00 15,027,300.00 5,010,150.00 5,009,100.00 1,000,480.00 4,981,050.00 4,983,300.00 24,967,000.00 14,999,700.00 24,965,000.00 25,006,500.00 24,999,750.00 49,813,500.00 44,892,000.00 24,961,000.00 5,007,750.00 5,015,550.00

FHLMC 1YrNc1YrE FHLMC 1YrNc1YrE FHLMC 3YrNc1YrE

FHLMC 2.75YrNc9MoE

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

FHLMC 5YrNc1YrE

9,100.00

FHLMC 3.9YrNc5MoQ

480.00

FHLMC 5YrNc1YrQ

5,000,000.00 5,000,000.00 25,000,000.00 15,000,000.00 25,000,000.00 25,000,000.00 50,000,000.00 45,000,000.00 25,000,000.00 10,000,000.00

99.621000 99.666000 99.868000 99.998000 99.860000 99.999000 99.627000 99.760000 99.844000 99.975000

-18,950.00 -16,700.00 -33,000.00

FHLMC 5YrNc6MoQ FHLMC 3YrNc3MoQ FHLMC 1.25YrNc3MoQ FHLMC 2YrNc6MoO FHLMC 2YrNc6MoO FHLMC 5YrNc6MoQ FHLMC 3YrNC4MoO FHLMC 5YrNc3MoO FHLMC 2YrNc3MoQ

-300.00

-35,000.00

25,000,000.00 100.026000

6,500.00

-250.00

-186,500.00 -108,000.00

-39,000.00

FHLMC 5YrNc1Q

9,997,500.00

-2,500.00 5,250.00 1,050.00 902,870.00

FHLMC 2YrNc3MoQ FHLMC 5YrNc3MoQ

25,000,000.00 100.021000

25,005,250.00

5,000,000.00

5,000,000.00 100.021000 735,454,560.00 100.048564

5,001,050.00

736,000,000.00

736,357,430.00

1465: FHLMC-STEP%-S30/360

3134G8KU2 3134G9JX6

FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB

02/26/2021 06/09/2021

2.000 1.750

1.750 2.000

10,000,000.00 15,000,000.00

10,000,000.00 100.001000

10,000,100.00 14,979,900.00

100.00

1.568 1.297

1.608 1.326

15,000,000.00

99.866000

-20,100.00

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 -24,800.00

Modified Duration

Years To Maturity

3134G9VA2 3134G9UX3 3134G9UM7 3134G9T23 3134G9S57 3134G9R66 3134G9S40 3134G9JW8 3134G9NU7 3134GAEG5 3134GADP6 3134GAEB6 3134G96A0 3134G95W3 3134G9U47 3134GAQV9 3134GAQV9 3134GAPM0 3134GASF2 3134GASF2 3134GAPM0 3134GATB0 3134GATA2 3134GANB6 3134GAKY9 3134GAUA0 3134GAYF5 3134GAYG3 3134GAYR9 3134GAA87 3134GATA2 3134GBSD5 3134GBTD4 3134GBPJ5 3134GBSE3 3134GBMP4 3134GAET7 3134GAA87

FHLMC 5YrNc3MoB 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 5YrNc6MoB 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 3YrNc3MoB FHLMC 3YrNc6MoB FHLMC 4YrNc6MoB FHLMC 3YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB

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

1.625 2.000 1.625 1.700 2.000 1.750 1.500 1.750 1.750 1.625 1.500 1.625 1.750 2.000 1.625 1.625 1.750 1.750 1.750 1.750 1.625 1.625 1.625 1.625 1.625 1.550 1.625 1.500 1.550 1.750 1.650 1.900 1.900 2.000 1.900 1.875 1.875 2.050 2.000 2.000 1.500 1.748 1.500 1.350 1.400 1.500 1.650 1.625 1.750 2.000 2.375 2.875 2.000 1.999 2.000 1.625 1.750 1.500 1.750 1.750 1.731 2.028 1.980 1.905 1.875 1.625 1.648 1.640 1.640 1.610 1.650 1.630 1.630 1.580 1.722 1.375 1.200 1.600 2.000 1.650 1.613 1.650 2.125 2.200 2.375 1.750 1.750

2.484 2.212 2.182 1.861 1.813 1.650 1.210 1.600 1.390 1.790 1.730 1.587 1.636 1.618 1.656 1.646 1.655 1.646 1.637 1.915 1.885 1.987 2.049 1.633 1.750 1.500 1.625 1.750 1.750 1.731 2.000 2.000 1.987 2.333 2.495 2.322 1.913 1.911 1.800 1.604 1.400 1.350 1.500 1.756 2.399 2.000 2.000 2.050 1.875 1.875 1.900 2.000 1.900 1.900 1.650 1.750 1.550 1.500 1.625 1.550 1.625 1.625 1.625 1.625 1.625 1.750 1.750 1.750 1.750 1.625 1.625 2.000 1.750 1.625 1.500 1.625 1.750 1.750 1.500 1.750 2.000 1.700 1.625 2.010 1.625 1.750 1.750

20,000,000.00 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 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 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 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 6,705,000.00 4,500,000.00

20,000,000.00

99.876000

19,975,200.00 15,004,050.00 14,984,100.00 14,996,250.00 10,000,500.00 14,995,050.00 14,954,550.00 14,990,850.00 14,968,500.00 19,979,200.00 20,000,000.00 16,476,735.00 19,962,000.00 14,991,150.00 14,992,800.00 9,988,800.00 6,697,490.40 14,963,100.00 14,963,100.00 14,966,850.00 14,966,850.00 9,994,600.00 14,981,550.00 9,986,400.00 20,002,800.00 10,000,400.00 10,000,400.00 10,001,600.00 20,002,000.00 15,002,550.00 15,000,300.00 20,012,200.00 15,004,050.00 20,012,200.00 4,999,350.00 9,980,000.00 9,997,800.00 9,990,800.00 4,999,000.00 14,999,400.00 11,086,432.80 15,198,600.00 10,256,500.00 31,465,200.00 10,000,400.00 132,973,482.80 4,965,100.00 613,127,050.40 14,982,750.00 14,997,000.00 20,001,800.00 14,956,650.00 19,961,800.00 14,993,400.00 99,893,400.00 24,900,000.00 49,990,500.00 59,830,200.00 24,921,250.00 19,906,000.00 19,924,400.00 49,831,500.00 49,831,500.00 49,765,000.00 24,922,500.00 49,781,000.00 49,831,500.00 49,765,000.00 523,200,350.00 4,983,000.00 9,984,300.00 5,000,700.00 10,032,700.00 5,002,150.00 10,002,100.00 5,351,123.50 8,085,294.25 15,104,400.00 10,104,500.00 9,995,200.00 16,952,740.00 13,993,280.00 4,481,055.00 19,942,600.00 9,998,900.00 14,987,850.00 14,987,850.00

1.633 1.628 1.631 1.587 1.532

1.666 1.666 1.666 1.627 1.567

14,997,000.00 100.027000

7,050.00

15,000,000.00 15,000,000.00

99.894000 99.975000

-15,900.00 -3,750.00

10,000,000.00 100.005000

500.00

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

99.967000 99.697000 99.939000 99.946000 99.877000 99.864000 99.790000 99.896000 99.859000 99.810000 99.941000 99.952000 99.888000 99.888000 99.754000 99.754000 99.779000 99.779000 99.952000 99.722000 99.952000 99.579000 99.713000 99.989000

-4,950.00

.730

.740

-45,450.00 -9,150.00 -5,400.00 -18,450.00 -13,600.00 -31,500.00 -20,800.00 -23,265.00 -38,000.00 -8,850.00 -7,200.00 -11,200.00 -36,900.00 -36,900.00 -33,150.00 -33,150.00 -7,509.60 0.00

1.743

1.778

.765

.778

1.740 3.621 2.579 2.543 2.560 1.290 1.042 2.097 2.097 2.048 2.051 2.016 2.031 1.952 1.972 1.952 1.951 1.951 1.952 1.952 1.946 1.946 1.880 1.879 1.879 1.830 1.777 1.084 1.782 1.781 1.780 1.741 .549 .549

3.773 1.785 2.679 2.644 2.663 1.321 1.068 2.167 2.167 2.110 2.110 2.074 2.085 1.992 2.030 1.992 1.992 1.992 1.992 1.992 1.986 1.986 1.918 1.918 1.918 1.871 1.816 1.107 1.819 1.819 1.819 1.778 .559 .559

20,000,000.00 100.000000

-4,800.00

-47,260.00

-6,720.00

4,500,000.00

-18,945.00 -57,400.00

20,000,000.00 10,000,000.00

-1,100.00

20,000,000.00 100.014000 10,000,000.00 100.004000 10,000,000.00 100.004000 10,000,000.00 100.016000 20,000,000.00 100.010000 15,000,000.00 100.017000 15,000,000.00 100.002000 20,000,000.00 100.061000 15,000,000.00 100.027000 20,000,000.00 100.061000

2,800.00

400.00 400.00

1,600.00 2,000.00 2,550.00

300.00

12,200.00

3134GBTE2

4,050.00

3134GBYK2

12,200.00

3134G92T3

5,000,000.00

4,790,170.00

99.302000

174,930.00 -365,119.60

613,705,000.00

613,492,170.00 99.905826

1525: FNMA-Fxd-S 30/360

3136G3RL1

FNMA 3.5YrNc6MoB FNMA 4YrNc6MoE FNMA 3YrNc6MoB

5,000,000.00

5,000,000.00

99.987000 99.800000 99.978000 99.908000 99.980000 99.996000

-650.00

.222 .344 .239 .068 .738 .692 .125

.225 .348 .241 .068 .748 .701 .126

3135G0T78 3135G0T94 3135G0UU5 3135G0U43 3135G0A78 3135G0T60 3135G0S46 3136G3WC5 3136G4GU1

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

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

-20,000.00

-2,200.00

FNMA 3Yr

21,100.00 15,150.00 88,500.00 44,106.36 416,400.00 312,400.00 794,700.00

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 10,000,000.00 131,082,000.00

FNMA 2.25Yr FNMA 4.83Yr

11,042,326.44 100.040000 14,782,200.00 101.324000

4.727 1.953 3.631 3.057 2.821

4.997 2.057 3.868 3.222 2.932

FNMA 5Yr

9,944,100.00 102.565000

FNMA 4.41Yr

30,670,500.00 104.884000 10,000,000.00 100.004000 131,303,576.44 101.442977

3136G4TY9

FNMA 5YrNc1YrQ

400.00

1,669,906.36

1560: FNMA-STEP%-Q 30/360

3136G3SG1

FNMA 4.25YrNc6MoB

15,000,000.00 15,000,000.00

15,000,000.00

99.919000

-12,150.00 -12,150.00

.847 .847

.860 .860

15,000,000.00 99.919000

1565: FNMA-STEP%-S 30/360 3136G3DV4 3136G3PB5

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

15,000,000.00 15,000,000.00 20,000,000.00 15,000,000.00 20,000,000.00 15,000,000.00 100,000,000.00 25,000,000.00 50,000,000.00 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 50,000,000.00 525,000,000.00

15,000,000.00 15,000,000.00

99.885000 99.980000

-17,250.00 -3,000.00

1.390 1.570

1.414 1.608

3136G3TG0

20,000,000.00 100.009000

1,800.00

.658

.666

3136G3XT7

15,000,000.00 20,000,000.00 15,000,000.00

99.711000 99.809000 99.956000

-43,350.00 -38,200.00

1.705 1.046 1.707 1.329

1.740 1.740 1.355 1.068

3136G3ZW8

3136G3Y74

-6,600.00

100,000,000.00 99.893400

-106,600.00

1700: FHLB-DISC NOTE

313384SK6

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

24,743,683.33 49,832,250.00 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

99.600000 99.981000 99.717000 99.685000 99.530000 99.622000 99.663000 99.663000 99.530000 99.690000 99.562000 99.663000 99.530000

156,316.67 158,250.00 150,874.80 59,270.83 8,013.89 7,715.56 18,277.78 18,277.78 15,444.44

.822 .569 .651 .430 .550 .821 .208 .286 .205 .286 .189 .205 .267 .172 .191 .286 .229 .013 .241 .205

.827 .578 .663 .433 .559 .827 .212 .290 .208 .290 .271 .192 .208 .208 .233 .290 .014 .175 .195 .247

313384RV3 313384RV3 313384TB5 313384SE0 313384RH4 313384RQ4 313384TB5 313384NW5 313384RP6 313384SU4 313384RV3

FHLB 3Mo FHLB 3Mo FHLB 3Mo FHLB 4Mo FHLB 3Mo FHLB 4Mo FHLB 3Mo FHLB 4Mo

6,145.83

9,652.78 8,083.33

313384TB5

-194.44

522,584,220.75 99.657210

616,129.25

1725: FHLB-Fxd-S 30/360

3130ABYZ3 3130AC2C7 3130ABZE9 3130ABY34 3130A7PU3 3130A7PV1 3130ACBD5

FHLB 5Yr FHLB 4Yr

5,000,000.00

4,996,350.00 9,996,000.00

99.660000 99.843000

-13,350.00 -11,700.00

1.408

1.430

10,000,000.00

FHLB 2.75YrNc9MoE

5,000,000.00

5,000,000.00 100.014000

700.00

FHLB 3YrNc1YrE

10,000,000.00

10,061,000.00 100.327000

-28,300.00

FHLB 3YrNc1YrE

5,000,000.00 10,000,000.00 5,350,000.00 7,975,000.00 15,000,000.00 10,000,000.00

5,000,000.00 100.043000 9,950,500.00 100.021000 5,321,270.50 100.021000 7,955,620.75 101.383000 14,994,900.00 100.696000

2,150.00 51,600.00 29,853.00 129,673.50 109,500.00 136,500.00

FHLB 2.5Yr

FHLB 2.58YrNc1MoB

313379Q69

FHLB 4.5 Yr

1.330 1.204 2.503

1.364 1.238 2.611

3130ADFW7

FHLB 3Yr FHLB 3Yr

3130A0XD7

9,968,000.00 101.045000

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 138,000.00

Modified Duration

Years To Maturity

3130A0XD7 313378WG2 3130AE6U9 313382AX1 3130AE6U9

FHLB 3Yr

03/12/2021 03/11/2022 03/10/2023 05/07/2021 05/07/2021 09/29/2022 07/28/2023 11/26/2021 06/09/2023 03/30/2020 03/11/2022 08/05/2020 08/14/2020 09/11/2020 02/26/2021 09/10/2020 11/26/2021 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 09/30/2021 09/30/2021 12/09/2021 12/09/2021 12/08/2021 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 03/20/2020 10/26/2020 11/06/2019 01/12/2022 03/01/2021 02/12/2021 04/11/2023 05/10/2021 10/02/2023 11/01/2022 11/15/2021 10/05/2022 06/24/2020 02/27/2020 06/21/2024 02/08/2022 02/08/2021 02/08/2021 09/06/2022 09/11/2023 10/15/2024 10/28/2024 09/17/2024 10/30/2023 09/10/2024 09/22/2020 09/22/2020 09/28/2020 09/28/2020 07/01/2020 01/13/2020

2.375 2.500 2.125 2.700 2.700 1.650 1.800 3.125 2.050 2.375 2.500 2.200 2.060 2.100 2.050 2.050 2.125 2.050 2.000 2.000 2.000 2.000 2.000 2.125 1.800 2.000 2.102 2.000 2.000 1.600 1.600 1.700 2.000 2.000 2.000 2.000 1.500 1.750 1.871 2.000 2.000 1.954 1.954 1.977 1.420 1.320 1.350 1.340 1.380 1.770 1.710 1.520 1.550 1.450 1.750 1.600 2.200 2.500 2.350 2.700 2.700 3.050 3.330 3.050 2.050 2.750 2.520 2.220 2.160 2.090 2.090 1.500 1.900 1.920 1.820 1.600 1.930 2.080 1.981 2.224 2.224 1.850 1.850

1.930 1.688 1.672 1.820 2.026 1.920 1.529 1.900 2.090 2.090 2.160 2.220 2.555 2.757 3.050 2.922 3.330 3.095 2.747 2.721 2.474 2.501 2.365 1.667 1.760 1.511 1.550 1.520 1.770 1.710 1.380 1.340 1.350 1.320 1.420 1.969 2.436 2.000 2.000 2.579 2.000 2.000 1.700 1.600 1.600 1.800 2.000 2.125 2.000 2.000 2.000 2.009 2.021 2.050 2.135 2.000 2.000 2.180 2.060 2.050 2.100 2.060 2.200 2.308 2.429 3.147 3.150 2.965 2.929 2.703 2.725 2.716 2.619 2.489 1.862 1.862 2.224 2.224 1.977 1.954 1.954 2.000 2.000

10,000,000.00 10,000,000.00 11,750,000.00 7,650,000.00 10,000,000.00 15,730,000.00 10,000,000.00 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 25,000,000.00 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 50,000,000.00 594,365,000.00 15,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 20,000,000.00 10,000,000.00 15,000,000.00 20,000,000.00 10,000,000.00 3,700,000.00 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 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 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 14,435,000.00 10,000,000.00 10,000,000.00 10,000,000.00 6,128,000.00 5,000,000.00 2,064,000.00 405,327,000.00 5,000,000.00 5,100,000.00 145,100,000.00 10,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 50,000,000.00 25,000,000.00 25,000,000.00 50,000,000.00 50,000,000.00

9,966,500.00 101.045000 9,954,700.00 102.131000 11,432,397.50 101.862000 7,644,492.00 101.701000

10,104,500.00 10,213,100.00 11,968,785.00 7,780,126.50 10,170,100.00 15,628,069.60 10,008,100.00 10,000,100.00 47,367,681.40 30,639,300.00 25,000,750.00 25,002,250.00 25,002,750.00 25,000,250.00 25,006,500.00 25,002,000.00 24,988,500.00 24,963,000.00 24,995,750.00 10,011,200.00 10,000,300.00 10,010,700.00 14,996,250.00 25,069,000.00 50,029,000.00 596,295,158.25 3,686,828.00 15,002,250.00 15,001,800.00 9,988,400.00 9,988,400.00 15,000,600.00 20,002,000.00 10,001,400.00 15,002,100.00 20,006,000.00 9,992,200.00 5,095,818.00 145,080,968.00 10,008,400.00 15,012,600.00 10,008,400.00 15,012,600.00 50,042,000.00 7,692,916.00 9,978,200.00 9,979,300.00 14,969,100.00 9,959,300.00 10,000,000.00 10,000,200.00 9,999,600.00 4,998,350.00 19,991,400.00 20,025,400.00 25,000,000.00 10,131,600.00 10,105,200.00 15,119,400.00 10,401,700.00 10,160,200.00 10,578,700.00 10,073,700.00 10,030,700.00 10,046,700.00 24,959,250.00 24,991,000.00 24,991,000.00 14,441,062.70 10,000,400.00 10,000,800.00 10,006,100.00 6,135,843.84 5,002,450.00 2,112,896.16 407,171,068.70 5,000,000.00 10,297,700.00 9,990,900.00 25,043,750.00 25,043,750.00 49,836,000.00 49,836,000.00

1.963 3.409 3.563 2.808 1.457 1.457 3.205 2.270 1.330

2.074 3.608 3.742 2.915 1.518 1.518 3.359 2.362 1.364

FHLB 4.08Yr

258,400.00

FHLB 4.9Yr

536,387.50 135,634.50 171,000.00 687,715.60 182,632.00 460,000.00 181,286.40 481,200.00 15,200.00

FHLB 3Yr FHLB 3Yr

9,999,100.00 101.701000

3130A9M40

FHLB 4.17Yr

14,940,354.00

99.352000 99.644000

3130A8R54

FHLB 4.9YrNc1Mo

3,504,196.00

3133EF5D5 3133EGSA4 3133EGVK8 3133EGXX8 3133EGC94 3133EGR49 3133EHAJ2 3133EHRK1 3133EHUL5 3133EHJ95 3133EHP98 3133EH6X6 3133EJKN8 3133EJEM7 3133EJCE7 3133EHZN6 3133EJP52 3133EJD48 3133EJNS4 3133EKRP3 3133EKYR1 3133EKBU9 3133EFX44 3133EJ3L1 3133EKM45 3133EKM94 3133EK2A3 3133EK4B9 3133EKYL4 3133EKYL4 3133EKP75 3133EK4A1 3133EKQA7 3133EJT74 3130AA5A2 3130ABVZ6 3130ABZW9 3130AC6H2 3130AA2T4 3130AA2T4 3130A9DA6 3130A9DH1 3130AA5Y0 3130A9TV3 3130AC4T8 3130AFCU9 3130A8CK7 3130ADUJ9 313378WG2 3130AGZE8 3130AH2K8 3130AGZ57 3130AGWJ0 3130AGYJ8 3130AH5N9 3130AH5D1 3130AGWF8 3130AHE33 3130AHE66 3130AHG64 3130AHG56 3130AHG31 3130AHGS6 3130AGUE3 3130A8NF6 3130A9FR7 3130A9FR7 3130A9FM8 3130A9FU0 313312RT9

FHLB 3YrNc1YrE

9,992,900.00 100.081000 9,540,100.00 100.001000 47,186,395.00 100.334000 30,158,100.00 102.131000 25,000,000.00 100.003000 25,000,000.00 100.009000 25,000,000.00 100.011000 25,000,000.00 100.001000 24,997,500.00 100.026000 24,995,000.00 100.008000

FHLB 4.5Yr

FHLB 11Mo FHLB 2.91Yr

.408

.414

2.274

2.362

FHLB 1YrNc3MoQ FHLB 1YrNc3MoQ FHLB 1.08YrNc3MoQ

750.00

.847 .773 .747

.866 .789 .764

2,250.00 2,750.00

FHLB 1.4YrNc3MoQ

250.00

1.291

3.071 2.305 2.025 2.564 2.816 2.816 2.279 2.110 2.110 2.107 1.918 1.918 2.061 2.995 5.000 5.000 4.997 4.978 4.978 1.647 2.822 1.899 .863 2.074 1.326

FHLB 1YrNc3MoQ

9,000.00 7,000.00

.845

FHLB 2.16YrNc2MoB

2.234 2.958 1.963 2.473 2.713 2.713 2.207 2.050 1.878 2.050 2.044 1.878 4.756 2.890 4.714 4.727 4.708 4.708 1.606 2.720 1.845 2.022 1.982

FHLB 2YrNc6MoB

25,000,000.00 24,985,000.00 24,996,250.00

99.954000 99.852000 99.983000

-11,500.00 -22,000.00

FHLB 2.9YrNc5MoB

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

-500.00

10,000,000.00 100.112000 10,000,000.00 100.003000 10,000,000.00 100.107000

11,200.00

300.00

10,700.00

15,000,000.00

99.975000

-3,750.00

FHLB 5YrNc2YrQ

25,000,000.00 100.276000 50,000,000.00 100.058000 592,536,625.75 100.324743

69,000.00 29,000.00

FHLB 3YrNc6MoQ

3,758,532.50

1765: FHLB-STEP%-S 30/360

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

15,000,000.00 100.015000 15,000,000.00 100.012000

2,250.00 1,800.00

10,000,000.00 10,000,000.00

99.884000 99.884000

-11,600.00 -11,600.00

15,000,000.00 100.004000

600.00

20,000,000.00 100.010000 10,000,000.00 100.014000 15,000,000.00 100.014000 20,000,000.00 100.030000

2,000.00 1,400.00 2,100.00 6,000.00

9,690,500.00 4,967,400.00

99.922000 99.918000

301,700.00 128,418.00 423,068.00

144,657,900.00 99.986884

1767: FHLB-Var-M A/360

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

10,000,000.00 100.084000 15,000,000.00 100.084000 10,000,000.00 100.084000 15,000,000.00 100.084000 50,000,000.00 100.084000

8,400.00

.901 .913 .913 .888 .888

.904 .912 .912 .896 .896

12,600.00

8,400.00

12,600.00 42,000.00

1770: FHLB-Var-Q A/360

FHLB 3Yr

25,000,000.00 100.175000 25,000,000.00 100.175000

43,750.00 43,750.00

.662 .662

.668 .668

1900: FFCB-DISC NOTE

FFCB DISC NTE

49,676,250.00

99.672000

159,750.00 159,750.00

.199 .199

.203 .203

49,676,250.00 99.672000

1925: FFCB-Fxd-S 30/360

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

7,700,000.00 10,000,000.00 10,000,000.00 15,000,000.00 10,000,000.00

99.908000 99.782000 99.793000 99.794000 99.593000

-7,084.00 -21,800.00 -20,700.00 -30,900.00 -40,700.00

.986 .940 .805 .880 .487

.816 .893 .490

.953

1.008 1.104

10,000,000.00 100.000000 10,000,000.00 100.002000

0.00

1.077

200.00

.323

.326

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

10,000,000.00 5,000,000.00 19,970,400.00

99.996000 99.967000 99.957000

-400.00

.016 .973 .383 .765 .212

.989 .016 .386 .214 .778

-1,650.00

21,000.00 31,400.00 32,752.50 193,600.00 105,500.00 170,730.00 411,400.00 173,600.00 599,400.00 262,000.00 350,030.00 74,700.00 34,100.00 46,700.00 -40,750.00 -9,000.00 -9,000.00 18,188.10 0.00

19,994,000.00 100.127000 24,967,247.50 100.000000 9,938,000.00 101.316000 9,999,700.00 101.052000 14,948,670.00 100.796000 9,990,300.00 104.017000 9,986,600.00 101.602000 9,979,300.00 105.787000 5,000,000.00 100.000000 10,035,700.00 102.977000 9,999,000.00 100.737000 9,996,600.00 100.307000 10,000,000.00 100.467000 9,640,870.00 99.909000 14,422,874.60 100.042000 10,000,000.00 100.004000 10,000,000.00 100.008000 10,000,000.00 100.061000 6,107,471.20 100.128000 5,000,000.00 100.049000 2,101,585.44 102.369000 404,778,318.74 100.454958 25,000,000.00 25,000,000.00 25,000,000.00 99.837000 99.964000 99.964000

4.750 4.664 4.702 3.697 3.832 4.597 1.704 2.771 1.241 1.241 2.193 4.351 1.937 2.809 2.789 3.659 1.465 3.263 1.248 1.299 2.118 .632 .322

4.866 4.000 1.777 4.885 4.997 4.962 3.866 2.852 1.277 1.277 2.277 4.644 2.044 2.932 3.005 3.923 1.526 3.447 1.288 1.334 2.203 .649 .326

FFCB4 4YrNc1YrA

FFCB 2.9Yr

FFCB 3.8YrNc1WKA

FFCB 1.5Yr

FFCB 1Yr

FFCB 5YrNc2YrA

FFCB 2.5YrNc3MoA FFCB 1.5YrNc3MoA FFCB 1.5YrNc3MoA

FFCB 3Yr

FFCB 4YrNc1YrA FFCB 5YrNc1YrA FFCB 5YrNc2YrA

400.00 800.00

6,100.00

FFCB 4.9Yr

28,372.64

FFCB 4YrNc1YrA

2,450.00

FFCB 4.9Yr

11,310.72

2,392,749.96

1930: FFCB-Var-M A/360

3133EF2Z9 3133EFT56 3133EGCE3

FFCB 4Yr FFCB 4Yr FFCB 5Yr

04/01/2020 04/13/2020 05/25/2021

2.267 2.166 2.093

2.166 2.093 2.267

25,000,000.00 50,000,000.00 10,000,000.00

25,000,000.00 100.068000 50,000,000.00 100.077000 10,000,000.00 100.237000

25,017,000.00 50,038,500.00 10,023,700.00

17,000.00 38,500.00 23,700.00

.448 .498

.452 .419

1.555

1.567

11

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

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