June 2019 TPIF

County of Riverside Treasurer’s Pooled Investment Fund

June 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 June 19 press conference.

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

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

1

Treasurer’s Pooled Investment Fund

Monthly Commentary

Trade Solstice

June began with markets nervously waiting to see if the trade war was going to escalate, but concluded with a sigh of relief following the G20 summit, where the U.S. and China announced a freeze in their trade dispute. On the economic front, indicators pointed to a strong U.S. econo- my, with some gathering storms. Deutsche Bank, the beleaguered German bank, is believed to pose a risk to the global financial system due to its underwhelming finan- cial metrics and the interconnection of its $49 trillion derivatives portfolio. Fears of Deutsche Bank failing intensified when it recently an- nounced layoffs of 15K of its global workforce. On June 27, the Federal Reserve announced the result of its stress test, which demonstrated the ability of U.S. banks to remain solvent under dire economic circumstances, including Deutsche Bank’s U.S. branch. Geopolitical tensions spiked with attacks on two oil tankers in the Strait of Hormuz and a U.S. drone being shot down by Iran. However, corpo- rations and consumers will benefit from the U.S. withholding on the implementation of 25% tariffs on an additional $300 billion worth of Chinese imports. With September rapidly approaching, markets will be more concerned over the debt ceiling crisis. Congress has yet to finalize a deal and the U.S. national debt sits north of $22 trillion. The U.S. Treasury Department is estimated to run out of funds sometime in September of this year. U.S. economic growth was strong with real

GDP for 1Q19 at 3.1%, mainly driven by robust consumer spending and government spending. Meanwhile, global economic activity slowed. The IMF is forecasting near-recession growth rates for the Euro Area. Despite nonfarm payrolls coming in far below market expectations at 75K, the U.S. labor market appeared strong in May. Initial jobless claims remained at a multi-decade low and the U6 rate, which accounts for unemployed persons plus "marginally attached workers and those working part-time for economic reasons," was the lowest since 2000 at 7.1%. However, the Consumer Confidence Index decreased more than expected in June to 121.5, down from 131.3 in May. Industrial activity also showed signs of slowing as the manufacturing PMI fell to a 10-year low at 50.1. The national housing market continued to show signs of a slowdown in May. Existing home sales fell 1.1% YoY while new home sales fell 3.7% YoY. This contrasts Riverside County’s housing market, where data from CoreLogic showed a 2.6% YoY increase in home sales in May. Technology and information companies like Facebook and Google have recently been sub- ject to scrutiny from U.S. politicians and European regulatory agencies for their potential violations of consumer privacy. Government intervention could be consequential for how technology and information companies generate revenue by using consumer data to market to advertisers. Higher tariffs would result in increased prices

for consumers, and reduce revenues and profits margins for U.S. retailers like Walmart. However, Walmart has less exposure to tariffs than its com- petitors, such as Target, due to its scale, pricing power with vendors, and significant groceries sales. Adverse Midwestern weather and U.S.-China trade have compressed margins and reduced demand for vegetable oils and protein meals for Archer-Daniels-Midlands and its competitors in the agricultural processing industry, which is ex- pected to decrease profits and revenues for the quarter ending June 30, 2019. The effects of heightened risks to corporations stemming from trade, the slowdown in the global economy, industrial disruptions, etc. have been mostly speculative. They will become observable in mid-July to late August when corporations report their earnings. The combination of rising tensions with Iran, the weakening global economy, and our ongo- ing trade battle with China caused the Federal Reserve to change their policy stance at their mid-month meeting and openly hint at a funds rate decrease as early as July. This new Fed stance brought rates down further, with the 2- year Treasury yield ending the month at 1.75 from a start at 1.82 and the 5-year Treasury yield end- ing the month at 1.76 from a start at 1.83.

Jon Christensen

Treasurer-Tax Collector

Treasurer’s Statement

Capital Markets Team

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

Jon Christensen Treasurer-Tax Collector

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

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

Giovane Pizano Chief Investment Manager

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

funds within the given parameters.

Steve Faeth Senior Investment Manager

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

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

Isela Licea Assistant Investment Manager

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

credit rating services.

Jake Nieto Administrative Services Assistant

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

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

Government Code 53646.

6-Month Pool Performance

Month End Market Value ($)*

Month End Book Value ($)

Paper Gain or Loss ($)

Paper Gain or Loss (%)

Book Yield (%)

WAM (Yrs)

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

Apr-19

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

0.11%

2.36

1.09

Mar-19

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

0.35%

2.35

1.04

Feb-19

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

-0.13%

2.32

1.06

Jan-19

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

-0.12%

2.31

1.05

*Market values do not include accrued interest.

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

2

Economy

National Economy

State Economy

Job growth slowed in May, with 75k payrolls added com- pared to expectations for 180K. [Econoday; 06/28/2019]  Durable goods orders have trended downward since 3Q18, consistent with other key industrial indexes. [FRED; 06/28/2019]  Housing starts were solid this May with 1.27MM SAAR, but home sales measures still lagged May 2018. [FRED; 06/28/2019]  The Consumer Confidence and Consumer Sentiment indexes fell in June from May levels, pulled down by expectations of lower inflation. [Econoday; 06/28/2019]

CA added 19.4K jobs in May, falling short of year-to-date (24.7K) and 2018 (23.2K) monthly averages. [BLS; 06/28/2019]  U.S.-China trade dispute caused exports from CA to China to fall 0.5% in 2018, corresponding with state GDP growth falling from 3.5% in 2018 to 2% in 1Q19. [CNBC; 06/28/2019]  CA housing market improved in May, with home sales rising above 400K for the first time in 10 months. [CAR; 06/28/2019]  Inland Empire job growth increased 1.7% YoY in May 2019 , up from February’s growth of 1.2% YoY. [FRED; 06/28/2019]

Nonfarm Jobs Added - Y/Y

U.S. Housing Starts

Recession

Housing Starts

5 Mo. Mvg. Avg.

(000's)

6.0 Percent

United States

California Inland Empire

1,400

5.0

1,200

4.0

1,000

3.0

800

2.0

600

1.0

0.0

400

U of M Consumer Sentiment

U.S. Durable Goods Orders

Percent Points

275 Millions, USD

Index Points

105

3.5

3.0

100

250

2.5

95

2.0

1.5

90

225

1.0

U of M Consumer Sentiment (LHS)

85

0.5

U of M Inflation Expectations (RHS)

200

80

0.0

Key Economic Indicators

Release Date

Indicator

Actual 3.10%

Consensus

Difference

06/27/2019 06/07/2019 06/07/2019 06/12/2019 06/12/2019 06/05/2019 06/25/2019 06/04/2019 06/26/2019

Real GDP - Q/Q Change - SAAR - 1Q19 (3rd estimate)

3.10% 3.70%

0.00%

3.60%

Unemployment Rate - Seasonally Adjusted

-0.10%

75,000 1.80% 2.00%

Non-Farm Payrolls - M/M Change

180,000

-105,000

CPI - Y/Y Change

2.10% 2.10%

1.90%

CPI Ex Food and Energy - Y/Y Change

-0.10%

56.9

ISM Non-Manufacturing Index (> 50 indicates growth)

55.8

1.10

626

New Home Sales - SAAR - Thousands of units

680

-54

-0.80% -1.30%

Factory Orders - M/M Change

-0.80% -0.10%

0.00%

Durable Goods Orders - New Orders - M/M Change

-1.20%

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

3

Market Data

FOMC Meeting 06/19/2019

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

and that economic activity rose at a moderate rate.”

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

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

flation near the Committee’s symmetric 2 percent objective as the most likely outcomes, but uncertainties about this

outlook have increased,” stated the FOMC in their June 19 press release.

Fed Funds Target Rate (Upper Limit)

3.00%

2.50%

2.00%

1.50%

1.00%

U.S. Treasury Curve

06/03/2019

06/28/2019

2.50

2.00

1.50

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

06/28/2019 - 06/03/2019

-0.23

-0.22

-0.19

-0.07

-0.08

-0.07

-0.07

-0.01

06/28/2019

2.12

2.09

1.92

1.75

1.71

1.76

2.00

2.52

06/03/2019

2.35

2.31

2.11

1.82

1.79

1.83

2.07

2.53

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

issued TPIF report.

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

4

Market Data cont’d

Commodities

Nymex Crude (LHS)

Nymex Nat Gas (RHS)

Precious Metals

Industrial Metals

180.00

75.00

5.00

4.50

160.00

65.00

4.00

140.00

3.50

55.00

3.00

120.00

2.50

100.00

45.00

2.00

Stocks

2-Yr. Treasury Constant Maturity Rate

Dow Jones (LHS)

S&P 500 (RHS)

Percent

30,000.00

3,000.00

18

16

14

12

10

25,000.00

2,750.00

8

6

4

2

0

20,000.00

2,500.00

*Note: Shaded areas indicate U.S. recessions.

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

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

5

Portfolio Data

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

AAAf/S1 by Fitch Ratings .

Aa1 5%

Moody’s Asset Rating (000’s)

Book

MKT/Book % Book

Yield

Aaa

5,046,122.74 100.41%

74.09%

2.24%

Aa2 4%

Aa3 3%

Aa1

364,091.59 100.60%

5.35%

2.57%

Aaa 74%

Aa2

264,367.51 100.51%

3.88%

2.50%

NR 14%

Aa3

173,547.25 101.75%

2.55%

2.76%

NR

963,084.50 100.05%

14.14%

2.50%

Totals:

6,811,213.59 100.41% 100.00%

2.32%

S&P Asset Rating (000’s)

AA 4% AA- 3%

Book

MKT/Book % Book

Yield

AAA

361,074.03 100.62%

5.30%

2.41%

AA+

5,014,140.30 100.41%

73.62%

2.25%

NR 14%

AA

283,614.61 100.75%

4.16%

2.56%

AA+ 74%

AA-

189,300.15 101.20%

2.78%

2.73%

AAA 5%

NR

963,084.50 100.05%

14.14%

2.50%

Totals:

6,811,213.59 100.41% 100.00%

2.32%

12-Month Projected Cash Flow

Required Matured Investments

Actual Investments Maturing

Monthly Receipts

Monthly Disbursements Difference

Available to Invest > 1 Year

Month

Balance

07/2019

128.80

07/2019

969.28

1,250.00

(280.72)

151.92

-

1,596.95

08/2019

900.00

1,200.00

(300.00)

300.00

-

586.38

09/2019

1,100.00

1,200.00

(100.00)

100.00

-

534.61

10/2019

1,100.00

1,300.00

(200.00)

200.00

-

404.28

11/2019

1,300.00

1,200.00

100.00

100.00

380.00

12/2019

2,375.13

1,200.00

1,175.13

1,275.13

5.00

01/2020

1,100.00

2,200.00

(1,100.00)

175.13

162.50

02/2020

1,100.00

1,500.00

(400.00)

224.87

-

115.33

03/2020

1,350.00

1,200.00

150.00

150.00

123.29

04/2020

1,350.00

1,200.00

150.00

300.00

265.65

05/2020

1,700.00

1,700.00

-

300.00

142.66

06/2020

1,000.00

1,736.13

(736.13)

436.13

-

80.43

TOTALS

15,344.41 16,886.13 (1,541.72) 1,412.92 2,429.06 4,397.07 5,398.29

20.74%

64.56%

79.26%

* 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)

26.98% 1,846,288.00

2,000,000

20.56% 1,406,945.94

1,500,000

16.05% 1,098,485.00

13.79% 943,864.00

13.27% 908,290.00

1,000,000

9.33% 638,538.00

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

584,231.55 588,210.70 3,865,922.36 3,878,985.00 107,000.00 107,000.00 778,000.00 778,000.00 4,023.98 4,023.98 914,812.22 920,200.11 35,000.00 35,000.00 288,841.41 292,355.70 233,302.07 234,956.83

100.68% 100.34% 100.00% 100.00% 100.00% 100.59% 100.00% 101.22% 100.71% 100.00% 100.41%

2.46% 0.31 0.31 2.18% 1.22 1.65 2.30% 0.00 0.00 2.52% 0.00 0.00 2.64% 0.00 0.00 2.51% 0.16 0.16 3.00% 0.13 0.13 2.60% 0.58 0.60 2.48% 1.34 1.34 2.85% 0.96 0.96

AGENCIES

MMKT CASH

CALTRUST FND COMM PAPER

NCDS

MEDIUM TERM NOTES

MUNI

LOCAL AGCY OBLIG

80.00 80.00

Totals:

6,811,213.59 6,838,812.31

2.32%

0.81

1.05

* 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%

2.27%

2.08% 2.07% 2.06% 2.17%

2.32%

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

2.18%

2.00%

2.01% 2.09%

1.88% 1.92% 1.96%

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

Investment Category

S&P/ Moody's Actual %

MUNICIPAL BONDS (MUNI)

3.41%

5 YEARS

NO LIMIT

NA

4 YEARS

15%

AA-/Aa3/AA-

U.S. TREASURIES

8.62%

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

56.69%

5 YEARS

NO LIMIT

AAA

5 YEARS

100%

NA

COMMERCIAL PAPER (CP)

13.50%

270 DAYS

40%

A1/P1

270 DAYS

40%

A1/P1/F1

CERTIFICATE & TIME DEPOSITS (NCD & TCD)

25% Combined

0.51%

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)

4.28%

5 YEARS

30%

A

3 YEARS

20%

AA/Aa2/AA

CALTRUST SHORT TERM FUND

DAILY LIQUIDITY

0.06%

NA

NA

NA

1.00%

NA

AAA by 2 Of 3 RATINGS AGC.

MONEY MARKET MUTUAL FUNDS (MMF)

DAILY LIQUIDITY

1.56%

60 DAYS (1)

20%

AAA/Aaa (2)

20%

LOCAL AGENCY INVESTMENT FUND (LAIF)

DAILY LIQUIDITY

Max $50 million

0.00%

NA

NA

NA

NA

CASH/DEPOSIT ACCOUNT

11.37%

NA

NA

NA

NA

NA

NA

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

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

FGTXX GOFXX WFFXX FRGXX

FIDELITY GOV

07/01/2019 07/01/2019 07/01/2019 07/01/2019

2.300 2.283 2.293 2.295 2.300

2.300 2.295 2.293 2.283 2.300

102,000,000.00 1,000,000.00 3,000,000.00 1,000,000.00 107,000,000.00

102,000,000.00 100.000000 1,000,000.00 100.000000 3,000,000.00 100.000000 1,000,000.00 100.000000 107,000,000.00 100.000000

102,000,000.00 1,000,000.00 3,000,000.00 1,000,000.00 107,000,000.00

0.00 0.00 0.00 0.00 0.00

.003 .003 .003 .003 .003

.003 .003 .003 .003 .003

FEDERATED GOV

GOLDMAN SACHS GOV

WELLS FARGO GOV

1065: CLTR-A/365-6 CLTR

CALTRUST SHT TERM FUND

07/01/2019

2.656 2.656

2.644 2.644

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

07/01/2019

2.546 2.546

2.546 2.546

300,000,000.00 300,000,000.00

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

300,000,000.00 300,000,000.00

0.00 0.00

.003 .003

.003 .003

1170: MGD RATE-A/360

CASH CASH CASH CASH

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

07/01/2019 07/01/2019 07/01/2019 07/01/2019

2.431 2.426 2.543 2.488 2.501

2.488 2.501 2.543 2.426 2.431

138,000,000.00 40,000,000.00 300,000,000.00

138,000,000.00 100.000000 40,000,000.00 100.000000 300,000,000.00 100.000000

138,000,000.00 40,000,000.00 300,000,000.00

0.00 0.00 0.00 0.00 0.00

.000 .003 .003 .003 .003

.003 .003 .003 .003 .003

0.00

0.00

.000000

0.00

478,000,000.00

478,000,000.00 100.000000

478,000,000.00

1175: LAO-SINKING FND-A/360

LAO

US DIST COURTHOUSE

06/15/2020

2.845

2.845

80,000.00

80,000.00 100.000000

80,000.00

0.00

.450

.962

2.845

2.845

80,000.00

80,000.00 100.000000

80,000.00

0.00

.450

.962

1300: U.S. TREASURY BILL 912796SF7

U.S. TREASURY BILL

08/29/2019

2.458 2.458

2.488 2.488

40,000,000.00 40,000,000.00

39,503,038.80 99.656000 39,503,038.80 99.656000

39,862,400.00 39,862,400.00

359,361.20 359,361.20

.160 .160

.164 .164

1310: U.S. TREASURY BOND

3134GTUA9 3134GTFF5 3134G8TG4 3134G9Q75 3134GABZ6 3134GAVF8 3134GAXZ2 3134GAYK4 3134GBWH1 3134GBYS5 3137EAEE5 3134GBTX0 3134GBG30 3134GBG30 3134GBK35 3134G9W37 912828T59 912828U32 912828U32 912828F62 912828UB4 912828UL2 912828W63 9128282K5 912828TH3 912828U32 9128282K5 9128282K5 912828TV2 912828TN0 3134GSA96 3134GSA96 3134GSD44 3134GBXV9 3134GSC45 3134GSA96 3134GTDQ3 3134GTED1 3134GTCP6 3134GS5Y7 3134GBX80 3134GSMF9 3134GSQL2 3134GTHV8 3134GTHH9 3134GTEB5 3134GTGX5 3134GTGX5 3134GSB53 3134GTKG7 3134GTLZ4 3134GTTX1 3134GTLU5 3134GTSF1 3134G8KU2 3134G8L31 3134G9JX6 3134G9JW8 3134G9S40 3134G9XA0 3134G9UX3 3134G9VA2 3134G9UM7 3134G9NU7

U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND U.S. TREASURY BOND FHLMC 3.5YrNc6MoE FHLMC 3YrNc3MoB FHLMC 3.5YrNc1YrE FHLMC 3.5YrNc1YrE FHLMC 4YrNc6MoE FHLMC 4YrNc1YrE FHLMC 2.25YrNc6MoB FHLMC 2YrNc3MoB FHLMC 3YrNc3MoB FHLMC 2.75YrNc2MoB FHLMC 2YrNc5MoB FHLMC 2YrNc6MoB FHLMC 2.5YrNc3MoB FHLMC 4.5YrNc7MoB FHLMC 2.75Yr FHLMC 3.75YrNc6MoB FHLMC 1.08YrNc3MoB FHLMC 3YrNc3MoB FHLMC 3.5YrNc6MoQ FHLMC 5YrNc6MoE FHLMC 2.75YrNc9MoE FHLMC 5YrNc1YrE FHLMC 5YrNc1YrE FHLMC 5YrNc1YrE FHLMC 5YrNc2YrB FHLMC 1YrNc3MoB FHLMC 3YrNc3MoB FHLMC 3YrNc1YrE FHLMC 5YrNc6MoE FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 4YrNc6MoB FHLMC 1YrNc9MoE FHLMC 5YrNc3MoE FHLMC 5YrNc3YrE FHLMC 5YrNc2YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 1.6YrNc1Yr

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

1.375 1.375 1.375 1.000 1.250 1.000 1.500 1.000 1.000 1.000 1.000 1.375 1.625 1.165 2.460 2.300 2.380 1.500 1.250 1.250 1.200 1.370 1.440 1.500 1.600 1.800 1.500 1.750 1.500 1.500 1.450 2.300 3.000 3.100 3.100 3.150 3.150 3.150 3.150 3.160 1.850 2.850 2.550 2.750 2.625 2.570 2.500 2.625 2.610 2.610 2.600 2.530 2.750 2.400 2.250 2.204 2.000 1.500 1.500 1.750 1.625 2.000 1.625 1.700 2.000 1.750 1.500 .875

1.500 1.750 2.000 1.700 1.625 2.010 1.625 1.750 1.500 1.500 2.000 2.280 2.250 2.400 2.750 2.530 2.600 2.610 2.610 2.625 2.500 2.750 2.625 2.550 2.570 2.850 2.870 3.160 3.150 3.150 3.150 3.150 3.100 3.100 3.000 2.755 2.421 1.621 1.620 1.780 1.602 1.800 1.600 1.509 1.440 1.370 1.200 1.250 1.250 1.500 2.300 2.388 2.475 2.449 2.458 2.462 2.524 2.534 2.529 2.541 2.557 2.603 2.606 2.628 2.601 2.608 1.418 1.428

25,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 75,000,000.00 50,000,000.00 50,000,000.00 50,000,000.00 40,000,000.00 45,000,000.00 40,000,000.00 35,000,000.00 50,000,000.00 15,000,000.00 550,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 25,000,000.00 10,000,000.00 6,250,000.00 5,000,000.00 15,000,000.00 25,000,000.00 20,000,000.00 20,000,000.00 25,000,000.00 10,000,000.00 12,628,000.00 15,000,000.00 5,000,000.00 5,000,000.00 10,000,000.00 5,000,000.00 5,000,000.00 25,000,000.00 10,000,000.00 15,000,000.00 10,000,000.00 25,000,000.00 25,000,000.00 25,000,000.00 15,000,000.00 5,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 5,000,000.00 15,000,000.00 528,878,000.00 15,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 20,000,000.00 15,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 25,000,000.00 25,000,000.00 50,000,000.00

24,975,585.94 99.927000 24,980,468.75 99.927000 24,811,523.44 99.927000 24,736,328.13 99.886000 73,939,453.13 99.578000 49,449,218.75 99.703000 49,480,468.75 99.787000 49,611,328.13 99.793000 39,528,125.00 99.535000 44,569,335.94 99.680000 39,565,625.00 99.578000 34,652,734.38 99.578000 49,539,062.50 99.594000 14,889,257.81 99.707000 544,728,515.65 99.699691 24,996,250.00 100.146000 25,000,000.00 99.779000 49,996,250.00 99.962500 15,000,000.00 99.794000 10,000,000.00 99.931000 10,000,000.00 99.469000 15,000,000.00 99.398000 25,000,000.00 99.282000 10,000,000.00 99.372000 6,248,750.00 99.841000 5,000,000.00 99.960000 15,000,000.00 99.789000 24,942,750.00 99.646000 19,983,860.00 99.679000 19,953,600.00 99.849000 24,942,500.00 99.849000 9,769,000.00 99.413000 12,381,754.00 100.039000 15,000,000.00 101.668000 5,000,000.00 101.081000 5,000,000.00 100.385000 10,000,000.00 100.443000 5,000,000.00 100.443000 5,000,000.00 100.443000 25,000,000.00 100.490000 10,000,000.00 100.503000 14,758,950.00 99.745000 10,000,000.00 100.135000 25,000,000.00 100.002000 25,000,000.00 100.014000 25,000,000.00 100.171000 15,000,000.00 100.131000 5,000,000.00 100.291000 15,000,000.00 100.417000 15,000,000.00 100.393000 15,000,000.00 100.393000 10,000,000.00 101.036000 15,000,000.00 100.034000 15,000,000.00 100.016000 5,000,000.00 100.297000 15,000,000.00 99.858000 527,981,164.00 100.034921 15,000,000.00 99.953000 10,000,000.00 99.884000 10,000,000.00 99.930000 15,000,000.00 99.628000 20,000,000.00 99.660000 14,997,000.00 100.014000 15,000,000.00 99.684000 15,000,000.00 99.869000 10,000,000.00 99.829000 15,000,000.00 99.999000 15,000,000.00 99.673000

24,981,750.00 24,981,750.00 24,981,750.00 24,971,500.00 74,683,500.00 49,851,500.00 49,893,500.00 49,896,500.00 39,814,000.00 44,856,000.00 39,831,200.00 34,852,300.00 49,797,000.00 14,956,050.00 548,348,300.00 14,969,100.00 9,993,100.00 9,946,900.00 14,909,700.00 24,820,500.00 9,937,200.00 6,240,062.50 4,998,000.00 14,968,350.00 24,911,500.00 19,935,800.00 19,969,800.00 24,962,250.00 9,941,300.00 12,632,924.92 15,250,200.00 5,054,050.00 5,019,250.00 10,044,300.00 5,022,150.00 5,022,150.00 25,122,500.00 10,050,300.00 14,961,750.00 10,013,500.00 25,000,500.00 25,003,500.00 25,042,750.00 15,019,650.00 5,014,550.00 15,062,550.00 15,058,950.00 15,058,950.00 10,103,600.00 15,005,100.00 15,002,400.00 5,014,850.00 14,978,700.00 529,062,687.42 14,992,950.00 9,988,400.00 9,993,000.00 14,944,200.00 19,932,000.00 15,002,100.00 14,952,600.00 14,980,350.00 9,982,900.00 14,999,850.00 14,950,950.00 25,036,500.00 24,944,750.00 49,981,250.00

6,164.06 1,281.25

.696 .317 .573 .373 .373 .289 .414 .333 .168 .373 .332 .084 .084 .084 .084

.710 .322 .589 .378 .378 .293 .419 .337 .170 .378 .337 .085 .085 .085 .085

170,226.56 235,171.87 744,046.87 402,281.25 413,031.25 285,171.87 285,875.00 286,664.06 265,575.00 199,565.62 257,937.50 66,792.19 3,619,784.35 -30,900.00 -6,900.00 -53,100.00 -90,300.00 -179,500.00 -62,800.00 -8,687.50 -2,000.00 -31,650.00 -31,250.00 -48,060.00 16,200.00 19,750.00 172,300.00 251,170.92 250,200.00 54,050.00 19,250.00 44,300.00 22,150.00 22,150.00 122,500.00 50,300.00 202,800.00 13,500.00 3,500.00 42,750.00 19,650.00 14,550.00 62,550.00 58,950.00 58,950.00 103,600.00 5,100.00 2,400.00 14,850.00 -21,300.00 1,081,523.42 500.00 40,250.00 -55,250.00 -15,000.00

1420: FHLMC-Fxd-Q 30/360

.758

.775

4.675 2.713

4.970 2.869

1425: FHLMC-Fxd-S 30/360

.847 .646 .071 .280

.858 .658 .071 .282

1.396 1.383

1.422 1.408

.071 .242

.244

.071 1.252

1.223

.242 .242 .984 .539

.551

1.000

.244 .244

1.058 1.988 1.958 1.964 1.962 1.919 1.865 1.901 1.625 1.625 1.309 2.038 4.677 2.823 2.721 2.460 4.476 4.478 3.123 4.478 4.478 4.504 2.647 3.320 1.008 2.293 2.293 2.263 2.263 2.263 2.221 3.732 3.650 3.210 1.087 .819 .896

1.077 2.038 2.003 2.003 2.003 1.964 1.904 1.945 1.663 1.663 1.334 2.152 4.978 2.948 2.860 4.822 4.822 4.847 4.822 .915 2.573 4.816 3.301 2.786 3.496 1.038 2.411 2.411 2.381 2.381 2.381 2.334 4.000 3.907 3.378 1.115 .838

1465: FHLMC-STEP%-S30/360 3134G7S77

-7,050.00 -11,600.00 -7,000.00 -55,800.00 -68,000.00 -47,400.00 -19,650.00 -17,100.00 5,100.00

-150.00

-49,050.00

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 -85,200.00 -55,500.00 -25,000.00 -51,750.00 -41,900.00 -71,550.00 -79,000.00 -13,600.00 -60,885.00 -89,000.00 -41,700.00 -35,250.00 -41,300.00 -27,691.65 -18,900.00 -84,900.00 -84,900.00 -4,500.00 -74,250.00 -74,250.00 -27,000.00 -96,220.00 -37,800.00 -39,375.00 -119,800.00 -4,700.00 -4,700.00 12,682.50 8,550.00 -48,400.00 -2,800.00 -13,200.00 2,850.00 -3,150.00 9,400.00 1,350.00 100.00 -9,600.00 -600.00

Modified Duration

Years To Maturity

3136G3DV4 3136G3PB5 3136G3BX2 3136G3TG0 3136G3XT7 3136G3ZW8 3136G3Y74 313382AX1 3130ADG48 3130ADG48 3130AE6U9 3130AE6U9 313378WG2 3130A9M40 3130A8R54 3130ADFW7 3130A0XD7 3130A0XD7 313379Q69 3130AC3J1 3130ABY34 313384JQ3 3130ACBD5 3136G3SY2 3136G3WC5 3136G3RL1 3135G0M26 3135G0M26 3136G3A62 3136G3P25 3136G0YK1 3135G0S46 3136G4GU1 3135G0T60 3135G0R39 3135G0T94 3135G0T78 3135G0P49 3135G0UU5 3135G0A78 3135G0V42 3135G0U43 3134GBYN6 3134G92T3 3134GBZQ8 3134GBWD0 3134GBWS7 3134GBTE2 3134GBYK2 3134GBTD4 3134GBSE3 3134GBSD5 3134GBRW4 3134GBKC5 3134GBMP4 3134GBGB2 3134GBHN5 3134GBPJ5 3134G7S77 3134GAA87 3134GAA87 3134GAQV9 3134GAQV9 3134GAPA6 3134GAPM0 3134GAPM0 3134GANB6 3134GAET7 3134GAKY9 3134GADP6 3134GAEG5 3134GAEB6 3134G96A0 3134G95W3 3134G9U47 3134G9T23 3134G9S57 3134G9R66 3134GARL0 3134GAUA0 3134GATA2 3134GATB0 3134GATA2 3134GAYF5 3134GAYG3 3134GASF2 3134GASF2 3134GAYR9 3136G3SG1

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

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

1.500 1.500 1.500 1.500 1.500 1.375 1.500 1.500 1.500 1.500 1.450 1.500 1.500 1.500 1.500 1.400 1.400 1.500 1.500 1.500 1.500 1.550 1.500 1.500 1.550 1.750 1.650 1.900 1.900 2.000 2.500 2.000 1.650 2.000 1.900 1.875 1.875 2.050 2.000 2.000 1.750 2.050 2.100 1.500 2.250 2.250 1.702 1.500 1.350 1.250 1.000 1.000 1.050 1.125 1.000 1.400 1.500 1.500 1.650 1.625 1.750 2.000 2.375 1.000 2.650 2.875 1.678 2.000 2.000 1.625 1.750 1.400 1.375 1.375 1.639 2.530 1.550 1.613 1.650 2.125 2.200 2.375 2.375 2.500 2.250 2.250 2.125 2.700 2.700 1.650 1.800 1.750 1.750

2.965 2.929 2.703 2.725 2.716 2.513 2.553 2.619 2.489 2.484 2.212 2.182 1.861 1.813 1.550 2.570 1.640 1.375 1.400 1.375 1.750 1.625 2.000 2.000 2.659 2.333 2.655 2.495 2.322 1.851 1.913 1.604 1.400 1.400 1.800 1.911 1.091 1.125 1.050 1.000 1.000 1.250 1.350 1.500 1.720 2.953 2.732 2.399 2.100 2.050 2.050 1.875 2.000 2.000 1.875 1.750 1.900 2.000 1.650 2.000 2.500 2.153 1.900 1.900 1.650 1.750 1.550 1.500 1.500 1.550 1.500 1.500 1.500 1.500 1.400 1.400 1.500 1.500 1.500 1.500 1.450 1.500 1.500 1.500 1.500 1.375 1.500 1.500 1.500 1.500 1.500 1.750 1.750

15,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 20,000,000.00 20,000,000.00 16,500,000.00 20,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 6,705,000.00 10,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 10,000,000.00 17,000,000.00 14,000,000.00 4,500,000.00 20,000,000.00 10,000,000.00 20,000,000.00 10,000,000.00 10,000,000.00 7,125,000.00 15,000,000.00 10,000,000.00 20,000,000.00 10,000,000.00 20,000,000.00 15,000,000.00 15,000,000.00 20,000,000.00 15,000,000.00 20,000,000.00 10,000,000.00 20,000,000.00 20,000,000.00 5,000,000.00 3,000,000.00 10,000,000.00 788,830,000.00 5,000,000.00 10,000,000.00 7,500,000.00 10,000,000.00 10,000,000.00 15,000,000.00 25,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 5,000,000.00 15,000,000.00 11,082,000.00 15,000,000.00 10,000,000.00 28,799,000.00 30,000,000.00 30,000,000.00 267,381,000.00 15,000,000.00 15,000,000.00 15,000,000.00 20,000,000.00 15,000,000.00 20,000,000.00 15,000,000.00 115,000,000.00 25,000,000.00 5,000,000.00 10,000,000.00 5,350,000.00 7,975,000.00 15,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 20,000,000.00 10,000,000.00 11,750,000.00 7,650,000.00 10,000,000.00 15,730,000.00 3,700,000.00 15,000,000.00 15,000,000.00

15,000,000.00 99.432000 15,000,000.00 99.630000 10,000,000.00 99.750000 15,000,000.00 99.655000 10,000,000.00 99.581000 15,000,000.00 99.523000 20,000,000.00 99.605000 20,000,000.00 99.932000 16,500,000.00 99.631000 20,000,000.00 99.555000 15,000,000.00 99.722000 15,000,000.00 99.765000 10,000,000.00 99.587000 6,705,000.00 99.587000 10,000,000.00 99.811000 15,000,000.00 99.434000 15,000,000.00 99.434000 10,000,000.00 99.955000 15,000,000.00 99.505000 15,000,000.00 99.505000 10,000,000.00 99.730000 17,000,000.00 99.434000 14,000,000.00 99.730000 4,500,000.00 99.125000 20,000,000.00 99.401000 10,000,000.00 99.904000 20,000,000.00 99.997000 10,000,000.00 99.953000 10,000,000.00 99.953000 7,108,968.75 99.953000 15,000,000.00 100.057000 10,000,000.00 100.001000 20,000,000.00 99.758000 10,000,000.00 99.972000 20,000,000.00 99.934000 15,000,000.00 100.019000 15,000,000.00 99.979000 20,000,000.00 100.047000 15,000,000.00 100.009000 20,000,000.00 100.002000 10,000,000.00 99.998000 20,000,000.00 100.007000 20,000,000.00 100.018000 4,790,170.00 99.341000 2,946,600.00 100.014000 9,799,500.00 99.858000 788,347,238.75 99.775401 5,000,000.00 99.744000 10,000,000.00 99.378000 7,500,000.00 99.800000 10,000,000.00 99.913000 10,000,000.00 99.913000 15,000,000.00 99.914000 25,000,000.00 99.915000 9,973,200.00 99.631000 10,000,000.00 99.694000 9,969,700.00 99.501000 10,019,600.00 99.881000 4,983,850.00 99.711000 14,910,900.00 99.741000 11,042,326.44 99.779000 14,782,200.00 100.700000 9,944,100.00 101.966000 28,472,995.32 99.810000 29,992,500.00 100.163000 30,670,500.00 104.149000 267,261,871.76 100.445746 15,000,000.00 99.987000 15,000,000.00 99.700000 15,000,000.00 99.814000 20,000,000.00 99.856000 15,000,000.00 99.359000 20,000,000.00 99.551000 15,000,000.00 99.597000 115,000,000.00 99.695609 24,615,229.17 99.847000 5,000,000.00 99.883000 9,950,500.00 99.610000 5,321,270.50 99.797000 7,955,620.75 100.870000 14,994,900.00 100.462000 9,968,000.00 100.766000 9,966,500.00 100.766000 9,954,700.00 101.817000 19,833,600.00 100.018000 9,928,600.00 100.018000 11,432,397.50 101.149000 7,644,492.00 101.591000 9,999,100.00 101.591000 14,940,354.00 99.519000 3,504,196.00 99.629000 15,000,000.00 99.538000 15,000,000.00 99.538000

14,914,800.00 14,944,500.00 9,975,000.00 14,948,250.00 9,958,100.00 14,928,450.00 19,921,000.00 19,986,400.00 16,439,115.00 19,911,000.00 14,958,300.00 14,964,750.00 9,958,700.00 6,677,308.35 9,981,100.00 14,915,100.00 14,915,100.00 9,995,500.00 14,925,750.00 14,925,750.00 9,973,000.00 16,903,780.00 13,962,200.00 4,460,625.00 19,880,200.00 9,990,400.00 19,999,400.00 9,995,300.00 9,995,300.00 7,121,651.25 15,008,550.00 10,000,100.00 19,951,600.00 9,997,200.00 19,986,800.00 15,002,850.00 14,996,850.00 20,009,400.00 15,001,350.00 20,000,400.00 9,999,800.00 20,001,400.00 20,003,600.00 4,967,050.00 3,000,420.00 9,985,800.00 4,987,200.00 9,937,800.00 7,485,000.00 9,991,300.00 9,991,300.00 14,987,100.00 24,978,750.00 9,963,100.00 9,969,400.00 9,950,100.00 9,988,100.00 4,985,550.00 14,961,150.00 11,057,508.78 15,105,000.00 10,196,600.00 28,744,281.90 30,048,900.00 31,244,700.00 268,572,840.68 14,998,050.00 14,955,000.00 14,972,100.00 19,971,200.00 14,903,850.00 19,910,200.00 14,939,550.00 114,649,950.00 24,961,750.00 4,994,150.00 9,961,000.00 5,339,139.50 8,044,382.50 15,069,300.00 10,076,600.00 10,076,600.00 10,181,700.00 20,003,600.00 10,001,800.00 11,885,007.50 7,771,711.50 10,159,100.00 15,654,338.70 3,686,273.00 14,930,700.00 14,930,700.00

2.019 2.846 2.919 3.924 2.940 2.937 1.520 2.883 2.893 1.375 2.876 1.610 1.308 1.298 2.430 2.430 2.381 2.384 2.349 2.362 2.273 2.305 2.273 2.271 2.271 2.280 2.275 2.275 1.306 2.268 2.268 2.200 2.198 2.197 2.150 2.103 1.419 2.104 2.100 2.100 2.065 1.094 2.065 .882 .882 .813 .815

2.076 2.962 3.077 4.110 3.077 3.077 1.562 3.016 2.981 1.405 3.000 1.658 1.334 1.329 2.504 2.504 2.447 2.447 2.411 2.422 2.329 2.367 2.329 2.329 2.329 2.332 2.329 2.329 1.329 2.323 2.323 2.255 2.255 2.255 2.208 2.153 1.444 2.156 2.156 2.156 2.115 1.115 2.115 .896 .896 .827 .827

400.00 -200.00 1,400.00 3,600.00

176,880.00 53,820.00 186,300.00

787,058,299.60 -1,288,939.15

1525: FNMA-Fxd-S 30/360

-12,800.00 -62,200.00 -15,000.00 -8,700.00 -8,700.00 -12,900.00 -21,250.00 -10,100.00 -30,600.00 -19,600.00 -31,500.00

.459

.463

1.019

1.038

.566 .549 .160 .673 .316 .402 .071 .071 .071 .071 .250

.162 .578 .685 .562 .318 .405 .071 .071 .071 .071 .252

FNMA 3Yr

FNMA 3YrNc6MoB

FNMA 3Yr FNMA 2Yr

1.064

1.085

FNMA 2.16Yr2MoB

1,700.00 50,250.00 15,182.34 322,800.00 252,500.00 271,286.58 56,400.00 574,200.00 1,310,968.92 -1,950.00 -45,000.00 -27,900.00 -28,800.00 -96,150.00 -89,800.00 -60,450.00 -350,050.00 346,520.83 -5,850.00 10,500.00 17,869.00 88,761.75 74,400.00 108,600.00 110,100.00 227,000.00 170,000.00 73,200.00 452,610.00 127,219.50 160,000.00 713,984.70 182,077.00 -69,300.00 -69,300.00

FNMA 2Yr

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

3.125 3.350

3.268 3.559

.159

.162

FNMA 3YrNc6MoB

2.698 3.912 1.287

2.833 4.205 1.356

FNMA 4.41Yr

1560: FNMA-STEP%-Q 30/360

FNMA 4.25YrNc6MoB

1.178 1.178

1.197 1.197

1565: FNMA-STEP%-S 30/360

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

.682

1.562 1.405 2.077 2.077 1.003 1.945 1.751 .693

1.712 1.903

.988

1.530 1.382 2.030 2.030

1700: FHLB-DISC NOTE

FHLB DISC NTE FHLB 2YrNc3MoB

.902 .984 .160 .069

.915 .162 .071

FHLB 2.5Yr

FHLB 2.58YrNc1MoB

4.079 3.252 1.855 1.855 3.696 1.586 1.586 2.699 1.701 1.701 1.575 2.948 1.000

FHLB 4.5 Yr

3.858 3.115 1.789 1.789 3.501 1.528 1.528 2.572 1.645 1.645 1.520 2.836

FHLB 3Yr FHLB 3Yr FHLB 3Yr

FHLB 4.08Yr

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

FHLB 4.9Yr

FHLB 3Yr FHLB 3Yr

FHLB 4.17Yr

FHLB 4.9YrNc1Mo

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 244,178.00 47,300.00 460,000.00 19,021.50 14,500.00

Modified Duration

Years To Maturity

3130AA5Y0 3130A9TV3 3130AC4T8 3130AC6H2 3130ABZW9 3130ABVZ6 3130AA5A2 3130ABQV1 3130AA2T4 3130AA2T4 3130A9DA6 3130A9DH1 313378WG2 3130ADUJ9 3130AG7E9 3130AGE68 3130AGC52 3130AGHC2 3130AG7E9 3130AG7E9 3130AG7E9 3130AG7E9 3130AG7E9 3130AFCU9 3130A9EP2 3130A8CK7 3130AFZ67 3130AFY50 3130AG7E9 3130AG7E9

FHLB 11MoB

09/26/2019 11/26/2021 06/09/2023 12/11/2020 03/26/2021 04/03/2020 04/03/2020 04/03/2020 04/03/2020 04/03/2020 04/03/2020 04/03/2020 04/03/2020 03/30/2020 03/11/2022 11/09/2021 09/23/2019 05/28/2020 09/30/2021 09/30/2021 12/09/2021 12/09/2021 12/08/2021 07/26/2022 02/09/2022 08/24/2022 08/24/2022 05/24/2022 11/08/2021 11/25/2022

1.000 3.125 2.050 2.600 2.650 2.550 2.550 2.550 2.550 2.550 2.550 2.550 2.550 2.375 2.500 2.625 2.450 2.510 2.198 1.750 1.750 1.600 1.600 1.700 2.000 1.850 2.000 2.000 2.000 1.500 1.750 1.817 2.554 2.554 2.552 2.552 2.553 1.420 1.320 1.350 1.340 1.380 1.770 1.710 1.520 1.550 1.400 1.400 1.450 1.750 1.600 2.200 2.500 2.350 2.700 2.700 2.400 3.050 3.330 2.280 3.050 2.200 2.050 2.750 2.520 2.830 2.830 2.830 2.830 2.590 2.570 2.220 2.220 2.482 2.482 2.482 2.675 2.656 2.674 2.674 2.592 2.584 2.571 2.571 2.622 2.717 2.717 2.570 2.570 2.440 2.545

2.482 2.555 2.675 2.482 2.656 2.674 2.592 2.674 2.220 2.326 2.570 2.815 2.590 2.810 2.810 2.830 2.555 2.757 3.050 3.060 2.922 3.166 3.330 3.160 3.095 2.747 2.721 2.474 2.501 2.365 1.667 1.760 1.511 1.410 1.520 1.550 1.710 1.400 1.770 1.380 1.340 1.350 1.320 1.420 2.467 2.592 2.620 2.622 2.571 2.571 2.252 2.584 2.553 2.552 2.552 2.554 2.554 1.906 2.436 2.579 2.000 2.000 2.000 1.850 2.000 1.700 1.600 1.600 1.750 1.750 2.631 2.308 2.456 2.429 2.510 2.371 2.550 2.550 2.550 2.550 2.550 2.550 2.550 2.600 2.650 2.550 3.147 3.150 2.687 2.717 2.717

20,180,000.00 10,000,000.00 10,000,000.00 21,135,000.00 10,000,000.00 10,000,000.00 10,000,000.00 25,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 47,210,000.00 30,000,000.00 10,000,000.00 29,450,000.00 15,000,000.00 520,130,000.00 15,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 15,000,000.00 20,000,000.00 10,000,000.00 15,000,000.00 20,000,000.00 10,000,000.00 5,100,000.00 160,100,000.00 10,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 50,000,000.00 7,700,000.00 10,000,000.00 10,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 5,000,000.00 5,000,000.00 10,000,000.00 20,000,000.00 20,000,000.00 25,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00 10,000,000.00 10,000,000.00 5,000,000.00 10,000,000.00 5,000,000.00 21,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 10,000,000.00 20,000,000.00 32,880,000.00 38,000,000.00 19,750,000.00 10,000,000.00 5,000,000.00 10,000,000.00 449,330,000.00 15,000,000.00 25,000,000.00 10,000,000.00 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 15,000,000.00 15,000,000.00 25,000,000.00 25,000,000.00 75,000,000.00 25,000,000.00 24,000,000.00 124,000,000.00

19,877,300.00 99.710000 9,992,900.00 100.402000 9,540,100.00 100.001000 21,135,000.00 100.090000 10,000,000.00 100.145000 10,000,000.00 100.001000 10,000,000.00 100.001000 25,000,000.00 100.001000 10,000,000.00 100.001000 10,000,000.00 100.001000 10,000,000.00 100.001000 10,000,000.00 100.001000 10,000,000.00 100.001000 47,186,395.00 100.290000 30,158,100.00 101.817000 9,998,500.00 100.029000 29,448,880.90 100.042000 15,000,000.00 100.078000 517,737,356.65 100.250434 15,000,000.00 99.912000 15,000,000.00 99.906000 10,000,000.00 99.682000 10,000,000.00 99.682000 15,000,000.00 99.959000 15,000,000.00 100.011000 20,000,000.00 100.015000 10,000,000.00 100.002000 15,000,000.00 100.003000 20,000,000.00 100.039000 9,690,500.00 99.693000 4,967,400.00 99.670000 159,657,900.00 99.917876 10,000,000.00 100.155000 15,000,000.00 100.155000 10,000,000.00 100.148000 15,000,000.00 100.148000 50,000,000.00 100.151500 7,700,000.00 99.546000 10,000,000.00 99.286000 10,000,000.00 99.156000 15,000,000.00 99.369000 10,000,000.00 99.035000 10,000,000.00 99.905000 10,000,000.00 99.823000 10,000,000.00 99.746000 5,000,000.00 99.464000 5,000,000.00 99.889000 9,998,000.00 99.889000 19,970,400.00 99.621000 19,994,000.00 99.796000 24,967,247.50 99.838000 9,938,000.00 100.979000 9,999,700.00 101.130000 14,948,670.00 100.647000 9,990,300.00 102.917000 9,986,600.00 101.668000 4,839,900.00 100.002000 9,979,300.00 104.530000 5,000,000.00 100.404000 20,237,490.00 100.002000 10,035,700.00 102.877000 9,660,530.00 100.002000 9,640,870.00 100.001000 9,999,000.00 100.639000 9,996,600.00 100.346000 20,000,000.00 100.127000 32,909,592.00 100.127000 38,035,112.00 100.127000 19,763,825.00 100.127000 10,000,000.00 100.014000 5,000,000.00 100.022000 10,000,000.00 100.179000 447,590,836.50 100.256496 15,000,000.00 100.022000 25,000,000.00 100.022000 9,997,560.00 100.022000 25,000,000.00 100.173000 50,000,000.00 100.177000 10,000,000.00 100.328000 10,000,000.00 100.328000 15,000,000.00 100.058000 15,000,000.00 100.051000 15,000,000.00 100.067000 15,000,000.00 100.067000 15,139,095.00 100.126000 25,000,000.00 100.230000 25,000,000.00 100.230000 73,511,541.67 99.454000 24,525,263.89 99.520000 23,736,480.00 99.644000 121,773,285.56 99.504081

20,121,478.00 10,040,200.00 10,000,100.00 21,154,021.50 10,014,500.00 10,000,100.00 10,000,100.00 25,000,250.00 10,000,100.00 10,000,100.00 10,000,100.00 10,000,100.00 10,000,100.00 47,346,909.00 30,545,100.00 10,002,900.00 29,462,369.00 15,011,700.00 521,432,580.20 14,986,800.00 14,985,900.00 9,968,200.00 9,968,200.00 14,993,850.00 15,001,650.00 20,003,000.00 10,000,200.00 15,000,450.00 20,007,800.00 9,969,300.00 5,083,170.00 159,968,520.00 10,015,500.00 15,023,250.00 10,014,800.00 15,022,200.00 50,075,750.00 7,665,042.00 9,928,600.00 9,915,600.00 14,905,350.00 9,903,500.00 9,990,500.00 9,982,300.00 9,974,600.00 4,973,200.00 4,994,450.00 9,988,900.00 19,924,200.00 19,959,200.00 24,959,500.00 10,097,900.00 10,113,000.00 15,097,050.00 10,291,700.00 10,166,800.00 5,000,100.00 10,453,000.00 5,020,200.00 21,000,420.00 10,287,700.00 10,000,200.00 10,000,100.00 10,063,900.00 10,034,600.00 20,025,400.00 32,921,757.60 38,048,260.00 19,775,082.50 10,001,400.00 5,001,100.00 10,017,900.00 450,482,512.10 15,003,300.00 25,005,500.00 10,002,200.00 25,043,250.00 50,088,500.00 10,032,800.00 10,032,800.00 15,008,700.00 15,007,650.00 15,010,050.00 15,010,050.00 15,018,900.00 25,057,500.00 25,057,500.00 74,590,500.00 24,880,000.00 23,914,560.00 123,385,060.00

.238

.241

FHLB 3YrNc1YrE

1.416 1.678 3.740 2.294

1.452 1.740 3.945 2.411

FHLB 4.5Yr

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

100.00 100.00 250.00 100.00 100.00 100.00 100.00 100.00

.743 .743 .743 .743 .743 .735 .743 .743 .743

.751 .762 .762 .762 .762 .762 .762 .762 .762

FHLB 11Mo FHLB 2.91Yr

160,514.00 387,000.00 4,400.00 13,488.10 11,700.00 3,695,223.55

2.577 2.265

2.699 2.364

FHLB 2.5YrNc3MoB

FHLB 4Mo

.230 .894

.233 .912

FHLB 1YrNc3MoB

1.307

1.356

1765: FHLB-STEP%-S 30/360

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

-13,200.00 -14,100.00 -31,800.00 -31,800.00 -6,150.00

1.228 1.237 1.237 1.220 1.220 2.593 3.290 2.806 2.295 3.018 3.018 2.521 2.941 2.377 2.383 2.383 2.197 2.197

1.241 1.249 1.233 1.249 1.233 2.683 3.408 2.901 2.362 3.153 3.153 2.616 3.074 2.444 2.447 2.447 2.255 2.255

1,650.00 3,000.00

200.00 450.00

7,800.00

278,800.00 115,770.00 310,620.00 15,500.00 23,250.00 14,800.00 22,200.00 75,750.00

1767: FHLB-Var-M A/360

3130A9FU0 3130A9FM8 3130A9FR7 3130A9FR7

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

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

1770: FHLB-Var-Q A/360

3130A8NF6

FHLB 3Yr

07/01/2020

57,500.00 57,500.00

.991 .991

1.005 1.005

1900: FFCB-DISC NOTE

313312MJ6 313312LX6 313312KZ2

FFCB DISC NTE FFCB DISC NTE FFCB DISC NTE

09/30/2019 09/19/2019 08/28/2019

1,078,958.33 354,736.11 178,080.00 1,611,774.44 -34,958.00 -71,400.00 -84,400.00 -94,650.00 -96,500.00 -9,500.00 -17,700.00 -25,400.00 -26,800.00 -5,550.00 -9,100.00 -46,200.00 -34,800.00 -7,747.50 159,900.00 113,300.00 148,380.00 301,400.00 180,200.00 160,200.00 473,700.00 20,200.00 762,930.00 252,000.00 339,670.00 359,230.00 64,900.00 38,000.00 25,400.00 12,165.60 13,148.00 11,257.50

.158 .222 .216 .245

.162 .229 .222 .252

1925: FFCB-Fxd-S 30/360

3133EHRK1 3133EHUL5 3133EHAJ2 3133EGR49 3133EHZN6 3133EHJ95 3133EHP98 3133EHWN9 3133EHWN9 3133EGXX8 3133EGC94 3133EGVK8 3133EGSA4 3133EH6X6 3133EJEM7 3133EJCE7 3133EF5D5 3133EJKN8 3133EHFD0 3133EJNS4 3133EJD48 3133EJP52 3133EFE86 3133EJT74 3133EHB85 3133EFX44 3133EJ3L1 3133EKBU9 3133EKDY9 3133EKDY9 3133EKDY9 3133EKRP3 3133EKPA8 3133EKDY9 3133EKMK9 3133EDXQ0 3133EDXQ0 3133EDXQ0 3133EFT56 3133EF2Z9 3133EGCE3 3133EGF67 3133EGZS7 3133EG4C6 3133EGF67 3133EGYA7 3133EGCE3

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 08/28/2019 08/28/2019 03/20/2020 10/26/2020 11/06/2019 01/12/2022 03/01/2021 02/12/2021 04/11/2023 05/10/2021 04/11/2023 10/02/2023 11/01/2022 04/03/2023 11/15/2021 03/01/2023 10/05/2022 06/24/2020 02/27/2020 12/26/2023 12/26/2023 12/26/2023 12/26/2023 02/22/2023 12/05/2022 06/21/2024 10/10/2019 10/10/2019 10/10/2019 04/01/2020 04/13/2020 05/25/2021 05/25/2021 10/11/2019 10/24/2019 11/14/2019 11/14/2019 01/18/2022

.816

.827

1.411 1.320 1.268 1.207 1.133

1.441 1.345 1.290 1.230 1.153

.539 .649

.551 .663

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

1.091

1.115

.160 .713 .160

.162 .723 .162

1.298

1.326

.350

.353

3.258 4.683 2.403 3.519 4.213 4.213 4.213 4.213 2.268 3.545 3.464 3.117 3.110 3.559 3.933 1.797 3.551 1.563 1.613 2.424 .644 .963

3.436 4.981 2.537 3.652 4.493 4.493 4.493 4.493 3.268 3.671 3.762 2.381 3.342 3.784 4.260 1.863 3.784 1.625 1.671 2.540 .663 .986

FFCB4 4YrNc1YrA

FFCB 4.4YrA FFCB 2.9Yr

FFCB 4.2YrNc1WKA FFCB 3.8YrNc1WKA

FFCB 1.5Yr FFCB 1Yr

FFCB 4.75YrA

FFCB 4.75YrNc6MoA FFCB 4.75YrNc6MoA FFCB 4.75YrNc6MoA FFCB 3.6YrNc2MoA FFCB 3.5YrNc3MoA

1,400.00 1,100.00 17,900.00

FFCB 5YrNc2YrA

2,891,675.60

1930: FFCB-Var-M A/360

FFCB 5Yr FFCB 5Yr FFCB 5Yr FFCB 4Yr FFCB 4Yr FFCB 5Yr FFCB 5Yr FFCB 3Yr FFCB 3Yr FFCB 3Yr FFCB 3Yr FFCB 3.9Yr

3,300.00 5,500.00 4,640.00 43,250.00 88,500.00 32,800.00 32,800.00 8,700.00 7,650.00 10,050.00 10,050.00

.782 .749 .277 .277 .277

.789 .756 .279 .279 .279

1.886 1.886

1.904 1.904

.371 .371 .316 .280

.375 .375 .318 .282

-120,195.00

2.486

2.556

11

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

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

www.countytreasurer.org

Made with FlippingBook - Online Brochure Maker