July 2019 TPIF

County of Riverside Treasurer’s Pooled Investment Fund

July 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 July 31 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

FED Independence Day

Despite a strong U.S. economy, the Feder- al Reserve (FED) fulfilled market expectations when they cut rates by 25 basis points at its July 31 meeting. This potentially marks the start to a new rate easing policy cycle. Fed- eral Reserve Chair Jerome Powell cited slow- ing global growth, weak capital expendi- tures, and subdued inflation as the reasons for the rate cut decision, which was de- scribed as preventative treatment to ward off a slowdown. Others wonder if pressure from the President weighed on the decision. Geopolitical tensions increased in Asia and the Middle East. Following the U.S. and China reaching an agreement to stall tariff escalations on June 29, rhetoric heated up once again in mid-July when the U.S. admin- istration hinted at imposing additional tariff actions. Markets sighed in relief when U.S. party leaders verbally agreed to raise budget caps and suspend the debt limit until the end of June 2021. The Congressional Budget Office projected this deal will raise the Na- tional Debt from $22 trillion to nearly $24 trillion. In Europe, Boris Johnson celebrated his election victory as the new prime minister of the U.K. Currency markets reacted with the Pound hitting all-time lows, indicating an increased chance that the U.K.’s departure from the E.U. will be disruptive.

The advanced estimate for U.S. real GDP growth (SAAR) in 2Q19 came in at 2.1%. This is stronger than the consensus estimate of 1.8%, but weaker than 2Q18’s final estimate of 3.5%. The U.S. labor market remains firm, even as job growth continues to slow down in 2019 from 2018 levels. Year to date in June, 165k nonfarm jobs have been added per month in 2019 compared to 235k in 2018. Simultaneously, the unemployment rate and jobless claims cling to 50-year lows at 3.7% and 219k apiece. Empowered by a strong job market the consumer confidence index rebounded to 135.7 in June, the highest recording of 2019. Additionally, consumer spending (SAAR) grew 4.3% in 2Q19. The U.S. housing market continues to lack momentum following a weak 2018. Existing home sales fell 2.2% YoY in June and building permits dropped 6.1% from May, to 1.22M. Additionally, growth in home prices has fall- en every month this year. Consumer staples corporations The Coca- Cola Company, Procter & Gamble, and Johnson & Johnson all beat earnings expec- tations for the period ending June 30, 2019. Strong revenues were driven by their ability to increase prices without experiencing a pullback in volumes from customers. In tech, Microsoft and Automatic Data Processing beat expectations while Apple’s

earnings were in line. Cloud computing ser- vices continued to be a key driver of growth for Microsoft. Automatic Data Processing continued to capitalize on the strong busi- ness cycle. Sales of the iPhone fell 12% YoY for Apple, but strong growth in Apple’s ser- vices and accessories segments drove over- all earnings to meet expectations. Caterpillar and Boeing continued to act as bellwethers for the weakening industrial sector. Caterpillar earned $2.83 per share vs. consensus estimate of $3.12 per share in 2Q19, citing trade tensions with China. Boe- ing reported a record-breaking loss of $2.9 billion in 2Q19, due to its grounded 737 Max aircraft. July saw intermediate Treasury yields rise slightly, with the 2-year starting at 1.78 and ending at 1.89 while the 5-year started at 1.79 and ended at 1.84. Yields moved up sharply during the first few days of the month due to strong manufacturing, construction, auto sales and payroll numbers. The surpris- ing strength of these economic indicators removed any talk of a 50-basis-point cut. Mid-month saw renewed trade war rhetoric drive 2-year and 5-year yields back down to the 1.76 – 1.78 range. Then, the above- consensus GDP release near the end of the month raised yields to their closing levels.

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)

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

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

*Market values do not include accrued interest.

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

2

Economy

National Economy

State Economy

U.S. real GDP beat expectations in 2Q19, driven by consumer and government spending. [Econoday; 07/29/2019]  Nonfarm payrolls rebounded to 224K in June, following a weaker-than-expected 75K in May. [BLS; 07/29/2019]  In midst of trade war and global economic slowdown, U.S. exports fell 1.5% in 2Q19, the most since 4Q15. [FRED; 07/29/19]  Industrial Production Index continues its run downward while Manufacturing PMI neared a ten-year low in June, reflecting a sustained slowdown in manufacturing. [Econoday; 07/29/19]

CA nonfarm payrolls grew 1.7% in June, sequentially accelerating from February’s growth of 1.3%. [BLS; 07/30/2019]  CA added 46.2K jobs with the construction and information sectors contributing the most.[BLS; 07/30/2019]  In Southern California, home sales fell 8.8% while median home price growth slowed to 1.2%. [LA Times; 07/30/2019]  For Riverside County, home sales fell 4% and the median home price grew 5.3%, up to $399K. [LA Times; 07/30/2019]

U.S. Real GDP SAAR

U.S. Unemployment Rates

Recession

U6

U3

18 Percent

Percent

4.0

16

14

3.0

12

10

2.0

8

6

1.0

4

2

0.0

0

2015

2016

2017

2018

2019

U.S. Industrial Production Index

Nonfarm Jobs Added - Y/Y

Percent

United States

California

Inland Empire

120

6.0

115

5.0

110

105

4.0

100

3.0

95

2.0

90

1.0

85

80

0.0

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

Key Economic Indicators

Release Date

Indicator

Actual

Consensus

Prior Year

2.1% 3.7%

07/26/2019 07/05/2019 07/05/2019 07/11/2019 07/11/2019 07/03/2019 07/24/2019 07/03/2019 07/25/2019

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

1.9% 3.6%

3.5% 3.9%

Unemployment Rate - Seasonally Adjusted

224,000

Non-Farm Payrolls - M/M Change

165,000

262,000

1.6% 2.1% 55.1

CPI - Y/Y Change

1.6% 2.0% 55.8

2.8% 2.2% 59.1

CPI Ex Food and Energy - Y/Y Change

ISM Non-Manufacturing Index (> 50 indicates growth)

646

New Home Sales - SAAR - Thousands of units

660

618

-0.7% 2.0%

Factory Orders - M/M Change

-0.5% 0.5%

0.4% -0.9%

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 07/31/2019

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

and that economic activity rose at a moderate rate.”

 The Federal Open Market Committee lowered the Fed Funds Target Rate to 2.00—2.25% from 2.25—2.50%.

 The FOMC stated in their July 31 press release that “sustained expansion of economic activity, strong labor market

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

tainties about this outlook remain.”

Fed Funds Target Rate (Upper Limit)

3.00%

2.50%

2.00%

1.50%

1.00%

U.S. Treasury Curve

07/01/2019

07/31/2019

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

07/31/2019 - 07/01/2019

-0.13

0.00

0.06

0.11

0.10

0.05

-0.01

-0.02

07/31/2019

2.08

2.10

2.00

1.89

1.84

1.84

2.02

2.53

07/01/2019

2.21

2.10

1.94

1.78

1.74

1.79

2.03

2.55

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

U.S. Treasuries

18 Percent

5 Percent

Recession

3M-10Y Spread

Recession

2Y Treasury Yield

16

4

14

12

3

10

2

8

6

1

4

0

2

0

-1

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

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

Dow Jones

NASDAQ 100 (LHS)

S&P 500 (RHS)

27,000

8,000

3,000

2,900

7,500

2,800

7,000

25,000

2,700

6,500

2,600

6,000

2,500

23,000

* 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

Aa1 5% Aa2 4%

Aaa

4,982,707.23 100.34%

76.07%

2.23%

Aa1

319,610.28 100.60%

4.88%

2.53%

Aaa 76%

Aa3 3%

Aa2

288,238.60 100.56%

4.40%

2.45%

Aa3

174,459.25 100.01%

2.66%

2.58%

NR 12%

NR

785,084.50 100.06%

11.99%

2.43%

Totals:

6,550,099.86 100.32% 100.00%

2.29%

S&P Asset Rating (000’s)

AA 4%

Book

MKT/Book % Book

Yield

AA- 3%

AAA

555,530.16 100.52%

8.48%

2.36%

AA+

4,711,787.36 100.33%

71.93%

2.23%

NR 12%

AA

288,238.60 100.56%

4.40%

2.45%

AA+ 72%

AA-

209,459.25 100.01%

3.20%

2.65%

AAA 9%

NR

785,084.50 100.06%

11.99%

2.43%

Totals:

6,550,099.86 100.32% 100.00%

2.29%

12-Month Projected Cash Flow

Required Matured Investments

Actual Investments Maturing

Monthly Receipts

Monthly Disbursements Difference

Available to Invest > 1 Year

Month

Balance

08/2019

125.19

900.00

1,200.00

(300.00)

174.81

-

1,655.29

08/2019

1,100.00

1,200.00

(100.00)

100.00

-

559.61

09/2019

1,100.00

1,300.00

(200.00)

200.00

-

504.28

10/2019

1,300.00

1,200.00

100.00

100.00

380.00

11/2019

2,375.13

1,200.00

1,175.13

1,275.13

5.00

12/2019

1,100.00

2,200.00

(1,100.00)

175.13

237.50

01/2020

1,100.00

1,500.00

(400.00)

224.87

-

115.33

02/2020

1,350.00

1,200.00

150.00

150.00

123.29

03/2020

1,350.00

1,200.00

150.00

300.00

170.65

04/2020

1,700.00

1,700.00

-

300.00

117.66

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

TOTALS

15,552.35 17,071.13 (1,518.78) 1,393.59 2,425.45 4,055.86 5,156.51 21.28% 61.92% 78.72%

* 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

24.02% 1,580,287.94

21.69% 1,426,684.00

1,500,000

15.79% 1,038,887.00

14.38% 946,089.00

13.85% 911,290.00

1,000,000

10.26% 675,118.00

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

509,472.15 513,410.15

100.77%

2.53% 0.28 0.28

AGENCIES

3,738,635.46 3,747,680.43

100.24%

2.17% 1.20 1.80

MMKT

326,000.00 326,000.00

100.00%

2.28% 0.00 0.00

CASH

615,000.00 615,000.00

100.00%

2.45% 0.00 0.00

CALTRUST FND

4,023.98 4,023.98

100.00%

2.59% 0.00 0.00

COMM PAPER

824,288.66 828,517.17

100.51%

2.39% 0.14 0.14

NCDS

35,000.00 35,000.00

100.00%

3.00% 0.04 0.04

MEDIUM TERM NOTES

288,841.41 292,457.81

101.25%

2.60% 0.49 0.51

MUNI

208,758.20 208,758.20

100.00%

2.52% 1.32 1.32

LOCAL AGCY OBLIG

80.00 80.00

100.00% 100.32%

2.85% 0.88 0.88

Totals:

6,550,099.86 6,570,927.74

2.29%

0.79

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%

2.07% 2.06% 2.17%

2.32% 2.29%

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

2.18%

2.00%

2.01% 2.09%

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)

3.19%

5 YEARS

NO LIMIT

NA

4 YEARS

15%

AA-/Aa3/AA-

U.S. TREASURIES

7.78%

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

57.08%

5 YEARS

NO LIMIT

AAA

5 YEARS

100%

NA

COMMERCIAL PAPER (CP)

12.58%

270 DAYS

40%

A1/P1

270 DAYS

40%

A1/P1/F1

CERTIFICATE & TIME DEPOSITS (NCD & TCD)

25% Combined

0.53%

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)

4.41%

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)

4.98%

60 DAYS (1)

20%

20%

LOCAL AGENCY INVESTMENT FUND (LAIF)

DAILY LIQUIDITY

Max $50 million

<0.01%

NA

NA

NA

NA

CASH/DEPOSIT ACCOUNT

9.39%

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

FRGXX GOFXX FGTXX WFFXX

FIDELITY GOV

08/01/2019 08/01/2019 08/01/2019 08/01/2019

2.279 2.268 2.246 2.291 2.276

2.279 2.268 2.246 2.291 2.276

46,000,000.00 66,000,000.00 61,000,000.00 153,000,000.00 326,000,000.00

46,000,000.00 100.000000 66,000,000.00 100.000000 61,000,000.00 100.000000 153,000,000.00 100.000000 326,000,000.00 100.000000

46,000,000.00 66,000,000.00 61,000,000.00 153,000,000.00 326,000,000.00

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

08/01/2019

2.602 2.602

2.589 2.589

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

08/01/2019

2.500 2.500

2.500 2.500

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

08/01/2019 08/01/2019 08/01/2019 08/01/2019

2.398 2.386 2.398 2.488 2.397

2.398 2.386 2.398 2.488 2.397

250,000,000.00 40,000,000.00 25,000,000.00

250,000,000.00 100.000000 40,000,000.00 100.000000 25,000,000.00 100.000000

250,000,000.00 40,000,000.00 25,000,000.00

0.00 0.00 0.00 0.00 0.00

.003 .003 .003 .000 .003

.003 .003 .003 .003 .003

0.00

0.00

.000000

0.00

315,000,000.00

315,000,000.00 100.000000

315,000,000.00

1175: LAO-SINKING FND-A/360

LAO

US DIST COURTHOUSE

06/15/2020

2.845 2.845

2.845 2.845

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

.365 .365

.877 .877

1300: U.S. TREASURY BILL 912796SF7

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

08/29/2019 01/23/2020

2.458 2.022 2.290 1.000 1.250 1.000 1.500 1.000 1.000 1.000 1.000 1.375 1.625 1.146 2.460 2.300 2.380 1.500 1.250 1.200 1.370 1.440 1.500 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 2.625 2.570 2.500 2.625 2.610 2.610 2.600 2.530 2.750 2.400 2.250 2.125 2.125 2.000 2.000 2.125 2.300 2.190 2.150 2.150 2.300 2.150 2.150 2.200 2.300 2.175 2.000 1.500 1.500 1.750

2.488 2.042 2.318 2.606 2.603 2.628 2.557 2.541 2.529 2.534 2.524 2.462 2.449 2.556 2.475 2.300 2.388 1.500 1.250 1.200 1.370 1.440 1.509 1.800 1.602 1.780 1.620 1.621 2.421 2.755 3.000 3.100 3.100 3.150 3.150 3.150 3.150 3.160 2.870 2.850 2.625 2.570 2.500 2.625 2.610 2.610 2.600 2.530 2.750 2.400 2.250 2.125 2.125 2.000 2.000 2.125 2.300 2.190 2.200 2.150 2.300 2.150 2.150 2.214 2.300 2.235 2.000 1.500 1.500 1.750

40,000,000.00 25,000,000.00 65,000,000.00 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 15,000,000.00 450,000,000.00 25,000,000.00 25,000,000.00 50,000,000.00 15,000,000.00 10,000,000.00 15,000,000.00 25,000,000.00 10,000,000.00 6,250,000.00 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 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 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 20,000,000.00 15,000,000.00 5,000,000.00 5,000,000.00 17,000,000.00 15,000,000.00 15,000,000.00 695,878,000.00 15,000,000.00 10,000,000.00 10,000,000.00 15,000,000.00

39,503,038.80 99.850000 24,744,504.86 99.013000 64,247,543.66 99.528077 73,939,453.13 99.672000 49,449,218.75 99.742000 49,480,468.75 99.904000 49,611,328.13 99.816000 39,528,125.00 99.598000 44,569,335.94 99.750000 39,565,625.00 99.672000 34,652,734.38 99.672000 49,539,062.50 99.602000 14,889,257.81 99.668000 445,224,609.39 99.714867 24,996,250.00 100.077000 25,000,000.00 99.980000 49,996,250.00 100.028500 15,000,000.00 99.875000 10,000,000.00 99.506000 15,000,000.00 99.310000 25,000,000.00 99.152000 10,000,000.00 99.237000 6,248,750.00 99.900000 15,000,000.00 99.603000 24,942,750.00 99.714000 19,983,860.00 99.654000 19,953,600.00 99.899000 24,942,500.00 99.899000 9,769,000.00 99.303000 12,381,754.00 100.006000 15,000,000.00 101.438000 5,000,000.00 100.912000 5,000,000.00 100.246000 10,000,000.00 100.295000 5,000,000.00 100.295000 5,000,000.00 100.295000 25,000,000.00 100.335000 10,000,000.00 100.345000 14,758,950.00 99.813000 10,000,000.00 100.065000 25,000,000.00 100.091000 15,000,000.00 100.076000 5,000,000.00 100.178000 15,000,000.00 100.310000 15,000,000.00 100.279000 15,000,000.00 100.279000 10,000,000.00 100.837000 15,000,000.00 100.004000 15,000,000.00 100.009000 5,000,000.00 100.144000 15,000,000.00 99.870000 15,000,000.00 99.844000 15,000,000.00 99.844000 15,000,000.00 99.891000 15,000,000.00 99.571000 15,000,000.00 99.844000 15,000,000.00 99.823000 50,000,000.00 99.497000 19,988,080.00 99.863000 15,000,000.00 99.681000 5,000,000.00 99.862000 5,000,000.00 99.681000 17,000,000.00 100.030000 14,997,000.00 99.824000 15,000,000.00 99.774000 694,966,244.00 99.901248 15,000,000.00 99.923000 10,000,000.00 99.830000 10,000,000.00 99.954000 15,000,000.00 99.423000

39,940,000.00 24,753,250.00 64,693,250.00 74,754,000.00 49,871,000.00 49,952,000.00 49,908,000.00 39,839,200.00 44,887,500.00 39,868,800.00 34,885,200.00 49,801,000.00 14,950,200.00 448,716,900.00 25,019,250.00 24,995,000.00 50,014,250.00 14,981,250.00 9,950,600.00 14,896,500.00 24,788,000.00 9,923,700.00 6,243,750.00 14,940,450.00 24,928,500.00 19,930,800.00 19,979,800.00 24,974,750.00 9,930,300.00 12,628,757.68 15,215,700.00 5,045,600.00 5,012,300.00 10,029,500.00 5,014,750.00 5,014,750.00 25,083,750.00 10,034,500.00 14,971,950.00 10,006,500.00 25,022,750.00 15,011,400.00 5,008,900.00 15,046,500.00 15,041,850.00 15,041,850.00 10,083,700.00 15,000,600.00 15,001,350.00 5,007,200.00 14,980,500.00 14,976,600.00 14,976,600.00 14,983,650.00 14,935,650.00 14,976,600.00 14,973,450.00 49,748,500.00 19,972,600.00 14,952,150.00 4,993,100.00 4,984,050.00 17,005,100.00 14,973,600.00 14,966,100.00 695,190,807.68 14,988,450.00 9,983,000.00 9,995,400.00 14,913,450.00

436,961.20

.077 .472 .228 .289 .249 .084 .249 .330 .205 .289 .289 .498 .611 .286

.079 .482 .233 .293 .252 .085 .252 .334 .208 .293 .293 .504 .625 .290

912796TC3

8,745.14

445,706.34

1310: U.S. TREASURY BOND

912828U32 912828TV2 912828TN0 912828F62 912828UB4 912828U32 912828U32 912828T59 912828UL2 912828W63

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

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

814,546.87 421,781.25 471,531.25 296,671.87 311,075.00 318,164.06 303,175.00 232,465.62 261,937.50 60,942.19 3,492,290.61 -18,750.00 -49,400.00 -103,500.00 -212,000.00 -76,300.00 -5,000.00 -59,550.00 -14,250.00 -53,060.00 26,200.00 32,250.00 161,300.00 247,003.68 215,700.00 45,600.00 12,300.00 29,500.00 14,750.00 14,750.00 83,750.00 34,500.00 213,000.00 23,000.00 -5,000.00 18,000.00

1420: FHLMC-Fxd-Q 30/360

3134GTFF5 3134GTUA9

FHLMC 1YrNc9MoE FHLMC 5YrNc3MoE

04/08/2020 06/17/2024

.677

.690

4.589 2.632

4.885 2.786

1425: FHLMC-Fxd-S 30/360

3134GSA96 3134GSB53 3134GSQL2 3134GSMF9 3134GBX80 3134GSA96 3134GBK35 3137EAEE5 3134GBTX0 3134GBG30 3134GBG30 3134G9W37 3134GSD44 3134GSA96 3134GSC45 3134GBXV9 3134GS5Y7 3134GTCP6 3134GTHV8 3134GTHH9 3134GTSF1 3134GTTX1 3134GTLU5 3134GTLZ4 3134GTYT4 3134GTYT4 3134GTYS6 3134GTYP2 3134GTYT4 3134GTZD8 3134GTXJ7 3134GTZP1 3134GTGX5 3134GTGX5 3134GTEB5 3134GTJ20 3134GTF24 3134GTF57 3134GTA37 3134GTA52 3134GTKG7 3134GTA37 3134GAYK4 3134GBWH1 3134GAXZ2 3134GABZ6 3134GAVF8 3134G8TG4

FHLMC 3.5YrNc6MoE FHLMC 3.5YrNc1YrE FHLMC 3.5YrNc1YrE FHLMC 4YrNc6MoE FHLMC 4YrNc1YrE FHLMC 2.25YrNc6MoB FHLMC 3YrNc3MoB FHLMC 2.75YrNc2MoB FHLMC 2YrNc5MoB FHLMC 2YrNc6MoB FHLMC 2.5YrNc3MoB FHLMC 4.5YrNc7MoB FHLMC 2.75Yr

10/11/2019 02/25/2020 05/08/2020 11/25/2020 11/30/2020 09/27/2019 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 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 07/01/2024 07/01/2024 07/01/2022 04/01/2022 07/01/2024 07/08/2021 07/08/2024 10/08/2020 07/15/2024 07/15/2024 07/15/2024 10/16/2020 01/15/2021 07/29/2021

.196 .560 .762

.197 .573 .773

1.298 1.313

1.323 1.337

.158

.159

1.138

1.167

.462 .899 .158 .158

.466 .915 .159

.159 1.030 3.293 3.822 3.915 2.249 2.296 2.296 2.296 2.326 2.326 3.411 3.216 4.732 2.488 4.737 4.737 4.737 4.762 2.921 2.671 4.923 1.940 4.942 1.192 4.962 4.962 4.962 1.214 1.463 1.997 2.598 1.249 1.578 1.578 1.860 .953 .830 4.893 2.863 4.923 4.923 2.775

3.125 3.565 1.002 3.647 2.136 2.178 2.178 2.178 2.208 2.208 3.236 3.038 4.393 2.402 4.391 4.393 4.393 4.419 2.815 2.580 4.637 1.881 4.648 1.165 4.673 4.654 4.673 1.180 1.424 1.938 2.459 1.224 1.539 1.539 1.816 .932 .811 4.591 2.738 4.637 4.637 2.636

FHLMC 5YrNc3YrE FHLMC 5YrNc2YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 3YrNc1YrE FHLMC 1.6YrNc1Yr

FHLMC 3.75YrNc6MoB 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 1YrNc1YrE FHLMC 1YrNc1YrE FHLMC 3YrNc1YrE FHLMC 2.75YrNc9MoE FHLMC 5YrNc1YrE FHLMC 2YrNc3MoQ FHLMC 5YrNc1YrE FHLMC 1.25YrNc3MoO

6,500.00 22,750.00 11,400.00 8,900.00 46,500.00 41,850.00 41,850.00 83,700.00

600.00

1,350.00 7,200.00

-19,500.00 -23,400.00 -23,400.00 -16,350.00 -64,350.00 -23,400.00 -26,550.00 -251,500.00 -15,480.00 -47,850.00 -6,900.00 -15,950.00 -23,400.00 -33,900.00 224,563.68 -11,550.00 -17,000.00 -4,600.00 -86,550.00 5,100.00

FHLMC 5YrNc1YrE FHLMC 5YrNc1YrQ FHLMC 5YrNc1YrE

FHLMC 1.25YrNc3MoQ FHLMC 1.5YrNc3MoQ FHLMC 2YrNc3MoB

1465: FHLMC-STEP%-S30/360

3134G7S77 3134G8KU2 3134G8L31 3134G9JX6

FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB

10/29/2020 02/26/2021 02/26/2021 06/09/2021

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 -89,600.00 -9,900.00 -79,350.00 -37,800.00 -49,100.00 -52,650.00 -118,200.00 -69,900.00 -38,100.00 -84,450.00 -71,000.00 -104,250.00 -104,400.00 -33,800.00 -94,380.00 -135,000.00 -64,950.00 -58,350.00 -57,700.00 -38,687.85 -26,600.00 -122,250.00 -122,250.00 -43,000.00 -111,300.00 -111,300.00 -46,700.00 -141,270.00 -65,380.00 -51,030.00 -171,200.00 -27,100.00 -18,800.00 -27,800.00 -27,800.00 10,545.00 -9,400.00 -56,200.00 -4,400.00 -15,400.00 -1,800.00 -17,100.00 1,950.00 1,100.00 -7,200.00 5,800.00 170,330.00 53,850.00 175,700.00 -11,450.00 -67,300.00 -9,975.00 -32,000.00 -23,700.00 -24,100.00 0.00 2,000.00 53,250.00 18,950.22 264,150.00 214,500.00 300,085.58 33,000.00 456,900.00 1,174,310.80 -2,250.00 -83,100.00 -49,650.00 -30,000.00 -131,850.00 -123,000.00 -51,450.00 -471,300.00 769,027.78 769,027.78 952,888.89 164,569.44 -88,950.00 -88,950.00 1,400.00 -14,700.00 400.00

Modified Duration

Years To Maturity

3136G3RL1 3136G3WC5 3136G3SY2 3135G0R39 3136G4GU1 3135G0T60 3136G0YK1 3135G0S46 3135G0A78 3135G0UU5 3135G0T78 3135G0T94 3135G0P49 3135G0V42 3135G0U43 3134GBPJ5 3134GBSE3 3134GBMP4 3134GBKC5 3134GBSD5 3134GBTE2 3134GBYK2 3134GBTD4 3134GBWD0 3134GBWS7 3134GBHN5 3134G7S77 3134GAA87 3134GATA2 3134GATB0 3134GATA2 3134GAUA0 3134GAYF5 3134GAYG3 3134GAYR9 3134GAA87 3134GBYN6 3134G92T3 3134GBRW4 3134GBZQ8 3134GARL0 3134GASF2 3134GASF2 3134GAQV9 3134GANB6 3134GAPM0 3134GAPM0 3134GAPA6 3134GAKY9 3134GAQV9 3134G9JW8 3134G9NU7 3134G9UM7 3134G9VA2 3134G9UX3 3134G9XA0 3134G9S40 3134G9R66 3134G9S57 3134G9T23 3134G9U47 3134G95W3 3134G96A0 3134GAEB6 3134GAEG5 3134GADP6 3134GAET7

FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 4YrNc6MoB FHLMC 5YrNc3MoB FHLMC 4YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 4.25YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc6MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 5YrNc3MoB FHLMC 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 FHLMC 3.5Yr

05/25/2021 06/16/2021 06/30/2021 06/30/2021 06/30/2021 07/13/2021 07/27/2020 08/10/2021 08/10/2020 08/10/2021 08/25/2021 08/25/2021 08/25/2021 12/08/2020 08/24/2021 09/13/2021 09/30/2021 09/30/2021 09/30/2021 10/25/2021 10/25/2021 10/27/2020 10/27/2021 10/27/2021 10/28/2021 10/27/2021 10/27/2021 10/27/2021 11/10/2021 10/27/2021 11/30/2021 11/26/2021 12/09/2021 12/09/2021 12/30/2021 12/30/2021 10/29/2020 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 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 09/26/2019 09/26/2019 10/02/2019 09/17/2019 01/29/2020 04/05/2021 04/06/2020 08/05/2019 05/22/2020 08/28/2020 08/28/2020 08/28/2019 09/09/2020

1.625 2.000 1.625 1.700 2.000 2.000 1.750 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 2.000 2.000 2.000 1.900 1.875 1.875 2.050 2.000 2.000 2.000 2.050 2.100 1.500 2.250 2.250 1.708 1.500 1.350 1.250 1.000 1.400 1.500 1.500 1.650 1.625 1.750 2.000 2.375 1.000 2.650 2.875 1.855 2.000 2.000 1.625 1.750 1.500 1.750 1.375 1.717 2.570 2.500 2.440 2.405 2.028 2.433 1.750 1.750

1.625 2.010 1.625 1.700 2.000 2.000 1.750 1.500 1.500 1.500 1.500 1.500 1.375 1.500 1.500 1.500 1.500 1.450 1.500 1.500 1.500 1.500 1.400 1.400 1.500 1.500 1.500 1.500 1.550 1.500 1.500 1.550 1.750 1.650 1.900 1.900 2.153 2.000 1.875 1.900 1.875 2.050 2.000 2.000 2.000 2.000 2.000 2.050 2.100 2.399 2.732 2.953 1.727 1.500 1.350 1.250 1.091 1.400 1.604 1.913 1.911 1.800 2.322 2.495 1.400 2.655 2.659 2.333 2.077 2.000 2.000 1.625 1.750 1.500 1.750 1.375 1.718 2.548 2.548 2.473 2.428 2.049 2.456 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 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 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 10,000,000.00 773,830,000.00 5,000,000.00 10,000,000.00 7,500,000.00 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 30,000,000.00 207,381,000.00 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 50,000,000.00 50,000,000.00 100,000,000.00 25,000,000.00 25,000,000.00 250,000,000.00 5,000,000.00 10,000,000.00 15,000,000.00 5,000,000.00 10,000,000.00 5,000,000.00 5,000,000.00 15,000,000.00 15,000,000.00

20,000,000.00 99.552000 14,997,000.00 99.914000 15,000,000.00 99.471000 15,000,000.00 99.748000 10,000,000.00 99.509000 15,000,000.00 100.013000 15,000,000.00 99.649000 15,000,000.00 99.212000 15,000,000.00 99.534000 10,000,000.00 99.619000 15,000,000.00 99.437000 10,000,000.00 99.290000 15,000,000.00 99.305000 20,000,000.00 99.478000 20,000,000.00 99.831000 16,500,000.00 99.428000 20,000,000.00 99.325000 15,000,000.00 99.567000 15,000,000.00 99.611000 10,000,000.00 99.423000 6,705,000.00 99.423000 10,000,000.00 99.734000 15,000,000.00 99.185000 15,000,000.00 99.185000 10,000,000.00 99.570000 15,000,000.00 99.258000 15,000,000.00 99.258000 10,000,000.00 99.533000 17,000,000.00 99.169000 14,000,000.00 99.533000 4,500,000.00 98.866000 20,000,000.00 99.144000 10,000,000.00 99.729000 20,000,000.00 99.906000 10,000,000.00 99.722000 10,000,000.00 99.722000 7,108,968.75 99.923000 10,000,000.00 99.906000 20,000,000.00 99.719000 10,000,000.00 99.956000 20,000,000.00 99.923000 15,000,000.00 99.988000 15,000,000.00 99.886000 20,000,000.00 100.007000 15,000,000.00 99.902000 20,000,000.00 100.002000 10,000,000.00 100.011000 20,000,000.00 99.964000 20,000,000.00 100.029000 4,790,170.00 99.210000 2,946,600.00 100.015000 9,799,500.00 99.752000 773,347,238.75 99.636492 5,000,000.00 99.771000 10,000,000.00 99.327000 7,500,000.00 99.867000 9,973,200.00 99.732000 10,000,000.00 99.680000 9,969,700.00 99.460000 10,019,600.00 99.955000 4,983,850.00 99.717000 14,910,900.00 99.761000 11,042,326.44 99.813000 14,782,200.00 100.309000 9,944,100.00 101.586000 28,472,995.32 99.910000 29,992,500.00 100.085000 30,670,500.00 103.758000 207,261,871.76 100.508814 15,000,000.00 99.985000 15,000,000.00 99.446000 15,000,000.00 99.669000 20,000,000.00 99.850000 15,000,000.00 99.121000 20,000,000.00 99.385000 15,000,000.00 99.657000 115,000,000.00 99.590174 49,065,972.22 99.670000 49,065,972.22 99.670000 98,685,111.11 99.638000 24,766,180.56 99.723000 24,743,683.33 98.979000 246,326,919.44 99.593400 4,996,350.00 99.029000 9,996,000.00 99.443000 14,971,200.00 99.985000 5,000,000.00 99.659000 10,061,000.00 99.982000 5,000,000.00 99.613000 5,000,000.00 99.949000 15,000,000.00 99.407000 15,000,000.00 99.407000

19,910,400.00 14,987,100.00 14,920,650.00 14,962,200.00 9,950,900.00 15,001,950.00 14,947,350.00 14,881,800.00 14,930,100.00 9,961,900.00 14,915,550.00 9,929,000.00 14,895,750.00 19,895,600.00 19,966,200.00 16,405,620.00 19,865,000.00 14,935,050.00 14,941,650.00 9,942,300.00 6,666,312.15 9,973,400.00 14,877,750.00 14,877,750.00 9,957,000.00 14,888,700.00 14,888,700.00 9,953,300.00 16,858,730.00 13,934,620.00 4,448,970.00 19,828,800.00 9,972,900.00 19,981,200.00 9,972,200.00 9,972,200.00 7,119,513.75 9,990,600.00 19,943,800.00 9,995,600.00 19,984,600.00 14,998,200.00 14,982,900.00 20,001,400.00 14,985,300.00 20,000,400.00 10,001,100.00 19,992,800.00 20,005,800.00 4,960,500.00 3,000,450.00 9,975,200.00 4,988,550.00 9,932,700.00 7,490,025.00 9,973,200.00 9,968,000.00 9,946,000.00 9,995,500.00 4,985,850.00 14,964,150.00 11,061,276.66 15,046,350.00 10,158,600.00 28,773,080.90 30,025,500.00 31,127,400.00 208,436,182.56 14,997,750.00 14,916,900.00 14,950,350.00 19,970,000.00 14,868,150.00 19,877,000.00 14,948,550.00 114,528,700.00 49,835,000.00 49,835,000.00 99,638,000.00 24,930,750.00 24,744,750.00 248,983,500.00 4,951,450.00 9,944,300.00 14,997,750.00 4,982,950.00 9,998,200.00 4,980,650.00 4,997,450.00 14,911,050.00 14,911,050.00

1.780 1.834 1.879 1.881 1.876 1.912 1.979 1.009 1.979 2.015 2.015 2.019 1.333 2.018 2.064 2.114 2.116 2.117 2.183 2.183 1.220 2.189 2.189 2.194 2.186 2.186 2.188 2.220 2.188 2.279 2.264 2.298 2.296 2.345 2.345 1.223 .977 1.525 1.290 2.807 2.790 2.826 1.444 2.884 2.882 3.838 2.867 2.761 1.951 .728 .797 .728 .797

1.819 1.879 1.918 1.918 1.918 1.953 2.030 1.030 2.030 2.071 2.071 2.071 1.359 2.068 2.123 2.170 2.170 2.170 2.238 2.238 1.244 2.244 2.244 2.247 2.244 2.244 2.244 2.282 2.244 2.337 2.326 2.362 2.362 2.419 2.419 1.249 .742 .992 1.573 1.321 2.915 2.896 2.932 1.477 2.992 2.992 4.025 2.992 2.877 2.006 .742 .811 .811 .378 .953 .167 .233 .321 .077 .493 .477 .600 1.000 3.184 3.474 4.121 2.748 1.637 .077

771,017,065.90 -2,330,172.85

1525: FNMA-Fxd-S 30/360

FNMA 3.5YrNc6MoB FNMA 4YrNc6MoE FNMA 3.25YrNc6MoB

.375 .940 .166 .231 .318 .986 .472 .587 .488 .076

FNMA 3Yr

FNMA 3YrNc6MoB

FNMA 3Yr FNMA 2Yr

FNMA 2.16Yr2MoB

FNMA 2Yr

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

3.040 3.304

.076

FNMA 3YrNc6MoB

3.826 2.613 1.552

FNMA 4.41Yr

1560: FNMA-STEP%-Q 30/360

3136G3SG1

FNMA 4.25YrNc6MoB

1.092 1.092

1.112 1.112

1565: FNMA-STEP%-S 30/360

3136G3DV4 3136G3PB5 3136G3BX2 3136G3TG0 3136G3XT7 3136G3ZW8 3136G3Y74

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

.596

.608

1.630 1.818

1.666 1.860

.906

.918

1.956 1.953 1.297 1.448

1.992 1.992 1.321 1.476

1700: FHLB-DISC NOTE

313384LV9 313384ML0 313384SK6 313384ME6 313384ME6

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

.152 .152 .168 .128 .488 .189

.156 .156 .173 .132 .499 .194

1,066.67

2,656,580.56

1725: FHLB-Fxd-S 30/360

3130A8Y72 3130A7PV1 3130A7PU3 3130AC2C7 3130ABZE9 3130ABYZ3 3130AC3J1

FHLB 5Yr FHLB 4Yr FHLB 3Yr

1.375 1.200

1.390 1.210

-44,900.00 -51,700.00 26,550.00 -17,050.00 -62,800.00 -19,350.00 -2,550.00

1.646

1.682

.673 .014 .798

.685 .014 .811

.875

.940

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

1.600 2.000 1.650 1.550

1.600 1.790 1.650 1.550

1.051 1.054

1.079 1.079

.076

.077

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 15,600.00 15,087.00 62,763.25 51,750.00 93,000.00 94,500.00 185,200.00 418,535.00 110,619.00 138,300.00 582,953.80 167,166.00 266,174.20 33,500.00 378,000.00 115,192.40 261,600.00 1,700.00 11,721.10 4,800.00 -8,500.00 2,841,424.95 6,763.20 6,800.00

Modified Duration

Years To Maturity

3133EKMK9 3133EKDY9 3133EKPA8 3133EKRP3 3133EKTS5 3133EKDY9 3133EKTU0 3133EKDY9 3133EKDY9 3133EKBU9 3133EJ3L1 3133EFX44 3133EJP52 3133EHB85 3133EJT74 3133EJD48 3133EHFD0 3133EJCE7 3133EH6X6 3133EJEM7 3133EJKN8 3133EFE86 3133EHP98 3133EHJ95 3133EHZN6 3133EJNS4 3133EHRK1 3133EHUL5 3133EHAJ2 3133EGC94 3133EGR49 3133EHWN9 3133EHWN9 3133EF5D5 3133EGSA4 3133EGVK8 3133EGXX8 3133EFT56 3133EF2Z9 3133EDXQ0 3133EDXQ0 3133EDXQ0 3130AC6H2 3130ABVZ6 3130ABZW9 3130ABQV1 3130AC4T8 3130A9TV3 3130AA2T4 3130AA2T4 3130AA5A2 3130A9DA6 3130A9DH1 3130AA5Y0 3130AE6U9 3130AE6U9 313382AX1 3130A0XD7 313378WG2 3130A9M40 3130ADFW7 3130A0XD7 313379Q69 3130ACBD5 3130A9EP2 3130AFCU9 3130A8R54 3130ABY34 3130AFY50 3130A8CK7 3130AFZ67 3130ADUJ9 313378WG2 3130AGE68 3130AGT70 3130AGHC2 3130AGC52 3130A8NF6 313312KZ2 3130A9FR7 3130A9FM8 3130A9FR7 3130A9FU0

FHLB 2.5Yr

05/29/2020 06/29/2020 06/10/2022 01/25/2021 03/12/2021 03/12/2021 03/11/2022 03/10/2023 05/07/2021 05/07/2021 09/29/2022 07/28/2023 09/26/2019 11/26/2021 06/09/2023 12/11/2020 03/26/2021 03/30/2020 03/11/2022 11/09/2021 09/23/2019 05/28/2020 07/29/2020 09/30/2021 09/30/2021 12/09/2021 12/09/2021 12/08/2021 07/26/2022 02/09/2022 08/24/2022 08/24/2022 05/24/2022 11/08/2021 11/25/2022 04/27/2020 08/24/2020 09/21/2020 10/13/2020 11/02/2020 12/07/2020 02/27/2020 01/17/2020 08/10/2020 08/28/2019 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 01/03/2024 07/03/2024 10/10/2019 10/10/2019 10/10/2019 04/01/2020 04/13/2020 09/22/2020 09/22/2020 09/28/2020 09/28/2020 07/01/2020 09/30/2019 09/19/2019 08/28/2019

1.613 1.650 2.125 2.200 2.375 2.375 2.500 2.125 2.700 2.700 1.650 1.800 1.000 3.125 2.050 2.600 2.650 2.375 2.500 2.625 2.450 2.510 2.200 2.150 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 2.422 2.422 2.391 2.391 2.407 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 2.390 2.440 2.226 2.449 2.449 2.449 2.637 2.570 2.444 2.444 2.570 2.570 2.440 2.545

1.700 1.600 2.000 1.850 2.000 2.000 2.579 2.436 1.906 2.000 1.600 2.422 2.422 2.391 2.391 2.406 1.750 1.750 1.420 1.320 1.350 1.340 1.380 1.770 1.710 1.520 1.550 1.400 1.410 1.511 1.760 1.667 2.365 2.501 2.474 2.721 2.747 3.160 3.095 3.330 3.166 2.922 3.060 3.050 2.757 2.555 2.830 2.810 2.810 2.815 2.590 2.570 2.546 2.449 2.449 2.637 2.570 2.390 2.220 2.440 2.328 2.200 2.510 2.350 2.308 2.631 2.456 1.813 1.861 2.182 2.212 2.484 2.489 2.619 2.716 2.725 2.703 2.929 2.965 2.687 3.150 2.650 2.429 2.600 3.147 2.444 2.444 2.620 2.467 2.622 2.592

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 11,750,000.00 7,650,000.00 10,000,000.00 15,730,000.00 3,700,000.00 20,180,000.00 10,000,000.00 10,000,000.00 21,135,000.00 10,000,000.00 47,210,000.00 30,000,000.00 10,000,000.00 29,450,000.00 15,000,000.00 25,000,000.00 400,130,000.00 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 8,280,000.00 6,300,000.00 463,910,000.00 15,000,000.00 25,000,000.00 10,000,000.00 25,000,000.00 50,000,000.00 25,000,000.00 25,000,000.00 75,000,000.00 25,000,000.00 24,000,000.00 124,000,000.00

9,950,500.00 99.661000 5,321,270.50 99.745000 7,955,620.75 100.544000 14,994,900.00 100.311000 9,968,000.00 100.610000 9,966,500.00 100.610000 9,954,700.00 101.399000 11,432,397.50 100.859000 7,644,492.00 101.374000 9,999,100.00 101.374000 14,940,354.00 98.686000 3,504,196.00 99.226000 19,877,300.00 99.819000 9,992,900.00 100.264000 9,540,100.00 99.181000 21,135,000.00 100.032000 10,000,000.00 100.068000 47,186,395.00 100.194000 30,158,100.00 101.399000 9,998,500.00 100.002000 29,448,880.90 100.036000 15,000,000.00 100.032000 25,000,000.00 99.966000 397,993,756.65 100.176238 15,000,000.00 99.826000 15,000,000.00 99.817000 10,000,000.00 99.487000 10,000,000.00 99.487000 15,000,000.00 99.855000 15,000,000.00 100.004000 20,000,000.00 100.000000 10,000,000.00 99.868000 15,000,000.00 99.876000 20,000,000.00 100.007000 9,690,500.00 99.526000 4,967,400.00 99.511000 159,657,900.00 99.825085 10,000,000.00 100.145000 15,000,000.00 100.145000 10,000,000.00 100.156000 15,000,000.00 100.156000 50,000,000.00 100.150500 7,700,000.00 99.540000 10,000,000.00 99.210000 10,000,000.00 99.040000 15,000,000.00 99.225000 10,000,000.00 98.903000 10,000,000.00 99.705000 10,000,000.00 99.571000 10,000,000.00 99.721000 5,000,000.00 99.534000 5,000,000.00 99.944000 9,998,000.00 99.944000 19,970,400.00 99.621000 19,994,000.00 99.641000 24,967,247.50 99.865000 9,938,000.00 100.569000 9,999,700.00 100.782000 14,948,670.00 100.545000 9,990,300.00 102.787000 9,986,600.00 101.231000 4,839,900.00 100.003000 9,979,300.00 104.505000 5,000,000.00 100.270000 20,237,490.00 100.002000 10,035,700.00 102.391000 9,660,530.00 100.003000 9,640,870.00 99.493000 9,999,000.00 100.522000 9,996,600.00 100.264000 20,000,000.00 100.073000 32,909,592.00 100.073000 38,035,112.00 100.073000 19,763,825.00 100.073000 10,000,000.00 100.017000 5,000,000.00 100.002000 10,000,000.00 99.868000 8,280,000.00 99.960000 6,300,000.00 99.532000 462,170,836.50 100.137390 15,000,000.00 100.015000 25,000,000.00 100.015000 9,997,560.00 100.015000 25,000,000.00 100.142000 50,000,000.00 100.155000 25,000,000.00 100.210000 25,000,000.00 100.210000 73,511,541.67 99.647000 24,525,263.89 99.711000 23,736,480.00 99.843000 121,773,285.56 99.697839

9,966,100.00 5,336,357.50 8,018,384.00 15,046,650.00 10,061,000.00 10,061,000.00 10,139,900.00 11,850,932.50 7,755,111.00 10,137,400.00 15,523,307.80 3,671,362.00 20,143,474.20 10,026,400.00 9,918,100.00 21,141,763.20 10,006,800.00 47,301,587.40 30,419,700.00 10,000,200.00 29,460,602.00 15,004,800.00 24,991,500.00 400,835,181.60 14,973,900.00 14,972,550.00 9,948,700.00 9,948,700.00 14,978,250.00 15,000,600.00 20,000,000.00 9,986,800.00 14,981,400.00 20,001,400.00 9,952,600.00 5,075,061.00 159,819,961.00 10,014,500.00 15,021,750.00 10,015,600.00 15,023,400.00 50,075,250.00 7,664,580.00 9,921,000.00 9,904,000.00 14,883,750.00 9,890,300.00 9,970,500.00 9,957,100.00 9,972,100.00 4,976,700.00 4,997,200.00 9,994,400.00 19,924,200.00 19,928,200.00 24,966,250.00 10,056,900.00 10,078,200.00 15,081,750.00 10,278,700.00 10,123,100.00 5,000,150.00 10,450,500.00 5,013,500.00 21,000,420.00 10,239,100.00 10,000,300.00 9,949,300.00 10,052,200.00 10,026,400.00 20,014,600.00 32,904,002.40 38,027,740.00 19,764,417.50 10,001,700.00 5,000,100.00 9,986,800.00 8,276,688.00 6,270,516.00 464,547,363.90 15,002,250.00 25,003,750.00 10,001,500.00 25,035,500.00 50,077,500.00 25,052,500.00 25,052,500.00 74,735,250.00 24,927,750.00 23,962,320.00 123,625,320.00

.816 .899

.830 .915

FHLB 2.58YrNc1MoB

FHLB 4.5 Yr

2.750 1.451 1.560 1.560 2.487 3.416 1.704 1.704 3.030 3.809 1.593 1.331 3.655 2.209 .154

2.863 1.490 1.616 1.616 2.614 3.611 1.770 1.770 3.167 3.995 1.367 1.655 3.860 2.326 .156

FHLB 3Yr FHLB 3Yr FHLB 3Yr

FHLB 4.08Yr FHLB 4.9Yr

FHLB 3Yr FHLB 3Yr

FHLB 4.17Yr

FHLB 4.9YrNc1Mo

FHLB 11MoB

FHLB 3YrNc1YrE

FHLB 4.5Yr

FHLB 1.75YrNc6MoB FHLB 2YrNc6MoB

FHLB 11Mo FHLB 2.91Yr

.653

.666

2.492 2.180

2.614 2.279

FHLB 2.5YrNc3MoB

FHLB 4Mo

.978 .809 .146

.148 .827 .997

FHLB 1YrNc3MoB FHLB 1YrNc3MoB

1.386

1.441

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

-26,100.00 -27,450.00 -51,300.00 -51,300.00 -21,750.00

2.435 2.884 2.932 2.292 2.298 2.298 2.115 2.720 2.932 2.209 3.205 2.510 2.115 1.135 1.135 1.152 1.152 1.144

2.362 2.362 2.170 2.359 2.989 2.532 3.068 2.170 3.068 2.816 2.277 3.323 2.598 1.148 1.148 1.164 1.164 1.156

600.00

0.00

-13,200.00 -18,600.00

1,400.00

262,100.00 107,661.00 162,061.00 14,500.00 21,750.00 15,600.00 23,400.00 75,250.00

1767: FHLB-Var-M A/360

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

1770: FHLB-Var-Q A/360

FHLB 3Yr

52,500.00 52,500.00

.908 .908

.921 .921

1900: FFCB-DISC NOTE 313312MJ6 313312LX6

FFCB DISC NTE FFCB DISC NTE FFCB DISC NTE

1,223,708.33 402,486.11 225,840.00 1,852,034.44 -35,420.00 -79,000.00 -96,000.00 -116,250.00 -109,700.00 -29,500.00 -42,900.00 -27,900.00 -23,300.00 118,900.00 78,500.00 133,080.00 288,400.00 136,500.00 160,250.00 471,200.00 13,500.00 762,930.00 203,400.00 339,770.00 308,430.00 53,200.00 29,800.00 14,600.00 -5,589.60 -7,372.00 -2,800.00 -3,600.00 -46,200.00 -65,800.00 -997.50

.133 .075 .163 .140

.167 .137 .077 .144

1925: FFCB-Fxd-S 30/360

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

.730

.742

1.121 1.182 1.047 1.234 1.325

1.068 1.145 1.205 1.260 1.356

.563 .462

.578 .466

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

1.006

1.030

.076 .076 .628

.077 .077 .638

1.212

1.241

.266

.268

2.365 1.527 1.478 3.466 1.712 3.475 3.848 3.032 3.460 2.183 3.380 3.025 4.128 3.434 3.173 4.128 4.598 4.128 4.128 4.166 4.603 2.383 .878 .559

2.455 1.586 1.540 3.699 1.778 3.699 4.175 3.258 3.677 2.296 3.586 3.184 4.408 4.408 4.408 4.408 3.567 3.351 4.896 4.430 4.929 2.520 .901 .578

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 FFCB 5YrNc2YrA FFCB 4.5YrNc3MoA FFCB 5YrNc3MoA

592.50

1,700.00

100.00

-13,200.00 -3,312.00 -29,484.00

2,376,527.40

1930: FFCB-Var-M A/360

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

2,250.00 3,750.00 3,940.00 35,500.00 77,500.00

.191 .747 .697 .191 .191

.195 .195 .195 .671 .704

11

COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

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