Treasurer s Pooled Investment Fund

Transcription

1 September 2016 County of Riverside Treasurer s Pooled Investment Fund Although the United States government closed its books for the fiscal year 2016 in September with a whisper, financial market participants were paying close attention and got the message loud and clear. The annual increase in national debt was an astounding $1.4 trillion, the 3rd largest in U.S. history. This increase in debt is equal to almost 8% of our GDP vs. the entire bailout of 2008 at just under 5% of GDP; the New Deal during the Great Depression amounted to 7% of GDP. Now some $19.6 trillion in the red and having doubled over the last eight years, it s the equivalent of $60,536 for every U.S. citizen, or, $164,602 for every tax payer. Additionally, the International Monetary Fund (IMF) is sounding the alarm with worldwide debt hitting $152 trillion, or, 225% of world GDP. According to the IMF, "two-thirds, amounting to about $100 trillion, consists of liabilities of the private sector which can carry greater risks than government debt at high levels. However, there are concerns that just the sheer size of debt could set the stage for an unprecedented private deleveraging process that could stall the fragile global economic recovery." In other words, the debt itself can cause a slowdown so central banks are extremely limited how high and fast they can push interest rates; this debt load is only sustainable as long as the interest expense is affordable, thus forcing record low rates, which in turn leads to even more debt issuance, exacerbating the problem. These revelations are coming at the same time we are seeing tectonic shifts in the Eurozone banks and financial system as we covered in June. Deutsche Bank, being the most visible, is potentially looking at a Debt Time Bomb $14 billion fine from the U.S. government s lawsuit to settle the mortgage backed securities case; it s big enough that there was talk of it becoming Europe s Lehman Bros. and Germany is showing no appetite to bail them, or any other banks out. According to past history, we know recession is somewhere out there on the horizon as over the past 75 years, the longest period of time we ve been without was about 10 years. When it does occur, one of the policy tools the FED has used most often to stimulate the economy is to cut interest rates, namely the Fed Funds, discount rate, or both. The average Fed Funds interest rate cut during a recession is about 4%. In every instance the FED has cut rates, and they were lower at the end of the recession than at the beginning, which begs the question, how high would rates have to be to have a meaningful impact for a cut later to spur the economy again down the road? The FED stated after its September 21 st FOMC meeting, The Committee judges that the case for an increase in the federal funds rate has strengthened but decided, for the time being, to wait for further evidence of continued progress toward its objectives. In other words, they remain on the sidelines with Fed Funds at 50 bps. And, it s highly unlikely an increase would come at the November 2 nd meeting, especially just before the election leaving December 14 th as their last date this year. We shall see and will continue to be observant of these concerning economic conditions and invest accordingly. Don Kent Treasurer-Tax Collector Capital s Team Don Kent Treasurer-Tax Collector Jon Christensen Asst. Treasurer-Tax Collector Giovane Pizano Investment Manager Isela Licea Asst. Investment Manager Investment Objectives The primary objective of the treasurer shall be to safeguard the principal of the funds under the treasurer's control, meet the liquidity needs of the depositor, and achieve a return on the funds under his or her control. COUNTY OF RIVERSIDE TREASURER S POOLED INVESTMENT FUND IS CURRENTLY RATED: Aaa-bf BY MOODY S INVESTOR S SERVICE AND AAA/V1 BY FITCH RATINGS Month End ($)* Month End Book ($) Paper Gain or Loss ($) Paper Gain or Loss (%) Book Yield (%) Yrs to Modified Duration September 5,916,650, ,911,244, ,405, August 6,110,619, ,102,082, ,536, July 6,514,396, ,504,638, ,757, June 6,945,949, ,940,509, ,439, May 7,336,685, ,329,824, ,861, April 6,319,190, ,312,840, ,350, The Treasurer's Pooled Investment Fund is comprised of the County, Schools, Special Districts, and other Discretionary Depositors.

2 Current Data Economic Indicators Release Date Indicator Consensus Actual 09/02/2016 Non-Farm Payrolls M/M change: Counts the number of paid employees working parttime 180, ,000 or full-time in the nation's business and government establishments. 09/02/2016 Employment Situation: Measures the number of unemployed as a percentage of the 4.8% 4.9% labor force. 09/02/2016 Durable Goods Orders - M/M change: Reflects the new orders placed with domestic 4.4% 4.4% manufacturers for immediate and future delivery of factory hard goods. 09/29/2016 Real Gross Domestic Product - Q/Q change: The broadest measure of aggregate 1.3% 1.4% economic activity and encompasses every sector of the economy. GDP is the country's most comprehensive economic scorecard. 09/27/2016 Consumer Confidence: Measures consumer attitudes on present economic conditions and expectations of future conditions. 09/02/2016 Factory Orders M/M change: Represents the dollar level of new orders for both durable 2.0% 1.9% and nondurable goods. 09/16/2016 Consumer Price Index - M/M change: The Consumer Price Index is a measure of the 0.1% 0.2% average price level of a fixed basket of goods and services purchased by consumers. 09/16/2016 CPI Ex Food and Energy - M/M change: CPI Ex Food and Energy excludes food and energy. 2.2% 2.3% Stock Indices Change Dow Jones (DJIA) $ 18, $ (92.03) S&P 500 Index $ 2, $ (7.85) NASDAQ (NDX) $ 4, $ Commodities Change Nymex Crude $ $ 3.54 Gold (USD/OZ) $ 1, $ 6.78 US Treasury Curve (M/M) Fed Funds Target Rate Current Fed Funds Rate: 0.25% % Probability for FOMC Dates: Fed Move 11/02/ /14/2016 Stay at 0.25%-0.50% 76.4% 36.4% Increase to 0.75% 23.6% 51.3% Increase to 1.00% 0.0% 12.4% Increase to 1.25% 0.0% 0.0% FOMC Meeting Schedule Release % Risk Assessment 27-Jul % Growth 21-Sep % Growth COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR 2

3 TIMMI The Treasurer s Institutional Money Index (TIMMI) is compiled and reported by the Riverside County Treasurer s Capital s division. It is a composite index derived from four AAA rated prime institutional money market funds. Similar to the Treasurer s Office, prime money market funds invest in a diversified portfolio of U.S. dollar denominated money market instruments including U.S. Treasuries, government agencies, commercial paper, certificates of deposits, repurchase agreements, etc. TIMMI is currently comprised of the four multi billion dollar funds listed below. AAA Rated Prime Institutional Money- Funds Fund Symbol 7 Day Yield Fidelity Prime Institutional MMF FIPXX 0.55% Federated Prime Obligations Fund POIXX 0.38% Wells Fargo Advantage Heritage WFJXX 0.46% JP Morgan CJPXX 0.49% 1.00% 0.50% Pool Yield TIMMI 0.43% 0.46% 0.50% 0.12% 0.12% 0.14% 0.55% 0.22% 0.62% 0.66% 0.65% 0.65% 0.67% 0.69% 0.72% 0.73% 0.73% 0.36% 0.40% 0.42% 0.42% 0.41% 0.42% 0.40% 0.39% 0.47% 0.00% Sep 15 Nov 15 Jan 16 Mar 16 May 16 Jul 16 Sep 16 Cash Flows Month Monthly Receipts Monthly Disbursements Difference Required Matured Investments Balance Actual Investments Maturing Available to Invest > 1 Year 10/ /2016 1, , (135.00) , /2016 1, /2016 2, , , , /2017 1, , (630.00) / , (390.00) /2017 1, , /2017 1, , / , (650.00) /2017 1, , (450.00) /2017 1, , (193.89) /2017 1, , (182.11) /2017 1, , (105.90) TOTALS 14, , (446.90) , , , % 66.36% 95.86% * All values reported in millions ($). The Pooled Investment Fund cash flow requirements are based upon a 12 month historical cash flow model. Based upon projected cash receipts and maturing investments, there are sufficient funds to meet future cash flow disbursements over the next 12 months. COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR 3

4 Asset Allocation Assets (000's) Scheduled Par Scheduled Book Scheduled Mkt/ Sch Book Yield WAL (Yr) Mat (Yr) MMKT 775, , , % 0.37% CALTRUST FND 54, , , % 0.80% DDA/PASSBK 70, , , % 0.41% LOCAL AGCY OBLIG % 1.23% US TREAS BILLS 200, , , % 0.45% US TREAS BONDS 280, , , % 0.83% FHLMC DISC NOTES 100, , , % 0.51% FHLMC BONDS 889, , , % 1.15% FNMA DISC NOTES 90, , , % 0.61% FNMA BONDS 360, , , % 1.18% FHLB DISC NOTES 567, , , % 0.52% FHLB BONDS 518, , , % 0.80% FFCB DISC NOTES 465, , , % 0.55% FFCB BONDS 512, , , % 0.72% FMAC DISC NOTES 115, , , % 0.63% FARMER MAC 58, , , % 0.76% MUNI ZER0 CPNS 100, , , % 0.49% MUNI BONDS 279, , , % 0.90% COMM PAPER 480, , , % 0.65% Totals (000's): 5,916, ,911, ,916, % 0.73% COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR 4

5 Distribution Scheduled Par (000's) 0-1 Mos 1-3 Mos 3-12 Mos 1-2 Yr 2-3 Yr >3 Yr Totals (000's) MMKT 775, , CALTRUST FND 54, , DDA/PASSBK 70, , LOCAL AGCY OBLIG US TREAS BILLS , , US TREAS BONDS , , , , , FHLMC DISC NOTES 50, , , FHLMC BONDS - 14, , , , , , FNMA DISC NOTES 50, , , FNMA BONDS , , , , FHLB DISC NOTES 125, , , FHLB BONDS - 40, , , , , , FFCB DISC NOTES 35, , , FFCB BONDS - 15, , , , , , FMAC DISC NOTES 50, , , FARMER MAC , , , MUNI ZER0 CPNS 50, , , MUNI BONDS - 75, , , , , , COMM PAPER 105, , , , Totals (000's): 1,364, , ,186, , , ,036, ,916, % 23.06% 6.11% 36.96% 8.78% 7.57% 17.51% Cumulative % 23.06% 29.17% 66.13% 74.92% 82.49% % COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR 5

6 Credit Quality Moody (000's) Par Book MKT/Book Yield Aaa 4,663, ,658, ,663, % 0.75% Aa1 47, , , % 0.88% Aa2 481, , , % 0.60% Aa3 280, , , % 0.83% NR 444, , , % 0.56% Totals (000's): 5,916, ,911, ,916, % 0.73% MOODY S S & P S&P (000's) Par Book MKT/Book Yield AAA 695, , , % 0.42% AA+ 3,964, ,949, ,963, % 0.81% AA 506, , , % 0.64% AA- 305, , , % 0.76% NR 444, , , % 0.56% Totals (000's): 5,916, ,911, ,916, % 0.73% COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR 6

7 Month End Portfolio Holdings CUSIP Description Date Coupon Yield To Par Book Price Unrealized Gain/Loss Modified Duration Years To Fund: 1 POOL FUND MMKT WFJXX CALTRUST HERITAGE 10/01/ FIPXX FIDELITY PRIME 10/01/ POIXX FEDERATED PRIME 10/01/ CJPXX JP MORGAN PRIME 10/01/ FRGXX FIDELITY GOV 10/01/ ,000, ,000, ,000, WFFXX WELLS FARGO GOV 10/01/ ,000, ,000, ,000, GOFXX FEDERATED GOV 10/01/ ,000, ,000, ,000, CASH BANK OF THE WEST 10/01/ ,000, ,000, ,000, FGTXX GOLDMAN SACHS GOV 10/01/ ,000, ,000, ,000, ,000, ,000, ,000, CALTRUST FND CLTR CALTRUST SHT TERM 10/01/ ,000, ,000, ,000, ,000, ,000, ,000, DDA/PASSBK CASH UB MANAGED RATE 10/01/ ,000, ,000, ,000, ,000, ,000, ,000, LOCAL AGCY OBLIG LAO US DIST COURTHOUSE 06/15/ , , , , , , US TREAS BILLS JT7 U.S. TREASURY BILL 05/25/ ,000, ,761, ,852, , JT7 U.S. TREASURY BILL 05/25/ ,000, ,828, ,852, , KG3 U.S. TREASURY BILL 02/09/ ,000, ,954, ,969, , JA8 U.S. TREASURY BILL 02/02/ ,000, ,958, ,972, , JT7 U.S. TREASURY BILL 05/25/ ,000, ,859, ,852, , ,000, ,362, ,499, , US TREAS BONDS TB6 U.S. TREASURY BOND 06/30/ ,000, ,971, ,005, , WH9 U.S. TREASURY BOND 05/15/ ,000, ,077, ,050, , SC5 U.S. TREASURY BOND 01/31/ ,000, ,129, ,045, , B74 U.S. TREASURY BOND 02/15/ ,000, ,008, ,019, , A91 U.S. TREASURY BOND 01/15/ ,000, ,095, ,030, , TS9 U.S. TREASURY BOND 09/30/ ,000, ,981, ,995, , H94 U.S. TREASURY BOND 02/15/ ,000, ,017, ,037, , UJ7 U.S. TREASURY BOND 01/31/ ,000, ,936, ,052, , A91 U.S. TREASURY BOND 01/15/ ,000, ,027, ,030, , B74 U.S. TREASURY BOND 02/15/ ,000, ,978, ,024, , B74 U.S. TREASURY BOND 02/15/ ,000, ,964, ,024, , WL0 U.S. TREASURY BOND 05/31/ ,000, ,110, ,419, , F62 U.S. TREASURY BOND 10/31/ ,000, ,028, ,439, , B74 U.S. TREASURY BOND 02/15/ ,000, ,003, ,009, , ,000, ,331, ,183, , FHLMC DISC NOTES L35 FHLMC DISC NOTE 10/19/ ,000, ,873, ,998, , L35 FHLMC DISC NOTE 10/19/ ,000, ,920, ,998, , AE1 FHLMC DISC NOTE 01/05/ ,000, ,885, ,982, , BZ3 FHLMC DISC NOTE 02/17/ ,000, ,920, ,968, , ,000, ,600, ,947, , FHLMC BONDS 3134G3S50 FHLMC 4Yr 11/01/ ,000, ,991, ,002, , G3S50 FHLMC 4Yr 11/01/ ,625, ,629, ,626, , G5WA9 FHLMC 2YrNc1YrE 12/30/ ,000, ,000, ,030, , G7AE1 FHLMC 3YrNc1.5YrE 06/22/ ,000, ,986, ,006, , G66M0 FHLMC 3YrNc6MoE 06/22/ ,000, ,993, ,164, , EADU0 FHLMC 1.5Yr 01/27/ ,000, ,973, ,007, , EADU0 FHLMC 1.5Yr 01/27/ ,000, ,980, ,004, , G7V24 FHLMC 2YrNc6MoB 10/27/ ,000, ,000, ,000, EADU0 FHLMC 1.25Yr 01/27/ ,000, ,015, ,007, , G72T7 FHLMC 3YrNc6MoB 10/29/ ,000, ,000, ,000, G72T7 FHLMC 3YrNc6MoB 10/29/ ,000, ,000, ,001, , G73L3 FHLMC 2YrNc6MoE 11/16/ ,000, ,000, ,006, , G7S77 FHLMC 5YrNc6MoB 10/29/ ,000, ,000, ,002, , EADX4 FHLMC 2Yr 12/15/ ,000, ,979, ,069, , G8LG2 FHLMC 13MoNc6MoE 03/09/ ,000, ,000, ,009, , G8LG2 FHLMC 13MoNc6MoE 03/09/ ,000, ,000, ,009, , G8L49 FHLMC 1.5YrNc3Mob 08/25/ ,000, ,000, ,997, , G8KU2 FHLMC 5YrNc6MoB 02/26/ ,000, ,000, ,002, , G8L31 FHLMC 5YrNc6MoB 02/26/ ,000, ,000, ,003, , G8L64 FHLMC 2.5YrNc1YrE 08/24/ ,000, ,000, ,000, G8QE2 FHLMC 3YrNc1YrE 03/29/ ,000, ,000, ,008, , G8QB8 FHLMC 3YrNc1YrE 03/29/ ,000, ,000, ,004, , G8TG4 FHLMC 3.5YrNc6MoE 10/11/ ,000, ,000, ,014, , G8T82 FHLMC 3YrNc6MoE 04/12/ ,000, ,000, ,002, , G8TU3 FHLMC 2YrNc6MoB 10/04/ ,000, ,000, ,000, G8VG1 FHLMC 5YrNc6MoB 04/14/ ,000, ,000, ,002, , G8V97 FHLMC 2.25YrNc6MoB 06/29/ ,850, ,850, ,852, , G8WC9 FHLMC 1.5YrNc6MoB 10/13/ ,000, ,000, ,000, G8VB2 FHLMC 5YrNc6MoB 04/21/ ,835, ,835, ,835, G8WC9 FHLMC 1.5YrNc6MoB 10/13/ ,000, ,000, ,000, G8X20 FHLMC 4YrNc6MoB 07/28/ ,000, ,000, ,000, G8YS2 FHLMC 1.5YrNc3MoB 10/27/ ,000, ,000, ,001, , G8X61 FHLMC 1.5YrNc6MoB 10/27/ ,000, ,000, ,000, G8XU8 FHLMC 5YrNc6MoB 04/28/ ,500, ,500, ,501, , G8XM6 FHLMC 5YrNc6MoB 04/28/ ,000, ,000, ,000, G9AN7 FHLMC 4YrNc6MoB 08/10/ ,000, ,000, ,002, , G9BF3 FHLMC 3.5YrNc3MoB 11/12/ ,425, ,425, ,425, G8YZ6 FHLMC 5YrNc6MoB 04/28/ ,700, ,700, ,700, G9JX6 FHLMC 5YrNc3MoB 06/09/ ,000, ,000, ,004, , G9JW8 FHLMC 5YrNc3MoB 05/25/ ,000, ,000, ,002, , G9NU7 FHLMC 5YrNc3MoB 06/16/ ,000, ,997, ,004, , G9PC5 FHLMC 3YrNc3MoB 06/20/ ,000, ,000, ,005, , G9UM7 FHLMC 5YrNc3MoB 06/30/ ,000, ,000, ,999, G9VA2 FHLMC 5YrNc6MoB 06/30/ ,000, ,000, ,994, , G9UX3 FHLMC 5YrNc3MoB 06/30/ ,000, ,000, ,981, , G9UH8 FHLMC 3.5YrNc3MoB 12/30/ ,000, ,000, ,001, , G9XA0 FHLMC 5YrNc6MoB 07/13/ ,000, ,000, ,002, , G9C70 FHLMC 2YrNc6MoE 07/20/ ,000, ,000, ,981, , COUNTY OF RIVERISIDE TREASURER-TAX COLLECTOR 7

8 Month End Portfolio Holdings Date Yield To Par CUSIP Description Coupon 3134G9M38 FHLMC 1.25YrNc3MoB 10/27/ ,000, ,000, ,985, , G9Q75 FHLMC 3YrNc3MoB 07/26/ ,000, ,000, ,000, G9Q67 FHLMC 2YrNc3MoB 07/27/ ,000, ,000, ,997, , G9S40 FHLMC 4YrNc6MoB 07/27/ ,000, ,000, ,986, , G9R66 FHLMC 5YrNc3MoB 08/10/ ,000, ,000, ,995, , G9S57 FHLMC 4YrNc6MoB 08/10/ ,000, ,000, ,977, , G9T23 FHLMC 5YrNc3MoB 08/10/ ,000, ,000, ,992, , G9U47 FHLMC 5YrNc3MoB 08/25/ ,000, ,000, ,969, , G95W3 FHLMC 5YrNc3MoB 08/25/ ,000, ,000, ,970, , G96A0 FHLMC 5YrNc3MoB 08/25/ ,000, ,000, ,001, , GABZ6 FHLMC 3.5YrNc1YrE 02/25/ ,000, ,000, ,000, GAEB6 FHLMC 4.25YrNc3MoB 12/08/ ,000, ,000, ,988, , GAEG5 FHLMC 5YrNc6MoB 08/24/ ,000, ,000, ,994, , GADP6 FHLMC 5YrNc3MoB 09/13/ ,500, ,500, ,496, , GAET7 FHLMC 5YrNc3MoB 09/30/ ,000, ,000, ,019, , GAKY9 FHLMC 5YrNc6MoB 09/30/ ,000, ,000, ,025, , GANB6 FHLMC 5YrNc6MoB 09/30/ ,000, ,000, ,980, , ,435, ,355, ,668, , FNMA DISC NOTES K38 FNMA DISC NOTE 10/11/ ,000, ,862, ,999, , K46 FNMA DISC NOTE 10/12/ ,000, ,871, ,998, , AS2 FNMA DISC NOTE 01/17/ ,000, ,946, ,988, , FM0 FNMA DISC NOTE 05/12/ ,000, ,876, ,929, , ,000, ,556, ,915, , FNMA BONDS 3136G2SX6 FNMA 3YrNc1YrE 11/28/ ,000, ,000, ,003, , G2SX6 FNMA 3YrNc1YrE 11/28/ ,000, ,000, ,003, , G2SX6 FNMA 3YrNc1YrE 11/28/ ,000, ,000, ,003, , G2XR3 FNMA 4YrNc6MoB 02/19/ ,000, ,000, ,002, , G2YT8 FNMA 5YrNc6MoB 02/26/ ,000, ,000, ,998, , G2ZB6 FNMA 4YrNC6MoB 03/09/ ,000, ,000, ,002, , G3BX2 FNMA 4YrNc6MoB 03/09/ ,000, ,000, ,004, , G3EH4 FNMA 4YrNc6MoB 03/30/ ,000, ,000, ,008, , G3EE1 FNMA 3YrNc6MoB 03/29/ ,000, ,000, ,011, , G3DV4 FNMA 5YrNc6MoB 03/30/ ,000, ,000, ,994, , G3HL2 FNMA 4YrNc6MoB 04/07/ ,000, ,000, ,000, G3PB5 FNMA 5YrNc6MoB 06/09/ ,000, ,000, ,007, , G3RL1 FNMA 3.5YrNc6MoB 12/16/ ,000, ,000, ,986, , G3SG1 FNMA 4.25YrNc6MoB 09/09/ ,000, ,000, ,001, , G3TG0 FNMA 4YrNc6MoB 06/30/ ,000, ,000, ,999, G3WC5 FNMA 4YrNc6MoE 07/13/ ,000, ,000, ,000, G9B55 FNMA 2YrNc6MoE 07/20/ ,000, ,000, ,951, , G3SY2 FNMA 3.25YrNc6MoB 09/30/ ,500, ,500, ,488, , G3XE0 FNMA 2YrNc6MoE 07/27/ ,000, ,000, ,971, , G3XT7 FNMA 5YrNc6MoB 07/27/ ,000, ,000, ,961, , G0M26 FNMA 3YrNc6MoE 07/26/ ,000, ,000, ,960, , G0M26 FNMA 3YrNc6MoE 07/26/ ,000, ,000, ,960, , G3XS9 FNMA 2.5YrNc6MoE 01/25/ ,500, ,495, ,467, , G3ZW8 FNMA 5YrNc6MoB 07/27/ ,000, ,000, ,963, , G3A62 FNMA 3YrNc1YrE 07/26/ ,000, ,000, ,987, , G3P25 FNMA 3.5YrNc1YrE 07/26/ ,000, ,000, ,966, , G3Y74 FNMA 4YrNc6MoB 11/24/ ,000, ,000, ,947, , ,000, ,995, ,652, , FHLB DISC NOTES J34 FHLB DISC NOTE 10/03/ ,000, ,870, ,999, , AE1 FHLB DISC NOTE 01/05/ ,000, ,964, ,994, , AK2 FHLB DISC NOTE 01/10/ ,000, ,920, ,988, , AK2 FHLB DISC NOTE 01/10/ ,000, ,920, ,988, , K40 FHLB DISC NOTE 10/12/ ,000, ,941, ,998, , BQ8 FHLB DISC NOTE 02/08/ ,000, ,904, ,979, , BK1 FHLB DISC NOTE 02/03/ ,000, ,976, ,994, , AE6 FHLB DISC NOTE 01/05/ ,000, ,980, ,996, , AJ5 FHLB DISC NOTE 01/09/ ,000, ,899, ,980, , AS5 FHLB DISC NOTE 01/17/ ,000, ,898, ,979, , AS5 FHLB DISC NOTE 01/17/ ,000, ,898, ,979, , BZ8 FHLB DISC NOTE 02/17/ ,000, ,882, ,972, , AV8 FHLB DISC NOTE 01/20/ ,000, ,939, ,987, , AU0 FHLB DISC NOTE 01/19/ ,000, ,901, ,978, , BX3 FHLB DISC NOTE 02/15/ ,000, ,889, ,972, , CD6 FHLB DISC NOTE 02/21/ ,000, ,833, ,959, , CD6 FHLB DISC NOTE 02/21/ ,000, ,883, ,971, , AK2 FHLB DISC NOTE 01/10/ ,000, ,933, ,980, , K40 FHLB DISC NOTE 10/12/ ,000, ,968, ,998, , K40 FHLB DISC NOTE 10/12/ ,000, ,968, ,998, , BH8 FHLB DISC NOTE 02/01/ ,000, ,919, ,975, , J34 FHLB DISC NOTE 10/03/ ,000, ,971, ,999, , HM1 FHLB DISC NOTE 06/29/ ,000, ,860, ,910, , GX8 FHLB DISC NOTE 06/15/ ,000, ,868, ,914, , AM8 FHLB DISC NOTE 01/12/ ,000, ,944, ,979, , AL0 FHLB DISC NOTE 01/11/ ,000, ,944, ,980, , ,000, ,885, ,456, ,570, FHLB BONDS EP2 FHLB 5YrNc3MoB 06/20/ ,719, ,719, ,724, , A6R74 FHLB 1YrNc3MoB 11/25/ ,000, ,000, ,006, , A6V95 FHLB 2Yr 12/01/ ,000, ,000, ,024, , A6VS3 FHLB 1Yr 12/14/ ,370, ,360, ,385, , A6W94 FHLB 3YrNc1YrE 12/28/ ,000, ,000, ,020, , A7BY0 FHLB 1YrNc3MoB 02/17/ ,000, ,000, ,009, , A1NN4 FHLB 1.5Yr 05/24/ ,000, ,046, ,056, , A7H57 FHLB 2.5YrNc1YrE 09/28/ ,000, ,000, ,002, , A7PV1 FHLB 5Yr 04/05/ ,000, ,996, ,021, , A7PU3 FHLB 4Yr 04/06/ ,000, ,996, ,018, , A7TT2 FHLB 1YrNc3MoB 04/28/ ,000, ,000, ,000, A7TT2 FHLB 1YrNc3MoB 04/28/ ,000, ,000, ,000, A7TT2 FHLB 1YrNc3MoB 04/28/ ,000, ,000, ,000, A8JR5 FHLB 1YrNc3MoB 06/30/ ,000, ,000, ,013, , A8L35 FHLB 1YrNc7MoE 07/20/ ,000, ,000, ,000, A8L35 FHLB 1YrNc7MoE 07/20/ ,000, ,000, ,001, , A8L35 FHLB 1YrNc7MoE 07/20/ ,000, ,000, ,000, A8NF6 FHLB 3Yr 07/01/ ,000, ,000, ,995, , Book Price Unrealized Gain/Loss Modified Duration Years To COUNTY OF RIVERISIDE TREASURER-TAX COLLECTOR 8

9 Month End Portfolio Holdings Date Yield To Par CUSIP Description Coupon 3130A8PK3 FHLB 2Yr 08/07/ ,000, ,989, ,980, , A8PK3 FHLB 2Yr 08/07/ ,000, ,948, ,902, , A8PK3 FHLB 2Yr 08/07/ ,000, ,979, ,961, , A8NZ2 FHLB 1.5Yr 01/08/ ,000, ,007, ,972, , A8NZ2 FHLB 1.5Yr 01/08/ ,000, ,006, ,981, , A8WS8 FHLB 2YrNc1YrE 11/23/ ,500, ,500, ,497, , A8UH4 FHLB 3YrNc3MoB 08/15/ ,000, ,000, ,986, , A8Y72 FHLB 3Yr 08/05/ ,000, ,971, ,944, , A9AE1 FHLB 2Yr 10/01/ ,000, ,993, ,995, , A9DH1 FHLB 5YrNc3MoB 09/30/ ,000, ,000, ,985, , A9DA6 FHLB 5YrNc3MoB 09/30/ ,000, ,000, ,996, , A9FU0 FHLB 4Yr 09/22/ ,000, ,000, ,980, , A9FM8 FHLB 4Yr 09/22/ ,000, ,000, ,970, , A9FR7 FHLB 4Yr 09/28/ ,000, ,000, ,980, , A9FR7 FHLB 4Yr 09/28/ ,000, ,000, ,970, , ,589, ,513, ,387, , FFCB DISC NOTES K58 FFCB DISC NOTE 10/13/ ,000, ,890, ,998, , K90 FFCB DISC NOTE 10/17/ ,000, ,950, ,999, , AT5 FFCB DISC NOTE 01/18/ ,000, ,933, ,988, , CE6 FFCB DISC NOTE 02/22/ ,000, ,946, ,987, , AT5 FFCB DISC NOTE 01/18/ ,000, ,895, ,980, , BY3 FFCB DISC NOTE 02/16/ ,000, ,880, ,968, , AM0 FFCB DISC NOTE 01/12/ ,000, ,941, ,988, , AM0 FFCB DISC NOTE 01/12/ ,000, ,960, ,992, , AM0 FFCB DISC NOTE 01/12/ ,000, ,941, ,988, , AM0 FFCB DISC NOTE 01/12/ ,000, ,960, ,992, , BC1 FFCB DISC NOTE 01/27/ ,000, ,918, ,982, , BC1 FFCB DISC NOTE 01/27/ ,000, ,919, ,982, , BV9 FFCB DISC NOTE 02/13/ ,000, ,888, ,969, , BR8 FFCB DISC NOTE 02/09/ ,000, ,893, ,970, , BZ0 FFCB DISC NOTE 02/17/ ,000, ,983, ,993, , FK9 FFCB DISC NOTE 05/10/ ,000, ,864, ,930, , GH5 FFCB DISC NOTE 06/01/ ,000, ,919, ,951, , BW7 FFCB DISC NOTE 02/14/ ,000, ,941, ,975, , GH5 FFCB DISC NOTE 06/01/ ,000, ,866, ,919, , HM3 FFCB DISC NOTE 06/29/ ,000, ,856, ,910, , GB8 FFCB DISC NOTE 05/26/ ,000, ,880, ,925, , HB7 FFCB DISC NOTE 06/19/ ,000, ,872, ,913, , HV3 FFCB DISC NOTE 07/07/ ,000, ,866, ,900, , BG2 FFCB DISC NOTE 01/31/ ,000, ,957, ,977, , ,000, ,928, ,186, ,257, FFCB BONDS 3133EDXQ0 FFCB 5Yr 10/10/ ,000, ,000, ,940, , EDXQ0 FFCB 5Yr 10/10/ ,000, ,000, ,901, , EDXQ0 FFCB 5Yr 10/10/ ,000, ,997, ,960, , EEZR4 FFCB 2Yr 04/21/ ,000, ,000, ,006, , EEJ43 FFCB 2Yr 05/08/ ,000, ,991, ,008, , EE3Y4 FFCB 1.5Yr 01/13/ ,000, ,000, ,001, , EE6A3 FFCB 1.5Yr 02/06/ ,000, ,000, ,005, , EE6A3 FFCB 1.5Yr 02/06/ ,000, ,000, ,005, , EE6A3 FFCB 1.5Yr 02/06/ ,000, ,989, ,007, , EFHH3 FFCB 3YrNc3MoA 10/15/ ,000, ,000, ,000, EFEM5 FFCB 2Yr 09/25/ ,250, ,371, ,291, , EEN48 FFCB 2Yr 05/22/ ,650, ,669, ,632, , EFJK4 FFCB 1.25Yr 01/13/ ,000, ,994, ,005, , EFKR7 FFCB 1.5 Yr 04/21/ ,000, ,987, ,988, EFLN5 FFCB 1Yr 11/28/ ,000, ,000, ,005, , EFLM7 FFCB 1.5Yr 03/27/ ,000, ,000, ,000, EFNK9 FFCB 2Yr 02/09/ ,000, ,000, ,013, , EFNK9 FFCB 2Yr 02/09/ ,000, ,000, ,017, , EFQJ9 FFCB 3Yr 11/23/ ,000, ,006, ,002, , EFE52 FFCB 3Yr 02/25/ ,000, ,000, ,047, , EFE52 FFCB 3Yr 02/25/ ,000, ,000, ,015, , EFM61 FFCB 2.5Yr 09/17/ ,000, ,000, ,013, , EFP84 FFCB 3 Yr 04/04/ ,000, ,000, ,031, , EFT56 FFCB 4Yr 04/01/ ,000, ,000, ,014, , EFV38 FFCB 3YrNc1YrA 03/29/ ,310, ,310, ,313, , EF2Z9 FFCB 4Yr 04/13/ ,000, ,000, ,043, , EF5D5 FFCB 4YrNc1YrA 04/27/ ,700, ,700, ,710, , EGCE3 FFCB 5Yr 05/25/ ,000, ,000, ,011, , EGCE3 FFCB 5Yr 05/25/ ,000, ,000, ,011, , EGLV5 FFCB 3Yr 07/15/ ,000, ,000, ,001, , EGNY7 FFCB 2.5YrNc3MoA 01/28/ ,000, ,000, ,929, , EGSA4 FFCB 4YrNc1YrA 08/24/ ,000, ,000, ,980, , EGVM4 FFCB 1.25Yr 12/22/ ,000, ,988, ,990, , EGVK8 FFCB 4YrNc1YrA 09/21/ ,000, ,000, ,985, , ,910, ,005, ,889, , FMAC DISC NOTES 31315KK90 FAMCA DISC NOTE 10/17/ ,000, ,937, ,999, , KJ35 FAMCA DISC NOTE 10/03/ ,000, ,918, ,000, , KJ35 FAMCA DISC NOTE 10/03/ ,000, ,864, ,000, , LAT5 FAMCA DISC NOTE 01/18/ ,000, ,884, ,984, , LBA5 FAMCA DISC NOTE 01/25/ ,000, ,923, ,983, , LAC2 FAMCA DISC NOTE 01/03/ ,000, ,931, ,982, , ,000, ,459, ,949, , FARMER MAC 31315P2K4 FAMCA 3Yr 09/05/ ,850, ,850, ,885, , X0CY5 FAMCA 1Yr 02/23/ ,000, ,000, ,000, X0ED9 FAMCA 3Yr 03/19/ ,000, ,000, ,999, X0EV9 FAMCA 3Yr 07/26/ ,000, ,000, ,019, , ,850, ,850, ,904, , MUNI ZER0 CPNS 91411SL81 UC REGENTS 11/08/ ,000, ,960, ,972, , SKT6 UC REGENTS 10/27/ ,000, ,978, ,983, , ,000, ,939, ,955, , MUNI BONDS 20772JL34 CONNECTICUT ST 08/01/ ,000, ,613, ,613, DSZ2 WASHINGTON STATE 08/01/ ,885, ,885, ,885, A33 TEXAS ST 10/01/ ,000, ,000, ,000, Book Price Unrealized Gain/Loss Modified Duration Years To COUNTY OF RIVERISIDE TREASURER-TAX COLLECTOR 9

10 Month End Portfolio Holdings Date Yield To Par CUSIP Description Coupon ZZ5 TEXAS ST 10/01/ ,500, ,500, ,500, CXT2 CALIFORNIA STATE 11/01/ ,960, ,014, ,014, CFD7 CALIFORNIA STATE 11/01/ ,000, ,062, ,062, CFD7 CALIFORNIA STATE 11/01/ ,000, ,020, ,020, HV9 OHIO STATE 05/01/ ,215, ,268, ,268, HW7 OHIO STATE 05/01/ ,535, ,597, ,597, JG2 HAWAII STATE 04/01/ ,990, ,990, ,990, JH0 HAWAII STATE 04/01/ ,055, ,055, ,055, JE7 HAWAII STATE 04/01/ ,890, ,896, ,896, JF4 HAWAII STATE 04/01/ ,925, ,933, ,933, RUK6 RHODE ISLAND STATE 05/01/ ,595, ,607, ,607, RUJ9 RHODE ISLAND STATE 05/01/ ,580, ,580, ,580, RUM2 RHODE ISLAND STATE 05/01/ ,660, ,670, ,670, RUL4 RHODE ISLAND STATE 05/01/ ,625, ,636, ,636, CP79 CALIFORNIA STATE 04/01/ ,290, ,120, ,120, CP61 CALIFORNIA STATE 04/01/ ,245, ,295, ,295, H5 GEORGIA STATE 07/01/ ,110, ,247, ,247, L6 GEORGIA STATE 07/01/ ,825, ,254, ,254, J1 GEORGIA STATE 07/01/ ,345, ,602, ,602, K8 GEORGIA STATE 07/01/ ,580, ,943, ,943, ZS4 ARKANSAS STATE 06/01/ ,810, ,139, ,139, ZT2 ARKANSAS STATE 06/01/ ,470, ,837, ,837, ZR6 ARKANSAS STATE 06/01/ ,015, ,039, ,039, ,105, ,812, ,812, COMM PAPER 89233GLM6 TOYOTA MOTOR CORP 11/21/ ,000, ,660, ,966, , GKC7 NESTLE 10/12/ ,264, ,223, ,262, , GKC7 NESTLE 10/12/ ,000, ,918, ,996, , GP65 NESTLE 02/06/ ,000, ,832, ,868, , GN91 NESTLE 01/09/ ,000, ,864, ,905, , GL95 TOYOTA 11/09/ ,000, ,916, ,974, , GPD2 TOYOTA 02/13/ ,000, ,857, ,916, , GSC9 NESTLE 05/12/ ,000, ,736, ,718, , GSB1 NESTLE 05/11/ ,000, ,843, ,831, , EKX4 WAL-MART STORES INC 10/31/ ,000, ,976, ,980, , EKQ9 WAL-MART STORES INC 10/24/ ,000, ,982, ,984, , ELE5 WAL-MART STORES INC 11/14/ ,550, ,539, ,541, , EKQ9 WAL-MART STORES INC 10/24/ ,000, ,994, ,995, ,814, ,347, ,941, , Total Fund ,916,003, ,911,244, ,916,650, ,405, Book Price Unrealized Gain/Loss Modified Duration Years To Grand Total ,916,003, ,911,244, ,916,650, ,405, COUNTY OF RIVERISIDE TREASURER-TAX COLLECTOR 10

11 Full Compliance The Treasurer s Pooled Investment Fund was in FULL COMPLIANCE with the Treasurer s Statement of Investment Policy. The County s Investment Policy is more restrictive than the California Government Code. This policy is reviewed annually by the County s Investment Oversight Committee and approved by the County Board of Supervisors. GOVERNMENT CODE COUNTY INVESTMENT POLICY Maximum Authorized S&P/ Maximum Investment Category % Limit Moody's Authorized % Limit S&P/ Moody's Actual % MUNICIPAL BONDS 5 YEARS NO LIMIT NA 3 YEARS 15% AA-/Aa3/AA- 6.46% (MUNI) U.S. TREASURIES 5 YEARS NO LIMIT NA 5 YEARS 100% NA 8.11% LOCAL AGENCY 5 YEARS NO LIMIT NA 3 YEARS 2.5% INVESTMENT 0.01% OBLIGATIONS (LAO) GRADE FEDERAL AGENCIES 5 YEARS NO LIMIT AAA 5 YEARS 100% NA 62.10% COMMERCIAL PAPER (CP) 270 DAYS 40% A1/P1 270 DAYS 40% A1/P1/F1 8.11% CERTIFICATE & TIME 5 YEARS 30% NA 1 YEAR 25% Combined A1/P1/F1 0.00% DEPOSITS (NCD & TCD) REPURCHASE 1 YEARS NO LIMIT NA 45 DAYS 40% max, 25% in term A1/P1/F1 0.00% AGREEMENTS (REPO) repo over 7 days REVERSE REPOS 92 DAYS 20% NA 60 DAYS 10% NA 0.00% MEDIUM TERM NOTES 5 YEARS 30% A 3 YEARS 20% AA/Aa2/AA 0.00% (MTNO) CALTRUST SHORT TERM FUND MONEY MARKET MUTUAL FUNDS (MMF) LOCAL AGENCY INVESTMENT FUND (LAIF) NA NA NA DAILY 1.0% NA 0.91% LIQUIDITY 60 DAYS (1) 20% AAA/Aaa DAILY 20% AAA by 2 Of % (2) LIQUIDITY RATINGS AGC. NA NA NA DAILY Max $50 million NA 0.00% LIQUIDITY CASH/DEPOSIT ACCOUNT NA NA NA NA NA NA 4.57% 1 Mutual Funds maturity may be interpreted as weighted average maturity not exceeding 60 days. 2 Or must have an investment advisor with not less than 5 years experience and with assets under management of $500,000,000. THIS COMPLETES THE REPORT REQUIREMENTS OF CALIFORNIA GOVERNMENT C0DE COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR 11

12 County of Riverside Treasurer-Tax Collector Capital s 4080 Lemon Street, 4th Floor Riverside, CA (951)