Treasurer s Pooled Investment Fund

Transcription

1 May 2016 County of Riverside Treasurer s Pooled Investment Fund C a p i t a l M a r k e t s T e a m Don Kent Treasurer-Tax Collector Jon Christensen Asst. Treasurer-Tax Collector Giovane Pizano Investment Manager Isela Licea Asst. Investment Manager I n v e s t m e n t O b j e c t i v e s 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 ($)* Month End ($) Paper Gain or Loss ($) Paper Gain or Loss (%) Yield (%) Yrs to Modified Duration May 6,945,949, ,940,509, ,439, April 7,336,685, ,329,824, ,861, March 6,319,190, ,312,840, ,350, February 6,294,402, ,289,381, ,020, January 6,691,824, ,687,643, ,181, December 7,023,488, ,028,915, (5,426,534.20) (0.08) T h e T r e a s u r e r ' s P o o l e d I n v e s t m e n t F u n d i s c o m p r i s e d o f t h e C o u n t y, S c h o o l s, S p e c i a l D i s t r i c t s, a n d o t h e r D i s c r e t i o n a r y D e p o s i t o r s.

2 Current Data Economic Indicators Release Date Indicator Consensus Actual 5/6/2016 Non-Farm Payrolls M/M change: Counts the number of paid employees working part- 200, ,000 time or full-time in the nation's business and government establishments. 5/6/2016 Employment Situation: Measures the number of unemployed as a percentage of the 4.9% 5.0% labor force. 5/26/2016 Durable Goods Orders - M/M change: Reflects the new orders placed with domestic 0.5% 3.4% manufacturers for immediate and future delivery of factory hard goods. 5/27/2016 Real Gross Domestic Product - Q/Q change: The broadest measure of aggregate 0.9% 0.8% economic activity and encompasses every sector of the economy. GDP is the country's most comprehensive economic scorecard. 5/13/2016 Consumer Confidence: Measures consumer attitudes on present economic conditions and expectations of future conditions. 5/4/2016 Factory Orders M/M change: Represents the dollar level of new orders for both durable 0.6% 1.1% and nondurable goods. 5/17/2016 Consumer Price Index - M/M change: The Consumer Price Index is a measure of the 0.3% 0.4% average price level of a fixed basket of goods and services purchased by consumers. 5/17/2016 CPI Ex Food and Energy - M/M change: CPI Ex Food and Energy excludes food and 0.2% 0.2% Stock Indices Change Dow Jones (DJIA) $ 17, $ S&P 500 Index $ 2, $ NASDAQ (NDX) $ 4, $ Commodities Change Nymex Crude $ $ 2.41 Gold (USD/OZ) $ 1, $ (77.66) US Treasury Curve (M/M) Fed Funds Target Rate Current Fed Funds Rate: % Probability for FOMC Dates: Fed Move 6/15/2016 7/27/2016 Stay at 0.25%-.50% 76.0% 47.1% Increase to 0.75% 24.0% 43.8% Increase to 1.00% 0.0% 9.1% Increase to 1.25% 0.0% 0.0% FOMC Meeting Schedule Release % Risk Assessment 16-Mar % Growth 27-Apr % Growth COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

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 0.44% Federated Prime Obligations Fund POIXX 0.37% Wells Fargo Advantage Heritage WFJXX 0.42% JP Morgan CJPXX 0.41% 1.00% 0.80% 0.60% 0.40% 0.20% Pool Yield TIMMI 0.42% 0.44% 0.44% 0.50% 0.43% 0.46% 0.50% 0.08% 0.09% 0.10% 0.11% 0.12% 0.12% 0.14% 0.55% 0.22% 0.62% 0.36% 0.66% 0.65% 0.65% 0.67% 0.40% 0.42% 0.42% 0.41% 0.00% May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Cash Flows Month Monthly Receipts Monthly Disbursements Difference Required Matured Investments Balance 06/ 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. Actual Investments Maturing 06/2016 1, , (400.00) , /2016 1, , / (230.00) / , (200.00) /2016 1, , (135.00) /2016 1, /2016 2, , , , /2017 1, , (630.00) / , (390.00) /2017 1, , /2017 1, , / , (650.00) , Available to Invest > 1 TOTALS 13, , (295.00) 1, , , , Year COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR 3

4 Asset Allocation Assets (000's) Scheduled Par Scheduled Scheduled Mkt/ Sch Yield WAL (Yr) Mat (Yr) MMKT 790, , , % 0.38% CALTRUST FND 54, , , % 0.72% DDA/PASSBK 75, , , % 0.29% LOCAL AGCY OBLIG % 1.15% US TREAS BILLS 50, , , % 0.37% US TREAS BONDS 575, , , % 0.84% FHLMC DISC NOTES 290, , , % 0.42% FHLMC BONDS 931, , , % 1.24% FNMA DISC NOTES 345, , , % 0.42% FNMA BONDS 309, , , % 1.06% FHLB DISC NOTES 884, , , % 0.49% FHLB BONDS 429, , , % 0.80% FFCB DISC NOTES 746, , , % 0.46% FFCB BONDS 551, , , % 0.59% FMAC DISC NOTES 130, , , % 0.57% FARMER MAC 83, , , % 0.61% MUNI ZER0 CPNS 23, , , % 0.57% MUNI BONDS 247, , , % 0.86% COMM PAPER 429, , , % 0.62% Totals (000's): 6,949, ,940, ,945, % 0.67% COUNTY OF RIVERSIDE TREASURER-TAX COL-

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 790, , CALTRUST FND 54, , DDA/PASSBK 75, , LOCAL AGCY OBLIG US TREAS BILLS - 25, , , US TREAS BONDS 50, , , , , , , FHLMC DISC NOTES 15, , , , FHLMC BONDS , , , , , FNMA DISC NOTES 75, , , , FNMA BONDS - 66, , , , , FHLB DISC NOTES 190, , , , FHLB BONDS 90, , , , , , , FFCB DISC NOTES 45, , , , FFCB BONDS 94, , , , , , FMAC DISC NOTES - 40, , , FARMER MAC - 25, , , , , , MUNI ZER0 CPNS - 23, , MUNI BONDS - 23, , , , , , COMM PAPER 22, , , , Totals (000's): 1,500, , ,553, , , , ,949, % 21.58% 13.92% 36.74% 7.09% 6.80% 13.87% Cumulative % 21.58% 35.50% 72.24% 79.33% 86.13% % COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR 5

6 Credit Quality Moody (000's) Par MKT/ Yield Aaa 5,784, ,776, ,780, % 0.69% Aa1 18, , , Aa2 273, , , % 0.84% % 0.64% Aa3 383, , , % 0.73% NR 489, , , % 0.48% Totals (000's): 6,949, ,940, ,945, % 0.67% MOODY S S & P S&P (000's) Par MKT/ Yield AAA 656, , , % 0.40% AA+ 5,146, ,138, ,143, % 0.72% AA 321, , , % 0.70% AA- 335, , , % 0.69% NR 489, , , % 0.48% Totals (000's): 6,949, ,940, ,945, % 0.67% COUNTY OF RIVERSIDE TREASURER-TAX COLLECTOR

7 Month End Portfolio Holdings CUSIP Fund: 1 POOL FUND Description Date Coupon Yield To Par MMKT WFJXX CALTRUST HERITAGE 06/01/ ,000, ,000, ,000, FIPXX FIDELITY PRIME 06/01/ ,000, ,000, ,000, POIXX FEDERATED PRIME 06/01/ ,000, ,000, ,000, CJPXX JP MORGAN PRIME 06/01/ ,000, ,000, ,000, FRGXX FIDELITY GOV 06/01/ ,000, ,000, ,000, WFFXX WELLS FARGO GOV 06/01/ ,000, ,000, ,000, GOFXX FEDERATED GOV 06/01/ ,000, ,000, ,000, CASH BANK OF THE WEST 06/01/ ,000, ,000, ,000, ,000, ,000, ,000, CALTRUST FND CLTR CALTRUST SHT TERM 06/01/ ,000, ,000, ,000, ,000, ,000, ,000, DDA/PASSBK CASH UB MANAGED RATE 06/01/ ,000, ,000, ,000, ,000, ,000, ,000, LOCAL AGCY OBLIG LAO US DIST COURTHOUSE 06/15/ , , , , , , US TREAS BILLS HE2 U.S. TREASURY BILL 09/15/ ,000, ,923, ,976, , GW3 U.S. TREASURY BILL 07/21/ ,000, ,939, ,991, , ,000, ,862, ,967, , US TREAS BONDS TB6 U.S. TREASURY BOND 06/30/ ,000, ,971, ,999, , WH9 U.S. TREASURY BOND 05/15/ ,000, ,077, ,036, , SC5 U.S. TREASURY BOND 01/31/ ,000, ,129, ,039, , VG2 U.S. TREASURY BOND 06/15/ ,000, ,049, ,003, , WQ9 U.S. TREASURY BOND 06/30/ ,000, ,026, ,003, , VG2 U.S. TREASURY BOND 06/15/ ,000, ,034, ,003, , VR8 U.S. TREASURY BOND 08/15/ ,000, ,050, ,012, , B74 U.S. TREASURY BOND 02/15/ ,000, ,008, ,995, , A91 U.S. TREASURY BOND 01/15/ ,000, ,095, ,022, , L81 U.S. TREASURY BOND 10/15/ ,000, ,934, ,976, , TS9 U.S. TREASURY BOND 09/30/ ,000, ,981, ,977, , H94 U.S. TREASURY BOND 02/15/ ,000, ,017, ,024, , H37 U.S. TREASURY BOND 01/15/ ,000, ,996, ,008, , XA3 U.S. TREASURY BOND 05/15/ ,000, ,981, ,032, , XA3 U.S. TREASURY BOND 05/15/ ,000, ,980, ,032, , UJ7 U.S. TREASURY BOND 01/31/ ,000, ,936, ,014, , A91 U.S. TREASURY BOND 01/15/ ,000, ,027, ,022, , UA6 U.S. TREASURY BOND 11/30/ ,000, ,854, ,928, , VE7 U.S. TREASURY BOND 05/31/ ,000, ,945, ,055, , B74 U.S. TREASURY BOND 02/15/ ,000, ,978, ,994, , H37 U.S TREASURY BOND 01/15/ ,000, ,943, ,013, , M72 U.S. TREASURY BOND 11/30/ ,000, ,974, ,025, , WW6 U.S. TREASURY BOND 07/31/ ,000, ,192, ,441, , B74 U.S. TREASURY BOND 02/15/ ,000, ,964, ,994, , WL0 U.S. TREASURY BOND 05/31/ ,000, ,110, ,350, , F62 U.S. TREASURY BOND 10/31/ ,000, ,028, ,320, , B74 U.S. TREASURY BOND 02/15/ ,000, ,003, ,997, , UR9 U.S. TREASURY BOND 02/28/ ,000, ,882, ,954, , ,000, ,178, ,281, ,103, FHLMC DISC NOTES YT4 FHLMC DISC NOTE 06/29/ ,000, ,954, ,997, , E25 FHLMC DISC NOTE 08/31/ ,000, ,901, ,974, , ZS5 FHLMC DISC NOTE 07/22/ ,000, ,943, ,988, , M26 FHLMC DISC NOTE 10/26/ ,000, ,901, ,956, , L92 FHLMC DISC NOTE 10/25/ ,000, ,901, ,956, , M75 FHLMC DISC NOTE 10/31/ ,000, ,900, ,954, , E82 FHLMC DISC NOTE 09/06/ ,000, ,916, ,971, , F73 FHLMC DISC NOTE 09/13/ ,000, ,916, ,969, , H48 FHLMC DISC NOTE 09/26/ ,000, ,912, ,966, , L35 FHLMC DISC NOTE 10/19/ ,000, ,873, ,958, , L35 FHLMC DISC NOTE 10/19/ ,000, ,920, ,958, , AE1 FHLMC DISC NOTE 01/05/ ,000, ,885, ,933, , ,000, ,928, ,584, , FHLMC BONDS 3134G3S50 FHLMC 4Yr 11/01/ ,000, ,991, ,003, , G3S50 FHLMC 4Yr 11/01/ ,625, ,629, ,626, , G5WA9 FHLMC 2YrNc1YrE 12/30/ ,000, ,000, ,089, , G7AE1 FHLMC 3YrNc1.5YrE 06/22/ ,000, ,986, ,003, , G66M0 FHLMC 3YrNc6MoE 06/22/ ,000, ,993, ,113, , EADU0 FHLMC 1.5Yr 01/27/ ,000, ,973, ,971, , EADU0 FHLMC 1.5Yr 01/27/ ,000, ,980, ,982, , G7U90 FHLMC 5YrNc3MoB 10/29/ ,000, ,000, ,015, , G7U33 FHLMC 5YrNc3MoB 10/29/ ,000, ,000, ,015, , G7V24 FHLMC 2YrNc6MoB 10/27/ ,000, ,000, ,986, , G7V73 FHLMC 5YrNc3MoB 10/29/ ,000, ,000, ,980, , G7Z20 FHLMC 3YrNc3MoB 10/29/ ,000, ,000, ,000, G7V73 FHLMC 5YrNc3MoB 10/29/ ,000, ,000, ,970, , EADU0 FHLMC 1.25Yr 01/27/ ,000, ,015, ,971, , G72T7 FHLMC 3YrNc6MoB 10/29/ ,000, ,000, ,000, G72T7 FHLMC 3YrNc6MoB 10/29/ ,000, ,000, ,001, , G73L3 FHLMC 2YrNc6MoE 11/16/ ,000, ,000, ,973, , G7S77 FHLMC 5YrNc6MoB 10/29/ ,000, ,000, ,997, , G8DK2 FHLMC 3.5YrNc1YrE 06/17/ ,000, ,000, ,004, , G8DD8 FHLMC 2.5YrNc6MoE 06/22/ ,000, ,000, ,003, , G8EA3 FHLMC 3.5YrNc6MoE 06/28/ ,000, ,000, ,007, , EADX4 FHLMC 2Yr 12/15/ ,000, ,979, ,034, , G8EL9 FHLMC 3.25YrNc6MoE 03/29/ ,000, ,000, ,004, , G8FH7 FHLMC 4YrNC6MoB 12/30/ ,000, ,000, ,004, , G8FD6 FHLMC 5YrNc6MoB 01/28/ ,000, ,000, ,009, , G8GU7 FHLMC 4YrNc6MoB 01/29/ ,200, ,200, ,209, , G8HH5 FHLMC 5YrNc6MoB 01/29/ ,000, ,000, ,000, G8J26 FHLMC 3YrNc6MoB 02/19/ ,500, ,500, ,500, G8K99 FHLMC 3.75YrNc6MoB 11/25/ ,000, ,000, ,000, G8LG2 FHLMC 13MoNc6MoE 03/09/ ,000, ,000, ,997, , Price Unrealized Gain/Loss Modified Duration Years To COUNTY OF RIVERISIDE TREASURER-TAX COLLECTOR 7

8 Month End Portfolio Holdings Date Yield To Par CUSIP Description Coupon 3134G8LG2 FHLMC 13MoNc6MoE 03/09/ ,000, ,000, ,997, , G8LU1 FHLMC 5YrNc3MoB 02/26/ ,000, ,000, ,904, , G8L49 FHLMC 1.5YrNc3Mob 08/25/ ,000, ,000, ,998, , G8KU2 FHLMC 5YrNc6MoB 02/26/ ,000, ,000, ,973, , G8L31 FHLMC 5YrNc6MoB 02/26/ ,000, ,000, ,994, , G8L64 FHLMC 2.5YrNc1YrE 08/24/ ,000, ,000, ,987, , G8N70 FHLMC 5YrNc3MoB 03/30/ ,000, ,000, ,999, G8N62 FHLMC 3.75YrNc3MoB 11/26/ ,000, ,994, ,998, , G8QE2 FHLMC 3YrNc1YrE 03/29/ ,000, ,000, ,010, , G8QB8 FHLMC 3YrNc1YrE 03/29/ ,000, ,000, ,001, , G8PW3 FHLMC 4YrNc3MoB 03/30/ ,000, ,000, ,001, , G8QQ5 FHLMC 5YrNc6MoB 03/30/ ,000, ,000, ,998, , G3FV2 FHLMC 5YrNc6MoB 03/30/ ,000, ,000, ,002, , G8S75 FHLMC 5YrNc3MoB 03/30/ ,000, ,000, ,000, G8TG4 FHLMC 3.5YrNc6MoE 10/11/ ,000, ,000, ,013, , G8T82 FHLMC 3YrNc6MoE 04/12/ ,000, ,000, ,015, , G8TU3 FHLMC 2YrNc6MoB 10/04/ ,000, ,000, ,983, , G8VG1 FHLMC 5YrNc6MoB 04/14/ ,000, ,000, ,008, , A7H40 FHLMC 2.75YrNc3MoB 12/28/ ,500, ,500, ,482, , G8V97 FHLMC 2.25YrNc6MoB 06/29/ ,850, ,850, ,847, , G8WC9 FHLMC 1.5YrNc6MoB 10/13/ ,000, ,000, ,991, , G8VB2 FHLMC 5YrNc6MoB 04/21/ ,835, ,835, ,817, , G8WC9 FHLMC 1.5YrNc6MoB 10/13/ ,000, ,000, ,994, , G8X20 FHLMC 4YrNc6MoB 07/28/ ,000, ,000, ,946, , G8YS2 FHLMC 1.5YrNc3MoB 10/27/ ,000, ,000, ,979, , G8X61 FHLMC 1.5YrNc6MoB 10/27/ ,000, ,000, ,991, , G8XU8 FHLMC 5YrNc6MoB 04/28/ ,500, ,500, ,458, , G8XM6 FHLMC 5YrNc6MoB 04/28/ ,000, ,000, ,981, , G9AN7 FHLMC 4YrNc6MoB 08/10/ ,000, ,000, ,969, , G9BF3 FHLMC 3.5YrNc3MoB 11/12/ ,425, ,425, ,405, , G8YZ6 FHLMC 5YrNc6MoB 04/28/ ,700, ,700, ,662, , G9CH8 FHLMC 5YrNc3MoB 05/26/ ,000, ,000, ,004, , G9EY9 FHLMC 5YrNc3MoB 05/17/ ,000, ,000, ,009, , G9EX1 FHLMC 5YrNc3MoB 05/26/ ,000, ,000, ,025, , G9FA0 FHLMC 5YrNc3MoB 05/26/ ,380, ,380, ,381, , G9JW8 FHLMC 5YrNc3MoB 05/25/ ,000, ,000, ,886, , ,515, ,433, ,206, , FNMA DISC NOTES YB5 FNMA DISC NOTE 06/13/ ,000, ,926, ,998, , YB5 FNMA DISC NOTE 06/13/ ,000, ,952, ,998, , YB5 FNMA DISC NOTE 06/13/ ,000, ,921, ,998, , C45 FNMA DISC NOTE 08/17/ ,000, ,940, ,978, , ZN8 FNMA DISC NOTE 07/18/ ,000, ,950, ,989, , G90 FNMA DISC NOTE 09/23/ ,000, ,927, ,966, , C52 FNMA DISC NOTE 08/18/ ,000, ,939, ,977, , ZN8 FNMA DISC NOTE 07/18/ ,500, ,469, ,493, , ZS7 FNMA DISC NOTE 07/22/ ,000, ,953, ,988, , K38 FNMA DISC NOTE 10/11/ ,000, ,862, ,960, , K46 FNMA DISC NOTE 10/12/ ,000, ,871, ,960, , M28 FNMA DISC NOTE 10/26/ ,217, ,088, ,172, , YL3 FNMA DISC NOTE 06/22/ ,000, ,976, ,998, , AS2 FNMA DISC NOTE 01/17/ ,000, ,946, ,949, , BA0 FNMA DISC NOTE 01/25/ ,000, ,944, ,947, , BA0 FNMA DISC NOTE 01/25/ ,000, ,907, ,912, , ,717, ,580, ,289, , FNMA BONDS 3136G14F3 FNMA 3.5YrNc6MoB 12/27/ ,000, ,006, ,003, , G0XP3 FNMA 1Yr 07/05/ ,000, ,991, ,000, , EESQ4 FNMA 1.25Yr 09/06/ ,255, ,265, ,256, , G0YE7 FNMA 1.25Yr 08/26/ ,000, ,044, ,008, , G0XP3 FNMA 10.5Mo 07/05/ ,597, ,597, ,597, G2PM3 FNMA 5YrNc6MoB 10/29/ ,000, ,000, ,986, , G2QT7 FNMA 5YrNc6MoB 10/29/ ,855, ,855, ,857, , G2SX6 FNMA 3YrNc1YrE 11/28/ ,000, ,000, ,004, , G2SX6 FNMA 3YrNc1YrE 11/28/ ,000, ,000, ,004, , G2SX6 FNMA 3YrNc1YrE 11/28/ ,000, ,000, ,004, , G2V61 FNMA 5YrNc6MoB 12/10/ ,000, ,000, ,001, , G2WL7 FNMA 4YrNc6MoB 04/29/ ,000, ,000, ,001, , G2W45 FNMA 5YrNc6MoB 01/29/ ,770, ,770, ,771, , G2X44 FNMA 5YrNc6MoB 02/19/ ,500, ,500, ,501, , G2XR3 FNMA 4YrNc6MoB 02/19/ ,000, ,000, ,968, , G2YT8 FNMA 5YrNc6MoB 02/26/ ,000, ,000, ,968, , G2ZB6 FNMA 4YrNC6MoB 03/09/ ,000, ,000, ,988, , G3BX2 FNMA 4YrNc6MoB 03/09/ ,000, ,000, ,973, , G3EH4 FNMA 4YrNc6MoB 03/30/ ,000, ,000, ,002, , G3EE1 FNMA 3YrNc6MoB 03/29/ ,000, ,000, ,001, , G3DV4 FNMA 5YrNc6MoB 03/30/ ,000, ,000, ,973, , G3EM3 FNMA 3.75YrNc6MoB 12/30/ ,000, ,000, ,997, , G3EM3 FNMA 3.75YrNc6MoB 12/30/ ,000, ,000, ,997, , G3HL2 FNMA 4YrNc6MoB 04/07/ ,000, ,000, ,999, ,977, ,030, ,873, , FHLB DISC NOTES XQ7 FHLB DISC NOTE 06/02/ ,000, ,923, ,999, , XR5 FHLB DISC NOTE 06/03/ ,000, ,921, ,999, , ZK8 FHLB DISC NOTE 07/15/ ,000, ,963, ,996, , E88 FHLB DISC NOTE 09/06/ ,000, ,886, ,973, , ZA0 FHLB DISC NOTE 07/06/ ,000, ,918, ,992, , C23 FHLB DISC NOTE 08/15/ ,000, ,938, ,981, , YV5 FHLB DISC NOTE 07/01/ ,000, ,943, ,993, , ZK8 FHLB DISC NOTE 07/15/ ,000, ,939, ,990, , YZ6 FHLB DISC NOTE 07/05/ ,000, ,942, ,992, , ZA0 FHLB DISC NOTE 07/06/ ,000, ,942, ,992, , F79 FHLB DISC NOTE 09/13/ ,000, ,898, ,971, , L56 FHLB DISC NOTE 10/21/ ,783, ,658, ,743, , YJ2 FHLB DISC NOTE 06/20/ ,000, ,930, ,995, , YK9 FHLB DISC NOTE 06/21/ ,000, ,923, ,995, , YN3 FHLB DISC NOTE 06/24/ ,000, ,922, ,995, , YJ2 FHLB DISC NOTE 06/20/ ,000, ,926, ,995, , J34 FHLB DISC NOTE 10/03/ ,000, ,870, ,965, , YU7 FHLB DISC NOTE 06/30/ ,000, ,934, ,993, , 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 XU8 FHLB DISC NOTE 06/06/ ,000, ,967, ,999, , YL7 FHLB DISC NOTE 06/22/ ,000, ,964, ,996, , BB1 FHLB DISC NOTE 01/26/ ,000, ,872, ,926, , E21 FHLB DISC NOTE 08/31/ ,000, ,936, ,975, , BB1 FHLB DISC NOTE 01/26/ ,000, ,901, ,947, , AE1 FHLB DISC NOTE 01/05/ ,000, ,964, ,981, , AK2 FHLB DISC NOTE 01/10/ ,000, ,920, ,959, , AK2 FHLB DISC NOTE 01/10/ ,000, ,920, ,959, , K40 FHLB DISC NOTE 10/12/ ,000, ,941, ,963, , BQ8 FHLB DISC NOTE 02/08/ ,000, ,904, ,925, , BK1 FHLB DISC NOTE 02/03/ ,000, ,976, ,981, , F87 FHLB DISC NOTE 09/14/ ,000, ,954, ,971, , AE6 FHLB DISC NOTE 01/05/ ,000, ,980, ,986, , AJ5 FHLB DISC NOTE 01/09/ ,000, ,899, ,932, , AS5 FHLB DISC NOTE 01/17/ ,000, ,898, ,929, , AS5 FHLB DISC NOTE 01/17/ ,000, ,898, ,929, , BZ8 FHLB DISC NOTE 02/17/ ,000, ,882, ,903, , AV8 FHLB DISC NOTE 01/20/ ,000, ,939, ,957, , AU0 FHLB DISC NOTE 01/19/ ,000, ,901, ,929, , BX3 FHLB DISC NOTE 02/15/ ,000, ,889, ,904, , CD6 FHLB DISC NOTE 02/21/ ,000, ,833, ,863, , CD6 FHLB DISC NOTE 02/21/ ,000, ,883, ,902, , ,783, ,616, ,396, ,779, FHLB BONDS CP4 FHLB 5YrNc3MoB 06/19/ , , , CP4 FHLB 5YrNc3MoB 06/19/ , , , CP4 FHLB 5YrNc3MoB 06/19/ , , , CP4 FHLB 5YrNc3MoB 06/19/ ,500, ,500, ,498, , EP2 FHLB 5YrNc3MoB 06/20/ ,719, ,719, ,719, R9 FHLB 1.25Yr 06/24/ ,000, ,002, ,001, A5FW4 FHLB 1YrNc7MoE 06/17/ ,000, ,000, ,000, A5FQ7 FHLB 1Yr 06/17/ ,000, ,000, ,000, A5FQ7 FHLB 1Yr 06/17/ ,000, ,000, ,000, A5GD5 FHLB 1Yr 06/30/ ,000, ,985, ,999, , A5M30 FHLB 2YrNc1YrE 07/06/ ,000, ,000, ,000, A64L8 FHLB 1Yr 07/28/ ,700, ,697, ,699, , A66H5 FHLB 2.5YrNc1YrE 02/26/ ,000, ,000, ,999, A67G6 FHLB 3.25YrNc1YrE 11/26/ ,000, ,996, ,017, , A6BD8 FHLB 1YrNc7MoE 09/09/ ,000, ,004, ,000, , A6R74 FHLB 1YrNc3MoB 11/25/ ,000, ,000, ,984, , A6V95 FHLB 2Yr 12/01/ ,000, ,000, ,017, , A6VS3 FHLB 1Yr 12/14/ ,370, ,360, ,384, , A6W94 FHLB 3YrNc1YrE 12/28/ ,000, ,000, ,028, , A6WU7 FHLB 3YrNc6MoB 12/28/ ,000, ,000, ,001, , A6XB8 FHLB 5YrNc6MoB 03/30/ ,000, ,000, ,003, , A6VT1 FHLB 4YrNc6MoB 12/30/ ,000, ,000, ,002, , A6ZW0 FHLB 3.25YrNc6MoB 04/29/ ,000, ,000, ,007, , A7BY0 FHLB 1YrNc3MoB 02/17/ ,000, ,000, ,991, , A1NN4 FHLB 1.5Yr 05/24/ ,000, ,046, ,018, , A7H57 FHLB 2.5YrNc1YrE 09/28/ ,000, ,000, ,003, , A7GQ2 FHLB 2.5YrNc6MoE 09/28/ ,000, ,000, ,004, , A7GJ8 FHLB 1.75YrNc3MoB 12/29/ ,000, ,998, ,000, , A7PV1 FHLB 5Yr 04/05/ ,000, ,996, ,974, , A7PU3 FHLB 4Yr 04/06/ ,000, ,996, ,955, , A7LL7 FHLB 5YrNc6MoB 03/30/ ,250, ,250, ,236, , A7TT2 FHLB 1YrNc3MoB 04/28/ ,000, ,000, ,982, , A7TT2 FHLB 1YrNc3MoB 04/28/ ,000, ,000, ,989, , A7TT2 FHLB 1YrNc3MoB 04/28/ ,000, ,000, ,993, , ,789, ,804, ,764, , FFCB DISC NOTES XW5 FFCB DISC NOTE 06/08/ ,086, ,067, ,085, , ZV5 FFCB DISC NOTE 07/25/ ,000, ,940, ,992, , ZV5 FFCB DISC NOTE 07/25/ ,000, ,900, ,987, , XU9 FFCB DISC NOTE 06/06/ ,000, ,954, ,999, , XV7 FFCB DISC NOTE 06/07/ ,914, ,839, ,913, , E30 FFCB DISC NOTE 09/01/ ,000, ,888, ,973, , E30 FFCB DISC NOTE 09/01/ ,000, ,889, ,973, , F70 FFCB DISC NOTE 09/13/ ,000, ,832, ,939, , D80 FFCB DISC NOTE 08/29/ ,000, ,926, ,974, , F62 FFCB DISC NOTE 09/12/ ,000, ,921, ,970, , ZX1 FFCB DISC NOTE 07/27/ ,000, ,939, ,987, , ZX1 FFCB DISC NOTE 07/27/ ,000, ,939, ,987, , ZZ6 FFCB DISC NOTE 07/29/ ,000, ,939, ,986, , E97 FFCB DISC NOTE 09/07/ ,000, ,923, ,971, , ZA1 FFCB DISC NOTE 07/06/ ,500, ,479, ,496, , K58 FFCB DISC NOTE 10/13/ ,000, ,890, ,960, , ZY9 FFCB DISC NOTE 07/28/ ,000, ,927, ,987, , K90 FFCB DISC NOTE 10/17/ ,000, ,950, ,983, , K90 FFCB DISC NOTE 10/17/ ,000, ,877, ,958, , K90 FFCB DISC NOTE 10/17/ ,000, ,926, ,975, , U40 FFCB DISC NOTE 12/23/ ,000, ,874, ,920, , AT5 FFCB DISC NOTE 01/18/ ,000, ,933, ,948, , CE6 FFCB DISC NOTE 02/22/ ,000, ,946, ,954, , AT5 FFCB DISC NOTE 01/18/ ,000, ,895, ,914, , BY3 FFCB DISC NOTE 02/16/ ,000, ,880, ,888, , AM0 FFCB DISC NOTE 01/12/ ,000, ,941, ,950, , AM0 FFCB DISC NOTE 01/12/ ,000, ,960, ,966, , AM0 FFCB DISC NOTE 01/12/ ,000, ,941, ,950, , AM0 FFCB DISC NOTE 01/12/ ,000, ,960, ,966, , BJ6 FFCB DISC NOTE 02/02/ ,000, ,912, ,915, , BJ6 FFCB DISC NOTE 02/02/ ,000, ,956, ,957, , BJ6 FFCB DISC NOTE 02/02/ ,000, ,934, ,936, , BJ6 FFCB DISC NOTE 02/02/ ,000, ,934, ,936, , BC1 FFCB DISC NOTE 01/27/ ,000, ,918, ,929, , BC1 FFCB DISC NOTE 01/27/ ,000, ,919, ,929, , BV9 FFCB DISC NOTE 02/13/ ,000, ,888, ,889, BR8 FFCB DISC NOTE 02/09/ ,000, ,893, ,891, , ,500, ,645, ,945, ,299, FFCB BONDS 3133EDXQ0 FFCB 5Yr 10/10/ ,000, ,000, ,912, , 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 3133EDXQ0 FFCB 5Yr 10/10/ ,000, ,000, ,853, , EDXQ0 FFCB 5Yr 10/10/ ,000, ,997, ,941, , EEVB3 FFCB 1.25Yr 06/27/ ,000, ,000, ,003, , EEZB9 FFCB 1.25Yr 09/16/ ,000, ,000, ,999, EEC40 FFCB NOTES 06/24/ ,000, ,996, ,000, , EEZR4 FFCB 2Yr 04/21/ ,000, ,000, ,988, , EEC40 FFCB 1.25Yr 06/24/ ,000, ,996, ,000, , EEC40 FFCB 1.25Yr 06/24/ ,000, ,995, ,000, , EEJ43 FFCB 2Yr 05/08/ ,000, ,991, ,986, , EDNS7 FFCB 1Yr 06/20/ ,000, ,003, ,000, , EE3Y4 FFCB 1.5Yr 01/13/ ,000, ,000, ,989, , EE6A3 FFCB 1.5Yr 02/06/ ,000, ,000, ,992, , EE6A3 FFCB 1.5Yr 02/06/ ,000, ,000, ,992, , EE6A3 FFCB 1.5Yr 02/06/ ,000, ,989, ,989, EFHH3 FFCB 3YrNc3MoA 10/15/ ,000, ,000, ,987, , EFEM5 FFCB 2Yr 09/25/ ,250, ,371, ,249, , EEN48 FFCB 2Yr 05/22/ ,650, ,669, ,631, , EFJK4 FFCB 1.25Yr 01/13/ ,000, ,994, ,964, , EFKR7 FFCB 1.5 Yr 04/21/ ,000, ,987, ,956, , EFLN5 FFCB 1Yr 11/28/ ,000, ,000, ,991, , EFLM7 FFCB 1.5Yr 03/27/ ,000, ,000, ,987, , EFNK9 FFCB 2Yr 02/09/ ,000, ,000, ,992, , EFNK9 FFCB 2Yr 02/09/ ,000, ,000, ,990, , EFQJ9 FFCB 3Yr 11/23/ ,000, ,006, ,985, , EFE52 FFCB 3Yr 02/25/ ,000, ,000, ,016, , EFE52 FFCB 3Yr 02/25/ ,000, ,000, ,005, , EFM61 FFCB 2.5Yr 09/17/ ,000, ,000, ,005, , EFP84 FFCB 3 Yr 04/04/ ,000, ,000, ,977, , EFT56 FFCB 4Yr 04/01/ ,000, ,000, ,967, , EFV38 FFCB 3YrNc1YrA 03/29/ ,310, ,310, ,283, , EF2Z9 FFCB 4Yr 04/13/ ,000, ,000, ,952, , EF5D5 FFCB 4YrNc1YrA 04/27/ ,700, ,700, ,689, , EGCE3 FFCB 5Yr 05/25/ ,000, ,000, ,985, , EGCE3 FFCB5Yr 05/25/ ,000, ,000, ,985, , ,910, ,009, ,255, , FMAC DISC NOTES 31315KD49 FAMCA DISC NOTE 08/25/ ,000, ,882, ,961, , KK90 FAMCA DISC NOTE 10/17/ ,000, ,937, ,983, , KJ35 FAMCA DISC NOTE 10/03/ ,000, ,918, ,977, , KJ35 FAMCA DISC NOTE 10/03/ ,000, ,864, ,963, , LAT5 FAMCA DISC NOTE 01/18/ ,000, ,884, ,931, , LBA5 FAMCA DISC NOTE 01/25/ ,000, ,923, ,929, , ,000, ,410, ,746, , FARMER MAC 31315P2K4 FAMCA 3Yr 09/05/ ,850, ,850, ,876, , X0AY7 FAMCA 1Yr 07/07/ ,000, ,000, ,003, , X0CY5 FAMCA 1Yr 02/23/ ,000, ,000, ,985, , X0ED9 FAMCA 3Yr 03/19/ ,000, ,000, ,999, X0EV9 FAMCA 3Yr 07/26/ ,000, ,000, ,998, , ,850, ,850, ,863, , MUNI ZER0 CPNS 91411SGF1 UC REGENTS 07/15/ ,000, ,961, ,983, , ,000, ,961, ,983, , MUNI BONDS 20772JL34 CONNECTICUT ST 08/01/ ,000, ,613, ,613, JK92 CONNECTICUT ST 08/01/ ,000, ,304, ,304, DSZ2 WASHINGTON STATE 08/01/ ,885, ,885, ,885, A33 TEXAS ST 10/01/ ,000, ,000, ,000, 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, Price Unrealized Gain/Loss Modified Duration Years To JF RUK6 HAWAII STATE 04/01/ ,925, ,933, ,933, RHODE ISLAND STATE 05/01/ ,595, ,607, ,607, RUJ9 RHODE ISLAND STATE 05/01/ ,580, ,580, ,580, RUM RUL CP CP61 RHODE ISLAND STATE 05/01/ ,660, ,670, ,670, RHODE ISLAND STATE 05/01/ ,625, ,636, ,636, CALIFORNIA STATE 04/01/ ,290, ,120, ,120, CALIFORNIA STATE 04/01/ ,245, ,295, ,295, ,950, ,053, ,053, COMM PAPER 89233GLM6 TOYOTA MOTOR CORP 11/21/ ,000, ,660, ,860, , GJT4 TOYOTA MOTOR CORP 09/27/ ,000, ,810, ,921, , GH31 NESTLE 08/03/ ,000, ,963, ,984, , GFQ4 TOYOTA MOTOR CORP 06/24/ ,000, ,974, ,994, , GH49 NESTLE 08/04/ ,000, ,943, ,976, , GH49 NESTLE 08/04/ ,000, ,943, ,976, , GJ13 NESTLE 09/01/ ,000, ,930, ,961, , GJ13 NESTLE 09/01/ ,000, ,953, ,974, , GKC7 NESTLE 10/12/ ,264, ,223, ,235, , GKC7 NESTLE 10/12/ ,000, ,918, ,942, , GH49 NESTLE 08/04/ ,700, ,612, ,660, , GHF6 TOYOTA MOTOR CORP 08/15/ ,000, ,934, ,955, , GHF6 TOYOTA MOTOR CORP 08/15/ ,000, ,942, ,960, , ,964, ,810, ,402, , Total Fund ,949,290, ,940,509, ,945,949, ,439, Grand Total ,949,290, ,940,509, ,945,949, ,439, 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- 3.92% (MUNI) U.S. TREASURIES 5 YEARS NO LIMIT NA 5 YEARS 100% NA 9.01% LOCAL AGENCY 5 YEARS NO LIMIT NA 3 YEARS 2.5% INVESTMENT 0.00% OBLIGATIONS (LAO) GRADE FEDERAL AGENCIES 5 YEARS NO LIMIT AAA 5 YEARS 100% NA 67.65% COMMERCIAL PAPER (CP) 270 DAYS 40% A1/P1 270 DAYS 40% A1/P1/F1 6.18% 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 0.78% 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 1.08% 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 13

12 C ounty of Riverside T reasurer-tax Collector Ca pita l s 4080 Lemon Stre e t, 4th Floor R i verside, CA (951)