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Home My WebLink About0003_2_Investment Report - Exhibit ACITY OF LAKE ELSINORE INVESTMENT REPORT BANK DEPOSITS OUTSTANDING BOOK CASH ACCOUNTS BALANCE IN TRANSIT CHECKS BALANCE Bank Accounts: General Checking Account 2,965,408$ 413,698$ (1,313,526)$ 2,065,580$ Cash On Hand: Cashier Drawers #1 & #2 - - - 300 City of Lake Elsinore Petty Cash Fund - - - 1,000 Total Cash Accounts 2,965,408 413,698 (1,313,526) 2,066,880 INVESTMENTS City Investments: City Local Agency Investment Fund 22,542,326 - 22,542,326 City Local Agency Investment Fund for the PFA - - - - City CAMP Investments: CAMP Pool Account 56,643 - - 56,643 U.S. Treasury Bond / Note 10,433,804 - - 10,433,804 Municipal Bond / Note 290,464 - - 290,464 Federal Agency Collateralized Mortgage Obligation 527,901 - - 527,901 Federal Agency Bond / Note 7,683,131 - - 7,683,131 Corporate Note 6,397,224 - - 6,397,224 Certificate of Deposit 4,674,552 - - 4,674,552 Housing CAMP Investments: Housing CAMP Pool Account 14,513 - - 14,513 Housing U.S. Treasury Bond / Notes 1,683,598 - - 1,683,598 Housing Municipal Bond / Notes 30,084 - - 30,084 Housing Federal Agency Collateralized Mortgage 95,551 - - 95,551 Housing Federal Agency Bond / Notes 1,361,048 - - 1,361,048 Housing Corporate Notes 1,418,403 - - 1,418,403 Housing Certificate of Deposit 500,000 - - 500,000 Successor Investments: Successor Local Agency Investment Fund 9,503,663 - - 9,503,663 Successor CAMP Investments: Successor CAMP Pool Account 21,140 - - 21,140 Successor U.S. Treasury Bond / Notes 1,832,796 - - 1,832,796 Successor Municipal Bond / notes 30,084 - - 30,084 Successor Federal Agency Collaterized Mortgage 95,551 - - 95,551 Successor Federal Agency Bond / Notes 1,608,343 - - 1,608,343 Successor Corporate Notes 1,220,559 - - 1,220,559 Successor Certificate of Deposit 500,000 - - 500,000 Sub-total Investments 72,521,375 - - 72,521,375 Market Value Adjustment: Unrealized Gain/ (Loss) at 06-30-16 City 441,611 - - 441,611 Unrealized Gain/ (Loss) at 06-30-16 SARDA 70,791 - - 70,791 Total Unrealized Gain/ (Loss) at 06-30-16 per GASB 31 512,402 - - 512,402 Total Investments 73,033,777 - - 73,033,777 Total Pooled Cash and Investments 75,999,186$ 413,698$ (1,313,526)$ 75,100,657$ TOTAL POOLED CASH AND INVESTMENTS 75,100,657$ I certify that this report accurately reflects all pooled investments and it is in conformity with the investment policy as approved by the City Council on June 16, 2016. A copy of this policy is available in the office of the City Clerk. The pooled investments shown above provide sufficient cash flow liquidity to meet the next six months estimated expenditures. Jason P. Simpson February 21, 2017 Director of Administrative Services Date C I T Y O F L A K E E L S I N O R E INVESTMENT REPORT OF POOLED CASH AND INVESTMENTS AS OF JANUARY 31, 2017 FUND NO FUND NAME AMOUNT 100 General Fund 9,501,162$ 106 Affordable Housing In Lieu Fund 1,024,168 107 Developer Agreement Revenue 1,256,495 110 State Gas Tax Fund 1,582,702 111 TUMF C.I.P. Fund 2,719 112 Measure A Fund 1,399,159 114 SB1186 CASP Education Program Fund 6,559 116 City Hall-Public Works DIF Fund 1,279,177 117 Community Center DIF Fund 570,343 118 Lake Side Facility DIF Fund 708,600 119 Animal Shelter DIF Fund 45,600 121 T.R.I.P.-2014A 150 130 Lighting & Landscape Maintenance Fund - City-wide 66,708 135 Lighting & Landscape Maintenance Fund - Dist. No. 1 581,757 140 Geothermal Fund 20,126 155 CSA152 -- N.P.D.E.S.187,399 160 PEG Grant Fund 33,612 205 Traffic Impact Fee Fund 3,937,042 211 Storm Drain C.I.P. Fund 4,283,473 221 Quimby Park C.I.P. Fund 16,861 231 Library C.I.P. Fund 1,749,910 232 City Fire Protection Fund 145,239 254 AD 89-1 Railroad Canyon Rd. Improvement Fund 126,253 268 CFD 2006-2 Viscaya Improvement 222 300 Insurance Service 933,110 305 Information Systems Service 64,452 310 Support Service 5,327 315 Fleet Service 140,608 320 Facilities Service 577,340 331 CFD 2006-1CC Summerly Improvement Area CC 56,484 332 CFD 2006-1 Improvement Area B, Summerly 89,302 334 CFD 2015-5 Trieste - Far West Industries 19,020 336 CFD 2006-1FF Summerly Improvement Area FF 26,558 337 CFD 2016-2 Canyon Hills 9,378 345 CFD 2003-2S Improvement Area D, Canyon Hills 847,874 346 CFD 2014-1 Southshore Debt Service Fund 63,793 347 CFD 2006-1 Improvement Area A, Summerly 122,688 350 CFD 98-1 Summerhill Debt Service Fund 1,007,595 352 AD 86-1 Debt Service Fund 659,115 354 CFD 90-2 Successor RDA Debt Service Fund 1,087,005 357 CFD 2003-2 Canyon Hills Debt Service Fund 480,548 C I T Y O F L A K E E L S I N O R E POOLED CASH AND INVESTMENTS BY FUND AS OF JANUARY 31, 2017 FUND NO FUND NAME AMOUNT C I T Y O F L A K E E L S I N O R E POOLED CASH AND INVESTMENTS BY FUND AS OF JANUARY 31, 2017 366 CFD 2005-6 City Center Townhomes Debt Service Fund 150,645 368 CFD 2006-2 Viscaya Debt Service Fund 288,835 369 CFD 2004-3 Area 1 Rosetta Canyon Debt Service Fund 805,361 371 CFD 2005-1 Serenity Debt Service Fund 342,194 372 CFD 2005-2 Alberhill Ranch Debt Service Fund 706,080 374 CFD 2005-4 Lakeview Villas Debt Service Fund 49,691 375 CFD 2006-4 Tract No. 30698 & 32129 Debt Service Fund 20,506 376 CFD 2006-3 La Strada Debt Service Fund 18,722 377 CFD 2006-6 Tessara Debt Service Fund 13,601 378 CFD 2006-8 Tract No. 31957 Debt Service Fund 50,696 384 CFD 2003-2 Area B Canyon Hills Debt Service Fund 910,633 385 CFD 2004-3 Area 2 Rosetta Canyon Debt Service Fund 938,865 387 CFD 2007-5 Red Kite Debt Service Fund 69,980 388 CFD 2007-6 Holiday Inn Debt Service Fund 3,652 389 CFD 88-3 (2008A) West Lake Elsinore Debt Service Fund 1,290,178 390 CFD 2003-2 Area C Canyon Hills Debt Service Fund 394,683 392 CFD 95-1 City Center Debt Service Fund 98,018 393 AD 93-1 Debt Service Fund 775,326 394 CFD 2005-5 (2012A) Wasson Canyon Debt Service Fund 187,695 510 Successor Agency RDA Area I 1,205,573 520 Successor Agency RDA Area II 3,981,535 530 Successor Agency RDA Area III 1,704,897 540 Successor Area RDA Diamond Stadium 4,040,461 604 Endowment Trust Fund 31,536 605 Public Improvement Trust Fund 870,809 606 Mobile Source Air Polution Reduction Fund 259,816 608 Trust Deposit & Pre Paid Expense Fund 5,852,834 617 Successor Agency Housing Fund 12,159,918 620 Cost Recovery System Fund 2,869,513 631 Lake Destratification Equipment Replacement Fund 199,066 731 LEPFA 2011 Series B 2 780 LEPFA General 93,703 Total Pooled Cash & Investments 75,100,657$ DIVERSIFICATION MAXIMUM TYPES OF SECURITIES PERCENTAGE PERCENTAGE U.S. Treasury Bills 0.00%Unlimited U.S. Treasury Bond / Note 19.24%Unlimited Current Balance 13,950,198$ Municipal Bond / Note 0.48%Unlimited Current Balance 350,632$ Federal Agency Collaterized Mortgage Obligation 0.99%40.00% Current Balance 719,003$ Federal Agency Bond / Note 14.69%*Unlimited Current Balance 10,652,521$ Banker's Acceptance 0.00%40.00% Certificates of Deposit 7.82%25.00% Current Balance 5,674,552$ Negotiable Certificates of Deposit 0.00%30.00% Commercial Paper 0.00%25.00% Corporate Note 12.46%30.00% Current Balance 9,036,185$ Repurchase Agreements 0.00%Unlimited Reverse Repurchase Agreements 0.00%20.00% LAIF (Local Agency Investment Fund)44.19%*$65 Million Current Balance 32,045,989$ CAMP - Pooled Sweep Account 0.13%Unlimited Current Balance 92,296$ TOTAL 100.00%*72,521,375$ Note: Local agencies are only eligible to purchase medium term corporate notes that have a rating of "A" or better by both Moody's Investors Service, Inc., and Standard and Poor's Corporation (S & P). If a security falls below "A" by both rating agencies, then PFM Asset Management LLC will evaluate the need to sell the security prior to maturity. The CAMP Portfolio Summary and Statistics shows the credit quality held by the City's investments. *No more than 40% in any one federal agency. See CAMP Portfolio Statement for listing of agencies. *Investment in LAIF may not exceed $65 million in each agency. *Totals include the City, Housing, and Successor Agency CAMP Portfolios. FOR THE MONTH ENDING JANUARY 31, 2017 SUMMARY OF POLICY LIMITATIONS C I T Y O F L A K E E L S I N O R E Local Agency Investment Fund Yield Purchase Date Maturity Rate 0.751%Daily 24-Hour Agency Beginning Balance Net Increase/(Decrease)Ending Balance City 10,519,815$ 12,022,511$ 22,542,326$ City for the PFA 330,938$ (330,938)$ -$ Successor Agency 3,996,855$ 5,506,808$ 9,503,663$ Total Investments Held with Local Agency Investment Fund:14,847,607$ 17,198,381$ 32,045,989$ Note: Per California State Treasurer, LAIF Statute 16429.1: Separate accounts for each governmental unit shall be maintained. LAIF accounts are subject to a $65 million cap per agency. C I T Y O F L A K E E L S I N O R E LOCAL AGENCY INVESTMENT FUND TRANSACTION SUMMARY FOR THE MONTH ENDING JANUARY 31, 2017 JOHN CHIANG TREASURER STATE OF CALIFORNIA 01/09/17 0.75 0.74 185 01/10/17 0.75 0.74 185 01/11/17 0.75 0.74 187 01/12/17 0.75 0.74 186 01/13/17 0.75 0.75 186 01/14/17 0.75 0.75 186 01/15/17 0.75 0.75 186 01/16/17 0.75 0.75 186 01/17/17 0.75 0.75 182 01/18/17 0.75 0.75 181 01/19/17 0.76 0.75 183 01/20/17 0.76 0.75 183 01/21/17 0.76 0.75 183 Jan 2017 0.751% 01/22/17 0.76 0.75 183 Dec 2016 0.719% 01/23/17 0.76 0.75 180 Nov 2016 0.678% 01/24/17 0.76 0.75 181 01/25/17 0.76 0.75 180 01/26/17 0.76 0.75 179 01/27/17 0.76 0.75 184 01/28/17 0.76 0.75 184 01/29/17 0.76 0.75 184 01/30/17 0.76 0.75 181 01/31/17 0.76 0.75 180 02/01/17 0.77 0.75 188 02/02/17 0.77 0.75 193 02/03/17 0.77 0.75 194 02/04/17 0.77 0.75 194 02/05/17 0.77 0.76 194 02/06/17 0.77 0.76 194 02/07/17 0.77 0.76 194 02/08/17 0.77 0.76 194 2/8/2017 0.00001851848158529 0.999423823 Earnings Ratio: Fair Value Factor: Daily:0.74% PMIA Performance Report LAIF Performance Report Date Daily Yield* Quarter to Date Yield Average Maturity (in days)Apportionment Rate:0.68% Quarter Ending 12/31/16 Based on data available as of Quarter to Date: Average Life: View Prior Month Daily Rates PMIA Average Monthly Effective YieldsEffective Yields 0.68% *Daily yield does not reflect capital gains or losses 171 Treasuries 44.33% Mortgages 0.07% Agencies 12.67% Certificates of Deposit/Bank Notes 15.80% Time Deposits 7.17% Commercial Paper 8.93% Loans 11.03% Pooled Money Investment Account Portfolio Composition 12/31/16 $73.7 billion City Funds CAMP Account For the Month Ending January 31, 2017Account Statement - Transaction Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Opening Market Value Purchases Redemptions Change in Value Closing Market Value 28,054.91 1,545,527.72 (1,516,939.71) 0.00 $56,642.92 CAMP Pool Unsettled Trades 0.00 28.79 Cash Dividends and Income Opening Market Value Purchases Redemptions Change in Value Closing Market Value 29,766,825.54 1,512,477.66 (1,505,056.55) 16,743.35 $29,793,226.50 CAMP Managed Account Unsettled Trades 2,236.50 17,386.18 Cash Dividends and Income January 31, 2017 December 31, 2016 Asset Summary CAMP Pool 56,642.92 28,054.91 CAMP Managed Account 29,793,226.50 29,766,825.54 $29,849,869.42 $29,794,880.45 Total Asset Allocation 0.19% CAMP Pool 99.81% CAMP Managed Account Page 1 For the Month Ending January 31, 2017Managed Account Summary Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dividend Closing Market Value Redemptions Purchases Opening Market Value Closing Market Value Change in Current Value Unsettled Trades Principal Acquisitions Principal Dispositions Maturities/Calls Opening Market Value Closing Market Value Opening Market Value Account Total Total Cash Basis Earnings Plus Net Realized Gains/Losses Less Purchased Interest Related to Interest/Coupons Interest/Dividends/Coupons Received Earnings Reconciliation (Cash Basis) - Managed Account Dividends Less Beginning Accrued Interest Less Beginning Amortized Value of Securities Less Cost of New Purchases Plus Coupons/Dividends Received Plus Proceeds of Maturities/Calls/Principal Payments Plus Proceeds from Sales Ending Accrued Interest Ending Amortized Value of Securities Earnings Reconciliation (Accrual Basis) Reconciling Transactions Net Cash Contribution Security Purchases Principal Payments Coupon/Interest/Dividend Income Sale Proceeds Maturities/Calls Cash Transactions Summary- Managed Account $28,054.91 1,545,527.72 (1,516,939.71) $56,642.92 28.79 $29,766,825.54 (2,328.71) (1,502,727.84) 1,512,477.66 2,236.50 16,743.35 $29,793,226.50 $29,794,880.45 $29,849,869.42 28,625.76 (1,566.82) (9,672.76) $17,386.18 0.00 1,506,688.99 24,664.61 2,328.71 (1,514,044.48) (19,637.83) 0.00 Managed Account Total 29,962,480.92 30,019,123.84 134,544.97 1,805,898.59 2,328.71 24,664.61 (1,813,843.48) (29,953,454.13) (122,206.59) 0.00 134,544.97 3,322,838.30 2,328.71 24,664.61 (3,359,371.20) (29,981,509.04) (122,206.59) 28.79 Total Accrual Basis Earnings $40,413.60 $40,442.39 Transaction Summary - Managed AccountTransaction Summary - Money Market _______________________________________________ _______________________________________________ _____________________________________________________ Cash Balance $0.00 Closing Cash Balance Page 2 For the Month Ending January 31, 2017Portfolio Summary and Statistics CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Account Summary Percent Par Value Market ValueDescription U.S. Treasury Bond / Note 10,285,000.00 10,319,101.99 34.57 Municipal Bond / Note 290,000.00 291,224.50 0.98 Federal Agency Collateralized Mortgage Obligation 522,671.29 523,436.33 1.75 Federal Agency Bond / Note 7,695,000.00 7,602,795.98 25.47 Corporate Note 6,325,000.00 6,371,190.73 21.34 Certificate of Deposit 4,675,000.00 4,685,476.97 15.70 Managed Account Sub-Total 29,792,671.29 29,793,226.50 99.81% Accrued Interest 134,544.97 Total Portfolio 29,792,671.29 29,927,771.47 CAMP Pool 56,642.92 56,642.92 0.19 Total Investments 29,849,314.21 29,984,414.39 100.00% Unsettled Trades 300,000.00 300,061.20 Sector Allocation 15.70% Cert of Deposit 21.34% Corporate Note 1.75% Fed Agency CMO 25.47% Fed Agy Bond / Note 0.19% Mny Mkt Fund 0.98% Muni Bond / Note 34.57% US TSY Bond / Note 0 - 6 Months 6 - 12 Months 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years Over 5 Years 2.62% 6.87% 20.31% 29.84% 20.11%20.25% 0.00% Maturity Distribution Characteristics Yield to Maturity at Cost Yield to Maturity at Market Duration to Worst Weighted Average Days to Maturity 2.62 992 1.47% 1.62% Page 3 For the Month Ending January 31, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Credit Quality (S&P Ratings) 3.29% A 6.15% A+ 3.11% A- 1.92% A-1 1.93% A-1+ 1.76% AA 62.82% AA+ 15.46% AA- 1.01% AAA 0.19% AAAm 2.36% BBB+ Issuer Summary Percentof HoldingsIssuer Market Value 197,506.20 0.66 AMERICAN EXPRESS CO 579,343.55 1.94 AMERICAN HONDA FINANCE 308,955.92 1.04 APPLE INC 299,517.90 1.00 BANK OF NEW YORK CO INC 575,416.88 1.93 BANK OF NOVA SCOTIA 147,532.95 0.49 BB&T CORPORTATION 400,856.00 1.34 BERKSHIRE HATHAWAY INC 160,905.00 0.54 BURLINGTON NORTHERN SANTA FE 56,642.92 0.19 CAMP Pool 579,735.70 1.94 CANADIAN IMPERIAL BANK OF COMMERCE 766,007.09 2.57 CHEVRON CORP 575,825.97 1.93 CISCO SYSTEMS INC 405,308.57 1.36 CITIGROUP INC 3,906,900.76 13.09 FANNIE MAE 3,421,677.85 11.46 FEDERAL HOME LOAN BANKS 797,653.70 2.67 FREDDIE MAC 275,364.25 0.92 GENERAL ELECTRIC CO 299,136.90 1.00 GOLDMAN SACHS GROUP INC 575,258.75 1.93 HSBC HOLDINGS PLC 249,922.50 0.84 IBM CORP 582,197.28 1.95 JP MORGAN CHASE & CO 300,061.20 1.01 MICROSOFT CORP 579,735.70 1.94 NORDEA BANK AB 576,043.63 1.93 ROYAL BANK OF CANADA 574,174.88 1.92 SKANDINAVISKA ENSKIDA BANKEN AB 165,462.00 0.55 STATE OF CONNECTICUT 73,481.85 0.25 STATE STREET CORPORATION 599,650.80 2.01 SVENSKA HANDELSBANKEN 625,460.63 2.10 TORONTO-DOMINION BANK 200,463.40 0.67 TOYOTA MOTOR CORP 10,319,101.99 34.57 UNITED STATES TREASURY 125,762.50 0.42 UNIVERSITY OF CALIFORNIA Page 4 For the Month Ending January 31, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Percentof HoldingsIssuer Market Value 100,125.40 0.34 US BANCORP 448,678.80 1.50 WELLS FARGO & COMPANY $29,849,869.42 Total 100.00% Page 5 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par U.S. Treasury Bond / Note US TREASURY NOTES DTD 04/15/2015 0.750% 04/15/2018 294,285.51 294,696.78 662.53 294,504.49 04/27/1604/22/16AaaAA+ 295,000.00 912828K25 0.84 US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 372,601.47 374,615.02 1,544.65 375,058.59 11/14/1611/10/16AaaAA+ 370,000.00 912828D23 1.06 US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 381,558.76 383,806.45 986.54 384,156.25 11/14/1611/10/16AaaAA+ 380,000.00 912828WL0 1.06 US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 306,306.66 306,202.02 536.54 304,017.97 05/29/1505/28/15AaaAA+ 310,000.00 912828UB4 1.44 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 1,091,664.20 1,090,098.30 5,849.45 1,086,250.00 11/09/1511/05/15AaaAA+ 1,100,000.00 912828UQ1 1.55 US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 582,524.45 583,223.36 31.77 585,848.63 12/04/1512/01/15AaaAA+ 575,000.00 912828VP2 1.58 US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1,067,718.75 1,064,052.97 9,492.06 1,068,169.92 12/30/1512/28/15AaaAA+ 1,050,000.00 912828VV9 1.74 US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 842,198.28 852,369.64 3,776.52 855,553.13 02/03/1602/01/16AaaAA+ 840,000.00 912828WC0 1.35 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 151,617.15 153,480.00 519.23 154,283.20 03/04/1603/02/16AaaAA+ 150,000.00 912828A42 1.38 US TREASURY NOTES DTD 12/31/2013 2.375% 12/31/2020 384,199.13 390,597.46 787.29 393,837.89 03/31/1603/30/16AaaAA+ 375,000.00 912828A83 1.28 US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 800,562.40 812,300.66 1,237.57 814,343.75 05/31/1605/27/16AaaAA+ 800,000.00 912828N48 1.35 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 580,345.78 599,724.64 4,892.27 603,121.09 07/08/1607/06/16AaaAA+ 575,000.00 912828B90 0.92 US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 283,712.80 293,241.02 1,234.89 293,692.97 06/29/1606/27/16AaaAA+ 290,000.00 912828Q37 0.98 US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 613,916.25 612,805.08 2,207.79 612,597.66 01/05/1701/03/17AaaAA+ 625,000.00 912828Q78 1.86 Page 6 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par U.S. Treasury Bond / Note US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 1,208,719.20 1,239,444.36 4,153.85 1,243,125.00 09/02/1609/01/16AaaAA+ 1,200,000.00 912828WN6 1.22 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 326,726.40 336,405.42 2,765.19 337,200.20 10/05/1610/03/16AaaAA+ 325,000.00 912828D72 1.21 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1,030,444.80 1,027,952.38 8,720.99 1,028,042.97 12/05/1612/01/16AaaAA+ 1,025,000.00 912828D72 1.93 49,399.13 10,319,101.99 10,415,015.56 1.42 10,433,803.71 10,285,000.00 Security Type Sub-Total Municipal Bond / Note UNIV OF CAL TXBL REV BONDS DTD 04/10/2014 1.904% 05/15/2018 125,762.50 125,000.00 502.44 125,000.00 04/10/1404/04/14Aa2AA 125,000.00 91412GUV5 1.90 CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 165,462.00 165,251.77 1,230.46 165,463.65 03/25/1503/16/15Aa3AA- 165,000.00 20772JZK1 1.90 1,732.90 291,224.50 290,251.77 1.90 290,463.65 290,000.00 Security Type Sub-Total Federal Agency Collateralized Mortgage Obligation FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 135,011.21 135,415.23 174.38 136,349.51 04/30/1504/15/15AaaAA+ 135,000.00 3136ANJY4 0.83 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 125,368.46 125,692.37 197.74 126,249.99 11/30/1511/06/15AaaAA+ 125,000.00 3136AQSW1 1.20 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 263,056.66 264,323.51 360.30 265,301.65 10/30/1510/07/15AaaAA+ 262,671.29 3136AQDQ0 1.08 732.42 523,436.33 525,431.11 1.05 527,901.15 522,671.29 Security Type Sub-Total Federal Agency Bond / Note FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 893,085.30 897,411.09 2,718.75 896,616.00 08/12/1608/11/16AaaAA+ 900,000.00 3130A8PK3 0.82 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 377,768.25 376,610.76 1,083.33 378,562.50 10/23/1410/22/14AaaAA+ 375,000.00 3135G0YT4 1.39 Page 7 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Federal Agency Bond / Note FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 374,779.13 374,985.00 195.31 374,985.00 12/08/1612/07/16AaaAA+ 375,000.00 3130AAE46 1.25 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 720,579.68 723,817.04 3,121.53 723,289.00 02/23/1602/19/16AaaAA+ 725,000.00 3135G0J53 1.08 FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 373,330.13 376,871.62 1,242.19 377,257.50 08/15/1608/12/16AaaAA+ 375,000.00 3137EADZ9 0.90 FHLMC REFERENCE NOTE DTD 07/20/2016 0.875% 07/19/2019 424,323.57 429,141.44 125.42 428,959.40 07/20/1607/19/16AaaAA+ 430,000.00 3137EAEB1 0.96 FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 715,328.50 723,981.53 3,154.25 723,782.00 08/02/1607/29/16AaaAA+ 725,000.00 3135G0N33 0.93 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 715,282.83 723,833.29 3,119.01 723,608.00 08/04/1608/03/16AaaAA+ 725,000.00 3130A8Y72 0.94 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 593,473.20 599,191.79 2,483.33 599,064.00 09/02/1608/31/16AaaAA+ 600,000.00 3135G0P49 1.05 FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 394,720.40 399,022.07 1,066.67 398,928.00 10/25/1610/21/16AaaAA+ 400,000.00 3135G0R39 1.09 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 737,298.26 739,841.22 2,091.53 739,829.80 11/17/1611/16/16AaaAA+ 740,000.00 3130AA3R7 1.38 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 701,232.33 721,058.56 385.16 720,591.28 07/15/1607/14/16AaaAA+ 725,000.00 3130A8QS5 1.25 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 135,705.36 139,562.92 787.50 139,521.06 08/19/1608/17/16AaaAA+ 140,000.00 3135G0N82 1.32 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 445,889.04 458,299.79 2,587.50 458,137.00 08/19/1608/17/16AaaAA+ 460,000.00 3135G0N82 1.33 24,161.48 7,602,795.98 7,683,628.12 1.09 7,683,130.54 7,695,000.00 Security Type Sub-Total Corporate Note Page 8 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 100,125.40 100,000.00 348.33 102,136.00 07/30/1207/25/12A1A+ 100,000.00 91159HHD5 1.19 CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 149,774.55 150,000.00 257.60 150,000.00 12/05/1211/28/12Aa2AA- 150,000.00 166764AA8 1.10 CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 174,736.98 175,149.72 300.53 175,946.75 12/05/1211/29/12Aa2AA- 175,000.00 166764AA8 0.99 IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 249,922.50 249,760.29 1,501.74 248,855.00 02/08/1302/05/13Aa3AA- 250,000.00 459200HK0 1.35 BERKSHIRE HATHAWAY GLOBAL NOTE DTD 02/11/2013 1.550% 02/09/2018 400,856.00 399,882.60 2,962.22 399,444.00 02/11/1301/29/13Aa2AA 400,000.00 084670BH0 1.58 APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 308,955.92 309,707.03 757.78 308,856.10 05/03/1304/30/13Aa1AA+ 310,000.00 037833AJ9 1.08 CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 441,495.56 440,000.00 776.92 440,000.00 06/24/1306/17/13Aa2AA- 440,000.00 166764AE0 1.72 CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 272,759.67 271,216.78 2,390.63 272,565.00 09/04/1408/29/14A1AA- 270,000.00 17275RAR3 1.90 CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 303,066.30 301,702.38 2,656.25 302,817.00 09/04/1509/01/15A1AA- 300,000.00 17275RAR3 1.85 GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 49,856.15 49,895.73 266.67 49,861.00 04/25/1604/20/16A3BBB+ 50,000.00 38141GVT8 2.10 GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 249,280.75 249,879.95 1,333.33 249,840.00 04/26/1604/21/16A3BBB+ 250,000.00 38141GVT8 2.02 CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 104,732.57 104,956.83 322.88 104,945.40 06/09/1606/02/16Baa1BBB+ 105,000.00 172967KS9 2.07 AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 579,343.55 574,435.45 5,965.63 573,936.25 09/09/1409/04/14A1A+ 575,000.00 02665WAH4 2.29 Page 9 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 160,905.00 162,601.07 2,350.00 165,585.00 06/08/1606/03/16A3A 150,000.00 12189TBC7 1.48 GENERAL ELECTRIC CAP CORP NOTES DTD 01/08/2010 5.500% 01/08/2020 275,364.25 274,430.05 878.47 289,082.50 03/25/1503/20/15A1AA- 250,000.00 36962G4J0 2.05 CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 300,576.00 299,882.26 428.75 299,880.00 01/10/1701/04/17Baa1BBB+ 300,000.00 172967LF6 2.46 WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 74,779.80 75,182.18 4.48 75,288.00 03/27/1503/24/15A2A 75,000.00 94974BGF1 2.07 WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 373,899.00 376,606.83 22.40 377,621.25 02/05/1502/02/15A2A 375,000.00 94974BGF1 2.00 MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 300,061.20 299,799.00 0.00 299,799.00 02/06/1701/30/17AaaAAA 300,000.00 594918BV5 1.87 TOYOTA MOTOR CORP NOTES DTD 03/12/2015 2.150% 03/12/2020 200,463.40 201,135.70 1,660.28 201,776.00 03/27/1503/23/15Aa3AA- 200,000.00 89236TCF0 1.96 JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 582,197.28 577,052.20 1,669.10 577,857.75 09/04/1509/01/15A3A- 575,000.00 46625HLW8 2.64 BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 299,517.90 306,025.08 2,208.33 306,978.00 05/19/1605/16/16A1A 300,000.00 06406FAA1 2.00 AMERICAN EXPRESS CREDIT CORP NOTES DTD 05/05/2016 2.250% 05/05/2021 197,506.20 199,597.20 1,075.00 199,536.00 05/31/1605/25/16A2A- 200,000.00 0258M0EB1 2.30 BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 147,532.95 149,914.69 691.88 149,901.00 05/16/1605/10/16A2A- 150,000.00 05531FAV5 2.06 STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 73,481.85 74,753.96 292.50 74,716.50 05/24/1605/19/16A1A 75,000.00 857477AV5 2.03 31,121.70 6,371,190.73 6,373,566.98 1.91 6,397,223.50 6,325,000.00 Security Type Sub-Total Certificate of Deposit Page 10 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Certificate of Deposit TORONTO DOMINION BANK NY YCD DTD 06/19/2015 1.240% 06/16/2017 625,460.63 625,000.00 4,865.28 625,000.00 06/19/1506/16/15Aa1AA- 625,000.00 89113ESN7 1.25 BANK OF NOVA SCOTIA HOUSTON YCD DTD 11/09/2015 1.560% 11/06/2017 575,416.88 575,000.00 2,117.92 575,000.00 11/09/1511/06/15Aa3A+ 575,000.00 06417GAS7 1.55 SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 574,174.88 575,000.00 1,820.19 575,000.00 11/17/1511/16/15P-1A-1 575,000.00 83050FBG5 1.48 HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 575,258.75 575,000.00 10,847.38 575,000.00 11/18/1511/17/15P-1A-1+ 575,000.00 40428AR58 1.54 ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 576,043.63 575,000.00 3,855.69 575,000.00 03/15/1603/11/16Aa3AA- 575,000.00 78009NZZ2 1.69 CANADIAN IMPERIAL BANK NY CD DTD 12/05/2016 1.760% 11/30/2018 579,735.70 574,587.38 1,630.44 574,551.50 12/05/1612/01/16Aa3A+ 575,000.00 13606A5Z7 1.78 NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 579,735.70 575,000.00 1,630.44 575,000.00 12/05/1612/01/16Aa3AA- 575,000.00 65558LWA6 1.74 SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 599,650.80 600,000.00 630.00 600,000.00 01/12/1701/10/17Aa2AA- 600,000.00 86958JHB8 1.91 27,397.34 4,685,476.97 4,674,587.38 1.61 4,674,551.50 4,675,000.00 Security Type Sub-Total 29,792,671.29 30,007,074.05 1.47 134,544.97 29,962,480.92 29,793,226.50 Managed Account Sub-Total Money Market Fund CAMP Pool 56,642.92 56,642.92 0.00 56,642.92 NRAAAm 56,642.92 56,642.92 56,642.92 0.00 56,642.92 56,642.92 Money Market Sub-Total $29,849,314.21 $30,063,716.97 $134,544.97 $30,019,123.84 $29,849,869.42 1.47% $29,984,414.39 $134,544.97 Total Investments Accrued Interest Securities Sub-Total Page 11 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Bolded items are forward settling trades. Account 6025-004 Page 12 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Security Type/Description Next Call Market YTMEffective Duration U.S. Treasury Bond / Note 1.19 (411.27)(218.98) 294,285.51 99.76 MORGANST 295,000.00 912828K25US TREASURY NOTES DTD 04/15/2015 0.750% 04/15/2018 0.95 1.19 2.19 (2,013.55)(2,457.12) 372,601.47 100.70 CITIGRP 370,000.00 912828D23US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 1.31 2.19 2.28 (2,247.69)(2,597.49) 381,558.76 100.41 MORGANST 380,000.00 912828WL0US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 1.32 2.28 2.77 104.64 2,288.69 306,306.66 98.81 CITIGRP 310,000.00 912828UB4US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 1.43 2.77 2.99 1,565.90 5,414.20 1,091,664.20 99.24 CITIGRP 1,100,000.00 912828UQ1US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 1.50 2.99 3.37 (698.91)(3,324.18) 582,524.45 101.31 MERRILL 575,000.00 912828VP2US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 1.61 3.37 3.41 3,665.78 (451.17) 1,067,718.75 101.69 MORGANST 1,050,000.00 912828VV9US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1.64 3.41 3.60 (10,171.36)(13,354.85) 842,198.28 100.26 MERRILL 840,000.00 912828WC0US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 1.68 3.60 3.66 (1,862.85)(2,666.05) 151,617.15 101.08 MERRILL 150,000.00 912828A42US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 1.71 3.66 3.72 (6,398.33)(9,638.76) 384,199.13 102.45 MERRILL 375,000.00 912828A83US TREASURY NOTES DTD 12/31/2013 2.375% 12/31/2020 1.72 3.72 3.76 (11,738.26)(13,781.35) 800,562.40 100.07 MORGANST 800,000.00 912828N48US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 1.73 3.76 3.87 (19,378.86)(22,775.31) 580,345.78 100.93 MORGANST 575,000.00 912828B90US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 1.76 3.87 4.01 (9,528.22)(9,980.17) 283,712.80 97.83 CITIGRP 290,000.00 912828Q37US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 1.79 4.01 4.09 1,111.17 1,318.59 613,916.25 98.23 MS 625,000.00 912828Q78US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 1.81 4.09 4.12 (30,725.16)(34,405.80) 1,208,719.20 100.73 HSBC 1,200,000.00 912828WN6US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 1.82 4.12 4.32 (9,679.02)(10,473.80) 326,726.40 100.53 HSBC 325,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.88 4.32 4.32 2,492.42 2,401.83 1,030,444.80 100.53 HSBC 1,025,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.88 4.32 Page 13 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Security Type/Description Next Call Market YTMEffective Duration (114,701.72) 1.66 3.54 (95,913.57) 10,319,101.99 10,285,000.00 Security Type Sub-Total 3.54 Municipal Bond / Note 1.27 762.50 762.50 125,762.50 100.61 GOLDMAN 125,000.00 91412GUV5UNIV OF CAL TXBL REV BONDS DTD 04/10/2014 1.904% 05/15/2018 1.42 1.27 2.06 210.23 (1.65) 165,462.00 100.28 VINING 165,000.00 20772JZK1CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 1.84 2.06 760.85 1.66 1.71 972.73 291,224.50 290,000.00 Security Type Sub-Total 1.71 Federal Agency Collateralized Mortgage Obligation 1.00 (404.02)(1,338.30) 135,011.21 100.01 GOLDMAN 135,000.00 3136ANJY4FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 1.44 1.01 1.71 (323.91)(881.53) 125,368.46 100.29 GOLDMAN 125,000.00 3136AQSW1FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 1.65 1.21 2.37 (1,266.85)(2,244.99) 263,056.66 100.15 MORGANST 262,671.29 3136AQDQ0FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 1.54 1.56 (4,464.82) 1.54 1.86 (1,994.78) 523,436.33 522,671.29 Security Type Sub-Total 1.33 Federal Agency Bond / Note 1.50 (4,325.79)(3,530.70) 893,085.30 99.23 CITIGRP 900,000.00 3130A8PK3FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 1.14 1.50 1.79 1,157.49 (794.25) 377,768.25 100.74 GOLDMAN 375,000.00 3135G0YT4FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 1.21 1.79 1.93 (205.87)(205.87) 374,779.13 99.94 BAML 375,000.00 3130AAE46FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 1.28 1.93 2.03 (3,237.36)(2,709.32) 720,579.68 99.39 JPMCHASE 725,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.30 2.03 2.16 (3,541.49)(3,927.37) 373,330.13 99.55 TD SEC U 375,000.00 3137EADZ9FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 1.33 2.16 2.43 (4,817.87)(4,635.83) 424,323.57 98.68 TD SEC U 430,000.00 3137EAEB1FHLMC REFERENCE NOTE DTD 07/20/2016 0.875% 07/19/2019 1.42 2.43 2.45 (8,653.03)(8,453.50) 715,328.50 98.67 GOLDMAN 725,000.00 3135G0N33FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 1.42 2.45 Page 14 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Security Type/Description Next Call Market YTMEffective Duration Federal Agency Bond / Note 2.46 (8,550.46)(8,325.17) 715,282.83 98.66 WELLSFAR 725,000.00 3130A8Y72FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 1.42 2.46 2.52 (5,718.59)(5,590.80) 593,473.20 98.91 GOLDMAN 600,000.00 3135G0P49FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 1.43 2.52 2.67 (4,301.67)(4,207.60) 394,720.40 98.68 BARCLAYS 400,000.00 3135G0R39FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 1.49 2.67 2.72 (2,542.96)(2,531.54) 737,298.26 99.63 MERRILL 740,000.00 3130AA3R7FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 1.51 2.72 4.31 (19,826.23)(19,358.95) 701,232.33 96.72 TD SEC U 725,000.00 3130A8QS5FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 1.90 4.31 4.36 (3,857.56)(3,815.70) 135,705.36 96.93 TD SEC U 140,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.96 4.36 4.36 (12,410.75)(12,247.96) 445,889.04 96.93 CITIGRP 460,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.96 4.36 (80,334.56) 1.45 2.59 (80,832.14) 7,602,795.98 7,695,000.00 Security Type Sub-Total 2.59 Corporate Note 0.21 125.40 (2,010.60) 100,125.40 100.13 04/15/17BARCLAYS 100,000.00 91159HHD5US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 1.20 0.19 0.84 (225.45)(225.45) 149,774.55 99.85 11/05/17MORGANST 150,000.00 166764AA8CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 1.28 0.81 0.84 (412.74)(1,209.77) 174,736.98 99.85 11/05/17BARCLAYS 175,000.00 166764AA8CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 1.28 0.81 1.00 162.21 1,067.50 249,922.50 99.97 HSBC 250,000.00 459200HK0IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 1.28 1.00 1.00 973.40 1,412.00 400,856.00 100.21 GOLDMAN 400,000.00 084670BH0BERKSHIRE HATHAWAY GLOBAL NOTE DTD 02/11/2013 1.550% 02/09/2018 1.34 1.00 1.24 (751.11) 99.82 308,955.92 99.66 GOLDMAN 310,000.00 037833AJ9APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 1.27 1.24 1.37 1,495.56 1,495.56 441,495.56 100.34 BARCLAYS 440,000.00 166764AE0CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 1.47 1.37 Page 15 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Security Type/Description Next Call Market YTMEffective Duration Corporate Note 2.02 1,542.89 194.67 272,759.67 101.02 BONY 270,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.62 2.02 2.02 1,363.92 249.30 303,066.30 101.02 BNP PARI 300,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.62 2.02 2.16 (39.58)(4.85) 49,856.15 99.71 03/25/19GOLDMAN 50,000.00 38141GVT8GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 2.13 2.15 2.16 (599.20)(559.25) 249,280.75 99.71 03/25/19MIZUHO 250,000.00 38141GVT8GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 2.13 2.15 2.28 (224.26)(212.83) 104,732.57 99.75 CITIGRP 105,000.00 172967KS9CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 2.16 2.28 2.43 4,908.10 5,407.30 579,343.55 100.76 MERRILL 575,000.00 02665WAH4AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 1.94 2.43 2.48 (1,696.07)(4,680.00) 160,905.00 107.27 GOLDMAN 150,000.00 12189TBC7BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 1.89 2.48 2.73 934.20 (13,718.25) 275,364.25 110.15 GOLDMAN 250,000.00 36962G4J0GENERAL ELECTRIC CAP CORP NOTES DTD 01/08/2010 5.500% 01/08/2020 1.93 2.73 2.82 693.74 696.00 300,576.00 100.19 CITI 300,000.00 172967LF6CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 2.38 2.82 2.89 (402.38)(508.20) 74,779.80 99.71 1ST TENN 75,000.00 94974BGF1WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 2.25 2.89 2.89 (2,707.83)(3,722.25) 373,899.00 99.71 JEFFERIE 375,000.00 94974BGF1WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 2.25 2.89 2.91 262.20 262.20 300,061.20 100.02 HSBC 300,000.00 594918BV5MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 1.84 2.91 2.97 (672.30)(1,312.60) 200,463.40 100.23 HSBC 200,000.00 89236TCF0TOYOTA MOTOR CORP NOTES DTD 03/12/2015 2.150% 03/12/2020 2.07 2.97 3.14 5,145.08 4,339.53 582,197.28 101.25 05/23/20JPMCHASE 575,000.00 46625HLW8JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 2.36 3.22 Page 16 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Security Type/Description Next Call Market YTMEffective Duration Corporate Note 3.94 (6,507.18)(7,460.10) 299,517.90 99.84 KEYBAN 300,000.00 06406FAA1BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 2.54 3.94 4.01 (2,091.00)(2,029.80) 197,506.20 98.75 KEYBAN 200,000.00 0258M0EB1AMERICAN EXPRESS CREDIT CORP NOTES DTD 05/05/2016 2.250% 05/05/2021 2.56 4.01 4.05 (2,381.74)(2,368.05) 147,532.95 98.36 SCOTIA 150,000.00 05531FAV5BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 2.46 4.05 4.08 (1,272.11)(1,234.65) 73,481.85 97.98 GOLDMAN 75,000.00 857477AV5STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 2.45 4.08 (26,032.77) 1.90 2.33 (2,376.25) 6,371,190.73 6,325,000.00 Security Type Sub-Total 2.34 Certificate of Deposit 0.38 460.63 460.63 625,460.63 100.07 TD SEC U 625,000.00 89113ESN7TORONTO DOMINION BANK NY YCD DTD 06/19/2015 1.240% 06/16/2017 1.04 0.38 0.76 416.88 416.88 575,416.88 100.07 UBS AG 575,000.00 06417GAS7BANK OF NOVA SCOTIA HOUSTON YCD DTD 11/09/2015 1.560% 11/06/2017 1.43 0.76 0.78 (825.12)(825.12) 574,174.88 99.86 GOLDMAN 575,000.00 83050FBG5SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 1.63 0.78 0.79 258.75 258.75 575,258.75 100.05 HSBC 575,000.00 40428AR58HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 1.47 0.79 1.09 1,043.63 1,043.63 576,043.63 100.18 RBC CAP 575,000.00 78009NZZ2ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 1.50 1.09 1.82 5,148.32 5,184.20 579,735.70 100.82 GOLDMAN 575,000.00 13606A5Z7CANADIAN IMPERIAL BANK NY CD DTD 12/05/2016 1.760% 11/30/2018 1.14 1.82 1.82 4,735.70 4,735.70 579,735.70 100.82 MERRILL 575,000.00 65558LWA6NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 1.14 1.82 1.92 (349.20)(349.20) 599,650.80 99.94 BAML 600,000.00 86958JHB8SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 1.85 1.92 10,925.47 1.40 1.17 10,889.59 4,685,476.97 4,675,000.00 Security Type Sub-Total 1.17 29,792,671.29 29,793,226.50 (213,847.55) (169,254.42) 2.62 1.61 Managed Account Sub-Total 2.61 Money Market Fund Page 17 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Security Type/Description Next Call Market YTMEffective Duration Money Market Fund 0.00 0.00 0.00 56,642.92 1.00 56,642.92 CAMP Pool 0.00 56,642.92 56,642.92 0.00 0.00 0.00 Money Market Sub-Total 0.00 Total Investments $29,984,414.39 $134,544.97 $29,849,869.42 Accrued Interest Securities Sub-Total $29,849,314.21 ($213,847.55) ($169,254.42) 2.62 1.62% 2.61 Bolded items are forward settling trades. Page 18 For the Month Ending January 31, 2017Managed Account Security Transactions & Interest CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method BUY 01/05/17 US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 912828Q78 (612,597.66)(1,566.82)(614,164.48) 625,000.00 01/03/17 01/10/17 CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 172967LF6 (299,880.00) 0.00 (299,880.00) 300,000.00 01/04/17 01/12/17 SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 86958JHB8 (600,000.00) 0.00 (600,000.00) 600,000.00 01/10/17 02/06/17 MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 594918BV5 (299,799.00) 0.00 (299,799.00) 300,000.00 01/30/17 (1,566.82) (1,813,843.48)(1,812,276.66) 1,825,000.00 Transaction Type Sub-Total INTEREST 01/25/17 FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 3136ANJY4 0.00 174.38 174.38 135,000.00 01/01/17 01/25/17 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 3136AQSW1 0.00 197.72 197.72 125,000.00 01/01/17 01/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 0.00 386.29 386.29 265,000.00 01/01/17 01/08/17 GENERAL ELECTRIC CAP CORP NOTES DTD 01/08/2010 5.500% 01/08/2020 36962G4J0 0.00 6,875.00 6,875.00 250,000.00 01/08/17 01/14/17 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 3130A8QS5 0.00 4,078.12 4,078.12 725,000.00 01/14/17 01/16/17 FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 3130AAE46 0.00 494.80 494.80 375,000.00 01/16/17 01/19/17 FHLMC REFERENCE NOTE DTD 07/20/2016 0.875% 07/19/2019 3137EAEB1 0.00 1,870.80 1,870.80 430,000.00 01/19/17 01/30/17 WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 94974BGF1 0.00 4,031.25 4,031.25 375,000.00 01/30/17 01/30/17 WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 94974BGF1 0.00 806.25 806.25 75,000.00 01/30/17 01/31/17 US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 912828VP2 0.00 5,750.00 5,750.00 575,000.00 01/31/17 24,664.61 24,664.61 0.00 3,330,000.00 Transaction Type Sub-Total Page 19 For the Month Ending January 31, 2017Managed Account Security Transactions & Interest CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method PAYDOWNS 01/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 2,328.71 0.00 2,328.71 (23.32) 0.00 2,328.71 01/01/17 0.00 0.00 (23.32) 2,328.71 2,328.71 2,328.71 Transaction Type Sub-Total SELL 01/05/17 US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 91159HHD5 600,930.00 1,375.00 602,305.00 (11,886.00) 930.00 FIFO 600,000.00 01/03/17 01/10/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 297,339.84 1,367.40 298,707.24 164.06 (669.63)FIFO 300,000.00 01/04/17 01/12/17 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 3135G0YT4 251,857.50 507.81 252,365.31 (517.50) 752.91 FIFO 250,000.00 01/10/17 01/12/17 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 3135G0YT4 352,600.50 710.94 353,311.44 2,590.00 2,595.44 FIFO 350,000.00 01/10/17 02/06/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 49,593.75 274.52 49,868.27 218.75 41.86 FIFO 50,000.00 01/30/17 02/06/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 247,968.75 1,372.58 249,341.33 322.26 (410.98)FIFO 250,000.00 01/30/17 5,608.25 3,239.60 (9,108.43) 1,805,898.59 1,800,290.34 1,800,000.00 Transaction Type Sub-Total (9,657.61) 28,706.04 19,048.43 (9,131.75) 3,239.60 Managed Account Sub-Total Total Security Transactions ($9,131.75)$19,048.43 $28,706.04 ($9,657.61)$3,239.60 Bolded items are forward settling trades. Page 20 For the Month Ending January 31, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate CAMP Pool 28,054.91 Opening Balance 01/03/17 01/03/17 Purchase - Interest 912828N48 1.00 7,000.00 35,054.91 01/03/17 01/03/17 Purchase - Additional Interest due on 65558LFA5 correction from 12/30/16 1.00 0.01 35,054.92 01/03/17 01/03/17 Purchase - Interest 912828A83 1.00 4,453.12 39,508.04 01/05/17 01/05/17 Purchase - Interest 91159HHD5 1.00 1,375.00 40,883.04 01/05/17 01/05/17 Purchase - Principal 91159HHD5 1.00 600,930.00 641,813.04 01/05/17 01/05/17 Redemption - Principal 912828Q78 1.00 (612,597.66) 29,215.38 01/05/17 01/05/17 Redemption - Interest 912828Q78 1.00 (1,566.82) 27,648.56 01/09/17 01/09/17 Purchase - Interest 36962G4J0 1.00 6,875.00 34,523.56 01/10/17 01/10/17 Purchase - Principal 912828UQ1 1.00 297,339.84 331,863.40 01/10/17 01/10/17 Purchase - Interest 912828UQ1 1.00 1,367.40 333,230.80 01/10/17 01/10/17 Redemption - Principal 172967LF6 1.00 (299,880.00) 33,350.80 01/12/17 01/12/17 Purchase - Principal 3135G0YT4 1.00 352,600.50 385,951.30 01/12/17 01/12/17 Purchase - Principal 3135G0YT4 1.00 251,857.50 637,808.80 01/12/17 01/12/17 Purchase - Interest 3135G0YT4 1.00 507.81 638,316.61 01/12/17 01/12/17 Purchase - Interest 3135G0YT4 1.00 710.94 639,027.55 01/12/17 01/12/17 Redemption - Principal 86958JHB8 1.00 (600,000.00) 39,027.55 01/17/17 01/17/17 Purchase - Interest 3130A8QS5 1.00 4,078.12 43,105.67 01/17/17 01/17/17 Purchase - Interest 3130AAE46 1.00 494.80 43,600.47 01/19/17 01/19/17 Purchase - Interest 3137EAEB1 1.00 1,870.80 45,471.27 01/25/17 01/25/17 Purchase - Interest 3136ANJY4 1.00 174.38 45,645.65 01/25/17 01/25/17 Purchase - Interest 3136AQDQ0 1.00 363.49 46,009.14 Page 21 For the Month Ending January 31, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate CAMP Pool 01/25/17 01/25/17 Purchase - Interest 3136AQSW1 1.00 197.72 46,206.86 01/25/17 01/25/17 Purchase - Interest 3136AQDQ0 1.00 386.29 46,593.15 01/25/17 01/25/17 Purchase - Principal 3136AQDQ0 1.00 2,328.71 48,921.86 01/25/17 01/25/17 Redemption - Interest 3136AQDQ0 1.00 (363.49) 48,558.37 01/25/17 01/25/17 IP Fees December 2016 1.00 (2,352.18) 46,206.19 01/25/17 01/25/17 U.S. Bank Fees November 2016 1.00 (179.56) 46,026.63 01/30/17 01/30/17 Purchase - Interest 94974BGF1 1.00 806.25 46,832.88 01/30/17 01/30/17 Purchase - Interest 94974BGF1 1.00 4,031.25 50,864.13 01/31/17 01/31/17 Purchase - Interest 912828VP2 1.00 5,750.00 56,614.13 01/31/17 02/01/17 Accrual Income Div Reinvestment - Distributions 1.00 28.79 56,642.92 56,642.92 56,642.92 56,642.92 39,991.99 28.79 0.00 (1,516,939.71) 1,545,527.72 28,054.91 28.79 56,642.92 0.00 (1,516,939.71) 1,545,527.72 28,054.91 Monthly Distribution Yield Average Monthly Balance Closing Balance Fiscal YTDMonth of Cash Dividends and Income Closing Balance Check Disbursements Redemptions (Excl. Checks) Purchases Opening Balance Closing Balance January January-January 0.85% Page 22 Housing Funds CAMP Account For the Month Ending January 31, 2017Account Statement - Transaction Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Opening Market Value Purchases Redemptions Change in Value Closing Market Value 10,605.77 282,124.12 (278,217.33) 0.00 $14,512.56 CAMP Pool Unsettled Trades 0.00 8.23 Cash Dividends and Income Opening Market Value Purchases Redemptions Change in Value Closing Market Value 5,043,639.89 277,400.31 (275,307.58) 3,059.32 $5,049,164.69 CAMP Managed Account Unsettled Trades 372.75 3,997.60 Cash Dividends and Income January 31, 2017 December 31, 2016 Asset Summary CAMP Pool 14,512.56 10,605.77 CAMP Managed Account 5,049,164.69 5,043,639.89 $5,063,677.25 $5,054,245.66 Total Asset Allocation 0.29% CAMP Pool 99.71% CAMP Managed Account Page 1 For the Month Ending January 31, 2017Managed Account Summary Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dividend Closing Market Value Redemptions Purchases Opening Market Value Closing Market Value Change in Current Value Unsettled Trades Principal Acquisitions Principal Dispositions Maturities/Calls Opening Market Value Closing Market Value Opening Market Value Account Total Total Cash Basis Earnings Plus Net Realized Gains/Losses Less Purchased Interest Related to Interest/Coupons Interest/Dividends/Coupons Received Earnings Reconciliation (Cash Basis) - Managed Account Dividends Less Beginning Accrued Interest Less Beginning Amortized Value of Securities Less Cost of New Purchases Plus Coupons/Dividends Received Plus Proceeds of Maturities/Calls/Principal Payments Plus Proceeds from Sales Ending Accrued Interest Ending Amortized Value of Securities Earnings Reconciliation (Accrual Basis) Reconciling Transactions Net Cash Contribution Security Purchases Principal Payments Coupon/Interest/Dividend Income Sale Proceeds Maturities/Calls Cash Transactions Summary- Managed Account $10,605.77 282,124.12 (278,217.33) $14,512.56 8.23 $5,043,639.89 (395.44) (274,912.14) 277,400.31 372.75 3,059.32 $5,049,164.69 $5,054,245.66 $5,063,677.25 4,168.45 (325.90) 155.05 $3,997.60 0.00 275,476.85 3,603.74 395.44 (277,726.21) (1,749.82) 0.00 Managed Account Total 5,081,907.84 5,096,420.40 21,754.42 325,345.12 395.44 3,603.74 (327,692.71) (5,080,503.26) (19,096.85) 0.00 21,754.42 603,562.45 395.44 3,603.74 (609,816.83) (5,091,109.03) (19,096.85) 8.23 Total Accrual Basis Earnings $5,713.74 $5,721.97 Transaction Summary - Managed AccountTransaction Summary - Money Market _______________________________________________ _______________________________________________ _____________________________________________________ Cash Balance $0.00 Closing Cash Balance Page 2 For the Month Ending January 31, 2017Portfolio Summary and Statistics CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Account Summary Percent Par Value Market ValueDescription U.S. Treasury Bond / Note 1,655,000.00 1,661,537.30 32.81 Municipal Bond / Note 30,000.00 30,084.00 0.59 Federal Agency Collateralized Mortgage Obligation 94,604.56 94,745.77 1.87 Federal Agency Bond / Note 1,365,000.00 1,348,910.00 26.64 Corporate Note 1,410,000.00 1,413,039.22 27.91 Certificate of Deposit 500,000.00 500,848.40 9.89 Managed Account Sub-Total 5,054,604.56 5,049,164.69 99.71% Accrued Interest 21,754.42 Total Portfolio 5,054,604.56 5,070,919.11 CAMP Pool 14,512.56 14,512.56 0.29 Total Investments 5,069,117.12 5,085,431.67 100.00% Unsettled Trades 50,000.00 50,010.20 Sector Allocation 9.89% Cert of Deposit 27.91% Corporate Note 1.87% Fed Agency CMO 26.64% Fed Agy Bond / Note 0.29% Mny Mkt Fund 0.59% Muni Bond / Note 32.81% US TSY Bond / Note 0 - 6 Months 6 - 12 Months 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years Over 5 Years 2.77% 7.89% 20.53% 28.03% 19.91%20.87% 0.00% Maturity Distribution Characteristics Yield to Maturity at Cost Yield to Maturity at Market Duration to Worst Weighted Average Days to Maturity 2.61 989 1.44% 1.63% Page 3 For the Month Ending January 31, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Credit Quality (S&P Ratings) 7.42% A 4.46% A+ 2.49% A- 1.97% A-1 1.98% A-1+ 62.40% AA+ 15.53% AA- 0.99% AAA 0.29% AAAm 2.47% BBB+ Issuer Summary Percentof HoldingsIssuer Market Value 100,755.40 1.99 AMERICAN HONDA FINANCE 54,814.76 1.08 APPLE INC 149,775.45 2.96 BANK OF NEW YORK CO INC 24,588.83 0.49 BB&T CORPORTATION 26,817.50 0.53 BURLINGTON NORTHERN SANTA FE 14,512.56 0.29 CAMP Pool 255,008.90 5.04 CHEVRON CORP 101,022.10 2.00 CISCO SYSTEMS INC 75,032.33 1.48 CITIGROUP INC 722,235.58 14.26 FANNIE MAE 721,420.19 14.25 FEDERAL HOME LOAN BANKS 49,856.15 0.98 GOLDMAN SACHS GROUP INC 100,045.00 1.98 HSBC HOLDINGS PLC 99,969.00 1.97 IBM CORP 101,251.70 2.00 JP MORGAN CHASE & CO 50,010.20 0.99 MICROSOFT CORP 100,823.60 1.99 NORDEA BANK AB 100,181.50 1.98 ROYAL BANK OF CANADA 99,856.50 1.97 SKANDINAVISKA ENSKIDA BANKEN AB 30,084.00 0.59 STATE OF CONNECTICUT 24,493.95 0.48 STATE STREET CORPORATION 99,941.80 1.97 SVENSKA HANDELSBANKEN 1,661,537.30 32.81 UNITED STATES TREASURY 125,156.75 2.47 US BANCORP 174,486.20 3.45 WELLS FARGO & COMPANY $5,063,677.25 Total 100.00% Page 4 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par U.S. Treasury Bond / Note US TREASURY NOTES DTD 10/01/2012 0.625% 09/30/2017 24,978.53 24,980.18 53.23 24,854.49 10/31/1210/26/12AaaAA+ 25,000.00 912828TS9 0.75 US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 44,463.87 44,448.68 77.88 44,131.64 05/29/1505/28/15AaaAA+ 45,000.00 912828UB4 1.44 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 49,621.10 49,900.86 265.88 49,859.37 10/09/1510/08/15AaaAA+ 50,000.00 912828UQ1 1.32 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 124,052.75 123,874.81 664.71 123,437.50 11/09/1511/05/15AaaAA+ 125,000.00 912828UQ1 1.55 US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 75,981.45 76,072.61 4.14 76,415.04 12/04/1512/01/15AaaAA+ 75,000.00 912828VP2 1.58 US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 177,953.13 177,342.16 1,582.01 178,028.32 12/30/1512/28/15AaaAA+ 175,000.00 912828VV9 1.74 US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 100,261.70 101,472.57 449.59 101,851.56 02/03/1602/01/16AaaAA+ 100,000.00 912828WC0 1.35 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 75,808.58 76,740.00 259.62 77,141.60 03/04/1603/02/16AaaAA+ 75,000.00 912828A42 1.38 US TREASURY NOTES DTD 12/31/2013 2.375% 12/31/2020 128,066.38 130,199.16 262.43 131,279.30 03/31/1603/30/16AaaAA+ 125,000.00 912828A83 1.28 US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 125,087.88 126,921.98 193.37 127,241.21 05/31/1605/27/16AaaAA+ 125,000.00 912828N48 1.35 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 100,929.70 104,299.94 850.83 104,890.63 07/08/1607/06/16AaaAA+ 100,000.00 912828B90 0.92 US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 53,807.60 55,614.68 234.20 55,700.39 06/29/1606/27/16AaaAA+ 55,000.00 912828Q37 0.98 US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 127,694.58 127,463.46 459.22 127,420.31 01/05/1701/03/17AaaAA+ 130,000.00 912828Q78 1.86 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 226,634.85 232,395.82 778.85 233,085.94 09/02/1609/01/16AaaAA+ 225,000.00 912828WN6 1.22 Page 5 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par U.S. Treasury Bond / Note US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 75,398.40 77,632.02 638.12 77,815.43 10/05/1610/03/16AaaAA+ 75,000.00 912828D72 1.21 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 150,796.80 150,432.05 1,276.24 150,445.31 12/05/1612/01/16AaaAA+ 150,000.00 912828D72 1.93 8,050.32 1,661,537.30 1,679,790.98 1.43 1,683,598.04 1,655,000.00 Security Type Sub-Total Municipal Bond / Note CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 30,084.00 30,045.78 223.72 30,084.30 03/25/1503/16/15Aa3AA- 30,000.00 20772JZK1 1.90 223.72 30,084.00 30,045.78 1.90 30,084.30 30,000.00 Security Type Sub-Total Federal Agency Collateralized Mortgage Obligation FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 25,002.08 25,076.90 32.29 25,249.91 04/30/1504/15/15AaaAA+ 25,000.00 3136ANJY4 0.83 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 25,073.69 25,138.47 39.54 25,250.00 11/30/1511/06/15AaaAA+ 25,000.00 3136AQSW1 1.20 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 44,670.00 44,885.13 61.18 45,051.23 10/30/1510/07/15AaaAA+ 44,604.56 3136AQDQ0 1.08 133.01 94,745.77 95,100.50 1.05 95,551.14 94,604.56 Security Type Sub-Total Federal Agency Bond / Note FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 99,768.10 99,593.64 170.14 98,485.00 05/31/1305/24/13AaaAA+ 100,000.00 3135G0WJ8 1.19 FEDERAL HOME LOAN BANKS AGCY DTD 05/27/2016 0.875% 06/29/2018 49,864.35 50,008.39 38.89 50,011.08 08/12/1608/11/16AaaAA+ 50,000.00 3130A8BD4 0.86 FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 99,231.70 99,712.34 302.08 99,624.00 08/12/1608/11/16AaaAA+ 100,000.00 3130A8PK3 0.82 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 5,036.91 5,021.48 14.44 5,047.50 10/23/1410/22/14AaaAA+ 5,000.00 3135G0YT4 1.39 Page 6 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Federal Agency Bond / Note FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 99,941.10 99,996.00 52.08 99,996.00 12/08/1612/07/16AaaAA+ 100,000.00 3130AAE46 1.25 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 49,695.15 50,102.92 215.28 50,126.50 08/08/1608/05/16AaaAA+ 50,000.00 3135G0J53 0.90 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 124,237.88 124,796.04 538.19 124,705.00 02/23/1602/19/16AaaAA+ 125,000.00 3135G0J53 1.08 FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 123,332.50 124,824.40 543.84 124,790.00 08/02/1607/29/16AaaAA+ 125,000.00 3135G0N33 0.93 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 123,324.63 124,798.84 537.76 124,760.00 08/04/1608/03/16AaaAA+ 125,000.00 3130A8Y72 0.94 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 123,640.25 124,831.62 517.36 124,805.00 09/02/1608/31/16AaaAA+ 125,000.00 3135G0P49 1.05 FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 123,539.63 124,905.03 434.03 124,891.25 09/09/1609/08/16AaaAA+ 125,000.00 3130A9EP2 1.03 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 104,616.65 104,977.47 296.77 104,975.85 11/17/1611/16/16AaaAA+ 105,000.00 3130AA3R7 1.38 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 120,902.13 124,320.45 66.41 124,239.88 07/15/1607/14/16AaaAA+ 125,000.00 3130A8QS5 1.25 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 24,233.10 24,921.95 140.63 24,914.48 08/19/1608/17/16AaaAA+ 25,000.00 3135G0N82 1.32 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 77,545.92 79,704.31 450.00 79,676.00 08/19/1608/17/16AaaAA+ 80,000.00 3135G0N82 1.33 4,317.90 1,348,910.00 1,362,514.88 1.09 1,361,047.54 1,365,000.00 Security Type Sub-Total Corporate Note US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 125,156.75 125,119.61 435.42 127,670.00 07/30/1207/25/12A1A+ 125,000.00 91159HHD5 1.19 Page 7 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 74,887.28 75,064.17 128.80 75,405.75 12/05/1211/29/12Aa2AA- 75,000.00 166764AA8 0.99 CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 99,849.70 100,000.00 171.73 100,000.00 12/05/1211/28/12Aa2AA- 100,000.00 166764AA8 1.10 IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 99,969.00 99,904.12 600.69 99,542.00 02/08/1302/05/13Aa3AA- 100,000.00 459200HK0 1.35 BANK OF NEW YORK MELLON (CALLABLE) DTD 03/06/2013 1.350% 03/06/2018 99,855.80 99,993.47 543.75 99,971.00 03/06/1303/04/13A1A 100,000.00 06406HCJ6 1.36 APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 54,814.76 54,948.02 134.44 54,797.05 05/03/1304/30/13Aa1AA+ 55,000.00 037833AJ9 1.08 CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 80,271.92 80,000.00 141.26 80,000.00 06/24/1306/17/13Aa2AA- 80,000.00 166764AE0 1.72 CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 50,511.05 50,225.33 442.71 50,475.00 09/04/1408/29/14A1AA- 50,000.00 17275RAR3 1.90 CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 50,511.05 50,283.73 442.71 50,469.50 09/04/1509/01/15A1AA- 50,000.00 17275RAR3 1.85 GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 49,856.15 49,975.99 266.67 49,968.00 04/26/1604/21/16A3BBB+ 50,000.00 38141GVT8 2.02 CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 24,936.33 24,989.72 76.88 24,987.00 06/09/1606/02/16Baa1BBB+ 25,000.00 172967KS9 2.07 AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 100,755.40 99,901.82 1,037.50 99,815.00 09/09/1409/04/14A1A+ 100,000.00 02665WAH4 2.29 BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 26,817.50 27,100.18 391.67 27,597.50 06/08/1606/03/16A3A 25,000.00 12189TBC7 1.48 CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 50,096.00 49,980.38 71.46 49,980.00 01/10/1701/04/17Baa1BBB+ 50,000.00 172967LF6 2.46 WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 174,486.20 175,749.86 10.45 176,223.25 02/05/1502/02/15A2A 175,000.00 94974BGF1 2.00 Page 8 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 50,010.20 49,966.50 0.00 49,966.50 02/06/1701/30/17AaaAAA 50,000.00 594918BV5 1.87 JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 101,251.70 100,356.91 290.28 100,497.00 09/04/1509/01/15A3A- 100,000.00 46625HLW8 2.64 BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 49,919.65 50,992.12 368.06 51,149.00 05/19/1605/16/16A1A 50,000.00 06406FAA1 2.00 BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 24,588.83 24,985.78 115.31 24,983.50 05/16/1605/10/16A2A- 25,000.00 05531FAV5 2.06 STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 24,493.95 24,917.99 97.50 24,905.50 05/24/1605/19/16A1A 25,000.00 857477AV5 2.03 5,767.29 1,413,039.22 1,414,455.70 1.73 1,418,402.55 1,410,000.00 Security Type Sub-Total Certificate of Deposit SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 99,856.50 100,000.00 316.56 100,000.00 11/17/1511/16/15P-1A-1 100,000.00 83050FBG5 1.48 HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 100,045.00 100,000.00 1,886.50 100,000.00 11/18/1511/17/15P-1A-1+ 100,000.00 40428AR58 1.54 ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 100,181.50 100,000.00 670.56 100,000.00 03/15/1603/11/16Aa3AA- 100,000.00 78009NZZ2 1.69 NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 100,823.60 100,000.00 283.56 100,000.00 12/05/1612/01/16Aa3AA- 100,000.00 65558LWA6 1.74 SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 99,941.80 100,000.00 105.00 100,000.00 01/12/1701/10/17Aa2AA- 100,000.00 86958JHB8 1.91 3,262.18 500,848.40 500,000.00 1.67 500,000.00 500,000.00 Security Type Sub-Total 5,054,604.56 5,088,683.57 1.44 21,754.42 5,081,907.84 5,049,164.69 Managed Account Sub-Total Money Market Fund Page 9 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Money Market Fund CAMP Pool 14,512.56 14,512.56 0.00 14,512.56 NRAAAm 14,512.56 14,512.56 14,512.56 0.00 14,512.56 14,512.56 Money Market Sub-Total $5,069,117.12 $5,103,196.13 $21,754.42 $5,096,420.40 $5,063,677.25 1.44% $5,085,431.67 $21,754.42 Total Investments Accrued Interest Securities Sub-Total Bolded items are forward settling trades. Page 10 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Security Type/Description Next Call Market YTMEffective Duration U.S. Treasury Bond / Note 0.66 (1.65) 124.04 24,978.53 99.91 CITIGRP 25,000.00 912828TS9US TREASURY NOTES DTD 10/01/2012 0.625% 09/30/2017 0.76 0.66 2.77 15.19 332.23 44,463.87 98.81 CITIGRP 45,000.00 912828UB4US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 1.43 2.77 2.99 (279.76)(238.27) 49,621.10 99.24 MORGANST 50,000.00 912828UQ1US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 1.50 2.99 2.99 177.94 615.25 124,052.75 99.24 CITIGRP 125,000.00 912828UQ1US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 1.50 2.99 3.37 (91.16)(433.59) 75,981.45 101.31 MERRILL 75,000.00 912828VP2US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 1.61 3.37 3.41 610.97 (75.19) 177,953.13 101.69 MORGANST 175,000.00 912828VV9US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1.64 3.41 3.60 (1,210.87)(1,589.86) 100,261.70 100.26 MERRILL 100,000.00 912828WC0US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 1.68 3.60 3.66 (931.42)(1,333.02) 75,808.58 101.08 MERRILL 75,000.00 912828A42US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 1.71 3.66 3.72 (2,132.78)(3,212.92) 128,066.38 102.45 MERRILL 125,000.00 912828A83US TREASURY NOTES DTD 12/31/2013 2.375% 12/31/2020 1.72 3.72 3.76 (1,834.10)(2,153.33) 125,087.88 100.07 MORGANST 125,000.00 912828N48US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 1.73 3.76 3.87 (3,370.24)(3,960.93) 100,929.70 100.93 MORGANST 100,000.00 912828B90US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 1.76 3.87 4.01 (1,807.08)(1,892.79) 53,807.60 97.83 CITIGRP 55,000.00 912828Q37US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 1.79 4.01 4.09 231.12 274.27 127,694.58 98.23 MS 130,000.00 912828Q78US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 1.81 4.09 4.12 (5,760.97)(6,451.09) 226,634.85 100.73 HSBC 225,000.00 912828WN6US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 1.82 4.12 4.32 (2,233.62)(2,417.03) 75,398.40 100.53 HSBC 75,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.88 4.32 4.32 364.75 351.49 150,796.80 100.53 HSBC 150,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.88 4.32 (22,060.74) 1.71 3.70 (18,253.68) 1,661,537.30 1,655,000.00 Security Type Sub-Total 3.70 Page 11 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Security Type/Description Next Call Market YTMEffective Duration Municipal Bond / Note 2.06 38.22 (0.30) 30,084.00 100.28 VINING 30,000.00 20772JZK1CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 1.84 2.06 (0.30) 1.84 2.06 38.22 30,084.00 30,000.00 Security Type Sub-Total 2.06 Federal Agency Collateralized Mortgage Obligation 1.00 (74.82)(247.83) 25,002.08 100.01 GOLDMAN 25,000.00 3136ANJY4FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 1.44 1.01 1.71 (64.78)(176.31) 25,073.69 100.29 GOLDMAN 25,000.00 3136AQSW1FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 1.65 1.21 2.37 (215.13)(381.23) 44,670.00 100.15 MORGANST 44,604.56 3136AQDQ0FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 1.54 1.56 (805.37) 1.54 1.84 (354.73) 94,745.77 94,604.56 Security Type Sub-Total 1.32 Federal Agency Bond / Note 1.29 174.46 1,283.10 99,768.10 99.77 CSFB 100,000.00 3135G0WJ8FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 1.05 1.29 1.40 (144.04)(146.73) 49,864.35 99.73 WELLSFAR 50,000.00 3130A8BD4FEDERAL HOME LOAN BANKS AGCY DTD 05/27/2016 0.875% 06/29/2018 1.07 1.40 1.50 (480.64)(392.30) 99,231.70 99.23 CITIGRP 100,000.00 3130A8PK3FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 1.14 1.50 1.79 15.43 (10.59) 5,036.91 100.74 GOLDMAN 5,000.00 3135G0YT4FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 1.21 1.79 1.93 (54.90)(54.90) 99,941.10 99.94 BAML 100,000.00 3130AAE46FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 1.28 1.93 2.03 (407.77)(431.35) 49,695.15 99.39 BMO 50,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.30 2.03 2.03 (558.16)(467.12) 124,237.88 99.39 JPMCHASE 125,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.30 2.03 2.45 (1,491.90)(1,457.50) 123,332.50 98.67 GOLDMAN 125,000.00 3135G0N33FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 1.42 2.45 2.46 (1,474.21)(1,435.37) 123,324.63 98.66 WELLSFAR 125,000.00 3130A8Y72FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 1.42 2.46 Page 12 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Security Type/Description Next Call Market YTMEffective Duration Federal Agency Bond / Note 2.52 (1,191.37)(1,164.75) 123,640.25 98.91 GOLDMAN 125,000.00 3135G0P49FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 1.43 2.52 2.60 (1,365.40)(1,351.62) 123,539.63 98.83 BARCLAYS 125,000.00 3130A9EP2FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 1.45 2.60 2.72 (360.82)(359.20) 104,616.65 99.63 MERRILL 105,000.00 3130AA3R7FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 1.51 2.72 4.31 (3,418.32)(3,337.75) 120,902.13 96.72 TD SEC U 125,000.00 3130A8QS5FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 1.90 4.31 4.36 (688.85)(681.38) 24,233.10 96.93 TD SEC U 25,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.96 4.36 4.36 (2,158.39)(2,130.08) 77,545.92 96.93 CITIGRP 80,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.96 4.36 (12,137.54) 1.43 2.51 (13,604.88) 1,348,910.00 1,365,000.00 Security Type Sub-Total 2.51 Corporate Note 0.21 37.14 (2,513.25) 125,156.75 100.13 04/15/17BARCLAYS 125,000.00 91159HHD5US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 1.20 0.19 0.84 (176.89)(518.47) 74,887.28 99.85 11/05/17BARCLAYS 75,000.00 166764AA8CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 1.28 0.81 0.84 (150.30)(150.30) 99,849.70 99.85 11/05/17MORGANST 100,000.00 166764AA8CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 1.28 0.81 1.00 64.88 427.00 99,969.00 99.97 HSBC 100,000.00 459200HK0IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 1.28 1.00 1.08 (137.67)(115.20) 99,855.80 99.86 GOLDMAN 100,000.00 06406HCJ6BANK OF NEW YORK MELLON (CALLABLE) DTD 03/06/2013 1.350% 03/06/2018 1.48 1.06 1.24 (133.26) 17.71 54,814.76 99.66 GOLDMAN 55,000.00 037833AJ9APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 1.27 1.24 1.37 271.92 271.92 80,271.92 100.34 BARCLAYS 80,000.00 166764AE0CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 1.47 1.37 2.02 285.72 36.05 50,511.05 101.02 BONY 50,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.62 2.02 Page 13 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Security Type/Description Next Call Market YTMEffective Duration Corporate Note 2.02 227.32 41.55 50,511.05 101.02 BNP PARI 50,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.62 2.02 2.16 (119.84)(111.85) 49,856.15 99.71 03/25/19MIZUHO 50,000.00 38141GVT8GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 2.13 2.15 2.28 (53.39)(50.67) 24,936.33 99.75 CITIGRP 25,000.00 172967KS9CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 2.16 2.28 2.43 853.58 940.40 100,755.40 100.76 MERRILL 100,000.00 02665WAH4AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 1.94 2.43 2.48 (282.68)(780.00) 26,817.50 107.27 GOLDMAN 25,000.00 12189TBC7BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 1.89 2.48 2.82 115.62 116.00 50,096.00 100.19 CITI 50,000.00 172967LF6CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 2.38 2.82 2.89 (1,263.66)(1,737.05) 174,486.20 99.71 JEFFERIE 175,000.00 94974BGF1WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 2.25 2.89 2.91 43.70 43.70 50,010.20 100.02 HSBC 50,000.00 594918BV5MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 1.84 2.91 3.14 894.79 754.70 101,251.70 101.25 05/23/20JPMCHASE 100,000.00 46625HLW8JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 2.36 3.22 3.94 (1,072.47)(1,229.35) 49,919.65 99.84 KEYBAN 50,000.00 06406FAA1BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 2.54 3.94 4.05 (396.95)(394.67) 24,588.83 98.36 SCOTIA 25,000.00 05531FAV5BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 2.46 4.05 4.08 (424.04)(411.55) 24,493.95 97.98 GOLDMAN 25,000.00 857477AV5STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 2.45 4.08 (5,363.33) 1.77 1.94 (1,416.48) 1,413,039.22 1,410,000.00 Security Type Sub-Total 1.94 Certificate of Deposit 0.78 (143.50)(143.50) 99,856.50 99.86 GOLDMAN 100,000.00 83050FBG5SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 1.63 0.78 Page 14 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Security Type/Description Next Call Market YTMEffective Duration Certificate of Deposit 0.79 45.00 45.00 100,045.00 100.05 HSBC 100,000.00 40428AR58HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 1.47 0.79 1.09 181.50 181.50 100,181.50 100.18 RBC CAP 100,000.00 78009NZZ2ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 1.50 1.09 1.82 823.60 823.60 100,823.60 100.82 MERRILL 100,000.00 65558LWA6NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 1.14 1.82 1.92 (58.20)(58.20) 99,941.80 99.94 BAML 100,000.00 86958JHB8SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 1.85 1.92 848.40 1.52 1.28 848.40 500,848.40 500,000.00 Security Type Sub-Total 1.28 5,054,604.56 5,049,164.69 (39,518.88) (32,743.15) 2.61 1.63 Managed Account Sub-Total 2.60 Money Market Fund 0.00 0.00 0.00 14,512.56 1.00 14,512.56 CAMP Pool 0.00 14,512.56 14,512.56 0.00 0.00 0.00 Money Market Sub-Total 0.00 Total Investments $5,085,431.67 $21,754.42 $5,063,677.25 Accrued Interest Securities Sub-Total $5,069,117.12 ($39,518.88) ($32,743.15) 2.61 1.63% 2.60 Bolded items are forward settling trades. Page 15 For the Month Ending January 31, 2017Managed Account Security Transactions & Interest CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method BUY 01/05/17 US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 912828Q78 (127,420.31)(325.90)(127,746.21) 130,000.00 01/03/17 01/10/17 CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 172967LF6 (49,980.00) 0.00 (49,980.00) 50,000.00 01/04/17 01/12/17 SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 86958JHB8 (100,000.00) 0.00 (100,000.00) 100,000.00 01/10/17 02/06/17 MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 594918BV5 (49,966.50) 0.00 (49,966.50) 50,000.00 01/30/17 (325.90) (327,692.71)(327,366.81) 330,000.00 Transaction Type Sub-Total INTEREST 01/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 0.00 65.59 65.59 45,000.00 01/01/17 01/25/17 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 3136AQSW1 0.00 39.54 39.54 25,000.00 01/01/17 01/25/17 FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 3136ANJY4 0.00 32.29 32.29 25,000.00 01/01/17 01/14/17 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 3130A8QS5 0.00 703.13 703.13 125,000.00 01/14/17 01/16/17 FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 3130AAE46 0.00 131.94 131.94 100,000.00 01/16/17 01/30/17 WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 94974BGF1 0.00 1,881.25 1,881.25 175,000.00 01/30/17 01/31/17 US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 912828VP2 0.00 750.00 750.00 75,000.00 01/31/17 3,603.74 3,603.74 0.00 570,000.00 Transaction Type Sub-Total PAYDOWNS 01/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 395.44 0.00 395.44 (3.96) 0.00 395.44 01/01/17 0.00 0.00 (3.96) 395.44 395.44 395.44 Transaction Type Sub-Total Page 16 For the Month Ending January 31, 2017Managed Account Security Transactions & Interest CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method SELL 01/05/17 FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 3135G0WJ8 124,612.50 133.68 124,746.18 668.75 (90.48)FIFO 125,000.00 01/03/17 01/10/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 49,556.64 227.90 49,784.54 (302.74)(342.30)FIFO 50,000.00 01/04/17 01/12/17 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 3135G0YT4 100,743.00 203.13 100,946.13 (207.00) 301.16 FIFO 100,000.00 01/10/17 02/06/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 49,593.75 274.52 49,868.27 (265.63)(307.54)FIFO 50,000.00 01/30/17 839.23 (439.16)(106.62) 325,345.12 324,505.89 325,000.00 Transaction Type Sub-Total (2,465.48) 4,117.07 1,651.59 (110.58) (439.16)Managed Account Sub-Total Total Security Transactions ($110.58)$1,651.59 $4,117.07 ($2,465.48)($439.16) Bolded items are forward settling trades. Page 17 For the Month Ending January 31, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate CAMP Pool 10,605.77 Opening Balance 01/03/17 01/03/17 Purchase - Interest 912828A83 1.00 1,484.38 12,090.15 01/03/17 01/03/17 Purchase - Interest 912828N48 1.00 1,093.75 13,183.90 01/05/17 01/05/17 Purchase - Interest 3135G0WJ8 1.00 133.68 13,317.58 01/05/17 01/05/17 Purchase - Principal 3135G0WJ8 1.00 124,612.50 137,930.08 01/05/17 01/05/17 Redemption - Principal 912828Q78 1.00 (127,420.31) 10,509.77 01/05/17 01/05/17 Redemption - Interest 912828Q78 1.00 (325.90) 10,183.87 01/10/17 01/10/17 Purchase - Principal 912828UQ1 1.00 49,556.64 59,740.51 01/10/17 01/10/17 Purchase - Interest 912828UQ1 1.00 227.90 59,968.41 01/10/17 01/10/17 Redemption - Principal 172967LF6 1.00 (49,980.00) 9,988.41 01/12/17 01/12/17 Purchase - Principal 3135G0YT4 1.00 100,743.00 110,731.41 01/12/17 01/12/17 Purchase - Interest 3135G0YT4 1.00 203.13 110,934.54 01/12/17 01/12/17 Redemption - Principal 86958JHB8 1.00 (100,000.00) 10,934.54 01/17/17 01/17/17 Purchase - Interest 3130A8QS5 1.00 703.13 11,637.67 01/17/17 01/17/17 Purchase - Interest 3130AAE46 1.00 131.94 11,769.61 01/25/17 01/25/17 Purchase - Interest 3136ANJY4 1.00 32.29 11,801.90 01/25/17 01/25/17 Purchase - Interest 3136AQDQ0 1.00 61.73 11,863.63 01/25/17 01/25/17 Purchase - Interest 3136AQSW1 1.00 39.54 11,903.17 01/25/17 01/25/17 Purchase - Interest 3136AQDQ0 1.00 65.59 11,968.76 01/25/17 01/25/17 Purchase - Principal 3136AQDQ0 1.00 395.44 12,364.20 01/25/17 01/25/17 Redemption - Interest 3136AQDQ0 1.00 (61.73) 12,302.47 01/25/17 01/25/17 IP Fees December 2016 1.00 (398.91) 11,903.56 Page 18 For the Month Ending January 31, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate CAMP Pool 01/25/17 01/25/17 U.S. Bank Fees November 2016 1.00 (30.48) 11,873.08 01/30/17 01/30/17 Purchase - Interest 94974BGF1 1.00 1,881.25 13,754.33 01/31/17 01/31/17 Purchase - Interest 912828VP2 1.00 750.00 14,504.33 01/31/17 02/01/17 Accrual Income Div Reinvestment - Distributions 1.00 8.23 14,512.56 14,512.56 14,512.56 14,512.56 11,449.59 8.23 0.00 (278,217.33) 282,124.12 10,605.77 8.23 14,512.56 0.00 (278,217.33) 282,124.12 10,605.77 Monthly Distribution Yield Average Monthly Balance Closing Balance Fiscal YTDMonth of Cash Dividends and Income Closing Balance Check Disbursements Redemptions (Excl. Checks) Purchases Opening Balance Closing Balance January January-January 0.85% Page 19 Successor Agency CAMP Account For the Month Ending January 31, 2017Account Statement - Transaction Summary CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Opening Market Value Purchases Redemptions Change in Value Closing Market Value 19,594.11 328,912.81 (327,366.68) 0.00 $21,140.24 CAMP Pool Unsettled Trades 0.00 14.08 Cash Dividends and Income Opening Market Value Purchases Redemptions Change in Value Closing Market Value 5,238,707.72 326,408.13 (325,152.58) 2,481.51 $5,242,817.53 CAMP Managed Account Unsettled Trades 372.75 4,495.86 Cash Dividends and Income January 31, 2017 December 31, 2016 Asset Summary CAMP Pool 21,140.24 19,594.11 CAMP Managed Account 5,242,817.53 5,238,707.72 $5,263,957.77 $5,258,301.83 Total Asset Allocation 0.40% CAMP Pool 99.60% CAMP Managed Account Page 1 For the Month Ending January 31, 2017Managed Account Summary Statement CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dividend Closing Market Value Redemptions Purchases Opening Market Value Closing Market Value Change in Current Value Unsettled Trades Principal Acquisitions Principal Dispositions Maturities/Calls Opening Market Value Closing Market Value Opening Market Value Account Total Total Cash Basis Earnings Plus Net Realized Gains/Losses Less Purchased Interest Related to Interest/Coupons Interest/Dividends/Coupons Received Earnings Reconciliation (Cash Basis) - Managed Account Dividends Less Beginning Accrued Interest Less Beginning Amortized Value of Securities Less Cost of New Purchases Plus Coupons/Dividends Received Plus Proceeds of Maturities/Calls/Principal Payments Plus Proceeds from Sales Ending Accrued Interest Ending Amortized Value of Securities Earnings Reconciliation (Accrual Basis) Reconciling Transactions Net Cash Contribution Security Purchases Principal Payments Coupon/Interest/Dividend Income Sale Proceeds Maturities/Calls Cash Transactions Summary- Managed Account $19,594.11 328,912.81 (327,366.68) $21,140.24 14.08 $5,238,707.72 (395.44) (324,757.14) 326,408.13 372.75 2,481.51 $5,242,817.53 $5,258,301.83 $5,263,957.77 2,590.67 (451.24) 2,356.43 $4,495.86 0.00 325,375.32 1,972.49 395.44 (326,859.37) (883.88) 0.00 Managed Account Total 5,276,815.87 5,297,956.11 23,256.44 375,243.59 395.44 1,972.49 (376,825.87) (5,274,984.91) (18,640.35) 0.00 23,256.44 702,610.27 395.44 1,972.49 (705,738.68) (5,294,579.02) (18,640.35) 14.08 Total Accrual Basis Earnings $7,232.70 $7,246.78 Transaction Summary - Managed AccountTransaction Summary - Money Market _______________________________________________ _______________________________________________ _____________________________________________________ Cash Balance $0.00 Closing Cash Balance Page 2 For the Month Ending January 31, 2017Portfolio Summary and Statistics CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Account Summary Percent Par Value Market ValueDescription U.S. Treasury Bond / Note 1,805,000.00 1,810,620.14 34.41 Municipal Bond / Note 30,000.00 30,084.00 0.57 Federal Agency Collateralized Mortgage Obligation 94,604.56 94,745.77 1.80 Federal Agency Bond / Note 1,610,000.00 1,592,451.78 30.25 Corporate Note 1,210,000.00 1,214,067.44 23.06 Certificate of Deposit 500,000.00 500,848.40 9.51 Managed Account Sub-Total 5,249,604.56 5,242,817.53 99.60% Accrued Interest 23,256.44 Total Portfolio 5,249,604.56 5,266,073.97 CAMP Pool 21,140.24 21,140.24 0.40 Total Investments 5,270,744.80 5,287,214.21 100.00% Unsettled Trades 50,000.00 50,010.20 Sector Allocation 9.51% Cert of Deposit 23.06% Corporate Note 1.80% Fed Agency CMO 30.25% Fed Agy Bond / Note 0.40% Mny Mkt Fund 0.57% Muni Bond / Note 34.41% US TSY Bond / Note 0 - 6 Months 6 - 12 Months 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years Over 5 Years 5.15%3.80% 18.83% 33.31% 18.38% 20.53% 0.00% Maturity Distribution Characteristics Yield to Maturity at Cost Yield to Maturity at Market Duration to Worst Weighted Average Days to Maturity 2.62 996 1.42% 1.61% Page 3 For the Month Ending January 31, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Credit Quality (S&P Ratings) 4.30% A 6.67% A+ 2.39% A- 1.90% A-1 1.90% A-1+ 67.49% AA+ 11.63% AA- 0.95% AAA 0.40% AAAm 2.37% BBB+ Issuer Summary Percentof HoldingsIssuer Market Value 100,755.40 1.91 AMERICAN HONDA FINANCE 54,814.76 1.04 APPLE INC 124,811.50 2.37 BANK OF NEW YORK CO INC 24,588.83 0.47 BB&T CORPORTATION 26,817.50 0.51 BURLINGTON NORTHERN SANTA FE 21,140.24 0.40 CAMP Pool 80,271.92 1.52 CHEVRON CORP 101,022.10 1.92 CISCO SYSTEMS INC 75,032.33 1.43 CITIGROUP INC 926,014.41 17.59 FANNIE MAE 706,428.05 13.42 FEDERAL HOME LOAN BANKS 54,755.09 1.04 FREDDIE MAC 49,856.15 0.95 GOLDMAN SACHS GROUP INC 100,045.00 1.90 HSBC HOLDINGS PLC 99,969.00 1.90 IBM CORP 101,251.70 1.92 JP MORGAN CHASE & CO 50,010.20 0.95 MICROSOFT CORP 100,823.60 1.92 NORDEA BANK AB 100,181.50 1.90 ROYAL BANK OF CANADA 99,856.50 1.90 SKANDINAVISKA ENSKIDA BANKEN AB 30,084.00 0.57 STATE OF CONNECTICUT 24,493.95 0.47 STATE STREET CORPORATION 99,941.80 1.90 SVENSKA HANDELSBANKEN 1,810,620.14 34.39 UNITED STATES TREASURY 250,313.50 4.76 US BANCORP 50,058.60 0.95 WELLS FARGO & COMPANY $5,263,957.77 Total 100.00% Page 4 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par U.S. Treasury Bond / Note US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 75,527.33 75,935.48 313.10 76,025.39 11/14/1611/10/16AaaAA+ 75,000.00 912828D23 1.06 US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 150,615.30 151,502.55 389.42 151,640.63 11/14/1611/10/16AaaAA+ 150,000.00 912828WL0 1.06 US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 59,285.16 59,264.91 103.85 58,842.19 05/29/1505/28/15AaaAA+ 60,000.00 912828UB4 1.44 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 74,431.65 74,324.88 398.83 74,062.50 11/09/1511/05/15AaaAA+ 75,000.00 912828UQ1 1.55 US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 101,308.60 101,430.15 5.52 101,886.72 12/04/1512/01/15AaaAA+ 100,000.00 912828VP2 1.58 US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 188,121.88 187,476.00 1,672.41 188,201.37 12/30/1512/28/15AaaAA+ 185,000.00 912828VV9 1.74 US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 100,261.70 101,472.57 449.59 101,851.56 02/03/1602/01/16AaaAA+ 100,000.00 912828WC0 1.35 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 176,886.68 179,060.00 605.77 179,997.07 03/04/1603/02/16AaaAA+ 175,000.00 912828A42 1.38 US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 125,087.88 126,921.98 193.37 127,241.21 05/31/1605/27/16AaaAA+ 125,000.00 912828N48 1.35 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 75,697.28 78,224.96 638.12 78,667.97 07/08/1607/06/16AaaAA+ 75,000.00 912828B90 0.92 US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 53,807.60 55,614.68 234.20 55,700.39 06/29/1606/27/16AaaAA+ 55,000.00 912828Q37 0.98 US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 176,807.88 176,487.86 635.84 176,428.13 01/05/1701/03/17AaaAA+ 180,000.00 912828Q78 1.86 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 201,453.20 206,574.06 692.31 207,187.50 09/02/1609/01/16AaaAA+ 200,000.00 912828WN6 1.22 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 125,664.00 129,386.70 1,063.54 129,692.38 10/05/1610/03/16AaaAA+ 125,000.00 912828D72 1.21 Page 5 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par U.S. Treasury Bond / Note US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 125,664.00 125,360.04 1,063.54 125,371.09 12/05/1612/01/16AaaAA+ 125,000.00 912828D72 1.93 8,459.41 1,810,620.14 1,829,036.82 1.42 1,832,796.10 1,805,000.00 Security Type Sub-Total Municipal Bond / Note CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 30,084.00 30,045.78 223.72 30,084.30 03/25/1503/16/15Aa3AA- 30,000.00 20772JZK1 1.90 223.72 30,084.00 30,045.78 1.90 30,084.30 30,000.00 Security Type Sub-Total Federal Agency Collateralized Mortgage Obligation FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 25,002.08 25,076.90 32.29 25,249.91 04/30/1504/15/15AaaAA+ 25,000.00 3136ANJY4 0.83 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 25,073.69 25,138.47 39.54 25,250.00 11/30/1511/06/15AaaAA+ 25,000.00 3136AQSW1 1.20 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 44,670.00 44,885.13 61.18 45,051.23 10/30/1510/07/15AaaAA+ 44,604.56 3136AQDQ0 1.08 133.01 94,745.77 95,100.50 1.05 95,551.14 94,604.56 Security Type Sub-Total Federal Agency Bond / Note FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 99,231.70 99,712.34 302.08 99,624.00 08/12/1608/11/16AaaAA+ 100,000.00 3130A8PK3 0.82 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 25,184.55 25,000.35 72.22 25,000.75 06/19/1406/16/14AaaAA+ 25,000.00 3135G0YT4 1.62 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 105,775.11 105,451.01 303.33 105,997.50 10/23/1410/22/14AaaAA+ 105,000.00 3135G0YT4 1.39 FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 99,941.10 99,996.00 52.08 99,996.00 12/08/1612/07/16AaaAA+ 100,000.00 3130AAE46 1.25 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 49,695.15 50,102.92 215.28 50,126.50 08/08/1608/05/16AaaAA+ 50,000.00 3135G0J53 0.90 Page 6 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Federal Agency Bond / Note FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 124,237.88 124,796.04 538.19 124,705.00 02/23/1602/19/16AaaAA+ 125,000.00 3135G0J53 1.08 FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 54,755.09 55,274.50 182.19 55,331.10 08/15/1608/12/16AaaAA+ 55,000.00 3137EADZ9 0.90 FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 123,332.50 124,824.40 543.84 124,790.00 08/02/1607/29/16AaaAA+ 125,000.00 3135G0N33 0.93 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 123,324.63 124,798.84 537.76 124,760.00 08/04/1608/03/16AaaAA+ 125,000.00 3130A8Y72 0.94 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 123,640.25 124,831.62 517.36 124,805.00 09/02/1608/31/16AaaAA+ 125,000.00 3135G0P49 1.05 FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 123,539.63 124,905.03 434.03 124,891.25 09/09/1609/08/16AaaAA+ 125,000.00 3130A9EP2 1.03 FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 177,624.18 179,559.93 480.00 179,517.60 10/25/1610/21/16AaaAA+ 180,000.00 3135G0R39 1.09 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 139,488.86 139,969.96 395.69 139,967.80 11/17/1611/16/16AaaAA+ 140,000.00 3130AA3R7 1.38 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 120,902.13 124,320.45 66.41 124,239.88 07/15/1607/14/16AaaAA+ 125,000.00 3130A8QS5 1.25 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 24,233.10 24,921.95 140.63 24,914.48 08/19/1608/17/16AaaAA+ 25,000.00 3135G0N82 1.32 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 77,545.92 79,704.31 450.00 79,676.00 08/19/1608/17/16AaaAA+ 80,000.00 3135G0N82 1.33 5,231.09 1,592,451.78 1,608,169.65 1.12 1,608,342.86 1,610,000.00 Security Type Sub-Total Corporate Note US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 250,313.50 250,000.00 870.83 255,340.00 07/30/1207/25/12A1A+ 250,000.00 91159HHD5 1.19 Page 7 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 99,969.00 99,904.12 600.69 99,542.00 02/08/1302/05/13Aa3AA- 100,000.00 459200HK0 1.35 BANK OF NEW YORK MELLON (CALLABLE) DTD 03/06/2013 1.350% 03/06/2018 74,891.85 74,995.10 407.81 74,978.25 03/06/1303/04/13A1A 75,000.00 06406HCJ6 1.36 APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 54,814.76 54,948.02 134.44 54,797.05 05/03/1304/30/13Aa1AA+ 55,000.00 037833AJ9 1.08 CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 80,271.92 80,000.00 141.26 80,000.00 06/24/1306/17/13Aa2AA- 80,000.00 166764AE0 1.72 CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 50,511.05 50,225.33 442.71 50,475.00 09/04/1408/29/14A1AA- 50,000.00 17275RAR3 1.90 CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 50,511.05 50,283.73 442.71 50,469.50 09/04/1509/01/15A1AA- 50,000.00 17275RAR3 1.85 GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 49,856.15 49,975.99 266.67 49,968.00 04/26/1604/21/16A3BBB+ 50,000.00 38141GVT8 2.02 CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 24,936.33 24,989.72 76.88 24,987.00 06/09/1606/02/16Baa1BBB+ 25,000.00 172967KS9 2.07 AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 100,755.40 99,901.82 1,037.50 99,815.00 09/09/1409/04/14A1A+ 100,000.00 02665WAH4 2.29 BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 26,817.50 27,100.18 391.67 27,597.50 06/08/1606/03/16A3A 25,000.00 12189TBC7 1.48 CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 50,096.00 49,980.38 71.46 49,980.00 01/10/1701/04/17Baa1BBB+ 50,000.00 172967LF6 2.46 MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 50,010.20 49,966.50 0.00 49,966.50 02/06/1701/30/17AaaAAA 50,000.00 594918BV5 1.87 JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 101,251.70 100,356.91 290.28 100,497.00 09/04/1509/01/15A3A- 100,000.00 46625HLW8 2.64 Page 8 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note WELLS FARGO & COMPANY NOTES DTD 12/07/2015 2.550% 12/07/2020 50,058.60 50,939.43 191.25 51,108.00 05/10/1605/06/16A2A 50,000.00 94974BGR5 2.04 BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 49,919.65 50,992.12 368.06 51,149.00 05/19/1605/16/16A1A 50,000.00 06406FAA1 2.00 BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 24,588.83 24,985.78 115.31 24,983.50 05/16/1605/10/16A2A- 25,000.00 05531FAV5 2.06 STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 24,493.95 24,917.99 97.50 24,905.50 05/24/1605/19/16A1A 25,000.00 857477AV5 2.03 5,947.03 1,214,067.44 1,214,463.12 1.75 1,220,558.80 1,210,000.00 Security Type Sub-Total Certificate of Deposit SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 99,856.50 100,000.00 316.56 100,000.00 11/17/1511/16/15P-1A-1 100,000.00 83050FBG5 1.48 HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 100,045.00 100,000.00 1,886.50 100,000.00 11/18/1511/17/15P-1A-1+ 100,000.00 40428AR58 1.54 ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 100,181.50 100,000.00 670.56 100,000.00 03/15/1603/11/16Aa3AA- 100,000.00 78009NZZ2 1.69 NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 100,823.60 100,000.00 283.56 100,000.00 12/05/1612/01/16Aa3AA- 100,000.00 65558LWA6 1.74 SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 99,941.80 100,000.00 105.00 100,000.00 01/12/1701/10/17Aa2AA- 100,000.00 86958JHB8 1.91 3,262.18 500,848.40 500,000.00 1.67 500,000.00 500,000.00 Security Type Sub-Total 5,249,604.56 5,287,333.20 1.42 23,256.44 5,276,815.87 5,242,817.53 Managed Account Sub-Total Money Market Fund CAMP Pool 21,140.24 21,140.24 0.00 21,140.24 NRAAAm 21,140.24 21,140.24 21,140.24 0.00 21,140.24 21,140.24 Money Market Sub-Total Page 9 For the Month Ending January 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY $5,270,744.80 $5,308,473.44 $23,256.44 $5,297,956.11 $5,263,957.77 1.42% $5,287,214.21 $23,256.44 Total Investments Accrued Interest Securities Sub-Total Bolded items are forward settling trades. Page 10 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Security Type/Description Next Call Market YTMEffective Duration U.S. Treasury Bond / Note 2.19 (408.15)(498.06) 75,527.33 100.70 CITIGRP 75,000.00 912828D23US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 1.31 2.19 2.28 (887.25)(1,025.33) 150,615.30 100.41 MORGANST 150,000.00 912828WL0US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 1.32 2.28 2.77 20.25 442.97 59,285.16 98.81 CITIGRP 60,000.00 912828UB4US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 1.43 2.77 2.99 106.77 369.15 74,431.65 99.24 CITIGRP 75,000.00 912828UQ1US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 1.50 2.99 3.37 (121.55)(578.12) 101,308.60 101.31 MERRILL 100,000.00 912828VP2US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 1.61 3.37 3.41 645.88 (79.49) 188,121.88 101.69 MORGANST 185,000.00 912828VV9US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1.64 3.41 3.60 (1,210.87)(1,589.86) 100,261.70 100.26 MERRILL 100,000.00 912828WC0US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 1.68 3.60 3.66 (2,173.32)(3,110.39) 176,886.68 101.08 MERRILL 175,000.00 912828A42US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 1.71 3.66 3.76 (1,834.10)(2,153.33) 125,087.88 100.07 MORGANST 125,000.00 912828N48US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 1.73 3.76 3.87 (2,527.68)(2,970.69) 75,697.28 100.93 MORGANST 75,000.00 912828B90US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 1.76 3.87 4.01 (1,807.08)(1,892.79) 53,807.60 97.83 CITIGRP 55,000.00 912828Q37US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 1.79 4.01 4.09 320.02 379.75 176,807.88 98.23 MS 180,000.00 912828Q78US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 1.81 4.09 4.12 (5,120.86)(5,734.30) 201,453.20 100.73 HSBC 200,000.00 912828WN6US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 1.82 4.12 4.32 (3,722.70)(4,028.38) 125,664.00 100.53 HSBC 125,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.88 4.32 4.32 303.96 292.91 125,664.00 100.53 HSBC 125,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.88 4.32 (22,175.96) 1.68 3.59 (18,416.68) 1,810,620.14 1,805,000.00 Security Type Sub-Total 3.59 Municipal Bond / Note Page 11 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Security Type/Description Next Call Market YTMEffective Duration Municipal Bond / Note 2.06 38.22 (0.30) 30,084.00 100.28 VINING 30,000.00 20772JZK1CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 1.84 2.06 (0.30) 1.84 2.06 38.22 30,084.00 30,000.00 Security Type Sub-Total 2.06 Federal Agency Collateralized Mortgage Obligation 1.00 (74.82)(247.83) 25,002.08 100.01 GOLDMAN 25,000.00 3136ANJY4FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 1.44 1.01 1.71 (64.78)(176.31) 25,073.69 100.29 GOLDMAN 25,000.00 3136AQSW1FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 1.65 1.21 2.37 (215.13)(381.23) 44,670.00 100.15 MORGANST 44,604.56 3136AQDQ0FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 1.54 1.56 (805.37) 1.54 1.84 (354.73) 94,745.77 94,604.56 Security Type Sub-Total 1.32 Federal Agency Bond / Note 1.50 (480.64)(392.30) 99,231.70 99.23 CITIGRP 100,000.00 3130A8PK3FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 1.14 1.50 1.79 184.20 183.80 25,184.55 100.74 HSBC 25,000.00 3135G0YT4FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 1.21 1.79 1.79 324.10 (222.39) 105,775.11 100.74 GOLDMAN 105,000.00 3135G0YT4FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 1.21 1.79 1.93 (54.90)(54.90) 99,941.10 99.94 BAML 100,000.00 3130AAE46FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 1.28 1.93 2.03 (407.77)(431.35) 49,695.15 99.39 BMO 50,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.30 2.03 2.03 (558.16)(467.12) 124,237.88 99.39 JPMCHASE 125,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.30 2.03 2.16 (519.41)(576.01) 54,755.09 99.55 TD SEC U 55,000.00 3137EADZ9FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 1.33 2.16 2.45 (1,491.90)(1,457.50) 123,332.50 98.67 GOLDMAN 125,000.00 3135G0N33FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 1.42 2.45 2.46 (1,474.21)(1,435.37) 123,324.63 98.66 WELLSFAR 125,000.00 3130A8Y72FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 1.42 2.46 Page 12 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Security Type/Description Next Call Market YTMEffective Duration Federal Agency Bond / Note 2.52 (1,191.37)(1,164.75) 123,640.25 98.91 GOLDMAN 125,000.00 3135G0P49FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 1.43 2.52 2.60 (1,365.40)(1,351.62) 123,539.63 98.83 BARCLAYS 125,000.00 3130A9EP2FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 1.45 2.60 2.67 (1,935.75)(1,893.42) 177,624.18 98.68 BARCLAYS 180,000.00 3135G0R39FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 1.49 2.67 2.72 (481.10)(478.94) 139,488.86 99.63 MERRILL 140,000.00 3130AA3R7FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 1.51 2.72 4.31 (3,418.32)(3,337.75) 120,902.13 96.72 TD SEC U 125,000.00 3130A8QS5FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 1.90 4.31 4.36 (688.85)(681.38) 24,233.10 96.93 TD SEC U 25,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.96 4.36 4.36 (2,158.39)(2,130.08) 77,545.92 96.93 CITIGRP 80,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.96 4.36 (15,891.08) 1.45 2.58 (15,717.87) 1,592,451.78 1,610,000.00 Security Type Sub-Total 2.58 Corporate Note 0.21 313.50 (5,026.50) 250,313.50 100.13 04/15/17BARCLAYS 250,000.00 91159HHD5US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 1.20 0.19 1.00 64.88 427.00 99,969.00 99.97 HSBC 100,000.00 459200HK0IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 1.28 1.00 1.08 (103.25)(86.40) 74,891.85 99.86 GOLDMAN 75,000.00 06406HCJ6BANK OF NEW YORK MELLON (CALLABLE) DTD 03/06/2013 1.350% 03/06/2018 1.48 1.06 1.24 (133.26) 17.71 54,814.76 99.66 GOLDMAN 55,000.00 037833AJ9APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 1.27 1.24 1.37 271.92 271.92 80,271.92 100.34 BARCLAYS 80,000.00 166764AE0CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 1.47 1.37 2.02 285.72 36.05 50,511.05 101.02 BONY 50,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.62 2.02 2.02 227.32 41.55 50,511.05 101.02 BNP PARI 50,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.62 2.02 Page 13 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Security Type/Description Next Call Market YTMEffective Duration Corporate Note 2.16 (119.84)(111.85) 49,856.15 99.71 03/25/19MIZUHO 50,000.00 38141GVT8GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 2.13 2.15 2.28 (53.39)(50.67) 24,936.33 99.75 CITIGRP 25,000.00 172967KS9CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 2.16 2.28 2.43 853.58 940.40 100,755.40 100.76 MERRILL 100,000.00 02665WAH4AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 1.94 2.43 2.48 (282.68)(780.00) 26,817.50 107.27 GOLDMAN 25,000.00 12189TBC7BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 1.89 2.48 2.82 115.62 116.00 50,096.00 100.19 CITI 50,000.00 172967LF6CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 2.38 2.82 2.91 43.70 43.70 50,010.20 100.02 HSBC 50,000.00 594918BV5MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 1.84 2.91 3.14 894.79 754.70 101,251.70 101.25 05/23/20JPMCHASE 100,000.00 46625HLW8JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 2.36 3.22 3.63 (880.83)(1,049.40) 50,058.60 100.12 UBS AG 50,000.00 94974BGR5WELLS FARGO & COMPANY NOTES DTD 12/07/2015 2.550% 12/07/2020 2.52 3.63 3.94 (1,072.47)(1,229.35) 49,919.65 99.84 KEYBAN 50,000.00 06406FAA1BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 2.54 3.94 4.05 (396.95)(394.67) 24,588.83 98.36 SCOTIA 25,000.00 05531FAV5BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 2.46 4.05 4.08 (424.04)(411.55) 24,493.95 97.98 GOLDMAN 25,000.00 857477AV5STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 2.45 4.08 (6,491.36) 1.75 1.87 (395.68) 1,214,067.44 1,210,000.00 Security Type Sub-Total 1.87 Certificate of Deposit 0.78 (143.50)(143.50) 99,856.50 99.86 GOLDMAN 100,000.00 83050FBG5SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 1.63 0.78 0.79 45.00 45.00 100,045.00 100.05 HSBC 100,000.00 40428AR58HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 1.47 0.79 Page 14 For the Month Ending January 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Security Type/Description Next Call Market YTMEffective Duration Certificate of Deposit 1.09 181.50 181.50 100,181.50 100.18 RBC CAP 100,000.00 78009NZZ2ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 1.50 1.09 1.82 823.60 823.60 100,823.60 100.82 MERRILL 100,000.00 65558LWA6NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 1.14 1.82 1.92 (58.20)(58.20) 99,941.80 99.94 BAML 100,000.00 86958JHB8SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 1.85 1.92 848.40 1.52 1.28 848.40 500,848.40 500,000.00 Security Type Sub-Total 1.28 5,249,604.56 5,242,817.53 (44,515.67) (33,998.34) 2.62 1.61 Managed Account Sub-Total 2.62 Money Market Fund 0.00 0.00 0.00 21,140.24 1.00 21,140.24 CAMP Pool 0.00 21,140.24 21,140.24 0.00 0.00 0.00 Money Market Sub-Total 0.00 Total Investments $5,287,214.21 $23,256.44 $5,263,957.77 Accrued Interest Securities Sub-Total $5,270,744.80 ($44,515.67) ($33,998.34) 2.62 1.61% 2.62 Bolded items are forward settling trades. Page 15 For the Month Ending January 31, 2017Managed Account Security Transactions & Interest CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method BUY 01/05/17 US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 912828Q78 (176,428.13)(451.24)(176,879.37) 180,000.00 01/03/17 01/10/17 CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 172967LF6 (49,980.00) 0.00 (49,980.00) 50,000.00 01/04/17 01/12/17 SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 86958JHB8 (100,000.00) 0.00 (100,000.00) 100,000.00 01/10/17 02/06/17 MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 594918BV5 (49,966.50) 0.00 (49,966.50) 50,000.00 01/30/17 (451.24) (376,825.87)(376,374.63) 380,000.00 Transaction Type Sub-Total INTEREST 01/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 0.00 65.59 65.59 45,000.00 01/01/17 01/25/17 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 3136AQSW1 0.00 39.54 39.54 25,000.00 01/01/17 01/25/17 FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 3136ANJY4 0.00 32.29 32.29 25,000.00 01/01/17 01/14/17 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 3130A8QS5 0.00 703.13 703.13 125,000.00 01/14/17 01/16/17 FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 3130AAE46 0.00 131.94 131.94 100,000.00 01/16/17 01/31/17 US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 912828VP2 0.00 1,000.00 1,000.00 100,000.00 01/31/17 1,972.49 1,972.49 0.00 420,000.00 Transaction Type Sub-Total PAYDOWNS 01/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 395.44 0.00 395.44 (3.96) 0.00 395.44 01/01/17 0.00 0.00 (3.96) 395.44 395.44 395.44 Transaction Type Sub-Total SELL Page 16 For the Month Ending January 31, 2017Managed Account Security Transactions & Interest CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method SELL 01/05/17 FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 3135G0WJ8 74,767.50 80.21 74,847.71 903.75 89.01 FIFO 75,000.00 01/03/17 01/05/17 FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 3135G0WJ8 99,690.00 106.94 99,796.94 535.00 (72.39)FIFO 100,000.00 01/03/17 01/10/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 49,556.64 227.90 49,784.54 181.64 15.38 FIFO 50,000.00 01/04/17 01/12/17 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 3135G0YT4 100,743.00 203.13 100,946.13 740.00 741.55 FIFO 100,000.00 01/10/17 02/06/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 49,593.75 274.52 49,868.27 218.75 41.86 FIFO 50,000.00 01/30/17 892.70 815.41 2,579.14 375,243.59 374,350.89 375,000.00 Transaction Type Sub-Total (1,628.30) 2,413.95 785.65 2,575.18 815.41 Managed Account Sub-Total Total Security Transactions $2,575.18 $785.65 $2,413.95 ($1,628.30)$815.41 Bolded items are forward settling trades. Page 17 For the Month Ending January 31, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate CAMP Pool 19,594.11 Opening Balance 01/03/17 01/03/17 Purchase - Interest 912828N48 1.00 1,093.75 20,687.86 01/05/17 01/05/17 Purchase - Principal 3135G0WJ8 1.00 99,690.00 120,377.86 01/05/17 01/05/17 Purchase - Principal 3135G0WJ8 1.00 74,767.50 195,145.36 01/05/17 01/05/17 Purchase - Interest 3135G0WJ8 1.00 80.21 195,225.57 01/05/17 01/05/17 Purchase - Interest 3135G0WJ8 1.00 106.94 195,332.51 01/05/17 01/05/17 Redemption - Principal 912828Q78 1.00 (176,428.13) 18,904.38 01/05/17 01/05/17 Redemption - Interest 912828Q78 1.00 (451.24) 18,453.14 01/10/17 01/10/17 Purchase - Principal 912828UQ1 1.00 49,556.64 68,009.78 01/10/17 01/10/17 Purchase - Interest 912828UQ1 1.00 227.90 68,237.68 01/10/17 01/10/17 Redemption - Principal 172967LF6 1.00 (49,980.00) 18,257.68 01/12/17 01/12/17 Purchase - Principal 3135G0YT4 1.00 100,743.00 119,000.68 01/12/17 01/12/17 Purchase - Interest 3135G0YT4 1.00 203.13 119,203.81 01/12/17 01/12/17 Redemption - Principal 86958JHB8 1.00 (100,000.00) 19,203.81 01/17/17 01/17/17 Purchase - Interest 3130A8QS5 1.00 703.13 19,906.94 01/17/17 01/17/17 Purchase - Interest 3130AAE46 1.00 131.94 20,038.88 01/25/17 01/25/17 Purchase - Interest 3136ANJY4 1.00 32.29 20,071.17 01/25/17 01/25/17 Purchase - Interest 3136AQDQ0 1.00 61.73 20,132.90 01/25/17 01/25/17 Purchase - Interest 3136AQSW1 1.00 39.54 20,172.44 01/25/17 01/25/17 Purchase - Interest 3136AQDQ0 1.00 65.59 20,238.03 01/25/17 01/25/17 Purchase - Principal 3136AQDQ0 1.00 395.44 20,633.47 01/25/17 01/25/17 Redemption - Interest 3136AQDQ0 1.00 (61.73) 20,571.74 Page 18 For the Month Ending January 31, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate CAMP Pool 01/25/17 01/25/17 IP Fees December 2016 1.00 (413.95) 20,157.79 01/25/17 01/25/17 U.S. Bank Fees November 2016 1.00 (31.63) 20,126.16 01/31/17 01/31/17 Purchase - Interest 912828VP2 1.00 1,000.00 21,126.16 01/31/17 02/01/17 Accrual Income Div Reinvestment - Distributions 1.00 14.08 21,140.24 21,140.24 21,140.24 21,140.24 19,599.11 14.08 0.00 (327,366.68) 328,912.81 19,594.11 14.08 21,140.24 0.00 (327,366.68) 328,912.81 19,594.11 Monthly Distribution Yield Average Monthly Balance Closing Balance Fiscal YTDMonth of Cash Dividends and Income Closing Balance Check Disbursements Redemptions (Excl. Checks) Purchases Opening Balance Closing Balance January January-January 0.85% Page 19