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Item No. 02 Investment Report for February 2017
Text File City of Lake Elsinore 130 South Main Street Lake Elsinore, CA 92530 www.lake-elsinore.org File Number: ID# 17-117 Agenda Date: 3/28/2017 Status: Consent AgendaVersion: 1 File Type: InvestmentsIn Control: City Council Agenda Number: 2) Page 1 City of Lake Elsinore Printed on 3/23/2017 REPORT TO CITY COUNCIL To:Honorable Mayor and Members of the City Council From:Grant Yates, City Manager Prepared by:Andrew Zavala, Accountant I Approved by:Jason Simpson, Assistant City Manager Date:March 28, 2017 Subject:Investment Report for February 2017 Recommendation Receive and file the Investment Report for February 2017. Background and Discussion The Investment Report is a listing of all funds invested for the City as of the date shown on the report. Additionally, the Review of the Investment Performance for the quarter ended December 31, 2016 is included. Fiscal Impact No fiscal impact. Exhibits A: Investment Report for February 2017 CITY OF LAKE ELSINORE INVESTMENT REPORT BANK DEPOSITS OUTSTANDING BOOK CASH ACCOUNTS BALANCE IN TRANSIT CHECKS BALANCE Bank Accounts: General Checking Account 7,591,143$ 249,880$ (1,235,686)$ 6,605,337$ Cash On Hand: Cashier Drawers #1 & #2 - - - 300 City of Lake Elsinore Petty Cash Fund - - - 1,000 Total Cash Accounts 7,591,143 249,880 (1,235,686) 6,606,637 INVESTMENTS City Investments: City Local Agency Investment Fund 18,542,326 - 18,542,326 City Local Agency Investment Fund for the PFA - - - - City CAMP Investments: CAMP Pool Account 81,097 - - 81,097 U.S. Treasury Bond / Note 9,758,274 - - 9,758,274 Municipal Bond / Note 290,464 - - 290,464 Federal Agency Collateralized Mortgage Obligation 527,082 - - 527,082 Federal Agency Bond / Note 7,634,195 - - 7,634,195 Corporate Note 6,577,036 - - 6,577,036 Commercial Paper 621,031 621,031 Certificate of Deposit 4,649,552 - - 4,649,552 Housing CAMP Investments: Housing CAMP Pool Account 24,836 - - 24,836 Housing U.S. Treasury Bond / Notes 1,569,551 - - 1,569,551 Housing Municipal Bond / Notes 30,084 - - 30,084 Housing Federal Agency Collateralized Mortgage 95,412 - - 95,412 Housing Federal Agency Bond / Notes 1,351,226 - - 1,351,226 Housing Corporate Notes 1,448,371 - - 1,448,371 Housing Certificate of Deposit 600,000 - - 600,000 Successor Investments: Successor Local Agency Investment Fund 8,403,663 - - 8,403,663 Successor CAMP Investments: Successor CAMP Pool Account 31,119 - - 31,119 Successor U.S. Treasury Bond / Notes 1,758,734 - - 1,758,734 Successor Municipal Bond / notes 30,084 - - 30,084 Successor Federal Agency Collaterized Mortgage 95,412 - - 95,412 Successor Federal Agency Bond / Notes 1,558,547 - - 1,558,547 Successor Corporate Notes 1,250,528 - - 1,250,528 Successor Certificate of Deposit 600,000 - - 600,000 Sub-total Investments 67,528,623 - - 67,528,623 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 68,041,025 - - 68,041,025 Total Pooled Cash and Investments 75,632,168$ 249,880$ (1,235,686)$ 74,647,662$ TOTAL POOLED CASH AND INVESTMENTS 74,647,662$ 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 March 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 FEBRUARY 28, 2017 FUND NO FUND NAME AMOUNT 100 General 9,824,018$ 101 Supplemental Law Enforcement 8,333 104 Traffic Offender 3,000 106 Affordable Housing In Lieu 1,037,441 107 Developer Agreement Revenue 756,495 110 State Gas Tax 1,310,422 112 Measure A 1,516,619 114 SB1186 CASP Education Program 6,765 116 City Hall-Public Works DIF 1,251,605 117 Community Center DIF 440,081 118 Lake Side Facility DIF 677,670 119 Animal Shelter DIF 45,600 121 T.R.I.P.-2014A 150 135 Lighting & Landscape Maintenance - Dist. No. 1 579,141 140 Geothermal 20,126 155 CSA152 -- N.P.D.E.S.25,629 205 Traffic Impact Fee 3,926,998 211 Storm Drain C.I.P. 4,273,023 231 Library C.I.P. 1,750,810 232 City Fire Protection 158,168 254 Railroad Canyon Improvement Area 89-1 126,253 268 CFD 2006-2 Viscaya Improvement 222 300 Insurance Service 933,110 305 Information Systems Service 5,178 315 Fleet Service 94,933 320 Facilities Service 548,577 331 CFD 2006-1CC Summerly Improvement Area CC 10,944 332 CFD 2006-1 Improvement Area B, Summerly 36,168 334 CFD 2015-5 Trieste - Far West Industries 19,020 336 CFD 2006-1FF Summerly Improvement Area FF 31,333 337 CFD 2016-2 Canyon Hills 9,378 345 CFD 2003-2S Improvement Area D, Canyon Hills 326,190 346 CFD 2014-1 Southshore 63,793 347 CFD 2006-1 Improvement Area A, Summerly 38,204 350 CFD 98-1 Summerhill 913,716 352 AD 86-1 Northwest Sewer 659,115 354 CFD 90-2 Tuscany Hills 1,100,597 357 CFD 2003-2 Canyon Hills Improvement Area 257,162 366 CFD 2005-6 City Center Townhomes Debt Service 91,996 368 CFD 2006-2 Viscaya 149,560 369 CFD 2004-3 Area 1 Rosetta Canyon Improvement Area 334,472 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 FEBRUARY 28, 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 FEBRUARY 28, 2017 371 CFD 2005-1 Serenity 159,634 372 CFD 2005-2 Alberhill Ranch Improvement Area 239,907 374 CFD 2005-4 Lakeview Villas 49,691 375 CFD 2006-4 Clurman Debt Service 20,506 376 CFD 2006-3 La Strada 18,722 377 CFD 2006-6 Tessara 13,601 378 CFD 2006-8 Running Deer Estates 50,696 384 CFD 2003-2 Area B Canyon Hills Improvement Area 302,930 385 CFD 2004-3 Area 2 Rosetta Canyon Improvement Area 385,446 387 CFD 2007-5 Red Kite 69,980 388 CFD 2007-6 Holiday Inn Express 3,652 389 CFD 88-3 (2008A) West Lake Elsinore Series A 1,211,410 390 CFD 2003-2 Area C Canyon Hills Improvement Area 112,325 392 CFD 95-1 City Center 76,370 393 AD 93-1 Cottonwood Hills 413,577 394 CFD 2005-5 (2012A) Wasson Canyon 174,299 500 Capital Improvement Plan 6,907,761 510 Successor Agency RDA Area I 584,235 520 Successor Agency RDA Area II 3,338,610 530 Successor Agency RDA Area III 1,390,590 540 Successor Area RDA Diamond Stadium 3,847,761 604 Endowment Trust - Korn Memorial 31,536 605 Public Improvement Trust 712,378 606 Mobile Source Air Polution Reduction 259,816 608 Trust Deposit & Pre Paid Expense 5,583,377 617 Successor Agency Housing 12,151,041 620 Cost Recovery System 2,976,727 631 Lake Destratification Equipment Replacement 199,066 Total Pooled Cash & Investments 74,647,662$ DIVERSIFICATION MAXIMUM TYPES OF SECURITIES PERCENTAGE PERCENTAGE U.S. Treasury Bills 0.00%Unlimited U.S. Treasury Bond / Note 19.38%Unlimited Current Balance 13,086,559$ Municipal Bond / Note 0.52%Unlimited Current Balance 350,632$ Federal Agency Collaterized Mortgage Obligation 1.06%40.00% Current Balance 717,906$ Federal Agency Bond / Note 15.61%*Unlimited Current Balance 10,543,967$ Banker's Acceptance 0.00%40.00% Certificates of Deposit 8.66%25.00% Current Balance 5,849,552$ Negotiable Certificates of Deposit 0.00%30.00% Commercial Paper 0.92%25.00% 621,031$ Corporate Note 13.74%30.00% Current Balance 9,275,935$ Repurchase Agreements 0.00%Unlimited Reverse Repurchase Agreements 0.00%20.00% LAIF (Local Agency Investment Fund)39.90%*$65 Million Current Balance 26,945,989$ CAMP - Pooled Sweep Account 0.20%Unlimited Current Balance 137,052$ TOTAL 100.00%*67,528,623$ 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 $65 million in each agency. *Totals include the City, Housing, and Successor Agency CAMP Portfolios. FOR THE MONTH ENDING FEBRUARY 28, 2017 SUMMARY OF POLICY LIMITATIONS C I T Y O F L A K E E L S I N O R E Local Agency Investment Fund Yield Purchase Date Maturity Rate 0.777%Daily 24-Hour Agency Beginning Balance Net Increase/(Decrease)Ending Balance City 22,542,326$ (4,000,000)$ 18,542,326$ City for the PFA -$ -$ -$ Successor Agency 9,503,663$ (1,100,000)$ 8,403,663$ Total Investments Held with Local Agency Investment Fund:32,045,989$ (5,100,000)$ 26,945,989$ 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 FEBRUARY 28, 2017 JOHN CHIANG TREASURER STATE OF CALIFORNIA 02/06/17 0.77 0.76 194 02/07/17 0.77 0.76 194 02/08/17 0.77 0.76 194 02/09/17 0.77 0.76 192 02/10/17 0.78 0.76 192 02/11/17 0.78 0.76 192 02/12/17 0.78 0.76 192 02/13/17 0.78 0.76 190 02/14/17 0.78 0.76 189 02/15/17 0.78 0.76 194 02/16/17 0.78 0.76 193 02/17/17 0.78 0.76 192 02/18/17 0.78 0.76 192 Feb 2017 0.777% 02/19/17 0.78 0.76 192 Jan 2017 0.751% 02/20/17 0.78 0.76 192 Dec 2016 0.719% 02/21/17 0.78 0.76 187 02/22/17 0.78 0.76 185 02/23/17 0.78 0.76 182 02/24/17 0.78 0.76 181 02/25/17 0.78 0.76 181 02/26/17 0.78 0.76 181 02/27/17 0.78 0.76 179 02/28/17 0.79 0.76 186 03/01/17 0.79 0.76 192 03/02/17 0.80 0.77 196 03/03/17 0.80 0.77 198 03/04/17 0.80 0.77 198 03/05/17 0.80 0.77 198 03/06/17 0.80 0.77 196 03/07/17 0.80 0.77 195 03/08/17 0.80 0.77 195 3/8/2017 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 Yields 0.68% *Daily yield does not reflect capital gains or losses 171 Treasuries 48.10% Mortgages 0.07% Agencies 13.38% Certificates of Deposit/Bank Notes 17.15% Time Deposits 7.26% Commercial Paper 10.82% Loans 3.22% Pooled Money Investment Account Portfolio Composition 01/31/17 $73.8 billion City Funds CAMP Account For the Month Ending February 28, 2017Account Statement - Transaction Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Opening Market Value Purchases Redemptions Change in Value Closing Market Value 56,642.92 2,343,761.71 (2,319,307.95) 0.00 $81,096.68 CAMP Pool Unsettled Trades 0.00 24.42 Cash Dividends and Income Opening Market Value Purchases Redemptions Change in Value Closing Market Value 29,793,226.50 2,015,689.02 (1,970,360.60) 38,309.92 $29,878,203.42 CAMP Managed Account Unsettled Trades 1,338.58 78,260.85 Cash Dividends and Income February 28, 2017 January 31, 2017 Asset Summary CAMP Pool 81,096.68 56,642.92 CAMP Managed Account 29,878,203.42 29,793,226.50 $29,959,300.10 $29,849,869.42 Total Asset Allocation 0.27% CAMP Pool 99.73% CAMP Managed Account Page 1 For the Month Ending February 28, 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 $56,642.92 2,343,761.71 (2,319,307.95) $81,096.68 24.42 $29,793,226.50 (811.36) (1,969,549.24) 2,015,689.02 1,338.58 38,309.92 $29,878,203.42 $29,849,869.42 $29,959,300.10 75,453.89 (902.11) 3,709.07 $78,260.85 0.00 2,276,970.43 65,595.20 811.36 (2,316,390.13) (26,986.86) 0.00 Managed Account Total 30,006,608.01 30,087,704.69 100,791.69 2,156,253.39 811.36 65,595.20 (2,196,403.93) (29,962,480.92) (134,544.97) 0.00 100,791.69 4,475,561.34 811.36 65,595.20 (4,540,165.64) (30,019,123.84) (134,544.97) 24.42 Total Accrual Basis Earnings $36,629.83 $36,654.25 Transaction Summary - Managed AccountTransaction Summary - Money Market _______________________________________________ _______________________________________________ _____________________________________________________ Cash Balance $0.00 Closing Cash Balance Page 2 For the Month Ending February 28, 2017Portfolio Summary and Statistics CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Account Summary Percent Par Value Market ValueDescription U.S. Treasury Bond / Note 9,605,000.00 9,647,837.71 32.20 Municipal Bond / Note 290,000.00 290,758.30 0.97 Federal Agency Collateralized Mortgage Obligation 521,859.93 522,179.25 1.74 Federal Agency Bond / Note 7,645,000.00 7,560,955.37 25.24 Corporate Note 6,505,000.00 6,568,338.45 21.92 Commercial Paper 625,000.00 621,846.88 2.08 Certificate of Deposit 4,650,000.00 4,666,287.46 15.58 Managed Account Sub-Total 29,841,859.93 29,878,203.42 99.73% Accrued Interest 100,791.69 Total Portfolio 29,841,859.93 29,978,995.11 CAMP Pool 81,096.68 81,096.68 0.27 Total Investments 29,922,956.61 30,060,091.79 100.00% Unsettled Trades 180,000.00 179,812.80 Sector Allocation 15.58% Cert of Deposit 2.08% Commercial Paper 21.92% Corporate Note 1.74% Fed Agency CMO 25.24% Fed Agy Bond / Note 0.27% Mny Mkt Fund 0.97% Muni Bond / Note 32.20% 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 2.67% 9.02% 19.84% 30.19% 17.24% 21.04% 0.00% Maturity Distribution Characteristics Yield to Maturity at Cost Yield to Maturity at Market Duration to Worst Weighted Average Days to Maturity 2.57 973 1.50% 1.59% Page 3 For the Month Ending February 28, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Credit Quality (S&P Ratings) 3.30% A 6.13% A+ 3.71% A- 3.99% A-1 1.92% A-1+ 1.76% AA 60.21% AA+ 13.32% AA- 1.01% AAA 0.27% AAAm 2.36% BBB+ 2.02% NR Issuer Summary Percentof HoldingsIssuer Market Value 198,608.00 0.67 AMERICAN EXPRESS CO 581,431.38 1.95 AMERICAN HONDA FINANCE 309,052.33 1.04 APPLE INC 605,874.00 2.03 BANK OF MONTREAL 300,933.90 1.01 BANK OF NEW YORK CO INC 575,253.00 1.93 BANK OF NOVA SCOTIA 148,261.05 0.50 BB&T CORPORTATION 401,176.00 1.35 BERKSHIRE HATHAWAY INC 161,198.55 0.54 BURLINGTON NORTHERN SANTA FE 81,096.68 0.27 CAMP Pool 579,570.68 1.95 CANADIAN IMPERIAL BANK OF COMMERCE 766,529.46 2.57 CHEVRON CORP 576,547.59 1.94 CISCO SYSTEMS INC 406,498.05 1.37 CITIGROUP INC 621,846.88 2.09 CREDIT AGRICOLE SA 3,859,367.88 12.96 FANNIE MAE 3,425,115.99 11.50 FEDERAL HOME LOAN BANKS 798,650.75 2.68 FREDDIE MAC 275,418.75 0.92 GENERAL ELECTRIC CO 299,581.80 1.01 GOLDMAN SACHS GROUP INC 575,534.75 1.93 HSBC HOLDINGS PLC 250,166.25 0.84 IBM CORP 585,138.40 1.96 JP MORGAN CHASE & CO 301,252.80 1.01 MICROSOFT CORP 579,570.68 1.95 NORDEA BANK AB 576,288.00 1.94 ROYAL BANK OF CANADA 574,522.75 1.93 SKANDINAVISKA ENSKIDA BANKEN AB 165,003.30 0.55 STATE OF CONNECTICUT 73,776.38 0.25 STATE STREET CORPORATION 599,673.60 2.01 SVENSKA HANDELSBANKEN 201,097.20 0.68 TOYOTA MOTOR CORP 9,647,837.71 32.39 UNITED STATES TREASURY Page 4 For the Month Ending February 28, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Percentof HoldingsIssuer Market Value 125,755.00 0.42 UNIVERSITY OF CALIFORNIA 100,065.40 0.34 US BANCORP 451,792.36 1.52 WELLS FARGO & COMPANY $29,779,487.30 Total 100.00% Page 5 For the Month Ending February 28, 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 94,751.39 94,908.58 268.17 94,840.43 04/27/1604/22/16AaaAA+ 95,000.00 912828K25 0.84 US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 372,760.57 374,457.81 2,009.70 375,058.59 11/14/1611/10/16AaaAA+ 370,000.00 912828D23 1.06 US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 381,766.24 383,682.04 1,425.00 384,156.25 11/14/1611/10/16AaaAA+ 380,000.00 912828WL0 1.06 US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 306,536.68 306,303.41 775.00 304,017.97 05/29/1505/28/15AaaAA+ 310,000.00 912828UB4 1.44 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 367,456.25 366,751.00 12.57 365,375.00 11/09/1511/05/15AaaAA+ 370,000.00 912828UQ1 1.55 US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 582,502.03 583,045.75 921.27 585,848.63 12/04/1512/01/15AaaAA+ 575,000.00 912828VP2 1.58 US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1,067,882.55 1,063,759.14 60.63 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 842,559.48 852,120.39 4,913.54 855,553.13 02/03/1602/01/16AaaAA+ 840,000.00 912828WC0 1.35 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 151,693.35 153,411.80 750.00 154,283.20 03/04/1603/02/16AaaAA+ 150,000.00 912828A42 1.38 US TREASURY NOTES DTD 12/31/2013 2.375% 12/31/2020 384,375.00 390,296.04 1,476.17 393,837.89 03/31/1603/30/16AaaAA+ 375,000.00 912828A83 1.28 US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 801,031.20 812,063.22 2,320.44 814,343.75 05/31/1605/27/16AaaAA+ 800,000.00 912828N48 1.35 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 580,839.70 599,264.95 31.25 603,121.09 07/08/1607/06/16AaaAA+ 575,000.00 912828B90 0.92 US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 284,086.61 293,182.34 1,513.74 293,692.97 06/29/1606/27/16AaaAA+ 290,000.00 912828Q37 0.98 US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 245,918.00 245,091.81 1,149.00 245,009.77 02/03/1702/01/17AaaAA+ 250,000.00 912828Q78 1.87 Page 6 For the Month Ending February 28, 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 05/02/2016 1.375% 04/30/2021 614,795.00 613,020.19 2,872.50 612,597.66 01/05/1701/03/17AaaAA+ 625,000.00 912828Q78 1.86 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 1,210,077.60 1,238,760.70 6,000.00 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 327,119.98 336,218.47 17.66 337,200.20 10/05/1610/03/16AaaAA+ 325,000.00 912828D72 1.21 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1,031,686.08 1,027,908.52 55.71 1,028,042.97 12/05/1612/01/16AaaAA+ 1,025,000.00 912828D72 1.93 26,572.35 9,647,837.71 9,734,246.16 1.44 9,758,274.42 9,605,000.00 Security Type Sub-Total Municipal Bond / Note UNIV OF CAL TXBL REV BONDS DTD 04/10/2014 1.904% 05/15/2018 125,755.00 125,000.00 700.78 125,000.00 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 165,003.30 165,242.10 1,501.89 165,463.65 03/25/1503/16/15Aa3AA- 165,000.00 20772JZK1 1.90 2,202.67 290,758.30 290,242.10 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 134,936.55 135,372.26 174.38 136,349.51 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 125,250.58 125,653.58 197.74 126,249.99 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 261,992.12 263,441.58 359.18 264,482.17 10/30/1510/07/15AaaAA+ 261,859.93 3136AQDQ0 1.08 731.30 522,179.25 524,467.42 1.04 527,081.67 521,859.93 Security Type Sub-Total Federal Agency Bond / Note FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 894,096.90 897,552.66 375.00 896,616.00 08/12/1608/11/16AaaAA+ 900,000.00 3130A8PK3 0.82 Page 7 For the Month Ending February 28, 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 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 377,716.88 376,537.93 1,591.15 378,562.50 10/23/1410/22/14AaaAA+ 375,000.00 3135G0YT4 1.39 FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 374,941.50 374,985.54 585.94 374,985.00 12/08/1612/07/16AaaAA+ 375,000.00 3130AAE46 1.25 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 124,277.50 124,804.16 17.36 124,705.00 02/23/1602/19/16AaaAA+ 125,000.00 3135G0J53 1.08 FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 373,638.75 376,801.62 1,593.75 377,257.50 08/15/1608/12/16AaaAA+ 375,000.00 3137EADZ9 0.90 FHLMC REFERENCE NOTE DTD 07/20/2016 0.875% 07/19/2019 425,012.00 429,170.17 438.96 428,959.40 07/20/1607/19/16AaaAA+ 430,000.00 3137EAEB1 0.96 FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 715,875.15 724,015.12 511.02 723,782.00 08/02/1607/29/16AaaAA+ 725,000.00 3135G0N33 0.93 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 715,219.03 723,871.62 458.16 723,608.00 08/04/1608/03/16AaaAA+ 725,000.00 3130A8Y72 0.94 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 593,654.40 599,215.83 16.67 599,064.00 09/02/1608/31/16AaaAA+ 600,000.00 3135G0P49 1.05 FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 394,727.60 399,051.47 1,400.00 398,928.00 10/25/1610/21/16AaaAA+ 400,000.00 3135G0R39 1.09 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 737,620.16 739,845.84 2,939.44 739,829.80 11/17/1611/16/16AaaAA+ 740,000.00 3130AA3R7 1.38 FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 547,937.50 549,648.32 22.92 549,648.00 02/28/1702/24/17AaaAA+ 550,000.00 3135G0T29 1.52 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 703,238.40 721,130.48 1,064.84 720,591.28 07/15/1607/14/16AaaAA+ 725,000.00 3130A8QS5 1.25 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 136,033.24 139,570.70 68.06 139,521.06 08/19/1608/17/16AaaAA+ 140,000.00 3135G0N82 1.32 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 446,966.36 458,330.04 223.61 458,137.00 08/19/1608/17/16AaaAA+ 460,000.00 3135G0N82 1.33 Page 8 For the Month Ending February 28, 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 11,306.88 7,560,955.37 7,634,531.50 1.12 7,634,194.54 7,645,000.00 Security Type Sub-Total Corporate Note US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 100,065.40 100,000.00 485.83 102,136.00 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 149,844.45 150,000.00 395.60 150,000.00 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 174,818.53 175,133.35 461.53 175,946.75 12/05/1211/29/12Aa2AA- 175,000.00 166764AA8 0.99 IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 250,166.25 249,779.80 199.65 248,855.00 02/08/1302/05/13Aa3AA- 250,000.00 459200HK0 1.35 BERKSHIRE HATHAWAY GLOBAL NOTE DTD 02/11/2013 1.550% 02/09/2018 401,176.00 399,892.12 378.89 399,444.00 02/11/1301/29/13Aa2AA 400,000.00 084670BH0 1.58 APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 309,052.33 309,726.36 1,016.11 308,856.10 05/03/1304/30/13Aa1AA+ 310,000.00 037833AJ9 1.08 CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 441,866.48 440,000.00 1,406.85 440,000.00 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 273,101.49 271,169.21 2,868.75 272,565.00 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 303,446.10 301,635.77 3,187.50 302,817.00 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 49,930.30 49,899.53 350.00 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 249,651.50 249,884.33 1,750.00 249,840.00 04/26/1604/21/16A3BBB+ 250,000.00 38141GVT8 2.02 CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 105,070.35 104,958.33 502.25 104,945.40 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 581,431.38 574,453.48 575.00 573,936.25 09/09/1409/04/14A1A+ 575,000.00 02665WAH4 2.29 Page 9 For the Month Ending February 28, 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 161,198.55 162,215.37 2,937.50 165,585.00 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 275,418.75 273,754.63 2,024.31 289,082.50 03/25/1503/20/15A1AA- 250,000.00 36962G4J0 2.05 CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 301,427.70 299,885.50 1,041.25 299,880.00 01/10/1701/04/17Baa1BBB+ 300,000.00 172967LF6 2.46 WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 75,298.73 75,177.24 138.85 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 376,493.63 376,563.26 694.27 377,621.25 02/05/1502/02/15A2A 375,000.00 94974BGF1 2.00 MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 301,252.80 299,803.55 385.42 299,799.00 02/06/1701/30/17AaaAAA 300,000.00 594918BV5 1.87 AMERICAN EXPRESS CREDIT CORP NOTES DTD 03/03/2017 2.200% 03/03/2020 179,812.80 179,812.80 0.00 179,812.80 03/03/1702/28/17A2A- 180,000.00 0258M0EE5 2.24 TOYOTA MOTOR CORP NOTES DTD 03/12/2015 2.150% 03/12/2020 201,097.20 201,106.29 2,018.61 201,776.00 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 585,138.40 577,002.74 2,986.81 577,857.75 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 300,933.90 305,910.71 2,833.33 306,978.00 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 198,608.00 199,604.71 1,450.00 199,536.00 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 148,261.05 149,916.29 948.13 149,901.00 05/16/1605/10/16A2A- 150,000.00 05531FAV5 2.06 STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 73,776.38 74,758.53 414.38 74,716.50 05/24/1605/19/16A1A 75,000.00 857477AV5 2.03 31,450.82 6,568,338.45 6,552,043.90 1.92 6,577,036.30 6,505,000.00 Security Type Sub-Total Page 10 For the Month Ending February 28, 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 Commercial Paper CREDIT AGRICOLE CIB NY COMM PAPER DTD 02/08/2017 0.000% 08/08/2017 621,846.88 621,472.23 0.00 621,031.25 02/09/1702/09/17P-1A-1 625,000.00 22533TV86 1.28 0.00 621,846.88 621,472.23 1.28 621,031.25 625,000.00 Security Type Sub-Total Certificate of Deposit BANK OF NOVA SCOTIA HOUSTON YCD DTD 11/09/2015 1.560% 11/06/2017 575,253.00 575,000.00 2,865.42 575,000.00 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 574,522.75 575,000.00 2,482.08 575,000.00 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 575,534.75 575,000.00 11,536.10 575,000.00 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 576,288.00 575,000.00 4,670.28 575,000.00 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 579,570.68 574,604.70 2,417.56 574,551.50 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 579,570.68 575,000.00 2,417.56 575,000.00 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 599,673.60 600,000.00 1,512.00 600,000.00 01/12/1701/10/17Aa2AA- 600,000.00 86958JHB8 1.91 BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/2017 1.880% 02/07/2019 605,874.00 600,000.00 626.67 600,000.00 02/09/1702/08/17Aa3eNR 600,000.00 06427KRC3 1.90 28,527.67 4,666,287.46 4,649,604.70 1.70 4,649,551.50 4,650,000.00 Security Type Sub-Total 29,841,859.93 30,057,633.33 1.50 100,791.69 30,006,608.01 29,878,203.42 Managed Account Sub-Total Money Market Fund CAMP Pool 81,096.68 81,096.68 0.00 81,096.68 NRAAAm 81,096.68 Page 11 For the Month Ending February 28, 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 81,096.68 81,096.68 0.00 81,096.68 81,096.68 Money Market Sub-Total $29,922,956.61 $30,138,730.01 $100,791.69 $30,087,704.69 $29,959,300.10 1.50% $30,060,091.79 $100,791.69 Total Investments Accrued Interest Securities Sub-Total Bolded items are forward settling trades. Page 12 For the Month Ending February 28, 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 1.12 (157.19)(89.04) 94,751.39 99.74 MORGANST 95,000.00 912828K25US TREASURY NOTES DTD 04/15/2015 0.750% 04/15/2018 0.98 1.12 2.12 (1,697.24)(2,298.02) 372,760.57 100.75 CITIGRP 370,000.00 912828D23US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 1.27 2.12 2.20 (1,915.80)(2,390.01) 381,766.24 100.46 MORGANST 380,000.00 912828WL0US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 1.29 2.20 2.70 233.27 2,518.71 306,536.68 98.88 CITIGRP 310,000.00 912828UB4US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 1.42 2.70 2.93 705.25 2,081.25 367,456.25 99.31 CITIGRP 370,000.00 912828UQ1US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 1.49 2.93 3.29 (543.72)(3,346.60) 582,502.03 101.30 MERRILL 575,000.00 912828VP2US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 1.61 3.29 3.37 4,123.41 (287.37) 1,067,882.55 101.70 MORGANST 1,050,000.00 912828VV9US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1.62 3.37 3.52 (9,560.91)(12,993.65) 842,559.48 100.30 MERRILL 840,000.00 912828WC0US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 1.66 3.52 3.59 (1,718.45)(2,589.85) 151,693.35 101.13 MERRILL 150,000.00 912828A42US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 1.69 3.59 3.65 (5,921.04)(9,462.89) 384,375.00 102.50 MERRILL 375,000.00 912828A83US TREASURY NOTES DTD 12/31/2013 2.375% 12/31/2020 1.70 3.65 3.69 (11,032.02)(13,312.55) 801,031.20 100.13 MORGANST 800,000.00 912828N48US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 1.71 3.69 3.83 (18,425.25)(22,281.39) 580,839.70 101.02 MORGANST 575,000.00 912828B90US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 1.74 3.83 3.94 (9,095.73)(9,606.36) 284,086.61 97.96 CITIGRP 290,000.00 912828Q37US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 1.77 3.94 4.01 826.19 908.23 245,918.00 98.37 MERRILL 250,000.00 912828Q78US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 1.78 4.01 4.01 1,774.81 2,197.34 614,795.00 98.37 MORGAN_S 625,000.00 912828Q78US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 1.78 4.01 4.04 (28,683.10)(33,047.40) 1,210,077.60 100.84 HSBC 1,200,000.00 912828WN6US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 1.79 4.04 4.29 (9,098.49)(10,080.22) 327,119.98 100.65 HSBC 325,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.85 4.29 Page 13 For the Month Ending February 28, 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 4.29 3,777.56 3,643.11 1,031,686.08 100.65 HSBC 1,025,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.85 4.29 (110,436.71) 1.67 3.58 (86,408.45) 9,647,837.71 9,605,000.00 Security Type Sub-Total 3.58 Municipal Bond / Note 1.19 755.00 755.00 125,755.00 100.60 GOLDMAN 125,000.00 91412GUV5UNIV OF CAL TXBL REV BONDS DTD 04/10/2014 1.904% 05/15/2018 1.40 1.19 1.98 (238.80)(460.35) 165,003.30 100.00 VINING 165,000.00 20772JZK1CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 1.97 1.98 294.65 1.72 1.64 516.20 290,758.30 290,000.00 Security Type Sub-Total 1.64 Federal Agency Collateralized Mortgage Obligation 0.93 (435.71)(1,412.96) 134,936.55 99.95 GOLDMAN 135,000.00 3136ANJY4FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 1.49 0.93 1.64 (403.00)(999.41) 125,250.58 100.20 GOLDMAN 125,000.00 3136AQSW1FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 1.70 1.13 2.30 (1,449.46)(2,490.05) 261,992.12 100.05 MORGANST 261,859.93 3136AQDQ0FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 1.58 1.49 (4,902.42) 1.58 1.79 (2,288.17) 522,179.25 521,859.93 Security Type Sub-Total 1.26 Federal Agency Bond / Note 1.43 (3,455.76)(2,519.10) 894,096.90 99.34 CITIGRP 900,000.00 3130A8PK3FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 1.08 1.43 1.71 1,178.95 (845.62) 377,716.88 100.72 GOLDMAN 375,000.00 3135G0YT4FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 1.20 1.71 1.85 (44.04)(43.50) 374,941.50 99.98 BAML 375,000.00 3130AAE46FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 1.26 1.85 1.97 (526.66)(427.50) 124,277.50 99.42 JPMCHASE 125,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.29 1.97 2.09 (3,162.87)(3,618.75) 373,638.75 99.64 TD SEC U 375,000.00 3137EADZ9FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 1.30 2.09 Page 14 For the Month Ending February 28, 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 2.35 (4,158.17)(3,947.40) 425,012.00 98.84 TD SEC U 430,000.00 3137EAEB1FHLMC REFERENCE NOTE DTD 07/20/2016 0.875% 07/19/2019 1.37 2.35 2.39 (8,139.97)(7,906.85) 715,875.15 98.74 GOLDMAN 725,000.00 3135G0N33FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 1.40 2.39 2.40 (8,652.59)(8,388.97) 715,219.03 98.65 WELLSFAR 725,000.00 3130A8Y72FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 1.44 2.40 2.46 (5,561.43)(5,409.60) 593,654.40 98.94 GOLDMAN 600,000.00 3135G0P49FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 1.43 2.46 2.60 (4,323.87)(4,200.40) 394,727.60 98.68 BARCLAYS 400,000.00 3135G0R39FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 1.51 2.60 2.64 (2,225.68)(2,209.64) 737,620.16 99.68 MERRILL 740,000.00 3130AA3R7FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 1.50 2.64 2.92 (1,710.82)(1,710.50) 547,937.50 99.63 JPM_CHAS 550,000.00 3135G0T29FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 1.63 2.92 4.24 (17,892.08)(17,352.88) 703,238.40 97.00 TD SEC U 725,000.00 3130A8QS5FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 1.84 4.24 4.32 (3,537.46)(3,487.82) 136,033.24 97.17 TD SEC U 140,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.91 4.32 4.32 (11,363.68)(11,170.64) 446,966.36 97.17 CITIGRP 460,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.91 4.32 (73,239.17) 1.46 2.59 (73,576.13) 7,560,955.37 7,645,000.00 Security Type Sub-Total 2.59 Corporate Note 0.12 65.40 (2,070.60) 100,065.40 100.07 04/15/17BARCLAYS 100,000.00 91159HHD5US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 1.37 0.12 0.76 (155.55)(155.55) 149,844.45 99.90 11/05/17MORGANST 150,000.00 166764AA8CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 1.24 0.73 0.76 (314.82)(1,128.22) 174,818.53 99.90 11/05/17BARCLAYS 175,000.00 166764AA8CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 1.24 0.73 0.94 386.45 1,311.25 250,166.25 100.07 HSBC 250,000.00 459200HK0IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 1.18 0.94 Page 15 For the Month Ending February 28, 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 0.94 1,283.88 1,732.00 401,176.00 100.29 GOLDMAN 400,000.00 084670BH0BERKSHIRE HATHAWAY GLOBAL NOTE DTD 02/11/2013 1.550% 02/09/2018 1.24 0.94 1.17 (674.03) 196.23 309,052.33 99.69 GOLDMAN 310,000.00 037833AJ9APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 1.26 1.17 1.30 1,866.48 1,866.48 441,866.48 100.42 BARCLAYS 440,000.00 166764AE0CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 1.39 1.30 1.94 1,932.28 536.49 273,101.49 101.15 BONY 270,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.54 1.94 1.94 1,810.33 629.10 303,446.10 101.15 BNP PARI 300,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.54 1.94 2.09 30.77 69.30 49,930.30 99.86 03/25/19GOLDMAN 50,000.00 38141GVT8GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 2.07 2.07 2.09 (232.83)(188.50) 249,651.50 99.86 03/25/19MIZUHO 250,000.00 38141GVT8GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 2.07 2.07 2.20 112.02 124.95 105,070.35 100.07 CITIGRP 105,000.00 172967KS9CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 2.02 2.20 2.39 6,977.90 7,495.13 581,431.38 101.12 MERRILL 575,000.00 02665WAH4AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 1.78 2.39 2.41 (1,016.82)(4,386.45) 161,198.55 107.47 GOLDMAN 150,000.00 12189TBC7BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 1.74 2.41 2.65 1,664.12 (13,663.75) 275,418.75 110.17 GOLDMAN 250,000.00 36962G4J0GENERAL ELECTRIC CAP CORP NOTES DTD 01/08/2010 5.500% 01/08/2020 1.84 2.65 2.75 1,542.20 1,547.70 301,427.70 100.48 CITIGRP 300,000.00 172967LF6CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 2.28 2.75 2.82 121.49 10.73 75,298.73 100.40 1ST TENN 75,000.00 94974BGF1WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 2.01 2.82 2.82 (69.63)(1,127.62) 376,493.63 100.40 JEFFERIE 375,000.00 94974BGF1WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 2.01 2.82 2.85 1,449.25 1,453.80 301,252.80 100.42 HSBC 300,000.00 594918BV5MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 1.70 2.85 Page 16 For the Month Ending February 28, 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 2.89 0.00 0.00 179,812.80 99.90 MERRILL 180,000.00 0258M0EE5AMERICAN EXPRESS CREDIT CORP NOTES DTD 03/03/2017 2.200% 03/03/2020 2.24 2.89 2.90 (9.09)(678.80) 201,097.20 100.55 HSBC 200,000.00 89236TCF0TOYOTA MOTOR CORP NOTES DTD 03/12/2015 2.150% 03/12/2020 1.96 2.90 3.07 8,135.66 7,280.65 585,138.40 101.76 05/23/20JPMCHASE 575,000.00 46625HLW8JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 2.20 3.14 3.87 (4,976.81)(6,044.10) 300,933.90 100.31 KEYBAN 300,000.00 06406FAA1BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 2.42 3.87 3.94 (996.71)(928.00) 198,608.00 99.30 KEYBAN 200,000.00 0258M0EB1AMERICAN EXPRESS CREDIT CORP NOTES DTD 05/05/2016 2.250% 05/05/2021 2.43 3.94 3.97 (1,655.24)(1,639.95) 148,261.05 98.84 SCOTIA 150,000.00 05531FAV5BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 2.34 3.97 4.01 (982.15)(940.12) 73,776.38 98.37 GOLDMAN 75,000.00 857477AV5STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 2.36 4.01 (8,697.85) 1.80 2.28 16,294.55 6,568,338.45 6,505,000.00 Security Type Sub-Total 2.28 Commercial Paper 0.44 374.65 815.63 621,846.88 99.50 CREDAG 625,000.00 22533TV86CREDIT AGRICOLE CIB NY COMM PAPER DTD 02/08/2017 0.000% 08/08/2017 1.13 0.44 815.63 1.13 0.44 374.65 621,846.88 625,000.00 Security Type Sub-Total 0.44 Certificate of Deposit 0.68 253.00 253.00 575,253.00 100.04 UBS AG 575,000.00 06417GAS7BANK OF NOVA SCOTIA HOUSTON YCD DTD 11/09/2015 1.560% 11/06/2017 1.46 0.68 0.70 (477.25)(477.25) 574,522.75 99.92 GOLDMAN 575,000.00 83050FBG5SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 1.57 0.70 0.71 534.75 534.75 575,534.75 100.09 HSBC 575,000.00 40428AR58HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 1.40 0.71 Page 17 For the Month Ending February 28, 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 Certificate of Deposit 1.02 1,288.00 1,288.00 576,288.00 100.22 RBC CAP 575,000.00 78009NZZ2ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 1.45 1.02 1.74 4,965.98 5,019.18 579,570.68 100.79 GOLDMAN 575,000.00 13606A5Z7CANADIAN IMPERIAL BANK NY CD DTD 12/05/2016 1.760% 11/30/2018 1.05 1.74 1.74 4,570.68 4,570.68 579,570.68 100.79 MERRILL 575,000.00 65558LWA6NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 1.05 1.74 1.85 (326.40)(326.40) 599,673.60 99.95 MERRILL 600,000.00 86958JHB8SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 1.77 1.85 1.93 5,874.00 5,874.00 605,874.00 100.98 GOLDMAN 600,000.00 06427KRC3BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/2017 1.880% 02/07/2019 1.31 1.93 16,735.96 1.38 1.31 16,682.76 4,666,287.46 4,650,000.00 Security Type Sub-Total 1.31 29,841,859.93 29,878,203.42 (179,429.91) (128,404.59) 2.57 1.59 Managed Account Sub-Total 2.56 Money Market Fund 0.00 0.00 0.00 81,096.68 1.00 81,096.68 CAMP Pool 0.00 81,096.68 81,096.68 0.00 0.00 0.00 Money Market Sub-Total 0.00 Total Investments $30,060,091.79 $100,791.69 $29,959,300.10 Accrued Interest Securities Sub-Total $29,922,956.61 ($179,429.91) ($128,404.59) 2.57 1.59% 2.56 Bolded items are forward settling trades. Page 18 For the Month Ending February 28, 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 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 02/03/17 US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 912828Q78 (245,009.77)(902.11)(245,911.88) 250,000.00 02/01/17 02/09/17 BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/2017 1.880% 02/07/2019 06427KRC3 (600,000.00) 0.00 (600,000.00) 600,000.00 02/08/17 02/09/17 CREDIT AGRICOLE CIB NY COMM PAPER DTD 02/08/2017 0.000% 08/08/2017 22533TV86 (621,031.25) 0.00 (621,031.25) 625,000.00 02/09/17 02/28/17 FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 3135G0T29 (549,648.00) 0.00 (549,648.00) 550,000.00 02/24/17 03/03/17 AMERICAN EXPRESS CREDIT CORP NOTES DTD 03/03/2017 2.200% 03/03/2020 0258M0EE5 (179,812.80) 0.00 (179,812.80) 180,000.00 02/28/17 (902.11) (2,496,202.93)(2,495,300.82) 2,505,000.00 Transaction Type Sub-Total INTEREST 02/25/17 FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 3136ANJY4 0.00 174.38 174.38 135,000.00 02/01/17 02/25/17 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 3136AQSW1 0.00 197.72 197.72 125,000.00 02/01/17 02/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 0.00 370.04 370.04 262,671.29 02/01/17 02/02/17 FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 3135G0N33 0.00 3,171.87 3,171.87 725,000.00 02/02/17 02/05/17 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 3130A8Y72 0.00 3,189.50 3,189.50 725,000.00 02/05/17 02/07/17 FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 3130A8PK3 0.00 2,812.50 2,812.50 900,000.00 02/07/17 02/08/17 IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 459200HK0 0.00 1,562.50 1,562.50 250,000.00 02/08/17 Page 19 For the Month Ending February 28, 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 INTEREST 02/09/17 BERKSHIRE HATHAWAY GLOBAL NOTE DTD 02/11/2013 1.550% 02/09/2018 084670BH0 0.00 3,100.00 3,100.00 400,000.00 02/09/17 02/15/17 AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 02665WAH4 0.00 6,468.75 6,468.75 575,000.00 02/15/17 02/17/17 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 3135G0N82 0.00 2,843.07 2,843.07 460,000.00 02/17/17 02/17/17 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 3135G0N82 0.00 865.28 865.28 140,000.00 02/17/17 02/26/17 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 3135G0J53 0.00 625.00 625.00 125,000.00 02/26/17 02/28/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 0.00 6,875.00 6,875.00 1,100,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 912828D72 0.00 10,250.00 10,250.00 1,025,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 912828VV9 0.00 11,156.25 11,156.25 1,050,000.00 02/28/17 02/28/17 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 3135G0P49 0.00 2,933.34 2,933.34 600,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 912828B90 0.00 5,750.00 5,750.00 575,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 912828D72 0.00 3,250.00 3,250.00 325,000.00 02/28/17 65,595.20 65,595.20 0.00 9,497,671.29 Transaction Type Sub-Total PAYDOWNS 02/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 811.36 0.00 811.36 (8.12) 0.00 811.36 02/01/17 0.00 0.00 (8.12) 811.36 811.36 811.36 Transaction Type Sub-Total SELL 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 Page 20 For the Month Ending February 28, 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 SELL 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 02/03/17 US TREASURY NOTES DTD 04/15/2015 0.750% 04/15/2018 912828K25 199,484.38 457.42 199,941.80 (179.68)(310.98)FIFO 200,000.00 02/01/17 02/09/17 TORONTO DOMINION BANK NY YCD DTD 06/19/2015 1.240% 06/16/2017 89113ESN7 625,731.25 5,037.50 630,768.75 731.25 731.25 FIFO 625,000.00 02/08/17 02/09/17 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 3135G0J53 597,234.00 2,716.67 599,950.67 (1,350.00)(1,797.37)FIFO 600,000.00 02/08/17 02/28/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 547,099.61 0.00 547,099.61 3,974.61 1,933.50 FIFO 550,000.00 02/24/17 03/03/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 178,474.22 18.34 178,492.56 724.22 52.00 FIFO 180,000.00 02/28/17 9,877.03 239.28 4,441.41 2,455,462.99 2,445,585.96 2,455,000.00 Transaction Type Sub-Total (48,903.50) 74,570.12 25,666.62 4,433.29 239.28 Managed Account Sub-Total Total Security Transactions $4,433.29 $25,666.62 $74,570.12 ($48,903.50)$239.28 Bolded items are forward settling trades. Page 21 For the Month Ending February 28, 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 56,642.92 Opening Balance 02/02/17 02/02/17 Purchase - Interest 3135G0N33 1.00 3,171.87 59,814.79 02/03/17 02/03/17 Purchase - Interest 912828K25 1.00 457.42 60,272.21 02/03/17 02/03/17 Purchase - Principal 912828K25 1.00 199,484.38 259,756.59 02/03/17 02/03/17 Redemption - Interest 912828Q78 1.00 (902.11) 258,854.48 02/03/17 02/03/17 Redemption - Principal 912828Q78 1.00 (245,009.77) 13,844.71 02/06/17 02/06/17 Purchase - Interest 3130A8Y72 1.00 3,189.50 17,034.21 02/06/17 02/06/17 Purchase - Interest 912828UQ1 1.00 1,372.58 18,406.79 02/06/17 02/06/17 Purchase - Interest 912828UQ1 1.00 274.52 18,681.31 02/06/17 02/06/17 Purchase - Principal 912828UQ1 1.00 49,593.75 68,275.06 02/06/17 02/06/17 Purchase - Principal 912828UQ1 1.00 247,968.75 316,243.81 02/06/17 02/06/17 Redemption - Principal 594918BV5 1.00 (299,799.00) 16,444.81 02/07/17 02/07/17 Purchase - Interest 3130A8PK3 1.00 2,812.50 19,257.31 02/08/17 02/08/17 Purchase - Interest 459200HK0 1.00 1,562.50 20,819.81 02/09/17 02/09/17 Purchase - Interest 084670BH0 1.00 3,100.00 23,919.81 02/09/17 02/09/17 Purchase - Interest 3135G0J53 1.00 2,716.67 26,636.48 02/09/17 02/09/17 Purchase - Principal 3135G0J53 1.00 597,234.00 623,870.48 02/09/17 02/09/17 Purchase - Interest 89113ESN7 1.00 5,037.50 628,907.98 02/09/17 02/09/17 Purchase - Principal 89113ESN7 1.00 625,731.25 1,254,639.23 02/09/17 02/09/17 Redemption - Principal 22533TV86 1.00 (621,031.25) 633,607.98 02/09/17 02/09/17 Redemption - Principal 06427KRC3 1.00 (600,000.00) 33,607.98 02/15/17 02/15/17 Purchase - Interest 02665WAH4 1.00 6,468.75 40,076.73 Page 22 For the Month Ending February 28, 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 02/17/17 02/17/17 Purchase - Interest 3135G0N82 1.00 865.28 40,942.01 02/17/17 02/17/17 Purchase - Interest 3135G0N82 1.00 2,843.07 43,785.08 02/24/17 02/24/17 IP Fees January 2017 1.00 (2,360.33) 41,424.75 02/24/17 02/24/17 U.S. Bank Fees December 2016 1.00 (197.19) 41,227.56 02/27/17 02/27/17 Purchase - Interest 3135G0J53 1.00 625.00 41,852.56 02/27/17 02/27/17 Purchase - Interest 3136ANJY4 1.00 174.38 42,026.94 02/27/17 02/27/17 Purchase - Interest 3136AQDQ0 1.00 360.30 42,387.24 02/27/17 02/27/17 Purchase - Interest 3136AQSW1 1.00 197.72 42,584.96 02/27/17 02/27/17 Purchase - Principal 3136AQDQ0 1.00 811.36 43,396.32 02/28/17 02/28/17 Purchase - Interest 912828B90 1.00 5,750.00 49,146.32 02/28/17 02/28/17 Purchase - Interest 912828D72 1.00 3,250.00 52,396.32 02/28/17 02/28/17 Purchase - Interest 912828D72 1.00 10,250.00 62,646.32 02/28/17 02/28/17 Purchase - Interest 912828UQ1 1.00 6,875.00 69,521.32 02/28/17 02/28/17 Purchase - Interest 912828VV9 1.00 11,156.25 80,677.57 02/28/17 02/28/17 Purchase - Correction to Interest 3136AQDQ0 from 2/27/17 1.00 370.04 81,047.61 02/28/17 02/28/17 Purchase - Interest 3135G0P49 1.00 2,933.34 83,980.95 02/28/17 02/28/17 Purchase - Principal 912828UQ1 1.00 547,099.61 631,080.56 02/28/17 02/28/17 Redemption - Principal 3135G0T29 1.00 (549,648.00) 81,432.56 02/28/17 02/28/17 Redemption - Reversal of Interest 3136AQDQ0 from 2/27/17 1.00 (360.30) 81,072.26 02/28/17 03/01/17 Accrual Income Div Reinvestment - Distributions 1.00 24.42 81,096.68 Page 23 For the Month Ending February 28, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate 81,096.68 81,096.68 81,096.68 37,535.23 53.21 0.00 (3,836,247.66) 3,889,289.43 28,054.91 24.42 81,096.68 0.00 (2,319,307.95) 2,343,761.71 56,642.92 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 February January-February 0.85% Page 24 Housing Funds CAMP Account For the Month Ending February 28, 2017Account Statement - Transaction Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Opening Market Value Purchases Redemptions Change in Value Closing Market Value 14,512.56 250,727.71 (240,403.82) 0.00 $24,836.45 CAMP Pool Unsettled Trades 0.00 11.16 Cash Dividends and Income Opening Market Value Purchases Redemptions Change in Value Closing Market Value 5,049,164.69 189,942.40 (189,202.17) 6,695.29 $5,061,780.92 CAMP Managed Account Unsettled Trades 5,180.71 11,533.46 Cash Dividends and Income February 28, 2017 January 31, 2017 Asset Summary CAMP Pool 24,836.45 14,512.56 CAMP Managed Account 5,061,780.92 5,049,164.69 $5,086,617.37 $5,063,677.25 Total Asset Allocation 0.49% CAMP Pool 99.51% CAMP Managed Account Page 1 For the Month Ending February 28, 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 $14,512.56 250,727.71 (240,403.82) $24,836.45 11.16 $5,049,164.69 (137.78) (189,064.39) 189,942.40 5,180.71 6,695.29 $5,061,780.92 $5,063,677.25 $5,086,617.37 11,859.45 0.00 (325.99) $11,533.46 0.00 239,385.44 11,132.15 137.78 (239,908.90) (10,746.47) 0.00 Managed Account Total 5,086,941.40 5,111,777.85 16,709.23 214,307.81 137.78 11,132.15 (219,911.20) (5,081,907.84) (21,754.42) 0.00 16,709.23 454,711.63 137.78 11,132.15 (470,638.91) (5,096,420.40) (21,754.42) 11.16 Total Accrual Basis Earnings $5,654.91 $5,666.07 Transaction Summary - Managed AccountTransaction Summary - Money Market _______________________________________________ _______________________________________________ _____________________________________________________ Cash Balance $0.00 Closing Cash Balance Page 2 For the Month Ending February 28, 2017Portfolio Summary and Statistics CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Account Summary Percent Par Value Market ValueDescription U.S. Treasury Bond / Note 1,540,000.00 1,548,592.35 30.44 Municipal Bond / Note 30,000.00 30,000.60 0.59 Federal Agency Collateralized Mortgage Obligation 94,466.78 94,527.60 1.86 Federal Agency Bond / Note 1,355,000.00 1,340,206.74 26.35 Corporate Note 1,440,000.00 1,446,500.13 28.44 Certificate of Deposit 600,000.00 601,953.50 11.83 Managed Account Sub-Total 5,059,466.78 5,061,780.92 99.51% Accrued Interest 16,709.23 Total Portfolio 5,059,466.78 5,078,490.15 CAMP Pool 24,836.45 24,836.45 0.49 Total Investments 5,084,303.23 5,103,326.60 100.00% Unsettled Trades 30,000.00 29,968.80 Sector Allocation 11.83% Cert of Deposit 28.44% Corporate Note 1.86% Fed Agency CMO 26.35% Fed Agy Bond / Note 0.49% Mny Mkt Fund 0.59% Muni Bond / Note 30.44% 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 2.94% 9.83% 21.93% 27.28% 17.20% 20.82% 0.00% Maturity Distribution Characteristics Yield to Maturity at Cost Yield to Maturity at Market Duration to Worst Weighted Average Days to Maturity 2.54 961 1.47% 1.59% Page 3 For the Month Ending February 28, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Credit Quality (S&P Ratings) 7.42% A 4.45% A+ 3.08% A- 1.96% A-1 1.97% A-1+ 59.72% AA+ 15.47% AA- 0.99% AAA 0.49% AAAm 2.46% BBB+ 1.99% NR Issuer Summary Percentof HoldingsIssuer Market Value 101,118.50 2.00 AMERICAN HONDA FINANCE 54,831.87 1.08 APPLE INC 100,979.00 2.00 BANK OF MONTREAL 150,103.35 2.97 BANK OF NEW YORK CO INC 24,710.18 0.49 BB&T CORPORTATION 26,866.43 0.53 BURLINGTON NORTHERN SANTA FE 24,836.45 0.49 CAMP Pool 255,157.89 5.05 CHEVRON CORP 101,148.70 2.00 CISCO SYSTEMS INC 75,254.70 1.49 CITIGROUP INC 712,697.11 14.09 FANNIE MAE 722,037.23 14.28 FEDERAL HOME LOAN BANKS 49,930.30 0.99 GOLDMAN SACHS GROUP INC 100,093.00 1.98 HSBC HOLDINGS PLC 100,066.50 1.98 IBM CORP 101,763.20 2.01 JP MORGAN CHASE & CO 50,208.80 0.99 MICROSOFT CORP 100,794.90 1.99 NORDEA BANK AB 100,224.00 1.98 ROYAL BANK OF CANADA 99,917.00 1.98 SKANDINAVISKA ENSKIDA BANKEN AB 30,000.60 0.59 STATE OF CONNECTICUT 24,592.13 0.49 STATE STREET CORPORATION 99,945.60 1.98 SVENSKA HANDELSBANKEN 1,548,592.35 30.63 UNITED STATES TREASURY 125,081.75 2.47 US BANCORP 175,697.03 3.47 WELLS FARGO & COMPANY $5,056,648.57 Total 100.00% Page 4 For the Month Ending February 28, 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 24,982.43 24,982.48 65.25 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 44,497.26 44,463.40 112.50 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 59,587.50 59,473.14 2.04 59,250.00 11/09/1511/05/15AaaAA+ 60,000.00 912828UQ1 1.55 US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 75,978.53 76,049.45 120.17 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 177,980.43 177,293.19 10.11 178,028.32 12/30/1512/28/15AaaAA+ 175,000.00 912828VV9 1.74 US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 100,304.70 101,442.90 584.94 101,851.56 02/03/1602/01/16AaaAA+ 100,000.00 912828WC0 1.35 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 75,846.68 76,705.90 375.00 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 128,125.00 130,098.68 492.06 131,279.30 03/31/1603/30/16AaaAA+ 125,000.00 912828A83 1.28 US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 125,161.13 126,884.88 362.57 127,241.21 05/31/1605/27/16AaaAA+ 125,000.00 912828N48 1.35 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 101,015.60 104,220.00 5.43 104,890.63 07/08/1607/06/16AaaAA+ 100,000.00 912828B90 0.92 US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 53,878.50 55,603.55 287.09 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 127,877.36 127,508.20 597.48 127,420.31 01/05/1701/03/17AaaAA+ 130,000.00 912828Q78 1.86 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 226,889.55 232,267.63 1,125.00 233,085.94 09/02/1609/01/16AaaAA+ 225,000.00 912828WN6 1.22 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 75,489.23 77,588.88 4.08 77,815.43 10/05/1610/03/16AaaAA+ 75,000.00 912828D72 1.21 Page 5 For the Month Ending February 28, 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 150,978.45 150,425.63 8.15 150,445.31 12/05/1612/01/16AaaAA+ 150,000.00 912828D72 1.93 4,151.87 1,548,592.35 1,565,007.91 1.43 1,569,551.17 1,540,000.00 Security Type Sub-Total Municipal Bond / Note CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 30,000.60 30,044.02 273.07 30,084.30 03/25/1503/16/15Aa3AA- 30,000.00 20772JZK1 1.90 273.07 30,000.60 30,044.02 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 24,988.25 25,068.94 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 25,050.12 25,130.72 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 44,489.23 44,735.37 60.99 44,912.07 10/30/1510/07/15AaaAA+ 44,466.78 3136AQDQ0 1.08 132.82 94,527.60 94,935.03 1.05 95,411.98 94,466.78 Security Type Sub-Total Federal Agency Bond / Note FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 99,774.60 99,619.41 243.06 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 49,870.65 50,007.90 75.35 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 99,344.10 99,728.07 41.67 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 5,036.23 5,020.51 21.22 5,047.50 10/23/1410/22/14AaaAA+ 5,000.00 3135G0YT4 1.39 FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 99,984.40 99,996.14 156.25 99,996.00 12/08/1612/07/16AaaAA+ 100,000.00 3130AAE46 1.25 Page 6 For the Month Ending February 28, 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 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 24,855.50 24,960.83 3.47 24,941.00 02/23/1602/19/16AaaAA+ 25,000.00 3135G0J53 1.08 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 49,711.00 50,098.81 6.94 50,126.50 08/08/1608/05/16AaaAA+ 50,000.00 3135G0J53 0.90 FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 123,426.75 124,830.19 88.11 124,790.00 08/02/1607/29/16AaaAA+ 125,000.00 3135G0N33 0.93 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 123,313.63 124,805.45 78.99 124,760.00 08/04/1608/03/16AaaAA+ 125,000.00 3130A8Y72 0.94 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 123,678.00 124,836.63 3.47 124,805.00 09/02/1608/31/16AaaAA+ 125,000.00 3135G0P49 1.05 FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 123,614.13 124,907.97 538.19 124,891.25 09/09/1609/08/16AaaAA+ 125,000.00 3130A9EP2 1.03 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 104,662.32 104,978.13 417.08 104,975.85 11/17/1611/16/16AaaAA+ 105,000.00 3130AA3R7 1.38 FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 89,662.50 89,942.45 3.75 89,942.40 02/28/1702/24/17AaaAA+ 90,000.00 3135G0T29 1.52 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 121,248.00 124,332.85 183.59 124,239.88 07/15/1607/14/16AaaAA+ 125,000.00 3130A8QS5 1.25 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 24,291.65 24,923.34 12.15 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 77,733.28 79,709.57 38.89 79,676.00 08/19/1608/17/16AaaAA+ 80,000.00 3135G0N82 1.33 1,912.18 1,340,206.74 1,352,698.25 1.12 1,351,225.94 1,355,000.00 Security Type Sub-Total Corporate Note US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 125,081.75 125,071.12 607.29 127,670.00 07/30/1207/25/12A1A+ 125,000.00 91159HHD5 1.19 Page 7 For the Month Ending February 28, 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 74,922.23 75,057.15 197.80 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 99,896.30 100,000.00 263.73 100,000.00 12/05/1211/28/12Aa2AA- 100,000.00 166764AA8 1.10 IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 100,066.50 99,911.92 79.86 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 99,947.70 99,993.96 656.25 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 54,831.87 54,951.45 180.28 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 80,339.36 80,000.00 255.79 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 50,574.35 50,216.52 531.25 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 50,574.35 50,272.63 531.25 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 49,930.30 49,976.87 350.00 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 25,016.75 24,990.08 119.58 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 101,118.50 99,904.95 100.00 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 26,866.43 27,035.89 489.58 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 50,237.95 49,980.92 173.54 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 175,697.03 175,729.52 323.99 176,223.25 02/05/1502/02/15A2A 175,000.00 94974BGF1 2.00 Page 8 For the Month Ending February 28, 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 50,208.80 49,967.26 64.24 49,966.50 02/06/1701/30/17AaaAAA 50,000.00 594918BV5 1.87 AMERICAN EXPRESS CREDIT CORP NOTES DTD 03/03/2017 2.200% 03/03/2020 29,968.80 29,968.80 0.00 29,968.80 03/03/1702/28/17A2A- 30,000.00 0258M0EE5 2.24 JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 101,763.20 100,348.30 519.44 100,497.00 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 50,155.65 50,973.29 472.22 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 24,710.18 24,986.05 158.02 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 24,592.13 24,919.51 138.13 24,905.50 05/24/1605/19/16A1A 25,000.00 857477AV5 2.03 6,212.24 1,446,500.13 1,444,256.19 1.74 1,448,371.35 1,440,000.00 Security Type Sub-Total Certificate of Deposit SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 99,917.00 100,000.00 431.67 100,000.00 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 100,093.00 100,000.00 2,006.28 100,000.00 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 100,224.00 100,000.00 812.22 100,000.00 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 100,794.90 100,000.00 420.44 100,000.00 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 99,945.60 100,000.00 252.00 100,000.00 01/12/1701/10/17Aa2AA- 100,000.00 86958JHB8 1.91 BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/2017 1.880% 02/07/2019 100,979.00 100,000.00 104.44 100,000.00 02/09/1702/08/17Aa3eNR 100,000.00 06427KRC3 1.90 Page 9 For the Month Ending February 28, 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 4,027.05 601,953.50 600,000.00 1.71 600,000.00 600,000.00 Security Type Sub-Total 5,059,466.78 5,094,644.74 1.47 16,709.23 5,086,941.40 5,061,780.92 Managed Account Sub-Total Money Market Fund CAMP Pool 24,836.45 24,836.45 0.00 24,836.45 NRAAAm 24,836.45 24,836.45 24,836.45 0.00 24,836.45 24,836.45 Money Market Sub-Total $5,084,303.23 $5,119,481.19 $16,709.23 $5,111,777.85 $5,086,617.37 1.47% $5,103,326.60 $16,709.23 Total Investments Accrued Interest Securities Sub-Total Bolded items are forward settling trades. Page 10 For the Month Ending February 28, 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 0.58 (0.05) 127.94 24,982.43 99.93 CITIGRP 25,000.00 912828TS9US TREASURY NOTES DTD 10/01/2012 0.625% 09/30/2017 0.75 0.58 2.70 33.86 365.62 44,497.26 98.88 CITIGRP 45,000.00 912828UB4US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 1.42 2.70 2.93 114.36 337.50 59,587.50 99.31 CITIGRP 60,000.00 912828UQ1US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 1.49 2.93 3.29 (70.92)(436.51) 75,978.53 101.30 MERRILL 75,000.00 912828VP2US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 1.61 3.29 3.37 687.24 (47.89) 177,980.43 101.70 MORGANST 175,000.00 912828VV9US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1.62 3.37 3.52 (1,138.20)(1,546.86) 100,304.70 100.30 MERRILL 100,000.00 912828WC0US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 1.66 3.52 3.59 (859.22)(1,294.92) 75,846.68 101.13 MERRILL 75,000.00 912828A42US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 1.69 3.59 3.65 (1,973.68)(3,154.30) 128,125.00 102.50 MERRILL 125,000.00 912828A83US TREASURY NOTES DTD 12/31/2013 2.375% 12/31/2020 1.70 3.65 3.69 (1,723.75)(2,080.08) 125,161.13 100.13 MORGANST 125,000.00 912828N48US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 1.71 3.69 3.83 (3,204.40)(3,875.03) 101,015.60 101.02 MORGANST 100,000.00 912828B90US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 1.74 3.83 3.94 (1,725.05)(1,821.89) 53,878.50 97.96 CITIGRP 55,000.00 912828Q37US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 1.77 3.94 4.01 369.16 457.05 127,877.36 98.37 MORGAN_S 130,000.00 912828Q78US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 1.78 4.01 4.04 (5,378.08)(6,196.39) 226,889.55 100.84 HSBC 225,000.00 912828WN6US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 1.79 4.04 4.29 (2,099.65)(2,326.20) 75,489.23 100.65 HSBC 75,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.85 4.29 4.29 552.82 533.14 150,978.45 100.65 HSBC 150,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.85 4.29 (20,958.82) 1.70 3.69 (16,415.56) 1,548,592.35 1,540,000.00 Security Type Sub-Total 3.69 Municipal Bond / Note Page 11 For the Month Ending February 28, 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 1.98 (43.42)(83.70) 30,000.60 100.00 VINING 30,000.00 20772JZK1CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 1.97 1.98 (83.70) 1.97 1.98 (43.42) 30,000.60 30,000.00 Security Type Sub-Total 1.98 Federal Agency Collateralized Mortgage Obligation 0.93 (80.69)(261.66) 24,988.25 99.95 GOLDMAN 25,000.00 3136ANJY4FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 1.49 0.93 1.64 (80.60)(199.88) 25,050.12 100.20 GOLDMAN 25,000.00 3136AQSW1FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 1.70 1.13 2.30 (246.14)(422.84) 44,489.23 100.05 MORGANST 44,466.78 3136AQDQ0FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 1.58 1.49 (884.38) 1.59 1.76 (407.43) 94,527.60 94,466.78 Security Type Sub-Total 1.25 Federal Agency Bond / Note 1.22 155.19 1,289.60 99,774.60 99.77 CSFB 100,000.00 3135G0WJ8FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 1.06 1.22 1.32 (137.25)(140.43) 49,870.65 99.74 WELLSFAR 50,000.00 3130A8BD4FEDERAL HOME LOAN BANKS AGCY DTD 05/27/2016 0.875% 06/29/2018 1.07 1.32 1.43 (383.97)(279.90) 99,344.10 99.34 CITIGRP 100,000.00 3130A8PK3FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 1.08 1.43 1.71 15.72 (11.27) 5,036.23 100.72 GOLDMAN 5,000.00 3135G0YT4FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 1.20 1.71 1.85 (11.74)(11.60) 99,984.40 99.98 BAML 100,000.00 3130AAE46FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 1.26 1.85 1.97 (105.33)(85.50) 24,855.50 99.42 JPMCHASE 25,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.29 1.97 1.97 (387.81)(415.50) 49,711.00 99.42 BMO 50,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.29 1.97 2.39 (1,403.44)(1,363.25) 123,426.75 98.74 GOLDMAN 125,000.00 3135G0N33FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 1.40 2.39 2.40 (1,491.82)(1,446.37) 123,313.63 98.65 WELLSFAR 125,000.00 3130A8Y72FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 1.44 2.40 Page 12 For the Month Ending February 28, 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 2.46 (1,158.63)(1,127.00) 123,678.00 98.94 GOLDMAN 125,000.00 3135G0P49FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 1.43 2.46 2.52 (1,293.84)(1,277.12) 123,614.13 98.89 BARCLAYS 125,000.00 3130A9EP2FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 1.44 2.52 2.64 (315.81)(313.53) 104,662.32 99.68 MERRILL 105,000.00 3130AA3R7FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 1.50 2.64 2.92 (279.95)(279.90) 89,662.50 99.63 JPM_CHAS 90,000.00 3135G0T29FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 1.63 2.92 4.24 (3,084.85)(2,991.88) 121,248.00 97.00 TD SEC U 125,000.00 3130A8QS5FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 1.84 4.24 4.32 (631.69)(622.83) 24,291.65 97.17 TD SEC U 25,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.91 4.32 4.32 (1,976.29)(1,942.72) 77,733.28 97.17 CITIGRP 80,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.91 4.32 (11,019.20) 1.43 2.51 (12,491.51) 1,340,206.74 1,355,000.00 Security Type Sub-Total 2.51 Corporate Note 0.12 10.63 (2,588.25) 125,081.75 100.07 04/15/17BARCLAYS 125,000.00 91159HHD5US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 1.37 0.12 0.76 (134.92)(483.52) 74,922.23 99.90 11/05/17BARCLAYS 75,000.00 166764AA8CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 1.24 0.73 0.76 (103.70)(103.70) 99,896.30 99.90 11/05/17MORGANST 100,000.00 166764AA8CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 1.24 0.73 0.94 154.58 524.50 100,066.50 100.07 HSBC 100,000.00 459200HK0IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 1.18 0.94 1.01 (46.26)(23.30) 99,947.70 99.95 GOLDMAN 100,000.00 06406HCJ6BANK OF NEW YORK MELLON (CALLABLE) DTD 03/06/2013 1.350% 03/06/2018 1.40 0.97 1.17 (119.58) 34.82 54,831.87 99.69 GOLDMAN 55,000.00 037833AJ9APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 1.26 1.17 1.30 339.36 339.36 80,339.36 100.42 BARCLAYS 80,000.00 166764AE0CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 1.39 1.30 Page 13 For the Month Ending February 28, 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 1.94 357.83 99.35 50,574.35 101.15 BONY 50,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.54 1.94 1.94 301.72 104.85 50,574.35 101.15 BNP PARI 50,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.54 1.94 2.09 (46.57)(37.70) 49,930.30 99.86 03/25/19MIZUHO 50,000.00 38141GVT8GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 2.07 2.07 2.20 26.67 29.75 25,016.75 100.07 CITIGRP 25,000.00 172967KS9CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 2.02 2.20 2.39 1,213.55 1,303.50 101,118.50 101.12 MERRILL 100,000.00 02665WAH4AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 1.78 2.39 2.41 (169.46)(731.07) 26,866.43 107.47 GOLDMAN 25,000.00 12189TBC7BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 1.74 2.41 2.75 257.03 257.95 50,237.95 100.48 CITIGRP 50,000.00 172967LF6CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 2.28 2.75 2.82 (32.49)(526.22) 175,697.03 100.40 JEFFERIE 175,000.00 94974BGF1WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 2.01 2.82 2.85 241.54 242.30 50,208.80 100.42 HSBC 50,000.00 594918BV5MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 1.70 2.85 2.89 0.00 0.00 29,968.80 99.90 MERRILL 30,000.00 0258M0EE5AMERICAN EXPRESS CREDIT CORP NOTES DTD 03/03/2017 2.200% 03/03/2020 2.24 2.89 3.07 1,414.90 1,266.20 101,763.20 101.76 05/23/20JPMCHASE 100,000.00 46625HLW8JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 2.20 3.14 3.87 (817.64)(993.35) 50,155.65 100.31 KEYBAN 50,000.00 06406FAA1BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 2.42 3.87 3.97 (275.87)(273.32) 24,710.18 98.84 SCOTIA 25,000.00 05531FAV5BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 2.34 3.97 4.01 (327.38)(313.37) 24,592.13 98.37 GOLDMAN 25,000.00 857477AV5STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 2.36 4.01 Page 14 For the Month Ending February 28, 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 (1,871.22) 1.69 1.89 2,243.94 1,446,500.13 1,440,000.00 Security Type Sub-Total 1.89 Certificate of Deposit 0.70 (83.00)(83.00) 99,917.00 99.92 GOLDMAN 100,000.00 83050FBG5SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 1.57 0.70 0.71 93.00 93.00 100,093.00 100.09 HSBC 100,000.00 40428AR58HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 1.40 0.71 1.02 224.00 224.00 100,224.00 100.22 RBC CAP 100,000.00 78009NZZ2ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 1.45 1.02 1.74 794.90 794.90 100,794.90 100.79 MERRILL 100,000.00 65558LWA6NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 1.05 1.74 1.85 (54.40)(54.40) 99,945.60 99.95 MERRILL 100,000.00 86958JHB8SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 1.77 1.85 1.93 979.00 979.00 100,979.00 100.98 GOLDMAN 100,000.00 06427KRC3BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/2017 1.880% 02/07/2019 1.31 1.93 1,953.50 1.42 1.33 1,953.50 601,953.50 600,000.00 Security Type Sub-Total 1.33 5,059,466.78 5,061,780.92 (32,863.82) (25,160.48) 2.54 1.59 Managed Account Sub-Total 2.53 Money Market Fund 0.00 0.00 0.00 24,836.45 1.00 24,836.45 CAMP Pool 0.00 24,836.45 24,836.45 0.00 0.00 0.00 Money Market Sub-Total 0.00 Total Investments $5,103,326.60 $16,709.23 $5,086,617.37 Accrued Interest Securities Sub-Total $5,084,303.23 ($32,863.82) ($25,160.48) 2.54 1.59% 2.53 Bolded items are forward settling trades. Page 15 For the Month Ending February 28, 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 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 02/09/17 BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/2017 1.880% 02/07/2019 06427KRC3 (100,000.00) 0.00 (100,000.00) 100,000.00 02/08/17 02/28/17 FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 3135G0T29 (89,942.40) 0.00 (89,942.40) 90,000.00 02/24/17 03/03/17 AMERICAN EXPRESS CREDIT CORP NOTES DTD 03/03/2017 2.200% 03/03/2020 0258M0EE5 (29,968.80) 0.00 (29,968.80) 30,000.00 02/28/17 0.00 (269,877.70)(269,877.70) 270,000.00 Transaction Type Sub-Total INTEREST 02/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 0.00 62.84 62.84 44,604.56 02/01/17 02/25/17 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 3136AQSW1 0.00 39.54 39.54 25,000.00 02/01/17 02/25/17 FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 3136ANJY4 0.00 32.29 32.29 25,000.00 02/01/17 02/02/17 FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 3135G0N33 0.00 546.88 546.88 125,000.00 02/02/17 02/05/17 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 3130A8Y72 0.00 549.91 549.91 125,000.00 02/05/17 02/07/17 FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 3130A8PK3 0.00 312.50 312.50 100,000.00 02/07/17 02/08/17 IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 459200HK0 0.00 625.00 625.00 100,000.00 02/08/17 02/15/17 AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 02665WAH4 0.00 1,125.00 1,125.00 100,000.00 02/15/17 02/17/17 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 3135G0N82 0.00 154.51 154.51 25,000.00 02/17/17 Page 16 For the Month Ending February 28, 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 INTEREST 02/17/17 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 3135G0N82 0.00 494.44 494.44 80,000.00 02/17/17 02/26/17 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 3135G0J53 0.00 125.00 125.00 25,000.00 02/26/17 02/26/17 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 3135G0J53 0.00 250.00 250.00 50,000.00 02/26/17 02/28/17 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 3135G0P49 0.00 611.11 611.11 125,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 0.00 312.50 312.50 50,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 912828B90 0.00 1,000.00 1,000.00 100,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 912828VV9 0.00 1,859.38 1,859.38 175,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 0.00 781.25 781.25 125,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 912828D72 0.00 750.00 750.00 75,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 912828D72 0.00 1,500.00 1,500.00 150,000.00 02/28/17 11,132.15 11,132.15 0.00 1,624,604.56 Transaction Type Sub-Total PAYDOWNS 02/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 137.78 0.00 137.78 (1.38) 0.00 137.78 02/01/17 0.00 0.00 (1.38) 137.78 137.78 137.78 Transaction Type Sub-Total SELL 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 02/09/17 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 3135G0J53 99,539.00 452.78 99,991.78 (225.00)(299.56)FIFO 100,000.00 02/08/17 Page 17 For the Month Ending February 28, 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 02/28/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 49,736.33 0.00 49,736.33 (123.04)(166.88)FIFO 50,000.00 02/24/17 02/28/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 39,789.06 0.00 39,789.06 289.06 140.62 FIFO 40,000.00 02/24/17 03/03/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 24,788.09 2.55 24,790.64 100.59 7.23 FIFO 25,000.00 02/28/17 729.85 (626.13)(224.02) 264,176.08 263,446.23 265,000.00 Transaction Type Sub-Total (6,293.69) 11,862.00 5,568.31 (225.40) (626.13)Managed Account Sub-Total Total Security Transactions ($225.40)$5,568.31 $11,862.00 ($6,293.69)($626.13) Bolded items are forward settling trades. Page 18 For the Month Ending February 28, 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 14,512.56 Opening Balance 02/02/17 02/02/17 Purchase - Interest 3135G0N33 1.00 546.88 15,059.44 02/06/17 02/06/17 Purchase - Interest 3130A8Y72 1.00 549.91 15,609.35 02/06/17 02/06/17 Purchase - Principal 912828UQ1 1.00 49,593.75 65,203.10 02/06/17 02/06/17 Purchase - Interest 912828UQ1 1.00 274.52 65,477.62 02/06/17 02/06/17 Redemption - Principal 594918BV5 1.00 (49,966.50) 15,511.12 02/07/17 02/07/17 Purchase - Interest 3130A8PK3 1.00 312.50 15,823.62 02/08/17 02/08/17 Purchase - Interest 459200HK0 1.00 625.00 16,448.62 02/09/17 02/09/17 Purchase - Interest 3135G0J53 1.00 452.78 16,901.40 02/09/17 02/09/17 Purchase - Principal 3135G0J53 1.00 99,539.00 116,440.40 02/09/17 02/09/17 Redemption - Principal 06427KRC3 1.00 (100,000.00) 16,440.40 02/15/17 02/15/17 Purchase - Interest 02665WAH4 1.00 1,125.00 17,565.40 02/17/17 02/17/17 Purchase - Interest 3135G0N82 1.00 494.44 18,059.84 02/17/17 02/17/17 Purchase - Interest 3135G0N82 1.00 154.51 18,214.35 02/24/17 02/24/17 IP Fees January 2017 1.00 (400.31) 17,814.04 02/24/17 02/24/17 U.S. Bank Fees December 2016 1.00 (33.43) 17,780.61 02/27/17 02/27/17 Purchase - Interest 3135G0J53 1.00 125.00 17,905.61 02/27/17 02/27/17 Purchase - Interest 3135G0J53 1.00 250.00 18,155.61 02/27/17 02/27/17 Purchase - Interest 3136ANJY4 1.00 32.29 18,187.90 02/27/17 02/27/17 Purchase - Interest 3136AQDQ0 1.00 61.18 18,249.08 02/27/17 02/27/17 Purchase - Interest 3136AQSW1 1.00 39.54 18,288.62 02/27/17 02/27/17 Purchase - Principal 3136AQDQ0 1.00 137.78 18,426.40 Page 19 For the Month Ending February 28, 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 02/28/17 02/28/17 Purchase - Interest 3135G0P49 1.00 611.11 19,037.51 02/28/17 02/28/17 Purchase - Interest 912828B90 1.00 1,000.00 20,037.51 02/28/17 02/28/17 Purchase - Interest 912828D72 1.00 750.00 20,787.51 02/28/17 02/28/17 Purchase - Interest 912828D72 1.00 1,500.00 22,287.51 02/28/17 02/28/17 Purchase - Interest 912828UQ1 1.00 781.25 23,068.76 02/28/17 02/28/17 Purchase - Interest 912828UQ1 1.00 312.50 23,381.26 02/28/17 02/28/17 Purchase - Interest 912828VV9 1.00 1,859.38 25,240.64 02/28/17 02/28/17 Purchase - Correction to Interest 3136AQDQ0 from 2/27/17 1.00 62.84 25,303.48 02/28/17 02/28/17 Purchase - Principal 912828UQ1 1.00 39,789.06 65,092.54 02/28/17 02/28/17 Purchase - Principal 912828UQ1 1.00 49,736.33 114,828.87 02/28/17 02/28/17 Redemption - Principal 3135G0T29 1.00 (89,942.40) 24,886.47 02/28/17 02/28/17 Redemption - Reversal of Interest 3136AQDQ0 from 2/27/17 1.00 (61.18) 24,825.29 02/28/17 03/01/17 Accrual Income Div Reinvestment - Distributions 1.00 11.16 24,836.45 Page 20 For the Month Ending February 28, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate 24,836.45 24,836.45 24,836.45 17,157.57 19.39 0.00 (518,621.15) 532,851.83 10,605.77 11.16 24,836.45 0.00 (240,403.82) 250,727.71 14,512.56 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 February January-February 0.85% Page 21 Successor Agency CAMP Account For the Month Ending February 28, 2017Account Statement - Transaction Summary CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Opening Market Value Purchases Redemptions Change in Value Closing Market Value 21,140.24 210,424.20 (200,445.94) 0.00 $31,118.50 CAMP Pool Unsettled Trades 0.00 15.47 Cash Dividends and Income Opening Market Value Purchases Redemptions Change in Value Closing Market Value 5,242,817.53 149,968.00 (149,413.11) 5,707.63 $5,254,260.76 CAMP Managed Account Unsettled Trades 5,180.71 11,694.39 Cash Dividends and Income February 28, 2017 January 31, 2017 Asset Summary CAMP Pool 31,118.50 21,140.24 CAMP Managed Account 5,254,260.76 5,242,817.53 $5,285,379.26 $5,263,957.77 Total Asset Allocation 0.59% CAMP Pool 99.41% CAMP Managed Account Page 1 For the Month Ending February 28, 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 $21,140.24 210,424.20 (200,445.94) $31,118.50 15.47 $5,242,817.53 (137.78) (149,275.33) 149,968.00 5,180.71 5,707.63 $5,254,260.76 $5,263,957.77 $5,285,379.26 11,340.69 0.00 353.70 $11,694.39 0.00 199,596.38 10,613.39 137.78 (199,934.50) (10,413.05) 0.00 Managed Account Total 5,281,857.11 5,312,975.61 18,970.96 174,518.75 137.78 10,613.39 (179,936.80) (5,276,815.87) (23,256.44) 0.00 18,970.96 374,964.69 137.78 10,613.39 (390,361.00) (5,297,956.11) (23,256.44) 15.47 Total Accrual Basis Earnings $6,088.88 $6,104.35 Transaction Summary - Managed AccountTransaction Summary - Money Market _______________________________________________ _______________________________________________ _____________________________________________________ Cash Balance $0.00 Closing Cash Balance Page 2 For the Month Ending February 28, 2017Portfolio Summary and Statistics CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Account Summary Percent Par Value Market ValueDescription U.S. Treasury Bond / Note 1,730,000.00 1,737,494.83 32.87 Municipal Bond / Note 30,000.00 30,000.60 0.57 Federal Agency Collateralized Mortgage Obligation 94,466.78 94,527.60 1.79 Federal Agency Bond / Note 1,560,000.00 1,543,932.33 29.21 Corporate Note 1,240,000.00 1,246,351.90 23.58 Certificate of Deposit 600,000.00 601,953.50 11.39 Managed Account Sub-Total 5,254,466.78 5,254,260.76 99.41% Accrued Interest 18,970.96 Total Portfolio 5,254,466.78 5,273,231.72 CAMP Pool 31,118.50 31,118.50 0.59 Total Investments 5,285,585.28 5,304,350.22 100.00% Unsettled Trades 30,000.00 29,968.80 Sector Allocation 11.39% Cert of Deposit 23.58% Corporate Note 1.79% Fed Agency CMO 29.21% Fed Agy Bond / Note 0.59% Mny Mkt Fund 0.57% Muni Bond / Note 32.87% 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 5.32%5.68% 20.19% 31.79% 16.53% 20.49% 0.00% Maturity Distribution Characteristics Yield to Maturity at Cost Yield to Maturity at Market Duration to Worst Weighted Average Days to Maturity 2.56 968 1.44% 1.59% Page 3 For the Month Ending February 28, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Credit Quality (S&P Ratings) 4.29% A 6.65% A+ 2.96% A- 1.89% A-1 1.89% A-1+ 64.91% AA+ 11.59% AA- 0.95% AAA 0.59% AAAm 2.37% BBB+ 1.91% NR Issuer Summary Percentof HoldingsIssuer Market Value 101,118.50 1.92 AMERICAN HONDA FINANCE 54,831.87 1.04 APPLE INC 100,979.00 1.92 BANK OF MONTREAL 125,116.43 2.38 BANK OF NEW YORK CO INC 24,710.18 0.47 BB&T CORPORTATION 26,866.43 0.51 BURLINGTON NORTHERN SANTA FE 31,118.50 0.59 CAMP Pool 80,339.36 1.53 CHEVRON CORP 101,148.70 1.92 CISCO SYSTEMS INC 75,254.70 1.43 CITIGROUP INC 876,605.56 16.69 FANNIE MAE 707,054.02 13.45 FEDERAL HOME LOAN BANKS 54,800.35 1.04 FREDDIE MAC 49,930.30 0.95 GOLDMAN SACHS GROUP INC 100,093.00 1.90 HSBC HOLDINGS PLC 100,066.50 1.90 IBM CORP 101,763.20 1.94 JP MORGAN CHASE & CO 50,208.80 0.96 MICROSOFT CORP 100,794.90 1.92 NORDEA BANK AB 100,224.00 1.91 ROYAL BANK OF CANADA 99,917.00 1.90 SKANDINAVISKA ENSKIDA BANKEN AB 30,000.60 0.57 STATE OF CONNECTICUT 24,592.13 0.47 STATE STREET CORPORATION 99,945.60 1.90 SVENSKA HANDELSBANKEN 1,737,494.83 33.07 UNITED STATES TREASURY 250,163.50 4.76 US BANCORP 50,272.50 0.96 WELLS FARGO & COMPANY $5,255,410.46 Total 100.00% Q Page 4 For the Month Ending February 28, 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 75,559.58 75,903.61 407.37 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 150,697.20 151,453.44 562.50 151,640.63 11/14/1611/10/16AaaAA+ 150,000.00 912828WL0 1.06 US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 59,329.68 59,284.53 150.00 58,842.19 05/29/1505/28/15AaaAA+ 60,000.00 912828UB4 1.44 US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 101,304.70 101,399.26 160.22 101,886.72 12/04/1512/01/15AaaAA+ 100,000.00 912828VP2 1.58 US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 188,150.74 187,424.23 10.68 188,201.37 12/30/1512/28/15AaaAA+ 185,000.00 912828VV9 1.74 US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 100,304.70 101,442.90 584.94 101,851.56 02/03/1602/01/16AaaAA+ 100,000.00 912828WC0 1.35 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 176,975.58 178,980.42 875.00 179,997.07 03/04/1603/02/16AaaAA+ 175,000.00 912828A42 1.38 US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 125,161.13 126,884.88 362.57 127,241.21 05/31/1605/27/16AaaAA+ 125,000.00 912828N48 1.35 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 75,761.70 78,165.00 4.08 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 53,878.50 55,603.55 287.09 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 177,060.96 176,549.81 827.28 176,428.13 01/05/1701/03/17AaaAA+ 180,000.00 912828Q78 1.86 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 201,679.60 206,460.12 1,000.00 207,187.50 09/02/1609/01/16AaaAA+ 200,000.00 912828WN6 1.22 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 125,815.38 129,314.79 6.79 129,692.38 10/05/1610/03/16AaaAA+ 125,000.00 912828D72 1.21 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 125,815.38 125,354.69 6.79 125,371.09 12/05/1612/01/16AaaAA+ 125,000.00 912828D72 1.93 Page 5 For the Month Ending February 28, 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 5,245.31 1,737,494.83 1,754,221.23 1.41 1,758,733.60 1,730,000.00 Security Type Sub-Total Municipal Bond / Note CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 30,000.60 30,044.02 273.07 30,084.30 03/25/1503/16/15Aa3AA- 30,000.00 20772JZK1 1.90 273.07 30,000.60 30,044.02 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 24,988.25 25,068.94 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 25,050.12 25,130.72 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 44,489.23 44,735.37 60.99 44,912.07 10/30/1510/07/15AaaAA+ 44,466.78 3136AQDQ0 1.08 132.82 94,527.60 94,935.03 1.05 95,411.98 94,466.78 Security Type Sub-Total Federal Agency Bond / Note FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 99,344.10 99,728.07 41.67 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 25,181.13 25,000.34 106.08 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 105,760.73 105,430.62 445.52 105,997.50 10/23/1410/22/14AaaAA+ 105,000.00 3135G0YT4 1.39 FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 99,984.40 99,996.14 156.25 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 24,855.50 24,960.83 3.47 24,941.00 02/23/1602/19/16AaaAA+ 25,000.00 3135G0J53 1.08 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 49,711.00 50,098.81 6.94 50,126.50 08/08/1608/05/16AaaAA+ 50,000.00 3135G0J53 0.90 Page 6 For the Month Ending February 28, 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 FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 54,800.35 55,264.24 233.75 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 123,426.75 124,830.19 88.11 124,790.00 08/02/1607/29/16AaaAA+ 125,000.00 3135G0N33 0.93 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 123,313.63 124,805.45 78.99 124,760.00 08/04/1608/03/16AaaAA+ 125,000.00 3130A8Y72 0.94 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 123,678.00 124,836.63 3.47 124,805.00 09/02/1608/31/16AaaAA+ 125,000.00 3135G0P49 1.05 FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 123,614.13 124,907.97 538.19 124,891.25 09/09/1609/08/16AaaAA+ 125,000.00 3130A9EP2 1.03 FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 177,627.42 179,573.16 630.00 179,517.60 10/25/1610/21/16AaaAA+ 180,000.00 3135G0R39 1.09 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 139,549.76 139,970.84 556.11 139,967.80 11/17/1611/16/16AaaAA+ 140,000.00 3130AA3R7 1.38 FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 49,812.50 49,968.03 2.08 49,968.00 02/28/1702/24/17AaaAA+ 50,000.00 3135G0T29 1.52 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 121,248.00 124,332.85 183.59 124,239.88 07/15/1607/14/16AaaAA+ 125,000.00 3130A8QS5 1.25 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 24,291.65 24,923.34 12.15 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 77,733.28 79,709.57 38.89 79,676.00 08/19/1608/17/16AaaAA+ 80,000.00 3135G0N82 1.33 3,125.26 1,543,932.33 1,558,337.08 1.14 1,558,546.86 1,560,000.00 Security Type Sub-Total Corporate Note US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 250,163.50 250,000.00 1,214.58 255,340.00 07/30/1207/25/12A1A+ 250,000.00 91159HHD5 1.19 IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 100,066.50 99,911.92 79.86 99,542.00 02/08/1302/05/13Aa3AA- 100,000.00 459200HK0 1.35 Page 7 For the Month Ending February 28, 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 BANK OF NEW YORK MELLON (CALLABLE) DTD 03/06/2013 1.350% 03/06/2018 74,960.78 74,995.47 492.19 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 54,831.87 54,951.45 180.28 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 80,339.36 80,000.00 255.79 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 50,574.35 50,216.52 531.25 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 50,574.35 50,272.63 531.25 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 49,930.30 49,976.87 350.00 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 25,016.75 24,990.08 119.58 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 101,118.50 99,904.95 100.00 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 26,866.43 27,035.89 489.58 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 50,237.95 49,980.92 173.54 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 50,208.80 49,967.26 64.24 49,966.50 02/06/1701/30/17AaaAAA 50,000.00 594918BV5 1.87 AMERICAN EXPRESS CREDIT CORP NOTES DTD 03/03/2017 2.200% 03/03/2020 29,968.80 29,968.80 0.00 29,968.80 03/03/1702/28/17A2A- 30,000.00 0258M0EE5 2.24 JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 101,763.20 100,348.30 519.44 100,497.00 09/04/1509/01/15A3A- 100,000.00 46625HLW8 2.64 Page 8 For the Month Ending February 28, 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 50,272.50 50,919.84 297.50 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 50,155.65 50,973.29 472.22 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 24,710.18 24,986.05 158.02 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 24,592.13 24,919.51 138.13 24,905.50 05/24/1605/19/16A1A 25,000.00 857477AV5 2.03 6,167.45 1,246,351.90 1,244,319.75 1.77 1,250,527.60 1,240,000.00 Security Type Sub-Total Certificate of Deposit SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 99,917.00 100,000.00 431.67 100,000.00 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 100,093.00 100,000.00 2,006.28 100,000.00 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 100,224.00 100,000.00 812.22 100,000.00 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 100,794.90 100,000.00 420.44 100,000.00 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 99,945.60 100,000.00 252.00 100,000.00 01/12/1701/10/17Aa2AA- 100,000.00 86958JHB8 1.91 BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/2017 1.880% 02/07/2019 100,979.00 100,000.00 104.44 100,000.00 02/09/1702/08/17Aa3eNR 100,000.00 06427KRC3 1.90 4,027.05 601,953.50 600,000.00 1.71 600,000.00 600,000.00 Security Type Sub-Total 5,254,466.78 5,293,304.34 1.44 18,970.96 5,281,857.11 5,254,260.76 Managed Account Sub-Total Money Market Fund CAMP Pool 31,118.50 31,118.50 0.00 31,118.50 NRAAAm 31,118.50 Page 9 For the Month Ending February 28, 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 Money Market Fund 31,118.50 31,118.50 0.00 31,118.50 31,118.50 Money Market Sub-Total $5,285,585.28 $5,324,422.84 $18,970.96 $5,312,975.61 $5,285,379.26 1.44% $5,304,350.22 $18,970.96 Total Investments Accrued Interest Securities Sub-Total Bolded items are forward settling trades. Page 10 For the Month Ending February 28, 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 2.12 (344.03)(465.81) 75,559.58 100.75 CITIGRP 75,000.00 912828D23US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 1.27 2.12 2.20 (756.24)(943.43) 150,697.20 100.46 MORGANST 150,000.00 912828WL0US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 1.29 2.20 2.70 45.15 487.49 59,329.68 98.88 CITIGRP 60,000.00 912828UB4US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 1.42 2.70 3.29 (94.56)(582.02) 101,304.70 101.30 MERRILL 100,000.00 912828VP2US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 1.61 3.29 3.37 726.51 (50.63) 188,150.74 101.70 MORGANST 185,000.00 912828VV9US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1.62 3.37 3.52 (1,138.20)(1,546.86) 100,304.70 100.30 MERRILL 100,000.00 912828WC0US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 1.66 3.52 3.59 (2,004.84)(3,021.49) 176,975.58 101.13 MERRILL 175,000.00 912828A42US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 1.69 3.59 3.69 (1,723.75)(2,080.08) 125,161.13 100.13 MORGANST 125,000.00 912828N48US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 1.71 3.69 3.83 (2,403.30)(2,906.27) 75,761.70 101.02 MORGANST 75,000.00 912828B90US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 1.74 3.83 3.94 (1,725.05)(1,821.89) 53,878.50 97.96 CITIGRP 55,000.00 912828Q37US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 1.77 3.94 4.01 511.15 632.83 177,060.96 98.37 MORGAN_S 180,000.00 912828Q78US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 1.78 4.01 4.04 (4,780.52)(5,507.90) 201,679.60 100.84 HSBC 200,000.00 912828WN6US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 1.79 4.04 4.29 (3,499.41)(3,877.00) 125,815.38 100.65 HSBC 125,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.85 4.29 4.29 460.69 444.29 125,815.38 100.65 HSBC 125,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.85 4.29 (21,238.77) 1.66 3.55 (16,726.40) 1,737,494.83 1,730,000.00 Security Type Sub-Total 3.55 Municipal Bond / Note 1.98 (43.42)(83.70) 30,000.60 100.00 VINING 30,000.00 20772JZK1CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 1.97 1.98 Page 11 For the Month Ending February 28, 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 (83.70) 1.97 1.98 (43.42) 30,000.60 30,000.00 Security Type Sub-Total 1.98 Federal Agency Collateralized Mortgage Obligation 0.93 (80.69)(261.66) 24,988.25 99.95 GOLDMAN 25,000.00 3136ANJY4FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 1.49 0.93 1.64 (80.60)(199.88) 25,050.12 100.20 GOLDMAN 25,000.00 3136AQSW1FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 1.70 1.13 2.30 (246.14)(422.84) 44,489.23 100.05 MORGANST 44,466.78 3136AQDQ0FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 1.58 1.49 (884.38) 1.59 1.76 (407.43) 94,527.60 94,466.78 Security Type Sub-Total 1.25 Federal Agency Bond / Note 1.43 (383.97)(279.90) 99,344.10 99.34 CITIGRP 100,000.00 3130A8PK3FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 1.08 1.43 1.71 180.79 180.38 25,181.13 100.72 HSBC 25,000.00 3135G0YT4FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 1.20 1.71 1.71 330.11 (236.77) 105,760.73 100.72 GOLDMAN 105,000.00 3135G0YT4FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 1.20 1.71 1.85 (11.74)(11.60) 99,984.40 99.98 BAML 100,000.00 3130AAE46FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 1.26 1.85 1.97 (105.33)(85.50) 24,855.50 99.42 JPMCHASE 25,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.29 1.97 1.97 (387.81)(415.50) 49,711.00 99.42 BMO 50,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.29 1.97 2.09 (463.89)(530.75) 54,800.35 99.64 TD SEC U 55,000.00 3137EADZ9FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 1.30 2.09 2.39 (1,403.44)(1,363.25) 123,426.75 98.74 GOLDMAN 125,000.00 3135G0N33FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 1.40 2.39 2.40 (1,491.82)(1,446.37) 123,313.63 98.65 WELLSFAR 125,000.00 3130A8Y72FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 1.44 2.40 2.46 (1,158.63)(1,127.00) 123,678.00 98.94 GOLDMAN 125,000.00 3135G0P49FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 1.43 2.46 2.52 (1,293.84)(1,277.12) 123,614.13 98.89 BARCLAYS 125,000.00 3130A9EP2FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 1.44 2.52 Page 12 For the Month Ending February 28, 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 2.60 (1,945.74)(1,890.18) 177,627.42 98.68 BARCLAYS 180,000.00 3135G0R39FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 1.51 2.60 2.64 (421.08)(418.04) 139,549.76 99.68 MERRILL 140,000.00 3130AA3R7FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 1.50 2.64 2.92 (155.53)(155.50) 49,812.50 99.63 JPM_CHAS 50,000.00 3135G0T29FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 1.63 2.92 4.24 (3,084.85)(2,991.88) 121,248.00 97.00 TD SEC U 125,000.00 3130A8QS5FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 1.84 4.24 4.32 (631.69)(622.83) 24,291.65 97.17 TD SEC U 25,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.91 4.32 4.32 (1,976.29)(1,942.72) 77,733.28 97.17 CITIGRP 80,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.91 4.32 (14,614.53) 1.45 2.56 (14,404.75) 1,543,932.33 1,560,000.00 Security Type Sub-Total 2.56 Corporate Note 0.12 163.50 (5,176.50) 250,163.50 100.07 04/15/17BARCLAYS 250,000.00 91159HHD5US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 1.37 0.12 0.94 154.58 524.50 100,066.50 100.07 HSBC 100,000.00 459200HK0IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 1.18 0.94 1.01 (34.69)(17.47) 74,960.78 99.95 GOLDMAN 75,000.00 06406HCJ6BANK OF NEW YORK MELLON (CALLABLE) DTD 03/06/2013 1.350% 03/06/2018 1.40 0.97 1.17 (119.58) 34.82 54,831.87 99.69 GOLDMAN 55,000.00 037833AJ9APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 1.26 1.17 1.30 339.36 339.36 80,339.36 100.42 BARCLAYS 80,000.00 166764AE0CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 1.39 1.30 1.94 357.83 99.35 50,574.35 101.15 BONY 50,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.54 1.94 1.94 301.72 104.85 50,574.35 101.15 BNP PARI 50,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.54 1.94 2.09 (46.57)(37.70) 49,930.30 99.86 03/25/19MIZUHO 50,000.00 38141GVT8GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 2.07 2.07 Page 13 For the Month Ending February 28, 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 2.20 26.67 29.75 25,016.75 100.07 CITIGRP 25,000.00 172967KS9CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 2.02 2.20 2.39 1,213.55 1,303.50 101,118.50 101.12 MERRILL 100,000.00 02665WAH4AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 1.78 2.39 2.41 (169.46)(731.07) 26,866.43 107.47 GOLDMAN 25,000.00 12189TBC7BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 1.74 2.41 2.75 257.03 257.95 50,237.95 100.48 CITIGRP 50,000.00 172967LF6CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 2.28 2.75 2.85 241.54 242.30 50,208.80 100.42 HSBC 50,000.00 594918BV5MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 1.70 2.85 2.89 0.00 0.00 29,968.80 99.90 MERRILL 30,000.00 0258M0EE5AMERICAN EXPRESS CREDIT CORP NOTES DTD 03/03/2017 2.200% 03/03/2020 2.24 2.89 3.07 1,414.90 1,266.20 101,763.20 101.76 05/23/20JPMCHASE 100,000.00 46625HLW8JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 2.20 3.14 3.56 (647.34)(835.50) 50,272.50 100.55 UBS AG 50,000.00 94974BGR5WELLS FARGO & COMPANY NOTES DTD 12/07/2015 2.550% 12/07/2020 2.40 3.56 3.87 (817.64)(993.35) 50,155.65 100.31 KEYBAN 50,000.00 06406FAA1BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 2.42 3.87 3.97 (275.87)(273.32) 24,710.18 98.84 SCOTIA 25,000.00 05531FAV5BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 2.34 3.97 4.01 (327.38)(313.37) 24,592.13 98.37 GOLDMAN 25,000.00 857477AV5STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 2.36 4.01 (4,175.70) 1.71 1.83 2,032.15 1,246,351.90 1,240,000.00 Security Type Sub-Total 1.83 Certificate of Deposit 0.70 (83.00)(83.00) 99,917.00 99.92 GOLDMAN 100,000.00 83050FBG5SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 1.57 0.70 0.71 93.00 93.00 100,093.00 100.09 HSBC 100,000.00 40428AR58HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 1.40 0.71 Page 14 For the Month Ending February 28, 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 1.02 224.00 224.00 100,224.00 100.22 RBC CAP 100,000.00 78009NZZ2ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 1.45 1.02 1.74 794.90 794.90 100,794.90 100.79 MERRILL 100,000.00 65558LWA6NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 1.05 1.74 1.85 (54.40)(54.40) 99,945.60 99.95 MERRILL 100,000.00 86958JHB8SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 1.77 1.85 1.93 979.00 979.00 100,979.00 100.98 GOLDMAN 100,000.00 06427KRC3BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/2017 1.880% 02/07/2019 1.31 1.93 1,953.50 1.42 1.33 1,953.50 601,953.50 600,000.00 Security Type Sub-Total 1.33 5,254,466.78 5,254,260.76 (39,043.58) (27,596.35) 2.56 1.59 Managed Account Sub-Total 2.55 Money Market Fund 0.00 0.00 0.00 31,118.50 1.00 31,118.50 CAMP Pool 0.00 31,118.50 31,118.50 0.00 0.00 0.00 Money Market Sub-Total 0.00 Total Investments $5,304,350.22 $18,970.96 $5,285,379.26 Accrued Interest Securities Sub-Total $5,285,585.28 ($39,043.58) ($27,596.35) 2.56 1.59% 2.55 Bolded items are forward settling trades. Page 15 For the Month Ending February 28, 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 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 02/09/17 BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/2017 1.880% 02/07/2019 06427KRC3 (100,000.00) 0.00 (100,000.00) 100,000.00 02/08/17 02/28/17 FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 3135G0T29 (49,968.00) 0.00 (49,968.00) 50,000.00 02/24/17 03/03/17 AMERICAN EXPRESS CREDIT CORP NOTES DTD 03/03/2017 2.200% 03/03/2020 0258M0EE5 (29,968.80) 0.00 (29,968.80) 30,000.00 02/28/17 0.00 (229,903.30)(229,903.30) 230,000.00 Transaction Type Sub-Total INTEREST 02/25/17 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 3136AQSW1 0.00 39.54 39.54 25,000.00 02/01/17 02/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 0.00 62.84 62.84 44,604.56 02/01/17 02/25/17 FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 3136ANJY4 0.00 32.29 32.29 25,000.00 02/01/17 02/02/17 FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 3135G0N33 0.00 546.88 546.88 125,000.00 02/02/17 02/05/17 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 3130A8Y72 0.00 549.91 549.91 125,000.00 02/05/17 02/07/17 FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 3130A8PK3 0.00 312.50 312.50 100,000.00 02/07/17 02/08/17 IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 459200HK0 0.00 625.00 625.00 100,000.00 02/08/17 02/15/17 AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 02665WAH4 0.00 1,125.00 1,125.00 100,000.00 02/15/17 02/17/17 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 3135G0N82 0.00 494.44 494.44 80,000.00 02/17/17 Page 16 For the Month Ending February 28, 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 INTEREST 02/17/17 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 3135G0N82 0.00 154.51 154.51 25,000.00 02/17/17 02/26/17 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 3135G0J53 0.00 125.00 125.00 25,000.00 02/26/17 02/26/17 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 3135G0J53 0.00 250.00 250.00 50,000.00 02/26/17 02/28/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 0.00 468.75 468.75 75,000.00 02/28/17 02/28/17 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 3135G0P49 0.00 611.11 611.11 125,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 912828D72 0.00 1,250.00 1,250.00 125,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 912828B90 0.00 750.00 750.00 75,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 912828VV9 0.00 1,965.62 1,965.62 185,000.00 02/28/17 02/28/17 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 912828D72 0.00 1,250.00 1,250.00 125,000.00 02/28/17 10,613.39 10,613.39 0.00 1,534,604.56 Transaction Type Sub-Total PAYDOWNS 02/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 137.78 0.00 137.78 (1.38) 0.00 137.78 02/01/17 0.00 0.00 (1.38) 137.78 137.78 137.78 Transaction Type Sub-Total SELL 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 02/09/17 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 3135G0J53 99,539.00 452.78 99,991.78 (225.00)(299.56)FIFO 100,000.00 02/08/17 02/28/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 49,736.33 0.00 49,736.33 361.33 175.77 FIFO 50,000.00 02/24/17 Page 17 For the Month Ending February 28, 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 03/03/17 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 912828UQ1 24,788.09 2.55 24,790.64 100.59 7.23 FIFO 25,000.00 02/28/17 729.85 (74.70) 455.67 224,387.02 223,657.17 225,000.00 Transaction Type Sub-Total (6,108.35) 11,343.24 5,234.89 454.29 (74.70)Managed Account Sub-Total Total Security Transactions $454.29 $5,234.89 $11,343.24 ($6,108.35)($74.70) Bolded items are forward settling trades. Page 18 For the Month Ending February 28, 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 21,140.24 Opening Balance 02/02/17 02/02/17 Purchase - Interest 3135G0N33 1.00 546.88 21,687.12 02/06/17 02/06/17 Purchase - Interest 3130A8Y72 1.00 549.91 22,237.03 02/06/17 02/06/17 Purchase - Interest 912828UQ1 1.00 274.52 22,511.55 02/06/17 02/06/17 Purchase - Principal 912828UQ1 1.00 49,593.75 72,105.30 02/06/17 02/06/17 Redemption - Principal 594918BV5 1.00 (49,966.50) 22,138.80 02/07/17 02/07/17 Purchase - Interest 3130A8PK3 1.00 312.50 22,451.30 02/08/17 02/08/17 Purchase - Interest 459200HK0 1.00 625.00 23,076.30 02/09/17 02/09/17 Purchase - Principal 3135G0J53 1.00 99,539.00 122,615.30 02/09/17 02/09/17 Purchase - Interest 3135G0J53 1.00 452.78 123,068.08 02/09/17 02/09/17 Redemption - Principal 06427KRC3 1.00 (100,000.00) 23,068.08 02/15/17 02/15/17 Purchase - Interest 02665WAH4 1.00 1,125.00 24,193.08 02/17/17 02/17/17 Purchase - Interest 3135G0N82 1.00 494.44 24,687.52 02/17/17 02/17/17 Purchase - Interest 3135G0N82 1.00 154.51 24,842.03 02/24/17 02/24/17 IP Fees January 2017 1.00 (415.55) 24,426.48 02/24/17 02/24/17 U.S. Bank Fees December 2016 1.00 (34.71) 24,391.77 02/27/17 02/27/17 Purchase - Interest 3135G0J53 1.00 125.00 24,516.77 02/27/17 02/27/17 Purchase - Interest 3135G0J53 1.00 250.00 24,766.77 02/27/17 02/27/17 Purchase - Interest 3136ANJY4 1.00 32.29 24,799.06 02/27/17 02/27/17 Purchase - Interest 3136AQDQ0 1.00 61.18 24,860.24 02/27/17 02/27/17 Purchase - Interest 3136AQSW1 1.00 39.54 24,899.78 02/27/17 02/27/17 Purchase - Principal 3136AQDQ0 1.00 137.78 25,037.56 Page 19 For the Month Ending February 28, 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 02/28/17 02/28/17 Purchase - Interest 3135G0P49 1.00 611.11 25,648.67 02/28/17 02/28/17 Purchase - Interest 912828B90 1.00 750.00 26,398.67 02/28/17 02/28/17 Purchase - Interest 912828D72 1.00 1,250.00 27,648.67 02/28/17 02/28/17 Purchase - Interest 912828D72 1.00 1,250.00 28,898.67 02/28/17 02/28/17 Purchase - Interest 912828UQ1 1.00 468.75 29,367.42 02/28/17 02/28/17 Purchase - Correction to Interest 3136AQDQ0 from 2/27/17 1.00 62.84 29,430.26 02/28/17 02/28/17 Purchase - Interest 912828VV9 1.00 1,965.62 31,395.88 02/28/17 02/28/17 Purchase - Principal 912828UQ1 1.00 49,736.33 81,132.21 02/28/17 02/28/17 Redemption - Principal 3135G0T29 1.00 (49,968.00) 31,164.21 02/28/17 02/28/17 Redemption - Reversal of Interest 3136AQDQ0 from 2/27/17 1.00 (61.18) 31,103.03 02/28/17 03/01/17 Accrual Income Div Reinvestment - Distributions 1.00 15.47 31,118.50 Page 20 For the Month Ending February 28, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate 31,118.50 31,118.50 31,118.50 23,770.55 29.55 0.00 (527,812.62) 539,337.01 19,594.11 15.47 31,118.50 0.00 (200,445.94) 210,424.20 21,140.24 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 February January-February 0.85% Page 21 Review of Investment Performance CAMP Accounts Investment Performance Review Client Management Team Sarah Meacham, Managing Director 601 South Figueroa, Suite 4500 Los Angeles, CA 90017 213-489-4075 PFM Asset Management LLC One Keystone Plaza, Suite 300 Harrisburg, PA 17101-2044 717-232-2723 For the Quarter Ended December 31, 2016 CITY OF LAKE ELSINORE Market Update QUARTERLY MARKET SUMMARY For the Quarter Ended December 31, 2016 Fixed Income Management Summary •Bond yields and equity prices soared following the U.S. presidential election in November as President-elect Donald Trump’s proposed policies and his intentions to ramp up government spending boosted inflation expectations and growth forecasts. Major stock indexes including the S&P 500, NASDAQ, and Dow Jones Industrial Average closed at record highs during the quarter. •On December 14, the Federal Open Market Committee (FOMC) raised the federal funds target range by 0.25% to a range of 0.50% to 0.75%. The unanimous decision, in line with market expectations, was the first rate hike since December 2015. The FOMC also released updated economic forecasts and a new “dot plot,” forecasting three rate hikes in 2017. •Central banks outside the U.S. continued to pursue accommodative monetary policy amid slow growth and low inflation. The European Central Bank (ECB) kept its benchmark interest rate at 0% and continued its asset purchase program, as did the Bank of England (BOE). At the same time, the Bank of Japan (BOJ) continued its quantitative easing programs aimed at keeping the 10-year Japanese government bond yield near 0% and expanding money supply until inflation remains above the 2% target. •The Organization of the Petroleum Exporting Countries (OPEC) agreed in late November to a combined reduction in daily production. The agreement caused the price of oil to increase more than 10% during the fourth quarter. Economic Snapshot •The U.S. economy gained momentum during the latter half of the year. The labor market continued to show strength, booking a solid quarter of job gains. The housing market also strengthened in the fourth quarter as Americans continued to take advantage of historically low interest rates, driving home sales to decade-high levels. •U.S. gross domestic product (GDP) grew at a 3.5% rate in the third quarter, rebounding from modest growth during the first half of 2016. (Fourth quarter GDP data is not yet available.) Consumer spending and exports contributed to the pick-up in expansion while private inventories grew for the first time since the start of 2015. •The unemployment rate fell to 4.6% during the fourth quarter—a post- recession low. In another positive sign, job openings remained near record highs while initial unemployment filings remained near record lows. December’s addition of 156,000 jobs finished a year of solid job growth performance in which the U.S. added 2.2 million net new jobs. For the year, wages rose 2.9%, the fastest pace since 2009. •Americans continued to feel more confident about the economy as the Conference Board’s December reading climbed to a 15-year high, and sentiment strengthened further as the University of Michigan’s Consumer Sentiment Index reached its highest level since January 2004. Interest Rates •Interest rates surged in the fourth quarter, ending the year with net increases and a steeper yield curve. The two-year Treasury yield increased 43 basis points (bps) for the quarter, and the yield on the 10-year Treasury rose 85 bps—a considerable rebound from July’s record-low yield. •In the money market space, shorter-term Treasury yields rose alongside expectations of a Federal Reserve rate hike. Money market reforms took effect in October, significantly altering the supply-demand dynamic in the money markets. Yields on short-term credit instruments, such as commercial paper and negotiable bank certificates of deposit (CDs), continued to remain elevated and offer significant incremental yield. Sector Performance •U.S. Treasury indexes posted losses for the fourth quarter, declining for the second straight quarter as yields rose. For the year, returns were positive but muted. Shorter-maturity issues outperformed longer maturities as the yield curve steepened. •Federal agency yield spreads drifted tighter during the quarter as supply diminished, leading to the sector’s modest outperformance relative to comparable-maturity Treasuries. •Corporate yield spreads remained mostly unchanged until the November 8 presidential election, after which they tightened, reaching new lows for the year. Corporates outperformed Treasuries every quarter in 2016, resulting in the sector’s best year since 2012. •Mortgage-backed securities (MBS) generally underperformed Treasuries amid increased extension risk due to the rise in interest rates. Asset-backed securities (ABS) outperformed Treasuries due to declining prepayment risk. 2016 PFM Asset Management LLC 1 QUARTERLY MARKET SUMMARY For the Quarter Ended December 31, 2016 Fixed Income Management Economic Snapshot Source: Bloomberg. Labor Market Sep 2016 Dec 2015 Unemployment Rate Nov'16 4.6%5.0%5.0% Change In Non-Farm Payrolls Nov'16 178,000 208,000 271,000 Average Hourly Earnings (YoY)Nov'16 2.5%2.7%2.6% Personal Income (YoY)Nov'16 3.5%3.6%4.0% Initial Jobless Claims (week)12/24/16 265,000 246,000 285,000 Growth Real GDP (QoQ SAAR)2016Q3 3.5%1.4%2.0% GDP Personal Consumption (QoQ SAAR) 2016Q3 3.0%4.3%2.7% Retail Sales (YoY)Nov'16 3.8%3.3%2.8% ISM Manufacturing Survey (month)Nov'16 53.2 51.5 48.0 Existing Home Sales SAAR (month)Nov'16 5.61 mil. 5.49 mil. 5.45 mil. Inflation / Prices Personal Consumption Expenditures (YoY) Nov'16 1.4%1.2%0.6% Consumer Price Index (YoY)Nov'16 1.7%1.5%0.7% Consumer Price Index Core (YoY)Nov'16 2.1%2.2%2.1% Crude Oil Futures (WTI, per barrel)Dec 31 $53.72 $48.24 $37.04 Gold Futures (oz.)Dec 31 $1,152 $1,313 $1,060 Latest 0 50K 100K 150K 200K 250K 300K 350K 400K 4% 5% 6% 7% 12/31/13 6/30/14 12/31/14 6/30/15 12/31/15 6/30/16 Unemployment Rate (left) vs. Change in Nonfarm Payrolls (right) Change In Non-Farm Payrolls Unemployment Rate -2% 0% 2% 4% 6% 9/30/13 3/31/14 9/30/14 3/31/15 9/30/15 3/31/16 9/30/16 Real GDP (QoQ) -1% 0% 1% 2% 3% 12/31/13 6/30/14 12/31/14 6/30/15 12/31/15 6/30/16 Consumer Price Index CPI (YoY)Core CPI (YoY) 2 2 1 1 1. Data as of Second Quarter 2016 2. Data as of Third Quarter 2015 Note: YoY = year over year, QoQ = quarter over quarter, SAAR = seasonally adjusted annual rate, WTI = West Texas Intermediate crude oil 2016 PFM Asset Management LLC 2 QUARTERLY MARKET SUMMARY For the Quarter Ended December 31, 2016 Fixed Income Management Source: Bloomberg. Interest Rate Overview U.S. Treasury Note Yields U.S. Treasury Yield Curve U.S. Treasury Yields Yield Curves as of 12/31/16 0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 9/30/16 10/31/16 11/30/16 12/31/16Yield 2-Year 5-Year 10-Year 0% 1% 2% 3% 4%3-mo1-yr2-yr3-yr5-yr7-yr10-yr30-yrYieldMaturity December 31, 2016 September 30, 2016 December 31, 2015 Maturity 12/31/16 9/30/16 Change over Quarter 12/31/15 Change over Year 3-month 0.50% 0.28% 0.22% 0.17% 0.33% 1-year 0.81% 0.59% 0.22% 0.60% 0.21% 2-year 1.19% 0.76% 0.43% 1.05% 0.14% 5-year 1.93% 1.15% 0.78% 1.76% 0.17% 10-year 2.45% 1.60% 0.85% 2.27% 0.18% 30-year 3.07% 2.32% 0.75% 3.02% 0.05% 0% 1% 2% 3% 4% 5%1-yr2-yr3-yr5-yr7-yr10-yr25-yr30-yrYieldMaturity U.S. Treasury Federal Agency Industrial Corporates, A Rated 2016 PFM Asset Management LLC 3 QUARTERLY MARKET SUMMARY For the Quarter Ended December 31, 2016 Fixed Income Management Source: BofA Merrill Lynch Indices. Duration Yield 3 Month 1 Year 3 Years 1-3 Year Indices U.S. Treasury 1.89 1.18%(0.43%)0.89% 0.68% Federal Agency 1.86 1.29%(0.34%)0.96% 0.78% U.S. Corporates, A-AAA rated 1.85 1.89%(0.28%)1.81% 1.35% Agency MBS (0 to 3 years)2.10 1.95%(0.91%)0.52% 1.09% Taxable Municipals 1.85 2.34%(0.40%)2.47% 2.34% 1-5 Year Indices U.S. Treasury 2.71 1.42%(1.09%)1.09% 1.10% Federal Agency 2.33 1.45%(0.72%)1.12% 1.13% U.S. Corporates, A-AAA rated 2.72 2.20%(0.95%)2.19% 1.94% Agency MBS (0 to 5 years)3.31 2.20%(1.81%)1.26% 2.12% Taxable Municipals 2.53 2.41%(0.80%)3.15% 3.06% Master Indices (Maturities 1 Year or Greater) U.S. Treasury 6.23 1.90%(3.96%)1.14% 2.63% Federal Agency 3.97 1.82%(2.08%)1.50% 2.17% U.S. Corporates, A-AAA rated 6.91 3.03%(3.15%)4.23% 4.04% Agency MBS (0 to 30 years)4.88 2.76%(1.98%)1.67% 3.04% Taxable Municipals 3.86 2.96%(1.77%)3.64% 4.19% As of 12/31/16 Returns for Periods ended 12/31/16 Returns for periods greater than one year are annualized. 2016 PFM Asset Management LLC BofA Merrill Lynch Index Returns 4 QUARTERLY MARKET SUMMARY For the Quarter Ended December 31, 2016 Fixed Income Management Disclosures The views expressed within this material constitute the perspective and judgment of PFM Asset Management LLC (PFMAM) at the time of distribution and are subject to change. Information is obtained from sources generally believed to be reliable and available to the public; however, PFMAM cannot guarantee its accuracy, completeness, or suitability. This material is for general information purposes only and is not intended to provide specific advice or recommendation. The information contained in this report is not an offer to purchase or sell any securities. PFMAM is registered with the Securities and Exchange Commission under the Investment Advisers Act of 1940. PFMAM’s clients are state and local governments, non-profit corporations, pension funds, and similar institutional investors. www.pfm.com © PFM Asset Management LLC. Further distribution is not permitted without prior written consent. 2016 PFM Asset Management LLC 5 Investment Performance Review 2016 PFM Asset Management LLC For the Quarter Ended December 31, 2016 Portfolio RecapCITY OF LAKE ELSINORE •The fourth quarter was dominated by the U.S. presidential election—first by general uncertainty, then more significantly by the surprise Trump victory. Yields surged in the post-election period as expectations for U.S. economic growth and inflationary expectations rose and in anticipation of a December FOMC rate hike. •Federal Agency yield spreads continued to tighten over the quarter, erasing much of the value seen off and on during the year. When buying Agencies, we focused on new issues that came to market with yield concessions and offered good value. •We maintained allocations to the corporate sector as valuations remained fair to modestly expensive amid tight yield spread levels. The corporate sector once again outperformed comparable-maturity Treasuries during the quarter, finishing its strongest year of relative performance since 2012. •Significant money market reforms took effect in the fourth quarter. The result was reduced demand for short-term credit instruments such as negotiable bank certificates of deposit, which lead to increased yields in these sectors. •For much of the past year, we maintained duration positions close to the duration of the benchmark. But early in the quarter, we modestly shortened the portfolios’ durations to reduce the negative impact of rising interest rates on the portfolios’ market values as there was a strong likelihood of a Fed rate increase and significant volatility surrounding the election. •In the fourth quarter, the portfolios performed well relative to the benchmark. This is the result of diversification and PFM’s active management. In negative periods, returns that are “less negative” than benchmark returns contribute to increased outperformance since inception. It is important to clarify that negative returns over this period do not equate to the City realizing a loss. Because interest rates rose, and we have been in a prolonged low yield environment, unrealized declines in market values outweighed investment income the City received. Over the quarter, the City’s portfolios realized earnings of $162,099 on an amortized cost basis. 6 For the Quarter Ended December 31, 2016 Investment Strategy and Outlook 2016 PFM Asset Management LLC CITY OF LAKE ELSINORE •Although we enter 2017 with a high degree of political uncertainty, our expectations are for a modest uptick in economic growth in the U.S., a trend toward higher inflation, and a gradual upward trajectory of interest rates. •Agency yield spreads over Treasuries remain narrow. As a result, our strategy will generally favor U.S. Treasuries over Agencies, unless specific issues offer identifiable value. •Our strategy continues to favor broad allocation to various credit sectors, including corporate notes and negotiable bank CDs. -Yield spreads on corporate securities remain narrow. Improving corporate profits, as well as anticipated pro-business tax reform from the Trump administration, support favorable fundamentals of the credit sector. -Yields on negotiable CDs continue to offer significant yield pickup relative to short-term government securities. •As 2017 starts with the highest yields in several years, we plan to initially position the durations of the portfolios to be aligned with the benchmark. •We will continue to monitor incoming economic data, Fed policy, and market relationships, adjusting the portfolios positionings as needed. This will include monitoring and assessing the policies of the Trump administration for its impact on economic and market conditions. 7 For the Quarter Ended December 31, 2016 Sector Allocation and Compliance 2016 PFM Asset Management LLC CITY OF LAKE ELSINORE End of quarter trade-date market values of portfolio holdings, including accrued interested. Percentages may not add up to 100% due to rounding. •The portfolios are in compliance with the City’s Investment Policy and the California Government Code. Security Type Market Value as of December 31, 2016 % of Portfolio % Change vs. 9/30/16 Permitted by Policy In Compliance U.S. Treasuries $13,711,361 34% +1% 100% Federal Agencies $11,676,847 29%-1%100% Agency CMO $716,305 2%-100% Municipal Obligations $353,257 1%-100% Negotiable Certificates of Deposit $4,912,874 12%-30% Medium-Term Corporate Notes $8,838,474 22%-30% CAMP Cash Reserve Portfolio $58,255 <1%-100% Total $40,267,372 100% 8 For the Quarter Ended December 31, 2016 Total Return 2016 PFM Asset Management LLC CITY OF LAKE ELSINORE 1.Merrill Lynch Indices provided by Bloomberg Financial Markets. 2.Past 5 Years BAML 1-5 Year US Treasury Index Total Return refers to the City Funds and Successor Agency Portfolios only. 3.The City Funds portfolio’s inception date is September, 2010. 4.The Successor Agency portfolio’s inception date is March, 2011. 5.The Housing Fund portfolio’s inception date is June, 2012. •Performance on trade-date basis, gross (i.e., before fees), in accordance with the CFA Institute’s Global Investment Performance Standards (GIPS). •Quarterly returns are presented on an unannualized basis. Performance numbers for periods greater than one year are presented on an annualized basis. Duration (Years)Past Quarter Past Year Past 3 Years Past 5 Years Since Inception City Funds Portfolio 2.61 -0.92% 1.43% 1.30%1.13%1.38% Successor Agency Portfolio 2.60 -0.95%1.31%1.25% 1.06% 1.37% Housing Funds Portfolio 2.61 -0.94%1.31%1.27%-0.99% 1.07%3 1.27%4 0.80%5 0.80%2BAML 1-5 Year U.S Treasury Index1 2.65 -1.09%1.09%1.10% 9 City Funds Portfolio LAKE ELSINORE CITY FUNDS For the Quarter Ended December 31, 2016 Portfolio Snapshot Portfolio Statistics As of December 31, 2016 29,798,055 29,917,087 29,766,826 122,207 - 29,981,509 1.60% 1.44% AAAverage Credit: ** Yield at Cost: Accrued Interest: Cash: Par Value: Amortized Cost: Total Market Value: Yield at Market: Security Market Value: Effective Duration:2.61 Years Duration to Worst:2.62 Years Average Maturity:2.72 Years CAMP 28,055 Credit Quality (S&P Ratings) 3.3% A 3.1% A- 8.2% A+ 1.9% A-1 1.9% A-1+ 1.8% AA 13.5% AA- 64.9% AA+ 0.1% AAAm 1.4% BBB+* 0% 4% 8% 12% 16% 20% 24% 28% 32% 0 - 1 Year 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years > 5 Years 11.4% 18.7% 28.1% 19.6% 22.2% 0.0% Maturity Distribution Sector Allocation 13.7% Certificate of Deposit 21.4% Corporate 1.8% Federal Agency/CMO 27.5% Federal Agency/GSE 0.1% Mny Mkt Fund / Pool 1.0% Municipal 34.5% U.S. Treasury 2016 PFM Asset Management LLC *Goldman Sachs Group and Citigroup Inc Group Corporate notes (rated A by Fitch). **An average of each security’s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio. 10 LAKE ELSINORE CITY FUNDS For the Quarter Ended December 31, 2016 Portfolio Performance Portfolio Earnings Quarter-Ended December 31, 2016 Market Value Basis Accrual (Amortized Cost) Basis Net Purchases/Sales Change in Value Interest Earned $30,090,485.43 $98,671.45 ($394,276.43) $117,521.89 ($276,754.54) $29,794,880.45 $29,881,375.74 $98,671.45 $1,461.85 $117,521.89 $118,983.74 $29,981,509.04 Portfolio Earnings Beginning Value (09/30/2016) Ending Value (12/31/2016) 2016 PFM Asset Management LLC 11 LAKE ELSINORE CITY FUNDS For the Quarter Ended December 31, 2016 Portfolio Composition Issuer Distribution As of December 31, 2016 Market Value ($)% of PortfolioIssuer UNITED STATES TREASURY 10,293,627 34.5% FANNIE MAE 4,510,662 15.1% FEDERAL HOME LOAN BANKS 3,419,319 11.5% FREDDIE MAC 797,803 2.7% CHEVRON CORP 765,613 2.6% US BANCORP 700,998 2.4% TORONTO-DOMINION BANK 625,279 2.1% AMERICAN HONDA FINANCE 580,599 2.0% JP MORGAN CHASE & CO 580,200 2.0% NORDEA BANK AB 579,640 2.0% CANADIAN IMPERIAL BANK OF COMMERCE 579,640 2.0% CISCO SYSTEMS INC 577,511 1.9% ROYAL BANK OF CANADA 575,653 1.9% BANK OF NOVA SCOTIA 575,506 1.9% HSBC HOLDINGS PLC 575,089 1.9% SKANDINAVISKA ENSKIDA BANKEN AB 574,025 1.9% WELLS FARGO & COMPANY 447,874 1.5% BERKSHIRE HATHAWAY INC 400,806 1.4%Top 5 = 66.4%Top 10 = 76.7%2016 PFM Asset Management LLC 12 For the Quarter Ended December 31, 2016 Portfolio Composition Market Value ($)% of Portfolio LAKE ELSINORE CITY FUNDS Issuer APPLE INC 308,838 1.0% BANK OF NEW YORK CO INC 300,334 1.0% GOLDMAN SACHS GROUP INC 298,808 1.0% GENERAL ELECTRIC CO 273,924 0.9% IBM CORP 249,705 0.8% TOYOTA MOTOR CORP 199,643 0.7% AMERICAN EXPRESS CO 197,617 0.7% STATE OF CONNECTICUT 165,447 0.6% BURLINGTON NORTHERN SANTA FE 161,315 0.5% BB&T CORPORTATION 147,217 0.5% UNIVERSITY OF CALIFORNIA 126,035 0.4% CITIGROUP INC 104,604 0.4% STATE STREET CORPORATION 73,494 0.3% CAMP POOL 28,055 0.1% 29,794,880 100.0%Grand Total: 2016 PFM Asset Management LLC 13 Successor Agency Portfolio LAKE ELSINORE-SUCCESSOR AGENCY For the Quarter Ended December 31, 2016 Portfolio Snapshot Portfolio Statistics As of December 31, 2016 5,264,594 5,276,942 5,238,708 18,640 - 5,294,579 1.58% 1.38% AAAverage Credit: ** Yield at Cost: Accrued Interest: Cash: Par Value: Amortized Cost: Total Market Value: Yield at Market: Security Market Value: Effective Duration:2.60 Years Duration to Worst:2.61 Years Average Maturity:2.71 Years CAMP 19,594 Credit Quality (S&P Ratings) 4.3% A 2.4% A- 6.7% A+ 1.9% A-1 1.9% A-1+ 9.7% AA- 71.3% AA+ 0.4% AAAm 1.4% BBB+* 0% 5% 10% 15% 20% 25% 30% 35% 0 - 1 Year 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years > 5 Years 8.9% 19.8% 34.8% 16.9% 19.5% 0.0% Maturity Distribution Sector Allocation 7.6% Certificate of Deposit 21.2% Corporate 1.8% Federal Agency/CMO 35.5% Federal Agency/GSE 0.4% Mny Mkt Fund / Pool 0.6% Municipal 32.9% U.S. Treasury 2016 PFM Asset Management LLC *Goldman Sachs Group and Citigroup Inc Group Corporate notes (rated A by Fitch). **An average of each security’s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio. 14 LAKE ELSINORE-SUCCESSOR AGENCY For the Quarter Ended December 31, 2016 Portfolio Performance Portfolio Earnings Quarter-Ended December 31, 2016 Market Value Basis Accrual (Amortized Cost) Basis Net Purchases/Sales Change in Value Interest Earned $5,309,269.48 $20,069.56 ($71,037.21) $20,142.50 ($50,894.71) $5,258,301.83 $5,270,796.16 $20,069.56 $3,713.30 $20,142.50 $23,855.80 $5,294,579.02 Portfolio Earnings Beginning Value (09/30/2016) Ending Value (12/31/2016) 2016 PFM Asset Management LLC 15 LAKE ELSINORE-SUCCESSOR AGENCY For the Quarter Ended December 31, 2016 Portfolio Composition Issuer Distribution As of December 31, 2016 Market Value ($)% of PortfolioIssuer UNITED STATES TREASURY 1,731,968 32.9% FANNIE MAE 1,201,071 22.8% FEDERAL HOME LOAN BANKS 706,011 13.4% US BANCORP 250,356 4.8% BANK OF NEW YORK CO INC 124,875 2.4% CISCO SYSTEMS INC 101,318 1.9% AMERICAN HONDA FINANCE 100,974 1.9% JP MORGAN CHASE & CO 100,904 1.9% NORDEA BANK AB 100,807 1.9% ROYAL BANK OF CANADA 100,114 1.9% HSBC HOLDINGS PLC 100,016 1.9% IBM CORP 99,882 1.9% SKANDINAVISKA ENSKIDA BANKEN AB 99,831 1.9% CHEVRON CORP 80,245 1.5% APPLE INC 54,794 1.0% FREDDIE MAC 54,777 1.0% WELLS FARGO & COMPANY 50,057 1.0% GOLDMAN SACHS GROUP INC 49,801 1.0%Top 5 = 76.3%Top 10 = 85.9%2016 PFM Asset Management LLC 16 For the Quarter Ended December 31, 2016 Portfolio Composition Market Value ($)% of Portfolio LAKE ELSINORE-SUCCESSOR AGENCY Issuer STATE OF CONNECTICUT 30,081 0.6% BURLINGTON NORTHERN SANTA FE 26,886 0.5% CITIGROUP INC 24,906 0.5% BB&T CORPORTATION 24,536 0.5% STATE STREET CORPORATION 24,498 0.5% CAMP POOL 19,594 0.4% 5,258,302 100.0%Grand Total: 2016 PFM Asset Management LLC 17 Housing Funds Portfolio LAKE ELSINORE HOUSING FUNDS For the Quarter Ended December 31, 2016 Portfolio Snapshot Portfolio Statistics As of December 31, 2016 5,060,606 5,073,343 5,043,640 19,097 - 5,091,109 1.61% 1.40% AAAverage Credit: ** Yield at Cost: Accrued Interest: Cash: Par Value: Amortized Cost: Total Market Value: Yield at Market: Security Market Value: Effective Duration:2.61 Years Duration to Worst:2.62 Years Average Maturity:2.72 Years CAMP 10,606 Credit Quality (S&P Ratings) 7.4% A 2.5% A- 4.5% A+ 2.0% A-1 2.0% A-1+ 13.6% AA- 66.4% AA+ 0.2% AAAm 1.5% BBB+* 0% 4% 8% 12% 16% 20% 24% 28% 0 - 1 Year 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years > 5 Years 10.6% 20.6% 26.1% 19.3% 23.4% 0.0% Maturity Distribution Sector Allocation 7.9% Certificate of Deposit 26.0% Corporate 1.9% Federal Agency/CMO 31.1% Federal Agency/GSE 0.2% Mny Mkt Fund / Pool 0.6% Municipal 32.3% U.S. Treasury 2016 PFM Asset Management LLC *Goldman Sachs Group and Citigroup Inc Group Corporate notes (rated A by Fitch). **An average of each security’s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio. 18 LAKE ELSINORE HOUSING FUNDS For the Quarter Ended December 31, 2016 Portfolio Performance Portfolio Earnings Quarter-Ended December 31, 2016 Market Value Basis Accrual (Amortized Cost) Basis Net Purchases/Sales Change in Value Interest Earned $5,106,616.78 $15,240.41 ($67,611.53) $19,300.81 ($48,310.72) $5,054,245.66 $5,075,909.91 $15,240.41 ($41.29) $19,300.81 $19,259.52 $5,091,109.03 Portfolio Earnings Beginning Value (09/30/2016) Ending Value (12/31/2016) 2016 PFM Asset Management LLC 19 LAKE ELSINORE HOUSING FUNDS For the Quarter Ended December 31, 2016 Portfolio Composition Issuer Distribution As of December 31, 2016 Market Value ($)% of PortfolioIssuer UNITED STATES TREASURY 1,631,824 32.3% FANNIE MAE 947,478 18.8% FEDERAL HOME LOAN BANKS 720,977 14.3% CHEVRON CORP 254,849 5.0% WELLS FARGO & COMPANY 174,173 3.5% BANK OF NEW YORK CO INC 149,814 3.0% US BANCORP 125,178 2.5% CISCO SYSTEMS INC 101,318 2.0% AMERICAN HONDA FINANCE 100,974 2.0% JP MORGAN CHASE & CO 100,904 2.0% NORDEA BANK AB 100,807 2.0% ROYAL BANK OF CANADA 100,114 2.0% HSBC HOLDINGS PLC 100,016 2.0% IBM CORP 99,882 2.0% SKANDINAVISKA ENSKIDA BANKEN AB 99,831 2.0% APPLE INC 54,794 1.1% GOLDMAN SACHS GROUP INC 49,801 1.0% STATE OF CONNECTICUT 30,081 0.6%Top 5 = 73.8%Top 10 = 85.2%2016 PFM Asset Management LLC 20 For the Quarter Ended December 31, 2016 Portfolio Composition Market Value ($)% of Portfolio LAKE ELSINORE HOUSING FUNDS Issuer BURLINGTON NORTHERN SANTA FE 26,886 0.5% CITIGROUP INC 24,906 0.5% BB&T CORPORTATION 24,536 0.5% STATE STREET CORPORATION 24,498 0.5% CAMP POOL 10,606 0.2% 5,054,246 100.0%Grand Total: 2016 PFM Asset Management LLC 21 Portfolio Holdings For the Month Ending December 31, 2016Managed 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 294,089.63 294,675.38 474.11 294,504.49 04/27/1604/22/16AaaAA+ 295,000.00 912828K25 0.84 US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 372,890.44 374,789.08 1,029.77 375,058.59 11/14/1611/10/16AaaAA+ 370,000.00 912828D23 1.06 US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 381,751.42 383,944.18 501.10 384,156.25 11/14/1611/10/16AaaAA+ 380,000.00 912828WL0 1.06 US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 306,270.39 306,089.77 272.53 304,017.97 05/29/1505/28/15AaaAA+ 310,000.00 912828UB4 1.44 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 545,617.05 546,322.46 2,335.98 544,822.27 09/03/1509/02/15AaaAA+ 550,000.00 912828UQ1 1.47 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 1,140,835.65 1,139,367.43 4,884.32 1,135,625.00 11/09/1511/05/15AaaAA+ 1,150,000.00 912828UQ1 1.55 US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 582,434.75 583,415.44 4,812.50 585,848.63 12/04/1512/01/15AaaAA+ 575,000.00 912828VP2 1.58 US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1,066,980.60 1,064,378.36 7,581.32 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 841,673.28 852,645.60 2,517.68 855,553.13 02/03/1602/01/16AaaAA+ 840,000.00 912828WC0 1.35 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 151,552.80 153,555.52 263.74 154,283.20 03/04/1603/02/16AaaAA+ 150,000.00 912828A42 1.38 US TREASURY NOTES DTD 12/31/2013 2.375% 12/31/2020 384,155.25 390,931.18 24.60 393,837.89 03/31/1603/30/16AaaAA+ 375,000.00 912828A83 1.28 US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 799,750.40 812,563.54 38.67 814,343.75 05/31/1605/27/16AaaAA+ 800,000.00 912828N48 1.35 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 579,582.18 600,233.79 3,907.46 603,121.09 07/08/1607/06/16AaaAA+ 575,000.00 912828B90 0.92 US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 283,305.06 293,306.00 926.17 293,692.97 06/29/1606/27/16AaaAA+ 290,000.00 912828Q37 0.98 22 For the Month Ending December 31, 2016Managed 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 1,207,359.60 1,240,201.28 2,109.89 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 326,294.80 336,612.46 2,208.56 337,200.20 10/05/1610/03/16AaaAA+ 325,000.00 912828D72 1.21 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1,029,083.60 1,028,000.80 6,965.47 1,028,042.97 12/05/1612/01/16AaaAA+ 1,025,000.00 912828D72 1.93 40,853.87 10,293,626.90 10,401,032.27 1.40 10,415,403.32 10,260,000.00 Security Type Sub-Total Municipal Bond / Note UNIV OF CAL TXBL REV BONDS DTD 04/10/2014 1.904% 05/15/2018 126,035.00 125,000.00 304.11 125,000.00 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 165,447.15 165,261.44 959.04 165,463.65 03/25/1503/16/15Aa3AA- 165,000.00 20772JZK1 1.90 1,263.15 291,482.15 290,261.44 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 135,077.41 135,458.54 174.38 136,349.51 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 125,445.03 125,732.28 197.74 126,249.99 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 264,681.50 266,733.03 363.49 267,653.68 10/30/1510/07/15AaaAA+ 265,000.00 3136AQDQ0 1.08 735.61 525,203.94 527,923.85 1.05 530,253.18 525,000.00 Security Type Sub-Total Federal Agency Bond / Note FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 892,846.80 897,269.95 2,250.00 896,616.00 08/12/1608/11/16AaaAA+ 900,000.00 3130A8PK3 0.82 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 352,638.30 350,005.14 537.15 350,010.50 06/19/1406/16/14AaaAA+ 350,000.00 3135G0YT4 1.62 23 For the Month Ending December 31, 2016Managed 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 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 629,711.25 627,805.98 959.20 630,937.50 10/23/1410/22/14AaaAA+ 625,000.00 3135G0YT4 1.39 FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 374,869.13 374,985.00 299.48 374,985.00 12/08/1612/07/16AaaAA+ 375,000.00 3130AAE46 1.25 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 720,492.68 723,770.02 2,517.36 723,289.00 02/23/1602/19/16AaaAA+ 725,000.00 3135G0J53 1.08 FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 373,482.38 376,941.62 890.63 377,257.50 08/15/1608/12/16AaaAA+ 375,000.00 3137EADZ9 0.90 FHLMC REFERENCE NOTE DTD 07/20/2016 0.875% 07/19/2019 424,320.13 429,112.80 1,682.67 428,959.40 07/20/1607/19/16AaaAA+ 430,000.00 3137EAEB1 0.96 FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 714,929.03 723,948.09 2,625.61 723,782.00 08/02/1607/29/16AaaAA+ 725,000.00 3135G0N33 0.93 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 714,739.08 723,795.11 2,590.36 723,608.00 08/04/1608/03/16AaaAA+ 725,000.00 3130A8Y72 0.94 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 593,334.60 599,166.07 1,983.33 599,064.00 09/02/1608/31/16AaaAA+ 600,000.00 3135G0P49 1.05 FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 394,470.40 398,992.67 733.33 398,928.00 10/25/1610/21/16AaaAA+ 400,000.00 3135G0R39 1.09 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 737,050.36 739,836.59 1,243.61 739,829.80 11/17/1611/16/16AaaAA+ 740,000.00 3130AA3R7 1.38 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 699,813.50 720,986.83 3,783.59 720,591.28 07/15/1607/14/16AaaAA+ 725,000.00 3130A8QS5 1.25 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 135,305.80 139,555.17 641.67 139,521.06 08/19/1608/17/16AaaAA+ 140,000.00 3135G0N82 1.32 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 444,576.20 458,269.65 2,108.33 458,137.00 08/19/1608/17/16AaaAA+ 460,000.00 3135G0N82 1.33 24,846.32 8,202,579.64 8,284,440.69 1.12 8,285,516.04 8,295,000.00 Security Type Sub-Total 24 For the Month Ending December 31, 2016Managed 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 700,997.50 700,000.00 1,475.83 714,952.00 07/30/1207/25/12A1A+ 700,000.00 91159HHD5 1.19 CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 149,661.00 150,000.00 119.60 150,000.00 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 174,604.50 175,166.10 139.53 175,946.75 12/05/1211/29/12Aa2AA- 175,000.00 166764AA8 0.99 IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 249,705.25 249,740.89 1,241.32 248,855.00 02/08/1302/05/13Aa3AA- 250,000.00 459200HK0 1.35 BERKSHIRE HATHAWAY GLOBAL NOTE DTD 02/11/2013 1.550% 02/09/2018 400,806.40 399,873.14 2,445.56 399,444.00 02/11/1301/29/13Aa2AA 400,000.00 084670BH0 1.58 APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 308,837.50 309,687.72 499.44 308,856.10 05/03/1304/30/13Aa1AA+ 310,000.00 037833AJ9 1.08 CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 441,347.28 440,000.00 146.98 440,000.00 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 273,558.06 271,264.36 1,912.50 272,565.00 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 303,953.40 301,768.99 2,125.00 302,817.00 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 49,801.40 49,891.93 183.33 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 249,007.00 249,875.57 916.67 249,840.00 04/26/1604/21/16A3BBB+ 250,000.00 38141GVT8 2.02 CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 104,603.63 104,955.33 143.50 104,945.40 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 580,598.78 574,417.54 4,887.50 573,936.25 09/09/1409/04/14A1A+ 575,000.00 02665WAH4 2.29 25 For the Month Ending December 31, 2016Managed 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 161,315.10 162,986.77 1,762.50 165,585.00 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 273,924.00 275,103.87 6,607.64 289,082.50 03/25/1503/20/15A1AA- 250,000.00 36962G4J0 2.05 WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 74,645.63 75,187.06 676.35 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 373,228.13 376,649.99 3,381.77 377,621.25 02/05/1502/02/15A2A 375,000.00 94974BGF1 2.00 TOYOTA MOTOR CORP NOTES DTD 03/12/2015 2.150% 03/12/2020 199,643.20 201,165.10 1,301.94 201,776.00 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 580,200.30 577,101.67 351.39 577,857.75 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 300,333.60 306,139.46 1,583.33 306,978.00 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 197,616.80 199,589.70 700.00 199,536.00 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 147,217.35 149,913.10 435.63 149,901.00 05/16/1605/10/16A2A- 150,000.00 05531FAV5 2.06 STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 73,494.08 74,749.39 170.63 74,716.50 05/24/1605/19/16A1A 75,000.00 857477AV5 2.03 33,207.94 6,369,099.89 6,375,227.68 1.82 6,410,360.50 6,325,000.00 Security Type Sub-Total Certificate of Deposit TORONTO DOMINION BANK NY YCD DTD 06/19/2015 1.240% 06/16/2017 625,279.38 625,000.00 4,197.92 625,000.00 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 575,506.00 575,000.00 1,370.42 575,000.00 11/09/1511/06/15Aa3A+ 575,000.00 06417GAS7 1.55 26 For the Month Ending December 31, 2016Managed 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 SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 574,025.38 575,000.00 1,087.39 575,000.00 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 575,089.13 575,000.00 10,084.86 575,000.00 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 575,652.63 575,000.00 3,041.11 575,000.00 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 579,640.25 574,568.20 759.00 574,551.50 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 579,640.25 575,000.00 759.00 575,000.00 12/05/1612/01/16Aa3AA- 575,000.00 65558LWA6 1.74 21,299.70 4,084,833.02 4,074,568.20 1.57 4,074,551.50 4,075,000.00 Security Type Sub-Total 29,770,000.00 30,006,548.19 1.44 122,206.59 29,953,454.13 29,766,825.54 Managed Account Sub-Total Money Market Fund CAMP Pool 28,054.91 28,054.91 0.00 28,054.91 NRAAAm 28,054.91 28,054.91 28,054.91 0.00 28,054.91 28,054.91 Money Market Sub-Total $29,798,054.91 $30,034,603.10 $122,206.59 $29,981,509.04 $29,794,880.45 1.44% $29,917,087.04 $122,206.59 Total Investments Accrued Interest Securities Sub-Total 27 For the Month Ending December 31, 2016Managed 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 75,585.90 75,970.76 208.74 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 150,691.35 151,556.92 197.80 151,640.63 11/14/1611/10/16AaaAA+ 150,000.00 912828WL0 1.06 US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 59,278.14 59,243.18 52.75 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 173,605.43 173,382.00 743.27 172,812.50 11/09/1511/05/15AaaAA+ 175,000.00 912828UQ1 1.55 US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 101,293.00 101,463.56 836.96 101,886.72 12/04/1512/01/15AaaAA+ 100,000.00 912828VP2 1.58 US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 187,991.82 187,533.33 1,335.76 188,201.37 12/30/1512/28/15AaaAA+ 185,000.00 912828VV9 1.74 US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 100,199.20 101,505.43 299.72 101,851.56 02/03/1602/01/16AaaAA+ 100,000.00 912828WC0 1.35 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 176,811.60 179,148.11 307.69 179,997.07 03/04/1603/02/16AaaAA+ 175,000.00 912828A42 1.38 US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 124,961.00 126,963.05 6.04 127,241.21 05/31/1605/27/16AaaAA+ 125,000.00 912828N48 1.35 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 75,597.68 78,291.37 509.67 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 53,730.27 55,627.00 175.65 55,700.39 06/29/1606/27/16AaaAA+ 55,000.00 912828Q37 0.98 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 201,226.60 206,700.21 351.65 207,187.50 09/02/1609/01/16AaaAA+ 200,000.00 912828WN6 1.22 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 125,498.00 129,466.33 849.45 129,692.38 10/05/1610/03/16AaaAA+ 125,000.00 912828D72 1.21 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 125,498.00 125,365.95 849.45 125,371.09 12/05/1612/01/16AaaAA+ 125,000.00 912828D72 1.93 28 For the Month Ending December 31, 2016Managed 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 6,724.60 1,731,967.99 1,752,217.20 1.38 1,755,117.97 1,725,000.00 Security Type Sub-Total Municipal Bond / Note CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 30,081.30 30,047.53 174.37 30,084.30 03/25/1503/16/15Aa3AA- 30,000.00 20772JZK1 1.90 174.37 30,081.30 30,047.53 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 25,014.34 25,084.92 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 25,089.01 25,146.46 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 44,945.91 45,294.29 61.73 45,450.63 10/30/1510/07/15AaaAA+ 45,000.00 3136AQDQ0 1.08 133.56 95,049.26 95,525.67 1.05 95,950.54 95,000.00 Security Type Sub-Total Federal Agency Bond / Note FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 74,790.15 74,675.91 72.92 73,863.75 05/31/1305/24/13AaaAA+ 75,000.00 3135G0WJ8 1.19 FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 99,720.20 99,760.48 97.22 99,155.00 05/24/1305/22/13AaaAA+ 100,000.00 3135G0WJ8 1.05 FHLB NOTES DTD 07/08/2016 0.625% 08/07/2018 99,205.20 99,696.66 250.00 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 105,791.49 105,471.40 161.15 105,997.50 10/23/1410/22/14AaaAA+ 105,000.00 3135G0YT4 1.39 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 125,942.25 125,001.84 191.84 125,003.75 06/19/1406/16/14AaaAA+ 125,000.00 3135G0YT4 1.62 FHLB NOTES DTD 12/08/2016 1.250% 01/16/2019 99,965.10 99,996.00 79.86 99,996.00 12/08/1612/07/16AaaAA+ 100,000.00 3130AAE46 1.25 29 For the Month Ending December 31, 2016Managed 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 49,689.15 50,107.02 173.61 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 124,222.88 124,787.93 434.03 124,705.00 02/23/1602/19/16AaaAA+ 125,000.00 3135G0J53 1.08 FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 54,777.42 55,284.77 130.63 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 123,263.63 124,818.64 452.69 124,790.00 08/02/1607/29/16AaaAA+ 125,000.00 3135G0N33 0.93 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 123,230.88 124,792.26 446.61 124,760.00 08/04/1608/03/16AaaAA+ 125,000.00 3130A8Y72 0.94 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 123,611.38 124,826.26 413.19 124,805.00 09/02/1608/31/16AaaAA+ 125,000.00 3135G0P49 1.05 FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 123,510.50 124,902.09 329.86 124,891.25 09/09/1609/08/16AaaAA+ 125,000.00 3130A9EP2 1.03 FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 177,511.68 179,546.70 330.00 179,517.60 10/25/1610/21/16AaaAA+ 180,000.00 3135G0R39 1.09 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 139,441.96 139,969.08 235.28 139,967.80 11/17/1611/16/16AaaAA+ 140,000.00 3130AA3R7 1.38 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 120,657.50 124,308.08 652.34 124,239.88 07/15/1607/14/16AaaAA+ 125,000.00 3130A8QS5 1.25 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 24,161.75 24,920.57 114.58 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 77,317.60 79,699.07 366.67 79,676.00 08/19/1608/17/16AaaAA+ 80,000.00 3135G0N82 1.33 4,932.48 1,866,810.72 1,882,564.76 1.15 1,881,364.61 1,885,000.00 Security Type Sub-Total Corporate Note US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 250,356.25 250,000.00 527.08 255,340.00 07/30/1207/25/12A1A+ 250,000.00 91159HHD5 1.19 30 For the Month Ending December 31, 2016Managed 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 99,882.10 99,896.36 496.53 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 74,819.10 74,994.73 323.44 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 54,793.75 54,944.59 88.61 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 80,244.96 80,000.00 26.72 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 50,658.90 50,234.14 354.17 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 50,658.90 50,294.83 354.17 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 49,801.40 49,975.11 183.33 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 24,905.63 24,989.37 34.17 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 100,973.70 99,898.70 850.00 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 26,885.85 27,164.46 293.75 27,597.50 06/08/1606/03/16A3A 25,000.00 12189TBC7 1.48 JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 100,904.40 100,365.51 61.11 100,497.00 09/04/1509/01/15A3A- 100,000.00 46625HLW8 2.64 WELLS FARGO & COMPANY NOTES DTD 12/07/2015 2.550% 12/07/2020 50,057.15 50,959.02 85.00 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 50,055.60 51,010.95 263.89 51,149.00 05/19/1605/16/16A1A 50,000.00 06406FAA1 2.00 31 For the Month Ending December 31, 2016Managed 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 BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 24,536.23 24,985.52 72.60 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 24,498.03 24,916.46 56.88 24,905.50 05/24/1605/19/16A1A 25,000.00 857477AV5 2.03 4,071.45 1,114,031.95 1,114,629.75 1.72 1,120,612.30 1,110,000.00 Security Type Sub-Total Certificate of Deposit SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 99,830.50 100,000.00 189.11 100,000.00 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 100,015.50 100,000.00 1,753.89 100,000.00 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 100,113.50 100,000.00 528.89 100,000.00 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 100,807.00 100,000.00 132.00 100,000.00 12/05/1612/01/16Aa3AA- 100,000.00 65558LWA6 1.74 2,603.89 400,766.50 400,000.00 1.61 400,000.00 400,000.00 Security Type Sub-Total 5,245,000.00 5,283,129.72 1.38 18,640.35 5,274,984.91 5,238,707.72 Managed Account Sub-Total Money Market Fund CAMP Pool 19,594.11 19,594.11 0.00 19,594.11 NRAAAm 19,594.11 19,594.11 19,594.11 0.00 19,594.11 19,594.11 Money Market Sub-Total $5,264,594.11 $5,302,723.83 $18,640.35 $5,294,579.02 $5,258,301.83 1.38% $5,276,942.18 $18,640.35 Total Investments Accrued Interest Securities Sub-Total 32 For the Month Ending December 31, 2016Managed 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 24,964.85 24,977.63 39.92 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 44,458.61 44,432.39 39.56 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 124,003.88 123,844.29 530.90 123,437.50 11/09/1511/05/15AaaAA+ 125,000.00 912828UQ1 1.55 US TREASURY NOTES DTD 02/28/2013 1.250% 02/29/2020 148,804.65 149,694.47 637.09 149,578.13 10/09/1510/08/15AaaAA+ 150,000.00 912828UQ1 1.32 US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 75,969.75 76,097.67 627.72 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 177,830.10 177,396.39 1,263.55 178,028.32 12/30/1512/28/15AaaAA+ 175,000.00 912828VV9 1.74 US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 100,199.20 101,505.43 299.72 101,851.56 02/03/1602/01/16AaaAA+ 100,000.00 912828WC0 1.35 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 75,776.40 76,777.76 131.87 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 128,051.75 130,310.40 8.20 131,279.30 03/31/1603/30/16AaaAA+ 125,000.00 912828A83 1.28 US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 124,961.00 126,963.05 6.04 127,241.21 05/31/1605/27/16AaaAA+ 125,000.00 912828N48 1.35 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 100,796.90 104,388.49 679.56 104,890.63 07/08/1607/06/16AaaAA+ 100,000.00 912828B90 0.92 US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 53,730.27 55,627.00 175.65 55,700.39 06/29/1606/27/16AaaAA+ 55,000.00 912828Q37 0.98 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 226,379.93 232,537.74 395.60 233,085.94 09/02/1609/01/16AaaAA+ 225,000.00 912828WN6 1.22 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 75,298.80 77,679.80 509.67 77,815.43 10/05/1610/03/16AaaAA+ 75,000.00 912828D72 1.21 33 For the Month Ending December 31, 2016Managed 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 150,597.60 150,439.14 1,019.34 150,445.31 12/05/1612/01/16AaaAA+ 150,000.00 912828D72 1.93 6,364.39 1,631,823.69 1,652,671.65 1.39 1,655,896.49 1,625,000.00 Security Type Sub-Total Municipal Bond / Note CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 30,081.30 30,047.53 174.37 30,084.30 03/25/1503/16/15Aa3AA- 30,000.00 20772JZK1 1.90 174.37 30,081.30 30,047.53 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 25,014.34 25,084.92 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 25,089.01 25,146.46 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 44,945.91 45,294.29 61.73 45,450.63 10/30/1510/07/15AaaAA+ 45,000.00 3136AQDQ0 1.08 133.56 95,049.26 95,525.67 1.05 95,950.54 95,000.00 Security Type Sub-Total Federal Agency Bond / Note FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 99,720.20 99,567.88 97.22 98,485.00 05/31/1305/24/13AaaAA+ 100,000.00 3135G0WJ8 1.19 FANNIE MAE GLOBAL NOTES DTD 04/15/2013 0.875% 05/21/2018 124,650.25 124,700.60 121.53 123,943.75 05/24/1305/22/13AaaAA+ 125,000.00 3135G0WJ8 1.05 FEDERAL HOME LOAN BANKS AGCY DTD 05/27/2016 0.875% 06/29/2018 49,826.15 50,008.89 2.43 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 99,205.20 99,696.66 250.00 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 105,791.49 105,471.40 161.15 105,997.50 10/23/1410/22/14AaaAA+ 105,000.00 3135G0YT4 1.39 34 For the Month Ending December 31, 2016Managed 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 99,965.10 99,996.00 79.86 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 49,689.15 50,107.02 173.61 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 124,222.88 124,787.93 434.03 124,705.00 02/23/1602/19/16AaaAA+ 125,000.00 3135G0J53 1.08 FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 123,263.63 124,818.64 452.69 124,790.00 08/02/1607/29/16AaaAA+ 125,000.00 3135G0N33 0.93 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 123,230.88 124,792.26 446.61 124,760.00 08/04/1608/03/16AaaAA+ 125,000.00 3130A8Y72 0.94 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 123,611.38 124,826.26 413.19 124,805.00 09/02/1608/31/16AaaAA+ 125,000.00 3135G0P49 1.05 FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 123,510.50 124,902.09 329.86 124,891.25 09/09/1609/08/16AaaAA+ 125,000.00 3130A9EP2 1.03 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 104,581.47 104,976.81 176.46 104,975.85 11/17/1611/16/16AaaAA+ 105,000.00 3130AA3R7 1.38 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 120,657.50 124,308.08 652.34 124,239.88 07/15/1607/14/16AaaAA+ 125,000.00 3130A8QS5 1.25 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 24,161.75 24,920.57 114.58 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 77,317.60 79,699.07 366.67 79,676.00 08/19/1608/17/16AaaAA+ 80,000.00 3135G0N82 1.33 4,272.23 1,573,405.13 1,587,580.16 1.11 1,585,941.29 1,590,000.00 Security Type Sub-Total Corporate Note US BANCORP (CALLABLE) DTD 05/08/2012 1.650% 05/15/2017 125,178.13 125,168.10 263.54 127,670.00 07/30/1207/25/12A1A+ 125,000.00 91159HHD5 1.19 35 For the Month Ending December 31, 2016Managed 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 74,830.50 75,071.18 59.80 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 99,774.00 100,000.00 79.73 100,000.00 12/05/1211/28/12Aa2AA- 100,000.00 166764AA8 1.10 IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 99,882.10 99,896.36 496.53 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 99,758.80 99,992.98 431.25 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 54,793.75 54,944.59 88.61 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 80,244.96 80,000.00 26.72 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 50,658.90 50,234.14 354.17 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 50,658.90 50,294.83 354.17 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 49,801.40 49,975.11 183.33 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 24,905.63 24,989.37 34.17 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 100,973.70 99,898.70 850.00 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 26,885.85 27,164.46 293.75 27,597.50 06/08/1606/03/16A3A 25,000.00 12189TBC7 1.48 WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 174,173.13 175,769.99 1,578.16 176,223.25 02/05/1502/02/15A2A 175,000.00 94974BGF1 2.00 36 For the Month Ending December 31, 2016Managed 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 JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 100,904.40 100,365.51 61.11 100,497.00 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 50,055.60 51,010.95 263.89 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 24,536.23 24,985.52 72.60 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 24,498.03 24,916.46 56.88 24,905.50 05/24/1605/19/16A1A 25,000.00 857477AV5 2.03 5,548.41 1,312,514.01 1,314,678.25 1.70 1,318,456.05 1,310,000.00 Security Type Sub-Total Certificate of Deposit SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 99,830.50 100,000.00 189.11 100,000.00 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 100,015.50 100,000.00 1,753.89 100,000.00 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 100,113.50 100,000.00 528.89 100,000.00 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 100,807.00 100,000.00 132.00 100,000.00 12/05/1612/01/16Aa3AA- 100,000.00 65558LWA6 1.74 2,603.89 400,766.50 400,000.00 1.61 400,000.00 400,000.00 Security Type Sub-Total 5,050,000.00 5,086,328.67 1.40 19,096.85 5,080,503.26 5,043,639.89 Managed Account Sub-Total Money Market Fund CAMP Pool 10,605.77 10,605.77 0.00 10,605.77 NRAAAm 10,605.77 10,605.77 10,605.77 0.00 10,605.77 10,605.77 Money Market Sub-Total 37 For the Month Ending December 31, 2016Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS $5,060,605.77 $5,096,934.44 $19,096.85 $5,091,109.03 $5,054,245.66 1.40% $5,073,342.51 $19,096.85 Total Investments Accrued Interest Securities Sub-Total 38 CITY OF LAKE ELSINORE For the Quarter Ended December 31, 2016 Appendix Important Disclosures This material is based on information obtained from sources generally believed to be reliable and available to the public, however PFM Asset Management LLC cannot guarantee its accuracy, completeness or suitability. This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation. All statements as to what will or may happen under certain circumstances are based on assumptions, some but not all of which are noted in the presentation. Assumptions may or may not be proven correct as actual events occur, and results may depend on events outside of your or our control. Changes in assumptions may have a material effect on results. Past performance does not necessarily reflect and is not a guaranty of future results. The information contained in this presentation is not an offer to purchase or sell any securities. Dime ■Market values which include accrued interest, are derived from closing bid prices as of the last business day of the month as supplied by Interactive Data, Bloomberg or Telerate. Where prices are not available from generally recognized sources the securities are priced using a yield based matrix system to arrive at an estimated market value. ■In accordance with generally accepted accounting principles, information is presented on a trade date basis; forward settling purchases are included in the monthly balances and forward settling sales are excluded. ■Performance is presented in accordance with the CFA Institute’s Global Investment Performance Standards (GIPS). Unless otherwise noted, performance is shown gross of fees. Quarterly returns are presented on an unannualized basis. Returns for periods greater than one year are presented on an annualized basis. Past performance is not indicative of future returns. ■Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets. ■Money market fund/cash balances are included in performance and duration computations. ■Standard & Poor's is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/LGIP holdings. ■Callable securities in portfolio are included in the maturity distribution analysis to their stated maturity date, although they may be called prior to maturity. ■MBS maturities are represented by expected average life. 2016 PFM Asset Management LLC 39 CITY OF LAKE ELSINORE For the Quarter Ended December 31, 2016 Appendix Glossary ■ACCRUED INTEREST: Interest that is due on a bond or other fixed income security since the last interest payment was made. ■AGENCIES: Federal agency securities and/or Government-sponsored enterprises. ■AMORTIZED COST: The original cost of the principal of the security is adjusted for the amount of the periodic reduction of any discount or premium from the purchase date until the date of the report. Discount or premium with respect to short term securities (those with less than one year to maturity at time of issuance) is amortized on a straight line basis. Such discount or premium with respect to longer term securities is amortized using the constant yield basis. ■BANKERS’ ACCEPTANCE: A draft or bill or exchange accepted by a bank or trust company. The accepting institution guarantees payment of the bill, as well as the insurer. ■COMMERCIAL PAPER: An unsecured obligation issued by a corporation or bank to finance its short-term credit needs, such as accounts receivable and inventory. ■CONTRIBUTION TO DURATION: Represents each sector or maturity range’s relative contribution to the overall duration of the portfolio measured as a percentage weighting. Since duration is a key measure of interest rate sensitivity, the contribution to duration measures the relative amount or contribution of that sector or maturity range to the total rate sensitivity of the portfolio. ■DURATION TO WORST: A measure of the sensitivity of a security’s price to a change in interest rates, stated in years, computed from cash flows to the maturity date or to the put date, whichever results in the highest yield to the investor. ■EFFECTIVE DURATION: A measure of the sensitivity of a security’s price to a change in interest rates, stated in years. ■EFFECTIVE YIELD: The total yield an investor receives in relation to the nominal yield or coupon of a bond. Effective yield takes into account the power of compounding on investment returns, while nominal yield does not. ■FDIC: Federal Deposit Insurance Corporation. A federal agency that insures bank deposits to a specified amount. ■INTEREST RATE: Interest per year divided by principal amount, expressed as a percentage. ■MARKET VALUE: The value that would be received or paid for an investment in an orderly transaction between market participants at the measurement date. ■MATURITY: The date upon which the principal or stated value of an investment becomes due and payable. ■NEGOTIABLE CERTIFICATES OF DEPOSIT: A CD with a very large denomination, usually $1 million or more that can be traded in secondary markets. ■PAR VALUE: The nominal dollar face amount of a security. 2016 PFM Asset Management LLC 40 CITY OF LAKE ELSINORE For the Quarter Ended December 31, 2016 Appendix Glossary ■PASS THROUGH SECURITY: A security representing pooled debt obligations that passes income from debtors to its shareholders. The most common type is the mortgage-backed security. ■REPURCHASE AGREEMENTS: A holder of securities sells these securities to an investor with an agreement to repurchase them at a fixed price on a fixed date. ■SETTLE DATE: The date on which the transaction is settled and monies/securities are exchanged. If the settle date of the transaction occurs on a non-business day (i.e. coupon payments and maturity proceeds), the funds are exchanged on the next business day. ■TRADE DATE: The date on which the transaction occurred however the final consummation of the security transaction and payment has not yet taken place. ■UNSETTLED TRADE: A trade which has been executed however the final consummation of the security transaction and payment has not yet taken place. ■U.S. TREASURY: The department of the U.S. government that issues Treasury securities. ■YIELD: The rate of return based on the current market value, the annual interest receipts, maturity value and the time period remaining until maturity, stated as a percentage, on an annualized basis. ■YTM AT COST: The yield to maturity at cost is the expected rate of return, based on the original cost, the annual interest receipts, maturity value and the time period from purchase date to maturity, stated as a percentage, on an annualized basis. ■YTM AT MARKET: The yield to maturity at market is the rate of return, based on the current market value, the annual interest receipts, maturity value and the time period remaining until maturity, stated as a percentage, on an annualized basis. 2016 PFM Asset Management LLC 41