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Item No. 02 Investment Report for May 2017
Text File City of Lake Elsinore 130 South Main Street Lake Elsinore, CA 92530 www.lake-elsinore.org File Number: ID# 17-239 Agenda Date: 6/27/2017 Status: Consent AgendaVersion: 1 File Type: InvestmentsIn Control: City Council Agenda Number: 2) Page 1 City of Lake Elsinore Printed on 6/22/2017 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:June 20, 2017 Subject:Investment Report for May 2017 Recommendation Receive and file the Investment Report for May 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. Fiscal Impact No fiscal impact. Exhibits A: Investment Report for May 2017 CITY OF LAKE ELSINORE INVESTMENT REPORT BANK DEPOSITS OUTSTANDING BOOK CASH ACCOUNTS BALANCE IN TRANSIT CHECKS BALANCE Bank Accounts: General Checking Account 2,938,996$ 371,547$ (920,497)$ 2,390,046$ Cash On Hand: Cashier Drawers #1 & #2 - - - 300 City of Lake Elsinore Petty Cash Fund - - - 1,000 Total Cash Accounts 2,938,996 371,547 (920,497) 2,391,346 INVESTMENTS City Investments: City Local Agency Investment Fund 32,574,656 - - 32,574,656 City Local Agency Investment Fund for the PFA - - - - City CAMP Investments: CAMP Pool Account 202,312 - - 202,312 U.S. Treasury Bond / Note 9,874,253 - - 9,874,253 Municipal Bond / Note 290,464 - - 290,464 Federal Agency Collateralized Mortgage Obligation 505,060 - - 505,060 Federal Agency Bond / Note 6,931,088 - - 6,931,088 Corporate Note 7,248,465 - - 7,248,465 Commercial Paper 621,031 - - 621,031 Certificate of Deposit 4,649,552 - - 4,649,552 Housing CAMP Investments: Housing CAMP Pool Account 143,009 - - 143,009 Housing U.S. Treasury Bond / Notes 1,714,228 - - 1,714,228 Housing Municipal Bond / Notes 30,084 - - 30,084 Housing Federal Agency Collateralized Mortgage 91,598 - - 91,598 Housing Federal Agency Bond / Notes 1,127,682 - - 1,127,682 Housing Corporate Notes 1,345,687 - - 1,345,687 Housing Certificate of Deposit 700,000 - - 700,000 Successor Investments: Successor Local Agency Investment Fund 8,419,110 - - 8,419,110 Successor CAMP Investments: Successor CAMP Pool Account 190,311 - - 190,311 Successor U.S. Treasury Bond / Notes 1,772,046 - - 1,772,046 Successor Municipal Bond / notes 30,084 - - 30,084 Successor Federal Agency Collaterized Mortgage 91,598 - - 91,598 Successor Federal Agency Bond / Notes 1,402,407 - - 1,402,407 Successor Corporate Notes 1,169,912 - - 1,169,912 Successor Certificate of Deposit 700,000 - - 700,000 Sub-total Investments 81,824,636 - - 81,824,636 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 82,337,038 - - 82,337,038 Total Pooled Cash and Investments 85,276,034$ 371,547$ (920,497)$ 84,728,384$ TOTAL POOLED CASH AND INVESTMENTS 84,728,384$ 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 June 12, 2017 Assistant City Manager 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 MAY 31, 2017 FUND NO FUND NAME AMOUNT 100 General 14,465,192$ 101 Supplemental Law Enforcement 25,000 104 Traffic Offender 10,250 106 Affordable Housing In Lieu 1,268,099 107 Developer Agreement Revenue 791,477 110 State Gas Tax 1,434,112 112 Measure A 1,204,045 114 SB1186 CASP Education Program 7,281 115 Traffic Safety 134,066 116 City Hall-Public Works DIF 1,282,656 117 Community Center DIF 460,886 118 Lake Side Facility DIF 707,600 119 Animal Shelter DIF 57,960 121 T.R.I.P.-2014A 151 130 Lighting & Landscape Maintenance Fund - City-wide 201,662 135 Lighting & Landscape Maintenance - Dist. No. 1 732,940 140 Geothermal 20,205 155 CSA152 -- N.P.D.E.S.69,804 205 Traffic Impact Fee 4,014,382 211 Storm Drain C.I.P. 1,098,100 220 Street Lighting C.I.P.33,000 231 Library C.I.P. 1,752,854 232 City Fire Protection 185,055 254 Railroad Canyon Improvement Area 89-1 126,253 300 Insurance Service 937,373 315 Fleet Service 211,988 320 Facilities Service 535,703 331 CFD 2006-1CC Summerly Improvement Area CC 70,258 332 CFD 2006-1 Improvement Area B, Summerly 109,254 334 CFD 2015-5 Trieste - Far West Industries 5,846 336 CFD 2006-1FF Summerly Improvement Area FF 47,037 337 CFD 2016-2 Canyon Hills 9,415 345 CFD 2003-2S Improvement Area D, Canyon Hills 1,137,165 346 CFD 2014-1 Southshore 64,044 347 CFD 2006-1 Improvement Area A, Summerly 136,434 350 CFD 98-1 Summerhill 1,442,608 352 AD 86-1 Northwest Sewer 659,115 354 CFD 90-2 Tuscany Hills 1,723,207 357 CFD 2003-2 Canyon Hills Improvement Area 647,914 366 CFD 2005-6 City Center Townhomes Debt Service 183,142 368 CFD 2006-2 Viscaya 330,920 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 MAY 31, 2017 FUND NO FUND NAME AMOUNT C I T Y O F L A K E E L S I N O R E POOLED CASH AND INVESTMENTS BY FUND AS OF MAY 31, 2017 369 CFD 2004-3 Area 1 Rosetta Canyon Improvement Area 1,029,589 371 CFD 2005-1 Serenity 475,015 372 CFD 2005-2 Alberhill Ranch Improvement Area 902,111 374 CFD 2005-4 Lakeview Villas 53,361 375 CFD 2006-4 Clurman Debt Service 17,358 376 CFD 2006-3 La Strada 12,055 377 CFD 2006-6 Tessara 10,773 378 CFD 2006-8 Running Deer Estates 48,014 384 CFD 2003-2 Area B Canyon Hills Improvement Area 1,115,216 385 CFD 2004-3 Area 2 Rosetta Canyon Improvement Area 1,179,018 386 CFD 2007-4 Mekenna Court 39,769 387 CFD 2007-5 Red Kite 71,016 388 CFD 2007-6 Holiday Inn Express 9,525 389 CFD 88-3 (2008A) West Lake Elsinore Series A 1,943,869 390 CFD 2003-2 Area C Canyon Hills Improvement Area 461,037 392 CFD 95-1 City Center 151,211 393 AD 93-1 Cottonwood Hills 1,119,425 394 CFD 2005-5 (2012A) Wasson Canyon 260,955 500 Capital Improvement Plan 8,896,791 510 Successor Agency RDA Area I 1,299,330 520 Successor Agency RDA Area II 2,844,398 530 Successor Agency RDA Area III 1,393,218 540 Successor Area RDA Diamond Stadium 2,637,780 604 Endowment Trust - Korn Memorial 31,660 605 Public Improvement Trust 715,176 606 Mobile Source Air Polution Reduction 298,780 608 Trust Deposit & Pre Paid Expense 5,360,055 617 Successor Agency Housing 11,335,220 620 Cost Recovery System 2,490,444 631 Lake Destratification Equipment Replacement 191,762 Total Pooled Cash & Investments 84,728,384$ DIVERSIFICATION MAXIMUM TYPES OF SECURITIES PERCENTAGE PERCENTAGE U.S. Treasury Bills 0.00%Unlimited U.S. Treasury Bond / Note 16.33%Unlimited Current Balance 13,360,527$ Municipal Bond / Note 0.43%Unlimited Current Balance 350,632$ Federal Agency Collaterized Mortgage Obligation 0.84%40.00% Current Balance 688,256$ Federal Agency Bond / Note 11.56%*Unlimited Current Balance 9,461,177$ Banker's Acceptance 0.00%40.00% Certificates of Deposit 7.39%25.00% Current Balance 6,049,552$ Negotiable Certificates of Deposit 0.00%30.00% Commercial Paper 0.76%25.00% 621,031$ Corporate Note 11.93%30.00% Current Balance 9,764,063$ Repurchase Agreements 0.00%Unlimited Reverse Repurchase Agreements 0.00%20.00% LAIF (Local Agency Investment Fund)50.10%*$65 Million Current Balance 40,993,766$ CAMP - Pooled Sweep Account 0.65%Unlimited Current Balance 535,632$ TOTAL 100.00%*81,824,636$ 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 $65 million in each agency. *Totals include the City, Housing, and Successor Agency CAMP Portfolios. FOR THE MONTH ENDING MAY 31, 2017 SUMMARY OF POLICY LIMITATIONS C I T Y O F L A K E E L S I N O R E Local Agency Investment Fund Yield Purchase Date Maturity Rate 0.925%Daily 24-Hour Agency Beginning Balance Net Increase/(Decrease)Ending Balance City 18,574,656$ 14,000,000$ 32,574,656$ City for the PFA -$ -$ -$ Successor Agency 8,419,110$ -$ 8,419,110$ Total Investments Held with Local Agency Investment Fund:26,993,766$ 14,000,000$ 40,993,766$ 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 MAY 31, 2017 JOHN CHIANG TREASURER STATE OF CALIFORNIA 05/08/17 0.92 0.89 195 05/09/17 0.92 0.89 196 05/10/17 0.92 0.89 195 05/11/17 0.92 0.89 194 05/12/17 0.92 0.89 193 05/13/17 0.92 0.89 193 05/14/17 0.92 0.90 193 05/15/17 0.92 0.90 190 05/16/17 0.92 0.90 190 05/17/17 0.92 0.90 191 05/18/17 0.93 0.90 190 05/19/17 0.93 0.90 191 05/20/17 0.93 0.90 191 May 2017 0.925% 05/21/17 0.93 0.90 191 Apr 2017 0.884% 05/22/17 0.93 0.90 188 Mar 2017 0.821% 05/23/17 0.93 0.90 187 05/24/17 0.93 0.90 184 05/25/17 0.93 0.90 183 05/26/17 0.94 0.90 190 05/27/17 0.94 0.90 190 05/28/17 0.94 0.90 190 05/29/17 0.94 0.90 190 05/30/17 0.94 0.90 187 05/31/17 0.94 0.91 186 06/01/17 0.95 0.91 190 06/02/17 0.95 0.91 191 06/03/17 0.95 0.91 191 06/04/17 0.95 0.91 191 06/05/17 0.95 0.91 191 06/06/17 0.95 0.91 191 06/07/17 0.95 0.91 188 6/7/2017 0.00002126194403179 0.999175951 Earnings Ratio: Fair Value Factor: Daily:0.85% PMIA Performance Report LAIF Performance Report Date Daily Yield* Quarter to Date Yield Average Maturity (in days)Apportionment Rate:0.78% Quarter Ending 03/31/17 Based on data available as of Quarter to Date: Average Life: View Prior Month Daily Rates PMIA Average Monthly Effective Yields 0.78% *Daily yield does not reflect capital gains or losses 180 Treasuries 44.14% Mortgages 0.06% Agencies 14.69% Certificates of Deposit/Bank Notes 18.77% Time Deposits 7.21% Commercial Paper 11.22% Loans 3.91% Pooled Money Investment Account Portfolio Composition 04/30/17 $76.5 billion City Funds CAMP Account For the Month Ending May 31, 2017Account Statement - Transaction Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Opening Market Value Purchases Redemptions Change in Value Closing Market Value 123,528.03 280,902.17 (202,118.61) 0.00 $202,311.59 CAMP Pool Unsettled Trades 0.00 126.33 Cash Dividends and Income Opening Market Value Purchases Redemptions Change in Value Closing Market Value 29,914,783.63 199,622.00 (219,327.17) 39,036.65 $30,034,494.91 CAMP Managed Account Unsettled Trades 100,379.80 45,178.24 Cash Dividends and Income May 31, 2017 April 30, 2017 Asset Summary CAMP Pool 202,311.59 123,528.03 CAMP Managed Account 30,034,494.91 29,914,783.63 $30,236,806.50 $30,038,311.66 Total Asset Allocation 0.67% CAMP Pool 99.33% CAMP Managed Account Page 1 For the Month Ending May 31, 2017Managed Account Summary Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dividend Closing Market Value Redemptions Purchases Opening Market Value Closing Market Value Change in Current Value Unsettled Trades Principal Acquisitions Principal Dispositions Maturities/Calls Opening Market Value Closing Market Value Opening Market Value Account Total Total Cash Basis Earnings Plus Net Realized Gains/Losses Less Purchased Interest Related to Interest/Coupons Interest/Dividends/Coupons Received Earnings Reconciliation (Cash Basis) - Managed Account Dividends Less Beginning Accrued Interest Less Beginning Amortized Value of Securities Less Cost of New Purchases Plus Coupons/Dividends Received Plus Proceeds of Maturities/Calls/Principal Payments Plus Proceeds from Sales Ending Accrued Interest Ending Amortized Value of Securities Earnings Reconciliation (Accrual Basis) Reconciling Transactions Net Cash Contribution Security Purchases Principal Payments Coupon/Interest/Dividend Income Sale Proceeds Maturities/Calls Cash Transactions Summary- Managed Account $123,528.03 280,902.17 (202,118.61) $202,311.59 126.33 $29,914,783.63 (18,741.23) (200,585.94) 199,622.00 100,379.80 39,036.65 $30,034,494.91 $30,038,311.66 $30,236,806.50 46,967.42 0.00 (1,789.18) $45,178.24 0.00 201,929.35 45,624.01 18,741.23 (199,622.00) (66,672.59) 0.00 Managed Account Total 30,064,420.65 30,266,732.24 127,249.33 251,469.38 18,741.23 45,624.01 (349,535.00) (29,987,837.86) (131,477.08) 0.00 127,249.33 453,587.99 18,741.23 45,624.01 (630,437.17) (30,111,365.89) (131,477.08) 126.33 Total Accrual Basis Earnings $38,654.66 $38,780.99 Transaction Summary - Managed AccountTransaction Summary - Money Market _______________________________________________ _______________________________________________ _____________________________________________________ Cash Balance $0.00 Closing Cash Balance Page 2 For the Month Ending May 31, 2017Portfolio Summary and Statistics CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Account Summary Percent Par Value Market ValueDescription U.S. Treasury Bond / Note 9,740,000.00 9,821,213.60 32.49 Municipal Bond / Note 290,000.00 291,089.45 0.96 Federal Agency Collateralized Mortgage Obligation 500,056.60 500,357.00 1.65 Federal Agency Bond / Note 6,945,000.00 6,882,468.90 22.76 Corporate Note 7,180,000.00 7,253,883.32 23.99 Commercial Paper 625,000.00 623,740.00 2.06 Certificate of Deposit 4,650,000.00 4,661,742.64 15.42 Managed Account Sub-Total 29,930,056.60 30,034,494.91 99.33% Accrued Interest 127,249.33 Total Portfolio 29,930,056.60 30,161,744.24 CAMP Pool 202,311.59 202,311.59 0.67 Total Investments 30,132,368.19 30,364,055.83 100.00% Unsettled Trades 150,000.00 150,137.55 Sector Allocation 15.42% Cert of Deposit 2.06% Commercial Paper 23.99% Corporate Note 1.65% Fed Agency CMO 22.76% Fed Agy Bond / Note 0.67% Mny Mkt Fund 0.96% Muni Bond / Note 32.49% 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 6.54%7.00% 19.16% 27.45% 20.46%19.39% 0.00% Maturity Distribution Characteristics Yield to Maturity at Cost Yield to Maturity at Market Duration to Worst Weighted Average Days to Maturity 2.52 956 1.58% 1.56% Page 3 For the Month Ending May 31, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Credit Quality (S&P Ratings) 4.70% A 11.42% A+ 3.69% A- 2.06% A-1 1.90% A-1+ 1.74% AA 57.93% AA+ 12.55% AA- 1.00% AAA 0.67% AAAm 2.34% BBB+ Issuer Summary Percentof HoldingsIssuer Market Value 381,465.26 1.26 AMERICAN EXPRESS CO 580,196.85 1.92 AMERICAN HONDA FINANCE 309,057.29 1.02 APPLE INC 604,438.20 2.00 BANK OF MONTREAL 575,382.38 1.90 BANK OF NOVA SCOTIA 149,722.20 0.50 BB&T CORPORATION 400,616.40 1.32 BERKSHIRE HATHAWAY INC 160,250.40 0.53 BURLINGTON NORTHERN SANTA FE 202,311.59 0.67 CAMP Pool 578,280.95 1.91 CANADIAN IMPERIAL BANK OF COMMERCE 766,010.03 2.53 CHEVRON CORPORATION 575,544.96 1.90 CISCO SYSTEMS INC 407,233.38 1.35 CITIGROUP INC 623,740.00 2.06 CREDIT AGRICOLE SA 280,546.20 0.93 DEERE & COMPANY 3,472,325.85 11.48 FANNIE MAE 2,364,377.73 7.82 FEDERAL HOME LOAN BANKS 1,546,122.32 5.11 FREDDIE MAC 274,007.50 0.91 GENERAL ELECTRIC CO 300,280.50 0.99 GOLDMAN SACHS GROUP INC 150,137.55 0.50 HOME DEPOT INC 575,452.53 1.90 HSBC HOLDINGS PLC 249,878.25 0.83 IBM CORP 585,087.80 1.94 JP MORGAN CHASE & CO 301,473.60 1.00 MICROSOFT CORP 578,280.95 1.91 NORDEA BANK AB 576,044.20 1.91 ROYAL BANK OF CANADA 574,824.63 1.90 SKANDINAVISKA ENSKILDA BANKEN AB 165,425.70 0.55 STATE OF CONNECTICUT 74,335.50 0.25 STATE STREET CORPORATION 599,038.80 1.98 SVENSKA HANDELSBANKEN AB 303,684.60 1.00 THE BANK OF NEW YORK MELLON CORPORATION Page 4 For the Month Ending May 31, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Percentof HoldingsIssuer Market Value 125,694.25 0.42 THE WALT DISNEY CORPORATION 427,026.40 1.41 TOYOTA MOTOR CORP 9,821,213.60 32.48 UNITED STATES TREASURY 125,663.75 0.42 UNIVERSITY OF CALIFORNIA 451,634.40 1.49 WELLS FARGO & COMPANY $30,236,806.50 Total 100.00% Page 5 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par U.S. Treasury Bond / Note US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 372,486.03 373,943.18 522.83 375,058.59 11/14/1611/10/16AaaAA+ 370,000.00 912828D23 1.06 US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 180,773.46 181,550.50 7.38 181,968.75 11/14/1611/10/16AaaAA+ 180,000.00 912828WL0 1.06 US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 257,795.98 257,179.03 7.10 254,982.81 05/29/1505/28/15AaaAA+ 260,000.00 912828UB4 1.44 US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1,070,548.50 1,062,800.93 5,638.76 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 846,267.24 851,304.17 1,278.26 855,553.13 02/03/1602/01/16AaaAA+ 840,000.00 912828WC0 1.35 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 152,285.10 153,187.67 8.20 154,283.20 03/04/1603/02/16AaaAA+ 150,000.00 912828A42 1.38 US TREASURY NOTES DTD 12/31/2013 2.375% 12/31/2020 385,634.63 389,305.65 3,739.64 393,837.89 03/31/1603/30/16AaaAA+ 375,000.00 912828A83 1.28 US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 805,031.20 811,283.06 5,878.45 814,343.75 05/31/1605/27/16AaaAA+ 800,000.00 912828N48 1.35 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 583,714.70 597,771.70 2,906.25 603,121.09 07/08/1607/06/16AaaAA+ 575,000.00 912828B90 0.92 US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 286,137.20 292,989.59 614.07 293,692.97 06/29/1606/27/16AaaAA+ 290,000.00 912828Q37 0.98 US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 247,666.00 245,380.42 298.91 245,009.77 02/03/1702/01/17AaaAA+ 250,000.00 912828Q78 1.87 US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 346,732.40 343,685.17 418.48 343,054.69 01/05/1701/03/17AaaAA+ 350,000.00 912828Q78 1.86 US TREASURY NOTES DTD 05/31/2016 1.375% 05/31/2021 890,859.60 877,742.74 33.81 876,621.09 03/17/1703/15/17AaaAA+ 900,000.00 912828R77 2.02 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 1,217,062.80 1,236,514.34 65.57 1,243,125.00 09/02/1609/01/16AaaAA+ 1,200,000.00 912828WN6 1.22 Page 6 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par U.S. Treasury Bond / Note US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 329,265.63 335,609.78 1,642.66 337,200.20 10/05/1610/03/16AaaAA+ 325,000.00 912828D72 1.21 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 810,500.00 805,979.58 4,043.48 806,187.50 04/05/1704/03/17AaaAA+ 800,000.00 912828D72 1.82 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1,038,453.13 1,027,753.00 5,180.71 1,028,042.97 12/05/1612/01/16AaaAA+ 1,025,000.00 912828D72 1.93 32,284.56 9,821,213.60 9,843,980.51 1.51 9,874,253.32 9,740,000.00 Security Type Sub-Total Municipal Bond / Note UNIV OF CAL TXBL REV BONDS DTD 04/10/2014 1.904% 05/15/2018 125,663.75 125,000.00 105.78 125,000.00 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 165,425.70 165,212.87 687.61 165,463.65 03/25/1503/16/15A1A+ 165,000.00 20772JZK1 1.90 793.39 291,089.45 290,212.87 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 130,102.85 130,426.19 168.16 131,488.89 04/30/1504/15/15AaaAA+ 130,187.48 3136ANJY4 0.83 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 125,170.13 125,533.58 197.74 126,249.99 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 245,084.02 246,164.28 335.88 247,321.22 10/30/1510/07/15AaaAA+ 244,869.12 3136AQDQ0 1.08 701.78 500,357.00 502,124.05 1.05 505,060.10 500,056.60 Security Type Sub-Total Federal Agency Bond / Note FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 124,316.50 124,828.61 329.86 124,705.00 02/23/1602/19/16AaaAA+ 125,000.00 3135G0J53 1.08 FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 373,663.13 376,591.13 539.06 377,257.50 08/15/1608/12/16AaaAA+ 375,000.00 3137EADZ9 0.90 Page 7 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Federal Agency Bond / Note FEDERAL HOME LOAN BANK AGENCY NOTES DTD 05/12/2017 1.375% 05/28/2019 200,119.80 199,631.23 145.14 199,622.00 05/12/1705/11/17AaaAA+ 200,000.00 3130ABF92 1.47 FHLMC REFERENCE NOTE DTD 07/20/2016 0.875% 07/19/2019 425,585.19 429,256.35 1,379.58 428,959.40 07/20/1607/19/16AaaAA+ 430,000.00 3137EAEB1 0.96 FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 717,197.55 724,115.91 2,096.96 723,782.00 08/02/1607/29/16AaaAA+ 725,000.00 3135G0N33 0.93 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 716,648.73 723,986.65 2,044.10 723,608.00 08/04/1608/03/16AaaAA+ 725,000.00 3130A8Y72 0.94 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 594,912.00 599,294.38 1,516.67 599,064.00 09/02/1608/31/16AaaAA+ 600,000.00 3135G0P49 1.05 FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 396,181.20 399,139.86 411.11 398,928.00 10/25/1610/21/16AaaAA+ 400,000.00 3135G0R39 1.09 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 739,023.20 739,859.76 452.22 739,829.80 11/17/1611/16/16AaaAA+ 740,000.00 3130AA3R7 1.38 FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 550,486.20 549,677.43 2,085.42 549,648.00 02/28/1702/24/17AaaAA+ 550,000.00 3135G0T29 1.52 FHLMC AGENCY NOTES DTD 04/20/2017 1.375% 04/20/2020 746,874.00 747,530.57 1,174.48 747,435.00 04/20/1704/19/17AaaAA+ 750,000.00 3137EAEF2 1.49 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 708,586.00 721,346.23 3,103.91 720,591.28 07/15/1607/14/16AaaAA+ 725,000.00 3130A8QS5 1.25 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 137,404.26 139,594.12 505.56 139,521.06 08/19/1608/17/16AaaAA+ 140,000.00 3135G0N82 1.32 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 451,471.14 458,421.14 1,661.11 458,137.00 08/19/1608/17/16AaaAA+ 460,000.00 3135G0N82 1.33 17,445.18 6,882,468.90 6,933,273.37 1.19 6,931,088.04 6,945,000.00 Security Type Sub-Total Corporate Note Page 8 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 149,844.75 150,000.00 809.60 150,000.00 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 174,818.88 175,084.22 944.53 175,946.75 12/05/1211/29/12Aa2AA- 175,000.00 166764AA8 0.99 IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 249,878.25 249,838.39 980.90 248,855.00 02/08/1302/05/13A1A+ 250,000.00 459200HK0 1.35 BERKSHIRE HATHAWAY GLOBAL NOTE DTD 02/11/2013 1.550% 02/09/2018 400,616.40 399,920.72 1,928.89 399,444.00 02/11/1301/29/13Aa2AA 400,000.00 084670BH0 1.58 APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 309,057.29 309,784.41 241.11 308,856.10 05/03/1304/30/13Aa1AA+ 310,000.00 037833AJ9 1.08 CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 441,346.40 440,000.00 3,296.65 440,000.00 06/24/1306/17/13Aa2AA- 440,000.00 166764AE0 1.72 CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 272,626.56 271,025.13 1,434.38 272,565.00 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 302,918.40 301,434.11 1,593.75 302,817.00 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 50,046.75 49,910.98 100.00 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 250,233.75 249,897.52 500.00 249,840.00 04/26/1604/21/16A3BBB+ 250,000.00 38141GVT8 2.02 CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 105,058.38 104,962.82 1,040.38 104,945.40 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 580,196.85 574,507.83 3,809.38 573,936.25 09/09/1409/04/14A1A+ 575,000.00 02665WAH4 2.29 BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 160,250.40 161,052.57 1,175.00 165,585.00 06/08/1606/03/16A3A 150,000.00 12189TBC7 1.48 Page 9 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note GENERAL ELECTRIC CAP CORP NOTES DTD 01/08/2010 5.500% 01/08/2020 274,007.50 271,728.36 5,461.81 289,082.50 03/25/1503/20/15A1AA- 250,000.00 36962G4J0 2.05 CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 302,175.00 299,895.19 2,878.75 299,880.00 01/10/1701/04/17Baa1BBB+ 300,000.00 172967LF6 2.46 WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 75,272.40 75,162.43 541.98 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 376,362.00 376,432.56 2,709.90 377,621.25 02/05/1502/02/15A2A 375,000.00 94974BGF1 2.00 MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 301,473.60 299,819.91 1,772.92 299,799.00 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 181,282.86 179,827.63 968.00 179,812.80 03/03/1702/28/17A2A- 180,000.00 0258M0EE5 2.24 WALT DISNEY COMPANY CORP NOTES DTD 03/06/2017 1.950% 03/04/2020 125,694.25 124,969.98 575.52 124,967.50 03/06/1703/01/17A2A+ 125,000.00 25468PDP8 1.96 TOYOTA MOTOR CORP NOTES DTD 03/12/2015 2.150% 03/12/2020 201,709.60 201,017.32 943.61 201,776.00 03/27/1503/23/15Aa3AA- 200,000.00 89236TCF0 1.96 TOYOTA MOTOR CREDIT CORP DTD 04/17/2017 1.950% 04/17/2020 225,316.80 224,900.62 536.25 224,896.50 04/17/1704/11/17Aa3AA- 225,000.00 89236TDU6 1.97 HOME DEPOT INC CORP NOTES DTD 06/05/2017 1.800% 06/05/2020 150,137.55 149,913.00 0.00 149,913.00 06/05/1705/24/17A2A 150,000.00 437076BQ4 1.82 JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 585,087.80 576,854.35 6,939.93 577,857.75 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 303,684.60 305,565.82 958.33 306,978.00 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 200,182.40 199,627.29 325.00 199,536.00 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 149,722.20 149,921.07 179.38 149,901.00 05/16/1605/10/16A2A- 150,000.00 05531FAV5 2.06 Page 10 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 74,335.50 74,772.25 48.75 74,716.50 05/24/1605/19/16A1A 75,000.00 857477AV5 2.03 JOHN DEERE CAPITAL CORP NOTES DTD 01/06/2017 2.650% 01/06/2022 280,546.20 273,841.07 2,935.24 273,787.25 03/15/1703/10/17A2A 275,000.00 24422ETL3 2.75 45,629.94 7,253,883.32 7,221,667.55 1.97 7,248,464.55 7,180,000.00 Security Type Sub-Total Commercial Paper CREDIT AGRICOLE CIB NY COMM PAPER DTD 02/08/2017 0.000% 08/08/2017 623,740.00 623,500.69 0.00 621,031.25 02/09/1702/09/17P-1A-1 625,000.00 22533TV86 1.28 0.00 623,740.00 623,500.69 1.28 621,031.25 625,000.00 Security Type Sub-Total Certificate of Deposit SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 574,824.63 575,000.00 4,656.86 575,000.00 11/17/1511/16/15Aa3A+ 575,000.00 83050FBG5 1.48 HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 575,452.53 575,000.00 13,799.04 575,000.00 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 576,044.20 575,000.00 2,226.53 575,000.00 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 578,280.95 574,661.61 28.11 574,551.50 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 578,280.95 575,000.00 56.22 575,000.00 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 599,038.80 600,000.00 4,410.00 600,000.00 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 604,438.20 600,000.00 3,509.33 600,000.00 02/09/1702/08/17Aa3A+ 600,000.00 06427KRC3 1.90 BANK OF NOVA SCOTIA HOUSTON LT CD DTD 04/06/2017 1.910% 04/05/2019 575,382.38 575,000.00 1,708.39 575,000.00 04/06/1704/05/17Aa3A+ 575,000.00 06417GUE6 1.91 Page 11 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par 30,394.48 4,661,742.64 4,649,661.61 1.74 4,649,551.50 4,650,000.00 Security Type Sub-Total 29,930,056.60 30,119,912.41 1.58 127,249.33 30,064,420.65 30,034,494.91 Managed Account Sub-Total Money Market Fund CAMP Pool 202,311.59 202,311.59 0.00 202,311.59 NRAAAm 202,311.59 202,311.59 202,311.59 0.00 202,311.59 202,311.59 Money Market Sub-Total $30,132,368.19 $30,322,224.00 $127,249.33 $30,266,732.24 $30,236,806.50 1.58% $30,364,055.83 $127,249.33 Total Investments Accrued Interest Securities Sub-Total Bolded items are forward settling trades. Page 12 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Security Type/Description Next Call Market YTMEffective Duration U.S. Treasury Bond / Note 1.88 (1,457.15)(2,572.56) 372,486.03 100.67 CITIGRP 370,000.00 912828D23US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 1.27 1.88 1.97 (777.04)(1,195.29) 180,773.46 100.43 MORGANST 180,000.00 912828WL0US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 1.28 1.97 2.46 616.95 2,813.17 257,795.98 99.15 CITIGRP 260,000.00 912828UB4US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 1.35 2.46 3.12 7,747.57 2,378.58 1,070,548.50 101.96 MORGANST 1,050,000.00 912828VV9US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1.51 3.12 3.30 (5,036.93)(9,285.89) 846,267.24 100.75 MERRILL 840,000.00 912828WC0US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 1.52 3.30 3.37 (902.57)(1,998.10) 152,285.10 101.52 MERRILL 150,000.00 912828A42US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 1.55 3.37 3.40 (3,671.02)(8,203.26) 385,634.63 102.84 MERRILL 375,000.00 912828A83US TREASURY NOTES DTD 12/31/2013 2.375% 12/31/2020 1.56 3.40 3.44 (6,251.86)(9,312.55) 805,031.20 100.63 MORGANST 800,000.00 912828N48US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 1.57 3.44 3.59 (14,057.00)(19,406.39) 583,714.70 101.52 MORGANST 575,000.00 912828B90US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 1.58 3.59 3.72 (6,852.39)(7,555.77) 286,137.20 98.67 CITIGRP 290,000.00 912828Q37US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 1.61 3.72 3.79 2,285.58 2,656.23 247,666.00 99.07 MERRILL 250,000.00 912828Q78US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 1.62 3.79 3.79 3,047.23 3,677.71 346,732.40 99.07 MORGAN_S 350,000.00 912828Q78US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 1.62 3.79 3.87 13,116.86 14,238.51 890,859.60 98.98 MORGAN_S 900,000.00 912828R77US TREASURY NOTES DTD 05/31/2016 1.375% 05/31/2021 1.64 3.87 3.83 (19,451.54)(26,062.20) 1,217,062.80 101.42 HSBC 1,200,000.00 912828WN6US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 1.63 3.83 4.04 (6,344.15)(7,934.57) 329,265.63 101.31 HSBC 325,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.68 4.04 4.04 4,520.42 4,312.50 810,500.00 101.31 MORGAN_S 800,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.68 4.04 4.04 10,700.13 10,410.16 1,038,453.13 101.31 HSBC 1,025,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.68 4.04 Page 13 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Security Type/Description Next Call Market YTMEffective Duration (53,039.72) 1.58 3.54 (22,766.91) 9,821,213.60 9,740,000.00 Security Type Sub-Total 3.54 Municipal Bond / Note 0.94 663.75 663.75 125,663.75 100.53 GOLDMAN 125,000.00 91412GUV5UNIV OF CAL TXBL REV BONDS DTD 04/10/2014 1.904% 05/15/2018 1.34 0.94 1.74 212.83 (37.95) 165,425.70 100.26 VINING 165,000.00 20772JZK1CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 1.83 1.74 625.80 1.62 1.40 876.58 291,089.45 290,000.00 Security Type Sub-Total 1.40 Federal Agency Collateralized Mortgage Obligation 0.69 (323.34)(1,386.04) 130,102.85 99.94 GOLDMAN 130,187.48 3136ANJY4FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 1.49 0.67 1.39 (363.45)(1,079.86) 125,170.13 100.14 GOLDMAN 125,000.00 3136AQSW1FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 1.71 0.87 2.05 (1,080.26)(2,237.20) 245,084.02 100.09 MORGANST 244,869.12 3136AQDQ0FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 1.55 1.28 (4,703.10) 1.58 1.53 (1,767.05) 500,357.00 500,056.60 Security Type Sub-Total 1.02 Federal Agency Bond / Note 1.71 (512.11)(388.50) 124,316.50 99.45 JPMCHASE 125,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.32 1.71 1.84 (2,928.00)(3,594.37) 373,663.13 99.64 TD SEC U 375,000.00 3137EADZ9FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 1.32 1.84 1.96 488.57 497.80 200,119.80 100.06 MERRILL 200,000.00 3130ABF92FEDERAL HOME LOAN BANK AGENCY NOTES DTD 05/12/2017 1.375% 05/28/2019 1.34 1.96 2.10 (3,671.16)(3,374.21) 425,585.19 98.97 TD SEC U 430,000.00 3137EAEB1FHLMC REFERENCE NOTE DTD 07/20/2016 0.875% 07/19/2019 1.36 2.10 2.13 (6,918.36)(6,584.45) 717,197.55 98.92 GOLDMAN 725,000.00 3135G0N33FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 1.38 2.13 2.14 (7,337.92)(6,959.27) 716,648.73 98.85 WELLSFAR 725,000.00 3130A8Y72FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 1.41 2.14 Page 14 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Security Type/Description Next Call Market YTMEffective Duration Federal Agency Bond / Note 2.21 (4,382.38)(4,152.00) 594,912.00 99.15 GOLDMAN 600,000.00 3135G0P49FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 1.38 2.21 2.36 (2,958.66)(2,746.80) 396,181.20 99.05 BARCLAYS 400,000.00 3135G0R39FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 1.41 2.36 2.40 (836.56)(806.60) 739,023.20 99.87 MERRILL 740,000.00 3130AA3R7FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 1.43 2.40 2.68 808.77 838.20 550,486.20 100.09 JPM_CHAS 550,000.00 3135G0T29FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 1.47 2.68 2.81 (656.57)(561.00) 746,874.00 99.58 WELLS_FA 750,000.00 3137EAEF2FHLMC AGENCY NOTES DTD 04/20/2017 1.375% 04/20/2020 1.52 2.81 3.98 (12,760.23)(12,005.28) 708,586.00 97.74 TD SEC U 725,000.00 3130A8QS5FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 1.70 3.98 4.06 (2,189.86)(2,116.80) 137,404.26 98.15 TD SEC U 140,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.71 4.06 4.06 (6,950.00)(6,665.86) 451,471.14 98.15 CITIGRP 460,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.71 4.06 (48,619.14) 1.47 2.62 (50,804.47) 6,882,468.90 6,945,000.00 Security Type Sub-Total 2.62 Corporate Note 0.51 (155.25)(155.25) 149,844.75 99.90 11/05/17MORGANST 150,000.00 166764AA8CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 1.31 0.48 0.51 (265.34)(1,127.87) 174,818.88 99.90 11/05/17BARCLAYS 175,000.00 166764AA8CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 1.31 0.48 0.68 39.86 1,023.25 249,878.25 99.95 HSBC 250,000.00 459200HK0IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 1.32 0.68 0.68 695.68 1,172.40 400,616.40 100.15 GOLDMAN 400,000.00 084670BH0BERKSHIRE HATHAWAY GLOBAL NOTE DTD 02/11/2013 1.550% 02/09/2018 1.32 0.68 0.91 (727.12) 201.19 309,057.29 99.70 GOLDMAN 310,000.00 037833AJ9APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 1.33 0.91 1.04 1,346.40 1,346.40 441,346.40 100.31 BARCLAYS 440,000.00 166764AE0CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 1.43 1.04 Page 15 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Security Type/Description Next Call Market YTMEffective Duration Corporate Note 1.71 1,601.43 61.56 272,626.56 100.97 BONY 270,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.56 1.71 1.71 1,484.29 101.40 302,918.40 100.97 BNP PARI 300,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.56 1.71 1.77 135.77 185.75 50,046.75 100.09 03/25/19GOLDMAN 50,000.00 38141GVT8GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 1.95 1.81 1.77 336.23 393.75 250,233.75 100.09 03/25/19MIZUHO 250,000.00 38141GVT8GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 1.95 1.81 1.95 95.56 112.98 105,058.38 100.06 CITIGRP 105,000.00 172967KS9CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 2.02 1.95 2.13 5,689.02 6,260.60 580,196.85 100.90 MERRILL 575,000.00 02665WAH4AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 1.83 2.13 2.21 (802.17)(5,334.60) 160,250.40 106.83 GOLDMAN 150,000.00 12189TBC7BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 1.70 2.21 2.40 2,279.14 (15,075.00) 274,007.50 109.60 GOLDMAN 250,000.00 36962G4J0GENERAL ELECTRIC CAP CORP NOTES DTD 01/08/2010 5.500% 01/08/2020 1.71 2.40 2.49 2,279.81 2,295.00 302,175.00 100.73 CITIGRP 300,000.00 172967LF6CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 2.16 2.49 2.56 109.97 (15.60) 75,272.40 100.36 1ST TENN 75,000.00 94974BGF1WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 2.01 2.56 2.56 (70.56)(1,259.25) 376,362.00 100.36 JEFFERIE 375,000.00 94974BGF1WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 2.01 2.56 2.59 1,653.69 1,674.60 301,473.60 100.49 HSBC 300,000.00 594918BV5MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 1.66 2.59 2.65 1,455.23 1,470.06 181,282.86 100.71 MERRILL 180,000.00 0258M0EE5AMERICAN EXPRESS CREDIT CORP NOTES DTD 03/03/2017 2.200% 03/03/2020 1.93 2.65 2.66 724.27 726.75 125,694.25 100.56 CITIGRP 125,000.00 25468PDP8WALT DISNEY COMPANY CORP NOTES DTD 03/06/2017 1.950% 03/04/2020 1.74 2.66 2.68 692.28 (66.40) 201,709.60 100.85 HSBC 200,000.00 89236TCF0TOYOTA MOTOR CORP NOTES DTD 03/12/2015 2.150% 03/12/2020 1.83 2.68 Page 16 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Security Type/Description Next Call Market YTMEffective Duration Corporate Note 2.78 416.18 420.30 225,316.80 100.14 MERRILL 225,000.00 89236TDU6TOYOTA MOTOR CREDIT CORP DTD 04/17/2017 1.950% 04/17/2020 1.90 2.78 2.91 224.55 224.55 150,137.55 100.09 JPM_CHAS 150,000.00 437076BQ4HOME DEPOT INC CORP NOTES DTD 06/05/2017 1.800% 06/05/2020 1.77 2.91 2.82 8,233.45 7,230.05 585,087.80 101.75 05/23/20JPMCHASE 575,000.00 46625HLW8JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 2.15 2.85 3.67 (1,881.22)(3,293.40) 303,684.60 101.23 KEYBAN 300,000.00 06406FAA1BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 2.17 3.67 3.73 555.11 646.40 200,182.40 100.09 KEYBAN 200,000.00 0258M0EB1AMERICAN EXPRESS CREDIT CORP NOTES DTD 05/05/2016 2.250% 05/05/2021 2.23 3.73 3.76 (198.87)(178.80) 149,722.20 99.81 SCOTIA 150,000.00 05531FAV5BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 2.10 3.76 3.79 (436.75)(381.00) 74,335.50 99.11 GOLDMAN 75,000.00 857477AV5STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 2.18 3.79 4.27 6,705.13 6,758.95 280,546.20 102.02 MITSU 275,000.00 24422ETL3JOHN DEERE CAPITAL CORP NOTES DTD 01/06/2017 2.650% 01/06/2022 2.19 4.27 5,418.77 1.79 2.20 32,215.77 7,253,883.32 7,180,000.00 Security Type Sub-Total 2.21 Commercial Paper 0.19 239.31 2,708.75 623,740.00 99.80 CREDAG 625,000.00 22533TV86CREDIT AGRICOLE CIB NY COMM PAPER DTD 02/08/2017 0.000% 08/08/2017 1.05 0.19 2,708.75 1.05 0.19 239.31 623,740.00 625,000.00 Security Type Sub-Total 0.19 Certificate of Deposit 0.46 (175.37)(175.37) 574,824.63 99.97 GOLDMAN 575,000.00 83050FBG5SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 1.51 0.46 0.46 452.53 452.53 575,452.53 100.08 HSBC 575,000.00 40428AR58HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 1.39 0.46 0.77 1,044.20 1,044.20 576,044.20 100.18 RBC CAP 575,000.00 78009NZZ2ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 1.43 0.77 Page 17 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Security Type/Description Next Call Market YTMEffective Duration Certificate of Deposit 1.48 3,619.34 3,729.45 578,280.95 100.57 GOLDMAN 575,000.00 13606A5Z7CANADIAN IMPERIAL BANK NY CD DTD 12/05/2016 1.760% 11/30/2018 1.36 1.48 1.50 3,280.95 3,280.95 578,280.95 100.57 MERRILL 575,000.00 65558LWA6NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 0.79 1.50 1.60 (961.20)(961.20) 599,038.80 99.84 MERRILL 600,000.00 86958JHB8SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 1.53 1.60 1.68 4,438.20 4,438.20 604,438.20 100.74 GOLDMAN 600,000.00 06427KRC3BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/2017 1.880% 02/07/2019 1.09 1.68 1.83 382.38 382.38 575,382.38 100.07 MERRILL 575,000.00 06417GUE6BANK OF NOVA SCOTIA HOUSTON LT CD DTD 04/06/2017 1.910% 04/05/2019 1.71 1.83 12,191.14 1.35 1.23 12,081.03 4,661,742.64 4,650,000.00 Security Type Sub-Total 1.23 29,930,056.60 30,034,494.91 (85,417.50) (29,925.74) 2.52 1.56 Managed Account Sub-Total 2.52 Money Market Fund 0.00 0.00 0.00 202,311.59 1.00 202,311.59 CAMP Pool 0.00 202,311.59 202,311.59 0.00 0.00 0.00 Money Market Sub-Total 0.00 Total Investments $30,364,055.83 $127,249.33 $30,236,806.50 Accrued Interest Securities Sub-Total $30,132,368.19 ($85,417.50) ($29,925.74) 2.52 1.56% 2.52 Bolded items are forward settling trades. Page 18 For the Month Ending May 31, 2017Managed Account Security Transactions & Interest CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method BUY 05/12/17 FEDERAL HOME LOAN BANK AGENCY NOTES DTD 05/12/2017 1.375% 05/28/2019 3130ABF92 (199,622.00) 0.00 (199,622.00) 200,000.00 05/11/17 06/05/17 HOME DEPOT INC CORP NOTES DTD 06/05/2017 1.800% 06/05/2020 437076BQ4 (149,913.00) 0.00 (149,913.00) 150,000.00 05/24/17 0.00 (349,535.00)(349,535.00) 350,000.00 Transaction Type Sub-Total INTEREST 05/25/17 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 3136AQSW1 0.00 197.72 197.72 125,000.00 05/01/17 05/25/17 FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 3136ANJY4 0.00 180.35 180.35 132,885.92 05/01/17 05/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 0.00 501.72 501.72 260,911.89 05/01/17 05/03/17 APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 037833AJ9 0.00 1,550.00 1,550.00 310,000.00 05/03/17 05/05/17 AMERICAN EXPRESS CREDIT CORP NOTES DTD 05/05/2016 2.250% 05/05/2021 0258M0EB1 0.00 2,250.00 2,250.00 200,000.00 05/05/17 05/10/17 BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 05531FAV5 0.00 1,537.50 1,537.50 150,000.00 05/10/17 05/15/17 UNIV OF CAL TXBL REV BONDS DTD 04/10/2014 1.904% 05/15/2018 91412GUV5 0.00 1,190.00 1,190.00 125,000.00 05/15/17 05/15/17 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 3130AA3R7 0.00 5,030.97 5,030.97 740,000.00 05/15/17 05/19/17 STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 857477AV5 0.00 731.25 731.25 75,000.00 05/19/17 05/30/17 CANADIAN IMPERIAL BANK NY CD DTD 12/05/2016 1.760% 11/30/2018 13606A5Z7 0.00 4,919.44 4,919.44 575,000.00 05/30/17 05/30/17 NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 65558LWA6 0.00 4,947.56 4,947.56 575,000.00 05/30/17 Page 19 For the Month Ending May 31, 2017Managed Account Security Transactions & Interest CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method INTEREST 05/31/17 US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 912828WL0 0.00 1,350.00 1,350.00 180,000.00 05/31/17 05/31/17 US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 912828UB4 0.00 1,550.00 1,550.00 310,000.00 05/31/17 05/31/17 US TREASURY NOTES DTD 05/31/2016 1.375% 05/31/2021 912828R77 0.00 6,187.50 6,187.50 900,000.00 05/31/17 05/31/17 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 912828A42 0.00 1,500.00 1,500.00 150,000.00 05/31/17 05/31/17 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 912828WN6 0.00 12,000.00 12,000.00 1,200,000.00 05/31/17 45,624.01 45,624.01 0.00 6,008,797.81 Transaction Type Sub-Total PAYDOWNS 05/25/17 FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 3136ANJY4 2,698.45 0.00 2,698.45 (26.97) 0.00 2,698.45 05/01/17 05/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 16,042.78 0.00 16,042.78 (160.65) 0.00 16,042.78 05/01/17 0.00 0.00 (187.62) 18,741.23 18,741.23 18,741.23 Transaction Type Sub-Total SELL 05/12/17 US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 912828WL0 200,585.94 1,343.41 201,929.35 (1,601.56)(1,183.61)FIFO 200,000.00 05/11/17 06/05/17 US TREASURY NOTES DTD 11/30/2012 1.000% 11/30/2019 912828UB4 49,533.20 6.83 49,540.03 498.04 73.35 FIFO 50,000.00 05/24/17 1,350.24 (1,110.26)(1,103.52) 251,469.38 250,119.14 250,000.00 Transaction Type Sub-Total (80,674.63) 46,974.25 (33,700.38) (1,291.14) (1,110.26)Managed Account Sub-Total Total Security Transactions ($1,291.14)($33,700.38)$46,974.25 ($80,674.63)($1,110.26) Bolded items are forward settling trades. Page 20 For the Month Ending May 31, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate CAMP Pool 123,528.03 Opening Balance 05/01/17 05/01/17 Purchase - Interest 912828D23 1.00 3,006.25 126,534.28 05/01/17 05/01/17 Purchase - Interest 912828Q78 1.00 1,718.75 128,253.03 05/01/17 05/01/17 Purchase - Interest 912828Q78 1.00 2,406.25 130,659.28 05/01/17 05/01/17 Purchase - Interest 912828WC0 1.00 7,350.00 138,009.28 05/03/17 05/03/17 Purchase - Interest 037833AJ9 1.00 1,550.00 139,559.28 05/05/17 05/05/17 Purchase - Interest 0258M0EB1 1.00 2,250.00 141,809.28 05/10/17 05/10/17 Purchase - Interest 05531FAV5 1.00 1,537.50 143,346.78 05/12/17 05/12/17 Purchase - Interest 912828WL0 1.00 1,343.41 144,690.19 05/12/17 05/12/17 Purchase - Principal 912828WL0 1.00 200,585.94 345,276.13 05/12/17 05/12/17 Redemption - Principal 3130ABF92 1.00 (199,622.00) 145,654.13 05/15/17 05/15/17 Purchase - Interest 3130AA3R7 1.00 5,030.97 150,685.10 05/15/17 05/15/17 Purchase - Interest 91412GUV5 1.00 1,190.00 151,875.10 05/19/17 05/19/17 Purchase - Interest 857477AV5 1.00 731.25 152,606.35 05/24/17 05/24/17 IP Fees April 2017 1.00 (2,289.71) 150,316.64 05/24/17 05/24/17 U.S. Bank Fees March 2017 1.00 (206.90) 150,109.74 05/25/17 05/25/17 Purchase - Interest 3136ANJY4 1.00 180.35 150,290.09 05/25/17 05/25/17 Purchase - Interest 3136AQDQ0 1.00 501.72 150,791.81 05/25/17 05/25/17 Purchase - Interest 3136AQSW1 1.00 197.72 150,989.53 05/25/17 05/25/17 Purchase - Principal 3136ANJY4 1.00 2,698.45 153,687.98 05/25/17 05/25/17 Purchase - Principal 3136AQDQ0 1.00 16,042.78 169,730.76 05/30/17 05/30/17 Purchase - Interest 65558LWA6 1.00 4,947.56 174,678.32 Page 21 For the Month Ending May 31, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - CITY FUNDS Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate CAMP Pool 05/30/17 05/30/17 Purchase - Interest 13606A5Z7 1.00 4,919.44 179,597.76 05/31/17 05/31/17 Purchase - Interest 912828A42 1.00 1,500.00 181,097.76 05/31/17 05/31/17 Purchase - Interest 912828R77 1.00 6,187.50 187,285.26 05/31/17 05/31/17 Purchase - Interest 912828UB4 1.00 1,550.00 188,835.26 05/31/17 05/31/17 Purchase - Interest 912828WL0 1.00 1,350.00 190,185.26 05/31/17 05/31/17 Purchase - Interest 912828WN6 1.00 12,000.00 202,185.26 05/31/17 06/01/17 Accrual Income Div Reinvestment - Distributions 1.00 126.33 202,311.59 202,311.59 202,311.59 202,311.59 152,872.40 259.81 0.00 (7,858,588.82) 8,032,845.50 28,054.91 126.33 202,311.59 0.00 (202,118.61) 280,902.17 123,528.03 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 May January-May 0.97% Page 22 Housing Funds CAMP Account For the Month Ending May 31, 2017Account Statement - Transaction Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Opening Market Value Purchases Redemptions Change in Value Closing Market Value 131,915.29 11,512.10 (418.16) 0.00 $143,009.23 CAMP Pool Unsettled Trades 0.00 111.96 Cash Dividends and Income Opening Market Value Purchases Redemptions Change in Value Closing Market Value 4,962,706.31 0.00 (3,223.95) 6,366.54 $4,990,834.40 CAMP Managed Account Unsettled Trades 24,985.50 6,375.16 Cash Dividends and Income May 31, 2017 April 30, 2017 Asset Summary CAMP Pool 143,009.23 131,915.29 CAMP Managed Account 4,990,834.40 4,962,706.31 $5,133,843.63 $5,094,621.60 Total Asset Allocation 2.79% CAMP Pool 97.21% CAMP Managed Account Page 1 For the Month Ending May 31, 2017Managed Account Summary Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dividend Closing Market Value Redemptions Purchases Opening Market Value Closing Market Value Change in Current Value Unsettled Trades Principal Acquisitions Principal Dispositions Maturities/Calls Opening Market Value Closing Market Value Opening Market Value Account Total Total Cash Basis Earnings Plus Net Realized Gains/Losses Less Purchased Interest Related to Interest/Coupons Interest/Dividends/Coupons Received Earnings Reconciliation (Cash Basis) - Managed Account Dividends Less Beginning Accrued Interest Less Beginning Amortized Value of Securities Less Cost of New Purchases Plus Coupons/Dividends Received Plus Proceeds of Maturities/Calls/Principal Payments Plus Proceeds from Sales Ending Accrued Interest Ending Amortized Value of Securities Earnings Reconciliation (Accrual Basis) Reconciling Transactions Net Cash Contribution Security Purchases Principal Payments Coupon/Interest/Dividend Income Sale Proceeds Maturities/Calls Cash Transactions Summary- Managed Account $131,915.29 11,512.10 (418.16) $143,009.23 111.96 $4,962,706.31 (3,223.95) 0.00 0.00 24,985.50 6,366.54 $4,990,834.40 $5,094,621.60 $5,133,843.63 6,407.44 0.00 (32.28) $6,375.16 0.00 0.00 6,407.44 3,223.95 0.00 (9,631.39) 0.00 Managed Account Total 5,000,450.78 5,143,460.01 22,547.76 0.00 3,223.95 6,407.44 (24,985.50) (4,979,309.73) (21,859.26) 0.00 22,547.76 418.16 3,223.95 6,407.44 (36,497.60) (5,111,225.02) (21,859.26) 111.96 Total Accrual Basis Earnings $6,475.44 $6,587.40 Transaction Summary - Managed AccountTransaction Summary - Money Market _______________________________________________ _______________________________________________ _____________________________________________________ Cash Balance $0.00 Closing Cash Balance Page 2 For the Month Ending May 31, 2017Portfolio Summary and Statistics CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Account Summary Percent Par Value Market ValueDescription U.S. Treasury Bond / Note 1,685,000.00 1,702,257.74 33.15 Municipal Bond / Note 30,000.00 30,077.40 0.59 Federal Agency Collateralized Mortgage Obligation 90,690.34 90,745.19 1.77 Federal Agency Bond / Note 1,130,000.00 1,119,283.05 21.80 Corporate Note 1,340,000.00 1,347,024.62 26.24 Certificate of Deposit 700,000.00 701,446.40 13.66 Managed Account Sub-Total 4,975,690.34 4,990,834.40 97.21% Accrued Interest 22,547.76 Total Portfolio 4,975,690.34 5,013,382.16 CAMP Pool 143,009.23 143,009.23 2.79 Total Investments 5,118,699.57 5,156,391.39 100.00% Unsettled Trades 25,000.00 25,022.93 Sector Allocation 13.66% Cert of Deposit 26.24% Corporate Note 1.77% Fed Agency CMO 21.80% Fed Agy Bond / Note 2.79% Mny Mkt Fund 0.59% Muni Bond / Note 33.15% 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 6.68% 10.79% 14.94% 25.62% 23.33% 18.64% 0.00% Maturity Distribution Characteristics Yield to Maturity at Cost Yield to Maturity at Market Duration to Worst Weighted Average Days to Maturity 2.53 961 1.54% 1.57% Page 3 For the Month Ending May 31, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Credit Quality (S&P Ratings) 7.84% A 10.36% A+ 3.06% A- 1.95% A-1+ 57.79% AA+ 12.79% AA- 0.98% AAA 2.79% AAAm 2.44% BBB+ Issuer Summary Percentof HoldingsIssuer Market Value 30,213.81 0.59 AMERICAN EXPRESS CO 100,903.80 1.97 AMERICAN HONDA FINANCE 54,832.75 1.07 APPLE INC 100,739.70 1.96 BANK OF MONTREAL 100,066.50 1.95 BANK OF NOVA SCOTIA 24,953.70 0.49 BB&T CORPORATION 26,708.40 0.52 BURLINGTON NORTHERN SANTA FE 143,009.23 2.79 CAMP Pool 255,063.68 4.97 CHEVRON CORPORATION 100,972.80 1.97 CISCO SYSTEMS INC 75,376.40 1.47 CITIGROUP INC 611,087.46 11.90 FANNIE MAE 474,461.78 9.24 FEDERAL HOME LOAN BANKS 124,479.00 2.42 FREDDIE MAC 50,046.75 0.97 GOLDMAN SACHS GROUP INC 25,022.93 0.49 HOME DEPOT INC 100,078.70 1.95 HSBC HOLDINGS PLC 99,951.30 1.95 IBM CORP 101,754.40 1.98 JP MORGAN CHASE & CO 50,245.60 0.98 MICROSOFT CORP 100,570.60 1.96 NORDEA BANK AB 100,181.60 1.95 ROYAL BANK OF CANADA 99,969.50 1.95 SKANDINAVISKA ENSKILDA BANKEN AB 30,077.40 0.59 STATE OF CONNECTICUT 24,778.50 0.48 STATE STREET CORPORATION 99,839.80 1.94 SVENSKA HANDELSBANKEN AB 150,564.20 2.93 THE BANK OF NEW YORK MELLON CORPORATION 1,702,257.74 33.15 UNITED STATES TREASURY 175,635.60 3.42 WELLS FARGO & COMPANY $5,133,843.63 Total 100.00% Page 4 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par U.S. Treasury Bond / Note US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 76,192.35 75,973.33 501.38 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 178,424.75 177,133.49 939.79 178,028.32 12/30/1512/28/15AaaAA+ 175,000.00 912828VV9 1.74 US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 100,746.10 101,345.73 152.17 101,851.56 02/03/1602/01/16AaaAA+ 100,000.00 912828WC0 1.35 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 76,142.55 76,593.84 4.10 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 128,544.88 129,768.55 1,246.55 131,279.30 03/31/1603/30/16AaaAA+ 125,000.00 912828A83 1.28 US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 125,786.13 126,762.98 918.51 127,241.21 05/31/1605/27/16AaaAA+ 125,000.00 912828N48 1.35 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 101,515.60 103,960.30 505.43 104,890.63 07/08/1607/06/16AaaAA+ 100,000.00 912828B90 0.92 US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 54,267.40 55,566.99 116.46 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 128,786.32 127,654.49 155.43 127,420.31 01/05/1701/03/17AaaAA+ 130,000.00 912828Q78 1.86 US TREASURY NOTES DTD 05/31/2016 1.375% 05/31/2021 123,730.50 121,908.71 4.70 121,752.93 03/17/1703/15/17AaaAA+ 125,000.00 912828R77 2.02 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 228,199.28 231,846.44 12.30 233,085.94 09/02/1609/01/16AaaAA+ 225,000.00 912828WN6 1.22 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 75,984.38 77,448.41 379.08 77,815.43 10/05/1610/03/16AaaAA+ 75,000.00 912828D72 1.21 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 151,968.75 150,402.87 758.15 150,445.31 12/05/1612/01/16AaaAA+ 150,000.00 912828D72 1.93 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 151,968.75 151,121.17 758.15 151,160.16 04/05/1704/03/17AaaAA+ 150,000.00 912828D72 1.82 Page 5 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par 6,452.20 1,702,257.74 1,707,487.30 1.52 1,714,228.13 1,685,000.00 Security Type Sub-Total Municipal Bond / Note CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 30,077.40 30,038.70 125.02 30,084.30 03/25/1503/16/15A1A+ 30,000.00 20772JZK1 1.90 125.02 30,077.40 30,038.70 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 24,093.12 24,153.00 31.14 24,349.79 04/30/1504/15/15AaaAA+ 24,108.79 3136ANJY4 0.83 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 25,034.03 25,106.72 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 41,618.04 41,801.49 57.04 41,997.95 10/30/1510/07/15AaaAA+ 41,581.55 3136AQDQ0 1.08 127.72 90,745.19 91,061.21 1.05 91,597.74 90,690.34 Security Type Sub-Total Federal Agency Bond / Note FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 5,024.86 5,017.59 0.90 5,047.50 10/23/1410/22/14AaaAA+ 5,000.00 3135G0YT4 1.39 FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 24,863.30 24,965.72 65.97 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 49,726.60 50,086.46 131.94 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 123,654.75 124,847.57 361.55 124,790.00 08/02/1607/29/16AaaAA+ 125,000.00 3135G0N33 0.93 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 123,560.13 124,825.28 352.43 124,760.00 08/04/1608/03/16AaaAA+ 125,000.00 3130A8Y72 0.94 FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 123,940.00 124,853.00 315.97 124,805.00 09/02/1608/31/16AaaAA+ 125,000.00 3135G0P49 1.05 Page 6 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Federal Agency Bond / Note FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 123,870.25 124,916.82 225.69 124,891.25 09/09/1609/08/16AaaAA+ 125,000.00 3130A9EP2 1.03 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 104,861.40 104,980.10 64.17 104,975.85 11/17/1611/16/16AaaAA+ 105,000.00 3130AA3R7 1.38 FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 90,079.56 89,947.22 341.25 89,942.40 02/28/1702/24/17AaaAA+ 90,000.00 3135G0T29 1.52 FHLMC AGENCY NOTES DTD 04/20/2017 1.375% 04/20/2020 124,479.00 124,588.43 195.75 124,572.50 04/20/1704/19/17AaaAA+ 125,000.00 3137EAEF2 1.49 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 122,170.00 124,370.04 535.16 124,239.88 07/15/1607/14/16AaaAA+ 125,000.00 3130A8QS5 1.25 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 24,536.48 24,927.53 90.28 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 78,516.72 79,725.42 288.89 79,676.00 08/19/1608/17/16AaaAA+ 80,000.00 3135G0N82 1.33 2,969.95 1,119,283.05 1,128,051.18 1.18 1,127,682.36 1,130,000.00 Security Type Sub-Total Corporate Note CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 74,922.38 75,036.09 404.80 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 99,896.50 100,000.00 539.73 100,000.00 12/05/1211/28/12Aa2AA- 100,000.00 166764AA8 1.10 IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 99,951.30 99,935.36 392.36 99,542.00 02/08/1302/05/13A1A+ 100,000.00 459200HK0 1.35 BANK OF NEW YORK MELLON (CALLABLE) DTD 03/06/2013 1.350% 03/06/2018 99,950.10 99,995.44 318.75 99,971.00 03/06/1303/04/13A1A 100,000.00 06406HCJ6 1.36 APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 54,832.75 54,961.75 42.78 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 80,244.80 80,000.00 599.39 80,000.00 06/24/1306/17/13Aa2AA- 80,000.00 166764AE0 1.72 Page 7 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 50,486.40 50,189.84 265.63 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 50,486.40 50,239.02 265.63 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 50,046.75 49,979.50 100.00 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 25,013.90 24,991.15 247.71 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 100,903.80 99,914.41 662.50 99,815.00 09/09/1409/04/14A1A+ 100,000.00 02665WAH4 2.29 BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 26,708.40 26,842.09 195.83 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 50,362.50 49,982.53 479.79 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 175,635.60 175,668.53 1,264.62 176,223.25 02/05/1502/02/15A2A 175,000.00 94974BGF1 2.00 MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 50,245.60 49,969.98 295.49 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 30,213.81 29,971.27 161.33 29,968.80 03/03/1702/28/17A2A- 30,000.00 0258M0EE5 2.24 HOME DEPOT INC CORP NOTES DTD 06/05/2017 1.800% 06/05/2020 25,022.93 24,985.50 0.00 24,985.50 06/05/1705/24/17A2A 25,000.00 437076BQ4 1.82 JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 101,754.40 100,322.50 1,206.94 100,497.00 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 50,614.10 50,916.50 159.72 51,149.00 05/19/1605/16/16A1A 50,000.00 06406FAA1 2.00 Page 8 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 24,953.70 24,986.85 29.90 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 24,778.50 24,924.08 16.25 24,905.50 05/24/1605/19/16A1A 25,000.00 857477AV5 2.03 7,649.15 1,347,024.62 1,343,812.39 1.80 1,345,686.85 1,340,000.00 Security Type Sub-Total Certificate of Deposit SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 99,969.50 100,000.00 809.89 100,000.00 11/17/1511/16/15Aa3A+ 100,000.00 83050FBG5 1.48 HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 100,078.70 100,000.00 2,399.83 100,000.00 11/18/1511/17/15P-1A-1+ 100,000.00 40428AR58 1.54 ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 100,181.60 100,000.00 387.22 100,000.00 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 100,570.60 100,000.00 9.78 100,000.00 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 99,839.80 100,000.00 735.00 100,000.00 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 100,739.70 100,000.00 584.89 100,000.00 02/09/1702/08/17Aa3A+ 100,000.00 06427KRC3 1.90 BANK OF NOVA SCOTIA HOUSTON LT CD DTD 04/06/2017 1.910% 04/05/2019 100,066.50 100,000.00 297.11 100,000.00 04/06/1704/05/17Aa3A+ 100,000.00 06417GUE6 1.91 5,223.72 701,446.40 700,000.00 1.74 700,000.00 700,000.00 Security Type Sub-Total 4,975,690.34 5,009,279.38 1.54 22,547.76 5,000,450.78 4,990,834.40 Managed Account Sub-Total Money Market Fund CAMP Pool 143,009.23 143,009.23 0.00 143,009.23 NRAAAm 143,009.23 143,009.23 143,009.23 0.00 143,009.23 143,009.23 Money Market Sub-Total Page 9 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS $5,118,699.57 $5,152,288.61 $22,547.76 $5,143,460.01 $5,133,843.63 1.54% $5,156,391.39 $22,547.76 Total Investments Accrued Interest Securities Sub-Total Bolded items are forward settling trades. Page 10 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Security Type/Description Next Call Market YTMEffective Duration U.S. Treasury Bond / Note 3.04 219.02 (222.69) 76,192.35 101.59 MERRILL 75,000.00 912828VP2US TREASURY NOTES DTD 07/31/2013 2.000% 07/31/2020 1.48 3.04 3.12 1,291.26 396.43 178,424.75 101.96 MORGANST 175,000.00 912828VV9US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1.51 3.12 3.30 (599.63)(1,105.46) 100,746.10 100.75 MERRILL 100,000.00 912828WC0US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 1.52 3.30 3.37 (451.29)(999.05) 76,142.55 101.52 MERRILL 75,000.00 912828A42US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 1.55 3.37 3.40 (1,223.67)(2,734.42) 128,544.88 102.84 MERRILL 125,000.00 912828A83US TREASURY NOTES DTD 12/31/2013 2.375% 12/31/2020 1.56 3.40 3.44 (976.85)(1,455.08) 125,786.13 100.63 MORGANST 125,000.00 912828N48US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 1.57 3.44 3.59 (2,444.70)(3,375.03) 101,515.60 101.52 MORGANST 100,000.00 912828B90US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 1.58 3.59 3.72 (1,299.59)(1,432.99) 54,267.40 98.67 CITIGRP 55,000.00 912828Q37US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 1.61 3.72 3.79 1,131.83 1,366.01 128,786.32 99.07 MORGAN_S 130,000.00 912828Q78US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 1.62 3.79 3.87 1,821.79 1,977.57 123,730.50 98.98 MORGAN_S 125,000.00 912828R77US TREASURY NOTES DTD 05/31/2016 1.375% 05/31/2021 1.64 3.87 3.83 (3,647.16)(4,886.66) 228,199.28 101.42 HSBC 225,000.00 912828WN6US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 1.63 3.83 4.04 (1,464.03)(1,831.05) 75,984.38 101.31 HSBC 75,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.68 4.04 4.04 1,565.88 1,523.44 151,968.75 101.31 HSBC 150,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.68 4.04 4.04 847.58 808.59 151,968.75 101.31 MORGAN_S 150,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.68 4.04 (11,970.39) 1.60 3.64 (5,229.56) 1,702,257.74 1,685,000.00 Security Type Sub-Total 3.64 Municipal Bond / Note 1.74 38.70 (6.90) 30,077.40 100.26 VINING 30,000.00 20772JZK1CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 1.83 1.74 Page 11 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Security Type/Description Next Call Market YTMEffective Duration (6.90) 1.83 1.74 38.70 30,077.40 30,000.00 Security Type Sub-Total 1.74 Federal Agency Collateralized Mortgage Obligation 0.69 (59.88)(256.67) 24,093.12 99.94 GOLDMAN 24,108.79 3136ANJY4FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 1.49 0.67 1.39 (72.69)(215.97) 25,034.03 100.14 GOLDMAN 25,000.00 3136AQSW1FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 1.71 0.87 2.05 (183.45)(379.91) 41,618.04 100.09 MORGANST 41,581.55 3136AQDQ0FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 1.55 1.28 (852.55) 1.58 1.51 (316.02) 90,745.19 90,690.34 Security Type Sub-Total 1.00 Federal Agency Bond / Note 1.47 7.27 (22.64) 5,024.86 100.50 GOLDMAN 5,000.00 3135G0YT4FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 1.29 1.47 1.71 (102.42)(77.70) 24,863.30 99.45 JPMCHASE 25,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.32 1.71 1.71 (359.86)(399.90) 49,726.60 99.45 BMO 50,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.32 1.71 2.13 (1,192.82)(1,135.25) 123,654.75 98.92 GOLDMAN 125,000.00 3135G0N33FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 1.38 2.13 2.14 (1,265.15)(1,199.87) 123,560.13 98.85 WELLSFAR 125,000.00 3130A8Y72FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 1.41 2.14 2.21 (913.00)(865.00) 123,940.00 99.15 GOLDMAN 125,000.00 3135G0P49FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 1.38 2.21 2.28 (1,046.57)(1,021.00) 123,870.25 99.10 BARCLAYS 125,000.00 3130A9EP2FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 1.40 2.28 2.40 (118.70)(114.45) 104,861.40 99.87 MERRILL 105,000.00 3130AA3R7FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 1.43 2.40 2.68 132.34 137.16 90,079.56 100.09 JPM_CHAS 90,000.00 3135G0T29FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 1.47 2.68 2.81 (109.43)(93.50) 124,479.00 99.58 WELLS_FA 125,000.00 3137EAEF2FHLMC AGENCY NOTES DTD 04/20/2017 1.375% 04/20/2020 1.52 2.81 3.98 (2,200.04)(2,069.88) 122,170.00 97.74 TD SEC U 125,000.00 3130A8QS5FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 1.70 3.98 Page 12 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Security Type/Description Next Call Market YTMEffective Duration Federal Agency Bond / Note 4.06 (391.05)(378.00) 24,536.48 98.15 TD SEC U 25,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.71 4.06 4.06 (1,208.70)(1,159.28) 78,516.72 98.15 CITIGRP 80,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.71 4.06 (8,399.31) 1.47 2.65 (8,768.13) 1,119,283.05 1,130,000.00 Security Type Sub-Total 2.65 Corporate Note 0.51 (113.71)(483.37) 74,922.38 99.90 11/05/17BARCLAYS 75,000.00 166764AA8CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 1.31 0.48 0.51 (103.50)(103.50) 99,896.50 99.90 11/05/17MORGANST 100,000.00 166764AA8CHEVRON CORP (CALLABLE) GLOBAL NOTES DTD 12/05/2012 1.104% 12/05/2017 1.31 0.48 0.68 15.94 409.30 99,951.30 99.95 HSBC 100,000.00 459200HK0IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 1.32 0.68 0.76 (45.34)(20.90) 99,950.10 99.95 GOLDMAN 100,000.00 06406HCJ6BANK OF NEW YORK MELLON (CALLABLE) DTD 03/06/2013 1.350% 03/06/2018 1.42 0.71 0.91 (129.00) 35.70 54,832.75 99.70 GOLDMAN 55,000.00 037833AJ9APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 1.33 0.91 1.04 244.80 244.80 80,244.80 100.31 BARCLAYS 80,000.00 166764AE0CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 1.43 1.04 1.71 296.56 11.40 50,486.40 100.97 BONY 50,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.56 1.71 1.71 247.38 16.90 50,486.40 100.97 BNP PARI 50,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.56 1.71 1.77 67.25 78.75 50,046.75 100.09 03/25/19MIZUHO 50,000.00 38141GVT8GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 1.95 1.81 1.95 22.75 26.90 25,013.90 100.06 CITIGRP 25,000.00 172967KS9CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 2.02 1.95 2.13 989.39 1,088.80 100,903.80 100.90 MERRILL 100,000.00 02665WAH4AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 1.83 2.13 Page 13 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Security Type/Description Next Call Market YTMEffective Duration Corporate Note 2.21 (133.69)(889.10) 26,708.40 106.83 GOLDMAN 25,000.00 12189TBC7BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 1.70 2.21 2.49 379.97 382.50 50,362.50 100.73 CITIGRP 50,000.00 172967LF6CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 2.16 2.49 2.56 (32.93)(587.65) 175,635.60 100.36 JEFFERIE 175,000.00 94974BGF1WELLS FARGO & CO DTD 02/02/2015 2.150% 01/30/2020 2.01 2.56 2.59 275.62 279.10 50,245.60 100.49 HSBC 50,000.00 594918BV5MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 1.66 2.59 2.65 242.54 245.01 30,213.81 100.71 MERRILL 30,000.00 0258M0EE5AMERICAN EXPRESS CREDIT CORP NOTES DTD 03/03/2017 2.200% 03/03/2020 1.93 2.65 2.91 37.43 37.43 25,022.93 100.09 JPM_CHAS 25,000.00 437076BQ4HOME DEPOT INC CORP NOTES DTD 06/05/2017 1.800% 06/05/2020 1.77 2.91 2.82 1,431.90 1,257.40 101,754.40 101.75 05/23/20JPMCHASE 100,000.00 46625HLW8JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 2.15 2.85 3.67 (302.40)(534.90) 50,614.10 101.23 KEYBAN 50,000.00 06406FAA1BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 2.17 3.67 3.76 (33.15)(29.80) 24,953.70 99.81 SCOTIA 25,000.00 05531FAV5BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 2.10 3.76 3.79 (145.58)(127.00) 24,778.50 99.11 GOLDMAN 25,000.00 857477AV5STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 2.18 3.79 1,337.77 1.71 1.83 3,212.23 1,347,024.62 1,340,000.00 Security Type Sub-Total 1.83 Certificate of Deposit 0.46 (30.50)(30.50) 99,969.50 99.97 GOLDMAN 100,000.00 83050FBG5SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 1.51 0.46 0.46 78.70 78.70 100,078.70 100.08 HSBC 100,000.00 40428AR58HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 1.39 0.46 0.77 181.60 181.60 100,181.60 100.18 RBC CAP 100,000.00 78009NZZ2ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 1.43 0.77 1.50 570.60 570.60 100,570.60 100.57 MERRILL 100,000.00 65558LWA6NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 0.79 1.50 Page 14 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Security Type/Description Next Call Market YTMEffective Duration Certificate of Deposit 1.60 (160.20)(160.20) 99,839.80 99.84 MERRILL 100,000.00 86958JHB8SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 1.53 1.60 1.68 739.70 739.70 100,739.70 100.74 GOLDMAN 100,000.00 06427KRC3BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/2017 1.880% 02/07/2019 1.09 1.68 1.83 66.50 66.50 100,066.50 100.07 MERRILL 100,000.00 06417GUE6BANK OF NOVA SCOTIA HOUSTON LT CD DTD 04/06/2017 1.910% 04/05/2019 1.71 1.83 1,446.40 1.35 1.19 1,446.40 701,446.40 700,000.00 Security Type Sub-Total 1.19 4,975,690.34 4,990,834.40 (18,444.98) (9,616.38) 2.53 1.57 Managed Account Sub-Total 2.52 Money Market Fund 0.00 0.00 0.00 143,009.23 1.00 143,009.23 CAMP Pool 0.00 143,009.23 143,009.23 0.00 0.00 0.00 Money Market Sub-Total 0.00 Total Investments $5,156,391.39 $22,547.76 $5,133,843.63 Accrued Interest Securities Sub-Total $5,118,699.57 ($18,444.98) ($9,616.38) 2.53 1.57% 2.52 Bolded items are forward settling trades. Page 15 For the Month Ending May 31, 2017Managed Account Security Transactions & Interest CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method BUY 06/05/17 HOME DEPOT INC CORP NOTES DTD 06/05/2017 1.800% 06/05/2020 437076BQ4 (24,985.50) 0.00 (24,985.50) 25,000.00 05/24/17 0.00 (24,985.50)(24,985.50) 25,000.00 Transaction Type Sub-Total INTEREST 05/25/17 FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 3136ANJY4 0.00 33.40 33.40 24,608.50 05/01/17 05/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 0.00 85.20 85.20 44,305.79 05/01/17 05/25/17 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 3136AQSW1 0.00 39.54 39.54 25,000.00 05/01/17 05/03/17 APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 037833AJ9 0.00 275.00 275.00 55,000.00 05/03/17 05/10/17 BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 05531FAV5 0.00 256.25 256.25 25,000.00 05/10/17 05/15/17 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 3130AA3R7 0.00 713.85 713.85 105,000.00 05/15/17 05/19/17 STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 857477AV5 0.00 243.75 243.75 25,000.00 05/19/17 05/27/17 FANNIE MAE GLOBAL NOTES DTD 10/01/2013 1.625% 11/27/2018 3135G0YT4 0.00 40.63 40.63 5,000.00 05/27/17 05/30/17 NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 65558LWA6 0.00 860.44 860.44 100,000.00 05/30/17 05/31/17 US TREASURY NOTES DTD 05/31/2016 1.375% 05/31/2021 912828R77 0.00 859.38 859.38 125,000.00 05/31/17 05/31/17 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 912828WN6 0.00 2,250.00 2,250.00 225,000.00 05/31/17 05/31/17 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 912828A42 0.00 750.00 750.00 75,000.00 05/31/17 6,407.44 6,407.44 0.00 833,914.29 Transaction Type Sub-Total Page 16 For the Month Ending May 31, 2017Managed Account Security Transactions & Interest CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method PAYDOWNS 05/25/17 FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 3136ANJY4 499.71 0.00 499.71 (5.00) 0.00 499.71 05/01/17 05/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 2,724.24 0.00 2,724.24 (27.28) 0.00 2,724.24 05/01/17 0.00 0.00 (32.28) 3,223.95 3,223.95 3,223.95 Transaction Type Sub-Total (21,761.55) 6,407.44 (15,354.11)(32.28) 0.00 Managed Account Sub-Total Total Security Transactions ($32.28)($15,354.11)$6,407.44 ($21,761.55)$0.00 Bolded items are forward settling trades. Page 17 For the Month Ending May 31, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate CAMP Pool 131,915.29 Opening Balance 05/01/17 05/01/17 Purchase - Interest 912828Q78 1.00 893.75 132,809.04 05/01/17 05/01/17 Purchase - Interest 912828WC0 1.00 875.00 133,684.04 05/03/17 05/03/17 Purchase - Interest 037833AJ9 1.00 275.00 133,959.04 05/10/17 05/10/17 Purchase - Interest 05531FAV5 1.00 256.25 134,215.29 05/15/17 05/15/17 Purchase - Interest 3130AA3R7 1.00 713.85 134,929.14 05/19/17 05/19/17 Purchase - Interest 857477AV5 1.00 243.75 135,172.89 05/24/17 05/24/17 IP Fees April 2017 1.00 (383.19) 134,789.70 05/24/17 05/24/17 U.S. Bank Fees March 2017 1.00 (34.97) 134,754.73 05/25/17 05/25/17 Purchase - Interest 3136ANJY4 1.00 33.40 134,788.13 05/25/17 05/25/17 Purchase - Interest 3136AQDQ0 1.00 85.20 134,873.33 05/25/17 05/25/17 Purchase - Interest 3136AQSW1 1.00 39.54 134,912.87 05/25/17 05/25/17 Purchase - Principal 3136ANJY4 1.00 499.71 135,412.58 05/25/17 05/25/17 Purchase - Principal 3136AQDQ0 1.00 2,724.24 138,136.82 05/30/17 05/30/17 Purchase - Interest 3135G0YT4 1.00 40.63 138,177.45 05/30/17 05/30/17 Purchase - Interest 65558LWA6 1.00 860.44 139,037.89 05/31/17 05/31/17 Purchase - Interest 912828A42 1.00 750.00 139,787.89 05/31/17 05/31/17 Purchase - Interest 912828R77 1.00 859.38 140,647.27 05/31/17 05/31/17 Purchase - Interest 912828WN6 1.00 2,250.00 142,897.27 05/31/17 06/01/17 Accrual Income Div Reinvestment - Distributions 1.00 111.96 143,009.23 Page 18 For the Month Ending May 31, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE - HOUSING FUNDS Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate 143,009.23 143,009.23 143,009.23 135,458.86 209.90 0.00 (1,048,124.36) 1,180,527.82 10,605.77 111.96 143,009.23 0.00 (418.16) 11,512.10 131,915.29 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 May January-May 0.97% Page 19 Successor Agency CAMP Account For the Month Ending May 31, 2017Account Statement - Transaction Summary CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Opening Market Value Purchases Redemptions Change in Value Closing Market Value 227,323.31 13,324.88 (50,337.10) 0.00 $190,311.09 CAMP Pool Unsettled Trades 0.00 164.91 Cash Dividends and Income Opening Market Value Purchases Redemptions Change in Value Closing Market Value 5,070,017.32 49,905.50 (3,223.95) 7,096.76 $5,148,781.13 CAMP Managed Account Unsettled Trades 24,985.50 7,525.61 Cash Dividends and Income May 31, 2017 April 30, 2017 Asset Summary CAMP Pool 190,311.09 227,323.31 CAMP Managed Account 5,148,781.13 5,070,017.32 $5,339,092.22 $5,297,340.63 Total Asset Allocation 3.56% CAMP Pool 96.44% CAMP Managed Account Page 1 For the Month Ending May 31, 2017Managed Account Summary Statement CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dividend Closing Market Value Redemptions Purchases Opening Market Value Closing Market Value Change in Current Value Unsettled Trades Principal Acquisitions Principal Dispositions Maturities/Calls Opening Market Value Closing Market Value Opening Market Value Account Total Total Cash Basis Earnings Plus Net Realized Gains/Losses Less Purchased Interest Related to Interest/Coupons Interest/Dividends/Coupons Received Earnings Reconciliation (Cash Basis) - Managed Account Dividends Less Beginning Accrued Interest Less Beginning Amortized Value of Securities Less Cost of New Purchases Plus Coupons/Dividends Received Plus Proceeds of Maturities/Calls/Principal Payments Plus Proceeds from Sales Ending Accrued Interest Ending Amortized Value of Securities Earnings Reconciliation (Accrual Basis) Reconciling Transactions Net Cash Contribution Security Purchases Principal Payments Coupon/Interest/Dividend Income Sale Proceeds Maturities/Calls Cash Transactions Summary- Managed Account $227,323.31 13,324.88 (50,337.10) $190,311.09 164.91 $5,070,017.32 (3,223.95) 0.00 49,905.50 24,985.50 7,096.76 $5,148,781.13 $5,297,340.63 $5,339,092.22 7,557.89 0.00 (32.28) $7,525.61 0.00 0.00 7,557.89 3,223.95 (49,905.50) 39,123.66 0.00 Managed Account Total 5,158,840.20 5,349,151.29 20,669.73 0.00 3,223.95 7,557.89 (74,891.00) (5,087,760.73) (21,007.46) 0.00 20,669.73 50,337.10 3,223.95 7,557.89 (88,215.88) (5,315,084.04) (21,007.46) 164.91 Total Accrual Basis Earnings $6,632.58 $6,797.49 Transaction Summary - Managed AccountTransaction Summary - Money Market _______________________________________________ _______________________________________________ _____________________________________________________ Cash Balance $0.00 Closing Cash Balance Page 2 For the Month Ending May 31, 2017Portfolio Summary and Statistics CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Account Summary Percent Par Value Market ValueDescription U.S. Treasury Bond / Note 1,745,000.00 1,760,790.42 32.98 Municipal Bond / Note 30,000.00 30,077.40 0.56 Federal Agency Collateralized Mortgage Obligation 90,690.34 90,745.19 1.70 Federal Agency Bond / Note 1,405,000.00 1,392,292.05 26.08 Corporate Note 1,165,000.00 1,173,429.67 21.98 Certificate of Deposit 700,000.00 701,446.40 13.14 Managed Account Sub-Total 5,135,690.34 5,148,781.13 96.44% Accrued Interest 20,669.73 Total Portfolio 5,135,690.34 5,169,450.86 CAMP Pool 190,311.09 190,311.09 3.56 Total Investments 5,326,001.43 5,359,761.95 100.00% Unsettled Trades 25,000.00 25,022.93 Sector Allocation 13.14% Cert of Deposit 21.98% Corporate Note 1.70% Fed Agency CMO 26.08% Fed Agy Bond / Note 3.56% Mny Mkt Fund 0.56% Muni Bond / Note 32.98% 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 7.32%6.63% 18.59% 26.46% 21.16%19.84% 0.00% Maturity Distribution Characteristics Yield to Maturity at Cost Yield to Maturity at Market Duration to Worst Weighted Average Days to Maturity 2.60 987 1.54% 1.57% Page 3 For the Month Ending May 31, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Credit Quality (S&P Ratings) 5.69% A 10.43% A+ 2.94% A- 1.87% A-1+ 61.79% AA+ 10.43% AA- 0.94% AAA 3.56% AAAm 2.35% BBB+ Issuer Summary Percentof HoldingsIssuer Market Value 30,213.81 0.57 AMERICAN EXPRESS CO 100,903.80 1.89 AMERICAN HONDA FINANCE 54,832.75 1.03 APPLE INC 100,739.70 1.89 BANK OF MONTREAL 100,066.50 1.87 BANK OF NOVA SCOTIA 24,953.70 0.47 BB&T CORPORATION 26,708.40 0.50 BURLINGTON NORTHERN SANTA FE 190,311.09 3.56 CAMP Pool 80,244.80 1.50 CHEVRON CORPORATION 100,972.80 1.89 CISCO SYSTEMS INC 75,376.40 1.41 CITIGROUP INC 51,008.40 0.96 DEERE & COMPANY 744,308.78 13.94 FANNIE MAE 559,445.53 10.48 FEDERAL HOME LOAN BANKS 179,282.93 3.36 FREDDIE MAC 50,046.75 0.94 GOLDMAN SACHS GROUP INC 25,022.93 0.47 HOME DEPOT INC 100,078.70 1.87 HSBC HOLDINGS PLC 99,951.30 1.87 IBM CORP 101,754.40 1.91 JP MORGAN CHASE & CO 50,245.60 0.94 MICROSOFT CORP 100,570.60 1.88 NORDEA BANK AB 100,181.60 1.88 ROYAL BANK OF CANADA 99,969.50 1.87 SKANDINAVISKA ENSKILDA BANKEN AB 30,077.40 0.56 STATE OF CONNECTICUT 24,778.50 0.46 STATE STREET CORPORATION 99,839.80 1.87 SVENSKA HANDELSBANKEN AB 125,576.68 2.35 THE BANK OF NEW YORK MELLON CORPORATION 25,138.85 0.47 THE WALT DISNEY CORPORATION 75,105.60 1.41 TOYOTA MOTOR CORP 1,760,790.42 32.98 UNITED STATES TREASURY 50,594.20 0.95 WELLS FARGO & COMPANY Page 4 For the Month Ending May 31, 2017Managed Account Issuer Summary CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY $5,339,092.22 Total 100.00% Page 5 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par U.S. Treasury Bond / Note US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 75,503.93 75,799.29 105.98 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 50,214.85 50,430.70 2.05 50,546.88 11/14/1611/10/16AaaAA+ 50,000.00 912828WL0 1.06 US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 188,620.45 187,255.41 993.50 188,201.37 12/30/1512/28/15AaaAA+ 185,000.00 912828VV9 1.74 US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 100,746.10 101,345.73 152.17 101,851.56 02/03/1602/01/16AaaAA+ 100,000.00 912828WC0 1.35 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 177,665.95 178,718.95 9.56 179,997.07 03/04/1603/02/16AaaAA+ 175,000.00 912828A42 1.38 US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 125,786.13 126,762.98 918.51 127,241.21 05/31/1605/27/16AaaAA+ 125,000.00 912828N48 1.35 US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 76,136.70 77,970.22 379.08 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 54,267.40 55,566.99 116.46 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 128,786.32 127,654.49 155.43 127,420.32 01/05/1701/03/17AaaAA+ 130,000.00 912828Q78 1.86 US TREASURY NOTES DTD 05/31/2016 1.375% 05/31/2021 98,984.40 97,526.97 3.76 97,402.34 03/17/1703/15/17AaaAA+ 100,000.00 912828R77 2.02 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 202,843.80 206,085.72 10.93 207,187.50 09/02/1609/01/16AaaAA+ 200,000.00 912828WN6 1.22 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 126,640.63 129,080.68 631.79 129,692.38 10/05/1610/03/16AaaAA+ 125,000.00 912828D72 1.21 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 126,640.63 125,335.73 631.79 125,371.09 12/05/1612/01/16AaaAA+ 125,000.00 912828D72 1.93 US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 227,953.13 226,681.76 1,137.23 226,740.23 04/05/1704/03/17AaaAA+ 225,000.00 912828D72 1.82 Page 6 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par 5,248.24 1,760,790.42 1,766,215.62 1.49 1,772,045.70 1,745,000.00 Security Type Sub-Total Municipal Bond / Note CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 30,077.40 30,038.70 125.02 30,084.30 03/25/1503/16/15A1A+ 30,000.00 20772JZK1 1.90 125.02 30,077.40 30,038.70 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 24,093.12 24,153.00 32.97 24,349.79 04/30/1504/15/15AaaAA+ 24,108.79 3136ANJY4 0.83 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 25,034.03 25,106.72 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 41,618.04 41,801.49 57.04 41,997.95 10/30/1510/07/15AaaAA+ 41,581.55 3136AQDQ0 1.08 129.55 90,745.19 91,061.21 1.05 91,597.74 90,690.34 Security Type Sub-Total Federal Agency Bond / Note FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 24,863.30 24,965.72 65.97 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 49,726.60 50,086.46 131.94 50,126.50 08/08/1608/05/16AaaAA+ 50,000.00 3135G0J53 0.90 FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 54,803.93 55,233.37 79.06 55,331.10 08/15/1608/12/16AaaAA+ 55,000.00 3137EADZ9 0.90 FEDERAL HOME LOAN BANK AGENCY NOTES DTD 05/12/2017 1.375% 05/28/2019 50,029.95 49,907.81 36.28 49,905.50 05/12/1705/11/17AaaAA+ 50,000.00 3130ABF92 1.47 FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 123,654.75 124,847.57 361.55 124,790.00 08/02/1607/29/16AaaAA+ 125,000.00 3135G0N33 0.93 FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 123,560.13 124,825.28 352.43 124,760.00 08/04/1608/03/16AaaAA+ 125,000.00 3130A8Y72 0.94 Page 7 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Federal Agency Bond / Note FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 123,940.00 124,853.00 315.97 124,805.00 09/02/1608/31/16AaaAA+ 125,000.00 3135G0P49 1.05 FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 123,870.25 124,916.82 225.69 124,891.25 09/09/1609/08/16AaaAA+ 125,000.00 3130A9EP2 1.03 FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 178,281.54 179,612.94 185.00 179,517.60 10/25/1610/21/16AaaAA+ 180,000.00 3135G0R39 1.09 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 139,815.20 139,973.47 85.56 139,967.80 11/17/1611/16/16AaaAA+ 140,000.00 3130AA3R7 1.38 FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 50,044.20 49,970.68 189.58 49,968.00 02/28/1702/24/17AaaAA+ 50,000.00 3135G0T29 1.52 FHLMC AGENCY NOTES DTD 04/20/2017 1.375% 04/20/2020 124,479.00 124,588.43 195.75 124,572.50 04/20/1704/19/17AaaAA+ 125,000.00 3137EAEF2 1.49 FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 122,170.00 124,370.04 535.16 124,239.88 07/15/1607/14/16AaaAA+ 125,000.00 3130A8QS5 1.25 FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 24,536.48 24,927.53 90.28 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 78,516.72 79,725.42 288.89 79,676.00 08/19/1608/17/16AaaAA+ 80,000.00 3135G0N82 1.33 3,139.11 1,392,292.05 1,402,804.54 1.17 1,402,406.61 1,405,000.00 Security Type Sub-Total Corporate Note IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 99,951.30 99,935.36 392.36 99,542.00 02/08/1302/05/13A1A+ 100,000.00 459200HK0 1.35 BANK OF NEW YORK MELLON (CALLABLE) DTD 03/06/2013 1.350% 03/06/2018 74,962.58 74,996.58 239.06 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 54,832.75 54,961.75 42.78 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 80,244.80 80,000.00 599.39 80,000.00 06/24/1306/17/13Aa2AA- 80,000.00 166764AE0 1.72 Page 8 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 50,486.40 50,189.84 265.63 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 50,486.40 50,239.02 265.63 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 50,046.75 49,979.50 100.00 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 25,013.90 24,991.15 247.71 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 100,903.80 99,914.41 662.50 99,815.00 09/09/1409/04/14A1A+ 100,000.00 02665WAH4 2.29 BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 26,708.40 26,842.09 195.83 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 50,362.50 49,982.53 479.79 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 50,245.60 49,969.98 295.49 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 30,213.81 29,971.27 161.33 29,968.80 03/03/1702/28/17A2A- 30,000.00 0258M0EE5 2.24 WALT DISNEY COMPANY CORP NOTES DTD 03/06/2017 1.950% 03/04/2020 25,138.85 24,994.00 115.10 24,993.50 03/06/1703/01/17A2A+ 25,000.00 25468PDP8 1.96 TOYOTA MOTOR CREDIT CORP DTD 04/17/2017 1.950% 04/17/2020 75,105.60 74,966.87 178.75 74,965.50 04/17/1704/11/17Aa3AA- 75,000.00 89236TDU6 1.97 HOME DEPOT INC CORP NOTES DTD 06/05/2017 1.800% 06/05/2020 25,022.93 24,985.50 0.00 24,985.50 06/05/1705/24/17A2A 25,000.00 437076BQ4 1.82 JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 101,754.40 100,322.50 1,206.94 100,497.00 09/04/1509/01/15A3A- 100,000.00 46625HLW8 2.64 Page 9 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par Corporate Note WELLS FARGO & COMPANY NOTES DTD 12/07/2015 2.550% 12/07/2020 50,594.20 50,861.06 616.25 51,108.00 05/10/1605/06/16A2A 50,000.00 94974BGR5 2.04 BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 50,614.10 50,916.50 159.72 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 24,953.70 24,986.85 29.90 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 24,778.50 24,924.08 16.25 24,905.50 05/24/1605/19/16A1A 25,000.00 857477AV5 2.03 JOHN DEERE CAPITAL CORP NOTES DTD 01/06/2017 2.650% 01/06/2022 51,008.40 49,789.29 533.68 49,779.50 03/15/1703/10/17A2A 50,000.00 24422ETL3 2.75 6,804.09 1,173,429.67 1,168,720.13 1.95 1,169,911.60 1,165,000.00 Security Type Sub-Total Certificate of Deposit SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 99,969.50 100,000.00 809.89 100,000.00 11/17/1511/16/15Aa3A+ 100,000.00 83050FBG5 1.48 HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 100,078.70 100,000.00 2,399.83 100,000.00 11/18/1511/17/15P-1A-1+ 100,000.00 40428AR58 1.54 ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 100,181.60 100,000.00 387.22 100,000.00 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 100,570.60 100,000.00 9.78 100,000.00 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 99,839.80 100,000.00 735.00 100,000.00 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 100,739.70 100,000.00 584.89 100,000.00 02/09/1702/08/17Aa3A+ 100,000.00 06427KRC3 1.90 BANK OF NOVA SCOTIA HOUSTON LT CD DTD 04/06/2017 1.910% 04/05/2019 100,066.50 100,000.00 297.11 100,000.00 04/06/1704/05/17Aa3A+ 100,000.00 06417GUE6 1.91 5,223.72 701,446.40 700,000.00 1.74 700,000.00 700,000.00 Security Type Sub-Total Page 10 For the Month Ending May 31, 2017Managed Account Detail of Securities Held CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Dated Date/Coupon/Maturity CUSIP Rating Rating Date Date Cost at Cost Interest Cost Value Security Type/Description S&P Moody's Original YTM Accrued Amortized MarketTrade Settle Par 5,135,690.34 5,166,045.95 1.54 20,669.73 5,158,840.20 5,148,781.13 Managed Account Sub-Total Money Market Fund CAMP Pool 190,311.09 190,311.09 0.00 190,311.09 NRAAAm 190,311.09 190,311.09 190,311.09 0.00 190,311.09 190,311.09 Money Market Sub-Total $5,326,001.43 $5,356,357.04 $20,669.73 $5,349,151.29 $5,339,092.22 1.54% $5,359,761.95 $20,669.73 Total Investments Accrued Interest Securities Sub-Total Bolded items are forward settling trades. Page 11 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Security Type/Description Next Call Market YTMEffective Duration U.S. Treasury Bond / Note 1.88 (295.36)(521.46) 75,503.93 100.67 CITIGRP 75,000.00 912828D23US TREASURY NOTES DTD 04/30/2014 1.625% 04/30/2019 1.27 1.88 1.97 (215.85)(332.03) 50,214.85 100.43 MORGANST 50,000.00 912828WL0US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 1.28 1.97 3.12 1,365.04 419.08 188,620.45 101.96 MORGANST 185,000.00 912828VV9US TREASURY NOTES DTD 09/03/2013 2.125% 08/31/2020 1.51 3.12 3.30 (599.63)(1,105.46) 100,746.10 100.75 MERRILL 100,000.00 912828WC0US TREASURY NOTES DTD 10/31/2013 1.750% 10/31/2020 1.52 3.30 3.37 (1,053.00)(2,331.12) 177,665.95 101.52 MERRILL 175,000.00 912828A42US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 1.55 3.37 3.44 (976.85)(1,455.08) 125,786.13 100.63 MORGANST 125,000.00 912828N48US TREASURY N/B DTD 12/31/2015 1.750% 12/31/2020 1.57 3.44 3.59 (1,833.52)(2,531.27) 76,136.70 101.52 MORGANST 75,000.00 912828B90US TREASURY NOTES DTD 02/28/2014 2.000% 02/28/2021 1.58 3.59 3.72 (1,299.59)(1,432.99) 54,267.40 98.67 CITIGRP 55,000.00 912828Q37US TREASURY NOTES DTD 03/31/2016 1.250% 03/31/2021 1.61 3.72 3.79 1,131.83 1,366.00 128,786.32 99.07 MORGAN_S 130,000.00 912828Q78US TREASURY NOTES DTD 05/02/2016 1.375% 04/30/2021 1.62 3.79 3.87 1,457.43 1,582.06 98,984.40 98.98 MORGAN_S 100,000.00 912828R77US TREASURY NOTES DTD 05/31/2016 1.375% 05/31/2021 1.64 3.87 3.83 (3,241.92)(4,343.70) 202,843.80 101.42 HSBC 200,000.00 912828WN6US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 1.63 3.83 4.04 (2,440.05)(3,051.75) 126,640.63 101.31 HSBC 125,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.68 4.04 4.04 1,304.90 1,269.54 126,640.63 101.31 HSBC 125,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.68 4.04 4.04 1,271.37 1,212.90 227,953.13 101.31 MORGAN_S 225,000.00 912828D72US TREASURY NOTES DTD 09/02/2014 2.000% 08/31/2021 1.68 4.04 (11,255.28) 1.58 3.56 (5,425.20) 1,760,790.42 1,745,000.00 Security Type Sub-Total 3.56 Municipal Bond / Note 1.74 38.70 (6.90) 30,077.40 100.26 VINING 30,000.00 20772JZK1CT ST TXBL GO BONDS DTD 03/25/2015 1.974% 03/15/2019 1.83 1.74 Page 12 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Security Type/Description Next Call Market YTMEffective Duration (6.90) 1.83 1.74 38.70 30,077.40 30,000.00 Security Type Sub-Total 1.74 Federal Agency Collateralized Mortgage Obligation 0.69 (59.88)(256.67) 24,093.12 99.94 GOLDMAN 24,108.79 3136ANJY4FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 1.49 0.67 1.39 (72.69)(215.97) 25,034.03 100.14 GOLDMAN 25,000.00 3136AQSW1FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 1.71 0.87 2.05 (183.45)(379.91) 41,618.04 100.09 MORGANST 41,581.55 3136AQDQ0FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 1.55 1.28 (852.55) 1.58 1.51 (316.02) 90,745.19 90,690.34 Security Type Sub-Total 1.00 Federal Agency Bond / Note 1.71 (102.42)(77.70) 24,863.30 99.45 JPMCHASE 25,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.32 1.71 1.71 (359.86)(399.90) 49,726.60 99.45 BMO 50,000.00 3135G0J53FNMA BENCHMARK NOTE DTD 02/23/2016 1.000% 02/26/2019 1.32 1.71 1.84 (429.44)(527.17) 54,803.93 99.64 TD SEC U 55,000.00 3137EADZ9FREDDIE MAC NOTES DTD 03/21/2016 1.125% 04/15/2019 1.32 1.84 1.96 122.14 124.45 50,029.95 100.06 MERRILL 50,000.00 3130ABF92FEDERAL HOME LOAN BANK AGENCY NOTES DTD 05/12/2017 1.375% 05/28/2019 1.34 1.96 2.13 (1,192.82)(1,135.25) 123,654.75 98.92 GOLDMAN 125,000.00 3135G0N33FNMA BENCHMARK NOTE DTD 08/02/2016 0.875% 08/02/2019 1.38 2.13 2.14 (1,265.15)(1,199.87) 123,560.13 98.85 WELLSFAR 125,000.00 3130A8Y72FHLB GLOBAL NOTE DTD 08/04/2016 0.875% 08/05/2019 1.41 2.14 2.21 (913.00)(865.00) 123,940.00 99.15 GOLDMAN 125,000.00 3135G0P49FNMA NOTES DTD 09/02/2016 1.000% 08/28/2019 1.38 2.21 2.28 (1,046.57)(1,021.00) 123,870.25 99.10 BARCLAYS 125,000.00 3130A9EP2FHLB GLOBAL NOTES DTD 09/09/2016 1.000% 09/26/2019 1.40 2.28 2.36 (1,331.40)(1,236.06) 178,281.54 99.05 BARCLAYS 180,000.00 3135G0R39FANNIE MAE GLOBAL NOTES DTD 10/25/2016 1.000% 10/24/2019 1.41 2.36 2.40 (158.27)(152.60) 139,815.20 99.87 MERRILL 140,000.00 3130AA3R7FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 1.43 2.40 Page 13 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Security Type/Description Next Call Market YTMEffective Duration Federal Agency Bond / Note 2.68 73.52 76.20 50,044.20 100.09 JPM_CHAS 50,000.00 3135G0T29FNMA NOTES DTD 02/28/2017 1.500% 02/28/2020 1.47 2.68 2.81 (109.43)(93.50) 124,479.00 99.58 WELLS_FA 125,000.00 3137EAEF2FHLMC AGENCY NOTES DTD 04/20/2017 1.375% 04/20/2020 1.52 2.81 3.98 (2,200.04)(2,069.88) 122,170.00 97.74 TD SEC U 125,000.00 3130A8QS5FHLB GLOBAL NOTE DTD 07/14/2016 1.125% 07/14/2021 1.70 3.98 4.06 (391.05)(378.00) 24,536.48 98.15 TD SEC U 25,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.71 4.06 4.06 (1,208.70)(1,159.28) 78,516.72 98.15 CITIGRP 80,000.00 3135G0N82FNMA NOTES DTD 08/19/2016 1.250% 08/17/2021 1.71 4.06 (10,114.56) 1.45 2.55 (10,512.49) 1,392,292.05 1,405,000.00 Security Type Sub-Total 2.55 Corporate Note 0.68 15.94 409.30 99,951.30 99.95 HSBC 100,000.00 459200HK0IBM CORP GLOBAL NOTES DTD 02/08/2013 1.250% 02/08/2018 1.32 0.68 0.76 (34.00)(15.67) 74,962.58 99.95 GOLDMAN 75,000.00 06406HCJ6BANK OF NEW YORK MELLON (CALLABLE) DTD 03/06/2013 1.350% 03/06/2018 1.42 0.71 0.91 (129.00) 35.70 54,832.75 99.70 GOLDMAN 55,000.00 037833AJ9APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 1.33 0.91 1.04 244.80 244.80 80,244.80 100.31 BARCLAYS 80,000.00 166764AE0CHEVRON CORP GLOBAL NOTES DTD 06/24/2013 1.718% 06/24/2018 1.43 1.04 1.71 296.56 11.40 50,486.40 100.97 BONY 50,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.56 1.71 1.71 247.38 16.90 50,486.40 100.97 BNP PARI 50,000.00 17275RAR3CISCO SYSTEMS INC GLOBAL NOTES DTD 03/03/2014 2.125% 03/01/2019 1.56 1.71 1.77 67.25 78.75 50,046.75 100.09 03/25/19MIZUHO 50,000.00 38141GVT8GOLDMAN SACHS GRP INC CORP NT (CALLABLE) DTD 04/25/2016 2.000% 04/25/2019 1.95 1.81 1.95 22.75 26.90 25,013.90 100.06 CITIGRP 25,000.00 172967KS9CITIGROUP INC CORP NOTES DTD 06/09/2016 2.050% 06/07/2019 2.02 1.95 2.13 989.39 1,088.80 100,903.80 100.90 MERRILL 100,000.00 02665WAH4AMERICAN HONDA FINANCE GLOBAL NOTES DTD 09/09/2014 2.250% 08/15/2019 1.83 2.13 Page 14 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Security Type/Description Next Call Market YTMEffective Duration Corporate Note 2.21 (133.69)(889.10) 26,708.40 106.83 GOLDMAN 25,000.00 12189TBC7BURLINGTON NRTH CORP DTD 09/24/2009 4.700% 10/01/2019 1.70 2.21 2.49 379.97 382.50 50,362.50 100.73 CITIGRP 50,000.00 172967LF6CITIGROUP INC DTD 01/10/2017 2.450% 01/10/2020 2.16 2.49 2.59 275.62 279.10 50,245.60 100.49 HSBC 50,000.00 594918BV5MICROSOFT CORP DTD 02/06/2017 1.850% 02/06/2020 1.66 2.59 2.65 242.54 245.01 30,213.81 100.71 MERRILL 30,000.00 0258M0EE5AMERICAN EXPRESS CREDIT CORP NOTES DTD 03/03/2017 2.200% 03/03/2020 1.93 2.65 2.66 144.85 145.35 25,138.85 100.56 CITIGRP 25,000.00 25468PDP8WALT DISNEY COMPANY CORP NOTES DTD 03/06/2017 1.950% 03/04/2020 1.74 2.66 2.78 138.73 140.10 75,105.60 100.14 MERRILL 75,000.00 89236TDU6TOYOTA MOTOR CREDIT CORP DTD 04/17/2017 1.950% 04/17/2020 1.90 2.78 2.91 37.43 37.43 25,022.93 100.09 JPM_CHAS 25,000.00 437076BQ4HOME DEPOT INC CORP NOTES DTD 06/05/2017 1.800% 06/05/2020 1.77 2.91 2.82 1,431.90 1,257.40 101,754.40 101.75 05/23/20JPMCHASE 100,000.00 46625HLW8JP MORGAN CHASE & CO CORP NT (CALLABLE) DTD 06/23/2015 2.750% 06/23/2020 2.15 2.85 3.31 (266.86)(513.80) 50,594.20 101.19 UBS AG 50,000.00 94974BGR5WELLS FARGO & COMPANY NOTES DTD 12/07/2015 2.550% 12/07/2020 2.20 3.31 3.67 (302.40)(534.90) 50,614.10 101.23 KEYBAN 50,000.00 06406FAA1BANK OF NEW YORK MELLON CORP DTD 02/19/2016 2.500% 04/15/2021 2.17 3.67 3.76 (33.15)(29.80) 24,953.70 99.81 SCOTIA 25,000.00 05531FAV5BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 2.10 3.76 3.79 (145.58)(127.00) 24,778.50 99.11 GOLDMAN 25,000.00 857477AV5STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 2.18 3.79 4.27 1,219.11 1,228.90 51,008.40 102.02 MITSU 50,000.00 24422ETL3JOHN DEERE CAPITAL CORP NOTES DTD 01/06/2017 2.650% 01/06/2022 2.19 4.27 3,518.07 1.79 2.19 4,709.54 1,173,429.67 1,165,000.00 Security Type Sub-Total 2.19 Certificate of Deposit 0.46 (30.50)(30.50) 99,969.50 99.97 GOLDMAN 100,000.00 83050FBG5SKANDINAVISKA ENSKILDA BANKEN NY CD DTD 11/17/2015 1.480% 11/16/2017 1.51 0.46 Page 15 For the Month Ending May 31, 2017Managed Account Fair Market Value & Analytics Value On Cost Amort Cost to WorstCUSIPBrokerDate PriceDated Date/Coupon/Maturity Par at Mkt Market Unreal G/L Unreal G/L Duration CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Security Type/Description Next Call Market YTMEffective Duration Certificate of Deposit 0.46 78.70 78.70 100,078.70 100.08 HSBC 100,000.00 40428AR58HSBC BANK USA NA CD DTD 11/18/2015 1.540% 11/17/2017 1.39 0.46 0.77 181.60 181.60 100,181.60 100.18 RBC CAP 100,000.00 78009NZZ2ROYAL BANK OF CANADA NY CD DTD 03/15/2016 1.700% 03/09/2018 1.43 0.77 1.50 570.60 570.60 100,570.60 100.57 MERRILL 100,000.00 65558LWA6NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 0.79 1.50 1.60 (160.20)(160.20) 99,839.80 99.84 MERRILL 100,000.00 86958JHB8SVENSKA HANDELSBANKEN NY LT CD DTD 01/12/2017 1.890% 01/10/2019 1.53 1.60 1.68 739.70 739.70 100,739.70 100.74 GOLDMAN 100,000.00 06427KRC3BANK OF MONTREAL CHICAGO CERT DEPOS DTD 02/09/2017 1.880% 02/07/2019 1.09 1.68 1.83 66.50 66.50 100,066.50 100.07 MERRILL 100,000.00 06417GUE6BANK OF NOVA SCOTIA HOUSTON LT CD DTD 04/06/2017 1.910% 04/05/2019 1.71 1.83 1,446.40 1.35 1.19 1,446.40 701,446.40 700,000.00 Security Type Sub-Total 1.19 5,135,690.34 5,148,781.13 (17,264.82) (10,059.07) 2.60 1.56 Managed Account Sub-Total 2.60 Money Market Fund 0.00 0.00 0.00 190,311.09 1.00 190,311.09 CAMP Pool 0.00 190,311.09 190,311.09 0.00 0.00 0.00 Money Market Sub-Total 0.00 Total Investments $5,359,761.95 $20,669.73 $5,339,092.22 Accrued Interest Securities Sub-Total $5,326,001.43 ($17,264.82) ($10,059.07) 2.60 1.57% 2.60 Bolded items are forward settling trades. Page 16 For the Month Ending May 31, 2017Managed Account Security Transactions & Interest CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method BUY 05/12/17 FEDERAL HOME LOAN BANK AGENCY NOTES DTD 05/12/2017 1.375% 05/28/2019 3130ABF92 (49,905.50) 0.00 (49,905.50) 50,000.00 05/11/17 06/05/17 HOME DEPOT INC CORP NOTES DTD 06/05/2017 1.800% 06/05/2020 437076BQ4 (24,985.50) 0.00 (24,985.50) 25,000.00 05/24/17 0.00 (74,891.00)(74,891.00) 75,000.00 Transaction Type Sub-Total INTEREST 05/25/17 FNMA SERIES 2015-M15 ASQ2 DTD 11/01/2015 1.898% 01/01/2019 3136AQSW1 0.00 39.54 39.54 25,000.00 05/01/17 05/25/17 FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 3136ANJY4 0.00 33.40 33.40 24,608.50 05/01/17 05/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 0.00 85.20 85.20 44,305.79 05/01/17 05/03/17 APPLE INC GLOBAL NOTES DTD 05/03/2013 1.000% 05/03/2018 037833AJ9 0.00 275.00 275.00 55,000.00 05/03/17 05/10/17 BRANCH BANKING & TRUST CORP NOTE DTD 05/10/2016 2.050% 05/10/2021 05531FAV5 0.00 256.25 256.25 25,000.00 05/10/17 05/15/17 FHLB NOTES DTD 11/17/2016 1.375% 11/15/2019 3130AA3R7 0.00 951.81 951.81 140,000.00 05/15/17 05/19/17 STATE STREET CORP NOTES DTD 05/19/2016 1.950% 05/19/2021 857477AV5 0.00 243.75 243.75 25,000.00 05/19/17 05/30/17 NORDEA BANK FINLAND NY CD DTD 12/05/2016 1.760% 11/30/2018 65558LWA6 0.00 860.44 860.44 100,000.00 05/30/17 05/31/17 US TREASURY NOTES DTD 06/02/2014 2.000% 05/31/2021 912828WN6 0.00 2,000.00 2,000.00 200,000.00 05/31/17 05/31/17 US TREASURY NOTES DTD 06/02/2014 1.500% 05/31/2019 912828WL0 0.00 375.00 375.00 50,000.00 05/31/17 05/31/17 US TREASURY NOTE DTD 12/02/2013 2.000% 11/30/2020 912828A42 0.00 1,750.00 1,750.00 175,000.00 05/31/17 05/31/17 US TREASURY NOTES DTD 05/31/2016 1.375% 05/31/2021 912828R77 0.00 687.50 687.50 100,000.00 05/31/17 Page 17 For the Month Ending May 31, 2017Managed Account Security Transactions & Interest CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Transaction Type Trade CUSIPSecurity DescriptionSettle Par Proceeds Principal Accrued Interest Total Cost Realized G/L Realized G/L Sale Amort Cost Method 7,557.89 7,557.89 0.00 963,914.29 Transaction Type Sub-Total PAYDOWNS 05/25/17 FNMA SERIES 2015-M7 ASQ2 DTD 04/01/2015 1.550% 04/01/2018 3136ANJY4 499.71 0.00 499.71 (5.00) 0.00 499.71 05/01/17 05/25/17 FANNIE MAE SERIES 2015-M13 ASQ2 DTD 10/01/2015 1.646% 09/01/2019 3136AQDQ0 2,724.24 0.00 2,724.24 (27.28) 0.00 2,724.24 05/01/17 0.00 0.00 (32.28) 3,223.95 3,223.95 3,223.95 Transaction Type Sub-Total (71,667.05) 7,557.89 (64,109.16)(32.28) 0.00 Managed Account Sub-Total Total Security Transactions ($32.28)($64,109.16)$7,557.89 ($71,667.05)$0.00 Bolded items are forward settling trades. Page 18 For the Month Ending May 31, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate CAMP Pool 227,323.31 Opening Balance 05/01/17 05/01/17 Purchase - Interest 912828D23 1.00 609.38 227,932.69 05/01/17 05/01/17 Purchase - Interest 912828Q78 1.00 893.75 228,826.44 05/01/17 05/01/17 Purchase - Interest 912828WC0 1.00 875.00 229,701.44 05/03/17 05/03/17 Purchase - Interest 037833AJ9 1.00 275.00 229,976.44 05/10/17 05/10/17 Purchase - Interest 05531FAV5 1.00 256.25 230,232.69 05/12/17 05/12/17 Redemption - Principal 3130ABF92 1.00 (49,905.50) 180,327.19 05/15/17 05/15/17 Purchase - Interest 3130AA3R7 1.00 951.81 181,279.00 05/19/17 05/19/17 Purchase - Interest 857477AV5 1.00 243.75 181,522.75 05/24/17 05/24/17 IP Fees April 2017 1.00 (395.09) 181,127.66 05/24/17 05/24/17 U.S. Bank Fees March 2017 1.00 (36.51) 181,091.15 05/25/17 05/25/17 Purchase - Interest 3136ANJY4 1.00 33.40 181,124.55 05/25/17 05/25/17 Purchase - Interest 3136AQDQ0 1.00 85.20 181,209.75 05/25/17 05/25/17 Purchase - Interest 3136AQSW1 1.00 39.54 181,249.29 05/25/17 05/25/17 Purchase - Principal 3136ANJY4 1.00 499.71 181,749.00 05/25/17 05/25/17 Purchase - Principal 3136AQDQ0 1.00 2,724.24 184,473.24 05/30/17 05/30/17 Purchase - Interest 65558LWA6 1.00 860.44 185,333.68 05/31/17 05/31/17 Purchase - Interest 912828A42 1.00 1,750.00 187,083.68 05/31/17 05/31/17 Purchase - Interest 912828R77 1.00 687.50 187,771.18 05/31/17 05/31/17 Purchase - Interest 912828WL0 1.00 375.00 188,146.18 05/31/17 05/31/17 Purchase - Interest 912828WN6 1.00 2,000.00 190,146.18 05/31/17 06/01/17 Accrual Income Div Reinvestment - Distributions 1.00 164.91 190,311.09 Page 19 For the Month Ending May 31, 2017Account Statement CITY OF LAKE ELSINORE - LAKE ELSINORE-SUCCESSOR AGENCY Total Settlement Dollar AmountShare or Trade Shares OwnedDate Transaction Description of TransactionUnit PriceDate 190,311.09 190,311.09 190,311.09 199,436.03 290.58 0.00 (1,308,536.23) 1,479,253.21 19,594.11 164.91 190,311.09 0.00 (50,337.10) 13,324.88 227,323.31 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 May January-May 0.97% Page 20