May 2017 Treasurer's Monthly Investment Report

MAY2017

FromtheOfficeof
SHARIL.FREIDENRICH,CPA,CCMT,CPFA,ACPFIM
OrangeCountyTreasurer

COUNTY OF ORANGE

TREASURER’S INVESTMENT REPORT
For May 31, 2017

Table of Contents

I. Memo to Board of Supervisors-Executive Summary 3
5
II. Investment Pool Summary, Statistics and Charts, Fund Composition, Top Ten Participants 12

III. Investment Objectives 21
22
- Safety - Investment Type/Credit Quality/Issuer Concentration/Issuer List 23
- Liquidity - Maturities Distribution
- Yield - Interest Rate Yield 26

IV. Cash Availability Projection per California Government Code Section 53646(b)(3) 66
97
V. Statement of Accountability
138
VI. Investment Policy and Treasury Oversight Committee (TOC) Bylaws Compliance Summary
- Investment Policy Compliance Summary
- Investment Policy and TOC Bylaws Compliance Summary
- Noncompliance Detail

VII. Portfolio Investment Inventory with Market Values
- Extended Fund, County and Educational Money Market Funds
- John Wayne Airport Investment Pool/Non-pooled Investments
- Investments with Trustees - CEO/Public Finance
- Investments with Trustees - John Wayne Airport
- Portfolio Holdings of Debt Issued by Pool Participants
- Temporary Transfers to School Districts

VIII. Detailed Transaction Reports
- Transaction Report by Fund for all Funds
- Money Market Mutual Fund and LAIF Transactions

IX. Audit Reports
- Compliance Monitoring of the Treasurer’s Investment Portfolio for the Quarter Ended March 31, 2017
- Report on Audit of the Schedule of Assets Held by the County Treasury as of June 30, 2016
- Report on Review of the Schedule of Assets Held by the County Treasury as of December 31, 2016
- Management Letter on Review of the Schedule of Assets Held by the County Treasury as of September 30,
2016

X. Distribution List

2

3

December, 2016 and March, 2017 meetings. On June 14, 2017, the FOMC raised the benchmark Federal Funds rate by 0.25
percent resulting in a new target range of 1.00 percent to 1.25 percent.

The 10-year Treasury rate fell from 2.29% in April to 2.21% in May. The short-term 90-day T-bill ended the month at 0.98%,
up from 0.80% in April and the rate on the 2-year Treasury note was unchanged at 1.28% at the end of May.

INVESTMENT INTEREST YIELDS AND FORECAST
The current gross interest yield year-to-date for fiscal year 2016/2017 is 0.85% for the OCIP and 0.86% for the OCEIP. The
current net yield for fiscal year 2016/2017 is 0.79% and 0.80% respectively. The forecasted net yield for fiscal year 2016/2017
for both OCIP and OCEIP will exceed the net forecasted yield of .77%.

APPORTIONMENT OF COMMINGLED POOL INTEREST EARNINGS
Each month, the County Treasurer apportions the accrued interest earnings to each pool participant. As of the first business
day of the following month accrued, but unpaid, interest earnings are added to pool participants’ average balances in
determining a participant’s relative share of the pool’s monthly earnings. The actual cash distribution will generally be paid in
the month following. The May, 2017 interest apportionment is expected to be paid by June 30, 2017. The investment
administrative fee for fiscal year 2016/2017 is estimated to be lower than 6.5 basis points, primarily due to higher average
balances for the two investment pools than originally estimated and higher cost savings during the year. The monthly
investment fee charged in May, 2017 was reduced from 6.5 basis points to 4.5 basis points.

TEMPORARY TRANSFERS
The County Treasurer, as required by Constitution Article XVI, Section 6, and per the Board of Supervisor’s Resolution 15-
016, is authorized to make temporary transfers to school districts to address their short-term cash flow needs. The loans are
secured by tax receipts to be received by the County Treasurer, as the banker for the school districts. There are no temporary
transfers outstanding as of May 31, 2017.

PORTFOLIO HOLDINGS OF DEBT ISSUED BY POOL PARTICIPANTS
Under guidelines outlined in the current IPS, the County Treasurer may invest in A or above rated securities issued by
municipalities. Municipal debt issued by the County of Orange is exempt from this credit rating requirement. The Investment
Pools may invest no more than 5% of pool assets in any one issuer, with the exception of the County of Orange which has a
10% limit. The Investment Pools have a total market value of $388.3 million in County of Orange debt, which represents
approximately 4.3% of pooled assets. Prior to purchasing any pool participant debt, a standardized credit analysis is performed.

COMPLIANCE SUMMARY
The investment portfolios had no compliance exceptions for the month of May 2017. The Auditor-Controller issued their report
on Compliance Monitoring of the Treasurer’s Investment Portfolio for the Quarter Ended March 31, 2017 that identified no
compliance deficiencies. The Auditor-Controller issued their Report on Audit of the Schedule of Assets Held by the County
Treasury (Schedule) as of June 30, 2016 stating that the Schedule was presented fairly in accordance with the modified cash-
basis of accounting. The Auditor-Controller issued their Report on Review of the Schedule of Assets Held by the County
Treasury as of December 31, 2016 stating that they were not aware of any material modifications that should be made to the
financial statements prepared on a modified cash-basis of accounting except for the omission of all disclosures. The County
Treasurer’s current practice is to only prepare all required disclosures only in the Schedule for each fiscal year-end and not for
the quarterly reviews. Finally, the Auditor-Controller issued a Management Letter dated May 31, 2017 that identified a control
deficiency regarding several bank accounts that were reported by the County Treasurer as Treasury assets, but not included in
the County Treasurer’s cash and investment accounts due to a system limitation. The County Treasurer plans to add and track
these accounts as part of a system upgrade in 2017.

CREDIT UPDATE
During May, there were two changes to the Treasurer’s Approved Issuer List. Royal Bank of Canada and Toronto Dominion
Bank were both downgraded one notch by Moody’s, from Aa3 to A1 and Aa1 to Aa2 respectively, and both issuer ratings
remain on Negative Outlook. Both issuers had been already put on hold by the Credit Investment Committee in July, 2016 and
March, 2017 respectively. An ongoing credit analysis of all issuers owned in the Investment Pools is reviewed on a daily,
monthly, quarterly, and annual basis.

I certify that this report includes all pooled and non-pooled investments as of May 31, 2017 and is in conformity with all State
laws and the IPS approved by the Board of Supervisors on November 22, 2016. The investments herein shown provide
adequate liquidity to meet the next six months of projected cash flow requirements. I am available if you have any questions on
this Investment Report at (714) 834-7625.

Enclosures

cc: Distribution List

4

ORANGE COUNTY TREASURER-TAX COLLECTOR
SUMMARY OF INVESTMENT DATA
INVESTMENT TRENDS

MAY 2017 APRIL 2017 INCREASE NET CHANGE MAY 2016 INCREASE NET CHANGE
(DECREASE) % (DECREASE) %

Orange County Investment Pool (OCIP)

End Of Month Market Value1 $ 4,448,425,471 $ 4,813,646,800 $ (365,221,329) -7.59% $ 4,081,055,802 $ 367,369,669 9.00%
(365,580,945) -7.58% $ 9.22%
End Of Month Book Value $ 4,454,297,789 $ 4,819,878,734 $ (683,169,323) -12.86% $ 4,078,244,062 $ 376,053,727 10.00%
1.06% $ 9.89%
Monthly Average Balance2 $ 4,628,711,980 $ 5,311,881,303 $ 43,761,538 -3.97% $ 4,207,856,376 $ 420,855,604 52.44%
(161,851) 9.95% 46.15%
Year-To-Date Average Balance $ 4,191,096,602 $ 4,147,335,065 $ 0.09% 1.67% 3,813,750,709 $ 377,345,893 41.61%
0.01% 0.00% 30.43%
Monthly Accrued Earnings3 $ 3,913,084 $ 4,074,936 $ 0.00% 8.25% 2,566,951 $ 1,346,134 -9.07%
26
Monthly Net Yield3 0.95% 0.86% 0.65% 0.30%
Year-To-Date Net Yield3
Annual Estimated Gross Yield4 0.79% 0.78% 0.56% 0.23%

0.84% 0.84% 0.64% 0.20%

Weighted Average Maturity (WAM) 341 315 375 (34)

Orange County Educational Investment Pool (OCEIP)

End Of Month Market Value1,2 $ 4,631,728,793 $ 4,809,479,447 $ (177,750,654) -3.70% $ 4,179,978,557 $ 451,750,236 10.81%
End Of Month Book Value2 $ 4,637,838,311 $ 4,816,002,165 $ (178,163,854) -3.70% $ 11.03%
187,389,766 4.17% $ 4,176,962,111 $ 460,876,200
1.42% $ 8.93%
Monthly Average Balance $ 4,683,368,969 $ 4,495,979,203 $ 57,602,378 7.72% $ 4,299,345,230 $ 384,023,739 7.89%
285,449 2.36% 55.50%
Year-To-Date Average Balance $ 4,107,345,192 $ 4,049,742,814 $ 0.02% 1.65% 3,807,051,947 $ 300,293,244 51.43%
0.01% 0.00% 39.44%
Monthly Accrued Earnings3 $ 3,980,638 $ 3,695,190 $ 0.00% 4.60% 2,559,818 $ 1,420,821 28.64%
Monthly Net Yield3 15 -4.48%
Year-To-Date Net Yield3 0.95% 0.93% 0.63% 0.32%
Annual Estimated Gross Yield4
0.80% 0.79% 0.57% 0.23%

0.84% 0.84% 0.65% 0.19%

Weighted Average Maturity (WAM) 341 326 357 (16)

1 Market values provided by Bloomberg and Northern Trust. The OCIP and OCEIP market values in April and May 2017 are slightly lower than book values due to the recent Federal Reserve short-term rate increases, but both have a
net asset value of 1.00 and have sufficient liquidity to meet projected cash flow needs.

2 In May 2017, OCIP monthly average balance decreased from the prior month primarily due to distributions of secured property tax receipts. OCIP monthly average balance increased from May 2016 priimarily due to higher secured
property tax receipts. OCEIP market value and book value increased from the prior year primarily due to proceeds from a significant number of school and community college districts issuing bonds.

3 In May 2017, OCIP and OCEIP monthly accrued earnings, monthly and year-to-date net yields were higher than May 2016 due to increases in the Federal Reserve short-term rate of 0.5 percent and investments in higher yielding
securities, and higher average pool balances.

4 The OCIP and OCEIP Annual Estimated Gross Yield for May 2016 is reported at the actual annual gross yield for FY15/16, and their Annual Estimated Gross Yield for May 2017 is reported at the original forecasted gross yields of
0.84% which is expected to be exceeded. The Annual Estimated Gross Yield for FY 16/17 is higher than FY 15/16 due to increases of the Federal Reserve short-term rate of 0.5 percent, reductions in excess liquidity, and improved
cash management while maintaining the same high credit quality of securities.

5

ORANGE COUNTY TREASURER-TAX COLLECTOR

INVESTMENT POOL STATISTICS
FOR THE MONTH ENDED: MAY 31, 2017

INVESTMENT STATISTICS - By Investment Pool*

Average Days to Daily Yield as of MONTHLY Gross Yield Current NAV

Maturity 05/31/17

DESCRIPTION CURRENT BALANCES
COMBINED POOL BALANCES (includes
the Extended Fund) MARKET Value $ 4,448,425,471 341 1.01% 1.00% 1.00
COST (Capital) $ 4,460,612,778
Orange County Investment Pool (OCIP) MONTHLY AVG Balance $ 4,628,711,980
4,454,297,789
Orange County Educational Investment BOOK Value $
Pool (OCEIP)
MARKET Value $ 4,631,728,793 341 1.02% 1.00% 1.00
DESCRIPTION COST (Capital) $ 4,644,877,141
Specific Investment MONTHLY AVG Balance $ 4,683,368,969
Funds: 4,637,838,311
100, 283, 505, 650 FVSD BOOK Value $

INVESTMENT STATISTICS - Non Pooled Investments ** INVESTMENT BALANCES AT COST
CURRENT BALANCE

MARKET Value $ 153,813,778 General Fund - Non AMT Restricted $ 67,458,736
COST (Capital) $ 153,839,553 John Wayne Airport Investment Fund 50,434,460
MONTHLY AVG Balance $ 153,827,738 Repurchase Agreement
153,802,439 Fountain Valley School District Fund 40 1,081,500
BOOK Value $ 34,864,857

$ 153,839,553
INVESTMENTS & CASH
MONTH END TOTALS

INVESTMENTS & CASH $ 1,559,352,608 OCIP $ 4,462,332,656
COUNTY MONEY MARKET FUND (OCMMF) 1,719,878 OCEIP 4,652,676,960
153,839,553
County Money Market Fund 5,914,800,170 Specific Investment Funds 19,013,474
County Cash Non Pooled Cash
EXTENDED FUND
EDUCATIONAL MONEY MARKET FUND (OCEMMF) 1,631,337,141
Educational Money Market Fund 7,799,819
Educational Cash
NON POOLED INVESTMENTS & CASH 153,839,553
Non Pooled Investments 19,013,474
Non Pooled Cash
$ 9,287,862,643
$ 9,287,862,643

KEY POOL STATISTICS

INTEREST RATE YIELD WEIGHTED AVERAGE MATURITY (WAM)
56
OCMMF - MONTHLY GROSS YIELD 0.81% OCMMF

OCEMMF - MONTHLY GROSS YIELD 0.82% OCEMMF 57

JOHN WAYNE AIRPORT - MONTHLY GROSS YIELD 0.78% JOHN WAYNE AIRPORT WAM 71
0.79% LGIP WAM (Standard & Poors) 42
OCIP - YTD NET YIELD***

OCEIP - YTD NET YIELD*** 0.80%

90-DAY T-BILL YIELD - MONTHLY AVERAGE 0.90%

6

ORANGE COUNTY TREASURER-TAX COLLECTOR

INVESTMENT POOL STATISTICS
FOR THE MONTH ENDED: MAY 31, 2017

INVESTMENT STATISTICS - By Investment Fund****

Average Days to Daily Yield as of MONTHLY Gross Yield Current NAV
Maturity 05/31/17 1.00

DESCRIPTION CURRENT BALANCES
County Money Market Fund (OCMMF)
MARKET Value $ 1,559,912,721 56 0.83% 0.81%
COST (Capital) $ 1,559,352,608
MONTHLY AVG Balance $ 1,723,379,271
1,560,003,020
BOOK Value $

MARKET Value $ 1,631,429,543 57 0.83% 0.82% 1.00
COST (Capital) $ 1,631,337,141
Educational Money Market Fund MONTHLY AVG Balance $ 1,669,828,969
(OCEMMF) 1,631,533,276
BOOK Value $

MARKET Value $ 5,888,812,000 494 1.12% 1.10% 1.00
COST (Capital) $ 5,914,800,170
Extended Fund MONTHLY AVG Balance $ 5,918,872,709
5,900,599,804
BOOK Value $

ALLOCATION OF EXTENDED FUND

Extended Fund MARKET Value $ 2,888,512,750 494 1.12% 1.10% 1.00
OCIP Share COST (Capital) $ 2,901,260,170 1.12% 1.10% 1.00
MONTHLY AVG Balance $ 2,905,332,709
OCEIP Share 2,894,294,769
BOOK Value $
Modified Duration
MARKET Value $ 3,000,299,250 494
COST (Capital) $ 3,013,540,000
MONTHLY AVG Balance $ 3,013,540,000
3,006,305,035
BOOK Value $

1.34

* The Combined Pool Balances include the County and Educational Money Market Funds and their respective portions of the Extended Fund.
** Specific non pooled investments are reported in compliance with Government Code Section 53646 (b)(1). Detailed descriptions are included in the inventory listing in

Section VII of this report.

*** The Net Yield differs from the monthly average yield as it includes the Treasury administrative fees.

**** Book Value is computed as Cost reduced by amortization of premium and increased by the accretion of discount of the Investment Portfolio. Net Asset Value (NAV) is equal to
Market Value divided by Book Value.

7

ORANGE COUNTY INVESTMENT POOL
COMPOSITION BY FUND
AS OF MAY 31, 2017

FUNDS BALANCE VOLUNTARY  INVESTMENT TRUST ‐ OTHER TRUST FUNDS
PARTICIPANTS SCHOOL BONDS 3%
SPECIAL REVENUE $ 1,473,144,282 7%
AGENCY 790,923,353 2% SPECIAL REVENUE
ENTERPRISE 703,595,614 33%
GENERAL FUND 672,100,412 CHILD/FAM COMM OF 
INVESTMENT TRUST - SCHOOL BONDS 302,752,025 ORANGE COUNTY
INTERNAL SERVICE FUNDS 227,010,010 1%
VOLUNTARY PARTICIPANTS 115,657,744
CHILD/FAM COMM OF ORANGE COUNTY 46,647,760 INTERNAL SERVICE 
OTHER TRUST FUNDS 130,501,456 FUNDS
5%
TOTAL $ 4,462,332,656

GENERAL FUND ENTERPRISE
15% 16%

AGENCY
18%

8

ORANGE COUNTY INVESTMENT POOL
COMPOSITION BY FUND
AS OF MAY 31

MILLIONS $1,400
$1,200
$1,000

$800
$600
$400
$200

$0

Fund Class

Balance as of 5/31/16 Balance as of 5/31/17

9

ORANGE COUNTY INVESTMENT POOL
TOP TEN POOL PARTICIPANTS
AS OF MAY 31, 2017

OC ROAD WORKERS 
4% COMPENSATION

FUND # FUND NAME BALANCE OCWR LANDFILL  4%
POST‐CLOSE MAINT COUNTY GENERAL
100 COUNTY GENERAL $ 652,369,421 29%
277,477,545 6%
400 OC FLOOD 274,333,492 OC FLOOD
185,830,387 JOHN WAYNE  14%
13Y MENTAL HEALTH SERVICES ACT 183,290,881 AIRPORT 
182,499,287 MENTAL HEALTH 
161,024,826 OPERATING SERVICES ACT
132,094,636 7% 12%

404 OC FLOOD - CAPITAL 85,419,263
81,164,967
664 EDUCATIONAL REVENUE AUGMENTATION
2,215,504,705
299 OC WASTE & RECYCLING ENTERPRISE OC WASTE & 
RECYCLING 
280 JOHN WAYNE AIRPORT OPERATING ENTERPRISE

279 OCWR LANDFILL POST-CLOSE MAINT 8%

115 OC ROAD EDUCATIONAL 
REVENUE 
293 WORKERS COMPENSATION
AUGMENTATION
TOTAL $ 8%
OC FLOOD ‐
CAPITAL
8%

10

ORANGE COUNTY EDUCATIONAL INVESTMENT POOL
TOP TEN POOL PARTICIPANTS
AS OF MAY 31, 2017

ORANGE USD GARDEN GROVE 
6% USD
20%
TUSTIN USD
DISTRICT # SCHOOL DISTRICT $ BALANCE 7%

72 GARDEN GROVE USD 592,426,050 RANCHO  COAST CCD
90 COAST CCD 431,968,300 SANTIAGO CCD 14%
96 SOUTH ORANGE COUNTY CCD 316,163,687
75 IRVINE USD 270,212,035 7%
88 NORTH ORANGE COUNTY CCD 260,141,907
94 COUNTY SCHOOL SERVICES 259,889,446 SANTA ANA USD
84 SANTA ANA USD 246,858,036 8%
92 RANCHO SANTIAGO CCD 225,036,734
87 TUSTIN USD 213,966,864 COUNTY SCHOOL 
80 ORANGE USD 193,700,596 SERVICES
9%
TOTAL $ 3,010,363,655
NORTH ORANGE 
COUNTY CCD IRVINE USD SOUTH ORANGE 
9% 9% COUNTY CCD
11%

11

ORANGE COUNTY TREASURER - TAX COLLECTOR
BY INVESTMENT TYPE - By Percentage Holdings

May 31, 2017

100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%

Orange County Investment Pool Orange County Educational Investment Pool John Wayne Airport Investment Fund

Orange County Investment Pool % Orange County Educational Investment Pool % John Wayne Airport Investment Fund %
In Thousands In Thousands In Thousands
66.04%
U. S. GOVERNMENT AGENCIES $ 2,937,585 15.88% U. S. GOVERNMENT AGENCIES $ 2,835,679 61.23% U. S. GOVERNMENT AGENCIES $ 33,808 67.05%
706,496 U. S. TREASURIES 918,314 19.83% U. S. TREASURIES 13,983 27.73%
U. S. TREASURIES 347,944 7.82% MEDIUM-TERM NOTES 358,213 MONEY MARKET MUTUAL FUNDS
MEDIUM - TERM NOTES 190,451 4.28% MUNICIPAL DEBT 197,823 7.73% 2,631 5.22%
149,090 3.35% CERTIFICATES OF DEPOSIT 101,504 4.27%
MUNICIPAL DEBT 99,323 2.24% MONEY MARKET MUTUAL FUNDS 201,981 2.19%
MONEY MARKET MUTUAL FUNDS 17,536 0.39% LOCAL AGENCY INVESTMENT FUND 18,215 4.36%
CERTIFICATES OF DEPOSIT 0.39%
LOCAL AGENCY INVESTMENT FUND

$ 4,448,425 100.00% $ 4,631,729 100.00% $ 50,422 100.00%

Calculated Using Market Value at 5/31/2017 12













ORANGE COUNTY MONEY MARKET POOLS vs SELECTED MONEY MARKET YIELDS

(INTEREST RATE YIELD)
For The Period May 2007 to May 2017

6.00

5.00

4.00

3.00

2.00

1.00

0.00

SCHOOLS COUNTY 90-DAY T-BILL OCIP-NET

ORANGE COUNTY MONEY MARKET POOLS vs SELECTED AVERAGES

WEIGHTED AVERAGE MATURITY (WAM)
For The Period May 2007 to May 2017

100

90

80

70

60

50

40

30

20

10

SCHOOLS COUNTY LGIP

•As of May 31, 2017, S&P LGIP – 0.82; S&P LGIP WAM -42; 90-Day T-Bill – 0.90; OCIP – Net – 0.79

19

ORANGE COUNTY TREASURER-TAX COLLECTOR
INVESTMENT POOL YIELDS
June 1, 2016 - May 31, 2017

PERIOD ENDING - MONTH / YEAR MONTH END EARNINGS GROSS MONTH
MARKET FOR MONTH AVERAGE END WAM
Current Month - May 2017 VALUE YIELD FOR
County Pool - Money Market Fund
Educational Pool - Money Market Fund MONTH
Extended Fund
$ 1,559,912,721 $ 1,190,993 0.81% 56
April 2017 $ 1,631,429,543 $ 1,157,267 0.82% 57
County Pool - Money Market Fund $ 5,888,812,000 $ 5,545,463 1.10% 494
Educational Pool - Money Market Fund
Extended Fund $ 1,928,898,078 $ 1,427,058 0.72% 56
$ 1,810,058,617 $ 946,118 0.78% 56
March 2017 $ 5,884,169,552 $ 1.11% 488
County Pool - Money Market Fund 5,396,950
Educational Pool - Money Market Fund
Extended Fund $ 1,742,756,895 $ 707,012 0.60% 37
$ 1,278,498,097 $ 590,948 0.66% 52
February 2017 $ 5,874,437,878 $ 5,301,507 1.06% 511
County Pool - Money Market Fund
Educational Pool - Money Market Fund $ 1,420,356,645 $ 588,259 0.58% 48
Extended Fund $ 1,036,250,434 $ 539,611 0.60% 50
$ 5,876,196,444 $ 5,010,710 1.11% 511
January 2017
County Pool - Money Market Fund $ 1,243,000,623 $ 626,367 0.53% 58
Educational Pool - Money Market Fund $ 1,309,895,173 $ 772,307 0.57% 48
Extended Fund $ 5,872,382,548 $ 4,846,757 0.99% 496

December 2016 $ 1,787,873,393 $ 656,440 0.43% 35
County Pool - Money Market Fund $ 1,995,546,428 $ 627,945 0.56% 35
Educational Pool - Money Market Fund $ 5,491,524,471 $ 4,550,093 0.96% 510
Extended Fund
$ 1,263,748,930 $ 397,303 0.38% 44
November 2016 $ 1,123,417,366 $ 433,001 0.53% 57
County Pool - Money Market Fund $ 5,538,702,888 $ 4,384,832 0.96% 515
Educational Pool - Money Market Fund
Extended Fund $ 1,262,431,238 $ 351,585 0.41% 49
$ 978,305,500 $ 469,767 0.51% 56
October 2016 $ 5,497,309,348 $ 4,298,117 0.92% 504
County Pool - Money Market Fund
Educational Pool - Money Market Fund $ 751,801,815 $ 278,284 0.46% 59
Extended Fund $ 1,220,526,096 $ 498,234 0.46% 55
$ 5,494,463,600 $ 4,191,758 0.93% 501
September 2016
County Pool - Money Market Fund $ 800,306,654 $ 295,786 0.49% 53
Educational Pool - Money Market Fund $ 1,221,174,892 $ 516,653 0.46% 56
Extended Fund $ 5,459,349,411 $ 4,074,594 0.90% 484

August 2016 $ 686,861,455 $ 325,471 0.45% 56
County Pool - Money Market Fund $ 1,433,126,604 $ 519,773 0.41% 55
Educational Pool - Money Market Fund $ 5,327,781,739 $ 4,052,122 0.89% 501
Extended Fund
$ 928,467,500 $ 418,507 0.44% 56
July 2016 $ 1,611,309,522 $ 519,651 0.43% 57
County Pool - Money Market Fund $ 5,387,530,673 $ 4,192,339 0.95% 512
Educational Pool - Money Market Fund
Extended Fund Average Month YTD YTD YTD
End Market Value Interest Income Gross Yield Average
June 2016
County Pool - Money Market Fund Balance $ 32,941,262 0.85% 362
Educational Pool - Money Market Fund $ 4,170,892,768 $ 32,627,821 0.86% 356
Extended Fund $ 4,164,680,602
20
Fiscal Year July 1, 2016 - June 30, 2017

Orange County Investment Pool
Orange County Educational Investment Pool

ORANGE COUNTY TREASURER-TAX COLLECTOR

CASH AVAILABILITY PROJECTION

FOR THE SIX MONTHS ENDING NOVEMBER 30, 2017

Government Code Section 53646 (b) (3), effective on January 1, 1996, requires the Treasurer-Tax Collector to
include a statement in the investment report, denoting the ability of the Orange County Investment Pool (OCIP)
and the Orange County Educational Investment Pool (OCEIP) to meet their expenditure requirements for the
next six months.

The OCIP and OCEIP consist of funds in the treasury deposited by various entities required to do so by
statute, as well as those entities voluntarily depositing monies in accordance with Government Code Section
53684.

The Treasurer-Tax Collector is required to disburse monies placed in the treasury as directed by the Auditor-
Controller and the Department of Education, except for the making of legal investments, to the extent funds
are transferred to one or more clearing funds in accordance with Government Code Section 29808.

The Treasurer-Tax Collector, in her projection of cash availability to disburse funds as directed by the Auditor-
Controller and the Department of Education, is relying exclusively on historical activity involving deposits and
disbursements and future cash flow projections. No representation is made as to an individual depositor's
ability to meet their anticipated expenditures with anticipated revenues.

The Cash Availability Projection for the six months ending November 30, 2017, indicates the ability of the pools
to meet projected cash flow requirements. However, there will usually be differences between projected and
actual results because events and circumstances frequently do not occur as expected and those differences
may be material.

ORANGE COUNTY INVESTMENT POOL

Investment Projected Projected Cumulative
Available Cash
Month Maturities Deposits Disbursements
1,719,878
May 2017 - Ending Cash $ 349,529,333
509,343,493
June $ 856,069,088 $ 278,869,137 $ 787,128,770 759,624,554
484,900,596 868,255,757
July 176,944,342 260,440,708 585,527,144 1,499,246,922
1,393,237,335
August 79,502,944 436,879,658 363,542,939
14,890,807
September 91,512,505 447,979,753 418,851,494

October 921,680,990 305,580,632

November 918,740,434 1,116,262,526

ORANGE COUNTY EDUCATIONAL INVESTMENT POOL

Investment Projected Projected Cumulative

Month Maturities Deposits Disbursements Available Cash

May 2017 - Ending Cash $ 7,799,819

June $ 823,752,299 $ 591,652,693 $ 730,371,284 692,833,527

July 434,572,933 285,836,753 467,457,907 945,785,306

August 297,768,486 263,417,878 509,317,746 997,653,924

September 125,855,210 538,741,729 624,874,456 1,037,376,407

October 36,440,613 349,436,683 653,162,723 770,090,980

November 99,951,320 768,547,291 645,643,117 992,946,474

21

ORANGE COUNTY TREASURER-TAX COLLECTOR

STATEMENT OF ACCOUNTABILITY
For the Month Ended May 31, 2017

Treasurer's Accountability at the Beginning of the Period: Month

Cash Receipts: $9,829,608,721
County
School and Community College Districts 416,027,139
Total Cash Receipts 514,154,021
930,181,160
Cash Disbursements:
County 781,597,285
School and Community College Districts 691,510,195
Total Cash Disbursements 1,473,107,480

Net Change in Cost Value of Pooled Assets (542,926,320)

Net Increase in Non Pooled Investments 3,028,062
Net Decrease in Non Pooled Cash (1,847,820)

Treasurer's Accountability at the End of the Period: $9,287,862,643

Assets in the Treasury at the End of the Period (at Cost Value): $ 4,460,612,778
4,644,877,141
Pooled Investments: 9,105,489,919
O.C. Investment Pool
O.C. Educational Investment Pool 50,434,460
Total Orange County Investment Pools 67,458,736
34,864,857
Non Pooled Investments:
Non Pooled Investments - John Wayne Airport 1,081,500
Non Pooled Investments - General Fund – Non AMT Restricted 153,839,553
Non Pooled Investments - Fountain Valley School District Fund 40
Non Pooled Investments - Other 1,689,752
Total Non Pooled Investments 7,799,819
13,301,344
Cash: 5,712,130
Cash in banks - County
Cash in banks - Schools 30,126
Cash in banks - OC Sheriff 28,533,171
Cash in banks - John Wayne Airport
Cash - Other $ 9,287,862,643
Total Cash

Total Assets in the Treasury at the End of the Period:

22

ORANGE COUNTY TREASURER-TAX COLLECTOR
INVESTMENT POLICY (IPS) COMPLIANCE SUMMARY
May 31, 2017

Investment County Extended Fund Educational John Wayne Airport
Policy (IPS) Money Market Fund Money Market Fund Investment Fund
Guidelines
Investment Type Market Value of Percent of Market Value of Percent of Market Value of Percent of Market Value of Percent of
Diversification Limit Investments (1) Portfolio Investments (1) Portfolio Investments (1) Portfolio Investments (1) Portfolio
Negotiable Certificates of Deposit
30% Commercial Paper $ 1,600,928 0.10% $ 199,226,963 3.38% $ - 0.00% $ - 0.00%
40% U.S. Government Agencies - 0.00% - 0.00% - 0.00% - 0.00%
100% LAIF 76.89% 60.17% 1,030,286,699 63.15% 33,807,596 67.05%
$50MM Medium-Term Notes 1,199,458,128 0.00% 3,543,519,433 0.61% - 0.00% - 0.00%
30% Money Market Mutual Funds - 4.48% 35,751,080 9.63% 69,332,160 4.25% 0.00%
20% Municipal Debt 2,630,662
30% Repurchase Agreement 69,826,271 9.56% 566,998,628 0.00% 201,980,658 12.38% - 5.22%
20% Supranationals 0.00% 6.59% - 0.00% - 0.00%
30% U.S. Treasuries 149,089,622 0.00% 388,273,073 0.00% - 0.00% - 0.00%
100% - 0.00% 0.00% - 0.00% 0.00%
- 8.97% - 19.62% 13,983,440 27.73%
- 1,155,042,823 329,830,026 20.22%

139,937,772

$ 1,559,912,721 100.00% $ 5,888,812,000 100.00% $ 1,631,429,543 100.00% $ 50,421,698 100.00%

Investment Policy Guidelines Compliance Category County Extended Fund Educational John Wayne Airport Investment
Money Market Fund Money Market Fund Fund
5% (Yes/No) Yes
20% Yes N/A Yes Yes
50% (4) Percentage Limits Yes (3) Yes Yes (3) Yes
See Above Issuer Limit Yes Yes Yes Yes
Money Market Mutual Fund Issuer Yes Yes Yes
60 Days Government Agencies Issuer N/A
Diversification Limit Yes/56.36 Yes/57.24 N/A
90 Days N/A
Maturity/Duration Limits N/A N/A Yes/71.00
>Merrill 1-3 Year Index+25% (2.38) Weighted Average Maturity - Money Market Fund Yes/1.34
13 Months/397 days Weighted Average Maturity - John Wayne Airport N/A N/A N/A N/A
15 Months/456 days Investment Fund (JWA) Yes/355 N/A Yes/359 N/A
5 Years/1826 days Duration(5) Yes/349
Final Maturity - Money Market Fund N/A Yes/1073 N/A N/A
A-1/ > A Final Maturity - John Wayne Airport Investment Fund N/A N/A
> A-1/P-1/F2 Final Maturity - Extended Fund N/A Yes
A-1/ > AA (2) Yes N/A Yes Yes
Approved Issuer List Quality Limits Yes Yes (6) Yes N/A
Broker/Dealer List MMF Short Term/Long Term N/A Yes N/A Yes
0.995 - 1.005 Short Term Debt/No Split Ratings Yes Yes Yes Yes
Extended Fund Short Term/Long Term Yes N/A Yes Yes/0.9998
Yes/0.9999 Yes/0.9999
Authorized Issuer
Authorized Financial Dealer/Institution
Net Asset Value - Money Market Fund and JWA

(1) All investments are marked to market in compliance with the narrow valuation range prescribed by the IPS and market values are provided by Bloomberg Professional Services and Northern Trust.
(2) Excludes US Government Debt per IPS policy approved by the Board of Supervisors on November 22, 2016.
(3) Rating Agency requirements limit investment in each Money Market Mutual Fund to 10%.
(4) GSE issuers rated 'AA-' or higher with final maturities of 30 days or less are excluded from the calculation of the 50% limit.
(5) IPS states all pools, except short-term pools, shall have an effective duration not to exceed a leading 1-3 year index +25%. Duration provided above (1.34) is a modified duration which does not take into consideration all embedded options

such as callable bonds or mortgage backed bonds. This presentation is not considered materially differnet from the effective duration requirement specified in IPS.
(6) Securities issued by Berkshire Hathaway Inc and Royal Bank of Canada NY were rated above 'AA' at the time of purchase and are in compliance with IPS.
NA Not applicable

Note: Compliance exceptions, if any, are noted by red shading for the specific IPS guideline and investment pool.

23

ORANGE COUNTY TREASURER‐TAX COLLECTOR
INVESTMENT POLICY (IPS) AND TREASURY OVERSIGHT COMMITTEE (TOC) COMPLIANCE SUMMARY

May 31, 2017

COMPLIANCE CATEGORY PERFORMED CURRENT STATUS
Annual Compliance Audit  BY REGULATORY/POLICY GUIDELINES Annual audit of calendar year 2015 completed.
Quarterly Schedule of Assets Review ACIA Performance Evaluation‐Cal Govt. Code 27134 December 31, 2016 completed.  March 31, 2017 in progress.  
Annual Schedule of Assets Audit ACIA Performance Evaluation‐Cal Govt. Code  26920(a) Annual audit as of June 30, 2016 completed. 
Quarterly Continuous Compliance Auditing ACIA Performance Evaluation‐Cal Govt. Code  26920(b) March 31, 2017 completed.  June 30, 2017 in progress. 
Treasury Administrative Fee ACIA TOC Directive Annual review of fees for FY 14/15 and FY 15/16 in progress.
Annual Broker/Dealer Review  TTC Compensation Agreement‐Cal Govt. Code 27013 Annual review of calendar year 2016 in progress.
Annual Broker/Dealer IPS Certification TTC Authorized Financial Dealers and Qualified Institutions All 2017 IPS certifications received for active approved brokers (one broker removed). 
IPS Compliance Deficiencies TTC Authorized Financial Dealers and Qualified Institutions FY 16/17 identified one compliance incident as of May 31, 2017 (see Conflict of Interest below) 
TTC Investment/Diversification/Maturity Restrictions/Form 700
TOC Bylaw Changes The TOC reviewed Bylaws and made one change at the October 19, 2016 meeting.  The BOS 
BOS TOC Review and BOS Annual Approval approved on November 22, 2016.
Annual IPS Approval The TOC reviewed proposed IPS changes at the October 19, 2016 meeting and did not make any 
TOC Annual Report  BOS TOC Review and BOS Annual Approval additional changes.  The BOS approved on November 22, 2016.
BOS TOC Bylaws Rule 30 ‐ Oral and Written Report 
Broker/Financial Institution List The TOC 2016 Annual Report was presented to BOS on February 28, 2017.
Certificates of Compliance TTC OC Gift Ban Ordinance and Form 700 
Ethics Training TTC TOC Bylaws Rule 34 ‐ Annual The TOC members were provided a list of active TTC Broker/Dealers and Financial Institutions at the 
TTC TOC Bylaws Rule 34 ‐ Every Two Years TOC meeting on October 19, 2016.
Conflict of Interest Form 700 Filing The TOC members are in compliance for calendar year 2017.
TTC TOC Bylaws Rule 34 / IPS ‐ Every Year The TOC members are in compliance for calendar year 2016 (one submitted in January 2017).

All TOC members and designated employees are in compliance for calendar year 2016.  A designated 
employee submitted an Assuming Office Statement in calendar year 2017 late. 

LEGEND ACIA
Auditor‐Controller Internal Audit BOS
Board of Supervisors TOC
Treasury Oversight Committee TTC
Office of Treasurer‐Tax Collector

24

Orange County Treasurer-Tax Collector
Noncompliance Detail

For the Month Ended May 31, 2017
During May, the Orange County Investment Pool (OCIP), the Orange County
Educational Investment Pool (OCEIP), and the John Wayne Airport Investment Fund
were all free of noncompliance incidents.

25

Run Date: 08-Jun-2017 11:34 am ORANGE COUNTY TREASURER-TAX COLLECTOR Page 1 of 30
Print Date: 08-Jun-2017 User: JH
As at date: 08-Jun-2017 Investment Inventory with Market Value by Entity & Instrument
Extended Fund, County and Educational Money Market Funds * Market values provided by Bloomberg & Northern Trust

As of 31-May-2017

Deal Settle Maturity CUSIP S&P Moodys Fitch Face Coupon Purchase Capital Capital Interest Book Value Market Unrealized
No. Date Date Value Yield Accrual Accrual Value * Gain/(Loss)
271,521.82
Issuer / Broker 11,018,543.80 0.00 0.00
137,799,556.59 0.00 0.00
UNITED STATES DOLLAR 149,089,622.21 0.00 0.00
County Money Mkt Fnd 0.00 0.00
1,600,000.00
FUNDS AAAm Aaa-mf NR 271,521.82 0.6800 1,600,000.00 0.00 13,660.44 271,521.82 271,521.82 0.00
GOLDMAN SACHS - COUNTY MMF AAAm Aaa-mf NR 11,018,543.80 0.6840 1,600,000.00 0.00 13,660.44 11,018,543.80 11,018,543.80 0.00
AAAm Aaa-mf AAAmmf 137,799,556.59 0.7460 0.00 13,660.44 137,799,556.59 137,799,556.59 0.00
6/1/17 149,089,622.21 0.7413 5,393,274.00 149,089,622.21 149,089,622.21 0.00
17,978,250.00 0.00 6,726.00
MORGAN STANLEY GOVT 8302-COUNTY MMF 0.00 21,750.00
6/1/17 4,994,133.75 0.00
24,970,668.75 0.00 5,866.25
INVESCO STIC GOVERNMENT & AGENCY 48,993,422.19 0.00 29,331.25
6/1/17 14,983,637.50 0.00 56,577.81
0.00 16,362.50
Subtotal for FUNDS: 4,949,030.56 0.00
14,981,963.33 0.00 2,786.11
CERTIFICATES OF DEPOSIT 15,982,121.33 17,714.59
YANKEE CD 17,541.34

TORONTO DOMINION BANK NY / TD SECURITIES

866967 10/18/16 10/18/17 89113WKG0 A-1 P-1 F1+ 1,600,000.00 1.3600 1.3600 1,600,000.00 1,600,927.76 927.76
1,600,000.00 1,600,927.76 927.76
Subtotal for YANKEE CD: 1,600,000.00 1.3600 1.3600 1,600,000.00 1,600,927.76 927.76
1,600,000.00 1.3600 1.3600
Subtotal for CERTIFICATES OF DEPOSIT:

GOVERNMENT AGENCY
DISCOUNT NOTES

FREDDIE DISCOUNT / BARCLAYS CAPITAL

892623 4/3/17 6/1/17 313397GH8 A-1+ P-1 F1+ 5,400,000.00 0.7600 5,400,000.00 5,400,000.00 0.00
F1+ 18,000,000.00 0.7500 18,000,000.00 18,000,000.00 0.00
FREDDIE DISCOUNT / JP MORGAN CHASE & CO F1+ 0.7410 0.00
F1+ 5,000,000.00 0.7410 5,000,000.00 5,000,000.00 0.00
892812 4/4/17 6/1/17 313397GH8 A-1+ P-1 F1+ 25,000,000.00 0.7550 25,000,000.00 25,000,000.00 0.00
NR 49,050,000.00 0.7700 49,050,000.00 49,050,000.00 0.00
FNMA DISCOUNT / CASTLE OAK SECURITIES F1+ 15,000,000.00 1.1800 15,000,000.00 15,000,000.00 3,683.33
NR 0.7730 (7.92)
893072 4/5/17 6/1/17 313589GH0 A-1+ P-1 F1+ 5,000,000.00 0.7590 4,951,816.67 4,955,500.00 (14.67)
15,000,000.00 14,999,677.92 14,999,670.00
FNMA DISCOUNT / DAIWA CAPITAL MARKETS 16,000,000.00 15,999,662.67 15,999,648.00 26

893073 4/5/17 6/1/17 313589GH0 A-1+ P-1

FNMA DISCOUNT / MORGAN STANLEY

893664 4/7/17 6/1/17 313589GH0 A-1+ P-1

FHLB DISC CORP / BNY Mellon Capital Market

894080 4/11/17 6/1/17 313385GH3 A-1+ P-1

FED FARM CR BK / FTN FINANCIAL

899406 5/15/17 6/1/17 313313UP1 A-1+ P-1

FHLB DISC CORP / GREAT PACIFIC SECURITIES

893667 4/7/17 6/2/17 313385GJ9 A-1+ P-1

FREDDIE DISCOUNT / TD SECURITIES

893833 4/10/17 6/2/17 313397GJ4 A-1+ P-1

Run Date: 08-Jun-2017 11:34 am ORANGE COUNTY TREASURER-TAX COLLECTOR Page 2 of 30
Print Date: 08-Jun-2017 User: JH
As at date: 08-Jun-2017 Investment Inventory with Market Value by Entity & Instrument
Extended Fund, County and Educational Money Market Funds * Market values provided by Bloomberg & Northern Trust

As of 31-May-2017

Deal Settle Maturity CUSIP S&P Moodys Fitch Face Coupon Purchase Capital Capital Interest Book Value Market Unrealized
No. Date Date Value Yield Accrual Accrual Value * Gain/(Loss)
9,989,236.11
Issuer / Broker 34,958,826.39

UNITED STATES DOLLAR 9,992,200.00
County Money Mkt Fnd 9,988,193.33
9,987,913.33
GOVERNMENT AGENCY 12,068,895.00
DISCOUNT NOTES 9,986,566.67
24,964,250.00
FHLB DISC CORP / FTN FINANCIAL 9,987,544.44
9,985,266.67
894524 4/13/17 6/2/17 313385GJ9 A-1+ P-1 NR 10,000,000.00 0.7750 9,984,813.89 0.00 10,548.61 9,999,784.72 9,999,780.00 (4.72)
NR 35,000,000.00 0.7700 2,997,625.83 0.00 38,179.17 34,997,005.56 34,996,920.00 (85.56)
FHLB DISC CORP / JEFFERIES & COMPANY F1+ 10,000,000.00 0.7200 9,992,550.00 0.00 7,000.00 (100.00)
F1+ 10,000,000.00 0.7590 14,975,300.00 0.00 10,541.67 9,999,200.00 9,999,100.00 (35.00)
894078 4/11/17 6/5/17 313385GM2 A-1+ P-1 NR 10,000,000.00 0.7770 2,098,040.00 0.00 10,791.67 9,998,735.00 9,998,700.00 (25.00)
F1+ 12,084,000.00 0.7500 14,969,775.00 0.00 13,091.00 9,998,705.00 9,998,680.00 (161.12)
FNMA DISCOUNT / JP MORGAN CHASE & CO NR 10,000,000.00 0.7800 0.00 10,616.66 12,081,986.00 12,081,824.88 (33.33)
NR 25,000,000.00 0.7800 0.00 27,625.00 9,997,183.33 9,997,150.00 (100.00)
896805 4/27/17 6/5/17 313589GM9 A-1+ P-1 F1+ 10,000,000.00 0.7600 0.00 9,288.89 24,991,875.00 24,991,775.00 (133.33)
NR 10,000,000.00 0.7800 0.00 10,833.33 9,996,833.33 9,996,700.00
FNMA DISCOUNT / FTN FINANCIAL F1+ 10,000,000.00 0.7700 0.00 10,908.33 9,996,100.00 9,996,100.00 0.00
NR 0.7700 0.00 1,090.83 9,995,722.22 9,995,600.00 (122.22)
894240 4/12/17 6/7/17 313589GP2 A-1+ P-1 NR 3,000,000.00 0.7450 0.00 3,104.17 2,998,716.66 2,998,683.00
F1+ 10,000,000.00 0.7800 0.00 16,575.00 9,995,654.17 9,995,400.00 (33.66)
FHLB DISC CORP / FTN FINANCIAL NR 15,000,000.00 0.8000 0.00 793.33 14,991,875.00 14,991,750.00 (254.17)
NR 0.7800 0.00 21,450.00 2,098,833.33 2,098,845.00 (125.00)
894254 4/12/17 6/7/17 313385GP5 A-1+ P-1 2,100,000.00 14,991,225.00 14,991,150.00
15,000,000.00 11.67
FREDDIE DISCOUNT / DAIWA CAPITAL MARKETS (75.00)

893834 4/10/17 6/9/17 313397GR6 A-1+ P-1 27

FHLB DISC CORP / FTN FINANCIAL

894518 4/13/17 6/14/17 313385GW0 A-1+ P-1

FHLB DISC CORP / CITIGROUP GLOBAL MARKETS

894079 4/11/17 6/16/17 313385GY6 A-1+ P-1

FREDDIE DISCOUNT / MORGAN STANLEY

895120 4/18/17 6/16/17 313397GY1 A-1+ P-1

FHLB DISC CORP / FTN FINANCIAL

894249 4/12/17 6/19/17 313385HB5 A-1+ P-1

FNMA DISCOUNT / FTN FINANCIAL

894082 4/11/17 6/21/17 313589HD8 A-1+ P-1

FHLB DISC CORP / JEFFERIES & COMPANY

899407 5/15/17 6/21/17 313385HD1 A-1+ P-1

FHLB DISC CORP / BNY Mellon Capital Market

899838 5/17/17 6/22/17 313385HE9 A-1+ P-1

FNMA DISCOUNT / FTN FINANCIAL

894083 4/11/17 6/26/17 313589HJ5 A-1+ P-1

FHLB DISC CORP / UBS

899402 5/15/17 6/26/17 313385HJ8 A-1+ P-1

FHLB DISC CORP / CASTLE OAK SECURITIES

891419 3/27/17 6/28/17 313385HL3 A-1+ P-1

FNMA DISCOUNT / CASTLE OAK SECURITIES



















Run Date: 08-Jun-2017 11:34 am ORANGE COUNTY TREASURER-TAX COLLECTOR Page 12 of 30
Print Date: 08-Jun-2017 User: JH
As at date: 08-Jun-2017 Investment Inventory with Market Value by Entity & Instrument
Extended Fund, County and Educational Money Market Funds * Market values provided by Bloomberg & Northern Trust

As of 31-May-2017

Deal Settle Maturity CUSIP S&P Moodys Fitch Face Coupon Purchase Capital Capital Interest Book Value Market Unrealized
No. Date Date Value Yield Accrual Accrual Value * Gain/(Loss)
4,991,675.00
Issuer / Broker 4,991,562.50
14,967,657.08
UNITED STATES DOLLAR 10,810,175.76
Educational Money Mkt Fnd 9,978,412.78
9,981,819.44
GOVERNMENT AGENCY 4,987,750.00
DISCOUNT NOTES 14,976,491.67
5,491,285.56
897811 5/4/17 7/17/17 313589JF1 A-1+ P-1 F1+ 5,000,000.00 0.8100 9,981,250.00 0.00 3,150.00 4,994,825.00 4,994,100.00 (725.00)
F1+ 5,000,000.00 0.8100 9,978,513.89 0.00 3,150.00 4,994,712.50 4,994,000.00 (712.50)
FNMA DISCOUNT / GREAT PACIFIC SECURITIES NR 15,000,000.00 0.8530 14,973,458.33 0.00 15,282.92 14,982,940.00 14,981,550.00 (1,390.00)
F1+ 10,825,000.00 0.8500 5,988,320.00 0.00 2,300.31 10,812,476.07 10,811,468.75 (1,007.32)
897810 5/4/17 7/18/17 313589JG9 A-1+ P-1 NR 10,000,000.00 0.8540 9,976,238.89 0.00 9,726.11 9,988,138.89 9,987,220.00 (918.89)
F1+ 10,000,000.00 0.8500 9,975,960.83 0.00 5,666.67 9,987,486.11 9,986,500.00 (986.11)
FHLB DISC CORP / FTN FINANCIAL F1+ 5,000,000.00 0.6000 11,143,716.37 0.00 7,750.00 4,995,500.00 4,993,100.00 (2,400.00)
NR 15,000,000.00 0.9100 9,968,000.00 0.00 3,033.33 14,979,525.00 14,979,300.00 (225.00)
895414 4/19/17 7/19/17 313385JH0 A-1+ P-1 NR 5,500,000.00 0.9200 0.00 983.89 5,492,269.45 5,492,267.00
NR 10,000,000.00 0.9000 0.00 3,500.00 9,984,750.00 9,984,070.00 (2.45)
FREDDIE DISCOUNT / MORGAN STANLEY F1+ 10,000,000.00 0.8500 0.00 6,847.22 9,985,361.11 9,983,800.00 (680.00)
NR 15,000,000.00 0.9100 0.00 2,275.00 14,975,733.33 14,974,950.00 (1,561.11)
900637 5/23/17 7/20/17 313397JJ1 A-1+ P-1 NR 6,000,000.00 0.9600 0.00 320.00 5,988,640.00 5,988,876.00 (783.33)
NR 10,000,000.00 0.9400 0.00 2,611.11 9,978,850.00 9,978,900.00 236.00
FHLB DISC CORP / GREAT PACIFIC SECURITIES NR 10,000,000.00 0.9510 0.00 2,113.33 9,978,074.16 9,978,330.00
NR 11,170,000.00 0.9850 0.00 305.62 11,144,021.99 11,145,213.77 50.00
895896 4/21/17 7/21/17 313385JK3 A-1+ P-1 NR 10,000,000.00 0.9600 0.00 4,000.00 9,972,000.00 9,972,000.00 255.84
1,191.78
FNMA DISCOUNT / FTN FINANCIAL
0.00
898354 5/8/17 7/24/17 313589JN4 A-1+ P-1
37
FED FARM CR BK / FTN FINANCIAL

887106 2/28/17 7/25/17 313313JP4 A-1+ P-1

FHLB DISC CORP / FTN FINANCIAL

900833 5/24/17 7/25/17 313385JP2 A-1+ P-1

FHLB DISC CORP / DAIWA CAPITAL MARKETS

901057 5/25/17 7/26/17 313385JQ0 A-1+ P-1

FHLB DISC CORP / FTN FINANCIAL

900113 5/18/17 8/1/17 313385JW7 A-1+ P-1

FNMA DISCOUNT / JP MORGAN CHASE & CO

897773 5/3/17 8/2/17 313589JX2 A-1+ P-1

FHLB DISC CORP / BANK OF AMERICA

902267 5/26/17 8/4/17 313385JZ0 A-1+ P-1

FHLB DISC CORP / TD SECURITIES

901342 5/30/17 8/11/17 313385KG0 A-1+ P-1

FHLB DISC CORP / JP MORGAN CHASE BANK, NA

900466 5/22/17 8/21/17 313385KS4 A-1+ P-1

FHLB DISC CORP / FTN FINANCIAL

900834 5/24/17 8/23/17 313385KU9 A-1+ P-1

FHLB DISC CORP / DAIWA CAPITAL MARKETS

901705 5/31/17 8/25/17 313385KW5 A-1+ P-1

FHLB DISC CORP / FTN FINANCIAL

899842 5/17/17 9/14/17 313385LS3 A-1+ P-1

Run Date: 08-Jun-2017 11:34 am ORANGE COUNTY TREASURER-TAX COLLECTOR Page 13 of 30
Print Date: 08-Jun-2017 User: JH
As at date: 08-Jun-2017 Investment Inventory with Market Value by Entity & Instrument
Extended Fund, County and Educational Money Market Funds * Market values provided by Bloomberg & Northern Trust

As of 31-May-2017

Deal Settle Maturity CUSIP S&P Moodys Fitch Face Coupon Purchase Capital Capital Interest Book Value Market Unrealized
No. Date Date Value Yield Accrual Accrual Value * Gain/(Loss)
14,930,764.17
Issuer / Broker 9,959,300.00
2,985,591.67
UNITED STATES DOLLAR 9,952,425.00
Educational Money Mkt Fnd
14,919,570.83
GOVERNMENT AGENCY 9,943,416.67
DISCOUNT NOTES 1,980,841.67
9,913,333.33
FHLB DISC CORP / BARCLAYS CAPITAL 9,913,022.22

892287 3/31/17 9/29/17 313385MH6 A-1+ P-1 NR 15,000,000.00 0.9130 14,860,875.00 0.00 23,585.83 14,954,350.00 14,952,000.00 (2,350.00)
F1+ 9,903,997.22 0.00 4,400.00 9,963,700.00 9,963,700.00 0.00
FREDDIE DISCOUNT / DAIWA CAPITAL MARKETS NR 0.00 3,404.17 2,988,995.84 2,988,531.00
NR 901,535,830.21 0.00 7,975.00 9,960,400.00 9,960,400.00 (464.84)
899636 5/16/17 10/11/17 313397MV0 A-1+ P-1 NR 10,000,000.00 0.9900 0.00 0.00
NR 4,005,960.00 0.00 18,187.50 14,937,758.33 14,933,850.00
FHLB DISC CORP / GREAT PACIFIC SECURITIES NR 1,779,154.21 0.00 11,855.55 9,955,272.22 9,952,500.00 (3,908.33)
F1+ 4,006,480.00 0.00 1,988,916.67 1,987,860.00 (2,772.22)
895415 4/19/17 10/18/17 313385NC6 A-1+ P-1 F1+ 3,000,000.00 0.9500 6,059,331.65 0.00 8,075.00 9,931,533.33 9,930,900.00 (1,056.67)
F1+ 0.00 18,200.00 9,931,619.44 9,930,290.00
FHLB DISC CORP / CASTLE OAK SECURITIES F1+ 0.00 18,597.22 (633.33)
0.00 19,433.33 14,880,308.33 14,879,250.00 (1,329.44)
897776 5/3/17 10/23/17 313385NH5 A-1+ P-1 10,000,000.00 0.9900 13,077.78 9,917,075.00 9,915,500.00 (1,058.33)
(5,619.43) 725,428.59 (1,575.00)
FHLB DISC CORP / BARCLAYS CAPITAL (73,668.46) 902,261,258.80 902,216,618.40 (44,640.40)
14,666.67
894929 4/17/17 11/2/17 313385NT9 A-1+ P-1 15,000,000.00 0.9700 (5,627.37) 42,971.19 4,000,340.57
(11,437.13) 14,666.67 1,705,485.75
FHLB DISC CORP / CASTLE OAK SECURITIES 25,531.78 4,000,852.63
6,047,894.52
895165 4/18/17 11/14/17 313385PF7 A-1+ P-1 10,000,000.00 0.9700

FHLB DISC CORP / CASTLE OAK SECURITIES

878360 12/30/16 12/28/17 313385RB4 A-1+ P-1 2,000,000.00 0.9500

FED FARM CR BK / FTN FINANCIAL

891959 3/30/17 1/24/18 313313SE9 A-1+ P-1 10,000,000.00 1.0400

FED FARM CR BK / FTN FINANCIAL

891623 3/28/17 1/26/18 313313SG4 A-1+ P-1 10,000,000.00 1.0300

FED FARM CR BK / FTN FINANCIAL

895149 4/18/17 2/27/18 313313TQ1 A-1+ P-1 15,000,000.00 1.0600

FED FARM CR BK / BNY Mellon Capital Market

895157 4/18/17 3/7/18 313313TY4 A-1+ P-1 10,000,000.00 1.0700

Subtotal for DISCOUNT NOTES: 903,421,000.00 0.0000 0.8334
GOVT AGENCY-FIX-30/360

FED HM LN BK BD / FTN FINANCIAL

881094 1/19/17 6/9/17 313379FW4 AA+ Aaa NR 4,000,000.00 1.0000 0.6109 4,000,040.00 (300.57)
AAA 1,705,264.99 (220.76)
FANNIE MAE / DEUTSCHE NR 3,999,760.00 (1,092.63)
AAA 6,042,283.34 (5,611.18)
850602 7/5/16 6/12/17 31398ADM1 AA+ Aaa 1,703,000.00 5.3750 0.5777
38
FED HM LN BK BD / FTN FINANCIAL

881093 1/19/17 6/21/17 313379DD8 AA+ Aaa 4,000,000.00 1.0000 0.6108

FREDDIE MAC / DEUTSCHE

845551 6/3/16 6/29/17 3137EADH9 AA+ Aaa 6,047,000.00 1.0000 0.8085

FREDDIE MAC / RBC

Run Date: 08-Jun-2017 11:34 am ORANGE COUNTY TREASURER-TAX COLLECTOR Page 14 of 30
Print Date: 08-Jun-2017 User: JH
As at date: 08-Jun-2017 Investment Inventory with Market Value by Entity & Instrument
Extended Fund, County and Educational Money Market Funds * Market values provided by Bloomberg & Northern Trust

As of 31-May-2017

Deal Settle Maturity CUSIP S&P Moodys Fitch Face Coupon Purchase Capital Capital Interest Book Value Market Unrealized
No. Date Date Value Yield Accrual Accrual Value * Gain/(Loss)
1,230,694.15
Issuer / Broker 6,989,702.11 (3,338.70) 5,180.67
4,998,495.00 (9,829.77) 28,493.50
UNITED STATES DOLLAR 2,999,451.00
Educational Money Mkt Fnd 5,006,616.30 674.66 2,455.56
2,784,170.00 211.76 1,687.50
GOVERNMENT AGENCY 3,001,170.51 (3,798.25) 11,194.44
GOVT AGENCY-FIX-30/360 2,805,376.00 (3,055.75) 8,979.40
3,002,672.22 (913.14) 6,687.50
860996 9/8/16 6/29/17 3137EADH9 AA+ Aaa AAA 1,227,000.00 1.0000 0.6258 20,951,740.73 (4,115.32) 6,329.17 1,227,355.45 1,226,042.94 (1,312.51)
Aaa AAA 4,995,000.00 (1,270.61) 5,475.00 6,979,872.34 6,972,557.16 (7,315.18)
FREDDIE MAC / BNY Mellon Capital Market Aaa AAA 5,007,150.00 (2,321.81) 36,071.94 4,999,169.66 4,998,850.00
Aaa AAA 2,116,312.59 1,681.68 11,666.67 2,999,662.76 2,998,770.00 (319.66)
878713 1/4/17 6/29/17 3137EADH9 AA+ Aaa AAA 6,978,000.00 1.0000 0.6501 2,006,268.00 (2,273.33) 13,708.33 5,002,818.05 5,002,250.00 (892.76)
Aaa NR 2,497,090.00 445.69 1,495.01 2,781,114.25 2,780,000.00 (568.05)
FED FARM CR BK / BNY Mellon Capital Market Aaa AAA 10,001,730.00 (1,604.21) 5,416.67 3,000,257.37 2,998,380.00 (1,114.25)
Aaa AAA 96,244,564.47 348.86 2,847.22 2,801,260.68 2,799,188.00 (1,877.37)
898203 5/5/17 7/3/17 3133EFBS5 AA+ Aaa AAA 5,000,000.00 0.6800 0.8504 (270.61) 17,500.00 3,001,401.61 2,998,710.00 (2,072.68)
Aaa AAA (125,781.24) 263,024.89 20,949,418.92 20,943,114.95 (2,691.61)
FREDDIE MAC / FTN FINANCIAL Aaa AAA 4,996,681.68 4,988,350.00 (6,303.97)
Aaa AAA 5,004,876.67 4,994,200.00 (8,331.68)
897813 5/4/17 7/14/17 3137EADV8 AA+ Aaa AAA 3,000,000.00 0.7500 0.8305 2,116,758.28 2,116,248.96 (10,676.67)
Aaa AAA 2,004,663.79 1,998,900.00 (509.32)
FED FARM CR BK / GREAT PACIFIC SECURITIES Aaa AAA 2,497,438.86 2,503,200.00 (5,763.79)
Aaa NR 10,001,459.39 9,997,800.00 5,761.14
891922 3/29/17 7/17/17 3133ECUU6 AA+ 5,000,000.00 1.3000 0.8400 96,118,783.23 96,063,910.34 (3,659.39)
(54,872.89)
FED HM LN BK BD / FTN FINANCIAL
39
873542 11/30/16 8/7/17 3130A0WJ5 AA+ 2,780,000.00 1.0200 0.8000

FED FARM CR BK / DEUTSCHE

861421 9/12/16 8/14/17 3133EE7C8 AA+ 3,000,000.00 0.7500 0.7074

FANNIE MAE / FTN FINANCIAL

857616 8/17/16 8/28/17 3135G0MZ3 AA+ 2,800,000.00 0.8750 0.6877

FREDDIE MAC / GREAT PACIFIC SECURITIES

886633 2/24/17 9/18/17 3134G3J68 AA+ 3,000,000.00 0.9000 0.7420

FREDDIE MAC / JEFFERIES & COMPANY

891920 3/29/17 9/29/17 3137EADL0 AA+ 20,945,000.00 1.0000 0.9150

FREDDIE MAC / FTN

884572 2/9/17 1/12/18 3137EADN6 AA+ 5,000,000.00 0.7500 0.8587

FANNIE MAE / FTN FINANCIAL

882529 1/27/17 2/27/18 3136G1DG1 AA+ 5,000,000.00 1.0500 0.9169

FREDDIE MAC / FTN FINANCIAL

897526 5/2/17 3/7/18 3137EADP1 AA+ 2,121,000.00 0.8750 1.1375

FANNIE MAE / FTN FINANCIAL

886631 2/24/17 3/13/18 3136G1G52 AA+ 2,000,000.00 1.2500 0.9500

FED FARM CR BK / FTN FINANCIAL

895675 4/20/17 4/2/18 3133EEWH9 AA+ 2,500,000.00 1.0000 1.1234

FED HM LN BK BD / FTN FINANCIAL

893070 4/5/17 4/3/18 3130AB3S3 AA+ 10,000,000.00 1.1250 1.1074

Subtotal for GOVT AGENCY-FIX-30/360: 96,101,000.00 1.0597 0.8506
GOVT AGENCY-FLOAT-ACT/360

Run Date: 08-Jun-2017 11:34 am ORANGE COUNTY TREASURER-TAX COLLECTOR Page 15 of 30
Print Date: 08-Jun-2017 User: JH
As at date: 08-Jun-2017 Investment Inventory with Market Value by Entity & Instrument
Extended Fund, County and Educational Money Market Funds * Market values provided by Bloomberg & Northern Trust

As of 31-May-2017

Deal Settle Maturity CUSIP S&P Moodys Fitch Face Coupon Purchase Capital Capital Interest Book Value Market Unrealized
No. Date Date Value Yield Accrual Accrual Value * Gain/(Loss)
14,998,245.00
Issuer / Broker 14,998,484.40 1,365.00 1,733.33
29,996,729.40 1,133.59 0.00
UNITED STATES DOLLAR 2,498.59
Educational Money Mkt Fnd 1,995,738.00 1,733.33
1,995,738.00 4,262.00
GOVERNMENT AGENCY 1,029,772,862.08 4,262.00 350.00
GOVT AGENCY-FLOAT-ACT/360 (119,020.65) 350.00
2,606,000.00 990,536.81
FED FARM CR BK / DAIWA CAPITAL MARKETS 6,830,896.29 (81,938.65)
8,016,320.00 (118,343.37) 40,854.17
854511 7/28/16 8/28/17 3133EGPH2 AA+ Aaa AAA 15,000,000.00 1.0400 0.5494 1,242,429.16 108,672.08 14,999,610.00 15,005,850.00 6,240.00
AAA 2,002,952.00 (9,018.95) 4,282.01
FED FARM CR BK / TD SECURITIES 6,008,194.08 (1,297.77) 2,500.00 14,999,617.99 15,003,900.00 10,522.01
1,045,358.12 (1,514.06) 387.50 29,999,227.99 30,009,750.00
860086 9/1/16 9/1/17 3133EGSX4 AA+ Aaa 15,000,000.00 0.9200 0.5101 3,063,609.44 (4,168.09) 625.00 (3,580.00)
4,714,011.00 (3,580.00)
Subtotal for GOVT AGENCY-FLOAT- 30,000,000.00 0.9800 0.5297 2,509,559.64 (747.06) 1,875.00 (92,571.28)
ACT/360: (2,075.30) 5,029.58
(70,961.54) 12,236.73
GOV'T AGY - CALLABLE (28,513.24) 76,850.00
36,407.25
FANNIE MAE / FTN FINANCIAL

899219 5/12/17 5/25/18 3135G0XK4 AA+ Aaa AAA 2,000,000.00 1.0500 1.2576 2,000,000.00 1,996,420.00
2,000,000.00 1,996,420.00
Subtotal for GOV'T AGY - CALLABLE: 2,000,000.00 1.0500 1.2576 1,030,379,270.02 1,030,286,698.74
1,031,522,000.00 0.1293 0.8270
Subtotal for GOVERNMENT AGENCY:

MEDIUM-TERM NOTES

MEDIUM-TERM NOTE

JOHNSON & JOHNSON / CASTLE OAK SECURITIES

862564 9/19/16 8/15/17 478160AQ7 AAA Aaa AAA 2,500,000.00 5.5500 0.8392 2,524,061.35 2,522,575.00 (1,486.35)
AAA 6,712,552.92 6,710,049.50 (2,503.42)
JOHNSON & JOHNSON / GREAT PACIFIC SECURITIES AAA 8,007,301.05 7,999,200.00 (8,101.05)
AAA 1,241,131.39 1,239,876.00 (1,255.39)
879860 1/11/17 8/15/17 478160AQ7 AAA Aaa AAA 6,650,000.00 5.5500 0.9484 2,001,437.94 1,999,800.00 (1,637.94)
AAA 6,004,025.99 5,999,400.00 (4,625.99)
JOHNSON & JOHNSON / BNY Mellon Capital Market A+ 1,044,611.06 1,046,348.03 1,736.97
A+ 3,061,534.14 3,065,809.76 4,275.62
869319 11/1/16 11/21/17 478160BL7 AAA Aaa AA 8,000,000.00 1.1250 0.9302 4,643,049.46 4,653,405.00 10,355.54
AA 2,481,046.40 2,485,952.36 4,905.96
JOHNSON & JOHNSON / BNY Mellon Capital Market
40
871555 11/16/16 11/21/17 478160BL7 AAA Aaa 1,240,000.00 1.1250 0.9304

JOHNSON & JOHNSON / BNY Mellon Capital Market

874092 12/2/16 11/21/17 478160BL7 AAA Aaa 2,000,000.00 1.1250 0.9716

JOHNSON & JOHNSON / GREAT PACIFIC SECURITIES

874258 12/5/16 11/21/17 478160BL7 AAA Aaa 6,000,000.00 1.1250 0.9818

BERKSHIRE HATHAWAY INC / GREAT PACIFIC SECURITIES

883649 2/6/17 2/9/18 084670BH0 AA Aa2 1,043,000.00 1.5500 1.3235

BERKSHIRE HATHAWAY INC / JP MORGAN CHASE & CO

887113 2/28/17 2/9/18 084670BH0 AA Aa2 3,056,000.00 1.5500 1.2844

WAL-MART STORES INC / BNY Mellon Capital Market

882108 1/25/17 2/15/18 931142CJ0 AA Aa2 4,500,000.00 5.8000 1.2498

WAL-MART STORES INC / JP MORGAN CHASE & CO

886849 2/27/17 2/15/18 931142CJ0 AA Aa2 2,404,000.00 5.8000 1.2165

Run Date: 08-Jun-2017 11:34 am ORANGE COUNTY TREASURER-TAX COLLECTOR Page 16 of 30
Print Date: 08-Jun-2017 User: JH
As at date: 08-Jun-2017 Investment Inventory with Market Value by Entity & Instrument
Extended Fund, County and Educational Money Market Funds * Market values provided by Bloomberg & Northern Trust

As of 31-May-2017

Deal Settle Maturity CUSIP S&P Moodys Fitch Face Coupon Purchase Capital Capital Interest Book Value Market Unrealized
No. Date Date Value Yield Accrual Accrual Value * Gain/(Loss)
1,298,662.41
Issuer / Broker 2,592,058.66 (12,018.14) 15,469.73
3,492,482.00 (373.13) 5,424.61
UNITED STATES DOLLAR 4,168,729.02 1,368.71 5,468.75
Educational Money Mkt Fnd 3,684,727.90 934.68 3,481.67
4,986,200.00 1,437.03 2,873.89
MEDIUM-TERM NOTES 4,986,200.00 1,837.60 3,888.89
MEDIUM-TERM NOTE 4,128,919.95 284.96 972.22
67,377,309.67 2,981.25
WAL-MART STORES INC / GREAT PACIFIC SECURITIES (2,205.16)
1,229,196.64 (327,311.48) 325,998.32
889403 3/14/17 2/15/18 931142CJ0 AA Aa2 AA 1,247,000.00 5.8000 1.2527 1,061,248.04 1,286,644.27 1,289,510.23 2,865.96
NR 2,290,444.68 (159.23) 758.40 2,591,685.53 2,590,932.40 (753.13)
APPLE INC. / GREAT PACIFIC SECURITIES AA 69,667,754.35 (1,123.60) 2,139.03 3,493,850.71 3,495,975.00 2,124.29
AA+ (1,282.83) 2,897.43 4,169,663.70 4,167,053.64 (2,610.06)
892636 4/3/17 2/23/18 037833BN9 AA+ Aa1 NR 2,590,000.00 1.3000 1.2094 29,965,320.83 (328,594.31) 328,895.75 3,686,164.93 3,683,951.95 (2,212.98)
NR 49,966,166.67 4,988,037.60 4,985,050.00 (2,987.60)
WAL-MART STORES INC / BNY Mellon Capital Market NR 19,968,168.06 0.00 26,308.34 4,986,484.96 4,985,050.00 (1,434.96)
A+ 0.00 1,166.67 4,126,714.79 4,122,472.50 (4,242.29)
890706 3/22/17 4/11/18 931142DF7 AA Aa2 3,500,000.00 1.1250 1.3310 0.00 979.44 67,049,998.19 67,042,411.37 (7,586.82)

MICROSOFT CORP / BNY Mellon Capital Market 1,229,037.41 1,229,589.92 552.51
1,060,124.44 1,060,158.32 33.88
896149 4/24/17 5/1/18 594918AS3 AAA Aaa 4,178,000.00 1.0000 1.2196 2,289,161.85 2,289,748.24
69,339,160.04 69,332,159.61 586.39
APPLE INC. / BNY Mellon Capital Market (7,000.43)

893666 4/7/17 5/3/18 037833AJ9 AA+ Aa1 3,695,000.00 1.0000 1.2617

APPLE INC. / UBS FINANCIAL SERVICES

893859 4/10/17 5/3/18 037833AJ9 AA+ Aa1 5,000,000.00 1.0000 1.2618

APPLE INC. / JP MORGAN CHASE & CO

900835 5/24/17 5/3/18 037833AJ9 AA+ Aa1 5,000,000.00 1.0000 1.2957

BERKSHIRE HATHAWAY INC / BNY Mellon Capital Market

901302 5/26/17 5/15/18 084664BE0 AA Aa2 3,975,000.00 5.4000 1.3651

Subtotal for MEDIUM-TERM NOTE: 66,578,000.00 2.5601 1.1417
MEDIUM-TERM NOTE FLOATER

BERKSHIRE HATHAWAY INC / JP MORGAN CHASE & CO

853320 7/21/16 8/14/17 084664CB5 AA Aa2 A+ 1,229,000.00 1.3068 0.7400
A+
BERKSHIRE HATHAWAY INC / GREAT PACIFIC SECURITIES

883421 2/2/17 1/12/18 084664CD1 AA Aa2 1,058,000.00 1.4557 0.9915

Subtotal for MEDIUM-TERM NOTE 2,287,000.00 1.3757 0.8563
FLOATER:

Subtotal for MEDIUM-TERM NOTES: 68,865,000.00 2.5208 1.1322

U. S. TREASURIES
TREASURY BILL

US TREASURY N/B / CITIGROUP GLOBAL MARKETS

895166 4/18/17 6/15/17 912796LE7 AA+ Aaa AAA 30,000,000.00 0.7175 29,965,320.83 29,990,843.70 25,522.87
AAA 50,000,000.00 0.8400 49,966,166.67 49,965,864.50
US TREASURY N/B / JP MORGAN CHASE & CO AAA 20,000,000.00 0.8815 19,968,168.06 19,968,444.40 (302.17)

901708 5/31/17 6/29/17 912796LF4 AA+ Aaa 276.34

US TREASURY N/B / MORGAN STANLEY 41

901340 5/30/17 8/3/17 912796LM9 AA+ Aaa

Run Date: 08-Jun-2017 11:34 am ORANGE COUNTY TREASURER-TAX COLLECTOR Page 17 of 30
Print Date: 08-Jun-2017 User: JH
As at date: 08-Jun-2017 Investment Inventory with Market Value by Entity & Instrument
Extended Fund, County and Educational Money Market Funds * Market values provided by Bloomberg & Northern Trust

As of 31-May-2017

Deal Settle Maturity CUSIP S&P Moodys Fitch Face Coupon Purchase Capital Capital Interest Book Value Market Unrealized
No. Date Date Value Yield Accrual Accrual Value * Gain/(Loss)
49,920,444.44
Issuer / Broker 49,911,000.00 0.00 1,243.06
199,731,100.00 0.00 2,472.22
UNITED STATES DOLLAR 20,011,718.75 0.00 32,169.73
Educational Money Mkt Fnd 49,955,078.13
50,226,562.50 (9,084.30) 41,436.47
U. S. TREASURIES 19,005.41 30,386.74
TREASURY BILL 9,991,406.25 (95,853.37) 144,337.02
130,184,765.63
US TREASURY N/B / BARCLAYS CAPITAL 329,915,865.63 4,254.05 6,521.74
1,631,337,140.64 (81,678.21) 222,681.97
901707 5/31/17 8/3/17 912796LM9 AA+ Aaa AAA 50,000,000.00 0.8950 (81,678.21) 254,851.70 49,920,444.44 49,921,111.00 666.56
AAA 50,000,000.00 0.8900 35,751,079.63 (529,293.17) 1,574,284.26 49,911,000.00 49,911,496.50
US TREASURY N/B / BARCLAYS CAPITAL 35,751,079.63 199,731,100.00 199,757,760.10 496.50
0.00 0.00 26,660.10
901341 5/30/17 8/10/17 912796LP2 AA+ Aaa 50,000,000.00 0.00 0.00 20,002,634.45 19,998,828.20
21,000,000.00 49,974,083.54 49,966,797.00 (3,806.25)
Subtotal for TREASURY BILL: 200,000,000.00 0.0000 0.8520 40,000,000.00 0.00 1,531,250.00 50,130,709.13 50,120,117.00
TREASURY BOND 0.00 643,125.00 (7,286.54)
0.00 815,570.00 9,995,660.30 9,986,523.40
US TREASURY N/B / JEFFERIES & COMPANY 130,103,087.42 130,072,265.60 (10,592.13)
329,834,187.42 329,830,025.70
885920 2/21/17 6/30/17 912828TB6 AA+ Aaa AAA 20,000,000.00 0.7500 0.5846 1,631,533,276.06 1,631,429,542.63 (9,136.90)
AAA (30,821.82)
US TREASURY N/B / BNY Mellon Capital Market AAA
AAA (4,161.72)
895154 4/18/17 7/31/17 912828TG5 AA+ Aaa 50,000,000.00 0.5000 0.8126 (103,733.43)

US TREASURY N/B / BARCLAYS CAPITAL 0.999936

895164 4/18/17 7/31/17 912828NR7 AA+ Aaa 50,000,000.00 2.3750 0.7902

US TREASURY N/B / FTN

878544 1/3/17 10/31/17 912828TW0 AA+ Aaa 10,000,000.00 0.7500 0.8548

Subtotal for TREASURY BOND: 130,000,000.00 1.2788 0.7721
Subtotal for U. S. TREASURIES: 330,000,000.00
Total Educational Money Mkt Fnd : 1,632,367,658.58 0.5038 0.8206
Net Asset Value (NAV): 0.2899 0.8259

Extended Fund

FUNDS
LAIF - EXTENDED FUND

6/1/17 NR 35,751,079.63 0.9250 35,751,079.63 35,751,079.63 0.00
35,751,079.63 35,751,079.63 0.00
Subtotal for FUNDS: 35,751,079.63 0.9250

CERTIFICATES OF DEPOSIT
YANKEE CD

TORONTO DOMINION BANK NY / TD SECURITIES

801807 9/10/15 9/10/18 89113EZG4 AA- Aa1 AA- 50,000,000.00 1.7500 1.7500 50,000,000.00 50,053,050.00 53,050.00
Aa1 AA- 21,000,000.00 21,022,281.00
TORONTO DOMINION BANK NY / TD SECURITIES Aa3 AA 40,000,000.00 39,905,760.00 22,281.00

801808 9/10/15 9/10/18 89113EZG4 AA- 21,000,000.00 1.7500 1.7500 (94,240.00)

ROYAL BANK OF CANADA NY / RBC 42

834989 3/31/16 3/29/19 78009NB21 AA- 40,000,000.00 1.7190 1.7190

Run Date: 08-Jun-2017 11:34 am ORANGE COUNTY TREASURER-TAX COLLECTOR Page 18 of 30
Print Date: 08-Jun-2017 User: JH
As at date: 08-Jun-2017 Investment Inventory with Market Value by Entity & Instrument
Extended Fund, County and Educational Money Market Funds * Market values provided by Bloomberg & Northern Trust

As of 31-May-2017

Deal Settle Maturity CUSIP S&P Moodys Fitch Face Coupon Purchase Capital Capital Interest Book Value Market Unrealized
No. Date Date Value Yield Accrual Accrual Value * Gain/(Loss)
111,000,000.00
Issuer / Broker
38,000,000.00
UNITED STATES DOLLAR 50,000,000.00
Extended Fund 88,000,000.00
199,000,000.00
CERTIFICATES OF DEPOSIT 111,000,000.00 1.7388 1.7388 0.00 2,989,945.00 111,000,000.00 110,981,091.00 (18,909.00)
Subtotal for YANKEE CD: 10,098,700.00
17,071,230.00 38,000,000.00 38,106,172.00 106,172.00
YANKEE CD-30/360 11,081,400.00 50,000,000.00 50,139,700.00 139,700.00
41,802,950.00 88,000,000.00 88,245,872.00 245,872.00
ROYAL BANK OF CANADA NY / RBC 50,158,000.00 199,000,000.00 199,226,963.00 226,963.00
49,999,500.00
794626 7/30/15 7/30/18 78009NVR4 AA- Aa3 AA 38,000,000.00 1.6930 1.6930 0.00 216,233.72
Aa3 AA 6,997,550.00
ROYAL BANK OF CANADA NY / RBC 49,985,500.00 0.00 284,518.06
45,271,350.00 0.00 500,751.78
794627 7/30/15 7/30/18 78009NVR4 AA- 50,000,000.00 1.6930 1.6930 48,949,530.00 0.00 3,490,696.78
50,000,000.00
Subtotal for YANKEE CD-30/360: 88,000,000.00 1.6930 1.6930 50,006,000.00
199,000,000.00 1.7186 1.7186
Subtotal for CERTIFICATES OF DEPOSIT:

GOVERNMENT AGENCY

GOVT AGENCY-FIX-30/360

FREDDIE MAC / BNP PARIBAS

644964 3/25/13 6/29/17 3137EADH9 AA+ Aaa AAA 10,000,000.00 1.0000 0.7641 (96,898.44) 42,222.22 10,001,801.56 9,992,200.00 (9,601.56)
AAA (68,910.88) 71,777.78 17,002,319.12 16,986,740.00 (15,579.12)
FREDDIE MAC / MORGAN STANLEY AAA (78,579.21) 46,444.44 11,002,820.79 10,991,420.00 (11,400.79)
AAA (283,655.98) 141,791.67 41,519,294.02 41,501,245.00 (18,049.02)
764149 2/9/15 6/29/17 3137EADH9 AA+ Aaa AAA 17,000,000.00 1.0000 0.8224 (147,742.60) 170,833.33 50,010,257.40 50,001,500.00
AAA 113,020.83 49,999,952.67 49,985,500.00 (8,757.40)
FREDDIE MAC / MORGAN STANLEY AAA 452.67 15,822.92 (14,452.67)
AAA 2,215.25 100,750.00 6,999,765.25 6,997,970.00
773192 4/1/15 6/29/17 3137EADH9 AA+ Aaa AAA 11,000,000.00 1.0000 0.6672 12,671.74 82,500.00 49,998,171.74 49,973,000.00 (1,795.25)
AAA (236,553.71) 225,944.44 45,034,796.29 44,925,750.00 (25,171.74)
FREDDIE MAC / MORGAN STANLEY AAA 36,946.27 211,500.00 48,986,476.27 48,964,230.00 (109,046.29)
AAA 211,500.00 50,000,000.00 49,950,500.00 (22,246.27)
763223 2/3/15 7/28/17 3137EADJ5 AA+ Aaa 41,500,000.00 1.0000 0.7033 0.00 50,001,288.50 49,950,500.00 (49,500.00)
(4,711.50) (50,788.50)
FREDDIE MAC / MORGAN STANLEY
43
766011 2/20/15 7/28/17 3137EADJ5 AA+ Aaa 50,000,000.00 1.0000 0.8687

FANNIE MAE / MORGAN STANLEY

764150 2/9/15 8/28/17 3135G0MZ3 AA+ Aaa 50,000,000.00 0.8750 0.8754

FANNIE MAE / MORGAN STANLEY

766012 2/20/15 8/28/17 3135G0MZ3 AA+ Aaa 7,000,000.00 0.8750 0.8890

FED FARM CR BK / DAIWA CAPITAL MARKETS

804835 9/28/15 8/28/17 3133EFEU7 AA+ Aaa 50,000,000.00 0.7800 0.7953

FED FARM CR BK / BNP PARIBAS

773855 4/6/15 9/25/17 3133EEQX1 AA+ Aaa 45,000,000.00 1.0000 0.7531

FREDDIE MAC / TD SECURITIES

817637 12/11/15 12/15/17 3137EADX4 AA+ Aaa 49,000,000.00 1.0000 1.0519

FREDDIE MAC / DAIWA CAPITAL MARKETS

782676 5/26/15 12/19/17 3134G6Z55 AA+ Aaa 50,000,000.00 0.9400 0.9400

FREDDIE MAC / DAIWA CAPITAL MARKETS

782971 5/27/15 12/19/17 3134G6Z55 AA+ Aaa 50,000,000.00 0.9400 0.9353