Page 21 - City of Moreno Valley Invstment and Cash Management Program
P. 21

3. SECURITY LISTINGS


        Sample Investment Report excerpt from June 2018.


        CUSIP     Security Description  Per Value/  Purchase Date  Cost Value  Mkt Price Market Value  % of Port.  Moody/S&P  Maturity
                                          Units    Book Yield  Book Value Mkt YTM  Accrued Int.  Gain/Loss  Fitch  Duration
        ABS
        43814RAB2  Honda Auto Receivables 2016-4 A2  55,003.84  10/18/2016  55,002.30  99.93  54,963.38  0.06 %  NR / AAA  0.80
                  1.04% Due 4/18/2019              1.05 %     55,003.34  3.11%  20.66      (39.96)  AAA        0.04
        89231LAB3  Toyota Auto Receivables Owner   20,263.16  10/04/2016  20,261.54  99.93  20,249.95  0.02 %  Aaa / AAA  0.87
                  2016-D 1.06% Due 5/15/2019       1.07 %     20,262.61  9.14%  9.55       (12.66)  NR         0.03
        43814TAB8  Honda Auto Receivables 2017-1 A2  101,574.31  03/21/2017  101,571.89  99.86  101,431.16  0.12 %  Aaa / NR  1.06
                  1.42% Due 7/22/2019              1.43 %     101,573.21  2.56 %  40.07    (142.05)  AAA       0.12
        47787XAB3  John Deere Owner Trust 2017-A A2  140,683.23  02/22/2017  140,682.67  99.83  140,444.46  0.16 %  Aaa / NR  1.29
                  1.5% Due 10/15/2019              1.50 %     140,682.95  2.52 %  93.79    (238.49)  AAA       0.17
        654747AB0  Nissan Auto Receivables 2017-A A2A  166,842.92  03/21/2017  166,842.07  99.73  166,395.08  0.19 %  Aaa / NR  1.55
                  SAMPLE
                  1.47% Due 1/15/2020              1.47 %     166,842.45  2.57 %  109.00   (447.37)  AAA       0.24
        47788MAC4  John Deere Owner Trust 2016-A A3  313,308.92  02/23/2016  313,259.61  99.55  311,895.83  0.36 %  Aaa / NR  1.79
                  1.36% Due 4/15/2020              1.37 %     313,287.49  2.62 %  189.38   (1,391.66)  AAA     0.36
        89231UAD9  Toyota Auto Receivables 2016-B  489,654.81  05/02/2016  489,629.79  99.47  487,081.64  0.56 %  Aaa / AAA  1.79
                  1.3% Due 4/15/2020               1.31 %     489,648.07  2.57 %  282.91   (2,566.43)  NR      0.42
        43814QAC2  Honda Auto Receivables 2016-2 A3  260,554.18  05/24/2016  260,549.13  99.47  259,168.47  0.30 %  Aaa / NR  1.79
                  1.39% Due 4/15/2020              1.40 %     260,551.85  2.67 %  160.96   (1,383.38)  AAA     0.41
        47788BAB0  John Deere Owner Trust 2017-B A2A  153,931.12  07/11/2017  153,917.74  99.62  153,346.88  0.18 %  Aaa / NR  1.79
                  1.59% Due 4/15/2020              1.60 %     153,922.39  2.59 %  108.78   (575.51)  AAA       0.38
        89237RAB4  Toyota Auto Receivable 2017-C A2A  731,930.61  07/25/2017  731,923.66  99.52  728,445.07  0.84 %  Aaa / AAA  2.04
                  1.58% Due 7/15/2020              1.59 %     731,925.81  2.55 %  513.98   (3,480.74)  NR      0.49
        89238BAB8  Toyota Auto Receivables Owner   1,055,000.00  01/23/2018  1,054,892.18  99.63  1,051,053.21  1.21 %  Aaa / AAA  2.30
                  2018-A A2A 2.1% Due 10/15/2020   2.12 %     1,054,908.66  2.62 %  984.67  (3,855.45)  NR     0.73
        43811BAC8  Honda Auto Receivables 2017-2 A3  1,100,000.00  04/27/2018  1,082,898.44  98.53  1,083,823.40  1.25 %  Aaa / AAA  3.13
                  1.68% Due 8/16/2021              2.62 %     1,083,779.09  2.86 %  821.33  44.31   NR         1.26
        47788BAD6  John Deere Owner Trust 2017-B A3  170,000.00  07/11/2017  169,987.56  98.55  167,530.24  0.19 %  Aaa / NR  3.30
                  1.82% Due 10/15/2021             1.83 %     169,990.35  2.88 %  137.51   (2,460.11)  AAA     1.38
        47788CAC6  John Deere Owner Trust 2016-B A4  275,000.00  02/21/2018  274,980.23  99.49  273,586.22  0.32 %  Aaa / NR  3.80
                  2.66% Due 4/18/2022              2.68 %     274,981.84  2.95 %  325.11   (1,395.62)  AAA     1.85
        02587AAJ3  American Express Credit 2017-1  700,000.00  06/21/2018  689,117.18  98.53  689,677.80  0.79 %  Aaa / NR  4.21
                  1.93% Due 9/15/2022              3.75 %     689,225.47  3.68 %  600.44   452.33   AAA        0.85
                                                              5,705,515.99      5,689,092.79  6.55 %  Aaa / AAA  2.56
        Total ABS                        5,733,747.10  2.14%  5,706,585.58  2.83%  4,398.14  (17,492.79)  AAA  0.77


        AGENCY
        3135G0ZG1  FNMA Note             850,000.00  10/29/2014  851,929.50  99.19  843,119.25  0.98 %  Aaa / AA+  1.20
                  1.75% Due 9/12/2019              1.70 %     850,475.32  2.44 %  4,503.82  (7,356.07)  AAA     1.17
        3137EADR7  FHLMC Note            1,650,000.00  08/26/2015  1,636,522.80  97.94  1,616,041.35  1.86 %  Aaa / AA+  1.84
                  1.375% Due 5/1/2020              1.56 %     1,644,716.37  2.53 %  3,781.25  (28,675.02)  AAA  1.79
        3135G0D75  FNMA Note             1,655,000.00  09/29/2015  1,655,893.70  97.97  1,621,456.46  1.87 %  Aaa / AA+  1.98
                  1.5% Due 6/22/2020               1.49 %     1,655,373.63  2.56 %  620.63  (33,917.17)  AAA    1.93
























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