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HomeMy WebLinkAbout2010 05 10 Informational 103 Investment Report Prepared By PFM Asset Management LLC COMMISSION AGENDA CONSENT INFORMATIONAL X ITEM 103 PUBLIC HEARING REGULAR May 10, 2010 MGR /DEPT ‘66 Meeting Authorization REQUEST: The City Manager and Finance Department providing the Investment Report for the second quarter FY 2010 (ending March 31, 2010) as prepared by PFM Asset Management LLC. SYNOPSIS: Distribution of the investment report for the quarter -ended March 31, 2010. CONSIDERATIONS: The City's General City Account portfolio is of high credit quality and maintains adequate liquidity. The portfolio is invested entirely in Federal Agency, U.S. Treasury, commercial paper and FDIC guaranteed corporate securities. The securities are allocated among high quality issuers rated AAA and A -1 +. PFM's attached report provides additional information regarding the City's investment position at March 31, 2010. FISCAL IMPACT: The weighted average yield at March 31, 2010 is 0.65 %. The weighted average yield at December 31, 2009 was 0.67 %. COMMUNICATION EFFORTS: The investment report will be posted to the website within a week of acceptance. RECOMMENDATION: It is recommended that the City Commission receive the attached investment report. ATTACHMENTS: Investment Report for quarter -ended March 31, 2010 City of Winter Springs 4 ,4041 . eivis. 4 id wir 'a. 4 t ri • f . L.OR * Investment Advisors PFM Asset Management LLC Steven Alexander, CTP, CGFO, Managing Director 300 S. Orange Avenue, Suite 1170 One Keystone Plaza, Suite 300 Mel Hamilton, Senior Managing Consultant Orlando, FL 32801 North Front & Market Streets David Jang, CTP, Senior Managing Consultant (407) 648 -2208 Harrisburg, PA 17101 -2044 Gregg Manjerovic, CFA, Portfolio Manager (407) 648 -1323 fax 717 - 232 -2723 Rebecca Dole, Consultant 717 - 233 -6073 fax City of Winter Springs Investment Report - Quarter Ended March 31, 2010 Table of Contents Tab 1. Section A Market Review Tab II. Section B Executive Summary and General City Account Portfolio Performance Section C Asset Allocation Chart Tab III. March 31, 2010 PFM Month -End Statement This material is based on information obtained from sources generally believed to be reliable and available to the public, however PFM Asset Management LLC cannot guarantee its accuracy, completeness or suitability. This material is for general information purposes only and is not intended to provide specific advice or recommendation. The information contained in this report is not an offer to purchase or sell any securities. Table of Contents Section i City of Winter Springs Investment Report — Quarter Ended March 31, 2010 With the Federal Reserve signaling no change in monetary policy for the Much of this news fell under the radar of national headlines with little, if any, immediate future and a mixed economic picture, yields on U.S. Treasuries impact on yields. were range -bound during the first quarter of 2010. These measures are seen as the first steps that need to occur to return the After three consecutive quarters of positive GDP growth, it appears that the markets to "normal." These steps also needed to occur before the Federal economy is well on the path to recovery. However, there are still significant Reserve would consider changing the federal funds target rate. The federal challenges to overcome, including high unemployment, elevated funds target rate remained unchanged with a range of 0.00% to 0.25 %, and foreclosures, and subdued consumer confidence. This mixed bag of with the Fed reiterating that rates will remain low for "an extended period." economic data has been positive enough to sustain increases in stock market Global markets were jittery throughout the quarter over the ability of prices, but bond yields were trendless during the first quarter. European countries, specifically Greece and Portugal, to be able to pay debt. With no single piece of economic data capturing the spotlight, the most In early February, reluctance by European countries to help bail out Greece notable change may have been the quiet unwinding of some of the caused a flight -to- quality as investors sought the safety of U.S. Treasuries, extraordinary measures that were put in place during the height of the temporarily pushing U.S. Treasury bond prices higher. financial crisis. This may set the stage for the Federal Reserve to act in a By the end of March, the markets grew optimistic that the upcoming jobs more "normal" fashion later this year. report would show a significant increase in employment. This was in fact the Interest Rates and Returns case, with the March employment report showing that 162,000 jobs were In an interest rate environment where overnight yields are essentially zero, created during the month. As the following table shows, this resulted in intermediate -term fixed- income portfolios generated strong returns during yields increasing to levels near where they began the quarter. the period. During the first quarter, portfolios with longer durations Summary of U.S. Treasury Security Yields outperformed portfolios with shorter durations because of the higher yields on longer -term securities. Although yields on U.S. Treasuries and Federal Quarter Ending 3M 6M 1Y 2Y 3Y 5Y 10Y Agencies were essentially unchanged from the start of the quarter, investors March 2010 0.15% 0.23% 0.38% 1.02% 1.57% 2.54% 3.83% also benefited from market value appreciation as securities "rolled down" the historically steep yield curve. With spreads between U.S. Treasuries and December 2009 0.05% 0.19% 0.44% 1.14% 1.68% 2.68°0, 3.84% Federal Agencies quite narrow, these sectors performed in -line with one Change over another, on a duration adjusted basis. However, increased confidence of Quarter -uio °, t� o5% o.u�% o 12% o.�i% u.ia% 0 01% business conditions helped to narrow corporate spreads and allowed March 2009 0.20% 0.42% 0.54% 0.80% 1.12% 1.66% 2.66% corporate debt to post even higher total returns. During the first quarter, the Federal Reserve began removing some of the change over Year O.05% o. �x� ,; a t6% o. � % 0.45% O 8���„ 1 J6 extraordinary measures that stabilized the markets through the recent crisis. Among the Fed's recent actions, its decision to raise the discount rate from Source data: Bloomberg 0.50% to 0.75% earned the most press. The difference in yields between short-term and long -term securities (curve The Fed also shortened the maximum maturity for primary credit loans from steepness) reached its widest point in history during the quarter. Short-term the discount window from 30 days to overnight. Additionally, the Fed closed rates remain anchored by an accommodative monetary policy (low federal numerous funding and liquidity measures during the quarter, including funds rate, increased liquidity) while longer -term rates reflect the market's measures that provided liquidity to commercial paper issuers and one that perception of long -term growth and inflation expectations. supported asset- backed commercial paper of money market mutual funds. PFM Asset Management LLC Section A - 1 City of Winter Springs Investment Report - Quarter Ended March 31, 2010 U.S. Treasury Yields and Yield Curve Steepness Quarterly High /Low of U.S. Treasury and Federal Agency Debt March 2000 to March 2010 lY 2Y 3Y 5Y 10Y 7.0% 3.0% C.S. Treasury 0 28 0.77% 1.25 "0 2.23% 3.56 (Low Yield) 6.0% 2.4% U.S. Treasury (High Yield) 0.44"4 1.14" 1.67% 2.68"0 3.88 5.0% 1 . 8 % Federal Agency 0.30% 0.93% 1.56% 2.43% 3.67% (Low Yield) 4.0% 1.2% co Federal A e ncy - o g 0.48% 1.26% 1.98% 2.98% 4.25% D m (High Yield) } 3.0% 0.6% o- Source data: Bloomberg 2.0% 0.0% The steep yield curve rewards investors for taking on some duration risk. In fact, we estimate that the steep yield curve and the corresponding "roll - 1.0% -0.6% down" effect added approximately 20 to 25 basis points (0.20% to 0.25 %) to Spread (Right Axis) 2 -Year TSY -10-Year TSY quarterly returns. This "roll- down" effect contributed to the Merrill Lynch 1- 0.0% -1.2% 3 Year Treasury Index posting a 0.70% return (2.89% annualized) during a Mar 00 Mar 02 Mar 04 Mar 06 Mar 08 Mar 10 time period when the yield on any security in the benchmark was no higher Source data: Bloomberg than 1.67 %. The chart above shows yields on 2 -year and 10 -year U.S. Treasuries and the Merrill Lynch U.S. Treasury Indices spread between the two securities. The spread, or difference, between 10- Quarterly and 12 -Month Annual Return as of March 31, 2010 year and 2 - year U.S. Treasury notes is used to determine the steepness of the 2.0% yield curve. The steep yield curve may be attributable to (1) a growing belief that the ° 1.41 % economy has stabilized and will continue to grow, (2) reluctance by the 1.5 /° 1.25% Federal Reserve to raise short-term rates, and (3) an increased supply of U.S. 1.15% Treasuries to fund massive deficit spending. 1.0% 0.90% Market Volatility 0.70% 0.73% Despite intermediate- and longer -term interest rates moving generally higher 0.5% over the last year, they remain low by historic standards. Investors should be 0.17% cautious in this interest rate environment as a series of positive economic 0.01 % - reports could quickly fuel optimism on the strength of the recovery, leading 0.0% to a sharp rise in yields. 3mo 1 -3yr 1 -5yr 3 -5yr This risk was demonstrated during the quarter with 2 to 5 year securities Current Quarter • Past 12 Months fluctuating by as much as 45 basis points from their low to high. Source data: Bloomberg PFM Asset Management LLC Section A - 2 City of Winter Springs Investment Report — Quarter Ended March 31, 2010 As the economy continues to strengthen, the day when the Federal Reserve As the accompanying chart shows, for shorter maturities, the narrow income will ultimately start raising interest rates comes nearer. Although we are advantage of Federal Agencies over U.S. Treasury securities, along with a mindful that higher interest rates would cause market values to erode, with small amount of spread widening, helped U.S. Treasury benchmarks to today's steep yield curve, an ultra - conservative strategy can forego produce nearly the same return as Federal Agency benchmarks during the significant investment earnings. With most market experts believing any first quarter. Longer -term Agencies (3+ years) conversely experienced spread change in monetary policy is still at least six months away, PFM is narrowing, lifting returns on these securities even higher over the period. maintaining portfolio durations near those of the benchmarks by extending The credit markets continue to show signs of improvement, with corporate the duration of portfolios when yields reach the higher end of their current bond spreads narrowing during the period. Strong corporate earnings, low ranges. short -term borrowing rates, high levels of corporate balance sheet liquidity Sector Allocation and a generally positive outlook for the world economy helped improve the After widening to all-time highs in October 2008, the spread between U.S. fortunes of corporations. As the accompanying chart shows, high - quality Treasury and Federal Agency obligations have narrowed. The Treasury (AA /AAA) corporate bonds outperformed U.S. Treasury and Federal Agency Department's commitment to the Government Sponsored Enterprises benchmarks of comparable duration by a significant margin. rn (GSEs), specifically Fannie Mae and Freddie Mac, have calmed any credit - The Economy related fears for the foreseeable future. The spread between 2 -year Federal Agency and U.S. Treasury notes ended Although the economy expanded at a brisk 5.6% during the 4 quarter of the quarter at 0.17 %, up somewhat from the beginning of the period, but still 2009 and economists are forecasting growth of around 3.0% during the first approximately half the average over the past 10 years. three months of 2010, economic readings during the quarter were mixed. Duration Adjusted Returns of Merrill Lynch 1 - Year Indices The employment picture continues to weigh on Americans. Despite hope that Quarterly and 12 - Month Annual Return as of March 31, 2010 there might have been jobs created in January and February, the initial 12% reports released showed a continuation of job losses. Not until the March employment report did a noticeable number of new jobs materialize — 9.90% 10% 162,000 new jobs, the largest increase in almost three years. Skeptics on the health of the economy point out that roughly one -third (48,000) of the jobs 8% were added to administer the decennial census and represent temporary positions lasting only a few months. 6% The unemployment rate ended the quarter at 9.7 %. If the job picture improves, most economists expect the labor force to expand as discouraged 4% 2.56% ° workers who previously stopped looking for jobs return to the labor force. 1.41% 1.37% Therefore, even if the economy adds a significant number of new jobs, most 2% 0.70% 0.72% 111 believe the unemployment rate will remain elevated for some time. 0% Corporations continued to report strong earnings through the end of the U.S. Treasury Federal Agency AA/AAA Corporate period, a signal perhaps that the economy remains on the road to recovery. Current Quarter • Past 12 Months According to initial reports, the first quarter marked the fifth straight quarter Source data: Bloomberg with positive corporate earnings. * Duration- adjusted return incorporates an adjustment to the market value return (but not the income return) of each benchmark to account for their varied durations, making it easier for investors to assess the relative risk and return of benchmarks of different lengths. PFM Asset Management LLC Section A - 3 City of Winter Springs Investment Report — Quarter Ended March 31, 2010 However, the U.S. banking sector still shows mixed signs of improvement. Finally, as long as the economy continues to expand, credit spreads generally Although a recent government report showed that FDIC - insured commercial should narrow and risk premiums should shrink. Although corporate bonds banks and savings institutions reported a profit of $914 million in the fourth still hold value at current spreads, the time will come when the risk will again quarter of 2009, this is relatively small in comparison to the $37.8 billion net outweigh the incremental return in this sector. loss in the fourth quarter of 2008. There is evidence that the asset quality of insured banks continues to deteriorate. Lastly, the number and total assets of institutions on the FDIC's problem list rose to 702 and $402.8 billion, respectively. These figures are up from 552 and $345.9 billion respectively, as of six months ago. In just the first three months of 2010, 41 institutions have failed — if this rate continues, the total for 2010 could be the highest since 1992. Outlook Expectations for positive first quarter growth, strength in manufacturing, rising consumer spending, a small increase in job creation, and continued strength in the stock market, have led many economists to raise their forecasts of 2010 GDP. The consensus of estimates is now for GDP to expand at a rate of 3.0% to 3.5 %, up one half percent to one percent over similar forecasts made at the end of 2009. However, weak housing, declining state and local government spending, continued high unemployment, and tight bank lending could still stall the economic recovery. With this backdrop, interest rates will likely remain range bound for the next three to six months. Meanwhile, the steep yield curve compensates investors for maintaining portfolios with extended durations. Most likely, interest rates will increase in the future. However, the magnitude and speed of any increase will depend greatly on the strength and speed of the economic recovery and the Fed's ability to raise the federal funds target rate without adversely stunting growth. With yields between Federal Agencies and U.S. Treasuries very narrow, Federal Agencies hold less value and limited opportunity for further appreciation. Consequently, PFM will likely increase exposure to U.S. Treasury securities. The magnitude of spreads will be heavily influenced by the level of housing and mortgage activity, and ultimately by any government move to restructure the GSEs. If spreads widen, we will reposition the portfolios to take advantage of the incremental yield offered on Federal Agencies in the future. PFM Asset Management LLC Section A - 4 City of Winter Springs Investment Report - Quarter Ended March 31, 2010 Executive Summary PORTFOLIO STRATEGY ➢ The City's General City Account portfolio is of high credit quality and maintains adequate liquidity. The portfolio is invested entirely in Federal Agency, U.S. Treasury, commercial paper and FDIC guaranteed corporate securities. The securities in the portfolio are allocated among high quality issuers rated AAA and A -1 +. ➢ During the quarter, the Fed began allowing some of its stimulus programs to expire. At the March FOMC meeting, the Fed announced it would be ending its large agency and mortgage- backed agency purchase programs by the end of March. The Fed's language was mixed regarding the economic recovery, stating "that economic activity has continued to strengthen and that the labor market is stabilizing," but pointing to obstacles to recovery such as the current high level of unemployment and a struggling housing market. The Fed continues to believe that economic conditions merit a low fed funds target rate "for an extended period." ➢ In addition to removing some stimulus programs, the Fed raised the discount rate from 0.50% to 0.75% on February 18th. The discount rate is the rate that the Fed, the lender of last resort, charges banks to borrow money, whereas the Federal Funds rate is the rate that banks charge to lend to other banks. The Fed emphasized that this move was not a general tightening of credit. Rather, the increase in the discount rate showed the Fed felt ready to wean banks off increased use of Federal Reserve credit, encouraging banks to retum to interbank borrowing as the main source of raising capital. ➢ Short-term rates rose over the quarter, with the 3 -month T -bill moving from 0.06% on January 1, 2010 to 0.15% on March 31, 2010. We will continue to invest funds according to the Portfolio's liquidity needs. Over the quarter, short-term spreads of Agencies over Treasuries increased and we plan to purchase Agencies whenever they offer greater value. As well, commercial paper offers good value over Treasuries and Agencies with comparable maturities. ➢ The General City Account Portfolio continues to provide the City with favorable yield relative to the benchmark. Over the quarter, with interest rates hitting all time lows, the portfolio had a Yield to Maturity at Cost of 1.00 %, exceeding the average Yield to Maturity of its benchmark the Merrill Lynch 6 Month U.S. Treasury Bill Index by 80 basis points (0.80 %). ➢ PFM will continue to follow the prudent investment strategies that have safely provided the City with favorable yield and maintained adequate liquidity during this period of significant market and economic turmoil. PFM Asset Management LLC Section B - 1 City of Winter Springs Investment Report - Quarter Ended March 31, 2010 The City's Investment Statistics Amortized Cost'" Amortized Cost '' Market Value'" Market Value " Duration (Years) Account Name March 31, 2010 December 31. 2009 March 31, 2010 December 31, 2009 March 31, 2010 General City Account Portfolio $19,354,546.22 $19,389,453.21 619,426,000.38 $19,458,495.62 0.92 Fidelity Institutional Money Market Fund Government Portfolio (Fund #257) 6,412,148.09 8,622,298.92 6,412,148.09 8,622,298.92 0.003 Money Market Fund - State Board of Administration Pool A 0.18 0.29 0.18 0.29 0.122 Money Market Fund - State Board of Administration Pool B 874,557.33 970,929.14 874,557.33 970,929.14 N/A Bank of America Cash for Operation - depository 2,586,914.75 2,998,958.33 2,586,914.75 2,998,958.33 0.003 Water & Sewer 2000 - Fidelity Institutional Money Market Fund Government Portfolio (Account #364) 716,530.34 716,512.66 716,530.34 716,512.66 0.003 Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool A 0.01 0.01 0.01 0.01 0.122 Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool B 25,381.96 28,178.92 25,381.96 28,178.92 N/A Water & Sewer Series 1992 Refunding Revenue Reserve - BONY 1,305,069.93 1,305,069.93 1,305,069.93 1,305,069.93 0.003 Total $31,275,148.81 $34,031,401.41 631,346,602.97 $34,100,443.82 Yield to Maturity Yield to Maturity Yield to Maturity Yield to Maturity on Cost' on Cost' at Market at Market Duration (Years) Account Name March 31, 2010 December 31, 2009 March 31, 2010 December 31, 2009 December 31. 2009 General City Account Portfolio 1.00% 1.12% 0.56% 0.69% 0.95 Fidelity Institutional Money Market Fund Government Portfolio (Fund #257) 0.01% 0.01% 0.01% 0.01% 0.003 Money Market Fund - State Board of Administration Pool A 0.20% 0.21% 0.20% 0.21% 0.088 Money Market Fund - State Board of Administration Pool B 0.00% 0.00% 0.00% 0.00% N/A Bank of America Cash for Operation - depository 0.30% 0.30% 0.30% 0.30% 0.003 Water & Sewer 2000 - Fidelity Institutional Money Market Fund Govemment Portfolio (Account 4364) 0.01% 0.01 % 0.01% 0.01 % 0.003 Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool A 0.20% 0.21 % 0.20% 0.21 % 0.088 Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool B 0.00% 0.00% 0.00% 0.00% N/A Water & Sewer Series 1992 Refunding Revenue Reserve - BONY 0.00% 0.00% 0.00% 0.00% 0.003 Weighted Average Yield 0.65% 0.67% 0.37% 0.42% Benchmarks March 31, 2010 December 31, 2009 6 Month U.S. Treasury Bill Index' 0.20% 0.16% Notes 1 On a trade -date basis, including accrued interest. 2. In order to comply with GASB accrual accounting reporting requirements. forward settling trades are included in the monthly balances. 3 Excludes any money market fund /cash balances held in custodian account. 4 Past performance Is not indicative of future results. 5 Source Bloomberg. PFM Asset Management LLC Section B - 2 City of Winter Springs Investment Report - Quarter Ended March 31, 2010 General City Account Portfolio Composition and Credit Quality Characteristics Security Type' March 31, 2010 % of Portfolio December 31, 2009 % of Portfolio U.S. Treasuries $2,611,322.64 13.44% $3,907,124.07 20.08% Federal Agencies 10,458,200.27 53.84% 10,986,461.38 56.46% Commercial Paper 1,798,750.80 9.26% 0.00 0.00% Certificates of Deposit 0.00 0.00% 0.00 0.00% Bankers Acceptances 0.00 0.00% 0.00 0.00% Repurchase Agreements 0.00 0.00% 0.00 0.00% Municipal Obligations 0.00 0.00% 0.00 0.00% Corporate Notes /Bonds 0.00 0.00% 0.00 0.00% Corporate Notes /Bonds - FDIC Insured 4,557,726.67 23.46% 4,564,910.17 23.46% Mortgage Backed 0.00 0.00% 0.00 0.00% Money Market Fund /Cash 0.00 0.00% 0.00 0.00% Totals $19,426,000.38 100.00% $19,458,495.62 100.00% Portfolio Composition Credit Quality Distribution 3 as of 03/31/10 Federal as of 03/31/10 __ Agency U.S. Obligations Treasuries 54% �' A- 1 +(Short- (Short- 13% ' term) 77% 9°/----.''''. .\\ 1 4 1 Corporate TSY Notes /Bonds -� , Commercial 14% FDIC Insured Paper 24% 9% Notes: 1. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. Credit rating of securities held in portfolio, exclusive of money market fund. 3. A rating of "TSY" indicates the security is an obligation of, or explicitly guaranteed by the U. S. Govemment. PFM Asset Management LLC Section B - 3 City of Winter Springs Investment Report - Quarter Ended March 31, 2010 General City Account Portfolio Maturity Distribution Maturity Distribution' March 31, 2010 December 31, 2009 Overnight (Money Market Fund) $0.00 $0.00 Under 6 Months 3,053,906.01 4,347,484.68 6 - 12 Months 9,333,620.43 4,750,143.95 1 - 2 Years 7,038,473.94 9,064,378.94 2 - 3 Years 0.00 1,296,488.05 3 - 4 Years 0.00 0.00 4 - 5 Years 0.00 0.00 5 Years and Over 0.00 0.00 Totals $19,426,000.38 $19,458,495.62 Portfolio Maturity Distribution' 60% � D March 31, 2010 50% 48% 47% D December 31, 2009 i 40% , 36% 0 30% 22% 240/0 20% - 0 16% ca c 10% , 7% 0% 0% 0% ( 0% 0% 0% 0% 0% 0% t 0% Overnight Under 6 Months 6 - 12 Months 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years 5 Years and Over Notes: 1. Callable securities in portfolio are included in the maturity distribution analysis to their stated maturity date, although they may be called prior to maturity. PFM Asset Management LLC Section B - 4 City of Winter Springs, Florida' Asset Allocation as of March 31, 2010* Security Type' March 31, 2010 March 31, 2010 Notes Permitted by Policy Asset Allocation United States Treasury Securities 2,602,089.22 8.90% 100% as of March 31. 2010 United States Govemment Agency Securities - 0.00% 75% Commercial Paper Federal Instrumentalities 10,440,425.82 35.72% 80% 6.15% Certificates of Deposit - 0.00% 25% Federal Instrumentalities 1 Corporate Notes -FDIC 35.72% Insured Repurchase Agreements - 0.00% 50% 15.44% Commercial Paper 1,798,515.00 6.15% 30% Corporate t ks- FDIC Insured 4,513,516.18 1 SOX Mortgage-Backed Securities - 0.00% OX ,,, Bankers' Acceptances - 0.00% 30% United States Treasury 3 . State and /or Local Government Debt (GO and Revenue) - 0.00% 20% Securities r 8.90% I Money Market Mutual Funds Money Market Mutual Funds 7,286,705.60 24.93% 2 100% 24.93% Bank of America Cash for Intergovernmental Investment Pool - 0.00% 25% Operation Bank of America Cash for Operation 2,586,914.75 8.85% 2 100% 8.85% Individual Issuer Breakdown March 31, 2010 March 31, 2010 Notes Permitted by Policy Individual Issuer Breakdown March 31, 2010 March 31, 2010 Notes Permitted by Policy Govemment National Mortgage Association (GNMA) - 0.00% 50% CD - Bank A 0.00% 15% US Exportbmport Bank (Ex -Ira) - 0.00% 50% CD - Bank B - 0.00% 15% Farmers Home Administration (FMHA) - 0.00% 50% Fully collateralized Repo - A - 0.00% 25% Federal Financing Bank - 0.00% 50% Fully collateralized Repo -13 - 0.00% 25% Federal Housing Administration (FHA) - 0.00% 50% Barclays CP 1,798,515.00 6.15% 10% General Services Administration - 0.00% 50% CP B - 0.00% 10% New Communities Act Debentures - 0.00% 50% General Electric Corporate Notes - FDIC insured 1,501,550.03 5.14% 25% US Public Housing Notes & Bonds - 0.00% 50% JP Morgan Chase Corporate Notes - FDIC insured 1,502,629.23 5.14% 25% US Dept. of Housing and Urban Development - 0.00% 50% Bank of America Corporate Notes - FDIC insured 1,509,336.92 5.16% 25% Federal Farm Credit Bank (FFCB) - 0.00% 25% Corporate Notes - FDIC insured D - 0.00% 25% Federal Home Loan Bank (FHLB) 3,641,653.92 12.46% 25% Corporate Notes - FDIC insured E - 0.00% 25% Federal National Mortgage Association (FNMA) 5,194,666.13 17.77% 25% BA Bank A - 0.00% 10% Federal Home Loan Mortgage Corporation (FHLMC) 1,604,105.77 5.49% 25% BA Bank B - 0.00% 10% Student Loan Marketing Association (SLMA) - 0.00% 25% BA Bank C - 0.00% 10% Municipal Notes/Bonds - 0.00% 20% Fidelity Institutional Money Market Fund Govemment Portfolio (Fund 8257) 6,412,148.09 21.94% 2 25% Money Market Fund - State Board of Administration 874,557.51 2.99% 2 25% Notes: 1. Does not include bond proceeds. 2. Managed by the City. 3. End M month trade4ate anntized cost M portfolio holdings. including accrued interest. PFM Asset Management LLC Section C - 1