HomeMy WebLinkAbout2010 08 09 Informational 103 Investment Report For Third Quarter Of Fiscal Year 2010 Prepared By PFM Asset Management, LLC COMMISSION AGENDA
CONSENT
INFORMATIONAL X
ITEM 103 PUBLIC HEARING
REGULAR
1 63 August 9, 2010 MGR /DEPT
Meeting A thorization
REQUEST: The City Manager and Finance Department providing the Investment Report
for the third quarter of fiscal year 2010 (ending June 30, 2010) as prepared by PFM Asset
Management LLC.
SYNOPSIS:
Distribution of the investment report for the quarter- ending June 30, 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 June 30, 2010.
FISCAL IMPACT:
The weighted average yield at June 30, 2010 is 0.67 %. The weighted average yield at March 31,
2010 was 0.65 %. This portfolio has an average maturity of less than one year.
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- ending June 30, 2010
City of Winter Springs
Investment Performance Review
Quarter Ended June 30, 2010
C
inc,irpor
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+' ORi
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, CTP, Consultant 717 - 233 -6073 fax
City of Winter Springs Investment Report - Quarter Ended June 30, 2010
Table of Contents
Tab I.
Section A Market Review
Tab II.
Section B Executive Summary and General City Account Portfolio Performance
Section C Asset Allocation Chart
Tab III. June 30, 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 June 30, 2010
Investors who employed defensive strategies were rewarded in the second and re- stated a pledge to maintain the Federal Funds target rate at a range of
quarter as the European sovereign debt crisis dominated all markets, punishing 0.00% to 0.25% for "an extended period." The market now predicts that the
global stock markets, widening credit spreads and pushing some U.S. Treasury Fed will be on hold at least through the end of the year as illustrated by Fed
yields down to all -time lows. Funds futures contracts.
The sovereign debt crisis, a product of years of poor fiscal policies and over Summa of U.S. Treasur Securi Yields
spending, will create significant financial headwinds in the future. It will also Quarter Ending 3M 6M 1Y 2Y 3Y 5Y' 101'
likely be one of the main challenges for global economies and investor
confidence over the next few months. Additionally, some recent economic June 2010 0.17% 0.22% 0.32% 0.61% 0.98% 1.79% 2.95%
indicators suggest that the recovery may be losing momentum. Despite March 2010 0.15% 0.23% 0.38% 1.02% 1.57% 2.54% 3.83%
continued growth in GDP, weaknesses still exist throughout the economy with
high unemployment, a depressed real estate sector and demands for Ch over ° °
I� 0.02 /o -0.01 /o -0.06% -0.41% -0.59% -0.75% -0.88%
government austerity threatening to slow what is to date only a modest Quarter
recovery. June 2009 0.18% 0.34% 0.48% 1.11% 1.62% 2.56% 3.53%
If the sovereign debt crisis is resolved and the recovery picks up speed again, Change over Year - 0.01% - 0.12% - 0.16% -0.50% - 0.64% - 0.77% - 0.58%
ongoing volatility and the prospect for higher interest rates will continue to
justify defensive strategies that are aimed at producing competitive absolute Source data: Bloomberg
returns while limiting downside market risk. With the decline in interest rates, the market values of fixed- income portfolios
Defensive strategies focus on maintaining durations short of benchmarks to increased. As the accompanying chart illustrates, portfolios with longer durations
protect against declines in market value while overweighting U.S. Treasuries outperformed those with shorter durations. During the quarter the 1 -3 year U.S.
and other instruments in the safest asset classes. These strategies are designed Treasury Note Index benchmark returned 1.16% (4.73% annualized), while the
to produce competitive absolute returns while simultaneously mitigating 3 -5 year U.S. Treasury Note index benchmark returned 3.48% (14.72%
market risk. annualized). The duration of the 3 -5 year U.S. Treasury Note Index benchmark
was 3.80 versus 1.82 for the 1 -3 year U.S. Treasury Note Index benchmark.
Interest Rates and Returns
Merrill Lynch U.S. Treasury Indices
Through the first quarter of 2010, strength in the manufacturing sector, a rise Quarterly and 12 -Month Total Return as of June 30, 2010
in personal spending, and better - than - expected employment reports caused
U.S. Treasury yields to continue their upward trend. However, by mid - April, ° 6.47%
investor sentiment changed as the European crisis took center stage. 6.0%
As fear of contagion gripped global markets, investors fled from riskier asset 5.0% 4.12%
classes and began aggressively purchasing U.S. Treasuries, bidding up prices 4.0% - 3.4tr%
and sending yields sharply lower. By the end of the quarter, the 2 -year U.S. 2.69%
3.0%
Treasury Note had fallen by 0.40% to its all -time low of 0.61 %. Longer -term 2.04%
maturities experienced an even greater decline; the 10 -year U.S. Treasury Note 2 0% - 1:4s
f I 3
plummeted by 0.87% to a yield of 2.95 %. The following table illustrates 1.0 % u 16N
quarter -end yields for various U.S. Treasury securities. o.o4°i°
0.0%
In response to the panic- driven flight to quality, the June statement of the 3mo 1 -3yr 1 -5yr 3 -5yr
Federal Open Market Committee explicitly recognized the overseas challenges t Quarter • 1 Year
Source data: Bloomberg
PFM Asset Management LLC Section A - 1
City of Winter Springs Investment Report - Quarter Ended June 30, 2010
The yield curve remained at historically steep levels through April 2010 before market value of portfolios and give us the flexibility to restructure when
flattening slightly as a fixed income market rally took hold. At the beginning appropriate.
of the quarter, the difference between two and ten year U.S. Treasury rates was
2.81 %. By quarter end, the difference was 2.33 %. With short-term rates at or Duration Adjusted Returns of Merrill Lynch 1 -3 Year Indices
near historic lows and investors chasing yield at any cost, some speculate that Quarterly and 12 -Month Total Return as of June 30, 2010
the steepness of the U.S. Treasury curve may be evidence that a new bubble
7.0
may soon develop. o
5.83 /o
6.0%
U.S. Treasury Yields and Yield Curve Steepness
June 2000 to June 2010 5.0%
7.0% 1 3.0%
4.0%
6.0% , ". - , ,,v '' 2.4% 2.69% 2.91%
3.0% - 5.0% L _ - 1.8%
`'R 2.0%
A 4 0% .�..._ 3£ ` " — 1 ° 1.16% 1 12% 0.72%
} 1.0%
3.0% ' 0 .6%
2.0% :, 0.0% U.S. Treasury Federal Agency AA /AAA Corporate
Current Quarter • Past 12 Months
1.0%
fAir" - Source data: Bloomberg
Spread (Right Axis) ""2 - Year TSY Duration - adjusted return incorporates an adjustment to the market value return (but not the
0.0% - 1.2% income return) of each benchmark to account for their varied durations, making it easier for
Jun 00 Jun 02 Jun 04 Jun 06 Jun 08 Jun 10 investors to assess the relative risk and return of benchmarks of different lengths.
The Economy
Source data Bloomberg
Interest Rate Spreads With increased investor anxiety about spiraling fiscal deficits and mounting
The difference, or spread, between interest rates on risk -free U.S. Treasury sovereign debt, the world leaders at the G20 Summit in June pledged to cut
obligations and other asset classes widened during the second quarter. Fears of budget deficits by 2013. Paradoxically, in order to cut budget deficits
solvency contagion caused corporate bond spreads to widen during the period. governments must reduce spending, which in turn negatively impacts GDP
As the next chart shows, this led high - quality (AA /AAA) corporate bonds to growth - government spending accounts for a significant portion of GDP.
underperform U.S. Treasury and federal agency benchmarks of comparable Decreased spending by governments can be detrimental to employment and
duration by a significant margin. This demonstrates how during times of aggregate demand, which may cause the private sector to refrain from making
volatility defensive strategies may outperform strategies which rely on riskier, large business investments or hiring additional workers during this period of
higher - yielding securities. With high volatility expected to continue through uncertainty. Unfortunately, with the economy already suffering from the after -
the remainder of the year, we will continue to rely on the safest asset classes of effects of recession, the private sector may not have enough strength to
securities and continue to implement defensive strategies to help protect the continue to be the catalyst for economic recovery.
PFM Asset Management LLC Section A - 2
City of Winter Springs Investment Report – Quarter Ended June 30, 2010
During the first quarter, the U.S. economy expanded at a 2.7% rate, revised reduce the rate of reserves to cover non - performing loans. Loan loss provisions
downwards from 3.2% that was initially reported in April. Current estimates and write -offs were down 16.6% year- over -year. During the quarter ending
are for the economy to expand at a rate of 3.3% for the entire year. Early March 31, 2010, banks and institutions insured by the FDIC posted an $18
reports suggest that corporations will continue to generate strong earnings. billion profit, and more than half (52.2 %) of banks reported growth in net
Although the oil spill in the Gulf Coast has had a devastating environmental income.
impact and is expected to strain tourism and tourism - related industries, it is not The sovereign debt crisis focused investors on the global economy to help
expected to have an impact on overall U.S. GDP growth. formulate opinions regarding the recovery and guide investment strategies.
Although the U.S. manufacturing sector continues to expand, the pace of The sovereign debt crisis stems from concerns that the debt -to -GDP and /or
expansion has recently slowed. This trend has continued globally as evidenced budget - deficit -to -GDP ratios of several countries —most notably Greece,
by the China Manufacturing PMI Index and Eurozone Manufacturing PMI Portugal, and Spain — exceeds thresholds as established in the 1997 Stability
Market Survey (two surveys that are similar in form to the ISM Manufacturing and Growth Pact, an agreement among all members of the European Union.
Index), which showed a declining pace in the expansion of manufacturing. Greek, Portuguese, and Spanish credit default swaps ( "CDS "), derivative
Some believe this provides further evidence that the overall recovery is losing contracts that transfer default risk from the buyer of the CDS to the seller,
momentum, both globally and domestically. reached record highs during the quarter. Meanwhile, Standard and Poor's and
For many observers, the health of the economy is viewed from the perspective Moody's downgraded Greece's sovereign debt to junk status. The rating
of employment and the housing market in the United States. During the second agencies also have taken steps, albeit less severe, to reduce the credit ratings of
quarter, non -farm payrolls increased by 621,000. Although this would appear Portugal and Spain.
to be a strong result, much of this hiring is attributable to the government The debt crisis caused the Euro to tumble by 12.3% in value relative to the
hiring census workers. These jobs are only temporary and started to disappear U.S. dollar in the first half of the year. As illustrated in the chart on the next
in June. Initial jobless claims remained above 450,000 in June for the sixth page, the U.S. dollar also has strengthened relative to other currencies. The
straight month. The unemployment rate ended the quarter at 9.5 %, which is U.S. Dollar Index, a measure of the value of the dollar versus as basket of
less than the 9.8% economists expected. foreign currencies including the euro, Japanese yen, Pound sterling, Canadian
The housing market has been mixed in recent months as the Case - Shiller dollar, Swiss franc, and Swedish krona, increased by 8.4% since the beginning
Home Price Indices showed home prices in major metropolitan areas increased of 2010.
throughout the quarter. Year - over -year, the 20 -city composite index is up.
However, new home sales in May decreased by 33% to the lowest level since Although a stronger U.S. dollar increases the purchasing power of U.S.
1963 as the federal homebuyer tax credit expired, leading some economists to consumers, a rapid change can have destabilizing effects. In order to ensure
speculate that demand for housing is not strong enough without the tax credit. ample liquidity in the U.S. dollar market, the Federal Open Market Committee
The banking sector showed some signs of strength, although bank failures in May authorized the re- establishment of currency swap lines through January
remained problematic. During the second quarter, 48 banks failed, raising the 2011. These currency swap lines are with other central banks including the
year -to -date total to 85. The number of banks on the FDIC's problem list European Central Bank, Bank of Japan, Bank of England, Bank of Canada,
increased by 73 to 775 banks and $431 billion of assets. The FDIC's problem and Swiss National Bank. Currency swap lines are arrangements designed to
list consists of banks the FDIC is closely monitoring due to concerns regarding enhance liquidity in U.S. dollars to overseas markets in which the Fed and a
solvency. This problem list accounts for approximately 9.8% of all banks counterparty trade a fixed amount of currency at current market rates, while
reporting to the FDIC and 3% of total system assets. Ninety-one banks and agreeing to swap back at the same rate in the future.
thrifts skipped the May dividend payment under the Troubled Asset Relief
Program, or TARP. It was the first missed payment for 23 of the banks.
However, with home prices finally stabilizing, the banking sector was able to
PFM Asset Management LLC Section A - 3
City of Winter Springs Investment Report — Quarter Ended June 30, 2010
continue to underweight investments with a credit component, including
Dollar Index vs. Dollar /Euro Exchange Rate corporate obligations and, to a degree, federal agency instruments. While these
January 2010 - June 2010 defensive strategies may underperform over the short-run if interest rates
90.00 - .._..__ _....--- ._._.._.._.._ ____.._._____ _...___....__....___._...-- -._. ___--- ___._._ --_- 1.60
remain at current levels or decline even further, defensive strategies should
88.00 L 1.50 ' perform well through the next leg of the business cycle when rates rise toward
::: i i.r historic norms.
• - " v 1.40 -
1.30
= 82.00
o n o
80.00 �' �'' "' 1.20
78.00 - 1.10 cro
76.00 1.00
Jan -10 Feb -10 Mar -10 Apr -10 May -I0 Jun -10
Dollar Index •$ /euro Exchange Rate
Source data: Bloomberg
Gold, considered a safe haven in times of financial instability, continued to
make record highs and finished the quarter up 10.7% while the Dow Jones
Industrial Average and S &P 500 Index declined by 11.35% and 12.51 %,
respectively, during the quarter. By June 30, 2010, the Dow Jones Industrial
Average and S &P 500 Index had fallen by 7.11% and 8.30% from December
31, 2009 levels.
Outlook
Despite tumultuous market conditions, economists are projecting GDP growth
in the range of 3.3% for the second quarter of 2010. Growth is expected to
taper off for the remainder of the year, to the 2.8% to 3.0% range.
The challenges of a weak housing market, high unemployment rate, modest
income growth, and tight credit remain. The sovereign debt crisis and, more
importantly, the austerity measures governments put in place to provide relief
will have a significant effect on the global recovery. Increasing taxes and
decreasing government spending may smother the embers of a fragile
economic recovery.
With volatility expected to remain high for the foreseeable future, we will
continue to employ defensive strategies. With rates at such low levels, we will
continue to maintain shorter durations relative to benchmarks because a rate
rise will depress returns of longer- duration portfolios. Additionally, we will
PFM Asset Management LLC Section A - 4
City of Winter Springs Investment Report - Quarter Ended June 30, 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 portfolios are allocated among
high quality issuers rated AAA and A -1 +.
> Short-term rates were generally higher in the second quarter than the first, with 1 -month T -bill rates averaging 0.11% in the second compared
with only 0.06% in the first. Treasury and federal agency rates moved upward early in the quarter on the growing economic recovery. However,
the global growth concems that led long -term rates lower also led short-term Treasury and federal agency rates down in a flight -to- quality.
> The tumult in Europe led the TED spread, an indication of investors averseness to risk, to increase in the quarter. Commercial paper spreads
widened as a result of the perceived increase in risk associated with corporate securities. Commercial paper now offers a significant yield
advantage over Treasuries and federal agencies of comparable maturities.
> The portfolio continues to provide the City with favorable yield relative to the benchmark. At quarter end the portfolio had a Yield to Maturity
at Cost of 1.00 %, exceeding the 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 June 30, 2010
The City's Investment Statistics
Amortized Cost'' Amortized Cost "' Market Value'" Market Value ' ' Duration (Years)
Account Name June 30. 2010 March 31. 2010 June 30. 2010 March 31, 2010 June 30. 2010
General City Account Portfolio $19,322,874.54 $19,354,546.22 $19,403,163.55 $19,426,000.38 0.68
Fidelity Institutional Money Market Fund Government Portfolio (Fund #257) 5,992,302.08 6,412,148.09 5,992,302,08 6,412,148.09 0,003
Money Market Fund - State Board of Administration Pool A 40,724.18 0.18 40,724.18 0.18 45.9 Days
Money Market Fund - State Board of Administration Pool B 823,035.67 874,557.33 823,035.67 874,557.33 N/A
Bank of America Cash for Operation - depository 1,518,856.56 2,586,914.75 1,518,856:56 2,586,914.75 0.003
Water & Sewer 2000 - Fidelity Institutional Money Market Fund Government Portfolio (Account #364) 716,548,41 716,530.34 716,548.41 716,530.34 0.003
Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool A 1,181.93 0.01 1,181.93 0.01 45.9 Days
Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool B 23,886,67 25,381.96 23,886.67 25,381.96 N/A
Water & Sewer Series 1992 Refunding Revenue Reserve - BONY 1,305,069.93'- 1,305,069.93 1,306,069.93 1,305,069.93 0.003
Total $29,744,479.97 $31,275,148.81 $29,824,768.98 $31,346,602.97
Yield to Maturity Yield to Maturity Yield to Maturity Yield to Maturity
on Cost' on Cost at Market at Market Duration (Years)
Account Name June 30, 2010 March 31, 2010 June 30, 2010 March 31, 2010 March 31. 2010
General City Account Portfolio 1.00% 1.00a /o 0.39% 0.56% 0.92
Fidelity Institutional Money Market Fund Govemment Portfolio (Fund #257) 0.01% 0.01% 0.01% 0.01% 0.003
Money Market Fund - State Board of Administration Pool A 0.34% 0.20% 0.34% 0.20% 44.4 days
Money Market Fund - State Board of Administration Pool B 0.00% 0.00% 0.00% 0.00% NIA
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 Government Portfolio (Account #364) 0.01% 0.01% 0.01% 0.01% 0.003
Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool A 0.34% 0.20% 0.34% 0.20% 44.4 days
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 0.005i, 0.00% 0.00% 0.00% 0.003
Weighted Average Yield 0.67% 0.65% 0.27 / 0.37%
Benchmarks June 30.'2010 March 31, 2010
6 Month U.S. Treasury Bill Index' 0.20% 0.20%
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 June 30, 2010
General City Account Portfolio Composition and Credit Quality Characteristics
Security Type' June 30. 2010 % of Portfolio March 31, 2010 % of Portfolio
U.S. Treasuries $2,617,875.82 13.49% $2,611,322.64 13.44%
Federal Agencies 10,431,862.76 53.76% 10,458,200.27 53.84%
Commercial Paper 1,799,920.80 9.28% 1,798,750.80 9.26%
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 4,553,504.17 23.47% 4,557,726.67 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 $19,403,163.55 100.00% $19,426,000.38 100.00%
Portfolio Composition Credit Quality Distribution 3
as of 06/30/10 Federal as of 06/30/10
Agency
U.S. - - �� Obligations
Treasuries 54% / A -1+ (Short-
14% AAA term)
77% 9%
f.
Corporate
TSY
Notes /Bonds - 14%
FDIC Insured Commercial 14%
° Paper
23% 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. Government.
PFM Asset Management LLC Section B - 3
City of Winter Springs Investment Report - Quarter Ended June 30, 2010
General City Account Portfolio Maturity Distribution
Maturity Distribution' June 30. 2010 March 31, 2010
Overnight (Money Market Fund) $0.00 $0.00
Under 6 Months 6,218,961.18 3,053,906.01
6 - 12 Months 10,566,843.46 9,333,620.43
1 - 2 Years 2,617,358.91 7,038,473.94
2 - 3 Years 0.00 0.00
3 - 4 Years 0.00 0.00
4 - 5 Years 0.00 0.00
5 Years and Over 0.00 0.00
Totals 619,403,163.55 $19,426,000.38
Portfolio Maturity Distribution'
60% 54%
['June 30, 2010
50% 48% v March 31, 2010
0 40% - 36%
-t 32%
30%
To
0
20% j 16%
° 13%
co
IS 10%
°
0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
a 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 June 30, 2010*
N.
Security Type' June 30, 2010 June 30, 2010 Notes Permitted by Policy Asset Allocation
United States Treasury Securities 2,601,641.02 9.39% 100% as of June 30. 2010
United States Government Agency Securbes - 0.00% 75%
Federal Instrumentalities 10,402,112.16 37.56% 80% Federal Instrumentalities l
Certificates of Deposit - 0.00% 25% 37.56% l I
Commercial Paper
Repurchase Agreements - 0.00% 5011.
Commercial Paper 1,799,879.99 6.50% 30%
- �Corporlc Notes nsured - FDIC
Corporate Notes - FDIC Insured 4,519,241.37 18.32% SO% W `T -^r - I
Mortgage - Backed Securities - 0.00% 0/. :g am - 163 2%
United States Treasury '»
Bankers' Acceptances - n00% 30% Securities
State and /or Local Govemment Debt (GO end Revenue) - 0.00% 20% 939
Bank of America Cash for
Money Market Mutual Funds 6,856,08193 24.75% 2 100% Operation Money Market Mutual Funds
5A8 % 24 75%
Intergovernmental Investment Pool - 0.00% 25%
Bank of Amerca Cash for Operation 1,518,656.56 5.48% 2 100%
Individual Issuer Breakdown June 30, 2010 June 30, 2010 Notes Permitted by Policy Individual Issuer Breakdown June 30, 2010 June 30, 2010 Notes Permitted by Policy
Govemment National Mortgage Association (GNMA) - 0.00% 50% CD - Bank A 0.00% 15%
US Export-Import Bank (EnJm) - 0.00% 50% CD - Bank B - '.0.00% 15%
Farmers Home Administration (FMHA) - 0.00% 50% Fully collateraized 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 1,799.879.99 6.50% 10%
General Services Administration - 0.00% 50% CP 8 - 0.00% 10%
New Communities Act Debentures - 0.00% 50% General Electric Corporate Notes - FDIC insured 1.508,288.80 5.45% 25%
US Public Housing Notes 5 Bonds - 0.00% 50% JP Morgan Chase Corporate Notes - FDIC insured 1,508,812.09 5.45% 25%
US Dept. of Housing and Urban Development - 0.00% 50% Bank of America Corporate Notes -FDIC insured 1.502,142.48 5,42% 25%
Federal Farm Credit Bank (FFCB) - 0.00% 25% Corporate Notes - FDIC insured D - 0.00% 25%
Federal Home Loan Bank (FHLB) 3,621048.44 13.07% 25% Corporate Notes - FDIC insured E - - - 0.00% 25%
Federal National Mortgage Association (FNMA) 5.187,576.50 18.73% 25% BA Bank A - 0.00% 10%
Federal Horne Loan Mortgage Corporation (FHLMC) 1,593,487.22 5.75% 25% BA Bank B - 0.0014 10%
Student Loan Marketing Association (SLMA) - 0.00% 25% BA Bank C 0.0014 10%
Municipal Notes /Bonds 0,00% 20%
Fidelity Institutional Money Market Fund Govemment Portfolio (Fund *257) 5,992,302.08 21.835t 2 25%
Money Market Fund - State Board of Administration 883,759.85 3.12% 2 25%
Notes
1. Does not ind.He bond proceeds
2. Managed by the City
3 End of month trade -date amortized cos! of poMofn holdings. Including accrued nlereat
PFM Asset Management LLC Section C - 1