HomeMy WebLinkAbout2011 05 23 Informational 101 Investment Report March 31, 2011
COMMISSION AGENDA
CONSENT
INFORMATIONAL X
ITEM 101
PUBLIC HEARING
REGULAR
MGR /DEPT
May 23, 2011
Meeting
Authorization
REQUEST: The City Manager and Finance Department providing the Investment Report
for the second quarter of fiscal year 2011 (quarter ending March 31, 2011) as prepared by
PFM Asset Management LLC.
SYNOPSIS:
Distribution of the investment report for the quarter-ending March 31, 2011.
CONSIDERATIONS:
The General City Account portfolio is of high credit quality and maintains adequate liquidity.
The portfolio is invested entirely in Federal Agency, U.S. Treasury and commercial paper
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, 2011.
FISCAL IMPACT:
The weighted average yield at March 31, 2011 is .41%. The weighted average yield at December
31, 2010 was 0.54%. This portfolio has an average maturity of less than one year.
COMMUNICATION EFFORTS:
This Agenda Item Has Been Electronically Forwarded To The Mayor And City Commission,
City Manager, City Attorney/Staff,And All eAlert/eCitizen Recipients; And Is Available On The
City’s Website, LaserFiche, And The City’s Server. Additionally, Portions Of This Agenda Item
Are Typed Verbatim On The Respective Meeting Agenda Which Has Also Been Electronically
Forwarded To The Individuals Noted Above; And Which Is Also Available On The City’s
Website, LaserFiche, And The City’s Server; Has Been Sent To City Staff, Media/Press
Representatives Who Have Requested Agendas/Agenda Item Information, Homeowner’s
Associations/Representatives On File With The City, And All Individuals Who Have Requested
Such Information; And Has Been Posted Outside City Hall; Posted Inside City Hall With
City Commission – Regular Meeting
May 23, 2011
Informational Agenda Item #101
Page 2 of 2
Additional Copies Available For The General Public; And Posted At Five (5) Different
Locations Around The City. This Agenda Item Is Also Available To Any New Individual
Requestors.City Staff Is Always Willing To Discuss This Or Any Agenda Item With Any
Interested Individuals.
Furthermore, the investment report will be placed on the City’s website within one week of
acceptance in the section titled Budgets and Financial Documents.
RECOMMENDATION:
Staff requests the City Commission to review and accept the information provided in this
Agenda Item.
ATTACHMENTS:
Investment Report for quarter-ending March 31, 2011
City of Winter Springs
Investment Performance Review
Quarter Ended March 31, 2011
Investment Advisors
Steven Alexander, CTP, CGFO, Managing Director
Mel Hamilton, Senior Managing Consultant
David Jang, CTP, Senior Managing Consultant
Gregg Manjerovic, CFA, Portfolio Manager
Rebecca Dole, CTP, Consultant
PFM Asset Management LLC
300 S. Orange Avenue, Suite 1170 One Keystone Plaza, Suite 300
Orlando, FL 32801 North Front & Market Streets
(407) 648 -2208 Harrisburg, PA 17101 -2044
(407) 648 -1323 fax 717 - 232 -2723
717- 233 -6073 fax
City of Winter Springs Investment Report - Quarter Ended March 31, 2011
Table of Contents
Tab 1.
Section A Market Review
Tab 11.
Section B Executive Summary and General City Account Portfolio Performance
Section C Asset Allocation Chart
Tab III. March 31, 2011 PFM Month -End Statement
(statements are available online at www.pfm.com)
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, 2011
TAB I
City of Winter Springs Investment Report- Quarter Ended March 31, 2011
Intermediate- and long -term interest rates rose modestly for the second
consecutive quarter, driven by optimism for continued economic
growth. As a result, returns on most fixed - income benchmarks were
reduced by market value erosion that comes with rising rates. Despite
two quarters of rising rates, returns over the last 12 months for longer
fixed- income strategies were significantly higher than returns of cash -
equivalent and money market investments, which remain near zero.
Rates experienced significant intra - quarter volatility as the natural
disaster in Japan and geopolitical unrest temporarily counteracted the
upward trend. By the end of the quarter, however, the net result was an
increase of 20 to 30 basis points (0.20% to 0.30 %) in yields on
Treasury and Agency securities longer than one year. Despite this rise,
the incremental income on longer -term investments and the impact of
"rolling down" the yield curve helped protect the market value of
portfolios.
The Economy
Behind the optimism was a slew of positive economic news. For
example, the economy created 478,000 jobs during the first quarter
with the headline unemployment rate dropping below 9% in February
for the first time in almost two years. Manufacturing strengthened, as
did retail sales and commodity and stock prices, while personal
income grew at a pace that would support modest to strong GDP
growth. Also fueling the continued recovery during the quarter were
the effects of Congress' move to extend the Bush era tax cuts along
with reductions in the payroll (Social Security) tax.
The pace of wholesale and broad consumer price increases accelerated,
but narrower inflation measures that focus on core prices remain
muted. However, bond investors remain skittish on the inflation front.
Thus comments from the Federal Reserve that it would complete the
second phase of its program of Quantitative Easing and maintain an
accommodative monetary policy put downward pressure on rates.
Volatility Rises
News of violent protests across the Middle East and North Africa,
resulting in a toppled government in Egypt, an ongoing civil war in
Libya, and great uncertainty surrounding the region all contributed to
market volatility sending investors to the safety of U.S Treasury
securities each time violence flared.
An earthquake and ensuing tsunami battered Japan in mid - March. The
environmental and economic uncertainty surrounding the damage to
nuclear reactors pushed yields to their lowest point during the quarter.
However, the strength of the economic recovery reemerged, sparking a
rally in yields that negated the effects of the flight to quality.
Interest Rates and Returns
By March 31, the rise in rates was most apparent in intermediate -term
Treasuries -the so- called belly of the yield curve -with the yield on a
2 -year U.S. Treasury note up 0.23% from its December 31, 2010 level
while 10 -year Treasury yields rose only 0.18% during the same period.
The increase in rates negatively impacted returns for the quarter as the
price and yield of a security are inversely related.
Short-term interest rates remained near historic lows throughout the
quarter as the Fed continued to hold the Fed Funds rate in the range of
zero to 25 basis points. Returns on investment strategies along most of
the yield curve hovered just above zero.
Summary of U.S. Treasury Security Yields
Date 3M 6M ly 2Y 3Y 5Y i
March 31, 2011 0.09% 0.17% 0.27% 0.82% 1.30% 2.28% 3.47%
December 31, 2010 0.12% 0.18% 0.26% 0.59% 0.99% 2.01% 3.29%
over Quarter -0.03% -0.01% 0.01% 0.23% 0.31% 0.27% 0.18%
March 31, 2010 0.15% 0.23% 0.38% 1.02% 1.57% 2.54% 3.83%
over Year -0.06% -0.06% -0.11% -0.20% -0.27% -0.27% -0.36%
Source data: Bloomberg
PFM Asset Management LLC Section A - 1
City of Winter Springs Investment Report — Quarter Ended March 31, 2011
2 -Year U.S. Treasury Note Yield
April 1, 2009 through March 31, 2011
7%
6%
5%
4%
3%
2 °0
1%
0 °0
U.S. Treasury Yields and Yield Curve Steepness
March 2001 to March 2011
3.0%
2.4%
1.8%
1.2%
0.6%
0.0%
-0.6%
-1.2%
1.50%
1.25%
1.00%
0.75%
0.50%
0.25%
0.00%
Source data: Bloomberg
The yield curve steepened even more during the quarter as the spread
between shorter- and longer - maturity Treasuries rose. For example, as
the following chart shows, the spread between 2 -year and 10 -year U.S.
Treasury notes closed the quarter at 265 basis points, near the widest
levels since 2003, before the yield curve flattened as a result of 17
consecutive hikes in the Fed Funds rate. The positive slope of the yield
curve helps protect the market value of longer - duration portfolios. The
steep yield curve allows fixed - income investors to benefit from a
concept referred to as "rolling down the yield curve ". As securities
approach their maturity date, they will be priced as shorter, lower -
yielding securities. Pricing a security at a lower yield increases the
market price of the security helping to offset the negative effects of
rising yields.
i
Mar O 1 Mar 03 Mar 05 Mar 07 Mar 09 Mar 11
—::J Spread (Right Axis) 2 -Year TSY 10 -Year TSY
Source data: Bloomberg
As a result of the increase in interest rates during the quarter, longer -
duration fixed- income strategies slightly underperformed their shorter -
duration counterparts. As evidenced in the following chart, benchmark
returns were barely positive, with the 1- to 3 -year U.S. Treasury index
returning 0.03% (0.12% annualized) for the quarter versus a return on
the 3- to 5 -year index of 0.01% (0.04% annualized).
However, as the following chart shows, year- over -year returns were
still much higher for longer- duration strategies as short-term returns
continue to be limited by the extremely low Fed Funds rate. For the 12
months ended March 31, 2011, the 3- to 5 -year U.S. Treasury index
returned 4.40% versus a return of 1.67% on the 1- to 3 -year index, an
outperformance of 273 basis points. Despite slightly better returns
during the quarter, the 12 -month performance of very short-term
strategies continued to lag the performance of longer strategies as the 3-
month U.S. Treasury benchmark returned only 0.16% over the prior 12
months.
PFM Asset Management LLC Section A - 2
Apr 09 Jul 09 Oct 09 Jan 10 Apr 10 Jul 10 Oct 10 Jan 11
Mar O 1 Mar 03 Mar 05 Mar 07 Mar 09 Mar 11
—::J Spread (Right Axis) 2 -Year TSY 10 -Year TSY
Source data: Bloomberg
As a result of the increase in interest rates during the quarter, longer -
duration fixed- income strategies slightly underperformed their shorter -
duration counterparts. As evidenced in the following chart, benchmark
returns were barely positive, with the 1- to 3 -year U.S. Treasury index
returning 0.03% (0.12% annualized) for the quarter versus a return on
the 3- to 5 -year index of 0.01% (0.04% annualized).
However, as the following chart shows, year- over -year returns were
still much higher for longer- duration strategies as short-term returns
continue to be limited by the extremely low Fed Funds rate. For the 12
months ended March 31, 2011, the 3- to 5 -year U.S. Treasury index
returned 4.40% versus a return of 1.67% on the 1- to 3 -year index, an
outperformance of 273 basis points. Despite slightly better returns
during the quarter, the 12 -month performance of very short-term
strategies continued to lag the performance of longer strategies as the 3-
month U.S. Treasury benchmark returned only 0.16% over the prior 12
months.
PFM Asset Management LLC Section A - 2
Apr 09 Jul 09 Oct 09 Jan 10 Apr 10 Jul 10 Oct 10 Jan 11
City of Winter Springs Investment Report — Quarter Ended March 31, 2011
5.0%
4.0%
3.0%
2.0%
1.0%
0.0%
Total Returns of Merrill Lynch U.S. Treasury Indices
Quarterly and 12 Month Total Return as of March 31, 2011
4.40%
o
o
0.16%
0.03% 0.02%
0.05% 0.01
3mo 1 -3yr
❑ Quarter
1 -5yr 3 -5yr
■ 1 Year
Source data: Bank ofAmerica Merrill Lynch; Bloomberg
Credit spreads continued to narrow despite beginning the quarter at
historically low levels, resulting in enhanced returns from Agency and
corporate bonds when compared with like - duration Treasuries. For
example, the spread between 10 -year Treasury debt and 10 -year
Agency debt narrowed by an additional four basis points to end the
quarter at 26 basis points.
In the short end of the yield curve, corporate credits were in demand as
signs of a strong economy improved corporate balance sheets and
investors' outlook for those credits. Increased appetite for credit risk,
along with reduced Federal Agency issuance, drove up prices on
corporate securities, propelling corporate indices higher than
comparable U.S. Treasury and Federal Agency indices.
Duration Adjusted Returns of Merrill Lynch 1 -3 Year Indices
Quarterly and 12 Month Total Return as of March 31, 2011
4%
3%
2%
1%
0%
■ Current Quarter ■ Past 12 Months
Source data: Bank ofAmerica Merrill Lynch; Bloomberg
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.
Economic Outlook
Positive economic data continues to show the economy is on a path of
recovery despite a few remaining anchors.
One of those anchors is elevated unemployment and the large number
of jobs lost during the recession. Although unemployment remains
high, considerable improvement has been made since the
unemployment rate peaked at 10.1% in October 2009. Continued
improvement in the employment situation will be a key driver of a
sustained recovery.
PFM Asset Management LLC Section A - 3
U.S. Treasury Federal Agency AA /AAA Corporate
City of Winter Springs Investment Report— Quarter Ended March 31, 2011
The following chart shows the positive trend seen in recent
employment data releases.
since September 2008, investors have set aside these concerns for the
time being and appear to be focused on brighter prospects for the
economy.
500
300
100
CZ
CZ
0
(100)
(300)
(500)
(700)
(900)
0
ro
P�
U -3 Unemployment Rate and Non -Farm Payrolls
March 31, 2006 to March 31, 2011
L11101111th��� G -------------- --- - -------------------------------- -
----------------------------------------- -------------------------------- -
11111 p1rill
---------------------------------------- -------------- --------- -
Mar 06 Mar 07
12%
10%
8%
6%
CD
CD
4 %
2%
0%
Mar 08 Mar 09 Mar 10 Mar 11
� Non - Farm Payrolls U - 3 Unemployment
Source data: Bloomberg
The bleak housing market continues to be a concern going forward, as
prices fell further during the quarter. Median house prices in the
United States fell more than 8% over the prior 3 months to $156,100 in
February. Demand for existing and new homes remains weak as
buyers face tougher borrowing requirements and reservations about
when prices will bottom out. A reversal in the trend of falling home
prices and stagnant demand would accelerate economic growth,
possibly stoking inflation concerns.
A close eye will be kept on the situation in the Middle East and North
Africa. Higher oil prices as a result of the turmoil have the potential to
decrease disposable income and stall the economic recovery in the
United States. Despite the price of oil rising 16% to the highest levels
Markets will also be monitoring Japan's ability to rebound from its
environmental disaster. With Japan being the third- largest economy
and the largest consumer of U.S. exports, their ability to bounce back
will have a direct impact on the future of the U.S. recovery. The events
in Japan also renewed concerns about nuclear power as a viable
alternative to meet the growing demand for energy.
Investment Strategy
Although the economy continues to improve, the Federal Reserve
remains reluctant to raise short-term rates. Investors choosing cash
equivalent strategies should be reconciled to near -zero returns. Given
the recent back -up in rates and the steepness of the yield curve, we feel
that intermediate fixed - income securities offer value.
Although the longer -term trend is for higher rates, the Federal Reserve
does not look set to tighten monetary conditions anytime soon. This
fact will exert pressure to keep rates low for the time being and present
opportunities for intermediate -term securities to produce returns in
excess of cash. Until the Federal Reserve begins posturing to tighten
monetary policy, managing portfolios with a duration target that is
only slightly defensive has the potential to produce good performance,
especially when compared with the near zero level of short-term rates.
PFM Asset Management LLC Section A - 4
City of Winter Springs Investment Report - Quarter Ended March 31, 2011
TAB II
City of Winter Springs Investment Report - Quarter Ended March 31, 2011
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, and commercial paper securities. The securities in the portfolios are allocated among high quality issuers rated AAA and
A -1 +.
➢ The U.S. economy continued to show signs of modest improvement in the first quarter of 2011. Fourth quarter 2010 GDP was released at $13.38
trillion, surpassing the previous peak of $13.36 trillion in the second quarter of 2008.
➢ Over the quarter, interest rates were volatile across the yield curve due to positive economic releases, such as the manufacturing and
employment reports, and significant developments abroad, such as the political turmoil in the Middle East and the earthquake in Japan. Despite
the volatility, intermediate -term yields finished the quarter 20 basis points higher than the previous quarter on signs of better growth prospects
and higher inflation expectation in the U.S.
➢ Commercial paper remains an attractive investment when compared to comparable maturity U.S. Treasury and federal agency securities. Given
the outlook for the economy and credit we are comfortable continuing to utilize commercial paper.
➢ The General City Account Portfolio continues to provide the City with favorable yield relative to the benchmark. Over the quarter the portfolio had
a weighted average Yield to Maturity at Cost of 0.65 %, exceeding the average Yield to Maturity of its benchmark the Merrill Lynch 1 Year U.S.
Treasury Note Index by 38 basis points (0.38 %).
➢ 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.
➢ Although interest rates have rebounded from all time lows, we believe the Federal Reserve is highly unlikely to change its policy in the short term.
Economists expect the second round of quantitative easing will run its course, through June. However, an internal debate over monetary policy
among the Fed Governors has been at the forefront of the conversation in Washington throughout the first quarter. Such heated debate may be a
sign that monetary policy change is on the horizon, although not in the near term. As long as the economy continues to stay the course, we
expect the first interest rate tightening to occur sometime after the first quarter of 2012.
➢ While near -time events (Japan earthquake, continued Middle East uncertainty) could slow the pace of economic growth, the economy appears to
be on track for continued modest growth over the next several quarters. Many positive economic forces, such as strength in manufacturing,
improving job market, strong corporate earnings supporting continued rising stock prices, and solid retail sales indicate the economy is in the
growth phase.
PFM Asset Management LLC Section B - 1
City of Winter Springs Investment Report - Quarter Ended March 31, 2011
The City's Investment Statistics
Account Name
Amortized Cost' Amortized Cost' I3 Market Value'" Market Value' 13 Duration (Years)
March 31, 2011 December 31, 2010 March 31, 2011 December 31, 2010 March 31, 2011
General City Account Portfolio
$19,823,417.14
$13,091,000.27
$19,832,204.38
$13,126,876.31
1.12
Fidelity Institutional Money Market Fund Government Portfolio (Fund #257)
8,109,252.22
6,912,903.22
8,109,252.22
6,912,903.22
0.003
Money Market Fund - State Board of Administration Pool A
73,676.09
44,806.15
73,676.09
44,806.15
40 Days
Money Market Fund - State Board of Administration Pool B
678,940.57
707,769.33
678,940.57
707,769.33
N/A
Bank of America Cash for Operation - depository
2,908,464.21
8,272,728.54
2,908,464.21
8,272,728.54
0.003
Water & Sewer 2000 - Fidelity Institutional Money Market Fund Government Portfolio (Account #364)
716,618.03
716,605.85
716,618.03
716,605.85
0.003
Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool A
2,138.30
1,300.40
2,138.30
1,300.40
40 Days
Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool B
19,704.67
20,541.35
19,704.67
20,541.35
N/A
Water & Sewer Series 1992 Refunding Revenue Reserve - BONY
1,305,931.84
1,305,196.99
1,305,931.84
1,305,196.99
0.003
Total
$33,638,143.07
$31,072,852.10
$33,646,930.31
$31,108,728.14
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, 2011 December 31, 2010 March 31, 2011 December 31, 2010 December 31, 2010
General City Account Portfolio
0.65%
1.07%
0.49%
0.27
Fidelity Institutional Money Market Fund Government Portfolio (Fund #257)
0.01%
0.01%
0.01%
0.01
Money Market Fund - State Board of Administration Pool A
0.27%
0.27%
0.27%
0.27
Money Market Fund - State Board of Administration Pool B
0.00%
0.00%
0.00%
0.00
Bank of America Cash for Operation - depository
0.30%
0.30%
0.30%
0.30
Water & Sewer 2000 - Fidelity Institutional Money Market Fund Government Portfolio (Account #364)
0.01%
0.01%
0.01%
0.01
Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool A
0.27%
0.27%
0.27%
0.27
Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool B
0.00%
0.00%
0.00%
0.00
Water & Sewer Series 1992 Refunding Revenue Reserve - BONY
0.00%
0.27%
0.00%
0.27
Weighted Average Yield
0.41%
0.54%
0.32%
0.21
Benchmarks
Merrill Lynch 1 Year U.S. Treasury Note Index'
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.
March 31, 2011 December 31, 2010
0.27% 0.31
0.39
0.003
35 Days
N/A
0.003
0.003
35 Days
N/A
0.003
PFM Asset Management LLC Section B - 2
City of Winter Springs Investment Report - Quarter Ended March 31, 2011
General City Account Portfolio Composition and Credit Quality Characteristics
Security Type
March 31, 2011
% of Portfolio
December 31, 2010
% of Portfolio
U.S. Treasuries
$7,903,765.40
39.85%
$2,613,555.36
19.91%
Federal Agencies
8,932,274.98
45.04%
7,489,012.45
57.05%
Commercial Paper
2,996,164.00
15.11%
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
0.00
0.00%
3,024,308.50
23.04%
Mortgage Backed
0.00
0.00%
0.00
0.00%
Money Market Fund /Cash
0.00
0.00%
0.00
0.00%
Totals
$19,832,204.38
100.00%
$13,126,876.31
100.00%
A -1+ (Short- Credit Quality Distribution 3
term) as of 03/31/11
15% �_
TSY
40%
,
AAA
45%
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 /LGIP. Standard & Poor's is the source of the credit ratings.
3. A rating of 'TSY" indicates the security is an obligation of, or explicitly guaranteed by the U. S. Government.
PFM Asset Management LLG Section B - 3
Portfolio Composition
U.S.
as of 03/31/11
Treasuries
40%
Federal
Agency
Commercial
Obligations
Paper
45%
15%
A -1+ (Short- Credit Quality Distribution 3
term) as of 03/31/11
15% �_
TSY
40%
,
AAA
45%
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 /LGIP. Standard & Poor's is the source of the credit ratings.
3. A rating of 'TSY" indicates the security is an obligation of, or explicitly guaranteed by the U. S. Government.
PFM Asset Management LLG Section B - 3
City of Winter Springs
Investment Report - Quarter Ended March 31, 2011
General City Account Portfolio Maturity Distribution
Maturity Distribution
March 31, 2011
December 31, 2010
Overnight (Money Market Fund)
$0.00
$0.00
Under 6 Months
6,094,083.04
10,510,578.27
6 - 12 Months
5,020,114.34
1,307,782.23
1 - 2 Years
7,318,984.25
1,308,515.81
2 - 3 Years
1,399,022.75
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 $19,832,204.38 $13,126,876.31
90%
80%
70%
0 60%
0 50%
n
40%
~ 30%
0
m 20%
10%
0%
Portfolio Maturity Distribution'
80%
37%
31%
25%
n 10%
0% 0%
Overnight Under 6 Months 6 - 12 Months
10% 7%
13 March 31, 2011
13 December 31, 2010
0% 0% 0% 0% 0% 0%
1- 2 Years 2- 3 Years 3- 4 Years 4- 5 Years 5 Years and Over j
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.
PFAI Asset Alanagement LLC section B - 4
City of Winter Springs, Florida'
Asset Allocation as of March 31, 2011*
Security Type'
March 31, 2011
March 31, 2011
Notes
Permitted by
United States Treasury Securities
7,900,864.15
25.01%
CD - Bank B
100%
United States Government Agency Securities
-
0.00%
-
75%
Federal Instrumentalities
8,927,963.27
28.26%
0.00%
80%
Certificates of Deposit
-
0.00%
10%
25%
Repurchase Agreements
-
0.00%
Corporate Notes - FDIC insured A
50%
Commercial Paper
2,994,589.72
9.48%
-
30%
Corporate Notes - FDIC Insured
-
0.00%
0.00%
50%
Mortgage - Backed Securities
-
0.00%
25%
0%
Bankers' Acceptances
-
0.00%
BA Bank A
30%
State and /or Local Government Debt (GO and Revenue)
-
0.00%
-
20%
Money Market Mutual Funds
8,861,868.88
28.05%
2
100%
Intergovernmental Investment Pool
-
0.00%
20%
25%
Bank of America Cash for Operation
2,908,464.21
9.21%
2
100%
Individual Issuer Breakdown
March 31, 2011
March 31, 2011
Notes
Permitted by
Government National Mortgage Association (GNMA)
-
0.00%
50%
US Export-Import Bank (Ex -Im)
-
0.00%
50%
Farmers Home Administration (FMHA)
-
0.00%
50%
Federal Financing Bank
-
0.00%
50%
Federal Housing Administration (FHA)
-
0.00%
50%
General Services Administration
-
0.00%
50%
New Communities Act Debentures
-
0.00%
50%
US Public Housing Notes & Bonds
-
0.00%
50%
US Dept. of Housing and Urban Development
-
0.00%
50%
Federal Farm Credit Bank (FFCB)
-
0.00%
25%
Federal Home Loan Bank (FHLB)
4,314,611.05
13.66%
25%
Federal National Mortgage Association (FNMA)
1,509,732.32
4.78%
25%
Federal Home Loan Mortgage Corporation (FHLMC)
3,103,619.90
9.82%
25%
Student Loan Marketing Association (SLMA)
-
0.00%
25%
Notes
1. Does not include bond proceeds.
2. Managed by the City.
3. End of month tizde-dste amortized cost of portfolio holdings, including accrued interest
Asset Allocation
as of March 31, 2011
Federal tnstnunentahties
28.26%
_ Commercial Paper
9.49%
United States Treasury
Securities
25.0 1 %
Bank of America Cash for
Operation Money Market Mutual Funds
9.21% 29.05%
Individual Issuer Breakdown
March 31, 2011
March 31, 2011
Notes Permitted b'
CD - Bank A
0.00%
15%
CD - Bank B
-
0.00%
15%
Fully collateralized Repo - A
-
0.00%
25%
Fully collateralized Repo - B
-
0.00%
25%
BNP Paribas CP
1,996,850.00
6.32%
10%
Credit Agricole CP
997,739.72
3.16%
10%
Corporate Notes - FDIC insured A
-
0.00%
25%
Corporate Notes - FDIC insured B
-
0.00%
25%
Corporate Notes - FDIC insured C
-
0.00%
25%
Corporate Notes - FDIC insured D
-
0.00%
25%
Corporate Notes - FDIC insured E
-
0.00%
25%
BA Bank A
-
0.00%
10%
BA Bank B
-
0.00%
10%
BA Bank C
-
0.00%
10%
Municipal Notes /Bonds
-
0.00%
20%
Fidelity Institutional Money Market Fund Government Portfolio (Fund #257)
8,109,252.22
25.67%
2 25%
Money Market Fund - State Board of Administration
752,616.66
2.38%
2 25%
PFM Asset Management LLC Section C - 1