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Home My WebLink About2011 12 12 Informational 103 Investment Report by PFM Asset Management LLC at Quarter Ending 2011 09 30COMMISSION AGENDA ITEM 103 December 12, 2011 Regular Meeting REQUEST: Informational X Consent Public Hearings Regular KS City Manager m Department The City Manager and Finance Department providing the Investment Report for the last quarter of fiscal year 2011 (quarter ending September 30, 2011) as prepared by PFM Asset Management LLC. SYNOPSIS: Distribution of the investment report for the quarter- ending September 30, 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 AA, A -1+ and A -1. PFM's attached report provides additional information regarding the City's investment position at September 30, 2011. FISCAL IMPACT: The weighted average yield at September 30, 2011 is .42 %. The weighted average yield at June 30, 2011 was .42 %. This portfolio has an average duration of .78 (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 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 Informational 103 PAGE 1 OF 2 - December 12, 2011 noted above, and which is also available on the City's Website, LaserFiche, and the City's Server; has been sent to applicable City Staff, eAlert/eCitizen Recipients, 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. This information has also been posted outside City Hall, posted inside City Hall with additional copies available for the General Public, and posted at five (5) different locations around the City. Furthermore, this information is also available to any individual requestors. City Staff is always willing to discuss this Agenda Item 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 receive and review the information provided in this Agenda Item. ATTACHMENTS: Investment Report for quarter- ending September 30, 2011 Informational 103 PAGE 2 OF 2 - December 12, 2011 City of Winter Springs Investment Performance Review Quarter Ended September 30, 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 September 30, 2011 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. September 30, 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 September 30, 2011 TAB I City of Winter Springs Investment Report — Quarter Ended September 30, 2011 Intermediate -term and long -term interest rates fell sharply for the second consecutive quarter, in many cases to new all -time lows, as market participants digested a myriad of events, including: • Renewed slowdown in U.S. and global economies, • Heightened concern over European sovereign and bank debt, • Budget and debt ceiling wrangling in Washington, • S &P's downgrade of the U.S. government's credit rating, and • Bold new Federal Reserve initiatives. These factors conspired to cause a collapse in consumer and business confidence, a sharp sell -off in equity markets around the globe, and a continued "flight -to- quality" into U.S. Treasuries. U. S. monetary policy initiatives also contributed to declining interest rates, as the Federal Reserve promised to keep short-term rates low for at least the next two years and announced a new program to purchase long -term debt. As a result, longer -term fixed - income portfolios posted their largest quarterly returns in nearly three years, while shorter -term portfolios remained hostage to near zero rate levels. High quality U.S. fixed- income investments continued to be one of the strongest performing asset classes during the third quarter. The Economy: Recap of a Historic Quarter At the beginning of the quarter, European debt concerns continued to serve as a shadowy backdrop to a sputtering U.S. recovery. In the face of stubbornly high unemployment, a battered housing market and plunging consumer confidence, GDP growth in the U.S. averaged only 0.8% in the first half of the year. Throughout the quarter, economists, including those at the Federal Reserve, progressively lowered their GDP projections for the balance of the year. At the same time, Washington grappled with the debt ceiling and a possible default. Capitol Hill was in need of an eleventh hour agreement to give the Treasury the authority to issue additional debt to pay the government's bills. On August 2" one day before the Treasury's drop dead date, Congress finally agreed on a stopgap policy, which included upwards of $2.4 trillion in spending cuts over the next decade and an increase in the statutory debt limit by at least $2.1 trillion. Default was averted, but much of the hard work of hammering out the details was pushed off to a bipartisan "Super Committee." The process revealed the worst of the U.S. government's political gridlock and gamesmanship. As it had previously warned, on August 8 th Standard and Poor's (S &P) cut the long -term sovereign debt rating of the United States from AAA to AA +. S &P characterized the budget deal as insufficient to stabilize the government's debt over the long term and noted that "the political brinksmanship of recent months highlights what we see as America's governance and policymaking becoming less stable, less effective, and less predictable." The rating downgrade also affected U.S. Federal Agencies, FDIC - backed debt, thousands of municipal bonds, and many funds that invest in Treasuries and Agencies. Even after the downgrade, investors continued to flock to the safety of U.S. Treasuries, further driving down yields and pushing prices upward. At the August 9 th meeting of the Federal Open Market Committee (FOMC), the Fed stated that weak economic conditions were "likely to warrant exceptionally low levels for the federal funds rate at least through mid - 2013." This marked the first time in history that the Fed had placed an explicit timetable on its monetary policy. Increased certainty that short-term rates are likely to remain low for two years drove rates lower still. Then, at an extended two -day September meeting, the Fed announced "Operation Twist," yet another initiative designed to boost economic recovery. The FOMC said it would extend the average maturity of its security holdings to "put downward pressure on longer -term interest rates and help make broader financial conditions more accommodative." The Committee intends to purchase, by the end of June 2012, $400 billion of Treasury securities with remaining maturities of 6 to 30 years and to sell an equal amount of Treasury securities with remaining maturities of 3 years or less. The market initially responded by pushing long -term rates down and shorter -term rates up, although the rise in short-term rates was limited by the Fed's near -zero rate policy. PFM Asset Management LLC Section A - 1 City of Winter Springs Investment Report — Quarter Ended September 30, 2011 Interest Rates and Returns The announcement of "Operation Twist" contributed to a significant flattening of the yield curve. As shown in the chart below, the Treasury yields continued their descent over the quarter, with yields of steepness of the yield curve, measured by the spread between 2- and longer -term maturities falling the most as shown in the following 10 -year U.S. Treasury notes, flattened significantly. Note that the table. steepness of the yield curve through time is mostly a function of short- U.S. Treasu Yields — Quarter and Year - over -Year Changes term rates, especially during periods of strong Fed accommodation. ' The most recent move, however, was more unusual, being driven by 30- Sep -11 0.02% 0.10% 0.24% 0.95% 1.92% 2.9 1% sharply lower long -term yields. 30-Jun -11 0.01 0.18% 0.46% 1.76% 3.16% 4.37% Change over Quarter 0.01% -0.08% -0.22% -0.81% -1.24% -1.46% 30- Sep -10 0.15% 0.25% 0.42% 1.26% 2.51% 3.69 Change over Year -0.13% -0.15% - 0.18% -0 .31% -0.59% -0.7 7.0% Source data: Bloomberg 6.0% Because yields on maturities less than one year are in large part dictated by the federal funds target rate, short-term yields continue to 5.0% be anchored near all- time -low levels. In fact, given very strong 4.0% demand for high quality short-term investments, it has become commonplace for ultra -short Treasury bills to trade at zero or negative 2 3.0% yields. 2 0% The continued decline in interest rates through the quarter is illustrated 1.0% in the chart below. 0.0% 4.0% 3.0% 2.0% 1.0% 0.0% Sep 10 Dec 10 Mar 11 Jun 11 Source data: Bloomberg PFM Asset Management LLC Sep 11 - 1.0 °/a Sep 01 Sep 03 Sep 05 Sep 07 Sep 09 F Spread (Right Axis) Source data: Bloomberg 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% -0.5% Sep 11 2 -Year TSY 10 -Year TSY Since intermediate- and long -term interest rates fell more than short- term rates, longer- duration strategies outperformed shorter- duration strategies for the quarter ended September 30, 2011, as seen on the chart on the following page. As was the case last quarter, longer was better by a wide margin. Section A - 2 U.S. Treasury Yields and Yield Curve Steepness September 30, 2001 through September 30, 2011 2 -Year, 5 -Year, and 10 -Year U.S. Treasury Note Yields September 30, 2010 through September 30, 2011 City of Winter Springs Investment Report — Quarter Ended September 30, 2011 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% Total Returns of Merrill Lynch U.S. Treasury Indices Periods ended September 30, 2011 4.11% 3.80% 3.63% 2.78% 2.23% -19.01% Euro- 1.39% 1 Corporate Aggregate Index Index 0.14% Equity) 0.02% Index 3mo 1 -3yr 1 -5yr 3 -5yr Quarter ■ 1 Year Source data: Bank ofAmerica Merrill Lynch; Bloomberg 5.0% 0.0% -5.0% -10.0% -15.0% -20.0% -25.0% Total Returns of Various Asset Classes Quarter ended September 30, 2011 1.39% 0.86% r__1 - 0.51% Ll 4.95% - 13.87% 1 -5 Year Barclays S &P Index MSCI Treasury Federal -19.01% 1 -10yr 1 -5 Year 1 -5 Year 1 -5 Year Barclays S &P Index MSCI Treasury Federal A -AAA Euro- (Domestic EAFE -net Index Agency Corporate Aggregate Equity) (International Index Index Bond Equity) Index U.S. Treasuries, in particular, had a very strong quarter, outperforming similar maturity federal agency and high- quality corporate securities. The outperformance of Treasuries was due to the significant decrease in Treasury yields across the curve — a result of the continuing flight - to- quality — while weaker economic data and troubles in Europe pressured yield spreads wider on other sectors. As shown on the next chart, the risk aversion trade during the quarter punished riskier asset classes, as the return on Treasuries surpassed that of federal agencies and, in general, low risk fixed - income investments outpaced equities and alternative investment classes, which fell sharply during the quarter. As is usually the case during periods of uncertainty, yield spreads widened, risk premiums rose, and equity multiples fell. In such volatile market conditions, diversification remains an important principle of prudent portfolio management. Source data: Bank ofAmerica Merrill Lynch; Barclays Capital; Bloomberg For an additional comparison of the disparity in returns along the risk spectrum, 1 -5 year AAA -rated corporate securities outperformed 1 -5 year A -rated corporate securities by 206 basis points (2.06 %), for the quarter, 1.28% versus - 0.78 %. Worldwide concern over bank exposure to European debt also took its toll on corporate sector returns, as 1 -5 year industrials outperformed financials by 192 basis points (1.92 %), 0.34% versus -1.58% for the quarter. Economic and Market Outlook Although the U. S. economy has posted eight straight quarters of positive GDP growth, recent growth has been anemic. With uncertainty regarding future fiscal policy, both here and abroad, economists expect the lackluster GDP trend to remain at sub -3% growth levels for the foreseeable future. PFM Asset Management LLC Section A - 3 City of Winter Springs Investment Report — Quarter Ended September 30, 2011 The European sovereign debt and bank crisis was a significant storyline throughout the quarter and a continuing major headwind to the U.S. recovery. The sovereign debt woes of Greece have spread to other EU nations, including Spain, Italy, and Portugal. In June, in an attempt to quiet those fears, a series of new austerity measures was passed by the Greek parliament. In July, euro -zone members agreed to a billion European Financial Stability Facility (ESFS) to address the growing crisis; however, as of quarter end, that measure was still being held up by Slovakia lawmakers. Getting 17 countries to agree on any proposal will be an ongoing challenge. Until the European debt crisis is resolved, equity markets are expected to remain volatile. Volatility, as measured by the VIX index, rose to a 2' /z year high during the third quarter. Amid the heightened volatility, the S &P 500 Index had shown signs of strength through the first two quarters of 2011, only to have those returns dissipate over the last three months. In light of European debt issues, the dollar experienced a healthy rally relative to the euro — increasing over 8% for the quarter. Similarly, or perhaps in parallel, gold also rose 8 %. However, commodity prices in general fell sharply over the quarter with oil leading the way, down 17 %, as global demand slowed. Although the economy added nearly 100,000 jobs per month in the past two quarters, the unemployment rate remains stuck above 9 %. Current job creation is simply insufficient to have significant positive impact on the unemployment rate. On the housing front, the story remains unchanged. Despite the biggest drop in home prices in over two years and mortgage rates at all -time lows, home sales have been disappointing. Credit remains tight while consumers are focused on relieving their own personal debt concerns. With winter around the corner, prospects remain dim. Personal consumption increased modestly, led by stronger auto sales, but the ISM manufacturing index still experienced a sharp decline. Consumer confidence plunged during the quarter as economic conditions weakened, equity markets fell, and jobs remain scarce. Despite these obstacles, the Fed continues to express resolve and remains prepared to consider "the range of policy tools available to promote a stronger economic recovery in a context of price stability." Investment Strategy The Federal Reserve's commitment to maintain the federal funds target rate at its current range until at least mid -2013 has essentially removed much of the uncertainty regarding potential short- to intermediate -term interest rate spikes in the near future. Because the Fed is on hold, maturity extensions can safely add value to portfolios. The benefits of "roll- down" can be viewed as a valuable contributor to fixed- income portfolio performance. Short- maturity U.S. Treasury and federal agency yields remain at near zero levels. Some analysts have dubbed this relationship as "return - less risk" — the lack of total return opportunities in that portion of the yield curve is insufficient relative to the impact of potential interest rate fluctuations. Alternative short-term sectors, including high- quality certificates of deposit and commercial paper, floating rate securities, and callable agencies do have value, but each must be evaluated carefully. Further out the yield curve, as credit spreads have widened, federal agency and high - quality corporate securities are attractive. Where applicable, we will increase exposure in both, but the corporate sector requires investors to be both thoughtful and nimble. Still, as yields remain very low by historical measures, we will take a cautious approach to duration management. For this reason, we will target duration at or below benchmarks. In these unprecedented economic and market conditions, taking on extreme duration or credit risk is not warranted. PFM Asset Management LLC Section A - 4 City of Winter Springs Investment Report - Quarter Ended September 30, 2011 TAB II City of Winter Springs Investment Report - Quarter Ended September 30, 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 note securities. The securities are allocated among high quality issuers rated AA, A -1+ and A -1. ➢ Following the financial crisis in 2008, the investment universe bifurcated into safe assets (e.g. U.S. Treasuries and Agencies, gold, and currencies of export -based economies) and risky assets (e.g. almost everything else). The third quarter of 2011 was clearly a "risk off" quarter, as the weakening U.S. economy and lack of a comprehensive solution to the continuing European sovereign debt crisis weighed heavily on investors. As a result, safe assets performed well and riskier assets lost significant ground. In broad market terms, U.S. Treasuries were one of the best asset classes, while equities and lower -grade corporates lagged. ➢ Standard and Poor's lowered the United States of America's sovereign long -term credit rating to AA+ from AAA. Consequently, the ratings of agency securities that are backed by the U.S. Treasury also dropped to AA+ from AAA. The downgrade represents the credit rating agency's opinion that the effectiveness, stability and predictability of policymaking and political institutions have diminished, and therefore limit the government's ability to stabilize the medium term debt dynamics, during times of fiscal and economic challenges. The A -1+ short -term rating was affirmed. Standard and Poor's outlook on the long -term credit rating remained negative, leaving the possibility for a further downgrade to AA, if the fiscal and economic conditions do not improve within the next two years. ➢ Although the quarter began with rates very low, longer -term Treasury yields fell further in response to weakening economic fundamentals and the Fed's aggressively accommodative monetary policy actions. The 2 -year Treasury note, which started the third quarter at a yield of 0.45 %, hit a new all -time low of 0.15% (dating back to 1976) during the quarter before rebounding slightly to end the quarter at 0.25 %. 5 -year Treasuries also hit an all -time low (dating to 1953) of 0.76 %. Treasuries of 10 year maturity and longer fell the most, as the market anticipated "Operation Twist," which was officially announced in late September. ➢ On September 21 st, the Federal Reserve announced its new strategy, known as "Operation Twist ", in which it will sell $400 billion of short -term treasury securities and purchase the same amount in long -term maturities. The goal is to stimulate business investment and to allow for consumers to re- finance their mortgages at a lower rate. The Federal Reserve hopes that this action will increase disposable income and consumption, without having to further grow its balance sheet. This strategy is likely to result in a flatter yield curve, lowering yields on the long -end and raising yields on the short -end. The positive "roll down effect" would be reduced as the yield curve loses its steepness. Given that the Federal Reserve will stick to its strategy, this trend is likely to continue and may allow for us to take advantage of the yield increase going forward. ➢ 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 0.46 %, exceeding the Yield to Maturity of its benchmark the Merrill Lynch 1 -Year U.S. Treasury Note Index by 29 basis points (0.29 %). ➢ As always, we strive to maintain the safety of principal while at the same time positioning the Portfolio for growth and searching for tactical opportunities to enhance return. In these changing times, our strategy will remain flexible and may change in response to changes in interest rates, economic data, market outlook or specific opportunities that arise. PFM Asset Management LLC Section B - 1 City of Winter Springs Investment Report - Quarter Ended September 30, 2011 The City's Investment Statistics Account Name Amortized Cost "' Amortized Cost' ' Market Value"' Market Value' I I Duration (Years) September 30, 2011 June 30, 2011 September 30, 2011 June 30, 2011 September 30, 2011 General City Account Portfolio $23,092,142.72 $22,561,363.55 $23,145,597.60 $22,610,872.03 0.78 Fidelity Institutional Money Market Fund Government Portfolio (Fund #257) 24,283.60 $1,027,579.29 24,283.60 1,027,579.29 0.003 Money Market Fund - State Board of Administration Pool A 7.95 18,317.71 7.95 18,317.71 38 Days Money Market Fund - State Board of Administration Pool B 621,672.65 650,696.19 621,672.65 650,696.19 N/A Bank of America Cash for Operation - depository 1,324,516.68 1,743,833.34 1,324,516.68 1,743,833.34 0.003 Water & Sewer 2000 - Fidelity Institutional Money Market Fund Government Portfolio (Account #364) 716,659.67 716,641.60 716,659.67 716,641.60 0.003 Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool A 0.22 531.64 0.22 531.64 38 Days Water & Sewer 2000 - Money Market Fund - State Board of Administration Pool B 18,042.61 18,884.94 18,042.61 18,884.94 N/A Water & Sewer Series 1992 Refunding Revenue Reserve - BONY N/A 1,305,931.84 N/A 1,305,931.84 0.003 Total $25,797,326.10 $28,043,780.10 $25,850,780.98 $28,093,288.58 32 Days Benchmarks September 30, 2011 June 30, 2011 Merrill Lynch 1 Year U.S. Treasury Note Index' 0.17% 0.21 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 Yield to Maturity Yield to Maturity Yield to Maturity Yield to Maturity on Cost' on Cost' at Market at Market Duration (Years) Account Name September 30, 2011 June 30, 2011 September 30, 2011 June 30, 2011 June 30, 2011 General City Account Portfolio 0.46% 0.50% 0.22% 0.28% 0.96 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 0.24% 0.23% 0.24% 0.23% 32 Days 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 0.25% 0.30% 0.25% 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 0.24% 0.23% 0.24% 0.23% 32 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 0.00% 0.00% 0.00% 0.00% 0.003 Weighted Average Yield 0.42% 0.42% 0.21% 0.24 Benchmarks September 30, 2011 June 30, 2011 Merrill Lynch 1 Year U.S. Treasury Note Index' 0.17% 0.21 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 September 30, 2011 General City Account Portfolio Composition and Credit Quality Characteristics Security Type September 30, 2011 % of Portfolio June 30, 2011 % of Portfolio U.S. Treasuries $11,027,824.68 47.65% $9,449,760.82 41.79% Federal Agencies 7,233,454.07 31.25% 7,278,312.40 32.19% Commercial Paper 4,884,318.85 21.10% 5,882,798.81 26.02% 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% 0.00 0.00% Mortgage Backed 0.00 0.00% 0.00 0.00% Money Market Fund /Cash 0.00 0.00% 0.00 0.00% Totals $23,145,597.60 100.00% $22,610,872.03 100.00% / Portfolio Composition U.S. as of 09/30/11 Treasuries 48% - -- Federal / Agency Commercial J Obligations Paper 31% 21% Credit Quality Distribution as of 09/30/11 AA+ 79% A -1+ (Short- term) / 15% A -1 (Short - - - - term) 6% 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. PFM Asset Management LLC Section B - 3 City of Winter Springs Investment Report - Quarter Ended September 30, 2011 General City Account Portfolio Maturity Distribution Maturity Distribution September 30, 2011 June 30, 2011 Overnight (Money Market Fund) $0.00 $0.00 Under Months 8,542,053.39 7,188,231.94 6 - 12 Months 5,858,719.69 5,327,978.96 1 - 2 Years 8,744,824.52 10,094,661.13 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 $23,145,597.60 $22,610,872.03 Portfolio Maturity Distribution' Under 6 Months 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. 5 Years and Over PFM Asset Management LLC Section B - 4 City of Winter Springs, Florida' Asset Allocation as of September 30, 2011* Security Type' September 30, 2011 September 30, 2011 Notes Permitted by Policy United States Treasury Securities 11,006,590.67 43.92% 100% United States Government Agency Securities - 0.00% 75% Federal Instrumentalities 7,201,609.16 28.73% 80% Certificates of Deposit - 0.00% 25% Repurchase Agreements - 0.00% 50% Commercial Paper 4,883,942.89 19.49% 30% Corporate Notes- FDIC Insured - 0.00% 50% Mortgage - Backed Securities - 0.00% 0% Bankers'Acceptances - 0.00% 30% State and /or Local Government Debt (GO and Revenue) - 0.00% 20% Money Market Mutual Funds 645,964.20 2.58% 2 100% Intergovernmental Investment Pool - 0.00% 25% Bank of America Cash for Operation 1,324,516.68 5.28% 2 100% Individual Issuer Breakdown September 30, 2011 September 30, 2011 Notes Permitted by Policy Individual Issuer Breakdown September 30, 2011 September 30, 2011 Notes Permitted b Government National Mortgage Association (GNMA) - 0.00% 50% CD - Bank A 0.00% 15% US Export-Import Bank (Ex -Inn - 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 - B - 0.00% 25% Federal Housing Administration (FHA) - 0.00% 50% Barclays CP 1,999,445.00 7.98% 10% General Services Administration - 0.00% 50% Credit Agricola CP 1,299,652.43 5.19% 10% New Communities Act Debentures - 0.00% 50% Rabobank CP 1,584,845.46 6.32% 10% US Public Housing Notes & Bonds - 0.00% 50% CP D - 0.00% 10% US Dept. of Housing and Urban Development - 0.00% 50% Corporate Notes - FDIC insured C - 0.00% 25% Federal Farm Credit Bank (FFCB) - 0.00% 25% Corporate Notes - FDIC insured D - 0.00 %. 25% Federal Home Loan Bank (FHLB) 4,277,069.55 17.07% 25% Corporate Notes - FDIC insured E - 0.00% 25% Federal National Mortgage Association (FNMA) 1,407,178.83 5.61% 25% BA Bank A - 0.00% 10% Federal Home Loan Mortgage Corporation (FHLMC) 1,517,360.78 6.05% 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 Government Portfolio (Fund #257) 24,283.60 0.10% 2 25% Money Market Fund - Florida Prime (SBA) 621,680.60 2.48% 2 25% Notes 1. Does not include bond proceeds. 2. Managed by the City. 3.. End of month trede-d,te amortized cost of portfolio holdings, induding accrued interest. PFM Asset Management LLC Section C - 1