investment performance review for the quarter ended june 30, … · • the third estimate of u.s....

Investment Advisors

213 Market StreetHarrisburg, PA 17101

717.232.2723 717.233.6073 fax

PFM Asset Management LLC

300 South Orange AvenueSuite 1170

Orlando, FL 32801407.648.2208

407.648.1323 fax

Investment Performance Review For the Quarter Ended June 30, 2019

Steven Alexander, CTP, CGFO, CPPT, Managing Director Robert Cheddar, CFA, Chief Credit Officer, Managing Director Richard Pengelly, CFA, CTP, DirectorJason Human, Client ManagerSean Gannon, CTP, Senior Analyst

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THE SCHOOL DISTRICT OF PALM BEACH COUNTY

For the Quarter Ended June 30, 2019

Table of Contents


Tab I

Market Update

Tab II

Executive Summary

Investment Portfolio

Short Term Portfolio

Tab III

Asset Allocation Chart

Important Disclosures

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Tab I

PFM Asset Management LLC of 55




Source: Bloomberg, as of second quarter 2019. SAAR is seasonally adjusted annualized rate. Orange denotes rolling four-quarter averages.

Market Update

U.S. economic activity experienced considerable growth during the first quarter of 2019.

• The third estimate of U.S. GDP growth remained at 3.1%, which marks a significant bounce-back from the 4th quarter’s revisedgrowth of 2.2%.

Growth is projected to decline in in the remaining quarters of 2019 and into 2020.

• The main causes for this expected decrease in future growth include overall slower global growth and increasing trade tensionsbetween the U.S. and other nations, primarily China.

Economic Growth Bounces Back in the First Quarter

0%

2%

4%

6%

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

Q2

Q3

Q4

Q1

2015 2016 2017 2018 2019 2020

U.S. Real GDPQoQ, SAAR

Bloomberg Survey of

Economists

3.1%

Rolling 4 quarter average

3.2%

2014

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For the Quarter Ended June 30, 2019Market Update

The U.S. economy added 224,000 jobs in June, a strong comeback after a disappointing May. • Average hourly earnings YoY remained at 3.1% in June for a second straight month.

For the year, the economy added an average of 172,000 jobs, underscoring a still healthy labor market.

Following the theme of an overall strong labor market, the unemployment rate remained near its 50-year low at 3.7%.

U.S. Job Growth Remains Strong

Source: Bloomberg, as of June 2019.

0k

100k

200k

300k

400k

Jun '14 Jun '15 Jun '16 Jun '17 Jun '18 Jun '19

Monthly Change in Nonfarm Payrolls

Nonfarm Payrolls 12-Month Moving Average

6.1%

5.3%

4.9%

4.3%4.0%

3.7%

3%

4%

5%

6%

7%

8%

Jun '14 Jun '15 Jun '16 Jun '17 Jun '18 Jun '19

Unemployment Rate

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The core personal consumption expenditures (PCE) price index, the Fed’s preferred measure of inflation, decelerated to 1.6% in May, notably below the Fed’s 2% target.

Core Inflation Continues to Undershoot the Fed’s 2% Target

Source: Bloomberg, latest data available as of June 30, 2019. Inflation expectations based on yield difference between 5-year Treasury note and 5-year Treasury Inflation Protected Securities (TIPS).

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

May '14 May '15 May '16 May '17 May '18 May '19

Inflation Measures (YoY)

Core CPI

Core PCE

Fed's Long TermInflation Target

0.5%

1.0%

1.5%

2.0%

2.5%

Jun-14 Jun-15 Jun-16 Jun-17 Jun-18 Jun-19

Expectations for Average Inflation Rate over Next 5 Years

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U.S. Yield Curve Inversion Becomes More Pronounced

The yield curve inversion continued to remain between the 3-month Treasury bill and the 10-year Treasury note that yielded 2.09% and 2.01%, respectively, as of June 30, 2019.

The yield on the 10-year Treasury note has fallen by more than a full percentage point in the past three quarters, which has been the biggest decline over such a period since 2011.

Source: Bloomberg, as of June 30, 2019.

Yield Curve History

Maturity 6/30/2019 3/31/2019 6/30/2018

3-Mo. 2.09% 2.38% 1.91%

6-Mo. 2.09% 2.42% 2.11%

1-Yr. 1.93% 2.39% 2.31%

2-Yr. 1.75% 2.26% 2.53%

3-Yr. 1.71% 2.20% 2.62%

5-Yr. 1.77% 2.23% 2.74%

7-Yr. 1.89% 2.32% 2.82%

10-Yr. 2.01% 2.41% 2.86%

U.S. Treasury Yield Curve

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

3M6M 1Y 2Y 3Y 5Y 10Y

Yiel

d

Maturity

June 30, 2019March 31, 2019June 30, 2018

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Source: Bloomberg, as of June 30, 2019. 6-mo CP yield spread based on A1/P1 rated CP index. Some yields are not available at certain maturities and are extrapolated based on linear growth. Not a specific recommendation.

Market Update

Shorter-term commercial paper and bank certificate of deposit (CP/CD) yield spreads widened slightly during June, while longer-maturities experienced significant tightening. Yields across all maturity ranges continue to fall with the market’s anticipation a rate cut.

Treasuries continue to be relatively attractive versus agency discount notes, especially in the 3- to 11-month maturity range.

Longer Maturity Spreads Tighten

0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

0.30%

0.35%

0.40%

0.45%

Jun

'18

Jul '

18

Aug

'18

Sep

'18

Oct

'18

Nov

'18

Dec

'18

Jan

'19

Feb

'19

Mar

'19

Apr

'19

May

'19

Jun

'19

Yield Spread on 6-month Commerical Paper over T-Bill

1.75%

1.85%

1.95%

2.05%

2.15%

2.25%

2.35%

2.45%

1 2 3 4 5 6 7 8 9 10 11 12

Maturity in Months

Money Market Yield Curves

CP/CD

Treasuries

Agencies

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Market Projects Three Rate Cuts by Year End

Source: Federal Reserve and Bloomberg. Individual dots represent each Fed members’ judgement of the midpoint of the appropriate target range for the federal funds rate at each year-end. Fed funds futures as of June 19, 2019.

0%

1%

2%

3%

4%

Fed Participants’ Assessments of ‘Appropriate’ Monetary Policy

Jun-19 FOMC Projections

Jun-19 Median

Fed Funds Futures

2019 2020 2021

Majority of Fed participants expect no change to current

policy in 2019

History of RecentFed Rate Hikes

Dec ’18 2.25 - 2.50%

Sept ’18 2.00 - 2.25%

Jun ’18 1.75 - 2.00%

Mar ’18 1.50 - 1.75%

Dec ’17 1.25 - 1.50%

Jun ’17 1.00 - 1.25%

Mar ’17 0.75 - 1.00%

Dec ’16 0.50 - 0.75%

Dec ’15 0.25 - 0.50%

Longer Term

Market is pricing in 3 rate cuts

by year end 2019

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Fixed-Income Index Returns

Source: ICE BofAML Indices. Returns greater than one year are annualized.

June 30, 2019 Effective Duration Yield YTD 1 Month 3 Month 1 Year 3 Years 5 Years

1-3 Year IndicesU.S. Treasury 1.82 1.81% 2.44% 0.52% 1.44% 3.96% 1.29% 1.21% Agency 1.46 1.82% 2.28% 0.42% 1.30% 3.88% 1.46% 1.33% Corp A-AAA 1.82 2.30% 3.21% 0.68% 1.54% 4.84% 2.13% 1.93% MBS (0 to 3 Years) 3.55 2.62% 3.82% 0.59% 1.59% 5.69% 2.10% 1.88% ABS (0 to 3 Years) 1.11 2.28% 2.31% 0.36% 1.20% 3.78% 1.91% 1.61%

1-5 Year IndicesU.S. Treasury 2.56 1.78% 3.06% 0.65% 1.82% 4.89% 1.31% 1.54% Agency 1.75 1.79% 2.56% 0.47% 1.44% 4.30% 1.46% 1.53% Corp A-AAA 2.58 2.36% 4.32% 0.96% 2.01% 6.06% 2.34% 2.36% MBS (0 to 5 Years) 3.17 2.57% 3.85% 0.82% 1.86% 5.56% 1.71% 2.01% ABS (0 to 5 Years) 1.36 2.29% 2.54% 0.40% 1.35% 4.10% 1.94% 1.73%

Master Indices (Maturities 1 Year and Greater)U.S. Treasury 6.56 1.94% 5.30% 0.93% 3.06% 7.33% 1.34% 2.64% Agency 3.97 1.97% 4.19% 0.71% 2.32% 6.20% 1.89% 2.34% Corp A-AAA 7.36 2.86% 8.66% 2.08% 4.04% 10.11% 3.32% 3.90% MBS (0 to 30 Years) 3.80 2.73% 4.32% 0.84% 2.01% 6.32% 2.10% 2.56% Municipals 6.75 2.13% 5.35% 0.43% 2.33% 6.73% 2.58% 3.75%

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Tab II




Executive Summary


The Investment Portfolio is of high credit quality and invested in U.S. Treasury, Federal Agency/GSE, andCorporate Note securities.

The Investment Portfolio’s quarterly total return performance of 1.28% underperformed the benchmarkperformance of 1.44% by -0.16%. For the last 12 months the Portfolio returned 3.93% versus the benchmark’sreturn of 3.96%.

Interest rates plummeted in the second quarter, with yields on intermediate-term maturity (2-5 year) Treasuriesfalling by about 50 basis points (0.50%) to the lowest levels since late 2017. Rates fell in response to slowingglobal growth expectations, weakness in manufacturing triggered by renewed trade disputes, muted inflationand expectations for multiple Federal Reserve (Fed) rate cuts in the second half of the year. Much of the yieldcurve remains inverted, with longer-term yields lower than short-term yields.

Somewhat counterintuitively, credit-sensitive assets performed strongly during the quarter as yield spreads oncorporate bonds narrowed and U.S. equity markets reached new all-time highs.

We maintained portfolio durations in line with benchmarks, as we have since early in the year, given thebackdrop of falling yields, likely Fed rate cuts and continuing uncertainty with regard to the sustainability of thenow record-long economic expansion. Despite the inverted yield curve, maintaining durations in-line with theirrespective benchmarks was vitally important in the second quarter as the sharp drop in yields drove strongmarket value returns across most fixed-income sectors. As a result, longer duration strategies outperformedshorter ones by a wide margin.

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PALM BEACH CNTY FL S/D


Portfolio Snapshot

Portfolio Statistics

As of June 30, 2019

$43,345,000

$43,825,971

$43,595,732

$230,239

-

Accrued Interest:

Cash:

Par Value:

Total Market Value:

Security Market Value:

$43,139,497

2.02%

2.25%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:

Effective Duration: 1.47 Years

Duration to Worst: 1.47 Years

Average Maturity: 1.53 Years

Credit Quality (S&P Ratings)

9.5%

A

4.8%

A-

3.9%

A+

2.8%

AA

4.0%

AA-

71.2%

AA+

0.9%

AAA

2.9%

BBB+

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

0 - 1 Year 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years > 5 Years

34.5%

23.8%

40.9%

0.8% 0.0% 0.0%

Maturity Distribution

Sector Allocation

30.1%

Corporate

24.4%

Federal

Agency/GSE

45.5%

U.S.

Treasury


* An average of each security’s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio.

Account ****0100

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Portfolio Performance

Portfolio Performance (Total Return)

Effective

DurationPortfolio/Benchmark

Annualized Return

10 Year1 Year 3 Year 5 YearSince Inception

(12/31/98) **

Current

Quarter

PALM BEACH CNTY FL S/D 1.47 1.28% 1.38%3.93% 1.58% 1.40% 3.08%

ICE BofAML 1-3 Year U.S. Treasury Index 1.81 1.44% 1.20%3.96% 1.29% 1.21% 2.86%

Difference -0.03%-0.16% 0.29% 0.19% 0.18% 0.22%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

Current Quarter 1 Year 3 Year 5 Year 10 Year Since Inception

1.28%

3.93%

1.58%1.40% 1.38%

3.08%

1.44%

3.96%

1.29% 1.21% 1.20%

2.86%

To

tal R

etu

rn

PALM BEACH CNTY FL S/D ICE BofAML 1-3 Year U.S. Treasury Index


Portfolio performance is gross of fees unless otherwise indicated. **Since Inception performance is not shown for periods less than one year.

Account ****0100

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Effective

DurationPortfolio/Benchmark

Annualized Return

03/31/19 09/30/1806/30/19 12/31/18

Quarter Ended

5 Year1 Year 3 Year

PALM BEACH CNTY FL S/D 1.47 1.28% 3.93% 1.58% 1.40%1.15% 0.98% 0.47%

ICE BofAML 1-3 Year U.S. Treasury Index 1.81 1.44% 3.96% 1.29% 1.21%0.98% 1.29% 0.19%

Difference -0.03%-0.16% 0.29% 0.19%0.17% -0.31% 0.28%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

06/30/19 03/31/19 12/31/18 09/30/18 1 Year 3 Year 5 Year

1.28%1.15%

0.98%

0.47%

3.93%

1.58%1.40%1.44%

0.98%

1.29%

0.19%

3.96%

1.29% 1.21%To

tal R

etu

rn



Portfolio performance is gross of fees unless otherwise indicated.

Account ****0100

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03/31/19 09/30/1806/30/19 12/31/18

Quarter Ended Annualized Return

5 Year1 Year 3 YearPortfolio/Benchmark

Effective

Duration

3.93% 1.58% 1.40%1.15% 0.98% 0.47%PALM BEACH CNTY FL S/D 1.28%1.47

3.85% 1.50% 1.32%1.13% 0.96% 0.45% Net of Fees ** 1.26%-

3.96% 1.29% 1.21%0.98% 1.29% 0.19%ICE BofAML 1-3 Year U.S. Treasury Index 1.44%1.81

-0.03%-0.16% 0.29% 0.19%0.17% -0.31% 0.28%Difference (Gross)

Difference (Net) -0.18% 0.15% -0.33% 0.26% -0.11% 0.21% 0.11%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

06/30/19 03/31/19 12/31/18 09/30/18 1 Year 3 Year 5 Year

1.28%1.15%

0.98%

0.47%

3.93%

1.58%1.40%1.44%

0.98%

1.29%

0.19%

3.96%

1.29% 1.21%To

tal R

etu

rn



Portfolio performance is gross of fees unless otherwise indicated. ** Fees were calculated based on average assets during the period at the contractual rate.

Account ****0100

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Portfolio Earnings

Quarter-Ended June 30, 2019

Market Value Basis Accrual (Amortized Cost) Basis

Net Purchases/Sales

Change in Value

Interest Earned

$44,286,355.96

($1,032,159.55)

$341,536.06

$210,580.50

$552,116.56

$43,595,732.47

$44,145,100.95

($1,032,159.55)

$26,555.14

$210,580.50

$237,135.64

$43,139,496.54

Portfolio Earnings

Beginning Value (03/31/2019)

Ending Value (06/30/2019)

PFM Asset Management LLC Account ****0100

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Portfolio Composition

Sector Allocation

June 30, 2019 March 31, 2019 December 31, 2018 September 30, 2018

% of TotalMV ($MM)Sector % of Total% of Total% of Total MV ($MM)MV ($MM)MV ($MM)

U.S. Treasury 19.9 45.5% 19.7 44.4% 16.6 41.0% 18.7 41.6%

Corporate 13.1 30.1% 11.4 25.7% 9.0 22.2% 8.8 19.7%

Federal Agency/GSE 10.6 24.4% 13.3 29.9% 14.9 36.8% 17.4 38.7%

$43.6 100.0% $44.3 100.0% $40.5 100.0% $44.9 100.0%Total

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

June 2019 March 2019 December 2018 September 2018

Federal Agency/GSE

Corporate

U.S. Treasury


Detail may not add to total due to rounding.

Account ****0100

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As of June 30, 2019

>5

Years

4-5

Years

3-4

Years

2-3

Years

1-2

Years

0-1

YearsYield

at MarketPortfolio/Benchmark

Average

Maturity

PALM BEACH CNTY FL S/D 2.02% 34.5% 23.8% 40.9% 0.8% 0.0% 0.0%1.53 yrs

ICE BofAML 1-3 Year U.S. Treasury Index 1.80% 2.9% 53.7% 43.5% 0.0% 0.0% 0.0%1.94 yrs

0%

10%

20%

30%

40%

50%

60%

0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years

34.5%

23.8%

40.9%

0.8% 0.0% 0.0%2.9%

53.7%

43.5%

0.0% 0.0% 0.0%



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As of June 30, 2019

Duration Distribution

> 5 YEARS4-5 YEARS3-4 YEARS2-3 YEARS1-2 YEARS0-1 YEARSEffective

DurationPortfolio / Benchmark

PALM BEACH CNTY FL S/D 1.47 34.5% 23.8% 40.9% 0.8% 0.0% 0.0%

ICE BofAML 1-3 Year U.S. Treasury Index 1.81 2.9% 54.9% 42.2% 0.0% 0.0% 0.0%

0%

10%

20%

30%

40%

50%

60%


35%

24%

41%

1% 0% 0%3%

55%

42%

0% 0% 0%

Distribution by Effective Duration


ICE BofAML 1-3 Year U.S. Treasury Index

0%

10%

20%

30%

40%

50%

60%

70%


8%

25%

65%

2% 0% 0%2%

44%

55%

0% 0% 0%

Contribution to Portfolio Duration

ICE BofAML 1-3 Year U.S. Treasury Index



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Credit Quality

As of June 30, 2019

S&P Rating Market Value ($) % of Portfolio

71.2%$31,035,129AA+

9.5%$4,145,233A

4.8%$2,108,649A-

4.0%$1,733,270AA-

3.9%$1,686,148A+

2.9%$1,255,610BBB+

2.8%$1,228,978AA

0.9%$402,715AAA

Totals 100.0%$43,595,732

9.5%

A

4.8%

A-

3.9%

A+

2.8%

AA

4.0%

AA-

71.2%

AA+

0.9%

AAA

2.9%

BBB+



Account ****0100

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Issuer Distribution

As of June 30, 2019

Market Value ($) % of PortfolioIssuer

UNITED STATES TREASURY 19,857,478 45.5%

FANNIE MAE 4,668,796 10.7%

FEDERAL HOME LOAN BANKS 3,759,059 8.6%

FREDDIE MAC 2,189,491 5.0%

CATERPILLAR INC 745,358 1.7%

TOYOTA MOTOR CORP 593,049 1.4%

EXXON MOBIL CORP 560,304 1.3%

MERCK & CO INC 504,279 1.2%

PACCAR FINANCIAL CORP 476,539 1.1%

AMERICAN HONDA FINANCE 452,751 1.0%

BANK OF AMERICA CO 447,774 1.0%

DEERE & COMPANY 431,065 1.0%

UNITED PARCEL SERVICE INC 427,562 1.0%

MORGAN STANLEY 426,874 1.0%

AMERICAN EXPRESS CO 426,592 1.0%

CITIGROUP INC 425,863 1.0%

VISA INC 425,667 1.0%

WELLS FARGO & COMPANY 421,849 1.0%

To

p 5

= 7

1.6

%

To

p 1

0 =

77.5

%


of 55





JP MORGAN CHASE & CO 413,141 1.0%

IBM CORP 412,266 1.0%

GOLDMAN SACHS GROUP INC 402,873 0.9%

JOHNSON & JOHNSON 402,715 0.9%

THE BANK OF NEW YORK MELLON CORPORATION 402,198 0.9%

HOME DEPOT INC 399,838 0.9%

BB&T CORPORATION 399,294 0.9%

PFIZER INC 367,062 0.8%

3M COMPANY 366,325 0.8%

WAL-MART STORES INC 357,637 0.8%

ORACLE CORP 348,228 0.8%

CHARLES SCHWAB 310,906 0.7%

GENERAL DYNAMICS CORP 301,488 0.7%

HSBC HOLDINGS PLC 300,012 0.7%

NATIONAL RURAL UTILITIES CO FINANCE CORP 278,256 0.6%

UNILEVER PLC 255,622 0.6%

PEPSICO INC 224,938 0.5%

STATE STREET CORPORATION 224,414 0.5%

HERSHEY COMPANY 188,168 0.4%

43,595,732 100.0%Grand Total:


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Sector/Issuer Distribution

As of June 30, 2019

% of SectorSector / Issuer Market Value ($) % of Total Portfolio

Corporate

3M COMPANY 0.8% 2.8% 366,325

AMERICAN EXPRESS CO 1.0% 3.3% 426,592

AMERICAN HONDA FINANCE 1.0% 3.5% 452,751

BANK OF AMERICA CO 1.0% 3.4% 447,774

BB&T CORPORATION 0.9% 3.0% 399,294

CATERPILLAR INC 1.7% 5.7% 745,358

CHARLES SCHWAB 0.7% 2.4% 310,906

CITIGROUP INC 1.0% 3.2% 425,863

DEERE & COMPANY 1.0% 3.3% 431,065

EXXON MOBIL CORP 1.3% 4.3% 560,304

GENERAL DYNAMICS CORP 0.7% 2.3% 301,488

GOLDMAN SACHS GROUP INC 0.9% 3.1% 402,873

HERSHEY COMPANY 0.4% 1.4% 188,168

HOME DEPOT INC 0.9% 3.0% 399,838

HSBC HOLDINGS PLC 0.7% 2.3% 300,012

IBM CORP 0.9% 3.1% 412,266

JOHNSON & JOHNSON 0.9% 3.1% 402,715

JP MORGAN CHASE & CO 0.9% 3.1% 413,141

MERCK & CO INC 1.2% 3.8% 504,279

MORGAN STANLEY 1.0% 3.3% 426,874

NATIONAL RURAL UTILITIES CO FINANCE CORP 0.6% 2.1% 278,256


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ORACLE CORP 0.8% 2.7% 348,228

PACCAR FINANCIAL CORP 1.1% 3.6% 476,539

PEPSICO INC 0.5% 1.7% 224,938

PFIZER INC 0.8% 2.8% 367,062

STATE STREET CORPORATION 0.5% 1.7% 224,414

THE BANK OF NEW YORK MELLON CORPORATION 0.9% 3.1% 402,198

TOYOTA MOTOR CORP 1.4% 4.5% 593,049

UNILEVER PLC 0.6% 1.9% 255,622

UNITED PARCEL SERVICE INC 1.0% 3.3% 427,562

VISA INC 1.0% 3.2% 425,667

WAL-MART STORES INC 0.8% 2.7% 357,637

WELLS FARGO & COMPANY 1.0% 3.2% 421,849

100.0% 30.1% 13,120,908 Sector Total

Federal Agency/GSE

FANNIE MAE 10.7% 44.0% 4,668,796

FEDERAL HOME LOAN BANKS 8.6% 35.4% 3,759,059

FREDDIE MAC 5.0% 20.6% 2,189,491

100.0% 24.4% 10,617,346 Sector Total

U.S. Treasury

UNITED STATES TREASURY 45.5% 100.0% 19,857,478

100.0% 45.5% 19,857,478 Sector Total


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100.0% 43,595,732 Portfolio Total 100.0%


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Portfolio Activity

Quarterly Portfolio Transactions

Trade

Date

Settle

Date

Maturity

DatePar ($) CUSIP Security Description

Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

BUY

4/11/19 4/12/19 450,000 3135G0V59 FANNIE MAE NOTES 4/12/22 448,524.00 2.36%2.25%

5/10/19 5/14/19 425,000 92826CAB8 VISA INC (CALLABLE) CORP NOTES 12/14/20 426,792.08 2.52%2.20%

6/21/19 6/25/19 400,000 14913QAA7 CATERPILLAR FINL SERVICES CORP NOTES 6/6/22 402,830.67 2.20%2.40%

6/21/19 6/25/19 125,000 172967LQ2 CITIGROUP INC CORP NOTES 10/27/22 126,425.00 2.48%2.70%

6/21/19 6/25/19 160,000 94974BFC9 WELLS FARGO & COMPANY CORP NOTES 3/8/22 166,171.64 2.42%3.50%

6/21/19 6/25/19 125,000 61744YAH1 MORGAN STANLEY CORP NOTES 5/19/22 126,658.75 2.37%2.75%

6/26/19 6/27/19 425,000 911312BC9 UNITED PARCEL SERVICE (CALLABLE) NOTES 5/16/22 428,530.22 2.15%2.35%

2,110,000 2,125,932.36Total BUY

INTEREST

4/1/19 4/1/19 400,000 437076BL5 HOME DEPOT INC CORP NOTES 4/1/21 4,000.00 2.00%

4/13/19 4/13/19 450,000 89236TEU5 TOYOTA MOTOR CREDIT CORP NOTES 4/13/21 6,637.50 2.95%

4/15/19 4/15/19 400,000 06406FAA1 BANK OF NEW YORK MELLON CORP (CALLABLE) 4/15/21 5,000.00 2.50%

4/15/19 4/15/19 1,900,000 3137EADZ9 FREDDIE MAC NOTES 4/15/19 10,687.50 1.12%

4/15/19 4/15/19 225,000 713448DX3 PEPSICO INC CORP (CALLABLE) NOTE 4/15/21 2,250.00 2.00%

4/19/19 4/19/19 445,000 06051GFW4 BANK OF AMERICA CORP NOTE 4/19/21 5,840.63 2.62%

4/20/19 4/20/19 480,000 3137EAEF2 FHLMC AGENCY NOTES 4/20/20 3,300.00 1.37%

4/21/19 4/21/19 300,000 61746BEA0 MORGAN STANLEY CORP NOTES 4/21/21 3,750.00 2.50%

4/30/19 4/30/19 625,000 912828F96 US TREASURY NOTES 10/31/21 6,250.00 2.00%

4/30/19 4/30/19 5,000,000 912828F96 US TREASURY NOTES 10/31/21 50,000.00 2.00%

5/10/19 5/10/19 295,000 69371RP26 PACCAR FINANCIAL CORP 5/10/21 4,572.50 3.10%

5/11/19 5/11/19 300,000 369550BA5 GENERAL DYNAMICS CORP 5/11/20 4,312.50 2.87%

5/15/19 5/15/19 185,000 427866BA5 HERSHEY COMPANY CORP NOTES 5/15/21 2,867.50 3.10%

5/15/19 5/15/19 1,500,000 9128285L0 UNITED STATES TREASURY NOTES 11/15/21 21,562.50 2.87%


of 55



Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

5/15/19 5/15/19 340,000 14913Q2J7 CATERPILLAR FINL SERVICE 5/15/20 5,015.00 2.95%

5/19/19 5/19/19 225,000 857477AV5 STATE STREET CORP NOTES 5/19/21 2,193.75 1.95%

5/21/19 5/21/19 305,000 808513AW5 CHARLES SCHWAB CORP NOTES 5/21/21 4,956.25 3.25%

5/31/19 5/31/19 3,160,000 912828G61 US TREASURY NOTES 11/30/19 23,700.00 1.50%

6/14/19 6/14/19 425,000 92826CAB8 VISA INC (CALLABLE) CORP NOTES 12/14/20 4,675.00 2.20%

6/21/19 6/21/19 1,250,000 3130A8DB6 FHLB GLOBAL NOTE 6/21/19 7,031.25 1.12%

6/23/19 6/23/19 350,000 931142EJ8 WAL-MART STORES INC CORP NOTES 6/23/21 5,468.75 3.12%

18,560,000 184,070.63Total INTEREST

MATURITY

4/15/19 4/15/19 1,900,000 3137EADZ9 FREDDIE MAC NOTES 4/15/19 1,900,000.00 0.00 1.12%

6/21/19 6/21/19 1,250,000 3130A8DB6 FHLB GLOBAL NOTE 6/21/19 1,250,000.00 0.00 1.12%

3,150,000 3,150,000.00 0.00Total MATURITY


of 55



Portfolio Activity


Security DescriptionCUSIPPar ($) Settle

Date

Trade

Date

Tran.

Type

Maturity

Date Transact

Amt ($)Yield

Realized

G/L (BV)Coupon

4/1/19 4/1/19 400,000.00 437076BL5 HOME DEPOT INC CORP NOTESINTEREST 4/1/21 4,000.00 2.00%

4/11/19 4/12/19 450,000.00 3135G0V59 FANNIE MAE NOTESBUY 4/12/22 (448,524.00) 2.36%2.25%

4/13/19 4/13/19 450,000.00 89236TEU5 TOYOTA MOTOR CREDIT CORP NOTESINTEREST 4/13/21 6,637.50 2.95%

4/15/19 4/15/19 400,000.00 06406FAA1 BANK OF NEW YORK MELLON CORP (CALLABLE)INTEREST 4/15/21 5,000.00 2.50%

4/15/19 4/15/19 1,900,000.00 3137EADZ9 FREDDIE MAC NOTESINTEREST 4/15/19 10,687.50 1.12%

4/15/19 4/15/19 225,000.00 713448DX3 PEPSICO INC CORP (CALLABLE) NOTEINTEREST 4/15/21 2,250.00 2.00%

4/15/19 4/15/19 1,900,000.00 3137EADZ9 FREDDIE MAC NOTESMATURITY 4/15/19 1,900,000.00 0.00 1.12%

4/19/19 4/19/19 445,000.00 06051GFW4 BANK OF AMERICA CORP NOTEINTEREST 4/19/21 5,840.63 2.62%

4/20/19 4/20/19 480,000.00 3137EAEF2 FHLMC AGENCY NOTESINTEREST 4/20/20 3,300.00 1.37%

4/21/19 4/21/19 300,000.00 61746BEA0 MORGAN STANLEY CORP NOTESINTEREST 4/21/21 3,750.00 2.50%

4/30/19 4/30/19 625,000.00 912828F96 US TREASURY NOTESINTEREST 10/31/21 6,250.00 2.00%

4/30/19 4/30/19 5,000,000.00 912828F96 US TREASURY NOTESINTEREST 10/31/21 50,000.00 2.00%

5/10/19 5/10/19 295,000.00 69371RP26 PACCAR FINANCIAL CORPINTEREST 5/10/21 4,572.50 3.10%

5/10/19 5/14/19 425,000.00 92826CAB8 VISA INC (CALLABLE) CORP NOTESBUY 12/14/20 (426,792.08) 2.52%2.20%

5/11/19 5/11/19 300,000.00 369550BA5 GENERAL DYNAMICS CORPINTEREST 5/11/20 4,312.50 2.87%

5/15/19 5/15/19 185,000.00 427866BA5 HERSHEY COMPANY CORP NOTESINTEREST 5/15/21 2,867.50 3.10%

5/15/19 5/15/19 1,500,000.00 9128285L0 UNITED STATES TREASURY NOTESINTEREST 11/15/21 21,562.50 2.87%

5/15/19 5/15/19 340,000.00 14913Q2J7 CATERPILLAR FINL SERVICEINTEREST 5/15/20 5,015.00 2.95%

5/19/19 5/19/19 225,000.00 857477AV5 STATE STREET CORP NOTESINTEREST 5/19/21 2,193.75 1.95%

5/21/19 5/21/19 305,000.00 808513AW5 CHARLES SCHWAB CORP NOTESINTEREST 5/21/21 4,956.25 3.25%


of 55



Portfolio Activity


Date

Trade

Date

Tran.

Type

Maturity

Date Transact

Amt ($)Yield

Realized

G/L (BV)Coupon

5/31/19 5/31/19 3,160,000.00 912828G61 US TREASURY NOTESINTEREST 11/30/19 23,700.00 1.50%

6/14/19 6/14/19 425,000.00 92826CAB8 VISA INC (CALLABLE) CORP NOTESINTEREST 12/14/20 4,675.00 2.20%

6/21/19 6/21/19 1,250,000.00 3130A8DB6 FHLB GLOBAL NOTEINTEREST 6/21/19 7,031.25 1.12%

6/21/19 6/21/19 1,250,000.00 3130A8DB6 FHLB GLOBAL NOTEMATURITY 6/21/19 1,250,000.00 0.00 1.12%

6/21/19 6/25/19 400,000.00 14913QAA7 CATERPILLAR FINL SERVICES CORP NOTESBUY 6/6/22 (402,830.67) 2.20%2.40%

6/21/19 6/25/19 125,000.00 172967LQ2 CITIGROUP INC CORP NOTESBUY 10/27/22 (126,425.00) 2.48%2.70%

6/21/19 6/25/19 160,000.00 94974BFC9 WELLS FARGO & COMPANY CORP NOTESBUY 3/8/22 (166,171.64) 2.42%3.50%

6/21/19 6/25/19 125,000.00 61744YAH1 MORGAN STANLEY CORP NOTESBUY 5/19/22 (126,658.75) 2.37%2.75%

6/23/19 6/23/19 350,000.00 931142EJ8 WAL-MART STORES INC CORP NOTESINTEREST 6/23/21 5,468.75 3.12%

6/26/19 6/27/19 425,000.00 911312BC9 UNITED PARCEL SERVICE (CALLABLE) NOTESBUY 5/16/22 (428,530.22) 2.15%2.35%

TOTALS 1,208,138.27 0.00


of 55



Portfolio Holdings

Managed Account Detail of Securities Held

Original

Cost

Settle

Date

Trade

Date

Moody's

Rating

S&P

Rating

Accrued

Interest

Amortized

Cost

Market

Value

YTM

at Cost

Security Type/Description

CUSIP ParDated Date/Coupon/Maturity

U.S. Treasury Bond / Note

AA+ Aaa 12/1/2016 12/5/2016 3,163,950.00 4,014.75 3,160,559.60 3,151,853.521.46US TREASURY NOTES

DTD 12/01/2014 1.500% 11/30/2019

912828G61 3,160,000.00


DTD 02/02/2015 1.250% 01/31/2020

912828H52 1,260,000.00

AA+ Aaa 2/1/2017 2/3/2017 268,375.78 1,240.86 269,641.41 268,797.691.58US TREASURY NOTES

DTD 03/02/2015 1.375% 02/29/2020

912828J50 270,000.00


DTD 09/30/2015 1.375% 09/30/2020

912828L65 1,175,000.00


DTD 01/31/2016 1.375% 01/31/2021

912828N89 1,215,000.00

AA+ Aaa 9/27/2018 9/28/2018 746,865.23 6,052.99 747,645.79 766,641.002.90US TREASURY N/B

DTD 09/17/2018 2.750% 09/15/2021

9128285A4 750,000.00

AA+ Aaa 9/25/2018 9/26/2018 1,244,287.11 10,088.32 1,245,715.61 1,277,735.002.91US TREASURY N/B

DTD 09/17/2018 2.750% 09/15/2021

9128285A4 1,250,000.00


DTD 10/31/2014 2.000% 10/31/2021

912828F96 5,000,000.00

AA+ Aaa 7/30/2018 7/31/2018 609,838.87 2,105.98 613,997.68 628,784.382.79US TREASURY NOTES

DTD 10/31/2014 2.000% 10/31/2021

912828F96 625,000.00

AA+ Aaa 12/10/2018 12/11/2018 1,506,210.94 5,507.81 1,505,082.69 1,539,492.002.73UNITED STATES TREASURY NOTES

DTD 11/15/2018 2.875% 11/15/2021

9128285L0 1,500,000.00


DTD 01/15/2019 2.500% 01/15/2022

9128285V8 1,500,000.00


DTD 01/15/2019 2.500% 01/15/2022

9128285V8 2,000,000.00

2.37 19,857,478.16 19,565,249.46 103,824.07 19,705,000.00 19,508,099.02Security Type Sub-Total

Federal Agency Bond / Note

AA+ Aaa 7/19/2016 7/20/2016 1,062,422.70 4,193.44 1,064,956.49 1,064,138.420.96FHLMC REFERENCE NOTE

DTD 07/20/2016 0.875% 07/19/2019

3137EAEB1 1,065,000.00


of 55



Portfolio Holdings


Original

Cost

Settle

Date

Trade

Date

Moody's

Rating

S&P

Rating

Accrued

Interest

Amortized

Cost

Market

Value

YTM

at Cost



Federal Agency Bond / Note

AA+ Aaa 7/29/2016 8/2/2016 1,068,202.40 3,875.03 1,069,947.81 1,068,703.160.93FNMA BENCHMARK NOTE

DTD 08/02/2016 0.875% 08/02/2019

3135G0N33 1,070,000.00

AA+ Aaa 9/1/2016 9/2/2016 2,154,837.60 7,380.00 2,159,722.81 2,155,900.321.08FNMA NOTES

DTD 09/02/2016 1.000% 08/28/2019

3135G0P49 2,160,000.00

AA+ Aaa 10/3/2016 10/5/2016 1,349,527.50 3,562.50 1,349,962.09 1,346,082.301.01FHLB GLOBAL NOTES

DTD 09/09/2016 1.000% 09/26/2019

3130A9EP2 1,350,000.00

AA+ Aaa 9/8/2016 9/9/2016 2,417,894.60 6,386.11 2,419,834.52 2,412,977.161.03FHLB GLOBAL NOTES

DTD 09/09/2016 1.000% 09/26/2019

3130A9EP2 2,420,000.00

AA+ Aaa 2/24/2017 2/28/2017 479,692.80 2,460.00 479,931.43 478,155.361.52FNMA NOTES

DTD 02/28/2017 1.500% 02/28/2020

3135G0T29 480,000.00

AA+ Aaa 4/19/2017 4/20/2017 478,358.40 1,301.67 479,553.77 477,562.561.49FHLMC AGENCY NOTES

DTD 04/20/2017 1.375% 04/20/2020

3137EAEF2 480,000.00

AA+ Aaa 9/28/2017 9/29/2017 648,823.50 2,699.31 649,504.97 647,790.001.69FHLMC NOTES

DTD 09/29/2017 1.625% 09/29/2020

3137EAEJ4 650,000.00

AA+ Aaa 1/9/2019 1/11/2019 499,640.00 6,197.92 499,694.82 510,383.502.65FANNIE MAE NOTES

DTD 01/11/2019 2.625% 01/11/2022

3135G0U92 500,000.00

AA+ Aaa 4/11/2019 4/12/2019 448,524.00 2,221.88 448,628.82 455,653.352.36FANNIE MAE NOTES

DTD 04/12/2019 2.250% 04/12/2022

3135G0V59 450,000.00


Corporate Note

A A2 8/8/2018 8/10/2018 296,694.00 2,271.67 298,556.09 300,012.003.07HSBC USA INC NOTES

DTD 03/05/2015 2.350% 03/05/2020

40428HPR7 300,000.00

AA+ Aaa 9/28/2017 9/29/2017 436,497.71 2,656.88 435,386.65 434,266.161.77EXXON MOBIL (CALLABLE) CORP

NOTE

DTD 03/06/2015 1.912% 03/06/2020

30231GAG7 435,000.00

A+ A2 5/8/2018 5/11/2018 298,938.00 1,197.92 299,535.24 301,487.703.06GENERAL DYNAMICS CORP

DTD 05/11/2018 2.875% 05/11/2020

369550BA5 300,000.00

A A3 5/9/2018 5/16/2018 339,935.40 1,281.61 339,971.26 341,890.402.96CATERPILLAR FINL SERVICE

DTD 05/16/2018 2.950% 05/15/2020

14913Q2J7 340,000.00


of 55



Portfolio Holdings


Original

Cost

Settle

Date

Trade

Date

Moody's

Rating

S&P

Rating

Accrued

Interest

Amortized

Cost

Market

Value

YTM

at Cost



Corporate Note

A- A2 3/1/2018 3/2/2018 421,136.75 3,284.31 423,132.34 426,591.632.97AMERICAN EXP (CALLABLE) CREDIT

CORP NOTE

DTD 09/14/2015 2.600% 09/14/2020

0258M0DX4 425,000.00

AA- Aa3 5/10/2019 5/14/2019 422,896.25 441.53 423,070.67 425,666.832.52VISA INC (CALLABLE) CORP NOTES

DTD 12/14/2015 2.200% 12/14/2020

92826CAB8 425,000.00

AA- Aa3 1/3/2019 1/8/2019 134,919.00 1,978.69 134,938.02 136,856.123.08TOYOTA MOTOR CREDIT CORP CORP

NOTES

DTD 01/08/2019 3.050% 01/08/2021

89236TFQ3 135,000.00

A- A2 5/1/2018 5/3/2018 389,964.00 3,583.33 394,113.31 399,294.403.11BRANCH BANKING & TRUST

(CALLABLE) NOTES

DTD 10/26/2017 2.150% 02/01/2021

05531FAZ6 400,000.00

A A1 3/1/2018 3/2/2018 407,687.60 4,406.36 408,718.72 412,265.662.85IBM CORP CORP NOTES

DTD 02/06/2018 2.650% 02/05/2021

44932HAG8 410,000.00

A A2 2/12/2018 2/15/2018 449,370.00 4,604.38 449,653.64 452,751.302.70AMERICAN HONDA FINANCE

DTD 02/15/2018 2.650% 02/12/2021

02665WCD1 450,000.00

BBB+ A3 5/8/2018 5/10/2018 395,048.00 4,025.00 397,026.43 402,872.803.34GOLDMAN SACHS GROUP INC

(CALLABLE) NOTE

DTD 02/25/2016 2.875% 02/25/2021

38143U8F1 400,000.00

A- A2 2/13/2018 2/15/2018 307,312.30 2,635.00 308,501.96 311,082.212.85JP MORGAN CHASE & CO CORP NT

(CALLABLE)

DTD 03/01/2016 2.550% 03/01/2021

46625HQJ2 310,000.00

A+ A1 7/30/2018 7/31/2018 173,481.00 1,633.33 174,008.26 176,606.503.15PACCAR FINANCIAL CORP NOTES

DTD 02/27/2018 2.800% 03/01/2021

69371RN93 175,000.00

A A2 3/8/2018 3/13/2018 299,796.00 2,611.46 299,882.29 303,528.302.90JOHN DEERE CAPITAL CORP NOTES

DTD 03/13/2018 2.875% 03/12/2021

24422EUD9 300,000.00

A A2 8/8/2018 8/10/2018 273,630.50 2,348.19 274,092.07 278,256.003.10NATIONAL RURAL UTIL COOP NOTE

DTD 02/26/2018 2.900% 03/15/2021

63743HER9 275,000.00

A A2 5/1/2018 5/3/2018 389,176.00 2,000.00 393,387.96 399,838.002.98HOME DEPOT INC CORP NOTES

DTD 02/12/2016 2.000% 04/01/2021

437076BL5 400,000.00


of 55



Portfolio Holdings


Original

Cost

Settle

Date

Trade

Date

Moody's

Rating

S&P

Rating

Accrued

Interest

Amortized

Cost

Market

Value

YTM

at Cost



Corporate Note

AA- Aa3 5/1/2018 5/3/2018 448,425.00 2,876.25 449,032.82 456,193.353.07TOYOTA MOTOR CREDIT CORP

NOTES

DTD 04/13/2018 2.950% 04/13/2021

89236TEU5 450,000.00

A A1 3/1/2018 3/2/2018 393,588.00 2,111.11 396,255.18 402,198.403.04BANK OF NEW YORK MELLON CORP

(CALLABLE)

DTD 02/19/2016 2.500% 04/15/2021

06406FAA1 400,000.00

A+ A1 7/30/2018 7/31/2018 219,186.00 950.00 221,108.24 224,938.353.00PEPSICO INC CORP (CALLABLE)

NOTE

DTD 10/10/2017 2.000% 04/15/2021

713448DX3 225,000.00

A- A2 2/13/2018 2/15/2018 441,195.25 2,336.25 442,808.71 447,773.692.91BANK OF AMERICA CORP NOTE

DTD 04/19/2016 2.625% 04/19/2021

06051GFW4 445,000.00

BBB+ A3 5/1/2018 5/3/2018 293,151.00 1,458.33 295,755.77 300,562.203.31MORGAN STANLEY CORP NOTES

DTD 04/21/2016 2.500% 04/21/2021

61746BEA0 300,000.00

A+ A1 5/7/2018 5/10/2018 294,923.30 1,295.54 294,951.68 299,932.113.11PACCAR FINANCIAL CORP

DTD 05/10/2018 3.100% 05/10/2021

69371RP26 295,000.00

A A1 5/3/2018 5/10/2018 184,872.35 732.81 184,918.96 188,168.313.12HERSHEY COMPANY CORP NOTES

DTD 05/10/2018 3.100% 05/15/2021

427866BA5 185,000.00

A A1 7/30/2018 7/31/2018 217,896.75 511.88 220,158.97 224,413.653.14STATE STREET CORP NOTES

DTD 05/19/2016 1.950% 05/19/2021

857477AV5 225,000.00

A A2 5/17/2018 5/22/2018 304,990.85 1,101.39 304,993.99 310,906.023.25CHARLES SCHWAB CORP NOTES

DTD 05/22/2018 3.250% 05/21/2021

808513AW5 305,000.00

AA Aa2 6/20/2018 6/27/2018 349,982.50 243.06 349,987.63 357,637.003.13WAL-MART STORES INC CORP

NOTES

DTD 06/27/2018 3.125% 06/23/2021

931142EJ8 350,000.00

BBB+ A3 3/19/2019 3/21/2019 295,422.00 2,917.92 295,947.35 299,807.103.02CITIGROUP INC CORP NOTES

DTD 08/02/2016 2.350% 08/02/2021

172967KV2 300,000.00

A A2 9/5/2018 9/10/2018 124,961.25 1,204.43 124,971.35 127,536.503.14JOHN DEERE CAPITAL CORP CORP

NOTES

DTD 09/10/2018 3.125% 09/10/2021

24422EUK3 125,000.00

AA- A1 9/11/2018 9/14/2018 159,672.00 1,426.67 159,756.36 163,032.803.073M COMPANY

DTD 09/14/2018 3.000% 09/14/2021

88579YBA8 160,000.00


of 55



Portfolio Holdings


Original

Cost

Settle

Date

Trade

Date

Moody's

Rating

S&P

Rating

Accrued

Interest

Amortized

Cost

Market

Value

YTM

at Cost



Corporate Note

AA- A1 1/8/2019 1/10/2019 339,332.00 1,958.06 341,167.45 348,228.303.09ORACLE CORP (CALLABLE) NOTES

DTD 07/07/2016 1.900% 09/15/2021

68389XBK0 350,000.00

AA A1 9/4/2018 9/7/2018 299,595.00 2,650.00 299,699.87 306,003.003.05PFIZER INC CORP NOTE

DTD 09/07/2018 3.000% 09/15/2021

717081EM1 300,000.00

AA A1 1/14/2019 1/16/2019 368,032.50 3,451.56 369,038.61 378,127.882.99MERCK & CO INC CORP NOTES

DTD 02/10/2015 2.350% 02/10/2022

58933YAQ8 375,000.00

AA- A1 2/12/2019 2/22/2019 199,906.00 1,970.83 199,917.31 203,292.602.773M COMPANY BONDS

DTD 02/22/2019 2.750% 03/01/2022

88579YBF7 200,000.00

AAA Aaa 3/5/2019 3/7/2019 394,828.00 2,950.00 395,358.10 402,715.202.70JOHNSON & JOHNSON CORP NOTES

DTD 03/03/2017 2.250% 03/03/2022

478160CD4 400,000.00

AA+ Aaa 11/26/2018 11/28/2018 92,115.80 727.42 92,616.91 95,789.073.38EXXON MOBIL CORP (CALLABLE)

NOTE

DTD 03/06/2015 2.397% 03/06/2022

30231GAJ1 95,000.00

AA+ Aaa 11/26/2018 11/28/2018 29,077.50 229.71 29,237.75 30,249.183.40EXXON MOBIL CORP (CALLABLE)

NOTE

DTD 03/06/2015 2.397% 03/06/2022

30231GAJ1 30,000.00

A+ A1 9/4/2018 9/7/2018 248,790.00 2,375.00 249,060.93 255,621.503.15UNILEVER CAPITAL CORP

DTD 09/07/2018 3.000% 03/07/2022

904764BF3 250,000.00

A- A2 1/30/2019 1/31/2019 251,840.00 2,746.53 251,607.96 257,224.753.25WELLS FARGO & COMPANY CORP

NOTES

DTD 03/08/2012 3.500% 03/08/2022

94974BFC9 250,000.00

A- A2 6/21/2019 6/25/2019 164,507.20 1,757.78 164,480.54 164,623.842.42WELLS FARGO & COMPANY CORP

NOTES

DTD 03/08/2012 3.500% 03/08/2022

94974BFC9 160,000.00

AA A1 3/4/2019 3/11/2019 59,996.40 513.33 59,996.75 61,059.482.80PFIZER INC CORP BONDS

DTD 03/11/2019 2.800% 03/11/2022

717081ER0 60,000.00

A+ A1 6/26/2019 6/27/2019 427,392.75 1,248.44 427,383.64 427,562.332.15UNITED PARCEL SERVICE

(CALLABLE) NOTES

DTD 05/16/2017 2.350% 05/16/2022

911312BC9 425,000.00

BBB+ A3 6/21/2019 6/25/2019 126,315.00 401.04 126,307.72 126,311.382.37MORGAN STANLEY CORP NOTES

DTD 05/19/2017 2.750% 05/19/2022

61744YAH1 125,000.00


of 55



Portfolio Holdings


Original

Cost

Settle

Date

Trade

Date

Moody's

Rating

S&P

Rating

Accrued

Interest

Amortized

Cost

Market

Value

YTM

at Cost



Corporate Note

A A3 6/21/2019 6/25/2019 402,324.00 666.67 402,311.29 403,468.002.20CATERPILLAR FINL SERVICES CORP

NOTES

DTD 06/06/2017 2.400% 06/06/2022

14913QAA7 400,000.00

AA A1 3/13/2019 3/15/2019 123,722.50 883.33 123,825.69 126,151.132.71MERCK & CO INC CORP NOTES

DTD 09/13/2012 2.400% 09/15/2022

589331AT4 125,000.00

BBB+ A3 6/21/2019 6/25/2019 125,881.25 600.00 125,877.11 126,056.252.48CITIGROUP INC CORP NOTES

DTD 10/27/2017 2.700% 10/27/2022

172967LQ2 125,000.00

A- A2 3/15/2019 3/22/2019 100,000.00 881.93 100,000.00 102,058.803.21JPMORGAN CHASE & CO BONDS

DTD 03/22/2019 3.207% 04/01/2023

46647PBB1 100,000.00


43,034,427.18 43,345,000.00 230,238.86 43,139,496.54 43,595,732.47 2.25 Managed Account Sub Total

$230,238.86 $43,139,496.54 $43,595,732.47 Securities Sub-Total

Accrued Interest $230,238.86

Total Investments $43,825,971.33

2.25%$43,345,000.00 $43,034,427.18

Bolded items are forward settling trades.


of 55

PALM BEACH COUNTY SD SHORT TERM FUND


Portfolio Snapshot

Portfolio Statistics

As of June 30, 2019

$336,000,000

$334,626,886

$334,603,162

-

$23,724

Accrued Interest:

Cash:

Par Value:

Total Market Value:

Security Market Value:

$334,506,710

2.22%

2.38%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:

Effective Duration: 0.19 Years

Duration to Worst: 0.19 Years

Average Maturity: 0.19 Years

Credit Quality (S&P Ratings)

10.7%

A-1

89.3%

A-1+

0%

20%

40%

60%

80%

100%

0 - 1 Year 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years > 5 Years

100.0%

0.0% 0.0% 0.0% 0.0% 0.0%


Sector Allocation

40.5%

Commercial

Paper

59.5%

U.S.

Treasury


* An average of each security’s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio.

Account ****0170

of 55




Portfolio Earnings

Quarter-Ended June 30, 2019

Market Value Basis Accrual (Amortized Cost) Basis

Net Purchases/Sales

Change in Value

Interest Earned

$666,684,680.70

($335,421,674.00)

$3,340,155.30

$120,317.90

$3,460,473.20

$334,603,162.00

$666,610,642.58

($335,421,674.00)

$3,317,741.26

$120,317.90

$3,438,059.16

$334,506,709.84

Portfolio Earnings

Beginning Value (03/31/2019)

Ending Value (06/30/2019)


of 55




Sector Allocation

June 30, 2019 March 31, 2019 December 31, 2018 September 30, 2018

% of TotalMV ($MM)Sector % of Total% of Total% of Total MV ($MM)MV ($MM)MV ($MM)

U.S. Treasury 199.2 59.5% 225.6 33.8% 281.0 46.9% 0.0 0.0%

Commercial Paper 135.5 40.5% 340.3 51.1% 251.6 42.1% 0.0 0.0%

Federal Agency/GSE 0.0 0.0% 100.8 15.1% 65.8 11.0% 0.0 0.0%

$334.6 100.0% $666.7 100.0% $598.4 100.0% $0.0 0.0%Total

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

June 2019 March 2019 December 2018

Federal Agency/GSE

Commercial Paper

U.S. Treasury



Account ****0170

of 55





As of June 30, 2019

>5

Years

4-5

Years

3-4

Years

2-3

Years

1-2

Years

0-1

YearsYield

at MarketPortfolio/Benchmark

Average

Maturity

PALM BEACH COUNTY SD SHORT TERM FUND 2.22% 100.0% 0.0% 0.0% 0.0% 0.0% 0.0%0.19 yrs

0%

20%

40%

60%

80%

100%


100.0%

0.0% 0.0% 0.0% 0.0% 0.0%


PFM Asset Management LLC Account ****0170 of 55




Credit Quality

As of June 30, 2019

S&P Rating Market Value ($) % of Portfolio

89.3%$298,825,750A-1+

10.7%$35,777,412A-1

Totals 100.0%$334,603,162

10.7%

A-1

89.3%

A-1+



Account ****0170

of 55




Issuer Distribution

As of June 30, 2019


UNITED STATES TREASURY 199,150,400 59.5%

TOYOTA MOTOR CORP 49,877,050 14.9%

EXXON MOBIL CORP 49,798,300 14.9%

MITSUBISHI UFJ FINANCIAL GROUP INC 35,777,412 10.7%

334,603,162 100.0%Grand Total:


of 55




Sector/Issuer Distribution

As of June 30, 2019


Commercial Paper

EXXON MOBIL CORP 14.9% 36.8% 49,798,300

MITSUBISHI UFJ FINANCIAL GROUP INC 10.7% 26.4% 35,777,412

TOYOTA MOTOR CORP 14.9% 36.8% 49,877,050

100.0% 40.5% 135,452,762 Sector Total

U.S. Treasury

UNITED STATES TREASURY 59.5% 100.0% 199,150,400

100.0% 59.5% 199,150,400 Sector Total

100.0% 334,603,162 Portfolio Total 100.0%


of 55



Portfolio Activity


Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

BUY

5/1/19 5/2/19 50,000,000 912796SL4 UNITED STATES TREASURY BILL 10/3/19 49,497,361.00 2.37%0.00%

5/1/19 5/2/19 50,000,000 912796SL4 UNITED STATES TREASURY BILL 10/3/19 49,497,361.00 2.37%0.00%

5/14/19 5/14/19 36,000,000 62479MX16 MUFG BANK LTD/NY COMM PAPER 10/1/19 35,645,800.00 2.56%0.00%

5/22/19 5/23/19 50,000,000 912796SE0 UNITED STATES TREASURY BILL 8/22/19 49,706,714.50 2.33%0.00%

5/22/19 5/23/19 50,000,000 912796SE0 UNITED STATES TREASURY BILL 8/22/19 49,706,714.50 2.33%0.00%

6/6/19 6/6/19 50,000,000 89233HV50 TOYOTA MOTOR CREDIT CORP COMM PAPER 8/5/19 49,804,166.67 2.36%0.00%

6/6/19 6/6/19 50,000,000 30229BVW4 EXXON MOBIL CORP COMM PAPER 8/30/19 49,720,208.33 2.38%0.00%

336,000,000 333,578,326.00Total BUY

INTEREST

4/1/19 4/1/19 0 MONEY0002 MONEY MARKET FUND 63,862.67



0 120,317.90Total INTEREST

MATURITY

4/22/19 4/22/19 64,000,000 89233HRN6 TOYOTA MOTOR CREDIT CORP COMM PAPER 4/22/19 64,000,000.00 0.00 0.00%

4/22/19 4/22/19 18,000,000 06366HRN9 BANK OF MONTREAL CHICAGO COMM PAPER 4/22/19 18,000,000.00 0.00 0.00%

5/1/19 5/1/19 1,000,000 313384FA2 FEDERAL HOME LOAN BANKS DISC NOTE 5/1/19 1,000,000.00 0.00 0.00%



5/7/19 5/7/19 38,000,000 62479MS79 MUFG BANK LTD/NY COMM PAPER 5/7/19 38,000,000.00 0.00 0.00%


of 55



Portfolio Activity

Trade

Date

Settle

Date

Maturity


Transact

Amt ($)

Yield

at Market

Realized

G/L (BV)Coupon

5/7/19 5/7/19 62,000,000 46640QS77 JP MORGAN SECURITIES LLC COMM PAPER 5/7/19 62,000,000.00 0.00 0.00%

5/23/19 5/23/19 50,000,000 912796QH5 UNITED STATES TREASURY BILL 5/23/19 50,000,000.00 0.00 0.00%

5/23/19 5/23/19 50,000,000 912796QH5 UNITED STATES TREASURY BILL 5/23/19 50,000,000.00 0.00 0.00%

6/3/19 6/3/19 9,500,000 30229BT31 EXXON MOBIL CORP COMM PAPER 6/3/19 9,500,000.00 0.00 0.00%

6/6/19 6/6/19 26,500,000 912796RS0 US TREASURY BILL 6/6/19 26,500,000.00 0.00 0.00%



6/7/19 6/7/19 24,000,000 4497W1T71 ING (US) FUNDING LLC COMM PAPER 6/7/19 24,000,000.00 0.00 0.00%

6/7/19 6/7/19 38,000,000 22533UT78 CREDIT AGRICOLE CIB NY COMM PAPER 6/7/19 38,000,000.00 0.00 0.00%

6/7/19 6/7/19 38,000,000 63873KT72 NATIXIS NY BRANCH COMM PAPER 6/7/19 38,000,000.00 0.00 0.00%

6/18/19 6/18/19 38,000,000 09659CTJ7 BNP PARIBAS NY BRANCH COMM PAPER 6/18/19 38,000,000.00 0.00 0.00%

6/18/19 6/18/19 12,000,000 4497W1TJ5 ING (US) FUNDING LLC COMM PAPER 6/18/19 12,000,000.00 0.00 0.00%

669,000,000 669,000,000.00 0.00Total MATURITY


of 55



Portfolio Activity



Date

Trade

Date

Tran.

Type

Maturity

Date Transact

Amt ($)Yield

Realized

G/L (BV)Coupon

4/1/19 4/1/19 0.00 MONEY0002 MONEY MARKET FUNDINTEREST 63,862.67

4/22/19 4/22/19 18,000,000.00 06366HRN9 BANK OF MONTREAL CHICAGO COMM PAPERMATURITY 4/22/19 18,000,000.00 0.00 0.00%

4/22/19 4/22/19 64,000,000.00 89233HRN6 TOYOTA MOTOR CREDIT CORP COMM PAPERMATURITY 4/22/19 64,000,000.00 0.00 0.00%


5/1/19 5/1/19 50,000,000.00 313384FA2 FEDERAL HOME LOAN BANKS DISC NOTEMATURITY 5/1/19 50,000,000.00 0.00 0.00%



5/1/19 5/2/19 50,000,000.00 912796SL4 UNITED STATES TREASURY BILLBUY 10/3/19 (49,497,361.00) 2.37%0.00%

5/1/19 5/2/19 50,000,000.00 912796SL4 UNITED STATES TREASURY BILLBUY 10/3/19 (49,497,361.00) 2.37%0.00%

5/7/19 5/7/19 38,000,000.00 62479MS79 MUFG BANK LTD/NY COMM PAPERMATURITY 5/7/19 38,000,000.00 0.00 0.00%

5/7/19 5/7/19 62,000,000.00 46640QS77 JP MORGAN SECURITIES LLC COMM PAPERMATURITY 5/7/19 62,000,000.00 0.00 0.00%

5/14/19 5/14/19 36,000,000.00 62479MX16 MUFG BANK LTD/NY COMM PAPERBUY 10/1/19 (35,645,800.00) 2.56%0.00%

5/22/19 5/23/19 50,000,000.00 912796SE0 UNITED STATES TREASURY BILLBUY 8/22/19 (49,706,714.50) 2.33%0.00%

5/22/19 5/23/19 50,000,000.00 912796SE0 UNITED STATES TREASURY BILLBUY 8/22/19 (49,706,714.50) 2.33%0.00%

5/23/19 5/23/19 50,000,000.00 912796QH5 UNITED STATES TREASURY BILLMATURITY 5/23/19 50,000,000.00 0.00 0.00%

5/23/19 5/23/19 50,000,000.00 912796QH5 UNITED STATES TREASURY BILLMATURITY 5/23/19 50,000,000.00 0.00 0.00%


6/3/19 6/3/19 9,500,000.00 30229BT31 EXXON MOBIL CORP COMM PAPERMATURITY 6/3/19 9,500,000.00 0.00 0.00%

6/6/19 6/6/19 50,000,000.00 30229BVW4 EXXON MOBIL CORP COMM PAPERBUY 8/30/19 (49,720,208.33) 2.38%0.00%

6/6/19 6/6/19 50,000,000.00 89233HV50 TOYOTA MOTOR CREDIT CORP COMM PAPERBUY 8/5/19 (49,804,166.67) 2.36%0.00%


of 55



Portfolio Activity


Date

Trade

Date

Tran.

Type

Maturity

Date Transact

Amt ($)Yield

Realized

G/L (BV)Coupon

6/6/19 6/6/19 26,500,000.00 912796RS0 US TREASURY BILLMATURITY 6/6/19 26,500,000.00 0.00 0.00%



6/7/19 6/7/19 38,000,000.00 22533UT78 CREDIT AGRICOLE CIB NY COMM PAPERMATURITY 6/7/19 38,000,000.00 0.00 0.00%

6/7/19 6/7/19 38,000,000.00 63873KT72 NATIXIS NY BRANCH COMM PAPERMATURITY 6/7/19 38,000,000.00 0.00 0.00%

6/7/19 6/7/19 24,000,000.00 4497W1T71 ING (US) FUNDING LLC COMM PAPERMATURITY 6/7/19 24,000,000.00 0.00 0.00%

6/18/19 6/18/19 38,000,000.00 09659CTJ7 BNP PARIBAS NY BRANCH COMM PAPERMATURITY 6/18/19 38,000,000.00 0.00 0.00%

6/18/19 6/18/19 12,000,000.00 4497W1TJ5 ING (US) FUNDING LLC COMM PAPERMATURITY 6/18/19 12,000,000.00 0.00 0.00%

TOTALS 335,541,991.90 0.00


of 55



Portfolio Holdings


Original

Cost

Settle

Date

Trade

Date

Moody's

Rating

S&P

Rating

Accrued

Interest

Amortized

Cost

Market

Value

YTM

at Cost



U.S. Treasury Bill

A-1+ P-1 5/22/2019 5/23/2019 49,706,714.50 0.00 49,832,408.50 49,848,400.002.33UNITED STATES TREASURY BILL

DTD 02/21/2019 0.000% 08/22/2019

912796SE0 50,000,000.00


DTD 02/21/2019 0.000% 08/22/2019

912796SE0 50,000,000.00


DTD 04/04/2019 0.000% 10/03/2019

912796SL4 50,000,000.00


DTD 04/04/2019 0.000% 10/03/2019

912796SL4 50,000,000.00

2.35 199,150,400.00 199,051,206.00 0.00 200,000,000.00 198,408,151.00Security Type Sub-Total

Commercial Paper

A-1+ P-1 6/6/2019 6/6/2019 49,804,166.67 0.00 49,885,764.00 49,877,050.002.36TOYOTA MOTOR CREDIT CORP COMM

PAPER

DTD 11/20/2018 0.000% 08/05/2019

89233HV50 50,000,000.00

A-1+ P-1 6/6/2019 6/6/2019 49,720,208.33 0.00 49,802,500.00 49,798,300.002.38EXXON MOBIL CORP COMM PAPER

DTD 06/06/2019 0.000% 08/30/2019

30229BVW4 50,000,000.00

A-1 P-1 5/14/2019 5/14/2019 35,645,800.00 0.00 35,767,239.84 35,777,412.002.56MUFG BANK LTD/NY COMM PAPER

DTD 01/04/2019 0.000% 10/01/2019

62479MX16 36,000,000.00

2.42 135,452,762.00 135,455,503.84 0.00 136,000,000.00 135,170,175.00Security Type Sub-Total

333,578,326.00 336,000,000.00 0.00 334,506,709.84 334,603,162.00 2.38 Managed Account Sub Total

$0.00 $334,506,709.84 $334,603,162.00 Securities Sub-Total

Accrued Interest $0.00

Total Investments $334,603,162.00

2.38%$336,000,000.00 $333,578,326.00

Bolded items are forward settling trades.


of 55

Tab III



For the Quarter Ended June 30, 2019PALM BEACH COUNTY SCHOOL DISTRICT, FL Asset Allocation

Security TypeAmortized Cost

(Includes Interest)Allocation

PercentagePermitted by

Policy In ComplianceFlorida Prime (SBA) 162,020,453.41 18.52% 25% YESUnited States Treasury Securities 218,720,279.53 25.00% 100% YESFederal Agency 10,662,015.39 1.22% 50% YESCorporate Notes 13,038,646.48 1.49% 30% YESMunicipals - 0.00% 20% YESAgency Mortgage-Backed Securities (MBS) - 0.00% 20% YESCertificates of Deposit and Savings Accounts - 0.00% 25% YESDemand Deposit Bank Account 138,417,304.15 15.82% 100% YESCommercial Paper 135,455,503.84 15.48% 50% YESBankers’ Acceptances - 0.00% 35% YESRepurchase Agreements - 0.00% 50% YESMoney Market Funds 23,724.07 0.00% 75% YESIntergovernmental Pools 196,573,024.12 22.47% 50% YES

End of month trade-date amortized cost of portfolio holdings, including accrued interest.

15.5%

1.5%

1.2%

0.0%

25.0%

18.5%

22.5%

15.8%

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%

Commercial Paper

Corporate Notes

Federal Agency

Money Market Funds

United States Treasury Securities

Florida Prime (SBA)

Intergovernmental Pools

Demand Deposit Bank Account

of 55



Sector Individual Issuer BreakdownAmortized Cost


PercentagePermitted by Policy In Compliance

Us Tsy Bond/Note UNITED STATES TREASURY 218,720,279.53 25.00% 100% YESMny Mkt/Mutual Fnd MONEY MARKET FUND 23,724.07 0.00% 100% YESIntergovernmental Pools FL PALM 196,573,024.12 22.47% 25% YESFlorida Prime (SBA) SBA 162,020,453.41 18.52% 25% YESFed Agy Bond/Note FANNIE MAE 4,680,060.52 0.53% 25% YESFed Agy Bond/Note FEDERAL HOME LOAN BANKS 3,779,745.22 0.43% 25% YESFed Agy Bond/Note FREDDIE MAC 2,202,209.65 0.25% 25% YESDemand Deposit Bank Account CASH WELLS FARGO 116,615,198.97 13.33% 100% YESDemand Deposit Bank Account CASH BOA 444,443.16 0.05% 100% YESDemand Deposit Bank Account CASH IN SCHOOLS ACCOUNTS 21,314,433.32 2.44% 100% YESDemand Deposit Bank Account CASH TD BANK 43,228.70 0.00% 100% YESCorporate Note AMERICAN EXPRESS CREDIT CORP 426,416.65 0.05% 5% YESCorporate Note AMERICAN HONDA FINANCE 454,258.02 0.05% 5% YESCorporate Note GOLDMAN SACHS GROUP INC 401,051.43 0.05% 5% YESCorporate Note HSBC USA 300,827.76 0.03% 5% YESCorporate Note IBM CORP 413,125.08 0.05% 5% YESCorporate Note JOHN DEERE CAPITAL CORP 428,669.53 0.05% 5% YESCorporate Note MELLON BANK 398,366.29 0.05% 5% YESCorporate Note TOYOTA MOTOR CREDIT CORP 588,825.78 0.07% 5% YESCorporate Note EXXON MOBIL CORP 560,855.32 0.06% 5% YESCorporate Note PEPSICO INC 222,058.24 0.03% 5% YESCorporate Note JP MORGAN CHASE & CO 311,136.96 0.04% 5% YESCorporate Note WELLS FARGO BANK NA 420,592.81 0.05% 5% YESCorporate Note BRANCH BANKING & TRUST 397,696.64 0.05% 5% YESCorporate Note CITIGROUP INC 425,342.38 0.05% 5% YESCorporate Note PFIZER INC 362,859.95 0.04% 5% YESCorporate Note MORGAN STANLEY 423,922.86 0.05% 5% YESCorporate Note STATE STREET CORPORATION 220,670.85 0.03% 5% YESCorporate Note UNILEVER CAPITAL CORP 251,435.93 0.03% 5% YESCorporate Note ORACLE CORP 343,125.51 0.04% 5% YESCorporate Note CATERPILLAR FINANCIAL SERVICES CORP 744,230.83 0.09% 5% YESCorporate Note MERCK & CO INC 497,199.19 0.06% 5% YESCorporate Note VISA INC 423,512.20 0.05% 5% YESCorporate Note JOHNSON & JOHNSON 398,308.10 0.05% 5% YESCorporate Note HOME DEPOT INC 395,387.96 0.05% 5% YESCorporate Note BANK OF AMERICA CORP 445,144.96 0.05% 5% YESCorporate Note WAL-MART STORES INC 350,230.69 0.04% 5% YESCorporate Note PACCAR FINANCIAL CORP 471,888.81 0.05% 5% YESCorporate Note UNITED PARCEL SERVICE 428,632.08 0.05% 5% YESCorporate Note JPMORGAN CHASE & CO 100,881.93 0.01% 5% YESCorporate Note NATIONAL RURAL UTIL COOP 276,440.26 0.03% 5% YES

of 55



Sector Individual Issuer BreakdownAmortized Cost


PercentagePermitted by Policy In Compliance

Corporate Note HERSHEY COMPANY 185,651.77 0.02% 5% YESCorporate Note GENERAL DYNAMICS CORP 300,733.16 0.03% 5% YESCorporate Note CHARLES SCHWAB CORP 306,095.38 0.03% 5% YESCorporate Note 3M COMPANY 363,071.17 0.04% 5% YESCommercial Paper TOYOTA MOTOR CREDIT CORP 49,885,764.00 5.70% 10% YESCommercial Paper EXXON MOBIL CORP 49,802,500.00 5.69% 10% YESCommercial Paper MUFG BANK LTD/NY 35,767,239.84 4.09% 10% YES

End of month trade-date amortized cost of portfolio holdings, including accrued interest.

of 55



Appendix

IMPORTANT DISCLOSURES

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 a specific recommendation. All statements as

to what will or may happen under certain circumstances are based on assumptions, some, but not all of which, are noted in the presentation. Assumptions may or may not be proven

correct as actual events occur, and results may depend on events outside of your or our control. Changes in assumptions may have a material effect on results. Past performance does

not necessarily reflect and is not a guaranty of future results. The information contained in this presentation is not an offer to purchase or sell any securities.

Dime

Ã Market values that include accrued interest are derived from closing bid prices as of the last business day of the month as supplied by Interactive Data, Bloomberg, or Telerate.

Where prices are not available from generally recognized sources, the securities are priced using a yield based matrix system to arrive at an estimated market value.

Ã In accordance with generally accepted accounting principles, information is presented on a trade date basis; forward settling purchases are included in the monthly balances, and

forward settling sales are excluded.

Ã Performance is presented in accordance with the CFA Institute ’s Global Investment Performance Standards (GIPS). Unless otherwise noted, performance is shown gross of fees.

Quarterly returns are presented on an unannualized basis. Returns for periods greater than one year are presented on an annualized basis. Past performance is not indicative of

future returns.

Ã Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets.

Ã Money market fund/cash balances are included in performance and duration computations.

Ã Standard & Poorʼs is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/LGIP holdings.

Ã Callable securities in the portfolio are included in the maturity distribution analysis to their stated maturity date, although, they may be called prior to maturity.

Ã MBS maturities are represented by expected average life.

PFM Asset Management LLC Account ****0100 of 55



Appendix

GLOSSARY

Ã ACCRUED INTEREST: Interest that is due on a bond or other fixed income security since the last interest payment was made.

Ã AGENCIES: Federal agency securities and/or Government-sponsored enterprises.

Ã AMORTIZED COST: The original cost of the principal of the security is adjusted for the amount of the periodic reduction of any discount or premium from the purchase date until the

date of the report. Discount or premium with respect to short-term securities (those with less than one year to maturity at time of issuance) is amortized on a straight line basis.

Such discount or premium with respect to longer-term securities is amortized using the constant yield basis.

Ã BANKERS’ ACCEPTANCE: A draft or bill or exchange accepted by a bank or trust company. The accepting institution guarantees payment of the bill as well as the insurer.

Ã COMMERCIAL PAPER: An unsecured obligation issued by a corporation or bank to finance its short-term credit needs, such as accounts receivable and inventory.

Ã CONTRIBUTION TO DURATION: Represents each sector or maturity range ’s relative contribution to the overall duration of the portfolio measured as a percentage weighting. Since

duration is a key measure of interest rate sensitivity, the contribution to duration measures the relative amount or contribution of that sector or maturity range to the total rate

sensitivity of the portfolio.

Ã DURATION TO WORST: A measure of the sensitivity of a security ’s price to a change in interest rates, stated in years, computed from cash flows to the maturity date or to the put

date, whichever results in the highest yield to the investor.

Ã EFFECTIVE DURATION: A measure of the sensitivity of a security’s price to a change in interest rates, stated in years.

Ã EFFECTIVE YIELD: The total yield an investor receives in relation to the nominal yield or coupon of a bond. Effective yield takes into account the power of compounding on

investment returns, while nominal yield does not.

Ã FDIC: Federal Deposit Insurance Corporation. A federal agency that insures bank deposits to a specified amount.

Ã INTEREST RATE: Interest per year divided by principal amount and expressed as a percentage.

Ã MARKET VALUE: The value that would be received or paid for an investment in an orderly transaction between market participants at the measurement date.

Ã MATURITY: The date upon which the principal or stated value of an investment becomes due and payable.

Ã NEGOTIABLE CERTIFICATES OF DEPOSIT: A CD with a very large denomination, usually $1 million or more, that can be traded in secondary markets.

Ã PAR VALUE: The nominal dollar face amount of a security.


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Appendix

GLOSSARY

Ã PASS THROUGH SECURITY: A security representing pooled debt obligations that passes income from debtors to its shareholders. The most common type is the

mortgage-backed security.

Ã REPURCHASE AGREEMENTS: A holder of securities sells these securities to an investor with an agreement to repurchase them at a fixed price on a fixed date.

Ã SETTLE DATE: The date on which the transaction is settled and monies/securities are exchanged. If the settle date of the transaction (i.e., coupon payments and maturity

proceeds) occurs on a non-business day, the funds are exchanged on the next business day.

Ã TRADE DATE: The date on which the transaction occurred; however, the final consummation of the security transaction and payment has not yet taken place.

Ã UNSETTLED TRADE: A trade which has been executed; however, the final consummation of the security transaction and payment has not yet taken place.

Ã U.S. TREASURY: The department of the U.S. government that issues Treasury securities.

Ã YIELD: The rate of return based on the current market value, the annual interest receipts, maturity value, and the time period remaining until maturity, stated as a percentage on

an annualized basis.

Ã YTM AT COST: The yield to maturity at cost is the expected rate of return based on the original cost, the annual interest receipts, maturity value, and the time period from

purchase date to maturity, stated as a percentage on an annualized basis.

Ã YTM AT MARKET: The yield to maturity at market is the rate of return based on the current market value, the annual interest receipts, maturity value, and the time period

remaining until maturity, stated as a percentage on an annualized basis.


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investment performance review for the quarter ended june 30, … · • the third estimate of u.s....

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