Investment Performance Review For the Quarter Ended ... · Source: The Organization for Economic...

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 September 30, 2019

Steven Alexander, CTP, CGFO, CPPT, Managing Director Robert Cheddar, CFA, Chief Credit Officer, Managing DirectorScott Stitcher, CFA, DirectorSean Gannon, CTP, Senior Analyst


Source: Bloomberg, data available as of 9/30/19.

Market Indicators Mixed, but Recession Does Not Appear Imminent

40

45

50

55

60

65

Sep-16 Sep-17 Sep-18 Sep-19

ISM Manufacturing Activity Index

recent trade conflicts taking toll on manufacturing

sector

181k 192k

251k227k

193k 179k

223k

161k

0k

50k

100k

150k

200k

250k

300k

2012 2013 2014 2015 2016 2017 2018 2019

Average Monthly Job Growth

Recession fears growing as

manufacturing slows and job

growth moderates…

2,300

2,500

2,700

2,900

3,100

Sep-18 Nov-18 Jan-19 Mar-19 May-19 Jul-19 Sep-19

S&P 500 Price Change

40

60

80

100

120

140

Sep-09 Sep-11 Sep-13 Sep-15 Sep-17 Sep-19

Conference Board Consumer Confidence

…but consumers remain confident

and financial markets seem

optimistic + 18.7% YTD

BREVARD PUBLIC SCHOOLS

For the Quarter Ended September 30, 2019

Market Update

Page 1 of 24


Tariffs Take a Toll on Global Trade Volume, Especially U.S. Agriculture

Source: CPB (left); Wall Street Journal & USDA Foreign Agricultural Service (right).

-0.9%

-2%

0%

2%

4%

6%

8%

Jan-14 Jan-15 Jan-16 Jan-17 Jan-18 Jan-19

Global Trade Volume YoY

$0

$5

$10

$15

$20

$25

$30

2010 2012 2014 2016 2018

Bill

ions

U.S. Agricultural Exports to China

Chinese imports of U.S. agriculture dropped 53% in

2018; they’ve fallen an additional 20% in the first half of 2019

-53%



Market Update

Page 2 of 24


The world growth outlook was cut to 2.9% for 2019, down from the 3.2% projection from 4 months ago

This rate is the slowest pace since the global financial crisis

The OECD Follows World Bank & IMF in Lowering Growth Projections

Source: The Organization for Economic Co-operation and Development. Arrows indicate change from prior projection.

“The global economy has become increasingly fragile and uncertain, with growth slowing and downside risks continuing to mount.”

-OECD, 9/19/19

Region 2019 2020

World 2.9% 3.0%

U.S. 2.4% 2.0%

China 6.1% 5.7%

United Kingdom 1.0% 0.9%

Euro Area 1.1% 1.0%

Germany 0.5% 0.6%

France 1.3% 1.2%

Italy 0.0% 0.4%

Japan 1.0% 0.6%

Canada 1.5% 1.6%

OECD GDP Growth ProjectionsSeptember 2019



Market Update

Page 3 of 24


The Federal Reserve Cut Rates in July and September

Source: Federal Reserve and Bloomberg.

“…weak global growth …trade policy uncertainty …and muted inflation…” The Fed cited

0.5%

1.0%

1.5%

2.0%

2.5%

Mar '17 Mar '18 Mar '19 Mar '20 Mar '21 Mar '22

Fed Funds Target Rate (mid-point)

9/30/19 Fed Funds FuturesThe market expects further rate cuts.



Market Update

Page 4 of 24


Yields Continued to Decline in the Third Quarter

Source: Bloomberg, as of 9/30/2019.

1.81%

1.62%

1.66%

2.11%

1.25%

1.50%

1.75%

2.00%

2.25%

2.50%

2.75%

3.00%

3.25%

3M

1Y

2Y

3Y

4Y

5Y

10Y

30Y

Yiel

d

Maturity

U.S. Treasury Yield Curve

September 30, 2019

June 30, 2019

December 31, 2018

-0.28%-0.18% -0.13% -0.15%

-0.22%-0.34%

-0.42%

3-Month 12-Month 2-Year 3-Year 5-Year 10-Year 30-Year

Q3 Change in Yield

-0.59%

-0.89% -0.94% -0.96% -1.02% -1.05%-0.92%

3-Month 12-Month 2-Year 3-Year 5-Year 10-Year 30-Year

YTD Change in Yield



Market Update

Page 5 of 24


Source: Bloomberg, MarketAxess and PFM. Spreads on ABS and MBS are option-adjusted spreads of 0-5 year indices based on weighted average life; spreads on agencies are relative to comparable maturity Treasuries. ICE BofAML 1-5 year Indices. Data as of 9/30/19. CMBS refers to Commercial Mortgage-Backed Securities.

Yield Spreads Narrow Across All Spread Sectors

-0.10%

0.00%

0.10%

0.20%

0.30%

0.40%

1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0Maturity (years)

Federal Agency Yield Spreads

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

Sep-17 Sep-18 Sep-19

Auto Asset-Backed Securities Yield Spreads

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%


Mortgage-Backed Securities Yield SpreadsAgency MBS AAA CMBS Index

ABS spreads tightened in Q3 ahead of historically higher issuance season in October

CMBS fundamentals are solid, offer protection amid falling rates

0.00%

0.50%

1.00%

1.50%

2.00%


Corporate Notes (1-5 yr A-AAA) Yield Spreads

Agencies spreads have remained relatively unchanged at historically tight levels

Corporate spreads tightened slightly to near 12 month lows



Market Update

Page 6 of 24


Corporate Issuance Surges in September

Source: SIFMA, as of September 2019.

After a slow start to the quarter, investment grade corporate issuance broke records in September• $163 billion issued in September• 3rd busiest month on record• The first week of September was the busiest single week on record

Spreads tightened as demand was high to meet the surge in supply

$0

$25

$50

$75

$100

$125

$150

$175

Jan-18 Apr-18 Jul-18 Oct-18 Jan-19 Apr-19 Jul-19

Bill

ions

U.S. Corporate Investment Grade Issuance



Market Update

Page 7 of 24


Short-Term Credit Spreads Stretch to Near 8-Month Wides

Source (left): Bloomberg, as of 9/30/2019. Source (right): PFM Trading Desk, as of 9/30/2019. 6-mo CP yield spread based on A1/P1 rated CP index.

1.50%

1.75%

2.00%

2.25%

2.50%

2.75%

3.00%

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

Money Market Yield Curves

CD/CP Average

Agencies

Treasuries

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

Sep '18 Dec '18 Mar '19 Jun '19 Sep '19

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

-93 bps

23 bps



Market Update

Page 8 of 24


Fixed-Income Sector Outlook – October 2019

Sector Our Investment Preferences Comments

C O M M E R C I A L P A P E R/ C D • CP/negotiable CD spreads are near historic tights, though securities

appear cheap relative to corporate notes.

T R E A S U R I E S • Treasury bill supply is expected to increase by over $100 billionduring the fourth quarter.

• The Treasury yield curve remains inverted, providing little opportunities to benefit from roll-down.

T-Bill

T-Note

F E D E R A L A G E N C I E S • Federal agency spreads remain near historic tights. Treasuriescontinue to be attractive relative to agencies.

• Callables have been underperforming duration-matched bullets asredemption activity has been elevated, especially in short lock-outstructures.

Bullets

Callables

S U P R A N A T I O N A L S • Spreads remain near historical tights; Treasuries have better value.• There may be opportunities to sell at single digit yield spreads before

a possible demand-side technical decay into year-end.

C O R P O R A T E S • Tighter credit spreads and a cloudy economic outlook have reducedthe attractiveness of the corporate sector.

• Steady demand from foreign investors and a lower interest rate environment, supported by recent FOMC action, are both positives for the sector.

Financials

Industrials

S E C U R I T I Z E D • The AAA-rated ABS sector offers a defensive outlet to creditexposure but has tightened to near multi-year tights.

• As interest rates have fallen and supply has increased, MBS spreadshave widened significantly to a more historic norm. We view this as an buying opportunity.

• Agency CMBS are an attractive alternative to other governmentsectors due to their incremental income potential.

Asset-Backed

Agency Mortgage-Backed

Agency CMBS

M U N I C I P A L S •

Current outlook Outlook one month ago Negative

The low interest rate environment should spur refunding activity and increase taxable municipal supply.

SlightlyNegative Neutral Slightly

Positive Positive



Market Update

Page 9 of 24



Executive Summary


The Portfolios are of high credit quality and invested in U.S. Treasury, Federal Agency/GSE, Federal Agency/CMO, commercial paper, municipal and corporate note securities.

The Capital, Operating, and Discretionary Sales SurTax Portfolios continue to provide the District with favorable yield relative to thebenchmark. At quarter end, the portfolios had Yields to Maturity at Cost of 2.40%, 2.66% and 2.14%, respectively. All portfoliosexceeded the 1.84% Effective Yield of their benchmark, the Merrill Lynch 3 Month U.S. Treasury Bill Index.

The Self Insurance and Health Insurance Portfolios’ quarterly total return performances were both 0.64%, outperforming thebenchmark’s performance of 0.58%. Over the past year, the Self Insurance and Health Insurance portfolios returned 4.36% and4.37% respectively, compared to the benchmark performance of 4.36%.

Interest rates continued their decline in the third quarter in response to further weakness in manufacturing activity; the on-again, off-again trade conflict with China; and heightened recession fears for the U.S. and global economies.

Because yields were sharply lower over the past quarter (and YTD), bond market returns have been exceptionally strong: YTD returns were around 1.75% on cash, 3-4% on shorter-duration strategies, 8.5% on the U.S. Bond Aggregate and over 12% on longer-term investment-grade credit. Diversification across sectors was generally additive, although agency mortgage-backed securities (MBS) continued to struggle on a relative basis.

Our strategy as we enter the final quarter of 2019 is to maintain well-diversified portfolios as we seek to balance portfolio earnings potential with profit-taking in sectors that appear overly expensive. Issue selection has become increasingly important, regardless of sector, as market cross-currents have created both risks and opportunities.

Page 10 of 24

BREVARD CNTY SCHOOL BOARD CAPITAL - ST


Portfolio Snapshot

Portfolio Statistics

As of September 30, 2019

$32,000,000

$36,587,427

$31,854,061

$60,027

$4,673,339

Accrued Interest:

Cash:

Par Value:

Total Market Value:

Security Market Value:

Benchmark Eff. Yield: 1.84%

$31,833,097

1.91%

2.40%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:

Effective Duration: 0.32 Years

Duration to Worst: 0.32 Years

Average Maturity: 0.33 Years

Credit Quality (S&P Ratings)

32.5%

A-1

25.1%

A-1+

42.4%

AA+

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%

Maturity Distribution

Sector Allocation

32.5%

Commercial

Paper

67.5%

U.S.

Treasury


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

Page 11 of 24

BREVARD CNTY SCHOOL BOARD OPERATING - ST


Portfolio Snapshot



$5,000,000

$15,176,469

$4,997,550

$31,386

$10,147,533

Accrued Interest:

Cash:

Par Value:

Total Market Value:



$4,995,327

2.07%

2.66%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:





100.0%

AA+

0%

20%

40%

60%

80%

100%


100.0%

0.0% 0.0% 0.0% 0.0% 0.0%


Sector Allocation

100.0%

U.S.

Treasury



Page 12 of 24

BREVARD COUNTY DISC SALES SURTAX ACCOUNT


Portfolio Snapshot



$45,530,000

$48,647,647

$45,330,205

$75,825

$3,241,617

Accrued Interest:

Cash:

Par Value:

Total Market Value:



$45,319,706

1.96%

2.14%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:





36.1%

A-1

13.3%

A-1+

50.6%

AA+

0%

20%

40%

60%

80%

100%


95.7%

4.3%0.0% 0.0% 0.0% 0.0%


Sector Allocation

49.4%

Commercial

Paper

50.6%

U.S.

Treasury



Page 13 of 24

BREVARD COUNTY FLA SD SELF INSURANCE FD


Portfolio Snapshot



$15,621,299

$15,855,381

$15,755,796

$67,095

$32,490

Accrued Interest:

Cash:

Par Value:

Total Market Value:


$15,586,596

1.74%

2.32%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:





7.4%

A

3.4%

A-

3.4%

A+

1.6%

AA

2.4%

AA-

81.0%

AA+

0.8%

Not Rated

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%


12.9%

39.3%

44.3%

2.6%0.9% 0.0%


Sector Allocation

19.2%

Corporate

7.4%

Federal

Agency/CMO

2.3%

Federal

Agency/GSE

0.8%

Municipal

70.3%

U.S.

Treasury



Page 14 of 24

BREVARD COUNTY SD HEALTH INSURANCE FUND


Portfolio Snapshot



$12,948,142

$13,146,646

$13,063,902

$56,193

$26,551

Accrued Interest:

Cash:

Par Value:

Total Market Value:


$12,923,432

1.74%

2.32%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:





7.4%

A

3.4%

A-

3.4%

A+

1.6%

AA

2.3%

AA-

81.1%

AA+

0.8%

Not Rated

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%


12.3%

39.1%

45.1%

2.5%0.9% 0.0%


Sector Allocation

19.1%

Corporate

7.2%

Federal

Agency/CMO

3.1%

Federal

Agency/GSE

0.8%

Municipal

69.8%

U.S.

Treasury



Page 15 of 24

For the Quarter Ended September 30, 2019BREVARD PUBLIC SCHOOLS Asset Allocation

Security TypeAmortized Cost

(Includes Interest)Allocation

PercentagePermitted by

Policy In ComplianceUnited States Treasury Securities 69,589,779.69 41.38% 100% YesFederal Agency 749,263.84 0.45% 80% YesCorporate Notes 5,502,382.57 3.27% 20% YesMunicipals 225,434.75 0.13% 20% YesAgency Mortgage-Backed Securities (MBS) 2,100,789.53 1.25% 80% YesCommercial Paper 32,781,034.61 19.49% 35% YesMoney Market Funds 18,121,531.20 10.78% 75% YesIntergovernmental Pools 39,090,433.20 23.25% 25% Yes

End of month trade-date amortized cost of portfolio holdings, including accrued interest. The combined total of Federal Instrumentalities and Mortgage Backed Securities cannot be more than 80%.

0.45%

10.78%

41.38%

3.27%

0.13%

1.25%

23.25%

19.49%

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

Federal Agency

Money Market Funds

United States Treasury Securities

Corporate Notes

Municipals

Agency Mortgage-Backed Securities (MBS)

Intergovernmental Pools

Commercial Paper

© 2019 PFM Asset Management LLCPage 16 of 24

For the Quarter Ended September 30, 2019Asset Allocation

Sector Individual Issuer BreakdownAmortized Cost



PolicyIn

ComplianceCORPORATE NOTE AMERICAN EXPRESS CREDIT 150,332.22 0.09% 5% YesCORPORATE NOTE AMERICAN HONDA FINANCE 272,061.00 0.16% 5% YesCORPORATE NOTE TOYOTA MOTOR CREDIT CORP 350,721.16 0.21% 5% YesCORPORATE NOTE JOHN DEERE CAPITAL CORP 251,503.59 0.15% 5% YesCORPORATE NOTE PROCTER & GAMBLE CO/THE 136,022.15 0.08% 5% YesCORPORATE NOTE US BANK NA CINCINNATI 279,717.37 0.17% 5% YesCORPORATE NOTE BANK OF AMERICA CORP 277,485.66 0.17% 5% YesCORPORATE NOTE CISCO SYSTEMS 194,545.97 0.12% 5% YesCORPORATE NOTE WALT DISNEY COMPANY/THE 59,941.50 0.04% 5% YesCORPORATE NOTE PACCAR FINANCIAL CORP 252,918.16 0.15% 5% YesCORPORATE NOTE CATERPILLAR FINANCIAL SERVICES CORP 200,224.53 0.12% 5% YesCORPORATE NOTE WAL-MART STORES INC 458,606.56 0.27% 5% YesCORPORATE NOTE WELLS FARGO & COMPANY 277,723.13 0.17% 5% YesCORPORATE NOTE MELLON BANK 226,982.25 0.13% 5% YesCORPORATE NOTE HERSHEY COMPANY 146,558.28 0.09% 5% YesCORPORATE NOTE JP MORGAN CHASE & CO 272,832.16 0.16% 5% YesCORPORATE NOTE NATIONAL RURAL UTIL COOP 269,765.74 0.16% 5% YesCORPORATE NOTE HONEYWELL INTERNATIONAL 80,601.46 0.05% 5% YesCORPORATE NOTE GENERAL DYNAMICS CORP 171,713.12 0.10% 5% YesCORPORATE NOTE HSBC USA 474,423.35 0.28% 5% YesCORPORATE NOTE EXXON MOBIL CORP 278,555.11 0.17% 5% YesCORPORATE NOTE NORTHERN TRUST COMPANY 279,262.84 0.17% 5% YesCORPORATE NOTE THE WALT DISNEY CORPORATION 139,885.26 0.08% 5% YesFED AGY BOND/NOTE FANNIE MAE 628,602.90 0.37% 40% YesFED AGY BOND/NOTE FREDDIE MAC 120,660.94 0.07% 40% YesMBS / CMO FHLMC MULTIFAMILY STRUCTURED P 1,347,053.92 0.80% 40% YesMBS / CMO FREDDIE MAC 148,768.13 0.09% 40% YesMBS / CMO FANNIEMAE-ACES 604,967.48 0.36% 40% YesUS TSY BOND/NOTE UNITED STATES TREASURY 69,589,779.69 41.38% 100% YesMUNI BOND/NOTE HONOLULU HI 225,434.75 0.13% 20% YesCOMMERCIAL PAPER TOYOTA MOTOR CREDIT CORP 6,036,627.47 3.59% 10% YesCOMMERCIAL PAPER MUFG BANK LTD/NY 3,452,535.54 2.05% 10% YesCOMMERCIAL PAPER BNP PARIBAS NY BRANCH 3,946,817.76 2.35% 10% YesCOMMERCIAL PAPER CREDIT AGRICOLE CIB NY 3,965,325.52 2.36% 10% YesCOMMERCIAL PAPER JP MORGAN SECURITIES LLC 6,436,538.36 3.83% 10% YesCOMMERCIAL PAPER NATIXIS NY BRANCH 5,971,789.98 3.55% 10% YesCOMMERCIAL PAPER COOPERATIEVE RABOBANK U.A. 2,971,399.98 1.77% 10% YesMny Mkt/Mutual Fnd Cash Balance 18,121,531.20 10.78% 25% Yes

© 2019 PFM Asset Management LLC


Page 17 of 24

For the Quarter Ended September 30, 2019Asset Allocation

Sector Individual Issuer BreakdownAmortized Cost



PolicyIn

ComplianceIntergovernmental Pools FL PALM 39,090,433.20 23.25% 25% Yes

End of month trade-date amortized cost of portfolio holdings, including accrued interest. The combined total of Federal Instrumentalities and Mortgage Backed Securities can not be more than 80%.

© 2019 PFM Asset Management LLC


Page 18 of 24



Aggregated Holdings


Aggregate Portfolio Holdings (1/5)

Issuer Par Value Book Value Market ValueAccured Interest

Maturity Date

Effective Duration Coupon Rate Yield at Cost Yield at Market

WAL-MART STORES INC 100,000.00 99,999.98 99,990.00 836.11 10/9/2019 0.03 1.75% 1.75% 2.13%WAL-MART STORES INC 80,000.00 79,999.98 79,992.00 668.89 10/9/2019 0.03 1.75% 1.75% 2.13%UNITED STATES TREASURY 5,000,000.00 4,996,837.50 4,997,790.00 0.00 10/10/2019 0.03 0.00% 2.58% 1.59%PROCTER & GAMBLE CO 60,000.00 59,999.29 59,984.46 455.00 10/25/2019 0.07 1.75% 1.77% 2.11%PROCTER & GAMBLE CO 75,000.00 74,999.11 74,980.58 568.75 10/25/2019 0.07 1.75% 1.77% 2.11%HONEYWELL INTERNATIONAL 35,000.00 34,998.89 34,992.69 264.25 10/30/2019 0.08 1.80% 1.84% 2.04%HONEYWELL INTERNATIONAL 45,000.00 44,998.57 44,990.60 339.75 10/30/2019 0.08 1.80% 1.84% 2.04%UNITED STATES TREASURY 5,000,000.00 4,995,327.35 4,997,550.00 31,385.87 10/31/2019 0.08 1.50% 2.66% 2.07%UNITED STATES TREASURY 5,000,000.00 4,995,327.35 4,997,550.00 31,385.87 10/31/2019 0.08 1.50% 2.66% 2.07%AMERICAN HONDA FINANCE 120,000.00 119,996.00 119,998.80 920.00 11/13/2019 0.12 2.00% 2.03% 1.99%AMERICAN HONDA FINANCE 150,000.00 149,995.00 149,998.50 1,150.00 11/13/2019 0.12 2.00% 2.03% 1.99%UNITED STATES TREASURY 3,500,000.00 3,492,637.40 3,495,485.00 13,220.11 11/15/2019 0.12 1.00% 2.74% 2.03%UNITED STATES TREASURY 3,000,000.00 2,986,160.43 2,990,331.00 0.00 12/5/2019 0.18 0.00% 2.62% 1.76%NATIXIS NY BRANCH 6,000,000.00 5,971,789.98 5,972,256.00 0.00 12/18/2019 0.21 0.00% 2.19% 2.12%UNITED STATES TREASURY 2,200,000.00 2,192,339.20 2,196,649.40 6,411.68 1/15/2020 0.29 1.38% 2.60% 1.90%UNITED STATES TREASURY 3,300,000.00 3,294,108.25 3,300,900.90 11,119.57 1/31/2020 0.33 2.00% 2.55% 1.91%UNITED STATES TREASURY 3,000,000.00 2,994,830.01 3,000,819.00 10,108.70 1/31/2020 0.33 2.00% 2.53% 1.91%UNITED STATES TREASURY 8,500,000.00 8,484,018.81 8,502,320.50 28,641.30 1/31/2020 0.33 2.00% 2.57% 1.91%CREDIT AGRICOLE SA 2,000,000.00 1,984,587.76 1,984,064.00 0.00 2/21/2020 0.39 0.00% 1.96% 2.01%HSBC HOLDINGS PLC 125,000.00 124,640.29 125,166.50 212.15 3/5/2020 0.43 2.35% 3.03% 2.03%HSBC HOLDINGS PLC 135,000.00 134,602.91 135,179.82 229.13 3/5/2020 0.43 2.35% 3.05% 2.03%HSBC HOLDINGS PLC 100,000.00 99,712.23 100,133.20 169.72 3/5/2020 0.43 2.35% 3.03% 2.03%HSBC HOLDINGS PLC 115,000.00 114,661.74 115,153.18 195.18 3/5/2020 0.43 2.35% 3.05% 2.03%EXXON MOBIL CORP 65,000.00 65,047.07 64,969.71 86.31 3/6/2020 0.43 1.91% 1.71% 2.02%EXXON MOBIL CORP 75,000.00 75,054.31 74,965.05 99.58 3/6/2020 0.43 1.91% 1.71% 2.02%TOYOTA MOTOR CORP 200,000.00 200,185.15 200,209.00 226.94 3/12/2020 0.45 2.15% 1.94% 1.91%TOYOTA MOTOR CORP 150,000.00 150,138.86 150,156.75 170.21 3/12/2020 0.45 2.15% 1.94% 1.91%TOYOTA MOTOR CORP 4,000,000.00 3,961,050.00 3,962,828.00 0.00 3/20/2020 0.47 0.00% 2.08% 1.96%JP MORGAN CHASE & CO 6,500,000.00 6,436,538.36 6,438,230.50 0.00 3/23/2020 0.47 0.00% 2.04% 1.97%TOYOTA MOTOR CORP 400,000.00 396,152.67 396,222.00 0.00 3/23/2020 0.47 0.00% 2.01% 1.96%RABOBANK NEDERLAND 3,000,000.00 2,971,399.98 2,969,616.00 0.00 3/25/2020 0.48 0.00% 1.97% 2.08%CREDIT AGRICOLE SA 2,000,000.00 1,980,737.76 1,980,608.00 0.00 3/25/2020 0.48 0.00% 1.99% 1.99%UNITED STATES TREASURY 2,000,000.00 2,001,417.96 1,995,078.00 75.14 3/31/2020 0.50 1.38% 1.23% 1.87%UNITED STATES TREASURY 2,000,000.00 1,998,248.18 2,003,516.00 122.95 3/31/2020 0.50 2.25% 2.43% 1.90%UNITED STATES TREASURY 2,500,000.00 2,493,143.85 2,495,020.00 17,315.57 4/15/2020 0.53 1.50% 2.01% 1.87%FREDDIE MAC 120,000.00 119,923.02 119,650.20 737.92 4/20/2020 0.55 1.38% 1.49% 1.90%GENERAL DYNAMICS CORP 95,000.00 94,895.18 95,494.86 1,062.15 5/11/2020 0.60 2.88% 3.06% 2.01%GENERAL DYNAMICS CORP 75,000.00 74,917.25 75,390.68 838.54 5/11/2020 0.60 2.88% 3.06% 2.01%

Page 19 of 24



Aggregated Holdings




Maturity Date


UNITED STATES TREASURY 2,500,000.00 2,495,645.70 2,494,335.00 14,164.40 5/15/2020 0.62 1.50% 1.78% 1.87%HERSHEY COMPANY 80,000.00 79,983.30 80,387.52 876.44 5/15/2020 0.61 2.90% 2.93% 2.11%HERSHEY COMPANY 65,000.00 64,986.43 65,314.86 712.11 5/15/2020 0.61 2.90% 2.93% 2.11%TOYOTA MOTOR CORP 1,700,000.00 1,679,424.80 1,677,407.00 0.00 5/21/2020 0.63 0.00% 1.90% 2.07%BNP PARIBAS 4,000,000.00 3,946,817.76 3,946,104.00 0.00 6/5/2020 0.68 0.00% 1.96% 1.97%MITSUBISHI UFJ FINANCIAL GROUP INC 2,500,000.00 2,466,244.43 2,464,535.00 0.00 6/5/2020 0.68 0.00% 1.99% 2.08%MITSUBISHI UFJ FINANCIAL GROUP INC 1,000,000.00 986,291.11 985,814.00 0.00 6/5/2020 0.68 0.00% 2.02% 2.08%WAL-MART STORES INC 125,000.00 124,985.48 125,817.75 969.79 6/23/2020 0.72 2.85% 2.87% 1.94%WAL-MART STORES INC 150,000.00 149,982.58 150,981.30 1,163.75 6/23/2020 0.72 2.85% 2.87% 1.94%WELLS FARGO & COMPANY 125,000.00 125,614.87 125,590.13 622.92 7/22/2020 0.80 2.60% 1.98% 2.01%WELLS FARGO & COMPANY 150,000.00 150,737.84 150,708.15 747.50 7/22/2020 0.80 2.60% 1.98% 2.01%UNITED STATES TREASURY 410,000.00 410,429.54 409,215.26 1,122.49 7/31/2020 0.82 1.63% 1.50% 1.86%UNITED STATES TREASURY 180,000.00 180,188.58 179,655.48 492.80 7/31/2020 0.82 1.63% 1.50% 1.86%THE BANK OF NEW YORK MELLON CORPORATION 100,000.00 100,563.22 100,472.90 317.78 8/17/2020 0.87 2.60% 1.90% 2.05%THE BANK OF NEW YORK MELLON CORPORATION 125,000.00 125,704.03 125,591.13 397.22 8/17/2020 0.87 2.60% 1.90% 2.05%CATERPILLAR INC 90,000.00 89,976.16 89,879.76 124.88 9/4/2020 0.91 1.85% 1.88% 2.00%CATERPILLAR INC 110,000.00 109,970.86 109,853.04 152.63 9/4/2020 0.91 1.85% 1.88% 2.00%BANK OF AMERICA CO 150,000.00 149,583.94 150,951.90 1,771.88 10/19/2020 1.02 2.63% 2.90% 2.01%BANK OF AMERICA CO 125,000.00 124,653.28 125,793.25 1,476.56 10/19/2020 1.02 2.63% 2.90% 2.01%UNITED STATES TREASURY 325,000.00 323,999.82 323,502.08 1,870.07 10/31/2020 1.06 1.38% 1.66% 1.81%UNITED STATES TREASURY 400,000.00 398,854.19 398,156.40 2,301.63 10/31/2020 1.06 1.38% 1.64% 1.81%UNITED STATES TREASURY 275,000.00 274,566.37 274,441.48 1,501.79 11/30/2020 1.14 1.63% 1.76% 1.80%UNITED STATES TREASURY 240,000.00 239,621.56 239,512.56 1,310.66 11/30/2020 1.14 1.63% 1.76% 1.80%UNITED STATES TREASURY 400,000.00 399,213.45 399,734.40 1,769.02 12/31/2020 1.23 1.75% 1.91% 1.80%UNITED STATES TREASURY 550,000.00 548,918.50 549,634.80 2,432.40 12/31/2020 1.23 1.75% 1.91% 1.80%UNITED STATES TREASURY 150,000.00 148,685.79 149,214.90 347.49 1/31/2021 1.31 1.38% 2.05% 1.77%UNITED STATES TREASURY 160,000.00 158,598.18 159,162.56 370.65 1/31/2021 1.31 1.38% 2.05% 1.77%THE WALT DISNEY CORPORATION 65,000.00 64,743.24 65,444.47 203.49 2/12/2021 1.34 2.30% 2.60% 1.79%THE WALT DISNEY CORPORATION 75,000.00 74,703.74 75,512.85 234.79 2/12/2021 1.34 2.30% 2.60% 1.79%UNITED STATES TREASURY 180,000.00 176,764.33 178,417.98 172.46 2/28/2021 1.40 1.13% 2.43% 1.76%UNITED STATES TREASURY 1,930,000.00 1,947,054.50 1,936,785.88 3,287.36 2/28/2021 1.39 2.00% 1.37% 1.75%JP MORGAN CHASE & CO 125,000.00 123,748.99 125,701.63 265.63 3/1/2021 1.39 2.55% 3.28% 2.15%JP MORGAN CHASE & CO 150,000.00 148,498.79 150,841.95 318.75 3/1/2021 1.39 2.55% 3.28% 2.15%EXXON MOBIL CORP 65,000.00 64,075.42 65,340.47 120.36 3/1/2021 1.39 2.22% 3.26% 1.85%EXXON MOBIL CORP 75,000.00 73,933.18 75,392.85 138.88 3/1/2021 1.39 2.22% 3.26% 1.85%NATIONAL RURAL UTILITIES CO FINANCE CORP 120,000.00 119,741.22 121,503.36 154.67 3/15/2021 1.42 2.90% 3.05% 2.02%NATIONAL RURAL UTILITIES CO FINANCE CORP 150,000.00 149,676.52 151,879.20 193.33 3/15/2021 1.42 2.90% 3.05% 2.02%UNITED STATES TREASURY 400,000.00 398,882.87 402,937.60 24.59 3/31/2021 1.47 2.25% 2.44% 1.75%UNITED STATES TREASURY 125,000.00 124,645.22 125,918.00 7.68 3/31/2021 1.47 2.25% 2.44% 1.75%UNITED STATES TREASURY 165,000.00 164,359.16 166,211.76 10.14 3/31/2021 1.47 2.25% 2.52% 1.75%

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Aggregated Holdings




Maturity Date


UNITED STATES TREASURY 415,000.00 413,840.98 418,047.76 25.51 3/31/2021 1.47 2.25% 2.44% 1.75%UNITED STATES TREASURY 100,000.00 99,716.18 100,734.40 6.15 3/31/2021 1.47 2.25% 2.44% 1.75%UNITED STATES TREASURY 110,000.00 109,572.78 110,807.84 6.76 3/31/2021 1.47 2.25% 2.52% 1.75%UNITED STATES TREASURY 75,000.00 74,860.16 75,711.90 822.49 4/15/2021 1.49 2.38% 2.50% 1.75%UNITED STATES TREASURY 100,000.00 99,813.54 100,949.20 1,096.65 4/15/2021 1.49 2.38% 2.50% 1.75%PACCAR FINANCIAL CORP 115,000.00 114,946.06 116,924.64 1,396.29 5/10/2021 1.55 3.10% 3.13% 2.04%PACCAR FINANCIAL CORP 135,000.00 134,936.68 137,259.36 1,639.13 5/10/2021 1.55 3.10% 3.13% 2.04%UNITED STATES TREASURY 250,000.00 246,992.35 251,162.00 1,680.33 5/31/2021 1.62 2.00% 2.74% 1.72%UNITED STATES TREASURY 300,000.00 296,390.82 301,394.40 2,016.39 5/31/2021 1.62 2.00% 2.74% 1.72%DEERE & COMPANY 125,000.00 124,928.23 125,752.63 910.42 6/7/2021 1.64 2.30% 2.33% 1.93%DEERE & COMPANY 100,000.00 99,942.58 100,602.10 728.33 6/7/2021 1.64 2.30% 2.33% 1.93%UNITED STATES TREASURY 460,000.00 455,952.09 463,414.12 2,470.31 6/30/2021 1.70 2.13% 2.64% 1.69%UNITED STATES TREASURY 725,000.00 718,620.15 730,380.95 3,893.43 6/30/2021 1.70 2.13% 2.64% 1.69%UNITED STATES TREASURY 225,000.00 223,338.67 227,276.33 852.92 7/31/2021 1.79 2.25% 2.67% 1.69%UNITED STATES TREASURY 250,000.00 248,154.08 252,529.25 947.69 7/31/2021 1.79 2.25% 2.67% 1.69%UNITED STATES TREASURY 250,000.00 250,134.18 254,892.50 878.06 8/15/2021 1.82 2.75% 2.72% 1.68%UNITED STATES TREASURY 200,000.00 200,107.34 203,914.00 702.45 8/15/2021 1.82 2.75% 2.72% 1.68%UNITED STATES TREASURY 350,000.00 344,858.19 352,160.20 596.15 8/31/2021 1.87 2.00% 2.79% 1.67%UNITED STATES TREASURY 350,000.00 351,761.15 352,160.20 596.15 8/31/2021 1.87 2.00% 1.73% 1.67%UNITED STATES TREASURY 375,000.00 369,490.91 377,314.50 638.74 8/31/2021 1.87 2.00% 2.79% 1.67%UNITED STATES TREASURY 500,000.00 502,515.94 503,086.00 851.65 8/31/2021 1.87 2.00% 1.73% 1.67%UNITED STATES TREASURY 400,000.00 398,930.34 408,546.80 483.52 9/15/2021 1.90 2.75% 2.89% 1.64%UNITED STATES TREASURY 500,000.00 498,662.92 510,683.50 604.40 9/15/2021 1.90 2.75% 2.89% 1.64%CISCO SYSTEMS INC 110,000.00 106,938.10 109,965.46 62.18 9/20/2021 1.93 1.85% 3.32% 1.87%CISCO SYSTEMS INC 90,000.00 87,494.81 89,971.74 50.88 9/20/2021 1.93 1.85% 3.32% 1.87%FANNIE MAE 81,159.26 82,078.48 82,662.45 246.01 9/25/2021 1.02 3.56% 2.27% 1.53%FANNIE MAE 70,573.27 71,372.59 71,880.39 213.93 9/25/2021 1.02 3.56% 2.27% 1.53%UNITED STATES TREASURY 200,000.00 197,932.48 197,953.20 6.15 9/30/2021 1.97 1.13% 1.65% 1.65%UNITED STATES TREASURY 225,000.00 222,674.04 222,697.35 6.92 9/30/2021 1.97 1.13% 1.65% 1.65%UNITED STATES TREASURY 350,000.00 349,378.52 358,544.90 4,646.35 10/15/2021 1.96 2.88% 2.97% 1.65%UNITED STATES TREASURY 390,000.00 389,307.49 399,521.46 5,177.36 10/15/2021 1.96 2.88% 2.97% 1.65%UNITED STATES TREASURY 335,000.00 336,018.90 343,505.99 3,637.89 11/15/2021 2.04 2.88% 2.73% 1.65%UNITED STATES TREASURY 350,000.00 351,064.52 358,886.85 3,800.78 11/15/2021 2.04 2.88% 2.73% 1.65%FANNIE MAE 125,000.00 124,931.05 127,670.25 729.17 1/11/2022 2.20 2.63% 2.65% 1.67%FANNIE MAE 150,000.00 150,046.61 153,204.30 875.00 1/11/2022 2.20 2.63% 2.61% 1.67%FANNIE MAE 150,000.00 149,917.25 153,204.30 875.00 1/11/2022 2.20 2.63% 2.65% 1.67%FANNIE MAE 200,000.00 200,062.15 204,272.40 1,166.67 1/11/2022 2.20 2.63% 2.61% 1.67%UNITED STATES TREASURY 365,000.00 364,601.28 372,071.88 1,934.10 1/15/2022 2.21 2.50% 2.55% 1.63%UNITED STATES TREASURY 70,000.00 70,058.71 71,356.25 370.92 1/15/2022 2.21 2.50% 2.46% 1.63%UNITED STATES TREASURY 395,000.00 394,568.51 402,653.13 2,093.07 1/15/2022 2.21 2.50% 2.55% 1.63%

Page 21 of 24



Aggregated Holdings




Maturity Date


UNITED STATES TREASURY 200,000.00 200,167.73 203,875.00 1,059.78 1/15/2022 2.21 2.50% 2.46% 1.63%UNITED STATES TREASURY 825,000.00 813,560.58 829,576.28 2,606.15 1/31/2022 2.27 1.88% 2.49% 1.63%UNITED STATES TREASURY 1,000,000.00 986,134.04 1,005,547.00 3,158.97 1/31/2022 2.27 1.88% 2.49% 1.63%UNITED STATES TREASURY 580,000.00 579,470.99 591,713.10 1,851.90 2/15/2022 2.30 2.50% 2.54% 1.63%UNITED STATES TREASURY 755,000.00 754,311.38 770,247.23 2,410.67 2/15/2022 2.30 2.50% 2.54% 1.63%AMERICAN EXPRESS CO 80,000.00 80,009.18 81,393.92 168.00 3/3/2022 2.34 2.70% 2.70% 1.96%AMERICAN EXPRESS CO 70,000.00 70,008.04 71,219.68 147.00 3/3/2022 2.34 2.70% 2.70% 1.96%UNITED STATES TREASURY 45,000.00 45,068.40 45,857.79 46.98 3/15/2022 2.38 2.38% 2.31% 1.58%US BANCORP 150,000.00 152,373.11 153,598.50 200.00 3/15/2022 2.36 3.00% 2.33% 1.99%US BANCORP 125,000.00 126,977.59 127,998.75 166.67 3/15/2022 2.36 3.00% 2.33% 1.99%FREDDIE MAC 120,000.00 118,642.31 120,704.40 227.20 3/25/2022 1.27 2.27% 3.03% 1.69%FREDDIE MAC 150,000.00 148,302.89 150,880.50 284.00 3/25/2022 1.27 2.27% 3.03% 1.69%UNITED STATES TREASURY 675,000.00 675,367.42 685,599.53 7,012.81 4/15/2022 2.44 2.25% 2.23% 1.62%UNITED STATES TREASURY 650,000.00 650,353.81 660,206.95 6,753.07 4/15/2022 2.44 2.25% 2.23% 1.62%UNITED STATES TREASURY 175,000.00 172,617.56 175,669.90 1,281.59 4/30/2022 2.50 1.75% 2.30% 1.60%DEERE & COMPANY 25,000.00 24,968.30 25,012.90 25.73 6/13/2022 2.62 1.95% 2.00% 1.93%FREDDIE MAC 125,000.00 126,485.08 126,165.48 245.31 7/25/2022 1.43 2.36% 1.44% 1.60%FREDDIE MAC 150,000.00 151,782.10 151,398.57 294.38 7/25/2022 1.43 2.36% 1.44% 1.60%UNITED STATES TREASURY 515,000.00 515,438.82 518,842.42 1,626.87 7/31/2022 2.74 1.88% 1.84% 1.60%UNITED STATES TREASURY 300,000.00 300,887.42 302,238.30 947.69 7/31/2022 2.74 1.88% 1.77% 1.60%UNITED STATES TREASURY 645,000.00 645,549.59 649,812.35 2,037.53 7/31/2022 2.74 1.88% 1.84% 1.60%UNITED STATES TREASURY 300,000.00 300,887.42 302,238.30 947.69 7/31/2022 2.74 1.88% 1.77% 1.60%HONOLULU HI 125,000.00 125,000.00 124,690.00 241.53 8/1/2022 2.75 1.74% 1.74% 1.83%HONOLULU HI 100,000.00 100,000.00 99,752.00 193.22 8/1/2022 2.75 1.74% 1.74% 1.83%NORTHERN TRUST 150,000.00 151,741.33 151,595.55 583.85 8/2/2022 2.73 2.38% 1.95% 1.99%NORTHERN TRUST 125,000.00 126,451.11 126,329.63 486.55 8/2/2022 2.73 2.38% 1.95% 1.99%UNITED STATES TREASURY 400,000.00 400,366.64 399,078.00 766.30 8/15/2022 2.80 1.50% 1.47% 1.58%UNITED STATES TREASURY 400,000.00 400,366.64 399,078.00 766.30 8/15/2022 2.80 1.50% 1.47% 1.58%FANNIE MAE 120,472.74 121,393.60 121,624.99 249.27 8/25/2022 1.47 2.36% 1.76% 1.61%FANNIE MAE 100,393.95 101,161.33 101,354.16 207.73 8/25/2022 1.47 2.36% 1.76% 1.61%FREDDIE MAC 75,000.00 76,091.82 75,645.62 144.19 8/25/2022 1.47 2.31% 1.25% 1.62%FREDDIE MAC 100,000.00 101,455.76 100,860.83 192.25 8/25/2022 1.47 2.31% 1.25% 1.62%THE WALT DISNEY CORPORATION 25,000.00 24,946.98 24,943.80 28.65 9/1/2022 2.83 1.65% 1.72% 1.73%THE WALT DISNEY CORPORATION 35,000.00 34,925.77 34,921.32 40.10 9/1/2022 2.83 1.65% 1.72% 1.73%FANNIE MAE 687,688.64 687,454.85 687,454.85 4,706.66 10/1/2022 1.49 8.21% 7.88% 7.99%FANNIE MAE 125,000.00 126,447.65 127,002.16 261.31 11/25/2022 1.60 2.51% 1.70% 1.41%FANNIE MAE 100,000.00 101,158.12 101,601.73 209.04 11/25/2022 1.60 2.51% 1.70% 1.41%FREDDIE MAC 125,000.00 126,004.29 126,886.31 261.46 11/25/2022 1.60 2.51% 1.92% 1.47%FREDDIE MAC 155,000.00 156,245.32 157,339.03 324.21 11/25/2022 1.60 2.51% 1.92% 1.47%FREDDIE MAC 34,391.47 34,244.79 34,782.10 76.49 2/25/2023 1.71 2.67% 2.81% 1.91%

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Aggregated Holdings




Maturity Date


FREDDIE MAC 36,848.00 36,690.85 37,266.53 81.96 2/25/2023 1.71 2.67% 2.81% 1.91%FREDDIE MAC 84,784.31 84,784.06 86,246.45 226.30 7/1/2023 1.91 3.20% 3.11% 2.20%FREDDIE MAC 63,588.23 63,588.04 64,684.83 169.73 7/1/2023 1.91 3.20% 3.11% 2.20%FREDDIE MAC 119,195.35 121,969.27 122,009.35 293.12 2/25/2024 2.20 2.95% 1.83% 1.80%FREDDIE MAC 143,034.42 146,363.12 146,411.22 351.75 2/25/2024 2.20 2.95% 1.83% 1.80%FANNIE MAE 24,579.57 24,579.57 24,579.57 100.16 6/1/2026 1.08 2.89% 5.04% 3.54%GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 11,488.32 11,488.32 11,488.32 74.20 2/1/2027 0.89 7.75% 5.40% 7.43%FREDDIE MAC 26,981.56 27,344.12 27,344.12 373.52 6/1/2027 1.13 8.31% 4.14% 6.22%FANNIE MAE 161,727.10 164,355.17 164,355.17 1,154.60 8/1/2027 0.19 8.57% -3.93% -2.92%FANNIE MAE 21,248.10 21,248.10 21,248.10 77.96 8/1/2027 0.90 2.62% 4.40% 2.27%GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 12,248.87 12,248.87 12,248.87 77.83 11/1/2027 0.78 7.63% 5.67% 7.63%FREDDIE MAC 12,196.63 12,150.33 12,150.33 129.12 1/1/2028 2.06 6.35% 6.42% 6.43%FANNIE MAE 222,053.13 224,343.05 224,343.05 1,478.13 6/1/2028 3.86 7.99% 7.27% 7.58%FANNIE MAE 3,181.59 3,187.54 3,187.54 13.43 9/1/2028 0.99 2.82% 4.87% 3.66%FANNIE MAE 279,253.14 281,871.14 281,871.14 1,973.85 9/1/2028 0.37 8.48% 2.27% 4.45%GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 14,898.96 14,898.96 14,898.96 80.70 6/1/2029 1.14 6.50% 5.57% 6.75%GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 14,898.96 14,898.96 14,898.96 80.70 6/1/2029 1.14 6.50% 5.76% 6.75%GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 16,473.97 16,404.38 16,404.38 82.37 7/1/2029 1.93 6.00% 6.22% 6.27%GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 28,079.22 28,079.22 28,079.22 163.80 8/1/2029 1.13 7.00% 6.15% 7.12%GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 21,236.70 21,236.70 21,236.70 123.88 11/1/2029 1.03 7.00% 5.86% 6.79%GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 21,181.00 21,091.64 21,955.71 70.60 1/1/2030 7.43 1.75% 5.56% 3.49%GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 10,568.98 10,562.37 10,562.37 55.05 1/1/2030 1.28 6.25% 6.30% 6.04%FANNIE MAE 422,628.31 424,741.45 424,741.45 2,745.68 2/1/2030 0.28 7.80% 2.93% 4.17%FANNIE MAE 52,155.85 52,123.25 52,123.25 130.82 3/1/2030 0.69 2.76% 5.59% 2.81%FANNIE MAE 20,277.05 20,277.05 20,277.05 67.59 4/1/2030 2.05 2.63% 5.91% 3.78%FREDDIE MAC 55,446.53 55,446.53 55,446.53 573.60 6/1/2030 1.32 6.21% 5.73% 5.68%GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 73,801.09 73,805.74 73,805.74 338.25 10/20/2030 3.84 5.50% 5.42% 5.38%GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 152,430.15 152,430.15 152,430.15 571.61 11/20/2030 4.27 4.50% 5.46% 4.44% Totals/Weighted Average 113,466,164.42 113,034,426.10 113,378,644.36 305,802.04 0.75 1.33% 2.34% 1.97%

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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.



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Investment Performance Review For the Quarter Ended ... · Source: The Organization for Economic...

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