Brevard County School District

Transcription

1 Brevard County School District Investment Performance Review Quarter Ended June 30, 2009 Investment Advisors Steven Alexander, CTP, CGFO, Managing Director Mel Hamilton, Senior Managing Consultant David Jang, Senior Managing Consultant 300 S. Orange Avenue, Suite 1170 Orlando, FL (407) (407) fax Asset Management LLC One Keystone Plaza, Suite 300 North Front & Market Streets Harrisburg, PA f Gregg Manjerovic, CFA, Portfolio Manager Rebecca Dole, Consultant t fax

2 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Table of Contents Tab I. Section A Market Review Tab II. Section B Section C Section D Section E Sectiion F Section G Tab III. Self Insurance Fund Portfolio Performance Health Insurance Fund Portfolio Performance Short Term Funds Portfolio Statistics Capital Short Term Fund Portfolio Performance Operating Short Term Fund Portfolio Performance Asset Allocation Chart June 30, 2009 Month-End Statement This material is based on information obtained from sources generally believed to be reliable and available to the public, however Asset Management LLC cannot guarantee its accuracy, completeness or suitability. This material is for general information purposes only and is not intended to provide specific advice or recommendation. The information contained in this report is not an offer to purchase or sell any securities. Table of Contents Section i

3 Market Update July 2009 Asset Management LLC Steven Alexander, CTP, CGFO, Managing Director Mel Hamilton, Senior Managing Consultant David Jang, Senior Managing Consultant 300 South Orange Avenue, Suite 1170 Orlando, FL Phone: (407) , Fax: (407)

4 Yield Curve Steepens Investors are now demanding higher yields for longer maturities because of the perceived risk to longer-term investments associated with increased Treasury supply. Short-term rates, which are generally tied to the Federal Funds target rate, remain near record lows. U.S. Treasury Yield Curve December 31, 2008 versus July 23, % 12/31/08 7/23/09 Change 4% 3 month 0.08% 0.19% % Yield 3% 2% 6 month 0.26% 0.28% % 1 year 0.34% % % 2 year 0.77% 1.01% % 3 year 0.97% 1.58% % 1% 0% July 23, 2009 December 31, m y y y y y y Source: Bloomberg Maturity 5 year 1.55% 2.52% +097% 0.97% 10 year 2.20% 3.63% % 30 year 2.66% 4.51% % 1

5 Yield Curve Steepens Yields on intermediate- to long-term Treasuries have risen since the beginning of 2009, while Treasury bill yields, tied to the Federal Funds target rate, have remained near zero. 4.0% 3.5% 5-Year Treasury Note Yield versus 3-Month Treasury Bill Yield July 1, 2008 July 23, Year Treasury Note 3-Month Treasury Bill 3.0% 25% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% Jul 08 Sep 08 Nov 08 Jan 09 Mar 09 May 09 Jul 09 Source: Bloomberg 2

6 Recent Two-Year Interest Rates The yield on 2-year Treasury notes has fallen back into its pre-june trading range of around 1.00%. 3.0% 2-Year U.S. Treasury Yields July 1, 2008 July 23, % 2.0% 1.5% 1.0% 1.02% as of 7/23/09 0.5% Jul 08 Oct 08 Jan 09 Apr 09 Jul 09 Source: Bloomberg 3

7 Two-Year Yields Anticipate Future Fed Action Historically, the yield of two-year U.S. Treasury notes has increased noticeably prior to rate hikes by the Federal Reserve, and declined in anticipation of cuts to the target rate. 7% 6% 2-Year U.S. Treasury Yield vs. Federal Funds Target Rate July 1, 1999 July 23, Year Treasury Yield Federal Funds Target Rate 5% 4% 3% 2% 1% 0% Jul 99 Jul 01 Jul 03 Jul 05 Jul 07 Jul 09 Source: Bloomberg 4

8 2-Year/10-Year Treasury Spread Near Record High The spread between two- and ten-year Treasury securities has increased more than 100 basis points since December, as the Treasury continues to issue debt in record amounts. 3.0% Spread Between 2-Year and 10-Year U.S. Treasury Note Yields July 1, 1999 July 23, % 2.0% 1.5% 1.0% 05% 0.5% 0.0% 2.64% as of 7/23/09-0.5% Jul 99 Jul 01 Jul 03 Jul 05 Jul 07 Jul 09 Source: Bloomberg 5

9 Treasury to Auction Record $115 Billion in Notes This week the Treasury will auction a record $115 billion in two-, five-, and ten-year notes. The previous weekly record was set on June 22, when $104 billion in notes was auctioned. The Treasury r will also auction $90 billion in bills this week. July 27 Treasury Auction $32 billion in 3-month bills $31 billion in 6-month bills $27 billion in 1-year bills $42 billion in 2-year notes $39 billion in 5-year notes $28 billion in 7-year notes 6

10 Summary of Bernanke s Testimony On July 21 and 22, Chairman Bernanke appeared before the House Financial Services Committee to deliver his semiannual Monetary Policy Report. General Economy: Past few months have seen some notable improvements: Interest rate spreads in short-term money markets continued to narrow Investors returning to private credit markets and corporate bond issuance strong Equity prices recovered to roughly their levels at end of last year Banks raised significant amounts of new capital Possibility that recent stabilization will prove transient Monetary Policy: Economic conditions likely to warrant maintaining Federal Funds rate at exceptionally low levels for extended period Fiscal Policy: Addressing fiscal problems requires difficult choices, but postponing will only make those choices more difficult Strong commitment to fiscal sustainability is needed, or we risk having neither financial stability nor durable economic growth Regulatory Reform: Stronger capital and liquidity standards for financial firms Extension of oversight to all financial organizations that could pose significant risk to overall financial system Enhanced protections for consumers and investors in their financial dealings Improved coordination across countries in supervision of internationally active firms 7

11 Positive and Negative Earnings Surprises Seventy-five percent of the companies in the S&P 500 that have released results have surpassed predictions, including: Twenty-five percent of S&P 500 companies have come in below analyst expectations, including: Apple Boeing Caterpillar Coca Cola DuPont Goldman Sachs Merck Starbucks 3M Yahoo Amazon American Express Microsoft 8

12 Stock Market Booms and Busts Dow Jones Industrial Average January 1, 1995 July 23, % -54% -38% % Standard d & Poors 500 Index January 1, 1995 July 23, % -49% -57% +233% NASDAQ Composite Index January 1, 1995 July 23, % -78% +157% -56%

13 Fed Funds Forecasts July % 1.25% Federal Funds Target Rate Forecasts July 2009 Fourth Quarter 2010 Credit Suisse FB Morgan Stanley Fed Funds Futures 1.00% Moody s 0.75% 0.50% 0.25% Wells Fargo Barclay s / Société Générale 0.00% 7/10/2009 3Q 09 4Q 09 1Q 10 2Q 10 3Q 10 4Q 10 Source: July 2009 Bloomberg Survey of Economists 10

14 Will Inflation Return? In the month of June, consumer prices declined 1.4% year over year. Core consumer prices (which exclude food and energy) rose 1.7%, signaling that a rapidly expanding money supply may soon translate into higher inflation. 6% Year-Over-Year Consumer Price Index June 2004 June % 4% 3% 2% 1% Fed s Comfort Zone for Core CPI 0% -1% Core Consumer Price Index Consumer Price Index -2% Jun 04 Jun 05 Jun 06 Jun 07 Jun 08 Jun 09 Source: Bloomberg Core values exclude food and energy, while non-core values include food and energy. Consumer Price Index (CPI) is a measure of the average price level of a fixed basket of goods and services purchased by consumers. Monthly changes in the CPI represent the rate of inflation. 11

15 Government Actions Improve Liquidity The TED Spread, an indicator of banks willingness to lend to one another, has declined significantly since October when the Federal Government took action to increase liquidity in the market. 5% Spread Between 3-Month LIBOR and U.S. Treasury Bill July 1, 2004 July 23, % 3% 0.32% as of 7/23/09 2% 1% 0% Jul 04 Jul 05 Jul 06 Jul 07 Jul 08 Jul year average Source: Bloomberg Note: The TED Spread is the difference in yield between 3-month LIBOR and the 3-month Treasury bill. 12

16 Treasury Borrowing Surges It is estimated that the Treasury will issue a total of $3.25 trillion in debt during the current fiscal year ending in September. Skyrocketing debt issuance will place pressure on interest rates to rise as the supply of outstanding Treasury securities increases dramatically. 7.0 U.S. Treasury Securities Outstanding First Quarter 1999 First Quarter $ Trillions Mar 99 Mar 01 Mar 03 Mar 05 Mar 07 Mar 09 Source: Bloomberg 13

17 Agency Spreads Normalize The spread between 2-year U.S. Treasury and Federal Agency notes has narrowed dramatically since reaching an all-time wide of 2.06% in November The spread now stands below pre-credit crisis levels (roughly 35 basis points), signaling increased investor confidence in the financial stability of Government-Sponsored Enterprises. 2.5% Spread Between 2-Year U.S. Treasury and Federal Agency Notes July 1, 2004 July 23, % 1.5% 1.0% 0.5% 0.15% as of 7/23/09 0.0% Jul 04 Jul 05 Jul 06 Jul 07 Jul 08 Jul 09 Source: Bloomberg 14

18 Stocks on the Rebound The S&P 500 has gained 8.1% in 2009, up close to 300 points from its March lows. The market rally has been led by the technology, basic materials, and cyclical consumer goods sectors. S&P 500 Index July 1, 2007 July 23, ,600 1,000 S&P 500 Index January 1 July 23, , ,200 1, as of 7/23/ as of 7/23/ Jul 07 Jan 08 Jul 08 Jan 09 Jul 09 Source: Bloomberg 650 Jan 09 Mar 09 May 09 Jul 09 Source: Bloomberg 15

19 U.S. Economic Growth Falters The U.S. economy contracted 5.5% in the first quarter of 2009, the third consecutive quarter of negative growth. Most economists project that positive growth may resume in late 2009 or early % 4% 2% Change in Gross Domestic Product First Quarter 2004 First Quarter 2009 July 2009 Bloomberg Survey Estimates 0% -2% -4% -6% -8% 1Q04 3Q04 1Q05 3Q05 1Q06 3Q06 1Q07 3Q07 1Q08 3Q08 1Q09 3Q09 1Q10 Source: U.S. Department of Commerce Bureau of Economic Analysis and Median Estimate of Bloomberg Economic Survey 16

20 Labor Market Weakens The unemployment rate hit a 26-year high of 9.5% in June, as 467,000 more jobs were cut. In total, the economy has shed 6.5 million jobs since the recession began in December Change in Non-Farm Payrolls vs. Unemployment Rate June 2003 June % 600 9% Chan nge in Non-Farm Payrolls Thousands % 7% 6% 5% Unem mployment Rate % Jun 03 Jun 04 Jun 05 Jun 06 Jun 07 Jun 08 Jun 09 Source: Bureau of Labor Statistics, U.S. Department of Labor 17

21 What Is the True Unemployment Rate? While U-3, the most widely reported measure of unemployment, hit 9.5% in June, the U-6 rate of unemployment reached an incredible 16.5%. U-6 includes the total unemployed (U-3), plus all marginally attached workers, plus total employed part time for economic reasons. 18% 16% U-3 vs. U-6 Unemployment Rate June 2003 June 2009 U-6 Unemployment Rate U-3 Unemployment Rate 14% 12% 10% 8% 6% 4% Jun 03 Jun 04 Jun 05 Jun 06 Jun 07 Jun 08 Jun 09 Source: Bureau of Labor Statistics, U.S. Department of Labor 18

22 Oil Comes Off Recent Lows Oil has been trending lower in recent weeks, as hopes for a near-term recovery have diminished. The per-barrel price of oil remains down close to 55% since hitting a high of $146 in July $150 Price of Crude Oil per Barrel July 1, 2008 July 23, 2009 $130 $110 $90 $70 $67 per barrel as of 7/23/09 $50 $30 Jul 08 Oct 08 Jan 09 Apr 09 Jul 09 Source: Bloomberg 19

23 Consumer Confidence Recovers From Record Low In June, the consumer confidence index edged downward, though it remains above February s record low reading. The direction of consumer confidence often anticipates coming trends in consumer spending, which constitutes 71% of GDP. 150 Consumer Confidence June 1999 June Jun 99 Jun 01 Jun 03 Jun 05 Jun 07 Jun 09 Source: Conference Board 20

24 Retail Sales Continue to Slide Low consumer confidence has translated into weak retail sales, signaling further trouble for the consumption-driven U.S. economy in % Retail Sales Year-Over-Year Change July 1, 2004 July 21, % 2% 0% -2% -4% Jul 04 Jul 05 Jul 06 Jul 07 Jul 08 Jul 09 Source: International Council of Shopping Centers Goldman Sachs 21

25 A Penny Saved Is a Penny Not Spent As consumer spending continues to decline, Americans are saving more of their earnings. In May, on average, Americans saved 6.9% of their disposable income, the highest percentage since December % Personal Savings as a Percent of Disposable Income January 1989 May % 6% 4% 2% 0% -2% -4% Source: Bloomberg 22

26 Housing Slump Continues Home sales are down more than 40% from the height of the housing boom in August Sales volume is likely to remain low until declining home values begin to stabilize. Existing Home Sales May 2004 May ,500 New Homes Sales May 2004 May , ,100 Millions Thousands May 04 May 05 May 06 May 07 May 08 May 09 May 04 May 05 May 06 May 07 May 08 May 09 Source: National Association of Realtors Source: National Association of Realtors 23

27 Foreclosures, Delinquencies at Record Highs As of March 2009, 13% of mortgages were either delinquent or in foreclosure. The rising rate of mortgage delinquencies is an early indicator of future foreclosures and signals continued weakening in the housing sector. 10% U.S. Mortgage Delinquencies First Quarter 1999 First Quarter % Quarterly Foreclosure Percentages First Quarter 1999 First Quarter % 3.5% 8% 3.0% 7% 2.5% 6% 2.0% 5% 15% 1.5% 4% 1.0% 3% Mar 99 Mar 01 Mar 03 Mar 05 Mar 07 Mar % Mar 99 Mar 01 Mar 03 Mar 05 Mar 07 Mar 09 Source: Mortgage Bankers Association Source: Mortgage Bankers Association 24

28 How Quickly Things Change Investors are betting that the Federal Funds target rate will remain below 0.50% for the remainder of % 3.0% September 30, 2008 July 23, 2009 Federal Funds Futures Contracts September 30, 2008 vs. July 23, % 2.0% 1.5% 10% 1.0% 0.5% 0.0% Jul 09 Oct 09 Jan 10 Apr 10 Jul 10 Source: Bloomberg 25

29 The FOMC Keeps Rates Low The Federal Open Market Committee (FOMC) has held its target interest rate steady at a range of between 0.00% and 0.25% since cutting the rate 0.75% at its December meeting. 6% Federal Funds Target Rate June 2004 June % 4% 3% 2% 1% 0.00% % as of 6/24/09 0% Jun 04 Jun 05 Jun 06 Jun 07 Jun 08 Jun 09 Source: Federal Open Market Committee 26

30 Current Market Yields Money market yields are currently trading at historically low levels across most investment sectors. Short-term U.S. Treasury bills continue to trade near historical lows. Current Market Yields (as of July 24, 2009) Government Series Funds Institutional Prime Series FDIC Insured U.S. Treasury Federal Agency Commercial Bills Discount Notes Paper Overnight* 0.26% 0.36% 7-day 0.11% 15-day 0.13% 0.15% 30-day 0.15% 0.16% 0.17% 45-day 0.14% 0.17% 0.20% 2-month 0.18% 0.18% 0.23% 3-month 0.18% 0.20% 0.29% 4-month 0.21% 0.24% 0.32% 5-month 0.24% 0.29% 0.34% 6-month 0.24% 0.31% 7-month 0.30% 0.32% Source data: Bloomberg * The overnight rate for the Funds is the 7-day SEC yield as of July 20, Asset Management LLC 27

31 Current Market Yields Short and intermediate-term spreads of federal agencies over Treasuries have decreased significantly in the past few months, indicating increasing stability in the markets. Short- term Treasury yields fell after Federal Reserve Chairman Bernanke appeared before Congress and assuaged fears of inflation, saying the Fed expects inflation to remain subdued over the next two years. 1 Current Market Yields (as of July 24, 2009) FDIC Insured Corporate Notes U.S. Treasury Federal Agency JP Morgan Morgan Stanley General Electric 8-month 0.32% 0.36% 9-month 0.32% 0.40% 10-month 0.35% 0.44% 11-month 0.38% 0.50% 1-year 0.39% 0.49% 1.5 years 0.64% 0.69% 2-years 0.92% 0.97% 1.42% 1.42% 1.46% 3 years 1.65% 1.70% 1.69% 1.68% 1.71% Source data: Bloomberg; Asset Management LLC 28

32 Disclaimer This material is based on information obtained from sources generally believed to be reliable and available to the public, however 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. This information does not represent an offer to sell or a solicitation of an offer to buy or sell any fund or other security by anyone in any jurisdiction in which such offer or solicitation is not authorized, or in which the person making such offer is not qualified to do so, or to anyone to whom it is unlawful to make such an offer or solicitation, or to anyone in any jurisdiction outside the United States. Investors should consider the investment objectives, risks, charges and expenses before investing in any of the Fund's portfolios. This and other information about the Fund is available in the Fund's current Prospectus, which should be read carefully before investing. A copy of the Fund's Prospectus may be obtained by calling or is available on the Fund's website at While the Fund's portfolios seek to maintain a stable net asset value of $1.00 per share, it is possible to lose money investing in the Fund. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency. Shares of the Fund are distributed by Fund Distributors, Inc., member Financial Industry Regulatory Authority (FINRA) ( Fund Distributors, Inc. is a wholly owned subsidiary of Asset Management LLC. 29

33 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Executive Summary PORTFOLIO RECAP The United States remains mired in its longest lasting recession since the Great Depression. Most economists believe that intermediate term growth will be sluggish at best. This recession is not unique to the United States; most developing countries continue to experience negative growth. For instance, the European Commission estimates that all but one European Union member state will experience negative growth for Economists are predicting that World GDP will contract by 1.5% in The School District s portfolios have performed extremely well, especially considering the current state of the market: the portfolios are well diversified among U.S. Treasury, federal agency, and commercial paper securities. The Self Insurance Portfolio s total return for the quarter exceeded the return of its benchmark Merrill Lynch 1-3 Year U.S. Treasury Index by 50 basis points (0.50%) unannualized. The Health Insurance Portfolio s total return for the quarter exceeded the return of its benchmark Merrill Lynch 1-3 Year U.S. Treasury Index by 68 basis points (0.68%) unannualized. The Capital and Operating Short Term Portfolios weighted quarterly average Yield to Maturity at Cost out yielded the Yield to Maturity of its benchmark Merrill Lynch 3 Month U.S. Treasury Bill Index by 71 basis points (0.71%). The portfolios comply with the School District s investment policy and Florida investment statutes. During these uncertain times, we continue to focus on safety and liquidity in the portfolios. The Self Insurance Fund and Health Insurance Fund Portfolios out-performance was achieved through a disciplined, long-term investment approach. During the quarter, we took advantage of changes between sectors and interest rates to lock in realized gains and to pick up additional return for the portfolio. We managed the portfolio s duration in response to changing interest rates. At the start of the quarter, with interest rates near historical lows, we maintained a defensive posture with the portfolio s duration positioned short of the target duration. When yields rose sharply later in the quarter, we extended the portfolio s duration closer to the benchmark s duration. This duration extension benefitted the portfolio when interest rates fell at the end of the quarter. We utilized the steepness of the yield curve to employ a roll-down investment strategy to manage the portfolio s duration; selling shorter maturing securities before their maturity and investing the proceeds farther out on the yield curve. We managed sector allocations to take advantage of changes in relative value between sectors. Earlier in the year when the yield differential (spread) between federal agency and U.S. Treasury securities was well above historical averages, over-weighted the portfolio s allocation to federal agency securities. When yield spreads narrowed significantly during the second quarter, we sold federal agencies to capture their appreciated value and purchased Treasury securities, which on a relative basis offered good value. The Self Insurance Fund and Health Insurance Fund portfolios strong performance during the second quarter was achieved by s analysis of and quick reaction to short-lived dislocations in the market over the past two quarters, which arose from such items as new investment types (i.e. FDIC-guaranteed corporates), Federal Reserve interventions, and the overall high degree of economic uncertainty. While recent economic news has been less negative, there is no clear evidence that the economy has begun its recovery. At its June meeting, the Federal Open Market Committee reiterated their position that economic conditions are likely to warrant exceptionally low levels of the federal funds rate for an extended period. We are unlikely to see any consistent significant change in rates until there are clear signs of economic recovery. We will maintain the disciplined long-term focus to managing the Self Insurance Fund and Health Insurance Fund portfolios, which has safely provided the School District s portfolios with strong long-term returns relative to the performance benchmark. Compared to the start of the first quarter when we had shortened the portfolio s duration to around 85% of the 1-3 year benchmark, we will start the third quarter with a more neutral duration target that is around 90-95% of the benchmark s duration. This target should help the Self Insurance Fund and Health Insurance Fund portfolios returns to remain in line with the benchmark. We will maintain well diversified portfolio. Over the past quarter, federal agencies lost much of their yield advantage relative to Treasuries. While the additional yield offered by federal agencies over Treasuries remains low, we will likely maintain a higher allocation to Treasury securities than in the recent Asset Management LLC Section B - 1

34 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Self Insurance Fund Portfolio Performance Total Portfolio Value 1,2 June 30, 2009 March 31, 2009 Market Value $13,796, $13,687, Amortized Cost $13,703, $13,516, Quarterly Return Annualized Last Last Since Inception Total Return 1,2,3,4,5,6,7,8 June 30, 2009 Quarter 12 Months 24 Months March 31, 2007 Self Insurance Fund 0.39% 1.55% 5.24% 6.18% 5.84% Merrill Lynch 1-3 Year U.S. Treasury Note Index -0.11% -0.43% 4.39% 5.83% 5.50% Effective Duration (Years) 4 June 30, 2009 March 31, 2009 Yields June 30, 2009 March 31, 2009 Self Insurance Fund Yield at Market 1.21% 1.20% Merrill Lynch 1-3 Year U.S. Treasury Note Index Yield on Cost 1.79% 2.20% Portfolio Duration % of Benchmark Duration 95% 86% Return Quarter Total Return Comparison Quarter Ended 06/30/ % 0.75% 0.50% Self Insurance Fund 0.39% 0.25% 0.00% ML 1-3 Year U.S. Treasury Note Index -0.11% -0.25% Effective Duration (Years) Return Since Inception Total Return Comparison Period Ended 06/30/ % 6.25% 6.00% Self Insurance Fund 5.84% 5.75% ML 1-3 Year U.S. Treasury Note Index 5.50% 5.50% 5.25% 5.00% 4.75% 4.50% Effective Duration (Years) Notes: 1. In order to comply with GASB accrual accounting reporting requirements; forward settling trades are included in the monthly balances. 2. End of quarter trade-date market values of portfolio holdings, including accrued interest. 3. Performance on trade date basis, gross (i.e., before fees), is in accordance with The CFA Institute s Global Investment Performance Standards (GIPS). 4. Merrill Lynch Indices provided by Bloomberg Financial Markets. 5. Quarterly returns are presented on both an unannualized and annualized basis. The annualized return assumes the quarterly return is compounded at the same rate for four quarters and is presented for reference only. The actual annual return will be the result of chaining the most recent four quarterly returns. 6. Includes money market fund/cash in performance and duration computations. 7. Returns presented for 12 months or longer are presented on an annual basis. 8. Past performance is not indicative of future results. Asset Management LLC Section B - 2

35 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Self Insurance Fund Portfolio Composition and Credit Quality Characteristics Security Type 1 June 30, 2009 % of Portfolio March 31, 2009 % of Portfolio U.S. Treasuries $4,927, % $3,114, % Federal Agencies 8,835, % 10,427, % Commercial Paper % % Certificates of Deposit % % Bankers Acceptances % % Repurchase Agreements % % Municipal Obligations % % Corporate Notes/Bonds % % Mortgage Backed % % Money Market Fund/Cash 34, % 145, % Totals $13,796, % 0% $13,687, % 0% U.S. Treasuries 36% Portfolio Composition as of 06/30/09 Credit Quality Distribution² ³ as of 06/30/09 AAA 45% TSY 36% Money Market Fund/Cash 0.25% Federal Agency Obligations 64% A-1+ (Shortterm) 19% Notes: 1. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. Credit rating of securities held in portfolio, exclusive of money market fund/lgip. 3. A rating of "TSY" indicates the security is an obligation of, or explicitly guaranteed by the U. S. Government. Asset Management LLC Section B - 3

36 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Self Insurance Fund Portfolio Maturity Distribution Maturity Distribution 1 June 30, 2009 March 31, 2009 Overnight (Money Market Fund) $34, $145, Under 6 Months 3,049, , Months 703, ,148, Years 2,857, ,884, Years 6,695, ,251, Years 456, ,342, Years Years and Over Totals $13,796, $13,687, % 50% Portfolio Maturity Distribution¹ 48.5% June 30, 2009 March 31, 2009 Percentage of Total Portfolio 40% 30% 20% 10% 0% 31.1% 28.4% 22.1% 23.0% 20.7% 9.8% 6.7% 5.1% 3.3% 0.3% 1.1% 0.0% 0.0% 0.0% 0.0% Overnight Under 6 Months 6-12 Months 1-2 Years 2-3 Years 3-4 Years 4-5 Years 5 Years and Over Notes: 1. Callable securities in portfolio are included in the maturity distribution analysis to their stated maturity date, although they may be called prior to maturity. Asset Management LLC Section B - 4

37 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Self Insurance Fund Maturity Distribution versus the Benchmark¹ 25.0% 20.0% Market Value 15.0% 10.0% 5.0% 0.0% Years to Maturity Self Insurance Fund Merrill Lynch 1-3 Year U.S. Treasury Note Index Notes: 1. Due to the nature of the security, Mortgage-Backed Securities are represented based on their average life maturity rather than their final maturity. Asset Management LLC Section B - 5

38 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Health Insurance Fund Portfolio Performance Total Portfolio Value 1,2 June 30, 2009 March 31, 2009 Market Value $11,213, $8,813, Amortized Cost $11,112, $8,651, Quarterly Return Annualized Last Last Since Inception Total Return 1,2,3,4,5,6,7,8 June 30, 2009 Quarter 12 Months 24 Months September 30, 2007 Health Insurance Fund 0.57% 2.31% 5.36% N/A 5.69% Merrill Lynch 1-3 Year U.S. Treasury Note Index -0.11% -0.43% 4.39% N/A 5.10% Effective Duration (Years) 4 June 30, 2009 March 31, 2009 Yields June 30, 2009 March 31, 2009 Health Insurance Fund Yield at Market 1.15% 1.36% Merrill Lynch 1-3 Year U.S. Treasury Note Index Yield on Cost 2.05% 2.91% Portfolio Duration % of Benchmark Duration 93% 84% 1.00% Quarter Total Return Comparison Quarter Ended 06/30/ % Since Inception Total Return Comparison Period Ended 06/30/09 Return 0.75% Health Insurance Fund 0.50% 0.57% 0.25% 0.00% ML 1-3 Year U.S. Treasury Note Index -0.11% -0.25% Effective Duration (Years) Return 6.00% Health Insurance Fund 5.69% 5.50% ML 1-3 Year U.S. Treasury Note Index 5.10% 5.00% 4.50% Effective Duration (Years) Notes: 1. In order to comply with GASB accrual accounting reporting requirements; forward settling trades are included in the monthly balances. 2. End of quarter trade-date market values of portfolio holdings, including accrued interest. 3. Performance on trade date basis, gross (i.e., before fees), is in accordance with The CFA Institute s Global Investment Performance Standards (GIPS). 4. Merrill Lynch Indices provided by Bloomberg Financial Markets. 5. Quarterly returns are presented on both an unannualized and annualized basis. The annualized return assumes the quarterly return is compounded at the same rate for four quarters and is presented for reference only. The actual annual return will be the result of chaining the most recent four quarterly returns. 6. Includes money market fund/cash in performance and duration computations. 7. Returns presented for 12 months or longer are presented on an annual basis. 8. Past performance is not indicative of future results. Asset Management LLC Section C - 1

39 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Health Insurance Fund Portfolio Composition and Credit Quality Characteristics Security Type 1 June 30, 2009 % of Portfolio March 31, 2009 % of Portfolio U.S. Treasuries $6,911, % $2,210, % Federal Agencies 4,288, % 6,445, % Commercial Paper % % Certificates of Deposit % % Bankers Acceptances % % Repurchase Agreements % % Municipal Obligations % % Corporate Notes/Bonds % % Mortgage Backed % % Money Market Fund/Cash 13, % 156, % Totals $11,213, % 0% $8,813, % 0% Portfolio Composition as of 06/30/09 Credit Quality Distribution² ³ as of 06/30/09 U.S. Treasuries 62% Federal Agency Obligations 38% AAA 38% TSY 62% Money Market Fund/Cash 0.12% Notes: 1. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. Credit rating of securities held in portfolio, exclusive of money market fund/lgip. 3. A rating of "TSY" indicates the security is an obligation of, or explicitly guaranteed by the U. S. Government. Asset Management LLC Section C - 2

40 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Health Insurance Fund Portfolio Maturity Distribution Maturity Distribution 1 June 30, 2009 March 31, 2009 Overnight (Money Market Fund) $13, $156, Under 6 Months 787, , Months 885, , Years 5,054, ,054, Years 4,218, ,284, Years 253, , Years Years and Over Totals $11,213, $8,813, % 50% Portfolio Maturity Distribution¹ 57.4% 45.1% June 30, 2009 March 31, 2009 Percentage of Total Portfolio 40% 30% 20% 10% 0% 37.6% 25.9% 7.0% 7.9% 7.1% 4.6% 1.8% 3.2% 2.3% 0.1% 0.0% 0.0% 0.0% 0.0% Overnight Under 6 Months 6-12 Months 1-2 Years 2-3 Years 3-4 Years 4-5 Years 5 Years and Over Notes: 1. Callable securities in portfolio are included in the maturity distribution analysis to their stated maturity date, although they may be called prior to maturity. Asset Management LLC Section C - 3

41 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Health Insurance Fund Maturity Distribution versus the Benchmark¹ 25.0% 20.0% Market Value 15.0% 10.0% 5.0% 0.0% Years to Maturity Health Insurance Fund Merrill Lynch 1-3 Year U.S. Treasury Note Index Notes: 1. Due to the nature of the security, Mortgage-Backed Securities are represented based on their average life maturity rather than their final maturity. Asset Management LLC Section C - 4

42 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Portfolio Statistics Amortized Cost 1,2,3 Amortized Cost 1,2,3 Market Value 1,2,3 Market Value 1,2,3 Duration (Years) Account Name June 30, 2009 March 31, 2009 June 30, 2009 March 31, 2009 June 30, 2009 Capital Short Term Fund $60,250, $75,479, $60,331, $75,438, Operating Short Term Fund 53,125, ,528, ,279, ,563, Total $113,376, $141,008, $113,610, $141,001, Quarterly Average Quarterly Average Quarterly Average Quarterly Average Yield to Maturity Yield to Maturity Yield to Maturity Yield to Maturity on Cost 4 on Cost 4 at Market at Market Duration (Years) Account Name June 30, 2009 March 31, 2009 June 30, 2009 March 31, 2009 March 31, 2009 Capital Short Term Fund 0.70% 1.33% 0.44% 0.55% 0.42 Operating Short Term Fund 0.97% 0.78% 0.58% 0.57% 0.52 Average Weighted Yield 0.83% 1.08% 0.51% 0.56% Benchmarks June 30, 2009 March 31, Month U.S. Treasury Bill Index 5, % 0.18% Notes: 1. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. In order to comply with GASB accrual accounting reporting requirements; forward settling trades are included in the monthly balances. 3. Excludes any money market fund/cash balances held in custodian account. 4. Past performance is not indicative of future results. 5. Average quarterly returns, source Bloomberg. 6. Due to its excessive concentration in Corporate Instruments, the SBA is no longer a suitable benchmark, therefore; we are utilizing the 3 Month U.S. Treasury Bill Index at this time, as it represents a risk-free benchmark. Asset Management LLC Section D - 1

43 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Capital Short Term Fund Composition and Credit Quality Characteristics Security Type 1 June 30, 2009 % of Portfolio March 31, 2009 % of Portfolio U.S. Treasuries $ % $ % Federal Agencies 50,334, % 71,938, % Commercial Paper 9,997, % 3,499, % Certificates of Deposit % % Bankers Acceptances % % Repurchase Agreements % % Municipal Obligations % % Corporate Notes/Bonds % % Mortgage Backed % % Money Market Fund/Cash % 0.0% % 0.0% Totals $60,331, % $75,438, % Portfolio Composition as of 06/30/09 Commercial Paper 17% Credit Quality Distribution² as of 06/30/09 A-1+ (Shortterm) 17% Federal Agency Obligations 83% AAA 83% Notes: 1. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. Credit rating of securities held in portfolio, exclusive of money market fund/lgip. 3. A rating of "TSY" indicates the security is an obligation of, or explicitly guaranteed by the U. S. Government. Asset Management LLC Section E - 1

44 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Capital Short Term Fund Maturity Distribution Maturity Distribution 1 June 30, 2009 March 31, 2009 Overnight (Money Market Fund) $0.00 $0.00 Under 6 Months 60,331, ,440, Months ,997, Years Years Years Years Years and Over Totals $60,331, $75,438, Percentage of Total Portfolio 120% 100% 80% 60% 40% 20% 0% Portfolio Maturity Distribution¹ 100% June 30, 2009 March 31, % 40% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% Overnight Under 6 Months 6-12 Months 1-2 Years 2-3 Years 3-4 Years 4-5 Years 5 Years and Over Notes: 1. Callable securities in portfolio are included in the maturity distribution analysis to their stated maturity date, although they may be called prior to maturity. Asset Management LLC Section E - 2

45 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Operating Short Term Fund Composition and Credit Quality Characteristics Security Type 1 June 30, 2009 % of Portfolio March 31, 2009 % of Portfolio U.S. Treasuries $ % $ % Federal Agencies 38,281, % 38,063, % Commercial Paper 14,997, % 15,999, % Commercial Paper TLGP - FDIC Insured % 11,499, % Certificates of Deposit % % Bankers Acceptances % % Repurchase Agreements % % Municipal Obligations % % Corporate Notes/Bonds % % Mortgage Backed % % Money Market Fund/Cash % % Totals $53,279, % $65,563, % Portfolio Composition as of 06/30/09 Credit Quality Distribution² as of 06/30/09 Commercial Paper 28% AAA 72% Federal Agency Obligations 72% A-1+ (Shortterm) 28% Notes: 1. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. Credit rating of securities held in portfolio, exclusive of money market fund/lgip. 3. A rating of "TSY" indicates the security is an obligation of, or explicitly guaranteed by the U. S. Government. Asset Management LLC Section F - 1

46 Brevard County School District Investment Report - Quarter Ended June 30, 2009 Operating Short Term Fund Maturity Distribution Maturity Distribution 1 June 30, 2009 March 31, 2009 Overnight (Money Market Fund) $0.00 $0.00 Under 6 Months 14,997, ,499, Months 38,281, ,063, Years Years Years Years Years and Over Totals $53,279, $65,563, Percentage of Total Portfolio 80% 70% 60% 50% 40% 30% 20% 10% 0% 72% 58% 42% 28% 0% 0% Portfolio Maturity Distribution¹ June 30, 2009 March 31, % 0% 0% 0% 0% 0% 0% 0% 0% 0% Overnight Under 6 Months 6-12 Months 1-2 Years 2-3 Years 3-4 Years 4-5 Years 5 Years and Over Notes: 1. Callable securities in portfolio are included in the maturity distribution analysis to their stated maturity date, although they may be called prior to maturity. Asset Management LLC Section F - 2

47 Brevard County School District Asset Allocation as of June 30, 2009* Security Type June 30, 2009 Notes Permitted by Policy Florida SBA 0.00% 100% United States Treasury Securities 6.57% 100% United States Government Agency Securities 0.00% 50% Federal Instrumentalities 56.32% 1 80% Certificates of Deposit 0.00% 25% Repurchase Agreements 0.00% 50% Commercial Paper 13.89% 35% Corporate Notes 0.00% 0% Mortgage-Backed Securities 0.00% 1 25% Bankers' Acceptances 0.00% 35% State and/or Local Government Debt 0.00% 20% Money Market Mutual Funds 23.22% 2 50% Intergovernmental Investment Pool 0.00% 25% Federal Instrumentalities 56.32% Asset Allocation as of June 30, 2009 Commercial Paper 13.89% Money Market Mutual Funds 23.22% United States Treasury Securities 6.57% Individual Issuer Breakdown June 30, 2009 Notes Permitted by Policy Individual Issuer Breakdown June 30, 2009 Notes Permitted by Policy Government National Mortgage Association (GNMA) 0.00% 25% CD - Bank A 0.00% 15% US Export-Import Bank (Ex-Im) 0.00% 25% CD - Bank B 0.00% 15% Farmers Home Administration (FMHA) 0.00% 25% Fully collateralized Repo - A 0.00% 25% Federal Financing Bank 0.00% 25% Fully collateralized Repo - B 0.00% 25% Federal Housing Administration (FHA) 0.00% 25% Calyon CP 2.78% 10% General Services Administration 0.00% 25% BNP Bank Paribas CP 5.56% 10% New Communities Act Debentures 0.00% 25% Societe Generale CP 5.56% 10% US Public Housing Notes & Bonds 0.00% 25% BA Bank A 0.00% 10% US Dept. of Housing and Urban Development 0.00% 25% BA Bank B 0.00% 10% Federal Farm Credit Bank (FFCB) 0.49% 40% Municipal Notes/Bonds 0.00% 20% Federal Home Loan Bank (FHLB) 40.08% 3 40% Mutual Fund - Core Funds 4.18% 2 25% Federal National Mortgage Association (FNMA) 13.10% 40% Money Market Fund - STIF 19.04% 2 25% Federal Home Loan Mortgage Corporation (FHLMC) 2.64% 40% Student Loan Marketing Association (SLMA) 0.00% 40% Notes: 1. The combined total of Federal Instrumentalities and Mortgage Backed Securities can not be more than 80%. The combined total as of June 30, 2009 is 56.32%. 2. The District manages the Money Market Funds. 3. The Money Market Fund - STIF balance dropped over $83 million in June this pushed the allocation of FHLB slightly over the Investment Policy allocation limit of 40%. *No Bond Proceeds. Asset Management LLC Section G - 1