City of FT. Walton Beach, Florida

Transcription

1 City of FT. Walton Beach, Florida Investment Performance Review Investment Advisors Steven Alexander, CTP, CGFO, CPPT, Managing Director Robert Cheddar, CFA, Chief Credit Officer, Managing Director D. Scott Stitcher, CFA, Director Jason Human, Client Manager Sean Gannon, Senior Analyst 213 Market Street Harrisburg, PA fax PFM Asset Management LLC 300 South Orange Avenue Suite 1170 Orlando, FL fax Page 1 of 61

2 CITY OF FT. WALTON BEACH, FLORIDA Table of Contents Tab I Market Update Tab II Executive Summary Investment Portfolio Tab III Asset Allocation Chart Important Disclosures PFM Asset Management LLC Page 2 of 61

3 Tab I PFM Asset Management LLC Page 3 of 61

4 QUARTERLY MARKET SUMMARY Fixed Income Management SUMMARY U.S. growth remained healthy in the third quarter as the unemployment rate hit historical lows, confidence rose further and stocks surged. This occurred despite ongoing concerns about a trade war with China, a disorderly Brexit, Italian budget concerns, Iran sanctions, a Turkish debt crisis and other geopolitical risks. Positive domestic economic data included strong readings on the labor market, auto sales, industrial production, manufacturing and service sector purchasing manager surveys and consumer sentiment. On the weaker side, residential housing has slowed due to escalating prices and higher mortgage rates. Broad measures of inflation also moderated a bit during the quarter. Lastly, the twin deficits the federal budget deficit and trade deficit both portend long-term imbalances that could be problematic for sustainable long-term growth of the U.S. economy. Amid strong economic fundamentals, the Federal Reserve (Fed) stayed the course, raising the federal funds rate by 0.25% to a new target range of 2.00% to 2.25%. Despite the removal of longstanding language from the Federal Open Market Committee (FOMC) statement that previously characterized the stance of monetary policy as accommodative, updated FOMC forecasts indicated an additional 0.25% hike is expected in December, followed by two to four more hikes in The S&P 500 Index (S&P) soared by 7.7% during the quarter, lifting the year-todate (YTD) return to 10.6%. But, prices may have gotten ahead of themselves, increasing the risk of a near-term pullback. International indices also posted healthy gains, despite a few struggling emerging market (EM) economies. ECONOMIC SNAPSHOT Real gross domestic product (GDP) in the U.S. grew at an annualized rate of 4.2% in the second quarter, the fastest pace since Growth in the third quarter is expected to slow a bit, but remains healthy. U.S. labor market conditions remained strong during the quarter. The U.S. economy has added an average of more than 200,000 jobs per month this year, and the unemployment rate dropped to a 48-year low of 3.7%. Although there are a record number of job openings in the U.S., strong employment reports continue to suggest that the job market remains tight. On the inflation front, many gauges are now at or near the Fed s 2% target. While job growth is solid, wage growth has been slower than in previous expansionary cycles, as companies continue to resist raising wages. Tariffs could, however, push prices higher as a result of the increased cost of raw materials and growing supply bottlenecks. Rising oil prices may nudge overall prices higher in coming quarters. INTEREST RATES U.S. Treasury yields rose by basis points (bps) (0.20% to 0.30%) in the quarter, with short-term yields outpacing longer-term yields. For example, the yield on the two-year Treasury note rose 29 bps to 2.82%, while the yield on the 10-year note rose 20 bps to end the quarter at 3.06%. The result was a flatter yield curve over the quarter, but the pace of flattening moderated near quarter-end. The yield curve remains very flat from a historical perspective (less incentive for investors to increase maturity). The yield difference between 10-year and two-year U.S. Treasury notes ended the quarter at 24 bps (0.24%), only 8 bps off of the decade low. While a flattening curve is not a foolproof indicator of future recession, it is one of many signals investors look at for indications of the future economy. As a result of rising yields, shorter Treasury indices outperformed longer-maturity ones. Although longer maturities provided higher yields, the small incremental benefit due to a flat yield curve was not sufficient to offset the adverse impact on market values due to increasing yields. For example, the three-month Treasury bill index generated a return of 0.49% for the quarter, while the five- and 10-year Treasury returned -0.26% and -1.1%, respectively. SECTOR PERFORMANCE Although Treasury returns were muted by rising rates during the quarter, diversification into other sectors added value as most other investment-grade (IG), fixed-income asset classes outperformed Treasuries. Corporates and asset-backed securities (ABS) performed well, generating strong, positive excess returns. Despite very narrow spreads available in the federal agency sector, returns in the sector generated excess returns near double digits for the third quarter. Because of their incremental yield and shorter durations, callable agencies accounted for the majority of the excess returns from the sector. Supranational securities performed well, as the combination of tighter spreads and incremental income led to the sector posting attractive returns relative to both Treasuries and agencies. The corporate sector benefitted the most from incremental income, posting attractive excess returns for the third quarter. Record earnings, stable credit fundamentals and a generally positive economic environment continued to serve as tailwinds to the sector. Specifically, one- to three-year BBB-rated corporate issuers were one of the best-performing segments of the IG market during the third quarter. Similarly, AAA-rated ABS were a positive contributor to performance for the third quarter, posting excess returns on average in the bps range. Mortgage-backed securities (MBS) generated positive excess returns for the second consecutive quarter, despite still being in the red YTD. Longer was better for the third quarter, as 30-year collateral pools outperformed their 15-year counterparts. Meanwhile, agency-backed commercial MBS (CMBS) was the best segment of the securitized asset class, as these structures are less sensitive to increasing interest rates. Commercial paper and certificate of deposit yield spreads grinded to one-year lows over the quarter. As a result, short-term credit instruments now look more expensive relative to U.S. Treasuries. Still, they offer incrementally higher yields relative to similar-maturity government alternatives. PFM Asset Management LLC Page 4 of 61

5 QUARTERLY MARKET SUMMARY Fixed Income Management Economic Snapshot Labor Market Latest Jun '18 Sep '17 Unemployment Rate Sep'18 3.7% 4.0% 4.2% Change In Non-farm Payrolls Sep'18 134, ,000 14,000 Average Hourly Earnings (YoY) Sep'18 2.8% 2.8% 2.8% Personal Income (YoY) Aug'18 4.7% 4.9% 4.6% Initial Jobless Claims (week) 10/6/18 214, , ,000 6% 5% 4% Unemployment Rate (left) vs. Change in Non-farm Payrolls (right) Change In Non-farm Payrolls Unemployment Rate 450K 3% 0 Sep '15 Mar '16 Sep '16 Mar '17 Sep '17 Mar '18 Sep '18 300K 150K Growth Real GDP (QoQ SAAR) 2018Q2 4.2% 2.2% 3.0% GDP Personal Consumption (QoQ SAAR) 2018Q2 3.8% 0.5% 2.9% % 4% Real GDP (QoQ) Retail Sales (YoY) Sep'18 4.7% 6.1% 5.2% ISM Manufacturing Survey (month) Sep' Existing Home Sales SAAR (month) Aug' mil mil mil. 2% 0% Jun '15 Dec '15 Jun '16 Dec '16 Jun '17 Dec '17 Jun '18 Inflation / Prices Personal Consumption Expenditures (YoY) Aug'18 2.2% 2.3% 1.8% Consumer Price Index (YoY) Sep'18 2.3% 2.9% 2.2% Consumer Price Index Core (YoY) Sep'18 2.2% 2.3% 1.7% 4% 3% 2% Consumer Price Index CPI (YoY) Core CPI (YoY) Crude Oil Futures (WTI, per barrel) Sep 30 $73.25 $74.15 $51.67 Gold Futures (oz.) Sep 30 $1,192 $1,255 $1,282 1% 0% Sep '15 Mar '16 Sep '16 Mar '17 Sep '17 Mar '18 Sep '18 1. Data as of First Quarter Data as of Second Quarter Note: YoY = year-over-year, QoQ = quarter over quarter, SAAR = seasonally adjusted annual rate, WTI = West Texas Intermediate crude oil. Source: Bloomberg. PFM Asset Management LLC Page 5 of 61

6 QUARTERLY MARKET SUMMARY Fixed Income Management Interest Rate Overview U.S. Treasury Note Yields U.S. Treasury Yield Curve Yield 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% 9/30/17 12/31/17 3/31/18 6/30/18 9/30/18 2-Year 5-Year 10-Year Yield 4% 3% 2% 1% 0% 3-yr 2-yr 1-yr 3-mo 5-yr 7-yr 10-yr Maturity September 30, 2018 June 30, 2018 September 30, yr U.S. Treasury Yields Yield Curves as of 9/30/18 Maturity Sep '18 Jun '18 Change Over Change Over Sep '17 Quarter Year 3-month 2.20% 1.92% 0.28% 1.05% 1.15% 1-year 2.57% 2.31% 0.26% 1.29% 1.28% 2-year 2.82% 2.53% 0.29% 1.49% 1.33% Yield 5% 4% 3% 2% 5-year 2.95% 2.74% 0.21% 1.94% 1.01% 1% 10-year 3.06% 2.86% 0.20% 2.33% 0.73% 30-year 3.21% 2.99% 0.22% 2.86% 0.35% 0% 3-yr 2-yr 1-yr 3-mo 5-yr 7-yr 10-yr Maturity U.S. Treasury Federal Agency Corporates, A Rated 25-yr 30-yr Source: Bloomberg. PFM Asset Management LLC Page 6 of 61

7 QUARTERLY MARKET SUMMARY Fixed Income Management September 30, 2018 Duration Yield 3 Month 1 Year 3 Years 1-3 Year Indices U.S. Treasury % 0.19% 0.04% 0.38% Federal Agency % 0.32% 0.34% 0.59% U.S. Corporates, A-AAA-rated % 0.67% 0.67% 1.38% Agency MBS (0 to 3 years) % (0.37%) (0.38%) 0.82% Taxable Municipals % 0.60% 1.32% 2.14% 1-5 Year Indices U.S. Treasury % 0.05% (0.58%) 0.29% Federal Agency % 0.26% 0.03% 0.59% U.S. Corporates, A-AAA-rated % 0.66% 0.06% 1.47% Agency MBS (0 to 5 years) % 0.11% (0.82%) 0.81% Taxable Municipals % 0.57% 1.08% 2.15% Master Indices (Maturities 1 Year or Greater) ICE BofAML Index Returns As of 9/30/18 Returns for Periods ended 9/30/18 U.S. Treasury % (0.66%) (1.64%) 0.28% Federal Agency % (0.01%) (0.56%) 0.80% U.S. Corporates, A-AAA-rated % 0.67% (1.29%) 2.43% Agency MBS (0 to 30 years) % (0.12%) (0.88%) 1.00% Taxable Municipals % (0.67%) (0.38%) 4.67% Returns for periods greater than one year are annualized. Source: ICE BofAML Indices. PFM Asset Management LLC Page 7 of 61

8 QUARTERLY MARKET SUMMARY Fixed Income Management DISCLOSURES PFM is the marketing name for a group of affiliated companies providing a range of services. All services are provided through separate agreements with each company. This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation. Investment advisory services are provided by PFM Asset Management LLC which is registered with the Securities and Exchange Commission under the Investment Advisers Act of The information contained is not an offer to purchase or sell any securities. Additional applicable regulatory information is available upon request. For more information regarding PFM s services or entities, please visit The views expressed within this material constitute the perspective and judgment of PFM Asset Management LLC at the time of distribution and are subject to change. Information is obtained from sources generally believed to be reliable and available to the public; however, PFM Asset Management LLC cannot guarantee its accuracy, completeness, or suitability. This material is for general information purposes only and is not intended to provide specific advice or recommendation. The information contained in this report is not an offer to purchase or sell any securities PFM Asset Management LLC. Further distribution is not permitted without prior written consent. PFM Asset Management LLC Page 8 of 61

9 Tab II PFM Asset Management LLC Page 9 of 61

10 CITY OF FT. WALTON BEACH, FLORIDA Executive Summary The Portfolio is of high credit quality and invested in U.S. Treasury, federal agency/gse, supranationals, municipal obligations, asset backed securities, corporate notes and commercial paper securities. The Investment Portfolio s quarterly total return performance of 0.37% outperformed the benchmark performance of 0.05% by 0.32%. Over the past year the Portfolio returned -0.02%, outperforming the benchmark performance of -0.58% by 0.56%. We positioned portfolios with a defensive duration posture for the majority of the past two quarters in light of the Fed's impact on short-term rates. This has benefited portfolio returns as yields across the curve approached new highs for this cycle. Economic Conditions were characterized by: The yield on the 2-year Treasury note rising by 29 basis points to end the quarter at 2.82%, A robust labor market, with the U.S. unemployment rate near 48 year lows, Core inflation near the Fed s 2% target, while oil prices surged and wages trended higher, Consumer confidence is at a near two-decade high, while measures of manufacturing activity are also very strong, As well as, an escalating trade war with China, weakness in emerging market economies and currencies, and political uncertainty. While the Fed s policy actions will depend on future economic data, we believe the current strength of the U.S. economy, coupled with a strong labor market and rising inflation, will cause the Fed to continue raising rates at a pace of about one ¼ percent hike per quarter well into Therefore, we plan to maintain a defensive duration posture to mitigate a portion of interest rate risk relative to benchmarks. PFM Asset Management LLC Page 10 of 61

11 Portfolio Snapshot Credit Quality (S&P Ratings) Sector Allocation Portfolio Statistics As of September 30, 2018 Par Value: $22,674,594 Total Market Value: $22,510,269 Security Market Value: $22,236,348 Accrued Interest: $106,599 Cash: $167,323 Amortized Cost: $22,612,906 Yield at Market: 2.99% Not Rated 3.3% BBB+ 4.5% BBB 1.8% AAA 9.8% AA+ 43.5% A 5.8% A- 12.2% A+ 9.0% A-1 1.1% AA 2.8% AA- 6.3% U.S. Treasury 39.0% Supra-Sov / Supra-Natl Agency 0.5% Municipal 1.9% Federal Agency/GSE 3.7% Asset-Backed 11.1% Commercial Paper 1.1% Corporate 42.7% Yield at Cost: Effective Duration: Duration to Worst: 2.27% 2.40 Years 2.45 Years 28% Maturity Distribution 27.9% 25.5% Average Maturity: 2.73 Years 24% 21.7% Average Credit: * AA 20% 17.6% 16% 12% 8% 7.3% 4% 0% 0-1 Year 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years 0.0% * An average of each security s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio. PFM Asset Management LLC Page 11 of 61 Account ****0100

12 Portfolio Performance Portfolio Performance (Total Return) Annualized Return Portfolio/Benchmark Effective Duration Current Quarter 1 Year 3 Year 5 Year 10 Year Since Inception (06/30/12) ** CITY OF FT. WALTON BEACH INVESTMENT PORT % -0.02% 0.86% 1.12% % ICE BofAML 1-5 Year U.S. Treasury Index % -0.58% 0.29% 0.73% % Difference 0.32% 0.56% 0.57% 0.39% % 1.2% 1.12% Total Return 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% 0.37% 0.05% -0.02% 0.86% 0.29% 0.73% 0.93% 0.65% -0.4% -0.6% -0.58% Current Quarter 1 Year 3 Year 5 Year 10 Year Since Inception CITY OF FT. WALTON BEACH INVESTMENT PORT ICE BofAML 1-5 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. PFM Asset Management LLC Page 12 of 61 Account ****0100

13 Portfolio Performance Portfolio Performance (Total Return) Quarter Ended Annualized Return Portfolio/Benchmark Effective Duration 09/30/18 06/30/18 03/31/18 12/31/17 1 Year 3 Year 5 Year CITY OF FT. WALTON BEACH INVESTMENT PORT % 0.31% -0.48% -0.23% -0.02% 0.86% 1.12% ICE BofAML 1-5 Year U.S. Treasury Index % 0.13% -0.38% -0.38% -0.58% 0.29% 0.73% Difference 0.32% 0.18% -0.10% 0.15% 0.56% 0.57% 0.39% 1.2% 1.12% 1.0% 0.8% 0.86% 0.73% 0.6% Total Return 0.4% 0.2% 0.0% -0.2% -0.4% -0.6% 0.37% 0.05% 0.31% 0.13% -0.23% -0.38% -0.38% -0.48% -0.02% -0.58% 0.29% 09/30/18 06/30/18 03/31/18 12/31/17 1 Year 3 Year 5 Year CITY OF FT. WALTON BEACH INVESTMENT PORT ICE BofAML 1-5 Year U.S. Treasury Index Portfolio performance is gross of fees unless otherwise indicated. PFM Asset Management LLC Page 13 of 61 Account ****0100

14 Portfolio Performance Portfolio Performance (Total Return) Quarter Ended Annualized Return Portfolio/Benchmark Effective Duration 09/30/18 06/30/18 03/31/18 12/31/17 1 Year 3 Year 5 Year CITY OF FT. WALTON BEACH INVESTMENT PORT 0.37% 2.40 Net of Fees ** 0.34% - ICE BofAML 1-5 Year U.S. Treasury Index 0.05% % -0.48% -0.23% 0.28% -0.51% -0.26% 0.13% -0.38% -0.38% -0.02% 0.86% 1.12% -0.12% 0.76% 1.02% -0.58% 0.29% 0.73% Difference (Gross) 0.32% 0.18% -0.10% 0.15% 0.56% 0.57% 0.39% Difference (Net) 0.29% 0.15% -0.13% 0.12% 0.46% 0.47% 0.29% 1.2% 1.12% 1.0% 0.8% 0.86% 0.73% 0.6% Total Return 0.4% 0.2% 0.0% -0.2% -0.4% -0.6% 0.37% 0.05% 0.31% 0.13% -0.23% -0.38% -0.38% -0.48% -0.02% -0.58% 0.29% 09/30/18 06/30/18 03/31/18 12/31/17 1 Year 3 Year 5 Year CITY OF FT. WALTON BEACH INVESTMENT PORT ICE BofAML 1-5 Year U.S. Treasury Index Portfolio performance is gross of fees unless otherwise indicated. ** Fees were calculated based on average assets during the period at the contractual rate. PFM Asset Management LLC Page 14 of 61 Account ****0100

15 Portfolio Performance Portfolio Earnings Quarter-Ended September 30, 2018 Market Value Basis Accrual (Amortized Cost) Basis Beginning Value (06/30/2018) $22,277, $22,626, Net Purchases/Sales ($1,804.41) ($1,804.41) Change in Value ($38,870.10) ($11,313.86) Ending Value (09/30/2018) $22,236, $22,612, Interest Earned $122, $122, Portfolio Earnings $83, $111, Page 15 of 61

16 Portfolio Composition Sector Allocation September 30, 2018 June 30, 2018 March 31, 2018 December 31, 2017 Sector MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total Corporate % % % % U.S. Treasury % % % % Asset-Backed % % % % Federal Agency/GSE % % % % Municipal % % % % Commercial Paper % % % % Supra-Sov / Supra-Natl Agency % % % % Total $ % $ % $ % $ % 100% Supra-Sov / Supra-Natl Agency Commercial Paper Municipal Federal Agency/GSE Asset-Backed U.S. Treasury Corporate 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% September 2018 June 2018 March 2018 December 2017 Detail may not add to total due to rounding. PFM Asset Management LLC Page 16 of 61 Account ****0100

17 Portfolio Composition Maturity Distribution As of September 30, 2018 Portfolio/Benchmark Yield at Market Average Maturity 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years >5 Years CITY OF FT. WALTON BEACH INVESTMENT PORT 2.99% 2.73 yrs 7.3% 21.7% 27.9% 25.5% 17.6% 0.0% ICE BofAML 1-5 Year U.S. Treasury Index 2.86% 2.77 yrs 1.7% 32.1% 26.6% 20.0% 19.6% 0.0% 35% 32.1% 30% 25% 20% 21.7% 27.9% 26.6% 25.5% 20.0% 19.6% 17.6% 15% 10% 5% 0% 7.3% 1.7% 0.0% 0.0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years CITY OF FT. WALTON BEACH INVESTMENT PORT ICE BofAML 1-5 Year U.S. Treasury Index Page 17 of 61

18 Portfolio Composition Duration Distribution As of September 30, 2018 Portfolio / Benchmark Effective Duration 0-1 YEARS 1-2 YEARS 2-3 YEARS 3-4 YEARS 4-5 YEARS > 5 YEARS CITY OF FT. WALTON BEACH INVESTMENT PORT % 27.0% 26.8% 25.3% 8.4% 0.0% ICE BofAML 1-5 Year U.S. Treasury Index % 32.6% 29.3% 20.8% 15.6% 0.0% 35% 30% 25% 20% Distribution by Effective Duration 33% 29% 27% 27% 25% 21% 40% 35% 30% 25% Contribution to Portfolio Duration 37% 28% 28% 28% 26% 15% 10% 12% 8% 16% 20% 15% 10% 17% 18% 14% 5% 0% 2% 0% 0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years 5% 0% 4% 1% 0% 0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years CITY OF FT. WALTON BEACH INVESTMENT PORT CITY OF FT. WALTON BEACH INVESTMENT PORT ICE BofAML 1-5 Year U.S. Treasury Index ICE BofAML 1-5 Year U.S. Treasury Index Page 18 of 61

19 CITY OF FT. WALTON BEACH INVESTMENT PORT Portfolio Composition Credit Quality As of September 30, 2018 S&P Rating Market Value ($) % of Portfolio AA+ $9,682, % A- $2,701, % AAA $2,179, % A+ $2,004, % AA- $1,389, % Not Rated 3.3% BBB+ 4.5% BBB 1.8% AAA 9.8% A 5.8% A- 12.2% A+ 9.0% A BBB+ Not Rated $1,287,977 $989,837 $738, % 4.5% 3.3% AA BBB A-1 $620,522 $395,359 $246, % 1.8% 1.1% Totals 100.0% $22,236,348 AA+ 43.5% A-1 1.1% AA 2.8% AA- 6.3% Detail may not add to total due to rounding. PFM Asset Management LLC Page 19 of 61 Account ****0100

20 Portfolio Composition Issuer Distribution As of September 30, 2018 Issuer Market Value ($) % of Portfolio UNITED STATES TREASURY 8,668, % AMERICAN EXPRESS CO 643, % ALLY AUTO RECEIVABLES TRUST 547, % CITIGROUP INC 506, % TOYOTA MOTOR CORP 495, % GENERAL ELECTRIC CO 411, % BANK OF MONTREAL 392, % Top 5 = 48.8% Top 10 = 57.3% FEDERAL HOME LOAN BANKS 374, % WELLS FARGO & COMPANY 370, % ROYAL BANK OF CANADA 343, % TORONTO-DOMINION BANK 329, % BP PLC 327, % WAL-MART STORES INC 322, % BANK OF AMERICA CO 321, % HYUNDAI AUTO RECEIVABLES 299, % CITY OF NEW YORK CITY, NY 297, % FANNIE MAE 295, % PNC FINANCIAL SERVICES GROUP 283, % Page 20 of 61

21 Portfolio Composition Issuer Market Value ($) % of Portfolio JP MORGAN CHASE & CO 283, % CANADIAN IMPERIAL BANK OF COMMERCE 283, % NATIONAL RURAL UTILITIES CO FINANCE CORP 283, % GOLDMAN SACHS GROUP INC 279, % LLOYDS BANKING GROUP PLC 268, % WESTPAC BANKING CORP 248, % MITSUBISHI UFJ FINANCIAL GROUP INC 246, % BB&T CORPORATION 243, % MORGAN STANLEY 209, % MICROSOFT CORP 207, % APPLE INC 197, % BANK OF NOVA SCOTIA 196, % MCDONALD'S CORPORATION 168, % FORD MOTOR COMPANY 168, % IBM CORP 164, % COMCAST CORP 162, % ANHEUSER-BUSCH INBEV NV 162, % ANTHEM INC 160, % UNION PACIFIC CORP 154, % PACCAR FINANCIAL CORP 152, % CISCO SYSTEMS INC 148, % Page 21 of 61

22 Portfolio Composition Issuer Market Value ($) % of Portfolio NISSAN AUTO RECEIVABLES 147, % FREDDIE MAC 146, % JOHN DEERE OWNER TRUST 133, % DEERE & COMPANY 132, % GENERAL MOTORS CORP 127, % UNITED PARCEL SERVICE INC 126, % NEW YORK CITY NY TRANSITIONAL 126, % CATERPILLAR INC 121, % GENERAL DYNAMICS CORP 119, % UNITEDHEALTH GROUP INC 119, % INTL BANK OF RECONSTRUCTION AND DEV 112, % FORD CREDIT AUTO OWNER TRUST 109, % ABBVIE INC 104, % HERSHEY COMPANY 99, % UNILEVER PLC 99, % GM FINANCIAL SECURITIZED TERM 99, % CVS HEALTH CORP 99, % FORD CREDIT AUTO LEASE TRUST 89, % CARMAX AUTO OWNER TRUST 79, % GLAXOSMITHKLINE PLC 79, % HOME DEPOT INC 78, % Page 22 of 61

23 Portfolio Composition Issuer Market Value ($) % of Portfolio HONDA AUTO RECEIVABLES 73, % GM FINANCIAL AUTO LEASING TRUST 65, % NEW YORK UNIVERSITY 59, % CNH EQUIPMENT TRUST 59, % Grand Total: 22,236, % Page 23 of 61

24 Portfolio Composition Sector/Issuer Distribution As of September 30, 2018 Sector / Issuer Market Value ($) % of Sector % of Total Portfolio Asset-Backed ALLY AUTO RECEIVABLES TRUST 547, % 2.5% AMERICAN EXPRESS CO 358, % 1.6% CARMAX AUTO OWNER TRUST 79, % 0.4% CITIGROUP INC 173, % 0.8% CNH EQUIPMENT TRUST 59, % 0.3% FORD CREDIT AUTO LEASE TRUST 89, % 0.4% FORD CREDIT AUTO OWNER TRUST 109, % 0.5% GM FINANCIAL AUTO LEASING TRUST 65, % 0.3% GM FINANCIAL SECURITIZED TERM 99, % 0.4% HONDA AUTO RECEIVABLES 73, % 0.3% HYUNDAI AUTO RECEIVABLES 299, % 1.3% JOHN DEERE OWNER TRUST 133, % 0.6% NISSAN AUTO RECEIVABLES 147, % 0.7% TOYOTA MOTOR CORP 236, % 1.1% Sector Total 2,472, % 11.1% Commercial Paper MITSUBISHI UFJ FINANCIAL GROUP INC 246, % 1.1% Sector Total 246, % 1.1% Page 24 of 61

25 Portfolio Composition Sector / Issuer Market Value ($) % of Sector % of Total Portfolio Corporate ABBVIE INC 104, % 0.5% AMERICAN EXPRESS CO 285, % 1.3% ANHEUSER-BUSCH INBEV NV 162, % 0.7% ANTHEM INC 160, % 0.7% APPLE INC 197, % 0.9% BANK OF AMERICA CO 321, % 1.4% BANK OF MONTREAL 392, % 1.8% BANK OF NOVA SCOTIA 196, % 0.9% BB&T CORPORATION 243, % 1.1% BP PLC 327, % 1.5% CANADIAN IMPERIAL BANK OF COMMERCE 283, % 1.3% CATERPILLAR INC 121, % 0.5% CISCO SYSTEMS INC 148, % 0.7% CITIGROUP INC 332, % 1.5% COMCAST CORP 162, % 0.7% CVS HEALTH CORP 99, % 0.4% DEERE & COMPANY 132, % 0.6% FORD MOTOR COMPANY 168, % 0.8% GENERAL DYNAMICS CORP 119, % 0.5% GENERAL ELECTRIC CO 411, % 1.9% GENERAL MOTORS CORP 127, % 0.6% GLAXOSMITHKLINE PLC 79, % 0.4% GOLDMAN SACHS GROUP INC 279, % 1.3% HERSHEY COMPANY 99, % 0.4% Page 25 of 61

26 Portfolio Composition Sector / Issuer Market Value ($) % of Sector % of Total Portfolio HOME DEPOT INC 78, % 0.4% IBM CORP 164, % 0.7% JP MORGAN CHASE & CO 283, % 1.3% LLOYDS BANKING GROUP PLC 268, % 1.2% MCDONALD'S CORPORATION 168, % 0.8% MICROSOFT CORP 207, % 0.9% MORGAN STANLEY 209, % 0.9% NATIONAL RURAL UTILITIES CO FINANCE CORP 283, % 1.3% NEW YORK UNIVERSITY 59, % 0.3% PACCAR FINANCIAL CORP 152, % 0.7% PNC FINANCIAL SERVICES GROUP 283, % 1.3% ROYAL BANK OF CANADA 343, % 1.5% TORONTO-DOMINION BANK 329, % 1.5% TOYOTA MOTOR CORP 259, % 1.2% UNILEVER PLC 99, % 0.4% UNION PACIFIC CORP 154, % 0.7% UNITED PARCEL SERVICE INC 126, % 0.6% UNITEDHEALTH GROUP INC 119, % 0.5% WAL-MART STORES INC 322, % 1.5% WELLS FARGO & COMPANY 370, % 1.7% WESTPAC BANKING CORP 248, % 1.1% Sector Total 9,495, % 42.7% Federal Agency/GSE FANNIE MAE 295, % 1.3% Page 26 of 61

27 Portfolio Composition Sector / Issuer Market Value ($) % of Sector % of Total Portfolio FEDERAL HOME LOAN BANKS 374, % 1.7% FREDDIE MAC 146, % 0.7% Sector Total 816, % 3.7% Municipal CITY OF NEW YORK CITY, NY 297, % 1.3% NEW YORK CITY NY TRANSITIONAL 126, % 0.6% Sector Total 423, % 1.9% Supra-Sov / Supra-Natl Agency INTL BANK OF RECONSTRUCTION AND DEV 112, % 0.5% Sector Total 112, % 0.5% U.S. Treasury UNITED STATES TREASURY 8,668, % 39.0% Sector Total 8,668, % 39.0% 22,236,348 Portfolio Total 100.0% 100.0% Page 27 of 61

28 Portfolio Activity Quarterly Portfolio Transactions Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) BUY 7/2/18 7/3/18 115, HKW3 TOYOTA MOTOR CREDIT CORP COMM PAPER 0.00% 10/30/18 114, % 7/3/18 7/6/18 250, MQV8 MUFG BANK LTD/NY COMM PAPER 0.00% 3/29/19 245, % 7/3/18 7/6/18 585, N30 US TREASURY NOTES 2.12% 12/31/22 570, % 7/11/18 7/18/18 100, JAD6 GMCAR A3 3.02% 5/16/23 99, % 7/18/18 7/25/18 80, FAD1 CARMAX AUTO OWNER TRUST 3.13% 6/15/23 79, % 7/26/18 7/30/18 165, AF0 ANTHEM INC CORP NOTES 2.95% 12/1/22 161, % 8/9/18 8/10/18 110, J50 US TREASURY NOTES 1.37% 2/29/20 108, % 8/13/18 8/15/18 170, MFE9 MCDONALD'S CORP 3.35% 4/1/23 171, % 9/4/18 9/6/18 555, N30 US TREASURY NOTES 2.12% 12/31/22 542, % 9/13/18 9/18/18 105, YBE8 ABBVIE INC 3.37% 11/14/21 104, % 9/18/18 9/21/18 90, LAD2 FORDL 2018-B A3 3.19% 12/15/21 89, % 9/18/18 9/26/18 65, GAD1 GMALT A3 3.18% 6/20/21 64, % Total BUY 2,390,000 2,354, INTEREST 7/1/18 7/1/18 60, AF7 NEW YORK UNIVERSITY CORPORATE NOTE 1.76% 7/1/ /2/18 7/2/18 0 MONEY0002 MONEY MARKET FUND /6/18 7/6/18 115, ETL3 JOHN DEERE CAPITAL CORP NOTES 2.65% 1/6/22 1, /8/18 7/8/18 400, G4J0 GENERAL ELECTRIC CAP CORP NOTES 5.50% 1/8/20 11, /8/18 7/8/18 20, ETZ2 JOHN DEERE CAPITAL CORP NOTES 2.35% 1/8/ /11/18 7/11/18 225, GEU9 BANK OF AMERICA CORP NOTE 3.30% 1/11/23 3, /11/18 7/11/18 100, P4S2 TOYOTA MOTOR CREDIT CORP NOTES 4.25% 1/11/21 2, /14/18 7/14/18 200, JX5 BANK OF NOVA SCOTIA HOUSTON CORP BOND 2.15% 7/14/20 2, /15/18 7/15/18 165, NBD2 COMCAST CORPORATION CORP NOTES 3.12% 7/15/22 2, Page 28 of 61

29 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 7/15/18 7/15/18 85, PAD8 HYUNDAI ABS 2017-A A3 1.76% 8/15/ /15/18 7/15/ CAD3 TOYOTA ABS 2015-B A3 1.27% 5/15/ /15/18 7/15/18 200, JAC1 ALLYA A3 3.00% 1/15/ /15/18 7/15/18 30, GEX3 BANK OF AMERICA CORP NOTES 2.60% 1/15/ /15/18 7/15/18 16, QAB2 CARMAX ABS A2 1.21% 11/15/ /15/18 7/15/18 100, MAD0 TOYOTA ABS 2017-A A3 1.73% 2/15/ /15/18 7/15/18 50, BAD6 JOHN DEERE ABS 2017-B A3 1.82% 10/15/ /15/18 7/15/18 50, CAC6 JDOT 2018-A A3 2.66% 4/15/ /15/18 7/15/18 200, HAC5 ALLY ABS A3 1.78% 8/15/ /15/18 7/15/18 43, LAC6 ALLY ABS A3 1.44% 8/15/ /15/18 7/15/18 190, JHG8 AMERICAN EXPRESS ABS A 1.64% 12/15/ /15/18 7/15/18 110, EAD8 FORD ABS 2017-A A3 1.67% 6/15/ /15/18 7/15/18 110, DAD9 NAROT 2018-A A3 2.65% 5/15/ /15/18 7/15/18 170, JHQ6 AMXCA A 2.67% 10/17/ /15/18 7/15/18 78, WAB2 CNH 2017-A A2 1.64% 7/15/ /15/18 7/15/18 37, WAD9 TOYOTA ABS 2016-C A3 1.14% 8/15/ /15/18 7/15/18 120, FAC9 ALLY ABS A3 1.75% 12/15/ /15/18 7/15/18 140, GAD7 HYUNDAI ABS 2017-B A3 1.77% 1/15/ /15/18 7/15/18 35, XAC1 JOHN DEERE ABS 2017-A A3 1.78% 4/15/ /15/18 7/15/18 110, RAD0 TOYOTA ABS 2017-C A3 1.78% 11/15/ /15/18 7/15/18 7, VAD1 FORD ABS 2015-B A3 1.16% 11/15/ /15/18 7/15/18 80, EAC3 HYUNDAI ABS 2016-B A3 1.29% 4/15/ /15/18 7/15/18 47, WAD7 NISSAN ABS 2016-C A3 1.18% 1/15/ /18/18 7/18/18 40, NAC9 HONDA ABS A3 1.22% 12/18/ /18/18 7/18/18 200, THQ6 BANK OF MONTREAL 1.50% 7/18/19 1, /18/18 7/18/18 66, AC3 HONDA ABS A3 1.16% 6/18/ /20/18 7/20/18 170, HAB9 IBM CREDIT CORP NOTE 1.80% 1/20/21 1, /23/18 7/23/18 130, YAN8 MORGAN STANLEY CORP NOTES 3.12% 1/23/23 2, /24/18 7/24/18 275, HJD3 JPMORGAN CHASE & CO CORP NOTES 4.50% 1/24/22 6, /25/18 7/25/18 335, QBX5 TORONTO-DOMINION BANK CORP NOTE 2.55% 1/25/21 4, Page 29 of 61

30 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 7/30/18 7/30/18 125, BGF1 WELLS FARGO & CO CORP BONDS 2.15% 1/30/20 1, /30/18 7/30/18 250, BGF1 WELLS FARGO & CO CORP BONDS 2.15% 1/30/20 2, /31/18 7/31/18 300, VP2 US TREASURY NOTES 2.00% 7/31/20 3, /31/18 7/31/18 425, H86 US TREASURY NOTES 1.50% 1/31/22 3, /31/18 7/31/18 650, V72 US TREASURY NOTES 1.87% 1/31/22 6, /31/18 7/31/18 600, P4 US TREASURY NOTES 1.87% 7/31/22 5, /31/18 7/31/18 250, VP2 US TREASURY NOTES 2.00% 7/31/20 2, /31/18 7/31/18 330, WY2 US TREASURY N/B 2.25% 7/31/21 3, /31/18 7/31/18 225, P4 US TREASURY NOTES 1.87% 7/31/22 2, /31/18 7/31/18 230, VP2 US TREASURY NOTES 2.00% 7/31/20 2, /1/18 8/1/18 0 MONEY0002 MONEY MARKET FUND /1/18 8/1/18 165, AJ5 ANHEUSER-BUSCH INBEV FIN CORP NOTES 2.65% 2/1/21 2, /1/18 8/1/18 130, XBG2 NYC TRANS FIN AUTH, BY TXBL REV BONDS 2.44% 8/1/22 1, /5/18 8/5/18 555, A8Y72 FHLB GLOBAL NOTE 0.87% 8/5/19 2, /10/18 8/10/18 75, AW2 SHELL INTERNATIONAL FIN GLOBAL NOTES 1.90% 8/10/ /11/18 8/11/18 120, ADN32 FHLB NOTES 2.12% 2/11/20 1, /12/18 8/12/18 210, AY0 MICROSOFT CORP (CALLABLE) NOTE 1.85% 2/12/20 1, /12/18 8/12/18 170, YD9 FORD MOTOR CREDIT CO LLC CORPORATE NOTES 1.89% 8/12/19 1, /13/18 8/13/18 330, QCX4 BP CAPITAL MARKETS PLC BONDS 2.31% 2/13/20 3, /15/18 8/15/18 80, FAD1 CARMAX AUTO OWNER TRUST 3.13% 6/15/ /15/18 8/15/18 200, JAC1 ALLYA A3 3.00% 1/15/ /15/18 8/15/18 190, JHG8 AMERICAN EXPRESS ABS A 1.64% 12/15/ /15/18 8/15/18 4, VAD1 FORD ABS 2015-B A3 1.16% 11/15/ /15/18 8/15/18 80, EAC3 HYUNDAI ABS 2016-B A3 1.29% 4/15/ /15/18 8/15/18 73, WAB2 CNH 2017-A A2 1.64% 7/15/ /15/18 8/15/18 7, QAB2 CARMAX ABS A2 1.21% 11/15/ /15/18 8/15/18 100, MAD0 TOYOTA ABS 2017-A A3 1.73% 2/15/ /15/18 8/15/18 35, XAC1 JOHN DEERE ABS 2017-A A3 1.78% 4/15/ /15/18 8/15/18 50, CAC6 JDOT 2018-A A3 2.66% 4/15/ /15/18 8/15/18 200, HAC5 ALLY ABS A3 1.78% 8/15/ Page 30 of 61

31 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 8/15/18 8/15/18 170, JHQ6 AMXCA A 2.67% 10/17/ /15/18 8/15/18 110, EAD8 FORD ABS 2017-A A3 1.67% 6/15/ /15/18 8/15/18 110, DAD9 NAROT 2018-A A3 2.65% 5/15/ /15/18 8/15/18 39, LAC6 ALLY ABS A3 1.44% 8/15/ /15/18 8/15/18 85, PAD8 HYUNDAI ABS 2017-A A3 1.76% 8/15/ /15/18 8/15/18 110, RAD0 TOYOTA ABS 2017-C A3 1.78% 11/15/ /15/18 8/15/18 120, FAC9 ALLY ABS A3 1.75% 12/15/ /15/18 8/15/18 140, GAD7 HYUNDAI ABS 2017-B A3 1.77% 1/15/ /15/18 8/15/18 50, BAD6 JOHN DEERE ABS 2017-B A3 1.82% 10/15/ /15/18 8/15/18 220, WAH4 AMERICAN HONDA FINANCE GLOBAL NOTES 2.25% 8/15/19 2, /15/18 8/15/18 100, WAH4 AMERICAN HONDA FINANCE GLOBAL NOTES 2.25% 8/15/19 1, /15/18 8/15/18 44, WAD7 NISSAN ABS 2016-C A3 1.18% 1/15/ /15/18 8/15/18 34, WAD9 TOYOTA ABS 2016-C A3 1.14% 8/15/ /16/18 8/16/18 100, JAD6 GMCAR A3 3.02% 5/16/ /18/18 8/18/18 35, NAC9 HONDA ABS A3 1.22% 12/18/ /18/18 8/18/18 60, AC3 HONDA ABS A3 1.16% 6/18/ /28/18 8/28/18 205, G0P49 FNMA NOTES 1.00% 8/28/19 1, /28/18 8/28/18 205, G0T29 FNMA NOTES 1.50% 2/28/20 1, /31/18 8/31/18 110, J50 US TREASURY NOTES 1.37% 2/29/ /31/18 8/31/18 735, D72 US TREASURY NOTES 2.00% 8/31/21 7, /31/18 8/31/18 450, P79 US TREASURY NOTES 1.50% 2/28/23 3, /1/18 9/1/18 110, RN93 PACCAR FINANCIAL CORP NOTES 2.80% 3/1/21 1, /3/18 9/3/18 120, M0EE5 AMERICAN EXPRESS CREDIT (CALLABLE) NOTE 2.20% 3/3/20 1, /4/18 9/4/18 125, Q2A6 CATERPILLAR FINL SERVICE NOTE 1.85% 9/4/20 1, /4/18 9/4/18 0 MONEY0002 MONEY MARKET FUND /6/18 9/6/18 100, AQ0 UNILEVER CAP GLOBAL NOTE 2.20% 3/6/19 1, /8/18 9/8/18 165, TEC5 TOYOTA MOTOR CREDIT CORP 2.15% 9/8/22 1, /8/18 9/8/18 285, BN2 PNC BANK NA CORP (CALLABLE) NOTE 3.30% 3/8/22 4, /9/18 9/9/18 100, DC1 CVS HEALTH CORP NOTES 3.35% 3/9/21 1, /15/18 9/15/18 80, EAC3 HYUNDAI ABS 2016-B A3 1.29% 4/15/ Page 31 of 61

32 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 9/15/18 9/15/18 140, GAD7 HYUNDAI ABS 2017-B A3 1.77% 1/15/ /15/18 9/15/18 200, HAC5 ALLY ABS A3 1.78% 8/15/ /15/18 9/15/18 200, JAC1 ALLYA A3 3.00% 1/15/ /15/18 9/15/18 41, WAD7 NISSAN ABS 2016-C A3 1.18% 1/15/ /15/18 9/15/18 110, RAD0 TOYOTA ABS 2017-C A3 1.78% 11/15/ /15/18 9/15/18 120, FAC9 ALLY ABS A3 1.75% 12/15/ /15/18 9/15/18 80, FAD1 CARMAX AUTO OWNER TRUST 3.13% 6/15/ /15/18 9/15/18 50, BAD6 JOHN DEERE ABS 2017-B A3 1.82% 10/15/ /15/18 9/15/18 110, EAD8 FORD ABS 2017-A A3 1.67% 6/15/ /15/18 9/15/18 85, PAD8 HYUNDAI ABS 2017-A A3 1.76% 8/15/ /15/18 9/15/18 68, WAB2 CNH 2017-A A2 1.64% 7/15/ /15/18 9/15/ VAD1 FORD ABS 2015-B A3 1.16% 11/15/ /15/18 9/15/18 34, LAC6 ALLY ABS A3 1.44% 8/15/ /15/18 9/15/18 190, JHG8 AMERICAN EXPRESS ABS A 1.64% 12/15/ /15/18 9/15/18 110, DAD9 NAROT 2018-A A3 2.65% 5/15/ /15/18 9/15/18 31, WAD9 TOYOTA ABS 2016-C A3 1.14% 8/15/ /15/18 9/15/18 170, JHQ6 AMXCA A 2.67% 10/17/ /15/18 9/15/18 85, HER9 NATIONAL RURAL UTIL COOP 2.90% 3/15/21 1, /15/18 9/15/18 35, XAC1 JOHN DEERE ABS 2017-A A3 1.78% 4/15/ /15/18 9/15/18 50, CAC6 JDOT 2018-A A3 2.66% 4/15/ /15/18 9/15/18 200, HER9 NATIONAL RURAL UTIL COOP 2.90% 3/15/21 3, /15/18 9/15/18 100, MAD0 TOYOTA ABS 2017-A A3 1.73% 2/15/ /16/18 9/16/18 100, JAD6 GMCAR A3 3.02% 5/16/ /18/18 9/18/18 30, NAC9 HONDA ABS A3 1.22% 12/18/ /18/18 9/18/18 54, AC3 HONDA ABS A3 1.16% 6/18/ /20/18 9/20/18 175, EGH2 CCCIT 2017-A9 A9 1.80% 9/20/21 1, /28/18 9/28/18 60, ACE26 FHLB NOTES 1.37% 9/28/ /30/18 9/30/18 325, F39 US TREASURY NOTES 1.75% 9/30/19 2, /30/18 9/30/18 400, W9 US TREASURY NOTES 1.87% 9/30/22 3, /30/18 9/30/18 250, L57 US TREASURY NOTES 1.75% 9/30/22 2, Page 32 of 61

33 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 9/30/18 9/30/18 275, T34 US TREASURY N/B 1.12% 9/30/21 1, /30/18 9/30/18 225, W89 US TREASURY NOTES 1.87% 3/31/22 2, /30/18 9/30/18 375, L57 US TREASURY NOTES 1.75% 9/30/22 3, /30/18 9/30/18 190, Q29 US TREASURY N/B 1.50% 3/31/23 1, Total INTEREST 19,666, , MATURITY 8/10/18 8/10/18 75, AW2 SHELL INTERNATIONAL FIN GLOBAL NOTES 1.90% 8/10/18 75, Total MATURITY 75,000 75, PAYDOWNS 7/15/18 7/15/18 3, WAD9 TOYOTA ABS 2016-C A3 1.14% 8/15/20 3, /15/18 7/15/18 3, VAD1 FORD ABS 2015-B A3 1.16% 11/15/19 3, /15/18 7/15/18 3, WAD7 NISSAN ABS 2016-C A3 1.18% 1/15/21 3, /15/18 7/15/ CAD3 TOYOTA ABS 2015-B A3 1.27% 5/15/ /15/18 7/15/18 4, LAC6 ALLY ABS A3 1.44% 8/15/20 4, /15/18 7/15/18 4, WAB2 CNH 2017-A A2 1.64% 7/15/20 4, /15/18 7/15/18 9, QAB2 CARMAX ABS A2 1.21% 11/15/19 9, /18/18 7/18/18 5, NAC9 HONDA ABS A3 1.22% 12/18/19 5, /18/18 7/18/18 6, AC3 HONDA ABS A3 1.16% 6/18/19 6, /15/18 8/15/18 3, WAD9 TOYOTA ABS 2016-C A3 1.14% 8/15/20 3, /15/18 8/15/18 3, VAD1 FORD ABS 2015-B A3 1.16% 11/15/19 3, /15/18 8/15/18 2, WAD7 NISSAN ABS 2016-C A3 1.18% 1/15/21 2, /15/18 8/15/18 4, LAC6 ALLY ABS A3 1.44% 8/15/20 4, /15/18 8/15/18 5, WAB2 CNH 2017-A A2 1.64% 7/15/20 5, /15/18 8/15/18 7, QAB2 CARMAX ABS A2 1.21% 11/15/19 7, Page 33 of 61

34 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) 8/18/18 8/18/18 4, NAC9 HONDA ABS A3 1.22% 12/18/19 4, /18/18 8/18/18 5, AC3 HONDA ABS A3 1.16% 6/18/19 5, /15/18 9/15/18 3, WAD9 TOYOTA ABS 2016-C A3 1.14% 8/15/20 3, /15/18 9/15/18 1, EAC3 HYUNDAI ABS 2016-B A3 1.29% 4/15/21 1, /15/18 9/15/ VAD1 FORD ABS 2015-B A3 1.16% 11/15/ /15/18 9/15/18 3, WAD7 NISSAN ABS 2016-C A3 1.18% 1/15/21 3, /15/18 9/15/18 4, LAC6 ALLY ABS A3 1.44% 8/15/20 4, /15/18 9/15/18 8, WAB2 CNH 2017-A A2 1.64% 7/15/20 8, /18/18 9/18/18 4, NAC9 HONDA ABS A3 1.22% 12/18/19 4, /18/18 9/18/18 5, AC3 HONDA ABS A3 1.16% 6/18/19 5, Total PAYDOWNS 110, , SELL 7/2/18 7/3/18 115, HGQ1 TOYOTA MOTOR CREDIT CORP COMM PAPER 0.00% 7/24/18 114, % (20.79) 7/3/18 7/6/18 210, TC4 US TREASURY NOTES 1.00% 6/30/19 207, % (22.63) 7/3/18 7/6/18 500, CGD7 MUFG BANK LTD/NY COMM PAPER 0.00% 7/13/18 499, % (38.89) 7/3/18 7/6/18 125, T67 US TREASURY NOTES 1.25% 10/31/21 119, % (2,167.63) 7/11/18 7/18/18 100, RAX0 CISCO SYSTEMS INC CORP NOTES 2.45% 6/15/20 99, % (747.82) 7/26/18 7/30/18 140, AY0 MICROSOFT CORP (CALLABLE) NOTE 1.85% 2/12/20 139, % (1,850.84) 8/13/18 8/15/18 175, WAH4 AMERICAN HONDA FINANCE GLOBAL NOTES 2.25% 8/15/19 174, % (589.13) 9/4/18 9/6/18 355, A8Y72 FHLB GLOBAL NOTE 0.87% 8/5/19 350, % (4,882.96) 9/4/18 9/7/18 60, G0P49 FNMA NOTES 1.00% 8/28/19 59, % (823.54) 9/5/18 9/6/18 115, HKW3 TOYOTA MOTOR CREDIT CORP COMM PAPER 0.00% 10/30/18 114, % /14/18 9/18/18 45, WAH4 AMERICAN HONDA FINANCE GLOBAL NOTES 2.25% 8/15/19 44, % (167.51) 9/14/18 9/18/18 100, WAH4 AMERICAN HONDA FINANCE GLOBAL NOTES 2.25% 8/15/19 99, % (388.42) 9/18/18 9/21/18 145, G0P49 FNMA NOTES 1.00% 8/28/19 143, % (1,949.69) Page 34 of 61

35 Portfolio Activity Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield at Market Realized G/L (BV) Total SELL 2,185,000 2,166, , Page 35 of 61

36 Portfolio Activity Quarterly Portfolio Transactions Tran. Type Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield Realized G/L (BV) INTEREST 7/1/18 7/1/18 60, AF7 NEW YORK UNIVERSITY CORPORATE NOTE 1.76% 7/1/ INTEREST 7/2/18 7/2/ MONEY0002 MONEY MARKET FUND BUY 7/2/18 7/3/18 115, HKW3 TOYOTA MOTOR CREDIT CORP COMM PAPER 0.00% 10/30/18 (114,114.28) 2.35% SELL 7/2/18 7/3/18 115, HGQ1 TOYOTA MOTOR CREDIT CORP COMM PAPER 0.00% 7/24/18 114, % (20.79) BUY 7/3/18 7/6/18 250, MQV8 MUFG BANK LTD/NY COMM PAPER 0.00% 3/29/19 (245,326.53) 2.58% BUY 7/3/18 7/6/18 585, N30 US TREASURY NOTES 2.12% 12/31/22 (570,372.02) 2.73% SELL 7/3/18 7/6/18 210, TC4 US TREASURY NOTES 1.00% 6/30/19 207, % (22.63) SELL 7/3/18 7/6/18 500, CGD7 MUFG BANK LTD/NY COMM PAPER 0.00% 7/13/18 499, % (38.89) SELL 7/3/18 7/6/18 125, T67 US TREASURY NOTES 1.25% 10/31/21 119, % (2,167.63) INTEREST 7/6/18 7/6/18 115, ETL3 JOHN DEERE CAPITAL CORP NOTES 2.65% 1/6/22 1, INTEREST 7/8/18 7/8/18 400, G4J0 GENERAL ELECTRIC CAP CORP NOTES 5.50% 1/8/20 11, INTEREST 7/8/18 7/8/18 20, ETZ2 JOHN DEERE CAPITAL CORP NOTES 2.35% 1/8/ INTEREST 7/11/18 7/11/18 225, GEU9 BANK OF AMERICA CORP NOTE 3.30% 1/11/23 3, INTEREST 7/11/18 7/11/18 100, P4S2 TOYOTA MOTOR CREDIT CORP NOTES 4.25% 1/11/21 2, BUY 7/11/18 7/18/18 100, JAD6 GMCAR A3 3.02% 5/16/23 (99,976.68) 3.03% SELL 7/11/18 7/18/18 100, RAX0 CISCO SYSTEMS INC CORP NOTES 2.45% 6/15/20 99, % (747.82) INTEREST 7/14/18 7/14/18 200, JX5 BANK OF NOVA SCOTIA HOUSTON CORP BOND 2.15% 7/14/20 2, INTEREST 7/15/18 7/15/18 165, NBD2 COMCAST CORPORATION CORP NOTES 3.12% 7/15/22 2, INTEREST 7/15/18 7/15/18 85, PAD8 HYUNDAI ABS 2017-A A3 1.76% 8/15/ INTEREST 7/15/18 7/15/ CAD3 TOYOTA ABS 2015-B A3 1.27% 5/15/ Page 36 of 61

37 Portfolio Activity Tran. Type Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield Realized G/L (BV) INTEREST 7/15/18 7/15/18 200, JAC1 ALLYA A3 3.00% 1/15/ INTEREST 7/15/18 7/15/18 30, GEX3 BANK OF AMERICA CORP NOTES 2.60% 1/15/ INTEREST 7/15/18 7/15/18 16, QAB2 CARMAX ABS A2 1.21% 11/15/ INTEREST 7/15/18 7/15/18 100, MAD0 TOYOTA ABS 2017-A A3 1.73% 2/15/ INTEREST 7/15/18 7/15/18 50, BAD6 JOHN DEERE ABS 2017-B A3 1.82% 10/15/ INTEREST 7/15/18 7/15/18 50, CAC6 JDOT 2018-A A3 2.66% 4/15/ INTEREST 7/15/18 7/15/18 200, HAC5 ALLY ABS A3 1.78% 8/15/ INTEREST 7/15/18 7/15/18 43, LAC6 ALLY ABS A3 1.44% 8/15/ INTEREST 7/15/18 7/15/18 190, JHG8 AMERICAN EXPRESS ABS A 1.64% 12/15/ INTEREST 7/15/18 7/15/18 110, EAD8 FORD ABS 2017-A A3 1.67% 6/15/ INTEREST 7/15/18 7/15/18 110, DAD9 NAROT 2018-A A3 2.65% 5/15/ INTEREST 7/15/18 7/15/18 170, JHQ6 AMXCA A 2.67% 10/17/ INTEREST 7/15/18 7/15/18 78, WAB2 CNH 2017-A A2 1.64% 7/15/ INTEREST 7/15/18 7/15/18 37, WAD9 TOYOTA ABS 2016-C A3 1.14% 8/15/ INTEREST 7/15/18 7/15/18 120, FAC9 ALLY ABS A3 1.75% 12/15/ INTEREST 7/15/18 7/15/18 140, GAD7 HYUNDAI ABS 2017-B A3 1.77% 1/15/ INTEREST 7/15/18 7/15/18 35, XAC1 JOHN DEERE ABS 2017-A A3 1.78% 4/15/ INTEREST 7/15/18 7/15/18 110, RAD0 TOYOTA ABS 2017-C A3 1.78% 11/15/ INTEREST 7/15/18 7/15/18 7, VAD1 FORD ABS 2015-B A3 1.16% 11/15/ INTEREST 7/15/18 7/15/18 80, EAC3 HYUNDAI ABS 2016-B A3 1.29% 4/15/ INTEREST 7/15/18 7/15/18 47, WAD7 NISSAN ABS 2016-C A3 1.18% 1/15/ PAYDOWNS 7/15/18 7/15/18 3, WAD9 TOYOTA ABS 2016-C A3 1.14% 8/15/20 3, Page 37 of 61

38 Portfolio Activity Tran. Type Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield Realized G/L (BV) PAYDOWNS 7/15/18 7/15/18 3, VAD1 FORD ABS 2015-B A3 1.16% 11/15/19 3, PAYDOWNS 7/15/18 7/15/18 3, WAD7 NISSAN ABS 2016-C A3 1.18% 1/15/21 3, PAYDOWNS 7/15/18 7/15/ CAD3 TOYOTA ABS 2015-B A3 1.27% 5/15/ PAYDOWNS 7/15/18 7/15/18 4, LAC6 ALLY ABS A3 1.44% 8/15/20 4, PAYDOWNS 7/15/18 7/15/18 4, WAB2 CNH 2017-A A2 1.64% 7/15/20 4, PAYDOWNS 7/15/18 7/15/18 9, QAB2 CARMAX ABS A2 1.21% 11/15/19 9, INTEREST 7/18/18 7/18/18 40, NAC9 HONDA ABS A3 1.22% 12/18/ INTEREST 7/18/18 7/18/18 200, THQ6 BANK OF MONTREAL 1.50% 7/18/19 1, INTEREST 7/18/18 7/18/18 66, AC3 HONDA ABS A3 1.16% 6/18/ PAYDOWNS 7/18/18 7/18/18 5, NAC9 HONDA ABS A3 1.22% 12/18/19 5, PAYDOWNS 7/18/18 7/18/18 6, AC3 HONDA ABS A3 1.16% 6/18/19 6, BUY 7/18/18 7/25/18 80, FAD1 CARMAX AUTO OWNER TRUST 3.13% 6/15/23 (79,989.10) 3.36% INTEREST 7/20/18 7/20/18 170, HAB9 IBM CREDIT CORP NOTE 1.80% 1/20/21 1, INTEREST 7/23/18 7/23/18 130, YAN8 MORGAN STANLEY CORP NOTES 3.12% 1/23/23 2, INTEREST 7/24/18 7/24/18 275, HJD3 JPMORGAN CHASE & CO CORP NOTES 4.50% 1/24/22 6, INTEREST 7/25/18 7/25/18 335, QBX5 TORONTO-DOMINION BANK CORP NOTE 2.55% 1/25/21 4, BUY 7/26/18 7/30/18 165, AF0 ANTHEM INC CORP NOTES 2.95% 12/1/22 (161,748.63) 3.57% SELL 7/26/18 7/30/18 140, AY0 MICROSOFT CORP (CALLABLE) NOTE 1.85% 2/12/20 139, % (1,850.84) INTEREST 7/30/18 7/30/18 125, BGF1 WELLS FARGO & CO CORP BONDS 2.15% 1/30/20 1, INTEREST 7/30/18 7/30/18 250, BGF1 WELLS FARGO & CO CORP BONDS 2.15% 1/30/20 2, INTEREST 7/31/18 7/31/18 300, VP2 US TREASURY NOTES 2.00% 7/31/20 3, INTEREST 7/31/18 7/31/18 425, H86 US TREASURY NOTES 1.50% 1/31/22 3, Page 38 of 61

39 CITY OF FT. WALTON BEACH INVESTMENT PORT Portfolio Activity Tran. Type Trade Settle Par ($) CUSIP Security Description Coupon Maturity Transact Amt ($) Yield Realized G/L (BV) INTEREST 7/31/18 7/31/18 650, V72 US TREASURY NOTES 1.87% 1/31/22 6, INTEREST 7/31/18 7/31/18 600, P4 US TREASURY NOTES 1.87% 7/31/22 5, INTEREST 7/31/18 7/31/18 250, VP2 US TREASURY NOTES 2.00% 7/31/20 2, INTEREST 7/31/18 7/31/18 330, WY2 US TREASURY N/B 2.25% 7/31/21 3, INTEREST 7/31/18 7/31/18 225, P4 US TREASURY NOTES 1.87% 7/31/22 2, INTEREST 7/31/18 7/31/18 230, VP2 US TREASURY NOTES 2.00% 7/31/20 2, INTEREST 8/1/18 8/1/ MONEY0002 MONEY MARKET FUND INTEREST 8/1/18 8/1/18 165, AJ5 ANHEUSER-BUSCH INBEV FIN CORP NOTES 2.65% 2/1/21 2, INTEREST 8/1/18 8/1/18 130, XBG2 NYC TRANS FIN AUTH, BY TXBL REV BONDS 2.44% 8/1/22 1, INTEREST 8/5/18 8/5/18 555, A8Y72 FHLB GLOBAL NOTE 0.87% 8/5/19 2, BUY 8/9/18 8/10/18 110, J50 US TREASURY NOTES 1.37% 2/29/20 (108,590.25) 2.62% INTEREST 8/10/18 8/10/18 75, AW2 SHELL INTERNATIONAL FIN GLOBAL NOTES 1.90% 8/10/ MATURITY 8/10/18 8/10/18 75, AW2 SHELL INTERNATIONAL FIN GLOBAL NOTES 1.90% 8/10/18 75, INTEREST 8/11/18 8/11/18 120, ADN32 FHLB NOTES 2.12% 2/11/20 1, INTEREST 8/12/18 8/12/18 210, AY0 MICROSOFT CORP (CALLABLE) NOTE 1.85% 2/12/20 1, INTEREST 8/12/18 8/12/18 170, YD9 FORD MOTOR CREDIT CO LLC CORPORATE 1.89% 8/12/19 1, NOTES INTEREST 8/13/18 8/13/18 330, QCX4 BP CAPITAL MARKETS PLC BONDS 2.31% 2/13/20 3, BUY 8/13/18 8/15/18 170, MFE9 MCDONALD'S CORP 3.35% 4/1/23 (171,774.00) 3.43% SELL 8/13/18 8/15/18 175, WAH4 AMERICAN HONDA FINANCE GLOBAL NOTES 2.25% 8/15/19 174, % (589.13) INTEREST 8/15/18 8/15/18 80, FAD1 CARMAX AUTO OWNER TRUST 3.13% 6/15/ INTEREST 8/15/18 8/15/18 200, JAC1 ALLYA A3 3.00% 1/15/ INTEREST 8/15/18 8/15/18 190, JHG8 AMERICAN EXPRESS ABS A 1.64% 12/15/ Page 39 of 61