Brevard County School District, Florida

Transcription

1 Brevard County School District, Florida Investment Performance Review Quarter Ended September 30, 2012 Investment Advisors Steven Alexander, CTP, CGFO, Managing Director D. Scott Stitcher, CFA, Senior Managing Consultant Gregg Manjerovic, CFA, Portfolio Manager Rebecca Geyer, CTP, Senior Analyst 300 S. Orange Avenue, Suite 1170 Orlando, FL (407) (407) fax PFM Asset Management LLC One Keystone Plaza, Suite 300 North Front & Market Streets Harrisburg, PA fax

2 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. Summary of Portfolio Statistics Capital Short Term Fund Portfolio Performance Operating Short Term Fund Portfolio Performance Self Insurance Fund Portfolio Performance Health Insurance Fund Portfolio Performance Asset Allocation Chart September 30, 2012 PFM Month-End Statement (PFM Month End Statement is available at This material is based on information obtained from sources generally believed to be reliable and available to the public, however PFM Asset Management LLC cannot guarantee its accuracy, completeness or suitability. This material is for general information purposes only and is not intended to provide specific advice or recommendation. The information contained in this report is not an offer to purchase or sell any securities. Table of Contents Section i

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4 Brevard County School District, Florida Investment Report Quarter Ended September 30, 2012 Summary During the third quarter, further easing measures by central banks around the world spurred investors demand for riskier assets, resulting in strong performance for corporate bonds, mortgagebacked securities, and equities. While the U.S. housing recovery seemed to be building momentum, manufacturing activity and job growth have continued to show persistent weakness. The domestic economy will likely continue its sluggish recovery, despite uncertainties about the U.S. election and the looming fiscal cliff. Economic Snapshot The unemployment rate fell to 7.8% in September. The economy added 437,000 jobs in the third quarter, up from 200,000 in the prior period. The S&P Case Shiller Index of home prices for July marked a yearover year increase that was more than consensus predicted, reflecting a continued housing recovery. The Institute for Supply Management s manufacturing survey fell slightly below 50 for June, July, and August, indicating a weakening of the important manufacturing base, but rose to 51.5 in September, suggesting slow growth (A measure above 50 is the dividing point between growth and expansion.) The Consumer Price Index increased by 0.6% in August on a seasonally adjusted basis, its largest gain since June 2009; this was primarily due to increases in food and energy prices. Most economists expect U.S. gross domestic product (GDP) to grow by only 1.8% to 2% for the year. Interest Rates Interest rates ended the quarter modestly lower, while yield spreads on Federal Agencies, corporates, and mortgage backed securities (MBS) tightened significantly. Long term Treasury yields experienced significant intra quarter volatility, while two year Treasury yields remained in a tight range of 0.20% to 0.30% for the quarter. The Federal Reserve announced that it will keep short term rates at extremely low levels through mid It also initiated a third round of Quantitative Easing (QE3), a new program to purchase $40 billion in agency MBS each month until economic conditions improve. Sector Performance Accommodative measures by global central banks gave investors confidence in the prospects for economic growth. The resulting shift from Treasuries and Agencies to high quality corporate bonds helped corporate bonds to outperform. Bonds issued by financial firms did particularly well, outpacing those in the industrial and utility sectors. Supported by the new QE3 purchase program, Agency MBS performed well, but returns were tempered as a result of increased pre payments, which shortened their average lives. While the Municipal sector lagged the corporate sector, it generated returns in excess of Treasuries and Agencies, and offered the additional value of diversification. Supply reductions should keep Agency spreads narrow, as Fannie Mae and Freddie Mac reduce their retained portfolios by 15% per year, as mandated by the Treasury Department. The views expressed within this material constitute the perspective and judgment of PFM Asset Management LLC (PFMAM) 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, PFMAM 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 Section A-1

5 Brevard County School District, Florida Investment Report Quarter Ended September 30, 2012 Economic Snapshot Labor Market Latest Jun 2012 Sep 2011 Unemployment Rate Sep 7.8% 8.2% 9.0% Change In Non-Farm Payrolls Sep 114,000 45, ,000 Average Hourly Earnings (YoY) Sep 1.8% 2.0% 2.0% Personal Income (YoY) Aug 3.5% 3.4% 4.6% Initial Jobless Claims Oct , , ,000 Unemployment Rate (left) vs. Change in Nonfarm Payrolls (right) 11.0% 600K 10.0% 400K 9.0% 200K 8.0% 0 7.0% -200K 6.0% -400K 9/30/09 3/31/10 9/30/10 4/30/11 10/31/11 4/30/12 Growth Real GDP (QoQ SAAR) Q2 1.3% 2.0% 1.3% GDP Personal Consumption (QoQ SAAR) Q2 1.5% 2.4% 1.7% Retail Sales (YoY) Sep 5.4% 3.5% 8.3% ISM Manufacturing Survey Sep Existing Home Sales (millions) Sep Real GDP (QoQ) 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% -1.0% 6/30/09 12/31/09 6/30/10 12/31/10 6/30/11 12/31/11 6/30/12 Inflation / Prices Personal Consumption Expenditures (YoY) Aug % 1.5% 2.9% Consumer Price Index (YoY) Sep % 1.7% 3.9% Consumer Price Index Core (YoY) Sep % 0.7% 7.0% Crude Oil Futures (WTI, per barrel) Sep 30 $92.19 $84.96 $79.20 Gold Futures (oz) Sep 30 $1,771 $1,604 $1,620 Consumer Price Index 5.0% 4.0% 3.0% 2.0% 1.0% 0.0% -1.0% CPI (YoY) CPI Core (YoY) -2.0% 8/31/09 2/28/10 8/31/10 3/31/11 9/30/11 3/31/12 1. Data as of First Quarter 2012 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 Section A-2

6 Brevard County School District, Florida Investment Report Quarter Ended September 30, 2012 Interest Rate Overview 3.0% U.S. Treasury Note Yields 4% U.S. Treasury Note Yield Curve 2.5% 3% Yield 2.0% 1.5% 1.0% Yield 2% 1% 0.5% 0.0% 9/30/11 11/30/11 1/31/12 3/31/12 5/31/12 7/31/12 9/30/12 0% 361 my 2 y 3 y 5 y 7 y 10 y Maturity 30 y 2-Year 5-Year 10-Year September 30, 2012 June 30, 2012 September 30, 2011 Maturity 9/30/12 6/30/12 U.S. Treasury Note Yields Change over Quarter 9/30/11 Change over Year 3-month 0.12% 0.11% 0.00% 0.02% 0.09% 4% 3% Yield Curves as of 9/30/12 1-year 0.16% 0.26% (0.10%) 0.17% (0.02%) Yield 2% 2-year 0.25% 0.32% (0.08%) 0.28% (0.04%) 5-year 0.63% 0.75% (0.11%) 0.96% (0.33%) 10-year 1.70% 1.73% (0.04%) 2.01% (0.31%) 30-year 2.82% 2.78% 0.04% 2.95% (0.13%) 1% 0% my y y y y y Maturity y y U.S. Treasury Federal Agency Industrial Corporates, A Rated Source: Bloomberg PFM Asset Management LLC Section A-3

7 Brevard County School District, Florida Investment Report Quarter Ended September 30, 2012 B of A Merrill Lynch Index Returns As of 9/30/2012 Periods Ended 9/30/2012 Duration Yield 3 Month 1 Year 3 Years 1-3 Year Indices U.S. Treasury % 0.26% 0.56% 1.43% Federal Agency % 0.25% 0.92% 1.58% U.S. Corporates, A-AAA Rated % 1.50% 4.10% 3.63% Agency MBS (0 to 3 years) % 0.91% 2.29% 3.78% Municipals % 0.33% 1.33% 1.75% 1-5 Year Indices U.S. Treasury % 0.47% 1.29% 2.58% Federal Agency % 0.46% 1.53% 2.29% U.S. Corporates, A-AAA Rated % 2.18% 5.92% 4.98% Agency MBS (0 to 5 years) % 1.08% 3.63% 4.73% Municipals % 0.62% 2.23% 2.65% Master Indices U.S. Treasury % 0.58% 3.19% 5.46% Federal Agency % 0.84% 2.83% 3.95% U.S. Corporates, A-AAA Rated % 3.53% 9.97% 8.26% Agency MBS % 1.13% 3.74% 5.06% Municipals % 2.51% 8.96% 6.20% Returns for periods greater than one year are annualized 3 Month return is periodic Source: Bloomberg PFM Asset Management LLC Section A-4

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9 Executive Summary PORTFOLIO RECAP The District s Capital Short Term, Operating Short Term, Self Insurance and Health Insurance portfolios are of high credit quality and invested in U.S. Treasury, Federal Agency, municipal and commercial paper securities. PFM continued to actively manage the Self and Health Insurance portfolios during the third quarter and found value in the market, taking advantage of market inefficiencies or changes in economic outlook. As a result the portfolios realized over $8,000 in gains on sales during the quarter. PFM is continually in the market monitoring for opportunities to add value to the Portfolio. The Self Insurance portfolio s quarterly total return performance was 0.27%, performing in-line with the benchmark s performance of 0.26%. Over the past year, the Portfolio earned 0.94%, versus 0.56% for the benchmark. The Health Insurance portfolio s quarterly total return performance of 0.24% underperformed the benchmark performance of 0.26% by 0.02%. This slight underperformance is due to the Portfolio s effective duration being short of the benchmark s effective duration for the majority of the quarter. We allowed the effective duration to shorten to 1.76 years by the end of August; however on September 10 th we did an extension trade to bring the effective duration in-line with the benchmark s effective duration. The benchmark picked up slightly more value being out farther. We will continue to monitor the market for opportunities to actively manage the Portfolio s duration as we find opportunity. Our main goal is to preserve the principal of the Portfolio. The Capital and Operating Short Term portfolios continue to provide the District with favorable yield relative to the benchmark. Over the quarter the portfolios had a weighted average Yield to Maturity at Cost of 0.22%, exceeding the average Yield to Maturity of its benchmark the Merrill Lynch 3 Month U.S. Treasury Bill Index by 15 basis points (0.15%). Bond yields remained highly correlated with headlines out of Europe. Weakening economic conditions in the Eurozone triggered a flight-to-quality that drove intermediate-term Treasury yields to new all-time record lows in July. The development of an European Central Bank ( ECB ) sovereign debt purchase program reversed the trend, causing yields to rebound sharply. Despite several periods of sharp temporary yield movements, Treasury yields ended the quarter only modestly lower in most maturities. Agency notes received a boost during the quarter when the Treasury Department accelerated the wind down of Fannie Mae s and Freddie Mac s investment portfolio holdings, an action which will shrink Agency bond and discount note supply by $1 trillion over the next few years. As spreads tightened, we reduced the Self Insurance Portfolio s allocation to Agencies in favor of more U.S. Treasuries. With the ECB s sovereign debt support program in place, we are turning our attention away from Europe and focusing on domestic issues, such as U.S. economic conditions, the upcoming election and the looming fiscal cliff, and other global issues, like the troubling slowdown in China and turmoil in the Middle East. These conditions create uncertainties that are hard to handicap, and virtually impossible to predict with any degree of certainty. Since all of these factors have more downside risk to economic growth than upside potential, and thus a greater chance of keeping yields low in Q4, we plan to keep the Self and Health Insurance portfolios durations generally in line with benchmark s duration. With central banks around the globe pumping an unprecedented amount of liquidity into the market and embarking on new large scale bond purchase programs, we are faced with a scenario of more dollars chasing fewer assets. As a result, our outlook for most spread sectors remains positive. We anticipate relatively low volatility in yields and expect income to be a major component of total returns in the upcoming quarter. As always, we strive to maintain safety of principal and appropriate liquidity, while seeking opportunities to add value through active management. Our strategy will remain flexible and may change in response to changes in interest rates, economic data, market outlook or specific opportunities that arise. PFM Asset Management LLC Section B - 1

10 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 September 30, 2012 June 30, 2012 September 30, 2012 June 30, 2012 September 30, 2012 Capital Short Term Fund $32,594, $47,585, $32,596, $47,587, Operating Short Term Fund 41,980, ,557, ,010, ,578, Total $74,575, $123,143, $74,607, $123,166, 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 September 30, 2012 June 30, 2012 September 30, 2012 June 30, 2012 June 30, 2012 Capital Short Term Fund 0.21% 0.24% 0.18% 0.22% 0.32 Operating Short Term Fund 0.23% 0.24% 0.18% 0.18% 0.47 Average Weighted Yield 0.22% 0.24% 0.18% 0.20% Benchmarks September 30, 2012 June 30, 2012 Merrill Lynch 3 Month U.S. Treasury Bill Index 5, % 0.06% 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. Includes money market fund/cash balances held in custodian account. 4. Past performance is not indicative of future results. 5. Average quarterly yield, 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. PFM Asset Management LLC Section B - 2

11 Capital Short Term Fund Composition and Credit Quality Characteristics Security Type 1 September 30, 2012 % of Portfolio June 30, 2012 % of Portfolio U.S. Treasuries $19,800, % $20,689, % Federal Agencies 9,795, % 9,791, % Commercial Paper 1,999, % 17,094, % Certificates of Deposit % % Bankers Acceptances % % Repurchase Agreements % % Municipal Obligations % % Corporate Notes/Bonds % % Mortgage Backed % % Money Market Fund/Cash 1,000, % 11, % Totals $32,596, % 100.0% $47,587, % Money Market Fund/Cash 3.07% Portfolio Composition as of 09/30/12 U.S. Treasuries 60.74% Commercial Paper 6.14% 3. Includes money market fund/cash balances held in custodian account. AA+ 94% Credit Quality Distribution² as of 09/30/12 Federal Agency Obligations 30.05% A-1+ (Shortterm) 6% 1. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. Credit rating of securities held in portfolio, exclusive of money market fund/lgip. Standard & Poor's is the source of the credit ratings. PFM Asset Management LLC Section C - 1

12 Capital Short Term Fund Maturity Distribution Maturity Distribution 1 September 30, 2012 June 30, 2012 Overnight (Money Market Fund) $1,000, $11, Under 6 Months 31,595, ,575, Months Years Years Years Years Years and Over Totals $32,596, $47,587, % Portfolio Maturity Distribution¹ Percentage of Total Portfolio 100% 97% 100% 0% September 30, 2012 June 30, % 60% 40% 3. Includes money market fund/cash balances held in custodian account. 20% 3% 0% 0.02% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 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 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. PFM Asset Management LLC Section C - 2

13 Operating Short Term Fund Composition and Credit Quality Characteristics Security Type 1 September 30, 2012 % of Portfolio June 30, 2012 % of Portfolio U.S. Treasuries $16,105, % $34,819, % Federal Agencies 16,769, % 16,752, % Commercial Paper % 23,995, % Commercial Paper TLGP - FDIC Insured % % Certificates of Deposit % % Bankers Acceptances % % Repurchase Agreements % % Municipal Obligations % % Corporate Notes/Bonds % % Mortgage Backed % % Money Market Fund/Cash 9,135, % 10, % Totals $42,010, % $75,578, % Federal Agency Obligations 40% Portfolio Composition as of 09/30/12 Money Market Fund/Cash 22% Credit Quality Distribution² as of 09/30/12 AA+ 100% U.S. Treasuries 38% 1. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. Credit rating of securities held in portfolio, exclusive of money market fund/lgip. Standard & Poor's is the source of the credit ratings. PFM Asset Management LLC Section D - 1

14 Operating Short Term Fund Maturity Distribution Maturity Distribution 1 September 30, 2012 June 30, 2012 Overnight (Money Market Fund) $9,135, $10, Under 6 Months 15,452, ,618, Months 14,910, ,298, Years 2,511, ,649, Years Years Years Years and Over Totals $42,010, $75,578, % 56% Portfolio Maturity Distribution¹ Percentage of Total Portfolio 50% 40% 30% 20% 10% 0% September 30, 2012 June 30, % 37% 35% 22% 6% 4% 0.01% 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 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. PFM Asset Management LLC Section D - 2

15 Self Insurance Fund Portfolio Performance Total Portfolio Value 1,2 September 30, 2012 June 30, 2012 Market Value $14,615, $14,576, Amortized Cost $14,547, $14,519, Quarterly Return Calendar Year Last Last Since Inception Total Return 1,2,3,4,5,6,7,8 September 30, 2012 to Date 12 Months 24 Months September 30, 2001 Self Insurance Fund 0.27% 0.72% 0.94% 1.07% 3.22% Merrill Lynch 1-3 Year U.S. Treasury Note Index 0.26% 0.37% 0.56% 0.88% 3.06% Effective Duration (Years) 4 September 30, 2012 June 30, 2012 Yields September 30, 2012 June 30, 2012 Self Insurance Fund Yield at Market 0.28% 0.35% Merrill Lynch 1-3 Year U.S. Treasury Note Index Yield on Cost 0.57% 0.59% Portfolio Duration % of Benchmark Duration 100% 98% 1.00% Quarter Total Return Comparison Quarter Ended 09/30/ % Since Inception Total Return Comparison Period Ended 09/30/ % 3.75% Return 0.50% 0.25% 0.00% Self Insurance Fund 0.27% 0.26% ML 1-3 Year U.S. Treasury Note Index Return 3.50% 3.25% 3.00% Self Insurance Fund 3.22% ML 1-3 Year U.S. Treasury Note Index 3.06% -0.25% Effective Duration (Years) 2.75% Effective Duration (Years) 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 an unannualized basis. 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. PFM Asset Management LLC Section E - 1

16 Self Insurance Fund Portfolio Composition and Credit Quality Characteristics Security Type 1 September 30, 2012 % of Portfolio June 30, 2012 % of Portfolio U.S. Treasuries $7,101, % $6,285, % Federal Agencies 7,080, % 7,881, % Commercial Paper % % Certificates of Deposit % % Bankers Acceptances % % Repurchase Agreements % % Municipal Obligations 398, % 397, % Corporate Notes/Bonds % % Mortgage Backed % % Money Market Fund/Cash 36, % 11, % Totals $14,615, % $14,576, % Federal Agency Obligations 48% Portfolio Composition as of 09/30/12 Municipal Obligations 3% Money Market Fund/Cash 0.2% AA+ 97% Credit Quality Distribution² as of 09/30/12 U.S. Treasuries 49% AA 3% 1. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. Credit rating of securities held in portfolio, exclusive of money market fund/lgip. Standard & Poor's is the source of the credit ratings. PFM Asset Management LLC Section E - 2

17 Self Insurance Fund Portfolio Maturity Distribution Maturity Distribution 1 September 30, 2012 June 30, 2012 Overnight (Money Market Fund) $36, $11, Under 6 Months Months Years 8,422, ,187, Years 4,677, ,376, Years 1,479, Years Years and Over Totals $14,615, $14,576, Percentage of Total Portfolio 70% 60% 50% 40% 30% 20% 10% 0% 0.2% 0.1% 0.0% 0.0% 0.0% 0.0% Portfolio Maturity Distribution¹ 57.6% 56.2% 32.0% 43.7% 10.1% September 30, 2012 June 30, % 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 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. PFM Asset Management LLC Section E - 3

18 Self Insurance Fund Maturity Distribution versus the Benchmark¹ 1. Due to the nature of the security, Mortgage-Backed Securities are represented based on their average life maturity rather than their final maturity. PFM Asset Management LLC Section E - 4

19 Health Insurance Fund Portfolio Performance Total Portfolio Value 1,2 September 30, 2012 June 30, 2012 Market Value $9,916, $9,893, Amortized Cost $9,875, $9,860, Quarterly Return Caldendar Year Last Last Since Inception Total Return 1,2,3,4,5,6,7,8 September 30, 2012 to Date 12 Months 24 Months September 30, 2007 Health Insurance Fund 0.24% 0.64% 0.87% 1.06% 3.05% Merrill Lynch 1-3 Year U.S. Treasury Note Index 0.26% 0.37% 0.56% 0.88% 2.78% Effective Duration (Years) 4 September 30, 2012 June 30, 2012 Yields September 30, 2012 June 30, 2012 Health Insurance Fund Yield at Market 0.29% 0.36% Merrill Lynch 1-3 Year U.S. Treasury Note Index Yield on Cost 0.55% 0.60% Portfolio Duration % of Benchmark Duration 100% 98% 1.00% Quarter Total Return Comparison Quarter Ended 09/30/ % Since Inception Total Return Comparison Period Ended 09/30/ % 3.50% Return 0.50% 0.25% 0.00% ML 1-3 Year U.S. Treasury Note 0.24% 0.26% Health Insurance Fund Return 3.25% 3.00% 2.75% Health Insurance Fund 3.05% ML 1-3 Year U.S. Treasury Note 2.78% -0.25% Effective Duration (Years) 2.50% Effective Duration (Years) 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 an unannualized basis. 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. PFM Asset Management LLC Section F - 1

20 Health Insurance Fund Portfolio Composition and Credit Quality Characteristics Security Type 1 September 30, 2012 % of Portfolio June 30, 2012 % of Portfolio U.S. Treasuries $5,112, % $3,721, % Federal Agencies 4,461, % 4,156, % Commercial Paper % % Certificates of Deposit % % Bankers Acceptances % % Repurchase Agreements % % Municipal Obligations 301, % 300, % Corporate Notes/Bonds % % Mortgage Backed % % Money Market Fund/Cash 41, % 1,714, % Totals $9,916, % $9,893, % U.S. Treasuries 52% Portfolio Composition as of 09/30/12 Credit Quality Distribution² as of 09/30/12 Money Market Fund/Cash 0.42% AA 3% AA+ 97% Municipal Obligations 3% Federal Agency Obligations 45% 1. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. Credit rating of securities held in portfolio, exclusive of money market fund/lgip. Standard & Poor's is the source of the credit ratings. PFM Asset Management LLC Section F - 2

21 Health Insurance Fund Portfolio Maturity Distribution Maturity Distribution 1 September 30, 2012 June 30, 2012 Overnight (Money Market Fund) $41, $1,714, Under 6 Months Months Years 5,218, ,835, Years 3,983, ,344, Years 673, Years Years and Over Totals $9,916, $9,893, Percentage of Total Portfolio 70% 60% 50% 40% 30% 20% 10% 0% Portfolio Maturity Distribution¹ September 30, 2012 June 30, % 43.9% 38.8% 40.2% 17.3% 6.8% 0.4% 0.0% 0.0% 0.0% 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 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. PFM Asset Management LLC Section F - 3

22 Health Insurance Fund Maturity Distribution versus the Benchmark¹ 1. Due to the nature of the security, Mortgage-Backed Securities are represented based on their average life maturity rather than their final maturity. PFM Asset Management LLC Section F - 4

23 Brevard County School District, Florida Asset Allocation as of September 30, 2012* Security Type 3 September 30, 2012 Notes Permitted by Policy Florida Prime (SBA) 0.00% 100% United States Treasury Securities 49.30% 100% United States Government Agency Securities 0.00% 50% Federal Instrumentalities 38.98% 1 80% Florida Education Investment Trust Fund 8.33% Asset Allocation as of September 30, 2012 United States Treasury Securities 49.30% Mortgage-Backed Securities 0.00% 1 25% Certificates of Deposit 0.00% 25% Repurchase Agreements 0.00% 50% Commercial Paper 2.05% 35% Corporate Notes 0.00% 0% Bankers' Acceptances 0.00% 35% State and/or Local Government Debt 0.71% 20% Money Market Mutual Funds 0.62% 2 50% Money Market Mutual Funds 0.62% State and/or Local Government Debt 0.71% Commercial Paper 2.05% Federal Instrumentalities 38.98% Florida Education Investment Trust Fund 8.33% 2 25% Individual Issuer Breakdown September 30, 2012 Notes Permitted by Policy Individual Issuer Breakdown September 30, 2012 Notes Permitted by Policy Government National Mortgage Association (GNMA) 0.00% 25% Toyota CP 2.05% 10% US Export-Import Bank (Ex-Im) 0.00% 25% New York City Municipal Bond 0.71% 20% Farmers Home Administration (FMHA) 0.00% 25% Money Market Fund - STIF 0.62% 2 25% Federal Financing Bank 0.00% 25% Federal Housing Administration (FHA) 0.00% 25% General Services Administration 0.00% 25% New Communities Act Debentures 0.00% 25% US Public Housing Notes & Bonds 0.00% 25% US Dept. of Housing and Urban Development 0.00% 25% Federal Farm Credit Bank (FFCB) 0.00% 40% Federal Home Loan Bank (FHLB) 2.21% 40% Federal National Mortgage Association (FNMA) 2.53% 40% Federal Home Loan Mortgage Corporation (FHLMC) 34.24% 40% 1. The combined total of Federal Instrumentalities and Mortgage Backed Securities can not be more than 80%. The combined total as of September 30, 2012 is 38.98%. 2. The District manages the Money Market Funds. 3. End of month trade-date amortized cost of portfolio holdings, including accrued interest. *No Bond Proceeds. PFM Asset Management LLC Section G - 1

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25 Insert Month End Statement here to complete the report. Statements are available online at login and click on the link to Monthly Statements on the left side of the screen.