Palm Beach County School District

Transcription

1 Palm Beach County School District Investment Performance Review Quarter Ended December 31, 2016 Investment Advisors Steven Alexander, CTP, CGFO, CPPT, Managing Director James Sims, CFA, Senior Portfolio Manager, Director D. Scott Stitcher, CFA, Director Richard Pengelly, CFA, CTP, Director Rebecca Geyer, CTP, Senior Analyst Cody Raulerson, Analyst PFM Asset Management LLC One Keystone Plaza, Suite 300 North Front & Market Streets Harrisburg, PA fax 300 S. Orange Avenue, Suite 1170 Orlando, FL (407) (407) fax 2016 PFM Asset Management LLC Page 1 of 45

2 TABLE OF CONTENTS Tab I Market Update Tab II Executive Summary Investment Portfolio and Trade Analysis Short Term Portfolio Tab III Asset Allocation Chart Important Disclosures 2016 PFM Asset Management LLC Page 2 of 45

3 Tab I 2016 PFM Asset Management LLC Page 3 of 45

4 QUARTERLY MARKET SUMMARY Fixed Income Management Summary Bond yields and equity prices soared following the U.S. presidential election in November, as President-elect Donald Trump s proposed policies and his intentions to ramp up government spending boosted inflation expectations and growth forecasts. Major stock indexes including the S&P 500, NASDAQ, and Dow Jones Industrial Average closed at record highs during the quarter. On December 14, the Federal Open Market Committee (FOMC) raised the federal funds target range by 0.25% to a range of 0.50% to 0.75%. The unanimous decision, in line with market expectations, was the first rate hike since December The FOMC also released updated economic forecasts and a new dot plot, forecasting three rate hikes in Central banks outside the U.S. continued to pursue accommodative monetary policy amid slow growth and low inflation. The European Central Bank (ECB) kept its benchmark interest rate at 0% and continued its asset purchase program, as did the Bank of England (BOE). At the same time, the Bank of Japan (BOJ) continued its quantitative easing programs aimed at keeping the 10-year Japanese government bond yield near 0% and expanding money supply until inflation remains above the 2% target. The Organization of the Petroleum Exporting Countries (OPEC) agreed in late November to a combined reduction in daily production. The agreement caused the price of oil to increase more than 10% during the fourth quarter. Economic Snapshot The U.S. economy gained momentum during the latter half of the year. The labor market continued to show strength, booking a solid quarter of job gains. The housing market also strengthened in the fourth quarter as Americans continued to take advantage of historically low interest rates, driving home sales to decade-high levels. U.S. gross domestic product (GDP) grew at a 3.5% rate in the third quarter, rebounding from modest growth during the first half of (Fourth quarter GDP data is not yet available.) Consumer spending and exports contributed to the pick-up in expansion, while private inventories grew for the first time since the start of The unemployment rate fell to 4.6% during the fourth quarter a postrecession low. In another positive sign, job openings remained near record highs, while initial unemployment filings remained near record lows. December s addition of 156,000 jobs finished a year of solid job growth performance in which the U.S. added 2.2 million net new jobs. For the year, wages rose 2.9%, the fastest pace since Americans continued to feel more confident about the economy as the Conference Board s December reading climbed to a 15-year high, and sentiment strengthened further as the University of Michigan s Consumer Sentiment Index reached its highest level since January Interest Rates Interest rates surged in the fourth quarter, ending the year with net increases and a steeper yield curve. The two-year Treasury yield increased 43 basis points (bps) for the quarter, while the yield on the 10-year Treasury rose 85 bps a considerable rebound from July s record-low yield. In the money market space, shorter-term Treasury yields rose alongside expectations of a Federal Reserve rate hike. Money market reforms took effect in October, significantly altering the supply-demand dynamic in the money markets. Yields on short-term credit instruments, such as commercial paper and negotiable bank certificates of deposit (CDs), continued to remain elevated and offer significant incremental yield. Sector Performance U.S. Treasury indexes posted losses for the fourth quarter, declining for the second straight quarter as yields rose. For the year, returns were positive but muted. Shorter maturity issues outperformed longer maturities as the yield curve steepened. Federal agency yield spreads drifted tighter during the quarter as supply diminished, leading to the sector s modest outperformance relative to comparable-maturity Treasuries. Corporate yield spreads remained mostly unchanged until the November 8 presidential election, after which they tightened, reaching new lows for the year. Corporates outperformed Treasuries every quarter in 2016, resulting in the sector s best year since Mortgage-backed securities (MBS) generally underperformed Treasuries amid increased extension risk due to the rise in interest rates. Asset-backed securities (ABS) outperformed Treasuries due to declining prepayment risk PFM Asset Management LLC Page 4 of 45

5 QUARTERLY MARKET SUMMARY Fixed Income Management Economic Snapshot Labor Market Latest Sep 2016 Dec 2015 Unemployment Rate Nov'16 4.6% 5.0% 5.0% Change In Non-Farm Payrolls Nov'16 178, , ,000 Average Hourly Earnings (YoY) Nov'16 2.5% 2.7% 2.6% Personal Income (YoY) Nov'16 3.5% 3.6% 4.0% Initial Jobless Claims (week) 12/24/16 265, , ,000 7% 6% 5% Unemployment Rate (left) vs. Change in Nonfarm Payrolls (right) Change In Non-Farm Payrolls Unemployment Rate 4% 12/31/13 6/30/14 12/31/14 6/30/15 12/31/15 6/30/16 400K 350K 300K 250K 200K 150K 100K 50K 0 Growth Real GDP (QoQ SAAR) 2016Q3 3.5% 1.4% 2.0% GDP Personal Consumption (QoQ SAAR) 2016Q3 3.0% 4.3% 2.7% Retail Sales (YoY) Nov'16 3.8% 3.3% 2.8% % 4% 2% Real GDP (QoQ) ISM Manufacturing Survey (month) Nov' Existing Home Sales SAAR (month) Nov' mil mil mil. 0% -2% 9/30/13 3/31/14 9/30/14 3/31/15 9/30/15 3/31/16 9/30/16 Inflation / Prices Personal Consumption Expenditures (YoY) Nov'16 1.4% 1.2% 0.6% Consumer Price Index (YoY) Nov'16 1.7% 1.5% 0.7% Consumer Price Index Core (YoY) Nov'16 2.1% 2.2% 2.1% 3% 2% 1% Consumer Price Index CPI (YoY) Core CPI (YoY) Crude Oil Futures (WTI, per barrel) Dec 31 $53.72 $48.24 $37.04 Gold Futures (oz.) Dec 31 $1,152 $1,313 $1,060 0% -1% 12/31/13 6/30/14 12/31/14 6/30/15 12/31/15 6/30/16 1. Data as of Second Quarter Data as of Third Quarter 2015 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 45

6 QUARTERLY MARKET SUMMARY Fixed Income Management Interest Rate Overview U.S. Treasury Note Yields U.S. Treasury Yield Curve Yield 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% 9/30/16 10/31/16 11/30/16 12/31/16 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 December 31, 2016 September 30, 2016 December 31, yr U.S. Treasury Yields Yield Curves as of 12/31/16 Maturity 12/31/16 9/30/16 Change over Quarter 12/31/15 Change over Year 3-month 0.50% 0.28% 0.22% 0.17% 0.33% 1-year 0.81% 0.59% 0.22% 0.60% 0.21% 2-year 1.19% 0.76% 0.43% 1.05% 0.14% 5-year 1.93% 1.15% 0.78% 1.76% 0.17% 10-year 2.45% 1.60% 0.85% 2.27% 0.18% 30-year 3.07% 2.32% 0.75% 3.02% 0.05% Yield 5% 4% 3% 2% 1% 0% 3-yr 2-yr 1-yr 5-yr 7-yr 10-yr Maturity U.S. Treasury Federal Agency Industrial Corporates, A Rated 25-yr 30-yr Source: Bloomberg PFM Asset Management LLC Page 6 of 45

7 QUARTERLY MARKET SUMMARY Fixed Income Management BofA Merrill Lynch Index Returns 1-3 Year Indices As of 12/31/16 Returns for Periods ended 12/31/16 Duration Yield 3 Month 1 Year 3 Years U.S. Treasury % (0.43%) 0.89% 0.68% Federal Agency % (0.34%) 0.96% 0.78% U.S. Corporates, A-AAA rated % (0.28%) 1.81% 1.35% Agency MBS (0 to 3 years) % (0.91%) 0.52% 1.09% Taxable Municipals % (0.40%) 2.47% 2.34% 1-5 Year Indices U.S. Treasury % (1.09%) 1.09% 1.10% Federal Agency % (0.72%) 1.12% 1.13% U.S. Corporates, A-AAA rated % (0.95%) 2.19% 1.94% Agency MBS (0 to 5 years) % (1.81%) 1.26% 2.12% Taxable Municipals % (0.80%) 3.15% 3.06% Master Indices (Maturities 1 Year or Greater) U.S. Treasury % (3.96%) 1.14% 2.63% Federal Agency % (2.08%) 1.50% 2.17% U.S. Corporates, A-AAA rated % (3.15%) 4.23% 4.04% Agency MBS (0 to 30 years) % (1.98%) 1.67% 3.04% Taxable Municipals % (1.77%) 3.64% 4.19% Returns for periods greater than one year are annualized. Source: BofA Merrill Lynch Indices PFM Asset Management LLC Page 7 of 45

8 QUARTERLY MARKET SUMMARY Fixed Income Management Disclosures 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. PFMAM is registered with the Securities and Exchange Commission under the Investment Advisers Act of PFMAM s clients are state and local governments, non-profit corporations, pension funds, and similar institutional investors PFM Asset Management LLC. Further distribution is not permitted without prior written consent PFM Asset Management LLC Page 8 of 45

9 Tab II 2016 PFM Asset Management LLC Page 9 of 45

10 EXECUTIVE SUMMARY The Investment Portfolio is of high credit quality and invested in U.S. Treasury, Federal Agency, municipal obligations, corporate notes and commercial paper securities. The Investment Portfolio s quarterly total return performance of -0.33% outperformed the benchmark performance of -0.43% by 0.10%. For the last 12 months the Portfolio returned 1.05% versus the benchmark s return of 0.89%. PFM continued to actively manage the Investment Portfolio during the fourth quarter and found value in the market, taking advantage of market inefficiencies or changes in economic outlook. As a result, the Portfolio realized $7, in gains on sales (based on amortized cost) during the quarter. PFM is continually in the market monitoring for opportunities to add value to the Portfolio. Yields surged in the post-election period as expectations for U.S. economic growth and inflationary expectations rose, and in anticipation of a December FOMC rate hike. As 2017 starts with the highest yields in several years,we plan to initially position the Investment Portfolio duration to be aligned with the benchmark. We will continue to monitor incoming economic data, Fed policy, and market relationships, adjusting portfolio positioning as needed. This will include monitoring and assessing the policies of the incoming Trump administration for their impact on economic and market conditions PFM Asset Management LLC Page 10 of 45

11 PALM BEACH CNTY FL S/D Credit Quality (S&P Ratings) Sector Allocation Portfolio Snapshot Portfolio Statistics As of December 31, 2016 A-1 3.9% AA 2.9% AA- 7.5% U.S. Treasury 38.7% Commercial Paper 3.9% Corporate 10.9% Par Value: 47,995,000 Total Market Value: 47,977,439 Security Market Value: 47,865,427 Accrued Interest: 112,012 Cash: - PFM - AA+ 85.7% Municipal 2.1% Federal Agency/GSE 44.4% Amortized Cost: Yield at Market: Yield at Cost: Effective Duration: Duration to Worst: 48,018, % 1.10% 1.78 Years 1.78 Years 60% 50% 51.7% Maturity Distribution Average Maturity: Average Credit: ** 1.82 Years AA 40% 30% 35.5% 20% 10% 0% 12.8% 0.0% 0.0% 0.0% 0-1 Year 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years * 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 45 Account

12 PALM BEACH CNTY FL S/D Portfolio Performance Portfolio/Benchmark Portfolio Performance (Total Return) Effective Duration Current Quarter 1 Year 3 Year 5 Year Annualized Return 10 Year Since Inception (12/31/98) ** PALM BEACH CNTY FL S/D % 1.05% 0.75% 0.71% 2.34% 3.22% BofA ML 1-3 Year U.S. Treasury Index % 0.89% 0.68% 0.57% 2.12% 3.02% Difference 0.10% 0.16% 0.07% 0.14% 0.22% 0.20% 3.5% 3.0% 3.22% 3.02% Total Return 2.5% 2.0% 1.5% 1.0% 0.5% 1.05% 0.89% 0.75% 0.68% 0.71% 0.57% 2.34% 2.12% 0.0% -0.5% -0.33% -0.43% Current Quarter 1 Year 3 Year 5 Year 10 Year Since Inception PALM BEACH CNTY FL S/D BofA ML 1-3 Year U.S. Treasury Index Portfolio performance is gross of fees unless otherwise indicated. **Since Inception performance is not shown for periods less than one year PFM Asset Management LLC Page 12 of 45 Account

13 PALM BEACH CNTY FL S/D Portfolio Performance Portfolio/Benchmark Portfolio Performance (Total Return) Effective Duration Quarter Ended 12/31/16 09/30/16 06/30/16 03/31/16 1 Year 3 Year Annualized Return 5 Year PALM BEACH CNTY FL S/D % -0.06% 0.48% 0.95% 1.05% 0.75% 0.71% BofA ML 1-3 Year U.S. Treasury Index % -0.11% 0.53% 0.90% 0.89% 0.68% 0.57% Difference 0.10% 0.05% -0.05% 0.05% 0.16% 0.07% 0.14% 1.2% 1.0% 0.95% 1.05% 0.90% 0.89% Total Return 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% -0.06% -0.11% 0.48% 0.53% 0.75% 0.68% 0.71% 0.57% -0.4% -0.6% -0.33% -0.43% 12/31/16 09/30/16 06/30/16 03/31/16 1 Year 3 Year 5 Year PALM BEACH CNTY FL S/D BofA ML 1-3 Year U.S. Treasury Index Portfolio performance is gross of fees unless otherwise indicated PFM Asset Management LLC Page 13 of 45 Account

14 PALM BEACH CNTY FL S/D Portfolio Performance Portfolio Performance (Total Return) Quarter Ended Effective Portfolio/Benchmark Duration 12/31/16 09/30/16 06/30/16 03/31/16 1 Year 3 Year Annualized Return 5 Year PALM BEACH CNTY FL S/D % -0.06% 0.48% 0.95% 1.05% 0.75% 0.71% Net of Fees ** % -0.08% 0.46% 0.93% 0.97% 0.68% 0.64% BofA ML 1-3 Year U.S. Treasury Index % -0.11% 0.53% 0.90% 0.89% 0.68% 0.57% Difference (Gross) 0.10% 0.05% -0.05% 0.05% 0.16% 0.07% 0.14% Difference (Net) 0.08% 0.03% -0.07% 0.03% 0.08% 0.00% 0.07% 1.2% 1.0% 0.95% 1.05% 0.90% 0.89% Total Return 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% -0.06% -0.11% 0.48% 0.53% 0.75% 0.68% 0.71% 0.57% -0.4% -0.6% -0.33% -0.43% 12/31/16 09/30/16 06/30/16 03/31/16 1 Year 3 Year 5 Year PALM BEACH CNTY FL S/D BofA ML 1-3 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 45 Account

15 PALM BEACH CNTY FL S/D Portfolio Performance Portfolio Earnings Quarter-Ended December 31, 2016 Beginning Value (09/30/2016) Market Value Basis $48,173, Accrual (Amortized Cost) Basis $48,031, Net Purchases/Sales ($25,056.41) ($25,056.41) Change in Value ($283,110.96) $12, Ending Value (12/31/2016) $47,865, $48,018, Interest Earned Portfolio Earnings $125, ($157,297.93) $125, $137, PFM Asset Management LLC Account Page 15 of 45

16 PALM BEACH CNTY FL S/D Portfolio Composition Sector Allocation As of December 31, 2016 Sector Market Value ($) % of Portfolio Federal Agency/GSE 21,306, % U.S. Treasury 18,520, % Corporate 5,193, % Commercial Paper 1,848, % Municipal 996, % U.S. Treasury 38.7% Commercial Paper 3.9% Corporate 10.9% Total 47,865, % Municipal 2.1% Federal Agency/GSE 44.4% Detail may not add to total due to rounding PFM Asset Management LLC Page 16 of 45 Account

17 PALM BEACH CNTY FL S/D Portfolio Composition Sector Allocation As of December 31, 2016 Sector Market Value ($) % of Portfolio % of Benchmark Federal Agency/GSE U.S. Treasury Corporate Commercial Paper Municipal Total 120% 21,306,588 18,520,837 5,193,047 1,848, , % 38.7% 10.9% 3.9% 2.1% % ,865, % 100.0% 100% 100.0% 80% 60% 40% 44.4% 38.7% 20% 0% 10.9% 3.9% 0.0% 0.0% 0.0% 2.1% 0.0% Commercial Paper Corporate Federal Agency/GSE Municipal U.S. Treasury PALM BEACH CNTY FL S/D BofA ML 1-3 Year U.S. Treasury Index Detail may not add to total due to rounding PFM Asset Management LLC Page 17 of 45 Account

18 PALM BEACH CNTY FL S/D Portfolio Composition Sector Sector Allocation December 31, 2016 September 30, 2016 June 30, 2016 March 31, 2016 MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total Federal Agency/GSE % % % % U.S. Treasury % % % % Corporate % % % % Commercial Paper % % % % Municipal % % % % Total $ % $ % $ % $ % 100% 90% 80% Municipal Commercial Paper Corporate U.S. Treasury Federal Agency/GSE 70% 60% 50% 40% 30% 20% 10% 0% December 2016 September 2016 June 2016 March 2016 Detail may not add to total due to rounding PFM Asset Management LLC Page 18 of 45 Account

19 PALM BEACH CNTY FL S/D Portfolio Composition Maturity Distribution As of December 31, 2016 Portfolio/Benchmark Yield at Market Average Maturity 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years >5 Years PALM BEACH CNTY FL S/D 1.22% 1.82 yrs 12.8% 51.7% 35.5% 0.0% 0.0% 0.0% BofA ML 1-3 Year U.S. Treasury Index 1.18% 1.94 yrs 3.0% 53.0% 43.9% 0.0% 0.0% 0.0% 60% 50% 51.7% 53.0% 43.9% 40% 35.5% 30% 20% 10% 0% 12.8% 3.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years PALM BEACH CNTY FL S/D BofA ML 1-3 Year U.S. Treasury Index 2016 PFM Asset Management LLC Account Page 19 of 45

20 PALM BEACH CNTY FL S/D Portfolio Composition Duration Distribution As of December 31, 2016 Portfolio / Benchmark Effective Duration 0-1 YEARS 1-2 YEARS 2-3 YEARS 3-4 YEARS 4-5 YEARS > 5 YEARS PALM BEACH CNTY FL S/D % 51.71% 35.51% 0.00% 0.00% 0.00% BofA ML 1-3 Year U.S. Treasury Index % 53.52% 43.43% 0.00% 0.00% 0.00% 60% 50% 40% Distribution by Effective Duration 54% 52% 43% 36% 60% 50% 40% Contribution to Portfolio Duration 56% 50% 46% 42% 30% 30% 20% 13% 20% 10% 0% 3% 0% 0% 0% 0% 0% 0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years 10% 0% 4% 2% 0% 0% 0% 0% 0% 0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years PALM BEACH CNTY FL S/D BofA ML 1-3 Year U.S. Treasury Index PALM BEACH CNTY FL S/D BofA ML 1-3 Year U.S. Treasury Index 2016 PFM Asset Management LLC Account Page 20 of 45

21 PALM BEACH CNTY FL S/D Portfolio Composition Credit Quality As of December 31, 2016 S&P Rating Market Value ($) % of Portfolio AA+ $41,022, % AA- $3,597, % A-1 $1,848, % AA $1,396, % A-1 3.9% AA 2.9% AA- 7.5% Totals $47,865, % AA+ 85.7% Detail may not add to total due to rounding PFM Asset Management LLC Page 21 of 45 Account

22 PALM BEACH CNTY FL S/D Portfolio Composition Issuer Issuer Distribution As of December 31, 2016 Market Value ($) % of Portfolio UNITED STATES TREASURY 18,520, % FEDERAL HOME LOAN BANKS 10,703, % FANNIE MAE 7,659, % FREDDIE MAC 2,943, % TOYOTA MOTOR CORP 1,200, % CHEVRON CORP 1,198, % IBM CORP 1,198, % APPLE INC 1,195, % MITSUBISHI UFJ FINANCIAL GROUP INC 999, % REGIONAL TRANS AUTH, IL 996, % CREDIT AGRICOLE SA 849, % BERKSHIRE HATHAWAY INC 399, % Top 5 = 85.7% Top 10 = 97.4% Grand Total: 47,865, % 2016 PFM Asset Management LLC Account Page 22 of 45

23 PALM BEACH CNTY FL S/D Portfolio Composition Sector/Issuer Distribution As of December 31, 2016 Sector / Issuer Market Value ($) % of Sector % of Total Portfolio Commercial Paper CREDIT AGRICOLE SA 849, % 1.8% MITSUBISHI UFJ FINANCIAL GROUP INC 999, % 2.1% Sector Total 1,848, % 3.9% Corporate APPLE INC 1,195, % 2.5% BERKSHIRE HATHAWAY INC 399, % 0.8% CHEVRON CORP 1,198, % 2.5% IBM CORP 1,198, % 2.5% TOYOTA MOTOR CORP 1,200, % 2.5% Sector Total 5,193, % 10.8% Federal Agency/GSE FANNIE MAE 7,659, % 16.0% FEDERAL HOME LOAN BANKS 10,703, % 22.4% FREDDIE MAC 2,943, % 6.1% Sector Total 21,306, % 44.5% Municipal REGIONAL TRANS AUTH, IL 996, % 2.1% 2016 PFM Asset Management LLC Account Page 23 of 45

24 PALM BEACH CNTY FL S/D Portfolio Composition Sector / Issuer Market Value ($) % of Sector % of Total Portfolio Sector Total 996, % 2.1% U.S. Treasury UNITED STATES TREASURY 18,520, % 38.7% Sector Total 18,520, % 38.7% Portfolio Total 47,865, % 100.0% 2016 PFM Asset Management LLC Account Page 24 of 45

25 PALM BEACH CNTY FL S/D Portfolio Activity Quarterly Portfolio Transactions Trade Date Settle Date Par ($) CUSIP Security Description Coupon Maturity Date Transact Amt ($) Yield at Market Realized G/L (BV) BUY 10/3/16 10/5/16 1,350, A9EP2 FHLB GLOBAL NOTES 1.00% 9/26/19 1,349, % 12/1/16 12/5/16 3,160, G61 US TREASURY NOTES 1.50% 11/30/19 3,164, % Total BUY 4,510,000 4,514, INTEREST 10/1/16 10/1/16 1,000, M1 REGIONAL TRANS AUTH, IL TXBL REV BONDS 1.25% 5/4/18 5, /1/16 10/1/16 2,500, A9AE1 FHLB GLOBAL NOTE 0.87% 10/1/18 2, /15/16 10/15/16 1,900, EADZ9 FREDDIE MAC NOTES 1.12% 4/15/19 12, /31/16 10/31/16 1,700, UZ1 US TREASURY NOTES 0.62% 4/30/18 5, /31/16 10/31/16 3,080, WD8 US TREASURY NOTES 1.25% 10/31/18 19, /31/16 10/31/16 1,295, WD8 US TREASURY NOTES 1.25% 10/31/18 8, /3/16 11/3/16 1,200, AJ9 APPLE INC GLOBAL NOTES 1.00% 5/3/18 6, /21/16 12/21/16 1,250, A8DB6 FHLB GLOBAL NOTE 1.12% 6/21/19 7, /29/16 12/29/16 1,270, A8BD4 FEDERAL HOME LOAN BANKS AGCY 0.87% 6/29/18 5, /31/16 12/31/16 2,040, A75 US TREASURY NOTES 1.50% 12/31/18 15, /31/16 12/31/16 2,700, A75 US TREASURY NOTES 1.50% 12/31/18 20, Total INTEREST 19,935, , SELL 10/3/16 10/5/16 840, TG5 US TREASURY NOTES 0.50% 7/31/17 839, % /3/16 10/5/16 530, TG5 US TREASURY NOTES 0.50% 7/31/17 529, % 1, /1/16 12/5/16 1,210, EADJ5 FREDDIE MAC GLOBAL NOTES 1.00% 7/28/17 1,216, % 1, PFM Asset Management LLC Account Page 25 of 45

26 PALM BEACH CNTY FL S/D Portfolio Activity Trade Date Settle Date Par ($) CUSIP Security Description Coupon Maturity Date Transact Amt ($) Yield at Market Realized G/L (BV) 12/1/16 12/5/16 1,955, EADJ5 FREDDIE MAC GLOBAL NOTES 1.00% 7/28/17 1,965, % 3, Total SELL 4,535,000 4,550, , PFM Asset Management LLC Account Page 26 of 45

27 PALM BEACH CNTY FL S/D Trade Analysis Trade Analysis for October 5, 2016 Transaction Date: October 5, 2016 Transaction Security Maturity Date Par Value Price Yield at Market Benefit Gain/Loss Additional Earnings Sold US TREASURY NOTES 7/31/2017 $1,370, $ % $2, Purchased FHLB GLOBAL NOTES 9/26/2019 $1,350, $ % 0.380% 4, Total Estimated Benefit from Transaction to Original Maturity $6, Total Estimated Benefit from Transactions $6, Transaction Commentary: In accordance with Section III. Investment Objectives, of the District's Investment Policy, from time to time, securities may be traded for other similar securities to improve yield, maturity, or credit risk. For these transactions, a loss may be incurred for accounting purposes, provided any of the following occurs with respect to the replacement security: 1) The yield has been increased, 2) the maturity has been reduced, or lengthened, 3) or the quality of the investment has been improved. The transactions presented were executed in accordance with Section III Investment Objectives of the District's Investment Policy to 1) the yield of the portfolio has been increased and 2) the maturity has been extended, as part of PFM's overall active management strategy for the District's Investment Portfolio, which should also increase the portfolio's total return. The performance of this portfolio should be evaluated based on the total return versus the District's Merrill Lynch 1-3 Year U.S. Treasury Index benchmark. PFM calculates the total return of the District's Investment Portfolio in a manner consistent with the CFA Institute's Global Investment Performance Standards. Notes: 1. The total estimated benefit from the transaction is based on the net of the benefit in yield and the gain or loss on the transaction. The benefit is calculated on a 30/360 day basis until the earlier of: 1) original maturity of the sold security, or 2) new maturity of the purchased security. Total purchase may not equal to proceeds from sold securities as a result of additional income included in purchase or from a portion of maturity not reinvested. Calculations based on lesser of amount sold or reinvested PFM Asset Management LLC Account Page 27 of 45

28 PALM BEACH CNTY FL S/D Trade Analysis Trade Analysis for December 5, 2016 Transaction Date: December 5, 2016 Transaction Security Maturity Date Par Value Price Yield at Market Benefit Gain/Loss Additional Earnings Sold FREDDIE MAC GLOBAL NOTES 7/28/2017 $3,165, $ % $5, Purchased US TREASURY NOTES 11/30/2019 $3,160, $ % 0.710% 14, Total Estimated Benefit from Transaction to Original Maturity $19, Transaction Commentary: In accordance with Section III. Investment Objectives, of the District's Investment Policy, from time to time, securities may be traded for other similar securities to improve yield, maturity, or credit risk. For these transactions, a loss may be incurred for accounting purposes, provided any of the following occurs with respect to the replacement security: 1) The yield has been increased, 2) the maturity has been reduced, or lengthened, 3) or the quality of the investment has been improved. The transactions presented were executed in accordance with Section III Investment Objectives of the District's Investment Policy to 1) the yield of the portfolio has been increased and 2) the maturity has been extended, as part of PFM's overall active management strategy for the District's Investment Portfolio, which should also increase the portfolio's total return. The performance of this portfolio should be evaluated based on the total return versus the District's Merrill Lynch 1-3 Year U.S. Treasury Index benchmark. PFM calculates the total return of the District's Investment Portfolio in a manner consistent with the CFA Institute's Global Investment Performance Standards. Notes: 1. The total estimated benefit from the transaction is based on the net of the benefit in yield and the gain or loss on the transaction. The benefit is calculated on a 30/360 day basis until the earlier of: 1) original maturity of the sold security, or 2) new maturity of the purchased security. Total purchase may not equal to proceeds from sold securities as a result of additional income included in purchase or from a portion of maturity not reinvested. Calculations based on lesser of amount sold or reinvested PFM Asset Management LLC Account Page 28 of 45

29 PALM BEACH COUNTY SD SHORT TERM FUND Credit Quality (S&P Ratings) Sector Allocation Portfolio Snapshot Portfolio Statistics As of December 31, 2016 A % Commercial Paper 49.9% Par Value: 500,000,000 Total Market Value: 504,033,920 Security Market Value: 498,855,500 Accrued Interest: 501,443 Cash: 4,676,977 PFM - AA+ 50.1% A % U.S. Treasury 50.1% Amortized Cost: Yield at Market: Yield at Cost: Effective Duration: 498,886, % 0.90% 0.48 Years 100% 100.0% Maturity Distribution Duration to Worst: Average Maturity: 0.48 Years 0.48 Years 80% Average Credit: ** AA 60% Benchmark Eff. Yield: 0.43% 40% 20% 0% 0.0% 0.0% 0.0% 0.0% 0.0% 0-1 Year 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years * 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 29 of 45 Account

30 PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Performance Portfolio Earnings Quarter-Ended December 31, 2016 Beginning Value (09/30/2016) Market Value Basis $0.00 Accrual (Amortized Cost) Basis $0.00 Net Purchases/Sales $498,801, $498,801, Change in Value $53, $84, Ending Value (12/31/2016) $498,855, $498,886, Interest Earned Portfolio Earnings ($461,521.82) ($408,006.19) ($461,521.82) ($377,481.19) 2016 PFM Asset Management LLC Account Page 30 of 45

31 PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Sector Allocation As of December 31, 2016 Sector Market Value ($) % of Portfolio U.S. Treasury 249,750, % Commercial Paper 249,105, % Commercial Paper 49.9% Total 498,855, % U.S. Treasury 50.1% Detail may not add to total due to rounding PFM Asset Management LLC Page 31 of 45 Account

32 PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Sector Allocation As of December 31, 2016 Sector Market Value ($) % of Portfolio % of Benchmark U.S. Treasury Commercial Paper Total 249,750, ,105, % 49.9% 100.0% - 498,855, % 100.0% 100% 100.0% 80% 60% 49.9% 50.1% 40% 20% 0% Commercial Paper 0.0% PALM BEACH COUNTY SD SHORT TERM FUND BofA ML 3 Month U.S. Treasury Bill Index U.S. Treasury Detail may not add to total due to rounding PFM Asset Management LLC Page 32 of 45 Account

33 PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Sector Sector Allocation December 31, 2016 September 30, 2016 June 30, 2016 March 31, 2016 MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total U.S. Treasury % % % % Commercial Paper % % % % Federal Agency/GSE % % % % Total $ % $ % $ % $ % 100% 90% 80% 70% Federal Agency/GSE Commercial Paper U.S. Treasury 60% 50% 40% 30% 20% 10% 0% December 2016 June 2016 March 2016 Detail may not add to total due to rounding PFM Asset Management LLC Page 33 of 45 Account

34 PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Maturity Distribution As of December 31, 2016 Portfolio/Benchmark Yield at Market Average Maturity 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years >5 Years PALM BEACH COUNTY SD SHORT TERM FUND 0.89% 0.48 yrs 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% BofA ML 3 Month U.S. Treasury Bill Index 0.49% 0.24 yrs 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% 100% 100.0% 100.0% 80% 60% 40% 20% 0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years PALM BEACH COUNTY SD SHORT TERM FUND BofA ML 3 Month U.S. Treasury Bill Index 2016 PFM Asset Management LLC Account Page 34 of 45

35 PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Credit Quality As of December 31, 2016 S&P Rating Market Value ($) % of Portfolio AA+ $249,750, % A-1 $199,168, % A-1+ $49,936, % A % Totals $498,855, % AA+ 50.1% A % Detail may not add to total due to rounding PFM Asset Management LLC Page 35 of 45 Account

36 PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Issuer Issuer Distribution As of December 31, 2016 Market Value ($) % of Portfolio UNITED STATES TREASURY 249,750, % TOYOTA MOTOR CORP 49,936, % MITSUBISHI UFJ FINANCIAL GROUP INC 49,879, % BANK OF MONTREAL 49,811, % BNP PARIBAS 49,755, % CREDIT AGRICOLE SA 49,721, % Grand Total: 498,855, % 2016 PFM Asset Management LLC Account Page 36 of 45

37 PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Sector/Issuer Distribution As of December 31, 2016 Sector / Issuer Market Value ($) % of Sector % of Total Portfolio Commercial Paper BANK OF MONTREAL 49,811, % 10.0% BNP PARIBAS 49,755, % 10.0% CREDIT AGRICOLE SA 49,721, % 10.0% MITSUBISHI UFJ FINANCIAL GROUP INC 49,879, % 10.0% TOYOTA MOTOR CORP 49,936, % 10.0% Sector Total 249,105, % 49.9% U.S. Treasury UNITED STATES TREASURY 249,750, % 50.1% Sector Total 249,750, % 50.1% Portfolio Total 498,855, % 100.0% 2016 PFM Asset Management LLC Account Page 37 of 45

38 PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Activity Quarterly Portfolio Transactions Trade Date Settle Date Par ($) CUSIP Security Description Coupon Maturity Date Transact Amt ($) Yield at Market Realized G/L (BV) BUY 12/21/16 12/22/16 50,000, BQX4 BANK OF TOKYO MITSUBISHI COMM PAPER 0.00% 3/31/17 49,862, % 12/21/16 12/22/16 50,000, TTE6 CREDIT AGRICOLE CIB NY COMM PAPER 0.00% 6/14/17 49,705, % 12/21/16 12/22/16 50,000, GRU5 BANK OF MONTREAL CHICAGO COMM PAPER 0.00% 4/28/17 49,802, % 12/21/16 12/22/16 50,000, BSX9 BNP PARIBAS NY BRANCH COMM PAPER 0.00% 5/31/17 49,744, % 12/21/16 12/22/16 50,000, GPU4 TOYOTA MOTOR CREDIT CORP COMM PAPER 0.00% 2/28/17 49,915, % 12/21/16 12/22/16 100,000, TM2 US TREASURY NOTES 0.62% 8/31/17 100,124, % 12/21/16 12/22/16 100,000, TG5 US TREASURY NOTES 0.50% 7/31/17 100,101, % 12/21/16 12/22/16 50,000, TS9 US TREASURY NOTES 0.62% 9/30/17 50,006, % Total BUY 500,000, ,263, INTEREST 10/3/16 10/3/16 0 MONEY0002 MONEY MARKET FUND /1/16 11/1/16 0 MONEY0002 MONEY MARKET FUND /1/16 12/1/16 0 MONEY0002 MONEY MARKET FUND Total INTEREST PFM Asset Management LLC Account Page 38 of 45

39 PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Activity Quarterly Portfolio Transactions Tran. Type Trade Date Settle Date Par ($) CUSIP Security Description Coupon Maturity Date Transact Amt ($) Yield Realized G/L (BV) INTEREST 10/3/16 10/3/ MONEY0002 MONEY MARKET FUND INTEREST 11/1/16 11/1/ MONEY0002 MONEY MARKET FUND INTEREST 12/1/16 12/1/ MONEY0002 MONEY MARKET FUND BUY 12/21/16 12/22/16 50,000, BQX4 BANK OF TOKYO MITSUBISHI COMM PAPER 0.00% 3/31/17 (49,862,500.00) 1.00% BUY 12/21/16 12/22/16 50,000, TTE6 CREDIT AGRICOLE CIB NY COMM PAPER 0.00% 6/14/17 (49,705,166.67) 1.23% BUY 12/21/16 12/22/16 50,000, GRU5 BANK OF MONTREAL CHICAGO COMM 0.00% 4/28/17 (49,802,444.44) 1.12% PAPER BUY 12/21/16 12/22/16 50,000, BSX9 BNP PARIBAS NY BRANCH COMM PAPER 0.00% 5/31/17 (49,744,444.44) 1.16% BUY 12/21/16 12/22/16 50,000, GPU4 TOYOTA MOTOR CREDIT CORP COMM 0.00% 2/28/17 (49,915,944.44) 0.89% PAPER BUY 12/21/16 12/22/16 100,000, TM2 US TREASURY NOTES 0.62% 8/31/17 (100,124,784.19) 0.73% BUY 12/21/16 12/22/16 100,000, TG5 US TREASURY NOTES 0.50% 7/31/17 (100,101,902.17) 0.65% BUY 12/21/16 12/22/16 50,000, TS9 US TREASURY NOTES 0.62% 9/30/17 (50,006,803.75) 0.79% TOTALS (499,263,506.19) 2016 PFM Asset Management LLC Account Page 39 of 45

40 Tab III 2016 PFM Asset Management LLC Page 40 of 45

41 PALM BEACH COUNTY SCHOOL DISTRICT United States Treasury Securities 34.11% Florida Prime (SBA) 0.00% Intergovernmental Investment Pools FEITF 29.93% Federal Instrumentalities 2.73% Commercial Paper 31.84% Corporate Notes 0.66% State and/or Local Government Debt 0.13% Fixed Income Money Market Mutual Funds 0.59% Asset Allocation Security Type 1 Amortized Cost (Includes Interest) Allocation Percentage Notes Permitted by Policy In Compliance Florida Prime (SBA) 32, % 2 25% YES United States Treasury Securities 268,832, % 100% YES United States Government Agency Securities % 50% YES Federal Instrumentalities 21,511, % 3 80% YES Mortgage-Backed Securities % 3 20% YES Certificates of Deposit or Savings Accounts % 25% YES Repurchase Agreements % 50% YES Commercial Paper 250,952, % 35% YES Corporate Notes 5,217, % 15% YES Bankers' Acceptances % 35% YES State and/or Local Government Debt 1,003, % 20% YES Fixed Income Money Market Mutual Funds 4,676, % 75% YES Short Term Bonds Funds % 25% YES Intergovernmental Investment Pools - FEITF 235,934, % 25% NO Bank Cash % 2 100% YES Notes: 1. End of month trade-date amortized cost of portfolio holdings, including accrued interest. 2. Managed by the School District. 3. The combined total of Federal Instrumentalities and Mortgage Backed Securities cannot be more than 80%. The combined total as of December 31, 2016 is 2.73% PFM Asset Management LLC Page 41 of 45

42 PALM BEACH COUNTY SCHOOL DISTRICT Asset Allocation Individual Issuer Breakdown Amortized Cost (Includes Interest) Allocation Percentage Notes Permitted by Policy In Compliance Government National Mortgage Association (GNMA) % 25% YES Federal Farm Credit Bank (FFCB) % 50% YES Federal Home Loan Bank (FHLB) 10,798, % 50% YES Federal National Mortgage Association (FNMA) 7,726, % 50% YES Federal Home Loan Mortgage Corporation (FHLMC) 2,986, % 50% YES Regional Transportation Authority Municipal Bonds 1,003, % 20% YES Apple, Inc. Corporate Notes 1,195, % 5% YES Berkshire Hathaway, Inc. Corporate Notes 401, % 5% YES Chevron Corporation Corporate Notes 1,204, % 5% YES IBM Corporation Corporate Notes 1,205, % 5% YES Toyota Motor Corporation Corporate Notes 1,209, % 5% YES Bank of Montreal Commercial Paper 49,817, % 10% YES Bank of Tokyo Mitsubishi, Inc. Commercial Paper 50,875, % 10% YES BNP Paribas Commercial Paper 49,760, % 10% YES Credit Agricole, S.A. Commercial Paper 50,571, % 10% YES Toyota Motor Corporation Commercial Paper 49,928, % 10% YES Florida Prime 32, % 25% YES Cash: TD Bank 4,676, % 25% YES Intergovernmental Investment Pools - FEITF 235,934, % 25% NO 2016 PFM Asset Management LLC Page 42 of 45

43 PALM BEACH CNTY FL S/D Portfolio Activity Important Disclosures This material is based on information obtained from sources generally believed to be reliable and available to the public, however PFM Asset Management LLC cannot guarantee its accuracy, completeness or suitability. This material is for general information purposes only and is not intended to provide specific advice or a specific recommendation. All statements as to what will or may happen under certain circumstances are based on assumptions, some but not all of which are noted in the presentation. Assumptions may or may not be proven correct as actual events occur, and results may depend on events outside of your or our control. Changes in assumptions may have a material effect on results. Past performance does not necessarily reflect and is not a guaranty of future results. The information contained in this presentation is not an offer to purchase or sell any securities. Dime Market values which include accrued interest, are derived from closing bid prices as of the last business day of the month as supplied by Interactive Data, Bloomberg or Telerate. Where prices are not available from generally recognized sources the securities are priced using a yield based matrix system to arrive at an estimated market value. In accordance with generally accepted accounting principles, information is presented on a trade date basis; forward settling purchases are included in the monthly balances and forward settling sales are excluded. Performance is presented in accordance with the CFA Institute s Global Investment Performance Standards (GIPS). Unless otherwise noted, performance is shown gross of fees. Quarterly returns are presented on an unannualized basis. Returns for periods greater than one year are presented on an annualized basis. Past performance is not indicative of future returns. Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets. Money market fund/cash balances are included in performance and duration computations. Standard & Poor's is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/lgip holdings. Callable securities in portfolio are included in the maturity distribution analysis to their stated maturity date, although they may be called prior to maturity. MBS maturities are represented by expected average life PFM Asset Management LLC Account Page 43 of 45

44 PALM BEACH CNTY FL S/D Appendix Glossary ACCRUED INTEREST: Interest that is due on a bond or other fixed income security since the last interest payment was made. AGENCIES: Federal agency securities and/or Government-sponsored enterprises. AMORTIZED COST: The original cost of the principal of the security is adjusted for the amount of the periodic reduction of any discount or premium from the purchase date until the date of the report. Discount or premium with respect to short term securities (those with less than one year to maturity at time of issuance) is amortized on a straight line basis. Such discount or premium with respect to longer term securities is amortized using the constant yield basis. BANKERS ACCEPTANCE: A draft or bill or exchange accepted by a bank or trust company. The accepting institution guarantees payment of the bill, as well as the insurer. COMMERCIAL PAPER: An unsecured obligation issued by a corporation or bank to finance its short-term credit needs, such as accounts receivable and inventory. CONTRIBUTION TO DURATION: Represents each sector or maturity range s relative contribution to the overall duration of the portfolio measured as a percentage weighting. Since duration is a key measure of interest rate sensitivity, the contribution to duration measures the relative amount or contribution of that sector or maturity range to the total rate sensitivity of the portfolio. DURATION TO WORST: A measure of the sensitivity of a security s price to a change in interest rates, stated in years, computed from cash flows to the maturity date or to the put date, whichever results in the highest yield to the investor. EFFECTIVE DURATION: A measure of the sensitivity of a security s price to a change in interest rates, stated in years. EFFECTIVE YIELD: The total yield an investor receives in relation to the nominal yield or coupon of a bond. Effective yield takes into account the power of compounding on investment returns, while nominal yield does not. FDIC: Federal Deposit Insurance Corporation. A federal agency that insures bank deposits to a specified amount. INTEREST RATE: Interest per year divided by principal amount, expressed as a percentage. MARKET VALUE: The value that would be received or paid for an investment in an orderly transaction between market participants at the measurement date. MATURITY: The date upon which the principal or stated value of an investment becomes due and payable. NEGOTIABLE CERTIFICATES OF DEPOSIT: A CD with a very large denomination, usually $1 million or more that can be traded in secondary markets. PAR VALUE: The nominal dollar face amount of a security PFM Asset Management LLC Account Page 44 of 45

45 PALM BEACH CNTY FL S/D Appendix Glossary PASS THROUGH SECURITY: A security representing pooled debt obligations that passes income from debtors to its shareholders. The most common type is the mortgage-backed security. REPURCHASE AGREEMENTS: A holder of securities sells these securities to an investor with an agreement to repurchase them at a fixed price on a fixed date. SETTLE DATE: The date on which the transaction is settled and monies/securities are exchanged. If the settle date of the transaction occurs on a non-business day (i.e. coupon payments and maturity proceeds), the funds are exchanged on the next business day. TRADE DATE: The date on which the transaction occurred however the final consummation of the security transaction and payment has not yet taken place. UNSETTLED TRADE: A trade which has been executed however the final consummation of the security transaction and payment has not yet taken place. U.S. TREASURY: The department of the U.S. government that issues Treasury securities. YIELD: The rate of return based on the current market value, the annual interest receipts, maturity value and the time period remaining until maturity, stated as a percentage, on an annualized basis. YTM AT COST: The yield to maturity at cost is the expected rate of return, based on the original cost, the annual interest receipts, maturity value and the time period from purchase date to maturity, stated as a percentage, on an annualized basis. YTM AT MARKET: The yield to maturity at market is the rate of return, based on the current market value, the annual interest receipts, maturity value and the time period remaining until maturity, stated as a percentage, on an annualized basis PFM Asset Management LLC Account Page 45 of 45