Brevard County School District Investment Performance Review Quarter Ended June 30, 2015 Investment Advisors Steven Alexander, CTP, CGFO, CPPT, Managing Director Robert Cheddar, CFA, Chief Credit Officer, Managing Director D. Scott Stitcher, CFA, Senior Managing Consultant Richard Pengelly, CFA, CTP, Senior Managing Consultant Rebecca Geyer, CTP, Senior Analyst PFM Asset Management LLC One Keystone Plaza, Suite 300 North Front & Market Streets Harrisburg, PA 17101-2044 717-232-2723 717-233-6073 fax 300 S. Orange Avenue, Suite 1170 Orlando, FL 32801 (407) 648-2208 (407) 648-1323 fax
Table of Contents Tab I. Section A Market Review Tab II. Section B Section C Section D Section E Section F Tab III. Section G 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 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
TAB I
Brevard County School District Investment Report Quarter Ended June 30, 2015 Summary Throughout the quarter, improving U.S. economic conditions contrasted with global economic uncertainty, particularly the deteriorating negotiations between Greece and its international creditors, which came to a vital impasse at the end of the quarter. Market participants continued to weigh the impact that adverse global economic conditions would have on the interest rate setting policies of the Federal Open Market Committee (FOMC). Economic Snapshot For the first quarter of 2015, gross domestic product (GDP) declined by 0.2%. While estimates initially reflected a larger decline, increases in consumer spending and inventories contributed to the upward revision. The U.S. labor market continued to improve, as the unemployment rate fell from 5.5% in March to 5.3% in June. While robust headline job creation continued, some of the underlying metrics related to employment particularly wage growth were weak. The housing market strengthened, as reflected by improvements in the pace of pending home sales, building permits, new home sales, and housing starts. Greek related tensions grew as the troubled nation missed a payment of 1.6 billion euros to the International Monetary Fund (IMF), and Greek voters overwhelmingly rejected austerity measures demanded by creditors as a condition for further financial assistance. These actions leave open the possibility that Greece would abandon the euro and even leave the eurozone. Interest Rates The FOMC kept the federal funds target rate unchanged for the quarter. While the FOMC s statement left open the possibility of an interest rate increase in the latter half of 2015, this policy decision will depend on labor market conditions and inflation expectations. The timing for a potential interest rate hike became more uncertain at the end of the quarter due to the potential for the Greek debt crisis to affect the overall global economy. Treasury yields reacted differently across the curve. Yields for short maturities rose only modestly (two and three year Treasuries ended the quarter up 0.06% and 0.09%, respectively) while yields for intermediate and longer maturities had sizeable increases (five and 10 year Treasuries ended the quarter higher by 0.24% and 0.40%, respectively). Sector Performance Benchmark Treasury indices for shorter maturity securities ended the quarter slightly positive, as more than sufficient income was generated to overcome the limited decrease in market value that resulted from the rise in yields. Longer maturities did not perform as well because they had significantly larger rate increases. Yield spreads for Federal Agency securities fluctuated within their historically low ranges for the quarter; as a result, the sector s performance was relatively flat when compared to Treasuries. Corporate securities underperformed government issues as yield spreads widened throughout the quarter; bonds with higher credit quality underperformed the most. Within the mortgage backed securities (MBS) sector, structure and coupon were the major determinants of performance for the quarter. Higher coupon structures were the strongest performers on both an absolute return and relative return basis (compared to similar duration Treasuries). Asset backed securities (ABS) were among the strongerperforming sectors, as their superior income and limited sensitivity to changes in interest rates fared well in what was a volatile market environment. PFM Asset Management LLC Section A-1
Brevard County School District Investment Report Quarter Ended June 30, 2015 Economic Snapshot Labor Market Latest Mar 2015 Jun 2014 Unemployment Rate Jun'15 5.3% 5.5% 6.1% Change In Non-Farm Payrolls Jun'15 223,000 119,000 286,000 Average Hourly Earnings (YoY) Jun'15 2.0% 2.1% 2.0% Personal Income (YoY) May'15 4.4% 4.0% 3.7% Initial Jobless Claims (week) 7/2/15 281,000 267,000 313,000 10% 8% 6% 4% Unemployment Rate (left) vs. Change in Nonfarm Payrolls (right) Change In Non-Farm Payrolls Unemployment Rate 2% 6/30/12 12/31/12 6/30/13 12/31/13 6/30/14 12/31/14 6/30/15 400K 350K 300K 250K 200K 150K 100K 50K 0 Growth Real GDP (QoQ SAAR) 2015Q1-0.2% 2.2% -2.1% GDP Personal Consumption (QoQ SAAR) 2015Q1 2.1% 4.4% 1.2% Retail Sales (YoY) May'15 2.7% 2.1% 4.3% 1 1 2 2 6% 4% 2% 0% Real GDP (QoQ) ISM Manufacturing Survey (month) Jun'15 53.5 51.5 55.7 Existing Home Sales SAAR (month) May'15 5.35 mil. 5.21 mil. 5.01 mil. -2% -4% 3/31/12 9/30/12 3/31/13 9/30/13 3/31/14 9/30/14 3/31/15 Inflation / Prices Personal Consumption Expenditures (YoY) May'15 0.2% 0.3% 1.6% Consumer Price Index (YoY) May'15 0.0% -0.1% 2.1% Consumer Price Index Core (YoY) May'15 1.7% 1.8% 1.9% 3% 2% 1% Consumer Price Index CPI (YoY) Core CPI (YoY) Crude Oil Futures (WTI, per barrel) Jun 30 $59.47 $47.60 $105.37 Gold Futures (oz.) Jun 30 $1,172 $1,183 $1,322 1. Data as of Fourth Quarter 2014 2. Data as of First Quarter 2014 0% -1% 5/31/12 11/30/12 5/31/13 11/30/13 5/31/14 11/30/14 5/31/15 Source: Bloomberg Note: YoY = year over year, QoQ = quarter over quarter, SAAR = seasonally adjusted annual rate, WTI = West Texas Intermediate crude oil PFM Asset Management LLC Section A-2
Brevard County School District Investment Report Quarter Ended June 30, 2015 Investment Rate Overview 3.0% U.S. Treasury Note Yields 4% U.S. Treasury Yield Curve 2.5% 3% Yield 2.0% 1.5% 1.0% 0.5% 0.0% 6/30/14 12/31/14 6/30/15 2-Year 5-Year 10-Year Yield 2% 1% 0% 3-yr 2-yr 1-yr 3-mo 5-yr 7-yr 10-yr Maturity June 30, 2015 March 31, 2015 June 30, 2014 30-yr U.S. Treasury Yields 5% Yield Curves as of 6/30/2015 Maturity 6/30/15 3/31/15 Change over Quarter 6/30/14 Change over Year 3-month 0.01% 0.02% (0.01%) 0.02% (0.01%) 1-year 0.27% 0.23% 0.04% 0.10% 0.17% Yield 4% 3% 2% 2-year 0.65% 0.56% 0.09% 0.46% 0.19% 1% 5-year 1.65% 1.37% 0.28% 1.63% 0.02% 10-year 2.35% 1.92% 0.43% 2.53% (0.18%) 30-year 3.12% 2.54% 0.58% 3.36% (0.24%) 0% 3-yr 2-yr 1-yr 3-mo 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 Section A-3
Brevard County School District Investment Report Quarter Ended June 30, 2015 BofA Merrill Lynch Index Returns As of 6/30/2015 Returns for Periods ended 6/30/2015 1-3 Year Indices Duration Yield 3 Month 1 Year 3 Years U.S. Treasury 1.87 0.63% 0.15% 0.88% 0.66% Federal Agency 1.74 0.76% 0.16% 0.99% 0.73% U.S. Corporates, A-AAA rated 2.05 1.45% 0.08% 1.02% 1.76% Agency MBS (0 to 3 years) 1.93 1.53% (0.07%) 0.62% 0.96% Municipals 1.79 0.86% 0.01% 0.40% 0.80% 1-5 Year Indices U.S. Treasury 2.70 0.93% 0.02% 1.38% 0.83% Federal Agency 2.18 0.96% 0.09% 1.31% 0.94% U.S. Corporates, A-AAA rated 2.81 1.80% (0.13%) 1.45% 2.36% Agency MBS (0 to 5 years) 3.34 2.10% (0.46%) 1.58% 1.68% Municipals 2.54 1.13% (0.01%) 0.62% 1.13% Master Indices (Maturities 1 Year or Greater) U.S. Treasury 6.04 1.56% (1.84%) 2.59% 0.94% Federal Agency 3.71 1.41% (0.66%) 2.11% 1.28% U.S. Corporates, A-AAA rated 6.68 2.89% (2.59%) 1.75% 3.04% Agency MBS (0 to 30 years) 4.65 2.60% (0.79%) 2.16% 1.87% Municipals 6.93 2.63% (0.97%) 3.10% 3.21% Returns for periods greater than one year are annualized Source: BofA Merrill Lynch Indices PFM Asset Management LLC Section A-4
Brevard County School District Investment Report Quarter Ended June 30, 2015 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. Further distribution is not permitted without prior written consent. PFM Asset Management LLC Section A-5
TAB II
Executive Summary PORTFOLIO RECAP The District s Capital, Operating, Self Insurance, and Health Insurance Portfolios are of high credit quality and invested in U.S. Treasury, Federal Agency, commercial paper, high quality corporate, and municipal securities. The Capital and Operating Portfolios continue to provide the District with favorable yield relative to the benchmark. At quarter end, the portfolios had a Yield to Maturity at Cost of 0.21% and 0.20%, respectively, exceeding the Yield to Maturity of the benchmark the Merrill Lynch 3 Month U.S. Treasury Bill Index by 21 basis points (0.21%) and 20 basis points (0.20%). PFM continued to actively manage the Self Insurance and Health Insurance Portfolios during the second quarter and found value in the market, taking advantage of market inefficiencies or changes in economic outlook. As a result, the Portfolios realized $1,522 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 Portfolios. The Self Insurance and Health Insurance Portfolio s quarterly total return performances were both 0.13%, underperforming the benchmark performance of 0.15% by 0.02%. This slight underperformance is attributed to the portfolios being overweight in the 3 year area of the yield curve. As the yield curve steepened over the quarter, performance was negatively impacted in the 3 year space. A flight to quality occurred at the end of the quarter as a result of turmoil in Greece. Spreads widened causing other sectors besides agencies and treasuries to perform poorly. Since the macroeconomic issue has been resolved, corporate securities should provide additional income and benefit to the portfolio going forward. We expect U.S. economic conditions to rebound from the first quarter 2015 contraction. Rising consumer confidence, growth in personal spending and a stronger housing sector should contribute to improved economic conditions. Improving employment statistics in the U.S. suggest that an increase in the benchmark Federal Funds rate may be appropriate soon. However, stubbornly low inflation remains a concern for the Federal Reserve policy makers. Market participants still expect the FOMC to initiate at least one rate hike in 2015, but the pace of subsequent increases is likely to be gradual. It is likely that developments in Greece will continue to cause market volatility as investors weigh the impact of possible outcomes on global economic conditions. Our strategy will be to focus on identifying relative value from among the full range of investment options. We will pay careful attention to sector allocation, yield curve placement, credit market dynamics, and individual security selection. These factors will likely be key drivers of performance in an uncertain rate environment. PFM will continue to navigate the market environment with a keen focus on relative value sector analysis, prudent duration management, and efficient yield curve placement. While producing strong investment returns remains a priority, it is secondary to maintaining safety and liquidity, particularly in the current environment where we expect yields to trend higher. PFM Asset Management LLC Section B - 1
Portfolio Statistics Amortized Cost 1,2,3 Amortized Cost 1,2,3 Market Value 1,2,3 Market Value 1,2,3 Duration (Years) Account Name June 30, 2015 March 31, 2015 June 30, 2015 March 31, 2015 June 30, 2015 Capital Short Term Fund $33,649,075.25 $50,734,808.41 $33,652,348.69 $50,744,060.85 0.15 Capital - Florida Education Investment Trust Fund 6,017,262.44 11,295,123.26 6,017,262.44 11,295,123.26 0.02 Operating Short Term Fund 82,801,624.22 109,898,226.69 82,812,270.34 109,913,111.96 0.15 Operating - Florida Education Investment Trust Fund 2,267,026.72 2,079,966.35 2,267,026.72 2,079,966.35 0.02 Discretionary Sales Surtax - Florida Education Investment Trust Fund 12,279,276.72 N/A 12,279,276.72 N/A 0.02 Total $137,014,265.35 $174,008,124.71 $137,028,184.91 $174,032,262.42 Yield to Maturity Yield to Maturity Yield to Maturity Yield to Maturity at Cost 4 at Cost 4 at Market at Market Duration (Years) Account Name June 30, 2015 March 31, 2015 June 30, 2015 March 31, 2015 March 31, 2015 Capital Short Term Fund 0.21% 0.23% 0.10% 0.15% 0.31 Capital - Florida Education Investment Trust Fund 5 0.19% 0.15% 0.19% 0.15% 0.02 Operating Short Term Fund 0.20% 0.19% 0.11% 0.14% 0.30 Operating - Florida Education Investment Trust Fund 5 0.19% 0.15% 0.19% 0.15% 0.02 Discretionary Sales Surtax - Florida Education Investment Trust Fund 0.19% N/A 0.19% N/A N/A Average Weighted Yield 0.20% 0.20% 0.12% 0.14% Benchmarks June 30, 2015 March 31, 2015 Merrill Lynch 3 Month U.S. Treasury Bill Index 6 0.00% 0.02% 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. Seven day yield as of quarter end. The yields shown above represent past performance. Past performance is no guarantee of future results and yields may vary. The current fund performance may be higher or lower than that cited. The current seven-day yield does not include realized gains and losses on the sale of securities. The yields shown above may reflect fee waivers by service providers that subsidize and reduce the total operating expenses of the Funds. Fund yields would be lower if there were no such waivers. 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
Capital Short Term Fund Composition and Credit Quality Characteristics Security Type 1 June 30, 2015 % of Portfolio March 31, 2015 % of Portfolio U.S. Treasuries $4,444,516.49 11.2% $4,443,462.19 7.2% Federal Agencies 18,284,038.92 46.1% 18,274,434.18 29.5% Commercial Paper 10,923,793.28 27.5% 28,026,164.48 45.2% Certificates of Deposit 0.00 0.0% 0.00 0.0% Bankers Acceptances 0.00 0.0% 0.00 0.0% Repurchase Agreements 0.00 0.0% 0.00 0.0% Municipal Obligations 0.00 0.0% 0.00 0.0% Corporate Notes/Bonds 0.00 0.0% 0.00 0.0% Florida Education Investment Trust Fund 6,017,262.44 15.2% 11,295,123.26 18.2% Money Market Fund/Cash 0.00 0.0% 0.00 0.0% Totals $39,669,611.13 100.0% $62,039,184.11 100.0% U.S. Treasuries 11.20% Portfolio Composition as of 06/30/15 AA+ 25.04% Credit Quality Distribution² as of 06/30/15 Florida Education Investment Trust Fund 15.17% Federal Agency Obligations 46.09% AAAm 15.17% Commercial Paper 27.54% A-1+ (Shortterm) 59.79% 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
Capital Short Term Fund Maturity Distribution Percentage of Total Portfolio Maturity Distribution 1 June 30, 2015 March 31, 2015 Overnight (Money Market Fund) $6,017,262.44 $11,295,123.26 Under 6 Months 33,652,348.69 40,928,317.48 6-12 Months 0.00 9,815,743.37 1-2 Years 0.00 0.00 2-3 Years 0.00 0.00 3-4 Years 0.00 0.00 4-5 Years 0.00 0.00 5 Years and Over 0.00 0.00 Totals $39,669,611.13 $62,039,184.11 90% 84.8% Portfolio Maturity Distribution¹ 80% June 30, 2015 70% 66.0% March 31, 2015 60% 50% 40% 30% 3. Includes 20% money market 18.2% fund/cash balances held in custodian account. 15.2% 15.8% 10% 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
Operating Short Term Fund Composition and Credit Quality Characteristics Security Type 1 June 30, 2015 % of Portfolio March 31, 2015 % of Portfolio U.S. Treasuries $17,293,769.61 20.3% $17,319,315.53 15.5% Federal Agencies 43,524,238.73 51.2% 58,503,742.43 52.2% Commercial Paper 21,994,262.00 25.9% 34,090,054.00 30.4% Commercial Paper TLGP - FDIC Insured 0.00 0.0% 0.00 0.0% Certificates of Deposit 0.00 0.0% 0.00 0.0% Bankers Acceptances 0.00 0.0% 0.00 0.0% Repurchase Agreements 0.00 0.0% 0.00 0.0% Municipal Obligations 0.00 0.0% 0.00 0.0% Corporate Notes/Bonds 0.00 0.0% 0.00 0.0% Florida Education Investment Trust Fund 2,267,026.72 2.7% 2,079,966.35 1.9% Money Market Fund/Cash 0.00 0.0% 0.00 0.0% Totals $85,079,297.06 100.0% $111,993,078.31 100.0% Florida Education Investment Trust Fund 2.66% Commercial Paper 25.85% U.S. Treasuries 20.33% Portfolio Composition as of 06/30/15 Federal Agency Obligations 51.16% AAAm 2.66% A-1 (Shortterm) 5.87% AA+ 20.33% Credit Quality Distribution² as of 06/30/15 A-1+ (Shortterm) 71.14% 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
Operating Short Term Fund Maturity Distribution Maturity Distribution 1 June 30, 2015 March 31, 2015 Overnight (Money Market Fund) $2,267,026.72 $2,079,966.35 Under 6 Months 82,812,270.34 102,455,204.42 6-12 Months 0.00 7,457,907.54 1-2 Years 0.00 0.00 2-3 Years 0.00 0.00 3-4 Years 0.00 0.00 4-5 Years 0.00 0.00 5 Years and Over 0.00 0.00 Totals $85,079,297.06 $111,993,078.31 Percentage of Total Portfolio 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 97.3% Portfolio Maturity Distribution¹ 91.5% June 30, 2015 March 31, 2015 2.7% 1.9% 6.7% 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 D - 2
Self Insurance Fund Portfolio Performance Total Portfolio Value 1 June 30, 2015 March 31, 2015 Market Value $14,859,565.79 $14,839,791.14 Amortized Cost $14,834,011.00 $14,804,455.92 Quarterly Return Last Last Last Last Since Inception Total Return 2,3,4 June 30, 2015 12 Months 2 Years 5 Years 10 Years September 30, 2001 Self Insurance Fund Portfolio 0.13% 0.86% 0.79% 0.87% 2.67% 2.69% Merrill Lynch 1-3 Year U.S. Treasury Note Index 0.15% 0.88% 0.82% 0.82% 2.51% 2.57% Effective Duration (Years) 4,5 June 30, 2015 March 31, 2015 Yields June 30, 2015 March 31, 2015 Self Insurance Fund Portfolio 1.76 1.88 Yield at Market 0.72% 0.67% Merrill Lynch 1-3 Year U.S. Treasury Note Index 1.80 1.79 Yield at Cost 0.81% 0.78% Portfolio Duration % of Benchmark Duration 98% 105% 0.50% Quarter Total Return Comparison Quarter Ended 06/30/15 2.95% Since Inception Total Return Comparison Period Ended 06/30/15 Return 0.30% 0.10% -0.10% -0.30% Self Insurance Fund 0.13% ML 1-3 Year U.S. Treasury Note Index 0.15% Return 2.85% 2.75% 2.65% 2.55% 2.45% 2.35% Self Insurance Fund 2.69% 2.57% ML 1-3 Year U.S. Treasury Note Index -0.50% 1.00 1.50 2.00 2.50 3.00 Effective Duration (Years) 2.25% 1.00 1.50 2.00 2.50 3.00 Effective Duration (Years) 1. In order to comply with GASB accrual accounting reporting requirements; forward settling trades are included in the monthly balances. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. Performance on trade date basis, gross (i.e., before fees), is in accordance with The CFA Institute s Global Investment Performance Standards (GIPS). Quarterly returns are presented on an unannualized basis. Returns presented for 12 months or longer are presented on an annual basis. Past performance is not indicative of future results. 3. Since inception the benchmark has been the Merrill Lynch 1-3 Year U.S. Treasury Note Index. 4. Merrill Lynch Indices provided by Bloomberg Financial Markets. 5. Includes money market fund/cash in performance and duration computations. PFM Asset Management LLC Section E - 1
Self Insurance Fund Portfolio Composition and Credit Quality Characteristics Security Type 1 June 30, 2015 % of Portfolio March 31, 2015 % of Portfolio U.S. Treasuries $9,592,754.98 64.6% $9,415,261.66 63.4% Federal Agencies 1,591,716.36 10.7% 1,589,793.86 10.7% Commercial Paper 0.00 0.0% 349,934.90 2.4% Certificates of Deposit 0.00 0.0% 0.00 0.0% Bankers Acceptances 0.00 0.0% 0.00 0.0% Repurchase Agreements 0.00 0.0% 0.00 0.0% Municipal Obligations 776,161.41 5.2% 825,359.88 5.6% Corporate Notes/Bonds 2,799,580.17 18.8% 2,589,725.23 17.5% Mortgage Backed 0.00 0.0% 0.00 0.0% Money Market Fund/Cash 99,352.87 0.7% 69,715.61 0.5% Totals $14,859,565.79 100.0% $14,839,791.14 100.0% Corporate Notes/Bonds 18.84% Money Market Fund/Cash 0.67% Portfolio Composition as of 06/30/15 A- 2.36% A 5.59% Credit Quality Distribution² as of 06/30/15 Municipal Obligations 5.22% U.S. Treasuries 64.56% A+ 6.12% AA+ 80.67% Federal Agency Obligations 10.71% AA 5.26% 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
Self Insurance Fund Portfolio Maturity Distribution Maturity Distribution 1 June 30, 2015 March 31, 2015 Overnight (Money Market Fund) $99,352.87 $69,715.61 Under 6 Months 0.00 400,052.63 6-12 Months 776,161.41 349,606.83 1-2 Years 8,006,410.32 7,148,767.50 2-3 Years 5,977,641.19 4,935,269.80 3-4 Years 0.00 1,936,378.77 4-5 Years 0.00 0.00 5 Years and Over 0.00 0.00 Totals $14,859,565.79 $14,839,791.14 Percentage of Total Portfolio 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 0.7% 0.5% 0.0% 2.7% 5.2% 2.4% Portfolio Maturity Distribution¹ 53.9% 48.2% 40.2% 33.3% 13.0% June 30, 2015 March 31, 2015 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 E - 3
Self Insurance Fund Maturity Distribution versus the Benchmark¹ 25.0% 20.0% Market Value 15.0% 10.0% 5.0% 0.0% Years to Maturity Self Insurance Fund Merrill Lynch 1-3 Year U.S. Treasury Note Index 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
Health Insurance Fund Portfolio Performance Total Portfolio Value 1 June 30, 2015 March 31, 2015 Market Value $12,321,468.05 $12,305,246.78 Amortized Cost $12,300,440.51 $12,274,849.88 Quarterly Return Last Last Last Last Since Inception Total Return 2,3,4 June 30, 2015 12 Months 2 Years 3 Years 5 Years September 30, 2007 Health Insurance Fund 0.13% 0.86% 0.80% 0.65% 0.87% 2.18% Merrill Lynch 1-3 Year U.S. Treasury Note Index 0.15% 0.88% 0.82% 0.66% 0.82% 2.01% Effective Duration (Years) 4,5 June 30, 2015 March 31, 2015 Yields June 30, 2015 March 31, 2015 Health Insurance Fund 1.77 1.89 Yield at Market 0.73% 0.67% Merrill Lynch 1-3 Year U.S. Treasury Note Index 1.80 1.79 Yield at Cost 0.82% 0.79% Portfolio Duration % of Benchmark Duration 98% 105% 0.50% Quarter Total Return Comparison Quarter Ended 06/30/15 2.50% Since Inception Total Return Comparison Period Ended 06/30/15 Return 0.30% 0.10% -0.10% Health Insurance Fund 0.13% ML 1-3 Year U.S. Treasury Note Index 0.15% Return 2.25% 2.00% Health Insurance Fund 2.18% 2.01% ML 1-3 Year U.S. Treasury Note Index -0.30% 1.75% -0.50% 1.00 1.50 2.00 2.50 3.00 Effective Duration (Years) 1.50% 1.00 1.50 2.00 2.50 3.00 Effective Duration (Years) 1. In order to comply with GASB accrual accounting reporting requirements; forward settling trades are included in the monthly balances. End of quarter trade-date market values of portfolio holdings, including accrued interest. 2. Performance on trade date basis, gross (i.e., before fees), is in accordance with The CFA Institute s Global Investment Performance Standards (GIPS). Quarterly returns are presented on an unannualized basis. Returns presented for 12 months or longer are presented on an annual basis. Past performance is not indicative of future results. 3. Since inception the benchmark has been the Merrill Lynch 1-3 Year U.S. Treasury Note Index. 4. Merrill Lynch Indices provided by Bloomberg Financial Markets. 5. Includes money market fund/cash in performance and duration computations. PFM Asset Management LLC Section F - 1
Health Insurance Fund Portfolio Composition and Credit Quality Characteristics Security Type 1 June 30, 2015 % of Portfolio March 31, 2015 % of Portfolio U.S. Treasuries $7,553,872.81 61.3% $7,670,512.63 62.3% Federal Agencies 1,380,631.61 11.2% 1,378,902.15 11.2% Commercial Paper 299,705.70 2.4% 299,944.20 2.4% Certificates of Deposit 0.00 0.0% 0.00 0.0% Bankers Acceptances 0.00 0.0% 0.00 0.0% Repurchase Agreements 0.00 0.0% 0.00 0.0% Municipal Obligations 650,990.45 5.3% 700,351.55 5.7% Corporate Notes/Bonds 2,375,178.88 19.3% 2,132,549.21 17.3% Mortgage Backed 0.00 0.0% 0.00 0.0% Money Market Fund/Cash 61,088.60 0.5% 122,987.04 1.0% Totals $12,321,468.05 100.0% $12,305,246.78 100.0% Money Market Fund/Cash 0.50% Corporate Notes/Bonds 19.28% Municipal Obligations 5.28% Commercial Paper 2.43% Federal Agency Obligations 11.21% Portfolio Composition as of 06/30/15 U.S. Treasuries 61.31% A-1 (Shortterm) 2.44% A- 2.44% A 5.88% A+ 6.14% AA 5.31% Credit Quality Distribution² as of 06/30/15 AA+ 77.78% 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
Health Insurance Fund Portfolio Maturity Distribution Maturity Distribution 1 June 30, 2015 March 31, 2015 Overnight (Money Market Fund) $61,088.60 $122,987.04 Under 6 Months 299,705.70 350,061.93 6-12 Months 650,990.45 299,663.00 1-2 Years 6,216,800.16 5,892,165.97 2-3 Years 5,092,883.14 4,052,438.69 3-4 Years 0.00 1,587,930.15 4-5 Years 0.00 0.00 5 Years and Over 0.00 0.00 Percentage of Total Portfolio 70% 60% 50% 40% 30% 20% 10% 0% Totals $12,321,468.05 $12,305,246.78 Portfolio Maturity Distribution¹ June 30, 2015 March 31, 2015 50.5% 47.9% 41.3% 32.9% 12.9% 0.5% 1.0% 2.4% 2.8% 5.3% 2.4% 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
Health Insurance Fund Maturity Distribution versus the Benchmark¹ 25.0% 20.0% Market Value 15.0% 10.0% 5.0% 0.0% Years to Maturity Health Insurance Fund Merrill Lynch 1-3 Year U.S. Treasury Note Index 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
TAB III
Brevard County School District Asset Allocation as of June 30, 2015* Florida Education Investment Trust Fund 12.53% United States Treasury Securities 23.66% Money Market Mutual Funds 0.10% State and/or Local Government Debt 0.87% Federal Instrumentalities 39.46% Corporate Notes 3.16% Commercial Paper 20.23% Amortized Cost (Includes Interest) Allocation Percentage Permitted by Policy In Compliance Security Type 1 Notes Florida Prime (SBA) - 0.00% 0% YES United States Treasury Securities 38,837,703.67 23.66% 100% YES United States Government Agency Securities - 0.00% 50% YES Federal Instrumentalities 64,765,055.52 39.46% 2 80% YES Mortgage-Backed Securities - 0.00% 2,3 20% YES Certificates of Deposit or Savings Account - 0.00% 25% YES Repurchase Agreements - 0.00% 50% YES Commercial Paper 33,214,979.81 20.23% 35% YES Corporate Notes 5,180,146.68 3.16% 20% YES Bankers' Acceptances - 0.00% 35% YES State and/or Local Government Debt 1,426,823.83 0.87% 20% YES Money Market Mutual Funds 160,441.47 0.10% 75% YES Florida Education Investment Trust Fund 20,563,565.88 12.53% 4 25% YES 1. End of month trade-date amortized cost of portfolio holdings, including accrued interest. 2. The combined total of Federal Instrumentalities and Mortgage Backed Securities can not be more than 80%. The combined total as of June 30, 2015 is 39.46%. 3. The Investment Policy does allow for Government and Federal Agency mortgage backed securities (MBS'). Which is limited to GNMA, FHLMC, and FNMA mortgage backed securities. GNMA securities have the full faith and credit of the United States Treasury. As of September 6, 2008, FHLMC and FNMA have been under conservatorship with the United States Treasury. PFM has imposed an internal maximum allocation limit of 20% in MBS'. PFM will notify the School District prior to adding MBS' to the portfolio. 4. The District manages these funds. Includes the Discretionary Sales Surtax Account. PFM Asset Management LLC G - 1
Brevard County School District Asset Allocation as of June 30, 2015 Amortized Cost (Includes Interest) Allocation Percentage Permitted by Policy In Compliance Individual Issuer Breakdown Notes Government National Mortgage Association (GNMA) - 0.00% 25% YES Federal Farm Credit Bank (FFCB) - 0.00% 40% YES Federal Home Loan Bank (FHLB) 18,414,547.41 11.22% 40% YES Federal National Mortgage Association (FNMA) 21,711,345.08 13.23% 40% YES Federal Home Loan Mortgage Corporation (FHLMC) 24,639,163.03 15.01% 40% YES Regional Transportation Authority Municipal Bonds 675,732.87 0.44% 20% YES State of Louisiana Municipal Bonds 650,975.06 0.43% 20% YES University of California Municipal Bonds 100,115.90 0.07% 20% YES American Express Company Corporate Notes 648,715.69 0.43% 5% YES Apple, Inc. Corporate Notes 320,177.84 0.21% 5% YES Bank of New York Company Inc. Corporate Notes 650,867.55 0.43% 5% YES Caterpillar, Inc. Corporate Notes 511,924.10 0.34% 5% YES General Electric Capital Corporation Corporate Notes 1,004,966.15 0.66% 5% YES JP Morgan Chase & Company Corporate Notes 1,037,955.15 0.68% 5% YES Wells Fargo & Company Corporate Notes 1,005,540.20 0.66% 5% YES Bank of Tokyo Mitsubishi, Inc. Commercial Paper 299,660.00 0.20% 10% YES BNP Paribas Commercial Paper 4,993,283.35 3.29% 10% YES General Electric Company Commercial Paper 14,999,899.95 9.88% 10% YES Toyota Motor Corporation Commercial Paper 12,922,136.51 8.51% 10% YES Money Market Fund - STIF 160,441.47 0.11% 25% YES PFM Asset Management LLC G - 2