Investment Performance Review Investment Advisors Steven Alexander, CTP, CGFO, CPPT, Managing Director Robert Cheddar, CFA, Chief Credit Officer, Managing Director Richard Pengelly, CFA, CTP, Director Rebecca Geyer, CTP, Senior Analyst Cody Raulerson, Analyst One Keystone Plaza, Suite 300 North Front & Market Streets Harrisburg, PA 17101-2044 717.232.2723 717.233.6073 fax 300 South Orange Avenue Suite 1170 Orlando, FL 32801 407.648.2208 407.648.1323 fax 1 of 46
THE SCHOOL DISTRICT OF PALM BEACH COUNTY Table of Contents Tab I Tab II Tab III Market Update Executive Summary Investment Portfolio and Trade Analysis Short Term Portfolio Asset Allocation Chart Important Disclosures 2 of 46
Tab I 3 of 46
QUARTERLY MARKET SUMMARY SUMMARY ECONOMIC SNAPSHOT Fixed Income Management INTEREST RATES SECTOR PERFORMANCE 4 of 46
QUARTERLY MARKET SUMMARY Fixed Income Management Economic Snapshot Labor Market Latest Mar '17 Jun '16 Unemployment Rate (left) vs. Change in Nonfarm Payrolls (right) Growth Real GDP (QoQ) Inflation / Prices Consumer Price Index 1. Data as of First Quarter 2017. 2. Data as of Second Quarter 2016. Note: YoY = year-over-year, QoQ = quarter over quarter, SAAR = seasonally adjusted annual rate, WTI = West Texas Intermediate crude oil. Source: Bloomberg. 5 of 46
QUARTERLY MARKET SUMMARY Fixed Income Management Interest Rate Overview U.S. Treasury Note Yields U.S. Treasury Yield Curve Yield Yield Maturity U.S. Treasury Yields Yield Curves as of 6/30/17 Maturity Jun '17 Mar '17 Change over Quarter Jun '16 Change over Year Yield Maturity Source: Bloomberg. 6 of 46
QUARTERLY MARKET SUMMARY Fixed Income Management BofA Merrill Lynch Index Returns June 30, 2017 Duration Yield 3-month 1-year 3-years 1-3 Year Indices U.S. Treasury Federal Agency U.S. Corporates, A-AAA rated Agency MBS (0 to 3 years) Taxable Municipals 1-5 Year Indices U.S. Treasury Federal Agency U.S. Corporates, A-AAA rated Agency MBS (0 to 5 years) Taxable Municipals Master Indices (Maturities 1 Year or Greater) As of 6/30/17 Returns for Periods ended 6/30/17 U.S. Treasury Federal Agency U.S. Corporates, A-AAA rated Agency MBS (0 to 30 years) Taxable Municipals Returns for periods greater than one year are annualized. Source: BofA Merrill Lynch Indices. 7 of 46
QUARTERLY MARKET SUMMARY Fixed Income Management DISCLOSURES Advisers Act of 1940. The information contained is not an offer to purchase or sell any securities. Additional applicable regulatory information is available upon request. contained in this report is not an offer to purchase or sell any securities. 8 of 46
Tab II 9 of 46
THE SCHOOL DISTRICT OF PALM BEACH COUNTY Executive Summary The Investment Portfolio is of high credit quality and invested in U.S. Treasury, Federal Agency, municipal obligations, and corporate notes securities. The Investment Portfolio s quarterly total return performance of 0.21% outperformed the benchmark performance of 0.17% by 0.04%. For the last 12 months the Portfolio returned 0.09% versus the benchmark s return of -0.11%. Key drivers of market conditions in the 2nd quarter included: An additional Federal Reserve (Fed) rate hike, Mixed readings on key economic data in the U.S., Persistently subdued inflation readings, Narrowing credit spreads, and Stronger growth readings and higher yields in Europe and elsewhere. Short-term and long-term Treasury yields diverged during the second quarter as short-term (three years and under) yields moved higher, pricing in the Fed s June rate hike, while yields on longer-term maturities fell amid muted inflation and fading prospects for stimulative fiscal policy. As a result, the yield curve flattened, retracing all the steepening that took place following the U.S. presidential election. Our duration strategy is to remain largely in line with benchmark durations unless we have a strong conviction that rates are not appropriately reflecting market risks and expectations. Since market conditions were consistent with moderate growth and a Fed on track to gradually raise rates, we positioned portfolios to be neutral that is with durations equal to benchmark durations to start the second quarter. During May and June, however, we allowed durations to drift shorter as we believed that rates were not adequately pricing in the likelihood of a near-term Fed rate increase. When the Fed did raise rates in June, shorter-term portfolios benefited as yields adjusted to reflect a higher Fed funds rate. Our outlook for the third quarter is for continued modest growth in the U.S. economy. But, the future path of Fed tightening is less certain, as recent economic data has been disappointing, fiscal policy initiatives have stalled, and inflation remains below the Fed s 2% target. With rates priced for the current level of uncertainty, we are once again positioning portfolio durations to match that of benchmarks. We will continue to assess our duration positioning during the quarter as we gain more clarity surrounding Fed policy and trajectory of the U.S. and global economy. 10 of 46
PALM BEACH CNTY FL S/D Portfolio Snapshot Credit Quality (S&P Ratings) Sector Allocation Portfolio Statistics As of June 30, 2017 A+ 2.6% AA 3.0% AA- 5.2% U.S. Treasury 38.1% Corporate 11.3% Par Value: $46,145,000 Total Market Value: $46,090,338 Security Market Value: $45,971,347 Accrued Interest: Cash: Amortized Cost: Yield at Market: $118,991 - $46,155,474 1.38% AA+ 89.1% Municipal 2.2% Federal Agency/GSE 48.4% Yield at Cost: Effective Duration: Duration to Worst: Average Maturity: Average Credit: ** 1.13% 1.48 Years 1.48 Years 1.51 Years AA 50% 45% 40% 35% 30% 25% 24.6% 45.8% Maturity Distribution 29.6% 20% 15% 10% 5% 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. 11 of 46 Account 68890100
PALM BEACH CNTY FL S/D Portfolio Performance Portfolio Performance (Total Return) Annualized Return Portfolio/Benchmark Effective Duration Current Quarter 1 Year 3 Year 5 Year 10 Year Since Inception (12/31/98) ** PALM BEACH CNTY FL S/D 1.48 0.21% 0.09% 0.77% 0.71% 2.17% 3.16% BofA ML 1-3 Year U.S. Treasury Index 1.82 0.17% -0.11% 0.69% 0.63% 1.95% 2.96% Difference 0.04% 0.20% 0.08% 0.08% 0.22% 0.20% 3.5% 3.0% 3.16% 2.96% Total Return 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% -0.5% 2.17% 1.95% 0.77% 0.69% 0.71% 0.63% 0.21% 0.17% 0.09% -0.11% 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. 12 of 46 Account 68890100
PALM BEACH CNTY FL S/D Portfolio Performance Portfolio Performance (Total Return) Quarter Ended Annualized Return Portfolio/Benchmark Effective Duration 06/30/17 03/31/17 12/31/16 09/30/16 1 Year 3 Year 5 Year PALM BEACH CNTY FL S/D 1.48 0.21% 0.27% -0.33% -0.06% 0.09% 0.77% 0.71% BofA ML 1-3 Year U.S. Treasury Index 1.82 0.17% 0.26% -0.43% -0.11% -0.11% 0.69% 0.63% Difference 0.04% 0.01% 0.10% 0.05% 0.20% 0.08% 0.08% 0.8% 0.6% 0.77% 0.69% 0.71% 0.63% Total Return 0.4% 0.2% 0.0% -0.2% 0.21% 0.17% 0.27% 0.26% 0.09% -0.06% -0.11% -0.11% -0.4% -0.6% -0.33% -0.43% 06/30/17 03/31/17 12/31/16 09/30/16 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. 13 of 46 Account 68890100
PALM BEACH CNTY FL S/D Portfolio Performance Portfolio Performance (Total Return) Quarter Ended Annualized Return Portfolio/Benchmark Effective Duration 06/30/17 03/31/17 12/31/16 09/30/16 1 Year 3 Year 5 Year PALM BEACH CNTY FL S/D 1.48 0.21% Net of Fees ** 0.00 0.19% BofA ML 1-3 Year U.S. Treasury Index 1.82 0.17% 0.27% -0.33% -0.06% 0.25% -0.35% -0.08% 0.26% -0.43% -0.11% 0.09% 0.77% 0.71% 0.01% 0.70% 0.64% -0.11% 0.69% 0.63% Difference (Gross) 0.04% 0.01% 0.10% 0.05% 0.20% 0.08% 0.08% Difference (Net) 0.02% -0.01% 0.08% 0.03% 0.12% 0.01% 0.01% 0.8% 0.6% 0.77% 0.69% 0.71% 0.63% Total Return 0.4% 0.2% 0.0% -0.2% 0.21% 0.17% 0.27% 0.26% 0.09% -0.06% -0.11% -0.11% -0.4% -0.6% -0.33% -0.43% 06/30/17 03/31/17 12/31/16 09/30/16 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. 14 of 46 Account 68890100
PALM BEACH CNTY FL S/D Portfolio Performance Portfolio Earnings Quarter-Ended June 30, 2017 Market Value Basis Accrual (Amortized Cost) Basis Beginning Value (03/30/2017) $45,999,112.94 $46,161,242.51 Net Purchases/Sales ($4,285.35) ($4,285.35) Change in Value ($23,480.84) ($1,482.94) Ending Value (06/30/2017) $45,971,346.75 $46,155,474.22 Interest Earned $131,700.49 $131,700.49 Portfolio Earnings $108,219.65 $130,217.55 Account 68890100 15 of 46
PALM BEACH CNTY FL S/D Portfolio Composition Sector Allocation As of June 30, 2017 Sector Market Value ($) % of Portfolio Federal Agency/GSE 22,269,075 48.4% U.S. Treasury 17,510,751 38.1% U.S. Treasury 38.1% Corporate 11.3% Corporate 5,195,351 11.3% Municipal 996,170 2.2% Total $45,971,347 100.0% Municipal 2.2% Federal Agency/GSE 48.4% Detail may not add to total due to rounding. 16 of 46 Account 68890100
PALM BEACH CNTY FL S/D Portfolio Composition Sector Allocation As of June 30, 2017 Sector Market Value ($) % of Portfolio % of Benchmark Federal Agency/GSE 22,269,075 48.4% - U.S. Treasury 17,510,751 38.1% 100.0% Corporate 5,195,351 11.3% - Municipal 996,170 2.2% - Total 100% $45,971,347 100.0% 100.0% 100.0% 80% 60% 48.4% 40% 38.1% 20% 0% 11.3% 0.0% 0.0% 2.2% 0.0% Corporate Federal Agency/GSE Municipal U.S. Treasury PALM BEACH CNTY FL S/D BofA ML 1-3 Year U.S. Treasury Index Detail may not add to total due to rounding. 17 of 46 Account 68890100
PALM BEACH CNTY FL S/D Portfolio Composition Sector Allocation June 30, 2017 March 31, 2017 December 31, 2016 September 30, 2016 Sector MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total Federal Agency/GSE 22.3 48.4% 21.8 47.3% 21.3 44.4% 23.3 48.4% U.S. Treasury 17.5 38.1% 18.0 39.2% 18.5 38.7% 16.8 34.9% Corporate 5.2 11.3% 5.2 11.3% 5.2 10.9% 5.2 10.8% Municipal 1.0 2.2% 1.0 2.2% 1.0 2.1% 1.0 2.1% Commercial Paper 0.0 0.0% 0.0 0.0% 1.8 3.9% 1.8 3.8% Total $46.0 100.0% $46.0 100.0% $47.9 100.0% $48.2 100.0% 100% 90% 80% Commercial Paper Municipal Corporate U.S. Treasury Federal Agency/GSE 70% 60% 50% 40% 30% 20% 10% 0% June 2017 March 2017 December 2016 September 2016 Detail may not add to total due to rounding. 18 of 46 Account 68890100
PALM BEACH CNTY FL S/D Portfolio Composition Maturity Distribution As of June 30, 2017 Portfolio/Benchmark Yield at Market Average Maturity 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years >5 Years PALM BEACH CNTY FL S/D 1.38% 1.51 yrs 24.6% 45.8% 29.6% 0.0% 0.0% 0.0% BofA ML 1-3 Year U.S. Treasury Index 1.40% 1.94 yrs 3.1% 53.5% 43.4% 0.0% 0.0% 0.0% 60% 53.5% 50% 45.8% 43.4% 40% 30% 20% 24.6% 29.6% 10% 0% 3.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years PALM BEACH CNTY FL S/D BofA ML 1-3 Year U.S. Treasury Index Account 68890100 19 of 46
PALM BEACH CNTY FL S/D Portfolio Composition Duration Distribution As of June 30, 2017 Portfolio / Benchmark Effective Duration 0-1 YEARS 1-2 YEARS 2-3 YEARS 3-4 YEARS 4-5 YEARS > 5 YEARS PALM BEACH CNTY FL S/D 1.48 24.6% 45.8% 29.6% 0.0% 0.0% 0.0% BofA ML 1-3 Year U.S. Treasury Index 1.82 3.1% 54.2% 42.7% 0.0% 0.0% 0.0% 60% 50% 40% Distribution by Effective Duration 54% 46% 43% 60% 50% 40% Contribution to Portfolio Duration 55% 45% 44% 43% 30% 25% 30% 30% 20% 20% 10% 0% 3% 0% 0% 0% 0% 0% 0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years 10% 0% 11% 2% 0% 0% 0% 0% 0% 0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years PALM BEACH CNTY FL S/D PALM BEACH CNTY FL S/D BofA ML 1-3 Year U.S. Treasury Index BofA ML 1-3 Year U.S. Treasury Index Account 68890100 20 of 46
PALM BEACH CNTY FL S/D Portfolio Composition Credit Quality As of June 30, 2017 S&P Rating Market Value ($) % of Portfolio AA+ $40,975,476 89.1% AA- $2,400,398 5.2% AA $1,395,929 3.0% A+ 2.6% AA 3.0% AA- 5.2% A+ $1,199,544 2.6% Totals 100.0% $45,971,347 AA+ 89.1% Detail may not add to total due to rounding. 21 of 46 Account 68890100
PALM BEACH CNTY FL S/D Portfolio Composition Issuer Distribution As of June 30, 2017 Issuer Market Value ($) % of Portfolio UNITED STATES TREASURY 17,510,751 38.1% FEDERAL HOME LOAN BANKS 10,708,762 23.3% FANNIE MAE 8,139,380 17.7% FREDDIE MAC 3,420,933 7.4% TOYOTA MOTOR CORP 1,200,706 2.6% CHEVRON CORPORATION 1,199,693 2.6% IBM CORP 1,199,544 2.6% Top 5 = 89.1% Top 10 = 100.0% APPLE INC 1,195,650 2.6% REGIONAL TRANS AUTH, IL 996,170 2.2% BERKSHIRE HATHAWAY INC 399,759 0.9% Grand Total: 45,971,347 100.0% Account 68890100 22 of 46
PALM BEACH CNTY FL S/D Portfolio Composition Sector/Issuer Distribution As of June 30, 2017 Sector / Issuer Market Value ($) % of Sector % of Total Portfolio Corporate APPLE INC 1,195,650 23.0% 2.6% BERKSHIRE HATHAWAY INC 399,759 7.7% 0.9% CHEVRON CORPORATION 1,199,693 23.1% 2.6% IBM CORP 1,199,544 23.1% 2.6% TOYOTA MOTOR CORP 1,200,706 23.1% 2.6% Sector Total 5,195,351 100.0% 11.3% Federal Agency/GSE FANNIE MAE 8,139,380 36.6% 17.7% FEDERAL HOME LOAN BANKS 10,708,762 48.1% 23.3% FREDDIE MAC 3,420,933 15.4% 7.4% Sector Total 22,269,075 100.0% 48.4% Municipal REGIONAL TRANS AUTH, IL 996,170 100.0% 2.2% Sector Total 996,170 100.0% 2.2% U.S. Treasury UNITED STATES TREASURY 17,510,751 100.0% 38.1% Account 68890100 23 of 46
PALM BEACH CNTY FL S/D Portfolio Composition Sector / Issuer Market Value ($) % of Sector % of Total Portfolio Sector Total 17,510,751 100.0% 38.1% 45,971,347 Portfolio Total 100.0% 100.0% Account 68890100 24 of 46
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 4/19/17 4/20/17 480,000 3137EAEF2 FHLMC AGENCY NOTES 1.37% 4/20/20 478,358.40 1.49% Total BUY 480,000 478,358.40 INTEREST 4/1/17 4/1/17 2,500,000 3130A9AE1 FHLB GLOBAL NOTE 0.87% 10/1/18 10,937.50 4/1/17 4/1/17 1,000,000 7599112M1 REGIONAL TRANS AUTH, IL TXBL REV BONDS 1.25% 5/4/18 6,250.00 4/15/17 4/15/17 1,900,000 3137EADZ9 FREDDIE MAC NOTES 1.12% 4/15/19 10,687.50 4/30/17 4/30/17 3,080,000 912828WD8 US TREASURY NOTES 1.25% 10/31/18 19,250.00 4/30/17 4/30/17 1,295,000 912828WD8 US TREASURY NOTES 1.25% 10/31/18 8,093.75 4/30/17 4/30/17 1,700,000 912828UZ1 US TREASURY NOTES 0.62% 4/30/18 5,312.50 5/3/17 5/3/17 1,200,000 037833AJ9 APPLE INC GLOBAL NOTES 1.00% 5/3/18 6,000.00 5/31/17 5/31/17 3,160,000 912828G61 US TREASURY NOTES 1.50% 11/30/19 23,700.00 6/21/17 6/21/17 1,250,000 3130A8DB6 FHLB GLOBAL NOTE 1.12% 6/21/19 7,031.25 6/29/17 6/29/17 1,270,000 3130A8BD4 FEDERAL HOME LOAN BANKS AGCY 0.87% 6/29/18 5,556.25 6/30/17 6/30/17 2,040,000 912828A75 US TREASURY NOTES 1.50% 12/31/18 15,300.00 6/30/17 6/30/17 2,220,000 912828A75 US TREASURY NOTES 1.50% 12/31/18 16,650.00 Total INTEREST 22,615,000 134,768.75 SELL 4/19/17 4/20/17 480,000 912828A75 US TREASURY NOTES 1.50% 12/31/18 484,831.60 1.17% 431.30 Account 68890100 25 of 46
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) Total SELL 480,000 484,831.60 431.30 Account 68890100 26 of 46
PALM BEACH CNTY FL S/D 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 4/1/17 4/1/17 2,500,000.00 3130A9AE1 FHLB GLOBAL NOTE 0.87% 10/1/18 10,937.50 INTEREST 4/1/17 4/1/17 1,000,000.00 7599112M1 REGIONAL TRANS AUTH, IL TXBL REV BONDS 1.25% 5/4/18 6,250.00 INTEREST 4/15/17 4/15/17 1,900,000.00 3137EADZ9 FREDDIE MAC NOTES 1.12% 4/15/19 10,687.50 BUY 4/19/17 4/20/17 480,000.00 3137EAEF2 FHLMC AGENCY NOTES 1.37% 4/20/20 (478,358.40) 1.49% SELL 4/19/17 4/20/17 480,000.00 912828A75 US TREASURY NOTES 1.50% 12/31/18 484,831.60 1.17% 431.30 INTEREST 4/30/17 4/30/17 3,080,000.00 912828WD8 US TREASURY NOTES 1.25% 10/31/18 19,250.00 INTEREST 4/30/17 4/30/17 1,295,000.00 912828WD8 US TREASURY NOTES 1.25% 10/31/18 8,093.75 INTEREST 4/30/17 4/30/17 1,700,000.00 912828UZ1 US TREASURY NOTES 0.62% 4/30/18 5,312.50 INTEREST 5/3/17 5/3/17 1,200,000.00 037833AJ9 APPLE INC GLOBAL NOTES 1.00% 5/3/18 6,000.00 INTEREST 5/31/17 5/31/17 3,160,000.00 912828G61 US TREASURY NOTES 1.50% 11/30/19 23,700.00 INTEREST 6/21/17 6/21/17 1,250,000.00 3130A8DB6 FHLB GLOBAL NOTE 1.12% 6/21/19 7,031.25 INTEREST 6/29/17 6/29/17 1,270,000.00 3130A8BD4 FEDERAL HOME LOAN BANKS AGCY 0.87% 6/29/18 5,556.25 INTEREST 6/30/17 6/30/17 2,040,000.00 912828A75 US TREASURY NOTES 1.50% 12/31/18 15,300.00 INTEREST 6/30/17 6/30/17 2,220,000.00 912828A75 US TREASURY NOTES 1.50% 12/31/18 16,650.00 TOTALS 141,241.95 431.30 Account 68890100 27 of 46
PALM BEACH CNTY FL S/D Trade Analysis Trade Analysis for April 20, 2017 Transaction Date: April 20, 2017 Transaction Security Maturity Date Par Value Price Yield at Market Benefit Gain/Loss Additional Earnings Sold US TREASURY NOTES 12/31/2018 $480,000.00 $100.5508 1.171% $431.30 Purchased FHLMC AGENCY NOTES 4/20/2020 ($480,000.00) $99.6580 1.492% 0.321% (2,653.60) Total Estimated Benefit from Transaction to Original Maturity ($2,222.30) Total Estimated Benefit from Transactions ($2,222.30) 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. Account 68890100 28 of 46
PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Snapshot Credit Quality (S&P Ratings) Sector Allocation Portfolio Statistics As of June 30, 2017 Par Value: $250,000,000 Total Market Value: $250,471,175 Security Market Value: $249,852,500 Accrued Interest: $496,015 Cash: Amortized Cost: Yield at Market: $122,661 $249,949,561 0.95% AA+ 100.0% U.S. Treasury 100.0% Yield at Cost: Effective Duration: Duration to Worst: 0.71% 0.15 Years 0.15 Years 100% 100.0% Maturity Distribution Average Maturity: Average Credit: ** 0.15 Years AA 80% Benchmark Eff. Yield: 0.88% 60% 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. 29 of 46 Account 68890170
PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Performance Portfolio Earnings Quarter-Ended June 30, 2017 Market Value Basis Accrual (Amortized Cost) Basis Beginning Value (03/30/2017) $399,506,850.00 $399,601,633.00 Net Purchases/Sales ($150,000,000.00) ($150,000,000.00) Change in Value $345,650.00 $347,927.50 Ending Value (06/30/2017) $249,852,500.00 $249,949,560.50 Interest Earned $387,913.13 $387,913.13 Portfolio Earnings $733,563.13 $735,840.63 Account 68890170 30 of 46
PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Sector Allocation As of June 30, 2017 Sector Market Value ($) % of Portfolio U.S. Treasury 249,852,500 100.0% Total $249,852,500 100.0% U.S. Treasury 100.0% Detail may not add to total due to rounding. 31 of 46 Account 68890170
PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Sector Allocation As of June 30, 2017 Sector Market Value ($) % of Portfolio % of Benchmark U.S. Treasury 249,852,500 100.0% 100.0% Total 100% $249,852,500 100.0% 100.0% 100.0% 100.0% 80% 60% 40% 20% 0% U.S. Treasury PALM BEACH COUNTY SD SHORT TERM FUND BofA ML 3 Month U.S. Treasury Bill Index Detail may not add to total due to rounding. 32 of 46 Account 68890170
PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Sector Allocation June 30, 2017 March 31, 2017 December 31, 2016 September 30, 2016 Sector MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total MV ($MM) % of Total U.S. Treasury 249.9 100.0% 249.7 62.5% 249.8 50.1% 0.0 0.0% Commercial Paper 0.0 0.0% 149.8 37.5% 249.1 49.9% 0.0 0.0% Total $249.9 100.0% $399.5 100.0% $498.9 100.0% $0.0 0.0% 100% 90% 80% 70% Commercial Paper U.S. Treasury 60% 50% 40% 30% 20% 10% 0% June 2017 March 2017 December 2016 Detail may not add to total due to rounding. 33 of 46 Account 68890170
PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Maturity Distribution As of June 30, 2017 Portfolio/Benchmark Yield at Market Average Maturity 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years >5 Years PALM BEACH COUNTY SD SHORT TERM FUND 0.95% 0.15 yrs 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% BofA ML 3 Month U.S. Treasury Bill Index 1.00% 0.25 yrs 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% 100% 100.0% 100.0% 80% 60% 40% 20% 0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years PALM BEACH COUNTY SD SHORT TERM FUND BofA ML 3 Month U.S. Treasury Bill Index Account 68890170 34 of 46
PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Duration Distribution As of June 30, 2017 Portfolio / Benchmark Effective Duration 0-1 YEARS 1-2 YEARS 2-3 YEARS 3-4 YEARS 4-5 YEARS > 5 YEARS PALM BEACH COUNTY SD SHORT TERM FUND 0.15 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% BofA ML 3 Month U.S. Treasury Bill Index 0.15 100.0% 0.0% 0.0% 0.0% 0.0% 0.0% Distribution by Effective Duration Contribution to Portfolio Duration 100% 100% 100% 120% 80% 100% 100% 100% 60% 80% 60% 40% 40% 20% 20% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0-1 Years 1-2 Years 2-3 Years 3-4 Years 4-5 Years > 5 Years PALM BEACH COUNTY SD SHORT TERM FUND PALM BEACH COUNTY SD SHORT TERM FUND BofA ML 3 Month U.S. Treasury Bill Index BofA ML 3 Month U.S. Treasury Bill Index Account 68890170 35 of 46
PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Credit Quality As of June 30, 2017 S&P Rating Market Value ($) % of Portfolio AA+ $249,852,500 100.0% Totals 100.0% $249,852,500 AA+ 100.0% Detail may not add to total due to rounding. 36 of 46 Account 68890170
PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Issuer Distribution As of June 30, 2017 Issuer Market Value ($) % of Portfolio UNITED STATES TREASURY 249,852,500 100.0% Grand Total: 249,852,500 100.0% Account 68890170 37 of 46
PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Composition Sector/Issuer Distribution As of June 30, 2017 Sector / Issuer Market Value ($) % of Sector % of Total Portfolio U.S. Treasury UNITED STATES TREASURY 249,852,500 100.0% 100.0% Sector Total 249,852,500 100.0% 100.0% 249,852,500 Portfolio Total 100.0% 100.0% Account 68890170 38 of 46
PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Activity Quarterly Portfolio Transactions Trade Date Settle Date Par ($) CUSIP Security Description Coupon Maturity Date Transact Amt ($) Yield at Market Realized G/L (BV) INTEREST 4/3/17 4/3/17 0 MONEY0002 MONEY MARKET FUND 14,306.06 5/1/17 5/1/17 0 MONEY0002 MONEY MARKET FUND 14,177.45 6/1/17 6/1/17 0 MONEY0002 MONEY MARKET FUND 1,489.30 Total INTEREST 0 29,972.81 MATURITY 4/28/17 4/28/17 50,000,000 06366GRU5 BANK OF MONTREAL CHICAGO COMM PAPER 0.00% 4/28/17 50,000,000.00 0.00 5/31/17 5/31/17 50,000,000 09659BSX9 BNP PARIBAS NY BRANCH COMM PAPER 0.00% 5/31/17 50,000,000.00 0.00 6/14/17 6/14/17 50,000,000 22533TTE6 CREDIT AGRICOLE CIB NY COMM PAPER 0.00% 6/14/17 50,000,000.00 0.00 Total MATURITY 150,000,000 150,000,000.00 0.00 Account 68890170 39 of 46
PALM BEACH COUNTY SD SHORT TERM FUND Portfolio Activity Quarterly Portfolio Transactions Tran. Type Trade Date Settle Date Par ($) CUSIP Security Description Coupon Maturity Date Transact Amt ($) Yield Realized G/L (BV) INTEREST 4/3/17 4/3/17 0.00 MONEY0002 MONEY MARKET FUND 14,306.06 MATURITY 4/28/17 4/28/17 50,000,000.00 06366GRU5 BANK OF MONTREAL CHICAGO COMM PAPER 0.00% 4/28/17 50,000,000.00 0.00 INTEREST 5/1/17 5/1/17 0.00 MONEY0002 MONEY MARKET FUND 14,177.45 MATURITY 5/31/17 5/31/17 50,000,000.00 09659BSX9 BNP PARIBAS NY BRANCH COMM PAPER 0.00% 5/31/17 50,000,000.00 0.00 INTEREST 6/1/17 6/1/17 0.00 MONEY0002 MONEY MARKET FUND 1,489.30 MATURITY 6/14/17 6/14/17 50,000,000.00 22533TTE6 CREDIT AGRICOLE CIB NY COMM PAPER 0.00% 6/14/17 50,000,000.00 0.00 TOTALS 150,029,972.81 0.00 Account 68890170 40 of 46
Tab III 41 of 46
PALM BEACH COUNTY SCHOOL DISTRICT Asset Allocation United States Treasury Securities 40.63% Florida Prime (SBA) 0.00% Bank Cash 34.23% Federal Instrumentalities 3.41% Corporate Notes 0.79% State and/or Local Government Debt 0.15% Fixed Income Money Market Mutual Funds 0.02% Intergovernmental Investment Pools FEITF 20.76% Security Type 1 Amortized Cost (Includes Interest) Allocation Percentage Notes Permitted by Policy In Compliance Florida Prime (SBA) 32,926.51 0.00% 2 25% YES United States Treasury Securities 268,022,087.78 40.63% 100% YES United States Government Agency Securities - 0.00% 50% YES Federal Instrumentalities 22,475,428.01 3.41% 3 80% YES Mortgage-Backed Securities - 0.00% 3 20% YES Certificates of Deposit or Savings Accounts - 0.00% 25% YES Repurchase Agreements - 0.00% 50% YES Commercial Paper - 0.00% 35% YES Corporate Notes 5,219,400.00 0.79% 15% YES Bankers' Acceptances - 0.00% 35% YES State and/or Local Government Debt 1,003,125.00 0.15% 20% YES Fixed Income Money Market Mutual Funds 122,660.50 0.02% 75% YES Short Term Bonds Funds - 0.00% 25% YES Intergovernmental Investment Pools - FEITF 136,951,049.77 20.76% 25% YES Bank Cash 225,802,965.54 34.23% 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 June 30, 2017 is 3.41%. 42 of 46
PALM BEACH COUNTY SCHOOL DISTRICT Asset Allocation 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% 50% YES Federal Home Loan Bank (FHLB) 10,802,014.62 1.64% 50% YES Federal National Mortgage Association (FNMA) 8,209,674.86 1.24% 50% YES Federal Home Loan Mortgage Corporation (FHLMC) 3,463,738.53 0.53% 50% YES Regional Transportation Authority Municipal Bonds 1,003,125.00 0.15% 20% YES Apple, Inc. Corporate Notes 1,197,796.03 0.18% 5% YES Berkshire Hathaway, Inc. Corporate Notes 401,764.28 0.06% 5% YES Chevron Corporation Corporate Notes 1,205,103.94 0.18% 5% YES IBM Corporation Corporate Notes 1,205,936.17 0.18% 5% YES Toyota Motor Corporation Corporate Notes 1,208,799.58 0.18% 5% YES Florida Prime 32,926.51 0.00% 25% YES Cash: Bank of America 306,153.42 0.05% 100% YES Florida Education Investment Trust Fund 136,951,049.77 20.76% 25% YES Cash: Wells Fargo 225,496,812.12 34.19% 100% YES 43 of 46
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, 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 à Market values that 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. à 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. à 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. à Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets. à Money market fund/cash balances are included in performance and duration computations. à Standard & Poorʼs is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/lgip holdings. à Callable securities in the portfolio are included in the maturity distribution analysis to their stated maturity date, although, they may be called prior to maturity. à MBS maturities are represented by expected average life. Account 68890100 44 of 46
PALM BEACH CNTY FL S/D Appendix GLOSSARY Ã ACCRUED INTEREST: Interest that is due on a bond or other fixed income security since the last interest payment was made. Ã AGENCIES: Federal agency securities and/or Government-sponsored enterprises. Ã 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. Ã 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. Ã COMMERCIAL PAPER: An unsecured obligation issued by a corporation or bank to finance its short-term credit needs, such as accounts receivable and inventory. Ã 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. Ã 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. Ã EFFECTIVE DURATION: A measure of the sensitivity of a security s price to a change in interest rates, stated in years. Ã 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 ominal yield does not. Ã FDIC: Federal Deposit Insurance Corporation. A federal agency that insures bank deposits to a specified amount. Ã INTEREST RATE: Interest per year divided by principal amount and expressed as a percentage. Ã MARKET VALUE: The value that would be received or paid for an investment in an orderly transaction between market participants at the measurement date. Ã MATURITY: The date upon which the principal or stated value of an investment becomes due and payable. Ã NEGOTIABLE CERTIFICATES OF DEPOSIT: A CD with a very large denomination, usually $1 million or more, that can be traded in secondary markets. Ã PAR VALUE: The nominal dollar face amount of a security. Account 68890100 45 of 46
PALM BEACH CNTY FL S/D Appendix GLOSSARY Ã 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. Ã 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. Ã SETTLE DATE: The date on which the transaction is settled and monies/securities are exchanged. If the settle date of the transaction (i.e., coupon payments and maturity proceeds) occurs on a non-business day, the funds are exchanged on the next business day. Ã TRADE DATE: The date on which the transaction occurred; however, the final consummation of the security transaction and payment has not yet taken place. Ã UNSETTLED TRADE: A trade which has been executed; however, the final consummation of the security transaction and payment has not yet taken place. Ã U.S. TREASURY: The department of the U.S. government that issues Treasury securities. Ã 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. Ã 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. Ã 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. Account 68890100 46 of 46