Investment Performance Review For the Quarter Ended March 31, 2020 · PFM Asset Management LLC. 300...

Investment Advisors

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PFM Asset Management LLC

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Orlando, FL 32801407.648.2208

407.648.1323 fax

Investment Performance Review For the Quarter Ended March 31, 2020

Steven Alexander, CTP, CGFO, CPPT, Managing DirectorRobert Cheddar, CFA, Chief Credit Officer, Managing DirectorD. Scott Stitcher, CFA, DirectorSean Gannon, CTP, Senior AnalystScott Sweeten, BCM, CFS, Client Relationship Manager

BREVARD PUBLIC SCHOOLS

For the Quarter Ended March 31, 2020

Table of Contents


Tab I

Market Update

Executive Summary Page

Asset Allocation Chart Pages

Portfolio Snapshots Pages

Aggregate Holdings Pages

2-7

8

9-11

12-16

17-24

1 of 25




Source: Bloomberg, latest data available as of 2/29/2020.

Market Update

Domestic Data Was Strong Prior to Coronavirus Outbreak

0%

1%

2%

3%

4%

1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q

U.S. GDP Growthall four quarters’ readings topped

analyst estimates

2017 2018 2019

highest level in 12 years

86

173 181 192

251227

193 179

223

177

0k

100k

200k

300k

2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Average Monthly Job Growththe 2010s were the best decade for job growth on record

80

90

100

110

120

130

140

150

2015 2016 2017 2018 2019 2020

Conference Board Consumer Confidence

had been near all-time highs

0

250

500

750

1,000

1,250

2005 2007 2009 2011 2013 2015 2017 2019

New Home Sales (000s, annual pace)

2 of 25



For the Quarter Ended March 31, 2020Market Update

COVID-19: A Three-Pronged Crisis

Health Crisis PandemicThe rapidly spreading coronavirus is overwhelming

healthcare facilities around the world as the number of cases and deaths related to the virus continue to grow.

Effects on Financial MarketsTreasury yields and stock prices have plummeted while credit spreads and

volatility have soared in reaction to the uncertainty created by the pandemic.

Effects on the EconomyWith businesses forced to close their doors

and consumers stuck at home “social distancing,” the economy has come to a near

standstill over a very short period of time.

Closed Until Further Notice

3 of 25




U.S. Economy Posts Massive Job Losses in March

Source: Bloomberg, as of 4/3/2020. Data is seasonally adjusted.

3/20/20203,307

3/27/20206,648

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

1970 1980 1990 2000 2010 2020

Thou

sand

s

Initial Jobless Claims

Previousall-time high

Peak during the Great Recession -701

-1000

-800

-600

-400

-200

0

200

400

600

800

2007 2009 2011 2013 2015 2017 2019

Thou

sand

s

Monthly Change in Non-Farm Payrolls

Labor market sheds more jobs in March than in any month since the 2007-2009 recession

10 million new jobless claims imply an unemployment rate near 10% at the end of March

4 of 25




-4%

-30%

14%9%

5% 5%

-50%

-40%

-30%

-20%

-10%

0%

10%

20%

30%

Q1 '20 Q2 '20 Q3 '20 Q4 '20 Q1 '21 Q2 '21

U.S. GDP Forecasts

Range Average

Source: Bloomberg. Forecasts made from 3/25/2020 through 4/3/2020 by ING Group, Morgan Stanley, Deutsche Bank, Goldman Sachs Group, Barclays, JPMorgan Chase, UBS, TD Bank, and Wells Fargo.

Market Update

Economists Expect a Significant, Immediate Downturn in the U.S. Economy

Due to the uncertainty regarding the continued spread and duration of the novel coronavirus, forecasts for economic

growth vary greatly among economists. Some expect a sharp contraction followed by a quick rebound, and others forecast a more protracted contraction followed by a gradual recovery.

5 of 25




Congress Passes $2 Trillion Stimulus Package

Source: NPR, as of 3/31/2020.

Coronavirus Aid, Relief, and Economic Security (CARES) ActLoansDirect Relief Supplemental

Household payments $301 billion

Unemployment Insurance $250 billion

Aid to states$150 billion

Other $198 billion

Tax deferrals and extended deadlines$221 billion

Airline, cargo carrier$29 billion

Loans to businesses$454 billion

Small business loans$349 billion

Airline, cargo grants

$32 billion

Hospitals and veteran’s care$117 billion

Public transit$25 billion

6 of 25




Fixed-Income Sector Outlook – April 2020

Sector Our Investment Preferences CommentsC O M M E R C I A L P A P E R

/ C D• Money market credit spreads have come in but are still wide from a historic

perspective. Fed action has gradually improved liquidity but varies by issuer.

T R E A S U R I E S • T-Bills are attractive in the near term with overnight repo trading near zero and scarce agency discount note supply. Issuance is expected to increase.

• During times of extreme volatility, Treasuries typically have value as a safe haven. Recent market turmoil has strained the sector’s liquidity as seen in wider bid/ask spreads; Fed facilities have improved the sector’s functioning and liquidity is expected to further improve.

T-BillT-Note

F E D E R A L A G E N C I E S • Federal Agency bullet spreads have gapped tighter by 3-15 bps across the curve from the move wider two weeks ago. Bullets still offer relative value vs Treasuries and should be considered for reinvestment of cash or UST.

• Callable spreads to like maturity Treasuries have widened over the week. Value is available on a structure by structure basis.

BulletsCallables

S U P R A N A T I O N A L S• Supranational spreads are at their widest levels since 2016. Despite the

move wider, secondary offerings are still in line with similar maturity GSEs. Accounts should favor GSEs over secondary SSA’s to enhance liquidity.

• New issues may benefit from their concession to existing supply.

C O R P O R A T E S • Fed actions helped calm credit markets, allowing companies to bring a record month of bond issuance to shore up liquidity. The fiscal stimulus package should also help blunt the negative impact of the pandemic on the economy.

• We still remain cautious given an uncertain timeline to contain the virus, making it difficult to assess the potential damage to corporate balance sheets.

FinancialsIndustrials

S E C U R I T I Z E D • ABS yield spreads widened significantly. There is a high level of uncertainty regarding the consumer’s ability and/or willingness to make payments.

• Lower volatility and the Fed’s ability to buy an unlimited amount of MBS has reduced the sector’s spreads. Recent Fed action has also supported liquidity. Prepayment risk should be reduced in the near term.

• Agency CMBS spreads widened. The sector was added in the MBS purchase program which should provide support but renters’ ability to pay is a question.

Asset-BackedAgency Mortgage-Backed

Agency CMBS

M U N I C I P A L S • Taxable, tax-exempt and pre-refunded bonds offer relative value. We remain cautious on certain sub-sectors given potential risks from Covid-19.

Negative Slightly Negative Neutral Slightly

Positive PositiveCurrent outlook Outlook one month ago

7 of 25



Executive Summary


The Portfolios are of high credit quality and invested in U.S. Treasury, Federal Agency/GSE, Federal Agency/CMO, Municipal, CommercialPaper, and Corporate Notes securities.

The Capital, Operating, and Discretionary Sales SurTax Portfolios continue to provide the District with favorable yield relative to the benchmark.At quarter end, the portfolios had Yields to Maturity at Cost of 1.67%, 1.67% and 1.52%, respectively. All portfolios exceeded the 0.08% EffectiveYield of their benchmark, the Merrill Lynch 3 Month U.S. Treasury Bill Index.

The Self Insurance and Health Insurance Portfolios’ quarterly total return performances were 2.24% and 2.23% respectively, underperforming thebenchmark’s performance of 2.81%. Over the past year, the Self Insurance and Health Insurance portfolios returned 4.92% and 4.91%, ascompared to the benchmark performance of 5.42%.

Although the U.S. economy entered the year on a strong footing, that deteriorated quickly as the COVID-19 pandemic took hold across the globe,including the U.S. This created a threefold crisis: (1) a global health crisis, (2) a virtual economic shutdown in the U.S. and elsewhere, and (3)unprecedented moves in the financial markets. The immediate impact of the pandemic on global economies made typical economic indicators,most of which are backward-looking, essentially irrelevant.

The Federal Reserve responded aggressively by:

– Cutting rates at two emergency meetings to the new target range of 0% to 0.25%,– Initiating unlimited bond buying (quantitative easing) of various security types, and– Dusting off and adding to their playbook of market support programs from the 2008-9 financial crisis to cushion the potential blow on

financial markets.

Treasury yields plunged in response to the Fed’s new zero interest rate policy, with longer-term Treasury yields reaching new historic lows. Thesemoves led to positive returns on Treasury indexes. However, in a move reminiscent of 2008, yield spreads on all other asset classes spiked asinvestors grappled with unprecedented uncertainty. Credit allocations were a significant detractor of performance during the first quarter.

Due to market disruption, ICE Data Services, the organization that oversees indices commonly used as fixed-income benchmarks, announced thepostponement of the March 31, 2020 rebalancing for all fixed-income indices to alleviate the need for asset managers to execute forced trades inhighly volatile markets.

U.S. economic fundamentals are expected to deteriorate significantly in Q2 as the full effect of COVID-19 materializes. The real question is theduration of the economic shutdown and the speed and trajectory of the eventual recovery. As a result of this uncertainty, we plan to maintainneutral portfolio durations relative to their respective benchmarks into April as we monitor guidance from index vendors regarding futurerebalancing.

8 of 25


BREVARD COUNTY SCHOOL DISTRICT Asset Allocation

Security TypeAmortized Cost

(Includes Interest)Allocation

PercentagePermitted by

Policy In ComplianceBankers’ Acceptances - - 35% YesCertificates of Deposit and Savings Accounts - - 25% YesCommercial Paper 67,723,805.73 21.69% 35% YesCorporate Notes 4,390,326.38 1.41% 20% YesFederal Agency 1,008,518.94 0.32% 80% YesIntergovernmental Pools 59,338,415.38 19.00% 25% YesFederal Agency MBS/CMO 2,069,426.75 0.66% 80% YesMoney Market Funds 9,402,222.50 3.01% 75% YesMunicipals 227,391.12 0.07% 20% YesRepurchase Agreements - - 50% YesUnited States Treasury Securities 168,113,956.06 53.84% 100% YesTotal 312,274,062.86 100.00%End of month trade-date amortized cost of portfolio holdings, including accrued interest. The combined total of Federal Instrumentalities and Mortgage Backed Securities can not be more than 80%.

53.84%

0.07%

3.01%

19.00%

0.66%

0.32%

1.41%

21.69%

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%

United States Treasury Securities

Municipals

Money Market Funds

Intergovernmental Pools

Federal Agency MBS/CMO

Federal Agency

Corporate Notes

Commercial Paper

PFM Asset Management LLC9 of 25

For the Quarter Ended March 31, 2020BREVARD COUNTY SCHOOL DISTRICT Asset Allocation

Sector Individual Issuer BreakdownAmortized Cost



PolicyIn

ComplianceCORPORATE NOTE AMERICAN EXPRESS CREDIT 150,329.04 0.05% 5% YesCORPORATE NOTE AMERICAN HONDA FINANCE 286,923.68 0.09% 5% YesCORPORATE NOTE JOHN DEERE CAPITAL CORP 251,667.52 0.08% 5% YesCORPORATE NOTE IBM CORP 275,117.23 0.09% 5% YesCORPORATE NOTE US BANK NA CINCINNATI 278,820.58 0.09% 5% YesCORPORATE NOTE BANK OF AMERICA CORP 277,846.13 0.09% 5% YesCORPORATE NOTE CISCO SYSTEMS 195,925.48 0.06% 5% YesCORPORATE NOTE WALT DISNEY COMPANY/THE 59,976.59 0.02% 5% YesCORPORATE NOTE PACCAR FINANCIAL CORP 252,954.00 0.08% 5% YesCORPORATE NOTE CATERPILLAR FINANCIAL SERVICES CORP 160,606.99 0.05% 5% YesCORPORATE NOTE WAL-MART STORES INC 277,123.50 0.09% 5% YesCORPORATE NOTE WELLS FARGO & COMPANY 276,888.34 0.09% 5% YesCORPORATE NOTE MELLON BANK 226,186.39 0.07% 5% YesCORPORATE NOTE HERSHEY COMPANY 146,582.59 0.05% 5% YesCORPORATE NOTE JP MORGAN CHASE & CO 273,789.47 0.09% 5% YesCORPORATE NOTE NATIONAL RURAL UTIL COOP 269,962.91 0.09% 5% YesCORPORATE NOTE GENERAL DYNAMICS CORP 171,866.49 0.06% 5% YesCORPORATE NOTE EXXON MOBIL CORP 138,960.58 0.04% 5% YesCORPORATE NOTE NORTHERN TRUST COMPANY 278,713.04 0.09% 5% YesCORPORATE NOTE THE WALT DISNEY CORPORATION 140,085.83 0.04% 5% YesMBS / CMO FHLMC MULTIFAMILY STRUCTURED P 1,415,658.63 0.45% 40% YesMBS / CMO FREDDIE MAC 105,717.86 0.03% 40% YesMBS / CMO FANNIEMAE-ACES 548,050.26 0.18% 40% YesUS TSY BOND/NOTE UNITED STATES TREASURY 168,113,956.06 53.84% 100% YesMUNI BOND/NOTE HONOLULU HI 227,391.12 0.07% 20% YesFED AGY BOND/NOTE FANNIE MAE 628,612.10 0.20% 40% YesFED AGY BOND/NOTE FEDERAL HOME LOAN BANKS 379,906.84 0.12% 40% YesCOMMERCIAL PAPER TOYOTA MOTOR CREDIT CORP 14,431,023.56 4.62% 10% YesCOMMERCIAL PAPER MUFG BANK LTD/NY 7,462,284.14 2.39% 10% YesCOMMERCIAL PAPER MERCK & CO INC 10,968,619.42 3.51% 10% YesCOMMERCIAL PAPER BANK OF MONTREAL CHICAGO 9,967,861.10 3.19% 10% YesCOMMERCIAL PAPER BNP PARIBAS NY BRANCH 6,971,954.46 2.23% 10% YesCOMMERCIAL PAPER CREDIT AGRICOLE CIB NY 2,981,749.17 0.95% 10% YesCOMMERCIAL PAPER NATIXIS NY BRANCH 9,967,658.33 3.19% 10% YesCOMMERCIAL PAPER COOPERATIEVE RABOBANK U.A. 4,972,655.55 1.59% 10% YesMNY MKT/MUTUAL FND CASH BALANCE 9,402,222.50 3.01% 25% YesINTERGOVERNMENTAL POOLS FL PALM 59,338,415.38 19.00% 25% Yes


For the Quarter Ended March 31, 2020BREVARD COUNTY SCHOOL DISTRICT Asset Allocation

Sector Individual Issuer BreakdownAmortized Cost



PolicyIn

ComplianceTotal 312,274,062.86 100.00%End of month trade-date amortized cost of portfolio holdings, including accrued interest. The combined total of Federal Instrumentalities and Mortgage Backed Securities can not be more than 80%.


BREVARD CNTY SCHOOL BOARD CAPITAL - ST


Portfolio Snapshot

Portfolio Statistics

As of March 31, 2020

$68,750,000

$69,168,945

$68,965,317

$155,504

$48,125

Accrued Interest:

Cash:

Par Value:

Total Market Value:

Security Market Value:

Benchmark Eff. Yield: 0.08%

$68,655,286

0.39%

1.67%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:

Effective Duration: 0.35 Years

Duration to Worst: 0.35 Years

Average Maturity: 0.35 Years

Credit Quality (S&P Ratings)

10.9%

A-1

29.3%

A-1+

59.8%

AA+

0%

20%

40%

60%

80%

100%

0 - 1 Year 1 - 2 Years 2 - 3 Years 3 - 4 Years 4 - 5 Years > 5 Years

100.0%

0.0% 0.0% 0.0% 0.0% 0.0%

Maturity Distribution

Sector Allocation

18.1%

Commercial

Paper

81.9%

U.S.

Treasury


* An average of each security’s credit rating assigned a numeric value and adjusted for its relative weighting in the portfolio.

12 of 25

BREVARD CNTY SCHOOL BOARD OPERATING - ST


Portfolio Snapshot



$88,900,000

$92,041,514

$88,923,901

$62,612

$3,055,000

Accrued Interest:

Cash:

Par Value:

Total Market Value:



$88,706,584

0.70%

1.67%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:





35.9%

A-1

25.9%

A-1+

38.3%

AA+

0%

20%

40%

60%

80%

100%


100.0%

0.0% 0.0% 0.0% 0.0% 0.0%


Sector Allocation

37.0%

Commercial

Paper

63.0%

U.S.

Treasury



13 of 25

BREVARD COUNTY DISC SALES SURTAX ACCOUNT


Portfolio Snapshot



$56,880,000

$63,482,715

$57,070,751

$165,903

$6,246,061

Accrued Interest:

Cash:

Par Value:

Total Market Value:



$56,798,499

0.73%

1.52%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:





5.2%

A-1

34.0%

A-1+

60.7%

AA+

0%

20%

40%

60%

80%

100%


91.1%

8.9%

0.0% 0.0% 0.0% 0.0%


Sector Allocation

39.3%

Commercial

Paper

60.7%

U.S.

Treasury



14 of 25

BREVARD COUNTY FLA SD SELF INSURANCE FD


Portfolio Snapshot



$15,782,068

$16,296,080

$16,194,241

$68,856

$32,983

Accrued Interest:

Cash:

Par Value:

Total Market Value:


$15,775,333

0.63%

2.18%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:





6.6%

A

3.3%

A-

2.7%

A+

1.4%

AA

0.7%

AA-

84.5%

AA+

0.8%

Not Rated

0%

10%

20%

30%

40%

50%

60%


8.5%

52.7%

37.3%

1.3% 0.3% 0.0%


Sector Allocation

14.7%

Corporate

7.1%

Federal

Agency/CMO

3.5%

Federal

Agency/GSE

0.8%

Municipal

73.9%

U.S.

Treasury



15 of 25

BREVARD COUNTY SD HEALTH INSURANCE FUND


Portfolio Snapshot



$13,089,636

$13,511,095

$13,433,597

$57,444

$20,054

Accrued Interest:

Cash:

Par Value:

Total Market Value:


$13,087,404

0.64%

2.18%

AAAverage Credit: *

Yield at Cost:

Amortized Cost:

Yield at Market:





6.7%

A

3.3%

A-

2.8%

A+

1.4%

AA

0.7%

AA-

84.3%

AA+

0.8%

Not Rated

0%

10%

20%

30%

40%

50%

60%


8.6%

52.2%

37.7%

1.2% 0.3% 0.0%


Sector Allocation

14.9%

Corporate

7.0%

Federal

Agency/CMO

3.5%

Federal

Agency/GSE

0.8%

Municipal

73.8%

U.S.

Treasury



16 of 25



Aggregated Holdings


Aggregate Portfolio Holdings (1/8)

Issuer Par Value Book Value Market Value Accrued Interest Maturity Date Effective

DurationCoupon

RateYield at

CostYield at Market

AMERICAN EXPRESS CO 80,000.00 80,007.49 80,572.16 168.00 3/3/2022 1.78 2.70% 2.70% 2.32%

AMERICAN EXPRESS CO 70,000.00 70,006.55 70,500.64 147.00 3/3/2022 1.78 2.70% 2.70% 2.32%

AMERICAN HONDA FINANCE 155,000.00 154,954.75 152,420.18 1,091.46 5/20/2022 2.06 1.95% 1.96% 2.76%

AMERICAN HONDA FINANCE 130,000.00 129,962.05 127,836.28 915.42 5/20/2022 2.06 1.95% 1.96% 2.76%

BANK OF AMERICA CO 150,000.00 149,780.56 150,187.50 1,771.88 10/19/2020 0.54 2.63% 2.90% 2.39%

BANK OF AMERICA CO 125,000.00 124,817.13 125,156.25 1,476.56 10/19/2020 0.54 2.63% 2.90% 2.39%

BANK OF MONTREAL 10,000,000.00 9,967,861.10 9,973,400.00 0.00 6/5/2020 0.18 0.00% 1.80% 1.45%

BNP PARIBAS 4,000,000.00 3,986,061.12 3,988,664.00 0.00 6/5/2020 0.18 0.00% 1.96% 1.55%

BNP PARIBAS 3,000,000.00 2,985,893.34 2,988,033.00 0.00 7/2/2020 0.25 0.00% 1.86% 1.55%

CATERPILLAR INC 85,000.00 84,963.33 84,585.54 359.13 11/18/2022 2.54 1.95% 1.97% 2.14%

CATERPILLAR INC 75,000.00 74,967.65 74,634.30 316.88 11/18/2022 2.54 1.95% 1.97% 2.14%

CISCO SYSTEMS INC 110,000.00 107,696.83 110,862.18 62.18 9/20/2021 1.37 1.85% 3.32% 1.31%

CISCO SYSTEMS INC 90,000.00 88,115.59 90,705.42 50.88 9/20/2021 1.37 1.85% 3.32% 1.31%

CREDIT AGRICOLE SA 3,000,000.00 2,981,749.17 2,983,128.00 0.00 7/31/2020 0.33 0.00% 1.83% 1.67%

DEERE & COMPANY 125,000.00 124,949.26 125,532.50 910.42 6/7/2021 1.16 2.30% 2.33% 1.93%

DEERE & COMPANY 100,000.00 99,959.41 100,426.00 728.33 6/7/2021 1.16 2.30% 2.33% 1.93%

DEERE & COMPANY 25,000.00 24,973.85 24,643.63 146.25 6/13/2022 2.12 1.95% 2.00% 2.62%

EXXON MOBIL CORP 75,000.00 74,304.29 74,792.03 138.88 3/1/2021 0.90 2.22% 3.26% 2.53%

EXXON MOBIL CORP 65,000.00 64,397.05 64,819.76 120.36 3/1/2021 0.90 2.22% 3.26% 2.53%

FANNIE MAE 150,000.00 149,935.00 155,722.65 875.00 1/11/2022 1.74 2.63% 2.65% 0.47%

FANNIE MAE 200,000.00 200,048.81 207,630.20 1,166.67 1/11/2022 1.74 2.63% 2.61% 0.47%

FANNIE MAE 112,821.15 113,513.89 115,242.92 222.32 8/25/2022 1.23 2.36% 1.76% 0.51%

FANNIE MAE 112,537.69 113,616.05 115,678.27 235.25 11/25/2022 1.36 2.51% 1.70% 0.35%

FANNIE MAE 71,206.34 71,784.93 71,685.09 211.25 9/25/2021 0.77 3.56% 2.27% 2.38%

FANNIE MAE 125,000.00 124,945.84 129,768.88 729.17 1/11/2022 1.74 2.63% 2.65% 0.47%

FANNIE MAE 150,000.00 150,036.61 155,722.65 875.00 1/11/2022 1.74 2.63% 2.61% 0.47%

17 of 25



Aggregated Holdings




DurationCoupon

RateYield at

CostYield at Market

FANNIE MAE 94,017.62 94,594.90 96,035.76 185.26 8/25/2022 1.23 2.36% 1.76% 0.51%

FANNIE MAE 90,030.15 90,892.84 92,542.61 188.20 11/25/2022 1.36 2.51% 1.70% 0.35%

FANNIE MAE 61,918.56 62,421.68 62,334.87 183.69 9/25/2021 0.77 3.56% 2.27% 2.38%

FEDERAL HOME LOAN BANKS 205,000.00 204,636.55 210,156.16 313.19 2/17/2023 2.82 1.38% 1.44% 0.49%

FEDERAL HOME LOAN BANKS 175,000.00 174,689.74 179,401.60 267.36 2/17/2023 2.82 1.38% 1.44% 0.49%

FREDDIE MAC 148,359.11 146,952.98 150,127.44 280.89 3/25/2022 1.02 2.27% 3.03% 0.96%

FREDDIE MAC 150,000.00 151,442.90 152,974.43 294.38 7/25/2022 1.19 2.36% 1.44% 0.57%

FREDDIE MAC 100,000.00 101,192.18 101,969.54 192.25 8/25/2022 1.23 2.31% 1.25% 0.59%

FREDDIE MAC 155,000.00 156,018.85 159,143.40 324.21 11/25/2022 1.36 2.51% 1.92% 0.43%

FREDDIE MAC 31,589.24 31,465.42 32,074.62 70.26 2/25/2023 1.47 2.67% 2.81% 1.51%

FREDDIE MAC 139,205.70 142,061.34 143,348.85 342.33 2/25/2024 1.96 2.95% 1.83% 1.35%

FREDDIE MAC 60,249.57 60,249.39 62,171.53 160.82 7/1/2023 1.68 3.20% 3.11% 1.20%

FREDDIE MAC 51,098.99 51,097.76 52,233.00 89.08 7/25/2024 2.17 2.09% 2.03% 1.02%

FREDDIE MAC 118,687.29 117,562.39 120,101.95 224.71 3/25/2022 1.02 2.27% 3.03% 0.96%

FREDDIE MAC 125,000.00 126,202.42 127,478.69 245.31 7/25/2022 1.19 2.36% 1.44% 0.57%

FREDDIE MAC 75,000.00 75,894.13 76,477.16 144.19 8/25/2022 1.23 2.31% 1.25% 0.59%

FREDDIE MAC 125,000.00 125,821.65 128,341.45 261.46 11/25/2022 1.36 2.51% 1.92% 0.43%

FREDDIE MAC 29,483.29 29,367.73 29,936.31 65.58 2/25/2023 1.47 2.67% 2.81% 1.51%

FREDDIE MAC 116,004.75 118,384.45 119,457.38 285.28 2/25/2024 1.96 2.95% 1.83% 1.35%

FREDDIE MAC 45,187.18 45,187.04 46,628.65 120.61 7/1/2023 1.68 3.20% 3.11% 1.20%

FREDDIE MAC 39,306.91 39,305.97 40,179.22 68.53 7/25/2024 2.17 2.09% 2.03% 1.02%

GENERAL DYNAMICS CORP 95,000.00 94,980.89 95,144.78 1,062.15 5/11/2020 0.11 2.88% 3.06% 1.45%

GENERAL DYNAMICS CORP 75,000.00 74,984.91 75,114.30 838.54 5/11/2020 0.11 2.88% 3.06% 1.45%

HERSHEY COMPANY 80,000.00 79,996.71 80,002.56 876.44 5/15/2020 0.12 2.90% 2.93% 2.78%

HERSHEY COMPANY 65,000.00 64,997.33 65,002.08 712.11 5/15/2020 0.12 2.90% 2.93% 2.78%

HONOLULU HI 125,000.00 125,000.00 125,701.25 1,328.40 8/1/2022 2.26 1.74% 1.74% 1.49%

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Aggregated Holdings




DurationCoupon

RateYield at

CostYield at Market

HONOLULU HI 100,000.00 100,000.00 100,561.00 1,062.72 8/1/2022 2.26 1.74% 1.74% 1.49%

IBM CORP 150,000.00 149,595.19 151,273.65 468.75 8/1/2022 2.27 1.88% 1.99% 1.50%

IBM CORP 125,000.00 124,662.66 126,061.38 390.63 8/1/2022 2.27 1.88% 1.99% 1.50%

JP MORGAN CHASE & CO 150,000.00 149,020.96 150,566.10 318.75 3/1/2021 0.82 2.55% 3.28% 2.13%

JP MORGAN CHASE & CO 125,000.00 124,184.13 125,471.75 265.63 3/1/2021 0.82 2.55% 3.28% 2.13%

MERCK & CO INC 11,000,000.00 10,968,619.42 10,967,385.00 0.00 6/19/2020 0.22 0.00% 1.30% 1.34%

MITSUBISHI UFJ FINANCIAL GROUP INC 2,500,000.00 2,491,152.78 2,494,370.00 0.00 6/5/2020 0.18 0.00% 1.99% 1.23%

MITSUBISHI UFJ FINANCIAL GROUP INC 1,000,000.00 996,406.94 997,748.00 0.00 6/5/2020 0.18 0.00% 2.02% 1.23%



NATIONAL RURAL UTILITIES CO FINANCE CORP 150,000.00 149,786.06 150,192.90 193.33 3/15/2021 0.94 2.90% 3.05% 2.76%

NATIONAL RURAL UTILITIES CO FINANCE CORP 120,000.00 119,828.85 120,154.32 154.67 3/15/2021 0.94 2.90% 3.05% 2.76%

NATIXIS NY BRANCH 3,000,000.00 2,999,843.34 2,999,697.00 0.00 4/2/2020 0.01 0.00% 1.89% 1.82%




NORTHERN TRUST 150,000.00 151,441.44 155,812.35 583.85 8/2/2022 2.27 2.38% 1.95% 0.70%

NORTHERN TRUST 125,000.00 126,201.20 129,843.63 486.55 8/2/2022 2.27 2.38% 1.95% 0.70%

PACCAR FINANCIAL CORP 135,000.00 134,956.03 134,791.97 1,639.13 5/10/2021 1.07 3.10% 3.13% 3.24%

PACCAR FINANCIAL CORP 115,000.00 114,962.55 114,822.79 1,396.29 5/10/2021 1.07 3.10% 3.13% 3.24%

RABOBANK NEDERLAND 5,000,000.00 4,972,655.55 4,977,020.00 0.00 7/17/2020 0.29 0.00% 1.86% 1.54%THE BANK OF NEW YORK MELLON CORPORATION 125,000.00 125,261.88 125,156.25 397.22 8/17/2020 0.30 2.60% 1.90% 2.24%THE BANK OF NEW YORK MELLON CORPORATION 100,000.00 100,209.51 100,125.00 317.78 8/17/2020 0.30 2.60% 1.90% 2.24%

THE WALT DISNEY CORPORATION 35,000.00 34,938.21 35,173.99 48.13 9/1/2022 2.36 1.65% 1.72% 1.44%



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Aggregated Holdings




DurationCoupon

RateYield at

CostYield at Market


TOYOTA MOTOR CORP 5,000,000.00 4,966,933.30 4,977,535.00 0.00 8/7/2020 0.35 0.00% 1.88% 1.26%

TOYOTA MOTOR CORP 1,000,000.00 999,946.67 999,927.00 0.00 4/2/2020 0.01 0.00% 1.93% 1.31%




UNITED STATES TREASURY 645,000.00 645,454.75 668,381.25 2,026.70 7/31/2022 2.29 1.88% 1.84% 0.32%

UNITED STATES TREASURY 300,000.00 300,734.16 310,875.00 942.65 7/31/2022 2.29 1.88% 1.77% 0.32%



















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Aggregated Holdings




DurationCoupon

RateYield at

CostYield at Market






UNITED STATES TREASURY 1,000,000.00 989,036.23 1,028,437.50 3,142.17 1/31/2022 1.81 1.88% 2.49% 0.32%





















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Aggregated Holdings




DurationCoupon

RateYield at

CostYield at Market






















UNITED STATES TREASURY 5,000,000.00 4,993,636.10 4,999,879.00 0.00 4/30/2020 0.08 0.00% 1.59% 0.03%


UNITED STATES TREASURY 4,750,000.00 4,753,313.03 4,794,531.25 31,514.42 11/15/2020 0.62 1.75% 1.64% 0.24%



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Aggregated Holdings




DurationCoupon

RateYield at

CostYield at Market



























23 of 25



Aggregated Holdings




DurationCoupon

RateYield at

CostYield at Market

US BANCORP 150,000.00 151,883.95 153,383.85 200.00 3/15/2022 1.82 3.00% 2.33% 1.82%

US BANCORP 125,000.00 126,569.96 127,819.88 166.67 3/15/2022 1.82 3.00% 2.33% 1.82%

WAL-MART STORES INC 150,000.00 149,994.52 150,130.05 1,163.75 6/23/2020 0.23 2.85% 2.87% 2.42%

WAL-MART STORES INC 125,000.00 124,995.44 125,108.38 969.79 6/23/2020 0.23 2.85% 2.87% 2.42%

WELLS FARGO & COMPANY 150,000.00 150,282.50 149,812.50 747.50 7/22/2020 0.31 2.60% 1.98% 2.97%

WELLS FARGO & COMPANY 125,000.00 125,235.42 124,843.75 622.92 7/22/2020 0.31 2.60% 1.98% 2.97%

Totals/Weighted Average 243,401,703.54 243,023,105.76 244,587,808.01 510,319.22 - 0.51 0.94% 1.70% 0.61%

*Aggregate Portfolio Holdings do not include cash balances, money market funds, and Florida PALM Holdings.

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Appendix

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

Ã 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.

Ã 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.

Ã 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.

Ã Bank of America/Merrill Lynch Indices provided by Bloomberg Financial Markets.

Ã Money market fund/cash balances are included in performance and duration computations.

Ã Standard & Poorʼs is the source of the credit ratings. Distribution of credit rating is exclusive of money market fund/LGIP holdings.

Ã 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.

Ã MBS maturities are represented by expected average life.



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