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1579 The Greens Way, Suite 20Jacksonville Beach, FL 32250
www.saw-grass.com
City of Ocala Treasury Reserve Fund
Investment Review
March 31, 2019
David Siegel, CFA Fixed Income Portfolio Manager
(904) 493-5514
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T
For Today’s Meeting
2
Account & Performance Review
Market Review
Current Portfolio Positioning
Looking Forward
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T
Sawgrass Asset Management – By the Numbers
3
100 Percent Employee-Owned
28 States in which Sawgrass Represents Clients
29 Average Years of Investment Experience for Our Team
21 Years Serving Our Institutional Clients
3.9 Billion in Assets Under Advisement
Sawgrass Mission Statement to Clients and Employees:
To strengthen the financial security of our clients through active management of high-quality portfolios, producing strong, long-term investment results. Our relationships are driven by our core values of integrity, respect, hard work, and ethical behavior.
*Information as of March 2019.
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T
Sawgrass Asset Management Clients
4
PROUDLY SERVING CLIENTS IN 28 STATES
ID
AZ
UT
MT
WY
NM
CO
SC
KY
INOH
NC
SD
KS
NE
MN
WI
IA
IL
MO
AR
ND
OR
CA NV
WA
AK
PA
ME
VA
NY
CT
WV
DE
MD
NJ
VTNH
MA
RI
LA
MI
HI
OK
TX
TN
GAALMS
FL
Sawgrass Clients
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T
Experience Working with Municipal Plans in Florida
5
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T
The Sawgrass Advantage
6
*Since Inception. Please refer to Performance Disclosure Statement herein.
Stability of Our People, Process and Investment Style
Direct Access to Your Portfolio Manager
Historical Outperformance with Less Risk*
Strong Client Relationships – Transparency/Communication
Minimize Surprises
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 7
Sawgrass’ Fixed Income Investment Philosophy
Our Alpha Thesis:
• Market Inefficiencies Create an Opportunity for Active Management
• Thorough Quantitative and Qualitative Analysis Can Exploit These Inefficiencies
• Risk Management Assists Our Team in Seeking Superior Risk-AdjustedReturns
• We Implement this with a Disciplined and Repeatable Process
End Result Consistent Risk-Adjusted Performance
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 8
Our Three Alpha Sources
Interest Rate/ Yield Curve
- Historical vs. future expectations- Real vs. Nominal yields- Economic factors- Sensitivity Analysis
Sector
- Inter-market relative value- Market fundamentals- Sensitivity Analysis
Security Selection
- Relative Value- Fundamental Analysis- High Quality- Sensitivity Analysis
Portfolio Construction
Optimal Portfolio
Market & Security Analysis
Validate & Research
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 9
Our Process – A Macro Overview
Top Down Approach
GDP
Inflation
Fiscal Policy
Monetary Policy
International
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 10
Bond Market Quarterly Review Q1: Fed Pivot, Risk On Market Review: Fed Pivot, Financial Conditions Easing, Global Risk Assets and Rates Rally
• The recent selloff in risk assets and the subsequent tightening of financial conditions along with softening global economic growth indicators caused the Federal Reserve to pivot and pause on raising rates this year. Also the Fed will end its balance sheet reduction program or Quantitative Tightening (QT) earlier than had been previously expected. In addition, the ECB surprised the market with the new dovish tone by delaying the start of QT and maintaining the negative rate policy for the foreseeable future given the global growth slowdown and the ongoing trade negotiation tensions. This Fed pivot coupled with the dovish changes from the ECB and BOJ marks the start of a new monetary policy regime and risk markets reacted positively with a snap-back rally in equities, credit spreads and Treasury rates. German Bund 10yr rate finished at negative 0.07% for the quarter; over $10 trillion of sovereign paper is now trading at negative rates.
• US TSY curve/change: 2y 2.26%/-23bp, 5y 2.23%/-28bp, 10y 2.41%/-28bp, 30y 2.81%/-20bp.
• Credit IG spreads outperformed, Tighter 36bp. Leaders – Energy, Materials, Banks; Laggards – Staple, Utilities, Insurance
• S&P +13.65%
Short Portfolio Review: Outperformance
• Duration hurt.
• Sector allocation helped - overweight corporate bonds and spreads outperformed.
• Security selection slight hurt – overweight high quality.
Outlook: Data Dependent
• Fed pivot implies no rate hike in 2019 given the soft economic indicators and market volatility. Also, balance sheet reduction will end sooner than anticipated. We have increased the duration position to neutral.
• We turn tactically to slight overweight on credit spreads given the recent Fed pivot; however, we’re still cautious long term. The credit fundamentals are deteriorating, non-financial IG leverage has increased to record levels and interest expense coverage has decreased recently as result of debt funded M&A activity and share buybacks. The focus remains in security selection, securities with attractive relative value prospects.
• Biggest risks for 2019: Economic growth slowing, trade wars, geo-political events, volatility - monetary policy mistakes.
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 11
Factors to Watch
• Fed Watch – Policy Change?
• Stock Prices – Volatility?
• Trade Wars – China Deal?
• Yield Curve - Inversion?
• Corporate Bond Spreads – Late Credit Cycle?
• Wages/Inflation/Economy – Recession?
• Geo-Political Events – Hard/Soft/No Brexit?
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 12
Core PCE Wages
PPIOil
Macro View: Rising Inflation
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 13
Unemployment Rate GDP
Retail SalesHousing Starts
Strong Domestic Economy
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 14
U.S. 5 Year vs. German 5 Year Rates
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 15
Financial Conditions 1Q Easing Following the Fed Pivot
Source: Chicago Fed, Morgan Stanley
-0.9
-0.8
-0.7
-0.6
-0.5
-0.4
-0.3
Dec-
14
Mar
-15
Jun-
15
Sep-
15
Dec-
15
Mar
-16
Jun-
16
Sep-
16
Dec-
16
Mar
-17
Jun-
17
Sep-
17
Dec-
17
Mar
-18
Jun-
18
Sep-
18
Dec-
18
Mar
-19
Financial Conditions Easing
Index, + = Tighter Than Average
Chicago Fed Adjusted Financial Conditions Index
Level at the time of the first rate hike in Dec 2015
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 16
Fed’s Influence on Recession – Past Policy Mistakes
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 17
Treasury Curve Partial Inversion: Implications?
Interest Rate Sector Allocation Security Selection
Source: Bloomberg
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 18
Treasury Curve Quarterly Change: Rates Lower
Interest Rate Sector Allocation Security Selection
Source: Bloomberg
TSY Curve: 3/31/19
TSY Curve: 12/31/18
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 19
UST 5 Yr: Rates Lower Over One Year
Interest Rate Sector Allocation Security Selection
Source: Bloomberg
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 20
Sector Performance
Interest Rate Sector Allocation Security Selection
Source: BAML GIS
Benchmark
Sector
Quality
Industry
Curve
Non-Index
4.56%4.56%
4.26%3.57%
4.25%4.55%
4.95%
6.01%5.15%
5.06%4.78%
5.17%4.99%
3.87%
2.12%2.72%
3.82%5.24%
6.27%
5.94%2.70%
Total Return %
One Year Ending MAR 2019
3.02%3.26%
2.35%1.64%
2.18%2.27%
5.01%
4.98%3.73%
4.59%5.58%
4.45%5.29%
4.84%
0.60%0.98%
1.57%2.44%
4.59%
7.40%3.38%
AGGGov/CreditIntermed G/C1-5 Year G/C
TreasuryMtgeCorporate IG
CORP AAACORP AACORP ACORP BAA
CORP FINCORP INDUCORP UTIL
3 Month T-bills1-3 Yr Treasury3-5 Yr Treasury5-10 Yr…Long Treasury
High YieldTIPS
Total Return %
One Quarter Ending MAR 2019
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 21
Sector Spread Performance
Source: Bloomberg
Interest Rate Sector Allocation Security Selection
3/31/2019 12/31/2018 QoQ chg 3/31/2018 YoY ChgCORP 1-5 79 114 -35 84 -5
AGY 1-5 4 5 -1 8 -4MBS 45 45 0 30 15
Spread Performance (OAS in bp)
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 22
SAM Investable Credit Universe: 3/31/2019
A
AAPAAPL
ABBVABC
ABTACC
AGN
ADBE
ADI
ADM
ADSK
AEE
AEP
AES
AET
AFG
AFL
AIG
AIZAL
ALBALL
AMAT
AMG
AMGN
AMPAMTAMTD
AMZN
AN
APAAPC
APD APH
APO
ARCC
ARE
ARW
ATOAVA
AVB
AVT
AVY
AWKAXP
AZO BA
BAC
BAX
BBT
BDN
BDX
BEN
BG
bhge
BIIB
BIO
BK
BKH
BLK
BMS
BMY
BPL
BR
BRK
BROBSX
BWA
BWP
BX
BXPC
AVGO
CAG
CAH
CAT CB
CBS
CBT
CCECCL
CELG
CG
CHD
CICINF
CLCLXCMA
CMCSA
CMECMI
CMS
CNL
CNPCOF
COP
COST
CPB
CPT CR
DXC
CSCO
CSL
CSXCTAS
CUBE
CVS
CVX
CXP
D
DD DDR
DE
DFS
DG
DGX
DHRDIS
DISCA
DLR
DOV
DOW
KDP
DRE
DRI
DTEDUK
DVNEBAY
ECL
ED EE
EEP
EFX
EIX
EL
EMN
EMR
ENBL
EOGEPD
EPREQC
EQM
EQR
EQT
ESRX
ESS
ETN
ETPETR
EV EXC
EXPE
F
FAF
FDX
FEFHN
FIS
FISV
FITB
FLO
FLR
FLS
FMC
FNFFOXAFRC
FRT
FSIC
GD
GE
GILD
GIS
GLW
GATX
GOOGL
GPS
GSGXP
H
HAL
HAS
HBAN
WELL
HCP
HD
HES
HIG
HIW
HOG
HON
HPQ
HPT
HR
HRB
HRL
HRS
HSTHSY
HTA
HUM
IBM
IEX
IFF
INGRINTC
IP
IPCCIPG
IR
ITC
ITW
IVZ
JBHT
JBL
JCI
JLL JNJ
JNPR
JHGJPM
JWNK
KEYKIM
KKR
KLAC
KMB
KMI
KMPR
KMT
KO
KR
KRC
KSS
KSU
L LEG
SR
LH
LLL
LLY
LM
LMTLNTLOW
LPT
LUV
LXP
LYB
M
MAMAA
MAR
MCD
MCK
MCO
MDLZ
MDT
MET
SPGI
MHK
MKC
MKL
MLM
MMC
MMM MMP
MO
MOS
MPC
MRK
MRO
MSMSFT
MSI
MTB
WRK
MXIM
MYL
NBL
NDAQ
NEM
NEUNFG
NI
NKE NNN
NOC
NOV
NSC
NTAP
NTRS
QCOM
NUE
NVR
NWE
NWL
O
OB
OC
OFC
OGE
OGS
OHI
OKEOMC
ORCL
ORIORLYOXY PAA
PBCTPCAR
PDMPEG
PEPPFE
PFG
PG
PGRPH
PKG
PKI
PLD
PMPNC
PNM
PNWPPG
PPL
PRA
PRI PRU
PSECPSX
PX
PXD
R
REGRF RGA
RJFRL
ROIC
ROK
ROP
ROST
RPM
RS
RSG
RTN
RYN
SBUX SCCO
SCG
SCHW
SCS
SEP
SF
SFG
SHW
SIVB
SJM
SKT
SLB
SNA
SNH
SO
SON
SPG
SRE
STISTTSWK
SWX
SYA
SYFSYKSYYT
TAP
TCP
TE
TGT
THG
TIFTJX
TKR
TMKTMO
TRVTSN
TSS
TUP
TWC
TWX
TXN
TXT
UDR
UNH
UNMUNP
UPS
USB
UTX VFC
VIA
VLO
VMIVNOVOYA
VRSK
VTR
VZ
WAB
WBA
WEC
WES
WFC
WHR
WLK
WM
WMT
WORWPCWPZEVRG
WRB
WRE WRI
WU
WYXEL
XLNX
ESXOM
XRAY
XYL
Y
ZBH
10
20
30
40
50
60
70
80
90
10 20 30 40 50 60 70 80 90
Fund
amen
tal S
core
Relative Value Score
Credit Universe
Interest Rate Sector Allocation Security Selection
Source: BondEdge, ICE BAML GIS
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 23
SAM Short Credits: 3/31/2019
AAPL
AXP
BA
BACBBT
BK BMY
BRKCCAT
COF
COST
CSCO
CVX
D
DE
DIS
EMRFITB
FRC
GS
HBAN
IBM
INTC JPM
KEY
MA MSMSFTMTB
ORCL
PNC
PPLSCHW
SO
STT
TXN
UNH
USB
WEC
WFC
10
20
30
40
50
60
70
80
90
10 20 30 40 50 60 70 80 90
Fund
amen
tal S
core
Relative Value Score
Sawgrass Credits
Interest Rate Sector Allocation Security Selection
Source: BondEdge, ICE BAML GIS
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 24
Performance Attribution
Interest Rate Sector Allocation Security Selection
Source: BondEdge
12/31/18-3/31/19 Income Effects Term Structure Effects Spread EffectsTotal
Return Income Paydown Amort RollPara Total Non-Para
Sector/ Quality Selection Residual
SHORT COMPOSITE 1.67 0.60 0.00 0.10 0.00 0.64 -0.13 0.51 -0.03 0.00BAML G/C 1-5 1.63 0.62 0.00 0.07 0.01 0.76 -0.15 0.30 0.01 0.00
Difference 0.04 -0.02 0.00 0.04 -0.01 -0.12 0.01 0.21 -0.04 0.00
Portfolio Characteristics
3/31/2019 YTW Eff DurNon-Para
DurQual
Sprd DurMtge
Sprd Dur Conv What Helped:
SHORT COMPOSITE 2.58 2.21 1.09 0.86 0.00 0.02 Sector Allocation - OW CreditBAML G/C 1-5 2.53 2.63 1.32 0.74 0.00 0.04 Term StructureDifference 0.05 -0.43 -0.23 0.12 0.00 -0.02
12/31/2018 YTW Eff DurNon-Para
DurQual
Sprd DurMtge
Sprd Dur Conv What Hurt:
SHORT COMPOSITE 2.98 2.24 1.09 0.85 0.00 0.03 Short DurationBAML G/C 1-5 2.87 2.61 1.31 0.72 0.00 0.04 Security Selection - OW High QualityDifference 0.11 -0.37 -0.21 0.13 0.00 -0.01
Effective Duration Years SAM Comments:
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T
Portfolio Market Values Portfolio Summary
Asset Allocation
Asset Class Market ValuePercent of
Assets Fixed Income $68,886,786 100%Cash & Equivs. $220,446 0%
TOTAL $69,107,233 100.0%
Portfolio Summary
Fixed Income100%
Cash & Equivs.
0%
Quarter
Beginning Market Value on 3/31/2018 $68,016,281
Net Cash Flows $0
Investment Gain/Loss $1,090,951
Ending Market Value on 03/31/2019 $69,107,233
25
City of Ocala Treasury Reserve Fund As of 3/31/2019
1 Year
Beginning Market Value on 3/31/2018 $75,669,279
Net Cash Flows -$9,000,000
Investment Gain/Loss $2,437,989
Ending Market Value on 03/31/2019 $69,107,233
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T
Portfolio Performance
TOTAL RETURNS GROSS FOR SELECT PERIODSCity of Ocala Treasury Reserve Fund
26
Returns for periods of one year or longer are annualized
City of Ocala Treasury Reserve Fund As of 3/31/2019
Qtr Fiscal YTD 1 Year 2 Years 3 Years 5 Years 10 YearsSince
6/30/0312/31/92 Inception
Total Account 1.60% 2.76% 3.56% 2.00% 1.74% 1.67% 2.29% 2.88% 4.31%
Indices:Blended Index* 1.63% 3.10% 3.57% 1.88% 1.44% 1.61% 2.19% 2.67% 4.18%ML 1-5 Govt/Corp 1.63% 3.10% 3.57% 1.88% 1.44% 1.61% 2.29% 2.73% 4.26%ML 1-5 Gov/Corp A+ 1.41% 3.01% 3.39% 1.72% 1.22% 1.47% 1.98% 2.57% 4.14%SBA Pooled Income Fund 0.67% 1.35% 2.43% 1.92% 1.55% 1.02% 0.65% 1.57% 2.79%
*ML 1-5 Year G/C as of 10/31/13; ML 1-5 Year G/C A or Better until 10/31/13; ML 1-5 Year G/C until 12/31/09; prior to 6/30/96,75% ML 1-5 Year G/C / 25% 3-month Returns are gross of investment management fees
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N TS T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T
Current Attributes and Sectors City of Ocala Treasury Reserve Fund Attributes as of 03/31/19
Portfolio 1-5 Govt/Corp Index
Yield to Maturity (%) 2.56 2.53
Effective Duration (Yrs) 2.17 2.63
Effective Maturity (Yrs) 2.65 2.79
Quality Rating Aa2 Aa2
Coupon Rate 2.37 2.63
Convexity 0.02 0.04
40%
11%
48%
0% 0%
62%
2%
36%
0% 0%0%
10%
20%
30%
40%
50%
60%
70%
Treasury Agency Corporate Mortgage Cash
Portfolio 1-5 Govt/Corp Index
27
Source: BondEdge
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N TS T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T
Current Duration DistributionPe
rcen
t Hel
d
24%
27%
14%
29%
7%
1%
33%
29%
24%
13%
0%
5%
10%
15%
20%
25%
30%
35%
<1 Year 1-2 Years 2-3 Years 3-4 Years 4-5 Years
Portfolio 1-5 Govt/Corp Index
28
City of Ocala Treasury Reserve Fund Attributes as of 03/31/19
Source: BondEdge
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N TS T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T
Current Maturity Distribution
7%
18%
33%
23%
19%
0%0%
30%
28%
21%20%
0%0%
5%
10%
15%
20%
25%
30%
35%
<1 Year 1-2 Years 2-3 Years 3-4 Years 4-5 Years 5+ Years
Portfolio 1-5 Govt/Corp Index
Perc
ent H
eld
29
City of Ocala Treasury Reserve Fund Attributes as of 03/31/19
Source: BondEdge
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N TS T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T
Current Quality Distribution
53%
10%
38%
0% 0%
69%
5%
12% 14%
0%0%
10%
20%
30%
40%
50%
60%
70%
80%
AAA AA A BBB BB and Lower
Portfolio 1-5 Govt/Corp Index
Perc
ent H
eld
30
City of Ocala Treasury Reserve Fund Attributes as of 03/31/19
Source: BondEdge
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N TS T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T
Compliance Monitor City of Ocala Treasury Reserve Fund Attributes as of 3/31/19
31
Ratings Guidelines Policy Current Within Policy?Corporate Bonds BBB/Baa2 Baa1/BBB+ Yes
CMO, Mortgage and ABS AAA AAA Yes
Eurodollar Securities BBB N/A Yes
Yankee Securities BBB N/A Yes
Maturity Limitations Policy Current Within Policy?Effective Maturity Per Security <10 years 4.75 years Yes
Portfolio Duration 50%/120% 82% Yes
Portfolio Effective Maturity <5 years 2.65 years Yes
Sector Allocations Minimum Maximum Current % Within Policy?US Treasury and Federal Agencies 35% None 51.2% Yes
Corporate Debt Obligations None 50% 48.4% Yes
Mortgage/Asset Backed Securities None 10% 0.1% Yes
Municipal Securities None 20% 0.0% Yes
Certificates of Deposit None 20% 0.0% Yes
Repurchase Agreements None 25% 0.0% Yes
Local Government Surplus Funds/Trust Fund None 25% 0.0% Yes
Money Market/Trust None 30% 0.3% Yes
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 32
Sensitivity Analysis – 12 Months Horizon
Source: BondEdge
Scenario # 1 2 3 4 5 6 7 8
Scenario Description TSY -50
TSY No Change TSY + 50 TSY + 100
Flat Curve 3%
Corp 50 Tighter Parallel
Corp 50 Wider
ParallelConsensus
Forecast
Credit Chg OAS 0 0 0 0 0 -50 +50 03/31/2019 BEGIN (bp) (bp) (bp) (bp) (bp) (bp) (bp) (bp)
U.S. TREASURY CURVE: 6 Month 2.38 -50 0 50 100 62 0 0 48 1 Year 2.44 -50 0 50 100 56 0 0 50 2 Year 2.30 -50 0 50 100 70 0 0 50 3 Year 2.23 -50 0 50 100 77 0 0 52 5 Year 2.27 -50 0 50 100 73 0 0 58 7 Year 2.34 -50 0 50 100 66 0 0 57 10 Year 2.40 -50 0 50 100 60 0 0 56 20 Year 2.68 -50 0 50 100 32 0 0 45 30 Year 2.85 -50 0 50 100 15 0 0 44
Short 3.65 2.61 1.57 0.55 1.10 3.16 2.01 1.52
ICE ML 1-5 G/C 3.78 2.46 1.16 -0.12 0.58 2.86 2.09 1.09
Difference -0.13 0.15 0.41 0.66 0.52 0.30 -0.08 0.43
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 33
FOMC Participants’ Assessments of Monetary Policy vs. the Market
Source: Federal Reserve, Bloomberg
Market pricing is below the Fed dots
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 34
Going Forward
• US Real Growth to continue at a moderate pace. The Fed policy will pause with rate hike for the year due to increased uncertainty in economic growth and volatility in financial markets. We turn neutral duration.
• Corporate spreads volatility is expected to remain elevated, especially for highly leveraged BBB issuers on the cusp of being downgraded to junk. We turn tactically slight overweight in the sector given selective potential for relative value; however, we remain cautious longer term due to late credit cycle and deteriorating fundamentals.
• Security selection will be an important driver of excess returns. We continue to favor high quality issuers with strong fundamentals and attractive relative valuations.
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 35
Portfolio HoldingsSecurity Quantity
UnitCost Total Cost Price Market Value
Pct of Assets
Corporate Bonds
MORGAN ST DEAN WITTER 3.12% 01/23/23 650,000.00 97.48 633,620.00 100.30 651,982.50 0.9
FIRST REPUBLIC BANK- Callable 5/17/19 @ 100 2.37% 06/17/19 690,000.00 100.85 695,867.57 99.90 689,321.73 1.0
INTEL CORP- Callable 4/11/22 @ 100 2.35% 05/11/22 710,000.00 99.94 709,566.90 99.64 707,414.89 1.0
BANK OF AMERICA CORPORATION Fix to Float - Callable 10/ 2.33% 10/01/21 720,000.00 97.74 703,713.60 99.07 713,303.28 1.0
VIRGINIA ELEC & PWR CO - Callable 10/15/21 @100 2.95% 01/15/22 720,000.00 102.93 741,115.20 100.36 722,612.16 1.0
MICROSOFT CORP 1.55% 08/08/21 780,000.00 99.89 779,181.00 97.61 761,368.14 1.1
COMMONWEALTH EDISON CO Callable 6/1/2021 @ 100 3.4% 09/01/21 750,000.00 104.58 784,372.50 101.59 761,951.25 1.1
WAL MART STORES Callable 5/26/23 @ 100 3.4% 06/26/23 910,000.00 100.05 910,484.30 102.96 936,963.30 1.4
ORACLE CORP- Callable 8/15/21 @ 100 1.9% 09/15/21 980,000.00 99.92 979,176.80 98.36 963,883.90 1.4
CISCO SYSTEM INC 2.2% 02/28/21 1,000,000.00 98.39 983,910.00 99.34 993,383.00 1.4
PNC BANK NA- Callable on 5/2/2020 @ 100 2.3% 06/01/20 1,000,000.00 98.56 985,630.00 99.56 995,608.00 1.4
PNC BANK NA- Callable on 6/28/2022 @ 100 2.45% 07/28/22 1,000,000.00 100.34 1,003,430.00
99.61 996,150.00 1.4
WELLS FARGO & COMPANY - Callable 1/24/22 @ 100 3.07% 01/24/23 1,010,000.00 101.30 1,023,130.00
100.13 1,011,338.25 1.5
KENTUCKY UTILITIES CO - Callable 08/01/20 @ 100 3.25% 11/01/20 1,020,000.00 103.87 1,059,474.00
100.80 1,028,143.68 1.5
BANK OF NEW YORK MELLON - Callable 01/07/22 @ 100 2.6% 02/07/22 1,050,000.00 100.43 1,054,494.00
99.94 1,049,397.30 1.5
APPLE INC- Callable 8/12/2022 @ 100 2.1% 09/12/22 1,115,000.00 98.17 1,094,615.38
98.39 1,097,064.11 1.6
US BANK NA CININNATI- Callable 12/23/2022 @ 100 2.85% 01/23/23 1,320,000.00 99.77 1,316,919.00
100.23 1,323,100.68 1.9
City of Ocala Treasury Reserve Fund Holdings As Of 03/31/2019
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 36
Portfolio HoldingsSecurity Quantity
UnitCost Total Cost Price Market Value
Pct of Assets
KEY BANK NA 2.25% 03/16/20 1,500,000.00 99.84 1,497,633.58
99.55 1,493,295.00 2.2
VISA INC Callable 11/14/2020 @ 100 2.2% 12/14/20 650,000.00 99.91 649,447.50 99.56 647,140.00 0.9
DEERE JOHN CAP CORP 3.45% 06/07/23 600,000.00 100.20 601,176.00 102.71 616,258.20 0.9
BANK OF NEW YORK MELLON 3.5% 04/28/23 600,000.00 100.09 600,516.00 102.54 615,261.00 0.9
J P MORGAN CHASE- Callable 5/23/20 @ 100 2.75% 06/23/20 610,000.00 101.13 616,886.90 100.05 610,314.76 0.9
U S BANCORP- Callable 12/23/21 @ 100 2.62% 01/24/22 600,000.00 101.39 608,364.00 100.11 600,658.80 0.9
ALABAMA POWER CO- Callable 2/28/2022 2.45% 03/30/22 600,000.00 99.92 599,508.00 99.44 596,654.40 0.9
CITIGROUP INC- Callable 1/12/2021 @ 100 2.85% 02/12/21 555,000.00 99.99 554,966.70 100.36 556,988.01 0.8
FIFTH THIRD BANK- Callable 05/14/21 @ 100 2.25% 06/14/21 520,000.00 99.92 519,610.00 98.94 514,464.08 0.7
WISCONSIN ELECTRIC POWER- Callable 6/15/21 @ 100 2.95% 09/15/21 500,000.00 102.65 513,230.00 100.44 502,219.50 0.7
EMERSON ELEC CO- Callable- 11/1/21 @ 100 2.62% 12/01/21 500,000.00 99.94 499,700.00 100.04 500,185.00 0.7
STATE STREET CORP 1.95% 05/19/21 490,000.00 99.95 489,745.20 98.68 483,510.93 0.7
AMERICAN EXPRESS CREDIT CO 2.25% 08/15/19 450,000.00 99.94 449,725.50 99.84 449,288.10 0.7
CITIZENS BANK- Callable 4/26/22 @ 100 2.65% 05/26/22 400,000.00 100.32 401,296.00 99.16 396,628.40 0.6
CITIGROUP INC 2.4% 02/18/20 350,000.00 99.78 349,230.00 99.61 348,642.00 0.5
INTEL CORP 2.7% 12/15/22 340,000.00 98.03 333,308.80 100.59 342,008.38 0.5
PNC FINANCIAL SERVICES- Callable 12/23/19 3.5% 01/23/24 244,000.00 102.77 250,768.56 102.38 249,814.28 0.4
City of Ocala Treasury Reserve Fund Holdings As Of 03/31/2019
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 37
Portfolio HoldingsSecurity Quantity
UnitCost Total Cost Price Market Value
Pct of Assets
MANUF & TRADERS TRUST CO - Callable 1/6/20 @ 100 2.1% 02/06/20 200,000.00 99.08 198,152.00 99.51 199,029.40 0.3
BB&T CORPORATION- Callable 12/15/2019 @100 2.45% 01/15/20 180,000.00 101.33 182,386.80 99.80 179,637.66 0.3
BRANCH BANKING & TRUST- Callable 12/15/2019 @ 100 2.1% 01/15/20 175,000.00 99.99 174,986.00 99.54 174,202.52 0.3
APPLE INC 2.25% 02/23/21 107,000.00 101.15 108,234.78 99.64 106,615.12 0.2
PNC BANK NA- Callable on 6/21/2020 @ 100 2.6% 07/21/20 100,000.00 101.79 101,787.00 99.91 99,915.00 0.1
Variable Rate Corporate Bonds
GOLDMAN SACHS GROUP INC FRN 3.4% 02/23/23 1,660,000.00 99.38 1,649,757.80
99.13 1,645,503.22 2.4
BRANCH BANKING & TRUST FRN 3.24% 01/15/20 1,115,000.00 100.46 1,120,151.30
100.26 1,117,891.19 1.6
MANUF & TRADERS TRUST CO FRN - Callable 4/28/19 @100 3.71% 12/28/20 750,000.00 98.62 739,687.50 100.08 750,567.00 1.1
IBM CORP FRN 3.31% 11/06/21 730,000.00 97.55 712,151.50 100.43 733,117.10 1.1
JPMORGAN CHASE FRN - Callable 4/25/22 @ 100 3.67% 04/24/23 690,000.00 99.89 689,243.20 100.48 693,280.26 1.0
J P MORGAN CHASE FRN- Callable 1/15/2022 @ 100 3.79% 01/15/23 635,000.00 102.11 648,398.50 100.77 639,860.29 0.9
STATE STREET CORP FRN 3.58% 08/18/20 550,000.00 100.17 550,951.50 101.01 555,539.05 0.8
MORGAN STANLEY FRN- Callable 7/22/22 @ 100 3.69% 07/22/22 550,000.00 100.64 553,509.00 100.53 552,895.20 0.8
WELLS FARGO & CO FRN Callable 2/11/21 @ 100 3.63% 02/11/22 530,000.00 100.66 533,487.40 100.73 533,884.37 0.8
JPMORGAN CHASE & CO FRN- Callable 2/1/2021 @ 100 4.11% 03/01/21 200,000.00 100.00 200,000.00 101.86 203,718.20 0.3
AMERICAN EXPR BK FRN 3.64% 09/14/20 200,000.00 100.30 200,592.00 101.01 202,022.40 0.3
Agency Bonds
FEDERAL NATL MTG ASSN 1.65% 05/22/20 2,050,000.00 100.00 2,050,000.00
99.16 2,032,685.70 2.9
City of Ocala Treasury Reserve Fund Holdings As Of 03/31/2019
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 38
Portfolio HoldingsSecurity Quantity
UnitCost Total Cost Price Market Value
Pct of Assets
FEDERAL NATL MTG ASSN - Callable 02/28/20 @ 100 2.87% 02/28/24 750,000.00 100.00 750,000.00 100.18 751,313.25 1.1
Variable Rate Agency Bonds
FEDERAL FARM CREDIT BANK FRN 2.79% 07/27/21 3,190,000.00 100.02 3,190,617.50
100.63 3,210,014.06 4.6
FEDERAL FARM CREDIT BANK FRN 2.76% 05/25/21 1,700,000.00 100.02 1,700,360.00
100.54 1,709,188.50 2.5
Treasury Bonds
UNITED STATES TREAS NTS 1.25% 03/31/21 8,330,000.00 100.04 8,333,603.83
98.02 8,165,349.22 11.8
UNITED STATES TREAS NTS 1.87% 07/31/22 6,330,000.00 97.39 6,164,619.74
98.84 6,256,559.34 9.1
UNITED STATES TREAS NTS 2.75% 05/31/23 6,100,000.00 100.27 6,116,379.81
102.02 6,223,189.50 9.0
UNITED STATES TREAS NTS 1.62% 10/31/23 4,500,000.00 95.54 4,299,097.11
97.32 4,379,589.00 6.3
UNITED STATES TREAS NTS 1.37% 01/31/21 1,095,000.00 99.44 1,088,819.93
98.31 1,076,521.87 1.6
UNITED STATES TREAS NTS 1.87% 04/30/22 890,000.00 100.22 891,984.63 98.92 880,404.91 1.3
UNITED STATES TREAS NTS 1.37% 09/30/20 520,000.00 99.16 515,608.76 98.55 512,443.88 0.7
Mortgage Backed Securities
MORTGAGE BACKED SECURITIES PASS-THRU INT 15 YEAR Pool 896851 5.5% 02/01/22 19,695.95 100.08 19,711.34 102.15 20,118.63 0.0
MORTGAGE BACKED SECURITIES PC GOLD CASH 15 Pool J02621 5% 10/01/20 7,839.09 98.86 7,749.68 100.65 7,890.36 0.0
MORTGAGE BACKED SECURITIES PASS-THRU INT 15 YEAR Pool 973905 5% 03/01/23 36,676.86 100.37 36,814.40 102.24 37,500.26 0.1
Cash and Equivalents
WFB Public Institutional Bank Deposit Acct 220,156.99 220,156.99 0.3
Delayed Interest 289.39 289.39 0.0
Accrued Income 310,022.91 0.4
TOTAL PORTFOLIO $68,743,102.38 $69,107,232.76
City of Ocala Treasury Reserve Fund Holdings As Of 03/31/2019
S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 39
Sawgrass Asset Management, LLC. (Sawgrass) claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS® standards. Sawgrass has been independently verified for the periods 31 March 1998 through 31 December 2018. The verification report is available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS® standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS® standards. Verification does not ensure the accuracy of any specific composite presentation.
Sawgrass is a 100 percent employee-owned Registered Investment Advisor whose primary focus is to provide institutional investment management services.
Gross returns do not reflect the deduction of investment advisory fees but do include transaction fees. Gross and net returns include the reinvestment of all dividends and income. Net of fee performance was calculated by reducing the actual management fee charged to clients, or if part of a balanced account by reducing the highest management fee charged, in accordance with the Short-term Fixed Income strategy fee schedule.
Performance is on a trade date dollar-weighted monthly basis in U.S. dollars. The dollar-weighted monthly results are geometrically linked (time-weighted) to produce quarterly and annualized results. Prior to 12/31/2010, accounts were removed from the composite for the month in which a significant flow exceeded 20% of account value. A comprehensive list and description of the firm’s composites and additional information regarding policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.
Past performance does not guarantee future results. Investments are subject to risk and may lose value.
Information Specific to the Short-Term Fixed Income Composite: As of 3/31/2019, this composite was comprised of 15 accounts valued at $483 million. Assets in this product represent 13% of the firm’stotal assets under advisement. The three-year standard deviation for this product and its benchmark was 1% and 1.4%, respectively. This composite’s creation date was 12/31/92, and the composite’sminimum account size is currently $1 million.
The investment management fee schedule is available in Form ADV 2 as follows: 0.25% on the first $10 million and 0.15% on the next $20 million and 0.10% on the balance.
Benchmark Index Definition: The ICE BofAML 1-5 Gov / Corp A+ Index is a subset of the ICE BofAML 1-5 Gov / Corp Index and is comprised of all U.S. Dollar denominated government and investment-grade corporate debt with a maturity between 1 and 5 years and a rating of A or better. *1-5 Year Gov/Corp since 6/30/96; 25% 3-mo T-bills 75% 1-5 Gov/Corp prior.The index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its Third Party Suppliers and has been licensed for use by Sawgrass Asset Management, LLC. ICE Data and its Third Party Suppliers accept no liability in connection with its use. See https://saw-grass.com/disclosures for a full copy of the disclaimer.
Sawgrass Product Performance Disclosures
Short Term Fixed Income Composite 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Annual Total Return - Gross of Fees 5.2% 3.6% 2.5% 3.3% 0.5% 1.5% 1.0% 1.8% 1.5% 1.5%Annual Total Return - Net of Fees 5.1% 3.5% 2.4% 3.2% 0.4% 1.4% 0.9% 1.7% 1.4% 1.4%ICE BofAML 1-5 Gov / Corp* 4.9% 4.2% 3.1% 2.5% 0.3% 1.5% 1.0% 1.6% 1.3% 1.4%ICE BofAML 1-5 Gov / Corp A+* 3.3% 3.9% 3.1% 2.0% 0.1% 1.4% 1.1% 1.3% 1.0% 1.5%SBA Pooled Income Fund 0.6% 0.3% 0.3% 0.3% 0.2% 0.2% 0.2% 0.7% 1.2% 2.2%3 Month T-Bill 0.2% 0.1% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.9% 0.0%Total Product Assets - Year End (MM) $226.2 $391.4 $427.7 $412.4 $528.9 $525.0 $535.2 $539.8 $528.4 $479.1Product Composite Assets - Year End (MM) $226.2 $391.4 $427.7 $412.4 $528.9 $525.0 $535.2 $539.2 $527.8 $478.4Total Firm Assets Under Management - Year End (Bln) $2.68 $2.82 $2.79 $2.80 $3.29 $3.80 $3.75 $3.80 $3.85 $3.52Percent of Firm's Assets 8.4% 13.8% 15.3% 14.7% 16.0% 13.8% 14.2% 14.2% 13.7% 13.6%Number of Accounts 9 20 20 11 14 14 12 13 15 15Dispersion - Equal weighted Standard Deviation 0.14% 0.14% 0.13% 0.39% 0.09% 0.12% 0.09% 0.18% 0.14% 0.07%Volatility - 3 Year Rolling Standard Deviation Sawgrass 2.51 2.53 1.53 1.27 1.16 0.99 0.93 1.00 0.93 0.97Volatility - 3 Year Rolling Standard Deviation Index 2.55 2.51 1.66 1.33 1.20 1.11 1.23 1.36 1.29 1.22
Inception Date 12/31/1992
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