Public Trust Advisors Quarterly Economic Updatefortworthtexas.gov/files/56e52ed4-41b2-4196-bd14-40120589fb11.pdf · • Average hourly earnings increased 2.5% on a year-over-year

Public Trust Advisors Quarterly Economic Update

December 31, 2017

Public Trust Advisors 2018 ©

Fed Funds Target Rate

2

• The Federal Reserve increased its target rate to a range of 1.25% to 1.50% on December 13, 2017.

• The Federal Reserve began reducing its $4.5 trillion balance sheet in October 2017 by not reinvesting all of the maturing securities from its portfolio on a monthly basis.

• Beginning in January 2018, the Federal Reserve will allow a total of $20 billion to roll off its balance sheet each month.

Source: Bloomberg

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Rate


FOMC Dot Plot – December 2017

3Source: Bloomberg


Comparative Historical Yield Curves

4Source: Bloomberg

• Interest rates have increased all along the yield curve as the Fed continues to raise the Fed Funds target rate.

• The yield curve continues to flattened as expectations for growth and inflation have diminished over the past several months.

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2.50

2.75

3.00

1YR 2YR 3YR 4YR 5YR 6YR 7YR 8YR 9YR 10YR

Rate

1/2/2018

7/2/2017

1/2/2017


Money Market Yield Curves

5Source: Bloomberg

• The yield spread between short-term Treasuries and discount notes remains at a very tight level.

• Adding credit in the form of commercial paper enhances the yield of the portfolio.

• Money market yields continue to rise as the market expects the FOMC to increase the target rate again at its March 2018 meeting.

0.80

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1.40

1.60

1.80

2.00

1 MO 2 MO 3 MO 4 MO 5 MO 6 MO 7 MO 8 MO 9 MO 10 MO11 MO12 MO

Rate

A1/P1 CP

Discount Notes

T-Bill


Unemployment Rate and Average Hourly Earnings

6Source: Bloomberg

• The unemployment rate held at 4.1% in December, the lowest since December 2000.

• Average hourly earnings increased 2.5% on a year-over-year basis in December, up from the 2.4% increase reported in November.

• Nonfarm payrolls rose 148,000 in December, below the median forecast of 190,000.

US Unemployment Rate Nonfarm Payrolls

2

4

6

8

10

12

14

16

Jan-1

2

Jul-

12

Jan-1

3

Jul-

13

Jan-1

4

Jul-

14

Jan-1

5

Jul-

15

Jan-1

6

Jul-

16

Jan-1

7

Jul-

17

% U

nem

plo

yed

Unemployed (U-3) Under Employed (U-6)

0

50

100

150

200

250

300

350

Oct-

16

Dec-1

6

Feb-1

7

Apr-

17

Jun-1

7

Aug-1

7

Oct-

17

Dec-1

7

Th

ou

san

ds


Inflation

7Source: Bloomberg

• Inflation continued to remain below the Fed’s 2.0% target in 2017.

• November CPI rose 2.2% on a year-over-year basis. Core CPI (less food and energy) increased at a 1.7% year-over-year pace.

• The Fed’s preferred measure of inflation, core PCE, was reported at 1.5% in November, well below the Fed’s target of 2.0%.

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1.00

1.50

2.00

2.50

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3.50

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1

Jun-1

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Dec-1

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Jun-1

3

Dec-1

3

Jun-1

4

Dec-1

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Jun-1

5

Dec-1

5

Jun-1

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Dec-1

6

Jun-1

7

CPI Core PCE


Institute for Supply Management

8Source: Bloomberg

• ISM Manufacturing for December was stronger than expected coming in at 59.7 versus 58.2 in November and a forecasted 58.2.

• ISM Non-Manufacturing (Service) came in much weaker than expected decreasing to 55.9 in December versus 57.4 in November and an expected 57.6.

• Both indexes remain well above 50 signaling continued expansion in these sectors of the economy.

46

48

50

52

54

56

58

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62

Jan-1

4

Apr-

14

Jul-

14

Oct-

14

Jan-1

5

Apr-

15

Jul-

15

Oct-

15

Jan-1

6

Apr-

16

Jul-

16

Oct-

16

Jan-1

7

Apr-

17

Jul-

17

Oct-

17

ISM Manufacturing ISM Non-Manufacturing


Contributions to Percent Change in Real GDP

9Source: Bloomberg

• The U.S. economy expanded at a revised 3.2% annualized pace during the third quarter of 2017, up from the initial estimate of 3.0%.

• Consumer spending, the largest part of the economy, rose at a 2.2% annual pace after increasing 3.3% in the second quarter.

• GDP growth expectations remain at 2.0-2.5% for the foreseeable future.

3.202.70

1.60

0.50 0.6

2.22.80 1.80

1.20

3.10

3.20

-3

-2

-1

0

1

2

3

4

5

2015 Q1 2015 Q2 2015 Q3 2015 Q4 2016 Q1 2016 Q2 2016 Q3 2016 Q4 2017 Q1 2017 Q2 2017 Q3

Consumer Spending Investment Net Exports

Gov't Expenditures Gross Domestic Product


Disclosures

10

This presentation is for informational purposes only. All information is assumed to be correct but the accuracy hasnot been confirmed and therefore is not guaranteed to be correct. Information is obtained from third partysources that may or may not be verified. The information presented should not be used in making any investmentdecisions and is not a recommendation to buy, sell, implement, or change any securities or investment strategy,function, or process. Any financial and/or investment decision should be made only after considerable research,consideration, and involvement with an experienced professional engaged for the specific purpose. All commentsand discussion presented are purely based on opinion and assumptions, not fact. These assumptions may or maynot be correct based on foreseen and unforeseen events. All calculations and results presented and are fordiscussion purposes only and should not be used for making calculations and/or decisions.

The investment advisor providing these services is Public Trust Advisors, LLC (Public Trust), an investment adviserregistered with the U.S. Securities and Exchange Commission (SEC) under the Investment Advisers Act of 1940,as amended. Registration with the SEC does not imply a certain level of skill or training. Public Trust is required tomaintain a written disclosure brochure of our background and business experience. If you would like to receive acopy of our current disclosure brochure, privacy policy, or code of ethics please contact us.

The data in this presentation is unaudited.

Performance comparisons will be affected by changes in interest rates. Investment returns fluctuate due tochanges in market conditions. Investment involves risk, including the possible loss of principal. No assurance canbe given that the performance objectives of a given strategy will be achieved. Past Performance is noguarantee of future results. Any financial and/or investment decision may incur losses.

City of Fort Worth Aggregate Public Trust Advisors LLC

200 Texas Street 717 17th Street, Suite 1850

Fort Worth, TX 76102 Denver, CO 80202

Quarterly Investment Report for Period Ended December 31, 2017

City of Fort Worth Aggregate

September 30, 2017

Beginning Balance

December 31, 2017

Ending Balance Portfolio Characteristic

September 30, 2017

Beginning Balance

December 31, 2017

Ending Balance

Historical Cost 844,754,897.16$ 864,773,118.16$ Book Yield Gross 1.35% 1.40%

Book Value 844,680,756.31$ 864,696,626.46$ Market Yield Gross 1.70% 2.02%

Accrued Interest 2,569,366.38 2,705,133.27$ Weighted Average Coupon 1.35% 1.42%

Book Value Plus Accrued 847,250,122.69$ 867,401,759.73$ Duration 2.08 Years 2.20 Years

Net Unrealized Gain/Loss (7,433,760.36)$ (11,217,850.16)$ Weighted Effective Maturity 2.39 Years 2.46 Years

Market Value Plus Accrued(2)839,816,362.33$ 856,183,909.57$ Weighted Final Maturity 2.39 Years 2.46 Years

Net Pending Transactions 253,125.00 485,750.00

Market Value Plus Accrued Net(2)840,069,487.33$ 856,669,659.57$

City of Fort Worth Aggregate

December 2017

Net Income Portfolio Compliance Compliant

Interest Income 2,993,830.02$ Security Distribution YES

Net Amortization/Accretion (53,561.38) Maturity Distribution YES

Net Realized Gain/Loss(3) 0.00 Rating Distribution YES

Miscellaneous Income 0.00

Net Income 2,940,268.64$

Investment Management Fee (53,874.15)

Income net of Fee 2,886,394.49$

City of Fort Worth Aggregate Summary Comparison for the period September 30, 2017 to December 31, 2017

(1) Payables represent amounts due to settle security transactions that have been executed but have not settled as of period end. The funds used to settle these trades may come from a variety of sources including cash within the

portfolio, proceeds from future security transactions including maturities and sales, or other sources including money market funds. For reporting purposes, a payable is created for over-period settlements which are reflected in the

detailed holdings.

(2) Market Value Plus Accrued Net represents the market value of the portfolio net payables and recievables from transactions that settle in the following reporting period.

(3) MBS paydowns may result in negative realized losses rather than amortization in as a result of accounting method.Page 5

Maturity Distribution

September 30, 2017

Beginning Balance

December 31, 2017

Ending Balance Portfolio Allocation Distribution Change

0-3 Months 35,104,729.35$ 15,091,200.00$ 1.76% -2.42%

3-6 Months 15,034,350.00 30,017,275.14 3.51% 1.72%

6-9 Months 30,094,582.61 61,876,622.66 7.23% 3.64%

9-12 Months 61,816,100.87 56,645,468.55 6.62% -0.74%

1-2 Years 308,698,080.61 315,822,092.64 36.89% 0.13%

2-3 Years 154,284,315.28 103,666,002.92 12.11% -6.26%

3-4 Years 83,432,446.89 157,450,424.32 18.39% 8.46%

4-5 Years 124,570,564.68 49,325,527.88 5.76% -9.07%

5-6 Years 5,014,121.74 24,855,584.38 2.90% 2.31%

6 Years + 21,767,070.30 41,433,711.08 4.84% 2.25%

Total Portfolio 839,816,362.33$ 856,183,909.57$ 100.00%

City of Fort Worth Aggregate Maturity Distribution Market Value Basis September 30, 2017 to December 31, 2017

$-

$50,000,000

$100,000,000

$150,000,000

$200,000,000

$250,000,000

$300,000,000

$350,000,000

0-3 M 3-6 M 6-9 M 9-12 M 1-2 Yr 2-3 Yr 3-4 Yr 4-5 Yr 5-6 Yr 6 Yr +

Maturity Distribution Comparison

September 30, 2017 December 31, 2017

0-3 M1.76%

3-6 M3.51%

6-9 M7.23%

9-12 M6.62%

1-2 Yr36.89%

2-3 Yr12.11%

3-4 Yr18.39%

4-5 Yr5.76%

5-6 Yr2.90%

6 Yr +4.84%

Maturity Distribution

Page 7

S&P Rating Distribution

December 31, 2017

Ending Balance Portfolio Allocation

Short Term Rating Distribution

A-1+ -$ 0.00%

A-1 - 0.00%

A-2 - 0.00%

Total Short Term Ratings -$ 0.00%

Long Term Rating Distribution

AAA Rating -$ 0.00%

AA Rating 856,183,909.57 100.00%

A Rating - 0.00%

Below A - 0.00%

Not Rated - 0.00%

Total Long Term Rating 856,183,909.57$ 100.00%

Total Portfolio 856,183,909.57$ 100.00%

Moody's Rating Distribution

December 31, 2017

Ending Balance Portfolio Allocation

Short Term Rating Distribution

P-1 -$ 0.00%

P-2 - 0.00%

Total Short Term Ratings -$ 0.00%

Long Term Rating Distribution

Aaa Rating 831,239,605.77$ 97.09%

Aa Rating 24,944,303.80 2.91%

A Rating - 0.00%

Below A - 0.00%

Not Rated - 0.00%

Total Long Term Rating 856,183,909.57$ 100.00%

Total Portfolio 856,183,909.57$ 100.00%

City of Fort Worth Aggregate Rating Distribution Market Value Basis as of December 31, 2017

AA Rating100.00%

Portfolio Allocation By Standard and Poors' Rating

Aaa Rating97.09%

Aa Rating2.91%

Portfolio Allocation By Moody's Rating

Page 9

Security Distribution

September 30, 2017

Beginning Balance

Portfolio

Allocation

December 31, 2017

Ending Balance Book Yield

Portfolio

Allocation

Change in

Allocation

Permitted by

Policy* Compliant

Cash -$ 0.00% -$ 0.00% 0.00% 0.00% YES

U.S. Treasury Notes 364,950,242.49$ 43.46% 367,753,666.88 1.35% 42.95% -0.50% 80.00% YES

U.S. Agency Notes -$ 0.00% - 0.00% 0.00% 0.00% 80.00% YES

FNMA 217,313,559.72$ 25.88% 216,862,309.72 1.38% 25.33% -0.55% 35.00% YES

FHLMC 192,624,019.72$ 22.94% 191,947,694.72 1.42% 22.42% -0.52% 35.00% YES

FFCB 33,008,054.44$ 3.93% 32,776,144.44 1.37% 3.83% -0.10% 35.00% YES

FHLB 6,855,940.00$ 0.82% 21,899,790.00 1.97% 2.56% 1.74% 35.00% YES

Fed Instrumentality Subtotal 449,801,573.89$ 53.56% 463,485,938.89$ 1.43% 54.13% 0.57% 80.00% YES

Asset Backed Securities -$ 0.00% - 0.00% 0.00% 0.00% 0.00% YES

Commercial Paper -$ 0.00% - 0.00% 0.00% 0.00% 20.00% YES

Corporate Notes -$ 0.00% - 0.00% 0.00% 0.00% 0.00% YES

Bankers Acceptances -$ 0.00% - 0.00% 0.00% 0.00% 15.00% YES

Money Market Funds -$ 0.00% - 0.00% 0.00% 0.00% 80.00% YES

Municipal Bonds 25,064,545.95$ 2.98% 24,944,303.80 1.75% 2.91% -0.07% 35.00% YES

Intergovernmental Funds -$ 0.00% - 0.00% 0.00% 0.00% 0.00% YES

Certificates of Deposit -$ 0.00% - 0.00% 0.00% 0.00% 10.00% YES

Total Portfolio Market Value 839,816,362.33$ 100.00% 856,183,909.57$ 1.40% 100.00%

*Permitted allocation based on aggregate assets as defined within the investment policy.

City of Fort Worth Aggregate Market Value Basis Security Distribution September 30, 2017 to December 31, 2017

$- $50,000,000

$100,000,000 $150,000,000 $200,000,000 $250,000,000 $300,000,000 $350,000,000 $400,000,000

Cas

h

UST

Age

ncy

FNM

A

FHLM

C

FFC

B

FHLB

AB

S

CP

Co

rp BA

MM

F

Mu

ni

Inte

r G

ov

CD

Asset Balance By Security Type


UST42.95%

FNMA25.33%

FHLMC22.42%

FFCB3.93%

FHLB2.56%

Muni2.91%

Ending Portfolio Allocation

Page 10

Security Distribution

September 30, 2017

Beginning Balance

Portfolio

Allocation

December 31, 2017

Ending Balance Book Yield

Portfolio

Allocation

Change in

Allocation

Permitted by

Policy* Compliant

Cash -$ 0.00% -$ 0.00% 0.00% 0.00% 0.00% YES

U.S. Treasury Notes 365,515,140.76 43.27% 370,428,811.76 1.35% 42.84% -0.43% 80.00% YES

U.S. Agency Notes - 0.00% - 0.00% 0.00% 0.00% 80.00% YES

FNMA 220,074,910.00 26.05% 220,074,910.00 1.38% 25.45% -0.60% 35.00% YES

FHLMC 193,887,000.00 22.95% 193,887,000.00 1.42% 22.42% -0.53% 35.00% YES

FFCB 32,992,150.00 3.91% 32,992,150.00 1.37% 3.82% -0.09% 35.00% YES

FHLB 6,979,000.00 0.83% 22,083,550.00 1.97% 2.55% 1.73% 35.00% YES

Fed Instrumentality Subtotal 453,933,060.00$ 53.74% 469,037,610.00$ 1.43% 54.24% 0.50% 80.00% YES

Asset Backed Securities - 0.00% - 0.00% 0.00% 0.00% 0.00% YES

Commercial Paper - 0.00% - 0.00% 0.00% 0.00% 20.00% YES

Corporate Notes - 0.00% - 0.00% 0.00% 0.00% 0.00% YES

Bankers Acceptances - 0.00% - 0.00% 0.00% 0.00% 15.00% YES

Money Market Funds - 0.00% - 0.00% 0.00% 0.00% 80.00% YES

Municipal Bonds 25,306,696.40 3.00% 25,306,696.40 1.75% 2.93% -0.07% 35.00% YES

Intergovernmental Funds - 0.00% - 0.00% 0.00% 0.00% 0.00% YES

Certificates of Deposit - 0.00% - 0.00% 0.00% 0.00% 10.00% YES

Total Portfolio Historical Cost 844,754,897.16$ 100.00% 864,773,118.16$ 1.41% 100.00%

*Permitted allocation based on aggregate assets as defined within the investment policy.

City of Fort Worth Aggregate Historical Cost Basis Security Distribution September 30, 2017 to December 31, 2017

$-

$100,000,000

$200,000,000

$300,000,000

$400,000,000

Cas

h

UST

Age

ncy

FNM

A

FHLM

C

FFC

B

FHLB

AB

S

CP

Co

rp BA

MM

F

Mu

ni

Inte

r G

ov

CD

Asset Balance By Security Type(in millions)


UST42.84%

FNMA25.45%

FHLMC22.42%

FHLB2.55%

Muni2.93%

Ending Portfolio Allocation

Page 11

Public Trust Advisors, LLC Monthly Statement (TX)COFW Agg (79735)Quarter End (Q4 Y2017)10/01/2017 - 12/31/2017Dated: 01/16/2018Locked Down

COFW Portfolio Overview (COFW Agg (79735)) 1

TEXAS PUBLIC - Cover (COFW Agg (79735)) 2

TEXAS PUBLIC - Holdings (COFW Agg (79735)) 3

TEXAS - Interest Earnings (COFW Agg (79735)) 8

TEXAS - Amortization Schedule (COFW Agg (79735)) 11

Table of ContentsDated: 01/16/2018

Index: See Risk Comparison or Performance Comparison for index information.

Fixed Income Holdings by Market Sector

DurationCash and Fixed Income SummaryRisk Metric Value

Cash 485,750.00

Fixed Income 856,183,909.57

Duration 2.196

Convexity -0.073

WAL 2.454

Years to Final Maturity 2.453

Years to Effective Maturity 2.453

Yield 2.016

Book Yield 1.404

Avg Credit Rating AAA/Aaa/AAA

Index Comparison Summary

COFW Portfolio Overview COFW Agg (79735)10/01/2017 - 12/31/2017 Return to Table of Contents Dated: 01/16/2018

1

* Grouped by: Account. * Groups Sorted by: Account. * Weighted by: Ending Market Value + Accrued.

* WAL (Days) = [WAL]*365, Summary Calculation: Weighted Average.

Account Market Yield Beginning Book Value Beginning Market Value Change In Market Value Deposits or Withdrawals Ending Market Value Ending Book Value WAL WAL (Days)

COFW Short-Term 2.065 556,438,686.02 553,057,899.00 93,388,707.30 98,238,502.01 646,446,606.30 655,966,081.85 2.329 849.938

COFW Long-Term 1.866 288,495,195.29 284,442,221.95 -76,924,301.95 -80,794,508.60 207,517,920.00 209,216,294.61 2.847 1,038.982

--- 2.016 844,933,881.31 837,500,120.95 16,464,405.35 17,443,993.40 853,964,526.30 865,182,376.46 2.454 895.885

TEXAS PUBLIC - Cover COFW Agg (79735)10/01/2017 - 12/31/2017 Return to Table of Contents Dated: 01/16/2018

2

FEDERAL FARM CREDIT BANKS FUNDING CORP

FEDERAL HOME LOAN BANKS

FEDERAL HOME LOAN MORTGAGE CORP

Identifier Description,Ultimate Parent Description

Final Maturity Yield to Maturity S&PRating,MoodysRating

Par Value Amotized Cost EndingDate

Market Value Ending Date Accrued InterestEnding Date

Market Value + AccruedEnding Date

3133EFD20 FEDERAL FARM CREDIT BANKS FUNDINGCORPFederal Farm Credit Banks Funding Corporation

05/23/2019 1.914 AA+Aaa

1,050,000.00 1,050,000.00 1,040,403.00 1,385.42 1,041,788.42


05/23/2019 1.914 AA+Aaa

8,950,000.00 8,950,000.00 8,868,197.00 11,809.03 8,880,006.03

3133EFZU4 FEDERAL FARM CREDIT BANKS FUNDINGCORPFederal Farm Credit Banks Funding Corporation

08/16/2019 2.064 AA+Aaa

8,000,000.00 7,998,819.59 7,908,800.00 40,500.00 7,949,300.00

3133EHGA5 FEDERAL FARM CREDIT BANKS FUNDINGCORPFederal Farm Credit Banks Funding Corporation

10/21/2019 1.955 AA+Aaa

15,000,000.00 14,995,730.86 14,863,050.00 42,000.00 14,905,050.00


05/23/2019 1.925 AA+Aaa

0.00 0.00 0.00 0.00 0.00

--- FEDERAL FARM CREDIT BANKS FUNDINGCORPFederal Farm Credit Banks Funding Corporation

08/20/2019 1.969 AA+Aaa

33,000,000.00 32,994,550.45 32,680,450.00 95,694.44 32,776,144.44






313383VN8 FEDERAL HOME LOAN BANKSFHLBanks Office of Finance

09/13/2019 1.929 AA+Aaa

15,000,000.00 15,095,136.37 15,017,550.00 90,000.00 15,107,550.00

3130A7UE3 FEDERAL HOME LOAN BANKSFHLBanks Office of Finance

04/28/2026 3.312 AA+Aaa

7,000,000.00 7,066,466.73 6,767,740.00 24,500.00 6,792,240.00

--- FEDERAL HOME LOAN BANKSFHLBanks Office of Finance

10/02/2021 2.358 AA+Aaa

22,000,000.00 22,161,603.09 21,785,290.00 114,500.00 21,899,790.00






3134G9Q67 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

07/27/2018 1.673 AA+Aaa

0.00 0.00 0.00 0.00 0.00


07/26/2019 1.883 AA+Aaa

20,000,000.00 20,000,000.00 19,804,400.00 107,638.89 19,912,038.89

3134G9RQ2 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

06/15/2021 2.731 AA+Aaa

20,000,000.00 20,000,000.00 19,699,000.00 13,333.33 19,712,333.33

3134G9VE4 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

12/28/2018 1.858 AA+Aaa

17,000,000.00 17,000,000.00 16,873,180.00 1,558.33 16,874,738.33

3134GAGX6 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

05/28/2020 2.442 AA+Aaa

20,000,000.00 20,000,000.00 19,490,800.00 24,750.00 19,515,550.00

3134GAHH0 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

09/15/2021 2.543 AA+Aaa

20,000,000.00 20,000,000.00 19,300,400.00 91,277.78 19,391,677.78

3134GAKT0 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

09/29/2021 2.588 AA+Aaa

20,000,000.00 20,000,000.00 19,779,400.00 85,555.56 19,864,955.56

3134GAXM1 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

11/28/2018 1.854 AA+Aaa

15,000,000.00 15,000,000.00 14,887,050.00 14,025.00 14,901,075.00

3134G8UD9 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

04/11/2018 1.426 AA+Aaa

15,000,000.00 15,000,000.00 14,983,950.00 35,000.00 15,018,950.00

3134G9CK1 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

04/28/2026 3.360 AA+Aaa

5,000,000.00 5,068,423.36 4,882,250.00 17,500.00 4,899,750.00

TEXAS PUBLIC - Holdings COFW Agg (79735)10/01/2017 - 12/31/2017 Return to Table of Contents Dated: 01/16/2018

3

FEDERAL NATIONAL MORTGAGE ASSOCIATION







07/27/2018 1.645 AA+Aaa

17,000,000.00 17,000,000.00 16,942,030.00 76,358.33 17,018,388.33

3134G9VE4 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

12/28/2018 1.844 AA+Aaa

0.00 0.00 0.00 0.00 0.00

3134GAHH0 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

09/15/2021 2.600 AA+Aaa

0.00 0.00 0.00 0.00 0.00

3134GAKT0 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

09/29/2021 2.620 AA+Aaa

0.00 0.00 0.00 0.00 0.00

--- FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corp

04/04/2020 2.182 AA+Aaa

169,000,000.00 169,068,423.36 166,642,460.00 466,997.22 167,109,457.22






3135G0ZA4 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

02/19/2019 1.858 AA+Aaa

10,000,000.00 10,066,641.33 10,001,800.00 68,750.00 10,070,550.00

3136G2YA9 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

11/26/2019 2.180 AA+Aaa

7,400,000.00 7,400,000.00 7,292,700.00 35,972.22 7,328,672.22

3136G2YA9 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

11/26/2019 2.180 AA+Aaa

2,600,000.00 2,600,000.00 2,562,300.00 12,638.89 2,574,938.89

3135G0K85 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

06/13/2019 1.918 AA+Aaa

25,000,000.00 25,000,000.00 24,814,750.00 17,500.00 24,832,250.00


06/28/2019 1.928 AA+Aaa

20,000,000.00 20,000,000.00 19,800,800.00 2,083.33 19,802,883.33


06/28/2019 1.928 AA+Aaa

10,000,000.00 10,000,000.00 9,900,400.00 1,041.67 9,901,441.67

3136G36C4 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

09/29/2021 2.443 AA+Aaa

20,000,000.00 20,000,000.00 19,399,000.00 81,777.78 19,480,777.78

3136G4DT7 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

04/12/2022 2.546 AA+Aaa

10,000,000.00 10,000,000.00 9,589,800.00 33,575.00 9,623,375.00

3136G33J2 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

08/24/2021 2.552 AA+Aaa

20,000,000.00 20,000,000.00 19,270,400.00 105,833.33 19,376,233.33

3136G35D3 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

09/06/2019 1.914 AA+Aaa

20,000,000.00 20,000,000.00 19,747,600.00 73,472.22 19,821,072.22

3136G3Q57 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

08/04/2020 2.127 AA+Aaa

15,000,000.00 15,000,000.00 14,722,050.00 85,137.50 14,807,187.50


08/04/2021 2.394 AA+Aaa

15,000,000.00 15,000,000.00 14,571,000.00 95,550.00 14,666,550.00

3136G3TA3 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

06/30/2020 2.116 AA+Aaa

20,000,000.00 20,000,000.00 19,662,200.00 788.89 19,662,988.89

3136G3XL4 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

07/20/2018 1.802 AA+Aaa

0.00 0.00 0.00 0.00 0.00

3135G0T29 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

02/28/2020 1.999 AA+Aaa

15,000,000.00 14,970,212.09 14,842,200.00 76,875.00 14,919,075.00


06/13/2019 1.937 AA+Aaa

0.00 0.00 0.00 0.00 0.00

3136G36C4 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

09/29/2021 2.500 AA+Aaa

0.00 0.00 0.00 0.00 0.00

3136G4DT7 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

04/12/2022 2.602 AA+Aaa

0.00 0.00 0.00 0.00 0.00

3136G33J2 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

08/24/2021 2.608 AA+Aaa

0.00 0.00 0.00 0.00 0.00

3136G35D3 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

09/06/2019 1.920 AA+Aaa

0.00 0.00 0.00 0.00 0.00


08/04/2021 2.451 AA+Aaa

0.00 0.00 0.00 0.00 0.00


4

FREDDIE MAC

LOUISIANA ST

MASSACHUSETTS ST

Receivable






3136G3XL4 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association Fannie Mae

07/20/2018 1.639 AA+Aaa

10,000,000.00 10,000,000.00 9,956,300.00 38,013.89 9,994,313.89

--- FEDERAL NATIONAL MORTGAGEASSOCIATIONFederal National Mortgage Association FannieMae

05/02/2020 2.117 AA+Aaa

220,000,000.00 220,036,853.42 216,133,300.00 729,009.72 216,862,309.72






3137EADM8 FREDDIE MACFederal Home Loan Mortgage Corp

10/02/2019 1.949 AA+Aaa

15,000,000.00 14,934,559.51 14,819,550.00 46,354.17 14,865,904.17

3137EAEE5 FREDDIE MACFederal Home Loan Mortgage Corp

01/17/2020 1.980 AA+Aaa

10,000,000.00 9,989,524.28 9,904,000.00 68,333.33 9,972,333.33

--- FREDDIE MACFederal Home Loan Mortgage Corp

11/14/2019 1.961 AA+Aaa

25,000,000.00 24,924,083.79 24,723,550.00 114,687.50 24,838,237.50






546415S50 LOUISIANA STLouisiana, State of

02/01/2018 1.681 AA-Aa3

15,000,000.00 14,999,012.50 14,997,450.00 93,750.00 15,091,200.00

546415S50 LOUISIANA STLouisiana, State of

02/01/2018 1.681 AA-Aa3

15,000,000.00 14,999,012.50 14,997,450.00 93,750.00 15,091,200.00






57582PWK2 MASSACHUSETTS STMassachusetts, Commonwealth of

12/01/2021 2.658 AAAa1

9,365,000.00 10,128,669.98 9,820,326.30 32,777.50 9,853,103.80


12/01/2021 2.703 AAAa1

0.00 0.00 0.00 0.00 0.00


12/01/2021 2.658 AAAa1

9,365,000.00 10,128,669.98 9,820,326.30 32,777.50 9,853,103.80






CCYUSD Receivable---

12/31/2017 --- AAAAaa

423,250.00 423,250.00 423,250.00 0.00 423,250.00


12/31/2017 --- AAAAaa

62,500.00 62,500.00 62,500.00 0.00 62,500.00


12/31/2017 --- AAAAaa

485,750.00 485,750.00 485,750.00 0.00 485,750.00


5

UNITED STATES TREASURYIdentifier Description,

Ultimate Parent DescriptionFinal Maturity Yield to Maturity S&P

Rating,MoodysRating




912828RR3 UNITED STATES TREASURYGovernment of the United States

11/15/2021 2.082 AA+Aaa

10,000,000.00 10,121,809.50 9,969,600.00 25,966.85 9,995,566.85

912828SF8 UNITED STATES TREASURYGovernment of the United States

02/15/2022 2.123 AA+Aaa

5,000,000.00 5,047,576.25 4,975,800.00 37,771.74 5,013,571.74

912828TH3 UNITED STATES TREASURYGovernment of the United States

07/31/2019 1.848 AA+Aaa

30,000,000.00 29,949,076.54 29,544,900.00 109,850.54 29,654,750.54

912828TW0 UNITED STATES TREASURYGovernment of the United States

10/31/2017 0.000 AA+WR

0.00 0.00 0.00 0.00 0.00

912828WR7 UNITED STATES TREASURYGovernment of the United States

06/30/2021 2.069 AA+Aaa

10,000,000.00 10,107,817.66 10,018,800.00 587.02 10,019,387.02

912828F21 UNITED STATES TREASURYGovernment of the United States

09/30/2021 2.109 AA+Aaa

15,000,000.00 15,186,683.42 15,008,400.00 81,438.87 15,089,838.87

912828G20 UNITED STATES TREASURYGovernment of the United States

11/15/2017 0.000 AA+WR

0.00 0.00 0.00 0.00 0.00


12/31/2019 1.899 AA+Aaa

10,000,000.00 10,035,260.30 9,946,300.00 448.89 9,946,748.89

912828XA3 UNITED STATES TREASURYGovernment of the United States

05/15/2018 1.416 AA+Aaa

0.00 0.00 0.00 0.00 0.00

912828L24 UNITED STATES TREASURYGovernment of the United States

08/31/2022 2.196 AA+Aaa

10,000,000.00 10,036,148.07 9,858,200.00 63,708.56 9,921,908.56

912828N63 UNITED STATES TREASURYGovernment of the United States

01/15/2019 1.833 AA+Aaa

25,000,000.00 25,031,110.51 24,817,250.00 129,925.27 24,947,175.27

912828P95 UNITED STATES TREASURYGovernment of the United States

03/15/2019 1.847 AA+Aaa

20,000,000.00 19,991,790.87 19,798,200.00 59,668.51 19,857,868.51

912828R93 UNITED STATES TREASURYGovernment of the United States

06/30/2018 1.526 AA+Aaa

0.00 0.00 0.00 0.00 0.00

9128282B5 UNITED STATES TREASURYGovernment of the United States

08/15/2019 1.863 AA+Aaa

20,000,000.00 19,941,732.66 19,644,200.00 56,657.61 19,700,857.61

9128282C3 UNITED STATES TREASURYGovernment of the United States

08/31/2018 1.663 AA+Aaa

0.00 0.00 0.00 0.00 0.00

912828T42 UNITED STATES TREASURYGovernment of the United States

09/30/2018 1.701 AA+Aaa

0.00 0.00 0.00 0.00 0.00


09/30/2018 1.701 AA+Aaa

0.00 0.00 0.00 0.00 0.00

912828X96 UNITED STATES TREASURYGovernment of the United States

05/15/2020 1.918 AA+Aaa

15,000,000.00 15,020,306.16 14,854,650.00 29,212.71 14,883,862.71

912828XS4 UNITED STATES TREASURYGovernment of the United States

05/31/2019 1.848 AA+Aaa

20,000,000.00 19,989,481.73 19,833,000.00 21,978.02 19,854,978.02

912828XR6 UNITED STATES TREASURYGovernment of the United States

05/31/2022 2.168 AA+Aaa

15,000,000.00 14,930,328.10 14,737,200.00 23,076.92 14,760,276.92

912828XU9 UNITED STATES TREASURYGovernment of the United States

06/15/2020 1.926 AA+Aaa

10,000,000.00 9,997,742.95 9,898,000.00 7,005.49 9,905,005.49

912828XV7 UNITED STATES TREASURYGovernment of the United States

06/30/2019 1.856 AA+Aaa

15,000,000.00 14,976,673.12 14,865,750.00 517.96 14,866,267.96

912828SF8 UNITED STATES TREASURYGovernment of the United States

02/15/2022 2.175 AA+Aaa

0.00 0.00 0.00 0.00 0.00

912828UN8 UNITED STATES TREASURYGovernment of the United States

02/15/2023 2.216 AA+Aaa

5,000,000.00 5,021,118.42 4,947,850.00 37,771.74 4,985,621.74

912828WR7 UNITED STATES TREASURYGovernment of the United States

06/30/2021 2.112 AA+Aaa

0.00 0.00 0.00 0.00 0.00


12/31/2019 1.923 AA+Aaa

0.00 0.00 0.00 0.00 0.00

912828XA3 UNITED STATES TREASURYGovernment of the United States

05/15/2018 1.373 AA+Aaa

15,000,000.00 15,005,583.33 14,978,850.00 19,475.14 14,998,325.14

912828XB1 UNITED STATES TREASURYGovernment of the United States

05/15/2025 2.355 AA+Aaa

5,000,000.00 4,999,865.57 4,922,350.00 13,794.89 4,936,144.89


6

Summary

* Grouped by: Description. * Groups Sorted by: Description. * Weighted by: Ending Market Value + Accrued.






912828XQ8 UNITED STATES TREASURYGovernment of the United States

07/31/2022 2.178 AA+Aaa

10,000,000.00 10,047,068.10 9,922,700.00 83,695.65 10,006,395.65

912828M56 UNITED STATES TREASURYGovernment of the United States

11/15/2025 2.377 AA+Aaa

10,000,000.00 10,013,814.62 9,909,400.00 29,212.71 9,938,612.71


06/30/2018 1.452 AA+Aaa

20,000,000.00 20,005,172.81 19,917,000.00 345.30 19,917,345.30

9128282C3 UNITED STATES TREASURYGovernment of the United States

08/31/2018 1.672 AA+Aaa

15,000,000.00 14,999,458.44 14,908,350.00 38,225.14 14,946,575.14


09/30/2018 1.707 AA+Aaa

5,000,000.00 4,998,410.71 4,964,350.00 9,581.04 4,973,931.04


09/30/2018 1.707 AA+Aaa

20,000,000.00 19,987,267.08 19,857,400.00 38,324.18 19,895,724.18

912828U57 UNITED STATES TREASURYGovernment of the United States

11/30/2023 2.277 AA+Aaa

20,000,000.00 19,995,482.27 19,832,600.00 37,362.64 19,869,962.64

912828X70 UNITED STATES TREASURYGovernment of the United States

04/30/2024 2.311 AA+Aaa

5,000,000.00 4,989,510.33 4,908,650.00 17,127.07 4,925,777.07

912828XU9 UNITED STATES TREASURYGovernment of the United States

06/15/2020 1.952 AA+Aaa

0.00 0.00 0.00 0.00 0.00


08/15/2027 2.418 AA+Aaa

10,000,000.00 9,957,140.34 9,856,200.00 84,986.41 9,941,186.41

--- UNITED STATES TREASURYGovernment of the United States

09/14/2020 1.926 AA+Aaa

370,000,000.00 370,383,429.87 366,695,950.00 1,057,716.88 367,753,666.88






--- ------

06/14/2020 2.042 AA+Aaa

863,850,750.00 865,182,376.46 853,964,526.30 2,705,133.27 856,669,659.57


7

LTGeneral Ledger Grouping Security Type Identifier Description Beginning Current Units Change In Current Units Ending Current Units Interest Income Net Amortization/

Accretion IncomeAdjusted Interest

Earnngs

LT AGCY BOND 3130A7UE3 FEDERAL HOME LOAN BANKS 7,000,000.00 0.00 7,000,000.00 35,000.00 13,439.72 48,439.72

LT AGCY BOND 313383VN8 FEDERAL HOME LOAN BANKS 0.00 15,000,000.00 15,000,000.00 50,000.00 -9,413.63 40,586.37

LT AGCY BOND 3133EFD20 FEDERAL FARM CREDIT BANKS FUNDINGCORP

1,050,000.00 0.00 1,050,000.00 3,281.25 0.00 3,281.25


0.00 8,950,000.00 8,950,000.00 2,796.88 0.00 2,796.88


8,950,000.00 -8,950,000.00 0.00 25,171.88 0.00 25,171.88

LT AGCY BOND 3133EFZU4 FEDERAL FARM CREDIT BANKS FUNDINGCORP

8,000,000.00 0.00 8,000,000.00 27,000.00 179.34 27,179.34

LT AGCY BOND 3133EHGA5 FEDERAL FARM CREDIT BANKS FUNDINGCORP

15,000,000.00 0.00 15,000,000.00 54,000.00 592.17 54,592.17

LT AGCY BOND 3134G9CK1 FEDERAL HOME LOAN MORTGAGE CORP 5,000,000.00 0.00 5,000,000.00 25,000.00 11,292.02 36,292.02

LT AGCY BOND 3134G9Q75 FEDERAL HOME LOAN MORTGAGE CORP 20,000,000.00 0.00 20,000,000.00 62,500.00 0.00 62,500.00

LT AGCY BOND 3134G9RQ2 FEDERAL HOME LOAN MORTGAGE CORP 20,000,000.00 0.00 20,000,000.00 75,000.00 0.00 75,000.00

LT AGCY BOND 3134G9VE4 FEDERAL HOME LOAN MORTGAGE CORP 0.00 0.00 0.00 3,116.67 0.00 3,116.67

LT AGCY BOND 3134G9VE4 FEDERAL HOME LOAN MORTGAGE CORP 17,000,000.00 -17,000,000.00 0.00 42,075.00 0.00 42,075.00

LT AGCY BOND 3134GAGX6 FEDERAL HOME LOAN MORTGAGE CORP 20,000,000.00 0.00 20,000,000.00 67,500.00 0.00 67,500.00

LT AGCY BOND 3134GAHH0 FEDERAL HOME LOAN MORTGAGE CORP 0.00 20,000,000.00 20,000,000.00 7,750.00 0.00 7,750.00

LT AGCY BOND 3134GAHH0 FEDERAL HOME LOAN MORTGAGE CORP 20,000,000.00 -20,000,000.00 0.00 69,750.00 0.00 69,750.00

LT AGCY BOND 3134GAKT0 FEDERAL HOME LOAN MORTGAGE CORP 0.00 20,000,000.00 20,000,000.00 6,875.00 0.00 6,875.00

LT AGCY BOND 3134GAKT0 FEDERAL HOME LOAN MORTGAGE CORP 20,000,000.00 -20,000,000.00 0.00 61,875.00 0.00 61,875.00

LT AGCY BOND 3134GAXM1 FEDERAL HOME LOAN MORTGAGE CORP 15,000,000.00 -15,000,000.00 0.00 24,225.00 0.00 24,225.00

LT AGCY BOND 3135G0K85 FEDERAL NATIONAL MORTGAGEASSOCIATION

0.00 25,000,000.00 25,000,000.00 8,750.00 0.00 8,750.00


25,000,000.00 -25,000,000.00 0.00 78,750.00 0.00 78,750.00


20,000,000.00 0.00 20,000,000.00 62,500.00 0.00 62,500.00


10,000,000.00 0.00 10,000,000.00 31,250.00 0.00 31,250.00

LT AGCY BOND 3135G0T29 FEDERAL NATIONAL MORTGAGEASSOCIATION

15,000,000.00 0.00 15,000,000.00 56,250.00 3,388.41 59,638.41

LT AGCY BOND 3135G0ZA4 FEDERAL NATIONAL MORTGAGEASSOCIATION

10,000,000.00 0.00 10,000,000.00 46,875.00 -14,578.81 32,296.19

LT AGCY BOND 3136G2YA9 FEDERAL NATIONAL MORTGAGEASSOCIATION

7,400,000.00 0.00 7,400,000.00 25,900.00 0.00 25,900.00

LT AGCY BOND 3136G2YA9 FEDERAL NATIONAL MORTGAGEASSOCIATION

2,600,000.00 0.00 2,600,000.00 9,100.00 0.00 9,100.00

LT AGCY BOND 3136G33J2 FEDERAL NATIONAL MORTGAGEASSOCIATION

0.00 20,000,000.00 20,000,000.00 7,500.00 0.00 7,500.00

LT AGCY BOND 3136G33J2 FEDERAL NATIONAL MORTGAGEASSOCIATION

20,000,000.00 -20,000,000.00 0.00 67,500.00 0.00 67,500.00

LT AGCY BOND 3136G35D3 FEDERAL NATIONAL MORTGAGEASSOCIATION

0.00 20,000,000.00 20,000,000.00 5,750.00 0.00 5,750.00

LT AGCY BOND 3136G35D3 FEDERAL NATIONAL MORTGAGEASSOCIATION

20,000,000.00 -20,000,000.00 0.00 51,750.00 0.00 51,750.00

LT AGCY BOND 3136G36C4 FEDERAL NATIONAL MORTGAGEASSOCIATION

0.00 20,000,000.00 20,000,000.00 8,000.00 0.00 8,000.00

LT AGCY BOND 3136G36C4 FEDERAL NATIONAL MORTGAGEASSOCIATION

20,000,000.00 -20,000,000.00 0.00 72,000.00 0.00 72,000.00

LT AGCY BOND 3136G3Q57 FEDERAL NATIONAL MORTGAGEASSOCIATION

15,000,000.00 0.00 15,000,000.00 52,125.00 0.00 52,125.00


0.00 15,000,000.00 15,000,000.00 5,850.00 0.00 5,850.00

TEXAS - Interest Earnings COFW Agg (79735)10/01/2017 - 12/31/2017 Return to Table of Contents Dated: 01/16/2018

8

Receivable

ST

General Ledger Grouping Security Type Identifier Description Beginning Current Units Change In Current Units Ending Current Units Interest Income Net Amortization/Accretion Income

Adjusted InterestEarnngs


15,000,000.00 -15,000,000.00 0.00 52,650.00 0.00 52,650.00

LT AGCY BOND 3136G3TA3 FEDERAL NATIONAL MORTGAGEASSOCIATION

20,000,000.00 0.00 20,000,000.00 71,000.00 0.00 71,000.00

LT AGCY BOND 3136G4DT7 FEDERAL NATIONAL MORTGAGEASSOCIATION

0.00 10,000,000.00 10,000,000.00 3,825.00 0.00 3,825.00

LT AGCY BOND 3136G4DT7 FEDERAL NATIONAL MORTGAGEASSOCIATION

10,000,000.00 -10,000,000.00 0.00 34,425.00 0.00 34,425.00

LT AGCY BOND 3137EADM8 FREDDIE MAC 15,000,000.00 0.00 15,000,000.00 46,875.00 9,329.21 56,204.21

LT AGCY BOND 3137EAEE5 FREDDIE MAC 10,000,000.00 0.00 10,000,000.00 37,500.00 1,257.54 38,757.54

LT MUNI 57582PWK2 MASSACHUSETTS ST 0.00 9,365,000.00 9,365,000.00 9,833.25 -5,158.68 4,674.57

LT MUNI 57582PWK2 MASSACHUSETTS ST 9,365,000.00 -9,365,000.00 0.00 88,499.25 -41,893.53 46,605.72

LT US GOV 9128282B5 UNITED STATES TREASURY 20,000,000.00 0.00 20,000,000.00 37,500.00 8,902.32 46,402.32

LT US GOV 9128282R0 UNITED STATES TREASURY 0.00 10,000,000.00 10,000,000.00 45,244.56 890.34 46,134.90

LT US GOV 912828F21 UNITED STATES TREASURY 15,000,000.00 0.00 15,000,000.00 80,563.19 -12,187.95 68,375.24

LT US GOV 912828G95 UNITED STATES TREASURY 0.00 10,000,000.00 10,000,000.00 4,423.08 -460.12 3,962.96

LT US GOV 912828G95 UNITED STATES TREASURY 10,000,000.00 -10,000,000.00 0.00 36,209.24 -3,862.21 32,347.03

LT US GOV 912828L24 UNITED STATES TREASURY 10,000,000.00 0.00 10,000,000.00 47,651.93 -1,867.97 45,783.96

LT US GOV 912828M56 UNITED STATES TREASURY 0.00 10,000,000.00 10,000,000.00 45,721.36 -248.38 45,472.98

LT US GOV 912828N63 UNITED STATES TREASURY 25,000,000.00 0.00 25,000,000.00 70,312.50 -7,438.52 62,873.98

LT US GOV 912828P95 UNITED STATES TREASURY 20,000,000.00 0.00 20,000,000.00 50,828.73 1,725.03 52,553.76

LT US GOV 912828RR3 UNITED STATES TREASURY 10,000,000.00 0.00 10,000,000.00 50,423.37 -7,607.92 42,815.45

LT US GOV 912828SF8 UNITED STATES TREASURY 0.00 5,000,000.00 5,000,000.00 2,717.39 -294.58 2,422.81

LT US GOV 912828SF8 UNITED STATES TREASURY 5,000,000.00 -5,000,000.00 0.00 22,282.61 -2,474.27 19,808.34

LT US GOV 912828TH3 UNITED STATES TREASURY 30,000,000.00 0.00 30,000,000.00 65,625.00 7,975.13 73,600.13

LT US GOV 912828U57 UNITED STATES TREASURY 0.00 20,000,000.00 20,000,000.00 53,618.97 170.27 53,789.23

LT US GOV 912828UN8 UNITED STATES TREASURY 5,000,000.00 0.00 5,000,000.00 25,000.00 -978.97 24,021.03

LT US GOV 912828WR7 UNITED STATES TREASURY 0.00 10,000,000.00 10,000,000.00 5,784.03 -790.98 4,993.05

LT US GOV 912828WR7 UNITED STATES TREASURY 10,000,000.00 -10,000,000.00 0.00 47,350.54 -6,624.65 40,725.90

LT US GOV 912828X70 UNITED STATES TREASURY 5,000,000.00 0.00 5,000,000.00 25,279.25 405.99 25,685.23

LT US GOV 912828X96 UNITED STATES TREASURY 15,000,000.00 0.00 15,000,000.00 56,726.29 -2,111.75 54,614.54

LT US GOV 912828XB1 UNITED STATES TREASURY 5,000,000.00 0.00 5,000,000.00 26,787.42 21.39 26,808.81

LT US GOV 912828XQ8 UNITED STATES TREASURY 10,000,000.00 0.00 10,000,000.00 50,000.00 -2,451.53 47,548.47

LT US GOV 912828XR6 UNITED STATES TREASURY 15,000,000.00 0.00 15,000,000.00 66,109.71 3,875.68 69,985.39

LT US GOV 912828XS4 UNITED STATES TREASURY 20,000,000.00 0.00 20,000,000.00 62,961.63 1,855.41 64,817.04

LT US GOV 912828XU9 UNITED STATES TREASURY 0.00 10,000,000.00 10,000,000.00 4,120.88 25.38 4,146.26

LT US GOV 912828XU9 UNITED STATES TREASURY 10,000,000.00 -10,000,000.00 0.00 33,622.32 211.24 33,833.56

LT US GOV 912828XV7 UNITED STATES TREASURY 15,000,000.00 0.00 15,000,000.00 46,883.44 3,843.60 50,727.05

LT --- --- --- 676,365,000.00 23,000,000.00 699,365,000.00 2,641,121.61 -51,064.28 2,590,057.33



Receivable CASH CCYUSD Receivable 253,125.00 170,125.00 423,250.00 0.00 0.00 0.00

Receivable CASH CCYUSD Receivable 0.00 62,500.00 62,500.00 0.00 0.00 0.00

Receivable CASH CCYUSD Receivable 253,125.00 232,625.00 485,750.00 0.00 0.00 0.00


9

Summary

* Grouped by: General Ledger Grouping. * Groups Sorted by: General Ledger Grouping.

* Adjusted Interest Earnngs = [Interest Income]+[Net Amortization/Accretion Income], Summary Calculation: Sum.



ST AGCY BOND 3134G8UD9 FEDERAL HOME LOAN MORTGAGE CORP 15,000,000.00 0.00 15,000,000.00 39,375.00 0.00 39,375.00

ST AGCY BOND 3134G9Q67 FEDERAL HOME LOAN MORTGAGE CORP 17,000,000.00 -17,000,000.00 0.00 40,162.50 0.00 40,162.50

ST AGCY BOND 3134G9Q67 FEDERAL HOME LOAN MORTGAGE CORP 0.00 17,000,000.00 17,000,000.00 4,462.50 0.00 4,462.50

ST AGCY BOND 3134G9VE4 FEDERAL HOME LOAN MORTGAGE CORP 0.00 17,000,000.00 17,000,000.00 1,558.33 0.00 1,558.33

ST AGCY BOND 3134GAXM1 FEDERAL HOME LOAN MORTGAGE CORP 0.00 15,000,000.00 15,000,000.00 14,025.00 0.00 14,025.00

ST AGCY BOND 3136G3XL4 FEDERAL NATIONAL MORTGAGEASSOCIATION

10,000,000.00 -10,000,000.00 0.00 19,125.00 0.00 19,125.00

ST AGCY BOND 3136G3XL4 FEDERAL NATIONAL MORTGAGEASSOCIATION

0.00 10,000,000.00 10,000,000.00 2,125.00 0.00 2,125.00

ST MUNI 546415S50 LOUISIANA ST 15,000,000.00 0.00 15,000,000.00 56,250.00 2,930.65 59,180.65

ST US GOV 9128282C3 UNITED STATES TREASURY 15,000,000.00 -15,000,000.00 0.00 25,483.43 186.19 25,669.62

ST US GOV 9128282C3 UNITED STATES TREASURY 0.00 15,000,000.00 15,000,000.00 3,107.73 25.39 3,133.12

ST US GOV 912828G20 UNITED STATES TREASURY 20,000,000.00 -20,000,000.00 0.00 21,399.46 -3,376.69 18,022.77

ST US GOV 912828R93 UNITED STATES TREASURY 20,000,000.00 -20,000,000.00 0.00 27,853.26 -2,309.84 25,543.42

ST US GOV 912828R93 UNITED STATES TREASURY 0.00 20,000,000.00 20,000,000.00 3,402.37 -278.62 3,123.75

ST US GOV 912828T42 UNITED STATES TREASURY 5,000,000.00 -5,000,000.00 0.00 8,447.80 479.81 8,927.61

ST US GOV 912828T42 UNITED STATES TREASURY 20,000,000.00 -20,000,000.00 0.00 33,791.21 3,842.84 37,634.04

ST US GOV 912828T42 UNITED STATES TREASURY 0.00 5,000,000.00 5,000,000.00 1,030.22 59.15 1,089.37

ST US GOV 912828T42 UNITED STATES TREASURY 0.00 20,000,000.00 20,000,000.00 4,120.88 471.47 4,592.35

ST US GOV 912828TW0 UNITED STATES TREASURY 15,000,000.00 -15,000,000.00 0.00 9,171.20 -314.25 8,856.94

ST US GOV 912828XA3 UNITED STATES TREASURY 15,000,000.00 -15,000,000.00 0.00 33,673.88 -3,796.52 29,877.36

ST US GOV 912828XA3 UNITED STATES TREASURY 0.00 15,000,000.00 15,000,000.00 4,143.65 -416.67 3,726.98

ST --- --- --- 167,000,000.00 -3,000,000.00 164,000,000.00 352,708.42 -2,497.10 350,211.31



--- --- --- --- 843,618,125.00 20,232,625.00 863,850,750.00 2,993,830.02 -53,561.38 2,940,268.64


10

LTGeneral Ledger Grouping Account Identifier Description Security Type State Beginning Book Value Beginning Net

AccumulatedAmortization/

Accretion

Change In NetAccumulatedAmortization/

Accretion

Disposed NetAccumulatedAmortization/

Accretion

Ending NetAccumulatedAmortization/

Accretion

LT COFW Long-Term 3130A7UE3 FEDERAL HOME LOAN BANKS AGCY BOND DC 7,053,027.01 74,027.01 13,439.72 0.00 87,466.73

LT COFW Short-Term 313383VN8 FEDERAL HOME LOAN BANKS AGCY BOND DC 0.00 0.00 -9,413.63 0.00 -9,413.63

LT COFW Short-Term 3133EFD20 FEDERAL FARM CREDIT BANKS FUNDINGCORP

AGCY BOND NJ 1,050,000.00 0.00 0.00 0.00 0.00

LT COFW Long-Term 3133EFD20 FEDERAL FARM CREDIT BANKS FUNDINGCORP

AGCY BOND NJ 8,950,000.00 0.00 0.00 0.00 0.00

LT COFW Short-Term 3133EFZU4 FEDERAL FARM CREDIT BANKS FUNDINGCORP

AGCY BOND NJ 7,998,640.25 640.25 179.34 0.00 819.59

LT COFW Short-Term 3133EHGA5 FEDERAL FARM CREDIT BANKS FUNDINGCORP

AGCY BOND NJ 14,995,138.69 988.69 592.17 0.00 1,580.86

LT COFW Long-Term 3134G9CK1 FEDERAL HOME LOAN MORTGAGE CORP AGCY BOND VA 5,057,131.35 62,131.35 11,292.02 0.00 73,423.36

LT COFW Short-Term 3134G9Q75 FEDERAL HOME LOAN MORTGAGE CORP AGCY BOND VA 20,000,000.00 0.00 0.00 0.00 0.00

LT COFW Short-Term 3134G9RQ2 FEDERAL HOME LOAN MORTGAGE CORP AGCY BOND VA 20,000,000.00 0.00 0.00 0.00 0.00

LT COFW Long-Term 3134G9VE4 FEDERAL HOME LOAN MORTGAGE CORP AGCY BOND VA 17,000,000.00 0.00 0.00 0.00 0.00

LT COFW Short-Term 3134GAGX6 FEDERAL HOME LOAN MORTGAGE CORP AGCY BOND VA 20,000,000.00 0.00 0.00 0.00 0.00

LT COFW Long-Term 3134GAHH0 FEDERAL HOME LOAN MORTGAGE CORP AGCY BOND VA 20,000,000.00 0.00 0.00 0.00 0.00

LT COFW Long-Term 3134GAKT0 FEDERAL HOME LOAN MORTGAGE CORP AGCY BOND VA 20,000,000.00 0.00 0.00 0.00 0.00

LT COFW Short-Term 3134GAXM1 FEDERAL HOME LOAN MORTGAGE CORP AGCY BOND VA 15,000,000.00 0.00 0.00 0.00 0.00

LT COFW Long-Term 3135G0K85 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 25,000,000.00 0.00 0.00 0.00 0.00

LT COFW Short-Term 3135G0K93 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 20,000,000.00 0.00 0.00 0.00 0.00

LT COFW Short-Term 3135G0K93 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 10,000,000.00 0.00 0.00 0.00 0.00

LT COFW Short-Term 3135G0T29 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 14,966,823.68 6,813.68 3,388.41 0.00 10,202.09

LT COFW Short-Term 3135G0ZA4 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 10,081,220.14 -33,679.86 -14,578.81 0.00 -48,258.67

LT COFW Short-Term 3136G2YA9 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 7,400,000.00 0.00 0.00 0.00 0.00

LT COFW Short-Term 3136G2YA9 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 2,600,000.00 0.00 0.00 0.00 0.00

LT COFW Long-Term 3136G33J2 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 20,000,000.00 0.00 0.00 0.00 0.00

LT COFW Long-Term 3136G35D3 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 20,000,000.00 0.00 0.00 0.00 0.00

LT COFW Long-Term 3136G36C4 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 20,000,000.00 0.00 0.00 0.00 0.00

LT COFW Short-Term 3136G3Q57 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 15,000,000.00 0.00 0.00 0.00 0.00

LT COFW Long-Term 3136G3Q65 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 15,000,000.00 0.00 0.00 0.00 0.00

LT COFW Short-Term 3136G3TA3 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 20,000,000.00 0.00 0.00 0.00 0.00

LT COFW Long-Term 3136G4DT7 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 10,000,000.00 0.00 0.00 0.00 0.00

LT COFW Short-Term 3137EADM8 FREDDIE MAC AGCY BOND VA 14,925,230.30 18,530.30 9,329.21 0.00 27,859.51

LT COFW Short-Term 3137EAEE5 FREDDIE MAC AGCY BOND VA 9,988,266.75 2,966.75 1,257.54 0.00 4,224.28

LT COFW Short-Term 57582PWK2 MASSACHUSETTS ST MUNI MA 0.00 0.00 -223,026.42 0.00 -223,026.42

LT COFW Long-Term 57582PWK2 MASSACHUSETTS ST MUNI MA 10,175,722.19 -175,974.21 175,974.21 0.00 0.00

LT COFW Short-Term 9128282B5 UNITED STATES TREASURY US GOV DC 19,932,830.34 29,704.35 8,902.32 0.00 38,606.66

LT COFW Long-Term 9128282R0 UNITED STATES TREASURY US GOV DC 0.00 0.00 890.34 0.00 890.34

LT COFW Short-Term 912828F21 UNITED STATES TREASURY US GOV DC 15,198,871.37 -7,965.13 -12,187.95 0.00 -20,153.08

LT COFW Short-Term 912828G95 UNITED STATES TREASURY US GOV DC 0.00 0.00 -14,348.70 0.00 -14,348.70

TEXAS - Amortization Schedule COFW Agg (79735)10/01/2017 - 12/31/2017 Return to Table of Contents Dated: 01/16/2018

11

Receivable

ST

General Ledger Grouping Account Identifier Description Security Type State Beginning Book Value Beginning NetAccumulatedAmortization/

Accretion


Accretion


Accretion


Accretion

LT COFW Long-Term 912828G95 UNITED STATES TREASURY US GOV DC 10,039,582.63 -10,026.37 10,026.37 0.00 0.00

LT COFW Short-Term 912828L24 UNITED STATES TREASURY US GOV DC 10,038,016.05 -263.95 -1,867.97 0.00 -2,131.93

LT COFW Long-Term 912828M56 UNITED STATES TREASURY US GOV DC 0.00 0.00 -248.38 0.00 -248.38

LT COFW Short-Term 912828N63 UNITED STATES TREASURY US GOV DC 25,038,549.04 -44,458.46 -7,438.52 0.00 -51,896.99

LT COFW Short-Term 912828P95 UNITED STATES TREASURY US GOV DC 19,990,065.85 5,689.85 1,725.03 0.00 7,414.87

LT COFW Short-Term 912828RR3 UNITED STATES TREASURY US GOV DC 10,129,417.42 -1,052.58 -7,607.92 0.00 -8,660.50

LT COFW Short-Term 912828SF8 UNITED STATES TREASURY US GOV DC 0.00 0.00 -5,548.75 0.00 -5,548.75

LT COFW Long-Term 912828SF8 UNITED STATES TREASURY US GOV DC 5,050,345.09 -2,779.91 2,779.91 0.00 0.00

LT COFW Short-Term 912828TH3 UNITED STATES TREASURY US GOV DC 29,941,101.41 26,649.41 7,975.13 0.00 34,624.54

LT COFW Long-Term 912828U57 UNITED STATES TREASURY US GOV DC 0.00 0.00 170.27 0.00 170.27

LT COFW Long-Term 912828UN8 UNITED STATES TREASURY US GOV DC 5,022,097.39 -949.61 -978.97 0.00 -1,928.58

LT COFW Short-Term 912828WR7 UNITED STATES TREASURY US GOV DC 0.00 0.00 -24,604.22 0.00 -24,604.22

LT COFW Long-Term 912828WR7 UNITED STATES TREASURY US GOV DC 10,115,233.29 -17,188.59 17,188.59 0.00 0.00

LT COFW Long-Term 912828X70 UNITED STATES TREASURY US GOV DC 4,989,104.35 432.35 405.99 0.00 838.34

LT COFW Short-Term 912828X96 UNITED STATES TREASURY US GOV DC 15,022,417.91 -2,777.59 -2,111.75 0.00 -4,889.34

LT COFW Long-Term 912828XB1 UNITED STATES TREASURY US GOV DC 4,999,844.18 39.68 21.39 0.00 61.07

LT COFW Long-Term 912828XQ8 UNITED STATES TREASURY US GOV DC 10,049,519.64 -1,652.12 -2,451.53 0.00 -4,103.66

LT COFW Short-Term 912828XR6 UNITED STATES TREASURY US GOV DC 14,926,452.42 2,623.92 3,875.68 0.00 6,499.60

LT COFW Short-Term 912828XS4 UNITED STATES TREASURY US GOV DC 19,987,626.32 2,470.32 1,855.41 0.00 4,325.73

LT COFW Short-Term 912828XU9 UNITED STATES TREASURY US GOV DC 0.00 0.00 476.95 0.00 476.95

LT COFW Long-Term 912828XU9 UNITED STATES TREASURY US GOV DC 9,997,506.33 240.33 -240.33 0.00 0.00

LT COFW Short-Term 912828XV7 UNITED STATES TREASURY US GOV DC 14,972,829.51 3,884.39 3,843.60 0.00 7,728.00

LT --- --- --- --- --- 677,682,610.88 -60,935.78 -51,064.28 0.00 -112,000.06


Accretion


Accretion


Accretion


Accretion

Receivable COFW Short-Term CCYUSD Receivable CASH --- 253,125.00 0.00 0.00 0.00 0.00

Receivable COFW Short-Term CCYUSD Receivable CASH --- 253,125.00 0.00 0.00 0.00 0.00


Accretion


Accretion


Accretion


Accretion

ST COFW Long-Term 3134G8UD9 FEDERAL HOME LOAN MORTGAGE CORP AGCY BOND VA 15,000,000.00 0.00 0.00 0.00 0.00

ST COFW Short-Term 3134G9Q67 FEDERAL HOME LOAN MORTGAGE CORP AGCY BOND VA 17,000,000.00 0.00 0.00 0.00 0.00

ST COFW Short-Term 3136G3XL4 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 10,000,000.00 0.00 0.00 0.00 0.00

ST COFW Long-Term 546415S50 LOUISIANA ST MUNI LA 14,996,081.85 41,081.85 2,930.65 0.00 44,012.50

ST COFW Short-Term 9128282C3 UNITED STATES TREASURY US GOV DC 14,999,246.86 709.36 -709.36 0.00 0.00

ST COFW Long-Term 9128282C3 UNITED STATES TREASURY US GOV DC 0.00 0.00 920.94 0.00 920.94

ST COFW Short-Term 912828G20 UNITED STATES TREASURY US GOV DC 20,003,376.69 -45,061.31 45,061.31 48,438.00 0.00

ST COFW Short-Term 912828R93 UNITED STATES TREASURY US GOV DC 20,007,761.28 -8,644.72 8,644.72 0.00 0.00

ST COFW Long-Term 912828R93 UNITED STATES TREASURY US GOV DC 0.00 0.00 -11,233.19 0.00 -11,233.19

ST COFW Short-Term 912828T42 UNITED STATES TREASURY US GOV DC 4,997,871.75 1,777.75 -1,777.75 0.00 0.00

ST COFW Short-Term 912828T42 UNITED STATES TREASURY US GOV DC 19,982,952.77 14,202.77 -14,202.77 0.00 0.00

ST COFW Long-Term 912828T42 UNITED STATES TREASURY US GOV DC 0.00 0.00 2,316.71 0.00 2,316.71


12

Summary

* Grouped by: General Ledger Grouping. * Groups Sorted by: General Ledger Grouping.


Accretion


Accretion


Accretion


Accretion

ST COFW Long-Term 912828T42 UNITED STATES TREASURY US GOV DC 0.00 0.00 18,517.08 0.00 18,517.08

ST COFW Short-Term 912828TW0 UNITED STATES TREASURY US GOV DC 15,000,314.25 -3,201.75 3,201.75 3,516.00 0.00

ST COFW Short-Term 912828XA3 UNITED STATES TREASURY US GOV DC 15,010,539.99 -14,069.01 14,069.01 0.00 0.00

ST COFW Long-Term 912828XA3 UNITED STATES TREASURY US GOV DC 0.00 0.00 -19,025.67 0.00 -19,025.67

ST --- --- --- --- --- 166,998,145.43 -13,205.07 48,713.43 51,954.00 35,508.36


Accretion


Accretion


Accretion


Accretion

--- --- --- --- --- --- 844,933,881.31 -74,140.85 -2,350.85 51,954.00 -76,491.70


13

All Fees (includes administrative, management, and trading).

Returns are actual and have not been annualized.

No Tax Adjustment.

Note that data will not exist prior to the performance inception date of: 01/01/2017.

Reported Index Return is always Total Return.

Returns for an aggregate account are based on the weighted average of its simple accounts, unless historical returns have specifically been provided for the aggregate, in which case the provided historical returns will be used for the Account Total row. The index total or total

weighted benchmark returns for an aggregate account are also based on the weighted average of the index returns of its simple accounts.

Period Period Begin Period End Total Return, All Fees Income Return, All Fees Price Return, All Fees

Prior Month 11/01/2017 11/30/2017 -0.147% 0.114% -0.261%

Prior Quarter 07/01/2017 09/30/2017 0.322% 0.327% -0.005%

Prior Year 01/01/2016 12/31/2016 --- --- ---

Trailing Month 12/01/2017 12/31/2017 0.071% 0.118% -0.046%

Trailing Quarter 10/01/2017 12/31/2017 -0.100% 0.344% -0.443%

Trailing Year 01/01/2017 12/31/2017 0.658% 1.266% -0.608%

Account Index Index Start Date Index End Date

COFW Long-Term ICE BofAML Unsubordinated U.S. Treasuries/Agencies 1-5 Yrs 03/03/2003 ---

COFW Short-Term ICE BofAML Unsubordinated U.S. Treasuries/Agencies 1-3 Yrs 03/25/2004 ---

COFW Agg ICE BofAML U.S. Treasuries 1-10 Yrs 07/22/2002 ---

Total Return v. Benchmark COFW Agg (79735)Base Currency: USD As of 12/31/2017 Dated: 01/16/2018

1

Additional Disclosure:

The information on this website is for general purposes only and is not intended to provide specific advice or recommendations. All information presented on this website is obtained via electronic data transfer from theCustodian. While this information is reconciled on a daily basis, when available, accuracy is relied upon from the Custodian. Please review the data carefully. Should you have any questions regarding the informationpresented, calculation methodology, investment portfolio or security detail, or any other facet of the data, please feel free to contact us.

This data is intended to detail our investment advisory activity as well as the activity of any client accounts managed by Public Trust Advisors, LLC (Public Trust). The custodian bank maintains the control of assets andexecutes and settles all investment transactions. The custodian statement is the official record of security and cash holdings transactions. Public Trust recognizes that clients may use these reports to facilitate record keeping;therefore it is recommended that the client reconcile this statement with their custodian bank statement. Many custodians use a settlement date basis which may result in the need to reconcile due to a timing difference.Please contact your relationship manager or call our toll free number 855-395-3954 with questions regarding your account.

Public Trust does not have the authority to withdraw funds from or deposit funds to the custodian. Our clients retain responsibility for their internal accounting policies; implementing and enforcing internal controls andgenerating ledger entries or otherwise recording transactions.

Pricing sources from our reporting platform are provided by Clearwater Analytics®. Clearwater utilizes a hierarchical pricing model with multiple options for pricing sources. These options include custodial pricing, S&P CapitalIQ and other sources. Since multiple pricing hierarchies are offered through Clearwater Analytics, and client preferences regarding pricing sources may differ, it is important to verify the specific pricing hierarchy for eachportfolio. Securities with short maturities and infrequent secondary market trades are typically priced via mathematical calculations. The securities in this investment portfolio, including shares of mutual funds, are notguaranteed or otherwise protected by Public Trust, the FDIC (except for certain non-negotiable certificates of deposit) or any government agency, unless otherwise specifically stated. Investing involves risk, including thepossible loss of principal.

Past performance is not an indicator of future performance or results.

Public Trust statements present beginning and ending balances and are based on Market Value plus accrued interest on a Trade Date basis. Customized reports made available to the end user either from Public Trust orthrough the online reporting platform may present information and portfolio analytics using various optional methods including, but not limited to, historical cost, amortized cost, and market value. Custom reports may also differfrom the information received from the custodian as a result of additional formulas and filters created based on end user preferences.

The investment advisor providing these services is Public Trust Advisors, LLC, an investment adviser registered with the U.S. Securities and Exchange Commission (SEC) under the Investment Advisers Act of 1940, asamended. Registration with the SEC does not imply a certain level of skill or training. Public Trust is required to maintain a written disclosure brochure of our background and business experience. If you would like to receive acopy of our current disclosure brochure, privacy policy, or code of ethics please contact us at the address below.

Public Trust Advisors

717 17th St. Suite 1850

Denver, CO 80202

DisclaimerDated: 01/16/2018

2

Quarterly Investment Statement for the period ended: ___________________________________

Reviewed by: __________________________________

Jay Rutledge, Treasury Supervisor

_________________________________

John Samford, Director of Finance

_________________________________

Aaron Bovos, Chief Financial Officer

December 31, 2017

Please see disclosure page at the end of this presentation.

Investment Management Update & Performance ReviewPrepared for: City of Fort Worth January 25, 2018

Presented by: Chuck Watson, CFA, Investment StrategistHeidi Coombs, CFP®, CTFA, Fiduciary Specialist

1

Table of Contents

I. City of Fort Worth Relationship

• Fort Worth Permanent Fund• Fort Worth Permanent Sub – Aviation • Fort Worth Permanent Sub – Restr Park• Fort Worth Permanent Sub – Unrstr Park• Fort Worth Permanent Sub – Water & Sewer• Fort Worth Permanent Sub – General

II. Executive Summary Asset Allocation Strategy

AGG453079 FORT WORTH PERMANENT FUND - CONSEXECUTIVE SUMMARY AND ANNUAL PERIOD PERFORMANCE

Fiscal Year End: 9/30

FOR THE PERIOD ENDING: DECEMBER 31, 2017

TOTAL PORTFOLIO PERFORMANCE WITH BENCHMARKS (CONSOLIDATED) - REPORT PERIOD: 7/1/13 TO 12/31/17 AGG453079 FORT WORTH PERMAN

PERFORMANCE SUMMARYLAST LAST 3 LAST 12 LAST 3 SINCE

MONTH MONTHS MONTHS YEARS1

INCEPTION1

TOTAL PORTFOLIO (Net of fees) 0.80% 2.77% 11.98% 4.73% 4.74%

BBG BARC Aggregate Bond Index 0.46% 0.39% 3.54% 2.24% 2.90% BBG BARC 1-15 Yr Muni Blend (1-17) 0.83% 0.15% 4.33% 2.37% 3.19% BBG BARC High Yield Corporate Index 0.30% 0.47% 7.50% 6.35% 6.11% BBG BARC High Yield Municipal Index 1.30% 1.83% 9.69% 4.77% 5.36% JP Morgan GBI x US 0.02% 1.58% 9.92% 2.13% 1.44% JP Morgan EMBI Global Index 0.63% 0.54% 9.32% 6.84% 6.18% BBG BARC Multiverse Index 0.36% 1.06% 7.69% 2.31% 2.22%

Standard & Poor's 500 Stock Index 1.10% 6.63% 21.80% 11.39% 14.33% Russell Midcap Index 0.93% 6.07% 18.52% 9.58% 13.08% Russell 2000 Index -0.40% 3.34% 14.65% 9.96% 12.08% MSCI EAFE Net Index 1.61% 4.23% 25.03% 7.80% 7.85% MSCI Emerging Mkts Index-Net 3.59% 7.44% 37.28% 9.10% 7.21% MSCI All Country World Index 1.65% 5.84% 24.62% 9.89% 11.20%

FTSE EPRA/NAREIT Developed Index 1.42% 3.82% 11.38% 5.37% 7.45% Bloomberg Commodity Total Return Index 2.99% 4.71% 1.70% -5.03% -7.09%

HFRI Fund Weighted Composite Index (updated) 0.90% 2.51% 8.54% 4.22% 4.76% HFRI Relative Value (Total) Index (updated) 0.82% 1.17% 5.22% 4.15% 4.55% HFRI Macro (Total) Index (updated) 0.66% 2.38% 2.18% 0.67% 1.78% HFRI Event-Driven (Total) Index (updated) 1.07% 1.56% 7.20% 4.58% 4.75% HFRI Equity Hedge (Total) Index (updated) 1.04% 3.24% 13.18% 5.73% 6.21%

Lipper Money Market Index 0.08% 0.22% 0.65% 0.26% 0.18%

1 Annualized Return

Consolidated Copyright 2018, Investment Scorecard 2355-5092542-2017-A January 09, 2018 09:23 PMPage 1 of 7

PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY (CONSOLIDATED) - REPORT PERIOD: 7/1/13 TO 12/31/17 AGG453079 FORT WORTH PERMANE

ALLOCATION (BY CLASS) PORTFOLIO GROWTH OVER TIME

Fixed Income 30.58%

Equities 39.36%

Real Assets 10.68%

Alternative Investments 13.14%

Cash & Equivalents 6.24%

$0

$10,000,000

$20,000,000

$30,000,000

$40,000,000

$50,000,000

$60,000,000

$70,000,000

$80,000,000

9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17Ending Market ValueNet Contributions/Withdrawals

PORTFOLIO SUMMARY LAST 3 LAST 12 LAST 3 SINCEMONTHS MONTHS YEARS INCEPTION

Beginning Value1

70,036,426 63,083,169 57,078,595 35,832,362Net Contributions & Withdrawals 2 1,111,189 2,322,368 6,722,808 24,946,286Investment Gain or Loss

1 1,955,971 7,698,049 9,302,183 12,324,939

Ending Value1

73,103,587 73,103,587 73,103,587 73,103,587

PERFORMANCE SUMMARYENDING CURRENT

MARKET PORTFOLIO LAST 3 LAST 12 LAST 3 SINCEVALUE

1 ALLOCATION MONTHS MONTHS YEARS

3 INCEPTION

3

TOTAL PORTFOLIO (Net of fees) 73,103,587 100.00% 2.77% 11.98% 4.73% 4.74%

FIXED INCOME 22,357,648 30.58% 0.14% 2.94% 2.10% 1.95% BBG BARC 1-5 Year Govt/Credit -0.30% 1.27% 1.27% 1.33% BBG BARC Aggregate Bond Index 0.39% 3.54% 2.24% 2.90% BBG BARC 1-15 Yr Muni Blend (1-17) 0.15% 4.33% 2.37% 3.19% BBG BARC High Yield Corporate Index 0.47% 7.50% 6.35% 6.11% BBG BARC High Yield Municipal Index 1.83% 9.69% 4.77% 5.36% JP Morgan GBI x US 1.58% 9.92% 2.13% 1.44% JP Morgan EMBI Global Index 0.54% 9.32% 6.84% 6.18% BBG BARC Multiverse Index 1.06% 7.69% 2.31% 2.22%

1Values include Accrued Income.

2 As accounts are added to/removed from the composite they are displayed as a contribution/withdrawal.3 Annualized Return


PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY (CONSOLIDATED) - REPORT PERIOD: 7/1/13 TO 12/31/17 AGG453079 FORT WORTH PERMANE




1 INCEPTION

1

EQUITIES 28,771,817 39.36% 5.06% 25.25% 9.56% 10.72%3

Standard & Poor's 500 Stock Index 6.63% 21.80% 11.39% 14.33% Russell Midcap Index 6.07% 18.52% 9.58% 13.08% Russell 2000 Index 3.34% 14.65% 9.96% 12.08% MSCI EAFE Net Index 4.23% 25.03% 7.80% 7.85% MSCI Emerging Mkts Index-Net 7.44% 37.28% 9.10% 7.21% MSCI All Country World Index 5.84% 24.62% 9.89% 11.20%

REAL ASSETS 7,808,926 10.68% 3.36% 5.87% 2.76% 4.42% FTSE NAREIT All Equity REIT Index 2.48% 8.67% 6.67% 9.61% FTSE EPRA/NAREIT Developed Index 3.82% 11.38% 5.37% 7.45% Bloomberg Commodity Total Return Index 4.71% 1.70% -5.03% -7.09%

ALTERNATIVE INVESTMENTS 9,603,543 13.14% 2.68% 7.05% 3.04% 3.15% 3

HFRX Global Hedge Fund Index 1.50% 5.99% 1.54% 1.66% HFRI Fund Weighted Composite Index (updated) 2.51% 8.54% 4.22% 4.76% HFRI Relative Value (Total) Index (updated) 1.17% 5.22% 4.15% 4.55% HFRI Macro (Total) Index (updated) 2.38% 2.18% 0.67% 1.78% HFRI Event-Driven (Total) Index (updated) 1.56% 7.20% 4.58% 4.75% HFRI Equity Hedge (Total) Index (updated) 3.24% 13.18% 5.73% 6.21%

OTHER - - - - - - ICE BofAML 3-Month US Treas Bill Index - - - -

CASH & EQUIVALENTS 4,561,653 6.24% 0.22% 0.67% 0.28% 0.19% Lipper Money Market Index 0.22% 0.65% 0.26% 0.18%

1Annualized Return

2 Values include Accrued Income.3 Historical classification changes exist.


ANNUAL PERIOD PERFORMANCE (CONSOLIDATED) - REPORT PERIOD: 7/1/13 TO 12/31/17: FYE - SEPTEMBERAGG453079 FORT WORTH PERMANENT

PERFORMANCE SUMMARYFYTD 2017 2016 2015 2014 2013

TOTAL PORTFOLIO (Net of fees) 2.77% 8.69% 6.88% -2.50% 4.49% -

FIXED INCOME 0.14% 2.05% 3.56% 0.51% 2.09% - BBG BARC 1-5 Year Govt/Credit -0.30% 0.51% 2.06% 1.97% 1.15% - BBG BARC Aggregate Bond Index 0.39% 0.07% 5.19% 2.94% 3.96% - BBG BARC 1-15 Yr Muni Blend (1-17) 0.15% 0.97% 4.34% 2.61% 5.77% - BBG BARC High Yield Corporate Index 0.47% 8.88% 12.73% -3.43% 7.20% - BBG BARC High Yield Municipal Index 1.83% 1.43% 11.32% 1.24% 11.96% - JP Morgan GBI x US 1.58% -3.73% 13.00% -6.36% -1.11% - JP Morgan EMBI Global Index 0.54% 4.15% 16.82% -1.96% 8.28% - BBG BARC Multiverse Index 1.06% -0.56% 9.23% -3.56% 1.40% -

EQUITIES 5.06% 19.68% 11.88% -5.30% 9.33% - Standard & Poor's 500 Stock Index 6.63% 18.58% 15.39% -0.62% 19.70% - Russell Midcap Index 6.07% 15.32% 14.25% -0.25% 15.83% - Russell 2000 Index 3.34% 20.74% 15.47% 1.25% 3.93% - MSCI EAFE Net Index 4.23% 19.10% 6.52% -8.66% 4.25% - MSCI Emerging Mkts Index-Net 7.44% 22.46% 16.78% -19.28% 4.30% - MSCI All Country World Index 5.84% 19.29% 12.60% -6.16% 11.89% -

REAL ASSETS 3.36% -0.15% 11.84% 0.28% 5.97% - FTSE NAREIT All Equity REIT Index 2.48% 2.57% 20.94% 7.84% 13.17% - FTSE EPRA/NAREIT Developed Index 3.82% 1.52% 15.85% 3.53% 6.68% - Bloomberg Commodity Total Return Index 4.71% -0.29% -2.58% -25.99% -6.58% -

ALTERNATIVE INVESTMENTS 2.68% 6.28% 1.67% 0.07% 3.81% - HFRX Global Hedge Fund Index 1.50% 5.64% 0.72% -4.74% 3.54% - HFRI Fund Weighted Composite Index (updated) 2.51% 7.12% 4.99% -1.68% 6.41% - HFRI Relative Value (Total) Index (updated) 1.17% 5.94% 5.44% -0.95% 7.45% - HFRI Macro (Total) Index (updated) 2.38% -0.85% 1.63% 1.15% 5.10% - HFRI Event-Driven (Total) Index (updated) 1.56% 9.29% 6.42% -4.56% 6.43% - HFRI Equity Hedge (Total) Index (updated) 3.24% 11.00% 5.98% -2.70% 6.63% -

OTHER - - - - - - ICE BofAML 3-Month US Treas Bill Index - - - - - -

CASH & EQUIVALENTS 0.22% 0.50% 0.13% 0.00% 0.00% - Lipper Money Market Index 0.22% 0.50% 0.07% 0.01% 0.01% -


PORTFOLIO ALLOCATION OVER TIME (CONSOLIDATED) - REPORT PERIOD: 7/1/13 TO 12/31/17 AGG453079 FORT WORTH PERMANENT FUND - CONS

ALLOCATION OVER TIME (BY CLASS)

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

9/13

12/1

3

3/14

6/14

9/14

12/1

4

3/15

6/15

9/15

12/1

5

3/16

6/16

9/16

12/1

6

3/17

6/17

9/17

12/1

7

Fixed Income

Equities

Real Assets

Alternative Assets

Cash & Equivalents

ENDING CURRENTCLASS MARKET PORTFOLIO

VALUE 1 ALLOCATIONFIXED INCOME 23,257,046 31.81%

EQUITIES 28,771,817 39.36%

REAL ASSETS 7,808,926 10.68%

ALTERNATIVE ASSETS 8,704,145 11.91%

CASH & EQUIVALENTS 4,561,653 6.24%

TOTAL PORTFOLIO 73,103,587 100.00%

1 Values include Accrued Income.


Holdings ExpandedAs of January 18, 2018

January 19, 2018 | Page 1 of 9

Trade Date Basis

Fort Worth Permanent Fund - Cons

AGG453079

UNITS PRICEMARKETVALUE

TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATION Investable Total $71,849,588 $65,985,897 $5,863,691 $1,259,519 1.75% 96.1%Cash Alternatives 1,430,636 1,430,636 0 16,807 1.17% 1.9%

Cash Alternatives 1,430,636 1,430,636 0 16,807 1.17% 1.9%Cash Equivalents 1,430,636 1,430,636 0 16,807 1.17% 1.9%

BLACKROCK INSTL FDS TREAS TR#62 1,430,636 1.00 1,430,636 1,430,636 0 16,807 1.17% 1.9%

CASH 0 1.00 0 0 0 0 % 0.0%Fixed Income 22,041,462 22,232,891 (191,429) 572,741 2.60% 29.5%

U.S. Investment Grade Bonds 17,946,354 18,235,275 (288,921) 386,730 2.15% 24.0%Funds 1,457,061 1,483,000 (25,939) 35,338 2.43% 1.9%VANGUARD INFLAT-PROT SECS-ADM #5119 57,274 25.44 1,457,061 1,483,000 (25,939) 35,338 2.43% 1.9%

Corporate Bonds 7,765,871 7,929,030 (163,159) 206,274 2.66% 10.4%AMERIPRISE FINANCIAL 5.300% 3/15/20 150,000 1.06 158,608 172,140 (13,532) 7,950 5.01% 0.2%APPLE INC 2.100% 5/06/19 50,000 1.00 49,996 50,226 (231) 1,050 2.10% 0.1%APPLE INC 2.150% 2/09/22 100,000 0.98 98,177 98,363 (186) 2,150 2.19% 0.1%APPLE INC 2.700% 5/13/22 100,000 1.00 100,060 100,528 (468) 2,700 2.70% 0.1%BANK OF NEW YORK MEL 1.300% 1/25/18 50,000 1.00 49,998 49,575 424 650 1.30% 0.1%BANK OF NEW YORK MEL 2.100% 8/01/18 50,000 1.00 50,034 50,982 (948) 1,050 2.10% 0.1%BANK OF NOVA SCOTIA 2.050% 6/05/19 100,000 1.00 99,639 100,481 (842) 2,050 2.06% 0.1%BANK OF NOVA SCOTIA 2.050% 10/30/18 100,000 1.00 100,058 100,402 (344) 2,050 2.05% 0.1%BERKSHIRE HATHAWAY 1.550% 2/09/18 200,000 1.00 199,978 196,452 3,526 3,100 1.55% 0.3%BERKSHIRE HATHAWAY 2.000% 8/15/18 50,000 1.00 49,895 50,796 (902) 1,000 2.00% 0.1%BERKSHIRE HATHAWAY 2.200% 3/15/21 200,000 0.99 198,442 205,037 (6,595) 4,400 2.22% 0.3%CANADIAN IMPERIAL BA 2.100% 10/05/20 50,000 0.99 49,440 49,630 (190) 1,050 2.12% 0.1%CHASE ISSUANCE TRUST 1.580% 8/16/21 200,000 0.99 198,052 198,367 (315) 3,160 1.60% 0.3%CHEVRON CORP 2.355% 12/05/22 300,000 0.98 294,603 301,170 (6,567) 7,065 2.40% 0.4%CHEVRON CORP 2.427% 6/24/20 100,000 1.00 100,305 102,089 (1,784) 2,427 2.42% 0.1%EMERSON ELECTRIC CO 4.875% 10/15/19 75,000 1.04 78,149 83,874 (5,725) 3,656 4.68% 0.1%EXXON MOBIL CORPORAT 2.397% 3/06/22 150,000 0.99 148,707 151,570 (2,864) 3,596 2.42% 0.2%GENERAL ELEC CAP COR 4.375% 9/16/20 75,000 1.04 78,202 78,735 (533) 3,281 4.20% 0.1%



Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONHSBC USA INC 2.625% 9/24/18 100,000 1.00 100,400 103,167 (2,767) 2,625 2.61% 0.1%IBM CORP 2.900% 11/01/21 100,000 1.01 101,121 102,245 (1,124) 2,900 2.87% 0.1%INTEL CORP 2.700% 12/15/22 550,000 1.00 549,720 555,142 (5,423) 14,850 2.70% 0.7%JOHNSON & JOHNSON 2.050% 3/01/23 325,000 0.98 317,213 319,953 (2,740) 6,662 2.10% 0.4%MERCEDES-BENZ AUTO 1.350% 8/15/19 200,000 1.00 199,358 199,999 (641) 2,700 1.35% 0.3%MERCK & CO INC 2.400% 9/15/22 200,000 0.99 197,374 197,203 171 4,800 2.43% 0.3%MICROSOFT CORP 2.125% 11/15/22 450,000 0.98 439,857 448,690 (8,834) 9,562 2.17% 0.6%MIDAMERICAN ENERGY 2.400% 3/15/19 200,000 1.00 200,526 204,744 (4,218) 4,800 2.39% 0.3%NATIONAL RURAL UTIL 2.350% 6/15/20 200,000 1.00 199,584 202,420 (2,836) 4,700 2.35% 0.3%NBCUNIVERSAL MEDIA 5.150% 4/30/20 200,000 1.06 212,410 228,590 (16,180) 10,300 4.85% 0.3%ORACLE CORP 5.000% 7/08/19 100,000 1.04 104,052 113,926 (9,874) 5,000 4.81% 0.1%PARTNERRE FINANCE B 5.500% 6/01/20 175,000 1.06 185,008 197,748 (12,740) 9,625 5.20% 0.2%PNC FUNDING CORP 4.375% 8/11/20 75,000 1.05 78,533 82,474 (3,940) 3,281 4.18% 0.1%PPL ELECTRIC UTILITI 3.000% 9/15/21 50,000 1.02 50,879 50,957 (78) 1,500 2.95% 0.1%PUB SVC ELEC & GAS 2.300% 9/15/18 50,000 1.00 50,110 51,454 (1,344) 1,150 2.29% 0.1%PUBLIC SERVICE COLOR 5.125% 6/01/19 98,000 1.04 101,626 112,401 (10,775) 5,022 4.94% 0.1%RAYTHEON COMPANY 3.125% 10/15/20 100,000 1.02 101,893 103,652 (1,759) 3,125 3.07% 0.1%ROCKWELL AUTOMATION 2.050% 3/01/20 50,000 0.99 49,500 49,895 (394) 1,025 2.07% 0.1%ROYAL BANK OF CANADA 1.500% 7/29/19 200,000 0.99 197,548 199,646 (2,098) 3,000 1.52% 0.3%ROYAL BANK OF CANADA 2.350% 10/30/20 100,000 1.00 99,610 102,083 (2,473) 2,350 2.36% 0.1%SHELL INTERNATIONAL 4.300% 9/22/19 50,000 1.03 51,643 54,972 (3,330) 2,150 4.16% 0.1%SIMON PROPERTY GROUP 2.500% 7/15/21 250,000 1.00 249,068 251,517 (2,450) 6,250 2.51% 0.3%SIMON PROPERTY GROUP 2.500% 9/01/20 100,000 1.00 100,240 101,650 (1,410) 2,500 2.49% 0.1%TORONTO-DOMINION BAN 2.125% 7/02/19 100,000 1.00 99,799 100,838 (1,039) 2,125 2.13% 0.1%TOTAL CAPITAL SA 2.125% 8/10/18 50,000 1.00 50,062 50,872 (809) 1,062 2.12% 0.1%TOYOTA MOTOR CREDIT 2.125% 7/18/19 100,000 1.00 99,858 100,882 (1,024) 2,125 2.13% 0.1%TRAVELERS COS INC 3.900% 11/01/20 125,000 1.03 129,186 134,288 (5,101) 4,875 3.77% 0.2%US BANCORP 2.200% 4/25/19 100,000 1.00 100,056 101,067 (1,011) 2,200 2.20% 0.1%VISA INC 2.800% 12/14/22 100,000 1.00 100,213 100,613 (400) 2,800 2.79% 0.1%WALT DISNEY COMPANY/ 2.150% 9/17/20 100,000 1.00 99,717 100,014 (297) 2,150 2.16% 0.1%WALT DISNEY COMPANY/ 2.350% 12/01/22 250,000 0.98 245,838 250,660 (4,822) 5,875 2.39% 0.3%



Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONWESTPAC BANKING CORP 2.100% 5/13/21 300,000 0.98 294,639 300,891 (6,252) 6,300 2.14% 0.4%WESTPAC BANKING CORP 4.875% 11/19/19 150,000 1.04 156,597 168,758 (12,161) 7,312 4.67% 0.2%WORLD FINANCIAL NETW 1.610% 12/15/21 100,000 1.00 99,975 99,730 245 1,610 1.61% 0.1%WORLD FINANCIAL NETW 2.230% 8/15/22 250,000 1.00 250,315 245,469 4,846 5,575 2.23% 0.3%

Government/Agency Bonds 5,360,231 5,426,000 (65,769) 82,382 1.54% 7.2%FED HOME LN BK 1.125% 7/14/21 300,000 0.96 288,549 297,373 (8,824) 3,375 1.17% 0.4%FED HOME LN BK 1.750% 12/14/18 75,000 1.00 74,899 75,202 (303) 1,312 1.75% 0.1%FED HOME LN BK 2.000% 9/14/18 75,000 1.00 75,113 76,596 (1,483) 1,500 2.00% 0.1%FED NATL MTG ASSN 1.500% 6/22/20 75,000 0.99 73,881 74,252 (371) 1,125 1.52% 0.1%FED NATL MTG ASSN 1.875% 12/28/20 500,000 0.99 495,235 507,626 (12,390) 9,375 1.89% 0.7%FHLMC POOL #E02801 3.000% 12/01/25 72,650 1.01 73,446 75,454 (2,008) 2,179 2.97% 0.1%FNMA POOL #AB4673 3.000% 3/01/27 48,938 1.01 49,589 50,735 (1,146) 1,468 2.96% 0.1%FNMA POOL #AE0375 4.000% 7/01/25 52,525 1.04 54,558 55,693 (1,135) 2,101 3.85% 0.1%FNMA POOL #AJ5335 3.000% 11/01/26 86,588 1.01 87,739 89,186 (1,447) 2,598 2.96% 0.1%FNMA POOL #AJ8325 3.000% 12/01/26 113,907 1.01 115,422 116,025 (603) 3,417 2.96% 0.2%US TREASURY NOTE 0.750% 2/28/18 100,000 1.00 99,933 98,445 1,488 750 0.75% 0.1%US TREASURY NOTE 0.875% 1/31/18 50,000 1.00 49,994 49,152 842 438 0.88% 0.1%

US TREASURY NOTE 1.000% 2/15/18 1,100,000 1.00 1,099,747 1,098,961 786 11,000 1.00% 1.5%

US TREASURY NOTE 1.125% 6/30/21 400,000 0.96 385,296 397,395 (12,099) 4,500 1.17% 0.5%US TREASURY NOTE 1.125% 7/31/21 150,000 0.96 144,276 146,215 (1,939) 1,688 1.17% 0.2%US TREASURY NOTE 1.125% 9/30/21 50,000 0.96 47,959 49,304 (1,345) 562 1.17% 0.1%US TREASURY NOTE 1.250% 4/30/19 150,000 0.99 148,700 148,748 (49) 1,875 1.26% 0.2%US TREASURY NOTE 1.375% 1/31/20 495,000 0.99 488,327 495,267 (6,940) 6,806 1.39% 0.7%US TREASURY NOTE 1.375% 2/28/19 250,000 0.99 248,515 249,184 (669) 3,438 1.38% 0.3%US TREASURY NOTE 1.375% 7/31/18 300,000 1.00 299,589 300,516 (927) 4,125 1.38% 0.4%US TREASURY NOTE 1.750% 6/30/22 200,000 0.97 194,820 199,336 (4,516) 3,500 1.80% 0.3%US TREASURY NOTE 1.875% 2/28/22 200,000 0.98 196,406 198,469 (2,063) 3,750 1.91% 0.3%US TREASURY NOTE 2.000% 12/31/21 575,000 0.99 568,238 576,869 (8,631) 11,500 2.02% 0.8%

Municipal Bonds 552,756 578,650 (25,894) 20,596 3.73% 0.7%MONROE CNTY MI 1.850% 5/01/18 50,000 1.00 49,993 50,000 (7) 925 1.85% 0.1%



Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONNEW YORK CITY NY TRA 5.240% 8/01/18 250,000 1.02 254,662 278,650 (23,988) 13,100 5.14% 0.3%RIDGEWOOD NJ BRD OF 2.230% 10/01/18 50,000 1.00 50,083 50,000 83 1,115 2.23% 0.1%RIVERSIDE CNTY CA AS 2.728% 11/01/19 200,000 0.99 198,018 200,000 (1,982) 5,456 2.76% 0.3%

Wells Fargo Funds 2,810,435 2,818,595 (8,160) 42,140 1.50% 3.8%WF ULTR SHORT-TRMINCOME-I#3104 331,810 8.47 2,810,435 2,818,595 (8,160) 42,140 1.50% 3.8%

High Yield Debt 692,666 702,420 (9,754) 26,416 3.81% 0.9%Funds 692,666 702,420 (9,754) 26,416 3.81% 0.9%EATON VANCE FLOATING RATE FD-I #924 76,792 9.02 692,666 702,420 (9,754) 26,416 3.81% 0.9%

Preferred Stock 604,276 600,000 4,276 29,457 4.87% 0.8%Corporate Bonds 604,276 600,000 4,276 29,457 4.87% 0.8%PRINCIPAL PREFERRED SEC-INS #4929 58,215 10.38 604,276 600,000 4,276 29,457 4.87% 0.8%

Developed Market Ex.-U.S. Fixed Income 697,902 690,120 7,782 8,499 1.22% 0.9%Funds 697,902 690,120 7,782 8,499 1.22% 0.9%PIMCO FOREIGN BD FD USD H-INST #103 46,190 10.68 493,314 492,500 814 5,682 1.15% 0.7%PIMCO FOREIGN BOND (UNHEDGED) #1853 19,844 10.31 204,588 197,620 6,968 2,818 1.38% 0.3%

Emerging Market Fixed Income 2,100,263 2,005,076 95,187 121,638 5.79% 2.8%Funds 2,100,263 2,005,076 95,187 121,638 5.79% 2.8%ASHMORE EMERG MKTS CR DB-INS 77,987 8.90 694,082 627,576 66,505 46,090 6.64% 0.9%FID ADV EMER MKTS INC- CL I #607 99,800 14.09 1,406,182 1,377,500 28,682 75,549 5.37% 1.9%

Equities 31,084,878 25,711,317 5,373,561 326,681 1.05% 41.6%U.S. Large Cap 12,227,772 9,310,960 2,916,812 150,138 1.23% 16.4%

Funds 6,535,284 5,752,169 783,116 92,431 1.41% 8.7%FEDERATED STRAT VAL DIV FD IS #662 206,496 6.13 1,265,818 1,194,000 71,818 47,701 3.77% 1.7%ISHARES SELECT DIVIDEND ETF 14,250 99.82 1,422,435 1,127,169 295,266 42,123 2.96% 1.9%JPMORGAN U.S. L/C CORE PLUS-S #1002 101,147 31.48 3,184,100 2,829,000 355,100 2,608 0.08% 4.3%TCW FUNDS SELECT EQUITIES-I #4730 25,235 26.27 662,931 602,000 60,931 0 0.00% 0.9%

Consumer Discretionary 463,348 337,319 126,029 9,265 2.00% 0.6%AMEX CONSUMER DISCR SPDR 185 104.69 19,368 10,970 8,397 219 1.13% 0.0%COMCAST CORP CLASS A 2,530 41.85 105,880 66,352 39,528 1,594 1.51% 0.1%HOME DEPOT INC 295 198.33 58,507 43,273 15,235 1,050 1.79% 0.1%LAS VEGAS SANDS CORP 880 73.73 64,882 49,684 15,198 2,570 3.96% 0.1%



Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONNIKE INC CL B 1,216 64.11 77,958 63,607 14,351 973 1.25% 0.1%TARGET CORP 575 77.90 44,792 41,473 3,319 1,426 3.18% 0.1%TJX COMPANIES INC 460 77.25 35,535 25,440 10,095 575 1.62% 0.0%WALT DISNEY CO 511 110.42 56,425 36,519 19,905 859 1.52% 0.1%

Consumer Staples 78,556 75,740 2,817 1,980 2.52% 0.1%CVS HEALTH CORPORATION 990 79.35 78,556 75,740 2,817 1,980 2.52% 0.1%

Energy 71,406 78,792 (7,386) 1,870 2.62% 0.1%SCHLUMBERGER LTD 935 76.37 71,406 78,792 (7,386) 1,870 2.62% 0.1%

Financials 587,916 347,773 240,143 9,907 1.69% 0.8%AMERIPRISE FINL INC 562 177.57 99,794 63,227 36,567 1,866 1.87% 0.1%BERKSHIRE HATHAWAY INC. 260 213.19 55,429 31,351 24,078 0 0.00% 0.1%BLACKROCK INC 107 579.22 61,977 36,241 25,736 1,233 1.99% 0.1%CITIGROUP INC. 1,502 77.39 116,240 74,238 42,002 1,923 1.65% 0.2%CME GROUP INC 320 152.21 48,707 23,607 25,100 845 1.73% 0.1%JPMORGAN CHASE & CO 860 113.26 97,404 51,149 46,254 1,926 1.98% 0.1%PNC FINANCIAL SERVICES GROUP 705 153.71 108,366 67,959 40,407 2,115 1.95% 0.1%

Health Care 805,014 590,272 214,741 11,748 1.46% 1.1%ELI LILLY & CO COM 610 85.82 52,350 45,831 6,519 1,373 2.62% 0.1%GILEAD SCIENCES INC 670 81.17 54,384 49,001 5,383 1,394 2.56% 0.1%HEALTH CARE SELECT SECTOR 3,700 88.11 326,007 267,769 58,238 4,503 1.38% 0.4%MCKESSON CORP 330 171.78 56,687 50,965 5,723 449 0.79% 0.1%MERCK & CO INC NEW 965 61.13 58,990 51,795 7,195 1,853 3.14% 0.1%THERMO FISHER SCIENTIFIC INC 360 212.41 76,468 39,179 37,289 216 0.28% 0.1%UNITEDHEALTH GROUP INC 554 243.16 134,711 47,988 86,723 1,662 1.23% 0.2%ZOETIS INC 595 76.33 45,416 37,746 7,671 300 0.66% 0.1%

Industrials 285,882 172,841 113,041 5,888 2.06% 0.4%AMEX INDUSTRIAL SPDR 245 79.46 19,468 10,931 8,537 328 1.68% 0.0%BOEING CO 210 340.16 71,434 25,399 46,035 1,436 2.01% 0.1%UNION PACIFIC CORP 870 140.43 122,174 83,503 38,671 2,314 1.89% 0.2%UNITED PARCEL SERVICE-CL B 545 133.59 72,807 53,007 19,799 1,809 2.49% 0.1%

Information Technology 800,064 449,503 350,561 11,474 1.43% 1.1%



Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONALPHABET INC CL C 114 1,129.79 128,796 63,980 64,816 0 0.00% 0.2%APPLE INC 1,125 179.26 201,668 96,217 105,451 2,835 1.41% 0.3%CISCO SYSTEMS INC 2,960 41.30 122,248 81,416 40,832 3,434 2.81% 0.2%COGNIZANT TECH SOLUTIONS CRP COM 1,295 76.75 99,391 73,226 26,165 777 0.78% 0.1%MICROSOFT CORP 1,931 90.10 173,983 84,553 89,430 3,244 1.86% 0.2%TE CONNECTIVITY LTD 740 99.97 73,978 50,110 23,868 1,184 1.60% 0.1%

Materials 87,159 44,552 42,607 1,444 1.66% 0.1%CELANESE CORP 785 111.03 87,159 44,552 42,607 1,444 1.66% 0.1%

Other 2,513,144 1,462,000 1,051,144 4,129 0.16% 3.4%T ROWE PRICE BLUE CHIP-I #429 24,293 103.45 2,513,144 1,462,000 1,051,144 4,129 0.16% 3.4%

U.S. Mid Cap 4,359,858 3,993,914 365,943 20,886 0.48% 5.8%Funds 2,439,955 1,988,515 451,440 11,872 0.49% 3.3%HARTFORD MIDCAP FUND-Y #229 5,411 37.03 200,379 200,000 379 0 0.00% 0.3%ISHARES RUSSELL MID-CAP ETF 3,540 214.88 760,675 523,515 237,160 11,172 1.47% 1.0%PRINCIPAL MIDCAP FD-IN #4749 52,555 28.14 1,478,901 1,265,000 213,901 700 0.05% 2.0%

Financials 86,234 69,520 16,714 336 0.39% 0.1%AFFILIATED MANAGERS GROUP, INC COM 420 205.32 86,234 69,520 16,714 336 0.39% 0.1%

Industrials 64,944 31,879 33,065 266 0.41% 0.1%SPIRIT AEROSYTSEMS HOLD-CL A 665 97.66 64,944 31,879 33,065 266 0.41% 0.1%

Other 1,768,724 1,904,000 (135,276) 8,413 0.48% 2.4%ARTISAN MID CAP FUND-INS #1333 18,987 43.68 829,363 887,000 (57,637) 0 0.00% 1.1%VIRTUS CEREDEX M/C VAL EQ-I #5412 73,159 12.84 939,361 1,017,000 (77,639) 8,413 0.90% 1.3%

U.S. Small Cap 1,852,211 1,830,960 21,251 0 0.00% 2.5%Consumer Staples 39,865 40,960 (1,095) 0 0.00% 0.1%HAIN CELESTIAL GROUP INC 1,010 39.47 39,865 40,960 (1,095) 0 0.00% 0.1%

Other 1,812,346 1,790,000 22,346 0 0.00% 2.4%ARTISAN SMALL CAP FUND-INS #2452 21,482 32.22 692,148 690,000 2,148 0 0.00% 0.9%COLUMBIA SELECT S/C VALUE-Z #6141 51,789 21.63 1,120,198 1,100,000 20,198 0 0.00% 1.5%

Developed Market Ex.-U.S. Equities 7,412,003 6,638,483 773,521 126,834 1.71% 9.9%Funds 6,912,500 6,230,337 682,163 112,610 1.63% 9.2%HARBOR INTERNATION FD INST #2011 49,412 71.25 3,520,589 3,357,000 163,589 61,272 1.74% 4.7%



Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONISHARES MSCI EAFE ETF 2,800 73.72 206,416 195,804 10,612 5,051 2.45% 0.3%MFS RESEARCH INTL FD-I #899 81,695 20.75 1,695,178 1,398,793 296,386 19,771 1.17% 2.3%OAKMARK INTERNATIONAL-INST #2886 33,833 30.46 1,030,555 855,000 175,555 14,683 1.42% 1.4%VANGUARD FTSE EUROPE ETF 7,400 62.13 459,762 423,741 36,021 11,832 2.57% 0.6%

Consumer Staples 63,866 51,244 12,622 1,399 2.19% 0.1%DIAGEO PLC - ADR 440 145.15 63,866 51,244 12,622 1,399 2.19% 0.1%

Energy 186,347 149,746 36,601 6,213 3.33% 0.2%SUNCOR ENERGY INC NEW F 2,589 37.86 98,020 70,513 27,506 2,605 2.66% 0.1%TOTAL S.A. - ADR 1,520 58.11 88,327 79,232 9,095 3,609 4.09% 0.1%

Financials 87,351 59,445 27,906 2,538 2.91% 0.1%MANULIFE FINANCIAL CORP 3,985 21.92 87,351 59,445 27,906 2,538 2.91% 0.1%

Health Care 112,221 108,627 3,594 2,645 2.36% 0.2%BAYER AG - ADR 1,360 31.82 43,268 34,704 8,564 733 1.69% 0.1%ROCHE HOLDINGS LTD - ADR 2,260 30.51 68,953 73,923 (4,970) 1,912 2.77% 0.1%

Industrials 49,718 39,084 10,635 1,428 2.87% 0.1%EATON CORP PLC 595 83.56 49,718 39,084 10,635 1,428 2.87% 0.1%

Emerging Market Equities 5,233,033 3,937,000 1,296,033 28,824 0.55% 7.0%Funds 5,233,033 3,937,000 1,296,033 28,824 0.55% 7.0%OPPENHEIMER DEVELOPING MKT-I #799 87,592 45.45 3,981,056 3,019,000 962,056 27,330 0.69% 5.3%TEMPLETON EMER MKT S/C-ADV #626 79,440 15.76 1,251,977 918,000 333,977 1,494 0.12% 1.7%

Real Assets 7,514,067 7,211,606 302,461 228,092 3.04% 10.1%Global Public REITS 6,807,427 6,286,350 521,077 228,092 3.35% 9.1%

Funds 6,807,427 6,286,350 521,077 228,092 3.35% 9.1%SPDR DJ WILSHIRE INTERNATIONAL REAL 30,685 41.48 1,272,814 1,350,422 (77,608) 34,459 2.71% 1.7%T ROWE PR REAL ESTATE-I #432 132,765 27.24 3,616,508 3,356,000 260,508 107,540 2.97% 4.8%VANGUARD REIT VIPER 24,500 78.29 1,918,105 1,579,928 338,177 86,092 4.49% 2.6%

Commodities 706,641 925,256 (218,616) 0 0.00% 0.9%Funds 706,641 925,256 (218,616) 0 0.00% 0.9%CREDIT SUISSE COMM RET ST-I #2156 139,929 5.05 706,641 925,256 (218,616) 0 0.00% 0.9%

Alternative Investments 9,778,545 9,399,447 379,098 115,198 1.18% 13.1%Hedge Strategies - Relative Value 2,382,166 2,440,901 (58,735) 53,944 2.26% 3.2%



Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONOther 2,382,166 2,440,901 (58,735) 53,944 2.26% 3.2%BLACKROCK GL L/S CREDIT-K #1940 141,337 10.42 1,472,734 1,460,000 12,734 19,646 1.33% 2.0%DRIEHAUS ACTIVE INCOME FUND 91,217 9.97 909,432 980,901 (71,469) 34,297 3.77% 1.2%

Hedge Strategies - Macro 1,238,405 1,276,546 (38,141) 42,090 3.40% 1.7%Other 1,238,405 1,276,546 (38,141) 42,090 3.40% 1.7%EATON VANCE GLOBAL MACRO - I #0088 134,903 9.18 1,238,405 1,276,546 (38,141) 42,090 3.40% 1.7%

Hedge Strategies - Event Driven 2,439,823 2,424,000 15,823 19,164 0.79% 3.3%Other 2,439,823 2,424,000 15,823 19,164 0.79% 3.3%ASG GLOBAL ALTERNATIVES-Y #1993 159,507 11.54 1,840,713 1,818,000 22,713 13,319 0.72% 2.5%MERGER FUND-INST #301 37,468 15.99 599,110 606,000 (6,890) 5,845 0.98% 0.8%

Hedge Strategies - Equity Hedge 3,718,151 3,258,000 460,151 0 0.00% 5.0%Other 3,718,151 3,258,000 460,151 0 0.00% 5.0%BOSTON P LNG/SHRT RES-INS #7015 211,981 17.54 3,718,151 3,258,000 460,151 0 0.00% 5.0%

Miscellaneous Total $2,908,659 $2,908,659 $0 $34,171 1.17% 3.9%Miscellaneous 2,908,659 2,908,659 0 34,171 1.17% 3.9%

P3 2,908,659 2,908,659 0 34,171 1.17% 3.9%Cash Equivalents 2,908,659 2,908,659 0 34,171 1.17% 3.9%

BLACKROCK INSTL FDS TREAS TR#62 2,908,659 1.00 2,908,659 2,908,659 0 34,171 1.17% 3.9%

CASH 0 1.00 0 0 0 0 % 0.0%Total Portfolio $74,758,247 $68,894,556 $5,863,691 $1,293,690 1.73% 100.0%



Trade Date Basis


AGG453079

DisclosuresWells Fargo Private Bank provides products and services through Wells Fargo Bank, N.A. and its various affiliatesand subsidiaries.

This report is not intended as an offer or solicitation of an investment in a specific security, nor authorized for usein soliciting securities recommendations.

This report has been prepared as of the date indicated from the list of holdings you provided. The accuracy andcompleteness may affect the results contained in this report. Please refer to your account statement andconfirmations as the official source of information regarding your investment and insurance accounts. Pastperformance is not a guide to future performance.

Estimated Annual Income reflects the estimated amount earned on a security if the current position and itsrelated income remained constant for a year. Estimated Annual Yield reflects the current estimated annual incomedivided by the current value of the security on the as of date of this report. Actual income and yield may varyfrom estimates. Wells Fargo is not responsible for incorrect or missing estimated annual income and yields. Pastperformance is not a guarantee of future results.

The information and opinions in this report were prepared by Wells Fargo Private Bank. Information and opinionshave been obtained or derived from sources we consider reliable, but we cannot guarantee their accuracy orcompleteness. Opinions represent Wells Fargo Private Bank's opinion as of the date of this report and are forgeneral information purposes only. Wells Fargo Private Bank does not undertake to advise you of any change inits opinions or the information contained in this report. Wells Fargo & Company affiliates may issue reports orhave opinions that are inconsistent with, and reach different conclusions from, this report.

Asset allocation does not assure or guarantee better performance and cannot eliminate the risk of investmentlosses. Past performance does not indicate future results. The value or income associated with a security or aninvestment may fluctuate. There is always the potential for loss as well as gain. Investments discussed in thispresentation are not insured by the Federal Deposit Insurance Corporation (FDIC) and may be unsuitable forsome investors depending on their specific investment objectives and financial position.

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FORT WORTH PERM FUND SUB AVIATIONEXECUTIVE SUMMARY AND ANNUAL PERIOD PERFORMANCE



TOTAL PORTFOLIO PERFORMANCE WITH BENCHMARKS - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB AVIATION



INCEPTION1

TOTAL PORTFOLIO (Net of fees)2

0.79% 2.77% 11.93% 4.72% 4.70%






1 Annualized Return2 Starting July 2013, management fees have been incorporated into performance calculations.

Account 45307901 Copyright 2018, Investment Scorecard 2355-5092359-2017-A January 09, 2018 07:55 PMPage 1 of 7

PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB AVIATION


Fixed Income 30.52%

Equities 39.53%

Real Assets 10.50%



$0

$10,000,000

$20,000,000

$30,000,000

$40,000,000



Beginning Value1

32,915,658 29,728,545 26,748,526 14,297,881Net Contributions & Withdrawals 2 437,256 938,443 3,152,982 14,327,101Investment Gain or Loss

1 919,730 3,605,657 4,371,136 5,647,662

Ending Value1

34,272,644 34,272,644 34,272,644 34,272,644




3 INCEPTION

3

TOTAL PORTFOLIO (Net of fees) 2 34,272,644 100.00% 2.77% 11.93% 4.72% 4.70%



2 Starting July 2013, management fees have been incorporated into performance calculations.3 Annualized Return


PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB AVIATION




1 INCEPTION

1

EQUITIES 13,546,798 39.53% 5.10% 25.16% 9.56% 10.69%3







1Annualized Return



ANNUAL PERIOD PERFORMANCE - REPORT PERIOD: 7/1/13 TO 12/31/17: FYE - SEPTEMBER FORT WORTH PERM FUND SUB AVIATION










PORTFOLIO ALLOCATION OVER TIME - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB AVIATION


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

9/13

12/1

3

3/14

6/14

9/14

12/1

4

3/15

6/15

9/15

12/1

5

3/16

6/16

9/16

12/1

6

3/17

6/17

9/17

12/1

7

Fixed Income

Equities

Real Assets

Alternative Assets

Cash & Equivalents



EQUITIES 13,546,798 39.53%

REAL ASSETS 3,598,479 10.50%






FORT WORTH PERM FUND SUB RESTR PARKEXECUTIVE SUMMARY AND ANNUAL PERIOD PERFORMANCE



TOTAL PORTFOLIO PERFORMANCE WITH BENCHMARKS - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB RESTR PARK



INCEPTION1


0.82% 2.87% 12.39% 4.85% 4.90%








PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB RESTR PARK


Fixed Income 30.02%

Equities 39.78%

Real Assets 11.38%



$0

$2,000,000

$4,000,000

$6,000,000

$8,000,000

$10,000,000



Beginning Value1

8,344,830 7,537,773 6,963,240 5,327,222Net Contributions & Withdrawals 2 105,979 205,794 589,361 1,799,098Investment Gain or Loss

1 241,173 948,414 1,139,380 1,565,661

Ending Value1

8,691,981 8,691,981 8,691,981 8,691,981




3 INCEPTION

3






PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB RESTR PARK




1 INCEPTION

1

EQUITIES 3,457,744 39.78% 5.04% 25.21% 9.49% 10.71%3


REAL ASSETS 989,489 11.38% 3.34% 6.12% 2.92% 4.75% FTSE NAREIT All Equity REIT Index 2.48% 8.67% 6.67% 9.61% FTSE EPRA/NAREIT Developed Index 3.82% 11.38% 5.37% 7.45% Bloomberg Commodity Total Return Index 4.71% 1.70% -5.03% -7.09%




CASH & EQUIVALENTS 489,621 5.63% 0.20% 0.63% 0.27% 0.18% Lipper Money Market Index 0.22% 0.65% 0.26% 0.18%

1Annualized Return



ANNUAL PERIOD PERFORMANCE - REPORT PERIOD: 7/1/13 TO 12/31/17: FYE - SEPTEMBER FORT WORTH PERM FUND SUB RESTR PARK










PORTFOLIO ALLOCATION OVER TIME - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB RESTR PARK


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

9/13

12/1

3

3/14

6/14

9/14

12/1

4

3/15

6/15

9/15

12/1

5

3/16

6/16

9/16

12/1

6

3/17

6/17

9/17

12/1

7

Fixed Income

Equities

Real Assets

Alternative Assets

Cash & Equivalents



EQUITIES 3,457,744 39.78%

REAL ASSETS 989,489 11.38%


CASH & EQUIVALENTS 489,621 5.63%




FORT WORTH PERM FUND SUB UNRSTR PARKEXECUTIVE SUMMARY AND ANNUAL PERIOD PERFORMANCE



TOTAL PORTFOLIO PERFORMANCE WITH BENCHMARKS - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB UNRSTR PARK



INCEPTION1


0.82% 2.91% 12.68% 4.98% 5.00%








PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB UNRSTR PARK


Fixed Income 30.32%

Equities 38.86%

Real Assets 10.72%



$0

$1,000,000

$2,000,000

$3,000,000

$4,000,000



Beginning Value1

3,842,471 3,588,531 3,709,083 3,444,770Net Contributions & Withdrawals 2 0 -86,654 -306,018 -306,020Investment Gain or Loss

1 111,745 452,338 551,151 815,466

Ending Value1

3,954,215 3,954,215 3,954,215 3,954,215




3 INCEPTION

3






PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB UNRSTR PARK




1 INCEPTION

1

EQUITIES 1,536,625 38.86% 5.03% 25.03% 9.43% 10.69%3



ALTERNATIVE INVESTMENTS 536,582 13.57% 2.73% 7.09% 2.89% 3.38% 3




1Annualized Return



ANNUAL PERIOD PERFORMANCE - REPORT PERIOD: 7/1/13 TO 12/31/17: FYE - SEPTEMBER FORT WORTH PERM FUND SUB UNRSTR PARK










PORTFOLIO ALLOCATION OVER TIME - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB UNRSTR PARK


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

9/13

12/1

3

3/14

6/14

9/14

12/1

4

3/15

6/15

9/15

12/1

5

3/16

6/16

9/16

12/1

6

3/17

6/17

9/17

12/1

7

Fixed Income

Equities

Real Assets

Alternative Assets

Cash & Equivalents



EQUITIES 1,536,625 38.86%

REAL ASSETS 424,074 10.72%

ALTERNATIVE ASSETS 481,809 12.18%





FORT WORTH PERM FUND SUB WATR & SEWREXECUTIVE SUMMARY AND ANNUAL PERIOD PERFORMANCE



TOTAL PORTFOLIO PERFORMANCE WITH BENCHMARKS - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB WATR & SEWR



INCEPTION1


0.80% 2.75% 11.92% 4.68% 4.76%








PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB WATR & SEWR


Fixed Income 30.38%

Equities 39.08%

Real Assets 10.66%



$0

$1,000,000

$2,000,000

$3,000,000

$4,000,000

$5,000,000

$6,000,000

$7,000,000

$8,000,000



Beginning Value1

6,866,955 6,147,843 5,253,475 3,752,922Net Contributions & Withdrawals 2 89,006 249,177 993,903 2,191,428Investment Gain or Loss

1 190,431 749,372 899,014 1,202,042

Ending Value1

7,146,392 7,146,392 7,146,392 7,146,392




3 INCEPTION

3






PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB WATR & SEWR




1 INCEPTION

1

EQUITIES 2,792,960 39.08% 5.08% 25.25% 9.56% 10.78%3



ALTERNATIVE INVESTMENTS 974,672 13.64% 2.70% 7.09% 3.08% 3.50% 3




1Annualized Return



ANNUAL PERIOD PERFORMANCE - REPORT PERIOD: 7/1/13 TO 12/31/17: FYE - SEPTEMBER FORT WORTH PERM FUND SUB WATR & SEWR










PORTFOLIO ALLOCATION OVER TIME - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB WATR & SEWR


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

9/13

12/1

3

3/14

6/14

9/14

12/1

4

3/15

6/15

9/15

12/1

5

3/16

6/16

9/16

12/1

6

3/17

6/17

9/17

12/1

7

Fixed Income

Equities

Real Assets

Alternative Assets

Cash & Equivalents



EQUITIES 2,792,960 39.08%

REAL ASSETS 761,854 10.66%

ALTERNATIVE ASSETS 884,672 12.38%





FORT WORTH PERM FUND SUB GENERALEXECUTIVE SUMMARY AND ANNUAL PERIOD PERFORMANCE



TOTAL PORTFOLIO PERFORMANCE WITH BENCHMARKS - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB GENERAL



INCEPTION1


0.79% 2.70% 11.75% 4.65% 4.65%








PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB GENERAL


Fixed Income 31.09%

Equities 39.07%

Real Assets 10.69%



$0

$5,000,000

$10,000,000

$15,000,000

$20,000,000



Beginning Value1

18,066,513 16,080,476 14,404,271 9,009,566Net Contributions & Withdrawals 2 478,948 1,015,608 2,292,580 6,934,680Investment Gain or Loss

1 492,893 1,942,269 2,341,503 3,094,108

Ending Value1

19,038,354 19,038,354 19,038,354 19,038,354




3 INCEPTION

3






PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB GENERAL




1 INCEPTION

1

EQUITIES 7,437,689 39.07% 5.02% 25.51% 9.62% 10.76%3







1Annualized Return



ANNUAL PERIOD PERFORMANCE - REPORT PERIOD: 7/1/13 TO 12/31/17: FYE - SEPTEMBER FORT WORTH PERM FUND SUB GENERAL






ALTERNATIVE INVESTMENTS 2.67% 6.25% 1.51% -0.60% 3.90% - HFRX Global Hedge Fund Index 1.50% 5.64% 0.72% -4.74% 3.54% - HFRI Fund Weighted Composite Index (updated) 2.51% 7.12% 4.99% -1.68% 6.41% - HFRI Relative Value (Total) Index (updated) 1.17% 5.94% 5.44% -0.95% 7.45% - HFRI Macro (Total) Index (updated) 2.38% -0.85% 1.63% 1.15% 5.10% - HFRI Event-Driven (Total) Index (updated) 1.56% 9.29% 6.42% -4.56% 6.43% - HFRI Equity Hedge (Total) Index (updated) 3.24% 11.00% 5.98% -2.70% 6.63% -




PORTFOLIO ALLOCATION OVER TIME - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB GENERAL


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

9/13

12/1

3

3/14

6/14

9/14

12/1

4

3/15

6/15

9/15

12/1

5

3/16

6/16

9/16

12/1

6

3/17

6/17

9/17

12/1

7

Fixed Income

Equities

Real Assets

Alternative Assets

Cash & Equivalents



EQUITIES 7,437,689 39.07%

REAL ASSETS 2,035,031 10.69%






BENCHMARK DEFINITIONS - REPORT PERIOD: 7/1/13 TO 12/31/17 FORT WORTH PERM FUND SUB GENERAL

Blended Benchmarks:

Income-Conservative Wealth Blend-Total benchmark is defined as: BBG BARC 1-3 Month US Treas Index - 3%; BBG BARC US Aggregate/BBG BARC 1-15 Yr Muni(for TA) - 61%; BBG BARC US Corp HY/BBG BARC HY Muni(for TA) - 5%; JPMorgan GBI Global Ex US - 8%; JPMorgan EMBI Global - 3%; S&P 500 Index - 2%; Russell Midcap Index - 2%; MSCI EAFE Free Net - 2%; FTSE EPRA/NAREIT Dvlp TR USD - 2%; HFRI Relative Value Index - 6%; HFRI Macro Index - 3%; HFRI Event Driven Index - 3%.

Income-Moderate Wealth Blend-Total benchmark is defined as: BBG BARC 1-3 Month US Treas Index - 3%; BBG BARC US Aggregate/BBG BARC 1-15 Yr Muni(for TA) - 46%; BBG BARC US Corp HY/BBG BARC HY Muni(for TA) - 7%; JPMorgan GBI Global Ex US - 6%; JPMorgan EMBI Global - 5%; S&P 500 Index - 10%; Russell Midcap Index - 2%; MSCI EAFE Free Net - 4%; FTSE EPRA/NAREIT Dvlp TR USD - 5%; HFRI Relative Value Index - 4%; HFRI Macro Index - 5%; HFRI Event Driven Index - 3%.


DISCLOSURE FORT WORTH PERM FUND SUB GENERAL

Wells Fargo Wealth Management provides products and services through Wells Fargo Bank, N.A. ("WFB") and its various affiliates and subsidiaries.

WFB has retained a third party (Investment Scorecard, a division of Informa Investment Solutions) to provide performance information included in your performance reports. Investment Scorecard calculates monthly returns by the Modified Dietz (approximated time-weighted return) or Daily Valuation Method (time-weighted return). For all securities, Investment Scorecard calculates the total return. Total return includes market value appreciation or depreciation and any interest or dividends. Values reflected for publicly-traded assets are derived from unaffiliated financial industry sources believed to be reliable. Values for non-publicly traded assets are derived using external sources and may be based on estimates. Assets for which a current value is unavailable from an external source may be valued at the last reported price, at par, or may be shown as having nominal or no value. Reported values may not reflect the price at which an asset may be sold. Asset values are updated as they become available from external sources, and may be updated less frequently than statements are generated. Although asset values are obtained from sources deemed reliable, values should only be used for reference. Values indicated should not be used to calculate gain/loss ratios or for tax preparation purposes. Investment Scorecard displays returns for periods less than 12 months as cumulative and annualizes returns for periods greater than or equal to 12 months.

Due to the unique characteristics of private equity assets (PE), including irregular cash flows and lack of reinvestment options, performance measurement is better assessed through different methods than those typically used for more liquid asset classes (which use

time weighted metrics) as such methods may not provide representative PE performance. In practice, PE funds are typically long-lived and interim estimates of returns must be based on implicit assessments of expected future cash flows. In order to more effectively gauge performance, PE generally uses two principal cash flow based performance indicators where capital calls, capital reimbursement and profit distributions are the basis for calculation: the internal rate of return "IRR" and the presentation of investment "multiples". IRR is the estimated rate needed to convert (or discount or reduce) the sum of the future uneven cash flow to equal initial investment or down payment. Multiples are calculated as the ratio of cash paid out (distributions) to total funds supplied (drawdowns or capital calls), but do not take into account the timing of the cash flows.

This report is in addition to your account statement for assets custodied at WFB. This report may include assets not custodied at WFB and is in addition to and does not replace statements furnished to you by other service providers and custodians; WFB has not independently verified and is not responsible for the accuracy or completeness of this information. Pricing of assets not held at WFB is for informational purposes only.

Return figures shown may not reflect fees and expenses, which, if applied, would result in lower return figures than shown. Net of fees returns may be impacted based on fee payment election method. The performance of individual managers, indexes and markets for periods after any period shown may differ substantially from the period shown. Neither WFB nor Informa Investment Solutions undertake to make available updated information for any periods after those included in the report. Past performance is no guarantee and is not indicative of future results.

The value or income associated with a security may fluctuate. There is always the potential for loss as well as gain. Asset allocation does not assure or guarantee better performance and cannot eliminate the risk of investment losses. The asset allocation reflected in this report may fluctuate based on asset values, portfolio decisions, and account needs.

Market Commentary, if provided, in this report was prepared by the investment management arm within Wells Fargo Wealth Management, a part of Wells Fargo Bank, N.A. Information and opinions have been obtained or derived from information we consider reliable, but we cannot guarantee their accuracy or completeness. Opinions represent WFB's opinion as of the date of this report and are for general information purposes only. WFB does not undertake to advise you of any change in its opinions or the information contained in this report. Wells Fargo & Company affiliates may issue reports or have opinions that are inconsistent with, and reach different conclusions from, this report.Report information is un-audited and for illustrative purposes only and should not be used for tax preparation, estate and or retirement planning purposes. Wells Fargo & Company and its affiliates do not provide tax advice. Please consult your tax advisor for advice and information concerning your particular situation.

Additional information available upon request.Investment and Insurance products:* Are NOT insured by the FDIC or any other federal government agency.* Are NOT deposits of or guaranteed by the Bank or any Bank affiliate.* May Lose Value.

The information in this report is believed to be reliable but is not guaranteed. Third party data contained herein may only be used in conjunction with this report and may not be re-distributed to other parties. Such data is providedwithout warranty and data providers shall have no liability of any kind. Source for any FTSE Data contained herein is FTSE International Limited ("FTSE") © FTSE 2018. For important disclaimers in relation to FTSE Data, pleasesee the relevant attribution and disclaimer requirements at http://www.ftse.com/About_Us/Legal/Attribution_Requirements.jsp.

Account 45307906 Copyright 2018, Investment Scorecard 2355-5092363-2017-A January 09, 2018 07:55 PM

Page 7 of 7

PARS: CITY OF FORT WORTH PRHCP

Fourth Quarter 2017

Presented by

Andrew Brown, CFA

PARS/City of Fort Worth PRHCP

Account Inception: 10/1/2010

The City of Fort Worth initially contributed $5,000,000 to the Plan in November 2009. This contribution was invested in a money market fund through August 2010. Performance inception for the Plan is October 1, 2010.Returns are gross of account level investment advisory fees and net of any fees, including fees to manage mutual fund or exchange traded fund holdings. Returns for periods over one year are annualized. The information presented has been obtained from sources believed to be accurate and reliable. Past performance is not indicative of future returns. Securities are not FDIC insured, have no bank guarantee, and may lose value.

2

Sector

1 Month

3 Months

Year to Date (1 Year)

1 Year

3 Years

5 Years

Inception to Date

(87 Months)

Cash Equivalents .09 .24 .75 .75 .35 .22 .16Lipper Money Market Funds Index .08 .22 .66 .66 .27 .16 .11

Fixed Income ex Funds .36

Total Fixed Income .34 .12 3.02 3.02 1.84 1.85 2.52BC US Aggregate Bd Index .46 .39 3.54 3.54 2.24 2.10 2.91

Total Equities 1.11 5.35 20.54 20.54 9.94 12.76 12.24

Large Cap Funds 1.29 6.79 21.49 21.49 11.39 15.63 14.72S&P 500 Composite Index 1.11 6.64 21.83 21.83 11.41 15.79 14.86

Mid Cap Funds .93 6.05 17.93 17.93 9.77 14.95 14.14Russell Midcap Index .93 6.07 18.52 18.52 9.58 14.96 14.21

Small Cap Funds -.45 3.24 14.37 14.37 10.50 15.01 15.03Russell 2000 Index -.40 3.34 14.65 14.65 9.96 14.12 13.53

International Equities 1.99 4.34 26.60 26.60 7.42 4.92 4.50MSCI EAFE Index 1.61 4.23 25.03 25.03 7.80 7.90 6.76

MSCI EM Free Index 3.59 7.44 37.28 37.28 9.10 4.35 3.47

REIT Funds -.17 1.39 4.89 4.89Wilshire REIT Index -.13 1.70 4.18 4.18 5.21 9.35 11.25

Total Managed Portfolio .57 1.72 7.99 7.99 4.36 5.01 5.32Total Account Net of Fees .56 1.68 7.82 7.82 4.19 4.83 5.12

Selected Period Performance

PARS/CITY OF FORT WORTH PRHCP Account 6746034300

Period Ending: 12/31/2017


Asset Allocation – City of Fort Worth PRHCPAs of December 31, 2017

Current Asset Allocation Investment Vehicle

Equity 30.15% Range: 20%-40% 22,700,049

Large Cap Core 8.22% IVV iShares S&P 500 Index Fund 6,189,465 Large Cap Value 4.01% IVE iShares S&P 500 Value Fund 3,020,963 Large Cap Growth 2.46% IVW iShares S&P 500 Growth Fund 1,849,739 Mid Cap Core 2.20% IWR iShares Russell MidCap Index Fund 1,654,842 Small Cap Value 2.47% IWN iShares Russell 2000 Value Fund 1,863,112 Small Cap Growth 2.00% IWO iShares Russell 2000 Growth Fund 1,503,682 International Core 5.35% EFA iShares MSCI EAFE Index Fund 4,026,372 Emerging Markets 2.06% VWO Vanguard FTSE Emerging Markets ETF 1,547,488 Real Estate 1.39% VNQ Vanguard REIT ETF 1,044,386

Fixed Income 67.85% Range: 50%-80% 51,081,764

62.37% .. Individual Bonds 46,958,347 Short-Term 4.49% VFSUX Vanguard Short-Term Corp Adm Fund 3,377,105 Bank Loan 0.99% BKLN PowerShares Senior Loan ETF 746,312

Cash 2.00% Range: 0%-20% 1,502,297

2.00% FGZXX First American Government Oblig Z 1,502,297

TOTAL 100.00% $75,284,110

3


1-Month 3-Month Year-to- 1-Year 3-Year 5-Year 10-Year

Fund Name Inception Return Return Date Return Return Return Return

iShares S&P 500 Growth Index 0.57 6.75 27.20 27.20 12.67 16.79 9.80iShares S&P 500 Index Fnd 1.11 6.64 21.79 21.79 11.36 15.73 8.45iShares S&P 500 Value Index 1.66 6.28 15.19 15.19 9.31 14.04 6.65

iShares Russell Midcap Index (3/16) 0.91 6.02 18.32 18.32 9.40 14.76 8.96

iShares Russell 2000 Value -0.95 2.00 7.73 7.73 9.46 12.90 8.09iShares Russell 2000 Growth 0.12 4.59 22.24 22.24 10.42 15.35 9.29

iShares MSCI EAFE Index 1.58 4.17 24.94 24.94 7.72 7.80 1.87Vanguard FTSE Emerging Markets ETF (3/11) 3.49 6.28 31.38 31.38 7.52 3.50 1.29

Vanguard REIT ETF (10/15) -0.23 1.38 4.95 4.95 5.25 9.24 7.64

Vanguard Short-Term Investment-Grade Adm 0.01 -0.04 2.13 2.13 2.03 1.80 2.96PowerShares Senior Loan Portfolio (12/16) 0.21 0.65 2.39 2.39 2.70 2.62 --BarCap US Aggregate Bond 0.46 0.39 3.54 3.54 2.24 2.10 4.01

Source: SEI Investments, Morningstar Investments

SMALL CAP EQUITY FUNDS

REAL ESTATE FUNDS

INTERNATIONAL EQUITY FUNDS

BOND FUNDS

Returns less than one year are not annualized. Past performance is no indication of future results. The information presented has been obtained from sources believed

to be accurate and reliable. Securities are not FDIC insured, have no bank guarantee and may lose value.

City of Fort Worth

For Period Ending December 31, 2017LARGE CAP EQUITY FUNDS

MID CAP EQUITY FUNDS

4

Fixed Income Portfolio: StatisticsAs of Fourth Quarter 2017

City of Fort Worth

BC Aggregate Bond

Index

Weighted Average Maturity 6.53 years 7.77 years

Effective Duration 5.20 years 5.80 years

Average Coupon 2.89% 3.06%

Yield to Maturity 2.71% 2.66%

Average Quality Aa3 Aa2


5

Fixed Income Portfolio: SectorsAs of Fourth Quarter 2017

0.0%

10.0%

20.0%

30.0%

40.0%

Cash Treasury Agency Corp Non-Corp MBS CMO ABS CMBSCity of Fort Worth 0.0% 27.5% 0.0% 43.2% 0.0% 20.3% 0.0% 9.0% 0.0%Barclays U.S. Aggregate Bond Index2 0.0% 38.0% 1.7% 26.0% 5.1% 26.8% 0.0% 0.5% 1.9%


6

Effective Duration

Fixed Income Portfolio: Effective Duration and Effective MaturityAs of Fourth Quarter 2017

7

Effective Maturity



Asset Type Asset Short Name Ticker Shares/Units Price Market Value

Cash & Cash Equivalents CASH (6,473.6000) $1.0000 ($6,473.60)

Cash & Cash Equivalents FIRST AMERN GOVT OBLIG FD CL Z #3676 FGZXX 1,508,770.7500 $1.0000 $1,508,770.75

Corporate Obligations AMERICAN EXPRESS CO 2.500% 8/01/22 AEC2522 500,000.0000 98.793% $493,965.00

Corporate Obligations AMERICAN INTL GROUP 2.300% 7/16/19 AIG2319 500,000.0000 99.925% $499,625.00

Corporate Obligations AMXCA 2017-6 A 2.040% 5/15/23 A2A2023 1,000,000.0000 99.518% $995,180.00

Corporate Obligations ANHEUSER-BUSCH INBEV 3.650% 2/01/26 AI33626 500,000.0000 103.198% $515,990.00

Corporate Obligations AT&T INC NTS 4.125% 2/17/26 AIN4126 500,000.0000 102.286% $511,430.00

Corporate Obligations AVALONBAY CMNTYS INC 2.950% 5/11/26 AVB26 500,000.0000 98.024% $490,120.00

Corporate Obligations AVALONBAY CMNTYS INC 3.450% 6/01/25 ACI3425 500,000.0000 102.483% $512,415.00

Corporate Obligations BANK OF NY MELLON 2.600% 2/07/22 BON2622 500,000.0000 100.229% $501,145.00

Corporate Obligations BB&T CORP BDS 2.450% 1/15/20 BCB2420 500,000.0000 100.331% $501,655.00

Corporate Obligations BECTON DICKINSON 2.675% 12/15/19 BD22619 500,000.0000 100.361% $501,805.00

Corporate Obligations BK OF AMERICA CORP 4.000% 4/01/24 BOA4024 750,000.0000 105.713% $792,847.50

Corporate Obligations BK OF MONTREAL MTN 2.350% 9/11/22 BOM2322 500,000.0000 98.369% $491,845.00

Corporate Obligations BK OF NOVA SCOTIA 2.700% 3/07/22 BON2722 500,000.0000 99.999% $499,995.00

Corporate Obligations BOSTON PPTIES LP NTS 4.125% 5/15/21 BPL4121 500,000.0000 104.516% $522,580.00

Corporate Obligations CAPITAL ONE BK USA 3.375% 2/15/23 COB3323 750,000.0000 100.987% $757,402.50

Corporate Obligations CC CCIT 2014-A1 2.880% 1/23/23 CC22823A 750,000.0000 101.796% $763,470.00

Corporate Obligations CDN IMPERIAL BK 2.550% 6/16/22 CIB2522 500,000.0000 99.322% $496,610.00

Corporate Obligations CITIGROUP INC 3.200% 10/21/26 CI33226 750,000.0000 99.219% $744,142.50

Corporate Obligations CVS CAREMARK CORP NT 2.750% 12/01/22 CCC2722 500,000.0000 98.508% $492,540.00

Corporate Obligations DOW CHEM CO NTS 4.375% 11/15/42 DCC4342 500,000.0000 105.216% $526,080.00

Corporate Obligations ECOLAB INC SR NT 2.375% 8/10/22 EIS2322 500,000.0000 98.881% $494,405.00

Corporate Obligations EL PASO ENERGY CORP 7.800% 8/01/31 EP31 400,000.0000 128.983% $515,932.00

Corporate Obligations ENBRIDGE INC 2.900% 7/15/22 EI22922 600,000.0000 99.395% $596,370.00

Corporate Obligations FORD MTR CO NTS 7.450% 7/16/31 F31 500,000.0000 130.721% $653,605.00

Holdings - Reporting as of Trade Date

As of: 31-Dec-2017

Account: 6746034300 - PARS/CITY OF FORT WORTH PRHCP

8



Corporate Obligations FORDO 2017-C A3 2.010% 3/15/22 F2A2022 1,000,000.0000 99.707% $997,070.00

Corporate Obligations GENERAL MTRS FINL CO 4.000% 10/06/26 GMF4026 500,000.0000 101.704% $508,520.00

Corporate Obligations HEWLETT PACKARD CO NT4.375% 9/15/21 HPC4321 500,000.0000 105.260% $526,300.00

Corporate Obligations JOHNSON & JOHNSON 3.625% 3/03/37 700,000.0000 105.648% $739,536.00

Corporate Obligations JPMORGAN CHASE NTS 3.200% 1/25/23 JCN3223 750,000.0000 102.000% $765,000.00

Corporate Obligations KEY BANK NA 2.250% 3/16/20 KBN2220 550,000.0000 99.707% $548,388.50

Corporate Obligations MIDAMERICAN ENERGY 3.750% 11/15/23 ME33723 500,000.0000 104.132% $520,660.00

Corporate Obligations NAROT 2016-C A3 1.180% 1/15/21 N2A1121 750,000.0000 98.971% $742,282.50

Corporate Obligations ORACLE CORP NTS 2.950% 11/15/24 OCN2924 500,000.0000 100.717% $503,585.00

Corporate Obligations PETRO-CDA NT 6.800% 5/15/38 SU/38 400,000.0000 137.823% $551,292.00

Corporate Obligations QUEST DIAGNOSTICS BD 3.500% 3/30/25 QDB3525 400,000.0000 101.152% $404,608.00

Corporate Obligations ROYAL BK SCOTLAND GR 3.875% 9/12/23 RBS23B 350,000.0000 101.694% $355,929.00

Corporate Obligations SHIRE ACQ INV IRELAND2.875% 9/23/23 SAI2823 500,000.0000 98.307% $491,535.00

Corporate Obligations TAOT 2017-D A3 2.260% 1/18/22 T2A2222 750,000.0000 99.410% $745,575.00

Corporate Obligations TIME WARNER CABLE IN 6.550% 5/01/37 TWC37 400,000.0000 117.607% $470,428.00

Corporate Obligations UNTD AIR 2013-1 4.300% 8/15/25 UA24325 426,161.5100 105.525% $449,706.93

Corporate Obligations VERIZON COMM SR NT 4.125% 3/16/27 VC44127 150,000.0000 104.271% $156,406.50

Corporate Obligations VERIZON COMMUNICATIO 5.250% 3/16/37 350,000.0000 109.968% $384,888.00

Corporate Obligations WELLS FARGO & CO NEW 3.000% 10/23/26 WFC3026A 750,000.0000 98.016% $735,120.00

Funds ISHARES MSCI EAFE ETF EFA 57,266.0000 $70.3100 $4,026,372.46

Funds ISHARES RUSSELL 2000 GROWTH ETF IWO 8,054.0000 $186.7000 $1,503,681.80

Funds ISHARES RUSSELL 2000 VALUE ETF IWN 14,816.0000 $125.7500 $1,863,112.00

Funds ISHARES RUSSELL MIDCAP ETF IWR 7,951.0000 $208.1300 $1,654,841.63

Funds ISHARES S&P 500 GROWTH ETF IVW 12,108.0000 $152.7700 $1,849,739.16

Funds ISHARES S&P 500 VALUE ETF IVE 26,444.0000 $114.2400 $3,020,962.56

Funds ISHARES TR CORE S&P500 ETF IVV 23,022.0000 $268.8500 $6,189,464.70


As of: 31-Dec-2017


9



Funds POWERSHARES SENIOR LOAN PORT BKLN 32,392.0000 $23.0400 $746,311.68

Funds VANGUARD FTSE EMRG MRKTS ETF VWO 33,707.0000 $45.9100 $1,547,488.37

Funds VNGRD INDEX TR REIT VIPER SHS VNQ 12,586.0000 $82.9800 $1,044,386.28

Funds VNGRD ST TERM INVMT GRADE ADM #539 VFSUX 317,695.6860 $10.6300 $3,377,105.14

Government Obligations FGLMC #G16300 3.500% 5/01/32 G16300F 960,335.5900 103.555% $994,475.52

Government Obligations FHLMC G14752 3.0000% 5/1/2028 G14752F 824,782.4600 102.050% $841,690.50

Government Obligations FHLMC G16219 3.0000% 3/1/2032 G16219F 1,136,657.3200 101.913% $1,158,401.57

Government Obligations FNMA AL7510 3.50000% 10/1/2045 AL7510A 1,586,376.6600 103.286% $1,638,505.00

Government Obligations FNMA AL7945 3.50000% 1/1/2046 AL7945A 958,706.8200 103.407% $991,369.96

Government Obligations FNMA AS4972 3.0000% 5/1/2045 AS4972A 1,071,963.3100 100.265% $1,074,804.01

Government Obligations FNMA AS7701 2.500% 8/01/31 AS7701A 967,421.5400 100.193% $969,288.66

Government Obligations FNMA AS8647 3.00000% 1/1/2047 AS8647A 940,239.1600 100.235% $942,448.72

Government Obligations FNMA BM1228 3.00000% 5/1/2032 BM1228A 919,987.6800 101.979% $938,194.24

Government Obligations US TREAS BDS 3.625% 8/15/43 UTB3643 1,475,000.0000 116.711% $1,721,487.25

Government Obligations US TREAS NTS 1.000% 3/15/18 UTN0018A 700,000.0000 99.930% $699,510.00

Government Obligations US TREAS NTS 1.250% 12/15/18 UTN1218C 2,500,000.0000 99.477% $2,486,925.00

Government Obligations US TREAS NTS 1.500% 11/30/19 UTN1519E 550,000.0000 99.277% $546,023.50

Government Obligations US TREAS NTS 1.625% 4/30/23 UTN1623 2,650,000.0000 96.949% $2,569,148.50

Government Obligations US TREAS NTS 1.875% 1/31/22 UTN0022B 840,000.0000 98.961% $831,272.40

Government Obligations US TREAS NTS 2.000% 2/15/25 UTN2025 800,000.0000 97.754% $782,032.00

Government Obligations US TREAS NTS 2.125% 8/15/21 UTN2521 3,300,000.0000 100.145% $3,304,785.00

Subtotals

Cash & Cash Equivalents $1,502,297.15

Funds $26,823,465.78

Government Obligations $22,490,361.83

Corporate Obligations $24,467,984.93

Total $75,284,109.69


As of: 31-Dec-2017


10

Monthly Investment PerformanceAnalysisFort Worth Employees' Retirement Fund

Period Ended: December 31, 2017

Page 2

Asset Allocation by Theme Asset Allocation vs. Target Allocation

Asset Allocation vs. Target Allocation Differences

December 31, 2017 : $2,320,324,308

Market Value

($)

Allocation

(%)

High Growth 485,441,656 20.92Growth 1,068,674,214 46.06Capital Preservation 338,952,329 14.61Diversification 218,366,959 9.41Inflation 171,716,116 7.40Liquidity 31,428,019 1.35Liquidating Investments 5,745,016 0.25

Market Value($)

Allocation(%)

Target(%)

High Growth 485,441,656 20.92 22.00Growth 1,068,674,214 46.06 44.00Capital Preservation 338,952,329 14.61 15.00Diversification 218,366,959 9.41 10.00Inflation 171,716,116 7.40 8.00Liquidity 31,428,019 1.35 1.00Liquidating Investments 5,745,016 0.25 0.00Total Fund 2,320,324,308 100.00 100.00

Fort Worth Employees' Retirement Fund

Total Fund Composite

Asset Allocation by Theme and Asset Allocation vs. Target Allocation

As of December 31, 2017

Allocations shown may not sum up to 100% exactly due to rounding. Market values shown are preliminary and subject to change.

Page 3

December 31, 2017 : $2,320,324,308 Market Value($)

Allocation(%)

Private Equity 267,073,263 11.51Non-Core Real Estate 106,436,029 4.59High Growth Hedge Funds 50,412,564 2.17Emerging Markets Equity 61,519,799 2.65Public Equity 843,794,960 36.37Growth Hedge Funds 110,064,528 4.74Other Growth 114,814,725 4.95Core Fixed Income 64,917,702 2.80Core Plus Fixed Income 274,034,627 11.81Diversification Hedge Funds 158,984,528 6.85GTAA 59,382,431 2.56Core Real Estate 108,746,503 4.69Commodities and MLPs 62,969,613 2.71Liquidity 31,428,019 1.35Liquidating Investments 5,745,016 0.25


Asset Allocation by Asset Class


Allocations shown may not sum up to 100% exactly due to rounding. Market values shown are preliminary and subject to change.

Page 4

MarketValue ($)

% MTD QTD CYTD1

Year3

Years5

Years10

YearsSinceIncep.

InceptionDate

Total Fund Composite (Gross) 2,320,324,308 100.00 0.89 3.28 14.95 14.95 7.67 8.17 4.84 8.92 09/01/1983

Total Fund Composite 2,320,324,308 100.00 0.87 3.22 14.62 14.62 7.32 7.81 4.45 8.73 09/01/1983

Target Allocation Index 1.25 4.17 17.66 17.66 8.02 8.61 5.93 N/ADifference -0.38 -0.95 -3.04 -3.04 -0.70 -0.80 -1.48 N/A

Actual Allocation Index 1.26 4.19 17.51 17.51 8.10 8.70 5.17 N/ADifference -0.39 -0.97 -2.89 -2.89 -0.78 -0.89 -0.72 N/A

High Growth Composite 485,441,656 20.92 0.71 3.81 17.44 17.44 N/A N/A N/A 17.44 01/01/2017

MSCI All Country World Index (USD) (Net)+3% 1.86 6.51 27.69 27.69 12.57 14.12 7.79 27.69Difference -1.15 -2.70 -10.25 -10.25 N/A N/A N/A -10.25

Growth Composite 1,068,674,214 46.06 0.92 4.61 20.95 20.95 N/A N/A N/A 20.95 01/01/2017

MSCI ACW Index (USD) (Net) 1.61 5.73 23.97 23.97 9.30 10.80 4.65 23.97Difference -0.69 -1.12 -3.02 -3.02 N/A N/A N/A -3.02

Capital Preservation Composite 338,952,329 14.61 0.51 0.50 4.37 4.37 2.75 2.17 5.69 4.37 01/01/2017

Bloomberg US Agg Bond Index 0.46 0.39 3.54 3.54 2.24 2.10 4.01 3.54Difference 0.05 0.11 0.83 0.83 0.51 0.07 1.68 0.83

Diversification Composite 218,366,959 9.41 1.07 1.88 5.91 5.91 N/A N/A N/A 5.91 01/01/2017

BofA ML 3 Mo US T-Bill Index+3% 0.36 1.03 3.88 3.88 3.42 3.28 3.40 3.88Difference 0.71 0.85 2.03 2.03 N/A N/A N/A 2.03

Inflation Composite 171,716,116 7.40 1.70 0.96 5.90 5.90 N/A N/A N/A 5.90 01/01/2017

Consumer Price Index+4% 0.27 0.86 6.19 6.19 5.70 5.49 5.68 6.19Difference 1.43 0.10 -0.29 -0.29 N/A N/A N/A -0.29


Asset Allocation & Performance


Performance shown is net of fees, except where noted. Market values and performance shown are preliminary and subject to change. Performance is annualized for periods greater than one year. RVK calculates performance for composites and investment managers using different methodologies. Indices show N/A for since inception returns when the fund contains more history than the corresponding benchmark.

Page 5

MarketValue ($)

% MTD QTD CYTD1

Year3

Years5

Years10

YearsSinceIncep.

InceptionDate

High Growth

Private Equity 267,073,263 11.51 0.12 4.56 19.95 19.95 14.95 17.33 9.77 6.42 04/01/2006

Non-Core Real Estate 106,436,029 4.59 -0.48 -0.02 6.56 6.56 7.76 9.01 N/A 8.31 09/01/2011

High Growth Hedge Funds 50,412,564 2.17 2.89 4.35 13.25 13.25 N/A N/A N/A 13.25 01/01/2017

MSCI ACW Index (USD) (Net) 1.61 5.73 23.97 23.97 9.30 10.80 4.65 23.97Difference 1.28 -1.38 -10.72 -10.72 N/A N/A N/A -10.72

Emerging Markets Equity 61,519,799 2.65 3.73 7.32 42.03 42.03 7.81 N/A N/A 9.40 02/01/2014

MSCI Emg Mkts Index (USD) (Net) 3.59 7.44 37.28 37.28 9.10 4.35 1.68 8.14Difference 0.14 -0.12 4.75 4.75 -1.29 N/A N/A 1.26

Wm Blair EM Equity (CF) 61,519,799 2.65 3.73 7.32 42.03 42.03 7.81 N/A N/A 9.40 02/01/2014

MSCI Emg Mkts Index (USD) (Net) 3.59 7.44 37.28 37.28 9.10 4.35 1.68 8.14Difference 0.14 -0.12 4.75 4.75 -1.29 N/A N/A 1.26

Growth

Public Equity 843,794,960 36.37 0.98 5.22 23.59 23.59 10.08 11.47 5.20 4.89 07/01/2007

MSCI ACW Index (USD) (Net) 1.61 5.73 23.97 23.97 9.30 10.80 4.65 4.58Difference -0.63 -0.51 -0.38 -0.38 0.78 0.67 0.55 0.31

NTAM ACW IM Index (CF) 259,575,405 11.19 1.52 5.68 N/A N/A N/A N/A N/A 21.00 02/01/2017

MSCI ACW IM Index (USD) (Net) 1.63 5.72 23.95 23.95 9.52 11.00 4.97 20.68Difference -0.11 -0.04 N/A N/A N/A N/A N/A 0.32

NTAM ACW Dvsf'd Multi-Factor Index (CF) 246,776,072 10.64 1.03 6.38 N/A N/A N/A N/A N/A 19.78 04/01/2017

MSCI ACW Dvsf'd Multi-Factor Index (USD) (Net) 1.18 6.43 29.44 29.44 11.60 13.57 7.25 19.78Difference -0.15 -0.05 N/A N/A N/A N/A N/A 0.00

Frontier Capital S/MCG (SA) 82,293,047 3.55 0.07 3.82 18.73 18.73 10.16 15.97 N/A 13.99 04/01/2010

Russell 2500 Grth Index 0.27 6.35 24.46 24.46 10.88 15.47 9.62 14.09Difference -0.20 -2.53 -5.73 -5.73 -0.72 0.50 N/A -0.10

Westwood Small-Cap Value (SA) 82,112,510 3.54 -1.89 3.41 13.01 13.01 N/A N/A N/A 28.02 03/01/2016

Russell 2000 Val Index -0.95 2.05 7.84 7.84 9.55 13.01 8.17 25.33Difference -0.94 1.36 5.17 5.17 N/A N/A N/A 2.69

Manning & Napier Non-U.S. Equity (SA) 84,176,931 3.63 1.41 3.08 23.63 23.63 6.55 5.87 2.09 7.07 09/01/2004

Int'l Equity Custom Index 2.24 5.00 27.19 27.19 7.83 6.80 1.51 6.06Difference -0.83 -1.92 -3.56 -3.56 -1.28 -0.93 0.58 1.01




Performance is net of fees. Market values and performance shown are preliminary and subject to change. Performance is annualized for periods greater than one year. RVK calculates performance for composites and investment managers using different methodologies.

Page 6




MarketValue ($)

% MTD QTD CYTD1

Year3

Years5

Years10

YearsSinceIncep.

InceptionDate

Franklin Templeton Small Cap Int'l Equity (SA) 88,860,995 3.83 2.46 5.81 32.79 32.79 10.60 N/A N/A 8.39 05/01/2013

MSCI ACW Ex US Sm Cap Index (USD) (Net) 3.07 6.56 31.65 31.65 11.96 10.03 4.69 8.67Difference -0.61 -0.75 1.14 1.14 -1.36 N/A N/A -0.28

Growth Hedge Funds 110,064,528 4.74 0.55 3.19 15.36 15.36 N/A N/A N/A 15.36 01/01/2017

Growth Hedge Fund Custom Index 1.05 2.44 10.20 10.20 5.17 6.00 3.66 10.20Difference -0.50 0.75 5.16 5.16 N/A N/A N/A 5.16

Other Growth 114,814,725 4.95 0.84 1.57 9.22 9.22 N/A N/A N/A 9.22 01/01/2017

Other Growth Actual Allocation Index 0.70 1.42 7.90 7.90 N/A N/A N/A 7.90Difference 0.14 0.15 1.32 1.32 N/A N/A N/A 1.32

Heitman Public Real Estate 25,993,087 1.12 1.52 3.59 8.35 8.35 5.18 7.98 N/A 16.70 04/01/2009

FTSE EPRA/NAREIT Dvl'd Rental TR Index ($) 1.38 3.63 9.38 9.38 5.66 8.15 5.48 17.52Difference 0.14 -0.04 -1.03 -1.03 -0.48 -0.17 N/A -0.82

Stone Harbor EM Dbt;Inst (SHMDX) 41,060,356 1.77 1.04 1.33 11.56 11.56 8.06 3.42 N/A 5.23 06/01/2011

JPM EMBI Gbl Dvf'd Index (TR) 0.73 1.16 10.26 10.26 7.11 4.58 7.29 6.56Difference 0.31 0.17 1.30 1.30 0.95 -1.16 N/A -1.33

Loomis Sayles High Yield (SA) 47,761,282 2.06 0.30 0.72 8.17 8.17 4.35 4.79 N/A 8.66 06/01/2008

Loomis Sayles Custom Index 0.30 0.47 5.22 5.22 3.17 2.72 4.44 4.52Difference 0.00 0.25 2.95 2.95 1.18 2.07 N/A 4.14


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MarketValue ($)

% MTD QTD CYTD1

Year3

Years5

Years10

YearsSinceIncep.

InceptionDate

Capital Preservation

Core Fixed Income 64,917,702 2.80 0.52 0.86 3.60 3.60 N/A N/A N/A 3.60 01/01/2017

Bloomberg US Agg Bond Index 0.46 0.39 3.54 3.54 2.24 2.10 4.01 3.54Difference 0.06 0.47 0.06 0.06 N/A N/A N/A 0.06

Garcia Hamilton Aggregate (SA) 64,917,702 2.80 0.52 0.86 3.60 3.60 N/A N/A N/A 1.58 11/01/2016


Core Plus Fixed Income 274,034,627 11.81 0.51 0.42 4.54 4.54 N/A N/A N/A 4.54 01/01/2017


PIMCO Total Return (SA) 136,607,119 5.89 0.52 0.16 4.92 4.92 2.98 2.18 4.75 6.96 12/01/1988

Bloomberg US Agg Bond Index 0.46 0.39 3.54 3.54 2.24 2.10 4.01 6.30Difference 0.06 -0.23 1.38 1.38 0.74 0.08 0.74 0.66

Aberdeen Total Return (SA) 137,427,508 5.92 0.49 0.67 4.16 4.16 2.60 2.20 N/A 4.03 01/01/2010

Bloomberg US Agg Bond Index 0.46 0.39 3.54 3.54 2.24 2.10 4.01 3.61Difference 0.03 0.28 0.62 0.62 0.36 0.10 N/A 0.42

Diversification

Diversification Hedge Funds 158,984,528 6.85 0.77 1.41 2.61 2.61 N/A N/A N/A 2.61 01/01/2017

Diversification Hedge Fund Custom Index 0.74 1.85 3.78 3.78 2.44 3.07 3.43 3.78Difference 0.03 -0.44 -1.17 -1.17 N/A N/A N/A -1.17

GTAA 59,382,431 2.56 1.86 3.13 14.04 14.04 5.67 3.69 N/A 6.05 02/01/2010

60% MSCI ACW (Net)/40% Bbrg Gbl Agg Idx 1.11 3.85 17.09 17.09 6.47 6.81 4.32 7.03Difference 0.75 -0.72 -3.05 -3.05 -0.80 -3.12 N/A -0.98

PIMCO:All Asset;Inst (PAAIX) 59,382,431 2.56 1.86 3.13 13.98 13.98 5.65 3.67 N/A 6.04 02/01/2010

60% MSCI ACW (Net)/40% Bbrg Gbl Agg Idx 1.11 3.85 17.09 17.09 6.47 6.81 4.32 7.03Difference 0.75 -0.72 -3.11 -3.11 -0.82 -3.14 N/A -0.99


Page 8




MarketValue ($)

% MTD QTD CYTD1

Year3

Years5

Years10

YearsSinceIncep.

InceptionDate

Inflation

Core Real Estate 108,746,503 4.69 0.19 0.48 11.07 11.07 N/A N/A N/A 11.07 01/01/2017

NCREIF ODCE Index (AWA) (Net) 1.86 1.86 6.68 6.68 9.43 10.52 4.07 6.68Difference -1.67 -1.38 4.39 4.39 N/A N/A N/A 4.39

Commodities and MLPs 62,969,613 2.71 4.41 1.74 -2.46 -2.46 N/A N/A N/A -2.46 01/01/2017

Commodities and MLPs Actual Allocation Index 4.28 1.85 -2.52 -2.52 N/A N/A N/A -2.52Difference 0.13 -0.11 0.06 0.06 N/A N/A N/A 0.06

Core Commodity Management (CF) 26,466,057 1.14 2.89 4.71 2.11 2.11 -5.15 -8.53 N/A -8.51 07/01/2011

Bloomberg Cmdty Index (TR) 2.99 4.71 1.70 1.70 -5.04 -8.45 -6.83 -8.38Difference -0.10 0.00 0.41 0.41 -0.11 -0.08 N/A -0.13

Harvest Fund Advisors MLP Alpha (SA) 36,503,557 1.57 5.54 -0.47 -5.74 -5.74 -6.90 N/A N/A -7.17 11/01/2014

S&P MLP Index (TR) 5.24 -0.29 -5.58 -5.58 -9.24 0.87 6.61 -11.07Difference 0.30 -0.18 -0.16 -0.16 2.34 N/A N/A 3.90

The Target Allocation Index is calculated monthly using the Target Allocation's asset class weights applied to each corresponding benchmark return.The Actual Allocation Indices are calculated monthly using beginning of month asset class weights applied to each corresponding primary benchmark return.The Int'l Equity Custom Index consists of the MSCI EAFE Index (USD) (Net) through December 2009 and the MSCI ACW Ex US Index (USD) (Net) thereafter.The Growth Hedge Fund Custom Index consists of 50% HFRI Equity Hedge Index and 50% HFRI Event Driven Index.The Loomis Sayles Custom Index consists of 100% Bloomberg US Unv Bond Index through March 2017, 100% Loomis Sayles manager performance during April 2017, and 100%Bloomberg US Corp: Hi Yld Index thereafter.The Diversification Hedge Fund Custom Index consists of 50% HFRI Relative Value Index and 50% HFRI Macro Index.The NCREIF ODCE Index (AWA) (Net) performance is reported quarterly; performance is assumed to be 0.00% in interim-quarter months.


Page 9

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Public Trust Advisors Quarterly Economic Updatefortworthtexas.gov/files/56e52ed4-41b2-4196-bd14-40120589fb11.pdf · • Average hourly earnings increased 2.5% on a year-over-year