City of Ocala Treasury Reserve Fund

1579 The Greens Way, Suite 20Jacksonville Beach, FL 32250

www.saw-grass.com

City of Ocala Treasury Reserve Fund

Investment Review

March 31, 2019

David Siegel, CFA Fixed Income Portfolio Manager

(904) 493-5514

S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T

For Today’s Meeting

2

Account & Performance Review

Market Review

Current Portfolio Positioning

Looking Forward


Sawgrass Asset Management – By the Numbers

3

100 Percent Employee-Owned

28 States in which Sawgrass Represents Clients

29 Average Years of Investment Experience for Our Team

21 Years Serving Our Institutional Clients

3.9 Billion in Assets Under Advisement

Sawgrass Mission Statement to Clients and Employees:

To strengthen the financial security of our clients through active management of high-quality portfolios, producing strong, long-term investment results. Our relationships are driven by our core values of integrity, respect, hard work, and ethical behavior.

*Information as of March 2019.


Sawgrass Asset Management Clients

4

PROUDLY SERVING CLIENTS IN 28 STATES

ID

AZ

UT

MT

WY

NM

CO

SC

KY

INOH

NC

SD

KS

NE

MN

WI

IA

IL

MO

AR

ND

OR

CA NV

WA

AK

PA

ME

VA

NY

CT

WV

DE

MD

NJ

VTNH

MA

RI

LA

MI

HI

OK

TX

TN

GAALMS

FL

Sawgrass Clients


Experience Working with Municipal Plans in Florida

5


The Sawgrass Advantage

6

*Since Inception. Please refer to Performance Disclosure Statement herein.

Stability of Our People, Process and Investment Style

Direct Access to Your Portfolio Manager

Historical Outperformance with Less Risk*

Strong Client Relationships – Transparency/Communication

Minimize Surprises

S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T 7

Sawgrass’ Fixed Income Investment Philosophy

Our Alpha Thesis:

• Market Inefficiencies Create an Opportunity for Active Management

• Thorough Quantitative and Qualitative Analysis Can Exploit These Inefficiencies

• Risk Management Assists Our Team in Seeking Superior Risk-AdjustedReturns

• We Implement this with a Disciplined and Repeatable Process

End Result Consistent Risk-Adjusted Performance


Our Three Alpha Sources

Interest Rate/ Yield Curve

- Historical vs. future expectations- Real vs. Nominal yields- Economic factors- Sensitivity Analysis

Sector

- Inter-market relative value- Market fundamentals- Sensitivity Analysis

Security Selection

- Relative Value- Fundamental Analysis- High Quality- Sensitivity Analysis

Portfolio Construction

Optimal Portfolio

Market & Security Analysis

Validate & Research


Our Process – A Macro Overview

Top Down Approach

GDP

Inflation

Fiscal Policy

Monetary Policy

International


Bond Market Quarterly Review Q1: Fed Pivot, Risk On Market Review: Fed Pivot, Financial Conditions Easing, Global Risk Assets and Rates Rally

• The recent selloff in risk assets and the subsequent tightening of financial conditions along with softening global economic growth indicators caused the Federal Reserve to pivot and pause on raising rates this year. Also the Fed will end its balance sheet reduction program or Quantitative Tightening (QT) earlier than had been previously expected. In addition, the ECB surprised the market with the new dovish tone by delaying the start of QT and maintaining the negative rate policy for the foreseeable future given the global growth slowdown and the ongoing trade negotiation tensions. This Fed pivot coupled with the dovish changes from the ECB and BOJ marks the start of a new monetary policy regime and risk markets reacted positively with a snap-back rally in equities, credit spreads and Treasury rates. German Bund 10yr rate finished at negative 0.07% for the quarter; over $10 trillion of sovereign paper is now trading at negative rates.

• US TSY curve/change: 2y 2.26%/-23bp, 5y 2.23%/-28bp, 10y 2.41%/-28bp, 30y 2.81%/-20bp.

• Credit IG spreads outperformed, Tighter 36bp. Leaders – Energy, Materials, Banks; Laggards – Staple, Utilities, Insurance

• S&P +13.65%

Short Portfolio Review: Outperformance

• Duration hurt.

• Sector allocation helped - overweight corporate bonds and spreads outperformed.

• Security selection slight hurt – overweight high quality.

Outlook: Data Dependent

• Fed pivot implies no rate hike in 2019 given the soft economic indicators and market volatility. Also, balance sheet reduction will end sooner than anticipated. We have increased the duration position to neutral.

• We turn tactically to slight overweight on credit spreads given the recent Fed pivot; however, we’re still cautious long term. The credit fundamentals are deteriorating, non-financial IG leverage has increased to record levels and interest expense coverage has decreased recently as result of debt funded M&A activity and share buybacks. The focus remains in security selection, securities with attractive relative value prospects.

• Biggest risks for 2019: Economic growth slowing, trade wars, geo-political events, volatility - monetary policy mistakes.


Factors to Watch

• Fed Watch – Policy Change?

• Stock Prices – Volatility?

• Trade Wars – China Deal?

• Yield Curve - Inversion?

• Corporate Bond Spreads – Late Credit Cycle?

• Wages/Inflation/Economy – Recession?

• Geo-Political Events – Hard/Soft/No Brexit?


Core PCE Wages

PPIOil

Macro View: Rising Inflation


Unemployment Rate GDP

Retail SalesHousing Starts

Strong Domestic Economy


U.S. 5 Year vs. German 5 Year Rates


Financial Conditions 1Q Easing Following the Fed Pivot

Source: Chicago Fed, Morgan Stanley

-0.9

-0.8

-0.7

-0.6

-0.5

-0.4

-0.3

Dec-

14

Mar

-15

Jun-

15

Sep-

15

Dec-

15

Mar

-16

Jun-

16

Sep-

16

Dec-

16

Mar

-17

Jun-

17

Sep-

17

Dec-

17

Mar

-18

Jun-

18

Sep-

18

Dec-

18

Mar

-19

Financial Conditions Easing

Index, + = Tighter Than Average

Chicago Fed Adjusted Financial Conditions Index

Level at the time of the first rate hike in Dec 2015


Fed’s Influence on Recession – Past Policy Mistakes


Treasury Curve Partial Inversion: Implications?

Interest Rate Sector Allocation Security Selection

Source: Bloomberg


Treasury Curve Quarterly Change: Rates Lower


Source: Bloomberg

TSY Curve: 3/31/19

TSY Curve: 12/31/18


UST 5 Yr: Rates Lower Over One Year


Source: Bloomberg


Sector Performance


Source: BAML GIS

Benchmark

Sector

Quality

Industry

Curve

Non-Index

4.56%4.56%

4.26%3.57%

4.25%4.55%

4.95%

6.01%5.15%

5.06%4.78%

5.17%4.99%

3.87%

2.12%2.72%

3.82%5.24%

6.27%

5.94%2.70%

Total Return %

One Year Ending MAR 2019

3.02%3.26%

2.35%1.64%

2.18%2.27%

5.01%

4.98%3.73%

4.59%5.58%

4.45%5.29%

4.84%

0.60%0.98%

1.57%2.44%

4.59%

7.40%3.38%

AGGGov/CreditIntermed G/C1-5 Year G/C

TreasuryMtgeCorporate IG

CORP AAACORP AACORP ACORP BAA

CORP FINCORP INDUCORP UTIL

3 Month T-bills1-3 Yr Treasury3-5 Yr Treasury5-10 Yr…Long Treasury

High YieldTIPS

Total Return %

One Quarter Ending MAR 2019


Sector Spread Performance

Source: Bloomberg


3/31/2019 12/31/2018 QoQ chg 3/31/2018 YoY ChgCORP 1-5 79 114 -35 84 -5

AGY 1-5 4 5 -1 8 -4MBS 45 45 0 30 15

Spread Performance (OAS in bp)


SAM Investable Credit Universe: 3/31/2019

A

AAPAAPL

ABBVABC

ABTACC

AGN

ADBE

ADI

ADM

ADSK

AEE

AEP

AES

AET

AFG

AFL

AIG

AIZAL

ALBALL

AMAT

AMG

AMGN

AMPAMTAMTD

AMZN

AN

APAAPC

APD APH

APO

ARCC

ARE

ARW

ATOAVA

AVB

AVT

AVY

AWKAXP

AZO BA

BAC

BAX

BBT

BDN

BDX

BEN

BG

bhge

BIIB

BIO

BK

BKH

BLK

BMS

BMY

BPL

BR

BRK

BROBSX

BWA

BWP

BX

BXPC

AVGO

CAG

CAH

CAT CB

CBS

CBT

CCECCL

CELG

CG

CHD

CICINF

CLCLXCMA

CMCSA

CMECMI

CMS

CNL

CNPCOF

COP

COST

CPB

CPT CR

DXC

CSCO

CSL

CSXCTAS

CUBE

CVS

CVX

CXP

D

DD DDR

DE

DFS

DG

DGX

DHRDIS

DISCA

DLR

DOV

DOW

KDP

DRE

DRI

DTEDUK

DVNEBAY

ECL

ED EE

EEP

EFX

EIX

EL

EMN

EMR

ENBL

EOGEPD

EPREQC

EQM

EQR

EQT

ESRX

ESS

ETN

ETPETR

EV EXC

EXPE

F

FAF

FDX

FEFHN

FIS

FISV

FITB

FLO

FLR

FLS

FMC

FNFFOXAFRC

FRT

FSIC

GD

GE

GILD

GIS

GLW

GATX

GOOGL

GPS

GSGXP

H

HAL

HAS

HBAN

WELL

HCP

HD

HES

HIG

HIW

HOG

HON

HPQ

HPT

HR

HRB

HRL

HRS

HSTHSY

HTA

HUM

IBM

IEX

IFF

INGRINTC

IP

IPCCIPG

IR

ITC

ITW

IVZ

JBHT

JBL

JCI

JLL JNJ

JNPR

JHGJPM

JWNK

KEYKIM

KKR

KLAC

KMB

KMI

KMPR

KMT

KO

KR

KRC

KSS

KSU

L LEG

SR

LH

LLL

LLY

LM

LMTLNTLOW

LPT

LUV

LXP

LYB

M

MAMAA

MAR

MCD

MCK

MCO

MDLZ

MDT

MET

SPGI

MHK

MKC

MKL

MLM

MMC

MMM MMP

MO

MOS

MPC

MRK

MRO

MSMSFT

MSI

MTB

WRK

MXIM

MYL

NBL

NDAQ

NEM

NEUNFG

NI

NKE NNN

NOC

NOV

NSC

NTAP

NTRS

QCOM

NUE

NVR

NWE

NWL

O

OB

OC

OFC

OGE

OGS

OHI

OKEOMC

ORCL

ORIORLYOXY PAA

PBCTPCAR

PDMPEG

PEPPFE

PFG

PG

PGRPH

PKG

PKI

PLD

PMPNC

PNM

PNWPPG

PPL

PRA

PRI PRU

PSECPSX

PX

PXD

R

REGRF RGA

RJFRL

ROIC

ROK

ROP

ROST

RPM

RS

RSG

RTN

RYN

SBUX SCCO

SCG

SCHW

SCS

SEP

SF

SFG

SHW

SIVB

SJM

SKT

SLB

SNA

SNH

SO

SON

SPG

SRE

STISTTSWK

SWX

SYA

SYFSYKSYYT

TAP

TCP

TE

TGT

THG

TIFTJX

TKR

TMKTMO

TRVTSN

TSS

TUP

TWC

TWX

TXN

TXT

UDR

UNH

UNMUNP

UPS

USB

UTX VFC

VIA

VLO

VMIVNOVOYA

VRSK

VTR

VZ

WAB

WBA

WEC

WES

WFC

WHR

WLK

WM

WMT

WORWPCWPZEVRG

WRB

WRE WRI

WU

WYXEL

XLNX

ESXOM

XRAY

XYL

Y

ZBH

10

20

30

40

50

60

70

80

90

10 20 30 40 50 60 70 80 90

Fund

amen

tal S

core

Relative Value Score

Credit Universe


Source: BondEdge, ICE BAML GIS


SAM Short Credits: 3/31/2019

AAPL

AXP

BA

BACBBT

BK BMY

BRKCCAT

COF

COST

CSCO

CVX

D

DE

DIS

EMRFITB

FRC

GS

HBAN

IBM

INTC JPM

KEY

MA MSMSFTMTB

ORCL

PNC

PPLSCHW

SO

STT

TXN

UNH

USB

WEC

WFC

10

20

30

40

50

60

70

80

90

10 20 30 40 50 60 70 80 90

Fund

amen

tal S

core

Relative Value Score

Sawgrass Credits


Source: BondEdge, ICE BAML GIS


Performance Attribution


Source: BondEdge

12/31/18-3/31/19 Income Effects Term Structure Effects Spread EffectsTotal

Return Income Paydown Amort RollPara Total Non-Para

Sector/ Quality Selection Residual

SHORT COMPOSITE 1.67 0.60 0.00 0.10 0.00 0.64 -0.13 0.51 -0.03 0.00BAML G/C 1-5 1.63 0.62 0.00 0.07 0.01 0.76 -0.15 0.30 0.01 0.00

Difference 0.04 -0.02 0.00 0.04 -0.01 -0.12 0.01 0.21 -0.04 0.00

Portfolio Characteristics

3/31/2019 YTW Eff DurNon-Para

DurQual

Sprd DurMtge

Sprd Dur Conv What Helped:

SHORT COMPOSITE 2.58 2.21 1.09 0.86 0.00 0.02 Sector Allocation - OW CreditBAML G/C 1-5 2.53 2.63 1.32 0.74 0.00 0.04 Term StructureDifference 0.05 -0.43 -0.23 0.12 0.00 -0.02

12/31/2018 YTW Eff DurNon-Para

DurQual

Sprd DurMtge

Sprd Dur Conv What Hurt:

SHORT COMPOSITE 2.98 2.24 1.09 0.85 0.00 0.03 Short DurationBAML G/C 1-5 2.87 2.61 1.31 0.72 0.00 0.04 Security Selection - OW High QualityDifference 0.11 -0.37 -0.21 0.13 0.00 -0.01

Effective Duration Years SAM Comments:


Portfolio Market Values Portfolio Summary

Asset Allocation

Asset Class Market ValuePercent of

Assets Fixed Income $68,886,786 100%Cash & Equivs. $220,446 0%

TOTAL $69,107,233 100.0%

Portfolio Summary

Fixed Income100%

Cash & Equivs.

0%

Quarter

Beginning Market Value on 3/31/2018 $68,016,281

Net Cash Flows $0

Investment Gain/Loss $1,090,951

Ending Market Value on 03/31/2019 $69,107,233

25

City of Ocala Treasury Reserve Fund As of 3/31/2019

1 Year

Beginning Market Value on 3/31/2018 $75,669,279

Net Cash Flows -$9,000,000

Investment Gain/Loss $2,437,989

Ending Market Value on 03/31/2019 $69,107,233


Portfolio Performance

TOTAL RETURNS GROSS FOR SELECT PERIODSCity of Ocala Treasury Reserve Fund

26

Returns for periods of one year or longer are annualized

City of Ocala Treasury Reserve Fund As of 3/31/2019

Qtr Fiscal YTD 1 Year 2 Years 3 Years 5 Years 10 YearsSince

6/30/0312/31/92 Inception

Total Account 1.60% 2.76% 3.56% 2.00% 1.74% 1.67% 2.29% 2.88% 4.31%

Indices:Blended Index* 1.63% 3.10% 3.57% 1.88% 1.44% 1.61% 2.19% 2.67% 4.18%ML 1-5 Govt/Corp 1.63% 3.10% 3.57% 1.88% 1.44% 1.61% 2.29% 2.73% 4.26%ML 1-5 Gov/Corp A+ 1.41% 3.01% 3.39% 1.72% 1.22% 1.47% 1.98% 2.57% 4.14%SBA Pooled Income Fund 0.67% 1.35% 2.43% 1.92% 1.55% 1.02% 0.65% 1.57% 2.79%

*ML 1-5 Year G/C as of 10/31/13; ML 1-5 Year G/C A or Better until 10/31/13; ML 1-5 Year G/C until 12/31/09; prior to 6/30/96,75% ML 1-5 Year G/C / 25% 3-month Returns are gross of investment management fees

S T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N TS T A B I L I T Y | C O N S I S T E N C Y | C O M M I T M E N T

Current Attributes and Sectors City of Ocala Treasury Reserve Fund Attributes as of 03/31/19

Portfolio 1-5 Govt/Corp Index

Yield to Maturity (%) 2.56 2.53

Effective Duration (Yrs) 2.17 2.63

Effective Maturity (Yrs) 2.65 2.79

Quality Rating Aa2 Aa2

Coupon Rate 2.37 2.63

Convexity 0.02 0.04

40%

11%

48%

0% 0%

62%

2%

36%

0% 0%0%

10%

20%

30%

40%

50%

60%

70%

Treasury Agency Corporate Mortgage Cash


27

Source: BondEdge


Current Duration DistributionPe

rcen

t Hel

d

24%

27%

14%

29%

7%

1%

33%

29%

24%

13%

0%

5%

10%

15%

20%

25%

30%

35%

<1 Year 1-2 Years 2-3 Years 3-4 Years 4-5 Years


28

City of Ocala Treasury Reserve Fund Attributes as of 03/31/19

Source: BondEdge


Current Maturity Distribution

7%

18%

33%

23%

19%

0%0%

30%

28%

21%20%

0%0%

5%

10%

15%

20%

25%

30%

35%

<1 Year 1-2 Years 2-3 Years 3-4 Years 4-5 Years 5+ Years


Perc

ent H

eld

29


Source: BondEdge


Current Quality Distribution

53%

10%

38%

0% 0%

69%

5%

12% 14%

0%0%

10%

20%

30%

40%

50%

60%

70%

80%

AAA AA A BBB BB and Lower


Perc

ent H

eld

30


Source: BondEdge


Compliance Monitor City of Ocala Treasury Reserve Fund Attributes as of 3/31/19

31

Ratings Guidelines Policy Current Within Policy?Corporate Bonds BBB/Baa2 Baa1/BBB+ Yes

CMO, Mortgage and ABS AAA AAA Yes

Eurodollar Securities BBB N/A Yes

Yankee Securities BBB N/A Yes

Maturity Limitations Policy Current Within Policy?Effective Maturity Per Security <10 years 4.75 years Yes

Portfolio Duration 50%/120% 82% Yes

Portfolio Effective Maturity <5 years 2.65 years Yes

Sector Allocations Minimum Maximum Current % Within Policy?US Treasury and Federal Agencies 35% None 51.2% Yes

Corporate Debt Obligations None 50% 48.4% Yes

Mortgage/Asset Backed Securities None 10% 0.1% Yes

Municipal Securities None 20% 0.0% Yes

Certificates of Deposit None 20% 0.0% Yes

Repurchase Agreements None 25% 0.0% Yes

Local Government Surplus Funds/Trust Fund None 25% 0.0% Yes

Money Market/Trust None 30% 0.3% Yes


Sensitivity Analysis – 12 Months Horizon

Source: BondEdge

Scenario # 1 2 3 4 5 6 7 8

Scenario Description TSY -50

TSY No Change TSY + 50 TSY + 100

Flat Curve 3%

Corp 50 Tighter Parallel

Corp 50 Wider

ParallelConsensus

Forecast

Credit Chg OAS 0 0 0 0 0 -50 +50 03/31/2019 BEGIN (bp) (bp) (bp) (bp) (bp) (bp) (bp) (bp)

U.S. TREASURY CURVE: 6 Month 2.38 -50 0 50 100 62 0 0 48 1 Year 2.44 -50 0 50 100 56 0 0 50 2 Year 2.30 -50 0 50 100 70 0 0 50 3 Year 2.23 -50 0 50 100 77 0 0 52 5 Year 2.27 -50 0 50 100 73 0 0 58 7 Year 2.34 -50 0 50 100 66 0 0 57 10 Year 2.40 -50 0 50 100 60 0 0 56 20 Year 2.68 -50 0 50 100 32 0 0 45 30 Year 2.85 -50 0 50 100 15 0 0 44

Short 3.65 2.61 1.57 0.55 1.10 3.16 2.01 1.52

ICE ML 1-5 G/C 3.78 2.46 1.16 -0.12 0.58 2.86 2.09 1.09

Difference -0.13 0.15 0.41 0.66 0.52 0.30 -0.08 0.43


FOMC Participants’ Assessments of Monetary Policy vs. the Market

Source: Federal Reserve, Bloomberg

Market pricing is below the Fed dots


Going Forward

• US Real Growth to continue at a moderate pace. The Fed policy will pause with rate hike for the year due to increased uncertainty in economic growth and volatility in financial markets. We turn neutral duration.

• Corporate spreads volatility is expected to remain elevated, especially for highly leveraged BBB issuers on the cusp of being downgraded to junk. We turn tactically slight overweight in the sector given selective potential for relative value; however, we remain cautious longer term due to late credit cycle and deteriorating fundamentals.

• Security selection will be an important driver of excess returns. We continue to favor high quality issuers with strong fundamentals and attractive relative valuations.


Portfolio HoldingsSecurity Quantity

UnitCost Total Cost Price Market Value

Pct of Assets

Corporate Bonds

MORGAN ST DEAN WITTER 3.12% 01/23/23 650,000.00 97.48 633,620.00 100.30 651,982.50 0.9

FIRST REPUBLIC BANK- Callable 5/17/19 @ 100 2.37% 06/17/19 690,000.00 100.85 695,867.57 99.90 689,321.73 1.0

INTEL CORP- Callable 4/11/22 @ 100 2.35% 05/11/22 710,000.00 99.94 709,566.90 99.64 707,414.89 1.0

BANK OF AMERICA CORPORATION Fix to Float - Callable 10/ 2.33% 10/01/21 720,000.00 97.74 703,713.60 99.07 713,303.28 1.0

VIRGINIA ELEC & PWR CO - Callable 10/15/21 @100 2.95% 01/15/22 720,000.00 102.93 741,115.20 100.36 722,612.16 1.0

MICROSOFT CORP 1.55% 08/08/21 780,000.00 99.89 779,181.00 97.61 761,368.14 1.1

COMMONWEALTH EDISON CO Callable 6/1/2021 @ 100 3.4% 09/01/21 750,000.00 104.58 784,372.50 101.59 761,951.25 1.1

WAL MART STORES Callable 5/26/23 @ 100 3.4% 06/26/23 910,000.00 100.05 910,484.30 102.96 936,963.30 1.4

ORACLE CORP- Callable 8/15/21 @ 100 1.9% 09/15/21 980,000.00 99.92 979,176.80 98.36 963,883.90 1.4

CISCO SYSTEM INC 2.2% 02/28/21 1,000,000.00 98.39 983,910.00 99.34 993,383.00 1.4

PNC BANK NA- Callable on 5/2/2020 @ 100 2.3% 06/01/20 1,000,000.00 98.56 985,630.00 99.56 995,608.00 1.4

PNC BANK NA- Callable on 6/28/2022 @ 100 2.45% 07/28/22 1,000,000.00 100.34 1,003,430.00

99.61 996,150.00 1.4

WELLS FARGO & COMPANY - Callable 1/24/22 @ 100 3.07% 01/24/23 1,010,000.00 101.30 1,023,130.00

100.13 1,011,338.25 1.5

KENTUCKY UTILITIES CO - Callable 08/01/20 @ 100 3.25% 11/01/20 1,020,000.00 103.87 1,059,474.00

100.80 1,028,143.68 1.5

BANK OF NEW YORK MELLON - Callable 01/07/22 @ 100 2.6% 02/07/22 1,050,000.00 100.43 1,054,494.00

99.94 1,049,397.30 1.5

APPLE INC- Callable 8/12/2022 @ 100 2.1% 09/12/22 1,115,000.00 98.17 1,094,615.38

98.39 1,097,064.11 1.6

US BANK NA CININNATI- Callable 12/23/2022 @ 100 2.85% 01/23/23 1,320,000.00 99.77 1,316,919.00

100.23 1,323,100.68 1.9

City of Ocala Treasury Reserve Fund Holdings As Of 03/31/2019




Pct of Assets

KEY BANK NA 2.25% 03/16/20 1,500,000.00 99.84 1,497,633.58

99.55 1,493,295.00 2.2

VISA INC Callable 11/14/2020 @ 100 2.2% 12/14/20 650,000.00 99.91 649,447.50 99.56 647,140.00 0.9

DEERE JOHN CAP CORP 3.45% 06/07/23 600,000.00 100.20 601,176.00 102.71 616,258.20 0.9

BANK OF NEW YORK MELLON 3.5% 04/28/23 600,000.00 100.09 600,516.00 102.54 615,261.00 0.9

J P MORGAN CHASE- Callable 5/23/20 @ 100 2.75% 06/23/20 610,000.00 101.13 616,886.90 100.05 610,314.76 0.9

U S BANCORP- Callable 12/23/21 @ 100 2.62% 01/24/22 600,000.00 101.39 608,364.00 100.11 600,658.80 0.9

ALABAMA POWER CO- Callable 2/28/2022 2.45% 03/30/22 600,000.00 99.92 599,508.00 99.44 596,654.40 0.9

CITIGROUP INC- Callable 1/12/2021 @ 100 2.85% 02/12/21 555,000.00 99.99 554,966.70 100.36 556,988.01 0.8

FIFTH THIRD BANK- Callable 05/14/21 @ 100 2.25% 06/14/21 520,000.00 99.92 519,610.00 98.94 514,464.08 0.7

WISCONSIN ELECTRIC POWER- Callable 6/15/21 @ 100 2.95% 09/15/21 500,000.00 102.65 513,230.00 100.44 502,219.50 0.7

EMERSON ELEC CO- Callable- 11/1/21 @ 100 2.62% 12/01/21 500,000.00 99.94 499,700.00 100.04 500,185.00 0.7

STATE STREET CORP 1.95% 05/19/21 490,000.00 99.95 489,745.20 98.68 483,510.93 0.7

AMERICAN EXPRESS CREDIT CO 2.25% 08/15/19 450,000.00 99.94 449,725.50 99.84 449,288.10 0.7

CITIZENS BANK- Callable 4/26/22 @ 100 2.65% 05/26/22 400,000.00 100.32 401,296.00 99.16 396,628.40 0.6

CITIGROUP INC 2.4% 02/18/20 350,000.00 99.78 349,230.00 99.61 348,642.00 0.5

INTEL CORP 2.7% 12/15/22 340,000.00 98.03 333,308.80 100.59 342,008.38 0.5

PNC FINANCIAL SERVICES- Callable 12/23/19 3.5% 01/23/24 244,000.00 102.77 250,768.56 102.38 249,814.28 0.4





Pct of Assets

MANUF & TRADERS TRUST CO - Callable 1/6/20 @ 100 2.1% 02/06/20 200,000.00 99.08 198,152.00 99.51 199,029.40 0.3

BB&T CORPORATION- Callable 12/15/2019 @100 2.45% 01/15/20 180,000.00 101.33 182,386.80 99.80 179,637.66 0.3

BRANCH BANKING & TRUST- Callable 12/15/2019 @ 100 2.1% 01/15/20 175,000.00 99.99 174,986.00 99.54 174,202.52 0.3

APPLE INC 2.25% 02/23/21 107,000.00 101.15 108,234.78 99.64 106,615.12 0.2

PNC BANK NA- Callable on 6/21/2020 @ 100 2.6% 07/21/20 100,000.00 101.79 101,787.00 99.91 99,915.00 0.1

Variable Rate Corporate Bonds

GOLDMAN SACHS GROUP INC FRN 3.4% 02/23/23 1,660,000.00 99.38 1,649,757.80

99.13 1,645,503.22 2.4

BRANCH BANKING & TRUST FRN 3.24% 01/15/20 1,115,000.00 100.46 1,120,151.30

100.26 1,117,891.19 1.6

MANUF & TRADERS TRUST CO FRN - Callable 4/28/19 @100 3.71% 12/28/20 750,000.00 98.62 739,687.50 100.08 750,567.00 1.1

IBM CORP FRN 3.31% 11/06/21 730,000.00 97.55 712,151.50 100.43 733,117.10 1.1

JPMORGAN CHASE FRN - Callable 4/25/22 @ 100 3.67% 04/24/23 690,000.00 99.89 689,243.20 100.48 693,280.26 1.0

J P MORGAN CHASE FRN- Callable 1/15/2022 @ 100 3.79% 01/15/23 635,000.00 102.11 648,398.50 100.77 639,860.29 0.9

STATE STREET CORP FRN 3.58% 08/18/20 550,000.00 100.17 550,951.50 101.01 555,539.05 0.8

MORGAN STANLEY FRN- Callable 7/22/22 @ 100 3.69% 07/22/22 550,000.00 100.64 553,509.00 100.53 552,895.20 0.8

WELLS FARGO & CO FRN Callable 2/11/21 @ 100 3.63% 02/11/22 530,000.00 100.66 533,487.40 100.73 533,884.37 0.8

JPMORGAN CHASE & CO FRN- Callable 2/1/2021 @ 100 4.11% 03/01/21 200,000.00 100.00 200,000.00 101.86 203,718.20 0.3

AMERICAN EXPR BK FRN 3.64% 09/14/20 200,000.00 100.30 200,592.00 101.01 202,022.40 0.3

Agency Bonds

FEDERAL NATL MTG ASSN 1.65% 05/22/20 2,050,000.00 100.00 2,050,000.00

99.16 2,032,685.70 2.9





Pct of Assets

FEDERAL NATL MTG ASSN - Callable 02/28/20 @ 100 2.87% 02/28/24 750,000.00 100.00 750,000.00 100.18 751,313.25 1.1

Variable Rate Agency Bonds

FEDERAL FARM CREDIT BANK FRN 2.79% 07/27/21 3,190,000.00 100.02 3,190,617.50

100.63 3,210,014.06 4.6

FEDERAL FARM CREDIT BANK FRN 2.76% 05/25/21 1,700,000.00 100.02 1,700,360.00

100.54 1,709,188.50 2.5

Treasury Bonds

UNITED STATES TREAS NTS 1.25% 03/31/21 8,330,000.00 100.04 8,333,603.83

98.02 8,165,349.22 11.8


98.84 6,256,559.34 9.1


102.02 6,223,189.50 9.0


97.32 4,379,589.00 6.3


98.31 1,076,521.87 1.6

UNITED STATES TREAS NTS 1.87% 04/30/22 890,000.00 100.22 891,984.63 98.92 880,404.91 1.3

UNITED STATES TREAS NTS 1.37% 09/30/20 520,000.00 99.16 515,608.76 98.55 512,443.88 0.7

Mortgage Backed Securities

MORTGAGE BACKED SECURITIES PASS-THRU INT 15 YEAR Pool 896851 5.5% 02/01/22 19,695.95 100.08 19,711.34 102.15 20,118.63 0.0

MORTGAGE BACKED SECURITIES PC GOLD CASH 15 Pool J02621 5% 10/01/20 7,839.09 98.86 7,749.68 100.65 7,890.36 0.0

MORTGAGE BACKED SECURITIES PASS-THRU INT 15 YEAR Pool 973905 5% 03/01/23 36,676.86 100.37 36,814.40 102.24 37,500.26 0.1

Cash and Equivalents

WFB Public Institutional Bank Deposit Acct 220,156.99 220,156.99 0.3

Delayed Interest 289.39 289.39 0.0

Accrued Income 310,022.91 0.4

TOTAL PORTFOLIO $68,743,102.38 $69,107,232.76



Sawgrass Asset Management, LLC. (Sawgrass) claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS® standards. Sawgrass has been independently verified for the periods 31 March 1998 through 31 December 2018. The verification report is available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS® standards on a firm-wide basis and (2) the firm’s policies and procedures are designed to calculate and present performance in compliance with the GIPS® standards. Verification does not ensure the accuracy of any specific composite presentation.

Sawgrass is a 100 percent employee-owned Registered Investment Advisor whose primary focus is to provide institutional investment management services.

Gross returns do not reflect the deduction of investment advisory fees but do include transaction fees. Gross and net returns include the reinvestment of all dividends and income. Net of fee performance was calculated by reducing the actual management fee charged to clients, or if part of a balanced account by reducing the highest management fee charged, in accordance with the Short-term Fixed Income strategy fee schedule.

Performance is on a trade date dollar-weighted monthly basis in U.S. dollars. The dollar-weighted monthly results are geometrically linked (time-weighted) to produce quarterly and annualized results. Prior to 12/31/2010, accounts were removed from the composite for the month in which a significant flow exceeded 20% of account value. A comprehensive list and description of the firm’s composites and additional information regarding policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request.

Past performance does not guarantee future results. Investments are subject to risk and may lose value.

Information Specific to the Short-Term Fixed Income Composite: As of 3/31/2019, this composite was comprised of 15 accounts valued at $483 million. Assets in this product represent 13% of the firm’stotal assets under advisement. The three-year standard deviation for this product and its benchmark was 1% and 1.4%, respectively. This composite’s creation date was 12/31/92, and the composite’sminimum account size is currently $1 million.

The investment management fee schedule is available in Form ADV 2 as follows: 0.25% on the first $10 million and 0.15% on the next $20 million and 0.10% on the balance.

Benchmark Index Definition: The ICE BofAML 1-5 Gov / Corp A+ Index is a subset of the ICE BofAML 1-5 Gov / Corp Index and is comprised of all U.S. Dollar denominated government and investment-grade corporate debt with a maturity between 1 and 5 years and a rating of A or better. *1-5 Year Gov/Corp since 6/30/96; 25% 3-mo T-bills 75% 1-5 Gov/Corp prior.The index data referenced herein is the property of ICE Data Indices, LLC, its affiliates (“ICE Data”) and/or its Third Party Suppliers and has been licensed for use by Sawgrass Asset Management, LLC. ICE Data and its Third Party Suppliers accept no liability in connection with its use. See https://saw-grass.com/disclosures for a full copy of the disclaimer.

Sawgrass Product Performance Disclosures

Short Term Fixed Income Composite 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018

Annual Total Return - Gross of Fees 5.2% 3.6% 2.5% 3.3% 0.5% 1.5% 1.0% 1.8% 1.5% 1.5%Annual Total Return - Net of Fees 5.1% 3.5% 2.4% 3.2% 0.4% 1.4% 0.9% 1.7% 1.4% 1.4%ICE BofAML 1-5 Gov / Corp* 4.9% 4.2% 3.1% 2.5% 0.3% 1.5% 1.0% 1.6% 1.3% 1.4%ICE BofAML 1-5 Gov / Corp A+* 3.3% 3.9% 3.1% 2.0% 0.1% 1.4% 1.1% 1.3% 1.0% 1.5%SBA Pooled Income Fund 0.6% 0.3% 0.3% 0.3% 0.2% 0.2% 0.2% 0.7% 1.2% 2.2%3 Month T-Bill 0.2% 0.1% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.9% 0.0%Total Product Assets - Year End (MM) $226.2 $391.4 $427.7 $412.4 $528.9 $525.0 $535.2 $539.8 $528.4 $479.1Product Composite Assets - Year End (MM) $226.2 $391.4 $427.7 $412.4 $528.9 $525.0 $535.2 $539.2 $527.8 $478.4Total Firm Assets Under Management - Year End (Bln) $2.68 $2.82 $2.79 $2.80 $3.29 $3.80 $3.75 $3.80 $3.85 $3.52Percent of Firm's Assets 8.4% 13.8% 15.3% 14.7% 16.0% 13.8% 14.2% 14.2% 13.7% 13.6%Number of Accounts 9 20 20 11 14 14 12 13 15 15Dispersion - Equal weighted Standard Deviation 0.14% 0.14% 0.13% 0.39% 0.09% 0.12% 0.09% 0.18% 0.14% 0.07%Volatility - 3 Year Rolling Standard Deviation Sawgrass 2.51 2.53 1.53 1.27 1.16 0.99 0.93 1.00 0.93 0.97Volatility - 3 Year Rolling Standard Deviation Index 2.55 2.51 1.66 1.33 1.20 1.11 1.23 1.36 1.29 1.22

Inception Date 12/31/1992

https://saw-grass.com/disclosures

City of Ocala Treasury Reserve Fund

Documents

Transcript of City of Ocala Treasury Reserve Fund