public trust advisors quarterly economic...

Public Trust Advisors Quarterly Economic Update

March 31, 2018

Public Trust Advisors 2018 ©

Fed Funds Target Rate

2

• The Federal Reserve increased its target rate to a range of 1.50% to 1.75% on March 21, 2018.

• 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. The amount will increase to $30 billion in the 2nd quarter.

Source: Bloomberg

0.00

1.00

2.00

3.00

4.00

5.00

6.00

Jan-06 May-07 Sep-08 Jan-10 May-11 Sep-12 Jan-14 May-15 Sep-16 Jan-18

Rate


FOMC Dot Plot – March 2018

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.

0.00

0.50

1.00

1.50

2.00

2.50

3.00

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

Rate 4/2/2018

10/2/2017

4/2/2017


Money Market Yield Curves

5Source: Bloomberg

• The yield spread between short-term Treasuries and discount notes remain at very tight levels, with T-Bills often out yielding discount notes.

• 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 21, 2018 meeting.

0.80

1.00

1.20

1.40

1.60

1.80

2.00

2.20

2.40

2.60

2.80

1 MO 2 MO 3 MO 4 MO 5 MO 6 MO 7 MO 8 MO 9 MO 10 MO 11 MO 12 MO

Rate

A1/P1 CP Discount Notes T-Bill


Unemployment Rate and Average Hourly Earnings

6Source: Bloomberg

• The March unemployment rate remained at 4.1% for the sixth straight month.

• March payrolls increased by 103,000, below the median forecast of 185,000, and worse than the 326,000 increase seen in February 2018.

• Average hourly earnings increased 2.7% on a year-over-year basis in March.

US Unemployment Rate Nonfarm Payrolls

0

50

100

150

200

250

300

350

Oct-16 Jun-17 Feb-18Th

ou

san

ds

2

4

6

8

10

12

14

16

Jan-12 May-13 Sep-14 Jan-16 May-17

% U

nem

plo

yed

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


Inflation

7Source: Bloomberg

• March CPI rose 2.4% on a year-over-year basis. Core CPI (less food and energy) increased at a 2.1% year-over-year pace.

• The Fed’s preferred measure of inflation, core PCE, was reported at 1.6% in February, well below the Fed’s target of 2.0%.

• Expectations are for inflation to trend higher in 2018 and 2019 approaching the 2.0% target level.

-0.50

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

Dec-11 Aug-12 Apr-13 Dec-13 Aug-14 Apr-15 Dec-15 Aug-16 Apr-17 Dec-17

CPI Core PCE


Institute for Supply Management

8Source: Bloomberg

• ISM Manufacturing for March was weaker than expected coming in at 59.3 versus 60.8 in February and 59.6 forecasted.

• ISM Non-manufacturing (Service) for March posted a reading of 58.8 which was a decline from 59.5 in February and 59.0 forecasted.

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

46

48

50

52

54

56

58

60

62

Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17 Sep-17 Jan-18

ISM Manufacturing ISM Non-Manufacturing


Contributions to Percent Change in Real GDP

9Source: Bloomberg

• The U.S. economy expanded at a 2.9% annualized pace during the 4th quarter of 2017, dragged down mostly from a widening trade deficit which subtracted approximately 1.1% from growth.

• Consumer spending, the biggest part of the economy, rose 4.0%, the most since the 2nd quarter of 2016.

• With the recent tax cut, GDP growth expectations are 2.3%-2.8% for the foreseeable future.

3.202.70

1.60

0.50 0.6

2.22.80 1.80

1.20

3.10

3.202.90

-3

-2

-1

0

1

2

3

4

5

2015 Q12015 Q22015 Q32015 Q42016 Q12016 Q22016 Q32016 Q42017 Q12017 Q22017 Q32017 Q4

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. Data unaudited. Performanceresults are shown net of all fees and expenses and reflect the reinvestment of dividends and other earnings.Many factors affect performance including changes in market conditions and interest rates and in response toother economic, political, or financial developments. Investment involves risk, including the possible loss ofprincipal. No assurance can be given that the performance objectives of a given strategy will be achieved. Pastperformance is no guarantee of future results. Any financial and/or investment decision may incurlosses.

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 March 31, 2018

City of Fort Worth Aggregate

December 31, 2017

Beginning Balance

March 31, 2018

Ending Balance Portfolio Characteristic

December 31, 2017

Beginning Balance

March 31, 2018

Ending Balance

Historical Cost 864,773,118.16$ 864,762,454.66$ Book Yield Gross 1.40% 1.44%

Book Value 864,696,626.46$ 864,587,016.39$ Market Yield Gross 2.02% 2.34%

Accrued Interest 2,705,133.27 2,732,867.45$ Weighted Average Coupon 1.42% 1.44%

Book Value Plus Accrued 867,401,759.73$ 867,319,883.84$ Duration 2.20 Years 2.08 Years

Net Unrealized Gain/Loss (11,217,850.16)$ (15,712,978.29)$ Weighted Effective Maturity 2.47 Years 2.30 Years

Market Value Plus Accrued(2)856,183,909.57$ 851,606,905.55$ Weighted Final Maturity 2.47 Years 2.30 Years

Net Pending Transactions 485,750.00 253,125.00

Market Value Plus Accrued Net(2)856,669,659.57$ 851,860,030.55$

City of Fort Worth Aggregate

March 2018

Net Income Portfolio Compliance Compliant

Interest Income 3,067,751.03$ Security Distribution YES

Net Amortization/Accretion (53,946.57) Maturity Distribution YES

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

Miscellaneous Income 0.00

Net Income 3,013,804.46$

Investment Management Fee (52,531.73)

Income net of Fee 2,961,272.73$

City of Fort Worth Aggregate Summary Comparison for the period December 31, 2017 to March 31, 2018

(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

December 31, 2017

Beginning Balance

March 31, 2018

Ending Balance Portfolio Allocation Distribution Change

0-3 Months 15,091,200.00$ 30,116,292.96$ 3.54% 1.77%

3-6 Months 30,017,275.14 61,888,312.48 7.27% 3.76%

6-9 Months 61,876,622.66 39,802,887.30 4.67% -2.55%

9-12 Months 56,645,468.55 71,589,019.43 8.41% 1.79%

1-2 Years 305,875,343.74 285,013,528.50 33.47% -2.26%

2-3 Years 113,612,751.82 78,554,796.73 9.22% -4.05%

3-4 Years 157,450,424.32 160,744,605.72 18.88% 0.49%

4-5 Years 49,325,527.88 48,619,490.23 5.71% -0.05%

5-6 Years 24,855,584.38 34,585,761.08 4.06% 1.16%

6 Years + 41,433,711.08 40,692,211.13 4.78% -0.06%

Total Portfolio 856,183,909.57$ 851,606,905.55$ 100.00%

City of Fort Worth Aggregate Maturity Distribution Market Value Basis December 31, 2017 to March 31, 2018

$-

$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

December 31, 2017 March 31, 2018

0-3 M3.54%

3-6 M7.27%

6-9 M4.67%

9-12 M8.41%

1-2 Yr33.47%

2-3 Yr9.22%

3-4 Yr18.88%

4-5 Yr5.71%

5-6 Yr4.06%

6 Yr +4.78%

Maturity Distribution

Page 7

S&P Rating Distribution

March 31, 2018

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 851,606,905.55 100.00%

A Rating - 0.00%

Below A - 0.00%

Not Rated - 0.00%

Total Long Term Rating 851,606,905.55$ 100.00%

Total Portfolio 851,606,905.55$ 100.00%

Moody's Rating Distribution

March 31, 2018

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 841,718,027.45$ 98.84%

Aa Rating 9,888,878.10 1.16%

A Rating - 0.00%

Below A - 0.00%

Not Rated - 0.00%

Total Long Term Rating 851,606,905.55$ 100.00%

Total Portfolio 851,606,905.55$ 100.00%

City of Fort Worth Aggregate Rating Distribution Market Value Basis as of March 31, 2018

AA Rating100.00%

Portfolio Allocation By Standard and Poors' Rating

Aaa Rating98.84%

Aa Rating1.16%

Portfolio Allocation By Moody's Rating

Page 9

Security Distribution

December 31, 2017

Beginning Balance

Portfolio

Allocation

March 31, 2018

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 367,753,666.88$ 42.95% 380,348,354.67 1.40% 44.66% 1.71% 80.00% YES

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

FNMA 216,862,309.72$ 25.33% 215,546,259.72 1.38% 25.31% -0.02% 35.00% YES

FHLMC 191,947,694.72$ 22.42% 191,355,858.61 1.53% 22.47% 0.05% 35.00% YES

FFCB 32,776,144.44$ 3.83% 32,737,464.44 1.37% 3.84% 0.02% 35.00% YES

FHLB 21,899,790.00$ 2.56% 21,730,090.00 1.97% 2.55% -0.01% 35.00% YES

Fed Instrumentality Subtotal 463,485,938.89$ 54.13% 461,369,672.78$ 1.47% 54.18% 0.04% 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 24,944,303.80$ 2.91% 9,888,878.10 2.02% 1.16% -1.75% 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 856,183,909.57$ 100.00% 851,606,905.55$ 1.44% 100.00%

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

City of Fort Worth Aggregate Market Value Basis Security Distribution December 31, 2017 to March 31, 2018

$- $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


UST44.66%

FNMA25.31%

FHLMC22.47%

FFCB3.93%

FHLB2.55%

Muni1.16%

Ending Portfolio Allocation

Page 10

Security Distribution

December 31, 2017

Beginning Balance

Portfolio

Allocation

March 31, 2018

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 370,428,811.76 42.84% 385,373,148.26 1.40% 44.56% 1.73% 80.00% YES

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

FNMA 220,074,910.00 25.45% 220,074,910.00 1.38% 25.45% 0.00% 35.00% YES

FHLMC 193,887,000.00 22.42% 193,887,000.00 1.53% 22.42% 0.00% 35.00% YES

FFCB 32,992,150.00 3.82% 32,992,150.00 1.37% 3.82% 0.00% 35.00% YES

FHLB 22,083,550.00 2.55% 22,083,550.00 1.97% 2.55% 0.00% 35.00% YES

Fed Instrumentality Subtotal 469,037,610.00$ 54.24% 469,037,610.00$ 1.47% 54.24% 0.00% 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 2.93% 10,351,696.40 2.02% 1.20% -1.73% 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 864,773,118.16$ 100.00% 864,762,454.66$ 1.44% 100.00%

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

City of Fort Worth Aggregate Historical Cost Basis Security Distribution December 31, 2017 to March 31, 2018

$-

$100,000,000

$200,000,000

$300,000,000

$400,000,000

$500,000,000

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)


UST44.56%

FNMA25.45%

FHLMC22.42%

FHLB2.55%

Muni1.20%

Ending Portfolio Allocation

Page 11

Public Trust Advisors, LLC Monthly Statement (TX)COFW Agg (79735)Quarter End (Q1 Y2018)01/01/2018 - 03/31/2018Dated: 04/13/2018Locked 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)) 7

TEXAS - Amortization Schedule (COFW Agg (79735)) 10

Total Return v. Benchmark (COFW Agg (79735)) 13

Table of ContentsDated: 04/13/2018

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

Fixed Income Holdings by Market Sector

DurationCash and Fixed Income SummaryRisk Metric Value

Cash 253,125.00

Fixed Income 851,606,905.55

Duration 2.080

Convexity -0.013

WAL 2.296

Years to Final Maturity 2.295

Years to Effective Maturity 2.295

Yield 2.340

Book Yield 1.446

Avg Credit Rating AAA/Aaa/AAA

Index Comparison Summary

COFW Portfolio Overview COFW Agg (79735)01/01/2018 - 03/31/2018 Return to Table of Contents Dated: 04/13/2018

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 2.394 655,966,081.85 646,446,606.30 -3,496,893.20 -2,632,875.00 642,949,713.10 655,624,879.24 2.079 758.786

COFW Long-Term 2.172 209,216,294.61 207,517,920.00 -1,340,470.00 -695,430.36 206,177,450.00 209,215,262.15 2.974 1,085.442

--- 2.340 865,182,376.46 853,964,526.30 -4,837,363.20 -3,328,305.36 849,127,163.10 864,840,141.39 2.296 838.136

TEXAS PUBLIC - Cover COFW Agg (79735)01/01/2018 - 03/31/2018 Return to Table of Contents Dated: 04/13/2018

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 2.279 AA+Aaa

1,050,000.00 1,050,000.00 1,037,799.00 4,666.67 1,042,465.67

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

05/23/2019 2.279 AA+Aaa

8,950,000.00 8,950,000.00 8,846,001.00 39,777.78 8,885,778.78

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

08/16/2019 2.368 AA+Aaa

8,000,000.00 7,998,997.05 7,889,920.00 13,500.00 7,903,420.00

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

10/21/2019 2.271 AA+Aaa

15,000,000.00 14,996,309.52 14,809,800.00 96,000.00 14,905,800.00

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

08/20/2019 2.297 AA+Aaa

33,000,000.00 32,995,306.56 32,583,520.00 153,944.44 32,737,464.44






313383VN8 FEDERAL HOME LOAN BANKSFHLBanks Office of Finance

09/13/2019 2.192 AA+Aaa

15,000,000.00 15,081,476.05 14,958,900.00 15,000.00 14,973,900.00

3130A7UE3 FEDERAL HOME LOAN BANKSFHLBanks Office of Finance

04/28/2026 3.499 AA+Aaa

7,000,000.00 7,079,687.66 6,696,690.00 59,500.00 6,756,190.00

--- FEDERAL HOME LOAN BANKSFHLBanks Office of Finance

10/04/2021 2.598 AA+Aaa

22,000,000.00 22,161,163.71 21,655,590.00 74,500.00 21,730,090.00






3134G9Q75 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corporation

07/26/2019 2.219 AA+Aaa

20,000,000.00 20,000,000.00 19,748,200.00 45,138.89 19,793,338.89

3134G9RQ2 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corporation

06/15/2021 3.002 AA+Aaa

20,000,000.00 20,000,000.00 19,593,400.00 88,333.33 19,681,733.33

3134GAGX6 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corporation

05/28/2020 2.752 AA+Aaa

20,000,000.00 20,000,000.00 19,414,600.00 92,250.00 19,506,850.00

3134GAXM1 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corporation

11/28/2018 2.080 AA+Aaa

15,000,000.00 15,000,000.00 14,895,600.00 52,275.00 14,947,875.00

3134G9VE4 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corporation

12/28/2018 2.096 AA+Aaa

17,000,000.00 17,000,000.00 16,875,050.00 48,308.33 16,923,358.33

3134GAHH0 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corporation

09/15/2021 2.928 AA+Aaa

20,000,000.00 20,000,000.00 19,099,200.00 13,777.78 19,112,977.78

3134GAKT0 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corporation

09/29/2021 2.816 AA+Aaa

20,000,000.00 20,000,000.00 19,687,200.00 16,944.44 19,704,144.44

3134G8UD9 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corporation

04/11/2018 1.583 AA+Aaa

15,000,000.00 15,000,000.00 14,997,300.00 74,375.00 15,071,675.00

3134G9CK1 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corporation

04/28/2026 3.590 AA+Aaa

5,000,000.00 5,079,533.50 4,816,700.00 42,500.00 4,859,200.00

3134G9Q67 FEDERAL HOME LOAN MORTGAGE CORPFederal Home Loan Mortgage Corporation

07/27/2018 1.820 AA+Aaa

17,000,000.00 17,000,000.00 16,957,160.00 31,733.33 16,988,893.33

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

04/02/2020 2.443 AA+Aaa

169,000,000.00 169,079,533.50 166,084,410.00 505,636.11 166,590,046.11

TEXAS PUBLIC - Holdings COFW Agg (79735)01/01/2018 - 03/31/2018 Return to Table of Contents Dated: 04/13/2018

3

FEDERAL NATIONAL MORTGAGE ASSOCIATION

FREDDIE MAC

LOUISIANA ST






3135G0ZA4 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

02/19/2019 2.130 AA+Aaa

10,000,000.00 10,052,229.47 9,977,600.00 21,875.00 9,999,475.00

3136G2YA9 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

11/26/2019 2.276 AA+Aaa

7,400,000.00 7,400,000.00 7,295,142.00 10,072.22 7,305,214.22

3136G2YA9 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

11/26/2019 2.276 AA+Aaa

2,600,000.00 2,600,000.00 2,563,158.00 3,538.89 2,566,696.89

3135G0K93 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

06/28/2019 2.404 AA+Aaa

20,000,000.00 20,000,000.00 19,717,800.00 64,583.33 19,782,383.33


06/28/2019 2.404 AA+Aaa

10,000,000.00 10,000,000.00 9,858,900.00 32,291.67 9,891,191.67

3136G3Q57 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

08/04/2020 2.384 AA+Aaa

15,000,000.00 15,000,000.00 14,661,450.00 33,012.50 14,694,462.50

3136G3TA3 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

06/30/2020 2.372 AA+Aaa

20,000,000.00 20,000,000.00 19,584,600.00 71,788.89 19,656,388.89

3135G0T29 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

02/28/2020 2.317 AA+Aaa

15,000,000.00 14,973,555.92 14,771,700.00 20,625.00 14,792,325.00


06/13/2019 2.186 AA+Aaa

25,000,000.00 25,000,000.00 24,767,250.00 105,000.00 24,872,250.00

3136G36C4 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

09/29/2021 2.813 AA+Aaa

20,000,000.00 20,000,000.00 19,196,600.00 1,777.78 19,198,377.78

3136G4DT7 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

04/12/2022 2.908 AA+Aaa

10,000,000.00 10,000,000.00 9,478,600.00 71,825.00 9,550,425.00

3136G33J2 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

08/24/2021 2.948 AA+Aaa

20,000,000.00 20,000,000.00 19,069,000.00 30,833.33 19,099,833.33

3136G35D3 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

09/06/2019 2.251 AA+Aaa

20,000,000.00 20,000,000.00 19,690,400.00 15,972.22 19,706,372.22

3136G3Q65 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

08/04/2021 2.805 AA+Aaa

15,000,000.00 15,000,000.00 14,407,050.00 37,050.00 14,444,100.00

3136G3XL4 FEDERAL NATIONAL MORTGAGE ASSOCIATIONFederal National Mortgage Association

07/20/2018 1.825 AA+Aaa

10,000,000.00 10,000,000.00 9,970,000.00 16,763.89 9,986,763.89

--- FEDERAL NATIONAL MORTGAGEASSOCIATIONFederal National Mortgage Association

04/30/2020 2.443 AA+Aaa

220,000,000.00 220,025,785.39 215,009,250.00 537,009.72 215,546,259.72






3137EAEE5 FREDDIE MACFederal Home Loan Mortgage Corporation

01/17/2020 2.296 AA+Aaa

10,000,000.00 9,990,779.23 9,860,300.00 30,833.33 9,891,133.33

3137EADM8 FREDDIE MACFederal Home Loan Mortgage Corporation

10/02/2019 2.238 AA+Aaa

15,000,000.00 14,943,687.19 14,781,450.00 93,229.17 14,874,679.17

--- FREDDIE MACFederal Home Loan Mortgage Corporation

11/14/2019 2.261 AA+Aaa

25,000,000.00 24,934,466.42 24,641,750.00 124,062.50 24,765,812.50






546415S50 LOUISIANA STLouisiana, State of

02/01/2018 0.000 NRWR

0.00 0.00 0.00 0.00 0.00

546415S50 LOUISIANA STLouisiana, State of

02/01/2018 0.000 NRWR

0.00 0.00 0.00 0.00 0.00


4

MASSACHUSETTS ST

Receivable

UNITED STATES TREASURY






57582PWK2 MASSACHUSETTS STMassachusetts, Commonwealth of

12/01/2021 2.985 AAAa1

9,365,000.00 10,082,241.85 9,757,768.10 131,110.00 9,888,878.10

57582PWK2 MASSACHUSETTS STMassachusetts, Commonwealth of

12/01/2021 2.985 AAAa1

9,365,000.00 10,082,241.85 9,757,768.10 131,110.00 9,888,878.10






CCYUSD Receivable---

03/31/2018 --- AAAAaa

159,375.00 159,375.00 159,375.00 0.00 159,375.00


03/31/2018 --- AAAAaa

93,750.00 93,750.00 93,750.00 0.00 93,750.00


03/31/2018 --- AAAAaa

253,125.00 253,125.00 253,125.00 0.00 253,125.00






912828TH3 UNITED STATES TREASURYGovernment of the United States

07/31/2019 2.183 AA+Aaa

30,000,000.00 29,956,990.50 29,483,400.00 43,508.29 29,526,908.29

912828F21 UNITED STATES TREASURYGovernment of the United States

09/30/2021 2.474 AA+Aaa

15,000,000.00 15,174,759.98 14,825,100.00 870.90 14,825,970.90

912828N63 UNITED STATES TREASURYGovernment of the United States

01/15/2019 2.086 AA+Aaa

25,000,000.00 25,023,700.48 24,810,500.00 59,046.96 24,869,546.96

912828P95 UNITED STATES TREASURYGovernment of the United States

03/15/2019 2.122 AA+Aaa

20,000,000.00 19,993,474.82 19,787,400.00 9,239.13 19,796,639.13

9128282B5 UNITED STATES TREASURYGovernment of the United States

08/15/2019 2.205 AA+Aaa

20,000,000.00 19,950,534.24 19,605,400.00 18,646.41 19,624,046.41

912828XS4 UNITED STATES TREASURYGovernment of the United States

05/31/2019 2.169 AA+Aaa

20,000,000.00 19,991,310.91 19,788,000.00 83,791.21 19,871,791.21

912828XR6 UNITED STATES TREASURYGovernment of the United States

05/31/2022 2.525 AA+Aaa

15,000,000.00 14,934,086.75 14,542,050.00 87,980.77 14,630,030.77

912828XV7 UNITED STATES TREASURYGovernment of the United States

06/30/2019 2.189 AA+Aaa

15,000,000.00 14,980,520.41 14,826,150.00 47,133.98 14,873,283.98

912828RR3 UNITED STATES TREASURYGovernment of the United States

11/15/2021 2.472 AA+Aaa

10,000,000.00 10,114,218.16 9,836,900.00 75,690.61 9,912,590.61

912828L24 UNITED STATES TREASURYGovernment of the United States

08/31/2022 2.540 AA+Aaa

10,000,000.00 10,034,318.56 9,723,300.00 16,304.35 9,739,604.35

912828X96 UNITED STATES TREASURYGovernment of the United States

05/15/2020 2.321 AA+Aaa

15,000,000.00 15,018,208.27 14,745,450.00 85,151.93 14,830,601.93

912828SF8 UNITED STATES TREASURYGovernment of the United States

02/15/2022 2.488 AA+Aaa

5,000,000.00 5,044,856.98 4,910,150.00 12,430.94 4,922,580.94

912828WR7 UNITED STATES TREASURYGovernment of the United States

06/30/2021 2.446 AA+Aaa

10,000,000.00 10,100,358.15 9,900,000.00 53,418.51 9,953,418.51

912828G95 UNITED STATES TREASURYGovernment of the United States

12/31/2019 2.268 AA+Aaa

10,000,000.00 10,030,918.41 9,889,700.00 40,849.45 9,930,549.45

912828XU9 UNITED STATES TREASURYGovernment of the United States

06/15/2020 2.327 AA+Aaa

10,000,000.00 9,997,971.36 9,822,400.00 44,093.41 9,866,493.41

912828UN8 UNITED STATES TREASURYGovernment of the United States

02/15/2023 2.568 AA+Aaa

5,000,000.00 5,020,148.14 4,870,350.00 12,430.94 4,882,780.94


5

Summary

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






912828XB1 UNITED STATES TREASURYGovernment of the United States

05/15/2025 2.708 AA+Aaa

5,000,000.00 4,999,869.78 4,812,150.00 40,210.64 4,852,360.64

912828XQ8 UNITED STATES TREASURYGovernment of the United States

07/31/2022 2.529 AA+Aaa

10,000,000.00 10,044,627.99 9,783,500.00 33,149.17 9,816,649.17

912828X70 UNITED STATES TREASURYGovernment of the United States

04/30/2024 2.662 AA+Aaa

5,000,000.00 4,989,897.22 4,814,950.00 41,988.95 4,856,938.95

912828M56 UNITED STATES TREASURYGovernment of the United States

11/15/2025 2.727 AA+Aaa

10,000,000.00 10,013,414.11 9,673,200.00 85,151.93 9,758,351.93

9128282R0 UNITED STATES TREASURYGovernment of the United States

08/15/2027 2.759 AA+Aaa

10,000,000.00 9,958,180.38 9,581,200.00 27,969.61 9,609,169.61

912828U57 UNITED STATES TREASURYGovernment of the United States

11/30/2023 2.627 AA+Aaa

20,000,000.00 19,995,660.24 19,473,200.00 142,445.05 19,615,645.05

912828R93 UNITED STATES TREASURYGovernment of the United States

06/30/2018 1.760 AA+Aaa

20,000,000.00 20,002,586.41 19,941,800.00 31,422.65 19,973,222.65

9128282C3 UNITED STATES TREASURYGovernment of the United States

08/31/2018 1.871 AA+Aaa

15,000,000.00 14,999,674.26 14,929,650.00 9,782.61 14,939,432.61

912828XA3 UNITED STATES TREASURYGovernment of the United States

05/15/2018 1.619 AA+Aaa

15,000,000.00 15,001,833.33 14,987,850.00 56,767.96 15,044,617.96

912828T42 UNITED STATES TREASURYGovernment of the United States

09/30/2018 1.912 AA+Aaa

5,000,000.00 4,998,942.95 4,970,900.00 102.46 4,971,002.46

912828T42 UNITED STATES TREASURYGovernment of the United States

09/30/2018 1.912 AA+Aaa

20,000,000.00 19,991,509.79 19,883,600.00 409.84 19,884,009.84

912828VS6 UNITED STATES TREASURYGovernment of the United States

08/15/2023 2.602 AA+Aaa

15,000,000.00 14,945,946.40 14,923,500.00 46,616.02 14,970,116.02

--- UNITED STATES TREASURYGovernment of the United States

10/20/2020 2.258 AA+Aaa

385,000,000.00 385,308,518.96 379,141,750.00 1,206,604.67 380,348,354.67






--- ------

07/16/2020 2.360 AA+Aaa

863,618,125.00 864,840,141.39 849,127,163.10 2,732,867.45 851,860,030.55


6

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 13,220.93 48,220.93

LT AGCY BOND 313383VN8 FEDERAL HOME LOAN BANKS 15,000,000.00 0.00 15,000,000.00 75,000.00 -13,660.32 61,339.68

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

LT AGCY BOND 3133EFD20 FEDERAL FARM CREDIT BANKS FUNDINGCORP

8,950,000.00 0.00 8,950,000.00 27,968.75 0.00 27,968.75

LT AGCY BOND 3133EFZU4 FEDERAL FARM CREDIT BANKS FUNDINGCORP

8,000,000.00 0.00 8,000,000.00 27,000.00 177.46 27,177.46

LT AGCY BOND 3133EHGA5 FEDERAL FARM CREDIT BANKS FUNDINGCORP

15,000,000.00 0.00 15,000,000.00 54,000.00 578.66 54,578.66

LT AGCY BOND 3134G9CK1 FEDERAL HOME LOAN MORTGAGE CORP 5,000,000.00 0.00 5,000,000.00 25,000.00 11,110.14 36,110.14

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 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 20,000,000.00 0.00 20,000,000.00 77,500.00 0.00 77,500.00

LT AGCY BOND 3134GAKT0 FEDERAL HOME LOAN MORTGAGE CORP 20,000,000.00 0.00 20,000,000.00 68,888.89 0.00 68,888.89

LT AGCY BOND 3135G0K85 FEDERAL NATIONAL MORTGAGEASSOCIATION

25,000,000.00 0.00 25,000,000.00 87,500.00 0.00 87,500.00


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 3,343.83 59,593.83

LT AGCY BOND 3135G0ZA4 FEDERAL NATIONAL MORTGAGEASSOCIATION

10,000,000.00 -10,000,000.00 0.00 25,000.00 -7,764.80 17,235.20

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

20,000,000.00 0.00 20,000,000.00 75,000.00 0.00 75,000.00

LT AGCY BOND 3136G35D3 FEDERAL NATIONAL MORTGAGEASSOCIATION

20,000,000.00 0.00 20,000,000.00 57,500.00 0.00 57,500.00

LT AGCY BOND 3136G36C4 FEDERAL NATIONAL MORTGAGEASSOCIATION

20,000,000.00 0.00 20,000,000.00 80,000.00 0.00 80,000.00

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

LT AGCY BOND 3136G3Q65 FEDERAL NATIONAL MORTGAGEASSOCIATION

15,000,000.00 0.00 15,000,000.00 58,500.00 0.00 58,500.00

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

10,000,000.00 0.00 10,000,000.00 38,250.00 0.00 38,250.00

LT AGCY BOND 3137EADM8 FREDDIE MAC 15,000,000.00 0.00 15,000,000.00 46,875.00 9,127.68 56,002.68

LT AGCY BOND 3137EAEE5 FREDDIE MAC 10,000,000.00 0.00 10,000,000.00 37,500.00 1,254.94 38,754.94

LT MUNI 57582PWK2 MASSACHUSETTS ST 9,365,000.00 0.00 9,365,000.00 98,332.50 -46,428.13 51,904.37

LT US GOV 9128282B5 UNITED STATES TREASURY 20,000,000.00 0.00 20,000,000.00 36,988.80 8,801.58 45,790.38

LT US GOV 9128282R0 UNITED STATES TREASURY 10,000,000.00 0.00 10,000,000.00 55,483.20 1,040.04 56,523.24

LT US GOV 912828F21 UNITED STATES TREASURY 15,000,000.00 0.00 15,000,000.00 78,807.03 -11,923.44 66,883.58

LT US GOV 912828G95 UNITED STATES TREASURY 10,000,000.00 0.00 10,000,000.00 40,400.55 -4,341.89 36,058.66

LT US GOV 912828L24 UNITED STATES TREASURY 10,000,000.00 0.00 10,000,000.00 46,345.78 -1,829.51 44,516.27

LT US GOV 912828M56 UNITED STATES TREASURY 10,000,000.00 0.00 10,000,000.00 55,939.23 -400.51 55,538.72

LT US GOV 912828N63 UNITED STATES TREASURY 25,000,000.00 -25,000,000.00 0.00 10,699.73 -1,131.95 9,567.78

LT US GOV 912828P95 UNITED STATES TREASURY 20,000,000.00 -20,000,000.00 0.00 40,331.49 1,368.77 41,700.26

TEXAS - Interest Earnings COFW Agg (79735)01/01/2018 - 03/31/2018 Return to Table of Contents Dated: 04/13/2018

7

Receivable

ST

Summary

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

LT US GOV 912828RR3 UNITED STATES TREASURY 10,000,000.00 0.00 10,000,000.00 49,723.76 -7,591.34 42,132.42

LT US GOV 912828SF8 UNITED STATES TREASURY 5,000,000.00 0.00 5,000,000.00 24,659.20 -2,719.27 21,939.93

LT US GOV 912828TH3 UNITED STATES TREASURY 30,000,000.00 0.00 30,000,000.00 64,907.74 7,913.96 72,821.70

LT US GOV 912828U57 UNITED STATES TREASURY 20,000,000.00 0.00 20,000,000.00 105,082.42 177.98 105,260.40

LT US GOV 912828UN8 UNITED STATES TREASURY 5,000,000.00 0.00 5,000,000.00 24,659.20 -970.28 23,688.92

LT US GOV 912828VS6 UNITED STATES TREASURY 0.00 15,000,000.00 15,000,000.00 60,882.88 1,609.90 62,492.78

LT US GOV 912828WR7 UNITED STATES TREASURY 10,000,000.00 0.00 10,000,000.00 52,831.49 -7,459.51 45,371.98

LT US GOV 912828X70 UNITED STATES TREASURY 5,000,000.00 0.00 5,000,000.00 24,861.88 386.88 25,248.76

LT US GOV 912828X96 UNITED STATES TREASURY 15,000,000.00 0.00 15,000,000.00 55,939.23 -2,097.88 53,841.34

LT US GOV 912828XB1 UNITED STATES TREASURY 5,000,000.00 0.00 5,000,000.00 26,415.75 4.20 26,419.95

LT US GOV 912828XQ8 UNITED STATES TREASURY 10,000,000.00 0.00 10,000,000.00 49,453.52 -2,440.12 47,013.40

LT US GOV 912828XR6 UNITED STATES TREASURY 15,000,000.00 0.00 15,000,000.00 64,903.85 3,758.64 68,662.49

LT US GOV 912828XS4 UNITED STATES TREASURY 20,000,000.00 0.00 20,000,000.00 61,813.19 1,829.18 63,642.37

LT US GOV 912828XU9 UNITED STATES TREASURY 10,000,000.00 0.00 10,000,000.00 37,087.91 228.41 37,316.32

LT US GOV 912828XV7 UNITED STATES TREASURY 15,000,000.00 0.00 15,000,000.00 46,616.02 3,847.29 50,463.31

LT --- --- --- 699,365,000.00 -40,000,000.00 659,365,000.00 2,626,055.23 -40,978.49 2,585,076.74



Receivable CASH CCYUSD Receivable 423,250.00 -263,875.00 159,375.00 0.00 0.00 0.00

Receivable CASH CCYUSD Receivable 62,500.00 31,250.00 93,750.00 0.00 0.00 0.00

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



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 0.00 17,000,000.00 44,625.00 0.00 44,625.00

ST AGCY BOND 3134G9VE4 FEDERAL HOME LOAN MORTGAGE CORP 17,000,000.00 0.00 17,000,000.00 46,750.00 0.00 46,750.00

ST AGCY BOND 3134GAXM1 FEDERAL HOME LOAN MORTGAGE CORP 15,000,000.00 0.00 15,000,000.00 38,250.00 0.00 38,250.00

ST AGCY BOND 3135G0ZA4 FEDERAL NATIONAL MORTGAGEASSOCIATION

0.00 10,000,000.00 10,000,000.00 21,875.00 -6,647.06 15,227.94

ST AGCY BOND 3136G3XL4 FEDERAL NATIONAL MORTGAGEASSOCIATION

10,000,000.00 0.00 10,000,000.00 21,250.00 0.00 21,250.00

ST MUNI 546415S50 LOUISIANA ST 15,000,000.00 -15,000,000.00 0.00 18,750.00 987.50 19,737.50

ST US GOV 9128282C3 UNITED STATES TREASURY 15,000,000.00 0.00 15,000,000.00 27,807.47 215.82 28,023.29

ST US GOV 912828N63 UNITED STATES TREASURY 0.00 25,000,000.00 25,000,000.00 59,046.96 -6,278.08 52,768.88

ST US GOV 912828P95 UNITED STATES TREASURY 0.00 20,000,000.00 20,000,000.00 9,239.13 315.18 9,554.31

ST US GOV 912828R93 UNITED STATES TREASURY 20,000,000.00 0.00 20,000,000.00 31,077.35 -2,586.41 28,490.94

ST US GOV 912828T42 UNITED STATES TREASURY 5,000,000.00 0.00 5,000,000.00 9,271.42 532.24 9,803.66

ST US GOV 912828T42 UNITED STATES TREASURY 20,000,000.00 0.00 20,000,000.00 37,085.66 4,242.72 41,328.38

ST US GOV 912828XA3 UNITED STATES TREASURY 15,000,000.00 0.00 15,000,000.00 37,292.82 -3,750.00 33,542.82

ST --- --- --- 164,000,000.00 40,000,000.00 204,000,000.00 441,695.80 -12,968.08 428,727.72



--- --- --- --- 863,850,750.00 -232,625.00 863,618,125.00 3,067,751.03 -53,946.57 3,013,804.47


8

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

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


9

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 7,066,466.73 87,466.73 13,220.93 0.00 100,687.66

LT COFW Short-Term 313383VN8 FEDERAL HOME LOAN BANKS AGCY BOND DC 15,095,136.37 -9,413.63 -13,660.32 0.00 -23,073.95

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 Short-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 7,998,819.59 819.59 177.46 0.00 997.05

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

AGCY BOND NJ 14,995,730.86 1,580.86 578.66 0.00 2,159.52

LT COFW Long-Term 3134G9CK1 FEDERAL HOME LOAN MORTGAGE CORP AGCY BOND VA 5,068,423.36 73,423.36 11,110.14 0.00 84,533.50

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

LT COFW Short-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 3135G0K85 FEDERAL NATIONAL MORTGAGEASSOCIATION

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


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


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 14,970,212.09 10,202.09 3,343.83 0.00 13,545.92

LT COFW Short-Term 3135G0ZA4 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 10,066,641.33 -48,258.67 48,258.67 0.00 0.00

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 Short-Term 3136G33J2 FEDERAL NATIONAL MORTGAGEASSOCIATION

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

LT COFW Short-Term 3136G35D3 FEDERAL NATIONAL MORTGAGEASSOCIATION

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

LT COFW Short-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 Short-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 Short-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 14,934,559.51 27,859.51 9,127.68 0.00 36,987.19

LT COFW Short-Term 3137EAEE5 FREDDIE MAC AGCY BOND VA 9,989,524.28 4,224.28 1,254.94 0.00 5,479.23

LT COFW Short-Term 57582PWK2 MASSACHUSETTS ST MUNI MA 10,128,669.98 -223,026.42 -46,428.13 0.00 -269,454.55

LT COFW Short-Term 9128282B5 UNITED STATES TREASURY US GOV DC 19,941,732.66 38,606.66 8,801.58 0.00 47,408.24

LT COFW Long-Term 9128282R0 UNITED STATES TREASURY US GOV DC 9,957,140.34 890.34 1,040.04 0.00 1,930.38

LT COFW Short-Term 912828F21 UNITED STATES TREASURY US GOV DC 15,186,683.42 -20,153.08 -11,923.44 0.00 -32,076.52

LT COFW Short-Term 912828G95 UNITED STATES TREASURY US GOV DC 10,035,260.30 -14,348.70 -4,341.89 0.00 -18,690.59

LT COFW Short-Term 912828L24 UNITED STATES TREASURY US GOV DC 10,036,148.07 -2,131.93 -1,829.51 0.00 -3,961.44

LT COFW Long-Term 912828M56 UNITED STATES TREASURY US GOV DC 10,013,814.62 -248.38 -400.51 0.00 -648.89

LT COFW Short-Term 912828N63 UNITED STATES TREASURY US GOV DC 25,031,110.51 -51,896.99 51,896.99 0.00 0.00

TEXAS - Amortization Schedule COFW Agg (79735)01/01/2018 - 03/31/2018 Return to Table of Contents Dated: 04/13/2018

10

Receivable

ST

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

Accretion


Accretion


Accretion


Accretion

LT COFW Short-Term 912828P95 UNITED STATES TREASURY US GOV DC 19,991,790.87 7,414.87 -7,414.87 0.00 0.00

LT COFW Short-Term 912828RR3 UNITED STATES TREASURY US GOV DC 10,121,809.50 -8,660.50 -7,591.34 0.00 -16,251.84

LT COFW Short-Term 912828SF8 UNITED STATES TREASURY US GOV DC 5,047,576.25 -5,548.75 -2,719.27 0.00 -8,268.02

LT COFW Short-Term 912828TH3 UNITED STATES TREASURY US GOV DC 29,949,076.54 34,624.54 7,913.96 0.00 42,538.50

LT COFW Long-Term 912828U57 UNITED STATES TREASURY US GOV DC 19,995,482.27 170.27 177.98 0.00 348.24

LT COFW Long-Term 912828UN8 UNITED STATES TREASURY US GOV DC 5,021,118.42 -1,928.58 -970.28 0.00 -2,898.86

LT COFW Long-Term 912828VS6 UNITED STATES TREASURY US GOV DC 0.00 0.00 1,609.90 0.00 1,609.90

LT COFW Short-Term 912828WR7 UNITED STATES TREASURY US GOV DC 10,107,817.66 -24,604.22 -7,459.51 0.00 -32,063.73

LT COFW Long-Term 912828X70 UNITED STATES TREASURY US GOV DC 4,989,510.33 838.34 386.88 0.00 1,225.22

LT COFW Short-Term 912828X96 UNITED STATES TREASURY US GOV DC 15,020,306.16 -4,889.34 -2,097.88 0.00 -6,987.23

LT COFW Long-Term 912828XB1 UNITED STATES TREASURY US GOV DC 4,999,865.57 61.07 4.20 0.00 65.28

LT COFW Long-Term 912828XQ8 UNITED STATES TREASURY US GOV DC 10,047,068.10 -4,103.66 -2,440.12 0.00 -6,543.77

LT COFW Short-Term 912828XR6 UNITED STATES TREASURY US GOV DC 14,930,328.10 6,499.60 3,758.64 0.00 10,258.25

LT COFW Short-Term 912828XS4 UNITED STATES TREASURY US GOV DC 19,989,481.73 4,325.73 1,829.18 0.00 6,154.91

LT COFW Short-Term 912828XU9 UNITED STATES TREASURY US GOV DC 9,997,742.95 476.95 228.41 0.00 705.36

LT COFW Short-Term 912828XV7 UNITED STATES TREASURY US GOV DC 14,976,673.12 7,728.00 3,847.29 0.00 11,575.29

LT --- --- --- --- --- 700,701,721.60 -112,000.06 59,290.28 0.00 -52,709.78


Accretion


Accretion


Accretion


Accretion

Receivable COFW Short-Term CCYUSD Receivable CASH --- 423,250.00 0.00 0.00 0.00 0.00

Receivable COFW Long-Term CCYUSD Receivable CASH --- 62,500.00 0.00 0.00 0.00 0.00

Receivable --- CCYUSD Receivable CASH --- 485,750.00 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 Long-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 3134G9VE4 FEDERAL HOME LOAN MORTGAGE CORP AGCY BOND VA 17,000,000.00 0.00 0.00 0.00 0.00

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

ST COFW Short-Term 3135G0ZA4 FEDERAL NATIONAL MORTGAGEASSOCIATION

AGCY BOND DC 0.00 0.00 -62,670.53 0.00 -62,670.53

ST COFW Long-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 14,999,012.50 44,012.50 -44,012.50 -45,000.00 0.00

ST COFW Long-Term 9128282C3 UNITED STATES TREASURY US GOV DC 14,999,458.44 920.94 215.82 0.00 1,136.76

ST COFW Short-Term 912828N63 UNITED STATES TREASURY US GOV DC 0.00 0.00 -59,307.02 0.00 -59,307.02

ST COFW Short-Term 912828P95 UNITED STATES TREASURY US GOV DC 0.00 0.00 9,098.82 0.00 9,098.82

ST COFW Long-Term 912828R93 UNITED STATES TREASURY US GOV DC 20,005,172.81 -11,233.19 -2,586.41 0.00 -13,819.59

ST COFW Long-Term 912828T42 UNITED STATES TREASURY US GOV DC 4,998,410.71 2,316.71 532.24 0.00 2,848.95

ST COFW Long-Term 912828T42 UNITED STATES TREASURY US GOV DC 19,987,267.08 18,517.08 4,242.72 0.00 22,759.79

ST COFW Long-Term 912828XA3 UNITED STATES TREASURY US GOV DC 15,005,583.33 -19,025.67 -3,750.00 0.00 -22,775.67

ST --- --- --- --- --- 163,994,904.86 35,508.36 -158,236.85 -45,000.00 -122,728.49


11

Summary

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


Accretion


Accretion


Accretion


Accretion

--- --- --- --- --- --- 865,182,376.46 -76,491.70 -98,946.57 -45,000.00 -175,438.26


12

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 02/01/2018 02/28/2018 -0.074% 0.115% -0.189%

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

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

Trailing Month 03/01/2018 03/31/2018 0.310% 0.120% 0.189%

Trailing Quarter 01/01/2018 03/31/2018 -0.172% 0.352% -0.524%

Trailing Year 04/01/2017 03/31/2018 0.147% 1.330% -1.183%

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 03/31/2018 Return to Table of Contents Dated: 04/13/2018

13

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

DisclaimerReturn to Table of Contents Dated: 04/13/2018

14

Please see disclosure page at the end of this presentation.

Investment Management Update & Performance ReviewPrepared for: City of Fort Worth April 26, 2018

Presented by: Chris Chandler, 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: MARCH 31, 2018

TOTAL PORTFOLIO PERFORMANCE WITH BENCHMARKS (CONSOLIDATED) - REPORT PERIOD: 7/1/13 TO 3/31/18 AGG453079 FORT WORTH PERMANE

PERFORMANCE SUMMARYLAST YEAR TO LAST 12 LAST 3 SINCE

MONTH DATE MONTHS YEARS1

INCEPTION1

TOTAL PORTFOLIO (Net of fees) -0.23% -0.74% 7.19% 3.88% 4.32%

BBG BARC Aggregate Bond Index 0.64% -1.46% 1.20% 1.20% 2.43% BBG BARC 1-15 Yr Muni Blend (1-17) 0.22% -0.91% 1.81% 1.78% 2.82% BBG BARC High Yield Corporate Index -0.60% -0.86% 3.78% 5.17% 5.58% BBG BARC High Yield Municipal Index 1.46% 0.58% 6.03% 4.59% 5.20% JP Morgan GBI x US 1.88% 4.45% 12.61% 5.08% 2.30% JP Morgan EMBI Global Index 0.38% -1.78% 3.34% 5.48% 5.45% BBG BARC Multiverse Index 1.00% 1.29% 7.04% 3.41% 2.38%

Standard & Poor's 500 Stock Index -2.54% -0.76% 13.97% 10.76% 13.35% Russell Midcap Index 0.06% -0.46% 12.20% 8.01% 12.24% Russell 2000 Index 1.29% -0.08% 11.79% 8.39% 11.39% MSCI EAFE Net Index -1.80% -1.53% 14.80% 5.55% 7.07% MSCI Emerging Mkts Index-Net -1.86% 1.42% 24.93% 8.81% 7.14% MSCI All Country World Index -2.08% -0.84% 15.44% 8.71% 10.38%

FTSE EPRA/NAREIT Developed Index 2.47% -4.31% 4.20% 2.43% 6.05% Bloomberg Commodity Total Return Index -0.62% -0.40% 3.71% -3.21% -6.81%

HFRI Fund Weighted Composite Index (updated) -0.25% 0.38% 6.32% 3.60% 4.59% HFRI Relative Value (Total) Index (updated) 0.02% 1.25% 4.15% 3.92% 4.56% HFRI Macro (Total) Index (updated) -0.18% -0.04% 2.26% -0.42% 1.68% HFRI Event-Driven (Total) Index (updated) -0.49% 0.60% 5.66% 4.28% 4.70% HFRI Equity Hedge (Total) Index (updated) -0.31% 0.84% 9.96% 5.37% 6.08%

Lipper Money Market Index 0.09% 0.27% 0.83% 0.35% 0.23%

1 Annualized Return

Consolidated Copyright 2018, Investment Scorecard 2355-5092542-2018-Q1 April 10, 2018 12:08 AMPage 1 of 9

PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY (CONSOLIDATED) - REPORT PERIOD: 7/1/13 TO 3/31/18 AGG453079 FORT WORTH PERMANEN

ALLOCATION (BY CLASS) PORTFOLIO GROWTH OVER TIME

Fixed Income 27.45%

Equities 40.76%

Real Assets 9.85%

Alternative Investments 12.87%

Cash & Equivalents 9.07%

$0

$20,000,000

$40,000,000

$60,000,000

$80,000,000

9/13 3/14 9/14 3/15 9/15 3/16 9/16 3/17 9/17 3/18Ending Market ValueNet Contributions/Withdrawals

PORTFOLIO SUMMARY YEAR TO LAST 12 LAST 3 SINCEDATE MONTHS YEARS INCEPTION

Beginning Value1

73,103,587 66,406,826 58,752,568 35,832,362Net Contributions & Withdrawals 2 1,479,094 2,820,399 7,521,217 26,425,380Investment Gain or Loss

1 -558,407 4,797,048 7,750,488 11,766,532

Ending Value1

74,024,273 74,024,273 74,024,273 74,024,273

PERFORMANCE SUMMARYENDING CURRENT

MARKET PORTFOLIO YEAR TO LAST 12 LAST 3 SINCEVALUE

1 ALLOCATION DATE MONTHS YEARS

3 INCEPTION

3

TOTAL PORTFOLIO (Net of fees) 74,024,273 100.00% -0.74% 7.19% 3.88% 4.32%

FIXED INCOME 20,319,370 27.45% -0.42% 1.39% 1.64% 1.75% BBG BARC 1-5 Year Govt/Credit -0.50% 0.19% 0.77% 1.16% BBG BARC Aggregate Bond Index -1.46% 1.20% 1.20% 2.43% BBG BARC 1-15 Yr Muni Blend (1-17) -0.91% 1.81% 1.78% 2.82% BBG BARC High Yield Corporate Index -0.86% 3.78% 5.17% 5.58% BBG BARC High Yield Municipal Index 0.58% 6.03% 4.59% 5.20% JP Morgan GBI x US 4.45% 12.61% 5.08% 2.30% JP Morgan EMBI Global Index -1.78% 3.34% 5.48% 5.45% BBG BARC Multiverse Index 1.29% 7.04% 3.41% 2.38%

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 3/31/18 AGG453079 FORT WORTH PERMANEN




1 INCEPTION

1

EQUITIES 30,174,543 40.76% 0.36% 16.42% 8.73% 10.21%3

Standard & Poor's 500 Stock Index -0.76% 13.97% 10.76% 13.35% Russell Midcap Index -0.46% 12.20% 8.01% 12.24% Russell 2000 Index -0.08% 11.79% 8.39% 11.39% MSCI EAFE Net Index -1.53% 14.80% 5.55% 7.07% MSCI Emerging Mkts Index-Net 1.42% 24.93% 8.81% 7.14% MSCI All Country World Index -0.84% 15.44% 8.71% 10.38%

REAL ASSETS 7,290,880 9.85% -5.81% -0.24% -0.34% 2.88% FTSE NAREIT All Equity REIT Index -6.66% -1.09% 2.90% 7.51% FTSE EPRA/NAREIT Developed Index -4.31% 4.20% 2.43% 6.05% Bloomberg Commodity Total Return Index -0.40% 3.71% -3.21% -6.81%

ALTERNATIVE INVESTMENTS 9,526,171 12.87% -0.37% 4.66% 2.06% 2.90% 3

HFRX Global Hedge Fund Index -1.02% 3.20% 0.51% 1.35% HFRI Fund Weighted Composite Index (updated) 0.38% 6.32% 3.60% 4.59% HFRI Relative Value (Total) Index (updated) 1.25% 4.15% 3.92% 4.56% HFRI Macro (Total) Index (updated) -0.04% 2.26% -0.42% 1.68% HFRI Event-Driven (Total) Index (updated) 0.60% 5.66% 4.28% 4.70% HFRI Equity Hedge (Total) Index (updated) 0.84% 9.96% 5.37% 6.08%

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

CASH & EQUIVALENTS 6,713,309 9.07% 0.30% 0.88% 0.38% 0.24% Lipper Money Market Index 0.27% 0.83% 0.35% 0.23%

1Annualized Return

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


ANNUAL PERIOD PERFORMANCE (CONSOLIDATED) - REPORT PERIOD: 7/1/13 TO 3/31/18: FYE - SEPTEMBER AGG453079 FORT WORTH PERMANENT

PERFORMANCE SUMMARYFYTD 2017 2016 2015 2014 2013

TOTAL PORTFOLIO (Net of fees) 2.02% 8.69% 6.88% -2.50% 4.49% -

FIXED INCOME -0.28% 2.05% 3.56% 0.51% 2.09% - BBG BARC 1-5 Year Govt/Credit -0.80% 0.51% 2.06% 1.97% 1.15% - BBG BARC Aggregate Bond Index -1.08% 0.07% 5.19% 2.94% 3.96% - BBG BARC 1-15 Yr Muni Blend (1-17) -0.76% 0.97% 4.34% 2.61% 5.77% - BBG BARC High Yield Corporate Index -0.39% 8.88% 12.73% -3.43% 7.20% - BBG BARC High Yield Municipal Index 2.43% 1.43% 11.32% 1.24% 11.96% - JP Morgan GBI x US 6.10% -3.73% 13.00% -6.36% -1.11% - JP Morgan EMBI Global Index -1.25% 4.15% 16.82% -1.96% 8.28% - BBG BARC Multiverse Index 2.37% -0.56% 9.23% -3.56% 1.40% -

EQUITIES 5.44% 19.68% 11.88% -5.30% 9.33% - Standard & Poor's 500 Stock Index 5.82% 18.58% 15.39% -0.62% 19.70% - Russell Midcap Index 5.58% 15.32% 14.25% -0.25% 15.83% - Russell 2000 Index 3.25% 20.74% 15.47% 1.25% 3.93% - MSCI EAFE Net Index 2.63% 19.10% 6.52% -8.66% 4.25% - MSCI Emerging Mkts Index-Net 8.96% 22.46% 16.78% -19.28% 4.30% - MSCI All Country World Index 4.95% 19.29% 12.60% -6.16% 11.89% -

REAL ASSETS -2.64% -0.15% 11.84% 0.28% 5.97% - FTSE NAREIT All Equity REIT Index -4.35% 2.57% 20.94% 7.84% 13.17% - FTSE EPRA/NAREIT Developed Index -0.65% 1.52% 15.85% 3.53% 6.68% - Bloomberg Commodity Total Return Index 4.29% -0.29% -2.58% -25.99% -6.58% -

ALTERNATIVE INVESTMENTS 2.30% 6.28% 1.67% 0.07% 3.81% - HFRX Global Hedge Fund Index 0.46% 5.64% 0.72% -4.74% 3.54% - HFRI Fund Weighted Composite Index (updated) 2.95% 7.11% 4.99% -1.68% 6.41% - HFRI Relative Value (Total) Index (updated) 2.33% 5.95% 5.44% -0.95% 7.45% - HFRI Macro (Total) Index (updated) 2.36% -0.85% 1.63% 1.15% 5.10% - HFRI Event-Driven (Total) Index (updated) 2.53% 9.29% 6.42% -4.56% 6.43% - HFRI Equity Hedge (Total) Index (updated) 4.21% 10.98% 5.98% -2.70% 6.63% -

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

CASH & EQUIVALENTS 0.52% 0.50% 0.13% 0.00% 0.00% - Lipper Money Market Index 0.49% 0.50% 0.07% 0.01% 0.01% -


PORTFOLIO ALLOCATION OVER TIME (CONSOLIDATED) - REPORT PERIOD: 7/1/13 TO 3/31/18 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

3/18

Fixed Income

Equities

Real Assets

Alternative Assets

Cash & Equivalents

ENDING CURRENTCLASS MARKET PORTFOLIO

VALUE 1 ALLOCATIONFIXED INCOME 21,213,295 28.66%

EQUITIES 30,174,543 40.76%

REAL ASSETS 7,290,880 9.85%

ALTERNATIVE ASSETS 8,632,247 11.66%

CASH & EQUIVALENTS 6,713,309 9.07%

TOTAL PORTFOLIO 74,024,273 100.00%

1 Values include Accrued Income.


Holdings ExpandedAs of April 18, 2018

April 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 $71,575,246 $66,839,751 $4,735,496 $1,289,025 1.80% 95.6%Cash Alternatives 3,450,379 3,450,379 0 53,250 1.54% 4.6%

Cash Alternatives 3,450,379 3,450,379 0 53,250 1.54% 4.6%Cash Equivalents 3,450,379 3,450,379 0 53,250 1.54% 4.6%

BLACKROCK INSTL FDS TREAS TR#62 3,450,379 1.00 3,450,379 3,450,379 0 53,250 1.54% 4.6%

CASH 0 1.00 0 0 0 0 % 0.0%Fixed Income 20,215,991 20,619,214 (403,223) 551,315 2.73% 27.0%

U.S. Investment Grade Bonds 16,187,622 16,621,598 (433,976) 374,218 2.31% 21.6%Funds 1,450,188 1,483,000 (32,812) 38,373 2.65% 1.9%VANGUARD INFLAT-PROT SECS-ADM #5119 57,274 25.32 1,450,188 1,483,000 (32,812) 38,373 2.65% 1.9%

Corporate Bonds 7,325,909 7,583,273 (257,364) 200,914 2.74% 9.8%AMERIPRISE FINANCIAL 5.300% 3/15/20 150,000 1.04 155,990 172,140 (16,150) 7,950 5.10% 0.2%APPLE INC 2.100% 5/06/19 50,000 1.00 49,908 50,226 (319) 1,050 2.10% 0.1%APPLE INC 2.150% 2/09/22 100,000 0.97 97,023 98,363 (1,340) 2,150 2.22% 0.1%APPLE INC 2.700% 5/13/22 100,000 0.99 98,642 100,528 (1,886) 2,700 2.74% 0.1%BANK OF NEW YORK MEL 2.100% 8/01/18 50,000 1.00 49,961 50,982 (1,020) 1,050 2.10% 0.1%BANK OF NOVA SCOTIA 2.050% 6/05/19 100,000 0.99 99,203 100,481 (1,278) 2,050 2.07% 0.1%BANK OF NOVA SCOTIA 2.050% 10/30/18 100,000 1.00 99,841 100,402 (562) 2,050 2.05% 0.1%BERKSHIRE HATHAWAY 2.000% 8/15/18 50,000 1.00 49,949 50,796 (848) 1,000 2.00% 0.1%BERKSHIRE HATHAWAY 2.200% 3/15/21 200,000 0.98 196,850 205,037 (8,187) 4,400 2.24% 0.3%CANADIAN IMPERIAL BA 2.100% 10/05/20 50,000 0.98 48,790 49,630 (840) 1,050 2.15% 0.1%CHASE ISSUANCE TRUST 1.580% 8/16/21 200,000 0.99 197,104 198,367 (1,263) 3,160 1.60% 0.3%CHEVRON CORP 2.355% 12/05/22 300,000 0.97 290,298 301,170 (10,872) 7,065 2.43% 0.4%CHEVRON CORP 2.427% 6/24/20 100,000 0.99 99,375 102,089 (2,714) 2,427 2.44% 0.1%EMERSON ELECTRIC CO 4.875% 10/15/19 75,000 1.03 77,328 83,874 (6,546) 3,656 4.73% 0.1%EXXON MOBIL CORPORAT 2.397% 3/06/22 150,000 0.98 147,099 151,570 (4,472) 3,596 2.44% 0.2%GENERAL ELEC CAP COR 4.375% 9/16/20 75,000 1.03 77,134 78,735 (1,601) 3,281 4.25% 0.1%HSBC USA INC 2.625% 9/24/18 100,000 1.00 100,029 103,167 (3,138) 2,625 2.62% 0.1%IBM CORP 2.900% 11/01/21 100,000 0.99 99,123 102,245 (3,122) 2,900 2.93% 0.1%


April 19, 2018 | Page 2 of 9

Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONINTEL CORP 2.700% 12/15/22 550,000 0.98 538,846 555,142 (16,296) 14,850 2.76% 0.7%JOHNSON & JOHNSON 2.050% 3/01/23 325,000 0.96 311,431 319,953 (8,522) 6,662 2.14% 0.4%MERCEDES-BENZ AUTO 1.350% 8/15/19 200,000 1.00 199,134 199,999 (865) 2,700 1.36% 0.3%MERCK & CO INC 2.400% 9/15/22 200,000 0.97 194,360 197,204 (2,844) 4,800 2.47% 0.3%MICROSOFT CORP 2.125% 11/15/22 450,000 0.96 432,522 448,690 (16,168) 9,562 2.21% 0.6%MIDAMERICAN ENERGY 2.400% 3/15/19 200,000 1.00 199,402 204,744 (5,342) 4,800 2.41% 0.3%NATIONAL RURAL UTIL 2.350% 6/15/20 200,000 0.99 197,230 202,420 (5,190) 4,700 2.38% 0.3%NBCUNIVERSAL MEDIA 5.150% 4/30/20 200,000 1.04 208,480 228,590 (20,110) 10,300 4.94% 0.3%ORACLE CORP 5.000% 7/08/19 100,000 1.03 102,953 113,926 (10,973) 5,000 4.86% 0.1%PARTNERRE FINANCE B 5.500% 6/01/20 175,000 1.04 182,504 197,748 (15,244) 9,625 5.27% 0.2%PNC FUNDING CORP 4.375% 8/11/20 75,000 1.03 76,978 82,474 (5,496) 3,281 4.26% 0.1%PPL ELECTRIC UTILITI 3.000% 9/15/21 50,000 1.00 49,914 50,957 (1,044) 1,500 3.01% 0.1%PUB SVC ELEC & GAS 2.300% 9/15/18 50,000 1.00 49,916 51,454 (1,538) 1,150 2.30% 0.1%PUBLIC SERVICE COLOR 5.125% 6/01/19 98,000 1.03 100,679 112,401 (11,722) 5,022 4.99% 0.1%RAYTHEON COMPANY 3.125% 10/15/20 100,000 1.01 100,777 103,652 (2,875) 3,125 3.10% 0.1%ROCKWELL AUTOMATION 2.050% 3/01/20 50,000 0.98 49,213 49,895 (682) 1,025 2.08% 0.1%ROYAL BANK OF CANADA 1.500% 7/29/19 200,000 0.98 196,702 199,646 (2,944) 3,000 1.53% 0.3%ROYAL BANK OF CANADA 2.350% 10/30/20 100,000 0.98 98,117 102,083 (3,966) 2,350 2.40% 0.1%SHELL INTERNATIONAL 4.300% 9/22/19 50,000 1.02 51,240 54,972 (3,732) 2,150 4.20% 0.1%SIMON PROPERTY GROUP 2.500% 7/15/21 250,000 0.98 244,470 251,517 (7,047) 6,250 2.56% 0.3%SIMON PROPERTY GROUP 2.500% 9/01/20 100,000 0.99 98,709 101,650 (2,941) 2,500 2.53% 0.1%TORONTO-DOMINION BAN 2.125% 7/02/19 100,000 0.99 99,333 100,838 (1,505) 2,125 2.14% 0.1%TOTAL CAPITAL SA 2.125% 8/10/18 50,000 1.00 49,986 50,872 (885) 1,062 2.13% 0.1%TOYOTA MOTOR CREDIT 2.125% 7/18/19 100,000 0.99 99,309 100,882 (1,573) 2,125 2.14% 0.1%TRAVELERS COS INC 3.900% 11/01/20 125,000 1.02 127,731 134,288 (6,556) 4,875 3.82% 0.2%US BANCORP 2.200% 4/25/19 100,000 1.00 99,657 101,067 (1,410) 2,200 2.21% 0.1%VISA INC 2.800% 12/14/22 100,000 0.98 98,499 100,613 (2,114) 2,800 2.84% 0.1%WALT DISNEY COMPANY/ 2.150% 9/17/20 100,000 0.98 98,462 100,014 (1,552) 2,150 2.18% 0.1%WALT DISNEY COMPANY/ 2.350% 12/01/22 250,000 0.97 241,492 250,660 (9,168) 5,875 2.43% 0.3%WESTPAC BANKING CORP 2.100% 5/13/21 300,000 0.97 290,355 300,891 (10,536) 6,300 2.17% 0.4%WESTPAC BANKING CORP 4.875% 11/19/19 150,000 1.03 154,292 168,758 (14,467) 7,312 4.74% 0.2%


April 19, 2018 | Page 3 of 9

Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONWORLD FINANCIAL NETW 2.230% 8/15/22 250,000 1.00 249,570 245,469 4,101 5,575 2.23% 0.3%

Government/Agency Bonds 4,058,098 4,158,079 (99,981) 69,541 1.71% 5.4%FED HOME LN BK 1.125% 7/14/21 300,000 0.95 285,750 297,373 (11,623) 3,375 1.18% 0.4%FED HOME LN BK 1.750% 12/14/18 75,000 1.00 74,802 75,202 (400) 1,312 1.75% 0.1%FED HOME LN BK 2.000% 9/14/18 75,000 1.00 75,028 76,596 (1,568) 1,500 2.00% 0.1%FED NATL MTG ASSN 1.500% 6/22/20 75,000 0.98 73,385 74,252 (867) 1,125 1.53% 0.1%FED NATL MTG ASSN 1.875% 12/28/20 500,000 0.98 490,715 507,626 (16,910) 9,375 1.91% 0.7%FHLMC POOL #E02801 3.000% 12/01/25 69,116 1.00 69,160 71,783 (2,623) 2,073 3.00% 0.1%FNMA POOL #AB4673 3.000% 3/01/27 46,142 1.00 46,136 47,836 (1,701) 1,384 3.00% 0.1%FNMA POOL #AE0375 4.000% 7/01/25 49,175 1.03 50,557 52,141 (1,584) 1,967 3.89% 0.1%FNMA POOL #AJ5335 3.000% 11/01/26 81,662 1.00 81,650 84,111 (2,461) 2,450 3.00% 0.1%FNMA POOL #AJ8325 3.000% 12/01/26 107,853 1.00 107,743 109,859 (2,115) 3,236 3.00% 0.1%US TREASURY NOTE 1.125% 6/30/21 400,000 0.95 381,860 397,395 (15,535) 4,500 1.18% 0.5%US TREASURY NOTE 1.125% 7/31/21 150,000 0.95 142,970 146,215 (3,245) 1,688 1.18% 0.2%US TREASURY NOTE 1.125% 9/30/21 50,000 0.95 47,520 49,304 (1,784) 562 1.18% 0.1%US TREASURY NOTE 1.250% 4/30/19 150,000 0.99 148,488 148,748 (260) 1,875 1.26% 0.2%US TREASURY NOTE 1.375% 1/31/20 495,000 0.98 486,085 495,267 (9,182) 6,806 1.40% 0.6%US TREASURY NOTE 1.375% 2/28/19 250,000 0.99 248,242 249,184 (941) 3,438 1.38% 0.3%US TREASURY NOTE 1.375% 7/31/18 300,000 1.00 299,583 300,516 (933) 4,125 1.38% 0.4%US TREASURY NOTE 1.750% 6/30/22 200,000 0.96 192,578 199,336 (6,758) 3,500 1.82% 0.3%US TREASURY NOTE 1.875% 2/28/22 200,000 0.97 194,164 198,469 (4,305) 3,750 1.93% 0.3%US TREASURY NOTE 2.000% 12/31/21 575,000 0.98 561,683 576,869 (15,186) 11,500 2.05% 0.8%

Municipal Bonds 549,628 578,650 (29,022) 20,596 3.75% 0.7%MONROE CNTY MI 1.850% 5/01/18 50,000 1.00 49,994 50,000 (6) 925 1.85% 0.1%NEW YORK CITY NY TRA 5.240% 8/01/18 250,000 1.01 252,175 278,650 (26,475) 13,100 5.19% 0.3%RIDGEWOOD NJ BRD OF 2.230% 10/01/18 50,000 1.00 50,002 50,000 2 1,115 2.23% 0.1%RIVERSIDE CNTY CA AS 2.728% 11/01/19 200,000 0.99 197,458 200,000 (2,542) 5,456 2.76% 0.3%

Wells Fargo Funds 2,803,798 2,818,595 (14,797) 44,793 1.60% 3.7%WF ULTR SHORT-TRMINCOME-I#3104 331,810 8.45 2,803,798 2,818,595 (14,797) 44,793 1.60% 3.7%

High Yield Debt 695,738 702,420 (6,682) 27,107 3.90% 0.9%Funds 695,738 702,420 (6,682) 27,107 3.90% 0.9%


April 19, 2018 | Page 4 of 9

Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONEATON VANCE FLOATING RATE FD-I #924 76,792 9.06 695,738 702,420 (6,682) 27,107 3.90% 0.9%

Preferred Stock 591,469 600,000 (8,531) 29,631 5.01% 0.8%Corporate Bonds 591,469 600,000 (8,531) 29,631 5.01% 0.8%PRINCIPAL PREFERRED SEC-INS #4929 58,215 10.16 591,469 600,000 (8,531) 29,631 5.01% 0.8%

Developed Market Ex.-U.S. Fixed Income 704,307 690,120 14,187 9,100 1.29% 0.9%Funds 704,307 690,120 14,187 9,100 1.29% 0.9%PIMCO FOREIGN BD FD USD H-INST #103 46,190 10.78 497,933 492,500 5,433 6,144 1.23% 0.7%PIMCO FOREIGN BOND (UNHEDGED) #1853 19,844 10.40 206,374 197,620 8,754 2,957 1.43% 0.3%

Emerging Market Fixed Income 2,036,855 2,005,076 31,779 111,258 5.46% 2.7%Funds 2,036,855 2,005,076 31,779 111,258 5.46% 2.7%ASHMORE EMERG MKTS CR DB-INS 77,987 8.65 674,585 627,576 47,009 43,594 6.46% 0.9%FID ADV EMER MKTS INC- CL I #607 99,800 13.65 1,362,270 1,377,500 (15,230) 67,664 4.97% 1.8%

Equities 30,906,258 26,159,105 4,747,153 336,669 1.09% 41.3%U.S. Large Cap 11,919,857 9,286,008 2,633,849 153,102 1.28% 15.9%

Funds 6,336,536 5,752,169 584,367 94,179 1.49% 8.5%FEDERATED STRAT VAL DIV FD IS #662 206,496 5.84 1,205,935 1,194,000 11,935 48,319 4.01% 1.6%ISHARES SELECT DIVIDEND ETF 14,250 97.14 1,384,245 1,127,169 257,076 43,249 3.12% 1.8%JPMORGAN U.S. L/C CORE PLUS-S #1002 101,147 30.32 3,066,770 2,829,000 237,770 2,610 0.09% 4.1%TCW FUNDS SELECT EQUITIES-I #4730 25,235 26.93 679,587 602,000 77,587 0 0.00% 0.9%

Consumer Discretionary 434,212 337,319 96,893 9,981 2.30% 0.6%AMEX CONSUMER DISCR SPDR 185 104.37 19,308 10,970 8,338 228 1.18% 0.0%COMCAST CORP CLASS A 2,530 33.27 84,173 66,352 17,821 1,923 2.28% 0.1%HOME DEPOT INC 295 179.85 53,056 43,273 9,783 1,215 2.29% 0.1%LAS VEGAS SANDS CORP 880 74.42 65,490 49,684 15,806 2,640 4.03% 0.1%NIKE INC CL B 1,216 66.20 80,499 63,607 16,892 973 1.21% 0.1%TARGET CORP 575 72.53 41,705 41,473 231 1,426 3.42% 0.1%TJX COMPANIES INC 460 83.18 38,263 25,440 12,823 718 1.88% 0.1%WALT DISNEY CO 511 101.21 51,718 36,519 15,199 858 1.66% 0.1%

Consumer Staples 65,944 75,740 (9,796) 1,980 3.00% 0.1%CVS HEALTH CORPORATION 990 66.61 65,944 75,740 (9,796) 1,980 3.00% 0.1%

Energy 66,471 79,460 (12,988) 1,890 2.84% 0.1%


April 19, 2018 | Page 5 of 9

Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONSCHLUMBERGER LTD 945 70.34 66,471 79,460 (12,988) 1,890 2.84% 0.1%

Financials 539,491 347,773 191,718 9,958 1.85% 0.7%AMERIPRISE FINL INC 562 144.62 81,276 63,227 18,049 1,866 2.30% 0.1%BERKSHIRE HATHAWAY INC. 260 199.51 51,873 31,351 20,521 0 0.00% 0.1%BLACKROCK INC 107 523.22 55,985 36,241 19,744 1,233 2.20% 0.1%CITIGROUP INC. 1,502 68.98 103,608 74,238 29,370 1,923 1.86% 0.1%CME GROUP INC 320 165.20 52,864 23,607 29,257 896 1.69% 0.1%JPMORGAN CHASE & CO 860 109.32 94,015 51,149 42,866 1,926 2.05% 0.1%PNC FINANCIAL SERVICES GROUP 705 141.66 99,870 67,959 31,912 2,115 2.12% 0.1%

Health Care 745,005 573,590 171,415 11,633 1.56% 1.0%ELI LILLY & CO COM 610 79.72 48,629 45,831 2,798 1,373 2.82% 0.1%GILEAD SCIENCES INC 670 75.68 50,706 49,001 1,705 1,528 3.01% 0.1%HEALTH CARE SELECT SECTOR 3,700 83.23 307,951 267,769 40,182 4,599 1.49% 0.4%MCKESSON CORP 330 149.28 49,262 50,965 (1,702) 449 0.91% 0.1%MERCK & CO INC NEW 965 58.92 56,858 51,795 5,063 1,853 3.26% 0.1%THERMO FISHER SCIENTIFIC INC 360 219.53 79,031 39,179 39,852 245 0.31% 0.1%UNITEDHEALTH GROUP INC 429 236.40 101,416 31,305 70,110 1,287 1.27% 0.1%ZOETIS INC 595 85.97 51,152 37,746 13,407 300 0.59% 0.1%

Industrials 271,600 172,841 98,759 6,291 2.32% 0.4%AMEX INDUSTRIAL SPDR 245 76.14 18,654 10,931 7,723 330 1.77% 0.0%BOEING CO 210 341.00 71,610 25,399 46,211 1,436 2.01% 0.1%UNION PACIFIC CORP 870 138.96 120,895 83,503 37,392 2,540 2.10% 0.2%UNITED PARCEL SERVICE-CL B 545 110.90 60,440 53,007 7,433 1,984 3.28% 0.1%

Information Technology 809,938 440,565 369,373 11,616 1.43% 1.1%ALPHABET INC CL C 114 1,072.08 122,217 63,980 58,237 0 0.00% 0.2%APPLE INC 1,125 177.84 200,070 96,217 103,853 2,835 1.42% 0.3%CISCO SYSTEMS INC 2,660 44.63 118,716 72,478 46,237 3,511 2.96% 0.2%COGNIZANT TECH SOLUTIONS CRP COM 1,295 82.70 107,096 73,226 33,870 842 0.79% 0.1%MICROSOFT CORP 1,931 96.44 186,226 84,553 101,672 3,244 1.74% 0.2%TE CONNECTIVITY LTD 740 102.18 75,613 50,110 25,503 1,184 1.57% 0.1%

Materials 87,473 44,552 42,921 1,444 1.65% 0.1%


April 19, 2018 | Page 6 of 9

Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONCELANESE CORP 785 111.43 87,473 44,552 42,921 1,444 1.65% 0.1%

Other 2,563,188 1,462,000 1,101,188 4,129 0.16% 3.4%T ROWE PRICE BLUE CHIP-I #429 24,293 105.51 2,563,188 1,462,000 1,101,188 4,129 0.16% 3.4%

U.S. Mid Cap 4,336,328 4,034,583 301,745 21,314 0.49% 5.8%Funds 2,394,076 1,988,515 405,561 12,133 0.51% 3.2%HARTFORD MIDCAP FUND-Y #229 5,411 37.91 205,141 200,000 5,141 0 0.00% 0.3%ISHARES RUSSELL MID-CAP ETF 3,540 210.67 745,772 523,515 222,257 11,434 1.53% 1.0%PRINCIPAL MIDCAP FD-IN #4749 52,555 27.46 1,443,164 1,265,000 178,164 698 0.05% 1.9%

Consumer Staples 31,805 40,960 (9,155) 0 0.00% 0.0%HAIN CELESTIAL GROUP INC 1,010 31.49 31,805 40,960 (9,155) 0 0.00% 0.0%

Financials 71,980 69,520 2,460 504 0.70% 0.1%AFFILIATED MANAGERS GROUP, INC COM 420 171.38 71,980 69,520 2,460 504 0.70% 0.1%

Industrials 53,196 31,588 21,608 264 0.50% 0.1%SPIRIT AEROSYTSEMS HOLD-CL A 660 80.60 53,196 31,588 21,608 264 0.50% 0.1%

Other 1,785,271 1,904,000 (118,729) 8,413 0.47% 2.4%ARTISAN MID CAP FUND-INS #1333 18,987 44.59 846,642 887,000 (40,358) 0 0.00% 1.1%VIRTUS CEREDEX M/C VAL EQ-I #5412 73,159 12.83 938,629 1,017,000 (78,371) 8,413 0.90% 1.3%

U.S. Small Cap 2,303,987 2,219,736 84,252 5,507 0.24% 3.1%Funds 456,692 429,736 26,956 5,507 1.21% 0.6%ISHARES RUSSELL 2000 ETF 2,900 157.48 456,692 429,736 26,956 5,507 1.21% 0.6%

Other 1,847,295 1,790,000 57,295 0 0.00% 2.5%ARTISAN SMALL CAP FUND-INS #2452 21,482 34.98 751,438 690,000 61,438 0 0.00% 1.0%COLUMBIA SELECT S/C VALUE-Z #6141 51,789 21.16 1,095,857 1,100,000 (4,143) 0 0.00% 1.5%

Developed Market Ex.-U.S. Equities 7,232,523 6,681,779 550,744 127,923 1.77% 9.7%Funds 6,709,283 6,230,337 478,946 112,615 1.68% 9.0%HARBOR INTERNATION FD INST #2011 49,412 69.41 3,429,671 3,357,000 72,671 61,271 1.79% 4.6%ISHARES MSCI EAFE ETF 2,800 71.59 200,452 195,804 4,648 5,051 2.52% 0.3%MFS RESEARCH INTL FD-I #899 81,695 20.32 1,660,049 1,398,793 261,257 19,770 1.19% 2.2%OAKMARK INTERNATIONAL-INST #2886 33,833 28.76 973,039 855,000 118,039 14,683 1.51% 1.3%VANGUARD FTSE EUROPE ETF 7,400 60.28 446,072 423,741 22,331 11,840 2.65% 0.6%

Consumer Staples 61,503 51,244 10,259 1,496 2.43% 0.1%


April 19, 2018 | Page 7 of 9

Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONDIAGEO PLC - ADR 440 139.78 61,503 51,244 10,259 1,496 2.43% 0.1%

Energy 193,354 149,746 43,608 6,650 3.44% 0.3%SUNCOR ENERGY INC NEW F 2,589 38.50 99,676 70,513 29,163 2,900 2.91% 0.1%TOTAL S.A. - ADR 1,520 61.63 93,678 79,232 14,445 3,750 4.00% 0.1%

Financials 74,639 59,445 15,194 2,682 3.59% 0.1%MANULIFE FINANCIAL CORP 3,985 18.73 74,639 59,445 15,194 2,682 3.59% 0.1%

Health Care 105,594 108,627 (3,033) 2,910 2.76% 0.1%BAYER AG - ADR 1,360 31.08 42,269 34,704 7,565 835 1.98% 0.1%ROCHE HOLDINGS LTD - ADR 2,260 28.02 63,325 73,923 (10,598) 2,075 3.28% 0.1%

Industrials 47,118 39,084 8,034 1,571 3.33% 0.1%EATON CORP PLC 595 79.19 47,118 39,084 8,034 1,571 3.33% 0.1%

Information Technology 41,031 43,296 (2,265) 0 0.00% 0.1%FLEX LTD 2,350 17.46 41,031 43,296 (2,265) 0 0.00% 0.1%

Emerging Market Equities 5,113,563 3,937,000 1,176,563 28,823 0.56% 6.8%Funds 5,113,563 3,937,000 1,176,563 28,823 0.56% 6.8%OPPENHEIMER DEVELOPING MKT-I #799 87,592 44.34 3,883,829 3,019,000 864,829 27,331 0.70% 5.2%TEMPLETON EMER MKT S/C-ADV #626 79,440 15.48 1,229,734 918,000 311,734 1,493 0.12% 1.6%

Real Assets 7,378,617 7,211,606 167,010 232,231 3.15% 9.9%Global Public REITS 6,656,584 6,286,350 370,234 232,231 3.49% 8.9%

Funds 6,656,584 6,286,350 370,234 232,231 3.49% 8.9%SPDR DJ WILSHIRE INTERNATIONAL REAL 30,685 40.90 1,255,016 1,350,422 (95,405) 34,552 2.75% 1.7%T ROWE PR REAL ESTATE-I #432 132,765 26.69 3,543,487 3,356,000 187,487 108,867 3.07% 4.7%VANGUARD REAL ESTATE ETF 24,500 75.84 1,858,080 1,579,928 278,152 88,813 4.78% 2.5%

Commodities 722,033 925,256 (203,223) 0 0.00% 1.0%Funds 722,033 925,256 (203,223) 0 0.00% 1.0%CREDIT SUISSE COMM RET ST-I #2156 139,929 5.16 722,033 925,256 (203,223) 0 0.00% 1.0%

Alternative Investments 9,624,002 9,399,447 224,555 115,560 1.20% 12.9%Hedge Strategies - Relative Value 2,382,847 2,440,901 (58,054) 53,031 2.23% 3.2%

Other 2,382,847 2,440,901 (58,054) 53,031 2.23% 3.2%BLACKROCK GL L/S CREDIT-K #1940 141,337 10.47 1,479,801 1,460,000 19,801 19,646 1.33% 2.0%DRIEHAUS ACTIVE INCOME FUND 91,217 9.90 903,046 980,901 (77,855) 33,386 3.70% 1.2%


April 19, 2018 | Page 8 of 9

Trade Date Basis


AGG453079


TOTALCOST

UNREALIZEDG/L

ESTANNUALINCOME

ESTANNUAL

YIELD ALLOCATIONHedge Strategies - Macro 1,216,821 1,276,546 (59,725) 42,090 3.46% 1.6%

Other 1,216,821 1,276,546 (59,725) 42,090 3.46% 1.6%EATON VANCE GLOBAL MACRO - I #0088 134,903 9.02 1,216,821 1,276,546 (59,725) 42,090 3.46% 1.6%

Hedge Strategies - Event Driven 2,388,856 2,424,000 (35,144) 20,439 0.86% 3.2%Other 2,388,856 2,424,000 (35,144) 20,439 0.86% 3.2%ASG GLOBAL ALTERNATIVES-Y #1993 159,507 11.15 1,778,505 1,818,000 (39,495) 14,594 0.82% 2.4%MERGER FUND-INST #301 37,468 16.29 610,351 606,000 4,351 5,845 0.96% 0.8%

Hedge Strategies - Equity Hedge 3,635,478 3,258,000 377,478 0 0.00% 4.9%Other 3,635,478 3,258,000 377,478 0 0.00% 4.9%BOSTON P LNG/SHRT RES-INS #7015 211,981 17.15 3,635,478 3,258,000 377,478 0 0.00% 4.9%

Miscellaneous Total $3,290,464 $3,290,464 $0 $50,782 1.54% 4.4%Miscellaneous 3,290,464 3,290,464 0 50,782 1.54% 4.4%

P3 3,290,464 3,290,464 0 50,782 1.54% 4.4%Cash Equivalents 3,290,464 3,290,464 0 50,782 1.54% 4.4%

BLACKROCK INSTL FDS TREAS TR#62 3,290,464

1.00 3,290,464 3,290,464 0 50,782 1.54% 4.4%

CASH (0) 1.00 (0) (0) 0 0 % (0.0)%Total Portfolio $74,865,711 $70,130,215 $4,735,496 $1,339,807 1.79% 100.0%


April 19, 2018 | Page 9 of 9

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.

Wells Fargo & Company and its affiliates do not provide legal advice. Please consult your legal advisors todetermine how this information may apply to your own situation. Whether any planned tax result is realized byyou depends on the specific facts of your own situation at the time your taxes are prepared.

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

©2008-2011 Wells Fargo Bank, N.A. All rights reserved.

FORT WORTH PERM FUND SUB AVIATIONEXECUTIVE SUMMARY AND ANNUAL PERIOD PERFORMANCE



TOTAL PORTFOLIO PERFORMANCE WITH BENCHMARKS - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB AVIATION



INCEPTION1

TOTAL PORTFOLIO (Net of fees)2

-0.22% -0.72% 7.16% 3.90% 4.29%






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

Account 45307901 Copyright 2018, Investment Scorecard 2355-5092359-2018-Q1 April 09, 2018 08:58 PMPage 1 of 9

PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB AVIATION


Fixed Income 27.90%

Equities 41.04%

Real Assets 9.70%



$0

$10,000,000

$20,000,000

$30,000,000

$40,000,000



Beginning Value1

34,272,644 31,256,908 27,419,000 14,297,881Net Contributions & Withdrawals 2 629,656 1,140,862 3,559,137 14,956,757Investment Gain or Loss

1 -256,264 2,248,267 3,667,900 5,391,398

Ending Value1

34,646,037 34,646,037 34,646,037 34,646,037




3 INCEPTION

3

TOTAL PORTFOLIO (Net of fees) 2 34,646,037 100.00% -0.72% 7.16% 3.90% 4.29%



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 3/31/18 FORT WORTH PERM FUND SUB AVIATION




1 INCEPTION

1

EQUITIES 14,218,904 41.04% 0.32% 16.33% 8.73% 10.17%3







1Annualized Return



ANNUAL PERIOD PERFORMANCE - REPORT PERIOD: 7/1/13 TO 3/31/18: FYE - SEPTEMBER FORT WORTH PERM FUND SUB AVIATION










PORTFOLIO ALLOCATION OVER TIME - REPORT PERIOD: 7/1/13 TO 3/31/18 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

3/18

Fixed Income

Equities

Real Assets

Alternative Assets

Cash & Equivalents



EQUITIES 14,218,904 41.04%

REAL ASSETS 3,359,490 9.70%






FORT WORTH PERM FUND SUB GENERALEXECUTIVE SUMMARY AND ANNUAL PERIOD PERFORMANCE



TOTAL PORTFOLIO PERFORMANCE WITH BENCHMARKS - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB GENERAL



INCEPTION1


-0.23% -0.71% 7.11% 3.80% 4.24%








PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB GENERAL


Fixed Income 26.72%

Equities 40.11%

Real Assets 9.76%



$0

$5,000,000

$10,000,000

$15,000,000

$20,000,000



Beginning Value1

19,038,354 16,991,967 14,843,291 9,009,566Net Contributions & Withdrawals 2 563,234 1,247,498 2,667,721 7,497,913Investment Gain or Loss

1 -142,930 1,219,192 1,947,645 2,951,177

Ending Value1

19,458,657 19,458,657 19,458,657 19,458,657




3 INCEPTION

3






PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB GENERAL




1 INCEPTION

1

EQUITIES 7,805,497 40.11% 0.37% 16.59% 8.78% 10.26%3







1Annualized Return



ANNUAL PERIOD PERFORMANCE - REPORT PERIOD: 7/1/13 TO 3/31/18: FYE - SEPTEMBER FORT WORTH PERM FUND SUB GENERAL






ALTERNATIVE INVESTMENTS 2.32% 6.25% 1.51% -0.60% 3.90% - HFRX Global Hedge Fund Index 0.46% 5.64% 0.72% -4.74% 3.54% - HFRI Fund Weighted Composite Index (updated) 2.95% 7.11% 4.99% -1.68% 6.41% - HFRI Relative Value (Total) Index (updated) 2.33% 5.95% 5.44% -0.95% 7.45% - HFRI Macro (Total) Index (updated) 2.36% -0.85% 1.63% 1.15% 5.10% - HFRI Event-Driven (Total) Index (updated) 2.53% 9.29% 6.42% -4.56% 6.43% - HFRI Equity Hedge (Total) Index (updated) 4.21% 10.98% 5.98% -2.70% 6.63% -




PORTFOLIO ALLOCATION OVER TIME - REPORT PERIOD: 7/1/13 TO 3/31/18 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

3/18

Fixed Income

Equities

Real Assets

Alternative Assets

Cash & Equivalents



EQUITIES 7,805,497 40.11%

REAL ASSETS 1,899,607 9.76%






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



TOTAL PORTFOLIO PERFORMANCE WITH BENCHMARKS - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB RESTR PARK



INCEPTION1


-0.22% -0.85% 7.31% 3.93% 4.45%








PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB RESTR PARK


Fixed Income 27.32%

Equities 41.22%

Real Assets 10.53%



$0

$2,000,000

$4,000,000

$6,000,000

$8,000,000

$10,000,000



Beginning Value1

8,691,981 7,937,846 7,202,272 5,327,222Net Contributions & Withdrawals 2 165,370 261,921 643,484 1,964,467Investment Gain or Loss

1 -75,981 581,603 935,614 1,489,680

Ending Value1

8,781,370 8,781,370 8,781,370 8,781,370




3 INCEPTION

3






PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB RESTR PARK




1 INCEPTION

1

EQUITIES 3,619,829 41.22% 0.35% 16.37% 8.65% 10.20%3


REAL ASSETS 924,256 10.53% -5.78% -0.21% -0.19% 3.19% FTSE NAREIT All Equity REIT Index -6.66% -1.09% 2.90% 7.51% FTSE EPRA/NAREIT Developed Index -4.31% 4.20% 2.43% 6.05% Bloomberg Commodity Total Return Index -0.40% 3.71% -3.21% -6.81%




CASH & EQUIVALENTS 703,704 8.01% 0.30% 0.83% 0.37% 0.24% Lipper Money Market Index 0.27% 0.83% 0.35% 0.23%

1Annualized Return



ANNUAL PERIOD PERFORMANCE - REPORT PERIOD: 7/1/13 TO 3/31/18: FYE - SEPTEMBER FORT WORTH PERM FUND SUB RESTR PARK










PORTFOLIO ALLOCATION OVER TIME - REPORT PERIOD: 7/1/13 TO 3/31/18 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

3/18

Fixed Income

Equities

Real Assets

Alternative Assets

Cash & Equivalents



EQUITIES 3,619,829 41.22%

REAL ASSETS 924,256 10.53%


CASH & EQUIVALENTS 703,704 8.01%




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



TOTAL PORTFOLIO PERFORMANCE WITH BENCHMARKS - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB UNRSTR PARK



INCEPTION1


-0.23% -0.66% 7.67% 4.07% 4.59%








PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB UNRSTR PARK


Fixed Income 26.96%

Equities 40.78%

Real Assets 10.09%



$0

$1,000,000

$2,000,000

$3,000,000

$4,000,000



Beginning Value1

3,954,215 3,730,659 3,714,240 3,444,770Net Contributions & Withdrawals 2 0 -86,654 -239,036 -306,020Investment Gain or Loss

1 -26,171 284,038 452,839 789,294

Ending Value1

3,928,044 3,928,044 3,928,044 3,928,044




3 INCEPTION

3






PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB UNRSTR PARK




1 INCEPTION

1

EQUITIES 1,602,019 40.78% 0.63% 16.53% 8.68% 10.25%3



ALTERNATIVE INVESTMENTS 531,615 13.53% -0.38% 4.67% 1.88% 3.12% 3




1Annualized Return



ANNUAL PERIOD PERFORMANCE - REPORT PERIOD: 7/1/13 TO 3/31/18: FYE - SEPTEMBER FORT WORTH PERM FUND SUB UNRSTR PARK










PORTFOLIO ALLOCATION OVER TIME - REPORT PERIOD: 7/1/13 TO 3/31/18 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

3/18

Fixed Income

Equities

Real Assets

Alternative Assets

Cash & Equivalents



EQUITIES 1,602,019 40.78%

REAL ASSETS 396,162 10.09%

ALTERNATIVE ASSETS 477,175 12.15%





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



TOTAL PORTFOLIO PERFORMANCE WITH BENCHMARKS - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB WATR & SEWR



INCEPTION1


-0.24% -0.77% 7.09% 3.80% 4.34%








PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB WATR & SEWR


Fixed Income 27.67%

Equities 40.61%

Real Assets 9.87%



$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

7,146,392 6,489,446 5,573,764 3,752,922Net Contributions & Withdrawals 2 120,834 256,772 889,910 2,312,262Investment Gain or Loss

1 -57,060 463,947 746,491 1,144,982

Ending Value1

7,210,165 7,210,165 7,210,165 7,210,165




3 INCEPTION

3






PORTFOLIO ALLOCATION & PERFORMANCE SUMMARY - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB WATR & SEWR




1 INCEPTION

1

EQUITIES 2,928,293 40.61% 0.34% 16.40% 8.71% 10.26%3



ALTERNATIVE INVESTMENTS 967,059 13.41% -0.36% 4.71% 2.10% 3.23% 3




1Annualized Return



ANNUAL PERIOD PERFORMANCE - REPORT PERIOD: 7/1/13 TO 3/31/18: FYE - SEPTEMBER FORT WORTH PERM FUND SUB WATR & SEWR










PORTFOLIO ALLOCATION OVER TIME - REPORT PERIOD: 7/1/13 TO 3/31/18 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

3/18

Fixed Income

Equities

Real Assets

Alternative Assets

Cash & Equivalents



EQUITIES 2,928,293 40.61%

REAL ASSETS 711,366 9.87%

ALTERNATIVE ASSETS 877,606 12.17%





BENCHMARK DEFINITIONS - REPORT PERIOD: 7/1/13 TO 3/31/18 FORT WORTH PERM FUND SUB WATR & SEWR

Blended Benchmarks:

Income-Conservative Wealth Blend-Total benchmark is defined as: Lipper Money Market 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: Lipper Money Market 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%.

Income-Aggressive Wealth Blend-Total benchmark is defined as: Lipper Money Market Index - 3%; BBG BARC US Aggregate/BBG BARC 1-15 Yr Muni(for TA) - 35%; BBG BARC US Corp HY/BBG BARC HY Muni(for TA) - 8%; JPMorgan GBI Global Ex US - 5%; JPMorgan EMBI Global - 8%; S&P 500 Index - 11%; Russell Midcap Index - 6%; Russell 2000 Index - 3%; 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%.

G&I-Conservative Wealth Blend-Total benchmark is defined as: Lipper Money Market Index - 3%; BBG BARC US Aggregate/BBG BARC 1-15 Yr Muni(for TA) - 29%; BBG BARC US Corp HY/BBG BARC HY Muni(for TA) - 5%; JPMorgan GBI Global Ex US - 3%; JPMorgan EMBI Global - 4%; S&P 500 Index - 13%; Russell Midcap Index - 7%; Russell 2000 Index - 6%; MSCI EAFE Free Net - 5%; MSCI EM Net - 4%; FTSE EPRA/NAREIT Dvlp TR USD - 5%; Bloomberg Commodity Total Return Index - 2%; HFRI Relative Value Index - 3%; HFRI Macro Index - 6%; HFRI Event Driven Index - 3%; HFRI Equity Hedge Index - 2%.

G&I-Moderate Wealth Blend-Total benchmark is defined as: Lipper Money Market Index - 3%; BBG BARC US Aggregate/BBG BARC 1-15 Yr Muni(for TA) - 17%; BBG BARC US Corp HY/BBG BARC HY Muni(for TA) - 6%; JPMorgan GBI Global Ex US - 3%; JPMorgan EMBI Global - 5%; S&P 500 Index - 20%; Russell Midcap Index - 8%; Russell 2000 Index - 6%; MSCI EAFE Free Net - 5%; MSCI EM Net - 5%; FTSE EPRA/NAREIT Dvlp TR USD - 5%; Bloomberg Commodity Total Return Index - 2%; HFRI Relative Value Index - 3%; HFRI Macro Index - 6%; HFRI Event Driven Index - 4%; HFRI Equity Hedge Index - 2%.

G&I-Aggressive Wealth Blend-Total benchmark is defined as: Lipper Money Market Index - 3%; BBG BARC US Aggregate/BBG BARC 1-15 Yr Muni(for TA) - 9%; BBG BARC US Corp HY/BBG BARC HY Muni(for TA) - 6%; JPMorgan GBI Global Ex US - 2%; JPMorgan EMBI Global - 6%; S&P 500 Index - 22%; Russell Midcap Index - 9%; Russell 2000 Index - 8%; MSCI EAFE Free Net - 7%; MSCI EM Net - 6%; FTSE EPRA/NAREIT Dvlp TR USD - 5%; Bloomberg Commodity Total Return Index - 2%; HFRI Relative Value Index - 3%; HFRI Macro Index - 6%; HFRI Event Driven Index - 4%; HFRI Equity Hedge Index - 2%.

Growth-Conservative Wealth Blend-Total benchmark is defined as: Lipper Money Market Index - 2%; BBG BARC US Aggregate/BBG BARC 1-15 Yr Muni(for TA) - 7%; BBG BARC US Corp HY/BBG BARC HY Muni(for TA) - 5%; JPMorgan EMBI Global - 5%; S&P 500 Index - 24%; Russell Midcap Index - 11%; Russell 2000 Index - 10%; MSCI EAFE Free Net - 9%; MSCI EM Net - 8%; FTSE EPRA/NAREIT Dvlp TR USD - 5%; Bloomberg Commodity Total Return Index - 2%; HFRI Relative Value Index - 2%; HFRI Macro Index - 6%; HFRI Event Driven Index - 2%; HFRI Equity Hedge Index - 2%.

Growth-Moderate Wealth Blend-Total benchmark is defined as: Lipper Money Market Index - 2%; BBG BARC US Aggregate/BBG BARC 1-15 Yr Muni(for TA) - 2%; BBG BARC US Corp HY/BBG BARC HY Muni(for TA) - 3%; JPMorgan EMBI Global - 3%; S&P 500 Index - 25%; Russell Midcap Index - 13%; Russell 2000 Index - 12%; MSCI EAFE Free Net - 11%; MSCI EM Net - 10%; FTSE EPRA/NAREIT Dvlp TR USD - 5%; Bloomberg Commodity Total Return Index - 2%; HFRI Relative Value Index - 2%; HFRI Macro Index - 6%; HFRI Event Driven Index - 2%; HFRI Equity Hedge Index - 2%.

Growth-Aggressive Wealth Blend-Total benchmark is defined as: Lipper Money Market Index - 2%; BBG BARC US Corp HY/BBG BARC HY Muni(for TA) - 3%; JPMorgan EMBI Global - 3%; S&P 500 Index - 25%; Russell Midcap Index - 16%; Russell 2000 Index - 15%; MSCI EAFE Free Net - 13%; MSCI EM Net - 13%; FTSE EPRA/NAREIT Dvlp TR USD - 5%; HFRI Macro Index - 3%; HFRI Equity Hedge Index - 2%.



Blended Benchmarks: (cont.)

Last updated: August 2017

Blended benchmark returns for the portfolio noted above reflect changes to the strategic asset allocation made over time. Index benchmarks are provided for comparison purposes only and are based on the most recently published data available. Indexes are unmanaged and performance results do not reflect the deduction of any advisory fees or commissions. The inclusion of an index is intended to provide a uniform reference point for the performance of an asset class and does not imply that the index is necessarily an appropriate benchmark for, or comparable to, an investment style or strategy specified. The composition and performance of an index that is specified in this report may differ from the composition and performance of an investment style to which it is compared. Additional information on any index referenced in this report is available upon request. You cannot invest in an index.

CPI-Plus Benchmark:Consumer Price Index (CPI): program produces monthly data on changes in the prices paid by urban consumers for a representative basket of goods and services.

Two Asset Static (Stock/Bond) Benchmark:BBG BARC Multiverse Index: This provides a broad-based measure of the global fixed-income bond market. The index represents the union of the Global Aggregate Index and the Global High-Yield Index and captures investment grade and high yield securities in all eligible currencies.

MSCI All Country World Index: A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The Index consists of 46 country indices comprising 23 developed and 23 emerging market country indices.

Class Level Array Benchmarks:Cash Alternatives: Lipper Money Market Funds Index is the average of the 30 largest funds in the Lipper Money Market Funds Category. These funds invest in high quality financial instruments rated in top two grades with dollar-weighted average maturities of less than 90 days. Money market funds intend to keep a constant net asset value. You cannot invest directly in a Lipper Average.

U.S. Investment Grade Bonds-Taxable: Bloomberg Barclays U.S. Aggregate Bond Index (BBG BARC US Aggregate) is unmanaged and is composed of the Barclays U.S. Government/Credit Index and the Barclays U.S. Mortgage-Backed Securities Index, and includes Treasury issues, agency issues, corporate bond issues, and mortgage-backed securities.

U.S. Investment Grade Bonds-Tax Advantaged: Bloomberg Barclays Municipal Bond 1-15 Year Blend Index (BBG BARC 1-15 Yr Muni) measures the performance of municipal bonds with maturities of between one and fifteen years.

High Yield Bonds-Taxable: Bloomberg Barclays U.S. Corporate High Yield Bond Index (BBG BARC US Corp HY) is a market value-weighted index which covers the U.S. non-investment grade fixed-rate debt market. The index is composed of U.S. dollar-denominated corporate debt in Industrial, Utility, and Finance sectors with a minimum $150 million par amount outstanding and a maturity greater than 1 year. The index includes reinvestment of income.

High Yield Bonds-Tax Advantaged: Bloomberg Barclays Capital High Yield Municipal (BBG BARC HY Muni) is a market cap-weighted index that represents a broad universe of U.S. non-investment grade municipal debt. By using the same index provider as the U.S. Investment Grade Bonds - Tax Advantaged asset class, there is consistent categorization of corporate bonds among investment grade and non-investment grade municipals.

Developed Market Ex U.S. Bonds: JPMorgan GBI Global ex-US (Unhedged) (JPMorgan GBI Global Ex US) in USD is an unmanaged index market representative of the total return performance in U.S. dollars on an unhedged basis of major non-U.S. bond markets. The JPM GBI is broadly used by managers in the asset class given the predominance of sovereign debt within the developed (ex U.S.) world.



Blended Benchmarks: (cont.)

Emerging Market Bonds: JP Morgan Emerging Markets Bond Index (EMBI) (JPMorgan EMBI Global) measures the total return performance of international government bonds issued by emerging market countries that are considered sovereign (issued in something other than local currency) and that meet specific liquidity and structural requirements.

U.S. Large Cap: S&P 500 Index is a market capitalization-weighted index composed of 500 widely held common stocks that is generally considered representative of the US stock market. The Index is unmanaged and not available for direct investment.

U.S. Mid Cap: Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000 Index, which represent approximately 25% of the total market capitalization of the Russell 1000® Index.

U.S. Small Cap: Russell 2000 Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, which represents approximately 8% of the total market capitalization of the Russell 3000 Index.

Developed Market Ex U.S. Equity: MSCI EAFE Index-NET (MSCI EAFE Free Net) (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. The net index adjusts for reinvested dividends and accounts for foreign withholding taxes paid by money managers, thereby offering a truer picture of realizable returns available to U.S. investors.

Emerging Market Equity: MSCI Emerging Markets Index-NET (MSCI EM Net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The Index consists of the following 21 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey as of November 2013. The net index adjusts for reinvested dividends and accounts for foreign withholding taxes paid by money managers, thereby offering a truer picture of realizable returns available to U.S. investors.

Public Real Estate: FTSE EPRA/NAREIT Developed (FTSE EPRA/NAREIT Dvlp TR USD) is a market cap-weighted index designed to track the performance of listed real-estate companies and REITs in developed countries worldwide.

Commodities: Bloomberg Commodity Total Return (Bloomberg Commodity Total Return Index) reflects the returns that are potentially available through an unleveraged investment in the futures contracts on 19 physical commodities comprising the Index plus the rate of interest that could be earned on cash collateral invested in specified Treasury Bills. The Index is a rolling index rebalancing annually.

Alternative Investments Asset Group: Due to the unique nature of this asset group, Alternative investments manager performance is benchmarked differently than from fixed income, equity, and real assets. Performance is compared to peer group returns rather than a universe of potential investable securities.

The HFRI monthly indices are a series of benchmarks designed to reflect hedge fund industry performance by constructing composites of constituent funds, as reported by the hedge fund managers listed within the Hedge Fund Research (HFR) database. HFRI indices are net of all fees, updated monthly, and are equal weighted, which presents a more general picture of hedge fund industry performance by not biasing toward larger funds. The HFRI index series is more diversified (i.e., contains more constituents) than HFR's HFRX index series.

HFRI Relative Value, HFRI Macro, HFRI Event Driven, and HFRI Equity Hedge Indexes are each broadly utilized measures for performance comparison within their respective asset classes.


DISCLOSURE FORT WORTH PERM FUND SUB WATR & SEWR

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 45307905 Copyright 2018, Investment Scorecard 2355-5092362-2018-Q1 April 09, 2018 08:58 PM

Page 9 of 9

PARS: CITY OF FORT WORTH PRHCP

First Quarter 2018

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

3 Months

Year to Date

(3 Months)

1 Year

3 Years

5 Years

Inception to Date

(90 Months)

Cash Equivalents .31 .31 .94 .46 .28 .20Lipper Money Market Funds Index .27 .27 .83 .36 .21 .14

Fixed Income ex Funds -1.45 -1.45

Total Fixed Income -1.37 -1.37 .81 .91 1.52 2.24BC US Aggregate Bd Index -1.46 -1.46 1.20 1.20 1.82 2.61

Total Equities -1.05 -1.05 13.02 8.64 10.67 11.65

Large Cap Funds -1.18 -1.18 13.54 10.61 13.05 14.02S&P 500 Composite Index -.76 -.76 13.99 10.78 13.31 14.22

Mid Cap Funds -.48 -.48 12.08 8.21 12.09 13.57Russell Midcap Index -.46 -.46 12.20 8.01 12.09 13.64

Small Cap Funds -.53 -.53 11.44 8.89 12.40 14.42Russell 2000 Index -.08 -.08 11.79 8.39 11.47 13.04

International Equities .07 .07 16.67 5.90 4.92 4.36MSCI EAFE Index -1.53 -1.53 14.80 5.55 6.49 6.31

MSCI EM Free Index 1.42 1.42 24.93 8.81 4.99 3.55

REIT Funds -8.20 -8.20 -4.48Wilshire REIT Index -7.48 -7.48 -3.64 .97 6.13 9.71

Total Managed Portfolio -1.25 -1.25 4.38 3.32 4.19 4.96Total Account Net of Fees -1.29 -1.29 4.22 3.16 4.02 4.77

Selected Period Performance

PARS/CITY OF FORT WORTH PRHCP Account 6746034300

Period Ending: 03/31/2018


Asset Allocation – City of Fort Worth PRHCPAs of March 31, 2018

3

Current Asset Allocation Investment Vehicle

Equity 30.79% Range: 20%-40% 22,884,665

Large Cap Core 8.44% IVV iShares S&P 500 Index Fund 6,276,001 Large Cap Value 4.01% IVE iShares S&P 500 Value Fund 2,976,672 Large Cap Growth 2.53% IVW iShares S&P 500 Growth Fund 1,877,588 Mid Cap Core 2.21% IWR iShares Russell MidCap Index Fund 1,641,404 Small Cap Value 2.49% IWN iShares Russell 2000 Value Fund 1,851,235 Small Cap Growth 2.07% IWO iShares Russell 2000 Growth Fund 1,534,851 International Core 5.53% EFA iShares MSCI EAFE Index Fund 4,107,427 Emerging Markets 2.25% VWO Vanguard FTSE Emerging Markets ETF 1,669,622 Real Estate 1.28% VNQ Vanguard REIT ETF 949,865

Fixed Income 67.54% Range: 50%-80% 50,201,114

63.02% .. Individual Bonds 46,841,311 Short-Term 4.52% VFSUX Vanguard Short-Term Corp Adm Fund 3,359,804

Cash 1.66% Range: 0%-20% 1,236,926

1.66% FGZXX First American Government Oblig Z 1,236,926

TOTAL 100.00% $74,322,705


4

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 -3.00 1.88 1.88 19.45 12.46 15.16 11.16iShares S&P 500 Index Fnd -2.55 -0.77 -0.77 13.95 10.73 13.25 9.44iShares S&P 500 Value Index -2.06 -3.61 -3.61 7.53 8.24 10.69 7.27

iShares Russell Midcap Index (3/16) 0.05 -0.50 -0.50 12.02 7.83 11.90 10.06

iShares Russell 2000 Value 1.23 -2.62 -2.62 5.06 7.79 9.86 8.53iShares Russell 2000 Growth 1.35 2.30 2.30 18.68 8.89 13.03 11.05

iShares MSCI EAFE Index -1.95 -1.72 -1.72 14.52 5.43 6.36 2.64Vanguard FTSE Emerging Markets ETF (3/11) -1.19 2.09 2.09 20.97 7.52 4.48 2.63

Vanguard REIT ETF (10/15) 3.81 -8.12 -8.12 -4.49 0.76 5.76 6.51

Vanguard Short-Term Investment-Grade Adm 0.13 -0.51 -0.51 0.76 1.50 1.60 2.78BarCap US Aggregate Bond 0.64 -1.46 -1.46 1.20 1.20 1.82 3.63

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 March 31, 2018LARGE CAP EQUITY FUNDS

MID CAP EQUITY FUNDS

Fixed Income Portfolio: StatisticsAs of First Quarter 2018

City of Fort Worth

BC Aggregate Bond

Index

Weighted Average Maturity 6.95 years 8.03 years

Effective Duration 5.42 years 5.98 years

Average Coupon 2.98% 3.05%

Yield to Maturity 3.22% 3.10%

Average Quality Aa3 Aa2


5

Fixed Income Portfolio: SectorsAs of First Quarter 2018

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

Cash Treasury Agency Corp Non-Corp MBS CMO ABS CMBSCity of Fort Worth 0.0% 25.1% 0.0% 45.2% 0.3% 19.3% 0.0% 10.1% 0.0%Barclays U.S. Aggregate Bond Index 0.0% 38.5% 1.7% 25.3% 5.2% 27.0% 0.0% 0.5% 2.0%


6

0%

5%

10%

15%

20%

25%

30%

35%

0-1 Yr. 1-3 Yrs. 3-5 Yrs. 5-7 Yrs. 7-10 Yrs. 10+ Yrs.City of Fort Worth 3.18% 16.65% 30.95% 20.28% 15.85% 13.09%BC Aggregate Bond Index 0.04% 20.99% 20.43% 26.52% 15.90% 16.11%

Effective Duration

Fixed Income Portfolio: Effective Duration and Effective MaturityAs of First Quarter 2018

7

Effective Maturity


0%

5%

10%

15%

20%

25%

30%

35%

40%

0-1 Yr. 1-3 Yrs. 3-5 Yrs. 5-7 Yrs. 7-10Yrs. 10+ Yrs.

City of Fort Worth 3.18% 18.31% 37.17% 22.57% 8.07% 11.92%BC Aggregate Bond Index 0.15% 23.18% 32.21% 22.27% 7.39% 16.29%


8

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

Cash & Cash Equivalents CASH (624.2600) $1.0000 ($624.26)Cash & Cash Equivalents FIRST AMERN GOVT OBLIG FD CL Z #3676 FGZXX 1,237,549.9500 $1.0000 $1,237,549.95Funds ISHARES MSCI EAFE ETF EFA 58,947.0000 $69.6800 $4,107,426.96Funds ISHARES RUSSELL 2000 GROWTH ETF IWO 8,054.0000 $190.5700 $1,534,850.78Funds ISHARES RUSSELL 2000 VALUE ETF IWN 15,189.0000 $121.8800 $1,851,235.32Funds ISHARES RUSSELL MIDCAP ETF IWR 7,951.0000 $206.4400 $1,641,404.44Funds ISHARES S&P 500 GROWTH ETF IVW 12,108.0000 $155.0700 $1,877,587.56Funds ISHARES S&P 500 VALUE ETF IVE 27,224.0000 $109.3400 $2,976,672.16Funds ISHARES TR CORE S&P500 ETF IVV 23,650.0000 $265.3700 $6,276,000.50Funds VANGUARD FTSE EMRG MRKTS ETF VWO 35,539.0000 $46.9800 $1,669,622.22Funds VANGUARD REAL ESTATE ETF VNQ 12,586.0000 $75.4700 $949,865.42Funds VNGRD ST TERM INVMT GRADE ADM #539 VFSUX 319,676.8500 $10.5100 $3,359,803.69Corporate Obligations AMERICAN EXPRESS CO 2.500% 8/01/22 AEC2522 500,000.0000 96.459% $482,295.00Corporate Obligations AMERICAN INTL GROUP 2.300% 7/16/19 AIG2319 500,000.0000 99.071% $495,355.00Corporate Obligations AMXCA 2017-6 A 2.040% 5/15/23 A2A2023 1,000,000.0000 98.182% $981,820.00Corporate Obligations ANHEUSER-BUSCH INBEV 3.650% 2/01/26 AI33626 500,000.0000 99.405% $497,025.00Corporate Obligations AT&T INC NTS 4.125% 2/17/26 AIN4126 500,000.0000 100.242% $501,210.00Corporate Obligations AVALONBAY CMNTYS INC 2.950% 5/11/26 AVB26 500,000.0000 94.492% $472,460.00Corporate Obligations AVALONBAY CMNTYS INC 3.450% 6/01/25 ACI3425 500,000.0000 98.909% $494,545.00Corporate Obligations BANK OF NY MELLON 2.600% 2/07/22 BON2622 500,000.0000 98.103% $490,515.00Corporate Obligations BB&T CORP BDS 2.450% 1/15/20 BCB2420 500,000.0000 99.168% $495,840.00Corporate Obligations BB&T CORP SR MTN 2.850% 10/26/24 BCS2824 200,000.0000 95.956% $191,912.00Corporate Obligations BECTON DICKINSON 2.675% 12/15/19 BD22619 500,000.0000 99.422% $497,110.00Corporate Obligations BK OF AMERICA CORP 4.000% 4/01/24 BOA4024 750,000.0000 102.186% $766,395.00Corporate Obligations BK OF MONTREAL MTN 2.350% 9/11/22 BOM2322 500,000.0000 96.188% $480,940.00Corporate Obligations BK OF NOVA SCOTIA 2.700% 3/07/22 BON2722 500,000.0000 98.080% $490,400.00Corporate Obligations BOSTON PPTYS LTD PAR 2.750% 10/01/26 BXP26A 550,000.0000 91.032% $500,676.00Corporate Obligations CAPITAL ONE BK USA 3.375% 2/15/23 COB3323 750,000.0000 97.450% $730,875.00Corporate Obligations CC CCIT 2014-A1 2.880% 1/23/23 CC22823A 750,000.0000 100.192% $751,440.00Corporate Obligations CDN IMPERIAL BK 2.550% 6/16/22 CIB2522 500,000.0000 97.582% $487,910.00Corporate Obligations CITIGROUP INC 3.200% 10/21/26 CI33226 750,000.0000 95.061% $712,957.50Corporate Obligations COMCAST CORP SR NT 3.375% 8/15/25 CCS3325 470,000.0000 97.836% $459,829.20Corporate Obligations CVS HEALTH CORP 5.050% 3/25/48 CHC5048 470,000.0000 105.179% $494,341.30Corporate Obligations DOW CHEM CO NTS 4.375% 11/15/42 DCC4342 500,000.0000 99.555% $497,775.00

Holdings - Reporting as of Trade DateAccount: 6746034300 - PARS/CITY OF FORT WORTH PRHCP

As of: 31-Mar-2018


9


Corporate Obligations ECOLAB INC SR NT 2.375% 8/10/22 EIS2322 500,000.0000 96.815% $484,075.00Corporate Obligations EL PASO ENERGY CORP 7.800% 8/01/31 EP31 400,000.0000 127.193% $508,772.00Corporate Obligations ENBRIDGE INC 2.900% 7/15/22 EI22922 600,000.0000 97.016% $582,096.00Corporate Obligations ENTERPRISE PRODS NT 3.350% 3/15/23 EPN3323 300,000.0000 99.645% $298,935.00Corporate Obligations ERP OVER LTD PRTN NT 4.625% 12/15/21 EOL4621 300,000.0000 104.496% $313,488.00Corporate Obligations FORD MTR CO NTS 7.450% 7/16/31 F31 500,000.0000 121.161% $605,805.00Corporate Obligations FORDO 2017-C A3 2.010% 3/15/22 F2A2022 1,000,000.0000 98.748% $987,480.00Corporate Obligations GENERAL MTRS FINL CO 4.000% 10/06/26 GMF4026 500,000.0000 97.047% $485,235.00Corporate Obligations HAROT 2017-4 A3 2.170% 11/22/21 H2A2121A 550,000.0000 99.063% $544,846.50Corporate Obligations HEWLETT PACKARD CO NT4.375% 9/15/21 HPC4321 500,000.0000 103.625% $518,125.00Corporate Obligations JOHNSON & JOHNSON 3.625% 3/03/37 550,000.0000 99.621% $547,915.50Corporate Obligations JPMORGAN CHASE NTS 3.200% 1/25/23 JCN3223 750,000.0000 99.053% $742,897.50Corporate Obligations KEY BANK NA 2.250% 3/16/20 KBN2220 550,000.0000 98.703% $542,866.50Corporate Obligations MIDAMERICAN ENERGY 3.750% 11/15/23 ME33723 500,000.0000 101.978% $509,890.00Corporate Obligations NAROT 2016-C A3 1.180% 1/15/21 N2A1121 750,000.0000 98.783% $740,872.50Corporate Obligations NORFOLK SOUTHERN COR 4.150% 2/28/48 NSC4148 290,000.0000 99.089% $287,358.10Corporate Obligations ORACLE CORP NTS 2.950% 11/15/24 OCN2924 500,000.0000 97.301% $486,505.00Corporate Obligations PETRO-CDA NT 6.800% 5/15/38 SU/38 400,000.0000 132.383% $529,532.00Corporate Obligations QUEST DIAGNOSTICS BD 3.500% 3/30/25 QDB3525 400,000.0000 99.302% $397,208.00Corporate Obligations ROYAL BK SCOTLAND GR 3.875% 9/12/23 RBS23B 350,000.0000 98.756% $345,646.00Corporate Obligations SHIRE ACQ INV IRELAND2.875% 9/23/23 SAI2823 500,000.0000 95.468% $477,340.00Corporate Obligations TAOT 2017-D A3 2.260% 1/18/22 T2A2222 750,000.0000 98.536% $739,020.00Corporate Obligations TIME WARNER CABLE IN 6.550% 5/01/37 TWC37 400,000.0000 112.430% $449,720.00Corporate Obligations UNTD AIR 2013-1 4.300% 8/15/25 UA24325 413,702.6900 103.059% $426,357.86Corporate Obligations VERIZON COMM SR NT 4.125% 3/16/27 VC44127 250,000.0000 101.291% $253,227.50Corporate Obligations VERIZON COMMUNICATIO 5.250% 3/16/37 350,000.0000 107.831% $377,408.50Corporate Obligations WELLS FARGO & CO NEW 3.000% 10/23/26 WFC3026A 750,000.0000 93.646% $702,345.00Government Obligations FGLMC #G16300 3.500% 5/01/32 G16300F 938,747.6300 102.036% $957,860.53Government Obligations FHLMC G14752 3.0000% 5/1/2028 G14752F 777,317.3700 100.560% $781,670.35Government Obligations FHLMC G16219 3.0000% 3/1/2032 G16219F 1,102,647.0400 99.895% $1,101,489.26Government Obligations FNMA AL7510 3.50000% 10/1/2045 AL7510A 1,546,078.5600 100.947% $1,560,719.92Government Obligations FNMA AL7945 3.50000% 1/1/2046 AL7945A 928,913.2200 100.605% $934,533.14Government Obligations FNMA AS4972 3.0000% 5/1/2045 AS4972A 1,040,927.3800 98.022% $1,020,337.84Government Obligations FNMA AS7701 2.500% 8/01/31 AS7701A 935,102.7600 98.346% $919,636.16Government Obligations FNMA AS8647 3.00000% 1/1/2047 AS8647A 921,721.2300 97.806% $901,498.67


As of: 31-Mar-2018


10


Government Obligations FNMA BM1228 3.00000% 5/1/2032 BM1228A 883,295.4900 99.981% $883,127.66Government Obligations US TREAS BDS 3.625% 8/15/43 UTB3643 1,475,000.0000 111.949% $1,651,247.75Government Obligations US TREAS NTS 1.250% 12/15/18 UTN1218C 1,500,000.0000 99.449% $1,491,735.00Government Obligations US TREAS NTS 1.500% 11/30/19 UTN1519E 550,000.0000 98.770% $543,235.00Government Obligations US TREAS NTS 1.625% 4/30/23 UTN1623 2,650,000.0000 95.477% $2,530,140.50Government Obligations US TREAS NTS 1.875% 1/31/22 UTN0022B 840,000.0000 97.734% $820,965.60Government Obligations US TREAS NTS 2.000% 2/15/25 UTN2025 300,000.0000 95.684% $287,052.00Government Obligations US TREAS NTS 2.000% 5/31/24 UTN2024A 700,000.0000 96.277% $673,939.00Government Obligations US TREAS NTS 2.125% 8/15/21 UTN2521 3,300,000.0000 98.914% $3,264,162.00Government Obligations US TREAS NTS 2.375% 12/31/20 UTN2320 500,000.0000 99.996% $499,980.00Municipal Obligations LOS ANGELES REV BDS 6.574% 7/01/45 LAR6545 110,000.0000 144.897% $159,386.70Subtotals

Cash & Cash Equivalents $1,236,925.69Funds $26,244,469.05Government Obligations $20,823,330.38Municipal Obligations $159,386.70Corporate Obligations $25,858,593.46Total $74,322,705.28


As of: 31-Mar-2018

Monthly Investment PerformanceAnalysisFort Worth Employees' Retirement Fund

Period Ended: March 31, 2018

Asset Allocation by Theme Asset Allocation vs. Target Allocation

Asset Allocation vs. Target Allocation Differences

March 31, 2018 : $2,312,835,106

Market Value

($)

Allocation

(%)

High Growth 487,369,301 21.07Growth 1,051,927,075 45.48Capital Preservation 338,884,889 14.65Diversification 230,876,568 9.98Inflation 170,275,380 7.36Liquidity 24,861,860 1.07Liquidating Investments 8,640,032 0.37

Market Value($)

Allocation(%)

Target(%)

High Growth 487,369,301 21.07 22.00Growth 1,051,927,075 45.48 44.00Capital Preservation 338,884,889 14.65 15.00Diversification 230,876,568 9.98 10.00Inflation 170,275,380 7.36 8.00Liquidity 24,861,860 1.07 1.00Liquidating Investments 8,640,032 0.37 0.00Total Fund 2,312,835,106 100.00 100.00

Fort Worth Employees' Retirement Fund

Total Fund Composite

Asset Allocation by Theme and Asset Allocation vs. Target Allocation

As of March 31, 2018

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

Page 3

March 31, 2018 : $2,312,835,106 Market Value($)

Allocation(%)

Private Equity 276,633,154 11.96Non-Core Real Estate 109,284,453 4.73High Growth Hedge Funds 39,478,289 1.71Emerging Markets Equity 61,973,405 2.68Public Equity 844,565,332 36.52Growth Hedge Funds 94,849,883 4.10Other Growth 112,511,860 4.86Core Fixed Income 68,581,449 2.97Core Plus Fixed Income 270,303,440 11.69Diversification Hedge Funds 155,536,467 6.72GTAA 75,340,101 3.26Core Real Estate 110,733,345 4.79Commodities and MLPs 59,542,036 2.57Liquidity 24,861,860 1.07Liquidating Investments 8,640,032 0.37


Asset Allocation by Asset Class


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

Page 4

MarketValue ($)

% MTD QTD CYTD1

Year3

Years5

YearsSinceIncep.

InceptionDate

Total Fund Composite (Gross) 2,312,835,106 100.00 0.39 0.76 0.76 11.61 7.12 7.51 8.88 09/01/1983

Total Fund Composite 2,312,835,106 100.00 0.38 0.67 0.67 11.28 6.77 7.15 8.69 09/01/1983

Implementation Index -0.28 -0.24 -0.24 9.67 6.15 7.01 N/ADifference 0.66 0.91 0.91 1.61 0.62 0.14 N/A

High Growth Composite 487,369,301 21.07 2.64 3.60 3.60 16.69 N/A N/A 16.98 01/01/2017

High Growth Implementation Index 0.05 0.79 0.79 12.87 9.76 10.44 14.61Difference 2.59 2.81 2.81 3.82 N/A N/A 2.37

Growth Composite 1,051,927,075 45.48 -0.45 0.21 0.21 15.39 N/A N/A 16.63 01/01/2017

Growth Implementation Index -0.76 -0.24 -0.24 14.68 8.07 9.25 16.80Difference 0.31 0.45 0.45 0.71 N/A N/A -0.17

Capital Preservation Composite 338,884,889 14.65 0.56 -1.20 -1.20 1.92 1.79 1.88 2.48 01/01/2017

Capital Preservation Implementation Index 0.64 -1.46 -1.46 1.20 1.20 1.82 1.62Difference -0.08 0.26 0.26 0.72 0.59 0.06 0.86

Diversification Composite 230,876,568 9.98 0.12 0.91 0.91 4.87 N/A N/A 5.47 01/01/2017

Diversification Implementation Index -0.41 -0.46 -0.46 2.11 1.38 2.51 2.55Difference 0.53 1.37 1.37 2.76 N/A N/A 2.92

Inflation Composite 170,275,380 7.36 -1.00 -0.23 -0.23 3.79 N/A N/A 4.50 01/01/2017

Inflation Implementation Index -0.09 -0.90 -0.90 1.10 3.16 4.63 2.01Difference -0.91 0.67 0.67 2.69 N/A N/A 2.49


Asset Allocation & Performance


Performance shown is net of fees, except where noted. Performance and market values 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 ($)

%5

Years10

YearsSinceIncep.

InceptionDate

Total Fund Composite (Gross) 2,312,835,106 100.00 7.51 5.62 8.88 09/01/1983

Total Fund Composite 2,312,835,106 100.00 7.15 5.24 8.69 09/01/1983

Target Allocation Index 7.60 6.51 N/ADifference -0.45 -1.27 N/A

High Growth Composite 487,369,301 21.07 N/A N/A 16.98 01/01/2017

MSCI All Country World Index (USD) (Net)+3% 12.48 8.74 21.38Difference N/A N/A -4.40

Growth Composite 1,051,927,075 45.48 N/A N/A 16.63 01/01/2017

MSCI ACW Index (USD) (Net) 9.20 5.57 17.84Difference N/A N/A -1.21

Capital Preservation Composite 338,884,889 14.65 1.88 5.18 2.48 01/01/2017

Bloomberg US Agg Bond Index 1.82 3.63 1.62Difference 0.06 1.55 0.86

Diversification Composite 230,876,568 9.98 N/A N/A 5.47 01/01/2017

ICE BofAML 3 Mo US T-Bill Index+3% 3.35 3.35 4.00Difference N/A N/A 1.47

Inflation Composite 170,275,380 7.36 N/A N/A 4.50 01/01/2017

Consumer Price Index+4% 5.46 5.63 6.79Difference N/A N/A -2.29




Performance shown is net of fees, except where noted. Performance and market values 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 6




MarketValue ($)

% MTD QTD CYTD1

Year3

Years5

Years10

YearsSinceIncep.

InceptionDate

High Growth

Private Equity 276,633,154 11.96 3.53 4.65 4.65 20.76 15.97 17.98 10.64 6.68 04/01/2006

Non-Core Real Estate 109,284,453 4.73 4.01 4.31 4.31 8.84 8.11 9.29 N/A 8.67 09/01/2011

High Growth Hedge Funds 39,478,289 1.71 -0.76 -0.02 -0.02 6.44 N/A N/A N/A 10.45 01/01/2017

MSCI ACW Index (USD) (Net) -2.14 -0.96 -0.96 14.85 8.12 9.20 5.57 17.84Difference 1.38 0.94 0.94 -8.41 N/A N/A N/A -7.39

Emerging Markets Equity 61,973,405 2.68 -1.04 0.60 0.60 27.68 7.23 N/A N/A 8.97 02/01/2014

MSCI Emg Mkts Index (USD) (Net) -1.86 1.42 1.42 24.93 8.81 4.99 3.02 7.99Difference 0.82 -0.82 -0.82 2.75 -1.58 N/A N/A 0.98

Wm Blair EM Equity (CF) 61,973,405 2.68 -1.04 0.60 0.60 27.68 7.23 N/A N/A 8.97 02/01/2014

MSCI Emg Mkts Index (USD) (Net) -1.86 1.42 1.42 24.93 8.81 4.99 3.02 7.99Difference 0.82 -0.82 -0.82 2.75 -1.58 N/A N/A 0.98

Growth

Public Equity 844,565,332 36.52 -0.61 0.36 0.36 17.53 9.31 9.89 6.28 4.81 07/01/2007

MSCI ACW Index (USD) (Net) -2.14 -0.96 -0.96 14.85 8.12 9.20 5.57 4.38Difference 1.53 1.32 1.32 2.68 1.19 0.69 0.71 0.43

NTAM ACW IM Index (CF) 258,302,414 11.17 -1.36 -0.50 -0.50 15.73 N/A N/A N/A 17.24 02/01/2017

MSCI ACW IM Index (USD) (Net) -1.87 -0.89 -0.89 15.03 8.27 9.34 5.90 16.58Difference 0.51 0.39 0.39 0.70 N/A N/A N/A 0.66

NTAM ACW Dvsf'd Multi-Factor Index (CF) 251,374,525 10.87 -0.69 1.84 1.84 21.98 N/A N/A N/A 21.98 04/01/2017

MSCI ACW Dvsf'd Multi-Factor Index (USD) (Net) -1.29 1.44 1.44 21.51 10.27 12.29 8.38 21.51Difference 0.60 0.40 0.40 0.47 N/A N/A N/A 0.47

Frontier Capital S/MCG (SA) 80,183,320 3.47 -1.43 -2.56 -2.56 9.17 7.03 12.79 N/A 13.15 04/01/2010

Russell 2500 Grth Index 0.82 2.38 2.38 19.92 9.11 13.37 11.17 13.96Difference -2.25 -4.94 -4.94 -10.75 -2.08 -0.58 N/A -0.81

Westwood Small-Cap Value (SA) 82,236,593 3.56 2.77 0.15 0.15 13.02 N/A N/A N/A 24.37 03/01/2016

Russell 2000 Val Index 1.24 -2.64 -2.64 5.13 7.87 9.96 8.61 20.42Difference 1.53 2.79 2.79 7.89 N/A N/A N/A 3.95

Wellington: International Horizons (SA) 82,172,287 3.55 -1.10 N/A N/A N/A N/A N/A N/A -1.10 03/01/2018

MSCI ACW Ex US Index (USD) (Net) -1.76 -1.18 -1.18 16.53 6.18 5.89 2.70 -1.76Difference 0.66 N/A N/A N/A N/A N/A N/A 0.66

Performance is net of fees. Performance and market values 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 7




MarketValue ($)

% MTD QTD CYTD1

Year3

Years5

Years10

YearsSinceIncep.

InceptionDate

Franklin Templeton Small Cap Int'l Equity (SA) 90,296,173 3.90 0.33 1.62 1.62 23.81 9.38 N/A N/A 8.30 05/01/2013

MSCI ACW Ex US Sm Cap Index (USD) (Net) -1.13 -0.35 -0.35 20.60 10.40 8.57 5.51 8.13Difference 1.46 1.97 1.97 3.21 -1.02 N/A N/A 0.17

Growth Hedge Funds 94,849,883 4.10 0.00 1.81 1.81 13.12 N/A N/A N/A 13.74 01/01/2017

Growth Hedge Fund Custom Index -0.47 0.37 0.37 7.43 4.71 5.22 4.22 8.56Difference 0.47 1.44 1.44 5.69 N/A N/A N/A 5.18

Other Growth 112,511,860 4.86 0.42 -2.01 -2.01 3.83 N/A N/A N/A 5.59 01/01/2017

Other Growth Actual Allocation Index 0.54 -2.13 -2.13 3.49 N/A N/A N/A 4.46Difference -0.12 0.12 0.12 0.34 N/A N/A N/A 1.13

Heitman Public Real Estate 24,643,322 1.07 2.87 -5.19 -5.19 1.55 1.97 5.68 N/A 15.51 04/01/2009

FTSE EPRA/NAREIT Dvl'd Rental TR Index ($) 3.21 -5.07 -5.07 2.45 2.45 5.67 4.96 16.32Difference -0.34 -0.12 -0.12 -0.90 -0.48 0.01 N/A -0.81

Stone Harbor EM Dbt;Inst (SHMDX) 40,674,167 1.76 0.19 -0.94 -0.94 5.90 6.95 3.68 N/A 4.89 06/01/2011

JPM Emg Mkts Bond Gbl Dvf'd Index (TR) 0.29 -1.74 -1.74 4.30 5.78 4.69 7.04 6.04Difference -0.10 0.80 0.80 1.60 1.17 -1.01 N/A -1.15

Loomis Sayles High Yield (SA) 47,194,371 2.04 -0.61 -1.19 -1.19 3.40 1.87 3.95 N/A 8.30 06/01/2008

Loomis Sayles Custom Index -0.60 -0.86 -0.86 3.19 2.29 2.53 4.18 4.31Difference -0.01 -0.33 -0.33 0.21 -0.42 1.42 N/A 3.99


Page 8




MarketValue ($)

% MTD QTD CYTD1

Year3

Years5

Years10

YearsSinceIncep.

InceptionDate

Capital Preservation

Core Fixed Income 68,581,449 2.97 0.76 -0.53 -0.53 2.12 N/A N/A N/A 2.43 01/01/2017

Bloomberg US Agg Bond Index 0.64 -1.46 -1.46 1.20 1.20 1.82 3.63 1.62Difference 0.12 0.93 0.93 0.92 N/A N/A N/A 0.81

Garcia Hamilton Aggregate (SA) 68,581,449 2.97 0.76 -0.53 -0.53 2.12 N/A N/A N/A 0.92 11/01/2016

Bloomberg US Agg Bond Index 0.64 -1.46 -1.46 1.20 1.20 1.82 3.63 -0.17Difference 0.12 0.93 0.93 0.92 N/A N/A N/A 1.09

Core Plus Fixed Income 270,303,440 11.69 0.52 -1.36 -1.36 1.86 N/A N/A N/A 2.49 01/01/2017

Bloomberg US Agg Bond Index 0.64 -1.46 -1.46 1.20 1.20 1.82 3.63 1.62Difference -0.12 0.10 0.10 0.66 N/A N/A N/A 0.87

PIMCO Total Return (SA) 134,593,126 5.82 0.56 -1.47 -1.47 1.90 1.85 1.85 4.22 6.84 12/01/1988

Bloomberg US Agg Bond Index 0.64 -1.46 -1.46 1.20 1.20 1.82 3.63 6.19Difference -0.08 -0.01 -0.01 0.70 0.65 0.03 0.59 0.65

Aberdeen Total Return (SA) 135,710,315 5.87 0.47 -1.25 -1.25 1.82 1.69 1.88 N/A 3.75 01/01/2010

Bloomberg US Agg Bond Index 0.64 -1.46 -1.46 1.20 1.20 1.82 3.63 3.32Difference -0.17 0.21 0.21 0.62 0.49 0.06 N/A 0.43

Diversification

Diversification Hedge Funds 155,536,467 6.72 0.00 1.21 1.21 3.48 N/A N/A N/A 3.07 01/01/2017

Diversification Hedge Fund Custom Index -0.41 -0.46 -0.46 2.11 1.38 2.51 3.34 2.55Difference 0.41 1.67 1.67 1.37 N/A N/A N/A 0.52

GTAA 75,340,101 3.26 0.35 0.27 0.27 8.77 5.70 3.55 N/A 5.89 02/01/2010

60% MSCI ACW (Net)/40% Bbrg Gbl Agg Idx -0.86 0.01 0.01 11.71 6.25 6.18 4.65 6.81Difference 1.21 0.26 0.26 -2.94 -0.55 -2.63 N/A -0.92

PIMCO:All Asset;Inst (PAAIX) 75,340,101 3.26 0.35 0.27 0.27 8.77 5.70 3.55 N/A 5.89 02/01/2010

60% MSCI ACW (Net)/40% Bbrg Gbl Agg Idx -0.86 0.01 0.01 11.71 6.25 6.18 4.65 6.81Difference 1.21 0.26 0.26 -2.94 -0.55 -2.63 N/A -0.92


Page 9




MarketValue ($)

% MTD QTD CYTD1

Year3

Years5

Years10

YearsSinceIncep.

InceptionDate

Inflation

Core Real Estate 110,733,345 4.79 0.23 2.82 2.82 11.99 N/A N/A N/A 11.21 01/01/2017

NCREIF ODCE Index (AWA) (Net) 1.97 1.97 1.97 7.11 9.00 10.41 4.16 6.95Difference -1.74 0.85 0.85 4.88 N/A N/A N/A 4.26

Commodities and MLPs 59,542,036 2.57 -3.21 -5.44 -5.44 -9.14 N/A N/A N/A -6.26 01/01/2017

Commodities and MLPs Actual Allocation Index -3.90 -6.39 -6.39 -9.83 N/A N/A N/A -7.07Difference 0.69 0.95 0.95 0.69 N/A N/A N/A 0.81

Core Commodity Management (CF) 26,481,710 1.14 -0.52 0.06 0.06 4.50 -3.13 -8.19 N/A -8.20 07/01/2011

Bloomberg Cmdty Index (TR) -0.62 -0.40 -0.40 3.71 -3.21 -8.32 -7.71 -8.14Difference 0.10 0.46 0.46 0.79 0.08 0.13 N/A -0.06

Harvest Fund Advisors MLP Alpha (SA) 33,060,325 1.43 -5.26 -9.43 -9.43 -18.05 -9.20 N/A N/A -9.33 11/01/2014

S&P MLP Index (TR) -6.40 -10.73 -10.73 -18.72 -11.68 -4.92 6.18 -13.23Difference 1.14 1.30 1.30 0.67 2.48 N/A N/A 3.90The 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 12/31/2009 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 3/31/2017, 100% Loomis Sayles manager performance during 04/31/2017, 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 10

Fort Worth Employees' Retirement Fund As of March 31, 2018

Active/Passive Allocation & Effective Fees

Composite/Manager Target Sub-Target Active/Passive Effective Fee

Total Fund 100% 78% Active/22% Passive 0.73%

High Growth 22% 100% Active 1.24%

Private Equity 10% 45% Active 1.23%Non-Core Real Estate 7% 30% Active 1.33%High Growth Hedge Funds 2% 8% Active 1.74%Wm Blair EM Equity (CF) 4% 18% Active 0.89%

Growth 44% 52% Active/48% Passive 0.46%

NTAM ACW IM Index (CF) 11% 24% Passive 0.015%NTAM ACW Dvsf'd Multi-Factor Index (CF) 11% 24% Passive 0.05%Frontier Capital S/MCG (SA) 4% 8% Active 0.75%Westwood Small-Cap Value (SA) 4% 8% Active 0.88%Wellington: International Horizons (SA) 4% 8% Active 0.60%Franklin Templeton Small Cap Int'l Equity (SA) 4% 8% Active 0.84%Growth Hedge Funds 4% 9% Active 1.50%Heitman Public Real Estate 1% 3% Active 0.64%Stone Harbor EM Dbt;Inst (SHMDX) 2% 5% Active 0.69%Loomis Sayles High Yield (SA) 2% 4% Active 0.45%

Capital Preservation 15% 100% Active 0.25%

Garcia Hamilton Aggregate (SA) 3% 20% Active 0.20%PIMCO Total Return (SA) 6% 40% Active 0.23%Aberdeen Total Return (SA) 6% 40% Active 0.29%

Diversification 10% 100% Active 1.52%

Diversification Hedge Funds 10% 100% Active 1.52%PIMCO:All Asset;Inst (PAAIX) 0% 0% Active 0.865%

Inflation 8% 100% Active 0.79%

Core Real Estate 5% 65% Active 0.87%Core Commodity Management (CF) 1% 15% Active 0.50%Harvest Fund Advisors MLP Alpha (SA) 2% 20% Active 0.75%

Liquidity 1% 100% Passive N/A

Liquidity 1% 100% Passive N/A

Allocations may not sum to 100% due to rounding.Private Equity, Hedge Fund, and Real Estate fees consist of management fees and exclude all performance-based fees.Private Equity fee is based on invested capital.

Page 11

Fort Worth Employees Retirement FundThematic Asset Class Buckets

High Growth Capital Preservation

InflationDiversification Liquidating Investments

Growth

• Private Equity• Non-Core Real Estate• High Growth Hedge Funds• Wm Blair EM Equity (CF)

• NTAM ACW IM Index (CF)• NTAM ACW Dvsf’d Multi-Factor Index (CF)• Frontier Capital S/MCG (SA)• Westwood Small-Cap Value (SA)• Wellington: International Horizons (SA)• Franklin Templeton Sm Cap Int'l Eq (SA)• Growth Hedge Funds• Heitman Public Real Estate• Stone Harbor EM Dbt;Inst (SHMDX)• Loomis Sayles High Yield (SA)

• Garcia Hamilton Aggregate (SA)• PIMCO Total Return (SA)• Aberdeen Total Return (SA)

• Diversification Hedge Funds• PIMCO:All Asset;Inst (PAAIX)

• Core Real Estate• Core Commodity Management (CF)• Harvest Fund Advisors MLP Alpha (SA)

• Manning & Napier Non-U.S. Equity (SA)• Thornburg Int'l Equity (SA)• Harbinger Capital Partners Fund I (CF)• DE Shaw Composite International Fund (CF)• Impala Fund Ltd (CF)• Indus Asia Pacific Fund (CF)• Luxor Capital Partners Offshore (CF)• Oz Overseas Fund (CF)• Perry Partners International (CF)• Planfield Special Situations Fund (CF)• Raptor Global Fund (CF)• Ritchie Multi-Strategy Global (CF)• Shepherd Investments International (CF)

Page 12

Disclaimer of Warranties and Limitation of Liability - This document was prepared by RVK, Inc. (RVK) and may include information and data from some or all of the following sources: client staff; custodian banks; investment managers; specialty investment consultants; actuaries; plan administrators/record-keepers; index providers; as well as other third-party sources as directed by the client or as we believe necessary or appropriate. RVK has taken reasonable care to ensure the accuracy of the information or data, but makes no warranties and disclaims responsibility for the accuracy or completeness of information or data provided or methodologies employed by any external source. This document is provided for the client’s internal use only and does not constitute a recommendation by RVK or an offer of, or a solicitation for, any particular security and it is not intended to convey any guarantees as to the future performance of the investment products, asset classes, or capital markets.

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