i review fourth quarter, 2019

63
prepared by JEFFREY R. DAVIDEK Senior Vice President [email protected] C. S. McKee, L.P. One Gateway Center Pittsburgh, PA 15222 412/880-5265 INVESTMENT REVIEW , Fourth Quarter, 2019 prepared for CENTRE COUNTY EMPLOYEES' RETIREMENT FUND

Upload: others

Post on 21-Jan-2022

5 views

Category:

Documents


0 download

TRANSCRIPT

Page 1: I REVIEW Fourth Quarter, 2019

prepared by

JEFFREY R. DAVIDEKSenior Vice [email protected]

C. S. McKee, L.P.One Gateway CenterPittsburgh, PA 15222412/880-5265

INVESTMENT REVIEW, Fourth Quarter, 2019

prepared for

CENTRE COUNTY EMPLOYEES' RETIREMENT FUND

Page 2: I REVIEW Fourth Quarter, 2019

TABLE OF CONTENTS

TAB

I Cash Flows & Investment PerformanceII Portfolio Characteristics

III Market CommentaryIV Portfolio SummaryV Five Minutes with C. S. McKee

Page 3: I REVIEW Fourth Quarter, 2019

91185Account Statement - at 12/31/2019

Centre County Employees' Retirement Fund

Allocation

Actual

Actual Target Diff

51.4% 40.0% +11.4% Large-Cap Core Equity

8.2% 15.0% (-6.8%)International Equity

39.1% 45.0% (-5.9%)Fixed Income

1.3% 0.0% +1.3% Cash

QTD

-889,932

900,758

$87,828,850

Net additions and disbursements

Investment income

Portfolio appreciation / depreciation

Beginning market value

4,436,925

$92,276,600Ending market value

Portfolio Summary9/30/19 - 12/31/19

-3,888,668

2,267,196

$80,699,635

13,198,438

YTD

$92,276,600

12/31/18 - 12/31/19

Performance YTD 3 yr 5 yr 10 yrQTD 20 yr

10.06% 29.63% 13.49% 10.07% 11.97%Large-Cap Core Equity (12/31/1982)* 7.89%

9.07% 31.49% 15.27% 11.70% 13.56%S&P 500 6.05%

7.95% 17.16% 6.04% 3.91% 3.86%International Mutual Fund (7/1/1994)* 3.27%

8.17% 22.01% 9.56% 5.67% 5.50%EAFE 3.31%

0.49% 7.23% 3.48% 2.96% 3.69%Fixed Income (12/31/1982)* 5.32%

0.47% 6.67% 3.26% 2.59% 3.33%Blend Index 4.82%

6.12% 19.59% 8.94% 6.74% 7.77%Total Portfolio (12/31/1982)* 6.39%

5.06% 18.59% 9.13% 6.82% 7.96%Blend Index 5.53%

Benchmark History

Total Portfolio Blend Index

BCIAGG 45% SP500 40%

EAFE 15%

01/01/2014

BCAGG 45% SP500 40%

EAFE 15%

07/01/2000

Fixed Income Blend Index

BCIAGG 100%01/01/2014

BCAGG 100%04/01/1999

Periods greater than 1 year are annualized

* Performance Start Date

Page 1

Page 4: I REVIEW Fourth Quarter, 2019

Large-Cap Core Equity

Portfolio Characteristics – at December 31, 2019

The above information is shown as supplemental information and complements the composite disclosure presentation. Please see full disclosure information at the end of this presentation.

Model accounts are used to produce characteristics and performance attribution for the C. S. McKee products. Adjustments are made to account for timing differences in the transactions and to balance to the actual time-

weighted composite figure. Past security contributions to performance are not indicative of future results and client results may vary significantly.

* For information on the contribution calculation methodology and a list of every holding’s contribution to the overall account’s performance during the measurement period, please contact C. S. McKee at 412-566-1234.

Sector Allocation (GICS)

% of Portfolio

Best & Worst Contributors to Performance * / Top Holdings / Transactions

Top 5 Contributors

Top 10 Holdings Transactions

Less than $5 Billion

$5 to $10 Billion

$10 to $25 Billion

$25 to $50 Billion

Over $50 Billion

Total

C.S. McKee

Stocks | % of Portfolio Stocks | % of Portfolio

Market Capitalization

Btm 5 Contributors

Benchmark Comparisons C.S. McKee S&P 500 Variance

S&P 500

% Contribution % of Portfolio % Contribution % of Portfolio

0%

7%

14%

21%

28%

Communication

Services

Consumer

Discretionary

Consumer

Staples

Energy Financials Health Care Industrials Information

Technology

Materials Real Estate Utilities

C.S. McKee S&P 500

Number of Holdings 48 505 -457

Weighted Average Capitalization ($Mil) 317,176 281,256 35,920

Mean Capitalization ($Mil) 171,920 55,694 116,226

Median Capitalization ($Mil) 52,807 23,590 29,217

Yield (%) 1.79 1.82 -0.03

Beta (Volatility) 1.06 1.00 0.06

R-Squared (Risk due to Market) 0.95 1.00 -0.05

5-Year Standard Deviation (Variability) 13.07 11.98 1.09

Price-to-Book 3.20 3.63 -0.43

Turnover (Trailing 12 Months) (%) 13.0

Price-to-Earnings Ratios:

Trailing 12-Month P/E Ratio 18.8 21.6 -2.8

2020 Forecast P/E Ratio 15.1 18.8 -3.7

EPS Growth - Next 5 Years (%) 9.2 8.6 0.6

Apple 1.95 7.37

Microsoft 0.90 6.74

Humana 0.59 1.74

Intel 0.57 3.59

Centene 0.54 1.58

Apple AAPL 7.37

Microsoft MSFT 6.74

Alphabet-GOOG/ GOOGL GOOG 5.45

Intel INTC 3.59

Honeywell HON 3.34

AT&T T 3.03

Walt Disney DIS 2.91

Facebook FB 2.86

JPMorgan Chase JPM 2.79

Walmart WMT 2.59

Expedia Group -0.40 1.54

American Int'l Group -0.10 1.18

Kennametal -0.09 0.10

Cisco Systems -0.07 2.30

Occidental Petroleum -0.07 1.28

2

2

6

12

26

48

1.8

2.9

9.3

18.6

67.4

100.0

5

61

198

110

131

505

0.1

1.7

11.7

13.9

72.6

100.0

Buys

New: United Technologies (UTX)

Gilead Sciences (GILD), Goldman Sachs (GS), Wells Fargo

(WFC), Chevron (CVX),Occidental Petroleum (OXY)

Add:

Sales

Full: Kennametal (KMT)

Corporate Action: Celgene (CELG)

Bristol Myers Squibb (BMY), Bristol Myers

Squibb-CVR (BMY.RT)

Corporate Action:

Page 2

Page 5: I REVIEW Fourth Quarter, 2019

International Equity

Portfolio Characteristics – at December 31, 2019

* Holdings subject to risk. Holdings and allocations subject to change. For information, please contact C. S. McKee at 412-566-1234.

** Forward P/E Ratio divides a stock’s current price by its estimate future earnings per share; it is calculated using consensus earnings estimates for the upcoming quarters. 5 Year Earnings Growth provides an estimate of

how much analysts believe earnings will grow over the next 5 year period. Forward P/E Ratio and 5 Year Earnings Growth are not a forecast of the product’s future performance.

Weighting by Economic Sector* (Period-ending weights using GICS sectors)

% of Portfolio

Allocations

Top 10 Countries*

Benchmark Comparisons C.S. McKee MSCI EAFE

% of PortfolioTop 10 Holdings* Geographic Distribution*

Country C.S McKee* (%) MSCI EAFE (%) Variance

AUSTRALIA 7.43 6.81 0.62AUSTRIA 0.00 0.22 -0.22BELGIUM 0.00 0.99 -0.99DENMARK 0.00 1.84 -1.84FINLAND 0.00 0.95 -0.95FRANCE 12.46 11.44 1.02GERMANY 4.01 8.67 -4.66HONG KONG 2.47 3.49 -1.02IRELAND 0.00 0.59 -0.59ISRAEL 1.21 0.56 0.65ITALY 4.24 2.35 1.89JAPAN 27.54 24.58 2.96NETHERLANDS 0.00 3.98 -3.98NEW ZEALAND 0.00 0.28 -0.28NORWAY 1.20 0.62 0.58PORTUGAL 0.00 0.16 -0.16SINGAPORE 2.89 1.28 1.61SPAIN 5.71 2.84 2.87SWEDEN 3.30 2.50 0.80SWITZERLAND 10.65 9.35 1.30TAIWAN 4.44 0.00 4.44UNITED KINGDOM 10.02 16.50 -6.48CASH 2.43 0.00 2.43

Total 100.00 100.00

Country Allocations

Price-to-Book Value Ratio 1.40 1.69

Price-to-Earnings Ratios:

Trailing 12-Month P/E Ratio 16.7 16.3

Forward 12-Month P/E Ratio** 12.6 14.7

Earnings Per Share Growth Rate

5 Year EPS Forecast** 8.3% 8.0%

Holdings 44 918

Markets 14 21

Market Cap Range $3.3 to $1,523.4 Bill. $1.5 to $322.0 Bill.

Weighted Avg. Market Cap $58.2 Billion $63.7 Billion

Median Maket Cap $37.5 Billion $7.9 Billion

ADRs 5.6% 0.0%

0%

5%

10%

15%

20%

25%

Communication

Services

Consumer

Discretionary

Consumer

Staples

Energy Financials Health Care Industrials Information

Technology

Materials Real Estate Utilities Cash

C.S. McKee MSCI EAFE

Japan 27.54

France 12.46

Switzerland 10.65

United Kingdom 10.02

Australia 7.43

Spain 5.71

Taiwan 4.44

Italy 4.24

Germany 4.01

Sweden 3.30

Total 89.80

Astellas Pharma 4.65

KDDI 4.27

Zurich Insurance 3.54

CSL FPO 3.35

AXA 3.34

Taiwan Semiconductor 3.07

Denso 2.95

DBS Group Holdings 2.89

Diageo 2.86

Sankyu 2.85

Total 33.77

Europe 54%

Japan 28%

Non-Japanese Asia 5%

Australia 8%

Israel 1%

Dev. Markets (10% Max.) 4%

Page 3

Page 6: I REVIEW Fourth Quarter, 2019

Fixed Income Portfolio Characteristics - at 12/31/2019

Centre County Employees' Retirement Fund

Centre Cty Empl

RetBenchmark Comparisons

3.90

-0.18

Effective Duration

Average Convexity

yrs.

4.67

2.17

2.90

Aa1

yrs.

%

%

Average Maturity

Yield to Maturity

Average Coupon

Average Quality

BC Intermediate

Aggregate Variance

-0.29

3.71 0.19yrs. yrs.

0.11

4.71

2.16

2.97

Aa2

yrs.

%

%

-0.05

yrs.

0.01 %

-0.07 %

N/A

Top 10 Largest Holdings Coupon Maturity Sector % of Portfolio

UNITED STATES TREAS 2.000 11/15/2026 US Treasuries 4.45

UNITED STATES TREAS 0.625 01/15/2024 US Treasuries 3.94

UNITED STATES TREAS 2.625 01/31/2026 US Treasuries 3.34

UNITED STATES TREAS 2.000 08/31/2021 US Treasuries 2.76

FHLMC PC GOL G08737 3.000 12/01/2046 Mortgage Backed Securities 2.57

UNITED STATES TREAS 1.750 06/30/2024 US Treasuries 2.14

UNITED STATES TREAS 3.125 11/15/2028 US Treasuries 1.77

FNMA PASSTHRU AS7388 3.500 06/01/2046 Mortgage Backed Securities 1.75

GNMA REMIC TRUST 2.500 10/20/2045 CMO 1.38

UNITED STATES TREAS 1.750 04/30/2022 US Treasuries 1.33

21.15

39.25

4.856.93

2.46

0%

60%

30%

15%

45%

20.47

32.98

4.43

8.24

2.62

6.56

0.53

25.95

19.56

0.00

2.601.42

BC Intermediate Aggregate

Centre Cty Empl Ret

US Treasury TIPS Agencies MBS CMO CMBS ABS Corporates Non-Corporate / Other

Cash

Sector Allocation

Term Structure

60%

45%

30%

15%

0%

BC Intermediate Aggregate

Centre Cty Empl Ret

0 - 1 Years 1 - 3 Years 3 - 5 Years 5 - 7 Years 7 - 10 Years 10 - 20 Years 20 + Years

Page 4

Page 7: I REVIEW Fourth Quarter, 2019

Sector Positions

Equal-weight Consumer Discretionary: We are taking advantage of

attractive valuations with compelling growth rates but remain cautious on

the retail sector.

Underweight Consumer Staples: We believe the sector is overvalued given

the low growth expectations relative to valuations.

Overweight Energy: We will remain overweight as we think the Middle East

geopolitical tensions will persist, thus are bullish on oil prices.

Equal-weight Financials: While we are roughly equal-weight the sector, we

are overweight mega-cap banks as we feel this low expectations industry

presents attractive valuations combined with improved regulatory and credit

quality characteristics 10+ years post the crisis.

Overweight Information Technology: Valuations are still attractive given

the growth expectations of the sector.

Underweight Health Care: We expect Health Care services companies and

established biotech companies to outperform large pharmaceutical drug

companies.

Overweight Industrials: We are optimistic that the U.S. and China will

resolve their trade dispute; hence, we remain overweight the sector.

Underweight Materials: Mixed price action across the commodity space

supports that there is not enough evidence to change our stance on the

materials sector.

Underweight Utilities: Trading at valuations above historical norms driven

by their overweight in dividend-oriented ETFs.

Overweight Communication Services: Historically, the Telecomm sector

was viewed as a bond proxy due to its large number of high dividend-paying

stocks and we underweighted the sector. However, the sector has changed

to Communication Services, which encompasses more growth-oriented

stocks, and hence we are overweight, given the growth opportunities that

now exist in the sector.

Underweight REITS: Trading at valuations well above historical norms

with below market growth expectations.

Large-Cap Core Equity, Fourth Quarter, 2019

The C.S. McKee Large-Cap Core Equity composite’s return of 9.87% outperformed the S&P 500’s return of 9.07% by 80

basis points in the quarter.

• What worked for the strategy over the quarter?

The Health Care and Consumer Discretionary sectors combined to add 80 basis points to performance.

Within the Health Care sector, Centene Corporation, a provider of programs and services for under-insured and uninsured

individuals, was one of the best performing holdings in the portfolio. The 45% increase was triple the return of the sector. The

company continues to execute on its strategy to grow its Medicaid, Medicare Advantage and exchange franchise. Furthermore,

it expects to close its pending acquisition of Wellcare in the first half of 2020 – providing additional opportunities for growth.

The stock added 34 basis points to performance.

Having an equally strong quarter, shares of medical benefits and insurance provider, Humana, rose a healthy 43% in the fourth

quarter. After underperforming for most of the year, the stock responded positively in the fourth quarter as the noise over

“Medicare for All” settled down – at least for the time being. Fundamentals remain positive as cost trends remain in check

and Medicare Advantage continues to gain market share within the Medicare program. The stock added 35 basis points to

performance.

Within the Consumer Discretionary sector, international hotelier, Marriott International, rose more than 22% in the final three

months of the year. The company continues to expand room and revenue share in the hotel industry driven by renovated and

new brands, as well as an industry-leading loyalty program. The stock added 29 basis points to relative performance. Also

within the sector, sporting goods retailer, Dicks Sporting, saw its shares rise 22% as well after reporting a standout quarter

with comparable sales above expectations. Management also raised full year guidance. The stock added 27 basis point to

performance.

• What didn’t work for the strategy over the quarter?

Headwinds in the quarter came primarily from the Energy and Financials sectors which combined to detract 29 basis points

from performance. Within the Energy sector, Occidental Petroleum, an oil and gas exploration and production company,

struggled in the fourth quarter as shares slid by 5%. The market has been concerned that oil prices will be hindered by global

economic uncertainty, constraining potential cash flow growth. The stock detracted 10 basis points from performance.

Within the Financials sector, shares of insurance provider, American International Group, fell by 7% after a strong first half of

the year. The stock came back to earth a bit on a soft 3rd Quarter earnings report. Ongoing actuarial charges and catastrophic

losses a bit higher than expected offset the positive of strong expense control. On the plus side, the stock outperformed the

sector on the year, valuation remains extremely attractive and the turnaround being orchestrated by CEO Brian Duperreault

remains on track. The stock cost the portfolio 22 basis points.

(continued)

Strategy Overview

Page 5

Page 8: I REVIEW Fourth Quarter, 2019

Large-Cap Core Equity, Fourth Quarter, 2019

• For the full year:

The C.S. McKee Large-Cap Core Equity composite’s return of 29.04% underperformed the S&P 500’s return of 31.49% by

245 basis points. Approximately half of that underperformance can be attributed to one Technology holding and the other half

was the result of the modest (4%) cash position in the portfolio which detracted 131 basis points.

Within the Technology sector, F5 Networks, a provider of cloud application services and electronic security and storage

systems, saw its shares fall by nearly 14% in 2019. The company announced two acquisitions during the year and the

company has faced competitive threats despite accelerating their software and security strategy, which increases their

recurring revenue stream. The stock cost the portfolio 124 basis points.

The Communication Services sector was a bright spot in the portfolio, adding 75 basis points to performance. The leader here

was telecommunications giant, AT&T. The company has transformed from a telecom operator to a media conglomerate. This

move has served to diversify the business, allowing the company to concentrate more on premium streaming services such as

HBO. Furthermore, activist shareholder, Elliot Management, has recently called for a strategic review of the company and as

a result management announced some shareholder friendly initiatives to enhance value. The stock rose 45% for the year and

added 19 basis points to performance.

• How is the portfolio positioned?

After outperforming in the first 9 months of the year, high-dividend paying stocks underperformed in the fourth quarter as

worries over trade and global growth subsided. Yields on the benchmark 10-year treasury note also climbed from near record

lows in September to close the year at 1.92%. Our underweight to the bond proxies benefited the portfolio in the fourth

quarter, and we added value on both allocation and selection.

In our third quarter report we highlighted that the underperformance of cyclical low P/E stocks, relative to low-volatility and

momentum stocks, was worse than any historical factor divergence, even during the dot-com bubble. There was a glimpse of a

counter trend move in September as momentum and low-volatility stocks dramatically underperformed the broader markets.

This factor rotation also continued into the fourth quarter as valuations came into favor, a trend we feel should continue in

2020. Given this backdrop, we will remain underweight the bond proxy sectors and overweight the economically exposed

sectors, such as technology and industrials. We will continue to adhere to our discipline of buying the expected growth in a

company’s cash flows at an attractive price and feel optimistic about how our portfolio is positioned going forward into a

normalizing, mean reverting world.

Strategy Overview

Page 6

Page 9: I REVIEW Fourth Quarter, 2019

International Equity 4th Quarter, 2019

Strategy Overview

The C.S. McKee International Equity Fund’s return of 7.95% underperformed the Morgan Stanley EAFE’s return of 8.23%

by .28% in the quarter (net basis).

• What worked for the strategy over the quarter:

Several markets aided performance on a relative basis in the quarter. Positions in Switzerland made positive contributions.

Holdings in the Industrials and Materials sectors gained as they assumed a potential uptick in global growth with the easing of

tensions in the US/China trade war. Additionally, holdings in Teva, an Israeli pharmaceutical company, experienced a very

strong quarter as estimates stabilized and a resolution of large legal claims against the company seemed likely. Finally,

contributing to positive relative performance in the portfolio were holdings in Taiwan. While not in the index, holdings in

Taiwan – all in the Technology sector – had both a strong quarter and very positive year as technology continued to lead

global market performance.

What didn’t work for the strategy over the quarter:

The United Kingdom remained the weakest market for relative performance in the quarter. The market returned 10% in US

dollar terms during the quarter, 70% of which came from a strong (30% annualized) return in the British pound. Much of this

appreciation was rooted in the political dynamics of the UK, as discussed at right. Most of the underperformance came from

companies that benefit from a weaker pound including Standard Dutch Shell, an international oil company and Diageo, a

global spirits manufacturer. Holdings in Japan were weak and cost the portfolio 26 basis points. One Japanese holding, a

relatively new addition to the portfolio, weighed on performance as the company did not raise guidance for the full year

(ending March 2020), even though the first half results make it highly unlikely the company does not exceed its own full-year

guidance by a large margin. Interestingly, Sankyu, as a provider of engineering services and logistics in Saudi Arabia, may be

one company that benefits from the devastating attack on Saudi oil facilities in September.

• How is the portfolio positioned?

The portfolio is globally diversified, with approximately 45% in Asia (EAFE 36%), 53% in Europe/Mideast (EAFE 64%) and

2% in cash. Within Asia, Japan has a 28% weighting (EAFE 25%). Within Europe, the France represents the largest

percentage of holdings at 12% (EAFE 11%), followed by Switzerland and the UK, with both at 10% (EAFE 9% and 17%,

respectively). The global economy did not show signs of strengthening in Q4, despite good equity market performance. US

GDP growth likely finished the year weakly, dragging down the rest of the world. Q1 prognostications are not encouraging.

Crude oil prices have risen sharply on Middle East tensions, and that could spark inflationary pressures. As of this writing,

the risks to global growth appear to be gaining prominence. Our performance in the last quarter, essentially flat vs. the EAFE

on a gross basis, supports that our process works well in such an environment.

Market Positions

Overweight Asia: The China trade deal to be signed in early January

achieves little but cancels some tariff increases that were to go into effect

in December. Some increased purchases of agricultural products by China

could lift pork and soybean prices in the short term. If a standstill on trade

is achieved during 2020, Asia might benefit relative to other world regions.

The yen is increasingly seen as a “safe-haven” currency, even with

negative interest rates.

Underweight UK: The UK election returned a Conservative government

with a strong parliamentary majority, something few expected. That

government is now poised to achieve Brexit and leave the EU quickly. We

maintain that a rapid EU exit will be overall injurious to the UK economy,

which hardly grew (1.3% estimated) in 2019. The rapid ascent of the

pound in the last 4 months of the year looks likely to reverse as the full

impact of Brexit, including a possible move towards independence for

Scotland, weighs on the UK economy.

Underweight Continental Europe: Our stance here remains largely

unchanged. With the continent’s economy relatively weak, policy makers

continue to rely on monetary stimulus to buttress economies and markets.

A positive sign is that the US has replaced some of its imports from China

with those from Europe, aiding the EU’s export performance.

Page 7

Page 10: I REVIEW Fourth Quarter, 2019

Portfolio Positions

Duration: Portfolio duration ranged between 96% and 101% during the

quarter, ending the year at 99% of benchmark levels. We look to reduce

interest rate risk on market rallies in the new year.

Spread Sectors: The reduction in agency holdings (16% down to 6%)

continued in the fourth quarter as market interest rates rose and yield

spreads on callables and CDs tightened versus Treasuries.

Intermediate Aggregate Fixed Income, Fourth Quarter, 2019

Risk assets shrugged off the memory of 2018’s fourth quarter, climbing a wall of worry to finish a surprisingly strong year.

The Fed’s pivot from an expected three rate hikes in 2019 to three rate cuts put a floor under asset prices that outweighed the

Twitter, trade, Brexit and impeachment talk. With the latest cut in October, the Funds rate stands at 1.50% - 1.75%, a level the

Fed expects to remain in place for the entirety of this Presidential election year.

Investment grade fixed income posted its best annual performance in over a decade as interest rates fell and yield spreads

tightened. Interruptions to the performance party were rare, with equity prices rising and credit spreads tightening in 10 of 12

months. Only the escalation in trade talks in May, and August’s short-lived yield curve inversion marked a departure from the

steady ascent in absolute and relative returns. Corporate sector OAS tightened an additional 22 basis points during the fourth

quarter, finishing the year at 93 basis points and matching the tightest levels seen since early 2007. Security selection and our

modest overweight to the sector combined to add 24 basis points to performance for the year.

TIPS delivered strong excess returns in the 4th quarter, with breakeven rates widening an average of over 25 basis points. The

breakeven curve flattened as 5-year TIPS benefitted from both a general improvement in the outlook for the economy and

rising nominal interest rates, as well as a better than 10% rise in oil prices. Our growing allocation to the sector added 5 basis

points to performance in the fourth quarter, bringing the year-to-date excess return to a positive 2 basis points. We continue to

rate the sector as one of the most attractive entering the new year and look to increase our holdings on weakness.

Agency mortgages rebounded from a sluggish start to 2019, outperforming Treasuries in each of the last four months.

Finishing with 59 basis points in excess returns for the year, strength in the 4th quarter was led by higher coupon securities and

TBAs, which retraced a portion of their year-to-date underperformance versus specified pools. We view this sector as

modestly attractive at current levels, as the benefit of an expected narrow range for Treasury yields in 2020 is offset by yield

spreads at the tight end of their recent range. On balance, this sector should outperform Treasuries by an amount

approximating their current OAS of 40 basis points. Commercial mortgages are somewhat more attractive, especially when

compared to corporate securities. Yield spreads on “AAA” rated securities are close to multi-year lows versus “A” rated

corporates, a relative bargain for investors who believe economic growth and inflation will be stable in the new year. Security

selection and overweights in ABS and CMBS added 17 basis points to 2019 performance.

Our US Agency strategy outperformed for the quarter and year as rising rates and falling volatility provided the ideal

environment for our positions in both callable US Agency Bonds and FDIC Brokered CDs. Callable agency bonds tightened

by 25 basis points on average during the quarter as low issuance and strong market conditions drove spreads to near multi-year

lows. FDIC brokered CDs also performed well as the slow rise in rates and low year end funding needs of banks allowed

these securities (which we own primarily in the 3-4 year part of the curve) to tighten 10-15 basis points. The overweight

resulted in approximately 9 basis points in positive excess return for the quarter.

(Continued)

Strategy Overview

Page 8

Page 11: I REVIEW Fourth Quarter, 2019

Intermediate Aggregate Fixed Income, Fourth Quarter, 2019

We began the quarter with approximately 15% in the US Agency sector, or about 9% in callable bonds and 6% in FDIC

Brokered CDs. With the strong performance, we reduced our positioning to 7% to begin 2020--completely selling out of our

callable bonds and cutting our FDIC brokered CD positions roughly in half to approximately 5% of the total portfolio. With

spreads near record tight levels on both fronts, we will look for volatility-induced widening to provide opportunities for re-

entry early in the new year.

Outlook

While its safe to say 2020 returns in stocks and bonds will fall short of last year’s totals, we should see an abundance of

opportunity to add value in this election year. The impeachment process is certain to continue for several months and the

international scene promises to nurture volatility. We expect a modest increase in market interest rates to start the new year,

accompanied by a steepening of the yield curve. On balance, credit risk will remain close to benchmark levels, while our

active pursuit of returns in the agency space awaits the next spike in volatility and wider yield spreads.

Strategy Overview

0

5

10

15

20

25

30

35

40

45

De

c-1

4

Mar

-15

Jun

-15

Sep

-15

De

c-1

5

Mar

-16

Jun

-16

Sep

-16

De

c-1

6

Mar

-17

Jun

-17

Sep

-17

De

c-1

7

Mar

-18

Jun

-18

Sep

-18

De

c-1

8

Mar

-19

Jun

-19

Sep

-19

De

c-1

9

0

15

30

45

60

75

90

105

120

CS McKee U.S. Agency Allocation (%) vs. Callable Agency Spread Changes (in basis points)

FDIC Brokered CD

Step-Up Agency

Callable Agency

*Spread

*Callable AGY Spread Source:INTL FCStone

Page 9

Page 12: I REVIEW Fourth Quarter, 2019

Financial Markets and Economy Calm for Now, but Risks Loom…Key Points:

• Phase One of the US/China trade deal

appears done with President Trump

stating he will sign the agreement on

January 15th. The deal removes planned

tariffs on $160 billion of Chinese goods

and cuts the tariff rate to 7.5% from 15%

on another $120 billion of goods. China

agreed to boost US imports by $200

billion, but the deal fails to address

Chinese subsidies to many domestic

industries.

• The Federal Reserve cut interest rates

again in October taking the target range

to 1.50% to 1.75%. FOMC minutes

showed that members viewed the risks to

the economy skewed to the downside, but

improved since mid-2019

• The UK Conservative Party won a

significant majority in the December

elections setting the stage for Brexit in

January 2020.

• Boeing halted production of the troubled

737 Max airplane for an indefinite

period. Economists forecast that the halt

could shave around 0.5% from 1Q GDP,

but growth could rebound in later

quarters if production resumes.

• A US strike on an Iranian general in

early 2020 caused a period of risk-off on

fears of further unrest in the Middle East.

• Christine Lagarde assumed the helm at

the ECB, replacing Mario Draghi, and

looks to continue the policy of her

predecessor. She called for governments

to step up investment and spending to fuel

growth in the EU.

Market Outlook–Fourth Quarter, 2019

The economy and risky-assets ended 2019 on a high note with consumer spending robust and the S&P 500 finishing the year with a total

return of 31.48%. Unemployment at 3.5% in November was the lowest since 1969 and helped propel strong personal consumption

expenditure growth of 3.2% through the third quarter of 2019. Investor confidence increased on news of a partial trade deal between the US

and China late in the fourth quarter that also sent volatility into the doldrums and general economic uncertainty lower as measured by the

Baker, Bloom, and Davis US Economic Policy Uncertainty Index. Heading into 2020, consensus forecasts are looking for modest

accelerations in global growth and inflation –we tend to agree – that will build off the strength established late in 2019. While consensus

appears a plausible base case, we see the risks of this outlook skewed to the downside as current asset prices reflect a sanguine view of the

world’s economic and political future.

When the two-to-ten-year portion of the US Treasury yield curve temporarily inverted in late August the near-term outlook for the global

economy was dire. Yield curve inversions have preceded nearly every modern-day recession, albeit some with larger lead times than

others, and most economic models rely on the slope of the curve to calculate the probability of a downturn. Many of these models were

assigning a near 40% probability of recession within the next 12 months. At the time of inversion, talks between the US and China were

deteriorating with President Trump announcing further tariffs on $300 billion of Chinese goods and President Xi responding in-kind.

Simultaneously – and closely correlated to the trade war – US manufacturing sentiment soured with the ISM Manufacturing Index dipping

into contraction territory. With the trade war seeming on a never-ending tit-for-tat spiral of tariffs and business sentiment declining,

expectations for an imminent recession were growing and the outlook for the next year was dark.

How did the we escape the gloom of the third quarter and enter a new phase of optimism with new highs for the stock market? As with

many of the rallies in this drawn-out bull market, the significant boost was provided by central banks. The Federal Reserve cut interest

rates for the third time this year in October taking the Funds Rate to a range of 1.50% to 1.75% and promised no further rate hikes until

inflationary pressures proved sustainable. Quantitative easing was also restarted in the eurozone with the ECB purchasing €20 billion of

debt per month for as long as necessary to meet policy objectives. Important this time for markets was the temporary trade truce between

the US and China that promised no further tariffs and scaled back some of the prior punitive measures. To the relief of global investors, the

ratcheting of tensions between the world’s largest economies appears to have at least temporarily halted, removing a large source of

uncertainty.

Heading into an election year many investors are extrapolating these first positive signs of the trade war well into the future and believe that

markets will discipline President Trump against a drastic u-turn from the current détente. This narrative by the market – improving growth

and a halt to trade hostilities – is our base case scenario of 2020 as we do expect a period of calm from the trade war and for global central

banks to remain on the sidelines waiting for the lagged effects from easing to hit the economy. A problem with this outlook is that it is the

most optimistic outcome from the list of plausible scenarios and is by and large reflected in asset prices and reduces potential upside. We

believe that along the spectrum of possible economic paths the likelihood of a negative scenario occurring outweighs a positive surprise

above the base case.

Page 10

Page 13: I REVIEW Fourth Quarter, 2019

Market Outlook–Fourth Quarter, 2019 (continued)

Portfolio Positioning:

• Our balanced accounts remain

slightly overweight equities and

underweight fixed income versus a

60/40 equity/fixed benchmark.

• Risk was reduced in our fixed

income portfolios as corporate and

callable agency spreads tightened.

TIPS remain the most attractive

option within the investable

universe given their valuations

amid a supportive economic

environment.

• Our equity portfolios will remain

underweight the bond proxy

sectors and overweight attractively

priced stocks in economically

exposed sectors such as

Technology and Industrials. We

believe the factor rotation away

from low-volatility and momentum

stocks should continue in 2020 as

valuations come back into favor.

Why do we believe that the risks to the economy are skewed to the downside? First and foremost there is limited room for central banks to

ease policy much further and secondly, if extraordinary easing policies were enacted, whether or not they would prove effective. Given that

the US economy expanded by roughly two percent in 2019 with unemployment at a multi-decades low, the Fed’s willingness to loosen policy

any further is unlikely. After cutting rates by 75 basis points in 2019 the Fed will assess whether the lagged effects of easing are flowing into

the broader economy over the course of 2020 before further action. Negative interest rates appear to be losing favor with policy makers as the

ill-effects on the banking system and savers may be countering the positive effects that central banks seek. Recent speeches from Former Fed

chairs Bernanke and Yellen, alongside outgoing Bank of England governor Mark Carney have warned legislators that central banks have

limited scope for stimulus.

Increased uncertainty from trade wars, Brexit, impeachment, and foreign policy all seem to have been temporarily solved without a long-term

solution. Phase one of the trade deal appears to soothe investors’ fears of immediate escalation but does little to correct the long-term

grievances that both China and the US have expressed. Brexit appears certain now that the Conservative Party has won a significant majority

in Parliament and the risk of a no-deal exit has diminished. But the outlook for relations between the UK and its major partners is unclear.

President Trump’s impeachment is currently stalled as both political parties struggle to define the meaning of a fair trial. The likelihood of

conviction in the Senate remains low. The drone strike on Iranian General Suleimani to start 2020 reminded investors that relations with Iran

– and North Korea – can flare up at anytime, causing fears of a major conflict that temporarily sends markets into a risk-off mode. The point

in listing all these known geopolitical tensions – which caused much of the souring in business confidence and market volatility in 2019 - is

that they have all temporarily receded (until the drone strike) and have no long-term solution so far. These problems will likely be around for

years, and lack of political leadership worldwide will struggle to provide a lasting peace. We don’t expect a breakthrough trade deal between

the US and China anytime soon, so tariffs that were enacted in 2018 and 2019 will remain in-place resulting in less efficient economies.

What could go right and boost the economy and markets higher than we expect in 2020? Tax cuts 2.0? Large fiscal spending packages from

Germany and China? Increased productivity in the US? While some of these positive impulses are growing more likely, they are still long-

shots. The US government is expected to post a budget deficit of 4.6% of GDP in 2019 despite the absence of a conventional war or

recession. Politicians at the federal level may promise large spending packages or tax cuts along the campaign trail this year, but the efficacy

of such largesse is questionable at this stage in the economic cycle and continues to ignore the accumulation of the expanding debt burden.

More fiscally strict countries, such as Germany, have been called upon to increase spending in hopes of spurring the European economy. The

Germans, however, have hardcoded budgetary restrictions into their laws, preventing large government splurges. Cultural inhibitions against

debt-funded spending are likely to weigh against any fiscal stimulus in the near future. US productivity will probably remain low in 2020 as

companies reduced capital expenditures last year due to the lack of confidence from rising trade tensions. Low productivity combined with an

aging population makes a breakout beyond two-percent GDP growth difficult to attain and sustain.

Given the recent strong run from risky assets and our lukewarm outlook for 2020, we have scaled back the risk exposures in our balanced

accounts to a slight overweight to equities versus fixed income. Our base case economic scenario of modest growth with slightly higher

inflation should lead to the Federal Reserve remaining on the sidelines in 2020. This period of calm will result in mid-single digit returns for

stocks and a small increase in bond yields by year-end. We believe the reduction in risk from the portfolios is prudent at this time as the

downside outweighs the potential upside relative to our most likely scenario. Current market prices reflect investors’ extrapolation of the

current calmness well into the future. While this appears the most likely outcome, we struggle to envision much improvement beyond and see

more clouds than clear sky ahead.

Page 11

Page 14: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Asset Class Total Cost Market ValueAccrued

Income Total Value

Weight at

Market

Weight at

Cost

Investment Summary - at 12/31/2019 91185

Domestic Equity $27,466,113.73 $47,359,377.10 $31,929.00 $47,391,306.10 51.36% 38.35%

International Mutual Funds $7,508,677.99 $7,565,788.03 $0.00 $7,565,788.03 8.20% 10.49%

Fixed Income $35,404,211.04 $35,905,003.71 $182,996.41 $36,088,000.12 39.11% 49.44%

Cash $1,231,506.18 $1,231,506.18 $0.00 $1,231,506.18 1.33% 1.72%

$71,610,508.94 $92,061,675.01 $214,925.41 $92,276,600.42 100.00%Total Portfolio 100.00%

Page 12

Page 15: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Description Issue Rating Shares

Unit

Cost Total Cost

Market

Price Market Value

Accrued

Income Total Value

Weight at

Market

Weight at

Cost

91185Position Detail - at 12/31/2019

Domestic Equity

Communication Services

AT&T INC COMMON 39.08 1,469,251.68 1.59% 2.06% 39.15 37,596.00 1,471,760.30 1,469,251.68 0.00

ALPHABET INC CLASS C 1,337.02 1,808,988.06 1.96% 1.07% 566.99 1,353.00 767,143.80 1,808,988.06 0.00

ALPHABET INC CLASS A 1,339.39 870,603.50 0.94% 0.40% 439.29 650.00 285,540.48 870,603.50 0.00

WALT DISNEY CO COMMON 144.63 1,419,690.50 1.54% 0.29% 21.19 9,750.00 206,637.28 1,410,142.50 9,548.00

FACEBOOK INC CLASS A 205.25 1,498,325.00 1.62% 1.80% 176.30 7,300.00 1,287,021.02 1,498,325.00 0.00

Consumer Discretionary

BORG WARNER INC COMMON 43.38 702,756.00 0.76% 0.88% 38.93 16,200.00 630,687.39 702,756.00 0.00

DICKS SPORTING GOODS COMMON 49.49 747,299.00 0.81% 1.04% 49.49 15,100.00 747,309.35 747,299.00 0.00

EXPEDIA GROUP INC COMMON 108.14 800,236.00 0.87% 1.18% 114.49 7,400.00 847,219.43 800,236.00 0.00

MARRIOTT INTL INC CLASS A 151.43 817,722.00 0.89% 0.55% 72.36 5,400.00 390,724.02 817,722.00 0.00

STARBUCKS CORP COMMON 87.92 949,536.00 1.03% 0.20% 13.28 10,800.00 143,440.62 949,536.00 0.00

NORWEGIAN CRUISE L COMMON 58.41 806,058.00 0.87% 0.94% 48.85 13,800.00 674,181.06 806,058.00 0.00

Consumer Staples

WALMART INC COMMON 118.84 1,229,511.00 1.33% 0.73% 50.48 10,300.00 519,953.38 1,224,052.00 5,459.00

WALGREENS BOOTS ALNC COMMON 58.96 713,416.00 0.77% 0.79% 46.94 12,100.00 567,914.67 713,416.00 0.00

Energy

BAKER HUGHES COMPANY CL A COMMON STOCK 25.63 635,624.00 0.69% 1.48% 42.83 24,800.00 1,062,287.28 635,624.00 0.00

CHEVRON CORP COMMON 120.51 602,550.00 0.65% 0.48% 68.27 5,000.00 341,326.43 602,550.00 0.00

EOG RESOURCES INC COMMON 83.76 720,336.00 0.78% 1.21% 100.37 8,600.00 863,200.60 720,336.00 0.00

MARATHON PETROLEUM COMMON 60.25 506,100.00 0.55% 0.51% 43.16 8,400.00 362,537.28 506,100.00 0.00

OCCIDENTAL PETE CORP COMMON 41.21 616,926.00 0.67% 1.50% 72.88 14,700.00 1,071,405.81 605,787.00 11,139.00

Page 13

Page 16: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Description Issue Rating Shares

Unit

Cost Total Cost

Market

Price Market Value

Accrued

Income Total Value

Weight at

Market

Weight at

Cost

91185Position Detail - at 12/31/2019

Equity Options

BRISTOL MYERS SQUIBB CONTI VAL RIGHTS WI 3.01 33,110.00 0.04% 0.22% 14.45 11,000.00 158,956.03 33,110.00 0.00

Financials

AMERN INTL GROUP INC COMMON 51.33 564,630.00 0.61% 0.59% 38.71 11,000.00 425,784.70 564,630.00 0.00

BANK OF NEW YORK MEL COMMON 50.33 639,191.00 0.69% 0.49% 27.55 12,700.00 349,840.84 639,191.00 0.00

DISCOVER FINL SVCS COMMON 84.82 771,862.00 0.84% 0.73% 57.69 9,100.00 524,957.16 771,862.00 0.00

GOLDMAN SACHS GROUP COMMON 229.93 988,699.00 1.07% 0.99% 165.57 4,300.00 711,935.25 988,699.00 0.00

JPMORGAN CHASE & CO COMMON 139.40 1,254,600.00 1.36% 0.38% 30.09 9,000.00 270,810.00 1,254,600.00 0.00

T ROWE PRICE GRP COMMON 121.84 889,432.00 0.96% 0.84% 82.38 7,300.00 601,403.20 889,432.00 0.00

WELLS FARGO & CO COMMON 53.80 720,920.00 0.78% 0.57% 30.63 13,400.00 410,412.06 720,920.00 0.00

Health Care

ABBOTT LABS COMMON 86.86 1,103,122.00 1.20% 0.54% 30.59 12,700.00 388,473.09 1,103,122.00 0.00

BIOGEN INC COMMON 296.73 1,068,228.00 1.16% 1.44% 287.03 3,600.00 1,033,325.44 1,068,228.00 0.00

BRISTOL MYERS SQUIBB COMMON 64.19 706,090.00 0.77% 0.22% 14.45 11,000.00 158,956.03 706,090.00 0.00

CENTENE CORP DEL COMMON 62.87 773,301.00 0.84% 0.65% 37.98 12,300.00 467,122.02 773,301.00 0.00

GILEAD SCIENCES INC COMMON 64.98 682,290.00 0.74% 0.98% 66.57 10,500.00 698,936.98 682,290.00 0.00

HUMANA INC COMMON 366.52 917,675.00 0.99% 0.64% 184.22 2,500.00 460,545.25 916,300.00 1,375.00

Industrials

DEERE & CO COMMON 173.26 1,009,316.00 1.09% 0.68% 84.56 5,800.00 490,429.70 1,004,908.00 4,408.00

DELTA AIR LINES COMMON 58.48 988,312.00 1.07% 1.33% 56.29 16,900.00 951,294.24 988,312.00 0.00

DOVER CORP COMMON 115.26 714,612.00 0.77% 0.24% 28.23 6,200.00 175,037.77 714,612.00 0.00

HONEYWELL INTL INC COMMON 177.00 1,486,800.00 1.61% 0.57% 48.61 8,400.00 408,314.57 1,486,800.00 0.00

NORFOLK SOUTHERN COMMON 194.13 912,411.00 0.99% 0.21% 31.27 4,700.00 146,948.79 912,411.00 0.00

3M COMPANY COMMON 176.42 511,618.00 0.55% 0.31% 75.96 2,900.00 220,275.11 511,618.00 0.00

UNITED TECHNOLOGIES COMMON 149.76 658,944.00 0.71% 0.81% 131.72 4,400.00 579,580.32 658,944.00 0.00

Page 14

Page 17: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Description Issue Rating Shares

Unit

Cost Total Cost

Market

Price Market Value

Accrued

Income Total Value

Weight at

Market

Weight at

Cost

91185Position Detail - at 12/31/2019

Information Technology

APPLE INC COMMON 293.65 3,259,515.00 3.53% 1.09% 70.27 11,100.00 779,957.26 3,259,515.00 0.00

CISCO SYSTEMS INC COMMON 47.96 1,203,796.00 1.30% 0.63% 18.01 25,100.00 452,013.24 1,203,796.00 0.00

DELL TECHNOLOGIES IN COMMON CLASS C 51.39 869,724.36 0.94% 1.74% 73.58 16,924.00 1,245,340.67 869,724.36 0.00

F5 NETWORKS INC COMMON 139.65 740,145.00 0.80% 0.84% 113.88 5,300.00 603,567.39 740,145.00 0.00

INTEL CORP COMMON 59.85 1,729,665.00 1.87% 0.91% 22.49 28,900.00 650,031.00 1,729,665.00 0.00

MICROSOFT CORP COMMON 157.70 3,154,000.00 3.42% 0.57% 20.52 20,000.00 410,486.63 3,154,000.00 0.00

ORACLE CORP COMMON 52.98 688,740.00 0.75% 0.52% 28.42 13,000.00 369,504.20 688,740.00 0.00

Materials

CELANESE CORP COMMON STOCK 123.12 886,464.00 0.96% 1.17% 116.57 7,200.00 839,314.08 886,464.00 0.00

Utilities

PUBLIC SVC ENTERPR COMMON 59.05 549,165.00 0.60% 0.34% 26.05 9,300.00 242,270.51 549,165.00 0.00

Total Domestic Equity $27,466,113.73 $47,359,377.10 $31,929.00 $47,391,306.10 51.36% 38.35%

International Mutual Funds

INTERNATIONAL EQUITY FUNDS

ADVISORS INNER CIRCL MCKEE INTL EQT 11.75 7,565,788.03 8.20% 10.49% 11.66 643,896.85 7,508,677.99 7,565,788.03 0.00

Total International Mutual Funds $7,508,677.99 $7,565,788.03 $0.00 $7,565,788.03 8.20% 10.49%

Fixed Income

Asset Backed Securities

AMERICREDIT AUTO REC 2.540 JUL 18 24 Aa1 100.68 90,700.90 0.10% 0.13% 1.00 90,000.00 89,976.10 90,612.00 88.90

Page 15

Page 18: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Description Issue Rating Shares

Unit

Cost Total Cost

Market

Price Market Value

Accrued

Income Total Value

Weight at

Market

Weight at

Cost

91185Position Detail - at 12/31/2019

Asset Backed Securities

CNH EQUIPMENT TR 3.010 APR 15 24 AAA 101.76 173,230.24 0.19% 0.24% 1.00 170,000.00 169,962.65 172,988.60 241.64

CNH EQUIPMENT TR 2.780 AUG 16 21 AAA 100.05 20,237.48 0.02% 0.03% 1.00 20,201.06 20,200.66 20,210.96 26.52

CARMAX AUTO OWNER TR 3.050 MAR 15 24 AAA 101.66 35,630.01 0.04% 0.05% 1.00 35,000.00 34,996.04 35,579.60 50.41

GM FINL AUTO LEASE T 2.180 JUN 21 21 AAA 100.00 94,636.60 0.10% 0.13% 0.99 94,564.10 94,028.48 94,567.88 68.72

MERC-BENZ AUTO LEASE 2.510 OCT 16 23 AAA 100.20 82,258.73 0.09% 0.11% 1.00 82,000.00 81,984.02 82,161.54 97.19

SANTANDER DRIVE AUTO 3.390 APR 15 22 Aaa 100.70 404,428.88 0.44% 0.56% 1.00 401,000.00 402,973.67 403,786.95 641.93

SANTANDER DRIVE AUTO 3.210 SEP 15 23 AA 100.83 120,171.65 0.13% 0.17% 1.00 119,000.00 118,983.02 119,991.27 180.38

SANTANDER DRIVE AUTO 2.280 SEP 15 23 AA 100.06 145,247.47 0.16% 0.20% 1.00 145,000.00 145,306.09 145,091.35 156.12

VERIZON OWNER TR 1.940 APR 20 24 AAA 99.91 319,906.13 0.35% 0.45% 1.00 320,000.00 319,975.33 319,699.20 206.93

WORLD FIN NETWORK CC 2.310 AUG 15 24 AAA 100.19 160,483.33 0.17% 0.22% 1.00 160,000.00 159,978.32 160,308.80 174.53

WORLD FIN NET CCMT 2.490 APR 15 26 AAA 100.84 218,064.06 0.24% 0.30% 1.01 216,000.00 217,535.62 217,810.08 253.98

WORLD OMNI AUTO LEAS 2.830 JUL 15 21 Aaa 100.30 66,279.03 0.07% 0.09% 1.00 66,000.00 65,991.53 66,196.02 83.01

WORLD OMNI AUTO RECV 1.960 DEC 15 24 AAA 99.93 263,051.43 0.29% 0.37% 1.00 263,000.00 262,980.20 262,808.01 243.42

WORLD OMNI AUTO RECV 2.590 JUL 15 24 AAA 101.15 101,270.31 0.11% 0.14% 1.00 100,000.00 99,997.64 101,148.00 122.31

WORLD OMNI AUTO RECV 3.040 MAY 15 24 AAA 101.78 104,978.17 0.11% 0.14% 1.00 103,000.00 102,982.87 104,830.31 147.86

CMO

FNMA REMIC TRUST 2.500 OCT 25 40 AA+ 100.38 27,658.25 0.03% 0.04% 1.02 27,494.03 28,078.28 27,599.06 59.19

FNMA REMIC TRUST 4.500 FEB 25 38 AA+ 103.33 68,368.20 0.07% 0.10% 1.08 65,916.44 71,251.72 68,112.78 255.43

FNMA REMIC TRUST 4.250 NOV 25 41 AA+ 103.78 24,286.52 0.03% 0.03% 1.06 23,320.14 24,613.68 24,201.17 85.35

FNMA REMIC TRUST 4.000 MAY 25 38 AA+ 100.78 23,487.83 0.03% 0.03% 1.06 23,227.12 24,587.41 23,407.83 80.00

FHLMC REMIC SERIES 4.000 AUG 15 25 AA+ 103.77 68,967.52 0.07% 0.10% 1.05 66,239.48 69,748.10 68,739.36 228.16

FHLMC REMIC SERIES 4.000 NOV 15 39 AA+ 102.87 28,900.20 0.03% 0.04% 1.07 27,999.07 29,980.88 28,803.76 96.44

FHLMC REMIC SERIES 3.500 APR 15 22 AA+ 100.38 2,159.03 0.00% 0.00% 1.05 2,144.50 2,245.02 2,152.56 6.46

FHLMC REMIC SERIES 3.000 NOV 15 32 AA+ 102.52 88,918.68 0.10% 0.13% 1.04 86,518.37 90,168.36 88,695.17 223.51

FHLMC REMIC SERIES 3.000 AUG 15 44 AA+ 102.64 208,988.57 0.23% 0.29% 1.01 203,096.08 204,365.43 208,463.91 524.66

Page 16

Page 19: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Description Issue Rating Shares

Unit

Cost Total Cost

Market

Price Market Value

Accrued

Income Total Value

Weight at

Market

Weight at

Cost

91185Position Detail - at 12/31/2019

CMO

FHLMC REMIC SERIES 3.250 APR 15 53 AA+ 102.83 361,631.25 0.39% 0.50% 1.02 350,720.81 356,087.80 360,649.72 981.53

FNMA REMIC TRUST 5.000 AUG 25 35 AA+ 112.16 37,544.63 0.04% 0.05% 1.02 33,344.98 33,907.68 37,401.06 143.57

GNMA REMIC TRUST 3.000 MAR 20 39 AA+ 100.36 2,534.68 0.00% 0.00% 1.03 2,519.08 2,590.72 2,528.17 6.51

GNMA REMIC TRUST 4.000 AUG 20 39 AA+ 100.89 13,097.82 0.01% 0.02% 1.06 12,937.72 13,685.68 13,053.25 44.56

GNMA REMIC TRUST 5.000 AUG 16 39 AA+ 101.63 18,925.92 0.02% 0.03% 1.09 18,543.45 20,128.36 18,846.08 79.84

GNMA REMIC TRUST 2.000 MAY 20 39 AA+ 99.86 12,630.39 0.01% 0.02% 1.02 12,626.07 12,870.70 12,608.65 21.74

GNMA REMIC TRUST 3.000 APR 16 43 AA+ 101.89 77,641.76 0.08% 0.11% 1.03 76,008.09 78,419.07 77,445.40 196.35

GNMA REMIC TRUST 3.500 APR 16 43 AA+ 102.19 53,415.74 0.06% 0.08% 1.05 52,119.84 54,473.38 53,258.66 157.08

GNMA REMIC TRUST 2.500 OCT 20 45 AA+ 100.03 503,979.35 0.55% 0.70% 1.00 502,756.26 504,484.48 502,897.03 1,082.32

Commercial MBS

COMM MTG TR 2.976 JUL 10 48 Aaa 100.08 162,925.24 0.18% 0.23% 1.03 162,374.36 167,239.91 162,509.13 416.11

COMM MTG TR 2015-PC1 3.902 JUL 12 50 Aaa 106.46 386,605.16 0.42% 0.53% 1.06 362,000.00 383,089.48 385,388.82 1,216.34

COMM MTG TR 3.147 AUG 17 45 Aaa 102.15 73,740.95 0.08% 0.10% 1.02 72,000.00 73,795.34 73,545.84 195.11

COMM MTG TR 4.363 JUL 12 45 AAA 105.91 309,275.26 0.34% 0.42% 1.04 291,000.00 303,268.60 308,203.92 1,071.34

FHLMC REMIC SERIES 2.961 JAN 25 46 AA+ 100.67 150,211.32 0.16% 0.21% 1.01 148,828.73 150,003.08 149,831.84 379.48

GNMA REMIC TRUST 2.200 AUG 16 47 AA+ 99.16 331,084.24 0.36% 0.46% 1.00 333,255.59 331,888.72 330,452.91 631.33

GNMA REMIC TRUST 2.250 SEP 16 44 AA+ 99.48 142,156.88 0.15% 0.20% 1.00 142,626.48 142,654.34 141,880.54 276.34

JPMCC COML MTG SEC T 2.822 AUG 17 49 Aaa 101.84 71,456.69 0.08% 0.10% 1.03 70,000.00 72,099.72 71,286.60 170.09

MORGAN STAN CAP I 3.809 DEC 17 48 Aaa 106.73 198,051.74 0.21% 0.27% 1.04 185,000.00 192,042.29 197,444.95 606.79

MORGAN STAN CAP I 3.596 DEC 17 49 Aaa 106.53 256,407.97 0.28% 0.35% 1.03 240,000.00 247,180.54 255,664.80 743.17

MORGAN STAN CAP I 3.594 MAR 17 49 Aaa 105.94 112,621.27 0.12% 0.15% 1.03 106,000.00 109,172.36 112,293.22 328.05

UBS-BARCLY COML MTG 3.525 MAY 11 63 Aaa 102.63 51,466.77 0.06% 0.07% 1.02 50,000.00 50,996.74 51,315.00 151.77

UBS-BARCLY COML MTG 2.533 DEC 12 45 AAA 99.91 46,161.70 0.05% 0.07% 1.02 46,103.56 47,256.04 46,061.14 100.55

UBS COMM MTG TR 2.921 OCT 18 52 Aaa 101.62 140,588.23 0.15% 0.20% 1.03 138,000.00 142,139.72 140,241.12 347.11

WELLS FARGO COML TR 2.918 NOV 18 49 Aaa 102.54 352,556.91 0.38% 0.49% 1.02 343,000.00 349,419.98 351,695.05 861.86

Page 17

Page 20: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Description Issue Rating Shares

Unit

Cost Total Cost

Market

Price Market Value

Accrued

Income Total Value

Weight at

Market

Weight at

Cost

91185Position Detail - at 12/31/2019

Commercial MBS

WELLS FARGO COML TR 3.635 MAR 17 50 Aaa 107.02 230,748.57 0.25% 0.31% 1.03 215,000.00 221,441.83 230,097.30 651.27

Corporates

AT&T INC 4.250 MAR 01 27 BBB 109.84 232,546.93 0.25% 0.30% 1.02 209,000.00 212,774.16 229,561.42 2,985.51

AMER AIRLINE 16-3 AA 3.000 OCT 15 28 AA+ 101.94 156,508.57 0.17% 0.20% 0.96 152,575.57 145,767.04 155,529.43 979.14

AMERICAN HONDA FIN C 2.400 JUN 27 24 A 101.12 93,060.15 0.10% 0.13% 1.00 92,000.00 91,793.00 93,029.48 30.67

APPLE INC 2.750 JAN 13 25 AA+ 103.34 43,942.91 0.05% 0.06% 0.96 42,000.00 40,315.38 43,400.70 542.21

BB&T CORP SR MEDIUM 2.200 MAR 16 23 A- 100.66 190,466.14 0.21% 0.26% 1.00 188,000.00 187,860.88 189,248.32 1,217.82

BNSF RAILWAY CO 2006 5.720 JAN 15 24 AA+ 106.60 28,194.63 0.03% 0.04% 1.02 25,803.62 26,263.96 27,505.88 688.75

BANK AMER CORP 3.004 DEC 20 23 A- 102.57 214,574.31 0.23% 0.29% 1.00 209,000.00 208,139.48 214,365.03 209.28

BANK OF MONTREAL 1.900 AUG 27 21 A+ 100.19 151,273.08 0.16% 0.20% 0.96 150,000.00 144,369.00 150,283.50 989.58

BANK NEW YORK MELLON 2.950 JAN 29 23 A 102.70 194,395.38 0.21% 0.26% 1.01 187,000.00 188,677.16 192,050.87 2,344.51

BOEING CO 3.100 MAY 01 26 A- 103.59 116,604.63 0.13% 0.16% 1.00 112,000.00 111,685.28 116,016.32 588.31

BP CAP MKTS AMER INC 2.750 MAY 10 23 A- 102.31 250,608.06 0.27% 0.35% 1.02 244,000.00 249,238.48 249,638.84 969.22

BP CAP MKTS AMER INC 3.410 FEB 11 26 A- 106.55 69,046.77 0.07% 0.09% 1.00 64,000.00 64,000.00 68,192.00 854.77

CBS CORP NEW 3.375 MAR 01 22 BBB 102.31 39,308.86 0.04% 0.05% 0.99 38,000.00 37,453.56 38,877.80 431.06

CSX CORP 3.800 MAR 01 28 BBB+ 109.14 45,269.83 0.05% 0.06% 0.97 41,000.00 39,586.73 44,746.17 523.66

CSX TRANS INC 2007-1 6.251 JAN 15 23 A+ 108.93 197,226.09 0.21% 0.27% 1.12 176,307.56 196,822.60 192,046.54 5,179.56

CVS HEALTH CORP 4.300 MAR 25 28 BBB 109.24 161,187.81 0.17% 0.22% 1.08 146,000.00 158,160.34 159,496.24 1,691.57

CAPITAL ONE FINL COR 2.500 MAY 12 20 BBB 100.13 58,277.95 0.06% 0.08% 1.00 58,000.00 57,908.36 58,076.56 201.39

CATERPILLAR FINL SVC 1.700 AUG 09 21 A 99.86 230,205.81 0.25% 0.31% 0.97 229,000.00 222,463.35 228,670.24 1,535.57

CHEVRON CORP NEW 2.355 DEC 05 22 AA 101.40 319,969.52 0.35% 0.43% 0.98 315,000.00 307,644.47 319,413.15 556.37

CITIGROUP INC 3.142 JAN 24 23 BBB+ 101.96 137,439.53 0.15% 0.19% 1.00 133,000.00 132,774.00 135,605.47 1,834.06

CITIGROUP INC 3.352 APR 24 25 BBB+ 104.08 149,741.24 0.16% 0.20% 1.00 143,000.00 143,000.00 148,835.83 905.41

COMCAST CORP NEW 3.600 MAR 01 24 A- 106.02 159,765.25 0.17% 0.21% 1.02 149,000.00 151,490.58 157,962.35 1,802.90

COMCAST CORP NEW 3.950 OCT 15 25 A- 109.14 60,492.22 0.07% 0.08% 1.00 55,000.00 54,932.35 60,027.55 464.67

Page 18

Page 21: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Description Issue Rating Shares

Unit

Cost Total Cost

Market

Price Market Value

Accrued

Income Total Value

Weight at

Market

Weight at

Cost

91185Position Detail - at 12/31/2019

Corporates

COMERICA INC 3.700 JUL 31 23 BBB+ 105.13 67,207.11 0.07% 0.09% 1.00 63,000.00 62,994.33 66,229.38 977.73

DEERE JOHN CAP CORP 2.600 MAR 07 24 A 102.30 56,720.16 0.06% 0.08% 1.00 55,000.00 54,905.95 56,263.35 456.81

DELTA AIR LINES INC 2.900 OCT 28 24 BB+ 100.04 74,413.33 0.08% 0.10% 1.00 74,000.00 73,706.22 74,031.82 381.51

DISNEY WALT CO MTNS 3.150 SEP 17 25 A 106.29 88,980.77 0.10% 0.11% 0.98 83,000.00 80,973.97 88,218.21 762.56

DISNEY WALT CO MTNS 1.850 JUL 30 26 A 98.28 31,697.59 0.03% 0.04% 0.93 32,000.00 29,793.60 31,449.28 248.31

DOWDUPONT INC 4.493 NOV 15 25 A- 110.14 69,757.12 0.08% 0.09% 1.00 63,000.00 63,000.00 69,387.57 369.55

DOWDUPONT INC 4.725 NOV 15 28 A- 113.54 34,248.26 0.04% 0.05% 1.13 30,000.00 34,016.70 34,063.20 185.06

EBAY INC 2.750 JAN 30 23 BBB+ 101.39 28,710.77 0.03% 0.04% 0.96 28,000.00 26,987.52 28,387.80 322.97

EXXON MOBIL CORP 3.043 MAR 01 26 AA+ 104.92 112,295.11 0.12% 0.15% 1.04 106,000.00 109,923.10 111,210.96 1,084.15

FEDERAL EXPRESS PASS 6.720 JUL 15 23 BBB+ 102.92 120,897.09 0.13% 0.19% 1.17 113,967.52 133,093.59 117,294.23 3,602.86

FEDERAL EXPRESS PASS 7.650 JUL 15 24 BBB+ 104.30 52,479.68 0.06% 0.08% 1.20 48,499.31 58,077.92 50,584.30 1,895.39

FEDEX CORP 3.100 AUG 05 29 BBB 99.93 95,212.18 0.10% 0.13% 1.00 94,000.00 93,686.04 93,933.26 1,278.92

FIFTH THIRD BANCORP 3.650 JAN 25 24 BBB+ 105.55 85,715.04 0.09% 0.11% 1.00 80,000.00 79,851.20 84,441.60 1,273.44

FORD MOTOR CREDIT CO 4.134 AUG 04 25 BBB- 101.41 206,213.07 0.22% 0.27% 0.96 200,000.00 191,164.00 202,814.00 3,399.07

GENERAL MTRS FINL CO 3.950 APR 13 24 BBB 104.55 225,583.40 0.24% 0.31% 1.02 214,000.00 219,242.93 223,728.44 1,854.96

GENERAL MTRS FINL CO 5.100 JAN 17 24 BBB 108.56 178,549.81 0.19% 0.23% 1.03 161,000.00 165,362.40 174,786.43 3,763.38

GLAXOSMITHKLINE CAP 3.625 MAY 15 25 A+ 107.37 76,568.01 0.08% 0.10% 0.99 71,000.00 70,522.88 76,231.99 336.02

GOLDMAN SACHS GROUP 3.272 SEP 29 25 BBB+ 103.80 217,651.75 0.24% 0.29% 1.00 208,000.00 207,510.62 215,893.60 1,758.15

INTERNATIONAL BUSINE 3.500 MAY 15 29 A 107.59 118,852.74 0.13% 0.15% 1.00 110,000.00 109,723.90 118,350.10 502.64

JPMORGAN CHASE & CO 4.500 JAN 24 22 A- 105.00 169,023.66 0.18% 0.23% 1.05 158,000.00 166,562.02 165,903.16 3,120.50

JPMORGAN CHASE & CO 3.250 SEP 23 22 A- 103.47 265,071.23 0.29% 0.36% 1.02 254,000.00 259,630.05 262,801.10 2,270.13

JP MORGAN CHASE BANK 4.023 DEC 05 24 A- 106.65 156,145.14 0.17% 0.20% 1.00 146,000.00 146,000.00 155,704.62 440.52

KROGER CO 3.300 JAN 15 21 BBB 101.30 117,221.45 0.13% 0.16% 1.03 114,000.00 117,201.12 115,476.30 1,745.15

LOCKHEED MARTIN CORP 3.550 JAN 15 26 A- 107.29 80,610.28 0.09% 0.11% 1.06 74,000.00 78,085.39 79,391.64 1,218.64

MERCK & CO INC 2.750 FEB 10 25 AA 103.76 126,862.11 0.14% 0.17% 1.00 121,000.00 121,000.00 125,549.60 1,312.51

Page 19

Page 22: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Description Issue Rating Shares

Unit

Cost Total Cost

Market

Price Market Value

Accrued

Income Total Value

Weight at

Market

Weight at

Cost

91185Position Detail - at 12/31/2019

Corporates

MICROSOFT CORP 2.875 FEB 06 24 AAA 103.77 81,846.94 0.09% 0.11% 1.01 78,000.00 79,050.26 80,937.48 909.46

MID-AMERICA APTS LP 3.600 JUN 01 27 BBB+ 106.14 39,385.39 0.04% 0.05% 1.00 37,000.00 36,844.60 39,270.69 114.70

MOLSON COORS BEVERAG 3.000 JUL 15 26 BBB- 101.25 94,425.73 0.10% 0.13% 1.01 92,000.00 92,699.20 93,145.40 1,280.33

MORGAN STANLEY 2.720 JUL 22 25 BBB+ 101.26 85,046.23 0.09% 0.12% 1.01 83,000.00 83,692.22 84,049.12 997.11

MORGAN STANLEY 2.750 MAY 19 22 BBB+ 101.85 44,957.21 0.05% 0.06% 0.98 44,000.00 43,042.33 44,812.68 144.53

MORGAN STANLEY 3.125 JAN 23 23 BBB+ 102.81 86,477.04 0.09% 0.12% 1.00 83,000.00 83,126.06 85,331.47 1,145.57

OCCIDENTAL PETE CORP 2.700 FEB 15 23 BBB 100.80 30,547.05 0.03% 0.04% 0.96 30,000.00 28,768.20 30,238.80 308.25

OCCIDENTAL PETE CORP 5.550 MAR 15 26 BBB 113.41 89,747.26 0.10% 0.12% 1.13 78,000.00 87,967.62 88,460.58 1,286.68

ORACLE CORP 2.400 SEP 15 23 A+ 101.67 73,716.00 0.08% 0.10% 1.00 72,000.00 71,987.76 73,202.40 513.60

ORACLE CORP 2.650 JUL 15 26 A+ 102.30 39,340.76 0.04% 0.05% 0.97 38,000.00 36,881.92 38,873.62 467.14

PNC FINANCIAL SERVIC 3.500 JAN 23 24 A- 105.66 409,514.82 0.44% 0.54% 1.01 382,000.00 384,719.84 403,609.74 5,905.08

PNC FUNDING CORP 3.300 MAR 08 22 A- 102.74 133,883.94 0.15% 0.18% 1.02 129,000.00 131,161.26 132,535.89 1,348.05

PACIFICORP 3.850 JUN 15 21 A+ 102.46 100,591.91 0.11% 0.14% 1.04 98,000.00 101,754.19 100,413.74 178.17

PACIFICORP 2.950 FEB 01 22 A+ 101.96 190,915.12 0.21% 0.27% 1.06 185,000.00 195,532.05 188,626.00 2,289.12

SHELL INTERNATIONAL 2.375 NOV 07 29 AA- 99.19 178,187.79 0.19% 0.25% 0.99 179,000.00 176,803.67 177,550.10 637.69

STARBUCKS CORP 3.800 AUG 15 25 BBB+ 107.76 187,834.51 0.20% 0.26% 1.08 172,000.00 185,287.00 185,347.20 2,487.31

TD BANK 2.650 JUN 12 24 A 102.44 96,429.15 0.10% 0.13% 1.00 94,000.00 93,986.84 96,292.66 136.49

TOTAL CAPITAL 3.883 OCT 11 28 A+ 112.00 258,489.88 0.28% 0.35% 1.11 229,000.00 254,043.81 256,489.16 2,000.72

TOTAL CAP CDA LTD 2.750 JUL 15 23 A+ 102.58 155,783.54 0.17% 0.20% 0.96 150,000.00 144,487.50 153,870.00 1,913.54

UNITED PARCEL SERVIC 3.400 MAR 15 29 A 107.43 30,363.92 0.03% 0.04% 1.00 28,000.00 27,966.96 30,080.96 282.96

U S BANCORP MTNS BK 3.000 MAR 15 22 A+ 102.32 81,534.85 0.09% 0.11% 1.02 79,000.00 80,963.97 80,830.43 704.42

U S BANCORP MTNS BK 2.400 JUL 30 24 A+ 101.64 164,243.73 0.18% 0.22% 1.00 160,000.00 159,843.20 162,622.40 1,621.33

UNITEDHEALTH GROUP I 2.375 AUG 15 24 A+ 101.33 190,394.74 0.21% 0.26% 1.01 186,000.00 187,601.46 188,468.22 1,926.52

VERIZON COMMUNICATIO 4.125 MAR 16 27 BBB+ 111.02 86,423.71 0.09% 0.12% 1.11 77,000.00 85,496.18 85,488.48 935.23

VIRGINIA ELEC & PWR 3.150 JAN 15 26 BBB+ 104.55 90,108.71 0.10% 0.12% 0.97 85,000.00 82,494.28 88,866.65 1,242.06

Page 20

Page 23: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Description Issue Rating Shares

Unit

Cost Total Cost

Market

Price Market Value

Accrued

Income Total Value

Weight at

Market

Weight at

Cost

91185Position Detail - at 12/31/2019

Corporates

WALMART INC 3.400 JUN 26 23 AA 105.15 168,330.67 0.18% 0.22% 1.01 160,000.00 160,895.48 168,240.00 90.67

WELLS FARGO CO MTN B 3.550 SEP 29 25 A- 106.19 85,685.67 0.09% 0.12% 1.06 80,000.00 84,995.20 84,952.00 733.67

WESTPAC BKG CORP 2.750 JAN 11 23 AA- 101.89 70,176.17 0.08% 0.09% 1.00 68,000.00 67,931.32 69,287.92 888.25

Mortgage Backed Securities

FHLMC PC GOL G16330 3.500 AUG 01 32 AA+ 104.17 270,580.58 0.29% 0.38% 1.04 259,004.65 268,798.26 269,799.96 780.61

FHLMC PC GOL G08716 3.500 AUG 01 46 AA+ 104.46 60,388.60 0.07% 0.08% 1.00 57,642.30 57,579.25 60,214.88 173.73

FHLMC PC GOL G08737 3.000 DEC 01 46 AA+ 102.48 936,830.28 1.02% 1.29% 1.01 911,842.75 924,791.91 934,474.69 2,355.59

FHLMC PC GOL C91731 4.000 NOV 01 33 AA+ 106.56 114,162.54 0.12% 0.16% 1.05 106,790.33 112,530.31 113,794.71 367.83

FHLMC PC GOL C91395 4.000 SEP 01 31 AA+ 106.58 141,459.79 0.15% 0.20% 1.07 132,301.31 141,293.83 141,004.09 455.70

FHLMC PC GOL C91881 3.500 JUL 01 36 AA+ 104.34 84,913.15 0.09% 0.12% 1.04 81,145.26 84,517.86 84,668.59 244.56

FHLMC PC GOL A96413 4.000 JAN 01 41 AA+ 107.32 27,924.25 0.03% 0.04% 1.00 25,937.09 25,936.08 27,834.91 89.34

FHLMC PC 15Y ZS7207 3.500 JUL 01 30 AA+ 104.08 194,994.59 0.21% 0.27% 1.04 186,807.94 193,681.89 194,431.57 563.02

FHLMC PC 15Y ZT1998 4.000 JUL 01 29 AA+ 104.25 163,295.54 0.18% 0.23% 1.04 156,124.07 162,588.58 162,757.78 537.76

FHLMC PC 15Y SB0030 3.000 DEC 01 32 AA+ 102.94 141,566.11 0.15% 0.20% 1.03 137,185.33 141,343.76 141,211.72 354.40

FHLMC PC GOL Q13086 3.000 NOV 01 42 AA+ 103.08 26,424.43 0.03% 0.04% 1.05 25,571.78 26,806.42 26,358.37 66.06

FHLMC PC GOL G31065 3.500 AUG 01 36 AA+ 104.51 93,107.53 0.10% 0.13% 1.01 88,830.87 89,760.82 92,839.81 267.73

FHLMC PC GOL V82781 3.000 DEC 01 46 AA+ 102.48 264,763.77 0.29% 0.36% 0.99 257,701.88 255,084.60 264,098.04 665.73

FNMA PASSTHRU AH3586 4.000 JAN 01 41 AA+ 107.26 36,876.25 0.04% 0.05% 1.01 34,268.92 34,635.70 36,758.21 118.04

FNMA PASSTHRU AH3394 4.000 JAN 01 41 AA+ 107.27 44,194.61 0.05% 0.06% 1.03 41,069.45 42,359.29 44,053.15 141.46

FNMA PASSTHRU AH9719 4.500 APR 01 41 AA+ 108.52 28,437.23 0.03% 0.04% 1.04 26,112.08 27,168.80 28,336.05 101.18

FNMA PASSTHRU AJ5336 3.000 NOV 01 26 AA+ 102.47 14,197.08 0.02% 0.02% 1.04 13,820.29 14,364.46 14,161.37 35.70

FNMA PASSTHRU AL0869 4.500 JUN 01 29 AA+ 106.53 43,656.25 0.05% 0.06% 1.08 40,831.33 43,893.68 43,498.02 158.22

FNMA PASSTHRU AL1464 4.500 JAN 01 32 AA+ 107.38 39,769.86 0.04% 0.06% 1.07 36,904.76 39,603.42 39,626.86 143.01

FNMA PASSTHRU AL5521 4.500 JAN 01 40 AA+ 108.52 125,546.85 0.14% 0.17% 1.09 115,275.25 125,145.69 125,100.16 446.69

FNMA PASSTHRU AL6167 3.500 JAN 01 44 AA+ 105.13 79,441.20 0.09% 0.11% 1.03 75,352.29 77,895.43 79,214.09 227.10

Page 21

Page 24: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Description Issue Rating Shares

Unit

Cost Total Cost

Market

Price Market Value

Accrued

Income Total Value

Weight at

Market

Weight at

Cost

91185Position Detail - at 12/31/2019

Mortgage Backed Securities

FNMA PASSTHRU AL6345 4.000 NOV 01 28 AA+ 104.30 9,475.79 0.01% 0.01% 1.07 9,054.97 9,688.82 9,444.61 31.19

FNMA PASSTHRU AP7553 3.000 SEP 01 42 AA+ 103.04 39,824.19 0.04% 0.06% 1.05 38,552.97 40,305.93 39,724.59 99.60

FNMA PASSTHRU AR7391 3.000 JUN 01 43 AA+ 102.95 35,463.06 0.04% 0.05% 1.03 34,361.32 35,354.58 35,374.29 88.77

FNMA PASSTHRU AS0765 3.500 OCT 01 28 AA+ 104.00 51,816.85 0.06% 0.07% 1.05 49,681.35 52,064.50 51,667.11 149.73

FNMA PASSTHRU AS7348 3.500 JUN 01 46 AA+ 104.08 245,505.78 0.27% 0.34% 1.03 235,207.48 242,263.70 244,796.89 708.89

FNMA PASSTHRU AS7388 3.500 JUN 01 46 AA+ 104.17 637,611.61 0.69% 0.87% 1.02 610,327.59 621,919.94 635,772.15 1,839.46

FNMA PASSTHRU AS8597 2.500 JAN 01 32 AA+ 101.19 234,325.92 0.25% 0.33% 1.01 231,078.62 233,931.00 233,828.46 497.46

FNMA PASSTHRU BC6009 3.500 MAY 01 46 AA+ 103.56 447,457.29 0.48% 0.62% 1.03 430,829.89 443,811.61 446,158.82 1,298.47

FNMA PASSTHRU BM3570 4.500 MAR 01 46 AA+ 108.52 248,609.36 0.27% 0.34% 1.06 228,269.41 241,537.57 247,724.81 884.54

FNMA PASSTHRU BM3749 4.000 FEB 01 45 AA+ 107.01 117,412.08 0.13% 0.16% 1.02 109,364.55 111,944.87 117,035.38 376.70

FNMA PASSTHRU BM5246 3.500 NOV 01 48 AA+ 103.41 190,938.40 0.21% 0.26% 1.03 184,098.43 189,218.67 190,383.55 554.85

FNMA PASSTHRU BM5850 3.500 DEC 01 33 AA+ 104.42 151,283.53 0.16% 0.21% 1.03 144,469.77 148,555.56 150,848.11 435.42

FNMA PASSTHRU CA0241 4.000 AUG 01 47 AA+ 105.13 155,626.86 0.17% 0.21% 1.04 147,549.35 153,889.36 155,118.63 508.23

FNMA PASSTHRU 932389 4.500 JAN 01 40 AA+ 108.59 26,156.50 0.03% 0.03% 1.01 24,001.74 24,125.50 26,063.49 93.01

FNMA PASSTHRU AA5223 4.000 MAR 01 39 AA+ 107.09 227,807.10 0.25% 0.31% 1.04 212,046.84 219,825.75 227,076.72 730.38

FNMA PASSTHRU AB1475 4.500 SEP 01 40 AA+ 108.61 13,877.75 0.02% 0.02% 1.04 12,732.29 13,276.40 13,828.41 49.34

FNMA PASSTHRU MA0514 4.000 SEP 01 40 AA+ 107.26 15,015.19 0.02% 0.02% 1.05 13,954.71 14,590.30 14,967.12 48.07

FNMA PASSTHRU MA0706 4.500 APR 01 31 AA+ 107.46 55,084.77 0.06% 0.08% 1.08 51,077.96 55,156.22 54,886.84 197.93

FNMA PASSTHRU MA1029 3.500 APR 01 32 AA+ 104.59 84,245.91 0.09% 0.12% 1.05 80,319.58 84,414.94 84,003.84 242.07

FNMA PASSTHRU MA1144 2.500 AUG 01 27 AA+ 101.34 22,682.86 0.02% 0.03% 1.01 22,336.58 22,608.81 22,634.77 48.09

FNMA PASSTHRU MA1922 4.000 JUN 01 34 AA+ 106.50 159,342.15 0.17% 0.22% 1.06 149,133.31 158,197.82 158,828.47 513.68

FNMA PASSTHRU MA1982 3.500 AUG 01 34 AA+ 104.70 97,848.33 0.11% 0.14% 1.06 93,192.09 98,362.66 97,567.46 280.87

FNMA PASSTHRU MA3522 4.500 NOV 01 48 AA+ 105.50 23,978.27 0.03% 0.03% 1.04 22,644.83 23,614.31 23,890.52 87.75

FNMA PASSTHRU MA3597 3.500 FEB 01 49 AA+ 102.90 87,174.21 0.09% 0.12% 1.01 84,471.63 85,025.98 86,919.62 254.59

FNMA PASSTHRU MA3071 4.000 JUL 01 37 AA+ 106.04 145,027.33 0.16% 0.20% 1.03 136,330.22 140,995.27 144,557.75 469.58

Page 22

Page 25: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Description Issue Rating Shares

Unit

Cost Total Cost

Market

Price Market Value

Accrued

Income Total Value

Weight at

Market

Weight at

Cost

91185Position Detail - at 12/31/2019

Mortgage Backed Securities

FNMA PASSTHRU MA3210 3.500 DEC 01 47 AA+ 103.96 371,635.63 0.40% 0.52% 1.03 356,442.66 368,844.47 370,561.35 1,074.28

FNMA PASSTHRU AD6960 4.500 JUL 01 40 AA+ 108.58 20,754.85 0.02% 0.03% 1.03 19,047.35 19,571.15 20,681.04 73.81

FNMA PASSTHRU AD8268 4.500 SEP 01 40 AA+ 108.60 17,957.28 0.02% 0.02% 1.02 16,477.06 16,867.75 17,893.43 63.85

FNMA PASSTHRU AE6126 4.000 OCT 01 30 AA+ 106.48 38,912.65 0.04% 0.05% 1.07 36,425.36 39,020.67 38,787.18 125.47

FNMA PASSTHRU AE7582 4.500 NOV 01 40 AA+ 108.58 60,348.98 0.07% 0.08% 1.06 55,381.53 58,657.04 60,134.37 214.60

FNMA PASSTHRU AE9093 4.000 DEC 01 40 AA+ 107.25 85,320.77 0.09% 0.11% 1.04 79,295.54 82,157.61 85,047.64 273.13

GNMA PASSTHRU MA5332 5.000 JUL 20 48 AA+ 106.18 309,721.12 0.34% 0.43% 1.05 290,530.00 305,283.48 308,470.23 1,250.89

GNMA PASSTHRU AU4920 3.020 SEP 15 41 AA+ 101.40 131,651.54 0.14% 0.18% 1.02 129,498.81 131,886.44 131,314.77 336.77

US Agencies

CAPITAL ONE NATL ASS 2.650 MAY 30 24 AA+ 102.25 273,589.05 0.30% 0.37% 0.99 267,000.00 265,331.25 273,007.50 581.55

CAPITAL ONE BANK (US 2.650 MAY 30 24 AA+ 102.25 357,612.65 0.39% 0.48% 0.99 349,000.00 346,818.75 356,852.50 760.15

GOLDMAN SACHS BK USA 3.350 AUG 29 23 AA+ 104.75 233,963.25 0.25% 0.31% 1.00 221,000.00 220,060.75 231,488.66 2,474.59

JPMORGAN CHASE BK NA 2.00013 DEC 04 23 AA+ 99.88 480,136.49 0.52% 0.67% 1.00 480,000.00 478,200.00 479,400.00 736.49

MORGAN STANLEY PVT B 3.550 NOV 24 23 AA+ 105.74 300,306.34 0.33% 0.39% 0.99 283,000.00 281,160.50 299,232.88 1,073.46

SALLIE MAE BK SLT LA 2.400 JUN 20 22 AA+ 101.24 248,257.22 0.27% 0.34% 1.00 245,000.00 244,203.75 248,047.80 209.42

UBS BK USA SALT LAKE 2.900 APR 03 24 AA+ 103.30 220,509.13 0.24% 0.30% 1.00 213,000.00 212,201.25 220,018.35 490.78

WELLS FARGO BANK NAT 3.500 NOV 09 23 AA+ 105.35 424,401.64 0.46% 0.56% 1.00 402,000.00 400,492.50 423,515.04 886.60

US Treasuries

UNITED STATES TREAS 2.500 JAN 31 25 AA+ 103.92 353,742.82 0.38% 0.49% 1.04 337,000.00 350,644.05 350,217.14 3,525.68

UNITED STATES TREAS 2.875 MAY 15 28 AA+ 107.71 369,627.52 0.40% 0.47% 0.99 342,000.00 338,631.69 368,357.94 1,269.58

UNITED STATES TREAS 3.125 NOV 15 28 AA+ 110.05 646,135.44 0.70% 0.86% 1.05 585,000.00 617,110.29 643,774.95 2,360.49

UNITED STATES TREAS 2.625 JAN 31 26 AA+ 104.90 1,228,464.73 1.33% 1.67% 1.03 1,159,000.00 1,195,290.46 1,215,733.05 12,731.68

UNITED STATES TREAS 2.375 MAY 15 29 AA+ 104.01 316,085.55 0.34% 0.44% 1.03 303,000.00 312,976.12 315,156.36 929.19

UNITED STATES TREAS 1.750 JUN 30 24 AA+ 100.32 778,489.47 0.84% 1.09% 1.00 776,000.00 777,873.45 778,452.16 37.31

Page 23

Page 26: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Description Issue Rating Shares

Unit

Cost Total Cost

Market

Price Market Value

Accrued

Income Total Value

Weight at

Market

Weight at

Cost

91185Position Detail - at 12/31/2019

US Treasuries

UNITED STATES TREAS 0.625 JAN 15 24 AA+ 102.19 1,436,473.76 1.56% 2.00% 1.02 1,401,709.64 1,430,927.58 1,432,426.71 4,047.06

UNITED STATES TREAS 2.000 AUG 31 21 AA+ 100.66 1,010,190.14 1.09% 1.40% 1.01 997,000.00 1,003,598.24 1,003,580.20 6,609.94

UNITED STATES TREAS 2.000 NOV 15 26 AA+ 101.16 1,621,677.69 1.76% 2.26% 1.01 1,599,000.00 1,621,239.92 1,617,548.40 4,129.29

UNITED STATES TREAS 2.250 FEB 15 27 AA+ 102.83 362,872.52 0.39% 0.51% 1.04 350,000.00 363,166.02 359,898.00 2,974.52

UNITED STATES TREAS 1.750 APR 30 22 AA+ 100.39 486,328.24 0.53% 0.68% 1.00 483,000.00 483,699.98 484,888.53 1,439.71

UNITED STATES TREAS 0.750 JUL 15 28 AA+ 105.33 339,076.83 0.37% 0.47% 1.06 320,868.82 338,737.86 337,965.13 1,111.71

UNITED STATES TREAS 1.625 AUG 15 29 AA+ 97.50 339,459.88 0.37% 0.48% 1.00 346,000.00 347,024.34 337,336.16 2,123.72

UNITED STATES TREAS 1.750 NOV 15 29 AA+ 98.57 227,230.71 0.25% 0.32% 0.99 230,000.00 228,685.90 226,711.00 519.71

Total Fixed Income $35,404,211.04 $35,905,003.71 $182,996.41 $36,088,000.12 39.11% 49.44%

CASH CASH 1.00 $1,231,506.18 1.33% 1.72% 1.00 1,231,506.18 1,231,506.18 $1,231,506.18 $0.00

100.00%$71,610,508.94 $92,061,675.01 $214,925.41 $92,276,600.42Total Portfolio 100.00%

Page 24

Page 27: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Sales

10/08/2019 105.90 752.14UNITED STATES TREAS 0.750 JUL 15 28 912828Y38 257,572 273,231.19

10/09/2019 28.14 -140,598.31KENNAMETAL INC COMMON 489170100 16,100 452,741.94

10/10/2019 110.94 1,153.20EQUINOR ASA 3.625 SEP 10 28 29446MAB8 15,000 16,693.87

10/10/2019 106.04 3,810.73VERIZON COMMUNICATIO 3.376 FEB 15 25 92343VEN0 77,000 82,080.98

10/11/2019 99.94 -16.80AMERICREDIT AUTO REC 1.980 DEC 20 21 03065GAD2 36,259 36,289.95

10/11/2019 107.67 118.30PETROLEOS MEXICANOS 6.875 AUG 04 26 71654QCB6 6,000 6,542.70

10/15/2019 105.52 23,584.00CITIBANK NATIONAL AS 3.550 DEC 21 23 17312QX87 400,000 426,635.78

10/17/2019 100.93 1,866.48LLOYDS BANKING GROUP 2.907 NOV 07 23 539439AP4 200,000 204,515.08

10/18/2019 101.43 4,708.24CAPITAL ONE NATL ASS 2.500 JUN 19 24 14042RLZ2 229,000 234,221.93

10/21/2019 105.73 7,008.72FHLMC PC GOL G61464 4.000 OCT 01 46 31335BTV8 190,876 202,266.77

10/21/2019 104.60 1,601.10PHILIP MORRIS INTL I 3.375 AUG 15 29 718172CJ6 27,000 28,413.31

10/22/2019 101.89 2,058.20CAPITAL ONE NATL ASS 2.650 MAY 30 24 14042RLW9 82,000 84,414.90

10/22/2019 101.35 6,653.72DISCOVER BK 3.000 JUN 07 21 254673QB5 397,000 406,899.06

10/22/2019 105.45 7,515.54GOLDMAN SACHS BK USA 3.600 NOV 28 23 38148P2K2 129,000 137,914.84

10/22/2019 104.28 4,891.12GOLDMAN SACHS BK USA 3.350 AUG 29 23 38148PV53 104,000 108,945.47

10/22/2019 107.47 953.64LOCKHEED MARTIN CORP 3.550 JAN 15 26 539830BH1 49,000 53,137.19

10/23/2019 103.66 13,675.53MORGAN STANLEY BK N 3.250 MAY 31 23 61747MZ87 319,000 334,828.78

10/23/2019 101.64 -399.36OCCIDENTAL PETE CORP 3.400 APR 15 26 674599CH6 78,000 79,354.42

10/24/2019 100.61 3.29UNITED STATES TREAS 1.875 JAN 31 22 912828V72 175,000 176,840.05

10/28/2019 106.36 5,413.70BP CAP MKTS AMER INC 3.790 FEB 06 24 10373QAD2 86,000 92,230.98

10/28/2019 104.41 2,182.34PHILIP MORRIS INTL I 3.375 AUG 15 29 718172CJ6 38,000 39,942.98

10/28/2019 102.43 -1,252.67UNITED STATES TREAS 0.625 JAN 15 26 912828N71 107,974 110,797.87

Page 25

Page 28: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Sales

10/28/2019 101.04 8,958.23UNITED STATES TREAS 0.375 JAN 15 27 912828V49 168,874 170,812.74

10/28/2019 100.45 -1,302.62UNITED STATES TREAS 1.875 JAN 31 22 912828V72 823,000 830,503.17

10/30/2019 100.37 23.48GENERAL ELECTRIC CO 2.700 OCT 09 22 369604BD4 5,000 5,026.50

11/04/2019 101.48 2,805.58GOLDMAN SACHS BK USA 2.550 JUN 19 24 38149MBM4 151,000 154,716.23

11/07/2019 104.96 -630.66UNITED STATES TREAS 0.750 JUL 15 28 912828Y38 97,115 102,162.10

11/08/2019 99.94 -47.60FEDERAL FARM CR BKS 2.670 MAY 12 27 3133EKZA7 238,000 237,857.20

11/08/2019 101.44 2,999.23MORGAN STANLEY 2.750 MAY 19 22 61744YAH1 83,000 85,295.92

11/08/2019 101.72 -1,103.01UNITED STATES TREAS 2.125 NOV 30 24 9128283J7 151,000 155,047.77

11/12/2019 104.91 2,277.55MORGAN STANLEY PVT B 3.550 NOV 24 23 61760ASL4 41,000 43,704.91

11/12/2019 104.98 4,197.18WELLS FARGO BANK NAT 3.550 DEC 14 23 949763VU7 78,000 82,112.77

11/18/2019 102.85 1,645.26UBS BK USA SALT LAKE 2.900 APR 03 24 90348JJQ4 51,000 52,518.84

11/19/2019 38.57 -1,899.28AT&T INC COMMON 00206R102 3,200 123,370.24

11/19/2019 1,321.38 176,407.21ALPHABET INC CLASS A 02079K305 200 264,265.82

11/19/2019 267.07 413,223.41APPLE INC COMMON 037833100 2,100 560,782.89

11/19/2019 48.89 51,175.60BANK OF NEW YORK MEL COMMON 064058100 2,400 117,287.25

11/19/2019 124.81 9,859.09CELANESE CORP COMMON STOCK 150870103 1,200 149,744.77

11/19/2019 59.57 28,041.21CENTENE CORP DEL COMMON 15135B101 1,300 77,411.83

11/19/2019 41.12 -20,151.69DICKS SPORTING GOODS COMMON 253393102 2,400 98,625.95

11/19/2019 180.24 210,570.07HONEYWELL INTL INC COMMON 438516106 1,600 288,344.27

11/19/2019 58.54 108,067.69INTEL CORP COMMON 458140100 3,000 175,544.96

11/19/2019 131.15 171,758.62JPMORGAN CHASE & CO COMMON 46625H100 1,700 222,911.62

11/19/2019 63.24 64,189.41MARATHON PETROLEUM COMMON 56585A102 3,200 202,298.85

Page 26

Page 29: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Sales

11/19/2019 136.18 82,946.86MARRIOTT INTL INC CLASS A 571903202 1,300 177,010.05

11/19/2019 151.00 169,588.30MICROSOFT CORP COMMON 594918104 1,300 196,269.93

11/19/2019 84.01 162,624.54STARBUCKS CORP COMMON 855244109 2,300 193,172.08

11/19/2019 171.02 76,032.013M COMPANY COMMON 88579Y101 800 136,797.56

11/19/2019 119.89 62,448.57WALMART INC COMMON 931142103 900 107,881.39

11/26/2019 100.09 2,236.65JPMORGAN CHASE BK 3.550 DEC 24 23 48128F4H2 481,000 488,824.49

11/27/2019 101.13 4,546.19HSBC BANK USA NA 3.125 DEC 09 20 40434AE62 354,000 363,225.82

11/27/2019 105.07 2,624.82PHILIP MORRIS INTL I 3.375 AUG 15 29 718172CJ6 41,000 43,489.57

12/09/2019 102.15 1,527.99ORACLE CORP 2.650 JUL 15 26 68389XBM6 30,000 30,967.71

12/11/2019 101.11 26.88APACHE CORP 4.375 OCT 15 28 037411BE4 96,000 97,745.15

12/11/2019 100.80 -1,984.71FHLMC PC 15Y SB8013 2.500 SEP 01 34 3132D53W0 230,948 233,044.95

12/13/2019 97.52 -1,000.95UNITED STATES TREAS 1.625 AUG 15 29 912828YB0 36,000 35,302.74

12/16/2019 101.06 3,474.81HSBC BANK USA NA 3.125 DEC 09 20 40434AE62 285,000 288,216.21

12/18/2019 98.89 -178.94FEDEX CORP 3.100 AUG 05 29 31428XBV7 23,000 23,033.40

12/18/2019 102.84 1,672.32UBS BK USA SALT LAKE 2.900 APR 03 24 90348JJQ4 52,000 53,543.43

12/19/2019 102.64 4,734.25MORGAN STANLEY PVT B 2.850 APR 04 24 61760AYB9 145,000 149,733.75

12/20/2019 47.29 -6,216.75DICKS SPORTING GOODS COMMON 253393102 2,800 132,357.17

12/20/2019 146.95 138,305.96WALT DISNEY CO COMMON 254687106 1,100 161,618.88

12/20/2019 58.58 52,013.10PUBLIC SVC ENTERPR COMMON 744573106 1,600 93,694.05

12/20/2019 101.14 4,041.85CAPITAL ONE BANK (US 2.500 JUN 19 24 14042TAW7 229,000 231,673.34

Total Sales 1,936,210.56 11,026,888.31

Page 27

Page 30: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Principal Payments

10/01/2019 100.00 -45.87COMM MTG TR 2.976 JUL 10 48 12593FBA1 1,531 1,530.92

10/01/2019 100.00 -165.50FHLMC PC GOL G16330 3.500 AUG 01 32 3128MFHF8 4,377 4,376.97

10/01/2019 100.00 1.54FHLMC PC GOL G08716 3.500 AUG 01 46 3128MJYN4 1,405 1,404.73

10/01/2019 100.00 23.62FHLMC PC GOL G08737 3.000 DEC 01 46 3128MJZB9 4,608 4,607.97

10/01/2019 100.00 -83.87FHLMC PC GOL C91731 4.000 NOV 01 33 3128P74Q3 1,560 1,560.37

10/01/2019 100.00 -165.91FHLMC PC GOL C91395 4.000 SEP 01 31 3128P7RQ8 2,441 2,440.97

10/01/2019 100.00 -49.58FHLMC PC GOL C91881 3.500 JUL 01 36 3128P8CS8 1,193 1,192.98

10/01/2019 100.00 0.02FHLMC PC GOL A96413 4.000 JAN 01 41 312945DS4 473 473.08

10/01/2019 100.00 -154.44FHLMC PC 15Y ZS7207 3.500 JUL 01 30 3132A8AG4 4,197 4,197.16

10/01/2019 100.00 -172.51FHLMC PC 15Y ZT1998 4.000 JUL 01 29 3132AEGF7 4,166 4,166.30

10/01/2019 100.00 -71.77FHLMC PC 15Y SB0030 3.000 DEC 01 32 3132CWA79 2,368 2,367.81

10/01/2019 100.00 -36.11FHLMC PC 15Y SB8013 2.500 SEP 01 34 3132D53W0 2,180 2,179.96

10/01/2019 100.00 -16.17FHLMC PC GOL Q13086 3.000 NOV 01 42 3132HPNB6 335 334.91

10/01/2019 100.00 -12.85FHLMC PC GOL G31065 3.500 AUG 01 36 3132J4MP1 1,228 1,227.66

10/01/2019 100.00 28.46FHLMC PC GOL V82781 3.000 DEC 01 46 3132L8CS4 2,802 2,801.76

10/01/2019 100.00 -38.56FHLMC PC GOL G61464 4.000 OCT 01 46 31335BTV8 1,870 1,869.70

10/01/2019 100.00 -13.24FNMA REMIC TRUST 2.500 OCT 25 40 3136A23E1 623 623.03

10/01/2019 100.00 -196.30FNMA REMIC TRUST 4.500 FEB 25 38 3136A3ED9 2,425 2,425.29

10/01/2019 100.00 -55.39FNMA REMIC TRUST 4.250 NOV 25 41 3136A4Q44 999 998.58

10/01/2019 100.00 -135.74FNMA REMIC TRUST 4.000 MAY 25 38 3136A6EU4 2,318 2,317.83

10/01/2019 100.00 -101.55FHLMC REMIC SERIES 4.000 AUG 15 25 3137A1LY7 1,917 1,917.20

10/01/2019 100.00 -60.33FHLMC REMIC SERIES 4.000 NOV 15 39 3137A3ZF9 852 852.31

Page 28

Page 31: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Principal Payments

10/01/2019 100.00 -13.42FHLMC REMIC SERIES 3.500 APR 15 22 3137A9ZX7 286 286.38

10/01/2019 100.00 -59.16FHLMC REMIC SERIES 3.000 NOV 15 32 3137B9BY0 1,402 1,402.24

10/01/2019 100.00 -16.60FHLMC REMIC SERIES 3.000 AUG 15 44 3137BNZH0 2,657 2,656.61

10/01/2019 100.00 -122.00FHLMC REMIC SERIES 3.250 APR 15 53 3137BTS85 7,972 7,972.25

10/01/2019 100.00 -83.67FHLMC REMIC SERIES 2.961 JAN 25 46 3137FARK6 10,604 10,604.12

10/01/2019 100.00 -4.35FNMA PASSTHRU AH3586 4.000 JAN 01 41 3138A46Y6 406 406.43

10/01/2019 100.00 -23.10FNMA PASSTHRU AH3394 4.000 JAN 01 41 3138A4XY6 736 735.58

10/01/2019 100.00 -14.85FNMA PASSTHRU AH9719 4.500 APR 01 41 3138ABYR4 367 367.00

10/01/2019 100.00 -12.83FNMA PASSTHRU AJ5336 3.000 NOV 01 26 3138AW4W0 326 325.72

10/01/2019 100.00 -73.02FNMA PASSTHRU AL0869 4.500 JUN 01 29 3138EG6F6 974 973.61

10/01/2019 100.00 -93.00FNMA PASSTHRU AL1464 4.500 JAN 01 32 3138EHTW2 1,272 1,271.77

10/01/2019 100.00 -112.28FNMA PASSTHRU AL5521 4.500 JAN 01 40 3138END30 1,311 1,311.34

10/01/2019 100.00 -37.97FNMA PASSTHRU AL6167 3.500 JAN 01 44 3138ENZ93 1,125 1,124.90

10/01/2019 100.00 -16.61FNMA PASSTHRU AL6345 4.000 NOV 01 28 3138EPBP8 237 237.28

10/01/2019 100.00 -24.37FNMA PASSTHRU AP7553 3.000 SEP 01 42 3138MBMB9 536 536.03

10/01/2019 100.00 -19.01FNMA PASSTHRU AR7391 3.000 JUN 01 43 3138W5F94 658 657.60

10/01/2019 100.00 -63.92FNMA PASSTHRU AS0765 3.500 OCT 01 28 3138W9Z78 1,333 1,332.51

10/01/2019 100.00 -128.52FNMA PASSTHRU AS7348 3.500 JUN 01 46 3138WHEW8 4,284 4,284.10

10/01/2019 100.00 -332.12FNMA PASSTHRU AS7388 3.500 JUN 01 46 3138WHF64 17,486 17,486.09

10/01/2019 100.00 -2.10FNMA REMIC TRUST 5.000 AUG 25 35 31394EP69 125 124.62

10/01/2019 100.00 -120.07FNMA PASSTHRU BC6009 3.500 MAY 01 46 3140F1VB5 3,985 3,984.80

10/01/2019 100.00 -247.09FNMA PASSTHRU BM3570 4.500 MAR 01 46 3140J76G5 4,251 4,250.97

Page 29

Page 32: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Principal Payments

10/01/2019 100.00 -68.66FNMA PASSTHRU BM3749 4.000 FEB 01 45 3140J8EX7 2,910 2,910.24

10/01/2019 100.00 -85.94FNMA PASSTHRU BM5850 3.500 DEC 01 33 3140JAQC5 3,039 3,038.80

10/01/2019 100.00 -313.45FNMA PASSTHRU CA0241 4.000 AUG 01 47 3140Q7HT7 7,295 7,294.87

10/01/2019 100.00 -3.57FNMA PASSTHRU 932389 4.500 JAN 01 40 31412Q2W8 692 692.41

10/01/2019 100.00 -517.44FNMA PASSTHRU AA5223 4.000 MAR 01 39 31416NYV8 14,105 14,105.08

10/01/2019 100.00 -8.09FNMA PASSTHRU AB1475 4.500 SEP 01 40 31416WT93 189 189.28

10/01/2019 100.00 -14.82FNMA PASSTHRU MA0514 4.000 SEP 01 40 31417YSC2 325 325.33

10/01/2019 100.00 -88.05FNMA PASSTHRU MA0706 4.500 APR 01 31 31417YYC5 1,103 1,102.84

10/01/2019 100.00 -51.04FNMA PASSTHRU MA1029 3.500 APR 01 32 31418AEB0 1,001 1,001.08

10/01/2019 100.00 -8.78FNMA PASSTHRU MA1144 2.500 AUG 01 27 31418AHW1 721 720.67

10/01/2019 100.00 -175.70FNMA PASSTHRU MA1922 4.000 JUN 01 34 31418BD45 2,891 2,890.64

10/01/2019 100.00 -120.16FNMA PASSTHRU MA1982 3.500 AUG 01 34 31418BFY7 2,166 2,165.78

10/01/2019 100.00 -51.78FNMA PASSTHRU MA3522 4.500 NOV 01 48 31418C4G6 1,209 1,209.39

10/01/2019 100.00 -34.83FNMA PASSTHRU MA3597 3.500 FEB 01 49 31418C7K4 5,308 5,307.92

10/01/2019 100.00 -105.86FNMA PASSTHRU MA3071 4.000 JUL 01 37 31418CMV3 3,094 3,093.63

10/01/2019 100.00 -15.23FNMA PASSTHRU MA3210 3.500 DEC 01 47 31418CR89 1,026 1,025.86

10/01/2019 100.00 -7.38FNMA PASSTHRU AD6960 4.500 JUL 01 40 31418UWW0 268 268.25

10/01/2019 100.00 -7.40FNMA PASSTHRU AD8268 4.500 SEP 01 40 31418WFJ4 312 312.27

10/01/2019 100.00 -23.37FNMA PASSTHRU AE6126 4.000 OCT 01 30 31419GYY4 328 328.04

10/01/2019 100.00 -12.04FNMA PASSTHRU AE7582 4.500 NOV 01 40 31419JM88 204 203.62

10/01/2019 100.00 -38.82FNMA PASSTHRU AE9093 4.000 DEC 01 40 31419LC76 1,076 1,075.51

10/01/2019 100.00 -988.51GNMA PASSTHRU MA5332 5.000 JUL 20 48 36179T4R3 19,466 19,466.13

Page 30

Page 33: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Principal Payments

10/01/2019 100.00 -6.19GNMA PASSTHRU AU4920 3.020 SEP 15 41 36194SPD4 336 335.84

10/01/2019 100.00 -26.82GNMA REMIC TRUST 3.500 JAN 20 38 38374YWD1 605 604.93

10/01/2019 100.00 -6.31GNMA REMIC TRUST 3.000 MAR 20 39 38377GLX5 222 221.94

10/01/2019 100.00 -106.02GNMA REMIC TRUST 4.000 AUG 20 39 38377TEL1 1,834 1,833.86

10/01/2019 100.00 -195.07GNMA REMIC TRUST 5.000 AUG 16 39 38377UR34 2,282 2,282.27

10/01/2019 100.00 -11.52GNMA REMIC TRUST 2.000 MAY 20 39 38377YFU9 595 594.83

10/01/2019 100.00 -52.54GNMA REMIC TRUST 3.000 APR 16 43 38378YA66 1,656 1,656.38

10/01/2019 100.00 -51.29GNMA REMIC TRUST 3.500 APR 16 43 38378YYK9 1,136 1,135.81

10/01/2019 100.00 2.58GNMA REMIC TRUST 2.200 AUG 16 47 38379R6A6 630 629.98

10/01/2019 100.00 -0.06GNMA REMIC TRUST 2.250 SEP 16 44 38379U6D3 322 321.70

10/15/2019 100.00 196.15AMER AIRLINE 16-3 AA 3.000 OCT 15 28 023771R91 4,396 4,395.59

10/15/2019 100.00 0.08CNH EQUIPMENT TR 2.780 AUG 16 21 12652VAB3 4,123 4,123.35

11/01/2019 100.00 -42.78COMM MTG TR 2.976 JUL 10 48 12593FBA1 1,428 1,427.52

11/01/2019 100.00 -220.57FHLMC PC GOL G16330 3.500 AUG 01 32 3128MFHF8 5,833 5,833.19

11/01/2019 100.00 1.85FHLMC PC GOL G08716 3.500 AUG 01 46 3128MJYN4 1,689 1,689.45

11/01/2019 100.00 23.70FHLMC PC GOL G08737 3.000 DEC 01 46 3128MJZB9 4,623 4,623.38

11/01/2019 100.00 -130.71FHLMC PC GOL C91731 4.000 NOV 01 33 3128P74Q3 2,432 2,431.88

11/01/2019 100.00 -191.77FHLMC PC GOL C91395 4.000 SEP 01 31 3128P7RQ8 2,821 2,821.36

11/01/2019 100.00 -64.61FHLMC PC GOL C91881 3.500 JUL 01 36 3128P8CS8 1,554 1,554.41

11/01/2019 100.00 0.02FHLMC PC GOL A96413 4.000 JAN 01 41 312945DS4 442 441.79

11/01/2019 100.00 -141.44FHLMC PC 15Y ZS7207 3.500 JUL 01 30 3132A8AG4 3,844 3,843.68

11/01/2019 100.00 -193.84FHLMC PC 15Y ZT1998 4.000 JUL 01 29 3132AEGF7 4,682 4,681.50

Page 31

Page 34: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Principal Payments

11/01/2019 100.00 -80.23FHLMC PC 15Y SB0030 3.000 DEC 01 32 3132CWA79 2,647 2,646.88

11/01/2019 100.00 -46.46FHLMC PC 15Y SB8013 2.500 SEP 01 34 3132D53W0 2,805 2,804.94

11/01/2019 100.00 -21.80FHLMC PC GOL Q13086 3.000 NOV 01 42 3132HPNB6 452 451.52

11/01/2019 100.00 -20.28FHLMC PC GOL G31065 3.500 AUG 01 36 3132J4MP1 1,937 1,937.07

11/01/2019 100.00 44.17FHLMC PC GOL V82781 3.000 DEC 01 46 3132L8CS4 4,349 4,348.97

11/01/2019 100.00 -23.18FNMA REMIC TRUST 2.500 OCT 25 40 3136A23E1 1,091 1,090.60

11/01/2019 100.00 -179.15FNMA REMIC TRUST 4.500 FEB 25 38 3136A3ED9 2,213 2,213.33

11/01/2019 100.00 -41.12FNMA REMIC TRUST 4.250 NOV 25 41 3136A4Q44 741 741.40

11/01/2019 100.00 -93.08FNMA REMIC TRUST 4.000 MAY 25 38 3136A6EU4 1,589 1,589.32

11/01/2019 100.00 -114.71FHLMC REMIC SERIES 4.000 AUG 15 25 3137A1LY7 2,166 2,165.57

11/01/2019 100.00 -54.44FHLMC REMIC SERIES 4.000 NOV 15 39 3137A3ZF9 769 769.16

11/01/2019 100.00 -14.76FHLMC REMIC SERIES 3.500 APR 15 22 3137A9ZX7 315 314.81

11/01/2019 100.00 -68.28FHLMC REMIC SERIES 3.000 NOV 15 32 3137B9BY0 1,619 1,618.59

11/01/2019 100.00 -16.50FHLMC REMIC SERIES 3.000 AUG 15 44 3137BNZH0 2,640 2,640.34

11/01/2019 100.00 -76.92FHLMC REMIC SERIES 3.250 APR 15 53 3137BTS85 5,027 5,026.54

11/01/2019 100.00 -51.92FHLMC REMIC SERIES 2.961 JAN 25 46 3137FARK6 6,580 6,579.67

11/01/2019 100.00 -5.41FNMA PASSTHRU AH3586 4.000 JAN 01 41 3138A46Y6 506 505.76

11/01/2019 100.00 -17.96FNMA PASSTHRU AH3394 4.000 JAN 01 41 3138A4XY6 572 571.81

11/01/2019 100.00 -45.16FNMA PASSTHRU AH9719 4.500 APR 01 41 3138ABYR4 1,116 1,115.85

11/01/2019 100.00 -14.76FNMA PASSTHRU AJ5336 3.000 NOV 01 26 3138AW4W0 375 374.78

11/01/2019 100.00 -58.01FNMA PASSTHRU AL0869 4.500 JUN 01 29 3138EG6F6 773 773.40

11/01/2019 100.00 -132.87FNMA PASSTHRU AL1464 4.500 JAN 01 32 3138EHTW2 1,817 1,817.02

Page 32

Page 35: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Principal Payments

11/01/2019 100.00 -106.45FNMA PASSTHRU AL5521 4.500 JAN 01 40 3138END30 1,243 1,243.22

11/01/2019 100.00 -41.93FNMA PASSTHRU AL6167 3.500 JAN 01 44 3138ENZ93 1,242 1,242.28

11/01/2019 100.00 -19.84FNMA PASSTHRU AL6345 4.000 NOV 01 28 3138EPBP8 283 283.47

11/01/2019 100.00 -21.67FNMA PASSTHRU AP7553 3.000 SEP 01 42 3138MBMB9 477 476.59

11/01/2019 100.00 -16.42FNMA PASSTHRU AR7391 3.000 JUN 01 43 3138W5F94 568 567.95

11/01/2019 100.00 -91.90FNMA PASSTHRU AS0765 3.500 OCT 01 28 3138W9Z78 1,916 1,915.87

11/01/2019 100.00 -149.17FNMA PASSTHRU AS7348 3.500 JUN 01 46 3138WHEW8 4,972 4,972.32

11/01/2019 100.00 -394.08FNMA PASSTHRU AS7388 3.500 JUN 01 46 3138WHF64 20,748 20,748.14

11/01/2019 100.00 -12.20FNMA REMIC TRUST 5.000 AUG 25 35 31394EP69 723 722.93

11/01/2019 100.00 -454.17FNMA PASSTHRU BC6009 3.500 MAY 01 46 3140F1VB5 15,073 15,072.75

11/01/2019 100.00 -316.12FNMA PASSTHRU BM3570 4.500 MAR 01 46 3140J76G5 5,439 5,438.67

11/01/2019 100.00 -81.39FNMA PASSTHRU BM3749 4.000 FEB 01 45 3140J8EX7 3,450 3,449.67

11/01/2019 100.00 -200.89FNMA PASSTHRU BM5246 3.500 NOV 01 48 3140J9ZL8 7,223 7,223.12

11/01/2019 100.00 -89.06FNMA PASSTHRU BM5850 3.500 DEC 01 33 3140JAQC5 3,149 3,149.21

11/01/2019 100.00 -149.66FNMA PASSTHRU CA0241 4.000 AUG 01 47 3140Q7HT7 3,483 3,483.02

11/01/2019 100.00 -4.25FNMA PASSTHRU 932389 4.500 JAN 01 40 31412Q2W8 824 824.01

11/01/2019 100.00 -36.49FNMA PASSTHRU AA5223 4.000 MAR 01 39 31416NYV8 995 994.71

11/01/2019 100.00 -5.23FNMA PASSTHRU AB1475 4.500 SEP 01 40 31416WT93 122 122.41

11/01/2019 100.00 -10.90FNMA PASSTHRU MA0514 4.000 SEP 01 40 31417YSC2 239 239.34

11/01/2019 100.00 -91.23FNMA PASSTHRU MA0706 4.500 APR 01 31 31417YYC5 1,143 1,142.59

11/01/2019 100.00 -76.04FNMA PASSTHRU MA1029 3.500 APR 01 32 31418AEB0 1,491 1,491.35

11/01/2019 100.00 -6.77FNMA PASSTHRU MA1144 2.500 AUG 01 27 31418AHW1 556 555.57

Page 33

Page 36: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Principal Payments

11/01/2019 100.00 -222.01FNMA PASSTHRU MA1922 4.000 JUN 01 34 31418BD45 3,653 3,652.61

11/01/2019 100.00 -117.07FNMA PASSTHRU MA1982 3.500 AUG 01 34 31418BFY7 2,110 2,110.09

11/01/2019 100.00 -54.84FNMA PASSTHRU MA3522 4.500 NOV 01 48 31418C4G6 1,281 1,280.83

11/01/2019 100.00 -36.32FNMA PASSTHRU MA3597 3.500 FEB 01 49 31418C7K4 5,534 5,534.07

11/01/2019 100.00 -118.47FNMA PASSTHRU MA3071 4.000 JUL 01 37 31418CMV3 3,462 3,462.21

11/01/2019 100.00 -17.74FNMA PASSTHRU MA3210 3.500 DEC 01 47 31418CR89 1,195 1,194.85

11/01/2019 100.00 -7.92FNMA PASSTHRU AD6960 4.500 JUL 01 40 31418UWW0 288 287.91

11/01/2019 100.00 -22.64FNMA PASSTHRU AD8268 4.500 SEP 01 40 31418WFJ4 955 954.87

11/01/2019 100.00 -137.13FNMA PASSTHRU AE6126 4.000 OCT 01 30 31419GYY4 1,925 1,924.67

11/01/2019 100.00 -11.91FNMA PASSTHRU AE7582 4.500 NOV 01 40 31419JM88 201 201.29

11/01/2019 100.00 -13.21FNMA PASSTHRU AE9093 4.000 DEC 01 40 31419LC76 366 365.95

11/01/2019 100.00 -913.67GNMA PASSTHRU MA5332 5.000 JUL 20 48 36179T4R3 17,992 17,992.19

11/01/2019 100.00 -6.21GNMA PASSTHRU AU4920 3.020 SEP 15 41 36194SPD4 337 336.78

11/01/2019 100.00 -10.69GNMA REMIC TRUST 3.500 JAN 20 38 38374YWD1 241 241.01

11/01/2019 100.00 -8.61GNMA REMIC TRUST 3.000 MAR 20 39 38377GLX5 303 302.65

11/01/2019 100.00 -103.77GNMA REMIC TRUST 4.000 AUG 20 39 38377TEL1 1,795 1,794.92

11/01/2019 100.00 -215.10GNMA REMIC TRUST 5.000 AUG 16 39 38377UR34 2,517 2,516.65

11/01/2019 100.00 -13.13GNMA REMIC TRUST 2.000 MAY 20 39 38377YFU9 678 677.89

11/01/2019 100.00 -52.34GNMA REMIC TRUST 3.000 APR 16 43 38378YA66 1,650 1,650.05

11/01/2019 100.00 -51.09GNMA REMIC TRUST 3.500 APR 16 43 38378YYK9 1,131 1,131.46

11/01/2019 100.00 2.59GNMA REMIC TRUST 2.200 AUG 16 47 38379R6A6 632 631.81

11/01/2019 100.00 -0.06GNMA REMIC TRUST 2.250 SEP 16 44 38379U6D3 323 322.67

Page 34

Page 37: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Principal Payments

11/15/2019 100.00 0.13CNH EQUIPMENT TR 2.780 AUG 16 21 12652VAB3 6,533 6,533.47

12/01/2019 100.00 -343.51COMM MTG TR 2.976 JUL 10 48 12593FBA1 11,464 11,463.70

12/01/2019 100.00 -159.66FHLMC PC GOL G16330 3.500 AUG 01 32 3128MFHF8 4,222 4,222.38

12/01/2019 100.00 1.18FHLMC PC GOL G08716 3.500 AUG 01 46 3128MJYN4 1,078 1,077.95

12/01/2019 100.00 -168.21FHLMC PC GOL G08737 3.000 DEC 01 46 3128MJZB9 11,845 11,844.70

12/01/2019 100.00 -133.40FHLMC PC GOL C91731 4.000 NOV 01 33 3128P74Q3 2,482 2,481.95

12/01/2019 100.00 -179.70FHLMC PC GOL C91395 4.000 SEP 01 31 3128P7RQ8 2,644 2,643.75

12/01/2019 100.00 -31.14FHLMC PC GOL C91881 3.500 JUL 01 36 3128P8CS8 749 749.21

12/01/2019 100.00 0.02FHLMC PC GOL A96413 4.000 JAN 01 41 312945DS4 471 471.40

12/01/2019 100.00 -278.19FHLMC PC 15Y ZS7207 3.500 JUL 01 30 3132A8AG4 7,560 7,560.14

12/01/2019 100.00 -153.49FHLMC PC 15Y ZT1998 4.000 JUL 01 29 3132AEGF7 3,707 3,706.82

12/01/2019 100.00 -82.21FHLMC PC 15Y SB0030 3.000 DEC 01 32 3132CWA79 2,712 2,712.12

12/01/2019 100.00 -34.77FHLMC PC 15Y SB8013 2.500 SEP 01 34 3132D53W0 2,099 2,099.30

12/01/2019 100.00 -11.91FHLMC PC GOL Q13086 3.000 NOV 01 42 3132HPNB6 247 246.72

12/01/2019 100.00 -18.62FHLMC PC GOL G31065 3.500 AUG 01 36 3132J4MP1 1,778 1,778.23

12/01/2019 100.00 25.36FHLMC PC GOL V82781 3.000 DEC 01 46 3132L8CS4 2,497 2,497.04

12/01/2019 100.00 -20.71FNMA REMIC TRUST 2.500 OCT 25 40 3136A23E1 974 974.41

12/01/2019 100.00 -176.40FNMA REMIC TRUST 4.500 FEB 25 38 3136A3ED9 2,179 2,179.37

12/01/2019 100.00 -24.97FNMA REMIC TRUST 4.250 NOV 25 41 3136A4Q44 450 450.23

12/01/2019 100.00 -103.09FNMA REMIC TRUST 4.000 MAY 25 38 3136A6EU4 1,760 1,760.25

12/01/2019 100.00 -120.02FHLMC REMIC SERIES 4.000 AUG 15 25 3137A1LY7 2,266 2,265.90

12/01/2019 100.00 -55.31FHLMC REMIC SERIES 4.000 NOV 15 39 3137A3ZF9 781 781.47

Page 35

Page 38: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Principal Payments

12/01/2019 100.00 -12.24FHLMC REMIC SERIES 3.500 APR 15 22 3137A9ZX7 261 261.12

12/01/2019 100.00 -41.69FHLMC REMIC SERIES 3.000 NOV 15 32 3137B9BY0 988 988.24

12/01/2019 100.00 -16.40FHLMC REMIC SERIES 3.000 AUG 15 44 3137BNZH0 2,624 2,624.15

12/01/2019 100.00 -30.06FHLMC REMIC SERIES 3.250 APR 15 53 3137BTS85 1,965 1,964.52

12/01/2019 100.00 -44.64FHLMC REMIC SERIES 2.961 JAN 25 46 3137FARK6 5,658 5,657.62

12/01/2019 100.00 -4.98FNMA PASSTHRU AH3586 4.000 JAN 01 41 3138A46Y6 465 465.11

12/01/2019 100.00 -22.15FNMA PASSTHRU AH3394 4.000 JAN 01 41 3138A4XY6 705 705.41

12/01/2019 100.00 -15.05FNMA PASSTHRU AH9719 4.500 APR 01 41 3138ABYR4 372 371.77

12/01/2019 100.00 -14.10FNMA PASSTHRU AJ5336 3.000 NOV 01 26 3138AW4W0 358 358.16

12/01/2019 100.00 -38.90FNMA PASSTHRU AL0869 4.500 JUN 01 29 3138EG6F6 519 518.66

12/01/2019 100.00 -18.34FNMA PASSTHRU AL1464 4.500 JAN 01 32 3138EHTW2 251 250.86

12/01/2019 100.00 -127.97FNMA PASSTHRU AL5521 4.500 JAN 01 40 3138END30 1,495 1,494.56

12/01/2019 100.00 -42.34FNMA PASSTHRU AL6167 3.500 JAN 01 44 3138ENZ93 1,254 1,254.49

12/01/2019 100.00 -17.87FNMA PASSTHRU AL6345 4.000 NOV 01 28 3138EPBP8 255 255.34

12/01/2019 100.00 -14.31FNMA PASSTHRU AP7553 3.000 SEP 01 42 3138MBMB9 315 314.68

12/01/2019 100.00 -6.74FNMA PASSTHRU AR7391 3.000 JUN 01 43 3138W5F94 233 233.21

12/01/2019 100.00 -76.51FNMA PASSTHRU AS0765 3.500 OCT 01 28 3138W9Z78 1,595 1,594.94

12/01/2019 100.00 -212.58FNMA PASSTHRU AS7348 3.500 JUN 01 46 3138WHEW8 7,086 7,086.08

12/01/2019 100.00 -364.21FNMA PASSTHRU AS7388 3.500 JUN 01 46 3138WHF64 19,175 19,175.44

12/01/2019 100.00 -1.79FNMA REMIC TRUST 5.000 AUG 25 35 31394EP69 106 106.14

12/01/2019 100.00 -329.24FNMA PASSTHRU BC6009 3.500 MAY 01 46 3140F1VB5 10,926 10,926.49

12/01/2019 100.00 -267.96FNMA PASSTHRU BM3570 4.500 MAR 01 46 3140J76G5 4,610 4,610.12

Page 36

Page 39: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Principal Payments

12/01/2019 100.00 -67.25FNMA PASSTHRU BM3749 4.000 FEB 01 45 3140J8EX7 2,850 2,850.14

12/01/2019 100.00 -125.59FNMA PASSTHRU BM5246 3.500 NOV 01 48 3140J9ZL8 4,516 4,515.63

12/01/2019 100.00 -60.40FNMA PASSTHRU BM5850 3.500 DEC 01 33 3140JAQC5 2,136 2,135.81

12/01/2019 100.00 -168.59FNMA PASSTHRU CA0241 4.000 AUG 01 47 3140Q7HT7 3,924 3,923.58

12/01/2019 100.00 -1.75FNMA PASSTHRU 932389 4.500 JAN 01 40 31412Q2W8 340 339.70

12/01/2019 100.00 -36.64FNMA PASSTHRU AA5223 4.000 MAR 01 39 31416NYV8 999 998.66

12/01/2019 100.00 -1.69FNMA PASSTHRU AB1475 4.500 SEP 01 40 31416WT93 39 39.47

12/01/2019 100.00 -6.11FNMA PASSTHRU MA0514 4.000 SEP 01 40 31417YSC2 134 134.04

12/01/2019 100.00 -59.56FNMA PASSTHRU MA0706 4.500 APR 01 31 31417YYC5 746 745.99

12/01/2019 100.00 -55.88FNMA PASSTHRU MA1029 3.500 APR 01 32 31418AEB0 1,096 1,096.03

12/01/2019 100.00 -5.59FNMA PASSTHRU MA1144 2.500 AUG 01 27 31418AHW1 459 458.73

12/01/2019 100.00 -132.83FNMA PASSTHRU MA1922 4.000 JUN 01 34 31418BD45 2,185 2,185.38

12/01/2019 100.00 -78.77FNMA PASSTHRU MA1982 3.500 AUG 01 34 31418BFY7 1,420 1,419.70

12/01/2019 100.00 -43.93FNMA PASSTHRU MA3522 4.500 NOV 01 48 31418C4G6 1,026 1,026.05

12/01/2019 100.00 -24.62FNMA PASSTHRU MA3597 3.500 FEB 01 49 31418C7K4 3,751 3,751.36

12/01/2019 100.00 -98.39FNMA PASSTHRU MA3071 4.000 JUL 01 37 31418CMV3 2,875 2,875.43

12/01/2019 100.00 -13.08FNMA PASSTHRU MA3210 3.500 DEC 01 47 31418CR89 881 881.11

12/01/2019 100.00 -6.05FNMA PASSTHRU AD6960 4.500 JUL 01 40 31418UWW0 220 219.93

12/01/2019 100.00 -1.39FNMA PASSTHRU AD8268 4.500 SEP 01 40 31418WFJ4 59 58.68

12/01/2019 100.00 -21.11FNMA PASSTHRU AE6126 4.000 OCT 01 30 31419GYY4 296 296.32

12/01/2019 100.00 -155.42FNMA PASSTHRU AE7582 4.500 NOV 01 40 31419JM88 2,628 2,627.85

12/01/2019 100.00 -102.78FNMA PASSTHRU AE9093 4.000 DEC 01 40 31419LC76 2,848 2,847.53

Page 37

Page 40: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Sales

Transaction Detail - 10/1/2019 through 12/31/2019 91185

Total Proceeds Gain/LossAverage PriceCUSIPIssueDescription Trade Date Shares

Principal Payments

12/01/2019 100.00 -736.97GNMA PASSTHRU MA5332 5.000 JUL 20 48 36179T4R3 14,513 14,512.64

12/01/2019 100.00 -6.23GNMA PASSTHRU AU4920 3.020 SEP 15 41 36194SPD4 338 337.71

12/01/2019 100.00 -7.08GNMA REMIC TRUST 3.000 MAR 20 39 38377GLX5 249 248.93

12/01/2019 100.00 -98.37GNMA REMIC TRUST 4.000 AUG 20 39 38377TEL1 1,702 1,701.53

12/01/2019 100.00 -18.92GNMA REMIC TRUST 5.000 AUG 16 39 38377UR34 221 221.35

12/01/2019 100.00 -14.56GNMA REMIC TRUST 2.000 MAY 20 39 38377YFU9 751 751.49

12/01/2019 100.00 -42.68GNMA REMIC TRUST 3.000 APR 16 43 38378YA66 1,346 1,345.65

12/01/2019 100.00 -41.67GNMA REMIC TRUST 3.500 APR 16 43 38378YYK9 923 922.72

12/01/2019 100.00 2.60GNMA REMIC TRUST 2.200 AUG 16 47 38379R6A6 634 633.63

12/01/2019 100.00 -0.06GNMA REMIC TRUST 2.250 SEP 16 44 38379U6D3 324 323.65

12/01/2019 100.00 -24.32GNMA REMIC TRUST 2.500 OCT 20 45 38380BTU9 7,075 7,074.86

12/01/2019 100.00 -52.23UBS-BARCLY COML MTG 2.533 DEC 12 45 90270RBC7 2,089 2,089.34

12/15/2019 100.00 0.16CNH EQUIPMENT TR 2.780 AUG 16 21 12652VAB3 7,824 7,823.90

12/20/2019 100.00 415.95GM FINL AUTO LEASE T 2.180 JUN 21 21 38013MAE6 73,436 73,435.90

Total Principal Payments -18,420.71 669,003.71

Total Sales and Principal Payments 1,917,789.85 11,695,892.02

Page 38

Page 41: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Purchases

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIP Total CostAverage PriceIssueDescription Trade Date Shares

Purchases

1.940 APR 20 24VERIZON OWNER TR -319,975.33 99.9992348AAA3 10/01/2019 320,000

2.280 SEP 15 23SANTANDER DRIVE AUTO -70,390.49 100.4480286HAE9 10/03/2019 70,000

1.625 AUG 15 29UNITED STATES TREAS -287,043.06 100.82912828YB0 10/08/2019 284,000

COMMONUNITED TECHNOLOGIES -579,580.32 131.71913017109 10/09/2019 4,400

3.883 OCT 11 28TOTAL CAPITAL -16,837.97 112.2189152UAH5 10/10/2019 15,000

4.125 MAR 16 27VERIZON COMMUNICATIO -85,752.04 111.0392343VDY7 10/10/2019 77,000

1.625 AUG 15 29UNITED STATES TREAS -17,847.48 98.88912828YB0 10/11/2019 18,000

1.875 JAN 31 22UNITED STATES TREAS -403,819.29 100.56912828V72 10/15/2019 400,000

1.875 JAN 31 22UNITED STATES TREAS -231,531.14 100.69912828V72 10/18/2019 229,000

2.900 OCT 28 24DELTA AIR LINES INC -73,706.22 99.60247361ZU5 10/21/2019 74,000

3.500 NOV 01 48FNMA PASSTHRU BM5246 -201,683.73 102.783140J9ZL8 10/21/2019 195,837

1.875 JAN 31 22UNITED STATES TREAS -372,875.50 100.62912828V72 10/22/2019 369,000

1.625 AUG 15 29UNITED STATES TREAS -28,713.55 98.70912828YB0 10/22/2019 29,000

5.550 MAR 15 26OCCIDENTAL PETE CORP -88,448.62 112.78674599DC6 10/23/2019 78,000

2.000 AUG 31 21UNITED STATES TREAS -791,827.21 100.68912828D72 10/24/2019 784,000

2.750 MAY 10 23BP CAP MKTS AMER INC -118,942.90 102.1310373QAL4 10/28/2019 115,000

1.750 JUN 30 24UNITED STATES TREAS -643,745.03 100.329128286Z8 10/28/2019 638,000

2.000 AUG 31 21UNITED STATES TREAS -132,178.98 100.57912828D72 10/28/2019 131,000

2.000 NOV 15 26UNITED STATES TREAS -280,035.50 101.66912828U24 10/28/2019 273,000

3.004 DEC 20 23BANK AMER CORP -103,397.50 102.2706051GHC6 11/01/2019 100,000

2.950 JAN 29 23BANK NEW YORK MELLON -62,342.20 103.1206406RAE7 11/01/2019 60,000

Page 39

Page 42: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Purchases

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIP Total CostAverage PriceIssueDescription Trade Date Shares

Purchases

3.550 SEP 29 25WELLS FARGO CO MTN B -85,279.20 106.2494974BGP9 11/01/2019 80,000

2.125 NOV 30 24UNITED STATES TREAS -156,098.18 102.459128283J7 11/04/2019 151,000

2.000 NOV 15 26UNITED STATES TREAS -176,272.25 101.53912828U24 11/05/2019 172,000

2.000 NOV 15 26UNITED STATES TREAS -116,898.40 101.59912828U24 11/05/2019 114,000

1.960 DEC 15 24WORLD OMNI AUTO RECV -262,980.20 99.9998162RAD0 11/05/2019 263,000

2.000 NOV 15 26UNITED STATES TREAS -128,944.57 101.38912828U24 11/07/2019 126,000

2.720 JUL 22 25MORGAN STANLEY -84,382.04 100.836174468J1 11/08/2019 83,000

1.750 APR 30 22UNITED STATES TREAS -442,807.50 100.13912828WZ9 11/08/2019 442,000

3.000 DEC 01 46FHLMC PC GOL G08737 -620,907.39 102.443128MJZB9 11/19/2019 605,148

2.500 OCT 20 45GNMA REMIC TRUST -512,291.76 100.3438380BTU9 11/19/2019 509,831

2.375 NOV 07 29SHELL INTERNATIONAL -176,968.99 98.77822582CD2 11/19/2019 179,000

3.800 AUG 15 25STARBUCKS CORP -187,029.93 107.73855244AQ2 11/19/2019 172,000

3.883 OCT 11 28TOTAL CAPITAL -164,539.22 111.5089152UAH5 11/19/2019 147,000

3.125 NOV 15 28UNITED STATES TREAS -57,795.75 111.099128285M8 11/19/2019 52,000

2.625 JAN 31 26UNITED STATES TREAS -82,836.76 105.399128286A3 11/19/2019 78,000

2.375 MAY 15 29UNITED STATES TREAS -48,314.60 104.999128286T2 11/19/2019 46,000

1.750 JUN 30 24UNITED STATES TREAS -61,734.84 100.529128286Z8 11/19/2019 61,000

2.000 AUG 31 21UNITED STATES TREAS -82,891.83 100.64912828D72 11/19/2019 82,000

2.000 NOV 15 26UNITED STATES TREAS -157,939.81 101.86912828U24 11/19/2019 155,000

1.750 APR 30 22UNITED STATES TREAS -41,188.87 100.36912828WZ9 11/19/2019 41,000

0.750 JUL 15 28UNITED STATES TREAS -24,768.98 105.05912828Y38 11/19/2019 23,520

Page 40

Page 43: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Purchases

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIP Total CostAverage PriceIssueDescription Trade Date Shares

Purchases

1.625 AUG 15 29UNITED STATES TREAS -32,609.27 98.38912828YB0 11/19/2019 33,000

2.375 AUG 15 24UNITEDHEALTH GROUP I -189,024.88 100.8691324PDR0 11/19/2019 186,000

0.625 JAN 15 24UNITED STATES TREAS -248,100.46 101.80912828B25 11/25/2019 243,164

2.250 FEB 15 27UNITED STATES TREAS -365,391.56 103.76912828V98 11/25/2019 350,000

2.00013 DEC 04 23JPMORGAN CHASE BK NA -478,200.00 99.6348128LRZ4 11/26/2019 480,000

1.750 NOV 15 29UNITED STATES TREAS -24,989.19 99.88912828YS3 11/27/2019 25,000

1.750 NOV 15 29UNITED STATES TREAS -102,709.39 99.60912828YS3 12/06/2019 103,000

4.725 NOV 15 28DOWDUPONT INC -34,119.08 113.3926078JAD2 12/09/2019 30,000

2.500 JAN 01 32FNMA PASSTHRU AS8597 -234,187.75 101.233138WJRT7 12/11/2019 231,079

1.750 NOV 15 29UNITED STATES TREAS -79,545.19 99.30912828YS3 12/11/2019 80,000

COMMONGILEAD SCIENCES INC -120,052.80 66.68375558103 12/13/2019 1,800

COMMONGOLDMAN SACHS GROUP -113,835.55 227.6538141G104 12/13/2019 500

COMMONWELLS FARGO & CO -43,513.92 54.37949746101 12/13/2019 800

3.000 JUL 15 26MOLSON COORS BEVERAG -93,864.54 100.7660871RAG5 12/13/2019 92,000

1.750 NOV 15 29UNITED STATES TREAS -21,731.08 98.61912828YS3 12/18/2019 22,000

MCKEE INTL EQTADVISORS INNER CIRCL -291,238.13 12.0000758M188 12/20/2019 24,270

3.500 DEC 01 47FNMA PASSTHRU MA3210 -326,391.35 103.7531418CR89 12/23/2019 313,859

2.625 JAN 31 26UNITED STATES TREAS -352,620.87 104.809128286A3 12/30/2019 333,000

0.625 JAN 15 24UNITED STATES TREAS -369,341.23 102.13912828B25 12/30/2019 360,629

MCKEE INTL EQTADVISORS INNER CIRCL -169,273.32 11.7600758M188 12/31/2019 14,394

COMMONCHEVRON CORP -96,138.40 120.15166764100 12/31/2019 800

Page 41

Page 44: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Purchases

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIP Total CostAverage PriceIssueDescription Trade Date Shares

Purchases

COMMONOCCIDENTAL PETE CORP -24,545.88 40.89674599105 12/31/2019 600

-$12,394,968.97Total Purchases

Total Purchases and Principal Payups -$12,394,968.97

Page 42

Page 45: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

12593FBA1 2.976 JUL 10 48COMM MTG TR 438.4610/01/2019

12593GAF9 3.902 JUL 12 50COMM MTG TR 2015-PC1 1,177.1010/01/2019

12624KAD8 3.147 AUG 17 45COMM MTG TR 188.8210/01/2019

12625UBF9 4.363 JUL 12 45COMM MTG TR 1,030.8410/01/2019

3128MFHF8 3.500 AUG 01 32FHLMC PC GOL G16330 797.5310/01/2019

3128MJYN4 3.500 AUG 01 46FHLMC PC GOL G08716 180.2910/01/2019

3128MJZB9 3.000 DEC 01 46FHLMC PC GOL G08737 819.4310/01/2019

3128P74Q3 4.000 NOV 01 33FHLMC PC GOL C91731 377.5510/01/2019

3128P7RQ8 4.000 SEP 01 31FHLMC PC GOL C91395 467.3610/01/2019

3128P8CS8 3.500 JUL 01 36FHLMC PC GOL C91881 246.8710/01/2019

312945DS4 4.000 JAN 01 41FHLMC PC GOL A96413 91.0810/01/2019

3132A8AG4 3.500 JUL 01 30FHLMC PC 15Y ZS7207 590.3610/01/2019

3132AEGF7 4.000 JUL 01 29FHLMC PC 15Y ZT1998 562.2610/01/2019

3132CWA79 3.000 DEC 01 32FHLMC PC 15Y SB0030 362.2810/01/2019

3132D53W0 2.500 SEP 01 34FHLMC PC 15Y SB8013 495.9010/01/2019

3132HPNB6 3.000 NOV 01 42FHLMC PC GOL Q13086 66.5110/01/2019

3132J4MP1 3.500 AUG 01 36FHLMC PC GOL G31065 273.5110/01/2019

3132L8CS4 3.000 DEC 01 46FHLMC PC GOL V82781 668.3710/01/2019

31335BTV8 4.000 OCT 01 46FHLMC PC GOL G61464 642.4910/01/2019

3136A23E1 2.500 OCT 25 40FNMA REMIC TRUST 62.8810/01/2019

3136A3ED9 4.500 FEB 25 38FNMA REMIC TRUST 272.7510/01/2019

3136A4Q44 4.250 NOV 25 41FNMA REMIC TRUST 90.3510/01/2019

3136A6EU4 4.000 MAY 25 38FNMA REMIC TRUST 96.3210/01/2019

3137A1LY7 4.000 AUG 15 25FHLMC REMIC SERIES 241.9610/01/2019

3137A3ZF9 4.000 NOV 15 39FHLMC REMIC SERIES 101.3410/01/2019

3137A9ZX7 3.500 APR 15 22FHLMC REMIC SERIES 8.7710/01/2019

Page 43

Page 46: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

3137B9BY0 3.000 NOV 15 32FHLMC REMIC SERIES 226.3210/01/2019

3137BNZH0 3.000 AUG 15 44FHLMC REMIC SERIES 527.5410/01/2019

3137BTS85 3.250 APR 15 53FHLMC REMIC SERIES 990.3910/01/2019

3137FARK6 2.961 JAN 25 46FHLMC REMIC SERIES 433.4810/01/2019

3138A46Y6 4.000 JAN 01 41FNMA PASSTHRU AH3586 118.8210/01/2019

3138A4XY6 4.000 JAN 01 41FNMA PASSTHRU AH3394 143.6110/01/2019

3138ABYR4 4.500 APR 01 41FNMA PASSTHRU AH9719 104.8810/01/2019

3138AW4W0 3.000 NOV 01 26FNMA PASSTHRU AJ5336 37.2010/01/2019

3138EG6F6 4.500 JUN 01 29FNMA PASSTHRU AL0869 161.6110/01/2019

3138EHTW2 4.500 JAN 01 32FNMA PASSTHRU AL1464 150.9210/01/2019

3138END30 4.500 JAN 01 40FNMA PASSTHRU AL5521 447.4710/01/2019

3138ENZ93 3.500 JAN 01 44FNMA PASSTHRU AL6167 230.3410/01/2019

3138EPBP8 4.000 NOV 01 28FNMA PASSTHRU AL6345 32.7710/01/2019

3138MBMB9 3.000 SEP 01 42FNMA PASSTHRU AP7553 99.7010/01/2019

3138W5F94 3.000 JUN 01 43FNMA PASSTHRU AR7391 89.5510/01/2019

3138W9Z78 3.500 OCT 01 28FNMA PASSTHRU AS0765 159.0310/01/2019

3138WHEW8 3.500 JUN 01 46FNMA PASSTHRU AS7348 733.6910/01/2019

3138WHF64 3.500 JUN 01 46FNMA PASSTHRU AS7388 1,947.5710/01/2019

31394EP69 5.000 AUG 25 35FNMA REMIC TRUST 142.9110/01/2019

3140F1VB5 3.500 MAY 01 46FNMA PASSTHRU BC6009 1,344.0410/01/2019

3140J76G5 4.500 MAR 01 46FNMA PASSTHRU BM3570 909.6310/01/2019

3140J8EX7 4.000 FEB 01 45FNMA PASSTHRU BM3749 395.2510/01/2019

3140JAQC5 3.500 DEC 01 33FNMA PASSTHRU BM5850 445.6510/01/2019

3140Q7HT7 4.000 AUG 01 47FNMA PASSTHRU CA0241 540.8410/01/2019

31412Q2W8 4.500 JAN 01 40FNMA PASSTHRU 932389 96.9710/01/2019

31416NYV8 4.000 MAR 01 39FNMA PASSTHRU AA5223 760.4810/01/2019

Page 44

Page 47: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

31416WT93 4.500 SEP 01 40FNMA PASSTHRU AB1475 49.0610/01/2019

31417YSC2 4.000 SEP 01 40FNMA PASSTHRU MA0514 48.8410/01/2019

31417YYC5 4.500 APR 01 31FNMA PASSTHRU MA0706 202.7610/01/2019

31418AEB0 3.500 APR 01 32FNMA PASSTHRU MA1029 244.7310/01/2019

31418AHW1 2.500 AUG 01 27FNMA PASSTHRU MA1144 50.1510/01/2019

31418BD45 4.000 JUN 01 34FNMA PASSTHRU MA1922 526.2110/01/2019

31418BFY7 3.500 AUG 01 34FNMA PASSTHRU MA1982 288.4210/01/2019

31418C4G6 4.500 NOV 01 48FNMA PASSTHRU MA3522 98.1010/01/2019

31418C7K4 3.500 FEB 01 49FNMA PASSTHRU MA3597 288.9410/01/2019

31418CMV3 4.000 JUL 01 37FNMA PASSTHRU MA3071 485.8710/01/2019

31418CR89 3.500 DEC 01 47FNMA PASSTHRU MA3210 133.2510/01/2019

31418UWW0 4.500 JUL 01 40FNMA PASSTHRU AD6960 74.3410/01/2019

31418WFJ4 4.500 SEP 01 40FNMA PASSTHRU AD8268 66.7610/01/2019

31419GYY4 4.000 OCT 01 30FNMA PASSTHRU AE6126 129.9110/01/2019

31419JM88 4.500 NOV 01 40FNMA PASSTHRU AE7582 219.0510/01/2019

31419LC76 4.000 DEC 01 40FNMA PASSTHRU AE9093 278.6210/01/2019

36179T4R3 5.000 JUL 20 48GNMA PASSTHRU MA5332 1,427.0910/01/2019

36194SPD4 3.020 SEP 15 41GNMA PASSTHRU AU4920 328.4510/01/2019

38374YWD1 3.500 JAN 20 38GNMA REMIC TRUST 2.4710/01/2019

38377GLX5 3.000 MAR 20 39GNMA REMIC TRUST 8.2310/01/2019

38377TEL1 4.000 AUG 20 39GNMA REMIC TRUST 60.8910/01/2019

38377UR34 5.000 AUG 16 39GNMA REMIC TRUST 98.1810/01/2019

38377YFU9 2.000 MAY 20 39GNMA REMIC TRUST 24.4210/01/2019

38378YA66 3.000 APR 16 43GNMA REMIC TRUST 201.6510/01/2019

38378YYK9 3.500 APR 16 43GNMA REMIC TRUST 161.3210/01/2019

38379R6A6 2.200 AUG 16 47GNMA REMIC TRUST 614.4410/01/2019

Page 45

Page 48: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

38379U6D3 2.250 SEP 16 44GNMA REMIC TRUST 269.2410/01/2019

46590MAR1 2.822 AUG 17 49JPMCC COML MTG SEC T 164.6110/01/2019

61691ABL6 3.809 DEC 17 48MORGAN STAN CAP I 587.2210/01/2019

61691EBA2 3.596 DEC 17 49MORGAN STAN CAP I 719.2010/01/2019

61766CAE9 3.594 MAR 17 49MORGAN STAN CAP I 317.4710/01/2019

90269CAD2 3.525 MAY 11 63UBS-BARCLY COML MTG 146.8810/01/2019

90270RBC7 2.533 DEC 12 45UBS-BARCLY COML MTG 101.7210/01/2019

95000KBB0 2.918 NOV 18 49WELLS FARGO COML TR 834.0610/01/2019

95000TBS4 3.635 MAR 17 50WELLS FARGO COML TR 651.2710/02/2019

90348JJQ4 2.900 APR 03 24UBS BK USA SALT LAKE 763.6710/03/2019

61760AYB9 2.850 APR 04 24MORGAN STANLEY PVT B 2,066.2510/04/2019

369604BD4 2.700 OCT 09 22GENERAL ELECTRIC CO 67.5010/09/2019

949763UY0 3.500 NOV 09 23WELLS FARGO BANK NAT 1,172.5010/09/2019

89152UAH5 3.883 OCT 11 28TOTAL CAPITAL 1,300.8110/11/2019

37045XBW5 3.950 APR 13 24GENERAL MTRS FINL CO 4,226.5010/13/2019

949763VU7 3.550 DEC 14 23WELLS FARGO BANK NAT 230.7510/14/2019

674599105COMMONOCCIDENTAL PETE CORP 11,139.0010/15/2019

023771R91 3.000 OCT 15 28AMER AIRLINE 16-3 AA 2,354.5710/15/2019

037411BE4 4.375 OCT 15 28APACHE CORP 2,100.0010/15/2019

12596JAC7 3.010 APR 15 24CNH EQUIPMENT TR 426.4210/15/2019

12652VAB3 2.780 AUG 16 21CNH EQUIPMENT TR 89.6110/15/2019

14315NAC4 3.050 MAR 15 24CARMAX AUTO OWNER TR 88.9610/15/2019

20030NCS8 3.950 OCT 15 25COMCAST CORP NEW 1,086.2510/15/2019

58772QAE6 2.510 OCT 16 23MERC-BENZ AUTO LEASE 171.5210/15/2019

674599CH6 3.400 APR 15 26OCCIDENTAL PETE CORP 1,326.0010/15/2019

80285CAJ0 3.390 APR 15 22SANTANDER DRIVE AUTO 1,132.8310/15/2019

Page 46

Page 49: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

80285HAE0 3.210 SEP 15 23SANTANDER DRIVE AUTO 318.3310/15/2019

80286HAE9 2.280 SEP 15 23SANTANDER DRIVE AUTO 275.5010/15/2019

981464GH7 2.310 AUG 15 24WORLD FIN NETWORK CC 308.0010/15/2019

981464HC7 2.490 APR 15 26WORLD FIN NET CCMT 448.2010/15/2019

98162VAD1 2.590 JUL 15 24WORLD OMNI AUTO RECV 215.8310/15/2019

98162YAD5 3.040 MAY 15 24WORLD OMNI AUTO RECV 260.9310/15/2019

98161YAC8 2.830 JUL 15 21WORLD OMNI AUTO LEAS 155.6510/16/2019

03066KAF7 2.540 JUL 18 24AMERICREDIT AUTO REC 190.5010/18/2019

38013MAE6 2.180 JUN 21 21GM FINL AUTO LEASE T 305.2010/20/2019

17275R102COMMONCISCO SYSTEMS INC 8,785.0010/23/2019

CASHCASHCASH 1,364.2410/23/2019

68389X105COMMONORACLE CORP 3,120.0010/24/2019

172967MF5 3.352 APR 24 25CITIGROUP INC 2,396.6810/24/2019

444859102COMMONHUMANA INC 1,375.0010/25/2019

26875P101COMMONEOG RESOURCES INC 2,472.5010/31/2019

46625H100COMMONJPMORGAN CHASE & CO 9,630.0010/31/2019

00206R102COMMONAT&T INC 20,805.9611/01/2019

097023CH6 3.100 MAY 01 26BOEING CO 1,726.3611/01/2019

12593FBA1 2.976 JUL 10 48COMM MTG TR 434.6611/01/2019

12593GAF9 3.902 JUL 12 50COMM MTG TR 2015-PC1 1,177.1011/01/2019

12624KAD8 3.147 AUG 17 45COMM MTG TR 188.8211/01/2019

12625UBF9 4.363 JUL 12 45COMM MTG TR 1,052.5611/01/2019

3128MFHF8 3.500 AUG 01 32FHLMC PC GOL G16330 784.7611/01/2019

3128MJYN4 3.500 AUG 01 46FHLMC PC GOL G08716 176.1911/01/2019

3128MJZB9 3.000 DEC 01 46FHLMC PC GOL G08737 807.9111/01/2019

3128P74Q3 4.000 NOV 01 33FHLMC PC GOL C91731 372.3511/01/2019

Page 47

Page 50: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

3128P7RQ8 4.000 SEP 01 31FHLMC PC GOL C91395 459.2211/01/2019

3128P8CS8 3.500 JUL 01 36FHLMC PC GOL C91881 243.3911/01/2019

312945DS4 4.000 JAN 01 41FHLMC PC GOL A96413 89.5011/01/2019

3132A8AG4 3.500 JUL 01 30FHLMC PC 15Y ZS7207 578.1211/01/2019

3132AEGF7 4.000 JUL 01 29FHLMC PC 15Y ZT1998 548.3711/01/2019

3132CWA79 3.000 DEC 01 32FHLMC PC 15Y SB0030 356.3611/01/2019

3132D53W0 2.500 SEP 01 34FHLMC PC 15Y SB8013 491.3611/01/2019

3132HPNB6 3.000 NOV 01 42FHLMC PC GOL Q13086 65.6811/01/2019

3132J4MP1 3.500 AUG 01 36FHLMC PC GOL G31065 269.9311/01/2019

3132L8CS4 3.000 DEC 01 46FHLMC PC GOL V82781 661.3711/01/2019

3136A23E1 2.500 OCT 25 40FNMA REMIC TRUST 61.5811/01/2019

3136A3ED9 4.500 FEB 25 38FNMA REMIC TRUST 263.6611/01/2019

3136A4Q44 4.250 NOV 25 41FNMA REMIC TRUST 86.8111/01/2019

3136A6EU4 4.000 MAY 25 38FNMA REMIC TRUST 88.5911/01/2019

3137A1LY7 4.000 AUG 15 25FHLMC REMIC SERIES 235.5711/01/2019

3137A3ZF9 4.000 NOV 15 39FHLMC REMIC SERIES 98.5011/01/2019

3137A9ZX7 3.500 APR 15 22FHLMC REMIC SERIES 7.9311/01/2019

3137B9BY0 3.000 NOV 15 32FHLMC REMIC SERIES 222.8111/01/2019

3137BNZH0 3.000 AUG 15 44FHLMC REMIC SERIES 520.9011/01/2019

3137BTS85 3.250 APR 15 53FHLMC REMIC SERIES 968.8011/01/2019

3137FARK6 2.961 JAN 25 46FHLMC REMIC SERIES 393.3611/01/2019

3138A46Y6 4.000 JAN 01 41FNMA PASSTHRU AH3586 117.4711/01/2019

3138A4XY6 4.000 JAN 01 41FNMA PASSTHRU AH3394 141.1611/01/2019

3138ABYR4 4.500 APR 01 41FNMA PASSTHRU AH9719 103.5011/01/2019

3138AW4W0 3.000 NOV 01 26FNMA PASSTHRU AJ5336 36.3811/01/2019

3138EG6F6 4.500 JUN 01 29FNMA PASSTHRU AL0869 157.9611/01/2019

Page 48

Page 51: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

3138EHTW2 4.500 JAN 01 32FNMA PASSTHRU AL1464 146.1511/01/2019

3138END30 4.500 JAN 01 40FNMA PASSTHRU AL5521 442.5511/01/2019

3138ENZ93 3.500 JAN 01 44FNMA PASSTHRU AL6167 227.0611/01/2019

3138EPBP8 4.000 NOV 01 28FNMA PASSTHRU AL6345 31.9811/01/2019

3138MBMB9 3.000 SEP 01 42FNMA PASSTHRU AP7553 98.3611/01/2019

3138W5F94 3.000 JUN 01 43FNMA PASSTHRU AR7391 87.9111/01/2019

3138W9Z78 3.500 OCT 01 28FNMA PASSTHRU AS0765 155.1411/01/2019

3138WHEW8 3.500 JUN 01 46FNMA PASSTHRU AS7348 721.1911/01/2019

3138WHF64 3.500 JUN 01 46FNMA PASSTHRU AS7388 1,896.5711/01/2019

31394EP69 5.000 AUG 25 35FNMA REMIC TRUST 142.3911/01/2019

3140F1VB5 3.500 MAY 01 46FNMA PASSTHRU BC6009 1,332.4211/01/2019

3140J76G5 4.500 MAR 01 46FNMA PASSTHRU BM3570 893.6911/01/2019

3140J8EX7 4.000 FEB 01 45FNMA PASSTHRU BM3749 385.5511/01/2019

3140J9ZL8 3.500 NOV 01 48FNMA PASSTHRU BM5246 571.1911/01/2019

3140JAQC5 3.500 DEC 01 33FNMA PASSTHRU BM5850 436.7811/01/2019

3140Q7HT7 4.000 AUG 01 47FNMA PASSTHRU CA0241 516.5211/01/2019

31412Q2W8 4.500 JAN 01 40FNMA PASSTHRU 932389 94.3711/01/2019

31416NYV8 4.000 MAR 01 39FNMA PASSTHRU AA5223 713.4711/01/2019

31416WT93 4.500 SEP 01 40FNMA PASSTHRU AB1475 48.3511/01/2019

31417YSC2 4.000 SEP 01 40FNMA PASSTHRU MA0514 47.7611/01/2019

31417YYC5 4.500 APR 01 31FNMA PASSTHRU MA0706 198.6211/01/2019

31418AEB0 3.500 APR 01 32FNMA PASSTHRU MA1029 241.8111/01/2019

31418AHW1 2.500 AUG 01 27FNMA PASSTHRU MA1144 48.6511/01/2019

31418BD45 4.000 JUN 01 34FNMA PASSTHRU MA1922 516.5711/01/2019

31418BFY7 3.500 AUG 01 34FNMA PASSTHRU MA1982 282.1111/01/2019

31418C4G6 4.500 NOV 01 48FNMA PASSTHRU MA3522 93.5711/01/2019

Page 49

Page 52: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

31418C7K4 3.500 FEB 01 49FNMA PASSTHRU MA3597 273.4611/01/2019

31418CMV3 4.000 JUL 01 37FNMA PASSTHRU MA3071 475.5611/01/2019

31418CR89 3.500 DEC 01 47FNMA PASSTHRU MA3210 130.2611/01/2019

31418UWW0 4.500 JUL 01 40FNMA PASSTHRU AD6960 73.3311/01/2019

31418WFJ4 4.500 SEP 01 40FNMA PASSTHRU AD8268 65.5911/01/2019

31419GYY4 4.000 OCT 01 30FNMA PASSTHRU AE6126 128.8211/01/2019

31419JM88 4.500 NOV 01 40FNMA PASSTHRU AE7582 218.2911/01/2019

31419LC76 4.000 DEC 01 40FNMA PASSTHRU AE9093 275.0311/01/2019

36179T4R3 5.000 JUL 20 48GNMA PASSTHRU MA5332 1,345.9811/01/2019

36194SPD4 3.020 SEP 15 41GNMA PASSTHRU AU4920 327.6011/01/2019

38374YWD1 3.500 JAN 20 38GNMA REMIC TRUST 0.7011/01/2019

38377GLX5 3.000 MAR 20 39GNMA REMIC TRUST 7.6811/01/2019

38377TEL1 4.000 AUG 20 39GNMA REMIC TRUST 54.7811/01/2019

38377UR34 5.000 AUG 16 39GNMA REMIC TRUST 88.6711/01/2019

38377YFU9 2.000 MAY 20 39GNMA REMIC TRUST 23.4311/01/2019

38378YA66 3.000 APR 16 43GNMA REMIC TRUST 197.5111/01/2019

38378YYK9 3.500 APR 16 43GNMA REMIC TRUST 158.0111/01/2019

38379R6A6 2.200 AUG 16 47GNMA REMIC TRUST 613.2911/01/2019

38379U6D3 2.250 SEP 16 44GNMA REMIC TRUST 268.6411/01/2019

46590MAR1 2.822 AUG 17 49JPMCC COML MTG SEC T 164.6111/01/2019

61691ABL6 3.809 DEC 17 48MORGAN STAN CAP I 587.2211/01/2019

61691EBA2 3.596 DEC 17 49MORGAN STAN CAP I 719.2011/01/2019

61766CAE9 3.594 MAR 17 49MORGAN STAN CAP I 317.4711/01/2019

90269CAD2 3.525 MAY 11 63UBS-BARCLY COML MTG 146.8811/01/2019

90270RBC7 2.533 DEC 12 45UBS-BARCLY COML MTG 101.7211/01/2019

90278MBA4 2.921 OCT 18 52UBS COMM MTG TR 335.9111/01/2019

Page 50

Page 53: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

95000KBB0 2.918 NOV 18 49WELLS FARGO COML TR 834.0611/01/2019

95000TBS4 3.635 MAR 17 50WELLS FARGO COML TR 651.2711/02/2019

90348JJQ4 2.900 APR 03 24UBS BK USA SALT LAKE 776.8311/03/2019

150870103COMMON STOCKCELANESE CORP 5,208.0011/07/2019

064058100COMMONBANK OF NEW YORK MEL 4,681.0011/08/2019

244199105COMMONDEERE & CO 4,408.0011/08/2019

949763UY0 3.500 NOV 09 23WELLS FARGO BANK NAT 1,194.9511/09/2019

10373QAL4 2.750 MAY 10 23BP CAP MKTS AMER INC 3,355.0011/10/2019

14040HBP9 2.500 MAY 12 20CAPITAL ONE FINL COR 725.0011/12/2019

3133EKZA7 2.670 MAY 12 27FEDERAL FARM CR BKS 1,588.6511/12/2019

037833100COMMONAPPLE INC 10,164.0011/14/2019

247361702COMMONDELTA AIR LINES 6,802.2511/14/2019

002824100COMMONABBOTT LABS 4,064.0011/15/2019

12596JAC7 3.010 APR 15 24CNH EQUIPMENT TR 426.4211/15/2019

12652VAB3 2.780 AUG 16 21CNH EQUIPMENT TR 80.0611/15/2019

14315NAC4 3.050 MAR 15 24CARMAX AUTO OWNER TR 88.9611/15/2019

26078JAC4 4.493 NOV 15 25DOWDUPONT INC 1,415.3011/15/2019

377372AM9 3.625 MAY 15 25GLAXOSMITHKLINE CAP 1,286.8811/15/2019

459200KA8 3.500 MAY 15 29INTERNATIONAL BUSINE 1,925.0011/15/2019

58772QAE6 2.510 OCT 16 23MERC-BENZ AUTO LEASE 171.5211/15/2019

80285CAJ0 3.390 APR 15 22SANTANDER DRIVE AUTO 1,132.8311/15/2019

80285HAE0 3.210 SEP 15 23SANTANDER DRIVE AUTO 318.3311/15/2019

80286HAE9 2.280 SEP 15 23SANTANDER DRIVE AUTO 275.5011/15/2019

9128284N7 2.875 MAY 15 28UNITED STATES TREAS 4,916.2511/15/2019

9128285M8 3.125 NOV 15 28UNITED STATES TREAS 8,328.1311/15/2019

9128286T2 2.375 MAY 15 29UNITED STATES TREAS 3,051.8811/15/2019

Page 51

Page 54: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

912828U24 2.000 NOV 15 26UNITED STATES TREAS 14,440.0011/15/2019

981464GH7 2.310 AUG 15 24WORLD FIN NETWORK CC 308.0011/15/2019

981464HC7 2.490 APR 15 26WORLD FIN NET CCMT 448.2011/15/2019

98162VAD1 2.590 JUL 15 24WORLD OMNI AUTO RECV 215.8311/15/2019

98162YAD5 3.040 MAY 15 24WORLD OMNI AUTO RECV 260.9311/15/2019

98161YAC8 2.830 JUL 15 21WORLD OMNI AUTO LEAS 155.6511/16/2019

03066KAF7 2.540 JUL 18 24AMERICREDIT AUTO REC 190.5011/18/2019

61744YAH1 2.750 MAY 19 22MORGAN STANLEY 605.0011/19/2019

38013MAE6 2.180 JUN 21 21GM FINL AUTO LEASE T 305.2011/20/2019

92348AAA3 1.940 APR 20 24VERIZON OWNER TR 724.2711/20/2019

05722G100CL A COMMON STOCKBAKER HUGHES COMPANY 4,464.0011/22/2019

CASHCASHCASH 1,501.9311/23/2019

61760ASL4 3.550 NOV 24 23MORGAN STANLEY PVT B 5,023.2511/23/2019

855244109COMMONSTARBUCKS CORP 5,371.0011/29/2019

458140100COMMONINTEL CORP 10,048.5012/01/2019

949746101COMMONWELLS FARGO & CO 6,426.0012/01/2019

12593FBA1 2.976 JUL 10 48COMM MTG TR 431.1212/01/2019

12593GAF9 3.902 JUL 12 50COMM MTG TR 2015-PC1 1,177.1012/01/2019

12624KAD8 3.147 AUG 17 45COMM MTG TR 188.8212/01/2019

12625UBF9 4.363 JUL 12 45COMM MTG TR 1,032.4312/01/2019

3128MFHF8 3.500 AUG 01 32FHLMC PC GOL G16330 767.7512/01/2019

3128MJYN4 3.500 AUG 01 46FHLMC PC GOL G08716 171.2712/01/2019

3128MJZB9 3.000 DEC 01 46FHLMC PC GOL G08737 2,309.2212/01/2019

3128P74Q3 4.000 NOV 01 33FHLMC PC GOL C91731 364.2412/01/2019

3128P7RQ8 4.000 SEP 01 31FHLMC PC GOL C91395 449.8212/01/2019

3128P8CS8 3.500 JUL 01 36FHLMC PC GOL C91881 238.8612/01/2019

Page 52

Page 55: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

312945DS4 4.000 JAN 01 41FHLMC PC GOL A96413 88.0312/01/2019

3132A8AG4 3.500 JUL 01 30FHLMC PC 15Y ZS7207 566.9112/01/2019

3132AEGF7 4.000 JUL 01 29FHLMC PC 15Y ZT1998 532.7712/01/2019

3132CWA79 3.000 DEC 01 32FHLMC PC 15Y SB0030 349.7412/01/2019

3132D53W0 2.500 SEP 01 34FHLMC PC 15Y SB8013 485.5212/01/2019

3132HPNB6 3.000 NOV 01 42FHLMC PC GOL Q13086 64.5512/01/2019

3132J4MP1 3.500 AUG 01 36FHLMC PC GOL G31065 264.2812/01/2019

3132L8CS4 3.000 DEC 01 46FHLMC PC GOL V82781 650.5012/01/2019

3136A23E1 2.500 OCT 25 40FNMA REMIC TRUST 59.3112/01/2019

3136A3ED9 4.500 FEB 25 38FNMA REMIC TRUST 255.3612/01/2019

3136A4Q44 4.250 NOV 25 41FNMA REMIC TRUST 84.1912/01/2019

3136A6EU4 4.000 MAY 25 38FNMA REMIC TRUST 83.2912/01/2019

3137A1LY7 4.000 AUG 15 25FHLMC REMIC SERIES 228.3512/01/2019

3137A3ZF9 4.000 NOV 15 39FHLMC REMIC SERIES 95.9412/01/2019

3137A9ZX7 3.500 APR 15 22FHLMC REMIC SERIES 7.0212/01/2019

3137B9BY0 3.000 NOV 15 32FHLMC REMIC SERIES 218.7712/01/2019

3137BNZH0 3.000 AUG 15 44FHLMC REMIC SERIES 514.3012/01/2019

3137BTS85 3.250 APR 15 53FHLMC REMIC SERIES 955.1912/01/2019

3137FARK6 2.961 JAN 25 46FHLMC REMIC SERIES 381.2012/01/2019

3138A46Y6 4.000 JAN 01 41FNMA PASSTHRU AH3586 115.7812/01/2019

3138A4XY6 4.000 JAN 01 41FNMA PASSTHRU AH3394 139.2512/01/2019

3138ABYR4 4.500 APR 01 41FNMA PASSTHRU AH9719 99.3112/01/2019

3138AW4W0 3.000 NOV 01 26FNMA PASSTHRU AJ5336 35.4512/01/2019

3138EG6F6 4.500 JUN 01 29FNMA PASSTHRU AL0869 155.0612/01/2019

3138EHTW2 4.500 JAN 01 32FNMA PASSTHRU AL1464 139.3312/01/2019

3138END30 4.500 JAN 01 40FNMA PASSTHRU AL5521 437.8912/01/2019

Page 53

Page 56: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

3138ENZ93 3.500 JAN 01 44FNMA PASSTHRU AL6167 223.4412/01/2019

3138EPBP8 4.000 NOV 01 28FNMA PASSTHRU AL6345 31.0312/01/2019

3138MBMB9 3.000 SEP 01 42FNMA PASSTHRU AP7553 97.1712/01/2019

3138W5F94 3.000 JUN 01 43FNMA PASSTHRU AR7391 86.4912/01/2019

3138W9Z78 3.500 OCT 01 28FNMA PASSTHRU AS0765 149.5612/01/2019

3138WHEW8 3.500 JUN 01 46FNMA PASSTHRU AS7348 706.6912/01/2019

3138WHF64 3.500 JUN 01 46FNMA PASSTHRU AS7388 1,836.0512/01/2019

31394EP69 5.000 AUG 25 35FNMA REMIC TRUST 139.3812/01/2019

3140F1VB5 3.500 MAY 01 46FNMA PASSTHRU BC6009 1,288.4612/01/2019

3140J76G5 4.500 MAR 01 46FNMA PASSTHRU BM3570 873.3012/01/2019

3140J8EX7 4.000 FEB 01 45FNMA PASSTHRU BM3749 374.0512/01/2019

3140J9ZL8 3.500 NOV 01 48FNMA PASSTHRU BM5246 550.1212/01/2019

3140JAQC5 3.500 DEC 01 33FNMA PASSTHRU BM5850 427.6012/01/2019

3140Q7HT7 4.000 AUG 01 47FNMA PASSTHRU CA0241 504.9112/01/2019

31412Q2W8 4.500 JAN 01 40FNMA PASSTHRU 932389 91.2812/01/2019

31416NYV8 4.000 MAR 01 39FNMA PASSTHRU AA5223 710.1512/01/2019

31416WT93 4.500 SEP 01 40FNMA PASSTHRU AB1475 47.8912/01/2019

31417YSC2 4.000 SEP 01 40FNMA PASSTHRU MA0514 46.9612/01/2019

31417YYC5 4.500 APR 01 31FNMA PASSTHRU MA0706 194.3412/01/2019

31418AEB0 3.500 APR 01 32FNMA PASSTHRU MA1029 237.4612/01/2019

31418AHW1 2.500 AUG 01 27FNMA PASSTHRU MA1144 47.4912/01/2019

31418BD45 4.000 JUN 01 34FNMA PASSTHRU MA1922 504.4012/01/2019

31418BFY7 3.500 AUG 01 34FNMA PASSTHRU MA1982 275.9512/01/2019

31418C4G6 4.500 NOV 01 48FNMA PASSTHRU MA3522 88.7712/01/2019

31418C7K4 3.500 FEB 01 49FNMA PASSTHRU MA3597 257.3212/01/2019

31418CMV3 4.000 JUL 01 37FNMA PASSTHRU MA3071 464.0212/01/2019

Page 54

Page 57: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

31418CR89 3.500 DEC 01 47FNMA PASSTHRU MA3210 126.7712/01/2019

31418UWW0 4.500 JUL 01 40FNMA PASSTHRU AD6960 72.2512/01/2019

31418WFJ4 4.500 SEP 01 40FNMA PASSTHRU AD8268 62.0112/01/2019

31419GYY4 4.000 OCT 01 30FNMA PASSTHRU AE6126 122.4112/01/2019

31419JM88 4.500 NOV 01 40FNMA PASSTHRU AE7582 217.5412/01/2019

31419LC76 4.000 DEC 01 40FNMA PASSTHRU AE9093 273.8112/01/2019

36179T4R3 5.000 JUL 20 48GNMA PASSTHRU MA5332 1,271.0112/01/2019

36194SPD4 3.020 SEP 15 41GNMA PASSTHRU AU4920 326.7612/01/2019

38377GLX5 3.000 MAR 20 39GNMA REMIC TRUST 6.9212/01/2019

38377TEL1 4.000 AUG 20 39GNMA REMIC TRUST 48.8012/01/2019

38377UR34 5.000 AUG 16 39GNMA REMIC TRUST 78.1912/01/2019

38377YFU9 2.000 MAY 20 39GNMA REMIC TRUST 22.3012/01/2019

38378YA66 3.000 APR 16 43GNMA REMIC TRUST 193.3812/01/2019

38378YYK9 3.500 APR 16 43GNMA REMIC TRUST 154.7112/01/2019

38379R6A6 2.200 AUG 16 47GNMA REMIC TRUST 612.1312/01/2019

38379U6D3 2.250 SEP 16 44GNMA REMIC TRUST 268.0312/01/2019

38380BTU9 2.500 OCT 20 45GNMA REMIC TRUST 1,062.1512/01/2019

46590MAR1 2.822 AUG 17 49JPMCC COML MTG SEC T 164.6112/01/2019

59523UAN7 3.600 JUN 01 27MID-AMERICA APTS LP 666.0012/01/2019

61691ABL6 3.809 DEC 17 48MORGAN STAN CAP I 587.2212/01/2019

61691EBA2 3.596 DEC 17 49MORGAN STAN CAP I 719.2012/01/2019

61766CAE9 3.594 MAR 17 49MORGAN STAN CAP I 317.4712/01/2019

90269CAD2 3.525 MAY 11 63UBS-BARCLY COML MTG 146.8812/01/2019

90270RBC7 2.533 DEC 12 45UBS-BARCLY COML MTG 101.7212/01/2019

90278MBA4 2.921 OCT 18 52UBS COMM MTG TR 335.9212/01/2019

95000KBB0 2.918 NOV 18 49WELLS FARGO COML TR 834.0612/01/2019

Page 55

Page 58: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

14042RLW9 2.650 MAY 30 24CAPITAL ONE NATL ASS 3,566.1412/02/2019

14042TAS6 2.650 MAY 30 24CAPITAL ONE BANK (US 4,662.2512/02/2019

95000TBS4 3.635 MAR 17 50WELLS FARGO COML TR 651.2712/02/2019

90348JJQ4 2.900 APR 03 24UBS BK USA SALT LAKE 640.4212/03/2019

254709108COMMONDISCOVER FINL SVCS 4,004.0012/05/2019

166764AB6 2.355 DEC 05 22CHEVRON CORP NEW 3,709.1312/05/2019

46647PAY2 4.023 DEC 05 24JP MORGAN CHASE BANK 2,936.7912/05/2019

438516106COMMONHONEYWELL INTL INC 9,000.0012/06/2019

40434AE62 3.125 DEC 09 20HSBC BANK USA NA 4,453.1312/09/2019

949763UY0 3.500 NOV 09 23WELLS FARGO BANK NAT 1,155.7512/09/2019

166764100COMMONCHEVRON CORP 4,998.0012/10/2019

56585A102COMMONMARATHON PETROLEUM 6,148.0012/10/2019

655844108COMMONNORFOLK SOUTHERN 4,418.0012/10/2019

913017109COMMONUNITED TECHNOLOGIES 3,234.0012/10/2019

30212P303COMMONEXPEDIA GROUP INC 2,516.0012/12/2019

594918104COMMONMICROSOFT CORP 10,200.0012/12/2019

88579Y101COMMON3M COMPANY 4,176.0012/12/2019

931427108COMMONWALGREENS BOOTS ALNC 5,535.7512/12/2019

89114QCA4 2.650 JUN 12 24TD BANK 1,245.5012/12/2019

12596JAC7 3.010 APR 15 24CNH EQUIPMENT TR 426.4212/15/2019

12652VAB3 2.780 AUG 16 21CNH EQUIPMENT TR 64.9212/15/2019

14315NAC4 3.050 MAR 15 24CARMAX AUTO OWNER TR 88.9612/15/2019

58772QAE6 2.510 OCT 16 23MERC-BENZ AUTO LEASE 171.5212/15/2019

695114CM8 3.850 JUN 15 21PACIFICORP 1,886.5012/15/2019

80285CAJ0 3.390 APR 15 22SANTANDER DRIVE AUTO 1,132.8312/15/2019

80285HAE0 3.210 SEP 15 23SANTANDER DRIVE AUTO 318.3312/15/2019

Page 56

Page 59: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

80286HAE9 2.280 SEP 15 23SANTANDER DRIVE AUTO 275.5012/15/2019

981464GH7 2.310 AUG 15 24WORLD FIN NETWORK CC 308.0012/15/2019

981464HC7 2.490 APR 15 26WORLD FIN NET CCMT 448.2012/15/2019

98162RAD0 1.960 DEC 15 24WORLD OMNI AUTO RECV 443.8912/15/2019

98162VAD1 2.590 JUL 15 24WORLD OMNI AUTO RECV 215.8312/15/2019

98162YAD5 3.040 MAY 15 24WORLD OMNI AUTO RECV 260.9312/15/2019

099724106COMMONBORG WARNER INC 2,754.0012/16/2019

260003108COMMONDOVER CORP 3,038.0012/16/2019

98161YAC8 2.830 JUL 15 21WORLD OMNI AUTO LEAS 155.6512/16/2019

03066KAF7 2.540 JUL 18 24AMERICREDIT AUTO REC 190.5012/18/2019

14042TAW7 2.500 JUN 19 24CAPITAL ONE BANK (US 2,862.5012/19/2019

7954503N3 2.400 JUN 20 22SALLIE MAE BK SLT LA 2,940.0012/19/2019

00758M188MCKEE INTL EQTADVISORS INNER CIRCL 291,238.1312/20/2019

06051GHC6 3.004 DEC 20 23BANK AMER CORP 3,139.1812/20/2019

38013MAE6 2.180 JUN 21 21GM FINL AUTO LEASE T 305.2012/20/2019

92348AAA3 1.940 APR 20 24VERIZON OWNER TR 517.3312/20/2019

CASHCASHCASH 1,804.6412/21/2019

026874784COMMONAMERN INTL GROUP INC 3,520.0012/26/2019

931142EK5 3.400 JUN 26 23WALMART INC 2,720.0012/26/2019

02665WCZ2 2.400 JUN 27 24AMERICAN HONDA FIN C 1,104.0012/27/2019

375558103COMMONGILEAD SCIENCES INC 5,481.0012/30/2019

38141G104COMMONGOLDMAN SACHS GROUP 4,750.0012/30/2019

74144T108COMMONT ROWE PRICE GRP 5,548.0012/30/2019

00758M188MCKEE INTL EQTADVISORS INNER CIRCL 169,273.3212/31/2019

253393102COMMONDICKS SPORTING GOODS 4,922.5012/31/2019

571903202CLASS AMARRIOTT INTL INC 2,592.0012/31/2019

Page 57

Page 60: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Income

Transaction Detail - 10/1/2019 through 12/31/2019 91185

CUSIPIssueDescription Pay Date Proceeds

744573106COMMONPUBLIC SVC ENTERPR 5,123.0012/31/2019

9128286Z8 1.750 JUN 30 24UNITED STATES TREAS 6,788.2912/31/2019

Total Income $900,757.86

Page 58

Page 61: I REVIEW Fourth Quarter, 2019

Centre County Employees' Retirement Fund

Other

Transaction Detail - 10/1/2019 through 12/31/2019 91185

SharesCUSIPIssueDescription Average Price

Proceeds/

Distributions Gain/LossTransaction Type Trade Date

CASHCASHCASH 0.00 1.00Cash Deposit 10/11/2019 67.86 68

CASHCASHCASH 0.00 1.00Cash Withdrawal 10/25/2019 -300,000.00 300,000

CASHCASHCASH 0.00 1.00Cash Withdrawal 11/19/2019 -2,800,000.00 2,800,000

CASHCASHCASH 0.00 1.00Cash Deposit 11/19/2019 2,800,000.00 2,800,000

110122108COMMONBRISTOL MYERS SQUIBB 0.00 14.45Share Exchange 11/21/2019 -158,956.03 11,000

110122157CONTI VAL RIGHTS WIBRISTOL MYERS SQUIBB 0.00 14.45Share Exchange 11/21/2019 -158,956.03 11,000

151020104COMMONCELGENE CORP 550,000.00 78.90Share Exchange 11/21/2019 867,912.06 11,000

CASHCASHCASH 0.00 1.00Cash Withdrawal 11/21/2019 -240,000.00 240,000

CASHCASHCASH 0.00 1.00Cash Withdrawal 12/20/2019 -350,000.00 350,000

Total Other 550,000.00-339,932.14

Page 59

Page 62: I REVIEW Fourth Quarter, 2019

January 2020

Five Minutes with C.s.MCKee

C. S. McKee, LP One Gateway Center Pittsburgh, PA 15222 412/566-1234 FAX 412/566-1548

If the experts die doing it, then I’m not interested in trying. Mountain climbing, sky diving, and auto racing come to mind. But economics also comes to mind. How advisable is relying on its signals when the experts are wrong—sometimes in a big way?

The Wall Street Journal reported last June that not a single economist surveyed early in 2019 had predicted that the yield on the 10-year Treasury would fall below 2.50% during the year. In early June it stood at 2.085%, down from 3.23% in early November 2018. That decline was the largest over a similar time period since 2012. At year end the yield hovered around 1.90%. “Once burned, twice shy” did not seem to apply. In early 2016 a similar pool of economists unanimously predicted a (significant) rise in rates. Rates fell. In October 2018 the consensus anticipated multiple rate increases in 2019. The opposite occurred. A seren-dipitous benefit from these incorrect guesses was that the Aggregate indices gave portfolios an unexpected absolute return of over 8.5% in 2019. A nice push in a balanced portfolio.

Stocks? Equity markets saw the best returns since 2013, notwithstanding dire predictions tied to a fourth-quarter-2018 collapse, Trump tweeting, trade war fears, slowing global growth, and a possible Brexit calamity.

Why so wrong, especially on interest rates? And make no mistake about it, the equity markets are all about interest rates for the time being. There is a clear expec-tation that the central banks will continue to support a risk-on environment.

The reTrospecTive biasIn past comments we have talked about the major consequences of rapidly advancing technology. Drawing on two hundred years of economic data, the complex models that have been built upon recurring cycles are lost in today’s world. Most analytics look backward, and do not factor the speed and trans-parency of today’s globally connected economy. Those advances now make it possible for prices to be managed, even at current levels of employment. This after a decade of the most accommodative central bank monetary policy ever. Policy that was largely untested when considered and implemented.

Those same models flounder when confronted with a global economy that is heavily indebted during low inflation—while having strong employment, conflicting demographics, and apparently, an inability to achieve either the growth or the inflation to reduce the debt in real terms. The world economy needs low interest rates—as do the politicians. It’s too soon to call this a new economic paradigm, but tactically speaking it is the world in which we are living. Given the level of global debt, rising rates would suffocate already tepid growth. The growth-debt-rates triangle remains the most uncharted region of the new waters in which the global economy is sailing. Pressures in the repo markets will keep the Fed’s hands tied to a degree—a development that we will have to watch play out.

Making Decisions

a global economy heavily indebted during low inflation

in a low-rate, high-debt economy

Page 60

Page 63: I REVIEW Fourth Quarter, 2019

Nothing in this newsletter represents a recommendation to buy or sell any particular security. Investors should consult their own investment adviser to determine whether a particular investment or strategy is appropriate for their specific situation.

The end of 2019 found negative rates (10-year) in Germany, Japan, Switzerland, and the Netherlands. Economic powerhouses Italy, Spain, Portugal, and Greece all had 10-year yields well below the U.S. Inflation remains subdued in most developed economies. Some resistance to further yield declines was apparent at the end of the year, and economic data is painting a less gloomy global growth picture. Fears for a recession in the U.S. have declined. These metrics seem to present few reasons for any notable increase in rates for 2020—and perhaps, more room for equity appreciation.

The elephanT in The living roomPolitics will galvanize public attention on a few economic issues. Battles over wealth inequality, health care, and infrastructure spending will dominate debates through November. But nowhere is there serious talk of controlling the debt levels. Those levels (government, corporate, private) remain the elephant in the living room. Domestically, either party will face pressure on the economic issues under debate, and you can expect the “rich” to feel an impact. Likes and dislikes aside, President Trump is unlikely to tolerate an equity market decline leading up to November; so we antic-ipate positive returns for stocks. The attention span of algorithmic trading will cause headaches as trade-war talks vacillate between good news and delays, but a solution, at least partial, is probable. Debt levels will not decline. Software continues to push the envelope with robotics, advances that will increasingly affect the human component of corporate plans.

The oil facTorBut what about oil prices, given the year-end military actions in Iraq? Disruptions such as the deadly strike on Qassam Soleimani can still cause significant turmoil. But the world is awash in the commodity and global growth is modest. Technology, alternatives, the politics of climate change, and a millennial generation less wed to the automobile have gained influence. If those trends continue, look for those with oil in the ground to try and find ways to use it rather than see its value decline. Those factors, and the U.S. resurgence as a producer, should help moderate the price.

Making Decisions in a low-rate, high-debt economy (continued)

The solid ground McKee continues to advocate adherence to quality. For bonds that means the higher rungs of investment grade and liquidity. For stocks we stress replicable earnings, free cash flow, debt management, and governance. While that might leave a little on the table if the risk-on mentality persists, it will be a comfort in the face of the political circus and growing debt. Actuary targets should be met in 2020.

We wish a very prosperous New Year to our clients and consultant friends. Should you have questions at any time, please don’t hesitate to contact us.

Gene Natali Chief Executive Officer

no serious talk about controlling debt levels

the comfort of asset quality

a world awash in oil

Page 61