Presentation to the City of Los Angeles Treasurer on the City's - - PowerPoint PPT Presentation

Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments

July 31, 2018

Economic Update: Overall Economy

* Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 7/31/2018

2.0

• 1.0

2.9

• 0.1

4.7 3.2 1.7 0.5 0.5 3.6 0.5 3.2 3.2

• 1.0

5.1 4.9 1.9 3.3 3.3 1.0 0.4 1.5 2.3 1.9 1.8 1.8 3.0 2.8 2.3 2.2 4.1 2.8 2.7 2.3 2.3

• 3
• 2
• 1

1 2 3 4 5 6

Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Q4 2013 Q1 2014 Q2 2014 Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016 Q3 2016 Q4 2016 Q1 2017 Q2 2017 Q3 2017 Q4 2017 Q1 2018 Q2 2018 Q3 2018 Q4 2018 Q1 2019 Q2 2019

Percent

U.S. GDP (Quarter over Quarter Annualized)*

July 31, 2018 2

Economic Update: Employment

*Los Angeles area unemployment is not seasonally adjusted. Data Source: Bloomberg 12 Month Average Monthly Job Change: 200,000 50 100 150 200 250 300 350 400 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Thousands

Monthly Non-Farm Payrolls

3 4 5 6 7 8 9 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Percent

Unemployment Rates

California LA Area U.S.A

July 31, 2018 3

Economic Update: Consumer Activity

*Inflation Adjusted

Data Source: Bloomberg 0.5 1 1.5 2 2.5 3 3.5 4 4.5 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Percent

U.S. Retail Sales* YOY % Change

$400 $420 $440 $460 $480 $500 $520 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Billions

Total Monthly U.S. Retail Sales

July 31, 2018 4

Economic Update: Inflation

*CPIX: Consumer Price Index, excluding food and energy Data Source: Bloomberg

• 0.5

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Percent

CPI and CPIX* YOY % Change

CPI CPIX 0.0 0.4 1.4 2.3 2.7 2.8 2.9 3.5 12.4 3 6 9 12 Communication Apparel Food Education Wages Services CPI Shelter Energy Percent

Sector YOY % Price Changes

July 31, 2018 5

Economic Update: Dollar and Commodities

Data Source: Bloomberg 70 72 74 76 78 80 82 84 86 88 90 92 94 96 98 100 102 104 106 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Aug-15 Feb-16 Aug-16 Feb-17 Aug-17 Feb-18 Index Value

Dollar Index

$20 $30 $40 $50 $60 $70 $80 $90 $100 $110 $120 $600 $800 $1,000 $1,200 $1,400 $1,600 $1,800 $2,000 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Aug-15 Feb-16 Aug-16 Feb-17 Aug-17 Feb-18 Oil-Per Barrel

Gold-Per Ounce

Gold and Oil

Gold Oil

July 31, 2018 6

Economic Update: Sector Returns YTD

As of:

Data Source: Bloomberg

7/31/18

• 4.4
• 4.2
• 3.6
• 2.9
• 2.7
• 2.6
• 1.7
• 1.5
• 0.6
• 0.4

0.0 0.2 0.6 0.8 1.1 2.0 6.3 7.2 10.2 10.5 11.5

• 6
• 4
• 2

2 4 6 8 10 12 14 Percent

July 31, 2018 7

Economic Update: S&P 500 Returns

As of:

Data Source: Bloomberg

7/31/18

• 4.6
• 0.5

0.9 1.9 2.5 5.6 8.2 8.3 11.6 13.4

• 6
• 4
• 2

2 4 6 8 10 12 14 16 Percent

YTD S&P 500 Major Sector Returns

July 31, 2018 8

Economic Update: Yield Curve FYTD

Maturity 6/29/18 7/31/18 Change

Data Source: Bloomberg Figures may not total due to rounding

3Y 2.62 2.77 0.15 30Y 2.99 3.08 0.09 5Y 2.74 2.85 0.11 10Y 2.86 2.96 0.10 1Y 2.31 2.41 0.10 2Y 2.53 2.67 0.14 3M 1.92 2.02 0.11 6M 2.11 2.19 0.09 1.7 1.9 2.1 2.3 2.5 2.7 2.9 3.1 3.3

3M6M 1Y 2Y 3Y 5Y 10Y 30Y Percent

U.S. Treasury Yield Curve

6/29/18 7/31/18

July 31, 2018 9

Economic Update: Interest Rates

Data Source: Bloomberg

• 0.50

0.00 0.50 1.00 1.50 2.00 2.50 3.00 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Percent

U.S. Treasury Yields: 3M and 1Y

1Y 3M 0.00 0.25 0.50 0.75 1.00 1.25 1.50 1.75 2.00 2.25 2.50 2.75 3.00 3.25 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17 Nov-17 Jan-18 Mar-18 May-18 Jul-18 Percent

U.S. Treasury Yields: 2Y and 5Y

5Y 2Y

July 31, 2018 10

Economic Update: Agency and Corporate Spreads

*BofA/Merrill Index (option adjusted spread vs. Treasury) *BofA/Merrill Index (option adjusted spread vs. Treasury) Agency (GVP0) Corporate A-AAA (CV10) Data Source: Bloomberg 8 5 10 15 20 25 30 Dec-11 Apr-12 Aug-12 Dec-12 Apr-13 Aug-13 Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Basis Point Spread

Spread*: 1-5 Yr Agency vs Treasury

60 25 50 75 100 125 150 175 200 225 Dec-11 Apr-12 Aug-12 Dec-12 Apr-13 Aug-13 Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 Apr-17 Aug-17 Dec-17 Apr-18 Basis Point Spread

Spread*: 1-5 Yr Corporate vs Treasury

July 31, 2018 11

Summary Portfolio Characteristics

*Core Benchmark: 3 Month T-Bill (G0O1 ICE BofAML Index) #Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10 ICE BofAML Index) **Average Maturity after rebalancing for the indexes--Portfolios based upon trade date holdings, Core Average Maturity includes checking ## Weighted Purchase Yield for Core does not include checking

Core Benchmark * Los Angeles Reserve Reserve Benchmark # 0.35 0.23 2.62 2.61 2.77 2.75

• Total General

Portfolio Weighted Purchase Yield## Market Value $9,315,400,145 ($7,300,824)

• ($157,798,664)
• ($165,099,489)

1.83% 26.6%

• 73.4%

2.01 Los Angeles Core Book Value Variance 2.13 1.69%

• 1.88%
• $9,150,300,657

$2,444,009,712

• $6,871,390,434
• $2,436,708,887
• $6,713,591,769
• Mkt Value % of Total

Average Maturity (Yrs)** Effective Duration** 100% 0.36 0.23

July 31, 2018 12

Total General Portfolio: Maturity Distribution

24.8% 3 to 4 4 to 5+ 19.8% 16.4% 12.4% 1 to 2 2 to 3 20.8% 17.3% 12.2%

• 1.1%
• 0.9%

0.1% 2.6% 10.0% 24.8% 0.0% 7/31/18 6/30/18 Variance 0-.25 .5 to 1 1.2% 0.4% 0.1% 3.0% 10.1% 12.3% Years 13.6% .25 to .5 0% 5% 10% 15% 20% 25% 30% 0-.25 .25 to .5 .5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ 7/31/18 6/30/18

July 31, 2018 13

Total General Portfolio: Maturity Distribution by Month

*Calculated using par values, includes checking

989 213 40 87 105 85 190 170 105 165 185 110 202 170 202 160 169 180 150 245 135 186 321 185 140 150 115 157 140 170 270 120 170 151 142 125 170 55 110 200 72 192 165 100 170 160 86 70 60 25 75 105 60 105 175 85 165 120 70 95 10

200 400 600 800 1,000 1,200 Aug-18 Sep-18 Oct-18 Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21 Dec-21 Jan-22 Feb-22 Mar-22 Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 Apr-23 May-23 Jun-23 Jul-23 Aug-23 Millions Month

Combined Maturity Distribution*

July 31, 2018 14

Sector Allocations: Total General Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Sector 7/31/2018 6/30/2018 Variance 0.0% 0.1% 0.0% 0.0% 7.1%

• 0.7%

15.9% 0.2% 1.2% 1.3% 1.3% 0.0% 62.2% 1.3% 0.1% 0.0% 0.0% 10.1% 1.2% 11.2% Bank Deposits CDARS Commercial Paper Corporate Notes ABS Total 100.0% 100.0%

July 31, 2018

MMFs

• 0.9%

6.4% 16.1% 1.2% 63.2% Negotiable CDs Agencies* Treasuries 1.4% 0.0% Bank Dep 1.3% CP 6.4% CORP 16.1% MMF 1.4% ABS 1.2% Agy 11.2% Tsy 62.2%

July 31, 2018 15

Sector Allocations: Core Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Total 100.0% Negotiable CDs 0.0% Treasuries 38.8% Agencies* 17.7% Commercial Paper 24.2%

Core Portfolio

CDARS 0.0% 28.7%

July 31, 2018

• 4.5%

Sector 7/31/2018 6/30/2018 Variance Bank Deposits 5.0% 4.8% 0.2% Corporate Notes 8.9% 8.8% 0.1% MMFs 5.4% 5.2% 0.2% 0.0% 0.0% 0.0% 0.0% 100.0% 38.8% 0.0% 13.7% 4.0% Bank Dep 5.0% CP 24.2% Corp 8.9% MMF 5.4% Agy 17.7% Tsy 38.8%

July 31, 2018 16

Sector Allocations: Purchase Yield vs. Weighted Average Maturity

*Based on Market Value

**Includes Supranational Securities

Figures may not total due to rounding Does not include Checking and BNYM Sweep, CDARS included with CP

Money Market 0.00 1.77% 5.7% Agencies** 0.11 1.87% 18.7% Total 0.38 1.69% 100.0% Treasuries 0.70 1.30% 40.8%

Core Portfolio

Negotiable CDs 0.00 0.00 0.0% Sector WAM (Yrs.) Purchase Yield % of Portfolio* Corporate Notes 0.58 1.87% 9.4% Commercial Paper 0.07 2.10% 25.4%

Corp CP Agy

Tsy

MMF

1.0% 1.2% 1.4% 1.6% 1.8% 2.0% 2.2% 2.4%

• 0.2

0.0 0.2 0.4 0.6 0.8 1.0 1.2

Purchase Yield WAM Years

Bubble size = Sector's % of Portfolio July 31, 2018 17

Sector Allocations: Reserve Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Total 100.0% 100.0% 1.7%

Reserve Portfolio

July 31, 2018

ABS 1.7% Agencies* 8.9% 8.9% 0.0% Corporate Notes 18.7% 18.2% 0.5% 0.0% Sector 7/31/2018 6/30/2018 Variance Treasuries 70.7% 71.2%

• 0.5%

Corp 18.7% ABS 1.7% Agy 8.9% Tsy 70.7%

July 31, 2018 18

Sector Allocations: Purchase Yield vs. Weighted Average Maturity

*Based on Market Value **Includes Supranational and Municipal Securities

Figures may not total due to rounding

Sector ABS 3.24 8.9% 1.74% 2.65 18.7% 1.7% 2.01%

Reserve Portfolio

Total 2.77 1.88% 100.0% 2.44% 1.85% 70.7% Treasuries 2.83 Agencies** Corporate Notes % of Portfolio* Purchase Yield WAM (Yrs.) 2.41

Tsy Agy Corp

ABS 1.55% 1.75% 1.95% 2.15% 2.35% 2.55% 0.0 1.0 2.0 3.0 4.0

Purchase Yield WAM Years

Bubble size = Sector's % of Portfolio July 31, 2018 19

Core and Reserve Market Values

*Core's market value includes checking accounts

Month End Market Values

$0.0 $0.5 $1.0 $1.5 $2.0 $2.5 $3.0 $3.5 $4.0

Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Jun-16 Jan-17 Aug-17 Mar-18 Oct-18

Billions

Core*

$3.0 $3.5 $4.0 $4.5 $5.0 $5.5 $6.0 $6.5 $7.0 $7.5

Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Jun-16 Jan-17 Aug-17 Mar-18 Oct-18

Billions

Reserve

July 31, 2018 20

Total General Portfolio: Market Value

Total General Portfolio Market Value

$4.5 $5.5 $6.5 $7.5 $8.5 $9.5 $10.5 $11.5 Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 Nov-18 Billions

July 31, 2018 21

Total General Portfolio: % of Portfolio: Core vs Reserve

% of Total General Portfolio: Core vs Reserve

0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 Nov-18

Reserve Core

July 31, 2018 22

Portfolio Compliance with Code, Policy, and Guidelines

*The City's Investment Policy and Investment guidelines allow for purchases of securities with longer maturities than those listed above for funds with longer investment/cash flow horizons.

Asset Backed Securities 92 Days 5 Years 1 Year 32 Days 5 Years 5 Years Mortgage Backed Securities/CMOs

Maturity Limitations*

Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Repurchase Agreements Government Securities

Compliance Sector

Complies 270 Days 180 Days

Limit

5 Years Supranational Obligations 5 Years Complies Banker's Acceptances Complies Complies Complies Complies Complies Complies Complies Complies Complies 180 Days Reverse Repo/Securities Lending Corporate Notes

July 31, 2018 23

Portfolio Compliance with Code, Policy, and Guidelines

Complies 30% Corporate Notes

Percentage Allocation Limitations

Complies 20% Combined with ABS 20% Combined with MBS Complies Complies 15%

Limit

100% 40% 180 Days 1 Year

Compliance

Complies Repurchase Agreements Reverse Repo/Securities Lending Complies Complies Complies Complies Complies 5% Reverse Repo/20% Revs. Repo +Sec Lending

Sector

Government Securities Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Supranational Obligations 30% Complies Mortgage Backed Securities/CMOs Asset Backed Securities Banker's Acceptances State/Local Agency Securities Mutual Funds/Money Market Funds LAIF State Pool Complies Complies Complies 20% $65 Million Per Account 30% 10%

July 31, 2018 24

Portfolio Compliance with Code, Policy, and Guidelines

From Approved List Complies

Issuer and Transaction Limitations -- Approved Issuers

Item Limit

Government Issuer 100% Complies

Compliance

Supranational Obligations From Approved List Complies Non-Governmental Issuer 5% Complies Single Transaction $200 Million w/o Treasurer's Written Approval Complies Corporate Notes From Approved List Complies Dealers From Approved List Complies Commercial Paper

July 31, 2018 25

Portfolio Compliance with Code, Policy, and Guidelines

Portfolio Maturity Limitations and Duration Ranges

Core Portfolio

Effective Duration 1-5 Govt/Corp Index +/- .10 Complies: 2.62 vs 2.61

Item Limit Compliance

Maturity Limitation One Year Complies

Reserve Portfolio

Item Limit Compliance

July 31, 2018 26

Portfolio Statistics: Yield and Duration

*Benchmark: 3 Month T-Bill (3 Month Moving Average) *Benchmark: 1-5 Year Govt/Corp A-AAA (24 Month Moving Average), changed 8/1/13 Duration at month-end, after index rebalancing for the next month. Core duration does not include checking accounts. 0% 1% 2% 3% 4% 5% 6%

Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18

Percent

Purchase Yield: Core vs Benchmark*

Core Benchmark 2.2 2.3 2.4 2.5 2.6 2.7 2.8

Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18

Duration

Reserve Duration

Reserve Benchmark 0% 1% 2% 3% 4% 5%

Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18

Percent

Purchase Yield: Reserve vs Benchmark*

Reserve Benchmark 0.05 0.10 0.15 0.20 0.25 0.30 0.35 0.40 0.45

Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18

Duration

Core Duration

Core Benchmark

July 31, 2018 27

Portfolio Statistics: Historical Purchase Yields

0.00% 0.25% 0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00% 2.25% 2.50% 2.75% 3.00% 3.25% 3.50% 3.75% 4.00% 4.25% 4.50% 4.75% 5.00% 5.25% 5.50% Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 Jul-17 Jul-18 Jul-19 Percent

Reserve Total Portfolio Core

July 31, 2018 28

Purchase Yield Per 3-Month Maturity Intervals

*Based on Par Value

9 to 12 1.48% 24.25% Total 1.69% 100.00% 3 to 6 1.34% 9.13% 6 to 9 1.40% 19.15%

Core Portfolio

Months Purchase Yield % of Portfolio* 0 to 3 1.98% 47.46%

1.98% 1.34% 1.40% 1.48%

1.2% 1.3% 1.4% 1.5% 1.6% 1.7% 1.8% 1.9% 2.0% 2.1% 2.2% 0.00 0.25 0.50 0.75 1.00

Purchase Yield Years

Bubble Size = Maturity's % of Portfolio July 31, 2018 29

Purchase Yield Per 6-Month Maturity Intervals

*Based on Par Value

Reserve Portfolio

Total 1.88% 100.00% 4.0 to 4.5 4.5 to 5.0+ 2.16% 2.79% 6.19% 11.39% 1.85% 11.79% Years Purchase Yield % of Portfolio* .5 to 1.0 0.00 0.00% 3.5 to 4.0 1.99% 11.56% 1.0 to 1.5 1.58% 14.84% 1.5 to 2.0 1.75% 16.43% 2.0 to 2.5 1.60% 13.22% 2.5 to 3.0 1.72% 14.59% 3.0 to 3.5

1.58% 1.75% 1.60% 1.72% 1.85% 1.99% 2.16% 2.79%

1.3% 1.5% 1.7% 1.9% 2.1% 2.3% 2.5% 2.7% 2.9% 3.1% 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 4.50 5.00 5.50

Purchase Yield Years

Bubble Size = Maturity's % of Portfolio July 31, 2018 30

Purchase Yield Per 6-Month Maturity Intervals

*Based on Par Value

Total General Portfolio

1.5 to 2.0 1.75% 12.22% 2.0 to 2.5 1.60% 9.83% 0 to 0.5 1.87% 14.90% 0.5 to 1.0 1.42% 9.86% Years 1.0 to 1.5 1.59% 1.72% 10.85% 2.79% 8.47% 1.99% 8.60% 1.85% 8.77% 2.16% 4.60% Purchase Yield % of Portfolio* Total 1.83% 100.00% 4.5 to 5+ 11.91% 3.5 to 4.0 3.0 to 3.5 4.0 to 4.5 2.5 to 3.0 1.87% 1.42% 1.59% 1.75% 1.60% 1.72% 1.85% 1.99% 2.16% 2.79%

1.2% 1.4% 1.6% 1.8% 2.0% 2.2% 2.4% 2.6% 2.8% 3.0% 3.2%

• 0.5

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 5.5

Purchase Yield Years

Bubble Size = Maturity's % of Portfolio July 31, 2018 31

Portfolio Statistics: Historical Effective Duration

0.0 0.5 1.0 1.5 2.0 2.5 3.0 Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 Jul-17 Jul-18 Duration

Reserve Total Portfolio Core

July 31, 2018 32

Total General Portfolio Statistics: Sector Allocation History

Sector Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Tsy 57.0% 56.9% 56.8% 57.6% 54.9% 55.5% 55.1% 56.3% 54.3% 53.0% 63.2% 62.2% Agy* 10.5% 9.4% 9.5% 10.7% 9.4% 7.8% 7.1% 7.2% 9.3% 10.7% 10.1% 11.2% Corp 16.9% 16.4% 16.9% 16.9% 15.1% 15.3% 14.7% 14.8% 14.4% 13.7% 15.9% 16.1% CP 13.6% 14.9% 13.2% 12.6% 18.8% 19.4% 19.6% 19.3% 19.8% 20.8% 7.1% 6.4%

• Neg. CDs

0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% ABS 0.8% 1.0% 1.0% 1.0% 0.9% 0.9% 1.0% 1.2% 1.2% 1.1% 1.3% 1.2% Bank 1.1% 1.4% 2.6% 1.3% 1.0% 1.1% 2.6% 1.1% 1.0% 0.8% 2.5% 2.8% Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

Figures may not total due to rounding *Includes Supranational and Municipal securities

0% 10% 20% 30% 40% 50% 60% 70% Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 Tsy Agy Corp CP Bank/Sweep ABS MBS

July 31, 2018 33

Book Return: Core Portfolio

July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

1.64% 2.06%

• 0.42%

FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22

1.01% 1.27% 0.56% 0.41% 0.64% 0.78% 1.55% 1.64% 0.28% 0.19% 0.13% 0.15% 0.33% 0.73% 1.51% 2.06% 0.73% 1.08% 0.43% 0.26% 0.31% 0.05% 0.04%

• 0.42%

Variance *Core Benchmark: 70% monthly average of 60 Day A1/P1 Bloomberg CP Index (DCBP060Y) and 30% monthly moving average of 30 Day Agy (AGDN030Y). For Fiscal Year Performance the average builds from beginning of fiscal year. Figures may not total due to rounding Custom Benchmark* Variance

Monthly Return

Core Portfolio

Fiscal YTD

Core Portfolio Custom Benchmark*

• 0.5%

0.0% 0.5% 1.0% 1.5% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 Percent Variance

Fiscal Year Performance Variance: Core vs Benchmark

1.50% 1.60% 1.70% 1.80% 1.90% 2.00% 2.10% 2.20% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Percent Variance

Monthly Performance Variance: Core vs Benchmark

Core Benchmark

July 31, 2018 34

Book Return: Reserve Portfolio

July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

1.84% 1.81% 0.03%

FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22

1.91% 1.55% 1.52% 1.41% 1.43% 1.42% 1.63% 1.84% 0.96% 0.66% 0.59% 0.76% 0.94% 1.08% 1.42% 1.81% 0.95% 0.89% 0.93% 0.65% 0.49% 0.34% 0.21% 0.03% *Reserve Benchmark: 24 month moving average of the ICE BofAML 1-5 year U.S. Government and U.S. Corporate A-AAA Index (BU10). For Fiscal Year Performance the average builds from beginning of fiscal year. Figures may not total due to rounding Custom Benchmark* Variance

Monthly Return

Reserve Portfolio Custom Benchmark* Variance

Fiscal YTD

Reserve Portfolio 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 Percent Variance

Fiscal Year Performance Variance: Reserve vs Benchmark

1.70% 1.75% 1.80% 1.85% 1.90% 1.95% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Percent Variance

Monthly Performance Variance: Reserve vs Benchmark

Reserve Benchmark

July 31, 2018 35

Book Return: Combined Portfolios

July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

1.79% 1.86%

• 0.07%

FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22

1.76% 1.51% 1.36% 1.19% 1.40% 1.29% 1.61% 0.83% 0.57% 0.50% 0.64% 0.82% 1.00% 1.44% 0.93% 0.94% 0.86% 0.55% 0.58% 0.29% 0.17% *Combined Benchmark: 80% of the Reserve Portfolio Benchmark and 20% of the Core Portfolio Benchmark. Average builds from beginning of fiscal year.

Figures may not total due to rounding

Custom Benchmark* Variance

Monthly Return

Combined Portfolio Custom Benchmark* Variance

Fiscal YTD

Combined Portfolio 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 Percent Variance

Fiscal Year Performance Variance: Combined vs Benchmark

1.70% 1.75% 1.80% 1.85% 1.90% 1.95% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Percent Variance

Monthly Performance Variance: Combined vs Benchmark

Combined Benchmark

July 31, 2018 36

Portfolio Statistics: Monthly Total Return

Core Benchmark Variance Reserve Benchmark Variance

0.17% 0.16% 0.01%

• 0.04%
• 0.04%

0.00%

Treasury 0.16% 0.39 0.16% 1.00

• 0.10%

Treasury

• 0.11%

0.71

• 0.09%

0.82

0.00%

Agency* 0.17% 0.19 0.00% 0.00

0.03%

Agency*

• 0.03%

0.09 0.00% 0.04

0.00%

Credit** 0.19% 0.36 0.00% 0.00

0.07%

Credit** 0.21% 0.20 0.24% 0.14

0.01%

*Agency includes U.S. Agencies, Supranationals, and Municipal Securities **Credit includes Corporate Bonds, Asset-Backed Securites, CP, and CDs

Core Weight Benchmark Return Benchmark Weight Monthly Performance Monthly Performance

*Core Benchmark: 3 Month T-Bill (G0O1 ICE BofAML Index) *Reserve Benchmark: 1-5 Year Govt/U.S. Corp A-AAA (BU10 ICE BofAML Index)

Weighted Variance

Core Attribution of Sub-Sector Returns Sector Core Return

Benchmark Sector Returns are calculated by FTN Financial Main Street using the subsector returns of the BU10 index. Figures may not total due to rounding.

Reserve Attribution of Sub-Sector Weighted Returns Sector Reserve Return Reserve Weight Bechmark Return Benchmark Weight

Weighted Variance

• 0.05%
• 0.04%
• 0.03%
• 0.02%
• 0.01%

0.00%

Reserve Benchmark

Percent Variance

Reserve vs Benchmark

0.00% 0.02% 0.04% 0.06% 0.08% 0.10% 0.12% 0.14% 0.16% 0.18%

Core Benchmark

Percent Variance

Core vs Benchmark

July 31, 2018 37

Total Return Performance: Core vs. Benchmark

1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years

0.17% 0.51% 0.17% 1.58% 0.92% 0.61% 0.59% 0.16% 0.48% 0.16% 1.44% 0.74% 0.45% 0.36% 0.01% 0.03% 0.01% 0.14% 0.18% 0.16% 0.23% *Core Benchmark: 3 Month T-Bill (G0O1) Portfolio Core Benchmark Variance Core Total Return

0.17% 0.51% 0.17% 1.58% 0.92% 0.61% 0.59% 0.16% 0.48% 0.16% 1.44% 0.74% 0.45% 0.36%

0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 1.60% 1.80% 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years Year

Core Index

July 31, 2018 38

Total Return Performance: Reserve vs. Benchmark

1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years

• 0.04%

0.43%

• 0.04%
• 0.61%

0.60% 0.92% 2.06%

• 0.04%

0.42%

• 0.04%
• 0.61%

0.56% 0.90% 1.97% 0.00% 0.01% 0.00% 0.00% 0.04% 0.02% 0.09% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Reserve Total Return Portfolio Reserve Benchmark Variance

• 0.04%

0.43%

• 0.04%
• 0.61%

0.60% 0.92% 2.06%

• 0.04%

0.42%

• 0.04%
• 0.61%

0.56% 0.90% 1.97%

• 1.00%
• 0.50%

0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years Year

Reserve Index

July 31, 2018 39

Portfolio Statistics: Historical Total Return

FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 Avg

Core Portfolio 0.21% 0.23% 0.16% 0.15% 0.40% 0.70% 1.51% 0.17% 0.44% Benchmark* 0.04% 0.13% 0.07% 0.00% 0.19% 0.49% 1.37% 0.16% 0.31% Variance 0.17% 0.10% 0.09% 0.06% 0.03% 0.17% 0.14% 0.01% 0.14% *Core Benchmark: 3 Month T-Bill (G0O1)

Figures may not total due to rounding

0.00% 0.02% 0.04% 0.06% 0.08% 0.10% 0.12% 0.14% 0.16% 0.18% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 Percent Variance

Performance Variance: Core vs 3 Mon T-bill

July 31, 2018 40

Portfolio Statistics: Historical Total Return

FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 Avg

Reserve Portfolio 2.38% 0.15% 1.55% 1.38% 2.56%

• 0.25%
• 0.27%
• 0.04%

0.93% Benchmark* 2.36% 0.39% 1.53% 1.39% 2.51%

• 0.30%
• 0.27%
• 0.04%

0.95% Variance 0.02%

• 0.24%

0.02%

• 0.01%

0.05% 0.05% 0.00% 0.00%

• 0.01%

*Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13

Figures may not total due to rounding

• 0.30%
• 0.25%
• 0.20%
• 0.15%
• 0.10%
• 0.05%

0.00% 0.05% 0.10% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 Percent Variance

Performance Variance: Reserve vs 1-5Yr Govt/Corp

July 31, 2018 41

Portfolio Statistics: Monthly & FYTD Total Return

Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.17% Benchmark 0.16% Variance 0.01% Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.17% Benchmark 0.16% Variance 0.01% Monthly Performance Fiscal YTD Performance

Core vs 3 Month T-Bill Index

0.00% 0.02% 0.04% 0.06% 0.08% 0.10% 0.12% 0.14% 0.16% 0.18% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Monthly Performance Comparison

Core Benchmark 0.00% 0.01% 0.02% 0.03% 0.04% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FYTD Performance Variance

July 31, 2018 42

Portfolio Statistics: Monthly & FYTD Total Return

Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve

• 0.04%

Benchmark

• 0.04%

Variance 0.00% Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve

• 0.04%

Benchmark

• 0.04%

Variance 0.00% Monthly Performance* Fiscal YTD Performance*

Reserve vs 1-5 Year Government/Corporate Index

• 0.05%
• 0.04%
• 0.04%
• 0.03%
• 0.03%
• 0.02%
• 0.02%
• 0.01%
• 0.01%

0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Monthly Performance Comparison

Reserve Benchmark

• 0.02%
• 0.01%

0.00% 0.01% 0.02% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FYTD Performance Variance

July 31, 2018 43

Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury

Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve

• 0.08%

Benchmark

• 0.07%
• Mon. Var.
• 0.01%

0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var.

• 0.01%

*Total returns are based upon sub-sector weighted returns Figures may not total due to rounding

Treasury Sector Total Returns

Monthly Variance* Fiscal YTD Variance*

• 0.09%
• 0.08%
• 0.07%
• 0.06%
• 0.05%
• 0.04%
• 0.03%
• 0.02%
• 0.01%

0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Monthly Performance Comparison

Reserve Tsy Benchmark Tsy

• 0.02%
• 0.01%

0.00% 0.01% 0.02% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FYTD Performance Variance

July 31, 2018 44

Portfolio Attribution: Reserve Agency vs. Benchmark Agency

Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.00% Benchmark 0.00%

• Mon. Var.

0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% *Total returns are based upon sub-sector weighted returns Note: Includes U.S. Agencies, Supranationals, and Municipal Securities Figures may not total due to rounding

Agency Sector Total Returns

Monthly Variance* Fiscal YTD Variance*

0.00% 0.01% 0.02% 0.03% 0.04% 0.05% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Monthly Performance Comparison

Reserve Agy Benchmark Agy

• 0.02%
• 0.01%

0.00% 0.01% 0.02% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FYTD Performance Variance

July 31, 2018 45

Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate

Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.04% Benchmark 0.03%

• Mon. Var.

0.01% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.01% *Total returns are based upon sub-sector weighted returns Note: Includes Corporate Bonds and Asset-Backed Securities Figures may not total due to rounding

Corporate Sector Total Returns

Monthly Variance* Fiscal YTD Variance*

0.00% 0.01% 0.02% 0.03% 0.04% 0.05% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Monthly Performance Comparison

Reserve Corp Benchmark Corp

• 0.01%

0.00% 0.01% 0.02% 0.03% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FYTD Performance Variance

July 31, 2018 46

Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA)

Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18

Interest 17.3 16.9 17.4 17.0 17.5 17.7 16.6 18.1 17.8 18.4 17.9 18.6 Price 16.6

• 47.2
• 24.6
• 45.5
• 16.1
• 72.4
• 32.6

9.7

• 47.8

29.4

• 20.0
• 22.8

Total 33.9

• 30.3
• 7.2
• 28.5

1.4

• 54.7
• 16.0

27.8

• 30.0

47.8

• 2.1
• 4.2

Component Total Return

• 100
• 75
• 50
• 25

25 50 75 Basis Points

Monthly Price Return vs Interest Return

Price Return Interest Return

• 60
• 40
• 20

20 40 60 Basis Points

Monthly Total Return

July 31, 2018 47

Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns

Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 AVG

Index 34

• 30
• 7
• 29

1

• 55
• 16

28

• 30

48

• 2
• 4
• 5

Treasury 34

• 34
• 9
• 28
• 1
• 57
• 13

32

• 34

48

• 1
• 9
• 6

Agency 26

• 19
• 4
• 23

2

• 36
• 5

24

• 22

42 1

• 1

Corporate 33

• 14

5

• 30

13

• 48
• 39

5

• 6

48

• 12

24

• 2

Sector Total Returns (Basis Points)

• 75
• 50
• 25

25 50 75 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Basis Points

Index Sector Total Returns

Tsy Agy Corp Govt/Corp Index

July 31, 2018 48

Reserve vs Index: Sector Allocations % of Portfolio/Index

Note: Corporate allocations include Corporate Bonds and Asset-Backed Securities; Agency Allocations include U.S. Agencies, Supranationals, and Municipal Securities

67% 69% 71% 73% 75% 77% 79% 81% 83%

Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18

Percent

Treasury Allocations: Reserve vs Index

Index Reserve 3% 4% 5% 6% 7% 8% 9% 10% 11%

Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18

Percent

Agency Allocations: Reserve vs Index

Index Reserve 11% 12% 13% 14% 15% 16% 17% 18% 19% 20% 21% 22%

Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18

Percent

Corporate Allocations: Reserve vs Index

Index Reserve

July 31, 2018 49

Effective Duration Allocations: Reserve vs. Benchmark

*Calculated using market values

0.0% 2.0% 16.9% 17.2% 13.8% 14.4% 10.6% 10.5% 11.5% 3.2% 0.0% 0.4% 16.6% 18.2% 14.0% 14.8% 12.0% 8.8% 11.2% 3.9%

0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 0-.50 .50-1.00 1.00-1.50 1.50-2.00 2.00-2.50 2.50-3.00 3.00-3.50 3.50-4.00 4.00-4.50 4.50-5.00+ Duration Buckets*

Index Reserve

July 31, 2018 50

Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy

*Calculated using market values

0.0% 1.7% 13.9% 14.2% 10.6% 12.0% 8.7% 8.6% 9.3% 3.0% 0.0% 0.0% 10.5% 11.5% 10.2% 11.1% 8.9% 6.0% 9.2% 3.3%

0% 2% 4% 6% 8% 10% 12% 14% 16% 0-.50 .50-1.00 1.00-1.50 1.50-2.00 2.00-2.50 2.50-3.00 3.00-3.50 3.50-4.00 4.00-4.50 4.50-5.00+ Duration Buckets*

Index Treasury Reserve Treasury

July 31, 2018 51

Effective Duration Allocations: Reserve Agy vs. Benchmark Agy

*Calculated using market values

0.0% 0.2% 1.2% 1.0% 0.8% 0.4% 0.4% 0.2% 0.1% 0.1% 0.0% 0.0% 2.2% 2.2% 0.9% 1.5% 0.8% 1.0% 0.4% 0.0%

0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0% 3.5% 4.0% 0-.50 .50-1.00 1.00-1.50 1.50-2.00 2.00-2.50 2.50-3.00 3.00-3.50 3.50-4.00 4.00-4.50 4.50-5.00+ Duration Buckets*

Index Agency Reserve Agency

July 31, 2018 52

Effective Duration Allocations: Reserve Corp vs. Benchmark Corp

*Calculated using market values

0.0% 0.1% 1.8% 2.0% 2.3% 2.0% 1.6% 1.7% 2.2% 0.1% 0.0% 0.4% 4.0% 4.5% 3.0% 2.2% 2.3% 1.8% 1.6% 0.7%

0% 1% 2% 3% 4% 5% 6% 0-.50 .50-1.00 1.00-1.50 1.50-2.00 2.00-2.50 2.50-3.00 3.00-3.50 3.50-4.00 4.00-4.50 4.50-5.00+ Duration Buckets*

Index Corporate Reserve Corporate

July 31, 2018 53

Total General Portfolio: Credit Quality

S&P Moody's S&P Moody's Market Value % of Port LT Rating LT Rating Issuer Market Value % of Port LT Rating LT Rating U.S. Treasury $5,694,669,000 62.23% AA+ Aaa John Deere $21,700,700 0.24% A A2 FNMA $338,618,055 3.70% AA+ Aaa Capital One Card ABS $21,015,878 0.23% AAA NR IBRD $233,466,850 2.55% AAA Aaa Union Pacific $19,990,700 0.22% A- Baa1 MUFG Bank $178,247,085 1.95% A A1 General Dynamics $19,942,700 0.22% A+ A2 Mizuho Bank $143,522,533 1.57% A A1 Berkshire Hathaway $19,801,300 0.22% AA Aa2 FHLB $132,408,315 1.45% AA+ Aaa Costco $19,472,000 0.21% A+ A1 Bk of New York - Sweep $127,209,000 1.39% AAAm Aaa-mf UnitedHealth Group $18,976,360 0.21% A+ A3 Wells Fargo Bank* $121,983,574 1.33% NR NR Prudential Funding $18,073,379 0.20% AA- A2 IADB $118,327,500 1.29% AAA Aaa Comerica $15,018,450 0.16% BBB+ A3 FHLMC $113,331,050 1.24% AA+ Aaa Bank of America NA $14,985,300 0.16% A+ Aa3 Apple $83,835,000 0.92% AA+ Aa1 Oracle $14,939,250 0.16% AA- A1 US Bank $78,619,500 0.86% AA- A1 Gilead Sciences $14,835,500 0.16% A A3 State of California $78,150,747 0.85% AA- Aa3 Cisco $14,829,200 0.16% AA- A1 Toyota $69,558,075 0.76% AA- Aa3 Precision Castparts $14,774,850 0.16% AA- A2 PNC Bank $68,472,100 0.75% A A2 IFC $14,757,750 0.16% AAA Aaa Toronto Dominion $60,483,161 0.66% AA- Aa1 Georgia Power Company $14,733,300 0.16% A- Baa1 Philip Morris $58,079,800 0.63% A A2 Intel $14,588,250 0.16% A+ A1 Citibank $54,543,550 0.60% A+ A1 Procter & Gamble $14,582,300 0.16% AA- Aa3 Bank of New York Mellon $54,436,450 0.59% A A1 Mastercard $14,550,450 0.16% A A2 Pepsico $53,947,800 0.59% A+ A1 Public Service Electric $11,900,880 0.13% A Aa3 Citibank Credit Card ABS $49,269,000 0.54% AAA Aaa Chase Credit Card ABS $11,861,160 0.13% AAA NR American Honda $44,188,250 0.48% A+ A2 Charles Schwab $10,015,400 0.11% A A2 United Parcel $43,793,891 0.48% A+ A1 KeyBank $9,997,100 0.11% A- A3 Intercontinental Exg $42,185,892 0.46% A A2 M & T Corp $9,992,300 0.11% A- A3 Microsoft $41,326,950 0.45% AAA Aaa American Express Corp $9,989,600 0.11% BBB+ A3 IBM $39,367,700 0.43% A+ A1 Home Depot $9,953,100 0.11% A A2 Caterpillar $39,133,100 0.43% A A3 Nevada Power $9,943,700 0.11% A+ A2 Archer Daniels $35,643,698 0.39% A A2 State Street $9,909,600 0.11% A A1 JPMorgan Chase & Co $34,616,150 0.38% A- A3 BB&T Corp $9,897,200 0.11% A- A2 Honeywell $33,865,650 0.37% A A2 American Express $9,868,700 0.11% A- A2 AMEX Card ABS $31,818,840 0.35% AAA Aaa Wells Fargo & Co $9,866,400 0.11% A- A2 Coca Cola $31,658,600 0.35% A+ Aa3 JPMorgan Chase Bank $9,863,400 0.11% A+ Aa3 Morgan Stanley $29,914,468 0.33% BBB+ A3 Qualcomm $9,846,600 0.11% A- A2 Exxon Mobil $29,651,000 0.32% AA+ Aaa Visa $9,832,900 0.11% A+ A1 M&T Trust $29,621,200 0.32% A A3 US Bancorp $9,770,100 0.11% A+ A1 Chevron $29,583,200 0.32% AA- Aa2 Pfizer $9,761,600 0.11% AA A1 Johnson & Johnson $29,465,400 0.32% AAA Aaa United Tech $9,615,400 0.11% A- A3 Walt Disney $29,316,950 0.32% A+ A2 Automatic Data Processing $4,935,100 0.05% AA Aa3 BMW $25,980,041 0.28% A+ A1 Danaher $4,920,100 0.05% A A2 Unilever $25,949,394 0.28% A+ A1 Public Storage $4,799,050 0.05% A A2 Branch Banking and Trust $24,421,750 0.27% A A1 Dreyfus Cash Mgmt $4,791,083 0.05% AAAm Aaa-mf Goldman Sachs $22,721,969 0.25% A+ A1 Total $9,150,300,657 100.00% Hershey $22,000,330 0.24% A A1

*Checking Account

Issuer July 31, 2018 54

Total General Portfolio Transactions

Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18

Buys 33 35 26 37 46 41 41 43 43 39 31 39 Sells/Calls 1 Total 33 35 26 37 47 41 41 43 43 39 31 39

Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18

Buys 6 9 10 8 6 9 4 2 8 11 8 6 Sells/Calls 4 11 9 9 8 6 6 5 7 10 2 5 Total 10 20 19 17 14 15 10 7 15 21 10 11

Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18

Buys 39 44 36 45 52 50 45 45 51 50 39 45 Sells/Calls 4 11 9 9 9 6 6 5 7 10 2 5 Total 43 55 45 54 61 56 51 50 58 60 41 50

Core Transactions Reserve Transactions Total Transactions

10 20 30 40 50 60 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18

Total Monthly Transactions

Buys* Sells**

*Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core July 31, 2018 55

Portfolio Transactions: Reserve Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action* 7/11/18 American Honda Corp 7/14/23 10,000,000 Buy 7/16/18 Citibank Corp 7/23/21 10,000,000 Buy 7/18/18 Toyota Corp 7/18/19 10,000,000 Transfer 7/19/18 M&T Corp Corp 7/26/23 10,000,000 Buy 7/23/18 Morgan Stanley Corp 7/23/19 10,110,000 Transfer 7/25/18 M&T Trust Corp 7/25/19 10,000,000 Transfer 7/26/18 Comerica Corp 7/31/23 15,000,000 Buy 7/31/18 American Express Corp 8/3/23 10,000,000 Buy 7/31/18 U.S. Treasury Note Tsy 7/31/19 25,000,000 Sell 7/31/18 U.S. Treasury Note Tsy 7/31/23 60,000,000 Buy 7/31/18 U.S. Treasury Note Tsy 7/31/19 80,000,000 Transfer

*"Transfer" is from Reserve to Core July 31, 2018 56

Portfolio Transactions: Core Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action* 7/2/18 San Diego Gas & Electric CP 7/3/18 35,000,000 Buy 7/2/18 Praxair CP 7/5/18 15,000,000 Buy 7/2/18 Prudential Funding CP 7/3/18 49,000,000 Buy 7/2/18 MUFG Bank CP 7/18/18 45,000,000 Buy 7/3/18 FHLB DN Agy 7/13/18 17,731,000 Buy 7/5/18 FHLB DN Agy 7/11/18 3,825,000 Buy 7/6/18 MUFG Bank CP 7/26/18 60,067,000 Buy 7/6/18 MUFG Bank CP 7/19/18 26,819,000 Buy 7/6/18 MUFG Bank CP 7/18/18 25,983,000 Buy 7/9/18 Toyota CP 7/31/18 33,560,000 Buy 7/10/18 FHLB DN Agy 8/29/18 92,775,000 Buy 7/10/18 FHLB DN Agy 8/1/18 25,000,000 Buy 7/10/18 IBRD DN Supra 8/1/18 175,000,000 Buy 7/11/18 Prudential Funding CP 7/13/18 93,320,000 Buy 7/12/18 BMW CP 8/14/18 26,000,000 Buy 7/12/18 Mizuho Bank CP 8/15/18 115,000,000 Buy 7/12/18 MUFG Bank CP 8/13/18 25,000,000 Buy 7/12/18 MUFG Bank CP 8/2/18 40,000,000 Buy 7/12/18 MUFG Bank CP 8/1/18 30,000,000 Buy 7/12/18 MUFG Bank CP 7/31/18 15,000,000 Buy 7/12/18 MUFG Bank CP 7/30/18 25,000,000 Buy 7/12/18 MUFG Bank CP 7/20/18 15,000,000 Buy 7/17/18 Prudential Funding CP 8/16/18 18,089,000 Buy 7/18/18 MUFG Bank CP 8/30/18 32,225,000 Buy 7/18/18 Toyota Corp 7/18/19 10,000,000 Transfer 7/19/18 MUFG Bank CP 8/13/18 22,267,000 Buy 7/20/18 Intercontinental Exg CP 8/30/18 18,695,000 Buy 7/23/18 Unilever CP 9/4/18 26,000,000 Buy 7/23/18 Morgan Stanley Corp 7/23/19 10,110,000 Transfer 7/24/18 Mizuho Bank CP 9/26/18 28,710,000 Buy 7/24/18 IADB DN Supra 8/31/18 25,000,000 Buy 7/24/18 IADB DN Supra 8/31/18 25,000,000 Buy

*"Transfer" is from Reserve to Core July 31, 2018 57

Portfolio Transactions: Core Portfolio (continued)

Trade Date Issuer Type Maturity Date Par Amount Action* 7/25/18 MUFG Bank CP 8/31/18 28,900,000 Buy 7/25/18 M&T Trust Corp 7/25/19 10,000,000 Transfer 7/27/18 Archer Daniels CP 8/30/18 10,700,000 Buy 7/27/18 Archer Daniels CP 8/28/18 25,000,000 Buy 7/30/18 Toyota CP 9/11/18 25,000,000 Buy 7/31/18 United Parcel CP 9/4/18 34,163,000 Buy 7/31/18 U.S. Treasury Note Tsy 7/31/19 80,000,000 Buy

*"Transfer" is from Reserve to Core July 31, 2018 58