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

January 31, 2018

Economic Update: Overall Economy

* Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 1/31/2018

3.9 2.7 2.5

• 1.5

2.9 0.8 4.6 2.7 1.9 0.5 0.1 2.8 0.8 3.1 4.0

• 0.9

4.6 5.2 2.0 3.2 2.7 1.6 0.5 0.6 2.2 2.8 1.8 1.2 3.1 3.2 2.6 2.7 2.7 2.7 2.5

• 3
• 2
• 1

1 2 3 4 5 6

Q2 2010 Q3 2010 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

Percent

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

January 31, 2018 2

Economic Update: Employment

*Los Angeles area unemployment is not seasonally adjusted. Data Source: Bloomberg 12 Month Average Monthly Job Change: 176,167 50 100 150 200 250 300 350 400 Jul-13 Oct-13 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 Thousands

Monthly Non-Farm Payrolls

3 4 5 6 7 8 9 10 11 Jul-13 Oct-13 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 Percent

Unemployment Rates

California LA Area U.S.A

January 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 Jul-13 Oct-13 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 Percent

U.S. Retail Sales* YOY % Change

$400 $410 $420 $430 $440 $450 $460 $470 $480 $490 $500 Jul-13 Oct-13 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 Billions

Total Monthly U.S. Retail Sales

January 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 Jul-13 Oct-13 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 Percent

CPI and CPIX* YOY % Change

CPI CPIX

• 5.7
• 0.7

1.6 2.0 2.1 2.3 2.9 3.1 5.7

• 7
• 5
• 3
• 1

1 3 5 7 Communication Apparel Food Education CPI Services Wages Shelter Energy Percent

Sector YOY % Price Changes

January 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 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 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 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Jan-17 Jul-17 Oil-Per Barrel

Gold-Per Ounce

Gold and Oil

Gold Oil

January 31, 2018 6

Economic Update: Sector Returns YTD

As of:

Data Source: Bloomberg

1/31/18

• 4.3
• 3.3
• 2.2
• 1.1
• 0.9
• 0.3
• 0.2

0.1 1.2 2.2 2.5 3.8 3.8 4.4 4.5 5.2 5.6 5.7 6.9 8.6 8.8

• 6
• 4
• 2

2 4 6 8 10 Percent

January 31, 2018 7

Economic Update: S&P 500 Returns

As of:

Data Source: Bloomberg

1/31/18

• 3.1

1.6 2.6 3.6 4.0 5.4 6.6 6.6 7.0 9.2

• 4
• 2

2 4 6 8 10 Percent

YTD S&P 500 Major Sector Returns

January 31, 2018 8

Economic Update: Yield Curve FYTD

Maturity 6/30/17 1/31/18 Change

Data Source: Bloomberg Figures may not total due to rounding

3M 1.01 1.46 0.45 6M 1.13 1.65 0.52 1Y 1.23 1.89 0.66 2Y 1.38 2.14 0.76 3Y 1.55 2.29 0.74 30Y 2.84 2.94 0.10 5Y 1.89 2.52 0.63 10Y 2.31 2.71 0.40 0.9 1.1 1.3 1.5 1.7 1.9 2.1 2.3 2.5 2.7 2.9 3.1

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

U.S. Treasury Yield Curve

6/30/17 1/31/18

January 31, 2018 9

Economic Update: Interest Rates

Data Source: Bloomberg

• 0.20

0.00 0.20 0.40 0.60 0.80 1.00 1.20 1.40 1.60 1.80 2.00 Jan-15 Mar-15 May-15 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 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 Jan-15 Mar-15 May-15 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 Percent

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

5Y 2Y

January 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 Jun-11 Oct-11 Feb-12 Jun-12 Oct-12 Feb-13 Jun-13 Oct-13 Feb-14 Jun-14 Oct-14 Feb-15 Jun-15 Oct-15 Feb-16 Jun-16 Oct-16 Feb-17 Jun-17 Oct-17 Basis Point Spread

Spread*: 1-5 Yr Agency vs Treasury

45 25 50 75 100 125 150 175 200 225 Jun-11 Oct-11 Feb-12 Jun-12 Oct-12 Feb-13 Jun-13 Oct-13 Feb-14 Jun-14 Oct-14 Feb-15 Jun-15 Oct-15 Feb-16 Jun-16 Oct-16 Feb-17 Jun-17 Oct-17 Basis Point Spread

Spread*: 1-5 Yr Corporate vs Treasury

January 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

Mkt Value % of Total Average Maturity (Yrs)** Effective Duration** 100% 0.21 0.24 $9,230,604,739 $2,367,701,031

• $6,984,160,373
• $2,368,919,991
• $6,861,684,748
• Book Value

Variance 2.10 1.58%

• 1.68%
• Total General

Portfolio Weighted Purchase Yield## Market Value $9,351,861,404 $1,218,960

• ($122,475,625)
• ($121,256,665)

1.66% 25.7%

• 74.3%

2.01 Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # 0.19 0.23 2.63 2.62 2.75 2.75

• January 31, 2018

12

Total General Portfolio: Maturity Distribution

1/31/18 12/31/17 Variance 0-.25 .5 to 1

• 1.4%
• 0.1%

0.8% 0.8% 3.6% 22.7% Years 21.3% .25 to .5 21.1% 15.8% 13.5% 0.4% 1.0%

• 1.1%

0.9% 2.8% 23.2% 0.4% 23.6% 3 to 4 4 to 5+ 21.5% 16.8% 12.4% 1 to 2 2 to 3 0% 5% 10% 15% 20% 25% 0-.25 .25 to .5 .5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ 1/31/18 12/31/17

January 31, 2018 13

Sector Allocations: Total General Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Total 100.0% 100.0%

January 31, 2018

MMFs 0.7% 19.4% 15.3% 0.9% 54.9% Negotiable CDs Agencies* Treasuries 0.1% 0.0% Bank Deposits CDARS Commercial Paper Corporate Notes ABS 55.5% 0.1% 0.0% 0.0% 0.0% 9.4%

• 1.6%

7.8% Sector 1/31/2018 12/31/2017 Variance 0.0% 0.2% 0.0% 0.0% 18.8% 0.6% 15.1% 0.2% 0.9% 0.9% 1.1% 0.0% Bank Dep 1.1% CP 19.4% CORP 15.3% MMF 0.1% ABS 0.9% Agy 7.8% Tsy 55.5%

January 31, 2018 14

Sector Allocations: Core Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

0.0% 0.0% 0.0% 0.0% 100.0% 6.6% 1.0% 9.3%

• 4.6%

Corporate Notes 7.9% 9.1%

• 1.2%

MMFs 0.3% 0.3% 0.0% Commercial Paper 75.5%

Core Portfolio

CDARS 0.0% 71.4%

January 31, 2018

4.1% Sector 1/31/2018 12/31/2017 Variance Bank Deposits 4.1% 3.4% 0.7% Total 100.0% Negotiable CDs 0.0% Treasuries 7.6% Agencies* 4.7% Bank Dep 4.1% CP 75.5% Corp 7.9% MMF 0.3% Agy 4.7% Tsy 7.6%

January 31, 2018 15

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

Corporate Notes 0.52 1.75% 8.2% Commercial Paper 0.11 1.62% 78.7%

Core Portfolio

Negotiable CDs 0.00 0.00 0.0% Sector WAM (Yrs.) Purchase Yield % of Portfolio* Agencies** 0.53 1.50% 4.9% Total 0.22 1.58% 100.0% Treasuries 0.89 1.12% 7.9% Money Market 0.00 0.94% 0.3%

Corp CP Agy

Tsy

MMF

0.9% 1.0% 1.1% 1.2% 1.3% 1.4% 1.5% 1.6% 1.7% 1.8% 1.9%

• 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 January 31, 2018 16

Sector Allocations: Reserve Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Variance Treasuries 72.1% 72.1% 0.0%

Reserve Portfolio

January 31, 2018

ABS 1.2% Agencies* 8.8% 9.4%

• 0.6%

Corporate Notes 17.8% 17.3% 0.6% 0.0% Sector 1/31/2018 12/31/2017 Total 100.0% 100.0% 1.2% Corp 17.8% ABS 1.2% Agy 8.8% Tsy 72.1%

January 31, 2018 17

Sector Allocations: Purchase Yield vs. Weighted Average Maturity

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

Figures may not total due to rounding

Reserve Portfolio

Total 2.75 1.68% 100.0% 2.19% 1.71% 72.1% Treasuries 2.74 Agencies** Corporate Notes % of Portfolio* Purchase Yield WAM (Yrs.) 2.69 Sector ABS 3.98 8.8% 1.55% 2.71 17.8% 1.2% 1.78%

Tsy Agy Corp

ABS 1.40% 1.50% 1.60% 1.70% 1.80% 1.90% 2.00% 2.10% 2.20% 2.30% 0.0 1.0 2.0 3.0 4.0 5.0

Purchase Yield WAM Years

Bubble size = Sector's % of Portfolio January 31, 2018 18

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

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

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

Billions

Reserve

January 31, 2018 19

Total General Portfolio: Market Value

Total General Portfolio Market Value

$4.5 $5.5 $6.5 $7.5 $8.5 $9.5 $10.5 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 Billions

January 31, 2018 20

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

Reserve Core

January 31, 2018 21

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.

Supranational Obligations 5 Years Complies Banker's Acceptances Complies Complies-none in portfolio Complies-none in portfolio Complies-none in portfolio Complies Complies Complies-none in portfolio Complies Complies-none in portfolio 180 Days Reverse Repo/Securities Lending Corporate Notes

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

January 31, 2018 22

Portfolio Compliance with Code, Policy, and Guidelines

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-none in portfolio 20% $65 Million Per Account 30% 10%

Sector

Government Securities Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Complies Repurchase Agreements Reverse Repo/Securities Lending Complies Complies Complies Complies-none in portfolio Complies 5% Reverse Repo/20% Revs. Repo +Sec Lending Complies 30% Corporate Notes

Percentage Allocation Limitations

Complies-none in portfolio 20% Combined with ABS 20% Combined with MBS Complies-none in portfolio Complies 15%

Limit

100% 40% 180 Days 1 Year

Compliance

January 31, 2018 23

Portfolio Compliance with Code, Policy, and Guidelines

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 From Approved List Complies

Issuer and Transaction Limitations -- Approved Issuers

Item Limit

Government Issuer 100% Complies

Compliance

January 31, 2018 24

Portfolio Compliance with Code, Policy, and Guidelines

Portfolio Maturity Limitations and Duration Ranges

Core Portfolio

Effective Duration 1-5 Govt/Corp Index +/- .10 Complies: 2.63 vs 2.62

Item Limit Compliance

Maturity Limitation One Year Complies

Reserve Portfolio

Item Limit Compliance

January 31, 2018 25

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 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 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 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 Duration

Core Duration

Core Benchmark

January 31, 2018 26

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 Percent

Reserve Total Portfolio Core

January 31, 2018 27

Purchase Yield Per 3-Month Maturity Intervals

*Based on Par Value

Core Portfolio

Months Purchase Yield % of Portfolio* 0 to 3 1.61% 82.13% 3 to 6 1.78% 3.30% 6 to 9 1.92% 2.43% 9 to 12 1.30% 12.14% Total 1.58% 100.00%

1.61% 1.78% 1.92% 1.30%

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

Purchase Yield Years

Bubble Size = Maturity's % of Portfolio January 31, 2018 28

Purchase Yield Per 6-Month Maturity Intervals

*Based on Par Value

3.5 to 4.0 1.81% 9.98% 1.0 to 1.5 1.47% 15.74% 1.5 to 2.0 1.57% 15.06% 2.0 to 2.5 1.62% 17.32% 2.5 to 3.0 1.64% 10.51% 3.0 to 3.5 Years Purchase Yield % of Portfolio* .5 to 1.0 0.00 0.00%

Reserve Portfolio

Total 1.68% 100.00% 4.0 to 4.5 4.5 to 5.0+ 1.98% 2.23% 12.13% 5.99% 1.53% 13.26%

1.47% 1.57% 1.62% 1.64% 1.53% 1.81% 1.98% 2.23%

1.2% 1.4% 1.6% 1.8% 2.0% 2.2% 2.4% 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 January 31, 2018 29

Purchase Yield Per 6-Month Maturity Intervals

*Based on Par Value

Purchase Yield % of Portfolio* Total 1.66% 100.00% 4.5 to 5+ 12.37% 3.5 to 4.0 3.0 to 3.5 4.0 to 4.5 2.5 to 3.0 1.64% 7.90% 2.23% 4.50% 1.81% 7.50% 1.53% 9.96% 1.98% 9.12%

Total General Portfolio

1.5 to 2.0 1.57% 11.32% 2.0 to 2.5 1.62% 13.02% 0 to 0.5 1.62% 21.25% 0.5 to 1.0 1.39% 3.08% Years 1.0 to 1.5 1.48% 1.62% 1.39% 1.48% 1.57% 1.62% 1.64% 1.53% 1.81% 1.98% 2.23%

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

• 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 January 31, 2018 30

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 Duration

Reserve Total Portfolio Core

January 31, 2018 31

Total General Portfolio Statistics: Sector Allocation History

Sector Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Tsy 53.7% 55.2% 52.3% 47.7% 51.4% 55.7% 57.0% 56.9% 56.8% 57.6% 54.9% 55.5% Agy 10.4% 8.7% 8.4% 10.5% 16.4% 12.0% 10.5% 9.4% 9.5% 10.7% 9.4% 7.8% Corp 15.3% 16.2% 15.7% 15.4% 15.7% 17.0% 16.9% 16.4% 16.9% 16.9% 15.1% 15.3% CP 19.3% 18.7% 22.0% 24.9% 12.9% 13.2% 13.6% 14.9% 13.2% 12.6% 18.8% 19.4%

• 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 0.0% 0.1% 0.4% 0.5% 0.8% 0.8% 0.8% 1.0% 1.0% 1.0% 0.9% 0.9% Bank 1.2% 1.0% 1.2% 1.1% 3.0% 1.3% 1.1% 1.4% 2.6% 1.3% 1.0% 1.1% 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

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 Tsy Agy Corp CP Bank/Sweep ABS MBS

• Neg. CDS

CDARS

January 31, 2018 32

Book Return: Core Portfolio

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

1.18% 1.24% 1.23% 1.29% 1.33% 1.41% 1.54% 1.15% 1.16% 1.16% 1.17% 1.25% 1.43% 1.51% 0.03% 0.08% 0.07% 0.12% 0.08%

• 0.02%

0.03% 0.00% 0.00% 0.00% 0.00% 0.00%

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% 1.33% 0.28% 0.19% 0.13% 0.15% 0.33% 0.73% 1.26% 0.73% 1.08% 0.43% 0.26% 0.31% 0.05% 0.07% 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). 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* 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 Percent Variance

Performance Variance: Core vs Benchmark

1.10% 1.20% 1.30% 1.40% 1.50% 1.60% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Percent Variance

Performance Variance: Core vs Benchmark

Core Benchmark

January 31, 2018 33

Book Return: Reserve Portfolio

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

1.56% 1.61% 1.61% 1.51% 1.53% 1.56% 1.57% 1.22% 1.24% 1.25% 1.30% 1.33% 1.36% 1.41% 0.34% 0.37% 0.36% 0.21% 0.20% 0.20% 0.16% 0.00% 0.00% 0.00% 0.00% 0.00%

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% 1.57% 0.96% 0.66% 0.59% 0.76% 0.94% 1.08% 1.30% 0.95% 0.89% 0.93% 0.65% 0.49% 0.34% 0.27% *Reserve Benchmark: 24 month moving average of the ICE BofAML 1-5 year U.S. Government and U.S. Corporate A-AAA Index (BU10). 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

Performance Variance: Reserve vs Benchmark

1.15% 1.25% 1.35% 1.45% 1.55% 1.65% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Percent Variance

Performance Variance: Reserve vs Benchmark

Reserve Benchmark

January 31, 2018 34

Book Return: Combined Portfolios

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

1.47% 1.54% 1.52% 1.47% 1.49% 1.57% 1.21% 1.22% 1.23% 1.27% 1.31% 1.43% 0.26% 0.32% 0.29% 0.20% 0.18% 0.14% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

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% 1.52% 0.83% 0.57% 0.50% 0.64% 0.82% 1.00% 1.30% 0.93% 0.94% 0.86% 0.55% 0.58% 0.29% 0.22% *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

Performance Variance: Combined vs Benchmark

1.15% 1.25% 1.35% 1.45% 1.55% 1.65% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Percent Variance

Performance Variance: Combined vs Benchmark

Combined Benchmark

January 31, 2018 35

Portfolio Statistics: Monthly Total Return

Core Benchmark Variance Reserve Benchmark Variance

0.14% 0.12% 0.02%

• 0.54%
• 0.55%

0.01%

Sector Core Benchmark Treasury 0.09% 0.12% Agency 0.14% 0.00% Treasury

• 0.58%

0.72

• 0.57%

0.81

0.04%

Corporate 0.14% 0.00% Agy/Muni

• 0.42%

0.09

• 0.36%

0.05

• 0.02%

Corp/ABS

• 0.47%

0.19

• 0.48%

0.14

• 0.02%

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.

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

Weighted Variance 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)

Attribution of Sub-Sector Returns

• 0.65%
• 0.55%
• 0.45%
• 0.35%
• 0.25%
• 0.15%
• 0.05%

0.05%

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%

Core Benchmark

Percent Variance

Core vs Benchmark

January 31, 2018 36

Total Return Performance: Core vs. Benchmark

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

0.14% 0.34% 0.75% 1.12% 0.64% 0.45% 0.64% 0.12% 0.31% 0.67% 0.93% 0.45% 0.29% 0.36% 0.02% 0.03% 0.08% 0.19% 0.19% 0.16% 0.28% *Core Benchmark: 3 Month T-Bill (G0O1) Portfolio Core Benchmark Variance Core Total Return

0.14% 0.34% 0.75% 1.12% 0.64% 0.45% 0.64% 0.12% 0.31% 0.67% 0.93% 0.45% 0.29% 0.36%

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

Core Index

January 31, 2018 37

Total Return Performance: Reserve vs. Benchmark

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

• 0.54%
• 0.82%
• 0.54%

0.15% 0.57% 0.84% 2.08%

• 0.55%
• 0.82%
• 0.54%

0.13% 0.53% 0.82% 1.96% 0.01% 0.00% 0.00% 0.02% 0.04% 0.02% 0.12% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Reserve Total Return Portfolio Reserve Benchmark Variance

• 0.54%
• 0.82%
• 0.54%

0.15% 0.57% 0.84% 2.08%

• 0.55%
• 0.82%
• 0.54%

0.13% 0.53% 0.82% 1.96%

• 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

January 31, 2018 38

Portfolio Statistics: Historical Total Return

FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FYTD 18 Avg

Core Portfolio 0.22% 0.21% 0.23% 0.16% 0.15% 0.40% 0.70% 0.75% 0.35% Benchmark* 0.19% 0.04% 0.13% 0.07% 0.00% 0.19% 0.49% 0.67% 0.22% Variance 0.03% 0.17% 0.10% 0.06% 0.03% 0.17% 0.21% 0.08% 0.13% *Core Benchmark: 3 Month T-Bill (G0O1)

Figures may not total due to rounding

0.00% 0.05% 0.10% 0.15% 0.20% 0.25% FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FYTD 18 Percent Variance

Performance Variance: Core vs 3 Mon T-bill

January 31, 2018 39

Portfolio Statistics: Historical Total Return

FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FYTD 18 Avg

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

• 0.25%
• 0.54%

1.22% Benchmark* 2.67% 2.36% 0.39% 1.53% 1.39% 2.51%

• 0.30%
• 0.54%

1.25% Variance

• 0.11%

0.02%

• 0.24%

0.02%

• 0.01%

0.05% 0.05% 0.00%

• 0.03%

*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 11 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FYTD 18 Percent Variance

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

January 31, 2018 40

Portfolio Statistics: Monthly & FYTD Total Return

Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.10% 0.11% 0.10% 0.10% 0.10% 0.10% 0.14% Benchmark 0.09% 0.09% 0.09% 0.09% 0.08% 0.11% 0.12% Variance 0.01% 0.02% 0.01% 0.01% 0.02%

• 0.01%

0.02% Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.10% 0.21% 0.31% 0.41% 0.51% 0.61% 0.75% Benchmark 0.09% 0.18% 0.27% 0.36% 0.44% 0.55% 0.67% Variance 0.01% 0.03% 0.04% 0.05% 0.07% 0.06% 0.08% 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% 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% 0.05% 0.06% 0.07% 0.08% 0.09% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FYTD Performance Variance

January 31, 2018 41

Portfolio Statistics: Monthly & FYTD Total Return

Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.31% 0.33%

• 0.29%
• 0.07%
• 0.30%

0.02%

• 0.54%

Benchmark 0.31% 0.34%

• 0.30%
• 0.07%
• 0.28%

0.01%

• 0.55%

Variance 0.00%

• 0.01%

0.01% 0.00%

• 0.02%

0.01% 0.01% Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.31% 0.64% 0.35% 0.28%

• 0.02%

0.00%

• 0.54%

Benchmark 0.31% 0.65% 0.35% 0.28% 0.00% 0.01%

• 0.54%

Variance 0.00%

• 0.01%

0.00% 0.00%

• 0.02%
• 0.01%

0.00% Monthly Performance* Fiscal YTD Performance*

Reserve vs 1-5 Year Government/Corporate Index

• 0.60%
• 0.50%
• 0.40%
• 0.30%
• 0.20%
• 0.10%

0.00% 0.10% 0.20% 0.30% 0.40% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Monthly Performance Comparison

Reserve Benchmark

• 0.03%
• 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

January 31, 2018 42

Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury

Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.20% 0.24%

• 0.24%
• 0.08%
• 0.21%

0.00%

• 0.42%

Benchmark 0.23% 0.28%

• 0.28%
• 0.07%
• 0.23%
• 0.01%
• 0.46%
• Mon. Var.
• 0.03%
• 0.04%

0.04%

• 0.01%

0.02% 0.01% 0.04% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var.

• 0.03%
• 0.07%
• 0.03%
• 0.04%
• 0.02%
• 0.01%

0.03% *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*

• 0.50%
• 0.40%
• 0.30%
• 0.20%
• 0.10%

0.00% 0.10% 0.20% 0.30% 0.40% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Monthly Performance Comparison

Reserve Tsy Benchmark Tsy

• 0.08%
• 0.06%
• 0.04%
• 0.02%

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

FYTD Performance Variance

January 31, 2018 43

Portfolio Attribution: Reserve Agency vs. Benchmark Agency

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

• 0.03%

0.00%

• 0.02%

0.00%

• 0.04%

Benchmark 0.01% 0.01%

• 0.01%

0.00%

• 0.01%

0.00%

• 0.02%
• Mon. Var.

0.02% 0.02%

• 0.02%

0.00%

• 0.01%

0.00%

• 0.02%

Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.02% 0.04% 0.02% 0.02% 0.01% 0.01%

• 0.01%

*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*

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

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

FYTD Performance Variance

January 31, 2018 44

Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate

Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.08% 0.06%

• 0.02%

0.00%

• 0.06%

0.02%

• 0.09%

Benchmark 0.07% 0.04%

• 0.02%

0.01%

• 0.04%

0.02%

• 0.07%
• Mon. Var.

0.01% 0.02% 0.00%

• 0.01%
• 0.02%

0.00%

• 0.02%

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

• 0.02%

*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*

• 0.10%
• 0.08%
• 0.06%
• 0.04%
• 0.02%

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

Monthly Performance Comparison

Reserve Corp Benchmark Corp

• 0.03%
• 0.02%
• 0.01%

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

January 31, 2018 45

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

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

Interest 16.2 17.4 17.1 17.4 16.8 17.3 17.3 16.9 17.4 17.0 17.5 17.7 Price 2.7

• 12.0

15.0 6.6

• 29.9

13.4 16.6

• 47.2
• 24.6
• 45.5
• 16.1
• 72.4

Total 18.9 5.4 32.1 24.0

• 13.1

30.7 33.9

• 30.3
• 7.2
• 28.5

1.4

• 54.7

Component Total Return

• 100
• 75
• 50
• 25

25 50 Basis Points

Monthly Price Return vs Interest Return

Price Return Interest Return

• 60
• 50
• 40
• 30
• 20
• 10

10 20 30 40 Basis Points

Monthly Total Return

January 31, 2018 46

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

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

Index 19 5 32 32

• 13

31 34

• 30
• 7
• 29

1

• 55

2 Treasury 15 5 31 22

• 15

28 34

• 34
• 9
• 28
• 1
• 57
• 1

Agency 17 5 23 21

• 6

26 26

• 19
• 4
• 23

2

• 36

3 Corporate 43 6 42 37

• 3

49 33

• 14

5

• 30

13

• 48

11

Sector Total Returns (Basis Points)

• 75
• 50
• 25

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

Index Sector Total Returns

Tsy Agy Corp Govt/Corp Index

January 31, 2018 47

Reserve vs Index: Sector Allocations % of Portfolio/Index

64% 66% 68% 70% 72% 74% 76% 78% 80% 82%

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

Percent

Treasury Allocations: Reserve vs Index

Index Reserve 4% 5% 6% 7% 8% 9% 10% 11% 12%

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

Percent

Agency Allocations: Reserve vs Index

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

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

Percent

Corporate Allocations: Reserve vs Index

Index Reserve

January 31, 2018 48

Effective Duration Allocations: Reserve vs. Benchmark

*Calculated using market values

0.0% 0.0% 16.0% 16.0% 13.5% 13.2% 10.8% 10.6% 9.8% 10.0% 0.0% 0.0% 17.0% 16.1% 17.2% 15.2% 10.0% 12.5% 7.9% 4.0%

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

January 31, 2018 49

Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy

*Calculated using market values

0.0% 0.0% 12.9% 13.1% 11.0% 10.5% 8.8% 8.7% 8.1% 8.1% 0.0% 0.0% 12.2% 10.3% 11.9% 12.2% 8.1% 9.6% 4.7% 3.1%

0% 2% 4% 6% 8% 10% 12% 14% 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

January 31, 2018 50

Effective Duration Allocations: Reserve Agy vs. Benchmark Agy

*Calculated using market values

0.0% 0.0% 1.0% 1.4% 0.6% 0.8% 0.3% 0.4% 0.1% 0.2% 0.0% 0.0% 1.1% 2.2% 1.9% 0.6% 0.8% 0.8% 1.0% 0.4%

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

January 31, 2018 51

Effective Duration Allocations: Reserve Corp vs. Benchmark Corp

*Calculated using market values

0.0% 0.0% 2.1% 1.6% 1.9% 1.9% 1.7% 1.5% 1.6% 1.7% 0.0% 0.0% 3.7% 3.6% 3.3% 2.4% 1.1% 2.1% 2.2% 0.5%

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

January 31, 2018 52

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 $5,127,088,700 55.54% AA+ Aaa Capital One Cards ABS $21,025,480 0.23% AAA NR Bank Tokyo-Mitsubishi $358,046,512 3.88% A A1 Stryker $19,982,800 0.22% A Baa1 FNMA $335,504,500 3.63% AA+ Aaa Wells Fargo & Co $19,898,300 0.22% A A2 Toronto Dominion $269,249,105 2.92% AA- Aa2 Qualcomm $19,849,800 0.22% A A1 Mizuho Bank $221,879,552 2.40% A A1 Berkshire Hathaway $19,827,400 0.21% AA Aa2 Toyota $202,753,604 2.20% AA- Aa3 Costco $19,701,000 0.21% A+ A1 Exxon Mobil $163,806,403 1.77% AA+ Aaa Mastercard $17,665,920 0.19% A A2 BNP Paribas $138,549,514 1.50% A Aa3 Siemens Capital $16,963,804 0.18% A+ A1 Apple $100,235,804 1.09% AA+ Aa1 Oracle $14,993,700 0.16% AA- A1 Wells Fargo Bank* $96,996,650 1.05% NR NR Bank of America NA $14,990,250 0.16% A+ Aa3 Intercontinental Exg $91,136,721 0.99% A A2 Gilead Sciences $14,971,350 0.16% A A3 United Parcel $88,796,491 0.96% A+ A1 Precision Castparts $14,951,850 0.16% AA- A2 Microsoft $87,844,317 0.95% AAA Aaa FAMCA $14,896,050 0.16% NR NR Walt Disney $84,505,299 0.92% A+ A2 3M Company $14,867,100 0.16% AA- A1 PNC Bank $84,261,550 0.91% A A2 Georgia Power Company $14,833,950 0.16% A- A3 FHLMC $83,848,600 0.91% AA+ Aaa IFC $14,823,300 0.16% AAA Aaa FHLB $80,316,500 0.87% AA+ Aaa Intel $14,786,700 0.16% A+ A1 US Bank $79,421,300 0.86% AA- A1 Procter & Gamble $14,701,400 0.16% AA- Aa3 State of California $78,825,435 0.85% AA- Aa3 Amex Cards ABS $11,916,360 0.13% AAA NR BMW $76,779,382 0.83% A+ A1 Public Service Electric $11,916,000 0.13% A Aa3 Pfizer $71,874,592 0.78% AA A1 Chase Cards ABS $11,859,360 0.13% AAA NR American Honda $64,392,475 0.70% A+ A2 BB&T Corp $10,016,700 0.11% A- A2 Philip Morris $58,822,800 0.64% A A2 State Street $10,007,100 0.11% A A1 IBRD $58,705,650 0.64% AAA Aaa Charles Schwab $9,999,400 0.11% A A2 Pepsico $54,185,050 0.59% A+ A1 Wisconsin Electric Power $9,991,400 0.11% A- A2 IADB $48,936,500 0.53% AAA Aaa Home Depot $9,968,000 0.11% A A2 Chevron $39,741,800 0.43% AA- Aa2 Visa $9,934,800 0.11% A+ A1 Bank of New York Mellon $39,727,000 0.43% A A1 American Express $9,925,400 0.11% A- A2 IBM $39,677,250 0.43% A+ A1 US Bancorp $9,916,500 0.11% A+ A1 Citibank Credit Card ABS $39,599,200 0.43% AAA NR Citibank $9,900,000 0.11% A+ A1 Caterpillar $39,406,550 0.43% A A3 JPMorgan Chase Bank $9,876,900 0.11% A+ Aa3 General Electric $37,774,978 0.41% A A2 United Tech $9,749,100 0.11% A- A3 JPMorgan Chase & Co $34,836,850 0.38% A- A3 UnitedHealth Group $9,011,730 0.10% A+ A3 Honeywell $34,125,400 0.37% A A2 ING $7,314,411 0.08% A+ Aa3 Coca Cola $31,751,120 0.34% AA- Aa3 Dreyfus Cash Mgmt $7,279,575 0.08% AAAm Aaa-mf Morgan Stanley $30,127,057 0.33% BBB+ A3 Target $7,006,370 0.08% A A2 M&T Trust $29,913,000 0.32% A A3 Danaher $4,989,450 0.05% A A2 Johnson & Johnson $29,592,300 0.32% AAA Aaa Eli Lilly $4,985,400 0.05% AA- A2 Goldman Sachs $26,808,196 0.29% BBB+ A3 Automatic Data Processing $4,982,600 0.05% AA Aa3 Cisco $24,932,000 0.27% AA- A1 Public Storage $4,863,900 0.05% A A2 Branch Banking and Trust $24,810,500 0.27% A A1 Total $9,230,604,739 100.00% John Deere $21,877,920 0.24% A A2

*Checking Account

Issuer January 31, 2018 53

Total General Portfolio Transactions

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

Buys 47 27 30 46 53 49 33 35 26 37 46 41 Sells/Calls 1 Total 47 27 30 46 53 49 33 35 26 37 47 41

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

Buys 10 9 13 13 12 6 6 9 10 8 6 9 Sells/Calls 12 7 9 16 15 7 4 11 9 9 8 6 Total 22 16 22 29 27 13 10 20 19 17 14 15

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

Buys 57 36 43 59 65 55 39 44 36 45 52 50 Sells/Calls 12 7 9 16 15 7 4 11 9 9 9 6 Total 69 43 52 75 80 62 43 55 45 54 61 56

Core Transactions Reserve Transactions Total Transactions

10 20 30 40 50 60 70 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18

Total Monthly Transactions

Buys* Sells**

*Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core January 31, 2018 54

Portfolio Transactions: Reserve Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action* 1/8/18 Wells Fargo & Co Corp 1/15/19 15,000,000 Sell 1/9/18 M&T Trust Corp 1/30/19 6,000,000 Sell 1/17/18 PNC Bank Corp 1/22/21 10,000,000 Buy 1/17/18 FNMA Note Agy 2/19/19 25,000,000 Sell 1/18/18 US Bank Corp 1/23/20 20,000,000 Buy 1/18/18 US Bank Corp 1/23/23 20,000,000 Buy 1/19/18 FNMA Note Agy 1/19/23 15,000,000 Buy 1/19/18 FNMA Note Agy 1/19/23 10,000,000 Buy 1/22/18 M&T Trust Corp 1/25/21 20,000,000 Buy 1/29/18 FNMA Note Agy 1/28/19 35,000,000 Transfer 1/31/18 U.S. Treasury Note Tsy 1/31/20 20,000,000 Buy 1/31/18 U.S. Treasury Note Tsy 7/31/21 45,000,000 Buy 1/31/18 U.S. Treasury Note Tsy 1/31/23 50,000,000 Buy 1/31/18 U.S. Treasury Note Tsy 1/31/19 25,000,000 Sell 1/31/18 U.S. Treasury Note Tsy 1/31/19 50,000,000 Transfer

*"Transfer" is from Reserve to Core January 31, 2018 55

Portfolio Transactions: Core Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action* 1/2/18 Siemens Capital CP 3/22/18 17,000,000 Buy 1/3/18 General Electric CP 3/29/18 37,872,000 Buy 1/4/18 Bank Toyko-Mitsubishi CP 1/12/18 22,880,000 Buy 1/5/18 Bank Toyko-Mitsubishi CP 1/12/18 18,812,000 Buy 1/5/18 Mizuho Bank CP 3/19/18 20,000,000 Buy 1/5/18 Mizuho Bank CP 3/12/18 20,000,000 Buy 1/8/18 Bank Toyko-Mitsubishi CP 4/10/18 25,000,000 Buy 1/8/18 Bank Toyko-Mitsubishi CP 4/11/18 23,949,000 Buy 1/9/18 Bank Toyko-Mitsubishi CP 2/1/18 6,000,000 Buy 1/10/18 BNP Paribas CP 4/16/18 31,825,000 Buy 1/10/18 BNP Paribas CP 1/12/18 40,000,000 Buy 1/11/18 Bank Toyko-Mitsubishi CP 3/1/18 23,011,000 Buy 1/12/18 Exxon Mobil CP 2/1/18 6,385,000 Buy 1/16/18 Microsoft CP 2/1/18 46,404,000 Buy 1/18/18 Intercontinental Exg CP 2/1/18 12,707,000 Buy 1/19/18 Toyota CP 3/1/18 68,284,000 Buy 1/19/18 Bank Toyko-Mitsubishi CP 2/14/18 45,000,000 Buy 1/19/18 BNP Paribas CP 1/23/18 25,000,000 Buy 1/19/18 BNP Paribas CP 1/22/18 10,000,000 Buy 1/19/18 Exxon Mobil CP 4/11/18 53,000,000 Buy 1/19/18 BMW CP 4/11/18 27,000,000 Buy 1/19/18 Intercontinental Exg CP 4/11/18 20,000,000 Buy 1/19/18 American Honda CP 4/11/18 30,000,000 Buy 1/19/18 Exxon Mobil CP 4/2/18 75,000,000 Buy 1/19/18 BMW CP 4/2/18 50,000,000 Buy 1/22/18 Intercontinental Exg CP 2/1/18 24,578,000 Buy 1/23/18 Archer Daniels CP 1/25/18 35,000,000 Buy 1/23/18 Intercontinental Exg CP 2/12/18 13,689,000 Buy 1/24/18 Toronto Dominion CP 4/9/18 20,000,000 Buy 1/24/18 Toronto Dominion CP 4/10/18 12,172,000 Buy 1/25/18 BNP Paribas CP 2/1/18 33,821,000 Buy 1/26/18 Mizuho Bank CP 4/12/18 33,120,000 Buy

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

Portfolio Transactions: Core Portfolio (continued)

Trade Date Issuer Type Maturity Date Par Amount Action* 1/28/19 FNMA Note Agy 1/28/19 35,000,000 Transfer 2/2/18 BNP Paribas CP 2/2/18 33,020,000 Buy 2/1/18 BNP Paribas CP 2/1/18 40,000,000 Buy 3/13/18 Bank Toyko-Mitsubishi CP 3/13/18 20,688,000 Buy 2/1/18 FHLB DN Agy 2/1/18 16,000,000 Buy 4/25/18 Bank Toyko-Mitsubishi CP 4/25/18 34,000,000 Buy 4/24/18 Bank Toyko-Mitsubishi CP 4/24/18 40,000,000 Buy 3/5/18 Bank Toyko-Mitsubishi CP 3/5/18 25,000,000 Buy 1/31/19 U.S. Treasury Note Tsy 1/31/19 50,000,000 Transfer

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