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

August 31, 2018

Economic Update: Overall Economy

* Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 8/31/2018

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 4.2 3.0 2.8 2.4 2.4

• 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)*

Economic Update: Employment

*Los Angeles area unemployment is not seasonally adjusted. Data Source: Bloomberg 12 Month Average Monthly Job Change: 194,167 50 100 150 200 250 300 350 400 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Thousands

Monthly Non-Farm Payrolls

3 4 5 6 7 8 9 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Percent

Unemployment Rates

California LA Area U.S.A

Economic Update: Consumer Activity

*Inflation Adjusted

Data Source: Bloomberg 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 4.50 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Percent

U.S. Retail Sales* YOY % Change

$420 $430 $440 $450 $460 $470 $480 $490 $500 $510 $520 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Billions

Total Monthly U.S. Retail Sales

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 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Percent

CPI and CPIX* YOY % Change

CPI CPIX

• 1.5
• 0.1

1.4 2.7 2.7 2.7 2.9 3.4 10.3

• 4
• 1

2 5 8 11 14 Apparel Communication Food Education CPI Services Wages Shelter Energy Percent

Sector YOY % Price Changes

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 Mar-10 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-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 Mar-10 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Oil-Per Barrel

Gold-Per Ounce

Gold and Oil

Gold Oil

Economic Update: Sector Returns YTD

As of:

Data Source: Bloomberg

8/31/18

• 7.7
• 7.0
• 5.3
• 5.2
• 4.7
• 3.2
• 1.6
• 1.6
• 1.1

0.1 0.3 0.6 0.7 1.0 3.2 3.4 9.7 9.7 15.3 16.2 18.4

• 10
• 5

5 10 15 20 Percent

Economic Update: S&P 500 Returns

As of:

Data Source: Bloomberg

8/31/18

• 4.2
• 1.2

2.3 2.7 3.2 4.5 13.0 14.0 19.0 19.2

• 10
• 5

5 10 15 20 25 Percent

YTD S&P 500 Major Sector Returns

Economic Update: Yield Curve FYTD

Maturity 6/29/18 8/31/18 Change

Data Source: Bloomberg Figures may not total due to rounding

3M 1.92 2.10 0.18 6M 2.11 2.27 0.16 1Y 2.31 2.45 0.14 2Y 2.53 2.63 0.10 3Y 2.62 2.69 0.07 30Y 2.99 3.02 0.03 5Y 2.74 2.74 0.00 10Y 2.86 2.86 0.00 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

6/29/18 8/31/18

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

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 7 5 10 15 20 25 30 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17 Sep-17 Jan-18 May-18 Basis Point Spread

Spread*: 1-5 Yr Agency vs Treasury

57 25 50 75 100 125 150 175 200 225 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17 Sep-17 Jan-18 May-18 Basis Point Spread

Spread*: 1-5 Yr Corporate vs Treasury

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% 0.38 0.24 $9,159,832,466 $2,460,652,604

• $6,843,454,336
• $2,452,701,469
• $6,707,130,996
• Book Value

Variance 2.15 1.66%

• 1.92%
• Total General

Portfolio Weighted Purchase Yield## Market Value $9,304,106,939 ($7,951,134)

• ($136,323,339)
• ($144,274,474)

1.85% 26.8%

• 73.2%

2.05 Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # 0.39 0.24 2.66 2.64 2.79 2.78

Total General Portfolio: Maturity Distribution

8/31/18 7/31/18 Variance 0-.25 .5 to 1

• 0.8%

1.1%

• 0.2%

4.1% 9.8% 13.6% Years 12.8% .25 to .5 19.8% 16.4% 12.4% 0.7%

• 1.1%

1.1% 3.0% 10.1% 24.8%

• 0.7%

24.1% 3 to 4 4 to 5+ 20.4% 15.3% 13.4% 1 to 2 2 to 3 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+ 8/31/18 7/31/18

Total General Portfolio: Maturity Distribution by Month

*Calculated using par values, includes checking

787 300 87 105 85 190 170 105 165 185 110 172 165 202 160 169 180 150 245 135 186 321 185 140 150 115 157 140 170 270 120 170 151 142 125 200 55 110 200 72 192 165 100 170 160 86 70 60 25 75 105 60 105 175 85 165 120 70 95 160

100 200 300 400 500 600 700 800 900 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 Sep-23 Millions Month

Combined Maturity Distribution*

Sector Allocations: Total General Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Total 100.0% 100.0%

August 31, 2018

MMFs 2.1% 8.6% 15.9% 1.2% 62.2% Negotiable CDs Agencies* Treasuries 0.1% 0.0% Bank Deposits CDARS Commercial Paper Corporate Notes ABS 64.3% 1.4%

• 1.4%

0.0% 0.0% 11.2%

• 2.4%

8.9% Sector 8/31/2018 7/31/2018 Variance 0.0%

• 0.3%

0.0% 0.0% 6.4% 2.2% 16.1%

• 0.1%

1.3% 1.2% 1.0% 0.0% Bank Dep 1.0% CP 8.6% CORP 15.9% MMF 0.1% ABS 1.2% Agy 8.9% Tsy 64.3%

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% 38.8% 5.2% 17.7%

• 8.2%

Corporate Notes 10.3% 8.9% 1.4% MMFs 0.2% 5.4%

• 5.2%

Commercial Paper 32.1%

Core Portfolio

CDARS 0.0% 24.2%

August 31, 2018

8.0% Sector 8/31/2018 7/31/2018 Variance Bank Deposits 3.8% 5.0%

• 1.2%

Total 100.0% Negotiable CDs 0.0% Treasuries 44.0% Agencies* 9.5% Bank Dep 3.8% CP 32.1% Corp 10.3% MMF 0.2% Agy 9.5% Tsy 44.0%

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 0.56 1.91% 10.7% Commercial Paper 0.05 1.99% 33.4%

Core Portfolio

Negotiable CDs 0.00 0.00 0.0% Sector WAM (Yrs.) Purchase Yield % of Portfolio* Agencies** 0.16 1.88% 9.9% Total 0.40 1.66% 100.0% Treasuries 0.66 1.32% 45.8% Money Market 0.01 1.40% 0.2%

Corp CP Agy

Tsy

MMF

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

• 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

Sector Allocations: Reserve Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Variance Treasuries 71.7% 70.7% 1.0%

Reserve Portfolio

August 31, 2018

ABS 1.7% Agencies* 8.6% 8.9%

• 0.3%

Corporate Notes 18.0% 18.7%

• 0.7%

0.0% Sector 8/31/2018 7/31/2018 Total 100.0% 100.0% 1.7% Corp 18.0% ABS 1.7% Agy 8.6% Tsy 71.7%

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 2.79 1.92% 100.0% 2.46% 1.86% 71.7% Treasuries 2.87 Agencies** Corporate Notes % of Portfolio* Purchase Yield WAM (Yrs.) 2.37 Sector ABS 3.16 8.6% 1.78% 2.64 18.0% 1.7% 2.01%

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

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

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

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

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 Complies Complies Complies Complies Complies Complies Complies 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

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

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

Portfolio Compliance with Code, Policy, and Guidelines

Portfolio Maturity Limitations and Duration Ranges

Core Portfolio

Effective Duration 1-5 Govt/Corp Index +/- .10 Complies: 2.66 vs 2.64

Item Limit Compliance

Maturity Limitation One Year Complies

Reserve Portfolio

Item Limit Compliance

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

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

Purchase Yield Per 3-Month Maturity Intervals

*Based on Par Value

Core Portfolio

Months Purchase Yield % of Portfolio* 0 to 3 1.98% 42.96% 3 to 6 1.34% 13.75% 6 to 9 1.36% 19.41% 9 to 12 1.54% 23.87% Total 1.66% 100.00%

1.98% 1.34% 1.36% 1.54%

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

Purchase Yield Per 6-Month Maturity Intervals

*Based on Par Value

3.5 to 4.0 1.99% 8.78% 1.0 to 1.5 1.58% 15.11% 1.5 to 2.0 1.74% 15.88% 2.0 to 2.5 1.60% 16.55% 2.5 to 3.0 1.91% 11.07% 3.0 to 3.5 Years Purchase Yield % of Portfolio* .5 to 1.0 0.00 0.00%

Reserve Portfolio

Total 1.92% 100.00% 4.0 to 4.5 4.5 to 5.0+ 2.36% 2.83% 8.54% 10.36% 1.86% 13.71%

1.58% 1.74% 1.60% 1.91% 1.86% 1.99% 2.36% 2.83%

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

Purchase Yield Per 6-Month Maturity Intervals

*Based on Par Value

Purchase Yield % of Portfolio* Total 1.85% 100.00% 4.5 to 5+ 12.66% 3.5 to 4.0 3.0 to 3.5 4.0 to 4.5 2.5 to 3.0 1.91% 8.19% 2.83% 7.66% 1.99% 6.49% 1.86% 10.14% 2.36% 6.32%

Total General Portfolio

1.5 to 2.0 1.74% 11.75% 2.0 to 2.5 1.60% 12.24% 0 to 0.5 1.76% 16.08% 0.5 to 1.0 1.52% 8.47% Years 1.0 to 1.5 1.56% 1.76% 1.52% 1.56% 1.74% 1.60% 1.91% 1.86% 1.99% 2.36% 2.83%

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

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

Total General Portfolio Statistics: Sector Allocation History

Sector Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Tsy 56.9% 56.8% 57.6% 54.9% 55.5% 55.1% 56.3% 54.3% 53.0% 63.2% 62.2% 64.3% Agy* 9.4% 9.5% 10.7% 9.4% 7.8% 7.1% 7.2% 9.3% 10.7% 10.1% 11.2% 8.9% Corp 16.4% 16.9% 16.9% 15.1% 15.3% 14.7% 14.8% 14.4% 13.7% 15.9% 16.1% 15.9% CP 14.9% 13.2% 12.6% 18.8% 19.4% 19.6% 19.3% 19.8% 20.8% 7.1% 6.4% 8.6%

• 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 1.0% 1.0% 1.0% 0.9% 0.9% 1.0% 1.2% 1.2% 1.1% 1.3% 1.2% 1.2% Bank 1.4% 2.6% 1.3% 1.0% 1.1% 2.6% 1.1% 1.0% 0.8% 2.5% 2.8% 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 *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

Book Return: Core Portfolio

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

1.64% 1.69% 2.06% 2.08%

• 0.42%
• 0.39%

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% 1.66% 0.28% 0.19% 0.13% 0.15% 0.33% 0.73% 1.51% 2.07% 0.73% 1.08% 0.43% 0.26% 0.31% 0.05% 0.04%

• 0.41%

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

Book Return: Reserve Portfolio

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

1.84% 1.93% 1.81% 1.88% 0.03% 0.05%

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% 1.88% 0.96% 0.66% 0.59% 0.76% 0.94% 1.08% 1.42% 1.85% 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% 2.00% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Percent Variance

Monthly Performance Variance: Reserve vs Benchmark

Reserve Benchmark

Book Return: Combined Portfolios

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

1.79% 1.87% 1.86% 1.92%

• 0.07%
• 0.05%

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% 1.87% 0.83% 0.57% 0.50% 0.64% 0.82% 1.00% 1.89% 0.93% 0.94% 0.86% 0.55% 0.58% 0.29%

• 0.02%

*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

• 0.2%

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% 2.00% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Percent Variance

Monthly Performance Variance: Combined vs Benchmark

Combined Benchmark

Portfolio Statistics: Monthly Total Return

Core Benchmark Variance Reserve Benchmark Variance

0.18% 0.18% 0.00% 0.44% 0.44% 0.00%

Treasury 0.20% 0.39 0.18% 1.00

• 0.10%

Treasury 0.44% 0.72 0.42% 0.82

• 0.03%

Agency* 0.17% 0.19 0.00% 0.00

0.03%

Agency* 0.41% 0.09 0.38% 0.04

0.02%

Credit** 0.17% 0.36 0.00% 0.00

0.06%

Credit** 0.48% 0.20 0.54% 0.14

0.02%

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

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

0.00% 0.05% 0.10% 0.15% 0.20% 0.25% 0.30% 0.35% 0.40% 0.45% 0.50%

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% 0.20%

Core Benchmark

Percent Variance

Core vs Benchmark

Total Return Performance: Core vs. Benchmark

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

0.18% 0.51% 0.35% 1.65% 0.97% 0.65% 0.58% 0.18% 0.51% 0.34% 1.53% 0.79% 0.49% 0.36% 0.00% 0.00% 0.01% 0.12% 0.18% 0.16% 0.22% *Core Benchmark: 3 Month T-Bill (G0O1) Portfolio Core Benchmark Variance Core Total Return

0.18% 0.51% 0.35% 1.65% 0.97% 0.65% 0.58% 0.18% 0.51% 0.34% 1.53% 0.79% 0.49% 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

Total Return Performance: Reserve vs. Benchmark

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

0.44% 0.38% 0.40%

• 0.50%

0.76% 1.06% 2.05% 0.44% 0.38% 0.40%

• 0.51%

0.72% 1.04% 1.95% 0.00% 0.00% 0.00% 0.01% 0.04% 0.02% 0.10% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Reserve Total Return Portfolio Reserve Benchmark Variance

0.44% 0.38% 0.40%

• 0.50%

0.76% 1.06% 2.05% 0.44% 0.38% 0.40%

• 0.51%

0.72% 1.04% 1.95%

• 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

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% 0.35% 0.46% Benchmark* 0.04% 0.13% 0.07% 0.00% 0.19% 0.49% 1.37% 0.34% 0.33% 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

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%

0.40% 0.99% Benchmark* 2.36% 0.39% 1.53% 1.39% 2.51%

• 0.30%
• 0.27%

0.40% 1.00% 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

Portfolio Statistics: Monthly & FYTD Total Return

Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.17% 0.18% Benchmark 0.16% 0.18% Variance 0.01% 0.00% Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.17% 0.35% Benchmark 0.16% 0.34% Variance 0.01% 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% 0.20% 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

Portfolio Statistics: Monthly & FYTD Total Return

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

• 0.04%

0.44% Benchmark

• 0.04%

0.44% Variance 0.00% 0.00% Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve

• 0.04%

0.40% Benchmark

• 0.04%

0.40% Variance 0.00% 0.00% Monthly Performance* Fiscal YTD Performance*

Reserve vs 1-5 Year Government/Corporate Index

• 0.10%

0.00% 0.10% 0.20% 0.30% 0.40% 0.50% 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

Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury

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

• 0.08%

0.32% Benchmark

• 0.07%

0.34%

• Mon. Var.
• 0.01%
• 0.02%

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%
• 0.02%

*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*

• 0.15%
• 0.10%
• 0.05%

0.00% 0.05% 0.10% 0.15% 0.20% 0.25% 0.30% 0.35% 0.40% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Monthly Performance Comparison

Reserve Tsy Benchmark Tsy

• 0.03%
• 0.02%
• 0.01%

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

FYTD Performance Variance

Portfolio Attribution: Reserve Agency vs. Benchmark Agency

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

• Mon. Var.

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

FYTD Performance Variance

Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate

Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.04% 0.09% Benchmark 0.03% 0.07%

• Mon. Var.

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

0.00% 0.01% 0.02% 0.03% 0.04% 0.05% 0.06% 0.07% 0.08% 0.09% 0.10% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Monthly Performance Comparison

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

FYTD Performance Variance

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

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

Interest 16.9 17.4 17.0 17.5 17.7 16.6 18.1 17.8 18.4 17.9 18.6 18.8 Price

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

9.7

• 47.8

29.4

• 20.0
• 22.8

25.0 Total

• 30.3
• 7.2
• 28.5

1.4

• 54.7
• 16.0

27.8

• 30.0

47.8

• 2.1
• 4.2

43.8

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

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

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

Index

• 30
• 7
• 29

1

• 55
• 16

28

• 30

48

• 2
• 4

44

• 4

Treasury

• 34
• 9
• 28
• 1
• 57
• 13

32

• 34

48

• 1
• 9

42

• 5

Agency

• 19
• 4
• 23

2

• 36
• 5

24

• 22

42 1 38 Corporate

• 14

5

• 30

13

• 48
• 39

5

• 6

48

• 12

24 54

Sector Total Returns (Basis Points)

• 75
• 50
• 25

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

Index Sector Total Returns

Tsy Agy Corp Govt/Corp Index

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%

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

Percent

Treasury Allocations: Reserve vs Index

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

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

Percent

Agency Allocations: Reserve vs Index

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

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

Percent

Corporate Allocations: Reserve vs Index

Index Reserve

Effective Duration Allocations: Reserve vs. Benchmark

*Calculated using market values

0.0% 1.4% 16.6% 16.6% 14.0% 14.1% 11.1% 9.9% 13.1% 3.0% 0.0% 0.7% 15.9% 17.9% 15.7% 12.0% 13.1% 8.4% 12.1% 4.2%

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

Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy

*Calculated using market values

0.0% 1.3% 13.3% 13.8% 11.0% 11.8% 9.1% 8.1% 10.8% 2.9% 0.0% 0.0% 9.9% 12.1% 11.8% 8.6% 9.8% 5.6% 10.2% 3.9%

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

Effective Duration Allocations: Reserve Agy vs. Benchmark Agy

*Calculated using market values

0.0% 0.0% 1.2% 1.0% 0.7% 0.4% 0.3% 0.2% 0.1% 0.0% 0.0% 0.0% 2.3% 1.8% 1.2% 1.2% 1.2% 0.6% 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

Effective Duration Allocations: Reserve Corp vs. Benchmark Corp

*Calculated using market values

0.0% 0.1% 2.1% 1.8% 2.3% 1.8% 1.7% 1.7% 2.1% 0.1% 0.0% 0.7% 3.7% 4.0% 2.8% 2.2% 2.1% 2.2% 1.6% 0.3%

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

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 $5,888,766,750 64.29% AA+ Aaa Komatsu $19,995,720 0.22% A A2 FNMA $378,018,817 4.13% AA+ Aaa General Dynamics $19,976,000 0.22% A+ A2 MUFG Bank $267,515,845 2.92% A A1 Costco $19,541,500 0.21% A+ A1 Intercontinental Exg $109,664,446 1.20% A A2 UnitedHealth Group $19,033,280 0.21% A+ A3 IADB $95,750,800 1.05% AAA Aaa Goldman Sachs Group $16,733,698 0.18% BBB+ A3 Toyota $94,704,546 1.03% AA- Aa3 TVA $15,086,000 0.16% AA+ Aaa FHLMC $93,725,850 1.02% AA+ Aaa Comerica $15,047,400 0.16% BBB+ A3 Wells Fargo Bank* $93,497,098 1.02% NR NR Bank of America NA $14,988,750 0.16% A+ Aa3 Bank of New York Mellon $89,600,982 0.98% A A1 Oracle $14,938,650 0.16% AA- A1 Apple $84,023,403 0.92% AA+ Aa1 Cisco $14,858,000 0.16% AA- A1 John Deere $81,446,955 0.89% A A2 Precision Castparts $14,833,800 0.16% AA- A2 US Bank $78,866,900 0.86% AA- A1 IFC $14,778,600 0.16% AAA Aaa State of California $78,388,225 0.86% AA- Aa3 Georgia Power Company $14,730,600 0.16% A- Baa1 FHLB $77,092,616 0.84% AA+ Aaa Procter & Gamble $14,650,400 0.16% AA- Aa3 PNC Bank $68,700,300 0.75% A A2 Intel $14,616,750 0.16% A+ A1 Toronto Dominion $60,588,944 0.66% AA- Aa3 Mastercard $14,561,700 0.16% A A2 IBRD $58,612,500 0.64% AAA Aaa Public Service Electric $11,913,240 0.13% A Aa3 Chevron $58,373,673 0.64% AA- Aa2 Chase Credit Card ABS $11,880,840 0.13% AAA NR Philip Morris $58,336,300 0.64% A A2 KeyBank $10,041,200 0.11% A- A3 Citibank $54,692,000 0.60% A+ A1 American Express Corp $10,039,800 0.11% BBB+ A3 Pepsico $54,097,750 0.59% A+ A1 Charles Schwab $10,032,400 0.11% A A2 United Parcel $51,319,412 0.56% A+ A1 M & T Corp $10,019,000 0.11% A- A3 Exxon Mobil $49,384,573 0.54% AA+ Aaa Nevada Power $9,985,100 0.11% A+ A2 Citibank Credit Card ABS $49,369,400 0.54% AAA Aaa Home Depot $9,966,100 0.11% A A2 American Honda $44,370,850 0.48% A+ A2 Berkshire Hathaway $9,958,200 0.11% AA Aa2 Prudential Funding $41,625,921 0.45% AA- A2 State Street $9,938,000 0.11% A A1 Microsoft $41,401,680 0.45% AAA Aaa BB&T Corp $9,936,000 0.11% A- A2 IBM $39,407,400 0.43% A+ A1 Gilead Sciences $9,911,300 0.11% A A3 Caterpillar $39,308,450 0.43% A A3 Wells Fargo & Co $9,893,200 0.11% A- A2 JPMorgan Chase & Co $34,695,450 0.38% A- A3 JPMorgan Chase Bank $9,890,000 0.11% A+ Aa3 Honeywell $33,909,850 0.37% A A2 Qualcomm $9,879,100 0.11% A- A2

• Amex. Express Cards ABS

$31,880,720 0.35% AAA Aaa American Express $9,878,400 0.11% A- A2 Coca Cola $31,686,660 0.35% A+ Aa3 Visa $9,859,300 0.11% A+ A1 Morgan Stanley $29,959,802 0.33% BBB+ A3 US Bancorp $9,810,800 0.11% A+ A1 M&T Trust $29,664,400 0.32% A A3 Pfizer $9,760,300 0.11% AA A1 Johnson & Johnson $29,489,700 0.32% AAA Aaa United Tech $9,633,300 0.11% A- Baa1 Walt Disney $29,416,050 0.32% A+ A2 Goldman Sachs Bank $6,023,160 0.07% A+ A1 Mizuho Bank $28,668,696 0.31% A A1 Automatic Data Processing $4,947,750 0.05% AA Aa3 Unilever $25,994,555 0.28% A+ A1 Danaher $4,940,800 0.05% A A2 Branch Banking and Trust $24,508,750 0.27% A A1 Public Storage $4,824,000 0.05% A A2 Hershey $22,044,440 0.24% A A1 Dreyfus Cash Mgmt $4,794,896 0.05% AAAm Aaa-mf Capital One Cards ABS $21,066,874 0.23% AAA NR Total $9,159,832,466 100.00% Union Pacific $20,067,100 0.22% A- Baa1

*Checking Account

Issuer

Total General Portfolio Transactions

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

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

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

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

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

Buys 44 36 45 52 50 45 45 51 50 39 45 39 Sells/Calls 11 9 9 9 6 6 5 7 10 2 5 7 Total 55 45 54 61 56 51 50 58 60 41 50 46

Core Transactions Reserve Transactions Total Transactions

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

Total Monthly Transactions

Buys* Sells**

*Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core

Portfolio Transactions: Reserve Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action* 8/14/18 Berkshire Hathaway Corp 8/14/19 10,000,000 Transfer 8/15/18 Public Service Electric Corp 8/15/18 12,000,000 Transfer 8/15/18 American Honda Corp 8/15/18 15,000,000 Transfer 8/29/18 Berkshire Hathaway Corp 8/15/19 10,000,000 Sell 8/30/18 FHLMC Note Agy 8/15/19 20,000,000 Sell 8/30/18 Gilead Sciences Corp 9/20/19 5,000,000 Sell 8/31/18 U.S. Treasury Note Tsy 8/15/21 30,000,000 Buy 8/31/18 U.S. Treasury Note Tsy 8/31/23 150,000,000 Buy 8/31/18 U.S. Treasury Note Tsy 8/31/19 135,000,000 Transfer

*"Transfer" is from Reserve to Core

Portfolio Transactions: Core Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action* 8/1/18 Intercontinental Exg CP 9/12/18 86,349,000 Buy 8/1/18 MUFG Bank CP 9/26/18 26,500,000 Buy 8/1/18 MUFG Bank CP 9/13/18 40,000,000 Buy 8/1/18 MUFG Bank CP 8/31/18 15,000,000 Buy 8/1/18 MUFG Bank CP 8/9/18 15,000,000 Buy 8/1/18 Toyota CP 9/12/18 25,000,000 Buy 8/2/18 United Parcel CP 9/26/18 7,454,000 Buy 8/3/18 MUFG Bank CP 8/15/18 32,954,000 Buy 8/6/18 Bank of New York Mellon CP 8/7/18 11,946,000 Buy 8/7/18 MUFG Bank CP 9/26/18 36,247,000 Buy 8/8/18 MUFG Bank CP 9/28/18 40,520,000 Buy 8/9/18 FHLB DN Agy 9/4/18 15,758,000 Buy 8/10/18 Exxon Mobil CP 9/4/18 19,692,000 Buy 8/13/18 IADB DN Supra 9/4/18 27,126,000 Buy 8/13/18 Prudential Funding CP 8/15/18 25,000,000 Buy 8/13/18 Prudential Funding CP 8/14/18 10,000,000 Buy 8/14/18 Berkshire Hathaway Corp 8/14/19 10,000,000 Transfer 8/15/18 Bank of New York Mellon CP 8/16/18 8,084,000 Buy 8/15/18 Public Service Electric Corp 8/15/18 12,000,000 Transfer 8/15/18 American Honda Corp 8/15/18 15,000,000 Transfer 8/17/18 TVA DN Agy 9/4/18 15,086,000 Buy 8/20/18 MUFG Bank CP 10/1/18 44,659,000 Buy 8/20/18 MUFG Bank CP 9/10/18 10,000,000 Buy 8/20/18 MUFG Bank CP 9/4/18 10,000,000 Buy 8/20/18 Komatsu CP 9/4/18 20,000,000 Buy 8/21/18 Prudential Funding CP 8/23/18 21,248,000 Buy 8/22/18 FHLB DN Agy 10/1/18 27,520,000 Buy 8/24/18 John Deere CP 10/1/18 9,800,000 Buy 8/24/18 John Deere CP 10/1/18 50,000,000 Buy 8/28/18 Chevron CP 10/1/18 28,815,000 Buy 8/29/18 FHLB DN Agy 9/5/18 19,057,000 Buy 8/29/18 FNMA DN Agy 10/10/18 21,000,000 Buy

*"Transfer" is from Reserve to Core

Portfolio Transactions: Core Portfolio (continued)

Trade Date Issuer Type Maturity Date Par Amount Action* 8/30/18 Bank of New York Mellon CP 9/4/18 35,000,000 Buy 8/30/18 FNMA DN Agy 10/9/18 17,660,000 Buy 8/31/18 Prudential Funding CP 9/4/18 41,626,000 Buy 8/31/18 MUFG Bank CP 10/10/18 60,000,000 Buy 8/31/18 U.S. Treasury Note Tsy 8/31/19 135,000,000 Transfer

*"Transfer" is from Reserve to Core