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

October 31, 2018

Economic Update: Overall Economy

* Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 10/31/18

• 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 3.5 2.7 2.4 2.4 2.2

• 3
• 2
• 1

1 2 3 4 5 6

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 Q3 2019

Percent

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

October 31, 2018 2

Economic Update: Employment

*Los Angeles area unemployment is not seasonally adjusted. Data Source: Bloomberg 12 Month Average Monthly Job Change: 209,667 50 100 150 200 250 300 350 400 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 Oct-18 Thousands

Monthly Non-Farm Payrolls

3 4 5 6 7 8 9 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 Oct-18 Percent

Unemployment Rates

California LA Area U.S.A

October 31, 2018 3

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 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 Oct-18 Percent

U.S. Retail Sales* YOY % Change

$420 $430 $440 $450 $460 $470 $480 $490 $500 $510 $520 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 Oct-18 Billions

Total Monthly U.S. Retail Sales

October 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 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 Oct-18 Percent

CPI and CPIX* YOY % Change

CPI CPIX

• 0.7
• 0.1

1.1 2.5 2.5 2.6 3.1 3.1 8.6

• 2

2 4 6 8 10 Communication Apparel Food CPI Education Services Wages Shelter Energy Percent

Sector YOY % Price Changes

October 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 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17 Oct-17 Apr-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 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17 Oct-17 Apr-18 Oil-Per Barrel

Gold-Per Ounce

Gold and Oil

Gold Oil

October 31, 2018 6

Economic Update: Sector Returns YTD

As of:

Data Source: Bloomberg

10/31/18

• 16.2
• 15.9
• 13.1
• 11.7
• 10.2
• 9.0
• 8.7
• 5.1
• 3.1
• 2.5
• 2.5
• 2.4
• 2.4
• 1.7
• 0.7

0.3 0.4 1.1 1.3 2.7 6.4

• 20
• 15
• 10
• 5

5 10 Percent

October 31, 2018 7

Economic Update: S&P 500 Returns

As of:

Data Source: Bloomberg

10/31/18

• 11.9
• 6.5
• 5.1
• 4.7
• 1.3

4.0 4.5 7.7 8.5 9.5

• 15
• 10
• 5

5 10 15 Percent

YTD S&P 500 Major Sector Returns

October 31, 2018 8

Economic Update: Yield Curve FYTD

Maturity 6/29/18 10/31/18 Change

Data Source: Bloomberg Figures may not total due to rounding

3Y 2.62 2.93 0.30 30Y 2.99 3.39 0.40 5Y 2.74 2.98 0.24 10Y 2.86 3.14 0.28 1Y 2.31 2.66 0.35 2Y 2.53 2.87 0.34 3M 1.92 2.33 0.41 6M 2.11 2.49 0.38 1.7 1.9 2.1 2.3 2.5 2.7 2.9 3.1 3.3 3.5

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

U.S. Treasury Yield Curve

6/29/18 10/31/18

October 31, 2018 9

Economic Update: Interest Rates

Data Source: Bloomberg

• 0.25

0.25 0.75 1.25 1.75 2.25 2.75 3.25 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Oct-16 Dec-16 Feb-17 Apr-17 Jun-17 Aug-17 Oct-17 Dec-17 Feb-18 Apr-18 Jun-18 Aug-18 Oct-18 Percent

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

1Y 3M 0.40 0.65 0.90 1.15 1.40 1.65 1.90 2.15 2.40 2.65 2.90 3.15 3.40 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Oct-16 Dec-16 Feb-17 Apr-17 Jun-17 Aug-17 Oct-17 Dec-17 Feb-18 Apr-18 Jun-18 Aug-18 Oct-18 Percent

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

5Y 2Y

October 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 2 4 6 8 10 12 14 16 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 Basis Point Spread

Spread*: 1-5 Yr Agency vs Treasury

63 25 50 75 100 125 150 175 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 Basis Point Spread

Spread*: 1-5 Yr Corporate vs Treasury

October 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 # 0.37 0.25 2.63 2.60 2.77 2.74

• Total General

Portfolio Weighted Purchase Yield## Market Value $9,408,255,336 ($10,949,253)

• ($163,039,882)
• ($173,989,135)

1.92% 28.3%

• 71.7%

1.99 Los Angeles Core Book Value Variance 2.09 1.76%

• 1.98%
• $9,234,266,201

$2,626,969,642

• $6,781,285,693
• $2,616,020,389
• $6,618,245,812
• Mkt Value % of Total

Average Maturity (Yrs)** Effective Duration** 100% 0.36 0.25

October 31, 2018 12

Total General Portfolio: Maturity Distribution

23.3% 3 to 4 4 to 5+ 19.9% 14.4% 14.1% 1 to 2 2 to 3 19.9% 15.0% 13.8% 0.0%

• 0.6%

0.3% 4.9% 9.5% 24.0%

• 0.7%

10/31/18 9/30/18 Variance 0-.25 .5 to 1 0.8% 0.1% 0.2% 5.0% 9.7% 12.9% 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+ 10/31/18 9/30/18

October 31, 2018 13

Total General Portfolio: Maturity Distribution by Month

*Calculated using par values, includes checking

820 307 135 190 170 105 165 185 110 172 135 132 155 169 180 150 245 135 186 321 185 140 170 150 157 140 170 270 120 170 151 142 125 200 100 140 200 72 192 165 100 170 160 86 70 60 25 75 105 60 105 175 97 165 120 70 125 160 60 80

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

Combined Maturity Distribution*

October 31, 2018 14

Sector Allocations: Total General Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Sector 10/31/18 9/30/18 Variance 0.1%

• 0.2%

0.0% 0.0% 7.9% 0.5% 15.8% 0.2% 1.0% 1.3% 0.7% 0.0% 65.2% 0.1% 0.0% 0.0% 0.0% 8.8%

• 0.4%

8.4% Bank Deposits CDARS Commercial Paper Corporate Notes ABS Total 100.0% 100.0%

October 31, 2018

MMFs

• 0.1%

8.3% 15.9% 1.4% 65.3% Negotiable CDs Agencies* Treasuries 0.1% 0.0% Bank Dep 0.7% CP 8.3% CORP 15.9% MMF 0.1% ABS 1.4% Agy 8.4% Tsy 65.2%

October 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 48.1% Agencies* 7.5% Commercial Paper 29.4%

Core Portfolio

CDARS 0.0% 28.9%

October 31, 2018

0.5% Sector 10/31/18 9/30/18 Variance Bank Deposits 2.6% 3.6%

• 0.9%

Corporate Notes 12.2% 10.8% 1.4% MMFs 0.2% 0.2% 0.0% 0.0% 0.0% 0.0% 0.0% 100.0% 47.5% 0.6% 9.0%

• 1.5%

Bank Dep 2.6% CP 29.4% Corp 12.2% MMF 0.2% Agy 7.5% Tsy 48.1%

October 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 1.45% 0.2% Agencies** 0.14 2.09% 7.7% Total 0.37 1.76% 100.0% Treasuries 0.56 1.32% 49.4%

Core Portfolio

Negotiable CDs 0.00 0.00 0.0% Sector WAM (Yrs.) Purchase Yield % of Portfolio* Corporate Notes 0.57 1.99% 12.5% Commercial Paper 0.05 2.30% 30.2%

Corp CP Agy

Tsy

MMF

1.0% 1.2% 1.4% 1.6% 1.8% 2.0% 2.2% 2.4% 2.6%

• 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 October 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

October 31, 2018

ABS 1.9% Agencies* 8.7% 8.7% 0.0% Corporate Notes 17.4% 17.6%

• 0.2%

0.2% Sector 10/31/18 9/30/18 Variance Treasuries 72.0% 72.0% 0.0% Corp 17.4% ABS 1.9% Agy 8.7% Tsy 72.0%

October 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 3.12 8.7% 1.86% 2.68 17.4% 1.9% 2.13%

Reserve Portfolio

Total 2.77 1.98% 100.0% 2.55% 1.86% 72.0% Treasuries 2.85 Agencies** Corporate Notes % of Portfolio* Purchase Yield WAM (Yrs.) 2.20

Tsy Agy Corp

ABS 1.65% 1.85% 2.05% 2.25% 2.45% 2.65% 0.0 1.0 2.0 3.0 4.0

Purchase Yield WAM Years

Bubble size = Sector's % of Portfolio October 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

October 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

October 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

October 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

October 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%

October 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

October 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: 2.63 vs 2.60

Item Limit Compliance

Maturity Limitation One Year Complies

Reserve Portfolio

Item Limit Compliance

October 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

October 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

October 31, 2018 28

Purchase Yield Per 3-Month Maturity Intervals

*Based on Par Value

9 to 12 1.64% 20.20% Total 1.76% 100.00% 3 to 6 1.41% 16.05% 6 to 9 1.43% 18.94%

Core Portfolio

Months Purchase Yield % of Portfolio* 0 to 3 2.08% 44.81%

2.08% 1.41% 1.43% 1.64%

1.2% 1.4% 1.6% 1.8% 2.0% 2.2% 2.4% 0.00 0.25 0.50 0.75 1.00

Purchase Yield Years

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

Purchase Yield Per 6-Month Maturity Intervals

*Based on Par Value

Reserve Portfolio

Total 1.98% 100.00% 4.0 to 4.5 4.5 to 5.0+ 2.56% 2.93% 11.20% 9.21% 1.95% 14.77% Years Purchase Yield % of Portfolio* .5 to 1.0 0.00 0.00% 3.5 to 4.0 1.97% 6.19% 1.0 to 1.5 1.64% 15.39% 1.5 to 2.0 1.75% 15.30% 2.0 to 2.5 1.64% 16.93% 2.5 to 3.0 1.99% 11.03% 3.0 to 3.5

1.64% 1.75% 1.64% 1.99% 1.95% 1.97% 2.56% 2.93%

1.3% 1.5% 1.7% 1.9% 2.1% 2.3% 2.5% 2.7% 2.9% 3.1% 3.3% 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 October 31, 2018 30

Purchase Yield Per 6-Month Maturity Intervals

*Based on Par Value

Total General Portfolio

1.5 to 2.0 1.75% 11.05% 2.0 to 2.5 1.64% 12.22% 0 to 0.5 1.86% 18.27% 0.5 to 1.0 1.61% 8.65% Years 1.0 to 1.5 1.60% 1.99% 7.96% 2.93% 6.65% 1.97% 4.47% 1.95% 10.66% 2.56% 8.08% Purchase Yield % of Portfolio* Total 1.92% 100.00% 4.5 to 5+ 11.97% 3.5 to 4.0 3.0 to 3.5 4.0 to 4.5 2.5 to 3.0 1.86% 1.61% 1.60% 1.75% 1.64% 1.99% 1.95% 1.97% 2.56% 2.93%

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 October 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

October 31, 2018 32

Total General Portfolio Statistics: Sector Allocation History

Sector Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Tsy 57.6% 54.9% 55.5% 55.1% 56.3% 54.3% 53.0% 63.2% 62.2% 64.3% 65.3% 65.2% Agy* 10.7% 9.4% 7.8% 7.1% 7.2% 9.3% 10.7% 10.1% 11.2% 8.9% 8.8% 8.4% Corp 16.9% 15.1% 15.3% 14.7% 14.8% 14.4% 13.7% 15.9% 16.1% 15.9% 15.8% 15.9% CP 12.6% 18.8% 19.4% 19.6% 19.3% 19.8% 20.8% 7.1% 6.4% 8.6% 7.9% 8.3%

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

October 31, 2018 33

Book Return: Core Portfolio

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

1.64% 1.69% 1.67% 1.72% 2.06% 2.08% 2.16% 2.30%

• 0.42%
• 0.39%
• 0.49%
• 0.58%

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% 1.68% 0.28% 0.19% 0.13% 0.15% 0.33% 0.73% 1.51% 2.15% 0.73% 1.08% 0.43% 0.26% 0.31% 0.05% 0.04%

• 0.47%

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*

• 1.0%
• 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% 1.70% 1.90% 2.10% 2.30% 2.50% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Percent Variance

Monthly Performance Variance: Core vs Benchmark

Core Benchmark

October 31, 2018 34

Book Return: Reserve Portfolio

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

1.84% 1.76% 1.86% 1.89% 1.81% 1.88% 1.96% 2.04% 0.03%

• 0.12%
• 0.10%
• 0.15%

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% 1.92% 0.95% 0.89% 0.93% 0.65% 0.49% 0.34% 0.21%

• 0.08%

*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

• 0.2%

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

Fiscal Year Performance Variance: Reserve vs Benchmark

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

Monthly Performance Variance: Reserve vs Benchmark

Reserve Benchmark

October 31, 2018 35

Book Return: Combined Portfolios

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

1.79% 1.74% 1.82% 1.85% 1.86% 1.92% 2.00% 2.09%

• 0.07%
• 0.18%
• 0.18%
• 0.24%

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% 1.80% 0.83% 0.57% 0.50% 0.64% 0.82% 1.00% 1.44% 1.97% 0.93% 0.94% 0.86% 0.55% 0.58% 0.29% 0.17%

• 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

• 0.4%
• 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% 1.80% 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: Combined vs Benchmark

Combined Benchmark

October 31, 2018 36

Portfolio Statistics: Monthly Total Return

Core Benchmark Variance Reserve Benchmark Variance

0.19% 0.17% 0.02% 0.10% 0.10% 0.00%

Treasury 0.19% 0.49 0.17% 1.00

• 0.08%

Treasury 0.13% 0.72 0.13% 0.82

• 0.01%

Agency* 0.19% 0.09 0.00% 0.00

0.02%

Agency* 0.09% 0.09 0.10% 0.04

0.00%

Credit** 0.18% 0.41 0.00% 0.00

0.07%

Credit** 0.01% 0.19

• 0.10%

0.14

0.02%

*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 0.00% 0.02% 0.04% 0.06% 0.08% 0.10% 0.12%

Reserve Benchmark

Percent Variance

Reserve vs Benchmark

0.00% 0.04% 0.08% 0.12% 0.16% 0.20%

Core Benchmark

Percent Variance

Core vs Benchmark

October 31, 2018 37

Total Return Performance: Core vs. Benchmark

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

0.19% 0.52% 0.69% 1.79% 1.07% 0.71% 0.58% 0.17% 0.50% 0.66% 1.67% 0.90% 0.55% 0.35% 0.02% 0.02% 0.03% 0.12% 0.17% 0.16% 0.23% *Core Benchmark: 3 Month T-Bill (G0O1) Note: Total returns for periods one year and greater are annualized. May not total due to rounding Portfolio Core Benchmark* Variance Core Total Return

0.19% 0.52% 0.69% 1.79% 1.07% 0.71% 0.58% 0.17% 0.50% 0.66% 1.67% 0.90% 0.55% 0.35%

0.00% 0.20% 0.40% 0.60% 0.80% 1.00% 1.20% 1.40% 1.60% 1.80% 2.00% 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years Year

Core Index

October 31, 2018 38

Total Return Performance: Reserve vs. Benchmark

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

0.10% 0.30% 0.26%

• 0.28%

0.58% 0.87% 2.05% 0.10% 0.29% 0.25%

• 0.29%

0.55% 0.84% 2.02% 0.00% 0.01% 0.01% 0.01% 0.03% 0.03% 0.03% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Note: Total returns for periods one year and greater are annualized. May not total due to rounding Reserve Total Return Portfolio Reserve Benchmark* Variance

0.10% 0.30% 0.26%

• 0.28%

0.58% 0.87% 2.05% 0.10% 0.29% 0.25%

• 0.29%

0.55% 0.84% 2.02%

• 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

October 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% 0.69% 0.51% Benchmark* 0.04% 0.13% 0.07% 0.00% 0.19% 0.49% 1.37% 0.66% 0.37% Variance 0.17% 0.10% 0.09% 0.06% 0.03% 0.17% 0.14% 0.03% 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

October 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%

0.26% 0.97% Benchmark* 2.36% 0.39% 1.53% 1.39% 2.51%

• 0.30%
• 0.27%

0.25% 0.98% Variance 0.02%

• 0.24%

0.02%

• 0.01%

0.05% 0.05% 0.00% 0.01%

• 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

October 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% 0.18% 0.15% 0.19% Benchmark 0.16% 0.18% 0.15% 0.17% Variance 0.01% 0.00% 0.00% 0.02% Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.17% 0.35% 0.50% 0.69% Benchmark 0.16% 0.34% 0.49% 0.66% Variance 0.01% 0.01% 0.01% 0.03% 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

October 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%

0.44%

• 0.24%

0.10% Benchmark

• 0.04%

0.44%

• 0.25%

0.10% Variance 0.00% 0.00% 0.01% 0.00% Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve

• 0.04%

0.40% 0.16% 0.26% Benchmark

• 0.04%

0.40% 0.15% 0.25% Variance 0.00% 0.00% 0.01% 0.01% Monthly Performance* Fiscal YTD Performance*

Reserve vs 1-5 Year Government/Corporate Index

• 0.30%
• 0.20%
• 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

October 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%

0.32%

• 0.22%

0.09% Benchmark

• 0.07%

0.34%

• 0.23%

0.11%

• Mon. Var.
• 0.01%
• 0.02%

0.01%

• 0.02%

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%
• 0.03%
• 0.02%
• 0.04%

*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*

• 0.30%
• 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

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

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

FYTD Performance Variance

October 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% 0.04%

• 0.01%

0.01% Benchmark 0.00% 0.02% 0.00% 0.00%

• Mon. Var.

0.00% 0.02%

• 0.01%

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

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

FYTD Performance Variance

October 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% 0.09%

• 0.02%

0.00% Benchmark 0.03% 0.07%

• 0.02%
• 0.01%
• Mon. Var.

0.01% 0.02% 0.00% 0.01% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.01% 0.03% 0.03% 0.04% *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*

• 0.04%
• 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 0.00% 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

October 31, 2018 46

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

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

Interest 17.0 17.5 17.7 16.6 18.1 17.8 18.4 17.9 18.6 18.8 18.4 19.2 Price

• 45.5
• 16.1
• 72.4
• 32.6

9.7

• 47.8

29.4

• 20.0
• 22.8

25.0

• 43.4
• 9.5

Total

• 28.5

1.4

• 54.7
• 16.0

27.8

• 30.0

47.8

• 2.1
• 4.2

43.8

• 25.0

9.7

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

October 31, 2018 47

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

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

Index

• 29

1

• 55
• 16

28

• 30

48

• 2
• 4

44

• 25

10

• 3

Treasury

• 28
• 1
• 57
• 13

32

• 34

48

• 1
• 9

42

• 28

13

• 3

Agency

• 23

2

• 36
• 5

24

• 22

42 1 38

• 10

10 2 Corporate

• 30

13

• 48
• 39

5

• 6

48

• 12

24 54

• 12
• 10
• 1

Sector Total Returns (Basis Points)

• 75
• 50
• 25

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

Index Sector Total Returns

Tsy Agy Corp Govt/Corp Index

October 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%

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

Percent

Treasury Allocations: Reserve vs Index

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

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

Percent

Agency Allocations: Reserve vs Index

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

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

Percent

Corporate Allocations: Reserve vs Index

Index Reserve

October 31, 2018 49

Effective Duration Allocations: Reserve vs. Benchmark

*Calculated using market values

0.0% 1.4% 17.6% 17.0% 15.5% 12.7% 11.2% 10.6% 12.2% 1.9% 0.0% 0.9% 16.2% 17.5% 16.1% 13.8% 11.9% 7.0% 12.3% 4.4%

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

October 31, 2018 50

Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy

*Calculated using market values

0.0% 1.3% 14.8% 13.7% 12.7% 10.4% 9.2% 8.4% 10.4% 1.8% 0.0% 0.0% 9.4% 12.9% 10.7% 11.7% 8.1% 4.7% 10.6% 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

October 31, 2018 51

Effective Duration Allocations: Reserve Agy vs. Benchmark Agy

*Calculated using market values

0.0% 0.0% 0.9% 1.1% 0.6% 0.5% 0.3% 0.2% 0.2% 0.0% 0.0% 0.0% 3.3% 1.1% 1.8% 0.3% 1.2% 0.7% 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

October 31, 2018 52

Effective Duration Allocations: Reserve Corp vs. Benchmark Corp

*Calculated using market values

0.0% 0.1% 1.9% 2.2% 2.2% 1.7% 1.7% 2.0% 1.6% 0.1% 0.0% 0.9% 3.5% 3.4% 3.7% 1.8% 2.6% 1.6% 1.4% 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

October 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 $6,020,709,100 65.20% AA+ Aaa General Dynamics $19,892,600 0.22% A+ A2 FNMA $303,423,500 3.29% AA+ Aaa Pfizer $19,675,700 0.21% AA A1 Mizuho Bank $149,588,058 1.62% A A1 Costco $19,416,600 0.21% A+ Aa3 MUFG Bank $146,870,908 1.59% A A1 UnitedHealth Group $18,911,420 0.20% A+ A3 Komatsu $135,581,637 1.47% A A2 L'Oreal $17,073,959 0.18% A-1+ P-1 FHLB $118,615,968 1.28% AA+ Aaa Goldman Sachs $16,684,993 0.18% BBB+ A3 IBRD $96,009,737 1.04% AAA Aaa Comcast $14,993,500 0.16% A- A3 FHLMC $93,471,650 1.01% AA+ Aaa Bank of America NA $14,993,100 0.16% A+ Aa3 Toyota $89,663,376 0.97% AA- Aa3 Oracle $14,904,600 0.16% AA- A1 US Bank $78,554,800 0.85% AA- A1 Comerica $14,859,600 0.16% BBB+ A3 State of California $78,241,737 0.85% AA- Aa3 Precision Castparts $14,795,100 0.16% AA- A2 Exxon Mobil $69,372,424 0.75% AA+ Aaa Cisco $14,782,100 0.16% AA- A1 Wells Fargo Bank* $69,236,480 0.75% NR NR Georgia Power Company $14,762,850 0.16% A- Baa1 PNC Bank $68,392,800 0.74% A A2 IFC $14,755,350 0.16% AAA Aaa IADB $68,292,900 0.74% AAA Aaa United Parcel $14,645,793 0.16% A+ A1 American Honda $64,082,650 0.69% A+ A2 Intel $14,506,950 0.16% A+ A1 Apple $63,782,150 0.69% AA+ Aa1 Mastercard $14,453,550 0.16% A A2 Home Depot $58,420,333 0.63% A A2 Toyota ABS $11,997,404 0.13% AAA Aaa Philip Morris $58,008,800 0.63% A A2 Public Service Electric $11,892,480 0.13% A Aa3 Citibank $54,456,400 0.59% A+ A1 Chase Credit Card ABS $11,888,400 0.13% AAA NR Bank of New York Mellon $54,291,900 0.59% A A1 3M Company $9,970,100 0.11% AA- A1 Siemens Capital $49,934,900 0.54% A+ A1 Charles Schwab $9,966,600 0.11% A A2 Citibank Credit Card ABS $49,271,450 0.53% AAA Aaa KeyBank $9,966,600 0.11% A- A3 Pepsico $44,039,750 0.48% A+ A1 Nevada Power $9,953,500 0.11% A+ A2 Chevron $41,323,764 0.45% AA- Aa2 Berkshire Hathaway $9,939,600 0.11% AA Aa2 Microsoft $41,290,000 0.45% AAA Aaa M & T Corp $9,928,100 0.11% A- A3 IBM $39,187,550 0.42% A A1 American Express Corp $9,911,400 0.11% BBB+ A3 Caterpillar $38,970,500 0.42% A A3 State Street $9,896,000 0.11% A A1 Natl Securities Clearing $38,629,295 0.42% AA+ Aaa BB&T Corp $9,894,800 0.11% A- A2 Qualcomm $34,821,422 0.38% A- A2 Praxair $9,891,988 0.11% A A2 JPMorgan Chase & Co $34,583,400 0.37% A- A2 Gilead Sciences $9,881,600 0.11% A A3

• Amex. Credit Card ABS

$31,805,320 0.34% AAA Aaa JPMorgan Chase Bank $9,873,300 0.11% A+ Aa2 John Deere $31,690,020 0.34% A A2 Wells Fargo & Co $9,870,100 0.11% A- A2 Coca Cola $31,649,500 0.34% A+ Aa3 American Express $9,868,400 0.11% A- A2 Morgan Stanley $29,888,936 0.32% BBB+ A3 Visa $9,796,900 0.11% A+ A1 M&T Trust $29,594,700 0.32% A A3 US Bancorp $9,739,300 0.11% A+ A1 Walt Disney $29,394,500 0.32% A+ A2 Procter & Gamble $9,604,600 0.10% AA- Aa3 Johnson & Johnson $29,371,900 0.32% AAA Aaa United Tech $9,580,700 0.10% A- Baa1 Archer Daniels $24,967,013 0.27% A A2 Goldman Sachs Bank $5,995,020 0.06% A+ A1 Branch Banking and Trust $24,369,000 0.26% A A1 Automatic Data Processing $4,930,400 0.05% AA Aa3 Honeywell $23,977,000 0.26% A A2 Danaher $4,927,050 0.05% A A2 Hershey $21,911,780 0.24% A A1 Dreyfus Cash Mgmt $4,805,604 0.05% AAAm Aaa-mf Capital One Credit Card ABS $21,069,861 0.23% AAA NR Public Storage $4,790,950 0.05% A A2 Intercontinental Exg $20,673,071 0.22% A A2 Total $9,234,266,201 100.00% Union Pacific $19,915,600 0.22% A- Baa1

*Checking Account

Issuer October 31, 2018 54

Total General Portfolio Transactions

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

Buys 37 46 41 41 43 43 39 31 39 37 38 45 Sells/Calls 1 Total 37 47 41 41 43 43 39 31 39 37 38 45

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

Buys 8 6 9 4 2 8 11 8 6 2 6 9 Sells/Calls 9 8 6 6 5 7 10 2 5 7 9 7 Total 17 14 15 10 7 15 21 10 11 9 15 16

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

Buys 45 52 50 45 45 51 50 39 45 39 44 54 Sells/Calls 9 9 6 6 5 7 10 2 5 7 9 7 Total 54 61 56 51 50 58 60 41 50 46 53 61

Core Transactions Reserve Transactions Total Transactions

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

Total Monthly Transactions

Buys* Sells**

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

Portfolio Transactions: Reserve Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action* 10/2/18 Comcast Corp 10/1/20 10,000,000 Buy 10/2/18 Comcast Corp 10/1/21 5,000,000 Buy 10/2/18 U.S. Treasury Note Tsy 9/30/23 25,000,000 Buy 10/3/18 American Honda Corp 10/10/23 20,000,000 Buy 10/9/18 John Deere Corp 10/12/23 10,000,000 Buy 10/9/18 Oracle Corp 10/8/19 15,000,000 Transfer 10/18/18 PNC Bank Corp 10/18/19 10,000,000 Transfer 10/23/18 Goldman Sachs Corp 10/23/19 16,795,000 Transfer 10/29/18 US Bank Corp 10/28/19 10,000,000 Transfer 10/30/18 Toyota ABS ABS 3/15/23 12,000,000 Buy 10/31/18 U.S. Treasury Note Tsy 10/15/21 25,000,000 Buy 10/31/18 U.S. Treasury Note Tsy 10/31/20 25,000,000 Buy 10/31/18 U.S. Treasury Note Tsy 10/31/23 50,000,000 Buy 10/31/18 U.S. Treasury Note Tsy 10/31/19 50,000,000 Sell 10/31/18 Proctor & Gamble Corp 11/1/19 5,000,000 Sell 10/31/18 U.S. Treasury Note Tsy 10/31/19 80,000,000 Sell

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

Portfolio Transactions: Core Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action* 10/1/18 Komatsu CP 10/2/18 37,745,000 Buy 10/1/18 Toyota CP 11/7/18 45,000,000 Buy 10/1/18 Prazair CP 10/24/18 50,000,000 Buy 10/2/18 Mizuho CP 1/2/19 50,000,000 Buy 10/2/18 MUFG Bank CP 10/15/18 25,000,000 Buy 10/3/18 Exxon Mobil CP 11/1/18 16,057,000 Buy 10/4/18 Komatsu CP 10/10/18 18,703,000 Buy 10/5/18 L'Oreal CP 11/1/18 17,075,000 Buy 10/9/18 Komatsu CP 10/24/18 35,000,000 Buy 10/9/18 Exxon Mobil CP 11/1/18 23,725,000 Buy 10/9/18 Oracle Corp 10/8/19 15,000,000 Transfer 10/10/18 FHLB DN Agy 10/15/18 11,085,000 Buy 10/11/18 Siemens Capital CP 10/12/18 44,555,000 Buy 10/12/18 FHLB DN Agy 10/16/18 69,302,000 Buy 10/15/18 FHLB DN Agy 10/18/18 30,467,000 Buy 10/15/18 FHLB DN Agy 10/18/18 50,000,000 Buy 10/15/18 Prudential Funding CP 10/18/18 50,000,000 Buy 10/15/18 MUFG Bank CP 11/1/18 22,000,000 Buy 10/16/18 Komatsu CP 11/6/18 24,031,000 Buy 10/16/18 Komatsu CP 10/25/18 8,000,000 Buy 10/16/18 John Deere CP 10/25/18 32,000,000 Buy 10/17/18 Intercontinental Exg CP 11/7/18 20,700,000 Buy 10/17/18 IBRD DN Supra 11/7/18 37,536,000 Buy 10/18/18 Komatsu CP 11/9/18 19,026,000 Buy 10/18/18 PNC Bank Corp 10/18/19 10,000,000 Transfer 10/19/18 Home Depot CP 11/8/18 48,500,000 Buy 10/19/18 Intercontinental Exg CP 10/31/18 8,000,000 Buy 10/22/18 Praxair CP 11/21/18 9,905,000 Buy 10/23/18 Siemens Capital CP 11/21/18 50,000,000 Buy 10/23/18 United Parcel CP 11/21/18 5,011,000 Buy 10/23/18 Goldman Sachs Corp 10/23/19 16,795,000 Transfer 10/24/18 Natl Securities Clearing CP 11/29/18 38,700,000 Buy

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

Portfolio Transactions: Core Portfolio (continued)

Trade Date Issuer Type Maturity Date Par Amount Action* 10/24/18 Qualcomm CP 11/20/18 25,000,000 Buy 10/24/18 MUFG Bank CP 11/21/18 75,000,000 Buy 10/25/18 Komatsu CP 11/26/18 29,377,000 Buy 10/25/18 Archer Daniels CP 11/21/18 25,000,000 Buy 10/26/18 Komatsu CP 11/7/18 13,240,000 Buy 10/29/18 FHLB DN Agy 12/5/18 90,000,000 Buy 10/29/18 United Parcel CP 10/31/18 22,227,000 Buy 10/29/18 US Bank Corp 10/28/19 10,000,000 Transfer 10/30/18 Komatsu CP 11/6/18 50,000,000 Buy 10/30/18 FHLB DN Agy 11/9/18 14,025,000 Buy 10/31/18 Chevron CP 12/4/18 11,860,000 Buy 10/31/18 U.S. Treasury Note Tsy 10/31/19 80,000,000 Transfer

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