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, 2017

Economic Update: Overall Economy

* Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 1/31/17

• 0.5

1.3 3.9 1.7 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

• 1.2

4.0 5.0 2.3 2.0 2.6 2.0 0.9 0.8 1.4 3.5 1.9 2.2 2.3 2.4 2.4

• 12
• 10
• 8
• 6
• 4
• 2

2 4 6 8

Q2 2009 Q3 2009 Q4 2009 Q1 2010 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

Percent

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

January 31, 2017 2

Economic Update: Employment

*Los Angeles area unemployment is not seasonally adjusted. Data Source: Bloomberg 12 Month Average Monthly Job Change: 195,250 50 100 150 200 250 300 350 400 Jul-12 Oct-12 Jan-13 Apr-13 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 Thousands

Monthly Non-Farm Payrolls

4 5 6 7 8 9 10 11 12 Jul-12 Oct-12 Jan-13 Apr-13 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 Percent

Unemployment Rates

California LA Area U.S.A

January 31, 2017 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-12 Oct-12 Jan-13 Apr-13 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 Percent

U.S. Retail Sales* YOY % Change

$390 $400 $410 $420 $430 $440 $450 $460 $470 $480 Jul-12 Oct-12 Jan-13 Apr-13 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 Billions

Total Monthly U.S. Retail Sales

January 31, 2017 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-12 Oct-12 Jan-13 Apr-13 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 Percent

CPI and CPIX* YOY % Change

CPI CPIX

• 2.8
• 0.2

0.2 2.5 2.5 2.6 3.0 3.5 12.4

• 5
• 3
• 1

1 3 5 7 9 11 13 15 Communication Food Apparel CPI Wages Education Services Shelter Energy Percent

Sector YOY % Price Changes

January 31, 2017 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 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Aug-15 Feb-16 Aug-16 Index Value

Dollar Index

$0 $20 $40 $60 $80 $100 $120 $140 $0 $200 $400 $600 $800 $1,000 $1,200 $1,400 $1,600 $1,800 $2,000 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Aug-15 Feb-16 Aug-16 Oil-Per Barrel

Gold-Per Ounce

Gold and Oil

Gold Oil

January 31, 2017 6

Economic Update: Sector Returns YTD

As of:

Data Source: Bloomberg

1/31/17

• 2.0
• 0.8
• 0.2

0.0 0.1 0.1 0.2 0.2 0.2 0.6 0.8 0.9 1.5 1.8 2.9 3.3 3.7 3.8 4.3 5.8 6.3

• 3
• 2
• 1

1 2 3 4 5 6 7 Percent

January 31, 2017 7

Economic Update: S&P 500 Returns

As of:

Data Source: Bloomberg

1/31/17

• 3.2

0.3 1.3 1.7 1.9 2.3 2.3 3.6 4.2 4.5

• 4
• 3
• 2
• 1

1 2 3 4 5 Percent

YTD S&P 500 Major Sector Returns

January 31, 2017 8

Economic Update: Yield Curve FYTD

Maturity 6/30/16 1/31/17 Change

Data Source: Bloomberg Figures may not total due to rounding

3Y 0.69 1.46 0.77 30Y 2.29 3.06 0.78 5Y 1.00 1.91 0.91 10Y 1.47 2.45 0.98 1Y 0.44 0.76 0.33 2Y 0.58 1.21 0.62 3M 0.26 0.52 0.25 6M 0.35 0.63 0.28 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5

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

U.S. Treasury Yield Curve

6/30/16 1/31/17

January 31, 2017 9

Economic Update: Interest Rates

Data Source: Bloomberg

• 0.10

0.00 0.10 0.20 0.30 0.40 0.50 0.60 0.70 0.80 0.90 1.00 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 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 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 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 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 Percent

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

5Y 2Y

January 31, 2017 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 12 5 10 15 20 25 30 Jun-10 Oct-10 Feb-11 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 Basis Point Spread

Spread*: 1-5 Yr Agency vs Treasury

75 50 100 150 200 250 Jun-10 Oct-10 Feb-11 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 Basis Point Spread

Spread*: 1-5 Yr Corporate vs Treasury

January 31, 2017 11

Summary Portfolio Characteristics

*Core Benchmark: 3 Month T-Bill (G0O1 BofA/Merrill Index) #Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10 BofA Merrill 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 # 0.15 0.23 2.66 2.67 2.74 2.79

• Total General

Portfolio Weighted Purchase Yield## Market Value $8,194,081,067 ($764,414)

• $3,323,488
• $2,559,074

1.34% 19.0%

• 81.0%

2.19 Los Angeles Core Par Value Variance 2.25 0.82%

• 1.46%
• $8,196,640,141

$1,560,146,067

• $6,633,935,000
• $1,559,381,653
• $6,637,258,488
• Mkt Value % of Total

Average Maturity (Yrs)** Effective Duration** 100% 0.14 0.24

January 31, 2017 12

Total General Portfolio: Maturity Distribution

0.5% .25 to .5 26.8% 21.1% 18.3% 14.3% 0.0% 0.5%

• 0.3%

3 to 4 4 to 5+ 21.1% 18.8% 14.0% 1 to 2 0.2% 1.5% 26.2% 2 to 3 1/31/17 12/31/16 Variance 0-.25 .5 to 1

• 0.5%
• 0.1%
• 0.1%

0.1% 1.5% 18.3% Years 17.7% 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+ 1/31/17 12/31/16

January 31, 2017 13

Sector Allocations: Total General Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Sector 1/31/2017 12/31/2016 Variance 0.0% 0.1% 0.0% 0.0% 11.2% 2.0% 16.3% 0.1% 1.1% 0.0% 1.2% 0.0% Corporate Notes MMFs 100.0% 0.3%

• 0.3%

12.5%

• 1.5%

58.6%

• 0.5%

58.1%

January 31, 2017

Negotiable CDs 13.2% 16.5% 0.0% 100.0% Agencies* Treasuries Total 0.0% 11.0% Bank Deposits CDARS Commercial Paper Bank Dep 1.2%

• Neg. CDs

0.0% CP 13.2% CORP 16.5% Agy 11.0% Tsy 58.1%

January 31, 2017 14

Sector Allocations: Core Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Total 100.0% Negotiable CDs 0.0% Treasuries 1.5% Agencies* 13.1% Commercial Paper 69.4%

Core Portfolio

CDARS 0.0% 58.5%

January 31, 2017

10.9% Sector 1/31/2017 12/31/2016 Variance Bank Deposits 6.4% 5.7% 0.6% Corporate Notes 9.6% 8.9% 0.8% MMFs 0.0% 0.0% 0.0% 0.0% 0.0% 1.6%

• 1.6%

100.0% 3.0%

• 1.6%

22.3%

• 9.2%

Bank Dep 6.4% CP 69.4% Corp 9.6%

• Neg. CDs

0.0% Agy 13.1% Tsy 1.5%

January 31, 2017 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

Agencies** 0.08 0.53% 14.0% Total 0.15 0.82% 100.0% Treasuries 0.08 0.50% 1.6%

Core Portfolio

Negotiable CDs 0.00 0.00 0.0% Sector WAM (Yrs.) Purchase Yield % of Portfolio* Corporate Notes 0.61 1.54% 10.3% Commercial Paper 0.10 0.78% 74.1%

Corp CP Agy

Tsy

0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% 1.4% 1.6% 1.8%

• 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, 2017 16

Sector Allocations: Reserve Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Total 100.0% 100.0% Negotiable CDs 0.0% MMFs 0.0% 0.0% 0.0%

Reserve Portfolio

January 31, 2017

Corporate Notes 18.1% CDARS 0.0% 0.0% 0.0% Commercial Paper 0.0% 0.0% 0.0% Sector 1/31/2017 12/31/2016 Variance Bank Deposits 0.0% 0.0% 0.0% Treasuries 71.4% 71.7%

• 0.3%

0.0% 0.0% 0.0% Agencies* 10.5% 10.2% 0.3% 18.1% Corp 18.1% Agy 10.5% Tsy 71.4%

January 31, 2017 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

2.76 2.58 2.78 71.4% 10.5% 18.1% Purchase Yield

Reserve Portfolio

Total 2.74 1.46% 100.0% 1.45% 2.01% 1.32% % of Portfolio* Sector WAM (Yrs.) Treasuries Agencies** Corporate Notes

Tsy Agy Corp

0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00% 2.25% 0.0 1.0 2.0 3.0

Purchase Yield WAM Years

Bubble size = Sector's % of Portfolio January 31, 2017 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 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 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

Billions

Core*

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

Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 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

Billions

Reserve

January 31, 2017 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 Billions

January 31, 2017 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

Reserve Core

January 31, 2017 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.

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-none in portfolio Complies-none in portfolio Complies-none in portfolio Complies Complies Complies-none in portfolio Complies-none in portfolio Complies-none in portfolio 180 Days Reverse Repo/Securities Lending Corporate Notes

January 31, 2017 22

Portfolio Compliance with Code, Policy, and Guidelines

Complies 30% Corporate Notes

Percentage Allocation Limitations

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

Limit

100% 40% 180 Days 1 Year

Compliance

Complies Repurchase Agreements Reverse Repo/Securities Lending Complies Complies Complies Complies-none in portfolio 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-none in portfolio 20% $65 Million Per Account 30% 10%

January 31, 2017 23

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

January 31, 2017 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: 2.66 vs 2.67

Item Limit Compliance

Maturity Limitation One Year Complies

Reserve Portfolio

Item Limit Compliance

January 31, 2017 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, 2017 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 Percent

Reserve Total Portfolio Core

January 31, 2017 27

Purchase Yield Per 3-Month Maturity Intervals

*Based on Par Value

9 to 12 1.56% 5.83% Total 0.82% 100.00% 3 to 6 1.20% 0.69% 6 to 9 1.37% 0.68%

Core Portfolio

Months Purchase Yield % of Portfolio* 0 to 3 0.76% 92.80%

0.76% 1.20% 1.28% 1.56%

0.0% 0.5% 1.0% 1.5% 2.0%

Purchase Yield

0 to 3 Months 3-6 Months 6-9 Months 9-12 Months

Bubble Size = Maturity's % of Portfolio January 31, 2017 28

Purchase Yield Per 6-Month Maturity Intervals

*Based on Par Value

Reserve Portfolio

Total 1.46% 100.00% 4.0 to 4.5 4.5 to 5.0+ 1.44% 1.83% 12.40% 6.39% 1.60% 13.94% Years Purchase Yield % of Portfolio* .5 to 1.0 0.00 0.00% 3.5 to 4.0 1.50% 8.45% 1.0 to 1.5 1.16% 17.22% 1.5 to 2.0 1.39% 15.12% 2.0 to 2.5 1.49% 13.93% 2.5 to 3.0 1.55% 12.56% 3.0 to 3.5

1.16% 1.39% 1.49% 1.55% 1.60% 1.50% 1.44% 1.83%

0.0% 0.3% 0.5% 0.8% 1.0% 1.3% 1.5% 1.8% 2.0% 2.3%

Purchase Yield

1 to 1.5 Yrs 1.5 to 2 Yrs 2 to 2.5 Yrs 2.5 to 3 Yrs 3 to 3.5 Yrs 3.5 to 4 Yrs 4 to 4.5 Yrs 4.5 to 5+ Yrs .5 to 1 Yrs

Bubble Size = Maturity's % of Portfolio January 31, 2017 29

Purchase Yield Per 6-Month Maturity Intervals

*Based on Par Value

Total General Portfolio

1.5 to 2.0 1.39% 12.39% 2.0 to 2.5 1.49% 11.42% 0 to 0.5 0.77% 16.86% 0.5 to 1.0 1.54% 1.17% Years 1.0 to 1.5 1.16% 1.55% 10.29% 1.83% 5.24% 1.50% 6.92% 1.60% 11.43% 1.44% 10.16% Purchase Yield % of Portfolio* Total 1.34% 100.00% 4.5 to 5+ 14.12% 3.5 to 4.0 3.0 to 3.5 4.0 to 4.5 2.5 to 3.0 0.77% 1.54% 1.16% 1.39% 1.49% 1.55% 1.60% 1.50% 1.44% 1.83%

0.0% 0.3% 0.5% 0.8% 1.0% 1.3% 1.5% 1.8% 2.0% 2.3%

• 0.5

0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0

Purchase Yield Years

Bubble Size = Maturity's % of Portfolio January 31, 2017 30

Portfolio Statistics: Historical 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 Duration

Reserve Total Portfolio Core

January 31, 2017 31

Total General Portfolio Statistics: Sector Allocation History

Sector Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Tsy 53.9% 52.5% 50.7% 48.3% 55.6% 57.6% 60.6% 61.8% 62.4% 62.9% 58.6% 58.1% Agy 10.5% 12.4% 12.0% 11.5% 11.9% 11.8% 11.7% 12.5% 11.5% 9.6% 12.5% 11.0% Corp 18.2% 18.3% 16.3% 14.3% 15.2% 15.3% 16.3% 16.6% 17.3% 17.6% 16.3% 16.5% CP 16.1% 15.9% 20.0% 24.8% 16.3% 14.3% 10.4% 7.8% 7.4% 8.2% 11.2% 13.2%

• Neg. CDs

0.1% 0.1% 0.1% 0.1% 0.1% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3% 0.0% CDARS 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Bank 1.2% 0.8% 0.9% 0.8% 0.8% 0.7% 0.7% 1.0% 1.1% 1.3% 1.1% 1.2% 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 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 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 Tsy Agy Corp CP Bank/Sweep CDARS MBS

• Neg. CDS

January 31, 2017 32

Portfolio Statistics: Monthly Total Return

Core Benchmark Variance Reserve Benchmark Variance

0.07% 0.04% 0.03% 0.18% 0.19%

• 0.01%

Sector Core Benchmark Treasury 0.05% 0.04% Agency 0.05% 0.00% Treasury 0.16% 0.71 0.17% 0.81

• 0.02%

Corporate 0.08% 0.00% Agy/Muni 0.21% 0.11 0.20% 0.06

0.01%

Corporate 0.25% 0.18 0.29% 0.14

0.01% Monthly Performance Monthly Performance

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

Attribution of Sub-Sector Returns

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 0.00% 0.05% 0.10% 0.15% 0.20%

Reserve Benchmark

Percent Variance

Reserve vs Benchmark

0.00% 0.01% 0.02% 0.03% 0.04% 0.05% 0.06% 0.07% 0.08%

Core Benchmark

Percent Variance

Core vs Benchmark

January 31, 2017 33

Total Return Performance: Core vs. Benchmark

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

0.07% 0.17% 0.34% 0.55% 0.31% 0.27% 1.05% 0.04% 0.11% 0.23% 0.39% 0.15% 0.13% 0.77% 0.03% 0.06% 0.11% 0.16% 0.16% 0.14% 0.28% *Core Benchmark: 3 Month T-Bill (G0O1) Portfolio Core Benchmark Variance Core Total Return

0.07% 0.17% 0.34% 0.55% 0.31% 0.27% 1.05% 0.04% 0.11% 0.23% 0.39% 0.15% 0.13% 0.77%

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, 2017 34

Total Return Performance: Reserve vs. Benchmark

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

0.18%

• 0.64%
• 0.93%

0.45% 1.15% 0.98% 3.03% 0.19%

• 0.67%
• 0.96%

0.42% 1.13% 1.05% 2.87%

• 0.01%

0.03% 0.03% 0.03% 0.02%

• 0.07%

0.16% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Reserve Total Return Portfolio Reserve Benchmark Variance

0.18%

• 0.64%
• 0.93%

0.45% 1.15% 0.98% 3.03% 0.19%

• 0.67%
• 0.96%

0.42% 1.13% 1.05% 2.87%

• 1.50%
• 1.00%
• 0.50%

0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% 3.50% 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years Year

Reserve Index

January 31, 2017 35

Portfolio Statistics: Historical Total Return

FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FYTD 17 Avg

Core Portfolio 0.22% 0.22% 0.21% 0.23% 0.16% 0.15% 0.40% 0.27% 0.34% Benchmark* 0.16% 0.19% 0.04% 0.13% 0.07% 0.00% 0.19% 0.19% 0.23% Variance 0.06% 0.03% 0.17% 0.06% 0.03% 0.17% 0.21% 0.08% 0.11% *Core Benchmark: 3 Month T-Bill (G0O1)

Figures may not total due to rounding

0.0% 0.1% 0.1% 0.2% 0.2% 0.3% FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FYTD 17 Percent Variance

Performance Variance: Core vs 3 Mon T-bill

January 31, 2017 36

Portfolio Statistics: Historical Total Return

FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FYTD 17 Avg

Reserve Portfolio 5.31% 2.56% 2.38% 0.15% 1.55% 1.38% 2.56%

• 0.93%

1.87% Benchmark* 5.04% 2.67% 2.36% 0.39% 1.53% 1.39% 2.51%

• 0.96%

1.87% Variance 0.27%

• 0.11%

0.02%

• 0.24%

0.02%

• 0.01%

0.05% 0.03% 0.00% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13

Figures may not total due to rounding

• 0.3%
• 0.2%
• 0.1%

0.0% 0.1% 0.2% 0.3% FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FYTD 17 Percent Variance

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

January 31, 2017 37

Portfolio Statistics: Monthly & FYTD Total Return

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

Core 0.04% 0.04% 0.04% 0.05% 0.05% 0.05% 0.07% Benchmark 0.03% 0.02% 0.05% 0.03% 0.02% 0.04% 0.04% Variance 0.01% 0.02%

• 0.01%

0.02% 0.03% 0.01% 0.03%

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

Core 0.04% 0.08% 0.12% 0.17% 0.22% 0.27% 0.34% Benchmark 0.03% 0.05% 0.10% 0.13% 0.15% 0.19% 0.23% Variance 0.01% 0.03% 0.02% 0.04% 0.07% 0.08% 0.11%

Monthly Performance Fiscal YTD Performance

Core vs 3 Month T-Bill Index

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

Monthly Performance Comparison

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

FYTD Performance Variance

January 31, 2017 38

Portfolio Statistics: Monthly & FYTD Total Return

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

Reserve 0.02%

• 0.27%

0.14%

• 0.18%
• 0.87%

0.05% 0.18% Benchmark 0.01%

• 0.27%

0.15%

• 0.18%
• 0.90%

0.04% 0.19% Variance 0.01% 0.00%

• 0.01%

0.00% 0.03% 0.01%

• 0.01%

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

Reserve 0.02%

• 0.25%
• 0.11%
• 0.29%
• 1.16%
• 1.11%
• 0.93%

Benchmark 0.01%

• 0.26%
• 0.11%
• 0.29%
• 1.19%
• 1.15%
• 0.96%

Variance 0.01% 0.01% 0.00% 0.00% 0.03% 0.04% 0.03%

Monthly Performance* Fiscal YTD Performance*

Reserve vs 1-5 Year Government/Corporate Index

• 1.00%
• 0.80%
• 0.60%
• 0.40%
• 0.20%

0.00% 0.20% 0.40% 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% 0.03% 0.04% 0.05% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FYTD Performance Variance

January 31, 2017 39

Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury

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

Reserve

• 0.02%
• 0.22%

0.13%

• 0.14%
• 0.63%

0.02% 0.11% Benchmark

• 0.03%
• 0.25%

0.14%

• 0.16%
• 0.73%

0.02% 0.14%

• Mon. Var.

0.01% 0.03%

• 0.01%

0.02% 0.10% 0.00%

• 0.03%

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

FYTD Var. 0.01% 0.04% 0.03% 0.05% 0.15% 0.15% 0.12%

*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*

• 0.80%
• 0.70%
• 0.60%
• 0.50%
• 0.40%
• 0.30%
• 0.20%
• 0.10%

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

Monthly Performance Comparison

Reserve Tsy Benchmark Tsy 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

FYTD Performance Variance

January 31, 2017 40

Portfolio Attribution: Reserve Agency vs. Benchmark Agency

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

Reserve 0.00%

• 0.03%

0.02%

• 0.02%
• 0.09%

0.00% 0.02% Benchmark 0.00%

• 0.01%

0.01% 0.00%

• 0.04%

0.00% 0.01%

• Mon. Var.

0.00%

• 0.02%

0.01%

• 0.02%
• 0.05%

0.00% 0.01%

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

FYTD Var. 0.00%

• 0.02%
• 0.01%
• 0.03%
• 0.08%
• 0.08%
• 0.07%

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

Agency Sector Total Returns

Monthly Variance* Fiscal YTD Variance*

• 0.10%
• 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

Monthly Performance Comparison

Reserve Agy Benchmark Agy

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

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

FYTD Performance Variance

January 31, 2017 41

Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate

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

Reserve 0.04%

• 0.02%
• 0.01%
• 0.02%
• 0.15%

0.03% 0.05% Benchmark 0.04%

• 0.01%

0.00%

• 0.02%
• 0.12%

0.02% 0.04%

• Mon. Var.

0.00%

• 0.01%
• 0.01%

0.00%

• 0.03%

0.01% 0.01%

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

FYTD Var. 0.00%

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

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

Corporate Sector Total Returns

Monthly Variance* Fiscal YTD Variance*

• 0.20%
• 0.15%
• 0.10%
• 0.05%

0.00% 0.05% 0.10% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Monthly Performance Comparison

Reserve Corp Benchmark Corp

• 0.06%
• 0.05%
• 0.04%
• 0.03%
• 0.02%
• 0.01%

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

FYTD Performance Variance

January 31, 2017 42

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

Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17

Interest 16.5 17.4 16.9 17.3 16.8 17.0 17.0 16.5 16.9 16.6 17.3 17.4 Price 6.0 16.1

• 12.9
• 30.9

76.1

• 16.3
• 43.8
• 1.9
• 35.2
• 106.5
• 13.3

1.2 Total 22.5 33.5 4.0

• 13.6

92.9 0.7

• 26.8

14.6

• 18.3
• 89.9

4.0 18.6

Component Total Return

• 125
• 100
• 75
• 50
• 25

25 50 75 100 125 Basis Points

Monthly Price Return vs Interest Return

Price Return Interest Return

• 100
• 75
• 50
• 25

25 50 75 100 125 Basis Points

Monthly Total Return

January 31, 2017 43

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

Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 AVG

Index 23 34 4

• 14

93 1

• 27

15

• 18
• 90

4 19 4 Treasury 25 23

• 1
• 15

97

• 4
• 31

17

• 20
• 91

2 17 2 Agency 13 29 2

• 6

66

• 2
• 16

18

• 8
• 68

2 20 4 Corporate 14 95 32

• 10

84 31

• 8

1

• 14
• 89

15 29 15

Sector Total Returns (Basis Points)

• 125
• 100
• 75
• 50
• 25

25 50 75 100 125 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Basis Points

Index Sector Total Returns

Tsy Agy Corp Govt/Corp Index

January 31, 2017 44

Reserve vs Index: Sector Allocations % of Portfolio/Index

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

Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17

Percent

Treasury Allocations: Reserve vs Index

Index Reserve 5% 6% 7% 8% 9% 10% 11% 12% 13%

Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17

Percent

Agency Allocations: Reserve vs Index

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

Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17

Percent

Corporate Allocations: Reserve vs Index

Index Reserve

January 31, 2017 45

Effective Duration Allocations: Reserve vs. Benchmark

*Calculated using market values

0.0% 1.8% 16.5% 15.5% 14.1% 13.5% 11.1% 11.5% 10.8% 5.2% 0.0% 0.5% 16.8% 16.6% 13.7% 12.5% 14.5% 12.1% 8.1% 5.2%

0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 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, 2017 46

Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy

*Calculated using market values

0.0% 1.4% 13.0% 12.9% 11.1% 10.9% 9.0% 9.0% 8.9% 4.6% 0.0% 0.4% 11.8% 11.4% 9.1% 8.4% 11.6% 9.6% 6.3% 2.9%

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, 2017 47

Effective Duration Allocations: Reserve Agy vs. Benchmark Agy

*Calculated using market values

0.0% 0.2% 1.4% 1.0% 1.1% 0.8% 0.6% 0.3% 0.3% 0.3% 0.0% 0.0% 2.0% 2.6% 1.4% 1.4% 0.7% 1.0% 1.0% 0.5%

0% 1% 2% 3% 4% 5% 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, 2017 48

Effective Duration Allocations: Reserve Corp vs. Benchmark Corp

*Calculated using market values

0.0% 0.3% 2.1% 1.7% 1.9% 1.8% 1.5% 2.2% 1.6% 0.4% 0.0% 0.2% 3.0% 2.6% 3.2% 2.7% 2.2% 1.5% 0.9% 1.7%

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

Index Corporate Reserve Corporate

January 31, 2017 49

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 $4,762,399,760 58.10% AA+ Aaa Stryker $19,953,600 0.24% A Baa1 FNMA $345,705,400 4.22% AA+ Aaa Johnson & Johnson $19,896,200 0.24% AAA Aaa Bank Tokyo-Mitsubishi $308,355,308 3.76% A+ A1 Mastercard $17,875,680 0.22% A A2 Mizuho Bank $261,049,289 3.18% A A1 Pepsico $16,909,470 0.21% A A1 IBRD $166,344,951 2.03% AAA Aaa M&T Trust $16,147,880 0.20% A A2 FHLB $158,225,200 1.93% AA+ Aaa State Street $16,106,700 0.20% A A1 General Electric $118,005,368 1.44% AA- A1 Oracle $15,187,050 0.19% AA- A1 Microsoft $116,732,983 1.42% AAA Aaa Home Depot $15,144,900 0.18% A A2 Exxon Mobil $110,055,349 1.34% AA+ Aaa BB&T Corp $15,139,100 0.18% A- A2 Chevron $106,474,207 1.30% AA- Aa2 Gilead Sciences $15,122,150 0.18% A A3 Wells Fargo Bank* $99,257,067 1.21% NR NR Precision Castparts $15,102,000 0.18% AA- A2 BMW $79,921,147 0.98% A+ A1 Bank of America NA $15,071,550 0.18% A+ A1 JPMorgan Chase & Co $75,046,600 0.92% A- A3 3M Company $15,066,000 0.18% AA- A1 Praxair $74,937,323 0.91% A A2 Charles Schwab $15,045,350 0.18% A A2 IADB $67,186,867 0.82% AAA Aaa Qualcomm $15,027,600 0.18% A+ A1 PNC Bank $55,097,200 0.67% A A2 Intel $15,019,500 0.18% A+ A1 IBM $55,062,750 0.67% AA- Aa3 Walt Disney $14,910,500 0.18% A A2 State of California $54,644,995 0.67% AA- Aa3 UnitedHealth Group $14,140,600 0.17% A+ A3 Toyota $52,075,632 0.64% AA- Aa3 Public Service Electric $12,060,720 0.15% A Aa3 Honeywell $49,276,500 0.60% A A2 Ralph Lauren $10,080,800 0.12% A A2 Apple $45,008,650 0.55% AA+ Aa1 Visa $10,044,500 0.12% A+ A1 Wells Fargo & Co $45,002,050 0.55% A A2 US Bancorp $10,037,400 0.12% A+ A1 Berkshire Hathaway $44,966,200 0.55% AA Aa2 Danaher $10,035,200 0.12% A A2 Bank of New York Mellon $40,110,150 0.49% A A1 Wisconsin Electric Power $10,019,900 0.12% A- A1 Branch Banking and Trust $40,025,000 0.49% A A1 Wells Fargo Bank NA $10,014,500 0.12% AA- Aa2 United Parcel $39,999,309 0.49% A+ A1 PACCAR $10,006,900 0.12% A+ A1 IFC $39,964,444 0.49% AAA Aaa Texas Instrument $9,954,600 0.12% A+ A1 Morgan Stanley $35,340,929 0.43% BBB+ A3 JPMorgan Chase Bank $9,920,300 0.12% A+ Aa3 Pfizer $34,882,750 0.43% AA A1 Philip Morris $9,803,100 0.12% A A2 Cisco $30,202,150 0.37% AA- A1 Target $7,105,350 0.09% A A2 US Bank $30,045,800 0.37% AA- A1 Automatic Data Processing $5,048,850 0.06% AA Aa3 Goldman Sachs $27,045,756 0.33% BBB+ A3 Procter & Gamble $5,041,800 0.06% AA- Aa3 John Deere $25,021,850 0.31% A A2 Daimler $5,038,950 0.06% A A3 FFCB $24,946,750 0.30% AA+ Aaa Eli Lilly $5,030,550 0.06% AA- A2 American Honda $24,765,350 0.30% A+ A1 Merck $4,998,850 0.06% AA A1 Caterpillar $24,679,900 0.30% A A3 Univ of California $4,992,450 0.06% AA Aa2 Coca Cola $22,082,060 0.27% AA- Aa3 Medtronic $4,991,650 0.06% A A3 Intercontinental Exg $20,457,348 0.25% A A2 Corning $4,990,400 0.06% BBB+ Baa1 TVA $20,186,200 0.25% AA+ Aaa Total $8,196,640,141 100.00% FHLMC $19,971,000 0.24% AA+ Aaa

*Checking Account

Issuer January 31, 2017 50

Total General Portfolio Transactions

Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17

Buys 33 38 41 37 51 46 35 34 39 38 61 42 Sells Total 33 38 41 37 51 46 35 34 39 38 61 42

Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17

Buys 15 4 5 11 4 9 10 6 8 7 4 10 Sells 8 17 8 13 2 3 4 5 7 5 6 12 Total 23 21 13 24 6 12 14 11 15 12 10 22

Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17

Buys 48 42 46 48 55 55 45 40 47 45 65 52 Sells 8 17 8 13 2 3 4 5 7 5 6 12 Total 56 59 54 61 57 58 49 45 54 50 71 64

Core Transactions Reserve Transactions Total Transactions

10 20 30 40 50 60 70 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17

Total Monthly Transactions

Buys* Sells**

*Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core January 31, 2017 51

Portfolio Transactions: Reserve Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action* 1/4/17 Toyota Corp 1/11/22 15,000,000 Buy 1/5/17 FNMA Note Agy 10/7/21 15,000,000 Sell 1/5/17 FNMA Note Agy 1/5/22 20,000,000 Buy 1/9/17 Toyota Corp 1/11/22 15,000,000 Sell 1/12/17 FHLMC Note Agy 1/17/20 20,000,000 Buy 1/18/17 IBRD Note Supra 1/26/22 15,000,000 Buy 1/19/17 Wells Fargo Bank Corp 1/22/18 10,000,000 Transfer 1/19/17 US Bancorp Corp 1/24/22 10,000,000 Buy 1/19/17 US Bank Corp 1/24/20 10,000,000 Buy 1/23/17 Branch Banking and Trust Corp 1/15/22 25,000,000 Buy 1/23/17 U.S. Treasury Note Tsy 11/30/21 25,000,000 Sell 1/24/17 IBM Corp 1/27/22 15,000,000 Buy 1/25/17 JPMorgan Chase & Co Corp 1/25/18 25,000,000 Transfer 1/26/17 US Bank Corp 1/26/17 10,000,000 Transfer 1/30/17 Microsoft Corp 2/6/20 10,000,000 Buy 1/30/17 Farmer Mac Corp 12/29/17 25,000,000 Sell 1/30/17 UnitedHealth Group Corp 12/15/17 7,000,000 Sell 1/30/17 Sherwin-Williams Corp 12/15/17 15,000,000 Sell 1/30/17 American Honda Corp 12/11/17 15,000,000 Sell 1/30/17 Costco Corp 12/15/17 16,000,000 Sell 1/31/17 Bank of New York Mellon Corp 2/7/22 15,000,000 Buy 1/31/17 U.S. Treasury Note Tsy 1/31/18 37,000,000 Sell

*"Transfer" is from Reserve to Core January 31, 2017 52

Portfolio Transactions: Core Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action* 1/3/17 Chevron CP 3/15/17 15,260,000 Buy 1/3/17 Praxair CP 3/15/17 25,000,000 Buy 1/3/17 Praxair CP 3/14/17 50,000,000 Buy 1/4/17 IADB DN Supra 3/15/17 17,175,000 Buy 1/4/17 BMW CP 2/6/17 15,000,000 Buy 1/4/17 Bank Tokyo-Mitsubishi CP 1/12/17 12,000,000 Buy 1/4/17 BNP Paribas CP 1/5/17 10,000,000 Buy 1/5/17 BNP Paribas CP 1/10/17 12,731,000 Buy 1/6/17 Bank of New York Mellon CP 1/9/17 16,929,000 Buy 1/6/17 Bank Tokyo-Mitsubishi CP 3/15/17 20,000,000 Buy 1/9/17 Cargill CP 1/11/17 27,255,000 Buy 1/10/17 Bank Tokyo-Mitsubishi CP 1/17/17 14,500,000 Buy 1/11/17 Chevron CP 3/13/17 11,212,000 Buy 1/11/17 BNP Paribas CP 1/18/17 30,000,000 Buy 1/11/17 BNP Paribas CP 1/12/17 20,000,000 Buy 1/12/17 Bank Tokyo-Mitsubishi CP 3/14/17 31,581,000 Buy 1/13/17 BNP Paribas CP 1/27/17 18,800,000 Buy 1/13/17 Chevron CP 3/28/17 25,000,000 Buy 1/17/17 BNP Paribas CP 1/18/17 30,844,000 Buy 1/18/17 Bank Tokyo-Mitsubishi CP 3/9/17 17,560,000 Buy 1/19/17 Home Depot CP 1/26/17 17,500,000 Buy 1/19/17 Wells Fargo & Co Corp 1/22/18 10,000,000 Transfer 1/20/17 Mizuho Bank CP 3/20/17 26,565,000 Buy 1/20/17 General Electric CP 3/30/17 50,000,000 Buy 1/20/17 Mizuho Bank CP 2/28/17 25,000,000 Buy 1/20/17 Bank Tokyo-Mitsubishi CP 3/16/17 25,000,000 Buy 1/20/17 Mizuho Bank CP 3/7/17 25,000,000 Buy 1/20/17 Bank Tokyo-Mitsubishi CP 3/29/17 90,000,000 Buy 1/20/17 BNP Paribas CP 1/26/17 30,000,000 Buy 1/20/17 BNP Paribas CP 1/24/17 25,000,000 Buy 1/20/17 BMW CP 3/30/17 65,000,000 Buy 1/23/17 Mizuho Bank CP 3/30/17 17,578,000 Buy

*"Transfer" is from Reserve to Core January 31, 2017 53

Portfolio Transactions: Core Portfolio (continued)

Trade Date Issuer Type Maturity Date Par Amount Action* 1/24/17 BNP Paribas CP 1/25/17 48,364,000 Buy 1/25/17 BNP Paribas CP 1/27/17 11,075,000 Buy 1/25/17 General Electric CP 3/30/17 50,000,000 Buy 1/25/17 JPMorgan Chase & Co Corp 1/25/18 25,000,000 Transfer 1/26/17 Mizuho Bank CP 3/13/17 12,060,000 Buy 1/26/17 BNP Paribas CP 1/31/17 25,000,000 Buy 1/26/17 US Bank Corp 1/26/17 10,000,000 Transfer 1/27/17 Mizuho Bank CP 3/30/17 32,633,000 Buy 1/30/17 Mizuho Bank CP 3/30/17 122,500,000 Buy 1/31/17 Bank Tokyo-Mitsubishi CP 3/31/17 14,453,000 Buy

*"Transfer" is from Reserve to Core January 31, 2017 54