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

May 31, 2017

Economic Update: Overall Economy

* Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 5/31/17

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 2.1 1.2 3.0 2.4 2.3 2.2

• 12
• 10
• 8
• 6
• 4
• 2

2 4 6 8

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 Q1 2018

Percent

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

May 31, 2017 2

Economic Update: Employment

*Los Angeles area unemployment is not seasonally adjusted. Data Source: Bloomberg 12 Month Average Monthly Job Change: 188,833 50 100 150 200 250 300 350 400 Nov-12 Feb-13 May-13 Aug-13 Nov-13 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 Thousands

Monthly Non-Farm Payrolls

3 4 5 6 7 8 9 10 11 Nov-12 Feb-13 May-13 Aug-13 Nov-13 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 Percent

Unemployment Rates

California LA Area U.S.A

May 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 Nov-12 Feb-13 May-13 Aug-13 Nov-13 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 Percent

U.S. Retail Sales* YOY % Change

$390 $400 $410 $420 $430 $440 $450 $460 $470 $480 Nov-12 Feb-13 May-13 Aug-13 Nov-13 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 Billions

Total Monthly U.S. Retail Sales

May 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 Nov-12 Feb-13 May-13 Aug-13 Nov-13 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 Percent

CPI and CPIX* YOY % Change

CPI CPIX

• 6.6
• 1.3

0.8 1.9 2.2 2.5 2.6 3.4 5.6

• 8
• 6
• 4
• 2

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

Sector YOY % Price Changes

May 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 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Index Value

Dollar Index

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

Gold-Per Ounce

Gold and Oil

Gold Oil

May 31, 2017 6

Economic Update: Sector Returns YTD

As of:

Data Source: Bloomberg

5/31/17

• 6.4
• 3.0
• 1.5

0.2 0.3 0.5 1.0 1.7 2.4 2.8 3.0 5.3 6.3 8.5 11.1 12.5 14.1 14.1 16.9 17.1 17.8

• 10
• 5

5 10 15 20 Percent

May 31, 2017 7

Economic Update: S&P 500 Returns

As of:

Data Source: Bloomberg

5/31/17

• 12.6

0.4 2.5 7.1 9.0 10.1 10.8 11.7 12.2 17.3

• 15
• 10
• 5

5 10 15 20 Percent

YTD S&P 500 Major Sector Returns

May 31, 2017 8

Economic Update: Yield Curve FYTD

Maturity 6/30/16 5/31/17 Change

Data Source: Bloomberg Figures may not total due to rounding

3M 0.26 0.97 0.71 6M 0.35 1.07 0.72 1Y 0.44 1.15 0.72 2Y 0.58 1.28 0.70 3Y 0.69 1.43 0.74 30Y 2.29 2.86 0.58 5Y 1.00 1.75 0.75 10Y 1.47 2.20 0.73 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 5/31/17

May 31, 2017 9

Economic Update: Interest Rates

Data Source: Bloomberg

• 0.20

0.00 0.20 0.40 0.60 0.80 1.00 1.20 1.40 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 Mar-17 May-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 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 Mar-17 May-17 Percent

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

5Y 2Y

May 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 10 5 10 15 20 25 30 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 Feb-17 Basis Point Spread

Spread*: 1-5 Yr Agency vs Treasury

63 50 100 150 200 250 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 Feb-17 Basis Point Spread

Spread*: 1-5 Yr Corporate vs Treasury

May 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

Mkt Value % of Total Average Maturity (Yrs)** Effective Duration** 100% 0.09 0.23 $9,324,563,348 $2,816,121,041

• $6,489,935,000
• $2,814,395,693
• $6,510,167,655
• Par Value

Variance 1.98 0.94%

• 1.56%
• Total General

Portfolio Weighted Purchase Yield## Market Value $9,306,056,041 ($1,725,348)

• $20,232,655
• $18,507,307

1.38% 30.2%

• 69.8%

1.94 Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # 0.19 0.23 2.69 2.70 2.80 2.82

• May 31, 2017

12

Total General Portfolio: Maturity Distribution

5/31/17 4/30/17 Variance 0-.25 .5 to 1 5.2% 0.2%

• 0.2%

0.3% 1.1% 23.7% Years 28.8% 1 to 2 0.1% 1.3% 24.1% 2 to 3 3 to 4 4 to 5+ 17.7% 16.5% 12.7%

• 1.2%

.25 to .5 22.8% 20.6% 17.4% 12.8%

• 2.9%
• 0.9%

0.0% 0% 5% 10% 15% 20% 25% 30% 35% 0-.25 .25 to .5 .5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ 5/31/17 4/30/17

May 31, 2017 13

Sector Allocations: Total General Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Total 100.0% 100.0%

May 31, 2017

MMFs

• 4.7%

24.9% 15.4% 0.5% 52.3% Negotiable CDs Agencies* Treasuries 0.1% 0.0% Bank Deposits CDARS Commercial Paper Corporate Notes ABS 47.7% 0.0% 0.1% 0.0% 0.0% 8.4% 2.1% 10.5% Sector 5/31/2017 4/30/2017 Variance 0.1%

• 0.2%

0.0% 0.0% 22.0% 3.0% 15.7%

• 0.4%

1.2% 0.4% 1.0% 0.0% Bank Dep 1.0% CP 24.9% CORP 15.4% MMF 0.1% ABS 0.5% Agy 10.5% Tsy 47.7%

May 31, 2017 14

Sector Allocations: Core Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

0.0% 0.0% 0.0% 0.0% 100.0% 0.0% 0.0% 1.6% 7.9% Corporate Notes 4.4% 6.1%

• 1.7%

MMFs 0.3% 0.0% 0.3% Commercial Paper 82.6%

Core Portfolio

CDARS 0.0% 87.5%

May 31, 2017

• 5.0%

Sector 5/31/2017 4/30/2017 Variance Bank Deposits 3.3% 4.7%

• 1.5%

Total 100.0% Negotiable CDs 0.0% Treasuries 0.0% Agencies* 9.5% Bank Dep 3.3% CP 82.6% Corp 4.4% MMF 0.3% Agy 9.5%

May 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

Corporate Notes 0.62 1.51% 4.6% Commercial Paper 0.07 0.92% 85.4%

Core Portfolio

Negotiable CDs 0.00 0.00 0.0% Sector WAM (Yrs.) Purchase Yield % of Portfolio* Agencies** 0.08 0.83% 9.8% Total 0.10 0.94% 100.0% Treasuries 0.00 0.00 0.0% Money Market 0.00 0.21% 0.3%

Corp CP Agy MMF

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 May 31, 2017 16

Sector Allocations: Reserve Portfolio

*Includes Supranational and Municipal Securities

Figures may not total due to rounding

Variance Treasuries 68.3% 69.9%

• 1.6%

Reserve Portfolio

May 31, 2017

ABS 0.8% Agencies* 10.9% 10.6% 0.3% Corporate Notes 20.1% 18.9% 1.2% 0.2% Sector 5/31/2017 4/30/2017 Total 100.0% 100.0% 0.6% Corp 20.1% ABS 0.8% Agy 10.9% Tsy 68.3%

May 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

Reserve Portfolio

Total 2.80 1.56% 100.0% 2.09% 1.58% 68.3% Treasuries 2.80 Agencies** Corporate Notes % of Portfolio* Purchase Yield WAM (Yrs.) 2.67 Sector ABS 4.58 10.9% 1.40% 2.81 20.1% 0.8% 1.82%

Tsy Agy Corp

ABS 0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00% 2.25% 0.0 1.0 2.0 3.0 4.0 5.0 6.0

Purchase Yield WAM Years

Bubble size = Sector's % of Portfolio May 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

May 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 Mar-17 Billions

May 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 Mar-17

Reserve Core

May 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.

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

Maturity Limitations*

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

Compliance Sector

Complies 270 Days 180 Days

Limit

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

May 31, 2017 22

Portfolio Compliance with Code, Policy, and Guidelines

Supranational Obligations 30% Complies Mortgage Backed Securities/CMOs Asset Backed Securities Banker's Acceptances State/Local Agency Securities Mutual Funds/Money Market Funds LAIF State Pool Complies Complies Complies-none in portfolio 20% $65 Million Per Account 30% 10%

Sector

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

Percentage Allocation Limitations

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

Limit

100% 40% 180 Days 1 Year

Compliance

May 31, 2017 23

Portfolio Compliance with Code, Policy, and Guidelines

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

Issuer and Transaction Limitations -- Approved Issuers

Item Limit

Government Issuer 100% Complies

Compliance

May 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: 2.69 vs 2.70

Item Limit Compliance

Maturity Limitation One Year Complies

Reserve Portfolio

Item Limit Compliance

May 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

May 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

May 31, 2017 27

Purchase Yield Per 3-Month Maturity Intervals

*Based on Par Value

Core Portfolio

Months Purchase Yield % of Portfolio* 0 to 3 0.91% 95.41% 3 to 6 1.35% 0.92% 6 to 9 1.60% 2.57% 9 to 12 1.44% 1.10% Total 0.94% 100.00%

0.91% 1.35% 1.28% 1.44%

0.0% 0.5% 1.0% 1.5% 2.0% 0.00 0.25 0.50 0.75 1.00

Purchase Yield Years

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

Purchase Yield Per 6-Month Maturity Intervals

*Based on Par Value

3.5 to 4.0 1.42% 11.77% 1.0 to 1.5 1.42% 15.76% 1.5 to 2.0 1.41% 15.40% 2.0 to 2.5 1.57% 13.68% 2.5 to 3.0 1.61% 11.54% 3.0 to 3.5 Years Purchase Yield % of Portfolio* .5 to 1.0 0.00 0.00%

Reserve Portfolio

Total 1.56% 100.00% 4.0 to 4.5 4.5 to 5.0+ 1.55% 2.02% 7.90% 11.96% 1.59% 11.98%

1.42% 1.41% 1.57% 1.61% 1.59% 1.42% 1.55% 2.02%

0.8% 1.1% 1.3% 1.6% 1.8% 2.1% 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 4.50 5.00

Purchase Yield Years

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

Purchase Yield Per 6-Month Maturity Intervals

*Based on Par Value

Purchase Yield % of Portfolio* Total 1.38% 100.00% 4.5 to 5+ 11.11% 3.5 to 4.0 3.0 to 3.5 4.0 to 4.5 2.5 to 3.0 1.61% 8.14% 2.02% 8.44% 1.42% 8.30% 1.59% 8.45% 1.55% 5.57%

Total General Portfolio

1.5 to 2.0 1.41% 10.86% 2.0 to 2.5 1.57% 9.64% 0 to 0.5 0.92% 28.41% 0.5 to 1.0 1.55% 1.08% Years 1.0 to 1.5 1.42% 0.92% 1.55% 1.42% 1.41% 1.57% 1.61% 1.59% 1.42% 1.55% 2.02%

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 May 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

May 31, 2017 31

Total General Portfolio Statistics: Sector Allocation History

Sector Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17 Tsy 55.6% 57.6% 60.6% 61.8% 62.4% 62.9% 58.6% 58.1% 53.7% 55.2% 52.3% 47.7% Agy 11.9% 11.8% 11.7% 12.5% 11.5% 9.6% 12.5% 11.0% 10.4% 8.7% 8.4% 10.5% Corp 15.2% 15.3% 16.3% 16.6% 17.3% 17.6% 16.3% 16.5% 15.3% 16.2% 15.7% 15.4% CP 16.3% 14.3% 10.4% 7.8% 7.4% 8.2% 11.2% 13.2% 19.3% 18.7% 22.0% 24.9%

• Neg. CDs

0.1% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3% 0.0% 0.0% 0.0% 0.0% 0.0% ABS 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1% 0.4% 0.5% Bank 0.8% 0.7% 0.7% 1.0% 1.1% 1.3% 1.1% 1.2% 1.2% 1.0% 1.2% 1.1% Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%

Figures may not total due to rounding

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

• Neg. CDS

CDARS

May 31, 2017 32

Book Return: Core Portfolio

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

0.45% 0.48% 0.50% 0.51% 0.53% 0.55% 0.59% 0.62% 0.67% 0.70% 0.74% 0.49% 0.50% 0.52% 0.53% 0.53% 0.56% 0.59% 0.61% 0.64% 0.67% 0.69%

• 0.04%
• 0.02%
• 0.02%
• 0.02%

0.00%

• 0.01%

0.00% 0.01% 0.03% 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

1.01% 1.27% 0.56% 0.41% 0.64% 0.74% 0.28% 0.19% 0.13% 0.15% 0.33% 0.69% 0.73% 1.08% 0.43% 0.26% 0.31% 0.05% Variance *Core Benchmark: 70% monthly average of 60 Day A1/P1 Bloomberg CP Index (DCBP060Y) and 30% monthly moving average of 30 Day Agy (AGDN030Y). Average builds from beginning of fiscal year. Figures may not total due to rounding Custom Benchmark* Variance

Fiscal YTD

Core Portfolio

Fiscal YTD

Core Portfolio Custom Benchmark* 0.0% 0.2% 0.4% 0.6% 0.8% 1.0% 1.2% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 Percent Variance

Performance Variance: Core vs Benchmark

0.40% 0.50% 0.60% 0.70% 0.80% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Percent Variance

Performance Variance: Core vs Benchmark

Core Benchmark

May 31, 2017 33

Book Return: Reserve Portfolio

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

1.39% 1.38% 1.39% 1.39% 1.40% 1.39% 1.39% 1.41% 1.41% 1.42% 1.41% 1.00% 1.00% 1.00% 1.00% 1.01% 1.02% 1.02% 1.03% 1.04% 1.06% 1.07% 0.39% 0.38% 0.39% 0.39% 0.39% 0.37% 0.37% 0.38% 0.37% 0.36% 0.34%

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% 1.41% 0.96% 0.66% 0.59% 0.76% 0.94% 1.07% 0.95% 0.89% 0.93% 0.65% 0.49% 0.34% *Reserve Benchmark: 24 month moving average of the Merrill Lynch 1-5 year U.S. Government and U.S. Corporate A-AAA Index (BU10). Average builds from beginning of fiscal year. Figures may not total due to rounding Custom Benchmark* Variance

Fiscal YTD

Reserve Portfolio Custom Benchmark* Variance

Fiscal YTD

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

Performance Variance: Reserve vs Benchmark

0.80% 0.90% 1.00% 1.10% 1.20% 1.30% 1.40% 1.50% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Percent Variance

Performance Variance: Reserve vs Benchmark

Reserve Benchmark

May 31, 2017 34

Book Return: Combined Portfolios

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

1.17% 1.20% 1.22% 1.24% 1.26% 1.26% 1.27% 1.28% 1.28% 1.29% 1.29% 0.90% 0.90% 0.90% 0.91% 0.91% 0.92% 0.94% 0.95% 0.96% 0.98% 0.99% 0.27% 0.30% 0.32% 0.33% 0.35% 0.34% 0.33% 0.33% 0.32% 0.31% 0.30%

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% 0.83% 0.57% 0.50% 0.64% 0.82% 0.99% 0.93% 0.94% 0.86% 0.55% 0.58% 0.30% *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

Fiscal YTD

Combined Portfolio Custom Benchmark* Variance

Fiscal YTD

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

Performance Variance: Combined vs Benchmark

0.80% 0.90% 1.00% 1.10% 1.20% 1.30% 1.40% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Percent Variance

Performance Variance: Combined vs Benchmark

Reserve Benchmark

May 31, 2017 35

Portfolio Statistics: Monthly Total Return

Core Benchmark Variance Reserve Benchmark Variance

0.08% 0.05% 0.03% 0.24% 0.24% 0.00%

Sector Core Benchmark Treasury 0.00% 0.07% Agency 0.06% 0.00% Treasury 0.21% 0.68 0.22% 0.81

• 0.03%

Corporate 0.08% 0.00% Agy/Muni 0.25% 0.11 0.21% 0.06

0.02%

Corp/ABS 0.34% 0.21 0.37% 0.13

0.02%

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

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

Weighted Variance Monthly Performance Monthly Performance

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

Attribution of Sub-Sector Returns

0.00% 0.05% 0.10% 0.15% 0.20% 0.25% 0.30%

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% 0.09%

Core Benchmark

Percent Variance

Core vs Benchmark

May 31, 2017 36

Total Return Performance: Core vs. Benchmark

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

0.08% 0.22% 0.62% 0.66% 0.39% 0.32% 0.90% 0.05% 0.14% 0.41% 0.46% 0.21% 0.16% 0.61% 0.03% 0.08% 0.21% 0.20% 0.18% 0.16% 0.29% *Core Benchmark: 3 Month T-Bill (G0O1) Portfolio Core Benchmark Variance Core Total Return

0.08% 0.22% 0.62% 0.66% 0.39% 0.32% 0.90% 0.05% 0.14% 0.41% 0.46% 0.21% 0.16% 0.61%

0.00% 0.10% 0.20% 0.30% 0.40% 0.50% 0.60% 0.70% 0.80% 0.90% 1.00% 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years Year

Core Index

May 31, 2017 37

Total Return Performance: Reserve vs. Benchmark

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

0.24% 0.62%

• 0.13%

0.76% 1.23% 1.10% 2.96% 0.24% 0.61%

• 0.17%

0.76% 1.21% 1.14% 2.81% 0.00% 0.01% 0.04% 0.00% 0.02%

• 0.04%

0.15% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Reserve Total Return Portfolio Reserve Benchmark Variance

0.24% 0.62%

• 0.13%

0.76% 1.23% 1.10% 2.96% 0.24% 0.61%

• 0.17%

0.76% 1.21% 1.14% 2.81%

• 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

May 31, 2017 38

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% 0.62% 0.34% Benchmark* 0.16% 0.19% 0.04% 0.13% 0.07% 0.00% 0.19% 0.41% 0.23% Variance 0.06% 0.03% 0.17% 0.06% 0.03% 0.17% 0.21% 0.21% 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

May 31, 2017 39

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%

• 0.13%

1.97% Benchmark* 5.04% 2.67% 2.36% 0.39% 1.53% 1.39% 2.51%

• 0.17%

1.97% Variance 0.27%

• 0.11%

0.02%

• 0.24%

0.02%

• 0.01%

0.05% 0.04% 0.01% *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

May 31, 2017 40

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% 0.06% 0.06% 0.08% 0.08% Benchmark 0.03% 0.02% 0.05% 0.03% 0.02% 0.04% 0.04% 0.04% 0.02% 0.07% 0.05% Variance 0.01% 0.02%

• 0.01%

0.02% 0.03% 0.01% 0.03% 0.02% 0.04% 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% 0.40% 0.46% 0.54% 0.62% Benchmark 0.03% 0.05% 0.10% 0.13% 0.15% 0.19% 0.23% 0.27% 0.29% 0.36% 0.41% Variance 0.01% 0.03% 0.02% 0.04% 0.07% 0.08% 0.11% 0.13% 0.17% 0.18% 0.21%

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% 0.09% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Monthly Performance Comparison

Core Benchmark 0.00% 0.05% 0.10% 0.15% 0.20% 0.25% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

FYTD Performance Variance

May 31, 2017 41

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% 0.19% 0.06% 0.32% 0.24% Benchmark 0.01%

• 0.27%

0.15%

• 0.18%
• 0.90%

0.04% 0.19% 0.19% 0.05% 0.32% 0.24% Variance 0.01% 0.00%

• 0.01%

0.00% 0.03% 0.01%

• 0.01%

0.00% 0.01% 0.00% 0.00%

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%
• 0.74%
• 0.68%
• 0.36%
• 0.13%

Benchmark 0.01%

• 0.26%
• 0.11%
• 0.29%
• 1.19%
• 1.15%
• 0.96%
• 0.77%
• 0.72%
• 0.40%
• 0.17%

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

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

May 31, 2017 42

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% 0.11% 0.04% 0.22% 0.14% Benchmark

• 0.03%
• 0.25%

0.14%

• 0.16%
• 0.73%

0.02% 0.14% 0.12% 0.04% 0.25% 0.18%

• Mon. Var.

0.01% 0.03%

• 0.01%

0.02% 0.10% 0.00%

• 0.03%
• 0.01%

0.00%

• 0.03%
• 0.04%

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% 0.11% 0.11% 0.08% 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*

• 0.80%
• 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 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

May 31, 2017 43

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% 0.01% 0.01% 0.03% 0.03% Benchmark 0.00%

• 0.01%

0.01% 0.00%

• 0.04%

0.00% 0.01% 0.01% 0.00% 0.01% 0.01%

• Mon. Var.

0.00%

• 0.02%

0.01%

• 0.02%
• 0.05%

0.00% 0.01% 0.00% 0.01% 0.02% 0.02%

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%
• 0.07%
• 0.06%
• 0.04%
• 0.02%

*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

May 31, 2017 44

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% 0.07% 0.01% 0.07% 0.07% Benchmark 0.04%

• 0.01%

0.00%

• 0.02%
• 0.12%

0.02% 0.04% 0.06% 0.01% 0.06% 0.05%

• Mon. Var.

0.00%

• 0.01%
• 0.01%

0.00%

• 0.03%

0.01% 0.01% 0.01% 0.00% 0.01% 0.02%

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%
• 0.02%
• 0.02%
• 0.01%

0.01%

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

FYTD Performance Variance

May 31, 2017 45

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

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

Interest 17.3 16.8 17.0 17.0 16.5 16.9 16.6 17.3 17.4 16.2 17.4 17.1 Price

• 30.9

76.1

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

1.2 2.7

• 12.0

15.0 Total

• 13.6

92.9 0.7

• 26.8

14.6

• 18.3
• 89.9

4.0 18.6 18.9 5.4 32.1

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

May 31, 2017 46

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

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

Index 93 1

• 27

15

• 18
• 90

4 19 19 5 32 32 7 Treasury 97

• 4
• 31

17

• 20
• 91

2 17 15 5 31 22 5 Agency 66

• 2
• 16

18

• 8
• 68

2 20 17 5 23 21 7 Corporate 84 31

• 8

1

• 14
• 89

15 29 43 6 42 37 15

Sector Total Returns (Basis Points)

• 125
• 100
• 75
• 50
• 25

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

Index Sector Total Returns

Tsy Agy Corp Govt/Corp Index

May 31, 2017 47

Reserve vs Index: Sector Allocations % of Portfolio/Index

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

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

Percent

Treasury Allocations: Reserve vs Index

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

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

Percent

Agency Allocations: Reserve vs Index

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

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

Percent

Corporate Allocations: Reserve vs Index

Index Reserve

May 31, 2017 48

Effective Duration Allocations: Reserve vs. Benchmark

*Calculated using market values

0.0% 2.0% 14.7% 16.4% 13.7% 14.2% 11.7% 10.8% 12.0% 4.5% 0.3% 0.8% 17.5% 15.2% 13.6% 15.1% 10.6% 11.9% 9.0% 6.0%

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

Index Reserve

May 31, 2017 49

Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy

*Calculated using market values

0.0% 1.5% 12.3% 12.9% 11.2% 11.4% 9.5% 8.7% 9.8% 4.1% 0.0% 0.0% 11.9% 10.7% 8.7% 9.3% 9.1% 9.2% 5.4% 3.9%

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

May 31, 2017 50

Effective Duration Allocations: Reserve Agy vs. Benchmark Agy

*Calculated using market values

0.0% 0.3% 1.1% 1.2% 1.1% 0.7% 0.3% 0.2% 0.4% 0.1% 0.0% 0.0% 2.6% 1.5% 1.2% 2.3% 0.4% 1.3% 0.9% 0.7%

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

May 31, 2017 51

Effective Duration Allocations: Reserve Corp vs. Benchmark Corp

*Calculated using market values

0.0% 0.2% 1.3% 2.4% 1.4% 2.1% 1.9% 1.9% 1.8% 0.4% 0.3% 0.8% 3.0% 3.0% 3.6% 3.5% 1.1% 1.4% 2.7% 1.4%

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

May 31, 2017 52

Total General Portfolio: Credit Quality

S&P Moody's S&P Moody's Market Value % of Port LT Rating LT Rating Issuer Market Value % of Port LT Rating LT Rating U.S. Treasury $4,443,527,750 47.65% AA+ Aaa American Honda $24,955,400 0.27% A+ A1 Exxon Mobil $414,076,188 4.44% AA+ Aaa Caterpillar $24,854,500 0.27% A A3 Bank Tokyo-Mitsubishi $373,707,075 4.01% A+ A1 San Diego Gas & Electric $20,171,045 0.22% A A1 Mizuho Bank $372,134,302 3.99% A A1 TVA $20,131,000 0.22% AA+ Aaa IBRD $281,145,114 3.02% AAA Aaa United Tech $20,056,600 0.22% A- A3 BNP Paribas $280,202,039 3.00% A A1 Stryker $19,958,800 0.21% A Baa1 FNMA $275,962,300 2.96% AA+ Aaa Prudential Funding $19,473,244 0.21% AA- A2 Praxair $214,265,393 2.30% A A2 Mastercard $17,975,220 0.19% A A2 Toyota $178,386,473 1.91% AA- Aa3 M&T Trust $16,129,040 0.17% A A3 FHLB $168,528,641 1.81% AA+ Aaa Precision Castparts $15,207,300 0.16% AA- A2 United Parcel $159,680,740 1.71% A+ A1 BB&T Corp $15,200,050 0.16% A- A2 General Electric $148,952,561 1.60% AA- A1 Gilead Sciences $15,173,250 0.16% A A3 Apple $105,210,983 1.13% AA+ Aa1 Oracle $15,172,050 0.16% AA- A1 Wells Fargo Bank* $91,765,041 0.98% NR NR Home Depot $15,128,950 0.16% A A2 Pepsico $86,869,875 0.93% A+ A1 Bank of America NA $15,081,900 0.16% A+ A1 State of California $80,105,414 0.86% AA- Aa3 IFC $15,059,700 0.16% AAA Aaa Microsoft $76,987,350 0.83% AAA Aaa Charles Schwab $15,036,300 0.16% A A2 IADB $75,114,400 0.81% AAA Aaa 3M Company $15,034,500 0.16% AA- A1 JPMorgan Chase & Co $60,227,800 0.65% A- A3 FAMCA $15,012,150 0.16% NR NR PNC Bank $55,365,100 0.59% A A2 Walt Disney $15,005,150 0.16% A+ A2 Intercontinental Exg $55,225,183 0.59% A A2 Merck $14,998,002 0.16% AA A1 Chevron $55,161,000 0.59% AA- Aa2 Georgia Power Company $14,992,500 0.16% A- A3 BMW $49,955,089 0.54% A+ A1 UnitedHealth Group $14,180,160 0.15% A+ A3 FHLMC $44,921,750 0.48% AA+ Aaa Public Service Electric $12,017,640 0.13% A Aa3 Bank of New York Mellon $40,374,450 0.43% A A1 American Express Credit Card $12,009,120 0.13% AAA NR Branch Banking and Trust $40,374,350 0.43% A A1 Chase Credit Card ABS $11,936,040 0.13% AAA NR IBM $40,323,300 0.43% A+ A1 State Street $10,192,100 0.11% A A1 Honeywell $39,571,900 0.42% A A2 US Bancorp $10,141,200 0.11% A+ A1 Morgan Stanley $35,551,199 0.38% BBB+ A3 Visa $10,092,700 0.11% A+ A1 Wells Fargo & Co $35,186,450 0.38% A A2 Danaher $10,087,050 0.11% A A2 Pfizer $35,020,500 0.38% AA A1 American Express $10,071,300 0.11% A- A2 John Deere $32,278,190 0.35% A A2 Ralph Lauren $10,066,200 0.11% A A2 Coca Cola $32,071,100 0.34% AA- Aa3 Wisconsin Electric Power $10,016,800 0.11% A- A1 Cisco $30,315,050 0.33% AA- A1 Wells Fargo Bank NA $10,010,400 0.11% AA- Aa2 US Bank $30,144,300 0.32% AA- A1 JPMorgan Chase Bank $9,949,900 0.11% A+ Aa3 Costco $30,116,700 0.32% A+ A1 Dreyfus Tax Exempt Cash M $7,250,000 0.08% AAA Aaa Johnson & Johnson $30,109,300 0.32% AAA Aaa Target $7,101,080 0.08% A A2 Intel $30,101,100 0.32% A+ A1 Automatic Data Processing $5,069,100 0.05% AA Aa3 Philip Morris $30,071,700 0.32% A A2 Procter & Gamble $5,042,450 0.05% AA- Aa3 Berkshire Hathaway $30,002,600 0.32% AA Aa2 Daimler $5,038,350 0.05% A A2 Goldman Sachs $27,095,417 0.29% BBB+ A3 Eli Lilly $5,033,300 0.05% AA- A2 Qualcomm $25,159,800 0.27% A A1 PACCAR $3,011,340 0.03% A+ A1 Citibank Credit Card ABS $25,095,500 0.27% AAA NR Total $9,324,563,348 100.00%

*Checking Account

Issuer May 31, 2017 53

Total General Portfolio Transactions

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

Buys 51 46 35 34 39 38 61 42 47 27 30 46 Sells Total 51 46 35 34 39 38 61 42 47 27 30 46

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

Buys 11 4 9 10 6 8 7 4 10 9 13 13 Sells 13 2 3 4 5 7 5 6 12 7 9 16 Total 24 6 12 14 11 15 12 10 22 16 22 29

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

Buys 62 50 44 44 45 46 68 46 57 36 43 59 Sells 13 2 3 4 5 7 5 6 12 7 9 16 Total 75 52 47 48 50 53 73 52 69 43 52 75

Core Transactions Reserve Transactions Total Transactions

10 20 30 40 50 60 70 80 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 May-17

Total Monthly Transactions

Buys* Sells**

*Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core May 31, 2017 54

Portfolio Transactions: Reserve Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action* 5/1/17 United Tech Corp 5/4/22 10,000,000 Buy 5/1/17 United Tech Corp 5/4/20 10,000,000 Buy 5/4/17 Apple Corp 5/11/22 10,000,000 Buy 5/4/17 State of California Muni 4/1/22 15,000,000 Buy 5/8/17 Intel Corp 5/11/22 15,000,000 Buy 5/8/17 U.S. Treasury Note Tsy 8/31/21 25,000,000 Sell 5/8/17 U.S. Treasury Note Tsy 3/31/22 25,000,000 Sell 5/9/17 Costco Corp 5/18/22 25,000,000 Buy 5/9/17 Costco Corp 5/18/21 25,000,000 Buy 5/9/17 Wells Fargo & Co Corp 3/4/21 10,000,000 Sell 5/9/17 U.S. Treasury Note Tsy 1/31/22 30,000,000 Sell 5/11/17 United Parcel Corp 5/16/22 10,000,000 Buy 5/15/17 State Street Corp 5/15/18 6,000,000 Sell 5/15/17 Merck Corp 5/18/18 5,000,000 Sell 5/16/17 Univ of California Muni 5/15/18 5,000,000 Sell 5/19/17 Qualcomm Corp 5/20/19 10,000,000 Buy 5/22/17 Coca Cola Corp 5/25/22 10,000,000 Buy 5/22/17

• Amex. Credit Card ABS

ABS 5/15/19 12,000,000 Buy 5/31/17 U.S. Treasury Note Tsy 3/31/22 55,000,000 Buy 5/31/17 Honeywell Corp 10/30/19 10,000,000 Sell 5/31/17 U.S. Treasury Note Tsy 5/31/22 145,000,000 Buy 5/31/17 U.S. Treasury Note Tsy 3/31/20 65,000,000 Sell 5/31/17 Pepsico Corp 4/30/20 7,000,000 Sell 5/31/17 Costco Corp 5/18/22 10,000,000 Sell 5/31/17 U.S. Treasury Note Tsy 6/30/21 20,000,000 Sell 5/31/17 U.S. Treasury Note Tsy 5/31/18 140,000,000 Sell 5/31/17 U.S. Treasury Note Tsy 2/29/20 45,000,000 Sell 5/31/17 IBM Corp 2/19/21 5,000,000 Sell 5/31/17 Costco Corp 5/18/21 10,000,000 Sell

*"Transfer" is from Reserve to Core May 31, 2017 55

Portfolio Transactions: Core Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action* 5/1/17 Mizuho Bank CP 6/21/17 68,000,000 Buy 5/1/17 Mizuho Bank CP 6/20/17 28,000,000 Buy 5/1/17 Prudential Funding CP 5/2/17 7,043,000 Buy 5/1/17 Mizuho Bank CP 6/6/17 25,000,000 Buy 5/2/17 BNP Paribas CP 5/4/17 10,405,000 Buy 5/2/17 Toyota CP 6/13/17 43,350,000 Buy 5/3/17 BNP Paribas CP 6/1/17 20,725,000 Buy 5/3/17 Merck CP 6/6/17 15,000,000 Buy 5/4/17 IBRD DN CP 5/31/17 6,455,000 Buy 5/5/17 Cargill CP 5/12/17 5,575,000 Buy 5/8/17 BNP Paribas CP 5/11/17 10,000,000 Buy 5/8/17 BNP Paribas CP 5/10/17 40,200,000 Buy 5/9/17 FHLB DN Agy 5/12/17 18,891,000 Buy 5/9/17 Cargill CP 5/11/17 41,000,000 Buy 5/9/17 Cargill CP 5/10/17 8,000,000 Buy 5/10/17 Mizuho Bank CP 6/22/17 20,984,000 Buy 5/10/17 BNP Paribas CP 5/18/17 50,000,000 Buy 5/10/17 BNP Paribas CP 5/15/17 10,000,000 Buy 5/11/17 BNP Paribas CP 5/30/17 18,625,000 Buy 5/11/17 General Electric CP 6/6/17 25,000,000 Buy 5/12/17 Prudential Funding CP 6/6/17 19,476,000 Buy 5/15/17 San Diego Gas & Electric CP 6/6/17 20,174,000 Buy 5/17/17 BNP Paribas CP 7/3/17 38,960,000 Buy 5/17/17 BNP Paribas CP 6/22/17 15,000,000 Buy 5/17/17 BNP Paribas CP 6/6/17 22,000,000 Buy 5/18/17 BNP Paribas CP 6/26/17 32,895,000 Buy 5/19/17 BNP Paribas CP 6/6/17 25,000,000 Buy 5/19/17 Mizuho Bank CP 7/3/17 65,000,000 Buy 5/19/17 FHLB DN Agy 5/22/17 8,215,000 Buy 5/19/17 Pepsico CP 7/3/17 36,900,000 Buy 5/19/17 Bank Tokyo-Mitsubishi CP 7/3/17 26,000,000 Buy 5/19/17 Toyota CP 7/3/17 10,000,000 Buy

*"Transfer" is from Reserve to Core May 31, 2017 56

Portfolio Transactions: Core Portfolio (continued)

Trade Date Issuer Type Maturity Date Par Amount Action* 5/19/17 IBRD DN Supra 7/3/17 150,000,000 Buy 5/19/17 Exxon Mobil CP 7/3/17 75,000,000 Buy 5/23/17 Merck CP 5/25/17 33,207,000 Buy 5/25/17 FHLB DN Agy 6/5/17 6,140,000 Buy 5/26/17 FHLB DN Agy 6/21/17 3,025,000 Buy 5/30/17 FHLB DN Agy 7/3/17 41,067,000 Buy 5/30/17 General Electric CP 6/19/17 26,000,000 Buy 5/30/17 United Parcel CP 6/5/17 14,000,000 Buy 5/31/17 IADB DN Supra 7/3/17 25,000,000 Buy 5/31/17 Microsoft CP 7/12/17 30,000,000 Buy 5/31/17 Mizuho Bank CP 7/6/17 40,000,000 Buy 5/31/17 IBRD DN Supra 6/29/17 11,780,000 Buy 5/31/17 Bank Tokyo-Mitsubishi CP 7/5/17 50,000,000 Buy 5/31/17 Toyota CP 7/5/17 80,000,000 Buy

*"Transfer" is from Reserve to Core May 31, 2017 57