Presentation to the City of Los Angeles Investment Advisory Committee. December 31, 2014

Transcription

1 Presentation to the City of Los Angeles Investment Advisory Committee December 31, 2014

2 Economic Update-Overall Economy 8 U.S. GDP (Quarter over Quarter Annualized)* Percent Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q * Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 12/31/14 December 31,

3 Economic Update-Employment Thousands Monthly Non-Farm Payrolls Percent Unemployment Rates California LA Area U.S.A -200 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 5 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 *Los Angeles area unemployment is not seasonally adjusted. 12 Month Average Monthly Job Change: 246,000 Data Source: Bloomberg December 31,

4 Economic Update-Consumer Activity 7 U.S. Retail Sales* YOY % Change $470 Total Monthly U.S. Retail Sales 6 $450 5 $430 Percent 4 3 Billions $410 $390 2 $370 1 $350 0 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 $330 Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 *Inflation Adjusted Data Source: Bloomberg December 31,

5 Economic Update-Inflation Percent CPI and CPIX* YOY % Change CPI CPIX Sector YOY % Price Changes Food 3.2 Education 3.2 Shelter 2.9 Services 2.4 Wages 1.7 CPI 0.8 Apparel -2.4 Communication Jun-10 Sep-10 Dec-10 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Jun-12 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 *CPIX: Consumer Price Index, excluding food and energy Energy Percent Data Source: Bloomberg December 31,

6 Economic Update-Dollar and Commodities Index Value Dollar Index Gold-Per Ounce $2,000 $1,800 $1,600 $1,400 $1,200 $1,000 $800 $600 $400 $200 Gold Oil Gold and Oil $160 $140 $120 $ Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 $80 $60 $40 $20 Oil-Per Barrel $0 $0 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Data Source: Bloomberg December 31,

7 Economic Update-Sector Returns YTD As of: 12/31/ Percent Data Source: Bloomberg December 31,

8 Economic Update-S&P 500 Returns As of: 12/31/14 35 YTD S&P 500 Major Sector Returns Percent Data Source: Bloomberg December 31,

9 Economic Update-Yield Curve FYTD /30/14 12/31/14 U.S. Treasury Yield Curve Maturity 6/30/14 12/31/14 Change 3M M Y Percent Y Y Y M6M 1Y 2Y 3Y 5Y 10Y 30Y 10Y Y Data Source: Bloomberg December 31,

10 Economic Update-Interest Rates U.S. Treasury Yields: 3M and 1Y U.S. Treasury Yields: 2Y and 5Y Y 3M Y 2Y Percent Percent Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec-14 Data Source: Bloomberg December 31,

11 Economic Update-Agency and Corporate Spreads Basis Point Spread Spread*: 1-5 Yr Agency vs Treasury 7 Basis Point Spread Spread*: 1-5 Yr Corporate vs Treasury 67 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 *BofA/Merrill Index (option adjusted spread vs. Treasury) Agency (GVP0) *BofA/Merrill Index (option adjusted spread vs. Treasury) Corporate A-AAA (CV10) Data Source: Bloomberg December 31,

12 Summary Portfolio Characteristics Market Value Par Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $1,990,897, $6,226,438, $1,989,414, $6,161,079, Total General Portfolio $8,217,336,098 $8,150,493,445 Variance $1,482, $65,359, $66,842,653 Mkt Value % of Total 24% -- 76% % Average Maturity (Yrs)** Effective Duration** Weighted Purchase Yield## % % % *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 and Duration 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 December 31,

13 Total General Portfolio: Maturity Distribution 30% 25% 20% 15% 12/31/14 11/30/14 10% 5% 0% to.5.5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ Years to.5.5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ 12/31/ % 4.8% 2.1% 24.0% 22.9% 15.4% 13.0% 11/30/ % 0.3% 5.0% 26.4% 25.3% 17.3% 12.8% Variance 4.8% 4.5% -2.9% -2.3% -2.4% -2.0% 0.3% December 31,

14 Total General Portfolio: Sector Allocations Sector 12/31/ /30/2014 Variance Bank Deposits 4.8% 1.3% 3.5% December 31, 2014 Bank 4.8% CDARS 0.1% CDARS Commercial Paper 0.1% 12.5% 0.1% 0.0% 12.7% -0.2% CP 12.5% Corporate Notes 18.3% 19.8% -1.5% MMFs Negotiable CDs 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Tsy 51.1% CORP 18.3% Federal Agencies 13.1% 10.5% 2.6% Treasuries Total 51.1% 100.0% 55.5% -4.4% 100.0% Agy 13.1% Figures may not total due to rounding December 31,

15 Sector Allocations - Core Portfolio Core Portfolio Sector 12/31/ /30/2014 Variance December 31, 2014 Bank Deposits 20.0% 7.3% 12.7% CDARS 0.4% 0.5% -0.1% Commercial Paper 51.8% 69.7% -17.9% Corporate Notes 9.6% 16.2% -6.6% MMFs 0.0% 0.0% 0.0% Negotiable CDs 0.0% 0.0% 0.0% Agy 18.3% Corp 9.6% Bank Dep 20.0% CDARS 0.4% Federal Agencies 18.3% Treasuries 0.0% Total 100.0% 6.3% 12.0% 0.0% 0.0% 100.0% CP 51.8% Figures may not total due to rounding December 31,

16 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 2.5% Bubble size = Sector's % of Portfolio 2.0% Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* Corporate % 12.0% Commercial Paper % 65.2% Agency % 22.8% Treasury % 0.0% Total % 100.0% Purchase Yield 1.5% 1.0% 0.5% 0.0% Agy CP *Based on Market Value -0.5% WAM Years Figures may not total due to rounding Does not include Checking and BNYM Sweep, CDARS included with CP December 31,

17 Sector Allocations - Reserve Portfolio Reserve Portfolio Sector 12/31/ /30/2014 Variance December 31, 2014 Bank Deposits 0.0% 0.0% 0.0% CDARS 0.0% 0.0% 0.0% Commercial Paper 0.0% 0.0% 0.0% Corporate Notes 21.1% 20.7% 0.5% Corp 21.1% MMFs 0.0% 0.0% 0.0% Negotiable CDs 0.0% 0.0% 0.0% Federal Agencies 11.5% 11.4% 0.0% Treasuries 67.4% 67.9% -0.5% Total 100.0% 100.0% Tsy 67.4% Agy 11.5% Figures may not total due to rounding December 31,

18 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Reserve Portfolio 2.00% 1.75% Bubble size = Sector's % of Portfolio Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 1.50% Treasury % Agency % Corporate % 67.4% 11.5% Total % 100.0% Purchase Yield 1.25% Agy 21.1% Tsy 1.00% *Based on Market Value 0.75% 0.50% WAM Years Figures may not total due to rounding December 31,

19 Core and Reserve Market Values Month End Market Values $3.0 Core* $7.0 Reserve $2.5 $6.5 $6.0 Billions $2.0 $1.5 $1.0 $0.5 $0.0 Jul-06 Dec-06 May-07 Oct-07 Mar-08 Aug-08 Jan-09 Jun-09 Nov-09 Apr-10 Sep-10 Feb-11 Jul-11 Dec-11 May-12 Oct-12 Mar-13 Aug-13 Jan-14 Jun-14 Nov-14 Billions $5.5 $5.0 $4.5 $4.0 $3.5 $3.0 $2.5 $2.0 Jul-06 Dec-06 May-07 Oct-07 Mar-08 Aug-08 Jan-09 Jun-09 Nov-09 Apr-10 Sep-10 Feb-11 Jul-11 Dec-11 May-12 Oct-12 Mar-13 Aug-13 Jan-14 Jun-14 Nov-14 *Core's market value includes checking accounts December 31,

20 Total General Portfolio: Market Value Total General Portfolio Market Value $8.5 $8.0 $7.5 $7.0 Billions $6.5 $6.0 $5.5 $5.0 $4.5 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 December 31,

21 Total General Portfolio: % of Portfolio: Core vs Reserve % of Total General Portfolio: Core vs Reserve 100% 90% 80% 70% 60% 50% 40% Reserve Core 30% 20% 10% 0% 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 December 31,

22 Portfolio Compliance with Code, Policy, and Guidelines Maturity Limitations* Sector Government Securities Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Repurchase Agreements Reverse Repo/Securities Lending Corporate Notes Mortgage Backed Securities/CMOs Asset Backed Securities Banker's Acceptances Limit 5 Years 270 Days 180 Days 1 Year 32 Days 92 Days 5 Years 5 Years 5 Years 180 Days Compliance Complies 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 *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. December 31,

23 Portfolio Compliance with Code, Policy, and Guidelines Percentage Allocation Limitations Sector Government Securities Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Repurchase Agreements Reverse Repo/Securities Lending Corporate Notes Mortgage Backed Securities/CMOs Asset Backed Securities Banker's Acceptances State/Local Agency Securities Mutual Funds/Money Market Funds LAIF State Pool Limit 100% 40% 180 Days 1 Year 15% 5% Reverse Repo/20% Revs. Repo +Sec Lending 30% 20% Combined with ABS 20% Combined with MBS 30% 10% 20% $50 Million Per Account Compliance Complies Complies Complies Complies-none in portfolio Complies Complies Complies Complies-none in portfolio Complies-none in portfolio Complies-none in portfolio Complies Complies Complies-none in portfolio December 31,

24 Portfolio Compliance with Code, Policy, and Guidelines Issuer and Transaction Limitations -- Approved Issuers Item Limit Compliance Government Issuer 100% Complies Non-Governmental Issuer 5% Complies Single Transaction $200 Million w/o Treasurer's Written Approval Complies Dealers From Approved List Complies Commercial Paper From Approved List Complies Corporate Notes From Approved List Complies December 31,

25 Portfolio Compliance with Code, Policy, and Guidelines Portfolio Maturity Limitations and Duration Ranges Core Portfolio Item Limit Compliance Maturity Limitation One Year Complies Reserve Portfolio Item Limit Compliance Effective Duration 1-5 Govt/Corp Index +/-.10 Complies: 2.66 vs 2.68 December 31,

26 Portfolio Statistics-Yield and Duration Purchase Yield: Core vs Benchmark* Purchase Yield: Reserve vs Benchmark* 6% 5% Core Benchmark 6% 5% Reserve Benchmark Percent 4% 3% Percent 4% 3% 2% 2% 1% 1% 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 *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 Core Duration Core Benchmark Duration Reserve Duration Reserve Benchmark 0.05 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Duration at month-end, after index rebalancing for the next month. Core duration does not include checking accounts. December 31,

27 Portfolio Statistics-Historical Purchase Yields 6.0% 5.5% 5.0% Reserve Total Portfolio Core 4.5% 4.0% 3.5% Percent 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% 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 December 31,

28 Purchase Yield Per 3-Month Maturity Intervals Core Portfolio Months Purchase Yield % of Portfolio* 0 to % 66.90% 3 to % 24.77% 2.0% 1.5% 1.60% Bubble Size = Maturity's % of Portfolio 1.53% 6 to % 3.15% 9 to % 5.17% Purchase Yield 1.0% 0.5% 0.49% 0.23% 0.0% *Based on Par Value -0.5% 0 to 3 Months 3-6 Months 6-9 Months 9-12 Months December 31,

29 Purchase Yield Per 6-Month Maturity Intervals Reserve Portfolio 2.5% Bubble Size = Maturity's % of Portfolio Years.5 to 1.0 Purchase Yield 2.07% % of Portfolio* 0.57% 1.0 to to to to % 0.87% 0.90% 0.89% 14.69% 14.67% 18.72% 12.74% 3.0 to % 10.79% Purchase Yield 2.0% 1.5% 1.0% 2.07% 1.48% 0.87% 0.90% 0.89% 1.62% 1.25% 1.85% 1.72% 3.5 to % 9.79% 0.5% 4.0 to % 9.71% 4.5 to % 8.33% *Based on Par Value 0.0%.5 to 1 Yrs 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 to 5+ Yrs Yrs December 31,

30 Purchase Yield Per 6-Month Maturity Intervals Total General Portfolio 2.5% Years Purchase Yield % of Portfolio* Bubble Size = Maturity's % of Portfolio 0 to % 18.76% 2.0% 0.5 to % 2.16% 1.0 to % 11.68% 1.5% 1.66% 1.48% 1.62% 1.72% 1.85% 1.5 to % 11.67% 2.0 to % 14.89% 2.5 to % 10.13% Purchase Yield 1.0% 0.87% 0.90% 0.89% 1.25% 3.0 to % 8.58% 3.5 to % 7.78% 4.0 to % 7.72% 0.5% 0.0% 0.30% 4.5 to % 6.62% *Based on Par Value -0.5% Years December 31,

31 Portfolio Statistics-Historical Duration Duration 1.5 Reserve Total Portfolio Core 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 December 31,

32 Total General Portfolio Statistics-Sector Allocation History 70% 60% 50% 40% 30% 20% 10% Tsy Agy Corp CP Bank/Sweep CDARS MBS 0% 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 Sector Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Tsy 52.3% 56.4% 55.8% 55.4% 54.2% 53.5% 53.4% 55.6% 55.7% 56.2% 55.5% 51.1% Agy 12.2% 11.5% 11.6% 14.5% 16.9% 16.4% 17.4% 12.9% 13.3% 10.9% 10.5% 13.1% Corp 20.9% 18.2% 18.8% 19.2% 18.1% 18.4% 18.7% 20.0% 19.0% 19.5% 19.8% 18.3% CP 13.9% 12.6% 11.9% 10.0% 10.1% 10.8% 10.1% 10.7% 8.3% 10.0% 12.7% 12.5% CDARS 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% Bank 0.7% 1.2% 1.8% 0.8% 0.7% 0.9% 0.3% 0.7% 3.6% 3.3% 1.3% 4.8% 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 December 31,

33 Portfolio Statistics-Monthly Total Return 0.05% Core vs Benchmark 0.00% Reserve vs Benchmark Percent Variance 0.04% 0.03% 0.02% 0.01% Percent Variance -0.05% -0.10% -0.15% -0.20% -0.25% -0.30% 0.00% Core Benchmark -0.35% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.00% 0.00% 0.00% Monthly Performance -0.30% -0.32% 0.02% *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 Attribution of Sub-Sector Returns Sector Core Benchmark Variance Sector Reserve Benchmark Variance Treasury 0.00% 0.00% 0.00% Treasury -0.32% -0.33% 0.01% Agency -0.03% 0.00% -0.03% Agency -0.23% -0.23% 0.00% Corporate 0.00% 0.00% 0.00% Corporate -0.27% -0.30% 0.03% Benchmark Sector Returns are calculated by FTN Financial Main Street using the subsector returns of the BU10 index. December 31,

34 Portfolio Statistics-Historical Total Return 1.4% 1.2% Performance Variance: Core vs 3 Mon T-bill Percent Variance 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15 FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15 Avg Core Portfolio 4.32% 2.22% 0.22% 0.22% 0.21% 0.23% 0.16% 0.06% 0.96% Benchmark* 3.36% 0.95% 0.16% 0.19% 0.04% 0.13% 0.07% 0.00% 0.61% Variance 0.96% 1.27% 0.06% 0.06% 0.03% 0.17% 0.09% 0.06% 0.34% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding December 31,

35 Portfolio Statistics-Historical Total Return 1.2% 1.0% Performance Variance: Reserve vs 1-5Yr Govt/Corp Percent Variance 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% -0.4% FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15 FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15 Avg Core Portfolio 7.93% 5.87% 5.31% 2.56% 2.38% 0.15% 1.55% 0.73% 3.31% Benchmark* 7.37% 4.89% 5.04% 2.67% 2.36% 0.39% 1.53% 0.75% 3.13% Variance 0.56% 0.98% 0.27% -0.11% 0.02% -0.24% 0.02% -0.02% 0.19% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Figures may not total due to rounding December 31,

36 Portfolio Statistics-Monthly & FYTD Total Return Core vs 3 Month T-Bill Index Monthly Performance Comparison FYTD Performance Variance 0.05% Core 0.08% 0.04% Benchmark 0.07% 0.06% 0.03% 0.05% 0.04% 0.02% 0.03% 0.01% 0.02% 0.01% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.01% 0.01% 0.01% 0.01% 0.02% 0.00% Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Variance 0.01% 0.01% 0.01% 0.01% 0.02% 0.00% Fiscal YTD Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.01% 0.02% 0.03% 0.04% 0.06% 0.06% Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Variance 0.01% 0.02% 0.03% 0.04% 0.06% 0.06% December 31,

37 Portfolio Statistics-Monthly & FYTD Total Return Reserve vs 1-5 Year Government/Corporate Index Monthly Performance Comparison FYTD Performance Variance 0.60% 0.50% Reserve Benchmark 0.10% 0.40% 0.30% 0.05% 0.20% 0.10% 0.00% 0.00% -0.10% -0.20% -0.05% -0.30% -0.40% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.10% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.22% 0.35% -0.18% 0.46% 0.32% -0.30% Benchmark -0.22% 0.35% -0.19% 0.48% 0.33% -0.32% Variance 0.00% 0.00% 0.01% -0.02% -0.01% 0.02% Fiscal YTD Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.22% 0.13% -0.05% 0.41% 0.73% 0.43% Benchmark -0.22% 0.13% -0.06% 0.42% 0.75% 0.43% Variance 0.00% 0.00% 0.01% -0.01% -0.02% 0.00% *The benchmark index for the Reserve Portfolio was changed August 1, 2013 December 31,

38 Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.60% 0.50% 0.40% 0.30% 0.20% 0.10% 0.00% -0.10% -0.20% -0.30% Reserve Tsy Benchmark Tsy 0.12% 0.10% 0.08% 0.06% 0.04% 0.02% 0.00% -0.02% -0.04% -0.40% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.06% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Variance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.23% 0.34% -0.16% 0.49% 0.30% -0.32% Benchmark -0.23% 0.35% -0.18% 0.50% 0.32% -0.33% Mon. Var. 0.00% -0.01% 0.02% -0.01% -0.02% 0.01% Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% -0.01% 0.02% -0.01% -0.02% 0.01% *The benchmark index for the Reserve Portfolio was changed August 1, 2013 December 31,

39 Portfolio Attribution: Reserve Agency vs. Benchmark Agency Agency Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.50% Reserve Agy 0.10% 0.40% Benchmark Agy 0.08% 0.30% 0.20% 0.10% 0.06% 0.04% 0.02% 0.00% 0.00% -0.10% -0.20% -0.02% -0.04% -0.06% -0.08% -0.30% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.10% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Variance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.23% 0.30% -0.09% 0.44% 0.30% -0.23% Benchmark -0.15% 0.24% -0.10% 0.36% 0.30% -0.23% Mon. Var % 0.06% 0.01% 0.08% 0.00% 0.00% Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var % 0.06% 0.01% 0.08% 0.00% 0.00% *The benchmark index for the Reserve Portfolio was changed August 1, 2013 December 31,

40 Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate Corporate Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.50% 0.40% 0.30% 0.20% Reserve Corp Benchmark Corp 0.08% 0.06% 0.04% 0.10% 0.02% 0.00% -0.10% -0.20% -0.30% 0.00% -0.02% -0.04% -0.40% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.06% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Variance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.20% 0.39% -0.30% 0.39% 0.38% -0.27% Benchmark -0.20% 0.41% -0.32% 0.43% 0.39% -0.30% Mon. Var. 0.00% -0.02% 0.02% -0.04% -0.01% 0.03% Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% -0.02% 0.02% -0.04% -0.01% 0.03% *The benchmark index for the Reserve Portfolio was changed August 1, 2013 December 31,

41 Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA) Monthly Price Return vs Interest Return Monthly Total Return Price Return Interest Return Basis Points Basis Points Component Total Return Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Interest Price Total *The benchmark index for the Reserve Portfolio was changed August 1, 2013 December 31,

42 Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns Index Sector Total Returns Tsy Agy Corp Govt/Corp Index Basis Points Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Sector Total Returns (Basis Points) Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 AVG Index Treasury Agency Corporate *The benchmark index for the Reserve Portfolio was changed August 1, 2013 December 31,

43 Reserve vs Index: Sector Allocations % of Portfolio/Index Percent 80% 78% 76% 74% 72% 70% 68% 66% 64% Treasury Allocations: Reserve vs Index Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Index Reserve Nov-14 Dec-14 Percent 22% 21% 20% 19% 18% 17% 16% 15% 14% 13% 12% 11% Corporate Allocations: Reserve vs Index Index Reserve Percent 15% 14% 13% 12% 11% 10% 9% 8% 7% Agency Allocations: Reserve vs Index Index Reserve Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Oct-14 Nov-14 Dec-14 December 31,

44 Effective Duration Allocations: Reserve vs. Benchmark 18% 16% 14% 16.0% 14.7% 16.0% 17.1% 15.0% 16.9% 13.9% 14.6% Index Reserve 12% 10.6% 10.3% 11.2% 11.1% 10.6% 10.5% 10% 8% 6% 5.3% 4% 4.0% 2% 0% 0.0% 0.0% 1.4% 0.8% Duration Buckets* *Calculated using market values December 31,

45 Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 14% 12.9% 13.3% 13.3% 12% 10% 8% 10.5% 11.7% 9.3% 10.0% 10.6% 8.2% 7.8% 8.8% Index Treasury Reserve Treasury 8.9% 4.7% 6.7% 6.2% 6% 4% 3.0% 2% 0% 0.0% 0.0% 1.1% 0.0% Duration Buckets* *Calculated using market values December 31,

46 Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 5% 4% Index Agency Reserve Agency 1.5% 1.3% 1.4% 1.5% 1.1% 1.1% 2.2% 3.5% 3% 2% 1.9% 1% 0% 0.0% 0.0% 0.1% 0.5% 0.8% 0.6% 0.1% 0.4% 0.4% 0.3% 0.2% Duration Buckets* *Calculated using market values December 31,

47 Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% Index Corporate Reserve Corporate 2.9% 2.8% 4.1% 4% 3% 3.2% 2.4% 2.6% 3.1% 2% 1.6% 1.3% 1.6% 1.7% 1.7% 1.9% 1.2% 1% 0% 0.0% 0.0% 0.2% 0.3% 0.3% 0.8% Duration Buckets* *Calculated using market values December 31,

48 Total General Portfolio: Credit Quality S&P Moody's S&P Moody's Issuer Market Value % of Port LT Rating LT Rating Issuer Market Value % of Port LT Rating LT Rating U.S. Treasury $4,197,192, % AA+ Aaa Wells Fargo Bank NA $15,059, % A+ A1 FHLB $450,342, % AA+ Aaa Branch Banking and Trust $14,998, % A A1 Wells Fargo Bank* $397,395, % Intel $14,978, % A+ A1 Bank Tokyo-Mitsubishi $396,513, % AA- Aa3 Merck & Co $14,955, % AA A2 Toyota $365,184, % AA- Aa3 Texas Instrument $14,940, % A+ A1 FNMA $358,027, % AA+ Aaa Sherwin-Williams $14,896, % A- A3 General Electric $233,459, % AA+ A1 Ebay $12,875, % A A2 Exxon Mobil $164,995, % AAA Aaa Public Service Electric $11,967, % A Aa3 FHLMC $152,216, % AA+ Aaa United Health Group $11,010, % A+ A3 JP Morgan $119,863, % A A3 Pepsico $10,216, % A- A1 Wells Fargo $94,979, % A+ A2 Intercontinental Exg. $10,114, % A A2 Honda $65,893, % A+ A1 Wal-Mart $10,094, % AA Aa2 BNP Paribas $62,369, % A+ A1 Daimler Finance $10,091, % A- A3 AT&T $50,141, % A- A3 PACCAR $10,083, % A+ A1 John Deere $46,371, % A A2 Charles Schwab $10,075, % A A2 TVA $45,635, % AA+ Aaa Colgate-Palmolive $10,070, % AA- Aa3 Berkshire Hathaway $45,509, % AA Aa2 Cisco Systems $10,025, % AA- A1 Caterpillar $40,330, % A A2 Walt Disney $10,003, % A A2 Johnson & Johnson $40,288, % AAA Aaa Baxter International $9,973, % A- A3 Microsoft Corp $35,162, % AAA Aaa US Bank $9,967, % AA- Aa3 3M Company $34,698, % AA- Aa2 Wisconsin Electric Power $9,955, % A- A1 American Express Credit $32,037, % A- A2 Univ of California $9,917, % AA Aa2 Goldman Sachs $30,363, % A- Baa1 Apple $9,851, % AA+ Aa1 Oracle $30,053, % A+ A1 Philip Morris $8,847, % A A2 Coca Cola $26,953, % AA Aa3 Altera Corp $8,060, % A- Baa1 Manufactures & Traders $25,979, % A A2 Becton Dickinson $8,059, % BBB+ A3 General Dynamics $25,234, % A A2 Target $7,086, % A A2 IBM $25,088, % AA- Aa3 Monsanto $6,972, % BBB+ A3 Farmer Mac $25,030, % NR NR State Street $5,900, % A+ A1 Pfizer $24,914, % AA A1 Google $5,107, % AA Aa2 PNC Bank $22,063, % A A2 Eli Lilly $5,026, % AA- A2 BB&T $21,915, % A- A2 Procter & Gamble $5,010, % AA- Aa3 Medtronic $20,282, % AA- A2 Proamerica Bank $5,000, % Praxair $20,276, % A A2 Southern Calif Edison $4,964, % A Aa3 State Of California $20,203, % A+ Aa3 Air Products & Chemicals $3,048, % A A2 US Bancorp $20,192, % A+ A1 United Tech $3,039, % A A2 Stryker $19,708, % A+ A3 Mastercard $2,983, % A A2 FFCB $17,178, % AA+ Aaa National Oilwell Varco $2,961, % A A2 Chevron $17,007, % AA Aa1 California United Bank $1,000, % Costco $15,896, % A+ A1 Manufacturers Bank $1,000, % Home Depot $15,119, % A A2 Total $8,217,336, % Bank Of New York Mellon $15,074, % A+ A1 *Checking Account December 31,

49 Total General Portfolio Transactions Total Monthly Transactions Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Buys* Sells** *Buys: Core-Includes transfers from Reserve **Sales: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Buys Sales Total Reserve Transactions Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Buys Sales Total Total Transactions Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Buys Sales Total December 31,

50 Portfolio Transactions-Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 12/1/14 U.S. Treasury Note 11/30/19 90,000,000 Buy 12/1/14 U.S. Treasury Note 12/31/16 60,000,000 Sell 12/3/14 UnitedHealth Group Note 12/15/19 4,000,000 Buy 12/3/14 UnitedHealth Group Note 12/15/17 7,000,000 Buy 12/8/14 Honda Note 12/11/17 15,000,000 Buy 12/18/14 Farmer Mac Note 12/29/17 25,000,000 Buy 12/18/14 FHLMC Note 9/29/17 25,000,000 Sell 12/30/14 U.S. Treasury Note 3/31/16 50,000,000 Sell 12/30/14 U.S. Treasury Note 12/31/15 90,000,000 Sell 12/31/14 U.S. Treasury Note 6/30/19 75,000,000 Buy *"Transfer" is from Reserve to Core December 31,

51 Portfolio Transactions-Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 12/1/14 Exxon Mobil CP 12/31/14 125,000,000 Buy 12/1/14 MUFG Union Bank CP 12/3/14 60,000,000 Buy 12/2/14 Rabobank CP 12/3/14 6,850,000 Buy 12/3/14 Bank of Tokyo-MIT CP 1/7/15 74,617,000 Buy 12/4/14 MUFG Union Bank CP 12/8/14 20,000,000 Buy 12/4/14 BNP Paribas CP 12/5/14 26,000,000 Buy 12/5/14 General Electric CP 12/23/14 29,500,000 Buy 12/5/14 Bank of Tokyo-MIT CP 12/24/14 30,000,000 Buy 12/9/14 BNP Paribas CP 12/12/14 40,000,000 Buy 12/9/14 BNP Paribas CP 12/11/14 28,500,000 Buy 12/10/14 BNP Paribas CP 12/15/14 33,500,000 Buy 12/11/14 MUFG Union Bank CP 12/15/14 33,800,000 Buy 12/12/14 Bank of Tokyo-MIT CP 12/23/14 29,000,000 Buy 12/12/14 BNP Paribas CP 12/16/14 20,000,000 Buy 12/15/14 BNP Paribas CP 12/19/14 29,500,000 Buy 12/16/14 Rabobank CP 12/19/14 24,470,000 Buy 12/17/14 BNP Paribas CP 12/19/14 15,000,000 Buy 12/17/14 BNP Paribas CP 12/22/14 65,000,000 Buy 12/18/14 Prudential CP 12/22/14 17,000,000 Buy 12/19/14 BNP Paribas CP 12/23/14 21,000,000 Buy 12/19/14 FHLB Discount 1/21/15 100,000,000 Buy 12/19/14 General Electric CP 12/30/14 25,000,000 Buy 12/19/14 General Electric CP 12/29/14 25,000,000 Buy 12/19/14 Exxon Mobil CP 1/7/15 30,000,000 Buy 12/19/14 Bank of Tokyo-MIT CP 1/5/15 65,000,000 Buy 12/19/14 Exxon Mobil CP 12/29/14 30,000,000 Buy 12/19/14 FHLB Discount 3/18/15 83,283,000 Buy 12/19/14 Toyota CP 3/4/15 100,000,000 Buy 12/19/14 Exxon Mobil CP 2/4/15 100,000,000 Buy 12/19/14 General Electric CP 12/30/14 50,000,000 Buy 12/22/14 Toyota CP 4/1/15 42,657,000 Buy 12/22/14 FHLB Discount 1/2/15 53,378,000 Buy *"Transfer" is from Reserve to Core December 31,

52 Portfolio Transactions-Core Portfolio (continued) Trade Date Issuer Type Maturity Date Par Amount Action* 12/23/14 FHLB Discount 2/18/15 49,793,000 Buy 12/24/14 Toyota CP 4/29/15 100,000,000 Buy 12/29/14 Bank of Tokyo-MIT CP 1/8/15 37,502,000 Buy 12/29/14 Bank of Tokyo-MIT CP 1/22/15 50,000,000 Buy 12/30/14 BNP Paribas CP 3/3/15 31,380,000 Buy 12/30/14 FHLB Discount 2/3/15 35,000,000 Buy 12/30/14 Bank of Tokyo-MIT CP 1/30/15 30,000,000 Buy *"Transfer" is from Reserve to Core December 31,