Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments. October 31, 2018

Transcription

1 Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments October 31, 2018

2 Economic Update: Overall Economy 6 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: 10/31/18 October 31,

3 Economic Update: Employment Thousands Monthly Non-Farm Payrolls Percent Unemployment Rates California LA Area U.S.A 0 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Oct-18 3 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Oct-18 *Los Angeles area unemployment is not seasonally adjusted. 12 Month Average Monthly Job Change: 209,667 Data Source: Bloomberg October 31,

4 Economic Update: Consumer Activity 4.50 U.S. Retail Sales* YOY % Change $520 Total Monthly U.S. Retail Sales 4.00 $510 Percent Billions $500 $490 $480 $470 $460 $450 $440 $ Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Oct-18 $420 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Oct-18 *Inflation Adjusted Data Source: Bloomberg October 31,

5 Economic Update: Inflation 3.5 CPI and CPIX* YOY % Change Sector YOY % Price Changes Energy Shelter Wages Services 2.6 Percent Education CPI CPI Food CPIX Apparel Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 Jul-18 Oct-18 *CPIX: Consumer Price Index, excluding food and energy Communication Percent Data Source: Bloomberg October 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 Gold and Oil Gold Oil Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17 Oct-17 Apr-18 $120 $110 $100 $90 $80 $70 $60 $50 $40 $30 $20 Oil-Per Barrel Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Apr-17 Oct-17 Apr-18 Data Source: Bloomberg October 31,

7 Economic Update: Sector Returns YTD As of: 10/31/ Percent Data Source: Bloomberg October 31,

8 Economic Update: S&P 500 Returns As of: 10/31/18 15 YTD S&P 500 Major Sector Returns Percent Data Source: Bloomberg October 31,

9 Economic Update: Yield Curve FYTD Percent U.S. Treasury Yield Curve 6/29/18 10/31/18 3M6M 1Y 2Y 3Y 5Y 10Y 30Y Maturity 6/29/18 10/31/18 Change 3M M Y Y Y Y Y Y Data Source: Bloomberg Figures may not total due to rounding October 31,

10 Economic Update: Interest Rates Percent U.S. Treasury Yields: 3M and 1Y 1Y 3M Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Oct-16 Dec-16 Feb-17 Apr-17 Jun-17 Aug-17 Oct-17 Dec-17 Feb-18 Apr-18 Jun-18 Aug-18 Oct-18 Percent U.S. Treasury Yields: 2Y and 5Y Y Y 0.40 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Oct-16 Dec-16 Feb-17 Apr-17 Jun-17 Aug-17 Oct-17 Dec-17 Feb-18 Apr-18 Jun-18 Aug-18 Oct-18 Data Source: Bloomberg October 31,

11 Economic Update: Agency and Corporate Spreads 16 Spread*: 1-5 Yr Agency vs Treasury 175 Spread*: 1-5 Yr Corporate vs Treasury Basis Point Spread Basis Point Spread Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 *BofA/Merrill Index (option adjusted spread vs. Treasury) Agency (GVP0) 25 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 *BofA/Merrill Index (option adjusted spread vs. Treasury) Corporate A-AAA (CV10) Data Source: Bloomberg October 31,

12 Summary Portfolio Characteristics Market Value Book Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $2,616,020, $6,618,245, $2,626,969, $6,781,285, Total General Portfolio $9,234,266,201 $9,408,255,336 Variance ($10,949,253) -- ($163,039,882) -- ($173,989,135) Mkt Value % of Total 28.3% % % Average Maturity (Yrs)** Effective Duration** Weighted Purchase Yield## % % % *Core Benchmark: 3 Month T-Bill (G0O1 ICE BofAML Index) #Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10 ICE BofAML Index) **Average Maturity after rebalancing for the indexes--portfolios based upon trade date holdings, Core Average Maturity includes checking ## Weighted Purchase Yield for Core does not include checking October 31,

13 Total General Portfolio: Maturity Distribution 30% 25% 20% 15% 10/31/18 9/30/18 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+ 10/31/ % 5.0% 9.7% 23.3% 19.9% 14.4% 14.1% 9/30/ % 4.9% 9.5% 24.0% 19.9% 15.0% 13.8% Variance 0.8% 0.1% 0.2% -0.7% 0.0% -0.6% 0.3% October 31,

14 Total General Portfolio: Maturity Distribution by Month 900 Combined Maturity Distribution* Millions Nov-18 Dec-18 Jan-19 Feb-19 Mar-19 Apr-19 May-19 Jun-19 Jul-19 Aug-19 Sep-19 Oct-19 Nov-19 Dec-19 Jan-20 Feb-20 Mar-20 Apr-20 May-20 Jun-20 Jul-20 Aug-20 Sep-20 Oct-20 Nov-20 Dec-20 Jan-21 Feb-21 Mar-21 Apr-21 May-21 Jun-21 Jul-21 Aug-21 Sep-21 Oct-21 Nov-21 Dec-21 Jan-22 Feb-22 Mar-22 Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 Apr-23 May-23 Jun-23 Jul-23 Aug-23 Sep-23 Oct-23 Nov Month *Calculated using par values, includes checking October 31,

15 Sector Allocations: Total General Portfolio Sector 10/31/18 9/30/18 Variance Bank Deposits 0.7% 1.0% -0.2% October 31, 2018 Bank Dep 0.7% CDARS Commercial Paper 0.0% 8.3% 0.0% 0.0% 7.9% 0.5% CP 8.3% Corporate Notes ABS 15.9% 1.4% 15.8% 0.2% 1.3% 0.1% CORP 15.9% MMF 0.1% MMFs Negotiable CDs Agencies* 0.1% 0.0% 8.4% 0.1% 0.0% 0.0% 0.0% 8.8% -0.4% Tsy 65.2% Agy 8.4% ABS 1.4% Treasuries 65.2% 65.3% -0.1% Total 100.0% 100.0% *Includes Supranational and Municipal Securities Figures may not total due to rounding October 31,

16 Sector Allocations: Core Portfolio Core Portfolio Sector 10/31/18 9/30/18 Variance October 31, 2018 Bank Deposits 2.6% 3.6% -0.9% CDARS 0.0% 0.0% 0.0% Commercial Paper 29.4% 28.9% 0.5% Corporate Notes 12.2% 10.8% 1.4% MMFs 0.2% 0.2% 0.0% Tsy 48.1% Bank Dep 2.6% Negotiable CDs 0.0% Agencies* 7.5% Treasuries 48.1% Total 100.0% *Includes Supranational and Municipal Securities 0.0% 0.0% 9.0% -1.5% 47.5% 0.6% 100.0% MMF 0.2% Agy 7.5% Corp 12.2% CP 29.4% Figures may not total due to rounding October 31,

17 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 2.6% Bubble size = Sector's % of Portfolio Sector WAM (Yrs.) Purchase Yield % of Portfolio* Negotiable CDs % Corporate Notes % 12.5% Commercial Paper % 30.2% Money Market % 0.2% Agencies** % 7.7% Treasuries % 49.4% Total % 100.0% *Based on Market Value **Includes Supranational Securities Purchase Yield 2.4% 2.2% 2.0% 1.8% 1.6% 1.4% CP Agy Corp MMF Tsy 1.2% 1.0% WAM Years Figures may not total due to rounding Does not include Checking and BNYM Sweep, CDARS included with CP October 31,

18 Sector Allocations: Reserve Portfolio Reserve Portfolio October 31, 2018 Sector 10/31/18 9/30/18 Variance Treasuries 72.0% 72.0% 0.0% Corp 17.4% Agencies* 8.7% 8.7% 0.0% ABS 1.9% Corporate Notes 17.4% 17.6% -0.2% ABS 1.9% 1.7% 0.2% Total 100.0% 100.0% Tsy 72.0% Agy 8.7% *Includes Supranational and Municipal Securities Figures may not total due to rounding October 31,

19 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Reserve Portfolio 2.65% Bubble size = Sector's % of Portfolio Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 2.45% Treasuries % 72.0% Agencies** % 8.7% Corporate Notes % 17.4% ABS % 1.9% Purchase Yield 2.25% 2.05% ABS Total % 100.0% *Based on Market Value **Includes Supranational and Municipal Securities 1.85% Agy Tsy 1.65% WAM Years Figures may not total due to rounding October 31,

20 Core and Reserve Market Values Month End Market Values $4.0 Core* $7.5 Reserve $3.5 $7.0 $3.0 $6.5 Billions $2.5 $2.0 $1.5 $1.0 $0.5 $0.0 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Jun-16 Jan-17 Aug-17 Mar-18 Oct-18 Billions $6.0 $5.5 $5.0 $4.5 $4.0 $3.5 $3.0 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Jun-16 Jan-17 Aug-17 Mar-18 Oct-18 *Core's market value includes checking accounts October 31,

21 Total General Portfolio: Market Value Total General Portfolio Market Value $11.5 $10.5 $9.5 Billions $8.5 $7.5 $6.5 $5.5 $4.5 Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 Nov-18 October 31,

22 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 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 Nov-18 October 31,

23 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 Complies Complies Complies Complies Complies Complies Complies Supranational Obligations 5 Years Complies *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. October 31,

24 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% $65 Million Per Account Compliance Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Supranational Obligations 30% Complies October 31,

25 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 Supranational Obligations From Approved List Complies October 31,

26 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: 2.63 vs 2.60 October 31,

27 Portfolio Statistics: Yield and Duration Purchase Yield: Core vs Benchmark* Purchase Yield: Reserve vs Benchmark* 6% 5% Core Benchmark 5% 4% Reserve Benchmark Percent 4% 3% 2% Percent 3% 2% 1% 1% 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18 *Benchmark: 3 Month T-Bill (3 Month Moving Average) 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18 *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-14 Jul-15 Jan-17 Jul Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18 Duration at month-end, after index rebalancing for the next month. Core duration does not include checking accounts. October 31,

28 Portfolio Statistics: Historical Purchase Yields Percent 5.50% 5.25% Reserve 5.00% Total Portfolio 4.75% 4.50% Core 4.25% 4.00% 3.75% 3.50% 3.25% 3.00% 2.75% 2.50% 2.25% 2.00% 1.75% 1.50% 1.25% 1.00% 0.75% 0.50% 0.25% 0.00% Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 Jul-17 Jul-18 Jul-19 October 31,

29 Purchase Yield Per 3-Month Maturity Intervals Core Portfolio 2.4% Months Purchase Yield % of Portfolio* 2.2% Bubble Size = Maturity's % of Portfolio 0 to % 44.81% 3 to % 16.05% 2.0% 2.08% 6 to % 18.94% 9 to % 20.20% Total 1.76% % Purchase Yield 1.8% 1.6% 1.64% 1.4% 1.41% 1.43% *Based on Par Value 1.2% Years October 31,

30 Purchase Yield Per 6-Month Maturity Intervals Reserve Portfolio Years Purchase Yield % of Portfolio*.5 to % 1.0 to % 15.39% 1.5 to % 15.30% 2.0 to % 16.93% 2.5 to % 11.03% 3.0 to % 14.77% 3.5 to % 6.19% 4.0 to % 11.20% 4.5 to % 9.21% Total 1.98% % *Based on Par Value Purchase Yield 3.3% 3.1% 2.9% 2.7% 2.5% 2.3% 2.1% 1.9% 1.7% Bubble Size = Maturity's % of Portfolio 2.93% 2.56% 1.99% 1.97% 1.95% 1.75% 1.64% 1.64% 1.5% 1.3% Years October 31,

31 Purchase Yield Per 6-Month Maturity Intervals Total General Portfolio Years Purchase Yield % of Portfolio* 3.2% 0 to % 18.27% Bubble Size = Maturity's % of Portfolio 0.5 to % 8.65% 3.0% 2.93% 1.0 to % 11.97% 2.8% 1.5 to % 11.05% 2.6% 2.56% 2.0 to % 12.22% 2.5 to % 7.96% 3.0 to % 10.66% Purchase Yield 2.4% 2.2% 3.5 to to % 4.47% 2.56% 8.08% 2.0% 1.8% 1.86% 1.75% 1.99% 1.95% 1.97% 4.5 to % 6.65% 1.6% 1.61% 1.60% 1.64% Total 1.92% % *Based on Par Value 1.4% Years October 31,

32 Portfolio Statistics: Historical Effective Duration Duration Reserve Total Portfolio Core Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 Jul-17 Jul-18 October 31,

33 Total General Portfolio Statistics: Sector Allocation History 70% 60% 50% 40% 30% 20% 10% Tsy Agy Corp CP Bank/Sweep ABS MBS 0% Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 Sector Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Tsy 57.6% 54.9% 55.5% 55.1% 56.3% 54.3% 53.0% 63.2% 62.2% 64.3% 65.3% 65.2% Agy* 10.7% 9.4% 7.8% 7.1% 7.2% 9.3% 10.7% 10.1% 11.2% 8.9% 8.8% 8.4% Corp 16.9% 15.1% 15.3% 14.7% 14.8% 14.4% 13.7% 15.9% 16.1% 15.9% 15.8% 15.9% CP 12.6% 18.8% 19.4% 19.6% 19.3% 19.8% 20.8% 7.1% 6.4% 8.6% 7.9% 8.3% Neg. CDs 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% ABS 1.0% 0.9% 0.9% 1.0% 1.2% 1.2% 1.1% 1.3% 1.2% 1.2% 1.3% 1.4% Bank 1.3% 1.0% 1.1% 2.6% 1.1% 1.0% 0.8% 2.5% 2.8% 1.1% 1.0% 0.8% Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% Figures may not total due to rounding *Includes Supranational and Municipal securities October 31,

34 Book Return: Core Portfolio 2.50% Monthly Performance Variance: Core vs Benchmark Percent Variance 2.30% 2.10% 1.90% 1.70% 1.50% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core Benchmark Monthly Return Core Portfolio Custom Benchmark* Variance 1.5% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.64% 1.69% 1.67% 1.72% 2.06% 2.08% 2.16% 2.30% -0.42% -0.39% -0.49% -0.58% Fiscal Year Performance Variance: Core vs Benchmark Percent Variance 1.0% 0.5% 0.0% -0.5% -1.0% Fiscal YTD Core Portfolio Custom Benchmark* Variance FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY % 1.27% 0.56% 0.41% 0.64% 0.78% 1.55% 1.68% 0.28% 0.19% 0.13% 0.15% 0.33% 0.73% 1.51% 2.15% 0.73% 1.08% 0.43% 0.26% 0.31% 0.05% 0.04% -0.47% *Core Benchmark: 70% monthly average of 60 Day A1/P1 Bloomberg CP Index (DCBP060Y) and 30% monthly moving average of 30 Day Agy (AGDN030Y). For Fiscal Year Performance the average builds from beginning of fiscal year. Figures may not total due to rounding October 31,

35 Book Return: Reserve Portfolio 2.10% Monthly Performance Variance: Reserve vs Benchmark Percent Variance 2.00% 1.90% 1.80% 1.70% Reserve Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Return Reserve Portfolio Custom Benchmark* Variance July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.84% 1.76% 1.86% 1.89% 1.81% 1.88% 1.96% 2.04% 0.03% -0.12% -0.10% -0.15% Percent Variance 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% Fiscal YTD Reserve Portfolio Custom Benchmark* Variance Fiscal Year Performance Variance: Reserve vs Benchmark FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY % 1.55% 1.52% 1.41% 1.43% 1.42% 1.63% 1.84% 0.96% 0.66% 0.59% 0.76% 0.94% 1.08% 1.42% 1.92% 0.95% 0.89% 0.93% 0.65% 0.49% 0.34% 0.21% -0.08% *Reserve Benchmark: 24 month moving average of the ICE BofAML 1-5 year U.S. Government and U.S. Corporate A-AAA Index (BU10). For Fiscal Year Performance the average builds from beginning of fiscal year. Figures may not total due to rounding October 31,

36 Book Return: Combined Portfolios 2.20% Monthly Performance Variance: Combined vs Benchmark Percent Variance 2.10% 2.00% 1.90% 1.80% 1.70% Combined Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Return Combined Portfolio Custom Benchmark* Variance July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.79% 1.74% 1.82% 1.85% 1.86% 1.92% 2.00% 2.09% -0.07% -0.18% -0.18% -0.24% Percent Variance 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% -0.4% Fiscal YTD Combined Portfolio Custom Benchmark* Variance Fiscal Year Performance Variance: Combined vs Benchmark FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY % 1.51% 1.36% 1.19% 1.40% 1.29% 1.61% 1.80% 0.83% 0.57% 0.50% 0.64% 0.82% 1.00% 1.44% 1.97% 0.93% 0.94% 0.86% 0.55% 0.58% 0.29% 0.17% -0.17% *Combined Benchmark: 80% of the Reserve Portfolio Benchmark and 20% of the Core Portfolio Benchmark. Average builds from beginning of fiscal year. Figures may not total due to rounding October 31,

37 Portfolio Statistics: Monthly Total Return 0.20% Core vs Benchmark 0.12% Reserve vs Benchmark 0.16% 0.10% Percent Variance 0.12% 0.08% 0.04% Percent Variance 0.08% 0.06% 0.04% 0.02% 0.00% Core Benchmark 0.00% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.19% 0.17% 0.02% Monthly Performance 0.10% 0.10% 0.00% *Core Benchmark: 3 Month T-Bill (G0O1 ICE BofAML Index) *Reserve Benchmark: 1-5 Year Govt/U.S. Corp A-AAA (BU10 ICE BofAML Index) Sector Core Attribution of Sub-Sector Returns Core Return Core Weight Benchmark Return Benchmark Weight Variance Variance Treasury 0.19% % % Treasury 0.13% % % Agency* 0.19% % % Agency* 0.09% % % Credit** 0.18% % % Credit** 0.01% % % *Agency includes U.S. Agencies, Supranationals, and Municipal Securities **Credit includes Corporate Bonds, Asset-Backed Securites, CP, and CDs Weighted Sector Reserve Attribution of Sub-Sector Weighted Returns Reserve Return Reserve Weight Bechmark Return Benchmark Weight 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. Weighted October 31,

38 Total Return Performance: Core vs. Benchmark 2.00% 1.80% Core Index 1.79% 1.67% 1.60% 1.40% 1.20% 1.07% 1.00% 0.90% 0.80% 0.69% 0.66% 0.71% 0.60% 0.52% 0.50% 0.55% 0.58% 0.40% 0.35% 0.20% 0.19% 0.17% 0.00% 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years Year Portfolio Core Benchmark* Variance Core Total Return 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years 0.19% 0.52% 0.69% 1.79% 1.07% 0.71% 0.58% 0.17% 0.50% 0.66% 1.67% 0.90% 0.55% 0.35% 0.02% 0.02% 0.03% 0.12% 0.17% 0.16% 0.23% *Core Benchmark: 3 Month T-Bill (G0O1) Note: Total returns for periods one year and greater are annualized. May not total due to rounding October 31,

39 Total Return Performance: Reserve vs. Benchmark 2.50% 2.00% Reserve Index 2.05% 2.02% 1.50% 1.00% 0.87% 0.84% 0.58% 0.55% 0.50% 0.30% 0.29% 0.26% 0.25% 0.10% 0.10% 0.00% -0.50% -0.28% -0.29% 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years Year Portfolio Reserve Benchmark* Variance Reserve Total Return 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years 0.10% 0.30% 0.26% -0.28% 0.58% 0.87% 2.05% 0.10% 0.29% 0.25% -0.29% 0.55% 0.84% 2.02% 0.00% 0.01% 0.01% 0.01% 0.03% 0.03% 0.03% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Note: Total returns for periods one year and greater are annualized. May not total due to rounding October 31,

40 Portfolio Statistics: Historical Total Return Performance Variance: Core vs 3 Mon T-bill 0.18% 0.16% 0.14% Percent Variance 0.12% 0.10% 0.08% 0.06% 0.04% 0.02% 0.00% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 Avg Core Portfolio 0.21% 0.23% 0.16% 0.15% 0.40% 0.70% 1.51% 0.69% 0.51% Benchmark* 0.04% 0.13% 0.07% 0.00% 0.19% 0.49% 1.37% 0.66% 0.37% Variance 0.17% 0.10% 0.09% 0.06% 0.03% 0.17% 0.14% 0.03% 0.14% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding October 31,

41 Portfolio Statistics: Historical Total Return Percent Variance Performance Variance: Reserve vs 1-5Yr Govt/Corp 0.10% 0.05% 0.00% -0.05% -0.10% -0.15% -0.20% -0.25% -0.30% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 Avg Reserve Portfolio 2.38% 0.15% 1.55% 1.38% 2.56% -0.25% -0.27% 0.26% 0.97% Benchmark* 2.36% 0.39% 1.53% 1.39% 2.51% -0.30% -0.27% 0.25% 0.98% Variance 0.02% -0.24% 0.02% -0.01% 0.05% 0.05% 0.00% 0.01% -0.01% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Figures may not total due to rounding October 31,

42 Portfolio Statistics: Monthly & FYTD Total Return Core vs 3 Month T-Bill Index Monthly Performance Comparison FYTD Performance Variance 0.20% 0.18% 0.16% 0.14% Core Benchmark 0.04% 0.03% 0.12% 0.10% 0.02% 0.08% 0.06% 0.04% 0.01% 0.02% 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 Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.17% 0.18% 0.15% 0.19% Benchmark 0.16% 0.18% 0.15% 0.17% Variance 0.01% 0.00% 0.00% 0.02% Monthly Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.17% 0.35% 0.50% 0.69% Benchmark 0.16% 0.34% 0.49% 0.66% Variance 0.01% 0.01% 0.01% 0.03% Fiscal YTD Performance October 31,

43 Portfolio Statistics: Monthly & FYTD Total Return Reserve vs 1-5 Year Government/Corporate Index Monthly Performance Comparison FYTD Performance Variance 0.50% 0.02% 0.40% 0.30% 0.01% 0.20% 0.10% 0.00% 0.00% -0.10% -0.20% Reserve Benchmark -0.01% -0.30% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.02% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.04% 0.44% -0.24% 0.10% Benchmark -0.04% 0.44% -0.25% 0.10% Variance 0.00% 0.00% 0.01% 0.00% Monthly Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.04% 0.40% 0.16% 0.26% Benchmark -0.04% 0.40% 0.15% 0.25% Variance 0.00% 0.00% 0.01% 0.01% Fiscal YTD Performance* October 31,

44 Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.40% 0.00% 0.30% 0.20% -0.01% 0.10% -0.02% 0.00% -0.03% -0.10% -0.20% -0.30% Reserve Tsy Benchmark Tsy Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.04% -0.05% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.08% 0.32% -0.22% 0.09% Benchmark -0.07% 0.34% -0.23% 0.11% Monthly Variance* Mon. Var % -0.02% 0.01% -0.02% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var % -0.03% -0.02% -0.04% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* October 31,

45 Portfolio Attribution: Reserve Agency vs. Benchmark Agency Agency Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.05% 0.04% Reserve Agy Benchmark Agy 0.03% 0.03% 0.02% 0.02% 0.01% 0.00% 0.01% -0.01% -0.02% 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 Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.00% 0.04% -0.01% 0.01% Benchmark 0.00% 0.02% 0.00% 0.00% Mon. Var. 0.00% 0.02% -0.01% 0.01% Monthly Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% 0.02% 0.01% 0.02% *Total returns are based upon sub-sector weighted returns Note: Includes U.S. Agencies, Supranationals, and Municipal Securities Figures may not total due to rounding Fiscal YTD Variance* October 31,

46 Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate Corporate Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.10% 0.05% 0.08% 0.06% 0.04% 0.04% 0.03% 0.02% 0.02% 0.00% -0.02% Reserve Corp Benchmark Corp 0.01% -0.04% 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 Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.04% 0.09% -0.02% 0.00% Benchmark 0.03% 0.07% -0.02% -0.01% Mon. Var. 0.01% 0.02% 0.00% 0.01% Monthly Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.01% 0.03% 0.03% 0.04% *Total returns are based upon sub-sector weighted returns Note: Includes Corporate Bonds and Asset-Backed Securities Figures may not total due to rounding Fiscal YTD Variance* October 31,

47 Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA) Monthly Price Return vs Interest Return Monthly Total Return Basis Points Basis Points Price Return Interest Return Component Total Return Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Interest Price Total October 31,

48 Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns Tsy Agy Corp Govt/Corp Index Index Sector Total Returns Basis Points Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Sector Total Returns (Basis Points) Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 AVG Index Treasury Agency Corporate October 31,

49 Reserve vs Index: Sector Allocations % of Portfolio/Index Percent 83% 81% 79% 77% 75% 73% 71% 69% 67% Treasury Allocations: Reserve vs Index Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Index Reserve Sep-18 Oct-18 Percent 22% 21% 20% 19% 18% 17% 16% 15% 14% 13% 12% 11% Corporate Allocations: Reserve vs Index Index Reserve Percent 11% 10% 9% 8% 7% 6% 5% 4% 3% Agency Allocations: Reserve vs Index Index Reserve Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Aug-18 Sep-18 Oct-18 Note: Corporate allocations include Corporate Bonds and Asset-Backed Securities; Agency Allocations include U.S. Agencies, Supranationals, and Municipal Securities October 31,

50 Effective Duration Allocations: Reserve vs. Benchmark 20% 18% 16% 17.6% 16.2% 17.0% 17.5% 15.5% 16.1% Index Reserve 14% 12% 12.7% 13.8% 11.2% 11.9% 10.6% 12.2% 12.3% 10% 8% 7.0% 6% 4.4% 4% 2% 0% 0.0% 0.0% 1.4% 0.9% 1.9% Duration Buckets* *Calculated using market values October 31,

51 Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 16% 14% 14.8% 13.7% 12.9% 12.7% Index Treasury Reserve Treasury 12% 10.7% 10.4% 11.7% 10.4% 10.6% 10% 9.4% 9.2% 8% 8.1% 8.4% 6% 4% 4.7% 3.9% 2% 1.3% 1.8% 0% 0.0% 0.0% 0.0% Duration Buckets* *Calculated using market values October 31,

52 Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 4.0% 3.5% 3.3% Index Agency Reserve Agency 3.0% 2.5% 2.0% 1.8% 1.5% 1.0% 0.5% 0.0% 1.1% 1.1% 1.2% 0.0% 0.0% 0.0% 0.0% 0.9% 0.6% 0.5% 0.3% 0.3% 0.2% 0.7% 0.2% 0.4% 0.0% 0.0% Duration Buckets* *Calculated using market values October 31,

53 Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% Index Corporate Reserve Corporate 4% 3.5% 3.4% 3.7% 3% 2.6% 2% 1.9% 2.2% 2.2% 1.7% 1.8% 1.7% 2.0% 1.6% 1.6% 1.4% 1% 0.9% 0.5% 0% 0.0% 0.0% 0.1% 0.1% Duration Buckets* *Calculated using market values October 31,

54 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 $6,020,709, % AA+ Aaa General Dynamics $19,892, % A+ A2 FNMA $303,423, % AA+ Aaa Pfizer $19,675, % AA A1 Mizuho Bank $149,588, % A A1 Costco $19,416, % A+ Aa3 MUFG Bank $146,870, % A A1 UnitedHealth Group $18,911, % A+ A3 Komatsu $135,581, % A A2 L'Oreal $17,073, % A-1+ P-1 FHLB $118,615, % AA+ Aaa Goldman Sachs $16,684, % BBB+ A3 IBRD $96,009, % AAA Aaa Comcast $14,993, % A- A3 FHLMC $93,471, % AA+ Aaa Bank of America NA $14,993, % A+ Aa3 Toyota $89,663, % AA- Aa3 Oracle $14,904, % AA- A1 US Bank $78,554, % AA- A1 Comerica $14,859, % BBB+ A3 State of California $78,241, % AA- Aa3 Precision Castparts $14,795, % AA- A2 Exxon Mobil $69,372, % AA+ Aaa Cisco $14,782, % AA- A1 Wells Fargo Bank* $69,236, % NR NR Georgia Power Company $14,762, % A- Baa1 PNC Bank $68,392, % A A2 IFC $14,755, % AAA Aaa IADB $68,292, % AAA Aaa United Parcel $14,645, % A+ A1 American Honda $64,082, % A+ A2 Intel $14,506, % A+ A1 Apple $63,782, % AA+ Aa1 Mastercard $14,453, % A A2 Home Depot $58,420, % A A2 Toyota ABS $11,997, % AAA Aaa Philip Morris $58,008, % A A2 Public Service Electric $11,892, % A Aa3 Citibank $54,456, % A+ A1 Chase Credit Card ABS $11,888, % AAA NR Bank of New York Mellon $54,291, % A A1 3M Company $9,970, % AA- A1 Siemens Capital $49,934, % A+ A1 Charles Schwab $9,966, % A A2 Citibank Credit Card ABS $49,271, % AAA Aaa KeyBank $9,966, % A- A3 Pepsico $44,039, % A+ A1 Nevada Power $9,953, % A+ A2 Chevron $41,323, % AA- Aa2 Berkshire Hathaway $9,939, % AA Aa2 Microsoft $41,290, % AAA Aaa M & T Corp $9,928, % A- A3 IBM $39,187, % A A1 American Express Corp $9,911, % BBB+ A3 Caterpillar $38,970, % A A3 State Street $9,896, % A A1 Natl Securities Clearing $38,629, % AA+ Aaa BB&T Corp $9,894, % A- A2 Qualcomm $34,821, % A- A2 Praxair $9,891, % A A2 JPMorgan Chase & Co $34,583, % A- A2 Gilead Sciences $9,881, % A A3 Amex. Credit Card ABS $31,805, % AAA Aaa JPMorgan Chase Bank $9,873, % A+ Aa2 John Deere $31,690, % A A2 Wells Fargo & Co $9,870, % A- A2 Coca Cola $31,649, % A+ Aa3 American Express $9,868, % A- A2 Morgan Stanley $29,888, % BBB+ A3 Visa $9,796, % A+ A1 M&T Trust $29,594, % A A3 US Bancorp $9,739, % A+ A1 Walt Disney $29,394, % A+ A2 Procter & Gamble $9,604, % AA- Aa3 Johnson & Johnson $29,371, % AAA Aaa United Tech $9,580, % A- Baa1 Archer Daniels $24,967, % A A2 Goldman Sachs Bank $5,995, % A+ A1 Branch Banking and Trust $24,369, % A A1 Automatic Data Processing $4,930, % AA Aa3 Honeywell $23,977, % A A2 Danaher $4,927, % A A2 Hershey $21,911, % A A1 Dreyfus Cash Mgmt $4,805, % AAAm Aaa-mf Capital One Credit Card AB $21,069, % AAA NR Public Storage $4,790, % A A2 Intercontinental Exg $20,673, % A A2 Total $9,234,266, % Union Pacific $19,915, % A- Baa1 *Checking Account October 31,

55 Total General Portfolio Transactions Total Monthly Transactions Buys* Sells** 0 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 *Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Buys Sells/Calls Total Reserve Transactions Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Buys Sells/Calls Total Total Transactions Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Sep-18 Oct-18 Buys Sells/Calls Total October 31,

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

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

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