Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments. January 31, 2018
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- Cynthia Walton
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1 Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments January 31, 2018
2 Economic Update: Overall Economy 6 5 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: 1/31/2018 January 31,
3 Economic Update: Employment Monthly Non-Farm Payrolls Unemployment Rates California LA Area U.S.A Thousands Percent Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 3 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 *Los Angeles area unemployment is not seasonally adjusted. 12 Month Average Monthly Job Change: 176,167 Data Source: Bloomberg January 31,
4 Economic Update: Consumer Activity 4.5 U.S. Retail Sales* YOY % Change $500 Total Monthly U.S. Retail Sales 4 $490 Percent Billions $480 $470 $460 $450 $440 $430 $420 $410 0 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 $400 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 *Inflation Adjusted Data Source: Bloomberg January 31,
5 Economic Update: Inflation 3.0 CPI and CPIX* YOY % Change Sector YOY % Price Changes Energy Shelter Wages 2.9 Percent CPI CPIX Services CPI Education Food Apparel Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 *CPIX: Consumer Price Index, excluding food and energy Communication Percent Data Source: Bloomberg January 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 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 Jul-17 $120 $110 $100 $90 $80 $70 $60 $50 $40 $30 $20 Oil-Per Barrel 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 Jul-17 Data Source: Bloomberg January 31,
7 Economic Update: Sector Returns YTD As of: 1/31/ Percent Data Source: Bloomberg January 31,
8 Economic Update: S&P 500 Returns As of: 1/31/18 10 YTD S&P 500 Major Sector Returns Percent Data Source: Bloomberg January 31,
9 Economic Update: Yield Curve FYTD Percent U.S. Treasury Yield Curve 6/30/17 1/31/18 3M6M 1Y 2Y 3Y 5Y 10Y 30Y Maturity 6/30/17 1/31/18 Change 3M M Y Y Y Y Y Y Data Source: Bloomberg Figures may not total due to rounding January 31,
10 Economic Update: Interest Rates Percent U.S. Treasury Yields: 3M and 1Y 1Y 3M 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 Jul-17 Sep-17 Nov-17 Jan-18 Percent U.S. Treasury Yields: 2Y and 5Y Y Y 0.00 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 Jul-17 Sep-17 Nov-17 Jan-18 Data Source: Bloomberg January 31,
11 Economic Update: Agency and Corporate Spreads 30 Spread*: 1-5 Yr Agency vs Treasury 225 Spread*: 1-5 Yr Corporate vs Treasury Basis Point Spread 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 Jun-17 Oct-17 8 Basis Point Spread 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 Jun-17 Oct *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 January 31,
12 Summary Portfolio Characteristics Market Value Book Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $2,368,919, $6,861,684, $2,367,701, $6,984,160, Total General Portfolio $9,230,604,739 $9,351,861,404 Variance $1,218, ($122,475,625) -- ($121,256,665) Mkt Value % of Total 25.7% % % 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 January 31,
13 Total General Portfolio: Maturity Distribution 25% 20% 15% 10% 1/31/18 12/31/17 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+ 1/31/ % 0.8% 3.6% 23.6% 21.5% 16.8% 12.4% 12/31/ % 0.9% 2.8% 23.2% 21.1% 15.8% 13.5% Variance -1.4% -0.1% 0.8% 0.4% 0.4% 1.0% -1.1% January 31,
14 Sector Allocations: Total General Portfolio Sector 1/31/ /31/2017 Variance Bank Deposits 1.1% 0.9% 0.2% January 31, 2018 Bank Dep 1.1% CDARS 0.0% 0.0% 0.0% Commercial Paper Corporate Notes 19.4% 15.3% 18.8% 0.6% 15.1% 0.2% CP 19.4% ABS 0.9% 0.9% 0.0% MMFs Negotiable CDs 0.1% 0.0% 0.1% 0.0% 0.0% 0.0% Tsy 55.5% CORP 15.3% Agencies* 7.8% 9.4% -1.6% Treasuries 55.5% 54.9% 0.7% Total 100.0% 100.0% Agy 7.8% ABS 0.9% MMF 0.1% *Includes Supranational and Municipal Securities Figures may not total due to rounding January 31,
15 Sector Allocations: Core Portfolio Core Portfolio January 31, 2018 Sector 1/31/ /31/2017 Variance Bank Deposits 4.1% 3.4% 0.7% CDARS 0.0% 0.0% 0.0% Corp 7.9% MMF 0.3% Agy 4.7% Tsy 7.6% Bank Dep 4.1% Commercial Paper 75.5% 71.4% 4.1% Corporate Notes 7.9% 9.1% -1.2% MMFs 0.3% 0.3% 0.0% Negotiable CDs 0.0% Agencies* 4.7% Treasuries 7.6% Total 100.0% 0.0% 0.0% 9.3% -4.6% 6.6% 1.0% 100.0% CP 75.5% *Includes Supranational and Municipal Securities Figures may not total due to rounding January 31,
16 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 1.9% 1.8% Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* Negotiable CDs % Corporate Notes % 8.2% Commercial Paper % 78.7% Money Market % 0.3% Agencies** % 4.9% Treasuries % 7.9% Total % 100.0% *Based on Market Value **Includes Supranational Securities Purchase Yield 1.7% 1.6% 1.5% 1.4% 1.3% 1.2% 1.1% 1.0% CP Agy Tsy MMF Bubble size = Sector's % of Portfolio 0.9% WAM Years Figures may not total due to rounding Does not include Checking and BNYM Sweep, CDARS included with CP January 31,
17 Sector Allocations: Reserve Portfolio Reserve Portfolio January 31, 2018 Sector 1/31/ /31/2017 Variance Treasuries 72.1% 72.1% 0.0% Agencies* 8.8% 9.4% -0.6% Corp 17.8% ABS 1.2% Corporate Notes 17.8% 17.3% 0.6% ABS 1.2% 1.2% 0.0% Total 100.0% 100.0% Tsy 72.1% Agy 8.8% *Includes Supranational and Municipal Securities Figures may not total due to rounding January 31,
18 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Reserve Portfolio 2.30% 2.20% Bubble size = Sector's % of Portfolio Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 2.10% Treasuries % 72.1% 2.00% Agencies** Corporate Notes 2.69 ABS % 8.8% % 17.8% 1.78% 1.2% Purchase Yield 1.90% 1.80% 1.70% Agy ABS Total % 100.0% 1.60% *Based on Market Value **Includes Supranational and Municipal Securities 1.50% Tsy 1.40% WAM Years Figures may not total due to rounding January 31,
19 Core and Reserve Market Values Month End Market Values $3.5 Core* $7.5 Reserve Billions $3.0 $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 Billions $7.0 $6.5 $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 *Core's market value includes checking accounts January 31,
20 Total General Portfolio: Market Value Total General Portfolio Market Value $10.5 $9.5 $8.5 Billions $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 January 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 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 January 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 Complies-none in portfolio 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. January 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% $65 Million Per Account Compliance Complies Complies Complies Complies-none in portfolio Complies Complies Complies Complies-none in portfolio Complies Complies-none in portfolio Complies Complies Complies-none in portfolio Supranational Obligations 30% Complies January 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 Supranational Obligations From Approved List Complies January 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: 2.63 vs 2.62 January 31,
26 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 *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 *Benchmark: 1-5 Year Govt/Corp A-AAA (24 Month Moving Average), changed 8/1/13 Duration Core Duration Core Benchmark 0.05 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Duration at month-end, after index rebalancing for the next month. Core duration does not include checking accounts. Duration Reserve Duration Reserve Benchmark 2.2 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 January 31,
27 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 January 31,
28 Purchase Yield Per 3-Month Maturity Intervals Core Portfolio 2.1% Months Purchase Yield % of Portfolio* 2.0% Bubble Size = Maturity's % of Portfolio 1.92% 0 to % 82.13% 3 to % 3.30% 1.9% 1.8% 1.78% 6 to % 2.43% 9 to % 12.14% Total 1.58% % Purchase Yield 1.7% 1.6% 1.61% 1.5% 1.4% 1.30% 1.3% *Based on Par Value 1.2% Years January 31,
29 Purchase Yield Per 6-Month Maturity Intervals Reserve Portfolio 2.4% Years Purchase Yield % of Portfolio* Bubble Size = Maturity's % of Portfolio.5 to % 2.2% 2.23% 1.0 to % 15.74% 1.5 to % 15.06% 2.0% 1.98% 2.0 to % 17.32% 2.5 to % 10.51% 3.0 to % 13.26% 3.5 to % 9.98% 4.0 to % 12.13% 4.5 to % 5.99% Purchase Yield 1.8% 1.6% 1.4% 1.47% 1.57% 1.62% 1.64% 1.53% 1.81% Total 1.68% % *Based on Par Value 1.2% Years January 31,
30 Purchase Yield Per 6-Month Maturity Intervals Total General Portfolio Years Purchase Yield % of Portfolio* 2.4% 0 to % 21.25% 0.5 to % 3.08% 2.2% 2.23% 1.0 to % 12.37% 1.5 to % 11.32% 2.0% 1.98% 2.0 to % 13.02% 2.5 to % 7.90% 3.0 to to % 1.81% 9.96% 7.50% 4.0 to % 9.12% Purchase Yield 1.8% 1.6% 1.62% 1.48% 1.57% 1.62% 1.64% 1.53% 1.81% 4.5 to % 4.50% 1.4% 1.39% Bubble Size = Maturity's % of Portfolio Total 1.66% % *Based on Par Value 1.2% Years January 31,
31 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 January 31,
32 Total General Portfolio Statistics: Sector Allocation History 70% 60% 50% 40% 30% 20% 10% Tsy Agy Corp CP Bank/Sweep ABS MBS Neg. CDS CDARS 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 Sector Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Tsy 53.7% 55.2% 52.3% 47.7% 51.4% 55.7% 57.0% 56.9% 56.8% 57.6% 54.9% 55.5% Agy 10.4% 8.7% 8.4% 10.5% 16.4% 12.0% 10.5% 9.4% 9.5% 10.7% 9.4% 7.8% Corp 15.3% 16.2% 15.7% 15.4% 15.7% 17.0% 16.9% 16.4% 16.9% 16.9% 15.1% 15.3% CP 19.3% 18.7% 22.0% 24.9% 12.9% 13.2% 13.6% 14.9% 13.2% 12.6% 18.8% 19.4% 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 0.0% 0.1% 0.4% 0.5% 0.8% 0.8% 0.8% 1.0% 1.0% 1.0% 0.9% 0.9% Bank 1.2% 1.0% 1.2% 1.1% 3.0% 1.3% 1.1% 1.4% 2.6% 1.3% 1.0% 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 January 31,
33 Book Return: Core Portfolio Percent Variance 1.60% 1.50% 1.40% 1.30% 1.20% 1.10% Performance Variance: Core vs Benchmark Core Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Return Core Portfolio Custom Benchmark* Variance July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.18% 1.24% 1.23% 1.29% 1.33% 1.41% 1.54% 1.15% 1.16% 1.16% 1.17% 1.25% 1.43% 1.51% 0.03% 0.08% 0.07% 0.12% 0.08% -0.02% 0.03% 0.00% 0.00% 0.00% 0.00% 0.00% Percent Variance 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% Fiscal YTD Core Portfolio Custom Benchmark* Variance Performance Variance: Core 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 % 1.27% 0.56% 0.41% 0.64% 0.78% 1.33% 0.28% 0.19% 0.13% 0.15% 0.33% 0.73% 1.26% 0.73% 1.08% 0.43% 0.26% 0.31% 0.05% 0.07% *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 January 31,
34 Book Return: Reserve Portfolio 1.65% Performance Variance: Reserve vs Benchmark Percent Variance 1.55% 1.45% 1.35% 1.25% 1.15% Reserve Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Return Reserve Portfolio Custom Benchmark* Variance 1.0% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.56% 1.61% 1.61% 1.51% 1.53% 1.56% 1.57% 1.22% 1.24% 1.25% 1.30% 1.33% 1.36% 1.41% 0.34% 0.37% 0.36% 0.21% 0.20% 0.20% 0.16% 0.00% 0.00% 0.00% 0.00% 0.00% Performance Variance: Reserve vs Benchmark Percent Variance 0.8% 0.6% 0.4% 0.2% 0.0% Fiscal YTD Reserve 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 % 1.55% 1.52% 1.41% 1.43% 1.42% 1.57% 0.96% 0.66% 0.59% 0.76% 0.94% 1.08% 1.30% 0.95% 0.89% 0.93% 0.65% 0.49% 0.34% 0.27% *Reserve Benchmark: 24 month moving average of the ICE BofAML 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 January 31,
35 Book Return: Combined Portfolios 1.65% Performance Variance: Combined vs Benchmark Percent Variance 1.55% 1.45% 1.35% 1.25% 1.15% Combined Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Return Combined Portfolio Custom Benchmark* Variance 1.0% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.47% 1.54% 1.52% 1.47% 1.49% 1.57% 1.21% 1.22% 1.23% 1.27% 1.31% 1.43% 0.26% 0.32% 0.29% 0.20% 0.18% 0.14% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Performance Variance: Combined vs Benchmark Percent Variance 0.8% 0.6% 0.4% 0.2% 0.0% Fiscal YTD Combined 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 % 1.51% 1.36% 1.19% 1.40% 1.29% 1.52% 0.83% 0.57% 0.50% 0.64% 0.82% 1.00% 1.30% 0.93% 0.94% 0.86% 0.55% 0.58% 0.29% 0.22% *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 January 31,
36 Portfolio Statistics: Monthly Total Return 0.16% Core vs Benchmark 0.05% Reserve vs Benchmark 0.14% -0.05% Percent Variance 0.12% 0.10% 0.08% 0.06% 0.04% Percent Variance -0.15% -0.25% -0.35% -0.45% 0.02% -0.55% 0.00% Core Benchmark -0.65% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.14% 0.12% 0.02% Monthly Performance -0.54% -0.55% 0.01% *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) Attribution of Sub-Sector Returns Sector Core Benchmark Treasury 0.09% 0.12% Attribution of Sub-Sector Weighted Returns Variance Agency 0.14% 0.00% Treasury -0.58% % % Corporate 0.14% 0.00% Agy/Muni -0.42% % % Corp/ABS -0.47% % % Sector 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 January 31,
37 Total Return Performance: Core vs. Benchmark 1.20% 1.00% Core Index 1.12% 0.93% 0.80% 0.75% 0.67% 0.64% 0.64% 0.60% 0.45% 0.45% 0.40% 0.34% 0.31% 0.29% 0.36% 0.20% 0.14% 0.12% 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 0.14% 0.34% 0.75% 1.12% 0.64% 0.45% 0.64% 0.12% 0.31% 0.67% 0.93% 0.45% 0.29% 0.36% 0.02% 0.03% 0.08% 0.19% 0.19% 0.16% 0.28% *Core Benchmark: 3 Month T-Bill (G0O1) January 31,
38 Total Return Performance: Reserve vs. Benchmark 2.50% 2.00% Reserve Index 2.08% 1.96% 1.50% 1.00% 0.84% 0.82% 0.50% 0.57% 0.53% 0.15% 0.13% 0.00% -0.50% -0.54% -0.55% -0.54% -0.54% -1.00% -0.82% -0.82% 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 -0.54% -0.82% -0.54% 0.15% 0.57% 0.84% 2.08% -0.55% -0.82% -0.54% 0.13% 0.53% 0.82% 1.96% 0.01% 0.00% 0.00% 0.02% 0.04% 0.02% 0.12% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 January 31,
39 Portfolio Statistics: Historical Total Return 0.25% Performance Variance: Core vs 3 Mon T-bill 0.20% Percent Variance 0.15% 0.10% 0.05% 0.00% FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FYTD 18 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FYTD 18 Avg Core Portfolio 0.22% 0.21% 0.23% 0.16% 0.15% 0.40% 0.70% 0.75% 0.35% Benchmark* 0.19% 0.04% 0.13% 0.07% 0.00% 0.19% 0.49% 0.67% 0.22% Variance 0.03% 0.17% 0.10% 0.06% 0.03% 0.17% 0.21% 0.08% 0.13% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding January 31,
40 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 11 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FYTD 18 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FYTD 18 Avg Reserve Portfolio 2.56% 2.38% 0.15% 1.55% 1.38% 2.56% -0.25% -0.54% 1.22% Benchmark* 2.67% 2.36% 0.39% 1.53% 1.39% 2.51% -0.30% -0.54% 1.25% Variance -0.11% 0.02% -0.24% 0.02% -0.01% 0.05% 0.05% 0.00% -0.03% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Figures may not total due to rounding January 31,
41 Portfolio Statistics: Monthly & FYTD Total Return Core vs 3 Month T-Bill Index Monthly Performance Comparison FYTD Performance Variance 0.16% Core 0.09% 0.14% Benchmark 0.08% 0.12% 0.07% 0.10% 0.08% 0.06% 0.04% 0.06% 0.05% 0.04% 0.03% 0.02% 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 0.10% 0.11% 0.10% 0.10% 0.10% 0.10% 0.14% Benchmark 0.09% 0.09% 0.09% 0.09% 0.08% 0.11% 0.12% Variance 0.01% 0.02% 0.01% 0.01% 0.02% -0.01% 0.02% Fiscal YTD Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.10% 0.21% 0.31% 0.41% 0.51% 0.61% 0.75% Benchmark 0.09% 0.18% 0.27% 0.36% 0.44% 0.55% 0.67% Variance 0.01% 0.03% 0.04% 0.05% 0.07% 0.06% 0.08% January 31,
42 Portfolio Statistics: Monthly & FYTD Total Return Reserve vs 1-5 Year Government/Corporate Index Monthly Performance Comparison FYTD Performance Variance 0.40% 0.30% 0.02% 0.20% 0.10% 0.01% 0.00% 0.00% -0.10% -0.20% -0.01% -0.30% -0.40% -0.50% Reserve Benchmark -0.02% -0.60% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.03% 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 0.31% 0.33% -0.29% -0.07% -0.30% 0.02% -0.54% Benchmark 0.31% 0.34% -0.30% -0.07% -0.28% 0.01% -0.55% Variance 0.00% -0.01% 0.01% 0.00% -0.02% 0.01% 0.01% Fiscal YTD Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.31% 0.64% 0.35% 0.28% -0.02% 0.00% -0.54% Benchmark 0.31% 0.65% 0.35% 0.28% 0.00% 0.01% -0.54% Variance 0.00% -0.01% 0.00% 0.00% -0.02% -0.01% 0.00% January 31,
43 Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.40% 0.04% 0.30% 0.20% 0.02% 0.10% 0.00% 0.00% -0.10% -0.20% Reserve Tsy Benchmark Tsy -0.02% -0.04% -0.30% -0.40% -0.06% -0.50% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.08% 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% 0.24% -0.24% -0.08% -0.21% 0.00% -0.42% Benchmark 0.23% 0.28% -0.28% -0.07% -0.23% -0.01% -0.46% Mon. Var % -0.04% 0.04% -0.01% 0.02% 0.01% 0.04% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var % -0.07% -0.03% -0.04% -0.02% -0.01% 0.03% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* January 31,
44 Portfolio Attribution: Reserve Agency vs. Benchmark Agency Agency Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.05% 0.04% 0.03% 0.05% 0.04% 0.02% 0.03% 0.01% 0.00% -0.01% 0.02% 0.01% -0.02% -0.03% -0.04% Reserve Agy Benchmark Agy 0.00% -0.01% -0.05% 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 Monthly Variance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.03% 0.03% -0.03% 0.00% -0.02% 0.00% -0.04% Benchmark 0.01% 0.01% -0.01% 0.00% -0.01% 0.00% -0.02% Mon. Var. 0.02% 0.02% -0.02% 0.00% -0.01% 0.00% -0.02% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.02% 0.04% 0.02% 0.02% 0.01% 0.01% -0.01% *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* January 31,
45 Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate Corporate Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.10% 0.08% 0.06% 0.04% 0.03% 0.04% 0.02% 0.02% 0.00% -0.02% 0.01% 0.00% -0.04% -0.06% -0.08% Reserve Corp Benchmark Corp -0.01% -0.02% -0.10% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.03% 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 0.08% 0.06% -0.02% 0.00% -0.06% 0.02% -0.09% Benchmark 0.07% 0.04% -0.02% 0.01% -0.04% 0.02% -0.07% Mon. Var. 0.01% 0.02% 0.00% -0.01% -0.02% 0.00% -0.02% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.01% 0.03% 0.03% 0.02% 0.00% 0.00% -0.02% *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* January 31,
46 Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA) Monthly Price Return vs Interest Return Monthly Total Return 50 Price Return Interest Return Basis Points Basis Points Component Total Return Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Interest Price Total January 31,
47 Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns 75 Index Sector Total Returns 50 Tsy Agy Corp Govt/Corp Index Basis Points Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Sector Total Returns (Basis Points) Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 AVG Index Treasury Agency Corporate January 31,
48 Reserve vs Index: Sector Allocations % of Portfolio/Index Percent 82% 80% 78% 76% 74% 72% 70% 68% 66% 64% Treasury Allocations: Reserve vs Index Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Index Reserve Dec-17 Jan-18 Percent 22% 21% 20% 19% 18% 17% 16% 15% 14% 13% 12% 11% Corporate Allocations: Reserve vs Index Index Reserve Percent 12% 11% 10% 9% 8% 7% 6% 5% 4% Agency Allocations: Reserve vs Index Index Reserve Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Nov-17 Dec-17 Jan-18 January 31,
49 Effective Duration Allocations: Reserve vs. Benchmark 20% 18% 16% 16.0% 17.0% 16.0% 16.1% 17.2% 15.2% Index Reserve 14% 13.5% 13.2% 12.5% 12% 10% 10.8% 10.0% 10.6% 9.8% 10.0% 8% 7.9% 6% 4% 4.0% 2% 0% 0.0% 0.0% 0.0% 0.0% Duration Buckets* *Calculated using market values January 31,
50 Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 14% 12% 10% 12.9% 12.2% 13.1% 10.3% 11.0% 11.9% 10.5% 12.2% 9.6% Index Treasury Reserve Treasury 8% 8.8% 8.1% 8.7% 8.1% 8.1% 6% 4.7% 4% 3.1% 2% 0% 0.0% 0.0% 0.0% 0.0% Duration Buckets* *Calculated using market values January 31,
51 Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 4.0% 3.5% Index Agency Reserve Agency 3.0% 2.5% 2.0% 2.2% 1.9% 1.5% 1.0% 0.5% 0.0% 1.0% 1.1% 1.4% 0.6% 0.8% 0.6% 0.8% 0.8% 1.0% 0.0% 0.0% 0.0% 0.0% 0.3% 0.4% 0.1% 0.2% 0.4% Duration Buckets* *Calculated using market values January 31,
52 Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% Index Corporate Reserve Corporate 4% 3.7% 3.6% 3.3% 3% 2% 2.1% 1.6% 1.9% 1.9% 2.4% 1.7% 1.5% 2.1% 1.6% 2.2% 1.7% 1.1% 1% 0.5% 0% 0.0% 0.0% 0.0% 0.0% Duration Buckets* *Calculated using market values January 31,
53 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 $5,127,088, % AA+ Aaa Capital One Cards ABS $21,025, % AAA NR Bank Tokyo-Mitsubishi $358,046, % A A1 Stryker $19,982, % A Baa1 FNMA $335,504, % AA+ Aaa Wells Fargo & Co $19,898, % A A2 Toronto Dominion $269,249, % AA- Aa2 Qualcomm $19,849, % A A1 Mizuho Bank $221,879, % A A1 Berkshire Hathaway $19,827, % AA Aa2 Toyota $202,753, % AA- Aa3 Costco $19,701, % A+ A1 Exxon Mobil $163,806, % AA+ Aaa Mastercard $17,665, % A A2 BNP Paribas $138,549, % A Aa3 Siemens Capital $16,963, % A+ A1 Apple $100,235, % AA+ Aa1 Oracle $14,993, % AA- A1 Wells Fargo Bank* $96,996, % NR NR Bank of America NA $14,990, % A+ Aa3 Intercontinental Exg $91,136, % A A2 Gilead Sciences $14,971, % A A3 United Parcel $88,796, % A+ A1 Precision Castparts $14,951, % AA- A2 Microsoft $87,844, % AAA Aaa FAMCA $14,896, % NR NR Walt Disney $84,505, % A+ A2 3M Company $14,867, % AA- A1 PNC Bank $84,261, % A A2 Georgia Power Company $14,833, % A- A3 FHLMC $83,848, % AA+ Aaa IFC $14,823, % AAA Aaa FHLB $80,316, % AA+ Aaa Intel $14,786, % A+ A1 US Bank $79,421, % AA- A1 Procter & Gamble $14,701, % AA- Aa3 State of California $78,825, % AA- Aa3 Amex Cards ABS $11,916, % AAA NR BMW $76,779, % A+ A1 Public Service Electric $11,916, % A Aa3 Pfizer $71,874, % AA A1 Chase Cards ABS $11,859, % AAA NR American Honda $64,392, % A+ A2 BB&T Corp $10,016, % A- A2 Philip Morris $58,822, % A A2 State Street $10,007, % A A1 IBRD $58,705, % AAA Aaa Charles Schwab $9,999, % A A2 Pepsico $54,185, % A+ A1 Wisconsin Electric Power $9,991, % A- A2 IADB $48,936, % AAA Aaa Home Depot $9,968, % A A2 Chevron $39,741, % AA- Aa2 Visa $9,934, % A+ A1 Bank of New York Mellon $39,727, % A A1 American Express $9,925, % A- A2 IBM $39,677, % A+ A1 US Bancorp $9,916, % A+ A1 Citibank Credit Card ABS $39,599, % AAA NR Citibank $9,900, % A+ A1 Caterpillar $39,406, % A A3 JPMorgan Chase Bank $9,876, % A+ Aa3 General Electric $37,774, % A A2 United Tech $9,749, % A- A3 JPMorgan Chase & Co $34,836, % A- A3 UnitedHealth Group $9,011, % A+ A3 Honeywell $34,125, % A A2 ING $7,314, % A+ Aa3 Coca Cola $31,751, % AA- Aa3 Dreyfus Cash Mgmt $7,279, % AAAm Aaa-mf Morgan Stanley $30,127, % BBB+ A3 Target $7,006, % A A2 M&T Trust $29,913, % A A3 Danaher $4,989, % A A2 Johnson & Johnson $29,592, % AAA Aaa Eli Lilly $4,985, % AA- A2 Goldman Sachs $26,808, % BBB+ A3 Automatic Data Processing $4,982, % AA Aa3 Cisco $24,932, % AA- A1 Public Storage $4,863, % A A2 Branch Banking and Trust $24,810, % A A1 Total $9,230,604, % John Deere $21,877, % A A2 *Checking Account January 31,
54 Total General Portfolio Transactions Total Monthly Transactions Buys* Sells** 0 Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 *Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Buys Sells/Calls Total Reserve Transactions Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Buys Sells/Calls Total Total Transactions Feb-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Buys Sells/Calls Total January 31,
55 Portfolio Transactions: Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 1/8/18 Wells Fargo & Co Corp 1/15/19 15,000,000 Sell 1/9/18 M&T Trust Corp 1/30/19 6,000,000 Sell 1/17/18 PNC Bank Corp 1/22/21 10,000,000 Buy 1/17/18 FNMA Note Agy 2/19/19 25,000,000 Sell 1/18/18 US Bank Corp 1/23/20 20,000,000 Buy 1/18/18 US Bank Corp 1/23/23 20,000,000 Buy 1/19/18 FNMA Note Agy 1/19/23 15,000,000 Buy 1/19/18 FNMA Note Agy 1/19/23 10,000,000 Buy 1/22/18 M&T Trust Corp 1/25/21 20,000,000 Buy 1/29/18 FNMA Note Agy 1/28/19 35,000,000 Transfer 1/31/18 U.S. Treasury Note Tsy 1/31/20 20,000,000 Buy 1/31/18 U.S. Treasury Note Tsy 7/31/21 45,000,000 Buy 1/31/18 U.S. Treasury Note Tsy 1/31/23 50,000,000 Buy 1/31/18 U.S. Treasury Note Tsy 1/31/19 25,000,000 Sell 1/31/18 U.S. Treasury Note Tsy 1/31/19 50,000,000 Transfer *"Transfer" is from Reserve to Core January 31,
56 Portfolio Transactions: Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 1/2/18 Siemens Capital CP 3/22/18 17,000,000 Buy 1/3/18 General Electric CP 3/29/18 37,872,000 Buy 1/4/18 Bank Toyko-Mitsubishi CP 1/12/18 22,880,000 Buy 1/5/18 Bank Toyko-Mitsubishi CP 1/12/18 18,812,000 Buy 1/5/18 Mizuho Bank CP 3/19/18 20,000,000 Buy 1/5/18 Mizuho Bank CP 3/12/18 20,000,000 Buy 1/8/18 Bank Toyko-Mitsubishi CP 4/10/18 25,000,000 Buy 1/8/18 Bank Toyko-Mitsubishi CP 4/11/18 23,949,000 Buy 1/9/18 Bank Toyko-Mitsubishi CP 2/1/18 6,000,000 Buy 1/10/18 BNP Paribas CP 4/16/18 31,825,000 Buy 1/10/18 BNP Paribas CP 1/12/18 40,000,000 Buy 1/11/18 Bank Toyko-Mitsubishi CP 3/1/18 23,011,000 Buy 1/12/18 Exxon Mobil CP 2/1/18 6,385,000 Buy 1/16/18 Microsoft CP 2/1/18 46,404,000 Buy 1/18/18 Intercontinental Exg CP 2/1/18 12,707,000 Buy 1/19/18 Toyota CP 3/1/18 68,284,000 Buy 1/19/18 Bank Toyko-Mitsubishi CP 2/14/18 45,000,000 Buy 1/19/18 BNP Paribas CP 1/23/18 25,000,000 Buy 1/19/18 BNP Paribas CP 1/22/18 10,000,000 Buy 1/19/18 Exxon Mobil CP 4/11/18 53,000,000 Buy 1/19/18 BMW CP 4/11/18 27,000,000 Buy 1/19/18 Intercontinental Exg CP 4/11/18 20,000,000 Buy 1/19/18 American Honda CP 4/11/18 30,000,000 Buy 1/19/18 Exxon Mobil CP 4/2/18 75,000,000 Buy 1/19/18 BMW CP 4/2/18 50,000,000 Buy 1/22/18 Intercontinental Exg CP 2/1/18 24,578,000 Buy 1/23/18 Archer Daniels CP 1/25/18 35,000,000 Buy 1/23/18 Intercontinental Exg CP 2/12/18 13,689,000 Buy 1/24/18 Toronto Dominion CP 4/9/18 20,000,000 Buy 1/24/18 Toronto Dominion CP 4/10/18 12,172,000 Buy 1/25/18 BNP Paribas CP 2/1/18 33,821,000 Buy 1/26/18 Mizuho Bank CP 4/12/18 33,120,000 Buy *"Transfer" is from Reserve to Core January 31,
57 Portfolio Transactions: Core Portfolio (continued) Trade Date Issuer Type Maturity Date Par Amount Action* 1/28/19 FNMA Note Agy 1/28/19 35,000,000 Transfer 2/2/18 BNP Paribas CP 2/2/18 33,020,000 Buy 2/1/18 BNP Paribas CP 2/1/18 40,000,000 Buy 3/13/18 Bank Toyko-Mitsubishi CP 3/13/18 20,688,000 Buy 2/1/18 FHLB DN Agy 2/1/18 16,000,000 Buy 4/25/18 Bank Toyko-Mitsubishi CP 4/25/18 34,000,000 Buy 4/24/18 Bank Toyko-Mitsubishi CP 4/24/18 40,000,000 Buy 3/5/18 Bank Toyko-Mitsubishi CP 3/5/18 25,000,000 Buy 1/31/19 U.S. Treasury Note Tsy 1/31/19 50,000,000 Transfer *"Transfer" is from Reserve to Core January 31,
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