Presentation to the City of Los Angeles Investment Advisory Committee. September 30, 2013

Transcription

1 Presentation to the City of Los Angeles Investment Advisory Committee September 30, 2013

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 * Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 9/30/13 2

3 Economic Update-Employment Monthly Non-Farm Payrolls Unemployment Rates Census Hiring California LA Area U.S.A Thousands Percent ,000 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 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 4 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 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 *Los Angeles area unemployment is not seasonally adjusted. 12 Month Average Monthly Job Change: 185,417 Data Source: Bloomberg 3

4 Economic Update-Consumer Activity 8 U.S. Retail Sales* YOY % Change $450 Total Monthly U.S. Retail Sales 6 4 $430 Percent Billions $410 $390 $ $ Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 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 $330 Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 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 *Inflation Adjusted Data Source: Bloomberg 4

5 Economic Update-Inflation CPI and CPIX* YOY % Change Sector YOY % Price Changes 5 4 CPI CPIX Education Shelter Services 2.3 Percent 2 1 Wages Apparel CPI Food Mar-09 Jun-09 Sep-09 Dec-09 Mar-10 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 *CPIX: Consumer Price Index, excluding food and energy Energy Communication Percent Data Source: Bloomberg 5

6 Economic Update-Dollar and Commodities 95 Dollar Index $2,000 Gold and Oil $160 Index Value Gold-Per Ounce $1,800 $1,600 $1,400 $1,200 $1,000 $800 $600 $400 $200 Gold Oil $140 $120 $100 $80 $60 $40 $20 Oil-Per Barrel 70 Apr-05 Oct-05 Apr-06 Oct-06 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 $0 Apr-05 Oct-05 Apr-06 Oct-06 Apr-07 Oct-07 Apr-08 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 $0 Data Source: Bloomberg 6

7 Economic Update-Sector Returns YTD As of: 9/30/ Percent Data Source: Bloomberg 7

8 Economic Update-S&P 500 Returns As of: 9/30/13 30 YTD S&P 500 Major Sector Returns Percent Data Source: Bloomberg 8

9 Economic Update-Yield Curve FYTD /1/13 9/30/13 U.S. Treasury Yield Curve Maturity 7/1/13 9/30/13 Change 3M M Y Percent Y Y Y M6M 1Y 2Y 3Y 5Y 10Y 30Y 10Y Y Data Source: Bloomberg 9

10 Economic Update-Interest Rates U.S. Treasury Yields: 3M and 1Y U.S. Treasury Yields: 2Y and 5Y Y Y M Y Percent Percent Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep Sep-10 Nov-10 Jan-11 Mar-11 May-11 Jul-11 Sep-11 Nov-11 Jan-12 Mar-12 May-12 Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Data Source: Bloomberg 10

11 Economic Update-Agency and Corporate Spreads 200 Spread*: 1-5 Yr Agency vs Treasury 700 Spread*: 1-5 Yr Corporate vs Treasury Basis Point Spread Basis Point Spread Feb-07 Jun-07 Oct-07 Feb-08 Jun-08 Oct-08 Feb-09 Jun-09 Oct-09 Feb-10 Jun-10 Oct-10 Feb-11 Jun-11 Oct-11 Feb-12 Jun-12 Oct-12 Feb-13 0 Feb-07 Jun-07 Oct-07 Feb-08 Jun-08 Oct-08 Feb-09 Jun-09 Oct-09 Feb-10 Jun-10 Oct-10 Feb-11 Jun-11 Oct-11 Feb-12 Jun-12 Oct-12 Feb-13 Jun-13 *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 11

12 Summary Portfolio Characteristics Market Value Par Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $799,886, $6,218,648, $796,708, $6,093,254, Total General Portfolio $7,018,534,441 $6,889,962,873 Variance $3,177, $125,394, $128,571,568 Mkt Value % of Total 11% -- 89% % 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 includes checking ## Weighted Purchase Yield for Core does not include checking 12

13 Total General Portfolio: Maturity Distribution 30% 25% 20% 15% 9/30/13 8/31/13 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+ 9/30/13 8.1% 0.7% 2.6% 28.2% 26.3% 19.7% 14.4% 8/31/ % 1.1% 2.0% 25.8% 24.9% 19.2% 15.2% Variance -3.8% -0.4% 0.6% 2.5% 1.4% 0.5% -0.8% 13

14 Total General Portfolio: Sector Allocations Sector 9/30/2013 8/31/2013 Variance Bank Deposits 1.0% 1.0% 0.0% CDARS 0.1% 0.1% 0.0% September 30, 2013 Bank 1.0% CDARS 0.1% CP 4.7% Commercial Paper 4.7% 10.2% -5.5% Corporate Notes MMFs 20.1% 1.1% 20.1% 0.0% 0.0% 1.1% CORP 20.1% Negotiable CDs Federal Agencies Treasuries 0.0% 14.5% 58.5% 0.0% 0.0% 13.8% 0.7% 54.8% 3.7% Tsy 58.5% Agy 14.5% Total 100.0% 100.0% Figures may not total due to rounding 14

15 Sector Allocations - Core Portfolio Core Portfolio September 30, 2013 Sector 9/30/2013 8/31/2013 Variance Bank Deposits 9.1% 6.9% 2.2% CDARS 0.9% 0.6% 0.2% Commercial Paper 41.3% 68.0% -26.7% MMF 9.4% Agy 12.1% Tsy 0.0% Bank Dep 9.1% CDARS 0.9% Corporate Notes 27.1% 17.4% 9.7% MMFs 9.4% 0.0% 9.4% Negotiable CDs 0.0% 0.0% 0.0% Federal Agencies 12.1% 7.0% 5.0% Corp 27.1% CP 41.3% Treasuries 0.0% Total 100.0% 0.0% 0.0% 100.0% Figures may not total due to rounding 15

16 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 2.50% Bubble size = % of Sector WAM (Yrs.) Purchase Yield % of Portfolio* 2.00% 1.50% Agy Corp Corporate % 33.3% Commercial Paper % 51.8% Agency % 14.8% Treasury % 0.1% Total % 100.0% Purchase Yield 1.00% 0.50% 0.00% CP Tsy *Based on Market Value -0.50% WAM Figures may not total due to rounding Does not include Checking and BNYM Sweep 16

17 Sector Allocations - Reserve Portfolio Reserve Portfolio Sector 9/30/2013 8/31/2013 Variance September 30, 2013 Bank Deposits 0.0% 0.0% 0.0% CDARS 0.0% 0.0% 0.0% Commercial Paper 0.0% 0.0% 0.0% Corp 19.2% Corporate Notes 19.2% 20.6% -1.4% MMFs 0.0% 0.0% 0.0% Negotiable CDs 0.0% 0.0% 0.0% Federal Agencies 14.8% 15.0% -0.2% Treasuries 66.0% 64.4% 1.6% Total 100.0% 100.0% Tsy 66.0% Agy 14.8% Figures may not total due to rounding 17

18 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Reserve Portfolio 2.00% Bubble size = % of 1.75% Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 1.50% Treasury Agency Corporate % 1.21% 1.75% 66.0% 14.8% 19.2% Total % 100.0% Purchase Yield 1.25% 1.00% Tsy Agy *Based on Market Value 0.75% 0.50% WAM Figures may not total due to rounding 18

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 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 *Core's market value includes checking accounts 19

20 Total General Portfolio: Market Value Total General Portfolio Market Value $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 20

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 21

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 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. 22

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 23

24 Portfolio Compliance with Code, Policy, and Guidelines Issuer and Transaction Limitations -- Approved Issuers Item Limit Compliance Federal Agency Issuer 30% 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 24

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: 2.69 vs

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 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 0% Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 *Benchmark: 3 Month T-Bill (3 Month Moving Average) *Benchmark: 1-5 Year Govt/Corp A-AAA (24 Month Moving Average), changed 8/1/ Core Duration Core Benchmark 2.8 Reserve Duration Reserve Benchmark Duration Duration Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Duration at month-end, after index rebalancing for the next month. Core duration does not include checking accounts. 26

27 Portfolio Statistics-Historical Purchase Yields 6% 5% Core Reserve Total Portfolio 4% Percent 3% 2% 1% 0% 27

28 Portfolio Statistics-Historical Duration Duration 1.5 Core Reserve Total Portfolio

29 Total General Portfolio Statistics-Sector Allocation History 70% 60% 50% 40% 30% 20% 10% Tsy Agy Corp CP Cash/Sweep CDARS MBS 0% Sector Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Tsy 57.4% 58.2% 54.5% 53.8% 52.3% 53.5% 52.3% 51.3% 48.9% 55.1% 54.8% 59.1% Agy 18.8% 17.0% 14.8% 17.4% 18.1% 19.5% 20.2% 17.8% 17.4% 16.7% 13.8% 14.6% Corp 19.9% 19.8% 17.8% 18.2% 18.5% 19.2% 19.0% 20.6% 19.5% 21.0% 20.1% 20.3% CP 2.3% 3.1% 10.0% 9.9% 9.9% 6.1% 7.4% 9.3% 12.4% 6.3% 10.2% 4.8% 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 1.5% 1.8% 2.8% 0.6% 1.2% 1.5% 1.1% 0.9% 1.6% 0.8% 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 29

30 Portfolio Statistics-Monthly Total Return 0.05% Core vs Benchmark 0.60% Reserve vs Benchmark 0.04% 0.50% Percent Variance 0.03% 0.02% 0.01% Percent Variance 0.40% 0.30% 0.20% 0.10% 0.00% Core Benchmark 0.00% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.02% 0.01% 0.01% Monthly Performance 0.52% 0.54% -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 0.01% 0.01% 0.00% Treasury 0.48% 0.51% -0.03% Agency 0.03% 0.00% 0.03% Agency 0.56% 0.51% 0.05% Corporate 0.02% 0.00% 0.02% Corporate 0.61% 0.72% -0.11% Benchmark Sector Returns are calculated by FTN Financial Main Street using the subsector returns of the BU10 index. 30

31 Portfolio Statistics-Historical Total Return Performance Variance: Core vs 3 Mon T-bill Performance Variance: Reserve vs 1-5Yr Govt/Corp 0.2% 0.3% 0.2% 0.1% 0.2% Percent Variance 0.1% 0.1% 0.1% 0.1% 0.0% 0.0% Percent Variance 0.1% 0.0% -0.1% -0.2% 0.0% FY 10 FY 11 FY 12 FY 13 FYTD % FY 10 FY 11 FY 12 FY 13 FYTD 14 Core Portfolio Benchmark* Variance FY 10 FY 11 FY 12 FY 13 FYTD 14 FY 10 FY 11 FY 12 FY 13 FYTD % 0.22% 0.21% 0.23% 0.05% Reserve Portfolio 5.31% 2.56% 2.38% 0.15% 0.56% 0.16% 0.19% 0.04% 0.13% 0.03% Benchmark* 5.04% 2.67% 2.36% 0.39% 0.59% 0.06% 0.03% 0.17% 0.10% 0.02% Variance 0.27% -0.11% 0.02% -0.24% -0.03% *Core Benchmark: 3 Month T-Bill (G0O1) *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 31

32 Portfolio Statistics-Monthly & FYTD Total Return Core vs 3 Month T-Bill Index Monthly Performance Comparison FYTD Performance Variance 0.05% Core 0.12% 0.04% Benchmark 0.10% 0.03% 0.08% 0.06% 0.02% 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 0.02% 0.01% 0.02% Benchmark 0.01% 0.01% 0.01% Variance 0.01% 0.00% 0.01% Monthly Performance Fiscal YTD Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.02% 0.03% 0.05% Benchmark 0.01% 0.02% 0.03% Variance 0.01% 0.01% 0.02% 32

33 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 Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.30% -0.26% 0.52% Benchmark 0.31% -0.26% 0.54% Variance -0.01% 0.00% -0.02% Monthly Performance* Fiscal YTD Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.30% 0.04% 0.56% Benchmark 0.31% 0.05% 0.59% Variance -0.01% -0.01% -0.03% *The benchmark index for the Reserve Portfolio was changed August 1,

34 Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.570% 0.520% 0.470% Reserve Tsy Benchmark Tsy 0.10% 0.08% 0.06% 0.04% 0.420% 0.370% 0.02% 0.00% -0.02% 0.320% -0.04% 0.270% -0.06% -0.08% 0.220% 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 Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.23% -0.26% 0.48% Benchmark 0.23% -0.28% 0.51% Mon. Var. 0.00% 0.02% -0.03% Monthly Variance* Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% 0.02% -0.01% *The benchmark index for the Reserve Portfolio was changed August 1,

35 Portfolio Attribution: Reserve Agency vs. Benchmark Agency Agency Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.70% 0.60% 0.50% 0.40% 0.30% 0.20% 0.10% 0.00% -0.10% -0.20% -0.30% Reserve Agy Benchmark Agy 0.10% 0.08% 0.06% 0.04% 0.02% 0.00% -0.02% -0.04% -0.06% -0.08% -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 Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.34% -0.30% 0.56% Benchmark 0.27% -0.25% 0.51% Mon. Var. 0.07% -0.05% 0.05% Monthly Variance* Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.07% 0.02% 0.07% *The benchmark index for the Reserve Portfolio was changed August 1,

36 Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate Corporate Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.80% 0.60% Reserve Corp Benchmark Corp 0.00% -0.05% 0.40% -0.10% 0.20% 0.00% -0.15% -0.20% -0.25% -0.20% -0.30% -0.40% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.35% 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 0.49% -0.19% 0.61% Benchmark 0.65% -0.17% 0.72% Mon. Var % -0.02% -0.11% Monthly Variance* Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var % -0.18% -0.29% *The benchmark index for the Reserve Portfolio was changed August 1,

37 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 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Interest Price Total *The benchmark index for the Reserve Portfolio was changed August 1,

38 Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns Index Sector Total Returns Basis Points Tsy Agy Corp Govt/Corp Index Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Sector Total Returns (Basis Points) Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 AVG Index Treasury Agency Corporate *The benchmark index for the Reserve Portfolio was changed August 1,

39 Reserve vs Index: Sector Allocations % of Portfolio/Index 80% 76% Treasury Allocations: Reserve vs Index Index Reserve Percent 72% 68% 64% 60% Oct-12 Nov-12 Dec-12 Jan-13 Percent Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 24% 22% 20% 18% 16% 14% 12% 10% Corporate Allocations: Reserve vs Index Index Reserve Percent 22% 20% 18% 16% 14% 12% 10% Agency Allocations: Reserve vs Index Index Reserve 8% 8% Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 *The benchmark index for the Reserve Portfolio was changed August 1,

40 Total General Portfolio: Credit Quality S&P Moody's S&P Moody's Issuer % of Port LT Rating LT Rating Issuer % of Port LT Rating LT Rating US Treasury Note $4,005,827, % AA+ Aaa Costco $16,000, % A+ A1 FNMA Note $415,000, % AA+ Aaa Bank of New York $15,900, % A+ Aa3 FHLMC Note $310,000, % AA+ Aaa Apple $15,000, % AA+ Aa1 FHLB Note $173,125, % AA+ Aaa Intel $15,000, % A+ A1 BNP Paribas $159,000, % A+ A2 Merck & Co $15,000, % AA A2 Bank Tokyo-Mitsubishi $141,510, % A+ Aa3 Oracle $15,000, % A+ A1 JPMorgan Chase $101,250, % A A2 PepsiCo $15,000, % A- A1 Wells Fargo $80,000, % A+ A1 Sherwin-Williams $15,000, % A A3 Toyota $77,000, % AA- Aa3 Southern Company $14,150, % A A3 BNYM-Sweep $75,518, % AAAm Aaa-mf American Express $10,000, % A- A2 Wells Fargo Bank $73,053, % Baxter International $10,000, % A A3 General Electric $70,000, % AA+ A1 Charles Schwab $10,000, % A A2 Honda $55,000, % A+ A1 Colgate Palmolive $10,000, % AA- Aa3 John Deere $53,000, % A A2 Daimler Finance $10,000, % A- A3 Goldman Sachs $49,000, % A- A3 Google $10,000, % AA Aa2 FFCB Note $47,000, % AA+ Aaa Occidental Petroleum $10,000, % A A1 Coca Cola $45,000, % AA- Aa3 University of California $10,000, % AA Aa1 IBM $45,000, % AA- Aa3 Wisconsin Electric Power $10,000, % A- A2 TVA Note $45,000, % AA+ Aaa EBAY $9,000, % A A2 AT&T $40,000, % A- A3 Philip Morris $8,754, % A A2 Walt Disney $40,000, % A A2 Altera $8,050, % A- A2 Berkshire Hathaway $38,000, % AA Aa2 Becton Dickinson $8,000, % A A3 US Bancorp $38,000, % A+ A1 McDonald's $7,000, % A A2 Pfizer $35,000, % AA A1 NYSE Euronext $7,000, % A A3 Caterpillar $33,000, % A A2 State Street $6,000, % A+ A1 Exxon Mobil $30,000, % AAA Aaa 3M Company $5,000, % AA- Aa2 BlackRock $29,550, % A+ A1 Branch Banking & Trust $5,000, % A A1 General Dynamics $25,000, % A A2 Home Depot $5,000, % A- A3 Johnson & Johnson $25,000, % AAA Aaa Proamerica Bank $5,000, % Texas Instruments $25,000, % A+ A1 Procter & Gamble $5,000, % AA- Aa3 Walmart $25,000, % AA Aa2 UnitedHealth $5,000, % A A3 PACCAR $24,000, % A+ A1 Air Products $3,000, % A A2 BB&T $22,000, % A- A2 National Oilwell Varco $3,000, % A- A2 Praxair $20,275, % A A2 United Technologies $3,000, % A A2 Cisco Systems $20,000, % A+ A1 United Parcel Service $2,000, % A+ Aa3 Medtronic $20,000, % A+ A2 California United Bank $1,000, % Microsoft $20,000, % AAA Aaa Manufacturers Bank $1,000, % Stryker $20,000, % A+ A3 Total $6,889,962, % Chevron $17,000, % AA Aa1 40

41 Total General Portfolio Transactions Total Monthly Transactions Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Buys* Sells** *Buys: Core-Includes transfers from Reserve **Sales: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Buys Sales Total Reserve Transactions Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Buys Sales Total Total Transactions Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Sep-13 Buys Sales Total

42 Portfolio Transactions-Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 9/3/13 Home Depot Note 9/10/18 5,000,000 Buy 9/16/14 FNMA Note 9/16/14 (20,000,000) Transfer 9/18/13 US Treasury Note 8/31/15 50,000,000 Buy 9/19/13 Honda Note 9/19/14 (30,000,000) Transfer 9/19/13 BB&T Note 10/15/18 5,000,000 Buy 9/24/13 TVA Note 10/15/18 20,000,000 Buy 9/26/13 FFCB Note 9/22/14 (40,000,000) Sell 9/27/13 FNMA Note 11/27/18 35,000,000 Buy 9/29/13 PACCAR Note 9/29/14 (10,000,000) Transfer 9/30/13 US Treasury Note 12/31/14 65,000,000 Buy 9/30/13 US Treasury Note 10/15/15 65,000,000 Buy 9/30/13 US Treasury Note 9/30/14 (100,000,000) Sell *"Transfer" is from Reserve to Core 42

43 Portfolio Transactions-Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 9/3/13 Deutsche Bank CP 9/11/13 13,087,000 Buy 9/3/13 Deutsche Bank CP 9/10/13 25,000,000 Buy 9/3/13 Bank of Tokyo-Mit CP 9/17/13 53,000,000 Buy 9/3/13 Union Bank CP 9/5/13 25,000,000 Buy 9/4/13 BNP Paribas CP 9/6/13 20,000,000 Buy 9/4/13 Union Bank CP 9/9/13 22,115,000 Buy 9/4/13 Deutsche Bank CP 9/13/13 20,000,000 Buy 9/5/13 Bank of NY Mellon CP 9/6/13 54,000,000 Buy 9/5/13 General Electric CP 9/20/13 25,000,000 Buy 9/5/13 General Electric CP 9/16/13 25,000,000 Buy 9/6/13 General Electric CP 9/23/13 18,355,000 Buy 9/6/13 General Electric CP 9/26/13 25,000,000 Buy 9/6/13 BNP Paribas CP 9/11/13 25,000,000 Buy 9/6/13 BNP Paribas CP 9/10/13 25,000,000 Buy 9/6/13 Deutsche Bank CP 9/16/13 25,000,000 Buy 9/9/13 US Treasury Bill 9/12/13 46,000,000 Buy 9/10/13 Deutsche Bank CP 9/11/13 14,000,000 Buy 9/10/13 Union Bank CP 9/13/13 20,000,000 Buy 9/10/13 Deutsche Bank CP 9/24/13 20,001,000 Buy 9/10/13 Exxon Mobil CP 9/30/13 20,001,000 Buy 9/11/13 Deutsche Bank CP 9/13/13 15,000,000 Buy 9/11/13 Deutsche Bank CP 9/19/13 20,001,000 Buy 9/11/13 Deutsche Bank CP 9/25/13 10,000,000 Buy 9/12/13 Bank of Tokyo-Mit CP 10/3/13 24,510,000 Buy 9/12/13 Exxon CP 10/1/13 30,000,000 Buy 9/13/13 Bank of Tokyo-Mit CP 10/10/13 30,000,000 Buy 9/13/13 Deutsche Bank CP 9/27/13 32,000,000 Buy 9/16/13 BNP Paribas CP 9/30/13 44,000,000 Buy 9/16/13 Netjets CP 9/18/13 35,000,000 Buy 9/16/14 FNMA Note 9/16/14 20,000,000 Transfer *"Transfer" is from Reserve to Core 43

44 Portfolio Transactions-Core Portfolio (continued) Trade Date Issuer Type Maturity Date Par Amount Action* 9/17/13 Union Bank CP 9/19/13 50,000,000 Buy 9/18/13 BNP Paribas CP 9/20/13 14,000,000 Buy 9/18/13 Bank of Tokyo-Mit CP 9/20/13 31,000,000 Buy 9/18/13 Societe Generale CP 9/19/13 30,000,000 Buy 9/19/13 Union Bank CP 9/25/13 10,000,000 Buy 9/19/13 Union Bank CP 9/24/13 17,000,000 Buy 9/19/13 Union Bank CP 9/23/13 10,000,000 Buy 9/19/13 Honda Note 9/19/14 30,000,000 Transfer 9/20/13 Bank of Tokyo-Mit CP 10/4/13 25,000,000 Buy 9/20/13 General Electric CP 9/25/13 23,620,000 Buy 9/23/13 General Electric CP 9/26/13 41,000,000 Buy 9/23/13 BNP Paribas CP 9/25/13 20,000,000 Buy 9/24/13 Bank of Tokyo-Mit CP 10/9/13 22,000,000 Buy 9/24/13 Bank of Tokyo-Mit CP 10/7/13 25,000,000 Buy 9/25/13 Societe Generale CP 9/26/13 18,340,000 Buy 9/25/13 BNP Paribas CP 10/1/13 30,000,000 Buy 9/25/13 Union Bank CP 9/27/13 10,000,000 Buy 9/26/13 Societe Generale CP 9/27/13 24,139,000 Buy 9/26/13 Deutsche Bank CP 9/27/13 100,000,000 Buy 9/27/13 BNP Paribas CP 10/2/13 34,000,000 Buy 9/27/13 BNP Paribas CP 10/1/13 30,000,000 Buy 9/27/13 Bank of Tokyo-Mit CP 10/15/13 15,000,000 Buy 9/27/13 Praxair CP 9/30/13 19,100,000 Buy 9/27/13 BNP Paribas CP 10/1/13 15,000,000 Buy 9/27/13 BNP Paribas CP 10/8/13 25,000,000 Buy 9/27/13 BNP Paribas CP 10/11/13 25,000,000 Buy 9/27/13 Societe Generale CP 9/30/13 35,000,000 Buy 9/27/13 Deutsche Bank CP 9/30/13 75,000,000 Buy 9/29/13 PACCAR Note 9/29/14 10,000,000 Transfer *"Transfer" is from Reserve to Core 44