Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments. July 31, 2015

Transcription

1 Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments July 31, 2015

2 Economic Update-Overall Economy 8 U.S. GDP (Quarter over Quarter Annualized)* Percent Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q * Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 7/31/15 July 31,

3 Economic Update-Employment Monthly Non-Farm Payrolls Unemployment Rates California LA Area U.S.A Thousands Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul Month Average Monthly Job Change: 242,917 Percent Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 *Los Angeles area unemployment is not seasonally adjusted. Data Source: Bloomberg July 31,

4 Economic Update-Consumer Activity 7 U.S. Retail Sales* YOY % Change $470 Total Monthly U.S. Retail Sales 6 $450 5 $430 Percent Billions $410 $390 1 $370 0 $350-1 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 $330 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 *Inflation Adjusted Data Source: Bloomberg July 31,

5 Economic Update-Inflation Percent CPI and CPIX* YOY % Change 4.5 CPI 4.0 CPIX Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 *CPIX: Consumer Price Index, excluding food and energy Sector YOY % Price Changes Education 3.7 Shelter 3.0 Services 2.0 Wages 2.1 Food 1.5 CPI 0.2 Apparel -2.4 Communication -3.4 Energy Percent Data Source: Bloomberg July 31,

6 Economic Update-Dollar and Commodities Index Value Dollar Index Gold-Per Ounce $2,000 $1,800 $1,600 $1,400 $1,200 $1,000 $800 $600 $400 $200 $0 Gold and Oil Gold Oil $160 $140 $120 Feb-07 Aug-07 Feb-08 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 $100 $80 $60 $40 $20 $0 Oil-Per Barrel Feb-07 Aug-07 Feb-08 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Data Source: Bloomberg July 31,

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

8 Economic Update-S&P 500 Returns As of: 7/31/15 YTD S&P 500 Major Sector Returns Percent Data Source: Bloomberg July 31,

9 Economic Update-Yield Curve FYTD Percent U.S. Treasury Yield Curve 6/30/15 7/31/15 3M6M 1Y 2Y 3Y 5Y 10Y 30Y Maturity 6/30/15 7/31/15 Change 3M M Y Y Y (0.03) 5Y (0.12) 10Y (0.17) 30Y (0.22) Data Source: Bloomberg July 31,

10 Economic Update-Interest Rates U.S. Treasury Yields: 3M and 1Y U.S. Treasury Yields: 2Y and 5Y Y 3M Y 2Y Percent Percent Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13 Sep-13 Nov-13 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Data Source: Bloomberg July 31,

11 Economic Update-Agency and Corporate Spreads Basis Point Spread Spread*: 1-5 Yr Agency vs Treasury Dec-08 Apr-09 Aug-09 Dec-09 Apr-10 Aug-10 Dec-10 Apr-11 Aug-11 Dec-11 Apr-12 Aug-12 Dec-12 Apr-13 Aug-13 Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 9 Basis Point Spread Spread*: 1-5 Yr Corporate vs Treasury Dec-08 Apr-09 Aug-09 Dec-09 Apr-10 Aug-10 Dec-10 Apr-11 Aug-11 Dec-11 Apr-12 Aug-12 Dec-12 Apr-13 Aug-13 Dec-13 Apr-14 Aug-14 Dec-14 Apr *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 July 31,

12 Summary Portfolio Characteristics Market Value Par Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $1,285,515, $7,069,525, $1,282,824, $6,997,039, Total General Portfolio $8,355,040,743 $8,279,863,895 Variance $2,690, $72,486, $75,176,848 Mkt Value % of Total 15% -- 85% % 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 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 July 31,

13 Total General Portfolio: Maturity Distribution 30% 25% 20% 15% 7/31/15 6/30/15 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+ 7/31/ % 1.1% 2.2% 28.3% 24.0% 17.3% 15.0% 6/30/ % 1.1% 2.1% 28.5% 21.0% 17.1% 14.5% Variance -3.4% 0.0% 0.1% -0.2% 2.9% 0.2% 0.5% July 31,

14 Total General Portfolio: Sector Allocations Sector 7/31/2015 6/30/2015 Variance Bank Deposits 0.9% 1.1% -0.2% July 31, 2015 Bank 0.9% CDARS 0.1% CDARS 0.1% 0.1% 0.0% Commercial Paper Corporate Notes 10.7% 19.3% 13.7% -2.9% 19.5% -0.2% CP 10.7% MMFs Negotiable CDs Federal Agencies Treasuries 0.0% 0.0% 10.1% 58.8% 0.0% 0.0% 0.0% 0.0% 10.6% -0.5% 55.1% 3.8% Tsy 58.8% CORP 19.3% Agy 10.1% Total 100.0% 100.0% Figures may not total due to rounding July 31,

15 Sector Allocations - Core Portfolio Core Portfolio July 31, 2015 Sector 7/31/2015 6/30/2015 Variance Bank Deposits 5.6% 5.7% -0.1% Agy 6.5% Bank Dep 5.6% CDARS 0.9% CDARS 0.9% 0.7% 0.2% Commercial Paper 69.8% 72.8% -3.1% Corporate Notes 17.3% 15.3% 2.0% Corp 17.3% MMFs 0.0% 0.0% 0.0% Negotiable CDs 0.0% Federal Agencies 6.5% Treasuries 0.0% Total 100.0% 0.0% 0.0% 5.5% 1.0% 0.0% 0.0% 100.0% CP 69.8% Figures may not total due to rounding July 31,

16 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 2.5% Bubble size = Sector's % of Portfolio 2.0% Agy Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* Corporate % 18.3% Commercial Paper % 74.8% Agency % 6.9% Treasury % 0.0% Total % 100.0% Purchase Yield 1.5% 1.0% 0.5% 0.0% CP *Based on Market Value -0.5% WAM Years Figures may not total due to rounding Does not include Checking and BNYM Sweep, CDARS included with CP July 31,

17 Sector Allocations - Reserve Portfolio Reserve Portfolio Sector 7/31/2015 6/30/2015 Variance July 31, 2015 Bank Deposits 0.0% 0.0% 0.0% CDARS 0.0% 0.0% 0.0% Commercial Paper 0.0% 0.0% 0.0% Corporate Notes 19.7% 20.4% -0.8% Corp 19.7% MMFs 0.0% 0.0% 0.0% Negotiable CDs 0.0% 0.0% 0.0% Federal Agencies 10.8% 11.8% -1.0% Treasuries 69.5% 67.8% 1.7% Total 100.0% 100.0% Tsy 69.5% Agy 10.8% Figures may not total due to rounding July 31,

18 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Reserve Portfolio 2.00% 1.75% Bubble size = Sector's % of Portfolio Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 1.50% Treasury Agency Corporate % 1.19% 1.82% 69.5% 10.8% 19.7% Purchase Yield 1.25% 1.00% Agy Tsy Total % 100.0% *Based on Market Value 0.75% 0.50% WAM Years Figures may not total due to rounding July 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 Dec-06 May-07 Oct-07 Mar-08 Aug-08 Jan-09 Jun-09 Nov-09 Apr-10 Sep-10 Feb-11 Jul-11 Dec-11 May-12 Oct-12 Mar-13 Aug-13 Jan-14 Jun-14 Nov-14 Apr-15 Billions $7.0 $6.5 $6.0 $5.5 $5.0 $4.5 $4.0 $3.5 $3.0 Jul-06 Dec-06 May-07 Oct-07 Mar-08 Aug-08 Jan-09 Jun-09 Nov-09 Apr-10 Sep-10 Feb-11 Jul-11 Dec-11 May-12 Oct-12 Mar-13 Aug-13 Jan-14 Jun-14 Nov-14 Apr-15 *Core's market value includes checking accounts July 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 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 July 31,

21 Total General Portfolio: % of Portfolio: Core vs Reserve % of Total General Portfolio: Core vs Reserve 100% 90% 80% 70% 60% 50% 40% Reserve Core 30% 20% 10% 0% Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 July 31,

22 Portfolio Compliance with Code, Policy, and Guidelines Maturity Limitations* Sector Government Securities Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Repurchase Agreements Reverse Repo/Securities Lending Corporate Notes Mortgage Backed Securities/CMOs Asset Backed Securities Banker's Acceptances Limit 5 Years 270 Days 180 Days 1 Year 32 Days 92 Days 5 Years 5 Years 5 Years 180 Days Compliance Complies Complies Complies-none in portfolio Complies-none in portfolio Complies-none in portfolio Complies Complies Complies-none in portfolio Complies-none in portfolio Complies-none in portfolio *The City's Investment Policy and Investment guidelines allow for purchases of securities with longer maturities than those listed above for funds with longer investment/cash flow horizons. July 31,

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

25 Portfolio Compliance with Code, Policy, and Guidelines Portfolio Maturity Limitations and Duration Ranges Core Portfolio Item Limit Compliance Maturity Limitation One Year Complies Reserve Portfolio Item Limit Compliance Effective Duration 1-5 Govt/Corp Index +/-.10 Complies: 2.66 vs 2.67 July 31,

26 Portfolio Statistics-Yield and Duration Purchase Yield: Core vs Benchmark* Purchase Yield: Reserve vs Benchmark* 6% 5% Core Benchmark 6% 5% Reserve Benchmark Percent 4% 3% Percent 4% 3% 2% 2% 1% 1% 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 *Benchmark: 3 Month T-Bill (3 Month Moving Average) *Benchmark: 1-5 Year Govt/Corp A-AAA (24 Month Moving Average), changed 8/1/13 Duration Core Duration Core Benchmark Duration Reserve Duration Reserve Benchmark 0.05 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Duration at month-end, after index rebalancing for the next month. Core duration does not include checking accounts. July 31,

27 Portfolio Statistics-Historical Purchase Yields 6.0% 5.5% 5.0% Reserve Total Portfolio Core 4.5% 4.0% 3.5% Percent 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 July 31,

28 Purchase Yield Per 3-Month Maturity Intervals Core Portfolio 3.0% Months Purchase Yield % of Portfolio* 2.5% 2.45% 2.33% 0 to % 77.69% 3 to % 7.28% 2.0% 1.70% 6 to % 5.83% 9 to % 9.20% Total 0.63% % Purchase Yield 1.5% 1.0% 0.5% 0.0% 0.19% *Based on Par Value -0.5% 0 to 3 Months 3-6 Months Bubble Size = Maturity's % of Portfolio 6-9 Months 9-12 Months July 31,

29 Purchase Yield Per 6-Month Maturity Intervals Reserve Portfolio 2.3% Years Purchase Yield % of Portfolio*.5 to % 0.00% 1.0 to % 13.03% 2.0% 1.8% Bubble Size = Maturity's % of Portfolio 1.83% 1.69% 1.70% 1.5 to % 18.05% 1.5% 1.52% 2.0 to % 15.45% 2.5 to % 13.78% 3.0 to % 12.01% 3.5 to % 8.76% Purchase Yield 1.3% 1.0% 0.8% 0.87% 0.79% 1.21% 0.85% 4.0 to % 11.52% 0.5% 4.5 to % 7.39% 0.3% Total 1.22% % *Based on Par Value 0.0%.5 to 1 Yrs 1 to 1.5 Yrs 1.5 to 2 Yrs 2 to 2.5 Yrs 2.5 to 3 Yrs 3 to 3.5 Yrs 3.5 to 4 Yrs 4 to to 5+ Yrs Yrs July 31,

30 Purchase Yield Per 6-Month Maturity Intervals Total General Portfolio Years Purchase Yield % of Portfolio* 3.0% 0 to % 12.45% 0.5 to % 2.20% 2.5% 2.38% Bubble Size = Maturity's % of Portfolio 1.0 to % 11.12% 1.5 to % 15.41% 2.0 to % 13.19% 2.5 to % 11.76% 3.0 to % 10.25% 3.5 to % 7.48% Purchase Yield 2.0% 1.5% 1.0% 0.5% 0.79% 0.87% 0.85% 1.21% 1.69% 1.70% 1.83% 1.52% 4.0 to % 9.83% 0.32% 4.5 to % 6.31% 0.0% Total 1.13% % *Based on Par Value -0.5% Years July 31,

31 Portfolio Statistics-Historical Duration Duration 1.5 Reserve Total Portfolio Core Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 July 31,

32 Total General Portfolio Statistics-Sector Allocation History 70% 60% 50% 40% 30% 20% 10% Tsy Agy Corp CP Bank/Sweep CDARS MBS 0% Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Sector Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Tsy 55.6% 55.7% 56.2% 55.5% 51.1% 51.8% 51.7% 52.1% 51.5% 48.0% 55.1% 58.8% Agy 12.9% 13.3% 10.9% 10.5% 13.1% 13.2% 14.2% 14.1% 13.5% 12.4% 10.6% 10.1% Corp 20.0% 19.0% 19.5% 19.8% 18.3% 18.5% 16.9% 16.8% 16.3% 16.4% 19.5% 19.3% CP 10.7% 8.3% 10.0% 12.7% 12.5% 16.0% 15.3% 15.2% 18.0% 20.8% 13.7% 10.7% CDARS 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% Bank 0.7% 3.6% 3.3% 1.3% 4.8% 0.4% 1.7% 1.7% 0.5% 2.2% 1.1% 0.9% 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 July 31,

33 Portfolio Statistics-Monthly Total Return 0.03% Core vs Benchmark 0.20% Reserve vs Benchmark 0.02% 0.15% Percent Variance 0.01% 0.00% -0.01% Percent Variance 0.10% 0.05% -0.02% Core Benchmark 0.00% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.02% -0.01% 0.03% Monthly Performance 0.19% 0.19% 0.00% *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 Sector Core Benchmark Treasury 0.00% 0.00% Attribution of Sub-Sector Weighted Returns Variance Agency 0.02% 0.00% Treasury 0.18% % % Corporate 0.02% 0.00% Agy/Muni 0.19% % % Corporate 0.23% % % 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 July 31,

34 Portfolio Statistics-Historical Total Return 1.4% 1.2% Performance Variance: Core vs 3 Mon T-bill Percent Variance 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FYTD 16 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FYTD 16 Avg Core Portfolio 2.22% 0.22% 0.22% 0.21% 0.23% 0.16% 0.15% 0.02% 0.43% Benchmark* 0.95% 0.16% 0.19% 0.04% 0.13% 0.07% 0.00% -0.01% 0.19% Variance 1.27% 0.06% 0.03% 0.06% 0.03% 0.17% 0.15% 0.03% 0.24% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding July 31,

35 Portfolio Statistics-Historical Total Return 1.2% 1.0% Performance Variance: Reserve vs 1-5Yr Govt/Corp Percent Variance 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% -0.4% FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FYTD 16 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FYTD 16 Avg Reserve Portfolio 5.87% 5.31% 2.56% 2.38% 0.15% 1.55% 1.38% 0.19% 2.42% Benchmark* 4.89% 5.04% 2.67% 2.36% 0.39% 1.53% 1.39% 0.19% 2.31% Variance 0.98% 0.27% -0.11% 0.02% -0.24% 0.02% -0.01% 0.00% 0.12% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Figures may not total due to rounding July 31,

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

37 Portfolio Statistics-Monthly & FYTD Total Return Reserve vs 1-5 Year Government/Corporate Index Monthly Performance Comparison FYTD Performance Variance 0.25% Reserve Benchmark 0.06% 0.20% 0.04% 0.15% 0.02% 0.00% 0.10% -0.02% 0.05% -0.04% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.06% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.19% Benchmark 0.19% Variance 0.00% Monthly Performance* Fiscal YTD Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.19% Benchmark 0.19% Variance 0.00% July 31,

38 Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.20% 0.15% Reserve Tsy Benchmark Tsy 0.06% 0.04% 0.02% 0.10% 0.00% 0.05% -0.02% -0.04% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.06% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.18% Benchmark 0.19% Monthly Variance* Mon. Var % 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var % July 31,

39 Portfolio Attribution: Reserve Agency vs. Benchmark Agency Agency Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.20% Reserve Agy 0.06% 0.15% Benchmark Agy 0.04% 0.02% 0.10% 0.00% 0.05% -0.02% -0.04% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.06% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.19% Benchmark 0.17% Mon. Var. 0.02% Monthly Variance* Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.02% July 31,

40 Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate Corporate Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.25% Reserve Corp Benchmark Corp 0.06% 0.20% 0.04% 0.15% 0.02% 0.00% 0.10% -0.02% 0.05% -0.04% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.06% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.23% Benchmark 0.23% Mon. Var. 0.00% Monthly Variance* Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% July 31,

41 Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA) Monthly Price Return vs Interest Return Monthly Total Return Price Return Interest Return Basis Points Basis Points Component Total Return Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Interest Price Total July 31,

42 Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns Index Sector Total Returns Tsy Agy Corp Govt/Corp Index Basis Points Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Sector Total Returns (Basis Points) Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 AVG Index Treasury Agency Corporate July 31,

43 Reserve vs Index: Sector Allocations % of Portfolio/Index Percent 82% 80% 78% 76% 74% 72% 70% 68% 66% 64% Treasury Allocations: Reserve vs Index Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Index Reserve Jun-15 Jul-15 Percent 22% 21% 20% 19% 18% 17% 16% 15% 14% 13% 12% 11% Corporate Allocations: Reserve vs Index Index Reserve Percent 14% 13% 12% 11% 10% 9% 8% 7% 6% Agency Allocations: Reserve vs Index Index Reserve Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 May-15 Jun-15 Jul-15 July 31,

44 Effective Duration Allocations: Reserve vs. Benchmark 18% 16% 14% 12% 16.4% 16.7% 16.5% 16.8% 13.9% 15.8% 12.3% 12.9% 12.1% 13.0% 11.1% 12.3% Index Reserve 10% 9.7% 8.5% 8% 6% 4.8% 5.3% 4% 2% 0% 0.0% 0.0% 2.0% 0.0% Duration Buckets* *Calculated using market values July 31,

45 Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 16% 14% 12% 13.4% 11.7% 13.0% 12.1% 12.1% Index Treasury Reserve Treasury 10% 10.2% 9.5% 9.8% 9.2% 10.2% 8% 8.4% 8.0% 7.1% 6.5% 6% 4% 2.4% 4.0% 2% 1.5% 0% 0.0% 0.0% 0.0% Duration Buckets* *Calculated using market values July 31,

46 Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 5% 4% Index Agency Reserve Agency 1.8% 1.6% 3.4% 3% 2% 1.5% 1.7% 1% 0% 0.0% 0.0% 0.4% 0.0% 1.1% 0.7% 0.7% 1.2% 0.5% 0.4% 1.0% 0.5% 0.4% 0.2% 1.0% Duration Buckets* *Calculated using market values July 31,

47 Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% Index Corporate Reserve Corporate 4% 3% 3.2% 1.1% 2.5% 3.0% 3.3% 1.9% 2.1% 1.9% 1.2% 2.9% 2% 1.6% 2.1% 1.7% 1.6% 1.9% 1% 0% 0.0% 0.0% 0.2% 0.0% 0.6% Duration Buckets* *Calculated using market values July 31,

48 Total General Portfolio: Credit Quality S&P Moody's S&P Moody's Issuer Market Value % of Port LT Rating LT Rating Issuer Market Value % of Port LT Rating LT Rating U.S. Treasury Note $4,914,122, % AA+ Aaa Ralph Lauren $20,207, % A A2 FNMA $398,924, % AA+ Aaa Medtronic $20,143, % A A3 Bank Tokyo-Mitsubishi $349,583, % A+ A1 Stryker $19,874, % A+ A3 Toyota $222,438, % AA- Aa3 Qualcomm $19,753, % A+ A1 General Electric $189,798, % AA+ A1 Chevron $17,026, % AA Aa1 FHLMC $163,751, % AA+ Aaa IBM $17,014, % AA- Aa3 BNP Paribas $155,322, % A+ A1 Home Depot $15,185, % A A2 JPMorgan Chase & Co $119,930, % A A3 Charles Schwab $15,087, % A A2 US Bank $80,035, % AA- A1 Branch Banking and Trust $15,051, % A A1 Wells Fargo & Co $75,037, % A+ A2 Precision Castparts $15,011, % A- A2 FHLB $72,466, % AA+ Aaa Intel $14,995, % A+ A1 Wells Fargo Bank* $71,833, % NR NR Sherwin-Williams $14,947, % A A2 PACCAR $60,684, % A+ A1 Ebay $12,805, % BBB+ Baa1 American Honda $60,676, % A+ A1 Public Service Electric $12,019, % A Aa3 PNC Bank $56,958, % A A2 General Dynamics $10,153, % A A2 John Deere $55,328, % A A2 Intercontinental Exg $10,131, % A A2 Goldman Sachs $47,215, % A- A3 Walt Disney $10,043, % A A2 Inter-Amer Dev Bk $46,525, % AAA Aaa Colgate-Palmolive $10,021, % AA- Aa3 Berkshire Hathaway $45,605, % AA Aa2 Wisconsin Electric Power $9,998, % A- A1 Caterpillar $45,290, % A A2 Texas Instrument $9,894, % A+ A1 Exxon Mobil $45,051, % AAA Aaa Philip Morris $8,844, % A A2 FFCB $42,120, % AA+ Aaa Altera $8,092, % A- Baa1 Johnson & Johnson $40,315, % AAA Aaa Becton Dickinson $8,045, % BBB+ Baa2 Morgan Stanley $40,279, % A- A3 Univ of California $7,527, % AA Aa2 American Express Credit $37,093, % A- A2 Target $7,120, % A A2 State of California $35,195, % AA- Aa3 Monsanto $7,021, % BBB+ A3 Intl Bk Recon & Dev $34,987, % AAA Aaa Pepsico $6,869, % A A1 Apple $34,698, % AA+ Aa1 State Street Corp $5,976, % A+ A2 BB&T Corp $32,115, % A- A2 Procter & Gamble $5,050, % AA- Aa3 Cisco Systems $30,202, % AA- A1 Daimler $5,050, % A- A3 MUFG Union Bank $29,299, % A+ A1 Eli Lilly $5,027, % AA- A2 Coca Cola $27,109, % AA Aa3 Manufacturers Bank $5,000, % NR NR M&T Trust $26,075, % A A2 Proamerica Bank $5,000, % NR NR Farmer Mac $25,178, % NR NR Southern Cal Edison $4,995, % A Aa3 Microsoft $25,123, % AAA Aaa Corning $4,988, % A- A3 3M Company $25,089, % AA- Aa3 ConocoPhillips $4,984, % A A1 Oracle $25,077, % AA- A1 Merck $4,981, % AA A2 AT&T $25,070, % BBB+ Baa1 Baxter International $4,981, % A- Baa2 Pfizer $25,040, % AA A1 United Tech $3,040, % A A2 Bank of New York Mellon $24,960, % A+ A1 Mastercard $3,023, % A A2 Costco $22,884, % A+ A1 National Oilwell Varco $2,984, % A A2 UnitedHealth Group $21,052, % A+ A3 California United Bank $1,000, % NR NR TVA $20,283, % AA+ Aaa Total $8,355,040, % US Bancorp $20,233, % A+ A1 *Checking Account July 31,

49 Total General Portfolio Transactions Total Monthly Transactions Buys* Sells** 0 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 *Buys: Core-Includes transfers from Reserve **Sales: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Buys Sales Total Reserve Transactions Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Buys Sales Total Total Transactions Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Buys Sales Total July 31,

50 Portfolio Transactions-Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 7/8/15 Toyota Corp 7/13/18 10,000,000 Buy 7/9/15 John Deere Corp 7/14/20 5,000,000 Buy 7/15/15 General Dynamics Corp 7/15/16 10,000,000 Transfer 7/20/15 UnitedHealth Group Corp 7/16/18 5,000,000 Buy 7/20/15 UnitedHealth Group Corp 7/15/20 5,000,000 Buy 7/29/15 American Express Credit Corp 7/29/16 10,000,000 Transfer 7/30/15 Air Products & Chemicals Corp 8/2/16 3,000,000 Sell 7/30/15 IBM Corp 7/22/16 8,000,000 Sell 7/30/15 Daimler Corp 8/1/16 5,000,000 Sell 7/31/15 U.S. Treasury Note Tsy 10/31/17 80,000,000 Buy 7/31/15 U.S. Treasury Note Tsy 5/31/18 100,000,000 Buy 7/31/15 U.S. Treasury Note Tsy 7/31/17 80,000,000 Buy 7/31/15 U.S. Treasury Note Tsy 7/31/20 30,000,000 Buy 7/31/15 U.S. Treasury Note Tsy 12/31/19 100,000,000 Buy 7/31/15 U.S. Treasury Note Tsy 7/31/16 130,000,000 Sell 7/31/15 FHLMC Note Agy 1/27/17 25,000,000 Sell 7/31/15 FHLB Note Agy 9/28/16 20,000,000 Sell *"Transfer" is from Reserve to Core July 31,

51 Portfolio Transactions-Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 7/1/15 US Bank CP 8/3/15 60,005,000 Buy 7/2/15 Bank Tokyo-Mitsubishi CP 7/9/15 25,000,000 Buy 7/2/15 InterAmer Dev BK DN Supra 8/3/15 16,235,000 Buy 7/2/15 PACCAR CP 8/3/15 38,600,000 Buy 7/6/15 MUFG Union Bank CP 7/9/15 25,000,000 Buy 7/6/15 Toyota CP 8/28/15 35,000,000 Buy 7/8/15 MUFG Union Bank CP 7/13/15 15,000,000 Buy 7/9/15 Bank Tokyo-Mitsubishi CP 8/19/15 80,000,000 Buy 7/9/15 General Electric CP 9/16/15 50,000,000 Buy 7/9/15 General Electric CP 9/16/15 50,000,000 Buy 7/9/15 Toyota CP 9/30/15 50,000,000 Buy 7/9/15 Toyota CP 10/14/15 40,000,000 Buy 7/15/15 Bank Tokyo-Mitsubishi CP 7/27/15 39,000,000 Buy 7/15/15 Bank Tokyo-Mitsubishi CP 7/23/15 35,000,000 Buy 7/15/15 General Dynamics Corp 7/15/16 10,000,000 Transfer 7/17/15 Bank Tokyo-Mitsubishi CP 8/3/15 30,000,000 Buy 7/17/15 General Electric CP 8/3/15 8,910,000 Buy 7/20/15 BNP Paribas CP 7/24/15 14,000,000 Buy 7/27/15 BNP Paribas CP 9/1/15 28,069,000 Buy 7/28/15 MUFG Union Bank CP 8/3/15 29,300,000 Buy 7/29/15 BNP Paribas CP 8/3/15 69,875,000 Buy 7/29/15 American Express Credit Corp 7/29/16 10,000,000 Transfer 7/30/15 BNP Paribas CP 9/2/15 57,392,000 Buy 7/31/15 Bank Tokyo-Mitsubishi CP 9/2/15 44,007,000 Buy *"Transfer" is from Reserve to Core July 31,