Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments. April 30, 2015
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- Neil Butler
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1 Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments April 30, 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: 4/30/15 April 30,
3 Economic Update-Employment Monthly Non-Farm Payrolls Unemployment Rates California LA Area U.S.A Thousands 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 Month Average Monthly Job Change: 248,500 Percent 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 *Los Angeles area unemployment is not seasonally adjusted. Data Source: Bloomberg April 30,
4 Economic Update-Consumer Activity 7 U.S. Retail Sales* YOY % Change $450 Total Monthly U.S. Retail Sales 6 $ $410 Percent 3 Billions $390 2 $ $350-1 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 $330 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 *Inflation Adjusted Data Source: Bloomberg April 30,
5 Economic Update-Inflation Percent CPI and CPIX* YOY % Change 4.5 CPI 4.0 CPIX Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 *CPIX: Consumer Price Index, excluding food and energy Sector YOY % Price Changes Education 3.8 Shelter 3.0 Wages 2.2 Services 2.1 Food 1.8 CPI -0.2 Apparel -1.1 Communication -3.0 Energy Percent Data Source: Bloomberg April 30,
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 Nov-06 May-07 Nov-07 May-08 Nov-08 May-09 Nov-09 May-10 Nov-10 May-11 Nov-11 May-12 Nov-12 May-13 Nov-13 May-14 Nov-14 $100 $80 $60 $40 $20 $0 Oil-Per Barrel Nov-06 May-07 Nov-07 May-08 Nov-08 May-09 Nov-09 May-10 Nov-10 May-11 Nov-11 May-12 Nov-12 May-13 Nov-13 May-14 Nov-14 Data Source: Bloomberg April 30,
7 Economic Update-Sector Returns YTD As of: 4/30/ Percent Data Source: Bloomberg April 30,
8 Economic Update-S&P 500 Returns As of: 4/30/15 YTD S&P 500 Major Sector Returns Percent Data Source: Bloomberg April 30,
9 Economic Update-Yield Curve FYTD /30/14 4/30/15 U.S. Treasury Yield Curve Maturity 6/30/14 4/30/15 Change 3M M Y Percent Y Y Y M6M 1Y 2Y 3Y 5Y 10Y 30Y 10Y Y Data Source: Bloomberg April 30,
10 Economic Update-Interest Rates U.S. Treasury Yields: 3M and 1Y U.S. Treasury Yields: 2Y and 5Y Y 3M Y 2Y Percent Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec-14 Feb-15 Apr-15 Percent Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec-14 Feb-15 Apr-15 Data Source: Bloomberg April 30,
11 Economic Update-Agency and Corporate Spreads Basis Point Spread Spread*: 1-5 Yr Agency vs Treasury 9 Basis Point Spread Spread*: 1-5 Yr Corporate vs Treasury 66 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 *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 April 30,
12 Summary Portfolio Characteristics Market Value Par Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $2,373,301, $6,844,948, $2,371,386, $6,757,804, Total General Portfolio $9,218,250,971 $9,129,190,313 Variance $1,915, $87,144, $89,060,658 Mkt Value % of Total 26% -- 74% % Average Maturity (Yrs)** Effective Duration** Weighted Purchase Yield## % % % *Core Benchmark: 3 Month T-Bill (G0O1 BofA/Merrill Index) #Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10 BofA Merrill Index) **Average Maturity and Duration after rebalancing for the indexes--portfolios based upon trade date holdings, Core Average Maturity includes checking ## Weighted Purchase Yield for Core does not include checking April 30,
13 Total General Portfolio: Maturity Distribution 30% 25% 20% 15% 4/30/15 3/31/15 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+ 4/30/ % 0.3% 1.7% 25.2% 20.0% 16.8% 12.3% 3/31/ % 0.6% 1.8% 25.9% 18.9% 18.0% 11.7% Variance 0.5% -0.2% -0.1% -0.6% 1.1% -1.2% 0.6% April 30,
14 Total General Portfolio: Sector Allocations Sector 4/30/2015 3/31/2015 Variance Bank Deposits 0.5% 1.7% -1.2% April 30, 2015 Bank 0.5% CDARS 0.1% CDARS 0.1% 0.1% 0.0% Commercial Paper Corporate Notes 18.0% 16.3% 15.2% 2.8% 16.8% -0.5% CP 18.0% MMFs Negotiable CDs 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Tsy 51.5% CORP 16.3% Federal Agencies 13.5% 14.1% -0.6% Treasuries 51.5% 52.1% -0.6% Agy 13.5% Total 100.0% 100.0% Figures may not total due to rounding April 30,
15 Sector Allocations - Core Portfolio Core Portfolio Sector 4/30/2015 3/31/2015 Variance Bank Deposits 2.1% 6.6% -4.5% April 30, 2015 Bank Dep 2.1% CDARS 0.3% CDARS 0.3% 0.3% 0.0% Commercial Paper 69.9% 59.5% 10.4% Corporate Notes 8.5% 8.2% 0.3% Agy 19.2% MMFs 0.0% 0.0% 0.0% Negotiable CDs 0.0% 0.0% 0.0% Federal Agencies 19.2% 25.4% -6.2% Corp 8.5% CP 69.9% Treasuries 0.0% Total 100.0% 0.0% 0.0% 100.0% Figures may not total due to rounding April 30,
16 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 2.5% Bubble size = Sector's % of Portfolio 2.0% Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 1.5% Corporate % 8.7% Commercial Paper % 71.7% Agency % 19.6% Treasury % 0.0% Total % 100.0% Purchase Yield 1.0% 0.5% 0.0% CP Agy *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 April 30,
17 Sector Allocations - Reserve Portfolio Reserve Portfolio Sector 4/30/2015 3/31/2015 Variance April 30, 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 19.1% 19.8% -0.7% Corp 19.1% MMFs 0.0% 0.0% 0.0% Negotiable CDs 0.0% 0.0% 0.0% Federal Agencies 11.6% 10.2% 1.3% Treasuries 69.4% 70.0% -0.6% Total 100.0% 100.0% Tsy 69.4% Agy 11.6% Figures may not total due to rounding April 30,
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 % 1.13% 1.80% 69.4% 11.6% 19.1% 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 April 30,
19 Core and Reserve Market Values Month End Market Values $3.0 Core* $7.5 Reserve $2.5 $7.0 $6.5 $2.0 $6.0 Billions $1.5 Billions $5.5 $5.0 $1.0 $4.5 $0.5 $4.0 $3.5 $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 $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 April 30,
20 Total General Portfolio: Market Value Total General Portfolio Market Value $9.5 $9.0 $8.5 $8.0 $7.5 Billions $7.0 $6.5 $6.0 $5.5 $5.0 $4.5 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 April 30,
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 April 30,
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. April 30,
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 April 30,
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 April 30,
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 2.66 April 30,
26 Portfolio Statistics-Yield and Duration Purchase Yield: Core vs Benchmark* Purchase Yield: Reserve vs Benchmark* 6% 5% Core Benchmark 6% 5% Reserve Benchmark Percent 4% 3% Percent 4% 3% 2% 2% 1% 1% 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 *Benchmark: 3 Month T-Bill (3 Month Moving Average) *Benchmark: 1-5 Year Govt/Corp A-AAA (24 Month Moving Average), changed 8/1/13 Duration Core Duration Core Benchmark Duration Reserve Duration Reserve Benchmark 0.05 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Duration at month-end, after index rebalancing for the next month. Core duration does not include checking accounts. April 30,
27 Portfolio Statistics-Historical Purchase Yields 6.0% 5.5% 5.0% Reserve Total Portfolio Core 4.5% 4.0% 3.5% Percent 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 April 30,
28 Purchase Yield Per 3-Month Maturity Intervals Core Portfolio 3.0% Months Purchase Yield % of Portfolio* 2.5% Bubble Size = Maturity's % of Portfolio 2.45% 0 to % 92.00% 3 to % 1.30% 2.0% 1.77% 6 to % 3.64% 9 to % 3.06% Total 0.35% % Purchase Yield 1.5% 1.0% 1.31% 0.5% 0.21% 0.0% *Based on Par Value -0.5% 0 to 3 Months 3-6 Months 6-9 Months 9-12 Months April 30,
29 Purchase Yield Per 6-Month Maturity Intervals Reserve Portfolio Years Purchase Yield % of Portfolio* 2.5% Bubble Size = Maturity's % of Portfolio.5 to % 0.00% 1.0 to % 15.72% 2.0% 1.83% 1.5 to % 16.92% 1.5% 1.48% 1.52% 1.58% 2.0 to % 15.35% 2.5 to % 11.41% 3.0 to % 12.05% Purchase Yield 1.0% 1.05% 0.83% 0.85% 1.04% 3.5 to % 11.40% 0.5% 4.0 to % 9.69% 4.5 to % 7.47% 0.0% Total 1.20% % *Based on Par Value -0.5%.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 April 30,
30 Purchase Yield Per 6-Month Maturity Intervals Total General Portfolio Years Purchase Yield % of Portfolio* 2.5% 0 to % 23.65% 2.08% Bubble Size = Maturity's % of Portfolio 0.5 to % 1.70% 2.0% 1.0 to % 11.73% 1.83% 1.5 to % 12.63% 1.5% 1.48% 1.52% 1.58% 2.0 to % 11.46% 2.5 to % 8.52% 3.0 to % 8.99% Purchase Yield 1.0% 1.05% 0.83% 0.85% 1.04% 3.5 to % 8.51% 0.5% 4.0 to % 7.23% 0.23% 4.5 to % 5.58% 0.0% Total 0.99% % *Based on Par Value -0.5% Years April 30,
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 April 30,
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 Sector May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 Tsy 54.2% 53.5% 53.4% 55.6% 55.7% 56.2% 55.5% 51.1% 51.8% 51.7% 52.1% 51.5% Agy 16.9% 16.4% 17.4% 12.9% 13.3% 10.9% 10.5% 13.1% 13.2% 14.2% 14.1% 13.5% Corp 18.1% 18.4% 18.7% 20.0% 19.0% 19.5% 19.8% 18.3% 18.5% 16.9% 16.8% 16.3% CP 10.1% 10.8% 10.1% 10.7% 8.3% 10.0% 12.7% 12.5% 16.0% 15.3% 15.2% 18.0% 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% 0.9% 0.3% 0.7% 3.6% 3.3% 1.3% 4.8% 0.4% 1.7% 1.7% 0.5% 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 April 30,
33 Portfolio Statistics-Monthly Total Return 0.05% Core vs Benchmark 0.05% Reserve vs Benchmark 0.04% 0.04% Percent Variance 0.03% 0.02% 0.01% Percent Variance 0.03% 0.02% 0.01% 0.00% Core Benchmark 0.00% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.02% 0.00% 0.02% Monthly Performance 0.03% 0.04% -0.01% *Core Benchmark: 3 Month T-Bill (G0O1 BofA/Merrill Index) *Reserve Benchmark: 1-5 Year Govt/U.S. Corp A-AAA (BU10 BofA/Merrill Index) Attribution of Sub-Sector Returns Attribution of Sub-Sector Returns Sector Core Benchmark Variance Sector Reserve Benchmark Variance Treasury 0.00% 0.00% 0.00% Treasury 0.02% 0.03% -0.01% Agency 0.01% 0.00% 0.01% Agency 0.02% 0.04% -0.02% Corporate 0.02% 0.00% 0.02% Corporate 0.05% 0.09% -0.04% Benchmark Sector Returns are calculated by FTN Financial Main Street using the subsector returns of the BU10 index. April 30,
34 Portfolio Statistics-Historical Total Return 1.4% 1.2% Performance Variance: Core vs 3 Mon T-bill Percent Variance 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15 FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15 Avg Core Portfolio 4.32% 2.22% 0.22% 0.22% 0.21% 0.23% 0.16% 0.13% 0.96% Benchmark* 3.36% 0.95% 0.16% 0.19% 0.04% 0.13% 0.07% 0.00% 0.61% Variance 0.96% 1.27% 0.06% 0.06% 0.03% 0.17% 0.09% 0.13% 0.35% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding April 30,
35 Portfolio Statistics-Historical Total Return 1.2% 1.0% Performance Variance: Reserve vs 1-5Yr Govt/Corp Percent Variance 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% -0.4% FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15 FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15 Avg Core Portfolio 7.93% 5.87% 5.31% 2.56% 2.38% 0.15% 1.55% 1.42% 3.40% Benchmark* 7.37% 4.89% 5.04% 2.67% 2.36% 0.39% 1.53% 1.42% 3.21% Variance 0.56% 0.98% 0.27% -0.11% 0.02% -0.24% 0.02% 0.00% 0.19% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Figures may not total due to rounding April 30,
36 Portfolio Statistics-Monthly & FYTD Total Return Core vs 3 Month T-Bill Index Monthly Performance Comparison FYTD Performance Variance 0.04% Core 0.14% Benchmark 0.12% 0.03% 0.10% 0.02% 0.08% 0.06% 0.01% 0.04% 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 Monthly Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.01% 0.01% 0.01% 0.01% 0.02% 0.00% 0.02% 0.01% 0.02% 0.02% Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Variance 0.01% 0.01% 0.01% 0.01% 0.02% 0.00% 0.02% 0.01% 0.02% 0.02% Fiscal YTD Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.01% 0.02% 0.03% 0.04% 0.06% 0.06% 0.08% 0.09% 0.11% 0.13% Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Variance 0.01% 0.02% 0.03% 0.04% 0.06% 0.06% 0.08% 0.09% 0.11% 0.13% April 30,
37 Portfolio Statistics-Monthly & FYTD Total Return Reserve vs 1-5 Year Government/Corporate Index Monthly Performance Comparison FYTD Performance Variance 1.20% 1.00% 0.80% Reserve Benchmark 0.06% 0.04% 0.60% 0.02% 0.40% 0.20% 0.00% 0.00% -0.02% -0.20% -0.40% -0.04% -0.60% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.06% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.22% 0.35% -0.18% 0.46% 0.32% -0.30% 0.99% -0.42% 0.39% 0.03% Benchmark -0.22% 0.35% -0.19% 0.48% 0.33% -0.32% 1.01% -0.46% 0.40% 0.04% Variance 0.00% 0.00% 0.01% -0.02% -0.01% 0.02% -0.02% 0.04% -0.01% -0.01% Fiscal YTD Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.22% 0.13% -0.05% 0.41% 0.73% 0.43% 1.42% 1.00% 1.39% 1.42% Benchmark -0.22% 0.13% -0.06% 0.42% 0.75% 0.43% 1.44% 0.98% 1.38% 1.42% Variance 0.00% 0.00% 0.01% -0.01% -0.02% 0.00% -0.02% 0.02% 0.01% 0.00% *The benchmark index for the Reserve Portfolio was changed August 1, 2013 April 30,
38 Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 1.20% 1.00% 0.80% 0.60% 0.40% 0.20% 0.00% -0.20% Reserve Tsy Benchmark Tsy 0.08% 0.06% 0.04% 0.02% 0.00% -0.02% -0.04% -0.40% -0.06% -0.60% 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 -0.23% 0.34% -0.16% 0.49% 0.30% -0.32% 0.97% -0.47% 0.42% 0.02% Benchmark -0.23% 0.35% -0.18% 0.50% 0.32% -0.33% 1.02% -0.51% 0.42% 0.03% Mon. Var. 0.00% -0.01% 0.02% -0.01% -0.02% 0.01% -0.05% 0.04% 0.00% -0.01% Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% -0.01% 0.01% 0.00% -0.02% -0.01% -0.06% -0.02% -0.02% -0.03% *The benchmark index for the Reserve Portfolio was changed August 1, 2013 April 30,
39 Portfolio Attribution: Reserve Agency vs. Benchmark Agency Agency Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 1.00% Reserve Agy 0.10% 0.80% Benchmark Agy 0.08% 0.60% 0.40% 0.20% 0.06% 0.04% 0.02% 0.00% 0.00% -0.20% -0.40% -0.02% -0.04% -0.06% -0.08% -0.60% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.10% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Variance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.23% 0.30% -0.09% 0.44% 0.30% -0.23% 0.82% -0.35% 0.37% 0.02% Benchmark -0.15% 0.24% -0.10% 0.36% 0.30% -0.23% 0.81% -0.32% 0.34% 0.04% Mon. Var % 0.06% 0.01% 0.08% 0.00% 0.00% 0.01% -0.03% 0.03% -0.02% Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var % -0.02% -0.01% 0.07% 0.07% 0.07% 0.08% 0.05% 0.08% 0.06% *The benchmark index for the Reserve Portfolio was changed August 1, 2013 April 30,
40 Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate Corporate Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 1.40% 1.20% 1.00% Reserve Corp Benchmark Corp 0.06% 0.04% 0.80% 0.02% 0.60% 0.40% 0.00% 0.20% -0.02% 0.00% -0.20% -0.04% -0.40% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.06% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Variance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.20% 0.39% -0.30% 0.39% 0.38% -0.27% 1.15% -0.27% 0.33% 0.05% Benchmark -0.20% 0.41% -0.32% 0.43% 0.39% -0.30% 1.10% -0.23% 0.33% 0.09% Mon. Var. 0.00% -0.02% 0.02% -0.04% -0.01% 0.03% 0.05% -0.04% 0.00% -0.04% Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% -0.02% 0.00% -0.04% -0.05% -0.02% 0.03% -0.01% -0.01% -0.05% *The benchmark index for the Reserve Portfolio was changed August 1, 2013 April 30,
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 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 Interest Price Total *The benchmark index for the Reserve Portfolio was changed August 1, 2013 April 30,
42 Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns Index Sector Total Returns Tsy Agy Corp Govt/Corp Index Basis Points May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 Sector Total Returns (Basis Points) May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 AVG Index Treasury Agency Corporate *The benchmark index for the Reserve Portfolio was changed August 1, 2013 April 30,
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 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Index Reserve Mar-15 Apr-15 Percent 22% 21% 20% 19% 18% 17% 16% 15% 14% 13% 12% 11% Corporate Allocations: Reserve vs Index Index Reserve Percent 15% 14% 13% 12% 11% 10% 9% 8% 7% Agency Allocations: Reserve vs Index Index Reserve May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 Feb-15 Mar-15 Apr-15 April 30,
44 Effective Duration Allocations: Reserve vs. Benchmark 20% 18% 16% 14% 16.4% 17.7% 16.3% 16.8% 13.1% 15.8% 14.2% 13.9% Index Reserve 12% 10% 10.9% 10.0% 11.4% 10.0% 11.6% 9.9% 8% 6% 4% 2% 0% 0.0% 0.0% 2.4% 0.8% 4.6% 4.2% Duration Buckets* *Calculated using market values April 30,
45 Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 16% 14% 13.5% 13.7% 13.0% 13.4% Index Treasury Reserve Treasury 12% 10% 10.1% 10.0% 10.4% 10.1% 8.2% 9.1% 9.8% 8% 6.7% 6.8% 6% 5.8% 4% 4.0% 2.8% 2% 1.8% 0% 0.0% 0.0% 0.0% Duration Buckets* *Calculated using market values April 30,
46 Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 5% 4% 3.5% Index Agency Reserve Agency 3% 2.2% 2% 1.6% 1.7% 1.9% 1% 0% 0.0% 0.0% 0.5% 0.2% 1.2% 0.6% 0.9% 1.1% 0.5% 0.5% 1.0% 0.5% 0.5% 0.1% 0.6% Duration Buckets* *Calculated using market values April 30,
47 Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% Index Corporate Reserve Corporate 4% 3.9% 2.9% 1.4% 3.2% 3% 2.6% 2% 1.8% 1.5% 1.9% 1.9% 1.3% 2.0% 1.9% 2.3% 1.3% 1% 0.7% 0.5% 0.8% 0% 0.0% 0.0% 0.0% Duration Buckets* *Calculated using market values April 30,
48 Total General Portfolio: Credit Quality S&P Moody's S&P Moody's Issuer Market Value % of Port LT Rating LT Rating Issuer Market Value % of Port LT Rating LT Rating U.S. Treasury $4,748,698, % AA+ Aaa Apple $19,839, % AA+ Aa1 FNMA $499,607, % AA+ Aaa Pepsico $17,164, % A- A1 General Electric $408,641, % AA+ A1 Chevron $17,132, % AA Aa1 US Bank $397,731, % AA- Aa3 Home Depot $15,317, % A A2 Exxon Mobil $371,262, % AAA Aaa Branch Banking and Trust $15,155, % A A1 FHLB $356,397, % AA+ Aaa Charles Schwab $15,151, % A A2 Bank Tokyo-Mitsubishi $321,835, % A+ A1 PACCAR $15,149, % A+ A1 Toyota $237,814, % AA- Aa3 Intel $15,077, % A+ A1 FHLMC $214,188, % AA+ Aaa Texas Instrument $15,030, % A+ A1 JPMorgan Chase & Co $110,289, % A A3 Sherwin-Williams $15,006, % A- A3 Wells Fargo & Co $105,378, % A+ A2 Ebay $12,966, % A A2 BNP Paribas $76,648, % A+ A1 Public Service Electric $12,129, % A Aa3 ING $74,978, % A A1 United Health Group $11,125, % A+ A3 American Honda Finance $66,165, % A+ A1 General Dynamics $10,197, % A A2 John Deere $56,699, % A A2 Intercontinental Exg $10,186, % A A2 Wells Fargo Bank* $49,284, % NR NR Daimler Finance $10,145, % A- A3 Berkshire Hathaway $45,826, % AA Aa2 Cisco Systems $10,121, % AA- A1 TVA $45,473, % AA+ Aaa Walt Disney $10,066, % A A2 FFCB $42,144, % AA+ Aaa Wisconsin Electric Power $10,061, % A- A1 Johnson & Johnson $40,493, % AAA Aaa Colgate-Palmolive $10,050, % AA- Aa3 Caterpillar $35,413, % A A2 Univ Of California $10,040, % AA Aa2 3M Company $35,097, % AA- Aa3 Wal-Mart $10,038, % AA Aa2 Intl Bk Recon & Dev $34,971, % AAA Aaa Philip Morris $8,878, % A A2 American Express Credit $32,296, % A- A2 Altera $8,106, % A- Baa1 Goldman Sachs $30,405, % A- Baa1 Becton Dickinson $8,081, % BBB+ Baa2 Coca Cola $27,337, % AA Aa3 Target $7,143, % A A2 M&T Trust $26,197, % A A2 Monsanto $7,062, % BBB+ A3 Microsoft $25,275, % AAA Aaa State Street Corp $5,986, % A+ A1 Oracle $25,261, % AA- A1 Google $5,089, % AA Aa2 Bank Of New York Mellon $25,257, % A+ A1 Procter & Gamble $5,055, % AA- Aa3 IBM $25,238, % AA- Aa3 Eli Lilly $5,055, % AA- A2 Farmer Mac $25,180, % NR NR Baxter International $5,033, % A- A3 AT&T $25,129, % BBB+ Baa1 Merck $5,009, % AA A2 Pfizer $25,097, % AA A1 Southern Cal Edison $5,005, % A Aa3 Costco Wholesale $22,992, % A+ A1 Proamerica Bank $5,000, % NR NR PNC Bank $22,332, % A A2 United Tech $3,056, % A A2 BB&T Corp $22,114, % A- A2 Mastercard $3,050, % A A2 State Of California $20,468, % A+ Aa3 Air Products & Chemicals $3,049, % A A2 US Bancorp $20,323, % A+ A1 National Oilwell Varco $2,979, % A A2 Ralph Lauren $20,286, % A A3 California United Bank $1,000, % NR NR Medtronic $20,266, % A A3 Manufacturers Bank $1,000, % NR NR Stryker $19,949, % A+ A3 Total $9,218,250, % *Checking Account April 30,
49 Total General Portfolio Transactions Total Monthly Transactions May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 Buys* Sells** *Buys: Core-Includes transfers from Reserve **Sales: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 Buys Sales Total Reserve Transactions May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 Buys Sales Total Total Transactions May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 Buys Sales Total April 30,
50 Portfolio Transactions-Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 4/1/15 Caterpillar Corp 4/1/16 15,000,000 Transfer 4/10/15 FHLMC Note Agy 4/28/17 12,000,000 Buy 4/10/15 FFCB Note Agy 4/17/18 25,000,000 Buy 4/22/15 Intl Bk Recon & Dev Note Supra 6/15/18 35,000,000 Buy 4/23/15 FNMA Note Agy 6/22/20 40,000,000 Buy 4/27/15 Pepsico Corp 4/30/20 7,000,000 Buy 4/30/15 U.S. Treasury Note Tsy 8/31/19 50,000,000 Buy 4/30/15 U.S. Treasury Note Tsy 5/31/17 70,000,000 Buy 4/30/15 U.S. Treasury Note Tsy 6/30/17 50,000,000 Buy 4/30/15 U.S. Treasury Note Tsy 4/30/20 50,000,000 Buy 4/30/15 U.S. Treasury Note Tsy 4/30/16 120,000,000 Sell *"Transfer" is from Reserve to Core April 30,
51 Portfolio Transactions-Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 4/1/15 Exxon Mobil CP 5/28/15 26,000,000 Buy 4/1/15 Caterpillar Corp 4/1/16 15,000,000 Transfer 4/2/15 General Electric CP 6/10/15 24,750,000 Buy 4/2/15 Toyota CP 6/25/15 50,000,000 Buy 4/2/15 BNP Paribas CP 4/7/15 20,000,000 Buy 4/6/15 General Electric CP 6/10/15 12,428,000 Buy 4/6/15 General Electric CP 6/10/15 50,000,000 Buy 4/6/15 General Electric CP 6/10/15 50,000,000 Buy 4/7/15 BNP Paribas CP 4/10/15 30,000,000 Buy 4/8/15 BNP Paribas CP 4/13/15 40,028,000 Buy 4/8/15 Bank of Tokyo-Mitsubishi CP 5/1/15 39,000,000 Buy 4/8/15 General Electric CP 5/26/15 30,003,000 Buy 4/9/15 BNP Paribas CP 4/14/15 21,000,000 Buy 4/10/15 BNP Paribas Cp 4/15/15 37,750,000 Buy 4/10/15 FHLB DN Agy 6/25/15 10,000,000 Buy 4/14/15 MUFG Union Bank CP 4/17/15 35,000,000 Buy 4/15/15 BNP Paribas CP 5/18/15 56,652,000 Buy 4/16/15 BNP Paribas CP 4/21/15 25,332,000 Buy 4/17/15 BNP Paribas CP 4/22/15 29,775,000 Buy 4/17/15 Bank of Tokyo-Mitsubishi CP 5/27/15 40,000,000 Buy 4/20/15 US Bank CP 6/23/15 50,000,000 Buy 4/20/15 US Bank CP 6/11/15 50,000,000 Buy 4/20/15 Bank of Tokyo-Mitsubishi CP 6/2/15 35,319,000 Buy 4/20/15 Exxon Mobil CP 6/25/15 200,000,000 Buy 4/20/15 Exxon Mobil CP 6/25/15 100,000,000 Buy 4/21/15 Bank of Tokyo-Mitsubishi CP 5/28/15 19,444,000 Buy 4/22/15 BNP Paribas CP 4/28/15 25,000,000 Buy 4/22/15 FHLB DN Agy 6/24/15 25,000,000 Buy 4/23/15 Bank of Tokyo-Mitsubishi CP 5/19/15 25,750,000 Buy 4/23/15 BNP Paribas CP 4/28/15 10,000,000 Buy 4/28/15 BNP Paribas CP 5/1/15 20,000,000 Buy *"Transfer" is from Reserve to Core April 30,
52 Portfolio Transactions-Core Portfolio (continued) Trade Date Issuer Type Maturity Date Par Amount Action* 4/28/15 Bank of Tokyo-Mitsubishi CP 6/9/15 39,350,000 Buy 4/29/15 FHLB DN Agy 6/25/15 57,136,000 Buy 4/30/15 US Bank CP 6/25/15 50,007,000 Buy *"Transfer" is from Reserve to Core April 30,
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