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

Transcription

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

2 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 Percent Economic Update: Overall Economy 6 U.S. GDP (Quarter over Quarter Annualized)* * Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 8/31/2018

3 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Thousands Percent Economic Update: Employment Monthly Non-Farm Payrolls Unemployment Rates California LA Area U.S.A *Los Angeles area unemployment is not seasonally adjusted. 12 Month Average Monthly Job Change: 194,167 Data Source: Bloomberg

4 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Percent Billions Economic Update: Consumer Activity 4.50 U.S. Retail Sales* YOY % Change $520 Total Monthly U.S. Retail Sales 4.00 $ $500 $490 $480 $470 $460 $450 $ $ $420 *Inflation Adjusted Data Source: Bloomberg

5 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 Nov-16 Feb-17 May-17 Aug-17 Nov-17 Feb-18 May-18 Aug-18 Percent Economic Update: Inflation 3.5 CPI and CPIX* YOY % Change Sector YOY % Price Changes Energy Shelter Wages Services CPI Education CPI Food CPIX Communication *CPIX: Consumer Price Index, excluding food and energy Apparel Percent Data Source: Bloomberg

6 Mar-10 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Mar-10 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Sep-14 Mar-15 Sep-15 Mar-16 Sep-16 Mar-17 Sep-17 Mar-18 Index Value Gold-Per Ounce Oil-Per Barrel Economic Update: Dollar and Commodities Dollar Index $2,000 $1,800 $1,600 $1,400 $1,200 $1,000 $800 $600 Gold and Oil Gold Oil $120 $110 $100 $90 $80 $70 $60 $50 $40 $30 $20 Data Source: Bloomberg

7 Percent Economic Update: Sector Returns YTD As of: 8/31/ Data Source: Bloomberg

8 Percent Economic Update: S&P 500 Returns As of: 8/31/18 25 YTD S&P 500 Major Sector Returns Data Source: Bloomberg

9 Percent Economic Update: Yield Curve FYTD U.S. Treasury Yield Curve Maturity 6/29/18 8/31/18 Change 3M /29/18 8/31/18 3M6M 1Y 2Y 3Y 5Y 10Y 30Y 6M Y Y Y Y Y Y Data Source: Bloomberg Figures may not total due to rounding

10 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 Mar-18 May-18 Jul-18 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 Mar-18 May-18 Jul-18 Percent Percent Economic Update: Interest Rates U.S. Treasury Yields: 3M and 1Y Y 3M U.S. Treasury Yields: 2Y and 5Y Y Y 0.00 Data Source: Bloomberg

11 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17 Sep-17 Jan-18 May-18 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 Sep-16 Jan-17 May-17 Sep-17 Jan-18 May-18 Basis Point Spread Basis Point Spread Economic Update: Agency and Corporate Spreads 30 Spread*: 1-5 Yr Agency vs Treasury 225 Spread*: 1-5 Yr Corporate vs Treasury *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

12 Summary Portfolio Characteristics Market Value Book Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $2,452,701, $6,707,130, $2,460,652, $6,843,454, Total General Portfolio $9,159,832,466 $9,304,106,939 Variance ($7,951,134) -- ($136,323,339) -- ($144,274,474) Mkt Value % of Total 26.8% % % 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

13 Total General Portfolio: Maturity Distribution 30% 25% 20% 15% 8/31/18 7/31/18 10% 5% 0% to.5.5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ Years to.5.5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ 8/31/ % 4.1% 9.8% 24.1% 20.4% 15.3% 13.4% 7/31/ % 3.0% 10.1% 24.8% 19.8% 16.4% 12.4% Variance -0.8% 1.1% -0.2% -0.7% 0.7% -1.1% 1.1%

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

15 Sector Allocations: Total General Portfolio Sector 8/31/2018 7/31/2018 Variance Bank Deposits 1.0% 1.3% -0.3% August 31, 2018 Bank Dep 1.0% CDARS Commercial Paper 0.0% 8.6% 0.0% 0.0% 6.4% 2.2% CP 8.6% Corporate Notes ABS MMFs Negotiable CDs 15.9% 1.2% 0.1% 0.0% 16.1% -0.1% 1.2% 0.0% 1.4% -1.4% 0.0% 0.0% Tsy 64.3% CORP 15.9% Agy 8.9% MMF 0.1% ABS 1.2% Agencies* 8.9% 11.2% -2.4% Treasuries 64.3% 62.2% 2.1% Total 100.0% 100.0% *Includes Supranational and Municipal Securities Figures may not total due to rounding

16 Sector Allocations: Core Portfolio Core Portfolio Sector 8/31/2018 7/31/2018 Variance August 31, 2018 Bank Deposits 3.8% 5.0% -1.2% CDARS 0.0% 0.0% 0.0% Commercial Paper 32.1% 24.2% 8.0% Corporate Notes 10.3% 8.9% 1.4% MMFs 0.2% 5.4% -5.2% Tsy 44.0% Bank Dep 3.8% Negotiable CDs 0.0% Agencies* 9.5% Treasuries 44.0% 0.0% 0.0% 17.7% -8.2% 38.8% 5.2% Agy 9.5% Corp 10.3% CP 32.1% Total 100.0% 100.0% MMF 0.2% *Includes Supranational and Municipal Securities Figures may not total due to rounding

17 Purchase Yield Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 2.2% Bubble size = Sector's % of Portfolio Sector WAM (Yrs.) Purchase Yield % of Portfolio* 2.0% CP Agy Corp Negotiable CDs % 1.8% Corporate Notes % 10.7% Commercial Paper % 33.4% 1.6% Money Market % 0.2% Agencies** % 9.9% 1.4% MMF Tsy Treasuries % 45.8% 1.2% Total % 100.0% *Based on Market Value **Includes Supranational Securities 1.0% WAM Years Figures may not total due to rounding Does not include Checking and BNYM Sweep, CDARS included with CP

18 Sector Allocations: Reserve Portfolio Reserve Portfolio August 31, 2018 Sector 8/31/2018 7/31/2018 Variance Treasuries 71.7% 70.7% 1.0% Agencies* 8.6% 8.9% -0.3% Corp 18.0% ABS 1.7% Corporate Notes 18.0% 18.7% -0.7% ABS 1.7% 1.7% 0.0% Total 100.0% 100.0% Tsy 71.7% Agy 8.6% *Includes Supranational and Municipal Securities Figures may not total due to rounding

19 Purchase Yield Sector Allocations: Purchase Yield vs. Weighted Average Maturity Reserve Portfolio 2.55% Bubble size = Sector's % of Portfolio Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 2.35% Treasuries % 71.7% Agencies** Corporate Notes % 8.6% % 18.0% 2.15% ABS ABS 3.16 Total % 100.0% *Based on Market Value **Includes Supranational and Municipal Securities 2.01% 1.7% 1.95% 1.75% Agy Tsy 1.55% WAM Years Figures may not total due to rounding

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

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

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

23 Portfolio Compliance with Code, Policy, and Guidelines Maturity Limitations* Sector Government Securities Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Repurchase Agreements Reverse Repo/Securities Lending Corporate Notes Mortgage Backed Securities/CMOs Asset Backed Securities Banker's Acceptances Limit 5 Years 270 Days 180 Days 1 Year 32 Days 92 Days 5 Years 5 Years 5 Years 180 Days Compliance Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Supranational Obligations 5 Years Complies *The City's Investment Policy and Investment guidelines allow for purchases of securities with longer maturities than those listed above for funds with longer investment/cash flow horizons.

24 Portfolio Compliance with Code, Policy, and Guidelines Percentage Allocation Limitations Sector Government Securities Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Repurchase Agreements Reverse Repo/Securities Lending Corporate Notes Mortgage Backed Securities/CMOs Asset Backed Securities Banker's Acceptances State/Local Agency Securities Mutual Funds/Money Market Funds LAIF State Pool Limit 100% 40% 180 Days 1 Year 15% 5% Reverse Repo/20% Revs. Repo +Sec Lending 30% 20% Combined with ABS 20% Combined with MBS 30% 10% 20% $65 Million Per Account Compliance Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Complies Supranational Obligations 30% Complies

25 Portfolio Compliance with Code, Policy, and Guidelines Issuer and Transaction Limitations -- Approved Issuers Item Limit Compliance Government Issuer 100% Complies Non-Governmental Issuer 5% Complies Single Transaction $200 Million w/o Treasurer's Written Approval Complies Dealers From Approved List Complies Commercial Paper From Approved List Complies Corporate Notes From Approved List Complies Supranational Obligations From Approved List Complies

26 Portfolio Compliance with Code, Policy, and Guidelines Portfolio Maturity Limitations and Duration Ranges Core Portfolio Item Limit Compliance Maturity Limitation One Year Complies Reserve Portfolio Item Limit Compliance Effective Duration 1-5 Govt/Corp Index +/-.10 Complies: 2.66 vs 2.64

27 Duration Duration Percent Percent Portfolio Statistics: Yield and Duration Purchase Yield: Core vs Benchmark* Purchase Yield: Reserve vs Benchmark* 6% 5% Core Benchmark 5% 4% Reserve Benchmark 4% 3% 2% 3% 2% 1% 1% 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18 *Benchmark: 3 Month T-Bill (3 Month Moving Average) 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18 *Benchmark: 1-5 Year Govt/Corp A-AAA (24 Month Moving Average), changed 8/1/ Core Duration Core Benchmark Reserve Duration Reserve Benchmark Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Jul-18 Duration at month-end, after index rebalancing for the next month. Core duration does not include checking accounts.

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

29 Purchase Yield Purchase Yield Per 3-Month Maturity Intervals Core Portfolio 2.2% Months Purchase Yield % of Portfolio* 0 to % 42.96% 3 to % 13.75% 6 to % 19.41% 9 to % 23.87% Total 1.66% % 2.1% 2.0% 1.9% 1.8% 1.7% 1.6% 1.5% 1.98% Bubble Size = Maturity's % of Portfolio 1.54% 1.4% 1.3% 1.34% 1.36% *Based on Par Value 1.2% Years

30 Purchase Yield Purchase Yield Per 6-Month Maturity Intervals Reserve Portfolio 3.1% Years Purchase Yield % of Portfolio*.5 to % 2.9% Bubble Size = Maturity's % of Portfolio 2.83% 1.0 to % 15.11% 2.7% 1.5 to % 15.88% 2.5% 2.0 to % 16.55% 2.3% 2.36% 2.5 to % 11.07% 3.0 to % 13.71% 3.5 to % 8.78% 4.0 to % 8.54% 4.5 to % 10.36% 2.1% 1.9% 1.7% 1.5% 1.58% 1.74% 1.60% 1.91% 1.86% 1.99% Total 1.92% % *Based on Par Value 1.3% Years

31 Purchase Yield Purchase Yield Per 6-Month Maturity Intervals Total General Portfolio Years Purchase Yield % of Portfolio* 3.2% 0 to % 16.08% 3.0% Bubble Size = Maturity's % of Portfolio 0.5 to % 8.47% 1.0 to % 12.66% 2.8% 2.83% 1.5 to % 11.75% 2.6% 2.0 to % 12.24% 2.4% 2.36% 2.5 to % 8.19% 2.2% 3.0 to % 10.14% 3.5 to % 6.49% 4.0 to % 6.32% 4.5 to % 7.66% Total 1.85% % *Based on Par Value 2.0% 1.99% 1.91% 1.86% 1.8% 1.76% 1.74% 1.6% 1.52% 1.56% 1.60% 1.4% 1.2% Years

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

33 Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Mar-18 Jul-18 Total General Portfolio Statistics: Sector Allocation History 70% 60% 50% 40% 30% 20% 10% Tsy Agy Corp CP Bank/Sweep ABS MBS 0% Sector Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Tsy 56.9% 56.8% 57.6% 54.9% 55.5% 55.1% 56.3% 54.3% 53.0% 63.2% 62.2% 64.3% Agy* 9.4% 9.5% 10.7% 9.4% 7.8% 7.1% 7.2% 9.3% 10.7% 10.1% 11.2% 8.9% Corp 16.4% 16.9% 16.9% 15.1% 15.3% 14.7% 14.8% 14.4% 13.7% 15.9% 16.1% 15.9% CP 14.9% 13.2% 12.6% 18.8% 19.4% 19.6% 19.3% 19.8% 20.8% 7.1% 6.4% 8.6% Neg. CDs 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% ABS 1.0% 1.0% 1.0% 0.9% 0.9% 1.0% 1.2% 1.2% 1.1% 1.3% 1.2% 1.2% Bank 1.4% 2.6% 1.3% 1.0% 1.1% 2.6% 1.1% 1.0% 0.8% 2.5% 2.8% 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 *Includes Supranational and Municipal securities

34 Percent Variance Percent Variance Book Return: Core Portfolio 2.20% 2.10% 2.00% 1.90% 1.80% 1.70% 1.60% 1.50% Monthly 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 1.5% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.64% 1.69% 2.06% 2.08% -0.42% -0.39% Fiscal Year Performance Variance: Core vs Benchmark 1.0% 0.5% 0.0% -0.5% Fiscal YTD Core Portfolio Custom Benchmark* Variance FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY % 1.27% 0.56% 0.41% 0.64% 0.78% 1.55% 1.66% 0.28% 0.19% 0.13% 0.15% 0.33% 0.73% 1.51% 2.07% 0.73% 1.08% 0.43% 0.26% 0.31% 0.05% 0.04% -0.41% *Core Benchmark: 70% monthly average of 60 Day A1/P1 Bloomberg CP Index (DCBP060Y) and 30% monthly moving average of 30 Day Agy (AGDN030Y). For Fiscal Year Performance the average builds from beginning of fiscal year. Figures may not total due to rounding

35 Percent Variance Percent Variance Book Return: Reserve Portfolio 2.00% 1.95% 1.90% 1.85% 1.80% 1.75% 1.70% Monthly Performance Variance: Reserve vs Benchmark 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 1.84% 1.93% 1.81% 1.88% 0.03% 0.05% Fiscal Year Performance Variance: Reserve vs Benchmark 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% 1.63% 1.88% 0.96% 0.66% 0.59% 0.76% 0.94% 1.08% 1.42% 1.85% 0.95% 0.89% 0.93% 0.65% 0.49% 0.34% 0.21% 0.03% *Reserve Benchmark: 24 month moving average of the ICE BofAML 1-5 year U.S. Government and U.S. Corporate A-AAA Index (BU10). For Fiscal Year Performance the average builds from beginning of fiscal year. Figures may not total due to rounding

36 Percent Variance Percent Variance Book Return: Combined Portfolios 2.00% 1.95% 1.90% 1.85% 1.80% 1.75% 1.70% Monthly Performance Variance: Combined vs Benchmark Combined Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Return Combined Portfolio Custom Benchmark* Variance July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.79% 1.87% 1.86% 1.92% -0.07% -0.05% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% Fiscal YTD Combined Portfolio Custom Benchmark* Variance Fiscal Year Performance Variance: Combined vs Benchmark FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY % 1.51% 1.36% 1.19% 1.40% 1.29% 1.87% 0.83% 0.57% 0.50% 0.64% 0.82% 1.00% 1.89% 0.93% 0.94% 0.86% 0.55% 0.58% 0.29% -0.02% *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

37 Percent Variance Percent Variance Portfolio Statistics: Monthly Total Return 0.20% Core vs Benchmark 0.50% Reserve vs Benchmark 0.18% 0.45% 0.16% 0.40% 0.14% 0.35% 0.12% 0.30% 0.10% 0.25% 0.08% 0.20% 0.06% 0.04% 0.02% 0.00% Core Benchmark 0.15% 0.10% 0.05% 0.00% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.18% 0.18% 0.00% Monthly Performance 0.44% 0.44% 0.00% *Core Benchmark: 3 Month T-Bill (G0O1 ICE BofAML Index) *Reserve Benchmark: 1-5 Year Govt/U.S. Corp A-AAA (BU10 ICE BofAML Index) Sector Core Attribution of Sub-Sector Returns Core Return Core Weight Benchmark Return Benchmark Weight Variance Variance Treasury 0.20% % % Treasury 0.44% % % Agency* 0.17% % % Agency* 0.41% % % Credit** 0.17% % % Credit** 0.48% % % *Agency includes U.S. Agencies, Supranationals, and Municipal Securities **Credit includes Corporate Bonds, Asset-Backed Securites, CP, and CDs Weighted Sector Reserve Attribution of Sub-Sector Weighted Returns Reserve Return Reserve Weight Bechmark Return Benchmark Weight Benchmark Sector Returns are calculated by FTN Financial Main Street using the subsector returns of the BU10 index. Figures may not total due to rounding. Weighted

38 Total Return Performance: Core vs. Benchmark 1.80% 1.60% Core Index 1.65% 1.53% 1.40% 1.20% 1.00% 0.97% 0.80% 0.79% 0.60% 0.51% 0.51% 0.65% 0.49% 0.58% 0.40% 0.35% 0.34% 0.36% 0.20% 0.18% 0.18% 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 0.18% 0.51% 0.35% 1.65% 0.97% 0.65% 0.58% 0.18% 0.51% 0.34% 1.53% 0.79% 0.49% 0.36% 0.00% 0.00% 0.01% 0.12% 0.18% 0.16% 0.22% *Core Benchmark: 3 Month T-Bill (G0O1)

39 Total Return Performance: Reserve vs. Benchmark 2.50% 2.00% Reserve Index 2.05% 1.95% 1.50% 1.00% 0.76% 0.72% 1.06% 1.04% 0.50% 0.44% 0.44% 0.38% 0.38% 0.40% 0.40% 0.00% -0.50% -0.50% -0.51% -1.00% 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 0.44% 0.38% 0.40% -0.50% 0.76% 1.06% 2.05% 0.44% 0.38% 0.40% -0.51% 0.72% 1.04% 1.95% 0.00% 0.00% 0.00% 0.01% 0.04% 0.02% 0.10% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13

40 Percent Variance Portfolio Statistics: Historical Total Return Performance Variance: Core vs 3 Mon T-bill 0.18% 0.16% 0.14% 0.12% 0.10% 0.08% 0.06% 0.04% 0.02% 0.00% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 Avg Core Portfolio 0.21% 0.23% 0.16% 0.15% 0.40% 0.70% 1.51% 0.35% 0.46% Benchmark* 0.04% 0.13% 0.07% 0.00% 0.19% 0.49% 1.37% 0.34% 0.33% Variance 0.17% 0.10% 0.09% 0.06% 0.03% 0.17% 0.14% 0.01% 0.14% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding

41 Percent Variance Portfolio Statistics: Historical Total Return 0.10% 0.05% Performance Variance: Reserve vs 1-5Yr Govt/Corp 0.00% -0.05% -0.10% -0.15% -0.20% -0.25% -0.30% FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FYTD 19 Avg Reserve Portfolio 2.38% 0.15% 1.55% 1.38% 2.56% -0.25% -0.27% 0.40% 0.99% Benchmark* 2.36% 0.39% 1.53% 1.39% 2.51% -0.30% -0.27% 0.40% 1.00% Variance 0.02% -0.24% 0.02% -0.01% 0.05% 0.05% 0.00% 0.00% -0.01% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Figures may not total due to rounding

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

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

44 Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.40% 0.35% 0.00% 0.30% 0.25% 0.20% -0.01% 0.15% 0.10% 0.05% 0.00% -0.02% -0.05% -0.10% -0.15% Reserve Tsy Benchmark Tsy 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 Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.08% 0.32% Benchmark -0.07% 0.34% Monthly Variance* Mon. Var % -0.02% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var % -0.02% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance*

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

46 Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate Corporate Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.10% 0.09% 0.03% 0.08% 0.07% 0.06% 0.02% 0.05% 0.04% 0.03% 0.02% 0.01% Reserve Corp Benchmark Corp 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 Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.04% 0.09% Benchmark 0.03% 0.07% Mon. Var. 0.01% 0.02% Monthly Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.01% 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*

47 Basis Points Basis Points Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA) 75 Monthly Price Return vs Interest Return 60 Monthly Total Return Price Return Interest Return Component Total Return Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 May-18 Jun-18 Jul-18 Aug-18 Interest Price Total

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

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

50 0.0% 0.0% 0.7% 1.4% 3.0% 4.2% 8.4% 9.9% 11.1% 12.0% 12.1% 13.1% 13.1% 14.0% 14.1% 15.9% 15.7% 16.6% 16.6% 17.9% Effective Duration Allocations: Reserve vs. Benchmark 20% 18% Index Reserve 16% 14% 12% 10% 8% 6% 4% 2% 0% Duration Buckets* *Calculated using market values

51 0.0% 0.0% 0.0% 1.3% 2.9% 3.9% 5.6% 8.1% 8.6% 9.1% 9.9% 9.8% 10.2% 11.0% 10.8% 12.1% 11.8% 11.8% 13.3% 13.8% Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 16% 14% Index Treasury Reserve Treasury 12% 10% 8% 6% 4% 2% 0% Duration Buckets* *Calculated using market values

52 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.2% 0.1% 0.4% 0.3% 0.4% 0.7% 0.6% 1.0% 1.2% 1.2% 1.2% 1.2% 1.8% 2.3% Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 4.0% 3.5% Index Agency Reserve Agency 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% Duration Buckets* *Calculated using market values

53 0.0% 0.0% 0.1% 0.1% 0.3% 0.7% 1.8% 1.8% 1.7% 1.7% 1.6% 2.1% 2.1% 2.3% 2.2% 2.1% 2.2% 2.8% 3.7% 4.0% Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% Index Corporate Reserve Corporate 4% 3% 2% 1% 0% Duration Buckets* *Calculated using market values

54 Total General Portfolio: Credit Quality S&P Moody's S&P Moody's Issuer Market Value % of Port LT Rating LT Rating Issuer Market Value % of Port LT Rating LT Rating U.S. Treasury $5,888,766, % AA+ Aaa Komatsu $19,995, % A A2 FNMA $378,018, % AA+ Aaa General Dynamics $19,976, % A+ A2 MUFG Bank $267,515, % A A1 Costco $19,541, % A+ A1 Intercontinental Exg $109,664, % A A2 UnitedHealth Group $19,033, % A+ A3 IADB $95,750, % AAA Aaa Goldman Sachs Group $16,733, % BBB+ A3 Toyota $94,704, % AA- Aa3 TVA $15,086, % AA+ Aaa FHLMC $93,725, % AA+ Aaa Comerica $15,047, % BBB+ A3 Wells Fargo Bank* $93,497, % NR NR Bank of America NA $14,988, % A+ Aa3 Bank of New York Mellon $89,600, % A A1 Oracle $14,938, % AA- A1 Apple $84,023, % AA+ Aa1 Cisco $14,858, % AA- A1 John Deere $81,446, % A A2 Precision Castparts $14,833, % AA- A2 US Bank $78,866, % AA- A1 IFC $14,778, % AAA Aaa State of California $78,388, % AA- Aa3 Georgia Power Company $14,730, % A- Baa1 FHLB $77,092, % AA+ Aaa Procter & Gamble $14,650, % AA- Aa3 PNC Bank $68,700, % A A2 Intel $14,616, % A+ A1 Toronto Dominion $60,588, % AA- Aa3 Mastercard $14,561, % A A2 IBRD $58,612, % AAA Aaa Public Service Electric $11,913, % A Aa3 Chevron $58,373, % AA- Aa2 Chase Credit Card ABS $11,880, % AAA NR Philip Morris $58,336, % A A2 KeyBank $10,041, % A- A3 Citibank $54,692, % A+ A1 American Express Corp $10,039, % BBB+ A3 Pepsico $54,097, % A+ A1 Charles Schwab $10,032, % A A2 United Parcel $51,319, % A+ A1 M & T Corp $10,019, % A- A3 Exxon Mobil $49,384, % AA+ Aaa Nevada Power $9,985, % A+ A2 Citibank Credit Card ABS $49,369, % AAA Aaa Home Depot $9,966, % A A2 American Honda $44,370, % A+ A2 Berkshire Hathaway $9,958, % AA Aa2 Prudential Funding $41,625, % AA- A2 State Street $9,938, % A A1 Microsoft $41,401, % AAA Aaa BB&T Corp $9,936, % A- A2 IBM $39,407, % A+ A1 Gilead Sciences $9,911, % A A3 Caterpillar $39,308, % A A3 Wells Fargo & Co $9,893, % A- A2 JPMorgan Chase & Co $34,695, % A- A3 JPMorgan Chase Bank $9,890, % A+ Aa3 Honeywell $33,909, % A A2 Qualcomm $9,879, % A- A2 Amex. Express Cards ABS $31,880, % AAA Aaa American Express $9,878, % A- A2 Coca Cola $31,686, % A+ Aa3 Visa $9,859, % A+ A1 Morgan Stanley $29,959, % BBB+ A3 US Bancorp $9,810, % A+ A1 M&T Trust $29,664, % A A3 Pfizer $9,760, % AA A1 Johnson & Johnson $29,489, % AAA Aaa United Tech $9,633, % A- Baa1 Walt Disney $29,416, % A+ A2 Goldman Sachs Bank $6,023, % A+ A1 Mizuho Bank $28,668, % A A1 Automatic Data Processing $4,947, % AA Aa3 Unilever $25,994, % A+ A1 Danaher $4,940, % A A2 Branch Banking and Trust $24,508, % A A1 Public Storage $4,824, % A A2 Hershey $22,044, % A A1 Dreyfus Cash Mgmt $4,794, % AAAm Aaa-mf Capital One Cards ABS $21,066, % AAA NR Total $9,159,832, % Union Pacific $20,067, % A- Baa1 *Checking Account

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

56 Portfolio Transactions: Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 8/14/18 Berkshire Hathaway Corp 8/14/19 10,000,000 Transfer 8/15/18 Public Service Electric Corp 8/15/18 12,000,000 Transfer 8/15/18 American Honda Corp 8/15/18 15,000,000 Transfer 8/29/18 Berkshire Hathaway Corp 8/15/19 10,000,000 Sell 8/30/18 FHLMC Note Agy 8/15/19 20,000,000 Sell 8/30/18 Gilead Sciences Corp 9/20/19 5,000,000 Sell 8/31/18 U.S. Treasury Note Tsy 8/15/21 30,000,000 Buy 8/31/18 U.S. Treasury Note Tsy 8/31/23 150,000,000 Buy 8/31/18 U.S. Treasury Note Tsy 8/31/19 135,000,000 Transfer *"Transfer" is from Reserve to Core

57 Portfolio Transactions: Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 8/1/18 Intercontinental Exg CP 9/12/18 86,349,000 Buy 8/1/18 MUFG Bank CP 9/26/18 26,500,000 Buy 8/1/18 MUFG Bank CP 9/13/18 40,000,000 Buy 8/1/18 MUFG Bank CP 8/31/18 15,000,000 Buy 8/1/18 MUFG Bank CP 8/9/18 15,000,000 Buy 8/1/18 Toyota CP 9/12/18 25,000,000 Buy 8/2/18 United Parcel CP 9/26/18 7,454,000 Buy 8/3/18 MUFG Bank CP 8/15/18 32,954,000 Buy 8/6/18 Bank of New York Mellon CP 8/7/18 11,946,000 Buy 8/7/18 MUFG Bank CP 9/26/18 36,247,000 Buy 8/8/18 MUFG Bank CP 9/28/18 40,520,000 Buy 8/9/18 FHLB DN Agy 9/4/18 15,758,000 Buy 8/10/18 Exxon Mobil CP 9/4/18 19,692,000 Buy 8/13/18 IADB DN Supra 9/4/18 27,126,000 Buy 8/13/18 Prudential Funding CP 8/15/18 25,000,000 Buy 8/13/18 Prudential Funding CP 8/14/18 10,000,000 Buy 8/14/18 Berkshire Hathaway Corp 8/14/19 10,000,000 Transfer 8/15/18 Bank of New York Mellon CP 8/16/18 8,084,000 Buy 8/15/18 Public Service Electric Corp 8/15/18 12,000,000 Transfer 8/15/18 American Honda Corp 8/15/18 15,000,000 Transfer 8/17/18 TVA DN Agy 9/4/18 15,086,000 Buy 8/20/18 MUFG Bank CP 10/1/18 44,659,000 Buy 8/20/18 MUFG Bank CP 9/10/18 10,000,000 Buy 8/20/18 MUFG Bank CP 9/4/18 10,000,000 Buy 8/20/18 Komatsu CP 9/4/18 20,000,000 Buy 8/21/18 Prudential Funding CP 8/23/18 21,248,000 Buy 8/22/18 FHLB DN Agy 10/1/18 27,520,000 Buy 8/24/18 John Deere CP 10/1/18 9,800,000 Buy 8/24/18 John Deere CP 10/1/18 50,000,000 Buy 8/28/18 Chevron CP 10/1/18 28,815,000 Buy 8/29/18 FHLB DN Agy 9/5/18 19,057,000 Buy 8/29/18 FNMA DN Agy 10/10/18 21,000,000 Buy *"Transfer" is from Reserve to Core

58 Portfolio Transactions: Core Portfolio (continued) Trade Date Issuer Type Maturity Date Par Amount Action* 8/30/18 Bank of New York Mellon CP 9/4/18 35,000,000 Buy 8/30/18 FNMA DN Agy 10/9/18 17,660,000 Buy 8/31/18 Prudential Funding CP 9/4/18 41,626,000 Buy 8/31/18 MUFG Bank CP 10/10/18 60,000,000 Buy 8/31/18 U.S. Treasury Note Tsy 8/31/19 135,000,000 Transfer *"Transfer" is from Reserve to Core