Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments. February 28, 2018

Transcription

1 Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments February 28, 2018

2 Economic Update: Overall Economy 6 5 U.S. GDP (Quarter over Quarter Annualized)* Percent Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q Q * Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 2/28/2018 February 28,

3 Economic Update: Employment Monthly Non-Farm Payrolls Unemployment Rates California LA Area U.S.A Thousands Aug-13 Nov-13 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 Percent Aug-13 Nov-13 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 *Los Angeles area unemployment is not seasonally adjusted. 12 Month Average Monthly Job Change: 190,083 Data Source: Bloomberg February 28,

4 Economic Update: Consumer Activity 4.5 U.S. Retail Sales* YOY % Change $500 Total Monthly U.S. Retail Sales 4 $490 Percent Billions $480 $470 $460 $450 $440 $430 $ $410 0 Aug-13 Nov-13 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 $400 Aug-13 Nov-13 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 *Inflation Adjusted Data Source: Bloomberg February 28,

5 Economic Update: Inflation 3.0 CPI and CPIX* YOY % Change Sector YOY % Price Changes Energy Shelter Wages 2.6 Percent CPI CPIX Services CPI Education Food Apparel Aug-13 Nov-13 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 *CPIX: Consumer Price Index, excluding food and energy Communication Percent Data Source: Bloomberg February 28,

6 Economic Update: Dollar and Commodities Index Value Dollar Index Gold-Per Ounce $2,000 $1,800 $1,600 $1,400 $1,200 $1,000 $800 $600 Gold and Oil Gold Oil Sep-09 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 $120 $110 $100 $90 $80 $70 $60 $50 $40 $30 $20 Oil-Per Barrel Sep-09 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 Data Source: Bloomberg February 28,

7 Economic Update: Sector Returns YTD As of: 2/28/18 6 Percent Data Source: Bloomberg February 28,

8 Economic Update: S&P 500 Returns As of: 2/28/18 YTD S&P 500 Major Sector Returns Percent Data Source: Bloomberg February 28,

9 Economic Update: Yield Curve FYTD Percent U.S. Treasury Yield Curve 6/30/17 2/28/18 3M6M 1Y 2Y 3Y 5Y 10Y 30Y Maturity 6/30/17 2/28/18 Change 3M M Y Y Y Y Y Y Data Source: Bloomberg Figures may not total due to rounding February 28,

10 Economic Update: Interest Rates Percent U.S. Treasury Yields: 3M and 1Y 1Y 3M Feb-15 Apr-15 Jun-15 Aug-15 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Oct-16 Dec-16 Feb-17 Apr-17 Jun-17 Aug-17 Oct-17 Dec-17 Feb-18 Percent U.S. Treasury Yields: 2Y and 5Y Y Y 0.00 Feb-15 Apr-15 Jun-15 Aug-15 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Oct-16 Dec-16 Feb-17 Apr-17 Jun-17 Aug-17 Oct-17 Dec-17 Feb-18 Data Source: Bloomberg February 28,

11 Economic Update: Agency and Corporate Spreads 30 Spread*: 1-5 Yr Agency vs Treasury 225 Spread*: 1-5 Yr Corporate vs Treasury Basis Point Spread Basis Point Spread 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 *BofA/Merrill Index (option adjusted spread vs. Treasury) Agency (GVP0) 25 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 *BofA/Merrill Index (option adjusted spread vs. Treasury) Corporate A-AAA (CV10) Data Source: Bloomberg February 28,

12 Summary Portfolio Characteristics Market Value Book Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $2,784,006, $6,885,401, $2,784,084, $7,026,688, Total General Portfolio $9,669,407,932 $9,810,773,338 Variance ($78,575) -- ($141,286,831) -- ($141,365,406) Mkt Value % of Total 28.8% % % 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 February 28,

13 Total General Portfolio: Maturity Distribution 25% 20% 15% 10% 2/28/18 1/31/18 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+ 2/28/ % 0.8% 5.4% 21.9% 21.5% 15.8% 12.0% 1/31/ % 0.8% 3.6% 23.6% 21.5% 16.8% 12.4% Variance 1.4% 0.0% 1.8% -1.7% 0.0% -1.1% -0.4% February 28,

14 Sector Allocations: Total General Portfolio Sector 2/28/2018 1/31/2018 Variance Bank Deposits 1.5% 1.1% 0.5% February 28, 2018 Bank Dep 1.5% CDARS 0.0% 0.0% 0.0% Commercial Paper Corporate Notes 19.6% 14.7% 19.4% 0.2% 15.3% -0.6% CP 19.6% ABS 1.0% 0.9% 0.1% MMFs Negotiable CDs 1.1% 0.0% 0.1% 1.0% 0.0% 0.0% Tsy 55.1% CORP 14.7% Agencies* 7.1% 7.8% -0.7% Treasuries 55.1% 55.5% -0.4% Total 100.0% 100.0% Agy 7.1% ABS 1.0% MMF 1.1% *Includes Supranational and Municipal Securities Figures may not total due to rounding February 28,

15 Sector Allocations: Core Portfolio Core Portfolio February 28, 2018 Sector 2/28/2018 1/31/2018 Variance Bank Deposits 5.2% 4.1% 1.1% CDARS 0.0% 0.0% 0.0% Commercial Paper 67.9% 75.5% -7.5% MMF 3.9% Corp 7.2% Agy 3.4% Tsy 12.3% Bank Dep 5.2% Corporate Notes 7.2% 7.9% -0.7% MMFs 3.9% 0.3% 3.5% Negotiable CDs 0.0% Agencies* 3.4% Treasuries 12.3% Total 100.0% 0.0% 0.0% 4.7% -1.3% 7.6% 4.8% 100.0% CP 67.9% *Includes Supranational and Municipal Securities Figures may not total due to rounding February 28,

16 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 1.9% 1.8% Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 1.7% CP Negotiable CDs % 1.6% Agy Corporate Notes % 7.6% Commercial Paper % 71.7% Money Market % 4.1% Agencies** % 3.6% Treasuries % 13.0% Total % 100.0% *Based on Market Value **Includes Supranational Securities Purchase Yield 1.5% 1.4% 1.3% MMF 1.2% Tsy 1.1% Bubble size = Sector's % of Portfolio 1.0% WAM Years Figures may not total due to rounding Does not include Checking and BNYM Sweep, CDARS included with CP February 28,

17 Sector Allocations: Reserve Portfolio Reserve Portfolio February 28, 2018 Sector 2/28/2018 1/31/2018 Variance Treasuries 72.4% 72.1% 0.3% Corp 17.7% Agencies* 8.5% 8.8% -0.3% ABS 1.4% Corporate Notes 17.7% 17.8% -0.2% ABS 1.4% 1.2% 0.1% Total 100.0% 100.0% Tsy 72.4% Agy 8.5% *Includes Supranational and Municipal Securities Figures may not total due to rounding February 28,

18 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Reserve Portfolio 2.30% 2.20% Bubble size = Sector's % of Portfolio Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 2.10% Treasuries % 72.4% 2.00% Agencies** Corporate Notes 2.66 ABS % 8.5% % 17.7% 1.87% 1.4% Purchase Yield 1.90% 1.80% 1.70% Agy ABS Total % 100.0% 1.60% Tsy *Based on Market Value **Includes Supranational and Municipal Securities 1.50% 1.40% WAM Years Figures may not total due to rounding February 28,

19 Core and Reserve Market Values Month End Market Values $3.5 Core* $7.5 Reserve Billions $3.0 $2.5 $2.0 $1.5 $1.0 $0.5 $0.0 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Jun-16 Jan-17 Aug-17 Billions $7.0 $6.5 $6.0 $5.5 $5.0 $4.5 $4.0 $3.5 $3.0 Jul-06 Feb-07 Sep-07 Apr-08 Nov-08 Jun-09 Jan-10 Aug-10 Mar-11 Oct-11 May-12 Dec-12 Jul-13 Feb-14 Sep-14 Apr-15 Nov-15 Jun-16 Jan-17 Aug-17 *Core's market value includes checking accounts February 28,

20 Total General Portfolio: Market Value Total General Portfolio Market Value $10.5 $9.5 $8.5 Billions $7.5 $6.5 $5.5 $4.5 Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 February 28,

21 Total General Portfolio: % of Portfolio: Core vs Reserve % of Total General Portfolio: Core vs Reserve 100% 90% 80% 70% 60% 50% 40% Reserve Core 30% 20% 10% 0% Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 February 28,

22 Portfolio Compliance with Code, Policy, and Guidelines Maturity Limitations* Sector Government Securities Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Repurchase Agreements Reverse Repo/Securities Lending Corporate Notes Mortgage Backed Securities/CMOs Asset Backed Securities Banker's Acceptances Limit 5 Years 270 Days 180 Days 1 Year 32 Days 92 Days 5 Years 5 Years 5 Years 180 Days Compliance Complies Complies Complies-none in portfolio Complies-none in portfolio Complies-none in portfolio Complies Complies Complies-none in portfolio Complies Complies-none in portfolio Supranational Obligations 5 Years Complies *The City's Investment Policy and Investment guidelines allow for purchases of securities with longer maturities than those listed above for funds with longer investment/cash flow horizons. February 28,

23 Portfolio Compliance with Code, Policy, and Guidelines Percentage Allocation Limitations Sector Government Securities Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Repurchase Agreements Reverse Repo/Securities Lending Corporate Notes Mortgage Backed Securities/CMOs Asset Backed Securities Banker's Acceptances State/Local Agency Securities Mutual Funds/Money Market Funds LAIF State Pool Limit 100% 40% 180 Days 1 Year 15% 5% Reverse Repo/20% Revs. Repo +Sec Lending 30% 20% Combined with ABS 20% Combined with MBS 30% 10% 20% $65 Million Per Account Compliance Complies Complies Complies Complies-none in portfolio Complies Complies Complies Complies-none in portfolio Complies Complies-none in portfolio Complies Complies Complies-none in portfolio Supranational Obligations 30% Complies February 28,

24 Portfolio Compliance with Code, Policy, and Guidelines Issuer and Transaction Limitations -- Approved Issuers Item Limit Compliance Government Issuer 100% Complies Non-Governmental Issuer 5% Complies Single Transaction $200 Million w/o Treasurer's Written Approval Complies Dealers From Approved List Complies Commercial Paper From Approved List Complies Corporate Notes From Approved List Complies Supranational Obligations From Approved List Complies February 28,

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 2.66 February 28,

26 Portfolio Statistics: Yield and Duration Purchase Yield: Core vs Benchmark* Purchase Yield: Reserve vs Benchmark* 6% 5% Core Benchmark 5% 4% Reserve Benchmark Percent 4% 3% 2% Percent 3% 2% 1% 1% 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 *Benchmark: 3 Month T-Bill (3 Month Moving Average) 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 *Benchmark: 1-5 Year Govt/Corp A-AAA (24 Month Moving Average), changed 8/1/13 Duration Core Duration Core Benchmark 0.05 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Duration at month-end, after index rebalancing for the next month. Core duration does not include checking accounts. Duration Reserve Duration Reserve Benchmark 2.2 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 February 28,

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

28 Purchase Yield Per 3-Month Maturity Intervals Core Portfolio 2.0% Months Purchase Yield % of Portfolio* 0 to % 77.44% 1.9% 1.8% Bubble Size = Maturity's % of Portfolio 1.78% 1.85% 3 to % 2.84% 6 to % 2.92% 9 to % 16.79% Total 1.62% % Purchase Yield 1.7% 1.6% 1.5% 1.67% 1.4% 1.3% 1.28% *Based on Par Value 1.2% Years February 28,

29 Purchase Yield Per 6-Month Maturity Intervals Reserve Portfolio 2.5% Years Purchase Yield % of Portfolio*.5 to % 2.3% Bubble Size = Maturity's % of Portfolio 2.36% 1.0 to % 14.01% 1.5 to % 15.03% 2.1% 2.0 to % 16.01% 2.5 to % 13.14% 3.0 to % 11.54% Purchase Yield 1.9% 1.85% 2.00% 3.5 to % 12.81% 4.0 to % 9.12% 4.5 to % 8.34% 1.7% 1.5% 1.57% 1.52% 1.63% 1.64% 1.58% Total 1.72% % *Based on Par Value 1.3% Years February 28,

30 Purchase Yield Per 6-Month Maturity Intervals Total General Portfolio Years Purchase Yield % of Portfolio* 2.5% 0 to % 22.24% 0.5 to % 4.21% 2.3% Bubble Size = Maturity's % of Portfolio 2.36% 1.0 to % 11.38% 1.5 to % 10.86% 2.1% 2.0 to % 11.57% 2.5 to % 9.50% 3.0 to % 8.34% Purchase Yield 1.9% 1.85% 2.00% 3.5 to % 9.26% 1.7% 1.68% 1.63% 1.64% 4.0 to % 6.59% 1.57% 1.58% 4.5 to % 6.03% 1.5% 1.48% Total 1.69% % *Based on Par Value 1.44% 1.3% Years February 28,

31 Portfolio Statistics: Historical Effective Duration Duration Reserve Total Portfolio Core Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 Jul-17 February 28,

32 Total General Portfolio Statistics: Sector Allocation History 70% 60% 50% 40% 30% 20% 10% Tsy Agy Corp CP Bank/Sweep ABS MBS Neg. CDS CDARS 0% Jul-06 Nov-06 Mar-07 Jul-07 Nov-07 Mar-08 Jul-08 Nov-08 Mar-09 Jul-09 Nov-09 Mar-10 Jul-10 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Jul-12 Nov-12 Mar-13 Jul-13 Nov-13 Mar-14 Jul-14 Nov-14 Mar-15 Jul-15 Nov-15 Mar-16 Jul-16 Nov-16 Mar-17 Jul-17 Nov-17 Sector Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Tsy 55.2% 52.3% 47.7% 51.4% 55.7% 57.0% 56.9% 56.8% 57.6% 54.9% 55.5% 55.1% Agy 8.7% 8.4% 10.5% 16.4% 12.0% 10.5% 9.4% 9.5% 10.7% 9.4% 7.8% 7.1% Corp 16.2% 15.7% 15.4% 15.7% 17.0% 16.9% 16.4% 16.9% 16.9% 15.1% 15.3% 14.7% CP 18.7% 22.0% 24.9% 12.9% 13.2% 13.6% 14.9% 13.2% 12.6% 18.8% 19.4% 19.6% 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 0.1% 0.4% 0.5% 0.8% 0.8% 0.8% 1.0% 1.0% 1.0% 0.9% 0.9% 1.0% Bank 1.0% 1.2% 1.1% 3.0% 1.3% 1.1% 1.4% 2.6% 1.3% 1.0% 1.1% 2.6% 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 February 28,

33 Book Return: Core Portfolio Percent Variance 1.70% 1.60% 1.50% 1.40% 1.30% 1.20% 1.10% Performance Variance: Core vs Benchmark Core Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Return Core Portfolio Custom Benchmark* Variance July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.18% 1.24% 1.23% 1.29% 1.33% 1.41% 1.54% 1.61% 1.15% 1.16% 1.16% 1.17% 1.25% 1.43% 1.51% 1.60% 0.03% 0.08% 0.07% 0.12% 0.08% -0.02% 0.03% 0.01% 0.00% 0.00% 0.00% 0.00% Percent Variance 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% Fiscal YTD Core Portfolio Custom Benchmark* Variance Performance Variance: Core vs Benchmark FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY % 1.27% 0.56% 0.41% 0.64% 0.78% 1.37% 0.28% 0.19% 0.13% 0.15% 0.33% 0.73% 1.30% 0.73% 1.08% 0.43% 0.26% 0.31% 0.05% 0.07% *Core Benchmark: 70% monthly average of 60 Day A1/P1 Bloomberg CP Index (DCBP060Y) and 30% monthly moving average of 30 Day Agy (AGDN030Y). Average builds from beginning of fiscal year. Figures may not total due to rounding February 28,

34 Book Return: Reserve Portfolio Percent Variance 1.75% 1.65% 1.55% 1.45% 1.35% 1.25% 1.15% 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 1.56% 1.61% 1.61% 1.51% 1.53% 1.56% 1.57% 1.72% 1.22% 1.24% 1.25% 1.30% 1.33% 1.36% 1.41% 1.46% 0.34% 0.37% 0.36% 0.21% 0.20% 0.20% 0.16% 0.26% 0.00% 0.00% 0.00% 0.00% Performance Variance: Reserve vs Benchmark Percent Variance 0.8% 0.6% 0.4% 0.2% 0.0% Fiscal YTD Reserve Portfolio Custom Benchmark* Variance FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY % 1.55% 1.52% 1.41% 1.43% 1.42% 1.59% 0.96% 0.66% 0.59% 0.76% 0.94% 1.08% 1.32% 0.95% 0.89% 0.93% 0.65% 0.49% 0.34% 0.27% *Reserve Benchmark: 24 month moving average of the ICE BofAML 1-5 year U.S. Government and U.S. Corporate A-AAA Index (BU10). Average builds from beginning of fiscal year. Figures may not total due to rounding February 28,

35 Book Return: Combined Portfolios Percent Variance 1.75% 1.65% 1.55% 1.45% 1.35% 1.25% 1.15% 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 1.0% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.47% 1.54% 1.52% 1.47% 1.49% 1.53% 1.57% 1.69% 1.21% 1.22% 1.23% 1.27% 1.31% 1.37% 1.43% 1.49% 0.26% 0.32% 0.29% 0.20% 0.18% 0.16% 0.14% 0.20% 0.00% 0.00% 0.00% 0.00% Performance Variance: Combined vs Benchmark Percent Variance 0.8% 0.6% 0.4% 0.2% 0.0% Fiscal YTD Combined Portfolio Custom Benchmark* Variance FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY % 1.51% 1.36% 1.19% 1.40% 1.29% 1.54% 0.83% 0.57% 0.50% 0.64% 0.82% 1.00% 1.32% 0.93% 0.94% 0.86% 0.55% 0.58% 0.29% 0.22% *Combined Benchmark: 80% of the Reserve Portfolio Benchmark and 20% of the Core Portfolio Benchmark. Average builds from beginning of fiscal year. Figures may not total due to rounding February 28,

36 Portfolio Statistics: Monthly Total Return 0.12% Core vs Benchmark 0.00% Reserve vs Benchmark 0.10% -0.02% -0.04% Percent Variance 0.08% 0.06% 0.04% 0.02% 0.00% Core Benchmark Percent Variance -0.06% -0.08% -0.10% -0.12% -0.14% -0.16% -0.18% -0.20% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.10% 0.10% 0.00% Monthly Performance -0.18% -0.16% -0.02% *Core Benchmark: 3 Month T-Bill (G0O1 ICE BofAML Index) *Reserve Benchmark: 1-5 Year Govt/U.S. Corp A-AAA (BU10 ICE BofAML Index) Attribution of Sub-Sector Returns Sector Core Benchmark Treasury 0.04% 0.10% Attribution of Sub-Sector Weighted Returns Variance Agency 0.07% 0.00% Treasury -0.13% % % Corporate 0.10% 0.00% Agy/Muni -0.16% % % Corp/ABS -0.35% % % 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 February 28,

37 Total Return Performance: Core vs. Benchmark 1.40% 1.20% Core Index 1.16% 1.00% 0.99% 0.80% 0.85% 0.77% 0.67% 0.60% 0.61% 0.48% 0.46% 0.40% 0.34% 0.33% 0.31% 0.36% 0.20% 0.10% 0.10% 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 0.10% 0.34% 0.85% 1.16% 0.67% 0.46% 0.61% 0.10% 0.33% 0.77% 0.99% 0.48% 0.31% 0.36% 0.00% 0.01% 0.08% 0.17% 0.19% 0.15% 0.25% *Core Benchmark: 3 Month T-Bill (G0O1) February 28,

38 Total Return Performance: Reserve vs. Benchmark 2.50% 2.00% Reserve Index 1.96% 1.84% 1.50% 1.00% 0.65% 0.63% 0.75% 0.73% 0.50% 0.00% -0.50% -0.18% -0.16% -0.22% -0.22% -1.00% -0.70% -0.70% -0.72% -0.70% 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 -0.18% -0.70% -0.72% -0.22% 0.65% 0.75% 1.96% -0.16% -0.70% -0.70% -0.22% 0.63% 0.73% 1.84% -0.02% 0.00% -0.02% 0.00% 0.02% 0.02% 0.12% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 February 28,

39 Portfolio Statistics: Historical Total Return 0.25% Performance Variance: Core vs 3 Mon T-bill 0.20% Percent Variance 0.15% 0.10% 0.05% 0.00% FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FYTD 18 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FYTD 18 Avg Core Portfolio 0.22% 0.21% 0.23% 0.16% 0.15% 0.40% 0.70% 0.85% 0.37% Benchmark* 0.19% 0.04% 0.13% 0.07% 0.00% 0.19% 0.49% 0.77% 0.24% Variance 0.03% 0.17% 0.10% 0.06% 0.03% 0.17% 0.21% 0.08% 0.13% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding February 28,

40 Portfolio Statistics: Historical Total Return Percent Variance Performance Variance: Reserve vs 1-5Yr Govt/Corp 0.10% 0.05% 0.00% -0.05% -0.10% -0.15% -0.20% -0.25% -0.30% FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FYTD 18 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FYTD 18 Avg Reserve Portfolio 2.56% 2.38% 0.15% 1.55% 1.38% 2.56% -0.25% -0.72% 1.20% Benchmark* 2.67% 2.36% 0.39% 1.53% 1.39% 2.51% -0.30% -0.70% 1.23% Variance -0.11% 0.02% -0.24% 0.02% -0.01% 0.05% 0.05% -0.02% -0.03% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Figures may not total due to rounding February 28,

41 Portfolio Statistics: Monthly & FYTD Total Return Core vs 3 Month T-Bill Index Monthly Performance Comparison FYTD Performance Variance 0.16% Core 0.09% 0.14% Benchmark 0.08% 0.12% 0.07% 0.10% 0.08% 0.06% 0.04% 0.06% 0.05% 0.04% 0.03% 0.02% 0.02% 0.01% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.10% 0.11% 0.10% 0.10% 0.10% 0.10% 0.14% 0.10% Benchmark 0.09% 0.09% 0.09% 0.09% 0.08% 0.11% 0.12% 0.10% Variance 0.01% 0.02% 0.01% 0.01% 0.02% -0.01% 0.02% 0.00% Fiscal YTD Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.10% 0.21% 0.31% 0.41% 0.51% 0.61% 0.75% 0.85% Benchmark 0.09% 0.18% 0.27% 0.36% 0.44% 0.55% 0.67% 0.77% Variance 0.01% 0.03% 0.04% 0.05% 0.07% 0.06% 0.08% 0.08% February 28,

42 Portfolio Statistics: Monthly & FYTD Total Return Reserve vs 1-5 Year Government/Corporate Index Monthly Performance Comparison FYTD Performance Variance 0.40% 0.30% 0.02% 0.20% 0.10% 0.01% 0.00% 0.00% -0.10% -0.20% -0.01% -0.30% -0.40% -0.50% Reserve Benchmark -0.02% -0.60% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.03% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.31% 0.33% -0.29% -0.07% -0.30% 0.02% -0.54% -0.18% Benchmark 0.31% 0.34% -0.30% -0.07% -0.28% 0.01% -0.55% -0.16% Variance 0.00% -0.01% 0.01% 0.00% -0.02% 0.01% 0.01% -0.02% Fiscal YTD Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.31% 0.64% 0.35% 0.28% -0.02% 0.00% -0.54% -0.72% Benchmark 0.31% 0.65% 0.35% 0.28% 0.00% 0.01% -0.54% -0.70% Variance 0.00% -0.01% 0.00% 0.00% -0.02% -0.01% 0.00% -0.02% February 28,

43 Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.40% 0.06% 0.30% 0.20% 0.10% 0.04% 0.02% 0.00% 0.00% -0.10% -0.20% -0.30% -0.40% Reserve Tsy Benchmark Tsy -0.02% -0.04% -0.06% -0.50% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.08% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Variance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.20% 0.24% -0.24% -0.08% -0.21% 0.00% -0.42% -0.09% Benchmark 0.23% 0.28% -0.28% -0.07% -0.23% -0.01% -0.46% -0.11% Mon. Var % -0.04% 0.04% -0.01% 0.02% 0.01% 0.04% 0.02% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var % -0.07% -0.03% -0.04% -0.02% -0.01% 0.03% 0.05% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* February 28,

44 Portfolio Attribution: Reserve Agency vs. Benchmark Agency Agency Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.05% 0.04% 0.03% 0.02% 0.01% 0.05% 0.04% 0.03% 0.02% 0.00% 0.01% -0.01% -0.02% -0.03% -0.04% Reserve Agy Benchmark Agy 0.00% -0.01% -0.02% -0.05% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.03% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Variance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.03% 0.03% -0.03% 0.00% -0.02% 0.00% -0.04% -0.01% Benchmark 0.01% 0.01% -0.01% 0.00% -0.01% 0.00% -0.02% 0.00% Mon. Var. 0.02% 0.02% -0.02% 0.00% -0.01% 0.00% -0.02% -0.01% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.02% 0.04% 0.02% 0.02% 0.01% 0.01% -0.01% -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* February 28,

45 Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate Corporate Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.10% 0.08% 0.06% 0.04% 0.02% 0.00% -0.02% -0.04% -0.06% -0.08% Reserve Corp Benchmark Corp 0.04% 0.03% 0.02% 0.01% 0.00% -0.01% -0.02% -0.03% -0.04% -0.10% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.05% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Variance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.08% 0.06% -0.02% 0.00% -0.06% 0.02% -0.09% -0.07% Benchmark 0.07% 0.04% -0.02% 0.01% -0.04% 0.02% -0.07% -0.05% Mon. Var. 0.01% 0.02% 0.00% -0.01% -0.02% 0.00% -0.02% -0.02% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.01% 0.03% 0.03% 0.02% 0.00% 0.00% -0.02% -0.04% *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* February 28,

46 Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA) Monthly Price Return vs Interest Return Monthly Total Return 50 Price Return Interest Return Basis Points Basis Points Component Total Return Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Interest Price Total February 28,

47 Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns 75 Index Sector Total Returns 50 Tsy Agy Corp Govt/Corp Index Basis Points Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Sector Total Returns (Basis Points) Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 AVG Index Treasury Agency Corporate February 28,

48 Reserve vs Index: Sector Allocations % of Portfolio/Index Percent 82% 80% 78% 76% 74% 72% 70% 68% 66% Treasury Allocations: Reserve vs Index Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Index Reserve Jan-18 Feb-18 Percent 22% 21% 20% 19% 18% 17% 16% 15% 14% 13% 12% 11% Corporate Allocations: Reserve vs Index Index Reserve Percent 12% 11% 10% 9% 8% 7% 6% 5% 4% Agency Allocations: Reserve vs Index Index Reserve Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Dec-17 Jan-18 Feb-18 Note: Corporate allocations include Corporate Bonds and Asset-Backed Securities; Agency Allocations include U.S. Agencies, Supranationals, and Municipal Securities February 28,

49 Effective Duration Allocations: Reserve vs. Benchmark 18% 16% 14% 16.2% 16.8% 15.9% 16.4% 13.6% 15.2% 13.2% 15.4% 14.6% Index Reserve 12% 10% 10.7% 9.8% 10.4% 9.8% 10.2% 8% 6% 6.2% 5.6% 4% 2% 0% 0.0% 0.0% 0.0% 0.0% Duration Buckets* *Calculated using market values February 28,

50 Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 14% 13.1% 13.0% Index Treasury 12% 11.7% 10.7% 11.2% 10.4% 8.6% 10.7% 8.6% 11.5% 8.1% 8.2% 10.6% Reserve Treasury 10% 8.3% 8% 6% 5.0% 4% 4.0% 2% 0% 0.0% 0.0% 0.0% 0.0% Duration Buckets* *Calculated using market values February 28,

51 Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 4.0% 3.5% Index Agency Reserve Agency 3.0% 2.5% 2.2% 2.0% 1.2% 1.1% 1.1% 1.2% 0.6% 0.6% 1.6% 1.5% 1.1% 0.8% 1.0% 0.5% 0.0% 0.0% 0.0% 0.0% 0.0% 0.3% 0.3% 0.3% 0.2% 0.2% 0.4% Duration Buckets* *Calculated using market values February 28,

52 Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% Index Corporate Reserve Corporate 4% 4.0% 3.5% 3% 2.9% 2.7% 2.9% 2% 1.9% 1.8% 1.7% 2.0% 1.8% 1.5% 1.6% 1.6% 1.8% 1.1% 1% 0% 0.0% 0.0% 0.0% 0.0% 0.3% Duration Buckets* *Calculated using market values February 28,

53 Total General Portfolio: Credit Quality S&P Moody's S&P Moody's Issuer Market Value % of Port LT Rating LT Rating Issuer Market Value % of Port LT Rating LT Rating U.S. Treasury $5,328,573, % AA+ Aaa Cisco $24,835, % AA- A1 FNMA $319,607, % AA+ Aaa Branch Banking and Trust $24,559, % A A1 Mizuho Bank $286,639, % A A1 Capital One Cards ABS $20,954, % AAA NR Bank Tokyo-Mitsubishi $279,391, % A A1 Stryker $19,987, % A Baa1 Toronto Dominion $269,473, % AA- Aa2 Wells Fargo & Co $19,801, % A- A2 Toyota $220,339, % AA- Aa3 Berkshire Hathaway $19,797, % AA Aa2 Apple $190,268, % AA+ Aa1 Qualcomm $19,738, % A A1 Exxon Mobil $157,448, % AA+ Aaa Costco $19,543, % A+ A1 Wells Fargo Bank* $145,922, % NR NR Mastercard $17,579, % A A2 Intercontinental Exg $119,844, % A A2 Siemens Capital $16,983, % A+ A1 Unilever $104,666, % A+ A1 Bank of America NA $14,956, % A+ Aa3 Bk of New York Mellon** $100,000, % AAAm Aaa-mf Oracle $14,952, % AA- A1 Walt Disney $84,481, % A+ A2 FAMCA $14,895, % NR NR PNC Bank $83,775, % A A2 3M Company $14,884, % AA- A1 FHLMC $83,682, % AA+ Aaa Precision Castparts $14,878, % AA- A2 US Bank $78,989, % AA- A1 Gilead Sciences $14,876, % A A3 State of California $78,620, % AA- Aa3 Georgia Power Company $14,790, % A- A3 BMW $76,869, % A+ A1 IFC $14,789, % AAA Aaa Pfizer $71,843, % AA A1 Intel $14,669, % A+ A1 Chevron $66,255, % AA- Aa2 Procter & Gamble $14,646, % AA- Aa3 FHLB $64,314, % AA+ Aaa Public Service Electric $11,886, % A Aa3 American Honda $64,222, % A+ A2 Amex Cards ABS $11,883, % AAA NR IBRD $58,553, % AAA Aaa Chase Credit Card ABS $11,819, % AAA NR Philip Morris $58,330, % A A2 Wisconsin Electric Power $9,986, % A- A2 Pepsico $53,984, % A+ A1 Home Depot $9,948, % A A2 Johnson & Johnson $53,124, % AAA Aaa State Street $9,936, % A A1 BNP Paribas $52,003, % A Aa3 BB&T Corp $9,932, % A- A2 Citibank Credit Card ABS $49,370, % AAA Aaa American Express $9,879, % A- A2 IADB $48,802, % AAA Aaa Visa $9,870, % A+ A1 Microsoft $41,310, % AAA Aaa JPMorgan Chase Bank $9,856, % A+ Aa3 Bank of New York Mellon $39,463, % A A1 US Bancorp $9,847, % A+ A1 IBM $39,429, % A+ A1 United Parcel $9,738, % A+ A1 Caterpillar $39,181, % A A3 United Tech $9,675, % A- A3 General Electric $37,821, % A A2 UnitedHealth Group $8,978, % A+ A3 Citibank $34,738, % A+ A1 ING $7,323, % A+ Aa3 JPMorgan Chase & Co $34,685, % A- A3 Dreyfus Cash Mgmt $7,286, % AAAm Aaa-mf Honeywell $33,940, % A A2 Target $6,985, % A A2 Estee Lauder $32,840, % A+ A2 Eli Lilly $4,973, % AA- A2 John Deere $31,776, % A A2 Danaher $4,965, % A A2 Coca Cola $31,627, % AA- Aa3 Automatic Data Processing $4,948, % AA Aa3 Morgan Stanley $29,998, % BBB+ A3 Public Storage $4,846, % A A2 M&T Trust $29,766, % A A3 Total $9,669,407, % Goldman Sachs $26,739, % BBB+ A3 *Checking Account **Sweep February 28,

54 Total General Portfolio Transactions Total Monthly Transactions Buys* Sells** 0 Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 *Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Buys Sells/Calls Total Reserve Transactions Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Buys Sells/Calls Total Total Transactions Mar-17 Apr-17 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Buys Sells/Calls Total February 28,

55 Portfolio Transactions: Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 2/8/18 Citibank Corp 2/12/21 25,000,000 Buy 2/14/18 Citibank Card ABS ABS 1/20/23 10,000,000 Buy 2/15/18 U.S. Treasury Tsy 1/15/19 45,000,000 Transfer 2/20/18 Toyota Corp 2/19/19 15,000,000 Transfer 2/23/18 Apple Corp 2/22/19 10,000,000 Transfer 2/28/18 U.S. Treasury Tsy 2/28/23 175,000,000 Buy 2/28/18 U.S. Treasury Tsy 4/30/21 40,000,000 Buy 2/28/18 FNMA Note Agy 2/19/19 15,000,000 Sell 2/28/18 U.S. Treasury Tsy 2/18/19 60,000,000 Transfer 2/28/18 U.S. Treasury Tsy 2/18/19 60,000,000 Transfer *"Transfer" is from Reserve to Core February 28,

56 Portfolio Transactions: Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 2/1/18 Apple CP 4/13/18 32,090,000 Buy 2/2/18 Intercontinental Exg CP 2/15/18 24,288,000 Buy 2/5/18 Mizuho Bank CP 4/16/18 24,825,000 Buy 2/5/18 Unilever CP 4/25/18 50,000,000 Buy 2/6/18 Intercontinental Exg CP 2/21/18 10,000,000 Buy 2/6/18 John Deere CP 3/1/18 10,000,000 Buy 2/6/18 Apple CP 4/26/18 16,000,000 Buy 2/7/18 BNP Paribas CP 5/1/18 20,310,000 Buy 2/7/18 Mizuho Bank CP 4/30/18 20,000,000 Buy 2/8/18 FHLB DN Agy 2/14/18 52,000,000 Buy 2/8/18 Mizuho Bank CP 4/26/18 10,953,000 Buy 2/9/18 BNP Paribas CP 2/15/18 19,660,000 Buy 2/12/18 BNP Paribas CP 2/15/18 25,000,000 Buy 2/12/18 BNP Paribas CP 2/14/18 20,000,000 Buy 2/12/18 Bank Tokyo-Mitsubishi CP 3/29/18 13,125,000 Buy 2/13/18 United Parcel CP 2/15/18 5,522,000 Buy 2/14/18 Toronto Dominion CP 5/1/18 57,975,000 Buy 2/15/18 U.S. Treasury Tsy 1/15/19 45,000,000 Transfer 2/16/18 Cargill CP 2/28/18 20,893,000 Buy 2/20/18 Bank Tokyo-Mitsubishi CP 2/28/18 75,533,000 Buy 2/20/18 Mizuho Bank CP 5/9/18 50,000,000 Buy 2/20/18 Mizuho Bank CP 5/8/18 40,000,000 Buy 2/20/18 Intercontinental Exg CP 5/9/18 80,000,000 Buy 2/20/18 Toyota Corp 2/19/19 15,000,000 Transfer 2/21/18 Johnson & Johnson CP 3/1/18 23,633,000 Buy 2/22/18 Toyota CP 4/27/18 17,555,000 Buy 2/23/18 Mizuho Bank CP 5/10/18 45,000,000 Buy 2/23/18 Estee Lauder CP 3/8/18 32,851,000 Buy 2/23/18 Unilever CP 4/30/18 20,000,000 Buy 2/23/18 Apple Corp 2/22/19 10,000,000 Transfer 2/26/18 Unilever CP 5/22/18 35,000,000 Buy 2/26/18 Mizuho Bank CP 5/11/18 23,600,000 Buy *"Transfer" is from Reserve to Core February 28,

57 Portfolio Transactions: Core Portfolio (continued) Trade Date Issuer Type Maturity Date Par Amount Action* 2/26/18 Toronto Dominion CP 5/23/18 30,000,000 Buy 2/26/18 Toronto Dominion CP 5/23/18 50,000,000 Buy 2/27/18 Chevron CP 5/7/18 16,775,000 Buy 2/27/18 Apple CP 5/24/18 25,000,000 Buy 2/27/18 Chevron CP 5/21/18 10,000,000 Buy 2/27/18 Apple CP 5/14/18 10,000,000 Buy 2/28/18 Apple CP 5/14/18 7,477,000 Buy 2/28/18 U.S. Treasury Tsy 2/18/19 60,000,000 Transfer 2/28/18 U.S. Treasury Tsy 2/18/19 60,000,000 Transfer *"Transfer" is from Reserve to Core February 28,