Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments. April 30, 2018

Transcription

1 Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments April 30, 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: 4/30/2018 April 30,

3 Economic Update: Employment Thousands Monthly Non-Farm Payrolls Percent Unemployment Rates California LA Area U.S.A 0 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 3 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 *Los Angeles area unemployment is not seasonally adjusted. 12 Month Average Monthly Job Change: 190,000 Data Source: Bloomberg April 30,

4 Economic Update: Consumer Activity 4.5 U.S. Retail Sales* YOY % Change $520 Total Monthly U.S. Retail Sales $500 3 $480 Percent Billions $ $ $420 0 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 $400 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 *Inflation Adjusted Data Source: Bloomberg April 30,

5 Economic Update: Inflation 3.0 CPI and CPIX* YOY % Change Sector YOY % Price Changes Energy Shelter Services 2.7 Percent CPI CPIX Wages CPI Education Food Apparel Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Apr-17 Jul-17 Oct-17 Jan-18 Apr-18 *CPIX: Consumer Price Index, excluding food and energy Communication 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 Gold and Oil Gold Oil Nov-09 May-10 Nov-10 May-11 Nov-11 May-12 Nov-12 May-13 Nov-13 May-14 Nov-14 May-15 Nov-15 May-16 Nov-16 May-17 Nov-17 $120 $110 $100 $90 $80 $70 $60 $50 $40 $30 $20 Oil-Per Barrel Nov-09 May-10 Nov-10 May-11 Nov-11 May-12 Nov-12 May-13 Nov-13 May-14 Nov-14 May-15 Nov-15 May-16 Nov-16 May-17 Nov-17 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: 4/30/18 8 YTD S&P 500 Major Sector Returns Percent Data Source: Bloomberg April 30,

9 Economic Update: Yield Curve FYTD Percent U.S. Treasury Yield Curve 6/30/17 4/30/18 3M6M 1Y 2Y 3Y 5Y 10Y 30Y Maturity 6/30/17 4/30/18 Change 3M M Y Y Y Y Y Y Data Source: Bloomberg Figures may not total due to rounding April 30,

10 Economic Update: Interest Rates Percent U.S. Treasury Yields: 3M and 1Y 1Y 3M 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 Apr-18 Percent U.S. Treasury Yields: 2Y and 5Y Y Y 0.00 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 Apr-18 Data Source: Bloomberg April 30,

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 Sep-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 *BofA/Merrill Index (option adjusted spread vs. Treasury) Agency (GVP0) 25 Sep-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 *BofA/Merrill Index (option adjusted spread vs. Treasury) Corporate A-AAA (CV10) Data Source: Bloomberg April 30,

12 Summary Portfolio Characteristics Market Value Book Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $3,157,825, $6,737,211, $3,159,850, $6,896,720, Total General Portfolio $9,895,037,890 $10,056,571,621 Variance ($2,024,932) -- ($159,508,799) -- ($161,533,731) Mkt Value % of Total 31.9% % % 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 April 30,

13 Total General Portfolio: Maturity Distribution 25% 20% 15% 10% 4/30/18 3/31/18 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+ 4/30/ % 1.4% 7.5% 21.6% 20.8% 15.4% 10.3% 3/31/ % 1.1% 6.9% 22.4% 20.7% 15.8% 12.1% Variance 2.1% 0.3% 0.6% -0.8% 0.0% -0.4% -1.8% April 30,

14 Sector Allocations: Total General Portfolio Sector 4/30/2018 3/31/2018 Variance Bank Deposits 0.9% 1.1% -0.2% April 30, 2018 Bank Dep 0.9% CDARS 0.0% 0.0% 0.0% Commercial Paper Corporate Notes 19.8% 14.4% 19.3% 0.5% 14.8% -0.5% CP 19.8% ABS 1.2% 1.2% 0.0% MMFs 0.0% 0.1% 0.0% Negotiable CDs 0.0% 0.0% 0.0% Agencies* 9.3% 7.2% 2.2% Treasuries 54.3% 56.3% -2.0% Total 100.0% 100.0% Tsy 54.3% Agy 9.3% CORP 14.4% ABS 1.2% MMF 0.0% *Includes Supranational and Municipal Securities Figures may not total due to rounding April 30,

15 Sector Allocations: Core Portfolio Core Portfolio April 30, 2018 Sector 4/30/2018 3/31/2018 Variance Bank Deposits 2.8% 3.7% -0.8% CDARS 0.0% 0.0% 0.0% Commercial Paper 62.1% 66.8% -4.6% MMF 0.2% Corp 6.5% Agy 9.6% Tsy 18.7% Bank Dep 2.8% Corporate Notes 6.5% 8.2% -1.6% MMFs 0.2% 0.3% -0.1% Negotiable CDs 0.0% Agencies* 9.6% Treasuries 18.7% Total 100.0% 0.0% 0.0% 3.5% 6.1% 17.6% 1.1% 100.0% CP 62.1% *Includes Supranational and Municipal Securities Figures may not total due to rounding April 30,

16 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 2.4% 2.2% Sector WAM (Yrs.) Purchase Yield % of Portfolio* Negotiable CDs % 2.0% CP Corp Corporate Notes % 6.7% Commercial Paper % 63.9% Money Market % 0.2% Purchase Yield 1.8% 1.6% MMF Agy Agencies** % 9.9% 1.4% Treasuries % 19.3% 1.2% Tsy Total % 100.0% *Based on Market Value **Includes Supranational Securities 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 April 30,

17 Sector Allocations: Reserve Portfolio Reserve Portfolio April 30, 2018 Sector 4/30/2018 3/31/2018 Variance Treasuries 71.0% 72.1% -1.0% Corp Agencies* 9.2% 8.7% 0.5% 18.1% ABS 1.7% Corporate Notes 18.1% 17.6% 0.5% ABS 1.7% 1.7% 0.0% Total 100.0% 100.0% Tsy 71.0% Agy 9.2% *Includes Supranational and Municipal Securities Figures may not total due to rounding April 30,

18 Sector Allocations: Purchase Yield vs. Weighted Average Maturity Reserve Portfolio 2.35% 2.25% Bubble size = Sector's % of Portfolio Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 2.15% Treasuries % 71.0% 2.05% ABS Agencies** Corporate Notes 2.54 ABS % 9.2% % 18.1% 2.01% 1.7% Purchase Yield 1.95% 1.85% 1.75% Agy Total % 100.0% *Based on Market Value **Includes Supranational and Municipal Securities 1.65% 1.55% Tsy 1.45% WAM Years Figures may not total due to rounding April 30,

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 Mar-18 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 Mar-18 *Core's market value includes checking accounts April 30,

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 Mar-18 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 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 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 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. 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% $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 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 Supranational Obligations 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: 2.62 vs 2.62 April 30,

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 2.2 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 Reserve Benchmark April 30,

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 April 30,

28 Purchase Yield Per 3-Month Maturity Intervals Core Portfolio 2.4% Bubble Size = Maturity's % of Portfolio Months Purchase Yield % of Portfolio* 0 to % 71.54% 2.2% 2.14% 3 to % 3.76% 2.0% 2.00% 6 to % 6.87% 9 to % 17.83% Total 1.84% % Purchase Yield 1.8% 1.6% 1.4% 1.34% 1.35% *Based on Par Value 1.2% Years April 30,

29 Purchase Yield Per 6-Month Maturity Intervals Reserve Portfolio Years Purchase Yield % of Portfolio*.5 to % 2.9% 2.7% Bubble Size = Maturity's % of Portfolio 1.0 to % 14.50% 2.5% 2.51% 1.5 to % 16.36% 2.0 to % 15.07% 2.5 to % 14.78% 3.0 to % 9.61% Purchase Yield 2.3% 2.1% 1.9% 1.94% 1.98% 3.5 to % 13.12% 4.0 to to % 2.51% 7.53% 9.04% 1.7% 1.5% 1.61% 1.60% 1.67% 1.61% 1.65% Total 1.77% % *Based on Par Value 1.3% Years April 30,

30 Purchase Yield Per 6-Month Maturity Intervals Total General Portfolio Years Purchase Yield % of Portfolio* 0 to % 23.77% 2.8% Bubble Size = Maturity's % of Portfolio 0.5 to % 6.46% 2.6% 2.51% 1.0 to % 11.03% 2.4% 1.5 to % 11.24% 2.0 to % 10.35% 2.5 to % 10.16% 2.0% 2.01% 3.0 to % 6.60% 3.5 to % 9.01% 4.0 to % 5.18% Purchase Yield 2.2% 1.8% 1.6% 1.56% 1.60% 1.67% 1.61% 1.65% 1.94% 1.98% 4.5 to % 6.21% Total 1.80% % *Based on Par Value 1.4% 1.35% 1.2% Years April 30,

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 April 30,

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 Mar-18 Sector May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 Tsy 47.7% 51.4% 55.7% 57.0% 56.9% 56.8% 57.6% 54.9% 55.5% 55.1% 56.3% 54.3% Agy 10.5% 16.4% 12.0% 10.5% 9.4% 9.5% 10.7% 9.4% 7.8% 7.1% 7.2% 9.3% Corp 15.4% 15.7% 17.0% 16.9% 16.4% 16.9% 16.9% 15.1% 15.3% 14.7% 14.8% 14.4% CP 24.9% 12.9% 13.2% 13.6% 14.9% 13.2% 12.6% 18.8% 19.4% 19.6% 19.3% 19.8% 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 0.5% 0.8% 0.8% 0.8% 1.0% 1.0% 1.0% 0.9% 0.9% 1.0% 1.2% 1.2% Bank 1.1% 3.0% 1.3% 1.1% 1.4% 2.6% 1.3% 1.0% 1.1% 2.6% 1.1% 1.0% 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 Book Return: Core Portfolio Percent Variance 2.10% 1.90% 1.70% 1.50% 1.30% Core Benchmark Monthly Performance Variance: Core vs Benchmark 1.10% Monthly Return Core Portfolio Custom Benchmark* Variance July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 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% 1.68% 1.81% 1.15% 1.16% 1.16% 1.17% 1.25% 1.43% 1.51% 1.60% 1.84% 1.92% 0.03% 0.08% 0.07% 0.12% 0.08% -0.02% 0.03% 0.01% -0.16% -0.11% 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 Fiscal Year 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% 1.48% 0.28% 0.19% 0.13% 0.15% 0.33% 0.73% 1.42% 0.73% 1.08% 0.43% 0.26% 0.31% 0.05% 0.06% *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 April 30,

34 Book Return: Reserve Portfolio Percent Variance 1.75% 1.65% 1.55% 1.45% 1.35% 1.25% 1.15% 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 1.56% 1.61% 1.61% 1.51% 1.53% 1.56% 1.57% 1.72% 1.70% 1.69% 1.22% 1.24% 1.25% 1.30% 1.33% 1.36% 1.41% 1.46% 1.53% 1.59% 0.34% 0.37% 0.36% 0.21% 0.20% 0.20% 0.16% 0.26% 0.17% 0.10% 0.00% 0.00% Fiscal Year 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% 1.62% 0.96% 0.66% 0.59% 0.76% 0.94% 1.08% 1.37% 0.95% 0.89% 0.93% 0.65% 0.49% 0.34% 0.25% *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 April 30,

35 Book Return: Combined Portfolios Percent Variance 1.75% 1.65% 1.55% 1.45% 1.35% 1.25% 1.15% 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 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% 1.70% 1.72% 1.21% 1.22% 1.23% 1.27% 1.31% 1.37% 1.43% 1.49% 1.59% 1.66% 0.26% 0.32% 0.29% 0.20% 0.18% 0.16% 0.14% 0.20% 0.11% 0.06% 0.00% 0.00% Fiscal Year 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% 1.58% 0.83% 0.57% 0.50% 0.64% 0.82% 1.00% 1.38% 0.93% 0.94% 0.86% 0.55% 0.58% 0.29% 0.20% *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 April 30,

36 Portfolio Statistics: Monthly Total Return 0.18% Core vs Benchmark -0.20% Reserve vs Benchmark 0.16% 0.14% -0.22% Percent Variance 0.12% 0.10% 0.08% 0.06% 0.04% 0.02% Percent Variance -0.24% -0.26% -0.28% -0.30% 0.00% Core Benchmark -0.32% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.17% 0.13% 0.04% Monthly Performance -0.29% -0.30% 0.01% *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 0.11% % % Treasury -0.36% % % Agency* 0.14% % % Agency* -0.32% % % Credit** 0.18% % % Credit** -0.01% % % *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 April 30,

37 Total Return Performance: Core vs. Benchmark 1.40% 1.33% 1.20% Core Index 1.17% 1.18% 1.04% 1.00% 0.80% 0.76% 0.60% 0.57% 0.52% 0.60% 0.40% 0.41% 0.37% 0.36% 0.35% 0.20% 0.17% 0.13% 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 0.17% 0.41% 1.17% 1.33% 0.76% 0.52% 0.60% 0.13% 0.37% 1.04% 1.18% 0.57% 0.36% 0.35% 0.04% 0.04% 0.13% 0.15% 0.19% 0.16% 0.25% *Core Benchmark: 3 Month T-Bill (G0O1) April 30,

38 Total Return Performance: Reserve vs. Benchmark 2.50% 2.00% Reserve Index 2.02% 1.93% 1.50% 1.00% 0.68% 0.66% 0.50% 0.49% 0.46% 0.00% -0.50% -0.29% -0.30% -0.23% -0.22% -1.00% -0.73% -0.72% -0.65% -0.65% 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 -0.29% -0.23% -0.73% -0.65% 0.49% 0.68% 2.02% -0.30% -0.22% -0.72% -0.65% 0.46% 0.66% 1.93% 0.01% -0.01% -0.01% 0.00% 0.03% 0.02% 0.09% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 April 30,

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% 1.17% 0.41% Benchmark* 0.19% 0.04% 0.13% 0.07% 0.00% 0.19% 0.49% 1.04% 0.27% Variance 0.03% 0.17% 0.10% 0.06% 0.03% 0.17% 0.21% 0.13% 0.14% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding April 30,

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% -0.73% 1.20% Benchmark* 2.67% 2.36% 0.39% 1.53% 1.39% 2.51% -0.30% -0.72% 1.23% Variance -0.11% 0.02% -0.24% 0.02% -0.01% 0.05% 0.05% -0.01% -0.03% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Figures may not total due to rounding April 30,

41 Portfolio Statistics: Monthly & FYTD Total Return Core vs 3 Month T-Bill Index Monthly Performance Comparison FYTD Performance Variance 0.18% 0.16% 0.14% 0.12% Core Benchmark 0.14% 0.12% 0.10% 0.10% 0.08% 0.08% 0.06% 0.04% 0.02% 0.06% 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 0.10% 0.11% 0.10% 0.10% 0.10% 0.10% 0.14% 0.10% 0.14% 0.17% Benchmark 0.09% 0.09% 0.09% 0.09% 0.08% 0.11% 0.12% 0.10% 0.14% 0.13% Variance 0.01% 0.02% 0.01% 0.01% 0.02% -0.01% 0.02% 0.00% 0.00% 0.04% 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% 0.99% 1.17% Benchmark 0.09% 0.18% 0.27% 0.36% 0.44% 0.55% 0.67% 0.77% 0.91% 1.04% Variance 0.01% 0.03% 0.04% 0.05% 0.07% 0.06% 0.08% 0.08% 0.08% 0.13% April 30,

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% 0.28% -0.29% Benchmark 0.31% 0.34% -0.30% -0.07% -0.28% 0.01% -0.55% -0.16% 0.28% -0.30% Variance 0.00% -0.01% 0.01% 0.00% -0.02% 0.01% 0.01% -0.02% 0.00% 0.01% 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% -0.44% -0.73% Benchmark 0.31% 0.65% 0.35% 0.28% 0.00% 0.01% -0.54% -0.70% -0.42% -0.72% Variance 0.00% -0.01% 0.00% 0.00% -0.02% -0.01% 0.00% -0.02% -0.02% -0.01% April 30,

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% 0.24% -0.26% Benchmark 0.23% 0.28% -0.28% -0.07% -0.23% -0.01% -0.46% -0.11% 0.26% -0.28% Mon. Var % -0.04% 0.04% -0.01% 0.02% 0.01% 0.04% 0.02% -0.02% 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% 0.03% 0.05% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* April 30,

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% Reserve Agy Benchmark Agy 0.05% 0.04% 0.03% 0.02% 0.00% 0.01% -0.01% -0.02% -0.03% -0.04% 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% 0.03% -0.03% Benchmark 0.01% 0.01% -0.01% 0.00% -0.01% 0.00% -0.02% 0.00% 0.01% -0.01% Mon. Var. 0.02% 0.02% -0.02% 0.00% -0.01% 0.00% -0.02% -0.01% 0.02% -0.02% 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% 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* April 30,

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% 0.02% 0.00% Benchmark 0.07% 0.04% -0.02% 0.01% -0.04% 0.02% -0.07% -0.05% 0.01% -0.01% Mon. Var. 0.01% 0.02% 0.00% -0.01% -0.02% 0.00% -0.02% -0.02% 0.01% 0.01% 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% -0.03% -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* April 30,

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 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 Interest Price Total April 30,

47 Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns Index Sector Total Returns Tsy Agy Corp Govt/Corp Index Basis Points May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 Sector Total Returns (Basis Points) May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 AVG Index Treasury Agency Corporate April 30,

48 Reserve vs Index: Sector Allocations % of Portfolio/Index Percent 82% 80% 78% 76% 74% 72% 70% 68% 66% Treasury Allocations: Reserve vs Index May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Index Reserve Mar-18 Apr-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 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 Feb-18 Mar-18 Apr-18 Note: Corporate allocations include Corporate Bonds and Asset-Backed Securities; Agency Allocations include U.S. Agencies, Supranationals, and Municipal Securities April 30,

49 Effective Duration Allocations: Reserve vs. Benchmark 18% 16% 14% 16.2% 16.9% 15.8% 15.8% 13.8% 16.1% 13.5% 15.3% Index Reserve 12% 10% 10.1% 11.3% 10.5% 11.6% 9.7% 10.5% 8% 8.0% 6% 4.4% 4% 2% 0% 0.0% 0.0% 0.0% 0.6% Duration Buckets* *Calculated using market values April 30,

50 Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 14% 12% 10% 8% 13.0% 11.4% 13.2% 9.2% 11.2% 12.1% 10.7% 10.7% 8.4% 10.1% 8.6% 8.0% 8.0% Index Treasury Reserve Treasury 8.6% 6% 5.4% 4.2% 4% 2% 0% 0.0% 0.0% 0.0% 0.0% Duration Buckets* *Calculated using market values April 30,

51 Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 4.0% 3.5% 3.3% Index Agency Reserve Agency 3.0% 2.5% 2.0% 1.7% 1.5% 1.5% 1.0% 0.7% 0.8% 0.8% 1.1% 0.6% 1.2% 1.0% 0.5% 0.0% 0.0% 0.0% 0.0% 0.3% 0.3% 0.0% 0.3% 0.2% 0.1% 0.0% Duration Buckets* *Calculated using market values April 30,

52 Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% 4.9% Index Corporate Reserve Corporate 4% 3.3% 3% 3.0% 2.8% 1.6% 2.5% 2% 1.8% 1.9% 2.1% 1.4% 1.2% 1.6% 1.5% 1.6% 1.8% 1% 0% 0.0% 0.0% 0.0% 0.3% 0.2% Duration Buckets* *Calculated using market values April 30,

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 $5,377,360, % AA+ Aaa Cisco $24,834, % AA- A1 MUFG Bank $471,288, % A A1 Branch Banking and Trust $24,409, % A A1 Toronto Dominion $354,288, % AA- Aa2 John Deere $21,641, % A A2 Mizuho Bank $321,902, % A A1 Capital One Cards ABS $20,959, % AAA NR FNMA $318,672, % AA+ Aaa BNP Paribas $20,309, % A Aa3 Apple $274,200, % AA+ Aa1 Qualcomm $19,828, % A A1 IBRD $207,501, % AAA Aaa Berkshire Hathaway $19,778, % AA Aa2 Chevron $186,386, % AA- Aa2 Costco $19,457, % A+ A1 Toyota $135,546, % AA- Aa3 Bank of America NA $14,967, % A+ Aa3 Exxon Mobil $129,347, % AA+ Aaa Oracle $14,931, % AA- A1 FHLMC $113,336, % AA+ Aaa Gilead Sciences $14,861, % A A3 Intercontinental Exg $99,912, % A A2 3M Company $14,818, % AA- A1 FHLB $97,008, % AA+ Aaa Precision Castparts $14,794, % AA- A2 IADB $95,292, % AAA Aaa IFC $14,755, % AAA Aaa Wells Fargo Bank* $89,300, % NR NR Georgia Power Company $14,734, % A- A3 PNC Bank $83,488, % A A2 Procter & Gamble $14,589, % AA- Aa3 Bank of New York Mellon $79,410, % A A1 Intel $14,560, % A+ A1 US Bank $78,724, % AA- A1 Mastercard $14,549, % A A2 State of California $78,273, % AA- Aa3 Public Service Electric $11,871, % A Aa3 Philip Morris $57,979, % A A2 Chase Credit Card ABS $11,827, % AAA NR Pepsico $53,900, % A+ A1 Wisconsin Electric Power $9,991, % A- A2 Praxair $49,833, % A A2 Nevada Power $9,970, % A+ A2 Citibank Credit Card ABS $49,262, % AAA Aaa Home Depot $9,943, % A A2 United Parcel $44,628, % A+ A1 State Street $9,922, % A A1 Citibank $44,612, % A+ A1 BB&T Corp $9,909, % A- A2 Pfizer $44,575, % AA A1 American Express $9,873, % A- A2 IBM $41,305, % A+ A1 Wells Fargo & Co $9,868, % A- A2 Microsoft $41,276, % AAA Aaa Visa $9,850, % A+ A1 Caterpillar $38,974, % A A3 JPMorgan Chase Bank $9,846, % A+ Aa3 Unilever $34,960, % A+ A1 US Bancorp $9,799, % A+ A1 JPMorgan Chase & Co $34,571, % A- A3 United Tech $9,590, % A- A3 American Honda $34,140, % A+ A2 UnitedHealth Group $8,950, % A+ A3 Honeywell $33,841, % A A2 Target $6,974, % A A2 Amex Cards ABS $31,837, % AAA Aaa Southern California Gas $4,999, % A+ Aa2 Coca Cola $31,604, % A+ Aa3 Automatic Data Processing $4,944, % AA Aa3 Morgan Stanley $29,922, % BBB+ A3 Danaher $4,943, % A A2 M&T Trust $29,606, % A A3 Public Storage $4,789, % A A2 Johnson & Johnson $29,404, % AAA Aaa Dreyfus Cash Mgmt** $4,776, % AAAm Aaa-mf Walt Disney $29,403, % A+ A2 Total $9,895,037, % Goldman Sachs $26,725, % BBB+ A3 *Checking Account **Sweep April 30,

54 Total General Portfolio Transactions Total Monthly Transactions Buys* Sells** 0 May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 *Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 Buys Sells/Calls Total Reserve Transactions May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 Buys Sells/Calls Total Total Transactions May-17 Jun-17 Jul-17 Aug-17 Sep-17 Oct-17 Nov-17 Dec-17 Jan-18 Feb-18 Mar-18 Apr-18 Buys Sells/Calls Total April 30,

55 Portfolio Transactions: Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 4/3/18 Master Card Corp 4/1/19 3,000,000 Sell 4/3/18 FHLMC Note Agy 2/16/21 15,000,000 Buy 4/3/18 Eli Lilly Corp 3/15/19 5,000,000 Sell 4/4/18 Wells Fargo & Co Corp 4/22/19 10,000,000 Sell 4/4/18 FAMCA Note Agy 4/18/19 15,000,000 Sell 4/9/18 Nevada Power Corp 4/15/20 10,000,000 Buy 4/10/18 Toyota Corp 4/13/21 10,000,000 Buy 4/12/18 IADB Note Supra 4/19/21 20,000,000 Buy 4/18/18 FHLMC Note Agy 4/23/20 15,000,000 Buy 4/23/18 Citibank Corp 5/1/20 10,000,000 Buy 4/23/18 Berkshire Hathaway Corp 4/28/23 15,000,000 Buy 4/30/18 U.S. Treasury Note Tsy 4/30/23 25,000,000 Buy 4/30/18 U.S. Treasury Note Tsy 4/30/19 40,000,000 Transfer 4/30/18 U.S. Treasury Note Tsy 4/30/19 65,000,000 Transfer *"Transfer" is from Reserve to Core April 30,

56 Portfolio Transactions: Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 4/2/18 MUFG Bank CP 6/19/18 20,000,000 Buy 4/2/18 MUFG Bank CP 6/28/18 46,728,000 Buy 4/2/18 MUFG Bank CP 6/29/18 53,000,000 Buy 4/3/18 Apple CP 6/28/18 32,000,000 Buy 4/3/18 United Parcel CP 6/1/18 35,000,000 Buy 4/4/18 FHLB DN CP 4/6/18 4,754,000 Buy 4/5/18 Archer Daniels CP 4/26/18 10,000,000 Buy 4/5/18 Siemens Capital CP 4/19/18 14,675,000 Buy 4/5/18 FHLB DN Agy 4/9/18 7,985,000 Buy 4/5/18 MUFG Bank CP 4/13/18 22,000,000 Buy 4/6/18 Prudential Financing CP 4/12/18 24,800,000 Buy 4/9/18 BNP Paribas CP 4/12/18 45,208,000 Buy 4/10/18 BNP Paribas CP 4/12/18 13,975,000 Buy 4/12/18 Home Depot CP 4/13/18 19,100,000 Buy 4/13/18 BNP Paribas CP 4/19/18 29,000,000 Buy 4/13/18 FHLB DN Agy 4/18/18 10,000,000 Buy 4/13/18 Apple CP 6/28/18 14,583,000 Buy 4/16/18 MUFG Bank CP 6/28/18 21,472,000 Buy 4/17/18 MUFG Bank CP 6/28/18 26,300,000 Buy 4/18/18 Southern California Gas CP 4/19/18 10,000,000 Buy 4/18/18 MUFG Bank CP 6/28/18 21,100,000 Buy 4/19/18 Southern California Gas CP 5/2/18 5,000,000 Buy 4/20/18 IBRD DN Supra 6/28/18 100,000,000 Buy 4/20/18 Toronto Dominion CP 6/28/18 1,100,000 Buy 4/20/18 Toronto Dominion CP 6/28/18 43,250,000 Buy 4/20/18 MUFG Bank CP 6/28/18 100,000,000 Buy 4/20/18 Exxon Mobil CP 6/28/18 100,000,000 Buy 4/23/18 FHLB DN Agy 4/25/18 60,000,000 Buy 4/23/18 Apple CP 6/28/18 24,000,000 Buy 4/24/18 IBRD DN Supra 6/28/18 49,495,000 Buy 4/24/18 FHLB DN Agy 4/26/18 25,000,000 Buy 4/25/18 IBM CP 6/28/18 2,000,000 Buy *"Transfer" is from Reserve to Core April 30,

57 Portfolio Transactions: Core Portfolio (continued) Trade Date Issuer Type Maturity Date Par Amount Action* 4/26/18 FHLB DN Agy 5/1/18 23,288,000 Buy 4/27/18 Apple CP 6/28/18 38,000,000 Buy 4/27/18 Apple CP 6/28/18 40,000,000 Buy 4/27/18 FHLB DN CP 5/1/18 23,261,000 Buy 4/27/18 Praxair CP 6/28/18 50,000,000 Buy 4/27/18 FHLB DN Agy 5/2/18 11,165,000 Buy 4/30/18 Toronto Dominion CP 6/28/18 49,364,000 Buy 4/30/18 MUFG Bank CP 6/28/18 70,000,000 Buy 4/30/18 Apple CP 10/29/18 20,000,000 Buy 4/30/18 U.S. Treasury Note Tsy 4/30/19 40,000,000 Transfer 4/30/18 U.S. Treasury Note Tsy 4/30/19 65,000,000 Transfer *"Transfer" is from Reserve to Core April 30,