Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments August 31, 2016
Economic Update: Overall Economy 8 U.S. GDP (Quarter over Quarter Annualized)* Percent 6 4 2 0-2 -4-6 -8-10 -8.2-5.4-0.5 1.3 3.9 1.7 3.9 2.7 2.5-1.5 2.9 0.8 4.6 2.7 1.9 0.5 0.1 2.8 0.8 3.1 4.0-1.2 4.0 5.0 2.3 2.0 2.6 2.0 0.9 0.8 1.2 2.7 2.3 2.1 2.2-12 Q4 2008 Q1 2009 Q2 2009 Q3 2009 Q4 2009 Q1 2010 Q2 2010 Q3 2010 Q4 2010 Q1 2011 Q2 2011 Q3 2011 Q4 2011 Q1 2012 Q2 2012 Q3 2012 Q4 2012 Q1 2013 Q2 2013 Q3 2013 Q4 2013 Q1 2014 Q2 2014 Q3 2014 Q4 2014 Q1 2015 Q2 2015 Q3 2015 Q4 2015 Q1 2016 Q2 2016 Q3 2016 Q4 2016 Q1 2017 Q2 2017 * Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 8/31/16 August 31, 2016 2
Economic Update: Employment 350 300 Monthly Non-Farm Payrolls 12 11 Unemployment Rates California LA Area U.S.A Thousands 250 200 150 100 50 0 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 12 Month Average Monthly Job Change: 203,917 Percent 10 9 8 7 6 5 4 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 *Los Angeles area unemployment is not seasonally adjusted. Data Source: Bloomberg August 31, 2016 3
Economic Update: Consumer Activity 4.5 U.S. Retail Sales* YOY % Change $470 Total Monthly U.S. Retail Sales 4 $460 Percent 3.5 3 2.5 2 1.5 1 Billions $450 $440 $430 $420 $410 $400 $390 0.5 $380 0 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 $370 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 *Inflation Adjusted Data Source: Bloomberg August 31, 2016 4
Economic Update: Inflation CPI and CPIX* YOY % Change Sector YOY % Price Changes 3.5 3.0 CPI CPIX Shelter Services 3.3 2.9 2.5 Education 2.7 Percent 2.0 1.5 Wages CPI 1.1 2.4 1.0 Food 0.1 0.5 0.0 Communication Apparel -1.0-1.1-0.5 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 Nov-14 Feb-15 May-15 Aug-15 Nov-15 Feb-16 May-16 Aug-16 *CPIX: Consumer Price Index, excluding food and energy Energy -10.0-12 -10-8 -6-4 -2 0 2 4 6 Percent Data Source: Bloomberg August 31, 2016 5
Economic Update: Dollar and Commodities Index Value 102 100 98 96 94 92 90 88 86 84 82 80 78 76 74 72 70 Dollar Index Gold-Per Ounce $2,000 $1,800 $1,600 $1,400 $1,200 $1,000 $800 $600 $400 $200 $0 Gold and Oil Gold Oil $160 $140 $120 Feb-08 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Aug-15 Feb-16 $100 $80 $60 $40 $20 $0 Oil-Per Barrel Feb-08 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Aug-15 Feb-16 Data Source: Bloomberg August 31, 2016 6
Economic Update: Sector Returns YTD As of: 8/31/16 25 20 17.6 19.4 15 13.9 14.7 15.1 Percent 10 10.1 5 0 0.3 0.4 1.1 1.7 2.1 3.2 3.4 5.5 5.7 5.9 6.2 6.2 6.7 6.9 7.7 Data Source: Bloomberg August 31, 2016 7
Economic Update: S&P 500 Returns As of: 8/31/16 18 YTD S&P 500 Major Sector Returns 16 15.1 15.5 14 12 10.8 11.7 12.8 13.2 Percent 10 8 8.9 6 4 3.9 4.2 2 1.8 0 Data Source: Bloomberg August 31, 2016 8
Economic Update: Yield Curve FYTD Percent 2.5 2.0 1.5 1.0 0.5 0.0 U.S. Treasury Yield Curve 6/30/16 8/31/16 3M6M 1Y 2Y 3Y 5Y 10Y 30Y Maturity 6/30/16 8/31/16 Change 3M 0.26 0.33 0.07 6M 0.35 0.46 0.11 1Y 0.44 0.59 0.16 2Y 0.58 0.81 0.22 3Y 0.69 0.92 0.23 5Y 1.00 1.20 0.20 10Y 1.47 1.58 0.11 30Y 2.29 2.23 (0.05) Data Source: Bloomberg Figures may not total due to rounding August 31, 2016 9
Economic Update: Interest Rates Percent 0.80 0.70 0.60 0.50 0.40 0.30 0.20 0.10 0.00-0.10 U.S. Treasury Yields: 3M and 1Y 1Y 3M Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec-14 Feb-15 Apr-15 Jun-15 Aug-15 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Percent U.S. Treasury Yields: 2Y and 5Y 2.00 1.75 1.50 1.25 1.00 0.75 0.50 5Y 0.25 2Y 0.00 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec-14 Feb-15 Apr-15 Jun-15 Aug-15 Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16 Data Source: Bloomberg August 31, 2016 10
Economic Update: Agency and Corporate Spreads 30 Spread*: 1-5 Yr Agency vs Treasury 250 Spread*: 1-5 Yr Corporate vs Treasury 25 200 Basis Point Spread 20 15 10 14 Basis Point Spread 150 100 5 50 68 0 Jan-10 May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 *BofA/Merrill Index (option adjusted spread vs. Treasury) Agency (GVP0) 0 Jan-10 May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 Sep-14 Jan-15 May-15 Sep-15 Jan-16 May-16 *BofA/Merrill Index (option adjusted spread vs. Treasury) Corporate A-AAA (CV10) Data Source: Bloomberg August 31, 2016 11
Summary Portfolio Characteristics Market Value Par Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $1,353,281,929 -- $6,831,969,131 -- $1,353,164,249 -- $6,735,935,000 -- Total General Portfolio $8,185,251,060 $8,089,099,249 Variance $117,680 -- $96,034,131 -- $96,151,810 Mkt Value % of Total 16.5% -- 83.5% -- 100% Average Maturity (Yrs)** 0.10 0.23 2.78 2.81 2.33 Effective Duration** Weighted Purchase Yield## 0.11 0.23 2.70 2.70 0.56% -- 1.37% -- 2.27 1.24% *Core Benchmark: 3 Month T-Bill (G0O1 BofA/Merrill Index) #Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10 BofA Merrill Index) **Average Maturity after rebalancing for the indexes--portfolios based upon trade date holdings, Core Average Maturity includes checking ## Weighted Purchase Yield for Core does not include checking August 31, 2016 12
Total General Portfolio: Maturity Distribution 30% 25% 20% 15% 8/31/16 7/31/16 10% 5% 0% 0-.25.25 to.5.5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ Years 0-.25.25 to.5.5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ 8/31/16 14.8% 1.4% 0.4% 27.2% 23.4% 17.5% 15.5% 7/31/16 19.7% 1.1% 0.6% 26.1% 21.8% 17.7% 13.1% Variance -4.9% 0.4% -0.3% 1.1% 1.6% -0.2% 2.4% August 31, 2016 13
Sector Allocations: Total General Portfolio Sector 8/31/2016 7/31/2016 Variance Bank Deposits 0.7% 0.7% 0.1% August 31, 2016 Bank Dep 0.7% Neg. CDs 0.3% CDARS 0.0% 0.0% 0.0% Commercial Paper 10.4% 14.3% -3.9% CP 10.4% Corporate Notes MMFs 16.3% 0.0% 15.3% 1.0% 0.0% 0.0% CORP 16.3% Negotiable CDs Agencies* 0.3% 11.7% 0.3% 0.0% 11.8% -0.1% Tsy 60.6% Agy 11.7% Treasuries 60.6% 57.6% 3.0% Total 100.0% 100.0% *Includes Supranational and Municipal Securities Figures may not total due to rounding August 31, 2016 14
Sector Allocations: Core Portfolio Core Portfolio Sector 8/31/2016 7/31/2016 Variance August 31, 2016 Bank Deposits 4.5% 3.2% 1.3% CDARS 0.0% 0.0% 0.0% Neg. CDs 1.8% Tsy 2.0% Bank Dep 4.5% Commercial Paper 63.1% 67.0% -3.9% Agy 20.1% Corporate Notes 8.5% 6.3% 2.2% MMFs 0.0% 0.0% 0.0% Corp 8.5% Negotiable CDs 1.8% Agencies* 20.1% Treasuries 2.0% Total 100.0% 1.4% 0.5% 18.8% 1.3% 3.4% -1.4% 100.0% CP 63.1% *Includes Supranational and Municipal Securities Figures may not total due to rounding August 31, 2016 15
Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 2.5% Bubble size = Sector's % of Portfolio Sector WAM (Yrs.) Purchase Yield % of Portfolio* 2.0% Corp Negotiable CDs 0.35 0.91% 1.9% Corporate Notes 0.40 1.83% 8.9% Commercial Paper 0.07 0.44% 66.0% Agencies** 0.10 0.40% 21.0% Purchase Yield 1.5% 1.0% CD Treasuries 0.00 0.22% 2.1% Total 0.11 0.56% 100.0% 0.5% CP Agy *Based on Market Value **Includes Supranational Securities Tsy 0.0% -0.2 0.0 0.2 0.4 0.6 WAM Years Figures may not total due to rounding Does not include Checking and BNYM Sweep, CDARS included with CP August 31, 2016 16
Sector Allocations: Reserve Portfolio Reserve Portfolio Sector 8/31/2016 7/31/2016 Variance August 31, 2016 Bank Deposits 0.0% 0.0% 0.0% CDARS 0.0% 0.0% 0.0% Commercial Paper 0.0% 0.0% 0.0% Corporate Notes 17.8% 17.7% 0.1% MMFs 0.0% 0.0% 0.0% Corp 17.8% Agy 10.0% Negotiable CDs 0.0% 0.0% 0.0% Agencies* 10.0% 9.9% 0.1% Tsy 72.2% Treasuries 72.2% 72.3% -0.2% Total 100.0% 100.0% *Includes Supranational and Municipal Securities Figures may not total due to rounding August 31, 2016 17
Sector Allocations: Purchase Yield vs. Weighted Average Maturity Reserve Portfolio 2.25% Bubble size = Sector's % of Portfolio 2.00% Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 1.75% Treasuries Agencies** Corporate Notes 2.78 2.89 2.69 1.23% 1.42% 1.92% 72.2% 10.0% 17.8% Purchase Yield 1.50% 1.25% Agy Tsy Total 2.78 1.37% 100.0% 1.00% *Based on Market Value **Includes Supranational and Municipal Securities 0.75% 0.50% 0.0 1.0 2.0 3.0 WAM Years Figures may not total due to rounding August 31, 2016 18
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 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 Billions $7.0 $6.5 $6.0 $5.5 $5.0 $4.5 $4.0 $3.5 $3.0 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-15 Jul-15 Jan-16 Jul-16 *Core's market value includes checking accounts August 31, 2016 19
Total General Portfolio: Market Value Total General Portfolio Market Value $10.5 $9.5 $8.5 Billions $7.5 $6.5 $5.5 $4.5 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 August 31, 2016 20
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 August 31, 2016 21
Portfolio Compliance with Code, Policy, and Guidelines Maturity Limitations* Sector Government Securities Commercial Paper Negotiable Certificates of Deposit CRA Certificates of Deposit Repurchase Agreements Reverse Repo/Securities Lending Corporate Notes Mortgage Backed Securities/CMOs Asset Backed Securities Banker's Acceptances Limit 5 Years 270 Days 180 Days 1 Year 32 Days 92 Days 5 Years 5 Years 5 Years 180 Days Compliance Complies Complies Complies-none in portfolio Complies-none in portfolio Complies-none in portfolio Complies Complies Complies-none in portfolio Complies-none in portfolio Complies-none in portfolio 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. August 31, 2016 22
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-none in portfolio Complies-none in portfolio Complies Complies Complies-none in portfolio Supranational Obligations 30% Complies August 31, 2016 23
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 August 31, 2016 24
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: 2.70 vs 2.70 August 31, 2016 25
Portfolio Statistics: Yield and Duration Purchase Yield: Core vs Benchmark* Purchase Yield: Reserve vs Benchmark* 6% 5% Core Benchmark 6% 5% Reserve Benchmark Percent 4% 3% Percent 4% 3% 2% 2% 1% 1% 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 *Benchmark: 3 Month T-Bill (3 Month Moving Average) *Benchmark: 1-5 Year Govt/Corp A-AAA (24 Month Moving Average), changed 8/1/13 Duration 0.45 0.40 0.35 0.30 0.25 0.20 0.15 0.10 Core Duration Core Benchmark Duration 2.8 2.7 2.6 2.5 2.4 2.3 Reserve Duration Reserve Benchmark 0.05 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 2.2 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Duration at month-end, after index rebalancing for the next month. Core duration does not include checking accounts. August 31, 2016 26
Portfolio Statistics: Historical Purchase Yields 6.0% 5.5% 5.0% Reserve Total Portfolio Core 4.5% 4.0% 3.5% Percent 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 August 31, 2016 27
Purchase Yield Per 3-Month Maturity Intervals Core Portfolio 2.0% 1.28% Months Purchase Yield % of Portfolio* 0 to 3 0.46% 88.75% 3 to 6 1.21% 8.91% 1.5% 1.21% 6 to 9 1.71% 2.33% 9 to 12 0.00 0.00% Total 0.56% 100.00% Purchase Yield 1.0% 0.5% 0.46% 0.0% Bubble Size = Maturity's % of Portfolio *Based on Par Value -0.5% 0 to 3 Months 3-6 Months 6-9 Months 9-12 Months August 31, 2016 28
Purchase Yield Per 6-Month Maturity Intervals Reserve Portfolio Years Purchase Yield % of Portfolio* 2.0%.5 to 1.0 0.00 0.00% 1.0 to 1.5 0.95% 16.47% 1.8% 1.5 to 2.0 1.24% 14.21% 1.5% 1.45% 2.0 to 2.5 1.45% 16.52% 1.3% 1.24% 2.5 to 3.0 1.52% 11.33% 1.0% 3.0 to 3.5 1.58% 11.47% 0.95% Purchase Yield 2.3% Bubble Size = Maturity's % of Portfolio 1.70% 1.58% 1.52% 1.43% 1.36% 3.5 to 4.0 1.70% 10.16% 0.8% 4.0 to 4.5 1.43% 12.35% 0.5% 4.5 to 5.0+ 1.36% 7.49% 0.3% Total 1.37% 100.00% *Based on Par Value 0.0%.5 to 1 Yrs 1 to 1.5 Yrs 1.5 to 2 Yrs 2 to 2.5 Yrs 2.5 to 3 Yrs 3 to 3.5 Yrs 3.5 to 4 Yrs 4 to 4.5 4.5 to 5+ Yrs Yrs August 31, 2016 29
Purchase Yield Per 6-Month Maturity Intervals Total General Portfolio Years Purchase Yield % of Portfolio* 2.3% 0 to 0.5 0.53% 15.54% Bubble Size = Maturity's % of Portfolio 2.0% 0.5 to 1.0 1.71% 0.37% 1.71% 1.0 to 1.5 0.95% 13.85% 1.8% 1.70% 1.5 to 2.0 1.24% 11.95% 2.0 to 2.5 1.45% 13.89% 2.5 to 3.0 1.52% 9.53% 3.0 to 3.5 1.58% 9.64% Purchase Yield 1.5% 1.3% 1.0% 1.58% 1.52% 1.45% 1.24% 0.95% 1.43% 1.36% 3.5 to 4.0 1.70% 8.54% 0.8% 4.0 to 4.5 1.43% 10.38% 0.5% 0.53% 4.5 to 5+ 1.36% 6.30% 0.3% Total 1.24% 100.00% *Based on Par Value 0.0% -0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0 Years August 31, 2016 30
Portfolio Statistics: Historical Duration 3.0 2.5 2.0 Duration 1.5 Reserve Total Portfolio Core 1.0 0.5 0.0 Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 August 31, 2016 31
Total General Portfolio Statistics: Sector Allocation History 70% 60% 50% 40% 30% 20% 10% Tsy Agy Corp CP Bank/Sweep CDARS MBS Neg. CDS 0% Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Sector Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Tsy 62.8% 62.8% 62.0% 56.9% 58.4% 53.9% 52.5% 50.7% 48.3% 55.6% 57.6% 60.6% Agy 9.7% 10.3% 10.6% 12.3% 9.9% 10.5% 12.4% 12.0% 11.5% 11.9% 11.8% 11.7% Corp 20.6% 20.1% 19.6% 18.1% 17.7% 18.2% 18.3% 16.3% 14.3% 15.2% 15.3% 16.3% CP 6.2% 5.7% 7.2% 11.9% 13.3% 16.1% 15.9% 20.0% 24.8% 16.3% 14.3% 10.4% Neg. CDs 0.0% 0.0% 0.0% 0.0% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.3% 0.3% CDARS 0.1% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Bank 0.6% 1.1% 0.6% 0.8% 0.6% 1.2% 0.8% 0.9% 0.8% 0.8% 0.7% 0.7% 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 August 31, 2016 32
Portfolio Statistics: Monthly Total Return 0.05% Core vs Benchmark 0.00% Reserve vs Benchmark 0.04% -0.05% Percent Variance 0.03% 0.02% 0.01% Percent Variance -0.10% -0.15% -0.20% -0.25% 0.00% Core Benchmark -0.30% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.04% 0.02% 0.02% Monthly Performance -0.27% -0.27% 0.00% *Core Benchmark: 3 Month T-Bill (G0O1 BofA/Merrill Index) *Reserve Benchmark: 1-5 Year Govt/U.S. Corp A-AAA (BU10 BofA/Merrill Index) Attribution of Sub-Sector Returns Sector Core Benchmark Treasury 0.03% 0.02% Attribution of Sub-Sector Weighted Returns Variance Agency 0.02% 0.00% Treasury -0.30% 0.72-0.31% 0.80 0.03% Corporate 0.04% 0.00% Agy/Muni -0.25% 0.10-0.16% 0.06-0.02% Corporate -0.13% 0.18-0.08% 0.14-0.01% 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 August 31, 2016 33
Total Return Performance: Core vs. Benchmark 1.40% 1.20% Core Index 1.25% 1.00% 0.96% 0.80% 0.60% 0.44% 0.40% 0.23% 0.25% 0.25% 0.20% 0.00% 0.12% 0.09% 0.10% 0.09% 0.08% 0.04% 0.05% 0.02% 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 0.04% 0.12% 0.08% 0.44% 0.25% 0.25% 1.25% 0.02% 0.09% 0.05% 0.23% 0.10% 0.09% 0.96% 0.02% 0.03% 0.03% 0.21% 0.15% 0.16% 0.29% *Core Benchmark: 3 Month T-Bill (G0O1) August 31, 2016 34
Total Return Performance: Reserve vs. Benchmark 3.50% 3.00% Reserve Index 3.29% 3.13% 2.50% 2.14% 2.07% 2.00% 1.73% 1.70% 1.50% 1.27% 1.33% 1.00% 0.50% 0.64% 0.67% 0.00% -0.50% -0.27% -0.27% -0.25% -0.26% 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 -0.27% 0.64% -0.25% 2.14% 1.73% 1.27% 3.29% -0.27% 0.67% -0.26% 2.07% 1.70% 1.33% 3.13% 0.00% -0.03% 0.01% 0.07% 0.03% -0.06% 0.16% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 August 31, 2016 35
Portfolio Statistics: Historical Total Return 0.3% Performance Variance: Core vs 3 Mon T-bill 0.2% Percent Variance 0.2% 0.1% 0.1% 0.0% FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FYTD 17 FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FYTD 17 Avg Core Portfolio 0.22% 0.22% 0.21% 0.23% 0.16% 0.15% 0.40% 0.08% 0.21% Benchmark* 0.16% 0.19% 0.04% 0.13% 0.07% 0.00% 0.19% 0.05% 0.10% Variance 0.06% 0.03% 0.17% 0.06% 0.03% 0.17% 0.21% 0.03% 0.11% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding August 31, 2016 36
Portfolio Statistics: Historical Total Return 0.3% Performance Variance: Reserve vs 1-5Yr Govt/Corp 0.2% Percent Variance 0.1% 0.0% -0.1% -0.2% -0.3% FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FYTD 17 FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FYTD 17 Avg Reserve Portfolio 5.31% 2.56% 2.38% 0.15% 1.55% 1.38% 2.56% -0.25% 1.96% Benchmark* 5.04% 2.67% 2.36% 0.39% 1.53% 1.39% 2.51% -0.26% 1.95% Variance 0.27% -0.11% 0.02% -0.24% 0.02% -0.01% 0.05% 0.01% 0.00% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Figures may not total due to rounding August 31, 2016 37
Portfolio Statistics: Monthly & FYTD Total Return Core vs 3 Month T-Bill Index Monthly Performance Comparison FYTD Performance Variance 0.05% Core 0.04% 0.04% Benchmark 0.03% 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 Core 0.04% 0.04% Benchmark 0.03% 0.02% Variance 0.01% 0.02% Monthly Performance Fiscal YTD Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.04% 0.08% Benchmark 0.03% 0.05% Variance 0.01% 0.03% August 31, 2016 38
Portfolio Statistics: Monthly & FYTD Total Return Reserve vs 1-5 Year Government/Corporate Index Monthly Performance Comparison FYTD Performance Variance 0.04% Reserve Benchmark 0.04% 0.03% 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 0.02% -0.27% Benchmark 0.01% -0.27% Variance 0.01% 0.00% Monthly Performance* Fiscal YTD Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.02% -0.25% Benchmark 0.01% -0.26% Variance 0.01% 0.01% August 31, 2016 39
Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.00% 0.05% -0.05% Reserve Tsy Benchmark Tsy 0.04% -0.10% 0.03% -0.15% -0.20% 0.02% -0.25% 0.01% -0.30% 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 -0.02% -0.22% Benchmark -0.03% -0.25% Mon. Var. 0.01% 0.03% Monthly Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.01% 0.04% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* August 31, 2016 40
Portfolio Attribution: Reserve Agency vs. Benchmark Agency Agency Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.00% Reserve Agy 0.02% Benchmark Agy -0.01% 0.01% 0.00% -0.02% -0.01% -0.03% -0.02% -0.04% 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 0.00% -0.03% Benchmark 0.00% -0.01% 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 Figures may not total due to rounding Fiscal YTD Variance* August 31, 2016 41
Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate Corporate Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.05% 0.04% Reserve Corp Benchmark Corp 0.02% 0.03% 0.01% 0.02% 0.01% 0.00% 0.00% -0.01% -0.01% -0.02% -0.03% 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% -0.02% Benchmark 0.04% -0.01% Mon. Var. 0.00% -0.01% Monthly Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% -0.01% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* August 31, 2016 42
Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA) Monthly Price Return vs Interest Return Monthly Total Return 120 100 Price Return Interest Return 120 100 80 80 Basis Points 60 40 20 0 Basis Points 60 40 20-20 0-40 -20-60 -40 Component Total Return Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Interest 16.9 17.2 16.9 17.2 17.3 16.5 17.4 16.9 17.3 16.8 17.0 17.0 Price 36.4-34.8-41.7-33.8 83.4 6.0 16.1-12.9-30.9 76.1-16.3-43.8 Total 53.3-17.6-24.8-16.6 100.7 22.5 33.5 4.0-13.6 92.9 0.7-26.8 August 31, 2016 43
Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns Index Sector Total Returns 120 100 80 Tsy Agy Corp Govt/Corp Index Basis Points 60 40 20 0-20 -40 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sector Total Returns (Basis Points) Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 AVG Index 53-18 -25-17 101 23 34 4-14 93 1-27 17 Treasury 53-22 -30-15 109 25 23-1 -15 97-4 -31 16 Agency 40-9 -23-16 87 13 29 2-6 66-2 -16 14 Corporate 61 8 4-29 63 14 95 32-10 84 31-8 29 August 31, 2016 44
Reserve vs Index: Sector Allocations % of Portfolio/Index Percent 82% 80% 78% 76% 74% 72% 70% 68% 66% 64% Treasury Allocations: Reserve vs Index Sep-15 Oct-15 Index Reserve Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Percent 22% 21% 20% 19% 18% 17% 16% 15% 14% 13% 12% 11% Corporate Allocations: Reserve vs Index Index Reserve Percent 13% 12% 11% 10% 9% 8% 7% 6% 5% Agency Allocations: Reserve vs Index Index Reserve Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Jun-16 Jul-16 Aug-16 August 31, 2016 45
Effective Duration Allocations: Reserve vs. Benchmark 18% 16% 14% 15.9% 16.5% 15.2% 16.8% 13.7% 14.2% 13.1% 15.3% 12.6% Index Reserve 12% 10% 9.9% 10.6% 10.5% 11.4% 11.2% 8% 6% 5.4% 5.4% 4% 2% 0% 0.0% 0.0% 2.1% 0.1% 0-.50.50-1.00 1.00-1.50 1.50-2.00 2.00-2.50 2.50-3.00 3.00-3.50 3.50-4.00 4.00-4.50 4.50-5.00+ Duration Buckets* *Calculated using market values August 31, 2016 46
Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 14% 12% 11.8% 13.1% 12.2% 10.9% 10.8% 10.8% 10.8% 10.4% Index Treasury Reserve Treasury 10% 9.5% 9.3% 8% 7.9% 8.3% 7.7% 8.1% 6% 4.8% 4% 4.0% 2% 1.4% 0% 0.0% 0.0% 0.0% 0-.50.50-1.00 1.00-1.50 1.50-2.00 2.00-2.50 2.50-3.00 3.00-3.50 3.50-4.00 4.00-4.50 4.50-5.00+ Duration Buckets* *Calculated using market values August 31, 2016 47
Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 5% 4% Index Agency Reserve Agency 3% 2.1% 2.7% 2% 1.6% 1.3% 1.5% 1% 0% 0.0% 0.0% 0.5% 0.0% 0.4% 1.0% 0.8% 0.8% 0.6% 0.7% 0.3% 0.4% 0.2% 0.2% 0.9% 0-.50.50-1.00 1.00-1.50 1.50-2.00 2.00-2.50 2.50-3.00 3.00-3.50 3.50-4.00 4.00-4.50 4.50-5.00+ Duration Buckets* *Calculated using market values August 31, 2016 48
Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% Index Corporate Reserve Corporate 4% 3.1% 3.2% 2.5% 3.1% 3% 2% 1.9% 2.2% 2.6% 1.5% 1.5% 1.3% 2.0% 2.4% 1.8% 1.6% 1% 0% 0.0% 0.0% 0.2% 0.1% 0.4% 0.4% 0-.50.50-1.00 1.00-1.50 1.50-2.00 2.00-2.50 2.50-3.00 3.00-3.50 3.50-4.00 4.00-4.50 4.50-5.00+ Duration Buckets* *Calculated using market values August 31, 2016 49
Total General Portfolio: Credit Quality S&P Moody's S&P Moody's Issuer Market Value % of Port LT Rating LT Rating Issuer Market Value % of Port LT Rating LT Rating U.S. Treasury $4,956,257,710 60.55% AA+ Aaa Emerson Electric $24,097,982 0.29% A A2 FHLB $302,453,328 3.70% AA+ Aaa Coca Cola $22,273,020 0.27% AA- Aa3 FNMA $283,455,450 3.46% AA+ Aaa UnitedHealth Group $21,425,880 0.26% A+ A3 Exxon Mobil $186,564,331 2.28% AA+ Aaa TVA $20,331,400 0.25% AA+ Aaa Microsoft $174,294,406 2.13% AAA Aaa US Bank $20,240,200 0.25% AA- A1 Chevron $106,971,401 1.31% AA- Aa2 Stryker $20,013,000 0.24% A Baa1 Toyota $100,290,993 1.23% AA- Aa3 State Street $16,384,900 0.20% A A1 United Parcel $97,518,296 1.19% A+ Aa3 Costco $16,040,320 0.20% A+ A1 Pfizer $90,251,965 1.10% AA A1 Gilead Sciences $15,452,100 0.19% A A3 Intercontinental Exg $79,806,229 0.98% A A2 Precision Castparts $15,392,700 0.19% AA- A2 JPMorgan Chase & Co $75,753,600 0.93% A- A3 BB&T Corp $15,380,150 0.19% A- A2 IBM $75,724,782 0.93% AA- Aa3 Home Depot $15,338,450 0.19% A A2 IBRD $75,229,300 0.92% AAA Aaa 3M Company $15,220,650 0.19% AA- A1 Berkshire Hathaway $70,407,150 0.86% AA Aa2 Bank of America NA $15,214,800 0.19% A A1 IADB $65,996,000 0.81% AAA Aaa Branch Banking and Trust $15,120,550 0.18% A A1 Wells Fargo Bank* $60,665,249 0.74% NR NR Charles Schwab $15,118,400 0.18% A A2 IFC $59,163,639 0.72% AAA Aaa Intel $15,067,200 0.18% A+ A1 State of California $55,530,816 0.68% AA- Aa3 Sherwin-Williams $15,017,850 0.18% A A3 American Honda $55,509,350 0.68% A+ A1 Walt Disney $14,962,350 0.18% A A2 Caterpillar $53,876,367 0.66% A A2 Public Service Electric $12,224,280 0.15% A Aa3 General Electric $48,307,428 0.59% AA+ A1 Visa $10,296,300 0.13% A+ A1 Wells Fargo & Co $45,842,250 0.56% A A2 Danaher $10,230,900 0.12% A A2 PNC Bank $45,770,400 0.56% A A2 Ralph Lauren $10,162,200 0.12% A A2 Apple $45,591,050 0.56% AA+ Aa1 Philip Morris $10,107,500 0.12% A A2 Bank Tokyo-Mitsubishi $44,565,512 0.54% A+ A1 Wisconsin Electric Power $10,090,400 0.12% A- A1 FHLMC $39,693,400 0.48% AA+ Aaa PACCAR $10,037,700 0.12% A+ A1 Pepsico $38,733,164 0.47% A A1 Texas Instrument $9,986,200 0.12% A+ A1 Morgan Stanley $35,921,071 0.44% BBB+ A3 Target $7,217,420 0.09% A A2 Johnson & Johnson $35,316,800 0.43% AAA Aaa Automatic Data Processing $5,172,200 0.06% AA Aa3 Wells Fargo Bank $35,056,750 0.43% AA- Aa2 Procter & Gamble $5,117,850 0.06% AA- Aa3 Qualcomm $32,649,139 0.40% A+ A1 Daimler $5,083,300 0.06% A- A3 Cisco $30,733,500 0.38% AA- A1 Eli Lilly $5,080,300 0.06% AA- A2 BNP Paribas $28,999,504 0.35% A A1 Merck $5,029,750 0.06% AA A1 Goldman Sachs $27,455,567 0.34% BBB+ A3 Univ of California $5,019,550 0.06% AA Aa2 M&T Trust $26,296,220 0.32% A A2 Medtronic $5,018,700 0.06% A A3 Bank of New York Mellon $25,547,400 0.31% A A1 Southern Cal Edison $5,011,300 0.06% A Aa3 Oracle $25,503,500 0.31% AA- A1 Baxter International $5,008,850 0.06% A- Baa2 John Deere $25,373,800 0.31% A A2 Corning $4,992,600 0.06% BBB+ Baa1 Farmer Mac $25,096,000 0.31% NR NR Mastercard $3,053,790 0.04% A A2 FFCB $25,045,250 0.31% AA+ Aaa Total $8,185,251,060 100.00% *Checking Account August 31, 2016 50
Total General Portfolio Transactions 60 50 40 30 20 10 Buys* Sells** Total Monthly Transactions 0 Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 *Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Buys 22 29 36 30 42 33 38 41 37 51 46 35 Sells 0 0 0 0 0 0 0 0 0 0 0 0 Total 22 29 36 30 42 33 38 41 37 51 46 35 Reserve Transactions Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Buys 9 6 7 4 8 15 4 5 11 4 9 10 Sells 11 7 22 7 3 8 17 8 13 2 3 4 Total 20 13 29 11 11 23 21 13 24 6 12 14 Total Transactions Sep-15 Oct-15 Nov-15 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Buys 31 35 43 34 50 48 42 46 48 55 55 45 Sells 11 7 22 7 3 8 17 8 13 2 3 4 Total 42 42 65 41 53 56 59 54 61 57 58 49 August 31, 2016 51
Portfolio Transactions: Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 8/1/16 Microsoft Corp 8/8/21 10,000,000 Buy 8/3/16 FHLB Note Agy 8/5/19 25,000,000 Buy 8/4/16 Caterpillar Corp 8/9/21 10,000,000 Buy 8/8/16 Berkshire Hathaway Corp 8/15/19 10,000,000 Buy 8/8/16 Berkshire Hathaway Corp 8/15/18 10,000,000 Buy 8/11/16 FHLMC Note Agy 8/12/21 10,000,000 Buy 8/11/16 FHLMC Note Agy 8/12/21 10,000,000 Buy 8/29/16 BB&T Corp Corp 8/15/17 5,000,000 Sell 8/29/16 Philip Morris Corp 8/11/17 6,000,000 Sell 8/31/16 U.S. Treasury Note Tsy 8/31/21 55,000,000 Buy 8/31/16 U.S. Treasury Note Tsy 12/31/20 50,000,000 Buy 8/31/16 U.S. Treasury Note Tsy 2/28/21 105,000,000 Buy 8/31/16 U.S. Treasury Note Tsy 8/31/17 125,000,000 Sell 8/31/16 FHLMC Note Agy 9/29/17 25,000,000 Sell *"Transfer" is from Reserve to Core August 31, 2016 52
Portfolio Transactions: Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 8/1/16 Emerson Electric CP 9/9/16 24,100,000 Buy 8/1/16 Toyota CP 9/14/16 30,000,000 Buy 8/1/16 Exxon Mobil CP 8/4/16 20,000,000 Buy 8/1/16 Exxon Mobil CP 8/2/16 20,000,000 Buy 8/2/16 Bank of New York Mellon CP 8/8/16 23,608,000 Buy 8/3/16 Microsoft CP 10/12/16 25,000,000 Buy 8/3/16 Microsoft CP 9/27/16 25,000,000 Buy 8/3/16 Exxon Mobil CP 10/6/16 18,000,000 Buy 8/4/16 Exxon Mobil CP 9/29/16 28,000,000 Buy 8/8/16 Exxon Mobil CP 8/12/16 30,263,000 Buy 8/9/16 Bank of New York Mellon CP 8/15/16 44,298,000 Buy 8/9/16 Bank of New York Mellon CP 8/12/16 20,000,000 Buy 8/10/16 Caterpillar CP 10/4/16 28,725,000 Buy 8/11/16 Bank of New York Mellon CP 8/12/16 28,495,000 Buy 8/12/16 United Parcel CP 10/12/16 37,853,000 Buy 8/12/16 Bank of New York Mellon CP 8/15/16 25,000,000 Buy 8/15/16 Qualcomm CP 9/28/16 17,215,000 Buy 8/16/16 U.S. Treasury Bill Tsy 8/18/16 24,674,000 Buy 8/16/16 FHLB DN Agy 8/17/16 15,000,000 Buy 8/17/16 Pepsico CP 9/8/16 16,275,000 Buy 8/17/16 Pfizer CP 10/12/16 55,000,000 Buy 8/18/16 Bank of New York Mellon CP 8/19/16 24,200,000 Buy 8/19/16 BNP Paribas CP 8/23/16 20,000,000 Buy 8/19/16 Intercontinental Exg CP 10/12/16 35,549,000 Buy 8/23/16 Bank Tokyo-Mitsubishi CP 9/1/16 19,557,000 Buy 8/23/16 Nike CP 8/25/16 22,000,000 Buy 8/24/16 Bank Tokyo-Mitsubishi CP 9/1/16 25,009,000 Buy 8/24/16 Cargill CP 8/25/16 16,900,000 Buy 8/25/16 Bank of New York Mellon CP 8/31/16 35,942,000 Buy 8/26/16 Bank of New York Mellon CP 8/31/16 19,286,000 Buy 8/29/16 Pepsico CP 10/11/16 15,350,000 Buy 8/29/16 BNP Paribas CP 9/2/16 29,000,000 Buy *"Transfer" is from Reserve to Core August 31, 2016 53
Portfolio Transactions: Core Portfolio (continued) Trade Date Issuer Type Maturity Date Par Amount Action* 8/29/16 BNP Paribas CP 8/31/16 66,000,000 Buy 8/30/16 United Parcel CP 10/26/16 40,253,000 Buy 8/31/16 United Parcel CP 10/31/16 19,465,000 Buy *"Transfer" is from Reserve to Core August 31, 2016 54