Presentation to the City of Los Angeles Investment Advisory Committee August 31, 2014
Economic Update-Overall Economy 8 U.S. GDP (Quarter over Quarter Annualized)* Percent 6 4 2 0-2 -4 3.2 0.2 3.1 2.7 1.4-2.7 2.0-1.9-0.5 1.3 3.9 1.7 3.9 2.7 2.5-1.5 2.9 0.8 4.6 2.3 1.6 2.5 0.1 2.7 1.8 4.5 3.5-2.1 4.2 3.0 3.0 3.0 3.0-6 -8-10 -8.2-5.4-12 Q4 2006 Q1 2007 Q2 2007 Q3 2007 Q4 2007 Q1 2008 Q2 2008 Q3 2008 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 * Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 8/31/14 August 31, 2014 2
Economic Update-Employment Monthly Non-Farm Payrolls Unemployment Rates 600 500 Census Hiring 13 12 California LA Area U.S.A 400 11 Thousands 300 200 100 0-100 -200 Feb-10 May-10 Aug-10 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 12 Month Average Monthly Job Change: 206,833 Percent 10 9 8 7 6 5 Feb-10 May-10 Aug-10 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 *Los Angeles area unemployment is not seasonally adjusted. Data Source: Bloomberg August 31, 2014 3
Economic Update-Consumer Activity 7 U.S. Retail Sales* YOY % Change $470 Total Monthly U.S. Retail Sales 6 $450 5 $430 Percent 4 3 Billions $410 $390 2 $370 1 $350 0 Feb-10 May-10 Aug-10 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 $330 Feb-10 May-10 Aug-10 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 *Inflation Adjusted Data Source: Bloomberg August 31, 2014 4
Economic Update-Inflation Percent 4.5 4 3.5 3 2.5 2 1.5 1 0.5 CPI and CPIX* YOY % Change CPI CPIX Sector YOY % Price Changes Education 3.2 Shelter 2.9 Services 2.5 Food 2.5 Wages 2.1 CPI 1.7 Energy 0.2 Communication -0.5 0 Feb-10 May-10 Aug-10 Nov-10 Feb-11 May-11 Aug-11 Nov-11 Feb-12 May-12 Aug-12 Nov-12 Feb-13 May-13 Aug-13 Nov-13 Feb-14 May-14 Aug-14 *CPIX: Consumer Price Index, excluding food and energy Apparel -1.0-2 -1 0 1 2 3 4 Percent Data Source: Bloomberg August 31, 2014 5
Economic Update-Dollar and Commodities 94 Dollar Index $2,000 Gold and Oil $160 Index Value 92 90 88 86 84 82 80 78 76 74 72 Gold-Per Ounce $1,800 $1,600 $1,400 $1,200 $1,000 $800 $600 $400 $200 Gold Oil $140 $120 $100 $80 $60 $40 $20 70 Mar-06 Sep-06 Mar-07 Sep-07 Mar-08 Sep-08 Mar-09 Sep-09 Mar-10 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Oil-Per Barrel $0 $0 Mar-06 Sep-06 Mar-07 Sep-07 Mar-08 Sep-08 Mar-09 Sep-09 Mar-10 Sep-10 Mar-11 Sep-11 Mar-12 Sep-12 Mar-13 Sep-13 Mar-14 Data Source: Bloomberg August 31, 2014 6
Economic Update-Sector Returns YTD As of: 8/31/14 25 21.4 20 19.0 15 Percent 10 5 0 0.0 0.3 0.4 0.4 0.6 1.4 1.7 2.0 2.7 4.7 5.1 6.4 7.0 9.3 9.7 10.1 11.2 11.7-1.1-5 Data Source: Bloomberg August 31, 2014 7
Economic Update-S&P 500 Returns As of: 8/31/14 18 YTD S&P 500 Major Sector Returns 16 15.9 16.0 14 12.6 13.7 12 Percent 10 8 7.7 10.3 6 4 3.1 3.6 4.3 6.3 2 0 Data Source: Bloomberg August 31, 2014 8
Economic Update-Yield Curve FYTD 4.0 3.5 3.0 2.5 6/30/14 8/29/14 U.S. Treasury Yield Curve Maturity 6/30/14 8/29/14 Change 3M 0.02 0.02 0.00 6M 0.06 0.05-0.02 1Y 0.10 0.09-0.02 Percent 2.0 1.5 1.0 2Y 0.46 0.49 0.03 3Y 0.87 0.93 0.06 5Y 1.63 1.63-0.01 0.5 0.0 3M6M 1Y 2Y 3Y 5Y 10Y 30Y 10Y 2.53 2.34-0.19 30Y 3.36 3.08-0.28 Data Source: Bloomberg August 31, 2014 9
Economic Update-Interest Rates U.S. Treasury Yields: 3M and 1Y U.S. Treasury Yields: 2Y and 5Y 0.25 0.20 1Y 3M 2.00 1.75 5Y 2Y 1.50 0.15 1.25 Percent 0.10 Percent 1.00 0.05 0.75 0.50 0.00 0.25-0.05 Aug-11 Oct-11 Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 0.00 Aug-11 Oct-11 Dec-11 Feb-12 Apr-12 Jun-12 Aug-12 Oct-12 Dec-12 Feb-13 Apr-13 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Data Source: Bloomberg August 31, 2014 10
Economic Update-Agency and Corporate Spreads Basis Point Spread 200 180 160 140 120 100 80 60 40 20 0 Spread*: 1-5 Yr Agency vs Treasury 6 Basis Point Spread 700 650 600 550 500 450 400 350 300 250 200 150 100 50 0 Spread*: 1-5 Yr Corporate vs Treasury 50 Jan-08 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 Jan-08 May-08 Sep-08 Jan-09 May-09 Sep-09 Jan-10 May-10 Sep-10 Jan-11 May-11 Sep-11 Jan-12 May-12 Sep-12 Jan-13 May-13 Sep-13 Jan-14 May-14 *BofA/Merrill Index (option adjusted spread vs. Treasury) Agency (GVP0) *BofA/Merrill Index (option adjusted spread vs. Treasury) Corporate A-AAA (CV10) Data Source: Bloomberg August 31, 2014 11
Summary Portfolio Characteristics Market Value Par Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $1,287,411,751 -- $6,251,019,095 -- $1,284,701,414 -- $6,169,079,000 -- Total General Portfolio $7,538,430,846 $7,453,780,414 Variance $2,710,337 -- $81,940,095 -- $84,650,432 Mkt Value % of Total 17% -- 83% -- 100% Average Maturity (Yrs)** 0.11 0.24 2.77 2.84 2.32 Effective Duration** Weighted Purchase Yield## 0.10 0.24 2.69 2.72 0.51% -- 1.20% -- 2.25 1.08% *Core Benchmark: 3 Month T-Bill (G0O1 BofA/Merrill Index) #Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10 BofA Merrill Index) **Average Maturity and Duration after rebalancing for the indexes--portfolios based upon trade date holdings, Core Average Maturity includes checking ## Weighted Purchase Yield for Core does not include checking August 31, 2014 12
Total General Portfolio: Maturity Distribution 30% 25% 20% 15% 8/31/14 7/31/14 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+ 8/31/14 14.6% 0.9% 1.5% 27.0% 23.7% 17.6% 14.7% 7/31/14 18.2% 0.9% 1.6% 23.2% 25.6% 16.9% 13.6% Variance -3.6% 0.1% -0.2% 3.8% -1.9% 0.6% 1.1% August 31, 2014 13
Total General Portfolio: Sector Allocations Sector 8/31/2014 7/31/2014 Variance Bank Deposits 0.7% 0.3% 0.4% CDARS 0.1% 0.1% 0.0% August 31, 2014 Bank 0.7% CDARS 0.1% CP 10.7% Commercial Paper 10.7% 10.1% 0.6% Corporate Notes 20.0% 18.7% 1.3% MMFs Negotiable CDs 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% Tsy 55.6% CORP 20.0% Federal Agencies Treasuries 12.9% 55.6% 17.4% -4.5% 53.4% 2.2% Agy 12.9% Total 100.0% 100.0% Figures may not total due to rounding August 31, 2014 14
Sector Allocations - Core Portfolio Core Portfolio Sector 8/31/2014 7/31/2014 Variance Bank Deposits 4.2% 1.6% 2.7% CDARS 0.5% 0.4% 0.1% Commercial Paper 62.5% 48.6% 13.9% Corporate Notes 15.6% 12.5% 3.1% MMFs 0.0% 0.0% 0.0% Negotiable CDs 0.0% 0.0% 0.0% Federal Agencies 17.1% 36.9% -19.8% Corp 15.6% August 31, 2014 Agy 17.1% Bank Dep 4.2% CDARS 0.5% CP 62.5% Treasuries 0.0% Total 100.0% 0.0% 0.0% 100.0% Figures may not total due to rounding August 31, 2014 15
Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 3.0% Bubble size = Sector's % of Portfolio 2.5% Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* Corporate 0.45 2.34% 16.3% Commercial Paper 0.03 0.10% 65.8% Agency 0.14 0.33% 17.8% Purchase Yield 2.0% 1.5% 1.0% Treasury 0.00 0.00% 0.0% Total 0.12 0.51% 100.0% 0.5% 0.0% CP Agy *Based on Market Value -0.5% -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, 2014 16
Sector Allocations - Reserve Portfolio Reserve Portfolio Sector 8/31/2014 7/31/2014 Variance August 31, 2014 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 20.9% 20.3% 0.6% Corp 20.9% MMFs 0.0% 0.0% 0.0% Negotiable CDs 0.0% 0.0% 0.0% Federal Agencies 12.0% 12.3% -0.2% Treasuries 67.1% 67.4% -0.3% Total 100.0% 100.0% Tsy 67.1% Agy 12.0% Figures may not total due to rounding August 31, 2014 17
Sector Allocations: Purchase Yield vs. Weighted Average Maturity Reserve Portfolio 2.00% Bubble size = Sector's % of Portfolio 1.75% Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 1.50% Treasury Agency Corporate 2.72 2.71 2.98 1.02% 1.23% 1.75% 67.1% 12.0% 20.9% Purchase Yield 1.25% 1.00% Agy Tsy Total 2.77 1.20% 100.0% *Based on Market Value 0.75% 0.50% 0.0 1.0 2.0 3.0 WAM Years Figures may not total due to rounding August 31, 2014 18
Core and Reserve Market Values Month End Market Values $3.0 Core* $7.0 Reserve $2.5 $6.5 $6.0 Billions $2.0 $1.5 $1.0 $0.5 $0.0 Jul-06 Dec-06 May-07 Oct-07 Mar-08 Aug-08 Jan-09 Jun-09 Nov-09 Apr-10 Sep-10 Feb-11 Jul-11 Dec-11 May-12 Oct-12 Mar-13 Aug-13 Jan-14 Jun-14 Billions $5.5 $5.0 $4.5 $4.0 $3.5 $3.0 $2.5 $2.0 Jul-06 Dec-06 May-07 Oct-07 Mar-08 Aug-08 Jan-09 Jun-09 Nov-09 Apr-10 Sep-10 Feb-11 Jul-11 Dec-11 May-12 Oct-12 Mar-13 Aug-13 Jan-14 Jun-14 *Core's market value includes checking accounts August 31, 2014 19
Total General Portfolio: Market Value Total General Portfolio Market Value $8.5 $8.0 $7.5 $7.0 Billions $6.5 $6.0 $5.5 $5.0 $4.5 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 August 31, 2014 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 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 August 31, 2014 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 Complies Complies Complies-none in portfolio Complies-none in portfolio Complies-none in portfolio *The City's Investment Policy and Investment guidelines allow for purchases of securities with longer maturities than those listed above for funds with longer investment/cash flow horizons. August 31, 2014 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% $50 Million Per Account Compliance Complies Complies Complies Complies-none in portfolio Complies Complies Complies Complies-none in portfolio Complies-none in portfolio Complies-none in portfolio Complies Complies Complies-none in portfolio August 31, 2014 23
Portfolio Compliance with Code, Policy, and Guidelines Issuer and Transaction Limitations -- Approved Issuers Item Limit Compliance Federal Agency Issuer 30% 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 August 31, 2014 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: 2.69 vs 2.72 August 31, 2014 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 0% Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 *Benchmark: 3 Month T-Bill (3 Month Moving Average) *Benchmark: 1-5 Year Govt/Corp A-AAA (24 Month Moving Average), changed 8/1/13 Duration 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 2.2 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Duration at month-end, after index rebalancing for the next month. Core duration does not include checking accounts. August 31, 2014 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 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 August 31, 2014 27
Purchase Yield Per 6-Month Maturity Intervals Reserve Portfolio 2.5% Bubble Size = Maturity's % of Portfolio Years 1 to 1.5 Purchase Yield 1.16% % of Portfolio* 13.77% 2.0% 1.87% 1.5 to 2 2 to 2.5 2.5 to 3 3 to 3.5 3.5 to 4 1.26% 0.86% 0.95% 0.87% 1.42% 16.27% 17.67% 11.27% 12.68% 8.36% Purchase Yield 1.5% 1.0% 1.16% 1.26% 0.86% 0.95% 0.87% 1.42% 1.63% 4 to 4.5 1.63% 11.65% 0.5% 4.5 to 5+ 1.87% 8.33% *Based on Par Value 0.0% 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 Yrs 4.5 to 5+ Yrs August 31, 2014 28
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 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 August 31, 2014 29
Total General Portfolio Statistics-Sector Allocation History 70% 60% 50% 40% 30% 20% 10% Tsy Agy Corp CP Cash/Sweep CDARS MBS 0% Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Apr-11 Jul-11 Oct-11 Jan-12 Apr-12 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Sector Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Tsy 59.1% 59.8% 59.6% 53.9% 52.3% 56.4% 55.8% 55.4% 54.2% 53.5% 53.4% 55.6% Agy 14.6% 14.0% 13.8% 11.4% 12.2% 11.5% 11.6% 14.5% 16.9% 16.4% 17.4% 12.9% Corp 20.3% 20.1% 20.3% 18.3% 20.9% 18.2% 18.8% 19.2% 18.1% 18.4% 18.7% 20.0% CP 4.8% 5.0% 4.0% 9.4% 13.9% 12.6% 11.9% 10.0% 10.1% 10.8% 10.1% 10.7% CDARS 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% Bank 1.1% 1.0% 2.1% 6.9% 0.7% 1.2% 1.8% 0.8% 0.7% 0.9% 0.3% 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, 2014 30
Portfolio Statistics-Monthly Total Return 0.05% Core vs Benchmark 0.40% Reserve vs Benchmark 0.04% 0.35% 0.30% Percent Variance 0.03% 0.02% 0.01% Percent Variance 0.25% 0.20% 0.15% 0.10% 0.05% 0.00% Core Benchmark 0.00% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.01% 0.00% 0.01% Monthly Performance 0.35% 0.35% 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 Attribution of Sub-Sector Returns Sector Core Benchmark Variance Sector Reserve Benchmark Variance Treasury 0.00% 0.00% 0.00% Treasury 0.34% 0.35% -0.01% Agency 0.01% 0.00% 0.01% Agency 0.30% 0.24% 0.06% Corporate 0.01% 0.00% 0.01% Corporate 0.39% 0.41% -0.02% Benchmark Sector Returns are calculated by FTN Financial Main Street using the subsector returns of the BU10 index. August 31, 2014 31
Portfolio Statistics-Historical Total Return 1.4% 1.2% Performance Variance: Core vs 3 Mon T-bill Percent Variance 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15 FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15 Avg Core Portfolio 4.32% 2.22% 0.22% 0.22% 0.21% 0.23% 0.16% 0.02% 0.95% Benchmark* 3.36% 0.95% 0.16% 0.19% 0.04% 0.13% 0.07% 0.00% 0.61% Variance 0.96% 1.27% 0.06% 0.06% 0.03% 0.17% 0.09% 0.02% 0.34% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding August 31, 2014 32
Portfolio Statistics-Historical Total Return 1.2% 1.0% Performance Variance: Reserve vs 1-5Yr Govt/Corp Percent Variance 0.8% 0.6% 0.4% 0.2% 0.0% -0.2% -0.4% FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15 FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15 Avg Core Portfolio 7.93% 5.87% 5.31% 2.56% 2.38% 0.15% 1.55% 0.13% 3.24% Benchmark* 7.37% 4.89% 5.04% 2.67% 2.36% 0.39% 1.53% 0.13% 3.05% Variance 0.56% 0.98% 0.27% -0.11% 0.02% -0.24% 0.02% 0.00% 0.19% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Figures may not total due to rounding August 31, 2014 33
Portfolio Statistics-Monthly & FYTD Total Return Core vs 3 Month T-Bill Index Monthly Performance Comparison FYTD Performance Variance 0.05% Core 0.12% 0.04% Benchmark 0.10% 0.03% 0.08% 0.06% 0.02% 0.04% 0.01% 0.02% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.01% 0.01% Benchmark 0.00% 0.00% Variance 0.01% 0.01% Monthly Performance Fiscal YTD Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.01% 0.02% Benchmark 0.00% 0.00% Variance 0.01% 0.02% August 31, 2014 34
Portfolio Statistics-Monthly & FYTD Total Return Reserve vs 1-5 Year Government/Corporate Index Monthly Performance Comparison FYTD Performance Variance 0.40% 0.30% Reserve Benchmark 0.10% 0.20% 0.05% 0.10% 0.00% 0.00% -0.10% -0.05% -0.20% -0.30% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.10% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.22% 0.35% Benchmark -0.22% 0.35% Variance 0.00% 0.00% Monthly Performance* Fiscal YTD Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.22% 0.13% Benchmark -0.22% 0.13% Variance 0.00% 0.00% *The benchmark index for the Reserve Portfolio was changed August 1, 2013 August 31, 2014 35
Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.40% 0.30% Reserve Tsy Benchmark Tsy 0.12% 0.10% 0.20% 0.10% 0.08% 0.06% 0.04% 0.00% 0.02% -0.10% -0.20% 0.00% -0.02% -0.04% -0.30% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.06% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.23% 0.34% Benchmark -0.23% 0.35% Mon. Var. 0.00% -0.01% Monthly Variance* Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% -0.01% *The benchmark index for the Reserve Portfolio was changed August 1, 2013 August 31, 2014 36
Portfolio Attribution: Reserve Agency vs. Benchmark Agency Agency Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.40% Reserve Agy 0.08% 0.30% Benchmark Agy 0.06% 0.20% 0.10% 0.04% 0.02% 0.00% 0.00% -0.02% -0.10% -0.20% -0.04% -0.06% -0.08% -0.30% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.10% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.23% 0.30% Benchmark -0.15% 0.24% Mon. Var. -0.08% 0.06% Monthly Variance* Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. -0.08% 0.06% *The benchmark index for the Reserve Portfolio was changed August 1, 2013 August 31, 2014 37
Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate Corporate Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.50% 0.40% 0.30% Reserve Corp Benchmark Corp 0.08% 0.06% 0.20% 0.04% 0.10% 0.02% 0.00% -0.10% -0.20% 0.00% -0.02% -0.30% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun -0.04% 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 -0.20% 0.39% Benchmark -0.20% 0.41% Mon. Var. 0.00% -0.02% Monthly Variance* Fiscal YTD Variance* Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% -0.02% *The benchmark index for the Reserve Portfolio was changed August 1, 2013 August 31, 2014 38
Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA) Monthly Price Return vs Interest Return Monthly Total Return 60 60 40 40 20 20 Basis Points 0-20 -40 Basis Points 0-20 -60-80 Price Return Interest Return -40-60 Component Total Return Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Interest 16.6 16.8 16.3 16.9 17.0 15.8 16.9 16.6 16.9 16.6 16.9 17.0 Price 37.0 13.9-2.2-62.3 29.0 1.1-47.3 10.1 24.8-24.9-38.5 17.9 Total 53.6 30.7 14.1-45.4 46.0 16.9-30.4 26.7 41.7-8.3-21.6 34.9 *The benchmark index for the Reserve Portfolio was changed August 1, 2013 August 31, 2014 39
Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns 80 Index Sector Total Returns 60 40 Basis Points 20 0-20 -40 Tsy Agy Corp Govt/Corp Index -60 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sector Total Returns (Basis Points) Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 AVG Index 54 33 14-45 46 17-30 27 42-8 -22 35 13 Treasury 51 25 12-47 43 14-32 24 40-10 -23 35 11 Agency 51 34 15-37 43 16-22 28 33-6 -15 24 14 Corporate 72 66 27-36 66 34-27 39 56 0-20 41 27 *The benchmark index for the Reserve Portfolio was changed August 1, 2013 August 31, 2014 40
Reserve vs Index: Sector Allocations % of Portfolio/Index Percent 80% 76% 72% 68% Treasury Allocations: Reserve vs Index Index Reserve 64% 60% Sep-13 Percent Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 24% 22% 20% 18% 16% 14% 12% 10% 8% Corporate Allocations: Reserve vs Index Index Reserve Percent 22% 20% 18% 16% 14% 12% 10% 8% 6% Agency Allocations: Reserve vs Index Index Reserve Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 May-14 Jun-14 Jul-14 Aug-14 *The benchmark index for the Reserve Portfolio was changed August 1, 2013 August 31, 2014 41
Effective Duration Allocations: Reserve vs. Benchmark 20% 18% 16% 14% 14.6% 14.4% 16.1% 18.5% 14.5% 15.9% 13.6% 14.1% 12.5% Index Reserve 12% 10% 10.9% 10.5% 10.8% 11.0% 9.9% 8% 6% 5.8% 5.4% 4% 2% 0% 0.0% 0.0% 1.5% 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, 2014 42
Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 16% 14% 12% 10% 11.1% 9.3% 13.1% 14.2% 11.7% 10.0% 10.4% 10.1% 8.8% 8.5% Index Treasury Reserve Treasury 8.8% 8% 7.4% 7.7% 6% 5.8% 5.3% 4% 2.6% 2% 0% 0.0% 0.0% 1.1% 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, 2014 43
Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 5% 4% Index Agency Reserve Agency 3% 2.9% 1.6% 2.3% 2% 1.5% 1.3% 1.3% 1.3% 1.7% 1.3% 1% 1.0% 0.8% 1.0% 0.8% 0% 0.0% 0.0% 0.3% 0.0% 0.4% 0.3% 0.2% 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, 2014 44
Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% Index Corporate Reserve Corporate 4% 3% 2.8% 3.1% 3.0% 2.7% 2.7% 2.8% 2% 1.8% 1.5% 1.5% 1.9% 2.3% 1.6% 2.1% 1.9% 2.0% 1% 0% 0.0% 0.0% 0.1% 0.0% 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, 2014 45
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 $4,194,639,780 55.64% AA+ Aaa Home Depot $15,135,900 0.20% A A2 FNMA $412,911,650 5.48% AA+ Aaa Merck & Co $14,994,950 0.20% AA A2 FHLB $288,595,450 3.83% AA+ Aaa Intel $14,990,850 0.20% A+ A1 Bank Tokyo-Mitsubishi $279,509,306 3.71% A-1 P-1 Sherwin-Williams $14,971,800 0.20% A- A3 General Electric $234,247,525 3.11% AA+ A1 Texas Instrument $14,952,050 0.20% A+ A1 FHLMC $177,497,750 2.35% AA+ Aaa Public Service Electric $12,003,720 0.16% A Aa3 BNP Paribas $168,995,715 2.24% A-1 P-1 Pepsico $10,309,000 0.14% A- A1 Toyota $146,135,485 1.94% AA- Aa3 Wal-Mart $10,168,400 0.13% AA Aa2 Exxon Mobil $133,096,982 1.77% AAA Aaa Daimler Finance $10,155,400 0.13% A- A3 Wells Fargo $130,569,246 1.73% A+ A2 Colgate-Palmolive $10,114,700 0.13% AA- Aa3 JP Morgan $110,395,350 1.46% A A3 Charles Schwab $10,100,500 0.13% A A2 Honda $60,981,650 0.81% A+ A1 Cisco Systems $10,050,750 0.13% AA- A1 Wells Fargo Bank* $54,556,414 0.72% Walt Disney $10,040,100 0.13% A A2 John Deere $51,677,340 0.69% A A2 Baxter International $10,035,450 0.13% A- A3 AT&T $50,626,250 0.67% A- A3 Wisconsin Electric Power $10,006,000 0.13% A- A1 Berkshire Hathaway $48,748,400 0.65% AA Aa2 Univ Of California $9,993,700 0.13% AA Aa2 TVA $45,933,950 0.61% AA+ Aaa Apple $9,803,700 0.13% AA+ Aa1 Praxair $45,339,561 0.60% A A2 Philip Morris $8,869,290 0.12% A A2 Caterpillar $38,517,310 0.51% A A2 Becton Dickinson $8,146,080 0.11% A A3 BB&T** $37,089,210 0.49% A- A2 Altera $8,098,139 0.11% A- Baa1 Microsoft Corp $35,229,400 0.47% AAA Aaa NYSE Euronext $7,109,620 0.09% A A3 3M Company $34,794,450 0.46% AA- Aa2 Target $7,072,240 0.09% A A2 American Express $32,171,030 0.43% A- A2 Monsanto $6,999,020 0.09% BBB+ A3 Coca Cola $32,082,640 0.43% AA Aa3 State Street $5,938,140 0.08% A+ A1 Goldman Sachs $30,489,200 0.40% A- Baa1 Google $5,134,450 0.07% AA Aa2 US Bancorp $30,372,600 0.40% A+ A1 Procter & Gamble $5,085,250 0.07% AA- Aa3 Oracle $30,008,400 0.40% A+ A1 United Health Group $5,018,500 0.07% A A3 Manufactures & Traders $26,100,680 0.35% A A2 PNC $5,014,900 0.07% A A2 Johnson & Johnson $25,498,250 0.34% AAA Aaa Eli Lilly $5,013,350 0.07% AA- A2 General Dynamics $25,358,150 0.34% A A2 Southern Company $5,004,400 0.07% A A3 IBM $25,202,350 0.33% AA- Aa3 Proamerica Bank $5,000,000 0.07% Pfizer $24,990,600 0.33% AA A1 Air Products & Chemicals $3,068,640 0.04% A A2 Blackrock $24,762,603 0.33% AA- A1 Intercontinental Exg. $3,065,700 0.04% A A3 Medtronic $20,408,450 0.27% AA- A2 United Tech $3,053,370 0.04% A A2 State of California $20,237,000 0.27% A Aa3 Mastercard $3,002,160 0.04% A A2 PACCAR $20,142,500 0.27% A+ A1 National Oilwell Varco $2,997,720 0.04% A- A2 Stryker $19,772,800 0.26% A+ A3 California United Bank $1,000,000 0.01% Ebay $18,074,560 0.24% A A2 Manufacturers Bank $1,000,000 0.01% FFCB $17,251,940 0.23% AA+ Aaa Total $7,538,430,846 100.00% Chevron $17,020,660 0.23% AA Aa1 Costco $15,880,320 0.21% A+ A1 *Checking Account **Parent Company Rating August 31, 2014 46
Total General Portfolio Transactions 90 80 70 60 50 40 30 20 10 0 Total Monthly Transactions Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Buys* Sells** *Buys: Core-Includes transfers from Reserve **Sales: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Buys 59 61 46 56 63 52 58 43 54 52 72 42 Sales 0 0 0 0 0 0 0 0 0 0 0 0 Total 38 55 29 27 24 50 60 52 58 43 52 42 Reserve Transactions Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Buys 7 7 6 6 9 5 6 4 8 7 7 10 Sales 5 5 2 6 4 8 12 5 6 5 5 4 Total 11 19 15 10 20 16 12 13 18 9 12 14 Total Transactions Sep-13 Oct-13 Nov-13 Dec-13 Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Buys 66 68 52 62 72 57 64 47 62 59 79 52 Sales 5 5 2 6 4 8 12 5 6 5 5 4 Total 71 73 54 68 76 65 76 52 68 64 84 56 August 31, 2014 47
Portfolio Transactions-Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 8/6/14 Public Service Electric Note 8/15/19 12,000,000 Buy 8/6/14 FHLB Note 9/28/16 20,000,000 Buy 8/7/14 Berkshire Hathaway Note 8/14/19 10,000,000 Buy 8/7/14 BB&T Note 10/1/17 10,000,000 Buy 8/12/14 American Express Note 8/15/19 15,000,000 Buy 8/13/14 Caterpillar Note 8/18/17 5,000,000 Buy 8/26/14 AT&T Note 8/15/15 3,298,000 Sell 8/29/14 U.S. Treasury Note 8/31/19 35,000,000 Buy 8/29/14 U.S. Treasury Note 1/31/19 50,000,000 Buy 8/29/14 U.S. Treasury Note 11/30/18 50,000,000 Buy 8/29/14 U.S. Treasury Note 6/15/16 30,000,000 Buy 8/29/14 U.S. Treasury Note 8/31/15 85,000,000 Sell 8/29/14 U.S. Treasury Note 8/31/15 50,000,000 Sell 8/29/14 FHLMC Note 2/22/17 25,000,000 Sell *"Transfer" is from Reserve to Core August 31, 2014 48
Portfolio Transactions-Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 8/1/14 Deutsche Bank CP 8/5/14 34,844,000 Buy 8/4/14 Deutsche Bank CP 8/11/14 21,665,000 Buy 8/4/14 MUFG Union Bank CP 8/7/14 40,000,000 Buy 8/4/14 MUFG Union Bank CP 8/6/14 35,000,000 Buy 8/5/14 Societe Generale CP 8/12/14 76,957,000 Buy 8/6/14 MUFG Union Bank CP 8/12/14 70,060,000 Buy 8/6/14 MUFG Union Bank CP 8/11/14 25,000,000 Buy 8/7/14 BNP Paribas CP 8/12/14 46,505,000 Buy 8/8/14 MUFG Union Bank CP 8/13/14 103,000,000 Buy 8/11/14 MUFG Union Bank CP 8/14/14 57,000,000 Buy 8/12/14 General Electric CP 8/25/14 28,285,000 Buy 8/12/14 MUFG Union Bank CP 8/14/14 55,000,000 Buy 8/12/14 BNP Paribas CP 8/14/14 70,000,000 Buy 8/12/14 Prudential CP 8/15/14 45,000,000 Buy 8/13/14 MUFG Union Bank CP 8/25/14 60,000,000 Buy 8/13/14 General Electric CP 8/22/14 50,000,000 Buy 8/13/14 MUFG Union Bank CP 8/15/14 30,000,000 Buy 8/14/14 Prudential CP 8/19/14 55,485,000 Buy 8/15/14 Societe Generale CP 8/26/14 21,201,000 Buy 8/18/14 Deutsche Bank CP 8/27/14 25,000,000 Buy 8/18/14 Exxon Mobil CP 9/2/14 33,000,000 Buy 8/18/14 MUFG Union Bank CP 8/20/14 65,000,000 Buy 8/19/14 Bank of Tokyo-MIT CP 9/2/14 57,660,000 Buy 8/19/14 BNP Paribas CP 8/21/14 20,000,000 Buy 8/20/14 BNP Paribas CP 9/2/14 74,000,000 Buy 8/20/14 Exxon Mobil CP 9/4/14 65,000,000 Buy 8/21/14 Bank of Tokyo-MIT CP 9/11/14 25,000,000 Buy 8/21/14 Bank of Tokyo-MIT CP 9/5/14 25,000,000 Buy 8/21/14 BNP Paribas CP 8/26/14 11,000,000 Buy 8/22/14 Bank of Tokyo-MIT CP 9/10/14 36,360,000 Buy 8/22/14 Bank of Tokyo-MIT CP 9/9/14 25,000,000 Buy 8/25/14 Bank of Tokyo-MIT CP 9/12/14 25,000,000 Buy *"Transfer" is from Reserve to Core August 31, 2014 49
Portfolio Transactions-Core Portfolio (continued) Trade Date Issuer Type Maturity Date Par Amount Action* 8/25/14 Bank of Tokyo-MIT CP 9/9/14 30,500,000 Buy 8/26/14 BNP Paribas CP 9/17/14 46,000,000 Buy 8/27/14 Praxair CP 9/30/14 25,000,000 Buy 8/27/14 Bank of Tokyo-MIT CP 9/17/14 55,000,000 Buy 8/27/14 General Electric CP 9/3/14 22,000,000 Buy 8/28/14 FHLB Discount 10/1/14 50,000,000 Buy 8/28/14 BNP Paribas CP 9/3/14 29,000,000 Buy 8/28/14 BNP Paribas CP 9/2/14 20,000,000 Buy 8/29/14 Toyota CP 9/8/14 25,000,000 Buy 8/29/14 General Electric CP 9/18/14 28,000,000 Buy *"Transfer" is from Reserve to Core August 31, 2014 50