Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments. March 31, 2017

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Transcription:

Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments March 31, 2017

Economic Update: Overall Economy 8 U.S. GDP (Quarter over Quarter Annualized)* Percent 6 4 2 0-2 -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 1.4 3.5 2.1 1.9 2.5 2.4 2.4-6 -8-10 -12 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 Q3 2017 Q4 2017 * Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 3/31/17 March 31, 2017 2

Economic Update: Employment Monthly Non-Farm Payrolls Unemployment Rates 400 350 11 10 California LA Area U.S.A 300 9 Thousands 250 200 150 Percent 8 7 100 6 50 5 0 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 4 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 *Los Angeles area unemployment is not seasonally adjusted. 12 Month Average Monthly Job Change: 182,083 Data Source: Bloomberg March 31, 2017 3

Economic Update: Consumer Activity 4.5 U.S. Retail Sales* YOY % Change $480 Total Monthly U.S. Retail Sales 4 $470 3.5 $460 3 $450 Percent 2.5 2 Billions $440 $430 1.5 $420 1 $410 0.5 $400 0 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 $390 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 *Inflation Adjusted Data Source: Bloomberg March 31, 2017 4

Economic Update: Inflation 3.0 2.5 CPI and CPIX* YOY % Change Sector YOY % Price Changes Energy Shelter 3.4 12.1 2.0 Services 2.8 Percent 1.5 1.0 0.5 CPI CPIX Wages Education CPI Apparel 0.4 2.7 2.5 2.4 0.0 Food 0.4-0.5 Sep-12 Dec-12 Mar-13 Jun-13 Sep-13 Dec-13 Mar-14 Jun-14 Sep-14 Dec-14 Mar-15 Jun-15 Sep-15 Dec-15 Mar-16 Jun-16 Sep-16 Dec-16 Mar-17 *CPIX: Consumer Price Index, excluding food and energy Communication -6.3-10 -5 0 5 10 15 Percent Data Source: Bloomberg March 31, 2017 5

Economic Update: Dollar and Commodities Index Value 106 104 102 100 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 Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 $120 $100 $80 $60 $40 $20 $0 Oil-Per Barrel Oct-08 Apr-09 Oct-09 Apr-10 Oct-10 Apr-11 Oct-11 Apr-12 Oct-12 Apr-13 Oct-13 Apr-14 Oct-14 Apr-15 Oct-15 Apr-16 Oct-16 Data Source: Bloomberg March 31, 2017 6

Economic Update: Sector Returns YTD As of: 3/31/17 16 14 14.2 12 11.2 Percent 10 8 6 5.2 5.9 6.5 7.7 8.6 8.8 9.1 4 3.1 2 0-0.3 0.0 0.1 0.2 0.5 0.8 0.8 1.0 1.3 1.7-2 -4-2.9 Data Source: Bloomberg March 31, 2017 7

Economic Update: S&P 500 Returns As of: 3/31/17 YTD S&P 500 Major Sector Returns 12 10.7 10 8 6 5.0 5.8 6.1 6.4 8.3 8.4 Percent 4 2 0 2.4 2.7-2 -4-6 -8-6.6 Data Source: Bloomberg March 31, 2017 8

Economic Update: Yield Curve FYTD Percent 3.5 3.0 2.5 2.0 1.5 1.0 0.5 0.0 U.S. Treasury Yield Curve 6/30/16 3/31/17 3M6M 1Y 2Y 3Y 5Y 10Y 30Y Maturity 6/30/16 3/31/17 Change 3M 0.26 0.75 0.49 6M 0.35 0.90 0.55 1Y 0.44 1.02 0.58 2Y 0.58 1.26 0.67 3Y 0.69 1.49 0.80 5Y 1.00 1.92 0.92 10Y 1.47 2.39 0.92 30Y 2.29 3.01 0.73 Data Source: Bloomberg Figures may not total due to rounding March 31, 2017 9

Economic Update: Interest Rates Percent 1.20 1.00 0.80 0.60 0.40 U.S. Treasury Yields: 3M and 1Y 1Y 3M Percent 2.25 2.00 1.75 1.50 1.25 1.00 U.S. Treasury Yields: 2Y and 5Y 0.20 0.00-0.20 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 Oct-16 Dec-16 Feb-17 0.75 0.50 5Y 0.25 2Y 0.00 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 Oct-16 Dec-16 Feb-17 Data Source: Bloomberg March 31, 2017 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 5 11 Basis Point Spread 150 100 50 68 0 Aug-10 Dec-10 Apr-11 Aug-11 Dec-11 Apr-12 Aug-12 Dec-12 Apr-13 Aug-13 Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 *BofA/Merrill Index (option adjusted spread vs. Treasury) Agency (GVP0) 0 Aug-10 Dec-10 Apr-11 Aug-11 Dec-11 Apr-12 Aug-12 Dec-12 Apr-13 Aug-13 Dec-13 Apr-14 Aug-14 Dec-14 Apr-15 Aug-15 Dec-15 Apr-16 Aug-16 Dec-16 *BofA/Merrill Index (option adjusted spread vs. Treasury) Corporate A-AAA (CV10) Data Source: Bloomberg March 31, 2017 11

Summary Portfolio Characteristics Market Value Par Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $1,846,370,850 -- $6,571,362,253 -- $1,849,045,056 -- $6,570,935,000 -- Total General Portfolio $8,417,733,104 $8,419,980,056 Variance ($2,674,206) -- $427,253 -- ($2,246,953) Mkt Value % of Total 21.9% -- 78.1% -- 100% Average Maturity (Yrs)** 0.19 0.24 2.77 2.80 2.20 Effective Duration** Weighted Purchase Yield## 0.20 0.24 2.67 2.69 0.95% -- 1.52% -- 2.13 1.40% *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 March 31, 2017 12

Total General Portfolio: Maturity Distribution 30% 25% 20% 15% 3/31/17 2/28/17 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+ 3/31/17 20.7% 0.0% 1.2% 25.8% 21.2% 18.0% 13.1% 2/28/17 18.2% 5.5% 1.1% 25.0% 19.5% 17.8% 13.0% Variance 2.5% -5.5% 0.2% 0.8% 1.7% 0.2% 0.1% March 31, 2017 13

Sector Allocations: Total General Portfolio Sector 3/31/2017 2/28/2017 Variance Bank Deposits 1.0% 1.2% -0.3% March 31, 2017 Bank Dep 1.0% CDARS 0.0% 0.0% 0.0% Commercial Paper Corporate Notes 18.7% 16.2% 19.3% -0.5% 15.3% 0.9% CP 18.7% ABS 0.1% 0.0% 0.1% MMFs 0.0% 0.0% 0.0% Tsy 55.2% CORP 16.2% Negotiable CDs Agencies* Treasuries 0.0% 8.7% 55.2% 0.0% 0.0% 10.4% -1.7% 53.7% 1.5% Agy 8.7% ABS 0.1% Total 100.0% 100.0% *Includes Supranational and Municipal Securities Figures may not total due to rounding March 31, 2017 14

Sector Allocations: Core Portfolio Core Portfolio Sector 3/31/2017 2/28/2017 Variance Bank Deposits 4.4% 0.0% 4.4% CDARS 0.0% 0.0% 0.0% Commercial Paper 85.3% 0.0% 85.3% Corporate Notes 6.8% 0.0% 6.8% MMFs 0.0% 0.0% 0.0% March 31, 2017 Corp 6.8% Agy 3.5% Tsy 0.0% Bank Dep 4.4% Negotiable CDs 0.0% Agencies* 3.5% Treasuries 0.0% Total 100.0% 0.0% 0.0% 0.0% 3.5% 0.0% 0.0% 100.0% CP 85.3% *Includes Supranational and Municipal Securities Figures may not total due to rounding March 31, 2017 15

Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 2.0% Bubble size = Sector's % of Portfolio 1.8% Sector WAM (Yrs.) Purchase Yield % of Portfolio* 1.6% Corp Negotiable CDs 0.00 0.00 0.0% 1.4% Corporate Notes 0.64 1.57% 7.1% Commercial Paper 0.17 0.91% 89.2% Agencies** 0.12 0.74% 3.7% Purchase Yield 1.2% 1.0% 0.8% CP Treasuries 0.00 0.00 0.0% 0.6% Agy Total 0.20 0.95% 100.0% 0.4% 0.2% *Based on Market Value **Includes Supranational Securities 0.0% -0.2 0.0 0.2 0.4 0.6 0.8 1.0 1.2 WAM Years Figures may not total due to rounding Does not include Checking and BNYM Sweep, CDARS included with CP March 31, 2017 16

Sector Allocations: Reserve Portfolio Reserve Portfolio March 31, 2017 Sector 3/31/2017 2/28/2017 Variance Treasuries 70.8% 71.0% -0.2% Agencies* 10.2% 10.5% -0.3% Corp 18.9% ABS 0.2% Corporate Notes 18.9% 18.5% 0.4% ABS 0.2% 0.0% 0.2% Total 100.0% 100.0% Tsy 70.8% Agy 10.2% *Includes Supranational and Municipal Securities Figures may not total due to rounding March 31, 2017 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.) Treasuries 2.80 Purchase Yield 1.38% % of Portfolio* 70.8% 1.75% ABS Agencies** 2.56 1.51% 10.2% Corporate Notes 2.74 2.04% 18.9% ABS 4.21 1.78% 0.2% Purchase Yield 1.50% 1.25% Agy Tsy Total 2.77 1.52% 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 4.0 5.0 WAM Years Figures may not total due to rounding March 31, 2017 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 Jan-17 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 Jan-17 *Core's market value includes checking accounts March 31, 2017 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 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 March 31, 2017 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 Nov-16 Mar-17 March 31, 2017 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. March 31, 2017 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 March 31, 2017 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 March 31, 2017 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: 2.67 vs 2.69 March 31, 2017 25

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 0.45 0.40 0.35 0.30 0.25 0.20 0.15 0.10 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 2.8 2.7 2.6 2.5 2.4 2.3 Reserve Duration Reserve Benchmark 2.2 Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14 Jul-15 Jan-17 March 31, 2017 26

Portfolio Statistics: Historical Purchase Yields Percent 5.50% 5.25% Reserve 5.00% Total Portfolio 4.75% Core 4.50% 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 March 31, 2017 27

Purchase Yield Per 3-Month Maturity Intervals Core Portfolio 2.0% Months Purchase Yield % of Portfolio* Bubble Size = Maturity's % of Portfolio 1.66% 0 to 3 0.87% 50.80% 3 to 6 0.96% 43.25% 1.5% 1.28% 6 to 9 1.40% 2.83% 9 to 12 1.66% 3.12% Total 0.95% 100.00% Purchase Yield 1.0% 0.87% 0.96% 0.5% *Based on Par Value Bubble Size = Maturity's % of Portfolio 0.0% 0.00 0.25 0.50 0.75 1.00 Years March 31, 2017 28

Purchase Yield Per 6-Month Maturity Intervals Reserve Portfolio Years Purchase Yield % of Portfolio* Bubble Size = Maturity's % of Portfolio.5 to 1.0 0.00 0.00% 1.0 to 1.5 1.36% 15.37% 2.1% 1.96% 1.5 to 2.0 1.37% 15.79% 1.8% 2.0 to 2.5 1.53% 12.95% 2.5 to 3.0 1.56% 13.36% 3.0 to 3.5 1.66% 12.95% 3.5 to 4.0 1.42% 11.56% Purchase Yield 1.6% 1.3% 1.36% 1.37% 1.53% 1.56% 1.66% 1.42% 1.45% 4.0 to 4.5 1.45% 9.12% 4.5 to 5.0+ 1.96% 8.90% 1.1% Total 1.52% 100.00% *Based on Par Value 0.8% 0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 4.50 5.00 Years March 31, 2017 29

Purchase Yield Per 6-Month Maturity Intervals Total General Portfolio Years Purchase Yield % of Portfolio* 2.3% 0 to 0.5 0.91% 19.91% 0.5 to 1.0 1.54% 1.26% 2.0% 1.96% 1.0 to 1.5 1.36% 12.12% 1.5 to 2.0 1.37% 12.45% 1.8% 1.54% 1.66% 2.0 to 2.5 1.53% 10.21% 2.5 to 3.0 1.56% 10.53% 3.0 to 3.5 1.66% 10.21% Purchase Yield 1.5% 1.3% 1.36% 1.37% 1.53% 1.56% 1.42% 1.45% 3.5 to 4.0 1.42% 9.11% 1.0% 4.0 to 4.5 1.45% 7.19% 0.91% 4.5 to 5+ 1.96% 7.01% 0.8% Bubble Size = Maturity's % of Portfolio Total 1.40% 100.00% *Based on Par Value 0.5% -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 March 31, 2017 30

Portfolio Statistics: Historical Duration 3.0 2.5 2.0 Duration 1.5 1.0 Reserve Total Portfolio Core 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 March 31, 2017 31

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 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 Oct-16 Jan-17 Sector Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Tsy 50.7% 48.3% 55.6% 57.6% 60.6% 61.8% 62.4% 62.9% 58.6% 58.1% 53.7% 55.2% Agy 12.0% 11.5% 11.9% 11.8% 11.7% 12.5% 11.5% 9.6% 12.5% 11.0% 10.4% 8.7% Corp 16.3% 14.3% 15.2% 15.3% 16.3% 16.6% 17.3% 17.6% 16.3% 16.5% 15.3% 16.2% CP 20.0% 24.8% 16.3% 14.3% 10.4% 7.8% 7.4% 8.2% 11.2% 13.2% 19.3% 18.7% Neg. CDs 0.1% 0.1% 0.1% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3% 0.0% 0.0% 0.0% ABS 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.1% Bank 0.9% 0.8% 0.8% 0.7% 0.7% 1.0% 1.1% 1.3% 1.1% 1.2% 1.2% 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 March 31, 2017 32

Portfolio Statistics: Monthly Total Return 0.07% Core vs Benchmark 0.07% Reserve vs Benchmark 0.06% 0.06% Percent Variance 0.05% 0.04% 0.03% 0.02% Percent Variance 0.05% 0.04% 0.03% 0.02% 0.01% 0.01% 0.00% Core Benchmark 0.00% Reserve Benchmark Monthly Performance Core Benchmark Variance Reserve Benchmark Variance 0.06% 0.02% 0.04% Monthly Performance 0.06% 0.05% 0.01% *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 0.07% 0.02% Attribution of Sub-Sector Weighted Returns Variance Agency 0.07% 0.00% Treasury 0.06% 0.71 0.05% 0.81 0.00% Corporate 0.08% 0.00% Agy/Muni 0.09% 0.10 0.05% 0.06 0.01% Corp/ABS 0.06% 0.19 0.06% 0.13 0.00% 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 March 31, 2017 33

Total Return Performance: Core vs. Benchmark 1.20% 1.00% Core Index 0.98% 0.80% 0.69% 0.60% 0.58% 0.46% 0.40% 0.29% 0.38% 0.35% 0.29% 0.20% 0.00% 0.19% 0.17% 0.14% 0.10% 0.06% 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 0.06% 0.19% 0.46% 0.58% 0.35% 0.29% 0.98% 0.02% 0.10% 0.29% 0.38% 0.17% 0.14% 0.69% 0.04% 0.09% 0.17% 0.20% 0.18% 0.15% 0.29% *Core Benchmark: 3 Month T-Bill (G0O1) March 31, 2017 34

Total Return Performance: Reserve vs. Benchmark 3.50% 3.00% Reserve Index 2.92% 2.76% 2.50% 2.00% 1.50% 1.27% 1.25% 1.09% 1.13% 1.00% 0.50% 0.43% 0.43% 0.00% 0.06% 0.05% 0.11% 0.10% -0.50% -1.00% -0.68% -0.72% 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 0.06% 0.43% -0.68% 0.11% 1.27% 1.09% 2.92% 0.05% 0.43% -0.72% 0.10% 1.25% 1.13% 2.76% 0.01% 0.00% 0.04% 0.01% 0.02% -0.04% 0.16% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 March 31, 2017 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% 0.46% 0.34% Benchmark* 0.16% 0.19% 0.04% 0.13% 0.07% 0.00% 0.19% 0.29% 0.23% Variance 0.06% 0.03% 0.17% 0.06% 0.03% 0.17% 0.21% 0.17% 0.11% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding March 31, 2017 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% -0.68% 1.90% Benchmark* 5.04% 2.67% 2.36% 0.39% 1.53% 1.39% 2.51% -0.72% 1.90% Variance 0.27% -0.11% 0.02% -0.24% 0.02% -0.01% 0.05% 0.04% 0.01% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 Figures may not total due to rounding March 31, 2017 37

Portfolio Statistics: Monthly & FYTD Total Return Core vs 3 Month T-Bill Index Monthly Performance Comparison FYTD Performance Variance 0.08% Core 0.18% 0.07% Benchmark 0.16% 0.06% 0.14% 0.05% 0.04% 0.03% 0.02% 0.12% 0.10% 0.08% 0.06% 0.04% 0.01% 0.02% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.04% 0.04% 0.04% 0.05% 0.05% 0.05% 0.07% 0.06% 0.06% Benchmark 0.03% 0.02% 0.05% 0.03% 0.02% 0.04% 0.04% 0.04% 0.02% Variance 0.01% 0.02% -0.01% 0.02% 0.03% 0.01% 0.03% 0.02% 0.04% Fiscal YTD Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.04% 0.08% 0.12% 0.17% 0.22% 0.27% 0.34% 0.40% 0.46% Benchmark 0.03% 0.05% 0.10% 0.13% 0.15% 0.19% 0.23% 0.27% 0.29% Variance 0.01% 0.03% 0.02% 0.04% 0.07% 0.08% 0.11% 0.13% 0.17% March 31, 2017 38

Portfolio Statistics: Monthly & FYTD Total Return Reserve vs 1-5 Year Government/Corporate Index Monthly Performance Comparison FYTD Performance Variance 0.40% 0.20% Reserve Benchmark 0.05% 0.04% 0.00% 0.03% -0.20% 0.02% -0.40% 0.01% -0.60% 0.00% -0.80% -0.01% -1.00% 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 Monthly Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.02% -0.27% 0.14% -0.18% -0.87% 0.05% 0.18% 0.19% 0.06% Benchmark 0.01% -0.27% 0.15% -0.18% -0.90% 0.04% 0.19% 0.19% 0.05% Variance 0.01% 0.00% -0.01% 0.00% 0.03% 0.01% -0.01% 0.00% 0.01% Fiscal YTD Performance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.02% -0.25% -0.11% -0.29% -1.16% -1.11% -0.93% -0.74% -0.68% Benchmark 0.01% -0.26% -0.11% -0.29% -1.19% -1.15% -0.96% -0.77% -0.72% Variance 0.01% 0.01% 0.00% 0.00% 0.03% 0.04% 0.03% 0.03% 0.04% March 31, 2017 39

Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.20% 0.10% 0.00% -0.10% -0.20% -0.30% -0.40% -0.50% -0.60% -0.70% Reserve Tsy Benchmark Tsy 0.16% 0.14% 0.12% 0.10% 0.08% 0.06% 0.04% 0.02% -0.80% 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 Variance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve -0.02% -0.22% 0.13% -0.14% -0.63% 0.02% 0.11% 0.11% 0.04% Benchmark -0.03% -0.25% 0.14% -0.16% -0.73% 0.02% 0.14% 0.12% 0.04% Mon. Var. 0.01% 0.03% -0.01% 0.02% 0.10% 0.00% -0.03% -0.01% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.01% 0.04% 0.03% 0.05% 0.15% 0.15% 0.12% 0.11% 0.11% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* March 31, 2017 40

Portfolio Attribution: Reserve Agency vs. Benchmark Agency Agency Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.04% 0.02% 0.02% 0.00% 0.00% -0.02% -0.04% -0.02% -0.04% -0.06% -0.08% Reserve Agy Benchmark Agy -0.06% -0.08% -0.10% 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 Monthly Variance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.00% -0.03% 0.02% -0.02% -0.09% 0.00% 0.02% 0.01% 0.01% Benchmark 0.00% -0.01% 0.01% 0.00% -0.04% 0.00% 0.01% 0.01% 0.00% Mon. Var. 0.00% -0.02% 0.01% -0.02% -0.05% 0.00% 0.01% 0.00% 0.01% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% -0.02% -0.01% -0.03% -0.08% -0.08% -0.07% -0.07% -0.06% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* March 31, 2017 41

Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate Corporate Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.10% 0.01% 0.05% 0.00% 0.00% -0.01% -0.05% -0.02% -0.03% -0.10% -0.15% Reserve Corp Benchmark Corp -0.04% -0.05% -0.20% 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 Monthly Variance* Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Reserve 0.04% -0.02% -0.01% -0.02% -0.15% 0.03% 0.05% 0.07% 0.01% Benchmark 0.04% -0.01% 0.00% -0.02% -0.12% 0.02% 0.04% 0.06% 0.01% Mon. Var. 0.00% -0.01% -0.01% 0.00% -0.03% 0.01% 0.01% 0.01% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun FYTD Var. 0.00% -0.01% -0.02% -0.02% -0.05% -0.04% -0.03% -0.02% -0.02% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* March 31, 2017 42

Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA) Monthly Price Return vs Interest Return Monthly Total Return 125 Price Return 125 100 Interest Return 100 75 75 Basis Points 50 25 0-25 -50 Basis Points 50 25 0-25 -75-50 -100-75 -125-100 Component Total Return Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Interest 16.9 17.3 16.8 17.0 17.0 16.5 16.9 16.6 17.3 17.4 16.2 17.4 Price -12.9-30.9 76.1-16.3-43.8-1.9-35.2-106.5-13.3 1.2 2.7-12.0 Total 4.0-13.6 92.9 0.7-26.8 14.6-18.3-89.9 4.0 18.6 18.9 5.4 March 31, 2017 43

Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns Index Sector Total Returns 125 100 75 Tsy Agy Corp Govt/Corp Index 50 Basis Points 25 0-25 -50-75 -100-125 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Sector Total Returns (Basis Points) Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 AVG Index 4-14 93 1-27 15-18 -90 4 19 19 5 1 Treasury -1-15 97-4 -31 17-20 -91 2 17 15 5-1 Agency 2-6 66-2 -16 18-8 -68 2 20 17 5 3 Corporate 32-10 84 31-8 1-14 -89 15 29 43 6 10 March 31, 2017 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 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Index Reserve Feb-17 Mar-17 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 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Jan-17 Feb-17 Mar-17 March 31, 2017 45

Effective Duration Allocations: Reserve vs. Benchmark 20% 18% 16% 14% 12% 15.0% 17.4% 16.1% 15.5% 14.6% 14.0% 13.8% 13.4% 11.0% 12.8% 11.9% 12.3% 10.5% Index Reserve 10% 8.6% 8% 6% 4.9% 5.3% 4% 2% 0% 0.0% 0.4% 2.0% 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 March 31, 2017 46

Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 14% 12% 12.1% 11.7% 12.9% 11.2% 12.1% 11.2% Index Treasury Reserve Treasury 10% 9.6% 8.8% 8.6% 10.1% 9.8% 9.1% 8.7% 8% 6.4% 6% 4% 4.2% 4.0% 2% 1.5% 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 March 31, 2017 47

Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 5% 4% Index Agency Reserve Agency 3% 2.5% 2% 1.8% 1.9% 1.6% 1% 0% 0.0% 0.4% 0.2% 0.0% 1.2% 1.1% 1.1% 0.7% 0.7% 0.5% 0.5% 0.3% 0.3% 0.4% 0.2% 0.5% 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 March 31, 2017 48

Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% Index Corporate Reserve Corporate 4% 3.8% 3.1% 3% 2% 1.8% 2.2% 2.5% 1.5% 1.9% 2.7% 2.0% 2.3% 1.8% 1.6% 1.5% 1.8% 1% 0% 0.0% 0.0% 0.3% 0.4% 0.6% 0.8% 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 March 31, 2017 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 $4,650,426,100 55.25% AA+ Aaa FHLMC $19,968,200 0.24% AA+ Aaa BNP Paribas $353,821,353 4.20% A A1 Stryker $19,910,800 0.24% A Baa1 Bank Tokyo-Mitsubishi $321,349,947 3.82% A+ A1 General Electric $18,092,800 0.21% AA- A1 Exxon Mobil $298,651,001 3.55% AA+ Aaa Mastercard $17,890,290 0.21% A A2 FNMA $255,704,365 3.04% AA+ Aaa M&T Trust $16,123,040 0.19% A A3 United Parcel $189,428,819 2.25% A+ A1 State Street $16,121,340 0.19% A A1 FHLB $168,431,557 2.00% AA+ Aaa Oracle $15,183,600 0.18% AA- A1 Mizuho Bank $163,982,524 1.95% A A1 Home Depot $15,132,700 0.18% A A2 Toyota $157,758,197 1.87% AA- Aa3 BB&T Corp $15,125,150 0.18% A- A2 IBRD $119,111,100 1.42% AAA Aaa Gilead Sciences $15,123,100 0.18% A A3 Wells Fargo Bank* $81,129,056 0.96% AA- Aa2 Precision Castparts $15,112,050 0.18% AA- A2 BMW $60,484,278 0.72% A+ A1 Bank of America NA $15,081,600 0.18% A+ A1 JPMorgan Chase & Co $60,121,450 0.71% A- A3 3M Company $15,058,650 0.18% AA- A1 PNC Bank $55,105,700 0.65% A A2 Charles Schwab $15,028,950 0.18% A A2 Chevron $55,013,600 0.65% AA- Aa2 Intel $15,009,750 0.18% A+ A1 State of California $54,725,137 0.65% AA- Aa3 IFC $14,995,800 0.18% AAA Aaa Intercontinental Exg $54,277,066 0.64% A A2 Walt Disney $14,935,450 0.18% A A2 Johnson & Johnson $51,905,250 0.62% AAA Aaa Georgia Power Company $14,913,600 0.18% A- A3 IADB $50,033,000 0.59% AAA Aaa UnitedHealth Group $14,158,500 0.17% A+ A3 Honeywell $49,322,250 0.59% A A2 Public Service Electric $11,994,720 0.14% A Aa3 Microsoft $46,860,010 0.56% AAA Aaa Chase Credit Card ABS $11,920,080 0.14% AAA NR IBM $45,245,700 0.54% AA- Aa3 Ralph Lauren $10,071,500 0.12% A A2 Wells Fargo & Co $45,108,750 0.54% A A2 Danaher $10,053,850 0.12% A A2 Qualcomm $45,014,108 0.53% A+ A1 US Bancorp $10,037,700 0.12% A+ A1 Bank of New York Mellon $40,189,950 0.48% A A1 Visa $10,029,300 0.12% A+ A1 Branch Banking and Trust $40,103,150 0.48% A A1 American Express $10,015,100 0.12% A- A2 Berkshire Hathaway $39,954,000 0.47% AA Aa2 Wisconsin Electric Power $10,010,800 0.12% A- A1 Morgan Stanley $35,435,479 0.42% BBB+ A3 Wells Fargo Bank NA $9,994,400 0.12% NR NR Apple $35,054,850 0.42% AA+ Aa1 Texas Instrument $9,958,600 0.12% A+ A1 Pfizer $34,889,000 0.41% AA A1 JPMorgan Chase Bank $9,948,100 0.12% A+ Aa3 John Deere $32,067,620 0.38% A A2 Target $7,089,250 0.08% A A2 Cisco $30,233,000 0.36% AA- A1 Automatic Data Processing $5,057,400 0.06% AA Aa3 US Bank $30,072,200 0.36% AA- A1 Procter & Gamble $5,041,800 0.06% AA- Aa3 Philip Morris $29,777,300 0.35% A A2 Daimler $5,036,000 0.06% A A2 Goldman Sachs $27,077,167 0.32% BBB+ A3 Eli Lilly $5,034,900 0.06% AA- A2 Pepsico $25,910,880 0.31% A A1 Univ of California $5,000,100 0.06% AA Aa2 FFCB $24,948,750 0.30% AA+ Aaa Merck $4,998,650 0.06% AA A1 American Honda $24,820,100 0.29% A+ A1 Corning $4,992,400 0.06% BBB+ Baa1 Caterpillar $24,687,750 0.29% A A3 Medtronic $4,991,750 0.06% A A3 Coca Cola $22,101,200 0.26% AA- Aa3 PACCAR $3,004,020 0.04% A+ A1 TVA $20,154,600 0.24% AA+ Aaa Total $8,417,733,104 100.00% *Checking Account March 31, 2017 50

Total General Portfolio Transactions 70 60 50 40 30 20 10 Buys* Sells** Total Monthly Transactions 0 Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 *Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Buys 41 37 51 46 35 34 39 38 61 42 47 27 Sells 0 0 0 0 0 0 0 0 0 0 0 0 Total 41 37 51 46 35 34 39 38 61 42 47 27 Reserve Transactions Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Buys 5 11 4 9 10 6 8 7 4 10 9 6 Sells 8 13 2 3 4 5 7 5 6 12 7 6 Total 13 24 6 12 14 11 15 12 10 22 16 12 Total Transactions Apr-16 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Buys 46 48 55 55 45 40 47 45 65 52 56 33 Sells 8 13 2 3 4 5 7 5 6 12 7 6 Total 54 61 57 58 49 45 54 50 71 64 63 39 March 31, 2017 51

Portfolio Transactions: Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 3/1/17 Walt Disney Corp 3/4/22 5,000,000 Buy 3/1/17 Walt Disney Corp 3/4/20 5,000,000 Buy 3/10/17 John Deere Corp 1/6/22 7,000,000 Buy 3/10/17 Charles Schwab Corp 3/10/18 10,000,000 Transfer 3/21/17 Chase Credit Card ABS ABS 6/15/21 12,000,000 Buy 3/21/17 IFC Note Supra 3/30/20 15,000,000 Buy 3/31/17 FNMA Note Agy 3/28/18 20,000,000 Sell 3/31/17 U.S. Treasury Note Tsy 5/15/18 15,000,000 Sell 3/31/17 U.S. Treasury Note Tsy 5/15/18 50,000,000 Sell 3/31/17 FHLB Note Agy 3/19/18 25,000,000 Sell 3/31/17 U.S. Treasury Note Tsy 3/15/18 80,000,000 Sell 3/31/17 U.S. Treasury Note Tsy 3/31/22 55,000,000 Buy *"Transfer" is from Reserve to Core March 31, 2017 52

Portfolio Transactions: Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 3/1/17 Siemens Capital CP 3/30/17 9,055,000 Buy 3/2/17 Toyota CP 5/10/17 46,500,000 Buy 3/2/17 BMW CP 6/30/17 24,993,000 Buy 3/3/17 United Parcel CP 6/30/17 15,300,000 Buy 3/6/17 FHLB DN Agy 4/28/17 30,587,000 Buy 3/6/17 Mizuho Bank CP 5/9/17 26,000,000 Buy 3/7/17 Mizuho Bank CP 5/10/17 46,300,000 Buy 3/8/17 General Electric CP 3/15/17 34,760,000 Buy 3/9/17 BMW CP 5/24/17 10,634,000 Buy 3/10/17 Pepsico CP 5/1/17 8,965,000 Buy 3/10/17 Charles Schwab Corp 3/10/18 10,000,000 Transfer 3/13/17 Exxon Mobil CP 6/30/17 47,000,000 Buy 3/14/17 Exxon Mobil CP 6/30/17 52,063,000 Buy 3/15/17 Toyota CP 5/10/17 31,275,000 Buy 3/16/17 Intercontinental Exg CP 6/7/17 18,905,000 Buy 3/17/17 Bank Tokyo-Mitsubishi CP 6/30/17 42,000,000 Buy 3/20/17 Bank Tokyo-Mitsubishi CP 6/30/17 30,522,000 Buy 3/20/17 Mizuho Bank CP 6/21/17 27,000,000 Buy 3/21/17 Johnson & Johnson CP 5/24/17 22,000,000 Buy 3/22/17 Bank Tokyo-Mitsubishi CP 6/30/17 21,600,000 Buy 3/22/17 Toyota CP 5/11/17 45,000,000 Buy 3/24/17 Prudential Funding CP 3/28/17 37,110,000 Buy 3/28/17 FHLB DN Agy 6/1/17 29,440,000 Buy 3/28/17 FHLB DN Agy 3/30/17 20,000,000 Buy 3/29/17 Bank Tokyo-Mitsubishi CP 6/12/17 34,278,000 Buy 3/29/17 Bank Tokyo-Mitsubishi CP 6/30/17 40,000,000 Buy 3/30/17 United Parcel CP 5/24/17 34,110,000 Buy 3/31/17 FNMA DN Agy 5/11/17 5,175,000 Buy *"Transfer" is from Reserve to Core March 31, 2017 53