STRATEGY HIGHLIGHTS As of 31 March 018 Stable Value Strategy Total Strategy Assets: 1 $3.3 billion INVESTMENT APPROACH 100% internal management facilitates transparency and control. Yield-focused strategy. Proprietary research supports broad diversification across sectors and credit spectrum. Fixed income portfolios are wrapped by benefit-responsive contracts, which provide daily liquidity at book value provisions for various transactions. Seek to add value through portfolio customization, sector rotation, and security selection. PORTFOLIO CONSTRUCTION Duration generally managed within.0 to 4.0 target range Actively managed short, intermediate and longer duration wrapped fixed income portfolios Wrap instruments include both synthetic contracts and separate account contracts with high quality counterparties Opportunistic allocation to traditional GICs based on relative value Average credit quality target is AA- or better BENCHMARK Hueler Analytics Pooled Fund Universe PORTFOLIO MANAGEMENT Antonio L. Luna, CFA Head of Stable Value and Portfolio Manager 4 years of investment experience; years with T. Rowe Price. B.S., Towson University M.S., Johns Hopkins University Robert A. Madore 37 years of investment experience; 16 years with T. Rowe Price. B.A., University of Connecticut Benjamin Gugliotta, J.D. 1 years of investment experience; 15 years with T. Rowe Price. L.L.M., University of Baltimore J.D., University of Baltimore, School of Law B.A., St. Mary s College of Maryland Cheryl A. Mickel, CFA 8 years of investment experience; 8 years with T. Rowe Price. B.S., University of Baltimore M.B.A., Loyola University Maryland Jason T. Collins, CFA 16 years of investment experience; 1 years with T. Rowe Price. B.S., Excelsior College M.B.A., University of Texas Michael F. Reinartz, CFA 17 years of investment experience; 1 years with T. Rowe Price. B.S., Towson University Brian J. Brennan, CFA 31 years of investment experience; 17 years with T. Rowe Price. B.S., Trinity College M.A., Trinity College Joseph K. Lynagh, CFA 4 years of investment experience; 7 years with T. Rowe Price. B.S., Loyola University Maryland M.S.F., Loyola University Maryland 1 Includes T. Rowe Price common trust funds and other stable value portfolios. Assets reported are as of 31 March 018 and were current on date of production.
PORTFOLIO CHARACTERISTICS Representative Portfolio Hueler Analytics Pooled Fund Universe 1 Duration 3.13 Years.74 Years Allocation Cash Equivalents 4.90% 6.57% Synthetic Investment Contracts 95.10 73.9 Separate Accounts 0.00 13.6 Guaranteed Investment Contracts 0.00 5.89 Other 0.00 0.00 CREDIT QUALITY Representative Portfolio Hueler Analytics Pooled Fund Universe 1 ABS 13.% 1.0% U.S. Agencies 7.3 3.6 Credits 47. 31.9 CMBS 3.5 4.6 MBS 7.6 17.6 Private Placements 0.0 0.0 U.S. Treasuries 15.4 16.5 GIC/GIC-Separate Account 0.0 6.1 Cash 5.7 7.1 Other 0.0 0.7 1 The Hueler Pooled Fund Universe ( Universe ) is provided by Hueler Analytics, a Minnesota-based consulting firm, which has developed the Universe for use as a comparative database to evaluate collective trust funds and other pooled vehicles with investments in GICs and other stable value instruments. The Universe is comprised of pooled stable value funds with common investment objectives of stability of principal; the number of participating funds in the Universe may vary over the different historic periods. Total return performance is calculated by taking the straight average of the monthly returns of the funds participating in the Universe during each month which are then linked to derive the index returns for all other time periods. Universe rates of return are reported gross of management fees. For the Stable Value Representative Portfolio, the cash sector allocation represents the reserve balance and cash position in the SIC portfolios. Totals may not add due to rounding.
PERFORMANCE VS. ILLUSTRATIVE INDICES Annualized Gross of Fees Three Months T. Rowe Price Stable Value Common Trust Fund 1, 0.56%.0%.16%.3% 3.03% Stable Value Separate Account Composite 3 0.58.9.9.37 3.13 Hueler Analytics Pooled Fund Universe 4 0.5.03 1.86 1.81.41 Net of Fees T. Rowe Price Stable Value Common Trust Fund (Net of 45 bps) 0.45% 1.75% 1.70% 1.77%.56% Stable Value Separate Account Composite (Net of.5 bps) 0.5.07.06.15.90 Lipper Money Market Funds Index 5 0.7 0.83 0.35 0. 0.9 Past performance cannot guarantee future results. 1 The T. Rowe Price Stable Value Common Trust Fund is our largest stable value portfolio and is a component of the Hueler Analytics Pooled Fund Universe. The T. Rowe Price Stable Value Common Trust Fund (the Trust ) is not a mutual fund. It is a common trust fund established by the T. Rowe Price Trust Company under Maryland banking law, and its units are exempt from registration under the Securities Act of 1933. The Trust are not deposits or obligations of, or guaranteed by, the U.S. government or its agencies or T. Rowe Price Trust Company. Although the Trust seeks to preserve the value of your investment at $1.00 per unit, it is possible to lose money by investing in the Trust. 3 The Stable Value Separate Account Composite includes all discretionary separately managed institutional portfolios for which the Stable Asset Management Group employs a stable value investment strategy. Portfolios range in size up to $1.4 billion USD, and are comprised primarily of investment contracts, and may include marketable short-term, fixed-income securities and cash reserves. The composite performance is for the dollar weighted average of various separate account clients of T. Rowe Price Associates, Inc. s Stable Asset Management Group. It reflects the book value performance of all discretionary separately managed institutional portfolios in the composite. Portfolio results are based on valuation of investment contracts at book value and include reinvested earnings. Investment return will vary. Net of Fees performance reflects the deduction of the highest full mandate fee without benefit of break points. Partial mandate fees may be higher which could result in lower performance. Information regarding the Stable Asset Management Group s advisory fee schedules is available in T. Rowe Price Associates, Inc. s Form ADV. There is no standard industry-wide benchmark for stable value portfolios. 4 The Hueler Analytics Pooled Fund Universe ( Universe ) is provided by Hueler Analytics, a stable value data and research firm, which has developed the Universe for use as a comparative database to evaluate collective trust funds and other pooled vehicles with investments in GICs and other stable value instruments. The Universe is comprised of pooled stable value funds with common investment objectives of stability of principal; the number of participating funds in the Universe may vary over the different historic periods. Total return performance is calculated by taking the straight average of monthly returns of the funds participating in the Universe during each month which are then linked to derive the index returns for all other time periods. Universe rates of return are reported gross of management fees. 5 The Lipper Money Markets Funds Index (the Lipper Index ) is an equally weighted performance index of the largest qualifying funds in this Lipper category. Lipper index gross of fees performance data is not available. Source for Lipper data: Lipper, Inc. The Stable Value Strategy is not a money fund. The Lipper index appears for illustrative purposes only. Differences between compared investments may include objectives, holdings, sales and management fees, liquidity, volatility, and tax features and other features, which may result in differences in performance. One Year Three Years Five Years Ten Years
FEE SCHEDULE Stable Value Client Master (USD) Composite The Stable Value Client Master (USD) Composite combines accounts included in the Stable Value Synthetic Only (USD) Composite and Stable Value GIC Permissible (USD) Composite. The master composite reports market value performance for stable value accounts which seek to protect investors against fluctuations in principal value while providing an attractive level of current income through investment primarily in diversified portfolios of Guaranteed Investment Contracts (GICs), Bank Investment Contracts (BICs), and Synthetic Investment Contracts (SICs), including underlying securities supporting such contracts. (Created December 010). Separate Account First $50 million Next $50 million.5 basis points 0 basis points Above $100 million 17.5 basis points on all assets 1 Above $50 million 1.5 basis points on all assets 1 Above $500 million 11 basis points on all assets 1 Above $1 billion 10 basis points on all assets 1 Minimum separate account size $50 million ¹ A transitional credit is applied to the fee schedule as assets approach or fall below the break point. Accounts below $100 million are required to use the building block trusts as an underlying investment.
GIPS DISCLOSURE GIPS Disclosure Stable Value Client Master (USD) Composite Period Ended March 31, 018 Figures Shown in U.S. dollar 011 01 013 014 015 016 017 YTD 018 Gross Annual Returns (%) 4.33 3.64 0.9.55 1.11 1.80.17 0.71 Net Annual Returns (%) 1 4.10 3.41 0.5.3 0.88 1.57 1.9 0.76 Citigroup 3 Month Treasury Bill (%) 0.08 0.07 0.05 0.03 0.03 0.7 0.84 0.35 Composite 3 Yr St. Dev. N/A N/A 1.51 1.40 1.51 1.59 1.51 1.40 Citigroup 3 Month Treasury Bill 3 Yr St. Dev. 0.0 0.01 0.01 0.01 0.01 0.03 0.11 0.13 Composite Dispersion N/A N/A 0.30 N/A 0.1 N/A N/A N/A Comp. Assets (Millions) 6,83.9 5,946.4 6,58.0 6,073.8 6,111.7 6,403.4 6,108.8 6,115.9 # of Accts. in Comp. 13 1 13 11 1 1 1 1 Total Firm Assets (Billions) 493.1 579.8 696.3 749.6 77.4 817. 1,000. 1,0.8 1 Reflects deduction of highest applicable fee schedule without benefit of breakpoints. Investment return and principal value will vary. Past performance cannot guarantee future results. Monthly composite performance is available upon request. See below for further information related to net of fee calculations. T. Rowe Price (TRP) has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS ). TRP has been independently verified for the 1 year period ended June 30, 017 by KPMG LLP. The verification report is available upon request. Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm wide basis and () the firm's policies and procedures are designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation. TRP is a U.S. investment management firm with various investment advisers registered with the U.S. Securities and Exchange Commission, the U.K. Financial Conduct Authority, and other regulatory bodies in various countries and holds itself out as such to potential clients for GIPS purposes. TRP further defines itself under GIPS as a discretionary investment manager providing services primarily to institutional clients with regard to various mandates, which include U.S., international, and global strategies but excluding the services of the Private Asset Management group. The minimum asset level for equity portfolios to be included in composites is $5 million and prior to January 00 the minimum was $1 million. The minimum asset level for fixed income and asset allocation portfolios to be included in composites is $10 million; prior to October 004 the minimum was $5 million; and prior to January 00 the minimum was $1 million. Valuations are computed and performance reported in U.S. dollars. Gross performance returns are presented before management and all other fees, where applicable, but after trading expenses. Net of fees performance reflects the deduction of the highest applicable management fee that would be charged based on the fee schedule appropriate to you for this mandate, without the benefit of breakpoints. Gross and net performance returns are net of nonreclaimable withholding taxes on dividends, interest income, and capital gains. Effective June 30, 013, portfolio valuation and assets under management are calculated based on the closing price of the security in its respective market. Previously portfolios holding international securities may have been adjusted for after market events. Policies for valuing portfolios, calculating performance, and preparing compliant presentations are available upon request. Dispersion is measured by the standard deviation across asset weighted portfolio returns represented within a composite for the full year. Dispersion is not calculated for the composites in which there are five or fewer portfolios. Some portfolios may trade futures, options, and other potentially high risk derivatives which generally represent less than 10% of a portfolio. Benchmarks are taken from published sources and may have different calculation methodologies, pricing times, and foreign exchange sources from the composite. Composite policy requires the temporary removal of any portfolio incurring a client initiated significant cash inflow or outflow greater than or equal to 15% of portfolio assets. The temporary removal of such an account occurs at the beginning of the measurement period in which the significant cash flow occurs and the account re enters the composite on the last day of the current month after the cash flow. Additional information regarding the treatment of significant cash flows is available upon request. The firm's list of composite descriptions and/or a presentation that adheres to the GIPS standards are available upon request.
ADDITIONAL DISCLOSURES Portfolio Construction: There is no guarantee that the investment will remain within the anticipated ranges of exposure. Diversification exhibits may not add to 100% due to exclusion or inclusion of cash. Sources for credit quality: Moody s Investors Service; if Moody s does not rate a security, then Standard & Poor s (S&P) is used as a secondary source. When available, T. Rowe Price will use Fitch for securities that are not rated by Moody s or S&P. T. Rowe Price does not evaluate these ratings, but simply assigns them to the appropriate credit quality category as determined by the rating agency. T. Rowe Price uses the rating of the underlying investment vehicle for credit default swaps. Certain numbers in this report may not equal stated totals due to rounding. All data is accurate as of the report production date. The representative portfolio is an account in the composite we believe most closely reflects current portfolio management style for the strategy. Performance is not a consideration in the selection of the representative portfolio. Information regarding the representative portfolio and, where applicable, the other accounts in the composite is available upon request. Please see the GIPS Disclosure page for additional information on the composite. USA - Issued in the USA by T. Rowe Price Associates, Inc., 100 East Pratt Street, Baltimore, MD, 10, which is regulated by the U.S. Securities and Exchange Commission. For Institutional Investors only. T. ROWE PRICE, INVEST WITH CONFIDENCE and the Bighorn Sheep design are, collectively and/or apart, trademarks of T. Rowe Price Group, Inc. All rights reserved. 0180-43598