Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments April 30, 2017
Economic Update: Overall Economy 8 U.S. GDP (Quarter over Quarter Annualized)* Percent 6 4 2 0-2 -4 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 0.7 2.6 2.4 2.3 2.2-6 -8-10 -12 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 Q1 2018 * Real Rate (Inflation Adjusted) Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists As of: 4/30/17 April 30, 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 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 Apr-17 4 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 Apr-17 *Los Angeles area unemployment is not seasonally adjusted. 12 Month Average Monthly Job Change: 186,417 Data Source: Bloomberg April 30, 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 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 Apr-17 $390 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 Apr-17 *Inflation Adjusted Data Source: Bloomberg April 30, 2017 4
Economic Update: Inflation 3.0 2.5 CPI and CPIX* YOY % Change Sector YOY % Price Changes Energy 10.0 Shelter 3.5 2.0 Services 2.7 Percent 1.5 1.0 0.5 CPI CPIX Wages Education CPI Food 0.4 2.5 2.3 2.2 0.0 Apparel 0.2-0.5 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 Apr-17 *CPIX: Consumer Price Index, excluding food and energy Communication -6.8-10 -5 0 5 10 15 Percent Data Source: Bloomberg April 30, 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 April 30, 2017 6
Economic Update: Sector Returns YTD As of: 4/30/17 20 15 10 7.0 7.2 8.8 10.5 11.2 12.4 12.9 13.2 15.0 Percent 5 0 0.1 0.1 0.4 0.8 1.0 1.1 1.7 1.8 2.1 2.9 3.3-5 -4.7-10 Data Source: Bloomberg April 30, 2017 7
Economic Update: S&P 500 Returns As of: 4/30/17 YTD S&P 500 Major Sector Returns 15 12.9 10 7.1 7.1 7.2 7.3 9.9 11.0 5 1.6 2.3 Percent 0-5 -10-9.4-15 Data Source: Bloomberg April 30, 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 4/28/17 3M6M 1Y 2Y 3Y 5Y 10Y 30Y Maturity 6/30/16 4/28/17 Change 3M 0.26 0.80 0.53 6M 0.35 0.97 0.62 1Y 0.44 1.06 0.63 2Y 0.58 1.26 0.68 3Y 0.69 1.44 0.75 5Y 1.00 1.82 0.82 10Y 1.47 2.28 0.81 30Y 2.29 2.95 0.67 Data Source: Bloomberg Figures may not total due to rounding April 30, 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 April 30, 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 12 Basis Point Spread 150 100 5 50 67 0 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 Sep-16 Jan-17 *BofA/Merrill Index (option adjusted spread vs. Treasury) Agency (GVP0) 0 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 Sep-16 Jan-17 *BofA/Merrill Index (option adjusted spread vs. Treasury) Corporate A-AAA (CV10) Data Source: Bloomberg April 30, 2017 11
Summary Portfolio Characteristics Market Value Par Value Los Angeles Core Core Benchmark * Los Angeles Reserve Reserve Benchmark # $2,200,473,028 -- $6,567,938,116 -- $2,202,876,189 -- $6,555,935,000 -- Total General Portfolio $8,768,411,144 $8,758,811,189 Variance ($2,403,160) -- $12,003,116 -- $9,599,955 Mkt Value % of Total 25.1% -- 74.9% -- 100% Average Maturity (Yrs)** 0.15 0.24 2.77 2.80 2.11 Effective Duration** Weighted Purchase Yield## 0.16 0.24 2.65 2.68 0.97% -- 1.53% -- 2.02 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 April 30, 2017 12
Total General Portfolio: Maturity Distribution 30% 25% 20% 15% 4/30/17 3/31/17 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+ 4/30/17 23.7% 0.1% 1.3% 24.1% 20.6% 17.4% 12.8% 3/31/17 20.7% 0.0% 1.2% 25.8% 21.2% 18.0% 13.1% Variance 3.0% 0.1% 0.1% -1.7% -0.6% -0.6% -0.3% April 30, 2017 13
Sector Allocations: Total General Portfolio Sector 4/30/2017 3/31/2017 Variance Bank Deposits 1.2% 1.0% 0.2% April 30, 2017 Bank Dep 1.2% CDARS 0.0% 0.0% 0.0% Commercial Paper Corporate Notes 22.0% 15.7% 18.7% 3.3% 16.2% -0.5% CP 22.0% ABS MMFs 0.4% 0.0% 0.1% 0.3% 0.0% 0.0% Tsy 52.3% Negotiable CDs 0.0% 0.0% 0.0% CORP 15.7% Agencies* 8.4% 8.7% -0.3% Treasuries 52.3% 55.2% -2.9% Total 100.0% 100.0% Agy 8.4% ABS 0.4% *Includes Supranational and Municipal Securities Figures may not total due to rounding April 30, 2017 14
Sector Allocations: Core Portfolio Core Portfolio Sector 4/30/2017 3/31/2017 Variance Bank Deposits 4.7% 4.4% 0.4% CDARS 0.0% 0.0% 0.0% Commercial Paper 87.5% 85.3% 2.2% Corporate Notes 6.1% 6.8% -0.6% MMFs 0.0% 0.0% 0.0% April 30, 2017 Corp 6.1% Agy 1.6% Tsy 0.0% Bank Dep 4.7% Negotiable CDs 0.0% Agencies* 1.6% Treasuries 0.0% Total 100.0% 0.0% 0.0% 3.5% -2.0% 0.0% 0.0% 100.0% CP 87.5% *Includes Supranational and Municipal Securities Figures may not total due to rounding April 30, 2017 15
Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 1.8% 1.6% Bubble size = Sector's % of Portfolio Corp Sector WAM (Yrs.) Purchase Yield % of Portfolio* 1.4% Negotiable CDs 0.00 0.00 0.0% 1.2% Corporate Notes 0.66 1.49% 6.4% Commercial Paper 0.13 0.94% 91.9% Agencies** 0.08 0.78% 1.7% Purchase Yield 1.0% 0.8% 0.6% Agy CP Treasuries 0.00 0.00 0.0% Total 0.16 0.97% 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 April 30, 2017 16
Sector Allocations: Reserve Portfolio Reserve Portfolio April 30, 2017 Sector 4/30/2017 3/31/2017 Variance Treasuries 69.9% 70.8% -0.9% Agencies* 10.6% 10.2% 0.5% Corp 18.9% ABS 0.6% Corporate Notes 18.9% 18.9% 0.1% ABS 0.6% 0.2% 0.4% Total 100.0% 100.0% Tsy 69.9% Agy 10.6% *Includes Supranational and Municipal Securities Figures may not total due to rounding April 30, 2017 17
Sector Allocations: Purchase Yield vs. Weighted Average Maturity Reserve Portfolio 2.25% 2.00% Corp Bubble size = Sector's % of Portfolio ABS Sector Treasuries WAM (Yrs.) 2.77 Purchase Yield 1.38% % of Portfolio* 69.9% Agencies** 2.70 1.56% 10.6% Corporate Notes 2.76 2.07% 18.9% ABS 4.68 1.88% 0.6% Purchase Yield 1.75% 1.50% 1.25% Agy Tsy Total 2.77 1.53% 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 6.0 WAM Years Figures may not total due to rounding April 30, 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 April 30, 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 April 30, 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 April 30, 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 Complies-none in portfolio Supranational Obligations 5 Years Complies *The City's Investment Policy and Investment guidelines allow for purchases of securities with longer maturities than those listed above for funds with longer investment/cash flow horizons. April 30, 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 Complies-none in portfolio Complies Complies Complies-none in portfolio Supranational Obligations 30% Complies April 30, 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 April 30, 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: 2.65 vs 2.68 April 30, 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 April 30, 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 April 30, 2017 27
Purchase Yield Per 3-Month Maturity Intervals Core Portfolio 2.0% Bubble Size = Maturity's % of Portfolio Months Purchase Yield % of Portfolio* 1.58% 0 to 3 0.94% 94.03% 3 to 6 1.37% 0.48% 1.5% 1.37% 1.28% 6 to 9 1.46% 2.39% 9 to 12 1.58% 3.10% Total 0.97% 100.00% Purchase Yield 1.0% 0.94% 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 April 30, 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 1.40% 15.14% 1.5 to 2.0 1.39% 15.38% 2.1% 1.8% 2.01% 2.0 to 2.5 1.58% 14.18% 2.5 to 3.0 1.53% 13.94% 3.0 to 3.5 1.63% 11.39% 1.40% 1.39% 3.5 to 4.0 1.45% 11.93% Purchase Yield 1.6% 1.3% 1.58% 1.53% 1.63% 1.45% 1.44% 4.0 to 4.5 1.44% 8.39% 4.5 to 5.0+ 2.01% 9.65% 1.1% Total 1.53% 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 April 30, 2017 29
Purchase Yield Per 6-Month Maturity Intervals Total General Portfolio Years Purchase Yield % of Portfolio* 2.3% 0 to 0.5 0.94% 22.86% 0.5 to 1.0 1.53% 1.33% 2.0% 2.01% 1.0 to 1.5 1.40% 11.48% 1.5 to 2.0 1.39% 11.66% 2.0 to 2.5 1.58% 10.75% 2.5 to 3.0 1.53% 10.57% 3.0 to 3.5 1.63% 8.63% Purchase Yield 1.8% 1.5% 1.3% 1.53% 1.63% 1.58% 1.53% 1.45% 1.44% 1.40% 1.39% 3.5 to 4.0 4.0 to 4.5 1.45% 9.04% 1.44% 6.36% 1.0% 0.94% 4.5 to 5+ 2.01% 7.32% 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 April 30, 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 April 30, 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 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 Sector May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 Tsy 48.3% 55.6% 57.6% 60.6% 61.8% 62.4% 62.9% 58.6% 58.1% 53.7% 55.2% 52.3% Agy 11.5% 11.9% 11.8% 11.7% 12.5% 11.5% 9.6% 12.5% 11.0% 10.4% 8.7% 8.4% Corp 14.3% 15.2% 15.3% 16.3% 16.6% 17.3% 17.6% 16.3% 16.5% 15.3% 16.2% 15.7% CP 24.8% 16.3% 14.3% 10.4% 7.8% 7.4% 8.2% 11.2% 13.2% 19.3% 18.7% 22.0% Neg. CDs 0.1% 0.1% 0.3% 0.3% 0.3% 0.3% 0.3% 0.3% 0.0% 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% 0.1% 0.4% Bank 0.8% 0.8% 0.7% 0.7% 1.0% 1.1% 1.3% 1.1% 1.2% 1.2% 1.0% 1.2% Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% Figures may not total due to rounding April 30, 2017 32
Book Return: Core Portfolio Percent Variance 0.75% 0.70% 0.65% 0.60% 0.55% 0.50% 0.45% 0.40% Performance Variance: Core vs Benchmark Core Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal YTD Core Portfolio Custom Benchmark* Variance July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 0.45% 0.48% 0.50% 0.51% 0.53% 0.55% 0.59% 0.62% 0.67% 0.70% 0.49% 0.50% 0.52% 0.53% 0.53% 0.56% 0.59% 0.61% 0.64% 0.67% -0.04% -0.02% -0.02% -0.02% 0.00% -0.01% 0.00% 0.01% 0.03% 0.03% Percent Variance 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% Fiscal YTD Core Portfolio Custom Benchmark* Variance Performance Variance: Core vs Benchmark FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 1.01% 1.27% 0.56% 0.41% 0.64% 0.70% 0.28% 0.19% 0.13% 0.15% 0.33% 0.67% 0.73% 1.08% 0.43% 0.26% 0.31% 0.03% *Core Benchmark: 70% monthly average of 60 Day A1/P1 Bloomberg CP Index (DCBP060Y) and 30% monthly moving average of 30 Day Agy (AGDN030Y). Average builds from beginning of fiscal year. Figures may not total due to rounding April 30, 2017 33
Book Return: Reserve Portfolio Percent Variance 1.50% 1.40% 1.30% 1.20% 1.10% 1.00% 0.90% 0.80% Performance Variance: Reserve vs Benchmark Reserve Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal YTD Reserve Portfolio Custom Benchmark* Variance 1.0% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.39% 1.38% 1.39% 1.39% 1.40% 1.39% 1.39% 1.41% 1.41% 1.42% 1.00% 1.00% 1.00% 1.00% 1.01% 1.02% 1.02% 1.03% 1.04% 1.06% 0.39% 0.38% 0.39% 0.39% 0.39% 0.37% 0.37% 0.38% 0.37% 0.36% Performance Variance: Reserve vs Benchmark Percent Variance 0.8% 0.6% 0.4% 0.2% 0.0% Fiscal YTD Reserve Portfolio Custom Benchmark* Variance FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 1.91% 1.55% 1.52% 1.41% 1.43% 1.42% 0.96% 0.66% 0.59% 0.76% 0.94% 1.06% 0.95% 0.89% 0.93% 0.65% 0.49% 0.36% *Reserve Benchmark: 24 month moving average of the Merrill Lynch 1-5 year U.S. Government and U.S. Corporate A-AAA Index (BU10). Average builds from beginning of fiscal year. Figures may not total due to rounding April 30, 2017 34
Book Return: Combined Portfolios Percent Variance 1.40% 1.30% 1.20% 1.10% 1.00% 0.90% 0.80% Performance Variance: Combined vs Benchmark Reserve Benchmark July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Fiscal YTD Combined Portfolio Custom Benchmark* Variance 1.0% July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 1.17% 1.20% 1.22% 1.24% 1.26% 1.26% 1.27% 1.28% 1.28% 1.29% 0.90% 0.90% 0.90% 0.91% 0.91% 0.92% 0.94% 0.95% 0.96% 0.98% 0.27% 0.30% 0.32% 0.33% 0.35% 0.34% 0.33% 0.33% 0.32% 0.31% Performance Variance: Combined vs Benchmark Percent Variance 0.8% 0.6% 0.4% 0.2% 0.0% Fiscal YTD Combined Portfolio Custom Benchmark* Variance FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 FY 12 FY 13 FY 14 FY 15 FY 16 FY 17 FY 18 FY 19 FY 20 FY 21 FY 22 1.76% 1.51% 1.36% 1.19% 1.40% 1.29% 0.83% 0.57% 0.50% 0.64% 0.82% 0.98% 0.93% 0.94% 0.86% 0.55% 0.58% 0.31% *Combined Benchmark: 80% of the Reserve Portfolio Benchmark and 20% of the Core Portfolio Benchmark. Average builds from beginning of fiscal year. Figures may not total due to rounding April 30, 2017 35
Portfolio Statistics: Monthly Total Return 0.09% Core vs Benchmark 0.35% Reserve vs Benchmark Percent Variance 0.08% 0.07% 0.06% 0.05% 0.04% 0.03% 0.02% 0.01% Percent Variance 0.30% 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 0.08% 0.07% 0.01% Monthly Performance 0.32% 0.32% 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 0.00% 0.07% Attribution of Sub-Sector Weighted Returns Variance Agency 0.06% 0.00% Treasury 0.32% 0.70 0.31% 0.81-0.03% Corporate 0.09% 0.00% Agy/Muni 0.27% 0.11 0.23% 0.06 0.02% Corp/ABS 0.38% 0.20 0.42% 0.14 0.02% 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 April 30, 2017 36
Total Return Performance: Core vs. Benchmark 1.00% 0.90% 0.80% Core Index 0.94% 0.70% 0.62% 0.65% 0.60% 0.54% 0.50% 0.42% 0.40% 0.36% 0.37% 0.30% 0.30% 0.20% 0.20% 0.13% 0.19% 0.16% 0.10% 0.08% 0.07% 0.00% 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years Year Portfolio Core Benchmark Variance Core Total Return 1 Month 3 Months FYTD 1 Year 3 Years 5 Years 10 Years 0.08% 0.20% 0.54% 0.62% 0.37% 0.30% 0.94% 0.07% 0.13% 0.36% 0.42% 0.19% 0.16% 0.65% 0.01% 0.07% 0.18% 0.20% 0.18% 0.14% 0.29% *Core Benchmark: 3 Month T-Bill (G0O1) April 30, 2017 37
Total Return Performance: Reserve vs. Benchmark 3.50% 3.00% Reserve Index 2.91% 2.75% 2.50% 2.00% 1.50% 1.29% 1.27% 1.07% 1.11% 1.00% 0.50% 0.32% 0.32% 0.57% 0.56% 0.38% 0.38% 0.00% -0.50% -0.36% -0.40% -1.00% 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 0.32% 0.57% -0.36% 0.38% 1.29% 1.07% 2.91% 0.32% 0.56% -0.40% 0.38% 1.27% 1.11% 2.75% 0.00% 0.01% 0.04% 0.00% 0.02% -0.04% 0.16% *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13 April 30, 2017 38
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% 0.54% 0.34% Benchmark* 0.16% 0.19% 0.04% 0.13% 0.07% 0.00% 0.19% 0.36% 0.23% Variance 0.06% 0.03% 0.17% 0.06% 0.03% 0.17% 0.21% 0.18% 0.11% *Core Benchmark: 3 Month T-Bill (G0O1) Figures may not total due to rounding April 30, 2017 39
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% -0.36% 1.94% Benchmark* 5.04% 2.67% 2.36% 0.39% 1.53% 1.39% 2.51% -0.40% 1.94% 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 April 30, 2017 40
Portfolio Statistics: Monthly & FYTD Total Return Core vs 3 Month T-Bill Index Monthly Performance Comparison FYTD Performance Variance 0.09% 0.08% 0.07% 0.06% 0.05% 0.04% 0.03% 0.02% 0.01% Core Benchmark 0.20% 0.18% 0.16% 0.14% 0.12% 0.10% 0.08% 0.06% 0.04% 0.02% 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun 0.00% Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Monthly Performance Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Core 0.04% 0.04% 0.04% 0.05% 0.05% 0.05% 0.07% 0.06% 0.06% 0.08% Benchmark 0.03% 0.02% 0.05% 0.03% 0.02% 0.04% 0.04% 0.04% 0.02% 0.07% Variance 0.01% 0.02% -0.01% 0.02% 0.03% 0.01% 0.03% 0.02% 0.04% 0.01% 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% 0.54% Benchmark 0.03% 0.05% 0.10% 0.13% 0.15% 0.19% 0.23% 0.27% 0.29% 0.36% Variance 0.01% 0.03% 0.02% 0.04% 0.07% 0.08% 0.11% 0.13% 0.17% 0.18% April 30, 2017 41
Portfolio Statistics: Monthly & FYTD Total Return Reserve vs 1-5 Year Government/Corporate Index Monthly Performance Comparison FYTD Performance Variance 0.40% 0.05% 0.20% 0.04% 0.00% 0.03% -0.20% 0.02% -0.40% 0.01% -0.60% -0.80% Reserve Benchmark 0.00% -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% 0.32% Benchmark 0.01% -0.27% 0.15% -0.18% -0.90% 0.04% 0.19% 0.19% 0.05% 0.32% Variance 0.01% 0.00% -0.01% 0.00% 0.03% 0.01% -0.01% 0.00% 0.01% 0.00% 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% -0.36% Benchmark 0.01% -0.26% -0.11% -0.29% -1.19% -1.15% -0.96% -0.77% -0.72% -0.40% Variance 0.01% 0.01% 0.00% 0.00% 0.03% 0.04% 0.03% 0.03% 0.04% 0.04% April 30, 2017 42
Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury Treasury Sector Total Returns Monthly Performance Comparison FYTD Performance Variance 0.40% 0.16% 0.20% 0.14% 0.00% -0.20% Reserve Tsy Benchmark Tsy 0.12% 0.10% 0.08% -0.40% 0.06% 0.04% -0.60% 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% 0.22% Benchmark -0.03% -0.25% 0.14% -0.16% -0.73% 0.02% 0.14% 0.12% 0.04% 0.25% Mon. Var. 0.01% 0.03% -0.01% 0.02% 0.10% 0.00% -0.03% -0.01% 0.00% -0.03% 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% 0.08% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* April 30, 2017 43
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% 0.03% Benchmark 0.00% -0.01% 0.01% 0.00% -0.04% 0.00% 0.01% 0.01% 0.00% 0.01% Mon. Var. 0.00% -0.02% 0.01% -0.02% -0.05% 0.00% 0.01% 0.00% 0.01% 0.02% 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% -0.04% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* April 30, 2017 44
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% 0.07% Benchmark 0.04% -0.01% 0.00% -0.02% -0.12% 0.02% 0.04% 0.06% 0.01% 0.06% Mon. Var. 0.00% -0.01% -0.01% 0.00% -0.03% 0.01% 0.01% 0.01% 0.00% 0.01% 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% -0.01% *Total returns are based upon sub-sector weighted returns Figures may not total due to rounding Fiscal YTD Variance* April 30, 2017 45
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 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 Interest 17.3 16.8 17.0 17.0 16.5 16.9 16.6 17.3 17.4 16.2 17.4 17.1 Price -30.9 76.1-16.3-43.8-1.9-35.2-106.5-13.3 1.2 2.7-12.0 15.0 Total -13.6 92.9 0.7-26.8 14.6-18.3-89.9 4.0 18.6 18.9 5.4 32.1 April 30, 2017 46
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 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 Sector Total Returns (Basis Points) May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 AVG Index -14 93 1-27 15-18 -90 4 19 19 5 32 3 Treasury -15 97-4 -31 17-20 -91 2 17 15 5 31 2 Agency -6 66-2 -16 18-8 -68 2 20 17 5 23 4 Corporate -10 84 31-8 1-14 -89 15 29 43 6 42 11 April 30, 2017 47
Reserve vs Index: Sector Allocations % of Portfolio/Index Percent 82% 80% 78% 76% 74% 72% 70% 68% 66% 64% Treasury Allocations: Reserve vs Index May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Index Reserve Mar-17 Apr-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 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 Feb-17 Mar-17 Apr-17 April 30, 2017 48
Effective Duration Allocations: Reserve vs. Benchmark 20% 18% 16% 14% 12% 15.6% 17.5% 15.9% 15.8% 13.9% 13.2% 14.2% 15.3% 11.3% 12.2% 11.4% 11.2% 10.9% Index Reserve 10% 9.3% 8% 6% 4.7% 4.8% 4% 2% 0% 0.0% 0.7% 2.2% 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 April 30, 2017 49
Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy 14% 12% 13.0% 12.2% 12.5% 10.9% 11.2% 11.6% 10.7% Index Treasury Reserve Treasury 10% 8.8% 8.9% 8.9% 9.3% 8.7% 8% 7.9% 6% 6.2% 4% 4.2% 3.6% 2% 0% 0.0% 0.7% 1.6% 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 April 30, 2017 50
Effective Duration Allocations: Reserve Agy vs. Benchmark Agy 5% 4% Index Agency Reserve Agency 3% 2.1% 2.0% 2.4% 2% 1.7% 1% 0% 0.0% 0.0% 0.2% 0.0% 1.2% 1.1% 1.3% 0.6% 0.5% 0.5% 0.5% 0.3% 0.4% 0.7% 0.0% 0.7% 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 April 30, 2017 51
Effective Duration Allocations: Reserve Corp vs. Benchmark Corp 6% 5% Index Corporate Reserve Corporate 4% 3.8% 3.9% 3% 3.2% 3.0% 2% 1.4% 2.3% 1.4% 2.1% 1.9% 1.8% 1.6% 1.7% 2.5% 1% 0.4% 1.0% 0.4% 0.5% 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 April 30, 2017 52
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 $4,588,111,050 52.33% AA+ Aaa Archer Daniels $23,704,301 0.27% A A2 Bank Tokyo-Mitsubishi $341,578,119 3.90% A+ A1 Coca Cola $22,092,400 0.25% AA- Aa3 Exxon Mobil $338,847,377 3.86% AA+ Aaa TVA $20,128,600 0.23% AA+ Aaa FNMA $280,917,213 3.20% AA+ Aaa Stryker $19,965,800 0.23% A Baa1 Mizuho Bank $229,561,504 2.62% A A1 Mastercard $17,921,040 0.20% A A2 Praxair $214,080,144 2.44% A A2 State Street $16,143,520 0.18% A A1 BNP Paribas $198,344,737 2.26% A A1 M&T Trust $16,123,840 0.18% A A3 United Parcel $169,580,902 1.93% A+ A1 Oracle $15,194,100 0.17% AA- A1 Toyota $167,842,100 1.91% AA- Aa3 BB&T Corp $15,177,150 0.17% A- A2 IBRD $119,370,550 1.36% AAA Aaa Gilead Sciences $15,145,850 0.17% A A3 FHLB $118,134,281 1.35% AA+ Aaa Precision Castparts $15,139,500 0.17% AA- A2 General Electric $110,946,682 1.27% AA- A1 Home Depot $15,132,500 0.17% A A2 Wells Fargo Bank* $104,459,189 1.19% NR NR Qualcomm $15,094,800 0.17% A A1 Apple $95,087,060 1.08% AA+ Aa1 Bank of America NA $15,090,150 0.17% A+ A1 Intercontinental Exg $74,318,580 0.85% A A2 IFC $15,049,500 0.17% AAA Aaa Pepsico $65,874,640 0.75% A+ A1 3M Company $15,042,300 0.17% AA- A1 State of California $64,942,246 0.74% AA- Aa3 Charles Schwab $15,036,800 0.17% A A2 BMW $60,539,256 0.69% A+ A1 Intel $15,008,850 0.17% A+ A1 JPMorgan Chase & Co $60,176,600 0.69% A- A3 Walt Disney $14,986,700 0.17% A A2 PNC Bank $55,281,600 0.63% A A2 FAMCA $14,985,900 0.17% AA+ Aaa Chevron $55,114,850 0.63% AA- Aa2 Georgia Power Company $14,981,850 0.17% A- A3 Johnson & Johnson $52,030,194 0.59% AAA Aaa UnitedHealth Group $14,171,960 0.16% A+ A3 IADB $50,102,400 0.57% AAA Aaa Public Service Electric $12,015,960 0.14% A Aa3 Honeywell $49,426,000 0.56% A A2 Chase Credit Card ABS $11,928,480 0.14% AAA NR Microsoft $46,936,070 0.54% AAA Aaa US Bancorp $10,084,000 0.12% A+ A1 IBM $45,405,900 0.52% A+ A1 Visa $10,079,900 0.11% A+ A1 Wells Fargo & Co $45,190,700 0.52% A A2 Danaher $10,079,000 0.11% A A2 FHLMC $44,854,800 0.51% AA+ Aaa Ralph Lauren $10,074,900 0.11% A A2 Bank of New York Mellon $40,309,000 0.46% A A1 American Express $10,053,000 0.11% A- A2 Branch Banking and Trust $40,304,650 0.46% A A1 Wisconsin Electric Power $10,018,000 0.11% A- A1 Berkshire Hathaway $39,991,900 0.46% AA Aa2 Wells Fargo Bank NA $10,016,000 0.11% AA- Aa2 Morgan Stanley $35,508,816 0.40% BBB+ A3 JPMorgan Chase Bank $9,945,200 0.11% A+ Aa3 Pfizer $34,938,750 0.40% AA A1 Target $7,089,460 0.08% A A2 John Deere $32,177,100 0.37% A A2 Automatic Data Processing $5,069,950 0.06% AA Aa3 Cisco $30,285,400 0.35% AA- A1 Procter & Gamble $5,040,600 0.06% AA- Aa3 US Bank $30,136,000 0.34% AA- A1 Daimler $5,036,600 0.06% A A2 Philip Morris $29,976,300 0.34% A A2 Eli Lilly $5,026,350 0.06% AA- A2 Goldman Sachs $27,096,954 0.31% BBB+ A3 Univ of California $4,999,050 0.06% AA Aa2 Citibank Credit Card ABS $25,079,250 0.29% AAA NR Merck $4,993,850 0.06% AA A1 American Honda $24,904,550 0.28% A+ A1 PACCAR $3,008,370 0.03% A+ A1 Caterpillar $24,771,650 0.28% A A3 Total $8,768,411,144 100.00% *Checking Account April 30, 2017 53
Total General Portfolio Transactions 80 70 60 50 40 30 20 10 0 Buys* Total Monthly Transactions Sells** May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 *Buys: Core-Includes transfers from Reserve **Sells: Core-Includes calls, Reserve-Includes calls and transfers to Core Core Transactions May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 Buys 37 51 46 35 34 39 38 61 42 47 27 30 Sells 0 0 0 0 0 0 0 0 0 0 0 0 Total 37 51 46 35 34 39 38 61 42 47 27 30 Reserve Transactions May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 Buys 5 11 4 9 10 6 8 7 4 10 9 13 Sells 8 13 2 3 4 5 7 5 6 12 7 9 Total 13 24 6 12 14 11 15 12 10 22 16 22 Total Transactions May-16 Jun-16 Jul-16 Aug-16 Sep-16 Oct-16 Nov-16 Dec-16 Jan-17 Feb-17 Mar-17 Apr-17 Buys 42 62 50 44 44 45 46 68 46 57 36 43 Sells 8 13 2 3 4 5 7 5 6 12 7 9 Total 50 75 52 47 48 50 53 73 52 69 43 52 April 30, 2017 54
Portfolio Transactions: Reserve Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 4/3/17 Stryker Corp 4/1/18 20,000,000 Transfer 4/4/17 Citibank Credit Card ABS ABS 4/7/22 25,000,000 Buy 4/5/17 Medtronic Corp 4/1/18 5,000,000 Sell 4/5/17 U.S. Treasury Note Tsy 11/30/21 25,000,000 Sell 4/6/17 FNMA Note Agy 4/5/22 10,000,000 Buy 4/6/17 FNMA Note Agy 4/5/22 15,000,000 Buy 4/10/17 Corning Corp 5/8/18 5,000,000 Sell 4/10/17 FAMCA Note Agy 4/18/19 15,000,000 Buy 4/11/17 Toyota Corp 4/17/20 10,000,000 Buy 4/19/17 FHLMC Note Agy 4/20/20 15,000,000 Buy 4/19/17 FHLMC Note Agy 4/20/20 10,000,000 Buy 4/21/17 State of California Agy 4/1/21 5,000,000 Buy 4/21/17 State of California Agy 4/1/22 5,000,000 Buy 4/27/17 Pepsico Corp 5/2/22 20,000,000 Buy 4/27/17 Pepsico Corp 5/2/19 20,000,000 Buy 4/28/17 U.S. Treasury Note Tsy 4/30/18 95,000,000 Sell 4/28/17 U.S. Treasury Note Tsy 4/30/22 25,000,000 Buy 4/28/17 U.S. Treasury Note Tsy 8/31/21 25,000,000 Buy 4/28/17 FFCB Note Agy 4/17/18 25,000,000 Sell 4/28/17 FHLB Note Agy 4/25/18 20,000,000 Sell 4/28/17 Apple Corp 5/3/18 10,000,000 Sell 4/28/17 Texas Instruments Corp 5/1/18 10,000,000 Sell *"Transfer" is from Reserve to Core April 30, 2017 55
Portfolio Transactions: Core Portfolio Trade Date Issuer Type Maturity Date Par Amount Action* 4/3/17 Stryker Corp 4/1/18 20,000,000 Transfer 4/3/17 Praxair CP 6/30/17 34,428,000 Buy 4/3/17 Apple CP 6/30/17 70,000,000 Buy 4/4/17 Mizuho Bank CP 6/7/17 33,387,000 Buy 4/5/17 Bank Tokyo-Mitsubishi CP 4/13/17 9,320,000 Buy 4/5/17 Praxair CP 4/11/17 20,000,000 Buy 4/6/17 Intercontinental Exg CP 6/5/17 15,986,000 Buy 4/6/17 United Parcel CP 4/12/17 40,000,000 Buy 4/7/17 General Electric CP 5/23/17 13,060,000 Buy 4/10/17 Bank Tokyo-Mitsubishi CP 5/23/17 18,200,000 Buy 4/11/17 Mizuho Bank CP 5/24/17 32,100,000 Buy 4/11/17 Archer Daniels CP 5/5/17 15,000,000 Buy 4/12/17 BNP Paribas CP 4/17/17 12,382,000 Buy 4/13/17 BNP Paribas CP 4/14/17 29,270,000 Buy 4/17/17 Bank Tokyo-Mitsubishi CP 4/24/17 10,000,000 Buy 4/17/17 Archer Daniels CP 5/9/17 8,709,000 Buy 4/18/17 Intercontinental Exg CP 5/24/17 19,080,000 Buy 4/19/17 Bank Tokyo-Mitsubishi CP 5/22/17 25,900,000 Buy 4/19/17 Praxair CP 6/30/17 30,000,000 Buy 4/20/17 General Electric CP 6/30/17 8,725,000 Buy 4/20/17 General Electric CP 6/30/17 50,000,000 Buy 4/20/17 Bank Tokyo-Mitsubishi CP 6/30/17 48,000,000 Buy 4/20/17 Exxon Mobil CP 6/7/17 60,000,000 Buy 4/20/17 Exxon Mobil CP 6/2/17 50,000,000 Buy 4/20/17 Praxair CP 6/30/17 150,000,000 Buy 4/21/17 General Electric CP 6/8/17 31,190,000 Buy 4/24/17 BNP Paribas CP 4/28/17 15,825,000 Buy 4/26/17 BNP Paribas CP 4/28/17 16,120,000 Buy 4/27/17 BNP Paribas CP 6/30/17 25,793,000 Buy 4/28/17 BNP Paribas CP 5/2/17 39,450,000 Buy *"Transfer" is from Reserve to Core April 30, 2017 56