presentation to the city of los angeles investment ... street iac report february...

Presentation to the

City of Los Angeles

Investment Advisory Committee

February 28, 2015

Economic Update-Overall Economy

* Real Rate (Inflation Adjusted)

Data Source: Bloomberg Estimate: Bloomberg's Survey of Economists

As of: 2/28/15

3.1

2.7

1.4

-2.7

2.0

-1.9

-8.2

-5.4

-0.5

1.3

3.9

1.7

3.9

2.7

2.5

-1.5

2.9

0.8

4.6

2.3

1.6

2.5

0.1

2.7

1.8

4.5

3.5

-2.1

4.6

5.0

2.6

2.5

2.9

3.0

2.9

-12

-10

-8

-6

-4

-2

0

2

4

6

8

Q2

20

07

Q3

20

07

Q4

20

07

Q1

20

08

Q2

20

08

Q3

20

08

Q4

20

08

Q1

20

09

Q2

20

09

Q3

20

09

Q4

20

09

Q1

20

10

Q2

20

10

Q3

20

10

Q4

20

10

Q1

20

11

Q2

20

11

Q3

20

11

Q4

20

11

Q1

20

12

Q2

20

12

Q3

20

12

Q4

20

12

Q1

20

13

Q2

20

13

Q3

20

13

Q4

20

13

Q1

20

14

Q2

20

14

Q3

20

14

Q4

20

14

Q1

20

15

Q2

20

15

Q3

20

15

Q4

20

15

Per

cen

t

U.S. GDP (Quarter over Quarter Annualized)*

February 28, 2015 2

Economic Update-Employment

*Los Angeles area unemployment is not seasonally adjusted.

Data Source: Bloomberg

12 Month Average Monthly Job Change: 274,667

-100

0

100

200

300

400

500

Au

g-1

0

No

v-1

0

Feb

-11

May

-11

Au

g-1

1

No

v-1

1

Feb

-12

May

-12

Au

g-1

2

No

v-1

2

Feb

-13

May

-13

Au

g-1

3

No

v-1

3

Feb

-14

May

-14

Au

g-1

4

No

v-1

4

Feb

-15

Th

ou

san

ds

Monthly Non-Farm Payrolls

5

6

7

8

9

10

11

12

13

Au

g-1

0

No

v-1

0

Feb

-11

May

-11

Au

g-1

1

No

v-1

1

Feb

-12

May

-12

Au

g-1

2

No

v-1

2

Feb

-13

May

-13

Au

g-1

3

No

v-1

3

Feb

-14

May

-14

Au

g-1

4

No

v-1

4

Feb

-15

Per

cen

t

Unemployment Rates California

LA Area

U.S.A

February 28, 2015 3

Economic Update-Consumer Activity

*Inflation Adjusted


0

1

2

3

4

5

6

7

Au

g-1

0

No

v-1

0

Feb

-11

May

-11

Au

g-1

1

No

v-1

1

Feb

-12

May

-12

Au

g-1

2

No

v-1

2

Feb

-13

May

-13

Au

g-1

3

No

v-1

3

Feb

-14

May

-14

Au

g-1

4

No

v-1

4

Feb

-15

Per

cen

t

U.S. Retail Sales* YOY % Change

$330

$350

$370

$390

$410

$430

$450

$470

Au

g-1

0

No

v-1

0

Feb

-11

May

-11

Au

g-1

1

No

v-1

1

Feb

-12

May

-12

Au

g-1

2

No

v-1

2

Feb

-13

May

-13

Au

g-1

3

No

v-1

3

Feb

-14

May

-14

Au

g-1

4

No

v-1

4

Feb

-15

Bil

lio

ns

Total Monthly U.S. Retail Sales

February 28, 2015 4

Economic Update-Inflation

BDP("CPICCOMM Index","CHG_PCT_1YR")

*CPIX: Consumer Price Index, excluding food and energy


-0.5

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

Sep

-10

Dec

-10

Mar-

11

Ju

n-1

1

Sep

-11

Dec

-11

Mar-

12

Ju

n-1

2

Sep

-12

Dec

-12

Mar-

13

Ju

n-1

3

Sep

-13

Dec

-13

Mar-

14

Ju

n-1

4

Sep

-14

Dec

-14

Per

cen

t

CPI and CPIX* YOY % Change

CPI

CPIX

-20.2

-3.0

-1.1

-0.2

1.8

2.1

2.2

3.0

3.8

-25 -20 -15 -10 -5 0 5 10

Energy

Communication

Apparel

CPI

Food

Services

Wages

Shelter

Education

Percent

Sector YOY % Price Changes

February 28, 2015 5

Economic Update-Dollar and Commodities


70

72

74

76

78

80

82

84

86

88

90

92

94

96

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

Sep

-14

Ind

ex V

alu

e

Dollar Index

$0

$20

$40

$60

$80

$100

$120

$140

$160

$0

$200

$400

$600

$800

$1,000

$1,200

$1,400

$1,600

$1,800

$2,000

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

Sep

-14

Oil

-Per

Ba

rrel

Gold

-Per

Ou

nce

Gold and Oil

Gold

Oil

February 28, 2015 6

Economic Update-Sector Returns YTD As of:


2/28/15

-1.8

0.0 0.2 0.3 0.3 0.6

0.9 1.1

1.7 1.9

2.5 2.7

2.9 3.1

4.4 4.8

5.0

6.4 6.8

7.2 7.3

-3

-2

-1

0

1

2

3

4

5

6

7

8

Per

cen

t

February 28, 2015 7

Economic Update-S&P 500 Returns As of:

energy select sector spdr*

Financial select sector spdr*

Health care select sector spdr*

industrial select sector spdr*

materials select sector spdr*

Technology select sector spdr*

utilities select sector spdr*


2/28/15

-4.2

-1.5

-0.2

1.6

3.1

4.2 4.7

5.3 5.6

6.0

-6

-4

-2

0

2

4

6

8

Per

cen

t

YTD S&P 500 Major Sector Returns

February 28, 2015 8

Economic Update-Yield Curve FYTD

Maturity 6/30/14 2/27/15 Change


3Y 0.87 1.00 0.13

30Y 3.36 2.59 -0.77

5Y 1.63 1.50 -0.13

10Y 2.53 1.99 -0.54

1Y 0.10 0.19 0.09

2Y 0.46 0.62 0.16

3M 0.02 0.01 -0.01

6M 0.06 0.07 0.01

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

3M 6M 1Y 2Y 3Y 5Y 10Y 30Y

Per

cen

t

U.S. Treasury Yield Curve

6/30/14

2/27/15

February 28, 2015 9

Economic Update-Interest Rates


0.00

0.05

0.10

0.15

0.20

0.25

0.30

Feb

-12

Ap

r-1

2

Ju

n-1

2

Au

g-1

2

Oct

-12

Dec

-12

Feb

-13

Ap

r-1

3

Ju

n-1

3

Au

g-1

3

Oct

-13

Dec

-13

Feb

-14

Ap

r-1

4

Ju

n-1

4

Au

g-1

4

Oct

-14

Dec

-14

Feb

-15

Per

cen

t

U.S. Treasury Yields: 3M and 1Y

1Y

3M

0.00

0.25

0.50

0.75

1.00

1.25

1.50

1.75

2.00

Feb

-12

Ap

r-1

2

Ju

n-1

2

Au

g-1

2

Oct

-12

Dec

-12

Feb

-13

Ap

r-1

3

Ju

n-1

3

Au

g-1

3

Oct

-13

Dec

-13

Feb

-14

Ap

r-1

4

Ju

n-1

4

Au

g-1

4

Oct

-14

Dec

-14

Feb

-15

Per

cen

t

U.S. Treasury Yields: 2Y and 5Y

5Y

2Y

February 28, 2015 10

Economic Update-Agency and Corporate Spreads

*BofA/Merrill Index (option adjusted spread vs. Treasury) *BofA/Merrill Index (option adjusted spread vs. Treasury)

Agency (GVP0) Corporate A-AAA (CV10)


7

0

20

40

60

80

100

120

140

160

180

200

Ju

l-0

8

No

v-0

8

Mar-

09

Ju

l-0

9

No

v-0

9

Mar-

10

Ju

l-1

0

No

v-1

0

Mar-

11

Ju

l-1

1

No

v-1

1

Mar-

12

Ju

l-1

2

No

v-1

2

Mar-

13

Ju

l-1

3

No

v-1

3

Mar-

14

Ju

l-1

4

No

v-1

4

Ba

sis

Po

int

Sp

rea

d

Spread*: 1-5 Yr Agency vs Treasury

60

0

50

100

150

200

250

300

350

400

450

500

550

600

650

700

Ju

l-0

8

No

v-0

8

Mar-

09

Ju

l-0

9

No

v-0

9

Mar-

10

Ju

l-1

0

No

v-1

0

Mar-

11

Ju

l-1

1

No

v-1

1

Mar-

12

Ju

l-1

2

No

v-1

2

Mar-

13

Ju

l-1

3

No

v-1

3

Mar-

14

Ju

l-1

4

No

v-1

4

Ba

sis

Po

int

Sp

rea

d

Spread*: 1-5 Yr Corporate vs Treasury


Summary Portfolio Characteristics

*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

Core

Benchmark *

Los Angeles

Reserve

Reserve

Benchmark #

0.18 0.22 2.67 2.69

2.75 2.80

--

Total General

Portfolio

Weighted Purchase Yield##

Market Value

$8,632,534,614

$1,957,449 -- $81,725,630 -- $83,683,079

1.00%

25% -- 75%

2.03

Los Angeles Core

Par Value

Variance

2.10

0.36% -- 1.22% --

$8,716,217,693

$2,218,730,614 -- $6,413,804,000 --

$2,220,688,063 -- $6,495,529,630 --

Mkt Value % of Total

Average Maturity (Yrs)**

Effective Duration**

100%

0.19 0.22


Total General Portfolio: Maturity Distribution

-0.7%

.25 to .5

25.2%

21.9% 16.1% 12.6%

-1.2% -0.3% 0.2%

3 to 4 4 to 5+

20.6% 15.9% 12.8%

1 to 2

5.6% 1.4% 25.9%

2 to 3

2/28/15

1/31/15

Variance

0-.25 .5 to 1

1.6% 0.0% 0.4%

5.6% 1.8%

16.5%

Years

18.1%

0%

5%

10%

15%

20%

25%

30%

0-.25 .25 to .5 .5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+

2/28/15

1/31/15


Total General Portfolio: Sector Allocations

Figures may not total due to rounding

Sector 2/28/2015 1/31/2015 Variance

0.0%

1.3%

0.1% 0.0%

16.0% -0.7%

18.5% -1.6%

0.4%

0.0%

1.7%

0.1%

Corporate Notes

MMFs

100.0%

0.0% 0.0%

13.2% 1.0%

51.8% 0.0%51.7%

February 28, 2015

Negotiable CDs

15.3%

16.9%

0.0%

100.0%

Federal Agencies

Treasuries

Total

0.0%

14.2%

Bank Deposits

CDARS

Commercial Paper

Bank

1.7%

CDARS

0.1% CP

15.3%

CORP

16.9%

Agy

14.2%

Tsy

51.7%


Sector Allocations - Core Portfolio


Total 100.0%

Negotiable CDs 0.0%

Treasuries 0.0%

Federal Agencies 24.2%

Commercial Paper 60.1%

Core Portfolio

CDARS 0.3%

68.3%

February 28, 2015

-8.2%


Bank Deposits 6.8% 1.9% 5.0%

Corporate Notes 8.6% 9.8% -1.2%

MMFs 0.0% 0.0% 0.0%

0.4% 0.0%

0.0% 0.0%

100.0%

0.0% 0.0%

19.7% 4.5%

Bank Dep

6.8% CDARS

0.3%

CP 60.1%

Corp

8.6%

Agy

24.2%


Sector Allocations: Purchase Yield vs. Weighted Average Maturity

*Based on Market Value


Does not include Checking and BNYM Sweep, CDARS included with CP

Agency 0.22 31.57% 25.9%

Total 0.19 36.44% 100.0%

Treasury 0.00 0.00% 0.0%

Core Portfolio

Sector WAM (Yrs.) Purchase Yield % of Portfolio*

Corporate 0.53 190.32% 9.2%

Commercial Paper 0.13 16.44% 64.8%

Corp

CP

Agy

-50.0%

0.0%

50.0%

100.0%

150.0%

200.0%

250.0%

-0.2 0.0 0.2 0.4 0.6 0.8

Pu

rch

ase

Yie

ld

WAM Years

Bubble size = Sector's % of Portfolio


Sector Allocations - Reserve Portfolio


Total 100.0% 100.0%

Negotiable CDs

-1.4%

MMFs 0.0% 0.0% 0.0%

Reserve Portfolio

February 28, 2015

Corporate Notes 19.7%

CDARS 0.0% 0.0% 0.0%

Commercial Paper 0.0% 0.0% 0.0%


Bank Deposits 0.0% 0.0% 0.0%

Treasuries 69.4% 67.7% 1.7%

0.0% 0.0% 0.0%

Federal Agencies 10.9% 11.2% -0.4%

21.1%

Corp

19.7%

Agy

10.9%

Tsy

69.4%


Sector Allocations: Purchase Yield vs. Weighted Average Maturity

*Based on Market Value


2.73

2.52

2.96

69.4%

10.9%

19.7%

Purchase Yield

Reserve Portfolio

Total 2.75 1.22% 100.0%

1.15%

1.82%

1.06%

% of Portfolio*Sector WAM (Yrs.)

Treasury

Agency

Corporate Tsy

Agy

Corp

0.50%

0.75%

1.00%

1.25%

1.50%

1.75%

2.00%

0.0 1.0 2.0 3.0

Pu

rch

ase

Yie

ld

WAM Years

Bubble size = Sector's % of Portfolio


Core and Reserve Market Values

*Core's market value includes checking accounts

Month End Market Values

$0.0

$0.5

$1.0

$1.5

$2.0

$2.5

$3.0

Ju

l-0

6

Dec

-06

May

-07

Oct-

07

Mar-0

8

Au

g-0

8

Jan

-09

Ju

n-0

9

No

v-0

9

Ap

r-1

0

Sep

-10

Feb

-11

Ju

l-1

1

Dec

-11

May

-12

Oct-

12

Mar-1

3

Au

g-1

3

Jan

-14

Ju

n-1

4

No

v-1

4

Bil

lio

ns

Core*

$2.0

$2.5

$3.0

$3.5

$4.0

$4.5

$5.0

$5.5

$6.0

$6.5

$7.0

Ju

l-0

6

Dec

-06

May

-07

Oct-

07

Mar-0

8

Au

g-0

8

Jan

-09

Ju

n-0

9

No

v-0

9

Ap

r-1

0

Sep

-10

Feb

-11

Ju

l-1

1

Dec

-11

May

-12

Oct-

12

Mar-1

3

Au

g-1

3

Jan

-14

Ju

n-1

4

No

v-1

4

Bil

lio

ns

Reserve


Total General Portfolio: Market Value

Total General Portfolio Market Value

$4.5

$5.0

$5.5

$6.0

$6.5

$7.0

$7.5

$8.0

$8.5

$9.0

Ju

l-0

6

Oct

-06

Jan

-07

Ap

r-0

7

Ju

l-0

7

Oct

-07

Jan

-08

Ap

r-0

8

Ju

l-0

8

Oct

-08

Jan

-09

Ap

r-0

9

Ju

l-0

9

Oct

-09

Jan

-10

Ap

r-1

0

Ju

l-1

0

Oct

-10

Jan

-11

Ap

r-1

1

Ju

l-1

1

Oct

-11

Jan

-12

Ap

r-1

2

Ju

l-1

2

Oct

-12

Jan

-13

Ap

r-1

3

Ju

l-1

3

Oct

-13

Jan

-14

Ap

r-1

4

Ju

l-1

4

Oct

-14

Jan

-15

Bil

lio

ns


Total General Portfolio: % of Portfolio: Core vs Reserve

% of Total General Portfolio: Core vs Reserve

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Ju

l-0

6

Oct

-06

Jan

-07

Ap

r-0

7

Ju

l-0

7

Oct

-07

Jan

-08

Ap

r-0

8

Ju

l-0

8

Oct

-08

Jan

-09

Ap

r-0

9

Ju

l-0

9

Oct

-09

Jan

-10

Ap

r-1

0

Ju

l-1

0

Oct

-10

Jan

-11

Ap

r-1

1

Ju

l-1

1

Oct

-11

Jan

-12

Ap

r-1

2

Ju

l-1

2

Oct

-12

Jan

-13

Ap

r-1

3

Ju

l-1

3

Oct

-13

Jan

-14

Ap

r-1

4

Ju

l-1

4

Oct

-14

Jan

-15

Reserve

Core


Portfolio Compliance with Code, Policy, and Guidelines

*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.

Asset Backed Securities

92 Days

5 Years

1 Year

32 Days

Maturity Limitations*

Commercial Paper

Negotiable Certificates of Deposit

CRA Certificates of Deposit

Repurchase Agreements

Government Securities

ComplianceSector

Complies

270 Days

180 Days

Limit

5 Years

Banker's Acceptances

Complies

Complies-none in portfolio



Complies

Complies



Complies-none in portfolio180 Days

Reverse Repo/Securities Lending

Corporate Notes

5 Years

5 Years

Mortgage Backed Securities/CMOs



Corporate Notes

Percentage Allocation Limitations


20% Combined with ABS

20% Combined with MBS



15%

Limit

100%

40%

180 Days

1 Year

Compliance

Complies

Complies

20%

$50 Million Per Account

30%

10%

5% Reverse Repo/20% Revs.

Repo +Sec Lending

30%

LAIF State Pool

Complies

Complies


Sector

Government Securities

Commercial Paper

Negotiable Certificates of Deposit

CRA Certificates of Deposit

Repurchase Agreements

Reverse Repo/Securities Lending

Complies

Complies

Complies


Complies

Mortgage Backed Securities/CMOs

Asset Backed Securities

Banker's Acceptances

State/Local Agency Securities

Mutual Funds/Money Market Funds



Issuer and Transaction Limitations -- Approved Issuers

Item Limit

Government Issuer 100% Complies

Compliance

Corporate Notes From Approved List Complies

Dealers From Approved List Complies

Commercial Paper From Approved List Complies

Non-Governmental Issuer 5% Complies

Single Transaction$200 Million w/o Treasurer's

Written ApprovalComplies



Portfolio Maturity Limitations and Duration Ranges

Core Portfolio

Effective Duration 1-5 Govt/Corp Index +/- .10 Complies: 2.67 vs 2.69

Item Limit Compliance

Maturity Limitation One Year Complies

Reserve Portfolio

Item Limit Compliance


Portfolio Statistics-Yield and Duration

*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 at month-end, after index rebalancing for the next month. Core duration does not include checking accounts.

0%

1%

2%

3%

4%

5%

6%

Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14

Per

cen

t

Purchase Yield: Core vs Benchmark*

Core

Benchmark

2.2

2.3

2.4

2.5

2.6

2.7

2.8


Du

rati

on

Reserve Duration Reserve

Benchmark

0%

1%

2%

3%

4%

5%

6%


Per

cen

t

Purchase Yield: Reserve vs Benchmark*

Reserve

Benchmark

0.05

0.10

0.15

0.20

0.25

0.30

0.35

0.40

0.45


Du

rati

on

Core Duration Core

Benchmark


Portfolio Statistics-Historical Purchase Yields

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

5.5%

6.0%J

ul-

06

Oct

-06

Jan

-07

Ap

r-0

7

Ju

l-0

7

Oct

-07

Jan

-08

Ap

r-0

8

Ju

l-0

8

Oct

-08

Jan

-09

Ap

r-0

9

Ju

l-0

9

Oct

-09

Jan

-10

Ap

r-1

0

Ju

l-1

0

Oct

-10

Jan

-11

Ap

r-1

1

Ju

l-1

1

Oct

-11

Jan

-12

Ap

r-1

2

Ju

l-1

2

Oct

-12

Jan

-13

Ap

r-1

3

Ju

l-1

3

Oct

-13

Jan

-14

Ap

r-1

4

Ju

l-1

4

Oct

-14

Jan

-15

Per

cen

t

Reserve

Total Portfolio

Core


Purchase Yield Per 3-Month Maturity Intervals

*Based on Par Value

9 to 12 2.41% 2.67%

3 to 6 0.52% 23.78%

6 to 9 1.55% 4.47%

Core Portfolio

Months Purchase Yield % of Portfolio*

0 to 3 0.15% 69.08%

0.15%

0.52%

1.55%

2.41%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

3.0%

Pu

rch

ase

Yie

ld

0 to 3

Months

3-6

Months 6-9

Months

9-12

Months

Bubble Size = Maturity's % of Portfolio



*Based on Par Value

4.5 to 5.0+ 1.69% 8.05%

3.5 to 4.0

4.0 to 4.5

1.57%

1.75%

12.07%

10.20%

0.90%

0.98%

Reserve Portfolio

3.0 to 3.5

.5 to 1.0 0.00% 0.00%

Years

1.0 to 1.5

1.5 to 2.0

2.0 to 2.5

2.5 to 3.0

1.30%

% of Portfolio*

14.40%

18.01%

13.32%

14.13%

9.84%

Purchase Yield

1.28%

0.82% 1.28%

0.82%

0.90% 0.98%

1.30%

1.57%

1.75% 1.69%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

Pu

rch

ase

Yie

ld

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

.5 to 1

Yrs




*Based on Par Value

4.0 to 4.5 1.75% 7.72%

0.5 to 1.0 1.87% 1.73%

3.0 to 3.5 1.30% 7.45%

2.5 to 3.0 0.98% 10.69%

3.5 to 4.0 1.57% 9.13%

2.0 to 2.5 0.90% 10.08%

Total General Portfolio

1.0 to 1.5 1.28% 10.90%

1.5 to 2.0 0.82% 13.63%

Years Purchase Yield % of Portfolio*

0 to 0.5 0.24% 22.58%

4.5 to 5+ 1.69% 6.09%

0.24%

1.87%

1.28%

0.82% 0.90%

0.98%

1.30%

1.57%

1.75% 1.69%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%

-0.5 0.0 0.5 1.0 1.5 2.0 2.5 3.0 3.5 4.0 4.5 5.0

Pu

rch

ase

Yie

ld

Years



Portfolio Statistics-Historical Duration

0.0

0.5

1.0

1.5

2.0

2.5

3.0J

ul-

06

Oct

-06

Jan

-07

Ap

r-0

7

Ju

l-0

7

Oct

-07

Jan

-08

Ap

r-0

8

Ju

l-0

8

Oct

-08

Jan

-09

Ap

r-0

9

Ju

l-0

9

Oct

-09

Jan

-10

Ap

r-1

0

Ju

l-1

0

Oct

-10

Jan

-11

Ap

r-1

1

Ju

l-1

1

Oct

-11

Jan

-12

Ap

r-1

2

Ju

l-1

2

Oct

-12

Jan

-13

Ap

r-1

3

Ju

l-1

3

Oct

-13

Jan

-14

Ap

r-1

4

Ju

l-1

4

Oct

-14

Jan

-15

Du

rati

on

Reserve

Total Portfolio

Core


Total General Portfolio Statistics-Sector Allocation History

Sector Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15

Tsy 55.8% 55.4% 54.2% 53.5% 53.4% 55.6% 55.7% 56.2% 55.5% 51.1% 51.8% 51.7%

Agy 11.6% 14.5% 16.9% 16.4% 17.4% 12.9% 13.3% 10.9% 10.5% 13.1% 13.2% 14.2%

Corp 18.8% 19.2% 18.1% 18.4% 18.7% 20.0% 19.0% 19.5% 19.8% 18.3% 18.5% 16.9%

CP 11.9% 10.0% 10.1% 10.8% 10.1% 10.7% 8.3% 10.0% 12.7% 12.5% 16.0% 15.3%

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 1.8% 0.8% 0.7% 0.9% 0.3% 0.7% 3.6% 3.3% 1.3% 4.8% 0.4% 1.7%

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%


0%

10%

20%

30%

40%

50%

60%

70%

Jul-

06

Oct

-06

Jan

-07

Ap

r-0

7

Jul-

07

Oct

-07

Jan

-08

Ap

r-0

8

Jul-

08

Oct

-08

Jan

-09

Ap

r-0

9

Jul-

09

Oct

-09

Jan

-10

Ap

r-1

0

Jul-

10

Oct

-10

Jan

-11

Ap

r-1

1

Jul-

11

Oct

-11

Jan

-12

Ap

r-1

2

Jul-

12

Oct

-12

Jan

-13

Ap

r-1

3

Jul-

13

Oct

-13

Jan

-14

Ap

r-1

4

Jul-

14

Oct

-14

Jan

-15

Tsy

Agy

Corp

CP

Bank/Sweep

CDARS

MBS


Portfolio Statistics-Monthly Total Return

Core Benchmark Variance Reserve Benchmark Variance

0.01% 0.00% 0.01% -0.42% -0.46% 0.04%

Sector Core Benchmark Variance Sector Reserve Benchmark Variance

Treasury 0.00% 0.00% 0.00% Treasury -0.47% -0.51% 0.04%

Agency 0.01% 0.00% 0.01% Agency -0.35% -0.32% -0.03%

Corporate 0.02% 0.00% 0.02% Corporate -0.27% -0.23% -0.04%

Benchmark Sector Returns are calculated by FTN Financial Main Street using the

subsector returns of the BU10 index.

Monthly Performance Monthly Performance

*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

-0.50%

-0.45%

-0.40%

-0.35%

-0.30%

-0.25%

-0.20%

-0.15%

-0.10%

-0.05%

0.00%

Reserve Benchmark

Per

cen

t V

ari

an

ce

Reserve vs Benchmark

0.00%

0.01%

0.02%

0.03%

0.04%

0.05%

Core Benchmark

Per

cen

t V

ari

an

ce

Core vs Benchmark


Portfolio Statistics-Historical Total Return

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% 0.09% 0.96%

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% 0.09% 0.35%

*Core Benchmark: 3 Month T-Bill (G0O1)


0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15

Per

cen

t V

ari

an

ce

Performance Variance: Core vs 3 Mon T-bill


Portfolio Statistics-Historical Total Return

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% 1.00% 3.34%

Benchmark* 7.37% 4.89% 5.04% 2.67% 2.36% 0.39% 1.53% 0.98% 3.15%

Variance 0.56% 0.98% 0.27% -0.11% 0.02% -0.24% 0.02% 0.02% 0.19%

*Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13


-0.4%

-0.2%

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

FY 08 FY 09 FY 10 FY 11 FY 12 FY 13 FY 14 FYTD 15

Per

cen

t V

ari

an

ce

Performance Variance: Reserve vs 1-5Yr Govt/Corp


Portfolio Statistics-Monthly & FYTD Total Return

Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Core 0.01% 0.01% 0.01% 0.01% 0.02% 0.00% 0.02% 0.01%

Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

Variance 0.01% 0.01% 0.01% 0.01% 0.02% 0.00% 0.02% 0.01%


Core 0.01% 0.02% 0.03% 0.04% 0.06% 0.06% 0.08% 0.09%

Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

Variance 0.01% 0.02% 0.03% 0.04% 0.06% 0.06% 0.08% 0.09%

Monthly Performance

Fiscal YTD Performance

Core vs 3 Month T-Bill Index

0.00%

0.01%

0.02%

0.03%

0.04%

0.05%

Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Monthly Performance Comparison

Core

Benchmark

0.00%

0.02%

0.04%

0.06%

0.08%

0.10%


FYTD Performance Variance


Portfolio Statistics-Monthly & FYTD Total Return


Reserve -0.22% 0.35% -0.18% 0.46% 0.32% -0.30% 0.99% -0.42%

Benchmark -0.22% 0.35% -0.19% 0.48% 0.33% -0.32% 1.01% -0.46%

Variance 0.00% 0.00% 0.01% -0.02% -0.01% 0.02% -0.02% 0.04%


Reserve -0.22% 0.13% -0.05% 0.41% 0.73% 0.43% 1.42% 1.00%

Benchmark -0.22% 0.13% -0.06% 0.42% 0.75% 0.43% 1.44% 0.98%

Variance 0.00% 0.00% 0.01% -0.01% -0.02% 0.00% -0.02% 0.02%

*The benchmark index for the Reserve Portfolio was changed August 1, 2013

Monthly Performance*

Fiscal YTD Performance*

Reserve vs 1-5 Year Government/Corporate Index

-0.60%

-0.40%

-0.20%

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%



Reserve

Benchmark

-0.10%

-0.05%

0.00%

0.05%

0.10%




Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury


Reserve -0.23% 0.34% -0.16% 0.49% 0.30% -0.32% 0.97% -0.47%

Benchmark -0.23% 0.35% -0.18% 0.50% 0.32% -0.33% 1.02% -0.51%

Mon. Var. 0.00% -0.01% 0.02% -0.01% -0.02% 0.01% -0.05% 0.04%


FYTD Var. 0.00% -0.01% 0.01% 0.00% -0.02% -0.01% -0.06% -0.02%


Treasury Sector Total Returns

Monthly Variance*

Fiscal YTD Variance*

-0.60%

-0.40%

-0.20%

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%



Reserve Tsy

Benchmark Tsy

-0.08%

-0.06%

-0.04%

-0.02%

0.00%

0.02%

0.04%

0.06%

0.08%




Portfolio Attribution: Reserve Agency vs. Benchmark Agency


Reserve -0.23% 0.30% -0.09% 0.44% 0.30% -0.23% 0.82% -0.35%

Benchmark -0.15% 0.24% -0.10% 0.36% 0.30% -0.23% 0.81% -0.32%

Mon. Var. -0.08% 0.06% 0.01% 0.08% 0.00% 0.00% 0.01% -0.03%


FYTD Var. -0.08% -0.02% -0.01% 0.07% 0.07% 0.07% 0.08% 0.05%


Agency Sector Total Returns

Monthly Variance*


-0.60%

-0.40%

-0.20%

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%



Reserve Agy

Benchmark Agy

-0.10%

-0.08%

-0.06%

-0.04%

-0.02%

0.00%

0.02%

0.04%

0.06%

0.08%

0.10%




Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate


Reserve -0.20% 0.39% -0.30% 0.39% 0.38% -0.27% 1.15% -0.27%

Benchmark -0.20% 0.41% -0.32% 0.43% 0.39% -0.30% 1.10% -0.23%

Mon. Var. 0.00% -0.02% 0.02% -0.04% -0.01% 0.03% 0.05% -0.04%


FYTD Var. 0.00% -0.02% 0.00% -0.04% -0.05% -0.02% 0.03% -0.01%


Corporate Sector Total Returns

Monthly Variance*


-0.40%

-0.20%

0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%



Reserve Corp

Benchmark Corp

-0.06%

-0.04%

-0.02%

0.00%

0.02%

0.04%

0.06%

0.08%




Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA)

Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15

Interest 16.9 16.6 16.9 16.6 16.9 17.0 16.8 17.2 16.8 17.3 17.4 16.1

Price -47.3 10.1 24.8 -24.9 -38.5 17.9 -35.9 30.9 15.7 -49.3 83.2 -61.9

Total -30.4 26.7 41.7 -8.3 -21.6 34.9 -19.1 48.1 32.5 -32.0 100.6 -45.8


Component Total Return

-80

-60

-40

-20

0

20

40

60

80

100

120

Ba

sis

Po

ints

Monthly Price Return vs Interest Return

Price Return

Interest Return

-60

-40

-20

0

20

40

60

80

100

120

Ba

sis

Po

ints

Monthly Total Return


Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns

Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 AVG

Index -30 27 42 -8 -22 35 -19 48 33 -32 101 -46 11

Treasury -32 24 40 -10 -23 35 -18 50 32 -33 102 -51 10

Agency -22 28 33 -6 -15 24 -10 36 30 -23 81 -32 10

Corporate -27 39 56 0 -20 41 -32 43 39 -30 110 -23 16


Sector Total Returns (Basis Points)

-60

-40

-20

0

20

40

60

80

100

120


Ba

sis

Po

ints

Index Sector Total Returns Tsy

Agy

Corp

Govt/Corp Index


Reserve vs Index: Sector Allocations % of Portfolio/Index

64%

66%

68%

70%

72%

74%

76%

78%

80%

Mar-1

4

Ap

r-1

4

May

-14

Ju

n-1

4

Ju

l-1

4

Au

g-1

4

Sep

-14

Oct-

14

No

v-1

4

Dec

-14

Jan

-15

Feb

-15

Per

cen

t

Treasury Allocations: Reserve vs Index

Index

Reserve

7%

8%

9%

10%

11%

12%

13%

14%

15%

Mar-1

4

Ap

r-1

4

May

-14

Ju

n-1

4

Ju

l-1

4

Au

g-1

4

Sep

-14

Oct-

14

No

v-1

4

Dec

-14

Jan

-15

Feb

-15

Per

cen

t

Agency Allocations: Reserve vs Index

Index

Reserve

11%

12%

13%

14%

15%

16%

17%

18%

19%

20%

21%

22%

Mar-1

4

Ap

r-1

4

May

-14

Ju

n-1

4

Ju

l-1

4

Au

g-1

4

Sep

-14

Oct-

14

No

v-1

4

Dec

-14

Jan

-15

Feb

-15

Per

cen

t

Corporate Allocations: Reserve vs Index

Index

Reserve


Effective Duration Allocations: Reserve vs. Benchmark

*Calculated using market values

0.0

%

2.0

%

16

.0%

15

.8%

13

.4%

14

.3%

11

.2%

11

.2%

10

.1%

5.9

%

0.0

%

0.4

%

16

.3%

17

.6%

14

.8%

12

.4%

13

.0%

11

.2%

10

.0%

4.3

%

0%

2%

4%

6%

8%

10%

12%

14%

16%

18%

20%

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*

Index

Reserve


Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy


0.0

%

1.5

%

13

.1%

12

.7%

10

.5%

10

.3%

9.4

%

8.5

%

8.6

%

5.2

%

0.0

%

0.0

%

12

.7%

11

.4%

10

.8%

8.5

%

9.0

%

7.8

%

5.9

%

3.4

%

0%

2%

4%

6%

8%

10%

12%

14%

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*

Index Treasury

Reserve Treasury


Effective Duration Allocations: Reserve Agy vs. Benchmark Agy


0.0

%

0.4

%

1.7

%

1.6

%

1.3

%

1.1

%

0.5

%

0.5

%

0.4

%

0.2

%

0.0

%

0.4

%

1.2

%

3.4

%

1.6

%

0.8

%

1.2

%

1.3

%

0.8

%

0.2

%

0%

1%

2%

3%

4%

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*

Index Agency

Reserve Agency


Effective Duration Allocations: Reserve Corp vs. Benchmark Corp


0.0

%

0.2

%

1.3

%

1.5

%

1.6

%

2.9

%

1.3

%

2.2

%

1.2

%

0.5

%

0.0

%

0.0

%

2.4

%

2.8

%

2.4

%

3.2

%

2.7

%

2.2

%

3.4

%

0.8

%

0%

1%

2%

3%

4%

5%

6%

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*

Index Corporate

Reserve Corporate


Total General Portfolio: Credit Quality

S&P Moody's S&P Moody's

Market Value % of Port LT Rating LT Rating Issuer Market Value % of Port LT Rating LT Rating

US Treasury Note $4,508,764,050 51.73% AA+ Aaa FFCB $17,144,670 0.20% AA+ AaaFNMA $508,350,333 5.83% AA+ Aaa Chevron $17,093,980 0.20% AA Aa1Toyota $410,646,455 4.71% AA- Aa3 Home Depot $15,318,600 0.18% A A2FHLB $393,135,194 4.51% AA+ Aaa Branch Banking And Trust Co. $15,121,850 0.17% A A1General Electric $334,026,659 3.83% AA+ A1 Intel $15,086,550 0.17% A+ A1Exxon Mobil $266,317,915 3.06% AAA Aaa Texas Instrument $15,011,100 0.17% A+ A1Bank Tokyo-Mitsubishi $236,983,189 2.72% A+ A1 Sherwin-Williams $14,994,450 0.17% A- A3FHLMC $202,226,000 2.32% AA+ Aaa Ebay $12,977,870 0.15% A A2US Bank $175,008,078 2.01% AA- Aa3 Public Service Electric $12,110,520 0.14% A Aa3Wells Fargo Bank* $151,260,614 1.74% United Health Group $11,119,680 0.13% A+ A3JP Morgan $120,215,950 1.38% A A3 General Dynamics $10,221,900 0.12% A A2Wells Fargo $105,347,350 1.21% A+ A2 Pepsico $10,219,100 0.12% A- A1ING $74,939,280 0.86% A+ A2 Intercontinental Exg. $10,173,200 0.12% A A2Honda $66,256,100 0.76% A+ A1 Daimler Finance $10,138,800 0.12% A- A3Caterpillar $60,435,095 0.69% A-1 P-1 Cisco Systems $10,118,250 0.12% AA- A1John Deere $46,654,170 0.54% A A2 PACCAR $10,111,500 0.12% A+ A1Berkshire Hathaway $45,897,050 0.53% AA Aa2 Wal-Mart $10,068,200 0.12% AA Aa2TVA $45,376,250 0.52% AA+ Aaa Colgate-Palmolive $10,063,800 0.12% AA- Aa3Johnson & Johnson $40,468,700 0.46% AAA Aaa Walt Disney $10,058,100 0.12% A A23M Company $34,945,900 0.40% AA- Aa3 Univ Of California $10,000,675 0.11% AA Aa2American Express Credit $32,227,930 0.37% A- A2 Wisconsin Electric Power $9,994,000 0.11% A- A1BNP Paribas $31,379,583 0.36% A1 A+ Philip Morris $8,882,509 0.10% A A2Goldman Sachs $30,417,000 0.35% A- Baa1 Altera Corp $8,102,245 0.09% A- Baa1Coca Cola $27,248,770 0.31% AA Aa3 Becton Dickinson $8,086,400 0.09% BBB+ A3Manufactures & Traders $26,139,980 0.30% A A2 Target $7,162,120 0.08% A A2Oracle $25,303,250 0.29% A+ A1 Monsanto $7,067,620 0.08% BBB+ A3Bank Of New York Mellon $25,255,200 0.29% A+ A1 State Street $5,966,820 0.07% A+ A1Microsoft Corp $25,243,200 0.29% AAA Aaa Google $5,101,500 0.06% AA Aa2IBM $25,198,020 0.29% AA- Aa3 Charles Schwab $5,082,900 0.06% A A2Farmer Mac $25,127,000 0.29% NR NR Eli Lilly $5,054,400 0.06% AA- A2Pfizer $25,087,550 0.29% AA A1 Procter & Gamble $5,049,100 0.06% AA- Aa3AT&T $25,069,700 0.29% BBB+ Baa1 Baxter International $5,015,400 0.06% A- A3Costco Wholesale $23,007,120 0.26% A+ A1 Proamerica Bank $5,000,000 0.06% NR NRPNC Bank $22,291,230 0.26% A A2 Southern Calif Edison $4,997,550 0.06% A Aa3BB&T $22,063,310 0.25% A- A2 Merck & Co $4,989,400 0.06% AA A2State Of California $20,537,000 0.24% A+ Aa3 United Tech $3,063,240 0.04% A A2Medtronic $20,312,650 0.23% A A3 Air Products & Chemicals $3,046,230 0.03% A A2US Bancorp $20,310,800 0.23% A+ A1 Mastercard $3,044,790 0.03% A A2Ralph Lauren $20,239,200 0.23% A A3 National Oilwell Varco $2,982,450 0.03% A A2Int'L Bk Recon & Dev $19,999,200 0.23% AAA Aaa California United Bank $1,000,000 0.01% NR NRStryker $19,858,800 0.23% A+ A3 Manufacturers Bank $1,000,000 0.01% NR NRApple $19,805,400 0.23% AA+ Aa1 Total $8,716,217,693 100.00%

*Checking Account

Issuer


Total General Portfolio Transactions


Buys 58 43 54 52 72 42 53 41 43 39 43 31

Sales 0 0 0 0 0 0 0 0 0 0 0 0

Total 58 43 54 52 72 42 53 41 43 39 43 31


Buys 6 4 8 7 7 10 9 7 5 6 8 11

Sales 12 5 6 5 5 4 9 4 9 4 7 11

Total 18 9 14 12 12 14 18 11 14 10 15 22


Buys 64 47 62 59 79 52 62 48 48 45 51 42

Sales 12 5 6 5 5 4 9 4 9 4 7 11

Total 76 52 68 64 84 56 71 52 57 49 58 53

Core Transactions

Reserve Transactions

Total Transactions

0

10

20

30

40

50

60

70

80

90


Total Monthly Transactions Buys*

Sells**

*Buys: Core-Includes transfers from Reserve **Sales: Core-Includes calls, Reserve-Includes calls and transfers to Core


Portfolio Transactions-Reserve Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action*

2/2/15 Apple Corp 2/7/20 10,000,000 Buy

2/3/15 U.S. Treasury Tsy 3/11/19 15,000,000 Sell

2/5/15 Oracle Corp 10/15/17 5,000,000 Sell

2/5/15 Costco Corp 2/15/20 7,000,000 Buy

2/9/15 Microsoft Corp 2/8/16 5,000,000 Sell

2/11/15 U.S. Treasury Tsy 12/31/19 30,000,000 Buy


2/13/15 AT&T Corp 11/27/18 10,000,000 Sell


2/19/15 Bank of New York Corp 2/24/20 10,000,000 Buy


2/26/15 FHLB Agy 4/25/18 20,000,000 Buy

2/26/15 JPM Corp 2/26/16 15,000,000 Transfer

2/26/15 FHLB Agy 2/26/16 25,000,000 Transfer


2/27/15 Baxter International Corp 6/1/16 5,000,000 Sell



2/27/15 Merck Sharp & Dohme Corp 5/18/16 10,000,000 Sell

2/27/15 Praxair Corp 2/21/16 20,275,000 sell



*"Transfer" is from Reserve to Core


Portfolio Transactions-Core Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action*

2/2/15 Bank of Tokyo-MIT CP 2/11/15 25,000,000 Buy

2/2/15 Caterpillar CP 4/2/15 25,000,000 Buy



2/4/15 FHLB Agy 4/8/15 83,734,000 Buy

2/5/15 BNP Paribas CP 2/10/15 21,700,000 Buy





2/10/15 Toyota CP 4/14/15 20,000,000 Buy

2/10/15 US Bank CP 4/2/15 25,000,000 Buy



2/11/15 US Bank CP 4/15/15 49,400,000 Buy

2/13/15 IBRD SUPRA 4/14/15 20,000,000 Buy


2/18/15 FNMA Agy 4/15/15 49,171,000 Buy


2/19/15 FHLB Agy 4/22/15 32,830,000 Buy

2/20/15 US Bank CP 4/16/15 24,371,000 Buy

2/23/15 US Bank CP 4/30/15 56,140,000 Buy






2/26/15 FHLMC Agy 6/25/15 25,000,000 Buy

2/26/15 Toyota CP 4/17/15 25,000,000 Buy

2/26/15 JPM Corp 2/26/16 15,000,000 Transfer

2/26/15 FHLB Agy 2/26/16 25,000,000 Transfer

*"Transfer" is from Reserve to Core


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