presentation to the city of los angeles treasurer on the...

Presentation to the

City of Los Angeles Treasurer on the

City's General Pool Investments

April 30, 2017

Economic Update: Overall Economy

* Real Rate (Inflation Adjusted)

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

As of: 4/30/17

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

-12

-10

-8

-6

-4

-2

0

2

4

6

8

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

Q1

20

16

Q2

20

16

Q3

20

16

Q4

20

16

Q1

20

17

Q2

20

17

Q3

20

17

Q4

20

17

Q1

20

18

Per

cen

t

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

April 30, 2017 2

Economic Update: Employment

*Los Angeles area unemployment is not seasonally adjusted.

Data Source: Bloomberg

12 Month Average Monthly Job Change: 186,417

0

50

100

150

200

250

300

350

400

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

Ap

r-1

5

Ju

l-1

5

Oct

-15

Jan

-16

Ap

r-1

6

Ju

l-1

6

Oct

-16

Jan

-17

Ap

r-1

7

Th

ou

san

ds

Monthly Non-Farm Payrolls

4

5

6

7

8

9

10

11

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

Ap

r-1

5

Ju

l-1

5

Oct

-15

Jan

-16

Ap

r-1

6

Ju

l-1

6

Oct

-16

Jan

-17

Ap

r-1

7

Per

cen

t

Unemployment RatesCalifornia

LA Area

U.S.A

April 30, 2017 3

Economic Update: Consumer Activity

*Inflation Adjusted


0

0.5

1

1.5

2

2.5

3

3.5

4

4.5

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

Ap

r-1

5

Ju

l-1

5

Oct-

15

Jan

-16

Ap

r-1

6

Ju

l-1

6

Oct-

16

Jan

-17

Ap

r-1

7

Per

cen

t

U.S. Retail Sales* YOY % Change

$390

$400

$410

$420

$430

$440

$450

$460

$470

$480

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

Ap

r-1

5

Ju

l-1

5

Oct

-15

Jan

-16

Ap

r-1

6

Ju

l-1

6

Oct

-16

Jan

-17

Ap

r-1

7

Bil

lio

ns

Total Monthly U.S. Retail Sales

April 30, 2017 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

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

Ap

r-1

5

Ju

l-1

5

Oct

-15

Jan

-16

Ap

r-1

6

Ju

l-1

6

Oct

-16

Jan

-17

Ap

r-1

7

Per

cen

t

CPI and CPIX* YOY % Change

CPI

CPIX

-6.8

0.2

0.4

2.2

2.3

2.5

2.7

3.5

10.0

-10 -5 0 5 10 15

Communication

Apparel

Food

CPI

Education

Wages

Services

Shelter

Energy

Percent

Sector YOY % Price Changes

April 30, 2017 5

Economic Update: Dollar and Commodities


70

72

74

76

78

80

82

84

86

88

90

92

94

96

98

100

102

104

106

Oct-

08

Ap

r-0

9

Oct-

09

Ap

r-1

0

Oct-

10

Ap

r-1

1

Oct-

11

Ap

r-1

2

Oct-

12

Ap

r-1

3

Oct-

13

Ap

r-1

4

Oct-

14

Ap

r-1

5

Oct-

15

Ap

r-1

6

Oct-

16

Ind

ex V

alu

e

Dollar Index

$0

$20

$40

$60

$80

$100

$120

$0

$200

$400

$600

$800

$1,000

$1,200

$1,400

$1,600

$1,800

$2,000

Oct

-08

Ap

r-0

9

Oct

-09

Ap

r-1

0

Oct

-10

Ap

r-1

1

Oct

-11

Ap

r-1

2

Oct

-12

Ap

r-1

3

Oct

-13

Ap

r-1

4

Oct

-14

Ap

r-1

5

Oct

-15

Ap

r-1

6

Oct

-16

Oil

-Per

Ba

rrel

Gold

-Per

Ou

nce

Gold and Oil

Gold

Oil

April 30, 2017 6

Economic Update: Sector Returns YTD As of:


4/30/17

-4.7

0.1 0.1 0.4 0.8 1.0 1.11.7 1.8 2.1

2.9 3.3

7.0 7.2

8.8

10.511.2

12.412.9 13.2

15.0

-10

-5

0

5

10

15

20

Percen

t

April 30, 2017 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*


4/30/17

-9.4

1.62.3

7.1 7.1 7.2 7.3

9.911.0

12.9

-15

-10

-5

0

5

10

15

Percen

t

YTD S&P 500 Major Sector Returns

April 30, 2017 8

Economic Update: Yield Curve FYTD

Maturity 6/30/16 4/28/17 Change


Figures may not total due to rounding

3Y 0.69 1.44 0.75

30Y 2.29 2.95 0.67

5Y 1.00 1.82 0.82

10Y 1.47 2.28 0.81

1Y 0.44 1.06 0.63

2Y 0.58 1.26 0.68

3M 0.26 0.80 0.53

6M 0.35 0.97 0.62

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

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

Per

cen

t

U.S. Treasury Yield Curve

6/30/16

4/28/17

April 30, 2017 9

Economic Update: Interest Rates


-0.20

0.00

0.20

0.40

0.60

0.80

1.00

1.20

Feb

-14

Ap

r-1

4

Ju

n-1

4

Au

g-1

4

Oct

-14

Dec

-14

Feb

-15

Ap

r-1

5

Ju

n-1

5

Au

g-1

5

Oct

-15

Dec

-15

Feb

-16

Ap

r-1

6

Ju

n-1

6

Au

g-1

6

Oct

-16

Dec

-16

Feb

-17

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

2.25

Feb

-14

Ap

r-1

4

Ju

n-1

4

Au

g-1

4

Oct

-14

Dec

-14

Feb

-15

Ap

r-1

5

Ju

n-1

5

Au

g-1

5

Oct

-15

Dec

-15

Feb

-16

Ap

r-1

6

Ju

n-1

6

Au

g-1

6

Oct

-16

Dec

-16

Feb

-17

Per

cen

t

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

5Y

2Y

April 30, 2017 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)


12

0

5

10

15

20

25

30

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

Ba

sis

Po

int

Sp

rea

d

Spread*: 1-5 Yr Agency vs Treasury

67

0

50

100

150

200

250

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

Ba

sis

Po

int

Sp

rea

d

Spread*: 1-5 Yr Corporate vs Treasury

April 30, 2017 11

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 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 #

0.16 0.24 2.65 2.68

2.77 2.80

--

Total General

Portfolio

Weighted Purchase Yield##

Market Value

$8,758,811,189

($2,403,160) -- $12,003,116 -- $9,599,955

1.40%

25.1% -- 74.9%

2.02

Los Angeles Core

Par Value

Variance

2.11

0.97% -- 1.53% --

$8,768,411,144

$2,202,876,189 -- $6,555,935,000 --

$2,200,473,028 -- $6,567,938,116 --

Mkt Value % of Total

Average Maturity (Yrs)**

Effective Duration**

100%

0.15 0.24

April 30, 2017 12

Total General Portfolio: Maturity Distribution

-1.7%

.25 to .5

24.1%

21.2% 18.0% 13.1%

-0.6% -0.6% -0.3%

3 to 4 4 to 5+

20.6% 17.4% 12.8%

1 to 2

0.0% 1.2% 25.8%

2 to 3

4/30/17

3/31/17

Variance

0-.25 .5 to 1

3.0% 0.1% 0.1%

0.1% 1.3%

20.7%

Years

23.7%

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+

4/30/17

3/31/17

April 30, 2017 13

Sector Allocations: Total General Portfolio

*Includes Supranational and Municipal Securities


Sector 4/30/2017 3/31/2017 Variance

0.3%

0.2%

0.0% 0.0%

18.7% 3.3%

16.2% -0.5%

1.0%

0.1%

1.2%

0.0%

52.3%

0.0% 0.0%

0.0% 0.0%

8.7% -0.3%8.4%

Bank Deposits

CDARS

Commercial Paper

Corporate Notes

ABS

Total 100.0% 100.0%

April 30, 2017

MMFs

-2.9%

22.0%

15.7%

0.4%

55.2%

Negotiable CDs

Agencies*

Treasuries

0.0%

0.0%

Bank Dep

1.2%

CP

22.0%

CORP

15.7%

ABS

0.4%

Agy

8.4%

Tsy

52.3%

April 30, 2017 14

Sector Allocations: Core Portfolio



Total 100.0%

Negotiable CDs 0.0%

Treasuries 0.0%

Agencies* 1.6%

Commercial Paper 87.5%

Core Portfolio

CDARS 0.0%

85.3%

April 30, 2017

2.2%


Bank Deposits 4.7% 4.4% 0.4%

Corporate Notes 6.1% 6.8% -0.6%

MMFs 0.0% 0.0% 0.0%

0.0% 0.0%

0.0% 0.0%

100.0%

0.0% 0.0%

3.5% -2.0%

Bank Dep

4.7%

CP 87.5%

Corp

6.1%

Agy

1.6% Tsy

0.0%

April 30, 2017 15

Sector Allocations: Purchase Yield vs. Weighted Average Maturity

*Based on Market Value

**Includes Supranational Securities


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

Agencies** 0.08 0.78% 1.7%

Total 0.16 0.97% 100.0%

Treasuries 0.00 0.00 0.0%

Core Portfolio

Negotiable CDs 0.00 0.00 0.0%

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

Corporate Notes 0.66 1.49% 6.4%

Commercial Paper 0.13 0.94% 91.9%

Corp

CP

Agy

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%

1.4%

1.6%

1.8%

-0.2 0.0 0.2 0.4 0.6 0.8 1.0 1.2

Pu

rch

ase

Yie

ld

WAM Years

Bubble size = Sector's % of Portfolio

April 30, 2017 16

Sector Allocations: Reserve Portfolio



Total 100.0% 100.0%

0.2%

Reserve Portfolio

April 30, 2017

ABS 0.6%

Agencies* 10.6% 10.2% 0.5%

Corporate Notes 18.9% 18.9% 0.1%

0.4%


Treasuries 69.9% 70.8% -0.9%Corp

18.9%

ABS

0.6%

Agy

10.6%Tsy

69.9%

April 30, 2017 17

Sector Allocations: Purchase Yield vs. Weighted Average Maturity

*Based on Market Value

**Includes Supranational and Municipal Securities


Sector

ABS 4.68

10.6%

1.38%

2.76 18.9%

0.6%1.88%

Reserve Portfolio

Total 2.77 1.53% 100.0%

2.07%

1.56%

69.9%Treasuries 2.77

Agencies**

Corporate Notes

% of Portfolio*Purchase YieldWAM (Yrs.)

2.70

Tsy

Agy

Corp

ABS

0.50%

0.75%

1.00%

1.25%

1.50%

1.75%

2.00%

2.25%

0.0 1.0 2.0 3.0 4.0 5.0 6.0

Pu

rch

ase

Yie

ld

WAM Years

Bubble size = Sector's % of Portfolio

April 30, 2017 18

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

$3.5

Ju

l-0

6

Jan

-07

Ju

l-0

7

Jan

-08

Ju

l-0

8

Jan

-09

Ju

l-0

9

Jan

-10

Ju

l-1

0

Jan

-11

Ju

l-1

1

Jan

-12

Ju

l-1

2

Jan

-13

Ju

l-1

3

Jan

-14

Ju

l-1

4

Jan

-15

Ju

l-1

5

Jan

-16

Ju

l-1

6

Jan

-17

Bil

lio

ns

Core*

$3.0

$3.5

$4.0

$4.5

$5.0

$5.5

$6.0

$6.5

$7.0

$7.5

Ju

l-0

6

Jan

-07

Ju

l-0

7

Jan

-08

Ju

l-0

8

Jan

-09

Ju

l-0

9

Jan

-10

Ju

l-1

0

Jan

-11

Ju

l-1

1

Jan

-12

Ju

l-1

2

Jan

-13

Ju

l-1

3

Jan

-14

Ju

l-1

4

Jan

-15

Ju

l-1

5

Jan

-16

Ju

l-1

6

Jan

-17

Bil

lio

ns

Reserve

April 30, 2017 19

Total General Portfolio: Market Value

Total General Portfolio Market Value

$4.5

$5.5

$6.5

$7.5

$8.5

$9.5

$10.5

Ju

l-0

6

No

v-0

6

Mar-

07

Ju

l-0

7

No

v-0

7

Mar-

08

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

Mar-

15

Ju

l-1

5

No

v-1

5

Mar-

16

Ju

l-1

6

No

v-1

6

Mar-

17

Bil

lio

ns

April 30, 2017 20

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

No

v-0

6

Mar-

07

Ju

l-0

7

No

v-0

7

Mar-

08

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

Mar-

15

Ju

l-1

5

No

v-1

5

Mar-

16

Ju

l-1

6

No

v-1

6

Mar-

17

Reserve

Core

April 30, 2017 21

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

5 Years

5 Years

Mortgage Backed Securities/CMOs

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

Supranational Obligations 5 Years Complies

Banker's Acceptances

Complies

Complies-none in portfolio



Complies

Complies


Complies

Complies-none in portfolio180 Days

Reverse Repo/Securities Lending

Corporate Notes

April 30, 2017 22


Complies30%Corporate Notes

Percentage Allocation Limitations


20% Combined with ABS

20% Combined with MBS


Complies

15%

Limit

100%

40%

180 Days

1 Year

Compliance

Complies

Repurchase Agreements

Reverse Repo/Securities Lending

Complies

Complies

Complies


Complies

5% Reverse Repo/20% Revs.

Repo +Sec Lending

Sector

Government Securities

Commercial Paper

Negotiable Certificates of Deposit

CRA Certificates of Deposit

Supranational Obligations 30% Complies

Mortgage Backed Securities/CMOs

Asset Backed Securities

Banker's Acceptances

State/Local Agency Securities

Mutual Funds/Money Market Funds

LAIF State Pool

Complies

Complies


20%

$65 Million Per Account

30%

10%

April 30, 2017 23


From Approved List Complies

Issuer and Transaction Limitations -- Approved Issuers

Item Limit

Government Issuer 100% Complies

Compliance

Supranational Obligations From Approved List Complies

Non-Governmental Issuer 5% Complies

Single Transaction$200 Million w/o Treasurer's

Written ApprovalComplies

Corporate Notes From Approved List Complies

Dealers From Approved List Complies

Commercial Paper

April 30, 2017 24


Portfolio Maturity Limitations and Duration Ranges

Core Portfolio

Effective Duration 1-5 Govt/Corp Index +/- .10 Complies: 2.65 vs 2.68

Item Limit Compliance

Maturity Limitation One Year Complies

Reserve Portfolio

Item Limit Compliance

April 30, 2017 25

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 Jul-15 Jan-17

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%


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

April 30, 2017 26

Portfolio Statistics: Historical Purchase Yields

0.00%

0.25%

0.50%

0.75%

1.00%

1.25%

1.50%

1.75%

2.00%

2.25%

2.50%

2.75%

3.00%

3.25%

3.50%

3.75%

4.00%

4.25%

4.50%

4.75%

5.00%

5.25%

5.50%

Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16

Per

cen

t

Reserve

Total Portfolio

Core

April 30, 2017 27

Purchase Yield Per 3-Month Maturity Intervals

*Based on Par Value

9 to 12 1.58% 3.10%

Total 0.97% 100.00%

3 to 6 1.37% 0.48%

6 to 9 1.46% 2.39%

Core Portfolio

Months Purchase Yield % of Portfolio*

0 to 3 0.94% 94.03%

0.94%

1.37%

1.28%

1.58%

0.0%

0.5%

1.0%

1.5%

2.0%

0.00 0.25 0.50 0.75 1.00

Pu

rch

ase

Yie

ld

Years

Bubble Size = Maturity's % of Portfolio


April 30, 2017 28


*Based on Par Value

Reserve Portfolio

Total 1.53% 100.00%

4.0 to 4.5

4.5 to 5.0+

1.44%

2.01%

8.39%

9.65%

1.63% 11.39%

Years Purchase Yield % of Portfolio*

.5 to 1.0 0.00 0.00%

3.5 to 4.0 1.45% 11.93%

1.0 to 1.5 1.40% 15.14%

1.5 to 2.0 1.39% 15.38%

2.0 to 2.5 1.58% 14.18%

2.5 to 3.0 1.53% 13.94%

3.0 to 3.5 1.40% 1.39%

1.58%1.53%

1.63%

1.45% 1.44%

2.01%

0.8%

1.1%

1.3%

1.6%

1.8%

2.1%

0.00 0.50 1.00 1.50 2.00 2.50 3.00 3.50 4.00 4.50 5.00

Pu

rch

ase

Yie

ld

Years


April 30, 2017 29


*Based on Par Value

Total General Portfolio

1.5 to 2.0 1.39% 11.66%

2.0 to 2.5 1.58% 10.75%

0 to 0.5 0.94% 22.86%

0.5 to 1.0 1.53% 1.33%

Years

1.0 to 1.5 1.40%

1.53% 10.57%

2.01% 7.32%

1.45% 9.04%

1.63% 8.63%

1.44% 6.36%

Purchase Yield % of Portfolio*

Total 1.40% 100.00%

4.5 to 5+

11.48%

3.5 to 4.0

3.0 to 3.5

4.0 to 4.5

2.5 to 3.0

0.94%

1.53%

1.40% 1.39%

1.58%1.53%

1.63%

1.45% 1.44%

2.01%

0.5%

0.8%

1.0%

1.3%

1.5%

1.8%

2.0%

2.3%

-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


April 30, 2017 30

Portfolio Statistics: Historical Duration

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16

Du

rati

on

Reserve

Total Portfolio

Core

April 30, 2017 31

Total General Portfolio Statistics: Sector Allocation History

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%


0%

10%

20%

30%

40%

50%

60%

70%

Jul-

06

No

v-0

6

Mar

-07

Jul-

07

No

v-0

7

Mar

-08

Jul-

08

No

v-0

8

Mar

-09

Jul-

09

No

v-0

9

Mar

-10

Jul-

10

No

v-1

0

Mar

-11

Jul-

11

No

v-1

1

Mar

-12

Jul-

12

No

v-1

2

Mar

-13

Jul-

13

No

v-1

3

Mar

-14

Jul-

14

No

v-1

4

Mar

-15

Jul-

15

No

v-1

5

Mar

-16

Jul-

16

No

v-1

6

Mar

-17

Tsy

Agy

Corp

CP

Bank/Sweep

ABS

MBS

Neg. CDS

CDARS

April 30, 2017 32

Book Return: Core Portfolio

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%

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 Portfolio

Custom Benchmark*

Variance

*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

Custom Benchmark*

Variance

Fiscal YTD

Core Portfolio

Fiscal YTD

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%

1.2%


Per

cen

t V

ari

an

ce

Performance Variance: Core vs Benchmark

0.40%

0.45%

0.50%

0.55%

0.60%

0.65%

0.70%

0.75%


Per

cen

t V

ari

an

ce

Performance Variance: Core vs Benchmark

Core

Benchmark

April 30, 2017 33

Book Return: Reserve Portfolio


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%


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

Custom Benchmark*

Variance

Fiscal YTD

Reserve Portfolio

Custom Benchmark*

Variance

Fiscal YTD

Reserve Portfolio

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%


Per

cen

t V

ari

an

ce

Performance Variance: Reserve vs Benchmark

0.80%

0.90%

1.00%

1.10%

1.20%

1.30%

1.40%

1.50%


Per

cen

t V

ari

an

ce

Performance Variance: Reserve vs Benchmark

Reserve

Benchmark

April 30, 2017 34

Book Return: Combined Portfolios


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%


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.


Custom Benchmark*

Variance

Fiscal YTD

Combined Portfolio

Custom Benchmark*

Variance

Fiscal YTD

Combined Portfolio

0.0%

0.2%

0.4%

0.6%

0.8%

1.0%


Per

cen

t V

ari

an

ce

Performance Variance: Combined vs Benchmark

0.80%

0.90%

1.00%

1.10%

1.20%

1.30%

1.40%


Per

cen

t V

ari

an

ce

Performance Variance: Combined vs Benchmark

Reserve

Benchmark

April 30, 2017 35

Portfolio Statistics: Monthly Total Return

Core Benchmark Variance Reserve Benchmark Variance

0.08% 0.07% 0.01% 0.32% 0.32% 0.00%

Sector Core Benchmark

Treasury 0.00% 0.07%

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%

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

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.

Attribution of Sub-Sector Weighted Returns

SectorReserve

Return

Reserve

Weight

Bechmark

Return

Benchmark

Weight

Weighted

Variance

0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

0.30%

0.35%

Reserve Benchmark

Per

cen

t V

ari

an

ce

Reserve vs Benchmark

0.00%

0.01%

0.02%

0.03%

0.04%

0.05%

0.06%

0.07%

0.08%

0.09%

Core Benchmark

Per

cen

t V

ari

an

ce

Core vs Benchmark

April 30, 2017 36

Total Return Performance: Core vs. Benchmark

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)

Portfolio

Core

Benchmark

Variance

Core Total Return

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%

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%

0.80%

0.90%

1.00%


Year

Core

Index

April 30, 2017 37

Total Return Performance: Reserve vs. Benchmark


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

Reserve Total Return

Portfolio

Reserve

Benchmark

Variance

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%

-1.00%

-0.50%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%


Year

Reserve

Index

April 30, 2017 38

Portfolio Statistics: Historical Total Return

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)


0.0%

0.1%

0.1%

0.2%

0.2%

0.3%

FY 10 FY 11 FY 12 FY 13 FY 14 FY 15 FY 16 FYTD 17

Per

cen

t V

ari

an

ce

Performance Variance: Core vs 3 Mon T-bill

April 30, 2017 39

Portfolio Statistics: Historical Total Return

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


-0.3%

-0.2%

-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

Per

cen

t V

ari

an

ce

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

April 30, 2017 40

Portfolio Statistics: Monthly & FYTD Total Return

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%


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%

Monthly Performance

Fiscal YTD Performance

Core vs 3 Month T-Bill Index

0.00%

0.01%

0.02%

0.03%

0.04%

0.05%

0.06%

0.07%

0.08%

0.09%

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%

0.12%

0.14%

0.16%

0.18%

0.20%


FYTD Performance Variance

April 30, 2017 41

Portfolio Statistics: Monthly & FYTD Total Return


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%


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%

Monthly Performance*

Fiscal YTD Performance*

Reserve vs 1-5 Year Government/Corporate Index

-1.00%

-0.80%

-0.60%

-0.40%

-0.20%

0.00%

0.20%

0.40%



Reserve

Benchmark

-0.02%

-0.01%

0.00%

0.01%

0.02%

0.03%

0.04%

0.05%



April 30, 2017 42

Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury


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%


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


Treasury Sector Total Returns

Monthly Variance*

Fiscal YTD Variance*

-0.80%

-0.60%

-0.40%

-0.20%

0.00%

0.20%

0.40%



Reserve Tsy

Benchmark Tsy

0.00%

0.02%

0.04%

0.06%

0.08%

0.10%

0.12%

0.14%

0.16%



April 30, 2017 43

Portfolio Attribution: Reserve Agency vs. Benchmark Agency


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%


FYTD Var. 0.00% -0.02% -0.01% -0.03% -0.08% -0.08% -0.07% -0.07% -0.06% -0.04%



Agency Sector Total Returns

Monthly Variance*


-0.10%

-0.08%

-0.06%

-0.04%

-0.02%

0.00%

0.02%

0.04%



Reserve Agy

Benchmark Agy

-0.10%

-0.08%

-0.06%

-0.04%

-0.02%

0.00%

0.02%



April 30, 2017 44

Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate


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%


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



Corporate Sector Total Returns

Monthly Variance*


-0.20%

-0.15%

-0.10%

-0.05%

0.00%

0.05%

0.10%



Reserve Corp

Benchmark Corp

-0.06%

-0.05%

-0.04%

-0.03%

-0.02%

-0.01%

0.00%

0.01%



April 30, 2017 45

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

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

Component Total Return

-125

-100

-75

-50

-25

0

25

50

75

100

125

Ba

sis

Po

ints

Monthly Price Return vs Interest Return

Price Return

Interest Return

-100

-75

-50

-25

0

25

50

75

100

125

Ba

sis

Po

ints

Monthly Total Return

April 30, 2017 46

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

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

Sector Total Returns (Basis Points)

-125

-100

-75

-50

-25

0

25

50

75

100

125


Ba

sis

Po

ints

Index Sector Total Returns

Tsy

Agy

Corp

Govt/Corp Index

April 30, 2017 47

Reserve vs Index: Sector Allocations % of Portfolio/Index

64%

66%

68%

70%

72%

74%

76%

78%

80%

82%

May

-16

Ju

n-1

6

Ju

l-1

6

Au

g-1

6

Sep

-16

Oct-

16

No

v-1

6

Dec

-16

Jan

-17

Feb

-17

Mar-1

7

Ap

r-1

7

Per

cen

t

Treasury Allocations: Reserve vs Index

Index

Reserve

5%

6%

7%

8%

9%

10%

11%

12%

13%

May

-16

Ju

n-1

6

Ju

l-1

6

Au

g-1

6

Sep

-16

Oct-

16

No

v-1

6

Dec

-16

Jan

-17

Feb

-17

Mar-1

7

Ap

r-1

7

Per

cen

t

Agency Allocations: Reserve vs Index

Index

Reserve

11%

12%

13%

14%

15%

16%

17%

18%

19%

20%

21%

22%

May

-16

Ju

n-1

6

Ju

l-1

6

Au

g-1

6

Sep

-16

Oct-

16

No

v-1

6

Dec

-16

Jan

-17

Feb

-17

Mar-1

7

Ap

r-1

7

Per

cen

t

Corporate Allocations: Reserve vs Index

Index

Reserve

April 30, 2017 48

Effective Duration Allocations: Reserve vs. Benchmark

*Calculated using market values

0.0

%

2.2

%

15

.6%

15

.9%

13

.9%

14

.2%

11

.3%

11

.4%

10

.9%

4.7

%

0.7

%

0.0

%

17

.5%

15

.8%

13

.2%

15

.3%

12

.2%

11

.2%

9.3

%

4.8

%

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

April 30, 2017 49

Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy


0.0

%

1.6

%

13

.0%

12

.5%

11

.2%

11

.6%

8.9

% 9.3

%

8.7

%

4.2

%

0.7

%

0.0

%

12

.2%

10

.9%

8.8

%

8.9

%

10

.7%

7.9

%

6.2

%

3.6

%

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

April 30, 2017 50

Effective Duration Allocations: Reserve Agy vs. Benchmark Agy


0.0

% 0.2

%

1.2

%

1.1

% 1.3

%

0.5

%

0.5

%

0.3

% 0.4

%

0.0

%

0.0

%

0.0

%

2.1

%

2.0

%

0.6

%

2.4

%

0.5

%

1.7

%

0.7

%

0.7

%

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

April 30, 2017 51

Effective Duration Allocations: Reserve Corp vs. Benchmark Corp


0.0

%

0.4

%

1.4

%

2.3

%

1.4

%

2.1

%

1.9

%

1.8

%

1.7

%

0.4

%

0.0

%

0.0

%

3.2

%

3.0

%

3.8

% 3.9

%

1.0

%

1.6

%

2.5

%

0.5

%

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

April 30, 2017 52

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

U.S. Treasury $4,588,111,050 52.33% AA+ Aaa Archer Daniels $23,704,301 0.27% A A2Bank Tokyo-Mitsubishi $341,578,119 3.90% A+ A1 Coca Cola $22,092,400 0.25% AA- Aa3Exxon Mobil $338,847,377 3.86% AA+ Aaa TVA $20,128,600 0.23% AA+ AaaFNMA $280,917,213 3.20% AA+ Aaa Stryker $19,965,800 0.23% A Baa1Mizuho Bank $229,561,504 2.62% A A1 Mastercard $17,921,040 0.20% A A2Praxair $214,080,144 2.44% A A2 State Street $16,143,520 0.18% A A1BNP Paribas $198,344,737 2.26% A A1 M&T Trust $16,123,840 0.18% A A3United Parcel $169,580,902 1.93% A+ A1 Oracle $15,194,100 0.17% AA- A1Toyota $167,842,100 1.91% AA- Aa3 BB&T Corp $15,177,150 0.17% A- A2IBRD $119,370,550 1.36% AAA Aaa Gilead Sciences $15,145,850 0.17% A A3FHLB $118,134,281 1.35% AA+ Aaa Precision Castparts $15,139,500 0.17% AA- A2General Electric $110,946,682 1.27% AA- A1 Home Depot $15,132,500 0.17% A A2Wells Fargo Bank* $104,459,189 1.19% NR NR Qualcomm $15,094,800 0.17% A A1Apple $95,087,060 1.08% AA+ Aa1 Bank of America NA $15,090,150 0.17% A+ A1Intercontinental Exg $74,318,580 0.85% A A2 IFC $15,049,500 0.17% AAA AaaPepsico $65,874,640 0.75% A+ A1 3M Company $15,042,300 0.17% AA- A1State of California $64,942,246 0.74% AA- Aa3 Charles Schwab $15,036,800 0.17% A A2BMW $60,539,256 0.69% A+ A1 Intel $15,008,850 0.17% A+ A1JPMorgan Chase & Co $60,176,600 0.69% A- A3 Walt Disney $14,986,700 0.17% A A2PNC Bank $55,281,600 0.63% A A2 FAMCA $14,985,900 0.17% AA+ AaaChevron $55,114,850 0.63% AA- Aa2 Georgia Power Company $14,981,850 0.17% A- A3Johnson & Johnson $52,030,194 0.59% AAA Aaa UnitedHealth Group $14,171,960 0.16% A+ A3IADB $50,102,400 0.57% AAA Aaa Public Service Electric $12,015,960 0.14% A Aa3Honeywell $49,426,000 0.56% A A2 Chase Credit Card ABS $11,928,480 0.14% AAA NRMicrosoft $46,936,070 0.54% AAA Aaa US Bancorp $10,084,000 0.12% A+ A1IBM $45,405,900 0.52% A+ A1 Visa $10,079,900 0.11% A+ A1Wells Fargo & Co $45,190,700 0.52% A A2 Danaher $10,079,000 0.11% A A2FHLMC $44,854,800 0.51% AA+ Aaa Ralph Lauren $10,074,900 0.11% A A2Bank of New York Mellon $40,309,000 0.46% A A1 American Express $10,053,000 0.11% A- A2Branch Banking and Trust $40,304,650 0.46% A A1 Wisconsin Electric Power $10,018,000 0.11% A- A1Berkshire Hathaway $39,991,900 0.46% AA Aa2 Wells Fargo Bank NA $10,016,000 0.11% AA- Aa2Morgan Stanley $35,508,816 0.40% BBB+ A3 JPMorgan Chase Bank $9,945,200 0.11% A+ Aa3Pfizer $34,938,750 0.40% AA A1 Target $7,089,460 0.08% A A2John Deere $32,177,100 0.37% A A2 Automatic Data Processing $5,069,950 0.06% AA Aa3Cisco $30,285,400 0.35% AA- A1 Procter & Gamble $5,040,600 0.06% AA- Aa3US Bank $30,136,000 0.34% AA- A1 Daimler $5,036,600 0.06% A A2Philip Morris $29,976,300 0.34% A A2 Eli Lilly $5,026,350 0.06% AA- A2Goldman Sachs $27,096,954 0.31% BBB+ A3 Univ of California $4,999,050 0.06% AA Aa2Citibank Credit Card ABS $25,079,250 0.29% AAA NR Merck $4,993,850 0.06% AA A1American Honda $24,904,550 0.28% A+ A1 PACCAR $3,008,370 0.03% A+ A1Caterpillar $24,771,650 0.28% A A3 Total $8,768,411,144 100.00%*Checking Account

Issuer

April 30, 2017 53

Total General Portfolio Transactions


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


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


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

Core Transactions

Reserve Transactions

Total Transactions

0

10

20

30

40

50

60

70

80


Total Monthly TransactionsBuys*

Sells**

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

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


4/11/17 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



4/17/17 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 Praxair CP 6/30/17 30,000,000 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






*"Transfer" is from Reserve to Core

April 30, 2017 56

presentation to the city of los angeles treasurer on the...

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