Presentation to the City of Los Angeles Investment...

Presentation to the

City of Los Angeles

Investment Advisory Committee

August 31, 2013

Economic Update-Overall Economy

* Real Rate (Inflation Adjusted)

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

As of: 8/31/13

4.9

1.3

0.3

3.2

0.3

3.1

2.7

1.5

-2.7

2.0

-2.0

-8.3

-5.4

-0.4

1.3

3.9

1.6

3.9

2.8

2.8

-1.3

3.2

1.4

4.9

3.7

1.2

2.8

0.1

1.1

2.5

2.0

2.5

2.7

2.8

-12

-10

-8

-6

-4

-2

0

2

4

6

8

Q3

20

05

Q4

20

05

Q1

20

06

Q2

20

06

Q3

20

06

Q4

20

06

Q1

20

07

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

Per

cen

t

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

2

Economic Update-Employment

Data Source: Bloomberg

12 Month Average Monthly Job Change: 183,833

-1,000

-800

-600

-400

-200

0

200

400

600

Feb

-09

May

-09

Au

g-0

9

No

v-0

9

Feb

-10

May

-10

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

Th

ou

san

ds

Monthly Non-Farm Payrolls

4

5

6

7

8

9

10

11

12

13

Feb

-09

May

-09

Au

g-0

9

No

v-0

9

Feb

-10

May

-10

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

Per

cen

t

Unemployment Rates California

LA Area

U.S.ACensus Hiring

3

Economic Update-Consumer Activity

*Inflation Adjusted


-12

-10

-8

-6

-4

-2

0

2

4

6

8

Feb

-09

May

-09

Au

g-0

9

No

v-0

9

Feb

-10

May

-10

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

Per

cen

t

U.S. Retail Sales* YOY % Change

$330

$350

$370

$390

$410

$430

$450

Feb

-09

May

-09

Au

g-0

9

No

v-0

9

Feb

-10

May

-10

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

Bil

lio

ns

Total Monthly U.S. Retail Sales

4

Economic Update-Inflation

BDP("CPICCOMM Index","CHG_PCT_1YR")

*CPIX: Consumer Price Index, excluding food and energy


-3

-2

-1

0

1

2

3

4

5

Feb

-09

May

-09

Au

g-0

9

No

v-0

9

Feb

-10

May

-10

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

Per

cen

t

CPI and CPIX* YOY % Change

CPI

CPIX

-0.8

0.3

1.3

1.5

1.7

2.2

2.3

2.4

3.6

-3 -2 -1 0 1 2 3 4 5

Communication

Energy

Food

CPI

Apparel

Wages

Services

Shelter

Education

Percent

Sector YOY % Price Changes

5

Economic Update-Dollar and Commodities


70

75

80

85

90

95

Mar-

05

Sep

-05

Mar-

06

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

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

Mar-

05

Sep

-05

Mar-

06

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

Oil

-Per

Ba

rrel

Gold

-Per

Ou

nce

Gold and Oil

Gold

Oil

6

Economic Update-Sector Returns YTD As of:


8/31/13

-14.0

-11.3 -11.1

-8.1 -7.0

-5.7

-3.1

-0.3 0.0

0.0 0.3

5.7 7.3

11.0 11.9

15.6 16.0 16.2 17.2

23.5 23.8

-20

-15

-10

-5

0

5

10

15

20

25

30

Per

cen

t

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*


8/31/13

8.8 9.0 9.8

10.8

14.5 15.3

17.3

19.5

22.3

24.5

0

5

10

15

20

25

30

Per

cen

t

YTD S&P 500 Major Sector Returns

8

Economic Update-Yield Curve FYTD

Maturity 7/1/13 8/30/13 Change


3M 0.01 0.02 0.01

6M 0.09 0.05 -0.04

1Y 0.14 0.12 -0.02

2Y 0.35 0.40 0.05

3Y 0.64 0.78 0.14

30Y 3.48 3.70 0.22

5Y 1.38 1.64 0.26

10Y 2.48 2.79 0.31

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

7/1/13

8/30/13

9

Economic Update-Interest Rates


-0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

Au

g-1

0

Oct

-10

Dec

-10

Feb

-11

Ap

r-1

1

Ju

n-1

1

Au

g-1

1

Oct

-11

Dec

-11

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

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

2.50

Au

g-1

0

Oct

-10

Dec

-10

Feb

-11

Ap

r-1

1

Ju

n-1

1

Au

g-1

1

Oct

-11

Dec

-11

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

Per

cen

t

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

5Y

2Y

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)


0

20

40

60

80

100

120

140

160

180

200

Jan

-07

May

-07

Sep

-07

Jan

-08

May

-08

Sep

-08

Jan

-09

May

-09

Sep

-09

Jan

-10

May

-10

Sep

-10

Jan

-11

May

-11

Sep

-11

Jan

-12

May

-12

Sep

-12

Jan

-13

Ba

sis

Po

int

Sp

rea

d

Spread*: 1-5 Yr Agency vs Treasury

81

0

100

200

300

400

500

600

700

Jan

-07

May

-07

Sep

-07

Jan

-08

May

-08

Sep

-08

Jan

-09

May

-09

Sep

-09

Jan

-10

May

-10

Sep

-10

Jan

-11

May

-11

Sep

-11

Jan

-12

May

-12

Sep

-12

Jan

-13

May

-13

Ba

sis

Po

int

Sp

rea

d

Spread*: 1-5 Yr Corporate vs Treasury

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 and Duration after rebalancing for the indexes--Portfolios based upon trade date holdings, Core includes checking

## Weighted Purchase Yield for Core does not include checking

Mkt Value % of Total

Average Maturity (Yrs)**

Effective Duration**

100%

0.13 0.25

$7,238,536,695

$1,081,017,557 -- $6,048,254,000 --

$1,083,446,812 -- $6,155,089,883 --

Par Value

Variance

2.39

0.56% -- 1.17% --

Total General

Portfolio

Weighted Purchase Yield##

Market Value

$7,129,271,557

$2,429,255 -- $106,835,883 -- $109,265,138

1.08%

15% -- 85%

2.32

Los Angeles Core

Core

Benchmark *

Los Angeles

Reserve

Reserve

Benchmark #

0.12 0.24 2.71 2.73

2.79 2.84

--

12

Total General Portfolio: Maturity Distribution

8/31/13

7/31/13

Variance

0-.25 .5 to 1

2.4% -0.4% -0.1%

1.1% 2.0%

9.5%

Years

11.9%

1 to 2

1.5% 2.0% 27.3%

2 to 3 3 to 4 4 to 5+

24.9% 19.2% 15.2%

-1.6%

.25 to .5

25.8%

23.9% 20.4% 15.4%

1.0% -1.2% -0.2%

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+

8/31/13

7/31/13

13

Total General Portfolio: Sector Allocations

Figures may not total due to rounding

August 31, 2013

Negotiable CDs

10.2%

20.1%

0.0%

100.0%

Federal Agencies

Treasuries

Total

0.0%

13.8%

Bank Deposits

CDARS

Commercial Paper

Corporate Notes

MMFs

100.0%

0.0% 0.0%

16.7% -2.9%

55.1% -0.3%54.8%

Sector 8/31/2013 7/31/2013 Variance

0.0%

0.2%

0.1% 0.0%

6.3% 3.9%

21.0% -0.8%

0.8%

0.0%

1.0%

0.1%

Bank

1.0% CDARS

0.1%

CP 10.2%

CORP

20.1%

Agy

13.8%

Tsy

54.8%

14

Sector Allocations - Core Portfolio


0.8% -0.1%

0.0% 0.0%

100.0%

3.9% -3.8%

15.0% -7.9%

Corporate Notes 17.4% 25.6% -8.2%

MMFs 0.0% 0.0% 0.0%

Commercial Paper 68.0%

Core Portfolio

CDARS 0.6%

48.5%

August 31, 2013

19.5%


Bank Deposits 6.9% 6.3% 0.6%

Total 100.0%

Negotiable CDs 0.0%

Treasuries 0.0%

Federal Agencies 7.0%

Bank Dep

6.9% CDARS

0.6%

CP 68.0%

Corp

17.4%

Agy 7.0% Tsy 0.0%

15

Sector Allocations: Purchase Yield vs. Weighted Average Maturity

*Based on Market Value


Corporate 0.45 1.69% 18.7%

Commercial Paper 0.02 0.08% 73.7%

Core Portfolio

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

Agency 0.52 2.44% 7.5%

Total 0.14 0.56% 100.0%

Treasury 0.11 0.06% 0.0%

Corp

CP

Agy

Tsy

-0.50%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

-0.20 0.00 0.20 0.40 0.60 0.80

Pu

rch

ase

Yie

ld

WAM

16

Sector Allocations - Reserve Portfolio


Bank Deposits 0.0% 0.0% 0.0%

Treasuries 64.4% 62.7% 1.7%

0.0% 0.0% 0.0%

Federal Agencies 15.0% 17.0% -2.0%

20.3%

Reserve Portfolio

August 31, 2013

Corporate Notes 20.6%

CDARS 0.0% 0.0% 0.0%

Commercial Paper 0.0% 0.0% 0.0%


0.3%

MMFs 0.0% 0.0% 0.0%

Total 100.0% 100.0%

Negotiable CDs

Corp

20.6%

Agy

15.0% Tsy

64.4%

17

Sector Allocations: Purchase Yield vs. Weighted Average Maturity

*Based on Market Value


Purchase Yield

Reserve Portfolio

Total 2.79 1.17% 100.0%

1.24%

1.69%

0.99%

% of Portfolio*Sector WAM (Yrs.)

Treasury

Agency

Corporate

2.77

2.84

2.82

64.4%

15.0%

20.6%Tsy

Agy

Corp

0.50%

0.75%

1.00%

1.25%

1.50%

1.75%

2.00%

2.60 2.70 2.80 2.90 3.00 3.10 3.20

Pu

rch

ase

Yie

ld

WAM

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

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

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

Bil

lio

ns

Reserve

19

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

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

Bil

lio

ns

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

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

Reserve

Core

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.

Banker's Acceptances

Complies

Complies-none in portfolio


Complies

Complies

Complies



Complies-none in portfolio180 Days

Reverse Repo/Securities Lending

Corporate Notes

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

Asset Backed Securities

92 Days

5 Years

1 Year

32 Days

22


Mortgage Backed Securities/CMOs

Asset Backed Securities

Banker's Acceptances

State/Local Agency Securities

Mutual Funds/Money Market Funds

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

20%

$50 Million Per Account

30%

10%

5% Reverse Repo/20% Revs.

Repo +Sec Lending

30%Corporate Notes

Percentage Allocation Limitations


20% Combined with ABS

20% Combined with MBS



15%

Limit

100%

40%

180 Days

1 Year

Compliance

Complies

Complies

23


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 From Approved List Complies

Issuer and Transaction Limitations -- Approved Issuers

Item Limit

Federal Agency Issuer 30% Complies

Compliance

24


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

Portfolio Maturity Limitations and Duration Ranges

Core Portfolio

Effective Duration 1-5 Govt/Corp Index +/- .10 Complies: 2.71 vs 2.73

Item Limit Compliance

Maturity Limitation One Year Complies

Reserve Portfolio

Item Limit Compliance

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 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11 Jul-12 Jul-13

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

26

Portfolio Statistics-Historical Purchase Yields

0%

1%

2%

3%

4%

5%

6%

Per

cen

t

Core

Reserve

Total Portfolio

27

Portfolio Statistics-Historical Duration

0.0

0.5

1.0

1.5

2.0

2.5

3.0

Du

rati

on

Core

Reserve

Total Portfolio

28

Total General Portfolio Statistics-Sector Allocation History

Sector Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13

Tsy 57.7% 57.4% 58.2% 54.5% 53.8% 52.3% 53.5% 52.3% 51.3% 48.9% 55.1% 54.8%

Agy 18.8% 18.8% 17.0% 14.8% 17.4% 18.1% 19.5% 20.2% 17.8% 17.4% 16.7% 13.8%

Corp 19.6% 19.9% 19.8% 17.8% 18.2% 18.5% 19.2% 19.0% 20.6% 19.5% 21.0% 20.1%

CP 2.5% 2.3% 3.1% 10.0% 9.9% 9.9% 6.1% 7.4% 9.3% 12.4% 6.3% 10.2%

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 1.4% 1.5% 1.8% 2.8% 0.6% 1.2% 1.5% 1.1% 0.9% 1.6% 0.8% 1.0%

Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%


0%

10%

20%

30%

40%

50%

60%

70%

Tsy

Agy

Corp

CP

Cash/Sweep

CDARS

MBS

29

Portfolio Statistics-Monthly Total Return

Core Benchmark Variance Reserve Benchmark Variance

0.01% 0.01% 0.00% -0.26% -0.26% 0.00%

Sector Core Benchmark Variance Sector Reserve Benchmark Variance

Treasury 0.00% 0.01% -0.01% Treasury -0.26% -0.28% 0.02%

Agency 0.00% 0.00% 0.00% Agency -0.30% -0.25% -0.05%

Corporate 0.01% 0.00% 0.01% Corporate -0.19% -0.17% -0.02%

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

-0.30%

-0.25%

-0.20%

-0.15%

-0.10%

-0.05%

0.00%

0.05%

0.10%

0.15%

0.20%

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

30

Portfolio Statistics-Historical Total Return

FY 10 FY 11 FY 12 FY 13 FYTD 14 FY 10 FY 11 FY 12 FY 13 FYTD 14

0.22% 0.22% 0.21% 0.23% 0.03% 5.31% 2.56% 2.38% 0.15% 0.04%

0.16% 0.19% 0.04% 0.13% 0.02% 5.04% 2.67% 2.36% 0.39% 0.05%

0.06% 0.03% 0.17% 0.10% 0.01% 0.27% -0.11% 0.02% -0.24% -0.01%

*Core Benchmark: 3 Month T-Bill (G0O1) *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10), changed 8/1/13

Core Portfolio

Benchmark*

Variance

Reserve Portfolio

Benchmark*

Variance

0.0%

0.0%

0.0%

0.1%

0.1%

0.1%

0.1%

0.1%

0.2%

0.2%

FY 10 FY 11 FY 12 FY 13 FYTD 14

Per

cen

t V

ari

an

ce

Performance Variance: Core vs 3 Mon T-bill

-0.3%

-0.2%

-0.1%

0.0%

0.1%

0.2%

0.3%

FY 10 FY 11 FY 12 FY 13 FYTD 14

Per

cen

t V

ari

an

ce

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

31

Portfolio Statistics-Monthly & FYTD Total Return

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

Core 0.02% 0.01%

Benchmark 0.01% 0.01%

Variance 0.01% 0.00%


Core 0.02% 0.03%


Variance 0.01% 0.01%

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%

0.12%


FYTD Performance Variance

32

Portfolio Statistics-Monthly & FYTD Total Return


Reserve 0.30% -0.26%

Benchmark 0.31% -0.26%

Variance -0.01% 0.00%


Reserve 0.30% 0.04%


Variance -0.01% -0.01%


Monthly Performance*

Fiscal YTD Performance*

Reserve vs 1-5 Year Government/Corporate Index

-0.30%

-0.20%

-0.10%

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%



Reserve

Benchmark

-0.10%

-0.05%

0.00%

0.05%

0.10%



33

Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury


Reserve 0.23% -0.26%


Mon. Var. 0.00% 0.02%


FYTD Var. 0.00% 0.02%


Treasury Sector Total Returns

Monthly Variance*

Fiscal YTD Variance*

0.220%

0.225%

0.230%

0.235%

0.240%



Reserve Tsy

Benchmark Tsy

-0.10%

-0.08%

-0.06%

-0.04%

-0.02%

0.00%

0.02%

0.04%

0.06%

0.08%

0.10%



34

Portfolio Attribution: Reserve Agency vs. Benchmark Agency


Reserve 0.34% -0.30%


Mon. Var. 0.07% -0.05%


FYTD Var. 0.07% 0.02%


Agency Sector Total Returns

Monthly Variance*


-0.40%

-0.30%

-0.20%

-0.10%

0.00%

0.10%

0.20%

0.30%

0.40%



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%



35

Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate


Reserve 0.49% -0.19%


Mon. Var. -0.16% -0.02%


FYTD Var. -0.16% -0.18%


Corporate Sector Total Returns

Monthly Variance*


-0.30%

-0.20%

-0.10%

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%



Reserve Corp

Benchmark Corp

-0.19%

-0.18%

-0.18%

-0.17%

-0.17%

-0.16%

-0.16%

-0.15%



36

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

Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13

Interest 17.9 18.3 17.8 18.0 17.9 16.9 17.8 17.4 17.5 17.2 17.5 16.9

Price -6.6 -21.3 2.4 -19.8 -26.0 9.4 -12.5 9.2 -69.0 -69.0 13.3 -43.2

Total 11.3 -3.0 20.2 -1.8 -8.1 26.3 5.3 26.6 -51.5 -51.8 30.8 -26.3


Component Total Return

-80

-60

-40

-20

0

20

40

Ba

sis

Po

ints

Monthly Price Return vs Interest Return

Price Return

Interest Return

-60

-50

-40

-30

-20

-10

0

10

20

30

40

Ba

sis

Po

ints

Monthly Total Return

37

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

Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 AVG

Index 11 -3 20 -2 -8 26 5 27 -52 -52 31 31 3

Treasury 1 -13 22 -5 -13 24 4 23 -52 -40 23 23 0

Agency 3 -2 21 -3 -7 18 6 21 -44 -52 27 27 1

Corporate 55 27 8 10 4 42 12 40 -56 -103 65 65 14


Sector Total Returns (Basis Points)

-120

-100

-80

-60

-40

-20

0

20

40

60

80


Ba

sis

Po

ints

Index Sector Total Returns

Tsy

Agy

Corp

Govt/Corp Index

38

Reserve vs Index: Sector Allocations % of Portfolio/Index


60%

64%

68%

72%

76%

80%

Sep

-12

Oct-

12

No

v-1

2

Dec

-12

Jan

-13

Feb

-13

Mar-1

3

Ap

r-1

3

May

-13

Ju

n-1

3

Ju

l-1

3

Au

g-1

3

Per

cen

t

Treasury Allocations: Reserve vs Index

Index

Reserve

8%

10%

12%

14%

16%

18%

20%

22%

Sep

-12

Oct-

12

No

v-1

2

Dec

-12

Jan

-13

Feb

-13

Mar-1

3

Ap

r-1

3

May

-13

Ju

n-1

3

Ju

l-1

3

Au

g-1

3

Per

cen

t

Agency Allocations: Reserve vs Index

Index

Reserve

8%

10%

12%

14%

16%

18%

20%

22%

24%

Sep

-12

Oct-

12

No

v-1

2

Dec

-12

Jan

-13

Feb

-13

Mar-1

3

Ap

r-1

3

May

-13

Ju

n-1

3

Ju

l-1

3

Au

g-1

3

Per

cen

t

Corporate Allocations: Reserve vs Index Index

Reserve

39

Total General Portfolio: Credit Quality

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

% of Port LT Rating LT Rating Issuer % of Port LT Rating LT Rating

US Treasury Note $3,925,827,400 55.07% AA+ Aaa Stryker $20,000,000 0.28% A+ A3

FNMA Note $380,000,000 5.33% AA+ Aaa Chevron $17,000,000 0.24% AA Aa1

FHLMC Note $310,000,000 4.35% AA+ Aaa Costco $16,000,000 0.22% A+ A1

General Electric $299,281,000 4.20% AA+ A1 Bank of New York Mellon $15,900,000 0.22% A+ Aa3

FHLB Note $173,125,000 2.43% AA+ Aaa Apple $15,000,000 0.21% AA+ Aa1

BNP Paribas $113,005,000 1.59% A+ A2 Intel $15,000,000 0.21% A+ A1

JPMorgan Chase $101,250,000 1.42% A A2 Merck & Co $15,000,000 0.21% AA A2

Bank of Nova Scotia $99,873,000 1.40% A+ Aa2 Oracle $15,000,000 0.21% A+ A1

FFCB Note $87,000,000 1.22% AA+ Aaa PepsiCo $15,000,000 0.21% A- A1

Bank Tokyo-Mitsubishi $85,013,000 1.19% A+ Aa3 Sherwin-Williams $15,000,000 0.21% A A3

Wells Fargo $80,000,000 1.12% A+ A1 Southern Company $14,150,000 0.20% A A3

Toyota $77,000,000 1.08% AA- Aa3 American Express $10,000,000 0.14% A- A2

Wells Fargo Bank $74,784,157 1.05% Baxter International $10,000,000 0.14% A A3

Goldman Sachs $74,000,000 1.04% A- A3 Charles Schwab $10,000,000 0.14% A A2

Union Bank $60,491,000 0.85% A+ A2 Colgate Palmolive $10,000,000 0.14% AA- Aa3

Honda $55,000,000 0.77% A+ A1 Daimler Finance $10,000,000 0.14% A- A3

John Deere $53,000,000 0.74% A A2 Google $10,000,000 0.14% AA Aa2

Toronto Dominion $50,007,000 0.70% AA- Aa1 Occidental Petroleum $10,000,000 0.14% A A1

Coca Cola $45,000,000 0.63% AA- Aa3 Prudential $10,000,000 0.14% AA- A2

IBM $45,000,000 0.63% AA- Aa3 University of California $10,000,000 0.14% AA Aa1

AT&T $40,000,000 0.56% A- A3 Wisconsin Electric Power $10,000,000 0.14% A- A2

Walt Disney $40,000,000 0.56% A A2 EBAY $9,000,000 0.13% A A2

Berkshire Hathaway $38,000,000 0.53% AA Aa2 Philip Morris $8,754,000 0.12% A A2

US Bancorp $38,000,000 0.53% A+ A1 Altera $8,050,000 0.11% A- A2

Pfizer $35,000,000 0.49% AA A1 Becton Dickinson $8,000,000 0.11% A A3

NetJets $33,935,000 0.48% AA Aa2 McDonald's $7,000,000 0.10% A A2

Caterpillar $33,000,000 0.46% A A2 NYSE Euronext $7,000,000 0.10% A A3

Microsoft $32,000,000 0.45% AAA Aaa State Street $6,000,000 0.08% A+ A1

Exxon Mobil $30,001,000 0.42% AAA Aaa 3M Company $5,000,000 0.07% AA- Aa2

BlackRock $29,550,000 0.41% A+ A1 Proamerica Bank $5,000,000 0.07%

General Dynamics $25,000,000 0.35% A A2 Procter & Gamble $5,000,000 0.07% AA- Aa3

Johnson & Johnson $25,000,000 0.35% AAA Aaa UnitedHealth $5,000,000 0.07% A A3

Texas Instruments $25,000,000 0.35% A+ A1 Air Products $3,000,000 0.04% A A2

TVA Note $25,000,000 0.35% AA+ Aaa National Oilwell Varco $3,000,000 0.04% A- A2

Walmart $25,000,000 0.35% AA Aa2 United Technologies $3,000,000 0.04% A A2

PACCAR $24,000,000 0.34% A+ A1 United Parcel Service $2,000,000 0.03% A+ Aa3

BB&T $22,000,000 0.31% A- A2 California United Bank $1,000,000 0.01%

Praxair $20,275,000 0.28% A A2 Manufacturers Bank $1,000,000 0.01%

Cisco Systems $20,000,000 0.28% A+ A1 Total $7,129,271,557 100.00%

Medtronic $20,000,000 0.28% A+ A2

Issuer

40

Total General Portfolio Transactions


Buys 29 27 24 50 59 46 36 46 60 58 45 50

Sales 0 0 0 0 1 0 0 0 0 0 0 0

Total 29 35 42 54 38 55 29 27 24 50 60 50


Buys 8 8 10 9 6 13 6 8 10 7 9 10

Sales 7 2 10 7 6 6 3 5 9 1 9 11

Total 15 10 22 18 11 19 15 10 20 16 12 21

Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13 Aug-13 Aug-13

Buys 35 34 59 65 59 42 54 70 65 54 54 60

Sales 2 10 7 7 6 3 5 9 1 9 9 11

Total 37 44 66 72 65 45 59 79 66 63 63 71

Core Transactions

Reserve Transactions

Total Transactions

0

10

20

30

40

50

60

70

80


Total Monthly Transactions Buys*

Sells**

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

41

Portfolio Transactions-Reserve Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action*

8/14/13 FNMA Note 3/30/16 (20,000,000) Sell

8/14/13 US Treasury Note 3/31/16 20,000,000 Buy

8/14/13 FHLB Note 6/24/16 (10,000,000) Sell

8/14/13 FHLMC Note 10/14/16 10,000,000 Buy

8/19/13 FHLMC Note 10/14/16 (10,000,000) Sell


8/19/13 FNMA Note 3/14/17 (25,000,000) Sell


8/21/13 FNMA Note 9/28/16 (20,000,000) Sell


8/21/13 FNMA Note 9/18/18 10,000,000 Buy

8/29/13 FHLMC Note 8/27/14 (25,000,000) Sell

8/29/13 FNMA Note 9/16/14 (20,000,000) Sell

8/29/13 Caterpillar Note 6/26/15 (5,000,000) Sell


8/29/13 Costco Note 12/7/15 (10,000,000) Sell

8/30/13 US Treasury Note 8/31/14 (85,000,000) Sell


8/30/13 FHLMC Note 3/8/17 (25,000,000) Sell


8/30/13 FNMA Note 9/18/18 25,000,000 Buy

*"Transfer" is from Reserve to Core

42

Portfolio Transactions-Core Portfolio


8/1/13 Bank of Nova Scotia CP 9/3/13 24,871,000 Buy

8/1/13 BNP Paribas CP 8/5/13 25,000,000 Buy

8/1/13 Deutsche Bank CP 8/2/13 25,000,000 Buy

8/2/13 General Electric CP 9/3/13 22,770,000 Buy



8/6/13 Netjets CP 9/4/13 33,935,000 Buy

8/6/13 Union Bank CP 9/4/13 30,489,000 Buy

8/7/13 Toronto Dominion CP 9/18/13 50,007,000 Buy

8/7/13 Rabobank CP 8/8/13 20,000,000 Buy





8/13/13 Toyota CP 8/23/13 22,540,000 Buy

8/13/13 Union Bank CP 8/15/13 15,000,000 Buy







8/15/13 Rabobank CP 8/16/13 16,000,000 Buy




8/19/13 Toyota CP 8/22/13 25,615,000 Buy



8/20/13 Bank to Tokyo-Mit CP 8/30/13 24,001,000 Buy


43

Portfolio Transactions-Core Portfolio (continued)


8/21/13 Exxon Mobil CP 9/3/13 30,001,000 Buy







8/27/13 Union Bank CP 9/18/13 30,002,000 Buy

8/27/13 General Elec CP 9/18/13 30,001,000 Buy









8/29/13 Prudential CP 9/3/13 10,000,000 Buy




44

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