Presentation to the City of Los Angeles Investment ... Street IAC Report February...
Transcript of 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
Data Source: Bloomberg
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
Data Source: Bloomberg
-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
Data Source: Bloomberg
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:
Data Source: Bloomberg
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*
Data Source: Bloomberg
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
Data Source: Bloomberg
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
Data Source: Bloomberg
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)
Data Source: Bloomberg
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
February 28, 2015 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 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
February 28, 2015 12
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
February 28, 2015 13
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%
February 28, 2015 14
Sector Allocations - Core Portfolio
Figures may not total due to rounding
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%
Sector 2/28/2015 1/31/2015 Variance
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%
February 28, 2015 15
Sector Allocations: Purchase Yield vs. Weighted Average Maturity
*Based on Market Value
Figures may not total due to rounding
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
February 28, 2015 16
Sector Allocations - Reserve Portfolio
Figures may not total due to rounding
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%
Sector 2/28/2015 1/31/2015 Variance
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%
February 28, 2015 17
Sector Allocations: Purchase Yield vs. Weighted Average Maturity
*Based on Market Value
Figures may not total due to rounding
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
February 28, 2015 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
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
February 28, 2015 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
$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
February 28, 2015 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
Jan
-14
Ap
r-1
4
Ju
l-1
4
Oct
-14
Jan
-15
Reserve
Core
February 28, 2015 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
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-none in portfolio
Complies-none in portfolio
Complies
Complies
Complies-none in portfolio
Complies-none in portfolio
Complies-none in portfolio180 Days
Reverse Repo/Securities Lending
Corporate Notes
5 Years
5 Years
Mortgage Backed Securities/CMOs
February 28, 2015 22
Portfolio Compliance with Code, Policy, and Guidelines
Corporate Notes
Percentage Allocation Limitations
Complies-none in portfolio
20% Combined with ABS
20% Combined with MBS
Complies-none in portfolio
Complies-none in portfolio
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
Complies-none in portfolio
Sector
Government Securities
Commercial Paper
Negotiable Certificates of Deposit
CRA Certificates of Deposit
Repurchase Agreements
Reverse Repo/Securities Lending
Complies
Complies
Complies
Complies-none in portfolio
Complies
Mortgage Backed Securities/CMOs
Asset Backed Securities
Banker's Acceptances
State/Local Agency Securities
Mutual Funds/Money Market Funds
February 28, 2015 23
Portfolio Compliance with Code, Policy, and Guidelines
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
February 28, 2015 24
Portfolio Compliance with Code, Policy, and Guidelines
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
February 28, 2015 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
Per
cen
t
Purchase Yield: Core vs Benchmark*
Core
Benchmark
2.2
2.3
2.4
2.5
2.6
2.7
2.8
Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14
Du
rati
on
Reserve Duration Reserve
Benchmark
0%
1%
2%
3%
4%
5%
6%
Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14
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
Jul-06 Jan-08 Jul-09 Jan-11 Jul-12 Jan-14
Du
rati
on
Core Duration Core
Benchmark
February 28, 2015 26
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
February 28, 2015 27
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
February 28, 2015 28
Purchase Yield Per 6-Month Maturity Intervals
*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
Bubble Size = Maturity's % of Portfolio
February 28, 2015 29
Purchase Yield Per 6-Month Maturity Intervals
*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
Bubble Size = Maturity's % of Portfolio
February 28, 2015 30
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
February 28, 2015 31
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%
Figures may not total due to rounding
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
February 28, 2015 32
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
February 28, 2015 33
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)
Figures may not total due to rounding
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
February 28, 2015 34
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
Figures may not total due to rounding
-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
February 28, 2015 35
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%
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
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%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Performance Variance
February 28, 2015 36
Portfolio Statistics-Monthly & FYTD Total Return
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
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%
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
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%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Monthly Performance Comparison
Reserve
Benchmark
-0.10%
-0.05%
0.00%
0.05%
0.10%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Performance Variance
February 28, 2015 37
Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
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%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Var. 0.00% -0.01% 0.01% 0.00% -0.02% -0.01% -0.06% -0.02%
*The benchmark index for the Reserve Portfolio was changed August 1, 2013
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%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Monthly Performance Comparison
Reserve Tsy
Benchmark Tsy
-0.08%
-0.06%
-0.04%
-0.02%
0.00%
0.02%
0.04%
0.06%
0.08%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Performance Variance
February 28, 2015 38
Portfolio Attribution: Reserve Agency vs. Benchmark Agency
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
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%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Var. -0.08% -0.02% -0.01% 0.07% 0.07% 0.07% 0.08% 0.05%
*The benchmark index for the Reserve Portfolio was changed August 1, 2013
Agency 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%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Monthly Performance Comparison
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%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Performance Variance
February 28, 2015 39
Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
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%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Var. 0.00% -0.02% 0.00% -0.04% -0.05% -0.02% 0.03% -0.01%
*The benchmark index for the Reserve Portfolio was changed August 1, 2013
Corporate Sector Total Returns
Monthly Variance*
Fiscal YTD Variance*
-0.40%
-0.20%
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
1.20%
1.40%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Monthly Performance Comparison
Reserve Corp
Benchmark Corp
-0.06%
-0.04%
-0.02%
0.00%
0.02%
0.04%
0.06%
0.08%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Performance Variance
February 28, 2015 40
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
*The benchmark index for the Reserve Portfolio was changed August 1, 2013
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
February 28, 2015 41
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
*The benchmark index for the Reserve Portfolio was changed August 1, 2013
Sector Total Returns (Basis Points)
-60
-40
-20
0
20
40
60
80
100
120
Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15
Ba
sis
Po
ints
Index Sector Total Returns Tsy
Agy
Corp
Govt/Corp Index
February 28, 2015 42
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
February 28, 2015 43
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
February 28, 2015 44
Effective Duration Allocations: Reserve Tsy vs. Benchmark Tsy
*Calculated using market values
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
February 28, 2015 45
Effective Duration Allocations: Reserve Agy vs. Benchmark Agy
*Calculated using market values
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
February 28, 2015 46
Effective Duration Allocations: Reserve Corp vs. Benchmark Corp
*Calculated using market values
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
February 28, 2015 47
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
February 28, 2015 48
Total General Portfolio Transactions
Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15
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
Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15
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
Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15
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
Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15
Total Monthly Transactions Buys*
Sells**
*Buys: Core-Includes transfers from Reserve **Sales: Core-Includes calls, Reserve-Includes calls and transfers to Core
February 28, 2015 49
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
2/11/15 U.S. Treasury Tsy 6/15/16 20,000,000 Buy
2/13/15 AT&T Corp 11/27/18 10,000,000 Sell
2/17/15 U.S. Treasury Tsy 2/15/18 10,000,000 Buy
2/19/15 Bank of New York Corp 2/24/20 10,000,000 Buy
2/20/15 U.S. Treasury Tsy 6/15/16 50,000,000 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 U.S. Treasury Tsy 2/29/20 50,000,000 Buy
2/27/15 Baxter International Corp 6/1/16 5,000,000 Sell
2/27/15 U.S. Treasury Tsy 3/31/19 75,000,000 Buy
2/27/15 U.S. Treasury Tsy 12/31/18 70,000,000 Buy
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
2/27/15 U.S. Treasury Tsy 4/30/16 50,000,000 Sell
2/27/15 U.S. Treasury Tsy 2/29/16 30,000,000 Sell
*"Transfer" is from Reserve to Core
February 28, 2015 50
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
2/3/15 Bank of Tokyo-MIT CP 2/18/15 40,002,000 Buy
2/3/15 Bank of Tokyo-MIT CP 3/4/15 30,004,000 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
2/6/15 Bank of Tokyo-MIT CP 2/19/15 28,600,000 Buy
2/6/15 BNP Paribas CP 2/12/15 40,000,000 Buy
2/9/15 BNP Paribas CP 2/13/15 20,000,000 Buy
2/9/15 BNP Paribas CP 2/12/15 11,800,000 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
2/10/15 BNP Paribas CP 2/13/15 23,000,000 Buy
2/11/15 BNP Paribas CP 2/17/15 21,000,000 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
2/17/15 Bank of Tokyo-MIT CP 3/12/15 21,000,000 Buy
2/18/15 FNMA Agy 4/15/15 49,171,000 Buy
2/19/15 Bank of Tokyo-MIT CP 2/27/15 26,000,000 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
2/25/15 Bank of Tokyo-MIT CP 4/2/15 35,000,000 Buy
2/25/15 Bank of Tokyo-MIT CP 3/4/15 40,000,000 Buy
2/26/15 Bank of Tokyo-MIT CP 4/10/15 25,000,000 Buy
2/26/15 Bank of Tokyo-MIT CP 4/9/15 25,000,000 Buy
2/26/15 Bank of Tokyo-MIT CP 3/6/15 30,000,000 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
February 28, 2015 51