Presentation to the City of Los Angeles Investment … › sites › g › files › wph1051 › f › Main...Q2 2005 Q3 2005 Q4 2005 Q1 2006 Q2 2006 Q3 2006 Q4 2006 Q1 2007 Q2 2007

Presentation to the

City of Los Angeles

Investment Advisory Committee

October 31, 2013

Economic Update-Overall Economy

* Real Rate (Inflation Adjusted)

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

As of: 10/31/13

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

2.8

2.4

2.6

2.8

2.9

-12

-10

-8

-6

-4

-2

0

2

4

6

8

Q2

20

05

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

Per

cen

t

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

10/31/2013 2

Economic Update-Employment

*Los Angeles area unemployment is not seasonally adjusted.

Data Source: Bloomberg

12 Month Average Monthly Job Change: 194,083

-800

-600

-400

-200

0

200

400

600

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

Th

ou

san

ds

Monthly Non-Farm Payrolls

4

5

6

7

8

9

10

11

12

13

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

Per

cen

t

Unemployment Rates California

LA Area

U.S.ACensus Hiring

10/31/2013 3

Economic Update-Consumer Activity

*Inflation Adjusted


-12

-10

-8

-6

-4

-2

0

2

4

6

8

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

Per

cen

t

U.S. Retail Sales* YOY % Change

$330

$350

$370

$390

$410

$430

$450

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

Total Monthly U.S. Retail Sales

10/31/2013 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

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

Per

cen

t

CPI and CPIX* YOY % Change

CPI

CPIX

-3.7

-0.7

-0.6

1

1.2

2.2

2.2

2.3

3.3

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

Energy

Apparel

Communication

CPI

Food

Wages

Shelter

Services

Education

Percent

Sector YOY % Price Changes

10/31/2013 5

Economic Update-Dollar and Commodities


70

75

80

85

90

95

May

-05

No

v-0

5

May

-06

No

v-0

6

May

-07

No

v-0

7

May

-08

No

v-0

8

May

-09

No

v-0

9

May

-10

No

v-1

0

May

-11

No

v-1

1

May

-12

No

v-1

2

May

-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

May

-05

No

v-0

5

May

-06

No

v-0

6

May

-07

No

v-0

7

May

-08

No

v-0

8

May

-09

No

v-0

9

May

-10

No

v-1

0

May

-11

No

v-1

1

May

-12

No

v-1

2

May

-13

Oil

-Per

Ba

rrel

Gold

-Per

Ou

nce

Gold and Oil

Gold

Oil

10/31/2013 6

Economic Update-Sector Returns YTD As of:


10/31/13

-11.4 -9.3

-6.1

-3.8 -3.2 -1.2 -0.4 0.0

0.3 0.9

7.9

18.1 19.0

24.4 25.3 25.5 26.0 26.9

27.9

34.1 35.0

-20

-10

0

10

20

30

40

Per

cen

t

10/31/2013 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*


10/31/13

14.2

16.7 18.3 18.6

22.7 23.5

26.9

30.1

34.0 34.9

0

5

10

15

20

25

30

35

40

Per

cen

t

YTD S&P 500 Major Sector Returns

10/31/2013 8

Economic Update-Yield Curve FYTD

Maturity 6/28/13 10/31/13 Change


3Y 0.65 0.57 -0.08

30Y 3.50 3.64 0.14

5Y 1.40 1.33 -0.06

10Y 2.49 2.56 0.07

1Y 0.15 0.09 -0.05

2Y 0.36 0.31 -0.05

3M 0.03 0.04 0.01

6M 0.09 0.08 -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

6/28/13

10/31/13

10/31/2013 9

Economic Update-Interest Rates


-0.05

0.00

0.05

0.10

0.15

0.20

0.25

0.30

0.35

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

Oct

-13

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

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

Oct

-13

Per

cen

t

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

5Y

2Y

10/31/2013 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)


9

0

20

40

60

80

100

120

140

160

180

200

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

Ba

sis

Po

int

Sp

rea

d

Spread*: 1-5 Yr Agency vs Treasury

70

0

100

200

300

400

500

600

700

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

Ba

sis

Po

int

Sp

rea

d

Spread*: 1-5 Yr Corporate vs Treasury

10/31/2013 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

Los Angeles Core

Core

Benchmark *

Los Angeles

Reserve

Reserve

Benchmark #

0.21 0.25 2.67 2.68

2.75 2.80

--

Total General

Portfolio

Weighted Purchase Yield##

Market Value

$6,862,651,096

$3,030,360 -- $132,045,063 -- $135,075,422

1.13%

11% -- 89%

2.40

Par Value

Variance

2.47

0.87% -- 1.16% --

$6,997,726,518

$772,897,096 -- $6,089,754,000 --

$775,927,455 -- $6,221,799,063 --

Mkt Value % of Total

Average Maturity (Yrs)**

Effective Duration**

100%

0.20 0.25

10/31/2013 12

Total General Portfolio: Maturity Distribution

26.3% 19.7% 14.4%

-1.0% -0.3% 0.5%

1 to 2

0.7% 2.6% 28.2%

2 to 3 3 to 4 4 to 5+

25.3% 19.4% 14.9%

1.2%

.25 to .5

29.4%10/30/13

9/30/13

Variance

0-.25 .5 to 1

-0.1% 0.4% -0.6%

1.0% 2.0%

8.1%

Years

8.0%

0%

5%

10%

15%

20%

25%

30%

35%

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

10/30/13

9/30/13

10/31/2013 13

Total General Portfolio: Sector Allocations

Figures may not total due to rounding

Sector 10/31/2013 9/30/2013 Variance

-1.1%

0.0%

0.1% 0.0%

4.7% 0.3%

20.1% 0.0%

1.0%

1.1%

1.0%

0.1%

MMFs

100.0%

0.0% 0.0%

14.5% -0.5%

58.5% 1.3%59.8%

October 31, 2013

Negotiable CDs

5.0%

20.1%

0.0%

100.0%

Federal Agencies

Treasuries

Total

0.0%

14.0%

Bank Deposits

CDARS

Commercial Paper

Corporate Notes

Bank

1.0% CDARS

0.1%

CP 5.0%

CORP

20.1%

Agy

14.0%

Tsy

59.8%

10/31/2013 14

Sector Allocations - Core Portfolio


Total 100.0%

Negotiable CDs 0.0%

Treasuries 6.4%

Federal Agencies 12.4%

Commercial Paper 45.1%

Core Portfolio

CDARS 0.9%

41.3%

October 31, 2013

3.8%

Sector 10/31/2013 9/30/2013 Variance

Bank Deposits 9.1% 9.1% -0.1%

Corporate Notes 26.1% 27.1% -1.1%

MMFs 0.0% 9.4% -9.4%

0.9% 0.0%

0.0% 0.0%

100.0%

0.0% 6.4%

12.1% 0.3%

Bank Dep

9.1%

CDARS

0.9%

CP 45.1% Corp

26.1%

Agy

12.4%

Tsy

6.4%

10/31/2013 15

Sector Allocations: Purchase Yield vs. Weighted Average Maturity

*Based on Market Value


Does not include Checking and BNYM Sweep

Agency 0.47 2.24% 13.6%

Total 0.22 0.87% 100.0%

Treasury 0.04 0.02% 7.1%

Core Portfolio

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

Corporate 0.49 1.80% 28.7%

Commercial Paper 0.02 0.10% 50.6%

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

Pu

rch

ase

Yie

ld

WAM

Bubble size = Sector's % of Portfolio

10/31/2013 16

Sector Allocations - Reserve Portfolio


Total 100.0% 100.0%

Negotiable CDs

0.2%

MMFs 0.0% 0.0% 0.0%

Reserve Portfolio

October 31, 2013

Corporate Notes 19.4%

CDARS 0.0% 0.0% 0.0%

Commercial Paper 0.0% 0.0% 0.0%

Sector 10/31/2013 9/30/2013 Variance

Bank Deposits 0.0% 0.0% 0.0%

Treasuries 66.5% 66.0% 0.4%

0.0% 0.0% 0.0%

Federal Agencies 14.1% 14.8% -0.6%

19.2%

Corp

19.4%

Agy

14.1% Tsy

66.5%

10/31/2013 17

Sector Allocations: Purchase Yield vs. Weighted Average Maturity

*Based on Market Value


2.65

3.04

2.88

66.5%

14.1%

19.4%

Purchase Yield

Reserve Portfolio

Total 2.75 1.16% 100.0%

1.20%

1.76%

0.97%

% 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%

2.50 2.60 2.70 2.80 2.90 3.00 3.10 3.20

Pu

rch

ase

Yie

ld

WAM

Bubble size = Sector's % of Portfolio

10/31/2013 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

10/31/2013 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

10/31/2013 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

10/31/2013 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

Complies

Complies



Complies-none in portfolio180 Days

Reverse Repo/Securities Lending

Corporate Notes

5 Years

5 Years

Mortgage Backed Securities/CMOs

10/31/2013 22


Corporate Notes

Percentage Allocation Limitations


20% Combined with ABS

20% Combined with MBS



15%

Limit

100%

40%

180 Days

1 Year

Compliance

Complies

Complies

20%

$50 Million Per Account

30%

10%

5% Reverse Repo/20% Revs.

Repo +Sec Lending

30%

LAIF State Pool

Complies

Complies


Sector

Government Securities

Commercial Paper

Negotiable Certificates of Deposit

CRA Certificates of Deposit

Repurchase Agreements

Reverse Repo/Securities Lending

Complies

Complies

Complies


Complies

Mortgage Backed Securities/CMOs

Asset Backed Securities

Banker's Acceptances

State/Local Agency Securities

Mutual Funds/Money Market Funds

10/31/2013 23


Issuer and Transaction Limitations -- Approved Issuers

Item Limit

Federal Agency Issuer 30% 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

10/31/2013 24


Portfolio Maturity Limitations and Duration Ranges

Core Portfolio

Effective Duration 1-5 Govt/Corp Index +/- .10 Complies: 2.67 vs 2.68

Item Limit Compliance

Maturity Limitation One Year Complies

Reserve Portfolio

Item Limit Compliance

10/31/2013 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

10/31/2013 26

Portfolio Statistics-Historical Purchase Yields

0%

1%

2%

3%

4%

5%

6%

Per

cen

t

Core

Reserve

Total Portfolio

10/31/2013 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

10/31/2013 28

Total General Portfolio Statistics-Sector Allocation History

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

Tsy 58.2% 54.5% 53.8% 52.3% 53.5% 52.3% 51.3% 48.9% 55.1% 54.8% 59.1% 59.8%

Agy 17.0% 14.8% 17.4% 18.1% 19.5% 20.2% 17.8% 17.4% 16.7% 13.8% 14.6% 14.0%

Corp 19.8% 17.8% 18.2% 18.5% 19.2% 19.0% 20.6% 19.5% 21.0% 20.1% 20.3% 20.1%

CP 3.1% 10.0% 9.9% 9.9% 6.1% 7.4% 9.3% 12.4% 6.3% 10.2% 4.8% 5.0%

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

10/31/2013 29

Portfolio Statistics-Monthly Total Return

Core Benchmark Variance Reserve Benchmark Variance

0.02% 0.00% 0.02% 0.31% 0.31% 0.00%

Sector Core Benchmark Variance Sector Reserve Benchmark Variance

Treasury 0.01% 0.00% 0.01% Treasury 0.23% 0.25% -0.02%

Agency 0.01% 0.00% 0.01% Agency 0.41% 0.34% 0.07%

Corporate 0.02% 0.00% 0.02% Corporate 0.50% 0.66% -0.16%

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

0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

0.30%

0.35%

0.40%

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

10/31/2013 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% 0.07% 5.31% 2.56% 2.38% 0.15% 0.87%

0.16% 0.19% 0.04% 0.13% 0.03% 5.04% 2.67% 2.36% 0.39% 0.90%

0.06% 0.03% 0.17% 0.10% 0.04% 0.27% -0.11% 0.02% -0.24% -0.03%

*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

10/31/2013 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% 0.02% 0.02%

Benchmark 0.01% 0.01% 0.01% 0.00%

Variance 0.01% 0.00% 0.01% 0.02%


Core 0.02% 0.03% 0.05% 0.07%

Benchmark 0.01% 0.02% 0.03% 0.03%

Variance 0.01% 0.01% 0.02% 0.04%

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

10/31/2013 32

Portfolio Statistics-Monthly & FYTD Total Return


Reserve 0.30% -0.26% 0.52% 0.31%

Benchmark 0.31% -0.26% 0.54% 0.31%

Variance -0.01% 0.00% -0.02% 0.00%


Reserve 0.30% 0.04% 0.56% 0.87%

Benchmark 0.31% 0.05% 0.59% 0.90%

Variance -0.01% -0.01% -0.03% -0.03%

*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

-0.40%

-0.30%

-0.20%

-0.10%

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%



Reserve

Benchmark

-0.10%

-0.05%

0.00%

0.05%

0.10%



10/31/2013 33

Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury


Reserve 0.23% -0.26% 0.48% 0.23%

Benchmark 0.23% -0.28% 0.51% 0.25%

Mon. Var. 0.00% 0.02% -0.03% -0.02%


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


Treasury Sector Total Returns

Monthly Variance*

Fiscal YTD Variance*

0.220%

0.270%

0.320%

0.370%

0.420%

0.470%

0.520%

0.570%



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%



10/31/2013 34

Portfolio Attribution: Reserve Agency vs. Benchmark Agency


Reserve 0.34% -0.30% 0.56% 0.41%

Benchmark 0.27% -0.25% 0.51% 0.34%

Mon. Var. 0.07% -0.05% 0.05% 0.07%


FYTD Var. 0.07% 0.02% 0.07% 0.14%


Agency Sector Total Returns

Monthly Variance*


-0.40%

-0.30%

-0.20%

-0.10%

0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

0.70%



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%

0.12%

0.14%

0.16%

0.18%



10/31/2013 35

Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate


Reserve 0.49% -0.19% 0.61% 0.50%

Benchmark 0.65% -0.17% 0.72% 0.66%

Mon. Var. -0.16% -0.02% -0.11% -0.16%


FYTD Var. -0.16% -0.18% -0.29% -0.45%


Corporate Sector Total Returns

Monthly Variance*


-0.40%

-0.20%

0.00%

0.20%

0.40%

0.60%

0.80%



Reserve Corp

Benchmark Corp

-0.50%

-0.45%

-0.40%

-0.35%

-0.30%

-0.25%

-0.20%

-0.15%

-0.10%

-0.05%

0.00%



10/31/2013 36

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

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

Interest 17.8 18.0 17.9 16.9 17.8 17.4 17.5 17.2 17.5 16.9 16.6 17.2

Price 2.4 -19.8 -26.0 9.4 -12.5 9.2 -69.0 -69.0 13.3 -43.2 37.0 15.9

Total 20.2 -1.8 -8.1 26.3 5.3 26.6 -51.5 -51.8 30.8 -26.3 53.6 33.1


Component Total Return

-80

-60

-40

-20

0

20

40

60

Ba

sis

Po

ints

Monthly Price Return vs Interest Return

Price Return

Interest Return

-60

-40

-20

0

20

40

60

Ba

sis

Po

ints

Monthly Total Return

10/31/2013 37

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

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

Index 20 -2 -8 26 5 27 -52 -52 31 31 54 33 9

Treasury 22 -5 -13 24 4 23 -52 -40 23 23 51 25 7

Agency 21 -3 -7 18 6 21 -44 -52 27 27 51 34 8

Corporate 8 10 4 42 12 40 -56 -103 65 65 72 66 19


Sector Total Returns (Basis Points)

-120

-100

-80

-60

-40

-20

0

20

40

60

80

100


Ba

sis

Po

ints

Index Sector Total Returns

Tsy

Agy

Corp

Govt/Corp Index

10/31/2013 38

Reserve vs Index: Sector Allocations % of Portfolio/Index


60%

64%

68%

72%

76%

80%

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

Sep

-13

Oct-

13

Per

cen

t

Treasury Allocations: Reserve vs Index

Index

Reserve

8%

10%

12%

14%

16%

18%

20%

22%

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

Sep

-13

Oct-

13

Per

cen

t

Agency Allocations: Reserve vs Index

Index

Reserve

8%

10%

12%

14%

16%

18%

20%

22%

24%

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

Sep

-13

Oct-

13

Per

cen

t

Corporate Allocations: Reserve vs Index Index

Reserve

10/31/2013 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 $4,082,000,000 59.48% AA+ Aaa Costco $16,000,000 0.23% A+ A1

FNMA Note $375,000,000 5.46% AA+ Aaa Bank of New York Mellon $15,900,000 0.23% A+ Aa3

FHLMC Note $335,000,000 4.88% AA+ Aaa Apple $15,000,000 0.22% AA+ Aa1

FHLB Note $148,125,000 2.16% AA+ Aaa Intel $15,000,000 0.22% A+ A1

BNP Paribas $124,131,000 1.81% A+ A2 Merck & Co $15,000,000 0.22% AA A2

JPMorgan Chase $101,250,000 1.48% A A2 Oracle $15,000,000 0.22% A+ A1

Bank of Tokyo-Mitsubishi $85,000,000 1.24% A+ A2 Pepsico $15,000,000 0.22% A- A1

Wells Fargo $80,000,000 1.17% A+ A1 Sherwin-Williams $15,000,000 0.22% A A3

Toyota $77,000,000 1.12% AA- Aa3 American Express $10,000,000 0.15% A- A2

Wells Fargo Bank* $70,464,096 1.03% Baxter International $10,000,000 0.15% A A3

General Electric $70,000,000 1.02% AA+ A1 Charles Schwab $10,000,000 0.15% A A2

Coca Cola $67,000,000 0.98% AA- Aa3 Colgate-Palmolive $10,000,000 0.15% AA- Aa3

Honda $60,000,000 0.87% A+ A1 Daimler Finance $10,000,000 0.15% A- A3

Societe Generale $54,000,000 0.79% A A2 Google $10,000,000 0.15% AA Aa2

John Deere $53,000,000 0.77% A A2 Occidental Petroleum $10,000,000 0.15% A A1

Goldman Sachs $49,000,000 0.71% A- A3 Univ. of California $10,000,000 0.15% AA Aa1

FFCB Note $47,000,000 0.68% AA+ Aaa Wal-Mart $10,000,000 0.15% AA Aa2

IBM $45,000,000 0.66% AA- Aa3 Wisconsin Electric Power $10,000,000 0.15% A- A2

TVA Note $45,000,000 0.66% AA+ Aaa Southern Company $9,150,000 0.13% A A2

AT&T $40,000,000 0.58% A- A3 Ebay $9,000,000 0.13% A A2

Berkshire Hathaway $38,000,000 0.55% AA Aa2 Philip Morris $8,754,000 0.13% A A2

US Bancorp $38,000,000 0.55% A+ A1 Altera $8,050,000 0.12% BBB+ Baa1

Prudential Funding $35,001,000 0.51% AA- A2 Becton Dickinson $8,000,000 0.12% A A3

Caterpillar $33,000,000 0.48% A A2 McDonald's $7,000,000 0.10% A A2

Union Bank $32,000,000 0.47% A+ A2 NYSE Euronext $7,000,000 0.10% A A3

Walt Disney $30,000,000 0.44% A A2 State Street $6,000,000 0.09% A+ A1

Blackrock $29,550,000 0.43% A+ A1 3M $5,000,000 0.07% AA- Aa2

BB&T $27,000,000 0.39% A- A2 Georgia Power $5,000,000 0.07% A A3

General Dynamics $25,000,000 0.36% A A2 Home Depot $5,000,000 0.07% A A3

Johnson & Johnson $25,000,000 0.36% AAA Aaa Proamerica Bank $5,000,000 0.07%

Pfizer $25,000,000 0.36% AA A1 Proctor & Gamble $5,000,000 0.07% AA- Aa3

Texas Instrument $25,000,000 0.36% A+ A1 United Health Group $5,000,000 0.07% A A3

PACCAR $24,000,000 0.35% A+ A1 Air Products & Chemicals $3,000,000 0.04% A A2

Praxair $20,275,000 0.30% A A2 Intercontinental Exg. $3,000,000 0.04% A A3

Toronto Dominion $20,001,000 0.29% AA- Aa1 National Oilwell Varco $3,000,000 0.04% A- A2

Cisco Systems $20,000,000 0.29% A+ A1 Uniteted Tech $3,000,000 0.04% A A2

Medtronic $20,000,000 0.29% A+ A2 United Parcel $2,000,000 0.03% A+ Aa3

Microsoft Corp $20,000,000 0.29% AAA Aaa California United Bank $1,000,000 0.01%

Stryker $20,000,000 0.29% A+ A3 Manufacturers Bank $1,000,000 0.01%

Chevron $17,000,000 0.25% AA Aa1 Total $6,862,651,096 100.00%

*Checking account

Issuer

10/31/2013 40

Total General Portfolio Transactions


Buys 24 50 59 46 36 46 60 58 45 50 59 61

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

Total 29 35 42 54 38 55 29 27 24 50 60 61


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

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

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


Buys 34 59 65 59 42 54 70 65 54 60 66 68

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

Total 44 66 72 65 45 59 79 66 63 71 71 73

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

10/31/2013 41

Portfolio Transactions-Reserve Portfolio

Trade Date Issuer Type Maturity Date Par Amount Action*

10/1/13 Intercontinental Exch. Note 10/15/18 3,000,000 Buy

10/3/13 Honda Note 10/10/18 5,000,000 Buy

10/15/13 US Treasury Note 7/31/16 40,000,000 Buy

10/15/13 FNMA Note 10/15/14 (40,000,000) Sell

10/21/13 Wells Fargo Note 1/16/18 (15,000,000) Sell

10/21/13 Wells Fargo Note 1/15/19 15,000,000 Buy

10/29/13 Coca Cola Note 11/1/18 22,000,000 Buy

10/30/13 US Bank Note 10/30/14 (10,000,000) Transfer



10/31/13 Pfizer Note 1/15/17 (10,000,000) Sell

10/31/13 US Treasury Note 10/31/14 (133,500,000) Sell

*"Transfer" is from Reserve to Core

10/31/2013 42

Portfolio Transactions-Core Portfolio


10/1/13 Toronto Dominion CP 10/16/13 60,000,000 Buy

10/1/13 Deutsche Bank CP 10/16/13 60,003,000 Buy





10/2/13 Prudential CP 10/17/13 26,000,000 Buy


10/4/13 BNP Paribas CP 10/9/13 16,000,000 Buy

10/4/13 Rockwell Collins CP 10/21/13 16,250,000 Buy

10/4/13 Honds CP 10/10/13 25,000,000 Buy

10/7/13 Bank of Tokyo-MIT CP 10/15/13 14,000,000 Buy


10/7/13 US Treasury Bill 10/10/13 20,000,000 Buy


10/9/13 FHLB Discount 10/24/13 11,000,000 Buy

10/9/13 Bristol-Myer CP 10/15/13 25,000,000 Buy


10/10/13 Dover CP 10/23/13 18,298,000 Buy




10/11/13 Dover CP 10/30/13 17,210,000 Buy










10/31/2013 43

Portfolio Transactions-Core Portfolio (continued)




10/21/13 Societe Generale CP 10/22/13 28,000,000 Buy



10/22/13 Toronto Dominion CP 11/13/13 20,001,000 Buy



10/22/13 Union Bank CP 10/25/13 33,000,000 Buy



10/23/13 Union Bank CP 10/28/13 14,000,000 Buy











10/29/13 Union Bank CP 11/1/13 32,000,000 Buy


10/30/13 US Bank Note 10/30/14 10,000,000 Transfer



10/31/13 US Treasury Bill 11/14/13 50,000,000 Buy




10/31/2013 44

Documents

Presentation to the City of Los Angeles Investment … › sites › g › files › wph1051 › f › Main...Q2 2005 Q3 2005 Q4 2005 Q1 2006 Q2 2006 Q3 2006 Q4 2006 Q1 2007 Q2 2007