Operating Investment Pool 1 Monthly Net Cash Flows 2 Operating - PowerPoint PPT Presentation

Operating Investment Pool 1

Monthly Net Cash Flows 2

Operating Investment Pool Balance 3

General & Reserve Fund Balances 4

Internally Managed Portfolio (K9C9) 5

Returns as of 01/31/17 1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years Inception S/T Liquidity -0.01 0.04 -0.01 0.05 0.16 0.01 0.00 10/13/2012 Citigroup 1 Month CD 0.01 0.04 0.01 0.10 0.16 0.16 0.16 Excess -0.02 0.00 -0.02 -0.05 0.00 -0.15 -0.16 Int. Gov/Corp 0.15 -1.56 0.15 -1.92 0.57 1.99 1.69 10/13/2012 BofA Custom 0.22 -1.39 0.22 -1.75 0.75 1.94 1.73 Excess -0.07 -0.17 -0.07 -0.17 -0.18 0.05 -0.04 Total OIP 0.14 -1.37 0.14 -1.67 0.60 1.77 1.50 Custom Index 0.19 -1.17 0.19 -1.47 0.66 1.68 1.50 Excess -0.05 -0.20 -0.05 -0.20 -0.06 0.09 0.00 6

Maturity Buckets (K9C9) Maturity Report % of Market Value Maturity TSY AGY Aaa Aa A Baa Ba Total 0.00 - 0.99 7.1 2.9 0.4 2.1 4.0 0.2 0.0 16.6 1.00 - 2.99 8.0 3.9 0.5 2.8 7.0 1.2 0.3 23.7 3.00 - 4.99 3.4 3.6 2.2 3.3 5.7 0.6 0.3 18.9 5.00 - 6.99 2.1 7.5 1.5 1.9 6.6 0.5 0.0 20.0 7.00+ 2.1 11.5 1.4 1.5 4.4 0.0 0.0 20.8 Total: 22.6 29.4 5.9 11.5 27.6 2.4 0.6 100 Sector Attribution Agency % MV Weighting Return Internally Mng'd 0.03 29.45 overweight ML/BoA Blend 0.30 4.19 Difference -0.27 25.26 7

Interest Rate Simulation (K9C9) Yield Chg Total Income Price Ending Ending Eff Mkt Val Change in (bps) Return Return Return YTW Dur (USD 000) Mkt Val -25 2.775 1.814 0.961 1.775 3.745 3,570,464 32,633 0 1.836 1.836 0.000 2.020 3.796 3,537,831 25 0.896 1.857 -0.961 2.266 3.828 3,505,172 -32,659 50 -0.040 1.876 -1.917 2.512 3.843 3,472,637 -65,194 75 -0.968 1.896 -2.864 2.757 3.847 3,440,412 -97,419 100 -1.883 1.917 -3.799 3.003 3.841 3,408,633 -129,198 8

Presentation Notes Slide #2 (Monthly Cash Flow) In late 2015 monthly net cash flows deviated from the trend. This trend continued throughout 2016 going back to normal trend in August. We still continue to hold a larger allocation to Gov’t Money Market to meet liquidity needs. Slide #3 (Operating Investment Pool Balance) This slide shows the market balance of the OIP over since January 2003. Slide #4 (General & Reserve Fund Balance) The General Fund has dropped to the lower end of the range over the last 6 years. The Reserve Fund has dropped from a high of $800 million to $680 million over the last 2 years. Slide #5 (Internally Managed Portfolio – K9C9) This slide shows the asset class breakdown in K9C9. Single A Corporates have increased to 28.5% with the new policy maximum of 30%. Slide #6 (Returns as of 01/31/17) This slide shows the returns of the OIP as of 01/31/17. 9

Presentation Notes Slide #7 (Maturity Buckets – K9C9) This slide shows the breakdown of assets in K9C9 by maturity. The bottom chart shows the returns of just the agency sector. The overweight in agencies in the 5-10 year maturity has been a drag on performance in January. Slide #8 (Interest Rate Simulation – K9C9) This table shows the effects on the portfolio for a given change in yield. 10

Biographies Joe Spitznagel, Portfolio Manager Joe Spitznagel joined the Nebraska Investment Council in 2010 as a Portfolio Manager. He co-manages the investment of the Operating Investment Portfolio with Jeremiah Garber. Joe’s focus is the intermediate portion of the OIP which includes government and corporate securities with maturities between 1 to 10 years. Prior to his work with the Nebraska Investment Council, Joe was the Senior Financial Analyst for Lotsoff Capital Management in Chicago where he co-managed the Core Fixed Income Bond Fund for 9 years. Joe earned his MBA from DePaul University in 2006 and a Bachelor of Science in Finance at the University of Nebraska – Lincoln in 2000. Jeremiah Garber, CFA Portfolio Manager Jeremiah Garber joined the Nebraska Investment Council in 2011. He co-manages the investment of the Operating Investment Pool with Joe Spitznagel. Jeremiah’s focus is the short term portion of the OIP focusing on meeting the daily cash needs of the State Treasurer. Prior to his joining the Nebraska Investment Council, Jeremiah was an Investment Analyst at a First Nebraska Trust company where he focused on individual client’s fixed income portfolios. Jeremiah was awarded the CFA Charter in August 2016. He earned his MBA from the University of Nebraska Omaha in 2002 and a Bachelor of Arts from Hastings College in 2000. 11