Presentation to the City of Los Angeles Treasurer on the City's General Pool Investments January 31, 2017
January 31, 2017 Data Source: Bloomberg Economic Update: Overall Economy * Real Rate (Inflation Adjusted) Percent -12 -10 -8 -6 -4 -2 0 2 4 6 8 Q2 2009 -0.5 Q3 2009 1.3 Q4 2009 3.9 Q1 2010 1.7 U.S. GDP (Quarter over Quarter Annualized)* Q2 2010 3.9 Q3 2010 2.7 Q4 2010 2.5 Q1 2011 -1.5 Q2 2011 2.9 Q3 2011 0.8 Q4 2011 4.6 Q1 2012 2.7 Q2 2012 1.9 Q3 2012 0.5 Q4 2012 0.1 Q1 2013 2.8 Q2 2013 0.8 Q3 2013 3.1 Q4 2013 4.0 Q1 2014 -1.2 Q2 2014 4.0 Q3 2014 5.0 Q4 2014 2.3 Q1 2015 2.0 Q2 2015 2.6 Q3 2015 2.0 Q4 2015 0.9 Q1 2016 0.8 Q2 2016 1.4 Q3 2016 3.5 Estimate: Bloomberg's Survey of Economists Q4 2016 1.9 Q1 2017 2.2 Q2 2017 2.3 Q3 2017 2.4 As of: 1/31/17 Q4 2017 2.4 2
Economic Update: Employment Unemployment Rates Monthly Non-Farm Payrolls California 12 400 LA Area 11 U.S.A 350 10 300 250 9 Thousands Percent 200 8 150 7 100 6 50 5 0 4 Jul-12 Jul-13 Jul-14 Jul-15 Jul-16 Oct-12 Jan-13 Apr-13 Oct-13 Jan-14 Apr-14 Oct-14 Jan-15 Apr-15 Oct-15 Jan-16 Apr-16 Oct-16 Jan-17 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 *Los Angeles area unemployment is not seasonally adjusted. 12 Month Average Monthly Job Change: 195,250 Data Source: Bloomberg January 31, 2017 3
Economic Update: Consumer Activity U.S. Retail Sales* YOY % Change Total Monthly U.S. Retail Sales $480 4.5 $470 4 $460 3.5 $450 3 Percent Billions 2.5 $440 2 $430 1.5 $420 1 $410 0.5 $400 0 $390 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 *Inflation Adjusted Data Source: Bloomberg January 31, 2017 4
Economic Update: Inflation Sector YOY % Price Changes CPI and CPIX* YOY % Change 3.0 12.4 Energy 2.5 3.5 Shelter 3.0 2.0 Services 2.6 Education Percent 1.5 2.5 Wages 1.0 2.5 CPI CPI 0.5 0.2 Apparel CPIX 0.0 -0.2 Food -2.8 Communication -0.5 Jul-12 Oct-12 Jan-13 Apr-13 Jul-13 Oct-13 Jan-14 Apr-14 Jul-14 Oct-14 Jan-15 Apr-15 Jul-15 Oct-15 Jan-16 Apr-16 Jul-16 Oct-16 Jan-17 -5 -3 -1 1 3 5 7 9 11 13 15 Percent *CPIX: Consumer Price Index, excluding food and energy Data Source: Bloomberg January 31, 2017 5
Economic Update: Dollar and Commodities Gold and Oil Dollar Index 106 $2,000 $140 104 Gold $1,800 102 $120 100 Oil $1,600 98 96 $100 $1,400 Gold-Per Ounce 94 Oil-Per Barrel 92 $1,200 Index Value $80 90 88 $1,000 86 $60 $800 84 82 $600 $40 80 78 $400 76 $20 74 $200 72 70 $0 $0 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Aug-15 Feb-16 Aug-16 Aug-08 Feb-09 Aug-09 Feb-10 Aug-10 Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Aug-15 Feb-16 Aug-16 Data Source: Bloomberg January 31, 2017 6
Economic Update: Sector Returns YTD 1/31/17 As of: 7 6.3 5.8 6 5 4.3 3.8 4 3.7 3.3 2.9 3 Percent 1.8 2 1.5 0.9 0.8 1 0.6 0.2 0.2 0.2 0.1 0.1 0.0 0 -0.2 -1 -0.8 -2 -2.0 -3 Data Source: Bloomberg January 31, 2017 7
Economic Update: S&P 500 Returns 1/31/17 As of: YTD S&P 500 Major Sector Returns 5 4.5 4.2 4 3.6 3 2.3 2.3 1.9 1.7 2 1.3 Percent 1 0.3 0 -1 -2 -3 -3.2 -4 Data Source: Bloomberg January 31, 2017 8
Economic Update: Yield Curve FYTD U.S. Treasury Yield Curve 3.5 Maturity 6/30/16 1/31/17 Change 3M 0.26 0.52 0.25 3.0 6/30/16 6M 0.35 0.63 0.28 1/31/17 2.5 1Y 0.44 0.76 0.33 2.0 Percent 2Y 0.58 1.21 0.62 1.5 3Y 0.69 1.46 0.77 1.0 5Y 1.00 1.91 0.91 10Y 1.47 2.45 0.98 0.5 30Y 2.29 3.06 0.78 0.0 3M6M 1Y 2Y 3Y 5Y 10Y 30Y Data Source: Bloomberg Figures may not total due to rounding January 31, 2017 9
Economic Update: Interest Rates U.S. Treasury Yields: 2Y and 5Y U.S. Treasury Yields: 3M and 1Y 1.00 1Y 2.25 0.90 3M 2.00 0.80 1.75 0.70 1.50 0.60 Percent Percent 1.25 0.50 0.40 1.00 0.30 0.75 0.20 0.50 0.10 5Y 0.25 0.00 2Y -0.10 0.00 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Jan-14 Mar-14 May-14 Jul-14 Sep-14 Nov-14 Jan-15 Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Data Source: Bloomberg January 31, 2017 10
Economic Update: Agency and Corporate Spreads Spread*: 1-5 Yr Corporate vs Treasury Spread*: 1-5 Yr Agency vs Treasury 30 250 25 200 20 Basis Point Spread Basis Point Spread 150 15 100 75 12 10 50 5 0 0 Jun-10 Oct-10 Feb-11 Jun-11 Oct-11 Feb-12 Jun-12 Oct-12 Feb-13 Jun-13 Oct-13 Feb-14 Jun-14 Oct-14 Feb-15 Jun-15 Oct-15 Feb-16 Jun-16 Oct-16 Jun-10 Oct-10 Feb-11 Jun-11 Oct-11 Feb-12 Jun-12 Oct-12 Feb-13 Jun-13 Oct-13 Feb-14 Jun-14 Oct-14 Feb-15 Jun-15 Oct-15 Feb-16 Jun-16 Oct-16 *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 January 31, 2017 11
Summary Portfolio Characteristics Core Los Angeles Reserve Total General Los Angeles Core Benchmark * Reserve Benchmark # Portfolio Market Value $1,559,381,653 -- $6,637,258,488 -- $8,196,640,141 Par Value $1,560,146,067 -- $6,633,935,000 -- $8,194,081,067 Variance ($764,414) -- $3,323,488 -- $2,559,074 Mkt Value % of Total 19.0% -- 81.0% -- 100% Average Maturity (Yrs)** 0.14 0.24 2.74 2.79 2.25 Effective Duration** 0.15 0.23 2.66 2.67 2.19 Weighted Purchase Yield## 0.82% -- 1.46% -- 1.34% *Core Benchmark: 3 Month T-Bill (G0O1 BofA/Merrill Index) #Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BU10 BofA Merrill Index) **Average Maturity after rebalancing for the indexes--Portfolios based upon trade date holdings, Core Average Maturity includes checking ## Weighted Purchase Yield for Core does not include checking January 31, 2017 12
Total General Portfolio: Maturity Distribution 30% 25% 20% 1/31/17 15% 12/31/16 10% 5% 0% 0-.25 .25 to .5 .5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ Years 0-.25 .25 to .5 .5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+ 1/31/17 17.7% 0.1% 1.5% 26.8% 21.1% 18.8% 14.0% 12/31/16 18.3% 0.2% 1.5% 26.2% 21.1% 18.3% 14.3% Variance -0.5% -0.1% -0.1% 0.5% 0.0% 0.5% -0.3% January 31, 2017 13
Sector Allocations: Total General Portfolio January 31, 2017 Sector 1/31/2017 12/31/2016 Variance Neg. CDs Bank Dep 0.0% Bank Deposits 1.2% 1.1% 0.1% 1.2% CDARS 0.0% 0.0% 0.0% CP Commercial Paper 13.2% 11.2% 2.0% 13.2% Corporate Notes 16.5% 16.3% 0.1% MMFs 0.0% 0.0% 0.0% CORP 16.5% Tsy Negotiable CDs 0.0% 0.3% -0.3% 58.1% Agencies* 11.0% 12.5% -1.5% Agy 11.0% Treasuries 58.1% 58.6% -0.5% Total 100.0% 100.0% *Includes Supranational and Municipal Securities Figures may not total due to rounding January 31, 2017 14
Sector Allocations: Core Portfolio Core Portfolio January 31, 2017 Sector 1/31/2017 12/31/2016 Variance Tsy Neg. CDs Bank Deposits 6.4% 5.7% 0.6% 1.5% 0.0% Bank Dep CDARS 0.0% 0.0% 0.0% Agy 6.4% 13.1% Commercial Paper 69.4% 58.5% 10.9% Corp 9.6% Corporate Notes 9.6% 8.9% 0.8% MMFs 0.0% 0.0% 0.0% Negotiable CDs 0.0% 1.6% -1.6% Agencies* 13.1% 22.3% -9.2% CP 69.4% Treasuries 1.5% 3.0% -1.6% Total 100.0% 100.0% *Includes Supranational and Municipal Securities Figures may not total due to rounding January 31, 2017 15
Sector Allocations: Purchase Yield vs. Weighted Average Maturity Core Portfolio 1.8% Bubble size = Sector's % of Portfolio Corp 1.6% 1.4% Sector WAM (Yrs.) Purchase Yield % of Portfolio* 1.2% Negotiable CDs 0.00 0.00 0.0% Purchase Yield Corporate Notes 0.61 1.54% 10.3% 1.0% Commercial Paper 0.10 0.78% 74.1% 0.8% CP Agencies** 0.08 0.53% 14.0% 0.6% Agy Treasuries 0.08 0.50% 1.6% Tsy 0.4% Total 0.15 0.82% 100.0% 0.2% *Based on Market Value 0.0% **Includes Supranational Securities -0.2 0.0 0.2 0.4 0.6 0.8 1.0 1.2 WAM Years Figures may not total due to rounding Does not include Checking and BNYM Sweep, CDARS included with CP January 31, 2017 16
Sector Allocations: Reserve Portfolio Reserve Portfolio January 31, 2017 Sector 1/31/2017 12/31/2016 Variance Bank Deposits 0.0% 0.0% 0.0% CDARS 0.0% 0.0% 0.0% Corp Commercial Paper 0.0% 0.0% 0.0% 18.1% Corporate Notes 18.1% 18.1% 0.0% Agy MMFs 0.0% 0.0% 0.0% 10.5% Negotiable CDs 0.0% 0.0% 0.0% Tsy 71.4% Agencies* 10.5% 10.2% 0.3% Treasuries 71.4% 71.7% -0.3% Total 100.0% 100.0% *Includes Supranational and Municipal Securities Figures may not total due to rounding January 31, 2017 17
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