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Driven by Passion. Backed by Results

Stable Value Database 3/31/2016 Quarterly Update

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Table of contents Page Content 3. Introduction

4. Crediting Rates

5. Market-to-Book Ratios

6. Duration

7. Underlying Portfolio Performance

8. Underlying Portfolio Sector Allocations

9. Underlying Portfolio Credit Quality

10. Participating Funds List

11. Glossary of Terms

12. Questions to Ask Your Stable Value Provider

13. Comparison of Major Stable Value Product Types

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Introduction About Blue Prairie Group Blue Prairie Group is an independent, fee-only investment retirement and investment consulting firm based in Chicago. We work with scores of organizations and individuals across the United States through our three core practice areas:

- ERISA - Foundations & Endowments - Wealth Management For more information about the firm and its services, please visit the website at www.blueprairiegroup.com For questions about this database update, please contact Matt Gnabasik, Managing Director at matt@blueprairiegroup.com or Constantine Mulligan, Managing Partner and Director of Research at constantine@blueprairiegroup.com

About The Data Contained in This Report The data found in this report comes from survey responses from leading stable value providers. A list of those providers can be found at the back of this report. As survey responses are received and compiled, the aggregate metrics will change, and the report will be updated to reflect the most current information. We publish this update on a quarterly basis, and we publish a market commentary supplement to this report on the first and third quarter of the year. While the information in this report comprises only a small portion of the data collected, more complete information on the stable value asset class may be acquired by contacting the persons named above.

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Crediting Rates Across the entire database, crediting rates dropped slightly to 2.38% on average, down from 2.43% in Q4 2015. The downward movement was seen in general account GICs and insurance company separate account GICs as synthetic GICs slightly trended upwards in Q1 2016.

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Market-To-book ratios Market-to-book ratios noticeably trended up in the first quarter of 2016, ending at 101.53% (up from 100.52% last quarter).

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Duration The average duration of the underlying portfolio decreased to 2.93 in Q1 2016, which is down from a 3.18 average duration in Q4 2015.

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Underlying Portfolio Performance

In Q1 2016, underlying portfolio performance trended up for both 1- and 3- year performance figures.

*Out of the 20 stable value funds which provide underlying portfolio performance, 3 of the stable value funds established 1- and 3-year track records after the inception of the graphs.

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Sector Allocations Sector allocations have remained relatively stable over the quarter, with a slight shift into treasuries and mortgage-backed securities from corporates.

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Credit quality Average credit quality of the underlying investment portfolios remain strong, but have ticked slightly up [most likely attributable to the small shift into treasuries from corporates].

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Product Listing Below is a listing of all funds that have submitted data to our database:

Fund Name Reported AUM 3/31/2016 Fund Name Reported AUM 3/31/2016 BMO Stable Principal Fund $1,584,120,000.00 Morley Financial Services $7,740,181,808.00 BNY Mellon Stable Value Fund $1,093,699,110.36 Nationwide Fixed Account $724,200,000.00 BNY Standish Separate Account Composite $13,403,533,886.71 New York Life Anchor Account $4,290,000,000.00 Columbia Trust Stable Government Fund $1,161,500,000.00 New York Life Guaranteed Interest Account $4,200,000,000.00 Columbia Trust Stable Income Fund $1,073,800,000.00 PIMCO Stable Value $416,749,482.92 Federated Capital Preservation Trust $5,207,633,484.00 Principal Stable Value $4,369,482,709.00 Fiduciary Capital Preservation Fund $78,762,043.00 Prudential Guaranteed Income $19,400,000,000.00 FFTW Income Plus Fund $466,902,412.22 Putnam Stable Value $5,700,638,409.00 Fidelity Advisor Stable Value Class I $1,800,000,000.00 Reliance Trust Stable Value Fund - MetLife Series 25053 $2,255,033,669.05 Fidelity MIP I Stable Value Fund $6,600,000,000.00 Reliance Turst Stable Value Fund- MetLife Series 25157 $1,683,835,392.73 Fidelity MIP II Stable Value Fund $17,800,000,000.00 The Standard Stable Asset Income Fund $12,800,000,000.00 Fiduciary Capital Preservation Fund $78,762,043.00 TIAA Group Retirement Annuity (GRA) $14,094,000,000.00 Galliard Managed Income Fund $2,994,116,899.00 TIAA Group Supplemental Retirement Annuity (GSRA) $17,502,000,000.00 Galliard Separate Account Composite $40,481,826,617.00 TIAA Retirement Annuity (RA) $68,202,000,000.00 Goldman Sachs Stable Value $239,341,486.00 TIAA Retirement Choice Annuity (RC) $1,111,000,000.00 Goldman Sachs Stable Value Separate Account Composite $3,184,077,411.62 TIAA Retirement Choice Plus Annuity (RCP) $653,000,000.00 Great West Key Guaranteed Portfolio Fund $32,300,000,000.00 TIAA Stable Value Annuity $446,000,000.00 ICMA Vantage Trust Plus Fund $11,000,000,000.00 TIAA Supplemental Retirement Annuity (SRA) $7,839,000,000.00 Invesco Stable Value Trust $6,044,000,000.00 T. Rowe Price Stable Value Common Trust $13,575,800,000.00 John Hancock Stable Value Fund $2,319,708,574.00 TFLIC Guaranteed Pooled Fund $5,446,900,000.00 JPMorgan Stable Asset Income Fund $1,777,362,211.00 Transamerica Stable Pooled Fund $29,920,276,265.02 Lincoln Stable Value Account $16,000,000,000.00 Vanguard Retirement Trust $18,653,000,000.00 MassMutual Core SAGIC $1,996,661,460.38 Voya Government Securities $223,008,089.00 MassMutual Core SAGIC II $1,026,826,634.06 Voya Intermediate Aggregate $938,833,495.00 MassMutual Diversified SAGIC I $2,199,135,765.92 Voya Quality Fund $138,818,141.00 MassMutual Diversified SAGIC II $1,154,849,510.92 Private Client Separate Account $302,770,000.00 MetLife Stable Value Wilmington $1,899,279,787.17 Wells Fargo Stable Return $29,920,276,265.00

Total: $447,512,703,062.08

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Glossary of Terms Book Value – For a stable value investment, the value of deposits, plus accumulated interest, minus

withdrawals.

Crediting Rate – The interest rate credited on the book value of a benefit responsive contract, expressed as an “effective annual yield.” As determined by the contract, the crediting rate may remain fixed for the term of the transaction or may be reset at predetermined intervals. Occasionally the term crediting rate is applied to the annualized yield of a stable value fund.

Duration – a metric that measures the sensitivity of the price of a fixed income security to a change in interest rates. Duration is expressed in years. Interest rates and fixed income prices have an inverse relationship, i.e. rising rates means falling prices. Higher duration indicates more sensitivity to interest rates and a larger movement in prices.

Market Value – The amount an investment would be worth if it were sold at a specific time.

Crediting Rate – The interest rate on the book value balance of a stable value product expressed as an annual effective yield.

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Questions to ask your stable value provider What is the fund’s current market-to-book value ratio?

What is the fund’s current crediting rate and how does it compare to the rates paid by other stable value funds, and the yield earned on money market funds?

What is the nature of any significant cash flows in and out of the fund over the last three years?

Which financial institutions are wrapping the fund, or the bonds owned by the fund?

What are the most recent credit ratings and outlooks on these companies from the credit rating agencies?

Do the book value contracts allow the wrapper to terminate the contract at market value if the plan sponsor or investment manager experiences a change of control of over 50% of the ownership of the entity?

If the plan sponsor decides to terminate a plan’s investment in a stable value fund, how much time must pass before the plan can receive its funds at book value? What other termination provisions exist?

What is the provider’s definition of “competing fund” and what are the restrictions placed on participants regarding the use of an “equity wash” provision or other mechanism that may restrict liquidity or a participant’s investment options?

What are the high-level risk characteristics of the underlying fixed income portfolio?

What are the fund’s investment guidelines for the appropriate levels of interest rate risk (duration) and credit risk for the fixed income portfolio?

Who is/are the underlying fixed income portfolio manager(s)?

Does the manager provide communication tools and literature to participants about the stable value fund?

What are the fund’s fees?

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Product type comparison General Account GIC Insurance Company Separate

Account GIC Pooled, Multi-Wrapper Fund (Synthetic GIC)

Who holds legal title to the assets? Insurance company’s general account

Insurance company’s separate account

Pooled fund manager

What type of principal protection is offered?

Absent an insurance company default, principal is guaranteed

Absent an insurance company default, principal is guaranteed

Principal protection is guaranteed against market value fluctuation, but not against security defaults or impairments

Who manages the assets? Insurance Company Insurance Company One or multiple fixed income managers. Can also contain other types of GICs

Who provides the guarantee? Insurance Company Insurance Company Multiple insurance companies (wrap contracts)

What are the risks of not receiving a book value payout?

Plan initiated events, non-compliance with contract terms, or regulatory changes could negate the wrap contract.

Plan initiated events, non-compliance with contract terms, or regulatory changes could negate the wrap contract.

Plan initiated events, non-compliance with contract terms, asset default/impairments, asset management restriction violations, or regulatory changes could negate the wrap contract.

How default/bankruptcy remote are the underlying assets?

Stable value claims are aggregated with all other creditors.

Stable value claims are levied against the separate account created for the benefit of the fund

Book value guarantees may be negated, but the underlying asset pool is held separate for the benefit of the fund’s investors