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Operating Investment Pool

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Monthly Net Cash Flows

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Operating Investment Pool Balance

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General & Reserve Fund Balances

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Fund Name Avg. Daily Bal % of Total

CASH RESERVE FUND 758,479,834 19.6%

STATE GENERAL FUND 708,709,995 18.3%

UNIV CASH FUND 183,258,588 4.7%

UNL REVOLVING 161,326,028 4.2%

ROADS OPER. CASH FUND 141,548,399 3.7%

Fund Name Avg. Daily Bal % of Total

CASH RESERVE FUND 777,548,820 20.7%

STATE GENERAL FUND 568,901,357 15.2%

UNIV CASH FUND 191,873,347 5.1%

UNL REVOLVING 171,394,525 4.6%

UNIVERSITY TRUST-UNMC 123,642,922 3.3%

Total OIP June 2015 June 2016 June 2017 One Yr Difr. Fund Name Avg. Daily Bal % of Total

State Treasurer 1,643,475,800 1,515,903,916 1,106,325,122 -27.02% CASH RESERVE FUND 680,655,108 19.6%

University of Nebraska 782,256,104 809,640,900 851,387,648 5.16% STATE GENERAL FUND 304,203,707 8.8%

Dept of Roads 222,746,670 149,026,695 176,942,077 18.73% UNIV CASH FUND 205,265,373 5.9%

Dept of Environ. Quality 162,700,721 174,326,779 192,492,226 10.42% UNL REVOLVING 179,358,856 5.2%

Dept of Admin Services 159,461,353 159,310,267 159,153,447 -0.10% UNIVERSITY TRUST-UNMC 139,325,557 4.0%

Total Operating Investment Pool 3,869,557,803 3,752,321,680 3,466,585,189 -7.61%

June 2015 June 2016 June 2017

State Treasurer 42.5% 40.40% 31.9%

University of Nebraska 20.2% 21.58% 24.6%

Dept of Roads 5.8% 3.97% 5.1%

Dept of Environ. Quality 4.2% 4.65% 5.6%

Dept of Admin Services 4.1% 4.25% 4.6%

Operating Investment Pool Breakdown (June 2017)

Average Daily Balances

Top Individual Fund Accounts

June 2016

June 2017

June 2015

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

45.0%

State Treasurer University of Nebraska Dept of Roads Dept of Environ. Quality Dept of Admin Services

Percentage Breakdown of OIP (Top 5 Agencies)

June 2015 June 2016 June 2017

Internally Managed Portfolio (K9C9)

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Returns as of 07/31/17

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1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years Inception

S/T Liquidity -0.01 0.12 0.19 -0.01 0.30 0.09 0.04 10/13/2012

Citigroup 1 Month CD 0.01 0.04 0.09 0.01 0.16 0.16 0.16

Excess -0.02 0.08 0.10 -0.02 0.14 -0.07 -0.12

Int. Gov/Corp 0.46 0.75 2.05 0.46 -0.35 2.24 1.63 10/13/2012

BofA Custom 0.45 0.73 2.03 0.45 -0.22 2.20 1.70

Excess 0.01 0.02 0.02 0.01 -0.13 0.04 -0.07

Total OIP 0.42 0.69 1.89 0.42 -0.21 2.01 1.46

Custom Index 0.38 0.63 1.74 0.38 -0.16 1.90 1.47

Excess 0.04 0.06 0.15 0.04 -0.05 0.11 -0.01

Intermediate Gov/Corp Portfolio

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Portfolio Characteristics

YTM Coupon Quality Avg Effective YTW

Life Duration

Int. Gov/Corp 1.999 2.212 Aa2 3.99 3.567 1.989

ML/BoA Blend 2.495 Aa2 4.263 3.931 1.962

DIFFERENCE 1.999 -0.283 -0.273 -0.364 0.027

# of issuers 106

Watchlist (K9C9)

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Cusip Issuer Coupon Maturity S&P Moody's Fitch Issuer Market Value % of Market

018490AQ5 ALLERGAN INC 2.8 3/15/2023 BBB Baa3 BBB- EMC 19,830,100.00$ 0.63%

018490AP7 ALLERGAN INC 1.35 3/15/2018 BBB Baa3 BBB- C 4,362,720.00$ 0.14%

172967FF3 CITIGROUP INC 5.375 8/9/2020 BBB+ Baa1 A AGN 1,995,880.00$ 0.06%

268648AP7 EMC CORP 1.875 6/1/2018 BB- Ba2 BB MCD 1,492,968.91$ 0.05%

268648AQ5 EMC CORP 2.65 6/1/2020 BB- Ba2 BB HAL 1,220,668.50$ 0.04%

406216AZ4 HALLIBURTON CO 3.25 11/15/2021 BBB+ Baa1 WD COL 1,128,171.00$ 0.04%

58013MEG5 MCDONALD'S CORP 5 2/1/2019 BBB+ Baa1 BBBu

774341AC5 ROCKWELL COLLINS INC 3.1 11/15/2021 BBB Baa2 BBB

Ratings Watchlist

By Individual Security By issuer

• % Rated Below A-/A3 by two or more NRSRO's - 0.96% (Max 5% per guidelines)

Time Deposit Open Account Program (TDOA)

• The TDOA (Time Deposit Open Account) program was established in 1978 by the Nebraska Capital Expansion Act to provide a source of capital for local lending institutions. (72-1261)

• The Nebraska Capital Expansion Act states that each Nebraska bank is allowed a deposit of one million dollars. If there are banks that choose to not participate the remaining funds are reoffered to the participating banks. Total deposits at any bank will not exceed $16 million. (LB 94 just increased from a maximum deposit of $6 million this past spring)

• Funding for the TDOA program comes out of the State’s Operating Investment Pool. Currently the TDOA program is $43 million.

• Banks are required to pledge collateral to the State for any deposit over the amount of the FDIC guarantee, currently $250,000.

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Time Deposit Open Account Program (TDOA)

• The Nebraska Investment Council has adopted rules and regulations to establish procedures for the distribution of funds to banks. (72-1266)

• Banks may enter/exit the program once a month; the interest rate charged for the deposit is reset every month on the first business day of the month.

• Current number of banks eligible for deposits: 188 Total program size = $188 million

• The formula for calculating the TDOA interest rate is outlined in the rules and regulations. (72-1265)

- Average of three published factors: (1) average yields of 1-year T bill or bonds, (2) average yields of 1-year federal agency paper, and (3) one-year bank CD rate.

- Current TDOA rate for August: 1.43 percent; average yield on the OIP: 2.08 percent.

• Nebraska Investment Council has been approached by the Nebraska Bankers Association regarding the TDOA Interest Rate.

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Presentation Notes

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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 almost 100% 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 lowest level of the range over the last 6 years. The Reserve Fund has dropped from a high of $800 million to $574 million over the last 3 years. Slide #5 (Breakdown of Operating Investment Pool) This slide shows the agency breakdown of the Operating Investment Pool by average daily balance. Slide #6 (Internally Managed Portfolio – K9C9) This slide shows the asset class breakdown in K9C9. Single A Corporates have increased to 28.9% with the new policy maximum of 30%. Slide #7 (Returns as of 07/31/17) This slide shows the returns of the OIP as of 07/31/17.

Presentation Notes

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Slide #8 (Intermediate Gov/Corp Portfolio) This slide shows the characteristics of the K9C9 portfolio. Items like effective duration, average life, and average credit quality are listed along as well as the index’s characteristics for comparison. Slide #9 (Watchlist – K9C9) This table shows the ratings watchlist as defined in the investment policy statement. Slide #10 (Time Deposit Open Account Program - TDOA) This slide goes over the Time Deposit Open Account Program. Slide #11 (Time Deposit Open Account Program - TDOA) This slide goes over the Time Deposit Open Account Program.

Biographies

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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.