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Presentation to the
City of Los Angeles
Investment Advisory Committee
December 31, 2011
Economic Update-Overall Economy
* Real Rate (Inflataion Adjusted)
Data Source: Bloomberg
1December 31, 2011
Estimate: Bloomberg's Survey of Economists
As of: 1/11/12
-10
-8
-6
-4
-2
0
2
4
6
Q1
20
05
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
Per
cen
t
U.S. GDP (Quarter over Quarter Annualized)*
Economic Update-Employment
Data Source: Bloomberg
2December 31, 2011
12 Month Average Monthly Job Change: 136,667
-1,000
-800
-600
-400
-200
0
200
400
600
Ju
n-0
7
Sep
-07
Dec
-07
Mar-
08
Ju
n-0
8
Sep
-08
Dec
-08
Mar-
09
Ju
n-0
9
Sep
-09
Dec
-09
Mar-
10
Ju
n-1
0
Sep
-10
Dec
-10
Mar-
11
Ju
n-1
1
Sep
-11
Dec
-11
Th
ou
san
ds
Non-Farm Payrolls
0
2
4
6
8
10
12
14
Ju
n-0
7
Sep
-07
Dec
-07
Mar-
08
Ju
n-0
8
Sep
-08
Dec
-08
Mar-
09
Ju
n-0
9
Sep
-09
Dec
-09
Mar-
10
Ju
n-1
0
Sep
-10
Dec
-10
Mar-
11
Ju
n-1
1
Sep
-11
Per
cen
t
Unemployment Rates
California
U.S.A
Economic Update-Consumer Activity
Data Source: Bloomberg
3December 31, 2011
-15
-10
-5
0
5
10
15
Ju
n-0
7
Sep
-07
Dec
-07
Mar-
08
Ju
n-0
8
Sep
-08
Dec
-08
Mar-
09
Ju
n-0
9
Sep
-09
Dec
-09
Mar-
10
Ju
n-1
0
Sep
-10
Dec
-10
Mar-
11
Ju
n-1
1
Sep
-11
Dec
-11
Per
cen
t
Retail Sales YOY % Change
$330
$340
$350
$360
$370
$380
$390
$400
$410
Ju
n-0
7
Sep
-07
Dec
-07
Mar-
08
Ju
n-0
8
Sep
-08
Dec
-08
Mar-
09
Ju
n-0
9
Sep
-09
Dec
-09
Mar-
10
Ju
n-1
0
Sep
-10
Dec
-10
Mar-
11
Ju
n-1
1
Sep
-11
Dec
-11
Bil
lio
ns
Total Monthly Retail Sales
Economic Update-Inflation
2.1
*CPIX: Consumer Price Index, excluding food and energy
Data Source: Bloomberg
4December 31, 2011
-3
-2
-1
0
1
2
3
4
5
6
Ju
n-0
7
Sep
-07
Dec
-07
Mar-
08
Ju
n-0
8
Sep
-08
Dec
-08
Mar-
09
Ju
n-0
9
Sep
-09
Dec
-09
Mar-
10
Ju
n-1
0
Sep
-10
Dec
-10
Mar-
11
Ju
n-1
1
Sep
-11
Dec
-11
Per
cen
t
CPI and CPIX* YOY % Change
CPI
CPIX
-4 -2 0 2 4 6 8
Communication
Shelter
Services
Wages
CPI
Apparel
Education
Food
Energy
Percent
Sector YOY % Price Changes
Economic Update-Dollar and Commodities
Data Source: Bloomberg
5December 31, 2011
70
75
80
85
90
95
100
105
Ju
n-0
3
Dec
-03
Ju
n-0
4
Dec
-04
Ju
n-0
5
Dec
-05
Ju
n-0
6
Dec
-06
Ju
n-0
7
Dec
-07
Ju
n-0
8
Dec
-08
Ju
n-0
9
Dec
-09
Ju
n-1
0
Dec
-10
Ju
n-1
1
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
Ju
n-0
3
Dec
-03
Ju
n-0
4
Dec
-04
Ju
n-0
5
Dec
-05
Ju
n-0
6
Dec
-06
Ju
n-0
7
Dec
-07
Ju
n-0
8
Dec
-08
Ju
n-0
9
Dec
-09
Ju
n-1
0
Dec
-10
Ju
n-1
1
Oil
-Per
Ba
rrel
Go
ld-P
er O
un
ce
Gold and Oil
Gold
Oil
Economic Update-Sector Returns YTD 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*
Data Source: Bloomberg
6December 31, 2011
12/31/11
-30
-20
-10
0
10
20
30
40
Per
cen
t
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*
Data Source: Bloomberg
7
12/31/11
December 31, 2011
-20
-15
-10
-5
0
5
10
15
20
25
Financial Materials Industrial Technology Energy Consumer
Discretionary
Health Care Consumer Staples Utilities
Per
cen
t
YTD Sector Returns
Economic Update-Yield Curve
Maturity 6/30/10 12/30/11 Change
Data Source: Bloomberg
8
30Y 3.89 2.90 -0.99
5Y 1.78 0.83 -0.94
10Y 2.93 1.88 -1.06
-0.36
3Y 1.78 0.83 -0.94
December 31, 2011
3M 0.18 0.01 -0.16
6M 0.22 0.06 -0.16
1Y 0.31 0.10 -0.21
2Y 0.61 0.24
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
3M 6M 1Y 2Y 5Y 10Y 30Y
Per
cen
t
U.S. Treasury Yield Curve
6/30/10
12/30/11
Economic Update-Interest Rates
Data Source: Bloomberg
9December 31, 2011
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
Jan
-09
Mar-
09
May
-09
Ju
l-0
9
Sep
-09
No
v-0
9
Jan
-10
Mar-
10
May
-10
Ju
l-1
0
Sep
-10
No
v-1
0
Jan
-11
Mar-
11
May
-11
Ju
l-1
1
Sep
-11
No
v-1
1
Jan
-12
Per
cen
t
U.S. Treasury Yields: 3M and 1Y
1Y
3M
0.0
0.5
1.0
1.5
2.0
2.5
3.0
Jan
-09
Mar-
09
May
-09
Ju
l-0
9
Sep
-09
No
v-0
9
Jan
-10
Mar-
10
May
-10
Ju
l-1
0
Sep
-10
No
v-1
0
Jan
-11
Mar-
11
May
-11
Ju
l-1
1
Sep
-11
No
v-1
1
Jan
-12
Per
cen
t
U.S. Treasury Yields: 2Y and 5Y
5Y
2Y
Economic Update-Agency and Corporate Spreads
*BofA/Merrill Indexes (option adjusted spread) *BofA/Merrill Indexes (option adjusted spread)
Agency (GVP0), Treasury (GVQ0) Corporate A-AAA (CV10), Treasury (GVQ0)
Data Source: Bloomberg
10December 31, 2011
0
20
40
60
80
100
120
140
160
180
200
May
-05
Sep
-05
Jan
-06
May
-06
Sep
-06
Jan
-07
May
-07
Sep
-07
Jan
-08
May
-08
Sep
-08
Jan
-09
May
-09
Sep
-09
Jan
-10
May
-10
Sep
-10
Jan
-11
May
-11
Sep
-11
Ba
sis
Po
int
Sp
rea
d
Spread*: 1-5 Yr Agency vs Treasury
0
100
200
300
400
500
600
700
May
-05
Sep
-05
Jan
-06
May
-06
Sep
-06
Jan
-07
May
-07
Sep
-07
Jan
-08
May
-08
Sep
-08
Jan
-09
May
-09
Sep
-09
Jan
-10
May
-10
Sep
-10
Jan
-11
May
-11
Sep
-11
Ba
sis
Po
int
Sp
rea
d
Spread*: 1-5 Yr Corporate vs Treasury
Summary Portfolio Characteristics
*Core Benchmark: 3 Month T-Bill (G0O1)
#Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BV10)
**Duration after rebalancing for the indexes--Portfolios based upon trade date holdings
##Weighted Purchase Yield and Market Yield for Core does not include the checking accounts
11
Los Angeles Core
Core
Benchmark *
Los Angeles
Reserve
Reserve
Benchmark #
0.15 0.22 2.62 2.64
2.78 2.76
--
Total Portfolio
Weighted Purchase Yield##
Market Value
$6,990,779,072
$4,851,439 -- $199,333,108 -- $204,184,547
1.47%
21% -- 79%
2.09
Par Value
Variance
2.22
0.52% 0.02% 0.65% 0.88% 0.62%
0.94% -- 1.61% --
$7,194,963,619
$1,528,327,072 -- $5,462,452,000 --
$1,533,178,511 -- $5,661,785,108 --
Mkt Value % of Total
Average Maturity (Yrs)
Effective Duration**
100%
0.17 0.15
December 31, 2011
Weighted Market Yield##
Total Portfolio Maturity Distribution
12
26.3% 15.1% 17.4% 0.0%
-2.6% -1.2% -0.9% 0.0%
16.8%
1.0 to 2.0
1.3% 1.5% 27.8%
2.0 to 3.0 3.0 to 4.0 4.0 to 5.0 5.0+
23.6% 13.9% 16.5% 0.0%
-3.1%
.25 to .5
December 31, 2011
12/31/11
11/30/11
Variance
0-.25 .5 to 1.0
6.1% 1.4% 0.3%
2.7% 1.8% 24.6%
10.7%
Years
0%
5%
10%
15%
20%
25%
30%
0-.25 .25 to .5 .5 to 1.0 1.0 to 2.0 2.0 to 3.0 3.0 to 4.0 4.0 to 5.0 5.0+
12/31/11
11/30/11
Sector Allocations - Total Portfolio
13
Sector 12/31/2011 11/30/2011 Variance
0.0%
2.3%
0.1% 0.0%
6.2% 2.4%
18.0% -1.0%
1.6%
0.0%
4.0%
0.1%
Corporate Notes
MMFs
100.0%
0.0% 0.0%
20.4% 0.6%
53.7% -4.3%49.4%
December 31, 2011
Negotiable CDs
December 31, 2011
8.6%
17.0%
0.0%
100.0%
Federal Agencies
Treasuries
Total
0.0%
21.0%
Bank Deposits
CDARS
Commercial Paper
Bank 4.0% CDARS
0.1%
CP 8.6%
CORP
17.0%
Agy 21.0%
Tsy 49.4%
Sector Allocations - Core Portfolio
14December 31, 2011
Negotiable CDs 0.0%
Treasuries 0.0%
Federal Agencies 27.2% 21.0% 6.2%
Commercial Paper 40.4%
Core Portfolio
Total 100.0% 100.0%
Corporate Notes 13.5% 20.1% -6.6%
MMFs 0.0% 0.0% 0.0%
CDARS 0.4%
46.3%
0.0% 0.0%
December 31, 2011
-5.9%
Sector 12/31/2011 11/30/2011 Variance
Bank Deposits 18.6% 12.0% 6.6%
0.7% -0.3%
0.0% 0.0%
Bank Dep
18.6%
CDARS
0.4%
CP 40.4%
Corp
13.5%
Agy 27.2%
Tsy 0.0%
Sector Allocations - Reserve Portfolio
15
Sector 12/31/2011 10/31/2011 Variance
December 31, 2011
17.6% 0.3%
MMFs 0.0% 0.0% 0.0%
Total 100.0% 100.0%
Negotiable CDs 0.0% 0.0% 0.0%
Federal Agencies 19.3% 20.3% -1.0%
Treasuries 62.8% 62.0% 0.8%
Reserve Portfolio
December 31, 2011
Corporate Notes 17.9%
CDARS 0.0% 0.0% 0.0%
Commercial Paper 0.0% 0.0% 0.0%
Bank Deposits 0.0% 0.0% 0.0%
Corp
17.9%
Agy 19.3% Tsy 62.8%
Total Portfolio - % of Total Portfolio: Core vs Reserve
16December 31, 2011
% of Total Portfolio: Core vs Reserve
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Ju
l-0
6
Sep
-06
No
v-0
6
Jan
-07
Mar-
07
May
-07
Ju
l-0
7
Sep
-07
No
v-0
7
Jan
-08
Mar-
08
May
-08
Ju
l-0
8
Sep
-08
No
v-0
8
Jan
-09
Mar-
09
May
-09
Ju
l-0
9
Sep
-09
No
v-0
9
Jan
-10
Mar-
10
May
-10
Ju
l-1
0
Sep
-10
No
v-1
0
Jan
-11
Mar-
11
May
-11
Ju
l-1
1
Sep
-11
No
v-1
1
Jan
-12
Mar-
12
May
-12
Reserve
Core
Core: Market Value vs Cost Value
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Market $1,740.5 $1,635.5 $1,818.1 $1,882.7 $1,524.3 $1,038.3 $706.2 $745.3 $663.1 $848.6 $781.8 $1,139.8
Book $1,739.7 $1,634.3 $1,815.9 $1,880.6 $1,521.1 $1,035.6 $702.9 $742.6 $659.5 $844.6 $778.5 $1,137.2
Variance $0.8 $1.3 $2.1 $2.1 $3.2 $2.6 $3.3 $2.6 $3.6 $4.0 $3.3 $2.6
Data Source: Bank of New York Mellon - Excludes checking accounts and accrued interest, trade date based values at month end.
17
Market Value vs Cost Value
December 31, 2011
Value in Millions
$0.0
$0.5
$1.0
$1.5
$2.0
$2.5
$3.0
$3.5
$4.0
$4.5
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Mil
lio
ns
Reserve: Market Value vs Cost Value
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Market $4,679.3 $4,571.9 $4,463.5 $4,677.7 $5,169.0 $5,276.0 $5,635.7 $5,630.0 $5,630.5 $5,611.3 $5,697.1 $5,661.8
Book $4,596.7 $4,506.3 $4,412.4 $4,599.8 $5,069.2 $5,183.4 $5,512.9 $5,485.6 $5,500.1 $5,475.9 $5,566.8 $5,527.1
Variance $82.6 $65.6 $51.2 $77.8 $99.8 $92.6 $122.8 $144.3 $130.4 $135.3 $130.3 $134.7
Data Source: Bank of New York Mellon - Excludes accrued interest, trade date based values at month end.
18
Market Value vs Cost Value
Value in Millions
December 31, 2011
$0
$20
$40
$60
$80
$100
$120
$140
$160
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Mil
lio
ns
Portfolio Compliance with Code, Policy, and Guidelines
19
Mortgage Backed Securities/CMOs
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
December 31, 2011
Banker's Acceptances
Complies
Complies-none in portfolio
Complies-none in portfolio
Complies
Complies
Complies
Complies-none in portfolio
Complies-none in portfolio
Complies-none in portfolio180 Days
Reverse Repo/Securities Lending
Corporate Notes
5 Years
5 Years
Portfolio Compliance with Code, Policy, and Guidelines
Compliance
20
CompliesCorporate Notes
Percentage Allocation Limitations
Complies-none in portfolio
20% Combined with ABS
20% Combined with MBS
Complies-none in portfolio
Complies-none in portfolio
15%
Limit
100%
40%
180 Days
1 Year
20%
$50 Million Per Account
30%
10%
5% Reverse Repo/20% Revs.
Repo +Sec Lending
30%
Complies-none in portfolio
Complies-none in portfolio
Complies-none in portfolio
Sector
Government Securities
Commercial Paper
Negotiable Certificates of Deposit
CRA Certificates of Deposit
Repurchase Agreements
Reverse Repo/Securities Lending
Complies
Complies
Complies
Complies-none in portfolio
Complies
Complies
December 31, 2011
Mortgage Backed Securities/CMOs
Asset Backed Securities
Banker's Acceptances
State/Local Agency Securities
Mutual Funds/Money Market Funds
LAIF State Pool
Portfolio Compliance with Code, Policy, and Guidelines
21
Complies
Issuer and Transaction Limitations -- Approved Issuers
Item Limit
Federal Agency Issuer 30% Complies
December 31, 2011
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 Approval
Portfolio Compliance with Code, Policy, and Guidelines
* The Core portfolio's duration does not include checking accounts.
22
Maturity Limitation One Year Complies
Portfolio Maturity Limitations and Duration Ranges
Item Limit Compliance
December 31, 2011
Core Portfolio
Reserve Portfolio
Effective Duration 1-5 Govt/Corp Index +/- .10 Complies: 2.62 vs 2.64
Effective Duration* Less than/Equal to .50 Complies: .21
Item Limit Compliance
Portfolio Statistics-Yield and Duration
*Benchmark: 3 Month T-Bill (3 Month Moving Average) *Benchmark: 1-5 Year Govt/Corp A-AAA (12 Month Moving Average)
Duration at month-end, after index rebalancing for the next month Duration at month-end, after index rebalancing for the next month
23December 31, 2011
0%
1%
2%
3%
4%
5%
6%
Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11
Per
cen
t
Purchase Yield: Core vs Benchmark*
Core
Benchmark
2.2
2.3
2.4
2.5
2.6
2.7
2.8
Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11
Du
rati
on
Reserve Duration Reserve
Benchmark
0%
1%
2%
3%
4%
5%
6%
Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11
Per
cen
t
Purchase Yield: Reserve vs Benchmark*
Reserve
Benchmark
0.05
0.10
0.15
0.20
0.25
0.30
0.35
Jul-06 Jul-07 Jul-08 Jul-09 Jul-10 Jul-11
Du
rati
on
Core Duration Core
Benchmark
Portfolio Statistics-Sector Allocation History
Sector Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Tsy 48.0% 46.9% 42.2% 48.0% 49.2% 48.5% 52.6% 52.7% 53.8% 52.7% 53.7% 49.4%
Agy 30.7% 30.4% 35.4% 25.7% 21.2% 21.6% 21.8% 21.3% 19.2% 19.5% 20.4% 21.0%
Corp 13.3% 13.4% 14.1% 14.3% 16.2% 16.9% 18.7% 18.1% 19.6% 18.1% 18.0% 17.0%
CP 6.6% 6.8% 6.1% 10.5% 11.8% 8.1% 5.1% 5.2% 5.9% 8.4% 6.2% 8.6%
MBS 0.2% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
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%
Cash 1.1% 2.2% 1.9% 1.4% 1.5% 4.8% 1.7% 2.6% 1.4% 1.2% 1.6% 4.0%
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%
24December 31, 2011
0%
10%
20%
30%
40%
50%
60%
Jul-
06
Sep
-06
No
v-0
6
Jan
-07
Mar
-07
May
-07
Jul-
07
Sep
-07
No
v-0
7
Jan
-08
Mar
-08
May
-08
Jul-
08
Sep
-08
No
v-0
8
Jan
-09
Mar
-09
May
-09
Jul-
09
Sep
-09
No
v-0
9
Jan
-10
Mar
-10
May
-10
Jul-
10
Sep
-10
No
v-1
0
Jan
-11
Mar
-11
May
-11
Jul-
11
Sep
-11
No
v-1
1
Jan
-12
Tsy
Agy
Corp
Cash/ON/Sweep
CDARS
CP
MBS
Portfolio Statistics-Monthly Total Return
Core Benchmark Variance Reserve Benchmark Variance
0.02% 0.00% 0.02% 0.22% 0.25% -0.03%
*Core Benchmark: 3 Month T-Bill (G0O1) *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BV10)
Sector Core Benchmark Variance Sector Reserve Benchmark Variance
Treasury 0.00% 0.00% 0.00% Treasury 0.17% 0.17% 0.00%
Agency 0.01% 0.00% 0.01% Agency 0.17% 0.18% -0.01%
Corporate 0.01% 0.00% 0.01% Corporate 0.43% 0.59% -0.16%
Benchmark Sector Returns are using the following 1-5 year Merrill Indexes:
GVQ0: Treasury, G1P0 Agency, CV10 Corporates (A-AAA)
25December 31, 2011
Monthly Performance Monthly Performance
Attribution of Sector Returns Attribution of 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%
0.02%
0.04%
0.06%
0.08%
0.10%
Core Benchmark
Per
cen
t V
ari
an
ce
Core vs Benchmark
Portfolio Statistics-Monthly & FYTD Total Return
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Core 0.01% -0.01% -0.01% 0.05% 0.01% 0.02%
Benchmark -0.01% 0.02% 0.00% 0.00% 0.00% 0.00%
Variance 0.02% -0.03% -0.01% 0.05% 0.01% 0.02%
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Core 0.01% 0.00% -0.01% 0.04% 0.05% 0.07%
Benchmark -0.01% 0.01% 0.01% 0.01% 0.01% 0.01%
Variance 0.02% -0.01% -0.02% 0.03% 0.04% 0.06%
26December 31, 2011
Monthly Performance
Fiscal YTD Performance
Core vs 3 Month T-Bill Index
-0.04%
-0.03%
-0.02%
-0.01%
0.00%
0.01%
0.02%
0.03%
0.04%
0.05%
0.06%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Per
cen
t V
ari
an
ce
Monthly Performance Variance
-0.03%
-0.02%
-0.01%
0.00%
0.01%
0.02%
0.03%
0.04%
0.05%
0.06%
0.07%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Per
cen
t V
ari
an
ce
FYTD Performance Variance
Portfolio Statistics-Monthly & FYTD Total Return
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Reserve 0.75% 0.61% -0.16% 0.20% 0.04% 0.22%
Benchmark 0.73% 0.51% -0.29% 0.27% -0.13% 0.25%
Variance 0.02% 0.10% 0.13% -0.07% 0.17% -0.03%
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Reserve 0.75% 1.36% 1.20% 1.40% 1.45% 1.67%
Benchmark 0.73% 1.25% 0.96% 1.23% 1.10% 1.35%
Variance 0.02% 0.11% 0.24% 0.17% 0.35% 0.32%
27
Monthly Performance
Fiscal YTD Performance
December 31, 2011
Reserve vs 1-5 Year Government/Corporate Index
-0.10%
-0.05%
0.00%
0.05%
0.10%
0.15%
0.20%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Per
cen
t V
ari
an
ce
Monthly Performance Variance
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
0.35%
0.40%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Per
cen
t V
ari
an
ce
FYTD Performance Variance
Portfolio Statistics-Historical Total Return
FY 08 FY 09 FY 10 FY 11 FYTD 12 FY 08 FY 09 FY 10 FY 11 FYTD 12
4.31% 2.18% 0.22% 0.22% 0.07% 7.92% 5.93% 5.31% 2.56% 1.67%
3.64% 0.96% 0.16% 0.19% 0.01% 7.37% 4.90% 5.04% 2.67% 1.35%
0.67% 1.22% 0.06% 0.03% 0.06% 0.55% 1.03% 0.27% -0.11% 0.32%
*Core Benchmark: 3 Month T-Bill (G0O1) *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BV10)
28December 31, 2011
Core Portfolio
Benchmark*
Variance
Reserve Portfolio
Benchmark*
Variance
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
1.4%
FY 08 FY 09 FY 10 FY 11 FYTD 12
Per
cen
t V
ari
an
ce
Performance Variance: Core vs 3 Mon T-bill
-0.2%
0.0%
0.2%
0.4%
0.6%
0.8%
1.0%
1.2%
FY 08 FY 09 FY 10 FY 11 FYTD 12
Per
cen
t V
ari
an
ce
Performance Variance: Reserve vs 1-5Yr
Govt/Corp
Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA)
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Interest 21.6 20.5 21.5 21.1 21.3 20.9 21.1 20.8 20.1 20.4 19.8 20.1
Price 13.4 -32.4 -22.3 57.7 47.0 -22.4 52.1 30.0 -48.8 6.2 -32.8 4.8
Total 35.0 -11.9 -0.8 78.8 68.3 -1.5 73.2 50.8 -28.7 26.6 -13.0 24.9
29
Component Total Return
December 31, 2011
-60
-40
-20
0
20
40
60
80
100
Ba
sis
Po
ints
Monthly Price Return vs Interest Return
Price Return
Interest Return
-40
-20
0
20
40
60
80
100
Ba
sis
Po
ints
Monthly Total Return
Index Performance: BofA/Merrill 1-5 Yr Treasury
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Interest 17.7 15.9 17.6 17.0 17.4 16.9 17.3 17.1 16.2 16.5 16.6 16.6
Price 14.5 -39.1 -24.2 55.8 54.5 -13.1 58.3 60.0 -30.4 -5.8 -1.6 0.3
Total 32.2 -23.2 -6.6 72.8 71.9 3.8 75.6 77.1 -14.2 10.7 15.0 16.9
30
Component Total Return
December 31, 2011
-60
-40
-20
0
20
40
60
80
100
Ba
sis
Po
ints
Monthly Price Return vs Interest Return
Price Return
Interest Return
-40
-20
0
20
40
60
80
100
Ba
sis
Po
ints
Monthly Total Return
Index Performance: BofA/Merrill 1-5 Yr Agency
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Interest 19.3 19.1 18.9 18.9 19.3 19.3 19.0 18.8 18.8 18.4 18.3 17.8
Price -0.4 -29.6 -14.2 41.5 31.7 -18.4 22.1 34.8 -27.9 -10.1 -13.7 0.3
Total 18.9 -10.5 4.7 60.4 51.0 0.9 41.1 53.6 -9.1 8.3 4.6 18.1
31
Component Total Return
December 31, 2011
-40
-30
-20
-10
0
10
20
30
40
50
60
70
Ba
sis
Po
ints
Monthly Price Return vs Interest Return
Price Return
Interest Return
-20
-10
0
10
20
30
40
50
60
70
Ba
sis
Po
ints
Monthly Total Return
Index Performance: BofA/Merrill 1-5 Yr Corporate (A-AAA)
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Interest 36.1 35.4 35.2 35.0 34.5 33.9 33.8 33.4 33.4 33.5 33.0 33.2
Price 25.1 -16.9 -28.1 71.9 33.3 -54.0 52.2 -79.6 -123.4 72.9 -134.7 25.3
Total 61.2 18.5 7.1 106.9 67.8 -20.1 86.0 -46.2 -90.0 106.4 -101.7 58.5
32
Component Total Return
December 31, 2011
-150
-100
-50
0
50
100
150
Ba
sis
Po
ints
Monthly Price Return vs Interest Return
Price Return
Interest Return
-150
-100
-50
0
50
100
150
Ba
sis
Po
ints
Monthly Total Return
Index Performance: BofA/Merrill 1-5 Yr Component Returns
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Treasury 17.7 15.9 17.6 17.0 17.4 16.9 17.3 17.1 16.2 16.5 15.9 16.6
Agency 19.3 19.1 18.9 18.9 19.3 19.3 19.0 18.8 18.8 18.4 18.3 17.8
Corporate 36.1 35.4 35.2 35.0 34.5 33.9 33.8 33.4 33.4 33.5 33.0 33.2
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Treasury 14.5 -39.1 -24.2 55.8 54.5 -13.1 58.3 60.0 -30.4 -5.8 -1.6 0.3
Agency -0.4 -29.6 -14.2 41.5 31.7 -18.4 22.1 34.8 -27.9 -10.1 -13.7 0.3
Corporate 25.1 -16.9 -28.1 71.9 33.3 -54.0 52.2 -79.6 -123.4 72.9 -134.7 25.3
33December 31, 2011
Interest Returns
Price Returns
10
15
20
25
30
35
40
45
Ba
sis
Po
ints
Sector Interest Returns Tsy
Agy
Corp
-150
-100
-50
0
50
100
Ba
sis
Po
ints
Sector Price Returns Tsy
Agy
Corp
Index Performance: BofA/Merrill 1-5 Yr Total Returns
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Govt/Corp 35.0 -11.9 -0.8 78.8 68.3 -1.5 73.2 50.8 -28.7 26.6 -13.0 24.9
Treasury 32.2 -23.2 -6.6 72.8 71.9 3.8 75.6 77.1 -14.2 10.7 14.3 16.9
Agency 18.9 -10.5 4.7 60.4 51.0 0.9 41.1 53.6 -9.1 8.3 4.6 18.1
Corporate 61.2 18.5 7.1 106.9 67.8 -20.1 86.0 -46.2 -90.0 106.4 -101.7 58.5
34December 31, 2011
Sector Total Returns
-150
-100
-50
0
50
100
150
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Ba
sis
Po
ints
Sector Total Returns Tsy
Agy
Corp
Govt/Corp
Portfolio Transactions-Core Portfolio
Action
Buy
Transfer
Buy
Buy
Buy
Buy
Buy
Transfer
Buy
Buy
Transfer
Call
Transfer
Buy
Buy
Buy
Buy
Buy
Buy
Buy
Buy
Buy
Buy
Buy
Transfer
Buy
Buy
Buy
Buy
Buy
Buy
35
12/19/11 PACCAR Note
1/3/12
12/15/12
3/14/12
Par Amount
General Electric Commercial Paper 1/25/12 100,000,000
11,625,000
General Electric Commercial Paper 12/29/11 30,000,000
Exxon Mobil Commercial Paper
3/7/12
100,000,000
9,000,000
Maturity Date
12/27/11
BNP Paribas Commercial Paper
BNP Paribas Commercial Paper
Caterpiller Note
12/16/11 Untied Technologies Note
12/5/11
12/7/11
12/15/11 Southern Company Note
12/15/11 General Electric Commercial Paper
12/6/11 HSBC Commercial Paper
12/7/11
12/14/11
12/7/11
Trade Date Issuer Type
12/1/1212/1/01 Nucor Note
12/5/11 HSBC Commercial Paper
12/2/11 General Electric Commercial Paper 12/12/11
12/14/11
December 31, 2011
Commercial Paper
Discount Note
12/20/11 FHLB Discount Note
12/20/11 FHLB
12/20/11 Siemens Commercial Paper
12/20/11
12/20/11 Siemens
12/20/11 General Electric
12/21/11 FHLB Discount Note
12/21/11 FHLB Discount Note
12/22/11 Toyota
22,000,000
24,662,00012/13/11
50,000,000
4,000,000
20,000,000
40,000,000
11,000,000
16,000,000
28,000,000
10,000,000
65,000,000
100,000,000
(8,105,000)
12/30/11
12/17/12
5/15/12
1/11/12
12/7/12
12/30/11
1/3/12
3/21/12 12,000,000
Commercial Paper 1/25/12 50,000,000
12/20/11 HSBC Commercial Paper 1/3/12 65,000,000
2/22/12 50,000,000
12/21/11 Farmer Mac Discount Note 3/16/12 38,000,000
12/21/11 FHLMC Note 12/21/12 15,000,000
12/21/11 Siemens Commercial Paper 12/30/11 70,000,000
Commercial Paper 3/23/12 56,000,000
12/22/11 Toyota Commercial Paper 3/23/12 20,000,000
12/23/11 JP Morgan Commercial Paper 12/30/11 40,000,000
12/23/11 ING Commercial Paper 1/13/12 45,005,000
12/27/11 UBS Commercial Paper 12/28/11 70,000,000
12/27/11 BNP Paribas Commercial Paper 1/3/12 25,000,000
Portfolio Transactions-Core Portfolio (continued)
Action
Buy
Buy
Buy
Buy
Buy
Buy
Buy
Buy
Buy
Buy
Buy
Buy
Buy
36
12/27/11 Rockwell Commercial Paper 12/28/11 25,000,000
Trade Date Issuer Type Maturity Date Par Amount
12/29/11 General Electric Commercial Paper 2/8/12 26,500,000
12/28/11 US Treasury T-Bill 12/29/11 105,000,000
12/29/11 UBS Commercial Paper 12/30/11 69,000,000
12/29/11 BNP Paribas Commercial Paper 1/5/12 7,500,000
12/30/11 BNP Paribas Commercial Paper 1/11/12 16,000,000
12/30/11 Procter & Gamble Commercial Paper 4/7/12 50,000,000
12/30/11 Farmer Mac Discount Note 4/3/12 15,000,000
12/30/11 FHLB Discount Note 4/18/12 58,660,000
12/30/11 FHLB Discount Note 3/23/12 22,070,000
12/30/11 Farmer Mac Discount Note 1/25/12 13,000,000
14,035,000
12/30/11 FHLB Discount Note 3/23/12 22,870,000
December 31, 2011
12/30/11 FHLB Discount Note 3/21/12
Portfolio Transactions-Reserve Portfolio
Action
Transfer
Transfer
Buy
Buy
Transfer
Call
Transfer
Transfer
Buy
Sell
37
Note
Note 1/15/13 (40,000,000)
Note 12/15/12 (10,000,000)
40,000,000
(11,625,000)
(11,000,000)
12/21/12
6/30/16
Note 12/15/14 5,000,000
Note 11/2/16 25,000,000
Note 12/17/13
Trade Date Issuer Type Maturity Date Par Amount
December 31, 2011
12/19/11
12/21/11
12/30/11
FHLMC
US Treasury
12/30/11 US Treasury
Note 12/1/12
12/7/11 Caterpiller Note 12/7/12
Nucor12/1/11
12/12/11 Caterpiller
12/14/11 FHLMC
12/15/11 Southern Company
12/19/11 FHLMC
PACCAR
Note (15,000,000)
(75,000,000)
Note 12/17/12 (4,000,000)
General Portfolio Transactions
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Buys 20 22 22 18 16 30 18 43
Sales 0 0 0 0 0 1 0 1
Total 20 22 22 18 16 31 18 44
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Buys 22 8 14 7 8 3 7 3
Sales 10 5 10 8 7 10 2 7
Total 32 13 24 15 15 13 9 10
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Buys 42 30 36 25 24 33 25 46
Sales 10 5 10 8 7 11 2 8
Total 52 35 46 33 31 44 27 54
38December 31, 2011
Core Transactions
Reserve Transactions
Total Transactions
0
5
10
15
20
25
30
35
40
45
50
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11
Total Monthly Transactions Buys*
Sells**
*Buys: Core-Includes transfers from Reserve **Sales: Core-Includes calls, Reserve-Includes calls and transfers to Core
Credit Quality
% of Port ST Rating LT Rating Outlook ST Rating LT Rating Outlook
US Treasury T 49.02% A-1+ AA+ NEG P-1 Aaa NEG
FHLB FHLB 7.16% A-1+ AA+ NEG P-1 Aaa NEG
FNMA FNMA 6.00% A-1+ AA+ NEG P-1 Aaa NEG
FHLMC FHLMC 4.17% A-1+ AA+ NEG P-1 Aaa NEG
Wachovia (Checking) WFC 4.04% A-1 A+ NEG P-1 A2 NEG
General Electric GE 3.94% A-1+ AA+ STABLE P-1 Aa2 STABLE
Toyota TM 1.87% A-1+ AA- NEG P-1 Aa3 NEG
FFCB FFCB 1.81% A-1+ AA+ NEG P-1 Aaa NEG
Chevron CVX 1.14% A-1+ AA STABLE P-1 Aa1 STABLE
BNP Paribas BNP 0.98% A-1+ AA- NEG P-1 Aa2 NEG
FAMCA FAMCA 0.94%
HSBC HSBC 0.93% A-1 A NEG P-1 A3 NEG
Proctor & Gamble PG 0.93% A-1+ AA- STABLE P-1 Aa3 STABLE
Honda HNDA 0.86% A-1 A+ NEG P-1 A1 STABLE
TVA TVA 0.86% A-1+ AA+ NEG P-1 Aaa NEG
Hewlett Packard HPQ 0.71% A-2 BBB+ STABLE P-1 A2 NEG
John Deere DE 0.71% A-1 A STABLE P-1 A2 STABLE
JPMorgan Chase JPM 0.69% A-1 A STABLE P-1 Aa3 NEG
Caterpillar CAT 0.66% A-1 A STABLE P-1 A2 STABLE
Bank of New York BK 0.65% A-1 A+ NEG P-1 Aa2 NEG
ING ING 0.64% A-1 A STABLE P-1 A1 STABLE
Walmart WMT 0.64% A-1+ AA STABLE P-1 Aa2 STABLE
IBM IBM 0.61% A-1 A+ STABLE P-1 Aa3 STABLE
Exxon Mobil XOM 0.57% A-1+ AAA STABLE P-1 Aaa STABLE
US Bancorp USB 0.57% A-1 A STABLE P-1 Aa3 NEG
Walt Disney DIS 0.57% A-1 A STABLE P-1 A2 STABLE
Goldman Sachs GS 0.56% A-2 A- NEG P-1 A1 NEG
Microsoft MSFT 0.46% NR AAA STABLE P-1 Aaa STABLE
PepsiCo PEP 0.37% A-1 A STABLE P-1 Aa3 STABLE
General Dynamics GD 0.36% A-1 A STABLE P-1 A2 STABLE
Johnson & Johnson JNJ 0.36% A-1+ AAA STABLE P-1 Aaa NEG
BlackRock BLK 0.35% A-1 A+ STABLE P-1 A1 STABLE
Charles Schwab SCHW 0.34% A-1 A STABLE P-1 A2 STABLE
Berkshire Hathaway BRK 0.33% A-1+ AA+ NEG P-1 Aa2 STABLE
Dell DELL 0.30% A-1 A- STABLE P-1 A2 STABLE
Cisco Systems CSCO 0.29% A-1+ A+ STABLE P-1 A1 STABLE
If no "Outlook" is given by a rating agency, but the issuer is on credit watch (negative or positive), the "Outlook" will be adjusted accordingly.
39
S&P
500,760,000
419,330,000
Moody's
Par Value
3,427,000,000
Parent Co. TickerIssuer
291,280,000
282,170,137
275,500,000
131,000,000
126,875,000
80,003,000
68,500,000
December 31, 2011
22,750,000
46,000,000
45,362,000
45,005,000
45,000,000
42,370,000
25,000,000
24,550,000
23,770,000
21,000,000
20,000,000
Source: Bloomberg
66,000,000
65,000,000
65,000,000
60,000,000
60,000,000
49,500,000
49,350,000
48,250,000
40,000,000
40,000,000
40,000,000
39,000,000
32,000,000
26,000,000
25,000,000
Credit Quality
% of Port ST Rating LT Rating Outlook ST Rating LT Rating Outlook
Coca Cola KO 0.29% A-1 A+ POS P-1 Aa3 STABLE
Praxxair PX 0.29% A-1 A STABLE P-1 A2 STABLE
Southern Company SO 0.27% A-1 A STABLE P-1 A3 STABLE
3M Company MMM 0.22% A-1+ AA- STABLE P-1 Aa2 STABLE
Medtronic MDT 0.21% A-1+ AA- NEG P-1 A1 NEG
Texas Instruments TXN 0.21% A-1 A+ STABLE P-1 A1 STABLE
Wells Fargo WFC 0.21% A-1 A+ NEG P-1 A2 NEG
Colgate Palmolive CL 0.20% A-1+ AA- STABLE P-1 Aa3 STABLE
PACCAR PCAR 0.20% A-1 A+ STABLE A1 STABLE
Hershey HSY 0.19% A-1 A STABLE P-1 A2 STABLE
Progressive PGR 0.17% A+ STABLE A1 STABLE
Walgreens WAG 0.17% A-1 A NEG P-1 A2 NEG
Nucor NUE 0.17% A-1 A STABLE P-1 A2 NEG
Jackson National Life JACLIF 0.16% AA A1 STABLE
CME Group CME 0.14% A-1+ AA NEG P-1 Aa3 STABLE
Eli Lilly LLY 0.14% A-1+ AA- STABLE P-1 A2 STABLE
Google GOOG 0.14% A-1+ AA- STABLE P-1 Aa2 STABLE
Lowe's LOW 0.14% A-2 A- NEG P-2 A3 STABLE
Occidental Petroleum OXY 0.14% A-1 A STABLE P-1 A2 STABLE
PNC PNC 0.14% A-2 A- STABLE P-1 A3 POS
Dupont DD 0.13% A-1 A STABLE P-1 A2 STABLE
Becton Dickinson BDX 0.11% A-1 A+ STABLE P-1 A2 NEG
BB&T BBT 0.11% A-2 A- STABLE P-1 A2 STABLE
AT&T T 0.07% A-2 A- STABLE P-1 A2 STABLE
EBAY EBAY 0.07% A-1 A STABLE P-1 A2 STABLE
Kimberly Clark KMB 0.07% A-1 A STABLE P-1 A2 STABLE
Proamerica Bank PMRA 0.07%
Air Products APD 0.04% A-1 A STABLE P-1 A2 STABLE
Target TGT 0.04% A-1 A+ STABLE P-1 A2 STABLE
Wells Fargo (Checking) WFC 0.04% A-1 A+ NEG P-1 A2 NEG
California United Bank CNUB 0.01%
Monsanto MON 0.01% A-1 A+ STABLE P-1 A2 STABLE
If no "Outlook" is given by a rating agency, but the issuer is on credit watch (negative or positive), the "Outlook" will be adjusted accordingly.
40
Source: Bloomberg
3,000,000
3,000,000
2,544,935
1,000,000
1,000,000
7,925,000
5,000,000
5,000,000
5,000,000
5,000,000
10,000,000
10,000,000
9,449,000
8,900,000
8,000,000
11,625,000
11,500,000
10,000,000
10,000,000
10,000,000
14,000,000
14,000,000
13,000,000
12,125,000
11,935,000
December 31, 2011
Moody's
Parent Co. Ticker
S&P
Par ValueIssuer
20,000,000
20,000,000
19,150,000
15,300,000
15,000,000
15,000,000
15,000,000
Book Return Information-Core
Balance does not include checking accounts
Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Total
Interest Earnings-$Mil $0.759 $0.766 $0.865 $0.883 $0.836 $0.880 $5.0
Gains/(Losses)-$Mil $0.000 $0.000 $0.000 $0.070 $0.000 $0.137 $0.2
Total Earnings-$Mil $0.759 $0.766 $0.865 $0.953 $0.836 $1.017 $5.2
Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Avg
Avg Daily Balance-$Mil $745.2 $760.3 $661.6 $692.4 $802.8 $953.6 $732.5
Annualized Book Rtn 1.20% 1.19% 1.59% 1.62% 1.27% 1.26% 1.30%
Annualized Book Yld 1.24% 1.17% 1.35% 1.22% 1.30% 0.94% 1.20%
41December 31, 2011
$0
$200
$400
$600
$800
$1,000
$1,200
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct-
11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-1
2
Ap
r-1
2
May
-12
Ju
n-1
2
Mil
lio
ns
Average Daily Portfolio Balance
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
2.0%
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct-
11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-1
2
Ap
r-1
2
May
-12
Ju
n-1
2
Annualized Book Return
$0
$200
$400
$600
$800
$1,000
$1,200
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct-
11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-1
2
Ap
r-1
2
May
-12
Ju
n-1
2
Th
ou
san
ds
Monthly Total Earnings
0.6%
0.8%
1.0%
1.2%
1.4%
1.6%
1.8%
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct-
11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-1
2
Ap
r-1
2
May
-12
Ju
n-1
2
Annualized Book Yield
Book Return Information-Reserve
Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Total
Interest Earnings-$Mil $7.789 $7.860 $7.659 $7.680 $7.586 $7.563 $46.137
Gains/(Losses)-$Mil $4.128 $0.285 $0.567 $0.789 $0.489 $2.478 $8.736
Total Earnings-$Mil $11.917 $8.145 $8.225 $8.469 $8.075 $10.041 $54.873
Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Avg
Avg Daily Balance-$Bil $5.475 $5.508 $5.459 $5.498 $5.514 $5.556 $5.496
Annualized Book Rtn 2.56% 1.74% 1.82% 1.82% 1.78% 2.13% 1.95%
Annualized Book Yld 1.69% 1.69% 1.67% 1.66% 1.66% 1.61% 1.66%
42December 31, 2011
$5.3
$5.4
$5.5
$5.6
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct-
11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-1
2
Ap
r-1
2
May
-12
Ju
n-1
2
Bil
lio
ns
Average Daily Portfolio Balance
1.4%
1.6%
1.8%
2.0%
2.2%
2.4%
2.6%
2.8%
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct-
11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-1
2
Ap
r-1
2
May
-12
Ju
n-1
2
Annualized Book Return
$6
$8
$10
$12
$14
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct-
11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-1
2
Ap
r-1
2
May
-12
Ju
n-1
2
Mil
lio
ns
Monthly Total Earnings
1.4%
1.5%
1.6%
1.7%
1.8%
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct-
11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-1
2
Ap
r-1
2
May
-12
Ju
n-1
2
Annualized Book Yield
Portfolio Statistics-Securities Lending
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Total
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Avg
43
$17.8$561.6 $399.0 $502.0 $629.3 $599.7
Earnings ($000) $17.0 $16.7 $20.5
December 31, 2011
$26.4
Reinvestment
Portfolio Mkt Value $17.2 $41.3 $389.5
$21.6 $30.2 $30.0 $21.4 $214.9$20.1 $4.2 $4.8 $2.0
$665.5 $627.3 $446.4 $167.2
$0
$5
$10
$15
$20
$25
$30
$35
Jan
-11
Feb
-11
Mar-
11
Ap
r-1
1
May
-11
Ju
n-1
1
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct
-11
No
v-1
1
Dec
-11
Th
ou
san
ds
Securities Lending Monthly Earnings
$0
$100
$200
$300
$400
$500
$600
$700
$800
Jan
-11
Feb
-11
Mar-
11
Ap
r-1
1
May
-11
Ju
n-1
1
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct
-11
No
v-1
1
Dec
-11
Mil
lio
ns
Securities Lending Reinvestment Portfolio
Portfolio Statistics-Securities Lending
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Avg
Jan-11 Feb-11 Mar-11 Apr-11 May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Avg
44December 31, 2011
6.8% 2.6% 0.3% 0.3% 0.6% 5.8%
5 5
Sec Lending Inv % of
Total Portfolio8.5% 6.2% 7.6% 8.9% 8.6% 9.8% 9.8%
5 5 6 8 4 86Net Earnings Basis
Point Spread3 5 4 5
0
1
2
3
4
5
6
7
8
9
Jan
-11
Feb
-11
Mar-
11
Ap
r-1
1
May
-11
Ju
n-1
1
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct
-11
No
v-1
1
Dec
-11
Ba
sis
Po
ints
Net Basis Point Spread (Investments vs Loans)
0%
2%
4%
6%
8%
10%
12%
Jan
-11
Feb
-11
Mar-
11
Ap
r-1
1
May
-11
Ju
n-1
1
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct
-11
No
v-1
1
Dec
-11
Per
cen
t
Percent of Securities on Loan
Portfolio Statistics-Securities Lending
All investsments are repuchase agreements
45December 31, 2011
$2.1
$10.0
$10.0
$10.0
$10.0
0 2 4 6 8 10 12
Credit
Suisse
Deutsche
Bk
Citigroup
HSBC
RBS
$Millions
Securities Lending Investments per Issuer
$42.2
0 10 20 30 40 50
Goldman Sachs
$Millions
Securities Lending Borrower Exposure
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