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TRANSCRIPT
Presentation to the
City of Los Angeles
Investment Advisory Committee
April 30, 2012
Economic Update-Overall Economy
* Real Rate (Inflation Adjusted)
Data Source: Bloomberg
1April 30, 2012
Estimate: Bloomberg's Survey of Economists
As of: 5/16/12
4.2
1.8
3.2
2.1
5.1
1.6
0.1
2.7
0.5
3.6
3
1.7
-1.8
1.3
-3.7
-8.9
-6.7
-0.7
1.7
3.8
3.9
3.8
2.5
2.3
0.4
1.3
1.8
3
2.2
2.2
2.4
2.5
-12
-10
-8
-6
-4
-2
0
2
4
6
8
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
2April 30, 2012
12 Month Average Monthly Job Change: 151,333
-1,000
-800
-600
-400
-200
0
200
400
600
Oct
-07
Jan
-08
Ap
r-0
8
Ju
l-0
8
Oct
-08
Jan
-09
Ap
r-0
9
Ju
l-0
9
Oct
-09
Jan
-10
Ap
r-1
0
Ju
l-1
0
Oct
-10
Jan
-11
Ap
r-1
1
Ju
l-1
1
Oct
-11
Jan
-12
Ap
r-1
2
Th
ou
san
ds
Monthly Non-Farm Payrolls
0
2
4
6
8
10
12
14
Oct
-07
Jan
-08
Ap
r-0
8
Ju
l-0
8
Oct
-08
Jan
-09
Ap
r-0
9
Ju
l-0
9
Oct
-09
Jan
-10
Ap
r-1
0
Ju
l-1
0
Oct
-10
Jan
-11
Ap
r-1
1
Ju
l-1
1
Oct
-11
Jan
-12
Per
cen
t
Unemployment Rates
California
U.S.A
Census Hiring
Economic Update-Consumer Activity
Data Source: Bloomberg
3April 30, 2012
-15
-10
-5
0
5
10
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
Mar-
12
Per
cen
t
U.S. Retail Sales YOY % Change
$330
$340
$350
$360
$370
$380
$390
$400
$410
$420
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
Mar-
12
Bil
lio
ns
Total Monthly U.S. Retail Sales
Economic Update-Inflation
*CPIX: Consumer Price Index, excluding food and energy
Data Source: Bloomberg
4April 30, 2012
-3
-2
-1
0
1
2
3
4
5
6
Oct
-07
Jan
-08
Ap
r-0
8
Ju
l-0
8
Oct
-08
Jan
-09
Ap
r-0
9
Ju
l-0
9
Oct
-09
Jan
-10
Ap
r-1
0
Ju
l-1
0
Oct
-10
Jan
-11
Ap
r-1
1
Ju
l-1
1
Oct
-11
Jan
-12
Ap
r-1
2
Per
cen
t
CPI and CPIX* YOY % Change
CPI
CPIX
-2 -1 0 1 2 3 4 5
Communication
Energy
Wages
Services
Shelter
CPI
Food
Apparel
Education
Percent
Sector YOY % Price Changes
Economic Update-Dollar and Commodities
Data Source: Bloomberg
5April 30, 2012
70
75
80
85
90
95
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
Dec
-11
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
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
Dec
-11
Oil
-Per
Ba
rrel
Go
ld-P
er O
un
ce
Gold and Oil
Gold
Oil
Economic Update-Sector Returns YTD As of:
Data Source: Bloomberg
6April 30, 2012
4/30/12
-2.5
-0.3 0.0
0.1 0.6
1.0 1.0
2.6
6.4
9.9 9.9
11.4 11.4 11.4 11.8
13.4 13.5 13.8
14.5 14.6
-4
-2
0
2
4
6
8
10
12
14
16
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
4/30/12
April 30, 2012
0.0
3.4
5.3 5.8
8.7
9.9 10.2
17.2 17.5
19.1
0
5
10
15
20
25
Per
cen
t
YTD S&P 500 Major Sector Returns
Economic Update-Yield Curve
Maturity 6/30/11 4/30/12 Change
Data Source: Bloomberg
8April 30, 2012
3M 0.02 0.09 0.08
6M 0.10 0.15 0.05
1Y 0.19 0.18 -0.01
2Y 0.46 0.26 -0.20
3Y 1.76 0.81 -0.95
30Y 4.37 3.11 -1.26
5Y 1.76 0.81 -0.95
10Y 3.16 1.92 -1.25
0.0
0.5
1.0
1.5
2.0
2.5
3.0
3.5
4.0
4.5
5.0
3M 6M 1Y 2Y 5Y 10Y 30Y
Per
cen
t
U.S. Treasury Yield Curve
6/30/11
4/30/12
Economic Update-Interest Rates
Data Source: Bloomberg
9April 30, 2012
-0.1
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
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
Per
cen
t
U.S. Treasury Yields: 3M and 1Y
1Y
3M
0.00
0.25
0.50
0.75
1.00
1.25
1.50
1.75
2.00
2.25
2.50
2.75
3.00
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
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
10April 30, 2012
12
0
20
40
60
80
100
120
140
160
180
200
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
Jan
-12
Ba
sis
Po
int
Sp
rea
d
Spread*: 1-5 Yr Agency vs Treasury
135
0
100
200
300
400
500
600
700
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
Jan
-12
Ba
sis
Po
int
Sp
rea
d
Spread*: 1-5 Yr Corporate vs
Treasury
Summary Portfolio Characteristics
*Core Benchmark: 3 Month T-Bill (G0O1 BofA/Merrill Index)
#Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BV10 BofA Merrill Index)
**Average Maturity and 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
Mkt Value % of Total
Average Maturity (Yrs)**
Effective Duration**
100%
0.15 0.22
April 30, 2012
Weighted Market Yield##
$7,086,008,975
$1,689,819,952 -- $5,199,990,058 --
$1,695,604,000 -- $5,390,404,975 --
Par Value
Variance
2.11
0.51% 0.08% 0.57% 0.73% 0.56%
0.70% -- 1.60% --
Total General
Portfolio
Weighted Purchase Yield##
Market Value
$6,889,810,010
$5,784,048 -- $190,414,917 -- $196,198,965
1.39%
24% -- 76%
2.05
Los Angeles Core
Core
Benchmark *
Los Angeles
Reserve
Reserve
Benchmark #
0.16 0.22 2.64 2.67
2.73 2.77
--
Total General Portfolio: Maturity Distribution
12
0.9%
.25 to .5
April 30, 2012
4/30/12
3/31/12
Variance
0-.25 .5 to 1
3.2% 0.2% 1.2%
0.9% 3.7% 26.1%
17.2%
Years 2 to 3 3 to 4 4 to 5+
18.9% 15.9% 14.2%20.4%
1 to 2
0.7% 2.5% 25.2% 22.6% 15.0% 16.8%
-3.7% 0.9% -2.7%
0%
5%
10%
15%
20%
25%
30%
0-.25 .25 to .5 .5 to 1 1 to 2 2 to 3 3 to 4 4 to 5+
4/30/12
3/31/12
Total General Portfolio: Sector Allocations
13
April 30, 2012
Negotiable CDs
April 30, 2012
8.7%
18.2%
0.0%
100.0%
Federal Agencies
Treasuries
Total
0.0%
20.3%
Bank Deposits
CDARS
Commercial Paper
Corporate Notes
MMFs
100.0%
0.0% 0.0%
19.9% 0.4%
52.9% -1.6%51.3%
Sector 4/30/2012 3/31/2012 Variance
0.0%
-0.4%
0.1% 0.0%
6.3% 2.3%
19.0% -0.7%
1.8%
0.0%
1.4%
0.1%
Bank
1.4% CDARS
0.1% CP 8.7%
CORP
18.2%
Agy
20.3%
Tsy
51.3%
Sector Allocations - Core Portfolio
14
0.4% -0.1%
0.0% 0.0%
100.0%
27.7% -4.8%
19.1% 3.6%
Corporate Notes 11.9% 12.4% -0.5%
MMFs 0.0% 0.0% 0.0%
Commercial Paper 36.2%
Core Portfolio
CDARS 0.4%
31.3%
April 30, 2012
4.9%
Sector 4/30/2012 3/31/2012 Variance
Bank Deposits 5.9% 9.1% -3.2%
April 30, 2012
Negotiable CDs 0.0%
Treasuries 22.9%
Federal Agencies 22.8%
Total 100.0%
Bank Dep
5.9% CDARS
0.4%
CP 36.2%
Corp
11.9%
Agy
22.8%
Tsy
22.9%
Sector Allocations - Reserve Portfolio
15
Bank Deposits 0.0% 0.0% 0.0%
Treasuries 60.3% 59.3% 1.0%
0.0% 0.0% 0.0%
Federal Agencies 19.5% 20.1% -0.6%
Reserve Portfolio
April 30, 2012
Corporate Notes 20.2%
CDARS 0.0% 0.0% 0.0%
Commercial Paper 0.0% 0.0% 0.0%
Sector 4/30/2012 3/31/2012 Variance
April 30, 2012
20.6% -0.4%
MMFs 0.0% 0.0% 0.0%
Total 100.0% 100.0%
Negotiable CDs
Corp
20.2%
Agy
19.5%
Tsy
60.3%
Total General Portfolio: % of Portfolio: Core vs Reserve
16April 30, 2012
% of Total General 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
Portfolio Compliance with Code, Policy, and Guidelines
*The City's Investment Policy and Investment guidelines allow for purchases of securities with longer maturities than those listed above
for funds with longer investment/cash flow horizons.
17April 30, 2012
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
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
Mortgage Backed Securities/CMOs
Asset Backed Securities
92 Days
5 Years
1 Year
32 Days
Portfolio Compliance with Code, Policy, and Guidelines
18April 30, 2012
Mortgage Backed Securities/CMOs
Asset Backed Securities
Banker's Acceptances
State/Local Agency Securities
Mutual Funds/Money Market Funds
LAIF State Pool
Complies-none in portfolio
Complies
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
20%
$50 Million Per Account
30%
10%
5% Reverse Repo/20% Revs.
Repo +Sec Lending
30% 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
Compliance
Portfolio Compliance with Code, Policy, and Guidelines
19April 30, 2012
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 ApprovalComplies
Issuer and Transaction Limitations -- Approved Issuers
Item Limit
Federal Agency Issuer 30% Complies
Portfolio Compliance with Code, Policy, and Guidelines
20
Portfolio Maturity Limitations and Duration Ranges
April 30, 2012
Core Portfolio
Effective Duration 1-5 Govt/Corp Index +/- .10 Complies: 2.64 vs 2.67
Item Limit Compliance
Maturity Limitation One Year Complies
Reserve Portfolio
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 (24 Month Moving Average)
Duration at month-end, after index rebalancing for the next month
21April 30, 2012
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
Total General Portfolio Statistics-Sector Allocation History
Sector May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12
Tsy 49.2% 48.5% 52.6% 52.7% 53.8% 52.7% 53.7% 49.4% 49.7% 49.7% 52.9% 51.3%
Agy 21.2% 21.6% 21.8% 21.3% 19.2% 19.5% 20.4% 21.0% 23.5% 23.5% 19.9% 20.3%
Corp 16.2% 16.9% 18.7% 18.1% 19.6% 18.1% 18.0% 17.0% 18.1% 18.1% 19.0% 18.2%
CP 11.8% 8.1% 5.1% 5.2% 5.9% 8.4% 6.2% 8.6% 7.2% 7.2% 6.3% 8.7%
MBS 0.0% 0.0% 0.0% 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 1.5% 4.8% 1.7% 2.6% 1.4% 1.2% 1.6% 4.0% 1.4% 1.4% 1.8% 1.4%
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%
22April 30, 2012
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
Mar
-12
May
-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% 0.43% 0.43% 0.00%
Sector Core Benchmark Variance Sector Reserve Benchmark Variance
Treasury 0.01% 0.00% 0.01% Treasury 0.49% 0.49% 0.00%
Agency 0.01% 0.00% 0.01% Agency 0.30% 0.30% 0.00%
Corporate 0.03% 0.00% 0.03% Corporate 0.39% 0.39% 0.00%
Foreign 0.00% 0.33% -0.33%
23April 30, 2012
Monthly Performance Monthly Performance
Attribution of Sub-Sector Returns Attribution of Sub-Sector Returns
Benchmark Sector Returns are calculated by FTN Main Street using the subsector
returns of the BV10 index.
*Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BV10 BofA/Merrill Index)*Core Benchmark: 3 Month T-Bill (G0O1 BofA/Merrill Index)
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
0.30%
0.35%
0.40%
0.45%
0.50%
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-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% 0.17% 7.92% 5.93% 5.31% 2.56% 2.27%
3.64% 0.96% 0.16% 0.19% 0.02% 7.37% 4.90% 5.04% 2.67% 2.20%
0.67% 1.22% 0.06% 0.03% 0.15% 0.55% 1.03% 0.27% -0.11% 0.07%
*Core Benchmark: 3 Month T-Bill (G0O1) *Reserve Benchmark: 1-5 Year Govt/Corp A-AAA (BV10)
24April 30, 2012
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
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% 0.05% 0.01% 0.02% 0.02%
Benchmark -0.01% 0.02% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.01% 0.00%
Variance 0.02% -0.03% -0.01% 0.05% 0.01% 0.02% 0.05% 0.01% 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% 0.12% 0.13% 0.15% 0.17%
Benchmark -0.01% 0.01% 0.01% 0.01% 0.01% 0.01% 0.01% 0.01% 0.02% 0.02%
Variance 0.02% -0.01% -0.02% 0.03% 0.04% 0.06% 0.11% 0.12% 0.13% 0.15%
25April 30, 2012
Monthly Performance
Fiscal YTD Performance
Core vs 3 Month T-Bill Index
-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
Monthly Performance Comparison
Core
Benchmark
-0.04%
-0.02%
0.00%
0.02%
0.04%
0.06%
0.08%
0.10%
0.12%
0.14%
0.16%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
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% 0.45% -0.15% -0.14% 0.43%
Benchmark 0.73% 0.51% -0.29% 0.27% -0.13% 0.25% 0.56% -0.07% -0.08% 0.43%
Variance 0.02% 0.10% 0.13% -0.07% 0.17% -0.03% -0.11% -0.08% -0.06% 0.00%
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% 2.13% 1.97% 1.83% 2.27%
Benchmark 0.73% 1.25% 0.96% 1.23% 1.10% 1.35% 1.92% 1.85% 1.76% 2.20%
Variance 0.02% 0.11% 0.24% 0.17% 0.35% 0.32% 0.21% 0.12% 0.07% 0.07%
26
Monthly Performance
Fiscal YTD Performance
April 30, 2012
Reserve vs 1-5 Year Government/Corporate Index
-0.40%
-0.20%
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Monthly Performance Comparison
Reserve
Benchmark
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
FYTD Performance Variance
Portfolio Attribution: Reserve Treasury vs. Benchmark Treasury
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Reserve 0.75% 0.76% -0.13% 0.11% 0.14% 0.17% 0.32% -0.31% -0.21% 0.49%
Benchmark 0.76% 0.77% -0.14% 0.11% 0.14% 0.17% 0.32% -0.30% -0.21% 0.49%
Mon. Var. -0.01% -0.01% 0.01% 0.00% 0.00% 0.00% 0.00% -0.01% 0.00% 0.00%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Var. -0.01% -0.02% -0.01% -0.01% -0.01% -0.01% -0.01% -0.02% -0.02% -0.02%
27
Treasury Sector
Monthly Variance
Fiscal YTD Variance
April 30, 2012
-0.40%
-0.20%
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Monthly Performance Comparison
Reserve Tsy
Benchmark Tsy
-0.03%
-0.02%
-0.01%
0.00%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Performance Variance
Portfolio Attribution: Reserve Agency vs. Benchmark Agency
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Reserve 0.53% 0.63% -0.08% 0.06% 0.03% 0.17% 0.38% -0.01% -0.05% 0.30%
Benchmark 0.43% 0.54% -0.09% 0.08% 0.05% 0.18% 0.33% 0.06% -0.04% 0.30%
Mon. Var. 0.10% 0.09% 0.01% -0.02% -0.02% -0.01% 0.05% -0.07% -0.01% 0.00%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Var. 0.10% 0.20% 0.21% 0.19% 0.17% 0.15% 0.20% 0.14% 0.12% 0.12%
28
Agency Sector
Monthly Variance
Fiscal YTD Variance
April 30, 2012
-0.20%
-0.10%
0.00%
0.10%
0.20%
0.30%
0.40%
0.50%
0.60%
0.70%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Monthly Performance Comparison
Reserve Agy
Benchmark Agy
0.00%
0.05%
0.10%
0.15%
0.20%
0.25%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Performance Variance
Portfolio Attribution: Reserve Corporate vs. Benchmark Corporate
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Reserve 1.00% 0.05% -0.33% 0.65% -0.27% 0.43% 0.99% 0.18% -0.04% 0.39%
Benchmark 0.87% -0.43% -0.85% 1.09% -0.87% 0.77% 1.61% 0.44% 0.13% 0.39%
Mon. Var. 0.13% 0.48% 0.52% -0.44% 0.60% -0.34% -0.62% -0.26% -0.17% 0.00%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Var. 0.13% 0.62% 1.14% 0.70% 1.31% 0.96% 0.34% 0.08% -0.09% -0.09%
29
Corporate Sector
Monthly Variance
Fiscal YTD Variance
April 30, 2012
-1.00%
-0.50%
0.00%
0.50%
1.00%
1.50%
2.00%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Monthly Performance Comparison
Reserve Corp
Benchmark Corp
-0.20%
0.00%
0.20%
0.40%
0.60%
0.80%
1.00%
1.20%
1.40%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Performance Variance
Portfolio Attribution: Reserve Foreign vs. Benchmark Foreign
Portfolio Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Reserve 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Benchmark 0.80% 0.15% -0.60% 0.51% -0.82% 0.29% 1.10% 0.48% 0.34% 0.33%
Mon. Var. -0.80% -0.15% 0.60% -0.51% 0.82% -0.29% -1.10% -0.48% -0.34% -0.33%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Var. -0.80% -0.96% -0.36% -0.87% -0.05% -0.34% -1.44% -1.93% -2.27% -2.60%
30
Foreign Sector
Monthly Variance
Fiscal YTD Variance
April 30, 2012
-1.00%
-0.50%
0.00%
0.50%
1.00%
1.50%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Monthly Performance Comparison
Reserve Foreign
Benchmark Foreign
-3.00%
-2.50%
-2.00%
-1.50%
-1.00%
-0.50%
0.00%
Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
FYTD Performance Variance
Index Performance: BofA/Merrill 1-5 Yr Govt/Corp (A-AAA)
May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12
Interest 21.3 20.9 21.1 20.8 20.1 20.4 19.8 20.1 24.0 19.0 19.5 19.1
Price 47.0 -22.4 52.1 30.0 -48.8 6.2 -32.8 4.8 32.2 -26.1 -27.2 24.2
Total 68.3 -1.5 73.2 50.8 -28.7 26.6 -13.0 24.9 56.2 -7.1 -7.7 43.3
31
Component Total Return
April 30, 2012
-60
-40
-20
0
20
40
60
80
Ba
sis
Po
ints
Monthly Price Return vs Interest Return
Price Return
Interest Return
-40
-20
0
20
40
60
80
Ba
sis
Po
ints
Monthly Total Return
Index Performance: BofA/Merrill 1-5 Yr Sector Total Returns
May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12
Index 68 -2 73 51 -29 27 -13 25 56 -7 -8 49
Treasury 72 4 76 77 -14 11 14 17 32 -30 -21 30
Agency 52 1 43 54 -9 8 5 18 33 6 -4 39
Corporate 65 -15 87 -43 -85 109 -87 77 161 44 13 33
Foreign 72 -15 80 15 -60 51 -82 29 110 48 34 34
32April 30, 2012
Sector Total Returns (Basis Points)
-100
-50
0
50
100
150
200
May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12
Ba
sis
Po
ints
Index Sector Total Returns Tsy
Agy
Corp
Foreign
Govt/Corp Index
Reserve vs Index: Sector Allocations % of Portfolio/Index
33April 30, 2012
54%
56%
58%
60%
62%
64%
66%
May
-11
Ju
n-1
1
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
Per
cen
t
Treasury Allocations: Reserve vs Index
Index
Reserve
8%
10%
12%
14%
16%
18%
20%
22%
24%
May
-11
Ju
n-1
1
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
Per
cen
t
Agency Allocations: Reserve vs Index
Index
Reserve
8%
10%
12%
14%
16%
18%
20%
22%
May
-11
Ju
n-1
1
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
Per
cen
t
Corporate Allocations: Reserve vs Index
Index
Reserve
0%
2%
4%
6%
8%
10%
12%
14%
16%
May
-11
Ju
n-1
1
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
Per
cen
t
Foreign Allocations: Reserve vs Index
Index
Reserve
Total General Portfolio: Credit Quality
S&P Moody's S&P Moody's
% of Port LT Rating LT Rating Issuer % of Port LT Rating LT Rating
US Treasury 51.08% AA+ Aaa BlackRock 0.36% A+ A1
FHLB 6.52% AA+ Aaa PACCAR 0.35% A+ A1
FHLMC 5.85% AA+ Aaa Charles Schwab 0.35% A A2
FNMA 5.43% AA+ Aaa Dell 0.30% A- A2
General Electric 2.87% AA+ A1 Cisco Systems 0.29% A+ A1
FFCB 1.55% AA+ Aaa Praxxair 0.29% A A2
Wells Fargo (Bank Dep) 1.46% Southern Company 0.28% A A3
Roche Holdings 1.39% AA- A1 3M Company 0.22% AA- Aa2
Bank of Nova Scotia 1.23% AA- Aa1 Medtronic 0.22% A+ A1
Toyota 1.20% AA- Aa3 Texas Instruments 0.22% A+ A1
BNP Paribas 1.16% AA- Aa2 Colgate Palmolive 0.20% AA- Aa3
TVA 0.87% AA+ Aaa Walgreens 0.17% A A3
IBM 0.86% A+ Aa3 Nucor 0.17% A A2
Honda 0.84% A+ A1 Jackson National Life 0.17% AA A1
Walt Disney 0.83% A A2 Chevron 0.15% AA Aa1
Wells Fargo 0.80% A+ A2 CME Group 0.15% AA- Aa3
Procter & Gamble 0.75% AA- Aa3 Google 0.15% AA- Aa2
Barclay's Capital 0.73% A A1 Hershey 0.15% A A2
JPMorgan Chase 0.70% A Aa3 Lowe's 0.15% A- A3
Berkshire Hathaway 0.69% AA+ Aa2 Occidental Petroleum 0.15% A A1
Nordea 0.66% AA- Aa2 PNC 0.14% A- A3
Bank of New York 0.66% A+ Aa3 Dupont 0.13% A A2
John Deere 0.65% A A2 Becton Dickinson 0.12% A+ A2
Coca Cola 0.58% A+ Aa3 BB&T 0.12% BBB+ A3
US Bancorp 0.58% A Aa3 EBAY 0.07% A A2
Goldman Sachs 0.57% A- A1 Proamerica Bank 0.07%
Caterpillar 0.52% A A2 Air Products 0.04% A A2
Microsoft 0.46% AAA Aaa Target 0.04% A+ A2
PepsiCo 0.45% A- Aa3 California United Bank 0.01%
Nestle 0.44% AA Aa2 Monsanto 0.01% A+ A1
Wal-mart 0.44% AA Aa2 Federated Treasury MMF 0.00% AAA Aaa
Hewlett Packard 0.43% BBB+ A3 Total 0.00%
United Parcel 0.42% AA- Aa3
AT&T 0.36% A- A2
General Dynamics 0.36% A A2
Johnson & Johnson 0.36% AAA Aaa
34
$10,000,000
Par Value
$7,925,000
$5,000,000
$5,000,000
$1,000,000
$10,000,000
$10,000,000
$9,449,000
$8,900,000
$8,000,000
$11,500,000
$10,000,000
$10,000,000
$10,000,000
$15,000,000
$15,000,000
April 30, 2012
$29,500,000
$29,000,000
$40,000,000
$39,000,000
$36,000,000
$32,000,000
Issuer
Ratings Source: Bloomberg
$25,000,000
$24,550,000
$24,000,000
$23,770,000
$21,000,000
$20,000,000
$20,000,000
$19,150,000
$15,300,000
$1,000,000
$14,000,000
$11,935,000
$11,625,000
$31,000,000
$40,000,000
$449,125,000
$403,280,000
$3,519,621,000
Par Value
$107,000,000
$85,000,000
$83,000,000
$100,532,952
$96,000,000
$374,330,000
$197,441,000
$58,000,000
$57,500,000
$55,000,000
$80,000,000
$60,000,000
$59,370,000
$45,000,000
$47,750,000
$45,630,000
$45,362,000
$52,012,000
$50,000,000
$48,250,000
$6,889,810,010
$3,000,000
$58
$3,000,000
$25,000,000
$30,000,000
$25,000,000
$30,002,000
Book Return Information-Core
Balance does not include checking accounts
Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Avg
Interest Earnings-$Mil $0.759 $0.766 $0.865 $0.883 $0.836 $0.880 $1.039 $0.948 $0.866 $1.013 $0.886
Gains/(Losses)-$Mil $0.000 $0.000 $0.000 $0.070 $0.000 $0.137 $0.024 $0.000 $0.000 $0.000 $0.023
Total Earnings-$Mil $0.759 $0.766 $0.865 $0.953 $0.836 $1.017 $1.063 $0.948 $0.866 $1.013 $0.909
Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Avg
Avg Daily Balance-$Mil $745.2 $760.3 $661.6 $692.4 $802.8 $975.0 $1,260.5 $1,461.8 $1,494.7 $1,316.8 $917.0
Book Yield 1.24% 1.17% 1.64% 1.22% 1.29% 0.94% 0.92% 0.73% 0.79% 0.70% 1.06%
Book Return FYTD* 1.20% 1.19% 1.31% 1.39% 1.36% 1.33% 1.68% 1.51% 1.65% 1.57% 1.51%
Note: Avg Daily Balance excludes checking accounts *Annualized Returns
35April 30, 2012
$0
$500
$1,000
$1,500
$2,000
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
0.4%0.6%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 FYTD
$0
$200
$400
$600
$800
$1,000
$1,200
$1,400
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct-
11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-1
2
Ap
r-1
2
May
-12
Ju
n-1
2
Th
ou
san
ds
Monthly Total Earnings
0.2%0.4%0.6%0.8%1.0%1.2%1.4%1.6%1.8%
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct-
11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-1
2
Ap
r-1
2
May
-12
Ju
n-1
2
Book Yield
Book Return Information-Reserve
Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Avg
Interest Earnings-$Mil $7.789 $7.860 $7.659 $7.680 $7.586 $7.563 $7.358 $7.052 $7.286 $6.936 $7.477
Gains/(Losses)-$Mil $4.128 $0.285 $0.567 $0.789 $0.489 $2.478 $0.775 $3.144 $1.205 $0.359 $1.422
Total Earnings-$Mil $11.917 $8.145 $8.225 $8.469 $8.075 $10.041 $8.133 $10.197 $8.492 $7.295 $8.899
Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Avg
Avg Daily Balance-$Bil $5.475 $5.508 $5.486 $5.498 $5.514 $5.556 $5.429 $5.254 $5.163 $5.253 $5.496
Book Yield 1.71% 1.71% 1.69% 1.66% 1.66% 1.61% 1.65% 1.65% 1.63% 1.60% 1.66%
Book Return FYTD* 2.56% 2.15% 2.04% 1.99% 1.95% 1.98% 1.84% 1.91% 1.87% 1.84% 1.95%
*Annualized
36April 30, 2012
$5.1
$5.2
$5.3
$5.4
$5.5
$5.6
$5.7
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 FYTD
$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
Book Yield
Portfolio Statistics-Securities Lending
May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 Total
May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 Avg
37
$68.5 $185.3 $236.3
$20.1 $4.2 $4.8 $2.0 $151.0$0.4 $0.0 $7.1 $9.2
$17.8 $17.2 $41.3 $0.0
Earnings ($000) $21.6 $30.2 $30.0
April 30, 2012
$21.4
Reinvestment
Portfolio Mkt Value $0.0$599.7 $665.5 $627.3 $446.4 $167.2
$0
$5
$10
$15
$20
$25
$30
$35
May
-11
Ju
n-1
1
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct
-11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-
12
Ap
r-1
2
Th
ou
san
ds
Securities Lending Monthly Earnings
$0
$100
$200
$300
$400
$500
$600
$700
$800
May
-11
Ju
n-1
1
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct
-11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-
12
Ap
r-1
2
Mil
lio
ns
Securities Lending Reinvestment Portfolio
Portfolio Statistics-Securities Lending
May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 Avg
May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 Avg
38
8Net Earnings Basis
Point Spread6 5 5 6 10 7
Sec Lending Inv % of
Total Portfolio8.6% 9.8% 9.8% 6.8% 2.6% 0.3% 0.3%
4 8 5 2 0 24
0.0% 0.0% 1.0% 2.6% 3.5%
April 30, 2012
0.6%
0
5
10
15
20
25
30
May
-11
Ju
n-1
1
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct
-11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-
12
Ap
r-1
2
Ba
sis
Po
ints
Net Basis Point Spread (Investments vs Loans)
0%
2%
4%
6%
8%
10%
12%
May
-11
Ju
n-1
1
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct
-11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-
12
Ap
r-1
2
Per
cen
t
Percent of Securities on Loan
Portfolio Statistics-Securities Lending
39April 30, 2012
$44.0
$44.0
$44.0
$44.0
$9.3
$0 $10 $20 $30 $40 $50
Deutsche
Bank
BNP
Credit
Suisse
RBS
Barclays
$Thousands
Securities Lending Investments per Issuer
$48.5
$48.0
$46.6
$38.9
$0 $10 $20 $30 $40 $50 $60
Morgan Stanley
BNP
Citigroup
Goldman
$Thousands
Securities Lending Borrower Exposure
Total General Portfolio Transactions
May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12
Buys 20 22 22 18 16 30 18 43 34 34 29 35
Sales 0 0 0 0 0 1 0 1 0 0 0 0
Total 20 22 22 18 16 31 18 44 34 34 29 35
May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12
Buys 22 8 14 7 8 3 7 3 3 12 8 5
Sales 10 5 10 8 7 10 2 7 10 12 7 5
Total 32 13 24 15 15 13 9 10 13 24 15 10
May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12
Buys 42 30 36 25 24 33 25 46 37 46 37 40
Sales 10 5 10 8 7 11 2 8 10 12 7 5
Total 52 35 46 33 31 44 27 54 47 58 44 45
40April 30, 2012
Core Transactions
Reserve Transactions
Total Transactions
0
5
10
15
20
25
30
35
40
45
50
May-11 Jun-11 Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12
Total Monthly Transactions Buys*
Sells**
*Buys: Core-Includes transfers from Reserve **Sales: Core-Includes calls, Reserve-Includes calls and transfers to Core
Portfolio Transactions-Reserve Portfolio
Action*
4/2/12 Hershey Note 4/1/13 (10,000,000) Transfer
4/2/12 Bank of New York Note 4/1/13 (29,462,000) Transfer
4/9/12 FNMA Note 4/9/13 (20,000,000) Transfer
4/24/12 General Electric Note 4/27/17 10,000,000 Buy
4/30/12 FHLMC Note 8/25/16 50,000,000 Buy
4/30/12 US Treasury Note 5/15/14 20,000,000 Buy
4/30/12 US Treasury Note 9/15/14 25,000,000 Buy
4/30/12 US Treasury Note 3/31/17 50,000,000 Buy
4/30/12 FHLMC Note 4/15/13 (20,000,000) Sell
4/30/12 FNMA Note 4/9/13 (50,000,000) Sell
*"Transfer" is from Reserve to Core
41April 30, 2012
Trade Date Issuer Type Maturity Date Par Amount
Portfolio Transactions-Core Portfolio
Action*
4/2/12 Hershey Note 4/1/13 10,000,000 Transfer
4/2/12 Bank of New York Note 4/1/13 29,462,000 Transfer
4/2/12 US Treasury T-Bill 5/24/12 50,000,000 Buy
4/3/12 BNP Paribas Commercial Paper 4/4/12 16,000,000 Buy
4/4/12 General Electric Commercial Paper 5/24/12 22,000,000 Buy
4/5/12 General Electric Commercial Paper 5/24/12 23,500,000 Buy
4/9/12 FNMA Note 4/9/13 20,000,000 Transfer
4/10/12 US Treasury T-Bill 5/24/12 14,001,000 Buy
4/12/12 BNP Paribas Commercial Paper 4/13/12 9,000,000 Buy
4/13/12 Deutsche Bank Commercial Paper 4/27/12 10,000,000 Buy
4/16/12 FHLB Discount Note 5/24/12 10,000,000 Buy
4/16/12 BNP Paribas Commercial Paper 4/18/12 15,000,000 Buy
4/17/12 US Treasury T-Bill 5/24/12 25,002,000 Buy
4/17/12 Deutsche Bank Commercial Paper 4/18/12 25,000,000 Buy
4/18/12 General Elec Commercial Paper 5/24/12 28,937,000 Buy
4/20/12 FHLMC Commercial Paper 6/13/12 67,000,000 Buy
4/20/12 Nestle Commercial Paper 6/1/12 19,000,000 Buy
4/20/12 UPS Commercial Paper 6/12/12 29,000,000 Buy
4/20/12 Bank of Nova Scotia Commercial Paper 5/30/12 85,000,000 Buy
4/20/12 FHLB Commercial Paper 5/30/12 25,000,000 Buy
4/20/12 FHLB Discount Note 6/1/12 44,000,000 Buy
4/20/12 Roche Holdings Commercial Paper 5/24/12 16,000,000 Buy
4/20/12 Roche Holdings Commercial Paper 5/24/12 40,000,000 Buy
4/20/12 Roche Holdings Commercial Paper 5/24/12 40,000,000 Buy
4/23/12 US Treasury T-Bill 6/14/12 7,000,000 Buy
4/24/12 FHLMC Discount Note 6/8/12 20,000,000 Buy
4/24/12 US Treasury T-Bill 6/14/12 21,000,000 Buy
4/26/12 Nordea Commercial Paper 5/1/12 45,630,000 Buy
4/26/12 Barclays Commercial Paper 5/1/12 50,000,000 Buy
*"Transfer" is from Core to Reserve
42April 30, 2012
Trade Date Issuer Type Maturity Date Par Amount
Portfolio Transactions-Core Portfolio (continued)
Action*
4/26/12 BNP Paribas Commercial Paper 5/2/12 42,000,000 Buy
4/26/12 Deutsche Bank Commercial Paper 4/30/12 15,000,000 Buy
4/27/12 FHLB Discount Note 6/27/12 27,000,000 Buy
4/27/12 Toyota Commercial Paper 6/13/12 23,000,000 Buy
4/27/12 BNP Paribas Commercial Paper 5/2/12 10,000,000 Buy
4/27/12 Barclays Commercial Paper 4/30/12 15,000,000 Buy
*"Transfer" is from Core to Reserve
43April 30, 2012
Trade Date Issuer Type Maturity Date Par Amount