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Presentation to the City of Los Angeles Investment Advisory Committee April 30, 2012

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Page 1: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

Presentation to the

City of Los Angeles

Investment Advisory Committee

April 30, 2012

Page 2: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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)*

Page 3: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 4: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 5: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 6: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 7: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 8: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 9: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 10: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 11: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 12: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

--

Page 13: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 14: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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%

Page 15: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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%

Page 16: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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%

Page 17: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 18: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 19: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 20: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 21: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 22: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 23: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 24: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 25: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 26: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 27: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 28: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 29: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 30: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 31: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 32: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 33: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 34: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 35: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 36: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 37: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 38: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 39: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 40: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 41: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 42: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 43: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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

Page 44: Presentation to the City of Los Angeles Investment ... Street IAC... · Portfolio Compliance with Code, Policy, and Guidelines *The City's Investment Policy and Investment guidelines

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