presentation to the city of los angeles investment …...summary portfolio characteristics *core...

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


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


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


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


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*


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*


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


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


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)


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


Mil

lio

ns

Reserve: Market Value vs Cost Value


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


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

Complies

Complies



Complies-none in portfolio180 Days

Reverse Repo/Securities Lending

Corporate Notes

5 Years

5 Years


Compliance

20

CompliesCorporate Notes

Percentage Allocation Limitations


20% Combined with ABS

20% Combined with MBS



15%

Limit

100%

40%

180 Days

1 Year

20%

$50 Million Per Account

30%

10%

5% Reverse Repo/20% Revs.

Repo +Sec Lending

30%




Sector

Government Securities

Commercial Paper

Negotiable Certificates of Deposit

CRA Certificates of Deposit

Repurchase Agreements

Reverse Repo/Securities Lending

Complies

Complies

Complies


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


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


* 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


Du

rati

on

Reserve Duration Reserve

Benchmark

0%

1%

2%

3%

4%

5%

6%


Per

cen

t

Purchase Yield: Reserve vs Benchmark*

Reserve

Benchmark

0.05

0.10

0.15

0.20

0.25

0.30

0.35


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%


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%


Per

cen

t V

ari

an

ce

FYTD Performance Variance

Portfolio Statistics-Monthly & FYTD Total Return


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%


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%


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%


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)


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


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


December 31, 2011

-60

-40

-20

0

20

40

60

80

100

Ba

sis

Po

ints


Price Return

Interest Return

-40

-20

0

20

40

60

80

100

Ba

sis

Po

ints


Index Performance: BofA/Merrill 1-5 Yr Agency


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


December 31, 2011

-40

-30

-20

-10

0

10

20

30

40

50

60

70

Ba

sis

Po

ints


Price Return

Interest Return

-20

-10

0

10

20

30

40

50

60

70

Ba

sis

Po

ints


Index Performance: BofA/Merrill 1-5 Yr Corporate (A-AAA)


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


December 31, 2011

-150

-100

-50

0

50

100

150

Ba

sis

Po

ints


Price Return

Interest Return

-150

-100

-50

0

50

100

150

Ba

sis

Po

ints


Index Performance: BofA/Merrill 1-5 Yr Component Returns


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


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


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


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



12/22/11 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



12/30/11 Procter & Gamble Commercial Paper 4/7/12 50,000,000


12/30/11 FHLB Discount Note 4/18/12 58,660,000



14,035,000


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


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


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


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


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




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


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

presentation to the city of los angeles investment …...summary portfolio characteristics *core...

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