monthly investment i report - financeky · 2015-12-04 · november 2015 monthly investment income...
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![Page 1: MONTHLY INVESTMENT I REPORT - FinanceKY · 2015-12-04 · November 2015 MONTHLY INVESTMENT INCOME REPORT Commonwealth of Kentucky Lori H. Flanery, Secretary . FINANCE AND ADMINISTRATION](https://reader034.vdocuments.site/reader034/viewer/2022043017/5f3a0b574f45f77130307aab/html5/thumbnails/1.jpg)
November 2015 MMOONNTTHHLLYY
IINNVVEESSTTMMEENNTT IINNCCOOMMEE RREEPPOORRTT
Commonwealth of Kentucky Lori H. Flanery, Secretary
FINANCE AND ADMINISTRATION CABINET
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Monthly Investment Income Report 11302015
11/30/2015
MARKET MARKET DURATION PERCENT STATUTORYTYPE VALUE YIELD (%) (Years) of TOTAL LIMIT
TreasuriesBills 49,956,438.00 0.21 0.41 1%Treasury Notes 1,091,499,605.96 0.72 1.24 31%
Sub-total 1,141,456,043.96 0.70 1.20 32%
Agencies Notes 126,778,851.64 0.66 0.95 4%Discounts 149,959,548.25 0.14 0.14 4%
Sub-total 276,738,399.89 0.38 0.51 8%
Municipals 33,990,829.46 0.87 0.94 1%
Corporates 217,012,251.75 1.15 1.63 6% 25%
Mortgages Pools 179,954,063.45 1.02 0.77 5%CMO's 209,535,635.47 1.49 2.60 6%
Sub-total 389,489,698.92 1.27 1.75 11% 25%
Asset Backed Securities 96,353,714.67 1.22 0.98 3% 20%
Repurchase AgreementsOvernight 300,001,125.00 0.13 0.00 9%< 30 days 285,124,462.58 0.22 0.03 8%< 60 days 17,503,136.13 0.28 0.10 1%< 90 days 0.00 0.00 0.00 0%< 1 year 1,501,343.33 0.52 0.58 0%Flex Repos 0.00 0.00 0.00 0%
Sub-total 604,130,067.04 0.18 0.02 18%
Money Market SecuritiesCommercial Paper 199,881,986.25 0.23 0.17 6% A1-P1Money Mkt Fund 400,000,000.00 0.07 0.00 11%Certificates of Deposit 135,033,571.70 0.36 0.23 4%
Sub-total 734,915,557.95 0.17 0.09 21% 35%
DerivativesSwaps 0.00 0.00 0.00 0%OTC Options 0.00 0.00 0.00 0%
Sub-total 0.00 0.00 0.00 0%
TOTALS 3,494,086,563.64 0.58 0.79 100%
* Excludes Bridges Pool
PORTFOLIO SUMMARYPOOLS*
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Monthly Investment Income Report 11302015
11/30/2015
MARKET MARKET DURATION PERCENTTYPE VALUE YIELD (%) (Years) of TOTAL
TreasuriesBills 0.00 0.00 0.00 0%Treasury Notes 1,091,499,605.96 0.72 1.24 48%
Sub-total 1,091,499,605.96 0.72 1.24 48%
Agencies Notes 126,778,851.64 0.66 0.95 6%Discounts 0.00 0.00 0.00 0%
Sub-total 126,778,851.64 0.66 0.95 6%
Municipals 33,990,829.46 0.87 0.94 1%
Corporates 217,012,251.75 1.15 1.63 10%
Mortgages Pools 179,954,063.45 1.02 0.77 8%CMO's 209,535,635.47 1.49 2.60 9%
Sub-total 389,489,698.92 1.27 1.75 17%
Asset Backed Securities 96,353,714.67 1.22 0.98 4%
Repurchase AgreementsOvernight 296,169,180.57 0.13 0.00 13%< 30 days 0.00 0.00 0.00 0%< 60 days 0.00 0.00 0.00 0%< 90 days 0.00 0.00 0.00 0%< 1 year 1,501,343.33 0.52 0.58 0%Flex Repos 0.00 0.00 0.00 0%
Sub-total 297,670,523.90 0.13 0.00 13%
Money Market SecuritiesCommercial Paper 0.00 0.00 0.00 0%Money Mkt Fund 0.00 0.00 0.00 0%Certificates of Deposit 25,012,434.90 0.72 0.43 1%
Sub-total 25,012,434.90 0.72 0.43 1%
DerivativesSwaps 0.00 0.00 0.00 0%OTC Options 0.00 0.00 0.00 0%
Sub-total 0.00 0.00 0.00 0%
TOTALS 2,277,807,911.20 0.80 1.16 100%
PORTFOLIO SUMMARYINTERMEDIATE TERM POOL
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Monthly Investment Income Report 11302015
11/30/2015
MARKET MARKET DURATION PERCENTTYPE VALUE YIELD (%) (Years) of TOTAL
TreasuriesBills 49,956,438.00 0.21 0.41 3%Treasury Notes 0.00 0.00 0.00 0%
Sub-total 49,956,438.00 0.21 0.41 3%
Agencies Notes 0.00 0.00 0.00 0%Discounts 149,959,548.25 0.14 0.14 10%
Sub-total 149,959,548.25 0.14 0.14 10%
Corporates 0.00 0.00 0.00 0%
Municipals 0.00 0.00 0.00 0%
Mortgages CMOs 0.00 0.00 0.00 0%
ABS 0.00 0.00 0.00 0%
Repurchase AgreementsOvernight 230,215,444.87 0.13 0.00 16%< 30 days 285,124,462.58 0.22 0.03 20%< 60 days 17,503,136.13 0.28 0.10 1%< 90 days 0.00 0.00 0.00 0%< 1 year 0.00 0.21 0.41 0%Flex Repos 0.00 0.00 0.00 0%
Sub-total 532,843,043.58 0.18 0.02 37%
Money Market SecuritiesCommercial Paper 199,881,986.25 0.23 0.17 14%Money Mkt Fund 400,000,000.00 0.07 0.00 28%Certificates of Deposit 110,021,136.80 0.28 0.19 8%
Sub-total 709,903,123.05 0.15 0.08 50%
TOTALS 1,442,662,152.88 0.16 0.07 100%
PORTFOLIO SUMMARYLIMITED TERM POOL
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Monthly Investment Income Report 11302015
11/30/2015
MARKET MARKET DURATION PERCENTTYPE VALUE YIELD (%) (Years) of TOTAL
TreasuriesBills 0.00 0.00 0.00 0%Treasury Notes 0.00 0.00 0.00 0%
Sub-total 0.00 0.00 0.00 0%
Agencies Notes 0.00 0.00 0.00 0%Discounts 0.00 0.00 0.00 0%
Sub-total 0.00 0.00 0.00 0%
Corporates 0.00 0.00 0.00 0%
Municipals 0.00 0.00 0.00 0%
Mortgages CMOs 0.00 0.00 0.00 0%
ABS 0.00 0.00 0.00 0%
Repurchase AgreementsOvernight -226,383,500.44 0.13 0.00 100%< 30 days 0.00 0.00 0.00 0%< 60 days 0.00 0.00 0.00 0%< 90 days 0.00 0.00 0.00 0%< 1 year 0.00 0.00 0.00 0%Flex Repos 0.00 0.00 0.00 0%
Sub-total -226,383,500.44 0.13 0.00 100%
Money Market SecuritiesCommercial Paper 0.00 0.00 0.00 0%Money Mkt Fund 0.00 0.00 0.00 0%Certificates of Deposit 0.00 0.00 0.00 0%
Sub-total 0.00 0.00 0.00 0%
TOTALS -226,383,500.44 0.13 0.00 100%
PORTFOLIO SUMMARYSHORT TERM POOL
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Monthly Investment Income Report 11302015
0
500,000,000
1,000,000,000
1,500,000,000
2,000,000,000
2,500,000,000
3,000,000,000
3,500,000,000
4,000,000,000
4,500,000,000
INVESTABLE BALANCES
FY 2010
FY 2011
FY 2012
FY 2013
FY 2014
FY 2015
FY 2016
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Monthly Investment Income Report 11302015
0
200,000,000
400,000,000
600,000,000
800,000,000
1,000,000,000
1,200,000,000
1,400,000,000
1,600,000,000
1,800,000,000
LIMITED POOL INVESTABLE BALANCES
FY 2010
FY 2011
FY 2012
FY 2013
FY 2014
FY 2015
FY 2016
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Monthly Investment Income Report 11302015
-1,000,000,000
-800,000,000
-600,000,000
-400,000,000
-200,000,000
0
200,000,000
400,000,000
600,000,000
800,000,000
1,000,000,000
SHORT TERM POOL INVESTABLE BALANCES
FY 2010
FY 2011
FY 2012
FY 2013
FY 2014
FY 2015
FY 2016
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Monthly Investment Income Report 11302015
0
500,000,000
1,000,000,000
1,500,000,000
2,000,000,000
2,500,000,000
3,000,000,000
3,500,000,000
INTERMEDIATE INVESTABLE BALANCES
FY 2010
FY 2011
FY 2012
FY 2013
FY 2014
FY 2015
FY 2016
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LIMITSCorporates 25%Mortgages 25%Asset Backs 20%Money Mkt. 35%
T-bills 1%
Asset Backs 3%
T-notes 31%
Corporates 6%
Agency notes 4% Discounts
4%
Overnight Repo 9%
Term Repo 9%
Money Mkt. 21%
Municipals 1% Mortgages
11%
Distr ibution of Investments for November
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-10%
-5%
0%
5%
10%
15%
20%
25%
INTERMEDIATE POOL ANNUALIZED RETURNS
Index
Pool
Index consists of 70% Government 1-3 year , 15% Mor tgage 0-3 and 15% money market
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-8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
INTERMEDIATE POOL ANNUALIZED RETURNS DIFFERENCE
Difference 12 Month Geometric Average 5 Year Geometric Average
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Period Return Annualized Period Return Annualized-0.094% -1.119% -0.162% -1.930%
11/30/2015 0.069% 0.275% 0.045% 0.181%0.123% 0.295% 0.082% 0.197%
0.475% 0.433%0.457% 0.556%0.740% 0.730%2.297% 2.504%3.584% 3.731%
*Benchmark consists of 70% Government 1-3 year, 15% Mortgage 0-3 and 15% money market.
Period Return Annualized Period Return Annualized0.007% 0.088% 0.009% 0.110%0.024% 0.095% 0.025% 0.101%0.041% 0.099% 0.038% 0.092%
0.091% 0.072%0.097% 0.061%0.119% 0.071%
*Benchmark is S&P Local Government Investment Pool
0.00720.0191
0.04823 Year 0.0356
FYTD
Since Inception
1 Year
-0.00641 Month -0.0220
Limited Term Pool
3 Month
Benchmark* Difference (pp)
1 Month3 MonthFYTD1 Year
Intermediate Pool Benchmark*
PERFORMANCE RESULTS JULY 1995 THROUGH NOVEMBER 2015
Difference (pp)
0.81070.09420.09820.0419
Annualized
-0.09910.0101
PERFORMANCE RESULTS JULY 2011 THROUGH NOVEMBER 2015Annualized
10 YearSince Inception
3 Year5 Year
-0.2073-0.1471