presentation to the city of los angeles investment ... street iac... · portfolio compliance with...
TRANSCRIPT
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Presentation to the
City of Los Angeles
Investment Advisory Committee
April 30, 2012
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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)*
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
--
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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
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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%
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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%
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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%
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
$30,002,000
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Book Return Information-Core
Balance does not include checking accounts
Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Avg
Interest Earnings-$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
$1,400
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct-
11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-1
2
Ap
r-1
2
May
-12
Ju
n-1
2
Th
ou
san
ds
Monthly Total Earnings
0.2%0.4%0.6%0.8%1.0%1.2%1.4%1.6%1.8%
Ju
l-1
1
Au
g-1
1
Sep
-11
Oct-
11
No
v-1
1
Dec
-11
Jan
-12
Feb
-12
Mar-1
2
Ap
r-1
2
May
-12
Ju
n-1
2
Book Yield
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Book Return Information-Reserve
Jul-11 Aug-11 Sep-11 Oct-11 Nov-11 Dec-11 Jan-12 Feb-12 Mar-12 Apr-12 May-12 Jun-12 Avg
Interest Earnings-$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
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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
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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
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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
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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
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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
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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
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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