July 2016 - FinanceKY...DURATION PERCENT: STATUTORY TYPE: VALUE YIELD (%) (Years) of TOTAL. LIMIT:...

July 2016 MMOONNTTHHLLYY

IINNVVEESSTTMMEENNTT IINNCCOOMMEE RREEPPOORRTT

Commonwealth of Kentucky William M. Landrum III, Secretary

FINANCE AND ADMINISTRATION CABINET

Monthly Investment Income Report 07312016

7/31/2016

MARKET MARKET DURATION PERCENT STATUTORYTYPE VALUE YIELD (%) (Years) of TOTAL LIMIT

TreasuriesBills 99,988,199.50 0.14 0.04 3%Treasury Notes 1,153,916,185.61 0.65 1.33 30%

Sub-total 1,253,904,385.11 0.60 1.22 32%

Agencies Notes 163,462,296.22 0.62 0.77 4%Discounts 273,926,903.86 0.18 0.07 7%

Sub-total 437,389,200.08 0.34 0.33 11%

Municipals 38,744,589.50 1.03 0.71 1%

Corporates 238,075,904.12 1.04 1.53 6% 25%

Mortgages Pools 203,173,336.87 1.42 0.85 5%CMO's 225,842,644.88 1.29 1.82 6%

Sub-total 429,015,981.75 1.36 1.36 11% 25%

Asset Backed Securities 55,395,737.41 0.89 0.50 1% 20%

Repurchase AgreementsOvernight 300,008,416.67 0.34 0.00 8%< 30 days 266,901,140.87 0.49 0.09 7%< 60 days 0.00 0.00 0.00 0%< 90 days 0.00 0.00 0.00 0%< 1 year 1,500,840.00 0.63 0.92 0%Flex Repos 0.00 0.00 0.00 0%

Sub-total 568,410,397.54 0.41 0.04 15%

Money Market SecuritiesCommercial Paper 199,768,673.50 0.50 0.17 5% A1-P1Money Mkt Fund 560,000,000.00 0.44 0.00 14%Certificates of Deposit 125,195,881.94 0.86 0.27 3%

Sub-total 884,964,555.44 0.51 0.08 23% 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 3,905,900,750.95 0.64 0.71 100%

* Excludes Bridges Pool

PORTFOLIO SUMMARYPOOLS*

7/31/2016

MARKET MARKET DURATION PERCENTTYPE VALUE YIELD (%) (Years) of TOTAL

TreasuriesBills 0.00 0.00 0.00 0%Treasury Notes 1,153,916,185.61 0.65 1.33 47%

Sub-total 1,153,916,185.61 0.65 1.33 47%

Agencies Notes 163,462,296.22 0.62 0.77 7%Discounts 0.00 0.00 0.00 0%

Sub-total 163,462,296.22 0.62 0.77 7%

Municipals 38,038,956.17 1.03 0.71 2%

Corporates 238,075,904.12 1.04 1.53 10%

Mortgages Pools 203,173,336.87 1.42 0.85 8%CMO's 225,842,644.88 1.29 1.82 9%

Sub-total 429,015,981.75 1.36 1.36 17%

Asset Backed Securities 55,395,737.41 0.89 0.50 2%

Repurchase AgreementsOvernight 178,850,105.64 0.34 0.00 7%< 30 days 151,714,809.28 0.55 0.15 6%< 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 330,564,914.92 0.44 0.07 13%

Money Market SecuritiesCommercial Paper 0.00 0.00 0.00 0%Money Mkt Fund 50,000,000.00 0.45 0.00 2%Certificates of Deposit 0.00 0.00 0.00 0%

Sub-total 50,000,000.00 0.45 0.00 2%

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 2,458,469,976.20 0.78 1.09 100%

PORTFOLIO SUMMARYINTERMEDIATE TERM POOL

7/31/2016

TreasuriesBills 99,988,199.50 0.14 0.04 8%Treasury Notes 0.00 0.00 0.00 0%

Sub-total 99,988,199.50 0.14 0.04 8%

Agencies Notes 0.00 0.00 0.00 0%Discounts 273,926,903.86 0.18 0.07 21%

Sub-total 273,926,903.86 0.18 0.07 21%

Corporates 0.00 0.00 0.00 0%

Municipals 705,633.33 1.01 0.75 0%

Mortgages CMOs 0.00 0.00 0.00 0%

ABS 0.00 0.00 0.00 0%

Repurchase AgreementsOvernight 110,765,750.97 0.34 0.00 8%< 30 days 115,186,331.59 0.42 0.00 9%< 60 days 0.00 0.00 0.00 0%< 90 days 0.00 0.00 0.00 0%< 1 year 1,500,840.00 0.63 0.92 0%Flex Repos 0.00 0.00 0.00 0%

Sub-total 227,452,922.56 0.38 0.01 17%

Money Market SecuritiesCommercial Paper 199,768,673.50 0.50 0.17 15%Money Mkt Fund 385,000,000.00 0.44 0.00 29%Certificates of Deposit 125,195,881.94 0.86 0.27 10%

Sub-total 709,964,555.44 0.53 0.10 54%

TOTALS 1,312,038,214.69 0.40 0.07 100%

PORTFOLIO SUMMARYLIMITED TERM POOL

7/31/2016

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 10,392,560.06 0.34 0.00 8%< 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 10,392,560.06 0.34 0.00 8%

Money Market SecuritiesCommercial Paper 0.00 0.00 0.00 0%Money Mkt Fund 125,000,000.00 0.45 0.00 92%Certificates of Deposit 0.00 0.00 0.00 0%

Sub-total 125,000,000.00 0.00 0.00 92%

TOTALS 135,392,560.06 0.44 0.00 100%

PORTFOLIO SUMMARYSHORT TERM POOL

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

5,000,000,000

INVESTABLE BALANCES

FY 2010

FY 2011

FY 2012

FY 2013

FY 2014

FY 2015

FY 2016

FY 2017

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 POOLINVESTABLE BALANCES

FY 2010

FY 2011

FY 2012

FY 2013

FY 2014

FY 2015

FY 2016

FY 2017

-1,000,000,000

-800,000,000

-600,000,000

-400,000,000

-200,000,000

200,000,000

400,000,000

600,000,000

800,000,000

1,000,000,000

SHORT TERM POOLINVESTABLE BALANCES

FY 2010

FY 2011

FY 2012

FY 2013

FY 2014

FY 2015

FY 2016

FY 2017

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

INTERMEDIATEINVESTABLE BALANCES

FY 2010

FY 2011

FY 2012

FY 2013

FY 2014

FY 2015

FY 2016

FY 2017

LIMITSCorporates 25%Mortgages 25%Asset Backs 20%Money Mkt. 35%

T-bills3% Asset Backs

T-notes29%

Corporates6%

Agency notes4%

Discounts7%

Overnight Repo8%

Term Repo7%

Money Mkt.23%

Municipals1% Mortgages

Distribution of Investments for July

INTERMEDIATE POOLANNUALIZED RETURNS

Index consists of 70% Government 1-3 year, 15% Mortgage 0-3 and 15% money market

INTERMEDIATE POOLANNUALIZED RETURNS DIFFERENCE

Difference12 Month Geometric Average5 Year Geometric Average

Period Return Annualized Period Return Annualized0.014% 0.170% -0.019% -0.226%

7/31/2016 0.349% 1.401% 0.398% 1.602%2/28/2016 0.014% 0.170% -0.019% -0.226%

0.999% 1.141%0.855% 0.885%0.739% 0.748%2.152% 2.380%3.515% 3.665%

*Benchmark consists of 70% Government 1-3 year, 15% Mortgage 0-3 and 15% money market.

Period Return Annualized Period Return Annualized0.041% 0.498% 0.034% 0.413%0.103% 0.412% 0.098% 0.393%0.041% 0.498% 0.034% 0.413%

0.272% 0.247%0.110% 0.062%0.151% 0.104%

*Benchmark is S&P Local Government Investment Pool

0.08490.0246

0.04643 Year 0.0475

Since Inception

1 Year

0.01871 Month 0.0849

Limited Term Pool

3 Month

Benchmark* Difference (pp)

1 Month3 MonthFYTD1 Year

Intermediate Pool Benchmark*

PERFORMANCE RESULTS JULY 1995 THROUGH JULY 2016

Difference (pp)

0.3958-0.20040.3958-0.1416

Annualized

-0.0297-0.0085

PERFORMANCE RESULTS JULY 2011 THROUGH JULY 2016Annualized

10 YearSince Inception

3 Year5 Year

-0.2276-0.1503

July 2016 - FinanceKY...DURATION PERCENT: STATUTORY TYPE: VALUE YIELD (%) (Years) of TOTAL. LIMIT:...

Documents

Transcript of July 2016 - FinanceKY...DURATION PERCENT: STATUTORY TYPE: VALUE YIELD (%) (Years) of TOTAL. LIMIT:...

Page 5 NEGATIVE INTEREST RATES, CASH BANS, & HELICOPTER … · Then, using prices on regular Treasuries and inflation-protected Treasuries (TIPS), the authors back out the implied

US Treasuries Through a History of Crisis - Ramy Saadeh

Department of Treasuries, Government of Keralatreasury.kerala.gov.in/treasury/reports/penmast_details_tr1901.pdf · Department of Treasuries, Government of Kerala ... Department of

122nd MEETING OF SLBC PUNJAB Old Meetings/Minutes of 122nd...treasuries with online system of banks be started immediately. Action: Treasuries Department/IF&B ... for securing loan

Siku quanshu Complete Books of the Four Treasuries ...

PROCEEDINGS OF THE COMMISSIONER OF TREASURIES AND … · pdl.180/n2/2019 office of the commissioner of treasuries and accounts, "amma valagam", ill floor, 571, nandanam, chennai 600

NUTRITION informationpluckersweb.com/facts/Pluckers_Nutrition_facts.pdf- Red Onions 2 oz 23.68 0 0 0 0 0 2.36 4.07 1.113.330.59 - Cilantro 1 oz 14 0 0 0 0 0 28 0.14 0.14 0 0.14 - Sub

Punjab Financial Rules · 2017. 9. 20. · adapted by the India (Provisional Constitution) Order, 1947; (3) “Treasuries”include all treasuries and sub-treasuries whether under

Financial Risk Management – Top priorities for Corporate treasuries

Siku quanshu Complete Books of the Four Treasuries Yuanmingyuan

XCS DMC / DMP / DMR …2xØ4,3/0.17 3,5/0.14 6,5/0.25 8/ 0.14 0.31 2xØ3,5/0.14 2xØ6/0.23 7/0.27 7/0.27 1.42 in. XCS DMC / DMP / DMR Safety solutions using Preventa / Solutions de

PROCEEDINGS OF THE COMMISSIONER OF TREASURIES AND … · 2020-07-06 · PROCEEDINGS OF THE COMMISSIONER OF TREASURIES AND ACCOUNTS, TAMIL NADU, CHENNAl 600 035. ***** PRESENT: THIRU.

Designing Better APIs for Modern Treasuries · 2020. 9. 9. · 7 Designing Better APIs for Modern Treasuries Conclusion: The Team Matters The authority, experience, commitment, and

These Site Analytics reports display traffic and visitor ... · region visitors percentage zurich, switzerland 16 0.14 scotland, united kingdom 16 0.14 t'ai-pei, taiwan 16 0.14 antwerpen,

DIRECTORATE OF ACCOUNTS & TREASURIES …epaper.dailyexcelsior.com/epaperpdf/2015/may/15may31/...DAILY EXCELSIOR, JAMMU SUNDAY, MAY 31, 2015 (PAGE 13) DIRECTORATE OF ACCOUNTS & TREASURIES

Always and Everywhere Inflation? Treasuries Variance ... · PDF fileAlways and Everywhere Inflation? Treasuries Variance Decomposition and the Impact of ... Accounting and Finance

Untapping Canada‘s Hidden Lithium Treasuries

DISCLOSE REGISTER FULL PORTFOLIO HOLDINGS % of ......Schneider Electric SE 0.14% FR0000121972 Archer-Daniels-Midland Co 0.14% US0394831020 Canadian Pacific Railway Ltd 0.14% CA13645T1003

Measurements of · 1.29 ± 0.16 ± 0.08 +0.07 ± 0.14 ± 0.06 –0.11 ± 0.14 ± 0.05 0.80 ± 0.14 ± 0.08 0.91 ± 0.12 1.02 ± 0.12 +0.40 ± 0.15 ± 0.08 +0.22 ± 0.11 ... mm mm

ANNUAL REVIEW ON THE WORKING OF TREASURIES, PAO’S & PPO