HomeMy WebLinkAboutAttachment Inv Report (Finance) (11)Summary Portfolio Statistics
County of San Diego Pooled Money Fund
as of September 30, 2012
Certificates of Deposit
Commercial Paper
Fannie Mae
Fannie Mae Discount Notes
Federal Farm Credit Bank Discount Notes
Federal Farm Credit Bank Notes
Federal Home Loan Bank Discount Notes
Federal Home Loan Bank Notes
Federal Home Loan Mortgage Corp Discount Note
Federal Home Loan Mortgage Corp Notes
Money Market Funds
Negotiable CD
Repurchase Agreements
U.S. Treasury Notes
Totals for September 2012
Totals for August 2012
Change From Prior Month
Portfolio Effective Duration
Book Value
Market Value
Percent of
Portfolio WAM YTM
1.17 167 0.31
13.48 21 0.14
14.19 989 0.90
2.35 150 0.16
2.62 178 0.17
5.73 513 0.38
1.36 81 0.15
21.68 401 0.54
1.90 123 0.12
12.44 851 0.86
4.50 1 0.09
14.09 23 0.14
0.31 1 0.02
4.18 780 1.64
100.00 415 0.50
100.00 399 0.49
0.780 years
Current Par/
Share
64,811,000
745,000,000
779,130,000
130,000,000
145,000,000
316,489,000
75,000,000
1,194,270,000
105,000,000
683,187,000
248,675,000
778,330,000
17,126,725
227,000,000
5,509,018,725
5,819,769,439
16 0.01 (310,750,714)
September
Retum Annualized
0.041% 0.497%
0.041% 0.496%
Fiscal Year
To Date
Retum
0.132%
0.130%
Current
Book
64,811,000
744,943,876
783,895,337
129,912,878
144,872,042
316,429,655
74,973,667
1,197,891,059
104,957,300
687,106,079
248,675,000
778,330,000
17,126,725
230,825,257
5,524,749,875
Market
Price
1.000
1.000
1.012
0.999
0.999
1.001
0.999
1.008
1.000
1.012
1.000
1.000
1.000
1.036
1.010
5,835,619,256 1.010
(310,869,381) 0.000
Annualized
0.522%
0.515%
Calendar Year
To Date
Return
0.372%
0.347%
Market
Value
64,811,000
744,853,145
788,759,579
129,887,250
144,789,430
316,683,590
74,941,700
1,203,403,085
104,948,760
691,388,434
248,780,105
778,305,691
17,126,725
235,187,540
5,543,866,034
5,855,630,051
(311,764,017)
Annualized
0.495%
0.462%
Current
Accr Int
3,071
0
3,106,807
0
0
245,040
0
1,838,819
0
2,427,420
14,814
109,782
29
1,250,767
8,996,548
Yield to
Worst
0.31
0.14
0.84
0.16
0.17
0.38
0.15
0.53
0.12
0.85
0.09
0.14
0.02
1.64
0.49
9,125,138 0.48
(128,590) 0.01
Note
Yield to maturity (YTM) is the estimated rate of return on a bond given its purchase price, assuming all coupon payments are made on a timely basis and reinvested at this same rate of return to the maturity date.
Yield to call (YTC) is the estimated rate of return on a bond given its purchase price, assuming all coupon payments are made on a timely basis and reinvested at this same rate of return to the call date.
Yield to worst (YTW) is the lesser of yield to maturity or yield to call, reflecting the optionality of the bond issuer.
Yields for the portfolio are aggregated based on the book value of each security.
Unrealized
Gain/Loss
$0
($90,731)
$4,864,243
($25,628)
($82,612)
$253,934
($31,967)
$5,512,025
($8,540)
$4,282,354
$105,105
($24,309)
$o
$4,362,283
19,116,159
20,010,795
(894,636)
COUNTY OF SAN DIEGO TREASURER - TAX COLLECTOR
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