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Net Rate of Return-
Maturity Structure -
Cumulative Maturity Structure
| Investment Type | Average Balance Feb-11 |
Feb-11 Percentage | Average Balance CY 2011 |
CY 2011 Percentage |
|---|---|---|---|---|
| Agency Callables | 0.00 | 0.00% | 0.00 | 0.00% |
| Repurchase Agreements | 1,395,066,678.57 | 16.57% | 1,838,038,949.15 | 21.53% |
| Reverse Repo Agreements | 0.00 | 0.00% | 0.00 | 0.00% |
| Treasury Securities | 1,035,989,767.99 | 12.30% | 954,758,204.69 | 11.19% |
| Agency Coupons | 109,321,989.63 | 1.30% | 166,407,455.04 | 1.95% |
| IB Bank Deposit | 822,170,307.56 | 9.76% | 769,145,942.40 | 9.01% |
| NOW Accounts | 105,291,294.03 | 1.25% | 86,723,376.82 | 1.02% |
| Agency Floating Rate Notes | 1,342,505,908.29 | 15.94% | 1,302,960,365.51 | 15.26% |
| Agency Variable Rate Notes | 564,988,261.84 | 6.71% | 564,989,754.68 | 6.62% |
| Discount Notes | 2,932,619,952.91 | 34.83% | 2,740,344,287.59 | 32.10% |
| Certificates of Deposit | 112,793,571.43 | 1.34% | 112,645,508.47 | 1.32% |
| Commercial Paper | 0.00 | 0.00% | 0.00 | 0.00% |
| Total Avg Daily Balance | 8,420,747,732.25 | 100.00% | 8,536,013,844.35 | 100.00% |
| Avg Days to Maturity | 55 days |
| Days to Maturity | $ Maturing (Par Value) |
% Maturing | Cumulative % Maturing |
|---|---|---|---|
| 1 | 1,295.80 | 15.4% | 15.4% |
| 2-30 | 881.00 | 10.5% | 25.8% |
| 31-60 | 1,292.00 | 15.3% | 41.2% |
| 61-90 | 300.00 | 3.6% | 44.7% |
| 91-120 | 1,125.00 | 13.3% | 58.1% |
| 121-180 | 1,530.37 | 18.2% | 76.2% |
| 181-270 | 100.00 | 1.2% | 77.4% |
| 271-395 | 0.00 | 0.0% | 77.4% |
| Floating Rate Notes | 1,340.00 | 15.9% | 93.3% |
| Variable Rate Notes | 565.00 | 6.7% | 100.0% |
| Portfolio Total: | $8,429.17 |
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