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Net Rate of Return
Maturity Structure-
Cumulative Maturity Structure
| Investment Type | Average Balance Oct-11 |
Oct-11 Percentage | Average Balance CY 2011 |
CY 2011 Percentage |
|---|---|---|---|---|
| Agency Callables | 25,000,000.00 | 0.27% | 20,148,026.32 | 0.22% |
| Repurchase Agreements | 3,631,340,645.15 | 38.65% | 1,972,803,430.90 | 21.73% |
| Reverse Repo Agreements | 0.00 | 0.00% | (53,122,615.13) | -0.59% |
| Treasury Securities | 603,071,920.73 | 6.42% | 1,272,616,880.64 | 14.02% |
| Agency Coupons | 100,008,360.00 | 1.06% | 360,535,678.86 | 3.97% |
| IB Bank Deposit | 561,662,889.46 | 5.98% | 646,707,214.57 | 7.12% |
| NOW Accounts | 115,518,958.50 | 1.23% | 109,848,807.75 | 1.21% |
| Agency Floating Rate Notes | 1,448,309,103.28 | 15.41% | 1,233,872,640.89 | 13.59% |
| Agency Variable Rate Notes | 643,897,546.10 | 6.85% | 344,859,854.24 | 3.80% |
| Discount Notes | 2,179,025,921.97 | 23.19% | 3,064,830,453.66 | 33.76% |
| Certificates of Deposit | 87,815,000.00 | 0.93% | 103,935,394.72 | 1.15% |
| Commercial Paper | 0.00 | 0.00% | 0.00 | 0.00% |
| Total Avg Daily Balance | 9,395,650,345.19 | 100.00% | 9,077,035,767.42 | 100.00% |
| Avg Days to Maturity | 36 days |
| Days to Maturity | $ Maturing (Par Value) |
% Maturing | Cumulative % Maturing |
|---|---|---|---|
| 1 | 1,891.39 | 18.0% | 18.0% |
| 2-30 | 3,025.00 | 28.9% | 46.9% |
| 31-60 | 935.00 | 8.9% | 55.8% |
| 61-90 | 712.82 | 6.8% | 62.6% |
| 91-120 | 575.00 | 5.5% | 68.1% |
| 121-180 | 1,015.00 | 9.7% | 77.8% |
| 181-270 | 50.00 | 0.5% | 78.3% |
| 271-395 | 75.00 | 0.7% | 79.0% |
| Floating Rate Notes | 1,556.56 | 14.9% | 93.9% |
| Variable Rate Notes | 644.00 | 6.1% | 100.0% |
| Portfolio Total: | $10,479.77 |
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