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Net Rate of Return
Maturity Structure-
Cumulative Maturity Structure
| Investment Type | Average Balance Sep-11 |
Sep-11 Percentage | Average Balance CY 2011 |
CY 2011 Percentage |
|---|---|---|---|---|
| Agency Callables | 25,000,000.00 | 0.26% | 19,597,069.60 | 0.22% |
| Repurchase Agreements | 2,998,084,766.67 | 31.76% | 1,784,471,366.29 | 19.74% |
| Reverse Repo Agreements | 0.00 | 0.00% | (59,154,853.48) | -0.65% |
| Treasury Securities | 768,341,348.74 | 8.14% | 1,348,645,703.14 | 14.92% |
| Agency Coupons | 142,015,606.80 | 1.50% | 390,119,391.26 | 4.32% |
| IB Bank Deposit | 602,985,636.73 | 6.39% | 656,364,262.48 | 7.26% |
| NOW Accounts | 115,490,788.52 | 1.22% | 109,204,944.47 | 1.21% |
| Agency Floating Rate Notes | 1,358,907,992.66 | 14.40% | 1,209,522,628.97 | 13.38% |
| Agency Variable Rate Notes | 620,562,249.04 | 6.57% | 310,903,165.12 | 3.44% |
| Discount Notes | 2,720,397,810.78 | 28.82% | 3,165,415,535.02 | 35.01% |
| Certificates of Deposit | 87,815,000.00 | 0.93% | 105,765,915.75 | 1.17% |
| Commercial Paper | 0.00 | 0.00% | 0.00 | 0.00% |
| Total Avg Daily Balance | 9,439,601,199.94 | 100.00% | 9,040,855,128.62 | 100.00% |
| Avg Days to Maturity | 39 days |
| Days to Maturity | $ Maturing (Par Value) |
% Maturing | Cumulative % Maturing |
|---|---|---|---|
| 1 | 881.80 | 9.7% | 9.7% |
| 2-30 | 3,290.74 | 36.3% | 46.0% |
| 31-60 | 525.00 | 5.8% | 51.8% |
| 61-90 | 860.00 | 9.5% | 61.3% |
| 91-120 | 312.82 | 3.4% | 64.7% |
| 121-180 | 1,090.00 | 12.0% | 76.7% |
| 181-270 | 0.00 | 0.0% | 76.7% |
| 271-395 | 75.00 | 0.8% | 77.6% |
| Floating Rate Notes | 1,390.00 | 15.3% | 92.9% |
| Variable Rate Notes | 644.00 | 7.1% | 100.0% |
| Portfolio Total: | $9,069.36 |
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