Mortgage Backed Securities AAA/Aaa 25,516,179 2,372,882,533
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1 City and County of Denver's Consolidated Portfolio Characterisitics and Statistics Investments Rating Par Value Market Value Book Value % of Portfolio Federal Agency AA+/Aaa 772,219, ,628, ,493,865 33% 33% Treasuries AA+/Aaa 422,450, ,188, ,578,226 1, Corporate Bonds AA/A1 395,220, ,580, ,073,571 1, Discount Commercial Paper A 1/P 1 249,970, ,779, ,773,940 10% 10% Asset Backed Securities AAA/Aaa 149,885, ,977, ,823,143 6% 6% 1, Supranationals AAA/Aaa 109,931, ,834, ,235,820 5% 5% 1, Municipal Bonds AAA/Aaa 76,640,000 78,299,097 77,674,925 3% 3% 1, Collateralized Mtge Obligations AAA/Aaa 61,390,450 63,032,656 62,902,287 3% 3% 2, Local Govt Investment Pools AA+/Aaa 62,660,664 62,660,664 62,660,664 3% 3% 1 AID Agency AAA/Aaa 47,000,000 49,309,570 47,729,968 2% 2% 1, Mortgage Backed Securities AAA/Aaa 25,516,179 2,372,882,533 26,390,105 2,433,680,761 26,336,164 2,410,282,573 1% 1% 100.0% 2, Portfolio Characteristics Municipal Bonds, CMO LGIP's, AID Agency, 2% MBS's, 1% Duration % s, 3% 3% Average Daily Balance $ 2,402,543,261 40% #REF! #REF! Supra's, 5% YTD Earnings $ 25,199,053 7% Current Rate of Return Effective Ra 1.47% ABS's, 6% 2% #REF! #REF! 33% Top 5 Issuers #REF! #REF! Government of the United States Federal Home Loan Mtg Corp. Federal Home Loan Bank Federal Nat'l Mtg Assoc Tennessee Valley Authority 17.5% 11.3% 9.7% 6.6% 4.3% Commerical Paper, 10% Corporate Bonds, % 1.39% 1.37% 1.35% 1.52% 1.32% 1.33% 1.39% 1.47% % 1.19% 1.14% 1.12% 1.10% 1.14% 1.12% 1.16% 1.25% 1.19% 1.33% 1.37% % 1.36% 1.23% 1.12% 1.07% 1.04% 0.92% 0.88% 0.95% 0.98% 1.16% 1.14% % 1.66% 1.44% 1.48% 1.57% % 1.39% 1.37% 1.16% 1.24% 1.18% % 1.49% 1.36% 0.97% 1.28% 1.35% 1.20% 1.49% 1.88% 1.31% 1.56% 1.51% Treasuries,
2 Federal Agency AA+/Aaa 162,908, ,817, ,147,456 40% 40% 1, Treasuries AA+/Aaa 100,645, ,868, ,897,154 24% 24% 1, Corporate Bonds AA/A1 67,342,000 69,257,587 68,998, Asset Backed Securities AAA/Aaa 29,550,000 29,799,927 29,804,152 7% 7% 1, Collateralized Mtge Obligations AAA/Aaa 10,680,000 11,004,691 10,912,738 3% 3% 2, Mortgage Backed Securities AAA/Aaa 9,619,459 9,959,088 9,935,954 2% 2% 2, Supranationals AAA/Aaa 9,500,000 9,602,182 9,544,554 2% 2% 2, Municipal Bonds AAA/Aaa 7,250,000 7,324,880 7,293,654 2% 2% 2, AID Agency AAA/Aaa 4,000,000 4,906,040 4,616,724 1% 1% 2, Local Govt Investment Pools AAA/Aaa 4,054,619 4,054,619 4,054,619 1% 1% 1 Discount Commercial Paper A 1/P 1 2,975,000 2,974,354 2,974,355 1% 1% ,524, ,569, ,180,278 1, Portfolio Characteristics Supra's, 2% AID Agency, 1% LGIP's, 1% Commercial 89.5 Muni's, 2% Duration 3.58 MBS's, 2% Paper, 1% Average Daily Balance $ 416,649,958 CMO's, 3% 40% YTD Earnings Current Ye $ 6,567,553 7% Current Rate of Return Effective R 2.12% ABS's, 7% 2% 40% Corporate Top 5 Issuers Bonds, Government of the United States 21.9% Federal Home Loan Bank 17.8% Treasuries, 24% Federal Nat'l Mtg Assoc 9.0% Tenn Valley Authority 8.4% Federal Home Loan Mtg Corp. 5.6% City and County of Denver's Reserve Portfolio Characterisitics and Statistics % % 2.34% 2.01% 2.02% 1.94% 2.12% 2.12% % 2.01% 1.84% 1.89% 1.94% 2.20% 1.92% 2.42% 2.23% 1.86% 1.93% 2.66% % 2.13% 2.61% 2.38% 2.74% 1.92% 2.25% 1.83% 1.54% 1.87% 2.42% 3.26% % 2.58% 2.97% 2.37% 2.30% 3.42% 2.23% % 2.31% 2.45% 2.30% 2.11% % 3.34% % 3.03% 3.83% 7.71% 6.40% 4.05% 4.49% 2.69% 3.26%
3 City and County of Denver's ABS Defeasance Portfolio Characterisitics and Statistics State & Local Govt. Series Securities AA+/Aaa Portfolio Characteristics #REF! 45 #REF! 0 Duration 0.12 #REF! #REF! Average Daily Balance $ 40% #REF! #REF! State & Local YTD Earnings Current Year $ 93,227 7% #REF! #REF! Government Current Rate of Return Effective Rat 3.84% Series 2% Securities #REF! #REF! Top 5 Issuers #REF! #REF! Municipals 100.0% % 3.90% 3.90% 3.90% % 3.84% 3.84% 3.84% 3.84% % 3.90% 3.90% 3.90% % 3.84% 3.84% 3.84% 3.84% 3.84% % 3.90% % 4.18% 4.12% 4.13% 4.09% 4.08% 4.06% 4.05% 4.05% 4.03% 4.02% 3.90% % 4.44% 4.33% 4.37% 4.31% 4.35% 4.29% 4.29% 4.32% 4.27% 4.24% 4.15% % 4.76% 4.43% 4.53% 4.43% 4.52% 4.42% 4.42% 4.52% 4.41% 4.48% 4.36%
4 City and County of Denver's Cableland Portfolio Characterisitics and Statistics Municipal Bonds AA/Aa3 3,185,000 3,440,418 3,095,294 89% 89% 6, Federal Agency AA+/Aaa 475, , ,305 11% 6, ,660,000 3,887,639 3,493,599 6, Portfolio Characteristics 11% Duration 4.29 #REF! Average Daily Balance $ 3,493,228 40% #REF! YTD Earnings Current Y $ 146,061 7% #REF! Current Rate of Return Effective 5.65% 2% Top 5 Issuers Municipal Bonds, #REF! Durham, NC COPs State of Georgia Federal National Mortgage Association 70.8% 17.8% 11.4% 89% % 6.07% 5.48% 5.66% 5.47% 5.66% 5.47% 5.47% 5.65% % 6.08% 5.49% 5.67% 5.49% 5.67% 5.49% 5.49% 5.67% 5.48% 5.66% 5.48% % 6.55% 5.92% 6.11% 5.92% 6.11% 5.92% 5.92% 6.11% 5.91% 4.28% 5.50% % 6.33% 5.92% 6.12% 5.92% 6.12% 5.92% 5.90% 5.83% 5.64% 5.83% 5.77% % 6.32% 5.71% 5.89% 5.70% 5.78% 5.55% 5.55% 5.73% 5.54% 5.73% 5.44%
5 City and County of Denver's FAA Escrow Portfolio Characterisitics and Statistics Federal Agency AA+/Aaa 36,641,000 49,195,782 36,643,538 92% 91% 3, Federal Agency Discounts AA+/Aaa 4,308,000 3,329,980 2,995,433 8% 8% 3, Tennessee Valley Authority AA+/Aaa 111,000 82,482 75,675 0% 1% 3, ,060,000 52,608,244 39,714,646 3, Federal National Mortgage Association Tennessee Valley Authority 99.0% 1.0% Portfolio Characteristics Federal Agency Tennessee Valley Discounts, 8% Authority, 1% Duration Average Daily Balance $ 39,709,156 40% #REF! YTD Earnings Current Y $ 1,944,567 7% #REF! Current Rate of Return Effective 6.62% 2% Top 5 Issuers #REF! 91% % 7.08% 6.43% 6.63% 6.42% 6.62% 6.42% 6.42% 6.62% % 7.10% 6.45% 6.65% 6.44% 6.65% 6.44% 6.44% 6.64% 6.43% 6.64% 6.43% % 7.12% 6.46% 6.66% 6.46% 6.66% 6.45% 6.45% 6.66% 6.45% 6.37% 6.45% % 6.90% 6.47% 6.68% 6.47% 6.67% 6.46% 6.46% 6.67% 6.46% 6.67% 6.46% % 7.11% 6.45% 6.66% 6.45% 6.65% 6.45% 6.45% 6.68% 6.47% 6.68% 6.47%
6 Treasuries AA+/Aaa 9,160,000 9,404,294 9,153,793 23% 23% Municipal Bonds AA+/A1 7,610,000 8,492,338 7,609,434 20% 20% 5, Federal Agency AA+/Aaa 7,500,000 8,127,773 7,801,947 20% 20% 3, Corporate Bonds AA/A1 6,250,000 6,420,963 6,420,146 16% 16% 1, CMO Securities AA+/Aaa 3,714,855 3,804,302 3,811,379 10% 10% 4, Supranational AA+/A1 1,500,000 2,121,599 1,969,043 5% 5% 4, Local Govt Investment Pools AAA/Aaa 1,130,494 1,130,494 1,130,494 3% 3% 1 Asset Backed Securities AA+/Aa2 1,000,000 1,058,884 1,064,609 3% 3% 1, ,865,349 40,560,647 38,960,845 2, Portfolio Characteristics LGIP's, 3% ABS's, 3% Supra's, 5% Duration Average Daily Balance $ 40,065,548 CMO's, 10% 40% Treasuries, 23% YTD Earnings Current Yea $ 873,051 7% Current Rate of Return Effective Ra 3.14% 2% Corporate Bonds, 16% Municipal Top 5 Issuers Bonds, % 3.15 Government of the United States Federal Home Loan Bank Federal Nat'l Mtg Assoc Georgia State Inter Development American Bank City and County of Denver's Workers Compensation Portfolio Characterisitics and Statistics 23.5% 13.2% 12.7% 8.7% 5.1% 20% % 3.63% 3.10% 3.16% 3.02% 3.11% 2.90% 3.05% 3.14% % 3.33% 3.36% % 2.99% 2.98% 2.99% 3.03% 2.97% 3.13% 3.08% % 2.66% 2.18% 2.24% 2.20% 2.21% 2.39% 2.60% 2.73% 2.65% 2.92% 2.91% % 2.77% 2.22% 2.23% 2.21% 2.35% 2.30% 2.31% 2.36% 2.34% 2.43% 2.27% % 4.64% 2.56% 2.27% 2.31% 2.39% 2.39% 2.39% 2.48% 2.49% 2.58% 2.57%
7 City and County of Denver's Aggregate Portfolio Summary Consolidated Portfolio Federal Agency AA+/Aaa 772,219, ,628, ,493,865 33% 33% Treasuries AA+/Aaa 422,450, ,188, ,578,226 1, Corporate Bonds AA/A1 395,220, ,580, ,073,571 1, Discount Commercial Paper A 1/P 1 249,970, ,779, ,773,940 10% 10% Asset Backed Securities AAA/Aaa 149,885, ,977, ,823,143 6% 6% 1, Supranationals AAA/Aaa 109,931, ,834, ,235,820 5% 5% 1, Municipal Bonds AAA/Aaa 76,640,000 78,299,097 77,674,925 3% 3% 1, Collateralized Mtge Obligations AAA/Aaa 61,390,450 63,032,656 62,902,287 3% 3% 2, Local Govt Investment Pools AA+/Aaa 62,660,664 62,660,664 62,660,664 3% 3% 1 AID Agency AAA/Aaa 47,000,000 49,309,570 47,729,968 2% 2% 1, Mortgage Backed Securities AAA/Aaa 25,516,179 2,372,882,533 26,390,105 2,433,680,761 26,336,164 2,410,282,573 1% 1% 100.0% 2, Reserve Portfolio Federal Agency AA+/Aaa 162,908, ,817, ,147,456 40% 40% 1, Treasuries AA+/Aaa 100,645, ,868, ,897,154 24% 24% 1, Corporate Bonds AA/A1 67,342,000 69,257,587 68,998, Asset Backed Securities AAA/Aaa 29,550,000 29,799,927 29,804,152 7% 7% 1, Collateralized Mtge Obligations AAA/Aaa 10,680,000 11,004,691 10,912,738 3% 3% 2, Mortgage Backed Securities AAA/Aaa 9,619,459 9,959,088 9,935,954 44% 2% 2, Supranationals AAA/Aaa 9,500,000 9,602,182 9,544,554 1% 2% 2, Municipal Bonds AAA/Aaa 7,250,000 7,324,880 7,293,654 1% 2% 2, AID Agency AAA/Aaa 4,000,000 4,906,040 4,616,724 1% 1% 2, Local Govt Investment Pools AAA/Aaa 4,054,619 4,054,619 4,054,619 1% 1 Discount Commercial Paper A 1/P 1 2,975, ,524,078 2,974, ,569,654 2,974, ,180,278 1% 1% 26 1, ABS Defeasance Portfolio State & Local Govt. Series Sec AA+/Aaa Cableland Portfolio Municipal Bonds AA/Aa3 3,185,000 3,440,418 3,095,294 89% 6, Federal Agency AA+/Aaa 475,000 3,660, ,221 3,887, ,305 3,493,599 11% 6,444 6, FAA Defeasance Portfolio Federal Agency AA+/Aaa 36,641,000 49,195,782 36,643,538 91% 3, Federal Agency Discounts AA+/Aaa 4,308,000 3,329,980 2,995,433 8% 3, Tennessee Valley Authority AA+/Aaa 111,000 41,060,000 82,482 52,608,244 75,675 39,714,646 1% 3,684 3, Worker's Compensation Portfolio Treasuries AA+/Aaa 9,160,000 9,404,294 9,153,793 23% Municipal Bonds AA+/A1 7,610,000 8,492,338 7,609,434 20% 5, Federal Agency AA+/Aaa 7,500,000 8,127,773 7,801,947 20% 3, Corporate Bonds AA/A1 6,250,000 6,420,963 6,420,146 16% 1, CMO Securities AA+/Aaa 3,714,855 3,804,302 3,811,379 10% 4, Supranational AA+/A1 1,500,000 2,121,599 1,969,043 5% 4, Local Govt Investment Pools AAA/Aaa 1,130,494 1,130,494 1,130,494 3% 1 Asset Backed Securities AA+/Aa2 1,000,000 37,865,349 1,058,884 40,560,647 1,064,609 38,960,845 3% 1,292 2, Aggregate Total 2,867,204,570 2,961,519,555 2,911,844,551
Portfolio Characteristics CMO, 3% AID, 2% MBS, 1% Federal Agency Colotrust, 4% 21.0% 11.8% 8.1% 7.4% 4.
City and County of Denver's Consolidated Portfolio Characterisitics and Statistics Asset Allocation Investments Rating Par Value Market Value Book Value % of Portfolio Federal Agency AA+/Aaa 697,511,000
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