Portfolio Characteristics CMO, 3% AID, 2% MBS, 1% Federal Agency Colotrust, 4% 21.0% 11.8% 8.1% 7.4% 4.
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1 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, ,242, ,410,910 33% 33% 1, Treasuries AA+/Aaa 458,385, ,119, ,848,586 21% 21% 1, Corporate Bonds AA/A1 394,219, ,775, ,480,453 18% 18% 1, Asset Backed Securities AAA/Aaa 141,257, ,814, ,175,176 6% 6% 1, Supranational AAA/Aaa 123,691, ,130, ,738,713 6% 6% 1, Municipal Bonds AAA/Aaa 83,620,000 84,351,230 84,579,927 4% 4% 1, Colotrust LGIP AA+/Aaa 80,875,746 80,875,746 80,875,746 4% 4% 1 CMO Securities AAA/Aaa 66,385,387 66,834,092 67,871,986 3% 3% 1,897 AID Agency AAA/Aaa 47,000,000 48,562,800 47,719,119 2% 2% 1, Mortgage Backed Securities AAA/Aaa 31,777,317 32,160,848 32,561,379 1% 1% 2, Federal Agency Discounts AA+/Aaa 15,123,000 13,960,102 14,163,576 1% 1% 1, CSAFE LGIP AA+/Aaa 2,150,975,991 2,181,959,447 2,179,556,906 1% 1% 100.0% 1 1,092 Portfolio Characteristics CMO, 3% AID, 2% MBS, 1% Federal Agency Duration Colotrust, 4% Discounts, 1% Average Daily Balance $ 2,160,286,118 39% #REF! #REF! Muni, 4% YTD Earnings $ 34,773,337 Supra, 6% 7% Current Rate of Return Effective Ra 1.57% 3% #REF! #REF! 33% ABS, 6% #REF! #REF! Government of the United States Federal Home Loan Bank Federal Home Loan Mtg Corp. Federal Nat'l Mtg Assoc Tennessee Valley Authority 21.0% 11.8% 8.1% 7.4% 4.9% Corporates, 18% % 1.39% 1.37% 1.35% 1.52% 1.32% 1.33% 1.39% 1.47% 1.55% 1.86% 1.57% % 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% % % 1.36% 0.97% 1.28% 1.35% 1.20% % 1.88% 1.31% 1.56% 1.51% Treasuries, 21%
2 Asset Allocation Federal Agency AA+/Aaa 164,523, ,457, ,346,292 39% 40% 1, Treasuries AA+/Aaa 103,145, ,295, ,281,051 24% 24% 1, Corporate Bonds AA/A1 72,842,000 74,263,794 74,336, Asset Backed Securities AAA/Aaa 29,458,870 29,571,745 29,713,204 7% 7% 1, Supranational AAA/Aaa 14,890,000 14,804,070 14,928,078 3% 3% 1, Mortgage Backed Securities AAA/Aaa 11,609,345 11,770,749 11,901,144 3% 3% 2,536 CMO Securities AAA/Aaa 10,680,000 10,751,056 10,912,738 3% 3% 2, Municipal Bonds AAA/Aaa 9,650,000 9,628,950 9,689,445 2% 2% 2, AID Agency AAA/Aaa 4,000,000 4,785,600 4,597,364 1% 1% 2, ,798, ,328, ,705,347 1, Portfolio Characteristics Supra, 3% AID Agency, 1% Muni, 2% Duration 3.53 MBS, 3% Average Daily Balance $ 424,280,480 CMO's, 3% 39% YTD Earnings Current Ye $ 8,939,528 7% Current Rate of Return Effective R 2.36% ABS, 7% 3% 40% Corporates, Government of the United States 21.9% Federal Home Loan Bank 18.0% Treasuries, 24% Federal Nat'l Mtg Assoc 9.5% Tenn Valley Authority 8.2% Federal Home Loan Mtg Corp. 5.5% City and County of Denver's Reserve Portfolio Characterisitics and Statistics % % 2.34% 2.01% 2.02% 1.94% 2.12% 2.12% 2.10% 2.28% 2.36% % 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% 3.87% 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 Cableland Portfolio Characterisitics and Statistics Asset Allocation Municipal Bonds AA/Aa3 3,185,000 3,386,514 3,096,509 89% 89% 6, Federal Agency AA+/Aaa 475, , ,392 11% 6, ,660,000 3,823,609 3,495,901 6, Portfolio Characteristics 11% Duration 2.77 #REF! Average Daily Balance $ 3,495,543 39% #REF! YTD Earnings Current Y $ 194,748 7% #REF! Current Rate of Return Effective 5.47% 3% Muni, 89% #REF! Durham, NC COPs State of Georgia Federal National Mortgage Association 70.8% 17.8% 11.4% % 6.07% 5.48% 5.66% 5.47% 5.66% 5.47% 5.47% 5.47% 5.47% 5.65% 5.47% % 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%
4 City and County of Denver's FAA Escrow Portfolio Characterisitics and Statistics Asset Allocation Federal Agency AA+/Aaa 36,530,000 47,951,757 36,566,911 92% 91% 3, Federal Agency Discounts AA+/Aaa 4,419,000 3,354,300 3,106,009 8% 8% 3, Tennessee Valley Authority AA+/Aaa 111,000 80,930 76,557 0% 1% 3, ,060,000 51,386,987 39,749,477 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 $ 39,743,798 39% #REF! YTD Earnings Current Y $ 2,593,135 7% #REF! Current Rate of Return Effective 6.41% 3% #REF! 91% % 7.08% 6.43% 6.63% 6.42% 6.62% 6.42% 6.42% 6.41% 6.41% 6.61% 6.41% % 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%
5 Asset Allocation City and County of Denver's Workers Compensation Portfolio Characterisitics and Statistics Treasuries AA+/Aaa 9,160,000 9,303,216 9,155,548 24% 24% Federal Agency AA+/Aaa 7,500,000 8,007,250 7,759,935 21% 21% 3, Municipal Bonds AAA/Aaa 7,610,000 8,321,999 7,609,350 20% 20% 5, Corporate Bonds AA/A1 6,250,000 6,369,950 6,395,284 1, CMO Securities AAA/Aaa 3,544,885 3,572,606 3,639,291 10% 10% 4, Supranational AAA/Aaa 1,500,000 2,065,200 1,959,096 5% 5% 4, Asset Backed Securities AAA/Aaa 1,000,000 1,044,200 1,064,609 3% 3% 1, ,564,885 38,684,421 37,583,114 2, Portfolio Characteristics Supra, 5% ABS, 3% CMO, 10% Duration 3.62 #REF! #REF! Average Daily Balance $ 38,133,233 39% Treasuries, % YTD Earnings Current Yea $ 1,186,244 7% Current Rate of Return Effective Ra 3.23% 3% #REF! #REF! Corporates, #REF! #REF! Federal #REF! Agency, #REF! 21% Government of the United States Federal Home Loan Bank Federal Nat'l Mtg Assoc Georgia State Inter Development American Bank 24.4% 13.6% 12.7% 9.0% 5.2% Muni, 20% % 3.63% 3.10% 3.16% 3.02% 3.11% 2.90% 3.05% 3.23% % 3.23% % 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% % 3.55% 2.77% 4.01% 2.22% 3.47% 2.23% 3.46% 2.21% 3.38% 2.35% 3.99% 2.30% 3.50% 2.31% 3.59% 2.36% 5.30% 2.34% 3.53% 2.43% 3.56% 2.27% 3.59%
6 City and County of Denver's Aggregate Portfolio Summary Asset Allocation Consolidated Portfolio Federal Agency AA+/Aaa 697,511, ,242, ,410,910 33% 33% 1, Treasuries AA+/Aaa 458,385, ,119, ,848,586 21% 1, Corporate Bonds AA/A1 394,219, ,775, ,480,453 18% 1, Asset Backed Securities AAA/Aaa 141,257, ,814, ,175,176 10% 6% 1, Supranational AAA/Aaa 123,691, ,130, ,738,713 6% 6% 1, Municipal Bonds AAA/Aaa 83,620,000 84,351,230 84,579,927 5% 4% 1, Colotrust LGIP AA+/Aaa 80,875,746 80,875,746 80,875,746 3% 4% 1 CMO Securities AAA/Aaa 66,385,387 66,834,092 67,871,986 3% 3% 1,897 AID Agency AAA/Aaa 47,000,000 48,562,800 47,719,119 3% 2% 1, Mortgage Backed Securities AAA/Aaa 31,777,317 32,160,848 32,561,379 2% 1% 2, Federal Agency Discounts AA+/Aaa 15,123,000 13,960,102 14,163,576 1% 1, CSAFE LGIP AA+/Aaa 2,150,975,991 2,181,959,447 2,179,556,906 1% 1% 100.0% 1 1,092 Asset Allocation Reserve Portfolio Federal Agency AA+/Aaa 164,523, ,457, ,346,292 39% 40% 1, Treasuries AA+/Aaa 103,145, ,295, ,281,051 24% 24% 1, Corporate Bonds AA/A1 72,842,000 74,263,794 74,336, Asset Backed Securities AAA/Aaa 29,458,870 29,571,745 29,713,204 7% 7% 1, Supranational AAA/Aaa 14,890,000 14,804,070 14,928,078 3% 3% 1, Mortgage Backed Securities AAA/Aaa 11,609,345 11,770,749 11,901,144 44% 3% 2,536 CMO Securities AAA/Aaa 10,680,000 10,751,056 10,912,738 1% 3% 2, Municipal Bonds AAA/Aaa 9,650,000 9,628,950 9,689,445 1% 2% 2, AID Agency AAA/Aaa 4,000, ,798,216 4,785, ,328,488 4,597, ,705,347 1% 1% 2,817 1, Asset Allocation ABS Defeasance Portfolio State & Local Govt. Series Sec* *The entire balance of the ABS Defeasance portfolio matured on November 15th, 2015 and paid off all outstanding bonds. Asset Allocation Cableland Portfolio Municipal Bonds AA/Aa3 3,185,000 3,386,514 3,096,509 89% 6, Federal Agency AA+/Aaa 475,000 3,660, ,095 3,823, ,392 3,495,901 11% 6,352 6, Asset Allocation FAA Defeasance Portfolio Federal Agency AA+/Aaa 36,530,000 47,951,757 36,566,911 91% 3, Federal Agency Discounts AA+/Aaa 4,419,000 3,354,300 3,106,009 8% 3, Tennessee Valley Authority AA+/Aaa 111,000 41,060,000 80,930 51,386,987 76,557 39,749,477 1% 3,592 3, Asset Allocation Worker's Compensation Portfolio Treasuries AA+/Aaa 9,160,000 9,303,216 9,155,548 24% Federal Agency AA+/Aaa 7,500,000 8,007,250 7,759,935 21% 3, Municipal Bonds AAA/Aaa 7,610,000 8,321,999 7,609,350 20% 5, Corporate Bonds AA/A1 6,250,000 6,369,950 6,395,284 1, CMO Securities AAA/Aaa 3,544,885 3,572,606 3,639,291 10% 4, Supranational AAA/Aaa 1,500,000 2,065,200 1,959,096 5% 4, Asset Backed Securities AAA/Aaa 1,000,000 36,564,885 1,044,200 38,684,421 1,064,609 37,583,114 3% 1,200 2, Aggregate Total 2,653,059,092 2,709,182,951 2,688,090,746
Mortgage Backed Securities AAA/Aaa 25,516,179 2,372,882,533
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 772,219,000 810,628,126 796,493,865
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