Invesco National Trust Company Annual Report Year Ended December 31, 2009

Transcription

1 Invesco National Trust Company Annual Report Year Ended Institutional Retirement Trust Invesco Stable Value Trust

2 Institutional Retirement Trust- Invesco Stable Value Trust Table of Contents Financial Statements Schedule of Portfolio Investments. 1 Statement of Assets and Liabilities 3 Statement of Operations. 4 Statements of Changes in Net Assets.. 5 Financial Highlights 6 Schedule of Securities Purchased, Sold or Matured.. 7 Notes to Financial Statements. 8 Report of Independent Auditors.. 14

3 Schedule of Portfolio Investments SYNTHETIC GUARANTEED INVESTMENT CONTRACTS (95.5%) Invesco Group Trust for Retirement Savings (94.0%) INVESTMENTS Wrap/GIC Provider Wrap Adjustment Credit Investments Contracts at to Contract Contract Rating (a) Units Cost at Fair Value Fair Value (b) Value Value Invesco Multi-Manager Core Fixed Income Fund ^ Value increased by Bank of America wrap contract # , 4.49% A+ 208,562,394 $210,777,980 $274,443,708 $0 $5,211,112 $279,654,820 Invesco Multi-Manager Core Fixed Income Fund ^ Value increased by Rabobank Nederland wrap contract # INV070301, 4.61% AAA 153,076, ,487, ,430, ,835, ,266,352 Invesco Multi-Manager Intermediate Government/Credit Fund ^ Value increased by State Street Bank wrap contract # , 4.71% AA- 365,557, ,208, ,215,214 0 (18,148,375) 482,066,839 Invesco Stable Value Multi-Manager Intermediate Government/Credit Fund ^ Value increased by Monumental Life wrap contract # MDA-00604TR, 3.97% AA- 959,805, ,805, ,975,702 0 (12,108,320) 467,867,382 Invesco AAA Short-Term Bond Fund ^ Value increased by Bank of America wrap contract # , 3.75% A+ 111,714, ,427, ,666,200 0 (4,072,562) 153,593,638 Invesco AAA Short-Term Bond Fund ^ Value increased by ING Life & Annuity wrap contract # 60079, 3.92% A+ 307,857, ,959, ,488,128 0 (11,048,827) 423,439,301 Invesco Short-Term Bond Fund ^ Value increased by JP Morgan Chase wrap contract # S, 3.96% AA- 244,718, ,375, ,377, ,381 (9,357,842) 336,653,443 Invesco Short-Term Bond Fund ^ Value increased by Pacific Life Insurance wrap contract # G , 3.92% AA- 228,700, ,284, ,770,769 0 (8,414,164) 314,356,605 Total Invesco Group Trust for Retirement Savings wrapped contracts $2,770,326,747 $2,716,368,231 $633,381 $(55,103,232) $2,661,898,380 Continued 1

4 Schedule of Portfolio Investments SYNTHETIC GUARANTEED INVESTMENT CONTRACTS, continued INVESTMENTS Wrap/GIC Provider Units or Wrap Adjustment Credit Principal Investments Contracts at to Contract Contract Rating (a) Amount Cost at Fair Value Fair Value (b) Value Value JP Morgan Chase Bank Contract (1.5%) Government Agencies and Corporate Obligations: US Treasury Note, 1.75% 11/15/11 $40,000,000 $40,648,572 $40,595,564 SSGA Money Market Fund 2,419,268 2,419,268 2,419,268 Value decreased by JP Morgan Chase Bank wrap, contract # T, 0.92% AA- $58,892 Total JP Morgan Chase Bank Contract $43,067,840 $43,014,832 $58,892 $(15,586) $43,058,138 TOTAL SYNTHETIC GUARANTEED INVESTMENT CONTRACTS $2,813,394,587 $2,759,383,063 $692,273 $(55,118,818) $2,704,956,518 SHORT-TERM INVESTMENTS (4.5%) Invesco Short-Term Investment Fund ^ 125,662,489 $125,662,489 $125,662,489 $125,662,489 TOTAL SHORT-TERM INVESTMENTS $125,662,489 $125,662,489 $125,662,489 TOTAL INVESTMENTS $2,939,057,076 $2,885,045,552 $692,273 $(55,118,818) $2,830,619,007 ^ This security is an affiliate of the Trust. See Footnote 3. (a) Represents published Standard & Poor s ratings as of. (b) Issuer ratings are used as inputs to the fair value calculation for wrap contracts. The issuer ratings used for the purpose of these calculations were determined by converting the highest of the three published ratings from Standard & Poor s, Moody s and Fitch as of to the equivalent Standard & Poor s rating. See notes to financial statements. 2

5 Statement of Assets and Liabilities Assets: Investments: Investments in unaffiliated securities, at fair value (cost $43,067,840) $ 43,014,832 Investments in affiliated securities, at fair value (cost $2,895,989,236) 2,842,030,720 Total investments, at fair value (Note 4) 2,885,045,552 Wrap contracts, at fair value 692,273 Interest receivable 31,319 Receivable from units issued 2,959,710 Total Assets 2,888,728,854 Liabilities: Payable for units redeemed 80,515,291 Investment management fees payable 81,460 Other accrued expenses 50,048 Total Liabilities 80,646,799 Net Assets (at fair value) 2,808,082,055 Adjustment from Fair Value to Contract Value (Note 4) (55,118,818) Net Assets (at contract value) (Note 4) $ 2,752,963,237 Trust Units Net Assets (at contract value) $ 2,697,764,256 Units Outstanding (a) 2,697,764,250 Net unit value (at contract value) $ 1.00 Class II Units: Net Assets (at contract value) $ 55,198,981 Units Outstanding (a) 55,198,982 Net unit value (at contract value) $ 1.00 (a) Consists of unlimited number of units authorized and no par value. See notes to financial statements. 3

6 Statement of Operations For the Year Ended Investment Income: Crediting rate income on wrap contracts $ 94,658,930 Income from unaffiliated short-term investment funds 224,652 Income from affiliated short-term investment funds 305,516 Total Investment Income 95,189,098 Expenses: Wrapper fees 3,079,312 Accounting fees 26,250 Professional fees 20,135 Custodian fees 18,957 Transfer agent fees 79,105 Management fees - Class II 521,766 Total Expenses 3,745,525 Net Investment Income/ Change in Net Assets Resulting from Operations $ 91,443,573 See notes to financial statements. 4

7 Statements of Changes in Net Assets Year Ended Year Ended December 31, 2008 Net Assets (at contract value), Beginning of Year $ 3,239,788,763 $ 5,622,490,010 Operations: Net investment income 91,443, ,778,214 Change in net assets resulting from operations 91,443, ,778,214 Dividends to Trust Unitholders: From net investment income (90,102,746) (130,834,104) Dividends to Class II Unitholders: From net investment income (1,340,827) (1,944,110) Change in net assets from dividends to unitholders (91,443,573) (132,778,214) Capital Transactions to Trust Unitholders Proceeds from units issued 984,005,901 1,367,391,592 Dividends reinvested 90,101, ,800,494 Cost of units redeemed (1,551,238,402) (3,866,761,297) Total Trust Class Units (477,131,405) (2,368,569,211) Capital Transactions to Class II Unitholders Proceeds from units issued 18,603,633 33,164,717 Dividends reinvested 1,339,891 1,942,296 Cost of units redeemed (29,637,645) (49,239,049) Total Class II Units (9,694,121) (14,132,036) Change in net assets from capital transactions (486,825,526) (2,382,701,247) Change in net assets (486,825,526) (2,382,701,247) Net Assets (at contract value), End of Year $ 2,752,963,237 $ 3,239,788,763 Unit Transactions to Trust Unitholders Issued 984,005,901 1,367,391,586 Reinvested 90,101, ,800,494 Redeemed (1,551,238,402) (3,866,761,297) Total Trust Class Units (477,131,405) (2,368,569,217) Unit Transactions to Class II Unitholders Issued 18,603,633 33,164,717 Reinvested 1,339,891 1,942,296 Redeemed (29,637,645) (49,239,048) Total Class II Units (9,694,121) (14,132,035) See notes to financial statements. 5

8 Institutional Retirement Trust Financial Highlights Per Unit Operating Performance (for a unit outstanding throughout the period) : Change in Net Unit Value Less Resulting from Operations Dividends from: Ratios (to average net assets) _ Net Unit Value, Beginning of Period Net Investment Income Total from Investment Activities Net Investment Income Total Dividends Net Unit Value, End of Period Total Return Expenses Expenses, Excluding Wrapper Fees Net Investment Income Invesco Stable Value Trust Trust Units: Year Ended $ (a) 0.03 (0.03) (0.03) $ % 0.11% % (b) 2.93% Year Ended December 31, 2008 $ (a) 0.04 (0.04) (0.04) $ % 0.08% % (b) 3.80% Class II Units: Year Ended $ (a) 0.02 (0.02) (0.02) $ % 0.96% 0.85% 2.08% Year Ended December 31, 2008 $ (a) 0.03 (0.03) (0.03) $ % 0.93% 0.85% 2.93% (a) Per unit amounts are based on average daily units outstanding. (b) Amount represents less than 0.005%. See notes to financial statements. 6

9 Schedule of Securities Purchased, Sold or Matured For the Year Ended Cost of Shares or Principal Amount Purchased: Short-Term Investments $ 1,089,939,367 Sales/Maturity Proceeds:* $ 1,089,939,367 Investment Contract s $ 518,278,472 Short-Term Investments 1,073,304,617 $ 1,591,583,089 See Footnote 2(D). *Cost and Proceeds are the same and thus, no realized gain/loss. See notes to financial statements. 7

10 Notes to Financial Statements (1) Description of the Trust Invesco Stable Value Trust (the Trust ) is a collective trust fund in the Institutional Retirement Trust ( IRT ). IRT is a Collective Trust of Invesco National Trust Company for Participating Pensions and Profit Sharing Trusts, established by Invesco National Trust Company (the Company ), for the investment and reinvestment of funds contributed by the Company in its capacity as a fiduciary for pension and profit sharing trusts. As of, IRT consisted of twenty-five collective trust funds. This annual report includes the Invesco Stable Value Trust. The remaining twenty-four collective trust funds are included in separate reports. The Trust s primary investment objectives are to provide preservation of principal, maintain a stable interest rate, and provide daily liquidity at contract value for participant withdrawals and transfers. (2) Summary of Significant Accounting Policies The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. The Trust accounts for investment contracts in accordance with ASC (formerly, FASB Staff Position (FSP) No. AAG INV-a, Reporting of Fully Benefit-Responsive Investment Contracts Held by Certain Investment Companies Subject to the AICPA Investment Company Guide and Defined-Contributions Health and Welfare and Pension Plans), which limits the circumstances in which the net assets of an investment company will be able to reflect the contract value of wrapper agreements and provides guidance with respect to the financial statement presentation and disclosure of fully benefitresponsive investment contracts. Under IRT s Declaration of Trust, the Company is indemnified against certain liabilities arising out of the performance of its duties to IRT. In addition, in the normal course of business, the Company, as trustee for IRT, enters into contracts with its vendors and others that provide general indemnifications. The Trust s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust. However, based on experience, the Trust expects the risk of loss to be remote. A. SECURITIES VALUATION The Trust holds synthetic guaranteed investment contracts ( synthetic GICs ). Synthetic GICs are portfolios of securities (debt securities or units of collective trusts) owned by the Trust with wrap contracts associated with the portfolios. The value of debt securities and units of collective trusts are described below. The fair value of wrap contracts is determined by the Company based on the change in the present value of the contract s replacement cost. Investment contracts have elements of risk due to lack of a secondary market and resale restrictions resulting in the inability of the Trust to sell a contract. In addition, investment contracts may be subject to credit risk based on the ability of the insurance company or bank to meet interest or principal payments, or both, as they become due (see Note 5). Short-term securities are stated at amortized cost (which approximates market value) if maturity is 60 days or less at the time of purchase, or at market value if maturity is greater than 60 days. Investments in units of affiliated (see Note 4) and unaffiliated collective trusts are valued at the respective net asset values as reported by such Trusts. Debt securities are valued on the basis of valuations provided by an independent pricing service approved by the Company. If valuations are not available from such pricing services, valuations are obtained from dealers making a market for such securities. 8

11 Notes to Financial Statements (2) Summary of Significant Accounting Policies, continued A. SECURITIES VALUATION, continued The Trust categorizes its investments using a three-tier fair value hierarchy that is dependent upon the various "inputs" used to determine the value of the Trusts' investments. These inputs are summarized in the three broad levels listed below: Level 1 quoted prices in active markets for identical assets Level 2 other significant observable inputs (including quoted prices of similar securities, interest rates, prepayment speeds, credit risk, etc.) Level 3 significant unobservable inputs (including the Trust s own assumptions in determining the fair value of investments where there is little, if any, market activity for the investment) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, short-term debt securities maturing in sixty days or less are generally valued at amortized cost. Generally, amortized cost approximates the current fair value of a security, but since this valuation is not obtained from a quoted price in an active market, such securities are reflected as Level 2. The following is a summary of the inputs used to value the Trust s net assets as of : Level 1 - Quoted Prices Level 2 - Other Level 3 - Significant Significant Observable Inputs Unobservable Inputs Total Collective Trusts $ 2,716,368,231 $ - $ - $ 2,716,368,231 U.S. Treasury Note - 40,595,564-40,595,564 Short-Term Investments 128,081, ,081,757 Total Investments $ 2,844,449,988 $ 40,595,564 $ - $ 2,885,045,552 Wrap Contracts, at fair value , ,273 Total $ 2,844,449,988 $ 40,595,564 $ 692,273 $ 2,885,737,825 The following is a reconciliation of Level 3 assets (at either the beginning or the ending of the period) for which significant unobservable inputs were used to determine fair value: Wrap Contracts at fair value Balance as of 12/31/2008 $ 5,342,071 Change in Unrealized Appreciation / (Depreciation) (4,649,798) Balance as of 12/31/2009 $ 692,273 B. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME Security transactions are accounted for on the trade date. The cost of investments sold is computed on the specific identification basis. Dividend income is recorded on the ex-dividend date. The crediting rate on the wrap contracts is accrued daily under the trust s wrap agreements and is the product of the contract value of the wrap agreements multiplied by the crediting rate as determined pursuant to the wrap agreements. Interest income is recorded on the accrual basis. A summary schedule of securities purchases and sales has been provided in the accompanying financial statements. A detail of securities purchases and sales is available upon request. C. INCOME TAXES No provision for federal income taxes has been recorded since the Trust is exempt under Section 501(a) of the Internal Revenue Code. 9

12 Notes to Financial Statements (2) Summary of Significant Accounting Policies, continued D. TRUST EXPENSES AND UNIT CLASSES The Trust has multiple unit classes investment holdings and share investment income, gains or losses on a proportionate basis. ACCOUNTING, PROFESSIONAL, CUSTODIAN, AND TRANSFER AGENT FEES All reasonable expenses incurred by the Company in the administration and protection of IRT, which are allowed by law and would be chargeable to the Trust if incurred in the separate administration and protection of the Trust including, but not limited to, portfolio accounting, audit, legal services, transfer agency, custody, and annual report preparation and distribution, may be charged to the Trust, provided that the Company shall absorb the costs of establishing or reorganizing IRT. WRAPPER FEES Wrapper fees associated with synthetic GICs are charged to the Trust by the applicable bank or insurance company at an annual rate ranging from 0.08% to 0.30% of the respective contract value. MANAGEMENT FEES AND EXPENSES Management fees are charged at the participating plan account level for the Trust unitholders. Class II of the Trust is charged a management fee by the Company at an annual rate of 0.85% of the average daily net assets of Class II. E. UNIT VALUATION, ISSUES, REDEMPTIONS AND DISTRIBUTIONS The net unit value of the Trust is determined as of the close of each business day. In accordance with the terms of the Trust agreement, participant units are issued and redeemed only at the end of each day and at the net unit value at contract value, provided that redeeming participant plans comply with the required one-year notice provision. When the market value of units is less than their contract value, participant plans may also elect to withdraw units at their market value upon 10 days notice. Distributions of net investment income are declared daily and paid monthly to the unitholders of the Trust. Such distributions are reinvested at the month-end net unit value. (3) Transactions with Affiliates Investment management services are provided to the Trust by the Company, an indirectly wholly-owned subsidiary of Invesco Ltd. The Company is compensated as described in Note 2D. The Company has employed, at its own expense, Invesco Advisers, Inc. (Invesco Institutional (N.A), Inc., changed its name to Invesco Advisers, Inc., effective December 31, 2009) as sub-advisor to the Trust. Invesco Advisers, Inc., is an indirectly wholly-owned subsidiary of Invesco Ltd. The Trust invests in units of collective trust funds within Invesco Group Trust for Retirement Savings ( IGT ), a collective trust managed by the Company. See the Schedule of Portfolio Investments for the IGT cost and trust name, the percent of net assets that the IGT trust represents of the total net assets of the Trust, and the value of the investment in the IGT trust as of. Redemptions of units in the IGT trusts may be made daily. The majority of the IGT Trust funds are sub-advised by Invesco Advisers, Inc. ( Invesco ), which is an affiliate of the Company. Invesco does not charge any investment management fees on the IGT funds it sub-advises. Certain of the IGT funds in which the Trust invests are sub-advised by unaffiliated sub-advisers. These sub-advisers are paid investment management fees from the IGT funds they sub-advise. In addition, all IGT funds pay operating expenses including, but not limited to, portfolio accounting, audit, legal services, transfer agency, custody and annual report preparation and distribution. Further information regarding the fees paid to the unaffiliated sub-advisors and operating expenses for the IGT funds is available upon request. The Trust also invests in units of the Invesco Short-Term Investment Fund ( the Fund ), a short-term investment vehicle managed by the Company. See the Schedule of Portfolio Investments for the cost, the percent of net assets that the Fund represents of the total net assets of the Trust, and the value of the investment in the Fund as of. Redemptions of units in the Fund may be made daily. 10

13 Notes to Financial Statements (4) Additional Information Regarding Investment Contracts Nature of Investment Contracts To accomplish the primary objectives outlined in Note 1, the Trust enters into wrapper contracts (also known as synthetic GICs). In a synthetic GIC structure, the underlying investments are owned by the Trust for plan participants. The Trust enters into wrapper contracts from high-quality insurance companies or banks that serve to substantially offset the price fluctuations in the underlying investments caused by movements in interest rates. Each wrapper contract obligates the wrapper provider to maintain the contract value of the underlying investments. The contract value is generally equal to the principal amounts invested in the underlying investments, plus interest accrued at a crediting rate established under the contract, less any adjustments for withdrawals (as specified in the wrapper agreement). Under the terms of the wrapper contract, the realized and unrealized gains and losses on the underlying investments are, in effect, amortized over the duration of the underlying investments through adjustments to the future contract interest crediting rate (which is the rate earned by participants in the Trust for the underlying investments). The wrapper contract provides that the adjustments to the interest crediting rate will not result in a interest crediting rate that is less than zero. This ensures that participants principal and accrued interest will be protected. In general, if the contract value of the wrapper agreement exceeds the market value of the underlying investments (including accrued interest), the wrapper provider becomes obligated to pay that difference to the Trust in the event that shareholder redemptions result in a total contract liquidation. In the event that there are partial shareholder redemptions that would otherwise cause the contract s crediting rate to fall below zero percent, the wrapper provider is obligated to contribute to the Trust an amount necessary to maintain the contract s crediting rate of at least zero percent. The circumstance under which payments are made and the timing of payments between the Trust and the wrapper provider may vary based on the terms of the wrapper contract. Calculating the Interest Crediting Rate in Wrapper Contracts The key factors that influence future interest crediting rates for a wrapper contract include: The level of market interest rates The amount and timing of participant contributions, transfers, and withdrawals into/out of the wrapper contract The investment returns generated by the fixed income investments that back the wrapper contract The duration of the underlying fixed income investments backing the wrapper contract Wrapper contracts interest crediting rates are typically reset on a monthly or quarterly basis according to each contract. While there may be slight variations from one contract to another, most wrapper contracts use a formula that is based on the characteristics of the underlying fixed income portfolio: CR = [(1+YTM) x (MV/CV) 1/Dur -1] F Where: CR = Contract interest crediting rate YTM = Yield to maturity of underlying investments MV = Market value of underlying investments CV = Contract value (principal plus accrued crediting rate interest) Dur = Duration of the underlying investments F = Wrapper contract fees Over time, the crediting rate formula amortizes the Trust s realized and unrealized market value gains and losses over the duration of the underlying investments. Because changes in market interest rates affect the yield to maturity and the market value of the underlying investments, they can have a material impact on the wrapper contract s interest crediting rate. In addition, participant withdrawals and transfers from the Trust are paid at contract value but funded through the market value liquidation of the underlying investments, which also impacts the interest crediting rate. The resulting difference between the market value of the underlying investments relative to the wrapper contract value is presented on the Trust s Schedule of Portfolio Investments and 11

14 Notes to Financial Statements (4) Additional Information Regarding Investment Contracts, continued Calculating the Interest Crediting Rate in Wrapper Contracts, continued Statement of Assets and Liabilities as the Adjustment from Fair Value to Contract Value. If the Adjustment from Fair Value to Contract Value is positive for a given contract, this indicates that the wrapper contract value is greater than the market value of the underlying investments. The embedded market value losses will be amortized in the future through a lower interest crediting rate than would otherwise be the case. If the Adjustment from Fair Value to Contract Value is negative, this indicates that the wrapper contract value is less than the market value of the underlying investments. The amortization of the embedded market value gains will cause the future interest crediting rate to be higher than it otherwise would have been. Events That Limit the Ability of the Trust to Transact at Contract Value In certain circumstances, the amount withdrawn from the wrapper contract would be payable at fair value rather than at contract value. These events include termination of the plan, a material adverse change to the provisions of the plan, the employer elects to withdraw from a wrapper contract in order to switch to a different investment provider, or if the terms of a successor plan (in the event of the spin-off or sale of a division) do not meet the wrapper contract issuer s underwriting criteria for issuance of a clone wrapper contract. While it is possible that some of the plans participating in the Trust may experience plan terminations or other events that would trigger fair value payouts under the Trust s wrapper agreements, based on prior experience, management of the Trust believes it is not probable that such events would be of sufficient magnitude to limit the ability of the Trust to transact at contract value with the participants in the Trust. Given that such events are beyond the control of the Trust, however, there can be no guarantee that this will be the case. Issuer-Initiated Contract Termination Examples of events that would permit a wrapper contract issuer to terminate a wrapper contract upon short notice include the plan s loss of its qualified status, un-cured material breaches of responsibilities, or material and adverse changes to the provisions of the plan. If one of these events was to occur, the wrapper contract issuer could terminate the wrapper contract at the market value of the underlying investments (or in the case of a traditional GIC, at the hypothetical market value based upon a contractual formula). Addendum to the Statement of Assets and Liabilities Adjustment from fair value to contract value at 12/31/2008 $148,272,841 Change in the difference between fair value and contract value of all fully benefit-responsive investment contracts (203,391,659) Change in the fully benefit-responsive status of the investment contracts - Adjustment from fair value to contract value at 12/31/2009: $(55,118,818) Ratio of year end market value yield to investments (at fair 3.099% value) Ratio of year end crediting rate to investments (at fair value) 3.887% 12

15 Notes to Financial Statements (4) Additional Information Regarding Investment Contracts, continued Sensitivity Analysis The following tables are presented to show the impact hypothetical changes in market interest rates have on the crediting interest rates for synthetic GICs assuming constant duration of the underlying investments. Projected Average Interest Crediting Rate (at the end of blended rate periods): Average Portfolio Duration: 3.16 years Average Portfolio Crediting Rate: 3.96% Market Interest Rate: 3.21% Participant Cash Flows: 0.0% Market Rate Shock: -50% -25% No change 25% 50% Market Rate Scenario: 1.61% 2.41% 3.21% 4.02% 4.82% (5) Subsequent Events Immediate: 3.96% 3.96% 3.96% 3.96% 3.96% Period End: Q1 March 31, % 3.84% 3.91% 3.97% 4.03% Q2 June 30, % 3.72% 3.85% 3.97% 4.10% Q3 September 30, % 3.60% 3.79% 3.98% 4.17% Q4 December 31, % 3.47% 3.73% 3.98% 4.23% Participant Cash Flows: -10.0% Market Rate Shock: -50% -25% No change 25% 50% Market Rate Scenario: 1.61% 2.41% 3.21% 4.02% 4.82% Immediate: 3.96% 3.96% 3.96% 3.96% 3.96% Period End: Q1 March 31, % 3.85% 3.91% 3.97% 4.02% Q2 June 30, % 3.74% 3.86% 3.97% 4.09% Q3 September 30, % 3.63% 3.80% 3.98% 4.15% Q4 December 31, % 3.52% 3.75% 3.98% 4.21% Management has evaluated subsequent events from, the date of these financial statements, through March 30, 2010, the date these financial statements were issued and available. There were no subsequent events to report that would have a material impact on the Trust s financial statements. 13

16 Notes to Financial Statements To the Participants of the Invesco Stable Value Trust of the Institutional Retirement Trust and Board of Directors of Invesco National Trust Company: REPORT OF INDEPENDENT AUDITORS We have audited the accompanying statement of assets and liabilities of the Invesco Stable Value Trust (the Trust ) of the Institutional Retirement Trust, including the schedule of portfolio investments, as of, and the related statement of operations for the year then ended and statements of changes in net assets and financial highlights for each of the two years in the period then ended. These financial statements and financial highlights are the responsibility of the Trust s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Trust s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Invesco Stable Value Trust of the Institutional Retirement Trust at, and the results of its operations for the year then ended and changes in its net assets and financial highlights for each of the two years in the period then ended in conformity with U.S. generally accepted accounting principles. Our audits were made for the purpose of forming an opinion on the basic financial statements taken as a whole. The accompanying schedule of securities purchased, sold or matured is presented for purposes of additional analysis and is not a required part of the basic financial statements, but is supplementary information required by Regulation 9 of the Comptroller of the Currency. This schedule has been subjected to the auditing procedures applied in our audit of the financial statements and, in our opinion, is fairly stated in all material respects in relation to the basic financial statements taken as a whole. Columbus, Ohio March 30,