Operating Investment Pool 1 Monthly Net Cash Flows 2 Operating - - PowerPoint PPT Presentation

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Operating Investment Pool

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Monthly Net Cash Flows

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Operating Investment Pool Balance

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General & Reserve Fund Balances

Internally Managed Portfolio (K9C9)

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Returns as of 01/31/17

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1 Month 3 Months YTD FYTD 1 Year 3 Years 5 Years Inception S/T Liquidity

• 0.01

0.04

• 0.01

0.05 0.16 0.01 0.00 10/13/2012 Citigroup 1 Month CD 0.01 0.04 0.01 0.10 0.16 0.16 0.16 Excess

• 0.02

0.00

• 0.02
• 0.05

0.00

• 0.15
• 0.16
• Int. Gov/Corp

0.15

• 1.56

0.15

• 1.92

0.57 1.99 1.69 10/13/2012 BofA Custom 0.22

• 1.39

0.22

• 1.75

0.75 1.94 1.73 Excess

• 0.07
• 0.17
• 0.07
• 0.17
• 0.18

0.05

• 0.04

Total OIP 0.14

• 1.37

0.14

• 1.67

0.60 1.77 1.50 Custom Index 0.19

• 1.17

0.19

• 1.47

0.66 1.68 1.50 Excess

• 0.05
• 0.20
• 0.05
• 0.20
• 0.06

0.09 0.00

Maturity Buckets (K9C9)

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Maturity Report

% of Market Value Maturity TSY AGY Aaa Aa A Baa Ba Total 0.00 - 0.99 7.1 2.9 0.4 2.1 4.0 0.2 0.0 16.6 1.00 - 2.99 8.0 3.9 0.5 2.8 7.0 1.2 0.3 23.7 3.00 - 4.99 3.4 3.6 2.2 3.3 5.7 0.6 0.3 18.9 5.00 - 6.99 2.1 7.5 1.5 1.9 6.6 0.5 0.0 20.0 7.00+ 2.1 11.5 1.4 1.5 4.4 0.0 0.0 20.8 Total: 22.6 29.4 5.9 11.5 27.6 2.4 0.6 100 Agency Return % MV Weighting Internally Mng'd 0.03 29.45 overweight ML/BoA Blend 0.30 4.19 Difference

• 0.27

25.26

Sector Attribution

Interest Rate Simulation (K9C9)

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Yield Chg (bps) Total Return Income Return Price Return Ending YTW Ending Eff Dur Mkt Val (USD 000) Change in Mkt Val

• 25

2.775 1.814 0.961 1.775 3.745 3,570,464 32,633 1.836 1.836 0.000 2.020 3.796 3,537,831 25 0.896 1.857

• 0.961

2.266 3.828 3,505,172

• 32,659

50

• 0.040

1.876

• 1.917

2.512 3.843 3,472,637

• 65,194

75

• 0.968

1.896

• 2.864

2.757 3.847 3,440,412

• 97,419

100

• 1.883

1.917

• 3.799

3.003 3.841 3,408,633

• 129,198

Presentation Notes

9 Slide #2 (Monthly Cash Flow) In late 2015 monthly net cash flows deviated from the trend. This trend continued throughout 2016 going back to normal trend in

• August. We still continue to hold a larger allocation to Gov’t Money Market to meet liquidity needs.

Slide #3 (Operating Investment Pool Balance) This slide shows the market balance of the OIP over since January 2003. Slide #4 (General & Reserve Fund Balance) The General Fund has dropped to the lower end of the range over the last 6 years. The Reserve Fund has dropped from a high of $800 million to $680 million over the last 2 years. Slide #5 (Internally Managed Portfolio – K9C9) This slide shows the asset class breakdown in K9C9. Single A Corporates have increased to 28.5% with the new policy maximum

• f 30%.

Slide #6 (Returns as of 01/31/17) This slide shows the returns of the OIP as of 01/31/17.

Presentation Notes

10 Slide #7 (Maturity Buckets – K9C9) This slide shows the breakdown of assets in K9C9 by maturity. The bottom chart shows the returns of just the agency sector. The

• verweight in agencies in the 5-10 year maturity has been a drag on performance in January.

Slide #8 (Interest Rate Simulation – K9C9) This table shows the effects on the portfolio for a given change in yield.

Biographies

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Joe Spitznagel, Portfolio Manager

Joe Spitznagel joined the Nebraska Investment Council in 2010 as a Portfolio Manager. He co-manages the investment of the Operating Investment Portfolio with Jeremiah Garber. Joe’s focus is the intermediate portion of the OIP which includes government and corporate securities with maturities between 1 to 10 years. Prior to his work with the Nebraska Investment Council, Joe was the Senior Financial Analyst for Lotsoff Capital Management in Chicago where he co-managed the Core Fixed Income Bond Fund for 9 years. Joe earned his MBA from DePaul University in 2006 and a Bachelor of Science in Finance at the University of Nebraska – Lincoln in 2000.

Jeremiah Garber, CFA Portfolio Manager

Jeremiah Garber joined the Nebraska Investment Council in 2011. He co-manages the investment of the Operating Investment Pool with Joe Spitznagel. Jeremiah’s focus is the short term portion of the OIP focusing on meeting the daily cash needs of the State Treasurer. Prior to his joining the Nebraska Investment Council, Jeremiah was an Investment Analyst at a First Nebraska Trust company where he focused on individual client’s fixed income portfolios. Jeremiah was awarded the CFA Charter in August 2016. He earned his MBA from the University of Nebraska Omaha in 2002 and a Bachelor of Arts from Hastings College in 2000.