$1,500
Beginning of Fiscal Year
$2,481,176,000
Jun
Apr
May
Mar
Jan
Feb
Nov
Dec
Oct
Sep
Jul
Last Month
$2,959,809,000
Aug
$0
22.5% Growth This Fiscal
Year
Millions
FY2007
Jun
May
Apr
Mar
Jan
Feb
Nov
FY2006
Dec
Fiscal Year $121,236,000
$16
$14
$12
$10
$8
$6
$4
$2
$0
Oct
Total Net Income & Gains
Glen B. Gainer
III, State Auditor
Outpacing Last Year
Effective Rates of Return
Time Weighted, Annualized, Net of All Fees
Jack Rossi, CPA
Appointed by
the Governor
Chief Financial
Officer
Kara K. Brewer,
CPA, MBA
$2,000
$500
This Month $12,025,000
Executive Staff
Executive
Director
Glenda Probst,
CPA, CTP
$2,500
$1,000
$3,039,340
Joe Manchin III,
Governor
Martin Glasser,
Esq. Attorney
Appointed by
the Governor
$3,000
Sep
Board of
Directors
John D. Perdue,
State Treasurer,
Chairman
Total Net Assets Under
Management
Millions
$3,500
Jul
Board of
Treasury
Investments
1900 Kanawha
Boulevard East
Suite E-122
Charleston WV
25305
(304) 340-1578
www.wvbti.com
OPERATING REPORT
APRIL 2007
Aug
CALENDAR NOTE
Next Board Meeting
July 26, 2007
Return
April
2007
Fiscal
Year to
Date
2007
Fiscal
Year to
Date
2006
Cash Liquidity
5.1%
5.4%
4.0%
Gov’t Money Mkt
5.2%
5.3%
3.9%
6.0%
5.0%
FY2007
FY2006
4.0%
3.0%
2.0%
1.0%
0.0%
Cash Liquidity Gov't Money Mkt.
Enhanced Yield
Fiscal Year
2007
Fiscal Year
2006
(Past 12 Months)
(Past 12 Months)
5.5%
2.4%
Enhanced Yield
Returns are annualized fiscal year to date for Cash Liquidity
& Gov't Money Mk t; past 12 months for Enhanced Yield
Returns Exceed Prior
Year’s
WEST VIRGINIA BOARD OF TREASURY INVESTMENTS
THE ECONOMIC STATE
APRIL 2007
Economic Growth Slows Down
Higher energy costs push consumer prices up
The U.S. unemployment rate rose to 4.5% in April from a five-year low of 4.4% in March. Job growth fell to its
lowest level in more than two years, increasing only 88,000 in April following a revised 177,000 gain in March. During
the first quarter, the U.S. economy grew at a 1.3% annual growth rate, the slowest pace in four years, restrained by the
housing slump and a larger
trade deficit.
Consumer
May CD Auction Results
spending remained the key
driver, expanding at a 3.8%
The State’s online certificate of deposit auction continues to benefit the Board of
annual pace in the first
Treasury Investments and state banks. The May 15th auction was the most profitable
quarter after a 4.2% gain in
to date, earning more than $41,000 in additional interest. The 30-minute auction
the previous quarter. Home
received 192 bids totaling $66 million for the $25 million offered. Awards were
construction fell at an annual
made to the following banks:
rate of 17.0%.
U.S.
consumer prices rose 2.7%
BB&T – Charleston
$5,000,000
over the twelve-month period
Citizens National Bank – Berkeley Springs
$2,000,000
ending March 31, 2007,
First
National
Bank
of
Williamson
–
Williamson
$1,000,000
reflecting higher energy
Freedom
Bank,
Inc.
–
Belington
$5,000,000
costs. The core CPI, which
Jefferson Security Bank – Shepherdstown
$2,500,000
excludes food and energy,
Main Street Bank – Wheeling
$2,000,000
rose 2.5% for the trailing
Monongahela Valley Bank – Fairmont
$2,500,000
twelve
months.
The
United
Bank,
Inc.
–
Parkersburg
$3,000,000
Producer Price Index rose
WesBanco,
Inc.
–
Wheeling
$2,000,000
3.2% over this same time
period as costs for crude oil
The program has been so successful that the Board has approved more frequent
and gasoline increased. The
auctions and the addition of a one-year CD to be auctioned semi-annually. More
core PPI only rose 1.7% for
details will be provided on the new schedule in the next few weeks.
the year ending March 31,
2007.
Housing starts
Since its inception, the auction has placed more than $128 million in deposits with
unexpectedly rose for the
West Virginia banks.
second month in March,
increasing
0.8%
and
strengthening expectations that the worst housing slump in 15 years may be easing. Home construction still fell at an
annual rate of 17% in the first quarter, after contracting 19.8% in the fourth quarter.
The overnight lending rate remained at 5.25% in April after the Fed left rates unchanged at its last six meetings.
Higher inflation figures reduced the Fed’s flexibility to respond to a crisis in subprime mortgages, where delinquencies
have climbed to a four-year high. For the month of April, yields shifted lower across the curve with the exception of 2-year
Treasuries, which rose 2 bps to 4.59%. The yield curve remained inverted at the belly of the curve. The 30-year Treasury
yield fell 3 bps in April to 4.81% as the 5- and 10-year Treasury yields fell 2 bps to 4.51% and 4.62%, respectively. The 3year Treasury yield remained basically unchanged in April, still yielding 4.53%. The biggest drop in yield occurred for the
3-month Treasury bill, falling 19 bps to 4.84% followed by the 6-month Treasury declining 8 bps to 4.99%. The yield
spread between the 30-year Treasury and the 2-year Treasury narrowed to 22 bps.
Ninety-Day T-Bills returned 0.44% in April, outperforming the 0.36% return of 1-3 Year Government Bonds. For
the last 12 months, T-bills outperformed slightly with a 5.15% return as 1-3 Year Government Bonds earned 5.06%.
West Virginia Board of Treasury Investments
Financial Highlights as of April 30, 2007
Monthly Rates of Return for Operating Pools (Net of Fees)
Cash Liquidity
Enhanced Yield
Gov't Money Market
0.60%
1.00%
0.50%
0.45%
0.50%
0.80%
0.40%
0.60%
0.35%
0.40%
0.30%
0.30%
0.40%
0.25%
0.20%
0.20%
0.20%
0.15%
0.00%
0.10%
(0.20%)
FY2007 Actual
FY2007 Actual
FY2006 Actual
FY2006 Actual
FY2007 Actual
Benchmarks:
Benchmarks:
FY2006 Actual
Citigroup 90 day T-bill Index + 15bps
Citigroup 90 day T-bill Index
Benchmark:
iMoney Net Money Market Index
iMoney Net Money Market Index
Citigroup 1-3 Year Govt/Corp + 10bps
Jun
Apr
May
Mar
Jan
Feb
Dec
Oct
Nov
(0.40%)
Sep
Jun
Apr
May
Mar
Jan
Feb
Dec
Oct
Nov
Sep
Jul
Aug
Jun
Apr
May
Mar
Jan
Feb
Dec
Oct
Nov
Sep
Jul
Aug
0.00%
Jul
0.05%
0.00%
Aug
0.10%
Summary of Value and Earnings (In Thousands)
Pool
Asset Value
Cash Liquidity
Gov't Money Market
Enhanced Yield
Loss Amortization
Loans
Participant Accounts
$ 2,123,565
274,147
229,451
155,805
132,141
124,231
$ 3,039,340
April Net
Income
(Loss)
$
8,681
1,025
995
566
347
411
$ 12,025
Fiscal
YTD Net
Income
(Loss)
Percent of Total Net Asset Value
Participant Accounts,
4.1%
Loans, 4.4%
$ 84,158
8,783
12,550
9,862
3,058
2,825
$ 121,236
Loss Amortization,
5.1%
Enhanced Yield,
7.6%
Gov't Money Market,
9.0%
Cash Liquidity,
69.8%
Securities by Type for Operating Pools (Percentage of Asset Value)
Cash Liquidity Pool
U.S.
Gov't
Agency
Bonds,
1.74%
Short
Term
Issues,
87.50%
Gov't Money Market Pool
U.S.
Gov't
Agency
Bonds,
22.68%
Corporate
Bonds,
10.76%
Short
Term
Issues,
77.32%
Enhanced Yield Pool
U.S. Gov't
Mortgage
Backed
Issues,
3.34%
Short
Term
Issues,
2.69%
U.S.
Treasury
Issues,
22.73%
Corporate
Asset
Backed
Issues,
22.72%
U.S. Gov't
Agency
Bonds,
17.83%
Corporate
Bonds,
30.69%
WEST VIRGINIA BOARD OF TREASURY INVESTMENTS
SCHEDULE OF NET ASSETS, OPERATIONS & CHANGES IN NET ASSETS –
UNAUDITED
APRIL 30, 2007
(IN THOUSANDS)
Cash
Liquidity
Government
Money
Market
Assets
Investments:
At amortized cost
At fair value
Collateral for securities loaned
Other assets
Total assets
$ 2,119,982
289,194
53,655
2,462,831
Liabilities
Payable for securities loaned
Other liabilities
Total liabilities
Net Assets
289,194
50,072
339,266
$ 2,123,565
$
$
$
Investment income
Interest and dividends
Securities lending income
Net accretion (amortization)
Provision for uncollectible loans
Total investment income
Expenses
Fees
Securities lending borrower rebates
Total expenses
Net investment income
3,679
1,199
5,115
9,993
$
147
1,168
1,315
8,678
273,894
28,494
8,250
310,638
28,494
7,997
36,491
274,147
519
126
520
1,165
Enhanced
Yield
$
$
$
Other Pools
Participant
Directed
Accounts
$
$
225,911
75,984
4,478
306,373
75,984
938
76,922
229,451
861
330
25
1,216
131,749
155,805
397
287,951
-
$
$
53,733
69,768
731
124,232
-
5
5
287,946
352
516
868
$
$
1
1
124,231
416
(11)
405
18
122
140
1,025
21
322
343
873
5
1
3
-
(144)
3
-
266
122
50
50
7
7
-
-
5
863
1
404
-
-
Net realized gain (loss)
from investments
Net increase (decrease)
in fair value of investments
Net gain (loss) from investments
Net increase (decrease) in net
assets from operations
8,681
1,025
995
913
411
Distributions to participants
8,681
1,025
873
347
-
Participant activity
Purchases, reinvestment of units
and contributions
Redemptions and withdrawals
Net increase (decrease) in net
assets from participant activity
680,955
645,794
90,349
70,002
1,383
-
347
319
26,109
4,594
35,161
20,347
1,383
28
21,515
Increase (decrease) in net assets
Net assets at beginning of period
Net assets at end of period
35,161
2,088,404
$ 2,123,565
20,347
253,800
274,147
1,505
227,946
229,451
594
287,352
287,946
21,926
102,305
124,231
-
$
$
$
$