LGIP Q4 2011

OFFICE OF THE ARIZONA STATE TREASURER

7.21.2011

LGIP QUARTERLY MEETING & CONFERENCE

CALL

ARIZONA STATE TREASURER DOUG DUCEY

AGENDA

Earnings

LGIP Performance

New LGIP Product

Endowment Performance

Endowment Distribution Formula

State Cash Flow

Arizona Economic Update

US Short –Term Credit Outlook: Alex Roever, Head of Short-Term Fixed Income Research, JP Morgan Securities

Q & A


INVESTMENT PHILOSOPHY

SAFETYbefore

LIQUIDITYbefore

YIELD


EARNINGS FOR FY 2011

$56,642,619

LGIP PERFORMANCE4th Quarter and FY 2011 YTD


POOL 5 $1.46 Billion Assets as of 6/30/2011

Net Asset Value = $1.00 as of 6/30/2011

Diversified investments weighted to highly rated Commercial Paper first, Repurchase agreements second, and Agency/Treasuries third


POOL 7 $1.8 Billion Assets as of 6/30/2011

Net Asset Value - $ 1.0001 as of 6/30/2011

All securities backed by U.S. Government


POOL 500 $210.9 million in assets as of

6/30/2011

Floating Net Asset Value - $1.0349 as of 6/30/2011

Keep maximum exposure to any credit at 2.5%


POOL 700 $120.7 million in assets as of

6/30/2011

Floating Net Asset Value - $ 1.0100 as of 6/30/2011

All securities backed by U.S. Government

LGIP NEW PRODUCT


Separately Managed Accounts (SMAs)

Designed for those seeking a customized investing solution based on your risk tolerance, liquidity needs and duration target

Monthly Liquidity Requires $100 million minimum deposit

Pre-Meeting with Portfolio Manager to set up Account and determine investing needs

Costs: Standard 6 basis points, plus yearly accounting charges of about $20,000 that will come out of earnings (equivalent to 2 basis points)


Endowment Performance

Through June 2011


ENDOWMENT TRUST LANDS

Privately-owned land (17%)

State trust land (13%)

Tribal Reservations (28%)

US Forest Service (15%)

Bureau of Land Management (17%)


ENDOWMENT ASSET ALLOCATION

$1,600.04M

$1,052.42M

$502.79M$1,549.4 million

$1,122.1 million

$542.2 million

45.6%

34.4%

15.9%

4.1%

Fixed Income

S&P 500

S&P 400

S&P 600

$3.29 billion


ENDOWMENT MARKET VALUE

UPWARD TREND

$3.29 Billion

!


ENDOWMENT UNREALIZED GAINS

GAINS AT RECORD LEVELS

$800 millio

n!


Endowment Distribution


K-12 DISTRIBUTIONS


State Cash Flow


STATE CASH FLOWTOTAL OPERATING ACCOUNT AVERAGE MONTHLY

BALANCEBACK IN BLACK $1.3 Billion in

June


STATE CASH FLOW

As forecasted, ending balance above beginning balance


ARIZONA ECONOMIC UPDATE


AZ NON-FARM EMPLOYMENT


AZ UNEMPLOYMENT AT 9.3%


AZ SALES OF EXISTING HOMESQuarterly Data Jan. 1990 through March 2011Quarterly Data Jan. 1990 through March 2011


AZ HOUSING PRICES


Special Presentation

W. Alexander Roever, CFA AC

Managing Director | US Credit Strategy | Short Term Fixed Income

J.P. Morgan Securities


QUESTIONS?

LGIP Q4 2011

Documents

endowment asset allocation

floating net asset value

state trust land

lgip new product

az unemployment

basis points

jp morgan securities

earnings equivalent