I-2 Fixed Income Portfolio Review
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1 I-2 Fixed Income Portfolio Review Committee on Investments/ Investment Advisory Group May 6, 2009
2 4Q 2008 Market Environment Lehman bankruptcy in September 2008 triggered the period of maximum stress for credit markets As credit markets seized up, the world economy plunged into severe recession Treasuries rallied as yields plummeted Credit spreads gapped wider in the most severe flight to quality since WWII May 6,
3 NUGGETTAG:userName=null&plotName=null Barclays (Lehman) Aggregate Credit Sector Spread Credit Spread Lehman Bankruptcy 250 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08 Key Axis Name Last Minimum Maximum Mean SD SD Cha Left U.S. Credit - OAS /06/ /03/ May 6,
4 4Q Fixed Income Assets Under Management CORE UCRP GEP 403B TRIP Total TIPS UCRP GEP 403B Total HIGH YIELD UCRP GEP TRIP Total EMERGING MARKETS UCRP GEP Total NON-U.S. FIXED INCOME UCRP GEP Total STIP SAVINGS FUND TOTAL FIXED INCOME Market Value $MM $5, , , , , , , ,007.9 % of Fixed Income 21.90% Return 5.19% Benchmark Return 9.25% Active Return -4.06% May 6,
5 UCRP Core Fixed Income UCRP Fixed Income Portfolio had positive returns but underperformed its Benchmark Examine returns with classic three factor return attribution Sector allocation Security selection Interaction effect Perform allocation at overall portfolio level and core sector level May 6,
6 4Q 2008 UCRP Core Fixed Income Returns UCRP Return Benchmark Return Active Return UCRP Core Fixed 5.19% 9.25% -4.06% Government Credit Mortgage-Backed Security (MBS) May 6,
7 4Q 2008 UCRP Core Fixed Income Weights UCRP Weights Benchmark Weights Active Weights UCRP Core Fixed 100.0% 100.0% 100.0% Government Credit MBS Underweight Governments, overweight Credit, and MBS May 6,
8 4Q 2008 UCRP Core Sector Allocation Security Selection Interaction Total UCRP Core Fixed -0.74% -3.24% -0.08% Government Credit MBS % All sectors contributed to underperformance Government and Credit security selection and Government underweight most significant May 6,
9 Government Sector Active Return, -285 bps During 4Q 2008, Government sector was positioned as follows Mild duration short Underweight nominal Treasuries Allocation to TIPS Overweight short-term agencies 10yr Treasury yields dropped 200 bps and TIPS yields were unchanged Duration short, approximately -105 bps active return Treasury underweight, approximately -55 bps active return Agency spreads widened Agency overweight, approximately -125 bps active return Risk positioning was early, 1Q 2009 preliminary results indicate 4Q 2008 underperformance has been more than recouped May 6,
10 Credit Sector Active Return, -471 bps During 4Q 2008, Credit sector positioned as follows Underweights Financials, particularly banks and brokers Consumer cyclicals Overweights Technology Utilities Wireless Life insurers Asset allocation effects were overwhelmed by security selection Approximately 90%, or 425 bps of underperformance due to security selection May 6,
11 Credit Sector Security Selection Market punished securities with any structure or subordination irrespective of the credit quality of the issuer Much of the poor return to security selection is due to Credit sector holdings of such securities Standard practice for the Core Credit portfolios is that subordinated or structured exposure to attractive credits is fine if the compensation is adequate. Conversely, no amount of credit enhancement will motivate an investment in an unattractive credit. Well known that the senior/subordinated spreads for banks moved to historic wides Same behavior for other issuers/sectors Utilities Insurers May 6,
12 NUGGETTAG:userName=null&plotName=null JPM Senior-Subordinated Price Spread 4Q 2008 Price Spread Oct Oct Oct Nov Nov Dec Dec-08 Key Axis Name Last Minimum Maximum Mean SD SD Chan Left JPM /15/ Price /28/ /30/ Left JPM /01/ Price /17/ /26/ May 6,
13 Credit Sector Security Selection As liquidity has slowly returned to the credit market in 1Q 2009, a two-step approach has been taken Where credit deterioration has occurred and/or government intervention has raised uncertainties about the status of creditors, positions have been sold Where the underlying credit remains strong and capable of withstanding cyclical challenges, positions have been retained These steps along with the systemic decrease in risk aversion has led to positive active return for the Credit sector in 1Q 2009 May 6,
14 MBS Active Return, -223 bps Benchmark LPF MBS sector contains only agency 15-year and 30-year fixed rate pass-throughs No agency hybrid ARMs No non-agency jumbo MBS No CMBS UCRP MBS sector holdings of hybrid ARMS and non-agencies underperformed agency pass-throughs leading to the observed underperformance for the sector Comparing Barclays (Lehman) Aggregate collateral sector 4Q 2008 performance to the LPF illustrates the point. The Aggregate contains CMBS, ABS, and Hybrids Aggregate 2.35% LPF 4.23% -1.88% May 6,
15 Appendices May 6,
16 UCRP Core Credit vs LPF Credit by Quality Rating As of 12/31/2008 Quality Rating Weight (%) Bmk Weight (%) Active Weight (%) AAA 4.06% 4.99% -0.94% AA 4.95% 10.51% -5.56% A 40.20% 39.68% 0.52% BBB 44.73% 38.19% 6.54% BB 4.30% 5.01% -0.70% CCC 0.32% 0.00% 0.32% N/A 1.45% 1.62% -0.17% Source: BarraOne May 6,
17 Industry Allocation UCRP Credit Sector As of 12/31/2008 % Weights Industry Allocation Portfolio Benchmark Active Weight % % % Financials Insurance REITS Basic Industrials Capital Goods Consumer Cyclicals Consumer Non-Cyclicals Energy Technology Transportation Communications Industrial-Other Utilities/Natural Gas Foreign/Sovereigns Other Total Source: Barclays Capital Point May 6,
18 UCRP Core FI vs LPF Sector Weights As of 12/31/2008 Weight (%) Bmk Weight (%) Active Weight (%) GOVERNMENT o Treasury o Agency CREDIT o AGENCY o INDUSTRIAL o UTILITY o FINANCE o SOVEREIGN o OTHER CREDIT COLLATERAL o Pass-Throughs o ABS o CMBS o Agency CMOs o Agency ARMs o Non-Agency CMOs o Non-Agency ARMs CASH Source: Yield Book May 6,
19 UCRP Emerging Market Debt vs JP Morgan EMBI+ As of 12/31/2008 Country Weight (%) Bmk Weight (%) Active Weight (%) Argentina Brazil Bulgaria Colombia Ecuador Indonesia Mexico Panama Peru Philippines Russia South Africa Turkey Ukraine Venezuela Other 4.60 Source: Barclays Capital Point/JPMorgan May 6,
20 Total Aggregate UCRP High Yield vs Merrill Lynch High Yield by Quality Rating As of 12/31/2008 Quality Rating Weight (%) Bmk Weight (%) Active Weight (%) AAA A BBB BB B CCC N/A Source: BarraOne May 6,
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