2010 A-133 Report - Finance - University of Michigan

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THE UNIVERSITY OF MICHIGAN Notes to Consolidated Financial Statements--Continued Note 2--Cash and Investments--Continued The composition of fixed income securities at June 30, 2010 and 2009, along with credit quality and effective duration measures, is summarized as follows: U.S. Government Investment Grade 42 2010 Non- Investment Grade Not Rated Total Duration (in thousands) (in years) U.S. Treasury U.S. Treasury inflation $ 92,098 $ 92,098 8.7 protected 309,926 309,926 3.7 U.S. government agency 178,941 178,941 0.6 Mortgage backed $ 24,696 $ 19,930 44,626 1.8 Asset backed 40,857 3,676 44,533 2.9 Corporate and other 680,954 13,235 $ 7,919 702,108 6.8 $ 580,965 $ 746,507 $ 36,841 $ 7,919 $ 1,372,232 5.1 U.S. Government Investment Grade 2009 Non- Investment Grade Not Rated Total Duration (in thousands) (in years) U.S. Treasury U.S. Treasury inflation $ 67,363 $ 67,363 6.3 protected 306,078 306,078 2.3 U.S. government agency 88,632 88,632 1.3 Mortgage backed $ 40,293 $ 9,979 50,272 1.5 Asset backed 54,384 3,296 57,680 4.6 Corporate and other 641,313 39,693 $ 10,446 691,452 6.8 $ 462,073 $ 735,990 $ 52,968 $ 10,446 $ 1,261,477 5.0 Of the University’s fixed income securities, 97 percent and 95 percent were rated investment grade or better at June 30, 2010 and 2009, with 48 percent and 44 percent of these securities rated AAA/Aaa or better at June 30, 2010 and 2009, respectively.
THE UNIVERSITY OF MICHIGAN Notes to Consolidated Financial Statements--Continued Note 2--Cash and Investments--Continued Commingled (pooled) funds include Securities and Exchange Commission regulated mutual funds and externally managed funds, limited partnerships, and corporate structures which are generally unrated and unregulated. Certain commingled funds may use derivatives, short positions and leverage as part of their investment strategy. These investments are structured to limit the University's risk exposure to the amount of invested capital. The composition of commingled funds at June 30, 2010 and 2009 is summarized as follows: 43 2010 2009 (in thousands) Absolute return $ 638,864 $ 743,480 U.S. equities 77,588 67,080 Non-U.S./global equities 585,743 525,366 U.S. fixed income 8,607 8,452 Other 69,159 55,303 $ 1,379,961 $ 1,399,681 Commingled funds have liquidity (redemption) provisions, which enable the University to make full or partial withdrawals with notice, subject to restrictions on the timing and amount. Of the University’s commingled funds at June 30, 2010 and 2009, approximately 80 percent are redeemable within one year, with 51 percent and 44 percent, respectively, redeemable within 90 days. The remaining amounts are redeemable beyond one year, with redemption of certain funds dependent on disposition of the underlying assets. Nonmarketable alternative investments consist of limited partnerships and similar vehicles involving an advance commitment of capital called by the general partner as needed and distributions of capital and return on invested capital as underlying strategies are concluded during the life of the partnership. There is no active secondary market for these alternative investments, which are generally unrated and unregulated, and the liquidity of these investments is dependent on actions taken by the general partner. The composition of these partnerships at June 30, 2010 and 2009 is summarized as follows: 2010 2009 (in thousands) Private equity $ 1,085,145 $ 849,529 Real estate 811,071 836,498 Absolute return 828,903 737,541 Energy 705,180 613,981 Venture capital 594,554 465,438 $ 4,024,853 $ 3,502,987
Page 1 and 2: The University of Michigan Reports
Page 3 and 4: Report of Independent Auditors The
Page 5 and 6: Introduction THE UNIVERSITY OF MICH
Page 7 and 8: THE UNIVERSITY OF MICHIGAN Manageme
Page 27 and 28: Statement of Cash Flows THE UNIVERS
Page 31 and 32: THE UNIVERSITY OF MICHIGAN Consolid
Page 33 and 34: THE UNIVERSITY OF MICHIGAN Consolid
Page 35 and 36: THE UNIVERSITY OF MICHIGAN Notes to
Page 41 and 42: Note 2--Cash and Investments THE UN
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University of Michigan Notes to Sch
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The University of Michigan Notes to
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This report is intended solely for
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In our opinion, based on our audit
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failures to the National Student Cl
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2010 A-133 Report - Finance - University of Michigan

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