CAFR - sdcera

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F I N A N C I A L / N O T E S T O T H E B A S I C F I N A N C I A L S T A T E M E N T S The following tables illustrates SDCERA’s Fixed Income securities ratings as of June 30, 2007, shown as a percentage of the total portfolio: CREDIT RISK Domestic High Yield Emerging Core Fixed Global Fixed Convertibles Fixed Market Debt Credit Risk Income Income Fixed Income Income Fixed Income Total Gov’t $ 277,311 $ 57,150 $ 0 $ 0 $ 0 $ 334,461 AAA 36,331 297,076 0 17,221 0 350,627 AA 1,675 4,728 3,250 0 0 9,653 A 4,244 290,760 13,430 93 0 308,526 BBB 39,222 128,161 20,467 2,257 80,184 270,290 BB 27,384 37,270 14,916 26,506 144,698 250,774 B 20,473 1,463 28,502 88,568 116,369 255,375 CCC 0 0 3,454 18,789 3,886 26,129 CC 0 0 0 0 0 0 C 0 0 0 0 0 0 D 0 0 0 234 0 234 NR 22,661 214,122 25,891 98,655 72,704 434,035 $ 429,301 $ 1,030,730 $ 109,910 $ 252,323 $ 417,841 $ 2,240,104 Domestic High Yield Emerging Fixed Global Fixed Convertibles Fixed Market Debt Credit Risk Income Income Fixed Income Income Fixed Income Govt 64.6% 5.5% 0.0% 0.0% 0.0% AAA 8.5% 28.8% 0.0% 6.8% 0.0% AA 0.4% 0.5% 3.0% 0.0% 0.0% A 1.0% 28.2% 12.2% 0.0% 0.0% BBB 9.1% 12.4% 18.6% 0.9% 19.2% BB 6.4% 3.6% 13.6% 10.5% 34.6% B 4.8% 0.2% 26.0% 35.1% 27.9% CCC 0.0% 0.0% 3.1% 7.5% 0.9% CC 0.0% 0.0% 0.0% 0.0% 0.0% C 0.0% 0.0% 0.0% 0.0% 0.0% D 0.0% 0.0% 0.0% 0.1% 0.0% NR 5.2% 20.8% 23.5% 39.1% 17.4% 100.0% 100.0% 100.0% 100.0% 100.0% DOMESTIC CORE FIXED INCOME PORTFOLIO SDCERA’s Core Domestic Fixed Income portfolio of government securities, collateralized mortgage obligations, corporate bonds, private placements, and other bonds. The overall weighted average rating for Domestic Fixed Income was AAA, excluding 5.2% of unrated securities. GLOBAL FIXED INCOME PORTFOLIO SDCERA’s Global Fixed Income portfolio includes corporate bonds and sovereign debt. The weighted average rating for Global Fixed Income portfolio was AA/AAA, excluding 20.8% of unrated securities. 30 COMPREHENSIVE ANNUAL FINANCIAL REPORT 2007
N O T E S T O T H E B A S I C F I N A N C I A L S T A T E M E N T S / F I N A N C I A L CONVERTIBLES FIXED INCOME PORTFOLIO SDCERA Convertibles Fixed Income Portfolio invests in convertible bonds, convertible preferred stock and readily tradable private placements. The overall weighted average of the Convertibles Fixed Income Portfolio was BB/BBB, excluding 23.5% of unrated securities. HIGH YIELD FIXED INCOME PORTFOLIO The weighted average quality of the High Yield Fixed Income Portfolio as of June 30, 2007 was B/BB, excluding 39.1% of unrated securities in the portfolio. EMERGING MARKET DEBT SDCERA’s Emerging Market Debt portfolio invests in sovereign debt of emerging countries. As of June 30, 2007, the Emerging Market Debt portfolio was rated B, excluding 17.4% of unrated securities in the portfolio. CUSTODIAL CREDIT RISK SDCERA does not have a general policy addressing custodial credit risk, but it is the practice of the Fund that all investments are insured, registered, or held by the plan or its agent in the Plan’s name. Deposits are to be insured, registered or collateralized with securities held at fiscal agents in the Plan’s name. FOREIGN CURRENCY RISK SDCERA’s investment policy allows international equity and fixed income managers to enter into foreign exchange contracts provided that the contracts have a maturity of one year or less and are limited to hedging currency exposure existing in the portfolio. SDCERA’s exposure to foreign currency risk derives from its positions in foreign currency denominated international equity and fixed income investments, as well as currency overlay exposure. Other currencies that represent less than $2 million in holdings are Argentina Peso, Austria Shilling, Azmbian Kwacha, Bahraini Dinar, Belgium Francs, Cedi, China Yuan Renminbi, Columbian Peso, Finland Markkaa, Hryvna & Karbovanet, Jardanian Dinar, Kenya Shilling, Kroon, Kuwaiti Dinar, Lari, Lebanese Pound, Leu, Lev, Litas, Mauritius Ruppe, Morcoccan Dirham, Nigerian Naira, Phillipine Peso, Pula, Quatari Riyal, Rand, Rial Omani, Romanian, Saudi Riyal, Sri Lankan Rupee, Tenge, Tunisian Dinar, United Arab Emirates Dirham, West African Franc and Zimbabwe Dollar. SDCERA’S NET EXPOSURE TO FOREIGN CURRENCY RISK IS AS FOLLOWS: (THOUSANDS OF DOLLARS) AS OF JUNE 30, 2007 Currency Fair Value EURO CURRENCY UNIT 533,467 JAPANESE YEN 314,879 BRITISH POUND STERLING 249,753 AUSTRALIAN DOLLAR 106,183 SWISS FRANC 104,779 HONG KONG DOLLAR 103,908 SOUTH KOREAN WON 98,618 CANADIAN DOLLAR 88,643 NEW TAIWAN DOLLAR 57,610 S AFRICAN COMM RAND 49,429 SINGAPORE DOLLAR 29,224 BRAZIL REAL 27,489 GERMANY DEUTSCHE MARK 26,933 NORWEGIAN KRONE 23,096 MEXICAN NEW PESO 21,630 INDONESIAN RUPIAN 20,650 SWEDISH KRONA 16,679 DANISH KRONE 13,251 MALAYSIAN RINGGIT 12,418 NEW TURKISH LIRA 11,458 INDIAN RUPEE 10,278 EGYPTIAN POUND 8,882 NETHERLANDS GUILDERS 8,506 THAILAND BAHT 7,077 FRANCE FRANCS 6,607 HUNGARIAN FORINT 5,944 LUXEMBOURG FRANCS 5,758 ITALY LIRE 5,607 NEW ZEALAND DOLLAR 4,722 RUSSIAN FEDERATION RUBLES 2,835 GREECE DRACHMAE 2,734 IRELAND POUND 2,250 CHILEAN PESO 2,029 Other (Less than $2 million holdings) 19,443 Total 2,002,769 COMPREHENSIVE ANNUAL FINANCIAL REPORT 2007 31
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