2011 - Division of Administration - Louisiana

State of LouisianaSystem (LSPRS) held $37,252,335 in total debtinvestments, $2,486,167 with maturities of less than 1year, $4,170,238 with maturities of 1 to 5 years,$11,922,229 with maturities of 6 to 10 years, and$18,673,701 with maturities of more than 10 years.The TRSLA and LSPRS investment policies expect itsfixed income managers to approximate the portfolio’sduration to established benchmarks for fixed incomeinvestments. LSERS investment policy indicates that itsfixed income securities portfolio is limited to 20% fordomestic and 15% for international debt securities.LASERS have no formal interest rate risk policy, butLASERS expects its fixed income managers toapproximate the portfolio’s duration to within two years ofits respective benchmarks for fixed income investments.The table below displays the aggregate total of the stateretirement systems and other trusts debt investments bytype and maturities (amounts expressed in thousands) asof June 30, 2011.Investment Maturities (in Years)Fair Less GreaterInvestment Type Value Than 1 1-5 6-10 Than 10U.S. Government obligations $1,032,423 $4,022 $64,370 $72,115 $891,916U.S. Agency obligations 915,901 286,6411,3435 825 36,045 249,766Mortgage backed securities and 428,740 552,1776,99426,810 15,880 502,493Collateralized mortgage obligationsCorporate bonds878,0021,353,342292,636299,445 368,191 522,220 163,486Foreign bonds 1,919,515 1,543,609 561,898 371,064 584,836 529,955 473,925 168,665Mutual fundsOther bonds 447123 15 309Other 1,362,896 298,220 1,203,84080,480 46,132 32,444Total187,036$6,131,535177,417$1,885,493 $1,070,631 $1,166,332 $2,009,079E. INVESTMENTS - CREDIT RISK & CONCENTRATIONOF CREDIT RISKThe credit risk of investments is the risk that the issuer orother counterparty will not meet its obligations. This creditrisk is measured by the credit quality ratings ofinvestments in debt securities as described by nationallyrecognized statistical rating organizations (rating agencies)such as Standard & Poor’s (S&P) and Moody’s. Theconcentration of credit risk is the risk of loss that mayoccur due to the amount of investments in a single issuer(not including investments issued or guaranteed by theU.S. government, investments in mutual funds, or externalinvestment pools).State TreasuryState statutes and investment policies limit the StateTreasury investments to government securities with explicitguarantees by the U.S. government, agency securities withimplicit U.S. government guarantees, and corporatesecurities with investment grade ratings by Moody’s andS&P. The State Treasury has no limit on the amount itmay invest in any one issuer. Of the State Treasury’s totalinvestments, 8.73% are issues of the Federal NationalMortgage Association (Fannie Mae), 6.30% are issues ofthe Federal Home Loan Bank, and 2.29% are issues of theFederal Farm Credit Bank.The accompanying table illustrates the State Treasury’sinvestments exposure to credit risk as of June 30, 2011(expressed in thousands):RatingFair ValueU.S. Government Securities $4,097,147U.S. Government Agencies (GSEs) 1,956,223AAA 667,297AA 734,794A 440,366BBB 561,345BB 13,143B 5,515Not Rated 1,498,841Total $9,974,671Retirement Systems and Other TrustsThe investment policies of the state’s retirement systemsand other trusts prescribe the level of credit risk to whichtheir investments in debt securities are exposed. Inaddition, the Louisiana Asset Management Pool (LAMP,an investment trust fund) had investments in U.S.government agency obligations with a fair value of$258,675,673, all of which were rated AAA by S&P and$914,526,457 in commercial paper rated at either A-1 orA-1+.LSPRS has the following investments that represent 5% ormore of LSPRS’s total investments at June 30, 2011:(1) Loomis Sayles Fixed Income Fund; (2) InstitutionalEquity Funds; (3) Artio International Equity Group; (4)State Street S&P 500 Flagship Fund; and (5) State StreetAggregate Bond Market Index Securities Lending. None ofthe other retirement systems or trusts had investments in- 60 -