Fresno County Employees Retirement Association State Street - PowerPoint PPT Presentation

Fresno County Employees’ Retirement Association State Street Securities Finance Program Review December 3, 2008

Securities Finance Global Presence – Over 30 years of securities lending experience – Lending as agent for 450 clients worldwide in more than 45 markets – Over 150 borrower relationships – 14 regional locations with 6 trading desks and 450 employees The Americas � Boston, Massachusetts Europe/Middle-East/Africa (World Headquarters) � � Dublin, Ireland Los Angeles, California � � Frankfurt, Germany Montreal, Quebec Asia/Pacific � � London, England New York, New York � � Hong Kong, China � � Luxembourg City, Luxembourg San Francisco, California � � Sydney, Australia � � � Toronto, Ontario Milan, Italy � Tokyo, Japan � Full Service Center � Sales/Account Management Office � Trading Location Information as of September 30, 2008. 2

Securities Finance Program Size Assets Available for Loan On Loan Balances More than $2.5 trillion Approximately $600 billion U.S Fixed Income U.S. Fixed Income Non U.S. Equity 39% 13% 21% Non U.S. Equity 14% Non U.S. Fixed U.S Equities & Equity Corp Bonds Non U.S. Fixed 17% 25% U.S. Equities and Income Corp Bonds 22% 49% Currency reflected in US dollars. Information as of September 30, 2008. 3

Securities Finance Fresno County Employees’ Retirement System Relationship Highlights > Lending with State Street since January 2008 > Acceptable Forms of Collateral – Cash: U.S. currency only, reinvested in State Street Quality D Fund and a pool of assets purchased by FCERA’s prior securities lending agent – Non-Cash: – Irrevocable bank letters of credit – Securities issued by the U.S. Government or its agencies – Supranational debt – Asset-backed securities – Agency and private label mortgage-backed securities – Corporate bonds – Municipal debt – Sovereign debt – Money market securities, commercial paper, and bankers’ acceptances > Fee Split: 80% Fresno County / 20% State Street > Custom list of approved borrowers: ERISA eligible borrowers only > State Street provides indemnification against borrower default 4

Securities Finance Earnings & Performance: Fresno County Employees’ Retirement System FY 2008* FY 2009** Wtd. Average/Total Average Lendables ($) $ 1,351,538,916 $ 1,278,649,524 $ 1,322,383,159 Average On-Loan Balance ($) 455,903,225 327,058,948 404,365,514 Average Utilization 33.7% 25.6% 30.6% Earnings by Program US Equity ($) $ 1,571,350 $ 881,969 $ 2,453,319 Non-US Equity ($) 420,739 145,031 565,770 US Government ($) 314,976 211,387 526,363 US Corporate Debt ($) 160,985 55,050 216,035 Non-US Fixed Income ($) 3,397 65 3,462 Total ($) $ 2,471,447 $ 1,293,502 $ 3,764,949 Components of Spread *** Demand Spread (bps) 53.1 52.6 52.9 Reinvestment Spread (bps) 77.7 89.1 82.3 Net Spread (bps) 130.8 141.7 135.2 Return v. Lendable Assets (bps) *** 36.6 30.3 34.2 *FY 2008 data includes January 2008 (program inception) through June 2008. **FY 2009 data is through October 31, 2008. *** Risk-free rate is Fed Funds Open. All spreads are annualized. Funds Enrolled in Lending FCRA-Wellington FCRB-Brandywine FCRD-Aronson and Partners Top 5 Earners Since Program Inception FCRE-Loomis, Sayles Arthrocare Corp $115,395 FCRF-Western Asset France Telecom SA 53,848 FCRG-Templeton US Treasury Note , 3.25%, 12/31/2009 49,502 FCRI-Intech S&P FCRL-Blackrock Life Time Fitness Inc 49,375 FCRM-Kalmar Mgmt US Treasury Note, 4.875%, 6/30/2012 45,856 FCRN-Artisan $313,976 FCRP-Oechsle Intl FCRS-Bradford & Marzec 5

Securities Finance Overview of Assets Held in FCERA’s Separate Account As of November 14, 2008 Final Legal Amortized Cost Average Life Credit Rating Security ID Security Name Maturity Date Jan 31 2008 Nov 14 2008 Difference in years Moody's S&P Fitch Assets brought to State Street from previous lending agent 16705WAD5 Cheyne High Grade ABS CDO 2004-1A A1D 11/10/2008 15,000,000 - (15,000,000) 202649AA7 Commodore CDO II 2003-2A A1MM 12/12/2038 14,313,794 - (14,313,794) 23910PBA2 Davis Square Funding 2004-2A A1E 5/6/2039 15,000,000 - (15,000,000) 46458KAH8 Islandsbanki HF Global 2/22/2008 15,000,000 - (15,000,000) 48247S001 KKR Atlantic Funding Trust Liquidity Note 3/13/2008 8,173,335 - (8,173,335) 52517PJ28 Lehman Brothers Hldgs Inc. 5/29/2008 15,000,000 - (15,000,000) 96524CAH1 Whitehawk CDO Fdg Ltd 2004-1A A1H 9/15/2008 15,000,000 - (15,000,000) 0673P2BK7 Barclays Bank PLC 8/10/2009 15,000,000 15,000,000 - 0.71 Aa1 /*- AA /*- AA 073928W82 Bear Stearns & Cos Inc 7/16/2009 8,000,000 8,000,000 - 0.64 Aa2 A+e AA- 38141ELL1 Goldman Sachs Group 3/24/2009 15,000,000 15,000,000 - 0.33 Aa3 NR NR 46623ECJ6 JP Morgan Chase & Co. 6/26/2009 3,299,104 3,299,613 509 0.58 Aa2 AA- NR 59018YSV4 Merrill Lynch & Co Inc. 2/6/2009 6,837,563 6,827,743 (9,820) 0.20 A2 /*+ A /* A+ /* 59018YWT4 Merrill Lynch & Co Inc. 1/30/2009 10,002,815 10,000,572 (2,243) 0.18 A2 /*+ NR A+ /* 61747YBJ3 Morgan Stanley 5/7/2009 10,000,000 10,000,000 - 0.45 A1 /*- A+ A 637432HW8 National Rural Utils Coop Fin (Extendible) 7/9/2009 18,000,000 18,000,000 - 0.62 A2 Ae A 694477JW1 Pacific Life Global Fdg (Extendible) 11/9/2009 15,000,000 15,000,000 - 0.70 Aa3 AAe AAe 929903EC2 Wachovia Corp 8/20/2009 9,000,000 9,000,000 - 0.74 A1 /*+ A+ /*+ A+ /*+ Total Assets brought to State Street $ 207,626,612 $ 110,127,928 $ (97,498,684) 0.53 State Street Quality D Fund Holdings $ 475,762,736 $ 175,305,712 $ (300,457,024) Total Assets held in FCERA separate account $ 683,389,348 $ 285,433,640 $ (397,955,708) 6

SSgA Global Collateral Management Portfolio Characteristics as of October 31, 2008 Floating Index Breakdow n % of Fund Fed Funds 0.00 1 Month LIBOR 29.27 Quality D Credit Quality Breakdow n 3 Month LIBOR 50.36 LONG-TERM RATINGS % OF FUND 1-Day Net Yield (360 Basis) 3.50% Prime 0.00 AAA 58.19 Shares Outstanding 49,275,489,343.45 Floating Rate Reset Buckets % of Fund AA 17.18 Floating Rate % 79.63 Next Business Day 0.11 A 2.15 2-7 Days 3.36 % Foreign Issuers 46.20 8-31 Days 48.97 BBB 0.08 WAM 29.06 1-2 Months 14.24 SHORT-TERM RATINGS % OF FUND WAM to Call 29.06 2-3 Months 12.90 A-1+/P-1 16.20 Call v. Mat Spread — Liquidity Schedule % of Fund A-1/P-1 5.38 % Callables 0.00% Next Business Day 8.62 SPLIT — Avg Life -Expected Maturity 381.68 2-30 Days Liquidity 11.20 OTHER 0.83 31-60 Days Liquidity 5.18 TD ABCP 61-90 Days Liquidity 0.81 0.60% 6.25% Repo 91-120 Days Liquidity 2.68 5.33% 121-150 Days Liquidity 2.25 151-180 Days Liquidity 1.83 Corporate 181-360 Days Liquidity 13.06 5.91% Greater than 360 Days Liquidity 54.37 Repo Collateral % of Fund Asset-Backed CD 54.63% Treasuries 0.51 10.93% Agencies 0.00 Agency MBS 4.82 Money Markets 0.00 Corporates 0.00 Bank Note Asset-Backed 0.00 16.35% Equities 0.00 Whole Loans 0.00 7 *No SIV, No CDO, No Extendible Liquidity Note

Quality D Sector Characteristics ABCP Conduit Sub-Sector Breakdow n As of 10/31/08 QD Receivables and Securities 1.33% Structured Investment Vehicles 0.00 Hybrid 0.99 Credit Arbitrage 2.61 CDO 0.00 Single Seller 1.32 SLN 0.00 % Per Fund 6.25% Home Equity Sub-Sector Breakdow n ABS Sub-Sector Breakdow n As of 10/31/08 As of 10/31/08 QD QD Subprime 0.05% AU Residential Mortgages 2.84% Alt - A 0.37 Auto Retail 0.30 Second Lien (Wrapped) 0.00 CLO 4.36 HELOC 0.26 CMBS 3.51 % Per Fund 0.68% Credit Card 17.18 Floor Plan 0.82 Home Equity 0.68 Other 0.80 Student Loan 1.95 UK Residential Mortgages 22.19 % Per Fund 54.63% 8

Quality D Yield Profile: October 2007 through October 2008 5.75% 5.50% 5.25% 5.00% 4.75% 4.50% 4.25% 4.00% 3.75% 3.50% 3.25% 3.00% 2.75% 2.50% 2.25% 2.00% 1.75% 1.50% 1.25% 1.00% 0.75% 0.50% 0.25% 0.00% 10/1/2007 10/15/2007 10/29/2007 11/12/2007 11/26/2007 12/10/2007 12/24/2007 1/7/2008 1/21/2008 2/4/2008 2/18/2008 3/3/2008 3/17/2008 3/31/2008 4/14/2008 4/28/2008 5/12/2008 5/26/2008 6/9/2008 6/23/2008 7/7/2008 7/21/2008 8/4/2008 8/18/2008 9/1/2008 9/15/2008 9/29/2008 10/13/2008 FF Target FF Effective LIBOR 1M Quality D 9